<PAGE> 1
VANGUARD INDEX TRUST
MID AND SMALL CAPITALIZATION
PORTFOLIOS
Semiannual Report - June 30, 1998
- ---------
Extended Market
Portfolio
Mid Capitalization
Stock Portfolio
Small Capitalization
Stock Portfolio
Small Capitalization
Growth Stock Portfolio
Small Capitalization
Value Stock Portfolio
[PHOTO]
[THE VANGUARD GROUP LOGO]
<PAGE> 2
OUR CREW MAKES THE DIFFERENCE
Throughout our history, The Vanguard Group has received considerable attention
as the low-cost provider of mutual funds. While such accolades are gratifying,
we are most proud, not of our low operating expenses or the billions of dollars
we manage, but of our sterling reputation created by the Vanguard crew.
We recognize that it is our crew members--more than 7,000 highly
motivated men and women--who form the cornerstone of our operations. We could
not survive long--let alone prosper--without them. That's why we chose this
fiscal year's fund reports to celebrate the spirit, enthusiasm, and achievements
of our crew. (We call those who work at Vanguard crew members, not employees,
because they operate as a team to accomplish our mission of serving you, our
clients.)
But while we prize the collective contributions of our crew, we also
take time to recognize the importance of the individual. Each calendar quarter,
we present our Award For Excellence to a handful of crew members who have
demonstrated particular excellence in the performance of their jobs and who
embody "The Vanguard Spirit." Our report cover shows only a few of the more than
300 crew members who have received this distinction since 1984.
They, along with the rest of our valiant crew, look forward to
serving you in the years ahead.
[PHOTO] [PHOTO]
John C. Bogle John J. Brennan
Senior Chairman Chairman & CEO
CONTENTS
A MESSAGE TO OUR SHAREHOLDERS .................. 1
THE MARKETS IN PERSPECTIVE ..................... 5
PERFORMANCE SUMMARIES .......................... 7
PORTFOLIO PROFILES ............................. 12
FINANCIAL STATEMENTS ........................... 18
All comparative mutual fund data are from Lipper Analytical Services, Inc., or
Morningstar unless otherwise noted.
<PAGE> 3
FELLOW SHAREHOLDER,
The U.S. stock market rocketed to new highs during the first six months of 1998,
but Vanguard Index Trust's mid- and small-capitalization portfolios were
generally left in the vapor trail of the remarkable performance of large-cap
stocks.
During the half-year ended June 30, our Extended Market Portfolio
earned a total return of +9.1% and our Small Capitalization Stock Portfolio
earned +4.6%, each providing a close match with its benchmark index. These
returns appear somewhat pale in comparison with the exceptional +17.7% return of
the Standard & Poor's 500 Composite Stock Price Index, which is dominated by
large stocks.
The following table shows the six-month total returns (capital change
plus reinvested dividends) achieved by our five mid- and small-cap
portfolios--including three portfolios that we introduced in May--compared with
the returns of their respective unmanaged index benchmarks. Per-share figures
for each portfolio, including net asset values and capital gains distributions,
are presented in a table that follows this letter.
<TABLE>
<CAPTION>
- ----------------------------------------------------------
TOTAL RETURNS
SIX MONTHS ENDED
JUNE 30, 1998
- ----------------------------------------------------------
<S> <C>
EXTENDED MARKET PORTFOLIO +9.1%
Wilshire 4500 Equity Index +9.4
- ----------------------------------------------------------
MIDCAP STOCK PORTFOLIO* -1.5%
S&P MidCap 400 Index -1.6
- ----------------------------------------------------------
SMALLCAP STOCK PORTFOLIO +4.6%
Russell 2000 Index +4.9
- ----------------------------------------------------------
SMALLCAP GROWTH STOCK PORTFOLIO* -2.7%
S&P SmallCap 600/BARRA Growth Index -2.4
- ----------------------------------------------------------
SMALLCAP VALUE STOCK PORTFOLIO* -2.1%
S&P SmallCap 600/BARRA Value Index -2.1
- ----------------------------------------------------------
INSTITUTIONAL SHARES
- ----------------------------------------------------------
Extended Market Portfolio +9.1%
MidCap Stock Portfolio* -1.5
SmallCap Stock Portfolio +4.7
- ----------------------------------------------------------
*Since May 21, 1998.
</TABLE>
On May 21, 1998, we began equity investments for the three new index
portfolios--each of which offers Institutional Shares. The addition of the
MidCap Stock, SmallCap Growth Stock and SmallCap Value Stock Portfolios broadens
our selection of passively managed portfolios. Though the period since their
inceptions is far too brief to make any judgment about the performance of these
portfolios, we are confident that over the long run the inherent advantages of
indexing--low cost, broad diversification, tax-efficiency, and relative
performance predictability--will be clearly demonstrated.
We note that this is the first time we have published a separate
report for the mid-and small-cap portfolios of Vanguard Index Trust. Previously,
a single report covered the performance and financial statements for all of our
portfolios, an unwieldy format that provided superfluous information for some
readers who owned shares of only one or two portfolios. We believe this change
will alleviate that problem, while also helping to reduce Vanguard's printing
and mailing costs--savings that ultimately benefit all of our shareholders. The
semiannual review of our large-cap index portfolios is published in a separate
report.
THE PERIOD IN REVIEW
The U.S. economy grew vigorously, inflation was subdued, and interest rates
declined during the first half of 1998. Consumers, heartened by high employment
and rising
1
<PAGE> 4
wages, spent freely, providing the economy's propellant. Strength in consumer
spending was more than enough to offset the negative effects of Asia's severe
economic slump.
Asia's troubles, which have lowered the prices of imported goods in
the United States, were partly responsible for the benign behavior of
inflation--consumer prices rose only 1.1% for the six months and 1.7% for the
twelve months ended June 30. Low inflation was especially soothing to the bond
market, where prices rose and interest rates declined; the yield on the
benchmark 30-year U.S. Treasury bond was 5.63% on June 30, down 29 basis points
(0.29 percentage point) from its yield at the start of the year, reflected in a
price increase of about 3%.
The stock market's rise during the six months, however impressive,
was not straight up. Jitters over Asia prompted an across-the-board decline
during parts of April and May and resulted in a 10% "correction" in some
small-stock indexes.
As has been the case for a good portion of the current bull run in
stocks, bigger was better during the half-year and "big growth" was better
still. The S&P 500 Index's advance was once again led by a relatively narrow
segment of blue-chip growth companies. More than half of the Index's remarkable
+17.7% return during the period was accounted for by fewer than 20 giant stocks.
Notably, the Index's second-largest holding, Microsoft, was up 68% in the first
half, Wal-Mart (seventh-largest in the Index) climbed 54%, and Lucent
(twelfth-largest) was up 108%. Those three issues alone accounted for nearly
one-fourth of the S&P 500 Index's gain during the half-year.
The story was much different for the rest of the U.S. stock market.
Small-cap stocks trailed large-cap stocks only slightly after the first four
months of the year. But during May and June, large-cap stocks left the rest of
the field far behind. For the six months, the +9.4% return of the Wilshire 4500
Index--a proxy for the U.S. stock market beyond the S&P 500 Index and the
benchmark for our Extended Market Portfolio--was just over half that of the S&P
500 Index. The Russell 2000 Index, which is even more concentrated in small-cap
stocks, fared worse, returning +4.9%.
The table below compares the six-month performance of our Extended
Market and SmallCap Stock Portfolios with the returns of funds in comparable
mutual fund categories. In both cases our underperformance is explained by the
market's large-cap bias during the half-year. The Extended Market Portfolio's
performance fell well short of that of the average growth mutual fund, which has
a much higher stake in larger stocks. Similarly, our SmallCap Stock Portfolio
strictly adheres to small-cap stocks while the average small-cap fund often
wanders into larger-cap territory.
<TABLE>
<CAPTION>
- --------------------------------------------------------------------
TOTAL RETURNS
SIX MONTHS ENDED JUNE 30, 1998
-------------------------------------
AVERAGE
VANGUARD COMPARABLE
PORTFOLIO FUND* DIFFERENCE
- --------------------------------------------------------------------
<S> <C> <C> <C>
Extended Market Portfolio +9.1% +15.1% -6.0%
SmallCap Stock Portfolio +4.6 + 6.5 -1.9
- --------------------------------------------------------------------
</TABLE>
*Figures for the average comparable funds are compiled by Lipper Analytical
Services. The Lipper fund groups are: for the Extended Market Portfolio,
growth funds; for the SmallCap Stock Portfolio, small-cap funds.
We hasten to mention the fine job that our Core Management Group has
done in keeping our portfolios in line with their respective indexes--no small
task given that we incur the costs of investing substantial cash almost every
day, and we incur operating expenses (albeit at extremely low levels) that the
indexes do not. We fully expect our new portfolios to provide the same close
tracking of their benchmarks.
2
<PAGE> 5
IN SUMMARY
The rewards of investing in the stock market have been amply demonstrated during
the bull market that began nearly 16 years ago. The risks, meanwhile, seem to
have come in brief bursts.
For those who believe that such outsized gains will continue
indefinitely, we assure you they will not. Stocks will not continue to pack the
historical equivalent of more than 18 months' worth of returns into six months.
And not all future market declines will be short-lived. Prolonged declines have
occurred in the past and almost surely will recur in the future. That is the
nature of the financial markets.
Because such turnabouts are difficult--if not impossible--to predict,
we recommend a sensible course that allows investors to participate in the stock
market's rewards without shouldering all of its considerable risk: holding a
balanced portfolio of stock funds, bond funds, and money market funds. Such
portfolios are time-tested vehicles for reaping the rewards of financial markets
as well as for "staying the course" toward your long-term objectives.
We look forward to reporting to you on the full 1998 fiscal year in
our annual report six months hence.
/s/ JOHN C. BOGLE /s/ JOHN J. BRENNAN
John C. Bogle John J. Brennan
Senior Chairman Chairman and
Chief Executive Officer
July 17, 1998
3
<PAGE> 6
<TABLE>
<CAPTION>
PORTFOLIO STATISTICS
- --------------------------------------------------------------------------------------------------------
SIX MONTHS ENDED JUNE 30, 1998
NET ASSET VALUE PER SHARE -------------------------------------------
------------------------- DISTRIBUTIONS FROM DIVIDENDS PER
DEC. 31, JUNE 30, NET REALIZED SHARE FROM NET
INDEX TRUST PORTFOLIO 1997 1998 CAPITAL GAINS INVESTMENT INCOME
- --------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Extended Market $30.76 $33.21 $0.35 --
MidCap Stock 10.04* 9.89 -- --
SmallCap Stock 23.75 24.68 0.17 --
SmallCap Growth Stock 10.04* 9.77 -- --
SmallCap Value Stock 10.05* 9.84 -- --
- --------------------------------------------------------------------------------------------------------
INSTITUTIONAL SHARES
- --------------------------------------------------------------------------------------------------------
Extended Market $30.76 $33.23 $0.35 --
MidCap Stock 10.04* 9.89 -- --
SmallCap Stock 23.75 24.70 0.17 --
- --------------------------------------------------------------------------------------------------------
</TABLE>
*Net asset value as of May 21, 1998.
4
<PAGE> 7
THE MARKETS IN PERSPECTIVE
Six Months Ended June 30, 1998
Blue skies predominated for U.S. financial markets during the first six months
of 1998, and even the occasional clouds had silver linings. The bond market
provided solid returns during the half-year, while the stock market's
performance was extraordinarily strong.
After expanding at a 5.4% annual pace during the first quarter, the
U.S. economy kept steaming along through June, fueled by powerful increases in
household spending. Consumers had reason to be upbeat: plentiful jobs
(unemployment fell to 4.3% of the workforce in May); rising wages (personal
income in May was 5.9% higher than in May 1997); and tame inflation (consumer
prices in June were up only 1.7% from a year before).
The economic push provided by consumers more than compensated for the
drag caused by Asia's severe economic problems. Weakening currencies and
business slowdowns in Asia cut into U.S. exports and lowered the cost of Asian
imports, causing the U.S. trade deficit to hit record levels. Ominously, Asia's
problems appear to be more serious and enduring than many economists expected.
Yet for Americans this "Asian contagion" has a bright side: It serves as an
escape valve for the inflationary pressures that ordinarily would be expected to
build up with the U.S. economy humming along at high speed.
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------
TOTAL RETURNS
PERIODS ENDED JUNE 30, 1998
--------------------------------
6 MONTHS 1 YEAR 5 YEARS*
- -----------------------------------------------------------------------------
<S> <C> <C> <C>
EQUITY
S&P 500 Index 17.7% 30.2% 23.1%
Russell 2000 Index 4.9 16.5 16.0
MSCI EAFE Index 16.1 6.4 10.3
- -----------------------------------------------------------------------------
FIXED-INCOME
Lehman Aggregate Bond Index 3.9% 10.5% 6.9%
Lehman 10-Year Municipal Bond Index 2.6 8.5 6.6
Salomon Brothers Three-Month
U.S. Treasury Bill Index 2.6 5.3 4.9
- -----------------------------------------------------------------------------
OTHER
Consumer Price Index 1.1% 1.7% 2.5%
- -----------------------------------------------------------------------------
</TABLE>
*Annualized.
U.S. EQUITY MARKETS
The mixture of robust economic growth and anemic inflation was a tonic for the
U.S. stock market. Although prices generally rose, there were striking
disparities in returns between large-capitalization and small-cap stocks and
between growth and value stocks. The large-cap-dominated S&P 500 earned 17.7%
during the six months, nearly double the 9.4% return on the rest of the market
(as measured by the Wilshire 4500 Index) and more than triple the 4.9% return on
the small-cap Russell 2000 Index. Within the S&P 500 Index, growth stocks were
up 23.1%, while value stocks rose 12.1%.
A decline in interest rates contributed to the stock market's rise,
as falling rates on bonds tend to make equities more attractive and to boost the
price investors will pay for each dollar of a stock's earnings or dividends. Yet
growth in earnings and dividends--the long-term underpinning of stock
prices--was unimpressive during the first half of 1998.
Corporate earnings estimates were reduced in June, the tenth
consecutive month in which securities analysts have cut their earnings
estimates, according to I/B/E/S International, a financial research group.
Earnings by the S&P 500 companies were expected to
5
<PAGE> 8
rise by only about 2% for the first half of 1998, I/B/E/S reported. With gains
in prices outstripping increases in earnings and dividends, stock valuations are
at or near all-time highs, an indication that investors expect ideal conditions
to continue.
Technology stocks were the best-performing sector during the first
half of 1998, generating a 32.7% return. Three other sectors of the stock
market--health care, consumer discretionary stocks such as retailers, and auto &
transportation--each provided returns of about 25% for the six months. Companies
involved in energy, chemicals, or other commodity-based businesses were
generally laggards. Prices of many commodities have declined as Asia's economic
funk cuts demand for energy and other industrial materials in the face of
plentiful supplies.
U.S. FIXED-INCOME MARKETS
Investors in fixed-income securities enjoyed a moderate rise in the market value
of their holdings because of declining interest rates. This price appreciation,
added to coupon interest income, resulted in solid total returns. The 3.9% total
return of the Lehman Aggregate Bond Index during the half-year brought its
return for the 12 months ended June 30 to 10.5%, or a very generous 8.8% after
adjustment for inflation.
Yields on 10-year and 30-year U.S. Treasury bonds declined by 29
basis points (0.29 percentage point) to 5.45% and 5.63%, respectively, during
the first half of 1998, with most of the drop occurring during the second
quarter. The yield on 3-month Treasury bills declined 36 basis points to 4.99%.
Mild inflation--consumer prices were up 1.1% for the half-year--enabled rates to
decline despite the economy's strong growth.
Yields on corporate and municipal bonds did not decline as far as
those on Treasury securities because of a large increase in the supply of new
bonds issued by companies and municipalities taking advantage of lower rates to
refinance old debt. Similarly, mortgage-backed securities did not match
Treasuries' performance because of expectations that large numbers of homeowners
would pay off old, higher-coupon mortgage loans and refinance with new,
lower-rate loans.
INTERNATIONAL EQUITY MARKETS
Stock markets in Europe soared while those in Asia and most emerging economies
suffered steep declines in U.S.-dollar terms. The 16.1% overall return from
international markets, as measured by the Morgan Stanley Capital International
Europe, Australasia, Far East Index, masked the divergence between Europe and
other regions.
Europe's markets were up 27.1% when measured in local currencies and
26.5% in U.S. dollars, after adjusting for a slight overall rise in the dollar's
value. Stocks benefited from an upswing in most European economies, from signs
that corporate managers are increasingly focused on shareholder value, and from
optimism concerning next year's planned adoption of the euro as a single
European currency.
In the Pacific, which is dominated by Japan's stock market, stocks
were buffeted by several problems: slowing growth in economic activity;
continued instability in currencies; political upheavals; and widespread worries
about corporate and banking insolvencies. On balance, the region's stocks fell
6.0% in U.S.-dollar terms. Japanese stocks were down 2.5%, but losses were more
severe in the region's smaller markets.
Emerging markets were, on balance, down sharply. Asian stock markets
were hurt by continued weakness in the currency values of several countries, by
Japan's recession, and by a growing conviction that the region's economic
troubles are far from transitory. Venezuela and Mexico, both key oil-producing
nations, were hard hit by falling oil prices.
6
<PAGE> 9
PERFORMANCE SUMMARIES
All of the data on this page represent past performance, which cannot be used to
predict future returns that may be achieved by the portfolio. Note, too, that
both share price and return can fluctuate widely, so an investment in the
portfolio could lose money.
<TABLE>
<CAPTION>
EXTENDED MARKET PORTFOLIO
TOTAL INVESTMENT RETURNS: DECEMBER 21, 1987-JUNE 30, 1998
- ----------------------------------------------------------
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% 0.5%
1988 17.7 2.0 19.7 20.5
1989 22.1 2.0 24.1 23.9
1990 -16.4 2.4 -14.0 -13.6
1991 39.6 2.2 41.8 43.5
1992 10.9 1.6 12.5 11.9
1993 13.2 1.3 14.5 14.6
1994 -3.2 1.4 -1.8 -2.7
1995 32.2 1.6 33.8 33.5
1996 16.2 1.4 17.6 17.2
1997 25.3 1.4 26.7 25.7
1998* 9.1 0.0 9.1 9.4
- ----------------------------------------------------------
</TABLE>
*Six months ended June 30, 1998.
See Financial Highlights table on page 23 for dividend and capital gains
information for the past five years.
<TABLE>
<CAPTION>
EXTENDED MARKET PORTFOLIO-INSTITUTIONAL SHARES
TOTAL INVESTMENT RETURNS: JULY 7, 1997-JUNE 30, 1998
- ----------------------------------------------------------
EXTENDED MARKET PORTFOLIO- WILSHIRE
INSTITUTIONAL SHARES 4500
FISCAL CAPITAL INCOME TOTAL TOTAL
PERIOD RETURN RETURN RETURN RETURN
- ----------------------------------------------------------
<S> <C> <C> <C> <C>
1997 10.5% 1.3% 11.8% 12.0%
1998* 9.1% 0.0% 9.1% 9.4%
- ----------------------------------------------------------
</TABLE>
*Six months ended June 30, 1998.
See Financial Highlights table on page 24 for dividend and capital gains
information since the portfolio's inception.
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS: PERIODS ENDED JUNE 30, 1998
- ---------------------------------------------------------------------------------------------------------------
10 YEARS
INCEPTION -------------------------------
DATE 1 YEAR 5 YEARS CAPITAL INCOME TOTAL
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Extended Market Portfolio* 12/21/1987 23.42% 18.25% 13.55% 1.71% 15.26%
Extended Market Portfolio-
Institutional Shares** 7/7/1997 -- -- 20.32+ 1.43+ 21.75+
- ---------------------------------------------------------------------------------------------------------------
</TABLE>
*Performance figures are adjusted for the 0.25% transaction fee on purchases
and the $10 annual account maintenance fee.
**Performance figures are adjusted for the 0.25% transaction fee on purchases.
+Since inception.
7
<PAGE> 10
PERFORMANCE SUMMARIES (continued)
All of the data on this page represent past performance, which cannot be used to
predict future returns that may be achieved by the portfolio. Note, too, that
both share price and return can fluctuate widely, so an investment in the
portfolio could lose money.
<TABLE>
<CAPTION>
MID CAPITALIZATION STOCK PORTFOLIO
TOTAL INVESTMENT RETURNS:
MAY 21, 1998-JUNE 30, 1998
- ----------------------------------------------------------
MID CAPITALIZATION STOCK PORTFOLIO S&P*
FISCAL CAPITAL INCOME TOTAL TOTAL
PERIOD RETURN RETURN RETURN** RETURN
- ----------------------------------------------------------
<S> <C> <C> <C> <C>
1998 -1.5% 0.0% -1.5% -1.6%
- ----------------------------------------------------------
</TABLE>
*S&P MidCap 400 Index.
**Subscription period for the portfolio was April 20, 1998, to May 20, 1998,
during which time all assets were held in money market instruments.
Performance measurement begins May 21, 1998.
<TABLE>
<CAPTION>
MID CAPITALIZATION STOCK PORTFOLIO-
INSTITUTIONAL SHARES
TOTAL INVESTMENT RETURNS:
MAY 21, 1998-JUNE 30, 1998
- ----------------------------------------------------------
MID CAPITALIZATION STOCK PORTFOLIO-
INSTITUTIONAL SHARES S&P*
FISCAL CAPITAL INCOME TOTAL TOTAL
PERIOD RETURN RETURN RETURN** RETURN
- ----------------------------------------------------------
<S> <C> <C> <C> <C>
1998 -1.5% 0.0% -1.5% -1.6%
- ----------------------------------------------------------
</TABLE>
*S&P MidCap 400 Index.
**Subscription period for the portfolio was April 20, 1998, to May 20, 1998,
during which time all assets were held in money market instruments.
Performance measurement begins May 21, 1998.
<TABLE>
<CAPTION>
TOTAL RETURNS: PERIOD ENDED JUNE 30, 1998
- ----------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION
INCEPTION -----------------------------------
DATE** CAPITAL INCOME TOTAL
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Mid Capitalization Stock Portfolio* 5/21/1998 -1.74% 0.00% -1.74%
Mid Capitalization Stock Portfolio-Institutional Shares* 5/21/1998 -1.74 0.00 -1.74
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
*Performance figures are adjusted for the 0.25% transaction fee on purchases.
**Subscription period for the portfolio was April 20, 1998, to May 20, 1998,
during which time all assets were held in money market instruments.
Performance measurement begins May 21, 1998.
8
<PAGE> 11
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 an investment in the
portfolio could lose money.
<TABLE>
<CAPTION>
SMALL CAPITALIZATION STOCK PORTFOLIO
TOTAL INVESTMENT RETURNS: DECEMBER 31, 1977-JUNE 30, 1998
- -----------------------------------------------------------
SMALL CAPITALIZATION RUSSELL
STOCK PORTFOLIO 2000
FISCAL CAPITAL INCOME TOTAL TOTAL
YEAR RETURN RETURN RETURN RETURN
- -----------------------------------------------------------
<S> <C> <C> <C> <C>
1978 4.4% 2.4% 6.8% 14.5%
1979 30.6 3.8 34.4 43.1
1980 42.9 1.1 44.0 38.6
1981 -2.9 0.0 -2.9 2.0
1982 43.5 2.9 46.4 24.9
1983 18.2 0.0 18.2 29.1
1984 -25.2 0.0 -25.2 -7.3
1985 21.5 1.5 23.0 31.1
1986 0.2 0.0 0.2 5.7
1987 -7.0 0.0 -7.0 -8.8
1988 24.0 0.6 24.6 24.9
1989 9.4 1.1 10.5 16.2
1990 -19.8 1.7 -18.1 -19.5
1991 43.0 2.3 45.3 46.1
1992 16.7 1.5 18.2 18.4
1993 17.4 1.3 18.7 18.9
1994 -1.9 1.4 -0.5 -1.8
1995 27.2 1.5 28.7 28.4
1996 16.6 1.5 18.1 16.5
1997 23.2 1.4 24.6 22.4
1998* 4.6 0.0 4.6 4.9
- -----------------------------------------------------------
</TABLE>
*Six months ended June 30, 1998.
See Financial Highlights table on page 25 for dividend and capital gains
information for the past five years.
<TABLE>
<CAPTION>
SMALL CAPITALIZATION STOCK PORTFOLIO-INSTITUTIONAL SHARES
TOTAL INVESTMENT RETURNS: JULY 7, 1997-JUNE 30, 1998
- --------------------------------------------------------
SMALL CAPITALIZATION STOCK RUSSELL
PORTFOLIO-INSTITUTIONAL SHARES 2000
FISCAL CAPITAL INCOME TOTAL TOTAL
PERIOD RETURN RETURN RETURN RETURN
- --------------------------------------------------------
<S> <C> <C> <C> <C>
1997 10.1% 1.3% 11.4% 11.1%
1998* 4.7 0.0 4.7 4.9
- --------------------------------------------------------
</TABLE>
*Six months ended June 30, 1998.
See Financial Highlights table on page 26 for dividend and capital gains
information since the portfolio's inception.
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS: PERIODS ENDED JUNE 30, 1998
- -------------------------------------------------------------------------------------------------------------------------
10 YEARS
INCEPTION -------------------------------
DATE 1 YEAR 5 YEARS CAPITAL INCOME TOTAL
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Small Capitalization Stock Portfolio* 10/3/1960 16.27% 16.87% 12.23% 1.35% 13.58%
Small Capitalization Stock Portfolio-
Institutional Shares** 7/7/1997 -- -- 14.68+ 1.37+ 16.05+
- -------------------------------------------------------------------------------------------------------------------------
</TABLE>
*Performance figures are adjusted for the 0.5% transaction fee on purchases
and the $10 annual account maintenance fee.
**Performance figures are adjusted for the 0.5% transaction fee on purchases.
+Since inception.
9
<PAGE> 12
PERFORMANCE SUMMARIES (continued)
All of the data on this page represent past performance, which cannot be used to
predict future returns that may be achieved by the portfolio. Note, too, that
both share price and return can fluctuate widely, so an investment in the
portfolio could lose money.
<TABLE>
<CAPTION>
SMALL CAPITALIZATION GROWTH STOCK PORTFOLIO
TOTAL INVESTMENT RETURNS:
MAY 21, 1998-JUNE 30, 1998
- ---------------------------------------------------------
SMALL CAPITALIZATION GROWTH
STOCK PORTFOLIO S&P*
FISCAL CAPITAL INCOME TOTAL TOTAL
PERIOD RETURN RETURN RETURN** RETURN
- ---------------------------------------------------------
<S> <C> <C> <C> <C>
1998 -2.7% 0.0% -2.7% -2.4%
- ---------------------------------------------------------
</TABLE>
*S&P SmallCap 600/BARRA Growth Index.
**Subscription period for the portfolio was April 20, 1998, to May 20, 1998,
during which time all assets were held in money market instruments.
Performance measurement begins May 21, 1998.
<TABLE>
<CAPTION>
TOTAL RETURN: PERIOD ENDED JUNE 30, 1998
- -------------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION
INCEPTION -------------------------------
DATE** CAPITAL INCOME TOTAL
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Small Capitalization Growth Stock Portfolio* 5/21/1998 -3.66% 0.00% -3.66%
- -------------------------------------------------------------------------------------------------------------------------
</TABLE>
*Performance figures are adjusted for the 1% transaction fee on purchases.
**Subscription period for the portfolio was April 20, 1998, to May 20, 1998,
during which time all assets were held in money market instruments.
Performance measurement begins May 21, 1998.
10
<PAGE> 13
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 an investment in the
portfolio could lose money.
<TABLE>
<CAPTION>
SMALL CAPITALIZATION VALUE STOCK PORTFOLIO
TOTAL INVESTMENT RETURNS:
MAY 21, 1998-JUNE 30, 1998
- ---------------------------------------------------------
SMALL CAPITALIZATION VALUE
STOCK PORTFOLIO S&P*
FISCAL CAPITAL INCOME TOTAL TOTAL
PERIOD RETURN RETURN RETURN** RETURN
- ---------------------------------------------------------
<S> <C> <C> <C> <C>
1998 -2.1% 0.00% -2.1% -2.1%
- ---------------------------------------------------------
</TABLE>
*S&P SmallCap 600/BARRA Value Index.
**Subscription period for the portfolio was April 20, 1998, to May 20, 1998,
during which time all assets were held in money market instruments.
Performance measurement begins May 21, 1998.
<TABLE>
<CAPTION>
TOTAL RETURN: PERIOD ENDED JUNE 30, 1998
- -------------------------------------------------------------------------------------------------------
SINCE INCEPTION
INCEPTION -------------------------------
DATE** CAPITAL INCOME TOTAL
- -------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Small Capitalization Value Stock Portfolio* 5/21/1998 -3.07% 0.00% -3.07%
- -------------------------------------------------------------------------------------------------------
</TABLE>
*Performance figures are adjusted for the 1% transaction fee on purchases.
**Subscription period for the portfolio was April 20, 1998, to May 20, 1998,
during which time all assets were held in money market instruments.
Performance measurement begins May 21, 1998.
11
<PAGE> 14
PORTFOLIO PROFILE
Extended Market Portfolio
This Profile provides a snapshot of the portfolio's characteristics as of June
30, 1998, compared where appropriate to its unmanaged target index. Key elements
of this Profile are defined on page 13.
<TABLE>
<CAPTION>
PORTFOLIO CHARACTERISTICS
- --------------------------------------------------------------
EXTENDED WILSHIRE
MARKET 4500
- --------------------------------------------------------------
<S> <C> <C>
Number of Stocks 2,254 6,906
Median Market Cap $1.8B $1.8B
Price/Earnings Ratio 23.1x 23.1x
Price/Book Ratio 2.9x 2.9x
Yield 1.1% 1.1%
Yield--Institutional Shares 1.2% 1.1%
Return on Equity 14.5% 14.5%
Earnings Growth Rate 18.2% 18.2%
Foreign Holdings 1.3% 1.3%
Turnover Rate 20%* --
Expense Ratio 0.23%* --
Expense Ratio--
Institutional Shares 0.10%* --
Cash Reserves 0.0% --
</TABLE>
*Annualized.
INVESTMENT FOCUS
- -------------------------------------------------------
[GRAPH]
<TABLE>
<CAPTION>
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- -------------------------------------------------------
<S> <C>
Berkshire Hathaway Class A 3.0%
Carnival Corp. 0.7
America Online, Inc. 0.7
Electronic Data Systems Corp. 0.6
Safeway, Inc. 0.6
The Equitable Cos. 0.5
Coca-Cola Enterprises, Inc. 0.5
Cox Communications Class A 0.4
Qwest Communications International Inc. 0.4
Republic Industries, Inc. 0.3
- -------------------------------------------------------
Top Ten 7.7%
</TABLE>
<TABLE>
<CAPTION>
VOLATILITY MEASURES
- --------------------------------------------------
EXTENDED
MARKET S&P 500
- --------------------------------------------------
<S> <C> <C>
R-Squared 0.56 1.00
Beta 0.84 1.00
</TABLE>
<TABLE>
<CAPTION>
SECTOR DIVERSIFICATION (% OF COMMON STOCKS)
- ---------------------------------------------------------------------------------------------------
JUNE 30, 1997 JUNE 30, 1998
---------------------------------------------------------
EXTENDED EXTENDED WILSHIRE
MARKET MARKET 4500
---------------------------------------------------------
<S> <C> <C> <C>
Auto & Transportation 3.1% 3.2% 3.2%
Consumer Discretionary 17.0 19.4 19.4
Consumer Staples 3.9 4.0 4.0
Financial Services 25.5 22.5 22.5
Health Care 9.0 8.2 8.2
Integrated Oils 0.8 0.4 0.4
Other Energy 4.5 4.0 4.0
Materials & Processing 8.2 7.2 7.2
Producer Durables 7.3 6.0 6.0
Technology 11.9 12.8 12.8
Utilities 7.3 7.8 7.8
Other 1.5 4.5 4.5
- ---------------------------------------------------------------------------------------------------
</TABLE>
12
<PAGE> 15
BETA. A measure of the magnitude of a portfolio's past share-price fluctuations
in relation to the ups and downs of the overall market (or appropriate market
index). The market (or index) is assigned 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%.
CASH RESERVES. The percentage of a portfolio's net assets invested in "cash
equivalents"--highly liquid, short-term, interest-bearing securities. This
figure does not include cash invested in futures contracts to simulate stock
investment.
EARNINGS GROWTH RATE. The average annual 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.
FOREIGN HOLDINGS. The percentage of a portfolio's net assets represented by
stocks or American Depositary Receipts of companies based outside 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. An indicator of the size of companies in which a portfolio
invests; the midpoint of market capitalization (market price x shares
outstanding) of a portfolio's stocks, weighted by the proportion of the
portfolio's assets invested in each stock. Stocks representing half of the
portfolio's assets have market capitalizations above the median, and the rest
are below it.
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.
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.
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 whose stocks it holds.
SECTOR DIVERSIFICATION. The percentages of a portfolio's common stocks that come
from each of the major industry groups that compose the stock market.
TEN LARGEST HOLDINGS. The percentage of net assets invested in a portfolio's ten
largest holdings. (The average for stock mutual funds is about 30%.) As this
percentage rises, returns are likely to be more volatile because they are more
dependent on the returns of a few stocks.
TURNOVER RATE. An indication of trading activity during the period. Portfolios
with high turnover rates incur higher transaction costs and are more likely to
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. The index yield is based on the current annualized rate of
dividends paid on stocks in the index.
13
<PAGE> 16
PORTFOLIO PROFILE
Mid Capitalization Stock Portfolio
This Profile provides a snapshot of the portfolio's characteristics as of June
30, 1998, compared where appropriate to its unmanaged target index. Key elements
of this Profile are defined on page 13.
<TABLE>
<CAPTION>
PORTFOLIO CHARACTERISTICS
- ----------------------------------------------------------
MID S&P
CAPITALIZATION MIDCAP 400
- ----------------------------------------------------------
<S> <C> <C>
Number of Stocks 402 400
Median Market Cap $3.3B $3.3B
Price/Earnings Ratio 23.2x 23.2x
Price/Book Ratio 3.2x 3.2x
Yield 1.0% 1.1%
Yield--Institutional Shares 1.1% 1.1%
Return on Equity 16.4% 16.4%
Earnings Growth Rate 17.3% 17.3%
Foreign Holdings 0.1% 0.1%
Turnover Rate 15% --
Expense Ratio 0.24%* --
Expense Ratio--
Institutional Shares 0.12%* --
Cash Reserves 0.1% --
</TABLE>
*Annualized.
INVESTMENT FOCUS
- -------------------------------------------------------
[GRAPH]
<TABLE>
<CAPTION>
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- -------------------------------------------------------
<S> <C>
America Online, Inc. 2.4%
Coca-Cola Enterprises, Inc. 1.6
USA Waste Service 1.1
BMC Software, Inc. 1.1
AES Corp. 1.0
Compuware Corp. 1.0
Kohls Corp. 0.9
Staples, Inc. 0.9
AFLAC, Inc. 0.8
McKesson Corp. 0.8
- -------------------------------------------------------
Top Ten 11.6%
</TABLE>
<TABLE>
<CAPTION>
SECTOR DIVERSIFICATION (% OF COMMON STOCKS)
- ---------------------------------------------------------------------------------
JUNE 30, 1998
---------------------------------------
MID S&P MIDCAP
CAPITALIZATION 400
---------------------------------------
<S> <C> <C>
Auto & Transportation 3.1% 3.2%
Consumer Discretionary 20.2 20.1
Consumer Staples 5.5 5.4
Financial Services 15.9 17.2
Health Care 9.0 8.9
Integrated Oils 0.6 0.7
Other Energy 6.5 6.3
Materials & Processing 8.0 7.6
Producer Durables 5.9 5.7
Technology 11.0 10.8
Utilities 12.3 12.2
Other 2.0 1.9
- ---------------------------------------------------------------------------------
</TABLE>
14
<PAGE> 17
PORTFOLIO PROFILE
Small Capitalization Stock Portfolio
This Profile provides a snapshot of the portfolio's characteristics as of June
30, 1998, compared where appropriate to its unmanaged target index. Key elements
of this Profile are defined on page 13.
<TABLE>
<CAPTION>
PORTFOLIO CHARACTERISTICS
- ----------------------------------------------------------
SMALL RUSSELL
CAPITALIZATION 2000
- ----------------------------------------------------------
<S> <C> <C>
Number of Stocks 1,856 2,000
Median Market Cap $0.8B $0.7B
Price/Earnings Ratio 19.9x 20.2x
Price/Book Ratio 2.6x 2.7x
Yield 1.3% 1.2%
Yield--Institutional Shares 1.4% 1.2%
Return on Equity 14.1% 14.1%
Earnings Growth Rate 15.7% 15.8%
Foreign Holdings 0.0% 0.0%
Turnover Rate 46%* --
Expense Ratio 0.24%* --
Expense Ratio--
Institutional Shares 0.12%* --
Cash Reserves 0.0% --
</TABLE>
*Annualized.
INVESTMENT FOCUS
- -------------------------------------------------------
[GRAPH]
<TABLE>
<CAPTION>
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- -------------------------------------------------------
<S> <C>
Reinsurance Group of America, Inc. 0.2%
Avalon Bay Communities 0.2
Fingerhut Co. 0.2
NTL Inc. 0.2
Interstate Energy Corp. 0.2
AmeriSource Health Corp. 0.2
ICG Communications, Inc. 0.2
Idaho Power Co. 0.2
HSB Group Inc. 0.2
Camden Property Trust REIT 0.2
- -------------------------------------------------------
Top Ten 2.0%
</TABLE>
<TABLE>
<CAPTION>
VOLATILITY MEASURES
- ----------------------------------------------------------
SMALL
CAPITALIZATION S&P 500
- ----------------------------------------------------------
<S> <C> <C>
R-Squared 0.42 1.00
Beta 0.79 1.00
</TABLE>
<TABLE>
<CAPTION>
SECTOR DIVERSIFICATION (% OF COMMON STOCKS)
- ---------------------------------------------------------------------------------------------------
JUNE 30, 1997 JUNE 30, 1998
--------------------------------------------------------
SMALL SMALL RUSSELL
CAPITALIZATION CAPITALIZATION 2000
--------------------------------------------------------
<S> <C> <C> <C>
Auto & Transportation 4.0% 4.6% 4.4%
Consumer Discretionary 16.7 17.9 17.7
Consumer Staples 3.2 2.8 2.6
Financial Services 23.4 24.4 25.3
Health Care 9.8 8.8 9.4
Integrated Oils 0.8 0.6 0.4
Other Energy 3.3 3.1 3.0
Materials & Processing 10.3 9.7 9.3
Producer Durables 8.5 7.3 7.1
Technology 11.4 12.2 11.9
Utilities 6.5 7.0 7.6
Other 2.1 1.6 1.3
- ---------------------------------------------------------------------------------------------------
</TABLE>
15
<PAGE> 18
PORTFOLIO PROFILE
Small Capitalization Growth Stock Portfolio
This Profile provides a snapshot of the portfolio's characteristics as of June
30, 1998, compared where appropriate to its unmanaged target index. Key elements
of this Profile are defined on page 13.
<TABLE>
<CAPTION>
PORTFOLIO CHARACTERISTICS
- ----------------------------------------------------------
SMALL
CAPITALIZATION RUSSELL
GROWTH 2000
- ----------------------------------------------------------
<S> <C> <C>
Number of Stocks 219 2,000
Median Market Cap $1.1B $0.7B
Price/Earnings Ratio 24.2x 20.2x
Price/Book Ratio 4.8x 2.7x
Yield 0.3% 1.2%
Return on Equity 18.8% 14.1%
Earnings Growth Rate 21.5% 15.8%
Foreign Holdings 0.7% 0.0%
Turnover Rate 35% --
Expense Ratio 0.24%* --
Cash Reserves 0.0% --
</TABLE>
*Annualized.
INVESTMENT FOCUS
- -------------------------------------------------------
[GRAPH]
<TABLE>
<CAPTION>
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- -------------------------------------------------------
<S> <C>
DEKALB Genetics Corp. Class B 1.7%
First Commercial Corp. 1.4
American Bankers Insurance Group 1.3
Lincare Holdings, Inc. 1.3
PLATINUM technology, Inc. 1.2
Vitesse Semiconductor Corp. 1.2
Safeskin Corp. 1.2
Sovereign Bancorp, Inc. 1.2
CCB Financial Corp. 1.2
Ross Stores, Inc. 1.1
- -------------------------------------------------------
Top Ten 12.8%
</TABLE>
<TABLE>
<CAPTION>
SECTOR DIVERSIFICATION (% OF COMMON STOCKS)
- --------------------------------------------------------------------------------------
JUNE 30, 1998
-------------------------------------------
SMALL CAPITALIZATION RUSSELL
GROWTH 2000
-------------------------------------------
<S> <C> <C>
Auto & Transportation 5.3% 4.4%
Consumer Discretionary 18.8 17.7
Consumer Staples 2.4 2.6
Financial Services 21.5 25.3
Health Care 15.9 9.4
Integrated Oils 0.5 0.4
Other Energy 1.0 3.0
Materials & Processing 8.9 9.3
Producer Durables 9.3 7.1
Technology 15.3 11.9
Utilities 0.5 7.6
Other 0.6 1.3
- --------------------------------------------------------------------------------------
</TABLE>
16
<PAGE> 19
PORTFOLIO PROFILE
Small Capitalization Value Stock Portfolio
This Profile provides a snapshot of the portfolio's characteristics as of June
30, 1998, compared where appropriate to its unmanaged target index. Key elements
of this Profile are defined on page 13.
<TABLE>
<CAPTION>
PORTFOLIO CHARACTERISTICS
- ----------------------------------------------------------
SMALL
CAPITALIZATION RUSSELL
VALUE 2000
- ----------------------------------------------------------
<S> <C> <C>
Number of Stocks 383 2,000
Median Market Cap $0.7B $0.7B
Price/Earnings Ratio 17.7x 20.2x
Price/Book Ratio 2.0x 2.7x
Yield 0.8% 1.2%
Return on Equity 12.8% 14.1%
Earnings Growth Rate 11.9% 15.8%
Foreign Holdings 0.1% 0.0%
Turnover Rate 33% --
Expense Ratio 0.24%* --
Cash Reserves 0.0% --
</TABLE>
*Annualized.
INVESTMENT FOCUS
- -------------------------------------------------------
[GRAPH]
<TABLE>
<CAPTION>
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- -------------------------------------------------------
<S> <C>
Protective Life Corp. 1.2%
Keystone Financial, Inc. 1.0
Universal Health Services Class B 1.0
Fremont General Corp. 1.0
Integrated Health Services, Inc. 0.9
Orion Capital Corp. 0.8
Interim Services, Inc. 0.8
Allied Group, Inc. 0.8
Astoria Financial Corp. 0.8
Life Re Corp. 0.8
- -------------------------------------------------------
Top Ten 9.1%
</TABLE>
<TABLE>
<CAPTION>
SECTOR DIVERSIFICATION (% OF COMMON STOCKS)
- ----------------------------------------------------------------------------
JUNE 30, 1998
--------------------------------------
SMALL CAPITALIZATION RUSSELL
VALUE 2000
- ----------------------------------------------------------------------------
<S> <C> <C>
Auto & Transportation 7.1% 4.4%
Consumer Discretionary 20.5 17.7
Consumer Staples 4.2 2.6
Financial Services 17.4 25.3
Health Care 8.1 9.4
Integrated Oils 0.4 0.4
Other Energy 5.4 3.0
Materials & Processing 12.9 9.3
Producer Durables 6.5 7.1
Technology 8.2 11.9
Utilities 8.2 7.6
Other 1.1 1.3
- ----------------------------------------------------------------------------
</TABLE>
17
<PAGE> 20
FINANCIAL STATEMENTS
June 30, 1998 (unaudited)
The Statements of Net Assets--integral parts of the Financial Statements for the
Extended Market, Mid Capitalization Stock, Small Capitalization Stock, Small
Capitalization Growth Stock, and Small Capitalization Value Stock Portfolios of
Vanguard Index Trust--are included as an insert to this report.
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 each
class of its shares. 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>
- ------------------------------------------------------------------------------------------------------------------------
MID SMALL
EXTENDED CAPITALIZATION CAPITALIZATION
MARKET STOCK STOCK
PORTFOLIO PORTFOLIO PORTFOLIO
--------------------------------------------------
SIX MONTHS SIX MONTHS
ENDED APR. 20* TO ENDED
JUN. 30, 1998 JUN. 30, 1998 JUN. 30, 1998
--------------------------------------------------
(000) (000) (000)
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
INVESTMENT INCOME
INCOME
Dividends $ 18,877 $ 119 $ 19,397
Interest 5,018 106 4,250
-----------------------------------------------
Total Income 23,895 225 23,647
-----------------------------------------------
EXPENSES
The Vanguard Group--Note B
Investment Advisory Services 34 -- 51
Management and Administrative 1,302 10 1,278
Shareholder Account Maintenance--Investor Shares 1,623 17 1,611
Shareholder Account Maintenance--Institutional Shares 1 -- 14
Marketing and Distribution--Investor Shares 410 -- 436
Marketing and Distribution--Institutional Shares 52 -- 16
Custodian Fees 75 -- 34
Auditing Fees 5 -- 5
Shareholders' Reports--Investor Shares 46 -- 54
Shareholders' Reports--Institutional Shares -- -- --
Annual Meeting and Proxy Costs--Investor Shares 9 -- 10
Annual Meeting and Proxy Costs--Institutional Shares -- -- --
Trustees' Fees and Expenses 3 -- 3
---------------------------------------------
Total Expenses 3,560 27 3,512
- ------------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 20,335 198 20,135
- ------------------------------------------------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS)
Investment Securities Sold 129,469 (145) 140,940
Futures Contracts 5,509 373 2,079
- ------------------------------------------------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS) 134,978 228 143,019
- ------------------------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Investment Securities 126,148 (1,561) (38,762)
Futures Contracts 2,339 -- (374)
- ------------------------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) 128,487 (1,561) (39,136)
- ------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS $283,800 $(1,135) $124,018
========================================================================================================================
</TABLE>
*Commencement of operations.
18
<PAGE> 21
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------
SMALL SMALL
CAPITALIZATION CAPITALIZATION
GROWTH STOCK VALUE STOCK
PORTFOLIO PORTFOLIO
-------------------------------
APR. 20* TO
JUN. 30, 1998
-------------------------------
(000) (000)
- ------------------------------------------------------------------------------------------------------
<S> <C> <C>
INVESTMENT INCOME
INCOME
Dividends $ 41 $ 90
Interest 64 88
-------------------------------
Total Income 105 178
-------------------------------
EXPENSES
The Vanguard Group--Note B
Investment Advisory Services -- --
Management and Administrative 6 8
Shareholder Account Maintenance--Investor Shares 11 15
Shareholder Account Maintenance--Institutional Shares -- --
Marketing and Distribution--Investor Shares -- --
Marketing and Distribution--Institutional Shares -- --
Custodian Fees -- --
Auditing Fees -- --
Shareholders' Reports--Investor Shares -- --
Shareholders' Reports--Institutional Shares -- --
Annual Meeting and Proxy Costs--Investor Shares -- --
Annual Meeting and Proxy Costs--Institutional Shares -- --
Trustees' Fees and Expenses -- --
-------------------------------
Total Expenses 17 23
- ------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 88 155
- ------------------------------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS)
Investment Securities Sold (1,059) (204)
Futures Contracts 196 162
- ------------------------------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS) (863) (42)
- ------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Investment Securities (693) (1,559)
Futures Contracts -- --
- ------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) (693) (1,559)
- ------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $(1,468) $(1,446)
======================================================================================================
</TABLE>
*Commencement of operations.
19
<PAGE> 22
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
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. Distributions, Capital Share
Transactions, and Shares Issued and Redeemed are shown separately for each class
of shares.
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------
EXTENDED MARKET MID CAPITALIZATION
PORTFOLIO STOCK PORTFOLIO
----------------------------------------------------------
SIX MONTHS YEAR
ENDED ENDED APR. 20* TO
JUN. 30, 1998 DEC. 31, 1997 JUN. 30, 1998
(000) (000) (000)
- ------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
INCREASE IN NET ASSETS
OPERATIONS
Net Investment Income 20,335 33,818 198
Realized Net Gain (Loss) 134,978 194,324 228
Change in Unrealized Appreciation (Depreciation) 128,487 379,945 (1,561)
-------------------------------------------------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 283,800 608,087 (1,135)
-------------------------------------------------------
DISTRIBUTIONS
Net Investment Income
Investor Shares -- (30,699) --
Institutional Shares -- (3,960) --
Realized Capital Gain
Investor Shares 30,661) (162,387) --
Institutional Shares (5,771) (16,436) --
-------------------------------------------------------
Total Distributions (36,432) (213,482) --
-------------------------------------------------------
CAPITAL SHARE TRANSACTIONS--INVESTOR SHARES(1)
Issued 307,512 760,022 109,158
Issued in Lieu of Cash Distributions 28,458 178,435 --
Redeemed (310,079) (709,687) (853)
-------------------------------------------------------
Net Increase--Investor Shares 25,891 228,770 108,305
-------------------------------------------------------
CAPITAL SHARE TRANSACTIONS--INSTITUTIONAL SHARES(2)
Issued 180,537 414,169 10,009
Issued in Lieu of Cash Distributions 5,212 16,714 --
Redeemed (122,573) (15,617) --
-------------------------------------------------------
Net Increase--Institutional Shares 63,176 415,266 10,009
- ------------------------------------------------------------------------------------------------------------
Total Increase 336,435 1,038,641 117,179
- ------------------------------------------------------------------------------------------------------------
NET ASSETS
Beginning of Period 3,137,479 2,098,838 --
-------------------------------------------------------
End of Period $3,473,914 $3,137,479 $117,179
============================================================================================================
(1) Shares Issued (Redeemed)--Investor Shares
Issued 9,415 26,118 10,943
Issued in Lieu of Cash Distributions 842 6,168 --
Redeemed (9,569) (23,876) (88)
-------------------------------------------------------
Net Increase in Shares Outstanding 688 8,410 10,855
============================================================================================================
(2) Shares Issued (Redeemed)--Institutional Shares
Issued 5,488 13,413 997
Issued in Lieu of Cash Distributions 154 563 --
Redeemed (3,730) (494) --
-------------------------------------------------------
Net Increase in Shares Outstanding 1,912 13,482 997
============================================================================================================
</TABLE>
*Commencement of operations.
20
<PAGE> 23
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------
SMALL CAPITALIZATION SMALL CAPITALIZATION
STOCK PORTFOLIO GROWTH STOCK PORTFOLIO
--------------------------------- ----------------------
SIX MONTHS YEAR
ENDED ENDED APR. 20* TO
JUN. 30, 1998 DEC. 31, 1997 JUN. 30, 1998
(000) (000) (000)
- -----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
INCREASE IN NET ASSETS
OPERATIONS
Net Investment Income 20,135 30,776 88
Realized Net Gain (Loss) 143,019 135,764 (863)
Change in Unrealized Appreciation (Depreciation) (39,136) 300,788 (693)
------------------------------------------------------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 124,018 467,328 (1,468)
------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income
Investor Shares -- (29,087) --
Institutional Shares -- (1,576) --
Realized Capital Gain
Investor Shares (19,379) (117,255) --
Institutional Shares (1,445) (5,745) --
------------------------------------------------------------
Total Distributions (20,824) (153,663) --
------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS--INVESTOR SHARES(1)
Issued 473,839 1,116,438 65,946
Issued in Lieu of Cash Distributions 18,033 134,803 --
Redeemed (328,651) (624,747) (893)
------------------------------------------------------------
Net Increase--Investor Shares 163,221 626,494 65,053
------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS--INSTITUTIONAL SHARES(2)
Issued 67,778 153,934 --
Issued in Lieu of Cash Distributions 1,178 6,664 --
Redeemed (2,604) (24,817) --
------------------------------------------------------------
Net Increase--Institutional Shares 66,352 135,781 --
- -----------------------------------------------------------------------------------------------------------------
Total Increase 332,767 1,075,940 63,585
- -----------------------------------------------------------------------------------------------------------------
NET ASSETS
Beginning of Period 2,789,294 1,713,354 --
------------------------------------------------------------
End of Period $3,122,061 $2,789,294 $63,585
=================================================================================================================
(1)Shares Issued (Redeemed)--Investor Shares
Issued 18,925 48,530 6,602
Issued in Lieu of Cash Distributions 699 5,919 --
Redeemed (13,284) (27,476) (94)
------------------------------------------------------------
Net Increase in Shares Outstanding 6,340 26,973 6,508
=================================================================================================================
(2)Shares Issued (Redeemed)--Institutional Shares
Issued 2,766 6,462 --
Issued in Lieu of Cash Distributions 46 291 --
Redeemed (104) (991) --
------------------------------------------------------------
Net Increase in Shares Outstanding 2,708 5,762 --
=================================================================================================================
</TABLE>
*Commencement of operations.
21
<PAGE> 24
<TABLE>
<CAPTION>
STATEMENT OF CHANGES IN NET ASSETS (continued)
- ---------------------------------------------------------------------------------------------------------------------
SMALL CAPITALIZATION
VALUE STOCK PORTFOLIO
---------------------
APR. 20* TO
JUN. 30, 1998
(000)
- ---------------------------------------------------------------------------------------------------------------------
<S> <C>
INCREASE IN NET ASSETS
OPERATIONS
Net Investment Income 155
Realized Net Gain (Loss) (42)
Change in Unrealized Appreciation (Depreciation) (1,559)
---------------------
Net Increase (Decrease) in Net Assets Resulting from Operations (1,446)
---------------------
DISTRIBUTIONS
Net Investment Income
Investor Shares --
Institutional Shares --
Realized Capital Gain
Investor Shares --
---------------------
Institutional Shares --
---------------------
Total Distributions --
CAPITAL SHARE TRANSACTIONS--INVESTOR SHARES(1)
Issued 94,445
Issued in Lieu of Cash Distributions --
Redeemed (993)
---------------------
Net Increase--Investor Shares 93,452
---------------------
CAPITAL SHARE TRANSACTIONS--INSTITUTIONAL SHARES(2)
Issued --
Issued in Lieu of Cash Distributions --
Redeemed --
---------------------
Net Increase--Institutional Shares --
- ---------------------------------------------------------------------------------------------------------------------
Total Increase 92,006
- ---------------------------------------------------------------------------------------------------------------------
NET ASSETS
Beginning of Period --
---------------------
End of Period $92,006
=====================================================================================================================
(1)Shares Issued (Redeemed)--Investor Shares
Issued 9,451
Issued in Lieu of Cash Distributions --
Redeemed (104)
---------------------
Net Increase in Shares Outstanding 9,347
=====================================================================================================================
(2)Shares Issued (Redeemed)--Institutional Shares
Issued --
Issued in Lieu of Cash Distributions --
Redeemed
---------------------
Net Increase in Shares Outstanding --
=====================================================================================================================
</TABLE>
*Commencement of operations.
22
<PAGE> 25
FINANCIAL HIGHLIGHTS
This table summarizes each portfolio's investment results and distributions to
shareholders on a per-share basis for each class of shares. It also presents the
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.
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------------
EXTENDED MARKET PORTFOLIO-INVESTOR SHARES
FOR A SHARE OUTSTANDING YEAR ENDED DECEMBER 31,
SIX MONTHS ENDED ---------------------------------------------------------
THROUGHOUT EACH PERIOD JUNE 30, 1998 1997 1996 1995 1994 1993
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $30.76 $26.20 $24.07 $18.52 $19.43 $17.35
- -------------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .19 .351 .34 .30 .28 .23
Net Realized and Unrealized Gain (Loss)
on Investments 2.61 6.479 3.85 5.95 (.62) 2.28
------------------------------------------------------------------------
Total from Investment Operations 2.80 6.830 4.19 6.25 (.34) 2.51
------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income -- (.360) (.34) (.30) (.28) (.23)
Distributions from Realized Capital Gains (.35) (1.910) (1.72) (.40) (.29) (.20)
------------------------------------------------------------------------
Total Distributions (.35) (2.270) (2.06) (.70) (.57) (.43)
- -------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $33.21 $30.76 $26.20 $24.07 $18.52 $19.43
=========================================================================================================================
TOTAL RETURN* 9.08% 26.73% 17.65% 33.80% -1.76% 14.49%
=========================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $2,962 $2,723 $2,099 $1,523 $967 $928
Ratio of Total Expenses to
Average Net Assets 0.23%+ 0.23% 0.25% 0.25% 0.20% 0.20%
Ratio of Net Investment Income to
Average Net Assets 1.18%+ 1.30% 1.42% 1.51% 1.51% 1.48%
Portfolio Turnover Rate 20%+ 15%** 22% 15% 19% 13%
- -------------------------------------------------------------------------------------------------------------------------
</TABLE>
*Total return figures do not reflect transaction fees on purchases (0.25% after
October 31, 1997; 0.5% in 1995 through October 31, 1997; 1.0% in 1993 through
1994) or the annual account maintenance fee of $10.
**Portfolio turnover rate excluding in-kind redemptions was 14%.
+Annualized.
23
<PAGE> 26
FINANCIAL HIGHLIGHTS (continued)
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------------
EXTENDED MARKET PORTFOLIO-INSTITUTIONAL SHARES
SIX MONTHS ENDED JUL. 7* TO
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD JUNE 30, 1998 DEC. 31, 1997
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $30.76 $29.28
- -------------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .21 .200
Net Realized and Unrealized Gain (Loss) on Investments 2.61 3.191
--------------------------
Total from Investment Operations 2.82 3.391
--------------------------
DISTRIBUTIONS
Dividends from Net Investment Income -- (.371)
Distributions from Realized Capital Gains (.35) (1.540)
--------------------------
Total Distributions (.35) (1.911)
- -------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $33.23 $30.76
=========================================================================================================================
TOTAL RETURN** 9.15% 11.82%
=========================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $511 $415
Ratio of Total Expenses to Average Net Assets 0.10%+ 0.10%+
Ratio of Net Investment Income to Average Net Assets 1.31%+ 1.43%+
Portfolio Turnover Rate 20%+ 15%++
- -------------------------------------------------------------------------------------------------------------------------
</TABLE>
*Inception.
**Total return does not reflect transaction fees on purchases (0.25% after
October 31, 1997; 0.5% from inception through October 31, 1997).
+Annualized.
++Portfolio turnover rate excluding in-kind redemptions was 14%.
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------
MID CAPITALIZATION STOCK PORTFOLIO-INVESTOR SHARES
APR. 20* TO
FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD JUN. 30, 1998
- ------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $10.00
- ------------------------------------------------------------------------------------------------------------------------
<S> <C>
INVESTMENT OPERATIONS
Net Investment Income .02
Net Realized and Unrealized Gain (Loss) on Investments (.13)
-------
Total from Investment Operations (.11)
-------
DISTRIBUTIONS
Dividends from Net Investment Income --
Distributions from Realized Capital Gains --
-------
Total Distributions --
- ------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 9.89
========================================================================================================================
TOTAL RETURN** -1.49%
========================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $107
Ratio of Total Expenses to Average Net Assets 0.24%+
Ratio of Net Investment Income to Average Net Assets 1.61%+
Portfolio Turnover Rate 15%
- ------------------------------------------------------------------------------------------------------------------------
</TABLE>
*Subscription period for the portfolio was April 20, 1998, to May 20, 1998,
during which time all assets were held in money market instruments.
Performance measurement begins May 21, 1998.
**Total return does not reflect the 0.25% transaction fee on purchases.
+Annualized.
24
<PAGE> 27
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------
MID CAPITALIZATION STOCK PORTFOLIO-INSTITUTIONAL SHARES
MAY 20* TO
FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD JUN. 30, 1998
- ------------------------------------------------------------------------------------------------------------------------
<S> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $10.03
- ------------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .02
Net Realized and Unrealized Gain (Loss) on Investments (.16)
-------------
Total from Investment Operations (.14)
DISTRIBUTIONS
Dividends from Net Investment Income --
Distributions from Realized Capital Gains --
-------------
Total Distributions --
- ------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 9.89
========================================================================================================================
TOTAL RETURN** -1.49%
========================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $10
Ratio of Total Expenses to Average Net Assets 0.12%+
Ratio of Net Investment Income to Average Net Assets 1.74%+
Portfolio Turnover Rate 15%
- ------------------------------------------------------------------------------------------------------------------------
</TABLE>
*Initial share purchase date. Subscription period for the portfolio was April
20, 1998, to May 20, 1998, during which time all assets were held in money
market instruments. Performance measurement begins May 21, 1998.
**Total return does not reflect the 0.25% transaction fee on purchases.
+Annualized.
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
SMALL CAPITALIZATION STOCK PORTFOLIO-INVESTOR SHARES
FOR A SHARE OUTSTANDING YEAR ENDED DECEMBER 31,
SIX MONTHS ENDED --------------------------------- FEB. 1* TO OCT. 1, 1993, TO YEAR ENDED
THROUGHOUT EACH PERIOD JUNE 30, 1998 1997 1996 1995 DEC. 31, 1994 JAN. 31, 1994 SEP. 30, 1993
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $23.75 $20.23 $18.61 $14.99 $16.24 $16.23 $12.63
- -----------------------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .16 .277 .26 .24 .20 .05 .20
Net Realized and Unrealized
Gain (Loss) on Investments .94 4.632 3.07 4.06 (.86) .96 3.73
-----------------------------------------------------------------------------------------
Total from Investment
Operations 1.10 4.909 3.33 4.30 (.66) 1.01 3.93
-----------------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net
Investment Income -- (.274) (.27) (.23) (.22) (.18) (.18)
Distributions from Realized
Capital Gains (.17) (1.115) (1.44) (.45) (.37) (.82) (.15)
-----------------------------------------------------------------------------------------
Total Distributions (.17) (1.389) (1.71) (.68) (.59) (1.00) (.33)
- -----------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $24.68 $23.75 $20.23 $18.61 $14.99 $16.24 $16.23
===================================================================================================================================
TOTAL RETURN** 4.60% 24.59% 18.12% 28.74% -4.00% 6.65% 31.60%
===================================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $2,913 $2,652 $1,713 $971 $605 $533 $432
Ratio of Total Expenses to
Average Net Assets 0.24%+ 0.23% 0.25% 0.25% 0.17%+ 0.18%+ 0.18%
Ratio of Net Investment Income to
Average Net Assets 1.32%+ 1.38% 1.51% 1.58% 1.50%+ 1.16%+ 1.47%
Portfolio Turnover Rate 46%+ 29% 28% 28% 25% 5% 26%
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
*Date of reorganization of Vanguard Small Capitalization Stock Fund into
Vanguard Index Trust-Small Capitalization Stock Portfolio.
**Total return figures do not reflect transaction fees on purchases (0.5% after
1996, 1.0% in 1993 through 1996) or the annual account maintenance fee of $10.
+Annualized.
25
<PAGE> 28
FINANCIAL HIGHLIGHTS (continued)
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------
SMALL CAPITALIZATION STOCK PORTFOLIO-INSTITUTIONAL SHARES
SIX MONTHS ENDED JUL. 7* TO
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD JUNE 30, 1998 DEC. 31, 1997
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $23.75 $22.56
- ------------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .18 .158
Net Realized and Unrealized Gain (Loss) on Investments .94 2.370
-------------------------
Total from Investment Operations 1.12 2.528
-------------------------
DISTRIBUTIONS
Dividends from Net Investment Income -- (.288)
Distributions from Realized Capital Gains (.17) (1.050)
-------------------------
Total Distributions (.17) (1.338)
- ------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $24.70 $23.75
========================================================================================================================
TOTAL RETURN** 4.69% 11.42%
========================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $209 $137
Ratio of Total Expenses to Average Net Assets 0.12%+ 0.12%+
Ratio of Net Investment Income to Average Net Assets 1.46%+ 1.52%+
Portfolio Turnover Rate 46%+ 29%
- ------------------------------------------------------------------------------------------------------------------------
</TABLE>
*Inception.
**Total return figures do not reflect the 0.5% transaction fee on purchases.
+Annualized.
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------
SMALL CAPITALIZATION GROWTH STOCK PORTFOLIO-INVESTOR SHARES
APR. 20* TO
FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD JUN. 30, 1998
- ------------------------------------------------------------------------------------------------------------------------
<S> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $10.00
- ------------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .01
Net Realized and Unrealized Gain (Loss) on Investments (.24)
-------
Total from Investment Operations (.23)
DISTRIBUTIONS
Dividends from Net Investment Income --
Distributions from Realized Capital Gains --
-------
Total Distributions --
- ------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 9.77
========================================================================================================================
TOTAL RETURN** -2.69%
========================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $64
Ratio of Total Expenses to Average Net Assets 0.24%+
Ratio of Net Investment Income to Average Net Assets 1.26%+
Portfolio Turnover Rate 35%
- ------------------------------------------------------------------------------------------------------------------------
</TABLE>
*Subscription period for the portfolio was April 20, 1998, to May 20, 1998,
during which time all assets were held in money market instruments.
Performance measurement begins May 21, 1998.
**Total return does not reflect the 1.0% transaction fee on purchases.
+Annualized.
26
<PAGE> 29
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------
SMALL CAPITALIZATION VALUE STOCK PORTFOLIO-INVESTOR SHARES
APR. 20* TO
FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD JUN. 30, 1998
- ------------------------------------------------------------------------------------------------------------------------
<S> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $10.00
- ------------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .02
Net Realized and Unrealized Gain (Loss) on Investments (.18)
------
Total from Investment Operations (.16)
------
DISTRIBUTIONS
Dividends from Net Investment Income --
Distributions from Realized Capital Gains --
------
Total Distributions --
- ------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 9.84
========================================================================================================================
TOTAL RETURN** -2.09%
========================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $92
Ratio of Total Expenses to Average Net Assets 0.24%+
Ratio of Net Investment Income to Average Net Assets 1.57%+
Portfolio Turnover Rate 33%
- ------------------------------------------------------------------------------------------------------------------------
</TABLE>
*Subscription period for the portfolio was April 20, 1998, to May 20, 1998,
during which time all assets were held in money market instruments.
Performance measurement begins May 21, 1998.
**Total return does not reflect the 1.0% transaction fee on purchases.
+Annualized.
27
<PAGE> 30
NOTES TO FINANCIAL STATEMENTS
The Extended Market, Mid Capitalization Stock, Small Capitalization Stock, Small
Capitalization Growth Stock, and Small Capitalization Value Stock Portfolios of
Vanguard Index Trust are registered under the Investment Company Act of 1940 as
diversified open-end investment companies, or mutual funds.
A. The following significant accounting policies conform to generally accepted
accounting principles for mutual funds. The portfolios consistently follow such
policies in preparing their financial statements.
1. SECURITY VALUATION: Equity securities 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. Prices are taken from the primary market in which each security
trades. 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.
Securities for which market quotations are not readily available are valued by
methods deemed by the Board of Trustees to represent fair 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. REPURCHASE AGREEMENTS: The portfolios, along with other members of
The Vanguard Group, transfer 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.
4. FUTURES CONTRACTS: The portfolios use 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 (Mid Capitalization Stock, Small Capitalization Stock, Small
Capitalization Growth Stock, and Small Capitalization Value Stock Portfolios)
New York Stock Exchange Composite Index (Extended Market Portfolio), S&P MidCap
400 Index (Extended Market, Mid Capitalization Stock, Small Capitalization
Stock, Small Capitalization Growth Stock, and Small Capitalization Value Stock
Portfolios), and Russell 2000 Index (Extended Market and Small Capitalization
Stock Portfolios).
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).
5. DISTRIBUTIONS: Distributions to shareholders are recorded on the
ex-dividend date. Distributions are determined on a tax basis and may differ
from net investment income and realized capital gains for financial reporting
purposes.
28
<PAGE> 31
6. 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. Transaction fees assessed
on purchases of capital shares are credited to paid in capital.
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 portfolios under methods approved by the
Board of Trustees. At June 30, 1998, the portfolios had contributed capital
aggregating $1,358,000 to Vanguard (included in Other Assets), representing 1.9%
of Vanguard's capitalization. The portfolios' Trustees and officers are also
Directors and officers of Vanguard.
C. The Extended Market, Mid Capitalization Stock, Small Capitalization Stock,
Small Capitalization Growth Stock, and Small Capitalization Value Stock each
offer two classes of shares, Investor Shares and Institutional Shares. The Small
Capitalization Growth Stock and Small Capitalization Value Stock Portfolios have
not issued any Institutional shares as of June 30, 1998. Institutional Shares
are designed primarily for institutional investors that meet certain
administrative and servicing criteria and have a minimum investment of $10
million. Investor Shares are offered to all other investors. Both classes of
shares have equal rights to assets and earnings, except that each class bears
certain class-specific expenses related to its shareholder activity.
Class-specific expenses for the period ended June 30, 1998, represented the
following percentages of average net assets:
<TABLE>
<CAPTION>
-------------------------------------------------------------------------
PORTFOLIO INVESTOR SHARES INSTITUTIONAL SHARES
-------------------------------------------------------------------------
<S> <C> <C>
Extended Market 0.15%* 0.02%*
Mid Capitalization Stock 0.15* 0.03*
Small Capitalization Stock 0.15* 0.03*
-------------------------------------------------------------------------
</TABLE>
*Annualized.
Income, expenses not attributable to a specific class, and realized
and unrealized gains and losses on investments are allocated to each class of
shares based on its relative net assets.
D. During the period ended June 30, 1998, purchases and sales of investment
securities other than temporary cash investments were:
<TABLE>
<CAPTION>
-------------------------------------------------------------------------------------------
(000)
-----------------------------
PORTFOLIO PURCHASES SALES
-------------------------------------------------------------------------------------------
<S> <C> <C>
Extended Market $406,059 $334,937
Mid Capitalization Stock 131,969 13,206
Small Capitalization Stock 877,347 671,212
Small Capitalization Growth Stock 87,200 21,707
Small Capitalization Value Stock 117,049 23,092
-------------------------------------------------------------------------------------------
</TABLE>
29
<PAGE> 32
NOTES TO FINANCIAL STATEMENTS (continued)
E. At June 30, 1998, net unrealized appreciation (depreciation) of investment
securities for financial reporting and federal income tax purposes was:
<TABLE>
<CAPTION>
-----------------------------------------------------------------------------------------------
(000)
---------------------------------------------------------
NET UNREALIZED
APPRECIATED DEPRECIATED APPRECIATION
PORTFOLIO SECURITIES SECURITIES (DEPRECIATION)
-----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Extended Market $1,272,276 $(231,353) $1,040,923
Mid Capitalization Stock 3,977 (5,538) (1,561)
Small Capitalization Stock 694,758 (166,325) 528,433
Small Capitalization Growth Stock 2,490 (3,183) (693)
Small Capitalization Value Stock 2,434 (3,993) (1,559)
-----------------------------------------------------------------------------------------------
</TABLE>
At June 30, 1998, the aggregate settlement value of open futures
contracts expiring in September 1998 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>
Extended Market/
New York Stock Exchange
Composite Index 164 $ 47,917 $1,713
S&P MidCap 400 Index 70 12,761 292
Russell 2000 Index 204 47,160 913
Small Capitalization Stock/
S&P MidCap 400 Index 20 3,646 83
Russell 2000 Index 457 105,647 184
-----------------------------------------------------------------------------------------------
</TABLE>
F. The market value of securities on loan to brokers/dealers at June 30, 1998,
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 $275,688 $299,346
Mid Capitalization Stock 320 341
Small Capitalization Stock 129,824 137,660
Small Capitalization Growth Stock 887 894
Small Capitalization Value Stock 630 641
------------------------------------------------------------------------------------------
</TABLE>
Cash collateral received is invested in repurchase agreements.
30
<PAGE> 33
TRUSTEES AND OFFICERS
JOHN C. BOGLE
Senior 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
Chairman, Chief Executive Officer, and Director of The Vanguard Group, Inc., and
of each of the investment companies in The Vanguard Group.
BARBARA BARNES HAUPTFUHRER
Director of The Great Atlantic and Pacific Tea Co., IKON Office Solutions, Inc.,
Raytheon Co., Knight-Ridder, Inc., Massachusetts Mutual Life Insurance Co., and
Ladies Professional Golf Association; Trustee Emerita of Wellesley College.
BRUCE K. MACLAURY
President Emeritus of The Brookings Institution; Director of American Express
Bank Ltd., The St. Paul Companies, Inc., and National Steel Corp.
BURTON G. MALKIEL
Chemical Bank Chairman's Professor of Economics, Princeton University; Director
of Prudential Insurance Co. of America, Amdahl Corp., Baker Fentress & Co., The
Jeffrey Co., and Southern New England Telecommunications 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. and The Mead Corp.; Trustee of Vanderbilt University.
OTHER FUND OFFICERS
RAYMOND J. KLAPINSKY
Secretary; Managing Director 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
R. GREGORY BARTON
Managing Director, Legal Department.
ROBERT A. DISTEFANO
Managing Director, Information Technology.
JAMES H. GATELY
Managing Director, Individual Investor Group.
KATHLEEN C. GUBANICH
Managing Director, Human Resources.
IAN A. MACKINNON
Managing Director, Fixed Income Group.
F. WILLIAM MCNABB, III
Managing Director, Institutional Investor Group.
MICHAEL S. MILLER
Managing Director, Planning and Development.
RALPH K. PACKARD
Managing Director and Chief Financial Officer.
GEORGE U. SAUTER
Managing Director, Core Management Group.
"Standard & Poor's,(R) "S&P(R)," "S&P 500(R)," "Standard & Poor's 500," "500,"
"S&P MidCap 400," and "S&P SmallCap 600" are trademarks of The McGraw-Hill
Companies, Inc., and have been licensed for use by Vanguard Index Trust and The
Vanguard Group, Inc. These mutual funds are not sponsored, endorsed, sold, or
promoted by Standard & Poor's, and Standard & Poor's makes no representation
regarding the advisability of investing in the funds. Frank Russell Company is
the owner of trademarks and copyrights relating to the Russell Indexes.
"Wilshire 4500" and "Wilshire 5000" are trademarks of Wilshire Associates.
<PAGE> 34
VANGUARD FAMILY OF FUNDS
STOCK FUNDS
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Portfolio
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(CA, NJ, NY, OH, PA)
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Portfolio
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Portfolio
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Portfolio
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Portfolio
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Treasury Portfolio
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Portfolio
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Portfolio
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Portfolio
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Portfolio
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(CA, FL, NJ, NY, OH, PA)
BALANCED FUNDS
Asset Allocation Fund
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Portfolio
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Portfolio
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STAR Portfolio
Tax-Managed Fund
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Q982-6/1998
(C) 1998 Vanguard Marketing
Corporation, Distributor.
All rights reserved.
[THE VANGUARD GROUP LOGO]
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Valley Forge, Pennsylvania 19482
FUND INFORMATION
1-800-662-7447
INDIVIDUAL ACCOUNT SERVICES
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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 you invest or send money. Prospectuses can
be obtained directly from The Vanguard Group.
<PAGE> 35
VANGUARD INDEX TRUST
FINANCIAL STATEMENTS
June 30, 1998 (unaudited)
The Statement of Net Assets should be read in conjunction with the accompanying
Statement of Operations, Statement of Changes in Net Assets, Financial
Highlights, and Notes to Financial Statements.
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. Common
stocks are listed in descending market value order. 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. 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
MID CAPITALIZATION STOCK PORTFOLIO.............................. 22
SMALL CAPITALIZATION STOCK PORTFOLIO............................ 26
SMALL CAPITALIZATION GROWTH STOCK PORTFOLIO..................... 43
SMALL CAPITALIZATION VALUE STOCK PORTFOLIO...................... 46
</TABLE>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------
MARKET
VALUE*
EXTENDED MARKET PORTFOLIO SHARES (000)
- ---------------------------------------------------------------------
COMMON STOCKS (96.9%)(1)
- ---------------------------------------------------------------------
<S> <C> <C>
- - Berkshire Hathaway Class A 1,326 $ 103,832
Carnival Corp. 644,706 25,546
- - America Online, Inc. 237,800 25,207
Electronic Data Systems Corp. 533,245 21,330
- - Safeway, Inc. 519,126 21,122
The Equitable Cos. 242,109 18,143
Coca-Cola Enterprises, Inc. 420,551 16,507
- - Cox Communications Class A 276,354 13,386
- - Qwest Communications
International Inc. 362,128 12,629
- - Republic Industries, Inc. 484,258 12,106
- - Level 3 Communications, Inc. 159,200 11,781
- - BMC Software, Inc. 225,892 11,732
- - PeopleSoft, Inc. 245,100 11,520
- - USA Waste Service 233,251 11,517
- - Compuware Corp. 194,300 9,933
- - AES Corp. 188,032 9,883
Starwood Hotels & Resorts REIT 204,417 9,876
- - CNA Financial Corp. 199,815 9,304
- - Genentech, Inc. Special
Common Stock 133,373 9,053
- - Tele-Communications TCI
Ventures Group Series A 439,800 8,823
AFLAC, Inc. 290,630 8,810
- - Kohls Corp. 169,600 8,798
RJR Nabisco Holdings Corp. 348,442 8,276
McKesson Corp. 100,812 8,191
- - Yahoo!, Inc. 50,550 7,962
- - Staples, Inc. 272,041 7,872
Equity Office Properties
Trust REIT 270,000 7,661
- - CIENA Corp. 110,000 7,659
- - Chancellor Media Corp. 151,070 7,501
Intimate Brands, Inc. 271,900 7,494
- - Loral Space & Communications 261,900 7,399
SouthTrust Corp. 165,525 7,200
Paychex, Inc. 174,522 7,101
Royal Caribbean Cruises, Ltd. 89,300 7,099
- - Fred Meyer Inc. 166,744 7,087
</TABLE>
1
<PAGE> 36
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------
MARKET
VALUE*
EXTENDED MARKET PORTFOLIO SHARES (000)
- ---------------------------------------------------------------------
<S> <C> <C>
ServiceMaster Co. 185,700 $ 7,068
- - Cadence Design Systems, Inc. 224,832 7,026
Star Banc Corp. 101,612 6,490
Crestar Financial Corp. 118,318 6,456
Donaldson, Lufkin & Jenrette, Inc. 126,600 6,433
Washington Post Co. Class B 11,100 6,394
The CIT Group, Inc. 166,800 6,255
Harley-Davidson, Inc. 160,508 6,220
PaineWebber Group, Inc. 144,912 6,213
Regions Financial Corp. 150,149 6,165
Dollar General Corp. 154,733 6,122
ARCO Chemical Co. 105,808 6,071
Diamond Offshore Drilling, Inc. 151,700 6,068
Firstar Corp. 157,922 6,001
- - Health Management Associates
Class A 176,532 5,903
Kansas City Southern
Industries, Inc. 117,408 5,826
Marshall & Ilsley Corp. 112,109 5,724
UnionBanCal Corp. 58,894 5,683
- - Network Associates, Inc. 118,358 5,666
- - Wellpoint Health Networks Inc.
Class A 75,901 5,617
- - Robert Half International, Inc. 97,900 5,470
- - Office Depot, Inc. 172,025 5,429
New Century Energies, Inc. 119,015 5,408
- - Outdoor Systems, Inc. 192,618 5,393
First American Corp. (Tenn.) 111,591 5,370
- - Storage Technology Corp. 123,382 5,352
Tyson Foods, Inc. 246,410 5,344
Union Planters Corp. 89,854 5,284
Cintas Corp. 103,500 5,278
Leggett & Platt, Inc. 208,400 5,210
- - Solectron Corp. 123,700 5,203
- - ADC Telecommunications, Inc. 142,400 5,202
General Motors Corp. Class H 110,252 5,196
M & T Bank Corp. 9,316 5,161
Galileo International, Inc. 113,300 5,105
AmSouth Bancorp 129,102 5,075
Provident Cos., Inc. 145,386 5,016
- - Amazon.com, Inc. 50,000 4,987
Charter One Financial 148,014 4,986
- - Starbucks Corp. 92,800 4,959
- - MarketSpan Corp. 165,547 4,956
Tosco Corp. 168,174 4,940
El Paso Natural Gas 128,864 4,929
Linear Technology Corp. 81,404 4,910
Equity Residential Properties
Trust REIT 103,200 4,895
Food Lion Inc. Class A 460,450 4,892
Popular, Inc. 72,844 4,844
Transocean Offshore, Inc. 108,600 4,833
- - UAL Corp. 61,700 4,813
E.W. Scripps Co. Class A 86,969 4,767
- - Lexmark International Group, Inc.
Class A 76,900 4,691
Southern New England
Telecommunications Corp. 71,400 4,677
T. Rowe Price 124,400 4,673
Reliastar Financial Corp. 97,124 4,662
Estee Lauder Cos. Class A 66,629 4,643
- - Sterling Commerce, Inc. 95,462 4,630
Danaher Corp. 125,932 4,620
CMS Energy Corp. 104,639 4,604
Vastar Resources, Inc. 104,800 4,578
Allmerica Financial Corp. 70,310 4,570
- - U.S. Filter Corp. 162,444 4,558
- - Teleport Communications
Group Inc. 83,900 4,551
Century Telephone
Enterprises, Inc. 98,615 4,524
- - SunGard Data Systems, Inc. 117,236 4,499
Hillenbrand Industries, Inc. 74,650 4,479
AMBAC Financial Group Inc. 76,356 4,467
- - Maxim Integrated Products, Inc. 140,860 4,463
A.G. Edwards & Sons, Inc. 104,422 4,457
Old Republic International Corp. 150,541 4,413
Newmont Gold Co. 178,468 4,406
- - At Home Corp. Series A 92,700 4,386
Total System Services, Inc. 208,764 4,384
- - J.D. Edwards & Co. 101,450 4,356
Crescent Real Estate, Inc. REIT 128,700 4,327
Florida Progress Corp. 105,000 4,318
First Tennessee National Corp. 135,900 4,289
- - Watson Pharmaceuticals, Inc. 91,804 4,286
- - Analog Devices, Inc. 173,758 4,268
- - Northwest Airlines Corp. Class A 109,100 4,207
Dime Bancorp, Inc. 140,346 4,202
Cincinnati Bell, Inc. 146,400 4,191
- - QUALCOMM, Inc. 73,600 4,135
Molex, Inc. 164,991 4,125
- - R & B Falcon Corp. 179,507 4,061
Pinnacle West Capital Corp. 90,100 4,054
- - Keane, Inc. 72,100 4,038
North Fork Bancorp, Inc. 165,002 4,032
IMC Global Inc. 133,044 4,008
Stryker Corp. 102,900 3,949
Allegheny Energy, Inc. 131,000 3,946
First Security Corp. 184,102 3,941
- - Quintiles Transnational Corp. 80,100 3,940
- - Host Marriott Corp. 220,950 3,936
Mylan Laboratories, Inc. 130,800 3,932
- - Proffitt's, Inc. 96,800 3,908
- - Bed Bath & Beyond, Inc. 75,100 3,891
- - Jones Apparel Group, Inc. 106,200 3,883
Vulcan Materials Co. 36,310 3,874
Mercury General Corp. 60,100 3,873
- - Biogen, Inc. 78,338 3,838
NIPSCO Industries, Inc. 136,640 3,826
Zions Bancorp 71,912 3,820
- - EVI Weatherford, Inc. 102,352 3,800
Old Kent Financial Corp. 105,447 3,793
- - Continental Airlines, Inc. Class B 62,200 3,786
Family Dollar Stores, Inc. 204,500 3,783
TECO Energy, Inc. 140,900 3,778
- - Lear Corp. 73,300 3,761
Solutia, Inc. 130,600 3,746
Sundstrand Corp. 64,200 3,675
Santa Fe International Corp. 121,400 3,672
Wisconsin Energy Corp. 120,761 3,668
- - Gartner Group, Inc. Class A 104,600 3,661
- - Gulfstream Aerospace Corp. 78,600 3,655
</TABLE>
2
<PAGE> 37
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ---------------------------------------------------------------------
<S> <C> <C>
Simon DeBartolo Group, Inc. REIT 111,712 $ 3,631
LG&E Energy Corp. 133,428 3,611
- - Synopsys, Inc. 78,008 3,569
- - Promus Hotel Corp. 92,588 3,565
- - LHS Group, Inc. 54,000 3,557
- - Best Buy Co., Inc. 98,400 3,555
Camco International, Inc. 45,580 3,549
- - NCR Corp. 108,900 3,539
Patriot American Hospitality,
Inc. REIT 146,507 3,507
- - FIserv, Inc. 82,425 3,500
BHC Communications, Inc.
Class A 24,915 3,496
- - Global Marine, Inc. 186,800 3,491
SCANA Corp. 116,400 3,470
ICN Pharmaceuticals, Inc. 75,727 3,460
- - American Standard Cos., Inc. 77,400 3,459
Public Storage, Inc. REIT 123,500 3,458
- - AccuStaff, Inc. 110,500 3,453
- - Foundation Health Systems
Class A 130,732 3,448
- - Citrix Systems, Inc. 50,400 3,446
Sonoco Products Co. 113,393 3,430
Green Point Financial Corp. 90,600 3,409
Travelers Property Casualty Corp. 79,000 3,387
- - Thermo Instrument Systems, Inc. 128,858 3,382
FINOVA Group, Inc. 59,596 3,375
DEKALB Genetics Corp. Class B 35,600 3,369
- - Noble Drilling Corp. 139,700 3,361
- - Total Renal Care Holdings, Inc. 97,304 3,357
- - Pixar, Inc. 55,500 3,351
- - Electronic Arts Inc. 62,000 3,348
Vornado Realty Trust REIT 83,596 3,318
U.S. Industries, Inc. 133,110 3,294
- - Immunex Corp. 49,700 3,293
Omnicare, Inc. 86,300 3,290
Enron Oil & Gas Co. 162,076 3,282
A. H. Belo Corp. Class A 133,806 3,261
Dole Food Co. 65,500 3,254
TCF Financial Corp. 110,042 3,246
- - Cambridge Technology Partners 59,400 3,245
Ultramar Diamond
Shamrock Corp. 102,626 3,239
The Warnaco Group, Inc. Class A 76,037 3,227
Compass Bancshares Inc. 71,198 3,213
- - EXCEL Communications, Inc. 138,801 3,184
Security Capital Industrial
Trust REIT 126,337 3,158
- - Jacor Communications, Inc. 53,300 3,145
Allegiance Corp. 61,000 3,126
Potomac Electric Power Co. 124,100 3,110
- - Advanced Fibre Communications 77,300 3,097
Reader's Digest Assn., Inc.
Class A 114,100 3,095
- - Quantum Corp. 148,600 3,083
- - Intuit, Inc. 49,800 3,050
DPL Inc. 168,212 3,049
Commerce Bancshares, Inc. 62,205 3,036
Hibernia Corp. Class A 150,128 3,031
- - American Power
Conversion Corp. 101,000 3,030
DePuy, Inc. 107,000 3,023
Wesco Financial Corp. 7,708 3,014
DQE Inc. 83,643 3,011
- - Forest Laboratories, Inc. 84,116 3,007
- - Payless ShoeSource, Inc. 40,400 2,977
Comdisco, Inc. 156,476 2,973
American National Insurance Co. 28,150 2,963
- - Litton Industries, Inc. 50,100 2,956
Viad Corp. 106,445 2,954
Whitman Corp. 128,200 2,940
- - Chiron Corp. 187,040 2,934
International Game Technology 120,298 2,917
Transatlantic Holdings, Inc. 37,700 2,915
- - Arterial Vascular Engineering, Inc. 81,400 2,910
- - Borders Group, Inc. 77,900 2,882
- - Cablevision Systems Corp. Class B 34,500 2,881
Energy East Corp. 69,200 2,880
Hubbell Inc. Class B 69,106 2,876
New England Electric System 66,500 2,876
McCormick & Co., Inc. 80,283 2,868
- - DST Systems, Inc. 51,200 2,867
Federal-Mogul Corp. 42,300 2,855
- - U.S. Cellular Corp. 92,850 2,855
- - Cooper Cameron Corp. 55,900 2,851
Peoples Heritage Financial
Group Inc. 120,214 2,840
- - Comverse Technology, Inc. 54,720 2,839
- - Sofamor Danek Group, Inc. 32,700 2,830
Millennium Chemicals, Inc. 83,100 2,815
- - Altera Corp. 94,780 2,802
Lafarge Corp. 70,900 2,787
First Virginia Banks, Inc. 54,263 2,774
Unitrin, Inc. 39,770 2,764
- - Allied Waste Industries, Inc. 114,800 2,755
Dial Corp. 105,800 2,744
- - FORE Systems, Inc. 103,400 2,740
- - Uniphase Corp. 43,600 2,737
First Commercial Corp. 39,377 2,734
Sovereign Bancorp, Inc. 167,024 2,730
- - Viking Office Products 87,000 2,730
Hormel Foods Corp. 78,800 2,723
- - NTL Inc. 50,900 2,723
Stewart Enterprises, Inc. Class A 102,200 2,721
USG Corp. 50,200 2,717
Associated Banc-Corp. 72,080 2,712
Interstate Energy Corp. 83,417 2,711
- - Xilinx, Inc. 79,700 2,710
CCB Financial Corp. 25,472 2,706
- - Pacificare Health Systems Inc.
Class B 30,622 2,706
The St. Joe Co. 98,697 2,702
Mercantile Bankshares Corp. 77,325 2,692
- - Centocor, Inc. 74,100 2,686
- - General Nutrition Cos., Inc. 86,300 2,686
- - Netscape Communications Corp. 98,885 2,676
Consolidated Papers 97,800 2,665
ENSCO International, Inc. 153,200 2,662
Johns Manville Corp. 175,800 2,648
American Financial Group, Inc. 61,100 2,646
- - Barnes & Noble, Inc. 70,600 2,643
Western Resources, Inc. 67,986 2,639
- - Citizens Utilities Co. Class B 273,655 2,634
- - Apollo Group, Inc. Class A 79,162 2,617
</TABLE>
3
<PAGE> 38
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------
MARKET
VALUE*
EXTENDED MARKET PORTFOLIO SHARES (000)
- ---------------------------------------------------------------------
<S> <C> <C>
- - Rexall Sundown, Inc. 74,194 $ 2,615
- - Global TeleSystems Group, Inc. 53,600 2,613
- - Sybron International Corp. 103,500 2,613
Meditrust Corp. 93,359 2,608
- - USA Networks, Inc. 102,482 2,575
- - McLeod, Inc. 66,100 2,570
Interstate Bakeries Corp. 77,400 2,569
- - Premier Parks Inc. 38,500 2,565
- - CalEnergy Co. 85,292 2,564
American Bankers
Insurance Group 42,600 2,561
- - Concord EFS, Inc. 97,612 2,550
Lyondell Petrochemical Co. 83,654 2,546
American Water Works Co., Inc. 81,974 2,541
The PMI Group Inc. 34,600 2,539
- - Lincare Holdings, Inc. 60,300 2,536
- - Snyder Communications, Inc. 57,300 2,521
Pioneer Natural Resources Co. 104,856 2,503
KN Energy, Inc. 46,050 2,495
- - Keebler Foods Co. 90,300 2,483
Puget Sound Energy Inc. 92,141 2,470
Manpower Inc. 85,800 2,461
Allied Group, Inc. 52,500 2,458
- - Sterling Software, Inc. 83,074 2,456
- - Dollar Tree Stores, Inc. 60,413 2,454
Telephone & Data Systems, Inc. 62,028 2,442
Clayton Homes Inc. 128,397 2,439
- - RELTEC Corp. 54,200 2,439
Protective Life Corp. 66,400 2,436
Bergen Brunswig Corp. Class A 52,266 2,424
- - i2 Technologies, Inc. 67,800 2,381
- - Northeast Utilities 139,900 2,369
- - BJ Services Co. 81,500 2,368
Murphy Oil Corp. 46,630 2,363
Shaw Industries, Inc. 133,100 2,346
- - Teradyne, Inc. 87,589 2,343
Rouse Co. REIT 74,500 2,342
- - SCI Systems, Inc. 62,184 2,340
Peoples Bank of Bridgeport 67,550 2,339
- - Young & Rubicam Inc. 73,000 2,336
- - Neiman Marcus Group Inc. 53,755 2,335
Avnet, Inc. 42,642 2,332
Cabot Corp. 72,132 2,331
- - Siebel Systems, Inc. 72,200 2,328
Harsco Corp. 50,532 2,315
Symbol Technologies, Inc. 61,275 2,313
OGE Energy Corp. 85,600 2,311
Spieker Properties, Inc. REIT 59,600 2,309
- - Affiliated Computer Services, Inc. 59,925 2,307
The Timber Co. 100,000 2,306
Dean Foods Corp. 41,933 2,304
Herman Miller, Inc. 94,484 2,297
- - Veritas Software Corp. 55,462 2,295
- - Vitesse Semiconductor Corp. 74,100 2,288
Magna Group 40,400 2,283
- - STERIS Corp. 35,808 2,277
- - Tele-Communications
International, Inc. Series A 113,300 2,277
Martin Marietta Materials, Inc. 50,400 2,268
Avalon Bay Communities 59,621 2,266
CNB Bancshares, Inc. 47,191 2,265
- - Safeskin Corp. 55,000 2,262
Conectiv, Inc. 110,100 2,257
CKE Restaurants Inc. 54,340 2,241
AMB Property Corp. 91,400 2,239
- - Arrow Electronics, Inc. 102,900 2,238
Noble Affiliates, Inc. 58,836 2,236
Illinova Corp. 74,376 2,231
Leucadia National Corp. 66,976 2,214
Olin Corp. 53,100 2,214
Delta & Pine Land Co. 49,700 2,212
Unifi, Inc. 64,225 2,200
- - CNET, Inc. 32,200 2,198
- - CMG Information Services, Inc. 31,052 2,197
GATX Corp. 50,000 2,194
Boston Properties, Inc. REIT 63,500 2,191
Flowers Industries, Inc. 107,200 2,191
MidAmerican Energy Co. 101,294 2,190
HON Industries, Inc. 64,300 2,186
Premark International, Inc. 67,323 2,171
ComAir Holdings, Inc. 70,224 2,168
- - Tech Data Corp. 50,578 2,168
- - R. P. Scherer Corp. 24,426 2,165
- - Century Communications Corp.
Class A 115,181 2,160
- - MedImmune Inc. 34,600 2,158
Ross Stores, Inc. 50,188 2,158
Security Capital Pacific, Inc. REIT 95,696 2,153
- - Nabors Industries, Inc. 108,300 2,146
Wilmington Trust Corp. 35,200 2,143
- - Universal Health Services Class B 36,700 2,142
- - Mohawk Industries, Inc. 67,300 2,132
Health and Retirement
Properties Trust 113,300 2,131
- - Cytec Industries, Inc. 48,000 2,124
- - OfficeMax, Inc. 128,700 2,123
National Community Bancorp 50,596 2,119
MCN Energy Group Inc. 85,000 2,114
Diebold, Inc. 73,126 2,112
Pulitzer Publishing Co. 23,633 2,109
- - Excite, Inc. 22,500 2,104
Pacific Century Financial Corp. 87,602 2,102
UtiliCorp United, Inc. 55,786 2,102
BEC Energy 50,600 2,100
- - Genzyme Corp. 81,876 2,093
- - Quorum Health Group, Inc. 78,800 2,088
Reliance Group Holdings 119,314 2,088
Tidewater, Inc. 63,100 2,082
- - PLATINUM technology, Inc. 72,600 2,074
- - Westpoint Stevens, Inc. 62,814 2,073
Integrated Health Services, Inc. 55,213 2,070
Harte-Hanks, Inc. 80,082 2,067
Lennar Corp. 69,639 2,054
- - Legato Systems, Inc. 52,600 2,051
Cracker Barrel Old Country
Stores, Inc. 64,433 2,046
- - Ocean Energy, Inc. 104,442 2,043
- - Mastech Corp. 72,600 2,042
Pier 1 Imports Inc. 85,252 2,035
- - Suiza Foods Corp. 34,100 2,035
Everest Reinsurance Holdings, Inc. 52,900 2,033
Bowater Inc. 42,949 2,029
</TABLE>
4
<PAGE> 39
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ---------------------------------------------------------------------
<S> <C> <C>
Keystone Financial, Inc. 54,800 $ 2,028
CNF Transportation, Inc. 47,700 2,027
Erie Indemnity Co. Class A 70,117 2,025
IPALCO Enterprises, Inc. 45,500 2,022
Mack-Cali Realty Corp. REIT 58,700 2,018
Airborne Freight Corp. 57,620 2,013
Provident Financial Group, Inc. 44,125 2,013
- - Corrections Corp. of America 85,428 2,008
- - Outback Steakhouse 51,454 2,007
Fremont General Corp. 37,027 2,006
U.S. Trust Corp. 26,300 2,005
Crompton & Knowles Corp. 79,200 1,995
Montana Power Co. 57,300 1,991
Nabisco Holdings Corp. Class A 55,200 1,991
- - Valassis Communications, Inc. 51,500 1,986
Hartford Life, Inc. 34,800 1,981
CarrAmerica Realty Corp. REIT 69,500 1,972
- - MGM Grand, Inc. 62,439 1,971
- - Learning Co., Inc. 66,363 1,966
- - Williams Sonoma, Inc. 61,800 1,966
Cordant Technologies, Inc. 42,600 1,965
Valero Energy Corp. 58,800 1,955
NGC Corp. 155,600 1,945
FINA Inc. 29,900 1,944
York International Corp. 44,600 1,943
- - Xylan Corp. 64,800 1,932
Life Re Corp. 23,500 1,927
- - Catellus Development Corp. 108,701 1,923
- - Patterson Dental Co. 52,500 1,923
- - Chris-Craft Industries, Inc. 35,032 1,916
- - Furniture Brands International Inc. 68,200 1,914
- - Policy Management
Systems Corp. 48,528 1,905
Astoria Financial Corp. 35,578 1,903
- - First Health Group Corp. 66,730 1,902
- - International Network Services 46,300 1,898
- - Golden State Bancorp Inc. 63,705 1,895
Southdown, Inc. 26,500 1,891
Hertz Corp. Class A 42,600 1,888
Hannaford Brothers Co. 42,800 1,883
Duke Realty Investments, Inc. REIT 79,400 1,881
Orion Capital Corp. 33,600 1,877
First Bancorp of Ohio 64,400 1,876
- - International Home Foods, Inc. 82,300 1,872
Trinity Industries, Inc. 45,100 1,872
Post Properties, Inc. REIT 48,331 1,861
- - Waters Corp. 31,500 1,857
- - Alleghany Corp. 7,958 1,856
Kansas City Power & Light Co. 64,000 1,856
- - Sanmina Corp. 42,800 1,856
United Asset Management Corp. 71,200 1,856
Legg Mason Inc. 32,199 1,853
Horace Mann Educators Corp. 53,600 1,849
Reinsurance Group of
America, Inc. 31,200 1,845
Wausau-Mosinee Paper Corp. 80,628 1,844
- - Ciber, Inc. 48,500 1,843
- - Safeguard Scientifics, Inc. 44,100 1,838
- - International Specialty
Products, Inc. 98,500 1,835
Cornerstone Properties, Inc. REIT 103,800 1,829
Financial Security Assurance
Holdings Ltd. 31,100 1,827
- - Sylvan Learning Systems, Inc. 55,800 1,827
- - Ocwen Financial Corp. 67,800 1,822
Fastenal Co. 39,200 1,820
- - PRIMEDIA Inc. 134,100 1,819
- - Corporate Express, Inc. 143,200 1,817
CMAC Investment Corp. 29,500 1,814
- - Ingram Micro, Inc. 40,900 1,810
- - BJ's Wholesale Club, Inc. 44,500 1,808
- - Jefferson Smurfit Corp. 114,900 1,806
- - AMF Bowling, Inc. 62,200 1,804
- - Jones Intercable Inc. 72,100 1,803
Meritor Automotive, Inc. 75,000 1,800
- - Express Scripts 22,300 1,798
- - U.S. Rentals, Inc. 45,500 1,794
TR Financial Corp. 42,800 1,792
Lubrizol Corp. 58,933 1,783
IBP, Inc. 98,200 1,780
- - Healthcare & Retirement Corp. 45,050 1,777
- - Network Appliance, Inc. 45,600 1,776
- - Symantec Corp. 67,912 1,774
- - J. Ray McDermott SA 42,700 1,772
Valspar Corp. 44,700 1,771
- - Adaptec, Inc. 123,700 1,770
Albank Financial Corp. 25,080 1,770
TCA Cable Television, Inc. 29,500 1,770
- - Saks Holdings, Inc. 63,700 1,760
- - CompUSA, Inc. 97,200 1,756
Tiffany & Co. 36,532 1,754
Camden Property Trust REIT 58,861 1,751
Tootsie Roll Industries, Inc. 22,734 1,745
- - Syntel, Inc. 55,805 1,744
- - Skytel Communications, Inc. 74,400 1,741
N L Industries, Inc. 87,000 1,740
Witco Chemical Corp. 59,500 1,740
National Fuel Gas Co. 39,900 1,738
- - Lycos, Inc. 22,986 1,733
Kimco Realty Corp. REIT 42,150 1,728
City National Corp. 46,688 1,725
Webster Financial Corp. 51,762 1,721
- - AmeriCredit Corp. 48,200 1,720
- - Stage Stores, Inc. 37,900 1,715
RPM Inc. (Ohio) 100,680 1,712
- - Omnipoint Corp. 74,600 1,711
Raymond James Financial, Inc. 57,137 1,711
- - Orbital Sciences Corp. 45,700 1,708
- - Antec Corp. 73,600 1,707
- - Blyth Industries, Inc. 51,350 1,707
- - SPS Transaction Services 54,400 1,707
- - Gentex Corp. 94,000 1,704
Apartment Investment &
Management Co. Class A REIT 43,100 1,702
- - ICG Communications, Inc. 46,500 1,700
- - PMT Services Inc 66,765 1,698
Highwood Properties, Inc. REIT 52,500 1,696
Commercial Federal Corp. 53,597 1,695
- - Nova Corp. (Georgia) 47,400 1,695
- - CheckFree Holdings Corp. 57,500 1,693
Nationwide Financial Services, Inc. 33,200 1,693
- - Henry Schein, Inc. 36,600 1,688
</TABLE>
5
<PAGE> 40
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------
MARKET
VALUE*
EXTENDED MARKET PORTFOLIO SHARES (000)
- ---------------------------------------------------------------------
<S> <C> <C>
- - Barrett Resources Corp. 45,050 $ 1,687
Liberty Property Trust REIT 66,000 1,687
- - World Color Press, Inc. 48,200 1,687
- - IDX Systems Corp. 36,582 1,685
Beckman Coulter, Inc. 28,900 1,683
Pentair, Inc. 39,608 1,683
- - Hambrecht & Quist Group 46,300 1,681
Lancaster Colony Corp. 44,315 1,678
Questar Corp. 85,430 1,677
G & K Services, Inc. 38,325 1,672
Colonial BancGroup, Inc. 51,800 1,671
John Wiley & Sons Class A 27,400 1,668
La Quinta Inns Inc. 78,849 1,666
Polaris Industries, Inc. 44,250 1,665
Valley National Bancorp 57,342 1,663
- - Winstar Communications, Inc. 38,700 1,662
First American Financial Corp. 18,400 1,656
- - ITT Educational Services, Inc. 51,300 1,654
Centura Banks, Inc. 26,400 1,650
- - Metro-Goldwyn-Mayer Inc. 75,000 1,650
Kaydon Corp. 46,600 1,646
- - Metzler Group, Inc. 44,800 1,641
- - ICOS Corp. 85,700 1,639
- - Excel Switching Corp. 65,800 1,637
JLG Industries, Inc. 80,800 1,636
Alfa Corp. 78,700 1,633
- - Rational Software Corp. 107,092 1,633
Fifth Third Bancorp 25,904 1,632
Forest City Enterprise Class A 27,550 1,631
- - Men's Wearhouse, Inc. 49,425 1,631
D. R. Horton, Inc. 78,000 1,628
Trustmark Corp. 74,200 1,628
- - Circus Circus Enterprises Inc. 96,059 1,627
Crawford & Co. Class B 86,700 1,626
- - MedPartners, Inc. 202,917 1,623
- - Whole Foods Market, Inc. 26,800 1,621
- - Heftel Broadcasting Corp. 36,200 1,620
- - Imperial Bancorp 53,875 1,616
- - Tekelec 36,100 1,615
- - Toll Brothers, Inc. 56,200 1,612
- - EntreMed, Inc. 48,300 1,606
Landamerica Financial Group 28,050 1,606
- - Mueller Industries Inc. 43,232 1,605
Ametek Aerospace Products Inc. 54,700 1,603
Fingerhut Co. 48,546 1,602
- - IXC Communications, Inc. 33,000 1,601
- - NEXTLINK Communications, Inc. 42,200 1,598
Arden Realty Group, Inc. REIT 61,700 1,596
- - FIRSTPLUS Financial Group, Inc. 44,200 1,591
The McClatchy Co. Class A 45,850 1,588
- - Global Industries Ltd. 93,900 1,585
- - U.S. Foodservice 45,196 1,585
Pittston Brink's Group 42,900 1,582
- - Associated Group, Inc. 38,556 1,581
National Data Corp. 36,139 1,581
NAC Re Corp. 29,525 1,576
- - Roberts Pharmaceuticals 68,500 1,576
- - Iomega Corp. 268,000 1,575
Pittway Corp. Class A 21,316 1,575
- - Bally Total Fitness Holding Corp. 43,689 1,573
Central Newspapers Inc. 22,550 1,573
- - Pegasystems Inc. 58,000 1,573
American Annuity Group Inc. 65,278 1,571
- - Trigon Healthcare, Inc. 43,400 1,570
IndyMac Mortgage Holdings, Inc. 68,900 1,567
Texas Industries, Inc. 29,514 1,564
- - Healthcare Financial Partners, Inc. 25,500 1,563
- - Beverly Enterprises, Inc. 113,000 1,561
- - Paging Network, Inc. 111,400 1,560
- - Devry, Inc. 71,000 1,558
Ethan Allen Interiors, Inc. 31,200 1,558
- - AmeriSource Health Corp. 23,704 1,557
- - Coherent Communications
Systems Corp. 33,200 1,554
MascoTech Inc. 64,685 1,552
- - Howmet International Inc. 103,100 1,547
Ohio Casualty Corp. 34,956 1,547
Callaway Golf Co. 78,400 1,544
Expeditors International of
Washington, Inc. 35,100 1,544
Grief Brothers Corp. Class A 41,200 1,540
Liberty Financial Cos., Inc. 44,600 1,539
HUBCO, Inc. 42,954 1,538
HSB Group Inc. 28,714 1,536
- - BroadVision, Inc. 64,300 1,535
Capital Re Corp. 21,400 1,533
Burlington Coat Factory
Warehouse Corp. 68,100 1,532
- - LaSalle Partners Inc. 34,400 1,531
Aptargroup Inc. 24,600 1,530
20th Century Industries of CA 53,300 1,529
- - BEA Systems, Inc. 66,600 1,528
- - Smith International, Inc. 43,900 1,528
Glenborough Realty Trust, Inc. REIT 57,900 1,527
AVX Corp. 95,000 1,526
Interface, Inc. 75,600 1,526
- - Zebra Technologies Class A 35,700 1,526
- - Computer Horizons Corp. 41,138 1,525
Weis Markets, Inc. 41,500 1,525
- - Cirrus Logic 137,000 1,524
- - Anchor Gaming 19,601 1,522
Chesapeake Corp. of Virginia 39,083 1,522
Inland Steel Industries, Inc. 54,000 1,522
- - Varco International, Inc. 76,756 1,521
Baldor Electric Co. 62,306 1,519
- - Intermedia Communications Inc. 36,200 1,518
- - United Stationers, Inc. 23,344 1,512
Blount International, Inc. 53,000 1,511
Cullen/Frost Bankers, Inc. 27,860 1,511
C.H. Robinson Worldwide, Inc. 60,700 1,510
- - Alliant Techsystems, Inc. 23,800 1,505
- - Premisys Communications, Inc. 60,500 1,505
United Dominion Realty
Trust REIT 108,500 1,505
- - UNOVA, Inc. 70,000 1,505
- - AXENT Technologies, Inc. 49,100 1,504
MAF Bancorp, Inc. 41,314 1,503
Newport News Shipbuilding Inc. 56,000 1,498
Michael Foods Group, Inc. 50,955 1,497
- - E*TRADE Group, Inc. 65,000 1,491
Fulton Financial Corp. 58,763 1,491
Provident Bankshares Corp. 50,552 1,491
</TABLE>
6
<PAGE> 41
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ---------------------------------------------------------------------
<S> <C> <C>
AmerUs Life Holdings, Inc. 46,000 $ 1,489
Long Island Bancorp, Inc. 24,500 1,488
- - O'Reilly Automotive, Inc. 41,300 1,487
- - Value City Department Stores, Inc. 70,800 1,487
National Computer Systems, Inc. 61,900 1,486
Aliant Communications, Inc. 54,000 1,482
- - Paymentech, Inc. 72,067 1,482
Northwest Bancorp, Inc. 93,600 1,480
New Plan Realty Trust REIT 60,355 1,479
United Television, Inc. 12,900 1,477
- - K-V Pharamceutical Co. Class A 65,250 1,476
- - Macromedia 78,977 1,476
- - CommScope, Inc. 91,000 1,473
Bindly Western Industries, Inc. 44,600 1,472
- - ShowBiz Pizza Time, Inc. 36,475 1,470
- - National-Oilwell, Inc. 54,700 1,467
Reynolds & Reynolds Class A 80,600 1,466
- - ACNielson Corp. 58,000 1,465
Teleflex Inc. 38,500 1,463
- - PSINet, Inc. 112,400 1,461
COMSAT Corp. 51,500 1,458
Hospitality Properties Trust REIT 45,400 1,458
- - Ziff-Davis Inc. 105,100 1,458
Overseas Shipholding Group Inc. 71,300 1,453
- - Harbinger Corp. 59,930 1,450
Ogden Corp. 52,351 1,449
- - Hanover Compressor Co. 53,500 1,448
United Dominion Industries Ltd. 43,385 1,448
Washington Federal Inc. 52,357 1,446
- - Orthodontic Centers of
America, Inc. 6,9000 1,445
La-Z-Boy Inc. 25,500 1,441
Downey Financial Corp. 44,020 1,439
Universal Corp. 38,500 1,439
Central Parking Corp. 31,600 1,438
Lee Enterprises, Inc. 46,900 1,436
ASA Holdings Inc. 28,900 1,434
Hollinger International, Inc. 84,300 1,433
- - Michaels Stores, Inc. 40,600 1,432
- - VeriSign, Inc. 38,300 1,431
Liberty Corp. 28,400 1,429
Flowserve Corp. 57,794 1,423
Community First Bankshares 54,316 1,422
Central Maine Power Co. 72,867 1,421
Mark IV Industries, Inc. 65,632 1,419
Commerce Bancorp, Inc. 24,218 1,417
LNR Property Corp. 55,250 1,416
- - GTech Holdings Corp. 42,000 1,415
- - IDEXX Laboratories Corp. 56,800 1,413
- - Visio Corp. 29,600 1,413
Taubman Co. REIT 98,800 1,408
- - Cypress Semiconductor Corp. 169,200 1,406
- - Aspect Telecommunications Corp. 51,300 1,404
Media General, Inc. Class A 28,800 1,404
WestAmerica Bancorporation 43,696 1,404
- - Brinker International, Inc. 72,763 1,401
Hughes Supply, Inc. 38,261 1,401
- - Sierra Health Services 55,604 1,401
- - ADVO, Inc. 49,675 1,400
- - Twinlab Corp. 32,000 1,398
Foremost Corp. of America 57,900 1,397
- - Genesis Health Ventures Inc. 55,850 1,396
Oakwood Homes Corp. 46,500 1,395
- - Cerner Corp. 49,230 1,394
Argonaut Group, Inc. 44,019 1,392
- - Wyman-Gordon Corp. 69,800 1,392
Commerce Group, Inc. 35,900 1,391
- - Microchip Technology, Inc. 53,175 1,389
Student Loan Corp. 29,500 1,388
DENTSPLY International Inc. 55,400 1,385
- - Atmel Corp. 101,600 1,384
Arthur J. Gallagher & Co. 30,900 1,383
One Valley Bancorp of West
Virginia Inc. 37,968 1,381
Bank United Corp. Class A 28,800 1,379
- - Windmere-Durable Holdings Inc. 38,498 1,379
- - Florida Panthers Holdings, Inc. 70,000 1,378
- - Newfield Exploration Co. 55,400 1,378
Kelly Services, Inc. Class A 38,937 1,377
- - Pacificare Health Systems Inc.
Class A 16,295 1,377
- - NovaCare, Inc. 117,100 1,376
Donaldson Co., Inc. 58,200 1,375
- - Knoll, Inc. 46,600 1,375
- - Mastec Inc. 57,583 1,375
Westfield America, Inc. REIT 74,700 1,373
- - Brightpoint, Inc. 94,600 1,372
- - ChoicePoint Inc. 27,100 1,372
- - Southern Union Co. 42,503 1,371
- - Imperial Credit 58,174 1,367
- - Mesaba Holdings, Inc. 59,400 1,366
Computer Task Group, Inc. 40,708 1,364
General Growth Properties
Inc. REIT 36,500 1,364
Cleco Corp. 45,792 1,362
Federal Realty Investment
Trust REIT 56,600 1,362
Hussman International, Inc. 73,400 1,362
Kellwood Co. 38,100 1,362
- - Oakley, Inc. 101,800 1,362
- - Champion Enterprises, Inc. 46,514 1,361
- - Friede Goldman International, Inc. 47,000 1,357
- - Vanguard Cellular Systems, Inc.
Class A 71,737 1,354
- - ATL Ultrasound, Inc. 29,637 1,352
Harman International
Industries, Inc. 35,114 1,352
Alexander & Baldwin, Inc. 46,400 1,351
Commonwealth Energy Systems 35,800 1,351
- - Rambus Inc. 22,100 1,351
Superior Industries
International, Inc. 47,919 1,351
- - Sykes Enterprises, Inc. 67,350 1,351
Reckson Associates Realty
Corp. REIT 57,100 1,349
A.O. Smith Corp. 26,100 1,349
Bob Evans Farms, Inc. 63,616 1,348
Minnesota Power, Inc. 33,900 1,348
Cousins Properties, Inc. REIT 45,100 1,347
Jones Pharma, Inc. 40,650 1,347
- - UCAR International, Inc. 46,100 1,346
Old National Bancorp 28,174 1,345
</TABLE>
7
<PAGE> 42
<TABLE>
<CAPTION>
- ---------------------------------------------------------------
MARKET
VALUE*
EXTENDED MARKET PORTFOLIO SHARES (000)
- ---------------------------------------------------------------
<S> <C> <C>
Rochester Gas and Electric Corp. 42,048 $ 1,343
BetzDearborn Inc. 31,800 1,342
- - Univision Communications Inc. 36,000 1,341
- - Coltec Inc. 67,400 1,340
- - Information Resources, Inc. 72,434 1,340
- - Broderbund Software, Inc. 58,700 1,339
Carlisle Co., Inc. 31,046 1,337
- - Midway Games Inc. 85,581 1,337
- - ThermoQuest Corp. 89,500 1,337
Washington Water Power Co. 59,600 1,337
Kennametal, Inc. 31,955 1,334
- - Laidlaw Environmental
Services, Inc. 368,100 1,334
Carter-Wallace, Inc. 73,800 1,333
- - Grand Casinos, Inc. 79,600 1,333
Omega Healthcare Investors,
Inc. REIT 37,940 1,333
Primex Technologies, Inc. 26,010 1,333
Graco, Inc. 38,165 1,331
The Macerich Co. REIT 45,400 1,331
- - BT Office Products
International, Inc. 98,500 1,330
- - Buffets Inc. 84,693 1,329
Pilgrim's Pride Corp. 66,400 1,328
Riggs National Corp. 45,400 1,327
The Standard Register Co. 37,487 1,326
Casey's General Stores 80,000 1,325
J.B. Hunt Transport Services, Inc. 37,203 1,325
- - Scholastic Corp. 33,200 1,324
- - Anixter International Inc. 69,300 1,321
Allied Capital Corp. 53,820 1,319
- - Jabil Circuit, Inc. 39,900 1,319
- - Essex International, Inc. 55,800 1,318
Health Care REIT, Inc. 51,700 1,318
- - Smithfield Foods, Inc. 43,200 1,318
Meridian Industrial Trust, Inc. REIT 57,200 1,316
- - Serologicals Corp. 40,800 1,316
- - BET Holdings Inc. Class A 20,900 1,315
- - Footstar Inc. 27,400 1,315
Caraustar Industries, Inc. 45,500 1,314
- - FileNET Corp. 45,500 1,314
Waddell & Reed Financial, Inc. 54,900 1,314
AAR Corp. 44,400 1,313
AGCO Corp. 63,800 1,312
Washington REIT 75,500 1,312
- - America West Holdings Corp.
Class B 45,900 1,311
- - Comfort Systems USA, Inc. 56,100 1,311
- - Hollywood Entertainment Corp. 96,671 1,311
IDEX Corp. 38,000 1,311
- - Covance, Inc. 58,160 1,309
- - Claremont Technology Group, Inc. 48,800 1,308
- - INCYTE Pharmaceuticals, Inc. 38,300 1,307
- - Mentor Graphics Corp. 123,600 1,306
Rollins Truck Leasing 105,462 1,305
True North Communications 44,600 1,305
- - Metamor Worldwide, Inc. 37,050 1,304
Presidential Life Corp. 61,000 1,304
- - Pairgain Technologies, Inc. 74,700 1,303
- - Paragon Health Network, Inc. 80,785 1,303
Idaho Power Co. 37,600 1,302
Precision Castparts Corp. 24,400 1,302
- - RCN Corp. 67,200 1,302
Wellman, Inc. 57,355 1,301
Staten Island Bancorp, Inc. 57,100 1,299
Rayonier Inc. 28,200 1,297
Trustco Bank 49,284 1,294
Coachmen Industries, Inc. 49,500 1,293
Church & Dwight, Inc. 39,900 1,292
- - Interim Services, Inc. 40,200 1,291
Merry Land & Investment Co.,
Inc. REIT 61,300 1,291
- - Vanstar Corp. 88,600 1,290
Arvin Industries, Inc. 35,500 1,289
- - Barr Labs Inc. 32,400 1,288
Chateau Communities, Inc. REIT 44,812 1,288
Valhi, Inc. 123,400 1,288
- - ABR Information Services, Inc. 54,100 1,285
Western Bancorp 30,461 1,285
- - EEX Corp. 137,000 1,284
- - Shopko Stores, Inc. 37,755 1,284
Houghton Mifflin Co. 40,400 1,283
MDU Resources Group, Inc. 35,950 1,283
- - Acxiom Corp. 51,422 1,282
Frontier Insurance Group, Inc. 56,750 1,280
- - Spelling Entertainment 136,400 1,279
P.H. Glatfelter Co. 80,800 1,278
JDN Realty Corp. REIT 40,100 1,278
Bank North Group 34,500 1,277
- - Sequa Corp. Class A 19,100 1,275
Queens County Bancorp, Inc. 29,198 1,274
Nevada Power Co. 49,452 1,273
Fluke Corp. 38,690 1,272
- - Wang Laboratories, Inc. 50,000 1,272
Fund American Enterprise
Holding Co. 8,585 1,271
- - Andrx Corp. 34,500 1,268
TJ International, Inc. 42,000 1,265
Werner Enterprises, Inc. 66,375 1,265
- - Concentra Managed Care 48,600 1,264
- - United Rentals, Inc. 30,100 1,264
Engineered Support Systems, Inc. 68,250 1,263
GenCorp, Inc. 50,000 1,263
- - Jacobs Engineering Group Inc. 39,300 1,263
Enhance Financial Services
Group, Inc. 37,400 1,262
Pioneer Group, Inc. 47,900 1,260
- - Consolidated Products Inc. 59,596 1,259
Hawaiian Electric Industries Inc. 31,735 1,259
John H. Harland Co. 74,300 1,258
- - Host Marriott Services Corp. 86,390 1,258
Brenton Banks, Inc. 61,525 1,257
- - Superior Consultant Holdings Corp. 29,100 1,255
CCA Prison Realty Trust REIT 40,900 1,253
- - Cellstar Corp. 96,800 1,252
- - DBT Online Inc. 46,354 1,252
- - Wind River Systems 34,861 1,251
- - CDW Computer Centers, Inc. 25,000 1,250
- - Dionex Corp. 47,400 1,250
- - Sapient Corp. 23,700 1,250
CRIIMI MAE, Inc. REIT 90,000 1,249
Chelsea GCA Realty, Inc. REIT 31,200 1,248
</TABLE>
8
<PAGE> 43
<TABLE>
<CAPTION>
- ---------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ---------------------------------------------------------------
<S> <C> <C>
Franchise Finance Corp. of
America REIT 48,100 $ 1,248
Quaker State Corp. 75,900 1,243
- - Action Performance Cos., Inc. 38,500 1,239
- - Amerco, Inc. 42,100 1,239
Carpenter Technology Corp. 24,600 1,236
Ryland Group, Inc. 47,100 1,236
- - Physician Reliance Network, Inc. 107,800 1,233
- - Security Capital Group Inc.
Class B 46,300 1,233
AGL Resources Inc. 62,000 1,232
- - AirTran Holdings, Inc. 163,600 1,232
Cato Corp. Class A 70,800 1,232
First Industrial Realty Trust REIT 38,700 1,231
- - Investment Technology Group, Inc. 44,700 1,229
Sun Communities, Inc. REIT 37,100 1,229
- - Medicis Pharmaceutical Corp. 33,625 1,227
- - Pinnacle Systems, Inc. 37,900 1,227
Advanta Corp. Class A 55,902 1,226
Albany International Corp. 51,080 1,223
- - American Management
Systems, Inc. 40,825 1,222
BRE Properties Inc. Class A REIT 46,900 1,222
- - Vail Resorts Inc. 45,900 1,222
Selective Insurance Group 54,500 1,221
Albemarle Corp. 55,302 1,220
CenterPoint Properties Corp. REIT 36,900 1,220
- - Corn Products International, Inc. 36,000 1,220
Talbots Inc. 46,600 1,220
- - Houston Exploration Co. 53,100 1,218
J.M. Smucker Co. Class A 49,100 1,218
- - Oxford Health Plan 79,400 1,216
- - Vishay Intertechnology, Inc. 67,783 1,216
United Illuminating Co. 24,000 1,215
Universal Foods Corp. 54,724 1,214
HCC Insurance Holdings, Inc. 55,100 1,212
JSB Financial 20,699 1,212
John Nuveen Co. Class A 30,543 1,212
Alpharma, Inc. Class A 55,034 1,211
Ruby Tuesday, Inc. 78,124 1,211
- - Novellus Systems, Inc. 33,900 1,210
- - Zale Corp. 38,000 1,209
Regal-Beloit Corp. 42,400 1,208
- - Vlasic Foods International, Inc. 60,000 1,208
- - Yellow Corp. 65,100 1,208
General Binding Corp. 32,800 1,207
Healthcare Realty Trust Inc. 44,300 1,207
Irvine Apartment Communities,
Inc. REIT 41,700 1,207
- - Hyperion Software Corp. 42,300 1,206
- - Ralcorp Holdings, Inc. 63,900 1,206
- - Transaction Systems
Architects, Inc. 31,300 1,205
W.R. Berkley Corp. 30,050 1,204
- - Amresco, Inc. 41,300 1,203
- - Gilead Sciences, Inc. 37,500 1,202
- - National Processing, Inc. 112,500 1,202
Oneida Ltd. 39,233 1,202
- - Genrad, Inc. 60,812 1,201
- - First Federal Financial Corp. 23,075 1,200
- - Informix Corp. 151,800 1,200
Jefferson Savings Bancorp, Inc. 38,400 1,200
Lance, Inc. 53,641 1,200
Brooke Group Ltd. 106,600 1,199
- - Metromedia International
Group, Inc. 100,400 1,199
- - UICI 44,000 1,199
- - Veritas DGC Inc. 24,000 1,199
- - Biomatrix, Inc. 29,167 1,196
Bradley Real Estate Inc. REIT 56,637 1,196
- - Avant! Corp. 48,290 1,195
- - Acuson Corp. 65,638 1,194
E.W. Blanch Holdings, Inc. 32,500 1,194
Zenith National Insurance Corp. 42,360 1,194
- - National Instruments Corp. 33,350 1,192
- - Coventry Health Care Inc. 80,100 1,191
- - Thermo Fibertek, Inc. 115,500 1,191
Citizens Banking Corp. 35,400 1,190
- - Sunglass Hut International, Inc. 107,574 1,190
Varian Associates, Inc. 30,500 1,190
- - Mid Atlantic Medical
Services, Inc. 103,400 1,189
Wabash National Corp. 46,100 1,187
- - ContiFinancial Corp. 51,300 1,186
Hancock Holding Co. 22,385 1,186
- - MAXIMUS, Inc. 41,200 1,185
- - Pharmaceutical Product
Development, Inc. 53,883 1,185
H.B. Fuller Co. 21,350 1,184
- - SPX Corp. 18,391 1,184
Weingarten Realty Investors REIT 28,300 1,183
Telxon Corp. 36,500 1,182
- - Hyperion Telecommunications,
Inc. Class A 75,300 1,181
- - Ryan's Family Steak Houses, Inc. 115,100 1,180
- - Alaska Air Group, Inc. 21,600 1,179
- - Continental Materials Corp. 33,100 1,179
- - Sepracor Inc. 28,400 1,179
- - Alternate Living Services, Inc. 43,600 1,177
- - CSG Systems International, Inc. 25,100 1,177
- - Delphi Financial Group, Inc. 20,900 1,177
Koger Equity, Inc. REIT 58,300 1,177
Nordson Corp. 25,040 1,177
- - PEC Israel Economic Corp. 49,300 1,177
- - Trammell Crow Co. 35,200 1,177
UST Corp. 44,400 1,177
Developers Diversified Realty
Corp. REIT 30,000 1,176
Lilly Industries Inc. Class A 54,388 1,176
Mentor Corp. 48,515 1,176
Rollins, Inc. 57,300 1,175
- - AnnTaylor Stores Corp. 55,400 1,174
TIG Holdings, Inc. 51,000 1,173
- - United International Holdings,
Inc. Class A 73,239 1,172
- - White River 12,942 1,171
- - Heller Financial, Inc. 39,000 1,170
- - Immune Response 77,983 1,170
Eastern Utilities Associates 44,481 1,168
Apogee Enterprises, Inc. 76,200 1,167
AREA Bancshares Corp. 34,325 1,167
Oshkosh B Gosh, Inc. Class A 26,200 1,166
</TABLE>
9
<PAGE> 44
<TABLE>
<CAPTION>
- ---------------------------------------------------------------
MARKET
VALUE*
EXTENDED MARKET PORTFOLIO SHARES (000)
- ---------------------------------------------------------------
<S> <C> <C>
Minerals Technologies, Inc. 22,900 $ 1,165
- - El Paso Electric Co. 126,666 1,164
- - MRV Communications Inc. 56,114 1,164
Borg-Warner Automotive, Inc. 24,200 1,163
- - GST Telecommunications Inc. 80,500 1,162
John Alden Financial Corp. 52,800 1,162
Clarcor Inc. 55,300 1,161
- - Magellan Health Services, Inc. 45,700 1,160
United Cos. Finance Corp. 74,209 1,160
US Bancorp, Inc. 15,000 1,160
- - Calpine Corp. 57,400 1,159
- - Structural Dynamics
Research Corp. 50,055 1,158
Tremont Corp. 20,609 1,158
The Trust Co. of New Jersey 42,900 1,158
- - Alexander's, Inc. 13,000 1,157
- - Littelfuse, Inc. 45,800 1,156
Circle International Group, Inc. 41,200 1,154
- - IHOP Corp. 27,900 1,154
- - Sola International, Inc. 35,300 1,154
Walden Residential Properties,
Inc. REIT 47,100 1,154
- - Cognex Corp. 62,350 1,153
- - PETsMART, Inc. 115,200 1,152
Sotheby's Holdings Class A 51,500 1,152
- - Micron Electronics, Inc. 95,300 1,150
- - Triarc Cos., Inc. Class A 52,400 1,150
Geon Co. 50,100 1,149
- - Linens 'n Things, Inc. 37,600 1,149
Charles E. Smith Residential
Realty, Inc. REIT 35,900 1,149
- - Lands' End, Inc. 36,300 1,148
Norrell Corp. 57,600 1,148
- - UniCapital Corp. 60,000 1,148
Invacare Corp. 44,743 1,147
- - Micro Warehouse Inc. 74,000 1,147
AK Steel Corp. 64,100 1,146
- - WetSeal, Inc. Class A 35,800 1,146
Cabot Oil & Gas Corp. Class A 57,264 1,145
Equitable Resources, Inc. 37,550 1,145
Washington Gas Light Corp. 42,802 1,145
General Cable Corp. 39,600 1,143
Gerber Scientific, Inc. 50,200 1,142
Ruddick Corp. 63,000 1,142
St. Paul Bancorp, Inc. 50,555 1,142
- - Technology Solutions Co. 36,031 1,142
- - Station Casinos, Inc. 77,600 1,140
- - Just for Feet, Inc. 39,924 1,138
- - Papa John's International, Inc. 28,850 1,138
- - Cable Design Technologies 55,072 1,136
Felcor Suite Hotels, Inc. REIT 36,200 1,136
- - IVAX Corp. 122,800 1,136
- - Personnel Group of America, Inc. 56,796 1,136
Roper Industries Inc. 43,500 1,136
Citizens Bancshares, Inc. 34,400 1,135
Del Webb Corp. 43,700 1,133
Florida Rock Industries, Inc. 38,800 1,132
First Citizens BancShares Class A 11,300 1,131
Penncorp Financial Group Inc. 55,100 1,130
Price Enterprises, Inc. 61,500 1,130
- - Eagle Hardware & Garden, Inc. 48,800 1,129
- - McMoRan Oil and Gas 265,329 1,128
Alumax, Inc. 24,310 1,127
Myers Industries, Inc. 46,971 1,127
- - Avid Technology, Inc. 33,600 1,126
Sierra Pacific Resources 31,000 1,126
Standard Products Co. 40,050 1,126
Wolverine World Wide, Inc. 51,904 1,126
- - Applied Graphics
Technologies, Inc. 24,600 1,125
- - Bio-Rad Laboratories, Inc.
Class A 36,747 1,125
- - Collins & Aikman Corp. 151,200 1,125
Federal Signal Corp. 46,237 1,124
NBT Bancorp, Inc. 44,310 1,124
- - Paxar Corp. 97,700 1,124
- - Learning Tree International, Inc. 55,800 1,123
Stewart & Stevenson
Services, Inc. 62,382 1,123
- - The Dress Barn, Inc. 45,100 1,122
- - Sensormatic Electronics Corp. 80,061 1,121
- - Electronics for Imaging, Inc. 53,000 1,120
First Hawaiian, Inc. 30,800 1,120
- - Access Health Marketing, Inc. 43,883 1,119
Earthgrains Co. 20,000 1,118
Justin Industries, Inc. 69,300 1,117
- - Westwood One, Inc. 44,300 1,117
- - Wisconsin Central
Transportation Corp. 51,000 1,116
Summit Properties, Inc. REIT 58,900 1,115
TNP Enterprises, Inc. 36,100 1,115
Lincoln Electric Holdings 50,352 1,114
- - Datastream Systems, Inc. 58,300 1,111
Modine Manufacturing Co. 32,100 1,111
Lawter International Inc. 102,054 1,110
- - Burr-Brown Corp. 52,800 1,109
CalMat Co. 50,400 1,109
- - Detroit Diesel Corp. 51,422 1,109
ChemFirst Inc. 43,900 1,108
- - Inacom Corp. 34,896 1,108
Berkshire Realty Co., Inc. REIT 94,600 1,106
Mid-America Bancorp 34,160 1,106
A.T. Cross Co. Class A 74,300 1,105
- - DSP Communications, Inc. 80,300 1,104
Devon Energy Corp. 31,600 1,104
- - ONSALE, Inc. 44,600 1,104
- - Acceptance Insurance Cos. Inc. 44,900 1,103
- - Chicago Title Corp. 23,874 1,103
- - Photronics Labs Inc. 49,996 1,103
Mid-America Apartment
Communities, Inc. REIT 41,900 1,102
- - Dal-Tile International Inc. 112,200 1,101
- - Fritz Cos., Inc. 82,300 1,101
Longview Fibre Co. 77,270 1,101
USFreightways Corp. 33,500 1,100
- - Prime Hospitality Corp. 63,000 1,099
- - Santa Fe Energy Resources, Inc. 102,268 1,099
Chiquita Brands International, Inc. 78,065 1,098
- - PanAmSat Corp. 19,300 1,098
American General Hospitality
Corp. REIT 51,600 1,097
- - PharMerica, Inc. 90,926 1,097
</TABLE>
10
<PAGE> 45
<TABLE>
<CAPTION>
- ---------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ---------------------------------------------------------------
<S> <C> <C>
Phillips-Van Heusen Corp. 74,393 $ 1,097
International Multifoods Corp. 39,869 1,096
Prentiss Properties Trust REIT 45,100 1,096
- - Diamond Technology Partners Inc. 36,190 1,095
- - Handleman Co. 95,000 1,093
Nationwide Health Properties, Inc. 45,800 1,093
New England Business
Service, Inc. 33,900 1,093
Central Hudson Gas &
Electric Corp. 23,800 1,092
Evergreen Bancorp, Inc. 37,900 1,092
- - Nautica Enterprises Inc. 40,737 1,092
- - Kent Electronics Corp. 59,600 1,091
- - Coach USA, Inc. 23,900 1,090
- - Nuevo Energy Co. 33,900 1,089
- - Human Genome Sciences, Inc. 30,500 1,088
Northwestern Corp. 43,500 1,088
- - PictureTel Corp. 117,600 1,088
Pillowtex Designs 27,111 1,088
Stone & Webster, Inc. 27,400 1,086
- - Extended Stay America, Inc. 96,400 1,085
Health Care Properties Investors 30,100 1,085
- - Haemonetics Corp. 67,700 1,083
Citizens Corp. 34,500 1,080
- - Tower Automotive, Inc. 25,200 1,080
- - Speedway Motorsports, Inc. 42,200 1,079
Watts Industries Class A 51,700 1,079
- - Cadiz Land Co., Inc. 93,200 1,078
- - Maxxam Inc. 19,000 1,078
- - Security First Network Bank 72,088 1,077
- - Affymetrix, Inc. 44,700 1,076
Quanex Corp. 35,500 1,076
- - Atwood Oceanics, Inc. 27,000 1,075
- - ThermoLase Corp. 148,300 1,075
- - Bristol Hotel Co. 43,850 1,074
- - Intergraph Corp. 125,400 1,074
- - Manugistics Group, Inc. 43,400 1,074
- - PhyCor, Inc. 64,825 1,074
- - DuPont Photomasks, Inc. 31,100 1,073
Commercial Metals Co. 34,866 1,072
First Brands Corp. 41,800 1,071
- - North American Vaccine, Inc. 69,100 1,071
J. Baker, Inc. 92,509 1,070
Richfood Holdings, Inc. 51,700 1,070
- - Avondale Industries, Inc. 38,700 1,068
Orange & Rockland Utilities, Inc. 19,900 1,068
Prime Bancorp Inc. 43,164 1,068
RFS Hotel Investors, Inc. REIT 56,200 1,068
- - Renaissance Worldwide, Inc. 49,100 1,068
Stewart Information
Services Corp. 22,000 1,068
- - Western Wireless Corp. 53,500 1,067
Dreyer's Grand Ice Cream, Inc. 52,900 1,065
- - Parker Drilling Co. 150,800 1,065
RPC Inc. 85,200 1,065
- - Shorewood Packaging Corp. 67,050 1,064
Pacific Gulf Properties, Inc. REIT 49,800 1,061
- - Swift Transportation Co., Inc. 53,550 1,061
Security Capital Atlantic, Inc. REIT 47,525 1,060
- - Southern Pacific Funding Corp. 67,600 1,060
Arrow International, Inc. 38,600 1,059
Sovran Self Storage, Inc. REIT 37,500 1,059
Wallace Computer Services, Inc. 44,600 1,059
- - Aphton Corp. 63,561 1,057
- - Walter Industries, Inc. 55,800 1,057
Dexter Corp. 33,200 1,056
Bedford Property Investors,
Inc. REIT 57,800 1,055
- - Western Digital Corp. 89,300 1,055
Florida East Coast Railway Co. 36,000 1,053
- - Seagull Energy Corp. 63,600 1,053
- - Avis Rent A Car, Inc. 42,500 1,052
- - Remedy Corp. 61,900 1,052
Republic Bancorp, Inc. 55,708 1,051
Piedmont Natural Gas, Inc. 31,214 1,050
Community Trust Bancorp Inc. 31,560 1,049
Sanderson Farms, Inc. 71,050 1,048
UMB Financial Corp. 21,162 1,048
- - Vantive Corp. 51,100 1,048
Vintage Petroleum, Inc. 55,500 1,048
First Federal Capital Corp. 58,300 1,046
- - GT Interactive Software Corp. 138,900 1,046
- - Kaiser Aluminum &
Chemical Corp. 109,300 1,045
Skyline Corp. 32,000 1,044
Anchor Bancorp Wisconsin Inc. 26,700 1,043
- - DVI, Inc. 40,900 1,043
- - LAM Research Corp. 54,535 1,043
Western Gas Resources, Inc. 71,300 1,043
Brown Group, Inc. 52,406 1,042
Cash America International Inc. 68,310 1,042
Reliance Bancorp, Inc. 27,200 1,042
- - Acclaim Entertainment Inc. 175,300 1,041
Tyler Corp. 100,900 1,041
- - SITEL Corp. 157,000 1,040
Whitney Holdings 20,500 1,040
West Co., Inc. 36,700 1,039
- - United Video Satellite Group, Inc. 26,200 1,038
Arch Coal, Inc. 41,700 1,037
Gaylord Entertainment Co. Class A 32,157 1,037
- - Marquette Medical Systems Inc. 40,400 1,037
- - Intersolv 64,500 1,036
R.L.I. Corp. 25,450 1,036
WSFS Financial Corp. 50,500 1,035
- - Magnatek 65,500 1,032
- - ACX Technologies Inc. 47,400 1,031
NCH Corp. 16,100 1,031
- - C-Cube Microsystems, Inc. 55,500 1,030
- - Education Management Corp. 31,300 1,029
Ferro Corp. 40,662 1,029
- - International Technology 108,208 1,028
- - Revlon, Inc. Class A 20,000 1,028
- - Vertex Pharmaceuticals, Inc. 45,700 1,028
- - Arcadia Financial Ltd. 135,800 1,027
- - Clarify, Inc. 76,100 1,027
Alliance Bancorp Inc. 42,942 1,025
BancorpSouth, Inc. 48,800 1,025
- - PSS World Medical, Inc. 70,100 1,025
National Health Investors REIT 30,900 1,024
- - On Assignment, Inc. 29,300 1,024
- - Optical Cable Corp. 102,400 1,024
- - Ventas, Inc. 74,165 1,024
</TABLE>
11
<PAGE> 46
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------
MARKET
VALUE*
EXTENDED MARKET PORTFOLIO SHARES (000)
- ----------------------------------------------------------------------------------------
<S> <C> <C>
- - First Republic Bank 28,300 $ 1,022
- - Cuno Inc. 47,200 1,021
- - ISIS Pharmaceuticals, Inc. 74,574 1,021
- - Southland Corp. 371,100 1,021
- - Datascope Corp. 38,400 1,020
- - Dialogic Corp. 34,300 1,020
Tejon Ranch Co. 38,500 1,020
- - Conmed Corp. 44,300 1,019
- - Teletech Holdings Inc. 83,200 1,019
- - Franklin Covey Co. 52,900 1,018
Pogo Producing Co. 40,500 1,018
Merrill Corp. 46,100 1,017
- - Dura Pharmaceuticals, Inc. 45,414 1,016
- - Aftermarket Technology Corp. 53,900 1,011
Curtiss-Wright Corp. 25,800 1,011
- - Cymer, Inc. 62,720 1,011
- - Mail-Well, Inc. 46,600 1,011
SEI Corp. 16,300 1,011
EastGroup Properties, Inc. REIT 50,300 1,009
- - Insurance Auto Auctions, Inc. 71,400 1,009
Ballard Medical Products 55,866 1,006
IRT Property Co. REIT 91,300 1,004
Kimball International, Inc. Class B 55,400 1,004
- - Gibson Greetings, Inc. 40,100 1,003
- - Scott Technologies, Inc. Class A 68,600 1,003
SIG Corp. 31,281 1,003
- - Synetic, Inc. 17,600 1,003
- - UniSource Energy Corp. 63,700 1,003
- - Airgas, Inc. 69,700 1,002
- - Grey Wolf, Inc. 314,400 1,002
NSS Bancorp, Inc. 17,900 1,002
- - Metrocall, Inc. 165,100 1,001
- - PageMart Wireless, Inc. 110,500 1,001
Alexandria Real Estate Equities,
Inc. REIT 33,300 997
Applied Power, Inc. 29,000 997
- - Castle & Cooke Inc. 52,433 996
- - Dave & Busters 40,060 996
Public Service Co. of New Mexico 43,920 996
- - M.S. Carriers Inc. 36,700 995
- - NBTY, Inc. 54,100 994
- - Scios, Inc. 111,868 993
Elcor Corp. 39,300 992
- - Perrigo Co. 98,600 992
- - Ardent Software, Inc. 72,000 990
- - InterVoice, Inc. 55,787 990
Banta Corp. 32,025 989
- - Marine Drilling Co., Inc. 61,700 987
- - Genlyte Group, Inc. 37,200 986
Innkeepers USA Trust REIT 78,100 986
Maryland Federal Bancorp 24,878 986
OM Group, Inc. 23,900 986
- - Nortek, Inc. 31,952 983
Aames Financial Corp. 71,400 982
- - Adtran, Inc. 37,600 982
- - Applied Analytical Industries, Inc. 68,300 982
Diagnostic Products Corp. 34,077 982
LTV Corp. 102,723 982
Mitchell Energy & Development
Corp. Class A 49,100 982
Roslyn Bancorp, Inc. 44,000 982
- - Boise Cascade Office
Products Corp. 63,276 981
Merchants New York
Bancorporation 26,500 981
- - Tel-Save Holdings, Inc. 66,500 981
- - Gaylord Container Corp. 127,500 980
BancFirst Corp. 21,050 979
- - Checkpoint Systems, Inc. 69,326 979
Genovese Drug Stores, Inc.
Class A 49,889 979
- - Marshall Industries 35,872 978
Russ Berrie, Inc. 39,100 978
- - AmeriTrade Holding Corp. 36,200 977
- - Arbor Software Corp. 31,000 975
- - Secure Computing Corp. 98,600 974
W.H. Brady Class A 35,000 973
- - Kronos, Inc. 26,850 973
Flushing Financial Corp. 34,100 972
Applied Industrial Technology, Inc. 47,150 970
- - Hayes Lemmerz International, Inc. 24,400 970
The Toro Co. 28,300 969
- - Esterline Technologies Corp. 47,010 967
- - Fairfield Communities, Inc. 50,400 967
Aquarion Co. 28,249 966
Breed Technological Inc. 63,100 966
Mississippi Chemical Corp. 58,755 966
- - Network Equipment
Technologies, Inc. 61,547 966
- - National R. V. Holdings, Inc. 21,382 965
Claire's Stores, Inc. 47,000 964
Puerto Rican Cement Co., Inc. 20,400 964
- - Thermedics, Inc. 77,900 964
- - Fairchild Corp. 47,700 963
- - Nine West Group, Inc. 35,900 963
- - Sinclair Broadcast Group, Inc. 33,500 963
Standex International Corp. 32,500 963
- - American Tower Corp. Class A 38,400 958
Baldwin & Lyons, Inc. Class B 41,200 958
- - J & J Snack Foods Corp. 45,900 958
- - M&F Worldwide Corp. 96,400 958
- - Basin Exploration Inc. 54,298 957
- - Offshore Logistics, Inc. 53,900 957
PCA International, Inc. 37,898 957
- - Read Rite Corp. 105,569 957
Sodexho Marriott Services, Inc. 33,000 957
Bassett Furniture Industries, Inc. 33,900 956
- - Billing Concepts Corp. 61,672 956
- - VIASOFT, Inc. 59,052 956
- - NeXstar Pharmaceuticals Inc. 95,791 955
Sunbeam Corp. 92,000 955
- - Aavid Thermal Technologies 32,600 954
- - Bluegreen Corp. 108,240 954
- - Silicon Valley Group, Inc. 59,400 954
- - Ultratech Stepper, Inc. 48,300 954
A.M. Castle & Co. 43,325 953
- - Federated Investors, Inc. 51,500 953
NYMAGIC, Inc. 34,800 953
Calgon Carbon Corp. 95,800 952
- - Applied Magnetics Corp. 124,700 951
- - ITI Technologies, Inc. 33,600 951
- - Able Telcom Holding Corp. 52,800 950
</TABLE>
12
<PAGE> 47
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ------------------------------------------------------------------------------------------
<S> <C> <C>
- - Input/Output, Inc. 53,300 $ 949
- - Medaphis Corp. 158,100 949
- - Sun Healthcare Group, Inc. 64,900 949
United National Bancorp 32,423 948
Blair Corp. 29,600 947
- - System Software Associates, Inc. 132,850 947
- - Hecla Mining Co. 177,800 945
- - Bush Boake Allen, Inc. 32,200 944
F & M Bancorp 21,185 944
- - Protein Design Labs 39,200 944
- - Glenayre Technologies, Inc. 87,712 943
- - U.S. Satellite Broadcasting Co.,
Inc. Class A 80,700 943
- - QRS Corp. 25,000 941
- - Tesoro Petroleum Corp. 59,300 941
Town & Country Trust REIT 56,800 941
Wicor, Inc. 40,700 941
- - Thermotrex Corp. 54,900 940
- - Vencor, Inc. 129,665 940
Storage USA, Inc. REIT 26,800 938
- - TransMontaigne Oil Co. 63,000 937
Southwest Gas Corp. 38,200 934
- - Vicor Corp. 67,281 934
Associated Estates Realty
Corp. REIT 49,900 933
M.A. Hanna Co. 50,975 933
- - VLSI Technology, Inc. 55,600 933
- - Volt Information Sciences Inc. 34,400 933
- - Cree Research, Inc. 62,100 932
- - MEMC Electronic Materials, Inc. 89,800 932
- - Avatar Holding, Inc. 33,400 931
- - Credence Systems Corp. 49,000 931
- - National Beverage Corp. 85,540 930
- - Halter Marine Group, Inc. 61,693 929
National Presto Industries, Inc. 23,863 929
- - American Freightways 92,800 928
City Holding Co. 19,950 928
Midas Inc. 46,133 928
Boykin Lodging Co. REIT 42,700 926
- - Delta Financial Corp. 50,400 926
- - Earthshell Corp. 95,000 926
BSB Bancorp, Inc. 30,544 924
- - Credit Acceptance Corp. 108,700 924
- - International Rectifier Corp. 108,700 924
- - Polo Ralph Lauren Corp. 33,000 924
Arnold Industries, Inc. 62,600 923
- - Mycogen Corp. 38,400 923
Prime Retail, Inc. REIT 77,300 923
- - Agouron Pharmaceuticals, Inc. 30,400 922
Simmons First National 19,400 922
Badger Meter, Inc. 26,000 921
- - Vistana, Inc. 50,125 921
- - Coherent, Inc. 53,646 920
Chartwell Re Corp. 31,210 919
Pennsylvania Enterprises Inc. 34,100 919
- - Franklin Bancorporation, Inc. 39,075 918
Andover Bancorp, Inc. 26,775 917
National Bankcorp of Alaska Inc. 29,700 917
Penford Corp. 30,309 917
- - Piercing Pagoda, Inc. 25,300 917
- - American Oncology
Resources, Inc. 75,000 916
- - Kulicke & Soffa Industries, Inc. 53,900 916
- - Sanchez Computer
Associates, Inc. 44,950 916
Oriental Financial Group 24,725 912
- - BISYS Group, Inc. 22,200 910
- - C-COR Electronics, Inc. 47,900 910
Lawson Products, Inc. 35,350 910
- - National City Bancorporation 27,366 910
TCBY Enterprises, Inc. 99,000 910
- - Boyd Gaming Corp. 158,000 909
- - NPC International Class A 74,100 908
Optical Coating Laboratory, Inc. 47,485 908
- - Chico's Fas, Inc. 58,486 907
- - Global Motorsport Group Inc. 43,300 907
- - Oceaneering International, Inc. 51,100 907
- - The Sports Authority, Inc. 60,700 907
Imperial Holly Corp. 100,002 906
Peoples Bancorp, Inc. 90,599 906
IBS Financial Corp. 47,625 905
- - Forcenergy Inc. 50,726 904
- - McWorter Technologies Inc. 34,200 904
- - SPSS, Inc. 38,900 904
IMCO Recycling, Inc. 48,800 903
New Jersey Resources Corp. 25,300 903
- - Carmike Cinemas, Inc. Class A 33,500 902
- - TCI Satellite Entertainment, Inc.
Class A 153,577 902
- - Allen Telecom Inc. 77,540 901
- - Ascent Entertainment Group, Inc. 80,963 901
Plenum Publishing Corp. 12,300 901
United Water Resources, Inc. 50,044 901
XTRA Corp. 14,900 901
Getty Realty Holding Corp. 46,432 900
- - Consolidated Capital Corp. 40,000 899
Luby's Cafeterias, Inc. 51,200 899
MECH Financial, Inc. 31,000 899
- - Timberland Co. 12,500 899
Trinet Corporate Realty Trust,
Inc. REIT 26,400 898
Air Express International Corp. 33,550 897
- - Consolidated Freightways Corp. 64,350 897
- - Laboratory Corp. of America 387,844 897
Morrison Health Care Inc. 47,141 896
- - ABT Building Products Corp. 52,000 894
Exide Corp. 53,100 893
- - InterVU Inc. 59,500 893
Allied Products Corp. 42,101 892
Dames & Moore Group 69,300 892
Northwest Natural Gas Co. 31,900 892
- - Apria Healthcare 132,880 889
Olsten Corp. 79,430 889
- - Jan Bell Marketing Inc. 136,600 888
Protection One, Inc. 81,200 888
Indiana Energy, Inc. 29,700 887
- - Ace Cash Express, Inc. 51,350 886
- - Burlington Industries, Inc. 62,900 885
- - DecisionOne Holdings Corp. 44,229 885
- - Sunrise Medical, Inc. 59,000 885
- - Berlitz International, Inc. 32,726 884
</TABLE>
13
<PAGE> 48
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------
MARKET
VALUE*
EXTENDED MARKET PORTFOLIO SHARES (000)
- ------------------------------------------------------------------------------------------
<S> <C> <C>
- - Consolidated Cigar Holdings Inc. 72,200 $ 884
- - URS Corp. 51,958 883
Aceto Corp. 54,262 882
- - Phoenix International Ltd., Inc. 54,200 881
- - Spyglass, Inc. 77,000 881
- - Canandaigua Brands, Inc. Class A 17,900 880
Cleveland-Cliffs Iron Co. 16,400 879
- - Mesa Air Group Inc. 108,200 879
Saul Centers, Inc. REIT 50,800 879
- - Catalina Marketing Corp. 16,900 878
Pennfed Financial Services, Inc. 53,000 878
- - Homestead Village, Inc. 73,770 876
- - Plexus Corp. 44,100 876
South Jersey Industries, Inc. 31,684 875
- - Gensia Sicor Inc. 218,607 874
- - LTX Corp. 177,912 873
LabOne Inc. 52,500 873
- - NCO Group, Inc. 39,700 873
Crown Crafts, Inc. 56,740 872
- - Aviall Inc. 63,600 871
- - Microtouch Systems, Inc. 46,901 871
- - Tuboscope Inc. 44,100 871
- - Long Beach Financial Corp. 79,100 870
Pittston BAX Group 55,900 870
L. S. Starrett Co. Class A 22,000 869
- - Xoma Corp. 180,544 869
- - Aerial Communications Inc. 138,800 868
- - Wall Data Inc. 54,200 867
Brush Wellman, Inc. 42,100 866
- - Cable Michigan, Inc. 22,200 866
Berry Petroleum Class A 66,500 865
Dallas Semiconductor Corp. 27,900 865
Bandag, Inc. 22,162 864
Merchants Bancshares, Inc. 25,500 864
- - Egghead.com, Inc. 102,169 862
- - N2K Inc. 43,900 862
Stride Rite Corp. 57,200 862
- - Swift Energy Co. 54,079 862
First Palm Beach Bancorp 19,800 861
Medford Bancorp, Inc. 21,001 861
Granite State Bankshares, Inc. 30,850 860
- - Aztar Corp. 125,900 858
- - Simula, Inc. 52,200 858
- - Bel Fuse, Inc. 38,500 857
Knape & Vogt Manufacturing Co. 38,062 856
Chemed Corp. 25,100 855
- - Commonwealth Telephone
Enterprises, Inc. 32,400 855
- - Echelon International Corp., Inc. 32,500 855
- - Integrated Systems, Inc. 55,600 855
Vital Signs, Inc. 46,864 855
- - Thermo Cardiosystems Inc. 37,550 854
UGI Corp. Holding Co. 34,346 854
- - HMT Technology Corp. 101,700 852
Holly Corp. 33,100 852
Cilcorp, Inc. 17,700 850
- - Healthcare Services Group, Inc. 53,476 849
Omega Financial Corp. 23,500 849
- - Royal Appliance
Manufacturing Co. 135,500 847
HEICO Corp. 31,928 846
Vesta Insurance Group, Inc. 39,700 846
- - Pacific Gateway Exchange, Inc. 21,100 845
- - Summit Technology, Inc. 155,450 845
- - Whittaker Corp. 63,600 843
- - Biotechnology General 118,700 842
Suffolk Bancorp 25,900 842
- - American Mobile Satellite
Corp., Inc. 86,300 841
- - Lo-Jack Corp. 67,600 841
- - Miravant Medical Technology 38,000 840
Kaman Corp. Class A 44,100 839
- - Mark VII, Inc. 46,600 839
- - Metal Management, Inc. 78,500 839
CPI Corp. 35,200 838
Angelica Corp. 39,800 836
- - Einstein/Noah Bagel Corp. 180,700 836
Universal Health Realty Income 41,800 836
World Fuel Services Corp. 48,313 836
- - Nashua Corp. 53,400 834
Ameron International Corp. 14,400 833
- - Hexcel Corp. 36,800 833
Independent Bank Corp. 43,000 833
- - Integrated Systems Consulting
Group Inc. 60,617 833
- - Data Broadcasting Corp. 130,456 832
Intermet Corp. 45,900 832
Ethyl Corp. 135,604 831
- - Primadonna Resorts, Inc. 57,938 831
- - Vincam Group, Inc. 42,300 830
- - Global Industrial Technologies, Inc. 57,700 829
- - QLogic Corp. 23,200 828
Cascade Bancorp 25,930 827
- - SeaMED Corp. 46,500 825
Deb Shops, Inc. 95,500 824
Enesco Group, Inc. 26,800 824
- - Journal Register Co. 49,200 824
Lab Holdings, Inc. 35,500 823
- - Digi International, Inc. 40,450 819
St. John Knits, Inc. 21,200 819
- - General Semiconductor, Inc. 82,850 818
Schweitzer-Mauduit
International, Inc. 28,200 818
- - Strategic Distribution, Inc. 148,700 818
- - Precision Response Corp. 102,100 817
Collagen Corp. 45,003 816
Jefferies Group, Inc. 19,900 816
Shelby Williams Industries, Inc. 54,400 816
First Coastal Bankshares, Inc. 44,050 815
- - Drexler Technology Corp. 57,111 814
Sbarro, Inc. 29,991 814
Warren Bancorp, Inc. 61,400 814
- - Frontier Oil Corp. 101,600 813
Brandywine Realty Trust REIT 36,300 812
Haven Bancorp, Inc. 31,700 812
- - Caribiner International, Inc. 46,300 810
- - Liposome Co., Inc. 149,739 810
- - American Safety Razor Co. 55,300 809
PMC Capital, Inc. 58,800 809
- - Rogers Corp. 24,500 809
- - WavePhore, Inc. 70,000 809
- - Right Management Consultants 59,800 807
</TABLE>
14
<PAGE> 49
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ------------------------------------------------------------------------------------------
<S> <C> <C>
- - Zoran Corp. 63,900 $ 807
BostonFed Bancorp, Inc. 34,500 806
St. Francis Capital Corp. 20,800 806
- - Cameron Ashley
Building Products 47,700 805
- - Objective Systems
Integrators, Inc. 109,100 805
- - Park-Ohio Holdings Corp. 43,509 805
- - SOS Staffing Services, Inc. 45,800 804
- - INSO Corp. 58,700 803
- - S3, Inc. 158,700 803
- - BioCryst Pharmaceuticals, Inc. 102,500 801
- - LECG, Inc. 53,400 801
Progressive Bank, Inc. 20,500 801
- - Choice Hotel International, Inc. 59,000 800
- - Echo Bay Mines Ltd. 355,600 800
- - Object Design, Inc. 133,400 800
- - CHS Electronics, Inc. 44,700 799
Hancock Fabrics, Inc. 63,900 799
LeaRonal Inc. 33,450 799
- - Peapod, Inc. 133,200 799
- - Schein Pharmaceutical, Inc. 30,000 799
- - Pride International Inc. 47,100 798
- - ESS Technology, Inc. 170,100 797
- - National Techteam, Inc. 79,700 797
- - Shiva Corp. 94,900 795
- - Software Spectrum, Inc. 39,200 794
Virco Manufacturing Corp. 35,300 794
HealthPlan Services Corp. 45,300 793
Duff & Phelps Credit Rating 14,200 792
- - U.S. Bioscience 96,555 791
Belden, Inc. 25,800 790
- - Lone Star Technologies, Inc. 51,800 790
- - Cygnus Inc. 75,600 789
Guilford Mills, Inc. 39,425 789
- - ETEC Systems, Inc. 22,400 788
Southwestern Energy Co. 85,800 788
- - Specialty Teleconstructors, Inc. 21,300 788
Klamath First Bancorp 41,300 787
- - Boston Communications
Group, Inc. 88,400 785
Cross Timbers Oil Co. 41,000 782
- - Primark Corp. 24,931 781
WesterFed Financial Corp. 31,853 780
- - Davel Communications Group, Inc. 31,900 778
- - Sequent Computer Systems, Inc. 64,400 777
- - Unitrode Corp. 67,600 777
Fleming Cos., Inc. 44,200 776
HFNC Financial Corp. 68,900 775
Binks Sames Corp. 17,650 771
- - Spectrian Corp. 47,600 771
FFY Financial Corp. 23,700 770
OmniQuip International, Inc. 41,600 770
- - Republic Bank/Clearwater Fla. 28,400 770
First Bell Bancorp, Inc. 40,200 769
- - Pacific Crest Capital Inc. 43,645 769
Bush Industries, Inc. 35,310 768
- - Gymboree Corp. 50,660 768
- - Circon Corp. 49,473 767
- - Graham-Field Health
Products Inc. 136,416 767
- - CorporateFamily Solutions, Inc. 30,600 765
- - The MacNeal-Schwendler Corp. 78,000 765
- - STAR Telecommunications, Inc. 34,200 765
- - Sabratek Corp. 33,600 764
Energy North, Inc. 28,911 763
Metrowest Bank 97,638 763
Communications Systems, Inc. 47,600 762
- - Stratus Computer, Inc. 30,100 762
- - CTB International Corp. 56,100 761
- - General DataComm
Industries, Inc. 152,200 761
Block Drug Co. Class A 19,992 760
Donnelly Corp. 44,212 760
- - P-Com, Inc. 83,000 760
- - Foodarama Supermarkets, Inc. 22,400 759
Titanium Metals Corp. 34,400 759
Yankee Energy Systems 30,777 758
- - Sybase, Inc. 108,640 757
- - Lumen Technologies, Inc. 85,185 756
- - MLC Holdings, Inc. 56,000 756
- - World Acceptance Corp. 133,000 756
- - Exabyte Corp. 90,500 755
Psychemedics, Inc. 143,556 754
- - Atrix Laboratories, Inc. 56,334 753
- - Immunomedics Inc. 169,700 753
- - TransTexas Gas Corp. 84,800 753
- - Consumer Portfolio Services, Inc. 71,600 752
- - Thermedics Detection Inc. 78,110 752
- - Arkansas Best Corp. 80,100 751
- - Berg Electronics Corp. 38,400 751
- - Digital Microwave Corp. 103,646 751
Herbalife International Class B 36,400 751
- - Danielson Holdings Corp. 101,500 749
- - HomeBase, Inc. 94,300 749
Georgia Gulf Corp. 32,782 748
Wiser Oil Co. 67,600 748
- - Chemical Fabrics Corp. 35,914 747
- - Copley Pharmaceutical, Inc. 121,917 747
- - Trico Marine Services, Inc. 54,600 747
- - FSI International, Inc. 77,000 746
- - American Software, Inc. Class A 106,450 745
- - Electromagnetic Sciences, Inc. 39,214 745
- - Jackpot Enterprises, Inc. 59,327 745
- - Bright Horizons, Inc. 26,500 742
- - Filene's Basement Corp. 135,650 740
TransTechnology Corp. 28,800 740
- - Security Dynamics
Technologies, Inc. 39,900 738
- - West TeleServices Corp. 60,900 738
- - MGI Pharma, Inc. 108,100 736
- - Mitcham Industries, Inc. 63,000 736
- - Converse Inc. 133,433 734
- - Highlands Insurance Group 39,700 734
- - SLI, Inc. 28,100 734
- - Landry's Seafood Restaurants, Inc. 40,500 733
- - Hyseq, Inc. 67,700 732
- - Metrika Systems Corp. 43,700 732
- - Polymer Group, Inc. 62,900 731
Rock-Tenn Co. 58,150 731
- - Epitope Inc. 112,300 730
- - FAC Realty Inc. REIT 91,200 730
</TABLE>
15
<PAGE> 50
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------
MARKET
VALUE*
EXTENDED MARKET PORTFOLIO SHARES (000)
- ------------------------------------------------------------------------------------------
<S> <C> <C>
- - Unique Mobility, Inc. 99,000 $ 730
- - Garden Fresh Restaurant Corp. 40,500 729
- - Guess ?, Inc. 147,600 729
- - Midwest Grain Products 50,250 729
- - Vicorp Restaurants, Inc. 47,439 729
- - Citizens, Inc. 118,500 726
- - Crown Central Petroleum Corp.
Class B 57,500 726
Empire District Electric Co. 34,755 726
- - Telescan, Inc. 93,700 726
- - Diamond Multimedia
Systems, Inc. 105,900 725
- - Players International, Inc. 146,000 725
- - Trans World Airlines 69,903 725
- - Calumet Bancorp, Inc. 21,600 724
HMN Financial, Inc. 45,600 724
- - Newpark Resources, Inc. 65,000 723
- - Amphenol Corp. 18,500 722
Delta Woodside 138,600 719
- - PCD, Inc. 42,000 719
Central Cooperative Bank 27,100 718
- - CapStar Hotel Co. 25,600 717
UNITILI Corp. 30,500 717
- - Christiana Cos., Inc. 23,100 716
- - Mosaix Inc. 72,968 716
- - BTG Inc. 79,400 715
- - Crescent Operating, Inc. REIT 41,980 714
- - PriceSmart, Inc. 44,400 713
- - Rainbow Technologies, Inc. 34,800 713
Unisource Worldwide, Inc. 65,900 713
- - Drypers Corp. 109,500 712
- - Hadco Corp. 30,551 712
- - Identix, Inc. 111,700 712
- - ADE Corp. 48,600 711
- - Molecular Biosystems, Inc. 98,934 711
Laser Mortgage
Management, Inc. 65,300 710
- - CMP Media, Inc. 40,500 709
- - Oak Technology, Inc. 155,500 709
- - Bombay Co. 148,862 707
- - Forte Software, Inc. 117,600 706
- - Hospitality Worldwide Services 78,000 702
Metris Cos., Inc. 11,000 701
Spartan Motors, Inc. 98,400 701
Pioneer Standard Electronics Inc. 72,725 700
- - SEACOR SMIT Inc. 11,400 699
Oregon Steel Mills, Inc. 37,500 698
Gainsco, Inc. 105,861 695
- - TCSI Corp. 118,329 695
- - Genesis Direct, Inc. 62,400 694
- - Ben & Jerry's Homemade, Inc.
Class A 35,700 692
Pope & Talbot, Inc. 59,200 692
- - Zoltek Cos., Inc. 34,400 692
- - Amtech Corp. 144,950 689
K2 Inc. 39,045 688
Penn Engineering &
Manufacturing Corp. 27,500 688
- - Cephalon, Inc. 87,000 685
Michigan Financial Corp. 16,037 685
- - Orthologic Corp. 133,600 685
BHA Group Holdings Inc. 41,437 684
- - Chalone Wine Group Ltd. 62,600 681
- - Playboy Enterprises Inc. Class B 38,350 681
Tecumseh Products Co. Class B 11,900 681
- - Advanced Digital
Information Corp. 47,600 678
- - Florsheim Group Inc. 69,515 678
National Steel Corp. Class B 57,100 678
- - Stac, Inc. 157,300 678
Birmingham Steel Corp. 54,550 675
- - QAD Inc. 75,000 675
- - Invision Technologies, Inc. 87,000 674
- - Transworld Healthcare Inc. 118,445 674
- - MPW Industrial Services
Group, Inc. 49,800 672
- - Bertucci's Holding Corp. 65,400 670
- - Vertex Communications Corp. 28,500 670
- - Chock Full O'Nuts Corp. 98,260 669
- - Integrated Silicon Solution, Inc. 95,500 669
- - Planet Hollywood International,
Inc. Class A 95,400 668
- - Department 56 Inc. 18,800 667
- - Trimble Navigation Ltd. 41,200 667
- - Atlas Air, Inc. 19,700 666
Regis Corp. 22,540 666
- - Pool Energy Service Co. 44,667 659
- - Steel Dynamics, Inc. 47,400 658
- - Dravo Corp. 71,461 657
- - Lattice Semiconductor Corp. 23,100 656
- - CDI Corp. 24,500 655
O'Sullivan Corp. 67,175 655
- - Chic By H.I.S., Inc. 83,000 654
- - SMART Modular
Technologies, Inc. 44,700 654
- - WFS Financial, Inc. 93,460 654
- - Telegroup, Inc. 70,600 653
Met-Pro Corp. 43,679 652
- - PJ America Inc. 35,700 652
- - Shoney's Inc. 186,300 652
- - Industrial Distribution Group, Inc. 42,000 651
- - Callon Petroleum Co. 45,200 647
- - E. Gottschalk & Co., Inc. 72,800 646
- - Information Management
Associates, Inc. 65,400 646
- - Coleman Inc. 55,700 644
- - PICO Holdings Inc. 149,229 644
- - Amylin Pharmaceuticals, Inc. 168,800 638
- - DataWorks Corp. 48,178 638
- - Seven Seas Petroleum Inc. 31,500 638
Flexsteel Industry 45,500 637
A. Schulman Inc. 32,562 637
- - Advanced Magnetics, Inc. 56,200 636
Colonial Gas Co. 22,176 635
- - Imation Corp. 38,280 634
- - Response Oncology, Inc. 96,603 634
Bairnco Corp. 70,200 632
Terra Industries, Inc. 70,242 632
- - AMREP Corp. 64,700 631
- - WMS Industries, Inc. 150,650 631
Patina Oil & Gas Corp. 89,668 628
- - Franklin Electronic Publishers, Inc. 62,700 627
</TABLE>
16
<PAGE> 51
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ------------------------------------------------------------------------------------------
<S> <C> <C>
- - Spiegel, Inc. Class A 87,200 $ 627
WPS Resources Corp. 19,100 627
G & L Realty Corp. 36,200 624
Dimon Inc. 55,350 623
Heilig-Meyers Co. 50,618 623
Applebee's International, Inc. 27,818 622
Yardville National Bancorp 37,385 622
Eaton Vance Corp. 13,400 621
- - Network Peripherals, Inc. 122,600 621
Wackenhut Corp. 27,400 620
- - Alliance Gaming Corp. 154,300 617
- - CSK Auto Corp. 24,400 616
- - Myriad Genetics, Inc. 42,100 616
Oregon Trail Financial Corp. 39,100 616
- - Barrett Business Services, Inc. 62,300 615
Commercial Assets 92,900 615
- - Pharmaceutical Resources, Inc. 134,688 615
- - KEMET Corp. 46,700 614
- - TBC Corp. 92,675 614
- - APAC Teleservices, Inc. 104,789 612
United Bankshares, Inc. 17,900 611
- - Getchell Gold Corp. 40,519 608
- - Mansur Industries, Inc. 40,500 608
- - Aspen Technologies, Inc. 12,000 606
- - Vivus, Inc. 100,400 606
- - Coeur D'Alene Mines Corp. 89,500 604
- - Alliance Pharmaceutical Corp. 143,800 602
- - Home Products International Inc. 51,620 600
- - Procom Technology, Inc. 93,700 597
TF Financial Corp. 23,312 597
- - CTC Communications Corp. 76,900 596
SJW Corp. 10,100 596
Shurgard Storage Centers, Inc.
Class A REIT 21,400 594
Scope Industries 8,400 592
- - Gundle/SLT Environmental, Inc. 131,300 591
- - JLK Direct Distribution Inc.
Class A 27,000 591
- - Research Frontiers, Inc. 93,600 591
- - Civic Bancorp 33,001 590
- - Matria Healthcare, Inc. 168,578 590
- - Heartport Inc. 89,800 589
- - WHX Corp. 45,264 583
- - Advanced Polymer Systems 83,100 582
- - Worldtex Inc. 99,744 580
American Insured Mortgage
Investors-Series 86 70,500 577
- - New Mexico & Arizona Land Co. 42,725 577
- - Interneuron Pharmaceutical, Inc. 159,000 576
- - Presstek, Inc 51,500 576
Tecumseh Products Co. Class A 10,900 576
- - Computer Outsourcing
Services, Inc. 57,600 574
Ampco-Pittsburgh Corp. 37,165 571
- - Energy Conversion Devices, Inc. 58,825 570
- - Signature Resorts, Inc. 34,450 568
- - American Science &
Engineering, Inc. 37,100 566
- - I-Link, Inc. 112,400 566
- - Inktomi Corp. 14,200 564
- - U.S. Office Products Co. 28,924 564
- - Lechters Corp. 114,800 563
- - Oxigene, Inc. 46,161 563
- - Tultex Corp. 230,400 562
- - Integrated Device Technology Inc. 78,200 560
- - MVSI, INC. 91,500 560
- - Alliance Semiconductor Corp. 158,050 558
- - Darling International, Inc. 75,700 558
- - Cliffs Drilling Co. 16,900 555
- - MSC Industrial Direct Co., Inc.
Class A 19,400 553
- - Getty Petroleum Marketing Inc. 121,032 552
- - Thermo VolTek 78,900 552
- - Jenny Craig Inc. 90,800 550
- - Verio Inc. 22,000 547
- - Cholestech Corp. 80,900 546
- - PacificAmerica Money Center, Inc. 35,400 544
- - Plasma-Therm, Inc. 87,000 544
Frisch's Restaurants, Inc. 47,634 542
- - Hagler Bailly, Inc. 20,900 541
- - Komag, Inc. 101,300 541
PS Group Holdings Inc. 43,900 538
Chesapeake Energy Corp. 134,300 537
Golden Enterprises Inc. 84,800 535
Roadway Express Inc. 28,300 534
- - Accelr8 Technology Corp. 43,400 532
- - Freeport-McMoRan Sulphur, Inc. 39,820 528
- - Lexford Residential Trust REIT 27,500 526
- - PMR Corp. 52,200 525
- - SPR Inc. 16,800 523
- - Globe Business Resources, Inc. 35,100 522
- - Telcom Semiconductor, Inc. 101,600 521
- - Clayton Williams Energy, Inc. 50,700 520
- - Vertel Corp. 145,591 519
- - Image Entertainment, Inc. 80,800 515
Belco Oil & Gas Corp. 59,200 511
- - Microdyne Corp. 113,300 510
- - 800-JR CIGAR, Inc. 25,700 508
- - Lone Star Steakhouse &
Saloon, Inc. 36,763 508
- - Romac International, Inc. 16,600 504
Food Lion Inc. Class B 50,005 503
- - Rush Enterprises, Inc. 48,200 500
- - Keystone Consolidated
Industries, Inc. 41,919 498
- - ISS Group, Inc. 13,200 497
- - BOK Financial Corp. 10,500 496
- - Ultralife Batteries, Inc. 58,300 496
- - Hauser, Inc. 85,200 495
- - Merix Corp. 49,800 495
- - SLH Corp. 27,000 493
- - Cypros Pharmaceuticals Corp. 121,100 492
- - American Banknote Corp. 160,000 490
Capstead Mortgage Corp. 58,500 490
- - Allou Health & Beauty, Inc. 51,400 488
- - Dollar Thrifty Automotive
Group, Inc. 36,600 485
- - HEICO Corp. Class A 18,864 483
First Mutual Savings Bank 27,722 482
- - National Record Mart, Inc. 49,100 482
- - Avecor Cardiovascular, Inc. 66,900 481
</TABLE>
17
<PAGE> 52
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------
MARKET
VALUE*
EXTENDED MARKET PORTFOLIO SHARES (000)
- ------------------------------------------------------------------------------------------
<S> <C> <C>
- - Advanced Tissue Sciences Inc. 107,542 $ 477
- - MetaCreations Corp. 102,862 476
- - Columbia Sportswear Co. 25,000 475
- - @Entertainment, Inc. 43,100 474
Amcast Industrial Corp. 25,400 473
Central Vermont Public
Service Corp. 31,500 471
- - Information Storage Devices, Inc. 89,000 467
- - Advanced Communication
Systems, Inc. 37,500 466
Landmark Bancshare, Inc. 17,000 463
- - Genome Therapeutics Corp. 102,630 462
- - North American Scientific, Inc. 22,400 462
- - Sizzler International 167,650 461
- - Associated Group, Inc. Class B 11,550 459
- - AnswerThink Consulting
Group, Inc. 21,300 458
- - Natural Alternatives
International, Inc. 22,900 458
- - OAO Technology Solutions, Inc. 91,520 458
Abington Bancorp Inc. 24,300 456
- - JLM Industries, Inc. 46,300 451
Apple South, Inc. 34,476 450
- - NetManage, Inc. 149,300 448
- - BankUnited Financial Corp. 27,000 446
BeautiControl Cosmetics 49,950 443
Modern Controls, Inc. 59,062 443
OEA, Inc. 27,700 443
- - Kevco, Inc. 20,000 441
- - Merisel, Inc. 153,310 441
Progress Financial Corp. 23,000 440
- - General Scanning, Inc. 48,300 432
- - Fresh Del Monte Produce Inc. 22,800 432
Advanced Marketing Services 25,300 430
- - Premiere Technologies, Inc. 51,800 430
- - Nastech Pharmaceutical Co., Inc. 52,300 425
- - Rentrak Corp. 75,400 422
- - KFX, Inc. 140,350 421
- - Aydin Corp. 47,700 417
- - Global DirectMail Corp. 32,846 415
- - USDATA Corp., Inc. 85,150 415
- - Broadway & Seymour, Inc. 73,500 413
- - Drug Emporium, Inc. 106,330 412
- - Todd Shipyards Corp. 73,100 407
- - Recovery Engineering, Inc. 19,200 404
- - Zygo Corp. 27,200 403
- - Capstar Broadcasting Corp. 16,000 402
- - The Topps Co., Inc. 127,440 394
- - Hector Communications Corp. 35,350 393
- - Digital Lightwave, Inc. 120,550 392
- - Interpore International 74,600 392
TransPro Inc. 52,510 391
- - Golden Books Family
Entertainment, Inc. 101,400 390
- - The TesseracT Group, Inc. 78,000 390
- - Craig Corp. 35,023 387
- - Air and Water Technologies
Corp. Class A 122,998 384
- - Schick Technologies, Inc. 24,800 383
- - Competitive Technologies, Inc. 43,600 382
- - ExecuStay Corp. 32,400 381
- - Kensey Nash Corp. 39,900 379
- - Service Merchandise Co., Inc. 241,487 377
- - Playboy Enterprises Inc. Class A 22,850 374
BMC Industries, Inc. 42,204 369
- - Craig Corp. Pfd. 32,823 367
Newcor, Inc. 41,580 364
- - Automobile Protection Corp. 36,300 361
- - PVF Capital Corp. 13,860 360
- - Amkor Technology, Inc. 38,100 356
East Texas Financial
Services, Inc. 24,000 356
Marion Capital Holdings 12,500 356
- - Argosy Gaming Co. 114,400 350
- - Coram Healthcare Corp. 180,429 350
Ohio Art Co. 14,800 350
- - Autotote Corp. 121,167 348
- - Meridian Gold Co. 162,800 346
- - Kelly Oil Corp. 148,000 342
Wackenhut Corp. Class B 15,862 341
- - US Physical Therapy, Inc. 27,400 339
- - Golden State Bancorp, Inc.
Litigation Warrants
Exp. 1/1/2001 63,705 338
- - Willis Lease Finance Corp. 14,500 332
Tredegar Industries Inc. 3,900 331
- - Onyx Acceptance Corp. 36,700 330
- - Perini Corp. 38,400 329
- - Digital Generation Systems 93,495 327
- - Hanover Direct, Inc. 96,876 327
Home Bancorp 11,100 326
- - Octel Corp. 16,300 324
- - Gilman & Ciocia, Inc. 17,800 323
- - Integrated Electrical Services,Inc. 16,000 322
- - L-3 Communications Holdings, Inc. 9,800 320
- - Aurora Foods Inc. 15,000 317
Essex County Gas Co. 6,800 313
First Home Bancorp Inc. 10,166 313
- - Carrington Labs Inc. 64,872 312
- - Canandaigua Brands, Inc. Class B 6,375 311
- - Pilgrim America Cap Corp. 12,900 311
- - ShoLodge, Inc. 39,333 310
- - Correctional Properties Trust REIT 15,200 308
Nutrition for Life International, Inc. 43,900 307
- - Western Beef 37,160 307
Newmil Bancorp, Inc. 23,900 305
- - Equivest Finance, Inc. 51,675 304
- - Intelligent Medical Imaging, Inc. 86,700 303
- - Little Switzerland, Inc. 67,000 302
- - SEEC, Inc. 27,800 302
- - Omega Worldwide, Inc. 39,615 300
- - U.S. Energy Corp. 56,870 300
- - Coast Federal Litigation
Contingent Payment RightsTrust 19,800 299
- - Carson Inc. 37,300 294
- - QMS, Inc. 82,100 292
Astro-Med, Inc. 38,150 291
- - Universal Stainless & Alloy
Products, Inc. 31,000 285
- - Envoy Corp. 6,000 284
- - H.T.E., Inc. 21,000 284
- - FTP Software, Inc. 167,600 283
</TABLE>
18
<PAGE> 53
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ------------------------------------------------------------------------------------------
<S> <C> <C>
- - High Plains Corp. 107,997 $ 283
- - Bethlehem Steel Corp. 22,647 282
- - Innova Corp. 55,000 282
- - Central Sprinkler Corp. 35,107 281
- - Eagle Food 86,200 275
- - Artisoft, Inc. 99,500 274
First Midwest Bancorp 6,200 273
- - Casino Magic Corp. 133,800 272
- - PSW Technologies. Inc. 47,300 272
- - Cellegy Pharmaceuticals, Inc. 48,600 270
- - Evans & Sutherland
Computer Corp. 10,697 269
Apex Mortgage Capital, Inc. REIT 25,500 268
- - Brylane, Inc. 5,800 267
- - Applied Microsystems Corp. 59,600 261
- - Whittman-Hart, Inc. 5,400 261
- - Versant Object Technology Corp. 65,100 260
- - Globalink, Inc. 62,700 259
- - K & G Men's Center, Inc. 11,400 258
- - Playtex Products, Inc. 16,200 258
- - Starter Corp. 89,800 253
- - Landmark Systems Corp. 29,200 252
MFB Corp. 10,000 250
- - Roy F. Weston, Inc. 64,600 250
- - Ambassadors International, Inc. 8,100 246
- - Startec Global
Communications Corp. 21,400 246
- - American Disposal Services, Inc. 5,200 244
Green Mountain Power Corp. 16,907 242
- - Applix, Inc. 63,279 241
- - CRW Financial, Inc. 42,900 241
- - Bolle Inc. 43,590 240
Vulcan International Corp. 5,900 240
- - Activision, Inc. 23,200 239
- - Andrea Radio Corp. 15,700 238
FirstBank Puerto Rico 9,100 237
- - Telular Corp. 121,300 235
Conectiv, Inc. Class A 6,450 234
- - MAI Systems Corp. 60,275 234
- - Systems & Computer
Technology Corp. 8,600 232
- - Artisan Components, Inc. 16,800 227
- - Wave Technologies International 40,800 227
- - Catalina Lighting, Inc. 59,400 226
Atmos Energy Corp. 7,300 223
- - CML Group, Inc. 114,050 221
- - LINC Capital, Inc. 12,500 221
First Bancorp North Carolina 6,400 218
- - Strouds, Inc. 69,100 216
- - EMCOR Group, Inc. 11,200 214
- - IGI, Inc. 68,500 214
Maine Public Service Co. 15,000 214
- - Paul-Son Gaming Corp. 28,100 214
- - Beringer Wine Estates
Holdings, Inc. 4,800 212
J & L Specialty Steel Inc. 35,700 212
- - Novavax, Inc. 52,900 212
- - School Specialty, Inc. 12,855 211
- - Theragenics Corp. 8,100 211
- - Safeguard Health Enterprises, Inc. 33,565 210
- - Spaghetti Warehouse, Inc. 26,300 210
- - BioSpecifics Technology 40,800 209
- - Data Systems & Software, Inc. 50,600 209
- - The Rottlund Co. 50,300 207
- - Lamar Advertising Co. 5,750 206
- - Micronics Computers, Inc. 85,600 206
- - SFX Entertainment, Inc. 4,500 206
- - Central Financial
Acceptance Corp. 22,900 203
First Financial Bancorp 7,700 199
- - ImmuLogic Pharmaceutical Corp. 121,000 197
- - Acme Electric Corp. 40,700 196
- - Commonwealth Telephone
Enterprises Class B 7,400 194
- - Barnwell Industries, Inc. 13,400 193
- - Lexington Global Asset
Managers, Inc. 27,600 193
Petroleum Heat & Power Co. 96,500 193
- - Hollywood Casino Corp. 102,600 192
- - ITC DeltaCom, Inc. 4,500 192
- - Petco Animal Supplies, Inc. 9,630 192
- - Uranium Resources, Inc. 85,568 185
- - Buckeye Technology, Inc. 7,800 184
Greater Delaware Valley
Savings Bank 6,500 183
- - Aspect Development, Inc. 2,400 182
- - 4Front Technologies, Inc. 14,100 182
- - Key Tronic Corp. 66,100 182
- - Safety First Inc. 26,900 182
- - Geneva Steel Class A 70,900 177
- - Aztec Technology Partners, Inc. 23,139 176
Medusa Corp. 2,800 176
United Guardian, Inc. 31,800 175
Kentucky First Bancorp, Inc. 11,600 173
- - FPA Medical Management, Inc. 148,800 172
- - Interlink Electronics Inc. 36,800 170
Penn Engineering &
Manufacturing Corp. Class A 8,300 170
- - Cayenne Software Inc. 111,600 167
First Union Corp. 2,799 163
- - Precision Systems, Inc. 109,300 161
Harrodsburg First
Financial Bancorp 9,800 159
- - Medical Dynamics, Inc. 63,700 159
- - Mobius Management
Systems, Inc. 10,500 158
- - Spacetec IMC Corp. 57,600 158
- - Celtrix Pharmaceuticals 75,300 155
EVEREN Capital Corp. 5,500 154
- - Nitches Inc. 60,256 153
- - VitalCom Inc. 42,200 153
Community Federal Bancorp, Inc. 8,700 150
- - VISIX Inc. 2,500 149
- - Broadcom Corp. 2,000 147
Guaranty Federal Bancshares, Inc. 11,400 147
- - Koo Koo Roo, Inc. 87,300 147
- - Dataware Technologies, Inc. 46,600 146
Summit Bancshares, Inc. 6,700 142
- - Cytogen Corp. 178,469 139
- - Enstar Inc. 21,266 138
- - Spec's Music Inc. 43,366 138
- - InfoCure Corp. 8,600 136
</TABLE>
19
<PAGE> 54
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------
MARKET
VALUE*
EXTENDED MARKET PORTFOLIO SHARES (000)
- ------------------------------------------------------------------------------------------
<S> <C> <C>
- - Sunburst Hospitality Corp. 19,666 $ 136
- - AML Communications, Inc. 38,600 135
- - Acme Metals, Inc. 26,900 135
- - Expert Software Inc. 31,800 131
Boddie-Noell Properties Inc. 9,700 130
Steelcase Inc. 5,000 130
- - Female Health Co. 37,600 129
- - Checkers Drive-In Restaurant 104,400 127
- - BioTime, Inc. 20,200 126
- - Consilium, Inc. 49,200 126
- - Princeton Video Image, Inc. 27,300 126
- - Superior Services Inc. 4,200 126
- - Docucorp International 19,040 125
- - Computron Software, Inc. 76,500 124
- - Workflow Management, Inc. 15,426 124
- - Gold Reserve Corp. 63,400 123
Harris Financial, Inc. 5,600 123
- - Imo Industries, Inc. 17,300 122
- - Avatex Corp. 58,402 120
- - Energy Biosystems Corp. 86,900 119
MacDermid, Inc. 4,100 116
Mid-Iowa Financial Corp. 10,560 116
- - Cellularvision USA, Inc. 110,700 111
- - HNC Software, Inc. 2,700 110
- - Submicron Systems Corp. 110,140 110
Susquehanna Bancshares, Inc. 2,900 108
- - Boston Chicken, Inc. 66,900 107
- - Truevision Inc. 77,400 106
- - GateField Corp. 97,488 104
- - Inference Corp. Class A 27,600 104
- - Viisage Technology, Inc. 50,000 103
- - Apertus Technologies, Inc. 90,500 102
- - Coastal Physician Group, Inc. 124,200 101
- - EA Engineering Sciences and
Technology Inc. 41,700 100
- - Samsonite Corp. 9,264 100
- - Navigant International, Inc. 11,570 98
- - Trimedyne, Inc. 60,000 98
- - Donnkenny, Inc. 34,600 97
- - LCA-Vision, Inc. 32,937 97
- - National Auto Credit Inc. 93,703 97
- - OneLink Communications, Inc. 53,600 94
- - Unify Corp. 34,200 94
- - Brothers Gourmet Coffees, Inc. 93,174 93
- - Oriole Homes Corp. Class B 19,300 93
- - Interface Systems Inc. 30,300 91
FBL Financial Group, Inc. Class A 3,400 87
- - Clean Harbors Inc. 43,500 86
- - Ecogen, Inc. 32,940 86
- - Quarterdeck Corp. 123,000 85
- - Hitox Corp. of America 40,700 84
- - Caprius, Inc. 53,380 83
Enterprise Federal Bancorp, Inc. 3,000 82
- - Agritope, Inc. 19,220 77
Molex, Inc. Class A 3,241 76
- - Imagyn Medical
Technologies Inc. 144,884 72
- - SonoSight, Inc. 9,879 72
- - Technical Communications Corp. 14,000 71
Ecology and Environment, Inc. 6,925 69
- - Four Media Co. 7,900 69
- - Hemasure, Inc. 55,200 69
- - Integral Systems, Inc. 4,000 68
- - International Microcomputer
Software, Inc. 4,300 67
- - Provident American Corp. 11,400 66
- - Royal Gold, Inc. 13,000 65
- - Cellular Technical Services Co. 135,650 64
- - Let's Talk Cellular & Wireless, Inc. 5,000 64
- - Central Garden and Pet Co. 2,000 62
- - Fine Host Corp. 28,500 62
- - Salant Corp. 99,500 62
- - Zenith Electronics Corp. 206,973 62
- - Coda Music Technology, Inc. 51,100 61
Liberte Investors, Inc. 16,000 60
Raritan Bancorp, Inc. 1,950 59
- - APS Holding Corp. 88,900 58
- - Solv-Ex Corp. 94,134 56
- - Metrologic Instruments, Inc. 3,400 55
- - AstroPower, Inc. 6,500 54
- - Dynatech Corp. 17,000 53
- - CAM Designs, Inc. 25,900 52
- - President Casinos 26,213 52
- - People's Choice TV Corp. 40,500 51
- - MEDIQ, Inc. Series A 6,577 44
Sauer Inc. 3,000 42
- - Code Alarm, Inc. 27,600 41
Canadian National Railway Co. 719 38
- - ErgoBilt, Inc. 55,600 38
- - IMC Global Warrants
Exp. 12/22/2000 14,352 36
- - NewStar Media, Inc. 24,500 34
- - TSR, Inc. 2,900 33
- - Europa Cruises Corp. 48,700 32
Peoples Bank 1,007 32
- - Outlook Group Corp. 8,000 31
- - Agri-Nutrition Group Ltd. 27,100 30
- - Heartland Technology, Inc 2,300 29
J.M. Smucker Co. Class B 1,200 29
Mobile America Corp. 2,900 28
- - nVIEW Corp. 25,049 28
- - Allied Devices Corp. 11,200 27
First Southern Bancshares 1,600 27
- - Gradco Systems, Inc. 4,000 27
NSC Corp. 14,815 27
- - Marvel Entertainment Group 87,034 26
First Midwest Financial, Inc. 1,050 25
- - Horizon Group Properties, Inc. 3,865 25
- - International Lottery & Totalizator
Systems, Inc. 17,200 24
- - Cosmetic Center, Inc. Class C 8,019 23
- - Patina Oil & Gas Corp.
Warrants Exp. 5/1/2001 19,484 23
Hubbell Inc. Class A 500 22
- - Hudson Technology, Inc. 5,600 22
Bandag, Inc. Class A 600 21
- - Mercury Finance Co. 156,335 20
- - Midisoft Corp. 39,202 18
- - Reckson Service Industries Inc. 5,472 18
- - Oneita Industries 47,933 17
- - Molten Metal Technology 132,100 16
L. S. Starrett Co. Class B 400 16
- - World Corp. 49,900 16
</TABLE>
20
<PAGE> 55
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ------------------------------------------------------------------------------------------
<S> <C> <C>
- - CAI Wireless Systems, Inc. 123,530 $ 15
- - Kinross Gold Corp. 4,500 15
- - Mysoftware Co. 3,000 15
- - Fastcomm Communications Corp. 25,100 14
- - Lynx Therapeutics Inc. 1,425 13
- - AES Corp. Warrants Exp. 7/31/2000 146 12
- - Software Publishing Corp.
Holdings, Inc. 7,992 12
- - Eagle Finance Corp. 44,100 11
- - Purus, Inc. 5,100 11
Reader's Digest Assn., Inc.Class B 400 11
- - Builders Transport, Inc. 38,700 10
- - Phonetel Technologies, Inc. 4,000 10
- - Great Bay Casino Corp. 17,221 9
- - PDG Environment Industries 7,140 9
- - Envirometrics, Inc. 17,300 8
- - Consolidated Technology Group 24,500 7
- - JTS Corp. 119,356 7
- - L.A. Gear, Inc. 136,216 7
- - Vaalco Energy, Inc. 2,400 7
- - Netsmart Technologies, Inc. 11,200 6
- - Ensec International Inc. 25,000 5
- - Aquila Biopharmaceuticals, Inc. 920 4
- - Cityscape Financial Corp. 90,900 4
- - Security Capital Group Inc.
Warrants Exp. 9/18/1998 11,873 4
- - TEI, Inc. 1,900 4
- - Medtox Scientific Inc. 8,400 3
- - National Medical Financial
Services Corp. 3,440 3
- - Westmark Group Holdings, Inc. 800 3
- - Canmax, Inc. 2,000 2
- - Ultrafem, Inc. 73,533 2
- - Ophthalmic Imaging System 1,000 1
- ------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS
(COST $2,324,140) 3,365,063
- ------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------
FACE
AMOUNT
(000)
- ------------------------------------------------------------------------------------------
TEMPORARY CASH INVESTMENTS (10.6%)
- ------------------------------------------------------------------------------------------
<S> <C> <C>
U.S. TREASURY BILLS
(2) 4.97%, 7/23/1998 $ 2,600 2,592
(2) 4.89%, 7/30/1998 500 498
REPURCHASE AGREEMENTS
Collateralized by U.S. Government
Obligations in a Pooled
Cash Account
5.671/1998 67,658 67,658
5.76%, 7/1/1998--Note F 299,346 299,346
- ------------------------------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(COST $370,094) 370,094
- ------------------------------------------------------------------------------------------
TOTAL INVESTMENTS (107.5%)
(COST $2,694,234) 3,735,157
- ------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------
MARKET
VALUE*
(000)
- ------------------------------------------------------------------------------------------
<S> <C>
OTHER ASSETS AND LIABILITIES (-7.5%)
Other Assets--Note B $ 57,854
Security Lending Collateral
Payable to Brokers--Note F (299,346)
Other Liabilities (19,751)
---------
(261,243)
- ------------------------------------------------------------------------------------------
NET ASSETS (100%) $3,473,914
==========================================================================================
</TABLE>
* See Note A in Notes to Financial Statements.
- Non-Income-Producing Security.
(1)The combined market value of common stocks and index futures contracts
represents 100.0% of net assets. See Note E in Notes to Financial Statements.
(2)Securities with an aggregate value of $3,090,000 have been segregated as
initial margin for open futures contracts.
REIT--Real Estate Investment Trust.
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------
AT JUNE 30, 1998, NET ASSETS CONSISTED OF:
- ------------------------------------------------------------------------------------------
AMOUNT
(000)
- ------------------------------------------------------------------------------------------
<S> <C>
Paid in Capital $2,276,797
Undistributed Net Investment Income 19,757
Accumulated Net Realized Gains 133,519
Unrealized Appreciation--Note E
Investment Securities 1,040,923
Futures Contracts 2,918
- ------------------------------------------------------------------------------------------
NET ASSETS $3,473,914
==========================================================================================
Investor Shares--Net Assets
Applicable to 89,216,821 outstanding
shares of beneficial interest
(unlimited authorization) $2,962,450
- ------------------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INVESTOR SHARES $33.21
==========================================================================================
Institutional Shares--Net Assets
Applicable to 15,393,672 outstanding
shares of beneficial interest
(unlimited authorization) $511,464
- ------------------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INSTITUTIONAL SHARES $33.23
==========================================================================================
</TABLE>
21
<PAGE> 56
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------
MARKET
MID CAPITALIZATION VALUE*
STOCK PORTFOLIO SHARES (000)
- ------------------------------------------------------------------------------------------
COMMON STOCKS (99.9%)
- ------------------------------------------------------------------------------------------
<S> <C> <C>
- America Online, Inc. 26,200 $ 2,777
Coca-Cola Enterprises, Inc. 48,600 1,907
- USA Waste Service 26,500 1,308
- BMC Software, Inc. 24,500 1,272
- AES Corp. 21,400 1,125
- Compuware Corp. 21,900 1,120
- Kohls Corp. 19,300 1,001
- Staples, Inc. 34,500 998
AFLAC, Inc. 32,700 991
McKesson Corp. 11,300 918
SouthTrust Corp. 19,700 857
Paychex, Inc. 20,000 814
- Cadence Design Systems, Inc. 26,000 812
- Fred Meyer Inc. 18,700 795
Regions Financial Corp. 18,400 755
Crestar Financial Corp. 13,600 742
PaineWebber Group, Inc. 17,200 737
Harley-Davidson, Inc. 18,100 701
Dollar General Corp. 17,700 700
Washington Post Co. Class B 1,200 691
- Health Management Associates
Class A 20,300 679
- Network Associates, Inc. 14,100 675
Marshall & Ilsley Corp. 13,100 669
Kansas City Southern
Industries, Inc. 13,300 660
Firstar Corp. 17,300 657
Union Planters Corp. 10,500 617
New Century Energies, Inc. 13,500 613
- Office Depot, Inc. 19,400 612
- Robert Half International, Inc. 10,900 609
Cintas Corp. 11,900 607
Leggett & Platt, Inc. 23,900 597
Tyson Foods, Inc. 27,500 596
- Solectron Corp. 14,100 593
- ADC Telecommunications, Inc. 16,000 585
Linear Technology Corp. 9,400 567
- MarketSpan Corp. 18,800 563
El Paso Natural Gas 14,700 562
- Starbucks Corp. 10,400 556
Provident Cos., Inc. 16,100 555
- Storage Technology Corp. 12,800 555
Southern New England
Telecommunications Corp. 8,400 550
Tosco Corp. 18,700 549
T. Rowe Price 14,500 545
- Sterling Commerce, Inc. 11,200 543
Transocean Offshore, Inc. 12,000 534
CMS Energy Corp. 12,100 532
Charter One Financial 15,700 529
- U.S. Filter Corp. 18,338 515
Century Telephone
Enterprises, Inc. 11,200 514
Danaher Corp. 14,000 514
- Watson Pharmaceuticals, Inc. 10,900 509
- Maxim Integrated Products, Inc. 15,700 497
- Lexmark International Group, Inc.
Class A 8,100 494
A.G. Edwards & Sons, Inc. 11,500 491
- SunGard Data Systems, Inc. 12,800 491
First Security Corp. 22,900 490
AMBAC Financial Group Inc. 8,300 486
Old Republic International Corp. 16,500 484
First Tennessee National Corp. 15,300 483
Hillenbrand Industries, Inc. 8,000 480
- QUALCOMM, Inc. 8,500 478
- Analog Devices, Inc. 19,400 477
Florida Progress Corp. 11,600 477
Molex, Inc. 18,700 468
Cincinnati Bell, Inc. 16,300 467
- Pacificare Health Systems Inc.
Class B 5,200 460
- Keane, Inc. 8,200 459
Pinnacle West Capital Corp. 10,100 455
Zions Bancorp 8,500 452
Allegheny Energy, Inc. 14,700 443
- Quintiles Transnational Corp. 9,000 443
Stryker Corp. 11,500 441
- Jones Apparel Group, Inc. 12,000 439
Mylan Laboratories, Inc. 14,600 439
Vulcan Materials Co. 4,100 437
North Fork Bancorp, Inc. 17,800 435
Solutia, Inc. 15,100 433
- Proffitt's, Inc. 10,700 432
- Biogen, Inc. 8,800 431
- Bed Bath & Beyond, Inc. 8,300 430
- EVI Weatherford, Inc. 11,595 430
- FIserv, Inc. 10,100 429
- Best Buy Co., Inc. 11,800 426
TECO Energy, Inc. 15,800 424
Dime Bancorp, Inc. 14,000 419
LG&E Energy Corp. 15,500 419
- Promus Hotel Corp. 10,800 416
- AccuStaff, Inc. 13,200 413
IMC Global Inc. 13,700 413
Wisconsin Energy Corp. 13,600 413
Old Kent Financial Corp. 11,445 412
NIPSCO Industries, Inc. 14,600 409
- NCR Corp. 12,400 403
- Global Marine, Inc. 21,300 398
- Noble Drilling Corp. 16,400 395
Sundstrand Corp. 6,900 395
ICN Pharmaceuticals, Inc. 8,600 393
FINOVA Group, Inc. 6,800 385
- Foundation Health Systems
Class A 14,600 385
SCANA Corp. 12,900 385
- Electronic Arts Inc. 7,100 383
Family Dollar Stores, Inc. 20,600 381
Sonoco Products Co. 12,600 381
Omnicare, Inc. 9,900 377
Hibernia Corp. Class A 18,300 369
A. H. Belo Corp. Class A 15,000 366
Camco International, Inc. 4,700 366
- Synopsys, Inc. 8,000 366
- American Power Conversion Corp. 12,000 360
Potomac Electric Power Co. 14,200 356
Allegiance Corp. 6,900 354
Dole Food Co. 7,100 353
- Chiron Corp. 22,200 348
- Forest Laboratories, Inc. 9,700 347
</TABLE>
22
<PAGE> 57
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ------------------------------------------------------------------------------------------
<S> <C> <C>
Comdisco, Inc. 18,100 $ 344
New England Electric System 7,900 342
- Quantum Corp. 16,500 342
International Game Technology 14,000 340
- Payless ShoeSource, Inc. 4,600 339
Federal-Mogul Corp. 5,000 338
Ultramar Diamond Shamrock Corp. 10,600 335
Viad Corp. 12,000 333
McCormick & Co., Inc. 9,300 332
- Litton Industries, Inc. 5,600 330
Hormel Foods Corp. 9,500 328
- Total Renal Care Holdings, Inc. 9,500 328
First Virginia Banks, Inc. 6,400 327
Hubbell Inc. Class B 7,800 325
Transatlantic Holdings, Inc. 4,200 325
- Viking Office Products 10,300 323
- Xilinx, Inc. 9,400 320
Dial Corp. 12,300 319
The Warnaco Group, Inc. Class A 7,500 318
Energy East Corp. 7,600 316
TCF Financial Corp. 10,700 316
- Centocor, Inc. 8,700 315
Stewart Enterprises, Inc. Class A 11,800 314
American Financial Group, Inc. 7,200 312
ENSCO International, Inc. 17,900 311
- Altera Corp. 10,500 310
American Water Works Co., Inc. 10,000 310
- Barnes & Noble, Inc. 8,200 307
Consolidated Papers 11,200 305
Mercantile Bankshares Corp. 8,700 303
Alumax, Inc. 6,510 302
- General Nutrition Cos., Inc. 9,700 302
Interstate Energy Corp. 9,300 302
Lyondell Petrochemical Co. 9,900 301
- Sybron International Corp. 11,900 300
Associated Banc-Corp. 7,950 299
The PMI Group Inc. 4,000 294
Interstate Bakeries Corp. 8,800 292
Telephone & Data Systems, Inc. 7,400 291
Murphy Oil Corp. 5,700 289
Pioneer Natural Resources Co. 12,100 289
Whitman Corp. 12,600 289
Manpower Inc. 10,000 287
Puget Sound Energy Inc. 10,700 287
- Sterling Software, Inc. 9,700 287
KN Energy, Inc. 5,200 282
- SCI Systems, Inc. 7,500 282
Clayton Homes Inc. 14,800 281
- CalEnergy Co. 9,300 280
- Teradyne, Inc. 10,400 278
Herman Miller, Inc. 11,400 277
Cabot Corp. 8,500 275
- Comverse Technology, Inc. 5,300 275
- R. P. Scherer Corp. 3,100 275
Bergen Brunswig Corp. Class A 5,900 274
- Northeast Utilities 16,200 274
The Timber Co. 11,800 272
- BJ Services Co. 9,300 270
Illinova Corp. 9,000 270
Conectiv, Inc. 13,100 269
Symbol Technologies, Inc. 7,100 268
Unifi, Inc. 7,700 264
Noble Affiliates, Inc. 6,900 262
OGE Energy Corp. 9,700 262
Martin Marietta Materials, Inc. 5,800 261
Magna Group 4,600 260
GATX Corp. 5,900 259
Dean Foods Corp. 4,700 258
Harsco Corp. 5,600 257
- OfficeMax, Inc. 15,600 257
UtiliCorp United, Inc. 6,800 256
Shaw Industries, Inc. 14,400 254
Avnet, Inc. 4,600 252
- Cytec Industries, Inc. 5,700 252
CNF Transportation, Inc. 5,900 251
Diebold, Inc. 8,700 251
- Genzyme Corp. 9,800 251
Tidewater, Inc. 7,600 251
- Nabors Industries, Inc. 12,600 250
Flowers Industries, Inc. 12,100 247
- Arrow Electronics, Inc. 11,300 246
HON Industries, Inc. 7,200 245
- Outback Steakhouse 6,200 242
- Quorum Health Group, Inc. 9,100 241
IPALCO Enterprises, Inc. 5,400 240
MidAmerican Energy Co. 11,100 240
Montana Power Co. 6,900 240
- Tech Data Corp. 5,600 240
- Ocean Energy, Inc. 12,200 239
Wilmington Trust Corp. 3,900 237
Olin Corp. 5,600 233
Pacific Century Financial Corp. 9,700 233
Bowater Inc. 4,900 232
Premark International, Inc. 7,200 232
MCN Energy Group Inc. 9,300 231
Cracker Barrel Old Country
Stores, Inc. 7,200 229
Crompton & Knowles Corp. 9,000 227
Hannaford Brothers Co. 5,100 224
Trinity Industries, Inc. 5,300 220
- Corrections Corp. of America 9,300 219
Lubrizol Corp. 7,200 218
Valero Energy Corp. 6,500 216
- Smith International, Inc. 6,100 212
- First Health Group Corp. 7,400 211
RPM Inc. (Ohio) 12,400 211
Airborne Freight Corp. 6,000 210
Fastenal Co. 4,500 209
Kansas City Power & Light Co. 7,200 209
- Chris-Craft Industries, Inc. 3,800 208
Questar Corp. 10,600 208
- Circus Circus Enterprises Inc. 12,200 207
- U.S. Foodservice 5,900 207
- Healthcare & Retirement Corp. 5,200 205
York International Corp. 4,700 205
- Saks Holdings, Inc. 7,400 204
Tiffany & Co. 4,200 202
City National Corp. 5,400 199
HSB Group Inc. 3,700 198
Witco Chemical Corp. 6,700 196
Pittston Brink's Group 5,300 195
Cordant Technologies, Inc. 4,200 194
</TABLE>
23
<PAGE> 58
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------
MARKET
MID CAPITALIZATION VALUE*
STOCK PORTFOLIO SHARES (000)
- ------------------------------------------------------------------------------------------
<S> <C> <C>
IBP, Inc. 10,700 $ 194
Southdown, Inc. 2,700 193
Beckman Coulter, Inc. 3,300 192
Meritor Automotive, Inc. 8,000 192
National Fuel Gas Co. 4,400 192
- CompUSA, Inc. 10,600 191
COMSAT Corp. 6,700 190
Lancaster Colony Corp. 5,000 189
Pentair, Inc. 4,400 187
- Beverly Enterprises, Inc. 13,000 180
TCA Cable Television, Inc. 3,000 180
- BJ's Wholesale Club, Inc. 4,400 179
Fingerhut Co. 5,400 178
- Symantec Corp. 6,700 175
ASA Holdings Inc. 3,500 174
Callaway Golf Co. 8,700 171
- ACNielson Corp. 6,700 169
AGCO Corp. 8,000 165
- Policy Management Systems Corp. 4,200 165
Reynolds & Reynolds Class A 9,000 164
Teleflex Inc. 4,300 163
- GTech Holdings Corp. 4,800 162
Inland Steel Industries, Inc. 5,700 161
Ogden Corp. 5,800 161
Mark IV Industries, Inc. 7,400 160
Lee Enterprises, Inc. 5,200 159
- Alaska Air Group, Inc. 2,900 158
- Atmel Corp. 11,600 158
DENTSPLY International Inc. 6,300 158
- Informix Corp. 20,000 158
Kelly Services, Inc. Class A 4,400 156
Minnesota Power, Inc. 3,900 155
- UCAR International, Inc. 5,300 155
Alexander & Baldwin, Inc. 5,300 154
Universal Corp. 4,100 153
Wausau-Mosinee Paper Corp. 6,700 153
Idaho Power Co. 4,400 152
Rayonier Inc. 3,300 152
Carlisle Co., Inc. 3,500 151
- Covance, Inc. 6,700 151
Media General, Inc. Class A 3,100 151
J.B. Hunt Transport Services, Inc. 4,200 150
Kennametal, Inc. 3,600 150
Nevada Power Co. 5,800 149
Precision Castparts Corp. 2,800 149
Hawaiian Electric Industries Inc. 3,700 147
- Varco International, Inc. 7,400 147
- Brinker International, Inc. 7,600 146
Sotheby's Holdings Class A 6,500 145
BetzDearborn Inc. 3,400 143
Albemarle Corp. 6,400 141
Kaydon Corp. 4,000 141
- Oxford Health Plan 9,200 141
- Vishay Intertechnology, Inc. 7,875 141
- Concentra Managed Care 5,300 138
Medusa Corp. 2,200 138
Donaldson Co., Inc. 5,800 137
Varian Associates, Inc. 3,500 137
Washington Gas Light Corp. 5,100 136
Borg-Warner Automotive, Inc. 2,800 135
Universal Foods Corp. 6,000 133
Minerals Technologies, Inc. 2,600 132
Tecumseh Products Co. Class A 2,500 132
AGL Resources Inc. 6,600 131
Carpenter Technology Corp. 2,600 131
- IVAX Corp. 14,100 130
Federal Signal Corp. 5,300 129
- Wisconsin Central
Transportation Corp. 5,900 129
AK Steel Corp. 7,100 127
Flowserve Corp. 4,900 121
GenCorp, Inc. 4,800 121
Modine Manufacturing Co. 3,500 121
- Seagull Energy Corp. 7,300 121
- Sensormatic Electronics Corp. 8,600 120
Wallace Computer Services, Inc. 5,000 119
- Airgas, Inc. 8,200 118
First Brands Corp. 4,600 118
- PSS World Medical, Inc. 8,100 118
The Standard Register Co. 3,300 117
Aliant Communications, Inc. 4,200 115
Claire's Stores, Inc. 5,600 115
- Lands' End, Inc. 3,600 114
- Nine West Group, Inc. 4,200 113
Ametek Aerospace Products Inc. 3,800 111
Ferro Corp. 4,400 111
Houghton Mifflin Co. 3,500 111
Public Service Co. of New Mexico 4,900 111
Newport News Shipbuilding Inc. 4,100 110
Banta Corp. 3,500 108
M.A. Hanna Co. 5,900 108
Ranger Oil Ltd. 14,600 107
- Vlasic Foods International, Inc. 5,300 107
Bob Evans Farms, Inc. 5,000 106
Arvin Industries, Inc. 2,900 105
Chesapeake Corp. of Virginia 2,700 105
Olsten Corp. 9,400 105
- Structural Dynamics
Research Corp. 4,500 104
Bandag, Inc. 2,600 101
Ruddick Corp. 5,400 98
- Burlington Industries, Inc. 6,900 97
- Borders Group, Inc. 2,600 96
Carter-Wallace, Inc. 5,300 96
- Jacobs Engineering Group Inc. 3,000 96
H.B. Fuller Co. 1,700 94
Nordson Corp. 2,000 94
- Perrigo Co. 8,900 90
A. Schulman Inc. 4,600 90
Superior Industries
International, Inc. 3,200 90
- Vanguard Cellular Systems, Inc.
Class A 4,700 89
- Cirrus Logic 7,900 88
- Cypress Semiconductor Corp. 10,600 88
Overseas Shipholding Group Inc. 4,300 88
Albany International Corp. 3,618 87
Georgia Gulf Corp. 3,800 87
Unisource Worldwide, Inc. 8,000 87
Dexter Corp. 2,700 86
Longview Fibre Co. 6,000 86
J.M. Smucker Co. Class A 3,400 84
</TABLE>
24
<PAGE> 59
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ------------------------------------------------------------------------------------------
<S> <C> <C>
- Buffets Inc. 5,300 $ 83
- NovaCare, Inc. 7,100 83
Wellman, Inc. 3,600 82
Heilig-Meyers Co. 6,600 81
- Mentor Graphics Corp. 7,600 80
Rollins, Inc. 3,900 80
- Sequa Corp. Class A 1,200 80
- ATL Ultrasound, Inc. 1,700 78
- Imation Corp. 4,700 78
Indiana Energy, Inc. 2,600 78
Lance, Inc. 3,500 78
Cleco Corp. 2,600 77
P.H. Glatfelter Co. 4,900 77
- Scholastic Corp. 1,900 76
Central Maine Power Co. 3,800 74
Church & Dwight, Inc. 2,300 74
- Lone Star Steakhouse &
Saloon, Inc. 5,300 73
- Stratus Computer, Inc. 2,800 71
Cleveland-Cliffs Iron Co. 1,300 70
Stewart & Stevenson Services, Inc. 3,900 70
- Integrated Device Technology Inc. 9,400 67
Quaker State Corp. 4,100 67
Sbarro, Inc. 2,400 65
Watts Industries Class A 3,100 65
Granite Construction Co. 2,100 64
- Information Resources, Inc. 3,400 63
- Parker Drilling Co. 8,900 63
Dreyer's Grand Ice Cream, Inc. 3,100 62
- Micro Warehouse Inc. 4,000 62
International Multifoods Corp. 2,200 61
- Acuson Corp. 3,300 60
- Sequent Computer Systems, Inc. 5,000 60
CalMat Co. 2,700 59
Ethyl Corp. 9,700 59
Black Hills Corp. 2,500 58
Enesco Group, Inc. 1,900 58
Lawter International Inc. 5,300 58
- Magnatek 3,600 57
Oregon Steel Mills, Inc. 3,000 56
Reliastar Financial Corp. 1,100 53
- U.S. Office Products Co. 2,714 53
- Medaphis Corp. 8,500 51
NCH Corp. 800 51
Calgon Carbon Corp. 4,600 46
- Maxxam Inc. 800 45
Arnold Industries, Inc. 3,000 44
- Apria Healthcare 6,000 40
Brush Wellman, Inc. 1,900 39
OEA, Inc. 2,400 38
- ------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS
(COST $118,618) 117,057
- ------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------
FACE MARKET
AMOUNT VALUE*
(000) (000)
- -------------------------------------------------------------------------------------------
TEMPORARY CASH INVESTMENTS (1.5%)
- -------------------------------------------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENTS
Collateralized by U.S. Government
Obligations in a Pooled
Cash Account
5.67%, 7/1/1998 $1,429 $ 1,429
5.76%, 7/1/1998--Note F 341 341
- -------------------------------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(COST $1,770) 1,770
- -------------------------------------------------------------------------------------------
TOTAL INVESTMENTS (101.4%)
(COST $120,388) 118,827
- -------------------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-1.4%)
- -------------------------------------------------------------------------------------------
Other Assets--Note B 2,258
Liabilities--Note F (3,906)
---------
(1,648)
- -------------------------------------------------------------------------------------------
NET ASSETS (100%) $117,179
===========================================================================================
</TABLE>
*See Note A in Notes to Financial Statements.
- -Non-Income-Producing Security.
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------
AT JUNE 30, 1998, NET ASSETS CONSISTED OF:
- -------------------------------------------------------------------------------------------
AMOUNT
(000)
- ------------------------------------------------------------------------------------------
<S> <C>
Paid in Capital $118,314
Undistributed Net Investment Income 198
Accumulated Net Realized Gains 228
Unrealized Depreciation--Note E (1,561)
- -------------------------------------------------------------------------------------------
NET ASSETS $117,179
===========================================================================================
Investor Shares--Net Assets
Applicable to 10,855,243 outstanding
shares of beneficial interest
(unlimited authorization) $107,318
- -------------------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INVESTOR SHARES $9.89
===========================================================================================
Institutional Shares--Net Assets
Applicable to 997,322 outstanding
shares of beneficial interest
(unlimited authorization) $9,861
- -------------------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INSTITUTIONAL SHARES $9.89
===========================================================================================
</TABLE>
25
<PAGE> 60
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------
MARKET
SMALL CAPITALIZATION VALUE*
STOCK PORTFOLIO SHARES (000)
- ------------------------------------------------------------------------------------------
COMMON STOCKS (96.5%)(1)
- ------------------------------------------------------------------------------------------
<S> <C> <C>
Reinsurance Group of
America, Inc. 117,400 $ 6,941
Avalon Bay Communities 182,624 6,940
Fingerhut Co. 175,600 5,795
- NTL Inc. 100,867 5,396
Interstate Energy Corp. 165,082 5,365
- AmeriSource Health Corp. 78,900 5,183
- ICG Communications, Inc. 141,100 5,159
Idaho Power Co. 147,900 5,121
HSB Group Inc. 94,950 5,080
Camden Property Trust REIT 170,187 5,063
- Allied Waste Industries, Inc. 210,700 5,057
- Winstar Communications, Inc. 117,300 5,036
Old National Bancorp 101,572 4,850
- Legato Systems, Inc. 124,000 4,836
CMAC Investment Corp. 77,300 4,754
- Western Wireless Corp. 238,200 4,749
Oakwood Homes Corp. 154,700 4,641
- Symantec Corp. 177,040 4,625
- PMC Sierra Inc. 98,200 4,603
WestAmerica Bancorporation 142,700 4,584
- Aspect Telecommunications
Corp. 165,500 4,530
Inland Steel Industries, Inc. 160,400 4,521
- MedImmune Inc. 72,000 4,491
First American Financial Corp. 49,700 4,473
Keystone Financial, Inc. 120,653 4,464
- World Color Press, Inc. 127,500 4,463
- Bethlehem Steel Corp. 357,691 4,449
Minnesota Power, Inc. 110,800 4,404
General Growth Properties
Inc. REIT 117,800 4,403
Peoples Energy Corp. 112,925 4,362
Kaydon Corp. 122,900 4,340
- Microchip Technology, Inc. 165,400 4,321
Universal Foods Corp. 194,700 4,320
- Mueller Industries Inc. 116,000 4,306
- Covance, Inc. 191,000 4,297
Nevada Power Co. 166,700 292
Aptargroup Inc. 69,000 4,291
- GTech Holdings Corp. 126,600 4,265
Mark IV Industries, Inc. 196,875 4,257
- Gentex Corp. 234,400 4,248
- Rational Software Corp. 277,179 4,227
- CheckFree Holdings Corp. 143,100 4,212
Hawaiian Electric Industries Inc. 105,700 4,195
Minerals Technologies, Inc. 82,300 4,187
Washington Water Power Co. 186,300 4,180
- Skytel Communications, Inc. 178,400 4,176
- Interim Services, Inc. 129,906 4,173
United Bankshares, Inc. 122,000 4,163
National Data Corp. 94,900 4,152
Rochester Gas and Electric Corp. 129,100 4,123
- Devry, Inc. 187,800 4,120
Kaufman & Broad Home Corp. 129,700 4,118
- American Management
Systems, Inc. 137,000 4,101
Wausau-Mosinee Paper Corp. 179,110 4,097
Precision Castparts Corp. 76,700 4,094
- Corporate Express, Inc. 320,650 4,068
- Valassis Communications, Inc. 105,300 4,061
Universal Corp. 108,600 4,059
Ball Corp. 100,400 4,035
Rayonier Inc. 87,700 4,034
Adolph Coors Co. Class B 118,200 4,019
Cullen/Frost Bankers, Inc. 73,880 4,008
Earthgrains Co. 71,672 4,005
- CSG Systems International, Inc. 84,400 3,956
- Stage Stores, Inc. 87,100 3,941
United Dominion Realty
Trust REIT 283,750 3,937
- Footstar Inc. 81,900 3,931
- Oxford Health Plan 256,300 3,924
Franchise Finance Corp. of
America REIT 150,700 3,909
ONEOK, Inc. 97,000 3,868
- Sepracor Inc. 93,100 3,864
Washington Gas Light Corp. 144,300 3,860
- Vishay Intertechnology, Inc. 215,118 3,859
- Barrett Resources Corp. 102,900 3,852
First Industrial Realty Trust REIT 121,100 3,852
- Champion Enterprises, Inc. 131,548 3,848
- PMT Services Inc 150,200 3,821
- CMG Information Services, Inc. 54,000 3,820
Potlatch Corp. 90,700 3,809
- Renal Care Group, Inc. 86,300 3,802
MDU Resources Group, Inc. 106,325 3,794
- Novellus Systems, Inc. 105,900 3,779
- Electronics for Imaging, Inc. 177,900 3,758
- America West Holdings Corp.
Class B 131,100 3,744
- Safeguard Scientifics, Inc. 89,800 3,743
AGL Resources Inc. 188,300 3,742
Sierra Pacific Resources 102,900 3,736
- Veritas DGC Inc. 74,700 3,730
- Zale Corp. 116,900 3,719
One Valley Bancorp of West
Virginia Inc. 102,044 3,712
ASA Holdings Inc. 74,500 3,697
Equitable Resources, Inc. 121,200 3,697
- Pairgain Technologies, Inc. 211,900 3,695
- Concentra Managed Care 141,650 3,683
- Visio Corp. 77,100 3,681
Texas Industries, Inc. 69,320 3,674
- Network Appliance, Inc. 94,300 3,672
- Linens 'n Things, Inc. 119,800 3,661
Helmerich & Payne, Inc. 164,400 3,658
Lee Enterprises, Inc. 118,500 3,629
Lincoln Electric Holdings 163,800 3,624
- Express Scripts 44,900 3,620
- PhyCor, Inc. 217,900 3,609
Health Care Properties Investors 100,000 3,606
BRE Properties Inc. Class A REIT 137,648 3,587
- Lycos, Inc. 47,500 3,580
Pogo Producing Co. 142,500 3,580
- Sylvan Learning Systems, Inc. 108,800 3,563
First Citizens BancShares Class A 35,600 3,562
Expeditors International of
Washington, Inc. 80,900 3,560
- Bristol Hotel Co. 144,850 3,549
Medusa Corp. 56,550 3,548
- AmeriCredit Corp. 99,000 3,533
</TABLE>
26
<PAGE> 61
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ------------------------------------------------------------------------------------------
<S> <C> <C>
- Excite, Inc. 37,700 $ 3,525
- BISYS Group, Inc. 85,900 3,522
- Aspen Technologies, Inc. 69,700 3,520
Media General, Inc. Class A 71,400 3,481
Allied Group, Inc. 74,325 3,479
Whitney Holdings 68,150 3,459
- Alaska Air Group, Inc. 63,100 3,443
Developers Diversified Realty
Corp. REIT 87,700 3,437
Nationwide Health
Properties, Inc. 143,500 3,426
- Santa Fe Energy Resources, Inc. 318,400 3,423
- Wisconsin Central
Transportation Corp. 156,500 3,423
Fund American Enterprise
Holding Co. 23,053 3,412
Commercial Federal Corp. 107,875 3,411
- IXC Communications, Inc. 70,000 3,395
- Nova Corp. (Georgia) 94,400 3,375
- Associated Group, Inc. 82,248 3,372
Hospitality Properties Trust REIT 104,600 3,360
- Computer Horizons Corp. 90,500 3,354
- Romac International, Inc. 110,410 3,354
Houghton Mifflin Co. 105,500 3,350
Community First Bankshares 127,800 3,347
Felcor Suite Hotels, Inc. REIT 106,500 3,341
Piedmont Natural Gas, Inc. 99,343 3,340
First Brands Corp. 130,300 3,339
- Synetic, Inc. 58,300 3,323
TIG Holdings, Inc. 144,425 3,322
- United Stationers, Inc. 51,300 3,322
- PETsMART, Inc. 332,150 3,321
- HNC Software, Inc. 81,100 3,310
Flowserve Corp. 134,306 3,307
Aliant Communications, Inc. 120,500 3,306
- Metamor Worldwide, Inc. 93,900 3,304
La-Z-Boy Inc. 58,400 3,300
IDEX Corp. 95,600 3,298
- Imperial Bancorp 109,796 3,294
Sovereign Bancorp, Inc. 201,407 3,292
Federal Signal Corp. 135,100 3,285
- e.spire Communications, Inc. 145,400 3,280
- Premier Parks Inc. 49,000 3,265
Claire's Stores, Inc. 159,150 3,262
- BEA Systems, Inc. 142,000 3,257
Commerce Bancorp, Inc. 55,642 3,255
Borg-Warner Automotive, Inc. 67,600 3,249
Richfood Holdings, Inc. 157,000 3,248
- Dura Pharmaceuticals, Inc. 145,100 3,247
AK Steel Corp. 181,500 3,244
- Coach USA, Inc. 71,100 3,244
- Wang Laboratories, Inc. 127,450 3,242
Carpenter Technology Corp. 64,500 3,241
- Informix Corp. 409,400 3,237
New Plan Realty Trust REIT 132,100 3,236
- Xylan Corp. 108,461 3,233
Polaris Industries, Inc. 85,700 3,224
Ferro Corp. 127,100 3,217
Ametek Aerospace Products Inc. 109,700 3,215
Roslyn Bancorp, Inc. 144,056 3,214
General Cable Corp. 111,150 3,209
- Paragon Health Network, Inc. 198,899 3,207
- PSS World Medical, Inc. 218,862 3,201
Storage USA, Inc. REIT 91,300 3,195
- Corn Products International, Inc. 94,300 3,194
- UICI 116,700 3,180
- Seagull Energy Corp. 191,800 3,177
Russell Corp. 105,225 3,176
- Gilead Sciences, Inc. 99,000 3,174
Hussman International, Inc. 170,575 3,166
Battle Mountain Gold Co. Class A 531,400 3,155
- Transaction Systems
Architects, Inc. 81,900 3,153
- Catalina Marketing Corp. 60,600 3,147
Public Service Co. of
New Mexico 138,000 3,131
Wallace Computer Services, Inc. 131,800 3,130
Tecumseh Products Co. Class A 59,100 3,121
- Nautica Enterprises Inc. 116,114 3,113
Jostens Inc. 128,700 3,105
- Agouron Pharmaceuticals, Inc. 102,306 3,101
Federal Realty Investment
Trust REIT 128,700 3,097
- Smithfield Foods, Inc. 101,400 3,093
Donaldson Co., Inc. 130,900 3,092
- Tower Automotive, Inc. 72,100 3,091
Staten Island Bancorp, Inc. 135,800 3,089
Newport News Shipbuilding Inc. 115,400 3,087
- NBTY, Inc. 167,900 3,085
Sotheby's Holdings Class A 137,700 3,081
- Acxiom Corp. 123,150 3,071
Charles E. Smith Residential
Realty, Inc. REIT 95,400 3,053
- AgriBioTech, Inc. 110,100 3,048
Banta Corp. 98,400 3,038
Cincinnati Milacron, Inc. 124,977 3,038
XTRA Corp. 50,200 3,037
W.R. Berkley Corp. 75,575 3,028
Life Re Corp. 36,900 3,026
OM Group, Inc. 73,000 3,011
- Laidlaw Environmental
Services, Inc. 829,137 3,006
Webster Financial Corp. 90,400 3,006
Air Express International Corp. 112,300 3,004
- Envoy Corp. 63,300 2,999
Atmos Energy Corp. 98,241 2,996
- Systems & Computer
Technology Corp. 110,800 2,992
Prentiss Properties Trust REIT 123,000 2,990
- Williams Sonoma, Inc. 93,724 2,981
- ITC DeltaCom, Inc. 69,600 2,974
Bob Evans Farms, Inc. 139,900 2,964
LTV Corp. 308,800 2,953
Pulte Corp. 98,600 2,946
- American Disposal Services, Inc. 62,700 2,939
- MedQuist, Inc. 101,700 2,936
Enhance Financial Services
Group, Inc. 86,800 2,929
Casey's General Stores 175,800 2,912
CNB Bancshares, Inc. 60,639 2,911
NACCO Industries, Inc. Class A 22,495 2,907
JLG Industries, Inc. 143,500 2,906
</TABLE>
27
<PAGE> 62
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------
MARKET
SMALL CAPITALIZATION VALUE*
STOCK PORTFOLIO SHARES (000)
- ------------------------------------------------------------------------------------------
<S> <C> <C>
- - Affiliated Computer Services, Inc. 75,400 $ 2,903
Applied Power, Inc. 84,400 2,901
- - FileNET Corp. 100,400 2,899
- - Plantronics, Inc. 56,300 2,899
- - Syntel, Inc. 92,775 2,899
Commerce Group, Inc. 74,700 2,895
Reckson Associates Realty
Corp. REIT 122,200 2,894
Wolverine World Wide, Inc. 133,140 2,887
- - Shopko Stores, Inc. 84,800 2,883
MascoTech Inc. 120,000 2,880
- - Michaels Stores, Inc. 81,518 2,876
Interface, Inc. 142,400 2,875
- - Sensormatic Electronics Corp. 205,350 2,875
Fifth Third Bancorp 45,627 2,874
USFreightways Corp. 87,200 2,864
- - Tuboscope Inc. 144,800 2,860
Longs Drug Stores, Inc. 98,900 2,856
- - Fairfield Communities, Inc. 148,400 2,847
- - Coventry Health Care Inc. 190,500 2,834
- - IDEXX Laboratories Corp. 113,400 2,821
FBL Financial Group, Inc. Class A 110,000 2,819
UMB Financial Corp. 56,938 2,818
- - Avid Technology, Inc. 83,900 2,811
- - SPX Corp. 43,600 2,807
Lone Star Industries, Inc. 36,400 2,805
- - Prime Hospitality Corp. 160,700 2,802
- - SEACOR SMIT Inc. 45,700 2,802
Wicor, Inc. 121,000 2,798
Briggs & Stratton Corp. 74,625 2,794
- - IVAX Corp. 301,600 2,790
- - MMC Networks, Inc. 87,300 2,783
- - Twinlab Corp. 63,700 2,783
FirstBank Puerto Rico 106,800 2,777
Susquehanna Bancshares, Inc. 74,050 2,768
- - Marine Drilling Co., Inc. 172,700 2,763
- - Central Garden and Pet Co. 88,700 2,761
Glenborough Realty Trust,
Inc. REIT 104,700 2,761
IndyMac Mortgage Holdings, Inc. 121,300 2,759
G & K Services, Inc. 63,150 2,755
GenCorp, Inc. 108,900 2,750
First Financial Bancorp 106,008 2,743
BancorpSouth, Inc. 130,400 2,738
- - Technology Solutions Co. 86,350 2,736
HCC Insurance Holdings, Inc. 123,850 2,725
- - Genesis Health Ventures Inc. 108,825 2,721
Merry Land & Investment Co.,
Inc. REIT 129,018 2,717
- - Rambus Inc. 44,400 2,714
Albank Financial Corp. 38,440 2,712
Cornerstone Properties, Inc. REIT 153,800 2,711
- - Trammell Crow Co. 81,050 2,710
M.A. Hanna Co. 147,400 2,699
C.H. Robinson Worldwide, Inc. 108,400 2,696
- - Primark Corp. 86,100 2,696
Chesapeake Corp. of Virginia 69,200 2,694
Eastern Enterprises 62,800 2,693
UGI Corp. Holding Co. 108,000 2,687
Roper Industries Inc. 102,800 2,686
- - Airgas, Inc. 186,700 2,684
- - Triangle Pacific Corp. 48,665 2,677
Foster Wheeler Corp. 124,400 2,667
Bowne & Co., Inc. 59,200 2,664
Trans Financial, Inc. 46,400 2,662
- - EEX Corp. 283,700 2,660
- - Journal Register Co. 158,800 2,660
Dallas Semiconductor Corp. 85,500 2,651
The Macerich Co. REIT 90,400 2,650
- - Human Genome Sciences, Inc. 74,200 2,648
- - Newfield Exploration Co. 106,400 2,647
- - Sola International, Inc. 80,800 2,641
- - E*TRADE Group, Inc. 115,000 2,638
Central Hudson Gas &
Electric Corp. 57,400 2,633
- - Bally Total Fitness Holding Corp. 73,100 2,632
- - PAREXEL International Corp. 72,100 2,623
HUBCO, Inc. 73,204 2,622
Executive Risk, Inc. 35,500 2,618
Arvin Industries, Inc. 72,000 2,615
- - Delphi Financial Group, Inc. 46,410 2,613
- - Structural Dynamics
Research Corp. 113,006 2,613
WPS Resources Corp. 79,600 2,612
- - Burlington Industries, Inc. 185,100 2,603
- - ShowBiz Pizza Time, Inc. 64,500 2,600
- - Pride International Inc. 153,400 2,598
Trustmark Corp. 118,100 2,591
Georgia Gulf Corp. 113,500 2,589
Landamerica Financial Group 45,200 2,588
- - Young Broadcasting Inc. 39,800 2,587
Shurgard Storage Centers, Inc.
Class A REIT 93,200 2,586
Fidelity National Financial, Inc. 64,939 2,585
Capital Re Corp. 36,000 2,579
- - United Rentals, Inc. 61,400 2,579
John Wiley & Sons Class A 42,200 2,569
- - VISIX Inc. 43,100 2,564
- - International Network Services 62,500 2,563
- - ETEC Systems, Inc. 72,800 2,562
J.B. Hunt Transport Services, Inc. 71,900 2,561
National Health Investors REIT 77,100 2,554
- - AnnTaylor Stores Corp. 120,500 2,553
- - Mettler-Toledo International Inc. 127,100 2,550
SEI Corp. 41,100 2,548
- - Catalytica, Inc. 129,600 2,543
Devon Energy Corp. 72,800 2,543
Modine Manufacturing Co. 73,400 2,541
NAC Re Corp. 47,550 2,538
- - VLSI Technology, Inc. 151,225 2,538
- - Cellular Communications
International Inc. 50,850 2,536
ASARCO, Inc. 113,875 2,534
Trinet Corporate Realty Trust,
Inc. REIT 74,400 2,530
- - Pre-Paid Legal Services, Inc. 80,100 2,528
UST Corp. 95,400 2,528
SIG Corp. 78,599 2,520
First Midwest Bancorp 57,300 2,519
H.B. Fuller Co. 45,350 2,514
St. Paul Bancorp, Inc. 111,205 2,513
- - Zebra Technologies Class A 58,700 2,509
</TABLE>
28
<PAGE> 63
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ------------------------------------------------------------------------------------------
<S> <C> <C>
- - Cypress Semiconductor Corp. 301,525 $ 2,506
Kellwood Co. 70,050 2,504
- - Pacific Sunwear of California 71,175 2,491
Jones Pharma, Inc. 75,100 2,488
- - Henry Schein, Inc. 53,900 2,486
Arthur J. Gallagher & Co. 55,500 2,484
Westernbank Puerto Rico 146,800 2,477
- - Markel Corp. 13,900 2,474
- - PharMerica, Inc. 205,000 2,473
- - Software AG Systems, Inc. 84,500 2,472
Jefferies Group, Inc. 60,232 2,470
- - Progress Software Corp. 60,200 2,468
- - Nine West Group, Inc. 91,900 2,464
- - Mercury Interactive Corp. 55,200 2,463
Belden, Inc. 80,400 2,462
- - Century Communications Corp.
Class A 131,116 2,458
Colonial Properties Trust REIT 79,300 2,458
- - Cerner Corp. 86,700 2,455
Baldor Electric Co. 100,227 2,443
Hughes Supply, Inc. 66,650 2,441
- - Patterson Dental Co. 66,650 2,441
Caraustar Industries, Inc. 84,500 2,440
AAR Corp. 82,400 2,436
Longview Fibre Co. 170,700 2,432
- - Papa John's International, Inc. 61,650 2,431
- - Magellan Health Services, Inc. 95,700 2,428
Cousins Properties, Inc. REIT 80,900 2,417
- - AXENT Technologies, Inc. 78,880 2,416
- - Brightpoint, Inc. 166,525 2,415
First Hawaiian, Inc. 66,400 2,415
- - Walter Industries, Inc. 127,500 2,415
Weingarten Realty Investors REIT 57,675 2,412
- - Extended Stay America, Inc. 214,300 2,411
Frontier Insurance Group, Inc. 106,832 2,410
- - Century Business Services, Inc. 120,400 2,408
Dexter Corp. 75,700 2,408
- - Wind River Systems 67,000 2,404
Chateau Communities, Inc. REIT 83,500 2,401
- - Avant! Corp. 96,938 2,399
Eaton Vance Corp. 51,800 2,399
Citizens Banking Corp. 71,300 2,397
- - Infoseek Corp. 66,800 2,396
- - Scotts Co. 64,300 2,395
- - Buffets Inc. 152,449 2,392
Park National Corp. 23,700 2,392
Stride Rite Corp. 158,800 2,392
- - Windmere-Durable Holdings Inc. 66,767 2,391
Orange & Rockland Utilities, Inc. 44,500 2,389
- - Input/Output, Inc. 133,800 2,383
- - SLI, Inc. 91,075 2,379
- - Level One Communications 101,175 2,378
- - Ventas, Inc. 171,900 2,374
- - Silicon Valley Bancshares 66,600 2,371
U.S. Trust Corp. 31,100 2,371
Invacare Corp. 92,500 2,370
- - NovaCare, Inc. 201,500 2,368
- - First Federal Financial Corp. 45,475 2,365
Meridian Industrial Trust,
Inc. REIT 102,800 2,364
- - Vail Resorts Inc. 88,700 2,362
- - Newpark Resources, Inc. 211,900 2,357
- - Harbinger Corp. 97,250 2,352
- - USWeb Corp. 98,900 2,343
- - Orthodontic Centers of
America, Inc. 111,800 2,341
- - Hayes Lemmerz
International Inc. 58,800 2,337
Harman International
Industries, Inc. 60,525 2,330
A. Schulman Inc. 119,100 2,330
United Illuminating Co. 45,950 2,326
Provident Bankshares Corp. 78,540 2,317
- - Vanguard Cellular Systems, Inc.
Class A 122,750 2,317
- - Stratus Computer, Inc. 91,500 2,316
- - INCYTE Pharmaceuticals, Inc. 67,700 2,310
Applebee's International, Inc. 103,200 2,309
Cross Timbers Oil Co. 121,125 2,309
Heilig-Meyers Co. 187,000 2,302
- - Jacobs Engineering Group Inc. 71,200 2,287
Manitowac Co., Inc. 56,700 2,286
Commonwealth Energy Systems 60,500 2,284
- - Florida Panthers Holdings, Inc. 116,000 2,284
- - Consolidated Capital Corp. 101,500 2,282
Realty Income Corp. REIT 86,300 2,276
Graco, Inc. 65,225 2,275
TR Financial Corp. 54,200 2,270
- - Total Renal Care Holdings, Inc. 65,790 2,270
- - Anixter International Inc. 118,900 2,267
- - Mail-Well, Inc. 104,400 2,264
- - Hanover Compressor Co. 83,500 2,260
S & T Bancorp, Inc. 40,900 2,260
Dain Rauscher Corp. 41,200 2,256
- - Jabil Circuit, Inc. 68,200 2,255
Omega Healthcare Investors,
Inc. REIT 64,100 2,252
- - Omnipoint Corp. 98,200 2,252
- - Beringer Wine Estates
Holdings, Inc. 51,000 2,247
- - Amerin Corp. 76,900 2,245
- - Amphenol Corp. 57,500 2,243
- - LAM Research Corp. 117,300 2,243
- - Medicis Pharmaceutical Corp. 61,400 2,241
- - Department 56 Inc. 63,100 2,240
The McClatchy Co. Class A 64,700 2,240
- - UNOVA, Inc. 104,200 2,240
- - Data General Corp. 149,700 2,236
- - Imation Corp. 135,000 2,236
Olsten Corp. 199,750 2,235
- - Buckeye Technology, Inc. 94,800 2,234
- - CapStar Hotel Co. 79,700 2,232
Cleco Corp. 75,000 2,231
Indiana Energy, Inc. 74,600 2,229
- - Tekelec 49,800 2,229
- - ChoicePoint Inc. 44,000 2,228
- - BE Avionics Inc. 76,300 2,222
- - Men's Wearhouse, Inc. 67,050 2,213
- - Perrigo Co. 219,300 2,207
- - Cirrus Logic 198,300 2,206
Downey Financial Corp. 67,446 2,205
- - ADVO, Inc. 78,150 2,203
</TABLE>
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<TABLE>
<CAPTION>
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MARKET
SMALL CAPITALIZATION VALUE*
STOCK PORTFOLIO SHARES (000)
- ------------------------------------------------------------------------------------------
<S> <C> <C>
Brandywine Realty Trust REIT 98,000 $ 2,193
- - Midwest Express Holdings, Inc. 60,600 2,193
LNR Property Corp. 85,550 2,192
- - Foodmaker, Inc. 129,800 2,190
Nordson Corp. 46,600 2,190
Fleming Cos., Inc. 124,400 2,185
Unisource Worldwide, Inc. 202,100 2,185
- - Healthcare Financial
Partners, Inc. 35,600 2,183
National Computer Systems, Inc. 90,900 2,182
Wellman, Inc. 96,000 2,178
Cilcorp, Inc. 45,300 2,174
Blount International, Inc. 76,200 2,172
Crawford & Co. Class B 115,850 2,172
Libbey, Inc. 56,700 2,172
Firstbank of Illinois Co. 51,690 2,171
- - Jacor Communications, Inc. 36,700 2,165
- - Choice Hotel International, Inc. 159,200 2,159
- - ICOS Corp. 112,800 2,157
Selective Insurance Group 96,200 2,155
Southwest Gas Corp. 88,200 2,155
Rollins Truck Leasing 174,037 2,154
- - Burr-Brown Corp. 102,500 2,153
- - Eastern Environmental
Services, Inc. 63,200 2,149
- - LaSalle Partners Inc. 48,300 2,149
St. John Knits, Inc. 55,600 2,148
- - Boole & Babbage Inc. 89,943 2,147
Fluke Corp. 65,200 2,143
- - ATL Ultrasound, Inc. 46,900 2,140
Kuhlman Corp. 54,100 2,140
- - Micron Electronics, Inc. 176,900 2,134
- - Centennial Cellular Corp. 57,100 2,131
- - Glenayre Technologies, Inc. 198,125 2,130
Northwest Natural Gas Co. 76,150 2,130
- - Playtex Products, Inc. 133,600 2,129
- - Premisys Communications, Inc. 85,600 2,129
Kilroy Realty Corp. REIT 85,000 2,125
Kimball International, Inc. Class B 117,200 2,124
Long Island Bancorp, Inc. 34,900 2,120
Associated Banc-Corp. 56,294 2,118
Analysts International Corp. 74,500 2,114
Astoria Financial Corp. 39,521 2,114
Central Maine Power Co. 108,414 2,114
Apartment Investment &
Management Co. CA REIT 53,501 2,113
- - Hambrecht & Quist Group 58,200 2,113
- - Big Flower Holdings, Inc. 70,300 2,109
Gaylord Entertainment Co. Class A 65,375 2,108
- - Nuevo Energy Co. 65,600 2,107
- - Toll Brothers, Inc. 73,400 2,106
- - Cognex Corp. 113,800 2,105
- - Biomatrix, Inc. 51,300 2,103
- - Aspect Development, Inc. 27,800 2,102
Computer Task Group, Inc. 62,700 2,100
- - Security Dynamics
Technologies, Inc. 113,060 2,092
Alexander & Baldwin, Inc. 71,800 2,091
- - Superior Services Inc. 69,500 2,089
Tredegar Industries Inc. 24,600 2,088
- - Vanstar Corp. 142,900 2,081
D. R. Horton, Inc. 99,644 2,080
- - Avis Rent A Car, Inc. 84,000 2,079
- - Timberland Co. 28,900 2,079
McDonald & Co. Investments 63,320 2,078
- - CommScope, Inc. 128,308 2,077
- - Oak Industries, Inc. 58,700 2,077
Carlisle Co., Inc. 48,000 2,067
Health Care REIT, Inc. 81,000 2,066
- - Sun Healthcare Group, Inc. 141,200 2,065
New Jersey Resources Corp. 57,800 2,063
Prime Retail, Inc. REIT 172,700 2,062
- - Consolidated Graphies, Inc. 34,900 2,059
- - IDT Corp. 68,500 2,059
- - Mentor Graphics Corp. 194,900 2,059
- - MICROS Systems, Inc. 62,200 2,058
Bank North Group 55,600 2,057
First Commonwealth
Financial Corp. 72,800 2,057
- - Quest Diagnostics, Inc. 93,900 2,054
- - Whittman-Hart, Inc. 42,400 2,051
- - Midway Games Inc. 131,211 2,050
A.O. Smith Corp. 39,600 2,047
Liberty Corp. 40,600 2,043
- - Affiliated Managers Group, Inc. 55,000 2,042
- - SPS Technologies, Inc. 34,900 2,042
- - Cole National Corp. Class A 51,000 2,040
Great Atlantic & Pacific Tea
Co., Inc. 61,700 2,040
- - Imperial Credit 86,664 2,037
- - Dionex Corp. 77,200 2,036
Riggs National Corp. 69,500 2,031
Washington REIT 116,650 2,027
Morgan Keegan, Inc. 78,300 2,026
Vintage Petroleum, Inc. 107,300 2,025
Mentor Corp. 83,300 2,020
- - Ralcorp Holdings, Inc. 107,000 2,020
- - Essex International, Inc. 85,200 2,013
- - Theragenics Corp. 77,200 2,012
- - RCN Corp. 103,800 2,011
Trustco Bank 76,478 2,008
- - Labor Ready, Inc. 66,357 2,003
- - Dominick's Supermarkets, Inc. 44,900 2,001
- - C-Cube Microsystems, Inc. 107,700 1,999
- - Westwood One, Inc. 79,200 1,997
Oneida Ltd. 65,135 1,995
Watsco, Inc. 56,700 1,995
The Toro Co. 58,200 1,993
Excel Realty Trust, Inc. REIT 69,000 1,988
Mid Am Inc. 78,669 1,986
- - American Italian Pasta Co. 53,300 1,985
Regal-Beloit Corp. 69,600 1,984
- - RealNetworks, Inc. 53,100 1,981
Argonaut Group, Inc. 62,600 1,980
MAF Bancorp, Inc. 54,434 1,980
Foremost Corp. of America 81,800 1,973
The Trust Co. of New Jersey 73,070 1,973
- - ABR Information Services, Inc. 82,950 1,970
- - Rental Service Corp. 58,600 1,970
Snyder Oil Corp. 98,800 1,970
Standard Pacific Corp. 95,500 1,970
- - Organogenesis, Inc. 99,492 1,965
Bay View Capital Corp. 61,806 1,962
</TABLE>
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<CAPTION>
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MARKET
VALUE*
SHARES (000)
- ------------------------------------------------------------------------------------------
<S> <C> <C>
- - Ionics, Inc. 53,200 $ 1,962
- - Cable Design Technologies 94,850 1,956
Juno Lighting, Inc. 82,800 1,956
- - Budget Group, Inc. 61,200 1,955
JDN Realty Corp. REIT 61,300 1,954
Arch Coal, Inc. 78,500 1,953
- - Armco, Inc. 306,400 1,953
- - United International Holdings,
Inc. Class A 121,800 1,949
Gables Residential Trust REIT 71,500 1,939
- - Grand Casinos, Inc. 115,700 1,938
- - Consolidated Products Inc. 91,612 1,935
Cambrex Corp. 73,600 1,932
MacDermid, Inc. 68,400 1,932
- - SCM Microsystems,Inc. 30,900 1,931
CRIIMI MAE, Inc. REIT 138,900 1,927
- - Genesco, Inc. 118,100 1,927
- - Lattice Semiconductor Corp. 67,775 1,925
- - Medical Assurance, Inc. 69,289 1,923
- - Scholastic Corp. 48,200 1,922
- - Metromedia International
Group, Inc. 160,800 1,920
- - World Access, Inc. 64,000 1,920
- - Wolverine Tube, Inc. 50,500 1,919
F & M National Corp. 66,141 1,918
Bindly Western Industries, Inc. 58,000 1,914
- - Macromedia 102,400 1,914
Superior Industries
International, Inc. 67,900 1,914
- - Antec Corp. 82,400 1,911
- - Alliant Techsystems, Inc. 30,200 1,910
- - Sequa Corp. Class A 28,600 1,909
- - Integrated Device
Technology Inc. 266,500 1,907
Regency Realty Corp. REIT 75,900 1,907
Springs Industries Inc. Class A 41,300 1,905
- - IHOP Corp. 46,000 1,903
- - Berg Electronics Corp. 97,200 1,901
Irwin Financial Corp. 65,400 1,901
SCPIE Holdings Inc. 56,100 1,900
- - Sybase, Inc. 272,200 1,897
Amcore Financial 79,020 1,896
Ryland Group, Inc. 72,200 1,895
- - DoubleClick Inc. 38,100 1,893
W.H. Brady Class A 68,000 1,891
Anchor Bancorp Wisconsin Inc. 48,350 1,889
Chelsea GCA Realty, Inc. REIT 47,200 1,888
- - Serologicals Corp. 58,500 1,887
- - Documentum, Inc. 39,300 1,886
Quaker State Corp. 115,200 1,886
- - Vertex Pharmaceuticals, Inc. 83,800 1,886
Western Bancorp 44,700 1,886
- - Personnel Group of America, Inc. 94,200 1,884
- - BET Holdings Inc. Class A 29,900 1,882
- - Coherent Communications
Systems Corp. 40,200 1,882
- - HA-LO Industries, Inc. 60,450 1,882
- - Sierra Health Services 74,700 1,882
Northwestern Corp. 75,200 1,880
- - Visual Networks, Inc. 51,334 1,880
Heritage Financial Services, Inc. 54,600 1,877
- - Just for Feet, Inc. 65,850 1,877
Church & Dwight, Inc. 57,900 1,875
- - CHS Electronics, Inc. 104,700 1,872
Queens County Bancorp, Inc. 42,848 1,869
First Federal Savings Bank
of Colorado 67,300 1,868
Fleetwood Enterprises, Inc. 46,700 1,868
Kelly Services, Inc. Class A 52,800 1,868
John Alden Financial Corp. 84,800 1,866
J.M. Smucker Co. Class A 75,200 1,866
- - Metromedia Fiber Network, Inc. 40,000 1,865
Stewart & Stevenson
Services, Inc. 103,610 1,865
- - Security Capital Group Inc.
Class B 70,000 1,864
Eastern Utilities Associates 70,889 1,861
- - Physio-Control International Corp. 70,500 1,855
Pioneer Group, Inc. 70,500 1,855
- - Rayovac Corp. 81,700 1,854
CCA Prison Realty Trust REIT 60,500 1,853
Technitrol, Inc. 46,400 1,853
- - Black Box Corp. 55,800 1,852
- - Mid Atlantic Medical
Services, Inc. 160,600 1,847
Penncorp Financial Group Inc. 90,100 1,847
Poe & Brown, Inc. 49,650 1,846
- - Insignia Financial Group 75,300 1,845
Metris Cos., Inc. 28,900 1,842
Overseas Shipholding Group Inc. 90,300 1,840
- - Comfort Systems USA, Inc. 78,500 1,835
Cleveland-Cliffs Iron Co. 34,200 1,834
Weeks Corp. REIT 57,800 1,828
- - DSP Communications, Inc. 132,900 1,827
CTS Corp. 61,800 1,823
- - Tel-Save Holdings, Inc. 123,400 1,820
- - Affymetrix, Inc. 75,600 1,819
Wabash National Corp. 70,600 1,818
- - Emmis Broadcasting Corp.
Class A 38,000 1,817
First Source Corp. 50,759 1,815
Florida East Coast Railway Co. 62,000 1,814
Apogee Enterprises, Inc. 118,300 1,811
- - EarthLink Network, Inc. 23,600 1,811
Centex Construction Products, Inc. 47,000 1,810
Quanex Corp. 59,600 1,807
CenterPoint Properties Corp. REIT 54,600 1,805
Tennant Co. 40,800 1,805
Sun Communities, Inc. REIT 54,400 1,802
- - Anchor Gaming 23,200 1,801
Chittenden Corp. 51,418 1,800
- - Landstar System 51,500 1,799
Liberty Property Trust REIT 70,300 1,797
- - NCI Building Systems, Inc. 31,100 1,796
Mills Corp. REIT 74,700 1,793
National Golf Properties,
Inc. REIT 59,600 1,792
Manufactured Home
Communities, Inc. REIT 74,200 1,790
Clarcor Inc. 85,125 1,788
- - Eagle Hardware & Garden, Inc. 77,300 1,788
Otter Tail Power Co. 48,200 1,786
</TABLE>
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<CAPTION>
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MARKET
SMALL CAPITALIZATION VALUE*
STOCK PORTFOLIO SHARES (000)
- ------------------------------------------------------------------------------------------
<S> <C> <C>
- - Tom Brown, Inc. 94,700 $ 1,782
- - Ames Department Stores, Inc. 67,500 1,776
- - Hyperion Software Corp. 62,300 1,776
- - Micro Warehouse Inc. 114,600 1,776
- - NCS HealthCare, Inc. 62,300 1,776
- - Cooper Cos., Inc. 48,600 1,771
Urban Shopping Centers,
Inc. REIT 56,200 1,770
- - Genrad, Inc. 89,500 1,768
- - PSINet, Inc. 135,900 1,767
Patriot American Hospitality,
Inc. REIT 72,469 1,767
Bay State Gas Co. 46,076 1,765
- - Silgan Holdings, Inc. 63,000 1,764
American Health Properties, Inc. 70,500 1,763
Orion Capital Corp. 31,550 1,763
Presidential Life Corp. 82,500 1,763
Enesco Group, Inc. 57,300 1,762
Santa Barbara Bancorp 61,300 1,762
- - First Republic Bank 48,700 1,759
AmerUs Life Holdings, Inc. 54,292 1,758
Grief Brothers Corp. Class A 46,900 1,753
C & D Technology Inc. 30,200 1,752
American Heritage Life
Investment Corp. 75,664 1,750
Geon Co. 76,300 1,750
- - Hutchinson Technology, Inc. 64,200 1,749
- - American Eagle Outfitters, Inc. 45,300 1,747
John H. Harland Co. 103,100 1,746
- - STAR Telecommunications, Inc. 77,900 1,743
- - Curative Health Services Inc. 61,100 1,741
- - Electro Rent Corp. 77,558 1,740
Ballard Medical Products 96,466 1,736
Commonwealth Bancorp 75,600 1,734
Regis Corp. 58,600 1,732
Fair Issac & Co. 45,500 1,729
- - Information Resources, Inc. 93,400 1,728
CBL & Associates Properties,
Inc. REIT 71,200 1,727
Energen Corp. 85,700 1,725
- - StaffMark, Inc. 47,100 1,725
Florida Rock Industries, Inc. 58,900 1,719
- - Trans World Airlines 165,600 1,718
- - Vantive Corp. 83,800 1,718
Ruddick Corp. 94,700 1,716
- - Sequent Computer Systems, Inc. 142,200 1,715
- - Artesyn Technologies, Inc. 107,056 1,713
- - Xircom, Inc. 110,100 1,713
Phoenix Investment Partners Ltd. 197,100 1,712
Hollinger International, Inc. 100,600 1,710
JSB Financial 29,200 1,710
Werner Enterprises, Inc. 89,688 1,710
Bandag, Inc. 43,800 1,708
Sunstone Hotel Investors,
Inc. REIT 128,300 1,708
- - Host Marriott Services Corp. 116,940 1,703
Security Capital Atlantic,
Inc. REIT 76,200 1,700
Telxon Corp. 52,500 1,700
- - Lone Star Steakhouse &
Saloon, Inc. 122,900 1,698
- - Harken Energy Corp. 352,700 1,697
- - Trans World Entertainment Corp. 39,300 1,695
- - Sunglass Hut International, Inc. 153,100 1,694
- - Tetra Tech, Inc. 69,858 1,694
- - Cliffs Drilling Co. 51,514 1,690
Storage Trust Realty REIT 72,300 1,690
- - Credence Systems Corp. 88,900 1,689
- - U.S. Home Corp. 40,900 1,687
- - Steel Dynamics, Inc. 121,500 1,686
Block Drug Co. Class A 44,318 1,684
Protection One, Inc. 153,900 1,683
Alpharma, Inc. Class A 76,434 1,682
Superior Telecom Inc. 40,375 1,681
- - Billing Concepts Corp. 108,400 1,680
West Co., Inc. 59,300 1,679
- - American Tower Corp. Class A 67,160 1,675
- - Friedman, Billings, Ramsey
Group, Inc. 116,000 1,675
ChemFirst Inc. 66,300 1,674
- - Ligand Pharmaceuticals Class B 130,000 1,674
Black Hills Corp. 72,650 1,671
Capstead Mortgage Corp. 199,400 1,670
Irvine Apartment Communities,
Inc. REIT 57,700 1,670
Zero Corp. 58,700 1,666
- - On Assignment, Inc. 47,500 1,660
Standard Products Co. 59,025 1,660
Cash America International Inc. 108,812 1,659
National Bankcorp of Alaska Inc. 53,600 1,655
Republic Bancorp, Inc. 87,700 1,655
- - CNA Surety Corp. 112,000 1,652
National Penn Bancshares Inc. 48,526 1,650
Bank of Granite Corp. 52,218 1,645
- - Bell & Howell Co. 63,700 1,644
- - UniSource Energy Corp. 104,360 1,644
- - Respironics, Inc. 105,491 1,642
- - Neurex Corp. 54,000 1,640
- - KEMET Corp. 124,600 1,639
Fulton Financial Corp. 64,553 1,638
- - Station Casinos, Inc. 111,500 1,638
Albemarle Corp. 74,200 1,637
- - Banctec, Inc. 70,728 1,636
- - CB Richard Ellis Services, Inc. 48,929 1,636
- - Barr Labs Inc. 41,100 1,634
Elcor Corp. 64,650 1,632
- - K-V Pharmaceutical Co. Class B 70,750 1,632
Philadelphia Suburban Corp. 74,600 1,632
- - Charming Shoppes, Inc. 343,400 1,631
- - Sonic Corp. 72,900 1,631
- - Action Performance Cos., Inc. 50,600 1,629
- - Red Roof Inns, Inc. 96,200 1,629
- - Sangstat Medical Corp. 51,900 1,628
- - El Paso Electric Co. 177,000 1,626
Dynex Capital, Inc. 146,000 1,624
- - Yellow Corp. 87,450 1,623
- - Excel Switching Corp. 65,200 1,622
New England Business
Service, Inc. 50,300 1,622
- - Kent Electronics Corp. 88,400 1,619
- - Furniture Brands International Inc. 57,600 1,616
- - Southwest Bancorporation of
Texas, Inc. 85,800 1,614
</TABLE>
32
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<CAPTION>
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MARKET
VALUE*
SHARES (000)
- ------------------------------------------------------------------------------------------
<S> <C> <C>
F.N.B. Corp. 48,268 $ 1,611
- - Paxar Corp. 139,956 1,609
- - Stillwater Mining Co. 59,300 1,609
- - Adtran, Inc. 61,500 1,607
Standex International Corp. 54,200 1,606
- - Parker Drilling Co. 227,200 1,605
Del Webb Corp. 61,796 1,603
- - Broderbund Software, Inc. 70,200 1,601
- - Franklin Covey Co. 82,900 1,596
Healthcare Realty Trust Inc. 58,400 1,591
- - Silicon Valley Group, Inc. 98,900 1,589
International Multifoods Corp. 57,700 1,587
- - Terex Corp. 55,700 1,587
- - Littelfuse, Inc. 62,800 1,586
- - Conmed Corp. 68,850 1,584
TNP Enterprises, Inc. 51,300 1,584
- - Access Health Marketing, Inc. 62,049 1,582
- - Knoll, Inc. 53,600 1,581
Sterling Bancshares, Inc. 100,200 1,578
- - White River 17,426 1,577
- - Transkaryotic Therapies, Inc. 61,200 1,576
Equity Inns, Inc. REIT 119,100 1,571
InterWest Bancorp Inc. 36,200 1,570
TJ International, Inc. 52,100 1,570
- - Veterinary Centers of
America, Inc. 83,400 1,569
- - Checkpoint Systems, Inc. 110,900 1,566
Central Parking Corp. 34,400 1,565
- - Dollar Thrifty Automotive
Group, Inc. 118,100 1,565
- - SportsLine USA, Inc. 42,800 1,565
- - PathoGenesis Corp. 53,900 1,563
Mainstreet Financial Corp. 52,900 1,561
Omega Financial Corp. 43,200 1,561
Thomas Industries, Inc. 63,750 1,558
United Water Resources, Inc. 86,468 1,556
- - Tesoro Petroleum Corp. 97,900 1,554
- - Vlasic Foods International, Inc. 77,100 1,552
F & M Bancorporation, Inc. 37,140 1,551
Roadway Express Inc. 82,100 1,550
Michael Foods Group, Inc. 52,600 1,545
Taubman Co. REIT 108,400 1,545
Schweitzer-Mauduit
International, Inc. 53,000 1,537
- - Borg-Warner Security Corp. 67,900 1,536
- - Cymer, Inc. 95,200 1,535
Bradley Real Estate Inc. REIT 72,600 1,534
- - Landry's Seafood Restaurants, Inc. 84,800 1,534
- - Triumph Group, Inc. 36,500 1,533
- - Pediatrix Medical Group, Inc. 41,200 1,532
LTC Properties, Inc. 82,200 1,531
- - Cuno Inc. 70,750 1,530
Chemical Finance 35,850 1,530
Doral Financial Corp. 87,400 1,530
- - Exodus Communications, Inc. 34,200 1,530
- - American Oncology
Resources, Inc. 125,100 1,529
American General Hospitality
Corp. REIT 71,900 1,528
- - Forest Oil Corp. 106,700 1,527
Hancock Holding Co. 28,807 1,527
- - Handleman Co. 132,800 1,527
- - Lands' End, Inc. 48,300 1,527
Lindsay Manufacturing Co. 55,995 1,519
- - Duane Reade Inc. 50,600 1,518
Brenton Banks, Inc. 74,136 1,515
Ruby Tuesday, Inc. 97,750 1,515
- - Plains Resources 84,400 1,514
Albany International Corp. 63,215 1,513
- - PFF Bancorp, Inc. 81,200 1,512
Ocean Financial Corp. 79,000 1,511
- - CoreComm Inc. 57,500 1,509
- - Petco Animal Supplies, Inc. 75,700 1,509
- - Financial Federal Corp. 56,250 1,508
Glimcher Realty Trust REIT 77,600 1,508
Lawter International Inc. 138,566 1,507
Empire District Electric Co. 72,070 1,504
- - Triad Guaranty, Inc. 44,200 1,503
Advanta Corp. Class A 68,480 1,502
- - American Media Class A 226,500 1,501
- - Enzo Biochem, Inc. 112,203 1,501
- - Franchise Mortgage
Acceptance Co. LLC 57,600 1,501
- - Collins & Aikman Corp. 201,700 1,500
- - IDEC Pharmaceuticals Corp. 63,500 1,496
- - Seitel, Inc. 92,400 1,496
- - Triarc Cos., Inc. Class A 68,200 1,496
- - Value City Department Stores, Inc. 71,200 1,495
- - Marshall Industries 54,700 1,491
Brown Group, Inc. 74,900 1,489
- - The Dress Barn, Inc. 59,800 1,488
Dimon Inc. 132,200 1,487
Dreyer's Grand Ice Cream, Inc. 73,900 1,487
Mississippi Chemical Corp. 90,465 1,487
Koger Equity, Inc. REIT 73,400 1,482
AMLI Residential Properties
Trust REIT 69,100 1,481
- - Arterial Vascular Engineering, Inc. 41,400 1,480
- - The Sports Authority, Inc. 99,100 1,480
Deltic Timber Corp. 59,000 1,479
Furon Co. 81,600 1,479
Diagnostic Products Corp. 51,300 1,478
Lilly Industries Inc. Class A 68,350 1,478
Cabot Oil & Gas Corp. Class A 73,826 1,477
MGI Properties, Inc. REIT 56,400 1,477
- - Friede Goldman International, Inc. 51,100 1,476
- - Trimble Navigation Ltd. 91,200 1,476
- - DII Group, Inc. 86,446 1,475
- - Mariner Health Group, Inc. 88,750 1,475
- - Alternate Living Services, Inc. 54,600 1,474
- - Cellnet Data Systems 152,200 1,474
Elizabethtown Corp. 39,300 1,474
- - Garden Ridge Corp. 76,100 1,474
Coachmen Industries, Inc. 56,400 1,473
- - American Homestar Corp. 61,500 1,472
Oriental Financial Group 39,900 1,471
Applied Industrial Technology, Inc. 71,500 1,470
- - CDW Computer Centers, Inc. 29,400 1,470
- - RMI Titanium Co. 64,600 1,470
EVEREN Capital Corp. 52,400 1,467
- - Techne 76,928 1,466
The Standard Register Co. 41,400 1,465
</TABLE>
33
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<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------
MARKET
SMALL CAPITALIZATION VALUE*
STOCK PORTFOLIO SHARES (000)
- ------------------------------------------------------------------------------------------
<S> <C> <C>
- - Vicor Corp. 105,500 $ 1,464
- - O'Reilly Automotive, Inc. 40,600 1,462
- - Vitalink Pharmacy Services, Inc. 66,283 1,462
Sbarro, Inc. 53,800 1,459
Capstone Capital Corp. 63,100 1,451
ABM Industries 52,000 1,450
L. S. Starrett Co. Class A 36,700 1,450
First United Bancshares, Inc. 29,600 1,447
Guilford Mills, Inc. 72,300 1,446
- - Greyhound Lines, Inc. 238,300 1,445
- - Medaphis Corp. 240,750 1,445
Rock-Tenn Co. 115,060 1,445
- - ADAC Laboratories 63,933 1,438
Allied Capital Corp. 58,700 1,438
- - Cort Business Services Corp. 45,600 1,436
- - Maxxam Inc. 25,300 1,436
- - Equity Corporation International 59,800 1,435
Rollins, Inc. 69,900 1,433
- - Goody's Family Clothing 26,100 1,432
- - U.S. Filter Corp. 51,043 1,432
- - Canandaigua Brands, Inc. Class A 29,100 1,431
- - International Rectifier Corp. 168,200 1,430
- - Finish Line, Inc. 50,800 1,429
- - Arcadia Financial Ltd. 188,800 1,428
- - Sunrise Medical, Inc. 95,200 1,428
- - Oakley, Inc. 106,600 1,426
- - Amerco, Inc. 48,420 1,425
- - Hexcel Corp. 63,000 1,425
CalMat Co. 64,700 1,423
Community Trust Bancorp Inc. 42,760 1,422
- - Global Industrial Technologies, Inc. 98,900 1,422
- - Ventana Medical Systems, Inc. 50,800 1,422
- - Amresco, Inc. 48,800 1,421
General Chemical Group, Inc. 51,200 1,421
- - The North Face, Inc. 59,200 1,421
Analogic Corp. 31,700 1,419
- - Swift Transportation Co., Inc. 71,600 1,419
- - National Surgery Centers, Inc. 48,800 1,418
Post Properties, Inc. REIT 36,826 1,418
- - Ocular Sciences, Inc. 43,600 1,417
Mid-America Apartment
Communities, Inc. REIT 53,800 1,416
Sturm, Ruger & Co., Inc. 84,500 1,415
- - Iron Mountain, Inc. 31,600 1,414
- - MotivePower Industries Inc. 57,700 1,414
PXRE Corp. 47,133 1,414
Methode Electronics, Inc. Class A 91,100 1,412
Oregon Steel Mills, Inc. 75,800 1,412
Myers Industries, Inc. 58,597 1,406
- - Quiksilver, Inc. 70,500 1,406
- - VeriSign, Inc. 37,600 1,405
Bassett Furniture Industries, Inc. 49,825 1,404
- - Abacus Direct Corp. 27,000 1,402
- - Ryan's Family Steak Houses, Inc. 136,700 1,401
- - Thermo Cardiosystems Inc. 61,600 1,401
JP Realty Inc. REIT 59,300 1,397
- - Protein Design Labs 58,000 1,397
Mack-Cali Realty Corp. REIT 40,600 1,396
Daniel Industries, Inc. 73,400 1,395
Merrill Corp. 63,200 1,394
Landauer, Inc. 46,600 1,392
Richmond County Financial Corp. 74,500 1,392
Brush Wellman, Inc. 67,600 1,390
Alfa Corp. 66,900 1,388
- - Ocwen Financial Corp. 51,600 1,387
- - Marquette Medical Systems Inc. 54,000 1,385
Laclede Gas Co. 56,500 1,384
- - MRV Communications Inc. 66,600 1,382
- - Arbor Software Corp. 43,934 1,381
- - Staff Leasing,Inc. 46,800 1,381
North Carolina Natural Gas Corp. 54,202 1,375
- - The Cheesecake Factory 60,750 1,374
- - Holophane Corp. 53,900 1,374
- - Long Beach Financial Corp. 124,600 1,371
- - Manugistics Group, Inc. 55,400 1,371
Essex Property Trust, Inc. REIT 44,200 1,370
- - LaSalle Hotel Properties REIT 80,900 1,370
Lance, Inc. 61,200 1,369
Northwest Bancorp, Inc. 86,600 1,369
- - Applied Graphics
Technologies, Inc. 29,900 1,368
US Bancorp, Inc. 17,700 1,368
E.W. Blanch Holdings, Inc. 37,200 1,367
United Television, Inc. 11,929 1,366
- - Veritas Software Corp. 33,025 1,366
Anthracite Capital Inc. 98,400 1,365
Chiquita Brands International, Inc. 97,100 1,365
- - Datascope Corp. 51,400 1,365
- - Read Rite Corp. 150,500 1,364
- - ISIS Pharmaceuticals, Inc. 99,600 1,363
- - Kirby Corp. 53,900 1,361
NUI Corp. 53,400 1,358
Gerber Scientific, Inc. 59,600 1,356
Valmont Industries, Inc. 67,900 1,356
- - Atwood Oceanics, Inc. 34,000 1,354
- - Consolidated Freightways Corp. 96,900 1,351
Scotsman Industries, Inc. 48,700 1,351
- - Caribiner International, Inc. 77,100 1,349
- - Griffon Corp. 105,300 1,349
- - Hanover Direct, Inc. 399,400 1,348
WD-40 Co. 49,700 1,348
- - Grey Wolf, Inc. 422,300 1,346
Wynn's International Inc. 69,850 1,345
Commercial Net Lease
Realty REIT 83,000 1,344
- - Getchell Gold Corp. 89,613 1,344
- - JDA Software Group, Inc. 30,700 1,343
- - Southern Union Co. 41,564 1,340
Simpson Industries, Inc. 97,800 1,339
- - CCC Information Services Group 81,000 1,337
- - Genesys Telecommunications
Laboratories, Inc. 40,400 1,336
Titanium Metals Corp. 60,500 1,335
Westbanco Inc. 49,625 1,334
- - Photronics Labs Inc. 60,400 1,333
Commercial Metals Co. 43,266 1,330
Investors Financial Services
Corp. Class A 25,100 1,330
Winnebago Industries, Inc. 104,300 1,330
- - Siliconix, Inc. 54,200 1,328
Tootsie Roll Industries, Inc. 17,300 1,328
</TABLE>
34
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<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ------------------------------------------------------------------------------------------
<S> <C> <C>
Public Service Co. of North
Carolina, Inc. 61,000 $ 1,327
Gleason Corp. 47,100 1,325
- - Industri-Matematik
International Corp. 121,100 1,325
- - Lo-Jack Corp. 106,400 1,323
Calgon Carbon Corp. 132,900 1,321
- - Coherent, Inc. 77,000 1,321
- - Remedy Corp. 77,600 1,319
Westinghouse Air Brake Co. 50,000 1,319
Entertainment Properties
Trust REIT 72,200 1,318
- - Verio Inc. 53,000 1,318
Duff & Phelps Credit Rating 23,600 1,316
Trenwick Group Inc. 33,850 1,315
Matthews International Corp. 53,500 1,314
- - Oceaneering International, Inc. 74,000 1,314
- - QRS Corp. 34,900 1,313
Aames Financial Corp. 95,250 1,310
P.H. Glatfelter Co. 82,800 1,309
Nature's Sunshine Inc. 57,982 1,308
Triangle Bancorp, Inc. 41,600 1,305
- - U.S. Foodservice 37,231 1,305
Ethan Allen Interiors, Inc. 26,100 1,303
Farmer Brothers, Inc. 5,450 1,303
- - Trigon Healthcare, Inc. 36,000 1,303
Luby's Cafeterias, Inc. 74,000 1,300
Western Investment Real
Estate Trust REIT 95,000 1,300
California Water Service Group 51,626 1,297
- - Bank Plus Corp. 105,800 1,296
- - Fairchild Corp. 64,200 1,296
- - Complete Business Solutions, Inc. 36,000 1,294
- - The Petersen Cos., Inc. 50,500 1,294
- - Vencor, Inc. 178,285 1,293
- - Kulicke & Soffa Industries, Inc. 76,000 1,292
- - Diamond Multimedia
Systems, Inc. 188,463 1,290
TCA Cable Television, Inc. 21,500 1,290
- - Inacom Corp. 40,600 1,289
Chemed Corp. 37,800 1,288
- - Ultratech Stepper, Inc. 65,100 1,286
- - Halter Marine Group, Inc. 85,300 1,285
Tejon Ranch Co. 48,500 1,285
- - Magnatek 81,500 1,284
West Coast Bancorp 52,150 1,284
GBC Bancorp 48,400 1,283
Circle International Group, Inc. 45,700 1,280
- - Hamilton Bancorp, Inc. 35,500 1,279
- - QLogic Corp. 35,700 1,274
Phillips-Van Heusen Corp. 86,300 1,273
- - CSK Auto Corp. 50,300 1,270
- - Interdigital Communications Corp. 236,300 1,270
- - Open Market, Inc. 67,300 1,270
- - The Carbide/Graphite Group, Inc. 45,600 1,268
- - Gaylord Container Corp. 164,900 1,268
- - Gensia Sicor Inc. 317,060 1,268
- - Castle & Cooke Inc. 66,700 1,267
Crown American Realty
Trust REIT 130,800 1,267
Texas Regional Bancshares, Inc. 38,700 1,267
Ameron International Corp. 21,900 1,266
- - Metals USA, Inc. 73,375 1,266
Westfield America, Inc. REIT 68,900 1,266
- - Inhale Therapeutic Systems 51,100 1,265
- - Integrated Systems, Inc. 82,300 1,265
- - Hollywood Entertainment Corp. 93,200 1,264
Imperial Credit Commercial
Mortgage Investment CREIT 96,800 1,264
BankAtlantic Bancorp, Inc.
Class B 98,100 1,263
- - Millennium Pharmaceuticals, Inc. 89,400 1,263
- - Scios, Inc. 142,335 1,263
- - Pharmaceutical Product
Development, Inc. 57,371 1,262
Town & Country Trust REIT 76,100 1,260
UniFirst Corp. 50,400 1,260
- - NFO Worldwide, Inc. 70,700 1,259
Barnes Group, Inc. 46,500 1,258
- - Micrel, Inc. 38,700 1,258
- - Plexus Corp. 63,300 1,258
- - Signature Resorts, Inc. 76,250 1,258
- - TMP Worldwide, Inc. 36,000 1,256
- - Roberts Pharmaceuticals 54,500 1,254
- - Getty Images, Inc. 56,300 1,253
- - Network Solutions, Inc. Class A 27,800 1,251
- - P-Com, Inc. 136,600 1,251
Authentic Fitness Corp. 79,000 1,249
- - Inprise Corp. 169,100 1,247
Price Enterprises, Inc. 67,600 1,242
Tremont Corp. 22,065 1,240
- - Cellstar Corp. 95,800 1,239
- - Aftermarket Technology Corp. 66,000 1,238
Watts Industries Class A 59,200 1,236
RFS Hotel Investors, Inc. REIT 65,000 1,235
- - Wyman-Gordon Corp. 61,900 1,234
Hunt Corp. 52,000 1,232
- - Mesaba Holdings, Inc. 53,550 1,232
- - SMART Modular
Technologies Inc. 84,100 1,230
Corus Bankshares Inc. 30,500 1,228
Innkeepers USA Trust REIT 97,300 1,228
United Cos. Finance Corp. 78,602 1,228
- - GC Cos. 23,650 1,227
- - Stone Energy Corp. 34,500 1,227
Commercial Intertech Corp. 67,650 1,226
- - Musicland Stores Corp. 87,600 1,226
- - Gymboree Corp. 80,800 1,225
- - Primus Telecommunications
Group, Inc. 64,700 1,225
Birmingham Steel Corp. 98,900 1,224
- - National Western Life Insurance
Co. Class A 10,100 1,222
Russ Berrie, Inc. 48,800 1,220
- - Semtech Corp. 69,000 1,220
Stone & Webster, Inc. 30,800 1,220
- - Offshore Logistics, Inc. 68,700 1,219
Carolina First Corp. 48,000 1,218
MTS Systems Corp. 75,800 1,218
- - Pacific Gateway Exchange, Inc. 30,400 1,218
- - Alkermes, Inc. 67,900 1,214
- - Rainforest Cafe, Inc. 87,450 1,213
</TABLE>
35
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<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------
MARKET
SMALL CAPITALIZATION VALUE*
STOCK PORTFOLIO SHARES (000)
- ------------------------------------------------------------------------------------------
<S> <C> <C>
Varlen Corp. 35,000 $ 1,208
- - SPS Transaction Services 38,400 1,205
WSFS Financial Corp. 58,800 1,205
- - TCI Satellite Entertainment, Inc.
Class A 204,890 1,204
- - Kenneth Cole Productions, Inc. 46,500 1,203
John Nuveen Co. Class A 30,300 1,203
- - Alexander's, Inc. 13,500 1,202
Arrow International, Inc. 43,800 1,202
Life USA Holding, Inc. 92,800 1,201
- - HomeBase, Inc. 151,200 1,200
Mine Safety Appliances Co. 16,000 1,200
Resource America, Inc. 40,500 1,200
Terra Industries, Inc. 133,200 1,199
- - Andrx Corp. 32,600 1,198
Apple South, Inc. 91,550 1,196
- - Specialty Teleconstructors, Inc. 32,300 1,195
Walden Residential Properties,
Inc. REIT 48,700 1,193
- - Brylane, Inc. 25,900 1,191
Life Technologies, Inc. 37,950 1,191
- - Shorewood Packaging Corp. 75,000 1,191
Aquarion Co. 34,806 1,190
- - Family Golf Centers, Inc. 47,000 1,190
- - Wesley Jessen VisionCare, Inc. 51,400 1,189
- - ACX Technologies Inc. 54,600 1,188
Grey Advertising, Inc. 3,000 1,188
Allied Products Corp. 55,950 1,185
BSB Bancorp, Inc. 39,150 1,184
- - Cor Therapeutics, Inc. 85,300 1,184
- - Acuson Corp. 65,050 1,183
Ocwen Asset Investment Corp. 71,300 1,181
Intermet Corp. 65,100 1,180
Berkshire Realty Co., Inc. REIT 100,600 1,176
- - Chase Industries, Inc. 59,550 1,176
Foamex International, Inc. 67,400 1,175
- - OEC Medical Systems, Inc. 52,200 1,175
- - Pegasystems Inc. 43,300 1,175
- - Dal-Tile International Inc. 119,600 1,174
- - Intergraph Corp. 136,600 1,170
RPC Inc. 93,600 1,170
Home Properties of New York,
Inc. REIT 43,800 1,169
- - BT Office Products
International, Inc. 86,500 1,168
IRT Property Co. REIT 106,198 1,168
National Presto Industries, Inc. 30,000 1,168
- - Palm Harbor Homes, Inc. 27,343 1,166
Inter-Tel, Inc. 72,800 1,165
- - Highlands Insurance Group 62,930 1,164
The Ackerley Group, Inc. 55,400 1,163
- - MiniMed, Inc. 22,200 1,163
- - SITEL Corp. 175,600 1,163
- - Sapient Corp. 22,000 1,161
Curtiss-Wright Corp. 29,600 1,160
Interpool, Inc. 80,350 1,160
- - California Microwave, Inc. 66,200 1,159
- - Evans & Sutherland
Computer Corp. 46,000 1,159
- - Esterline Technologies Corp. 56,200 1,156
- - Ascent Entertainment Group, Inc. 103,829 1,155
Skyline Corp. 35,400 1,155
- - Agribrands International, Inc. 38,100 1,153
AMCOL International Corp. 95,550 1,153
- - CNET, Inc. 16,900 1,153
- - Barnett, Inc. 56,800 1,150
- - Hecla Mining Co. 216,200 1,149
- - Louis Dreyfus Natural Gas Corp. 60,596 1,148
- - Apria Healthcare 171,500 1,147
- - ISS Group, Inc. 30,400 1,144
Tanger Factory Outlet Centers,
Inc. REIT 36,100 1,144
- - OMI Corp. 142,800 1,142
- - Lone Star Technologies, Inc. 74,700 1,139
- - Adelphia Communications Corp.
Class A 30,600 1,136
OmniQuip International, Inc. 61,400 1,136
- - Sunrise Assisted Living, Inc. 32,900 1,131
- - Electro Scientific Industries, Inc. 35,800 1,130
First Financial Holdings, Inc. 47,500 1,128
Berry Petroleum Class A 86,600 1,126
- - Hvide Marine, Inc. Class A 82,700 1,122
Kansas City Life Insurance Co. 12,330 1,122
Wackenhut Corp. 49,600 1,122
Bedford Property Investors,
Inc. REIT 61,300 1,119
- - AirTran Holdings, Inc. 148,500 1,118
- - Lason Holdings, Inc. 20,500 1,117
- - Intersolv 69,400 1,115
- - BA Merchant Services, Inc.
Class A 55,200 1,114
- - Electroglas, Inc. 85,200 1,113
- - Renters Choice, Inc. 39,200 1,112
Great Lakes, Inc. REIT 63,700 1,111
Pulitzer Publishing Co. 12,449 1,111
Justin Industries, Inc. 68,750 1,109
- - Advent Software, Inc. 26,300 1,105
Carter-Wallace, Inc. 61,200 1,105
- - Gadzooks, Inc. 40,000 1,103
Guarantee Life Cos., Inc. 50,400 1,103
- - Aztar Corp. 161,600 1,101
- - BRC Holdings Inc. 57,400 1,101
- - IGEN International, Inc. 26,900 1,100
- - Heska Corp. 99,200 1,097
- - Schein Pharmaceutical, Inc. 41,200 1,097
A.M. Castle & Co. 49,825 1,096
Citizens Corp. 35,000 1,096
Pier 1 Imports Inc. 45,887 1,096
- - Ducommun, Inc. 54,750 1,095
- - Res-Care, Inc. 59,400 1,095
- - Risk Capital Holdings, Inc. 43,900 1,095
- - Applied Micro Circuits Corp. 42,200 1,092
- - The Meridian Resource Corp. 154,544 1,091
- - Biotechnology General 153,700 1,090
- - Network Equipment
Technologies, Inc. 69,500 1,090
- - Swift Energy Co. 68,420 1,090
United Fire & Casualty Co. 27,825 1,090
- - Cotelligent Group, Inc. 46,400 1,085
- - Chirex, Inc. 61,700 1,084
- - IDX Systems Corp. 23,480 1,082
- - Columbia Banking System, Inc. 54,400 1,081
</TABLE>
36
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<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ------------------------------------------------------------------------------------------
<S> <C> <C>
- - Hollywood Park, Inc. 85,600 $ 1,081
- - Mycogen Corp. 44,900 1,079
- - Canandaigua Brands, Inc. Class B 22,100 1,077
Chartwell Re Corp. 36,600 1,077
- - New Era of Networks, Inc. 35,300 1,077
- - Party City Corp. 36,600 1,075
- - Independence Community
Bank Corp. 63,100 1,073
- - Data Processing Resources Corp. 34,500 1,072
- - USCS International, Inc. 51,640 1,068
- - Vincam Group, Inc. 54,400 1,068
Coca-Cola Bottling Co. 16,122 1,066
First Western Bancorp 36,200 1,066
Titan International, Inc. 62,500 1,063
- - Haemonetics Corp. 66,250 1,060
Robbins & Myers, Inc. 36,478 1,060
- - Carmike Cinemas, Inc. Class A 39,100 1,053
- - Columbia Sportswear Co. 55,400 1,053
Pittston BAX Group 67,600 1,052
- - McWorter Technologies Inc. 39,650 1,048
- - Renaissance Worldwide, Inc. 48,100 1,046
- - Clarify, Inc. 77,300 1,044
Zeigler Coal Holding Co. 60,900 1,043
- - CSS Industries, Inc. 31,800 1,041
Delta & Pine Land Co. 23,376 1,040
- - Scott Technologies, Inc. Class A 71,100 1,040
Summit Properties, Inc. REIT 54,900 1,040
Mitchell Energy & Development
Corp. Class A 51,900 1,038
- - Rio Hotel and Casino, Inc. 54,900 1,036
- - Paxson Communications Corp. 85,300 1,034
- - Pinkerton's, Inc. 49,800 1,033
American Annuity Group Inc. 42,800 1,030
ARM Financial Group, Inc. 46,500 1,029
- - Administaff, Inc. 22,300 1,029
Arnold Industries, Inc. 69,700 1,028
Exide Corp. 61,100 1,027
Pioneer Standard Electronics Inc. 106,550 1,026
- - VIASOFT, Inc. 63,400 1,026
- - Aviall Inc. 74,875 1,025
Fremont General Corp. 18,910 1,025
Thornburg Mortgage Asset Corp. 84,100 1,025
- - Benton Oil & Gas Co. 96,400 1,024
- - Davox Corp. 46,700 1,022
- - Hain Food Group, Inc. 39,500 1,022
Kimco Realty Corp. REIT 24,900 1,021
- - Heartland Express, Inc. 50,308 1,019
- - Merisel, Inc. 354,500 1,019
South Jersey Industries, Inc. 36,836 1,018
- - Komag, Inc. 190,200 1,016
- - Hartmarx Corp. 133,100 1,007
First Financial Bankshares, Inc. 24,500 1,005
- - Planet Hollywood International,
Inc. Class A 143,500 1,005
BancFirst Corp. 21,600 1,004
N L Industries, Inc. 50,200 1,004
- - Zila, Inc. 138,300 1,003
- - Algos Pharmaceutical Corp. 37,000 999
- - Project Software &
Development, Inc. 49,800 999
- - Closure Medical Corp. 40,000 995
- - Natural Microsystems Corp. 62,100 994
Boykin Lodging Co. REIT 45,700 991
- - RemedyTemp, Inc. 34,100 991
- - Comstock Resources, Inc. 132,900 988
- - 99 Cents Only Stores 23,800 988
- - TETRA Technologies, Inc. 59,800 987
- - Bio-Rad Laboratories, Inc.
Class A 32,200 986
Republic Security Financial Corp. 86,200 986
- - Rutherford-Moran Oil Corp. 49,000 986
Impac Mortgage Holdings, Inc. 63,200 984
- - PictureTel Corp. 106,400 984
- - Teletech Holdings Inc. 80,000 980
- - Discount Auto Parts Inc. 37,600 978
American Business Products, Inc. 47,500 974
- - Boise Cascade Office
Products Corp. 62,700 972
Getty Realty Holding Corp. 50,000 969
Associated Estates Realty
Corp. REIT 51,800 968
CVB Financial Corp. 39,900 968
- - NPC International Class A 79,000 968
- - U.S. Bioscience 118,200 968
- - Boyd Gaming Corp. 168,200 967
Madison Gas & Electric Co. 42,275 967
Standard Motor Products, Inc. 43,400 966
Pacific Gulf Properties, Inc. REIT 45,300 965
- - Pool Energy Service Co. 65,400 965
NYMAGIC, Inc. 35,100 961
- - Stein Mart, Inc. 71,100 960
- - Vical, Inc. 56,700 960
Pennsylvania REIT 43,200 959
- - Sykes Enterprises, Inc. 47,700 957
- - 3Dfx Interactive, Inc. 55,900 957
- - Lydall, Inc. 65,600 955
CPI Corp. 40,000 953
- - Great Plains Software, Inc. 28,100 952
- - Daisytek International Corp. 37,400 951
Burlington Coat Factory
Warehouse Corp. 42,240 950
- - International Technology 99,993 950
- - Forrester Research, Inc. 23,800 946
First Union Real Estate REIT 102,200 945
- - HMT Technology Corp. 112,400 941
OEA, Inc. 58,800 941
- - Rogers Corp. 28,500 941
- - AmeriTrade Holding Corp. 34,800 940
- - Comverse Technology, Inc. 18,080 938
HealthPlan Services Corp. 53,600 938
- - Polymer Group, Inc. 80,700 938
- - NeXstar Pharmaceuticals Inc. 93,900 936
Western Gas Resources, Inc. 64,000 936
Westcorp, Inc. 68,000 935
- - Alpine Group, Inc. 45,000 934
- - Quaker Fabric Corp. 64,700 934
KCS Energy, Inc. 81,600 933
- - TriStar Aerospace Co. 60,100 932
- - Avatar Holding, Inc. 33,400 931
- - CDI Corp. 34,800 931
- - FSI International, Inc. 96,100 931
- - Digital Microwave Corp. 128,100 929
</TABLE>
37
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<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------
MARKET
SMALL CAPITALIZATION VALUE*
STOCK PORTFOLIO SHARES (000)
- ------------------------------------------------------------------------------------------
<S> <C> <C>
- - EchoStar Communications Corp. 38,600 $ 929
Reliance Bancorp, Inc. 24,200 927
Vermont Financial Services Corp. 33,800 927
- - Powertel Inc. 50,000 925
- - Aura Systems, Inc. 476,800 924
Conectiv, Inc. 45,075 924
- - General Cigar Holdings, Inc. 93,600 924
- - Advantage Learning Systems, Inc. 33,700 923
- - Cone Mills Corp. 106,700 920
- - Fisher Scientific International Inc. 63,700 920
- - Veeco Instruments, Inc. 37,000 920
- - West TeleServices Corp. 75,600 917
- - Coinmach Laundry Corp. 38,700 914
- - Mapics Inc. 46,400 914
- - Unitrode Corp. 79,500 914
- - Shiva Corp. 109,000 913
Holly Corp. 35,400 912
Southwestern Energy Co. 99,300 912
Vesta Insurance Group, Inc. 42,750 911
- - Microage, Inc. 64,100 909
- - SEQUUS Pharmaceuticals, Inc. 79,900 909
- - Actel Corp. 84,500 908
- - Computer Learning Centers, Inc. 36,500 908
- - US LEC Corp. 43,500 908
- - McLeod, Inc. 23,300 906
- - Guilford Pharmaceuticals, Inc. 50,900 897
- - DuPont Photomasks, Inc. 25,900 894
- - Gibson Greetings, Inc. 35,700 893
Skywest, Inc. 31,900 893
- - H.T.E., Inc. 66,100 892
- - N2K Inc. 45,400 891
PS Business Parks, Inc. REIT 37,900 891
- - SFX Entertainment, Inc. 19,400 890
- - Group Maintenance
America Corp. 49,400 889
- - Allen Telecom Inc. 76,260 887
- - Advanced Lighting
Technologies, Inc. 38,100 886
Harleysville National Corp. 20,798 884
Yankee Energy Systems 35,900 884
Helix Technology Corp. 58,800 882
Colonial BancGroup, Inc. 27,200 877
- - CommNet Cellular Inc. 59,700 877
United Wisconsin Services, Inc. 30,900 877
Zenith National Insurance Corp. 31,100 877
- - General Communication, Inc. 144,400 875
- - Performance Food Group Co. 43,950 874
- - U.S. Satellite Broadcasting Co.,
Inc. Class A 74,600 872
- - VWR Scientific Products Corp. 35,400 872
- - Alternative Resources Corp. 70,300 870
- - MTI Technology Corp. 94,900 869
St. Mary Land & Exploration Co. 36,040 869
- - Sabratek Corp. 38,100 867
- - TAVA Technologies, Inc. 87,800 867
- - JLK Direct Distribution Inc.
Class A 39,600 866
- - SanDisk Corp. 62,700 866
- - Deltek Systems, Inc. 35,100 860
- - DVI, Inc. 33,700 859
- - Stoneridge,Inc. 47,000 858
- - Investment Technology
Group, Inc. 31,100 855
- - Kaiser Aluminum &
Chemical Corp. 89,400 855
- - Integrated Process
Equipment Corp. 75,900 854
- - Trico Marine Services, Inc. 62,400 854
- - Itron, Inc. 66,900 853
- - Columbia Laboratories Inc. 148,200 852
- - Liposome Co., Inc. 157,600 852
Granite Construction Co. 27,700 848
- - SOS Staffing Services, Inc. 48,300 848
- - Transition Systems, Inc. 79,800 848
- - TransMontaigne Oil Co. 57,000 848
- - Commonwealth Telephone
Enterprises, Inc. 31,999 844
- - Hadco Corp. 36,200 844
- - BankUnited Financial Corp. 51,100 843
- - Perclose, Inc. 29,800 842
U.S. Restaurant Properties,
Inc. REIT 31,100 842
Financial Security Assurance
Holdings Ltd. 14,300 840
X-Rite Inc. 61,400 840
Norrell Corp. 42,100 839
Bank United Corp. Class A 17,500 838
- - The Kroll-O'Gara Co. 39,200 838
- - Dril-Quip, Inc. 31,900 837
- - Hologic, Inc. 46,000 837
- - IMC Mortgage Co. 79,200 837
- - Ryerson Tull, Inc. Class A 40,800 836
- - AirNet Systems, Inc. 51,200 826
National Steel Corp. Class B 69,200 822
- - PLATINUM technology, Inc. 28,777 822
Dames & Moore Group 63,800 821
- - Nimbus CD International, Inc. 72,100 820
- - ONSALE, Inc. 33,100 819
Meadowbrook Insurance
Group, Inc. 30,100 818
- - Radiant Systems, Inc. 56,000 812
- - Servico, Inc. 54,100 812
Rouge Industries Inc. 63,600 811
- - Fritz Cos., Inc. 60,300 807
Chesapeake Energy Corp. 201,480 806
- - IRI International Corp. 75,000 806
- - The Buckle, Inc. 27,300 805
- - Aviation Sales Co. 20,300 804
- - Fabri-Centers of America,
Inc. Class B 33,900 803
- - Neurogen Corp. 45,100 801
Talbots Inc. 30,600 801
Cubic Corp. 33,500 800
- - Electric Lightwave, Inc. Class A 72,300 800
- - Penske Motorsports, Inc. 27,400 800
Arctic Cat, Inc. 80,800 798
- - Impath, Inc. 32,800 797
- - May & Speh, Inc. 40,100 797
Oxford Industries, Inc. 22,800 797
BMC Industries, Inc. 90,900 795
Breed Technological Inc. 51,900 795
- - ContiFinancial Corp. 34,300 793
</TABLE>
38
<PAGE> 73
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ------------------------------------------------------------------------------------------
<S> <C> <C>
- - Gulfmark Offshore, Inc. 34,800 $ 792
- - Fabri-Centers of America, Inc. 28,900 791
- - PEC Israel Economic Corp. 33,100 790
- - Robert Mondavi Corp. 27,800 789
- - American Skiing Co. 60,500 787
- - Mastec Inc. 32,900 785
- - Oak Technology, Inc. 172,100 785
- - Playboy Enterprises Inc. Class B 44,200 785
- - Knight Transportation, Inc. 40,800 780
Flagstar Bancorp, Inc. 31,900 778
- - American Classic Voyager Co. 52,700 777
- - S3, Inc. 153,500 777
- - Wilshire Financial Services
Group Inc. 32,700 777
- - Transaction Network
Services, Inc. 36,850 776
- - Regeneron Pharmaceuticals, Inc. 83,700 772
First Federal Capital Corp. 43,000 771
- - Patterson Energy, Inc. 78,800 771
- - Delta Financial Corp. 41,800 768
Valhi, Inc. 73,500 767
- - Acceptance Insurance Cos. Inc. 31,200 766
- - Wackenhut Corrections Corp. 32,700 764
Conectiv, Inc. Class A 21,012 762
Lawson Products, Inc. 29,600 762
Student Loan Corp. 16,200 762
- - Miller Industries, Inc. 98,250 761
- - Cost Plus, Inc. 25,500 759
EastGroup Properties, Inc. REIT 37,800 758
- - PRI Automation, Inc. 44,400 758
Bush Industries, Inc. 34,800 757
Redwood Trust, Inc. 43,100 757
- - @Entertainment, Inc. 68,700 756
- - Dialogic Corp. 25,400 756
K2 Inc. 42,910 756
Owens & Minor, Inc. Holding Co. 75,537 755
Oshkosh B Gosh, Inc. Class A 16,900 752
- - ThermoQuest Corp. 50,200 750
Cohu, Inc. 30,800 749
- - Southern Pacific Funding Corp. 47,600 747
- - EduTrek International, Inc. 30,400 745
- - Cal Dive International, Inc. 27,000 744
- - Shaw Group, Inc. 28,600 744
- - Simpson Manufacturing Co. 19,200 742
- - Atria Communities, Inc. 42,600 735
- - Cephalon, Inc. 93,200 734
- - DBT Online Inc. 27,200 734
- - Thermotrex Corp. 42,600 730
Reliance Steel & Aluminum Co. 18,800 726
- - Group 1 Automotive, Inc. 45,300 725
Schnitzer Steel Industries, Inc.
Class A 30,700 725
- - NCO Group, Inc. 32,850 723
Park Electrochemical Corp. 34,200 722
- - West Marine, Inc. 40,100 722
- - U.S. Xpress Enterprises, Inc. 42,800 717
Fedders Corp. 106,700 714
IMCO Recycling, Inc. 38,600 714
- - American Freightways 70,600 706
- - Kopin Corp. 36,700 706
- - Jones Intercable Inc. 28,400 703
- - Kronos, Inc. 19,400 703
- - UniCapital Corp. 36,700 702
- - Digi International, Inc. 34,600 701
- - Key Energy Group 53,300 700
- - Guitar Center, Inc. 23,200 699
National City Bancshares, Inc. 17,335 698
- - Norstan, Inc. 27,800 697
- - Education Management Corp. 21,100 694
- - Learning Tree International, Inc. 34,400 692
- - Horizon Offshore, Inc. 70,400 691
- - Cytyc Corp. 42,300 690
- - Friedman's, Inc. Class A 41,500 687
Capital Transamerica Corp. 33,350 686
- - National R. V. Holdings, Inc. 15,200 686
- - Forcenergy Inc. 38,400 684
Ethyl Corp. 111,200 681
- - Mobius Management
Systems, Inc. 45,300 680
- - Kitty Hawk, Inc. 39,600 673
- - MemberWorks, Inc. 20,800 671
- - Silverleaf Resorts, Inc. 43,900 669
- - Miravant Medical Technology 30,250 668
- - Volt Information Sciences Inc. 24,600 667
Prime Bancshares, Inc. 26,200 665
- - Data Transmission Network Corp. 16,600 664
Herbalife International Class B 32,134 663
International Bancshares Corp. 10,000 661
- - CompuCom Systems, Inc. 101,400 659
- - Integrated Electrical Services, Inc. 32,700 658
- - Scientific Games Holdings Corp. 28,600 658
- - Vivus, Inc. 108,700 656
- - Zoltek Cos., Inc. 32,400 652
- - Concentric Network Corp. 21,400 649
- - Kelly Oil Corp. 280,700 649
- - Maverick Tube Corp. 55,800 649
Harbor Florida Bancshares, Inc. 54,084 646
- - LCC International, Inc. CL A 34,700 642
- - Splash Technology Holdings, Inc. 37,359 642
Federal-Mogul Corp. 9,500 641
- - Capital Factors Holdings, Inc. 36,200 638
- - Homestead Village, Inc. 53,600 637
- - Suburban Lodges Of America, Inc. 42,100 637
Strayer Education, Inc. 17,550 636
- - Toy Biz 68,400 633
- - NVR, Inc. 15,400 632
- - WHX Corp. 49,000 631
- - WetSeal, Inc. Class A 19,600 627
- - Computer Management
Sciences, Inc. 26,225 623
- - Cox Radio, Inc. 14,400 623
- - U.S.A. Floral Products, Inc. 39,500 622
- - Western Staff Services, Inc. 33,100 612
- - TransTexas Gas Corp. 68,600 609
- - Barra, Inc. 24,700 605
Chart Industries, Inc. 25,300 604
- - Hagler Bailly, Inc. 23,300 603
Merchants New York
Bancorporation 16,300 603
Carey Diversified LLC 30,500 602
- - General Magic, Inc. 48,900 602
- - Premiere Technologies, Inc. 72,600 602
</TABLE>
39
<PAGE> 74
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------
MARKET
SMALL CAPITALIZATION VALUE*
STOCK PORTFOLIO SHARES (000)
- ------------------------------------------------------------------------------------------
<S> <C> <C>
- - System Software Associates, Inc. 84,500 $ 602
- - Paymentech, Inc. 29,200 600
- - FactSet Research Systems Inc. 18,300 595
- - Martek Biosciences Corp. 40,700 593
Citizens Bancshares, Inc. 17,900 591
- - Philadelphia Consolidated
Holding Corp. 28,000 588
- - Aspec Technology, Inc. 89,800 584
- - TBC Corp. 88,000 583
Kaman Corp. Class A 30,600 582
Rohn Industries Inc. 124,000 581
- - Gibraltar Steel 28,150 577
- - Aavid Thermal Technologies 19,700 576
- - General Semiconductor, Inc. 58,150 574
- - Wellsford Real Properties
Inc. REIT 40,600 573
- - SDL, Inc. 23,700 566
Community Bank System, Inc. 17,900 560
- - Sanmina Corp. 12,900 560
- - Artisan Components, Inc. 40,400 545
Laser Mortgage Management, Inc. 50,100 545
- - Fuisz Technologies Ltd. 49,200 544
Excel Industries, Inc. 37,700 540
- - Telegroup, Inc. 58,400 540
- - National City Bancorporation 16,200 539
Value Line, Inc. 14,100 539
HFNC Financial Corp. 47,800 538
Innovex, Inc. 41,100 537
- - PJ America Inc. 29,400 537
- - Coleman Inc. 46,100 533
Grand Premier Financial, Inc. 33,323 533
Sumitomo Bank of California 13,884 524
- - dELiA*s Inc. 33,500 523
- - Global DirectMail Corp. 41,400 523
Pennsylvania Manufacturers
Corp. 22,500 518
Vital Signs, Inc. 28,400 518
- - Rural/Metro Corp. 39,800 517
- - Speedway Motorsports, Inc. 20,200 516
- - Eagle USA Airfreight, Inc. 14,600 506
- - Advanced Tissue Sciences Inc. 113,800 505
- - Policy Management
Systems Corp. 12,800 502
St. Francis Capital Corp. 12,900 500
R.L.I. Corp. 12,250 498
- - Primadonna Resorts, Inc. 34,300 492
- - Aztec Technology Partners, Inc. 64,229 490
- - Sawtek Inc. 33,200 490
- - Speedfam International, Inc. 26,500 489
- - Championship Auto Racing
Teams, Inc. 26,700 487
- - GeoTel Communications Corp. 11,900 485
- - Grubb & Ellis Co. 34,000 485
- - Brookline Bancorp, Inc. 32,400 482
- - Crescent Operating, Inc. REIT 28,300 481
- - AXYS Pharmaceuticals, Inc. 67,100 478
- - Acclaim Entertainment Inc. 80,400 477
Century Aluminum Co. 32,300 476
Premier Bancshares, Inc. 17,900 474
- - Republic Bank/Clearwater Fla. 17,400 472
LeaRonal Inc. 19,700 470
Magna Group 8,300 469
- - Westell Technologies, Inc. 50,500 467
- - Local Financial Corp. 35,700 464
- - Service Experts Inc. 13,300 459
- - ATMI, Inc. 30,400 456
- - Benchmark Electronics, Inc. 22,800 456
Sovran Self Storage, Inc. REIT 16,100 455
- - Laboratory Corp. of America 196,352 454
- - Credit Acceptance Corp. 53,200 452
- - WavePhore, Inc. 39,100 452
Lomak Petroleum, Inc. 43,200 451
Cornerstone Realty Income
Trust, Inc. REIT 38,800 444
- - ViroPharma Inc. 19,100 444
Fedders Corp. Class A 67,612 431
- - Insight Enterprises, Inc. 10,700 428
- - HS Resources Inc. 29,100 424
- - SmarTalk Teleservices, Inc. 29,100 424
- - Aviron 13,500 421
- - Keystone Automotive
Industries, Inc. 18,200 421
Advest Group, Inc. 14,500 419
- - Ivex Packaging Corp. 18,000 419
- - CKS Group, Inc. 23,200 418
First Commerce Bancshares Inc.
Class B 14,272 418
International Speedway Corp. 14,300 407
Herbalife International Class A 16,067 396
- - Alltrista Corp. 15,393 393
NBT Bancorp, Inc. 15,266 387
- - Sanchez Computer
Associates, Inc. 19,000 387
- - Triangle Pharmaceuticals, Inc. 26,000 387
- - Boston Beer Co., Inc. Class A 30,100 384
- - Phymatrix Corp. 43,500 383
Prime Retail, Inc. 18,592 381
JeffBanks, Inc. 7,700 378
- - SPR Inc. 12,100 377
Hancock Fabrics, Inc. 30,100 376
- - Diamond Technology Partners Inc. 12,300 372
- - ImClone Systems, Inc. 30,100 369
- - Monaco Coach Corp. 12,600 369
- - Guess ?, Inc. 74,200 366
First Indiana Corp. 13,920 364
- - Telemundo Group, Inc. 8,500 362
Golf Trust of America, Inc. REIT 10,500 361
BT Financial Corp. 13,460 357
Burnham Pacific Properties,
Inc. REIT 24,800 352
Kimco Realty Corp. Pfd. Class D 12,960 352
- - Consolidated Cigar Holdings Inc. 28,600 350
- - Encore Wire Corp. 21,600 348
- - Insituform Technologies Class A 25,000 346
- - Mesa Air Group Inc. 42,300 344
- - School Specialty, Inc. 20,683 339
- - Berlitz International, Inc. 12,500 338
- - Altron, Inc. 26,100 336
- - Cylink Corp. 27,700 332
Marcus Corp. 18,600 332
- - Workflow Management, Inc. 41,119 332
MDC Holdings, Inc. 16,700 330
</TABLE>
40
<PAGE> 75
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ------------------------------------------------------------------------------------------
<S> <C> <C>
- - First Sierra Financial, Inc. 10,700 $ 326
- - American Mobile Satellite
Corp., Inc. 33,300 325
- - Samsonite Corp. 29,769 322
Haven Bancorp, Inc. 12,500 320
- - Cable Michigan, Inc. 8,100 316
- - Insilco Corp. 7,100 315
Penn Engineering &
Manufacturing Corp. Class A 15,100 310
- - Osmonics, Inc. 25,700 308
- - Bacou USA Inc. 14,700 306
- - Excel Legacy Corp. 69,000 302
Republic Group Inc. 14,300 300
Columbus McKinnon Corp. 11,100 289
- - Golden Books Family
Entertainment, Inc. 75,200 289
- - PageMart Wireless, Inc. 31,500 285
- - Paging Network, Inc. 20,100 281
MMI Cos., Inc. 12,100 280
Penn Engineering &
Manufacturing Corp. 11,200 280
- - Donna Karan International Inc. 18,900 278
- - U.S. Office Products Co. 14,187 277
- - Ambassadors International, Inc. 9,100 276
CFW Communications Co. 11,800 274
- - AFC Cable Systems, Inc. 7,700 273
- - Intelligroup, Inc. 15,300 272
Peoples First 7,700 270
- - Southland Corp. 98,300 270
Southern Peru Copper Corp. 20,700 269
- - Lifecore Biomedical Inc. 16,200 267
- - Chattem, Inc. 9,800 262
First Financial Corp.-Indiana 5,200 262
First Commerce Bancshares Inc.
Class A 8,900 258
Belco Oil & Gas Corp. 29,800 257
Independent Bank Corp. 13,200 256
J & L Specialty Steel Inc. 42,500 252
- - Trex Medical Corp. 15,000 248
- - Aware, Inc. 21,800 247
- - The Profit Recovery Group
International, Inc. 8,800 246
- - CareMatrix Corp. 8,900 240
U.S. Industries, Inc. 9,580 237
- - Imatron, Inc. 85,600 235
Nash-Finch Co. 15,600 235
- - Navigant International, Inc. 26,814 228
- - Urban Outfitters, Inc. 12,500 228
First Source Bancorp, Inc. 23,140 224
General Binding Corp. 6,000 221
- - Objective Systems
Integrators, Inc. 29,700 219
BankAtlantic Bancorp, Inc.
Class A 18,375 217
- - Remec, Inc. 19,100 217
Capital City Bank Group, Inc. 6,900 216
- - Banner Aerospace 16,400 211
- - Meadowcraft, Inc. 19,200 211
Genovese Drug Stores, Inc.
Class A 10,670 209
- - BWAY Corp. 9,600 206
- - Media Arts Group, Inc. 10,700 206
- - Freedom Securities Corp. 11,200 203
- - Federal Agricultural
Mortgage Corp. 3,550 202
- - Jacor Communications, Inc.
Warrants Exp. 9/19/2001 28,600 200
- - Copart, Inc. 8,600 199
SIS Bancorp, Inc. 5,100 198
- - Saga Communications, Inc. 14,075 197
- - Advanced Energy Industries, Inc. 15,700 183
- - Kendle International Inc. 6,000 182
- - Advantica Restaurant Group, Inc. 18,500 180
Hilb, Rogal and Hamilton Co. 11,500 180
- - Jones Intercable Inc. 7,200 180
- - Creative Biomolecules, Inc. 36,900 178
Harris Financial, Inc. 8,100 178
- - CopyTele, Inc. 78,800 177
- - Steinway Musical Instruments Inc. 5,500 177
- - Whole Foods Market, Inc. 2,900 175
- - Pegasus Communications Corp. 8,300 174
- - Metal Management, Inc. 16,100 172
- - Metro Information Services, Inc. 4,400 172
Peoples Heritage Financial
Group Inc. 7,118 168
- - Teligent, Inc. 5,600 165
F & M Bancorp 3,600 160
Prime Group Realty Trust REIT 9,000 154
- - ESS Technology, Inc. 32,600 153
- - Titan Exploration, Inc. 17,000 151
- - Stanford Telecommunications, Inc. 9,500 141
- - Pixar, Inc. 2,200 133
- - Alydaar Software Corp. 10,200 129
- - Steven Myers & Associates, Inc. 6,600 127
- - O'Sullivan Industries Holdings, Inc. 9,000 126
- - WFS Financial, Inc. 17,817 125
- - American HomePatient, Inc. 6,500 124
- - Centennial Bancorp 6,900 124
Washington Trust Bancorp, Inc. 3,100 124
- - Coldwater Creek Inc. 4,490 123
- - SS&C Technologies, Inc. 5,400 123
- - Icon CMT Corp. 6,600 122
- - Galey & Lord 7,900 118
- - K-V Pharmaceutical Co. Class A 5,000 113
Signal Corp. 3,875 113
- - DecisionOne Holdings Corp. 5,600 112
- - AEP Industries, Inc. 5,100 110
- - Sipex Corp. 5,100 110
DEKALB Genetics Corp. Class B 1,100 104
- - International Telecommunication
Data Systems, Inc. 3,600 104
- - NovaCare Employee Services, Inc. 10,800 103
- - Service Merchandise Co., Inc. 64,612 101
- - Thermo Optek Corp. 6,700 99
BHC Communications, Inc. Class A 700 98
- - Alaris Medical, Inc. 13,000 90
- - Xomed Surgical Products Inc. 2,900 90
- - TeleSpectrum Worldwide Inc. 10,000 88
- - United Natural Foods, Inc. 3,100 88
Sterling Bancorp 3,300 86
- - Carriage Services, Inc. 3,300 83
- - Dynatech Corp. 26,350 82
</TABLE>
41
<PAGE> 76
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------
MARKET
SMALL CAPITALIZATION VALUE*
STOCK PORTFOLIO SHARES (000)
- ------------------------------------------------------------------------------------------
<S> <C> <C>
- - Proffitt's, Inc. 2,025 $ 82
- - ThermoLase Corp. 11,300 82
Wackenhut Corp. Class B 3,656 79
Gray Communications
Systems, Inc. 2,400 78
- - Maxicare Health Plans Inc. 11,117 75
- - Panavision, Inc. 2,772 73
- - Concord Communications, Inc. 2,800 72
COMSAT Corp. 2,500 71
- - Kinross Gold Corp. 21,575 70
- - SCB Computer Technology, Inc. 6,100 67
Baldwin & Lyons, Inc. Class B 2,800 65
- - IMC Global Warrants
Exp. 12/22/2000 25,432 64
- - Zygo Corp. 4,300 64
- - Alliance Pharmaceutical Corp. 15,100 63
- - Horizon Group Properties, Inc. 9,512 63
- - Rofin-Sinar Technologies Inc. 3,500 62
- - Nichols Research Corp. 2,200 60
- - Robotic Vision Systems, Inc. 12,700 59
- - Marine Transport Corp. 14,280 58
- - Synthetic Industries, Inc. 4,000 58
Weider Nutritional
International, Inc. 3,400 58
- - Amtran, Inc. 2,300 57
Harleysville Group, Inc. 2,600 54
- - Centennial HealthCare Corp. 2,800 51
North Pittsburgh Systems, Inc. 3,000 48
Amcast Industrial Corp. 2,500 47
- - Christiana Cos., Inc. 1,500 47
Investors Financial Services
Corp. Class A 877 46
- - Alliance Semiconductor Corp. 12,800 45
- - Spiegel, Inc. Class A 5,100 37
- - APAC Teleservices, Inc. 6,100 36
- - ATL Products, Inc. 1,200 31
- - Priority Healthcare Corp. 1,700 31
Semco Energy Inc. 1,785 31
- - Associated Group, Inc. Class B 750 30
- - MEMC Electronic Materials, Inc. 2,800 29
- - MEDIQ, Inc. Series A 4,057 27
- - Reckson Service Industry 7,784 26
J.M. Smucker Co. Class B 1,000 24
- - Zenith Electronics Corp. 63,121 19
- - OIS Optical Imaging Systems, Inc. 17,800 17
- - CSF Holdings Inc. Contingent
Litigation Rights 29,125 15
Seaboard Corp. 50 15
- - Capital Senior Living Corp. 500 6
- - USA Networks, Inc. 225 6
- - Siebel Systems, Inc. 81 3
- - Security Capital Group Inc.
Warrants Exp. 9/18/1998 4,992 2
- - Octel Corp. 75 1
- - TheraTech, Inc. 50 1
- ------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS
(COST $2,484,127) 3,012,560
- ------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------
FACE MARKET
AMOUNT VALUE*
(000) (000)
- ------------------------------------------------------------------------------------------
TEMPORARY CASH INVESTMENTS (7.7%)
- ------------------------------------------------------------------------------------------
<S> <C> <C>
U.S. TREASURY BILL
(2) 4.97%, 7/23/1998 $ 3,200 $ 3,191
REPURCHASE AGREEMENTS
Collateralized by U.S. Government
Obligations in a Pooled
Cash Account
5.67%, 7/1/1998 99,837 99,837
5.76%, 7/1/1998--Note F 137,660 137,660
- ------------------------------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(COST $240,688) 240,688
- ------------------------------------------------------------------------------------------
TOTAL INVESTMENTS (104.2%)
(COST $2,724,815) 3,253,248
- ------------------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-4.2%)
- ------------------------------------------------------------------------------------------
Other Assets--Note B 102,445
Security Lending Collateral
Payable to Brokers--Note F (137,660)
Other Liabilities (95,972)
-----------
(131,187)
- ------------------------------------------------------------------------------------------
NET ASSETS (100%) $3,122,061
==========================================================================================
</TABLE>
* See Note A in Notes to Financial Statements.
- Non-Income-Producing Security.
(1)The combined market value of common stocks and index futures contracts
represents 100.0% of net assets. See Note E in Notes to Financial Statements.
(2)Security segregated as initial margin for open futures contracts.
REIT--Real Estate Investment Trust.
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------
AT JUNE 30, 1998, NET ASSETS CONSISTED OF:
- ------------------------------------------------------------------------------------------
AMOUNT
(000)
- ------------------------------------------------------------------------------------------
<S> <C>
Paid in Capital $2,432,682
Undistributed Net Investment Income 19,754
Accumulated Net Realized Gains 140,925
Unrealized Appreciation--Note E
Investment Securities 528,433
Futures Contracts 267
- ------------------------------------------------------------------------------------------
NET ASSETS $3,122,061
==========================================================================================
Investor Shares--Net Assets
Applicable to 118,007,561 outstanding
shares of beneficial interest
(unlimited authorization) $2,912,880
- ------------------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INVESTOR SHARES $24.68
==========================================================================================
Institutional Shares--Net Assets
Applicable to 8,469,789 outstanding
shares of beneficial interest
(unlimited authorization) $209,181
- ------------------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INSTITUTIONAL SHARES $24.70
==========================================================================================
</TABLE>
42
<PAGE> 77
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------
MARKET
SMALL CAPITALIZATION VALUE*
GROWTH STOCK PORTFOLIO SHARES (000)
- ------------------------------------------------------------------------------------------
COMMON STOCKS (100.2%)
- ------------------------------------------------------------------------------------------
<S> <C> <C>
DEKALB Genetics Corp. Class B 11,300 $ 1,069
First Commercial Corp. 12,600 875
American Bankers
Insurance Group 13,900 836
- Lincare Holdings, Inc. 19,500 820
- PLATINUM technology, Inc. 27,400 783
- Vitesse Semiconductor Corp. 24,900 769
- Safeskin Corp. 18,000 740
Sovereign Bancorp, Inc. 45,100 737
CCB Financial Corp. 6,900 733
Ross Stores, Inc. 16,300 701
- STERIS Corp. 11,000 699
ComAir Holdings, Inc. 22,600 698
Provident Financial Group, Inc. 14,300 652
CKE Restaurants Inc. 15,700 648
- Sanmina Corp. 14,200 616
First Bancorp of Ohio 21,100 614
- Ciber, Inc. 15,700 597
Delta & Pine Land Co. 12,900 574
Centura Banks, Inc. 9,000 562
- Williams Sonoma, Inc. 17,600 560
- MedImmune Inc. 8,800 549
Pier 1 Imports Inc. 23,000 549
- Mohawk Industries, Inc. 17,000 539
First American Financial Corp. 5,800 522
- Valassis Communications, Inc. 13,500 520
- Devry, Inc. 23,600 518
- Whole Foods Market, Inc. 8,500 514
Legg Mason Inc. 8,900 512
National Data Corp. 11,500 503
- Mutual Risk Management Ltd. 13,100 477
Ethan Allen Interiors, Inc. 9,500 474
U.S. Trust Corp. 6,200 473
- Champion Enterprises, Inc. 16,000 468
- Microchip Technology, Inc. 17,900 468
Raymond James Financial, Inc. 15,500 464
Central Parking Corp. 9,900 450
CMAC Investment Corp. 7,300 449
United Bankshares, Inc. 13,100 447
- Mueller Industries Inc. 12,000 445
- Orbital Sciences Corp. 11,900 445
- Acxiom Corp. 17,700 441
- Aspect Telecommunications Corp. 15,900 435
- Express Scripts 5,400 435
- Xylan Corp. 14,600 435
- Footstar Inc. 9,000 432
- Gentex Corp. 23,800 431
- American Management
Systems, Inc. 14,300 428
True North Communications 14,400 421
- Linens 'n Things, Inc. 13,200 403
- Renal Care Group, Inc. 9,000 397
- Patterson Dental Co. 10,800 395
- PMT Services Inc 15,500 394
SEI Corp. 6,200 384
- Whittman-Hart, Inc. 7,700 372
Expeditors International of
Washington, Inc. 8,400 370
- Novellus Systems, Inc. 10,200 364
Aptargroup Inc. 5,800 361
- BISYS Group, Inc. 8,700 357
Commerce Bancorp, Inc. 6,000 351
Tredegar Industries Inc. 4,100 348
Whitney Holdings 6,800 345
- Harbinger Corp. 14,200 343
- Envoy Corp. 7,200 341
- Orthodontic Centers of
America, Inc. 16,100 337
Richfood Holdings, Inc. 16,300 337
Polaris Industries, Inc. 8,900 335
Blount International, Inc. 11,700 333
- Zebra Technologies Class A 7,800 333
- NBTY, Inc. 17,900 329
- Tel-Save Holdings, Inc. 22,300 329
Applied Power, Inc. 9,500 327
- Men's Wearhouse, Inc. 9,900 327
HUBCO, Inc. 9,000 322
Pogo Producing Co. 12,800 322
Jones Pharma, Inc. 9,700 321
- Nautica Enterprises Inc. 11,900 319
- Cerner Corp. 11,100 314
Wolverine World Wide, Inc. 14,500 314
Baldor Electric Co. 12,300 300
JLG Industries, Inc. 14,800 300
Cross Timbers Oil Co. 15,700 299
- Tuboscope Inc. 15,100 298
- VISIX Inc. 5,000 298
Fidelity National Financial, Inc. 7,400 295
- FileNET Corp. 10,000 289
- Technology Solutions Co. 9,000 285
- PAREXEL International Corp. 7,800 284
- Timberland Co. 3,900 281
- Catalina Marketing Corp. 5,400 280
- Cognex Corp. 15,100 279
- Magellan Health Services, Inc. 11,000 279
Roper Industries Inc. 10,600 277
- SPX Corp. 4,300 277
- ETEC Systems, Inc. 7,800 274
- O'Reilly Automotive, Inc. 7,600 274
Belden, Inc. 8,900 273
Eaton Vance Corp. 5,900 273
- Alliant Techsystems, Inc. 4,300 272
- INCYTE Pharmaceuticals, Inc. 7,900 270
Graco, Inc. 7,500 262
- Sola International, Inc. 8,000 262
- Avid Technology, Inc. 7,800 261
- Westwood One, Inc. 10,300 260
- Coventry Health Care Inc. 17,400 259
AAR Corp. 8,700 257
- Buckeye Technology, Inc. 10,900 257
- CommScope, Inc. 15,900 257
G & K Services, Inc. 5,900 257
FirstBank Puerto Rico 9,800 255
- Paragon Health Network, Inc. 15,600 252
Manitowac Co., Inc. 6,200 250
Invacare Corp. 9,700 249
- Burr-Brown Corp. 11,800 248
Regis Corp. 8,400 248
- C-Cube Microsystems, Inc. 13,200 245
</TABLE>
43
<PAGE> 78
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------
MARKET
SMALL CAPITALIZATION VALUE*
GROWTH STOCK PORTFOLIO SHARES (000)
- ------------------------------------------------------------------------------------------
<S> <C> <C>
MacDermid, Inc. 8,600 $ 243
St. John Knits, Inc. 6,300 243
- Consolidated Graphics, Inc. 4,100 242
National Computer Systems, Inc. 10,000 240
- ShowBiz Pizza Time, Inc. 5,900 238
Caraustar Industries, Inc. 8,200 237
- SPS Technologies, Inc. 4,000 234
- Metro Networks, Inc. 5,400 233
- Brightpoint, Inc. 16,000 232
Computer Task Group, Inc. 6,900 231
- Triarc Cos., Inc. Class A 10,400 228
UST Corp. 8,600 228
Analysts International Corp. 7,900 224
- HA-LO Industries, Inc. 7,200 224
Queens County Bancorp, Inc. 5,100 222
Fair Issac & Co. 5,800 220
- BE Avionics Inc. 7,500 218
- Foodmaker, Inc. 12,900 218
- ADVO, Inc. 7,700 217
- Stein Mart, Inc. 16,000 216
Arthur J. Gallagher & Co. 4,800 215
- Heartland Express, Inc. 10,300 209
Ballard Medical Products 11,400 205
- Oak Industries, Inc. 5,800 205
- Vanstar Corp. 14,000 204
- Midway Games Inc. 13,000 203
Pioneer Group, Inc. 7,500 197
- Dionex Corp. 7,400 195
- Boole & Babbage Inc. 8,000 191
Jack Henry & Associates 5,500 189
Technitrol, Inc. 4,700 188
- Billing Concepts Corp. 12,000 186
- Pediatrix Medical Group, Inc. 5,000 186
Pillowtex Designs 4,600 185
- Vantive Corp. 9,000 185
Mentor Corp. 7,600 184
- Platinum Software Co. 7,500 183
Breed Technological Inc. 11,900 182
Kuhlman Corp. 4,600 182
Coca-Cola Bottling Co. 2,700 179
- Stillwater Mining Co. 6,600 179
- Hyperion Software Corp. 6,100 174
Regal-Beloit Corp. 6,100 174
Dimon Inc. 15,000 169
- Cooper Cos., Inc. 4,600 168
Telxon Corp. 5,200 168
Lindsay Manufacturing Co. 6,000 163
- North American Vaccine, Inc. 10,500 163
Lilly Industries Inc. Class A 7,500 162
- Consolidated Products Inc. 7,600 161
- Access Health Marketing, Inc. 6,200 158
- CDI Corp. 5,800 155
- Dialogic Corp. 5,200 155
New England Business
Service, Inc. 4,800 155
- Halter Marine Group, Inc. 10,200 154
- Photronics Labs Inc. 6,900 152
- Progress Software Corp. 3,700 152
- National Instruments Corp. 4,200 150
Clarcor Inc. 7,100 149
- SEQUUS Pharmaceuticals, Inc. 13,000 148
Inter-Tel, Inc. 9,000 144
Sturm, Ruger & Co., Inc. 8,600 144
- Respironics, Inc. 9,100 142
- Shorewood Packaging Corp. 8,900 141
- Cor Therapeutics, Inc. 10,100 140
WD-40 Co. 5,100 138
Nature's Sunshine Inc. 6,000 135
A.M. Castle & Co. 6,000 132
- Curative Health Services Inc. 4,600 131
- Kronos, Inc. 3,500 127
Helix Technology Corp. 8,400 126
- NFO Worldwide, Inc. 6,900 123
- General Semiconductor, Inc. 11,900 118
Merrill Corp. 5,300 117
- Biotechnology General 16,300 116
- P-Com, Inc. 12,400 114
- Enzo Biochem, Inc. 8,400 112
Owens & Minor, Inc. Holding Co. 10,600 106
Harmon Industries, Inc. 4,400 105
BMC Industries, Inc. 11,800 103
- Plexus Corp. 5,000 99
- USA Detergents, Inc. 5,900 98
- Cygnus Inc. 8,600 90
- TheraTech, Inc. 8,900 90
- Immune Response 5,900 89
Hilb, Rogal and Hamilton Co. 5,500 86
- U.S. Bioscience 10,300 84
Innovex, Inc. 6,300 82
Plenum Publishing Corp. 1,100 81
- C-COR Electronics, Inc. 3,900 74
- Shoney's Inc. 20,800 73
- Cephalon, Inc. 9,200 72
Goodmark Foods, Inc. 2,300 68
- Liposome Co., Inc. 12,300 67
- Ashworth, Inc. 4,500 62
- Valence Technology 10,100 57
- ReSound Corp. 8,600 56
- Molecular Biosystems, Inc. 7,600 55
- Noven Pharmaceuticals, Inc. 8,700 52
- Whittaker Corp. 3,600 48
- Mercury Interactive Corp. 800 36
- Advanced Tissue Sciences Inc. 7,000 31
- BroadBand Technologies, Inc. 5,700 24
- LSB Industries, Inc. 4,100 16
- ------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS
(COST $64,434) 63,741
- ------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------
FACE
AMOUNT
(000)
- ------------------------------------------------------------------------------------------
TEMPORARY CASH INVESTMENTS (1.5%)
- ------------------------------------------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENTS
Collateralized by U.S. Government
Obligations in a Pooled
Cash Account
5.67%, 7/1/1998 $ 60 60
5.76%, 7/1/1998--Note F 894 894
- ------------------------------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(COST $954) 954
- ------------------------------------------------------------------------------------------
TOTAL INVESTMENTS (101.7%)
(COST $65,388) 64,695
- ------------------------------------------------------------------------------------------
</TABLE>
44
<PAGE> 79
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------
MARKET
VALUE*
(000)
- -------------------------------------------------------------------------------------------
<S> <C>
OTHER ASSETS AND LIABILITIES--NET (-1.7%) $ (1,110)
- -------------------------------------------------------------------------------------------
NET ASSETS (100%) $63,585
===========================================================================================
</TABLE>
*See Note A in Notes to Financial Statements.
- -Non-Income-Producing Security.
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
- -------------------------------------------------------------------------------------------
<S> <C>
ASSETS
Investments in Securities, at Value $64,695
Receivables for Investment Securities Sold 9,914
Other Assets--Note B 316
--------
Total Assets 74,925
--------
LIABILITIES
Payables for Investment Securities Purchased 10,384
Other Liabilities--Note F 956
--------
Total Liabilities 11,340
- -------------------------------------------------------------------------------------------
NET ASSETS $63,585
===========================================================================================
</TABLE>
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------
AT JUNE 30, 1998, NET ASSETS CONSISTED OF:
- -------------------------------------------------------------------------------------------
AMOUNT
(000)
- -------------------------------------------------------------------------------------------
<S> <C>
Paid in Capital $65,053
Undistributed Net Investment Income 88
Accumulated Net Realized Losses (863)
Unrealized Depreciation--Note E (693)
- -------------------------------------------------------------------------------------------
NET ASSETS $63,585
===========================================================================================
Investor Shares--Net Assets
Applicable to 6,507,868 outstanding
shares of beneficial interest
(unlimited authorization) $63,585
- -------------------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INVESTOR SHARES $9.77
===========================================================================================
</TABLE>
45
<PAGE> 80
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------
MARKET
SMALL CAPITALIZATION VALUE*
VALUE STOCK PORTFOLIO SHARES (000)
- ------------------------------------------------------------------------------------------
COMMON STOCKS (100.2%)
- ------------------------------------------------------------------------------------------
<S> <C> <C>
Protective Life Corp. 30,700 $ 1,126
Keystone Financial, Inc. 25,500 943
- Universal Health Services Class B 16,100 940
Fremont General Corp. 17,300 937
Integrated Health Services, Inc. 22,200 832
Orion Capital Corp. 13,700 765
- Interim Services, Inc. 23,300 748
Allied Group, Inc. 15,200 711
Astoria Financial Corp. 13,200 706
Life Re Corp. 8,600 705
Oakwood Homes Corp. 23,100 693
- World Color Press, Inc. 19,100 668
Commercial Federal Corp. 20,000 632
Enhance Financial Services
Group, Inc. 18,700 631
- Amresco, Inc. 21,300 620
Cullen/Frost Bankers, Inc. 11,100 602
- Corn Products International, Inc. 17,700 599
Earthgrains Co. 10,700 598
- Barrett Resources Corp. 15,800 591
- Smithfield Foods, Inc. 18,600 567
Capital Re Corp. 7,900 566
- Zale Corp. 17,700 563
Devon Energy Corp. 16,000 559
Sierra Pacific Resources 15,400 559
Texas Industries, Inc. 10,500 556
- PhyCor, Inc. 33,200 550
D. R. Horton, Inc. 26,300 549
- Santa Fe Energy Resources, Inc. 51,000 548
- Delphi Financial Group, Inc. 9,500 535
- Toll Brothers, Inc. 18,300 525
Interface, Inc. 25,900 523
Piedmont Natural Gas, Inc. 15,100 508
- Michaels Stores, Inc. 14,300 504
La-Z-Boy Inc. 8,900 503
NAC Re Corp. 9,100 486
Vintage Petroleum, Inc. 25,600 483
- IDEXX Laboratories Corp. 19,100 475
- Prime Hospitality Corp. 26,900 469
Air Express International Corp. 17,300 463
- Canandaigua Brands, Inc. Class A 9,300 457
Atmos Energy Corp. 14,900 454
Downey Financial Corp. 13,900 454
OM Group, Inc. 11,000 454
Werner Enterprises, Inc. 23,800 454
Chiquita Brands International, Inc. 32,000 450
- Anixter International Inc. 23,500 448
- Newfield Exploration Co. 18,000 448
- E*TRADE Group, Inc. 19,500 447
Riggs National Corp. 15,200 444
First Midwest Bancorp 10,000 440
- Genesis Health Ventures Inc. 17,500 437
- Shopko Stores, Inc. 12,800 435
Casey's General Stores 26,100 432
Dallas Semiconductor Corp. 13,900 431
Wicor, Inc. 18,500 428
USFreightways Corp. 13,000 427
- Just for Feet, Inc. 14,900 425
- Pride International Inc. 24,900 422
Frontier Insurance Group, Inc. 18,590 419
Susquehanna Bancshares, Inc. 11,200 419
Hughes Supply, Inc. 11,400 418
Bowne & Co., Inc. 9,100 410
Lone Star Industries, Inc. 5,300 408
Commonwealth Energy Systems 10,700 404
A.O. Smith Corp. 7,800 403
Executive Risk, Inc. 5,400 398
- Input/Output, Inc. 22,100 394
Central Hudson Gas &
Electric Corp. 8,500 390
St. Paul Bancorp, Inc. 17,100 386
Kellwood Co. 10,700 383
- VLSI Technology, Inc. 22,700 381
- Morrison Knudsen Corp. 26,900 378
Rollins Truck Leasing 29,900 370
- Primark Corp. 11,800 369
- Superior Services Inc. 12,100 364
- Silicon Valley Bancshares 10,200 363
Orange & Rockland Utilities, Inc. 6,700 360
United Illuminating Co. 7,100 359
Harman International
Industries, Inc. 9,200 354
Stride Rite Corp. 23,500 354
- Grand Casinos, Inc. 21,100 353
- Roberts Pharmaceuticals 15,200 350
- CapStar Hotel Co. 12,400 347
Northwest Natural Gas Co. 12,400 347
- Scotts Co. 9,300 346
- Sierra Health Services 13,700 345
Southwest Gas Corp. 13,700 335
Dain Rauscher Corp. 6,100 334
Fleming Cos., Inc. 19,000 334
Applebee's International, Inc. 14,900 333
- Eagle Hardware & Garden, Inc. 14,400 333
Snyder Oil Corp. 16,600 331
- Lattice Semiconductor Corp. 11,600 330
Selective Insurance Group 14,700 329
United Water Resources, Inc. 18,300 329
Cilcorp, Inc. 6,800 326
Skywest, Inc. 11,400 319
Cambrex Corp. 12,000 315
New Jersey Resources Corp. 8,800 314
W.H. Brady Class A 11,200 312
Standard Pacific Corp. 14,800 305
- Cable Design Technologies 14,500 299
Fluke Corp. 9,100 299
Philadelphia Suburban Corp. 13,600 298
- Vicor Corp. 21,500 298
Wabash National Corp. 11,500 296
- Ionics, Inc. 8,000 295
ABM Industries 10,500 293
Energen Corp. 14,500 292
JSB Financial 4,900 287
- The Dress Barn, Inc. 11,400 284
- Vertex Pharmaceuticals, Inc. 12,600 284
Analogic Corp. 6,300 282
- Paxar Corp. 24,400 281
Bank North Group 7,500 278
Alpharma, Inc. Class A 12,600 277
Methode Electronics, Inc. Class A 17,800 276
- NCS HealthCare, Inc. 9,700 276
</TABLE>
46
<PAGE> 81
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ------------------------------------------------------------------------------------------
<S> <C> <C>
Valmont Industries, Inc. 13,800 $ 276
- Landry's Seafood Restaurants, Inc. 15,100 273
Norrell Corp. 13,700 273
Russ Berrie, Inc. 10,900 273
Barnes Group, Inc. 10,000 271
Marcus Corp. 15,100 270
- AnnTaylor Stores Corp. 12,700 269
- Hutchinson Technology, Inc. 9,800 267
Geon Co. 11,600 266
- KEMET Corp. 20,200 266
- Wolverine Tube, Inc. 7,000 266
Eastern Utilities Associates 10,100 265
- Kirby Corp. 10,500 265
Watsco, Inc. 7,500 264
John H. Harland Co. 15,400 261
Guilford Mills, Inc. 12,800 256
Gerber Scientific, Inc. 11,200 255
Ruby Tuesday, Inc. 16,400 254
Stone & Webster, Inc. 6,400 254
TJ International, Inc. 8,400 253
- Fabri-Centers of America, Inc. 9,200 252
- Yellow Corp. 13,500 251
- Banctec, Inc. 10,800 250
Cabot Oil & Gas Corp. Class A 12,500 250
ChemFirst Inc. 9,900 250
Zenith National Insurance Corp. 8,800 248
- Kent Electronics Corp. 13,500 247
- Mariner Health Group, Inc. 14,700 244
- U.S. Home Corp. 5,900 243
- Broderbund Software, Inc. 10,600 242
- Ryan's Family Steak Houses, Inc. 23,400 240
Cato Corp. Class A 13,700 238
- Fritz Cos., Inc. 17,800 238
Checkpoint Systems, Inc. 16,800 237
- Franklin Covey Co. 12,300 237
Schweitzer-Mauduit
International, Inc. 8,100 235
- Getchell Gold Corp. 15,600 234
- The Sports Authority, Inc. 15,600 233
Standard Products Co. 8,300 233
- The Cheesecake Factory 10,200 231
CTS Corp. 7,800 230
Trenwick Group Inc. 5,900 229
Intermet Corp. 12,600 228
Applied Industrial Technology, Inc. 11,000 226
- Marquette Medical Systems Inc. 8,800 226
Commercial Metals Co. 7,300 224
Mississippi Chemical Corp. 13,600 224
- Marshall Industries 8,200 223
The Toro Co. 6,400 219
Myers Industries, Inc. 9,100 218
Oshkosh B Gosh, Inc. Class A 4,900 218
Juno Lighting, Inc. 9,200 217
Kaman Corp. Class A 11,400 217
- Read Rite Corp. 23,800 216
Public Service Co. of North
Carolina, Inc. 9,900 215
- ADAC Laboratories 9,500 214
Apogee Enterprises, Inc. 14,000 214
- Protein Design Labs 8,900 214
- Discount Auto Parts Inc. 8,200 213
- Landstar System 6,100 213
- Sonic Corp. 9,500 213
- International Rectifier Corp. 24,900 212
Justin Industries, Inc. 13,100 211
- Datascope Corp. 7,900 210
Quanex Corp. 6,900 209
- Primadonna Resorts, Inc. 14,400 207
- Volt Information Sciences Inc. 7,600 206
- Gibson Greetings, Inc. 8,200 205
TNP Enterprises, Inc. 6,600 204
- Ultratech Stepper, Inc. 10,300 203
Luby's Cafeterias, Inc. 11,500 202
- Coherent, Inc. 11,600 199
- IHOP Corp. 4,800 199
Phillips-Van Heusen Corp. 13,500 199
- American Oncology
Resources, Inc. 16,100 197
- GC Cos. 3,800 197
- Oceaneering International, Inc. 11,100 197
Diagnostic Products Corp. 6,800 196
- Kulicke & Soffa Industries, Inc. 11,500 196
Standex International Corp. 6,600 196
- Griffon Corp. 15,200 195
Thomas Industries, Inc. 7,900 193
- Offshore Logistics, Inc. 10,800 192
Ryland Group, Inc. 7,200 189
Wynn's International Inc. 9,800 189
Cash America International Inc. 12,200 186
- Insituform Technologies Class A 13,400 186
Birmingham Steel Corp. 14,700 182
Titan International, Inc. 10,700 182
Bassett Furniture Industries, Inc. 6,400 180
- Gymboree Corp. 11,900 180
- Seitel, Inc. 11,000 178
- Trimble Navigation Ltd. 11,000 178
Brown Group, Inc. 8,900 177
- Electro Scientific Industries, Inc. 5,600 177
- Xircom, Inc. 11,400 177
MDC Holdings, Inc. 8,900 176
- PictureTel Corp. 19,000 176
Authentic Fitness Corp. 11,000 174
AMCOL International Corp. 14,300 172
Chemed Corp. 5,000 170
Zero Corp. 6,000 170
Thor Industries, Inc. 6,100 169
- Universal Forest Products, Inc. 10,300 169
- Network Equipment
Technologies, Inc. 10,600 166
- M.S. Carriers Inc. 6,000 163
Robbins & Myers, Inc. 5,600 163
- System Software Associates, Inc. 22,900 163
Daniel Industries, Inc. 8,500 162
KCS Energy, Inc. 14,200 162
- Digital Microwave Corp. 22,200 161
- Global Industrial Technologies, Inc. 11,200 161
- Hollywood Park, Inc. 12,700 160
- American Freightways 15,900 159
- Astec Industries, Inc. 4,600 159
- Allen Telecom Inc. 13,500 157
Pittston BAX Group 10,100 157
- Benton Oil & Gas Co. 14,600 155
</TABLE>
47
<PAGE> 82
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------
MARKET
SMALL CAPITALIZATION VALUE*
VALUE STOCK PORTFOLIO SHARES (000)
- ------------------------------------------------------------------------------------------
<S> <C> <C>
- Sunrise Medical, Inc. 10,300 $ 155
Oxford Industries, Inc. 4,400 154
- Aztar Corp. 22,400 153
- Pool Energy Service Co. 10,400 153
Skyline Corp. 4,700 153
- Carmike Cinemas, Inc. Class A 5,600 151
IMCO Recycling, Inc. 8,100 150
- Plains Resources 8,300 149
Winnebago Industries, Inc. 11,700 149
- General Communication, Inc. 24,400 148
- Hadco Corp. 6,300 147
- Speedfam International, Inc. 7,900 146
- Hecla Mining Co. 27,300 145
K2 Inc. 8,200 145
- Regeneron Pharmaceuticals, Inc. 15,700 145
Standard Motor Products, Inc. 6,500 145
- California Microwave, Inc. 8,200 144
Connecticut Energy Corp. 5,100 142
Lawson Products, Inc. 5,500 142
- Komag, Inc. 26,300 141
Arctic Cat, Inc. 14,200 140
Fedders Corp. 20,900 140
National Presto Industries, Inc. 3,600 140
X-Rite Inc. 10,200 140
- Digi International, Inc. 6,800 138
- Microage, Inc. 9,700 138
- McWorter Technologies Inc. 5,100 135
- Unitrode Corp. 11,700 135
- HS Resources Inc. 9,200 134
- Scott Technologies, Inc. Class A 9,100 133
Hancock Fabrics, Inc. 10,400 130
St. Mary Land & Exploration Co. 5,400 130
Butler Manufacturing Co. 3,800 129
Pennsylvania Enterprises Inc. 4,800 129
- InterVoice, Inc. 7,200 128
- Hartmarx Corp. 16,800 127
- S3, Inc. 24,900 126
Pioneer Standard Electronics Inc. 13,000 125
- Electroglas, Inc. 9,500 124
Aquarion Co. 3,600 123
Simpson Industries, Inc. 9,000 123
Consumers Water Co. 4,400 122
A.T. Cross Co. Class A 8,200 122
Republic Group Inc. 5,800 122
Southern California Water Co. 4,400 119
- Hologic, Inc. 6,500 118
- Lydall, Inc. 8,100 118
Park Electrochemical Corp. 5,600 118
CPI Corp. 4,900 117
- WHX Corp. 9,100 117
Dames & Moore Group 8,900 115
- Mesa Air Group Inc. 14,100 115
Vital Signs, Inc. 6,300 115
- Benchmark Electronics, Inc. 5,700 114
Huffy Corp. 6,300 114
Thomas Nelson, Inc. 8,500 114
Southwestern Energy Co. 12,300 113
- Cone Mills Corp. 12,900 111
- TETRA Technologies, Inc. 6,700 111
TCBY Enterprises, Inc. 11,800 108
Watkins-Johnson Co. 4,100 107
Penford Corp. 3,500 106
- Circon Corp. 6,600 102
- Integrated Circuit Systems, Inc. 6,000 100
Angelica Corp. 4,500 95
- Exabyte Corp. 11,300 94
- Applied Magnetics Corp. 12,000 92
- Galoob Toys, Inc. 9,200 92
- J & J Snack Foods Corp. 4,400 92
- Arkansas Best Corp. 9,700 91
- Itron, Inc. 7,100 91
- Material Sciences Corp. 7,800 91
- Bombay Co. 18,900 90
- Pharmaceutical Markets 6,100 87
- Rural/Metro Corp. 6,700 87
Amcast Industrial Corp. 4,600 86
Cascade Natural Gas Corp. 5,500 86
- Flow International Corp. 7,400 86
- Galey & Lord 5,800 86
- Syncor International Corp. 5,000 86
Central Vermont Public
Service Corp. 5,700 85
- Jan Bell Marketing Inc. 12,900 84
Nash-Finch Co. 5,600 84
- Building Materials Holding Corp. 6,000 83
Frozen Food Express Industries, Inc. 8,300 82
Pope & Talbot, Inc. 7,000 82
- SpaceLabs Medical, Inc. 4,900 82
- Summit Technology, Inc. 15,100 82
Quaker Chemical Corp. 4,300 81
J. Baker, Inc. 6,900 80
Collagen Corp. 4,400 80
- Cyrk International, Inc. 7,300 80
Commonwealth Industries Inc. 7,900 79
- Insurance Auto Auctions, Inc. 5,600 79
- Players International, Inc. 15,800 79
- Compdent Corp. 5,000 78
Lillian Vernon Corp. 4,700 78
- TBC Corp. 11,600 77
O'Sullivan Corp. 7,800 76
- Wall Data Inc. 4,600 74
- Coeur D'Alene Mines Corp. 10,800 73
- Royal Appliance
Manufacturing Co. 11,500 72
- Southern Energy Homes, Inc. 7,200 71
- Standard Microsystem 7,900 70
- Auspex Systems, Inc. 12,700 69
- Three-Five Systems, Inc. 3,900 68
- Dravo Corp. 7,300 67
- Bell Sports Corp. 6,900 66
- Alliance Pharmaceutical Corp. 15,500 65
- Au Bon Pain Co., Inc. 5,800 64
- TCSI Corp. 10,900 64
Delta Woodside 12,200 63
- The Rival Co. 4,700 63
Walbro Corp. 4,300 61
- RailTex, Inc. 4,500 60
- Steel Technologies, Inc. 5,900 60
- Filene's Basement Corp. 10,400 57
- Intermagnetics General Corp. 6,200 57
K-Swiss, Inc. 2,800 55
- Glamis Gold, Ltd. 15,500 54
</TABLE>
48
<PAGE> 83
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -------------------------------------------------------------------------------------------
<S> <C> <C>
Haggar Corp. 4,200 $ 54
- Remington Oil & Gas Corp. 10,100 54
The Dixie Group, Inc. 5,600 53
- Global Motorsport Group Inc. 2,500 52
- Nashua Corp. 3,300 52
- Bell Industries, Inc. 4,500 51
Wiser Oil Co. 4,400 49
- Swiss Army Brands, Inc. 4,100 47
- Symmetricom Inc. 7,800 47
- Centigram Communications 4,100 46
- E. Gottschalk & Co., Inc. 5,200 46
- Taco Cabana 7,300 46
- Bertucci's Holding Corp. 4,400 45
- Lechters Corp. 9,000 44
Spartan Motors, Inc. 6,200 44
- Amtech Corp. 8,400 40
- Books-a-Million Inc. 8,600 40
- Northwestern Steel and Wire Co. 10,800 38
Green Mountain Power Corp. 2,600 37
- Tultex Corp. 14,800 36
- DAMARK International, Inc. 4,000 34
- Bangor Hydro-Electric Co. 3,600 32
- Hauser, Inc. 5,200 30
- Acme Metals, Inc. 5,800 29
Insteel Industries, Inc. 4,200 27
- Johnston Industries, Inc. 5,300 25
Superior Industries
International, Inc. 600 17
- -------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS
(COST $93,754) 92,195
- -------------------------------------------------------------------------------------------
<CAPTION>
FACE
AMOUNT
(000)
- -------------------------------------------------------------------------------------------
TEMPORARY CASH INVESTMENTS (1.4%)
- -------------------------------------------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENTS
Collateralized by U.S. Government
Obligations in a Pooled
Cash Account
5.67%, 7/1/1998 $637 637
5.76%, 7/1/1998--Note F 641 641
- -------------------------------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(COST $1,278) 1,278
- -------------------------------------------------------------------------------------------
TOTAL INVESTMENTS (101.6%)
(COST $95,032) 93,473
- -------------------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES--NET (-1.6%) (1,467)
- -------------------------------------------------------------------------------------------
NET ASSETS (100%) $92,006
===========================================================================================
</TABLE>
*See Note A in Notes to Financial Statements.
- -Non-Income-Producing Security.
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -------------------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
- -------------------------------------------------------------------------------------------
<S> <C>
ASSETS
Investments in Securities, at Value $ 93,473
Receivables for Investment Securities Sold 17,206
Other Assets--Note B 364
----------
Total Assets 111,043
----------
LIABILITIES
Payables for Investment Securities Purchased 18,316
Other Liabilities--Note F 721
Total Liabilities 19,037
- -------------------------------------------------------------------------------------------
NET ASSETS $ 92,006
===========================================================================================
<CAPTION>
- -------------------------------------------------------------------------------------------
AT JUNE 30, 1998, NET ASSETS CONSISTED OF:
- -------------------------------------------------------------------------------------------
AMOUNT
(000)
- -------------------------------------------------------------------------------------------
<S> <C>
Paid in Capital $93,452
Undistributed Net Investment Income 155
Accumulated Net Realized Losses (42)
Unrealized Depreciation--Note E (1,559)
- -------------------------------------------------------------------------------------------
NET ASSETS $92,006
===========================================================================================
Investor Shares--Net Assets
Applicable to 9,347,001 outstanding
shares of beneficial interest
(unlimited authorization) $92,006
- -------------------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INVESTOR SHARES $9.84
===========================================================================================
</TABLE>
49
<PAGE> 84
VANGUARD INDEX TRUST
LARGE CAPITALIZATION PORTFOLIOS
Semiannual Report - June 30, 1998
500 Portfolio
Growth Portfolio
Value Portfolio
Total Stock
Market Portfolio
[PHOTO]
[THE VANGUARD GROUP LOGO]
<PAGE> 85
OUR CREW MAKES THE DIFFERENCE
Throughout our history, The Vanguard Group has received considerable attention
as the low-cost provider of mutual funds. While such accolades are gratifying,
we are most proud, not of our low operating expenses or the billions of dollars
we manage, but of our sterling reputation created by the Vanguard crew.
We recognize that it is our crew members--more than 7,000 highly
motivated men and women--who form the cornerstone of our operations. We could
not survive long--let alone prosper--without them. That's why we chose this
fiscal year's fund reports to celebrate the spirit, enthusiasm, and achievements
of our crew. (We call those who work at Vanguard crew members, not employees,
because they operate as a team to accomplish our mission of serving you, our
clients.)
But while we prize the collective contributions of our crew, we also
take time to recognize the importance of the individual. Each calendar quarter,
we present our Award For Excellence to a handful of crew members who have
demonstrated particular excellence in the performance of their jobs and who
embody "The Vanguard Spirit." Our report cover shows only a few of the more than
300 crew members who have received this distinction since 1984.
They, along with the rest of our valiant crew, look forward to serving
you in the years ahead.
[PHOTO] [PHOTO]
John C. Bogle John J. Brennan
Senior Chairman Chairman & CEO
<TABLE>
<CAPTION>
CONTENTS
<S> <C>
A MESSAGE TO OUR SHAREHOLDERS ................... 1
THE MARKETS IN PERSPECTIVE ...................... 5
PERFORMANCE SUMMARIES ........................... 7
PORTFOLIO PROFILES .............................. 11
FINANCIAL STATEMENTS ............................ 16
</TABLE>
All comparative mutual fund data are from Lipper Analytical Services, Inc., or
Morningstar unless otherwise noted.
<PAGE> 86
FELLOW SHAREHOLDER,
The U.S. stock market rocketed to new highs during the first six months of 1998,
and Vanguard Index Trust's large-capitalization stock portfolios were again
among the leaders on the remarkable climb.
During the half-year ended June 30, our four large-cap portfolios earned
returns ranging from +23.0% to +12.1% and tracked their benchmarks with
exceptional accuracy. Three of the four portfolios provided exact matches with
their target indexes, while one fell just a hair short. The +17.7% return of our
flagship 500 Portfolio, which equaled the performance of the Standard & Poor's
500 Composite Stock Price Index, topped that of more than 80% of all general
equity mutual funds over the past six months.
The adjacent table shows the six-month total returns (capital change
plus reinvested dividends) achieved by our four large-cap portfolios, compared
with the returns on their respective unmanaged index benchmarks. Per-share
figures for each portfolio, including net asset values, income dividends, and
capital gains distributions, are presented in a table that follows this letter.
<TABLE>
<CAPTION>
- -------------------------------------------------------------------
TOTAL RETURNS
SIX MONTHS ENDED
JUNE 30, 1998
- -------------------------------------------------------------------
<S> <C>
500 PORTFOLIO +17.7%
S&P 500 Index +17.7
- -------------------------------------------------------------------
GROWTH PORTFOLIO +23.0%
S&P/BARRA Growth Index +23.1
- -------------------------------------------------------------------
VALUE PORTFOLIO +12.1%
S&P/BARRA Value Index +12.1
- -------------------------------------------------------------------
TOTAL STOCK MARKET PORTFOLIO +15.4%
Wilshire 5000 Equity Index +15.4
- -------------------------------------------------------------------
INSTITUTIONAL SHARES
- -------------------------------------------------------------------
Growth Portfolio* + 4.4%
Total Stock Market Portfolio +15.4
- -------------------------------------------------------------------
</TABLE>
*Since inception, May 14, 1998.
In the spring, we introduced Institutional Shares for our Growth and
Value Portfolios. These shares are available for minimum investments of $10
million. (Institutional shares for our Total Stock Market Portfolio were
introduced in July 1997.) From inception in mid-May through June 30, the
Institutional Shares of our Growth Portfolio returned +4.4%, exactly matching
that of the S&P/BARRA Growth Index. No Institutional Shares have been purchased
yet for our Value Portfolio.
We note that this is the first time we have published a separate report
for the large-cap portfolios of Vanguard Index Trust. Previously, we included
performance and financial statements for all of our portfolios in a single
report, a format that provided superfluous information for some readers who
owned shares of only one or two portfolios. We believe this change will
alleviate that problem, while also helping to reduce Vanguard's printing and
mailing costs--savings that ultimately benefit all of our shareholders. The
semiannual review of our mid- and small-cap index portfolios is published in a
separate report.
THE PERIOD IN REVIEW
The U.S. economy grew vigorously, inflation was subdued, and interest rates
declined during the first half of 1998. Consumers, heartened by high employment
and rising wages, spent freely, providing the economy's propellant. Strength in
consumer spending was more than enough to offset the negative effects of Asia's
severe economic slump.
1
<PAGE> 87
Asia's troubles, which have lowered the prices of imported goods in the
United States, were partly responsible for the benign behavior of
inflation--consumer prices rose only 1.1% for the six months and 1.7% for the
twelve months ended June 30. Low inflation was especially soothing to the bond
market, where prices rose and interest rates declined; the yield on the
benchmark 30-year U.S. Treasury bond was 5.63% on June 30, down 29 basis points
(0.29 percentage point) from its yield at the start of the year, reflected in a
price increase of about 3%.
The stock market's rise during the six months, however impressive, was
not straight up. Jitters over Asia prompted an across-the-board decline during
April and May and resulted in a 10% "correction" in some small-stock indexes.
The S&P 500 Index's decline of -1.7% in May broke a string of six straight
monthly gains. However, the Index bounced back strongly in June, posting a +4.1%
advance.
As has been the case for a good portion of the current bull run in
stocks, bigger was better during the half-year and "big growth" was better
still. The S&P 500 Index's advance was once again led by a relatively narrow
segment of blue-chip growth companies. More than half of the Index's remarkable
+17.7% return during the period was accounted for by fewer than 20 giant stocks.
Notably, the Index's second-largest holding, Microsoft, was up 68% in the first
half, Wal-Mart (seventh-largest in the Index) climbed 54%, and Lucent
(twelfth-largest) was up 108%. Those three issues alone accounted for nearly
one-fourth of the S&P 500 Index's gain during the half-year. Stocks of large-cap
growth companies set a blistering pace of +23.1% during the six months, nearly 6
percentage points higher than the S&P 500 Index's return and almost double the
+12.1% return of their value counterparts. Returns on these two groups have been
similar over long periods but, as we have long reminded you, diverge--sometimes
sharply--over short periods.
As a group, technology stocks led the S&P 500 pack during the six months
with a +32.7% gain, while stocks in the health-care sector--as well as those in
the consumer discretionary and auto & transportation sectors--earned returns of
more than +24% for the half-year.
The outstanding performance of large-cap stocks boosted the entire U.S.
stock market, driving our Total Stock Market Portfolio to a return of +15.4%.
This return was lower than that of the S&P 500 Index because the portfolio's
benchmark index, the Wilshire 5000 Index, includes mid- and small-cap stocks
that did not keep pace with the market's behemoths during the half-year.
The table below compares the six-month performance of our portfolios
with those of their actively managed peer mutual funds. As you can see, the
relative performance of our 500, Growth, and Total Stock Market Portfolios was
excellent. In particular, our Growth Portfolio returned nearly 8 percentage
points more than the average growth fund. The return of our Value Portfolio,
however, fell slightly shy of that of the average growth and income fund,
primarily because this peer group includes funds that hold growth stocks--the
market leaders during the six months--in addition to value stocks.
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------
TOTAL RETURNS
SIX MONTHS ENDED JUNE 30, 1998
------------------------------------------
AVERAGE
VANGUARD COMPARABLE
PORTFOLIO FUND* DIFFERENCE
- ------------------------------------------------------------------------------
<S> <C> <C> <C>
500 Portfolio +17.7% +11.8% +5.9%
Growth Portfolio +23.0 +15.1 +7.9
Value Portfolio +12.1 +12.6 -0.5
Total Stock Market Portfolio +15.4 +11.8 +3.6
- ------------------------------------------------------------------------------
</TABLE>
*Figures for the average comparable funds are compiled by Lipper Analytical
Services. The Lipper fund groups are: for the 500 and Total Stock Market
Portfolios, general equity funds; for the Growth Portfolio, growth funds; for
the Value Portfolio, growth and income funds.
2
<PAGE> 88
We hasten to mention the fine job that our Core Management Group has
done in keeping our portfolios in line with their respective indexes--no small
task given that we incur the costs of investing substantial cash almost every
day, and we incur operating expenses (albeit at an extremely low level) that the
indexes do not. Our 500, Value, and Total Stock Market Portfolios exactly
matched their targets during the six months, while our Growth Portfolio fell
short of its unmanaged benchmark by just 0.1 percentage point.
IN SUMMARY
The rewards of investing in the stock market have been amply demonstrated during
the bull market that began nearly 16 years ago. The risks, meanwhile, seem to
have come in brief bursts.
For those who believe that such outsized gains will continue
indefinitely, we assure you they will not. Stocks will not continue to pack the
historical equivalent of more than 18 months' worth of returns into six months.
And not all future market declines will be short-lived. Prolonged declines have
occurred in the past and almost surely will recur in the future. That is the
nature of the financial markets.
Because such turnabouts are difficult--if not impossible--to predict, we
recommend a strategy that allows investors to participate in the stock market's
rewards without shouldering all of its considerable risk: holding a balanced
portfolio of stock funds, bond funds, and money market funds. Such portfolios
are time-tested vehicles for reaping the rewards of financial markets as well as
for "staying the course" toward your long-term objectives.
We look forward to reporting to you on the full 1998 fiscal year in our
annual report six months hence.
/s/ JOHN C. BOGLE /s/ JOHN J. BRENNAN
John C. Bogle John J. Brennan
Senior Chairman Chairman and
Chief Executive Officer
July 17, 1998
3
<PAGE> 89
<TABLE>
<CAPTION>
PORTFOLIO STATISTICS
- -------------------------------------------------------------------------------------------------------------------
SIX MONTHS ENDED JUNE 30, 1998
NET ASSET VALUE PER SHARE -------------------------------------------
----------------------------- DISTRIBUTIONS FROM DIVIDENDS PER
DEC. 31, JUN. 30, NET REALIZED SHARE FROM NET
INDEX TRUST PORTFOLIO 1997 1998 CAPITAL GAINS INVESTMENT INCOME
- -------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
500 $90.07 $105.30 $0.12 $0.54
Growth 22.53 27.60 -- 0.10
Value 20.85 22.85 0.38 0.14
Total Stock Market 22.64 25.95 0.045 0.12
- -------------------------------------------------------------------------------------------------------------------
INSTITUTIONAL SHARES
- -------------------------------------------------------------------------------------------------------------------
Growth $26.49* $27.61 -- $0.05
Total Stock Market 22.64 25.95 $0.045 0.13
- -------------------------------------------------------------------------------------------------------------------
</TABLE>
*Net asset value as of inception, May 14, 1998.
4
<PAGE> 90
THE MARKETS IN PERSPECTIVE
Six Months Ended June 30, 1998
Blue skies predominated for U.S. financial markets during the first six months
of 1998, and even the occasional clouds had silver linings. The bond market
provided solid returns during the half-year, while the stock market's
performance was extraordinarily strong.
After expanding at a 5.4% annual pace during the first quarter, the U.S.
economy kept steaming along through June, fueled by powerful increases in
household spending. Consumers had reason to be upbeat: plentiful jobs
(unemployment fell to 4.3% of the workforce in May); rising wages (personal
income in May was 5.9% higher than in May 1997); and tame inflation (consumer
prices in June were up only 1.7% from a year before).
The economic push provided by consumers more than compensated for the
drag caused by Asia's severe economic problems. Weakening currencies and
business slowdowns in Asia cut into U.S. exports and lowered the cost of Asian
imports, causing the U.S. trade deficit to hit record levels. Ominously, Asia's
problems appear to be more serious and enduring than many economists expected.
Yet for Americans this "Asian contagion" has a bright side: It serves as an
escape valve for the inflationary pressures that ordinarily would be expected to
build up with the U.S. economy humming along at high speed.
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------
TOTAL RETURNS
PERIODS ENDED JUNE 30, 1998
------------------------------------------
6 MONTHS 1 YEAR 5 YEARS*
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
EQUITY
S&P 500 Index 17.7% 30.2% 23.1%
Russell 2000 Index 4.9 16.5 16.0
MSCI EAFE Index 16.1 6.4 10.3
- ----------------------------------------------------------------------------------------------
FIXED-INCOME
Lehman Aggregate Bond Index 3.9% 10.5% 6.9%
Lehman 10-Year Municipal Bond Index 2.6 8.5 6.6
Salomon Brothers Three-Month
U.S. Treasury Bill Index 2.6 5.3 4.9
- ----------------------------------------------------------------------------------------------
OTHER
Consumer Price Index 1.1% 1.7% 2.5%
- ----------------------------------------------------------------------------------------------
</TABLE>
*Annualized.
U.S. EQUITY MARKETS
The mixture of robust economic growth and anemic inflation was a tonic for the
U.S. stock market. Although prices generally rose, there were striking
disparities in returns between large-capitalization and small-cap stocks and
between growth and value stocks. The large-cap-dominated S&P 500 earned 17.7%
during the six months, nearly double the 9.4% return on the rest of the market
(as measured by the Wilshire 4500 Index) and more than triple the 4.9% return on
the small-cap Russell 2000 Index. Within the S&P 500 Index, growth stocks were
up 23.1%, while value stocks rose 12.1%.
A decline in interest rates contributed to the stock market's rise, as
falling rates on bonds tend to make equities more attractive and to boost the
price investors will pay for each dollar of a stock's earnings or dividends. Yet
growth in earnings and dividends--the long-term underpinning of stock
prices--was unimpressive during the first half of 1998.
Corporate earnings estimates were reduced in June, the tenth consecutive
month in which securities analysts have cut their earnings estimates, according
to I/B/E/S International, a financial research group. Earnings by the S&P 500
companies were expected to
5
<PAGE> 91
rise by only about 2% for the first half of 1998, I/B/E/S reported. With gains
in prices outstripping increases in earnings and dividends, stock valuations are
at or near all-time highs, an indication that investors expect ideal conditions
to continue.
Technology stocks were the best-performing sector during the first half
of 1998, generating a 32.7% return. Three other sectors of the stock
market--health care, consumer discretionary stocks such as retailers, and auto &
transportation--each provided returns of about 25% for the six months. Companies
involved in energy, chemicals, or other commodity-based businesses were
generally laggards. Prices of many commodities have declined as Asia's economic
funk cuts demand for energy and other industrial materials in the face of
plentiful supplies.
U.S. FIXED-INCOME MARKETS
Investors in fixed-income securities enjoyed a moderate rise in the market value
of their holdings because of declining interest rates. This price appreciation,
added to coupon interest income, resulted in solid total returns. The 3.9% total
return of the Lehman Aggregate Bond Index during the half-year brought its
return for the 12 months ended June 30 to 10.5%, or a very generous 8.8% after
adjustment for inflation.
Yields on 10-year and 30-year U.S. Treasury bonds declined by 29 basis
points (0.29 percentage point) to 5.45% and 5.63%, respectively, during the
first half of 1998, with most of the drop occurring during the second quarter.
The yield on 3-month Treasury bills declined 36 basis points to 4.99%. Mild
inflation--consumer prices were up 1.1% for the half-year--enabled rates to
decline despite the economy's strong growth.
Yields on corporate and municipal bonds did not decline as far as those
on Treasury securities because of a large increase in the supply of new bonds
issued by companies and municipalities taking advantage of lower rates to
refinance old debt. Similarly, mortgage-backed securities did not match
Treasuries' performance because of expectations that large numbers of homeowners
would pay off old, higher-coupon mortgage loans and refinance with new,
lower-rate loans.
INTERNATIONAL EQUITY MARKETS
Stock markets in Europe soared while those in Asia and most emerging economies
suffered steep declines in U.S.-dollar terms. The 16.1% overall return from
international markets, as measured by the Morgan Stanley Capital International
Europe, Australasia, Far East Index, masked the divergence between Europe and
other regions.
Europe's markets were up 27.1% when measured in local currencies and
26.5% in U.S. dollars, after adjusting for a slight overall rise in the dollar's
value. Stocks benefited from an upswing in most European economies, from signs
that corporate managers are increasingly focused on shareholder value, and from
optimism concerning next year's planned adoption of the euro as a single
European currency.
In the Pacific, which is dominated by Japan's stock market, stocks were
buffeted by several problems: slowing growth in economic activity; continued
instability in currencies; political upheavals; and widespread worries about
corporate and banking insolvencies. On balance, the region's stocks fell 6.0% in
U.S.-dollar terms. Japanese stocks were down 2.5%, but losses were more severe
in the region's smaller markets.
Emerging markets were, on balance, down sharply. Asian stock markets
were hurt by continued weakness in the currency values of several countries, by
Japan's recession, and by a growing conviction that the region's economic
troubles are far from transitory. Venezuela and Mexico, both key oil-producing
nations, were hard hit by falling oil prices.
6
<PAGE> 92
PERFORMANCE SUMMARIES
All of the data on this page represent past performance, which cannot be used to
predict future returns that may be achieved by the portfolio. Note, too, that
both share price and return can fluctuate widely, so an investment in the
portfolio could lose money.
<TABLE>
<CAPTION>
500 PORTFOLIO
TOTAL INVESTMENT RETURNS: DECEMBER 31, 1977-JUNE 30, 1998
- -------------------------------------------------------------------
500 PORTFOLIO S&P 500
FISCAL CAPITAL INCOME TOTAL TOTAL
YEAR RETURN RETURN RETURN RETURN
- -------------------------------------------------------------------
<S> <C> <C> <C> <C>
1978 0.8% 5.1% 5.9% 6.5%
1979 12.1 5.9 18.0 18.4
1980 25.5 6.4 31.9 32.4
1981 -9.8 4.6 -5.2 -4.9
1982 14.8 6.2 21.0 21.5
1983 16.2 5.1 21.3 22.5
1984 1.5 4.7 6.2 6.3
1985 26.1 5.1 31.2 31.8
1986 14.0 4.1 18.1 18.7
1987 2.3 2.4 4.7 5.3
1988 11.6 4.6 16.2 16.6
1989 26.7 4.7 31.4 31.7
1990 -6.8 3.5 -3.3 -3.1
1991 26.3 3.9 30.2 30.5
1992 4.4 3.0 7.4 7.6
1993 7.1 2.8 9.9 10.1
1994 -1.5 2.7 1.2 1.3
1995 34.4 3.0 37.4 37.6
1996 20.5 2.4 22.9 23.0
1997 31.1 2.1 33.2 33.4
1998* 17.0 0.7 17.7 17.7
- -------------------------------------------------------------------
</TABLE>
*Six months ended June 30, 1998.
See Financial Highlights table on page 26 for dividend and capital gains
information for the past five years.
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS: PERIODS ENDED JUNE 30, 1998
- ---------------------------------------------------------------------------------------------------------------------------
10 YEARS
INCEPTION --------------------------------------
DATE 1 YEAR 5 YEARS CAPITAL INCOME TOTAL
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
500 Portfolio* 8/31/1976 30.03% 22.90% 15.24% 3.09% 18.33%
- ---------------------------------------------------------------------------------------------------------------------------
</TABLE>
*Performance figures are adjusted for the $10 annual account maintenance fee.
7
<PAGE> 93
PERFORMANCE SUMMARIES (continued)
All of the data on this page represent past performance, which cannot be used to
predict future returns that may be achieved by the portfolio. Note, too, that
both share price and return can fluctuate widely, so an investment in the
portfolio could lose money.
<TABLE>
<CAPTION>
GROWTH PORTFOLIO
TOTAL INVESTMENT RETURNS: NOVEMBER 2, 1992-JUNE 30, 1998
- -------------------------------------------------------------------
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% 3.5%
1993 -0.6 2.1 1.5 1.7
1994 0.8 2.1 2.9 3.1
1995 35.9 2.2 38.1 38.1
1996 22.0 1.7 23.7 24.0
1997 34.8 1.5 36.3 36.5
1998** 22.5 0.5 23.0 23.1
- -------------------------------------------------------------------
</TABLE>
*S&P/BARRA Growth Index.
**Six months ended June 30, 1998.
See Financial Highlights table on page 27 for dividend and capital gains
information for the past five years.
<TABLE>
<CAPTION>
GROWTH PORTFOLIO-INSTITUTIONAL SHARES
TOTAL INVESTMENT RETURNS:
MAY 14, 1998-JUNE 30, 1998
- --------------------------------------------------------------------
GROWTH PORTFOLIO-
INSTITUTIONAL SHARES S&P*
FISCAL CAPITAL INCOME TOTAL TOTAL
PERIOD RETURN RETURN RETURN RETURN
- --------------------------------------------------------------------
<S> <C> <C> <C> <C>
1998** 4.2% 0.2% 4.4% 4.4%
- --------------------------------------------------------------------
</TABLE>
*S&P/BARRA Growth Index.
**Since inception.
See Financial Highlights table on page 27 for dividend information since the
portfolio's inception.
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS: PERIODS ENDED JUNE 30, 1998
- ------------------------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION
INCEPTION -------------------------------------
DATE 1 YEAR 5 YEARS CAPITAL INCOME TOTAL
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Growth Portfolio* 11/2/1992 34.64% 25.10% 20.09% 1.89% 21.98%
Growth Portfolio-Institutional Shares 5/14/1998 -- -- 4.23 0.19 4.42
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
*Performance figures are adjusted for the $10 annual account maintenance fee.
8
<PAGE> 94
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 an investment in the
portfolio could lose money.
<TABLE>
<CAPTION>
VALUE PORTFOLIO
TOTAL INVESTMENT RETURNS: NOVEMBER 2, 1992-JUNE 30, 1998
- ------------------------------------------------------------------
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% 3.8%
1993 14.6 3.7 18.3 18.6
1994 -4.0 3.3 -0.7 -0.6
1995 33.0 3.9 36.9 37.0
1996 19.1 2.8 21.9 22.0
1997 27.4 2.4 29.8 30.0
1998** 11.4 0.7 12.1 12.1
- ------------------------------------------------------------------
</TABLE>
*S&P/BARRA Value Index.
**Six months ended June 30, 1998.
See Financial Highlights table on page 28 for dividend and capital gains
information for the past five years.
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS: PERIODS ENDED JUNE 30, 1998
- ----------------------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION
INCEPTION --------------------------------------
DATE 1 YEAR 5 YEARS CAPITAL INCOME TOTAL
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Value Portfolio* 11/2/1992 24.95% 20.47% 17.97% 3.11% 21.08%
- ----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
*Performance figures are adjusted for the $10 annual account maintenance fee.
9
<PAGE> 95
PERFORMANCE SUMMARIES (continued)
All of the data on this page represent past performance, which cannot be used to
predict future returns that may be achieved by the portfolio. Note, too, that
both share price and return can fluctuate widely, so an investment in the
portfolio could lose money.
<TABLE>
<CAPTION>
TOTAL STOCK MARKET PORTFOLIO
TOTAL INVESTMENT RETURNS: APRIL 27, 1992-JUNE 30, 1998
- -------------------------------------------------------------------
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% 10.7%
1993 8.1 2.5 10.6 11.2
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 21.3
1997 29.0 2.0 31.0 31.3
1998* 14.8 0.6 15.4 15.4
- -------------------------------------------------------------------
</TABLE>
*Six months ended June 30, 1998.
See Financial Highlights table on page 29 for dividend and capital gains
information for the past five years.
<TABLE>
<CAPTION>
TOTAL STOCK MARKET PORTFOLIO--INSTITUTIONAL SHARES
TOTAL INVESTMENT RETURNS: JULY 7, 1997-JUNE 30, 1998
- -------------------------------------------------------------------
TOTAL STOCK MARKET PORTFOLIO- WILSHIRE
INSTITUTIONAL SHARES 5000
FISCAL CAPITAL INCOME TOTAL TOTAL
PERIOD RETURN RETURN RETURN RETURN
- -------------------------------------------------------------------
<S> <C> <C> <C> <C>
1997 7.6% 1.0% 8.6% 8.8%
1998* 14.8 0.6 15.4 15.4
- -------------------------------------------------------------------
</TABLE>
*Six months ended June 30, 1998.
See Financial Highlights table on page 29 for dividend and capital gains
information since the portfolio's inception.
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS: PERIODS ENDED JUNE 30, 1998
- ------------------------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION
INCEPTION -------------------------------------
DATE 1 YEAR 5 YEARS CAPITAL INCOME TOTAL
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Total Stock Market Portfolio* 4/27/1992 28.51% 21.19% 17.25% 2.36% 19.61%
Total Stock Market Portfolio-
Institutional Shares 7/7/1997 -- -- 23.50 1.83 25.33
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
*Performance figures are adjusted for the $10 annual account maintenance fee.
10
<PAGE> 96
PORTFOLIO PROFILE
500 Portfolio
This Profile provides a snapshot of the portfolio's characteristics as of June
30, 1998, compared where appropriate to its unmanaged target index. Key elements
of this Profile are defined on page 12.
<TABLE>
<CAPTION>
PORTFOLIO CHARACTERISTICS
- -----------------------------------------------------------------------
500 S&P 500
- -----------------------------------------------------------------------
<S> <C> <C>
Number of Stocks 518 500
Median Market Cap $50.0B $50.0B
Price/Earnings Ratio 24.8x 24.8x
Price/Book Ratio 4.5x 4.5x
Yield 1.3% 1.4%
Return on Equity 21.6% 21.6%
Earnings Growth Rate 16.4% 16.4%
Foreign Holdings 1.7% 1.7%
Turnover Rate 4%* --
Expense Ratio 0.18%* --
Cash Reserves 0% --
</TABLE>
*Annualized.
INVESTMENT FOCUS
- ----------------
[GRAPH]
<TABLE>
<CAPTION>
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- -----------------------------------------------------------------------
<S> <C>
General Electric Co. 3.3%
Microsoft Corp. 3.0
The Coca-Cola Co. 2.3
Exxon Corp. 1.9
Merck & Co., Inc. 1.8
Pfizer, Inc. 1.6
Wal-Mart Stores, Inc. 1.5
Intel Corp. 1.4
Procter & Gamble Co. 1.4
Royal Dutch Petroleum Co. ADR 1.3
- -----------------------------------------------------------------------
Top Ten 19.5%
</TABLE>
<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>
SECTOR DIVERSIFICATION (% OF COMMON STOCKS)
- ------------------------------------------------------------------------------------------------------------------------
JUNE 30, 1997 JUNE 30, 1998
-------------------------------------------------------------------
500 500 S&P 500
-------------------------------------------------------------------
<S> <C> <C> <C>
Auto & Transportation 3.5% 3.3% 3.3%
Consumer Discretionary 9.2 10.2 10.2
Consumer Staples 12.0 10.7 10.7
Financial Services 16.2 18.5 18.5
Health Care 11.5 12.1 12.1
Integrated Oils 7.8 6.5 6.5
Other Energy 1.2 1.0 1.0
Materials & Processing 6.9 5.2 5.2
Producer Durables 4.7 3.5 3.5
Technology 12.0 13.0 13.0
Utilities 9.2 10.3 10.3
Other 5.8 5.7 5.7
- ------------------------------------------------------------------------------------------------------------------------
</TABLE>
11
<PAGE> 97
BETA. A measure of the magnitude of a portfolio's past share-price fluctuations
in relation to the ups and downs of the overall market (or appropriate market
index). The market (or index) is assigned 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%.
CASH RESERVES. The percentage of a portfolio's net assets invested in "cash
equivalents"--highly liquid, short-term, interest-bearing securities. This
figure does not include cash invested in futures contracts to simulate stock
investment.
EARNINGS GROWTH RATE. The average annual 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.
FOREIGN HOLDINGS. The percentage of a portfolio's net assets represented by
stocks or American Depositary Receipts of companies based outside 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. An indicator of the size of companies in which a portfolio
invests; the midpoint of market capitalization (market price x shares
outstanding) of a portfolio's stocks, weighted by the proportion of the
portfolio's assets invested in each stock. Stocks representing half of the
portfolio's assets have market capitalizations above the median, and the rest
are below it.
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.
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.
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 whose stocks it holds.
SECTOR DIVERSIFICATION. The percentages of a portfolio's common stocks that come
from each of the major industry groups that compose the stock market.
TEN LARGEST HOLDINGS. The percentage of net assets that a portfolio has invested
in its ten largest holdings. (The average for stock mutual funds is about 30%.)
As this percentage rises, a portfolio's returns are likely to be more volatile
because they are more dependent on the fortunes of a few companies.
TURNOVER RATE. An indication of trading activity during the period. Portfolios
with high turnover rates incur higher transaction costs and are more likely to
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. The index yield is based on the current annualized rate of
dividends paid on stocks in the index.
12
<PAGE> 98
PORTFOLIO PROFILE
Growth Portfolio
This Profile provides a snapshot of the portfolio's characteristics as of June
30, 1998, compared where appropriate to an unmanaged index. Key elements of this
Profile are defined on page 12.
<TABLE>
<CAPTION>
PORTFOLIO CHARACTERISTICS
- -----------------------------------------------------------------------
GROWTH S&P 500
- -----------------------------------------------------------------------
<S> <C> <C>
Number of Stocks 158 500
Median Market Cap $73.4B $50.0B
Price/Earnings Ratio 31.9x 24.8x
Price/Book Ratio 8.8x 4.5x
Yield 0.9% 1.4%
Yield--Institutional Shares 1.0% 1.4%
Return on Equity 26.6% 21.6%
Earnings Growth Rate 19.3% 16.4%
Foreign Holdings 2.4% 1.7%
Turnover Rate 22%* --
Expense Ratio 0.22%* --
Expense Ratio--
Institutional Shares 0.12%* --
Cash Reserves 0% --
</TABLE>
*Annualized.
INVESTMENT FOCUS
- ----------------
[GRAPH]
<TABLE>
<CAPTION>
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- -----------------------------------------------------------------------
<S> <C>
General Electric Co. 6.3%
Microsoft Corp. 5.6
The Coca-Cola Co. 4.5
Merck & Co., Inc. 3.4
Pfizer, Inc. 3.0
Wal-Mart Stores, Inc. 2.9
Intel Corp. 2.7
Procter & Gamble Co. 2.6
Bristol-Myers Squibb Co. 2.4
Lucent Technologies, Inc. 2.3
- -----------------------------------------------------------------------
Top Ten 35.7%
</TABLE>
<TABLE>
<CAPTION>
VOLATILITY MEASURES
- -----------------------------------------------------------------------
GROWTH S&P 500
- -----------------------------------------------------------------------
<S> <C> <C>
R-Squared 0.94 1.00
Beta 1.08 1.00
</TABLE>
<TABLE>
<CAPTION>
SECTOR DIVERSIFICATION (% OF COMMON STOCKS)
- --------------------------------------------------------------------------------------------------------------------------
JUNE 30, 1997 JUNE 30, 1998
---------------------------------------------------------------------
GROWTH GROWTH S&P 500
---------------------------------------------------------------------
<S> <C> <C> <C>
Auto & Transportation 0.1% 0.3% 3.3%
Consumer Discretionary 8.8 8.2 10.2
Consumer Staples 21.7 19.1 10.7
Financial Services 8.5 9.2 18.5
Health Care 20.2 20.7 12.1
Integrated Oils 0.3 0.0 6.5
Other Energy 1.4 1.1 1.0
Materials & Processing 6.5 4.4 5.2
Producer Durables 3.5 3.0 3.5
Technology 16.2 19.2 13.0
Utilities 4.5 6.8 10.3
Other 8.3 8.0 5.7
- --------------------------------------------------------------------------------------------------------------------------
</TABLE>
13
<PAGE> 99
PORTFOLIO PROFILE
Value Portfolio
This Profile provides a snapshot of the portfolio's characteristics as of June
30, 1998, compared where appropriate to an unmanaged index. Key elements of this
Profile are defined on page 12.
<TABLE>
<CAPTION>
PORTFOLIO CHARACTERISTICS
- -----------------------------------------------------------------------
VALUE S&P 500
- -----------------------------------------------------------------------
<S> <C> <C>
Number of Stocks 362 500
Median Market Cap $22.8B $50.0B
Price/Earnings Ratio 19.8x 24.8x
Price/Book Ratio 2.9x 4.5x
Yield 1.6% 1.4%
Return on Equity 16.6% 21.6%
Earnings Growth Rate 13.2% 16.4%
Foreign Holdings 0.9% 1.7%
Turnover Rate 26%* --
Expense Ratio 0.22%* --
Cash Reserves 0% --
</TABLE>
*Annualized.
INVESTMENT FOCUS
- ----------------
[GRAPH]
<TABLE>
<CAPTION>
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- -----------------------------------------------------------------------
<S> <C>
Exxon Corp. 4.1%
Royal Dutch Petroleum Co. ADR 2.7
AT&T Corp. 2.2
NationsBank Corp. 1.7
The Walt Disney Co. 1.7
Ford Motor Co. 1.7
Travelers Group Inc. 1.6
Citicorp 1.6
BellSouth Corp. 1.5
Fannie Mae 1.5
- -----------------------------------------------------------------------
Top Ten 20.3%
</TABLE>
<TABLE>
<CAPTION>
VOLATILITY MEASURES
- -----------------------------------------------------------------------
VALUE S&P 500
- -----------------------------------------------------------------------
<S> <C> <C>
R-Squared 0.91 1.00
Beta 0.92 1.00
</TABLE>
<TABLE>
<CAPTION>
SECTOR DIVERSIFICATION (% OF COMMON STOCKS)
- -----------------------------------------------------------------------------------------------------------------------------
JUNE 30, 1997 JUNE 30, 1998
-----------------------------------------------------------------------
VALUE VALUE S&P 500
-----------------------------------------------------------------------
<S> <C> <C> <C>
Auto & Transportation 7.0% 6.7% 3.3%
Consumer Discretionary 9.7 12.4 10.2
Consumer Staples 2.2 1.5 10.7
Financial Services 24.0 28.8 18.5
Health Care 2.6 2.6 12.1
Integrated Oils 15.7 13.5 6.5
Other Energy 1.0 0.9 1.0
Materials & Processing 7.3 6.1 5.2
Producer Durables 5.9 4.2 3.5
Technology 7.8 6.1 13.0
Utilities 14.2 14.1 10.3
Other 2.6 3.1 5.7
- -----------------------------------------------------------------------------------------------------------------------------
</TABLE>
14
<PAGE> 100
PORTFOLIO PROFILE
Total Stock Market Portfolio
This Profile provides a snapshot of the portfolio's characteristics as of June
30, 1998, compared where appropriate to its unmanaged target index. Key elements
of this Profile are defined on page 12.
<TABLE>
<CAPTION>
PORTFOLIO CHARACTERISTICS
- -----------------------------------------------------------------------
TOTAL STOCK WILSHIRE
MARKET 5000
- -----------------------------------------------------------------------
<S> <C> <C>
Number of Stocks 3,094 7,394
Median Market Cap $21.3B $21.3B
Price/Earnings Ratio 24.4x 24.4x
Price/Book Ratio 4.0x 4.0x
Yield 1.4% 1.3%
Yield--Institutional Shares 1.5% 1.3%
Return on Equity 20.3% 20.3%
Earnings Growth Rate 17.0% 17.0%
Foreign Holdings 0.7% 0.7%
Turnover Rate 2%* --
Expense Ratio 0.20%* --
Expense Ratio--
Institutional Shares 0.10%* --
Cash Reserves 0% --
</TABLE>
*Annualized.
INVESTMENT FOCUS
- ----------------
[GRAPH]
<TABLE>
<CAPTION>
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- -----------------------------------------------------------------------
<S> <C>
General Electric Co. 2.4%
Microsoft Corp. 2.1
The Coca-Cola Co. 1.7
Exxon Corp. 1.4
Merck & Co., Inc. 1.3
Pfizer, Inc. 1.1
Wal-Mart Stores, Inc. 1.1
Procter & Gamble Co. 1.0
Intel Corp. 1.0
Bristol-Myers Squibb Co. 0.9
- -----------------------------------------------------------------------
Top Ten 14.0%
</TABLE>
<TABLE>
<CAPTION>
VOLATILITY MEASURES
- -----------------------------------------------------------------------
TOTAL STOCK
MARKET S&P 500
- -----------------------------------------------------------------------
<S> <C> <C>
R-Squared 0.95 1.00
Beta 0.96 1.00
</TABLE>
<TABLE>
<CAPTION>
SECTOR DIVERSIFICATION (% OF COMMON STOCKS)
- ----------------------------------------------------------------------------------------------------------------------------
JUNE 30, 1997 JUNE 30, 1998
-------------------------------------------------------------------------
TOTAL STOCK TOTAL STOCK WILSHIRE
MARKET MARKET 5000
-------------------------------------------------------------------------
<S> <C> <C> <C>
Auto & Transportation 3.5% 3.4% 3.4%
Consumer Discretionary 11.8 13.0 13.0
Consumer Staples 9.5 8.6 8.6
Financial Services 19.4 20.1 20.1
Health Care 10.8 11.2 11.2
Integrated Oils 4.8 4.0 4.0
Other Energy 2.2 1.9 1.9
Materials & Processing 7.0 5.6 5.6
Producer Durables 5.3 4.0 4.0
Technology 12.3 13.3 13.3
Utilities 8.9 9.8 9.8
Other 4.5 5.1 5.1
- ----------------------------------------------------------------------------------------------------------------------------
</TABLE>
15
<PAGE> 101
FINANCIAL STATEMENTS
June 30, 1998 (unaudited)
The Statements of Net Assets--integral parts of the Financial Statements for
500, Growth, Value, and Total Stock Market Portfolios of Vanguard Index
Trust--are included as an insert to this report (except for the 500 Portfolio,
whose Statement of Net Assets is provided below).
STATEMENT OF NET ASSETS
This Statement provides a detailed list of each portfolio's holdings, including
each security's market value on the last day of the reporting period. Common
stocks are listed in descending market value order. 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. 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 (99.6%)(1)
- ----------------------------------------------------------------------
<S> <C> <C>
General Electric Co. 23,308,248 $ 2,121,051
- - Microsoft Corp. 17,600,908 1,907,498
The Coca-Cola Co. 17,632,495 1,507,578
Exxon Corp. 17,558,019 1,252,106
Merck & Co., Inc. 8,536,484 1,141,755
Pfizer, Inc. 9,320,054 1,012,973
Wal-Mart Stores, Inc. 16,042,155 974,561
Intel Corp. 12,115,650 898,073
Procter & Gamble Co. 9,575,464 871,966
Royal Dutch Petroleum
Co. ADR 15,319,514 839,701
Bristol-Myers Squibb Co. 7,106,081 816,755
Lucent Technologies, Inc. 9,371,073 779,556
International Business
Machines Corp. 6,762,010 776,363
American International
Group, Inc. 4,998,702 729,810
Johnson & Johnson 9,598,845 707,915
Philip Morris Cos., Inc. 17,347,836 683,071
- - Cisco Systems, Inc. 7,316,263 673,553
AT&T Corp. 11,593,765 662,294
E.I. du Pont de Nemours & Co. 8,060,550 601,519
SBC Communications Inc. 13,122,416 524,897
NationsBank Corp. 6,839,142 523,194
Eli Lilly & Co. 7,902,295 522,045
The Walt Disney Co. 4,867,247 511,365
Ford Motor Co. 8,664,003 511,176
Bell Atlantic Corp. 11,092,415 506,091
Travelers Group Inc. 8,204,197 497,379
American Home
Products Corp. 9,364,350 484,605
Citicorp 3,238,500 483,346
Schering-Plough Corp. 5,234,355 479,598
BellSouth Corp. 7,066,400 474,332
The Chase Manhattan Corp. 6,088,686 459,696
Gillette Co. 8,015,131 454,358
Fannie Mae 7,435,164 451,686
Abbott Laboratories 11,024,512 450,627
Hewlett-Packard Co. 7,409,281 443,631
PepsiCo, Inc. 10,701,507 440,768
Home Depot, Inc. 5,247,604 435,879
- - Dell Computer Corp. 4,626,372 429,385
Mobil Corp. 5,587,482 428,141
BankAmerica Corp. 4,896,393 423,232
First Union Corp. 7,084,525 412,674
Warner-Lambert Co. 5,843,514 405,394
Morgan Stanley Dean
Witter & Co. 4,284,925 391,535
Chevron Corp. 4,677,766 388,547
GTE Corp. 6,865,737 381,907
American Express Co. 3,308,763 377,199
Unilever NV ADR 4,568,968 360,663
Time Warner, Inc. 4,217,969 360,373
- - WorldCom, Inc. 7,364,453 356,716
Ameritech Corp. 7,852,047 352,361
</TABLE>
16
<PAGE> 102
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ----------------------------------------------------------------------
<S> <C> <C>
McDonald's Corp. 4,907,572 $ 338,622
Compaq Computer Corp. 11,802,579 334,898
The Boeing Co. 7,214,422 321,493
General Motors Corp. 4,792,738 320,215
MCI Communications Corp. 5,166,635 300,311
Amoco Corp. 6,892,271 286,891
Banc One Corp. 5,011,743 279,718
Allstate Corp. 3,010,456 275,645
Tyco International Ltd. 4,158,486 261,985
Chrysler Corp. 4,618,531 260,370
Schlumberger Ltd. 3,557,772 243,040
- - AirTouch Communications, Inc. 4,089,458 238,978
Monsanto Co. 4,272,975 238,752
Minnesota Mining &
Manufacturing Co. 2,897,261 238,119
Xerox Corp. 2,341,531 237,958
Texaco Inc. 3,884,325 231,846
Freddie Mac 4,881,874 229,753
U.S. Bancorp 5,295,955 227,726
Merrill Lynch & Co., Inc. 2,468,199 227,691
Wells Fargo & Co. 610,385 225,232
Motorola, Inc. 4,266,942 224,281
Sprint Corp. 3,074,835 216,776
Computer Associates
International, Inc. 3,892,590 216,282
Medtronic, Inc. 3,352,030 213,692
Northern Telecom Ltd. 3,711,009 210,600
Norwest Corp. 5,402,691 201,926
- - MediaOne Group, Inc. 4,343,820 190,857
Emerson Electric Co. 3,158,048 190,667
Associates First Capital Corp. 2,469,951 189,877
Sara Lee Corp. 3,353,321 187,576
Colgate-Palmolive Co. 2,114,101 186,041
First Chicago NBD Corp. 2,061,661 182,715
Kimberly-Clark Corp. 3,977,811 182,482
AlliedSignal Inc. 4,036,039 179,099
Atlantic Richfield Co. 2,285,079 178,522
The Gap, Inc. 2,817,811 173,648
Campbell Soup Co. 3,250,016 172,657
- - Oracle Corp. 7,019,018 172,405
Sears, Roebuck & Co. 2,793,075 170,552
Fleet Financial Group, Inc. 2,025,737 169,149
Eastman Kodak Co. 2,303,681 168,313
U S West, Inc. 3,573,797 167,968
Pharmacia & Upjohn, Inc. 3,618,043 166,882
National City Corp. 2,340,185 166,153
Anheuser-Busch Cos., Inc. 3,473,710 163,916
The Bank of New York Co., Inc. 2,682,965 162,822
CBS Corp. 5,123,459 162,670
Texas Instruments, Inc. 2,780,543 162,140
- - EMC Corp. 3,550,200 159,093
Automatic Data
Processing, Inc. 2,148,223 156,552
Dow Chemical Co. 1,607,209 155,397
United Technologies Corp. 1,650,587 152,679
Duke Energy Corp. 2,574,882 152,562
Dayton Hudson Corp. 3,115,166 151,086
J.P. Morgan & Co., Inc. 1,271,754 148,954
Lockheed Martin Corp. 1,393,776 147,566
Walgreen Co. 3,545,853 146,488
H.J. Heinz Co. 2,604,497 146,177
Gannett Co., Inc. 2,030,643 144,303
- - Viacom Inc. Class B 2,472,755 144,038
Caterpillar, Inc. 2,638,608 139,516
General Re Corp. 548,846 139,132
- - Tele-Communications, Inc.
Class A 3,616,453 139,007
Southern Co. 4,976,556 137,788
Columbia/HCA
Healthcare Corp. 4,589,853 133,679
J.C. Penney Co., Inc. 1,790,602 129,483
Mellon Bank Corp. 1,856,258 129,242
American General Corp. 1,807,086 128,642
Enron Corp. 2,341,457 126,585
- - Cendant Corp. 6,063,238 126,570
Wachovia Corp. 1,466,302 123,903
SunTrust Banks, Inc. 1,502,251 122,152
Bestfoods 2,060,095 119,614
Washington Mutual, Inc. 2,752,925 119,580
- - Amgen, Inc. 1,824,872 119,301
Waste Management Inc. 3,397,737 118,921
Illinois Tool Works, Inc. 1,777,289 118,523
MBNA Corp. 3,568,521 117,761
- - Sun Microsystems, Inc. 2,706,045 117,544
BankBoston Corp. 2,095,067 116,538
PNC Bank Corp. 2,161,926 116,339
Household International, Inc. 2,298,806 114,366
KeyCorp 3,130,070 111,509
Fifth Third Bancorp 1,759,302 110,836
Marsh & McLennan Cos., Inc. 1,832,802 110,770
Burlington Northern
Santa Fe Corp. 1,124,419 110,404
Raytheon Co. Class B 1,865,889 110,321
Kellogg Co. 2,925,245 109,880
ConAgra, Inc. 3,429,789 108,681
- - AMR Corp. 1,298,819 108,127
HBO & Co. 3,065,794 108,069
Baxter International, Inc. 2,006,393 107,969
May Department Stores Co. 1,646,866 107,870
CVS Corp. 2,742,380 106,781
CIGNA Corp. 1,544,508 106,571
First Data Corp. 3,186,180 106,140
Williams Cos., Inc. 3,021,658 101,981
The Seagram Co. Ltd. 2,476,251 101,371
Lowe's Cos., Inc. 2,492,824 101,115
NIKE, Inc. Class B 2,060,123 100,302
- - Boston Scientific Corp. 1,385,539 99,239
Franklin Resources Corp. 1,799,841 97,191
- - Costco Cos., Inc. 1,538,391 97,015
The Chubb Corp. 1,205,860 96,921
- - Clear Channel
Communications, Inc. 884,918 96,567
The Hartford Financial
Services Group Inc. 836,744 95,703
International Paper Co. 2,185,294 93,968
Pitney Bowes, Inc. 1,951,188 93,901
Deere & Co. 1,768,331 93,500
- - Tellabs, Inc. 1,293,920 92,677
Albertson's, Inc. 1,748,724 90,606
Phillips Petroleum Co. 1,866,512 89,943
</TABLE>
17
<PAGE> 103
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------
MARKET
VALUE*
500 PORTFOLIO SHARES (000)
- ----------------------------------------------------------------------
<S> <C> <C>
Ralston-Ralston Purina Group 759,425 $ 88,710
Mattel, Inc. 2,095,314 88,658
PPG Industries, Inc. 1,262,368 87,813
United Healthcare Corp. 1,373,293 87,204
PG&E Corp. 2,728,115 86,106
Aon Corp. 1,195,799 84,005
Texas Utilities Co. 2,007,082 83,545
Textron, Inc. 1,165,305 83,538
Halliburton Co. 1,871,053 83,379
FPL Group, Inc. 1,289,372 81,230
Bankers Trust Corp. 697,472 80,950
Wrigley, (Wm.) Jr. Co. 825,882 80,936
Norfolk Southern Corp. 2,703,273 80,591
- - Federated Department
Stores, Inc. 1,495,426 80,473
Aetna Inc. 1,052,439 80,117
SunAmerica Inc. 1,390,741 79,881
Aluminum Co. of America 1,209,372 79,743
State Street Corp. 1,145,348 79,602
Archer-Daniels-Midland Co. 4,051,707 78,502
Service Corp. International 1,826,213 78,299
- - The Kroger Co. 1,819,314 78,003
Union Pacific Corp. 1,759,518 77,639
- - 3Com Corp. 2,528,913 77,606
Edison International 2,616,504 77,350
Consolidated Edison Inc. 1,674,624 77,137
General Mills, Inc. 1,126,625 77,033
- - Applied Materials, Inc. 2,609,865 76,991
Guidant Corp. 1,076,730 76,784
- - HEALTHSOUTH Corp. 2,858,133 76,276
Comcast Corp. Class A Special 1,860,029 75,506
Honeywell, Inc. 901,575 75,338
Comerica, Inc. 1,116,147 73,945
Cardinal Health, Inc. 787,207 73,801
Masco Corp. 1,207,675 73,064
Cognizant Corp. 1,155,458 72,794
Progressive Corp. of Ohio 514,777 72,584
Avon Products, Inc. 935,690 72,516
The Goodyear Tire &
Rubber Co. 1,114,853 71,838
Pioneer Hi-Bred
International, Inc. 1,731,241 71,630
Loews Corp. 818,002 71,268
Computer Sciences Corp. 1,113,016 71,233
CSX Corp. 1,554,293 70,720
Occidental Petroleum Corp. 2,617,806 70,681
USX-Marathon Group 2,055,406 70,526
The Clorox Co. 737,283 70,318
Hershey Foods Corp. 1,017,530 70,210
Fort James Corp. 1,574,089 70,047
St. Paul Cos., Inc. 1,664,947 70,032
Delta Air Lines, Inc. 540,397 69,846
ALLTEL Corp. 1,495,689 69,550
- - Tenet Healthcare Corp. 2,200,771 68,774
Rite Aid Corp. 1,830,136 68,744
Rockwell International Corp. 1,422,637 68,375
BB&T Corp. 1,010,810 68,356
Becton, Dickinson & Co. 878,881 68,223
- - Ascend Communications, Inc. 1,357,045 67,259
Air Products & Chemicals, Inc. 1,667,152 66,686
- - Kmart Corp. 3,458,604 66,578
Lincoln National Corp. 724,362 66,189
- - FDX Corp. 1,050,764 65,935
Lehman Brothers Holdings, Inc. 843,743 65,443
Weyerhaeuser Co. 1,413,939 65,306
Houston Industries, Inc. 2,104,236 64,968
Unocal Corp. 1,747,750 62,482
Conseco Inc. 1,336,433 62,478
Sysco Corp. 2,408,720 61,723
Charles Schwab Corp. 1,894,730 61,579
American Electric Power
Co., Inc. 1,351,549 61,327
Northern Trust Corp. 795,679 60,671
Omnicom Group Inc. 1,214,404 60,568
Summit Bancorp. 1,268,333 60,246
Tribune Co. 870,235 59,883
Beneficial Corp. 390,557 59,828
Interpublic Group of Cos., Inc. 973,493 59,079
Marriott International, Inc.
Class A 1,809,317 58,577
The McGraw-Hill Cos., Inc. 705,249 57,522
Corning, Inc. 1,645,870 57,194
- - US Airways Group, Inc. 719,666 57,033
Dominion Resources, Inc. 1,395,504 56,867
Public Service Enterprise
Group, Inc. 1,643,039 56,582
- - Gateway, Inc. 1,110,931 56,241
Newell Co. 1,127,290 56,153
H.F. Ahmanson & Co. 784,238 55,681
TJX Cos., Inc. 2,284,234 55,107
Dresser Industries, Inc. 1,243,681 54,800
UNUM Corp. 985,104 54,673
Dover Corp. 1,591,931 54,524
Burlington Resources, Inc. 1,265,279 54,486
Unicom Corp. 1,549,611 54,333
AMP, Inc. 1,569,610 53,955
Winn-Dixie Stores, Inc. 1,053,600 53,931
New York Times Co. Class A 679,685 53,865
The Quaker Oats Co. 979,422 53,807
The Limited, Inc. 1,603,348 53,111
Providian Financial Corp. 673,074 52,878
Coastal Corp. 751,834 52,487
- - Parametric Technology Corp. 1,932,862 52,429
Praxair, Inc. 1,117,687 52,322
MBIA, Inc. 694,136 51,973
Union Carbide Corp. 971,532 51,855
Transamerica Corp. 448,933 51,683
Ingersoll-Rand Co. 1,171,606 51,624
Mercantile Bancorp, Inc. 1,018,373 51,301
Barrick Gold Corp. 2,642,430 50,702
- - Bay Networks, Inc. 1,568,603 50,587
Entergy Corp. 1,759,156 50,576
Hilton Hotels Corp. 1,772,850 50,526
- - Unisys Corp. 1,783,961 50,397
FirstEnergy Corp. 1,630,418 50,135
Northrop Grumman Corp. 482,844 49,793
- - Owens-Illinois, Inc. 1,092,638 48,896
Republic New York Corp. 773,826 48,703
- - NEXTEL Communications, Inc. 1,947,507 48,444
TRW, Inc. 872,356 47,652
</TABLE>
18
<PAGE> 104
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ----------------------------------------------------------------------
<S> <C> <C>
PacifiCorp 2,102,016 $ 47,558
- - Toys R Us, Inc. 2,014,749 47,472
Fortune Brands, Inc. 1,234,751 47,461
R.R. Donnelley & Sons Co. 1,033,717 47,293
Cooper Industries, Inc. 857,115 47,088
American Stores Co. 1,934,968 46,802
Southwest Airlines Co. 1,576,716 46,710
Carolina Power & Light Co. 1,071,441 46,474
Browning-Ferris Industries, Inc. 1,336,757 46,452
MGIC Investment Corp. 808,193 46,117
PECO Energy Corp. 1,575,463 45,984
Tenneco, Inc. 1,205,603 45,888
Huntington Bancshares Inc. 1,365,186 45,734
SAFECO Corp. 1,005,681 45,696
Cincinnati Financial Corp. 1,189,518 45,648
Torchmark Corp. 991,999 45,384
Rohm & Haas Co. 434,388 45,149
Avery Dennison Corp. 835,923 44,931
VF Corp. 865,691 44,583
Alcan Aluminium Ltd. 1,611,581 44,520
- - Sempra Energy 1,603,816 44,506
Synovus Financial Corp. 1,857,387 44,113
The Dun & Bradstreet Corp. 1,210,945 43,745
Genuine Parts Co. 1,264,170 43,693
Jefferson-Pilot Corp. 753,805 43,674
Golden West Financial Corp. 408,590 43,438
Crown Cork & Seal Co., Inc. 909,675 43,210
Nordstrom, Inc. 547,351 42,283
Bear Stearns Co., Inc. 738,100 41,979
General Dynamics Corp. 896,269 41,676
Baker Hughes, Inc. 1,199,757 41,467
DTE Energy Co. 1,026,426 41,442
Green Tree Financial Corp. 963,344 41,243
Black & Decker Corp. 672,190 41,004
- - Seagate Technology 1,716,412 40,872
Sherwin-Williams Co. 1,224,332 40,556
Eaton Corp. 520,194 40,445
Dana Corp. 755,645 40,427
Central & South West Corp. 1,502,443 40,378
Consolidated Natural Gas Co. 675,882 39,793
The Times Mirror Co. Class A 626,083 39,365
SLM Holding Corp. 798,860 39,144
Cinergy Corp. 1,117,101 39,099
Countrywide Credit
Industries, Inc. 768,419 38,997
Tandy Corp. 731,000 38,789
Ameren Corp. 971,352 38,611
Georgia Pacific Group 655,051 38,607
Equifax, Inc. 1,063,057 38,602
- - Thermo Electron Corp. 1,126,862 38,525
Dow Jones & Co., Inc. 682,023 38,023
Frontier Corp. 1,205,727 37,980
- - Micron Technology, Inc. 1,517,525 37,654
Hasbro, Inc. 943,066 37,074
- - Humana, Inc. 1,188,352 37,062
Whirlpool Corp. 531,994 36,575
UST, Inc. 1,325,671 35,793
Rubbermaid, Inc. 1,061,201 35,219
Amerada Hess Corp. 648,401 35,216
W.W. Grainger, Inc. 703,793 35,058
Eastman Chemical Co. 562,528 35,017
- - AutoZone Inc. 1,077,491 34,412
Johnson Controls, Inc. 596,153 34,092
- - Tricon Global Restaurants, Inc. 1,075,068 34,066
GPU, Inc. 898,644 33,980
International Flavors &
Fragrances, Inc. 772,867 33,571
Champion International Corp. 678,882 33,392
Maytag Corp. 671,794 33,170
- - Western Atlas, Inc. 386,099 32,770
Columbia Energy Group 589,022 32,764
Circuit City Stores, Inc. 698,593 32,747
Dillard's Inc. 787,256 32,622
Baltimore Gas & Electric Co. 1,046,682 32,513
- - Novell, Inc. 2,498,768 31,859
Knight Ridder 578,328 31,844
Allegheny Teledyne Inc. 1,385,614 31,696
Raytheon Co. Class A 549,469 31,663
Union Pacific Resources
Group, Inc. 1,797,743 31,573
Brown-Forman Corp. Class B 488,466 31,384
H & R Block, Inc. 743,596 31,324
ITT Industries, Inc. 837,936 31,318
- - Ceridian Corp. 529,316 31,097
Northern States Power Co. 1,076,884 30,826
Fluor Corp. 593,840 30,286
Comcast Corp. Class A 760,722 30,239
Sonat, Inc. 777,964 30,049
Parker Hannifin Corp. 784,399 29,905
Harcourt General, Inc. 501,244 29,824
Reynolds Metals Co. 524,680 29,349
PACCAR, Inc. 554,027 28,948
Nucor Corp. 621,917 28,608
Anadarko Petroleum Corp. 424,640 28,530
- - General Instrument Corp. 1,049,275 28,527
Laidlaw, Inc. 2,326,708 28,357
Ecolab, Inc. 913,158 28,308
Hercules, Inc. 684,163 28,136
- - Consolidated Stores, Inc. 762,143 27,628
Ashland, Inc. 533,237 27,528
- - Apple Computer, Inc. 946,419 27,150
- - Mirage Resorts, Inc. 1,270,136 27,070
PP&L Resources Inc. 1,174,347 26,643
Biomet, Inc. 797,778 26,377
Newmont Mining Corp. 1,115,742 26,359
The Stanley Works 631,453 26,245
American Greetings Corp.
Class A 515,052 26,235
- - ALZA Corp. 604,531 26,146
Sun Co., Inc. 668,180 25,934
The BFGoodrich Co. 520,960 25,853
Case Corp. 531,941 25,666
Harris Corp. 567,000 25,338
Willamette Industries, Inc. 787,204 25,191
- - DSC Communications Corp. 837,897 25,137
Sigma-Aldrich Corp. 715,217 25,122
U.S. Surgical Corp. 547,278 24,970
Liz Claiborne, Inc. 472,288 24,677
Union Camp Corp. 494,356 24,532
Phelps Dodge Corp. 416,047 23,793
</TABLE>
19
<PAGE> 105
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------
MARKET
VALUE*
500 PORTFOLIO SHARES (000)
- ----------------------------------------------------------------------
<S> <C> <C>
The Mead Corp. 740,807 $ 23,521
- - LSI Logic Corp. 1,003,663 23,147
Morton International, Inc. 922,834 23,071
Wendy's International, Inc. 937,398 22,029
- - Sealed Air Corp. 596,372 21,917
Echlin, Inc. 446,295 21,896
- - St. Jude Medical, Inc. 594,065 21,869
Apache Corp. 688,709 21,694
Temple-Inland Inc. 399,505 21,523
Allergan, Inc. 460,995 21,379
Perkin-Elmer Corp. 343,664 21,372
Adobe Systems, Inc. 491,050 20,839
Engelhard Corp. 1,020,511 20,665
Placer Dome, Inc. 1,755,810 20,631
Deluxe Corp. 575,028 20,593
Mercantile Stores Co., Inc. 259,391 20,476
Westvaco Corp. 720,001 20,340
USX-U.S. Steel Group 610,657 20,152
- - Niagara Mohawk Power Corp. 1,321,195 19,735
Bausch & Lomb, Inc. 390,599 19,579
Kerr-McGee Corp. 336,743 19,489
Armstrong World Industries Inc. 287,738 19,386
Thomas & Betts Corp. 388,583 19,138
SuperValu Inc. 425,761 18,893
Giant Food, Inc. Class A 427,089 18,391
- - Venator Group, Inc. 955,909 18,282
Pall Corp. 881,787 18,077
Freeport-McMoRan Copper &
Gold Inc. Class B 1,166,037 17,709
Raychem Corp. 598,913 17,705
- - FMC Corp. 257,237 17,540
Meredith Corp. 372,572 17,488
Brunswick Corp. 703,801 17,419
Manor Care Inc. 449,013 17,259
- - Fruit of the Loom, Inc. 519,225 17,232
- - Advanced Micro Devices, Inc. 1,004,544 17,140
Capital One Financial Corp. 137,976 17,135
Ryder System, Inc. 541,582 17,094
Pennzoil Co. 335,417 16,980
Darden Restaurants Inc. 1,051,454 16,692
Great Lakes Chemical Corp. 422,947 16,680
- - Harrah's Entertainment, Inc. 715,585 16,637
- - KLA-Tencor Corp. 600,186 16,618
- - Oryx Energy Co. 748,947 16,570
Nalco Chemical Co. 471,368 16,557
Inco Ltd. 1,190,419 16,219
- - Silicon Graphics, Inc. 1,323,929 16,053
Centex Corp. 420,204 15,863
Crane Co. 325,386 15,802
Snap-On Inc. 430,945 15,622
Homestake Mining Co. 1,497,996 15,542
National Service
Industries, Inc. 304,497 15,491
Owens Corning 377,560 15,409
Bemis Co., Inc. 375,753 15,359
Mallinckrodt, Inc. 517,155 15,353
- - National Semiconductor Corp. 1,160,149 15,299
C.R. Bard, Inc. 401,044 15,265
- - 360 Communications Co. 476,845 15,259
- - Cabletron Systems, Inc. 1,121,379 15,069
- - Navistar International Corp. 512,827 14,808
McDermott International, Inc. 428,211 14,747
Louisiana-Pacific Corp. 776,470 14,171
Scientific-Atlanta, Inc. 557,317 14,142
IKON Office Solutions, Inc. 956,669 13,931
Cummins Engine Co., Inc. 269,641 13,819
The Timken Co. 446,333 13,753
NICOR, Inc. 340,434 13,660
Shared Medical Systems Corp. 184,894 13,578
- - King World Productions, Inc. 521,301 13,293
Boise Cascade Corp. 398,547 13,052
Autodesk, Inc. 331,818 12,816
Tektronix, Inc. 355,668 12,582
Tupperware Corp. 431,047 12,123
- - Rowan Cos., Inc. 614,389 11,942
Alberto-Culver Co. Class B 400,342 11,610
Aeroquip-Vickers Inc. 198,776 11,604
Cooper Tire & Rubber Co. 555,717 11,462
General Signal Corp. 317,827 11,442
- - Andrew Corp. 628,362 11,350
Polaroid Corp. 316,093 11,241
- - Bethlehem Steel Corp. 902,258 11,222
- - Reebok International Ltd. 398,772 11,041
- - Stone Container Corp. 704,126 11,002
Worthington Industries, Inc. 687,610 10,357
Fleetwood Enterprises, Inc. 258,249 10,330
Battle Mountain Gold Co.
Class A 1,629,628 9,676
Peoples Energy Corp. 248,110 9,583
EG&G, Inc. 318,990 9,570
Harnischfeger Industries Inc. 336,646 9,531
Pulte Corp. 299,700 8,954
W.R. Grace & Co. 521,766 8,903
Great Atlantic & Pacific Tea
Co., Inc. 269,115 8,898
Adolph Coors Co. Class B 260,951 8,872
Kaufman & Broad Home Corp. 275,808 8,757
Cyprus Amax Minerals Co. 659,610 8,740
ONEOK, Inc. 217,798 8,685
Potlatch Corp. 204,022 8,569
Ball Corp. 212,610 8,544
The Pep Boys
(Manny, Moe & Jack) 450,180 8,525
Millipore Corp. 307,447 8,378
Moore Corp. Ltd. 630,104 8,349
Longs Drug Stores, Inc. 272,708 7,874
Helmerich & Payne, Inc. 352,994 7,854
Russell Corp. 256,876 7,754
NACCO Industries, Inc. Class A 57,391 7,418
Cincinnati Milacron, Inc. 281,806 6,851
Jostens Inc. 275,264 6,641
Springs Industries Inc. Class A 142,042 6,552
Briggs & Stratton Corp. 174,712 6,541
ASARCO, Inc. 284,175 6,323
Foster Wheeler Corp. 286,413 6,140
Eastern Enterprises 142,857 6,125
- - Data General Corp. 341,228 5,097
- - Armco, Inc. 756,902 4,825
- - Viacom Inc. Class A 71,693 4,194
- - Vlasic Foods International, Inc. 175,437 3,531
</TABLE>
20
<PAGE> 106
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ----------------------------------------------------------------------
<S> <C> <C>
Freeport-McMoRan Copper &
Gold, Inc. Class A 175,183 $ 2,496
Sealed Air Corp. Pfd. 27,160 1,141
- - Octel Corp. 23,706 471
- - Charming Shoppes, Inc. 41,296 196
Inland Steel Industries, Inc. 1,227 35
Alberto-Culver Co. Class A 1,000 25
- - Fresenius National Medical
Care Pfd. 135,422 8
- ----------------------------------------------------------------------
TOTAL COMMON STOCKS
(COST $38,132,642) 64,057,960
- ----------------------------------------------------------------------
<CAPTION>
FACE
AMOUNT
(000)
- ----------------------------------------------------------------------
TEMPORARY CASH INVESTMENTS (0.4%)
- ----------------------------------------------------------------------
<S> <C> <C>
U.S. Treasury Bills
(2) 4.744%, 7/9/1998 $ 30,000 29,969
(2) 4.97%, 7/23/1998 9,000 8,973
REPURCHASE AGREEMENTS
Collateralized by U.S. Government
Obligations in a Pooled
Cash Account
5.67%, 7/1/1998 183,104 183,104
5.76%, 7/1/1998--Note F 22,837 22,837
- ----------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(COST $244,880) 244,883
- ----------------------------------------------------------------------
TOTAL INVESTMENTS (100.0%)
(COST $38,377,522) 64,302,843
- ----------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES
- ----------------------------------------------------------------------
Other Assets--Note B 975,753
Liabilities--Note F (997,626)
-------------
(21,873)
- ----------------------------------------------------------------------
NET ASSETS (100%)
- ----------------------------------------------------------------------
Applicable to 610,461,655 outstanding
shares of beneficial interest
(unlimited authorization) $64,280,970
======================================================================
NET ASSET VALUE PER SHARE $105.30
======================================================================
</TABLE>
*See Note A in Notes to Financial Statements.
-Non-Income-Producing Security.
(1)The combined market value of common stocks and index futures contracts
represents 100.1% of net assets. See Note E in Notes to Financial Statements.
(2)Securities with an aggregate value of $38,942,000 have been segregated as
initial margin for open futures contracts.
ADR--American Depositary Receipt.
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------
AMOUNT PER
(000) SHARE
- ----------------------------------------------------------------------
AT JUNE 30, 1998, NET ASSETS CONSISTED OF:
- ----------------------------------------------------------------------
<S> <C> <C>
Paid in Capital--Note D $38,127,951 $ 62.46
Undistributed Net
Investment Income 67,567 .11
Accumulated Net
Realized Gains--Note D 154,887 .25
Unrealized Appreciation--
Note E
Investment Securities 25,925,321 42.47
Futures Contracts 5,244 .01
======================================================================
NET ASSETS $64,280,970 $105.30
======================================================================
</TABLE>
21
<PAGE> 107
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 each
class of its shares. 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>
- ----------------------------------------------------------------------------------------------------------
500
PORTFOLIO
-----------------
SIX MONTHS ENDED
JUNE 30, 1998
-----------------
(000)
- ----------------------------------------------------------------------------------------------------------
<S> <C>
INVESTMENT INCOME
INCOME
Dividends $ 420,319
Interest 23,086
-----------------
Total Income 443,405
-----------------
EXPENSES
The Vanguard Group--Note B
Investment Advisory Services 51
Management and Administrative 42,421
Marketing and Distribution 7,999
Custodian Fees 100
Auditing Fees 23
Shareholders' Reports 856
Annual Meeting and Proxy Costs 140
Trustees' Fees and Expenses 52
-----------------
Total Expenses 51,642
- ----------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 391,763
- ----------------------------------------------------------------------------------------------------------
REALIZED NET GAIN
Investment Securities Sold 642,074
Futures Contracts 96,014
- ----------------------------------------------------------------------------------------------------------
REALIZED NET GAIN 738,088
- ----------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Investment Securities 7,961,780
Futures Contracts 5,364
- ----------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) 7,967,144
- ----------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $9,096,995
==========================================================================================================
</TABLE>
22
<PAGE> 108
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL STOCK
GROWTH VALUE MARKET
PORTFOLIO* PORTFOLIO* PORTFOLIO*
--------------------------------------------------------
SIX MONTHS ENDED JUNE 30, 1998
--------------------------------------------------------
(000) (000) (000)
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
INVESTMENT INCOME
INCOME
Dividends $ 17,758 $ 19,670 $ 52,165
Interest 876 252 12,873
--------------------------------------------------------
Total Income 18,634 19,922 65,038
--------------------------------------------------------
EXPENSES
The Vanguard Group--Note B
Investment Advisory Services 17 17 43
Management and Administrative 1,257 694 2,595
Shareholder Account Maintenance--Investor Shares 1,688 1,191 3,004
Shareholder Account Maintenance--Institutional Shares 1 -- 101
Marketing and Distribution--Investor Shares 479 300 956
Marketing and Distribution--Institutional Shares -- -- 152
Custodian Fees 17 17 135
Auditing Fees 5 5 7
Shareholders' Reports--Investor Shares 59 36 61
Shareholders' Reports--Institutional Shares -- -- --
Annual Meeting and Proxy Costs--Investor Shares 11 6 12
Annual Meeting and Proxy Costs--Institutional Shares -- -- --
Trustees' Fees and Expenses 3 2 7
--------------------------------------------------------
Total Expenses 3,537 2,268 7,073
- -------------------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 15,097 17,654 57,965
- -------------------------------------------------------------------------------------------------------------------------------
REALIZED NET GAIN
Investment Securities Sold 32,545 59,795 15,265
Futures Contracts 1,919 594 36,824
- -------------------------------------------------------------------------------------------------------------------------------
REALIZED NET GAIN 34,464 60,389 52,089
- -------------------------------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Investment Securities 597,130 147,687 988,133
Futures Contracts 510 (88) 8,749
- -------------------------------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) 597,640 147,599 996,882
- -------------------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $647,201 $225,642 $1,106,936
===============================================================================================================================
</TABLE>
*The Statements of Net Assets for the Growth, Value, and Total Stock Market
Portfolios, an integral part of the Financial Statements for each portfolio,
are included as an insert to this report.
23
<PAGE> 109
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
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. Distributions, Capital Share
Transactions, and Shares Issued and Redeemed are shown separately for each class
of shares.
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------------------
500 GROWTH
PORTFOLIO PORTFOLIO
-------------------------------- ---------------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
JUN. 30, 1998 DEC. 31, 1997 JUN. 30, 1998 DEC. 31, 1997
(000) (000) (000) (000)
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INCREASE IN NET ASSETS
OPERATIONS
Net Investment Income $ 391,763 $ 674,692 $ 15,097 $ 19,480
Realized Net Gain 738,088 1,041,603 34,464 18,793
Change in Unrealized Appreciation (Depreciation) 7,967,144 9,507,985 597,640 403,381
-----------------------------------------------------------------------
Net Increase in Net Assets
Resulting from Operations 9,096,995 11,224,280 647,201 441,654
-----------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income
Investor Shares (319,067) (679,820) (13,774) (20,049)
Institutional Shares* -- -- (29) --
Realized Capital Gain
Investor Shares (69,301) (315,842) -- (25,678)
Institutional Shares* -- -- -- --
-----------------------------------------------------------------------
Total Distributions (388,368) (995,662) (13,803) (45,727)
-----------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS--INVESTOR SHARES(1)
Issued 10,651,109 15,607,963 1,430,593 1,584,042
Issued in Lieu of Cash Distributions 356,976 918,542 12,567 42,674
Redeemed (4,793,365) (7,729,352) (291,864) (444,214)
-----------------------------------------------------------------------
Net Increase--Investor Shares 6,214,720 8,797,153 1,151,296 1,182,502
-----------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS--INSTITUTIONAL SHARES(2)
Issued -- -- 15,403 --
Issued in Lieu of Cash Distributions -- -- 29 --
Redeemed -- -- -- --
-----------------------------------------------------------------------
Net Increase--Institutional Shares* -- -- 15,432 --
- ---------------------------------------------------------------------------------------------------------------------------------
Total Increase 14,923,347 19,025,771 1,800,126 1,578,429
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSETS
Beginning of Period 49,357,623 30,331,852 2,365,333 786,904
-----------------------------------------------------------------------
End of Period $ 64,280,970 $ 49,357,623 $ 4,165,459 $ 2,365,333
================================================================================================================================
(1)Shares Issued (Redeemed)--Investor Shares
Issued 107,318 193,975 56,412 77,631
Issued in Lieu of Cash Distributions 3,462 10,883 469 1,992
Redeemed (48,308) (95,387) (11,552) (21,190)
-----------------------------------------------------------------------
Net Increase in Shares Outstanding 62,472 109,471 45,329 58,433
================================================================================================================================
(2)Shares Issued (Redeemed)--Institutional Shares
Issued -- -- 581 --
Issued in Lieu of Cash Distributions -- -- 1 --
Redeemed -- -- -- --
-----------------------------------------------------------------------
Net Increase in Shares Outstanding -- -- 582 --
=================================================================================================================================
</TABLE>
*The 500 Portfolio does not offer Institutional Shares.
24
<PAGE> 110
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------------------
VALUE TOTAL STOCK
PORTFOLIO MARKET PORTFOLIO
-------------------------------- ---------------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
JUN. 30, 1998 DEC. 30, 1997 JUN. 30, 1998 DEC. 30, 1997
(000) (000) (000) (000)
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INCREASE IN NET ASSETS
OPERATIONS
Net Investment Income $ 17,654 $ 28,968 $ 57,965 $ 82,476
Realized Net Gain 60,389 70,507 52,089 77,515
Change in Unrealized Appreciation (Depreciation) 147,599 258,841 996,882 1,115,640
-----------------------------------------------------------------------
Net Increase in Net Assets
Resulting from Operations 225,642 358,316 1,106,936 1,275,631
-----------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income
Investor Shares (13,440) (28,623) (31,702) (69,922)
Institutional Shares -- -- (9,550) (13,602)
Realized Capital Gain
Investor Shares (34,906) (57,217) (11,342) (58,866)
Institutional Shares -- -- (3,176) (15,029)
-----------------------------------------------------------------------
Total Distributions (48,346) (85,840) (55,770) (157,419)
-----------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS--INVESTOR SHARES(1)
Issued 476,216 699,054 1,821,265 2,180,759
Issued in Lieu of Cash Distributions 44,674 79,396 39,937 119,225
Redeemed (206,110) (271,112) (576,499) (1,825,752)
-----------------------------------------------------------------------
Net Increase--Investor Shares 314,780 507,338 1,284,703 474,232
-----------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS--INSTITUTIONAL SHARES(2)
Issued -- -- 359,514 1,491,188
Issued in Lieu of Cash Distributions -- -- 11,727 27,855
Redeemed -- -- (98,688) (45,886)
-----------------------------------------------------------------------
Net Increase--Institutional Shares -- -- 272,553 1,473,157
- ---------------------------------------------------------------------------------------------------------------------------------
Total Increase 492,076 779,814 2,608,422 3,065,601
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSETS
Beginning of Period 1,795,541 1,015,727 6,596,457 3,530,856
-----------------------------------------------------------------------
End of Period $2,287,617 $1,795,541 $9,204,879 $6,596,457
=================================================================================================================================
(1)Shares Issued (Redeemed)--Investor Shares
Issued 21,319 36,479 74,279 104,873
Issued in Lieu of Cash Distributions 1,962 4,104 1,562 5,629
Redeemed (9,280) (14,119) (23,361) (84,266)
-----------------------------------------------------------------------
Net Increase in Shares Outstanding 14,001 26,464 52,480 26,236
=================================================================================================================================
(2)Shares Issued (Redeemed)--Institutional Shares
Issued -- -- 14,495 67,190
Issued in Lieu of Cash Distributions -- -- 459 1,268
Redeemed -- -- (4,024) (2,045)
-----------------------------------------------------------------------
Net Increase in Shares Outstanding -- -- 10,930 66,413
=================================================================================================================================
</TABLE>
25
<PAGE> 111
FINANCIAL HIGHLIGHTS
This table summarizes each portfolio's investment results and distributions to
shareholders on a per-share basis for each class of shares. It also presents the
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.
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
500 PORTFOLIO
YEAR ENDED DECEMBER 31,
FOR A SHARE OUTSTANDING SIX MONTHS ENDED ------------------------------------------------------------------
THROUGHOUT EACH PERIOD JUNE 30, 1998 1997 1996 1995 1994 1993
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 90.07 $69.17 $57.60 $42.97 $43.83 $40.97
- ------------------------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .66 1.31 1.28 1.22 1.18 1.13
Net Realized and Unrealized Gain (Loss)
on Investments 15.23 21.50 11.82 14.76 (.67) 2.89
--------------------------------------------------------------------------------
Total from Investment Operations 15.89 22.81 13.10 15.98 .51 4.02
--------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.54) (1.32) (1.28) (1.22) (1.17) (1.13)
Distributions from Realized Capital Gains (.12) (.59) (.25) (.13) (.20) (.03)
--------------------------------------------------------------------------------
Total Distributions (.66) (1.91) (1.53) (1.35) (1.37) (1.16)
- ------------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $105.30 $90.07 $69.17 $57.60 $42.97 $43.83
====================================================================================================================================
TOTAL RETURN* 17.66% 33.19% 22.88% 37.45% 1.18% 9.89%
====================================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $64,281 $49,358 $30,332 $17,372 $9,356 $8,273
Ratio of Total Expenses to
Average Net Assets 0.18%+ 0.19% 0.20% 0.20% 0.19% 0.19%
Ratio of Net Investment Income to
Average Net Assets 1.37%+ 1.66% 2.04% 2.38% 2.72% 2.65%
Portfolio Turnover Rate** 4%+ 5% 5% 4% 6% 6%
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
*Total return figures do not reflect the annual account maintenance fee of $10.
**Portfolio turnover rates excluding in-kind redemptions were 1%, 3%, 2%, 2%,
4%, and 2%, respectively.
+Annualized.
26
<PAGE> 112
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
GROWTH PORTFOLIO-INVESTOR SHARES
YEAR ENDED DECEMBER 31,
FOR A SHARE OUTSTANDING SIX MONTHS ENDED ------------------------------------------------------------------
THROUGHOUT EACH PERIOD JUNE 30, 1998 1997 1996 1995 1994 1993
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $22.53 $16.90 $13.97 $10.28 $10.20 $10.26
- -----------------------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .11 .23 .22 .21 .21 .21
Net Realized and Unrealized Gain (Loss)
on Investments 5.06 5.88 3.07 3.68 .08 (.06)
-------------------------------------------------------------------------------
Total from Investment Operations 5.17 6.11 3.29 3.89 .29 .15
-------------------------------------- -----
DISTRIBUTIONS
Dividends from Net Investment Income (.10) (.23) (.22) (.20) (.21) (.21)
Distributions from Realized Capital Gains -- (.25) (.14) -- -- --
-------------------------------------------------------------------------------
Total Distributions (.10) (.48) (.36) (.20) (.21) (.21)
- -----------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $27.60 $22.53 $16.90 $13.97 $10.28 $10.20
===================================================================================================================================
TOTAL RETURN* 22.96% 36.34% 23.74% 38.06% 2.89% 1.53%
===================================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $4,149 $2,365 $787 $271 $86 $51
Ratio of Total Expenses to
Average Net Assets 0.22%** 0.20% 0.20% 0.20% 0.20% 0.20%
Ratio of Net Investment Income to
Average Net Assets 0.94%** 1.19% 1.57% 1.71% 2.08% 2.10%
Portfolio Turnover Rate 22%** 26% 29% 24% 28% 36%
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
*Total return figures do not reflect the annual account maintenance fee of $10.
**Annualized.
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
GROWTH PORTFOLIO--INSTITUTIONAL SHARES
MAY 14* TO
FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD JUN. 30, 1998
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $26.49
- ----------------------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .03
Net Realized and Unrealized Gain (Loss) on Investments 1.14
--------
Total from Investment Operations 1.17
--------
DISTRIBUTIONS
Dividends from Net Investment Income (.05)
Distributions from Realized Capital Gains --
--------
Total Distributions (.05)
- ----------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $27.61
==================================================================================================================================
TOTAL RETURN 4.42%
==================================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $16
Ratio of Total Expenses to Average Net Assets 0.12%**
Ratio of Net Investment Income to Average Net Assets 1.01%**
Portfolio Turnover Rate 22%**
- ----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
*Inception.
**Annualized.
27
<PAGE> 113
FINANCIAL HIGHLIGHTS (continued)
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
VALUE PORTFOLIO-INVESTOR SHARES
YEAR ENDED DECEMBER 31,
FOR A SHARE OUTSTANDING SIX MONTHS ENDED --------------------------------------------------------------------
THROUGHOUT EACH PERIOD JUNE 30, 1998 1997 1996 1995 1994 1993
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $20.85 $17.02 $14.79 $11.12 $11.74 $10.30
- ------------------------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .18 .38 .37 .41 .38 .38
Net Realized and Unrealized Gain (Loss)
on Investments 2.34 4.57 2.81 3.66 (.46) 1.50
---------------------------------------------------------------------------------
Total from Investment Operations 2.52 4.95 3.18 4.07 (.08) 1.88
---------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.14) (.37) (.38) (.40) (.38) (.38)
Distributions from Realized Capital Gains (.38) (.75) (.57) -- (.16) (.06)
---------------------------------------------------------------------------------
Total Distributions (.52) (1.12) (.95) (.40) (.54) (.44)
- ------------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $22.85 $20.85 $17.02 $14.79 $11.12 $11.74
====================================================================================================================================
TOTAL RETURN* 12.10% 29.77% 21.86% 36.94% -0.73% 18.35%
====================================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $2,288 $1,796 $1,016 $496 $297 $190
Ratio of Total Expenses to
Average Net Assets 0.22%** 0.20% 0.20% 0.20% 0.20% 0.20%
Ratio of Net Investment Income to
Average Net Assets 1.71%** 2.05% 2.54% 3.06% 3.37% 3.26%
Portfolio Turnover Rate 26%** 25% 29% 27% 32% 30%
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
*Total return figures do not reflect the annual account maintenance fee of $10.
**Annualized.
28
<PAGE> 114
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
TOTAL STOCK MARKET PORTFOLIO-INVESTOR SHARES
YEAR ENDED DECEMBER 31,
FOR A SHARE OUTSTANDING SIX MONTHS ENDED ------------------------------------------------------------
THROUGHOUT EACH PERIOD JUNE 30, 1998 1997 1996 1995 1994 1993
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $22.64 $17.77 $15.04 $11.37 $11.69 $10.84
- -----------------------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .168 .319 .29 .29 .27 .26
Net Realized and Unrealized Gain (Loss)
on Investments 3.307 5.143 2.84 3.75 (.29) .88
------------------------------------------------------------------------
Total from Investment Operations 3.475 5.462 3.13 4.04 (.02) 1.14
------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.120) (.322) (.29) (.28) (.27) (.26)
Distributions from Realized Capital Gains (.045) (.270) (.11) (.09) (.03) (.03)
------------------------------------------------------------------------
Total Distributions (.165) (.592) (.40) (.37) (.30) (.29)
- -----------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $25.95 $22.64 $17.77 $15.04 $11.37 $11.69
===================================================================================================================================
TOTAL RETURN* 15.36% 30.99% 20.96% 35.79% -0.17% 10.62%
===================================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $7,198 $5,092 $3,531 $1,571 $786 $512
Ratio of Total Expenses to
Average Net Assets 0.20%** 0.20% 0.22% 0.25% 0.20% 0.20%
Ratio of Net Investment Income to
Average Net Assets 1.43%** 1.65% 1.86% 2.14% 2.35% 2.31%
Portfolio Turnover Rate 2%** 2% 3% 3% 2% 1%
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
*Total return figures do not reflect the 0.25% transaction fee on purchases
through 1995 or the annual account maintenance fee of $10.
**Annualized.
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
TOTAL STOCK MARKET PORTFOLIO--INSTITUTIONAL SHARES
SIX MONTHS ENDED JUL. 7* TO
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD JUNE 30, 1998 DEC. 31, 1997
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 22.64 $ 21.27
- ----------------------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .178 .172
Net Realized and Unrealized Gain (Loss) on Investments 3.307 1.642
----------------------------
Total from Investment Operations 3.485 1.814
----------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.130) (.214)
Distributions from Realized Capital Gains (.045) (.230)
----------------------------
Total Distributions (.175) (.444)
- ----------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $25.95 $22.64
==================================================================================================================================
TOTAL RETURN 15.41% 8.60%
==================================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $2,007 $1,504
Ratio of Total Expenses to Average Net Assets 0.10%** 0.10%**
Ratio of Net Investment Income to Average Net Assets 1.53%** 1.70%**
Portfolio Turnover Rate 2%** 2%
- ----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
*Inception.
**Annualized.
29
<PAGE> 115
NOTES TO FINANCIAL STATEMENTS
The 500, Growth, Value, and Total Stock Market Portfolios of Vanguard Index
Trust are registered under the Investment Company Act of 1940 as diversified
open-end investment companies, or mutual funds.
A. The following significant accounting policies conform to generally accepted
accounting principles for mutual funds. The portfolios consistently follow such
policies in preparing their financial statements.
1. SECURITY VALUATION: Equity securities 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. Prices are taken from the primary market in which each security
trades. 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.
Securities for which market quotations are not readily available are valued by
methods deemed by the Board of Trustees to represent fair 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. REPURCHASE AGREEMENTS: The portfolios, along with other members of
The Vanguard Group, transfer 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.
4. FUTURES CONTRACTS: The portfolios use 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), S&P Midcap 400 Index (Total Stock
Market Portfolio), S&P/BARRA Growth Index (Growth Portfolio), S&P/BARRA Value
Index (Value Portfolio) and Russell 2000 Index (Total Stock Market 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).
5. DISTRIBUTIONS: Distributions to shareholders are recorded on the
ex-dividend date. Distributions are determined on a tax basis and may differ
from net investment income and realized capital gains for financial reporting
purposes.
6. 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.
30
<PAGE> 116
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 portfolios under methods approved by the
Board of Trustees. At June 30, 1998, the portfolios had contributed capital
aggregating $14,475,000 to Vanguard (included in Other Assets), representing
20.7% of Vanguard's capitalization. The portfolios' Trustees and officers are
also Directors and officers of Vanguard.
C. The Total Stock Market Portfolio and, effective in 1998, the Growth and Value
Portfolios each offer two classes of shares, Investor Shares and Institutional
Shares. The Growth Portfolio issued its first Institutional Shares on May 14,
1998; the Value Portfolio has not issued any Institutional shares as of June 30,
1998. Institutional Shares are designed primarily for institutional investors
that meet certain administrative and servicing criteria and have a minimum
investment of $10 million. Investor Shares are offered to all other investors.
Both classes of shares have equal rights to assets and earnings, except that
each class bears certain class-specific expenses related to its shareholder
activity. Class-specific expenses for the period ended June 30, 1998,
represented the following percentages of average net assets:
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------
PORTFOLIO INVESTOR SHARES INSTITUTIONAL SHARES
- -------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Growth 0.14%* 0.04%*
Total Stock Market 0.13%* 0.03%*
- -------------------------------------------------------------------------------------------------------------------
</TABLE>
*Annualized.
Income, expenses not attributable to a specific class, and realized and
unrealized gains and losses on investments are allocated to each class of shares
based on its relative net assets.
D. During the six months ended June 30, 1998, purchases and sales of investment
securities other than temporary cash investments were:
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------
(000)
---------------------------------------
PORTFOLIO PURCHASES SALES
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C>
500 $7,897,459 $1,174,089
Growth 1,543,154 355,927
Value 554,094 265,310
Total Stock Market 1,610,961 61,849
- --------------------------------------------------------------------------------------------------------------
</TABLE>
During the six months ended June 30, 1998, the 500 Portfolio realized
$541,066,000 of net capital gains resulting from in-kind redemptions--in which
shareholders exchange portfolio shares for securities held by the portfolio
rather than for cash. Because such gains are not taxable to the portfolio, and
are not distributed to shareholders, they have been reclassified from
accumulated net realized gains to paid in capital.
The 500 and Growth Portfolios used a tax accounting practice to apply
$17,574,000 and $1,318,000, respectively, of the price of capital shares
redeemed to reduce capital gain distribution requirements for tax purposes for
the fiscal year ended December 31, 1997. Capital gains that were so offset have
been reclassified from accumulated net realized gains to paid in capital.
31
<PAGE> 117
NOTES TO FINANCIAL STATEMENTS (continued)
E. At June 30, 1998, 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 $26,432,453 $(507,132) $25,925,321
Growth 1,154,978 (10,489) 1,144,489
Value 610,251 (27,700) 582,551
Total Stock Market 3,054,489 (206,607) 2,847,882
- --------------------------------------------------------------------------------------------------------------
</TABLE>
At June 30, 1998, the aggregate settlement value of open futures
contracts expiring in September 1998 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 Index 975 $278,606 $5,244
Growth/
S&P/BARRA Growth Index 75 11,507 471
Value/
S&P/BARRA Value Index 52 7,150 (102)
Total Stock Market/
S&P 500 Index 886 253,174 6,572
S&P Midcap 400 Index 443 80,759 920
Russell 2000 Index 233 53,864 2,257
- -----------------------------------------------------------------------------------------------------------------
</TABLE>
F. The market value of securities on loan to brokers/dealers at June 30, 1998,
and collateral received with respect to such loans were:
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------
(000)
-----------------------------------------
MARKET VALUE CASH
OF LOANED COLLATERAL
PORTFOLIO SECURITIES RECEIVED
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C>
500 $ 20,986 $ 22,837
Total Stock Market 148,716 159,951
- --------------------------------------------------------------------------------------------------------------
</TABLE>
Cash collateral received is invested in repurchase agreements.
32
<PAGE> 118
TRUSTEES AND OFFICERS
JOHN C. BOGLE
Senior 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
Chairman, Chief Executive Officer, and Director of The Vanguard Group, Inc., and
of each of the investment companies in The Vanguard Group.
BARBARA BARNES HAUPTFUHRER
Director of The Great Atlantic and Pacific
Tea Co., IKON Office Solutions, Inc.,
Raytheon Co., Knight-Ridder, Inc., Massachusetts Mutual Life Insurance Co., and
Ladies Professional Golf Association; Trustee Emerita of Wellesley College.
BRUCE K. MacLAURY
President Emeritus of The Brookings Institution; Director of American Express
Bank Ltd., The St. Paul Companies, Inc., and National Steel Corp.
BURTON G. MALKIEL
Chemical Bank Chairman's Professor of Economics, Princeton University; Director
of Prudential Insurance Co. of America, Amdahl Corp., Baker Fentress & Co., The
Jeffrey Co., and Southern New England Telecommunications 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. and The Mead Corp.; Trustee of Vanderbilt University.
OTHER FUND OFFICERS
RAYMOND J. KLAPINSKY
Secretary; Managing Director 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
R. GREGORY BARTON
Managing Director, Legal Department.
ROBERT A. DiSTEFANO
Managing Director, Information Technology.
JAMES H. GATELY
Managing Director, Individual Investor Group.
KATHLEEN C. GUBANICH
Managing Director, Human Resources.
IAN A. MacKINNON
Managing Director, Fixed Income Group.
F. WILLIAM McNABB, III
Managing Director, Institutional Investor Group.
MICHAEL S. MILLER
Managing Director, Planning and Development.
RALPH K. PACKARD
Managing Director and Chief Financial Officer.
GEORGE U. SAUTER
Managing Director, Core Management Group.
"Standard & Poor's(R)," "S&P(R)," "S&P 500(R)," "Standard & Poor's 500," and
"500" are trademarks of The McGraw-Hill Companies, Inc., and have been licensed
for use by Vanguard Index Trust and The Vanguard Group, Inc. These mutual funds
are not sponsored, endorsed, sold, or promoted by Standard & Poor's, and
Standard & Poor's makes no representation regarding the advisability of
investing in the funds. Frank Russell Company is the owner of trademarks and
copyrights relating to the Russell Indexes. "Wilshire 4500" and "Wilshire 5000"
are trademarks of Wilshire Associates.
33
<PAGE> 119
VANGUARD FAMILY OF FUNDS
STOCK FUNDS
Convertible Securities Fund
Equity Income Fund
Explorer Fund
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Horizon Fund
Aggressive Growth Portfolio
Capital Opportunity Portfolio
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Index Trust
500 Portfolio
Extended Market Portfolio
Growth Portfolio
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Portfolio
Small Capitalization Growth
Stock Portfolio
Small Capitalization Stock
Portfolio
Small Capitalization Value
Stock Portfolio
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International Equity Index Fund
Emerging Markets Portfolio
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Morgan Growth Fund
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Selected Value Portfolio
Specialized Portfolios
Energy Portfolio
Gold & Precious Metals
Portfolio
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Portfolio
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Total International Portfolio
Trustees' Equity Fund
U.S. Portfolio
U.S. Growth Portfolio
Windsor Fund
Windsor II
MONEY MARKET FUNDS
Admiral Funds
U.S. Treasury Money Market
Portfolio
Money Market Reserves
Federal Portfolio
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Municipal Bond Fund
Money Market Portfolio
State Tax-Free Funds
(CA, NJ, NY, OH, PA)
Treasury Money Market Portfolio
BOND FUNDS
Admiral Funds
Intermediate-Term U.S.
Treasury Portfolio
Long-Term U.S. Treasury
Portfolio
Short-Term U.S. Treasury
Portfolio
Bond Index Fund
Intermediate-Term Bond
Portfolio
Long-Term Bond Portfolio
Short-Term Bond Portfolio
Total Bond Market Portfolio
Fixed Income Securities Fund
GNMA Portfolio
High Yield Corporate Portfolio
Intermediate-Term Corporate
Portfolio
Intermediate-Term U.S.
Treasury Portfolio
Long-Term Corporate
Portfolio
Long-Term U.S. Treasury
Portfolio
Short-Term Corporate
Portfolio
Short-Term Federal Portfolio
Short-Term U.S. Treasury
Portfolio
Municipal Bond Fund
High-Yield Portfolio
Insured Long-Term Portfolio
Intermediate-Term Portfolio
Limited-Term Portfolio
Long-Term Portfolio
Short-Term Portfolio
Preferred Stock Fund
State Tax-Free Funds
(CA, FL, NJ, NY, OH, PA)
BALANCED FUNDS
Asset Allocation Fund
Balanced Index Fund
Horizon Fund
Global Asset Allocation
Portfolio
LifeStrategy Portfolios
Conservative Growth
Portfolio
Growth Portfolio
Income Portfolio
Moderate Growth Portfolio
STAR Portfolio
Tax-Managed Fund
Balanced Portfolio
Wellesley Income Fund
Wellington Fund
Q402-6/1998
(C) 1998 Vanguard Marketing
Corporation, Distributor.
All rights reserved.
[THE VANGUARD GROUP LOGO]
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
www.vanguard.com
[email protected]
All Vanguard funds are offered by prospectus only. Prospectuses contain more
complete information on advisory fees, distribution charges, and other expenses
and should be read carefully before you invest or send money. Prospectuses can
be obtained directly from The Vanguard Group.
<PAGE> 120
VANGUARD INDEX TRUST
FINANCIAL STATEMENTS
June 30, 1998 (unaudited)
The Statement of Net Assets should be read in conjunction with the accompanying
Statement of Operations, Statement of Changes in Net Assets, Financial
Highlights, and Notes to Financial Statements. The Statement of Net Assets for
the 500 Portfolio begins on page 16 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. Common
stocks are listed in descending market value order. 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. 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>
Growth Portfolio.............................. 1
Value Portfolio............................... 4
Total Stock Market Portfolio.................. 8
</TABLE>
<TABLE>
<CAPTION>
- ----------------------------------------------------------
MARKET
VALUE*
GROWTH PORTFOLIO SHARES (000)
- ----------------------------------------------------------
COMMON STOCKS (100.0%)(1)
- ----------------------------------------------------------
<S> <C> <C>
General Electric Co. 2,889,258 $ 262,922
- - Microsoft Corp. 2,168,374 234,998
The Coca-Cola Co. 2,189,851 187,232
Merck & Co., Inc. 1,059,969 141,771
Pfizer, Inc. 1,157,833 125,842
Wal-Mart Stores, Inc. 1,991,667 120,994
Intel Corp. 1,494,028 110,745
Procter & Gamble Co. 1,189,214 108,293
Bristol-Myers Squibb Co. 882,646 101,449
Lucent Technologies, Inc. 1,163,450 96,785
International Business
Machines Corp. 836,200 96,006
American International
Group, Inc. 620,439 90,584
Johnson & Johnson 1,192,450 87,943
Philip Morris Cos., Inc. 2,154,421 84,830
- - Cisco Systems, Inc. 907,205 83,520
E.I. du Pont de Nemours & Co. 1,000,720 74,679
SBC Communications Inc. 1,630,696 65,228
Eli Lilly & Co. 982,074 64,878
Bell Atlantic Corp. 1,358,700 61,991
American Home
Products Corp. 1,164,074 60,241
Schering-Plough Corp. 650,580 59,609
The Chase Manhattan Corp. 756,800 57,138
Gillette Co. 996,256 56,475
Abbott Laboratories 1,368,870 55,953
PepsiCo, Inc. 1,322,215 54,459
Home Depot, Inc. 651,600 54,124
- - Dell Computer Corp. 571,112 53,006
Warner-Lambert Co. 726,728 50,417
GTE Corp. 853,654 47,485
American Express Co. 408,922 46,617
Unilever NV ADR 567,668 44,810
Ameritech Corp. 975,900 43,793
Tyco International Ltd. 517,144 32,580
Schlumberger Ltd. 442,306 30,215
Monsanto Co. 531,173 29,679
- - AirTouch Communications, Inc. 507,620 29,664
</TABLE>
1
<PAGE> 121
<TABLE>
<CAPTION>
- ----------------------------------------------------------
MARKET
VALUE*
GROWTH PORTFOLIO SHARES (000)
- ----------------------------------------------------------
<S> <C> <C>
Xerox Corp. 291,100 $ 29,583
Minnesota Mining &
Manufacturing Co. 358,747 29,485
U.S. Bancorp 658,838 28,330
Freddie Mac 601,800 28,322
Computer Associates
International, Inc. 484,266 26,907
Medtronic, Inc. 416,372 26,544
Northern Telecom Ltd. 461,614 26,197
Emerson Electric Co. 392,600 23,703
Sara Lee Corp. 414,221 23,170
Colgate-Palmolive Co. 262,586 23,108
Kimberly-Clark Corp. 494,046 22,664
The Gap, Inc. 348,671 21,487
Campbell Soup Co. 402,700 21,393
- - Oracle Corp. 863,958 21,221
National City Corp. 291,100 20,668
Anheuser-Busch Cos., Inc. 430,937 20,335
- - EMC Corp. 441,298 19,776
Automatic Data Processing, Inc. 266,902 19,450
United Technologies Corp. 203,500 18,824
Dayton Hudson Corp. 387,604 18,799
H.J. Heinz Co. 324,290 18,201
Walgreen Co. 440,466 18,197
Gannett Co., Inc. 252,256 17,926
- - Tele-Communications, Inc.
Class A 449,823 17,290
Bestfoods 256,080 14,869
Illinois Tool Works, Inc. 221,590 14,777
Waste Management Inc. 421,800 14,763
- - Amgen, Inc. 225,281 14,728
MBNA Corp. 444,486 14,668
Kellogg Co. 362,922 13,632
ConAgra, Inc. 426,022 13,500
HBO & Co. 381,000 13,430
Baxter International, Inc. 249,242 13,412
Fifth Third Bancorp 212,119 13,364
CVS Corp. 340,844 13,272
- - Boston Scientific Corp. 172,387 12,347
Franklin Resources Corp. 224,300 12,112
Comcast Corp. Class A Special 297,249 12,066
Pitney Bowes, Inc. 242,600 11,675
- - Tellabs, Inc. 161,584 11,573
Mattel, Inc. 260,265 11,012
Ralston-Ralston Purina Group 93,681 10,943
Halliburton Co. 233,236 10,394
Wrigley, (Wm.) Jr. Co. 103,109 10,105
State Street Corp. 143,000 9,939
- - The Kroger Co. 227,072 9,736
General Mills, Inc. 140,358 9,597
Guidant Corp. 133,700 9,534
Cardinal Health, Inc. 98,000 9,188
Cognizant Corp. 144,377 9,096
Avon Products, Inc. 116,874 9,058
Pioneer Hi-Bred
International, Inc. 216,609 8,962
Computer Sciences Corp. 138,300 8,851
The Clorox Co. 92,170 8,791
Hershey Foods Corp. 126,968 8,761
Fort James Corp. 195,500 8,700
Becton, Dickinson & Co. 109,200 8,477
- - Ascend Communications, Inc. 171,000 8,475
Charles Schwab Corp. 236,700 7,693
Sysco Corp. 299,330 7,670
Omnicom Group Inc. 151,000 7,531
Interpublic Group of Cos., Inc. 120,897 7,337
Marriott International, Inc.
Class A 226,532 7,334
Corning, Inc. 205,804 7,152
- - US Airways Group, Inc. 89,479 7,091
Newell Co. 141,275 7,037
- - Gateway, Inc. 138,000 6,986
TJX Cos., Inc. 283,192 6,832
Dover Corp. 197,776 6,774
The Quaker Oats Co. 122,856 6,749
Providian Financial Corp. 84,300 6,623
- - Parametric Technology Corp. 239,900 6,507
- - Unisys Corp. 222,900 6,297
Hilton Hotels Corp. 218,848 6,237
Southwest Airlines Co. 197,900 5,863
Avery Dennison Corp. 104,038 5,592
Synovus Financial Corp. 233,300 5,541
Washington Mutual, Inc. 127,519 5,539
The Dun & Bradstreet Corp. 152,200 5,498
The Times Mirror Co. Class A 78,700 4,948
Frontier Corp. 151,800 4,782
Equifax, Inc. 131,100 4,761
UST, Inc. 164,576 4,444
SLM Holding Corp. 90,100 4,415
- - Tricon Global Restaurants, Inc. 135,100 4,281
International Flavors &
Fragrances, Inc. 95,524 4,149
Maytag Corp. 83,300 4,113
- - Western Atlas, Inc. 48,400 4,108
- - Ceridian Corp. 64,363 3,781
- - General Instrument Corp. 133,126 3,619
Ecolab, Inc. 114,228 3,541
- - ALZA Corp. 76,300 3,300
Biomet, Inc. 99,260 3,282
The Stanley Works 78,700 3,271
- - Sealed Air Corp. 74,016 2,720
Perkin-Elmer Corp. 43,525 2,707
Freeport-McMoRan Copper &
Gold Inc. Class B 160,724 2,441
Meredith Corp. 46,600 2,187
- - Applied Materials, Inc. 72,976 2,153
- - 3Com Corp. 69,448 2,131
- - Fruit of the Loom, Inc. 63,500 2,107
- - Oryx Energy Co. 94,138 2,083
Owens Corning 47,859 1,953
Shared Medical Systems Corp. 23,319 1,712
Autodesk, Inc. 41,500 1,603
Tupperware Corp. 55,300 1,555
Aeroquip-Vickers Inc. 25,002 1,459
- - Stone Container Corp. 88,000 1,375
Capital One Financial Corp. 9,300 1,155
Comcast Corp. Class A 27,755 1,103
Millipore Corp. 38,850 1,059
Jostens Inc. 33,100 799
- - Armco, Inc. 95,631 610
</TABLE>
2
<PAGE> 122
<TABLE>
<CAPTION>
- ----------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ----------------------------------------------------------
<S> <C> <C>
- - Sun Microsystems, Inc. 7,926 $ 344
- - Andrew Corp. 18,004 325
- - Vlasic Foods International, Inc. 13,950 281
Freeport-McMoRan Copper &
Gold, Inc. Class A 4,000 57
- - Costco Cos., Inc. 450 28
- - Fresenius National Medical
Care Pfd. 21,100 1
- ----------------------------------------------------------
TOTAL COMMON STOCKS
(COST $3,022,479) 4,166,968
- ----------------------------------------------------------
<CAPTION>
- ----------------------------------------------------------
FACE
AMOUNT
(000)
- ----------------------------------------------------------
TEMPORARY CASH INVESTMENTS (0.6%)
- ----------------------------------------------------------
<S> <C> <C>
U.S. Treasury Bill
(2) 4.744%, 7/9/1998 $ 800 799
REPURCHASE AGREEMENT
Collateralized by U.S. Government
Obligations in a Pooled
Cash Account
5.67%, 7/1/1998 24,641 24,641
- ----------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(COST $25,440) 25,440
- ----------------------------------------------------------
TOTAL INVESTMENTS (100.6%)
(COST $3,047,919) 4,192,408
- ----------------------------------------------------------
OTHER ASSETS AND LIABILITIES--NET (-0.6%) (26,949)
- ----------------------------------------------------------
NET ASSETS (100%) $4,165,459
==========================================================
</TABLE>
* See Note A in Notes to Financial Statements.
- - Non-Income-Producing Security.
(1)The combined market value of common stocks and index futures contracts
represents 100.3% of net assets. See Note E in Notes to Financial Statements.
(2)Security segregated as initial margin for open futures contracts.
ADR--American Depositary Receipt.
<TABLE>
<CAPTION>
- ----------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
- ----------------------------------------------------------
<S> <C>
ASSETS
Investments in Securities, at Value $4,192,408
Receivables for Investment
Securities Sold 342,813
Other Assets--Note B 27,686
-----------
Total Assets 4,562,907
-----------
LIABILITIES
Payables for Investment Securities
Purchased 392,424
Other Liabilities 5,024
-----------
Total Liabilities 397,448
- ----------------------------------------------------------
NET ASSETS $4,165,459
==========================================================
<CAPTION>
- ----------------------------------------------------------
AMOUNT
(000)
- ----------------------------------------------------------
AT JUNE 30, 1998, NET ASSETS CONSISTED OF:
- ----------------------------------------------------------
<S> <C>
Paid in Capital--Note D $2,995,517
Undistributed Net Investment Income 773
Accumulated Net Realized Gains--Note D 24,209
Unrealized Appreciation--Note E
Investment Securities 1,144,489
Futures Contracts 471
- ----------------------------------------------------------
NET ASSETS $4,165,459
==========================================================
Investor Shares--Net Assets
Applicable to 150,312,986 outstanding
shares of beneficial interest
(unlimited authorization) $4,149,379
- ----------------------------------------------------------
NET ASSET VALUE PER SHARE--
INVESTOR SHARES $27.60
==========================================================
Institutional Shares--Net Assets
Applicable to 582,438 outstanding
shares of beneficial interest
(unlimited authorization) $16,080
- ----------------------------------------------------------
NET ASSET VALUE PER SHARE--
INSTITUTIONAL SHARES $27.61
==========================================================
</TABLE>
3
<PAGE> 123
<TABLE>
<CAPTION>
- ----------------------------------------------------------
MARKET
VALUE*
VALUE PORTFOLIO SHARES (000)
- ----------------------------------------------------------
COMMON STOCKS (99.8%)(1)
- ----------------------------------------------------------
<S> <C> <C>
Exxon Corp. 1,304,712 $ 93,042
Royal Dutch Petroleum
Co. ADR 1,143,432 62,674
AT&T Corp. 866,100 49,476
NationsBank Corp. 510,794 39,076
The Walt Disney Co. 363,543 38,195
Ford Motor Co. 646,764 38,159
Travelers Group Inc. 613,209 37,176
Citicorp 240,771 35,935
BellSouth Corp. 527,982 35,441
Fannie Mae 554,000 33,656
Hewlett-Packard Co. 553,400 33,135
Mobil Corp. 416,682 31,928
BankAmerica Corp. 364,068 31,469
First Union Corp. 521,745 30,392
Morgan Stanley Dean
Witter & Co. 320,600 29,295
Chevron Corp. 348,780 28,971
Time Warner, Inc. 315,021 26,915
- - WorldCom, Inc. 552,352 26,755
McDonald's Corp. 366,600 25,295
Compaq Computer Corp. 883,000 25,055
The Boeing Co. 538,755 24,008
General Motors Corp. 356,367 23,810
MCI Communications Corp. 386,237 22,450
Amoco Corp. 511,736 21,301
Banc One Corp. 374,239 20,887
Allstate Corp. 223,857 20,497
Chrysler Corp. 344,200 19,404
Texaco Inc. 288,486 17,219
Merrill Lynch & Co., Inc. 184,470 17,017
Wells Fargo & Co. 45,477 16,781
Motorola, Inc. 318,712 16,752
Sprint Corp. 229,600 16,187
Norwest Corp. 403,562 15,083
- - MediaOne Group, Inc. 324,671 14,265
Associates First Capital Corp. 184,790 14,206
First Chicago NBD Corp. 153,108 13,569
AlliedSignal Inc. 301,400 13,375
Atlantic Richfield Co. 171,112 13,368
Sears, Roebuck & Co. 208,500 12,732
Fleet Financial Group, Inc. 151,490 12,649
Eastman Kodak Co. 172,100 12,574
U S West, Inc. 267,421 12,569
Pharmacia & Upjohn, Inc. 270,923 12,496
The Bank of New York Co., Inc. 200,476 12,166
Texas Instruments, Inc. 208,600 12,164
CBS Corp. 382,941 12,158
Dow Chemical Co. 120,076 11,610
Duke Energy Corp. 192,217 11,389
J.P. Morgan & Co., Inc. 95,139 11,143
Lockheed Martin Corp. 104,261 11,039
- - Viacom Inc. Class B 189,383 11,032
Caterpillar, Inc. 195,476 10,336
General Re Corp. 40,771 10,335
Southern Co. 371,899 10,297
Columbia/HCA Healthcare Corp. 343,174 9,995
J.C. Penney Co., Inc. 133,869 9,680
Mellon Bank Corp. 138,784 9,663
American General Corp. 135,237 9,627
- - Cendant Corp. 454,800 9,494
Enron Corp. 175,200 9,472
Wachovia Corp. 109,954 9,291
SunTrust Banks, Inc. 112,576 9,154
Washington Mutual, Inc. 206,800 8,983
- - Sun Microsystems, Inc. 202,400 8,792
Raytheon Co. Class B 148,577 8,785
BankBoston Corp. 156,568 8,709
PNC Bank Corp. 160,366 8,630
Household International, Inc. 171,693 8,542
KeyCorp 234,698 8,361
Marsh & McLennan Cos., Inc. 137,100 8,286
Burlington Northern
Santa Fe Corp. 84,060 8,254
- - AMR Corp. 97,268 8,098
May Department Stores Co. 123,118 8,064
First Data Corp. 238,100 7,932
CIGNA Corp. 114,814 7,922
Williams Cos., Inc. 226,071 7,630
Lowe's Cos., Inc. 186,540 7,567
The Seagram Co. Ltd. 184,631 7,558
NIKE, Inc. Class B 153,400 7,469
- - Costco Cos., Inc. 115,200 7,265
- - Clear Channel
Communications, Inc. 66,100 7,213
The Chubb Corp. 89,599 7,202
The Hartford Financial Services
Group Inc. 62,785 7,181
International Paper Co. 163,994 7,052
Deere & Co. 132,278 6,994
Albertson's, Inc. 131,053 6,790
Phillips Petroleum Co. 139,228 6,709
PPG Industries, Inc. 94,530 6,576
United Healthcare Corp. 102,721 6,523
PG&E Corp. 203,383 6,419
Aon Corp. 89,953 6,319
Textron, Inc. 87,230 6,253
Texas Utilities Co. 149,067 6,205
FPL Group, Inc. 96,792 6,098
Bankers Trust Corp. 52,227 6,062
- - Federated Department
Stores, Inc. 112,333 6,045
Norfolk Southern Corp. 201,925 6,020
SunAmerica Inc. 104,200 5,985
Aluminum Co. of America 89,751 5,918
Aetna Inc. 77,615 5,908
Archer-Daniels-Midland Co. 304,231 5,894
Service Corp. International 136,530 5,854
- - 3Com Corp. 190,000 5,831
Union Pacific Corp. 131,900 5,820
Consolidated Edison Inc. 125,609 5,786
- - Applied Materials, Inc. 195,700 5,773
- - HEALTHSOUTH Corp. 214,000 5,711
Edison International 193,097 5,708
Honeywell, Inc. 67,300 5,624
Comerica, Inc. 83,512 5,533
Masco Corp. 90,607 5,482
Progressive Corp. of Ohio 38,700 5,457
The Goodyear Tire & Rubber Co. 83,817 5,401
</TABLE>
4
<PAGE> 124
<TABLE>
<CAPTION>
- ----------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ----------------------------------------------------------
<S> <C> <C>
Loews Corp. 61,275 $ 5,339
CSX Corp. 116,819 5,315
USX-Marathon Group 154,160 5,290
Occidental Petroleum Corp. 195,830 5,287
St. Paul Cos., Inc. 125,104 5,262
Delta Air Lines, Inc. 40,382 5,219
Rite Aid Corp. 137,500 5,165
- - Tenet Healthcare Corp. 164,323 5,135
BB&T Corp. 75,300 5,092
ALLTEL Corp. 109,400 5,087
Rockwell International Corp. 104,768 5,035
- - Kmart Corp. 260,193 5,009
Air Products & Chemicals, Inc. 124,900 4,996
- - FDX Corp. 78,443 4,922
Lehman Brothers Holdings, Inc. 63,200 4,902
Weyerhaeuser Co. 106,110 4,901
Lincoln National Corp. 53,615 4,899
Houston Industries, Inc. 157,713 4,869
Conseco Inc. 99,700 4,661
American Electric Power
Co., Inc. 101,544 4,608
Unocal Corp. 128,700 4,601
Northern Trust Corp. 59,500 4,537
Summit Bancorp. 94,700 4,498
Tribune Co. 65,200 4,487
Beneficial Corp. 29,170 4,468
The McGraw-Hill Cos., Inc. 53,027 4,325
Public Service Enterprise
Group, Inc. 123,716 4,260
Dominion Resources, Inc. 104,348 4,252
H.F. Ahmanson & Co. 58,507 4,154
Dresser Industries, Inc. 93,539 4,122
UNUM Corp. 73,758 4,094
Mercantile Bancorp, Inc. 81,000 4,080
Burlington Resources, Inc. 94,439 4,067
Unicom Corp. 115,708 4,057
Winn-Dixie Stores, Inc. 79,200 4,054
New York Times Co. Class A 51,108 4,050
AMP, Inc. 116,989 4,022
The Limited, Inc. 121,000 4,008
Coastal Corp. 56,664 3,956
Praxair, Inc. 84,100 3,937
MBIA, Inc. 52,100 3,901
Ingersoll-Rand Co. 88,289 3,890
Union Carbide Corp. 72,628 3,877
Transamerica Corp. 33,585 3,866
Barrick Gold Corp. 198,900 3,816
- - Bay Networks, Inc. 118,300 3,815
FirstEnergy Corp. 122,931 3,780
Entergy Corp. 131,345 3,776
Northrop Grumman Corp. 36,102 3,723
- - Owens-Illinois, Inc. 82,400 3,687
Republic New York Corp. 57,592 3,625
PacifiCorp 158,526 3,587
TRW, Inc. 65,364 3,571
- - NEXTEL Communications, Inc. 143,100 3,560
Fortune Brands, Inc. 92,244 3,546
Cooper Industries, Inc. 64,416 3,539
American Stores Co. 145,698 3,524
- - Toys R Us, Inc. 148,790 3,506
Carolina Power & Light Co. 80,701 3,500
- - Sempra Energy 125,854 3,492
MGIC Investment Corp. 61,000 3,481
R.R. Donnelley & Sons Co. 75,702 3,463
PECO Energy Corp. 118,658 3,463
Tenneco, Inc. 90,469 3,443
Huntington Bancshares Inc. 102,599 3,437
Torchmark Corp. 74,764 3,420
SAFECO Corp. 75,255 3,419
Browning-Ferris Industries, Inc. 98,215 3,413
Rohm & Haas Co. 32,360 3,363
Alcan Aluminium Ltd. 121,298 3,351
VF Corp. 64,916 3,343
Cincinnati Financial Corp. 87,000 3,339
Genuine Parts Co. 95,428 3,298
Jefferson-Pilot Corp. 56,753 3,288
Golden West Financial Corp. 30,545 3,247
Crown Cork & Seal Co., Inc. 66,331 3,151
Nordstrom, Inc. 40,700 3,144
General Dynamics Corp. 67,422 3,135
Baker Hughes, Inc. 90,528 3,129
DTE Energy Co. 77,360 3,123
Black & Decker Corp. 50,700 3,093
- - Seagate Technology 129,600 3,086
Sherwin-Williams Co. 92,560 3,066
Green Tree Financial Corp. 71,463 3,059
Central & South West Corp. 113,186 3,042
Dana Corp. 56,402 3,017
Consolidated Natural Gas Co. 51,133 3,010
Eaton Corp. 38,113 2,963
CINergy Corp. 84,081 2,943
Countrywide Credit
Industries, Inc. 57,900 2,938
Ameren Corp. 73,129 2,907
- - Thermo Electron Corp. 84,920 2,903
Georgia Pacific Group 48,963 2,886
Tandy Corp. 53,984 2,865
Bear Stearns Co., Inc. 50,000 2,844
- - Micron Technology, Inc. 113,430 2,814
Hasbro, Inc. 70,791 2,783
Dow Jones & Co., Inc. 49,682 2,770
- - Humana, Inc. 88,800 2,769
Whirlpool Corp. 40,278 2,769
Rubbermaid, Inc. 79,900 2,652
Amerada Hess Corp. 48,734 2,647
Eastman Chemical Co. 42,211 2,628
- - AutoZone Inc. 81,350 2,598
W.W. Grainger, Inc. 52,124 2,596
Johnson Controls, Inc. 45,128 2,581
GPU, Inc. 68,155 2,577
Champion International Corp. 51,316 2,524
Columbia Energy Group 44,413 2,470
Circuit City Stores, Inc. 52,639 2,467
Baltimore Gas & Electric Co. 78,872 2,450
Allegheny Teledyne Inc. 104,800 2,397
- - Novell, Inc. 187,507 2,391
Dillard's Inc. 57,449 2,381
ITT Industries, Inc. 63,183 2,361
Brown-Forman Corp. Class B 36,662 2,356
H & R Block, Inc. 55,900 2,355
</TABLE>
5
<PAGE> 125
<TABLE>
<CAPTION>
- ----------------------------------------------------------
MARKET
VALUE*
VALUE PORTFOLIO SHARES (000)
- ----------------------------------------------------------
<S> <C> <C>
Union Pacific Resources
Group, Inc. 133,900 $ 2,352
Knight Ridder 41,794 2,301
Northern States Power Co. 80,364 2,300
Sonat, Inc. 58,656 2,266
Harcourt General, Inc. 37,823 2,250
Parker Hannifin Corp. 58,957 2,248
Fluor Corp. 43,795 2,234
PACCAR, Inc. 41,600 2,174
Nucor Corp. 46,976 2,161
Anadarko Petroleum Corp. 32,100 2,157
Reynolds Metals Co. 38,368 2,146
Laidlaw, Inc. 175,245 2,136
Ashland, Inc. 40,468 2,089
- - Consolidated Stores, Inc. 57,600 2,088
Hercules, Inc. 50,600 2,081
- - Mirage Resorts, Inc. 95,700 2,040
- - Apple Computer, Inc. 70,916 2,034
PP&L Resources Inc. 89,304 2,026
American Greetings Corp. Class A 38,810 1,977
Newmont Mining Corp. 83,500 1,973
- - DSC Communications Corp. 65,122 1,954
Sun Co., Inc. 49,980 1,940
The BFGoodrich Co. 38,898 1,930
Case Corp. 39,832 1,922
Harris Corp. 42,688 1,908
Willamette Industries, Inc. 59,392 1,901
Sigma-Aldrich Corp. 53,990 1,896
U.S. Surgical Corp. 40,868 1,865
Raytheon Co. Class A 32,092 1,849
Liz Claiborne, Inc. 35,207 1,840
Union Camp Corp. 36,903 1,831
Phelps Dodge Corp. 31,316 1,791
The Mead Corp. 55,540 1,763
Morton International, Inc. 69,474 1,737
- - LSI Logic Corp. 75,100 1,732
Echlin, Inc. 33,873 1,662
- - St. Jude Medical, Inc. 44,780 1,648
Apache Corp. 52,300 1,647
Wendy's International, Inc. 69,970 1,644
Allergan, Inc. 35,100 1,628
Temple-Inland Inc. 29,889 1,610
Placer Dome, Inc. 133,335 1,567
Engelhard Corp. 77,100 1,561
Mercantile Stores Co., Inc. 19,557 1,544
Deluxe Corp. 43,100 1,544
Westvaco Corp. 54,141 1,529
USX-U.S. Steel Group 46,280 1,527
- - Niagara Mohawk Power Corp. 100,996 1,509
Adobe Systems, Inc. 35,500 1,507
Bausch & Lomb, Inc. 29,687 1,488
Kerr-McGee Corp. 25,462 1,474
Thomas & Betts Corp. 29,451 1,450
Armstrong World Industries Inc. 21,365 1,439
SuperValu Inc. 32,024 1,421
Giant Food, Inc. Class A 32,047 1,380
- - Venator Group, Inc. 71,920 1,375
Pall Corp. 66,200 1,357
Raychem Corp. 44,800 1,324
Brunswick Corp. 53,037 1,313
Manor Care Inc. 33,968 1,306
- - Advanced Micro Devices, Inc. 76,490 1,305
Pennzoil Co. 25,446 1,288
- - KLA-Tencor Corp. 46,000 1,274
- - FMC Corp. 18,463 1,259
- - Harrah's Entertainment, Inc. 54,000 1,256
Ryder System, Inc. 39,650 1,251
Great Lakes Chemical Corp. 31,465 1,241
Nalco Chemical Co. 35,320 1,241
- - Silicon Graphics, Inc. 100,664 1,221
Darden Restaurants Inc. 76,118 1,208
Inco Ltd. 88,559 1,207
Centex Corp. 31,698 1,197
Crane Co. 24,383 1,184
Homestake Mining Co. 112,700 1,169
Bemis Co., Inc. 28,506 1,165
Mallinckrodt, Inc. 39,026 1,159
C.R. Bard, Inc. 30,390 1,157
- - National Semiconductor Corp. 87,560 1,155
National Service Industries, Inc. 22,639 1,152
Snap-On Inc. 31,529 1,143
- - Cabletron Systems, Inc. 84,400 1,134
McDermott International, Inc. 32,232 1,110
- - 360 Communications Co. 34,500 1,104
Louisiana-Pacific Corp. 58,599 1,069
Scientific-Atlanta, Inc. 42,017 1,066
- - Navistar International Corp. 36,822 1,063
IKON Office Solutions, Inc. 72,235 1,052
Cummins Engine Co., Inc. 20,453 1,048
NICOR, Inc. 25,537 1,025
The Timken Co. 33,144 1,021
- - King World Productions, Inc. 39,022 995
Boise Cascade Corp. 30,182 988
Tektronix, Inc. 27,000 955
- - Rowan Cos., Inc. 46,400 902
Alberto-Culver Co. Class B 30,394 881
Cooper Tire & Rubber Co. 42,091 868
- - Andrew Corp. 47,300 854
- - Bethlehem Steel Corp. 68,390 851
Polaroid Corp. 23,684 842
General Signal Corp. 23,316 839
- - Reebok International Ltd. 30,100 833
Fleetwood Enterprises, Inc. 19,722 789
Worthington Industries, Inc. 50,956 768
Battle Mountain Gold Co. Class A 122,580 728
Harnischfeger Industries Inc. 25,520 723
EG&G, Inc. 23,925 718
Peoples Energy Corp. 18,569 717
W.R. Grace & Co. 40,500 691
Great Atlantic & Pacific Tea
Co., Inc. 20,377 674
Pulte Corp. 22,382 669
ONEOK, Inc. 16,700 666
Kaufman & Broad Home Corp. 20,957 665
Ball Corp. 16,381 658
Adolph Coors Co. Class B 19,316 657
Cyprus Amax Minerals Co. 49,188 652
Potlatch Corp. 15,458 649
The Pep Boys
(Manny, Moe & Jack) 33,400 633
</TABLE>
6
<PAGE> 126
<TABLE>
<CAPTION>
- ----------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ----------------------------------------------------------
<S> <C> <C>
Moore Corp. Ltd. 46,759 $ 620
Longs Drug Stores, Inc. 20,552 593
Helmerich & Payne, Inc. 26,616 592
Russell Corp. 19,390 585
NACCO Industries, Inc. Class A 4,430 573
Cincinnati Milacron, Inc. 21,053 512
Briggs & Stratton Corp. 12,850 481
ASARCO, Inc. 21,165 471
Eastern Enterprises 10,925 468
Springs Industries Inc. Class A 10,126 467
Foster Wheeler Corp. 21,700 465
- - Data General Corp. 25,055 374
- - Charming Shoppes, Inc. 13,721 65
- - Octel Corp. 2,266 45
- - Viacom Inc. Class A 766 45
- ----------------------------------------------------------
TOTAL COMMON STOCKS
(COST $1,699,428) 2,281,979
- ----------------------------------------------------------
<CAPTION>
- ----------------------------------------------------------
FACE
AMOUNT
(000)
- ----------------------------------------------------------
<S> <C> <C>
TEMPORARY CASH INVESTMENTS (0.1%)
- ----------------------------------------------------------
U.S. Treasury Bill
(2) 4.97%, 7/23/1998 $ 400 399
REPURCHASE AGREEMENT
Collateralized by U.S. Government
Obligations in a Pooled
Cash Account
5.67%, 7/1/1998 2,483 2,483
- ----------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(COST $2,882) 2,882
- ----------------------------------------------------------
TOTAL INVESTMENTS (99.9%)
(COST $1,702,310) 2,284,861
- ----------------------------------------------------------
OTHER ASSETS AND LIABILITIES--NET (0.1%) 2,756
- ----------------------------------------------------------
NET ASSETS (100%) $2,287,617
==========================================================
</TABLE>
* See Note A in Notes to Financial Statements.
- - Non-Income-Producing Security.
(1)The combined market value of common stocks and index futures contracts
represents 100.1% of net assets. See Note E in Notes to Financial Statements.
(2)Security segregated as initial margin for open futures contracts.
ADR--American Depositary Receipt.
<TABLE>
<CAPTION>
- ----------------------------------------------------------
MARKET
VALUE*
(000)
- ----------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
- ----------------------------------------------------------
<S> <C>
ASSETS
Investments in Securities, at Value $2,284,861
Receivables for Investment
Securities Sold 232,103
Other Assets--Note B 8,794
-----------
Total Assets 2,525,758
-----------
LIABILITIES
Payables for Investment Securities
Purchased 225,081
Other Liabilities 13,060
-----------
Total Liabilities 238,141
- ----------------------------------------------------------
NET ASSETS $2,287,617
==========================================================
<CAPTION>
- ----------------------------------------------------------
AT JUNE 30, 1998, NET ASSETS CONSISTED OF:
- ----------------------------------------------------------
AMOUNT
(000)
- ----------------------------------------------------------
<S> <C>
Paid in Capital $1,640,870
Undistributed Net Investment Income 4,028
Accumulated Net Realized Gains 60,270
Unrealized Appreciation
(Depreciation)--Note E
Investment Securities 582,551
Futures Contracts (102)
- ----------------------------------------------------------
NET ASSETS $2,287,617
==========================================================
Investor Shares--Net Assets
Applicable to 100,131,408 outstanding
shares of beneficial interest
(unlimited authorization) $2,287,617
- ----------------------------------------------------------
NET ASSET VALUE PER SHARE--
INVESTOR SHARES $22.85
==========================================================
</TABLE>
7
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<TABLE>
<CAPTION>
- --------------------------------------------------------------
MARKET
VALUE*
TOTAL STOCK MARKET PORTFOLIO SHARES (000)
- --------------------------------------------------------------
COMMON STOCKS (95.8%)(1)
- --------------------------------------------------------------
<S> <C> <C>
General Electric Co. 2,440,594 $ 222,094
- - Microsoft Corp. 1,809,588 196,114
The Coca-Cola Co. 1,844,344 157,691
Exxon Corp. 1,838,880 131,135
Merck & Co., Inc. 893,617 119,521
Pfizer, Inc. 964,498 104,829
Wal-Mart Stores, Inc. 1,674,884 101,749
Procter & Gamble Co. 1,001,108 91,163
Intel Corp. 1,220,026 90,434
Bristol-Myers Squibb Co. 741,524 85,229
International Business
Machines Corp. 725,032 83,243
Lucent Technologies, Inc. 970,384 80,724
American International
Group, Inc. 523,171 76,383
Johnson & Johnson 1,002,982 73,970
Philip Morris Cos., Inc. 1,807,913 71,187
- - Cisco Systems, Inc. 758,928 69,869
- - Berkshire Hathaway Class A 889 69,613
AT&T Corp. 1,211,317 69,196
E.I. du Pont de Nemours & Co. 843,848 62,972
SBC Communications Inc. 1,367,050 54,682
Eli Lilly & Co. 827,270 54,652
NationsBank Corp. 701,148 53,638
The Walt Disney Co. 503,549 52,904
Bell Atlantic Corp. 1,158,388 52,851
Ford Motor Co. 894,872 52,797
Travelers Group Inc. 855,159 51,844
Citicorp 340,709 50,851
American Home Products Corp. 968,982 50,145
Schering-Plough Corp. 546,062 50,033
BellSouth Corp. 739,508 49,639
Fannie Mae 791,238 48,068
The Chase Manhattan Corp. 628,672 47,465
Gillette Co. 835,368 47,355
Abbott Laboratories 1,140,830 46,631
PepsiCo, Inc. 1,131,372 46,598
Hewlett-Packard Co. 775,700 46,445
Home Depot, Inc. 545,593 45,318
- - Dell Computer Corp. 486,928 45,193
Mobil Corp. 585,008 44,826
BankAmerica Corp. 517,150 44,701
First Union Corp. 746,686 43,494
Warner-Lambert Co. 609,251 42,267
Chevron Corp. 489,850 40,688
Morgan Stanley Dean
Witter & Co. 441,801 40,370
GTE Corp. 714,070 39,720
American Express Co. 346,675 39,521
Time Warner, Inc. 431,353 36,854
Ameritech Corp. 816,238 36,629
- - WorldCom, Inc. 755,439 36,592
McDonald's Corp. 513,719 35,447
General Motors Corp. 527,441 35,240
Compaq Computer Corp. 1,230,348 34,911
The Boeing Co. 745,478 33,220
Amoco Corp. 726,248 30,230
MCI Communications Corp. 519,399 30,190
Allstate Corp. 319,791 29,281
Banc One Corp. 518,201 28,922
Chrysler Corp. 483,586 27,262
Schlumberger Ltd. 371,208 25,358
Minnesota Mining &
Manufacturing Co. 304,779 25,049
Monsanto Co. 442,282 24,712
Xerox Corp. 243,033 24,698
- - AirTouch Communications, Inc. 420,868 24,594
Texaco Inc. 408,740 24,397
Freddie Mac 518,304 24,393
Wells Fargo & Co. 64,707 23,877
U.S. Bancorp 549,216 23,616
Motorola, Inc. 445,192 23,400
Merrill Lynch & Co., Inc. 248,496 22,924
Computer Associates
International, Inc. 407,281 22,630
Sprint Corp. 320,546 22,598
Medtronic, Inc. 349,500 22,281
Norwest Corp. 563,316 21,054
Associates First Capital Corp. 265,872 20,439
Emerson Electric Co. 330,694 19,966
- - MediaOne Group, Inc. 452,764 19,893
Sara Lee Corp. 352,897 19,740
Colgate-Palmolive Co. 220,616 19,414
First Chicago NBD Corp. 216,950 19,227
Kimberly-Clark Corp. 414,556 19,018
Atlantic Richfield Co. 239,270 18,693
AlliedSignal Inc. 420,684 18,668
The Gap, Inc. 295,098 18,185
Campbell Soup Co. 340,448 18,086
- - Oracle Corp. 733,775 18,023
Sears, Roebuck & Co. 292,387 17,854
Eastman Kodak Co. 242,312 17,704
Carnival Corp. 443,294 17,566
U S West, Inc. 372,461 17,506
National City Corp. 245,046 17,398
- - America Online, Inc. 162,800 17,257
Anheuser-Busch Cos., Inc. 365,440 17,244
The Bank of New York Co., Inc. 280,972 17,051
Texas Instruments, Inc. 291,102 16,975
Fleet Financial Group, Inc. 203,260 16,972
CBS Corp. 530,497 16,843
- - EMC Corp. 369,844 16,574
Dow Chemical Co. 169,186 16,358
Automatic Data Processing, Inc. 222,921 16,245
United Technologies Corp. 173,818 16,078
Duke Energy Corp. 268,392 15,902
Dayton Hudson Corp. 326,006 15,811
J.P. Morgan & Co., Inc. 132,536 15,523
Lockheed Martin Corp. 144,957 15,347
H.J. Heinz Co. 272,605 15,300
Walgreen Co. 369,360 15,259
Gannett Co., Inc. 211,600 15,037
General Re Corp. 58,543 14,841
Caterpillar, Inc. 277,716 14,684
Electronic Data Systems Corp. 366,755 14,670
- - Viacom Inc. Class B 251,218 14,633
- - Safeway, Inc. 358,428 14,584
- - Tele-Communications, Inc.
Class A 377,255 14,501
</TABLE>
8
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<TABLE>
<CAPTION>
- --------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------
<S> <C> <C>
Southern Co. 514,723 $ 14,251
Columbia/HCA Healthcare Corp. 482,903 14,065
J.C. Penney Co., Inc. 186,387 13,478
American General Corp. 189,315 13,477
Enron Corp. 245,027 13,247
Mellon Bank Corp. 189,906 13,222
Wachovia Corp. 153,620 12,981
- - Amgen, Inc. 195,848 12,804
SunTrust Banks, Inc. 157,339 12,794
- - Cendant Corp. 604,276 12,614
Washington Mutual, Inc. 287,193 12,475
Bestfoods 214,526 12,456
The Equitable Cos. 165,991 12,439
Illinois Tool Works, Inc. 186,106 12,411
MBNA Corp. 373,751 12,334
PNC Bank Corp. 227,490 12,242
- - Sun Microsystems, Inc. 280,904 12,202
BankBoston Corp. 216,192 12,026
Household International, Inc. 239,436 11,912
Waste Management Inc. 339,413 11,879
KeyCorp 327,680 11,674
Kellogg Co. 306,486 11,512
Marsh & McLennan Cos., Inc. 190,056 11,486
Burlington Northern
Santa Fe Corp. 116,570 11,446
CIGNA Corp. 165,728 11,435
- - AMR Corp. 136,022 11,324
Coca-Cola Enterprises, Inc. 288,135 11,309
May Department Stores Co. 172,498 11,299
Baxter International, Inc. 208,935 11,243
ConAgra, Inc. 354,668 11,239
Fifth Third Bancorp 177,964 11,212
CVS Corp. 285,150 11,103
HBO & Co. 313,712 11,058
Raytheon Co. Class B 183,022 10,821
First Data Corp. 319,258 10,635
Lowe's Cos., Inc. 260,874 10,582
NIKE, Inc. Class B 216,832 10,557
Pitney Bowes, Inc. 216,070 10,398
- - Boston Scientific Corp. 145,163 10,397
Williams Cos., Inc. 306,520 10,345
The Chubb Corp. 126,962 10,205
Franklin Resources Corp. 188,560 10,182
PG&E Corp. 318,851 10,064
- - Costco Cos., Inc. 159,461 10,056
The Hartford Financial
Services Group Inc. 87,854 10,048
- - Clear Channel
Communications, Inc. 92,051 10,045
Comcast Corp. Class A Special 246,829 10,020
Deere & Co. 185,709 9,819
International Paper Co. 225,446 9,694
- - Tellabs, Inc. 135,088 9,676
- - Level 3 Communications, Inc. 128,900 9,539
Albertson's, Inc. 183,198 9,492
Phillips Petroleum Co. 196,303 9,459
Ralston-Ralston Purina Group 79,735 9,314
- - Cox Communications Class A 191,635 9,282
PPG Industries, Inc. 132,894 9,244
Mattel, Inc. 216,884 9,177
United Healthcare Corp. 140,546 8,925
Aon Corp. 125,127 8,790
Textron, Inc. 122,212 8,761
Halliburton Co. 195,446 8,710
FPL Group, Inc. 135,311 8,525
Aluminum Co. of America 128,633 8,482
Bankers Trust Corp. 73,081 8,482
Wrigley, (Wm.) Jr. Co. 86,388 8,466
- - Republic Industries, Inc. 337,458 8,436
- - Federated Department
Stores, Inc. 156,544 8,424
Aetna Inc. 110,641 8,423
Edison International 283,903 8,393
Norfolk Southern Corp. 281,257 8,385
- - Qwest Communications
International Inc. 240,262 8,379
SunAmerica Inc. 145,600 8,363
State Street Corp. 119,784 8,325
Archer-Daniels-Midland Co. 426,220 8,258
Union Pacific Corp. 184,397 8,137
- - The Kroger Co. 189,694 8,133
- - 3Com Corp. 263,809 8,096
Consolidated Edison Inc. 175,322 8,076
General Mills, Inc. 117,883 8,060
Service Corp. International 187,856 8,054
- - Applied Materials, Inc. 272,428 8,037
Guidant Corp. 111,956 7,984
- - USA Waste Service 161,605 7,979
- - PeopleSoft, Inc. 168,700 7,929
Honeywell, Inc. 94,779 7,920
- - BMC Software, Inc. 151,400 7,863
- - HEALTHSOUTH Corp. 292,871 7,816
Comerica, Inc. 116,991 7,751
Texas Utilities Co. 183,827 7,652
Avon Products, Inc. 98,556 7,638
Cardinal Health, Inc. 81,389 7,630
Cognizant Corp. 120,977 7,622
Progressive Corp. of Ohio 53,900 7,600
Pioneer Hi-Bred
International, Inc. 182,168 7,537
The Goodyear Tire & Rubber Co. 116,703 7,520
Loews Corp. 85,671 7,464
Masco Corp. 123,253 7,457
CSX Corp. 162,788 7,407
Computer Sciences Corp. 115,706 7,405
USX-Marathon Group 215,146 7,382
The Clorox Co. 77,076 7,351
Hershey Foods Corp. 106,264 7,332
St. Paul Cos., Inc. 172,244 7,245
Rite Aid Corp. 192,346 7,225
Rockwell International Corp. 149,867 7,203
BB&T Corp. 106,496 7,202
Delta Air Lines, Inc. 55,488 7,172
- - Tenet Healthcare Corp. 228,345 7,136
- - Ascend Communications, Inc. 143,566 7,115
Becton, Dickinson & Co. 91,164 7,077
Air Products & Chemicals, Inc. 175,652 7,026
- - Kmart Corp. 363,877 7,005
Fort James Corp. 155,822 6,934
Lincoln National Corp. 75,825 6,928
</TABLE>
9
<PAGE> 129
<TABLE>
<CAPTION>
- --------------------------------------------------------------
MARKET
VALUE*
TOTAL STOCK MARKET PORTFOLIO SHARES (000)
- --------------------------------------------------------------
<S> <C> <C>
Weyerhaeuser Co. 148,185 $ 6,844
- - Compuware Corp. 133,700 6,835
- - FDX Corp. 108,912 6,834
- - AES Corp. 129,652 6,815
Occidental Petroleum Corp. 252,036 6,805
Starwood Hotels & Resorts REIT 140,351 6,781
Conseco Inc. 140,558 6,571
Unocal Corp. 182,917 6,539
Houston Industries, Inc. 209,780 6,477
Sysco Corp. 252,308 6,465
- - CNA Financial Corp. 137,584 6,406
Charles Schwab Corp. 197,104 6,406
American Electric Power
Co., Inc. 140,742 6,386
ALLTEL Corp. 136,671 6,355
SLM Holding Corp. 129,439 6,342
Northern Trust Corp. 83,000 6,329
Tribune Co. 91,694 6,310
- - Genentech, Inc. Special
Common Stock 92,583 6,284
Summit Bancorp. 130,665 6,207
Marriott International, Inc.
Class A 191,474 6,199
AFLAC, Inc. 203,392 6,165
- - Kohls Corp. 117,000 6,069
Capital One Financial Corp. 48,784 6,058
Beneficial Corp. 39,414 6,038
- - Staples, Inc. 208,515 6,034
Omnicom Group Inc. 120,200 5,995
The McGraw-Hill Cos., Inc. 73,470 5,992
Corning, Inc. 171,554 5,962
- - Tele-Communications TCI
Ventures Group Series A 296,830 5,955
Public Service Enterprise
Group, Inc. 172,125 5,928
Lehman Brothers Holdings, Inc. 76,099 5,902
Dominion Resources, Inc. 144,295 5,880
Newell Co. 118,008 5,878
- - Gateway, Inc. 115,100 5,827
TJX Cos., Inc. 239,536 5,779
H.F. Ahmanson & Co. 81,305 5,773
RJR Nabisco Holdings Corp. 242,219 5,753
Dresser Industries, Inc. 130,497 5,750
UNUM Corp. 102,954 5,714
Interpublic Group of Cos., Inc. 93,418 5,669
Dover Corp. 165,056 5,653
Burlington Resources, Inc. 131,172 5,649
The Quaker Oats Co. 102,810 5,648
Winn-Dixie Stores, Inc. 110,275 5,645
New York Times Co. Class A 71,217 5,644
Unicom Corp. 160,609 5,631
AMP, Inc. 163,294 5,613
McKesson Corp. 68,694 5,581
The Limited, Inc. 168,091 5,568
Providian Financial Corp. 70,599 5,546
Coastal Corp. 79,153 5,526
ServiceMaster Co. 144,900 5,515
Praxair, Inc. 117,633 5,507
MBIA, Inc. 72,712 5,444
Ingersoll-Rand Co. 123,463 5,440
- - US Airways Group, Inc. 67,763 5,370
Transamerica Corp. 46,607 5,366
- - Yahoo!, Inc. 33,850 5,331
Equity Office Properties
Trust REIT 187,111 5,309
Hilton Hotels Corp. 185,998 5,301
- - Chancellor Media Corp. 106,056 5,266
FirstEnergy Corp. 171,200 5,264
- - Unisys Corp. 186,280 5,262
- - Bay Networks, Inc. 163,121 5,261
Entergy Corp. 182,133 5,236
- - CIENA Corp. 74,500 5,187
- - Parametric Technology Corp. 191,050 5,182
Intimate Brands, Inc. 187,700 5,173
- - Owens-Illinois, Inc. 115,228 5,156
Northrop Grumman Corp. 49,625 5,118
Republic New York Corp. 81,062 5,102
- - Loral Space & Communications 178,884 5,053
Browning-Ferris Industries, Inc. 144,802 5,032
TRW, Inc. 91,906 5,020
SouthTrust Corp. 114,833 4,995
PacifiCorp 220,323 4,985
R.R. Donnelley & Sons Co. 108,880 4,981
- - Toys R Us, Inc. 211,001 4,972
Bear Stearns Co., Inc. 87,359 4,969
Cooper Industries, Inc. 90,243 4,958
Paychex, Inc. 121,614 4,948
American Stores Co. 204,054 4,936
Fortune Brands, Inc. 128,193 4,927
Mercantile Bancorp, Inc. 97,374 4,905
Royal Caribbean Cruises, Ltd. 61,500 4,889
- - Sempra Energy 176,018 4,885
Union Carbide Corp. 91,446 4,881
Carolina Power & Light Co. 112,314 4,872
- - NEXTEL Communications, Inc. 195,446 4,862
Southwest Airlines Co. 163,834 4,854
- - Cadence Design Systems, Inc. 155,238 4,851
PECO Energy Corp. 165,974 4,844
MGIC Investment Corp. 84,730 4,835
Tenneco, Inc. 126,335 4,809
SAFECO Corp. 105,335 4,786
Torchmark Corp. 104,596 4,785
Huntington Bancshares Inc. 142,711 4,781
- - Fred Meyer Inc. 111,496 4,739
Rohm & Haas Co. 45,458 4,725
Cincinnati Financial Corp. 122,911 4,717
VF Corp. 90,688 4,670
Synovus Financial Corp. 196,112 4,658
Genuine Parts Co. 133,422 4,611
Regions Financial Corp. 111,720 4,588
Jefferson-Pilot Corp. 78,865 4,569
The Dun & Bradstreet Corp. 126,377 4,565
Star Banc Corp. 71,388 4,560
Crown Cork & Seal Co., Inc. 95,839 4,552
Washington Post Co. Class B 7,900 4,550
Crestar Financial Corp. 82,259 4,488
Golden West Financial Corp. 42,207 4,487
PaineWebber Group, Inc. 104,050 4,461
Nordstrom, Inc. 57,725 4,459
Donaldson, Lufkin & Jenrette, Inc. 87,100 4,426
</TABLE>
10
<PAGE> 130
<TABLE>
<CAPTION>
- --------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------
<S> <C> <C>
The CIT Group, Inc. 117,100 $ 4,391
Harley-Davidson, Inc. 112,992 4,378
General Dynamics Corp. 93,802 4,362
DTE Energy Co. 107,727 4,349
Eaton Corp. 55,938 4,349
Baker Hughes, Inc. 125,813 4,348
Green Tree Financial Corp. 101,091 4,328
Black & Decker Corp. 70,901 4,325
- - Seagate Technology 181,302 4,317
Ameren Corp. 108,584 4,316
Sherwin-Williams Co. 129,160 4,278
Central & South West Corp. 157,520 4,233
Dollar General Corp. 106,808 4,226
Consolidated Natural Gas Co. 70,837 4,171
Dana Corp. 77,968 4,171
ARCO Chemical Co. 72,192 4,142
Diamond Offshore Drilling, Inc. 103,400 4,136
The Times Mirror Co. Class A 65,716 4,132
Countrywide Credit
Industries, Inc. 81,017 4,112
Avery Dennison Corp. 76,190 4,095
Cinergy Corp. 116,998 4,095
Firstar Corp. 107,426 4,082
Tandy Corp. 76,896 4,080
- - Thermo Electron Corp. 119,162 4,074
- - Health Management Associates
Class A 121,788 4,072
Georgia Pacific Group 68,798 4,055
Equifax, Inc. 111,470 4,048
Dow Jones & Co., Inc. 71,897 4,008
Kansas City Southern
Industries, Inc. 79,992 3,970
UnionBanCal Corp. 40,900 3,947
- - Network Associates, Inc. 82,339 3,942
- - Micron Technology, Inc. 157,027 3,896
Hasbro, Inc. 98,779 3,883
Marshall & Ilsley Corp. 75,491 3,855
- - Wellpoint Health Networks Inc.
Class A 52,035 3,851
Whirlpool Corp. 55,944 3,846
Frontier Corp. 122,056 3,845
- - Humana, Inc. 121,780 3,798
- - Outdoor Systems, Inc. 135,603 3,797
- - Robert Half International, Inc. 67,900 3,794
First American Corp. (Tenn.) 78,760 3,790
Tyson Foods, Inc. 173,389 3,760
New Century Energies, Inc. 82,145 3,732
- - Office Depot, Inc. 117,925 3,722
Amerada Hess Corp. 68,376 3,714
Cintas Corp. 72,800 3,713
UST, Inc. 136,946 3,698
General Motors Corp. Class H 78,353 3,692
W.W. Grainger, Inc. 74,122 3,692
Rubbermaid, Inc. 111,167 3,689
- - ADC Telecommunications, Inc. 99,700 3,642
Eastman Chemical Co. 58,480 3,640
Raytheon Co. Class A 62,770 3,617
- - Solectron Corp. 86,000 3,617
- - AutoZone Inc. 113,034 3,610
- - Amazon.com, Inc. 36,100 3,601
Food Lion Inc. Class A 338,700 3,599
Johnson Controls, Inc. 62,794 3,591
Leggett & Platt, Inc. 143,300 3,582
GPU, Inc. 94,624 3,578
- - MarketSpan Corp. 119,442 3,576
- - Tricon Global Restaurants, Inc. 112,787 3,574
AmSouth Bancorp 90,471 3,557
Union Planters Corp. 60,480 3,557
Champion International Corp. 71,721 3,528
Galileo International, Inc. 78,200 3,524
International Flavors &
Fragrances, Inc. 81,074 3,522
Maytag Corp. 70,888 3,500
Equity Residential Properties
Trust REIT 73,200 3,472
- - Storage Technology Corp. 79,910 3,466
Provident Cos., Inc. 100,446 3,465
- - Starbucks Corp. 64,600 3,452
Dillard's Inc. 83,136 3,445
Columbia Energy Group 61,790 3,437
Circuit City Stores, Inc. 73,269 3,434
- - Western Atlas, Inc. 40,438 3,432
Allegheny Teledyne Inc. 149,814 3,427
El Paso Natural Gas 89,236 3,413
Tosco Corp. 116,158 3,412
Baltimore Gas & Electric Co. 109,764 3,410
Linear Technology Corp. 56,496 3,407
M & T Bank Corp. 6,117 3,389
- - UAL Corp. 43,080 3,360
Popular, Inc. 50,478 3,357
Transocean Offshore, Inc. 75,300 3,351
- - Novell, Inc. 261,832 3,338
Union Pacific Resources
Group, Inc. 188,358 3,308
E.W. Scripps Co. Class A 60,276 3,304
H & R Block, Inc. 78,345 3,300
T. Rowe Price 87,200 3,275
ITT Industries, Inc. 87,373 3,266
Brown-Forman Corp. Class B 50,751 3,261
Reliastar Financial Corp. 67,892 3,259
Knight Ridder 59,126 3,256
- - Sterling Commerce, Inc. 66,885 3,244
- - Lexmark International Group, Inc.
Class A 53,100 3,239
Southern New England
Telecommunications Corp. 49,100 3,216
- - Teleport Communications
Group Inc. 59,290 3,216
Charter One Financial 94,948 3,199
Estee Lauder Cos. Class A 45,871 3,197
- - U.S. Filter Corp. 113,615 3,188
Danaher Corp. 86,800 3,184
- - Ceridian Corp. 54,131 3,180
Fluor Corp. 62,167 3,171
Sonat, Inc. 82,060 3,170
CMS Energy Corp. 71,961 3,166
Northern States Power Co. 110,488 3,163
Vastar Resources, Inc. 72,400 3,163
Parker Hannifin Corp. 82,718 3,154
Harcourt General, Inc. 52,811 3,142
</TABLE>
11
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<TABLE>
<CAPTION>
- --------------------------------------------------------------
MARKET
VALUE*
TOTAL STOCK MARKET PORTFOLIO SHARES (000)
- --------------------------------------------------------------
<S> <C> <C>
- - At Home Corp. Series A 65,800 $ 3,113
Century Telephone
Enterprises, Inc. 67,820 3,111
- - Maxim Integrated Products, Inc. 97,500 3,090
Hillenbrand Industries, Inc. 51,400 3,084
Newmont Gold Co. 124,632 3,077
Reynolds Metals Co. 54,874 3,070
A.G. Edwards & Sons, Inc. 71,449 3,050
- - Watson Pharmaceuticals, Inc. 65,328 3,050
PACCAR, Inc. 58,112 3,036
Old Republic International Corp. 103,350 3,029
Total System Services, Inc. 143,986 3,024
AMBAC Financial Group Inc. 51,644 3,021
Nucor Corp. 65,681 3,021
- - J.D. Edwards & Co. 70,100 3,010
Anadarko Petroleum Corp. 44,700 3,003
Crescent Real Estate, Inc. REIT 89,100 2,996
First Tennessee National Corp. 94,700 2,989
- - General Instrument Corp. 109,758 2,984
Florida Progress Corp. 72,450 2,980
- - Analog Devices, Inc. 120,905 2,970
Ecolab, Inc. 95,780 2,969
Allmerica Financial Corp. 45,615 2,965
Hercules, Inc. 72,081 2,964
First Security Corp. 137,782 2,949
Molex, Inc. 116,787 2,920
Ashland, Inc. 56,174 2,900
- - Consolidated Stores, Inc. 79,960 2,899
- - 360 Communications Co. 90,549 2,898
Cincinnati Bell, Inc. 100,300 2,871
- - QUALCOMM, Inc. 50,800 2,854
- - Mirage Resorts, Inc. 133,100 2,837
Pinnacle West Capital Corp. 62,900 2,831
- - Northwest Airlines Corp. Class A 73,300 2,827
- - SunGard Data Systems, Inc. 73,600 2,824
- - Apple Computer, Inc. 98,083 2,814
- - Jones Apparel Group, Inc. 76,700 2,804
PP&L Resources Inc. 123,249 2,796
- - R & B Falcon Corp. 123,150 2,786
- - Best Buy Co., Inc. 77,000 2,782
The Stanley Works 66,662 2,771
Newmont Mining Corp. 116,838 2,760
- - ALZA Corp. 63,684 2,754
Allegheny Energy, Inc. 91,000 2,741
American Greetings Corp. Class A 53,808 2,741
Mylan Laboratories, Inc. 91,150 2,740
Sun Co., Inc. 70,514 2,737
Biomet, Inc. 82,547 2,729
- - Keane, Inc. 48,600 2,722
Stryker Corp. 70,900 2,721
- - Quintiles Transnational Corp. 55,200 2,715
- - Host Marriott Corp. 152,324 2,713
Case Corp. 56,126 2,708
- - Biogen, Inc. 55,200 2,705
- - EVI Weatherford, Inc. 72,661 2,698
Zions Bancorp 50,788 2,698
Vulcan Materials Co. 25,190 2,687
Dime Bancorp, Inc. 89,560 2,681
- - Proffitt's, Inc. 66,000 2,665
- - Bed Bath & Beyond, Inc. 51,352 2,661
Harris Corp. 59,446 2,656
Old Kent Financial Corp. 73,796 2,654
Willamette Industries, Inc. 82,664 2,645
Sigma-Aldrich Corp. 74,954 2,633
The BFGoodrich Co. 52,960 2,628
Simon DeBartolo Group, Inc. REIT 80,872 2,628
Mercury General Corp. 40,700 2,623
- - Gartner Group, Inc. Class A 74,900 2,622
NIPSCO Industries, Inc. 93,560 2,620
TECO Energy, Inc. 97,700 2,620
- - DSC Communications Corp. 87,084 2,613
LG&E Energy Corp. 96,257 2,605
- - Continental Airlines, Inc. Class B 42,700 2,599
Santa Fe International Corp. 85,600 2,589
Solutia, Inc. 90,013 2,582
Union Camp Corp. 52,029 2,582
U.S. Surgical Corp. 56,465 2,576
Liz Claiborne, Inc. 49,287 2,575
North Fork Bancorp, Inc. 104,730 2,559
Sundstrand Corp. 44,600 2,553
- - Lear Corp. 49,500 2,540
IMC Global Inc. 84,206 2,537
- - LHS Group, Inc. 38,200 2,516
Wisconsin Energy Corp. 82,723 2,513
Family Dollar Stores, Inc. 135,600 2,509
Phelps Dodge Corp. 43,853 2,508
- - FIserv, Inc. 58,593 2,488
- - Gulfstream Aerospace Corp. 53,500 2,488
- - Promus Hotel Corp. 64,630 2,488
The Mead Corp. 78,240 2,484
- - Abercrombie & Fitch Co. 56,383 2,481
- - NCR Corp. 75,832 2,465
DEKALB Genetics Corp. Class B 25,900 2,451
Vornado Realty Trust REIT 61,400 2,437
- - AccuStaff, Inc. 77,853 2,433
Morton International, Inc. 96,708 2,418
- - American Standard Cos., Inc. 53,900 2,409
FINOVA Group, Inc. 42,404 2,401
- - LSI Logic Corp. 103,945 2,397
SCANA Corp. 80,200 2,391
- - Thermo Instrument Systems, Inc. 91,072 2,391
Unitrin, Inc. 34,405 2,391
ICN Pharmaceuticals, Inc. 52,191 2,384
BHC Communications, Inc.
Class A 16,985 2,383
- - Electronic Arts Inc. 44,100 2,381
- - Foundation Health Systems
Class A 90,278 2,381
- - Global Marine, Inc. 126,900 2,371
Green Point Financial Corp. 62,900 2,367
Sonoco Products Co. 78,236 2,367
Public Storage, Inc. REIT 84,200 2,358
- - CMG Information Services, Inc. 33,248 2,352
- - Noble Drilling Corp. 97,600 2,348
- - Siebel Systems, Inc. 72,752 2,346
Enron Oil & Gas Co. 115,624 2,341
Echlin, Inc. 46,918 2,302
Temple-Inland Inc. 42,626 2,296
Compass Bancshares Inc. 50,816 2,293
Omnicare, Inc. 60,100 2,291
</TABLE>
12
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<TABLE>
<CAPTION>
- --------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------
<S> <C> <C>
Wendy's International, Inc. 97,397 $ 2,289
- - St. Jude Medical, Inc. 61,943 2,280
- - Pacificare Health Systems Inc.
Class B 25,662 2,268
Security Capital Industrial
Trust REIT 90,717 2,268
- - Cambridge Technology Partners 41,500 2,267
A. H. Belo Corp. Class A 92,712 2,260
- - EXCEL Communications, Inc. 98,519 2,260
Allergan, Inc. 48,518 2,250
Hibernia Corp. Class A 111,383 2,249
Apache Corp. 71,269 2,245
- - Sealed Air Corp. 61,092 2,245
Shared Medical Systems Corp. 30,563 2,244
Camco International, Inc. 28,760 2,240
- - Synopsys, Inc. 48,786 2,232
- - Jacor Communications, Inc. 37,800 2,230
Perkin-Elmer Corp. 35,830 2,228
Dole Food Co. 44,800 2,226
Allegiance Corp. 43,352 2,222
Sovereign Bancorp, Inc. 134,535 2,199
- - Advanced Fibre Communications 54,700 2,191
Potomac Electric Power Co. 87,000 2,180
Deluxe Corp. 60,731 2,175
- - Intuit, Inc. 35,300 2,162
Adobe Systems, Inc. 50,720 2,152
Engelhard Corp. 106,223 2,151
Westvaco Corp. 76,047 2,148
- - American Power
Conversion Corp. 71,500 2,145
USX-U.S. Steel Group 64,987 2,145
DPL Inc. 118,275 2,144
Travelers Property Casualty Corp. 49,900 2,139
Commerce Bancshares, Inc. 43,698 2,133
- - Borders Group, Inc. 57,600 2,131
Mercantile Stores Co., Inc. 26,964 2,128
- - Forest Laboratories, Inc. 58,984 2,109
DePuy, Inc. 74,600 2,107
Reader's Digest Assn., Inc.
Class A 77,500 2,102
Comdisco, Inc. 110,550 2,100
- - Citrix Systems, Inc. 30,700 2,099
New England Electric System 48,400 2,093
- - Quantum Corp. 100,800 2,092
Wesco Financial Corp. 5,342 2,089
Bausch & Lomb, Inc. 41,301 2,070
DQE Inc. 57,107 2,056
Ultramar Diamond
Shamrock Corp. 65,068 2,054
American National Insurance Co. 19,500 2,052
Kerr-McGee Corp. 35,453 2,052
- - Payless ShoeSource, Inc. 27,844 2,052
Viad Corp. 73,563 2,041
Patriot American Hospitality,
Inc. REIT 104,947 2,515
- - DST Systems, Inc. 36,400 2,038
- - Chiron Corp. 129,632 2,034
International Game Technology 83,702 2,030
Thomas & Betts Corp. 40,827 2,011
Armstrong World Industries Inc. 29,820 2,009
TCF Financial Corp. 68,062 2,008
Energy East Corp. 48,200 2,006
- - U.S. Cellular Corp. 65,100 2,002
- - Litton Industries, Inc. 33,869 1,998
SuperValu Inc. 44,949 1,995
Transatlantic Holdings, Inc. 25,800 1,995
Federal-Mogul Corp. 29,500 1,991
Freeport-McMoRan Copper &
Gold Inc. Class B 131,051 1,990
Dial Corp. 76,663 1,988
U.S. Industries, Inc. 80,250 1,986
- - Viking Office Products 63,200 1,983
Kimco Realty Corp. REIT 48,350 1,982
- - Cooper Cameron Corp. 38,600 1,969
- - Total Renal Care Holdings, Inc. 56,969 1,965
- - FORE Systems, Inc. 73,800 1,956
The Warnaco Group, Inc. Class A 46,092 1,956
First Virginia Banks, Inc. 38,160 1,951
McCormick & Co., Inc. 54,617 1,951
Millennium Chemicals, Inc. 57,482 1,947
- - Altera Corp. 65,820 1,946
Hormel Foods Corp. 56,300 1,946
- - Pixar, Inc. 32,100 1,938
- - Immunex Corp. 29,200 1,935
Stewart Enterprises, Inc. Class A 72,500 1,930
- - USA Networks, Inc. 76,124 1,913
First Commercial Corp. 27,432 1,905
Western Resources, Inc. 49,000 1,902
American Financial Group, Inc. 43,900 1,901
Lafarge Corp. 48,300 1,899
- - Centocor, Inc. 52,248 1,894
- - Venator Group, Inc. 98,992 1,893
- - General Nutrition Cos., Inc. 60,800 1,892
USG Corp. 34,800 1,884
- - Apollo Group, Inc. Class A 56,912 1,882
- - Xilinx, Inc. 55,300 1,880
- - Allied Waste Industries, Inc. 78,300 1,879
Pall Corp. 91,558 1,877
- - Barnes & Noble, Inc. 50,052 1,874
- - Safeskin Corp. 45,400 1,867
American Bankers
Insurance Group 31,000 1,864
Giant Food, Inc. Class A 43,269 1,863
Raychem Corp. 63,030 1,863
- - Snyder Communications, Inc. 42,249 1,859
Interstate Energy Corp. 57,082 1,855
Meredith Corp. 39,500 1,854
- - RELTEC Corp. 41,200 1,854
- - Sofamor Danek Group, Inc. 21,400 1,852
- - ICG Communiations, Inc. 50,594 1,850
- - Legato Systems, Inc. 47,400 1,849
Meditrust Corp. 65,956 1,843
The St. Joe Company 67,300 1,842
- - Rexall Sundown, Inc. 52,206 1,840
- - CalEnergy Co. 61,100 1,837
Brunswick Corp. 73,998 1,831
Mercantile Bankshares Corp. 52,600 1,831
- - FMC Corp. 26,837 1,830
Manor Care Inc. 47,491 1,825
ENSCO International, Inc. 104,924 1,823
</TABLE>
13
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<TABLE>
<CAPTION>
- --------------------------------------------------------------
MARKET
VALUE*
TOTAL STOCK MARKET PORTFOLIO SHARES (000)
- --------------------------------------------------------------
<S> <C> <C>
- - Citizens Utilities Co. Class B 188,980 $ 1,819
Health and Retirement
Properties Trust 96,700 1,819
- - Concord EFS, Inc. 69,537 1,817
- - McLeod, Inc. 46,500 1,808
American Water Works Co., Inc. 58,300 1,807
- - SCI Systems, Inc. 48,016 1,807
- - Global TeleSystems Group, Inc. 37,000 1,804
Lyondell Petrochemical Co. 59,246 1,803
Consolidated Papers 66,100 1,801
Ryder System, Inc. 57,066 1,801
- - Sybron International Corp. 71,292 1,800
Pennzoil Co. 35,414 1,793
- - Lincare Holdings, Inc. 42,600 1,792
One Valley Bancorp of
West Virginia Inc. 49,250 1,791
Johns Manville Corp. 118,800 1,789
Interstate Bakeries Corp. 53,800 1,785
- - Fruit of the Loom, Inc. 53,766 1,784
The PMI Group Inc. 24,300 1,783
- - Advanced Micro Devices, Inc. 104,310 1,780
- - Dollar Tree Stores, Inc. 43,613 1,772
Martin Marietta Materials, Inc. 39,226 1,765
Associated Banc-Corp. 46,709 1,757
Great Lakes Chemical Corp. 44,479 1,754
Darden Restaurants Inc. 110,293 1,751
- - Harrah's Entertainment, Inc. 75,316 1,751
Pioneer Natural Resources Co. 73,300 1,750
- - Keebler Foods Co. 63,500 1,746
- - KLA-Tencor Corp. 62,600 1,733
- - Premier Parks Inc. 26,000 1,732
Whitman Corp. 75,425 1,730
Telephone & Data Systems, Inc. 43,800 1,725
Bergen Brunswig Corp. Class A 37,101 1,721
KN Energy, Inc. 31,706 1,718
Nalco Chemical Co. 48,921 1,718
- - Oryx Energy Co. 77,629 1,718
Manpower Inc. 59,800 1,716
- - Sterling Software, Inc. 57,700 1,706
Avalon Bay Communities 44,864 1,705
Spieker Properties, Inc. REIT 43,900 1,701
- - Comverse Technology, Inc. 32,750 1,699
Hubbell Inc. Class B 40,700 1,694
- - i2 Technologies, Inc. 48,100 1,690
Murphy Oil Corp. 33,100 1,678
- - BJ Services Co. 57,684 1,676
- - Silicon Graphics, Inc. 138,038 1,674
Protective Life Corp. 45,500 1,669
Crane Co. 34,322 1,667
Peoples Bank of Bridgeport 48,150 1,667
- - Arterial Vascular Engineering, Inc. 46,600 1,666
CCB Financial Corp. 15,683 1,666
Puget Sound Energy Inc. 62,063 1,664
Symbol Technologies, Inc. 44,075 1,664
- - Vitesse Semiconductor Corp. 53,800 1,661
Centex Corp. 43,858 1,656
- - Cablevision Systems Corp.
Class B 19,800 1,653
Clayton Homes Inc. 86,976 1,653
Dean Foods Corp. 30,067 1,652
Snap-On Inc. 45,518 1,650
- - Northeast Utilities 97,100 1,645
- - Teradyne, Inc. 61,229 1,638
Harsco Corp. 35,668 1,634
Avnet, Inc. 29,858 1,633
National Service Industries, Inc. 32,093 1,633
OGE Energy Corp. 60,300 1,628
Wausau-Mosinee Paper Corp. 70,824 1,620
- - STERIS Corp. 25,449 1,618
C.R. Bard, Inc. 42,481 1,617
Conectiv, Inc. 78,900 1,617
Shaw Industries, Inc. 91,700 1,616
- - Niagara Mohawk Power Corp. 107,902 1,612
Mallinckrodt, Inc. 54,192 1,609
Cabot Corp. 49,768 1,608
Homestake Mining Co. 154,893 1,607
- - National Semiconductor Corp. 121,868 1,607
- - Uniphase Corp. 25,600 1,607
Herman Miller, Inc. 66,016 1,605
Owens Corning 39,281 1,603
- - PLATINUM technology, Inc. 56,000 1,600
- - Excite, Inc. 17,100 1,599
Illinova Corp. 53,300 1,599
Noble Affiliates, Inc. 42,064 1,598
- - BroadVision, Inc. 66,900 1,597
Bemis Co., Inc. 39,029 1,595
- - Arrow Electronics, Inc. 73,298 1,594
GATX Corp. 36,300 1,593
- - R. P. Scherer Corp. 17,974 1,593
- - Neiman Marcus Group Inc. 36,645 1,592
- - Lycos, Inc. 21,101 1,590
Rouse Co. REIT 50,400 1,584
The Timber Co. 68,098 1,571
- - Young & Rubicam Inc. 49,100 1,571
- - Cabletron Systems, Inc. 116,308 1,563
Security Capital Pacific, Inc. REIT 69,393 1,561
- - Navistar International Corp. 54,017 1,560
- - Netscape Communications Corp. 57,475 1,555
HON Industries, Inc. 45,700 1,554
Boston Properties, Inc. REIT 45,000 1,553
McDermott International, Inc. 45,107 1,553
AMB Property Corp. 63,300 1,551
Leucadia National Corp. 46,900 1,551
Unifi, Inc. 45,250 1,550
- - Tele-Communications
International, Inc. Series A 77,100 1,549
MidAmerican Energy Co. 71,500 1,546
National Community Bancorp 36,804 1,541
- - Tech Data Corp. 35,922 1,540
Olin Corp. 36,900 1,538
Peoples Heritage Financial
Group Inc. 64,682 1,528
- - OfficeMax, Inc. 92,550 1,527
- - Walter Industries, Inc. 80,400 1,523
UtiliCorp United, Inc. 40,200 1,515
Ross Stores, Inc. 35,212 1,514
First American Financial Corp. 16,800 1,512
Reliance Group Holdings 85,886 1,503
Tidewater, Inc. 45,500 1,501
ComAir Holdings, Inc. 48,513 1,498
</TABLE>
14
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<TABLE>
<CAPTION>
- --------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------
<S> <C> <C>
Magna Group 26,413 $ 1,492
Wilmington Trust Corp. 24,500 1,491
Flowers Industries, Inc. 72,825 1,488
CarrAmerica Realty Corp. REIT 52,300 1,484
Pulitzer Publishing Co. 16,566 1,479
BEC Energy 35,500 1,473
Diebold, Inc. 50,996 1,473
Louisiana-Pacific Corp. 80,664 1,472
Scientific-Atlanta, Inc. 57,992 1,472
CNF Transportation, Inc. 34,599 1,470
- - Nabors Industries, Inc. 74,000 1,466
- - Genzyme Corp. 57,278 1,464
- - Cytec Industries, Inc. 33,054 1,463
- - Footstar Inc. 30,370 1,458
- - Quorum Health Group, Inc. 55,000 1,458
Premark International, Inc. 45,167 1,457
Cummins Engine Co., Inc. 28,402 1,456
- - Ocean Energy, Inc. 74,230 1,452
- - PRIMEDIA Inc. 106,700 1,447
IKON Office Solutions, Inc. 99,283 1,446
IPALCO Enterprises, Inc. 32,550 1,446
Mack-Cali Realty Corp. REIT 42,000 1,444
Cracker Barrel Old Country
Stores, Inc. 45,454 1,443
MCN Energy Group Inc. 58,000 1,443
Pacific Century Financial Corp. 60,000 1,440
Everest Reinsurance
Holdings, Inc. 37,300 1,434
Keystone Financial, Inc. 38,743 1,433
- - Veritas Software Corp. 34,625 1,433
- - Syntel, Inc. 45,750 1,430
Provident Financial Group, Inc. 31,250 1,426
The Timken Co. 46,290 1,426
Bowater Inc. 30,100 1,422
NICOR, Inc. 35,352 1,419
- - Westpoint Stevens, Inc. 42,986 1,419
- - Bally Total Fitness Holding Corp. 39,400 1,418
- - Henry Schein, Inc. 30,679 1,415
CKE Restaurants Inc. 34,280 1,414
FINA Inc. 21,700 1,411
Montana Power Co. 40,600 1,411
- - Catellus Development Corp. 79,600 1,408
- - Universal Health Services Class B 24,100 1,407
First Bancorp of Ohio 48,200 1,404
- - King World Productions, Inc. 54,972 1,402
- - Affiliated Computer Services, Inc. 36,281 1,397
Duke Realty Investments,
Inc. REIT 58,900 1,395
NGC Corp. 111,400 1,393
Hannaford Brothers Co. 31,600 1,390
Valero Energy Corp. 41,700 1,387
- - Corrections Corp. of America 58,972 1,386
- - Suiza Foods Corp. 23,100 1,379
Crompton & Knowles Corp. 54,651 1,377
- - Outback Steakhouse 35,300 1,377
Harte-Hanks, Inc. 53,300 1,376
Pulte Corp. 46,016 1,375
Timberline Software Corp. 58,290 1,373
Nabisco Holdings Corp. Class A 38,000 1,370
Apartment Investment &
Management Co. Class A REIT 34,600 1,367
Ethan Allen Interiors, Inc. 27,360 1,366
- - MGM Grand, Inc. 43,161 1,362
Nationwide Financial
Services, Inc. 26,600 1,357
- - STAR Telecommunications, Inc. 60,515 1,354
- - Intermedia Communications Inc. 32,200 1,350
- - Sanmina Corp. 31,000 1,345
Trinity Industries, Inc. 32,350 1,343
Autodesk, Inc. 34,743 1,342
Boise Cascade Corp. 40,956 1,341
- - First Health Group Corp. 47,066 1,341
Tektronix, Inc. 37,680 1,333
- - International Specialty
Products, Inc. 71,500 1,332
- - Whole Foods Market, Inc. 22,000 1,331
Hertz Corp. Class A 29,900 1,325
Fremont General Corp. 24,397 1,322
Kansas City Power & Light Co. 45,600 1,322
York International Corp. 30,300 1,320
NACCO Industries, Inc. Class A 10,165 1,314
- - Corporate Express, Inc. 103,500 1,313
- - International Home Foods, Inc. 57,700 1,313
- - NTL Inc. 24,500 1,311
- - Saks Holdings, Inc. 47,300 1,307
Fastenal Co. 28,100 1,305
- - Jefferson Smurfit Corp. 83,000 1,305
Cornerstone Properties, Inc. REIT 74,000 1,304
- - Alleghany Corp. 5,564 1,298
General Signal Corp. 36,058 1,298
- - Golden State Bancorp Inc. 43,643 1,298
- - VISIX Inc. 21,771 1,295
United Asset Management Corp. 49,500 1,290
- - Chris-Craft Industries, Inc. 23,577 1,289
SEI Corp. 20,700 1,283
- - Ciber, Inc. 33,700 1,281
- - Vlasic Foods International, Inc. 63,670 1,281
Lubrizol Corp. 42,267 1,279
- - Waters Corp. 21,700 1,279
Tupperware Corp. 45,382 1,276
Valspar Corp. 32,200 1,276
Financial Security Assurance
Holdings Ltd. 21,700 1,275
- - Healthcare & Retirement Corp. 32,300 1,274
- - AMF Bowling, Inc. 43,900 1,273
- - Value City Department Stores, Inc. 60,500 1,271
- - J. Ray McDermott SA 30,600 1,270
Meritor Automotive, Inc. 52,866 1,269
- - PMC Sierra Inc. 27,046 1,268
City National Corp. 34,187 1,263
Southdown, Inc. 17,700 1,263
Airborne Freight Corp. 36,080 1,261
- - Rowan Cos., Inc. 64,672 1,257
Delta & Pine Land Co. 28,174 1,254
Allied Capital Corp. 51,000 1,250
- - Ingram Micro, Inc. 28,200 1,248
IBP, Inc. 68,700 1,245
Highwood Properties, Inc. REIT 38,500 1,244
Witco Chemical Corp. 42,500 1,243
Tiffany & Co. 25,868 1,242
Cordant Technologies, Inc. 26,900 1,241
National Fuel Gas Co. 28,200 1,228
</TABLE>
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<TABLE>
<CAPTION>
- --------------------------------------------------------------
MARKET
VALUE*
TOTAL STOCK MARKET PORTFOLIO SHARES (000)
- --------------------------------------------------------------
<S> <C> <C>
- - Williams Sonoma, Inc. 38,616 $ 1,228
Alberto-Culver Co. Class B 42,246 1,225
- - Smith International, Inc. 35,200 1,225
Hartford Life, Inc. 21,500 1,224
- - MedImmune Inc. 19,600 1,223
- - Blyth Industries, Inc. 36,700 1,220
Lancaster Colony Corp. 32,182 1,219
- - Adaptec, Inc. 84,900 1,215
- - Mohawk Industries, Inc. 38,300 1,214
La Quinta Inns Inc. 57,338 1,211
RPM Inc. (Ohio) 71,162 1,210
- - Trammell Crow Co. 36,200 1,210
Cousins Properties, Inc. REIT 40,400 1,207
- - Ocwen Financial Corp. 44,900 1,207
Centura Banks, Inc. 19,300 1,206
Beckman Coulter, Inc. 20,668 1,204
- - CompUSA, Inc. 66,200 1,196
Pier 1 Imports Inc. 50,100 1,196
Aeroquip-Vickers Inc. 20,433 1,193
- - AmeriCredit Corp. 33,400 1,192
CNB Bancshares, Inc. 24,760 1,188
Erie Indemnity Co. Class A 41,100 1,187
Trustmark Corp. 54,100 1,187
- - Circus Circus Enterprises Inc. 69,941 1,185
Cooper Tire & Rubber Co. 57,355 1,183
- - Andrew Corp. 65,445 1,182
Arden Realty Group, Inc. REIT 45,700 1,182
- - Winstar Communications, Inc. 27,500 1,181
- - Macromedia 63,123 1,180
- - IXC Communications, Inc. 24,300 1,179
- - CheckFree Holdings Corp. 39,900 1,175
Pentair, Inc. 27,600 1,173
Questar Corp. 59,770 1,173
- - Learning Co., Inc. 39,537 1,171
- - ITT Educational Services, Inc. 36,200 1,167
Kaufman & Broad Home Corp. 36,742 1,167
- - MedPartners, Inc. 145,848 1,167
Texas Industries, Inc. 22,000 1,166
Polaroid Corp. 32,758 1,165
Albank Financial Corp. 16,480 1,163
- - Bethlehem Steel Corp. 93,496 1,163
Integrated Health Services, Inc. 31,000 1,163
C.H. Robinson Worldwide, Inc. 46,700 1,162
HUBCO, Inc. 32,275 1,156
U.S. Trust Corp. 15,102 1,152
Colonial BancGroup, Inc. 35,630 1,149
Liberty Financial Cos., Inc. 33,300 1,149
- - Reebok International Ltd. 41,508 1,149
- - Trigon Healthcare, Inc. 31,700 1,147
Legg Mason Inc. 19,900 1,145
The McClatchy Co. Class A 33,075 1,145
Orion Capital Corp. 20,500 1,145
- - U.S. Foodservice 32,600 1,143
- - Stone Container Corp. 73,113 1,142
- - MMC Networks, Inc. 35,800 1,141
- - Valassis Communications, Inc. 29,600 1,141
Liberty Property Trust REIT 44,600 1,140
Lennar Corp. 38,600 1,139
Valley National Bancorp 39,282 1,139
Horace Mann Educators Corp. 32,900 1,135
Raymond James Financial, Inc. 37,912 1,135
- - BJ's Wholesale Club, Inc. 27,900 1,133
- - Devry, Inc. 51,600 1,132
- - Heftel Broadcasting Corp. 25,300 1,132
- - Iomega Corp. 192,000 1,128
- - FileNET Corp. 39,000 1,126
Weis Markets, Inc. 30,600 1,125
- - BEA Systems, Inc. 49,000 1,124
Executive Risk, Inc. 15,233 1,123
- - RealNetworks, Inc. 30,100 1,123
- - Global Industries Ltd. 66,400 1,120
HSB Group Inc. 20,935 1,120
- - Pegasystems Inc. 41,300 1,120
Central Newspapers Inc. 16,050 1,119
Fulton Financial Corp. 44,033 1,117
- - Lason Holdings, Inc. 20,500 1,117
Pittston Brink's Group 30,300 1,117
- - Mercury Interactive Corp. 25,000 1,116
- - Beverly Enterprises, Inc. 80,579 1,113
- - Howmet International Inc. 74,200 1,113
- - Midway Games Inc. 71,066 1,110
- - Univision Communications Inc. 29,800 1,110
Fund American Enterprise
Holding Co. 7,485 1,108
Ohio Casualty Corp. 25,044 1,108
- - Associated Group, Inc. 26,992 1,107
- - Goody's Family Clothing 20,150 1,106
Fingerhut Co. 33,354 1,101
Callaway Golf Co. 55,800 1,099
Sodexho Marriott Services, Inc. 37,846 1,098
TCA Cable Television, Inc. 18,300 1,098
Hollinger International, Inc. 64,300 1,093
Hussman International, Inc. 58,862 1,093
20th Century Industries of CA 38,100 1,093
- - BOK Financial Corp. 23,105 1,092
- - Interim Services, Inc. 33,990 1,092
- - United Rentals, Inc. 26,000 1,092
Reinsurance Group of
America, Inc. 18,450 1,091
- - Sylvan Learning Systems, Inc. 33,300 1,091
IndyMac Mortgage Holdings, Inc. 47,900 1,090
New Plan Realty Trust REIT 44,350 1,087
Oakwood Homes Corp. 36,200 1,086
Worthington Industries, Inc. 72,089 1,086
- - Young Broadcasting Inc. 16,700 1,086
- - Vanguard Cellular Systems, Inc.
Class A 57,213 1,080
- - Musicland Stores Corp. 77,100 1,079
- - ACNielson Corp. 42,655 1,077
- - NEXTLINK Communications, Inc. 28,400 1,076
- - O'Reilly Automotive, Inc. 29,900 1,076
Pittway Corp. Class A 14,534 1,074
- - Policy Management
Systems Corp. 27,340 1,073
- - Symantec Corp. 41,088 1,073
ASA Holdings Inc. 21,600 1,072
- - Plantronics, Inc. 20,800 1,071
- - Metro-Goldwyn-Mayer Inc. 48,600 1,069
- - Paging Network, Inc. 76,300 1,068
- - Triangle Pacific Corp. 19,400 1,067
</TABLE>
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<TABLE>
<CAPTION>
- --------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------
<S> <C> <C>
- - Mail-Well, Inc. 48,900 $ 1,061
JLG Industries, Inc. 52,300 1,059
National Data Corp. 24,211 1,059
Fleetwood Enterprises, Inc. 26,458 1,058
Interface, Inc. 52,400 1,058
Long Island Bancorp, Inc. 17,400 1,057
- - Furniture Brands
International Inc. 37,600 1,055
AVX Corp. 65,600 1,054
- - Mueller Industries Inc. 28,368 1,053
- - Paymentech, Inc. 51,233 1,053
Reynolds & Reynolds Class A 57,900 1,053
Washington Federal Inc. 38,068 1,052
- - SCM Microsystems,Inc. 16,800 1,050
Teleflex Inc. 27,626 1,050
COMSAT Corp. 37,000 1,048
- - SPS Transaction Services 33,400 1,048
Allied Group, Inc. 22,350 1,046
AmerUs Life Holdings, Inc. 32,303 1,046
Polaris Industries, Inc. 27,800 1,046
Graco, Inc. 29,947 1,044
Commerce Group, Inc. 26,900 1,042
Life Re Corp. 12,700 1,041
- - Ames Department Stores, Inc. 39,500 1,039
- - Windmere-Durable Holdings Inc. 28,999 1,039
Ogden Corp. 37,445 1,037
- - Healthcare Financial
Partners, Inc. 16,900 1,036
United Dominion Realty Trust REIT 74,700 1,036
Lee Enterprises, Inc. 33,800 1,035
- - National-Oilwell, Inc. 38,600 1,035
- - Microchip Technology, Inc. 39,550 1,033
Inland Steel Industries, Inc. 36,624 1,032
- - Century Communications Corp.
Class A 55,000 1,031
- - Ziff-Davis Inc. 74,300 1,031
Regis Corp. 34,794 1,029
Astoria Financial Corp. 19,200 1,027
- - Amphenol Corp. 26,300 1,026
- - Sinclair Broadcast Group, Inc. 35,700 1,026
Mark IV Industries, Inc. 47,389 1,025
CMAC Investment Corp. 16,626 1,023
- - Excel Switching Corp. 41,000 1,020
- - Romac International, Inc. 33,583 1,020
- - AnnTaylor Stores Corp. 48,100 1,019
- - AmeriSource Health Corp. 15,496 1,018
Harnischfeger Industries Inc. 35,735 1,012
- - Open Market, Inc. 53,600 1,012
Applied Power, Inc. 29,400 1,011
- - Atmel Corp. 74,200 1,011
Earthgrains Co. 18,086 1,011
- - GTech Holdings Corp. 30,000 1,011
Eaton Vance Corp. 21,800 1,010
LNR Property Corp. 39,400 1,010
- - International Network Services 24,600 1,009
Post Properties, Inc. REIT 26,200 1,009
Sealed Air Corp. Pfd. 24,013 1,009
Arthur J. Gallagher & Co. 22,500 1,007
Kelly Services, Inc. Class A 28,437 1,006
- - LaSalle Partners Inc. 22,600 1,006
- - Nova Corp. (Georgia) 28,000 1,001
- - Avant! Corp. 40,400 1,000
EG&G, Inc. 33,336 1,000
- - Express Scripts 12,400 1,000
FirstBank Puerto Rico 38,450 1,000
- - Aspect Telecommunications Corp. 36,500 999
- - Markel Corp. 5,600 997
- - Twinlab Corp. 22,800 996
- - Champion Enterprises, Inc. 33,969 994
Chesapeake Corp. of Virginia 25,517 994
- - Visio Corp. 20,800 993
- - Rational Software Corp. 65,063 992
- - Atlas Air, Inc. 29,300 991
- - World Color Press, Inc. 28,300 991
General Growth Properties
Inc. REIT 26,500 990
Minnesota Power, Inc. 24,900 990
Westfield America, Inc. REIT 53,900 990
- - UCAR International, Inc. 33,900 989
Battle Mountain Gold Co.
Class A 166,400 988
DENTSPLY International Inc. 39,500 988
- - Labor Ready, Inc. 32,700 987
Bank United Corp. Class A 20,600 986
- - Sapient Corp. 18,700 986
WestAmerica Bancorporation 30,700 986
- - Complete Business Solutions, Inc. 27,400 985
- - Newfield Exploration Co. 39,500 983
United Bankshares, Inc. 28,800 983
Rayonier Inc. 21,275 979
Peoples Energy Corp. 25,313 978
- - Skytel Communications, Inc. 41,800 978
Burlington Coat Factory
Warehouse Corp. 43,410 977
Hospitality Properties Trust REIT 30,400 977
- - Theragenics Corp. 37,484 977
Idaho Power Co. 28,200 976
- - Scotts Co. 26,200 976
Webster Financial Corp. 29,368 976
- - CommScope, Inc. 60,205 975
United Dominion Industries Ltd. 29,200 975
Camden Property Trust REIT 32,700 973
- - FIRSTPLUS Financial Group, Inc. 27,000 972
- - Louis Dreyfus Natural Gas Corp. 51,260 971
- - Safeguard Scientifics, Inc. 23,294 971
- - SPS Technologies, Inc. 16,552 968
- - Staff Leasing,Inc. 32,800 968
True North Communications 33,100 968
Universal Corp. 25,900 968
Cross Timbers Oil Co. 50,725 967
Nevada Power Co. 37,548 967
- - Essex International, Inc. 40,900 966
- - Rambus Inc. 15,800 966
Central Parking Corp. 21,200 965
- - Florida Panthers Holdings, Inc. 49,000 965
- - Orbital Sciences Corp. 25,800 964
AGCO Corp. 46,800 962
- - Platinum Software Co. 39,300 958
- - Coltec Inc. 48,100 956
Church & Dwight, Inc. 29,500 955
</TABLE>
17
<PAGE> 137
<TABLE>
<CAPTION>
- --------------------------------------------------------------
MARKET
VALUE*
TOTAL STOCK MARKET PORTFOLIO SHARES (000)
- --------------------------------------------------------------
<S> <C> <C>
Commercial Federal Corp. 30,200 $ 955
- - Gardner Denver Inc. 34,554 955
- - Mastech Corp. 33,900 953
- - Engineering Animation, Inc. 15,600 952
- - Network Appliance, Inc. 24,400 950
Old National Bancorp 19,899 950
Alexander & Baldwin, Inc. 32,600 949
Doral Financial Corp. 54,200 949
- - Magellan Health Services, Inc. 37,200 944
W.R. Grace & Co. 55,254 943
- - Mapics Inc. 47,900 943
- - UICI 34,600 943
- - ADVO, Inc. 33,400 941
Media General, Inc. Class A 19,300 941
Tyler Corp. 91,200 941
- - America West Holdings Corp.
Class B 32,900 940
Adolph Coors Co. Class B 27,636 940
- - Gentex Corp. 51,848 940
- - Vanstar Corp. 64,500 939
- - MiniMed, Inc. 17,900 938
Carlisle Co., Inc. 21,754 937
Precision Castparts Corp. 17,550 937
- - Coherent Communications
Systems Corp. 20,000 936
- - Imperial Bancorp 31,191 936
Hawaiian Electric Industries Inc. 23,565 935
Tootsie Roll Industries, Inc. 12,182 935
Foremost Corp. of America 38,700 934
Washington Water Power Co. 41,600 933
- - Acxiom Corp. 37,378 932
- - InterVoice, Inc. 52,513 932
Kennametal, Inc. 22,300 931
Stride Rite Corp. 61,726 930
- - E*TRADE Group, Inc. 40,500 929
John Nuveen Co. Class A 23,400 929
- - Knoll, Inc. 31,500 929
Michael Foods Group, Inc. 31,600 928
- - Covance, Inc. 41,213 927
Irwin Financial Corp. 31,900 927
- - Dendrite International, Inc. 24,600 926
Franchise Finance Corp. of
America REIT 35,700 926
Standard Pacific Corp. 44,900 926
- - Applied Micro Circuits Corp. 35,700 924
BetzDearborn Inc. 21,900 924
J.B. Hunt Transport Services, Inc. 25,947 924
Sotheby's Holdings Class A 41,300 924
- - Hollywood Entertainment Corp. 68,029 923
AAR Corp. 31,200 922
D. R. Horton, Inc. 44,080 920
- - Varco International, Inc. 46,444 920
- - Jabil Circuit, Inc. 27,800 919
Enhance Financial Services
Group, Inc. 27,200 918
Superior Telecom Inc. 22,000 916
- - Brinker International, Inc. 47,529 915
Cyprus Amax Minerals Co. 68,952 914
- - BET Holdings Inc. Class A 14,500 913
Great Atlantic & Pacific Tea
Co., Inc. 27,601 913
AREA Bancshares Corp. 26,745 909
- - Barr Labs Inc. 22,800 906
- - ChoicePoint Inc. 17,887 906
Taubman Co. REIT 63,600 906
- - McMoRan Oil and Gas 212,853 905
- - Oxford Health Plan 59,100 905
Ball Corp. 22,501 904
- - Silicon Valley Bancshares 25,400 904
- - AirTran Holdings, Inc. 119,700 901
Cullen/Frost Bankers, Inc. 16,600 901
- - Nuevo Energy Co. 28,000 900
- - Xylan Corp. 30,200 900
Albemarle Corp. 40,715 898
First Industrial Realty Trust REIT 28,200 897
Northwest Bancorp, Inc. 56,700 897
- - Medical Manager Corp. 32,410 895
- - Tekelec 20,000 895
- - Coach USA, Inc. 19,600 894
- - IDX Systems Corp. 19,400 894
- - PSS World Medical, Inc. 61,100 894
Kaydon Corp. 25,300 893
- - Laidlaw Environmental
Services, Inc. 246,319 893
- - American Management
Systems, Inc. 29,800 892
- - Hayes Lemmerz International, Inc. 22,440 892
- - ISS Group, Inc. 23,700 892
MDU Resources Group, Inc. 25,000 892
JSB Financial 15,201 890
Rochester Gas and Electric Corp. 27,852 890
Expeditors International of
Washington, Inc. 20,200 889
ONEOK, Inc. 22,306 889
Bank North Group 24,000 888
- - Ladd Furniture Inc. 29,600 888
The Macerich Co. REIT 30,300 888
N L Industries, Inc. 44,400 888
Merry Land & Investment Co.,
Inc. REIT 42,100 887
- - Renaissance Worldwide, Inc. 40,800 887
- - U.S. Rentals, Inc. 22,500 887
- - Vishay Intertechnology, Inc. 49,440 887
- - Applied Graphics
Technologies, Inc. 19,360 886
The Pep Boys
(Manny, Moe & Jack) 46,773 886
- - Patterson Dental Co. 24,150 884
- - SPX Corp. 13,700 882
- - Administaff, Inc. 19,100 881
- - CSG Systems International, Inc. 18,800 881
Chelsea GCA Realty, Inc. REIT 22,000 880
First Source Corp. 24,620 880
- - Linens 'n Things, Inc. 28,800 880
TIG Holdings, Inc. 38,200 879
- - United Payors & United
Providers, Inc. 38,850 879
- - EEX Corp. 93,641 878
- - Pacific Sunwear of California 25,050 877
P.H. Glatfelter Co. 55,400 876
- - National Instruments Corp. 24,500 876
</TABLE>
18
<PAGE> 138
<TABLE>
<CAPTION>
- --------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------
<S> <C> <C>
- - Alternate Living Services, Inc. 32,400 $ 875
Student Loan Corp. 18,600 875
Donaldson Co., Inc. 37,000 874
- - Hanover Compressor Co. 32,300 874
- - Quest Diagnostics, Inc. 39,956 874
Metris Cos., Inc. 13,700 873
Potlatch Corp. 20,796 873
- - Imperial Credit 37,126 872
Wabash National Corp. 33,850 872
- - Novellus Systems, Inc. 24,400 871
- - First Federal Financial Corp. 16,734 870
WPS Resources Corp. 26,521 870
- - Corn Products International, Inc. 25,665 869
- - Amresco, Inc. 29,800 868
- - Concentra Managed Care 33,400 868
- - QLogic Corp. 24,327 868
Capital Re Corp. 12,100 867
- - Pairgain Technologies, Inc. 49,700 867
- - Sepracor Inc. 20,900 867
- - IDEXX Laboratories Corp. 34,800 866
Varian Associates, Inc. 22,200 866
- - Handleman Co. 75,261 865
MAF Bancorp, Inc. 23,789 865
- - UNOVA, Inc. 40,238 865
- - Papa John's International, Inc. 21,900 864
- - Stage Stores, Inc. 19,100 864
Millipore Corp. 31,589 861
- - Insignia Financial Group 35,100 860
- - Informix Corp. 108,600 859
CBL & Associates Properties,
Inc. REIT 35,400 858
- - Harbinger Corp. 35,475 858
- - Omnipoint Corp. 37,400 858
- - SLI, Inc. 32,850 858
St. Paul Bancorp, Inc. 37,956 858
Mid Am Inc. 33,904 856
Valhi, Inc. 82,000 856
W.R. Berkley Corp. 21,350 855
Newport News Shipbuilding Inc. 31,957 855
Advanta Corp. Class A 38,939 854
Kuhlman Corp. 1,576 854
Felcor Suite Hotels, Inc. REIT 27,200 853
- - Data Transmission Network Corp. 21,300 852
- - Fairfield Communities, Inc. 44,400 852
- - Metzler Group, Inc. 23,250 852
- - Zale Corp. 26,700 849
Community First Bankshares 32,400 848
A.O. Smith Corp. 16,400 848
Churchill Downs, Inc. 20,400 847
- - Big Flower Holdings, Inc. 28,200 846
AGL Resources Inc. 42,500 845
Minerals Technologies, Inc. 16,600 845
Pioneer Group, Inc. 32,100 845
The Trust Co. of New Jersey 31,300 845
- - VeriSign, Inc. 22,600 845
Washington Gas Light Corp. 31,598 845
- - Heller Financial, Inc. 28,100 843
John Alden Financial Corp. 38,300 843
Granite Construction Co. 27,500 842
- - Pharmaceutical Product
Development, Inc. 38,270 842
- - United International Holdings, Inc.
Class A 52,600 842
Borg-Warner Automotive, Inc. 17,500 841
- - Diamond Technology
Partners Inc. 27,789 841
- - Deltek Systems, Inc. 34,300 840
- - ImClone Systems, Inc. 68,600 840
- - Barrett Resources Corp. 22,400 839
Florida Rock Industries, Inc. 28,700 838
- - ESSEF Corp. 40,656 836
- - Department 56 Inc. 23,495 834
- - RCN Corp. 43,000 833
First Midwest Bancorp 18,925 832
- - Southern Union Co. 25,799 832
- - EntreMed, Inc. 25,000 831
First Citizens BancShares Class A 8,300 831
- - IVAX Corp. 89,700 830
- - Manugistics Group, Inc. 33,500 829
- - Rutherford-Moran Oil Corp. 41,200 829
Tecumseh Products Co. Class A 15,700 829
Alumax, Inc. 17,835 827
Equitable Resources, Inc. 27,100 827
- - Friede Goldman International, Inc. 28,600 826
- - PSINet, Inc. 63,500 826
BRE Properties Inc. Class A REIT 31,640 825
- - Collins & Aikman Corp. 110,900 825
- - PETsMART, Inc. 82,452 825
Urban Shopping Centers,
Inc. REIT 26,200 825
Carpenter Technology Corp. 16,400 824
Computer Task Group, Inc. 24,592 824
- - Sequa Corp. Class A 12,344 824
Caraustar Industries, Inc. 28,500 823
- - Micron Electronics, Inc. 68,200 823
- - Toll Brothers, Inc. 28,700 823
- - Electronics for Imaging, Inc. 38,900 822
Health Care Properties Investors 22,800 822
- - Abacus Direct Corp. 15,800 821
- - Extended Stay America, Inc. 72,978 821
MascoTech Inc. 34,215 821
- - Medco Research, Inc. 32,200 821
- - NCI Building Systems, Inc. 14,200 820
- - Smithfield Foods, Inc. 26,900 820
- - Wisconsin Central
Transportation Corp. 37,500 820
Bowne & Co., Inc. 18,200 819
Developers Diversified Realty
Corp. REIT 20,900 819
Devon Energy Corp. 23,433 819
- - Veritas DGC Inc. 16,400 819
- - Playtex Products, Inc. 51,300 818
- - Ralcorp Holdings, Inc. 43,357 818
- - Acuson Corp. 44,912 817
- - Johnstown America Industries 47,000 817
- - Scholastic Corp. 20,500 817
Universal Foods Corp. 36,826 817
Houghton Mifflin Co. 25,700 816
- - Cerner Corp. 28,770 815
First Hawaiian, Inc. 22,400 815
- - PanAmSat Corp. 14,330 815
Citizens Corp. 26,000 814
</TABLE>
19
<PAGE> 139
<TABLE>
<CAPTION>
- --------------------------------------------------------------
MARKET
VALUE*
TOTAL STOCK MARKET PORTFOLIO SHARES (000)
- --------------------------------------------------------------
<S> <C> <C>
- - ContiFinancial Corp. 35,200 $ 814
Frontier Insurance Group, Inc. 36,080 814
- - MICROS Systems, Inc. 24,600 814
Farmer Brothers, Inc. 3,400 813
Sierra Pacific Resources 22,400 813
- - Eagle USA Airfreight, Inc. 23,400 812
Riggs National Corp. 27,800 812
Myers Industries, Inc. 33,780 811
- - Sunrise Assisted Living, Inc. 23,600 811
Weingarten Realty Investors REIT 19,400 811
Blair Corp. 25,300 810
- - ShowBiz Pizza Time, Inc. 20,100 810
Federal Signal Corp. 33,262 809
- - BA Merchant Services, Inc.
Class A 40,000 807
Helmerich & Payne, Inc. 36,286 807
- - ONSALE, Inc. 32,600 807
- - SMART Modular
Technologies, Inc. 55,100 806
- - Wackenhut Corrections Corp. 34,500 806
- - Bell & Howell Co. 31,200 805
Russell Corp. 26,650 805
- - Kaiser Aluminum &
Chemical Corp. 84,100 804
Washington REIT 46,300 804
- - Sunglass Hut International, Inc. 72,626 803
Aptargroup Inc. 12,900 802
- - Hyperion Software Corp. 28,148 802
Longs Drug Stores, Inc. 27,790 802
Cleco Corp. 26,908 801
Essex Property Trust, Inc. REIT 25,834 801
- - Inacom Corp. 25,200 800
- - Information Resources, Inc. 43,235 800
United Illuminating Co. 15,800 800
AK Steel Corp. 44,700 799
CFSB Bancorp, Inc. 27,780 799
- - Men's Wearhouse, Inc. 24,225 799
Norrell Corp. 40,100 799
Longview Fibre Co. 55,930 797
- - Shopko Stores, Inc. 23,445 797
Security Capital Atlantic, Inc. REIT 35,675 796
- - Computer Horizons Corp. 21,444 795
- - PharMerica, Inc. 65,908 795
- - Trans World Airlines 76,597 795
- - Cadiz Land Co., Inc. 68,700 794
John H. Harland Co. 46,887 794
Queens County Bancorp, Inc. 18,200 794
- - Southland Corp. 288,600 794
- - Biomatrix, Inc. 19,333 793
- - Infoseek Corp. 22,100 793
- - PEC Israel Economic Corp. 33,200 793
Firstbank of Illinois Co. 18,850 792
- - Santa Fe Energy Resources, Inc. 73,662 792
- - TransTexas Gas Corp. 89,200 792
- - BISYS Group, Inc. 19,300 791
- - Consolidated Capital Corp. 35,200 791
- - Security First Network Bank 52,964 791
- - USWeb Corp. 33,400 791
United Television, Inc. 6,900 790
- - Metamor Worldwide, Inc. 22,425 789
- - Triad Guaranty, Inc. 23,200 789
- - Harken Energy Corp. 163,700 788
General Cable Corp. 27,250 787
Poe & Brown, Inc. 21,150 787
- - Andrx Corp. 21,400 786
Realty Income Corp. REIT 29,800 786
- - Rayovac Corp. 34,600 785
- - Hyperion Telecommunications,
Inc. Class A 50,000 784
Lincoln Electric Holdings 35,448 784
Brandywine Realty Trust REIT 35,000 783
Dreyer's Grand Ice Cream, Inc. 38,900 783
- - Jan Bell Marketing Inc. 120,500 783
Nationwide Health
Properties, Inc. 32,800 783
Gaylord Entertainment Co.
Class A 24,253 782
Sun Communities, Inc. REIT 23,600 782
- - Transaction Systems
UST Corp. 29,400 779
Architects, Inc. 20,300 782
- - Delphi Financial Group, Inc. 13,800 777
First Commonwealth
Financial Corp. 27,500 777
- - Nautica Enterprises Inc. 28,949 776
- - Bristol Hotel Co. 31,550 773
- - CDW Computer Centers, Inc. 15,450 773
Florida East Coast Railway Co. 26,400 772
- - Micro Warehouse Inc. 49,800 772
Staten Island Bancorp, Inc. 33,900 771
Blount International, Inc. 27,000 770
- - Immune Response 51,317 770
- - Alaska Air Group, Inc. 14,100 769
- - Western Digital Corp. 65,100 769
HCC Insurance Holdings, Inc. 34,900 768
- - Health Management
Systems, Inc. 68,297 768
Forest City Enterprise Class A 12,950 766
Medusa Corp. 12,200 766
- - PhyCor, Inc. 46,200 765
- - Personnel Group of America, Inc. 38,204 764
- - White River 8,442 764
American Annuity Group Inc. 31,717 763
MMI Cos., Inc. 33,000 763
- - Advance Paradigm, Inc. 20,700 761
- - Yellow Corp. 40,947 760
- - Dave & Busters 30,532 759
- - Speedway Motorsports, Inc. 29,700 759
- - Aspen Technologies, Inc. 15,000 758
- - Hutchinson Technology, Inc. 27,800 758
International Multifoods Corp. 27,581 758
Baldor Electric Co. 31,040 757
Tremont Corp. 13,446 756
- - Cliffs Drilling Co. 23,002 755
First Federal Savings Bank
of Colorado 27,200 755
- - Ryan's Family Steak Houses, Inc. 73,615 755
Whitney Holdings 14,870 755
- - Coldwater Creek Inc. 27,400 754
</TABLE>
20
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<TABLE>
<CAPTION>
- --------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------
<S> <C> <C>
- - Seagull Energy Corp. 45,456 $ 753
- - Grand Casinos, Inc. 44,900 752
- - Dura Pharmaceuticals, Inc. 33,586 751
- - ATL Ultrasound, Inc. 16,439 750
- - Atwood Oceanics, Inc. 18,834 750
Juno Lighting, Inc. 31,700 749
Westinghouse Air Brake Co. 28,400 749
- - Airgas, Inc. 52,000 748
- - Adtran, Inc. 28,600 747
Koger Equity, Inc. REIT 37,000 747
Plenum Publishing Corp. 10,200 747
Tredegar Industries Inc. 8,800 747
IDEX Corp. 21,625 746
Flowserve Corp. 30,242 745
- - Revlon, Inc. Class A 14,500 745
Commercial Metals Co. 24,200 744
- - Armco, Inc. 116,600 743
- - Chicago Title Corp. 16,092 743
- - Sensormatic Electronics Corp. 53,038 743
- - Action Performance Cos., Inc. 23,068 742
GenCorp, Inc. 29,400 742
Invacare Corp. 28,957 742
- - Tower Automotive, Inc. 17,300 742
First Brands Corp. 28,900 741
Western Bancorp 17,575 741
La-Z-Boy Inc. 13,100 740
Mentor Corp. 30,481 739
- - Eagle Hardware & Garden, Inc. 31,900 738
- - Anchor Gaming 9,499 737
Jefferson Savings Bancorp, Inc. 23,600 737
Prentiss Properties Trust REIT 30,300 737
Modine Manufacturing Co. 21,262 736
- - Stone Energy Corp. 20,700 736
Apogee Enterprises, Inc. 48,000 735
- - Tel-Save Holdings, Inc. 49,800 735
Telxon Corp. 22,700 735
UMB Financial Corp. 14,848 735
Susquehanna Bancshares, Inc. 19,650 734
- - Organogenesis, Inc. 37,108 733
- - ThermoQuest Corp. 49,100 733
Brown Group, Inc. 36,815 732
- - Lands' End, Inc. 23,100 731
- - Miller Industries, Inc. 94,300 731
- - Pilgrim America Cap Corp. 30,300 731
Gerber Scientific, Inc. 32,100 730
JDN Realty Corp. REIT 22,900 730
Corus Bankshares Inc. 18,100 729
Wallace Computer Services, Inc. 30,700 729
J. Baker, Inc. 62,991 728
- - Greyhound Lines, Inc. 120,100 728
- - PMT Services Inc 28,635 728
- - Boise Cascade Office
Products Corp. 46,924 727
Cincinnati Milacron, Inc. 29,883 727
US Bancorp, Inc. 9,400 727
- - Technology Solutions Co. 22,917 726
The Ackerley Group, Inc. 34,500 725
Richfood Holdings, Inc. 35,050 725
- - SEQUUS Pharmaceuticals, Inc. 63,700 725
- - Stein Mart, Inc. 53,700 725
Trustco Bank 27,613 725
Health Care REIT, Inc. 28,300 722
Jefferies Group, Inc. 17,600 722
The Standard Register Co. 20,413 722
Coachmen Industries, Inc. 27,596 721
Vintage Petroleum, Inc. 38,200 721
- - Acceptance Insurance Cos. Inc. 29,300 720
American Health Properties, Inc. 28,800 720
Piedmont Natural Gas, Inc. 21,400 720
- - Shorewood Packaging Corp. 45,300 719
- - ESC Medical Systems Ltd. 21,300 719
- - NBTY, Inc. 39,100 718
- - Synetic, Inc. 12,600 718
Weeks Corp. REIT 22,700 718
- - Cuno Inc. 33,100 716
- - Landstar System 20,500 716
National Bankcorp of Alaska Inc. 23,200 716
ChemFirst Inc. 28,300 715
Mainstreet Financial Corp. 24,200 714
Manufactured Home
Communities, Inc. REIT 29,600 714
Libbey, Inc. 18,600 713
CRIIMI MAE, Inc. REIT 51,300 712
Block Drug Co. Class A 18,708 711
- - PathoGenesis Corp. 24,500 711
- - Photronics Labs Inc. 32,204 711
- - WetSeal, Inc. Class A 22,200 710
Arch Coal, Inc. 28,500 709
Liberty Corp. 14,100 709
- - Michaels Stores, Inc. 20,100 709
Foamex International, Inc. 40,600 708
- - Gaylord Container Corp. 92,100 708
Healthcare Realty Trust Inc. 26,000 708
- - IHOP Corp. 17,100 708
- - Quiksilver, Inc. 35,500 708
Ruby Tuesday, Inc. 45,674 708
Ametek Aerospace Products Inc. 24,100 706
Barnes Group, Inc. 26,100 706
- - Security Capital Group Inc.
Class B 26,500 706
Anchor Bancorp Wisconsin Inc. 18,000 703
- - Nine West Group, Inc. 26,200 702
Chittenden Corp. 20,015 701
- - Conmed Corp. 30,468 701
Federal Realty Investment
Trust REIT 29,100 700
- - Gibson Greetings, Inc. 28,000 700
Irvine Apartment Communities,
Inc. REIT 24,200 700
Mitchell Energy & Development
Corp. Class A 35,000 700
- - Polo Ralph Lauren Corp. 25,000 700
- - Respironics, Inc. 44,966 700
Aames Financial Corp. 50,850 699
- - Insituform Technologies Class A 50,500 699
The Toro Co. 20,400 699
- - Oakley, Inc. 52,200 698
Orange & Rockland Utilities, Inc. 13,000 698
- - Perclose, Inc. 24,700 698
- - Ventas, Inc. 50,563 698
</TABLE>
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<CAPTION>
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MARKET
VALUE*
TOTAL STOCK MARKET PORTFOLIO SHARES (000)
- --------------------------------------------------------------
<S> <C> <C>
Excel Realty Trust, Inc. REIT 24,200 $ 697
M.A. Hanna Co. 38,050 697
Harbor Florida Bancshares, Inc. 58,379 697
- - Detroit Diesel Corp. 32,300 696
- - Gilead Sciences, Inc. 21,700 696
- - ISIS Pharmaceuticals, Inc. 50,826 696
Roslyn Bancorp, Inc. 31,200 696
Storage USA, Inc. REIT 19,900 696
- - Curative Health Services Inc. 24,400 695
Investors Financial Services Corp.
Class A 13,100 694
Citizens Banking Corp. 20,600 693
- - Progress Software Corp. 16,900 693
- - Veterinary Centers of
America, Inc. 36,860 693
- - Maxxam Inc. 12,200 692
- - Volt Information Sciences Inc. 25,500 692
- - Martek Biosciences Corp. 47,400 690
Reckson Associates Realty
Corp. REIT 29,200 690
- - Acclaim Entertainment Inc. 116,000 689
- - UniCapital Corp. 36,000 689
Ferro Corp. 27,200 688
- - Shoe Carnival, Inc. 49,600 688
- - Thermo Fibertek, Inc. 66,725 688
Claire's Stores, Inc. 33,500 687
Southwest Gas Corp. 28,100 687
- - Wang Laboratories, Inc. 27,000 687
Wolverine World Wide, Inc. 31,670 687
Jostens Inc. 28,440 686
LTV Corp. 71,700 686
- - American Business Information,
Inc. Class B 42,816 685
- - Coventry Health Care Inc. 45,955 684
- - Halter Marine Group, Inc. 45,402 684
- - HNC Software, Inc. 16,700 682
- - United Video Satellite Group, Inc. 17,200 682
Pogo Producing Co. 27,100 681
- - Esterline Technologies Corp. 33,090 680
Westcorp, Inc. 49,407 679
- - Dollar Thrifty Automotive
Group, Inc. 51,200 678
Enesco Group, Inc. 22,000 676
- - GT Interactive Software Corp. 89,800 676
- - Sonic Corp. 30,225 676
Springs Industries Inc. Class A 14,665 676
Aliant Communications, Inc. 24,600 675
Primex Technologies, Inc. 13,180 675
- - Boston Beer Co., Inc. Class A 52,900 674
- - GC Cos. 12,991 674
State Auto Financial Corp. 21,150 674
- - Verio Inc. 27,100 674
Briggs & Stratton Corp. 17,954 672
OM Group, Inc. 16,300 672
- - U.S. Home Corp. 16,300 672
- - American Tower Corp. Class A 26,900 671
Bob Evans Farms, Inc. 31,600 670
- - Foodmaker, Inc. 39,700 670
First Financial Bancorp 25,872 669
Sunbeam Corp. 64,500 669
- - Catalina Marketing Corp. 12,860 668
- - The Good Guys, Inc. 49,600 668
- - Agouron Pharmaceuticals, Inc. 22,000 667
Home Properties of New York,
Inc. REIT 25,000 667
First Palm Beach Bancorp 15,300 666
Jones Pharma, Inc. 20,100 666
Vermont Financial Services Corp. 24,258 666
- - Mesa Air Group Inc. 81,900 665
Standard Products Co. 23,600 664
Zeigler Coal Holding Co. 38,800 664
- - Micrografx, Inc. 46,500 663
Texas Regional Bancshares, Inc. 20,250 663
- - Anixter International Inc. 34,700 661
- - Physician Reliance Network, Inc. 57,800 661
Franklin Electric, Inc. 9,700 660
Chemical Finance 15,441 659
E.W. Blanch Holdings, Inc. 17,900 658
- - National Processing, Inc. 61,600 658
- - Castle & Cooke Inc. 34,600 657
- - On Assignment, Inc. 18,800 657
Bindly Western Industries, Inc. 19,867 656
Oregon Steel Mills, Inc. 35,200 656
Prime Bancorp Inc. 26,460 655
Reliance Bancorp, Inc. 17,100 655
TNP Enterprises, Inc. 21,200 655
- - Bio-Rad Laboratories, Inc. Class A 21,353 654
- - Dril-Quip, Inc. 24,900 654
- - BankUnited Financial Corp. 39,600 653
- - DVI, Inc. 25,600 653
NCH Corp. 10,200 653
St. John Knits, Inc. 16,900 653
Worthington Foods 31,188 653
- - Algos Pharmaceutical Corp. 24,100 651
- - Homestead Village, Inc. 54,787 651
Hughes Supply, Inc. 17,739 650
- - Mentor Graphics Corp. 61,500 650
OEA, Inc. 40,600 650
- - Intersolv 40,400 649
- - Littelfuse, Inc. 25,700 649
- - ADAC Laboratories 28,800 648
- - Western Wireless Corp. 32,500 648
- - Aavid Thermal Technologies 22,100 646
- - CKS Group, Inc. 35,900 646
- - Rare Hospitality International Inc. 44,000 646
- - Telco Systems, Inc. 45,500 646
- - Canandaigua Brands, Inc. Class A 13,108 645
- - INSpire Insurance Solutions, Inc. 19,400 645
Olsten Corp. 57,625 645
First Western Bancorp 21,883 644
- - Ortel Corp. 41,500 643
- - Fairchild Corp. 31,802 642
- - Banctec, Inc. 27,700 641
NAC Re Corp. 12,000 640
- - RWD Technologies, Inc. 27,100 640
- - Billing Concepts Corp. 41,228 639
- - Gadzooks, Inc. 23,200 639
- - ThermoLase Corp. 88,200 639
Cilcorp, Inc. 13,300 638
- - Federated Investors, Inc. 34,500 638
</TABLE>
22
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<TABLE>
<CAPTION>
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MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------
<S> <C> <C>
Sovran Self Storage, Inc. REIT 22,600 $ 638
- - Wind River Systems 17,788 638
- - PFF Bancorp, Inc. 34,200 637
- - Syms Corp. 44,700 637
- - Aphton Corp. 38,239 636
Prime Retail, Inc. REIT 53,300 636
- - Trimble Navigation Ltd. 39,300 636
- - Columbia Sportswear Co. 33,400 635
Diagnostic Products Corp. 22,023 635
Harveys Casino Resorts 23,400 635
Public Service Co. of New Mexico 27,980 635
- - Ace Cash Express, Inc. 36,750 634
Air Express International Corp. 23,700 634
Harmon Industries, Inc. 26,700 634
Sumitomo Bank of California 16,800 634
- - Consolidated Cigar Holdings Inc. 51,700 633
- - Lancer Corp. 39,285 633
- - Sanchez Computer
Associates, Inc. 31,060 633
- - Cymer, Inc. 39,200 632
BancorpSouth, Inc. 30,000 630
- - Giant Cement Holding, Inc. 22,000 630
- - Paragon Health Network, Inc. 39,048 630
Bandag, Inc. 16,138 629
F.N.B. Corp. 18,856 629
Foster Wheeler Corp. 29,354 629
- - INCYTE Pharmaceuticals, Inc. 18,400 628
Justin Industries, Inc. 38,960 628
Kansas City Life Insurance Co. 6,900 628
- - Burlington Industries, Inc. 44,597 627
RFS Hotel Investors, Inc. REIT 33,000 627
Jack Henry & Associates 18,200 626
- - Host Marriott Services Corp. 42,984 626
- - Spelling Entertainment 66,700 625
- - Digi International, Inc. 30,800 624
- - Affymetrix, Inc. 25,900 623
Berkshire Realty Co., Inc. REIT 53,300 623
MacDermid, Inc. 22,061 623
- - National City Bancorporation 18,740 623
Cabot Oil & Gas Corp. Class A 31,100 622
- - Consolidated Freightways Corp. 44,599 622
- - Marshall Industries 22,828 622
- - HS Resources Inc. 42,601 620
Simmons First National 13,050 620
United National Bancorp 21,181 620
ASARCO, Inc. 27,802 619
- - Eastern Environmental
Services, Inc. 18,200 619
- - Carriage Services, Inc. 24,600 618
Omega Financial Corp. 17,112 618
- - Tuboscope Inc. 31,300 618
- - International Technology 64,985 617
Pinnacle Bancorp Group Inc. 18,550 617
Pittston BAX Group 39,650 617
- - Alexander's, Inc. 6,923 616
- - Kaneb Services, Inc. 113,316 616
- - Echelon International Corp., Inc. 23,363 615
Mine Safety Appliances Co. 8,200 615
Optical Coating Laboratory, Inc. 32,181 615
Dallas Semiconductor Corp. 19,800 614
- - Playboy Enterprises Inc. Class B 34,600 614
- - VideoServer, Inc. 50,100 614
Associated Estates Realty
Corp. REIT 32,800 613
Crawford & Co. Class B 32,700 613
- - DBT Online Inc. 22,700 613
- - Integrated Systems, Inc. 39,800 612
- - Nortek, Inc. 19,900 612
- - Avis Rent A Car, Inc. 24,700 611
CVB Financial Corp. 25,200 611
- - LAM Research Corp. 31,939 611
- - MedCath Inc. 33,300 611
Daniel Industries, Inc. 32,128 610
General Binding Corp. 16,572 610
- - Hexcel Corp. 26,900 609
Imperial Credit Commercial
Mortgage Investment
Corp. REIT 46,600 609
LTC Properties, Inc. 32,700 609
Pitt Des Moines, Inc. 23,000 609
Thor Industries, Inc. 22,000 609
Coca-Cola Bottling Co. 9,200 608
Fair Issac & Co. 16,000 608
Sbarro, Inc. 22,409 608
- - Westwood One, Inc. 24,100 608
- - DSP Communications, Inc. 44,100 606
- - Insurance Auto Auctions, Inc. 42,900 606
- - Lamar Advertising Co. 16,900 606
- - Marine Drilling Co., Inc. 37,900 606
- - HCIA, Inc. 47,000 605
- - Heartland Express, Inc. 29,892 605
Penncorp Financial Group Inc. 29,500 605
- - Budget Group, Inc. 18,900 604
L. S. Starrett Co. Class A 15,300 604
- - UniSource Energy Corp. 38,380 604
- - Royal Appliance
Manufacturing Co. 96,486 603
Ameron International Corp. 10,400 601
- - CorVel Corp. 15,400 601
Crown American Realty
Trust REIT 62,000 601
Flushing Financial Corp. 21,100 601
Black Hills Corp. 26,100 600
Merrill Corp. 27,200 600
- - Basin Exploration Inc. 34,000 599
Commercial Net Lease
Realty REIT 37,000 599
Madison Gas & Electric Co. 26,200 599
- - Proxim, Inc. 36,000 599
Affiliated Community Bancorp 16,450 598
- - Ascent Entertainment Group, Inc. 53,777 598
JP Realty Inc. REIT 25,400 598
- - Access Health Marketing, Inc. 23,367 596
Andover Bancorp, Inc. 17,400 596
Harman International
Industries, Inc. 15,481 596
- - Philadelphia Consolidated
Holding Corp. 28,400 596
Schweitzer-Mauduit
International, Inc. 20,537 596
</TABLE>
23
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<TABLE>
<CAPTION>
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MARKET
VALUE*
TOTAL STOCK MARKET PORTFOLIO SHARES (000)
- --------------------------------------------------------------
<S> <C> <C>
IBS Financial Corp. 31,300 $ 595
- - Information Management
Resources, Inc. 17,600 595
- - Marcam Solutions, Inc. 33,050 595
Protection One, Inc. 54,400 595
First Financial Holdings, Inc. 25,000 594
Storage Trust Realty REIT 25,400 594
- - Metromedia International
Group, Inc. 49,700 593
Value Line, Inc. 15,500 593
- - Applied Innovation Inc. 59,600 592
- - CHS Electronics, Inc. 33,100 592
Haven Bancorp, Inc. 23,100 592
Harleysville National Corp. 13,909 591
- - Aftermarket Technology Corp. 31,400 589
Roper Industries Inc. 22,528 589
- - Spyglass, Inc. 51,500 589
Bassett Furniture Industries, Inc. 20,863 588
- - Daisytek International Corp. 23,100 588
F & M Bancorp 13,205 588
J.M. Smucker Co. Class A 23,700 588
WSFS Financial Corp. 28,700 588
Central Hudson Gas &
Electric Corp. 12,800 587
Empire District Electric Co. 28,100 587
- - Pharmaceutical Markets 41,200 587
Phillips-Van Heusen Corp. 39,700 586
Werner Enterprises, Inc. 30,750 586
Arvin Industries, Inc. 16,100 585
- - Boole & Babbage Inc. 24,500 585
- - Genesys Telecommunications
Laboratories, Inc. 17,700 585
- - Ardent Software, Inc. 42,414 583
Elcor Corp. 23,100 583
MTS Systems Corp. 36,280 583
Calgon Carbon Corp. 58,600 582
- - NFO Worldwide, Inc. 32,678 582
- - Tractor Supply Co. 23,400 582
Seacoast Banking Corp. of Florida
Class A 15,100 581
- - Medialink Worldwide, Inc. 27,600 580
- - Allied Holdings, Inc. 27,500 579
- - Arcadia Financial Ltd. 76,500 579
Authentic Fitness Corp. 36,600 579
- - Sola International, Inc. 17,700 579
- - Valence Technology 101,800 579
Winston Hotels, Inc. REIT 46,300 579
- - Ben & Jerry's Homemade, Inc.
Class A 29,800 577
Titan International, Inc. 33,950 577
- - Toy Biz 62,400 577
- - Techne 30,200 576
- - GRC International, Inc. 56,100 575
- - Primark Corp. 18,369 575
Ruddick Corp. 31,700 575
- - Strategic Distribution, Inc. 104,578 575
Nordson Corp. 12,200 573
- - ABR Information Services, Inc. 24,100 572
- - Bertucci's Holding Corp. 55,761 572
NYMAGIC, Inc. 20,900 572
Signal Corp. 19,622 572
- - Cable Design Technologies 27,678 571
Granite State Bankshares, Inc. 20,500 571
Lindsay Manufacturing Co. 21,038 571
- - Pride International Inc. 33,700 571
Belden, Inc. 18,600 570
- - Genesis Health Ventures Inc. 22,800 570
- - The SABRE Group Holdings, Inc. 15,000 570
- - Thermo Cardiosystems Inc. 25,050 570
UniFirst Corp. 22,800 570
- - Vantive Corp. 27,800 570
- - ArthroCare Corp. 34,200 569
Colonial Gas Co. 19,800 567
- - Brylane, Inc. 12,300 566
- - Journal Register Co. 33,800 566
Medford Bancorp, Inc. 13,799 566
- - Wall Data Inc. 35,296 565
- - Chirex, Inc. 32,100 564
- - Arbor Software Corp. 17,900 563
- - Banyan Systems, Inc. 68,200 563
Burnham Pacific Properties,
Inc. REIT 39,600 562
- - Burr-Brown Corp. 26,775 562
- - Electro Scientific Industries, Inc. 17,800 562
- - Forcenergy Inc. 31,527 562
Landauer, Inc. 18,800 562
Meridian Diagnostics, Inc. 45,429 562
- - Verity, Inc. 52,000 562
Atmos Energy Corp. 18,350 560
North Carolina Natural Gas Corp. 22,050 560
- - Strattec Strategy Corp. 18,605 560
- - United Capital Corp. 24,900 560
Wiser Oil Co. 50,600 560
- - Wyman-Gordon Corp. 28,100 560
A.M. Castle & Co. 25,431 559
- - Choice Hotel International, Inc. 41,241 559
- - Emmis Broadcasting Corp.
Class A 11,700 559
HEICO Corp. 21,108 559
- - Cort Business Services Corp. 17,700 558
- - Hovnanian Enterprises Class A 53,750 558
USFreightways Corp. 17,000 558
- - Supreme International Corp. 34,000 557
Watkins-Johnson Co. 21,400 556
- - Evergreen Resources, Inc. 29,600 555
Lillian Vernon Corp. 33,400 555
Oxford Industries, Inc. 15,900 555
Tanger Factory Outlet Centers,
Inc. REIT 17,511 555
- - Schuler Homes Inc. 63,300 554
- - Pacific Gateway Exchange, Inc. 13,800 553
- - ETEC Systems, Inc. 15,700 552
- - Input/Output, Inc. 31,000 552
- - NCO Group, Inc. 25,100 552
- - Premisys Communications, Inc. 22,200 552
- - General Semiconductor, Inc. 55,789 551
Kimball International, Inc. Class B 30,400 551
Southern California Water Co. 20,300 551
- - Dialogic Corp. 18,500 550
- - Datastream Systems, Inc. 28,800 549
</TABLE>
24
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<TABLE>
<CAPTION>
- --------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------
<S> <C> <C>
Guilford Mills, Inc. 27,450 $ 549
- - Jacobs Engineering Group Inc. 17,100 549
- - Microtouch Systems, Inc. 29,599 549
- - Nashua Corp. 35,114 549
BankAtlantic Bancorp, Inc.
Class A 46,400 548
Ethyl Corp. 89,230 547
Heritage Financial Services, Inc. 15,900 547
Hilb, Rogal and Hamilton Co. 35,000 547
- - Hain Food Group, Inc. 21,100 546
Lance, Inc. 24,421 546
Lilly Industries Inc. Class A 25,268 546
- - Logan's Roadhouse, Inc. 26,332 546
Thomas Nelson, Inc. 40,850 546
- - QRS Corp. 14,500 546
- - Correctional Services Corp. 36,200 545
- - Cybex Computer Products Corp. 23,700 545
- - DSP Group Inc. 27,600 545
- - Hambrecht & Quist Group 15,000 545
- - Plains Resources 30,383 545
- - Alliant Techsystems, Inc. 8,600 544
- - Altron, Inc. 42,200 543
- - Cone Mills Corp. 63,000 543
- - Hecla Mining Co. 102,200 543
- - Hollywood Park, Inc. 43,000 543
- - Commonwealth Telephone
Enterprises, Inc. 20,500 541
Connecticut Energy Corp. 19,400 541
- - Credit Acceptance Corp. 63,700 541
Curtiss-Wright Corp. 13,800 541
- - Mastec Inc. 22,667 541
Parkway Properties Inc. REIT 18,350 541
IRT Property Co. REIT 49,100 540
- - American Freightways 53,904 539
Arrow Financial Corp. 17,616 539
Ocean Financial Corp. 28,200 539
Puerto Rican Cement Co., Inc. 11,400 539
Dexter Corp. 16,900 538
- - Immunomedics Inc. 121,200 538
- - Mortons Restaurant Group 22,344 538
Standard Motor Products, Inc. 24,200 538
Aquarion Co. 15,700 537
- - Genrad, Inc. 27,188 537
- - Thermotrex Corp. 31,300 536
Penford Corp. 17,691 535
- - Swift Transportation Co., Inc. 27,000 535
BSB Bancorp, Inc. 17,649 534
National Health Investors REIT 16,100 533
- - Schein Pharmaceutical, Inc. 20,000 533
- - INSO Corp. 38,900 532
LSI Industries Inc. 26,618 532
- - Summit Technology, Inc. 97,800 532
UGI Corp. Holding Co. 21,400 532
- - VWR Scientific Products Corp. 21,600 532
Stepan Co. 17,800 531
Westbanco Inc. 19,750 531
PCA International, Inc. 20,995 530
- - Uniroyal Technology Corp. 57,300 530
- - West TeleServices Corp. 43,700 530
Cadmus Communications 21,800 529
- - Cypress Semiconductor Corp. 63,600 529
Glenborough Realty Trust,
Inc. REIT 20,000 528
- - Global Motorsport Group Inc. 25,200 528
- - Insilco Corp. 11,900 528
Energen Corp. 26,200 527
- - Hot Topic, Inc. 22,200 527
- - SpaceLabs Medical, Inc. 31,439 527
Waddell & Reed Financial, Inc. 22,000 527
- - Newpark Resources, Inc. 47,300 526
Chemed Corp. 15,400 525
- - Learning Tree International, Inc. 26,100 525
- - Berg Electronics Corp. 26,800 524
- - Charming Shoppes, Inc. 110,379 524
Pennsylvania Enterprises Inc. 19,434 524
- - McWorter Technologies Inc. 19,800 523
- - Rio Hotel and Casino, Inc. 27,700 523
OmniQuip International, Inc. 28,200 522
- - Norstan, Inc. 20,800 521
- - Proxymed Pharmacy, Inc. 49,650 521
- - U.S. Satellite Broadcasting Co.,
Inc. Class A 44,600 521
- - Comdial Corp. 42,866 520
- - Forest Oil Corp. 36,300 520
- - Quaker City Bancorp, Inc. 22,618 520
- - Patterson Energy, Inc. 53,100 519
- - Sunrise Medical, Inc. 34,600 519
- - Andrea Radio Corp. 34,100 518
- - Cree Research, Inc. 34,548 518
Philadelphia Suburban Corp. 23,600 516
- - I-STAT Corp. 45,800 515
CCA Prison Realty Trust REIT 16,800 514
- - Data Broadcasting Corp. 80,600 514
Hancock Holding Co. 9,700 514
- - General DataComm
Industries, Inc. 102,600 513
- - Prime Hospitality Corp. 29,400 513
Alliance Bancorp Inc. 21,462 512
- - Cognex Corp. 27,700 512
- - Echo Bay Mines Ltd. 227,384 512
First Coastal Bankshares, Inc. 27,700 512
Comcast Corp. Class A 12,860 511
Georgia Gulf Corp. 22,368 510
- - Encore Wire Corp. 31,550 509
- - Cameron Ashley
Building Products 30,108 508
- - AgriBioTech, Inc. 18,300 507
- - Brite Voice Systems, Inc. 44,586 507
- - Kevco, Inc. 23,000 507
- - Phoenix International Ltd., Inc. 31,200 507
- - Scios, Inc. 57,100 507
- - Walker Interactive Systems, Inc. 34,400 507
- - SITEL Corp. 76,400 506
- - Sykes Enterprises, Inc. 25,200 506
The Times Mirror Co. 17,900 506
Chiquita Brands International, Inc. 35,935 505
- - Egghead.com, Inc. 59,831 505
- - M&F Worldwide Corp. 50,779 505
- - URS Corp. 29,700 505
- - InterVU Inc. 33,600 504
</TABLE>
25
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<TABLE>
<CAPTION>
- --------------------------------------------------------------
MARKET
VALUE*
TOTAL STOCK MARKET PORTFOLIO SHARES (000)
- --------------------------------------------------------------
<S> <C> <C>
Morrison Health Care Inc. 26,525 $ 504
National Presto Industries, Inc. 12,937 504
- - ParkerVision, Inc. 26,200 504
St. Francis Capital Corp. 13,000 504
- - Filene's Basement Corp. 92,305 503
- - SEACOR SMIT Inc. 8,200 503
- - Cellstar Corp. 38,800 502
- - PJ America Inc. 27,500 502
- - Steel Dynamics, Inc. 36,100 501
- - American Media Class A 75,400 500
Holly Corp. 19,400 500
Western Investment Real Estate
Trust REIT 36,500 500
X-Rite Inc. 36,500 500
- - The Topps Co., Inc. 161,297 499
- - Integrated Systems Consulting
Group Inc. 36,184 498
- - Tech-Sym Corp. 17,902 498
- - Shuffle Master, Inc. 54,417 497
- - Dionex Corp. 18,800 496
- - Security Dynamics
Technologies, Inc. 26,800 496
- - Carmike Cinemas, Inc. Class A 18,389 495
- - Closure Medical Corp. 19,900 495
- - Medicis Pharmaceutical Corp. 13,575 495
Peoples First 14,135 495
- - Rainforest Cafe, Inc. 35,675 495
AMCOL International Corp. 40,950 494
CB Bancshares Inc./Hawaii 12,600 494
- - Converse Inc. 89,800 494
- - Digene Corp. 50,700 494
- - Orthodontic Centers of
America, Inc. 23,600 494
- - Glenayre Technologies, Inc. 45,825 493
R.L.I. Corp. 12,125 493
- - VLSI Technology, Inc. 29,400 493
- - HF Bancorp, Inc. 27,800 492
FFY Financial Corp. 15,100 491
Central Vermont Public
Service Corp. 32,800 490
Litchfield Financial Corp. 23,330 490
- - MemberWorks, Inc. 15,200 490
- - Perrigo Co. 48,700 490
XTRA Corp. 8,100 490
Eastern Enterprises 11,415 489
- - Human Genome Sciences, Inc. 13,700 489
National Steel Corp. Class B 41,200 489
- - Total-Tel USA
Communications, Inc. 11,640 489
- - Weirton Steel 134,900 489
- - Concord Communications, Inc. 19,100 488
- - Earthshell Corp. 50,000 488
Exide Corp. 29,000 488
- - Mycogen Corp. 20,300 488
- - Oceaneering International, Inc. 27,490 488
- - Optical Cable Corp. 48,800 488
- - Shoney's Inc. 139,406 488
- - Syncor International Corp. 28,300 488
- - TriQuint Semiconductor, Inc. 25,700 488
- - CNA Surety Corp. 32,990 487
- - FARO Technologies, Inc. 46,100 487
Fed One Bancorp, Inc. 10,700 487
Wicor, Inc. 21,000 486
- - Sirco International Corp. 74,600 485
Town & Country Trust REIT 29,300 485
- - Clayton Williams Energy, Inc. 47,300 485
- - Davel Communications
Group, Inc. 19,843 484
Fleming Cos., Inc. 27,539 484
- - Sealright Co. 37,600 484
Wellman, Inc. 21,345 484
- - Brightpoint, Inc. 33,300 483
St. Mary Land & Exploration Co. 20,028 483
- - Sun Healthcare Group, Inc. 33,000 483
- - Aviall Inc. 35,219 482
Carter-Wallace, Inc. 26,700 482
- - United States Can Co. 32,809 482
- - Genesis Direct, Inc. 43,200 481
Commercial Intertech Corp. 26,500 480
Horizon Financial Corp. 29,998 480
Life USA Holding, Inc. 37,100 480
United Wisconsin Services, Inc. 16,900 480
- - Lattice Semiconductor Corp. 16,850 479
- - Pacificare Health Systems Inc.
Class A 5,674 479
Sizzlers Property Investors, Inc. 47,600 479
World Fuel Services Corp. 27,661 479
- - American Oncology
Resources, Inc. 39,100 478
CBT Corp. 14,700 478
Crown Crafts, Inc. 31,000 477
Quaker Chemical Corp. 25,200 477
- - Consumer Portfolio Services, Inc. 45,300 476
Gainsco, Inc. 72,546 476
- - Chico's Fas, Inc. 30,614 475
- - Clintrials Research, Inc. 97,300 474
- - Drexler Technology Corp. 33,289 474
- - Global Industrial
Technologies, Inc. 32,991 474
- - Haemonetics Corp. 29,600 474
- - Seven Seas Petroleum Inc. 23,400 474
- - Old Dominion Freight Line, Inc. 30,515 473
- - Ventana Medical Systems, Inc. 16,900 473
- - Kendle International Inc. 15,600 472
Owens & Minor, Inc. Holding Co. 47,150 472
SJW Corp. 8,000 472
- - ReSound Corp. 71,800 471
Angelica Corp. 22,400 470
- - Liposome Co., Inc. 86,861 470
- - Park-Ohio Holdings Corporations 25,400 470
Trans Financial, Inc. 8,200 470
Banta Corp. 15,200 469
CPI Corp. 19,700 469
Overseas Shipholding Group Inc. 23,000 469
- - SDL, Inc. 19,650 469
DT Industries, Inc. 19,300 468
- - Material Sciences Corp. 40,250 468
- - Service Merchandise Co., Inc. 299,650 468
Zenith National Insurance Corp. 16,600 468
- - Electromagnetic Sciences, Inc. 24,586 467
</TABLE>
26
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<TABLE>
<CAPTION>
- --------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------
<S> <C> <C>
Giant Industries, Inc. 26,900 $ 467
Katy Industries, Inc. 25,600 467
- - Marquette Medical Systems Inc. 18,204 467
- - SanDisk Corp. 33,800 467
- - Powertel Inc. 25,200 466
Applebee's International, Inc. 20,782 465
- - Cirrus Logic 41,800 465
Regal-Beloit Corp. 16,300 465
Superior Uniform Group, Inc. 28,600 465
- - Employee Solutions, Inc. 121,400 463
- - Fabri-Centers of America, Inc. 16,900 463
- - Lazare Kaplan International, Inc. 43,800 463
Redwood Trust, Inc. 26,300 462
- - Rogers Corp. 14,000 462
- - Sawtek Inc. 31,300 462
Unisource Worldwide, Inc. 42,741 462
Cavalier Homes, Inc. 35,600 461
- - Objective Systems
Integrators, Inc. 62,500 461
Southwest Bancshares, Inc. 16,474 461
Titanium Metals Corp. 20,900 461
- - Vertex Pharmaceuticals, Inc. 20,500 461
- - Vicorp Restaurants, Inc. 30,000 461
K2 Inc. 26,062 459
- - Planet Hollywood International,
Inc. Class A 65,500 459
- - NPC International Class A 37,400 458
- - System Software Associates, Inc. 64,300 458
- - Cannondale Corp. 34,200 457
- - NeXstar Pharmaceuticals Inc. 45,841 457
- - Bel Fuse, Inc. 20,500 456
- - Christiana Cos., Inc. 14,700 456
- - Right Management Consultants 33,800 456
- - CFI ProServices, Inc. 26,769 455
- - Gradall Industries, Inc. 31,100 455
Hancock Fabrics, Inc. 36,300 454
- - Highlands Insurance Group 24,554 454
Penn Virginia Corp. 17,500 453
- - Standard Microsystem 51,400 453
- - World Acceptance Corp. 79,600 453
- - Berlitz International, Inc. 16,727 452
- - DII Group, Inc. 26,514 452
- - Advanced Polymer Systems 64,500 451
Bryn Mawr Bank Corp. 8,800 451
- - Coleman Inc. 39,032 451
Inter-Tel, Inc. 28,200 451
Midas Inc. 22,420 451
- - Alpine Group, Inc. 21,700 450
- - American Classic Voyager Co. 30,500 450
- - Metrocall, Inc. 74,200 450
Talbots Inc. 17,200 450
- - GelTex Pharmaceuticals, Inc. 24,100 449
- - Zebra Technologies Class A 10,500 449
Alamo Group, Inc. 23,600 448
- - Ampal-American Israel Corp. 83,400 448
- - Bell Industries, Inc. 39,403 448
- - Chemical Fabrics Corp. 21,511 448
- - Integrated Silicon Solution, Inc. 63,900 447
- - TCSI Corp. 76,021 447
- - Jenny Craig Inc. 73,600 446
- - Symmetricom Inc. 74,300 446
- - Baldwin Technology Class A 75,800 445
- - Electroglas, Inc. 34,100 445
Arnold Industries, Inc. 30,100 444
Birmingham Steel Corp. 35,900 444
- - Diamond Multimedia
Systems, Inc. 64,900 444
- - Just for Feet, Inc. 15,576 444
- - Neurogen Corp. 25,020 444
State Financial Services Corp.
Class A 20,200 444
- - Layne Christensen Co. 35,800 443
- - Vistana, Inc. 24,100 443
Donnelly Corp. 25,725 442
- - Dravo Corp. 48,139 442
First Union Real Estate REIT 47,800 442
- - Aztar Corp. 64,700 441
Gorman-Rupp Co. 24,325 441
- - Avatar Holding, Inc. 15,800 440
- - CorporateFamily Solutions, Inc. 17,600 440
Omega Healthcare Investors,
Inc. REIT 12,500 439
Central Maine Power Co. 22,400 437
- - Physio-Control International Corp. 16,600 437
- - Sabratek Corp. 19,200 437
- - Itron, Inc. 34,200 436
- - Jackpot Enterprises, Inc. 34,700 436
- - Molecular Biosystems, Inc. 60,600 436
- - Amkor Technology, Inc. 46,600 435
CPB, Inc. 23,200 435
- - HomeUSA, Inc. 43,400 434
- - Level One Communications 18,450 434
- - Mosaix Inc. 44,195 434
- - Stac, Inc. 100,630 434
- - Circon Corp. 27,941 433
Heilig-Meyers Co. 35,157 433
- - Speedfam International, Inc. 23,500 433
- - NetManage, Inc. 143,900 432
Walbro Corp. 30,500 431
- - GST Telecommunications Inc. 29,800 430
- - Ramtron International Corp. 124,000 430
- - Recovery Engineering, Inc. 20,400 430
- - Crown Vantage, Inc. 40,824 429
- - MRV Communications Inc. 20,686 429
- - Zoltek Cos., Inc. 21,200 427
- - Forte Software, Inc. 70,800 425
- - Stratus Computer, Inc. 16,800 425
Terra Industries, Inc. 47,250 425
- - Primus Telecommunications
Group, Inc. 22,400 424
- - CapStar Hotel Co. 15,100 423
- - Pharmacopeia, Inc. 29,700 423
- - Renters Choice, Inc. 14,900 423
Thornburg Mortgage Asset Corp. 34,700 423
Allied Products Corp. 19,898 422
Bush Industries, Inc. 19,383 422
- - Gensia Sicor Inc. 105,514 422
- - Black Box Corp. 12,700 421
Boddie-Noell Properties Inc. 31,500 421
Connecticut Water Services, Inc. 12,200 421
</TABLE>
27
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<TABLE>
<CAPTION>
- --------------------------------------------------------------
MARKET
VALUE*
TOTAL STOCK MARKET PORTFOLIO SHARES (000)
- --------------------------------------------------------------
<S> <C> <C>
Berry Petroleum Class A 32,200 $ 419
Laser Mortgage
Management, Inc. 38,500 419
- - NovaCare, Inc. 35,688 419
- - Swift Energy Co. 26,300 419
- - Rainbow Technologies, Inc. 20,400 418
- - Vicor Corp. 30,119 418
Circle International Group, Inc. 14,900 417
- - U.S. Bioscience 50,987 417
Fedders Corp. 62,245 416
NewSouth Bancorp, Inc. 12,600 416
- - Amerco, Inc. 14,100 415
- - Ampex Corp. Class A 201,400 415
- - S3, Inc. 81,700 414
- - Computer Learning Centers, Inc. 16,600 413
- - ABC Rail Products Corp. 23,900 412
- - Lifecore Biomedical Inc. 25,000 412
- - Structural Dynamics
Research Corp. 17,800 412
Middlesex Water Co. 20,300 411
Tejon Ranch Co. 15,500 411
- - PICO Holdings Inc. 95,102 410
Urstadt Biddle Properties REIT 23,100 410
Chesapeake Energy Corp. 102,300 409
First Savings Bancorp, Inc. 16,700 409
Spartan Motors, Inc. 57,400 409
- - Atrix Laboratories, Inc. 30,489 408
- - Data General Corp. 27,326 408
- - Lydall, Inc. 28,000 408
- - Object Design, Inc. 68,000 408
- - Secure Computing Corp. 41,300 408
Southwestern Energy Co. 44,400 408
- - Advanced Lighting
Technologies, Inc. 17,500 407
- - Crescent Operating, Inc. REIT 23,920 407
EDO Corp. 42,800 407
- - Thermedics Detection Inc. 42,295 407
- - Exabyte Corp. 48,700 406
- - Beringer Wine Estates
Holdings, Inc. 9,200 405
- - EZCORP, Inc. 37,000 405
- - VIASOFT, Inc. 25,048 405
- - Chic By H.I.S., Inc. 51,280 404
- - FAC Realty Inc. REIT 50,500 404
- - FSI International, Inc. 41,700 404
SIG Corp. 12,600 404
W.H. Brady Class A 14,500 403
- - Ocular Sciences, Inc. 12,400 403
Sterling Bancshares, Inc. 25,600 403
Ballard Medical Products 22,266 401
Skaneateles Bancorp, Inc. 22,200 401
Hunt Corp. 16,900 400
Wackenhut Corp. 17,692 400
- - Coeur D'Alene Mines Corp. 59,100 399
McGrath RentCorp 18,900 399
- - Benchmark Microelectronics, Inc. 35,400 398
- - Performance Food Group Co. 20,050 398
- - Oxigene, Inc. 32,539 397
A. Schulman Inc. 20,293 397
- - Silicon Gaming, Inc. 40,200 397
- - Navigators Group, Inc. 20,900 396
- - Davox Corp. 18,000 394
Met-Pro Corp. 26,345 394
- - Biotechnology General 55,300 392
- - Integrated Device Technology Inc. 54,800 392
- - Lechters Corp. 79,800 392
- - ESS Technology, Inc. 83,400 391
- - Invision Technologies, Inc. 50,500 391
- - Kitty Hawk, Inc. 23,000 391
- - Styling Technology Corp. 17,000 391
- - Inktomi Corp. 9,800 390
Pioneer Standard Electronics Inc. 40,500 390
Mid-America Realty Investments 38,900 389
Virco Manufacturing Corp. 17,300 389
- - American Business Information,
Inc. Class A 25,416 388
- - C-Cube Microsystems, Inc. 20,900 388
CTG Resources Inc. 16,515 388
- - Teletech Holdings Inc. 31,700 388
- - VTEL Corp. 60,338 388
- - Hologic, Inc. 21,300 387
- - Information Management
Associates, Inc. 39,100 386
Wolohan Lumber Co. 29,578 386
Excel Industries, Inc. 26,900 385
- - I-Link, Inc. 76,600 385
- - Sizzler International 139,725 384
- - Fresh America Corp. 20,700 383
Carnegie Bancorp 11,000 382
- - Industri-Matematik
International Corp. 34,900 382
Intercargo Corp. 32,500 382
- - Metromedia Fiber Network, Inc. 8,200 382
Mid Atlantic Realty Trust REIT 30,950 381
- - Protein Design Labs 15,800 381
- - Amylin Pharmaceuticals, Inc. 100,500 380
- - FLIR Systems, Inc. 22,000 380
- - Imation Corp. 22,867 379
- - Impath, Inc. 15,600 379
- - Asyst Technologies, Inc. 29,844 377
- - Chalone Wine Group Ltd. 34,540 376
- - Eltron International Inc. 13,600 374
- - International Telecommunication
Data Systems, Inc. 12,900 374
- - Laboratory Corp. of America 161,648 374
Capstead Mortgage Corp. 44,550 373
- - Healthdyne Information
Enterprises, Inc. 107,600 373
Schnitzer Steel Industries, Inc.
Class A 15,800 373
- - Aura Systems, Inc. 191,781 372
- - Precision Response Corp. 46,500 372
Public Service Co. of
North Carolina, Inc. 17,100 372
- - Gulf Island Fabrication, Inc. 19,800 371
Peoples Bancorp, Inc. 36,984 370
- - York Research Corp. 61,100 370
- - Energy Conversion Devices, Inc. 38,075 369
- - Getchell Gold Corp. 24,616 369
HMN Financial, Inc. 23,250 369
</TABLE>
28
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<TABLE>
<CAPTION>
- --------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------
<S> <C> <C>
Western Gas Resources, Inc. 25,200 $ 369
FirstSpartan Financial Corp. 8,900 368
- - Catherines Stores 37,400 367
- - RailTex, Inc. 27,606 366
- - StaffMark, Inc. 10,000 366
First Commerce Bancshares Inc.
Class A 12,600 365
- - Level 8 Systems Inc. 40,400 364
- - Powerhouse Technologies, Inc. 37,100 364
United Mobile Homes, Inc. 33,900 364
- - Kent Electronics Corp. 19,800 363
- - HMT Technology Corp. 43,200 362
NUI Corp. 14,200 361
Rohn Industries Inc. 77,100 361
- - PRI Automation, Inc. 21,100 360
Oil-Dri Corp. of America 24,875 359
- - Project Software &
Development, Inc. 17,900 359
- - BRC Holdings Inc. 18,600 357
- - Retirement Care Associates, Inc. 49,300 357
- - Landry's Seafood
Restaurants, Inc. 19,700 356
- - Standard Commercial
Tobacco Co. 32,371 356
- - Intergraph Corp. 41,440 355
- - Maverick Tube Corp. 30,500 355
Shurgard Storage Centers, Inc.
Class A REIT 12,800 355
- - Vencor, Inc. 48,963 355
Watts Industries Class A 17,000 355
- - Signature Resorts, Inc. 21,450 354
- - Comfort Systems USA, Inc. 15,100 353
- - Satcon Technology Corp. 39,793 353
- - U.S. Office Products Co. 18,126 353
BeautiControl Cosmetics 39,600 351
G & L Realty Corp. 20,296 350
- - NS Group Inc. 34,600 350
- - TCI Satellite Entertainment, Inc.
Class A 59,655 350
- - Ultratech Stepper, Inc. 17,700 350
- - United Stationers, Inc. 5,400 350
Alico, Inc. 17,000 349
G & K Services, Inc. 8,000 349
- - Protocol Systems, Inc. 40,500 349
Intermet Corp. 19,200 348
Nash-Finch Co. 23,100 348
- - Integrated Process
Equipment Corp. 30,824 347
- - Shiva Corp. 41,400 347
- - Merisel, Inc. 120,400 346
- - Iron Mountain, Inc. 7,700 345
- - NCS HealthCare, Inc. 12,100 345
- - Sybase, Inc. 49,520 345
- - Urocor, Inc. 48,400 345
Argonaut Group, Inc. 10,881 344
- - The Cherry Corp. Class A 21,200 344
- - HomeBase, Inc. 43,400 344
Atlanta Sosnoff Capital 35,200 343
- - Mid Atlantic Medical
Services, Inc. 29,800 343
- - Capital Trust Class A 35,500 342
Herbalife International Cl B 16,600 342
- - North American Vaccine, Inc. 22,061 342
- - Omtool, Ltd. 44,800 342
- - Award Software International Inc. 31,400 341
- - BE Avionics Inc. 11,700 341
- - Inprise Corp. 46,200 341
- - Total Control Products, Inc. 38,400 341
- - Immucor Inc. 39,146 340
Aetna Inc. 6.25% Cvt. Pfd. Series C 4,509 339
- - Seattle FilmWorks, Inc. 43,900 339
- - Sequent Computer Systems, Inc. 28,100 339
- - Spiegel, Inc. Class A 47,100 339
- - Advanced Tissue Sciences Inc. 76,158 338
- - Microwave Systems Corp. 73,100 338
- - Thermo Ecotek Corp. 21,650 338
Amcast Industrial Corp. 18,096 337
- - Bell Sports Corp. 35,100 337
- - Microwave Power Devices, Inc. 49,900 337
- - Lone Star Steakhouse &
Saloon, Inc. 24,300 336
- - TCI Music, Inc. Class A 43,025 336
- - Clarify, Inc. 24,800 335
- - Garden Fresh Restaurant Corp. 18,600 335
- - Parker Drilling Co. 47,500 335
- - Vertel Corp. 93,909 335
- - AXYS Pharmaceuticals, Inc. 46,845 334
- - Transworld Healthcare Inc. 58,726 334
- - Argosy Gaming Co. 108,800 333
- - The Dress Barn, Inc. 13,400 333
- - CDI Corp. 12,400 332
Hubbell Inc. Class A 7,600 332
- - Global DirectMail Corp. 26,200 331
- - Cyberguard Corp. 34,255 330
- - Station Casinos, Inc. 22,500 330
- - Air and Water Technologies
Corp. Class A 105,400 329
- - Coram Healthcare Corp. 169,475 328
- - Franklin Electronic
Publishers, Inc. 32,800 328
- - CSK Auto Corp. 12,900 326
Dames & Moore Group 25,300 326
- - Software Spectrum, Inc. 16,100 326
Superior Industries
International, Inc. 11,550 326
Trenwick Group Inc. 8,400 326
Southern Peru Copper Corp. 25,000 325
- - Darling International, Inc. 43,900 324
- - Dal-Tile International Inc. 32,900 323
M/A/R/C, Inc. 19,600 323
- - Quintel Entertainment, Inc. 82,800 321
Stewart & Stevenson
Services, Inc. 17,818 321
- - Aetrium, Inc. 37,100 320
- - Grey Wolf, Inc. 100,500 320
- - Hearst-Argyle Television Inc. 8,000 320
- - Quickturn Design Systems, Inc. 43,800 320
- - Coherent, Inc. 18,600 319
Dimon Inc. 28,350 319
Fortress Group, Inc. 57,700 317
</TABLE>
29
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<TABLE>
<CAPTION>
- --------------------------------------------------------------
MARKET
VALUE*
TOTAL STOCK MARKET PORTFOLIO SHARES (000)
- --------------------------------------------------------------
<S> <C> <C>
- - Provident American Corp. 55,200 $ 317
- - Technical Chemicals and
Products, Inc. 37,200 316
- - Orange-Co, Inc. 53,100 315
- - WFS Financial, Inc. 44,950 315
- - Allen Telecom Inc. 27,000 314
Ampco-Pittsburgh Corp. 20,435 314
- - AnswerThink Consulting
Group, Inc. 14,600 314
- - Epitope Inc. 48,300 314
- - Globe Business Resources, Inc. 21,100 314
- - Electric Fuel Corp. 57,500 313
- - Agribrands International, Inc. 10,311 312
- - Checkpoint Systems, Inc. 22,074 312
- - Petrocorp, Inc. 40,978 312
- - LINC Capital, Inc. 17,600 311
- - International Microcomputer
Software, Inc. 19,800 309
- - Miravant Medical Technology 14,000 309
- - Scott Technologies, Inc. Class A 21,100 309
Belco Oil & Gas Corp. 35,700 308
Consolidated-Tomoka Land Co. 17,700 308
Green Mountain Power Corp. 21,500 308
Green Street Financial Corp. 20,900 308
- - Unitrode Corp. 26,822 308
- - DuPont Photomasks, Inc. 8,900 307
- - SLH Corp. 16,800 307
Pan Pacific Retail Properties,
Inc. REIT 15,000 306
- - S&K Famous Brands Inc. 17,200 305
- - Acme Metals, Inc. 60,700 304
- - Centigram Communications 27,000 304
Star Gas Partners, L.P. 13,800 304
BankAtlantic Bancorp, Inc.
Class B 23,501 303
Guarantee Life Cos., Inc. 13,800 302
- - Hadco Corp. 12,949 302
- - SteriGenics International, Inc. 11,600 302
- - KEMET Corp. 22,900 301
- - Sciclone Pharmaceuticals 80,100 300
- - Unit Corp. 49,500 300
- - WHX Corp. 23,300 300
- - Titan Exploration, Inc. 33,522 298
- - Cygnus Inc. 28,412 297
- - Medaphis Corp. 49,416 297
- - New Mexico & Arizona Land Co. 21,968 297
- - Maxicare Health Plans Inc. 43,800 296
- - Remedy Corp. 17,400 296
- - Silicon Valley Group, Inc. 18,400 296
- - SuperGen, Inc. 29,400 296
- - K-V Pharmaceutical Co. Class A 13,050 295
TF Financial Corp. 11,500 295
- - Fresh Del Monte Produce Inc. 15,600 295
- - Edison Brothers Stores, Inc. 57,371 294
- - Rochester Medical Corp. 20,250 294
- - Triarc Cos., Inc. Class A 13,400 294
- - Merix Corp. 29,500 293
- - Aerial Communications Inc. 46,700 292
- - Cole National Corp. Class A 7,300 292
- - Daily Journal Corp. 7,800 292
HF Financial Corp. 12,750 292
Bridge View Bancorp 11,600 291
- - National Dentex Corp. 12,400 291
- - Neoprobe Corp. 105,700 291
- - CML Group, Inc. 149,700 290
- - Cidco, Inc. 62,800 290
- - Hopfed Bancorp, Inc. 15,000 290
- - Lone Star Technologies, Inc. 19,000 290
- - Viacom Inc. Class A 4,953 290
- - LTX Corp. 58,888 289
Indiana Energy, Inc. 9,600 287
Century Bancorp, Inc. Class A 13,700 286
Mueller (Paul) Co. 7,400 286
- - Xoma Corp. 59,156 285
- - Micrion Corp. 28,000 284
- - Big Dog Holdings, Inc. 55,200 283
- - Premiere Technologies, Inc. 34,100 283
- - Interdigital
Communications Corp. 52,500 282
- - Nord Resources Corp. 144,900 281
Vesta Insurance Group, Inc. 13,200 281
- - Drug Emporium, Inc. 72,042 279
Grove Property Trust REIT 26,700 279
- - Larscom, Inc. Class A 39,500 279
- - Primadonna Resorts, Inc. 19,462 279
- - Zoll Medical Corp. 36,000 279
Anthracite Capital Inc. 20,000 278
- - Meridian Gold Co. 130,800 278
Rollins, Inc. 13,550 278
H.B. Fuller Co. 5,000 277
- - Ionics, Inc. 7,500 277
ABM Industries 9,900 276
- - Matria Healthcare, Inc. 78,700 275
- - Amtech Corp. 57,775 274
- - Applied Digital Access, Inc. 54,600 273
- - Vail Resorts Inc. 10,200 272
- - Mansur Industries, Inc. 18,100 271
Rollins Truck Leasing 21,900 271
- - Todd Shipyards Corp. 48,747 271
- - HEICO Corp. Class A 10,554 270
- - Kensey Nash Corp. 28,400 270
- - Oak Technology, Inc. 59,100 270
PXRE Corp. 8,988 270
Salient 3 Communications
Class A 29,600 270
- - SpecTran Corp. 33,500 270
- - FTP Software, Inc. 159,500 269
- - BroadBand Technologies, Inc. 63,900 264
Zero Corp. 9,300 264
- - Fisher Scientific International Inc. 18,000 260
- - The Sports Authority, Inc. 17,400 260
- - California Federal Bank Goodwill
Participation Certificates 13,040 258
- - International Rectifier Corp. 30,300 258
- - Micrel, Inc. 7,900 257
Summit Bancshares, Inc. 12,100 257
- - Celtrix Pharmaceuticals 123,500 255
- - Nu Horizons Electronics Corp. 42,500 255
- - TBC Corp. 38,450 255
- - Read Rite Corp. 28,031 254
</TABLE>
30
<PAGE> 150
<TABLE>
<CAPTION>
- --------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------
<S> <C> <C>
Innkeepers USA Trust REIT 20,000 $ 253
- - Advanced Magnetics, Inc. 22,300 252
- - Caribiner International, Inc. 14,400 252
- - MEMC Electronic Materials, Inc. 24,300 252
- - Spectranetics Corp. 80,700 250
- - Trans World Entertainment Corp. 5,800 250
- - Fritz Cos., Inc. 18,600 249
- - Continucare Corp. 50,300 248
- - Telular Corp. 128,200 248
- - Hauser, Inc. 42,500 247
- - Sonic Automotive, Inc. 15,000 247
TR Financial Corp. 5,900 247
- - Credence Systems Corp. 12,900 245
- - Thermo TerraTech, Inc. 54,400 245
First Source Bancorp, Inc. 25,045 243
- - Identix, Inc. 37,900 242
Stephan Co. 17,650 242
- - Alyn Corp. 40,100 241
- - Novavax, Inc. 60,190 241
- - Scientific Games Holdings Corp. 10,500 241
- - DecisionOne Holdings Corp. 12,014 240
- - World Access, Inc. 8,000 240
Eastern Utilities Associates 9,071 238
- - Physicians' Specialty Corp. 27,500 237
- - Activision, Inc. 22,900 236
- - Craig Corp. Pfd. 21,077 236
- - O'Sullivan Industries
Holdings, Inc. 16,800 235
- - PHP Healthcare Corp. 31,900 235
- - IEC Electronics Corp. 33,718 234
- - Craig Corp. 21,077 233
Torch Energy Royalty Trust 34,700 232
- - Unigene 117,700 232
- - Consolidated Graphies, Inc. 3,900 230
- - Universal Electronics, Inc. 18,400 230
- - Digital Microwave Corp. 31,254 227
- - Capstar Broadcasting Corp. 9,000 226
- - Gymboree Corp. 14,940 226
- - Kulicke & Soffa Industries, Inc. 13,300 226
Roadway Express Inc. 11,958 226
AirTouch Communications, Inc.
4.25% Cvt. Pfd. 2,724 225
- - Semtech Corp. 12,700 225
Alfa Corp. 10,800 224
HFNC Financial Corp. 19,900 224
- - Signal Technology Corp. 41,653 224
- - Sunburst Hospitality Corp 32,313 224
- - Bangor Hydro-Electric Co. 24,800 223
- - Eco Soil Systems, Inc. 21,200 223
International Shipholding Corp. 13,900 223
- - Response USA, Inc. 33,400 223
Alpharma, Inc. Class A 10,100 222
Apple South, Inc. 16,974 222
- - Axiohm Transaction
Solutions, Inc. 21,689 222
- - The TesseracT Group, Inc. 44,400 222
- - Golden State Bancorp, Inc.
Litigation Warrants
Exp. 1/1/2001 41,443 220
- - Presstek, Inc 19,700 220
- - Toymax International, Inc. 32,000 220
- - Impco Technologies Inc. 13,500 219
- - L-3 Communications
Holdings, Inc. 6,700 219
- - P-Com, Inc. 23,900 219
- - Starter Corp. 78,000 219
Petroleum Heat & Power Co. 108,900 218
- - Carrington Labs Inc. 45,128 217
- - Thermo VolTek 30,950 217
General Chemical Group, Inc. 7,800 216
- - Stratus Properties, Inc. 50,900 216
- - Vitalink Pharmacy Services, Inc. 9,741 215
Clarcor Inc. 10,200 214
- - Kinross Gold Corp. 65,788 214
- - Alydaar Software Corp. 16,800 213
- - Health Systems Design Corp. 29,800 213
Mississippi Chemical Corp. 12,941 213
United Cos. Finance Corp. 13,617 213
- - Diacrin, Inc. 33,900 212
- - Octel Corp. 10,594 211
- - Nastech Pharmaceutical Co., Inc. 25,900 210
- - Advantage Learning Systems, Inc. 7,600 208
Breed Technological Inc. 13,600 208
- - Global Payment Tech Inc. 20,800 208
Rouge Industries Inc. 16,300 208
- - Able Telcom Holding Corp. 11,500 207
- - Numerex Corp. 45,900 207
AirTouch Communications, Inc.
6.00% Cvt. Pfd. 4,242 205
Astro-Med, Inc. 26,800 204
- - General Cigar Holdings, Inc. 20,700 204
Otter Tail Power Co. 5,502 204
- - Alliance Semiconductor Corp. 57,200 202
- - Fluor Daniel/GTI, Inc. 33,561 201
AMBANC Corp. 7,300 198
- - Thermedics, Inc. 15,950 197
- - Cornerstone Imaging, Inc. 26,800 196
- - Emerging Communications 22,800 195
- - Graham-Field Health
Products Inc. 34,684 195
- - TRO Learning, Inc. 22,400 195
Cascade Bancorp 6,100 194
- - AmeriPath, Inc. 16,300 193
- - Lawrence Savings Bank 12,400 193
- - Pete's Brewing Co. 31,700 193
Cubic Corp. 8,000 191
Grief Brothers Corp. Class A 5,100 191
TransPro Inc. 25,725 191
- - Aurora Foods Inc. 9,000 190
- - Calypte Biomedical Corp. 47,200 190
- - Morgan Products Ltd. 41,600 190
Charles E. Smith Residential
Realty, Inc. REIT 5,900 189
- - Rightchoice Managed Care, Inc. 14,800 188
- - American Disposal Services, Inc. 4,000 187
- - Intelligent Medical Imaging, Inc. 53,500 187
- - Hollywood Casino Corp. 98,500 185
- - Apria Healthcare 27,400 183
- - Einstein/Noah Bagel Corp. 39,500 183
- - MetaCreations Corp. 39,325 182
</TABLE>
31
<PAGE> 151
<TABLE>
<CAPTION>
- --------------------------------------------------------------
MARKET
VALUE*
TOTAL STOCK MARKET PORTFOLIO SHARES (000)
- --------------------------------------------------------------
<S> <C> <C>
Presidential Life Corp. 8,500 $ 182
- - V-One Corp. 50,300 182
- - Integrated Electrical Services,Inc. 9,000 181
- - Alliance Pharmaceutical Corp. 43,102 180
ISCO, Inc. 22,485 180
Lawter International Inc. 16,534 180
- - Telegroup, Inc. 19,500 180
- - Trak Auto Corp. 17,500 179
- - Webco Industries, Inc. 18,800 179
Flagstar Bancorp, Inc. 7,300 178
Thermo Remediation, Inc. 38,400 178
- - IDEC Pharmaceuticals Corp. 7,500 177
- - Todhunter International, Inc. 19,300 177
Corporate Office Properties
Trust, Inc. 19,600 174
Phoenix Investment Partners Ltd. 20,000 174
- - Vivus, Inc. 28,900 174
- - Geneva Steel Class A 69,200 173
- - DataWorks Corp. 13,000 172
- - Emulex Corp. 28,950 172
Spartech Corp. 8,000 172
- - Broderbund Software, Inc. 7,488 171
- - Komag, Inc. 32,000 171
Maine Public Service Co. 12,000 171
- - U.S. Energy Corp. 32,460 171
- - Systems & Computer
Technology Corp. 6,300 170
- - Lumisys, Inc. 45,000 169
- - Trump Hotels & Casino
Resorts, Inc. 23,800 168
Kimco Realty Corp. Pfd. Class D 6,156 167
Ottawa Financial Corp. 5,800 167
- - The Petersen Cos., Inc. 6,500 167
- - SMC Corp. 21,200 167
Apex Mortgage Capital, Inc. REIT 15,800 166
- - SEEC, Inc. 15,200 165
- - Docucorp International 25,059 164
Freeport-McMoRan Copper &
Gold, Inc. Class A 11,512 164
New Jersey Resources Corp. 4,600 164
- - Today's Man Inc. 67,025 163
Synalloy Corp. 12,000 162
- - Tele-Communications TCI
Ventures Group Series B 8,114 161
First Home Bancorp Inc. 5,200 160
- - Associated Group, Inc. Class B 4,000 159
- - Geoworks 45,200 158
- - Cohr, Inc. 30,500 156
Luby's Cafeterias, Inc. 8,859 156
- - Samsonite Corp. 14,378 155
- - Boyd Gaming Corp. 26,700 154
- - Applix, Inc. 40,021 153
Conectiv, Inc. Class A 4,200 152
- - Interleaf, Inc. 76,600 151
- - Keystone Consolidated
Industries, Inc. 12,690 151
- - Quality Systems, Inc. 16,300 151
- - UroQuest Medical Corp. 57,700 151
BMC Industries, Inc. 17,163 150
- - Barnett, Inc. 7,400 150
- - Black Hawk Gaming &
Development Co., Inc. 13,300 150
Kilroy Realty Corp. REIT 6,000 150
- - Cable Michigan, Inc. 3,825 149
- - The Penn Traffic Co. 44,700 148
- - Danielson Holdings Corp. 20,000 147
- - Checkers Drive-In Restaurant 119,550 146
Glimcher Realty Trust REIT 7,500 146
- - PRT Group Inc. 13,800 146
Canadian National Railway Co. 2,724 145
Herbalife International Class A 5,900 145
- - Versant Object Technology Corp. 36,300 145
- - ImmuLogic Pharmaceutical Corp. 88,500 144
- - PlayCore, Inc. 31,911 144
- - Coast Federal Litigation
Contingent Payment RightsTrust 9,400 142
- - Life Financial Corp. 7,800 142
- - Fresh Choice, Inc. 44,800 140
Northwest Natural Gas Co. 5,000 140
- - Auspex Systems, Inc. 25,500 139
National Computer Systems, Inc. 5,800 139
- - American Banknote Corp. 45,000 138
- - ICOS Corp. 7,200 138
- - Uranium Resources, Inc. 64,132 138
- - APAC Teleservices, Inc. 23,511 137
- - Colorado Casino Resorts, Inc. 95,500 137
Wackenhut Corp. Class B 6,350 137
- - Multigraphics Inc. 17,600 136
- - Comshare 17,300 135
- - PictureTel Corp. 14,600 135
- - WMS Industries, Inc. 32,200 135
Imperial Holly Corp. 14,805 134
- - Vestcom International, Inc. 14,500 134
Arrow International, Inc. 4,800 132
- - Barra, Inc. 5,400 132
- - School Specialty, Inc. 8,056 132
Marion Capital Holdings 4,600 131
CV REIT, Inc. 10,000 130
- - Mossimo, Inc. 32,200 129
SJNB Financial Corp. 3,300 128
- - TSR, Inc. 11,300 127
- - Medplus, Inc. 20,900 125
Asset Investors Corp. 7,800 124
- - Applied Microsystems Corp. 28,000 123
- - Central Sprinkler Corp. 15,318 123
- - Hartmarx Corp. 16,300 123
- - California Amplifier, Inc. 64,860 122
- - TransMontaigne Oil Co. 8,000 119
- - JumboSports Inc. 104,750 118
- - Casino Magic Corp. 57,800 117
- - Cal Dive International, Inc. 4,200 116
- - Metra Biosystems, Inc. 57,800 116
- - Atlantic Tele-Network, Inc. 9,120 113
- - TST Impreso, Inc. 32,800 113
Technitrol, Inc. 2,800 112
- - Aztec Technology Partners, Inc. 14,501 111
- - Dataware Technologies, Inc. 35,500 111
- - Designs, Inc. 70,900 111
- - Mesaba Holdings, Inc. 4,800 110
- - FaxSav Inc. 30,200 109
</TABLE>
32
<PAGE> 152
<TABLE>
<CAPTION>
- --------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------
<S> <C> <C>
- - Heartport Inc. 16,500 $ 108
Patriot Bank Corp. 6,475 107
- - Pluma, Inc. 16,000 107
- - Base Ten Systems Class A 39,300 106
- - Excel Legacy Corp. 24,200 106
- - USDATA Corp., Inc. 21,803 106
Trinet Corporate Realty Trust,
Inc. REIT 3,100 105
- - Medar, Inc. 49,058 104
- - Central Reserve Life Corp. 14,900 102
City Holding Co. 2,200 102
- - Palm Harbor Homes, Inc. 2,400 102
- - Vincam Group, Inc. 5,200 102
- - Applied Magnetics Corp. 13,200 101
- - Redhook Ale Brewery, Inc. 17,000 101
- - Rocky Mountain Chocolate
Factory, Inc. 15,400 101
- - Hovnanian Enterprises Class B 9,650 100
- - Safeguard Health Enterprises, Inc. 16,035 100
- - Go Video, Inc. 37,500 98
- - Heartland Technology, Inc 7,700 98
Fedders Corp. Class A 15,226 97
Methode Electronics, Inc. Class A 6,251 97
- - Home Health Corp. of America 41,600 96
KCS Energy, Inc. 8,400 96
- - LeukoSite, Inc. 12,600 95
- - AER Energy Resources, Inc. 83,400 94
- - HumaScan, Inc. 36,500 94
Oregon Trail Financial Corp. 6,000 94
- - MTR Gaming Group Inc. 36,700 92
- - Monterey Homes Corp. 5,000 91
- - Artesyn Technologies, Inc. 5,600 90
Gables Residential Trust REIT 3,300 90
- - ITC DeltaCom, Inc. 2,100 90
Ambanc Holding Co., Inc. 5,000 89
- - OIS Optical Imaging Systems, Inc. 95,300 89
- - Wellsford Real Properties
Inc. REIT 6,300 89
- - Colonial Downs Holdings, Inc. 34,500 88
Interpool, Inc. 6,000 87
- - Philip Services Corp. 20,987 87
Blimpie International, Inc. 27,400 84
- - Fourth Shift Corp. 30,000 83
- - Positron Fiber Systems Corp.
Class A 12,200 82
- - Racotek, Inc. 29,800 82
- - Intelidata Technologies Corp. 83,400 81
- - Coastal Physician Group, Inc. 98,500 80
- - Badger Paper Mills, Inc. 9,300 79
- - Mego Mortgage Corp. 42,400 79
Ziegler Cos., Inc. 3,800 79
- - Workflow Management, Inc. 9,667 78
- - Artisoft, Inc. 28,104 77
- - Centura Software Corp. 47,388 77
Food Lion Inc. Class B 7,694 77
- - Lexington Global Asset
Managers, Inc. 11,000 77
- - MicroProse, Inc. 17,340 77
- - All American Semiconductor, Inc. 37,200 76
Tech/Ops Sevcon, Inc. 5,000 76
Cabot Industrial Trust 3,500 75
- - Broadcom Corp. 1,000 74
- - 3Dfx Interactive, Inc. 4,300 74
- - Trailer Bridge, Inc. 18,400 74
- - Loronix Information Systems 27,100 73
- - Microdyne Corp. 16,300 73
Peoples Holding Co. 2,000 73
- - Commander Aircraft Co. 28,600 72
- - Astea International, Inc. 35,700 71
- - Gold Reserve Corp. 36,900 71
- - Interneuron Pharmaceutical, Inc. 19,000 69
- - Microfield Graphics, Inc. 13,700 69
- - ONCOR Inc. 92,131 69
Getty Realty Holding Corp. 3,500 68
- - OAO Technology 13,619 68
- - IA Corp. 20,100 67
Pulaski Bank 1,800 67
- - Stoneridge,Inc. 3,600 66
- - Freeport-McMoRan Sulphur, Inc. 4,930 65
Steelcase Inc. 2,500 65
- - Sterile Recoveries, Inc. 3,800 65
- - Superior Consultant
Holdings Corp. 1,500 65
- - ObjectShare, Inc. 22,600 64
- - COMFORCE Corp. 6,573 63
- - Imagyn Medical
Technologies, Inc. 126,471 63
- - Pediatrix Medical Group, Inc. 1,700 63
- - Star Buffet, Inc. 7,600 63
- - Boston Chicken, Inc. 38,900 62
- - Kenneth Cole Productions, Inc. 2,400 62
- - Consilium, Inc. 24,300 62
- - MindSpring Enterprises, Inc. 600 62
- - Navigant International, Inc. 7,250 62
- - Brothers Gourmet Coffees, Inc. 60,765 61
J.M. Smucker Co. Class B 2,500 61
- - Biofield Corp. 16,600 60
Carey Diversified LLC 3,000 59
Cato Corp. Class A 3,400 59
Industrial Scientific Corp. 2,400 59
- - Lanvision Systems, Inc. 13,400 59
- - Apogee, Inc. 25,900 58
- - Unilab Corp. 24,400 58
- - Hills Stores Co. 9,900 57
- - LCA-Vision, Inc. 19,495 57
Toastmaster, Inc. 10,300 57
Covest Bankshares, Inc. 3,100 56
- - Gargoyles, Inc. 49,000 55
Oneida Ltd. 1,800 55
- - Midwest Express Holdings, Inc. 1,500 54
- - 99 Cents Only Stores 1,300 54
- - Stillwater Mining Co. 2,000 54
- - AMBI, Inc. 37,900 53
- - IGI, Inc. 17,090 53
- - National Auto Credit Inc. 51,632 53
- - Capital Pacific Holdings, Inc. 10,900 52
SL Green Realty Corp. REIT 2,300 52
CFW Communications Co. 2,200 51
FBL Financial Group, Inc. Class A 2,000 51
- - Synagro Technologies Inc. 8,046 51
</TABLE>
33
<PAGE> 153
<TABLE>
<CAPTION>
- --------------------------------------------------------------
MARKET
VALUE*
TOTAL STOCK MARKET PORTFOLIO SHARES (000)
- --------------------------------------------------------------
<S> <C> <C>
First Financial Corp.-Indiana 1,000 $ 50
Park National Corp. 500 50
- - DepoTech Corp. 31,600 49
- - Electronic Retailing Systems
International, Inc. 17,200 49
- - Spacetec IMC Corp. 17,900 49
- - Submicron Systems Corp. 48,900 49
- - Group Maintenance
America Corp. 2,600 47
- - Buckeye Technology, Inc. 1,900 45
Equity Inns, Inc. REIT 3,300 44
Chester Valley Bancorp 1,366 43
- - GateField Corp. 40,612 43
Wainwright Bank & Trust Co. 4,600 43
Continental Mortgage &
Equity Trust 2,650 42
- - OpenROUTE Networks, Inc. 36,100 42
Reader's Digest Assn., Inc.
Class B 1,500 41
- - Central Financial
Acceptance Corp. 4,500 40
- - NRG Generating U.S. Inc. 2,838 40
- - SonoSight, Inc. 5,479 40
- - Agritope, Inc. 9,660 39
Broughton Foods Co. 2,500 38
- - Catalina Lighting, Inc. 10,000 38
- - Cellular Technical Services Co. 80,454 38
Great Southern Bancorp. Inc. 1,500 38
Howell Corp. 3,500 38
- - Raster Graphics, Inc. 43,400 38
- - Caldor Corp. 81,300 37
- - CDnow, Inc. 1,800 36
- - Delphi Information Systems, Inc. 7,180 36
Tower Realty Trust, Inc. REIT 1,600 36
- - Wellcare Management
Group, Inc. 16,100 36
- - Spaghetti Warehouse, Inc. 4,400 35
- - Carolina Southern Bank 1,500 34
- - APS Holding Corp. 50,600 33
- - 800-JR CIGAR, Inc. 1,600 32
Dover Downs Entertainment, Inc. 1,000 31
- - Omega Worldwide, Inc. 4,143 31
- - OraVax, Inc. 26,900 31
- - Correctional Properties Trust REIT 1,500 30
- - Crescendo
Pharmaceuticals Corp. 2,379 30
Movado Group, Inc. 1,000 30
- - QAD Inc. 3,300 30
- - Radius Inc. 12,200 30
- - SeaMED Corp. 1,700 30
Analysts International Corp. 1,000 28
- - Fastcomm Communications Corp. 50,400 28
- - Il Fornaio (America) Corp. 2,500 28
- - Innovative Gaming Corp. 10,050 28
- - Pericom Semiconductor Corp. 4,000 28
RPC Inc. 2,200 28
- - Royal Precision Inc. 5,800 28
- - Specialty Chemical
Resources, Inc. 29,400 28
- - Avatex Corp. 13,062 27
- - Aqua Care Systems, Inc. 10,000 26
- - FPA Medical Management, Inc. 22,600 26
InterWest Bancorp Inc. 600 26
- - NewStar Media, Inc. 19,000 26
- - Ascent Pediatrics, Inc. 16,700 25
- - International Lottery & Totalizator
Systems, Inc. 18,300 25
- - BPI Packaging Technologies Inc. 28,900 24
- - National Western Life Insurance
Co. Class A 200 24
- - CAM Designs, Inc. 11,600 23
- - Cellnet Data Systems 2,400 23
- - Crown Books Corp. 25,937 23
- - Edison Brothers Stores
Warrants Exp. 9/26/2005 5,788 23
Merit Holding Corp. 1,000 23
- - Prime Energy Corp. 3,000 23
York Financial Corp. 1,100 23
- - Allergan Specialty
Therapeutics, Inc. 2,131 22
- - Cardima, Inc. 7,500 22
- - Data Race, Inc. 37,022 22
Pittsburgh & West Virginia
Railroad 3,000 22
- - PowerCerv Corp. 4,600 21
Sauer Inc. 1,500 21
Bandag, Inc. Class A 538 19
- - Creative Biomolecules, Inc. 4,000 19
- - IMC Global
Warrants Exp. 12/22/2000 7,778 19
- - Jayhawk Acceptance Corp. 30,100 19
PS Business Parks, Inc. REIT 800 19
- - Ross Technology, Inc. 118,600 19
- - Solv-Ex Corp. 32,466 19
- - Euroweb International Corp. 12,000 18
- - Medical Alliance, Inc. 5,000 18
- - Gradco Systems, Inc. 2,550 17
- - Horizon Group Properties, Inc. 2,510 17
- - C. Brewer Homes, Inc. Class A 10,000 16
- - Enzo Biochem, Inc. 1,200 16
- - Geotek Industries, Inc. 99,700 16
- - Marvel Entertainment Group 53,774 16
Riviana Foods Inc. 700 16
- - Cryomedical Sciences 118,700 15
- - Oneita Industries 39,530 14
- - Scott Technologies, Inc. Class B 900 14
- - Zenith Electronics Corp. 45,382 14
- - Cytrx Corp. 5,900 13
- - Dynatech Corp. 3,800 12
- - Film Roman, Inc. 8,300 12
- - LecTec Corp. 3,500 12
- - @Entertainment, Inc. 1,000 11
- - BJ Services Co.
Warrants Exp. 4/13/2000 353 11
- - World Corp. 36,600 11
- - Mercury Finance Co. 75,977 10
Mitchell Energy & Development
Corp. Class B 500 10
- - Noxso Corp. 36,200 10
- - OneWorld Systems, Inc. 15,900 10
</TABLE>
34
<PAGE> 154
<TABLE>
<CAPTION>
- --------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------
<S> <C> <C>
- - Reliance Acceptance Group Inc. 62,100 $ 10
Universal Health Realty Income 500 10
- - Cygne Designs, Inc. 59,800 9
- - Empire of Carolina, Inc. 8,900 9
- - Magellan Petroleum Corp. 4,000 9
- - Molten Metal Technology 78,600 9
- - Nu-Kote Holding, Inc. Class A 23,300 9
- - Aid Auto Stores, Inc. 3,100 8
- - Mobius Management
Systems, Inc. 500 8
- - National Medical Financial
Services Corp. 9,180 8
- - Reckson Service Industries, Inc. 2,336 8
Terra Nitrogen Cp. L.P. 300 8
- - Today's Man
Warrants Exp. 12/31/1999 19,150 8
- - Alteon, Inc. 2,000 7
- - CAI Wireless Systems, Inc. 54,300 7
- - ILX Resorts Inc. 1,200 7
- - Silicon Valley Research, Inc. 12,100 7
- - JMC Group Inc. 5,200 6
- - Tele-Communications, Inc.
Class B 143 6
- - USTMAN Technologies Inc. 3,100 6
- - Data Systems Network Corp. 7,400 5
- - Harry's Farmers Market, Inc. 3,000 5
- - JTS Corp. 79,144 5
- - Pinnacle Micro Inc. 22,600 5
- - Creative Technology 12,733 4
- - Foreland Corp. 900 4
- - Great Bay Casino Corp. 7,083 4
- - Medical Device Technologies, Inc. 3,000 4
NSC Corp. 2,381 4
- - Stratosphere Corp. 75,400 4
- - Chantal Pharmaceutical Corp. 48,300 3
- - Fresenius National Medical
Care Pfd. 40,354 3
- - MobileMedia Corp. 25,900 3
- - Software Publishing Corp.
Holdings, Inc. 2,117 3
- - Wireless One, Inc. 2,700 3
- - Alanco Environmental
Resources Corp. 1,728 2
- - CareAdvantage Inc. 7,166 2
- - Cityscape Financial Corp. 52,400 2
- - Legal Research Center, Inc. 6,100 2
- - Lynx Therapeutics Inc. 226 2
- - Horizontal Ventures, Inc. 163 2
- - Security Capital Group Inc.
Warrants Exp. 9/18/1998 6,953 2
- - TCI Satellite Entertainment, Inc.
Class B 420 2
- - AES Corp.
Warrants Exp. 7/31/2000 9 1
- - Alliance Entertainment 82,400 1
- - Fusion Systems Corp.-Contigent
Value Rights Exp. 3/31/1999 10,500 1
- - Mid-American Waste
Systems, Inc. 60,300 1
- - Millenia, Inc. 2,675 1
- - Neostar Retail Group 33,300 1
- - Newcare Health Corp. 252 1
- - News Communications, Inc. 500 1
- - Paradigm Technology, Inc. 1,880 1
- - Ultrafem, Inc. 39,467 1
- - Venture Stores, Inc. 70,663 1
- -----------------------------------------------------------------
TOTAL COMMON STOCKS
(COST $5,972,972) 8,820,853
- -----------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT
(000)
- -----------------------------------------------------------------
TEMPORARY CASH INVESTMENTS (6.0%)
- -----------------------------------------------------------------
<S> <C> <C>
U.S. Treasury Bills
(2) 4.744%, 7/9/1998 $ 7,500 7,492
(2) 4.97%, 7/23/1998 8,500 8,475
REPURCHASE AGREEMENTS
Collateralized by U.S. Government
Obligations in a Pooled
Cash Account
5.67%, 7/1/1998 372,051 372,051
5.76%, 7/1/1998--Note F 159,951 159,951
- -----------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(COST $547,968) 547,969
- -----------------------------------------------------------------
TOTAL INVESTMENTS (101.8%)
(COST $6,520,940) 9,368,822
- -----------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-1.8%)
- -----------------------------------------------------------------
Other Assets--Note B 54,211
Liabilities--Note F (218,154)
----------
(163,943)
- -----------------------------------------------------------------
NET ASSETS (100%) $9,204,879
=================================================================
</TABLE>
* See Note A in Notes to Financial Statements.
- - Non-Income-Producing Security.
(1)The combined market value of common stocks and index futures contracts
represents 100.0% of net assets. See Note E in Notes to Financial Statements.
(2)Securities with an aggregate value of $15,967,000 have been segregated as
initial margin for open futures contracts.
ADR--American Depositary Receipt.
REIT--Real Estate Investment Trust.
35
<PAGE> 155
<TABLE>
<CAPTION>
- -----------------------------------------------------------
AMOUNT
TOTAL STOCK MARKET PORTFOLIO (000)
- -----------------------------------------------------------
AT JUNE 30, 1998, NET ASSETS CONSISTED OF:
- -----------------------------------------------------------
<S> <C>
Paid in Capital $6,281,685
Undistributed Net Investment Income 15,757
Accumulated Net Realized Gains 49,806
Unrealized Appreciation--Note E
Investment Securities 2,847,882
Futures Contracts 9,749
- -----------------------------------------------------------
NET ASSETS $9,204,879
===========================================================
Investor Shares--Net Assets
Applicable to 277,378,729 outstanding
shares of beneficial interest
(unlimited authorization) $7,197,786
- -----------------------------------------------------------
NET ASSET VALUE PER SHARE--
INVESTOR SHARES $25.95
===========================================================
Institutional Shares--Net Assets
Applicable to 77,342,865 outstanding
shares of beneficial interest
(unlimited authorization) $2,007,093
- -----------------------------------------------------------
NET ASSET VALUE PER SHARE--
INSTITUTIONAL SHARES $25.95
===========================================================
</TABLE>
36
