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[PHOTO]
VANGUARD
INDEX TRUST
Annual Report
December 31, 1996
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 (who is also shown, accepting a surrender, in a
detail from a nineteenth-century engraving); 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.
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[PHOTO]
VANGUARD HAS ALWAYS STRIVED TO BE THE STANDARD-BEARER for mutual fund
disclosure, going well beyond the "letter of the law" in our shareholder
communications. During the past year, we raised the standard once again by
rewriting and reformatting our Fund prospectuses. They are designed to ensure
that prospective investors fully understand, before they make an investment,
each Fund's investment strategies, risks, and costs. In that spirit, we have
redesigned our Annual Reports to shareholders, which provide a comprehensive
discussion and analysis of the year's results in the context of each Fund's
investment objectives and policies. Since Vanguard has long been recognized for
the quality and content of these Fund Reports, our overriding objective was to
maintain the character of the previous Reports, while adding information to
assist shareholders in understanding the investment characteristics of their
Fund.
THE NEW FUND REPORTS INCLUDE A MESSAGE TO SHAREHOLDERS from Chairman John C.
Bogle and President John J. Brennan. This Message continues to provide a candid
assessment of the Fund's performance relative to an appropriate unmanaged
market benchmark and a peer group of mutual funds with similar investment
policies. It also reviews the principal factors contributing to--and detracting
from--the returns earned by the Fund. To help you evaluate your Fund's
current-year performance, the Message includes a discussion of the Fund's
long-term investment results, as well as a look ahead to the prospects for the
coming year. A recap of the financial markets, which had been included as part
of the Chairman's letter, now appears in The Markets In Perspective. This
overview covers the world's financial markets, putting the results of the
Fund's strategy in a global perspective.
THE PORTFOLIO PROFILE REPRESENTS AN ADDITION TO OUR FUND REPORTS. In this day
and age, many investors use detailed statistical information to evaluate their
mutual fund holdings, and our new Portfolio Profile furnishes shareholders with
comprehensive data on key characteristics--sector diversification, volatility,
top-ten holdings, among others--that ultimately define how a Fund is likely to
perform in various market environments. For this information to be used
effectively, we include a brief description of the profiled characteristics.
The Report From The Adviser (for our traditionally managed Funds) now covers
specific topics that we have defined as being the important ones for the
adviser to address--and we do our best to ensure that this Report is written in
the same simple and candid manner that characterizes all Vanguard
communications. Finally, each Adviser's Report will include an inset reminder
of the adviser's basic investment philosophy.
WE TRUST THAT THIS REDESIGNED FUND REPORT will continue to meet your need for a
fair, candid, and clear presentation of your Fund's investment results and a
thorough portfolio review. We welcome any comments that you might have at any
time regarding these Reports.
CONTENTS
A Message To
Our Shareholders
1
The Markets
In Perspective
7
Performance
Summaries
9
Portfolio
Profiles
15
Financial
Statements
22
Report Of
Independent
Accountants
43
Trustees And
Officers
INSIDE BACK COVER
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[PHOTO]
John C. Bogle
[PHOTO]
John J. Brennan
FELLOW SHAREHOLDER,
The U.S. stock market turned in another banner performance in 1996, as did
the six Portfolios of Vanguard Index Trust. In the twelve months ended December
31, our flagship 500 Portfolio celebrated its 20th anniversary in fine style,
providing a total return of +22.9%, a hair behind its benchmark, the Standard &
Poor's 500 Composite Stock Price Index. Our performance exceeded the returns of
three-fourths of all actively managed equity mutual funds. The five other
Portfolios of the Trust provided returns ranging from +17.6% to +23.7% in 1996,
and each succeeded in tracking its target index with considerable accuracy.
The table at right shows the total returns (capital change plus reinvested
dividends) achieved by our six Portfolios 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.
<TABLE>
<CAPTION>
- --------------------------------------------------------
TOTAL RETURNS
YEAR ENDED DECEMBER 31, 1996
- --------------------------------------------------------
VANGUARD COMPARATIVE
PORTFOLIO INDEX*
- --------------------------------------------------------
<S> <C> <C>
LARGE-CAP STOCKS
500 Portfolio +22.9% +23.0%
Growth Portfolio +23.7 +24.0
Value Portfolio +21.9 +22.0
- --------------------------------------------------------
MID- AND SMALL-CAP STOCKS
Extended Market Portfolio +17.6% +17.2%
SmallCap Stock Portfolio +18.1 +16.5
- --------------------------------------------------------
ALL STOCKS
Total Stock Market Portfolio +21.0% +21.2%
- --------------------------------------------------------
</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.
1996 PERFORMANCE OVERVIEW
In a nearly ideal environment of moderate economic growth, rising corporate
profits, and continued low inflation, the U.S. stock market continued to
flourish last year. Interest rates fluctuated substantially, rising early in
the year along with estimates of the economy's strength, then declining in the
autumn as estimates of economic growth abated--and with them, inflation
anxieties. However, interest rates closed the year with a sharp upward spike in
December. The yield on the benchmark 30-year U.S. Treasury bond finished 1996
at 6.6%--up about six-tenths of a percentage point from 6.0% at the end of
1995--driving the long bond's price down by nearly -8%.
In contrast, the price trend for common stocks was virtually one-way: up.
The S&P 500 Index provided positive returns in all but two months (July and
December). As usual, however, not all segments of the equity market performed
alike. Through the first five months of 1996, small- and mid-capitalization
stocks, especially those in the technology sector, outpaced larger-cap stocks.
But the tide turned during the remainder of the year, as Wall Street's motto
seemed to become "bigger is better." For the full year, large-cap stocks
provided the highest returns, while mid-cap and small-cap stocks trailed the
market's behemoths. This progression is evident in the returns on our
Portfolios and their benchmarks: The S&P 500 Index provided a +23.0% return,
the Wilshire 4500 Equity Index of mid- and small-cap stocks returned +17.2% and
the small-cap Russell 2000 Index trailed with a return of +16.5%.
1
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This large-cap bias explains a good portion of the strong performance of
the S&P 500 Index and our 500 Portfolio not only in 1996, but during the prior
two years. The median stock in the Index had a market capitalization of $24.5
billion at year-end versus a median market cap of $1.2 billion for the Wilshire
4500 Equity Index, a proxy for the rest of the U.S. stock market.
It is impossible to say how long the market will continue to favor
large-cap stocks, especially those perceived to be capable of providing steady,
predictable earnings growth. But it seems reasonable to assume that someday the
market's approving gaze will shift toward small- and mid-cap stocks. When--not
if--that happens, these market segments surely will regain some of the ground
lost to their large-cap brethren.
Both growth stocks and value stocks performed well in 1996, though growth
stocks, as measured by the S&P/BARRA Growth Index, held a slight edge: a +24.0%
return versus +22.0% for the S&P/BARRA Value Index. While returns on these two
groups are quite similar over long periods, they often diverge over shorter
periods.
<TABLE>
<CAPTION>
- -------------------------------------------------------------------
TOTAL RETURNS
YEAR ENDED DECEMBER 31, 1996
----------------------------------
AVERAGE
VANGUARD COMPARABLE
PORTFOLIO FUND* DIFFERENCE
- -------------------------------------------------------------------
<S> <C> <C> <C>
LARGE-CAP STOCKS
500 Portfolio +22.9% +19.5% +3.4%
Growth Portfolio +23.7 +19.2 +4.5
Value Portfolio +21.9 +20.9 +1.0
- -------------------------------------------------------------------
MID- AND SMALL-CAP STOCKS
Extended Market Portfolio +17.6% +19.2% -1.6%
SmallCap Stock Portfolio +18.1 +20.2 -2.1
- -------------------------------------------------------------------
ALL STOCKS
Total Stock Market Portfolio +21.0% +19.5% +1.5%
- -------------------------------------------------------------------
</TABLE>
*Respectively, the combined average of all general equity funds, growth funds,
value funds, growth funds (again), small-cap funds, and general equity funds
(again).
In any event, we are pleased that all six Portfolios again successfully
tracked their benchmark indexes during 1996. Three of our four
large-cap-oriented stock Portfolios (500, Value, and Total Stock Market) came
within 0.2% of their target indexes, while one (Growth) fell but 0.3% behind,
largely reflecting our 0.20% expense ratio. This ratio represents our cost of
doing business, including the issuing of account statements and reports to
shareholders, as well as accounting, legal, marketing, and investment advisory
services. What's more, because turnover of securities is low in our Portfolios
(5% or less for some Portfolios versus 84% for the average equity fund), our
transaction costs are minimal. Our low turnover policy, moreover, has usually
resulted in the realization of relatively small capital gains--an important tax
advantage.
The surprising ability of our remaining two Portfolios to overcome all
costs and to surpass their index standards is based partly on the fact that
each owns only a sampling (if a large and carefully selected one) of the stocks
in the target Index, which can cause short-term tracking variations.
Transaction fees are another reason our Portfolios' returns may diverge from
those of their target indexes. As you know, these fees go directly to the
Extended Market and SmallCap Stock Portfolios to compensate their existing
shareholders for the cost of investing assets from new purchases. During 1996,
the transaction fee for the SmallCap Stock Portfolio more than offset the costs
associated with net purchases of securities. Because we expect this situation
to persist, we lowered the transaction fee on the SmallCap Stock Portfolio from
1.0% to 0.5%, effective January 2, 1997.
Our unmanaged Index Portfolios outpaced the norms set by most
traditionally managed mutual funds in 1996, a performance made possible by the
simple fact that our investing and operating costs are substantially lower than
those of the typical equity mutual
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fund. The table on page 2 compares the return achieved by each Portfolio with
that of the funds in categories that are as closely comparable as possible.
We emphasize that the large absolute returns provided by our Index
Portfolios in 1996 should not be regarded as emblematic of future returns. All
of these returns were well above long-term historical averages for the stock
market; such exceptionally strong results do not persist forever. However,
given our large cost advantage, we believe that our generally favorable
relative returns may very well persist over time.
LONG-TERM PERFORMANCE OVERVIEW
Index mutual funds--a concept that Vanguard pioneered with the creation of the
500 Portfolio in 1976--have proven their ability to provide long-term
performance superior to that of most traditionally managed funds. The table at
right provides the evidence. It presents the average annual returns and the
ending value of hypothetical $10,000 investments made a decade ago in the 500
Portfolio, the average general equity mutual fund, and the S&P 500 Index.
<TABLE>
<CAPTION>
- ---------------------------------------------------------------
TOTAL RETURN
10 YEARS ENDED DECEMBER 31, 1996
--------------------------------
AVERAGE FINAL VALUE OF
ANNUAL A $10,000
RATE INITIAL INVESTMENT
- ---------------------------------------------------------------
<S> <C> <C>
500 Portfolio +15.0% $40,595
- ---------------------------------------------------------------
Average General Equity Fund +13.1% $34,194
- ---------------------------------------------------------------
S&P 500 Index +15.3% $41,491
- ---------------------------------------------------------------
</TABLE>
As the table shows, the 500 Portfolio outperformed its peers by +1.9% per
year. That annual edge may seem small, but it looms large over a decade. An
initial stake of $10,000 in the Portfolio on December 31, 1986, would have
grown to $40,595 over ten years, a margin of $6,401 over the results of our
average competitor. This margin is equal to nearly two-thirds of the entire
initial investment.
The comparison proves a point that we have repeatedly made in the past,
namely that costs matter very much. An index is a tough competitor for actual
mutual funds precisely because, as theoretical constructs, indexes do not incur
operating, administrative, or investment advisory expenses, all of which are
borne to one degree or another by actual funds. By keeping operating expenses
and transaction costs to minimum levels, index funds are able to regularly come
close to matching the returns on unmanaged indexes. That accomplishment, modest
as it may seem, turns out to be beyond the grasp of a wide majority of actively
managed funds, which carry the heavy handicap of higher costs.
Although the other Portfolios of Vanguard Index Trust have much-shorter
operating histories than the 500 Portfolio, they have demonstrated--with one
notable exception--the same general pattern of success versus traditional,
actively managed mutual funds. The exception, SmallCap Stock Portfolio, has
lagged the average small company growth fund for two principal reasons. First,
the market capitalization of its holdings is smaller than that of the average
competing fund. Second, the Portfolio's benchmark, the Russell 2000 Stock
Index, has a smaller weighting in technology stocks than the average
competitor, a clear handicap over the past several years when the tech sector
was among the best-performing on Wall Street.
The table at the top of page 4 summarizes the returns of our Portfolios
versus their respective peer groups. In evaluating the longer-term returns
achieved by our Portfolios, please keep in mind that future returns from the
stock market may well be lower than those shown; the periods covered by the
table are part of the great bull market that has provided returns well above
long-term historical norms. Also, we emphasize that index-
3
<PAGE> 6
ing is a long-term strategy, since the advantages of low costs and tax
efficiency tend to manifest themselves over extended periods.
<TABLE>
<CAPTION>
- --------------------------------------------------------------------
ANNUAL MARGIN
INCEPTION ANNUALIZED RELATIVE TO
PORTFOLIO DATE TOTAL RETURNS COMPETITIVE FUNDS
- --------------------------------------------------------------------
<S> <C> <C> <C>
Growth 11/2/92 +15.8% +1.2%
Value 11/2/92 +18.6 +3.3
Extended Market 12/21/87 +15.3 +1.0
SmallCap Stock 9/11/89* +12.3 -2.3
Total Stock Market 4/27/92 +16.0 +1.0
- --------------------------------------------------------------------
</TABLE>
*Date on which index strategy was adopted.
IN SUMMARY
Most mutual fund investors understand that volatility risk is a measure of how
much an investment may fluctuate in value over a given period of time. But many
equity fund investors today have experienced only "upside volatility." The U.S.
stock market has been rising--with only a few relatively brief setbacks--for
nearly 15 years.
Against this backdrop, it seems appropriate to step back and assess the
outlook for the financial markets. While no one can accurately predict what
will happen over the next decade--or even the next year--it seems unlikely that
stocks will enjoy a repeat of the exceptional returns of this remarkable era.
Indeed, there are sure to be some rough seas ahead. Nonetheless, we believe
that investors who maintain a balanced portfolio of stock funds, bond funds,
and money market funds will overcome the volatility of financial markets and be
rewarded. "Stay the course" has proved wise counsel in the past, and we see no
reason why it should not continue to be in the future.
/s/ JOHN C. BOGLE /s/ JOHN J. BRENNAN
Chairman of the Board President
January 20, 1997
<TABLE>
<CAPTION>
PORTFOLIO STATISTICS
- ----------------------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE
DECEMBER 31, DISTRIBUTIONS FROM DIVIDENDS FROM
-------------------------- NET REALIZED NET INVESTMENT
PORTFOLIO 1995 1996 CAPITAL GAINS INCOME
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
500 $57.60 $69.17 $0.25 $1.28
Growth 13.97 16.90 0.14 0.22
Value 14.79 17.02 0.57 0.38
Extended Market 24.07 26.20 1.72 0.34
SmallCap Stock 18.61 20.23 1.44 0.27
Total Stock Market 15.04 17.77 0.11 0.29
- ----------------------------------------------------------------------------------------------
</TABLE>
4
<PAGE> 7
FOR THE RECORD: EXCERPTS FROM PREVIOUS ANNUAL REPORTS
Here are excerpts from letters in previous Annual Reports. Also shown are
year-end assets of our 500 Portfolio and its rank in size among U.S. equity
funds.
1976: ASSETS $14 MILLION (#220)
First Index Investment Trust [our original name] is the first and only
investment company designed as an "index matching" account. . . . Some
reports on the index fund concept are almost violently
negative--"unAmerican," "a cop-out," "the pursuit of mediocrity"--but
they fly in the face of clear statistical evidence that, for the
professional and amateur investor alike, matching the S&P 500 Index has
been a tremendous challenge.
1978: ASSETS $66 MILLION (#95)
Despite overwhelming evidence that the investment performance of the
average pension account has fallen well short of the performance of the
S&P 500 Index in the past decade (only 17% of accounts had better
performance), 95% of pension officers believe their funds can outperform
in the future. Such optimism in the face of such discouraging actual
results reflects Dr. Samuel Johnson's comment about "the triumph of hope
over experience."
1986: ASSETS $485 MILLION (#100)
At last, a second index mutual fund has entered the fray, but (with an
initial sales charge and high operating expenses) has already fallen far
behind the Index.
1987: ASSETS $826 MILLION (#53)
Mindful that the S&P 500 Index represents only a portion--if a major
portion--of the U.S. equity market, we have started a second (Extended
Market) Portfolio.
1990: ASSETS $2,173 MILLION (#19)
Now, two of our major competitors have entered the index fund fray, but
(in the words of Morningstar) "if they think it's going to be easy to
supplant Vanguard with its low cost structure, they're fooling
themselves. Vanguard is the true people's hero."
1992: ASSETS $6,547 MILLION (#5)
We added three Portfolios (Growth, Value, and Total Stock Market).
1994: ASSETS $9,356 MILLION (#10)
Today, there are 137 index funds as our competitors have been dragged
"kicking and screaming" into indexing. But index funds remain a trivial
factor in the industry, as "hope springs eternal" among investors that
they can identify top performing managers in advance. Indexing works. The
theory always said it would, and we are delighted to have pioneered the
translation of the theory into practice.
1995: ASSETS $17,372 MILLION (#4)
Over the past decade, the chances were about 1 in 18 that a fund manager
would beat the S&P 500 Index, one reason Money magazine headlined its
August issue VANGUARD WINS: "INDEX FUNDS SHOULD BE THE CORE OF MOST
PORTFOLIOS TODAY."
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<PAGE> 8
VANGUARD INDEX TRUST: A TWENTY-YEAR RETROSPECTIVE
Twenty years ago last August, Vanguard formed the first index fund,
modeled on the S&P 500 Index. Ten years ago this December, we formed the first
extended market index fund (all stocks outside the S&P 500 Index), making it
possible, for the first time, for mutual fund investors to own the entire U.S.
stock market. Our original 500 Portfolio has grown to total net assets of $30
billion and today is the third-largest of America's 3,000 equity mutual funds.
Equally imposing, that single Portfolio is now a member of a burgeoning
family of Vanguard Index funds, now 21 in number, plus five funds whose asset
allocation strategies are implemented through market index strategies. These
index stock and bond funds bring total index assets at Vanguard to $62 billion,
a pool of assets that by itself would be the third-largest direct marketing
(i.e., no-load) fund complex.
Despite the proven success of index strategies in providing performance
significantly better than that of comparable accounts actively managed by
professional advisers, indexing has far to go. Index fund assets today
represent but 8% of the assets of all U.S. stock and bond funds, so even
greater growth lies in prospect.
Vanguard, the industry pioneer and leader from the start, expects to
continue "leading the way" (the motto of HMS Vanguard). We expect to remain the
low-cost leader, and to live up to Morningstar's challenge to our rivals in
1990: "Vanguard is the true people's hero."
PERCENT OF GENERAL EQUITY FUNDS OUTPERFORMED BY THE S&P 500 INDEX
[CHART]
<TABLE>
<S> <C>
1977 15
1978 31
1979 20
1980 53
1981 37
1982 38
1983 60
1984 78
1985 74
1986 76
1987 76
1988 59
1989 82
1990 64
1991 45
1992 46
1993 40
1994 78
1995 85
1996 76
</TABLE>
The past three years--during which the S&P 500 Index has outpaced 90% of all
general equity funds--have been among the best in the long history of indexing.
Indexing should not be expected to consistently turn in performance that is so
superior. For a more realistic picture of what investors might expect we
present this record of the performance of the S&P 500 Index versus general
equity funds for each of the past 20 years. You will note that the Index has
outperformed as few as 15% of the funds and as many as 85%. A reasonable
expectation for the future might be around 65% over time.
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THE MARKETS IN PERSPECTIVE: YEAR ENDED DECEMBER 31, 1996
[PHOTO]
U.S. EQUITY MARKETS
The stock market in 1996 could not match its astonishing 37.6% return of the
previous year--but it made a good run, with the Standard & Poor's 500 Composite
Stock Price Index up by 23.0%. When the two years are considered cumulatively,
the S&P 500 Index has risen 69.2%. Not surprisingly, many of the factors that
drove the market higher in 1995 were still at work: Once again, steady economic
growth, low inflation, and solid earnings growth were powerful motivators.
The market's gains, however, were far from evenly distributed. Investors
strongly favored larger companies, such as those that dominate the S&P 500
Index. In fact, even within the Index, it was the largest companies that
prevailed: The 50 biggest (which account for roughly half the Index's market
value) gained 26.7% in 1996, compared with an increase of 23.0% for the entire
Index. Looking at the S&P 500 Index's performance by sector, technology stocks
were strongest, closing the year with a 42.5% gain. Financial stocks were a
close second, gaining 35.5%. Utilities, plagued early in the year by higher
interest rates and a rapidly changing competitive landscape, eked out a meager
1.8% return, the lowest within the Index.
With the largest companies performing so well, most smaller issues could
not keep pace. This was evidenced in the considerable difference between the
23.0% return of the S&P 500 Index and the 16.5% return of the Russell 2000
Index of small stocks. Even for the smaller companies, there was a significant
range of performance among sectors. Energy stocks led the Russell 2000 Index
with a 62.0% gain for the year. Here, rising prices, limited exposure to the
cyclical refining business, and a reduced number of competitors created a
favorable environment for the stocks. At the other end of the spectrum were
health-care stocks, which showed a loss of -3.3%.
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------
AVERAGE ANNUALIZED RETURNS
PERIODS ENDED DECEMBER 31, 1996
----------------------------------
1 YEAR 3 YEARS 5 YEARS
- ----------------------------------------------------------------------
<S> <C> <C> <C>
Equity
S&P 500 Index 23.0% 19.7% 15.2%
Russell 2000 Index 16.5 13.7 15.6
MSCI-EAFE Index 6.4 8.6 8.5
- ----------------------------------------------------------------------
Fixed-Income
Lehman Aggregate Bond Index 3.6% 6.0% 7.0%
Lehman 10-Year Municipal
Bond Index 4.5 5.3 7.5
Salomon 90-Day U.S. Treasury Bills 5.3 5.1 4.4
- ----------------------------------------------------------------------
Other
Consumer Price Index 3.3% 2.8% 2.8%
- ----------------------------------------------------------------------
</TABLE>
U.S. FIXED-INCOME MARKETS
At year-end, the yield on the 30-year U.S. Treasury bond was 6.64%, noticeably
higher than its 5.95% level on December 31, 1995. The change in rates during
1996 reflects increased concern about the prospects for rising inflation, due
to indications of greater than expected strength in the economy.
When the year began, the general expectation was that modest economic
growth and benign inflation would continue, giving the Federal Reserve no
reason to boost inter-
7
<PAGE> 10
est rates. That complacency was shattered by an exceptionally strong February
jobs report, the first of what turned out to be a succession of signs that in
fact the economy was growing at a much faster--and potentially
inflation-inducing--pace. The bond market reacted est rates. That complacency
was shattered by an exceptionally strong February jobs report, the first of
what turned out to be a succession of signs that in fact the economy was
growing at a much faster--and potentially inflation-inducing--pace. The bond
market reacted swiftly to meet the perceived risk: The 30-year Treasury bond's
yield jumped from just below 6.0% at the end of 1995 to 6.7% in late March. The
next several months saw a consistent pattern in which bond yields rose on the
Friday of the jobs-report release only to fall back by the middle of the month.
Hindsight shows that most of the worry was wasted: Inflation, as measured by
the Consumer Price Index, remained near an annualized rate of 3.3%. But
increasing signs of growth in late November and December reignited inflation
concerns and caused bonds to finish the year on a sour note.
Despite the numerous setbacks suffered by the bond market in 1996, indexes
were able to finish the year with positive total returns. Although the specter
of the Federal Reserve Board loomed large during the year, in fact the Board
acted only once, lowering the federal funds rate by a total of 0.25% in
January.
Corporate bonds, mortgage-backed issues, and municipals were three
relatively bright spots in 1996. The strength in earnings that benefited stock
prices extended to the corporate bond sector as well. These bonds, especially
those of lower credit quality, performed well relative to Treasuries, supported
by general confidence in companies' ability to meet payments. The
stable-to-rising interest-rate environment throughout most of the year
benefited another large segment of the bond market--mortgage-backed
securities--as the threat of refinancings receded. Finally, municipal bonds
outpaced their U.S. Treasury counterparts. The sector was shielded to a certain
extent from the inflation wars of the Treasury market, as demand outstripped
supply for much of the year.
INTERNATIONAL EQUITY MARKETS
Investors who assess international markets by the often-cited EAFE
benchmark--the Morgan Stanley Capital International-Europe, Australasia, Far
East Index, with its 1996 return of 6.4%--could have overlooked a striking
regional disparity between the European and Pacific markets. Europe's markets
gained 21.4% during the year, while their Pacific counterparts posted a decline
of -8.2%. Clearly, the outlook and environments that characterized the European
and Far East markets were quite different.
The poor returns in the Pacific region largely reflected ongoing concern
about the health of the Japanese economy. Growth in Japan has remained modest
at best for several years despite government efforts to stimulate the economy
through public works programs and tax incentives. In Europe, the picture was
dramatically different, with the region benefiting from a variety of factors.
Among the most important were (1) ongoing efforts to lower government deficits
consistent with the Maastricht Treaty guidelines, (2) improving economic
growth, and (3) a greater commitment by corporate executives to increasing
"shareholder value."
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<PAGE> 11
PERFORMANCE SUMMARY: 500 PORTFOLIO
All of the data on this page represent past performance, which cannot be used
to predict future returns that may be achieved by the Portfolio. Note, too,
that both share price and return can fluctuate widely so that an investment in
the Portfolio could lose money.
<TABLE>
<CAPTION>
TOTAL INVESTMENT RETURNS: 12/31/76-12/31/96
- -------------------------------------------------
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
- -------------------------------------------------
</TABLE>
See Financial Highlights table on page 33 for dividend and capital gains
information for the past five years.
<TABLE>
<CAPTION>
CUMULATIVE PERFORMANCE: 12/31/86-12/31/96
- -------------------------------------------------
LIPPER STANDARD &
500 GENERAL POOR'S
PORTFOLIO EQUITY 500 INDEX
<S> <C> <C> <C> <C>
1986 12 10000 10000 10000
1987 03 12116 11922 12136
1987 06 12722 12109 12745
1987 09 13542 12722 13587
1987 12 10465 10050 10526
1988 03 11054 10868 11126
1988 06 11768 11465 11867
1988 09 11806 11417 11907
1988 12 12156 11501 12275
1989 03 13010 12329 13145
1989 06 14152 13236 14305
1989 09 15648 14528 15837
1989 12 15962 14260 16164
1990 03 15471 13972 15678
1990 06 16430 14793 16664
1990 09 14167 12537 14374
1990 12 15424 13366 15662
1991 03 17654 15701 17937
1991 06 17601 15557 17896
1991 09 18528 16864 18853
1991 12 20076 18126 20434
1992 03 19556 18065 19918
1992 06 19920 17581 20296
1992 09 20532 18254 20936
1992 12 21555 19737 21991
1993 03 22485 20372 22951
1993 06 22580 20644 23063
1993 09 23147 21928 23659
1993 12 23676 22206 24207
1994 03 22764 21478 23289
1994 06 22850 20956 23387
1994 09 23957 22321 24530
1994 12 23942 21833 24527
1995 03 26264 23403 26915
1995 06 28752 25541 29484
1995 09 31032 28010 31827
1995 12 32894 28619 33743
1996 03 34648 30133 35554
1996 06 36188 31656 37150
1996 09 37290 32744 38298
1996 12 40428 34194 41491
</TABLE>
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS
PERIODS ENDED DECEMBER 31, 1996
----------------------------------- FINAL VALUE OF A
1 YEAR 5 YEARS 10 YEARS $10,000 INVESTMENT
- -------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
500 PORTFOLIO* 22.84% 15.02% 14.99% $40,428
AVERAGE GENERAL EQUITY FUND 19.48 13.54 13.08 34,194
S&P 500 INDEX 22.96 15.22 15.29 41,491
- -------------------------------------------------------------------------------------
</TABLE>
*Performance figures are adjusted for the $10 annual account maintenance fee.
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS: PERIODS ENDED 12/31/96
- ------------------------------------------------------------------------------------------
10 YEARS
INCEPTION --------------------------
DATE 1 YEAR 5 YEARS CAPITAL INCOME TOTAL
- ------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
500 Portfolio* 8/31/76 22.84% 15.02% 11.73% 3.26% 14.99%
- ------------------------------------------------------------------------------------------
</TABLE>
*Performance figures are adjusted for the $10 annual account maintenance fee.
9
<PAGE> 12
PERFORMANCE SUMMARY: EXTENDED MARKET PORTFOLIO
All of the data on this page represent past performance, which cannot be used
to predict future returns that may be achieved by the Portfolio. Note, too,
that both share price and return can fluctuate widely so that an investment in
the Portfolio could lose money.
<TABLE>
<CAPTION>
TOTAL INVESTMENT RETURNS: 12/21/87-12/31/96
- ---------------------------------------------
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
- ---------------------------------------------
</TABLE>
See Financial Highlights table on page 34 for dividend and capital gains
information for the past five years.
<TABLE>
<CAPTION>
CUMULATIVE PERFORMANCE: 12/21/87-12/31/96
- ---------------------------------------------
EXTENDED LIPPER WILSHIRE
MARKET GROWTH 4500 INDEX
<S> <C> <C> <C> <C>
1987 12 9950 10000 10000
1987 12 9940 9990 9990
1988 03 11212 10739 11336
1988 06 11896 11352 12001
1988 09 11814 11236 11929
1988 12 11894 11385 12041
1989 03 12887 12194 13034
1989 06 13916 13162 14040
1989 09 15161 14487 15292
1989 12 14751 14281 14924
1990 03 14070 13965 14231
1990 06 14516 14965 14699
1990 09 11774 12555 12019
1990 12 12670 13498 12901
1991 03 15284 15863 15574
1991 06 15182 15723 15499
1991 09 16461 16913 16901
1991 12 17963 18370 18507
1992 03 18231 18150 18746
1992 06 17590 17613 17981
1992 09 18100 18173 18517
1992 12 20190 19801 20703
1993 03 21003 20305 21537
1993 06 21279 20443 21869
1993 09 22767 21436 23465
1993 12 23105 21898 23719
1994 03 22378 21074 22860
1994 06 21777 20641 22159
1994 09 23212 21741 23681
1994 12 22688 21427 23088
1995 03 24364 22931 24836
1995 06 26554 25234 26956
1995 09 29613 27365 30000
1995 12 30344 28026 30819
1996 03 32212 29423 32639
1996 06 33511 30836 34128
1996 09 34376 31713 34856
1996 12 35701 33419 36114
</TABLE>
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS
PERIODS ENDED DECEMBER 31, 1996
---------------------------------
SINCE FINAL VALUE OF A
1 YEAR 5 YEARS INCEPTION $10,000 INVESTMENT
- -------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
EXTENDED MARKET PORTFOLIO* 17.02% 14.61% 15.14% $35,701
AVERAGE GROWTH FUND 19.24 12.71 14.30 33,419
WILSHIRE 4500 INDEX 17.18 14.31 15.29 36,114
- -------------------------------------------------------------------------------------
</TABLE>
*Performance figures are adjusted for the 0.5% transaction fee on purchases and
the $10 annual account maintenance fee.
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS: PERIODS ENDED 12/31/96
- -----------------------------------------------------------------------------------------
SINCE INCEPTION
INCEPTION ------------------------
DATE 1 YEAR 5 YEARS CAPITAL INCOME TOTAL
- -----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Extended Market Portfolio* 12/21/87 17.02% 14.61% 13.38% 1.76% 15.14%
- -----------------------------------------------------------------------------------------
</TABLE>
*Performance figures are adjusted for the 0.5% transaction fee on purchases and
the $10 annual account maintenance fee.
10
<PAGE> 13
PERFORMANCE SUMMARY: TOTAL STOCK MARKET PORTFOLIO
All of the data on this page represent past performance, which cannot be used
to predict future returns that may be achieved by the Portfolio. Note, too,
that both share price and return can fluctuate widely so that an investment in
the Portfolio could lose money.
<TABLE>
<CAPTION>
TOTAL INVESTMENT RETURNS: 4/27/92-12/31/96
- ----------------------------------------------
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
- ----------------------------------------------
</TABLE>
See Financial Highlights table on page 35 for dividend and capital gains
information since the Portfolio's inception.
<TABLE>
<CAPTION>
CUMULATIVE PERFORMANCE: 4/27/92-12/31/96
- ----------------------------------------------
TOTAL LIPPER WILSHIRE
STOCK GENERAL 5000
MARKET EQUITY INDEX
<S> <C> <C> <C> <C>
1992 04 9975 10000 10000
1992 06 9984 9928 10004
1992 09 10280 10209 10310
1992 12 11008 11112 11061
1993 03 11444 11477 11532
1993 06 11526 11658 11619
1993 09 11946 12264 12089
1993 12 12172 12502 12309
1994 03 11719 12101 11850
1994 06 11612 11834 11758
1994 09 12263 12483 12397
1994 12 12146 12292 12301
1995 03 13257 13185 13412
1995 06 14479 14423 14664
1995 09 15772 15665 16004
1995 12 16487 16112 16785
1996 03 17396 16977 17728
1996 06 18134 17876 18509
1996 09 18642 18313 19032
1996 12 19993 19251 20345
</TABLE>
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS
PERIODS ENDED DECEMBER 31, 1996
-------------------------------- FINAL VALUE OF A
1 YEAR SINCE INCEPTION $10,000 INVESTMENT
- -------------------------------------------------------------------------------------
<S> <C> <C> <C>
TOTAL STOCK MARKET PORTFOLIO* 20.94% 15.96% $19,993
AVERAGE GENERAL EQUITY FUND 19.48 15.03 19,251
WILSHIRE 5000 INDEX 21.21 16.40 20,345
- -------------------------------------------------------------------------------------
</TABLE>
*Performance figures are adjusted for the $10 annual account maintenance fee.
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS: PERIODS ENDED 12/31/96
- ------------------------------------------------------------------------------------
SINCE INCEPTION
INCEPTION -----------------------
DATE 1 YEAR CAPITAL INCOME TOTAL
- ------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Total Stock Market Portfolio* 4/27/92 20.94% 13.43% 2.53% 15.96%
- ------------------------------------------------------------------------------------
</TABLE>
*Performance figures are adjusted for the $10 annual account maintenance fee.
11
<PAGE> 14
PERFORMANCE SUMMARY: GROWTH PORTFOLIO
All of the data on this page represent past performance, which cannot be used
to predict future returns that may be achieved by the Portfolio. Note, too,
that both share price and return can fluctuate widely so that an investment in
the Portfolio could lose money.
<TABLE>
<CAPTION>
TOTAL INVESTMENT RETURNS: 11/2/92-12/31/96
- --------------------------------------------
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
- --------------------------------------------
</TABLE>
*S&P/BARRA Growth Index.
See Financial Highlights table on page 36 for dividend and capital gains
information since the Portfolio's inception.
<TABLE>
<CAPTION>
CUMULATIVE PERFORMANCE: 11/2/92-12/31/96
- ---------------------------------------------------
STANDARD &
GROWTH LIPPER POOR'S/
PORTFOLIO GROWTH BARRA GROWTH
<S> <C> <C> <C> <C>
1992 11 10000 10000 10000
1992 12 10319 10440 10317
1993 03 10256 10707 10267
1993 06 10042 10776 10055
1993 09 10029 11293 10051
1993 12 10465 11545 10490
1994 03 9998 11112 10037
1994 06 9984 10880 10028
1994 09 10696 11453 10745
1994 12 10756 11297 10819
1995 03 11800 12091 11881
1995 06 13017 13301 13109
1995 09 14048 14416 14150
1995 12 14840 14776 14944
1996 03 15474 15515 15591
1996 06 16531 16254 16684
1996 09 17109 16707 17271
1996 12 18362 17619 18526
</TABLE>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS
PERIODS ENDED DECEMBER 31, 1996
-------------------------------- FINAL VALUE OF A
1 YEAR SINCE INCEPTION $10,000 INVESTMENT
- ---------------------------------------------------------------------------
<S> <C> <C> <C>
GROWTH PORTFOLIO* 23.68% 15.72% $18,362
AVERAGE GROWTH FUND 19.24 14.58 17,619
S&P/BARRA GROWTH INDEX 23.97 15.97 18,526
- ---------------------------------------------------------------------------
</TABLE>
*Performance figures are adjusted for the $10 annual account maintenance fee.
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS: PERIODS ENDED 12/31/96
- -------------------------------------------------------------------------------------
SINCE INCEPTION
INCEPTION --------------------------
DATE 1 YEAR CAPITAL INCOME TOTAL
- -------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Growth Portfolio* 11/2/92 23.68% 13.68% 2.04% 15.72%
- -------------------------------------------------------------------------------------
</TABLE>
*Performance figures are adjusted for the $10 annual account maintenance fee.
12
<PAGE> 15
PERFORMANCE SUMMARY: VALUE PORTFOLIO
All of the data on this page represent past performance, which cannot be used
to predict future returns that may be achieved by the Portfolio. Note, too,
that both share price and return can fluctuate widely so that an investment in
the Portfolio could lose money.
<TABLE>
<CAPTION>
TOTAL INVESTMENT RETURNS: 11/2/92-12/31/96
- --------------------------------------------
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
- --------------------------------------------
</TABLE>
*S&P/BARRA Value Index.
See Financial Highlights table on page 37 for dividend and capital gains
information since the Portfolio's inception.
<TABLE>
<CAPTION>
CUMULATIVE PERFORMANCE: 11/2/92-12/31/96
- ---------------------------------------------------------------
LIPPER STANDARD
VALUE GROWTH & POOR'S/
PORTFOLIO & INCOME BARRA VALUE
<S> <C> <C> <C> <C>
1992 11 10000 10000 10000
1992 12 10369 10339 10375
1993 03 11315 10804 11333
1993 06 11628 10889 11650
1993 09 12218 11264 12253
1993 12 12265 11499 12305
1994 03 11857 11135 11902
1994 06 11971 11098 12012
1994 09 12268 11591 12320
1994 12 12169 11409 12226
1995 03 13340 12339 13404
1995 06 14494 13351 14571
1995 09 15655 14333 15731
1995 12 16656 14984 16749
1996 03 17709 15799 17820
1996 06 18075 16342 18184
1996 09 18535 16833 18665
1996 12 20292 18117 20433
</TABLE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS
PERIODS ENDED DECEMBER 31, 1996
-------------------------------- FINAL VALUE OF A
1 YEAR SINCE INCEPTION $10,000 INVESTMENT
- --------------------------------------------------------------------------
<S> <C> <C> <C>
VALUE PORTFOLIO* 21.82% 18.54% $20,292
AVERAGE VALUE FUND 20.91 15.35 18,117
S&P/BARRA VALUE INDEX 21.99 18.73 20,433
- --------------------------------------------------------------------------
</TABLE>
*Performance figures are adjusted for the $10 annual account maintenance fee.
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS: PERIODS ENDED 12/31/96
- -----------------------------------------------------------------------------------------
SINCE INCEPTION
INCEPTION -----------------------
DATE 1 YEAR CAPITAL INCOME TOTAL
- -----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Value Portfolio* 11/2/92 21.82% 15.09% 3.45% 18.54%
- -----------------------------------------------------------------------------------------
</TABLE>
*Performance figures are adjusted for the $10 annual account maintenance fee.
13
<PAGE> 16
PERFORMANCE SUMMARY: SMALL CAPITALIZATION STOCK PORTFOLIO
All of the data on this page represent past performance, which cannot be used
to predict future returns that may be achieved by the Portfolio. Note, too,
that both share price and return can fluctuate widely so that an investment in
the Portfolio could lose money.
<TABLE>
<CAPTION>
TOTAL INVESTMENT RETURNS: 12/31/76-12/31/96
- ---------------------------------------------------------------
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
- --------------------------------------------------------------
</TABLE>
See Financial Highlights table on page 38 for dividend and capital gains
information since the Portfolio became part of Vanguard Index Trust.
<TABLE>
<CAPTION>
CUMULATIVE PERFORMANCE: 12/31/86-12/31/96
- --------------------------------------------------------------
LIPPER
SMALL
SMALLCAP COMPANY RUSSELL 2000
STOCK GROWTH STOCK INDEX
<S> <C> <C> <C> <C>
1986 12 9900 10000 10000
1987 03 12087 12273 12431
1987 06 12352 12157 12343
1987 09 13306 12627 12860
1987 12 9201 9411 9123
1988 03 10922 10739 10863
1988 06 11543 11561 11579
1988 09 11394 11300 11470
1988 12 11458 11196 11394
1989 03 12145 12106 12272
1989 06 12740 13034 13053
1989 09 13528 14328 13935
1989 12 12656 13768 13245
1990 03 12402 13572 12952
1990 06 12857 14682 13452
1990 09 9768 11378 10151
1990 12 10352 12406 10661
1991 03 13382 15591 13832
1991 06 13142 15394 13617
1991 09 14241 17023 14727
1991 12 15026 18811 15571
1992 03 16219 19139 16739
1992 06 15144 17557 15597
1992 09 15560 18129 16044
1992 12 17749 21171 18438
1993 03 18629 21450 19226
1993 06 18916 22035 19645
1993 09 20464 23883 21363
1993 12 21055 24766 21924
1994 03 20635 23838 21342
1994 06 19934 22604 20511
1994 09 21328 24380 21935
1994 12 20936 24588 21524
1995 03 21938 25671 22517
1995 06 23974 28207 24627
1995 09 26359 31433 27059
1995 12 26939 32358 27646
1996 03 28429 33693 29056
1996 06 30015 36588 30510
1996 09 30201 37217 30613
1996 12 31808 38894 32206
</TABLE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS
PERIODS ENDED DECEMBER 31, 1996
------------------------------- FINAL VALUE OF A
1 YEAR 5 YEARS 10 YEARS $10,000 INVESTMENT
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
SMALL CAPITALIZATION STOCK
PORTFOLIO* 16.90% 15.96% 12.27% $31,808
AVERAGE SMALL-CAP FUND 20.20 15.64 14.55 38,894
RUSSELL 2000 INDEX 16.49 15.64 12.41 32,206
- --------------------------------------------------------------------------------
</TABLE>
*Performance figures are adjusted for the 1% transaction fee on purchases and
the $10 annual account maintenance fee.
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS: PERIODS ENDED 12/31/96
- -------------------------------------------------------------------------------------------------------
10 YEARS
INCEPTION --------------------------
DATE 1 YEAR 5 YEARS CAPITAL INCOME TOTAL
- -------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Small Capitalization Stock Portfolio* 10/3/60 16.90% 15.96% 11.07% 1.20% 12.27%
- -------------------------------------------------------------------------------------------------------
</TABLE>
*Performance figures are adjusted for the 1% transaction fee on purchases and
the $10 annual account maintenance fee.
14
<PAGE> 17
PORTFOLIO PROFILE: 500 PORTFOLIO
DECEMBER 31, 1996
This Profile provides a snapshot of the Portfolio's characteristics, compared
where appropriate to its unmanaged target index. Key elements of this Profile
are defined on page 17.
<TABLE>
<CAPTION>
PORTFOLIO CHARACTERISTICS
- --------------------------------------------
500 S&P 500
- --------------------------------------------
<S> <C> <C>
Number of Stocks 500 500
Median Market Cap $24.5B $24.5B
Price/Earnings Ratio 19.6x 19.6x
Price/Book Ratio 3.4x 3.4x
Yield 1.8% 2.0%
Return on Equity 19.6% 19.6%
Earnings Growth Rate 13.5% 13.5%
Foreign Holdings 3.7% 3.7%
Turnover Rate 5% --
Expense Ratio 0.20% --
Cash Reserves 0% --
</TABLE>
INVESTMENT FOCUS
- --------------------------------------------
[CHART]
<TABLE>
<CAPTION>
VOLATILITY MEASURES
- -------------------------------------------
500 S&P 500
- -------------------------------------------
<S> <C> <C>
R-Squared 1.00 1.00
Beta 1.00 1.00
</TABLE>
<TABLE>
<CAPTION>
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- --------------------------------------------
<S> <C>
General Electric Co. 2.9%
The Coca-Cola Co. 2.3
Exxon Corp. 2.2
Intel Corp. 1.9
Microsoft Corp. 1.7
Merck & Co., Inc. 1.7
Philip Morris Cos., Inc. 1.6
Royal Dutch Petroleum Co. ADR 1.6
International Business Machines Corp. 1.4
Procter & Gamble Co. 1.3
- --------------------------------------------
Top Ten 18.6%
</TABLE>
<TABLE>
<CAPTION>
SECTOR DIVERSIFICATION (% OF COMMON STOCK)
- ----------------------------------------------------------------------------------------
DECEMBER 31, 1995 DECEMBER 31, 1996
------------------------------------------
500 500 S&P 500
------------------------------------------
<S> <C> <C> <C>
Basic Materials ............................ 6.5% 6.1% 6.2%
Capital Goods & Construction ............... 8.2 8.5 8.4
Consumer Cyclical ......................... 13.0 12.3 12.1
Consumer Staples ........................... 12.1 12.2 12.4
Energy ..................................... 9.5 9.5 9.7
Financial .................................. 12.9 14.7 15.0
Health Care ................................ 10.6 10.2 10.4
Technology ................................. 10.5 13.1 12.1
Transport & Services ....................... 1.6 1.5 1.5
Utilities .................................. 12.7 9.9 9.9
Miscellaneous .............................. 2.4 2.0 2.3
- ----------------------------------------------------------------------------------------
</TABLE>
15
<PAGE> 18
PORTFOLIO PROFILE: EXTENDED MARKET PORTFOLIO
DECEMBER 31, 1996
This Profile provides a snapshot of the Portfolio's characteristics, compared
where appropriate to its unmanaged target index. Key elements of this Profile
are defined on page 17.
<TABLE>
<CAPTION>
PORTFOLIO CHARACTERISTICS
- --------------------------------------------
EXTENDED WILSHIRE
MARKET 4500
- --------------------------------------------
<S> <C> <C>
Number of Stocks 2,097 6,863
Median Market Cap $1.2B $1.2B
Price/Earnings Ratio 20.5x 20.5x
Price/Book Ratio 2.6x 2.6x
Yield 1.3% 1.3%
Return on Equity 14.2% 14.2%
Earnings Growth Rate 14.0% 14.0%
Foreign Holdings 0.8% 0.8%
Turnover Rate 22% --
Expense Ratio 0.25% --
Cash Reserves 0% --
</TABLE>
INVESTMENT FOCUS
- --------------------------------------------
[CHART]
<TABLE>
<CAPTION>
VOLATILITY MEASURES
- --------------------------------------------
EXTENDED
MARKET S&P 500
- --------------------------------------------
<S> <C> <C>
R-Squared 0.65 1.00
Beta 0.90 1.00
</TABLE>
<TABLE>
<CAPTION>
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- --------------------------------------------
<S> <C>
Berkshire Hathaway Class A 1.7%
Electronic Data Systems Corp. 0.9
Rhone-Poulenc Rorer, Inc. 0.4
Carnival Corp. Class A 0.4
Safeway, Inc. 0.4
RJR Nabisco Holdings Corp. 0.4
Republic Industries, Inc. 0.3
Ascend Communications, Inc. 0.3
CNA Financial Corp. 0.3
Parametric Technology Corp. 0.3
- --------------------------------------------
Top Ten 5.4%
</TABLE>
<TABLE>
<CAPTION>
SECTOR DIVERSIFICATION (% OF COMMON STOCK)
- ----------------------------------------------------------------------------------------
DECEMBER 31, 1995 DECEMBER 31, 1996
-------------------------------------------
EXTENDED EXTENDED WILSHIRE
MARKET MARKET 4500
-------------------------------------------
<S> <C> <C> <C>
Basic Materials ............................ 6.0% 5.0% 4.9%
Capital Goods & Construction ............... 7.0 6.8 7.3
Consumer Cyclical ......................... 15.0 15.2 15.2
Consumer Staples ........................... 4.7 4.8 4.7
Energy ..................................... 4.0 5.3 5.1
Financial .................................. 22.0 23.4 23.2
Health Care ................................ 9.5 9.0 9.0
Technology ................................. 19.3 18.9 18.8
Transport & Services ....................... 2.3 2.0 1.9
Utilities .................................. 7.1 5.8 6.0
Miscellaneous .............................. 3.1 3.8 3.9
- ----------------------------------------------------------------------------------------
</TABLE>
16
<PAGE> 19
[PHOTO]
BETA. A measure of the magnitude of a portfolio's past share-price fluctuations
in relation to the fluctuations in the overall market (or appropriate market
index). The market, or index, has a beta of 1.00, so a portfolio with a beta of
1.20 would have seen its share price rise or fall by 12% when the overall
market rose or fell by 10%.
EARNINGS GROWTH RATE. The annual average rate of growth in earnings over the
past five years for the stocks now in a portfolio.
EXPENSE RATIO. The percentage of a portfolio's average net assets used to pay
its annual administrative and advisory expenses. These expenses directly reduce
returns to investors. The average expense ratio for a stock mutual fund was
1.34% in 1995.
FOREIGN HOLDINGS. The percentage of a portfolio's investments represented by
stocks or American Depository Receipts of companies based outside of the United
States.
INVESTMENT FOCUS. This grid indicates the focus of a portfolio in terms of two
attributes: market capitalization (large, medium, or small) and relative
valuation (growth, value, or a blend).
MEDIAN MARKET CAP. The midpoint of market capitalization (market price x shares
outstanding) of the stocks in a portfolio. Half the stocks in the portfolio
have higher market capitalizations and half lower.
NUMBER OF STOCKS. An indicator of diversification. The more stocks a portfolio
holds, the more diversified it is and the more likely to perform in line with
the overall stock market.
PRICE/BOOK RATIO. The share price of a stock divided by its net worth, or book
value, per share. For a portfolio, the weighted average price/book ratio of the
stocks it holds.
PRICE/EARNINGS RATIO. The ratio of a stock's current price to its per-share
earnings over the past year. For a portfolio, the weighted average P/E of the
stocks it holds. P/E is an indicator of market expectations about corporate
prospects; the higher the P/E, the greater the expectations for a company's
future growth.
RETURN ON EQUITY. The annual average rate of return generated by a company
during the past five years for each dollar of shareholder's equity (net income
divided by shareholder's equity). For a portfolio, the weighted average return
on equity for the companies represented in the portfolio.
R-SQUARED. A measure of how much of a portfolio's past returns can be explained
by the returns from the overall market (or its benchmark index). If a
portfolio's total return were precisely synchronized with the overall market's
return, its R-squared would be 1.00. If a portfolio's returns bore no
relationship to the market's returns, its R-squared would be 0.
SECTOR DIVERSIFICATION. The percentage of a portfolio's common stocks invested
in each of the major industry classifications that compose the stock market.
TEN LARGEST HOLDINGS. The percentage of a portfolio's total net assets in its
ten largest investments (the average for stock mutual funds is about 25%). As
this percentage rises, a portfolio's returns are likely to be more volatile
since they are more dependent on the fortunes of a few companies.
TURNOVER RATE. An indication of trading activity during the past year.
Portfolios with high turnover rates incur higher transaction costs and are more
likely to realize and distribute capital gains (which are taxable to
investors).
YIELD. A snapshot of a portfolio's income from interest and dividends. The
yield, expressed as a percentage of the portfolio's net asset value, is based
on income earned over the past 30 days and is annualized, or projected forward
for the coming year.
17
<PAGE> 20
PORTFOLIO PROFILE: TOTAL STOCK MARKET PORTFOLIO
DECEMBER 31, 1996
This Profile provides a snapshot of the Portfolio's characteristics, compared
where appropriate to its unmanaged target index. Key elements of this Profile
are defined on page 17.
<TABLE>
<CAPTION>
PORTFOLIO CHARACTERISTICS
- -------------------------------------------
TOTAL STOCK WILSHIRE
MARKET 5000
- -------------------------------------------
<S> <C> <C>
Number of Stocks 2,798 7,352
Median Market Cap $10.8B $10.8B
Price/Earnings Ratio 19.8x 19.8x
Price/Book Ratio 3.2x 3.2x
Yield 1.7% 1.8%
Return on Equity 18.6% 18.6%
Earnings Growth Rate 14.1% 14.1%
Foreign Holdings 0.6% 0.6%
Turnover Rate 3% --
Expense Ratio 0.22% --
Cash Reserves 0% --
</TABLE>
INVESTMENT FOCUS
- -------------------------------------------
[CHART]
<TABLE>
<CAPTION>
VOLATILITY MEASURES
- -------------------------------------------
TOTAL STOCK
MARKET S&P 500
- -------------------------------------------
<S> <C> <C>
R-Squared 0.95 1.00
Beta 0.97 1.00
</TABLE>
<TABLE>
<CAPTION>
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- --------------------------------------------
<S> <C>
General Electric Co. 2.0%
The Coca-Cola Co. 1.6
Exxon Corp. 1.5
Intel Corp. 1.3
Microsoft Corp. 1.2
Merck & Co., Inc. 1.2
Philip Morris Cos., Inc. 1.1
International Business Machines Corp. 1.0
Procter & Gamble Co. 0.9
AT&T Corp. 0.9
- --------------------------------------------
Top Ten 12.7%
</TABLE>
<TABLE>
<CAPTION>
SECTOR DIVERSIFICATION (% OF COMMON STOCK)
- ----------------------------------------------------------------------------------------
DECEMBER 31, 1995 DECEMBER 31, 1996
------------------------------------------
TOTAL STOCK TOTAL STOCK WILSHIRE
MARKET MARKET 5000
------------------------------------------
<S> <C> <C> <C>
Basic Materials ............................ 5.9% 5.5% 5.4%
Capital Goods & Construction ............... 8.0 8.3 8.3
Consumer Cyclical ......................... 13.9 13.5 13.5
Consumer Staples ........................... 9.5 9.6 9.6
Energy ..................................... 6.9 7.4 7.4
Financial .................................. 16.4 17.8 17.8
Health Care ................................ 10.6 9.9 9.9
Technology ................................. 13.2 15.0 14.9
Transport & Services ....................... 1.9 1.6 1.6
Utilities .................................. 11.3 8.9 8.9
Miscellaneous .............................. 2.4 2.5 2.7
- ----------------------------------------------------------------------------------------
</TABLE>
18
<PAGE> 21
PORTFOLIO PROFILE: GROWTH PORTFOLIO
DECEMBER 31, 1996
This Profile provides a snapshot of the Portfolio's characteristics, compared
where appropriate to an unmanaged index. Key elements of this Profile are
defined on page 17.
<TABLE>
<CAPTION>
PORTFOLIO CHARACTERISTICS
- --------------------------------------------
GROWTH S&P 500
- --------------------------------------------
<S> <C> <C>
Number of Stocks 195 500
Median Market Cap $39.0B $24.5B
Price/Earnings Ratio 24.2x 19.6x
Price/Book Ratio 5.9x 3.4x
Yield 1.4% 2.0%
Return on Equity 25.7% 19.6%
Earnings Growth Rate 16.6% 13.5%
Foreign Holdings 2.6% 3.7%
Turnover Rate 29% --
Expense Ratio 0.20% --
Cash Reserves 0.3% --
</TABLE>
INVESTMENT FOCUS
- --------------------------------------------
[CHART]
<TABLE>
<CAPTION>
VOLATILITY MEASURES
- --------------------------------------------
GROWTH S&P 500
- --------------------------------------------
<S> <C> <C>
R-Squared 0.94 1.00
Beta 0.98 1.00
</TABLE>
<TABLE>
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- --------------------------------------------
<S> <C>
General Electric Co. 5.5%
The Coca-Cola Co. 4.5
Intel Corp. 3.7
Microsoft Corp. 3.4
Merck & Co., Inc. 3.2
Philip Morris Cos., Inc. 3.1
Procter & Gamble Co. 2.5
Johnson & Johnson 2.3
Bristol-Myers Squibb Co. 1.9
Pfizer, Inc. 1.8
- --------------------------------------------
Top Ten 31.9%
</TABLE>
<TABLE>
<CAPTION>
SECTOR DIVERSIFICATION (% OF COMMON STOCK)
- ---------------------------------------------------------------------------------------
DECEMBER 31, 1995 DECEMBER 31, 1996
------------------------------------------
GROWTH GROWTH S&P 500
------------------------------------------
<S> <C> <C> <C>
Basic Materials ............................ 4.6% 5.6% 6.2%
Capital Goods & Construction ............... 7.8 9.4 8.4
Consumer Cyclical ......................... 12.4 12.3 12.1
Consumer Staples ........................... 21.9 21.6 12.4
Energy ..................................... 0.5 2.3 9.7
Financial .................................. 3.7 6.8 15.0
Health Care ................................ 20.2 16.4 10.4
Technology ................................. 15.8 18.2 12.1
Transport & Services ....................... 0.7 0.1 1.5
Utilities .................................. 9.7 4.8 9.9
Miscellaneous .............................. 2.7 2.5 2.3
- ---------------------------------------------------------------------------------------
</TABLE>
19
<PAGE> 22
PORTFOLIO PROFILE: VALUE PORTFOLIO
DECEMBER 31, 1996
This Profile provides a snapshot of the Portfolio's characteristics, compared
where appropriate to an unmanaged index. Key elements of this Profile are
defined on page 17.
<TABLE>
<CAPTION>
PORTFOLIO CHARACTERISTICS
- -------------------------------------------
VALUE S&P 500
- -------------------------------------------
<S> <C> <C>
Number of Stocks 344 500
Median Market Cap $14.5B $24.5B
Price/Earnings Ratio 16.2x 19.6x
Price/Book Ratio 2.4x 3.4x
Yield 2.3% 2.0%
Return on Equity 13.3% 19.6%
Earnings Growth Rate 9.4% 13.5%
Foreign Holdings 4.9% 3.7%
Turnover Rate 29% --
Expense Ratio 0.20% --
Cash Reserves 0.5% --
</TABLE>
INVESTMENT FOCUS
- -------------------------------------------
[CHART]
<TABLE>
<CAPTION>
VOLATILITY MEASURES
- -------------------------------------------
VALUE S&P 500
- -------------------------------------------
<S> <C> <C>
R-Squared 0.94 1.00
Beta 1.01 1.00
</TABLE>
<TABLE>
<CAPTION>
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- --------------------------------------------
<S> <C>
Exxon Corp. 4.4%
Royal Dutch Petroleum Co. ADR 3.3
International Business Machines Corp. 2.8
AT&T Corp. 2.0
Citicorp 1.8
Mobil Corp. 1.7
Chevron Corp. 1.5
General Motors Corp. 1.5
BellSouth Corp. 1.5
Amoco Corp. 1.4
- --------------------------------------------
Top Ten 21.9%
</TABLE>
<TABLE>
<CAPTION>
SECTOR DIVERSIFICATION (% OF COMMON STOCK)
- ----------------------------------------------------------------------------------------
DECEMBER 31, 1995 DECEMBER 31, 1996
--------------------------------------------
VALUE VALUE S&P 500
--------------------------------------------
<S> <C> <C> <C>
Basic Materials ............................ 8.6% 6.6% 6.2%
Capital Goods & Construction ............... 8.5 7.5 8.4
Consumer Cyclical ......................... 13.7 12.3 12.1
Consumer Staples ........................... 2.4 2.0 12.4
Energy ..................................... 18.4 17.3 9.7
Financial .................................. 22.0 23.1 15.0
Health Care ................................ 1.2 3.5 10.4
Technology ................................. 4.9 7.7 12.1
Transport & Services ....................... 2.6 3.0 1.5
Utilities .................................. 15.7 15.7 9.9
Miscellaneous .............................. 2.0 1.3 2.3
- ----------------------------------------------------------------------------------------
</TABLE>
20
<PAGE> 23
PORTFOLIO PROFILE: SMALL CAPITALIZATION STOCK PORTFOLIO
DECEMBER 31, 1996
This Profile provides a snapshot of the Portfolio's characteristics, compared
where appropriate to its unmanaged target index. Key elements of this Profile
are defined on page 17.
<TABLE>
<CAPTION>
PORTFOLIO CHARACTERISTICS
- -------------------------------------------
SMALL RUSSELL
CAPITALIZATION 2000
- -------------------------------------------
<S> <C> <C>
Number of Stocks 1,567 1,942
Median Market Cap $0.6B $0.6B
Price/Earnings Ratio 19.1x 19.1x
Price/Book Ratio 2.5x 2.5x
Yield 1.5% 1.5%
Return on Equity 11.9% 12.0%
Earnings Growth Rate 10.7% 11.2%
Foreign Holdings 0% 0%
Turnover Rate 28% --
Expense Ratio 0.25% --
Cash Reserves 0% --
</TABLE>
INVESTMENT FOCUS
- -------------------------------------------
[CHART]
<TABLE>
<CAPTION>
VOLATILITY MEASURES
- -------------------------------------------
SMALL
CAPITALIZATION S&P 500
- -------------------------------------------
<S> <C> <C>
R-Squared 0.49 1.00
Beta 0.87 1.00
</TABLE>
<TABLE>
<CAPTION>
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- -------------------------------------------
<S> <C>
Dura Pharmaceuticals, Inc. 0.3%
BJ Services Co. 0.3
Microchip Technology, Inc. 0.3
Public Storage, Inc. REIT 0.3
Battle Mountain Gold Co. Class A 0.2
PHH Corp. 0.2
United Meridian Corp. 0.2
Doubletree Corp. 0.2
United Waste Systems, Inc. 0.2
Herman Miller, Inc. 0.2
- -------------------------------------------
Top Ten 2.4%
</TABLE>
<TABLE>
<CAPTION>
SECTOR DIVERSIFICATION (% OF COMMON STOCK)
- ----------------------------------------------------------------------------------------
DECEMBER 31, 1995 DECEMBER 31, 1996
-------------------------------------------
SMALL SMALL RUSSELL
CAPITALIZATION CAPITALIZATION 2000
-------------------------------------------
<S> <C> <C> <C>
Basic Materials ............................ 5.2% 5.7% 5.7%
Capital Goods & Construction ............... 8.6 8.7 8.6
Consumer Cyclical ......................... 15.3 15.8 15.9
Consumer Staples ........................... 3.6 4.1 4.1
Energy ..................................... 4.4 4.9 4.8
Financial .................................. 22.6 23.1 23.1
Health Care ................................ 11.4 9.5 9.5
Technology ................................. 18.5 17.8 17.6
Transport & Services ....................... 2.3 1.8 1.8
Utilities .................................. 4.5 4.6 4.7
Miscellaneous .............................. 3.6 4.0 4.2
- ----------------------------------------------------------------------------------------
</TABLE>
21
<PAGE> 24
FINANCIAL STATEMENTS
DECEMBER 31, 1996
[PHOTO]
The Statements of Net Assets, integral parts of the Financial Statements for
each of the Vanguard Index Trust Portfolios, and the Report Of Independent
Accountants are included as an insert to this Report (except for the 500
Portfolio, whose Statement of Net Assets is provided below; its Report Of
Independent Accountants can be found on page 42).
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>
General Electric Co. 8,830,720 $ 873,137
The Coca-Cola Co. 13,345,805 702,323
Exxon Corp. 6,660,211 652,701
Intel Corp. 4,405,672 576,592
# Microsoft Corp. 6,416,694 530,179
Merck & Co., Inc. 6,466,152 512,443
Philip Morris Cos., Inc. 4,368,552 492,008
Royal Dutch Petroleum
Co. ADR 2,875,661 491,019
International Business
Machines Corp. 2,775,869 419,156
Procter & Gamble Co. 3,657,948 393,229
AT&T Corp. 8,690,542 378,039
Johnson & Johnson 7,143,066 355,368
Bristol-Myers Squibb Co. 2,685,933 292,095
Pfizer, Inc. 3,458,038 286,585
E.I. du Pont de Nemours & Co. 3,019,427 284,958
Wal-Mart Stores, Inc. 12,303,783 281,449
Hewlett-Packard Co. 5,454,551 274,091
American International
Group, Inc. 2,518,035 272,577
Citicorp 2,523,543 259,925
Mobil Corp. 2,113,230 258,342
The Walt Disney Co. 3,638,473 253,329
PepsiCo, Inc. 8,339,093 243,918
GTE Corp. 5,159,146 234,741
Chevron Corp. 3,498,773 227,420
General Motors Corp. 4,054,462 226,036
Gillette Co. 2,895,999 225,164
# Cisco Systems, Inc. 3,485,970 221,795
Federal National
Mortgage Assn. 5,858,163 218,217
Eli Lilly & Co. 2,959,312 216,030
BellSouth Corp. 5,327,449 215,096
Amoco Corp. 2,666,713 214,670
Abbott Laboratories 4,166,841 211,467
Chase Manhattan Corp. 2,353,832 210,080
The Boeing Co. 1,921,841 204,436
Ford Motor Co. 6,358,094 202,664
American Home Products Corp. 3,424,864 200,783
Motorola, Inc. 3,180,314 195,192
BankAmerica Corp. 1,924,758 191,995
Minnesota Mining &
Manufacturing Co. 2,241,653 185,777
Ameritech Corp. 2,946,270 178,618
McDonald's Corp. 3,742,572 169,351
SBC Communications Inc. 3,240,093 167,675
Lucent Technologies, Inc. 3,415,038 157,946
Travelers Group Inc. 3,435,028 155,864
Bell Atlantic Corp. 2,350,490 152,194
NationsBank Corp. 1,545,139 151,037
</TABLE>
22
<PAGE> 25
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ------------------------------------------------------------------------------
<S> <C> <C>
Unilever NV ADR 859,175 $ 150,570
# Oracle Corp. 3,529,179 146,902
Columbia/HCA Healthcare Corp. 3,604,621 146,888
Kimberly-Clark Corp. 1,516,821 144,477
Eastman Kodak Co. 1,792,747 143,868
American Express Co. 2,543,871 143,729
Texaco Inc. 1,420,166 139,354
Allstate Corp. 2,387,111 138,154
Wells Fargo & Co. 496,554 133,945
Schlumberger Ltd. 1,322,018 132,037
Home Depot, Inc. 2,579,184 129,282
Chrysler Corp. 3,911,505 129,080
Schering-Plough Corp. 1,982,874 128,391
Monsanto Co. 3,156,742 122,718
MCI Communications Corp. 3,676,946 119,960
Emerson Electric Co. 1,203,558 116,444
Time Warner, Inc. 3,053,218 114,496
Atlantic Richfield Co. 863,316 114,389
NYNEX Corp. 2,361,773 113,660
First Union Corp. 1,523,136 112,712
Warner-Lambert Co. 1,455,679 109,176
Pharmacia & Upjohn, Inc. 2,728,282 108,108
# Compaq Computer Corp. 1,453,901 107,952
Anheuser-Busch Cos., Inc. 2,680,165 107,207
Federal Home Loan
Mortgage Corp. 959,880 105,707
Dow Chemical Co. 1,305,900 102,350
AlliedSignal Inc. 1,517,695 101,686
Campbell Soup Co. 1,254,621 100,683
Banc One Corp. 2,295,369 98,701
J.P. Morgan & Co., Inc. 1,001,390 97,761
Computer Associates
International, Inc. 1,958,337 97,427
Sears, Roebuck & Co. 2,102,149 96,962
Sara Lee Corp. 2,597,051 96,740
Lockheed Martin Corp. 1,034,384 94,646
Nike, Inc. Class B 1,540,835 92,065
Sprint Corp. 2,306,756 91,982
First Chicago NBD Corp. 1,711,132 91,973
Xerox Corp. 1,743,040 91,727
First Data Corp. 2,402,779 87,701
Medtronic, Inc. 1,286,588 87,488
Norwest Corp. 1,989,055 86,524
Northern Telecom Ltd. 1,387,518 85,853
United Technologies Corp. 1,292,914 85,332
WMX Technologies Inc. 2,606,444 85,035
Pacific Telesis Group 2,299,092 84,492
U S WEST Communications
Group 2,565,194 82,728
Southern Co. 3,617,765 81,852
Union Pacific Corp. 1,313,717 78,987
The Seagram Co. Ltd. 2,002,281 77,588
Caterpillar, Inc. 1,027,164 77,294
# Amgen, Inc. 1,420,165 77,221
Kellogg Co. 1,130,451 74,186
McDonnell Douglas Corp. 1,139,163 72,906
Colgate-Palmolive Co. 788,733 72,761
- ------------------------------------------------------------------------------
TOTAL--100 LARGEST STOCKS 19,529,568
- ------------------------------------------------------------------------------
Merrill Lynch & Co., Inc. 883,306 71,989
Rockwell International Corp. 1,172,574 71,380
The Bank of New York Co., Inc. 2,106,213 71,085
Burlington Northern Santa
Fe Corp. 821,342 70,943
H.J. Heinz Co. 1,973,255 70,544
Fleet Financial Group, Inc. 1,409,207 70,284
General Re Corp. 443,339 69,937
PNC Bank Corp. 1,831,008 68,892
# 3Com Corp. 932,321 68,293
# AirTouch Communications, Inc. 2,693,002 67,998
Automatic Data Processing, Inc. 1,557,933 66,796
International Paper Co. 1,610,753 65,034
Texas Instruments, Inc. 1,019,452 64,990
Westinghouse Electric Corp. 3,259,963 64,792
Aetna Inc. 808,794 64,704
ConAgra, Inc. 1,292,174 64,286
Archer-Daniels-Midland Co. 2,921,431 64,271
# Viacom International Inc.
Class B 1,823,565 63,597
May Department Stores Co. 1,352,008 63,206
Phillips Petroleum Co. 1,412,663 62,510
# WorldCom, Inc. 2,396,943 62,321
# U S WEST Media Group 3,352,421 62,020
CoreStates Financial Corp. 1,195,519 62,018
KeyCorp 1,213,984 61,306
Raytheon Co. 1,267,354 60,991
J.C. Penney Co., Inc. 1,238,330 60,369
Baxter International, Inc. 1,464,892 60,061
CPC International, Inc. 772,054 59,834
Aluminum Co. of America 931,161 59,362
SunTrust Banks, Inc. 1,197,123 58,958
Enron Corp. 1,363,776 58,813
Norfolk Southern Corp. 671,825 58,785
Loews Corp. 617,712 58,219
Dean Witter Discover & Co. 865,572 57,344
# Boston Scientific Corp. 953,038 57,182
Corning, Inc. 1,234,849 57,112
Gannett Co., Inc. 756,707 56,658
Deere & Co. 1,386,481 56,326
PPG Industries, Inc. 985,077 55,287
Barrick Gold Corp. 1,918,476 55,156
CIGNA Corp. 403,638 55,147
Unocal Corp. 1,350,610 54,869
Boatmen's Bancshares, Inc. 836,947 53,878
National City Corp. 1,200,600 53,877
General Mills, Inc. 842,140 53,371
Illinois Tool Works, Inc. 664,957 53,113
Walgreen Co. 1,320,422 52,817
Bank of Boston Corp. 820,037 52,687
# Dell Computer Corp. 967,027 51,373
# Seagate Technology 1,288,765 50,906
# Sun Microsystems, Inc. 1,971,783 50,527
Weyerhaeuser Co. 1,064,305 50,421
The Chubb Corp. 934,349 50,221
# CUC International, Inc. 2,112,441 50,170
Wachovia Corp. 885,620 50,038
Duke Power Co. 1,079,806 49,941
MBNA Corp. 1,196,632 49,660
Mellon Bank Corp. 695,150 49,356
First Bank System, Inc. 721,446 49,239
CSX Corp. 1,163,920 49,176
Texas Utilities Co. 1,206,485 49,164
Albertson's, Inc. 1,352,475 48,182
</TABLE>
23
<PAGE> 26
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------
MARKET
VALUE*
500 PORTFOLIO SHARES (000)
- ------------------------------------------------------------------------------
<S> <C> <C>
Household International, Inc. 518,489 $ 47,831
Morgan Stanley Group, Inc. 817,911 46,723
Pacific Gas & Electric Co. 2,215,887 46,534
Edison International 2,326,005 46,229
# Tele-Communications, Inc.
Class A 3,553,853 46,200
The Gap, Inc. 1,522,146 45,855
Dayton-Hudson Corp. 1,163,768 45,678
American Brands, Inc. 911,560 45,236
AMP, Inc. 1,178,332 45,218
FPL Group, Inc. 979,915 45,076
Honeywell, Inc. 678,730 44,627
American General Corp. 1,089,586 44,537
United Healthcare Corp. 988,136 44,466
Tyco International Ltd. 838,584 44,340
# Toys R Us, Inc. 1,468,875 44,066
Pitney Bowes, Inc. 797,463 43,462
Barnett Banks, Inc. 1,046,517 43,038
# AMR Corp. 487,285 42,942
Conrail, Inc. 430,169 42,856
The Goodyear Tire & Rubber Co. 833,636 42,828
ITT Hartford Group, Inc. 630,525 42,560
Textron, Inc. 443,326 41,783
Ralston-Ralston Purina Group 568,266 41,697
Air Products & Chemicals, Inc. 599,392 41,433
American Electric Power
Co., Inc. 1,006,601 41,397
# EMC Corp. 1,248,717 41,364
Tenneco, Inc. 916,229 41,345
# HFS Inc. 689,090 41,173
Occidental Petroleum Corp. 1,760,677 41,156
Alcan Aluminium Ltd. 1,214,091 40,824
Avon Products, Inc. 710,973 40,614
Halliburton Co. 671,636 40,466
Mattel, Inc. 1,456,182 40,409
Marsh & McLennan Cos., Inc. 385,554 40,098
Union Pacific Resources
Group, Inc. 1,341,780 39,247
Praxair, Inc. 840,309 38,759
# Federated Department Stores 1,113,214 37,988
Marriott International 686,193 37,912
- ------------------------------------------------------------------------------
TOTAL--200 LARGEST STOCKS 24,809,321
- ------------------------------------------------------------------------------
Crown Cork & Seal Co., Inc. 689,353 37,484
Bankers Trust New York Corp. 433,713 37,408
Dominion Resources, Inc. 965,784 37,183
Consolidated Edison Co. of
New York, Inc. 1,259,925 36,853
USX-Marathon Group 1,539,753 36,762
U.S. Bancorp 813,425 36,502
PanEnergy Corp. 809,432 36,424
# Tellabs, Inc. 962,453 36,212
Aon Corp. 580,944 36,091
Alco Standard Corp. 697,129 35,989
Hershey Foods Corp. 820,913 35,915
Fifth Third Bancorp 567,517 35,612
Service Corp. International 1,263,620 35,381
Georgia-Pacific Corp. 489,271 35,228
Public Service Enterprise
Group Inc. 1,285,857 35,040
Wrigley, (Wm.) Jr. Co. 621,724 34,972
Hilton Hotels Corp. 1,323,653 34,580
# Applied Materials, Inc. 962,723 34,538
Entergy Corp. 1,237,782 34,348
TRW, Inc. 681,668 33,743
Burlington Resources, Inc. 668,971 33,699
# Computer Sciences Corp. 407,796 33,490
# MFS Communications Co., Inc. 614,188 33,320
Lowe's Cos., Inc. 928,148 32,949
Micron Technology Inc. 1,117,748 32,554
UST Inc. 1,001,853 32,435
PacifiCorp 1,575,597 32,300
American Stores Co. 780,789 31,915
ALLTEL Corp. 1,014,842 31,841
Williams Cos., Inc. 840,117 31,504
Sysco Corp. 962,366 31,397
# The Kroger Co. 674,312 31,356
Unicom Corp. 1,155,728 31,349
Morton International, Inc. 763,515 31,113
Masco Corp. 858,938 30,922
Pioneer HiBred International 441,238 30,887
Dover Corp. 604,621 30,382
Cognizant Corp. 919,064 30,329
# Digital Equipment Corp. 829,531 30,174
Comerica, Inc. 576,055 30,171
PECO Energy Corp. 1,193,052 30,125
Browning-Ferris Industries, Inc. 1,136,975 29,846
Carolina Power & Light Co. 809,548 29,549
Lincoln National Corp. 558,794 29,337
Dresser Industries, Inc. 945,839 29,321
Becton, Dickinson & Co. 668,148 28,981
Central & South West Corp. 1,127,960 28,904
Amerada Hess Corp. 498,599 28,856
Eaton Corp. 413,596 28,848
Genuine Parts Co. 646,460 28,767
Inco Ltd. 900,281 28,696
Houston Industries, Inc. 1,257,160 28,443
Green Tree Financial Corp. 736,093 28,432
Delta Air Lines, Inc. 400,485 28,384
UNUM Corp. 392,611 28,366
CINergy Corp. 844,767 28,194
Rohm & Haas Co. 344,638 28,131
Fluor Corp. 447,646 28,090
Union Carbide Corp. 685,876 28,035
Consolidated Natural Gas Co. 507,294 28,028
Transamerica Corp. 354,745 28,025
Placer Dome, Inc. 1,283,058 27,907
# Cabletron Systems, Inc. 837,492 27,847
The Clorox Co. 276,466 27,750
The Quaker Oats Co. 726,647 27,703
Coastal Corp. 565,330 27,631
Salomon, Inc. 584,777 27,558
# Federal Express Corp. 611,131 27,195
# ITT Corp. 624,030 27,067
# Kmart Corp. 2,590,057 26,872
Newell Co. 851,208 26,813
Baker Hughes, Inc. 774,944 26,736
International Flavors &
Fragrances, Inc. 592,625 26,668
The Limited, Inc. 1,449,903 26,642
SAFECO Corp. 675,377 26,509
# Price/Costco Inc. 1,053,995 26,482
Times Mirror Co. Class A 530,933 26,414
</TABLE>
24
<PAGE> 27
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ------------------------------------------------------------------------------
<S> <C> <C>
St. Paul Cos., Inc. 446,162 $ 26,156
Rite Aid Corp. 656,435 26,093
Ingersoll-Rand Co. 585,835 26,070
Tribune Co. 329,400 25,981
Providian Corp. 501,941 25,787
Sherwin-Williams Co. 459,501 25,732
Freeport-McMoRan Copper &
Gold Inc. Class B 859,911 25,690
Northrop Grumman Corp. 309,834 25,639
Winn-Dixie Stores, Inc. 807,673 25,543
R.R. Donnelley & Sons Co. 810,451 25,428
# Tenet Healthcare Corp. 1,161,577 25,410
DTE Energy Co. 778,544 25,205
W.R. Grace & Co. 476,650 24,667
The McGraw-Hill Cos. 532,636 24,568
Cooper Industries, Inc. 579,001 24,390
Republic New York Corp. 295,642 24,132
MGIC Investment Corp. 316,230 24,033
Nucor Corp. 469,372 23,938
# Silicon Graphics, Inc. 935,714 23,861
Newmont Mining Corp. 532,937 23,849
General Dynamics Corp. 337,990 23,828
Sonat, Inc. 462,562 23,822
Hercules, Inc. 548,706 23,732
- ------------------------------------------------------------------------------
TOTAL--300 LARGEST STOCKS 27,770,379
- ------------------------------------------------------------------------------
Phelps Dodge Corp. 350,156 23,636
CVS Corp. 566,658 23,445
MBIA, Inc. 231,386 23,428
VF Corp. 341,793 23,071
Eastman Chemical 416,908 23,034
W.W. Grainger, Inc. 284,430 22,826
Guidant Corp. 397,125 22,636
Champion International Corp. 512,185 22,152
GPU Inc. 645,779 21,714
The Dun & Bradstreet Corp. 912,666 21,676
# Bay Networks Inc. 1,034,913 21,604
Jefferson-Pilot Corp. 381,508 21,603
Allegheny Teledyne Inc. 932,194 21,440
Great Western Financial Corp. 737,977 21,401
Case Corp. 392,315 21,381
Baltimore Gas & Electric Co. 790,178 21,137
Union Electric Co. 546,370 21,035
Interpublic Group of Cos., Inc. 434,355 20,632
Willamette Industries, Inc. 296,149 20,582
# Western Atlas Inc. 287,406 20,370
Reynolds Metals Co. 356,592 20,103
PP&L Resources Inc. 867,182 19,945
New York Times Co. Class A 522,574 19,858
Avery Dennison Corp. 559,716 19,800
TJX Cos., Inc. 415,255 19,673
Golden West Financial Corp. 308,295 19,461
Knight-Ridder, Inc. 506,436 19,371
Laidlaw Inc. Class B 1,676,323 19,278
Raychem Corp. 239,799 19,214
Torchmark Corp. 378,428 19,111
Columbia Gas Systems, Inc. 296,174 18,844
Dillard Department Stores
Class A 608,636 18,792
Kerr-McGee Corp. 260,930 18,787
# Advanced Micro Devices, Inc. 729,204 18,777
Ohio Edison Co. 816,194 18,568
Whirlpool Corp. 398,238 18,568
# St. Jude Medical, Inc. 433,358 18,472
Johnson Controls, Inc. 222,738 18,459
H.F. Ahmanson & Co. 567,486 18,443
# LSI Logic Corp. 688,800 18,425
Rubbermaid, Inc. 801,558 18,235
Beneficial Corp. 287,705 18,233
# National Semiconductor Corp. 741,246 18,068
Hasbro, Inc. 463,171 18,006
Tupperware Corp. 333,975 17,909
# Novell, Inc. 1,893,835 17,873
Union Camp Corp. 372,652 17,794
Dana Corp. 544,648 17,769
Harcourt General, Inc. 383,507 17,689
Dow Jones & Co., Inc. 516,917 17,511
Comcast Corp. Class A Special 986,083 17,503
Mallinckrodt Inc. 395,633 17,457
Southwest Airlines Co. 776,797 17,187
# Andrew Corp. 323,478 17,144
Northern States Power Co. 369,571 16,954
Brown-Forman Corp. Class B 367,142 16,797
Sigma-Aldrich Corp. 268,573 16,752
# Humana, Inc. 871,429 16,666
The Mead Corp. 279,154 16,226
H & R Block, Inc. 556,701 16,144
Temple-Inland Inc. 296,187 16,031
Great Lakes Chemical Corp. 340,050 15,897
Circuit City Stores, Inc. 525,539 15,832
# General Instrument Corp. 731,759 15,824
Westvaco Corp. 546,753 15,719
Pall Corp. 615,476 15,695
# Woolworth Corp. 716,069 15,664
# Fruit of the Loom, Inc. 410,496 15,548
ITT Industries, Inc. 633,812 15,528
Parker-Hannifin Corp. 399,788 15,492
Armstrong World Industries Inc. 221,789 15,414
Nordstrom, Inc. 433,173 15,323
James River Corp. 461,371 15,283
Ashland Inc. 343,173 15,057
# Ceridian Corp. 368,375 14,919
Liz Claiborne, Inc. 385,790 14,901
# Thermo Electron Corp. 360,000 14,850
Engelhard Corp. 766,485 14,659
Deluxe Corp. 439,033 14,378
Harris Corp. 208,930 14,338
Black & Decker Corp. 472,057 14,221
Wendy's International, Inc. 693,611 14,219
USX-U.S. Steel Group 452,718 14,204
PACCAR, Inc. 208,535 14,128
Pennzoil Co. 248,922 14,064
# FMC Corp. 199,307 13,976
# Oryx Energy Co. 563,508 13,947
Pacific Enterprises 455,647 13,840
Tandy Corp. 314,365 13,832
# Apple Computer, Inc. 664,099 13,780
Perkin-Elmer Corp. 232,420 13,684
Comcast Corp. Class A 760,722 13,408
United States Surgical Corp. 336,788 13,261
Nalco Chemical Co. 361,460 13,058
USF&G Corp. 623,926 13,024
</TABLE>
25
<PAGE> 28
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------
MARKET
VALUE*
500 PORTFOLIO SHARES (000)
- ------------------------------------------------------------------------------
<S> <C> <C>
Ecolab, Inc. 345,026 $ 12,982
The Stanley Works 478,089 12,908
Whitman Corp. 561,965 12,855
# AutoZone, Inc. 465,900 12,812
Brunswick Corp. 528,100 12,674
- ------------------------------------------------------------------------------
TOTAL--400 LARGEST STOCKS 29,516,277
- ------------------------------------------------------------------------------
Harnischfeger Industries Inc. 262,256 12,621
Thomas & Betts Corp. 284,317 12,617
Reebok International Ltd. 298,232 12,526
Allergan, Inc. 350,789 12,497
Ryder System, Inc. 439,295 12,355
Louisiana-Pacific Corp. 584,587 12,349
Frontier Corp. 545,100 12,333
# ALZA Corp. 452,595 11,711
Owens-Corning 274,229 11,689
Cyprus Amax Minerals Co. 497,930 11,639
Snap-On Inc. 326,232 11,622
The BF Goodrich Co. 285,817 11,576
General Signal Corp. 265,400 11,346
American Greetings Corp.
Class A 397,201 11,271
NorAm Energy Corp. 731,323 11,244
# DSC Communications Corp. 628,457 11,234
Homestake Mining Co. 781,679 11,139
Giant Food, Inc. Class A 321,887 11,105
# Harrah's Entertainment, Inc. 553,164 10,994
Moore Corp. Ltd. 531,512 10,830
Santa Fe Pacific Gold Corp. 700,466 10,770
Maytag Corp. 541,090 10,687
Bausch & Lomb, Inc. 302,467 10,586
Polaroid Corp. 242,817 10,563
Echlin, Inc. 331,918 10,497
# Rowan Cos., Inc. 458,906 10,383
Bemis Co., Inc. 280,143 10,330
Pep Boys (Manny, Moe & Jack) 335,919 10,330
Supervalu Inc. 361,243 10,250
Louisiana Land & Exploration Co. 183,415 9,836
Mercantile Stores Co., Inc. 197,431 9,748
Cummins Engine Co., Inc. 211,216 9,716
Sun Co., Inc. 395,291 9,635
Millipore Corp. 230,746 9,547
NICOR, Inc. 265,910 9,506
National Service Industries, Inc. 254,108 9,497
Biomet, Inc. 615,497 9,309
Manor Care Inc. 334,474 9,031
Tektronix, Inc. 174,858 8,962
Cooper Tire & Rubber Co. 447,488 8,838
Worthington Industries, Inc. 481,880 8,734
# Tandem Computers, Inc. 633,891 8,716
ENSERCH Corp. 372,903 8,577
C.R. Bard, Inc. 304,668 8,531
Battle Mountain Gold Co.
Class A 1,193,306 8,204
Boise Cascade Corp. 256,970 8,159
Foster Wheeler Corp. 215,859 8,014
# USAir Group, Inc. 341,661 7,986
# Amdahl Corp. 649,558 7,876
Stone Container Corp. 527,671 7,849
The Timken Co. 167,416 7,680
Meredith Corp. 144,808 7,639
# Niagara Mohawk Power Corp. 765,638 7,561
# King World Productions, Inc. 199,830 7,369
Darden Restaurants Inc. 836,173 7,317
Crane Co. 245,921 7,132
Alberto-Culver Co. Class B 146,514 7,033
Helmerich & Payne, Inc. 132,964 6,931
Autodesk, Inc. 244,271 6,840
Briggs & Stratton Corp. 153,650 6,761
# Santa Fe Energy Resources, Inc. 486,373 6,748
# Beverly Enterprises Inc. 525,915 6,705
Potlatch Corp. 153,147 6,585
Great Atlantic & Pacific Tea
Co., Inc. 202,365 6,450
Peoples Energy Corp. 186,193 6,307
# Unisys Corp. 922,980 6,230
Scientific-Atlanta, Inc. 412,051 6,181
Shared Medical Systems Corp. 125,483 6,164
USLIFE Corp. 184,355 6,130
Russell Corp. 204,572 6,086
Centex Corp. 151,846 5,713
ASARCO, Inc. 227,106 5,649
TRINOVA Corp. 151,621 5,515
John H. Harland Co. 164,977 5,444
# Bethlehem Steel Corp. 590,170 5,312
Fleetwood Enterprises, Inc. 191,078 5,255
Inland Steel Industries, Inc. 259,283 5,186
Longs Drug Stores, Inc. 105,358 5,176
EG & G, Inc. 255,356 5,139
Safety-Kleen Corp. 309,417 5,067
Duracell International, Inc. 71,733 5,012
Echo Bay Mines Ltd. 740,654 4,907
Freeport-McMoRan Copper &
Gold Inc. Class A 172,483 4,851
McDermott International, Inc. 291,075 4,839
Cincinnati Milacron, Inc. 211,705 4,631
Springs Industries Inc. Class A 106,831 4,594
Jostens Inc. 205,016 4,331
ONEOK, Inc. 143,714 4,311
Ball Corp. 159,534 4,148
Alexander & Alexander
Services, Inc. 237,474 4,126
Caliber System Inc. 207,863 4,001
Pulte Corp. 127,043 3,907
Eastern Enterprises 110,228 3,899
Adolph Coors Co. Class B 201,202 3,823
# Navistar International Corp. 401,588 3,664
Fleming Cos., Inc. 200,851 3,465
# Data General Corp. 210,203 3,048
# Charming Shoppes, Inc. 548,196 2,741
# TCI Satellite Entertainment, Inc.
Class A 275,869 2,724
# Newport News Shipbuilding Inc. 180,256 2,704
Stride Rite Corp. 263,499 2,635
Kaufman & Broad Home Corp. 202,975 2,613
# Intergraph Corp. 250,597 2,569
# Viacom International Inc. Class A 71,693 2,473
Giddings & Lewis, Inc. 186,593 2,402
# Armco, Inc. 568,465 2,345
NACCO Industries, Inc. Class A 43,770 2,342
# Infinity Broadcasting Corp. 54,000 1,816
Consolidated Freightways, Inc. 51,576 1,148
</TABLE>
26
<PAGE> 29
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ------------------------------------------------------------------------------
<S> <C> <C>
# Consolidated Freightways Corp. 77,488 $ 688
# Ryan's Family Steak Houses, Inc. 92,737 638
# Shoney's Inc. 17,460 122
# Fresenius Medical Care AG
Pfd. Class D 235,422 31
- ------------------------------------------------------------------------------
TOTAL COMMON STOCKS (100.0%)(1)
(COST $21,866,619) 30,322,495
- ------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT
(000)
- ------------------------------------------------------------------------------
<S> <C> <C>
TEMPORARY CASH INVESTMENTS (0.2%)
- ------------------------------------------------------------------------------
U.S. TREASURY BILL--Note D
5.17%, 1/9/97 $ 7,500 7,493
REPURCHASE AGREEMENT
Collateralized by U.S. Government
Obligations in a Pooled
Cash Account
6.39%, 1/2/97 46,669 46,669
- ------------------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(COST $54,161) 54,162
- ------------------------------------------------------------------------------
TOTAL INVESTMENTS (100.2%)
(COST $21,920,780) 30,376,657
- ------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-0.2%)
- ------------------------------------------------------------------------------
Other Assets--Note B 603,670
Liabilities (648,475)
-----------
(44,805)
- ------------------------------------------------------------------------------
NET ASSETS (100%)
- ------------------------------------------------------------------------------
Applicable to 438,518,428 outstanding
shares of beneficial interest
(unlimited authorization) $30,331,852
==============================================================================
NET ASSET VALUE PER SHARE $69.17
==============================================================================
</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
contracts represents 100.1% of net assets.
ADR--American Depository Receipt.
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------
AMOUNT PER
(000) SHARE
- ------------------------------------------------------------------------------
<S> <C> <C>
AT DECEMBER 31, 1996, NET ASSETS CONSISTED OF:
- ------------------------------------------------------------------------------
Paid in Capital--Note C $21,808,593 $49.74
Undistributed Net
Investment Income 23,865 .05
Accumulated Net
Realized Gains--Note C 43,958 .10
Unrealized Appreciation
(Depreciation)--Note D
Investment Securities 8,455,877 19.28
Futures Contracts (441) --
- ------------------------------------------------------------------------------
NET ASSETS $30,331,852 $69.17
- ------------------------------------------------------------------------------
</TABLE>
27
<PAGE> 30
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>
- ------------------------------------------------------------------------------------------------------------------------
YEAR ENDED DECEMBER 31, 1996
---------------------------------------------------------------
EXTENDED TOTAL STOCK
500 MARKET MARKET GROWTH
PORTFOLIO PORTFOLIO* PORTFOLIO* PORTFOLIO*
(000) (000) (000) (000)
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME
INCOME
Dividends $ 519,277 $ 26,241 $ 48,257 $ 8,880
Interest 10,100 4,195 4,842 268
---------------------------------------------------------------
Total Income 529,377 30,436 53,099 9,148
---------------------------------------------------------------
EXPENSES
The Vanguard Group--Note B
Investment Advisory Services 20 27 27 12
Management and Administrative 39,269 3,864 4,679 823
Marketing and Distribution 5,616 384 605 124
Taxes (other than income taxes) 791 69 72 12
Custodian Fees 312 117 131 19
Auditing Fees 34 10 11 8
Shareholders' Reports 879 72 51 21
Annual Meeting and Proxy Costs 274 20 16 11
Trustees' Fees and Expenses 66 5 6 1
---------------------------------------------------------------
Total Expenses 47,261 4,568 5,598 1,031
- ------------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 482,116 25,868 47,501 8,117
- ------------------------------------------------------------------------------------------------------------------------
REALIZED NET GAIN
Investment Securities Sold 509,247 128,509 17,019 5,992
Futures Contracts 31,011 6,833 10,361 452
- ------------------------------------------------------------------------------------------------------------------------
REALIZED NET GAIN 540,258 135,342 27,380 6,444
- ------------------------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION)
Investment Securities 3,961,475 132,887 411,585 97,821
Futures Contracts (209) 643 534 22
- ------------------------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION) 3,961,266 133,530 412,119 97,843
- ------------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS $4,983,640 $294,740 $487,000 $112,404
========================================================================================================================
</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, and the Report Of Independent Accountants are included as an insert
to this Report.
28
<PAGE> 31
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------
YEAR ENDED DECEMBER 31, 1996
----------------------------------
SMALL
CAPITALIZATION
VALUE STOCK
PORTFOLIO* PORTFOLIO*
(000) (000)
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INVESTMENT INCOME
INCOME
Dividends $ 20,433 $ 21,215
Interest 276 2,741
----------------------------------
Total Income 20,709 23,956
----------------------------------
EXPENSES
The Vanguard Group--Note B
Investment Advisory Services 12 29
Management and Administrative 1,221 2,891
Marketing and Distribution 173 308
Taxes (other than income taxes) 23 44
Custodian Fees 30 35
Auditing Fees 9 9
Shareholders' Reports 30 62
Annual Meeting and Proxy Costs 11 19
Trustees' Fees and Expenses 2 4
----------------------------------
Total Expenses 1,511 3,401
- ---------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 19,198 20,555
- ---------------------------------------------------------------------------------------------------------------
REALIZED NET GAIN
Investment Securities Sold 46,255 106,032
Futures Contracts 608 2,264
- ---------------------------------------------------------------------------------------------------------------
REALIZED NET GAIN 46,863 108,296
- ---------------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Investment Securities 88,848 83,281
Futures Contracts 12 46
- ---------------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) 88,860 83,327
- ---------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $154,921 $212,178
===============================================================================================================
</TABLE>
*The Statements of Net Assets for the Value and Small Capitalization Stock
Portfolios, an integral part of the financial statements for each Portfolio,
and the Report Of Independent Accountants are included as an insert to this
Report.
29
<PAGE> 32
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
----------------------------------- ------------------------
YEAR ENDED DECEMBER 31,
----------------------------------------------------------------
1996 1995 1996 1995
(000) (000) (000) (000)
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INCREASE IN NET ASSETS
OPERATIONS
Net Investment Income $ 482,116 $ 308,784 $ 25,868 $ 18,358
Realized Net Gain 540,258 224,353 135,342 47,260
Change in Unrealized Appreciation (Depreciation) 3,961,266 3,461,446 133,530 279,593
----------------------------------------------------------------
Net Increase in Net Assets Resulting
from Operations 4,983,640 3,994,583 294,740 345,211
----------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (510,308) (329,358) (25,620) (18,335)
Realized Capital Gain (103,232) (38,412) (127,262) (24,450)
----------------------------------------------------------------
Total Distributions (613,540) (367,770) (152,882) (42,785)
----------------------------------------------------------------
NET EQUALIZATION CREDITS--Note A 36,930 24,573 -- --
----------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS(1)
Issued 12,313,689 6,176,329 690,749 333,688
Issued in Lieu of Cash Distributions 561,779 333,373 139,754 38,420
Redeemed (4,322,481) (2,145,554) (396,736) (118,616)
----------------------------------------------------------------
Net Increase from Capital Share Transactions 8,552,987 4,364,148 433,767 253,492
- -----------------------------------------------------------------------------------------------------------------------
Total Increase 12,960,017 8,015,534 575,625 555,918
- -----------------------------------------------------------------------------------------------------------------------
NET ASSETS
Beginning of Year 17,371,835 9,356,301 1,523,213 967,295
----------------------------------------------------------------
End of Year $30,331,852 $17,371,835 $2,098,838 $1,523,213
=======================================================================================================================
(1)Shares Issued (Redeemed)
Issued 197,182 119,957 26,677 14,948
Issued in Lieu of Cash Distributions 8,437 6,165 5,423 1,617
Redeemed (68,675) (42,269) (15,254) (5,530)
----------------------------------------------------------------
Net Increase in Shares Outstanding 136,944 83,853 16,846 11,035
=======================================================================================================================
</TABLE>
30
<PAGE> 33
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------
TOTAL STOCK MARKET GROWTH
PORTFOLIO PORTFOLIO
----------------------------------- -----------------------
YEAR ENDED DECEMBER 31,
----------------------------------------------------------------
1996 1995 1996 1995
(000) (000) (000) (000)
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INCREASE IN NET ASSETS
OPERATIONS
Net Investment Income $ 47,501 $ 24,738 $ 8,117 $ 2,807
Realized Net Gain 27,380 13,382 6,444 2,780
Change in Unrealized Appreciation (Depreciation) 412,119 302,059 97,843 43,832
----------------------------------------------------------------
Net Increase in Net Assets Resulting
from Operations 487,000 340,179 112,404 49,419
----------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (47,409) (25,383) (8,068) (2,809)
Realized Capital Gain (19,087) (9,220) (5,200) --
----------------------------------------------------------------
Total Distributions (66,496) (34,603) (13,268) (2,809)
----------------------------------------------------------------
NET EQUALIZATION CREDITS--Note A -- 1,408 -- 153
----------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS(1)
Issued 1,778,726 572,389 534,984 172,136
Issued in Lieu of Cash Distributions 61,058 30,454 12,443 2,521
Redeemed (300,321) (124,622) (130,661) (36,588)
----------------------------------------------------------------
Net Increase from Capital Share Transactions 1,539,463 478,221 416,766 138,069
- -----------------------------------------------------------------------------------------------------------------------
Total Increase 1,959,967 785,205 515,902 184,832
- -----------------------------------------------------------------------------------------------------------------------
NET ASSETS
Beginning of Year 1,570,889 785,684 271,002 86,170
----------------------------------------------------------------
End of Year $3,530,856 $1,570,889 $786,904 $271,002
=======================================================================================================================
(1)Shares Issued (Redeemed)
Issued 109,053 42,692 34,801 13,833
Issued in Lieu of Cash Distributions 3,572 2,142 772 197
Redeemed (18,391) (9,484) (8,427) (3,005)
----------------------------------------------------------------
Net Increase in Shares Outstanding 94,234 35,350 27,146 11,025
=======================================================================================================================
</TABLE>
31
<PAGE> 34
STATEMENT OF CHANGES IN NET ASSETS (continued)
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------
VALUE SMALL CAPITALIZATION
PORTFOLIO STOCK PORTFOLIO
----------------------------------- -------------------------
YEAR ENDED DECEMBER 31,
----------------------------------------------------------------
1996 1995 1996 1995
(000) (000) (000) (000)
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INCREASE IN NET ASSETS
OPERATIONS
Net Investment Income $ 19,198 $ 11,372 $ 20,555 $ 12,158
Realized Net Gain 46,863 11,285 108,296 32,925
Change in Unrealized Appreciation (Depreciation) 88,860 91,742 83,327 142,138
----------------------------------------------------------------
Net Increase in Net Assets Resulting
from Operations 154,921 114,399 212,178 187,221
----------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (19,729) (11,989) (21,098) (11,543)
Realized Capital Gain (28,488) -- (109,741) (22,583)
----------------------------------------------------------------
Total Distributions (48,217) (11,989) (130,839) (34,126)
----------------------------------------------------------------
NET EQUALIZATION CREDITS--Note A -- 772 -- --
----------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS(1)
Issued 537,032 184,957 751,887 296,341
Issued in Lieu of Cash Distributions 44,164 10,456 121,326 30,822
Redeemed (168,500) (99,197) (212,431) (114,401)
----------------------------------------------------------------
Net Increase from Capital Share Transactions 412,696 96,216 660,782 212,762
- -----------------------------------------------------------------------------------------------------------------------
Total Increase 519,400 199,398 742,121 365,857
- -----------------------------------------------------------------------------------------------------------------------
NET ASSETS
Beginning of Year 496,327 296,929 971,233 605,376
----------------------------------------------------------------
End of Year $1,015,727 $496,327 $1,713,354 $971,233
=======================================================================================================================
(1)Shares Issued (Redeemed)
Issued 34,020 13,982 37,170 16,951
Issued in Lieu of Cash Distributions 2,679 761 6,100 1,676
Redeemed (10,585) (7,889) (10,771) (6,821)
----------------------------------------------------------------
Net Increase in Shares Outstanding 26,114 6,854 32,499 11,806
=======================================================================================================================
</TABLE>
32
<PAGE> 35
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 THROUGHOUT EACH YEAR 1996 1995 1994 1993 1992
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF YEAR $57.60 $42.97 $43.83 $40.97 $39.32
- ----------------------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income 1.28 1.22 1.18 1.13 1.12
Net Realized and Unrealized Gain (Loss) on Investments 11.82 14.76 (.67) 2.89 1.75
-----------------------------------------------------------------
Total from Investment Operations 13.10 15.98 .51 4.02 2.87
-----------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (1.28) (1.22) (1.17) (1.13) (1.12)
Distributions from Realized Capital Gains (.25) (.13) (.20) (.03) (.10)
-----------------------------------------------------------------
Total Distributions (1.53) (1.35) (1.37) (1.16) (1.22)
- ----------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF YEAR $69.17 $57.60 $42.97 $43.83 $40.97
==================================================================================================================================
TOTAL RETURN* 22.88% 37.45% 1.18% 9.89% 7.42%
==================================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Year (Millions) $30,332 $17,372 $9,356 $8,273 $6,547
Ratio of Total Expenses to Average Net Assets 0.20% 0.20% 0.19% 0.19% 0.19%
Ratio of Net Investment Income to Average Net Assets 2.04% 2.38% 2.72% 2.65% 2.81%
Portfolio Turnover Rate 5%+ 4%+ 6%+ 6%+ 4%+
Average Commission Rate Paid $.0166 N/A N/A N/A N/A
- ----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
*Total return figures do not reflect the annual account maintenance fee of $10.
+Portfolio turnover rates excluding in-kind redemptions were 2%, 2%, 4%, 2%,
and 1%, respectively.
33
<PAGE> 36
FINANCIAL HIGHLIGHTS (continued)
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
EXTENDED MARKET PORTFOLIO
YEAR ENDED DECEMBER 31,
-----------------------------------------------------------------
FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR 1996 1995 1994 1993 1992
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF YEAR $24.07 $18.52 $19.43 $17.35 $15.82
- ----------------------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .34 .30 .28 .23 .24
Net Realized and Unrealized Gain (Loss) on Investments 3.85 5.95 (.62) 2.28 1.72
-----------------------------------------------------------------
Total from Investment Operations 4.19 6.25 (.34) 2.51 1.96
-----------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.34) (.30) (.28) (.23) (.25)
Distributions from Realized Capital Gains (1.72) (.40) (.29) (.20) (.18)
-----------------------------------------------------------------
Total Distributions (2.06) (.70) (.57) (.43) (.43)
- ----------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF YEAR $26.20 $24.07 $18.52 $19.43 $17.35
==================================================================================================================================
TOTAL RETURN* 17.65% 33.80% -1.76% 14.49% 12.47%
==================================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Year (Millions) $2,099 $1,523 $967 $928 $585
Ratio of Total Expenses to Average Net Assets 0.25% 0.25% 0.20% 0.20% 0.20%
Ratio of Net Investment Income to Average Net Assets 1.42% 1.51% 1.51% 1.48% 1.73%
Portfolio Turnover Rate 22% 15% 19% 13% 9%
Average Commission Rate Paid $.0235 N/A N/A N/A N/A
- ----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
*Total return figures do not reflect transaction fees on purchases (0.5% in
1995 and 1996, 1.0% in 1992 through 1994) or the annual account maintenance
fee of $10.
34
<PAGE> 37
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
TOTAL STOCK MARKET PORTFOLIO
YEAR ENDED DECEMBER 31,
------------------------------------------------- MAR. 16* TO
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 1996 1995 1994 1993 DEC. 31, 1992
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $15.04 $11.37 $11.69 $10.84 $10.00
- ----------------------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .29 .29 .27 .26 .23
-----------------------------------------------------------------
Net Realized and Unrealized Gain (Loss) on Investments 2.84 3.75 (.29) .88 .84
-----------------------------------------------------------------
Total from Investment Operations 3.13 4.04 (.02) 1.14 1.07
DISTRIBUTIONS
Dividends from Net Investment Income (.29) (.28) (.27) (.26) (.23)
Distributions from Realized Capital Gains (.11) (.09) (.03) (.03) --
-----------------------------------------------------------------
Total Distributions (.40) (.37) (.30) (.29) (.23)
- ----------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $17.77 $15.04 $11.37 $11.69 $10.84
==================================================================================================================================
TOTAL RETURN** 20.96% 35.79% -0.17% 10.62% 10.41%
==================================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $3,531 $1,571 $786 $512 $275
Ratio of Total Expenses to Average Net Assets 0.22% 0.25% 0.20% 0.20% 0.21%+
Ratio of Net Investment Income to Average Net Assets 1.86% 2.14% 2.35% 2.31% 2.42%+
Portfolio Turnover Rate 3% 3% 2% 1% 3%
Average Commission Rate Paid $.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.
35
<PAGE> 38
FINANCIAL HIGHLIGHTS (continued)
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
GROWTH PORTFOLIO
YEAR ENDED DECEMBER 31,
------------------------------------------------ NOV. 2* TO
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 1996 1995 1994 1993 DEC. 31, 1992
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $13.97 $10.28 $10.20 $10.26 $10.00
- ----------------------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .22 .21 .21 .21 .06
-----------------------------------------------------------------
Net Realized and Unrealized Gain (Loss) on Investments 3.07 3.68 .08 (.06) .26
-----------------------------------------------------------------
Total from Investment Operations 3.29 3.89 .29 .15 .32
DISTRIBUTIONS
Dividends from Net Investment Income (.22) (.20) (.21) (.21) (.06)
Distributions from Realized Capital Gains (.14) -- -- -- --
-----------------------------------------------------------------
Total Distributions (.36) (.20) (.21) (.21) (.06)
- ----------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $16.90 $13.97 $10.28 $10.20 $10.26
==================================================================================================================================
TOTAL RETURN** 23.74% 38.06% 2.89% 1.53% 3.19%
==================================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $787 $271 $86 $51 $21
Ratio of Total Expenses to Average Net Assets 0.20% 0.20% 0.20% 0.20% 0%+
Ratio of Net Investment Income to Average Net Assets 1.57% 1.71% 2.08% 2.10% 2.85%+
Portfolio Turnover Rate 29% 24% 28% 36% 2%
Average Commission Rate Paid $.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.
36
<PAGE> 39
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
VALUE PORTFOLIO
YEAR ENDED DECEMBER 31,
------------------------------------------------ NOV. 2* TO
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 1996 1995 1994 1993 DEC. 31, 1992
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $14.79 $11.12 $11.74 $10.30 $10.00
- ----------------------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .37 .41 .38 .38 .07
Net Realized and Unrealized Gain (Loss) on Investments 2.81 3.66 (.46) 1.50 .30
-----------------------------------------------------------------
Total from Investment Operations 3.18 4.07 (.08) 1.88 .37
-----------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.38) (.40) (.38) (.38) (.07)
Distributions from Realized Capital Gains (.57) -- (.16) (.06) --
-----------------------------------------------------------------
Total Distributions (.95) (.40) (.54) (.44) (.07)
- ----------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $17.02 $14.79 $11.12 $11.74 $10.30
==================================================================================================================================
TOTAL RETURN** 21.86% 36.94% -0.73% 18.35% 3.70%
==================================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $1,016 $496 $297 $190 $24
Ratio of Total Expenses to Average Net Assets 0.20% 0.20% 0.20% 0.20% 0%+
Ratio of Net Investment Income to Average Net Assets 2.54% 3.06% 3.37% 3.26% 3.46%+
Portfolio Turnover Rate 29% 27% 32% 30% 4%
Average Commission Rate Paid $.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.
37
<PAGE> 40
FINANCIAL HIGHLIGHTS (continued)
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------
SMALL CAPITALIZATION STOCK PORTFOLIO
YEAR ENDED
DECEMBER 31,
--------------------------- FEB. 1* TO
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 1996 1995 DEC. 31, 1994
- -------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $18.61 $14.99 $16.24
- -------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .26 .24 .20
Net Realized and Unrealized Gain (Loss)
on Investments 3.07 4.06 (.86)
------------------------------------------
Total from Investment Operations 3.33 4.30 (.66)
------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.27) (.23) (.22)
Distributions from Realized Capital Gains (1.44) (.45) (.37)
------------------------------------------
Total Distributions (1.71) (.68) (.59)
- -------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $20.23 $18.61 $14.99
=======================================================================================================
TOTAL RETURN** 18.12% 28.74% -4.00%
=======================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $1,713 $971 $605
Ratio of Total Expenses to Average Net Assets 0.25% 0.25% 0.17%+
Ratio of Net Investment Income to
Average Net Assets 1.51% 1.58% 1.50%+
Portfolio Turnover Rate 28% 28% 25%
Average Commission Rate Paid $.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 the 1% transaction fee on purchases or
the annual account maintenance fee of $10.
+Annualized.
38
<PAGE> 41
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.
Prior to January 1996, the Total Stock Market, Growth, and
Value Portfolios followed the accounting practice of equalization. As of
January 1, 1996, these Portfolios have discontinued equalization accounting
and have reclassified accumulated net equalization credits of $4,364,000,
$342,000, and $2,230,000, respectively, from undistributed net investment
income to paid in capital. These reclassifications have no effect on the
Portfolios' net assets, results of operations, or net asset values per share.
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
39
<PAGE> 42
Small Capitalization Stock Portfolios), S&P Midcap 400 Index (Extended
Market, Total Stock Market, and Small Capitalization Stock Portfolios), S&P
Growth Index (Growth Portfolio), S&P Value Index (Value Portfolio), and
Russell 2000 Index (Small Capitalization Stock Portfolio).
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 December 31, 1996, the Trust had contributed capital
aggregating $3,464,000 to Vanguard (included in Other Assets),
representing 17.3% of Vanguard's capitalization. The Trust's trustees and
officers are also directors and officers of Vanguard.
C. During the year ended December 31, 1996, purchases and sales of
investment securities other than temporary cash investments were:
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------
(000)
-------------------------------------
PORTFOLIO PURCHASES SALES
- ----------------------------------------------------------------------------------------------
<S> <C> <C>
500 $9,709,201 $1,204,241
Extended Market 692,433 395,663
Total Stock Market 1,511,850 77,567
Growth 559,380 148,028
Value 597,867 220,809
Small Capitalization Stock 890,393 367,271
- ----------------------------------------------------------------------------------------------
</TABLE>
During the year ended December 31, 1996, the 500, Growth, and
Value Portfolios realized $404,174,000, $4,670,000, and $4,062,000,
respectively, 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
Portfolios, and are not distributed to shareholders, they have been
reclassified from accumulated net realized gains to paid in capital.
Total Stock Market, Growth, and Value Portfolio gains of $3,741,000,
$199,000, and $2,035,000, respectively, on securities held for less than one
year are treated as ordinary income for tax purposes and have been
included in income dividends to shareholders; accordingly, such gains have
been reclassified from accumulated net realized gains to undistributed net
investment income.
For federal tax purposes, capital gains required to be distributed
in December 1996 included net gains realized through October 31, 1996.
Subsequently, the Growth Portfolio realized capital losses of $1,792,000,
which are available to offset future capital gains.
40
<PAGE> 43
D. At December 31, 1996, net unrealized appreciation of investment
securities for financial reporting and federal income tax purposes was:
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------
(000)
-------------------------------------------------
APPRECIATED DEPRECIATED NET UNREALIZED
PORTFOLIO SECURITIES SECURITIES APPRECIATION
- --------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
500 $8,720,636 $(264,759) $8,455,877
Extended Market 652,998 (117,769) 535,229
Total Stock Market 837,611 (92,722) 744,889
Growth 148,548 (4,609) 143,939
Value 188,367 (12,370) 175,997
Small Capitalization Stock 386,988 (119,900) 267,088
- --------------------------------------------------------------------------------------------------------
</TABLE>
At December 31, 1996, the aggregate settlement value of open
futures contracts expiring in March 1997 and the related unrealized
appreciation (depreciation) were:
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------
(000)
------------------------------------------------
AGGREGATE UNREALIZED
NUMBER OF SETTLEMENT APPRECIATION
PORTFOLIO/FUTURES CONTRACTS LONG CONTRACTS VALUE (DEPRECIATION)
- --------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
500/
S&P 500 73 $ 27,174 $(441)
Extended Market/
New York Stock Exchange
Composite Index 223 43,842 108
S&P Midcap 400 Index 166 21,298 72
Total Stock Market/
S&P 500 Index 281 104,602 57
S&P Midcap 400 Index 257 32,973 163
Value/
S&P Value Index 20 3,880 12
Small Capitalization Stock/
S&P Midcap 400 Index 289 37,079 (25)
New York Stock Exchange
Composite Index 17 3,342 (15)
- --------------------------------------------------------------------------------------------------------
</TABLE>
Unrealized appreciation (depreciation) on open futures contracts is
required to be treated as realized gain (loss) for federal income tax
purposes. The market values of U.S. Treasury bills deposited as initial margin
for open futures contracts by the 500, Extended Market, Total Stock Market,
Value, and Small Capitalization Stock Portfolios were $7,493,000, $1,399,000,
$4,596,000, $200,000, and $1,499,000, respectively.
41
<PAGE> 44
E. The market value of securities on loan to broker/dealers at December 31,
1996, and collateral received with respect to such loans were:
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------
(000)
---------------------------------------
MARKET VALUE CASH
OF LOANED COLLATERAL
PORTFOLIO SECURITIES RECEIVED
- ---------------------------------------------------------------------------------------
<S> <C> <C>
Extended Market $68,717 $73,373
Total Stock Market 29,426 32,335
Small Capitalization Stock 49,989 53,217
- ---------------------------------------------------------------------------------------
</TABLE>
42
<PAGE> 45
REPORT OF INDEPENDENT ACCOUNTANTS
To the Shareholders and
Board of Trustees of
Vanguard Index Trust
In our opinion, the accompanying statement of net assets and the related
statements of operations and of changes in net assets and the financial
highlights present fairly, in all material respects, the financial position of
500 Portfolio (a separate portfolio of Vanguard Index Trust, the "Trust") at
December 31, 1996, and the results of its operations, the changes in its net
assets and the financial highlights for each of the periods indicated, in
conformity with generally accepted accounting principles. These financial
statements and financial highlights (hereafter referred to as "financial
statements") are the responsibility of the Trust's management; our
responsibility is to express an opinion on these financial statements based on
our audits. We conducted our audits of these financial statements in accordance
with generally accepted auditing standards which require that we plan and
perform the audit to obtain reasonable assurance about whether the financial
statements are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements, assessing the accounting principles used and significant estimates
made by management, and evaluating the overall financial statement
presentation. We believe that our audits, which included confirmation of
securities at December 31, 1996 by correspondence with the custodian and
brokers and, with respect to unsettled securities transactions, the application
of alternative auditing procedures where confirmations from brokers were not
received, provide a reasonable basis for the opinion expressed above.
We have also audited the financial statements of the other
portfolios included in the Trust at December 31, 1996, and we have issued our
report thereon. An insert to this Annual Report containing our report on the
financial statements of the other portfolios is available from the Trust.
PRICE WATERHOUSE LLP
Thirty South Seventeenth Street
Philadelphia, Pennsylvania 19103
January 31, 1997
43
<PAGE> 46
SPECIAL 1996 TAX INFORMATION (UNAUDITED)
VANGUARD INDEX TRUST
This information for the fiscal year ended December 31, 1996, is included
pursuant to provisions of the Internal Revenue Code.
The Fund designates the following as capital gain dividends (from net
long-term capital gains):
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------
LONG-TERM CAPITAL GAINS (000)
----------------------------------------------------------
AMOUNT BALANCE FOR
TOTAL DISTRIBUTED DISTRIBUTION IN
PORTFOLIO DESIGNATED IN 1996 MARCH 1997
- --------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
500 $111,736 $92,123 $19,613
Extended Market 118,847 91,981 26,866
Total Stock Market 18,213 11,874 6,339
Growth 2,891 2,891 --
Value 28,672 14,902 13,770
Small Capitalization Stock 82,897 79,307 3,590
- --------------------------------------------------------------------------------------------------
</TABLE>
For corporate shareholders, the percentage of investment income
(dividend income plus short-term gains, if any) that qualifies for the
dividends-received deduction is as follows:
<TABLE>
<S> <C>
500 Portfolio 98.1%
Extended Market Portfolio 59.3
Total Stock Market Portfolio 83.5
Growth Portfolio 97.8
Value Portfolio 58.1
Small Capitalization Stock Portfolio 44.6
</TABLE>
"Standard & Poor's(R)," "S&P 500(R)," and "500" are trademarks of The
McGraw-Hill Companies, Inc.; "Wilshire 4500" and "Wilshire 5000" are
registered trademarks of Wilshire Associates; "Russell 2000" is a registered
trademark of the Frank Russell Company.
All comparative mutual fund data are from Lipper Analytical Services, Inc. or
Morningstar unless otherwise noted.
44
<PAGE> 47
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.;
Director of Sun Company, Inc. and Westinghouse Electric Corp.
BARBARA BARNES HAUPTFUHRER, Director of The Great Atlantic and Pacific Tea Co.,
Alco Standard Corp., Raytheon Co., Knight-Ridder, Inc., and
Massa-chusetts Mutual Life Insurance Co.
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.
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
[email protected] http://www.vanguard.com
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) 1996 Vanguard Marketing Corporation, Distributor
<PAGE> 48
[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 Quantitative Portfolios
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/Trustees' Equity--International
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)
Q400-12/96
<PAGE> 49
[PHOTO]
VANGUARD INDEX TRUST
FINANCIAL STATEMENTS
DECEMBER 31, 1996
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 22 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
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 . . . . . . . . . . . . . . . . . . . . . 49
Small Capitalization Stock Portfolio . . . . . . . . . . . 53
Report Of Independent Accountants . . . . . . . . . . . . 68
</TABLE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
MARKET
VALUE*
EXTENDED MARKET PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------
COMMON STOCKS
- -----------------------------------------------------------------------
<S> <C> <C>
AAR Corp. 28,800 $ 871
# ABR Information Services, Inc. 10,300 405
# ABT Building Products Corp. 27,600 700
# ADC Telecommunications, Inc. 110,300 3,433
ADE Corp. 46,400 774
AFLAC, Inc. 119,115 5,092
AGCO Corp. 47,700 1,365
AGL Resources Inc. 45,500 961
AES Corp. 63,366 2,946
# AES Corp. Warrants Exp. 7/31/00 146 3
AK Steel Holding Corp. 21,000 832
# APAC Teleservices, Inc. 38,989 1,496
# APS Holding Corp. 34,600 534
APL Ltd. 33,454 790
ARCO Chemical Co. 82,608 4,048
# AST Research, Inc. 134,714 577
AVX Corp. 74,300 1,597
Aames Financial Corp. 25,100 900
Abington Savings Bank 2,900 58
# Able Telcom Holding Corp. 61,200 457
# Acceptance Insurance Cos. Inc. 36,700 725
# Access Health Marketing, Inc. 20,483 922
# Acclaim Entertainment Inc. 68,300 226
# AccuStaff, Inc. 56,800 1,200
Aceto Corp. 27,308 384
# Acme Electric Corp. 40,700 275
# Acme Metals, Inc. 26,600 515
# ACNielson Corp. 47,500 718
# Action Performance Cos., Inc. 58,900 1,075
# Acuson Corp. 46,238 1,127
# ACX Technologies Inc. 42,400 843
# Acxiom Corp. 44,922 1,072
# Adaptec, Inc. 95,400 3,822
Adobe Systems, Inc. 60,840 2,278
# Adtran, Inc. 33,000 1,371
# Advanced Fibre Communications 25,000 1,392
</TABLE>
1
<PAGE> 50
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
MARKET
VALUE*
EXTENDED MARKET PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C>
# Advanced Logic Research 57,500 $ 701
# Advanced Magnetics, Inc. 28,200 437
# Advanced Mammography
Systems, Inc. 101,475 168
# Advanced Marketing Services 24,300 254
# Advanced NMR Systems, Inc. 127,900 30
# Advanced Polymer Systems 65,000 487
# Advanced Technology
Laboratories, Inc. 28,137 862
# Advanced Tissue Sciences Inc. 55,442 535
# Advantage Life Products, Inc. 2,030 4
ADVO, Inc. 64,175 898
Advanta Corp. Class A 35,000 1,494
# Aerial Communications Inc. 107,700 862
# Affiliated Computer Services, Inc. 29,400 864
# Agouron Pharmaceuticals, Inc. 10,300 696
# Agri-Nutrition Group Ltd. 27,100 32
# Air and Water Technologies Corp.
Class A 94,798 545
Airborne Freight Corp. 28,510 666
# Airgas, Inc. 59,100 1,300
AirTouch Communications, Inc.
Cvt. 6.00% 11,709 319
AirTouch Communications, Inc.
Pfd. 4.25% Series C 7,519 340
# Airways Corp. 43,700 130
# Alaska Air Group, Inc. 21,400 449
Albank Financial Corp. 25,180 795
Albany International Corp. 43,300 1,001
Albemarle Corp. 46,602 845
Alex Brown, Inc. 13,620 987
Alexander & Baldwin, Inc. 39,300 975
# Alexander's, Inc. 9,300 736
Alfa Corp. 62,000 790
Aliant Communications Inc. 56,300 950
# Allegro New Media Inc. 23,977 96
# Alleghany Corp. 6,136 1,301
Allegheny Power System, Inc. 103,600 3,147
# Allegiance Corp. 45,000 1,243
# The Allen Group, Inc. 44,040 980
# Alliance Gaming Corp. 81,700 352
# Alliance Pharmaceutical Corp. 53,800 733
# Alliance Semiconductor Corp. 93,550 666
# Alliant Techsystems, Inc. 18,400 1,012
Allied Capital Commercial Corp. 34,400 795
# Allied Devices Corp. 11,200 29
Allied Products Corp. 22,201 660
# Allied Waste Industries, Inc. 91,300 839
Allmerica Financial Corp. 43,374 1,453
Allmerica Property &
Casualty Cos. 49,400 1,500
# Allou Health & Beauty, Inc. 51,400 344
# Allwaste, Inc. 146,646 751
# Aloette Cosmetics, Inc. 47,700 149
Alpharma, Inc. Class A 51,200 730
# Altera Corp. 37,590 2,732
# Alumax, Inc. 36,900 1,231
# Amax Gold, Inc. 99,287 633
AMBAC, Inc. 29,578 1,963
Amcast Industrial Corp. 23,200 574
# Amerco Inc. 28,700 997
# America Online, Inc. 77,200 2,567
# America West Airlines, Inc. 34,600 549
American Annuity Group Inc. 65,278 922
American Bankers
Insurance Group 16,900 862
# American Banknote Corp. 130,100 602
American Federal Bank 18,400 350
American Financial Group, Inc. 50,600 1,910
# American Freightways 52,100 573
American General
Hospitality Corp. 27,400 651
American Insured Mortgage
Investors-Series 86 37,200 437
# American Management
Systems, Inc. 35,725 871
# American Medical Response, Inc. 30,300 985
# American Mobile Satellite
Corp., Inc. 54,800 675
American National Insurance Co. 22,350 1,659
# American Oncology
Resources, Inc. 73,700 751
# American Power
Conversion Corp. 81,100 2,215
# American Safety Razor Co. 43,400 597
# American Science &
Engineering, Inc. 37,100 501
# American Software, Inc. Class A 94,050 594
# American Standard Cos., Inc. 67,800 2,593
American States Financial Corp. 49,900 1,322
# American Studios, Inc. 32,600 79
American Water Works Co., Inc. 65,274 1,346
# Americredit Corp. 47,700 978
Ameron International Corp. 10,700 552
# AmeriSource Health Corp. 23,704 1,144
AmeriGas Partners, LP 35,100 785
Ametek, Inc. 44,700 994
Ampco-Pittsburgh Corp. 32,365 388
# Amphenol Corp. 39,842 886
# Amre, Inc. 49,657 81
# Amrep Corp. 64,600 250
AmSouth Bancorp 47,579 2,302
# Amtech Corp. 76,850 509
# Amylin Pharmaceuticals, Inc. 60,900 799
Anadarko Petroleum Corp. 50,700 3,283
# Analog Devices, Inc. 99,194 3,360
Anchor Bancorp Wisconsin Inc. 14,800 533
# Anchor Gaming 20,001 797
Andover Bancorp, Inc. 12,720 327
# Andrx Corp. 40,400 646
Angelica Corp. 33,100 633
# Anixter International Inc. 67,900 1,095
# AnnTaylor Stores Corp. 32,200 563
# Antec Corp. 52,100 466
Apache Corp. 77,700 2,749
# Apertus Technologies, Inc. 90,500 206
Apogee Enterprises, Inc. 22,700 899
# Aphton Corp. 31,961 635
# Apollo Group, Inc. Class A 40,075 1,340
Apple South, Inc. 33,576 447
Applebee's International, Inc. 24,818 679
# Apria Healthcare 40,280 755
</TABLE>
2
<PAGE> 51
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C>
# Applied Magnetics Corp. 2,900 $ 87
# Applied Microsystems Corp. 33,000 445
# Applix, Inc. 26,479 574
Aptargroup Inc. 25,900 913
Aquarion Co. 19,649 548
# Aquila Biopharmaceuticals, Inc. 920 5
Arbor Drugs, Inc. 52,425 904
# Arbor Software Corp. 24,000 579
Arcadian Corp. 32,800 869
Argonaut Group, Inc. 20,419 636
# Argosy Gaming Co. 81,200 376
Arkansas Best Corp. 65,900 280
Arnold Industries, Inc. 41,900 660
# Arrow Electronics, Inc. 45,850 2,453
Arrow International, Inc. 32,300 917
# Arterial Vascular Engineering, Inc. 36,900 461
# Artisoft, Inc. 76,300 391
Arvin Industries, Inc. 35,300 874
# Ascend Communications, Inc. 99,474 6,180
Ashland Coal Inc. 27,500 763
# Aspect Telecommunications Corp. 16,500 1,044
# Aspen Technologies, Inc. 1,600 128
Associated Estates Realty
Corp. REIT 37,200 884
# Associated Group, Inc. 25,428 769
# Associated Group, Inc. Class B 5,775 170
Associates First Capital Corp. 78,600 3,468
Astoria Financial Corp. 27,500 1,016
Astro-Med, Inc. 38,150 310
# Astrosystems, Inc. 48,700 250
# Guy F. Atkinson Co. of California 39,700 407
Atlantic Energy, Inc. 43,800 750
Atlantic Southeast Airlines Inc. 24,900 546
# Atlas Air, Inc. 17,600 838
# Atmel Corp. 84,800 2,820
# Atrix Laboratories, Inc. 47,034 511
# Atwood Oceanics, Inc. 17,300 1,094
# Autotote Corp. 114,100 164
Avalon Properties, Inc. REIT 43,500 1,251
# Avant! Corp. 30,690 971
# Avatar Holding, Inc. 16,100 521
# Avecor Cardiovascular, Inc. 35,100 426
# Aviall Inc. 57,500 532
# Avid Technology, Inc. 52,100 544
Avnet, Inc. 36,342 2,117
# Avondale Industries, Inc. 35,200 755
# AXENT Technologies, Inc. 33,100 501
# Aydin Corp. 47,700 447
# Aztar Corp. 84,100 589
# BBN Corp. 38,700 871
# BDM International, Inc. 13,000 700
# BEC Group Inc. 120,170 631
BHA Group Class A 29,700 486
# BHC Communications, Inc.
Class A 19,915 2,019
# BISYS Group, Inc. 19,500 723
# BJ Services Co. 34,700 1,770
BMC Industries, Inc. 37,704 1,188
BRE Properties Inc. Class A REIT 46,900 1,161
BSB Bancorp, Inc. 20,363 551
# BTG Inc. 35,600 939
# BT Office Products
International, Inc. 68,800 611
# BMC Software, Inc. 89,200 3,707
BW/IP Inc. 43,400 716
# Baby Superstore, Inc. 13,650 329
Badger Meter, Inc. 13,000 499
Bairnco Corp. 70,200 465
J. Baker, Inc. 59,409 316
Baldor Electric Co. 39,630 976
Baldwin & Lyons, Inc. Class B 36,700 686
Ballard Medical Products 43,366 808
# Bally Total Fitness Holding Corp. 88,089 696
BancFirst Corp. 14,350 393
Bancorp Hawaii, Inc. 34,001 1,428
Bandag, Inc. 19,162 908
Bandag, Inc. Class A 300 14
Bankers Corp. 30,300 614
Bankers Life Holding Corp. 41,600 1,040
Bank North Group 16,900 693
BanPonce Corp. 57,144 1,921
Banta Corp. 24,625 559
# Barnes & Noble Inc. 27,400 740
# Barnwell Industries, Inc. 13,400 273
# Barrett Business Services, Inc. 29,300 454
# Barrett Resources Corp. 28,550 1,217
# Basin Exploration Inc. 72,198 447
Bassett Furniture Industries, Inc. 26,900 669
Beacon Properties Corp. REIT 26,700 978
Bear Stearns Co., Inc. 102,131 2,847
Bearings, Inc. 24,300 677
BeautiControl Cosmetics 41,950 692
Beckman Instruments Inc. 23,000 883
# Bed Bath & Beyond, Inc. 56,400 1,371
# Bel Fuse, Inc. 36,200 505
# Belco Oil & Gas Corp. 26,000 712
Belden Inc. 22,100 818
A. H. Belo Corp. Class A 36,253 1,264
# Ben & Jerry's Homemade, Inc.
Class A 36,700 411
Bergen Brunswig Corp. Class A 33,773 963
W.R. Berkley Corp. 17,000 868
# Berkshire Hathaway Class A 1,033 35,225
Berkshire Realty Co., Inc. REIT 70,700 698
# Berlitz International, Inc. 32,726 683
Berry Petroleum Class A 49,500 712
# Bertucci's Holding Corp. 65,400 343
# Best Buy Co., Inc. 38,600 410
BetzDearborn Inc. 23,100 1,351
# Billing Information Concepts 29,836 863
Bindly Western Industries, Inc. 40,200 779
Binks Manufacturing Co. 18,950 760
# Bio-Rad Laboratories, Inc. Class A 19,247 577
# Biocryst Pharmaceuticals, Inc. 41,400 670
# Biocircuits Corp. 7,200 21
# Biogen, Inc. 59,838 2,311
# Biomatrix, Inc. 36,367 582
# Biospecifics Technology 40,800 191
# Biotechnology General 108,900 1,436
# Biowhittaker Inc. 62,299 498
Birmingham Steel Corp. 41,250 784
Blair Corp. 17,100 329
</TABLE>
3
<PAGE> 52
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
MARKET
VALUE*
EXTENDED MARKET PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C>
E.W. Blanch Holdings, Inc. 37,000 $ 745
Blessings Corp. 47,700 444
Block Drug Co. Class A 16,110 753
Blount International, Inc. 26,000 998
# Blowout Entertainment Inc. 7,974 17
# Bluegreen Corp. 78,540 216
# Blyth Industries, Inc. 25,800 1,177
Bob Evans Farms, Inc. 67,416 910
# Boise Cascade Office
Products Corp. 51,776 1,087
# Bombay Co. 78,862 365
# Borders Group, Inc. 32,800 1,177
Borg-Warner Automotive, Inc. 18,500 712
# Boston Chicken, Inc. 54,700 1,962
# Boston Communications
Group, Inc. 57,700 325
Boston Edison Co. 40,400 1,086
# Boston Technology, Inc. 47,600 1,366
Bostonfed Bancorp, Inc. 10,400 153
Bowater Inc. 31,349 1,180
# Boyd Gaming Corp. 43,800 361
Bradley Real Estate Inc. REIT 51,137 920
W.H. Brady Class A 31,800 773
Breed Technological Inc. 43,400 1,128
Brenton Banks, Inc. 14,960 416
# Brinker International, Inc. 62,063 993
# Broadway & Seymour, Inc. 53,700 571
# Broderbund Software, Inc. 26,600 790
Brooke Group Ltd. 63,500 318
Brooklyn Union Gas Co. 41,550 1,252
# Brooks Fiber Properties, Inc. 23,500 605
# Brothers Gourmet Coffees, Inc. 87,200 221
Brown Group, Inc. 20,106 369
Brush Wellman, Inc. 30,000 491
# Buffets Inc. 89,593 809
# Builders Transport, Inc. 38,700 105
# Burlington Coat Factory
Warehouse Corp. 63,750 829
# Burlington Industries, Inc. 49,700 547
Burlington Resources Coal
Seamgas Royalty Trust 28,700 240
# Burr-Brown Corp. 35,000 901
# Bush Boake Allen, Inc. 31,000 825
Bush Industries, Inc. 23,910 460
# CAI Wireless Systems, Inc. 123,530 122
CCB Financial Corp. 16,500 1,126
# C-Cor Electronics, Inc. 38,500 513
# C-Cube Microsystems, Inc. 28,700 1,060
# CDW Computer Centers, Inc. 24,600 1,459
CIPSCO, Inc. 28,300 1,022
CKE Restaurants Inc. 39,400 1,418
CMAC Investment Corp. 31,200 1,147
# CMG Information Services, Inc. 44,576 758
CML Group, Inc. 114,050 385
CMS Energy Corp. 78,739 2,648
# CNA Financial Corp. 52,805 5,650
CPI Corp. 45,200 757
# CRW Financial, Inc. 42,900 367
# CTC Communications Corp. 43,300 344
# C-TEC Corp. 28,400 685
# C-TEC Corp. Class B 11,100 268
CWM Mortgage Holdings Inc. 55,700 1,198
# CableVision Systems Corp.
Class B 20,200 619
# Cable Design Technologies 26,748 828
Cabot Corp. 65,432 1,644
Cabot Oil & Gas Corp. Class A 43,064 737
# Cadence Design Systems, Inc. 77,566 3,083
# Cadiz Land Co., Inc. 107,200 553
# Cal Fed Bancorp Inc. 42,780 1,048
# CalEnergy Inc. 42,292 1,422
# Calgene, Inc. 125,000 633
Calgon Carbon Corp. 62,400 764
Cali Realty Corp. REIT 30,900 954
# California Federal Bank Goodwill
Participation Certificates 5,398 77
Callaway Golf Co. 60,000 1,725
# Callon Petroleum Co. 35,700 669
Calmat Co. 39,300 737
# Calumet Bancorp, Inc. 13,500 447
CAM Designs, Inc. 29,800 149
# Cambridge Technology Partners 37,100 1,245
Camco International, Inc. 24,000 1,107
# Cameron Ashley Building
Products 37,400 517
# Canandaigua Wine Co., Inc.
Class A 17,400 495
# Canandaigua Wine Co., Inc.
Class B 6,375 210
# Canmax, Inc. 2,000 4
Capital One Financial Corp. 55,776 2,008
Capital Re Corp. 22,700 1,058
Capitol American Financial Corp. 30,400 1,106
Capstead Mortgage Corp. 30,300 727
Caraustar Industries, Inc. 31,800 1,053
Cardinal Bancshares, Inc. 6,200 279
Cardinal Health, Inc. 86,829 5,058
Carlisle Co., Inc. 14,473 876
# Carmike Cinemas, Inc. Class A 25,200 639
Carnival Corp. Class A 254,653 8,404
Carpenter Technology Corp. 20,400 747
CarrAmerica Realty Corp. REIT 35,100 1,027
# Carrington Labs Inc. 51,572 406
Carter-Wallace, Inc. 71,200 1,113
# Cascade Bancorp 5,500 120
# Cascade Communications Corp. 76,900 4,249
Casey's General Stores 39,000 734
Cash America International Inc. 80,310 683
# Casino Magic Corp. 133,800 328
A.M. Castle & Co. 26,125 503
# Castle & Cooke Inc. 41,933 666
# Catalina Lighting, Inc. 59,400 290
# Catalina Marketing Corp. 16,400 904
# Catellus Development Corp. 58,701 668
Cato Corp. Class A 62,900 322
# Cayenne Software Inc. 99,300 385
# Cellegy Pharmaceuticals, Inc. 48,600 225
# Cellular Technical Services Co. 49,650 990
# Cellularvision USA, Inc. 63,900 443
# Celtrix Labs 75,300 158
Centerior Energy Corp. 132,800 1,428
Centerpoint Properties Corp. REIT 29,600 969
</TABLE>
4
<PAGE> 53
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C>
# Centocor, Inc. 59,400 $ 2,127
Central Cooperative Bank 27,100 474
Central Fidelity Banks, Inc. 48,675 1,266
Central Hudson Gas &
Electric Corp. 23,400 734
Central Louisiana Electric Co. 27,892 771
Central Maine Power Co. 47,267 549
Central Newspapers Inc. 19,050 838
# Central Sprinkler Corp. 23,907 601
Central Vermont Public
Service Corp. 31,000 372
Centura Banks, Inc. 19,700 879
# Century Communications Corp.
Class A 105,981 603
Century Telephone
Enterprises, Inc. 50,077 1,546
# Cephalon Inc. 44,100 896
# Cerner Corp. 56,530 869
# Chalone Wine Group Ltd. 55,500 652
# Champion Enterprises, Inc. 44,814 874
# Chancellor Broadcasting Co.
Class A 23,900 565
Chaparral Steel Co. 54,500 661
Charter One Financial 47,798 2,013
# Chartwell Leisure Corp. 35,490 472
Chartwell Re Corp. 31,210 835
Chateau Properties, Inc. REIT 21,900 580
# Checkers Drive-In Restaurant 104,400 184
# Checkfree Corp. 54,700 933
# Checkpoint Systems, Inc. 27,726 686
Chelsea GCA Realty, Inc. REIT 26,800 928
Chemed Corp. 18,700 683
# Chemical Fabrics Corp. 31,814 435
Chesapeake Corp. of Virginia 35,183 1,104
# Chesapeake Energy Corp. 26,050 1,449
# Chic by H.I.S., Inc. 65,000 309
# Chico's Fas, Inc. 37,686 160
Chiquita Brands
International, Inc. 78,065 995
# Chiron Corp. 144,740 2,687
# Chock Full O'Nuts Corp. 80,160 401
# Choice Hotels Corp. Inc. 56,000 987
# Cholestech Corp. 73,500 409
# Chris-Craft Industries, Inc. 25,342 1,061
# Christiana Cos., Inc. 23,900 615
Church and Dwight, Inc. 34,500 789
Cilcorp, Inc. 17,400 637
Cincinnati Bell, Inc. 57,600 3,550
Cincinnati Financial Corp. 48,297 3,133
# Circon Corp. 37,557 575
# Circus Circus Enterprises Inc. 89,859 3,089
# Cirrus Logic 56,000 865
Cintas Corp. 41,000 2,419
Citifed Bancorp 20,850 696
Citizens Bancorp MD 10,200 636
Citizens Bancshares, Inc. 16,700 549
Citizens Banking Corp. 21,600 689
Citizens Corp. 30,600 689
# Citizens, Inc. 59,000 502
# Citizens Utilities Co. Class A 187,998 2,044
# Citizens Utilities Co. Class B 15,124 168
# Citrix Systems, Inc. 22,500 879
City Holding Co. 9,350 240
City National Corp. 37,988 821
# Civic Bancorp 4,600 47
Claire's Stores, Inc. 37,500 488
Clarcor Inc. 30,300 670
# Clarify, Inc. 15,900 758
Clayton Homes Inc. 100,097 1,351
# Clean Harbors Inc. 43,500 94
# Clear Channel Communications 63,600 2,298
Cleveland-Cliffs Iron Co. 16,200 735
# The Clothestime, Inc. 68,400 20
Coachmen Industries, Inc. 36,400 1,033
# Coast Savings Financial, Inc. 28,300 1,036
# Coastal Physician Group, Inc. 96,400 337
Coca-Cola Enterprises, Inc. 106,717 5,176
# Coda Music Technology, Inc. 51,100 102
# Code Alarm, Inc. 27,600 100
Coeur d'Alene Mines Corp. 35,700 540
# Cognex Corp. 56,250 1,037
# Coherent, Inc. 19,623 839
# Coleman Inc. 42,000 578
Collagen Corp. 30,703 564
Collective Bancorp, Inc. 33,050 1,161
# Collins & Aikman Corp. 110,100 688
Colonial Gas Co. 21,276 463
# Coltec Inc. 60,200 1,136
Columbus Realty Trust REIT 36,400 828
Comair Holdings, Inc. 41,716 1,009
Comdisco, Inc. 42,592 1,352
Commerce Bancorp, Inc. 23,300 769
Commerce Bancshares, Inc. 32,186 1,497
Commerce Group, Inc. 30,600 773
Commercial Assets 81,800 552
Commercial Federal Corp. 23,100 1,109
Commercial Metals Co. 23,766 716
Commonwealth Energy Systems 34,000 799
Communications Systems, Inc. 40,000 595
Community Bankshares, Inc. 2,500 51
Community First Bankshares 26,458 734
Compass Bancshares Inc. 32,799 1,310
# Competitive Technologies, Inc. 43,000 422
# CompuServe Corp. 80,100 791
# CompUSA, Inc. 75,800 1,563
Computer Data Systems, Inc. 22,054 677
Computer Outsourcing
Services, Inc. 57,600 209
Computer Task Group, Inc. 22,004 949
# Computervision Corp. 98,000 907
# Computron Software, Inc. 79,000 128
# Compuware Corp. 35,600 1,784
Comsat Corp. 38,100 938
# Comverse Technology, Inc. 17,900 677
# Computer Horizons Corp. 33,659 1,279
# Concord EFS, Inc. 53,675 1,503
# Conmed Corp. 35,800 725
Conseco Co., Inc. 86,591 5,520
# Consilium, Inc. 49,200 283
Consolidated Freightways Corp. 18,750 169
# Consolidated Freightways, Inc. 37,500 834
Consolidated Papers 37,100 1,823
</TABLE>
5
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<TABLE>
<CAPTION>
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MARKET
VALUE*
EXTENDED MARKET PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C>
Consolidated Products Inc. 40,634 $ 792
# Consolidated Stores, Inc. 55,301 1,777
# Consolidated Technology Group 24,500 2
# Consumer Portfolio Services, Inc. 46,000 515
# ContiFinancial Corp. 35,700 1,290
# Continental Airlines, Inc. Class B 52,000 1,469
# Continental Materials Corp. 35,600 757
# Converse Inc. 79,333 1,349
# Cooper Cameron Corp. 22,200 1,698
# Copley Pharmaceutical, Inc. 49,317 447
# Coram Healthcare Corp. 157,203 786
Core Industries, Inc. 38,400 634
# COREStaff, Inc. 26,850 636
# Corporate Express, Inc. 65,600 1,931
# Corrections Corp. of America 61,528 1,884
# Cosmetic Center, Inc. Class A 25,100 147
# Cosmetic Center, Inc. Class B 6,900 41
Countrywide Credit
Industries, Inc. 87,179 2,496
# Coventry Corp. 66,000 619
# Cox Communications Class A 233,850 5,408
Cracker Barrel Old Country
Stores, Inc. 48,733 1,240
# Craig Corp. 32,823 472
# Jenny Craig Inc. 60,100 533
Crawford & Co. Class B 49,600 1,135
# Credence Systems Corp. 47,200 941
# Credit Acceptance Corp. 37,400 874
# Cree Research, Inc. 66,300 626
Crescent Real Estate Equities,
Inc. REIT 30,100 1,588
Crestar Financial Corp. 36,793 2,736
Crompton & Knowles Corp. 62,400 1,201
A.T. Cross Co. Class A 45,600 530
# Crown Central Petroleum Corp.
Class B 37,800 454
Crown Crafts, Inc. 32,840 328
Cullen/Frost Bankers, Inc. 32,060 1,062
# Culligan Water Technologies 15,100 612
Curtiss-Wright Corp. 11,800 594
# Custom Chrome 25,300 506
# Cygnus Inc. 44,400 641
# Cypress Semiconductor Corp. 64,400 910
# Cypros Pharmaceuticals Corp. 79,900 320
# Cyrix Corp. 40,200 719
# Cytec Industries, Inc. 41,600 1,690
# Cytogen Corp. 109,669 596
# DBT Online Inc. 19,977 607
DPL, Inc. 88,575 2,170
DQE Inc. 64,443 1,869
# D. R. Horton, Inc. 65,100 708
DS Bancor, Inc. 14,468 595
# DSP Communications, Inc. 36,800 711
# DST Systems, Inc. 43,200 1,355
# Dal-Tile International Inc. 45,400 925
Dames & Moore, Inc. 50,700 741
Danaher Corp. 49,366 2,302
# Darling International, Inc. 18,700 539
Dart Group Corp. Class A 4,700 426
Data Broadcasting Corp. 81,556 566
# Data Systems & Software, Inc. 50,600 288
# Datascope Corp. 35,500 701
# Datastream Systems, Inc. 24,000 432
# Dataware Technologies, Inc. 46,600 140
Dauphin Deposit Bank & Trust 24,240 794
# Davel Communications
Group, Inc. 20,500 366
# Dave & Busters 23,307 465
Dean Foods Corp. 35,833 1,156
Deb Shops, Inc. 92,900 406
# DecisionOne Corp. 51,000 829
Delmarva Power & Light Co. 50,500 1,029
Delta & Pine Land Co. 29,607 947
Delta Woodside 68,300 435
Dentsply International 22,100 1,051
# Department 56 Inc. 18,300 453
Deposit Guaranty Corp. 32,200 998
# DePuy, Inc. 52,000 1,053
# Designer Holdings Ltd. 44,400 716
# Destec Energy Inc. 45,101 705
# Detroit Diesel Corp. 39,722 914
Developers Diversified Realty
Corp. REIT 30,000 1,114
Devon Energy Corp. 31,600 1,098
# Devry, Inc. 27,800 653
Dexter Corp. 31,800 1,014
Diagnostic Products Corp. 28,077 726
Dial Corp. 80,000 1,180
# Dialogic Corp. 26,900 841
# Diamond Multimedia
Systems, Inc. 72,100 843
# Diamond Offshore Drilling, Inc. 58,100 3,312
Diebold, Inc. 39,684 2,495
# Digi International, Inc. 45,550 438
# Digital Generation Systems 54,295 448
# Digital Microwave Corp. 42,873 1,192
Digital Systems International, Inc. 37,868 599
# Dime Bancorp, Inc. 90,828 1,340
Dimon Inc. 55,350 1,280
# Dionex Corp. 22,500 799
Dole Food Co. 52,000 1,762
Dollar General Corp. 59,965 1,919
# Dollar Tree Stores, Inc. 22,450 856
Donaldson Co., Inc. 28,700 961
Donaldson, Lufkin & Jenrette, Inc. 49,400 1,778
Donnelly Corp. 31,450 771
# Donnkenny, Inc. 34,600 162
# Doubletree Corp. 31,171 1,395
# Dove Audio, Inc. 24,500 33
Downey Financial Corp. 49,815 978
# Dravo Corp. 47,061 665
# The Dress Barn, Inc. 50,200 762
# Drexler Technology Corp. 40,611 426
Dreyer's Grand Ice Cream, Inc. 26,100 773
# Drug Emporium, Inc. 97,930 425
# Drypers Corp. 117,100 439
Duke Realty Investments
Inc. REIT 23,800 916
# Dura Pharmaceuticals, Inc. 33,714 1,610
Duriron Co., Inc. 34,800 940
Duty Free International Inc. 45,526 660
# Dynatech Corp. 15,400 680
</TABLE>
6
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<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C>
# EA Engineering Sciences and $
Technology Inc. 41,700 107
# ENSCO International, Inc. 61,250 2,971
# ERD Waste Corp. 15,100 36
# ESS Technology, Inc. 41,800 1,176
# Eagle Finance Corp. 44,100 237
# Eagle Food 64,200 249
# Eagle Hardware & Garden, Inc. 22,200 461
East Texas Financial
Services, Inc. 16,000 270
Eastern Utilities Associates 29,981 521
Eastgroup Properties 21,867 599
# Echelon International Corp., Inc. 5,400 84
# Eckerd Corp. 22,543 721
# Ecogen, Inc. 32,940 83
Ecology and Environment, Inc. 6,925 54
# Edisto Resources Corp. 70,600 591
# Editek Inc. 8,400 5
# Education Alternatives, Inc. 78,000 380
A.G. Edwards & Sons, Inc. 53,248 1,790
# Egghead, Inc. 40,569 210
# Einstein/Noah Bagel Corp. 22,200 659
# El Paso Electric Co. 4,066 26
El Paso Natural Gas 31,232 1,577
Elcor Corp. 26,200 560
# Electromagnetic Sciences, Inc. 35,314 680
# Electronic Arts Inc. 45,400 1,359
Electronic Data Systems Corp. 420,745 18,197
# Electronics for Imaging, Inc. 25,400 2,080
# Eljer Industries, Inc. 45,160 1,067
# Emcare Holdings Inc. 25,800 592
Empire District Electric Co. 30,955 580
# Energy Biosystems Corp. 72,900 419
# Energy Conversion Devices, Inc. 39,925 546
# Energy Ventures Inc. 27,100 1,379
Engineered Support Systems, Inc. 61,800 915
Energy North, Inc. 21,811 474
Enova Corp. 96,800 2,202
Enron Global Power &
Pipelines L.L.C. 28,300 764
Enron Oil & Gas Co. 136,676 3,451
# Enserch Exploration, Inc. 107,600 1,264
# Ensec International Inc. 25,000 152
Enterprise Federal Bancorp, Inc. 3,000 44
# EntreMed, Inc. 36,700 583
# Envirometrics, Inc. 17,300 5
# Epic Design Technology, Inc. 28,300 708
# Epitope Inc. 46,800 538
Equifax, Inc. 131,570 4,029
The Equitable Cos. 156,409 3,852
Equitable of Iowa Co. 26,200 1,202
Equitable Resources, Inc. 27,850 829
# Equivest Finance, Inc. 51,675 20
Equity Residential Properties
Trust REIT 38,900 1,605
Erie Indemnity Co. Class A 56,217 1,644
Essex County Gas Co. 6,800 168
# Esterline Technologies Corp. 31,355 819
Ethyl Corp. 93,804 903
# Europa Cruises Corp. 48,700 35
Everest Re Holdings, Inc. 42,200 1,213
Evergreen Bancorp, Inc. 23,600 382
# Evergreen Media Corp. 33,244 827
# Exabyte Corp. 46,700 628
# Excel Communications, Inc. 94,200 1,978
Exide Corp. 33,900 780
Expeditors International of
Washington, Inc. 43,600 997
# Expert Software Inc. 31,800 109
# Express Scripts 25,700 925
# Extended Stay America, Inc. 54,100 1,089
F & M Bancorp 3,000 71
FAC Realty Inc. REIT 23,400 155
FFY Financial Corp. 6,400 162
# FHP International Corp. 21,352 790
# FHP International Corp. Pfd. A 12,640 385
# FSI International, Inc. 57,300 863
# FTP Software, Inc. 93,000 564
# Fairchild Corp. 37,600 555
# Falcon Drilling Co., Inc. 30,800 1,209
Family Dollar Stores, Inc. 45,600 929
Fastenal Co. 30,700 1,399
Federal-Mogul Corp. 28,700 631
Federal Realty Investment
Trust REIT 27,100 735
Federal Signal Corp. 37,337 966
Felcor Suite Hotels, Inc. REIT 19,600 693
# Female Health Co. 37,600 153
Ferro Corp. 22,575 641
# Fibreboard Corp. 23,474 792
# Fieldcrest Cannon, Inc. 24,000 384
# Figgie International Inc. Class A 42,500 507
# Filene's Basement Corp. 106,350 439
# FileNet Corp. 29,400 937
Fina Inc. 23,700 1,144
Financial Security Assurance
Holdings Ltd. 24,100 792
Fingerhut Co. 36,346 445
Finova Group, Inc. 22,798 1,465
First American Bank Corp. 52,659 3,166
First American Corp. (Tenn.) 25,400 1,467
First Bancorp North Carolina 2,200 42
First Bell Bancorp, Inc. 30,400 407
First Brands Corp. 36,100 1,024
First Citizens BancShares Class A 9,900 765
# First Citizens Financial Corp. 770 14
First Commerce Corp. 31,815 1,233
First Commercial Corp. 23,340 862
First Empire State Corp. 5,600 1,613
First Federal Bancshares of
Eau Claire, Inc. 29,800 548
First Federal Capital Corp. 6,500 155
First Financial Savings Assn. 50,875 1,246
First Hawaiian, Inc. 26,500 934
First Home Bancorp Inc. 3,200 61
First Industrial Realty Trust REIT 25,400 772
First Midwest Financial, Inc. 700 16
First Mutual Savings Bank 1,680 30
# First Pacific Networks, Inc. 98,500 26
First Palm Beach Bancorp 22,100 519
# First Republic Bancorp, Inc. 29,700 497
First Security Corp. 63,912 2,165
</TABLE>
7
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<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
MARKET
VALUE*
EXTENDED MARKET PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C>
First Southern Bancshares 1,600 $ 20
First Tennessee National Corp. 58,200 2,179
First United Bancorporation 4,851 57
First USA Inc. 104,090 3,604
# First USA Paymentech, Inc. 25,867 876
First Virginia Banks, Inc. 26,942 1,290
Firstar Corp. 61,911 3,250
First Bancorp of Ohio 26,700 951
# First Federal Financial Corp. 34,375 756
# FIserv, Inc. 36,750 1,357
Fisher Scientific International Inc. 16,700 787
# Flagstar Cos. 109,500 104
Flexsteel Industry 35,900 455
# Flores & Rucks, Inc. 16,600 884
Florida East Coast Railway Co. 6,900 603
Florida Progress Corp. 84,000 2,709
Florida Rock Industries, Inc. 20,300 665
# Florsheim Group Inc. 42,515 247
Flowers Industries, Inc. 47,300 1,017
Fluke Corp. 17,445 778
Flushing Financial Corp. 27,700 502
Food Lion Inc. Class A 350,650 3,430
Food Lion Inc. Class B 46,105 464
# Foodarama Supermarkets, Inc. 22,400 329
# Fore Systems, Inc. 76,600 2,523
Foremost Corp. of America 15,100 906
Forest City Enterprise Class A 16,300 986
# Forest Laboratories, Inc. 37,308 1,222
# Fort Howard Corp. 64,015 1,772
# Forte Software, Inc. 27,600 902
# Foundation Health Co. 50,100 1,591
# Fractal Design Corp. 46,000 489
Franchise Finance Corp. of
America REIT 32,300 892
# FoxMeyer Health Corp. 58,402 95
# Franklin Bancorporation, Inc. 12,900 134
# Franklin Electronic Publishers, Inc. 38,300 464
# Franklin Quest Co. 37,000 777
Franklin Resources Corp. 70,480 4,819
Fredericks of Hollywood, Inc.
Class A 48,700 201
Fredericks of Hollywood, Inc.
Class B 24,132 100
Freeport-McMoRan, Inc. 21,157 680
Fremont General Corp. 37,027 1,148
Frisch's Restaurants, Inc. 43,335 693
# Fritz Cos., Inc. 26,000 327
H.B. Fuller Co. 20,950 974
Fulton Financial Corp. 33,438 711
Fund American Enterprise
Holding Co. 11,385 1,090
# Furniture Brands International Inc. 68,200 955
G & K Services, Inc. 32,325 1,216
G & L Realty Corp. 34,000 578
GATX Corp. 16,000 776
GT Interactive Software Corp. 104,500 751
Gainsco, Inc. 70,661 680
Arthur J. Gallagher & Co. 23,900 741
# Game Financial Corp. 9,375 73
# Gander Mountain, Inc. 29,100 4
# Garden Fresh Restaurant Corp. 40,500 402
# Gartner Group, Inc. Class A 77,500 3,018
# Gateway 2000 Inc. 65,500 3,508
Gaylord Entertainment Class A 81,473 1,864
# Gaylord Container Corp. 106,500 652
GenCorp, Inc. 49,500 897
# Genentech, Inc.-Special
Common Stock 103,073 5,527
General Binding Corp. 29,600 888
# General Datacomm
Industries, Inc. 63,100 663
General Growth Properties
Inc. REIT 36,500 1,177
General Motors Corp. Class H 83,847 4,716
# General Nutrition Cos., Inc. 71,800 1,221
# Genetics Institute Inc.
Depository Shares 22,300 1,893
# Genesis Health Ventures Inc. 26,150 814
# Geneva Steel Class A 70,900 213
# Genlyte Group, Inc. 49,400 627
# Genome Therapeutics Corp. 60,530 643
Genovese Drug Stores, Inc.
Class A 42,655 661
# Genrad, Inc. 45,712 1,063
# Gensia Inc. 125,007 578
# Gentex Corp. 57,700 1,161
# Genzyme Corp. 60,076 1,310
Geon Co. 21,100 414
Georgia Gulf Corp. 28,982 779
Gerber Scientific, Inc. 59,600 887
# Getchell Gold Corp. 32,019 1,229
Getty Petroleum Corp. 45,232 735
# Gibson Greetings, Inc. 40,100 782
# Gilead Sciences, Inc. 36,900 920
P.H. Glatfelter Co. 32,800 590
# Glenayre Technologies, Inc. 50,412 1,087
# Glendale Federal 39,605 921
# Global DirectMail Corp. 30,746 1,341
# Global Industrial
Technologies, Inc. 36,400 805
# Global Marine, Inc. 143,100 2,951
# Globalink, Inc. 62,700 204
# Gold Reserve Corp. 63,400 596
# Golden Books Family
Entertainment, Inc. 51,800 570
Golden Enterprises Inc. 57,400 434
# E. Gottschalk & Co., Inc. 59,100 310
Goulds Pumps, Inc. 34,891 802
Graco, Inc. 32,177 788
Graham-Field Health
Products Inc. 69,916 603
# Grand Casinos, Inc. 62,100 838
Granite State Bankshares, Inc. 2,500 55
Graphic Industries, Inc. 47,700 465
Greater New York Savings Bank 46,300 625
Green Mountain Power Corp. 16,707 399
Green Point Financial Corp. 44,100 2,084
Greif Brothers Corp. Class A 32,400 923
# Grist Mill Co. 45,950 267
# Grossmans, Inc. 135,000 108
# GTech Holdings Corp. 34,900 1,117
Guaranty National Corp. 45,116 756
</TABLE>
8
<PAGE> 57
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C>
# Guess?, Inc. 10,000 $ 144
Guilford Mills, Inc. 25,650 683
# Gulfstream Aerospace Corp. 62,400 1,513
# Gundle/SLT Environmental, Inc. 67,000 444
# The Gymboree Corp. 26,460 602
HBO & Co. 79,520 4,722
HCC Insurance Holdings, Inc. 23,600 566
HFNC Financial Corp. 46,000 817
# HMN Financial, Inc. 30,400 551
# HMT Technology Corp. 59,200 895
# HSN, Inc. 75,991 1,795
HUBCO, Inc. 41,703 1,030
# Hadco Corp. 27,051 1,320
# Haemonetics Corp. 43,100 814
Hancock Fabrics, Inc. 45,600 473
Hancock Holding Co. 3,630 151
# Handleman Co. 97,400 828
Handy & Harman 37,300 653
M.A. Hanna Co. 45,075 986
Hannaford Brothers Co. 35,200 1,197
# Hanover Direct, Inc. 70,200 53
Harley-Davidson, Inc. 62,754 2,949
Harman International
Industries, Inc. 15,414 857
Harper Group, Inc. 32,300 763
Harrodsburg First Financial
Bancorp 9,800 185
Harsco Corp. 21,616 1,481
Harte-Hanks Communications Co. 30,300 841
Hartford Steam Boiler
Inspection & Insurance Co. 16,343 758
# Hauser, Inc. 63,500 367
Haven Bancorp, Inc. 19,000 546
Hawaiian Electric Industries Inc. 25,435 919
# Healthcare Services Group, Inc. 48,176 491
Health Care Properties Investors 22,700 795
# HealthCare Compare Corp. 29,465 1,252
# Health Management Associates
Class A 88,955 2,001
# Healthcare & Retirement Corp. 37,050 1,061
Healthsource, Inc. 50,800 667
# HEALTHSOUTH Corp. 133,233 5,146
Health and Retirement
Properties Trust 53,600 1,039
Health Care REIT, Inc. 34,900 855
# Health Systems 40,402 1,000
# Heartport Inc. 34,900 805
Hechinger Co. Class A 95,900 198
# Hecla Mining Co. 93,600 527
# Hector Communications Corp. 35,350 270
Heico Corp. 25,897 683
Heilig-Meyers Co. 43,618 709
# Hein-Werner Corp. 11,104 74
# Hemasure, Inc. 55,200 355
Herbalife International, Inc. 35,500 1,156
# Heritage Media Corp. Class A 55,700 627
Hibernia Corp. Class A 103,028 1,365
# High Plains Corp. 93,097 480
# Highlands Insurance Group 38,000 770
Highwood Properties, Inc. REIT 25,500 861
Hillenbrand Industries, Inc. 57,850 2,097
# Hinsdale Financial Corp. 20,125 501
# Hitox Corp. of America 40,700 107
Hollinger International, Inc. 64,200 738
Holly Corp. 23,800 637
# Hollywood Casino Corp. 102,600 372
# Hollywood Entertainment Corp. 51,071 951
# Homeowners Group, Inc. 35,000 61
# Homestead Village Inc. 33,371 601
# Homestead Village Inc. Warrants
Exp. 10/29/97 6,555 53
Hon Industries, Inc. 23,800 788
Horace Mann Educators Corp. 29,600 1,195
# Horizon/CMS Healthcare Corp. 75,271 950
Hormel Foods Corp. 64,100 1,731
Hospitality Properties Trust 38,200 1,108
# Host Marriott 168,850 2,702
# Host Marriott Services 102,790 938
Houghton Mifflin Co. 20,000 1,133
# House of Fabrics, Inc. 371 1
# House of Fabrics, Inc. Warrants
Exp. 4/28/97 928 2
Hubbell Inc. Class A 200 8
Hubbell Inc. Class B 56,906 2,461
# Hudson Technology, Inc. 5,600 31
Hughes Supply, Inc. 17,374 749
# Human Genome Sciences, Inc. 26,000 1,056
J.B. Hunt Transport Services, Inc. 34,403 486
Huntington Bancshares Inc. 126,414 3,342
# Hyperion Software Corp. 42,300 896
ICN Pharmaceuticals, Inc. 45,785 899
IBP, Inc. 78,700 1,908
IBS Financial Corp. 35,500 552
# ICOS Corp. 82,500 624
# IDX Systems Corp. 31,100 894
IES Industries, Inc. 24,740 739
# IGI, Inc. 65,500 442
# IHOP Corp. 25,000 597
IMC Global Inc. 79,593 3,114
IMCO Recycling, Inc. 32,100 469
# ITI Technologies, Inc. 30,600 461
# ITT Educational Services, Inc. 38,800 897
# IXC Communications, Inc. 8,000 246
Idaho Power Co. 29,900 931
IDEX Corp. 26,800 1,069
# IDEXX Laboratories 29,800 1,077
# Identix, Inc. 49,000 401
Illinois Central Corp. 56,000 1,792
Illinova Corp. 65,476 1,801
# Image Entertainment, Inc. 74,500 256
# Imation Corp. 34,000 956
# Immunex Corp. 61,200 1,186
# Immulogic Pharmaceutical Corp. 63,800 419
# Immune Response 76,083 637
# Imo Industries, Inc. 104,800 328
# Imperial Bancorp 45,228 1,085
# Imperial Credit 67,474 1,417
# Immunomedics Inc. 91,200 504
# Inacom Corp. 29,396 1,176
# Incyte Pharmaceuticals, Inc. 17,400 892
Independent Bank Corp. 31,700 333
Indiana Energy, Inc. 29,400 717
</TABLE>
9
<PAGE> 58
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
MARKET
VALUE*
EXTENDED MARKET PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C>
Indiana Federal Corp. 7,900 $ 177
# Inference Corp. Class A 27,600 197
# Information Storage
Devices, Inc. 63,700 478
# Informix Corp. 129,100 2,638
# Information Resources, Inc. 55,634 786
# Input/Output, Inc. 35,200 651
# Inso Corp. 21,400 843
Innkeepers USA Trust REIT 48,300 670
# Insurance Auto Auctions, Inc. 44,300 421
Integon Corp. 33,550 596
# Integrated Communication
Network, Inc. 25,600 2
# Integrated Device
Technology Inc. 63,000 862
Integrated Health Services, Inc. 36,100 880
# Integrated Systems Consulting
Group Inc. 6,617 88
# Integrated Systems, Inc. 36,200 932
# Integrated Silicon Solution, Inc. 61,300 527
# Intelligent Electronics Inc. 82,402 670
# Intelligent Medical Imaging, Inc. 69,200 424
# Interactive Group, Inc. 47,900 254
Interface, Inc. 35,100 702
# Interface Systems Inc. 30,300 136
# Interlink Electronics Inc. 36,800 224
# Intermet Corp. 44,800 714
# International Cabletel, Inc. 25,400 637
# International Dairy Queen, Inc.
Class A 35,712 721
International Family
Entertainment, Inc. Class B 64,250 996
International Game Technology 107,298 1,958
# International Imaging
Materials Inc. 28,300 630
# International Lottery & Totalizator
Systems Inc. 51,600 44
International Multifoods Corp. 39,669 719
# International Network Services 25,200 761
# International Rectifier Corp. 73,500 1,121
# International Specialty
Products, Inc. 79,100 969
# Interneuron Pharmaceutical, Inc. 31,900 831
# Interpore International 64,800 284
# Intersolv 63,400 582
Interstate Bakeries 31,800 1,562
# Interstate Hotels Co. 24,300 686
# Intervoice, Inc. 42,187 522
Intimate Brands, Inc. 215,800 3,669
# Intuit, Inc. 38,400 1,219
Invacare Corp. 26,443 721
# Investment Technology
Group, Inc. 44,700 849
# Iomega Corp. 110,400 1,918
Ipalco Enterprises, Inc. 47,200 1,286
Irvine Apartment Communities,
Inc. REIT 32,500 813
# ISIS Pharmaceuticals, Inc. 47,274 845
# Isomedix, Inc. 34,100 443
# i2 Technologies, Inc 24,600 950
IVAX Corp. 103,100 1,057
# J & J Snack Foods Corp. 40,900 557
J & L Specialty Steel Inc. 34,900 397
JDN Realty Corp. REIT 23,900 660
JLG Industries, Inc. 34,200 547
JSB Financial 19,399 734
# JTS Corp. 117,056 388
Jackpot Enterprises, Inc. 44,027 429
# Jacobs Engineering Group Inc. 38,900 919
# Jacor Communications Inc. 42,700 1,172
# Jan Bell Marketing Inc. 127,700 263
Jefferson Savings Bancorp, Inc. 19,400 509
# Jefferson Smurfit Corp. 88,300 1,418
John Alden Financial Group 38,300 709
John Nuveen Co. Class A 30,543 809
# Jones Apparel Group, Inc. 43,600 1,630
# Jones Intercable Inc. 54,600 566
Jones Medical Industries, Inc. 23,350 851
# Just for Feet, Inc. 21,624 566
Justin Industries, Inc. 51,600 600
# KFX, Inc. 91,250 502
# KLA Instruments Corp. 42,800 1,517
KN Energy, Inc. 26,150 1,026
# K-III Communications Corp. 103,200 1,109
K2 Inc. 31,245 859
K U Energy Corp. 31,400 942
# K-V Pharmaceutical Co. Class A 42,100 505
# Kaiser Aluminum &
Chemical Corp. 62,400 725
Kaman Corp. Class A 43,200 556
Kansas City Power & Light Co. 52,000 1,482
Kansas City Southern
Industries, Inc. 31,836 1,433
Kaydon Corp. 20,700 975
# Keane, Inc. 25,400 806
Kellwood Co. 38,100 762
# Kelly Oil Corp. 148,000 365
Kelly Services, Inc. Class A 30,137 827
# KEMET Corp. 35,800 826
# KENETECH Corp. 44,000 2
Kennametal, Inc. 22,455 873
# Kensey Nash Corp. 33,700 497
# Kent Electronics Corp. 38,600 994
Kentucky First Bancorp, Inc. 11,600 126
# Kenwin Shops, Inc. 900 2
# Key Tronic Corp. 66,100 496
# Keystone Consolidated
Industries, Inc. 41,419 342
Keystone Financial, Inc. 31,800 799
Keystone International, Inc. 29,525 594
Kimball International, Inc. Class B 27,100 1,121
Kimco Realty Corp. REIT 28,950 1,010
# Kinder Care Learning Centers Inc. 38,300 716
Kinetic Concepts, Inc. 78,232 973
# Kirby Corp. 38,100 752
Klamath First Bancorp 37,200 581
Knape & Vogt Manufacturing Co. 29,662 497
# Koger Equity Inc. REIT 51,200 960
# Kohls Corp. 63,900 2,508
# Komag, Inc. 45,100 1,221
# Koo Koo Roo, Inc. 53,800 400
# Kronos, Inc. 20,150 630
</TABLE>
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<TABLE>
<CAPTION>
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MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C>
# Kulicke & Soffa Industries, Inc. 61,600 $ 1,174
# L.A. Gear Inc. 136,216 255
# LCI International, Inc. 66,900 1,438
LG&E Energy Corp. 55,600 1,362
LTV Corp. 86,523 1,027
# LTX Corp. 107,612 629
La Quinta Inns Inc. 64,449 1,233
La-Z-Boy Inc. 23,900 705
Lab One Inc. 33,300 629
# Laboratory Corp. of America 184,344 530
Lafarge Corp. 50,300 1,012
# LAM Research Corp. 29,450 828
Lancaster Colony Corp. 23,710 1,085
Lance, Inc. 49,641 884
Landmark Bancshare, Inc. 17,000 312
# Lands' End, Inc. 35,800 949
# Landry's Seafood
Restaurants, Inc. 32,600 703
# Lattice Semiconductor Corp. 22,600 1,037
Estee Lauder Cos. Class A 52,329 2,662
Lawson Products, Inc. 22,350 494
Lawter International Inc. 63,554 802
Lawyers Title Insurance Corp. 32,150 631
# Lear Corp. 56,600 1,931
# Learning Co., Inc. 32,263 462
Learonal Inc. 29,300 674
# The Leather Factory, Inc. 16,000 13
# Lechters Corp. 73,800 385
Lee Enterprises, Inc. 37,600 874
# Legato Systems, Inc. 24,300 788
Leggett & Platt, Inc. 76,100 2,635
Legg Mason Inc. 26,800 1,032
Lehman Brothers Holdings, Inc. 85,415 2,680
Lennar Corp. 29,250 797
Leucadia National Corp. 49,376 1,321
# Lexington Global Asset
Managers, Inc. 27,600 173
# Lexmark International Group, Inc.
Class A 56,600 1,564
Liberty Bancorp, Inc. (Illinois) 29,700 783
Liberty Bancorp, Inc. (Oklahoma) 17,400 868
Liberty Corp. 28,300 1,111
Liberty Financial Cos., Inc. 22,500 875
Life Bancorp Inc. 43,300 777
Life Re Corp. 25,100 969
Lilly Industries Inc. Class A 41,188 752
# Lin Television 35,234 1,484
# Lincare Holdings Inc. 22,000 908
Lincoln Electric Co. Class A 25,176 755
Linear Technology Corp. 67,904 2,979
# Liposome Co., Inc. 50,239 964
# Littelfuse, Inc. 21,000 1,013
# Little Switzerland, Inc. 67,000 310
# Litton Industries, Inc. 38,900 1,853
# Living Centers of America, Inc. 32,900 913
# Lo-Jack Corp. 60,400 596
Loctite Corp. 26,080 1,588
# Lone Star Steakhouse & Saloon 33,863 908
# Lone Star Technologies, Inc. 52,400 884
Long Island Bancorp, Inc. 21,200 742
Long Island Lighting Co. 102,165 2,260
Longview Fibre Co. 42,270 777
# Loral Space &
Communications Ltd. 163,900 3,012
Lubrizol Corp. 51,533 1,598
Luby's Cafeterias, Inc. 18,400 366
Lukens, Inc. 21,400 431
# Lynx Therapeutics Inc. 1,425 6
Lyondell Petrochemical Co. 66,454 1,462
MAF Bancorp, Inc. 18,043 622
# MAI Systems Corp. 58,275 382
MCN Corp. 56,300 1,626
MDU Resources Group, Inc. 35,250 811
# MEMC Electronic Materials, Inc. 34,100 767
MFB Corp. 10,000 169
# MGI Pharma, Inc. 97,800 425
# MGM Grand Inc. 47,739 1,665
Ml Bancorp Inc. 70,700 994
# MRV Communications Inc. 49,114 1,071
# M.S. Carriers Inc. 27,200 444
# MacFrugal's Bargains
Close-Outs, Inc. 42,900 1,121
The Macerich Co. REIT 38,600 1,008
The MacNeal-Schwendler Corp. 59,400 468
# Macromedia 52,277 948
# Mafco Consolidated Group Inc. 34,500 875
# Mafco Consolidated Group Inc.
Rights Exp. 1/1/99 78,000 73
# Magellan Health Services Corp. 46,900 1,049
Magna Group 39,600 1,168
# Magnatek 71,200 917
Maine Public Service Co. 15,000 272
Manpower Inc. 71,000 2,308
# Manugistics Group, Inc. 26,000 1,024
Mapco Inc. 49,900 1,697
Marion Capital Holdings 12,500 245
Mark IV Industries, Inc. 54,602 1,235
# Mark VII, Inc. 19,700 550
Mark Twain Bancshares, Inc. 22,850 1,114
MarketLink, Inc. 53,600 111
# Marquest Medical Products Inc. 10,000 7
# Marquette Medical Systems
Class A 38,800 849
Marshall & Ilsley Corp. 77,027 2,677
# Marshall Industries 27,572 844
Martin Marietta Materials, Inc. 36,500 849
# Marvel Entertainment Group 84,534 159
Maryland Federal Bancorp 19,189 656
MascoTech Inc. 58,785 963
# Mastec Inc. 27,122 1,439
# Matria Healthcare Inc. 107,378 497
# Maxim Integrated Products, Inc. 54,580 2,364
# Maxxam Inc. 15,800 752
# McAfee Associates, Inc. 46,950 2,057
McClatchy Newspapers, Inc. 27,560 965
McCormick & Co., Inc. 68,183 1,607
# J. Ray McDermott SA 33,400 735
McKesson Corp. 35,706 2,000
# McLeod, Inc. 26,800 687
# McMoRan Oil and Gas 100,499 214
# McWorter Technologies Inc. 29,600 677
Measurex Corp. 31,000 744
</TABLE>
11
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<TABLE>
<CAPTION>
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MARKET
VALUE*
EXTENDED MARKET PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C>
# Mechanics Savings Bank 29,400 $ 459
# Medaphis Corp. 95,300 1,066
# Medcross, Inc. 28,800 138
Medford Savings Bank 19,601 505
Media General, Inc. Class A 20,700 626
# Medic Computer Systems, Inc. 19,300 778
# Medical Dynamics, Inc. 63,700 207
# Medical Technology Systems, Inc. 16,100 9
# Medicis Pharmaceutical Corp. 17,550 768
# MedImmune Inc. 46,300 799
# Mediq, Inc. 77,300 493
Meditrust 51,917 2,077
# Mednet MPC Corp. 120,500 73
# Medpartners Inc. 128,017 2,688
# Men's Wearhouse, Inc. 32,550 791
Mentor Corp. 38,115 1,120
# Mentor Graphics Corp. 48,900 480
Mercantile Bancorp, Inc. 52,050 2,674
Mercantile Bankshares Corp. 39,550 1,261
# Merchants Bancshares, Inc. 25,500 489
Merchants New York
Bancorporation 5,100 164
Mercury Finance Co. 152,335 1,866
Mercury General Corp. 22,500 1,181
# Merisel, Inc. 100,110 167
# Meridian Gold Co. 117,200 483
# Merix Corp. 29,700 464
Merrill Corp. 24,500 570
Merry Land & Investment Co.,
Inc. REIT 30,600 658
# Mesa Air Group Inc. 58,500 402
# Mesaba Holdings, Inc. 48,000 708
Met-Pro Corp. 36,379 487
# Metal Management, Inc. 20,400 78
# Metrocall, Inc. 82,700 419
# Metromedia International
Group, Inc. 55,500 548
Metrowest Bank 90,838 483
# Fred Meyer, Inc. 25,100 891
Michael Foods, Inc. 51,200 656
# Michaels Stores, Inc. 40,000 478
Michigan Financial Corp. 2,300 57
# Micro Warehouse Inc. 46,700 543
# Microchip Technology, Inc. 28,650 1,458
# Microcom Corp. 57,676 707
# Microdyne Corp. 90,100 535
# Micron Electronics, Inc. 77,200 1,501
# Micronics Computers, Inc. 85,600 171
# Microtouch Systems, Inc. 27,801 662
Mid-America Apartment
Communities, Inc. REIT 29,500 852
Mid-America Bancorp 33,166 630
MidAmerican Energy Holdings Co. 84,894 1,348
# Mid-American Waste
Systems, Inc. 148,500 60
# Mid Atlantic Medical
Services, Inc. 70,300 940
Mid Continent Bancshares, Inc. 4,600 108
Mid-Iowa Financial Corp. 10,560 73
# Midisoft Corp. 32,500 77
# Midway Games Inc. 32,900 666
# Midwest Grain Products 30,450 508
# Millenia, Inc. 625 1
# Millenium Chemicals, Inc. 70,600 1,253
Herman Miller, Inc. 19,171 1,082
# Milwaukee Land Co. 2,300 14
Minerals Technologies, Inc. 18,200 746
Minnesota Power & Light Co. 26,300 723
Mirage Resorts, Inc. 158,800 3,434
# Mississippi Chemical Corp. - New 10,855 1,012
# Mitcham Industries, Inc. 26,300 255
Mitchell Energy & Development
Corp. Class A 43,300 969
# Mobile Telecommunications
Technologies Corp. 84,400 709
# MobileMedia Corp. 90,700 41
# Model Imperial, Inc. 57,500 20
Modern Controls, Inc. 29,575 303
Modine Manufacturing Co. 24,100 636
# Mohawk Industries, Inc. 47,400 1,055
# Molecular Biosystems, Inc. 70,034 455
Molex, Inc. 85,567 3,348
Molex, Inc. Class A 875 31
# Molten Metal Technology 47,200 561
The Money Store 53,665 1,489
Montana Power Co. 45,800 979
Morrison Fresh Cooking Inc. 12,031 56
Morrison Health Care Inc. 40,441 597
# Morrison Knudsen Co. Warrants
Exp. 3/11/03 8,551 31
Mosinee Paper Corp. 23,166 820
# Mueller Industries Inc. 21,216 817
Murphy Oil Corp. 37,630 2,093
Myers Industries, Inc. 39,365 664
Mylan Laboratories, Inc. 105,500 1,767
# Myriad Genetics, Inc. 29,700 743
# Mysoftware Co. 3,000 12
NAC Re Corp. 28,325 960
NBT Bancorp, Inc. 3,360 62
NCH Corp. 12,600 759
NCR Corp. 87,000 2,925
NGC Corp. 127,500 2,964
NIPSCO Industries, Inc. 50,970 2,020
N L Industries, Inc. 37,400 407
# NPC International Class A 62,800 522
NYMAGIC, Inc. 35,600 641
Nabisco Holdings Corp. Class A 44,900 1,745
# Nabors Industries, Inc. 75,100 1,446
# Nashua Corp. 35,600 427
# National Auto Credit Inc. 64,403 773
# National Beverage Corp. 71,840 647
# National City Bancorporation 2,400 49
National Community Bancorp 19,198 730
National Computer Systems, Inc. 31,500 795
National Data Corp. 21,739 946
National Fuel & Gas Co. 31,800 1,312
National Health Investors REIT 27,300 1,034
National Presto Industries, Inc. 16,063 600
# National Processing, Inc. 43,100 690
# National R. V. Holdings, Inc. 31,982 460
# National Record Mart, Inc. 49,100 68
# National Steel Corp. Class B 57,100 528
</TABLE>
12
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<TABLE>
<CAPTION>
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MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C>
# National Techteam, Inc. 36,700 $ 741
Nationwide Health Properties, Inc. 35,000 849
# Nautica Enterprises Inc. 38,937 978
# Neiman Marcus Group Inc. 42,655 1,088
# Nellcor Puritan Bennett, Inc. 52,028 1,132
# Netmanage, Inc. 99,900 603
# Netscape Communications Corp. 54,500 3,100
# Netsmart Technologies, Inc. 11,200 39
# Network Equipment Technologies 53,647 885
# Network General Corp. 46,288 1,397
# Network Peripherals, Inc. 35,800 631
Nevada Power Co. 37,752 774
New England Business
Service, Inc. 43,500 935
New England Electric System 54,800 1,911
New Jersey Resources Corp. 24,700 722
# New Mexico & Arizona Land Co. 38,841 452
New Plan Realty Trust REIT 46,655 1,184
# New World Communications
Group, Inc. 47,100 1,186
New York Bancorp Inc. 16,900 655
New York State Electric &
Gas Corp. 60,400 1,306
Newcor, Inc. 39,600 304
# Newfield Exploration Co. 29,000 754
Newhall Land & Farming Co. 48,300 815
Newmil Bancorp, Inc. 23,900 224
Newmont Gold Co. 93,868 4,107
# Newport News Shipbuilding Inc. 25,000 375
# Nexstar Pharmaceuticals Inc. 50,991 755
# Nextel Communications 192,293 2,512
# Nine West Group, Inc. 29,600 1,373
Nitches Inc. 30,128 158
Noble Affiliates, Inc. 55,536 2,659
# Noble Drilling Corp. 101,200 2,011
Nordson Corp. 14,240 911
Norrell Corp. 36,600 997
# Nortek, Inc. 34,852 697
North American Mortgage Co. 41,400 818
# North American Vaccine, Inc. 25,900 628
North Fork Bancorporation, Inc. 28,257 1,007
North Side Savings Bank 18,750 1,029
# North Star Universal Inc. 63,800 522
Northeast Utilities 104,800 1,389
Northern Trust Corp. 95,300 3,461
# Northgate Exploration, Ltd. 2,488 2
# Northwest Airlines Corp. Class A 81,900 3,204
Northwest Natural Gas Co. 31,200 753
Northwest Savings Bank 49,800 675
Northwestern Public Service Co. 17,900 613
Norwalk Savings Society 18,400 429
# Nova Corp. (Georgia) 43,900 971
# NovaCare, Inc. 111,500 1,227
# Novavax, Inc. 52,900 182
# Novellus Systems, Inc. 15,600 845
# Nuevo Energy Co. 15,500 806
Nutrition for Life International, Inc. 30,200 368
# nVIEW Corp. 25,049 86
OEA, Inc. 27,400 1,254
# OHM Corp. 73,200 622
# Oak Technology, Inc. 90,000 1,018
# Oakley, Inc. 59,400 646
Oakwood Homes Corp. 35,700 817
Oasis Residential, Inc. REIT 36,600 833
# Objective Systems
Integrators, Inc. 46,600 1,104
# Oceaneering International, Inc. 51,100 811
# Octel Communications Corp. 54,300 943
# Ocwen Financial Corp. 4,300 114
# Office Depot, Inc. 135,725 2,409
# Officemax Inc. 107,000 1,137
# Offshore Logistics, Inc. 38,700 755
Ogden Corp. 51,651 968
Ohio Art Co. 14,800 255
Ohio Casualty Corp. 27,956 999
Oklahoma Gas & Electric Co. 33,900 1,415
# Old America Stores, Inc. 41,200 211
Old Kent Financial Corp. 39,194 1,869
Old National Bancorp 20,671 806
Old Republic International Corp. 74,961 2,005
Olin Corp. 43,100 1,622
Olsten Corp. 65,130 985
# Olympic Financial Ltd. 57,400 825
Omega Financial Corp. 4,900 175
Omega Healthcare Investors, Inc. 24,541 816
Omnicare, Inc. 63,600 2,043
Omnicom Group Inc. 67,700 3,097
# Omnipoint Corp. 40,900 785
# On Assignment, Inc. 17,700 516
Onbancorp Inc. 21,100 786
One Valley Bancorp of West
Virginia Inc. 29,875 1,118
Oneida Ltd. 33,889 610
# Oneita Industries 47,933 84
# Onyx Acceptance Corp. 36,700 310
# Ontrak Systems, Inc. 31,300 464
# Ophthalmic Imaging
Systems, Inc. 1,000 5
# Optical Cable Corp. 66,600 724
Optical Coating Laboratory, Inc. 42,385 453
Orange & Rockland Utilities, Inc. 19,600 703
# Orbital Sciences Corp. 47,500 813
# Oregon Metallurgical Corp. 27,175 873
Oregon Steel Mills, Inc. 37,100 621
# O'Reilly Automotive, Inc. 20,500 651
Oriental Bank & Trust 18,920 395
# Oriole Homes Corp. Class B 19,300 135
Orion Capital Corp. 19,000 1,161
# OrNda Healthcorp 49,000 1,433
# Orthodontic Centers of
America, Inc. 46,100 726
# Orthologic Corp. 78,500 439
Oshkosh B Gosh, Inc. Class A 27,900 432
O'Sullivan Corp. 48,175 530
# Outback Steakhouse 40,854 1,088
Outboard Marine Corp. 20,000 330
# Outdoor Systems, Inc. 31,750 901
# Outlook Group Corp. 8,000 37
Overseas Shipholding Group Inc. 53,700 913
# Owens-Illinois, Inc. 99,872 2,272
# Oxford Health Plan 64,500 3,777
# Oxigene, Inc. 20,161 467
</TABLE>
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<TABLE>
<CAPTION>
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MARKET
VALUE*
EXTENDED MARKET PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C>
PCA International, Inc. 30,598 $ 486
# PCD, Inc. 42,000 562
# PDG Environment Industries 7,140 2
# PDT, Inc. 25,400 724
PHH Corp. 29,000 1,247
# PICO Holdings Inc. 116,229 465
PIMCO Commercial Mortgage
Securities, Inc. 39,500 509
PMC Capital, Inc. 37,700 528
The PMI Group Inc. 29,500 1,634
# PMT Services Inc 48,565 847
PS Group Holdings Inc. 33,800 456
# PVF Capital Corp. 12,600 198
# Pacific Crest Capital Inc. 43,645 491
# Pacific Greystone Corp. 46,300 509
Pacific Gulf Properties, Inc. 27,200 530
Pacific Scientific Co. 33,800 380
# Pacificare Health Systems Inc.
Class A 14,800 1,212
# Pacificare Health Systems Inc.
Class B 11,300 962
# Paging Network, Inc. 86,500 1,325
PaineWebber Group, Inc. 80,675 2,269
# Pairgain Technologies, Inc. 51,600 1,571
# Papa John's International, Inc. 22,650 769
# Parametric Technology Corp. 108,408 5,576
# Park-Ohio Industries, Inc. 37,300 487
Parker & Parsley Petroleum Co. 29,900 1,099
# Parker Drilling Co. 96,300 927
# Patina Oil & Gas Corp. 67,068 620
# Patina Oil & Gas Corp. Warrants
Exp. 5/2/01 19,484 41
Patriot American Hospitality,
Inc. REIT 18,000 776
Paul Revere Corp. 36,400 1,356
# Paul-Son Gaming Corp. 23,300 183
Paychex, Inc. 60,899 3,132
# Payless ShoeSource, Inc. 33,000 1,238
# Peak Technologies Group, Inc. 41,400 486
# PEC Israel Economic Corp. 41,500 695
# Pegasus Gold 51,200 387
# Pegasystems Inc. 17,300 521
Penn Engineering &
Manufacturing Corp. 31,100 638
Penn Engineering &
Manufacturing Corp. Class A 8,300 172
Penncorp Financial Group Inc. 23,200 835
Pennfed Financial Services, Inc. 27,600 554
Pennsylvania Enterprises Inc. 12,850 564
Pentair, Inc. 31,508 1,016
Penwest Ltd. 27,409 487
Peoples Bank 916 22
Peoples Bank of Bridgeport 34,500 990
# People's Choice TV Corp. 40,500 244
Peoples Heritage Financial
Group Inc. 40,759 1,136
People's Savings Financial Corp. 4,500 125
# Peoplesoft Inc. 87,100 4,175
# Perini Corp. 38,400 300
Perpetual Midwest Financial, Inc. 2,300 44
# Perrigo Co. 97,500 878
# Personnel Group of America, Inc. 30,398 733
# Pet Food Warehouse, Inc. 44,300 190
Petroleum Heat & Power Co. 76,700 479
Petrolite Corp. 21,100 992
# PETsMART, Inc. 88,200 1,929
# Phamis, Inc. 31,400 408
# Pharmaceutical Product
Development, Inc. 28,783 723
# Pharmaceutical Resources, Inc. 103,688 363
Phillips-Van Heusen Corp. 47,893 688
# Phoenix International Ltd., Inc. 16,300 291
# Phonetel Technologies, Inc. 4,000 13
# Photronics Labs Inc. 28,698 786
# Phycor, Inc. 45,325 1,280
# Physician Corp. of America 71,200 721
# Physician Reliance Network, Inc. 98,500 757
# Physician Sales & Service, Inc. 27,400 401
# PictureTel Corp. 42,100 1,089
Piedmont Natural Gas, Inc. 25,014 585
Pier 1 Imports Inc. 55,235 974
# Piercing Pagoda, Inc. 22,500 540
Pikeville National Corp. 14,800 372
Pilgrim's Pride Corp. 73,500 634
# Pinnacle Systems, Inc. 39,600 411
Pinnacle West Capital Corp. 75,700 2,403
Pioneer Financial 39,700 993
Pioneer Group Inc. 38,400 905
Pioneer Standard Electronics Inc. 55,225 714
# Pittencrieff Communication, Inc. 109,900 402
Pittston Brink's Group 34,200 923
Pittston Burlington Group 36,600 732
Pittway Corp. Class A 16,716 894
# Pixar, Inc. 59,200 773
# Planet Hollywood International,
Inc. Class A 82,700 1,633
# Platinum Technology, Inc. 43,300 587
# Players International, Inc. 89,300 474
# Playboy Enterprises Inc. Class A 22,850 231
# Playboy Enterprises Inc. Class B 33,750 329
Plenum Publishing Corp. 15,300 545
# Plexus Corp. 36,850 631
Ply-Gem Industries, Inc. 53,500 662
Pogo Producing Co. 28,400 1,342
Polaris Industries, Inc. 40,950 973
# Policy Management
Systems Corp. 25,564 1,179
# Polymer Group, Inc. 15,000 208
# Pool Energy Service Co. 52,367 812
Pope & Talbot, Inc. 42,700 678
Portland General Electric Co. 42,600 1,789
Post Properties, Inc. REIT 21,000 845
Potomac Electric Power Co. 99,800 2,570
# Power Control Technologies 78,000 585
Pratt Hotel Corp. 17,222 30
Precision Castparts Corp. 24,100 1,196
# Precision Response Corp. 27,400 969
# Precision Systems, Inc. 83,900 425
Premark International, Inc. 52,223 1,162
# Premenos Technology Corp. 47,050 400
Premier Farnell PLC ADR 28,800 727
Premier Farnell PLC Cvt. Pfd. ADR 23,203 664
</TABLE>
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<TABLE>
<CAPTION>
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MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C>
# Premisys Communications, Inc. 23,000 $ 776
# Premiere Technologies, Inc. 41,300 1,043
# President Casinos 157,282 111
Presidential Life Corp. 66,800 810
# Presstek, Inc. 12,700 905
Price Enterprises, Inc. 44,700 768
T. Rowe Price 49,600 2,158
# Primadonna Resorts, Inc. 47,538 814
# Primark Corp. 17,731 439
Prime Bancorp Inc. 20,582 417
# Prime Hospitality Corp. 57,500 927
Prime Retail, Inc. 43,700 538
Prime Service, Inc. 36,500 1,004
# Proffitt's, Inc. 18,700 686
Production Operators Corp. 17,600 823
Progressive Bank, Inc. 16,800 389
Progressive Corp. of Ohio 61,806 4,164
# Pronet, Inc. 69,000 298
# Promus Hotel Corp. 42,650 1,264
Protective Life Corp. 26,700 1,065
# Protein Design Labs 37,400 1,356
# Providence Journal Co. 21,000 643
Provident Bancorp Inc. 32,925 1,111
Provident Bankshares Corp. 17,075 671
Provident Cos., Inc. 39,400 1,906
# Psychemedics, Inc. 86,456 519
# PsiNet, Inc. 71,400 785
Public Service Co. of Colorado 55,600 2,161
Public Service Co. of New Mexico 32,620 640
Public Storage, Inc. REIT 72,700 2,254
Puerto Rican Cement Co., Inc. 17,500 547
Puget Sound Power & Light Co. 51,615 1,239
Pulitzer Publishing Co. 18,433 855
# Pure Atria Software Corp. 34,003 835
Purus, Inc. 5,100 21
# QMS, Inc. 75,200 395
# QLogic Corp. 36,400 944
Quaker State Corp. 54,800 774
# Qualcomm, Inc. 57,400 2,289
# Quality Food Centers Inc. 25,654 872
Quanex Corp. 29,700 813
# Quantum Corp. 49,900 1,422
# Quarterdeck Corp. 108,600 451
Queens County Bancorp, Inc. 18,666 888
Questar Corp. 35,415 1,302
Quick & Reilly Group, Inc. 35,950 1,074
# QuickResponse Services, Inc. 21,800 632
# Quintiles Transnational Corp. 18,200 1,199
# Quorum Health Group, Inc. 40,500 1,200
# RAC Financial Group, Inc. 39,600 824
RCSB Financial Corp. 28,100 811
RFS Hotel Investors, Inc. REIT 39,700 784
RJR Nabisco Holdings Corp. 235,442 8,005
R.L.I. Corp. 28,400 948
ROC Communities Inc. REIT 31,500 874
# RPC Inc. 53,800 807
RPM Inc. (Ohio) 64,164 1,091
# Rainbow Technologies, Inc. 27,800 521
# Ralcorp Holdings Inc. 48,700 1,029
Raritan Bancorp, Inc. 1,300 30
# Rational Software Corp. 32,200 1,274
Raymond James Financial, Inc. 34,050 1,026
Rayonier Inc. 25,100 963
# Read-Rite Corp. 42,769 1,075
Reader's Digest Assn., Inc.
Class A 91,100 3,667
Reader's Digest Assn., Inc.
Class B 400 15
# Reading & Bates Corp. 72,125 1,911
# Reddi Brake Supply Corp. 126,400 22
Regal-Beloit Corp. 39,500 775
# Regal Cinemas, Inc. 28,300 867
Regions Financial Corp. 52,227 2,699
Regis Corp. 22,040 357
Reinsurance Group of
America, Inc. 22,800 1,074
Reliance Bancorp, Inc. 27,200 527
Reliance Group Holdings 90,614 827
Reliastar Financial Corp. 30,762 1,777
# Remedy Corp. 33,000 1,766
# Renaissance Communications 24,950 892
# Renal Treatment Centers, Inc. 19,200 490
# Rentrak Corp. 66,500 220
Republic Bancorp, Inc. 36,880 433
# Republic/Clearwater Fla. 26,800 397
# Republic Industries, Inc. 212,965 6,642
# Research Frontiers, Inc. 50,700 383
# Research Medical, Inc. 37,350 857
# Response Oncology, Inc. 42,700 416
# Retix 99,791 667
# Revco Drug Stores, Inc. 59,400 2,198
# Rexall Sundown, Inc. 42,997 1,169
# Rexel Inc. 49,244 782
Reynolds & Reynolds Class A 68,800 1,789
Rhone-Poulenc Rorer, Inc. 118,054 9,223
Richfood Holdings, Inc. 39,600 960
Riggs National Corp. 53,000 918
# Right Management Consultants 24,100 551
Rite Aid Corp. 33,085 1,315
Roadway Express Inc. 10,000 193
# Robert Half International, Inc. 48,700 1,674
# Roberts Pharmaceuticals 42,000 470
Rochester Gas and Electric Corp. 30,248 578
Rock-Tenn Co. 48,950 967
# Rodman and Renshaw Capital
Group, Inc. 2,239 3
# Rogers Corp. 24,500 665
# Rohr, Inc. 33,300 753
# Rollins Environmental
Services, Inc. 161,500 283
Rollins, Inc. 31,100 622
Rollins Truck Leasing 64,375 813
Roosevelt Financial Group 54,100 1,129
Roper Industries Inc. 19,000 743
Ross Stores, Inc. 20,494 1,022
# Rotech Medical Corp. 47,800 998
# The Rottlund Co. 50,300 248
Rouse Co. 47,800 1,518
# Royal Appliance
Manufacturing Co. 63,100 434
Royal Caribbean Cruises, Ltd. 52,100 1,218
Ruby Tuesday, Inc. 30,562 565
</TABLE>
15
<PAGE> 64
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
MARKET
VALUE*
EXTENDED MARKET PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C>
Ruddick Corp. 62,300 $ 872
Russ Berrie, Inc. 39,100 704
# Ryan's Family Steak Houses, Inc. 43,000 297
Rykoff-Sexton, Inc. 49,931 793
Ryland Group, Inc. 37,800 520
# SC Bancorp 36,400 350
# SCI Systems, Inc. 27,742 1,241
SJS Bancorp, Inc. 2,900 74
SJW Corp. 10,000 469
# SPS Transaction Services 49,600 756
# SPSS, Inc. 24,900 680
# SOS Staffing Services, Inc. 45,800 475
SPX Corp. 26,191 1,015
# S3, Inc. 60,300 984
# Safeguard Health Enterprises, Inc. 25,165 444
# Safeguard Scientifics, Inc. 28,900 918
# Safety First Inc. 26,900 286
# Safeway, Inc. 190,521 8,145
St. Francis Capital Corp. 18,000 473
St. Joe Corp. 26,399 1,716
St. John Knits, Inc. 12,900 561
St. Paul Bancorp, Inc. 32,350 948
# Saks Holdings, Inc. 57,600 1,555
# Salant Corp. 96,400 313
# Sanchez Computer
Associates, Inc. 6,850 54
Sanderson Farms, Inc. 43,450 722
# Sanmina Corp. 14,200 802
Santa Monica Bank 10,600 180
Saul Centers, Inc. REIT 34,200 543
Savannah Foods &
Industries, Inc. 52,800 713
Sbarro, Inc. 29,691 757
SCANA Corp. 88,200 2,359
# Henry Schein, Inc. 25,900 889
# R. P. Scherer Corp. 19,726 991
# Scholastic Corp. 13,100 876
Schuller Corp. 134,300 1,427
A. Schulman Inc. 29,362 723
Schult Home Corp. 26,700 627
Charles Schwab Corp. 151,562 4,850
Schweitzer-Mauduit
International, Inc. 23,500 743
# Scios, Inc. 111,868 689
Scope Industries 5,000 247
E.W. Scripps Co. 68,769 2,407
# Seacor Holdings, Inc. 2,900 182
Seafield Capital Corp. 15,900 622
# Seagull Energy Corp. 53,400 1,175
# Sealed Air Corp. 36,800 1,532
# Secure Computing Corp. 49,100 436
Security Bancorp 4,300 128
Security Capital Atlantic Inc. 31,700 777
Security Capital Corp. 14,100 1,036
Security Capital Industrial
Trust REIT 71,084 1,519
Security Capital Pacific Inc. REIT 60,097 1,375
# Security Dynamics
Technologies, Inc. 29,200 918
# Security First Network Bank 21,288 226
Selective Insurance Group 23,600 900
# Selfix, Inc. 24,120 205
Sensormatic Electronics Corp. 60,061 1,006
# Sequa Corp. Class A 18,000 707
# Sequent Computer Systems, Inc. 68,900 1,219
# Service Merchandise Co., Inc. 141,987 603
Shaw Industries, Inc. 113,600 1,335
Shelby Williams Industries, Inc. 31,700 388
# Shiva Corp. 24,000 834
# ShoLodge, Inc. 37,433 491
# Shoney's Inc. 35,300 247
Shopko Stores, Inc. 51,655 775
# Shorewood Packaging 35,700 703
# Show Biz Pizza Time, Inc. 32,875 606
Showboat, Inc. 37,616 649
Shurgard Storage Centers,
Inc. REIT 14,500 430
# Siebel Systems, Inc. 28,600 779
# Sierra Health Services 28,969 713
Sierra Pacific Resources 27,000 776
# Sierra Semiconductor 72,388 1,081
Signet Banking Corp. 49,352 1,518
SIG Corp. 20,454 708
# Silicon Valley Group, Inc. 48,900 981
Simmons First National 9,000 239
Simon DeBartolo Group Inc. 81,812 2,536
# Simula, Inc. 24,300 328
# Sitel Corp. 43,500 617
# Sizzler International 130,650 376
Skyline Corp. 22,000 545
A.O. Smith Corp. 31,400 938
# Smith International, Inc. 32,800 1,472
# Smithfield Foods, Inc. 28,800 1,091
Smiths Food & Drug Centers,
Inc. Class B 15,230 472
J.M. Smucker Co. Class A 46,700 823
J.M. Smucker Co. Class B 1,200 19
# Snyder Communications, Inc. 29,000 783
# Sofamor Danek Group Inc. 34,400 1,049
# Softdesk, Inc. 38,800 587
# Software Spectrum, Inc. 20,000 583
# Sola International, Inc. 30,600 1,163
# Solectron Corp. 45,400 2,423
# Solv-Ex Corp. 49,334 697
Sonoco Products 76,485 1,979
Sotheby's Holdings Class A 43,300 806
South Jersey Industries, Inc. 22,084 538
Southdown, Inc. 29,500 918
Southern National Corp. 104,292 3,781
Southern New England
Telecommunications Corp. 56,700 2,204
# Southern Union Co. 31,360 690
# Southland Corp. 329,000 977
SouthTrust Corp. 79,050 2,757
Southwest Gas Corp. 37,400 720
Southwestern Energy Co. 48,800 738
Southwestern Public Service Co. 34,100 1,206
Sovereign Bancorp, Inc. 74,203 969
Sovran Self Storage, Inc. 27,600 863
# Spacetec IMC Corp. 57,600 299
# Spaghetti Warehouse, Inc. 26,300 138
Spartan Motors, Inc. 66,200 439
</TABLE>
16
<PAGE> 65
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C>
# Spec's Music Inc. 43,366 $ 47
# Spectrian Corp. 45,900 361
# Speedway Motorsports, Inc. 34,300 720
# Spelling Entertainment 125,300 924
# Spiegel, Inc. Class A 86,300 609
Spieker Properties, Inc. REIT 27,600 994
# The Sports Authority, Inc. 25,200 548
# Spyglass, Inc. 43,500 541
# Stac, Inc. 86,100 560
Standard Federal Bank 25,500 1,450
Standard Financial, Inc. 45,200 893
Standard Products Co. 30,850 787
The Standard Register Co. 37,087 1,205
Standex International Corp. 24,400 753
Stanhome, Inc. 26,500 702
# Staples, Inc. 134,461 2,429
Star Banc Corp. 25,004 2,297
# Starbucks Corp. 67,000 1,918
L. S. Starrett Co. Class A 22,000 624
L. S. Starrett Co. Class B 400 11
# Starter Corp. 63,000 362
Starwood Lodging Trust REIT 21,700 1,196
State Street Boston Corp. 68,608 4,425
# Station Casinos, Inc. 63,500 643
# Steris Corp. 35,108 1,529
# Sterling Commerce, Inc. 68,962 2,431
# Sterling Software, Inc. 31,637 1,001
Stewart & Stevenson
Services, Inc. 41,582 1,211
Stewart Enterprises, Inc. Class A 34,500 1,173
Stewart Information
Services Corp. 24,300 504
Stolt Nielsen Class B ADR 10,550 198
Stone & Webster, Inc. 23,100 728
Storage USA, Inc. REIT 17,300 651
# Storage Technology Corp. 51,691 2,462
# Strategic Distribution, Inc. 94,900 759
# Stratosphere Corp. 30,200 26
# Stratus Computer, Inc. 37,900 1,033
Strawbridge & Clothier Class A 22,064 360
# StreamLogic Corp. 69,100 49
# Strouds, Inc. 69,100 238
# Structural Dynamics
Research Corp. 48,000 951
Stryker Corp. 82,400 2,467
Student Loan Corp. 28,200 1,050
Student Loan Marketing Assn. 49,103 4,573
# Submicron Systems Corp. 91,440 386
Suffolk Bancorp 5,900 229
Summit Bancorp 79,429 3,475
Summit Properties, Inc. REIT 41,400 916
Summit Technology, Inc. 93,750 521
SunAmerica Inc. 101,500 4,504
Sun Communities, Inc. REIT 26,300 907
# Sun Healthcare Group, Inc. 69,600 940
Sunbeam Corp. 69,200 1,782
Sundstrand Corp. 51,500 2,189
# SunGard Data Systems, Inc. 35,500 1,416
# Sunglass Hut International, Inc. 42,174 308
# Sunrise Medical, Inc. 41,700 662
Superior Industries
International, Inc. 47,019 1,087
# Swift Energy Co. 26,890 803
# Swift Transportation Co., Inc. 35,100 818
# Sybase, Inc. 62,640 1,045
# Sybron International Corp. 40,600 1,340
# Sykes Enterprises, Inc. 16,500 608
# Sylvan Learning Systems, Inc. 37,200 1,051
# Symantec Corp. 75,412 1,098
# Symbol Technologies, Inc. 21,500 951
# Synopsys, Inc. 33,426 1,538
# Synetic, Inc. 10,100 489
Synovus Financial Corp. 99,350 3,192
# System Software Associates, Inc. 62,050 655
# Systemix, Inc. 35,950 544
# TBC Corp. 81,775 624
TCA Cable Television, Inc. 34,500 1,033
TCBY Enterprises, Inc. 89,900 360
TCF Financial Corp. 28,400 1,235
# TCI Satellite Entertainment, Inc.
Class A 28,277 281
# TCSI Corp. 63,429 400
TECO Energy, Inc. 100,200 2,417
TF Financial Corp. 29,900 482
TIG Holdings, Inc. 49,600 1,680
TJ International, Inc. 30,700 702
TNP Enterprises, Inc. 20,100 550
TR Financial Corp. 21,400 762
Talbots Inc. 28,200 807
# Talley Industries, Inc. 52,800 389
Tambrands, Inc. 31,877 1,303
# Tanknology Environmental, Inc. 1,900 4
# Target Therapeutics, Inc. 23,200 973
Taubman Co. REIT 71,000 914
# Tech Data Corp. 35,178 963
# Technical Communications Corp. 14,000 191
# Technology Solutions Co. 33,021 1,362
Tecumseh Products Co. Class A 6,700 384
Tecumseh Products Co. Class B 11,800 666
# Tejas Gas Corp. 22,762 1,084
Tejon Ranch Co. 38,500 553
# Tekelec 44,300 703
# Telcom Semiconductor, Inc. 93,600 398
# Tele-Communications
International, Inc. Series A 98,500 1,324
Teleflex Inc. 14,900 777
Telephone & Data Systems, Inc. 52,228 1,893
# Telescan, Inc. 69,500 391
# Teletech Holdings Inc. 46,100 1,181
# Telular Corp. 104,600 569
Telxon Corp. 44,500 551
# Tencor Instruments 36,700 970
# Teradyne, Inc. 75,889 1,850
Terra Industries, Inc. 67,542 996
# Tesoro Petroleum Corp. 63,600 890
Texas Industries, Inc. 13,257 671
# Thermedics, Inc. 30,100 546
# Thermo Instrument Systems, Inc. 81,987 2,716
# Thermo Cardiosystems Inc. 30,350 911
# Thermo Fibertek, Inc. 93,100 867
# Thermo VolTek 44,400 438
# ThermoLase Corp. 38,400 605
# ThermoTrex Corp. 27,000 739
Thiokol Corp. 23,000 1,029
</TABLE>
17
<PAGE> 66
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
MARKET
VALUE*
EXTENDED MARKET PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C>
# 360 Communications Co. 104,745 $ 2,422
Tidewater, Inc. 51,700 2,339
Tiffany & Co. 29,332 1,074
Times Mirror Co. 20,815 1,075
# Titanium Metals Corp. 25,300 829
# Todd Shipyards Corp. 73,100 475
# Toll Brothers, Inc. 28,500 556
Tootsie Roll Industries, Inc. 18,421 730
# The Topps Co., Inc. 124,240 505
The Toro Co. 18,900 690
Tosco Corp. 36,758 2,908
Total Petroleum
(North America) Ltd. 74,300 771
# Total Renal Care Holdings, Inc. 22,200 805
Total System Services, Inc. 107,376 2,886
Town & Country Trust REIT 45,800 670
# Trans World Airlines 32,303 220
# Transaction Systems
Architects, Inc. 30,100 993
Transatlantic Holdings 19,300 1,554
# Transitional Hospital Corp. 78,800 758
Transocean Offshore Inc. 43,100 2,699
TransPro Inc. 36,610 334
Transtechnology Corp. 28,800 565
# TransTexas Gas Corp. 95,200 1,357
# Transworld Home Healthcare, Inc. 46,700 508
Travelers/Aetna Property
Casualty Corp. Class A 61,100 2,161
# Tremont Corp. 28,409 1,026
# Triarc Cos., Inc. Class A 50,900 585
# Trico Marine Services, Inc. 20,500 989
Trimas Corp. 31,800 759
# Trimble Navigation Ltd. 37,400 432
# Trimedyne, Inc. 60,000 191
Trinity Industries, Inc. 34,600 1,298
True North Communications 39,400 862
# Truevision Inc. 77,400 215
The Trust Co. of New Jersey 41,900 589
Trustco Bank 35,852 764
Trustmark Corp. 27,300 706
# Tucson Electric Power Co. 43,300 720
# Tuesday Morning, Inc. 38,202 817
# Tultex Corp. 94,000 658
20th Century Industries of CA 43,600 736
# Tyco Toys, Inc. 98,098 1,153
# Tyler Corp. 6,000 11
Tyson Foods, Inc. 125,407 4,295
# UAL Corp. 49,900 3,119
# UCAR International, Inc. 42,900 1,614
UGI Corp. Holding Co. 27,546 616
# UICI 37,500 1,212
UMB Financial Corp. 18,417 757
# UNC, Inc. 62,700 752
# URS Corp. 77,458 697
# USA Waste Service 116,544 3,715
# USG Corp. 37,800 1,280
UST Corp. 21,600 443
# US Physical Therapy, Inc. 27,400 276
# U.S. Robotics Corp. 76,187 5,490
# Ultrafem, Inc. 28,433 490
# Ultralife Batteries, Inc. 48,300 411
Ultramar Diamond
Shamrock Corp. 67,384 2,131
# Ultratech Stepper, Inc. 40,500 957
Unifi, Inc. 56,125 1,803
# Unify Corp. 34,200 190
# Union Corp. 23,300 533
Union Planters Corp. 53,054 2,069
Union Texas Petroleum
Holdings, Inc. 72,800 1,629
UnionBanCal Corp. 42,094 2,236
# Uniphase Corp. 13,500 710
# Unique Mobility, Inc. 73,200 265
# Unisource Worldwide, Inc. 55,000 1,114
United Asset Management Corp. 50,700 1,350
United Carolina Bancshare Corp. 31,250 1,229
United Cos. Finance Corp. 23,409 623
United Dominion Industries Ltd. 37,385 879
United Dominion Realty Trust REIT 47,500 736
United Guardian, Inc. 31,800 56
United Illuminating Co. 18,900 593
# United International Holdings,
Inc. Class A 58,400 704
# United Meridian Corp. 28,800 1,490
United National Bancorp 7,844 286
# U.S. Bioscience 60,055 758
# U.S. Bioscience Warrants
Exp. 4/24/98 211 1
# U.S. Energy Corp. 40,770 405
# U.S. Filter Corp. 47,283 1,501
# U.S. Long Distance Corp. 63,636 517
# U.S. Industries, Inc. 42,800 1,471
# US Office Products Co. 33,400 1,134
# United States Cellular 72,250 2,014
# United States Satellite
Broadcasting Co., Inc. Class A 74,600 737
United States Trust Corp. 15,300 1,207
# United Stationers, Inc. 23,344 479
United Television, Inc. 15,500 1,357
# United Waste Systems, Inc. 29,700 1,019
United Water Resources, Inc. 48,944 759
Unitil Corp. 24,600 492
Unitrin Inc. 31,770 1,779
Universal Corp. 27,600 887
Universal Foods Corp. 20,762 732
Universal Health Realty Income
Trust REIT 33,000 677
# Universal Health Services
Class B 35,500 1,016
# Universal Stainless & Alloy
Products, Inc. 28,500 255
# Uranium Resources, Inc. 33,768 262
# UROHEALTH Systems, Inc.
Class A 49,184 381
US Bancorp, Inc. 15,600 656
# USDATA Corp., Inc. 61,450 361
USFreightways Corp. 32,200 883
Utilicorp United, Inc. 49,786 1,344
# VLSI Technology, Inc. 58,200 1,382
# Vaalco Energy, Inc. 2,400 1
# Valassis Communication 61,000 1,289
Valhi, Inc. 87,700 559
</TABLE>
18
<PAGE> 67
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C>
Valero Energy Corp. 36,400 $ 1,042
Valley National Bancorp 38,485 986
Vallicorp Holdings, Inc. 34,300 705
Valspar Corp. 17,600 997
# Value City Department Stores, Inc. 60,900 639
# Value Health, Inc. 46,902 915
# ValuJet Inc. 42,000 266
# Vanguard Cellular Systems, Inc.
Class A 57,137 893
# Vanstar Corp. 32,300 791
# Vantive Corp. 33,300 1,036
# Varco International, Inc. 43,528 1,007
Varian Associates, Inc. 25,900 1,318
Vastar Resources, Inc. 84,200 3,200
# Vectra Tech Inc. 25,800 53
# Vencor, Inc. 60,965 1,928
# Ventritex Inc. 41,300 1,009
# VeriFone, Inc. 24,800 732
# Veritas Software Corp. 24,650 1,220
Versa Technology, Inc. 31,800 409
# Vertex Communications Corp. 28,500 529
Vesta Insurance Group, Inc. 26,000 816
Viad Corp. 80,000 1,320
# Viasoft, Inc. 29,852 1,414
# Vicor Corp. 32,381 540
# Vicorp Restaurants, Inc. 35,039 451
# Viking Office Products 68,800 1,836
# VideoLan Technologies, Inc. 56,800 91
Vintage Petroleum, Inc. 11,100 383
Virco Manufacturing Corp. 57,900 825
Virginia Beach Federal
Financial Corp. 44,050 418
# VitalCom, Inc. 42,200 219
# Vishay Intertechnology, Inc. 49,335 1,153
Vital Signs, Inc. 33,264 867
# Vitesse Semiconductor Corp. 10,300 469
# Vivra, Inc. 31,100 859
# Vmark Software, Inc. 58,600 440
# Vons Cos., Inc. 36,300 2,173
Vornado Realty Trust REIT 20,398 1,071
Vulcan International Corp. 5,900 181
Vulcan Materials Co. 29,010 1,766
# WHX Corp. 44,564 396
# WMS Industries, Inc. 36,400 728
WPL Holdings, Inc. 25,200 709
WPS Resources Corp. 18,600 530
# WSFS Financial Corp. 52,900 542
# Waban, Inc. 36,600 952
Wabash National Corp. 27,900 513
Wackenhut Corp. 20,700 357
Wackenhut Corp. Class B 15,862 242
# Wainoco Oil Corp. 117,400 367
Walden Residential Properties,
Inc. REIT 36,000 896
# Wall Data Inc. 36,200 543
Wallace Computer Services, Inc. 38,000 1,311
# Wang Laboratories, Inc. 28,600 583
Warnaco Group 45,047 1,335
Warren Bancorp, Inc. 7,300 110
Washington Energy Co. 39,077 806
Washington Federal Inc. 33,999 892
Washington Gas Light Corp. 35,302 799
Washington Mutual Inc. 62,423 2,704
Washington National Corp. 25,807 710
Washington Post Co. Class B 9,300 3,117
Washington REIT 50,700 887
Washington Water Power Co. 44,400 827
# Waters Corp. 24,200 735
# Watson Pharmaceuticals, Inc. 36,102 1,622
Watts Industries Class A 45,100 1,077
Wausau Paper Mills Co. 49,200 907
# Wave Technologies International 40,800 235
# Wavephore, Inc. 83,400 573
# Weatherford Enterra Inc. 42,660 1,280
Del Webb Corp. 37,100 608
Webster Financial Corp. 24,380 891
Weingarten Realty Investors REIT 21,800 886
Weis Markets, Inc. 35,500 1,132
Wellman, Inc. 27,955 479
Wellpoint Health Networks Inc.
Class A 56,001 1,925
Werner Enterprises, Inc. 51,600 938
Wesco Financial Corp. 5,758 1,077
West Co., Inc. 27,900 788
# Western Beef 20,860 223
# Western Digital Corp. 37,800 2,150
Western Gas Resources, Inc. 57,800 1,113
Western National Corp. 49,600 955
Western Resources, Inc. 54,886 1,695
Western Wireless Corp. 39,700 548
# Westmark Group Holdings, Inc. 4,000 3
# Roy F. Weston, Inc. 64,600 234
# Westpoint Stevens, Inc. 26,457 787
# Westwood One, Inc. 49,200 815
# WetSeal, Inc. Class A 31,600 670
Wheelabrator Technologies, Inc. 142,006 2,308
# White River 13,842 789
# Whittaker Corp. 46,100 582
John Wiley & Sons Class A 26,400 851
# Clayton Williams Energy, Inc. 54,400 952
# Williams Sonoma, Inc. 29,800 1,080
Wilmington Trust Corp. 28,300 1,125
# Wind River Systems 22,841 1,078
Windmere-Durable Holdings Inc. 41,298 532
# Wisconsin Central
Transportation Corp. 41,800 1,656
Wisconsin Energy Corp. 92,861 2,496
Wiser Oil Co. 33,200 656
Witco Chemical Corp. 49,100 1,498
Wolverine World Wide, Inc. 33,603 974
# Wonderware Corp. 58,400 522
# World Acceptance Corp. 76,800 509
# World Color Press, Inc. 29,200 562
# World Corp. 49,900 218
World Fuel Services Corp. 26,209 583
# Worldtex Inc. 83,744 743
Wyle Electronics 23,100 912
# Wyman Gordon Corp. 59,800 1,327
# Xoma Corp. 116,544 605
# Xilinx, Inc. 65,000 2,393
Xtra Corp. 14,300 620
# Xylan Corp. 34,300 965
</TABLE>
19
<PAGE> 68
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
MARKET
VALUE*
EXTENDED MARKET PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C>
# Yahoo!, Inc. 43,300 $ 742
Yankee Energy Systems 20,477 438
Yardville National Bancorp 4,200 82
# Yellow Corp. 35,000 508
York International Corp. 35,900 2,006
# Zebra Technologies Class A 38,300 888
# Zenith Electronics Corp. 53,357 580
Zenith National Insurance Corp. 29,560 809
# Zilog Inc. 38,600 1,008
Zions Bancorp. 12,728 1,321
Zurich Reinsurance Centre
Holdings, Inc. 20,600 644
Zurn Industries, Inc. 28,300 739
# Zycad Corp. 97,488 166
- -----------------------------------------------------------------------
TOTAL COMMON STOCKS (97.0%)(1)
(COST $1,500,827) 2,036,055
- -----------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT
(000)
- -----------------------------------------------------------------------
TEMPORARY CASH INVESTMENTS (3.2%)
- -----------------------------------------------------------------------
<S> <C> <C>
U.S. TREASURY BILL--Note D
5.17%, 1/9/97 $ 1,400 1,399
REPURCHASE AGREEMENT
Collateralized by U.S. Government
Obligations in a Pooled
Cash Account
6.39%, 1/2/97 66,435 66,435
- -----------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(COST $67,833) 67,834
- -----------------------------------------------------------------------
TOTAL INVESTMENTS (100.2%)
(COST $1,568,660) 2,103,889
- -----------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-0.2%)
- -----------------------------------------------------------------------
Other Assets--Notes B and E $ 113,285
Liabilities--Note E (118,336)
-------------
(5,051)
- -----------------------------------------------------------------------
NET ASSETS (100%)
- -----------------------------------------------------------------------
Applicable to 80,118,814 outstanding
shares of beneficial interest
(unlimited authorization) $2,098,838
=======================================================================
NET ASSET VALUE PER SHARE $26.20
=======================================================================
</TABLE>
*See Note A in Notes to Financial Statements.
#Non-Income Producing Security.
ADR--American Depository Receipt.
REIT--Real Estate Investment Trust.
(1) The combined market value of common stocks, New York Stock Exchange
Composite Index futures contracts, and S&P Midcap 400 Index futures
contracts represents 100.1% of net assets.
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
AT DECEMBER 31, 1996, NET ASSETS CONSISTED OF:
- -----------------------------------------------------------------------
AMOUNT PER
(000) SHARE
- -----------------------------------------------------------------------
<S> <C> <C>
Paid in Capital $1,532,921 $19.14
Undistributed Net
Investment Income 263 --
Accumulated Net
Realized Gains 30,245 .38
Unrealized Appreciation--Note D
Investment Securities 535,229 6.68
Futures Contracts 180 --
- -----------------------------------------------------------------------
NET ASSETS $2,098,838 $26.20
=======================================================================
</TABLE>
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MARKET
VALUE*
TOTAL STOCK MARKET PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------
COMMON STOCKS
- -----------------------------------------------------------------------
<S> <C> <C>
# A & A Foods Ltd. 2,800 $ 1
AAR Corp. 12,600 381
# ABC Rail Products Corp. 10,100 200
# ABR Information Services, Inc. 6,050 238
# ACC Corp. 11,250 340
# ADC Telecommunications, Inc. 56,700 1,765
# AER Energy Resources, Inc. 23,400 52
# AES Corp. 32,026 1,489
AFLAC, Inc. 59,646 2,550
AGCO Corp. 24,600 704
AGL Resources Inc. 23,800 503
AK Steel Holding Corp. 11,300 448
# AM International, Inc. 44,000 193
# AMR Corp. 39,261 3,460
# APAC Teleservices, Inc. 20,311 779
# AST Research, Inc. 53,478 229
ARCO Chemical Co. 42,292 2,072
# APS Holding Corp. 15,500 239
AT&T Corp. 699,717 30,438
APL Ltd. 14,500 343
AVX Corp. 38,000 817
# Aavid Thermal Technologies 2,000 21
Aames Financial Corp. 6,500 233
# Abacus Direct Corp. 11,700 221
Abbott Laboratories 339,415 17,225
# Acceptance Insurance Cos. Inc. 13,300 263
# Access Health Marketing, Inc. 10,367 467
# Acclaim Entertainment Inc. 41,900 139
# AccuStaff, Inc. 40,453 855
# Ace Cash Express, Inc. 10,000 112
Ackerley Communications, Inc. 25,800 303
# Acme Metals, Inc. 1,600 31
# ACNielson Corp. 26,054 394
# Action Performance Cos., Inc. 37,368 682
# Acuson Corp. 22,012 537
# Acxiom Corp. 21,978 525
ADAC Laboratories 15,100 361
# Adaptec, Inc. 49,700 1,991
Adobe Systems, Inc. 31,720 1,188
# Adtran, Inc. 16,700 694
# Advance Paradigm, Inc. 13,500 278
# Advanced Magnetics, Inc. 10,000 155
# Advanced Fibre Communications 10,400 579
# Advanced Polymer Systems 32,400 243
# Advanced Tissue Sciences Inc. 31,758 307
# Advanced Technology
Laboratories, Inc. 16,439 503
ADVO, Inc. 28,000 392
# Aerial Communications Inc. 23,700 190
# Advanced Micro Devices, Inc. 57,710 1,486
Advanta Corp. Class A 18,250 779
Aetna Inc. 65,641 5,251
Aetna Inc. 6.25% Series C 4,509 358
# Aetrium, Inc. 15,700 210
Affiliated Community Bancorp 11,400 242
# Affiliated Computer Services, Inc. 15,100 444
# Agouron Pharmaceuticals, Inc. 5,800 392
H.F. Ahmanson & Co. 46,082 1,498
# Aid Auto Stores, Inc. 3,100 7
# Air and Water Technologies Corp.
Class A 35,400 204
Air Express International Corp. 9,500 305
Air Products & Chemicals, Inc. 47,876 3,309
# Airsensors Inc. 11,000 98
Airborne Freight Corp. 14,990 350
# Airgas, Inc. 29,300 645
# AirTouch Communications, Inc. 216,068 5,456
AirTouch Communications, Inc.
Cvt. 6.00% 4,242 116
AirTouch Communications, Inc.
Pfd. 4.25% Series C 2,724 123
Alamo Group, Inc. 14,000 240
# Alanco Environmental
Resources Corp. 12,100 24
Albank Financial Corp. 14,680 463
Albemarle Corp. 24,515 444
Alberto-Culver Co. Class B 12,323 592
Albertson's, Inc. 108,798 3,876
Alco Standard Corp. 56,283 2,906
Alex Brown, Inc. 6,880 499
Alexander & Alexander
Services, Inc. 18,345 319
Alexander & Baldwin, Inc. 19,900 494
# Alexander's, Inc. 5,023 397
Alfa Corp. 3,400 43
Alico, Inc. 6,300 120
# All American Semiconductor, Inc. 37,200 38
# Allegro New Media, Inc. 6,353 25
# Alleghany Corp. 3,299 699
Allegheny Power System, Inc. 51,800 1,573
Allegheny Teledyne Inc. 74,867 1,722
Allegiance Corp. 24,052 664
# Allegiant Physician Services 6,400 1
# The Allen Group, Inc. 22,600 503
Allergan, Inc. 28,518 1,016
# Alliance Entertainment 82,400 155
# Alliance Pharmaceutical Corp. 29,402 401
# Alliance Semiconductor Corp. 45,100 321
# Alliant Techsystems, Inc. 8,600 473
Allied Capital Commercial Corp. 15,000 347
Allied Capital Lending Corp. 25,160 381
# Allied Holdings, Inc. 24,400 189
Allied Products Corp. 9,499 283
AlliedSignal Inc. 122,892 8,234
Allmerica Financial Corp. 21,000 704
Allmerica Property &
Casualty Cos. 25,200 765
Allstate Corp. 193,591 11,204
ALLTEL Corp. 82,171 2,578
# Allwaste, Inc. 58,900 302
# Altera Corp. 19,110 1,389
# Altron, Inc. 12,100 256
# Alumax, Inc. 19,241 642
Aluminum Co. of America 75,933 4,841
# Alyn Corp. 19,600 208
# ALZA Corp. 36,184 936
# Amax Gold, Inc. 75,893 484
AMBAC, Inc. 14,922 990
Amcast Industrial Corp. 16,496 408
AMCOL International Corp. 21,100 330
Amerada Hess Corp. 40,476 2,343
# Amerco Inc. 14,100 490
# America Online, Inc. 39,300 1,307
</TABLE>
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MARKET
VALUE*
TOTAL STOCK MARKET PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C>
# America West Airlines, Inc. 15,800 $ 251
American Annuity Group Inc. 25,817 365
# Amdahl Corp. 52,573 637
American Bankers
Insurance Group 8,800 449
American Brands, Inc. 74,093 3,677
# American Business
Information, Inc. 20,416 449
# American Classic Voyager Co. 26,000 341
American Electric Power Co., Inc. 80,742 3,321
# American Exploration Co. 16,000 256
American Express Co. 206,075 11,643
American Financial Group, Inc. 26,500 1,000
# American Freightways 17,504 193
American General Corp. 88,778 3,629
American Greetings Corp.
Class A 32,208 916
American Health Properties, Inc. 18,800 449
American Health Properties
Psychiatric Group 1,510 24
American Home Products Corp. 277,291 16,256
American International
Group, Inc. 204,514 22,139
American List Corp. 10,043 305
# American Management
Systems, Inc. 18,300 446
# American Medical
Response, Inc. 7,900 257
# American Media Class A 78,900 464
American National Bancorp, Inc. 2,300 28
American National Insurance Co. 11,000 817
# American Oncology
Resources, Inc. 26,900 274
# American Power
Conversion Corp. 41,000 1,120
# American Standard Cos., Inc. 34,100 1,304
American States Financial Corp. 25,700 681
American Stores Co. 63,577 2,599
# American Studios, Inc. 86,900 210
American Water Works Co., Inc. 33,300 687
# Americredit Corp. 22,800 467
Ameron International Corp. 6,600 341
# Amerisource Health Corp. 7,496 362
# Ames Department Stores, Inc. 22,100 96
Ameritech Corp. 239,119 14,497
Amerigas Partners, LP 17,900 401
Ametek, Inc. 16,100 358
# Amgen, Inc. 115,748 6,301
AMP, Inc. 94,194 3,615
Amoco Corp. 216,724 17,446
# Ampal-American Israel Corp. 12,100 58
Ampco-Pittsburgh Corp. 18,635 224
# Ampex Corp. Class A 36,600 343
# Amphenol Corp. 20,258 451
# Amre, Inc. 16,943 28
AmSouth Bancorp 24,021 1,162
# Amtech Corp. 25,575 169
Amvestors Financial Corp. 18,000 266
# Amylin Pharmaceuticals, Inc. 34,400 452
Anadarko Petroleum Corp. 25,500 1,651
# Analog Devices, Inc. 49,654 1,682
Anchor Bancorp Wisconsin Inc. 8,500 306
# Anchor Gaming 5,099 203
# Andrea Radio Corp. 24,900 274
# Andrew Corp. 26,430 1,402
Angelica Corp. 13,700 262
Anheuser-Busch Cos., Inc. 216,240 8,650
# Anixter International Inc. 21,400 345
# AnnTaylor Stores Corp. 22,000 385
Aon Corp. 46,718 2,902
Apache Corp. 38,569 1,364
# Aphton Corp. 15,739 313
# Apogee, Inc. 25,900 99
Apogee Enterprises, Inc. 11,100 440
# Apollo Group, Inc. Class A 21,675 725
# Apple Computer, Inc. 54,483 1,134
Apple South, Inc. 15,574 207
Applebee's International, Inc. 13,382 366
# Applied Innovation Inc. 21,000 133
# Apria Healthcare 21,800 409
# Applied Microsystems Corp. 11,200 151
# Applied Graphics
Technologies, Inc. 16,600 477
# Applied Digital Access, Inc. 31,700 170
# Applied Magnetics Corp. 11,300 338
# Applied Materials, Inc. 78,464 2,820
Applied Power, Inc. 14,700 582
AMBI, Inc. 37,900 107
# Applix, Inc. 12,321 267
Aquarion Co. 6,200 173
Arbor Drugs, Inc. 27,225 470
# Arbor Software Corp. 9,700 234
Arcadian Corp. 16,400 435
Archer-Daniels-Midland Co. 237,724 5,230
Argent Bank 4,000 72
Argonaut Group, Inc. 10,881 339
# Argosy Gaming Co. 43,900 203
# Armco, Inc. 91,300 377
Armstrong World Industries Inc. 17,720 1,232
Arnold Industries, Inc. 20,300 320
# Arrow Electronics, Inc. 21,999 1,177
Arrow Financial Corp. 10,230 243
Arrow International, Inc. 4,300 122
# Arterial Vascular
Engineering, Inc. 11,300 141
# ArthroCare Corp. 25,700 177
# Artisoft, Inc. 28,104 144
Arvin Industries, Inc. 4,200 104
Atlantic Southeast Airlines Inc. 11,900 261
ASARCO, Inc. 18,302 455
# Ascend Communications, Inc. 50,326 3,127
Ashland Coal Inc. 8,000 222
Ashland Inc. 27,574 1,210
# Aspect Telecommunications Corp. 9,300 588
# Aspen Technologies, Inc. 4,300 343
Associated Banc-Corp. 7,800 334
Associated Estates Realty
Corp. REIT 14,800 352
# Associated Group, Inc. 13,496 408
# Associated Group, Inc. Class B 2,000 59
Associates First Capital Corp. 38,700 1,708
Astoria Financial Corp. 10,300 380
</TABLE>
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MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C>
Astro-Med, Inc. 26,800 $ 218
# Asyst Technologies, Inc. 10,222 174
# Atlanta Sosnoff Capital 23,000 204
Atlantic Richfield Co. 70,335 9,319
Atlantic Energy, Inc. 25,300 433
# Atlantic Tele-Network, Inc. 14,200 218
# Atlas Air, Inc. 9,700 462
# Atmel Corp. 42,900 1,426
Atmos Energy Corp. 10,250 245
# Atrix Laboratories, Inc. 23,789 259
# Atwood Oceanics, Inc. 8,967 567
# Aura Systems, Inc. 65,281 144
# Auspex Systems, Inc. 21,100 248
Authentic Fitness Corp. 16,000 192
Autodesk, Inc. 20,064 564
Automatic Data Processing, Inc. 125,521 5,382
# AutoZone, Inc. 63,934 1,758
Avalon Properties, Inc. REIT 13,200 380
# Avant! Corp. 2,300 73
# Avatar Holding, Inc. 2,900 94
Avemco Corp. 16,400 256
Avery Dennison Corp. 45,590 1,613
# Aviall Inc. 24,219 224
Avnet, Inc. 18,458 1,075
Avon Products, Inc. 58,156 3,322
# Aztar Corp. 30,400 213
# BBN Corp. 16,900 380
# BDM International, Inc. 6,100 329
# BHC Communications, Inc.
Class A 10,285 1,043
# BISYS Group, Inc. 11,000 408
# BJ Services Co. 16,492 841
# BJ Services Co. Warrants
Exp. 4/13/00 353 9
BMC Industries, Inc. 13,863 437
# BMC Software, Inc. 44,000 1,829
BMJ Financial Corp. 14,800 363
# BOK Financial Corp. 16,005 456
# BPI Packaging Technologies Inc. 28,900 56
# BRC Holdings Inc. 7,700 340
BRE Properties Inc. Class A REIT 14,140 350
BSB Bancorp, Inc. 10,033 272
# B.U.M. International, Inc. 24,675 2
BW/IP Inc. 21,900 361
# Baby Superstore, Inc. 9,900 239
Badger Paper Mills, Inc. 9,300 76
Baker Hughes, Inc. 62,026 2,140
J. Baker, Inc. 26,491 141
Baldor Electric Co. 7,380 182
# Baldwin Technology Class A 38,700 97
Ball Corp. 13,001 338
Ballard Medical Products 22,266 415
# Bally Total Fitness Holding Corp. 5,000 40
Baltimore Gas & Electric Co. 63,864 1,708
Banc One Corp. 189,823 8,162
Bancorp Hawaii, Inc. 17,500 735
# Banctec, Inc. 18,800 388
Bandag, Inc. 9,138 433
Bandag, Inc. Class A 538 25
Bangor Hydro-Electric Co. 24,800 229
Bank of Boston Corp. 65,996 4,240
The Bank of New York Co., Inc. 167,472 5,652
Bank United Corp. 8,200 220
BankAtlantic Bancorp, Inc.
Class A 1,325 17
BankAtlantic Bancorp, Inc.
Class B 18,401 244
BankAmerica Corp. 156,275 15,588
Bankers Corp. 15,896 322
Bankers Life Holding Corp. 23,200 580
Bankers Trust New York Corp. 34,975 3,017
Bank North Group 8,300 340
# Banner Aerospace 25,000 216
BanPonce Corp. 28,378 954
Banta Corp. 12,900 293
# Banyan Systems, Inc. 44,900 201
C.R. Bard, Inc. 24,481 685
Barefoot, Inc. 15,800 250
# Barnes & Noble Inc. 14,676 396
Barnes Group, Inc. 2,700 162
Barnett Banks, Inc. 82,756 3,403
# Barr Labs Inc. 18,000 457
# Barrett Resources Corp. 13,400 571
# Base Ten Systems Class A 6,400 77
Bassett Furniture Industries, Inc. 9,263 230
Battle Mountain Gold Co. Class A 95,900 659
Bausch & Lomb, Inc. 24,301 851
Baxter International, Inc. 118,660 4,865
# Bay Networks Inc. 80,821 1,687
# BE Avionics Inc. 1,600 44
Beacon Properties Corp. REIT 20,400 747
Bear Stearns Co., Inc. 51,414 1,433
BeautiControl Cosmetics 14,000 231
Beckman Instruments Inc. 12,368 475
Becton, Dickinson & Co. 54,464 2,362
# Bed Bath & Beyond, Inc. 29,452 716
# Bel Fuse, Inc. 10,700 149
# Belco Oil & Gas Corp. 12,700 348
Belden Inc. 11,200 414
Bell Atlantic Corp. 190,057 12,306
# Bell Sports Corp. 1,800 11
# Bell Industries, Inc. 11,703 250
BellSouth Corp. 433,308 17,495
# Belmont Homes, Inc. 19,450 188
A. H. Belo Corp. Class A 19,047 664
Bemis Co., Inc. 22,629 834
# Ben & Jerry's Homemade, Inc.
Class A 12,700 142
# Benchmark Microelectronics, Inc. 8,900 189
Beneficial Corp. 23,214 1,471
Bergen Brunswig Corp. Class A 17,301 493
W.R. Berkley Corp. 8,600 439
# Berkshire Hathaway Class A 550 18,755
Berkshire Realty Co., Inc. REIT 30,100 297
# Berlitz International, Inc. 16,727 349
Berry Petroleum Class A 19,400 279
# Bertucci's Holding Corp. 51,261 269
# Best Buy Co., Inc. 23,300 248
# BET Holdings Inc. Class A 11,100 319
# Bethlehem Steel Corp. 47,396 427
BetzDearborn Inc. 12,300 720
# Beverly Enterprises Inc. 42,679 544
</TABLE>
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<CAPTION>
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MARKET
VALUE*
TOTAL STOCK MARKET PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C>
# Big Flower Press Holdings, Inc. 20,000 $ 375
# Billing Information Concepts 9,964 288
# Bio-Rad Laboratories, Inc. Class A 11,353 341
# Biotechnology General 40,300 531
# Biofield Corp. 4,000 60
# Biogen, Inc. 31,300 1,209
# Biomatrix, Inc. 17,233 276
Biomet, Inc. 49,647 754
Birmingham Steel Corp. 12,900 245
Black & Decker Corp. 38,101 1,148
# Black Hawk Gaming &
Development Co., Inc. 13,300 62
Black Hills Corp. 11,700 329
Blair Corp. 3,000 58
E.W. Blanch Holdings, Inc. 14,500 292
Blimpie International, Inc. 14,900 154
Block Drug Co. Class A 6,737 315
H & R Block, Inc. 45,245 1,312
# Blyth Industries, Inc. 13,200 602
Boatmen's Bancshares, Inc. 68,567 4,418
Bob Evans Farms, Inc. 11,500 155
Boddie-Noell Properties Inc. 12,800 160
The Boeing Co. 153,048 16,280
Boise Cascade Corp. 20,756 659
# Boise Cascade Office
Products Corp. 26,824 563
# Borders Group, Inc. 15,600 560
Borg-Warner Automotive, Inc. 10,200 393
# Borland International, Inc. 23,400 128
# Boston Beer Co., Inc. Class A 6,000 62
# Boston Chicken, Inc. 28,000 1,005
Boston Edison Co. 20,000 538
# Boston Scientific Corp. 76,101 4,566
# Boston Technology, Inc. 21,000 602
Bowater Inc. 16,100 606
Bowne & Co., Inc. 18,200 448
# Boyd Gaming Corp. 26,700 220
W.H. Brady Class A 9,400 229
Breed Technological Inc. 13,600 354
# C. Brewer Homes, Inc. Class A 10,000 19
Briggs & Stratton Corp. 12,428 547
# Brinker International, Inc. 33,924 543
# Bristol Hotel Co. 14,700 467
Bristol-Myers Squibb Co. 218,512 23,763
# Bright Voice Systems, Inc. 19,286 286
# Broadband Technologies, Inc. 11,900 179
# BroadVision, Inc. 38,900 306
# Broderbund Software, Inc. 7,488 222
Brooklyn Union Gas Co. 21,350 643
# Brooks Fiber Properties, Inc. 12,200 314
# Brothers Gourmet Coffees, Inc. 59,500 151
Brown-Forman Corp. Class B 29,651 1,357
Brown Group, Inc. 16,715 307
Browning-Ferris Industries, Inc. 91,202 2,394
# Bruno's Inc. 375 6
Brunswick Corp. 42,098 1,010
Bryn Mawr Bank Corp. 3,800 104
# Burlington Coat Factory
Warehouse Corp. 36,175 470
# Burlington Industries, Inc. 24,997 275
Burlington Northern Santa
Fe Corp. 66,670 5,759
Burlington Resources, Inc. 54,157 2,728
Burnham Pacific Properties,
Inc. REIT 22,000 330
# Burr-Brown Corp. 11,900 306
Bush Industries, Inc. 14,683 283
# CAI Wireless Systems, Inc. 54,300 53
CB Bancshares Inc./Hawaii 7,700 225
CBL & Associates Properties,
Inc. REIT 16,400 424
CBT Corp. 5,400 144
CCB Financial Corp. 8,900 607
# C-Cube Microsystems, Inc. 14,600 539
# CDI Corp. 12,400 352
# CDW Computer Centers, Inc. 9,450 561
# CFI ProServices, Inc. 25,169 352
CFSB Bancorp, Inc. 15,307 298
CIGNA Corp. 32,976 4,505
CIPSCO, Inc. 14,700 531
CKE Restaurants Inc. 13,400 482
CMAC Investment Corp. 9,626 354
# CMG Information Services, Inc. 9,624 164
CML Group, Inc. 14,700 50
CMS Energy Corp. 39,661 1,334
# CNA Financial Corp. 27,028 2,892
CNB Bankshares, Inc. 7,190 300
CPB, Inc. 7,300 214
CPC International, Inc. 63,163 4,895
CPI Corp. 15,500 260
CRI Liquidating REIT, Inc. 26,200 46
CSX Corp. 91,788 3,878
# C-TEC Corp. 10,400 251
# CUC International, Inc. 171,372 4,070
# Cuno Inc. 17,100 257
CVS Corp. 45,585 1,886
CWM Mortgage Holdings Inc. 20,100 432
# Cabletron Systems, Inc. 67,508 2,245
# Cable Design Technologies 7,052 218
Cabot Corp. 30,768 773
# Cadence Design Systems, Inc. 35,809 1,423
# Cadiz Land Co., Inc. 53,500 276
Cadmus Communications 15,400 236
# Cal Fed Bancorp Inc. 21,500 527
# Caldor Corp. 81,300 91
# CalEnergy Inc. 22,400 753
Calgon Carbon Corp. 34,800 426
Caliber System Inc. 16,216 312
# California Amplifier, Inc. 21,200 133
Cali Realty Corp. REIT 13,100 404
# California Federal Bank Goodwill
Participation Certificates 2,540 36
Callaway Golf Co. 30,700 883
CAM Designs, Inc. 11,600 58
# Cambridge Technology Partners 20,400 685
Camco International, Inc. 10,500 484
# Cameron Ashley Building
Products 30,108 416
Campbell Soup Co. 102,624 8,236
# Canandaigua Wine Co., Inc.
Class A 6,508 185
# Cannondale Corp. 13,800 307
Capital One Financial Corp. 28,684 1,033
# Capital Pacific Holdings, Inc. 10,900 34
</TABLE>
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<CAPTION>
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MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C>
Capital Re Corp. 12,100 $ 564
Capitol American Financial Corp. 13,000 473
Capmac Holdings Inc. 13,000 431
Capsure Holdings 19,490 222
Capstead Mortgage Corp. 16,150 388
Caraustar Industries, Inc. 10,800 358
Cardinal Bancshares, Inc. 4,004 180
Cardinal Health, Inc. 41,390 2,411
# CareAdvantage Inc. 7,166 2
Carlisle Co., Inc. 6,527 395
# Carmike Cinemas, Inc. Class A 13,089 332
Carnival Corp. Class A 125,047 4,127
# Carriage Services, Inc. 3,500 78
Carolina Power & Light Co. 65,014 2,373
Carpenter Technology Corp. 11,700 429
CarrAmerica Realty Corp. REIT 17,700 518
# Carrington Labs Inc. 21,828 172
Carter-Wallace, Inc. 26,700 417
# Cascade Communications Corp. 38,900 2,149
Case Corp. 31,226 1,702
# Casino Magic Corp. 57,800 142
A.M. Castle & Co. 18,531 357
# Castle & Cooke, Inc. REIT 4,700 75
# Catalina Lighting, Inc. 10,000 49
# Catalina Marketing Corp. 8,960 494
# Catellus Development Corp. 32,200 366
Caterpillar, Inc. 84,058 6,325
# Catherines Stores 37,400 201
# Cellular Technical Services Co. 18,354 366
# Celtrix Labs 25,300 53
# Centennial Technologies, Inc. 11,200 582
Center Banks Inc. 14,800 241
Centerior Energy Corp. 63,500 683
Centex Corp. 12,029 453
# Centigram Communications 14,600 183
# Centocor, Inc. 29,648 1,062
Central & South West Corp. 90,620 2,322
Central Fidelity Banks, Inc. 23,525 612
Central Hudson Gas &
Electric Corp. 12,800 402
Central Louisiana Electric Co. 13,508 373
Central Maine Power Co. 17,400 202
Central Newspapers Inc. 10,250 451
Central Parking Corp. 7,500 251
Central Reserve Life Corp. 14,900 113
# Central Sprinkler Corp. 11,618 292
Central Vermont Public
Service Corp. 20,300 244
Centura Banks, Inc. 10,300 460
# Centura Software Corp. 47,000 132
Century Bancorp, Inc. Class A 800 10
# Century Communications Corp.
Class A 52,300 297
Century Telephone
Enterprises, Inc. 25,380 784
# Ceridian Corp. 29,931 1,212
# Cerner Corp. 28,770 442
# Chalone Wine Group Ltd. 26,440 311
# Champion Enterprises, Inc. 21,069 411
Champion International Corp. 41,221 1,783
# Chantal Pharmaceutical Corp. 46,200 80
Charter One Financial 25,011 1,054
# Charming Shoppes, Inc. 38,379 193
# Chartwell Leisure Corp. 20,680 275
Chase Manhattan Corp. 189,586 16,921
# Checkers Drive-In Restaurant 119,550 211
# Checkfree Corp. 16,800 287
# Checkpoint Systems, Inc. 13,874 343
Chelsea GCA Realty, Inc. REIT 11,400 395
Chemed Corp. 9,400 343
# Chemical Fabrics Corp. 16,411 225
Chemical Finance 4,725 187
Chesapeake Corp. of Virginia 16,917 531
# Chesapeake Energy Corp. 12,850 715
Chester Valley Bancorp 1,041 20
Chevron Corp. 283,450 18,424
# Chic by H.I.S., Inc. 51,280 244
# Chicago Miniature Lamp, Inc. 12,400 510
# Chico's Fas, Inc. 18,214 77
Chiquita Brands International, Inc. 29,735 379
# ChiRex, Inc. 9,800 118
# Chiron Corp. 74,332 1,380
Chittenden Corp. 12,572 302
# Choice Hotels Corp. Inc. 28,341 500
# Chris-Craft Industries, Inc. 12,534 525
# Christiana Cos., Inc. 3,900 100
Chrysler Corp. 315,786 10,421
The Chubb Corp. 75,562 4,061
Church and Dwight, Inc. 17,400 398
Churchill Downs, Inc. 5,400 198
# Ciber, Inc. 12,800 381
# Cidco, Inc. 10,200 177
Cilcorp, Inc. 6,600 242
Cincinnati Bell, Inc. 29,000 1,787
Cincinnati Financial Corp. 24,437 1,585
Cincinnati Milacron, Inc. 16,483 361
CINergy Corp. 67,898 2,266
# Circon Corp. 17,800 273
Circuit City Stores, Inc. 41,869 1,261
# Cirrus Logic 27,800 429
# Cisco Systems, Inc. 282,919 18,018
Cintas Corp. 20,400 1,204
# Circus Circus Enterprises Inc. 44,641 1,535
Citicorp 209,809 21,610
Citizens Bancorp MD 6,300 393
Citizens Corp. 15,800 356
# Citizens Utilities Co. Class A 102,776 1,118
# Citrix Systems, Inc. 11,600 453
City National Corp. 18,787 406
Claire's Stores, Inc. 20,400 265
Clarcor Inc. 6,800 150
# Clarify, Inc. 8,900 424
Clayton Homes Inc. 50,776 685
# Clear Channel Communications 32,624 1,179
# Cliffs Drilling Co. 13,951 877
# Clintrials Research, Inc. 15,900 356
The Clorox Co. 22,288 2,237
Coachmen Industries, Inc. 19,296 548
# Coast Savings Financial, Inc. 15,000 549
Coastal Corp. 45,253 2,212
# Coastal Physician Group, Inc. 33,600 118
Coca-Cola Bottling Co. 7,700 372
</TABLE>
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<TABLE>
<CAPTION>
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MARKET
VALUE*
TOTAL STOCK MARKET PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C>
The Coca-Cola Co. 1,085,744 $ 57,137
Coca-Cola Enterprises, Inc. 53,345 2,587
Coeur d'Alene Mines Corp. 18,000 272
# Cognex Corp. 20,600 380
Cognizant Corp. 74,077 2,445
# Coherent Communications
Systems Corp. 15,400 297
# Coherent, Inc. 9,200 393
# Coin Bill Validator Inc. 2,900 28
Cole Taylor Financial Group, Inc. 19,800 535
# Coleman Inc. 22,732 313
Collective Bancorp, Inc. 14,349 504
Colgate-Palmolive Co. 64,258 5,928
# Collins & Aikman Corp. 63,300 396
Colonial Gas Co. 1,200 26
# Colorado Casino Resorts, Inc. 74,600 139
# Coltec Inc. 29,900 564
Columbia Gas Systems, Inc. 23,960 1,524
Columbia/HCA Healthcare Corp. 291,803 11,891
Comair Holdings, Inc. 19,009 460
Comcast Corp. Class A 12,860 227
Comcast Corp. Class A Special 129,929 2,314
# Comdial Corp. 30,766 190
Comdisco, Inc. 21,850 694
Comerica, Inc. 50,294 2,634
# Commander Aircraft Co. 28,600 72
Commerce Bancshares, Inc. 16,136 750
Commerce Group, Inc. 15,200 384
Commercial Federal Corp. 8,800 422
Commercial Intertech Corp. 22,100 301
Commercial Metals Co. 12,800 386
# Commnet Cellular Inc. 11,900 330
Community First Bankshares 12,100 336
# Compaq Computer Corp. 117,434 8,719
Compass Bancshares Inc. 17,344 693
# Compression Labs, Inc. 37,300 139
# CompuServe Corp. 40,500 400
Computer Associates
International, Inc. 158,121 7,867
# CompUSA, Inc. 39,000 804
Computer Data Systems, Inc. 9,146 281
# Computer Sciences Corp. 32,353 2,657
Computer Task Group, Inc. 9,896 427
# Computervision Corp. 38,800 359
# Compuware Corp. 18,600 932
Comsat Corp. 20,700 510
# Comverse Technology, Inc. 9,500 359
ConAgra, Inc. 106,034 5,275
# Computer Horizons Corp. 11,896 452
# Comshare 1,600 28
# Concord EFS, Inc. 25,925 726
# Cone Mills Corp. 25,300 199
# Conmed Corp. 14,168 287
Connecticut Energy Corp. 12,800 272
Connecticut Natural Gas Corp. 8,600 219
Connecticut Water Services, Inc. 9,900 293
Conrail, Inc. 35,124 3,499
Conseco Co., Inc. 43,041 2,744
# Consilium, Inc. 24,300 140
Consolidated Edison Co. of
New York, Inc. 100,822 2,949
Consolidated Freightways Corp. 9,400 85
# Consolidated Freightways, Inc. 18,799 418
Consolidated Natural Gas Co. 41,337 2,284
Consolidated Papers 18,700 919
# Consolidated Stores, Inc. 28,074 902
Consolidated-Tomoka Land Co. 14,400 242
# Consumer Portfolio Services, Inc. 21,500 241
# ContiFinancial Corp. 19,000 686
# Continental Airlines, Inc. Class B 24,100 681
Continental Mortgage &
Equity Trust 2,250 27
# Continucare Corp. 35,100 298
# Control Data Corp. 21,707 476
# Converse Inc. 19,700 335
# Cooper & Chyan Technology, Inc. 13,600 442
# Cooper Cameron Corp. 10,500 803
Cooper Industries, Inc. 46,143 1,944
Cooper Tire & Rubber Co. 36,455 720
Adolph Coors Co. Class B 16,836 322
# Coram Healthcare Corp. 61,808 309
# COREStaff, Inc. 14,025 332
CoreStates Financial Corp. 97,342 5,050
# Cornerstone Imaging, Inc. 23,600 170
Corning, Inc. 100,254 4,637
# Corporate Express, Inc. 33,100 974
# Correctional Services Corp. 24,500 354
# Corrections Corp. of America 31,472 964
# Cort Business Services Corp. 14,000 289
# Corvel Corp. 5,100 147
# Country Star Restaurants, Inc. 18,600 14
Countrywide Credit
Industries, Inc. 44,417 1,271
# Coventry Corp. 27,055 254
# Cox Communications Class A 117,435 2,716
Cracker Barrel Old Country
Stores, Inc. 26,154 665
# Craig Corp. 14,577 210
# Jenny Craig Inc. 17,300 154
Crane Co. 19,422 563
Crawford & Co. Class B 4,900 112
# Creative Technology 12,733 5
# Credit Acceptance Corp. 19,700 460
# Cree Research, Inc. 25,748 243
Crescent Real Estate Equities,
Inc. REIT 17,900 944
Crestar Financial Corp. 18,520 1,377
Criimi Mae, Inc. REIT 15,900 205
Crompton & Knowles Corp. 31,239 601
Cross Timbers Oil Co. 18,500 465
# Crosscom Corp. 24,500 129
Crown American Realty
Trust REIT 36,100 271
# Crown Books Corp. 25,937 289
Crown Cork & Seal Co., Inc. 55,539 3,020
Crown Crafts, Inc. 28,000 280
# Crown Vantage, Inc. 25,624 216
# Cryomedical Sciences 118,700 37
Cullen/Frost Bankers, Inc. 12,200 404
# Culligan Water Technologies 8,400 340
Cummins Engine Co., Inc. 16,802 773
# Curative Health Services Inc. 11,200 310
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Curtiss-Wright Corp. 4,900 $ 247
# Custom Chrome 10,700 214
# Cyberguard Corp. 12,155 146
# Cybex Corp. 8,300 120
# Cygne Designs, Inc. 59,800 50
# Cygnus Inc. 20,512 296
# Cypress Semiconductor Corp. 35,100 496
Cyprus Amax Minerals Co. 40,152 939
# Cytec Industries, Inc. 20,554 835
# Cytrx Corp. 5,900 20
# DBT Online Inc. 8,200 249
# DH Technology, Inc. 3,300 78
# DII Group, Inc. 11,557 265
# DMX Inc. 70,900 73
DPL, Inc. 45,350 1,111
DQE Inc. 32,907 954
# D. R. Horton, Inc. 29,280 318
# DSC Communications Corp. 50,984 915
# DSP Group Inc. 18,800 162
# DSP Communications, Inc. 18,600 359
# DST Systems, Inc. 20,800 653
DTE Energy Co. 62,327 2,018
DT Industries, Inc. 6,000 209
# DVI, Inc. 16,100 209
# Daily Journal Corp. 3,100 98
# Daisytek International Corp. 6,000 248
# Dal-Tile International Inc. 22,700 463
Dames & Moore, Inc. 22,500 329
Dana Corp. 43,468 1,418
Danaher Corp. 25,000 1,166
Daniel Industries, Inc. 3,828 56
Darden Restaurants Inc. 68,393 598
# Darling International, Inc. 8,500 245
# Data Broadcasting Corp. 34,000 236
# Data General Corp. 4,926 71
# Data Race, Inc. 51,522 1,133
# Dataware Technologies, Inc. 35,500 107
# Datastream Systems, Inc. 9,400 169
Dauphin Deposit Bank & Trust 13,720 449
# Davel Communications
Group, Inc. 19,843 355
# Dave & Busters 20,355 406
# Davox Corp. 9,200 383
Dayton-Hudson Corp. 93,703 3,678
Dean Foods Corp. 17,867 576
Dean Witter Discover & Co. 71,323 4,725
# DecisionOne Corp. 22,800 371
Deere & Co. 111,909 4,546
# Dell Computer 78,732 4,188
Delmarva Power & Light Co. 26,000 530
# Delphi Information Systems Inc. 35,900 46
Delta & Pine Land Co. 8,992 288
Delta Air Lines, Inc. 33,888 2,402
Deluxe Corp. 36,031 1,180
# Dendrite International, Inc. 14,100 118
Dentsply International 11,500 547
# Department 56 Inc. 12,595 312
Deposit Guaranty Corp. 16,800 521
# DepoTech Corp. 4,500 75
DePuy, Inc. 25,000 506
Designer Holdings Ltd. 21,200 342
# Designs, Inc. 25,700 145
# Destec Energy Inc. 27,200 425
# Detroit Diesel Corp. 18,700 430
Developers Diversified Realty
Corp. REIT 9,300 345
Devon Energy Corp. 9,733 338
# Devon Group, Inc. 2,100 56
# Devry, Inc. 14,400 338
Dexter Corp. 10,800 344
Diagnostic Products Corp. 10,223 265
Dial Corp. 40,363 595
# Dialogic Corp. 13,100 409
# Diamond Multimedia
Systems, Inc. 35,700 417
# Diamond Offshore Drilling, Inc. 29,600 1,687
Diebold, Inc. 19,764 1,243
# Digene Corp. 16,200 168
# Digi International, Inc. 11,200 108
# Digital Equipment Corp. 66,633 2,424
Digital Systems International, Inc. 15,195 240
# Digital Microwave Corp. 15,627 435
Dillard Department Stores
Class A 49,136 1,517
# Dime Bancorp, Inc. 46,282 683
Dimon Inc. 18,350 424
# Dionex Corp. 8,500 302
The Walt Disney Co. 295,149 20,550
Dole Food Co. 25,600 867
Dollar General Corp. 31,290 1,001
# Dollar Tree Stores, Inc. 11,050 421
Dominion Resources, Inc. 76,795 2,957
Donaldson Co., Inc. 10,900 365
Donaldson, Lufkin & Jenrette, Inc. 25,200 907
R.R. Donnelley & Sons Co. 65,780 2,064
Donnelly Corp. 14,500 355
# Doubletree Corp. 15,787 706
# Dove Audio, Inc. 19,000 26
Dover Corp. 49,528 2,489
Dow Chemical Co. 106,386 8,338
Dow Jones & Co., Inc. 41,497 1,406
# Dravo Corp. 20,039 283
# The Dress Barn, Inc. 13,400 204
Dresser Industries, Inc. 76,897 2,384
# Drexler Technology Corp. 19,089 200
Dreyer's Grand Ice Cream, Inc. 10,700 317
# Drug Emporium, Inc. 68,942 299
E.I. du Pont de Nemours & Co. 243,274 22,959
Duke Power Co. 87,606 4,052
Duke Realty Investments Inc. REIT 12,200 470
The Dun & Bradstreet Corp. 73,677 1,750
# Dura Pharmaceuticals, Inc. 18,586 887
Duracell International, Inc. 52,367 3,659
Duriron Co., Inc. 13,450 363
Duty Free International Inc. 23,774 345
# Dynatech Corp. 7,600 335
EG & G, Inc. 20,536 413
# EMC Corp. 100,322 3,323
# ENSCO International, Inc. 30,812 1,494
# ESC Medical Systems Ltd. 19,200 494
# ESSEF Corp. 16,800 298
# ESS Technology, Inc. 28,400 799
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MARKET
VALUE*
TOTAL STOCK MARKET PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C>
# Eagle Hardware & Garden, Inc. 12,000 $ 249
# Eagle USA Airfreight, Inc. 3,500 90
Earthgrains Co. 8,143 425
Eastern Bancorp, Inc. 13,200 307
Eastern Enterprises 8,815 312
Eastern Utilities Associates 9,071 158
Eastman Chemical 34,180 1,888
Eastman Kodak Co. 146,512 11,758
Eaton Corp. 33,838 2,360
Eaton Vance Corp. 8,600 410
# Echelon International Corp., Inc. 2,763 43
Echlin, Inc. 26,818 848
Echo Bay Mines Ltd. 59,584 395
# Eckerd Corp. 11,743 376
Ecolab, Inc. 27,640 1,040
# Edison Brothers Stores, Inc. 127,377 143
Edison International 190,903 3,794
# Edisto Resources Corp. 42,300 354
# Edo Corp. 17,800 127
# Education Alternatives, Inc. 44,400 216
A.G. Edwards & Sons, Inc. 27,033 909
# Egghead, Inc. 21,631 112
# Einstein/Noah Bagel Corp. 12,000 356
El Paso Natural Gas 22,618 1,142
# Elan Corp. PLC ADR 2,304 77
Elcor Corp. 13,900 297
# Electric Fuel Corp. 19,700 137
# Electro Scientific Industries, Inc. 13,500 354
# Electroglas, Inc. 21,300 341
# Electromagnetic Sciences, Inc. 13,186 254
# Electronic Arts Inc. 23,300 698
Electronic Data Systems Corp. 211,555 9,150
# Electronic Retailing Systems
International, Inc. 10,400 40
# Electronics for Imaging, Inc. 11,000 901
# Eljer Industries, Inc. 21,040 497
# Eltron International Inc. 7,000 143
Emerson Electric Co. 97,947 9,476
# Emmis Broadcasting Corp. Class A 7,300 236
Empire District Electric Co. 16,000 300
# Empire of Carolina, Inc. 8,900 38
# Employee Solutions, Inc. 19,200 394
# Emulex Corp. 21,350 331
# Energy Conversion Devices, Inc. 11,375 156
Energen Corp. 11,800 357
# Energy Ventures Inc. 9,700 493
Engelhard Corp. 62,023 1,186
Enova Corp. 49,800 1,133
Enron Corp. 110,264 4,755
Enron Global Power &
Pipelines L.L.C. 4,000 108
Enron Oil & Gas Co. 69,124 1,745
ENSERCH Corp. 29,012 667
# Enserch Exploration, Inc. 52,300 615
Entergy Corp. 97,933 2,718
# Enterprise Systems, Inc. 11,200 265
# Epic Design Technology, Inc. 13,800 345
# Epitope Inc. 23,000 265
Equifax, Inc. 65,670 2,011
The Equitable Cos. 79,791 1,965
Equitable of Iowa Co. 13,700 628
Equitable Resources, Inc. 15,200 452
Equity Residential Properties
Trust REIT 20,000 825
# Equus Gaming Co. LP A Units 1,000 3
Erie Indemnity Co. Class A 28,400 831
Essex Property Trust, Inc. 14,934 439
# Esterline Technologies Corp. 11,845 309
Ethan Allen Interiors Inc. 14,380 554
Ethyl Corp. 50,830 489
Everest Re Holdings, Inc. 21,200 610
# Evergreen Media Corp. 15,778 392
# Exabyte Corp. 12,100 163
Excel Industries, Inc. 16,400 273
Excel Realty Trust, Inc. REIT 14,400 365
# Excel Communications, Inc. 45,900 964
Executive Risk, Inc. 11,933 442
FAC Realty Inc. REIT 21,700 144
Exide Corp. 15,700 361
# Exide Electronics Group, Inc. 19,838 290
Expeditors International of
Washington, Inc. 20,200 462
# Express America Holdings Co. 13,400 94
# Express Scripts 12,400 446
# Extended Stay America, Inc. 29,800 600
Exxon Corp. 540,440 52,963
# EZCORP, Inc. 19,100 125
F & M Bancorp 3,800 90
FFY Financial Corp. 8,300 210
# FHP International Corp. 17,400 644
# FLIR Systems, Inc. 14,900 202
# FMC Corp. 15,937 1,118
# FM Properties Inc. 35,900 110
F.N.B. Corp. 8,964 210
FPL Group, Inc. 79,111 3,639
# FSI International, Inc. 28,800 434
# FTP Software, Inc. 29,600 179
Fair Issac & Co. 12,200 477
# Fairfield Communities, Inc. 13,000 322
# Falcon Drilling Co., Inc. 14,600 573
# Falcon Building Products, Inc.
Class A 24,000 354
Family Dollar Stores, Inc. 24,400 497
Farmer Brothers, Inc. 1,700 258
# Fastcomm Communications Corp. 13,400 80
Fastenal Co. 16,800 765
# Faulding Inc. 33,700 200
Fedders Corp. 31,745 198
Fedders Corp. Class A 15,226 76
# Federal Express Corp. 49,200 2,189
Federal Home Loan
Mortgage Corp. 77,851 8,573
Federal-Mogul Corp. 15,200 334
Federal National
Mortgage Assn. 475,538 17,714
Federal Realty Investment
Trust REIT 13,900 377
Federal Signal Corp. 19,562 506
# Federated Department Stores 89,744 3,063
Felcor Suite Hotels, Inc. REIT 10,000 354
Ferrellgas Partners, LP 8,200 177
Ferro Corp. 12,200 346
</TABLE>
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MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C>
# Fibreboard Corp. 10,526 $ 355
Fifth Third Bancorp 46,285 2,907
# 50-Off Stores, Inc. 7,400 1
# Figgie International Inc. Class A 19,200 229
# Figgie International Inc. Class B 900 9
# Filene's Basement Corp. 94,405 389
# FileNet Corp. 12,800 408
# Film Roman, Inc. 8,300 62
Fina Inc. 12,300 593
Financial Security Assurance
Holdings Ltd. 12,600 414
Fingerhut Co. 21,954 269
Finova Group, Inc. 11,802 758
# First Alert, Inc. 25,600 90
First American Financial Corp. 10,200 419
First American Corp. (Tenn.) 12,700 733
First American Bank Corp. 26,400 1,587
First Bank System, Inc. 61,474 4,196
First Brands Corp. 17,800 505
First Chicago NBD Corp. 136,550 7,340
First Citizens BancShares
Class A 4,400 340
First Federal Savings Bank of
Colorado 20,100 345
First Commerce Bancshares Inc.
Class A 2,900 81
First Commerce Corp. 16,417 636
First Commercial Corp. 11,445 423
First Commonwealth
Financial Corp. 20,200 376
First Data Corp. 195,158 7,123
First Empire State Corp. 2,800 806
First Financial Bancorp 10,960 352
First Financial Caribbean Corp. 8,100 228
First Financial Savings Assn. 16,125 395
First Financial Holdings, Inc. 5,200 120
First Hawaiian, Inc. 13,400 472
First Industrial Realty Trust REIT 3,700 112
First Michigan Bank Corp. 18,721 553
First Midwest Bancorp 14,625 474
First Palm Beach Bancorp 9,800 230
First Security Corp. 32,437 1,099
First Source Corp. 8,917 221
First Tennessee National Corp. 28,900 1,082
First Union Corp. 127,282 9,419
First Union Real Estate 32,200 394
First USA Inc. 52,210 1,808
# First USA Paymentech, Inc. 13,633 462
First Virginia Banks, Inc. 14,007 671
First Western Bancorp 9,822 262
Firstbank of Illinois Co. 7,100 244
Firstar Corp. 31,363 1,647
Firstbank Puerto Rico 14,125 367
# FIserv, Inc. 19,362 715
# First Federal Financial Corp. 19,634 432
First Bancorp of Ohio 14,000 499
Fisher Scientific International Inc. 8,400 396
Fleet Financial Group, Inc. 114,424 5,707
Fleetwood Enterprises, Inc. 15,658 431
Fleming Cos., Inc. 18,339 316
# Flores & Rucks, Inc. 8,400 447
Florida East Coast Railway Co. 3,700 323
Florida Progress Corp. 41,450 1,337
Florida Rock Industries, Inc. 10,600 347
Flowers Industries, Inc. 25,050 539
# Fluor Corp. 36,067 2,263
# Fluor Daniel/GTI, Inc. 13,561 109
Flushing Financial Corp. 13,800 250
# Foamex International, Inc. 21,500 353
Food Lion Inc. Class A 197,200 1,929
Food Lion Inc. Class B 7,694 77
# FoodBrands America, Inc. 17,400 239
# Foodmaker, Inc. 35,700 317
# Footstar Inc. 27,470 683
# Forcenergy, Inc. 16,000 578
Ford Motor Co. 508,472 16,208
# Fore Systems, Inc. 39,300 1,294
# Foreland Corp. 900 4
Foremost Corp. of America 5,300 318
Forest City Enterprise Class A 4,500 272
# Forest Laboratories, Inc. 18,992 622
# Forstmann & Co., Inc. 3,600 1
# Fort Howard Corp. 32,485 899
Fort Wayne National Corp. 9,600 366
# Forte Software, Inc. 13,400 438
Foster Wheeler Corp. 17,354 644
# Foundation Health Co. 25,200 800
# Fourth Shift Corp. 30,000 167
# Fractal Design Corp. 22,700 241
Franchise Finance Corp. of
America REIT 17,300 478
# FoxMeyer Health Corp. 13,062 21
Franklin Electric, Inc. 4,800 221
# Franklin Electronic Publishers, Inc. 17,200 209
Franklin Resources Corp. 34,820 2,381
Freeport-McMoRan, Inc. 10,833 348
Freeport-McMoRan Copper &
Gold Inc. Class A 11,512 324
Freeport-McMoRan Copper &
Gold Inc. Class B 73,051 2,182
Fremont General Corp. 11,097 344
# Fresenius Medical Care AG ADR 42,334 1,191
# Fresenius Medical Care AG Pfd.
Class D 40,354 5
# Fresh Choice, Inc. 44,800 185
# Fresh America Corp. 11,000 179
# Fritz Cos., Inc. 15,500 195
Frontier Corp. 69,856 1,580
# Fruehauf Trailer Corp. 76,500 8
# Fruit of the Loom, Inc. 32,866 1,245
Fulton Financial Corp. 14,770 314
Fund American Enterprise
Holding Co. 4,585 439
# Furniture Brands International Inc. 26,200 367
# Fusion Systems 7,300 157
G & L Realty Corp. 20,296 345
GATX Corp. 8,700 422
# GC Cos. 7,991 277
GPU Inc. 52,324 1,759
# GRC International, Inc. 18,200 148
GTE Corp. 419,870 19,104
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MARKET
VALUE*
TOTAL STOCK MARKET PORTFOLIO SHARES (000)
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<S> <C> <C>
# GT Interactive Software Corp. 28,000 $ 201
# Gadzooks, Inc. 7,700 142
Gainsco, Inc. 9,046 87
Arthur J. Gallagher & Co. 13,200 409
Gannett Co., Inc. 61,650 4,616
The Gap, Inc. 124,732 3,758
# Gardner Denver Machinery, Inc. 17,968 620
# Gartner Group, Inc. Class A 39,900 1,554
# Gateway 2000 Inc. 33,600 1,800
Gaylord Entertainment Class A 41,060 939
# Gaylord Container Corp. 41,800 256
# GelTex Pharmaceuticals, Inc. 14,600 350
GenCorp, Inc. 19,800 359
# Genentech, Inc.-Special
Common Stock 52,183 2,798
General Binding Corp. 16,572 497
# General Datacomm
Industries, Inc. 23,800 250
General Dynamics Corp. 27,301 1,925
General Electric Co. 719,197 71,111
General Growth Properties
Inc. REIT 11,700 377
# General Instrument Corp. 58,558 1,266
General Mills, Inc. 69,442 4,401
General Motors Corp. 328,541 18,316
General Motors Corp. Class H 43,153 2,427
# General Nutrition Cos., Inc. 38,400 653
General Re Corp. 35,943 5,670
General Signal Corp. 21,358 913
# Genetics Institute Inc.
Depository Shares 12,800 1,086
# Gentex Corp. 15,124 304
# Genesis Health Ventures Inc. 13,700 426
# Geneva Steel Class A 26,600 80
# Genrad, Inc. 20,688 481
Gensia Inc. 40,314 186
Genuine Parts Co. 52,648 2,343
# Genzyme Corp. 29,678 647
# Genzyme Corp. Tissue Repair 4,700 34
Georgia Gulf Corp. 15,168 408
Georgia-Pacific Corp. 39,598 2,851
# Geotek Industries, Inc. 17,700 127
# Geoworks 14,200 346
# Getchell Gold Corp. 11,116 427
# Giant Cement Holding, Inc. 9,900 158
Giant Food, Inc. Class A 25,669 886
Giant Industries, Inc. 24,700 346
# Gibson Greetings, Inc. 23,000 449
Giddings & Lewis, Inc. 29,908 389
Gilbert Associates, Inc. Class A 18,000 252
# Gilead Sciences, Inc. 13,100 327
Gillette Co. 193,995 15,083
P.H. Glatfelter Co. 18,400 331
# Glenayre Technologies, Inc. 26,225 565
# Glendale Federal 19,243 447
# Global DirectMail Corp. 16,300 711
# Global Industrial
Technologies, Inc. 19,991 442
# Global Marine, Inc. 71,700 1,479
# Global Village Communication 15,900 51
# Go Video, Inc. 37,500 45
Golden West Financial Corp. 24,807 1,566
# The Good Guys, Inc. 15,500 103
The BF Goodrich Co. 23,290 943
The Goodyear Tire & Rubber Co. 67,203 3,453
# Goody's Family Clothing 19,550 347
Gorman-Rupp Co. 15,325 209
Goulds Pumps, Inc. 15,009 345
W.R. Grace & Co. 38,654 2,000
Graco, Inc. 15,198 372
# Gradall Industries, Inc. 2,700 33
# Graham-Field Health
Products Inc. 28,384 245
W.W. Grainger, Inc. 22,211 1,782
# Grancare Inc. 19,800 354
# Grand Casinos, Inc. 16,600 224
Granite Construction Co. 14,700 287
Graphic Industries, Inc. 24,300 237
Great Atlantic & Pacific Tea
Co., Inc. 16,401 523
Great Lakes Chemical Corp. 27,579 1,289
Great Western Financial Corp. 58,657 1,701
Green Mountain Power Corp. 10,600 253
Green Point Financial Corp. 22,200 1,049
Green Tree Financial Corp. 59,391 2,294
Greenfield Industries, Inc. 14,000 428
Greif Brothers Corp. Class A 4,200 120
# Greyhound Lines, Inc. 67,400 261
# GTech Holdings Corp. 18,500 592
Guaranty National Corp. 4,975 83
Guidant Corp. 32,178 1,834
Guilford Mills, Inc. 12,100 322
# Gulf South Medical Supply, Inc. 14,100 360
# Gulfstream Aerospace Corp. 31,400 761
# The Gymboree Corp. 10,740 244
HBO & Co. 37,347 2,217
HCC Insurance Holdings, Inc. 11,900 286
# HCIA, Inc. 7,700 267
HF Financial Corp. 400 7
# HFS Inc. 53,850 3,218
# HMN Financial, Inc. 14,300 259
# HMT Technology Corp. 15,700 237
# HNC Software, Inc. 9,200 288
HRE Properties 6,200 112
# HS Resources Inc. 19,701 325
# HSN, Inc. 36,397 860
HUBCO, Inc. 731 18
# Hadco Corp. 12,949 632
# Haemonetics Corp. 4,500 85
Halliburton Co. 54,623 3,291
# Hamburger Hamlet Restaurants 24,000 1
Hancock Fabrics, Inc. 26,200 272
# Handleman Co. 37,961 323
M.A. Hanna Co. 22,250 487
Hannaford Brothers Co. 18,300 622
# Harbinger Corp. 10,300 268
Harcourt General, Inc. 31,211 1,440
John H. Harland Co. 13,287 438
Harley-Davidson, Inc. 32,346 1,520
Harleysville National Corp. 4,580 115
Harman International
Industries, Inc. 7,981 444
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MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C>
Harmon Industries, Inc. 15,300 $ 291
Harnischfeger Industries Inc. 20,735 998
Harper Group, Inc. 5,600 132
# Harrah's Entertainment, Inc. 44,116 877
Harris Corp. 16,623 1,141
# Harry's Farmers Market, Inc. 3,000 8
Harsco Corp. 10,684 732
Harte-Hanks Communications Co. 15,600 433
Hartford Steam Boiler Inspection
& Insurance Co. 8,657 401
# Hartmarx Corp. 5,100 29
Harveys Casino Resorts 13,400 226
Hasbro, Inc. 37,353 1,452
# Hauser, Inc. 19,900 115
Haven Bancorp, Inc. 7,900 227
Haverfield Corp. 6,270 119
Hawaiian Electric Industries Inc. 13,465 486
# Hayes Wheels International Inc. 3,770 144
Health Care Properties Investors 12,400 434
# HEALTHSOUTH Corp. 67,912 2,623
# HealthCare Compare Corp. 15,033 639
# Health Management Associates
Class A 44,559 1,003
# Healthcare & Retirement Corp. 19,400 555
Healthcare Realty Trust Inc. 13,500 358
# Health Systems 20,698 512
# Heartport Inc. 16,500 381
Health and Retirement
Properties Trust 28,400 550
Health Care REIT, Inc. 12,700 311
# Health Professionals, Inc. 670 1
# Health Management
Systems, Inc. 14,947 206
# Healthdyne Information
Enterprises, Inc. 55,200 307
# Healthdyne Technologies, Inc. 25,446 229
# Healthsource, Inc. 27,300 358
# Heartland Express, Inc. 19,492 473
Hechinger Co. Class A 62,100 128
Hechinger Co. Class B 5,118 19
# Hecla Mining Co. 45,400 255
Heico Corp. 8,884 234
Heilig-Meyers Co. 19,357 315
H.J. Heinz Co. 159,805 5,713
Helmerich & Payne, Inc. 11,093 578
Herbalife International, Inc. 24,900 811
Hercules, Inc. 46,881 2,028
# Heritage Media Corp. Class A 22,600 254
Hershey Foods Corp. 66,064 2,890
Hewlett-Packard Co. 445,000 22,361
# Hexcel Corp. 15,100 245
Hibernia Corp. Class A 52,422 695
# Highlands Insurance Group 3,154 64
Highwood Properties, Inc. REIT 13,700 462
Hilb, Rogal and Hamilton Co. 19,000 252
Hillenbrand Industries, Inc. 29,400 1,066
# Hills Stores Co. 9,900 59
Hilton Hotels Corp. 107,298 2,803
# Hinsdale Financial Corp. 12,375 308
Hollinger International, Inc. 35,000 403
Holly Corp. 12,000 321
# Hollywood Casino Corp. 48,800 177
# Hollywood Entertainment Corp. 23,029 429
# Hollywood Park, Inc. 25,400 386
# Hologic, Inc. 10,600 262
Home Depot, Inc. 207,929 10,422
# Home Health Corp. of America 12,000 133
Homeland Bankshares Corp. 5,600 230
Homestake Mining Co. 62,893 896
# Homestead Village Inc. 16,682 300
# Homestead Village Inc.
Warrants Exp. 10/29/97 2,806 23
Hon Industries, Inc. 12,900 427
Honeywell, Inc. 55,379 3,641
Horace Mann Educators Corp. 9,500 384
# Horizon/CMS Healthcare Corp. 32,900 415
Horizon Financial Corp. 16,020 216
Hormel Foods Corp. 32,700 883
# Host Marriott Services 27,584 252
Hospitality Properties Trust 14,500 421
# Host Marriott 84,024 1,344
# Hot Topic, Inc. 8,400 164
Houghton Mifflin Co. 6,300 357
Household International, Inc. 42,112 3,885
Houston Industries, Inc. 107,600 2,434
# Hovnanian Enterprises Class A 36,650 275
# Hovnanian Enterprises Class B 9,650 72
Hubbell Inc. Class A 7,600 289
Hubbell Inc. Class B 20,400 882
Hudson Foods Inc. Class A 25,500 485
Hughes Supply, Inc. 7,826 338
# Humana, Inc. 69,480 1,329
# Human Genome Sciences, Inc. 10,400 423
# Hungarian Teleconstruct Corp. 12,000 23
Hunt Manufacturing Co. 16,900 306
J.B. Hunt Transport Services, Inc. 15,147 214
Huntington Bancshares Inc. 61,562 1,628
# Hutchinson Technology, Inc. 6,100 464
# Hyperion Software Corp. 19,448 412
ICN Pharmaceuticals, Inc. 12,394 243
IBP, Inc. 40,800 989
# IDX Systems Corp. 8,400 242
# IEC Electronics Corp. 33,718 280
IES Industries, Inc. 12,800 382
# IGI, Inc. 17,090 115
# IHOP Corp. 2,600 62
IMC Global Inc. 39,807 1,557
# IPC Information Systems, Inc. 11,900 177
IRT Property Co. REIT 30,500 351
# I-STAT Corp. 8,500 201
# ITT Corp. 50,695 2,199
# ITT Educational Services, Inc. 12,600 291
ITT Hartford Group, Inc. 51,054 3,446
ITT Industries, Inc. 50,873 1,246
IWC Resources Corp. 7,300 228
# IXC Communications, Inc. 13,500 415
Idaho Power Co. 16,100 501
IDEX Corp. 8,350 333
# IDEXX Laboratories 16,100 582
Illinois Central Corp. 26,550 850
# Identix, Inc. 4,300 35
Illinois Tool Works, Inc. 53,153 4,246
</TABLE>
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VALUE*
TOTAL STOCK MARKET PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C>
Illinova Corp. 32,700 $ 899
# Image Business Systems Corp. 23,400 2
# Imation Corp. 17,967 505
# Imclone Systems, Inc. 12,000 116
# Immucor Inc. 26,946 258
# ImmuLogic Pharmaceutical Corp. 18,500 121
# Immune Response 54,317 455
# Imo Industries, Inc. 16,700 52
# Imperial Bancorp 18,904 454
# Impath, Inc. 2,900 55
# Imperial Credit 26,526 557
# Immunomedics Inc. 36,400 201
# Inacom Corp. 9,200 368
# Incyte Pharmaceuticals, Inc. 8,800 451
Indiana Energy, Inc. 9,600 234
# Infinity Broadcasting Corp. 36,318 1,221
# Informix Corp. 65,200 1,333
Ingersoll-Rand Co. 46,909 2,087
# Information Resources, Inc. 22,835 323
Inland Steel Industries, Inc. 20,124 402
# Innovative Gaming Corp. 10,050 59
# Input/Output, Inc. 18,400 340
# Insilco Corp. 8,000 312
# Insituform Technologies Class A 35,600 267
# Innotech, Inc. 14,400 113
# Inso Corp. 4,800 189
# Insurance Auto Auctions, Inc. 21,900 208
# Insignia Financial Group 10,400 234
Integon Corp. 15,020 267
# Integrated Device
Technology Inc. 34,100 467
Integrated Health Services, Inc. 10,300 251
# Integrated Process
Equipment Corp. 17,124 307
# Integrated Systems, Inc. 8,400 216
# Integrated Silicon Solution, Inc. 15,400 132
# Integrated Systems Consulting
Group Inc. 1,684 22
Intel Corp. 359,463 47,067
# Intelidata Technologies Corp. 20,600 151
# Intelligent Electronics Inc. 37,898 308
# Intelligent Medical Imaging, Inc. 14,500 89
# Inter-Tel, Inc. 7,900 151
Intercargo Corp. 18,100 157
# Intercel, Inc. 22,800 276
Interface, Inc. 20,400 408
# Interdigital Communications Corp. 52,500 302
# Intergraph Corp. 36,540 379
# Interim Services, Inc. 8,645 307
# Interleaf, Inc. 35,600 69
International Business
Machines Corp. 229,816 34,702
# International Cabletel, Inc. 13,200 331
# International Dairy Queen, Inc.
Class A 16,188 327
# International Dairy Queen, Inc.
Class B 2,300 45
International Flavors &
Fragrances, Inc. 48,174 2,168
# International Family
Entertainment, Inc. Class B 19,375 300
# International Lottery & Totalizator
Systems Inc. 54,900 46
International Game Technology 53,602 978
International Multifoods Corp. 15,881 288
# International Murex
Technologies Corp. 26,000 190
# International Network Services 13,600 411
International Paper Co. 129,246 5,218
# International Rectifier Corp. 26,700 407
International Shipholding Corp. 8,300 154
# International Specialty
Products, Inc. 41,600 510
# International Technology 28,025 238
# Interneuron Pharmaceutical, Inc. 17,500 456
Interpublic Group of Cos., Inc. 34,979 1,662
# Intersolv 23,400 215
Interstate Bakeries 16,100 791
# Interstate Hotels Co. 12,000 339
# Intervoice, Inc. 14,413 178
Intimate Brands, Inc. 109,400 1,860
# Intuit, Inc. 19,400 616
Invacare Corp. 12,557 342
# Invision Technologies, Inc. 8,800 287
Investors Financial Services Corp. 10,100 279
# Iomega Corp. 53,400 928
# Ionics, Inc. 6,300 302
Ipalco Enterprises, Inc. 24,350 664
Irvine Apartment Communities,
Inc. REIT 14,500 363
Irwin Financial Corp. 15,200 372
ISCO, Inc. 22,485 208
# ISIS Pharmaceuticals, Inc. 21,026 376
# Itron, Inc. 2,200 39
# i2 Technologies, Inc 10,700 413
IVAX Corp. 51,300 526
JLG Industries, Inc. 21,000 336
# JMC Group Inc. 5,200 5
# JP Foodservice, Inc. 13,700 382
JP Realty Inc. REIT 5,100 132
JSB Financial 8,601 325
# JTS Corp. 79,144 262
Jackpot Enterprises, Inc. 17,300 169
# Jacobs Engineering Group Inc. 17,100 404
# Jacor Communications Inc. 13,400 368
James River Corp. 37,268 1,235
# Jan Bell Marketing Inc. 17,400 36
# Jayhawk Acceptance Corp. 25,100 286
Jefferson Bancorp, Inc. 9,300 178
Jefferson Bankshares, Inc. 12,800 362
Jefferson Savings Bancorp, Inc. 7,900 207
Jefferson-Pilot Corp. 30,777 1,743
# Jefferson Smurfit Corp. 48,600 781
John Alden Financial Group 8,100 150
John Nuveen Co. Class A 14,500 384
Johnson & Johnson 579,882 28,849
Johnson Controls, Inc. 17,947 1,487
# Johnstown America Industries 11,900 53
# Jones Apparel Group, Inc. 22,600 845
Jones Medical Industries, Inc. 11,600 423
Jostens Inc. 16,740 354
Juno Lighting, Inc. 13,900 221
</TABLE>
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MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C>
# Just for Feet, Inc. 10,476 $ 274
Justin Industries, Inc. 28,360 330
# KLA Instruments Corp. 21,900 776
# Kmart Corp. 208,877 2,167
KN Energy, Inc. 12,879 506
# K-III Communications Corp. 53,800 578
K2 Inc. 14,162 389
K U Energy Corp. 16,200 486
# K-V Pharmaceutical Co. Class A 8,700 104
# Kaiser Aluminum &
Chemical Corp. 30,800 358
Kaneb Pipeline Partners, LP 12,380 340
# Kaneb Services, Inc. 113,316 368
Kansas City Life Insurance Co. 3,200 207
Kansas City Power & Light Co. 26,500 755
Kansas City Southern
Industries, Inc. 16,164 727
Katy Industries, Inc. 17,600 255
# Katz Media Group 17,800 200
Kaufman & Broad Home Corp. 31,042 400
Kaydon Corp. 9,400 443
# Keane, Inc. 14,100 448
Kellogg Co. 92,293 6,057
Kelly Services, Inc. Class A 16,375 449
# KEMET Corp. 16,700 385
Kennametal, Inc. 11,500 447
# Kensey Nash Corp. 16,000 236
# Kent Electronics Corp. 19,800 510
Kerr-McGee Corp. 21,253 1,530
KeyCorp 100,440 5,072
# Keystone Consolidated
Industries, Inc. 12,690 105
Keystone Financial, Inc. 16,143 406
Keystone International, Inc. 14,200 286
Kimball International, Inc.
Class B 9,000 372
Kimberly-Clark Corp. 122,884 11,705
Kimco Realty Corp. REIT 15,450 539
# Kinder Care Learning Centers Inc. 15,100 282
Kinetic Concepts, Inc. 17,668 220
# King World Productions, Inc. 16,086 593
Knight-Ridder, Inc. 41,426 1,585
# Koger Equity Inc. REIT 19,600 368
# Kohls Corp. 32,100 1,260
# Komag, Inc. 22,600 612
# The Kroger Co. 54,247 2,522
Kuhlman Corp. 25,376 492
# LCI International, Inc. 33,626 723
LG&E Energy Corp. 28,400 696
# LS Capital Corp. 1,996 3
# LSI Logic Corp. 55,445 1,483
LSI Industries Inc. 21,518 288
LTC Properties, Inc. 18,600 344
LTV Corp. 43,500 517
# LTX Corp. 32,788 192
La Quinta Inns Inc. 33,238 636
La-Z-Boy Inc. 1,200 35
# Laboratory Corp. of America 94,848 273
# Ladd Furniture Inc. 10,800 156
Lafarge Corp. 26,600 535
# LAM Research Corp. 13,250 373
Lancaster Colony Corp. 12,788 585
Lance, Inc. 7,521 134
# Lancer Corp. 26,190 534
Landauer, Inc. 12,100 296
# Lands' End, Inc. 15,600 413
# Landry's Seafood Restaurants, Inc. 3,300 71
# Landstar System 2,800 64
# Lason Holdings, Inc. 6,700 137
# Lattice Semiconductor Corp. 9,650 443
Estee Lauder Cos. Class A 26,171 1,331
Lawter International Inc. 16,534 209
# Layne Christensen Co. 16,200 241
# Lazare Kaplan International, Inc. 16,700 286
# Lear Corp. 27,900 952
# Learning Co., Inc. 15,837 227
# Lechters Corp. 26,400 138
# Lectec Corp. 3,500 24
Lee Enterprises, Inc. 20,400 474
# Legal Research Center, Inc. 6,100 10
# Legato Systems, Inc. 6,100 198
Leggett & Platt, Inc. 38,100 1,319
Lehman Brothers Holdings, Inc. 42,999 1,349
Lennar Corp. 15,400 420
Leucadia National Corp. 25,900 693
# Level 8 Systems Inc. 21,100 324
Leviathan Gas Pipeline Co. 8,200 359
# Lexmark International Group, Inc.
Class A 27,800 768
Libbey, Inc. 12,600 351
Liberty Bancorp, Inc. (Oklahoma) 7,100 354
Liberty Corp. 8,000 314
Liberty Financial Cos., Inc. 12,200 474
# Liberty Media Group Class A 5,000 143
# Liberty Media Group Class B 1,050 30
# Life USA Holding, Inc. 28,300 336
Life Re Corp. 10,000 386
# Lifecore Biomedical Inc. 13,900 247
Lillian Vernon Corp. 1,400 17
Eli Lilly & Co. 237,735 17,355
Lilly Industries Inc. Class A 19,968 364
The Limited, Inc. 117,191 2,153
# Lin Television 12,816 540
# Lincare Holdings Inc. 12,100 499
Lincoln Electric Co. Class A 9,924 298
Lincoln National Corp. 45,525 2,390
Lindsay Manufacturing Co. 4,350 201
Linear Technology Corp. 32,796 1,439
# Liposome Co., Inc. 24,361 467
Litchfield Financial Corp. 12,330 177
# Littelfuse, Inc. 6,200 299
# Litton Industries, Inc. 19,869 946
# Living Centers of America, Inc. 15,200 422
Liz Claiborne, Inc. 31,187 1,205
Lockheed Martin Corp. 87,257 7,984
Loctite Corp. 13,720 835
Loews Corp. 50,171 4,729
# Logan's Roadhouse, Inc. 8,000 184
Logicon, Inc. 12,100 442
# Lone Star Steakhouse & Saloon 17,300 464
Long Island Bancorp, Inc. 10,900 382
Long Island Lighting Co. 52,835 1,169
</TABLE>
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MARKET
VALUE*
TOTAL STOCK MARKET PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C>
Longhorn Steaks Inc. 7,800 $ 148
Longs Drug Stores, Inc. 8,445 415
Longview Fiber Co. 22,130 407
# Loral Space &
Communications Ltd. 82,584 1,517
# Loronix Information Systems 27,100 98
# Louis Dreyfus Natural Gas Corp. 23,500 402
Louisiana Land & Exploration Co. 14,648 786
Louisiana-Pacific Corp. 46,364 979
Lowe's Cos., Inc. 74,537 2,646
Lubrizol Corp. 25,767 799
Luby's Cafeterias, Inc. 2,559 51
Lucent Technologies, Inc. 274,942 12,716
# Lumisys, Inc. 20,300 188
# L. Luria & Son, Inc. 5,100 13
# Lydall, Inc. 21,600 486
# Lynx Therapeutics Inc. 226 1
Lyondell Petrochemical Co. 34,246 753
MAF Bancorp, Inc. 3,326 115
MBIA, Inc. 18,700 1,893
MBNA Corp. 96,801 4,017
MCI Communications Corp. 300,599 9,826
MCN Corp. 28,300 817
# MDL Information Systems, Inc. 3,100 58
# MEMC Electronic Materials, Inc. 17,700 398
# MFS Communications Co., Inc. 96,211 5,231
MGIC Investment Corp. 25,765 1,958
M/A/R/C, Inc. 7,800 164
# MGM Grand Inc. 23,961 836
ML Bancorp Inc. 28,100 395
MMI Cos., Inc. 500 16
# MRV Communications Inc. 16,286 355
# MTR Gaming Group Inc. 36,700 34
MTS Systems Corp. 17,590 356
# MacFrugal's Bargains
Close-Outs, Inc. 15,100 394
MacDermid, Inc. 387 11
The Macerich Co. REIT 16,700 436
# Macromedia 14,123 256
Madison Gas & Electric Co. 11,100 228
# Mafco Consolidated Group Inc. 7,744 197
# Mafco Consolidated Group Inc.
Rights Exp. 1/1/99 29,279 27
# Magellan Health Services Corp. 21,000 470
Magna Group 9,548 282
# Mail-Well, Inc. 19,900 326
Maine Public Service Co. 12,000 218
Mainstreet Bankgroup, Inc. 17,400 322
Mallinckrodt Inc. 32,292 1,425
Manor Care Inc. 26,991 729
Manpower Inc. 35,100 1,141
Manufactured Home
Communities, Inc. REIT 20,200 470
Mapco Inc. 24,600 836
# Marcam Corp. 17,500 223
# Marine Drilling Co., Inc. 20,000 394
Marion Capital Holdings 4,600 90
Mark IV Industries, Inc. 27,209 616
Mark Twain Bancshares, Inc. 6,900 336
# Markel Corp. 4,400 398
# Marquette Medical Systems
Class A 18,204 398
Marsh & McLennan Cos., Inc. 31,602 3,287
Marshall & Ilsley Corp. 39,251 1,364
Marriott International 54,887 3,033
# Marshall Industries 13,628 417
# Martek Biosciences Corp. 11,700 230
Martin Marietta Materials, Inc. 20,426 475
# Marvel Entertainment Group 38,174 72
Masco Corp. 68,953 2,482
MascoTech Inc. 23,615 387
# Mastec Inc. 7,378 392
# Material Sciences Corp. 18,850 339
# Matria Healthcare Inc. 59,900 277
Mattel, Inc. 118,264 3,282
# Maxim Integrated Products, Inc. 26,400 1,143
May Department Stores Co. 107,998 5,049
# Maxicare Health Plans Inc. 9,500 214
# Maxxam Inc. 6,300 300
# Maverick Tube Corp. 17,100 217
Maytag Corp. 43,188 853
# McAfee Associates, Inc. 20,854 914
McClatchy Newspapers, Inc. 12,940 453
McCormick & Co., Inc. 35,517 837
McDermott International, Inc. 23,107 384
# J. Ray McDermott SA 17,300 381
McDonald's Corp. 304,619 13,784
McDonnell Douglas Corp. 93,633 5,993
The McGraw-Hill Cos. 43,470 2,005
McKesson Corp. 18,197 1,019
# McLeod, Inc. 13,200 338
# McMoRan Oil and Gas 87,400 186
# McWorter Technologies Inc. 12,800 293
The Mead Corp. 22,520 1,309
# Medaphis Corp. 31,416 351
# Medar, Inc. 36,158 199
# MedCath Inc. 18,300 288
# Medco Research, Inc. 24,500 257
# Medcross, Inc. 9,800 47
Medford Savings Bank 9,899 255
Media General, Inc. Class A 11,400 345
# Medic Computer Systems, Inc. 10,700 431
# Medicis Pharmaceutical Corp. 7,850 343
# MedImmune Inc. 11,500 198
Meditrust 25,983 1,039
# Medpartners Inc. 63,548 1,335
# Medplus, Inc. 18,900 112
Medtronic, Inc. 104,250 7,089
Mellon Bank Corp. 56,753 4,029
# Men's Wearhouse, Inc. 13,950 339
Mentor Corp. 16,481 484
# Mentor Graphics Corp. 24,000 236
Mercantile Bancorp, Inc. 28,703 1,475
Mercantile Bankshares Corp. 19,100 609
Mercantile Stores Co., Inc. 16,064 793
Merck & Co., Inc. 530,817 42,067
Mercury Finance Co. 75,977 931
Mercury General Corp. 11,800 620
# Mercury Interactive Corp. 12,600 164
Meredith Corp. 11,650 615
Meridian Diagnostics, Inc. 21,029 277
# Merisel, Inc. 34,100 57
# Meridian Gold Co. 76,600 316
# Merix Corp. 9,800 153
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VALUE*
SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C>
Merrill Corp. 11,900 $ 277
Merrill Lynch & Co., Inc. 73,798 6,015
Merry Land & Investment Co.,
Inc. REIT 15,800 340
# Mesa Air Group Inc. 46,900 322
Met-Pro Corp. 15,345 205
# MetaTools, Inc. 16,000 187
Methode Electronics, Inc. Class A 6,251 125
# Metra Biosystems, Inc. 36,300 177
# Metrocall, Inc. 28,700 145
# Metromail Corp. 18,800 343
# Metromedia International
Group, Inc. 26,400 261
# Metzler Group, Inc. 3,100 97
# Fred Meyer, Inc. 13,200 469
Michael Foods, Inc. 23,100 296
# Micrion Corp. 28,000 616
# Micros Systems, Inc. 7,200 219
# Microsoft Corp. 522,944 43,241
Mid Am Inc. 8,368 144
# Microchip Technology, Inc. 14,900 758
# Microcom Corp. 18,324 224
# Micro Warehouse Inc. 14,800 172
# Microfield Graphics, Inc. 13,700 33
# Micrografx, Inc. 13,000 71
# Micron Electronics, Inc. 40,400 785
Micron Technology Inc. 89,527 2,607
# Microtouch Systems, Inc. 12,499 298
# Microwave Power Devices, Inc. 3,300 9
Mid-America Realty Investments 22,400 213
Mid Atlantic Realty Trust 30,950 348
# Mid Atlantic Medical
Services, Inc. 25,400 340
# Mid-American Waste
Systems, Inc. 60,300 25
MidAmerican Energy Holdings Co. 43,100 684
Middlesex Water Co. 8,600 148
# Midway Games Inc. 17,200 348
# Millenium Chemicals, Inc. 35,082 623
# Millenia, Inc. 2,675 5
Herman Miller, Inc. 9,929 560
Millipore Corp. 18,989 786
# Milwaukee Land Co. 7,700 48
Mine Safety Appliances Co. 3,700 202
Minerals Technologies, Inc. 9,700 398
# MiniMed, Inc. 13,700 437
Minnesota Mining &
Manufacturing Co. 182,179 15,098
Minnesota Power & Light Co. 13,700 377
# Mirage Resorts, Inc. 78,800 1,704
Mississippi Chemical Corp. 9,000 216
Mississippi Chemical Corp. - New 3,941 367
Mitchell Energy & Development
Corp. Class A 22,100 494
Mitchell Energy & Development
Corp. Class B 500 11
Mobil Corp. 171,454 20,960
# Mobile Telecommunications
Technologies Corp. 20,500 172
# MobileMedia Corp. 25,900 12
Modine Manufacturing Co. 11,162 294
# Mohawk Industries, Inc. 14,900 332
# Molecular Biosystems, Inc. 41,000 267
Molex, Inc. 44,096 1,725
# Molten Metal Technology 9,500 113
The Money Store 25,159 698
Monsanto Co. 255,182 9,920
Montana Power Co. 23,400 500
J.P. Morgan & Co., Inc. 81,536 7,960
# Morgan Products Ltd. 21,900 162
Morgan Stanley Group, Inc. 65,949 3,767
Morrison Fresh Cooking Inc. 2,718 13
Morrison Health Care Inc. 18,425 272
Morton International, Inc. 61,008 2,486
# Mortons Restaurant Group 22,344 377
Mosinee Paper Corp. 11,193 396
# Mossimo, Inc. 6,100 75
Motorola, Inc. 258,292 15,853
# MTL, Inc. 16,748 343
Mueller (Paul) Co. 3,400 130
# Mueller Industries Inc. 10,884 419
# Multicare Cos., Inc. 18,700 379
Murphy Oil Corp. 19,000 1,057
# Musicland Stores Corp. 96,100 144
# Mycogen Corp. 17,700 376
Myers Industries, Inc. 10,700 181
Mylan Laboratories, Inc. 52,650 882
NAC Re Corp. 9,400 318
NCH CORP. 6,500 392
# NCI Building Systems, Inc. 9,800 336
# NFO Research Inc. 17,452 393
NGC Corp. 64,000 1,488
NIPSCO Industries, Inc. 26,130 1,035
N L Industries, Inc. 44,400 483
# NPC International Class A 15,100 126
# NRG Generating U.S. Inc. 2,838 32
# NS Group Inc. 89,900 405
NUI Corp. 1,300 29
NYMAGIC, Inc. 14,400 259
Nabisco Holdings Corp. Class A 22,300 867
# Nabors Industries, Inc. 37,400 720
NACCO Industries, Inc. Class A 8,365 448
Nalco Chemical Co. 29,521 1,066
Nash-Finch Co. 8,600 185
# Nashua Corp. 21,114 253
# National Auto Credit Inc. 25,432 305
National Bankcorp of Alaska Inc. 5,800 405
# National City Bancorporation 9,307 190
National City Corp. 95,886 4,303
National Community Bancorp 9,902 376
National Data Corp. 11,111 483
# National Education Corp. 3,900 59
National Fuel & Gas Co. 16,200 668
National Health Investors REIT 9,500 360
# National Medical Financial
Services Corp. 23,700 170
National Presto Industries, Inc. 2,937 110
# National Processing, Inc. 21,600 346
# National Semiconductor Corp. 59,268 1,445
National Service Industries, Inc. 20,393 762
# National Steel Corp. Class B 31,900 295
NationsBank Corp. 127,021 12,416
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MARKET
VALUE*
TOTAL STOCK MARKET PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C>
Nationwide Health Properties, Inc. 18,100 $ 439
# Nautica Enterprises Inc. 17,149 431
# Navigators Group, Inc. 8,900 160
# Navistar International Corp. 33,517 306
# Neiman Marcus Group Inc. 16,245 414
# Nellcor Puritan Bennett, Inc. 25,740 560
Thomas Nelson, Inc. 23,150 344
# Neoprobe Corp. 15,200 231
# Neostar Retail Group 33,300 1
# Netcom On-Line Communication
Services, Inc. 13,500 177
# Netmanage, Inc. 42,300 255
# Netscape Communications Corp. 19,600 1,115
# Network Appliance, Inc. 12,200 621
# Network General Corp. 22,012 664
# Neurogen Corp. 12,820 244
Nevada Power Co. 21,648 444
New England Electric System 27,900 973
New Jersey Resources Corp. 4,600 135
# New Mexico & Arizona Land Co. 19,971 232
New Plan Realty Trust REIT 24,750 628
# New World Communications
Group, Inc. 12,200 307
New York Bancorp Inc. 10,290 399
New York State Electric &
Gas Corp. 30,600 662
New York Times Co. Class A 42,117 1,600
Newell Co. 68,808 2,167
# Newfield Exploration Co. 15,000 390
Newhall Land & Farming Co. 23,100 390
Newmont Gold Co. 47,532 2,080
Newmont Mining Corp. 43,577 1,950
# Newport News Shipbuilding Inc. 14,557 218
# News Communications, Inc. 500 1
# Nextel Communications 98,496 1,287
# Nexstar Pharmaceuticals Inc. 18,441 273
# Niagara Mohawk Power Corp. 61,802 610
NICOR, Inc. 21,352 763
Nike, Inc. Class B 125,032 7,471
# Nine West Group, Inc. 15,100 700
Noble Affiliates, Inc. 24,564 1,176
# Noble Drilling Corp. 51,900 1,032
NorAm Energy Corp. 58,648 902
# Norand Corp. 8,800 153
# Nord Resources Corp. 116,800 511
Nordson Corp. 7,700 493
Nordstrom, Inc. 35,625 1,262
Norfolk Southern Corp. 55,019 4,814
Norrell Corp. 9,500 259
# Norstan, Inc. 7,200 127
# Nortek, Inc. 18,200 364
North American Mortgage Co. 16,600 328
# North American Vaccine, Inc. 22,061 535
North Carolina Natural Gas Corp. 2,300 66
North Fork Bancorporation, Inc. 10,086 359
North Side Savings Bank 6,446 354
Northeast Utilities 54,900 727
Northern States Power Co. 29,394 1,348
Northern Trust Corp. 48,000 1,743
Northrop Grumman Corp. 24,671 2,042
# Northstar Health Services, Inc. 21,850 27
# Northwest Airlines Corp. Class A 42,500 1,663
Northwest Natural Gas Co. 4,200 101
Northwest Savings Bank 20,000 271
Norwest Corp. 160,708 6,991
# Nova Corp. (Georgia) 11,900 263
# Nu Horizons Electronics Corp. 24,400 197
# NovaCare, Inc. 30,488 335
# Nu-Kote Holding, Inc. Class A 23,300 239
# Novavax, Inc. 25,590 88
# Novell, Inc. 154,332 1,461
# Novellus Systems, Inc. 7,100 385
# Noxso Corp. 36,200 84
Nucor Corp. 37,481 1,912
# Nuevo Energy Co. 8,400 437
Numerex Corp. 16,000 61
NYNEX Corp. 190,929 9,188
OEA, Inc. 8,900 407
# OHM Corp. 16,800 143
# OIS Optical Imaging Systems, Inc. 8,800 14
# Oak Technology, Inc. 42,800 484
# Oakley, Inc. 30,500 332
Oakwood Homes Corp. 19,400 444
# Object Design, Inc. 18,400 213
# Objective Systems
Integrators, Inc. 17,900 424
Occidental Petroleum Corp. 140,136 3,276
# OccuSystems, Inc. 2,000 54
# Oceaneering International, Inc. 24,890 395
# Octel Communications Corp. 21,900 381
# Ocwen Financial Corp. 3,000 80
# Office Depot, Inc. 67,925 1,206
# Officemax Inc. 52,850 562
Ogden Corp. 21,445 402
Ohio Casualty Corp. 14,044 502
Ohio Edison Co. 66,295 1,508
Oil-Dri Corp. of America 18,275 274
Oklahoma Gas & Electric Co. 17,300 722
# Old Dominion Freight Line, Inc. 24,315 255
Old Kent Financial Corp. 20,269 967
Old National Bancorp 9,737 380
Old Republic International Corp. 37,500 1,003
Olin Corp. 21,800 820
Olsten Corp. 33,425 506
# Olympic Financial Ltd. 28,100 404
Omnicare, Inc. 31,900 1,025
Omnicom Group Inc. 34,200 1,565
Omega Healthcare Investors, Inc. 12,500 416
Omega Financial Corp. 5,408 193
# Omnipoint Corp. 21,500 413
# On Assignment, Inc. 7,000 204
# Oncor Inc. 48,031 189
One Valley Bancorp of West
Virginia Inc. 7,500 281
# Oneita Industries 39,530 69
ONEOK, Inc. 15,506 465
# Ontrak Systems, Inc. 11,300 167
# Optical Cable Corp. 16,600 181
Optical Coating Laboratory, Inc. 15,081 161
# Oracle Corp. 285,950 11,921
Orange-Co, Inc. 3,000 23
# Oravax, Inc. 26,900 148
</TABLE>
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MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C>
# Orbital Sciences Corp. 16,500 $ 283
# Oregon Metallurgical Corp. 10,725 345
# Organogenesis, Inc. 16,200 375
Oregon Steel Mills, Inc. 22,100 370
Orion Capital Corp. 5,900 361
# OrNda Healthcorp 24,951 730
# Ortel Corp. 14,900 354
# Orthodontic Centers of
America, Inc. 23,600 372
# Oryx Energy Co. 45,829 1,134
Otter Tail Power Co. 5,502 178
# Outback Steakhouse 20,500 546
Outboard Marine Corp. 17,552 290
# Outdoor Systems, Inc. 16,200 460
Overseas Shipholding Group Inc. 23,000 391
Owens & Minor, Inc. Holding Co. 25,750 264
Owens Corning 22,081 941
# Owens-Illinois, Inc. 51,028 1,161
# Oxford Health Plan 33,200 1,944
Oxford Industries, Inc. 15,900 382
# Oxigene, Inc. 9,739 226
PCA International, Inc. 13,095 208
# PDT, Inc. 11,000 314
PECO Energy Corp. 95,574 2,413
PHH Corp. 14,800 636
# PHP Healthcare Corp. 9,400 241
# PICO Holdings Inc. 52,103 208
The PMI Group Inc. 15,100 836
# PMT Services Inc 12,335 215
PNC Bank Corp. 146,390 5,508
PP&L Resources Inc. 69,449 1,597
PPG Industries, Inc. 80,994 4,546
# PRI Automation, Inc. 3,500 158
PXRE Corp. 8,989 223
Paccar, Inc. 17,056 1,160
Pacific Enterprises 36,257 1,101
Pacific Gas & Electric Co. 178,862 3,756
Pacific Telesis Group 184,489 6,780
# Pacificare Health Systems Inc.
Class A 4,600 377
# Pacificare Health Systems Inc.
Class B 11,200 953
PacifiCorp 126,223 2,588
# Paging Network, Inc. 44,900 688
PaineWebber Group, Inc. 40,000 1,125
# Pairgain Technologies, Inc. 27,500 837
Pall Corp. 49,658 1,266
PanEnergy Corp. 65,372 2,942
# PanAmSat Corp. 14,500 408
# Papa John's International, Inc. 12,900 438
# Paradigm Technology, Inc. 18,800 48
# Parametric Technology Corp. 55,500 2,855
# Parcplace-Digitalk Inc. 22,600 54
Park National Corp. 200 11
# Park-Ohio Industries, Inc. 12,200 159
Parker & Parsley Petroleum Co. 15,300 562
Parker Hannifin Corp. 32,312 1,252
# ParkerVision, Inc. 3,700 49
Parkway Properties Inc. 3,550 92
# Pathogenesis Corp. 9,100 196
Patriot American Hospitality,
Inc. REIT 9,200 397
Paul Revere Corp. 19,300 719
Paychex, Inc. 31,362 1,613
# Payless ShoeSource, Inc. 17,244 647
# PEC Israel Economic Corp. 3,200 54
# Pediatrix Medical Group, Inc. 1,700 63
# Pegasystems Inc. 11,600 349
# The Penn Traffic Co. 35,400 128
Penn Virginia Corp. 6,700 317
Penncorp Financial Group Inc. 11,700 421
J.C. Penney Co., Inc. 97,678 4,762
Pennsylvania Enterprises Inc. 8,117 356
Pentair, Inc. 16,100 519
Penwest Ltd. 13,691 243
Pennzoil Co. 19,914 1,125
Peoples Bank of Bridgeport 17,200 493
Peoples Energy Corp. 14,913 505
Peoples First 4,700 118
Peoples Heritage Financial
Group Inc. 19,141 534
# Peoplesoft Inc. 46,800 2,243
Pep Boys (Manny, Moe & Jack) 27,273 839
PepsiCo, Inc. 680,972 19,918
# Perclose, Inc. 7,400 148
# Performance Food Group Co. 9,450 145
Perkin-Elmer Corp. 19,101 1,125
# Perrigo Co. 33,500 302
# Perseptive Biosystems 9,500 65
# Personnel Group of America, Inc. 18,402 444
# Pete's Brewing Co. 9,400 73
# Petro Union, Inc. 35,900 8
# Petrocorp, Inc. 38,778 366
Petroleum Heat & Power Co. 20,800 130
Petrolite Corp. 6,500 306
# PETsMART, Inc. 46,152 1,010
Pfizer, Inc. 280,099 23,213
# Pharmaceutical Markets 26,700 274
# Pharmaceutical Product
Development, Inc. 12,770 321
# Pharmacopeia, Inc. 9,700 187
Phelps Dodge Corp. 28,653 1,934
# Philadelphia Consolidated
Holding Corp. 11,300 258
Philip Morris Cos., Inc. 356,471 40,148
Phillips Petroleum Co. 114,803 5,080
Phillips-Van Heusen Corp. 15,800 227
# Phoenix Network, Inc. 11,200 38
# Photronics Labs Inc. 10,402 285
# Phycor, Inc. 23,300 658
# Physician Reliance Network, Inc. 18,600 143
# Physician Sales & Service, Inc. 15,100 221
# Physician Corp. of America 20,500 208
# Physio-Control International Corp. 14,700 327
# PictureTel Corp. 14,600 378
Piedmont Natural Gas, Inc. 12,500 292
Pier 1 Imports Inc. 18,800 331
Pinnacle Bancorp Group Inc. 3,100 90
# Pinnacle Micro Inc. 22,600 68
Pinnacle West Capital Corp. 37,700 1,197
Pioneer Financial 15,200 380
Pioneer Group Inc. 12,200 287
Pioneer Hi Bred International 36,124 2,529
Pioneer Standard Electronics Inc. 22,200 287
</TABLE>
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MARKET
VALUE*
TOTAL STOCK MARKET PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C>
Piper Jaffray Cos., Inc. 23,100 $ 361
Pitney Bowes, Inc. 65,185 3,553
Pitt Des Moines, Inc. 2,600 108
# Pittencrieff Communication, Inc. 74,869 274
Pittsburgh & West Virginia
Railroad 3,000 21
Pittston Brink's Group 18,100 489
Pittston Burlington Group 20,050 401
Pittway Corp. Class A 9,034 483
# Pixar, Inc. 19,600 256
# Plains Resources 27,883 436
# Planet Hollywood International,
Inc. Class A 41,500 820
# Plantronics, Inc. 10,400 468
# Platinum Software Co. 27,900 333
# Platinum Technology, Inc. 17,600 239
# Playboy Enterprises Inc. Class B 22,200 216
Plenum Publishing Corp. 6,300 224
Ply-Gem Industries, Inc. 22,200 275
Poe & Brown, Inc. 3,900 105
Pogo Producing Co. 15,400 728
Polaris Industries, Inc. 11,000 261
Polaroid Corp. 19,358 842
# Policy Management
Systems Corp. 10,670 492
Portland General Electric Co. 22,000 924
Post Properties, Inc. REIT 9,400 378
Potlatch Corp. 12,396 533
Potomac Electric Power Co. 50,600 1,303
# Power Control Technologies 29,279 220
Pratt Hotel Corp. 7,083 12
Praxair, Inc. 67,633 3,120
Precision Castparts Corp. 10,250 509
# Precision Response Corp. 3,000 106
Premark International, Inc. 26,667 593
Premier Farnell PLC ADR 9,318 235
Premier Farnell PLC Cvt. Pfd. ADR 7,507 215
# Premisys Communications, Inc. 10,800 365
# Presstek, Inc. 6,700 477
# Price/Costco Inc. 85,761 2,160
T. Rowe Price 25,100 1,092
Price REIT, Inc. 9,700 373
# Pride Petroleum Services 14,900 345
# Primadonna Resorts, Inc. 19,462 333
# Primedex Health Systems Inc. 43,000 16
# Prime Service, Inc. 11,100 305
# Prime Energy Corp. 3,000 14
# Primark Corp. 9,369 232
Prime Bancorp Inc. 10,930 221
# Prime Hospitality Corp. 15,400 248
Procter & Gamble Co. 298,354 32,073
# Proffitt's, Inc. 10,200 374
# Progress Software Corp. 15,400 306
Progressive Corp. of Ohio 30,900 2,082
# Project Software &
Development, Inc. 700 29
# Promus Hotel Corp. 22,090 654
Protective Life Corp. 13,300 530
# Proteon Inc. 36,100 94
# Protocol Systems Inc. 14,100 182
# Providence Journal Co. 10,500 322
# Provident American Corp. 33,800 477
Provident Bancorp Inc. 15,775 532
Provident Cos., Inc. 19,700 953
Providian Corp. 40,299 2,070
# Proxim, Inc. 4,700 109
# Proxymed Pharmacy, Inc. 26,250 182
# PsiNet, Inc. 36,300 399
Public Service Co. of Colorado 27,900 1,085
Public Service Co. of New Mexico 18,180 357
Public Service Co. of North
Carolina, Inc. 5,000 91
Public Service Enterprise
Group Inc. 104,625 2,851
Public Storage Properties XI
Class A 800 16
Public Storage, Inc. REIT 35,800 1,110
Puerto Rican Cement Co., Inc. 8,700 272
Puget Sound Power & Light Co. 27,285 655
Pulitzer Publishing Co. 9,466 439
Pulte Corp. 17,008 523
# Pure Atria Software Corp. 17,257 424
# QLogic Corp. 24,327 631
Quaker Chemical Corp. 9,500 156
The Quaker Oats Co. 58,010 2,212
# Qualcomm, Inc. 29,000 1,156
# Quality Food Centers Inc. 9,468 322
# Quality Systems, Inc. 16,300 117
# Quantum Corp. 24,800 707
Questar Corp. 17,485 643
Quick & Reilly Group, Inc. 11,221 335
# QuickResponse Services, Inc. 7,200 209
# Quiksilver, Inc. 3,200 69
# Quickturn Design Systems, Inc. 20,400 419
# Quintel Entertainment, Inc. 21,300 197
# Quintiles Transnational Corp. 9,400 619
# Quorum Health Group, Inc. 20,900 619
# RAC Financial Group, Inc. 11,600 241
RFS Hotel Investors, Inc. REIT 4,000 79
R.L.I. Corp. 7,800 260
RJR Nabisco Holdings Corp. 118,019 4,013
RPM Inc. (Ohio) 33,850 575
# Racotek, Inc. 21,300 92
# RailTex, Inc. 13,506 336
# Rainbow Technologies, Inc. 11,500 216
# Rainforest Cafe, Inc. 11,850 279
# Ralcorp Holdings Inc. 18,657 394
Ralston-Ralston Purina Group 46,335 3,400
# Ramtron International Corp. 38,800 235
# Raster Graphics, Inc. 16,600 189
# Rational Software Corp. 17,100 677
Raychem Corp. 19,365 1,552
Raymond Corp. 12,239 213
Raymond James Financial, Inc. 16,850 508
Rayonier Inc. 13,375 513
Raytheon Co. 102,922 4,953
# Read-Rite Corp. 19,931 501
Reader's Digest Assn., Inc.
Class A 45,300 1,823
Reader's Digest Assn., Inc.
Class B 1,500 54
# Reading & Bates Corp. 30,595 811
</TABLE>
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MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C>
Realty Income Corp. 18,000 $ 430
# Recovery Engineering, Inc. 20,400 139
# Reddi Brake Supply Corp. 28,900 5
# Redhook Ale Brewery, Inc. 15,200 148
Redwood Trust, Inc. 9,900 365
Reebok International Ltd. 24,508 1,029
Regal-Beloit Corp. 16,300 320
# Regal Cinemas, Inc. 13,900 426
Regis Corp. 34,794 563
# Regency Health Services, Inc. 24,400 235
Regions Financial Corp. 26,610 1,375
Reinsurance Group of
America, Inc. 7,300 344
Reliable Life Insurance Co.
Class A 2,500 171
Reliance Bancorp, Inc. 14,000 271
Reliance Group Holdings 49,386 451
Reliastar Financial Corp. 15,549 898
# Remedy Corp. 11,400 610
# Renaissance Communications 13,150 470
# Renal Treatment Centers, Inc. 10,400 265
# Republic Industries, Inc. 105,958 3,305
Republic New York Corp. 24,031 1,962
# Research Medical, Inc. 13,190 303
# Resound Corp. 28,800 203
# Retirement Care Associates, Inc. 12,200 101
# Retix 31,809 213
# Revco Drug Stores, Inc. 29,100 1,077
# Revlon, Inc. 8,500 254
# Rexall Sundown, Inc. 14,303 389
# Rexel Inc. 15,800 251
Reynolds & Reynolds Class A 34,600 900
Reynolds Metals Co. 27,274 1,538
# Rhodes Inc. 31,600 245
Rhone-Poulenc Rorer, Inc. 59,452 4,645
Richfood Holdings, Inc. 20,150 489
Riggs National Corp. 27,800 481
# Right Management Consultants 9,500 217
# Rightchoice Managed Care, Inc. 14,800 157
# Rio Hotel and Casino, Inc. 16,100 235
Rite Aid Corp. 52,323 2,080
Roadway Express Inc. 7,358 142
# Robert Half International, Inc. 28,400 976
Rochester Gas and Electric Corp. 15,752 301
# Rochester Medical Corp. 12,550 236
Rockwell International Corp. 93,867 5,714
# Rocky Mountain Chocolate
Factory, Inc. 15,400 93
# Rogers Corp. 10,500 285
Rohm & Haas Co. 28,458 2,323
# Rohr, Inc. 16,500 373
# Rollins Environmental
Services, Inc. 102,674 180
Rollins, Inc. 13,550 271
Rollins Truck Leasing 14,600 184
Roosevelt Financial Group 19,334 404
Roper Industries Inc. 1,364 53
Ross Stores, Inc. 10,806 539
# Ross Technology, Inc. 13,400 44
Rouge Steel Co. Class A 11,500 243
Rouse Co. 24,500 778
# Rowan Cos., Inc. 37,072 839
# Royal Appliance
Manufacturing Co. 71,186 489
Royal Caribbean Cruises, Ltd. 26,400 617
# Royal Grip, Inc. 11,600 33
Rubbermaid, Inc. 64,467 1,467
Ruby Tuesday, Inc. 14,237 263
Ruddick Corp. 28,700 402
Russell Corp. 16,550 492
# Rutherford-Moran Oil Corp. 4,800 133
# Ryan's Family Steak Houses, Inc. 43,315 299
Ryder System, Inc. 34,866 981
# S&K Famous Brands Inc. 6,200 59
SBC Communications Inc. 263,386 13,630
# SCI Systems, Inc. 12,658 566
# SDL, Inc. 14,950 389
SEI Corp. 17,900 395
SJW Corp. 5,800 272
# SLM International, Inc. 11,300 1
# SMC Corp. 21,200 163
# SPS Technologies, Inc. 5,876 378
# SPS Transaction Services 23,200 354
SPX Corp. 12,200 473
# SQA, Inc. 11,200 375
# S3, Inc. 20,500 334
SAFECO Corp. 55,135 2,174
# Safeguard Health Enterprises, Inc. 11,135 196
# Safeguard Scientifics, Inc. 12,594 400
# Safeskin Corp. 10,700 524
Safety-Kleen Corp. 25,209 413
# Safeway, Inc. 94,079 4,022
St. Francis Capital Corp. 11,200 294
St. Joe Corp. 13,100 852
St. John Knits, Inc. 7,100 309
# St. Jude Medical, Inc. 35,359 1,507
St. Mary Land & Exploration Co. 18,728 468
St. Paul Bancorp, Inc. 14,797 434
St. Paul Cos., Inc. 36,682 2,150
# Saks Holdings, Inc. 30,600 826
Salomon, Inc. 45,020 2,122
# Sanchez Computer
Associates Inc. 1,260 10
# SanDisk Corp. 25,900 248
# Sanmina Corp. 7,400 418
Santa Anita Realty Enterprises 19,600 515
# Santa Fe Energy Resources, Inc. 39,262 545
Santa Fe Pacific Gold Corp. 56,138 863
Santa Monica Bank 19,400 330
Sara Lee Corp. 210,897 7,856
# Satcon Technology Corp. 26,893 171
Savannah Foods & Industries, Inc. 25,500 344
Sbarro, Inc. 3,909 100
SCANA Corp. 45,100 1,206
# Henry Schein, Inc. 9,500 326
# R. P. Scherer Corp. 10,174 511
Schering-Plough Corp. 161,281 10,443
Schlumberger Ltd. 106,754 10,662
Schnitzer Steel Industries, Inc.
Class A 4,400 112
# Scholastic Corp. 6,900 461
# Schuler Homes Inc. 23,800 147
</TABLE>
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<CAPTION>
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MARKET
VALUE*
TOTAL STOCK MARKET PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C>
Schuller Corp. 69,000 $ 733
A. Schulman Inc. 14,493 357
Charles Schwab Corp. 76,136 2,436
Schweitzer-Mauduit
International, Inc. 13,037 412
# Sciclone Pharmaceuticals 5,900 48
Scientific-Atlanta, Inc. 33,192 498
# Scientific Games Holdings Corp. 10,500 281
# Scios, Inc. 43,300 267
# Scopus Technology, Inc. 13,400 622
# Scotts Co. 16,700 332
E.W. Scripps Co. 34,576 1,210
Seacoast Banking Corp. of
Florida Class A 9,400 245
# Seagate Technology 95,702 3,780
# Seacor Holdings, Inc. 5,700 358
# Seagull Energy Corp. 27,752 611
# Sealed Air Corp. 18,300 762
Sealright Co. 16,200 173
# Search Capital Group, Inc. 4,825 25
Sears, Roebuck & Co. 170,487 7,864
# Seattle FilmWorks, Inc. 7,900 159
# Secure Computing Corp. 19,700 175
Security Capital Corp. 7,100 522
Security Capital Atlantic Inc. 16,000 392
Security Capital Industrial
Trust REIT 35,283 754
Security Capital Pacific Inc. REIT 30,969 708
Security Connecticut Corp. 2,200 77
# Security Dynamics
Technologies, Inc. 14,600 459
# Security First Network Bank 18,664 198
Sensormatic Electronics Corp. 31,738 532
# Sepracor Inc. 7,700 127
# Sequa Corp. Class A 12,344 485
# Sequana Therapeutics, Inc. 13,400 219
# Sequent Computer Systems, Inc. 28,100 497
# Sequus Pharmaceuticals, Inc. 27,800 443
Service Corp. International 102,456 2,869
# Service Merchandise Co., Inc. 10,550 45
Shared Medical Systems Corp. 10,363 510
Shaw Industries, Inc. 58,200 684
Sherwin-Williams Co. 37,580 2,104
# Shiva Corp. 12,300 427
# Shoe Carnival, Inc. 34,200 184
Shopko Stores, Inc. 23,445 352
# Shoney's Inc. 48,906 342
# Shorewood Packaging 4,700 93
# Show Biz Pizza Time, Inc. 16,300 301
Showboat, Inc. 3,784 65
# Shuffle Master, Inc. 25,217 227
# Siebel Systems, Inc. 14,700 401
Sierra Pacific Resources 13,400 385
# Sierra Semiconductor 25,746 385
Sigma Aldrich Corp. 21,877 1,366
# Signal Technology Corp. 41,653 318
Signet Banking Corp. 25,508 784
SIG Corp. 8,400 291
# Silicon Gaming, Inc. 8,600 138
# Silicon Graphics, Inc. 74,238 1,893
# Silicon Valley Bancshares 4,800 155
# Silicon Valley Research, Inc. 12,100 25
Simmons First National 13,050 346
Simon DeBartolo Group Inc. 41,172 1,276
# Sirco International Corp. 46,300 220
# Sitel Corp. 22,700 322
Sirrom Capital Corp. 13,200 479
Sizzlers Property Investors, Inc. 24,300 234
# Sizzler International 82,325 237
A.O. Smith Corp. 16,400 490
# Smith Technology Corp. 3,600 2
# Smith International, Inc. 17,100 767
# Smithfield Foods, Inc. 10,800 409
Smiths Food & Drug Centers, Inc.
Class B 12,870 399
J.M. Smucker Co. Class A 12,800 226
J.M. Smucker Co. Class B 2,500 40
# Snyder Communications, Inc. 5,200 140
Snap-On Inc. 26,518 945
# Software Spectrum, Inc. 16,100 469
# Sofamor Danek Group Inc. 9,600 293
# Softdesk, Inc. 3,100 47
# Sola International, Inc. 10,200 388
# Solectron Corp. 22,500 1,201
# Solv-Ex Corp. 25,766 364
Sonat, Inc. 36,860 1,898
# Sonic Corp. 13,050 330
Sonoco Products 38,460 995
Sotheby's Holdings Class A 23,800 443
Southdown, Inc. 14,900 464
Southern California Water Co. 11,700 254
Southern Co. 290,823 6,580
Southern National Corp. 46,650 1,691
Southern New England
Telecommunications Corp. 28,200 1,096
# Southern Union Co. 14,419 317
# Southland Corp. 179,200 532
SouthTrust Corp. 40,989 1,429
Southwest Airlines Co. 62,723 1,388
Southwest Bancshares, Inc. 15,474 282
# Southwest Banks, Inc. 1,800 34
Southwest Gas Corp. 21,900 422
Southwestern Energy Co. 21,700 328
Southwestern Public Service Co. 17,100 605
Sovereign Bancorp, Inc. 18,200 238
Sovran Self Storage, Inc. 11,300 353
# Spacelabs Medical 10,939 228
# Spacetec IMC Corp. 17,900 93
# Spaghetti Warehouse, Inc. 4,400 23
Spartan Motors, Inc. 16,900 112
# Specialty Chemical
Resources, Inc. 29,400 44
# Spectran Corp. 11,000 241
# Spectranetics Corp. 26,400 109
# Spectrum Holobyte 41,600 315
# Speedfam International, Inc. 12,200 349
# Speedway Motorsports, Inc. 17,700 372
# Spelling Entertainment 50,100 369
# Spiegel, Inc. Class A 47,100 333
Spieker Properties, Inc. REIT 15,000 540
# Sports & Recreation 30,650 238
# The Sports Authority, Inc. 13,200 287
</TABLE>
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<TABLE>
<CAPTION>
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MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C>
Springs Industries Inc. Class A 8,665 $ 373
Sprint Corp. 187,546 7,478
# Spyglass, Inc. 14,500 180
# Stac, Inc. 35,830 233
# Standard Commercial
Tobacco Co. 12,139 246
Standard Federal Bank 13,100 745
Standard Financial, Inc. 17,300 342
# Standard Microsystem 17,300 162
Standard Motor Products, Inc. 16,400 228
Standard Products Co. 15,200 388
The Standard Register Co. 12,313 400
Stanhome, Inc. 13,100 347
The Stanley Works 38,862 1,049
# Staples, Inc. 69,777 1,260
Star Banc Corp. 12,496 1,148
# Starbucks Corp. 33,900 970
L. S. Starrett Co. Class A 10,800 306
# Starter Corp. 43,600 251
# Starsight Telecast, Inc. 21,800 206
State Auto Financial Corp. 13,350 245
Starwood Lodging Trust REIT 10,700 590
State Street Boston Corp. 34,892 2,251
# Station Casinos, Inc. 4,000 41
# Stein Mart, Inc. 17,950 359
Stepan Co. 2,600 53
Stephan Co. 17,650 227
# Steris Corp. 15,349 669
# Sterling Commerce, Inc. 33,085 1,166
# Sterling Software, Inc. 15,500 490
Stewart & Stevenson
Services, Inc. 14,518 423
Stewart Enterprises, Inc. Class A 15,300 520
Stone Container Corp. 42,413 631
# Stone Energy Corp. 13,800 412
Storage USA, Inc. REIT 9,300 350
Storage Trust Realty REIT 13,900 375
# Storage Technology Corp. 25,855 1,231
# Strategic Distribution, Inc. 48,378 387
# Stratosphere Corp. 75,400 66
# Strattec Strategy Corp. 18,605 344
# Stratus Computer, Inc. 15,700 428
# StreamLogic Corp. 34,100 24
Stride Rite Corp. 41,726 417
# Structural Dynamics
Research Corp. 16,200 321
Stryker Corp. 42,300 1,266
Student Loan Marketing Assn. 25,197 2,346
Student Loan Corp. 6,400 238
# Studio Plus Hotels, Inc. 12,450 198
# Styles on Video, Inc. 12,300 1
# Submicron Systems Corp. 48,900 206
Sullivan Dental Products, Inc. 18,600 241
Sumitomo Bank of California 12,400 319
Summit Bancorp 40,547 1,774
# Summit Care Corp. 7,800 125
# Summit Technology, Inc. 44,800 249
# Sun Coast Industries, Inc. 6,300 17
Sun Communities, Inc. REIT 12,600 435
Sun Co., Inc. 31,714 773
# Sun Microsystems, Inc. 160,904 4,133
# Sunbelt Nursery Group, Inc. 3,500 5
SunAmerica Inc. 51,000 2,263
# Sun Healthcare Group, Inc. 30,700 414
Sunbeam Corp. 35,300 909
Sundstrand Corp. 25,800 1,097
# SunGard Data Systems, Inc. 18,000 718
# Sunglass Hut International, Inc. 21,326 156
# Sunrise Medical, Inc. 19,000 302
SunTrust Banks, Inc. 97,239 4,789
# SuperGen, Inc. 21,000 255
Superior Industries
International, Inc. 11,550 267
Superior Surgical
Manufacturing Co., Inc. 5,600 76
SuperValu Inc. 28,549 810
# Supreme International Corp. 12,800 189
Susquehanna Bancshares, Inc. 11,200 387
# Swift Energy Co. 12,800 382
# Swift Transportation Co., Inc. 7,700 180
# Swing-n-Slide Corp. 25,397 83
# Sybase, Inc. 33,020 551
# Sybron International Corp. 20,496 676
# Sykes Enterprises, Inc. 7,500 277
# Sylvan Learning Systems, Inc. 9,900 280
# Symantec Corp. 23,088 336
# Symbol Technologies, Inc. 11,200 496
# Symmetricom Inc. 18,200 364
# Syms Corp. 20,200 172
# Synagro Technologies Inc. 8,046 20
Synalloy Corp. 6,200 100
# Syncor International Corp. 15,200 206
# Synopsys, Inc. 17,400 800
# Synetic, Inc. 3,800 184
Synovus Financial Corp. 49,950 1,605
Sysco Corp. 78,954 2,576
# System Software Associates, Inc. 12,200 129
# Systemix, Inc. 14,990 227
# TBC Corp. 28,650 218
TCA Cable Television, Inc. 15,800 473
TCF Financial Corp. 14,900 648
# TCI Satellite Entertainment, Inc.
Class A 27,197 270
# TCI Satellite Entertainment, Inc.
Class B 420 5
# TCSI Corp. 15,421 97
TECO Energy, Inc. 50,100 1,209
TIG Holdings, Inc. 24,500 830
TJX Cos., Inc. 31,584 1,496
TNP Enterprises, Inc. 4,300 118
# T.P.I. Enterprises, Inc. 31,100 3
# TRO Learning, Inc. 16,500 182
TRW, Inc. 55,406 2,743
# TST Impreso, Inc. 32,800 279
Talbots Inc. 13,500 386
Tambrands, Inc. 15,823 647
# Tandem Computers, Inc. 49,730 684
Tandy Corp. 25,498 1,122
Tanger Factory Outlet Centers, Inc. 12,411 337
# Target Therapeutics, Inc. 12,956 543
Taubman Co. REIT 35,600 458
# Team Rental Group, Inc. 16,700 271
</TABLE>
41
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<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
MARKET
VALUE*
TOTAL STOCK MARKET PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C>
# Tech Data Corp. 18,522 $ 507
Tech/Ops Sevcon, Inc. 5,000 64
# Tech-Sym Corp. 10,002 298
# Techne 600 15
# Technical Chemicals and
Products, Inc. 5,500 49
# Technology Solutions Co. 13,078 539
# Tecnol Medical Products Inc. 5,000 75
Tecumseh Products Co. Class A 9,400 539
# Telco Systems, Inc. 5,100 98
# Tejas Gas Corp. 8,870 422
Tektronix, Inc. 14,120 724
# Tel-Save Holdings, Inc. 12,650 366
# Tele-Communications
International, Inc. Series A 46,000 618
# Tele-Communications, Inc.
Class A 281,170 3,673
# Tele-Communications, Inc.
Class B 4,200 57
Teleflex Inc. 7,563 394
Telephone & Data Systems, Inc. 25,800 935
# Tellabs, Inc. 77,888 2,935
Telxon Corp. 7,900 98
# Telular Corp. 46,600 253
Temple-Inland Inc. 23,726 1,284
# Teletech Holdings Inc. 24,300 623
# Tencor Instruments 21,100 558
# Tenet Healthcare Corp. 92,872 2,032
Tenneco, Inc. 73,235 3,305
# Teradyne, Inc. 36,129 881
Terra Industries, Inc. 34,750 513
Texaco Inc. 114,836 11,268
Texas Industries, Inc. 5,900 299
Texas Instruments, Inc. 82,151 5,237
Texas Regional Bancshares, Inc. 8,900 305
Texas Utilities Co. 96,810 3,945
Textron, Inc. 35,006 3,299
# Theragenics Corp. 41,442 932
# Thermo Electron Corp. 61,662 2,544
# Thermo Instrument Systems, Inc. 41,518 1,375
# Thermo Cardiosystems Inc. 15,750 473
# Thermo Ecotek Corp. 16,950 258
# Thermo Fibertek, Inc. 45,825 427
Thermo Remediation, Inc. 16,400 144
# Thermo TerraTech, Inc. 600 6
# Thermo VolTek 27,450 271
# ThermoLase Corp. 18,200 287
# ThermoTrex Corp. 7,700 211
# Thermedics, Inc. 15,950 289
Thiokol Corp. 7,800 349
Thomas & Betts Corp. 17,327 769
# Thompson PBE, Inc. 18,900 116
Thor Industries, Inc. 12,300 310
Thornburg Mortgage Asset Corp. 21,700 464
# 3 Com Corp. 73,793 5,410
# 360 Communications Co. 53,949 1,247
Tidewater, Inc. 26,300 1,190
Tiffany & Co. 14,868 544
Timberline Software Corp. 50,032 441
Time Warner, Inc. 245,653 9,212
Times Mirror Co. Class A 45,216 2,250
Times Mirror Co. 20,009 1,033
The Timken Co. 13,545 621
Titan Wheel International, Inc. 16,450 210
# Titanium Metals Corp. 13,100 429
Toastmaster, Inc. 10,300 39
# Today's Man Inc. 38,300 61
# Todd Shipyards Corp. 48,747 317
# Todhunter International, Inc. 19,300 164
# Toll Brothers, Inc. 24,300 474
Tootsie Roll Industries, Inc. 9,247 366
# The Topps Co., Inc. 39,197 159
Torch Energy Royalty Trust 22,100 237
Torchmark Corp. 30,698 1,550
The Toro Co. 10,800 394
Tosco Corp. 18,886 1,494
Total Petroleum
(North America) Ltd. 36,000 373
# Total Renal Care Holdings, Inc. 11,100 402
# Total-Tel USA
Communications, Inc. 2,640 48
Total System Services, Inc. 55,424 1,489
Town & Country Trust REIT 22,400 328
# Toy Biz 7,800 152
# Toys R Us, Inc. 117,962 3,539
# Tractor Supply Co. 2,200 45
# Trak Auto Corp. 17,500 255
# Trans World Airlines 32,997 225
# Transaction Systems
Architects, Inc. 9,500 313
Transamerica Corp. 28,707 2,268
Transatlantic Holdings 9,800 789
# Transitional Hospital Corp. 41,010 395
Transocean Offshore Inc. 22,200 1,390
TransPro Inc. 25,725 235
# TransTexas Gas Corp. 32,700 466
# Transworld Home
Healthcare, Inc. 32,226 350
Travelers/Aetna Property
Casualty Corp. Class A 30,400 1,075
Travelers Group Inc. 275,912 12,519
Tredegar Industries Inc. 6,600 265
# Tremont Corp. 8,046 291
Trenwick Group Inc. 5,600 260
# Triangle Pacific Corp. 3,100 74
# Triad Guaranty, Inc. 10,350 290
# Triarc Cos., Inc. Class A 5,700 65
Tribune Co. 26,497 2,090
Trimas Corp. 15,700 375
# Trimble Navigation Ltd. 16,100 186
Trinity Industries, Inc. 18,250 684
Trinova Corp. 11,833 430
# Triquint Semiconductor, Inc. 2,700 71
Triton Energy Ltd. Class A 10,300 499
True North Communications 5,000 109
# Trump Hotels & Casino
Resorts, Inc. 9,400 113
The Trust Co. of New Jersey 19,500 274
Trustco Bank 17,520 373
Trustmark Corp. 15,700 406
# Tucson Electric Power Co. 24,780 412
# Tuesday Morning, Inc. 15,498 331
</TABLE>
42
<PAGE> 91
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C>
Tupperware Corp. 27,182 $ 1,458
20th Century Industries of CA 22,300 376
Tyco International Ltd. 66,068 3,493
# Tyco Toys, Inc. 47,300 556
# Tyler Corp. 108,700 204
Tyson Foods, Inc. 63,346 2,170
# UAL Corp. 25,180 1,574
# UCAR International, Inc. 20,200 760
UGI Corp. Holding Co. 14,200 318
# UICI 19,000 614
UMB Financial Corp. 8,523 350
UNR Industries, Inc. 38,000 226
UNUM Corp. 31,427 2,271
# URS Corp. 24,700 222
UST Corp. 21,000 430
UST Inc. 81,246 2,630
# USA Waste Service 55,465 1,768
# United States Can Co. 14,909 251
USF&G Corp. 51,283 1,070
# USG Corp. 19,500 661
USX-Delhi Group 17,600 279
USX-Marathon Group 124,946 2,983
USX-U.S. Steel Group 35,987 1,129
# U.S. Robotics Corp. 38,581 2,780
# Ultrafem, Inc. 15,267 263
Ultramar Diamond
Shamrock Corp. 31,636 1,000
# Ultratech Stepper, Inc. 16,100 380
Unifi, Inc. 27,750 891
Unifirst Corp. 17,400 370
Uniforce Services Inc. 9,200 179
# Unigene 28,300 57
# Unilab Corp. 19,400 8
Unicom Corp. 92,309 2,504
Union Camp Corp. 29,829 1,424
Union Carbide Corp. 56,346 2,303
Union Electric Co. 43,872 1,689
Union Pacific Corp. 104,997 6,313
Union Pacific Resources
Group, Inc. 107,658 3,149
Union Planters Corp. 26,980 1,052
Union Texas Petroleum
Holdings, Inc. 37,300 834
UnionBanCal Corp. 19,700 1,046
# Uniphase Corp. 7,100 374
# Uniroyal Technology Corp. 1,000 3
# Unisys Corp. 76,980 520
United Asset Management Corp. 26,100 695
United Carolina Bancshare Corp. 10,700 421
United Cos. Finance Corp. 12,117 323
# United Capital Corp. 24,900 218
United Dominion Industries Ltd. 19,900 468
United Dominion Realty Trust REIT 24,300 377
United Healthcare Corp. 79,446 3,575
United Illuminating Co. 10,100 317
# United International Holdings,
Inc. Class A 2,000 24
# United Meridian Corp. 14,600 755
United Mobile Homes, Inc. 19,100 217
United National Bancorp 4,982 182
# United Payors & United
Providers, Inc. 5,000 68
U.S. Bancorp 67,519 3,034
# U.S. Bioscience 24,487 309
# U.S. Energy Corp. 13,160 131
# U.S. Filter Corp. 22,484 714
# USAir Group, Inc. 27,463 642
# U.S. Long Distance Corp. 15,564 126
# U.S. Home Corp. 13,200 343
# U.S. Industries, Inc. 22,000 756
# US Office Products Co. 17,400 590
U S WEST Communications
Group 205,901 6,640
# U S WEST Media Group 269,264 4,981
# United States Cellular 36,900 1,028
# United States Satellite
Broadcasting Co., Inc. Class A 39,300 388
United States Surgical Corp. 26,665 1,050
United States Trust Corp. 7,551 595
United Technologies Corp. 106,418 7,023
United Television, Inc. 5,500 481
# United Waste Systems, Inc. 15,800 542
United Wisconsin Services Inc. 12,400 325
Unitrin Inc. 16,100 902
# Unitrode Corp. 13,411 394
Universal Corp. 15,000 482
# Universal Electronics, Inc. 18,400 103
Universal Foods Corp. 11,013 388
# Universal Health Services
Class B 14,600 418
Unocal Corp. 107,217 4,356
# Uranium Resources, Inc. 13,132 102
Urban Shopping Centers,
Inc. REIT 14,800 429
# UROHEALTH Systems, Inc.
Class A 16,271 126
# Urocor, Inc. 12,300 118
US Bancorp, Inc. 6,200 261
# USDATA Corp., Inc. 21,803 128
USLIFE Corp. 14,816 493
Utilicorp United, Inc. 22,600 610
VF Corp. 27,344 1,846
# VLSI Technology, Inc. 20,100 477
# VWR Scientific Products Corp. 19,600 338
# Vaalco Energy, Inc. 46,500 13
# Valassis Communication 19,000 401
Valhi, Inc. 43,600 278
# Valence Technology 9,000 39
Valero Energy Corp. 18,800 538
Valley National Bancorp 14,944 383
# ValuJet Inc. 14,500 92
Valspar Corp. 9,500 538
# Value City Department Stores, Inc. 32,500 341
# Value Health, Inc. 23,372 456
Value Line, Inc. 5,900 268
# Vanguard Cellular Systems, Inc.
Class A 17,613 275
# Vanstar Corp. 17,700 434
# Vantive Corp. 10,100 314
# Varco International, Inc. 21,572 499
Varian Associates, Inc. 13,000 661
Vastar Resources, Inc. 41,600 1,581
# Vencor, Inc. 29,863 944
# Venture Stores, Inc. 70,663 212
</TABLE>
43
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<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
MARKET
VALUE*
TOTAL STOCK MARKET PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C>
# VeriFone, Inc. 10,200 $ 301
# Verity, Inc. 21,800 332
# Versant Object Technology Corp. 8,200 154
Vesta Insurance Group, Inc. 7,000 220
# Veterinary Centers of
America, Inc. 22,160 241
# Viacom International Inc. Class A 4,953 171
# Viacom International Inc. Class B 149,318 5,207
Viad Corp. 40,363 666
# Viasoft, Inc. 7,448 353
# Vicor Corp. 18,319 306
# Vicorp Restaurants, Inc. 16,500 212
# Video Lottery 14,400 49
# Viewlogic Systems, Inc. 25,391 284
# Viking Office Products 36,400 971
# Videoserver, Inc. 9,900 418
# VideoLan Technologies, Inc. 14,800 24
Vintage Petroleum, Inc. 19,100 659
Virginia Beach Federal
Financial Corp. 10,200 97
# Vishay Intertechnology, Inc. 26,211 613
# Visix Space Inc. 15,271 341
# Vitesse Semiconductor Corp. 9,800 446
# Vivra, Inc. 17,000 470
# Vmark Software, Inc. 42,414 318
# Volt Information Sciences Inc. 8,200 356
# Vons Cos., Inc. 18,900 1,132
Vornado Realty Trust REIT 10,600 556
Vulcan Materials Co. 14,890 906
# WFS Financial, Inc. 18,650 364
# WHX Corp. 23,300 207
WICOR, Inc. 10,500 377
# WMS Industries, Inc. 16,700 334
WMX Technologies Inc. 213,945 6,980
WPL Holdings, Inc. 13,200 371
WPS Resources Corp. 9,021 257
# WRT Energy Corp. 28,200 1
# WSFS Financial Corp. 25,700 263
# Waban, Inc. 14,100 367
Wabash National Corp. 10,450 192
Wachovia Corp. 72,687 4,107
Wackenhut Corp. 10,092 174
Wackenhut Corp. Class B 6,350 97
# Wackenhut Corrections Corp. 11,300 226
# Wahlco Environmental 38,500 14
Wainwright Bank & Trust Co. 4,600 31
Wal-Mart Stores, Inc. 995,384 22,769
Walbro Corp. 12,800 235
Walgreen Co. 107,080 4,283
# Walker Interactive Systems, Inc. 29,800 404
# Wall Data Inc. 16,396 246
Wallace Computer Services, Inc. 19,600 676
# Wang Laboratories, Inc. 15,300 312
Warnaco Group 22,253 659
Warner-Lambert Co. 118,117 8,859
Washington Energy Co. 19,300 398
Washington Federal Inc. 16,368 430
Washington Gas Light Corp. 18,798 425
Washington Mutual Inc. 31,591 1,368
Washington National Corp. 6,500 179
Washington Post Co. Class B 4,700 1,575
Washington REIT 25,700 450
Washington Water Power Co. 23,000 428
# Waters Corp. 12,400 377
Watkins-Johnson Co. 9,100 223
# Watson Pharmaceuticals, Inc. 16,014 720
Watts Industries Class A 17,000 406
Wausau Paper Mills Co. 16,200 299
Waverly, Inc. 6,518 156
# Weatherford Enterra Inc. 25,654 770
# Webco Industries, Inc. 18,800 99
Weeks Corp. REIT 11,000 366
Weingarten Realty Investors REIT 10,900 443
# Weirton Steel 56,800 199
Weis Markets, Inc. 18,100 577
# Wellcare Management
Group, Inc. 16,100 129
Wellman, Inc. 17,945 307
# Wellpoint Health Networks Inc.
Class A 28,235 970
Wells Fargo & Co. 41,207 11,115
Wellsford Residential Property
Trust REIT 17,800 432
Wendy's International, Inc. 54,697 1,121
Werner Enterprises, Inc. 16,800 305
Westbanco Inc. 3,300 106
Wesco Financial Corp. 3,342 625
# Western Atlas Inc. 23,138 1,640
Westcorp, Inc. 19,507 427
# Western Digital Corp. 18,700 1,064
Western Gas Resources, Inc. 7,800 150
Western Investment Real Estate
Trust REIT 7,300 95
Western National Corp. 26,700 514
Western Resources, Inc. 27,100 837
# Western Wireless Corp. 16,300 225
Westinghouse Air Brake Co. 19,000 240
Westinghouse Electric Corp. 180,419 3,586
# Westpoint Stevens, Inc. 12,743 379
Westvaco Corp. 43,447 1,249
# Westwood One, Inc. 24,100 399
# WetSeal, Inc. Class A 16,200 343
Weyerhaeuser Co. 85,785 4,064
Wheelabrator Technologies, Inc. 69,462 1,129
Whirlpool Corp. 31,744 1,480
# White River 8,842 504
Whitman Corp. 46,025 1,053
Whitney Holdings 7,370 258
# Whole Foods Market, Inc. 16,200 361
Willamette Industries, Inc. 23,382 1,628
Williams Cos., Inc. 67,625 2,536
# Clayton Williams Energy, Inc. 20,000 350
# Williams Sonoma, Inc. 19,308 700
Wilmington Trust Corp. 15,700 624
# Wind River Systems 10,459 493
Windmere-Durable Holdings Inc. 18,399 237
Winn Dixie Stores, Inc. 65,375 2,067
# Wireless One, Inc. 2,700 18
# Wisconsin Central
Transportation Corp. 22,300 884
Wisconsin Energy Corp. 47,938 1,288
Wiser Oil Co. 14,900 294
</TABLE>
44
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<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C>
Witco Chemical Corp. 24,200 $ 738
Wolohan Lumber Co. 28,078 356
Wolverine World Wide, Inc. 17,847 517
# Wonderware Corp. 17,300 155
# Woolworth Corp. 57,492 1,258
# World Acceptance Corp. 37,800 250
# World Color Press, Inc. 13,500 260
World Fuel Services Corp. 12,941 288
# WorldCom, Inc. 169,612 4,420
Worthington Foods 7,066 132
Worthington Industries, Inc. 39,089 711
# World Corp. 36,600 160
Wrigley, (Wm.) Jr. Co. 50,788 2,857
Wyle Electronics 9,800 387
# Wyman Gordon Corp. 28,100 623
X-Rite Inc. 12,700 213
# Xoma Corp. 41,956 218
# Xilinx, Inc. 31,600 1,163
Xerox Corp. 140,733 7,406
Xtra Corp. 8,100 351
# Xylan Corp. 17,800 501
# Yellow Corp. 27,347 397
York International Corp. 18,600 1,039
# York Research Corp. 11,300 106
# Young Broadcasting Corp. 7,400 217
# Zale Corp. 14,800 284
# Zebra Technologies Class A 10,500 243
# Zenith Electronics Corp. 28,182 306
Zenith National Insurance Corp. 14,100 386
Ziegler Cos., Inc. 2,800 49
# Zilog Inc. 17,700 462
Zions Bancorp 6,372 661
# Zoltek Cos., Inc. 16,200 588
Zurich Reinsurance Centre
Holdings, Inc. 10,700 334
Zurn Industries, Inc. 13,200 345
# Zycad Corp. 40,612 69
# Zoll Medical Corp. 31,700 329
- -----------------------------------------------------------------------
TOTAL COMMON STOCKS (96.1%)(1)
(COST $2,648,885) 3,393,773
- -----------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT
(000)
- -----------------------------------------------------------------------
TEMPORARY CASH INVESTMENTS (3.3%)
- -----------------------------------------------------------------------
<S> <C> <C>
U.S. TREASURY BILL--Note D
5.17%, 1/9/97 $ 4,600 4,596
REPURCHASE AGREEMENT
Collateralized by U.S. Government
Obligations in a Pooled
Cash Account
6.39%, 1/2/97 110,962 110,962
- -----------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(COST $115,557) 115,558
- -----------------------------------------------------------------------
TOTAL INVESTMENTS (99.4%)
(COST $2,764,442) $3,509,331
- -----------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (0.6%)
- -----------------------------------------------------------------------
Other Assets--Notes B and E 99,258
Liabilities--Note E (77,733)
----------
21,525
- -----------------------------------------------------------------------
NET ASSETS (100%)
- -----------------------------------------------------------------------
Applicable to 198,663,136 outstanding
shares of beneficial interest
(unlimited authorization) $3,530,856
=======================================================================
NET ASSET VALUE PER SHARE $17.77
=======================================================================
</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, and S&P Midcap 400 Index futures contracts represents 100.0% of
net assets.
ADR--American Depository Receipt.
REIT--Real Estate Investment Trust.
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
AT DECEMBER 31, 1996, NET ASSETS CONSISTED OF:
- -----------------------------------------------------------------------
AMOUNT PER
(000) SHARE
- -----------------------------------------------------------------------
<S> <C> <C>
Paid in Capital--Note A $2,776,906 $13.98
Undistributed Net Investment
Income--Notes A and C 92 --
Accumulated Net
Realized Gains--Note C 8,749 .04
Unrealized Appreciation--Note D
Investment Securities 744,889 3.75
Futures Contracts 220 --
- -----------------------------------------------------------------------
NET ASSETS $3,530,856 $17.77
=======================================================================
</TABLE>
45
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<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
MARKET
VALUE*
GROWTH PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------
COMMON STOCKS
- -----------------------------------------------------------------------
<S> <C> <C>
General Electric Co. 440,704 $ 43,575
The Coca-Cola Co. 666,051 35,051
Intel Corp. 219,664 28,749
# Microsoft Corp. 319,962 26,437
Merck & Co., Inc. 322,669 25,572
Philip Morris Cos., Inc. 218,007 24,553
Procter & Gamble Co. 182,557 19,625
Johnson & Johnson 356,450 17,733
Bristol-Myers Squibb Co. 134,073 14,580
Pfizer, Inc. 172,529 14,298
E.I. du Pont de Nemours & Co. 150,660 14,219
Wal-Mart Stores, Inc. 613,967 14,045
Hewlett-Packard Co. 272,165 13,676
American International
Group, Inc. 125,726 13,610
The Walt Disney Co. 181,581 12,643
PepsiCo, Inc. 415,815 12,163
GTE Corp. 257,454 11,714
Gillette Co. 144,128 11,206
# Cisco Systems, Inc. 173,762 11,056
Federal National Mortgage Assn. 292,200 10,884
Eli Lilly & Co. 147,737 10,785
Abbott Laboratories 207,985 10,555
Chase Manhattan Corp. 117,400 10,478
American Home Products Corp. 170,937 10,021
Minnesota Mining &
Manufacturing Co. 111,847 9,269
McDonald's Corp. 186,712 8,449
SBC Communications Inc. 161,593 8,362
Lucent Technologies, Inc. 170,425 7,882
Unilever NV ADR 42,867 7,512
# Oracle Corp. 175,972 7,325
Kimberly-Clark Corp. 75,623 7,203
Eastman Kodak Co. 89,235 7,161
Wells Fargo & Co. 24,774 6,683
Schlumberger Ltd. 65,953 6,587
Home Depot, Inc. 128,600 6,446
Schering-Plough Corp. 98,840 6,400
Monsanto Co. 157,373 6,118
Emerson Electric Co. 60,049 5,810
Time Warner, Inc. 152,234 5,709
Warner-Lambert Co. 72,576 5,443
# Compaq Computer Corp. 72,500 5,383
Anheuser-Busch Cos., Inc. 133,637 5,345
AT&T Corp. 118,472 5,154
AlliedSignal Inc. 75,700 5,072
Campbell Soup Co. 62,565 5,021
Computer Associates
International, Inc. 97,611 4,856
Sara Lee Corp. 129,521 4,825
Nike, Inc. Class B 77,108 4,607
First Data Corp. 119,808 4,373
Medtronic, Inc. 64,136 4,361
Northern Telecom Ltd. 69,207 4,282
United Technologies Corp. 64,300 4,244
Pacific Telesis Group 114,619 4,212
# Amgen, Inc. 70,781 3,849
Kellogg Co. 56,411 3,702
Colgate-Palmolive Co. 39,293 3,625
H.J. Heinz Co. 98,390 3,517
# 3 Com Corp. 46,516 3,407
Westinghouse Electric Corp. 167,845 3,336
Automatic Data Processing, Inc. 77,702 3,331
ConAgra, Inc. 64,411 3,204
# WorldCom, Inc. 119,958 3,119
CoreStates Financial Corp. 59,630 3,093
CPC International, Inc. 38,490 2,983
Enron Corp. 68,100 2,937
# Boston Scientific Corp. 47,587 2,855
Corning, Inc. 61,604 2,849
Gannett Co., Inc. 37,778 2,829
PPG Industries, Inc. 49,055 2,753
Unocal Corp. 67,000 2,722
General Mills, Inc. 41,958 2,659
Illinois Tool Works, Inc. 33,195 2,651
Walgreen Co. 65,883 2,635
# Dell Computer 48,178 2,559
# Sun Microsystems, Inc. 98,326 2,520
# CUC International, Inc. 105,314 2,501
MBNA Corp. 59,594 2,473
First Bank System, Inc. 36,012 2,458
Ameritech Corp. 40,200 2,437
Albertson's, Inc. 67,503 2,405
The Gap, Inc. 75,914 2,287
Dayton-Hudson Corp. 58,152 2,282
Honeywell, Inc. 33,900 2,229
Tyco International Ltd. 41,872 2,214
Pitney Bowes, Inc. 39,700 2,164
Ralston-Ralston Purina Group 28,381 2,082
# EMC Corp. 62,299 2,064
# HFS Inc. 34,474 2,060
Avon Products, Inc. 35,574 2,032
Mattel, Inc. 72,765 2,019
Halliburton Co. 33,468 2,016
Marsh & McLennan Cos., Inc. 19,239 2,001
Union Pacific Resources
Group, Inc. 66,838 1,955
Praxair, Inc. 41,880 1,932
Marriott International 34,266 1,893
Crown Cork & Seal Co., Inc. 34,357 1,868
# Tellabs, Inc. 48,084 1,809
Alco Standard Corp. 34,950 1,804
Hershey Foods Corp. 41,068 1,797
# MFS Communications Co., Inc. 32,900 1,785
Wrigley, (Wm.) Jr. Co. 31,109 1,750
Hilton Hotels Corp. 66,148 1,728
# Computer Sciences Corp. 20,340 1,670
Lowe's Cos., Inc. 46,200 1,640
UST Inc. 49,776 1,612
# The Kroger Co. 33,886 1,576
Sysco Corp. 47,865 1,562
Pioneer Hi Bred International 22,015 1,541
Dover Corp. 30,138 1,514
</TABLE>
46
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<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C>
Cognizant Corp. 45,877 $ 1,514
Green Tree Financial Corp. 37,025 1,430
Freeport-McMoRan Copper &
Gold Inc. Class B 47,724 1,426
Fluor Corp. 22,406 1,406
Placer Dome, Inc. 64,072 1,394
# Cabletron Systems, Inc. 41,876 1,392
The Clorox Co. 13,835 1,389
The Quaker Oats Co. 36,256 1,382
Newell Co. 42,375 1,335
International Flavors &
Fragrances, Inc. 29,624 1,333
Sears, Roebuck & Co. 28,646 1,321
Times Mirror Co. Class A 26,500 1,318
Tribune Co. 16,466 1,299
Sherwin-Williams Co. 23,000 1,288
Winn Dixie Stores, Inc. 40,513 1,281
Sprint Corp. 31,411 1,253
Xerox Corp. 23,677 1,246
The McGraw-Hill Cos. 26,586 1,226
Newmont Mining Corp. 26,676 1,194
Hercules, Inc. 27,430 1,186
Guidant Corp. 19,900 1,134
# Bay Networks Inc. 52,049 1,087
Allegheny Teledyne Inc. 46,700 1,074
Comcast Corp. Class A Special 59,649 1,059
Interpublic Group of Cos., Inc. 21,598 1,026
Avery Dennison Corp. 28,038 992
TJX Cos., Inc. 20,748 983
Raychem Corp. 11,846 949
# AirTouch Communications, Inc. 36,875 931
Tupperware Corp. 16,700 896
Harcourt General, Inc. 19,048 879
# Andrew Corp. 16,003 848
Sigma Aldrich Corp. 13,400 836
# General Instrument Corp. 36,826 796
Pall Corp. 30,965 790
Barrick Gold Corp. 26,265 755
# Ceridian Corp. 18,463 748
# Seagate Technology 17,672 698
# Oryx Energy Co. 27,938 691
Perkin-Elmer Corp. 11,625 684
Nalco Chemical Co. 18,000 650
Ecolab, Inc. 17,114 644
# AutoZone, Inc. 23,100 635
Harnischfeger Industries Inc. 13,100 630
# Tele-Communications, Inc.
Class A 48,143 626
Reebok International Ltd. 14,900 626
Owens Corning 13,859 591
# ALZA Corp. 22,548 583
# Thermo Electron Corp. 12,600 520
# Rowan Cos., Inc. 22,900 518
Comcast Corp. Class A 27,755 489
Millipore Corp. 11,650 482
Battle Mountain Gold Co. Class A 60,100 413
Frontier Corp. 17,500 396
Becton, Dickinson & Co. 9,069 393
Foster Wheeler Corp. 10,460 388
# USAir Group, Inc. 16,479 385
Meredith Corp. 7,206 380
# Santa Fe Energy Resources, Inc. 24,300 337
W.R. Grace & Co. 6,495 336
MGIC Investment Corp. 4,296 327
Shared Medical Systems Corp. 6,019 296
The Dun & Bradstreet Corp. 12,277 292
Trinova Corp. 7,302 266
John H. Harland Co. 7,894 261
Rubbermaid, Inc. 11,052 251
# St. Jude Medical, Inc. 5,814 248
Southwest Airlines Co. 10,500 232
Duracell International, Inc. 3,200 224
Jostens Inc. 10,300 218
H & R Block, Inc. 7,416 215
Engelhard Corp. 10,369 198
Deluxe Corp. 5,915 194
The Stanley Works 6,393 173
# TCI Satellite Entertainment, Inc.
Class A 17,364 171
Whitman Corp. 7,482 171
Allergan, Inc. 4,626 165
Homestake Mining Co. 10,593 151
# Harrah's Entertainment, Inc. 7,411 147
Pep Boys (Manny, Moe & Jack) 4,485 138
# Armco, Inc. 28,631 118
Freeport-McMoRan Copper &
Gold Inc. Class A 4,000 113
Autodesk, Inc. 3,241 91
# Shoney's Inc. 953 7
# Fresenius Medical Care AG
Pfd. Class D 21,100 3
- -----------------------------------------------------------------------
TOTAL COMMON STOCKS (99.8%)
(COST $640,839) 784,778
- -----------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT
(000)
- -----------------------------------------------------------------------
TEMPORARY CASH INVESTMENTS (0.3%)
- -----------------------------------------------------------------------
<S> <C> <C>
U.S. TREASURY BILL
5.17%, 1/9/97 $ 100 100
REPURCHASE AGREEMENT
Collateralized by U.S. Government
Obligations in a Pooled
Cash Account
6.39%, 1/2/97 2,432 2,432
- -----------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(COST $2,532) 2,532
- -----------------------------------------------------------------------
TOTAL INVESTMENTS (100.1%)
(COST $643,371) 787,310
- -----------------------------------------------------------------------
</TABLE>
47
<PAGE> 96
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
MARKET
VALUE*
GROWTH PORTFOLIO (000)
- -----------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-0.1%)
- -----------------------------------------------------------------------
<S> <C>
Receivables for Investment Securities Sold $ 58,090
Other Assets--Note B 5,964
Payables for Investment Securities Purchased (63,330)
Other Liabilities (1,130)
----------
(406)
- -----------------------------------------------------------------------
NET ASSETS (100%)
=======================================================================
Applicable to 46,551,584 outstanding
shares of beneficial interest
(unlimited authorization) $786,904
=======================================================================
NET ASSET VALUE PER SHARE $16.90
=======================================================================
</TABLE>
*See Note A in Notes to Financial Statements.
#Non-Income Producing Security.
ADR--American Depository Receipt.
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
AMOUNT PER
(000) SHARE
- -----------------------------------------------------------------------
AT DECEMBER 31, 1996, NET ASSETS CONSISTED OF:
- -----------------------------------------------------------------------
<S> <C> <C>
Paid in Capital--Notes A and C $644,969 $13.85
Undistributed Net Investment
Income--Notes A and C 48 --
Accumulated Net
Realized Losses--Note C (2,052) (.04)
Unrealized Appreciation--
Note D 143,939 3.09
- -----------------------------------------------------------------------
NET ASSETS $786,904 $16.90
=======================================================================
</TABLE>
48
<PAGE> 97
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
MARKET
VALUE*
VALUE PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------
COMMON STOCKS
- -----------------------------------------------------------------------
<S> <C> <C>
Exxon Corp. 456,906 $ 44,777
Royal Dutch Petroleum Co. ADR 197,233 33,677
International Business
Machines Corp. 190,400 28,750
AT&T Corp. 477,328 20,764
Citicorp 173,271 17,847
Mobil Corp. 144,916 17,716
Chevron Corp. 240,080 15,605
General Motors Corp. 278,167 15,508
BellSouth Corp. 365,482 14,756
Amoco Corp. 182,918 14,725
The Boeing Co. 131,844 14,025
Ford Motor Co. 436,139 13,902
Motorola, Inc. 218,112 13,387
BankAmerica Corp. 132,034 13,170
Travelers Group Inc. 235,648 10,693
Bell Atlantic Corp. 161,084 10,430
NationsBank Corp. 105,827 10,345
Columbia/HCA Healthcare Corp. 246,974 10,064
American Express Co. 174,322 9,849
Ameritech Corp. 161,800 9,809
Texaco Inc. 97,343 9,552
Allstate Corp. 163,632 9,470
Chrysler Corp. 268,100 8,847
MCI Communications Corp. 252,037 8,223
Atlantic Richfield Co. 59,206 7,845
NYNEX Corp. 161,893 7,791
First Union Corp. 104,401 7,726
Pharmacia & Upjohn, Inc. 187,123 7,415
Federal Home Loan
Mortgage Corp. 65,831 7,250
Dow Chemical Co. 89,476 7,013
Banc One Corp. 158,009 6,794
J.P. Morgan & Co., Inc. 68,639 6,701
Lockheed Martin Corp. 70,761 6,475
First Chicago NBD Corp. 117,408 6,311
Norwest Corp. 136,331 5,930
WMX Technologies Inc. 178,087 5,810
U S WEST Communications
Group 175,869 5,672
Southern Co. 248,099 5,613
Union Pacific Corp. 89,900 5,405
Sears, Roebuck & Co. 115,354 5,321
The Seagram Co. Ltd. 136,931 5,306
Caterpillar, Inc. 70,488 5,304
Sprint Corp. 126,889 5,060
Xerox Corp. 95,623 5,032
McDonnell Douglas Corp. 78,021 4,993
Merrill Lynch & Co., Inc. 61,185 4,987
Rockwell International Corp. 80,468 4,898
The Bank of New York Co., Inc. 144,376 4,873
Burlington Northern Santa
Fe Corp. 56,335 4,866
Fleet Financial Group, Inc. 96,574 4,817
General Re Corp. 30,371 4,791
PNC Bank Corp. 125,466 4,721
# Viacom International Inc. Class B 129,483 4,516
International Paper Co. 110,494 4,461
Texas Instruments, Inc. 69,900 4,456
Aetna Inc. 55,515 4,441
Archer-Daniels-Midland Co. 199,678 4,393
May Department Stores Co. 92,418 4,321
Phillips Petroleum Co. 96,928 4,289
# U S WEST Media Group 229,271 4,242
KeyCorp 83,549 4,219
Raytheon Co. 86,877 4,181
J.C. Penney Co., Inc. 84,969 4,142
Baxter International, Inc. 100,142 4,106
Aluminum Co. of America 63,651 4,058
SunTrust Banks, Inc. 82,076 4,042
Norfolk Southern Corp. 46,075 4,032
Loews Corp. 42,375 3,994
Dean Witter Discover & Co. 59,597 3,948
Deere & Co. 95,078 3,863
CIGNA Corp. 27,638 3,776
# AirTouch Communications, Inc. 147,525 3,725
Boatmen's Bancshares, Inc. 56,917 3,664
National City Corp. 81,610 3,662
Bank of Boston Corp. 56,134 3,607
Weyerhaeuser Co. 72,810 3,449
The Chubb Corp. 63,899 3,435
Wachovia Corp. 60,684 3,429
Duke Power Co. 74,123 3,428
Mellon Bank Corp. 47,642 3,383
CSX Corp. 79,719 3,368
Texas Utilities Co. 82,398 3,358
Household International, Inc. 35,531 3,278
Morgan Stanley Group, Inc. 55,939 3,196
Pacific Gas & Electric Co. 151,283 3,177
Edison International 158,997 3,160
American Brands, Inc. 62,444 3,099
AMP, Inc. 80,589 3,093
FPL Group, Inc. 67,192 3,091
American General Corp. 74,819 3,058
United Healthcare Corp. 67,521 3,038
# Toys R Us, Inc. 100,690 3,021
Barrick Gold Corp. 105,035 3,020
# AMR Corp. 33,434 2,946
Barnett Banks, Inc. 71,596 2,944
Conrail, Inc. 29,486 2,938
The Goodyear Tire & Rubber Co. 57,017 2,929
ITT Hartford Group, Inc. 43,185 2,915
Textron, Inc. 30,365 2,862
American Electric Power Co., Inc. 68,944 2,835
Tenneco, Inc. 62,769 2,832
Air Products & Chemicals, Inc. 40,864 2,825
Occidental Petroleum Corp. 120,730 2,822
# Seagate Technology 70,928 2,802
Alcan Aluminium Ltd. 82,998 2,791
# Federated Department Stores 76,433 2,608
Bankers Trust New York Corp. 30,077 2,594
Dominion Resources, Inc. 66,148 2,547
Consolidated Edison Co. of
New York, Inc. 86,409 2,527
USX-Marathon Group 105,760 2,525
PanEnergy Corp. 55,457 2,496
U.S. Bancorp 55,560 2,493
Aon Corp. 39,802 2,473
Fifth Third Bancorp 38,909 2,442
</TABLE>
49
<PAGE> 98
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
MARKET
VALUE*
VALUE PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C>
Service Corp. International 86,830 $ 2,431
Georgia-Pacific Corp. 33,463 2,409
Public Service Enterprise
Group Inc. 88,216 2,404
# Applied Materials, Inc. 66,238 2,376
Entergy Corp. 84,945 2,357
TRW, Inc. 46,664 2,310
Burlington Resources, Inc. 45,837 2,309
Micron Technology Inc. 76,930 2,241
PacifiCorp 108,326 2,221
American Stores Co. 53,349 2,181
ALLTEL Corp. 69,400 2,177
Williams Cos., Inc. 57,638 2,161
Unicom Corp. 78,908 2,140
Morton International, Inc. 52,374 2,134
Masco Corp. 58,907 2,121
# Tele-Communications, Inc.
Class A 160,000 2,080
# Digital Equipment Corp. 56,845 2,068
Comerica, Inc. 39,375 2,062
PECO Energy Corp. 81,658 2,062
Browning-Ferris Industries, Inc. 77,815 2,043
Houston Industries, Inc. 89,817 2,032
Carolina Power & Light Co. 55,601 2,029
Lincoln National Corp. 38,415 2,017
Dresser Industries, Inc. 64,639 2,004
Delta Air Lines, Inc. 28,182 1,997
Central & South West Corp. 77,686 1,991
Amerada Hess Corp. 34,134 1,976
Genuine Parts Co. 44,252 1,969
Eaton Corp. 28,213 1,968
Inco Ltd. 61,559 1,962
UNUM Corp. 26,929 1,946
Consolidated Natural Gas Co. 34,933 1,930
Transamerica Corp. 24,385 1,926
CINergy Corp. 57,681 1,925
Rohm & Haas Co. 23,560 1,923
Union Carbide Corp. 46,728 1,910
Salomon, Inc. 40,068 1,888
Coastal Corp. 38,564 1,885
# ITT Corp. 42,886 1,860
# Federal Express Corp. 41,799 1,860
# Kmart Corp. 178,193 1,849
Baker Hughes, Inc. 52,928 1,826
The Limited, Inc. 99,100 1,821
SAFECO Corp. 46,355 1,819
# Price/Costco Inc. 71,950 1,808
Ingersoll-Rand Co. 40,326 1,795
St. Paul Cos., Inc. 30,474 1,787
Rite Aid Corp. 44,813 1,781
Providian Corp. 34,467 1,771
# Tenet Healthcare Corp. 79,923 1,748
Northrop Grumman Corp. 21,102 1,746
R.R. Donnelley & Sons Co. 55,402 1,738
DTE Energy Co. 53,160 1,721
Cooper Industries, Inc. 39,516 1,665
Republic New York Corp. 20,296 1,657
# Silicon Graphics, Inc. 64,364 1,641
Nucor Corp. 32,176 1,641
Sonat, Inc. 31,656 1,630
General Dynamics Corp. 23,061 1,626
CVS Corp. 38,945 1,611
MBIA, Inc. 15,900 1,610
Phelps Dodge Corp. 23,816 1,608
Becton, Dickinson & Co. 36,731 1,593
VF Corp. 23,308 1,573
Eastman Chemical 28,411 1,570
W.W. Grainger, Inc. 19,512 1,566
Champion International Corp. 35,016 1,514
GPU Inc. 44,255 1,488
Jefferson-Pilot Corp. 26,035 1,474
Case Corp. 27,032 1,473
Great Western Financial Corp. 50,429 1,462
Baltimore Gas & Electric Co. 54,172 1,449
Union Electric Co. 37,329 1,437
Willamette Industries, Inc. 20,296 1,411
# Western Atlas Inc. 19,641 1,392
Reynolds Metals Co. 24,468 1,379
PP&L Resources Inc. 59,404 1,366
W.R. Grace & Co. 26,205 1,356
New York Times Co. Class A 35,308 1,342
Golden West Financial Corp. 21,045 1,328
Knight-Ridder, Inc. 34,594 1,323
MGIC Investment Corp. 17,404 1,323
Laidlaw Inc. Class B 114,945 1,322
Torchmark Corp. 25,982 1,312
Columbia Gas Systems, Inc. 20,242 1,288
# Advanced Micro Devices, Inc. 49,990 1,287
Kerr-McGee Corp. 17,862 1,286
Dillard Department Stores
Class A 41,649 1,286
Ohio Edison Co. 56,181 1,278
Whirlpool Corp. 27,278 1,272
# LSI Logic Corp. 47,423 1,269
H.F. Ahmanson & Co. 38,907 1,264
Johnson Controls, Inc. 15,114 1,253
Beneficial Corp. 19,670 1,247
# National Semiconductor Corp. 51,035 1,244
Hasbro, Inc. 31,761 1,235
Union Camp Corp. 25,603 1,223
Dana Corp. 37,402 1,220
# Novell, Inc. 127,707 1,205
Dow Jones & Co., Inc. 35,382 1,199
The Dun & Bradstreet Corp. 50,323 1,195
Mallinckrodt Inc. 27,026 1,193
Northern States Power Co. 25,382 1,164
Brown-Forman Corp. Class B 25,262 1,156
# Humana, Inc. 59,800 1,144
The Mead Corp. 19,070 1,108
Temple-Inland Inc. 20,289 1,098
Great Lakes Chemical Corp. 23,265 1,088
Circuit City Stores, Inc. 36,039 1,086
Westvaco Corp. 37,241 1,071
# Woolworth Corp. 48,620 1,064
# Fruit of the Loom, Inc. 28,019 1,061
ITT Industries, Inc. 43,183 1,058
Parker Hannifin Corp. 27,138 1,052
Nordstrom, Inc. 29,700 1,051
Armstrong World Industries Inc. 15,065 1,047
James River Corp. 31,353 1,039
</TABLE>
50
<PAGE> 99
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C>
Ashland Inc. 23,668 $ 1,038
# St. Jude Medical, Inc. 23,986 1,022
Liz Claiborne, Inc. 26,407 1,020
Rubbermaid, Inc. 44,048 1,002
Harris Corp. 14,344 984
Black & Decker Corp. 32,300 973
USX-U.S. Steel Group 30,980 972
Wendy's International, Inc. 47,270 969
Paccar, Inc. 14,250 965
Pennzoil Co. 17,046 963
# FMC Corp. 13,563 951
Southwest Airlines Co. 42,800 947
# Apple Computer, Inc. 45,516 944
Pacific Enterprises 31,086 944
Tandy Corp. 21,442 943
United States Surgical Corp. 22,868 900
H & R Block, Inc. 30,784 893
USF&G Corp. 42,100 879
Brunswick Corp. 36,137 867
Thomas & Betts Corp. 19,451 863
Ryder System, Inc. 30,050 845
Louisiana-Pacific Corp. 39,899 843
Engelhard Corp. 42,531 813
Cyprus Amax Minerals Co. 34,288 801
The BF Goodrich Co. 19,738 799
Snap-On Inc. 22,429 799
Deluxe Corp. 24,385 799
General Signal Corp. 18,316 783
American Greetings Corp.
Class A 27,510 781
NorAm Energy Corp. 50,558 777
# DSC Communications Corp. 43,022 769
Giant Food, Inc. Class A 21,947 757
Moore Corp. Ltd. 36,759 749
Santa Fe Pacific Gold Corp. 48,315 743
Maytag Corp. 36,530 721
Polaroid Corp. 16,484 717
Echlin, Inc. 22,673 717
Bausch & Lomb, Inc. 20,387 714
The Stanley Works 26,307 710
Bemis Co., Inc. 19,106 705
Whitman Corp. 30,718 703
SuperValu Inc. 24,724 702
Allergan, Inc. 19,474 694
Louisiana Land & Exploration Co. 12,574 674
Cummins Engine Co., Inc. 14,553 669
Mercantile Stores Co., Inc. 13,557 669
Sun Co., Inc. 26,780 653
NICOR, Inc. 18,037 645
National Service Industries, Inc. 17,239 644
Biomet, Inc. 42,560 644
Homestake Mining Co. 43,307 617
Manor Care Inc. 22,768 615
Tektronix, Inc. 11,879 609
Worthington Industries, Inc. 33,356 605
# Harrah's Entertainment, Inc. 30,389 604
# Tandem Computers, Inc. 43,495 598
Cooper Tire & Rubber Co. 30,191 596
C.R. Bard, Inc. 20,990 588
ENSERCH Corp. 25,529 587
Pep Boys (Manny, Moe & Jack) 18,515 569
Boise Cascade Corp. 17,782 565
Stone Container Corp. 36,534 543
# Amdahl Corp. 44,523 540
# Niagara Mohawk Power Corp. 53,096 524
The Timken Co. 11,272 517
Darden Restaurants Inc. 58,018 508
# King World Productions, Inc. 13,461 496
Alberto-Culver Co. Class B 10,197 489
Crane Co. 16,683 484
Helmerich & Payne, Inc. 9,108 475
Briggs & Stratton Corp. 10,593 466
# Beverly Enterprises Inc. 36,501 465
Potlatch Corp. 10,658 458
Great Atlantic & Pacific Tea
Co., Inc. 14,077 449
Peoples Energy Corp. 12,869 436
# Unisys Corp. 64,360 434
Autodesk, Inc. 15,459 433
Scientific-Atlanta, Inc. 28,417 426
Russell Corp. 13,990 416
USLIFE Corp. 12,404 412
ASARCO, Inc. 15,765 392
Centex Corp. 10,399 391
Inland Steel Industries, Inc. 18,072 361
Fleetwood Enterprises, Inc. 13,122 361
# Bethlehem Steel Corp. 39,990 360
Longs Drug Stores, Inc. 7,176 353
EG & G, Inc. 17,425 351
Safety-Kleen Corp. 20,990 344
Echo Bay Mines Ltd. 50,285 333
McDermott International, Inc. 19,732 328
Cincinnati Milacron, Inc. 14,653 321
Springs Industries Inc. Class A 7,426 319
ONEOK, Inc. 10,000 300
Ball Corp. 11,181 291
Alexander & Alexander
Services, Inc. 16,534 287
Caliber System Inc. 14,355 276
Eastern Enterprises 7,325 259
Pulte Corp. 8,391 258
Adolph Coors Co. Class B 13,516 257
# Navistar International Corp. 26,522 242
Fleming Cos., Inc. 13,863 239
# Consolidated Freightways, Inc. 9,237 206
# Data General Corp. 13,755 199
# Charming Shoppes, Inc. 38,521 193
# Newport News Shipbuilding Inc. 12,293 184
# Intergraph Corp. 17,526 180
Stride Rite Corp. 17,817 178
Kaufman & Broad Home Corp. 13,457 173
NACCO Industries, Inc. Class A 3,030 162
Giddings & Lewis, Inc. 12,050 155
Consolidated Freightways Corp. 6,619 59
# Ryan's Family Steak Houses, Inc. 7,972 55
# Viacom International Inc. Class A 766 26
- -----------------------------------------------------------------------
TOTAL COMMON STOCKS (99.1%)(1)
(COST $830,342) 1,006,339
- -----------------------------------------------------------------------
</TABLE>
51
<PAGE> 100
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
FACE MARKET
AMOUNT VALUE*
VALUE PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------
TEMPORARY CASH INVESTMENTS (0.8%)
- -----------------------------------------------------------------------
<S> <C> <C>
U.S. TREASURY BILL--Note D
5.17%, 1/9/97 $ 200 $ 200
REPURCHASE AGREEMENT
Collateralized by U.S. Government
Obligations in a Pooled
Cash Account
6.39%, 1/2/97 7,784 7,784
- -----------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(COST $7,984) 7,984
- -----------------------------------------------------------------------
TOTAL INVESTMENTS (99.9%)
(COST $838,326) 1,014,323
- -----------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (0.1%)
- -----------------------------------------------------------------------
Receivables for Investment Securities Sold 78,105
Other Assets--Note B 4,970
Payables for Investment Securities Purchased (77,747)
Other Liabilities (3,924)
-----------
1,404
- -----------------------------------------------------------------------
NET ASSETS (100%)
- -----------------------------------------------------------------------
Applicable to 59,665,839 outstanding
shares of beneficial interest
(unlimited authorization) $1,015,727
=======================================================================
NET ASSET VALUE PER SHARE $17.02
=======================================================================
</TABLE>
*See Note A in Notes to Financial Statements.
#Non-Income Producing Security.
ADR--American Depository Receipt.
(1)The combined market value of common stocks and S&P Value Index futures
contracts represents 99.5% of net assets.
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
AMOUNT PER
(000) SHARE
- -----------------------------------------------------------------------
AT DECEMBER 31, 1996, NET ASSETS CONSISTED OF:
- -----------------------------------------------------------------------
<S> <C> <C>
Paid in Capital--Notes A and C $818,752 $13.72
Overdistributed Net Investment
Income--Notes A and C (531) (.01)
Accumulated Net
Realized Gains--Note C 21,497 .36
Unrealized Appreciation--Note D
Investment Securities 175,997 2.95
Futures Contracts 12 --
- -----------------------------------------------------------------------
NET ASSETS $1,015,727 $17.02
=======================================================================
</TABLE>
52
<PAGE> 101
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
MARKET
SMALL CAPITALIZATION VALUE*
STOCK PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------
COMMON STOCKS
- -----------------------------------------------------------------------
<S> <C> <C>
AAR Corp. 54,300 $ 1,643
ABM Industries 52,000 962
# ABR Information Services, Inc. 24,275 956
# ABT Building Products Corp. 40,200 1,020
# ACC Corp. 35,700 1,078
AGL Resources Inc. 131,500 2,778
AMLI Residential Properties
Trust REIT 35,700 834
APL Ltd. 52,600 1,243
# APS Holding Corp. 37,700 582
# AST Research, Inc. 61,459 263
# ATC Communications, Inc. 62,300 829
# ATS Medical, Inc. 66,200 517
Aames Financial Corp. 35,600 1,277
# Access Health Marketing, Inc. 33,200 1,494
# Acclaim Entertainment Inc. 51,900 172
# AccuStaff, Inc. 63,495 1,341
Ackerley Communications, Inc. 55,400 651
Acordia, Inc. 32,900 954
# Action Performance Cos., Inc. 33,800 617
# Activision, Inc. 15,500 196
# Actel Corp. 59,600 1,419
# Acuson Corp. 65,050 1,586
# ACX Technologies Inc. 47,800 950
# Acxiom Corp. 120,250 2,871
ADAC Laboratories 49,633 1,188
# Adelphia Communications
Corp. Class A 91,000 535
# Advanced Lighting
Technologies, Inc. 20,700 512
# Advanced Polymer Systems 71,500 536
# Advanced Technology
Laboratories, Inc. 34,400 1,054
# Advanced Tissue Sciences Inc. 85,900 829
ADVO, Inc. 71,050 995
# Advent Software, Inc. 21,600 656
# Affiliated Computer Services, Inc. 60,400 1,774
# Agouron Pharmaceuticals, Inc. 31,003 2,097
# Air and Water Technologies Corp.
Class A 98,600 567
Air Express International Corp. 43,400 1,394
Airborne Freight Corp. 48,300 1,129
# Alaska Air Group, Inc. 42,500 893
Albank Financial Corp. 32,040 1,011
Albany International Corp. 59,100 1,367
Alex Brown, Inc. 35,400 2,567
Alexander & Alexander
Services, Inc. 98,300 1,708
# Alexander's, Inc. 13,500 1,068
Alfa Corp. 57,300 731
Aliant Communications Inc. 84,000 1,418
# Alkermes, Inc. 47,200 1,097
# The Allen Group, Inc. 55,460 1,234
# Alliance Entertainment 81,400 153
# Alliance Pharmaceutical Corp. 67,500 920
# Alliance Semiconductor Corp. 84,200 600
# Alliant Techsystems, Inc. 21,700 1,194
Allied Group, Inc. 47,550 1,557
# Allied Waste Industries, Inc. 138,900 1,276
# Alltrista Corp. 32,293 819
# Allwaste, Inc. 152,800 783
Alpharma, Inc. Class A 48,200 687
# Alteon, Inc. 29,200 157
# Alternative Resources Corp. 30,900 531
# Amax Gold, Inc. 123,031 784
Amcast Industrial Corp. 41,600 1,030
AMCOL International Corp. 61,300 958
Amcore Financial 34,380 924
# Amerco Inc. 38,220 1,328
# America West Airlines, Inc. 115,300 1,830
American Annuity Group Inc. 42,800 605
American Bankers
Insurance Group 49,100 2,504
# American Buildings Co. 22,300 527
American Business Products, Inc. 35,800 899
# American Eagle Outfitters, Inc. 27,400 212
# American Freightways 61,700 679
American Health Properties, Inc. 50,600 1,208
American Health Properties
Psychiatric Group 2,870 46
American Heritage Life
Investment Corp. 37,832 993
# American Homestar Corp. 30,000 679
# American Medical
Response, Inc. 43,400 1,411
# American Media Class A 170,500 1,002
# American Mobile Satellite
Corp., Inc. 33,300 410
# American Oncology
Resources, Inc. 108,700 1,107
# American Paging, Inc. 28,200 132
# American Radio Systems Corp. 35,000 954
# Americredit Corp. 71,900 1,474
# Amerin Corp. 59,500 1,528
Ameron International Corp. 18,200 940
# AmeriSource Health Corp. 56,500 2,726
Ametek, Inc. 76,100 1,693
# Amisys Managed Care Systems 33,100 554
# Amresco, Inc. 50,400 1,342
# Ampex Corp. Class A 50,200 471
Analogic Corp. 31,700 1,050
Analysts International Corp. 28,400 788
Anchor Bancorp Wisconsin Inc. 23,375 842
# Anchor Gaming 18,300 730
# Ancor Communications, Inc. 34,200 477
Angelica Corp. 35,000 669
# Anixter International Inc. 91,500 1,475
# AnnTaylor Stores Corp. 52,300 915
# Antec Corp. 57,400 513
Apogee Enterprises, Inc. 36,600 1,450
Apple South, Inc. 67,150 894
Applebee's International, Inc. 74,100 2,028
# Applied Innovation Inc. 56,400 356
# Applied Digital Access, Inc. 60,200 324
# Applied Magnetics Corp. 59,800 1,787
Applied Power, Inc. 31,300 1,240
# Applix, Inc. 32,800 711
Aptargroup Inc. 41,100 1,449
Aquarion Co. 29,306 817
</TABLE>
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MARKET
SMALL CAPITALIZATION VALUE*
STOCK PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C>
Arbor Drugs, Inc. 60,450 $ 1,043
# Arbor Health Care Co. 20,300 520
# Arbor Software Corp. 39,834 961
Arcadian Corp. 88,300 2,340
# Arch Communications Group, Inc. 45,700 423
Arctic Cat Inc. 63,600 632
Argonaut Group, Inc. 40,600 1,264
# Argosy Gaming Co. 89,900 416
# Armco, Inc. 199,000 821
Arnold Industries, Inc. 45,000 709
Arrow International, Inc. 26,100 741
# ArthroCare Corp. 27,200 187
Arvin Industries, Inc. 52,500 1,299
Atlantic Southeast Airlines Inc. 56,800 1,246
# Ascent Entertainment Group, Inc. 17,400 274
Ashland Coal Inc. 32,900 913
# Aspen Technologies, Inc. 24,300 1,941
Associated Banc-Corp. 38,783 1,663
# Associated Group, Inc. 30,224 914
# Associated Group, Inc. Class B 375 11
Astoria Financial Corp. 44,900 1,658
Atlantic Energy, Inc. 124,100 2,125
# Atlantic Tele-Network, Inc. 28,800 443
Atmos Energy Corp. 36,700 876
# Aura Systems, Inc. 136,000 300
# Auspex Systems, Inc. 76,700 901
Authentic Fitness Corp. 44,400 533
Avalon Properties, Inc. REIT 69,300 1,992
# Avant! Corp. 40,638 1,285
# Avatar Holding, Inc. 23,700 767
# Aviall Inc. 74,275 687
# Avid Technology, Inc. 47,800 499
# Aztar Corp. 95,800 671
# BBN Corp. 50,500 1,136
# BDM International, Inc. 35,700 1,923
# BISYS Group, Inc. 62,800 2,328
# BJ Services Co. 89,300 4,554
BMC Industries, Inc. 67,600 2,129
# BMC West Corp. 46,300 573
BRE Properties Inc. Class A REIT 75,348 1,865
# BT Office Products
International, Inc. 58,900 523
BW/IP Inc. 66,600 1,099
# Baby Superstore, Inc. 30,500 736
Baldor Electric Co. 50,570 1,245
Ball Corp. 73,800 1,919
Ballard Medical Products 62,966 1,173
BancorpSouth, Inc. 42,700 1,169
# Banctec, Inc. 50,428 1,040
Bank of Granite Corp. 31,975 945
Bankers Life Holding Corp. 43,300 1,083
Bank North Group 26,100 1,070
Banta Corp. 72,500 1,645
Barefoot, Inc. 69,600 1,101
Barnes Group, Inc. 15,500 930
# Barnett, Inc. 27,400 736
# Barr Labs Inc. 30,900 784
# Barrett Resources Corp. 76,200 3,248
Bassett Furniture Industries, Inc. 32,525 809
Battle Mountain Gold Co. Class A 546,400 3,757
Bay Apartment Communities,
Inc. REIT 44,500 1,602
Bay State Gas Co. 30,076 850
Bay View Capital Corp. 25,203 1,073
# BE Avionics Inc. 40,100 1,095
Beacon Properties Corp. REIT 78,300 2,868
Bearings, Inc. 31,800 886
# Belco Oil & Gas Corp. 29,800 816
Belden Inc. 56,200 2,079
# Bell & Howell Co. 32,000 760
# Benton Oil & Gas Co. 73,700 1,649
# Berg Electronics Corp. 23,700 696
W.R. Berkley Corp. 33,250 1,698
Berkshire Realty Co., Inc. REIT 93,400 922
Berry Petroleum Class A 72,500 1,042
# Best Buy Co., Inc. 76,800 816
# Billing Information Concepts 45,700 1,322
Bindly Western Industries, Inc. 43,500 843
# Bio-Rad Laboratories, Inc.
Class A 29,900 897
# Biotechnology General 124,400 1,641
# Biomatrix, Inc. 39,100 626
Birmingham Steel Corp. 65,600 1,246
# Black Box Corp. 44,100 1,803
Black Hills Corp. 33,200 934
Blair Corp. 19,300 372
Block Drug Co. Class A 30,243 1,414
Blount International, Inc. 25,200 967
Bob Evans Farms, Inc. 97,800 1,320
# Boca Research, Inc. 33,900 356
# Bombay Co. 117,275 542
# Books-a-Million Inc. 56,400 388
# Boole & Babbage Inc. 59,963 1,469
Borg-Warner Automotive, Inc. 34,900 1,344
# Borg-Warner Security Corp. 67,500 726
# Borland International, Inc. 62,500 342
# Boston Beer Co., Inc. Class A 37,700 386
# Boston Technology, Inc. 56,600 1,624
Bowne & Co., Inc. 39,900 983
# Box Energy Corp. Class B 81,600 750
# Boyd Gaming Corp. 57,100 471
W.H. Brady Class A 50,200 1,220
Breed Technological Inc. 40,900 1,063
Brenton Banks, Inc. 30,635 851
# Brightpoint, Inc. 34,650 1,027
# Bristol Hotel Co. 39,400 1,251
# Brite Voice Systems, Inc. 39,900 591
# Broadband Technologies, Inc. 45,500 683
# Broderbund Software, Inc. 42,600 1,265
Brown Group, Inc. 62,200 1,143
Brush Wellman, Inc. 56,600 927
# Buckeye Cellulose Corp. 39,600 1,054
# Buffets Inc. 120,049 1,084
# Burlington Coat Factory
Warehouse Corp. 26,700 347
# Burlington Industries, Inc. 147,100 1,618
# Burr-Brown Corp. 39,000 1,004
# CAI Wireless Systems, Inc. 56,655 56
CBL & Associates Properties,
Inc. REIT 47,500 1,229
</TABLE>
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MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C>
CCB Financial Corp. 43,083 $ 2,940
# C-Cor Electronics, Inc. 39,100 521
# CDI Corp. 34,800 987
CKE Restaurants Inc. 45,600 1,642
# CKS Group, Inc. 18,700 525
CMAC Investment Corp. 55,900 2,054
CML Group, Inc. 179,600 606
CNB Bancshares, Inc. 43,847 1,831
# CNS, Inc. 48,600 705
CPI Corp. 55,000 921
# C. P. Clare Corp. 21,400 211
# CSF Holdings Inc. Contingent
Litigation Rights 29,125 15
# CSG Systems International, Inc. 13,100 203
# C-TEC Corp. 37,900 914
# Cuno Inc. 49,550 743
CWM Mortgage Holdings Inc. 111,400 2,395
# Cable Design Technologies 40,400 1,250
Cabot Oil & Gas Corp. Class A 67,126 1,149
# Caere Corp. 57,700 660
# Cal Fed Bancorp Inc. 108,978 2,670
# Calgene, Inc. 113,300 574
Calgon Carbon Corp. 95,100 1,165
# California Amplifier, Inc. 31,900 199
Cali Realty Corp. REIT 36,100 1,115
# California Microwave, Inc. 42,700 630
California Water Service Co. 25,813 1,084
Calmat Co. 44,200 829
Cambrex Corp. 26,500 868
Camco International, Inc. 60,100 2,772
Camden Property Trust REIT 33,300 953
# Canandaigua Wine Co., Inc.
Class A 14,800 421
# Canandaigua Wine Co., Inc.
Class B 22,100 727
# Cannondale Corp. 32,600 725
Capital Re Corp. 24,800 1,156
Capitol American Financial Corp. 21,500 782
CapMAC Holdings Inc. 18,900 626
# Capstone Pharmacy
Services, Inc. 52,700 593
# Capsure Holdings 61,400 698
Capstead Mortgage Corp. 85,900 2,062
Caraustar Industries, Inc. 59,000 1,954
Carlisle Co., Inc. 31,900 1,930
# Carmike Cinemas, Inc. Class A 37,600 954
Carpenter Technology Corp. 36,400 1,333
CarrAmerica Realty Corp. REIT 81,900 2,396
# Carrington Labs Inc. 31,300 246
# Carson Pirie Scott & Co. 37,900 957
Carter-Wallace, Inc. 50,900 795
Casey's General Stores 59,700 1,123
Cash America International Inc. 102,412 871
# Casino America, Inc. 85,300 272
# Casino Magic Corp. 124,900 306
A.M. Castle & Co. 45,025 867
# Castle & Cooke, Inc. 24,900 395
# Catalina Marketing Corp. 47,100 2,596
# Catellus Development Corp. 176,650 2,009
Cato Corp. Class A 57,800 296
Cavalier Homes, Inc. 60,050 691
# Cellular Communications
International Inc. 24,800 713
# Cellular Communications of
Puerto Rico, Inc. 26,300 516
# Cellpro, Inc. 35,300 432
# Cellstar Corp. 56,000 1,001
# Cellular Technical Services Co. 66,422 1,324
# Cellularvision USA, Inc. 26,800 186
# Centennial Technologies, Inc. 30,600 1,591
Centerpoint Properties Corp. REIT 33,200 1,087
Centex Corp. 69,800 2,626
Centex Construction Products 45,700 823
Central Hudson Gas &
Electric Corp. 40,900 1,283
Central Louisiana Electric Co. 52,200 1,442
Central Maine Power Co. 74,114 862
Central Parking Corp. 17,600 590
Centura Banks, Inc. 56,400 2,517
# Century Communications Corp.
Class A 77,116 438
# Cephalon Inc. 56,700 1,152
# Cerner Corp. 58,500 899
# Champion Enterprises, Inc. 136,948 2,670
# Chancellor Broadcasting Co.
Class A 40,400 954
Chaparral Steel Co. 33,500 406
# Charming Shoppes, Inc. 214,100 1,077
Charter Power Systems, Inc. 21,400 654
# Chase Brass Industries, Inc. 44,200 878
# Checkfree Corp. 47,000 802
Chelsea GCA Realty, Inc. REIT 30,200 1,046
Chemed Corp. 24,800 905
Chemical Finance 20,362 807
Chesapeake Corp. of Virginia 49,800 1,562
# Chicago Miniature Lamp, Inc. 3,550 146
# Chips & Technologies, Inc. 53,600 972
Chiquita Brands International, Inc. 67,900 866
Chittenden Corp. 38,635 927
Church and Dwight, Inc. 40,100 917
# Chyron Corp. 226,600 651
# Cidco, Inc. 25,800 448
Cilcorp, Inc. 31,300 1,146
Cincinnati Milacron, Inc. 95,077 2,080
Citifed Bancorp 31,800 1,061
Citizens Bancorp MD 32,000 1,996
Citizens Banking Corp. 22,000 701
Citizens Corp. 35,000 788
# Citizens Utilities Co. Class B 181,115 2,015
# Citrix Systems, Inc. 61,100 2,387
City National Corp. 92,300 1,996
Claire's Stores, Inc. 111,350 1,448
Clarcor Inc. 45,350 1,003
# Clarify, Inc. 24,300 1,159
Cleveland-Cliffs Iron Co. 24,500 1,112
# Cliffs Drilling Co. 23,507 1,478
# Clintrials Research, Inc. 36,700 821
Coachmen Industries, Inc. 35,700 1,013
# Coast Savings Financial, Inc. 43,600 1,597
# Coastal Physician Group, Inc. 77,400 271
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MARKET
SMALL CAPITALIZATION VALUE*
STOCK PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C>
# Coastcast Corp. 33,800 $ 490
Coca-Cola Bottling Co. 20,722 1,000
# Cocensys, Inc. 63,700 362
Coeur d'Alene Mines Corp. 48,943 740
# Cognex Corp. 82,400 1,519
# Coherent Communications
Systems Corp. 34,200 660
# Coherent, Inc. 25,500 1,090
# Cole National Corp. Class A 39,800 1,045
Collective Bancorp, Inc. 47,500 1,668
Collagen Corp. 39,600 728
# Collins & Aikman Corp. 159,800 999
Colonial Bancgroup, Inc. 33,700 1,348
Colonial Properties Trust REIT 40,300 1,224
# Coltec Inc. 120,700 2,278
# Columbia Laboratories Inc. 80,100 1,161
Columbus Realty Trust REIT 47,400 1,078
# COMFORCE Corp. 31,600 450
Commerce Bancorp, Inc. 40,148 1,325
Commerce Group, Inc. 53,700 1,356
Commercial Federal Corp. 35,100 1,685
Commercial Intertech Corp. 62,150 847
Commercial Metals Co. 30,566 921
# Commnet Cellular Inc. 31,500 874
Commonwealth Bancorp 31,200 464
Commonwealth Energy Systems 42,000 987
# Compdent Corp. 36,600 1,299
# Computer Network
Technology Corp. 96,800 487
# Computer Management
Sciences, Inc. 36,225 851
# Computer Products, Inc. 56,522 1,106
# Computervision Corp. 151,300 1,400
# Comverse Technology, Inc. 50,100 1,894
# Computer Horizons Corp. 33,800 1,284
# Conceptus, Inc. 22,300 226
# Cone Mills Corp. 83,200 655
# Conmed Corp. 34,050 690
Connecticut Natural Gas Corp. 38,500 982
# ContiFinancial Corp. 500 18
# Control Data Corp. 40,100 880
# Cooper & Chyan Technology, Inc. 20,100 653
Adolph Coors Co. Class B 90,300 1,727
# Copytele, Inc. 129,400 643
# Cor Therapeutics, Inc. 76,600 761
# Coram Healthcare Corp. 25,400 127
# COREStaff, Inc. 28,800 682
# Cort Business Services Corp. 2,900 60
Corus Bankshares Inc. 24,700 806
Cousins Properties, Inc. REIT 53,100 1,493
# Covenant Transport, Inc. 20,200 295
# Coventry Corp. 73,300 687
Crawford & Co. Class B 55,200 1,263
# Credence Systems Corp. 61,700 1,230
# Credit Acceptance Corp. 51,100 1,194
# Cree Research, Inc. 53,400 504
Crescent Real Estate Equities,
Inc. REIT 49,200 2,595
Criimi Mae, Inc. REIT 101,500 1,307
Crompton & Knowles Corp. 166,812 3,211
A.T. Cross Co. Class A 42,700 496
Cross Timbers Oil Co. 34,900 877
Crown American Realty
Trust REIT 98,300 737
# Crown Central Petroleum Corp.
Class A 39,700 491
# Cryolife, Inc. 38,500 491
Cubic Corp. 28,500 659
Cullen/Frost Bankers, Inc. 51,780 1,715
# Culligan Water Technologies 40,800 1,652
Curtiss-Wright Corp. 13,600 685
# Cybercash, Inc. 13,850 324
# Cygnus Inc. 63,400 915
# Cyrix Corp. 39,900 713
# Cytogen Corp. 107,820 586
# Cytel Corp. 105,700 357
# DII Group, Inc. 42,523 975
# D. R. Horton, Inc. 42,944 467
# DSP Communications, Inc. 114,400 2,209
# Daka International, Inc. 38,600 369
Dallas Semiconductor Corp. 64,000 1,472
Dames & Moore, Inc. 37,600 550
Daniel Industries, Inc. 50,600 746
Dart Group Corp. Class A 7,567 686
# Data General Corp. 85,500 1,240
# Data Translation II, Inc. 7,450 29
# Datascope Corp. 51,400 1,015
# Datastream Systems, Inc. 22,700 409
Dauphin Deposit Bank & Trust 73,200 2,397
Dean Foods Corp. 94,800 3,057
# DecisionOne Corp. 32,900 535
Dekalb Genetics Corp. Class B 36,400 1,852
Delchamps, Inc. 28,553 544
# Delphi Financial Group, Inc. 27,100 798
Delta & Pine Land Co. 47,549 1,522
# Department 56 Inc. 49,700 1,230
Deposit Guaranty Corp. 89,600 2,778
# Destec Energy Inc. 40,400 631
Developers Diversified Realty
Corp. REIT 45,000 1,671
Devon Energy Corp. 46,400 1,612
# Devry, Inc. 61,000 1,434
Dexter Corp. 55,100 1,756
Diagnostic Products Corp. 25,000 647
# Dialogic Corp. 24,300 759
# Diamond Multimedia
Systems, Inc. 71,263 833
# Digi International, Inc. 44,800 431
# Digital Microwave Corp. 60,600 1,685
Digital Systems International, Inc. 29,600 468
Dimon Inc. 80,400 1,859
# Dionex Corp. 29,300 1,040
# Discovery Zone, Inc. 39,400 5
# Documentum, Inc. 31,100 1,060
Donaldson Co., Inc. 49,300 1,652
# Doubletree Corp. 76,284 3,414
# Dravo Corp. 61,000 862
# The Dress Barn, Inc. 66,000 1,002
Dreyer's Grand Ice Cream, Inc. 29,000 859
Duke Realty Investments
Inc. REIT 69,200 2,664
# Dura Pharmaceuticals, Inc. 100,900 4,818
</TABLE>
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<CAPTION>
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MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C>
Duriron Co., Inc. 57,100 $ 1,542
Duty Free International Inc. 70,500 1,022
# Dynatech Corp. 41,900 1,849
# EIS International, Inc. 30,500 263
# ESS Technology, Inc. 42,800 1,204
# ETEC Systems, Inc. 37,200 1,404
# EZ Communications, Inc. 28,400 1,026
# Eagle Hardware & Garden, Inc. 43,300 898
Earthgrains Co. 31,236 1,632
Eastern Enterprises 48,200 1,705
Eastern Utilities Associates 66,489 1,155
Eaton Vance Corp. 25,900 1,233
# Egghead, Inc. 68,300 354
# El Paso Electric Co. 139,900 909
Elcor Corp. 37,000 791
# Electro Rent Corp. 38,779 950
# Electro Scientific Industries, Inc. 36,600 958
# Electroglas, Inc. 59,800 957
Elizabethtown Corp. 30,200 955
# Eltron International Inc. 24,900 507
# Emcare Holdings Inc. 30,900 709
# Emmis Broadcasting Corp.
Class A 17,600 570
Empire District Electric Co. 49,970 937
# Employee Solutions, Inc. 45,200 927
# Encad, Inc. 27,600 1,132
# Energy Conversion Devices, Inc. 41,800 572
Energen Corp. 37,000 1,119
# Energy Ventures Inc. 32,400 1,648
Enhance Financial Services
Group, Inc. 30,800 1,124
Ennis Business Forms, Inc. 64,550 726
# Envoy Corp. 35,500 1,338
# Enzo Biochem, Inc. 48,670 881
# Epic Design Technology, Inc. 43,500 1,088
# Epitope Inc. 56,100 645
Ethan Allen Interiors Inc. 36,600 1,409
# Evans & Sutherland
Computer Corp. 30,700 756
Evans Withycombe Residential,
Inc. REIT 41,800 878
# Evergreen Media Corp. 49,600 1,234
# Exabyte Corp. 46,000 618
# Excalibur Technologies Corp. 40,200 628
# Excite, Inc. 42,600 442
Executive Risk, Inc. 25,300 936
# Executive Telecard Ltd. 57,100 346
Exide Corp. 43,100 991
Expeditors International of
Washington, Inc. 59,400 1,359
# Express Scripts 37,200 1,339
# Extended Stay America, Inc. 77,000 1,550
F & M Bancorporation, Inc. 15,500 467
F & M National Corp. 44,841 958
F.N.B. Corp. 23,315 545
# FSI International, Inc. 44,700 673
# FTP Software, Inc. 81,200 492
# Fabri-Centers of America, Inc. 28,900 466
# Fabri-Centers of America, Inc.
Class B 33,900 521
# Falcon Building Products, Inc.
Class A 15,300 225
# Falcon Drilling Co., Inc. 39,200 1,539
Family Dollar Stores, Inc. 98,400 2,005
Farmer Brothers, Inc. 3,550 540
Fedders Corp. 90,200 564
Fedders Corp. Class A 67,612 338
Federal-Mogul Corp. 81,800 1,800
Federal Realty Investment
Trust REIT 81,600 2,213
Felcor Suite Hotels, Inc. REIT 56,600 2,002
Ferro Corp. 62,300 1,768
Fidelity National Financial, Inc. 53,637 811
# Fieldcrest Cannon, Inc. 41,900 670
# Figgie International Inc. Class A 63,800 762
# FileNet Corp. 36,100 1,151
Financial Security Assurance
Holdings Ltd. 72,800 2,393
Fingerhut Co. 108,400 1,328
Financial Trust Corp. 16,402 655
First American Financial Corp. 31,200 1,283
First Citizens BancShares Class A 29,000 2,240
First Commerce Bancshares Inc.
Class A 8,900 249
First Commerce Bancshares Inc.
Class B 8,000 156
First Commercial Corp. 52,159 1,927
First Commonwealth
Financial Corp. 50,800 946
First Federal Savings Bank of
Colorado 56,000 963
First Financial Bancorp 32,740 1,052
First Financial Corp.-Indiana 1,400 51
First Financial Savings Assn. 87,050 2,133
First Hawaiian, Inc. 54,600 1,925
First Industrial Realty Trust REIT 56,500 1,716
First Michigan Bank Corp. 64,442 1,905
First Midwest Bancorp 47,000 1,525
First Source Corp. 31,956 791
Firstbank of Illinois Co. 10,760 370
Firstbank Puerto Rico 29,600 770
# First Federal Financial Corp. 46,375 1,020
First Bancorp of Ohio 71,600 2,551
Fisher Scientific International Inc. 49,200 2,319
Fleming Cos., Inc. 88,100 1,520
# Flores & Rucks, Inc. 28,200 1,502
Florida East Coast Railway Co. 12,900 1,127
Florida Rock Industries, Inc. 28,500 933
Flowers Industries, Inc. 138,700 2,982
Fluke Corp. 20,700 924
# Foamex International, Inc. 67,400 1,108
# Foodmaker, Inc. 125,300 1,112
Foremost Corp. of America 21,600 1,296
Fort Wayne National Corp. 27,300 1,041
# FoxMeyer Health Corp. 38,784 63
Franchise Finance Corp. of
America REIT 95,600 2,641
# Franklin Electronic Publishers, Inc. 29,200 354
# Franklin Quest Co. 47,200 991
Freeport-McMoRan, Inc. 65,000 2,088
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<CAPTION>
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MARKET
SMALL CAPITALIZATION VALUE*
STOCK PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C>
Fremont General Corp. 48,810 $ 1,513
# Friedman's Inc. Class A 37,900 564
# Fritz Cos., Inc. 5,500 69
Frontier Insurance Group, Inc. 27,060 1,035
# Fuisz Technologies Ltd. 49,200 378
H.B. Fuller Co. 33,350 1,551
Fulton Financial Corp. 78,376 1,665
Fund American Enterprise
Holding Co. 16,353 1,566
# Furniture Brands
International Inc. 142,600 1,996
Furon Co. 38,400 816
# Fusion Systems 33,800 727
G & K Services, Inc. 47,750 1,797
GATX Corp. 49,600 2,406
# GC Cos. 23,650 819
# GRC International, Inc. 34,100 277
Gables Residential Trust REIT 39,000 1,131
Gainsco, Inc. 80,659 776
# Galileo Corp. 23,800 596
Arthur J. Gallagher & Co. 32,700 1,014
# Galoob Toys Inc. 35,000 490
# Garden Ridge Corp. 60,100 522
# Gasonics International Corp. 46,500 482
# Gaylord Container Corp. 139,700 856
# Gelman Sciences, Inc. 30,900 1,004
GenCorp, Inc. 63,400 1,149
# General Communication, Inc. 87,600 701
# General Datacomm
Industries, Inc. 72,200 758
General Growth Properties
Inc. REIT 64,100 2,067
# General Magic, Inc. 57,000 128
# General Scanning, Inc. 37,300 427
# Genesco, Inc. 113,300 1,048
# Gentex Corp. 72,000 1,449
# Genesis Health Ventures Inc. 57,300 1,783
# Geneva Steel Class A 62,400 187
# Genrad, Inc. 58,000 1,349
# Gensia Inc. 127,629 590
# Genus, Inc. 25,000 138
Geon Co. 51,900 1,019
# Geotek Industries, Inc. 132,300 951
# Geoworks 14,500 353
Gerber Scientific, Inc. 31,100 463
# Getchell Gold Corp. 63,312 2,430
Getty Petroleum Corp. 37,900 616
# Gibraltar Steel 28,150 732
# Gibson Greetings, Inc. 33,400 651
Giddings & Lewis, Inc. 80,200 1,043
# Gilead Sciences, Inc. 74,200 1,850
P.H. Glatfelter Co. 60,900 1,096
# Glendale Federal 104,700 2,434
Glimcher Realty Trust REIT 49,500 1,089
# Global Industrial
Technologies, Inc. 55,200 1,221
# Global Industries, Ltd. 66,000 1,217
# Golden Books Family
Entertainment, Inc. 72,300 795
Goulds Pumps, Inc. 48,700 1,120
Graco, Inc. 46,150 1,131
# Grancare Inc. 56,672 1,013
Great Financial Corp. 40,300 1,179
Greenfield Industries, Inc. 37,500 1,146
Greenwich Air Services, Inc. 18,100 403
Greif Brothers Corp. Class A 42,800 1,220
Grey Advertising, Inc. 3,000 759
# Griffon Corp. 105,300 1,290
Guarantee Life Cos., Inc. 40,000 745
Guilford Mills, Inc. 29,200 777
# Gulf South Medical Supply, Inc. 31,600 806
# The Gymboree Corp. 60,700 1,381
HCC Insurance Holdings, Inc. 67,550 1,621
# HCIA, Inc. 5,000 173
# HMT Technology Corp. 43,400 656
# HNC Software, Inc. 35,800 1,121
# HSN, Inc. 44,115 1,042
HUBCO, Inc. 47,072 1,162
# Ha-Lo Industries, Inc. 35,250 972
# Hadco Corp. 30,200 1,474
# Haemonetics Corp. 53,550 1,011
Hancock Holding Co. 25,007 1,038
# Handleman Co. 132,800 1,129
Handy & Harman 54,200 949
# Harbinger Corp. 35,200 915
John H. Harland Co. 75,300 2,485
Harleysville National Corp. 8,475 213
Harman International
Industries, Inc. 35,725 1,987
# Harmonic Lightwaves, Inc. 41,200 631
Harper Group, Inc. 45,700 1,080
Harte-Hanks Communications Co. 45,091 1,251
Hartford Steam Boiler Inspection
& Insurance Co. 47,600 2,207
# Hartmarx Corp. 130,100 732
Health Care Properties Investors 67,800 2,373
Health Care REIT, Inc. 47,100 1,154
Healthcare Realty Trust Inc. 41,200 1,092
# Healthplan Services Corp. 38,100 805
# Health Management
Systems, Inc. 34,400 475
# Healthdyne Technologies, Inc. 45,001 405
# Heartland Express, Inc. 50,308 1,220
# Heartland Wireless
Communications, Inc. 39,700 519
Hechinger Co. Class A 63,500 131
# Hecla Mining Co. 113,900 641
# Heftel Broadcasting Corp. 26,600 828
Heilig-Meyers Co. 124,900 2,030
Helix Technology Corp. 28,400 817
Helmerich & Payne, Inc. 60,300 3,143
Herbalife International, Inc. 48,200 1,570
Heritage Financial Services, Inc. 30,800 666
# Heritage Media Corp. Class A 82,008 923
# Hexcel Corp. 88,400 1,437
# Highlands Insurance Group 43,130 873
# Highwaymaster
Communications, Inc. 51,000 921
Highwood Properties, Inc. REIT 77,500 2,616
Hollinger International, Inc. 86,500 995
</TABLE>
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MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C>
Holly Corp. 23,700 $ 634
# Hollywood Entertainment Corp. 50,400 939
# Hollywood Park, Inc. 71,700 1,089
# Hologic, Inc. 42,200 1,044
Home Beneficial Corp. Class B 28,400 1,090
Hon Industries, Inc. 55,200 1,829
Horace Mann Educators Corp. 55,200 2,229
# Horizon/CMS Healthcare Corp. 122,231 1,543
Horizon Group Inc. REIT 44,164 878
# Host Marriott Services 63,540 580
Hospitality Properties Trust 53,500 1,552
Houghton Mifflin Co. 34,100 1,931
Hudson Foods Inc. Class A 52,850 1,004
Huffy Corp. 53,200 765
Hughes Supply, Inc. 23,800 1,026
# Hugoton Energy Corp. 24,200 251
# Human Genome Sciences, Inc. 43,200 1,755
Hunt Manufacturing Co. 46,400 841
J.B. Hunt Transport Services, Inc. 56,300 795
# Hutchinson Technology, Inc. 20,500 1,558
# Hybridon, Inc. 51,760 288
# Hyperion Software Corp. 64,000 1,356
ICN Pharmaceuticals, Inc. 83,935 1,647
# ICU Medical, Inc. 37,900 296
# IDEC Pharmaceuticals Corp. 41,600 985
IDEX Corp. 40,900 1,631
# IDT Corp. 30,400 336
# IDX Systems Corp. 23,480 675
IES Industries, Inc. 73,600 2,199
# IHOP Corp. 33,700 805
# IMP, Inc. 56,300 126
IRT Property Co. REIT 91,798 1,056
# I-STAT Corp. 22,700 536
# ITI Technologies, Inc. 29,800 449
# Identix, Inc. 74,500 610
# Imatron, Inc. 190,500 628
# Immunex Corp. 37,400 725
# Immulogic Pharmaceutical Corp. 60,900 400
# Imperial Bancorp 55,786 1,339
# Imperial Credit 78,564 1,650
# In Focus Systems, Inc. 27,500 590
# Inbrand Corp. 42,000 940
# Incyte Pharmaceuticals, Inc. 25,300 1,297
Indiana Energy, Inc. 45,100 1,099
# Inference Corp. Class A 29,900 213
# Information Resources, Inc. 63,800 901
# Inhale Therapeutic Systems 43,100 657
# Insilco Corp. 24,100 940
# Inso Corp. 19,200 756
# Insignia Financial Group 80,200 1,805
# Inphynet Medical
Management, Inc. 51,100 901
Integon Corp. 46,000 817
# Integrated Device
Technology Inc. 194,800 2,666
Integrated Health Services, Inc. 53,300 1,299
# Integrated Measurement
Systems, Inc. 12,600 222
# Integrated Packaging
Assembly Corp. 42,000 341
# Integrated Process
Equipment Corp. 41,300 741
# Integrated Silicon Solution, Inc. 52,200 449
# Integrated Systems, Inc. 36,300 935
# Intelidata Technologies Corp. 45,400 332
# Intelligent Electronics Inc. 67,900 552
Inter-Regional Financial
Group, Inc. 41,200 1,452
# Inter-Tel, Inc. 36,400 696
# Intercel, Inc. 26,300 319
# Intercardia, Inc. 18,200 382
Interface, Inc. 51,800 1,036
# Interdigital Communications
Corp. 110,400 635
# Intergraph Corp. 91,400 948
# Interim Services, Inc. 38,003 1,349
# Intermagnetics General Corp. 49,120 589
# Intermedia Communications Inc. 37,200 956
Intermet Corp. 65,100 1,038
# International Cabletel, Inc. 70,167 1,759
# International Dairy Queen, Inc.
Class A 44,100 890
# International Family
Entertainment, Inc. Class B 67,250 1,042
# International Imaging
Materials Inc. 5,300 118
International Multifoods Corp. 48,300 875
Interpool, Inc. 39,100 914
# Intersolv 65,300 600
Interstate Power Co. 28,500 827
# Intervoice, Inc. 60,800 752
# Intevac, Inc. 12,400 205
Invacare Corp. 70,400 1,918
# Investment Technology
Group, Inc. 33,600 638
Investors Financial Services Corp.
Class A 877 24
# Ionics, Inc. 38,800 1,862
# Iron Mountain, Inc. 8,100 248
Irvine Apartment Communities,
Inc. REIT 44,600 1,115
Irwin Financial Corp. 34,000 833
# ISIS Pharmaceuticals, Inc. 59,600 1,065
# Isolyser Co., Inc. 45,800 318
# Itron, Inc. 33,300 583
J & L Specialty Steel Inc. 37,400 425
JSB Financial 29,200 1,104
# JTS Corp. 33,700 112
# Jacobs Engineering Group Inc. 49,700 1,174
# Jacor Communications, Inc.
Warrants Exp. 9/19/01 33,100 65
Jefferies Group, Inc. 31,616 1,277
Jefferson Bankshares, Inc. 34,057 964
John Alden Financial Group 55,300 1,022
John Nuveen Co. Class A 27,900 739
# Jones Intercable Inc. 48,400 508
Jones Medical Industries, Inc. 53,900 1,964
Jostens Inc. 79,900 1,687
Juno Lighting, Inc. 43,900 697
# Just for Feet, Inc. 43,150 1,130
</TABLE>
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<CAPTION>
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MARKET
SMALL CAPITALIZATION VALUE*
STOCK PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C>
Justin Industries, Inc. 61,550 $ 716
KCS Energy, Inc. 33,900 1,212
KN Energy, Inc. 50,827 1,995
K2 Inc. 32,010 880
# Kaiser Aluminum &
Chemical Corp. 62,800 730
Kansas City Life Insurance Co. 12,030 779
# Katz Media Group 61,900 696
Kaufman & Broad Home Corp. 88,600 1,141
Kaydon Corp. 40,300 1,899
# Keane, Inc. 80,600 2,559
# Kelly Oil Corp. 36,700 91
Kellwood Co. 48,050 961
# KEMET Corp. 93,300 2,152
Kennametal, Inc. 64,800 2,519
# Kent Electronics Corp. 60,600 1,560
Keystone Financial, Inc. 90,375 2,271
Keystone International, Inc. 73,800 1,485
Kimball International, Inc. Class B 43,800 1,812
Kimco Realty Corp. REIT 62,700 2,187
# Kinder Care Learning Centers Inc. 54,600 1,020
Kinetic Concepts, Inc. 57,200 711
# Kirby Corp. 60,200 1,189
# L. L. Knickerbocker Co. 47,500 297
# Knight Transportation, Inc. 23,200 436
Koger Equity Inc. REIT 64,100 1,202
# Kulicke & Soffa Industries, Inc. 45,800 873
# LCA-Vision, Inc. 2,300 5
LSI Industries Inc. 17,473 234
LTC Properties, Inc. 65,600 1,214
# LTX Corp. 106,500 622
La-Z-Boy Inc. 30,300 894
# Laboratory Corp. of America 191,352 550
Laclede Gas Co. 39,500 953
Lance, Inc. 26,900 479
# Landec Corp. 34,700 271
Landauer, Inc. 33,900 831
# Lands' End, Inc. 45,800 1,214
# Landry's Seafood
Restaurants, Inc. 37,700 813
# Landstar System 38,300 880
# Lattice Semiconductor Corp. 53,500 2,454
Lawson Products, Inc. 28,100 622
Lawter International Inc. 72,166 911
# Legato Systems, Inc. 44,000 1,427
Legg Mason Inc. 35,200 1,355
Lennar Corp. 64,350 1,754
# Level One Communications 46,100 1,637
Libbey, Inc. 42,200 1,176
Liberty Bancorp, Inc. (Oklahoma) 20,000 998
Liberty Corp. 34,900 1,370
Liberty Financial Cos., Inc. 18,100 704
Liberty Property Trust REIT 70,300 1,810
Life Re Corp. 26,300 1,016
Life Technologies, Inc. 37,950 946
# Lifecore Biomedical Inc. 37,200 660
# Ligand Pharmaceuticals Class B 73,100 1,092
Lilly Industries Inc. Class A 61,950 1,131
# Lin Television 30,600 1,289
Lincoln Electric Co. 35,100 1,145
Lincoln Electric Co. Class A 24,200 726
Lindsay Manufacturing Co. 24,087 1,111
# Liposome Co., Inc. 78,700 1,510
Liqui-Box Corp. 22,700 749
# Littelfuse, Inc. 27,600 1,332
# Living Centers of America, Inc. 34,100 946
# Lo-Jack Corp. 85,900 848
Logicon, Inc. 28,800 1,051
# Logic Works, Inc. 24,900 139
Lone Star Industries, Inc. 31,500 1,162
Long Island Bancorp, Inc. 59,200 2,072
Longs Drug Stores, Inc. 31,600 1,552
Longview Fiber Co. 123,000 2,260
Luby's Cafeterias, Inc. 55,400 1,101
Lukens, Inc. 50,500 1,016
# Lydall, Inc. 40,300 907
MAF Bancorp, Inc. 40,423 1,395
# MAIC Holdings Inc. 29,901 1,013
MDU Resources Group, Inc. 69,225 1,592
MGI Properties, Inc. REIT 43,000 946
# MRV Communications Inc. 32,500 709
MTS Systems Corp. 37,900 767
# MacFrugal's Bargains
Close-Outs, Inc. 63,000 1,645
MacDermid, Inc. 21,000 593
The Macerich Co. REIT 42,400 1,108
Madison Gas & Electric Co. 39,775 815
# Mafco Consolidated 20,900 530
# Magellan Health Services Corp. 76,900 1,721
Magna Bancorp, Inc. 12,800 238
Magna Group 66,100 1,950
# Magnatek 89,300 1,150
# Manhattan Bagel Co., Inc. 29,000 209
Manitowoc Co., Inc. 37,800 1,531
Manufactured Home
Communities, Inc. REIT 55,700 1,295
# Manugistics Group, Inc. 32,900 1,295
# Marine Drilling Co., Inc. 100,000 1,969
# Mariner Health Group, Inc. 65,400 544
# Marisa Christina, Inc. 2,200 19
Mark Twain Bancshares, Inc. 32,550 1,587
# Markel Corp. 9,100 824
# Marquette Medical Systems
Class A 49,800 1,089
# Marshall Industries 40,700 1,246
# Martek Biosciences Corp. 31,200 612
MascoTech Inc. 80,300 1,315
# Material Sciences Corp. 58,200 1,048
# Matrix Pharmaceutical, Inc. 36,200 217
# Maxicare Health Plans Inc. 41,417 932
# Maxxam Inc. 21,600 1,028
McClatchy Newspapers, Inc. 70,900 2,482
McDonald and Co.
Investments, Inc. 37,160 1,291
# McWorter Technologies Inc. 36,450 834
Meadowbrook Insurance
Group, Inc. 30,100 632
Measurex Corp. 39,500 948
# MedCath Inc. 36,900 581
Media General, Inc. Class A 27,100 820
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MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C>
# Media 100 Inc. 29,800 $ 264
# MedImmune Inc. 44,400 766
Medusa Corp. 37,050 1,274
Mentor Corp. 54,400 1,598
# Mercury Interactive Corp. 56,300 732
Meridian Diagnostics, Inc. 44,600 588
# Meridian Gold Co. 10,900 45
Merrill Corp. 31,000 721
Merry Land & Investment Co.,
Inc. REIT 86,418 1,858
# Mesa Air Group Inc. 76,300 525
# Mesa, Inc. 216,400 1,136
# MetaTools, Inc. 26,600 311
Methode Electronics, Inc. Class A 73,100 1,462
# Metricom 50,400 753
# Metrocall, Inc. 57,301 290
# Metromedia International
Group, Inc. 86,300 852
# Fred Meyer, Inc. 64,700 2,297
# Michaels Stores, Inc. 28,918 345
# Micros Systems, Inc. 17,500 532
# Microage, Inc. 59,100 1,178
Mid Am Inc. 47,609 821
# Microchip Technology, Inc. 85,700 4,360
# Microcom Corp. 54,000 662
# Microtouch Systems, Inc. 31,900 760
Mid-America Apartment
Communities, Inc. REIT 38,500 1,112
# Mid Atlantic Medical Services, Inc. 96,300 1,288
# Midcom Communications, Inc. 33,300 287
Herman Miller, Inc. 58,000 3,273
# Miller Industries, Inc. 67,950 1,359
Mills Corp. REIT 54,500 1,301
Mine Safety Appliances Co. 16,000 872
Minerals Technologies, Inc. 54,500 2,235
# MiniMed, Inc. 22,200 708
Minnesota Power & Light Co. 75,700 2,082
Mississippi Chemical Corp. 49,600 1,190
Mississippi Chemical Corp. - New 16,065 1,498
Mitchell Energy & Development
Corp. Class A 88,000 1,969
# Mobile Telecommunications
Technologies Corp. 126,900 1,067
# MobileMedia Corp. 95,400 43
Modine Manufacturing Co. 53,700 1,416
# Mohawk Industries, Inc. 50,200 1,117
# Molten Metal Technology 40,400 480
# Robert Mondavi Corp. 28,600 1,037
# Morningstar Group, Inc. 43,800 865
Morrison Health Care Inc. 33,116 488
Mosinee Paper Corp. 31,133 1,101
# Mueller Industries Inc. 40,300 1,552
# Multicare Cos., Inc. 44,550 902
# Mycogen Corp. 42,300 899
Myers Industries, Inc. 49,070 828
# Mylex Corp. 53,500 669
# NABI, Inc. 68,900 611
NAC Re Corp. 38,750 1,313
NACCO Industries, Inc. Class A 20,495 1,096
# NBTY, Inc. 62,800 1,189
# NFO Research Inc. 34,500 776
N L Industries, Inc. 39,500 430
NN Ball and Roller 41,200 633
# NPC International Class A 76,700 638
NYMAGIC, Inc. 35,100 632
Nash-Finch Co. 43,800 942
National Bankcorp of Alaska Inc. 9,700 677
National Community Bancorp 57,750 2,195
National Computer Systems, Inc. 31,100 785
National Data Corp. 61,450 2,673
# National Education Corp. 84,200 1,284
National Health Investors REIT 44,000 1,667
National Penn Bancshares Inc. 27,270 731
National Presto Industries, Inc. 18,300 684
# National Steel Corp. Class B 54,700 506
# National Western Life Insurance
Co. Class A 9,500 837
Nationwide Health Properties, Inc. 97,400 2,362
Nature's Sunshine Inc. 51,582 941
# Nautica Enterprises Inc. 92,514 2,324
# Navistar International Corp. 189,601 1,730
Thomas Nelson, Inc. 57,000 848
# Neopath, Inc. 29,400 540
# Netcom On-Line Communication
Services, Inc. 22,900 301
# Netmanage, Inc. 96,300 581
# Network Appliance, Inc. 40,900 2,081
# Network Equipment Technologies 46,100 761
# Network Peripherals, Inc. 49,100 865
# Neurex Corp. 46,500 793
# Neurogen Corp. 40,300 766
# Neuromedical Systems, Inc. 67,300 883
Nevada Power Co. 114,200 2,341
New England Business
Service, Inc. 50,300 1,081
New Jersey Resources Corp. 42,300 1,237
New York Bancorp Inc. 36,700 1,422
# Newfield Exploration Co. 90,000 2,340
# Newpark Resources, Inc. 25,300 942
# Nexstar Pharmaceuticals Inc. 62,900 932
# Nimbus CD International, Inc. 36,100 311
Norrell Corp. 30,400 828
North American Mortgage Co. 58,000 1,146
North Carolina Natural Gas Corp. 28,835 833
North Fork Bancorporation, Inc. 57,200 2,038
# Northfield Laboratories, Inc. 34,000 361
Northland Cranberries, Inc. 49,200 1,119
Northwest Natural Gas Co. 52,150 1,258
Northwestern Public Service Co. 34,500 1,182
# NovaCare, Inc. 155,400 1,709
# Nu-Kote Holding, Inc. Class A 51,100 524
# Novellus Systems, Inc. 39,000 2,113
# Noven Pharmaceuticals, Inc. 52,800 733
# Nuevo Energy Co. 30,300 1,576
OEA, Inc. 39,100 1,789
# OHM Corp. 92,500 786
# OIS Optical Imaging Systems, Inc. 118,200 192
OM Group, Inc. 44,400 1,196
# OMI Corp. 111,500 976
# Oak Industries, Inc. 45,500 1,047
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<CAPTION>
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MARKET
SMALL CAPITALIZATION VALUE*
STOCK PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C>
# Oak Technology, Inc. 79,900 $ 904
Oasis Residential, Inc. REIT 52,100 1,185
# OccuSystems, Inc. 47,800 1,285
# Oceaneering International, Inc. 66,000 1,048
# Offshore Logistics, Inc. 63,800 1,244
Ogden Corp. 120,700 2,263
Old National Bancorp 58,076 2,265
# Olympic Financial Ltd. 85,300 1,226
Omega Healthcare Investors, Inc. 40,000 1,330
Onbancorp Inc. 31,700 1,181
One Valley Bancorp of West
Virginia Inc. 50,375 1,886
Oneida Ltd. 38,290 689
ONEOK, Inc. 56,300 1,689
# Ontrak Systems, Inc. 27,900 413
Optical Coating Laboratory, Inc. 34,500 369
# Optical Data System Inc. 43,200 513
Orange & Rockland Utilities, Inc. 31,600 1,134
# Orbital Sciences Corp. 72,400 1,240
# Organogenesis, Inc. 52,700 1,219
Oregon Steel Mills, Inc. 75,800 1,270
Orion Capital Corp. 32,425 1,982
# Orthodontic Centers of
America, Inc. 6,300 99
# Ostex International, Inc. 53,600 302
O'Sullivan Corp. 60,800 669
Otter Tail Power Co. 26,400 855
Outboard Marine Corp. 44,700 738
Overseas Shipholding Group Inc. 65,100 1,107
Owens & Minor, Inc. Holding Co. 62,737 643
# Oxford Resources Corp. 19,400 595
# P-Com, Inc. 38,400 1,142
# PDT, Inc. 20,350 580
PHH Corp. 85,100 3,659
# PHP Healthcare Corp. 40,500 1,038
# PMT Services Inc 68,900 1,201
PXRE Corp. 30,133 748
Pacific Scientific Co. 56,500 636
# Palmer Wireless, Inc. 34,500 364
# Papa John's International, Inc. 29,850 1,013
Paragon Group Inc. REIT 52,200 927
# Paragon Trade Brands, Inc. 41,200 1,236
# Parexel International Corp. 22,600 1,162
Park Electrochemical Corp. 20,200 460
Parker & Parsley Petroleum Co. 87,200 3,205
# Parker Drilling Co. 178,100 1,714
# Pathogenesis Corp. 27,500 591
Patriot American Hospitality,
Inc. REIT 49,900 2,152
# Patterson Dental Co. 30,000 844
# Paxar Corp. 53,625 925
# Paxson Communications Corp. 70,000 551
# PEC Israel Economic Corp. 33,100 554
# Pediatrix Medical Group, Inc. 19,700 726
Penn Engineering &
Manufacturing Corp. 16,800 344
Penn Engineering &
Manufacturing Corp. Class A 18,300 380
# Penn National Gaming, Inc. 33,000 483
Penncorp Financial Group Inc. 55,700 2,005
Pennsylvania REIT 40,000 975
Pentair, Inc. 90,500 2,919
Peoples Bank of Bridgeport 42,100 1,208
# People's Choice TV Corp. 12,600 76
Peoples Heritage Financial
Group Inc. 58,800 1,639
# Perclose, Inc. 27,300 546
# Performance Food Group Co. 41,150 633
# Periphonics Corp. 44,000 1,276
# Perrigo Co. 157,000 1,413
# Personnel Group of America, Inc. 31,300 755
# Petco Animal Supplies, Inc. 34,800 709
# Pete's Brewing Co. 40,550 317
Petroleum Heat & Power Co. 49,600 310
Petrolite Corp. 23,200 1,090
# Pharmaceutical Product
Development, Inc. 42,271 1,062
Phillips-Van Heusen Corp. 82,900 1,192
Phoenix Duff & Phelps Corp. 141,500 1,008
# Phymatrix Corp. 21,400 308
# Physician Corp. of America 89,600 907
# Physicians Resource Group, Inc. 51,500 914
# Physio-Control International Corp. 36,100 803
Piedmont Natural Gas, Inc. 70,843 1,656
Pier 1 Imports Inc. 107,625 1,897
# Pinkerton's, Inc. 28,200 709
# Pinnacle Systems, Inc. 22,200 230
Pioneer Group Inc. 49,300 1,162
Pioneer Standard Electronics Inc. 42,650 552
Piper Jaffray Cos., Inc. 60,000 938
Pittston Burlington Group 55,500 1,110
Pittway Corp. Class A 35,800 1,915
# Pixar, Inc. 30,600 400
# Plains Resources 64,400 1,006
# Plantronics, Inc. 20,200 909
# Platinum Technology, Inc. 114,177 1,549
# Players International, Inc. 95,950 510
# Playtex Products, Inc. 92,300 738
Ply-Gem Industries, Inc. 50,100 620
Poe & Brown, Inc. 24,500 658
Polaris Industries, Inc. 65,800 1,563
# Policy Management
Systems Corp. 36,200 1,670
# Pool Energy Service Co. 65,300 1,012
Pope & Talbot, Inc. 51,700 821
# Possis Corp. 44,500 918
Post Properties, Inc. REIT 51,300 2,065
# Prepaid Legal Services, Inc. 73,200 1,336
Precision Castparts Corp. 48,900 2,427
# Precision Systems, Inc. 47,200 239
Premark International, Inc. 133,800 2,977
# Premenos Technology Corp. 19,000 162
# Premiere Technologies, Inc. 27,400 692
Price Enterprises, Inc. 58,000 997
# Pricellular Corp. 72,497 834
# Pride Petroleum Services 69,000 1,596
# Primadonna Resorts, Inc. 33,300 570
# Primark Corp. 63,400 1,569
# Prime Hospitality Corp. 72,000 1,161
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<CAPTION>
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MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C>
# Proffitt's, Inc. 41,700 $ 1,530
# Prism Solutions, Inc. 17,000 139
Production Operators Corp. 15,800 739
# Progress Software Corp. 50,800 1,010
# Pronet, Inc. 46,100 199
# Protein Design Labs 36,200 1,312
# Protocol Systems Inc. 31,200 402
Provident Bancorp Inc. 41,375 1,396
# PsiNet, Inc. 57,100 628
Public Service Co. of New Mexico 89,300 1,753
Public Service Co. of North
Carolina, Inc. 42,700 779
Public Storage, Inc. REIT 138,900 4,306
Pulitzer Publishing Co. 22,949 1,064
Pulte Corp. 42,800 1,316
# Pure Atria Software Corp. 60,799 1,493
Quaker State Corp. 84,300 1,191
# Quality Food Centers Inc. 26,388 897
Quanex Corp. 40,800 1,117
# Quarterdeck Corp. 64,600 268
Queens County Bancorp, Inc. 25,266 1,202
Quick & Reilly Group, Inc. 29,450 880
# Quiksilver, Inc. 29,600 636
# Quickturn Design Systems, Inc. 60,500 1,244
# Quintel Entertainment, Inc. 13,700 127
RCSB Financial Corp. 39,400 1,138
RFS Hotel Investors, Inc. REIT 56,600 1,118
# RMI Titanium Co. 30,900 869
ROC Communities Inc. REIT 41,300 1,146
# RPC Inc. 46,800 702
# RTW, Inc. 34,600 629
# Radisys Corp. 12,400 603
# RailTex, Inc. 36,900 918
# Rainbow Technologies, Inc. 30,400 570
# Ralcorp Holdings Inc. 74,000 1,563
Raymond James Financial, Inc. 35,300 1,063
Realty Income Corp. 53,500 1,277
# Red Brick Systems, Inc. 34,600 787
# Red Roof Inns, Inc. 44,900 696
# Redhook Ale Brewery, Inc. 31,100 303
Redwood Trust, Inc. 15,400 568
Regal-Beloit Corp. 50,200 985
# Regal Cinemas, Inc. 66,030 2,022
# Regeneron Pharmaceuticals, Inc. 46,600 746
# Regency Health Services, Inc. 72,000 693
Reinsurance Group of
America, Inc. 40,000 1,885
Reliance Group Holdings 146,300 1,335
# Remedy Corp. 29,200 1,562
# Renaissance Communications 34,200 1,223
# Renal Treatment Centers, Inc. 68,800 1,754
# Renters Choice, Inc. 36,500 522
Republic Bancorp, Inc. 2,600 31
# Republic Industries, Inc. 60,370 1,883
# Res-Care, Inc. 36,000 621
Resource Mortgage Capital
Corp. REIT 47,400 1,392
# Respironics, Inc. 51,300 875
# Rexall Sundown, Inc. 22,700 617
Riggs National Corp. 75,500 1,307
# Riscorp, Inc. 84,200 305
Riser Foods, Inc. Class A 30,600 972
Rite Aid Corp. 67,700 2,691
The Rival Co. 37,600 924
Roadway Express Inc. 27,800 535
Robbins & Myers, Inc. 34,478 875
# Roberts Pharmaceuticals 27,800 311
# Robotic Vision Systems, Inc. 60,800 733
Rochester Gas and Electric Corp. 92,700 1,773
Rock-Tenn Co. 78,660 1,554
# Rohr, Inc. 49,800 1,127
# Rollins Environmental
Services, Inc. 255,937 448
Rollins, Inc. 49,700 994
Rollins Truck Leasing 88,925 1,123
# Romac International, Inc. 26,900 588
Roosevelt Financial Group 80,800 1,687
Roper Industries Inc. 30,600 1,197
Ross Stores, Inc. 60,800 3,032
# Rotech Medical Corp. 58,800 1,227
Rouge Steel Co. Class A 34,200 722
# Royal Gold, Inc. 51,700 704
Ruby Tuesday, Inc. 46,175 854
Ruddick Corp. 67,500 945
# Rural/Metro Corp. 25,500 912
Russ Berrie, Inc. 48,800 878
# Ryan's Family Steak Houses, Inc. 118,100 816
Rykoff-Sexton, Inc. 61,625 978
Ryland Group, Inc. 57,000 784
S & T Bancorp, Inc. 28,800 875
SEI Corp. 46,800 1,033
# SPS Technologies, Inc. 16,000 1,028
# SPS Transaction Services 35,800 546
# SPSS, Inc. 24,500 669
SPX Corp. 44,300 1,717
# S3, Inc. 121,300 1,979
# Safeskin Corp. 20,600 1,009
Safety-Kleen Corp. 140,900 2,307
St. John Knits, Inc. 36,000 1,566
St. Paul Bancorp, Inc. 42,350 1,241
# Samsonite Corp. 31,000 1,192
Sanderson Farms, Inc. 20,500 341
# Sanmina Corp. 42,500 2,401
# Santa Cruz Operation, Inc. 83,000 576
# Sapient Corp. 8,400 350
Saul Centers, Inc. REIT 51,200 813
Savannah Foods & Industries, Inc. 69,100 933
Sbarro, Inc. 24,300 620
# Henry Schein, Inc. 18,200 624
# R. P. Scherer Corp. 55,700 2,799
Schnitzer Steel Industries, Inc.
Class A 8,000 204
# Scholastic Corp. 28,400 1,899
A. Schulman Inc. 88,500 2,179
Schweitzer-Mauduit
International, Inc. 37,700 1,192
# Sciclone Pharmaceuticals 60,200 489
# Scientific Games Holdings Corp. 28,600 765
# Scios, Inc. 98,535 607
# Scopus Technology, Inc. 31,400 1,458
</TABLE>
63
<PAGE> 112
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
MARKET
SMALL CAPITALIZATION VALUE*
STOCK PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C>
Scotsman Industries, Inc. 39,500 $ 933
# Scotts Co. 63,900 1,270
# Seacor Holdings, Inc. 25,300 1,591
Seafield Capital Corp. 19,400 759
# Seagull Energy Corp. 144,904 3,188
# Seattle FilmWorks, Inc. 41,518 838
# Secure Computing Corp. 20,800 185
Security Capital Corp. 21,700 1,595
Security Connecticut Corp. 32,800 1,152
# Segue Software, Inc. 20,700 374
# Seitel, Inc. 33,300 1,332
Selective Insurance Group 34,600 1,319
# Semitool, Inc. 34,100 326
# Sepracor Inc. 61,200 1,010
# Sequa Corp. Class A 26,500 1,040
# Sequent Computer Systems, Inc. 70,500 1,247
# Sequus Pharmaceuticals, Inc. 66,400 1,058
# Serologicals Corp. 31,500 1,101
# Service Merchandise Co., Inc. 235,312 1,000
# 7th Level, Inc. 8,600 32
Shopko Stores, Inc. 58,400 876
# Shoney's Inc. 116,700 817
# Shorewood Packaging 46,600 917
# Show Biz Pizza Time, Inc. 64,500 1,189
Showboat, Inc. 56,100 968
# Shuffle Master, Inc. 51,950 468
Shurgard Storage Centers, Inc.
Class A REIT 56,400 1,671
# Sierra Health Services 33,500 825
Sierra Pacific Resources 72,400 2,082
# Sierra Semiconductor 87,700 1,310
SIG Corp. 36,433 1,261
# Silicon Storage Technology, Inc. 34,300 166
# Silicon Valley Bancshares 33,300 1,078
# Silicon Valley Group, Inc. 71,800 1,440
# Siliconix, Inc. 24,000 552
Simpson Industries, Inc. 73,500 809
# Simula, Inc. 27,200 367
# Sitel Corp. 49,600 704
Skyline Corp. 35,400 876
Skywest, Inc. 28,700 402
# Smart Modular Technologies, Inc. 37,600 938
A.O. Smith Corp. 36,100 1,078
# Smith Micro Software, Inc. 19,600 97
Charles E. Smith Residential
Realty, Inc. REIT 40,300 1,179
# Smithfield Foods, Inc. 38,600 1,462
Smiths Food & Drug Centers, Inc.
Class B 32,195 998
J.M. Smucker Co. Class A 67,700 1,193
J.M. Smucker Co. Class B 1,000 16
Snyder Oil Corp. 67,400 1,171
# Sodak Gaming, Inc. 43,600 662
# Sofamor Danek Group Inc. 54,300 1,656
# Software 2000, Inc. 24,200 198
# Sola International, Inc. 61,100 2,322
# Solv-Ex Corp. 36,700 518
# Somatix Therapy Corp. 55,600 181
# Somatogen, Inc. 66,600 728
# Sonic Corp. 43,550 1,100
Sotheby's Holdings Class A 100,600 1,874
South Jersey Industries, Inc. 34,836 849
South West Property Trust,
Inc. REIT 77,700 1,311
Southdown, Inc. 41,400 1,289
Southern California Water Co. 31,400 683
# Southern Energy Homes, Inc. 35,225 403
# Southern Union Co. 39,585 871
Southwest Gas Corp. 64,000 1,232
Southwestern Energy Co. 74,200 1,122
Sovereign Bancorp, Inc. 110,600 1,445
# Spacelabs Medical 39,800 831
# Spectrum Holobyte 96,600 731
# Speedfam International, Inc. 23,400 670
Spieker Properties, Inc. REIT 72,200 2,599
# Sports & Recreation 92,200 715
# The Sports Authority, Inc. 76,100 1,655
Springs Industries Inc. Class A 32,500 1,398
# Staar Surgical Co. 58,200 768
Stac, Inc. 86,800 564
Standard Financial, Inc. 62,200 1,228
# Standard Microsystem 24,400 229
Standard Motor Products, Inc. 43,400 602
Standard Products Co. 48,325 1,232
The Standard Register Co. 33,200 1,079
Standex International Corp. 27,900 861
Stanhome, Inc. 42,300 1,121
L. S. Starrett Co. Class A 28,900 820
# Starsight Telecast, Inc. 47,100 445
# State of the Art, Inc. 28,508 358
# Station Casinos, Inc. 68,500 694
# Steck-Vaughn Publishing Corp. 29,300 337
Steel Technologies, Inc. 43,250 578
# Stein Mart, Inc. 34,950 699
Stewart & Stevenson
Services, Inc. 74,210 2,161
# Stillwater Mining Co. 40,200 724
Stone & Webster, Inc. 29,800 939
Storage USA, Inc. REIT 51,100 1,923
# Storage Computer Corp. 13,000 171
# Stormedia, Inc. 36,602 592
# Stratosphere Corp. 68,700 60
# Stratus Computer, Inc. 61,800 1,684
Strawbridge & Clothier Class A 33,057 539
Stride Rite Corp. 114,200 1,142
# Structural Dynamics
Research Corp. 81,400 1,613
Student Loan Corp. 15,200 566
Sturm, Ruger & Co., Inc. 43,800 849
# Submicron Systems Corp. 68,700 290
Sumitomo Bank of California 10,584 273
# Summit Care Corp. 22,700 365
# Summit Medical Systems, Inc. 12,900 96
Summit Properties, Inc. REIT 50,400 1,115
# Summit Technology, Inc. 75,400 419
Sun Communities, Inc. REIT 34,500 1,190
# Sun Healthcare Group, Inc. 96,300 1,300
# Sunshine Mining and Refining Co. 296,400 278
# Sunrise Medical, Inc. 41,600 660
# SunRiver Corp. 48,500 76
</TABLE>
64
<PAGE> 113
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C>
Superior Industries
International, Inc. 51,200 $ 1,184
# Supertex, Inc. 34,300 457
Susquehanna Bancshares, Inc. 29,300 1,013
# Swift Energy Co. 46,300 1,383
# Swift Transportation Co., Inc. 34,400 802
# Sylvan Learning Systems, Inc. 43,500 1,229
# Symantec Corp. 131,340 1,913
# Symmetricom Inc. 57,700 1,154
# Synetic, Inc. 42,800 2,073
# Syratech Inc. 26,500 835
# System Software Associates, Inc. 66,600 703
# Systems & Computer
Technology Corp. 53,600 871
# Systemsoft Corp. 52,400 773
# TBC Corp. 99,600 759
TCA Cable Television, Inc. 37,700 1,129
# TCSI Corp. 34,500 218
TJ International, Inc. 37,100 849
TNP Enterprises, Inc. 37,900 1,038
TR Financial Corp. 33,500 1,193
# Target Therapeutics, Inc. 25,000 1,048
Taubman Co. REIT 77,000 991
# Tech Data Corp. 90,000 2,464
# Tech-Sym Corp. 28,049 834
# Techne 34,664 888
# Technology Solutions Co. 39,700 1,638
# Tecnol Medical Products Inc. 55,600 831
# Telco Systems, Inc. 15,600 299
# Tejas Gas Corp. 34,665 1,651
Tejon Ranch Co. 41,400 595
# Tekelec 33,400 530
# Tel-Save Holdings, Inc. 27,900 807
Teleflex Inc. 43,350 2,260
# Teltrend, Inc. 26,000 723
Telxon Corp. 39,900 494
# Tencor Instruments 75,700 2,001
Tennant Co. 24,600 673
# Tesoro Petroleum Corp. 94,000 1,316
# Tetra Technologies, Inc. 51,500 1,310
# Tetra Tech, Inc. 43,387 860
Texas Industries, Inc. 27,160 1,375
# Theragenics Corp. 44,000 990
# Theratech, Inc. 62,850 829
Thermo Remediation, Inc. 32,900 288
# Thermo TerraTech, Inc. 37,300 368
# ThermoSpectra Corp. 17,700 217
# ThermoTrex Corp. 23,000 630
Thiokol Corp. 42,900 1,920
Thornburg Mortgage Asset Corp. 48,200 1,030
# 3DO Co. 82,600 398
# Timberland Co. 34,900 1,326
Titan Wheel International, Inc. 59,300 756
# Toll Brothers, Inc. 51,700 1,008
Tootsie Roll Industries, Inc. 41,492 1,644
# Top Source Technologies, Inc. 108,400 271
# The Topps Co., Inc. 134,825 548
The Toro Co. 29,100 1,062
Toronto Dominion Bank 17,915 457
# Tower Automotive, Inc. 27,800 864
Town & Country Trust REIT 62,300 911
# Toy Biz 38,000 741
# Tracor, Inc. 50,259 1,074
Trans Financial, Inc. 9,500 221
# Trans World Airlines 67,800 462
# Transaction Network
Services, Inc. 34,450 403
# Transaction Systems
Architects, Inc. 63,300 2,089
# Transcend Services, Inc. 36,500 187
# Transitional Hospital Corp. 101,850 980
# TransTexas Gas Corp. 25,300 361
Tredegar Industries Inc. 31,100 1,248
# Tremont Corp. 22,065 797
Trenwick Group Inc. 15,700 730
# Trident Microsystems, Inc. 50,800 851
# Triarc Cos., Inc. Class A 84,700 974
Trimas Corp. 37,100 886
# Trimble Navigation Ltd. 59,200 685
Trinet Corporate Realty Trust,
Inc. REIT 27,100 962
Trinova Corp. 63,300 2,303
# Triquint Semiconductor, Inc. 32,200 843
True North Communications 43,300 947
# Trump Hotels & Casino
Resorts, Inc. 70,100 841
The Trust Co. of New Jersey 68,870 968
Trustco Bank 45,781 976
Trustmark Corp. 63,000 1,630
# Tuboscope Vetco
International Corp. 99,700 1,539
# Tucson Electric Power Co. 75,360 1,253
20th Century Industries of CA 111,000 1,873
# Tyco Toys, Inc. 133,200 1,565
UGI Corp. Holding Co. 78,700 1,761
# UICI 80,800 2,611
UMB Financial Corp. 41,747 1,717
UNR Industries, Inc. 70,800 420
# USA Detergents, Inc. 21,400 880
UST Corp. 65,000 1,333
Ultramar Diamond
Shamrock Corp. 56,202 1,777
# Ultratech Stepper, Inc. 60,200 1,422
Unifirst Corp. 46,000 978
# Union Acceptance Corp. 40,800 714
# Uniphase Corp. 39,200 2,063
United Carolina Bancshare Corp. 57,700 2,268
United Cities Gas Co. 44,141 1,010
United Cos. Finance Corp. 62,402 1,661
United Bankshares, Inc. 35,800 1,172
United Dominion Realty Trust REIT 134,600 2,086
United Fire & Casualty Co. 25,925 959
United Illuminating Co. 33,250 1,043
# United International Holdings,
Inc. Class A 90,700 1,094
# United Meridian Corp. 70,400 3,643
# U.S. Filter Corp. 92,000 2,921
# U.S. Long Distance Corp. 40,400 328
# U.S. Home Corp. 42,200 1,097
# US Office Products Co. 81,200 2,756
# United States Can Co. 39,800 672
United States Trust Corp. 23,000 1,814
</TABLE>
65
<PAGE> 114
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
MARKET
SMALL CAPITALIZATION VALUE*
STOCK PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C>
# United Stationers, Inc. 31,900 $ 654
United Television, Inc. 9,400 823
# United Video Satellite Group, Inc. 37,300 643
# United Waste Systems, Inc. 95,600 3,280
United Water Resources, Inc. 56,968 883
United Wisconsin Services Inc. 30,900 811
# Unitrode Corp. 34,900 1,025
Universal Corp. 82,500 2,650
Universal Foods Corp. 60,700 2,140
Universal Health Realty Income
Trust REIT 40,600 832
# Universal Health Services
Class B 79,200 2,267
USFreightways Corp. 52,000 1,427
Urban Shopping Centers,
Inc. REIT 41,500 1,204
# UROHEALTH Systems, Inc.
Class A 30,700 238
# Uromed Corp. 38,700 370
# VLSI Technology, Inc. 111,900 2,658
# Valassis Communication 57,200 1,208
Valhi, Inc. 47,900 305
# ValuJet Inc. 80,500 511
Valmont Industries, Inc. 26,000 1,066
Valspar Corp. 36,100 2,044
# Value City Department Stores, Inc. 66,600 699
Value Line, Inc. 12,600 573
# Vans, Inc. 43,600 537
# Vanguard Cellular Systems, Inc.
Class A 69,450 1,085
# Vanstar Corp. 48,800 1,196
# Vantive Corp. 31,400 977
# Varco International, Inc. 65,700 1,519
# Ventritex Inc. 45,400 1,109
# Veritas Software Corp. 24,500 1,213
# Verity, Inc. 16,200 247
# Vertex Pharmaceuticals, Inc. 45,100 1,810
Vesta Insurance Group, Inc. 44,550 1,398
# Veterinary Centers of
America, Inc. 50,100 545
# Viasoft, Inc. 41,100 1,947
# Vicor Corp. 76,300 1,273
# Videoserver, Inc. 31,300 1,322
# Viewlogic Systems, Inc. 61,200 685
# Visio Corp. 18,500 907
# Visix Space Inc. 29,000 647
Vital Signs, Inc. 24,800 646
# Vitesse Semiconductor Corp. 43,200 1,968
# Vivus, Inc. 41,400 1,506
Vornado Realty Trust REIT 57,700 3,029
WD-40 Co. 20,250 1,035
# WFS Financial, Inc. 22,017 429
# WHX Corp. 47,800 424
# WMS Industries, Inc. 42,350 847
WPL Holdings, Inc. 72,500 2,039
WPS Resources Corp. 56,100 1,599
# Waban, Inc. 72,800 1,893
Wabash National Corp. 43,800 805
Wackenhut Corp. 38,200 659
Wackenhut Corp. Class B 3,656 56
Walden Residential Properties,
Inc. REIT 43,800 1,090
# Wall Data Inc. 39,750 596
# Walter Industries, Inc. 94,300 1,320
# Wang Laboratories, Inc. 86,500 1,762
Washington Energy Co. 56,269 1,161
Washington Federal Inc. 100,200 2,630
Washington Gas Light Corp. 106,000 2,398
Washington National Corp. 37,830 1,040
Washington REIT 72,550 1,270
# Waters Corp. 62,700 1,905
Watkins-Johnson Co. 24,900 610
Watts Industries Class A 48,000 1,146
Wausau Paper Mills Co. 66,332 1,223
Del Webb Corp. 53,396 874
Weeks Corp. REIT 37,600 1,250
Weingarten Realty Investors REIT 55,300 2,247
Wellman, Inc. 76,000 1,302
Wellsford Residential Property
Trust REIT 39,425 956
Werner Enterprises, Inc. 46,050 838
West Co., Inc. 31,300 884
# West Marine, Inc. 29,800 827
WestAmerica Bancorporation 22,100 1,285
Western Gas Resources, Inc. 40,600 782
Western Investment Real Estate
Trust REIT 69,800 907
# Westpoint Stevens, Inc. 39,200 1,166
# Westwood One, Inc. 73,600 1,219
# White River 17,426 993
Whitney Holdings 39,650 1,390
# Whittaker Corp. 49,400 624
# Whole Foods Market, Inc. 44,800 1,000
Wicor, Inc. 42,800 1,535
John Wiley & Sons Class A 30,500 984
# Williams Sonoma, Inc. 44,962 1,630
# Wind River Systems 28,400 1,340
Windmere-Durable Holdings Inc. 67,267 866
Winnebago Industries, Inc. 80,300 582
# Winstar Communications, Inc. 64,700 1,363
# Wolverine Tube, Inc. 32,700 1,153
Wolverine World Wide, Inc. 66,650 1,933
# Wonderware Corp. 28,400 254
# Workgroup Technology Corp. 43,900 283
# World Acceptance Corp. 12,400 82
# World Color Press, Inc. 82,700 1,592
Wyle Electronics 29,900 1,181
# Wyman Gordon Corp. 61,900 1,373
X-Rite Inc. 50,900 853
# Xoma Corp. 121,000 628
# Xircom, Inc. 57,000 1,247
# Xpedite Systems, Inc. 25,800 542
Xtra Corp. 41,900 1,817
# Yahoo!, Inc. 15,500 265
# Yellow Corp. 64,450 935
# Young Broadcasting Corp. 28,900 849
# Youth Services International, Inc. 27,100 410
# Zale Corp. 76,700 1,472
# Zebra Technologies Class A 45,000 1,043
# Zenith Electronics Corp. 63,121 686
</TABLE>
66
<PAGE> 115
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C>
Zenith National Insurance Corp. 29,600 $ 810
Zero Corp. 50,500 1,010
# Zila, Inc. 53,500 358
# Zilog Inc. 48,850 1,276
# Zoran Corp. 31,500 551
Zurich Reinsurance Centre
Holdings, Inc. 30,600 956
Zurn Industries, Inc. 47,900 1,251
# Zytec Corp. 36,000 380
- -----------------------------------------------------------------------
TOTAL COMMON STOCKS (97.7%) (1)
(COST $1,406,837) 1,673,925
- -----------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT
(000)
- -----------------------------------------------------------------------
TEMPORARY CASH INVESTMENTS (2.9%)
- -----------------------------------------------------------------------
<S> <C> <C>
U.S. TREASURY BILL--Note D
5.17%, 1/9/97 $ 1,500 1,499
REPURCHASE AGREEMENT
Collateralized by U.S. Government
Obligations in a Pooled
Cash Account
6.39%, 1/2/97 47,946 47,946
- -----------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(COST $49,445) 49,445
- -----------------------------------------------------------------------
TOTAL INVESTMENTS (100.6%)
(COST $1,456,282) 1,723,370
- -----------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-0.6%)
- -----------------------------------------------------------------------
Other Assets--Notes B and E 62,473
Liabilities--Note E (72,489)
-----------
(10,016)
- -----------------------------------------------------------------------
NET ASSETS (100%)
- -----------------------------------------------------------------------
Applicable to 84,694,988 outstanding
shares of beneficial interest
(unlimited authorization) $1,713,354
=======================================================================
NET ASSET VALUE PER SHARE $20.23
=======================================================================
</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, and S&P Midcap 400 Index futures
contracts represents 100.1% of net assets.
ADR--American Depository Receipt.
REIT--Real Estate Investment Trust.
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
AT DECEMBER 31, 1996, NET ASSETS CONSISTED OF:
- -----------------------------------------------------------------------
AMOUNT PER
(000) SHARE
- -----------------------------------------------------------------------
<S> <C> <C>
Paid in Capital $1,440,834 $17.02
Undistributed Net
Investment Income (494) (.01)
Accumulated Net
Realized Gains 5,966 .07
Unrealized Appreciation
(Depreciation)--Note D
Investment Securities 267,088 3.15
Futures Contracts (40) --
- -----------------------------------------------------------------------
NET ASSETS $1,713,354 $20.23
=======================================================================
</TABLE>
67
<PAGE> 116
REPORT OF INDEPENDENT ACCOUNTANTS
To the Shareholders and
Board of Trustees of
Vanguard Index Trust
In our opinion, the accompanying statements of net assets and the related
statements of operations and of changes in net assets and t$e financial
highlights appearing in the Annual Report to Shareholders present fairly, in
all material respects, the financial position of Extended Market Portfolio,
Total Stock Market Portfolio, Growth Portfolio, Value Portfolio, and Small
Capitalization Stock Portfolio (separate portfolios of Vanguard Index Trust,
the "Trust") at December 31, 1996, and the results of each of their operations,
the changes in each of their net assets and the financial highlights for each
of the periods indicated, in conformity with generally accepted accounting
principles. These financial statements and financial highlights (hereafter
referred to as "financial statements") are the responsibility of the Trust's
management; our responsibility is to express an opinion on these financial
statements based on our audits. We conducted our audits of these financial
statements in accordance with generally accepted auditing standards which
require that we plan and perform the audit to obtain reasonable assurance about
whether the financial statements are free of material misstatement. An audit
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, and evaluating the overall
financial statement presentation. We believe that our audits, which included
confirmation of securities at December 31, 1996 by correspondence with the
custodian and, with respect to unsettled securities transactions, the
application of alternative auditing procedures, provide a reasonable basis for
the opinion expressed above.
PRICE WATERHOUSE LLP
Thirty South Seventeenth Street
Philadelphia, Pennsylvania 19103
January 31, 1997
68
F400-12/96
