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VANGUARD INDEX TRUST
[PHOTO]
Annual Report - December 31, 1997
[THE VANGUARD GROUP LOGO]
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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 6,000 highly
motivated men and women--who form the cornerstone of our operations. As with
any cornerstone, we could not survive long--let alone prosper--without it.
That's why we chose this fiscal year's annual report 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
CHAIRMAN PRESIDENT
<TABLE>
<CAPTION>
CONTENTS
<S> <C>
A MESSAGE TO OUR SHAREHOLDERS . . . . . . . . . . . . . 1
THE MARKETS IN PERSPECTIVE . . . . . . . . . . . . . . 6
PORTFOLIO PROFILES . . . . . . . . . . . . . . . . . . 8
PERFORMANCE SUMMARIES . . . . . . . . . . . . . . . . . 15
FINANCIAL STATEMENTS . . . . . . . . . . . . . . . . . 24
REPORT OF INDEPENDENT ACCOUNTANTS . . . . . . . . . . 43
</TABLE>
All comparative mutual fund data are from Lipper Analytical Services, Inc., or
Morningstar unless otherwise noted.
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FELLOW SHAREHOLDER,
The U.S. stock market turned in another astonishing performance in 1997 and the
six Portfolios of Vanguard Index Trust followed right along, producing returns
that rangedfrom +36.3% to +24.6%, providing extraordinarily close matches with
their targetindexes and handily outpacing comparable mutual funds. Absolutely
and relatively, it really doesn't get much better than this!
During the twelve months ended December 31, our flagship 500 Portfolio
earned a total return of +33.2%, just shy of the Standard & Poor's 500
Composite Stock Price Index but ahead of 90% of all actively managed equity
mutual funds. This fine performance was due to the continued dominance within
the market of large-capitalization stocks, which capped a three-year run during
which market averages more than doubled.
The table at right shows the total returns (capital change plus
reinvested dividends) achieved by our six Portfolios during 1997 compared with
the returns of their respective unmanaged benchmarks. Per-share figures for
each Portfolio, including net asset values, income dividends, and capital gains
distributions, are presented in the table that follows this letter.
<TABLE>
<CAPTION>
- -------------------------------------------------------------
TOTAL RETURNS
YEAR ENDED
DECEMBER 31, 1997
-------------------------
VANGUARD COMPARATIVE
PORTFOLIO INDEX*
- -------------------------------------------------------------
<S> <C> <C>
500 Portfolio +33.2% +33.4%
Growth Portfolio +36.3 +36.5
Value Portfolio +29.8 +30.0
Extended Market Portfolio +26.7 +25.7
SmallCap Stock Portfolio +24.6 +22.4
Total Stock Market Portfolio +31.0 +31.3
- -------------------------------------------------------------
</TABLE>
*The comparative indexes are: for the 500 Portfolio, the S&P 500 Index; for the
Growth and Value Portfolios, the S&P/BARRA Growth and Value Indexes;for the
Extended Market Portfolio, the Wilshire 4500 Equity Index; for the SmallCap
Stock Portfolio, the Russell 2000 Index; for the Total Stock Market Portfolio,
the Wilshire 5000 Equity Index.
On July 7, 1997, we introduced Institutional Shares for our Extended
Market, SmallCap Stock, and Total Stock Market Portfolios, which are available
for minimum investments of $10 million. From their inceptions through the end
of the year, the Institutional Shares of Extended Market Portfolio returned
+11.8%; those of the SmallCap Stock Portfolio, +11.4%; and those of the Total
Stock Market Portfolio, +8.6%. Their respective indexes returned +12.0%,
+11.1%, and +8.8%.
THE FINANCIAL MARKETS IN BRIEF
The historic bull market in U.S. stocks that began in August 1982 continued in
impressive fashion during 1997. The economy, corporate earnings, and employment
grew solidly, and consumer confidence strengthened. Yet interest rates declined
and inflation decelerated. In short, the domestic economic news could not have
been better. The sole dark cloud--severe turmoil in Asian economies and
currencies--only briefly darkened Wall Street's mood. After a sharp decline in
October--the S&P 500 Index tumbled -7% on October 27 alone--stocks resumed
their climb and the Index produced a +33.4% return for the year.
Long-term interest rates rose through the first quarter of the year on
expectations that the economy's robust growth would cause inflation to
accelerate. The yield on the benchmark 30-year U.S. Treasury bond peaked at
7.17% in mid-April. Then, as the news on inflation got better rather than
worse, the yield turned downward, falling to 5.92% by the end of December, 72
basis points below the 6.64% level at which it began the year.
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Short-term interest rates bottomed out in June and then began to rise,
apparently because of sales of short-term Treasuries by foreign central banks
and investors. At year-end 1997, the yield on three-month U.S. Treasury bills
was 5.35%, up just a bit from 5.17% when the year began. The spread between
yields on three-month T-bills and 30-year Treasury bonds was a slim 0.57
percentage point on December 31, 1997. Such a "flattening" of the yield curve
has more often than not been a precursor of a slowing economy.
1997 PERFORMANCE OVERVIEW
The stock market's gains in 1997 were strongest for the largest companies,
particularly for some of the huge blue-chip growth stocks that dominate the S&P
500 Index. Though smaller stocks made up ground versus larger stocks late in
the year, bigger was clearly better during 1997--as it was in 1995 and 1996, as
well. The S&P 500's return of +33.4% in 1997 was 7.7 percentage points higher
than that of the rest of the U.S. stock market (as represented by the Wilshire
4500 Index) and a remarkable 11 percentage points above the +22.4% return of
the Russell 2000 Index of small-cap stocks.
Within the S&P 500, the +36.5% return of the Index's growth component
easily outdistanced the +30.0% return of its value component.
Financial-services stocks were the leading industry group, returning +46.9%,
followed by the health-care sector with a +42.7% return, and then the utilities
sector--which came on strong late in the year--with a gain of +38.1%. Laggards
during the period included stocks in the producer-durables and materials &
processing sectors--commonly known as cyclical industries.
Each of our six Portfolios handily beat the average competing fund and
did an excellent job of tracking its benchmark index during 1997. All four of
our large-cap oriented Portfolios (500, Growth, Value, and Total Stock Market)
came within 0.3 percentage point of their respective indexes, a difference that
largely reflects our expense ratio (annual expenses as a percentage of average
net assets). This ratio (0.19% for the 500 Portfolio and 0.20% for the Growth,
Value, and Total Stock Market Portfolios) represents our cost of doing
business, including statements and reports for shareholder accounts, as well as
legal, accounting, and marketing services. All told, the expense ratio of our
Portfolios--a cost that comes directly out of shareholders' returns--is a tiny
fraction of the 1.44% in expenses charged by the average general equity mutual
fund. This expense advantage--combined with our below-average turnover of
securities, which keeps our transaction costs to a minimum--allows our
Portfolios to closely track their indexes and gives us a significant leg up on
our mutual fund competitors. Our turnover is as low as 2% annually for our
Total Stock Market Portfolio versus about 80% for the average equity fund. What
is more, low turnover results in extraordinary tax-efficiency relative to all
actively managed funds. The adjacent table compares the 1997 return of each of
our Portfolios with returns of competing funds.
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------
TOTAL RETURNS
YEAR ENDED DECEMBER 31, 1997
---------------------------------------
AVERAGE
VANGUARD COMPARABLE VANGUARD
PORTFOLIO FUND* ADVANTAGE
- ---------------------------------------------------------------------------
<S> <C> <C> <C>
500 Portfolio +33.2% +24.4% +8.8%
Growth Portfolio +36.3 +25.3 +11.0
Value Portfolio +29.8 +27.7 +2.1
Extended Market Portfolio +26.7 +25.3 +1.4
SmallCap Stock Portfolio +24.6 +21.4 +3.2
Total Stock Market Portfolio +31.0 +24.4 +6.6
- ---------------------------------------------------------------------------
</TABLE>
*Figures for the average comparable funds are compiled by Lipper Analytical
Services. The Lipper fund groups are: for the 500 Portfolio, general equity
funds; for the Growth Portfolio, growth funds; for the Value Portfolio, value
funds; for the Extended Market Portfolio, growth funds; for the SmallCap Stock
Portfolio, small-cap funds; for the Total Stock Market Portfolio, general
equity funds.
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Like the Total Stock Market Portfolio, our Extended Market and
SmallCap Stock Portfolios have low expense ratios (0.23%), but the three
Portfolios' returns occasionally diverge from their index standards by small
random margins over short periods, primarily because they do not own all of the
stocks in their target indexes. Our Total Stock Market Portfolio, for example,
owns about 2,800 of the more than 7,000 stocks in the Wilshire 5000 Index. To
own all the stocks in the Index would cost substantially more but would do
little to enhance the Portfolio's diversification. During 1997, this difference
favored our Extended Market and SmallCap Stock Portfolios, resulting in
advantages over their indexes of +1.0 percentage point and +2.2 percentage
points, respectively.
The Extended Market and SmallCap Stock Portfolios levy transaction
fees that are paid directly to the Portfolio to compensate existing
shareholders for the costs of investing cash from new purchases. Over the past
18 months, our transaction fees more than offset the costs associated with net
purchases of securities for these two Portfolios. For this reason, we lowered
the transaction fee on the Extended Market Portfolio from 0.5% to 0.25% (or
$2.50 per $1,000), effective November 3, 1997, and reduced the fee on the
SmallCap Stock Portfolio from 1.0% to 0.5% ($5 per $1,000), effective January
2, 1997.
The Institutional Shares now offered for three of our Portfolios
(Extended Market, SmallCap Stock, and Total Stock Market) have even lower
expenses, which should help them track their target indexes even more closely.
The expense ratios for these share classes, which were launched in July, are
0.10% for the Extended Market and Total Stock Market Portfolios and 0.12% for
the SmallCap Stock Portfolio.
LONG-TERM PERFORMANCE OVERVIEW
Over the past decade, indexed mutual funds have provided long-term performance
that was superior to that of most actively managed mutual funds. The following
table presents the average annual returns and the ending value of initial
$10,000 investments made a decade ago in the 500 Portfolio, the average general
equity mutual fund, and the S&P 500 Index.
As shown in the table, the 500 Portfolio's return has outpaced that of
its average peer by 2.3 percentage points a year, a wide margin that has
amounted to a significant sum over the past ten years. An initial investment of
$10,000 in the Portfolio on December 31, 1987, would (with income dividends and
capital gains distributions reinvested) have grown over the decade to $51,639,
a margin of $9,327 over our average competitor--extra earnings that nearly
equal the entire initial investment.
<TABLE>
<CAPTION>
- -------------------------------------------------------
TOTAL RETURNS
10 YEARS ENDED
DECEMBER 31, 1997
-----------------------------
AVERAGE FINAL VALUE OF
ANNUAL A $10,000
RATE INITIAL INVESTMENT
- -------------------------------------------------------
<S> <C> <C>
500 Portfolio +17.8% $51,639
- -------------------------------------------------------
Average General
Equity Fund +15.5% $42,312
- -------------------------------------------------------
S&P 500 Index +18.1% $52,567
- -------------------------------------------------------
</TABLE>
Our 500 Portfolio's shortfall versus the S&P 500 Index of 0.3
percentage point over the decade is accounted for almost entirely by our
expense ratio, which during the early years of the decade was higher than
today's level of 0.19%. The Index, of course, is a tough competitor for all
mutual funds since, as a theoretical construct, it does not incur operating or
transaction costs, all of which are borne to one degree or another by actual
funds. Indeed, we estimate that these two costs run close to 2% per year for
the average equity fund, which, other factors held equal, would have provided
us with a 1.7-percentage-point advantage in return--three-quarters of our
advantage over our peers. Costs matter.
The other Portfolios of Vanguard Index Trust, with one exception, have
enjoyed similar success versus actively managed mutual funds, albeit over
shorter time periods.
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Our SmallCap Stock Portfolio has failed to keep pace with the average small-cap
mutual fund, in large part because the Index as a whole carries lower
volatility risk than most of the Portfolio's competitors, and to a lesser
degree because the market capitalization of its holdings is, on average,
smaller. The following table summarizes the returns of our Portfolios versus
those of their average peers.
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS
PERIODS ENDED DECEMBER 31, 1997
----------------------------------------
AVERAGE
INDEX TRUST VANGUARD COMPARABLE
PORTFOLIO (INCEPTION DATE) FUND FUND DIFFERENCE
- ---------------------------------------------------------------------------
<S> <C> <C> <C>
Growth (11/2/1992)* +19.5% +16.6% +2.9%
Value (11/2/1992)* +20.7 +17.6 +3.1
Extended Market (12/21/1987)** +16.4 +15.4 +1.0
SmallCap Stock (9/11/1989)* +13.7 +15.4 -1.7
Total Stock Market (4/27/1992)* +18.5 +16.6 +1.9
- ---------------------------------------------------------------------------
</TABLE>
*Annualized returns since inception; for the SmallCap Stock Portfolio, the
inception date refers to the date on which the indexing strategy was adopted.
**Annualized ten-year return.
We stress that the long-term returns shown in this table are unusually
high, far above the past long-term annual equity returns of 11%. Interestingly,
none of these periods includes a single serious downturn in the U.S. stock
market. Although financial markets are inherently unpredictable, we believe it
is safe to say that returns over the next decade are almost sure to be lower
than those of the previous one.
Although we fully expect absolute returns to be lower in the coming
years both for our Portfolios and for most equity mutual funds, we believe that
our Portfolios will continue to perform well relative to competing funds over
the long term, although in any given year the returns of index funds may vary
significantly from the returns achieved by ostensibly similar types of mutual
funds. We emphasize that indexing is a long-term strategy and that the
advantages of low operating and trading costs and of tax efficiency (a large
portion of an index fund's capital gains may be deferred because of the fund's
low turnover rate) tend to manifest themselves over long periods.
IN SUMMARY
Returns from the U.S. stock market over the past three years--indeed, over the
past 15 years--have no precedent in American financial history. While as
investors we have every reason to be grateful for the bounty of the financial
markets, we also have reason to regard the future with some caution. Lengthy
bull markets can breed complacency and cause investors to discount the risks
inherent in stocks. Make no mistake, the market will demonstrate these risks
from time to time.
However, the greatest risk is failure to invest in the first place. We
believe that the stock market's risks can be partially offset by holding a
balanced portfolio that includes not only stock funds, but also bond funds and
money market funds. Investors who maintain such portfolios allocated in
accordance with their time horizon, financial situation, and tolerance for
market volatility should be well prepared to "stay the course" toward their
investment objectives, no matter what the future has in store.
/s/ JOHN C. BOGLE /s/ JOHN J. BRENNAN
John C. Bogle John J. Brennan
Chairman of the Board President
January 19, 1998
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<TABLE>
<CAPTION>
PORTFOLIO STATISTICS
- -----------------------------------------------------------------------------------------------------------------------
YEAR ENDED DECEMBER 31, 1997
NET ASSET VALUE PER SHARE -------------------------------------------
DECEMBER 31, DISTRIBUTIONS FROM DIVIDENDS PER
------------------------------ NET REALIZED SHARE FROM NET
INDEX TRUST PORTFOLIO 1996 1997 CAPITAL GAINS INVESTMENT INCOME
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
500 $69.17 $90.07 $0.59 $1.32
Growth 16.90 22.53 0.25 0.23
Value 17.02 20.85 0.75 0.37
Extended Market 26.20 30.76 1.91 0.36
SmallCap Stock 20.23 23.75 1.115 0.274
Total Stock Market 17.77 22.64 0.27 0.322
- ------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
NET ASSET VALUE PER SHARE
---------------------------------
JUL. 7, DEC. 31,
INSTITUTIONAL SHARES 1997* 1997
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Extended Market $29.28 $30.76 $1.54 $0.371
SmallCap Stock 22.56 23.75 1.05 0.288
Total Stock Market 21.27 22.64 0.23 0.214
- ------------------------------------------------------------------------------------------------------------------------
</TABLE>
*Inception.
5
<PAGE> 8
THE MARKETS IN PERSPECTIVE
Year Ended December 31, 1997
U.S. EQUITY MARKETS
Despite some year-end rockiness, 1997 again provided U.S. equity investors with
exceptional returns, as illustrated by the 33.4% advance of the S&P 500 Index.
Investors' mettle was tested several times, however, and most severely by the
upheavals that devastated a number of Asian markets in the fourth quarter.
Beginning in late October, the U.S. market grew increasingly volatile, a direct
result of investors' struggle to understand the nature and implications of
Asia's economic turmoil. By the end of the year, it appeared that a new
consensus was emerging, grounded in two basic beliefs: (1) that the collapse of
currencies in the Far East would help keep inflation tame in the United States
and (2) that slower growth in Asia would most likely lead to weaker corporate
profits over the next several years.
As the dust continued to settle, many investors sought havens
traditional in periods of high uncertainty: large-capitalization issues and
particularly the "defensive" sectors of the stock market, such as utilities,
consumer staples, and health care. The closing weeks of 1997 saw a broad
advance in these "safe" sectors, with utilities gaining 20.1% and consumer
staples 10.4% in the last quarter. By contrast, more economically sensitive
sectors were thrashed in the wake of the Asian crisis, with technology issues
falling 12.3% and producer durables down 9.0% over the three months. After
posting strong results in the third quarter, small-company stocks also suffered
in the fourth, falling 3.3%.
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------
AVERAGE ANNUALIZED RETURNS
PERIODS ENDED DECEMBER 31, 1997
-------------------------------
1 YEAR 3 YEARS 5 YEARS
- ------------------------------------------------------------------------------
<S> <C> <C> <C>
EQUITY
S&P 500 Index 33.4% 31.2% 20.3%
Russell 2000 Index 22.4 22.3 16.4
MSCI EAFE Index 2.1 6.6 11.7
- ------------------------------------------------------------------------------
FIXED INCOME
Lehman Aggregate Bond Index 9.7% 10.4% 7.5%
Lehman 10-Year Municipal Bond Index 9.2 10.2 7.6
Salomon Brothers Three-Month
U.S. Treasury Bill Index 5.3 5.4 4.7
- ------------------------------------------------------------------------------
OTHER
Consumer Price Index 1.7% 2.5% 2.6%
- ------------------------------------------------------------------------------
</TABLE>
The year-end excitement did not detract from 1997's overall record as
a stellar year for U.S. stock investors. The best-performing sector was
financial services, which rose 46.9%. This sector benefited from a number of
factors, including the strength of the economy, the vibrant financial markets,
and merger activity. By contrast, the commodity-oriented materials & processing
sector posted a gain of "only" 12.3%--in itself more than a percentage point
above the long-term average return from common stocks. Small-cap stocks also
fared well overall, as illustrated by the 22.4% increase of the Russell 2000
Index. Small-company technology issues were the most glaring exception,
mustering a gain in 1997 of just 1.1%.
U.S. FIXED-INCOME MARKETS
In a year characterized by exceptionally low inflation, interest rates fell,
providing investors with very attractive total returns. The Lehman Aggregate
Bond Index, for example,
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<PAGE> 9
posted a total return of 9.7% for 1997, comprising 7.2% in income return and
2.5% in capital appreciation. The decline in rates can be attributed largely to
better-than-expected reports about the inflation rate. Early in the year,
economists were projecting a 2.9% increase in the Consumer Price Index (CPI)
during 1997. In March, the Federal Reserve grew sufficiently concerned to boost
interest rates by 0.25% in an effort to temper economic growth and thereby ward
off inflation. By year-end, however, the worries seemed to have been
unnecessary, as the actual CPI increase was a mere 1.7%--its smallest increase
since 1986.
The bond market gradually gathered strength during the year as
investors grew more confident that four seemingly strange bedfellows--strong
economic growth, reasonable inflation, low unemployment, and stable wage
growth--would continue to coexist peacefully. In the fourth quarter, the market
also was bolstered by the "flight to quality" among investors concerned about
Asia's problems. Overall, the longest-maturity issues benefited most from the
decline in interest rates. The yield on the 30-year U.S. Treasury bond closed
the year at 5.92%, compared with 6.64% on December 31, 1996. Falling rates
flattened the yield curve considerably: Only 0.57% separated the yield on
Treasury bills from that on the 30-year issue, down from a spread of 1.47% at
the end of 1996.
The best-performing sector in 1997 was long-term Treasuries, as
illustrated by the 15.1% return of the Lehman Long U.S. Treasury Index.
Investors in lower-quality securities also fared well, with the Lehman High
Yield Bond Index generating a 12.8% gain. The strength of the economy, together
with the lack of inflationary pressure, created an ideal environment for junk
bonds.
INTERNATIONAL EQUITY MARKETS
Arguably, investors' greatest disappointments were in international
markets--and, of course, Asian markets in particular. During the year, the
Morgan Stanley Capital International (MSCI) Pacific Index declined by 25.7% in
U.S. dollar terms; the Index fell 20.7% in the fourth quarter alone. Among
individual markets, the fiscal year saw sharp declines (in U.S. dollar terms)
in Japan, down 23.6% (including a 19.7% drop in the fourth quarter); Thailand,
down 76.8%; and Malaysia, down 68.1%. The general slump in Asian markets began
in midsummer with currency devaluations by a number of countries.
By contrast, the European markets continued to provide U.S. investors
with solid returns, although they, too, stumbled in late October and
subsequently recovered. The MSCI Europe Index posted a gain of 23.7% for the 12
months. The robust character of the European markets reflected strong corporate
earnings and optimism that the European Monetary Union would provide a solid
framework for future fiscal responsibility and economic growth.
7
<PAGE> 10
PORTFOLIO PROFILE
500 Portfolio
This Profile provides a snapshot of the Portfolio's characteristics as of
December 31, 1997, compared where appropriate to its unmanaged target index.
Key elements of this Profile are defined on page 9.
<TABLE>
<CAPTION>
PORTFOLIO CHARACTERISTICS
- -------------------------------------------------------
500 S&P 500
- -------------------------------------------------------
<S> <C> <C>
Number of Stocks 510 500
Median Market Cap $34.1B $34.1B
Price/Earnings Ratio 21.9x 21.9x
Price/Book Ratio 4.1x 4.1x
Yield 1.5% 1.6%
Return on Equity 20.4% 20.4%
Earnings Growth Rate 17.6% 17.6%
Foreign Holdings 1.9% 1.9%
Turnover Rate 5% --
Expense Ratio 0.19% --
Cash Reserves 0.1% --
</TABLE>
INVESTMENT FOCUS
- -------------------------------------------------------
[GRAPH]
<TABLE>
<CAPTION>
VOLATILITY MEASURES
- -------------------------------------------------------
500 S&P 500
- -------------------------------------------------------
<S> <C> <C>
R-Squared 1.00 1.00
Beta 1.00 1.00
</TABLE>
<TABLE>
<CAPTION>
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- -------------------------------------------------------
<S> <C>
General Electric Co. 3.1%
The Coca-Cola Co. 2.2
Microsoft Corp. 2.0
Exxon Corp. 2.0
Merck & Co., Inc. 1.7
Royal Dutch Petroleum Co. ADR 1.5
Intel Corp. 1.5
Philip Morris Cos., Inc. 1.4
Procter & Gamble Co. 1.4
International Business Machines Corp. 1.3
- ------------------------------------------------------
Top Ten 18.1%
</TABLE>
<TABLE>
<CAPTION>
SECTOR DIVERSIFICATION (% OF COMMON STOCK)
- ------------------------------------------------------------------------------------------
DECEMBER 31, 1996 DECEMBER 31, 1997
----------------------------------------------
500 500 S&P 500
----------------------------------------------
<S> <C> <C> <C>
Auto & Transportation . . . . . . . . 4.0% 3.5% 3.5%
Consumer Discretionary . . . . . . . . 9.5 9.8 9.8
Consumer Staples . . . . . . . . . . . 11.7 11.5 11.5
Financial Services . . . . . . . . . . 15.8 17.7 17.7
Health Care . . . . . . . . . . . . . 10.3 11.4 11.4
Integrated Oils . . . . . . . . . . . 8.0 7.2 7.2
Other Energy . . . . . . . . . . . . . 1.3 1.4 1.4
Materials & Processing . . . . . . . . 7.4 5.8 5.8
Producer Durables . . . . . . . . . . 4.7 4.0 4.0
Technology . . . . . . . . . . . . . . 11.7 11.2 11.2
Utilities . . . . . . . . . . . . . . 10.2 10.6 10.6
Other . . . . . . . . . . . . . . . . 5.4 5.9 5.9
- ------------------------------------------------------------------------------------------
</TABLE>
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<PAGE> 11
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. The midpoint of market capitalization (market price x shares
outstanding) of the stocks in a portfolio. Half the stocks in the portfolio
have higher market capitalizations and half lower.
NUMBER OF STOCKS. An indicator of diversification. The more stocks a portfolio
holds, the more diversified it is and the more likely to perform in line with
the overall stock market.
PRICE/BOOK RATIO. The share price of a stock divided by its net worth, or book
value, per share. For a portfolio, the weighted average price/book ratio of the
stocks it holds.
PRICE/EARNINGS RATIO. The ratio of a stock's current price to its per-share
earnings over the past year. For a portfolio, the weighted average P/E of the
stocks it holds. P/E is an indicator of market expectations about corporate
prospects; the higher the P/E, the greater the expectations for a company's
future growth.
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 past year.
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.
9
<PAGE> 12
PORTFOLIO PROFILE
Growth Portfolio
This Profile provides a snapshot of the Portfolio's characteristics as of
December 31, 1997, compared where appropriate to an unmanaged index. Key
elements of this Profile are defined on page 9.
<TABLE>
<CAPTION>
PORTFOLIO CHARACTERISTICS
- -------------------------------------------------------
GROWTH S&P 500
- -------------------------------------------------------
<S> <C> <C>
Number of Stocks 147 500
Median Market Cap $56.3B $34.1B
Price/Earnings Ratio 26.9x 21.9x
Price/Book Ratio 7.5x 4.1x
Yield 1.1% 1.6%
Return on Equity 26.1% 20.4%
Earnings Growth Rate 19.9% 17.6%
Foreign Holdings 2.7% 1.9%
Turnover Rate 26% --
Expense Ratio 0.20% --
Cash Reserves 0.1% --
</TABLE>
INVESTMENT FOCUS
- -------------------------------------------------------
[GRAPH]
<TABLE>
<CAPTION>
VOLATILITY MEASURES
- -------------------------------------------------------
GROWTH S&P 500
- -------------------------------------------------------
<S> <C> <C>
R-Squared 0.96 1.00
Beta 1.08 1.00
</TABLE>
<TABLE>
<CAPTION>
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- -------------------------------------------------------
<S> <C>
General Electric Co. 6.2%
The Coca-Cola Co. 4.3
Microsoft Corp. 4.0
Merck & Co., Inc. 3.3
Intel Corp. 3.0
Philip Morris Cos., Inc. 2.8
Procter & Gamble Co. 2.8
Pfizer, Inc. 2.5
Bristol-Myers Squibb Co. 2.4
Wal-Mart Stores, Inc. 2.3
- -------------------------------------------------------
Top Ten 33.6%
</TABLE>
<TABLE>
<CAPTION>
SECTOR DIVERSIFICATION (% OF COMMON STOCK)
- ------------------------------------------------------------------------------------------------------
DECEMBER 31, 1996 DECEMBER 31, 1997
----------------------------------------------
GROWTH GROWTH S&P 500
----------------------------------------------
<S> <C> <C> <C>
Auto & Transportation . . . . . . . . . . . 0.1% 0.3% 3.5%
Consumer Discretionary . . . . . . . . . . . 12.4 7.8 9.8
Consumer Staples . . . . . . . . . . . . . . 21.1 21.1 11.5
Financial Services . . . . . . . . . . . . . 7.9 10.5 17.7
Health Care . . . . . . . . . . . . . . . . 16.5 20.0 11.4
Integrated Oils . . . . . . . . . . . . . . 0.7 0.0 7.2
Other Energy . . . . . . . . . . . . . . . . 1.5 1.6 1.4
Materials & Processing . . . . . . . . . . . 7.4 4.5 5.8
Producer Durables . . . . . . . . . . . . . . 3.2 2.4 4.0
Technology . . . . . . . . . . . . . . . . . 15.8 16.8 11.2
Utilities . . . . . . . . . . . . . . . . . 5.3 7.2 10.6
Other . . . . . . . . . . . . . . . . . . . 8.1 7.8 5.9
- ------------------------------------------------------------------------------------------------------
</TABLE>
10
<PAGE> 13
PORTFOLIO PROFILE
Value Portfolio
This Profile provides a snapshot of the Portfolio's characteristics as of
December 31, 1997, compared where appropriate to an unmanaged index. Key
elements of this Profile are defined on page 9.
<TABLE>
<CAPTION>
PORTFOLIO CHARACTERISTICS
- -------------------------------------------------
VALUE S&P 500
- -------------------------------------------------
<S> <C> <C>
Number of Stocks 363 500
Median Market Cap $18.6B $34.1B
Price/Earnings Ratio 18.2x 21.9x
Price/Book Ratio 2.8x 4.1x
Yield 1.8% 1.6%
Return on Equity 14.9% 20.4%
Earnings Growth Rate 14.7% 17.6%
Foreign Holdings 1.0% 1.9%
Turnover Rate 25% --
Expense Ratio 0.20% --
Cash Reserves 0.2% --
</TABLE>
INVESTMENT FOCUS
- -------------------------------------------------
[GRAPH]
<TABLE>
<CAPTION>
VOLATILITY MEASURES
- -------------------------------------------------
VALUE S&P 500
- -------------------------------------------------
<S> <C> <C>
R-Squared 0.94 1.00
Beta 0.92 1.00
</TABLE>
<TABLE>
<CAPTION>
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- -------------------------------------------------
<S> <C>
Exxon Corp. 4.0%
Royal Dutch Petroleum Co. ADR 3.1
International Business Machines Corp. 2.7
AT&T Corp. 2.7
The Walt Disney Co. 1.8
Travelers Group Inc. 1.7
Ford Motor Co. 1.6
Citicorp 1.6
Mobil Corp. 1.5
BellSouth Corp. 1.5
- -------------------------------------------------
Top Ten 22.2%
</TABLE>
<TABLE>
<CAPTION>
SECTOR DIVERSIFICATION (% OF COMMON STOCK)
- ----------------------------------------------------------------------------------------------------------
DECEMBER 31, 1996 DECEMBER 31, 1997
---------------------------------------------------
VALUE VALUE S&P 500
---------------------------------------------------
<S> <C> <C> <C>
Auto & Transportation . . . . . . . . . . . 8.2% 6.8% 3.5%
Consumer Discretionary . . . . . . . . . . . 6.2 12.0 9.8
Consumer Staples . . . . . . . . . . . . . . 1.8 1.5 11.5
Financial Services . . . . . . . . . . . . . 23.9 25.3 17.7
Health Care . . . . . . . . . . . . . . . . 3.6 2.6 11.4
Integrated Oils . . . . . . . . . . . . . . 15.8 14.6 7.2
Other Energy . . . . . . . . . . . . . . . . 1.0 1.1 1.4
Materials & Processing . . . . . . . . . . . 7.4 7.1 5.8
Producer Durables . . . . . . . . . . . . . 6.4 5.7 4.0
Technology . . . . . . . . . . . . . . . . . 7.1 5.5 11.2
Utilities . . . . . . . . . . . . . . . . . 16.2 14.2 10.6
Other . . . . . . . . . . . . . . . . . . . 2.4 3.6 5.9
- ----------------------------------------------------------------------------------------------------------
</TABLE>
11
<PAGE> 14
PORTFOLIO PROFILE
Extended Market Portfolio
This Profile provides a snapshot of the Portfolio's characteristics as of
December 31, 1997, compared where appropriate to its unmanaged target index.
Key elements of this Profile are defined on page 9.
<TABLE>
<CAPTION>
PORTFOLIO CHARACTERISTICS
- -----------------------------------------------------------------------
EXTENDED WILSHIRE
MARKET 4500
- -----------------------------------------------------------------------
<S> <C> <C>
Number of Stocks 2,173 6,971
Median Market Cap $1.5B $1.52B
Price/Earnings Ratio 22.4x 22.4x
Price/Book Ratio 3.0x 3.0x
Yield--Investor Shares 1.2% 1.1%
Yield--Institutional Shares 1.3% 1.1%
Return on Equity 14.0% 14.0%
Earnings Growth Rate 16.3% 16.3%
Foreign Holdings 1.0% 1.0%
Turnover Rate 15% --
Expense Ratio--
Investor Shares 0.23% --
Institutional Shares 0.10%* --
Cash Reserves 0.2% --
</TABLE>
*Annualized.
INVESTMENT FOCUS
- -----------------------------------------------------------------------
[GRAPH]
<TABLE>
<CAPTION>
VOLATILITY MEASURES
- -----------------------------------------------------------------------
EXTENDED MARKET
INVESTOR SHARES S&P 500
-------------------------------------
<S> <C> <C>
R-Squared 0.51 1.00
Beta 0.78 1.00
</TABLE>
<TABLE>
<CAPTION>
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- -----------------------------------------------------------------------
<S> <C>
Berkshire Hathaway Class A 1.8%
Electronic Data Systems Corp. 0.7
Carnival Corp. Class A 0.5
Safeway, Inc. 0.5
Coca-Cola Enterprises, Inc. 0.5
RJR Nabisco Holdings Corp. 0.4
Franklin Resources Corp. 0.4
Republic Industries, Inc. 0.3
Cox Communications Class A 0.3
The Equitable Cos. 0.3
- -----------------------------------------------------------------------
Top Ten 5.7%
</TABLE>
<TABLE>
<CAPTION>
SECTOR DIVERSIFICATION (% OF COMMON STOCK)
- -----------------------------------------------------------------------------------------------------------------
DECEMBER 31, 1996 DECEMBER 31, 1997
--------------------------------------------------------
EXTENDED EXTENDED WILSHIRE
MARKET MARKET 4500
--------------------------------------------------------
<S> <C> <C> <C>
Auto & Transportation . . . . . . . . . . . . . 3.2% 3.1% 3.1%
Consumer Discretionary . . . . . . . . . . . . . 15.9 16.8 16.8
Consumer Staples . . . . . . . . . . . . . . . . 4.0 3.9 3.9
Financial Services . . . . . . . . . . . . . . . 22.5 24.6 24.6
Health Care . . . . . . . . . . . . . . . . . . 9.7 7.9 7.9
Integrated Oils . . . . . . . . . . . . . . . . 0.6 0.5 0.5
Other Energy . . . . . . . . . . . . . . . . . . 4.4 4.9 4.9
Materials & Processing . . . . . . . . . . . . . 8.2 7.7 7.7
Producer Durables . . . . . . . . . . . . . . . 6.7 6.3 6.3
Technology . . . . . . . . . . . . . . . . . . . 13.8 12.4 12.4
Utilities . . . . . . . . . . . . . . . . . . . 7.7 8.3 8.3
Other . . . . . . . . . . . . . . . . . . . . . 3.3 3.6 3.6
- -----------------------------------------------------------------------------------------------------------------
</TABLE>
12
<PAGE> 15
PORTFOLIO PROFILE
Small Capitalization Stock Portfolio
This Profile provides a snapshot of the Portfolio's characteristics as of
December 31, 1997, compared where appropriate to its unmanaged target index.
Key elements of this Profile are defined on page 9.
<TABLE>
<CAPTION>
PORTFOLIO CHARACTERISTICS
- ----------------------------------------------------------------
SMALL RUSSELL
CAPITALIZATION 2000
- ----------------------------------------------------------------
<S> <C> <C>
Number of Stocks 1,727 1,894
Median Market Cap $0.8B $0.8B
Price/Earnings Ratio 21.0x 21.0x
Price/Book Ratio 2.9x 2.9x
Yield--Investor Shares 1.3% 1.3%
Yield--Institutional Shares 1.4% 1.3%
Return on Equity 13.2% 13.2%
Earnings Growth Rate 14.2% 14.3%
Foreign Holdings 0.0% 0.0%
Turnover Rate 29% --
Expense Ratio--
Investor Shares 0.23% --
Institutional Shares 0.12%* --
Cash Reserves 0.1% --
</TABLE>
*Annualized.
INVESTMENT FOCUS
- ----------------------------------------------------------------
[GRAPH]
<TABLE>
<CAPTION>
VOLATILITY MEASURES
- ----------------------------------------------------------------
SMALL CAPITALIZATION
INVESTOR SHARES S&P 500
- ----------------------------------------------------------------
<S> <C> <C>
R-Squared 0.37 1.00
Beta 0.72 1.00
</TABLE>
<TABLE>
<CAPTION>
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- ----------------------------------------------------------------
<S> <C>
Associated Banc-Corp. 0.3%
U.S. Office Products Co. 0.3
Jacor Communications, Inc. 0.3
Allied Waste Industries, Inc. 0.3
Brooks Fiber Properties, Inc. 0.2
Keystone Financial, Inc. 0.2
Mack-Cali Realty Corp. 0.2
Arterial Vascular Engineering, Inc. 0.2
Citrix Systems, Inc. 0.2
Sovereign Bancorp, Inc. 0.2
- ----------------------------------------------------------------
Top Ten 2.4%
</TABLE>
<TABLE>
<CAPTION>
SECTOR DIVERSIFICATION (% OF COMMON STOCK)
- ----------------------------------------------------------------------------------------------------------
DECEMBER 31, 1996 DECEMBER 31, 1997
--------------------------------------------------
SMALL SMALL RUSSELL
CAPITALIZATION CAPITALIZATION 2000
--------------------------------------------------
<S> <C> <C> <C>
Auto & Transportation . . . . . . . . . . . . 3.8% 4.2% 4.1%
Consumer Discretionary . . . . . . . . . . . . 15.3 16.2 16.5
Consumer Staples . . . . . . . . . . . . . . . 3.3 3.0 2.9
Financial Services . . . . . . . . . . . . . . 24.4 25.5 25.8
Health Care . . . . . . . . . . . . . . . . . 10.1 9.7 9.7
Integrated Oils . . . . . . . . . . . . . . . 0.6 0.5 0.5
Other Energy . . . . . . . . . . . . . . . . . 4.0 3.5 3.5
Materials & Processing . . . . . . . . . . . . 10.7 9.5 9.3
Producer Durables . . . . . . . . . . . . . . 8.1 7.5 7.6
Technology . . . . . . . . . . . . . . . . . . 11.9 11.3 11.3
Utilities . . . . . . . . . . . . . . . . . . 6.2 7.6 7.6
Other . . . . . . . . . . . . . . . . . . . . 1.6 1.5 1.2
- ----------------------------------------------------------------------------------------------------------
</TABLE>
13
<PAGE> 16
PORTFOLIO PROFILE
Total Stock Market Portfolio
This Profile provides a snapshot of the Portfolio's characteristics as of
December 31, 1997, compared where appropriate to its unmanaged target index.
Key elements of this Profile are defined on page 9.
<TABLE>
<CAPTION>
PORTFOLIO CHARACTERISTICS
- -----------------------------------------------------------------------
TOTAL STOCK WILSHIRE
MARKET 5000
- -----------------------------------------------------------------------
<S> <C> <C>
Number of Stocks 2,832 7,459
Median Market Cap $15.5B $15.5B
Price/Earnings Ratio 22.1x 22.1x
Price/Book Ratio 3.8x 3.8x
Yield--Investor Shares 1.5% 1.5%
Yield--Institutional Shares 1.6% 1.5%
Return on Equity 19.1% 19.1%
Earnings Growth Rate 17.6% 17.6%
Foreign Holdings 0.7% 0.7%
Turnover Rate 2% --
Expense Ratio--
Investor Shares 0.20% --
Institutional Shares 0.10%* --
Cash Reserves 0.0% --
</TABLE>
*Annualized.
INVESTMENT FOCUS
- -----------------------------------------------------------------------
[GRAPH]
<TABLE>
<CAPTION>
VOLATILITY MEASURES
- -----------------------------------------------------------------------
TOTAL STOCK MARKET
INVESTOR SHARES S&P 500
- -----------------------------------------------------------------------
<S> <C> <C>
R-Squared 0.94 1.00
Beta 0.94 1.00
</TABLE>
<TABLE>
<CAPTION>
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- -----------------------------------------------------------------------
<S> <C>
General Electric Co. 2.2%
The Coca-Cola Co. 1.5
Microsoft Corp. 1.4
Exxon Corp. 1.4
Merck & Co., Inc. 1.2
Intel Corp. 1.1
Philip Morris Cos., Inc. 1.0
Procter & Gamble Co. 1.0
International Business Machines Corp. 1.0
AT&T Corp. 0.9
- -----------------------------------------------------------------------
Top Ten 12.7%
</TABLE>
<TABLE>
<CAPTION>
SECTOR DIVERSIFICATION (% OF COMMON STOCK)
- ----------------------------------------------------------------------------------------------------
DECEMBER 31, 1996 DECEMBER 31, 1997
------------------------------------------------
TOTAL STOCK TOTAL STOCK WILSHIRE
MARKET MARKET 5000
------------------------------------------------
<S> <C> <C> <C>
Auto & Transportation . . . . . . . . . . . . 3.7% 3.5% 3.5%
Consumer Discretionary . . . . . . . . . . . . 11.8 12.1 12.1
Consumer Staples . . . . . . . . . . . . . . . 9.1 9.1 9.1
Financial Services . . . . . . . . . . . . . . 18.1 20.2 20.2
Health Care . . . . . . . . . . . . . . . . . 10.2 10.6 10.6
Integrated Oils . . . . . . . . . . . . . . . 4.8 4.3 4.3
Other Energy . . . . . . . . . . . . . . . . . 2.3 2.5 2.5
Materials & Processing . . . . . . . . . . . . 7.3 6.1 6.1
Producer Durables . . . . . . . . . . . . . . 5.2 4.5 4.5
Technology . . . . . . . . . . . . . . . . . . 12.6 11.9 11.9
Utilities . . . . . . . . . . . . . . . . . . 9.9 10.2 10.2
Other . . . . . . . . . . . . . . . . . . . . 5.0 5.0 5.0
- ----------------------------------------------------------------------------------------------------
</TABLE>
14
<PAGE> 17
PERFORMANCE SUMMARY
500 Portfolio
All of the data on this page represent past performance, which cannot be used
to predict future returns that may be achieved by the Portfolio. Note, too,
that both share price and return can fluctuate widely, so an investment in the
Portfolio could lose money.
<TABLE>
<CAPTION>
TOTAL INVESTMENT RETURNS: DECEMBER 31, 1977-DECEMBER 31, 1997
- ----------------------------------------------------------------------------------------
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
- --------------------------------------------------------------------------------------
</TABLE>
See Financial Highlights table on page 35 for dividend and capital gains
information for the past five years.
<TABLE>
<CAPTION>
CUMULATIVE PERFORMANCE: DECEMBER 31, 1987-DECEMBER 31, 1997
- ------------------------------------------------------------------------------------------
500 AVERAGE GENERAL S&P 500
PORTFOLIO EQUITY FUND INDEX
<S> <C> <C> <C>
1987 12 10000 10000 10000
1988 03 10563 10777 10569
1988 06 11245 11368 11273
1988 09 11282 11277 11312
1988 12 11616 11444 11661
1989 03 12432 12225 12488
1989 06 13523 13124 13590
1989 09 14952 14350 15045
1989 12 15252 14189 15356
1990 03 14783 13855 14894
1990 06 15700 14668 15831
1990 09 13538 12384 13655
1990 12 14738 13300 14879
1991 03 16869 15569 17040
1991 06 16819 15426 17001
1991 09 17705 16658 17910
1991 12 19184 18036 19412
1992 03 18688 17914 18922
1992 06 19035 17433 19282
1992 09 19619 18030 19890
1992 12 20598 19639 20891
1993 03 21486 20201 21803
1993 06 21577 20470 21910
1993 09 22119 21660 22476
1993 12 22625 22096 22997
1994 03 21752 21298 22125
1994 06 21836 20779 22218
1994 09 22894 22048 23304
1994 12 22880 21725 23300
1995 03 25099 23206 25569
1995 06 27476 25325 28010
1995 09 29655 27668 30236
1995 12 31434 28477 32056
1996 03 33111 29881 33777
1996 06 34582 31388 35293
1996 09 35635 32343 36384
1996 12 38612 34024 39416
1997 03 39624 33117 40473
1997 06 46520 38294 47539
1997 09 49998 42887 51099
1997 12 51440 42312 52567
</TABLE>
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS
PERIODS ENDED DECEMBER 31, 1997
------------------------------------- FINAL VALUE OF A
1 YEAR 5 YEARS 10 YEARS $10,000 INVESTMENT
- ----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
500 Portfolio* 33.16% 20.08% 17.80% $51,440
Average General Equity Fund 24.36 16.59 15.52 42,312
S&P 500 Index 33.36 20.27 18.05 52,567
- ----------------------------------------------------------------------------------------------------
</TABLE>
*Performance figures are adjusted for the $10 annual account maintenance fee.
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS: PERIODS ENDED DECEMBER 31, 1997
- -------------------------------------------------------------------------------------------------------------------
10 YEARS
INCEPTION -----------------------------------------
DATE 1 YEAR 5 YEARS CAPITAL INCOME TOTAL
- -------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
500 Portfolio* 8/31/1976 33.16% 20.08% 14.54% 3.26% 17.80%
- -------------------------------------------------------------------------------------------------------------------
</TABLE>
*Performance figures are adjusted for the $10 annual account maintenance fee.
15
<PAGE> 18
PERFORMANCE SUMMARY
Growth Portfolio
All of the data on this page represent past performance, which cannot be used
to predict future returns that may be achieved by the Portfolio. Note, too,
that both share price and return can fluctuate widely, so an investment in the
Portfolio could lose money.
<TABLE>
<CAPTION>
TOTAL INVESTMENT RETURNS: NOVEMBER 2, 1992-DECEMBER 31, 1997
- ----------------------------------------------------------------------------------------
GROWTH PORTFOLIO S&P*
FISCAL CAPITAL INCOME TOTAL TOTAL
YEAR RETURN RETURN RETURN RETURN
- ----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
1992 2.6% 0.6% 3.2% 3.5%
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
- ----------------------------------------------------------------------------------------
</TABLE>
*S&P/BARRA Growth Index.
See Financial Highlights table on page 36 for dividend and capital gains
information for the past five years.
<TABLE>
<CAPTION>
CUMULATIVE PERFORMANCE: NOVEMBER 2, 1992-DECEMBER 31, 1997
- ----------------------------------------------------------------------------------------
GROWTH AVERAGE S&P/BARRA
PORTFOLIO GROWTH FUND GROWTH INDEX
<S> <C> <C> <C>
11/2/92 10000 10000 10000
1992 12 10319 10440 10317
1993 03 10257 10707 10267
1993 06 10043 10776 10055
1993 09 10031 11293 10051
1993 12 10466 11561 10490
1994 03 10000 11112 10037
1994 06 9986 10880 10028
1994 09 10698 11453 10745
1994 12 10758 11312 10819
1995 03 11802 12091 11881
1995 06 13019 13301 13109
1995 09 14051 14416 14150
1995 12 14843 14796 14944
1996 03 15477 15515 15591
1996 06 16535 16254 16684
1996 09 17112 16707 17271
1996 12 18357 17643 18526
1997 03 19004 17337 19188
1997 06 22846 20148 23079
1997 09 24175 22308 24434
1997 12 25027 22077 25367
</TABLE>
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS
PERIODS ENDED DECEMBER 31, 1997
----------------------------------------
SINCE FINAL VALUE OF A
1 YEAR 5 YEARS INCEPTION $10,000 INVESTMENT
- ------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Growth Portfolio* 36.30% 19.39% 19.45% $25,027
Average Growth Fund 25.30 16.16 16.58 22,077
S&P/BARRA Growth Index 36.53 19.64 19.76 25,367
- ------------------------------------------------------------------------------------------------------
</TABLE>
*Performance figures are adjusted for the $10 annual account maintenance fee.
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS: PERIODS ENDED DECEMBER 31, 1997
- --------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION
INCEPTION ------------------------------------------
DATE 1 YEAR 5 YEARS CAPITAL INCOME TOTAL
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Growth Portfolio* 11/2/1992 36.30% 19.39% 17.50% 1.95% 19.45%
- --------------------------------------------------------------------------------------------------------------------
</TABLE>
*Performance figures are adjusted for the $10 annual account maintenance fee.
16
<PAGE> 19
PERFORMANCE SUMMARY
Value Portfolio
All of the data on this page represent past performance, which cannot be used
to predict future returns that may be achieved by the Portfolio. Note, too,
that both share price and return can fluctuate widely, so an investment in the
Portfolio could lose money.
<TABLE>
<CAPTION>
TOTAL INVESTMENT RETURNS: NOVEMBER 2, 1992-DECEMBER 31, 1997
- ----------------------------------------------------------------------------------------
VALUE PORTFOLIO S&P*
FISCAL CAPITAL INCOME TOTAL TOTAL
YEAR RETURN RETURN RETURN RETURN
- ----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
1992 3.0% 0.7% 3.7% 3.8%
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
- ----------------------------------------------------------------------------------------
</TABLE>
*S&P/BARRA Value Index.
See Financial Highlights table on page 36 for dividend and capital gains
information for the past five years.
<TABLE>
<CAPTION>
CUMULATIVE PERFORMANCE: NOVEMBER 2, 1992-DECEMBER 31, 1997
- ------------------------------------------------------------------------------
VALUE AVERAGE VALUE S&P/BARRA
PORTFOLIO FUND VALUE INDEX
<S> <C> <C> <C>
11/2/92 10000 10000 10000
1992 12 10370 10339 10375
1993 03 11315 10804 11333
1993 06 11628 10889 11650
1993 09 12218 11264 12253
1993 12 12265 11511 12304
1994 03 11856 11135 11902
1994 06 11969 11098 12012
1994 09 12266 11591 12320
1994 12 12168 11422 12226
1995 03 13339 12339 13404
1995 06 14492 13351 14571
1995 09 15653 14333 15731
1995 12 16654 15000 16749
1996 03 17707 15799 17820
1996 06 18073 16342 18185
1996 09 18532 16833 18665
1996 12 20286 18136 20433
1997 03 20624 18296 20793
1997 06 23606 21022 23802
1997 09 25756 22918 25983
1997 12 26325 23129 26575
</TABLE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS
PERIODS ENDED DECEMBER 31, 1997
----------------------------------------
SINCE FINAL VALUE OF A
1 YEAR 5 YEARS INCEPTION $10,000 INVESTMENT
- -----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Value Portfolio* 29.73% 20.48% 20.63% $26,325
Average Value Fund 27.67 17.47 17.64 23,129
S&P/BARRA Value Index 29.98 20.68 20.85 26,575
- -----------------------------------------------------------------------------------------------------
</TABLE>
*Performance figures are adjusted for the $10 annual account maintenance fee.
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS: PERIODS ENDED DECEMBER 31, 1997
- ------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION
INCEPTION ----------------------------------------
DATE 1 YEAR 5 YEARS CAPITAL INCOME TOTAL
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Value Portfolio* 11/2/1992 29.73% 20.48% 17.38% 3.25% 20.63%
- ------------------------------------------------------------------------------------------------------------------
</TABLE>
*Performance figures are adjusted for the $10 annual account maintenance fee.
17
<PAGE> 20
PERFORMANCE SUMMARY
Extended Market Portfolio
All of the data on this page represent past performance, which cannot be used
to predict future returns that may be achieved by the Portfolio. Note, too,
that both share price and return can fluctuate widely, so an investment in the
Portfolio could lose money.
<TABLE>
<CAPTION>
TOTAL INVESTMENT RETURNS: DECEMBER 21, 1987-DECEMBER 31, 1997
- -----------------------------------------------------------------------------------------
EXTENDED MARKET PORTFOLIO WILSHIRE
4500
FISCAL CAPITAL INCOME TOTAL TOTAL
YEAR RETURN RETURN RETURN RETURN
- -----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
1987 -0.1% 0.0% -0.1% 0.5%
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
- -----------------------------------------------------------------------------------------
</TABLE>
See Financial Highlights table on page 37 for dividend and capital gains
information for the past five years.
<TABLE>
<CAPTION>
CUMULATIVE PERFORMANCE: DECEMBER 31, 1987-DECEMBER 31, 1997
- -----------------------------------------------------------------------------------------
EXTENDED MARKET AVERAGE GROWTH WILSHIRE 4500
PORTFOLIO FUND EQUITY INDEX
<S> <C> <C> <C>
1987 12 10000 10000 10000
1988 03 11250 10750 11347
1988 06 11937 11363 12013
1988 09 11855 11247 11941
1988 12 11935 11396 12053
1989 03 12931 12207 13047
1989 06 13963 13175 14054
1989 09 15213 14502 15307
1989 12 14801 14295 14939
1990 03 14118 13979 14245
1990 06 14565 14980 14713
1990 09 11814 12567 12031
1990 12 12713 13512 12914
1991 03 15335 15879 15589
1991 06 15233 15738 15514
1991 09 16515 16929 16918
1991 12 18022 18388 18525
1992 03 18291 18168 18764
1992 06 17648 17630 17999
1992 09 18160 18191 18536
1992 12 20257 19821 20724
1993 03 21071 20325 21559
1993 06 21349 20463 21891
1993 09 22841 21458 23489
1993 12 23180 21920 23743
1994 03 22450 21095 22883
1994 06 21847 20662 22181
1994 09 23286 21762 23705
1994 12 22761 21448 23111
1995 03 24442 22954 24861
1995 06 26639 25259 26983
1995 09 29709 27392 30030
1995 12 30442 28054 30850
1996 03 32315 29452 32672
1996 06 33619 30867 34162
1996 09 34487 31745 34891
1996 12 35802 33452 36150
1997 03 34554 32913 34620
1997 06 39986 38262 39967
1997 09 46014 42386 46093
1997 12 45391 41915 45435
</TABLE>
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS
PERIODS ENDED DECEMBER 31, 1997
---------------------------------------- FINAL VALUE OF A
1 YEAR 5 YEARS 10 YEARS $10,000 INVESTMENT
- -------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Extended Market Portfolio* 26.38% 17.44% 16.33% $45,391
Average Growth Fund 25.30 16.16 15.41 41,915
Wilshire 4500 Equity Index 25.68 17.00 16.34 45,435
- -------------------------------------------------------------------------------------------------------
</TABLE>
*Performance figures are adjusted for the 0.25% transaction fee on purchases
and the $10 annual account maintenance fee.
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS: PERIODS ENDED DECEMBER 31, 1997
- -------------------------------------------------------------------------------------------------------------------
10 YEARS
INCEPTION -----------------------------------------
DATE 1 YEAR 5 YEARS CAPITAL INCOME TOTAL
- -------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Extended Market Portfolio* 12/21/1987 26.38% 17.44% 14.60% 1.73% 16.33%
- -------------------------------------------------------------------------------------------------------------------
</TABLE>
*Performance figures are adjusted for the 0.25% transaction fee on purchases
and the $10 annual account maintenance fee.
18
<PAGE> 21
PERFORMANCE SUMMARY
Extended Market Portfolio-Institutional Shares
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 INVESTMENT RETURNS:
JULY 7, 1997-DECEMBER 31, 1997
- -------------------------------------------------------------------------------
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%
- -------------------------------------------------------------------------------
</TABLE>
See Financial Highlights table on page 37 for dividend and capital gains
information since the Portfolio's inception.
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN: PERIOD ENDED DECEMBER 31, 1997
- -----------------------------------------------------------------------------------------------------------------
SINCE INCEPTION
INCEPTION ------------------------------------------
DATE CAPITAL INCOME TOTAL
- -----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Extended Market Portfolio-Institutional Shares* 7/7/1997 10.23% 1.31% 11.54%
- -----------------------------------------------------------------------------------------------------------------
</TABLE>
*Performance figures are adjusted for the 0.25% transaction fee on purchases.
19
<PAGE> 22
PERFORMANCE SUMMARY
Small Capitalization Stock Portfolio
All of the data on this page represent past performance, which cannot be used
to predict future returns that may be achieved by the Portfolio. Note, too,
that both share price and return can fluctuate widely, so an investment in the
Portfolio could lose money.
<TABLE>
<CAPTION>
TOTAL INVESTMENT RETURNS: DECEMBER 31, 1977-DECEMBER 31, 1997
- ----------------------------------------------------------------------------------------
SMALL CAPITALIZATION STOCK PORTFOLIO RUSSELL
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
- ----------------------------------------------------------------------------------------
</TABLE>
See Financial Highlights table on page 38 for dividend and capital gains
information for the past five years.
<TABLE>
<CAPTION>
CUMULATIVE PERFORMANCE: DECEMBER 31, 1987-DECEMBER 31, 1997
- ---------------------------------------------------------------------------------
SMALL
CAPITALIZATION AVERAGE RUSSELL 2000
STOCK PORTFOLIO SMALL-CAP FUND INDEX
<S> <C> <C> <C>
1987 12 10000 10000 10000
1988 03 11810 11405 11907
1988 06 12481 12217 12692
1988 09 12320 11904 12573
1988 12 12389 11897 12489
1989 03 13131 12857 13452
1989 06 13773 13773 14308
1989 09 14625 15094 15274
1989 12 13681 14630 14518
1990 03 13406 14414 14197
1990 06 13897 15514 14745
1990 09 10558 11986 11127
1990 12 11190 13183 11686
1991 03 14464 16559 15161
1991 06 14205 16267 14926
1991 09 15393 17933 16143
1991 12 16241 19988 17068
1992 03 17531 20326 18348
1992 06 16369 18552 17096
1992 09 16819 19098 17586
1992 12 19185 22496 20210
1993 03 20136 22781 21074
1993 06 20446 23285 21534
1993 09 22119 25160 23417
1993 12 22758 26316 24031
1994 03 22304 25317 23393
1994 06 21546 23886 22482
1994 09 23052 25684 24043
1994 12 22629 26127 23593
1995 03 23712 27263 24681
1995 06 25913 29807 26994
1995 09 28490 33114 29660
1995 12 29117 34383 30303
1996 03 30728 35783 31849
1996 06 32442 38663 33443
1996 09 32643 39207 33556
1996 12 34379 41328 35302
1997 03 32665 37533 33476
1997 06 38322 43956 38903
1997 09 44302 51122 44692
1997 12 42849 50156 43195
</TABLE>
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS
PERIODS ENDED DECEMBER 31, 1997
-------------------------------------- FINAL VALUE OF A
1 YEAR 5 YEARS 10 YEARS $10,000 INVESTMENT
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Small Capitalization Stock Portfolio* 23.93% 17.31% 15.66% $42,849
Average Small-Cap Fund 21.36 17.39 17.50 50,156
Russell 2000 Index 22.36 16.41 15.76 43,195
- ----------------------------------------------------------------------------------------------------------
</TABLE>
*Performance figures are adjusted for the 0.5% transaction fee on purchases and
the $10 annual account maintenance fee.
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS: PERIODS ENDED DECEMBER 31, 1997
- ---------------------------------------------------------------------------------------------------------------------
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 23.93% 17.31% 14.30% 1.36% 15.66%
- ---------------------------------------------------------------------------------------------------------------------
</TABLE>
*Performance figures are adjusted for the 0.5% transaction fee on purchases and
the $10 annual account maintenance fee.
20
<PAGE> 23
PERFORMANCE SUMMARY
Small Capitalization Stock Portfolio-Institutional Shares
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 INVESTMENT RETURNS:
JULY 7, 1997-DECEMBER 31, 1997
- -------------------------------------------------------------------------------
SMALL CAPITALIZATION STOCK PORTFOLIO- RUSSELL
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%
- -------------------------------------------------------------------------------
</TABLE>
See Financial Highlights table on page 38 for dividend and capital gains
information since the Portfolio's inception.
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN: PERIOD ENDED DECEMBER 31, 1997
- -----------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION
INCEPTION -------------------------------------
DATE CAPITAL INCOME TOTAL
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Small Capitalization Stock Portfolio-Institutional Shares* 7/7/1997 9.55% 1.31% 10.86%
- -----------------------------------------------------------------------------------------------------------------------
</TABLE>
*Performance figures are adjusted for the 0.5% transaction fee on purchases.
21
<PAGE> 24
PERFORMANCE SUMMARY
Total Stock Market Portfolio
All of the data on this page represent past performance, which cannot be used
to predict future returns that may be achieved by the Portfolio. Note, too,
that both share price and return can fluctuate widely, so an investment in the
Portfolio could lose money.
<TABLE>
<CAPTION>
TOTAL INVESTMENT RETURNS: APRIL 27, 1992-DECEMBER 31, 1997
- -----------------------------------------------------------------------------------------
TOTAL STOCK MARKET PORTFOLIO WILSHIRE
5000
FISCAL CAPITAL INCOME TOTAL TOTAL
YEAR RETURN RETURN RETURN RETURN
- -----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
1992 8.1% 2.3% 10.4% 10.7%
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
- -----------------------------------------------------------------------------------------
</TABLE>
See Financial Highlights table on page 39 for dividend and capital gains
information for the past five years.
<TABLE>
<CAPTION>
CUMULATIVE PERFORMANCE: APRIL 27, 1992-DECEMBER 31, 1997
- --------------------------------------------------------------------------------------------------
TOTAL STOCK AVERAGE GENERAL WILSHIRE 5000
MARKET PORTFOLIO EQUITY FUND EQUITY INDEX
<S> <C> <C> <C>
4/27/92 10000 10000 10000
1992 06 10010 9928 10009
1992 09 10307 10209 10311
1992 12 11037 11112 11066
1993 03 11474 11477 11527
1993 06 11555 11658 11624
1993 09 11976 12264 12089
1993 12 12202 12502 12308
1994 03 11748 12101 11848
1994 06 11641 11834 11753
1994 09 12294 12483 12393
1994 12 12176 12292 12296
1995 03 13289 13185 13405
1995 06 14515 14423 14659
1995 09 15811 15665 15997
1995 12 16528 16112 16775
1996 03 17439 16977 17726
1996 06 18179 17876 18514
1996 09 18688 18313 19029
1996 12 19989 19251 20342
1997 03 20119 18815 20458
1997 06 23499 21808 23913
1997 09 25789 24283 26262
1997 12 26187 23940 26728
</TABLE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS
PERIODS ENDED DECEMBER 31, 1997
--------------------------------------
SINCE FINAL VALUE OF A
1 YEAR 5 YEARS INCEPTION $10,000 INVESTMENT
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Total Stock Market Portfolio* 30.98% 18.87% 18.48% $26,187
Average General Equity Fund 24.36 16.59 16.62 23,940
Wilshire 5000 Equity Index 31.35 19.28 18.90 26,728
- --------------------------------------------------------------------------------------------------------------
</TABLE>
*Performance figures are adjusted for the $10 annual account maintenance fee.
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS: PERIODS ENDED DECEMBER 31, 1997
- -------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION
INCEPTION -----------------------------------------
DATE 1 YEAR 5 YEARS CAPITAL INCOME TOTAL
- -------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Total Stock Market Portfolio* 4/27/1992 30.98% 18.87% 16.03% 2.45% 18.48%
- -------------------------------------------------------------------------------------------------------------------
</TABLE>
*Performance figures are adjusted for the $10 annual account maintenance fee.
22
<PAGE> 25
PERFORMANCE SUMMARY
Total Stock Market Portfolio-Institutional Shares
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 INVESTMENT RETURNS:
JULY 7, 1997-DECEMBER 31, 1997
- -------------------------------------------------------------------------------
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%
- -------------------------------------------------------------------------------
</TABLE>
See Financial Highlights table on page 39 for dividend and capital gains
information since the Portfolio's inception.
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN: PERIOD ENDED DECEMBER 31, 1997
- -----------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION
INCEPTION --------------------------------------
DATE CAPITAL INCOME TOTAL
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Total Stock Market Portfolio-Institutional Shares 7/7/1997 7.56% 1.04% 8.60%
- -----------------------------------------------------------------------------------------------------------------------
</TABLE>
23
<PAGE> 26
FINANCIAL STATEMENTS
December 31, 1997
The Statements of Net Assets--integral parts of the Financial Statements for
each of the Vanguard Index Trust Portfolios--are included as an insert to this
Report (except for the 500 Portfolio, whose Statement of Net Assets is provided
below).
STATEMENT OF NET ASSETS
This Statement provides a detailed list of each Portfolio's holdings, including
each security's market value on the last day of the reporting period. The 500,
Growth, and Value Portfolios' S&P 500 Index common stocks are listed in
descending market value order; the Extended Market, Small Capitalization Stock,
and Total Stock Market Portfolios' common stocks are listed alphabetically.
Temporary cash investments and other assets are added to, and liabilities are
subtracted from, the value of Total Common Stocks to calculate the Portfolio's
Net Assets. Finally, Net Assets are divided by the outstanding shares of the
Portfolio to arrive at its share price, or Net Asset Value (NAV) Per Share.
At the end of the Statement of Net Assets of each Portfolio, you will
find a table displaying the composition of the Portfolio's net assets. Because
all income and any realized gains must be distributed to shareholders each
year, the bulk of net assets consists of Paid in Capital (money invested by
shareholders). The amounts shown for Undistributed Net Investment Income and
Accumulated Net Realized Gains usually approximate the sums the Portfolio had
available to distribute to shareholders as income dividends or capital gains as
of the statement date. Any Accumulated Net Realized Losses, and any cumulative
excess of distributions over net income or net realized gains, will appear as
negative balances. Unrealized Appreciation (Depreciation) is the difference
between the market value of the Portfolio's investments and their cost, and
reflects the gains (losses) that would be realized if the Portfolio were to
sell all of its investments at their statement-date values.
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------
MARKET
VALUE*
500 PORTFOLIO SHARES (000)
- ------------------------------------------------------------------------------------------------
COMMON STOCKS
- ------------------------------------------------------------------------------------------------
<S> <C> <C>
General Electric Co. 21,115,600 $ 1,549,357
The Coca-Cola Co. 15,957,296 1,063,155
- - Microsoft Corp. 7,785,671 1,006,298
Exxon Corp. 15,910,031 973,495
Merck & Co., Inc. 7,731,211 821,441
Royal Dutch Petroleum
Co. ADR 13,834,941 749,681
Intel Corp. 10,555,563 741,528
Philip Morris Cos., Inc. 15,642,159 708,785
Procter & Gamble Co. 8,671,486 692,093
International Business
Machines Corp. 6,272,450 655,863
AT&T Corp. 10,479,760 641,885
Pfizer, Inc. 8,344,116 622,158
Bristol-Myers Squibb Co. 6,414,421 606,964
Wal-Mart Stores, Inc. 14,539,414 573,398
Johnson & Johnson 8,677,039 571,600
Eli Lilly & Co. 7,160,085 498,521
American International
Group, Inc. 4,525,993 492,202
Bell Atlantic Corp. 5,010,834 455,986
E.I. du Pont de Nemours & Co. 7,300,921 438,511
SBC Communications Inc. 5,913,892 433,192
The Walt Disney Co. 4,356,006 431,517
Hewlett-Packard Co. 6,711,352 419,459
Travelers Group Inc. 7,398,689 398,604
Fannie Mae 6,845,643 390,630
Ford Motor Co. 7,742,432 376,960
Citicorp 2,948,715 372,828
Mobil Corp. 5,061,046 365,344
Gillette Co. 3,613,643 362,945
- - Cisco Systems, Inc. 6,491,765 361,916
BellSouth Corp. 6,397,884 360,281
PepsiCo, Inc. 9,788,226 356,658
Lucent Technologies, Inc. 4,140,243 330,702
BankAmerica Corp. 4,474,177 326,615
Chevron Corp. 4,237,348 326,276
Abbott Laboratories 4,935,009 323,552
GTE Corp. 6,178,161 322,809
American Home Products Corp. 4,191,519 320,651
The Boeing Co. 6,449,453 315,620
The Chase Manhattan Corp. 2,727,024 298,609
Schering-Plough Corp. 4,719,746 293,214
Ameritech Corp. 3,541,227 285,069
NationsBank Corp. 4,588,311 279,027
Home Depot, Inc. 4,719,897 277,884
General Motors Corp. 4,572,225 277,191
Compaq Computer Corp. 4,884,113 275,647
American Express Co. 2,998,821 267,645
Amoco Corp. 3,141,778 267,444
Unilever NV 4,126,759 257,665
</TABLE>
24
<PAGE> 27
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ------------------------------------------------------------------------------------------------
<S> <C> <C>
Schlumberger Ltd. 3,191,262 $ 256,897
Allstate Corp. 2,766,761 251,429
Morgan Stanley, Dean Witter,
Discover and Co. 3,822,328 225,995
Time Warner, Inc. 3,608,880 223,751
Motorola, Inc. 3,851,492 219,776
Warner-Lambert Co. 1,756,874 217,852
Minnesota Mining &
Manufacturing Co. 2,636,675 216,372
McDonald's Corp. 4,435,264 211,784
First Union Corp. 4,047,812 207,450
Banc One Corp. 3,786,981 205,680
MCI Communications Corp. 4,493,795 192,391
Texaco Inc. 3,535,873 192,263
Wells Fargo & Co. 559,371 189,871
Norwest Corp. 4,866,032 187,950
Freddie Mac 4,480,364 187,895
Computer Associates
International, Inc. 3,527,168 186,499
U.S. Bancorp 1,583,810 177,288
- - Dell Computer Corp. 2,106,166 176,918
Kimberly-Clark Corp. 3,580,782 176,577
- - WorldCom, Inc. 5,823,561 176,163
- - Cendant Corp. 5,099,681 175,302
Sara Lee Corp. 3,094,102 174,237
Campbell Soup Co. 2,961,280 172,124
Atlantic Richfield Co. 2,067,738 165,678
Sprint Corp. 2,768,713 162,316
Emerson Electric Co. 2,858,675 161,336
Monsanto Co. 3,819,470 160,418
Medtronic, Inc. 3,026,146 158,305
First Chicago NBD Corp. 1,875,766 156,626
Merrill Lynch & Co., Inc. 2,145,840 156,512
Xerox Corp. 2,102,570 155,196
Tyco International Ltd. 3,435,069 154,793
Northern Telecom Ltd. 1,690,127 150,421
Chrysler Corp. 4,268,247 150,189
Dow Chemical Co. 1,468,150 149,017
AlliedSignal Inc. 3,641,150 141,777
The Bank of New York Co., Inc. 2,445,210 141,364
- - Oracle Corp. 6,326,220 141,154
U S WEST Communications
Group 3,111,813 140,421
Colgate-Palmolive Co. 1,906,853 140,154
Anheuser-Busch Cos., Inc. 3,166,420 139,322
- - AirTouch Communications, Inc. 3,253,955 135,243
CBS Corp. 4,539,633 133,635
Kellogg Co. 2,656,010 131,805
J.P. Morgan & Co., Inc. 1,153,083 130,154
Duke Energy Corp. 2,319,713 128,454
Eastman Kodak Co. 2,096,378 127,486
Columbia/HCA Healthcare Corp. 4,219,139 124,992
Lockheed Martin Corp. 1,253,053 123,426
Fleet Financial Group, Inc. 1,613,025 120,876
H.J. Heinz Co. 2,378,144 120,839
Pharmacia & Upjohn, Inc. 3,273,899 119,907
- ------------------------------------------------------------------------------------------------
TOTAL--100 LARGEST STOCKS 32,263,155
- ------------------------------------------------------------------------------------------------
Caterpillar, Inc. 2,430,412 118,027
Automatic Data Processing, Inc. 1,883,215 115,582
Southern Co. 4,442,303 114,945
Sears, Roebuck & Co. 2,527,073 114,350
Texas Instruments, Inc. 2,515,793 113,211
Gannett Co., Inc. 1,828,659 113,034
- - U S WEST Media Group 3,913,299 112,997
PNC Bank Corp. 1,977,253 112,827
United Technologies Corp. 1,519,059 110,606
General Re Corp. 506,509 107,380
Wachovia Corp. 1,316,033 106,763
Washington Mutual, Inc. 1,657,507 105,770
CoreStates Financial Corp. 1,274,149 102,012
KeyCorp 1,415,009 100,200
CPC International, Inc. 927,213 99,907
ConAgra, Inc. 3,042,063 99,818
Walgreen Co. 3,176,234 99,654
Union Pacific Corp. 1,594,960 99,585
Mellon Bank Corp. 1,639,611 99,401
J.C. Penney Co., Inc. 1,611,294 97,181
SunTrust Banks, Inc. 1,358,733 96,980
Illinois Tool Works, Inc. 1,609,490 96,771
- - Sun Microsystems, Inc. 2,425,955 96,735
Dayton-Hudson Corp. 1,405,778 94,890
Deere & Co. 1,626,586 94,850
Burlington Northern
Santa Fe Corp. 1,006,918 93,580
- - Amgen, Inc. 1,708,326 92,463
The Gap, Inc. 2,594,854 91,955
- - Viacom Inc. Class B 2,207,165 91,459
- - Tele-Communications, Inc.
Class A 3,269,655 91,346
National City Corp. 1,387,333 91,217
Baxter International, Inc. 1,805,380 91,059
Barnett Banks, Inc. 1,242,298 89,290
MBNA Corp. 3,233,634 88,319
BankBoston Corp. 937,054 88,025
Household International, Inc. 689,782 87,990
Halliburton Co. 1,687,343 87,636
- - EMC Corp. 3,192,069 87,582
PG&E Corp. 2,828,942 86,106
Raytheon Co. Class B 1,697,763 85,737
Enron Corp. 2,047,729 85,109
American General Corp. 1,568,824 84,815
The Chubb Corp. 1,113,754 84,228
Pitney Bowes, Inc. 933,649 83,970
International Paper Co. 1,944,337 83,850
CIGNA Corp. 477,771 82,684
Phillips Petroleum Co. 1,693,466 82,345
Marsh & McLennan Cos., Inc. 1,094,024 81,573
First Data Corp. 2,781,681 81,364
Fifth Third Bancorp 994,300 81,284
Waste Management Inc. 2,933,391 80,668
May Department Stores Co. 1,497,489 78,899
Aluminum Co. of America 1,121,084 78,896
Loews Corp. 742,016 78,746
Archer-Daniels-Midland Co. 3,605,066 78,185
- - 3Com Corp. 2,230,103 77,914
</TABLE>
25
<PAGE> 28
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------
MARKET
VALUE*
500 PORTFOLIO SHARES (000)
- ------------------------------------------------------------------------------------------------
<S> <C> <C>
- - AMR Corp. 593,214 $ 76,228
CSX Corp. 1,406,546 75,953
Albertson's, Inc. 1,580,207 74,862
Norfolk Southern Corp. 2,424,632 74,709
The Seagram Co. Ltd. 2,295,987 74,189
General Mills, Inc. 1,031,439 73,877
NIKE, Inc. Class B 1,869,415 73,375
Bankers Trust New York Corp. 643,199 72,320
Charles Schwab Corp. 1,712,025 71,798
The Hartford Financial Services
Group Inc. 761,645 71,261
CVS Corp. 1,111,010 71,174
- - Applied Materials, Inc. 2,343,748 70,605
- - HEALTHSOUTH Corp. 2,533,709 70,310
Rockwell International Corp. 1,344,041 70,226
Mattel, Inc. 1,875,707 69,870
FPL Group, Inc. 1,170,975 69,307
Aetna Inc. 965,666 68,140
Edison International 2,461,763 66,929
Textron, Inc. 1,062,450 66,403
PPG Industries, Inc. 1,155,482 66,007
Texas Utilities Co. 1,586,028 65,919
- - Tenet Healthcare Corp. 1,964,650 65,079
HBO & Co. 1,347,766 64,693
The Goodyear Tire & Rubber Co. 1,008,171 64,145
Occidental Petroleum Corp. 2,181,874 63,956
Ralston-Ralston Purina Group 687,406 63,886
Aon Corp. 1,081,085 63,379
Weyerhaeuser Co. 1,287,943 63,190
American Electric Power
Co., Inc. 1,223,364 63,156
USX-Marathon Group 1,860,877 62,805
- - ITT Corp. 751,828 62,308
Consolidated Edison Co. of
New York, Inc. 1,516,246 62,166
- - Tellabs, Inc. 1,169,859 61,856
Unocal Corp. 1,592,582 61,812
Comerica, Inc. 678,620 61,245
- - Costco Cos., Inc. 1,371,151 61,188
The Kroger Co. 1,644,483 60,743
State Street Corp. 1,037,524 60,371
United Healthcare Corp. 1,214,116 60,326
Service Corp. International 1,625,141 60,029
AMP, Inc. 1,419,586 59,623
Wrigley, (Wm.) Jr. Co. 746,317 59,379
Guidant Corp. 952,732 59,308
Williams Cos., Inc. 2,063,426 58,550
- ------------------------------------------------------------------------------------------------
TOTAL--200 LARGEST STOCKS 40,451,580
- ------------------------------------------------------------------------------------------------
- - Federated Department Stores 1,352,001 58,221
Air Products & Chemicals, Inc. 704,221 57,922
- - Toys R Us, Inc. 1,833,653 57,645
- - Boston Scientific Corp. 1,255,662 57,603
Hershey Foods Corp. 920,127 56,990
Marriott International 822,760 56,976
Delta Air Lines, Inc. 477,098 56,775
Honeywell, Inc. 820,117 56,178
Progressive Corp. of Ohio 465,783 55,836
Corning, Inc. 1,491,487 55,371
Conseco Inc. 1,214,567 55,187
Masco Corp. 1,060,917 53,974
Lowe's Cos., Inc. 1,125,140 53,655
SunAmerica Inc. 1,253,882 53,603
Cardinal Health, Inc. 704,878 52,954
The Clorox Co. 663,668 52,471
PacifiCorp 1,913,358 52,259
Avon Products, Inc. 850,651 52,209
Dover Corp. 1,427,535 51,570
Fort James Corp. 1,346,084 51,488
Lincoln National Corp. 658,901 51,477
Sysco Corp. 1,127,540 51,374
Dominion Resources, Inc. 1,205,021 51,289
Burlington Resources, Inc. 1,139,008 51,042
- - Clear Channel Communications 629,945 50,041
Northrop Grumman Corp. 430,907 49,554
ALLTEL Corp. 1,203,131 49,404
Tribune Co. 793,220 49,378
Houston Industries, Inc. 1,831,192 48,870
UNUM Corp. 897,306 48,791
MGIC Investment Corp. 732,857 48,735
Cincinnati Financial Corp. 345,086 48,571
Hilton Hotels Corp. 1,605,645 47,768
Dresser Industries, Inc. 1,131,665 47,459
Browning-Ferris Industries, Inc. 1,281,876 47,429
The McGraw-Hill Cos., Inc. 638,689 47,263
Baker Hughes, Inc. 1,083,164 47,253
Public Service Enterprise
Group, Inc. 1,490,380 47,226
Rite Aid Corp. 803,764 47,171
Cognizant Corp. 1,058,360 47,163
The Quaker Oats Co. 892,689 47,089
Entergy Corp. 1,572,390 47,073
Comcast Corp. Class A Special 1,490,926 47,057
BB&T Corp. 726,617 46,549
Praxair, Inc. 1,015,075 45,678
- - Federal Express Corp. 738,462 45,092
Barrick Gold Corp. 2,393,536 44,580
The Limited, Inc. 1,744,665 44,489
SAFECO Corp. 910,730 44,398
Eaton Corp. 496,452 44,308
St. Paul Cos., Inc. 539,096 44,240
Huntington Bancshares Inc. 1,227,380 44,186
UST, Inc. 1,188,987 43,918
Newell Co. 1,021,625 43,419
- - Thermo Electron Corp. 975,466 43,408
Transamerica Corp. 407,284 43,376
Ingersoll-Rand Co. 1,066,835 43,207
Tenneco, Inc. 1,092,789 43,165
- - FirstEnergy Corp. 1,480,193 42,926
Unicom Corp. 1,390,242 42,750
H.F. Ahmanson & Co. 632,385 42,330
TRW, Inc. 791,536 42,248
Coastal Corp. 680,622 42,156
Winn-Dixie Stores, Inc. 957,007 41,809
- - Computer Sciences Corp. 500,520 41,793
Crown Cork & Seal Co., Inc. 825,668 41,387
Carolina Power & Light Co. 973,495 41,313
Omnicom Group Inc. 962,400 40,782
Fortune Brands, Inc. 1,099,885 40,764
</TABLE>
26
<PAGE> 29
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ------------------------------------------------------------------------------------------------
<S> <C> <C>
New York Times Co. Class A 615,774 $ 40,718
Interpublic Group of Cos., Inc. 811,926 40,444
Alcan Aluminium Ltd. 1,457,720 40,270
Republic New York Corp. 352,189 40,216
Union Pacific Resources
Group, Inc. 1,629,523 39,516
Genuine Parts Co. 1,158,946 39,332
Becton, Dickinson & Co. 784,567 39,228
Pioneer Hi-Bred
International, Inc. 364,429 39,085
CINergy Corp. 1,012,503 38,792
- - Parametric Technology Corp. 817,869 38,747
Cooper Industries, Inc. 787,614 38,593
W.R. Grace & Co. 478,241 38,469
MBIA, Inc. 574,347 38,374
Rohm & Haas Co. 396,127 37,929
The Times Mirror Co. Class A 615,088 37,828
Torchmark Corp. 896,901 37,726
VF Corp. 814,529 37,417
Consolidated Natural Gas Co. 612,314 37,045
Central & South West Corp. 1,362,773 36,880
- - US Airways Group, Inc. 588,473 36,780
- - Digital Equipment Corp. 992,962 36,740
Georgia-Pacific Corp. 596,437 36,234
International Flavors &
Fragrances, Inc. 702,623 36,185
- - Kmart Corp. 3,125,335 36,137
TJX Cos., Inc. 1,048,404 36,039
American Stores Co. 1,748,465 35,953
Golden West Financial Corp. 364,244 35,628
Union Electric Co. 821,328 35,522
Jefferson-Pilot Corp. 454,680 35,408
- - Micron Technology, Inc. 1,352,842 35,174
General Dynamics Corp. 405,343 35,037
- ------------------------------------------------------------------------------------------------
TOTAL--300 LARGEST STOCKS 44,960,661
- ------------------------------------------------------------------------------------------------
R.R. Donnelley & Sons Co. 939,990 35,015
- - Bay Networks, Inc. 1,365,138 34,896
PECO Energy Corp. 1,430,584 34,692
Southwest Airlines Co. 1,406,343 34,631
Equifax, Inc. 970,201 34,382
Union Carbide Corp. 799,548 34,331
- - Owens-Illinois, Inc. 901,057 34,184
The Dun & Bradstreet Corp. 1,094,936 33,875
Dow Jones & Co., Inc. 621,329 33,358
Parker Hannifin Corp. 717,434 32,912
GPU, Inc. 775,393 32,663
DTE Energy Co. 932,907 32,360
Amerada Hess Corp. 589,333 32,340
Baltimore Gas & Electric Co. 948,199 32,298
Dana Corp. 677,572 32,185
Hercules, Inc. 641,617 32,121
W.W. Grainger, Inc. 321,464 31,242
Sherwin-Williams Co. 1,111,801 30,852
- - Seagate Technology 1,569,405 30,211
Eastman Chemical Co. 503,985 30,019
Nordstrom, Inc. 496,540 29,979
H & R Block, Inc. 667,642 29,919
Countrywide Credit
Industries, Inc. 696,379 29,857
Avery Dennison Corp. 662,992 29,669
Knight-Ridder, Inc. 568,381 29,556
Newmont Mining Corp. 1,002,796 29,457
Morton International, Inc. 856,899 29,456
Allegheny Teledyne Inc. 1,135,974 29,393
Case Corp. 482,534 29,163
Laidlaw, Inc. 2,112,594 28,784
- - Tricon Global Restaurants, Inc. 985,646 28,645
Reynolds Metals Co. 473,235 28,394
Beneficial Corp. 341,564 28,393
- - AutoZone Inc. 970,600 28,147
Northern States Power Co. 479,980 27,959
Columbia Gas Systems, Inc. 355,572 27,935
Champion International Corp. 615,846 27,906
Providian Financial Corp. 613,319 27,714
- - National Semiconductor Corp. 1,052,214 27,292
Nucor Corp. 564,707 27,282
The Stanley Works 572,117 26,997
Whirlpool Corp. 483,944 26,617
Tandy Corp. 687,187 26,500
PACCAR, Inc. 500,180 26,259
- - Mirage Resorts, Inc. 1,147,842 26,113
- - Western Atlas, Inc. 351,382 26,002
Ashland, Inc. 480,482 25,796
Johnson Controls, Inc. 539,597 25,766
Hasbro, Inc. 817,031 25,736
Sigma-Aldrich Corp. 643,813 25,592
Synovus Financial Corp. 776,178 25,420
PP&L Resources Inc. 1,060,243 25,380
Dillard's Inc. 719,849 25,375
Frontier Corp. 1,054,041 25,363
Sonat, Inc. 552,587 25,281
Harcourt General, Inc. 454,815 24,901
Brown-Forman Corp. Class B 443,504 24,504
Phelps Dodge Corp. 391,989 24,401
Raychem Corp. 564,379 24,304
Comcast Corp. Class A 760,722 24,248
Rubbermaid, Inc. 963,988 24,100
IKON Office Solutions 855,450 24,060
Raytheon Co. Class A 487,755 24,052
Union Camp Corp. 446,024 23,946
Maytag Corp. 641,361 23,931
ITT Industries, Inc. 759,240 23,821
- - Ceridian Corp. 516,487 23,662
Black & Decker Corp. 605,317 23,645
Harris Corp. 510,725 23,430
Anadarko Petroleum Corp. 383,207 23,256
Ecolab, Inc. 415,562 23,038
Willamette Industries, Inc. 713,258 22,958
Green Tree Financial Corp. 872,221 22,841
Circuit City Stores, Inc. 632,246 22,484
- - Humana, Inc. 1,049,443 21,776
- - KLA-Tencor Corp. 544,616 21,036
Westvaco Corp. 654,876 20,588
Wendy's International, Inc. 845,733 20,350
Apache Corp. 579,064 20,303
Pennzoil Co. 302,534 20,213
Fluor Corp. 539,161 20,151
Pacific Enterprises 534,974 20,128
</TABLE>
27
<PAGE> 30
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------
MARKET
VALUE*
500 PORTFOLIO SHARES (000)
- ------------------------------------------------------------------------------------------------
<S> <C> <C>
Perkin-Elmer Corp. 281,782 $ 20,024
Sun Co., Inc. 468,258 19,696
Armstrong World Industries Inc. 262,597 19,629
Placer Dome, Inc. 1,537,887 19,512
Kerr-McGee Corp. 306,172 19,385
Brunswick Corp. 637,796 19,333
Adobe Systems, Inc. 467,974 19,304
The BFGoodrich Co. 465,017 19,269
Temple-Inland Inc. 367,008 19,199
Liz Claiborne, Inc. 457,394 19,125
American Greetings Corp.
Class A 487,208 19,062
The Mead Corp. 671,774 18,810
Deluxe Corp. 531,427 18,334
Biomet, Inc. 714,385 18,306
Inco Ltd. 1,072,234 18,228
- - DSC Communications Corp. 752,554 18,061
- - LSI Logic Corp. 911,964 18,011
- - St. Jude Medical, Inc. 588,142 17,938
- ------------------------------------------------------------------------------------------------
TOTAL--400 LARGEST STOCKS 47,539,678
- ------------------------------------------------------------------------------------------------
Mallinckrodt, Inc. 471,152 17,904
- - Woolworth Corp. 867,180 17,669
Freeport-McMoRan Copper &
Gold Inc. Class B 1,120,028 17,640
- - ALZA Corp. 545,970 17,369
- - Oryx Energy Co. 676,881 17,260
Great Lakes Chemical Corp. 383,656 17,217
USX-U.S. Steel Group, Inc. 550,432 17,201
Snap-On Inc. 393,323 17,159
Nalco Chemical Co. 429,448 16,990
Whitman Corp. 651,204 16,972
- - Rowan Cos., Inc. 555,598 16,946
- - NextLevel Systems, Inc. 945,906 16,908
Pall Corp. 816,973 16,901
- - Novell, Inc. 2,241,508 16,811
Thomas & Betts Corp. 352,410 16,651
Ryder System, Inc. 501,195 16,414
SuperValu Inc. 389,443 16,308
- - Advanced Micro Devices, Inc. 905,032 16,234
- - FMC Corp. 241,013 16,223
Engelhard Corp. 926,644 16,100
USF&G Corp. 726,933 16,038
- - Unisys Corp. 1,122,674 15,577
- - Cabletron Systems, Inc. 1,012,495 15,187
- - Silicon Graphics, Inc. 1,205,914 14,999
Bemis Co., Inc. 340,316 14,995
Echlin, Inc. 404,238 14,628
National Service Industries, Inc. 293,842 14,564
Cummins Engine Co., Inc. 245,890 14,523
Mercantile Stores Co., Inc. 236,001 14,367
Manor Care Inc. 408,790 14,308
U.S. Surgical Corp. 488,032 14,305
Polaroid Corp. 293,573 14,293
Bausch & Lomb, Inc. 356,124 14,111
Allergan, Inc. 416,296 13,972
- - Andrew Corp. 577,618 13,863
The Timken Co. 403,133 13,858
General Signal Corp. 323,631 13,653
King World Productions, Inc. 235,519 13,601
Louisiana-Pacific Corp. 702,467 13,347
NICOR, Inc. 311,642 13,147
McDermott International, Inc. 355,435 13,018
Giant Food, Inc. Class A 384,268 12,945
Crane Co. 293,878 12,747
Tektronix, Inc. 320,780 12,731
Cooper Tire & Rubber Co. 504,218 12,290
Meredith Corp. 343,222 12,249
Darden Restaurants Inc. 979,591 12,245
- - Fruit of the Loom, Inc. 476,491 12,210
- - Harrah's Entertainment, Inc. 646,199 12,197
Caliber System Inc. 249,635 12,154
- - Navistar International Corp. 485,177 12,038
Centex Corp. 191,227 12,035
Owens Corning 341,527 11,655
C.R. Bard, Inc. 368,739 11,546
Alberto-Culver Co. Class B 359,011 11,511
Autodesk, Inc. 306,960 11,358
Harnischfeger Industries Inc. 316,822 11,188
Tupperware Corp. 393,189 10,960
Helmerich & Payne, Inc. 160,244 10,877
Boise Cascade Corp. 356,013 10,769
- - Apple Computer, Inc. 815,245 10,700
Shared Medical Systems Corp. 159,949 10,557
- - Reebok International Ltd. 359,926 10,370
Safety-Kleen Corp. 373,584 10,250
Worthington Industries, Inc. 619,121 10,216
Fleetwood Enterprises, Inc. 230,357 9,776
- - Niagara Mohawk Power Corp. 925,832 9,721
Pep Boys (Manny, Moe & Jack) 405,153 9,673
Millipore Corp. 278,755 9,460
Cyprus Amax Minerals Co. 601,256 9,244
Peoples Energy Corp. 225,087 8,863
Aeroquip-Vickers Inc. 180,102 8,836
Battle Mountain Gold Co.
Class A 1,475,146 8,666
Moore Corp. Ltd. 569,498 8,614
Homestake Mining Co. 939,456 8,338
Scientific-Atlanta, Inc. 497,126 8,327
Longs Drug Stores, Inc. 252,591 8,114
Potlatch Corp. 185,328 7,969
Briggs & Stratton Corp. 163,539 7,942
Adolph Coors Co. Class B 237,522 7,898
ONEOK, Inc. 195,195 7,881
Great Atlantic & Pacific Tea
Co., Inc. 244,984 7,273
Foster Wheeler Corp. 260,551 7,051
Ball Corp. 193,744 6,842
Springs Industries Inc. Class A 129,257 6,721
- - Stone Container Corp. 633,682 6,614
Cincinnati Milacron, Inc. 254,840 6,610
- - Bethlehem Steel Corp. 723,023 6,236
Russell Corp. 233,302 6,197
ASARCO, Inc. 274,635 6,162
EG&G, Inc. 294,651 6,132
Eastern Enterprises 130,124 5,856
Jostens Inc. 251,638 5,803
Pulte Corp. 134,739 5,634
NACCO Industries, Inc. Class A 52,419 5,619
</TABLE>
28
<PAGE> 31
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ------------------------------------------------------------------------------------------------
<S> <C> <C>
Kaufman & Broad Home Corp. 249,483 $ 5,598
- - Data General Corp. 307,846 5,368
Inland Steel Industries, Inc. 311,005 5,326
John H. Harland Co. 198,898 4,177
- - UNOVA, Inc. 243,471 4,002
- - Beverly Enterprises, Inc. 268,385 3,489
- - Armco, Inc. 686,225 3,388
- - Charming Shoppes, Inc. 678,944 3,183
- - Viacom Inc. Class A 71,693 2,930
Freeport-McMoRan Copper &
Gold, Inc. Class A 172,483 2,641
- - Echo Bay Mines Ltd. 896,813 2,186
- - PharMerica, Inc. 189,887 1,970
CIPSCO, Inc. 41,500 1,836
Alberto-Culver Co. Class A 1,000 27
- - Fresenius National Medical
Care Pfd. 235,422 14
- ------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS (98.7%)(1)
(COST $30,767,380) 48,730,914
- ------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT
(000)
- ------------------------------------------------------------------------------------------------
TEMPORARY CASH INVESTMENTS (1.5%)
- ------------------------------------------------------------------------------------------------
<S> <C> <C>
U.S. TREASURY BILLS
(2)4.90%, 1/8/1998 $ 9,100 9,094
(2)5.02%, 1/22/1998 27,100 27,024
REPURCHASE AGREEMENTS
Collateralized by U.S. Government
Obligations in a Pooled
Cash Account
6.54%, 1/2/1998 671,758 671,758
6.55%, 1/2/1998--Note F 48,183 48,183
- ------------------------------------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(COST $756,052) 756,059
- ------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS (100.2%)
(COST $31,523,432) 49,486,973
- ------------------------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-0.2%)
- ------------------------------------------------------------------------------------------------
Other Assets--Note B 389,797
Liabilities--Note F (519,147)
------------
(129,350)
- ------------------------------------------------------------------------------------------------
NET ASSETS (100%)
- ------------------------------------------------------------------------------------------------
Applicable to 547,989,547 outstanding
shares of beneficial interest
(unlimited authorization) $49,357,623
================================================================================================
NET ASSET VALUE PER SHARE $90.07
================================================================================================
</TABLE>
*See Note A in Notes to Financial Statements.
- -Non-Income-Producing Security.
(1)The combined market value of common stocks and S&P 500 Index futures
represents 99.9% of net assets.
(2)Securities with an aggregate value of $36,118,000 have been segregated as
initial margin for open futures contracts.
ADR--American Depositary Receipt.
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------
AMOUNT PER
(000) SHARE
- ------------------------------------------------------------------------------------------------
AT DECEMBER 31, 1997, NET ASSETS CONSISTED OF:
- ------------------------------------------------------------------------------------------------
<S> <C> <C>
Paid in Capital--Notes A and D $31,354,591 $57.22
Overdistributed Net Investment
Income--Notes A and D (5,129) (.01)
Accumulated Net Realized
Gains--Note D 44,740 .08
Unrealized Appreciation
(Depreciation)--Note E
Investment Securities 17,963,541 32.78
Futures Contracts (120) --
- ------------------------------------------------------------------------------------------------
NET ASSETS $49,357,623 $90.07
================================================================================================
</TABLE>
29
<PAGE> 32
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 GROWTH VALUE
PORTFOLIO PORTFOLIO* PORTFOLIO*
-----------------------------------------
YEAR ENDED DECEMBER 31, 1997
-----------------------------------------
(000) (000) (000)
- -----------------------------------------------------------------------------------------------------
INVESTMENT INCOME
INCOME
<S> <C> <C> <C>
Dividends $ 713,189 $ 21,992 $ 31,413
Interest 39,381 783 398
-----------------------------------------
Total Income 752,570 22,775 31,811
-----------------------------------------
EXPENSES
The Vanguard Group--Note B
Investment Advisory Services 67 22 22
Management and Administrative 65,356 2,722 2,360
Marketing and Distribution 10,495 425 363
Custodian Fees 227 50 28
Auditing Fees 55 8 9
Shareholders' Reports 1,276 43 44
Annual Meeting and Proxy Costs 315 21 14
Trustees' Fees and Expenses 87 4 3
-----------------------------------------
Total Expenses 77,878 3,295 2,843
- -----------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 674,692 19,480 28,968
- -----------------------------------------------------------------------------------------------------
REALIZED NET GAIN
Investment Securities Sold 852,889 18,081 69,353
Futures Contracts 188,714 712 1,154
- -----------------------------------------------------------------------------------------------------
REALIZED NET GAIN 1,041,603 18,793 70,507
- -----------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Investment Securities 9,507,664 403,420 258,867
Futures Contracts 321 (39) (26)
- -----------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) 9,507,985 403,381 258,841
- -----------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $11,224,280 $441,654 $358,316
=====================================================================================================
</TABLE>
*The Statements of Net Assets for the Growth and Value Portfolios, an integral
part of the Financial Statements for each Portfolio, and the Report of
Independent Accountants are included as an insert to this report.
30
<PAGE> 33
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------
SMALL
EXTENDED CAPITALIZATION TOTAL STOCK
MARKET STOCK MARKET
PORTFOLIO* PORTFOLIO* PORTFOLIO*
-----------------------------------------------------
YEAR ENDED DECEMBER 31, 1997
-----------------------------------------------------
(000) (000) (000)
- ----------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
INCOME
<S> <C> <C> <C>
Dividends $ 31,436 $ 29,590 $ 75,622
Interest 8,215 6,250 16,359
-----------------------------------------------------
Total Income 39,651 35,840 91,981
-----------------------------------------------------
EXPENSES
The Vanguard Group--Note B
Investment Advisory Services 53 67 56
Management and Administrative 2,516 2,347 4,738
Shareholder Account Maintenance--Investor Shares 2,426 1,947 3,202
Shareholder Account Maintenance--Institutional Shares 1 -- 1
Marketing and Distribution--Investor Shares 565 519 1,144
Marketing and Distribution--Institutional Shares 10 4 28
Custodian Fees 149 73 213
Auditing Fees 10 9 11
Shareholders' Reports--Investor Shares 77 71 69
Shareholders' Reports--Institutional Shares -- -- --
Annual Meeting and Proxy Costs--Investor Shares 20 22 33
Annual Meeting and Proxy Costs--Institutional Shares -- -- --
Trustees' Fees and Expenses 6 5 10
-----------------------------------------------------
Total Expenses 5,833 5,064 9,505
- ----------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 33,818 30,776 82,476
- ----------------------------------------------------------------------------------------------------------------
REALIZED NET GAIN
Investment Securities Sold 175,322 124,717 26,749
Futures Contracts 19,002 11,047 50,766
- ----------------------------------------------------------------------------------------------------------------
REALIZED NET GAIN 194,324 135,764 77,515
- ----------------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Investment Securities 379,546 300,107 1,114,860
Futures Contracts 399 681 780
- ----------------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) 379,945 300,788 1,115,640
- ----------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $608,087 $467,328 $1,275,631
================================================================================================================
</TABLE>
*The Statements of Net Assets for the Extended Market, Small Capitalization
Stock, and Total Stock Market Portfolios, an integral part of the Financial
Statements for each Portfolio, and the Report of Independent Accountants are
included as an insert to this report.
31
<PAGE> 34
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
----------------------------- ----------------------
YEAR ENDED DECEMBER 31,
----------------------------------------------------------
1997 1996 1997 1996
(000) (000) (000) (000)
- ----------------------------------------------------------------------------------------------------------------------
INCREASE IN NET ASSETS
OPERATIONS
<S> <C> <C> <C> <C>
Net Investment Income $ 674,692 $ 482,116 $ 19,480 $ 8,117
Realized Net Gain 1,041,603 540,258 18,793 6,444
Change in Unrealized Appreciation (Depreciation) 9,507,985 3,961,266 403,381 97,843
----------------------------------------------------------
Net Increase in Net Assets Resulting
from Operations 11,224,280 4,983,640 441,654 112,404
----------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (679,820) (510,308) (20,049) (8,068)
Realized Capital Gain (315,842) (103,232) (25,678) (5,200)
----------------------------------------------------------
Total Distributions (995,662) (613,540) (45,727) (13,268)
----------------------------------------------------------
NET EQUALIZATION CREDITS--Note A -- 36,930 -- --
----------------------------------------------------------
CAPITAL SHARE TRANSACTIONS(1)
Issued 15,607,963 12,313,689 1,584,042 534,984
Issued in Lieu of Cash Distributions 918,542 561,779 42,674 12,443
Redeemed (7,729,352) (4,322,481) (444,214) (130,661)
----------------------------------------------------------
Net Increase from Capital Share Transactions 8,797,153 8,552,987 1,182,502 416,766
- ----------------------------------------------------------------------------------------------------------------------
Total Increase 19,025,771 12,960,017 1,578,429 515,902
- ----------------------------------------------------------------------------------------------------------------------
NET ASSETS
Beginning of Year 30,331,852 17,371,835 786,904 271,002
----------------------------------------------------------
End of Year $49,357,623 $30,331,852 $2,365,333 $ 786,904
======================================================================================================================
(1)Shares Issued (Redeemed)
Issued 193,975 197,182 77,631 34,801
Issued in Lieu of Cash Distributions 10,883 8,437 1,992 772
Redeemed (95,387) (68,675) (21,190) (8,427)
----------------------------------------------------------
Net Increase in Shares Outstanding 109,471 136,944 58,433 27,146
======================================================================================================================
</TABLE>
32
<PAGE> 35
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
VALUE EXTENDED MARKET
PORTFOLIO PORTFOLIO
---------------------------------- --------------------------------
YEAR ENDED DECEMBER 31,
--------------------------------------------------------------------------
1997 1996 1997 1996
(000) (000) (000) (000)
- -----------------------------------------------------------------------------------------------------------------------------------
INCREASE IN NET ASSETS
OPERATIONS
<S> <C> <C> <C> <C>
Net Investment Income $ 28,968 $ 19,198 $ 33,818 $ 25,868
Realized Net Gain 70,507 46,863 194,324 135,342
Change in Unrealized Appreciation (Depreciation) 258,841 88,860 379,945 133,530
--------------------------------------------------------------------------
Net Increase in Net Assets Resulting
from Operations 358,316 154,921 608,087 294,740
--------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income
Investor Shares (28,623) (19,729) (30,699) (25,620)
Institutional Shares -- -- (3,960) --
Realized Capital Gain
Investor Shares (57,217) (28,488) (162,387) (127,262)
Institutional Shares -- -- (16,436) --
--------------------------------------------------------------------------
Total Distributions (85,840) (48,217) (213,482) (152,882)
--------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS--INVESTOR SHARES(1)
Issued 699,054 537,032 760,022 690,749
Issued in Lieu of Cash Distributions 79,396 44,164 178,435 139,754
Redeemed (271,112) (168,500) (709,687) (396,736)
--------------------------------------------------------------------------
Net Increase--Investor Shares 507,338 412,696 228,770 433,767
--------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS--INSTITUTIONAL SHARES(2)
Issued -- -- 414,169 --
Issued in Lieu of Cash Distributions -- -- 16,714 --
Redeemed -- -- (15,617) --
--------------------------------------------------------------------------
Net Increase--Institutional Shares -- -- 415,266 --
- -----------------------------------------------------------------------------------------------------------------------------------
Total Increase 779,814 519,400 1,038,641 575,625
- -----------------------------------------------------------------------------------------------------------------------------------
NET ASSETS
Beginning of Year 1,015,727 496,327 2,098,838 1,523,213
--------------------------------------------------------------------------
End of Year $1,795,541 $1,015,727 $3,137,479 $2,098,838
===================================================================================================================================
(1)Shares Issued (Redeemed)--Investor Shares
Issued 36,479 34,020 26,118 26,677
Issued in Lieu of Cash Distributions 4,104 2,679 6,168 5,423
Redeemed (14,119) (10,585) (23,876) (15,254)
--------------------------------------------------------------------------
Net Increase in Shares Outstanding 26,464 26,114 8,410 16,846
===================================================================================================================================
(2)Shares Issued (Redeemed)--Institutional Shares
Issued -- -- 13,413 --
Issued in Lieu of Cash Distributions -- -- 563 --
Redeemed -- -- (494) --
--------------------------------------------------------------------------
Net Increase in Shares Outstanding -- -- 13,482 --
===================================================================================================================================
</TABLE>
33
<PAGE> 36
STATEMENT OF CHANGES IN NET ASSETS (CONTINUED)
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
SMALL CAPITALIZATION TOTAL STOCK
STOCK PORTFOLIO MARKET PORTFOLIO
----------------------------------- -------------------------------
YEAR ENDED DECEMBER 31,
--------------------------------------------------------------------------
1997 1996 1997 1996
(000) (000) (000) (000)
- -----------------------------------------------------------------------------------------------------------------------------------
INCREASE IN NET ASSETS
OPERATIONS
<S> <C> <C> <C> <C>
Net Investment Income $ 30,776 $ 20,555 $ 82,476 $ 47,501
Realized Net Gain 135,764 108,296 77,515 27,380
Change in Unrealized Appreciation (Depreciation) 300,788 83,327 1,115,640 412,119
--------------------------------------------------------------------------
Net Increase in Net Assets Resulting
from Operations 467,328 212,178 1,275,631 487,000
--------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income
Investor Shares (29,087) (21,098) (69,922) (47,409)
Institutional Shares (1,576) -- (13,602) --
Realized Capital Gain
Investor Shares (117,255) (109,741) (58,866) (19,087)
Institutional Shares (5,745) -- (15,029) --
--------------------------------------------------------------------------
Total Distributions (153,663) (130,839) (157,419) (66,496)
--------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS--INVESTOR SHARES(1)
Issued 1,116,438 751,887 2,180,759 1,778,726
Issued in Lieu of Cash Distributions 134,803 121,326 119,225 61,058
Redeemed (624,747) (212,431) (1,825,752) (300,321)
--------------------------------------------------------------------------
Net Increase--Investor Shares 626,494 660,782 474,232 1,539,463
--------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS--INSTITUTIONAL SHARES(2)
Issued 153,934 -- 1,491,188 --
Issued in Lieu of Cash Distributions 6,664 -- 27,855 --
Redeemed (24,817) -- (45,886) --
--------------------------------------------------------------------------
Net Increase--Institutional Shares 135,781 -- 1,473,157 --
- -----------------------------------------------------------------------------------------------------------------------------------
Total Increase 1,075,940 742,121 3,065,601 1,959,967
- -----------------------------------------------------------------------------------------------------------------------------------
NET ASSETS
Beginning of Year 1,713,354 971,233 3,530,856 1,570,889
--------------------------------------------------------------------------
End of Year $2,789,294 $1,713,354 $ 6,596,457 $3,530,856
===================================================================================================================================
(1)Shares Issued (Redeemed)--Investor Shares
Issued 48,530 37,170 104,873 109,053
Issued in Lieu of Cash Distributions 5,919 6,100 5,629 3,572
Redeemed (27,476) (10,771) (84,266) (18,391)
--------------------------------------------------------------------------
Net Increase in Shares Outstanding 26,973 32,499 26,236 94,234
===================================================================================================================================
(2)Shares Issued (Redeemed)--Institutional Shares
Issued 6,462 -- 67,190 --
Issued in Lieu of Cash Distributions 291 -- 1,268 --
Redeemed (991) -- (2,045) --
--------------------------------------------------------------------------
Net Increase in Shares Outstanding 5,762 -- 66,413 --
===================================================================================================================================
</TABLE>
34
<PAGE> 37
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. Finally, the table lists the Portfolio's Average
Commission Rate Paid, a disclosure required by the Securities and Exchange
Commission beginning in 1996. This rate is calculated by dividing total
commissions paid on portfolio securities by the total number of shares
purchased and sold on which commissions were charged.
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
500 PORTFOLIO
YEAR ENDED DECEMBER 31,
-------------------------------------------------------------------
FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR 1997 1996 1995 1994 1993
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF YEAR $69.17 $57.60 $42.97 $43.83 $40.97
- -----------------------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income 1.31 1.28 1.22 1.18 1.13
Net Realized and Unrealized Gain (Loss) on Investments 21.50 11.82 14.76 (.67) 2.89
-------------------------------------------------------------------
Total from Investment Operations 22.81 13.10 15.98 .51 4.02
-------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (1.32) (1.28) (1.22) (1.17) (1.13)
Distributions from Realized Capital Gains (.59) (.25) (.13) (.20) (.03)
-------------------------------------------------------------------
Total Distributions (1.91) (1.53) (1.35) (1.37) (1.16)
- -----------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF YEAR $90.07 $69.17 $57.60 $42.97 $43.83
===================================================================================================================================
TOTAL RETURN* 33.19% 22.88% 37.45% 1.18% 9.89%
===================================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Year (Millions) $49,358 $30,332 $17,372 $9,356 $8,273
Ratio of Total Expenses to Average Net Assets 0.19% 0.20% 0.20% 0.19% 0.19%
Ratio of Net Investment Income to Average Net Assets 1.66% 2.04% 2.38% 2.72% 2.65%
Portfolio Turnover Rate** 5% 5% 4% 6% 6%
Average Commission Rate Paid $.0181 $.0166 N/A N/A N/A
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Total return figures do not reflect the annual account maintenance fee of $10.
**Portfolio turnover rates excluding in-kind redemptions were 3%, 2%, 2%, 4%,
and 2%, respectively.
35
<PAGE> 38
FINANCIAL HIGHLIGHTS (CONTINUED)
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
GROWTH PORTFOLIO
YEAR ENDED DECEMBER 31,
-------------------------------------------------------------------
FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR 1997 1996 1995 1994 1993
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF YEAR $16.90 $13.97 $10.28 $10.20 $10.26
- -----------------------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .23 .22 .21 .21 .21
Net Realized and Unrealized Gain (Loss) on Investments 5.88 3.07 3.68 .08 (.06)
-------------------------------------------------------------------
Total from Investment Operations 6.11 3.29 3.89 .29 .15
-------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.23) (.22) (.20) (.21) (.21)
Distributions from Realized Capital Gains (.25) (.14) -- -- --
-------------------------------------------------------------------
Total Distributions (.48) (.36) (.20) (.21) (.21)
- -----------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF YEAR $22.53 $16.90 $13.97 $10.28 $10.20
===================================================================================================================================
TOTAL RETURN* 36.34% 23.74% 38.06% 2.89% 1.53%
===================================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Year (Millions) $2,365 $787 $271 $86 $51
Ratio of Total Expenses to Average Net Assets 0.20% 0.20% 0.20% 0.20% 0.20%
Ratio of Net Investment Income to Average Net Assets 1.19% 1.57% 1.71% 2.08% 2.10%
Portfolio Turnover Rate 26% 29% 24% 28% 36%
Average Commission Rate Paid $.0134 $.0183 N/A N/A N/A
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
*Total return figures do not reflect the annual account maintenance fee of $10.
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
VALUE PORTFOLIO
YEAR ENDED DECEMBER 31,
-------------------------------------------------------------------
FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR 1997 1996 1995 1994 1993
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF YEAR $17.02 $14.79 $11.12 $11.74 $10.30
- -----------------------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .38 .37 .41 .38 .38
Net Realized and Unrealized Gain (Loss) on Investments 4.57 2.81 3.66 (.46) 1.50
-------------------------------------------------------------------
Total from Investment Operations 4.95 3.18 4.07 (.08) 1.88
-------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.37) (.38) (.40) (.38) (.38)
Distributions from Realized Capital Gains (.75) (.57) -- (.16) (.06)
-------------------------------------------------------------------
Total Distributions (1.12) (.95) (.40) (.54) (.44)
- -----------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF YEAR $20.85 $17.02 $14.79 $11.12 $11.74
===================================================================================================================================
TOTAL RETURN* 29.77% 21.86% 36.94% -0.73% 18.35%
===================================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Year (Millions) $1,796 $1,016 $496 $297 $190
Ratio of Total Expenses to Average Net Assets 0.20% 0.20% 0.20% 0.20% 0.20%
Ratio of Net Investment Income to Average Net Assets 2.05% 2.54% 3.06% 3.37% 3.26%
Portfolio Turnover Rate 25% 29% 27% 32% 30%
Average Commission Rate Paid $.0149 $.0188 N/A N/A N/A
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
*Total return figures do not reflect the annual account maintenance fee of $10.
36
<PAGE> 39
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
EXTENDED MARKET PORTFOLIO-INVESTOR SHARES
YEAR ENDED DECEMBER 31,
-------------------------------------------------------------------
FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR 1997 1996 1995 199 1993
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF YEAR $26.20 $24.07 $18.52 $19.43 $17.35
- -----------------------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .351 .34 .30 .28 .23
Net Realized and Unrealized Gain (Loss) on Investments 6.479 3.85 5.95 (.62) 2.28
-------------------------------------------------------------------
Total from Investment Operations 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 (1.910) (1.72) (.40) (.29) (.20)
-------------------------------------------------------------------
Total Distributions (2.270) (2.06) (.70) (.57) (.43)
- -----------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF YEAR $30.76 $26.20 $24.07 $18.52 $19.43
===================================================================================================================================
TOTAL RETURN* 26.73% 17.65% 33.80% -1.76% 14.49%
===================================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Year (Millions) $2,723 $2,099 $1,523 $967 $928
Ratio of Total Expenses to Average Net Assets 0.23% 0.25% 0.25% 0.20% 0.20%
Ratio of Net Investment Income to Average Net Assets 1.30% 1.42% 1.51% 1.51% 1.48%
Portfolio Turnover Rate 15%** 22% 15% 19% 13%
Average Commission Rate Paid $.0228 $.0235 N/A N/A N/A
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Total return figures do not reflect transaction fees on purchases (0.25% from
November 3, 1997, through December 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%.
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
EXTENDED MARKET PORTFOLIO-INSTITUTIONAL SHARES
JUL. 7* TO
FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD DEC. 31, 1997
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $29.28
- -----------------------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .200
Net Realized and Unrealized Gain (Loss) on Investments 3.191
-----------
Total from Investment Operations 3.391
-----------
DISTRIBUTIONS
Dividends from Net Investment Income (.371)
Distributions from Realized Capital Gains (1.540)
-----------
Total Distributions (1.911)
- -----------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $30.76
===================================================================================================================================
TOTAL RETURN** 11.82%
===================================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $415
Ratio of Total Expenses to Average Net Assets 0.10%+
Ratio of Net Investment Income to Average Net Assets 1.43%+
Portfolio Turnover Rate 15%++
Average Commission Rate Paid $.0228
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Inception.
**Total return does not reflect transaction fees on purchases (0.25% from
November 3, 1997, through December 31, 1997; 0.5% from inception through
October 31, 1997).
+ Annualized.
++Portfolio turnover rate excluding in-kind redemptions was 14%.
37
<PAGE> 40
FINANCIAL HIGHLIGHTS (CONTINUED)
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------
SMALL CAPITALIZATION STOCK PORTFOLIO-INVESTOR SHARES
YEAR ENDED DECEMBER 31,
------------------------------ FEB. 1* TO OCT. 1, 1993 TO YEAR ENDED
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 1997 1996 1995 DEC. 31, 1994 JAN. 31, 1994 SEP. 30, 1993
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $20.23 $18.61 $14.99 $16.24 $16.23 $12.63
- ------------------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .277 .26 .24 .20 .05 .20
Net Realized and Unrealized Gain (Loss)
on Investments 4.632 3.07 4.06 (.86) .96 3.73
------------------------------------------------------------------------------
Total from Investment Operations 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 (1.115) (1.44) (.45) (.37) (.82) (.15)
------------------------------------------------------------------------------
Total Distributions (1.389) (1.71) (.68) (.59) (1.00) (.33)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $23.75 $20.23 $18.61 $14.99 $16.24 $16.23
==============================================================================================================================
TOTAL RETURN** 24.59% 18.12% 28.74% -4.00% 6.65% 31.60%
==============================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $2,652 $1,713 $971 $605 $533 $432
Ratio of Total Expenses to
Average Net Assets 0.23% 0.25% 0.25% 0.17%+ 0.18%+ 0.18%
Ratio of Net Investment Income to
Average Net Assets 1.38% 1.51% 1.58% 1.50%+ 1.16%+ 1.47%
Portfolio Turnover Rate 29% 28% 28% 25% 5% 26%
Average Commission Rate Paid $.0226 $.0245 N/A N/A N/A N/A
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Date of reorganization of Vanguard Small Capitalization Stock Fund into
Vanguard Index Trust-Small Capitalization Stock Portfolio.
**Total return figures do not reflect transaction fees on purchases (0.5% in
1997, 1.0% in 1993 through 1996) or the annual account maintenance fee of $10.
+ Annualized.
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
SMALL CAPITALIZATION STOCK PORTFOLIO-INSTITUTIONAL SHARES
JUL. 7* TO
FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD DEC. 31, 1997
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $22.56
- -----------------------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .158
Net Realized and Unrealized Gain (Loss) on Investments 2.370
-----------
Total from Investment Operations 2.528
-----------
DISTRIBUTIONS
Dividends from Net Investment Income (.288)
Distributions from Realized Capital Gains (1.050)
-----------
Total Distributions (1.338)
- -----------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $23.75
===================================================================================================================================
TOTAL RETURN** 11.42%
===================================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $137
Ratio of Total Expenses to Average Net Assets 0.12%+
Ratio of Net Investment Income to Average Net Assets 1.52%+
Portfolio Turnover Rate 29%
Average Commission Rate Paid $.0226
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
*Inception.
**Total return does not reflect the 0.5% transaction fee on purchases.
+Annualized.
38
<PAGE> 41
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
TOTAL STOCK MARKET PORTFOLIO-INVESTOR SHARES
YEAR ENDED DECEMBER 31,
-------------------------------------------------------------------
FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR 1997 1996 1995 1994 1993
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF YEAR $17.77 $15.04 $11.37 $11.69 $10.84
- -----------------------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .319 .29 .29 .27 .26
Net Realized and Unrealized Gain (Loss) on Investments 5.143 2.84 3.75 (.29) .88
-------------------------------------------------------------------
Total from Investment Operations 5.462 3.13 4.04 (.02) 1.14
-------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.322) (.29) (.28) (.27) (.26)
Distributions from Realized Capital Gains (.270) (.11) (.09) (.03) (.03)
-------------------------------------------------------------------
Total Distributions (.592) (.40) (.37) (.30) (.29)
- -----------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF YEAR $22.64 $17.77 $15.04 $11.37 $11.69
===================================================================================================================================
TOTAL RETURN* 30.99% 20.96% 35.79% -0.17% 10.62%
===================================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Year (Millions) $5,092 $3,531 $1,571 $786 $512
Ratio of Total Expenses to Average Net Assets 0.20% 0.22% 0.25% 0.20% 0.20%
Ratio of Net Investment Income to Average Net Assets 1.65% 1.86% 2.14% 2.35% 2.31%
Portfolio Turnover Rate 2% 3% 3% 2% 1%
Average Commission Rate Paid $.0177 $.0216 N/A N/A N/A
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
*Total return figures do not reflect the 0.25% transaction fee on purchases
through 1995 or the annual account maintenance fee of $10.
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
TOTAL STOCK MARKET PORTFOLIO-INSTITUTIONAL SHARES
JUL. 7* TO
FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD DEC. 31, 1997
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $21.27
- -----------------------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .172
Net Realized and Unrealized Gain (Loss) on Investments 1.642
-----------
Total from Investment Operations 1.814
-----------
DISTRIBUTIONS
Dividends from Net Investment Income (.214)
Distributions from Realized Capital Gains (.230)
-----------
Total Distributions (.444)
- -----------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $22.64
===================================================================================================================================
TOTAL RETURN 8.60%
===================================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $1,504
Ratio of Total Expenses to Average Net Assets 0.10%**
Ratio of Net Investment Income to Average Net Assets 1.70%**
Portfolio Turnover Rate 2%
Average Commission Rate Paid $.0177
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Inception.
**Annualized.
39
<PAGE> 42
NOTES TO FINANCIAL STATEMENTS
Vanguard Index Trust is registered under the Investment Company Act of 1940 as
a diversified open-end investment company, or mutual fund, and comprises the
500, Growth, Value, Extended Market, Small Capitalization Stock, and Total
Stock Market Portfolios.
A. The following significant accounting policies conform to generally
accepted accounting principles for mutual funds. The Trust consistently follows
such policies in preparing its financial statements.
1. SECURITY VALUATION: Securities 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; securities not traded
on the valuation date are valued at the mean of the latest quoted bid and asked
prices. Temporary cash investments acquired over 60 days to maturity are valued
using the latest bid prices or using valuations based on a matrix system (which
considers such factors as security prices, yields, maturities, and ratings),
both as furnished by independent pricing services. Other temporary cash
investments are valued at amortized cost, which approximates market value.
2. FEDERAL INCOME TAXES: Each Portfolio intends to continue to qualify
as a regulated investment company and distribute all of its taxable income.
Accordingly, no provision for federal income taxes is required in the financial
statements.
3. EQUALIZATION: Prior to January 1997, the 500 Portfolio followed the
accounting practice known as "equalization," under which a portion of the price
of capital shares issued and redeemed, equivalent to undistributed net
investment income per share on the date of the transaction, was credited or
charged to undistributed net investment income. As a result, undistributed
income per share was unaffected by capital share transactions. As of January 1,
1997, the Portfolio has discontinued equalization accounting and has
reclassified accumulated net equalization credits of $100,559,000 from
undistributed net investment income to paid in capital. This reclassification
has no effect on the Portfolio's net assets, results of operations, or net
asset value per share.
4. REPURCHASE AGREEMENTS: The Trust, along with other members of The
Vanguard Group, transfers uninvested cash balances to a Pooled Cash Account,
which is invested in repurchase agreements secured by U.S. government
securities. Securities pledged as collateral for repurchase agreements are held
by a custodian bank until the agreements mature. Each agreement requires that
the market value of the collateral be sufficient to cover payments of interest
and principal; however, in the event of default or bankruptcy by the other
party to the agreement, retention of the collateral may be subject to legal
proceedings.
5. FUTURES CONTRACTS: The Trust uses index futures contracts to a
limited extent, with the objectives of maintaining full exposure to the stock
market, enhancing returns, maintaining liquidity, and minimizing transaction
costs. A Portfolio may purchase futures contracts to immediately invest
incoming cash in the market, or sell futures in response to cash outflows,
thereby simulating a fully invested position in the underlying index while
maintaining a cash balance for liquidity. A Portfolio may seek to enhance
returns by using futures contracts instead of the underlying securities when
futures are believed to be priced more attractively than the underlying
securities. The primary risks associated with the use of futures contracts are
imperfect correlation between changes in market values of stocks held by the
Portfolio and the prices of futures contracts, and the possibility of an
illiquid market.
Futures contracts based upon the following indexes are used: S&P 500
Index (500 and Total Stock Market Portfolios), New York Stock Exchange
Composite Index (Extended Market Portfolio), S&P Midcap 400 Index (Extended
Market, Small Capitalization Stock, and Total Stock Market Portfolios),
S&P/BARRA Growth Index (Growth Portfolio), S&P/BARRA Value Index (Value
Portfolio), and Russell 2000 Index (Extended Market, Small Capitalization
Stock, and Total Stock Market 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).
40
<PAGE> 43
6. DISTRIBUTIONS: Distributions to shareholders are recorded on the
ex-dividend date.
7. OTHER: Dividend income is recorded on the ex-dividend date.
Security transactions are accounted for on the date securities are bought or
sold. Costs used to determine realized gains (losses) on the sale of investment
securities are those of the specific securities sold. 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 Trust under methods approved by the Board of
Trustees. At December 31, 1997, the Trust had contributed capital aggregating
$4,283,000 to Vanguard (included in Other Assets), representing 21.4% of
Vanguard's capitalization. The Trust's Trustees and officers are also Directors
and officers of Vanguard.
C. Effective July 7, 1997, the Extended Market, Small Capitalization
Stock, and Total Stock Market Portfolios each offer two classes of shares,
Investor Shares and Institutional Shares. 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 December 31, 1997, represented the following
percentages of average net assets:
<TABLE>
<CAPTION>
----------------------------------------------------------------------------------------
PORTFOLIO INVESTOR SHARES INSTITUTIONAL SHARES
----------------------------------------------------------------------------------------
<S> <C> <C>
Extended Market 0.14% 0.01%*
Small Capitalization Stock 0.12% 0.01%*
Total Stock Market 0.11% 0.01%*
----------------------------------------------------------------------------------------
</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 year ended December 31, 1997, purchases and sales of
investment securities other than temporary cash investments were:
<TABLE>
<CAPTION>
----------------------------------------------------------------------------------------
(000)
-------------------------------------------------
PORTFOLIO PURCHASES SALES
----------------------------------------------------------------------------------------
<S> <C> <C>
500 $10,104,118 $2,056,103
Growth 1,560,322 416,533
Value 808,605 357,063
Extended Market 810,340 361,471
Small Capitalization Stock 1,220,966 613,397
Total Stock Market 1,825,432 93,544
----------------------------------------------------------------------------------------
</TABLE>
During the year ended December 31, 1997, the 500 and Extended Market
Portfolios realized $648,286,000 and $10,773,000, respectively, of net capital
gains resulting from in-kind redemptions--in which shareholders exchanged
Portfolio shares for securities held by the Portfolios rather than for cash.
Because such gains are not taxable to the Portfolios, and are not distributed
to shareholders, they have been reclassified from accumulated net realized
gains to paid in capital.
The 500 Portfolio realized gains of $76,693,000 on securities held for
less than one year, which are treated as ordinary income for tax purposes and
have been included in income dividends to shareholders; accordingly, such gains
have been reclassified from accumulated net realized gains to undistributed net
investment income.
For federal tax purposes, capital gains required to be distributed in
December 1997 included net gains realized through October 31, 1997.
Subsequently, the Growth Portfolio realized capital losses of $8,511,000, which
are available to offset future net capital gains.
41
<PAGE> 44
E. At December 31, 1997, net unrealized appreciation of investment
securities for financial reporting and federal income tax purposes was:
<TABLE>
<CAPTION>
----------------------------------------------------------------------------------------------
(000)
--------------------------------------------------------
APPRECIATED DEPRECIATED NET UNREALIZED
PORTFOLIO SECURITIES SECURITIES APPRECIATION
----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
500 $18,420,084 $(456,543) $17,963,541
Growth 560,482 (13,123) 547,359
Value 459,554 (24,690) 434,864
Extended Market 1,108,553 (193,778) 914,775
Small Capitalization Stock 717,787 (150,592) 567,195
Total Stock Market 2,015,549 (155,800) 1,859,749
----------------------------------------------------------------------------------------------
</TABLE>
At December 31, 1997, the aggregate settlement value of open futures
contracts expiring in March 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 2,412 $590,397 $(120)
Growth/
S&P/BARRA Growth Index 104 13,039 (39)
Value/
S&P/BARRA Value Index 52 6,435 (14)
Extended Market/
New York Stock Exchange
Composite Index 224 57,719 500
S&P Midcap 400 Index 68 11,395 281
Russell 2000 Index 107 23,612 (202)
Small Capitalization Stock/
S&P Midcap 400 Index 60 10,055 248
Russell 2000 Index 325 71,719 393
Total Stock Market/
S&P 500 Index 1,006 246,244 (413)
S&P Midcap 400 Index 400 67,030 827
Russell 2000 Index 106 23,392 586
----------------------------------------------------------------------------------------------
</TABLE>
F. The market value of securities on loan to brokers/dealers at December
31, 1997, and collateral received with respect to such loans were:
<TABLE>
<CAPTION>
----------------------------------------------------------------------------------------------
(000)
----------------------------------
MARKET VALUE CASH
OF LOANED COLLATERAL
PORTFOLIO SECURITIES RECEIVED
----------------------------------------------------------------------------------------------
<S> <C> <C>
500 $ 46,415 $ 48,183
Extended Market 118,785 131,836
Small Capitalization Stock 134,381 140,228
Total Stock Market 60,656 69,205
----------------------------------------------------------------------------------------------
</TABLE>
Cash collateral received is invested in repurchase agreements.
42
<PAGE> 45
REPORT OF INDEPENDENT ACCOUNTANTS
To the Shareholders and
Board of Trustees of
Vanguard Index Trust
In our opinion, the accompanying statement of net assets and the related
statements of operations and of changes in net assets and the financial
highlights present fairly, in all material respects, the financial position of
500 Portfolio (a separate portfolio of Vanguard Index Trust, hereafter referred
to as the "Trust") at December 31, 1997, the results of its operations for the
year then ended, the changes in its net assets for each of the two years in the
period then ended and the financial highlights for each of the five years in
the period then ended, in conformity with generally accepted accounting
principles. These financial statements and financial highlights (hereafter
referred to as "financial statements") are the responsibility of the Trust's
management; our responsibility is to express an opinion on these financial
statements based on our audits. We conducted our audits of these financial
statements in accordance with generally accepted auditing standards which
require that we plan and perform the audit to obtain reasonable assurance about
whether the financial statements are free of material misstatement. An audit
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, and evaluating the overall
financial statement presentation. We believe that our audits, which included
confirmation of securities at December 31, 1997 by correspondence with the
custodian and the application of alternative auditing procedures where
securities purchased had not been settled, provide a reasonable basis for the
opinion expressed above.
We have also audited the financial statements of the other portfolios
included in the Trust at December 31, 1997, and we have issued our report
thereon. An insert to this Annual Report containing our report on the financial
statements of the other portfolios is available from the Trust.
PRICE WATERHOUSE LLP
Thirty South Seventeenth Street
Philadelphia, Pennsylvania 19103
February 6, 1998
43
<PAGE> 46
SPECIAL 1997 TAX INFORMATION (UNAUDITED) FOR VANGUARD INDEX TRUST
This information for the fiscal year ended December 31, 1997, is included
pursuant to provisions of the Internal Revenue Code.
The table below shows the amounts designated as capital gain dividends
(from net long-term capital gains) and, of the total capital gain dividends,
the portion designated as a 20% rate gain distribution:
<TABLE>
<CAPTION>
------------------------------------------------------------------------------------------------------------------
CAPITAL GAIN DIVIDENDS
(000)
--------------------------------------------------------------------------
DISTRIBUTED TO BE DISTRIBUTED 20% RATE GAIN
PORTFOLIO DECEMBER 1997 MARCH 1998 TOTAL DISTRIBUTION
------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
500 $218,577 $37,041 $255,618 $191,127
Growth 16,358 -- 16,358 14,505
Value 21,927 18,875 40,802 36,652
Extended Market 126,109 31,326 157,435 123,367
Small Capitalization Stock 109,398 12,947 122,345 114,571
Total Stock Market 42,692 8,870 51,562 40,974
------------------------------------------------------------------------------------------------------------------
</TABLE>
For corporate shareholders, the percentage of investment income
(dividend income plus short-term gains, if any) that qualifies for the
dividends-received deduction is as follows:
<TABLE>
<S> <C>
------------------------------------------------------------------------
500 Portfolio 84.0%
Growth Portfolio 74.8
Value Portfolio 50.8
Extended Market Portfolio 50.3
Small Capitalization Stock Portfolio 62.9
Total Stock Market Portfolio 68.3
------------------------------------------------------------------------
</TABLE>
44
<PAGE> 47
[PHOTO]
TRUSTEES AND OFFICERS
JOHN C. BOGLE
Chairman of the Board and Director of The Vanguard Group, Inc., and of each of
the investment companies in The Vanguard Group.
JOHN J. BRENNAN
President, Chief Executive Officer, and Director of The Vanguard Group, Inc.,
and of each of the investment companies in The Vanguard Group.
ROBERT E. CAWTHORN
Chairman Emeritus and Director of Rhone-Poulenc Rorer, Inc.; Managing Director
of Global Health Care Partners/DLJ Merchant Banking Partners; Director of Sun
Company, Inc., and Westinghouse Electric Corp.
BARBARA BARNES HAUPTFUHRER
Director of The Great Atlantic and Pacific Tea Co., IKON 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 500," "S&P 500(R)," "Standard & Poor's(R)," "S&P(R)," and
"500" are trademarks of The McGraw-Hill Companies, Inc. 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> 48
VANGUARD FAMILY OF FUNDS
STOCK FUNDS
Convertible Securities Fund
Equity Income Fund
Explorer Fund
Growth and Income Portfolio
Horizon Fund
Aggressive Growth Portfolio
Capital Opportunity Portfolio
Global Equity Portfolio
Index Trust
500 Portfolio
Extended Market Portfolio
Growth Portfolio
Small Capitalization Stock Portfolio
Total Stock Market Portfolio
Value Portfolio
Institutional Index Fund
International Equity Index Fund
Emerging Markets Portfolio
European Portfolio
Pacific Portfolio
International Growth Portfolio
International Value Portfolio
Morgan Growth Fund
PRIMECAP Fund
Selected Value Portfolio
Specialized Portfolios
Energy Portfolio
Gold & Precious Metals Portfolio
Health Care Portfolio
REIT Index Portfolio
Utilities Income Portfolio
Tax-Managed Fund
Capital Appreciation Portfolio
Growth and Income Portfolio
Total International Portfolio
Trustees' Equity Fund
U.S. Portfolio
U.S. Growth Portfolio
Windsor Fund
Windsor II
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
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)
MONEY MARKET FUNDS
Admiral Funds
U.S. Treasury Money Market Portfolio
Money Market Reserves
Federal Portfolio
Prime Portfolio
Municipal Bond Fund
Money Market Portfolio
Treasury Money Market Portfolio
State Tax-Free Funds
(CA, NJ, NY, OH, PA)
Q400-12/1997
(C) 1998 Vanguard Marketing
Corporation, Distributor
[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> 49
VANGUARD INDEX TRUST
FINANCIAL STATEMENTS
December 31, 1997
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 24 of the accompanying Report.
STATEMENT OF NET ASSETS
This Statement provides a detailed list of each Portfolio's holdings, including
each security's market value on the last day of the reporting period. The 500,
Growth, and Value Portfolios' S&P 500 Index common stocks are listed in
descending market value order; the Extended Market, Small Capitalization Stock,
and Total Stock Market Portfolios' common stocks are listed alphabetically.
Temporary cash investments and other assets are added to, and liabilities are
subtracted from, the value of Total Common Stocks to calculate the Portfolio's
Net Assets. Finally, Net Assets are divided by the outstanding shares of the
Portfolio to arrive at its share price, or Net Asset Value (NAV) Per Share.
At the end of the Statement of Net Assets of each Portfolio, you will find
a table displaying the composition of the Portfolio's net assets. 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
Extended Market Portfolio . . . . . . 8
Small Capitalization Stock Portfolio . 28
Total Stock Market Portfolio . . . . . 44
</TABLE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
MARKET
VALUE*
GROWTH PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------
COMMON STOCKS
- -----------------------------------------------------------------------
<S> <C> <C>
General Electric Co. 2,003,108 $ 146,978
The Coca-Cola Co. 1,513,751 100,854
- - Microsoft Corp. 738,562 95,459
Merck & Co., Inc. 733,369 77,921
Intel Corp. 1,001,328 70,343
Philip Morris Cos., Inc. 1,483,821 67,236
Procter & Gamble Co. 822,614 65,655
Pfizer, Inc. 791,558 59,021
Bristol-Myers Squibb Co. 608,546 57,584
Wal-Mart Stores, Inc. 1,379,267 54,395
Johnson & Johnson 823,150 54,225
Eli Lilly & Co. 678,974 47,274
American International
Group, Inc. 428,739 46,625
Bell Atlantic Corp. 474,600 43,189
E.I. du Pont de Nemours & Co. 692,620 41,601
SBC Communications Inc. 560,173 41,033
Hewlett-Packard Co. 635,700 39,731
Fannie Mae 648,400 36,999
Gillette Co. 342,828 34,433
- - Cisco Systems, Inc. 616,293 34,358
PepsiCo, Inc. 928,515 33,833
Lucent Technologies, Inc. 392,725 31,369
Abbott Laboratories 468,185 30,695
GTE Corp. 586,054 30,621
American Home Products Corp. 397,637 30,419
The Chase Manhattan Corp. 258,000 28,251
Schering-Plough Corp. 447,380 27,793
Ameritech Corp. 334,900 26,959
Home Depot, Inc. 447,700 26,358
Compaq Computer Corp. 463,354 26,151
</TABLE>
1
<PAGE> 50
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
MARKET
VALUE*
GROWTH PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C>
American Express Co. 284,422 $ 25,385
Unilever NV 391,768 24,461
Schlumberger Ltd. 303,006 24,392
Morgan Stanley, Dean Witter,
Discover and Co. 362,000 21,403
Warner-Lambert Co. 166,376 20,631
Minnesota Mining &
Manufacturing Co. 250,147 20,528
Computer Associates
International, Inc. 334,566 17,690
U.S. Bancorp 150,046 16,796
- - Dell Computer Corp. 199,756 16,780
Kimberly-Clark Corp. 339,646 16,749
- - Cendant Corp. 483,416 16,617
Sara Lee Corp. 293,321 16,518
Campbell Soup Co. 279,600 16,252
Monsanto Co. 362,373 15,220
Medtronic, Inc. 286,672 14,997
Xerox Corp. 199,500 14,726
Tyco International Ltd. 325,644 14,674
Northern Telecom Ltd. 160,207 14,258
- - Oracle Corp. 600,158 13,391
Colgate-Palmolive Co. 181,086 13,310
Anheuser-Busch Cos., Inc. 299,337 13,171
- - AirTouch Communications, Inc. 308,500 12,822
Kellogg Co. 251,222 12,467
H.J. Heinz Co. 224,990 11,432
Automatic Data Processing, Inc. 178,402 10,949
Texas Instruments, Inc. 238,900 10,751
Gannett Co., Inc. 173,356 10,716
Washington Mutual, Inc. 159,646 10,187
CPC International, Inc. 87,890 9,470
ConAgra, Inc. 288,122 9,454
Walgreen Co. 301,266 9,452
- - Sun Microsystems, Inc. 229,326 9,144
Illinois Tool Works, Inc. 151,990 9,138
Dayton-Hudson Corp. 133,252 8,995
- - Amgen, Inc. 161,481 8,740
The Gap, Inc. 246,171 8,724
- - Tele-Communications, Inc.
Class A 310,423 8,672
Baxter International, Inc. 171,142 8,632
MBNA Corp. 305,386 8,341
Halliburton Co. 159,936 8,307
- - EMC Corp. 302,598 8,303
Pitney Bowes, Inc. 88,500 7,959
Marsh & McLennan Cos., Inc. 103,978 7,753
Fifth Third Bancorp 93,913 7,677
- - 3Com Corp. 211,749 7,398
General Mills, Inc. 96,858 6,937
Charles Schwab Corp. 162,300 6,806
CVS Corp. 105,445 6,755
- - Applied Materials, Inc. 222,176 6,693
- - HEALTHSOUTH Corp. 239,683 6,651
Mattel, Inc. 177,965 6,629
HBO & Co. 128,600 6,173
Ralston-Ralston Purina Group 64,881 6,030
- - Tellabs, Inc. 111,084 5,874
Comcast Corp. Class A Special 184,749 5,831
- - Costco Cos., Inc. 129,450 5,777
- - The Kroger Co. 155,972 5,761
State Street Corp. 97,900 5,697
Wrigley, (Wm.) Jr. Co. 70,709 5,626
Guidant Corp. 90,300 5,621
- - Boston Scientific Corp. 118,287 5,426
Marriott International 78,166 5,413
Hershey Foods Corp. 87,068 5,393
Corning, Inc. 140,604 5,220
Cardinal Health, Inc. 66,800 5,018
The Clorox Co. 62,870 4,971
Avon Products, Inc. 80,674 4,951
Dover Corp. 135,476 4,894
Sysco Corp. 103,965 4,737
Tribune Co. 75,000 4,669
MGIC Investment Corp. 69,500 4,622
Hilton Hotels Corp. 152,148 4,526
Cognizant Corp. 100,077 4,460
The Quaker Oats Co. 84,456 4,455
UST, Inc. 112,176 4,144
Newell Co. 96,875 4,117
Omnicom Group Inc. 91,000 3,856
Interpublic Group of Cos., Inc. 76,797 3,825
- - Parametric Technology Corp. 77,600 3,676
W.R. Grace & Co. 45,200 3,636
- - US Airways Group, Inc. 55,379 3,461
International Flavors &
Fragrances, Inc. 66,724 3,436
TJX Cos., Inc. 99,496 3,420
Southwest Airlines Co. 133,200 3,280
Equifax, Inc. 92,100 3,264
- - Owens-Illinois, Inc. 85,700 3,251
The Dun & Bradstreet Corp. 104,000 3,218
Avery Dennison Corp. 62,938 2,816
Pioneer Hi-Bred International, Inc. 26,103 2,800
The Stanley Works 54,000 2,548
Raychem Corp. 53,192 2,291
Anadarko Petroleum Corp. 36,100 2,191
Ecolab, Inc. 39,314 2,179
Synovus Financial Corp. 65,800 2,155
- - Ceridian Corp. 46,463 2,129
Perkin-Elmer Corp. 26,425 1,878
Freeport-McMoRan Copper &
Gold Inc. Class B 117,424 1,849
Biomet, Inc. 67,960 1,741
- - Oryx Energy Co. 64,238 1,638
- - NextLevel Systems, Inc. 89,926 1,607
- - Rowan Cos., Inc. 52,700 1,607
- - Andrew Corp. 55,105 1,323
Tektronix, Inc. 30,369 1,205
Owens Corning 32,559 1,111
Autodesk, Inc. 29,200 1,080
Tupperware Corp. 37,000 1,031
Shared Medical Systems Corp. 15,019 991
- - Reebok International Ltd. 34,300 988
Millipore Corp. 26,550 901
Comcast Corp. Class A 27,755 885
Aeroquip-Vickers Inc. 16,802 824
Jostens Inc. 23,800 549
Adobe Systems, Inc. 9,300 384
- - Armco, Inc. 62,531 309
</TABLE>
2
<PAGE> 51
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C>
Freeport-McMoRan Copper & $
Gold, Inc. Class A 4,000 61
- - Fresenius National Medical
Care Pfd. 21,100 1
- -----------------------------------------------------------------------
TOTAL COMMON STOCKS (99.3%)(1)
(COST $1,802,708) 2,350,067
- -----------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT
(000)
- -----------------------------------------------------------------------
TEMPORARY CASH INVESTMENTS (1.0%)
- -----------------------------------------------------------------------
<S> <C> <C>
U.S. TREASURY BILLS
(2)4.90%, 1/8/1998 $ 500 500
(2)5.02%, 1/22/1998 300 299
REPURCHASE AGREEMENT
Collateralized by U.S. Government
Obligations in a Pooled
Cash Account
6.54%, 1/2/1998 21,979 21,979
- -----------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(COST $22,778) 22,778
- -----------------------------------------------------------------------
TOTAL INVESTMENTS (100.3%)
(COST $1,825,486) 2,372,845
- -----------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES--NET (-0.3%) (7,512)
- -----------------------------------------------------------------------
NET ASSETS (100%)
- -----------------------------------------------------------------------
Applicable to 104,984,485 outstanding
shares of beneficial interest
(unlimited authorization) $2,365,333
=======================================================================
NET ASSET VALUE PER SHARE $22.53
=======================================================================
</TABLE>
*See Note A in Notes to Financial Statements.
-Non-Income-Producing Security.
(1)The combined market value of common stocks and S&P/BARRA Growth Index
futures contracts represents 99.9% of net assets.
(2)Securities with an aggregate value of $799,000 have been segregated as
initial margin for open futures contracts.
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
- -----------------------------------------------------------------------
ASSETS
<S> <C>
Investments in Securities, at Value $2,372,845
Receivables for Investment
Securities Sold 157,581
Other Assets--Note B 13,169
-----------
Total Assets 2,543,595
-----------
LIABILITIES
Payables for Investment Securities
Purchased 173,998
Other Liabilities 4,264
-----------
Total Liabilities 178,262
- -----------------------------------------------------------------------
NET ASSETS $2,365,333
=======================================================================
</TABLE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
AMOUNT PER
(000) SHARE
- -----------------------------------------------------------------------
AT DECEMBER 31, 1997, NET ASSETS CONSISTED OF:
- -----------------------------------------------------------------------
<S> <C> <C>
Paid in Capital $1,827,471 $17.41
Overdistributed Net
Investment Income (521) --
Overdistributed Net
Realized Gains--Note D (8,937) (.09)
Unrealized Appreciation
(Depreciation)--Note E
Investment Securities 547,359 5.21
Futures Contracts (39) --
- -----------------------------------------------------------------------
NET ASSETS $2,365,333 $22.53
=======================================================================
</TABLE>
3
<PAGE> 52
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
MARKET
VALUE*
VALUE PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------
COMMON STOCKS
- -----------------------------------------------------------------------
<S> <C> <C> <C>
Exxon Corp. 1,188,412 $ 72,716
Royal Dutch Petroleum
Co. ADR 1,033,432 55,999
International Business
Machines Corp. 468,500 48,987
AT&T Corp. 782,800 47,946
The Walt Disney Co. 325,343 32,229
Travelers Group Inc. 552,709 29,777
Ford Motor Co. 577,239 28,104
Citicorp 220,171 27,838
Mobil Corp. 378,732 27,340
BellSouth Corp. 477,782 26,905
Chevron Corp. 316,480 24,369
BankAmerica Corp. 333,568 24,350
The Boeing Co. 482,555 23,615
NationsBank Corp. 343,130 20,866
General Motors Corp. 340,167 20,623
Amoco Corp. 234,718 19,980
Allstate Corp. 206,232 18,741
Time Warner, Inc. 269,821 16,729
Motorola, Inc. 286,912 16,372
McDonald's Corp. 331,500 15,829
First Union Corp. 302,602 15,508
Banc One Corp. 282,309 15,333
MCI Communications Corp. 335,637 14,369
Texaco Inc. 263,486 14,327
Wells Fargo & Co. 41,877 14,215
Freddie Mac 334,924 14,046
Norwest Corp. 363,362 14,035
- - WorldCom, Inc. 434,752 13,151
Atlantic Richfield Co. 154,612 12,388
Sprint Corp. 207,400 12,159
Emerson Electric Co. 213,698 12,060
Merrill Lynch & Co., Inc. 160,570 11,711
First Chicago NBD Corp. 139,808 11,674
Chrysler Corp. 318,700 11,214
Dow Chemical Co. 109,476 11,112
AlliedSignal Inc. 271,800 10,583
The Bank of New York Co., Inc. 182,176 10,532
U S WEST Communications
Group 232,369 10,486
CBS Corp. 338,841 9,975
J.P. Morgan & Co., Inc. 85,939 9,700
Duke Energy Corp. 173,417 9,603
Eastman Kodak Co. 156,500 9,517
Columbia/HCA Healthcare Corp. 315,174 9,337
Lockheed Martin Corp. 93,661 9,226
Fleet Financial Group, Inc. 120,574 9,035
Pharmacia & Upjohn, Inc. 243,723 8,926
Caterpillar, Inc. 180,676 8,774
Southern Co. 331,999 8,590
Sears, Roebuck & Co. 188,900 8,548
- - U S WEST Media Group 292,571 8,448
PNC Bank Corp. 147,366 8,409
United Technologies Corp. 112,300 8,177
General Re Corp. 38,071 8,071
Wachovia Corp. 97,954 7,947
CoreStates Financial Corp. 95,077 7,612
KeyCorp 105,649 7,481
Mellon Bank Corp. 122,484 7,426
Union Pacific Corp. 118,600 7,405
SunTrust Banks, Inc. 102,676 7,329
J.C. Penney Co., Inc. 120,469 7,266
Deere & Co. 121,078 7,060
- - Viacom Inc. Class B 168,783 6,994
Burlington Northern
Santa Fe Corp. 75,235 6,992
National City Corp. 103,410 6,799
Barnett Banks, Inc. 92,696 6,663
Raytheon Co. Class B 131,177 6,624
BankBoston Corp. 70,034 6,579
Household International, Inc. 51,531 6,573
American General Corp. 119,237 6,446
PG&E Corp. 210,583 6,410
Enron Corp. 152,900 6,355
The Chubb Corp. 82,899 6,269
International Paper Co. 145,294 6,266
CIGNA Corp. 35,638 6,168
Phillips Petroleum Co. 126,528 6,152
First Data Corp. 206,200 6,031
Waste Management Inc. 219,288 6,030
May Department Stores Co. 111,618 5,881
Aluminum Co. of America 83,551 5,880
Loews Corp. 55,275 5,866
Archer-Daniels-Midland Co. 269,031 5,835
- - AMR Corp. 44,334 5,697
CSX Corp. 104,619 5,649
Albertson's, Inc. 118,053 5,593
Norfolk Southern Corp. 181,125 5,581
The Seagram Co. Ltd. 171,231 5,533
NIKE, Inc. Class B 139,900 5,491
Bankers Trust New York Corp. 47,777 5,372
The Hartford Financial Services
Group Inc. 56,885 5,322
Rockwell International Corp. 100,668 5,260
FPL Group, Inc. 87,792 5,196
Aetna Inc. 72,015 5,082
Edison International 183,297 4,983
Textron, Inc. 79,030 4,939
Texas Utilities Co. 118,767 4,936
PPG Industries, Inc. 86,130 4,920
- - Tenet Healthcare Corp. 147,123 4,873
The Goodyear Tire & Rubber Co. 75,417 4,798
Occidental Petroleum Corp. 162,930 4,776
Aon Corp. 80,553 4,722
American Electric Power
Co., Inc. 91,144 4,705
USX-Marathon Group 138,860 4,687
Weyerhaeuser Co. 95,510 4,686
Consolidated Edison Co. of
New York, Inc. 113,309 4,646
- - ITT Corp. 55,786 4,623
Unocal Corp. 118,800 4,611
Comerica, Inc. 50,875 4,591
United Healthcare Corp. 90,721 4,508
Service Corp. International 121,230 4,478
AMP, Inc. 105,889 4,447
Williams Cos., Inc. 154,074 4,372
Air Products & Chemicals, Inc. 52,800 4,343
- - Federated Department Stores 100,433 4,325
- - Toys R Us, Inc. 137,490 4,322
</TABLE>
4
<PAGE> 53
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C> <C>
Delta Air Lines, Inc. 35,382 $ 4,210
Honeywell, Inc. 61,300 4,199
Progressive Corp. of Ohio 34,700 4,160
Conseco Inc. 90,800 4,126
Masco Corp. 79,507 4,045
SunAmerica Inc. 94,000 4,019
Lowe's Cos., Inc. 83,820 3,997
PacifiCorp 141,826 3,874
Fort James Corp. 100,600 3,848
Lincoln National Corp. 49,115 3,837
Dominion Resources, Inc. 89,548 3,811
Burlington Resources, Inc. 84,939 3,806
- - Clear Channel Communications 47,300 3,757
ALLTEL Corp. 90,100 3,700
Northrop Grumman Corp. 32,102 3,692
UNUM Corp. 67,258 3,657
Houston Industries, Inc. 136,913 3,654
Browning-Ferris Industries, Inc. 97,015 3,590
Baker Hughes, Inc. 81,328 3,548
Public Service Enterprise
Group, Inc. 111,816 3,543
Dresser Industries, Inc. 84,339 3,537
Cincinnati Financial Corp. 25,100 3,533
Rite Aid Corp. 60,100 3,527
Entergy Corp. 117,545 3,519
The McGraw-Hill Cos., Inc. 47,527 3,517
Praxair, Inc. 76,000 3,420
- - Federal Express Corp. 55,199 3,371
The Limited, Inc. 130,900 3,338
Barrick Gold Corp. 178,900 3,332
Eaton Corp. 37,213 3,321
SAFECO Corp. 68,055 3,318
Huntington Bancshares Inc. 92,099 3,316
St. Paul Cos., Inc. 40,374 3,313
Tenneco, Inc. 82,069 3,242
Ingersoll-Rand Co. 79,689 3,227
Transamerica Corp. 30,285 3,225
- - Thermo Electron Corp. 72,420 3,223
- - FirstEnergy Corp. 110,531 3,205
Unicom Corp. 103,508 3,183
TRW, Inc. 59,364 3,169
Coastal Corp. 50,764 3,144
H.F. Ahmanson & Co. 46,907 3,140
Winn-Dixie Stores, Inc. 71,700 3,132
BB&T Corp. 48,800 3,126
- - Computer Sciences Corp. 37,400 3,123
Crown Cork & Seal Co., Inc. 61,831 3,099
Carolina Power & Light Co. 72,901 3,094
Fortune Brands, Inc. 82,544 3,059
New York Times Co. Class A 46,208 3,056
Alcan Aluminium Ltd. 109,398 3,022
Republic New York Corp. 26,196 2,991
Union Pacific Resources
Group, Inc. 122,300 2,966
Genuine Parts Co. 86,828 2,947
Becton, Dickinson & Co. 58,900 2,945
CINergy Corp. 75,981 2,911
Cooper Industries, Inc. 58,916 2,887
MBIA, Inc. 43,000 2,873
The Times Mirror Co. Class A 46,150 2,838
Union Electric Co. 65,429 2,830
Rohm & Haas Co. 29,460 2,821
Torchmark Corp. 66,664 2,804
VF Corp. 60,316 2,771
Central & South West Corp. 102,286 2,768
Consolidated Natural Gas Co. 45,533 2,755
- - Digital Equipment Corp. 73,645 2,725
Georgia-Pacific Corp. 44,663 2,713
- - Kmart Corp. 234,593 2,712
American Stores Co. 131,198 2,698
Jefferson-Pilot Corp. 34,135 2,658
Golden West Financial Corp. 27,145 2,655
- - Micron Technology, Inc. 100,930 2,624
R.R. Donnelley & Sons Co. 70,002 2,608
- - Bay Networks, Inc. 101,900 2,605
General Dynamics Corp. 29,961 2,590
PECO Energy Corp. 106,158 2,574
Union Carbide Corp. 59,828 2,569
Dow Jones & Co., Inc. 46,382 2,490
Parker Hannifin Corp. 53,857 2,471
GPU, Inc. 57,855 2,437
Amerada Hess Corp. 43,934 2,411
DTE Energy Co. 69,460 2,409
Baltimore Gas & Electric Co. 70,672 2,407
Dana Corp. 50,602 2,404
Hercules, Inc. 46,500 2,328
W.W. Grainger, Inc. 23,712 2,305
Sherwin-Williams Co. 82,660 2,294
Morton International, Inc. 65,974 2,268
H & R Block, Inc. 50,200 2,250
- - Seagate Technology 116,700 2,246
Nordstrom, Inc. 37,200 2,246
Countrywide Credit
Industries, Inc. 52,000 2,230
Eastman Chemical Co. 37,411 2,228
Newmont Mining Corp. 75,400 2,215
Case Corp. 36,232 2,190
Knight-Ridder, Inc. 42,094 2,189
Allegheny Teledyne Inc. 84,000 2,174
Laidlaw, Inc. 157,345 2,144
Reynolds Metals Co. 35,568 2,134
- - Tricon Global Restaurants, Inc. 73,100 2,124
Beneficial Corp. 25,370 2,109
- - AutoZone Inc. 72,250 2,095
Northern States Power Co. 35,882 2,090
Columbia Gas Systems, Inc. 26,542 2,085
Providian Financial Corp. 45,867 2,073
Champion International Corp. 45,716 2,072
- - National Semiconductor Corp. 78,660 2,040
Nucor Corp. 41,876 2,023
Whirlpool Corp. 35,778 1,968
PACCAR, Inc. 37,400 1,964
Tandy Corp. 50,684 1,955
- - Mirage Resorts, Inc. 85,600 1,947
- - Western Atlas, Inc. 26,241 1,942
Ashland, Inc. 35,968 1,931
Hasbro, Inc. 61,191 1,928
Johnson Controls, Inc. 40,328 1,926
Sigma-Aldrich Corp. 48,090 1,912
Dillard's Inc. 53,649 1,891
PP&L Resources Inc. 78,804 1,886
Frontier Corp. 78,260 1,883
</TABLE>
5
<PAGE> 54
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
MARKET
VALUE*
VALUE PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C>
Sonat, Inc. 40,956 $ 1,874
Harcourt General, Inc. 33,723 1,846
Brown-Forman Corp. Class B 32,962 1,821
Rubbermaid, Inc. 72,200 1,805
IKON Office Solutions 64,035 1,801
Phelps Dodge Corp. 28,916 1,800
ITT Industries, Inc. 56,483 1,772
Union Camp Corp. 33,003 1,772
Maytag Corp. 47,330 1,766
Black & Decker Corp. 45,200 1,766
Harris Corp. 37,988 1,743
Green Tree Financial Corp. 65,463 1,714
Willamette Industries, Inc. 52,992 1,706
Circuit City Stores, Inc. 46,839 1,666
- - Humana, Inc. 77,800 1,614
Raytheon Co. Class A 32,092 1,583
- - KLA-Tencor Corp. 40,800 1,576
Westvaco Corp. 48,441 1,523
Wendy's International, Inc. 62,870 1,513
Apache Corp. 42,900 1,504
Fluor Corp. 40,195 1,502
Pennzoil Co. 22,446 1,500
Pacific Enterprises 39,686 1,493
Sun Co., Inc. 34,880 1,467
Armstrong World Industries Inc. 19,465 1,455
Adobe Systems, Inc. 35,200 1,452
Placer Dome, Inc. 114,235 1,449
Brunswick Corp. 47,537 1,441
Kerr-McGee Corp. 22,662 1,435
The BFGoodrich Co. 34,598 1,434
Temple-Inland Inc. 27,289 1,428
American Greetings Corp. Class A 36,010 1,409
The Mead Corp. 49,940 1,398
Liz Claiborne, Inc. 33,407 1,397
Deluxe Corp. 39,700 1,370
Inco Ltd. 79,659 1,354
- - LSI Logic Corp. 68,200 1,347
- - DSC Communications Corp. 56,022 1,345
Mallinckrodt, Inc. 35,326 1,342
- - St. Jude Medical, Inc. 43,800 1,336
- - Woolworth Corp. 64,320 1,311
- - ALZA Corp. 41,100 1,307
USX-U.S. Steel Group, Inc. 41,280 1,290
Snap-On Inc. 29,529 1,288
Great Lakes Chemical Corp. 28,565 1,282
Whitman Corp. 48,900 1,274
Pall Corp. 61,400 1,270
Nalco Chemical Co. 31,920 1,263
Thomas & Betts Corp. 26,451 1,250
- - Novell, Inc. 165,707 1,243
_ Advanced Micro Devices, Inc. 67,890 1,218
Ryder System, Inc. 37,050 1,213
SuperValu Inc. 28,824 1,207
Engelhard Corp. 68,800 1,195
- - FMC Corp. 17,663 1,189
USF&G Corp. 53,500 1,180
- - Unisys Corp. 84,260 1,169
- - Cabletron Systems, Inc. 76,100 1,142
Bemis Co., Inc. 25,506 1,124
- - Silicon Graphics, Inc. 90,064 1,120
Cummins Engine Co., Inc. 18,253 1,078
Echlin, Inc. 29,773 1,077
Manor Care Inc. 30,668 1,073
U.S. Surgical Corp. 36,468 1,069
National Service Industries, Inc. 21,539 1,068
Mercantile Stores Co., Inc. 17,357 1,057
Polaroid Corp. 21,584 1,051
Bausch & Lomb, Inc. 26,487 1,050
The Timken Co. 30,344 1,043
Allergan, Inc. 30,700 1,030
General Signal Corp. 23,916 1,009
King World Productions, Inc. 17,461 1,008
Louisiana-Pacific Corp. 52,099 990
NICOR, Inc. 23,437 989
McDermott International, Inc. 26,232 961
Giant Food, Inc. Class A 28,347 955
Crane Co. 21,683 941
Cooper Tire & Rubber Co. 37,691 919
Darden Restaurants Inc. 73,218 915
- - Harrah's Entertainment, Inc. 48,200 910
- - Fruit of the Loom, Inc. 35,319 905
Meredith Corp. 25,321 904
Caliber System Inc. 18,455 899
Centex Corp. 13,799 868
- - Navistar International Corp. 34,922 867
C.R. Bard, Inc. 27,490 861
Alberto-Culver Co. Class B 26,694 856
Harnischfeger Industries Inc. 23,620 834
- - Apple Computer, Inc. 60,716 797
Boise Cascade Corp. 26,282 795
Helmerich & Payne, Inc. 11,708 795
Safety-Kleen Corp. 27,890 765
Worthington Industries, Inc. 45,656 753
Fleetwood Enterprises, Inc. 17,122 727
- - Niagara Mohawk Power Corp. 69,096 726
Pep Boys (Manny, Moe & Jack) 29,800 711
Cyprus Amax Minerals Co. 44,188 679
Peoples Energy Corp. 16,769 660
Battle Mountain Gold Co. Class A 109,580 644
ONEOK, Inc. 15,600 630
Moore Corp. Ltd. 41,459 627
Homestake Mining Co. 69,800 619
Scientific-Atlanta, Inc. 36,617 613
Longs Drug Stores, Inc. 18,552 596
Potlatch Corp. 13,758 592
Briggs & Stratton Corp. 12,050 585
Adolph Coors Co. Class B 17,516 582
Great Atlantic & Pacific Tea
Co., Inc. 18,077 537
Foster Wheeler Corp. 19,600 530
Springs Industries Inc. Class A 9,626 501
Ball Corp. 13,981 494
- - Stone Container Corp. 47,234 493
Cincinnati Milacron, Inc. 18,453 479
- - Bethlehem Steel Corp. 52,590 454
Russell Corp. 16,990 451
ASARCO, Inc. 19,665 441
EG&G, Inc. 21,125 440
Eastern Enterprises 9,625 433
NACCO Industries, Inc. Class A 3,930 421
Pulte Corp. 9,991 418
- - UNOVA, Inc. 25,041 412
</TABLE>
6
<PAGE> 55
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C>
Kaufman & Broad Home Corp. 17,957 $ 403
Inland Steel Industries, Inc. 23,072 395
- - Data General Corp. 22,555 393
- - Beverly Enterprises, Inc. 28,701 373
John H. Harland Co. 14,575 306
- - Charming Shoppes, Inc. 49,921 234
- - PharMerica, Inc. 18,341 190
- - Echo Bay Mines Ltd. 64,485 157
- - Viacom Inc. Class A 766 31
- -----------------------------------------------------------------------
TOTAL COMMON STOCKS (99.5%)(1)
(COST $1,351,275) 1,786,139
- -----------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT
(000)
- -----------------------------------------------------------------------
TEMPORARY CASH INVESTMENTS (0.5%)
- -----------------------------------------------------------------------
<S> <C> <C>
U.S. TREASURY BILL
(2)5.02%, 1/22/1998 $ 400 399
REPURCHASE AGREEMENT
Collateralized by U.S. Government
Obligations in a Pooled
Cash Account
6.54%, 1/2/1998 8,672 8,672
- -----------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(COST $9,071) 9,071
- -----------------------------------------------------------------------
TOTAL INVESTMENTS (100.0%)
(COST $1,360,346) 1,795,210
- -----------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES--NET 331
- -----------------------------------------------------------------------
NET ASSETS (100%)
- -----------------------------------------------------------------------
Applicable to 86,130,117 outstanding
shares of beneficial interest
(unlimited authorization) $1,795,541
=======================================================================
NET ASSET VALUE PER SHARE $20.85
=======================================================================
</TABLE>
*See Note A in Notes to Financial Statements.
-Non-Income-Producing Security.
(1)The combined market value of common stocks and S&P/BARRA Value Index
futures contracts represents 99.8% of net assets.
(2)Security segregated as initial margin for open futures contracts.
ADR--American Depositary Receipt.
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
- -----------------------------------------------------------------------
ASSETS
<S> <C>
Investments in Securities, at Value $1,795,210
Receivables for Investment
Securities Sold 128,666
Other Assets--Note B 5,491
-----------
Total Assets 1,929,367
-----------
LIABILITIES
Payables for Investment Securities
Purchased 128,779
Other Liabilities 5,047
-----------
Total Liabilities 133,826
- -----------------------------------------------------------------------
NET ASSETS $1,795,541
=======================================================================
</TABLE>
<TABLE>
<CAPTION>
AMOUNT PER
(000) SHARE
- -----------------------------------------------------------------------
AT DECEMBER 31, 1997, NET ASSETS CONSISTED OF:
- -----------------------------------------------------------------------
<S> <C> <C>
Paid in Capital $1,326,090 $15.40
Overdistributed Net
Investment Income (186) --
Accumulated Net
Realized Gains 34,787 .40
Unrealized Appreciation
(Depreciation)--Note E
Investment Securities 434,864 5.05
Futures Contracts (14) --
- -----------------------------------------------------------------------
NET ASSETS $1,795,541 $20.85
=======================================================================
</TABLE>
7
<PAGE> 56
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
MARKET
VALUE*
EXTENDED MARKET PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------
COMMON STOCKS
- -----------------------------------------------------------------------
<S> <C> <C>
AAR Corp. 29,600 $ 1,147
- - ABR Information Services, Inc. 48,200 1,151
- - ABT Building Products Corp. 43,000 774
- - ADC Telecommunications, Inc. 134,500 5,615
- - ADE Corp. 38,400 672
AFLAC, Inc. 141,515 7,235
AGCO Corp. 60,700 1,775
AGL Resources Inc. 54,100 1,106
- - AES Corp. 182,232 8,496
- - AES Corp.
Warrants Exp. 7/31/2000 146 9
AK Steel Corp. 50,100 886
AMB Property Corp. 46,200 1,161
- - AML Communications, Inc. 38,600 164
- - APAC Teleservices, Inc. 92,089 1,243
- - APS Holding Corp. 88,900 222
ARCO Chemical Co. 98,908 4,618
- - ATL Ultrasound, Inc. 28,137 1,294
AVX Corp. 87,600 1,615
- - Aavid Thermal Technologies 26,400 634
Aames Financial Corp. 72,700 940
Abington Bancorp Inc. 5,800 122
- - Able Telcom Holding Corp. 70,200 483
- - Acceptance Insurance Cos. Inc. 40,200 972
- - AccelGraphics, Inc. 43,100 202
- - Access Health Marketing, Inc. 42,083 1,236
- - Acclaim Entertainment Inc. 148,800 539
- - AccuStaff, Inc. 101,300 2,330
- - Ace Cash Express, Inc. 49,150 559
Aceto Corp. 36,908 757
- - Acme Electric Corp. 40,700 198
- - Acme Metals, Inc. 26,900 266
- - ACNielson Corp. 54,100 1,319
- - Action Performance Cos., Inc. 38,500 1,458
- - Acuson Corp. 60,738 1,006
- - ACX Technologies Inc. 47,400 1,158
- - Acxiom Corp. 46,822 901
- - Adaptec, Inc. 116,700 4,332
- - Adtran, Inc. 37,600 1,034
- - Advanced Digital
Information Corp. 43,200 713
- - Advanced Fibre Communications 71,800 2,091
- - Advanced Magnetics, Inc. 54,700 479
- - Advanced Marketing Services 24,300 314
- - Advanced Polymer Systems 83,100 550
- - Advanced Tissue Sciences Inc. 81,842 1,013
Advanta Corp. Class A 43,300 1,137
- - ADVO, Inc. 64,175 1,251
- - Aerial Communications Inc. 147,400 1,050
- - Affiliated Computer Services, Inc. 74,525 1,961
- - Affymetrix, Inc. 23,200 722
- - Aftermarket Technology Corp. 47,700 864
- - Agouron Pharmaceuticals, Inc. 30,400 893
- - Agri-Nutrition Group Ltd. 27,100 34
- - Air and Water Technologies
Corp. Class A 122,998 138
Air Express International Corp. 33,550 1,023
Airborne Freight Corp. 28,810 1,790
- - Airgas, Inc. 63,400 888
- - AirTran Holdings, Inc. 140,600 562
- - Alaska Air Group, Inc. 21,600 837
Albank Financial Corp. 26,780 1,378
Albany International Corp. 56,000 1,288
Albemarle Corp. 55,302 1,320
Alexander & Baldwin, Inc. 43,500 1,188
- - Alexander's, Inc. 13,000 1,180
Alexandria Real Estate
Equities, Inc. 30,700 969
Alfa Corp. 77,900 1,344
Aliant Communications, Inc. 58,500 1,835
- - Alleghany Corp. 7,058 2,010
Allegheny Energy, Inc. 123,400 4,010
Allegiance Corp. 55,400 1,963
- - Allen Telecom Inc. 58,540 1,079
Alliance Bancorp Inc. 45,042 1,194
- - Alliance Gaming Corp. 154,300 752
- - Alliance Pharmaceutical Corp. 89,900 652
- - Alliance Semiconductor Corp. 133,150 608
- - Alliant Techsystems, Inc. 22,600 1,260
Allied Capital Corp. 61,120 1,360
- - Allied Devices Corp. 11,200 22
Allied Group, Inc. 46,500 1,331
Allied Products Corp. 35,601 854
- - Allied Waste Industries, Inc. 94,600 2,205
Allmerica Financial Corp. 72,510 3,621
- - Allou Health & Beauty, Inc. 51,400 379
- - Aloette Cosmetics, Inc. 47,700 131
Alpharma, Inc. Class A 59,734 1,299
- - Altera Corp. 90,680 3,004
- - Alumax, Inc. 53,700 1,826
- - Amax Gold, Inc. 101,487 235
- - Amazon.com, Inc. 23,000 1,386
AMBAC Financial Group Inc. 69,756 3,209
Amcast Industrial Corp. 23,600 541
- - Amerco, Inc. 42,100 1,079
- - America Online, Inc. 102,500 9,142
- - America West Holdings Corp.
Class B 34,600 644
American Annuity Group Inc. 65,278 1,436
American Bankers Insurance
Group 42,600 1,957
- - American Banknote Corp. 130,100 650
American General Hospitality
Corp. REIT 41,300 1,105
American Financial Group, Inc. 61,100 2,463
- - American Freightways 71,800 709
American Insured Mortgage
Investors-Series 86 64,500 613
- - American Management
Systems, Inc. 37,225 726
- - American Mobile Satellite
Corp., Inc. 99,600 697
American National Insurance Co. 26,550 2,469
- - American Oncology
Resources, Inc. 73,700 1,179
- - American Power
Conversion Corp. 98,400 2,325
- - American Radio Systems Corp.
Class A 25,200 1,343
- - American Safety Razor Co. 45,900 918
</TABLE>
8
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<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C>
- - American Science & $
Engineering, Inc. 37,100 517
- - American Software, Inc. Class A 94,050 864
- - American Standard Cos., Inc. 73,300 2,808
American Water Works Co., Inc. 81,974 2,239
- - AmeriCredit Corp. 51,200 1,418
Ameron International Corp. 12,800 810
AmeriGas Partners, LP 4,700 119
- - AmeriSource Health Corp. 23,704 1,393
- - AmeriTrade Holding Corp. 44,700 1,307
Ametek Aerospace Products Inc. 58,500 1,579
- - AMF Bowling, Inc. 3,500 87
- - Amresco, Inc. 35,100 1,062
Ampco-Pittsburgh Corp. 32,965 645
- - Amphenol Corp. 13,500 752
- - AMREP Corp. 64,600 379
AmSouth Bancorp 84,568 4,593
- - Amtech Corp. 138,350 553
- - Amylin Pharmaceuticals, Inc. 107,700 586
- - Analog Devices, Inc. 167,058 4,625
Anchor Bancorp Wisconsin Inc. 29,600 1,077
- - Anchor Gaming 22,001 1,226
Andover Bancorp, Inc. 20,820 838
- - Andrx Corp. 30,400 1,041
Angelica Corp. 39,800 900
- - Anixter International Inc. 69,300 1,143
- - AnnTaylor Stores Corp. 65,800 880
- - Antec Corp. 86,600 1,353
Apartment Investment &
Management Co. Class A REIT 40,000 1,470
- - Apertus Technologies, Inc. 90,500 107
Apogee Enterprises, Inc. 53,300 633
- - Aphton Corp. 57,561 583
- - Apollo Group, Inc. Class A 50,875 2,404
Apple South, Inc. 34,476 453
Applebee's International, Inc. 27,818 502
- - Apria Healthcare 97,480 1,310
- - Applied Analytical Industries, Inc. 51,200 845
- - Applied Graphics
Technologies, Inc. 22,600 1,203
Applied Industrial
Technology, Inc. 42,750 1,143
- - Applied Magnetics Corp. 59,100 657
- - Applied Microsystems Corp. 59,600 334
- - Applix, Inc. 63,279 332
Aptargroup Inc. 28,100 1,559
Aquarion Co. 28,249 976
- - Aquila Biopharmaceuticals, Inc. 920 4
Arbor Drugs, Inc. 80,738 1,494
- - Arbor Software Corp. 31,000 1,255
- - Arcadia Financial Ltd. 107,300 798
Arch Coal, Inc. 36,300 994
Arden Realty Group, Inc. REIT 35,200 1,082
AREA Bancshares Corp. 44,525 1,069
Argonaut Group, Inc. 41,619 1,410
- - Argosy Gaming Co. 114,400 393
- - Arkansas Best Corp. 72,500 707
Arnold Industries, Inc. 53,000 914
- - Arrow Electronics, Inc. 97,900 3,176
Arrow International, Inc. 39,800 1,473
- - Arterial Vascular Engineering, Inc. 42,800 2,782
- - Artisoft, Inc. 99,500 196
Arvin Industries, Inc. 38,500 1,282
ASA Holdings Inc. 25,300 719
- - Ascend Communications, Inc. 193,434 4,739
- - Ascent Entertainment Group, Inc. 83,064 862
- - Aspect Telecommunications Corp. 47,600 994
- - Aspen Technologies, Inc. 6,400 219
Associated Banc-Corp. 57,664 3,179
Associated Estates Realty
Corp. REIT 43,400 1,028
- - Associated Group, Inc. 42,856 1,270
- - Associated Group, Inc. Class B 11,550 336
- - At Home Corp. Series A 85,100 2,138
@Entertainment, Inc. 39,900 444
Associates First Capital Corp. 92,800 6,600
Astoria Financial Corp. 45,978 2,563
Astro-Med, Inc. 38,150 305
- - Guy F. Atkinson Co. of California 61,900 85
Atlantic Energy, Inc. 51,600 1,093
- - Atlas Air, Inc. 19,700 473
- - Atmel Corp. 99,200 1,841
- - Atrix Laboratories, Inc. 53,134 784
- - Atwood Oceanics, Inc. 31,900 1,511
- - Autotote Corp. 121,167 295
Avalon Properties, Inc. REIT 43,500 1,346
- - Avant! Corp. 43,890 735
- - Avatar Holding, Inc. 30,600 870
- - Avatex Corp. 58,402 109
- - Avecor Cardiovascular, Inc. 66,900 426
- - Aviall Inc. 60,800 908
- - Avid Technology, Inc. 46,200 1,236
- - Avis Rent A Car, Inc. 42,500 1,357
Avnet, Inc. 42,642 2,814
- - Avondale Industries, Inc. 37,300 1,107
- - AXENT Technologies, Inc. 44,300 764
- - Aydin Corp. 47,700 563
- - Aztar Corp. 125,900 787
- - BEC Group Inc. 130,770 776
BHA Group Holdings Inc. 36,270 707
BHC Communications, Inc.
Class A 23,615 3,076
- - BISYS Group, Inc. 22,200 738
- - BJ Services Co. 38,300 2,755
- - BJ's Wholesale Club, Inc. 37,100 1,164
BMC Industries, Inc. 42,204 680
- - BMC Software, Inc. 105,300 6,910
BRE Properties Inc. Class A REIT 46,900 1,319
BSB Bancorp, Inc. 30,544 1,092
- - BT Office Products
International, Inc. 98,500 763
- - BTG Inc. 62,200 614
Badger Meter, Inc. 26,000 1,059
Bairnco Corp. 70,200 698
J. Baker, Inc. 83,209 468
Baldor Electric Co. 62,307 1,351
Baldwin & Lyons, Inc. Class B 40,900 987
Ballard Medical Products 55,866 1,355
- - Bally Total Fitness Holding Corp. 74,789 1,636
BancFirst Corp. 23,850 802
</TABLE>
9
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<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
MARKET
VALUE*
EXTENDED MARKET PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C>
Bandag, Inc. 22,162 $ 1,184
Bandag, Inc. Class A 600 29
Bank North Group 18,700 1,201
Bank United Corp. Class A 27,000 1,321
Banta Corp. 27,125 732
- - Barnes & Noble, Inc. 68,200 2,276
- - Barnwell Industries, Inc. 13,400 234
- - Barr Labs Inc. 36,800 1,256
- - Barrett Business Services, Inc. 53,800 632
- - Barrett Resources Corp. 51,950 1,571
- - Basin Exploration Inc. 54,298 964
Bassett Furniture Industries, Inc. 33,900 1,017
Bay Apartment Communities,
Inc. REIT 26,200 1,022
- - BEA Systems, Inc. 55,700 964
Bear Stearns Co., Inc. 123,037 5,844
BeautiControl Cosmetics 49,950 368
Beckman Instruments, Inc. 28,900 1,156
- - Bed Bath & Beyond, Inc. 69,800 2,687
Bedford Property Investors,
Inc. REIT 39,000 853
- - Bel Fuse, Inc. 41,600 796
- - Belco Oil & Gas Corp. 59,200 1,114
Belden, Inc. 25,800 909
A. H. Belo Corp. Class A 64,103 3,598
- - Ben & Jerry's Homemade, Inc.
Class A 46,300 718
- - Berg Electronics Corp. 38,400 874
Bergen Brunswig Corp. Class A 50,266 2,117
- - Beringer Wine Estates
Holdings, Inc. 1,000 38
W.R. Berkley Corp. 27,850 1,222
- - Berkshire Hathaway Class A 1,261 58,006
Berkshire Realty Co., Inc. REIT 87,600 1,051
- - Berlitz International, Inc. 32,726 871
Berry Petroleum Class A 51,900 905
- - Bertucci's Holding Corp. 65,400 417
- - Best Buy Co., Inc. 49,200 1,814
- - BET Holdings Inc. Class A 23,700 1,295
BetzDearborn Inc. 28,900 1,765
- - Beverly Enterprises, Inc. 113,000 1,469
- - Billing Information Concepts 21,636 1,038
Bindly Western Industries, Inc. 40,200 1,241
Binks Sames Corp. 18,950 801
- - Bio-Rad Laboratories, Inc. Class A 32,847 858
- - Biotechnology General 96,000 1,032
- - BioCryst Pharmaceuticals, Inc. 91,600 641
- - Biocircuits Corp. 7,200 6
- - Biogen, Inc. 74,738 2,719
- - Biomatrix, Inc. 39,867 1,196
- - BioSpecifics Technology 40,800 184
Birmingham Steel Corp. 42,150 664
Blair Corp. 38,900 671
E.W. Blanch Holdings, Inc. 37,000 1,274
- - Blessings Corp. 53,400 788
Block Drug Co. Class A 19,992 865
Blount International, Inc. 53,000 1,414
- - Bluegreen Corp. 150,040 656
- - Blyth Industries, Inc. 47,050 1,408
Bob Evans Farms, Inc. 68,016 1,505
- - Boise Cascade Office
Products Corp. 61,276 915
- - Bombay Co. 148,862 688
- - Borders Group, Inc. 77,900 2,439
Borg-Warner Automotive, Inc. 24,200 1,258
- - Boston Chicken, Inc. 66,900 431
- - Boston Communications
Group, Inc. 76,400 831
Boston Edison Co. 50,600 1,916
Boston Properties, Inc. 53,000 1,752
- - Boston Technology, Inc. 54,800 1,377
BostonFed Bancorp, Inc. 34,500 755
Bowater Inc. 39,249 1,744
- - Boyd Gaming Corp. 158,000 1,047
Boykin Lodging Co. REIT 32,200 851
Bradley Real Estate Inc. REIT 51,137 1,074
W.H. Brady Class A 35,000 1,085
Breed Technological Inc. 59,000 1,077
Brenton Banks, Inc. 27,966 1,119
- - Bright Horizons, Inc. 2,500 47
- - Brightpoint, Inc. 92,200 1,279
- - Brinker International, Inc. 72,763 1,164
- - Bristol Hotel Co. 40,650 1,181
- - BroadVision, Inc. 107,800 701
- - Broadway & Seymour, Inc. 69,500 669
- - Broderbund Software, Inc. 43,300 1,109
Brooke Group Ltd. 107,100 924
- - Brooks Fiber Properties, Inc. 46,100 2,535
- - Brothers Gourmet Coffees, Inc. 87,200 98
Brown Group, Inc. 54,906 731
Brush Wellman, Inc. 37,200 911
- - Buffets Inc. 98,493 923
- - Builders Transport, Inc. 38,700 56
Burlington Coat Factory
Warehouse Corp. 76,500 1,257
- - Burlington Industries, Inc. 50,600 699
Burlington Resources Coal Seam
Gas Royalty Trust 28,700 176
- - Burr-Brown Corp. 45,000 1,446
- - Bush Boake Allen, Inc. 32,200 843
Bush Industries, Inc. 33,010 858
- - CAI Wireless Systems, Inc. 123,530 139
CCB Financial Corp. 29,172 3,136
- - C-COR Electronics, Inc. 55,500 853
- - C-Cube Microsystems, Inc. 55,500 905
- - CDI Corp. 16,800 769
- - CDW Computer Centers, Inc. 25,000 1,303
CFX Corp. 52,623 1,605
C.H. Robinson Worldwide, Inc. 29,400 658
- - CHS Electronics, Inc. 44,700 765
- - The CIT Group, Inc. 164,000 5,289
CKE Restaurants Inc. 49,400 2,081
CMAC Investment Corp. 29,500 1,781
- - CMG Information Services, Inc. 44,576 1,348
- - CML Group, Inc. 114,050 378
- - CMP Media, Inc. 36,800 635
CMS Energy Corp. 100,639 4,434
CPI Corp. 45,200 1,023
- - CNET, Inc. 41,800 1,233
- - CNA Financial Corp. 64,605 8,253
</TABLE>
10
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<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C>
CNB Bancshares, Inc. 17,955 $ 865
CNF Transportation, Inc. 47,700 1,830
- - CRW Financial, Inc. 42,900 135
- - CSG Systems International, Inc. 8,100 324
- - CTC Communications Corp. 76,900 1,014
- - CUNO Inc. 49,800 759
- - Cable Michigan, Inc. 8,400 192
- - Cablevision Systems Corp.
Class B 22,400 2,145
- - Cable Design Technologies 34,648 1,347
Cabot Corp. 72,132 1,993
Cabot Oil & Gas Corp. Class A 52,364 1,018
- - Cadence Design Systems, Inc. 207,932 5,094
- - Cadiz Land Co., Inc. 120,900 1,035
- - CalEnergy Co. 80,792 2,323
Calgon Carbon Corp. 88,400 950
Callaway Golf Co. 75,400 2,154
- - Callon Petroleum Co. 38,400 625
CalMat Co. 47,400 1,321
- - Calpine Corp. 57,400 854
- - Calumet Bancorp, Inc. 21,600 722
CAM Designs, Inc. 29,800 100
- - Cambridge Technology Partners 50,700 2,110
Camco International, Inc. 45,580 2,903
Camden Property Trust REIT 40,668 1,261
- - Cameron Ashley Building
Products 45,300 759
- - Canandaigua Brands, Inc. Class A 17,900 991
- - Canandaigua Brands, Inc. Class B 6,375 363
- - Canmax, Inc. 2,000 2
Capital One Financial Corp. 67,076 3,635
Capital Re Corp. 21,400 1,328
- - Caprius, Inc. 53,380 43
Capstead Mortgage Corp. 58,500 1,166
- - CapStar Hotel Co. 25,600 878
Caraustar Industries, Inc. 42,700 1,462
- - Caribiner International, Inc. 23,400 1,041
Carlisle Co., Inc. 29,346 1,254
- - Carmike Cinemas, Inc. Class A 31,900 915
Carnival Corp. Class A 310,453 17,191
Carpenter Technology Corp. 20,700 995
CarrAmerica Realty Corp. REIT 58,900 1,866
- - Carrington Labs Inc. 64,872 280
- - Carson Inc. 37,300 249
Carter-Wallace, Inc. 83,700 1,412
Cascade Bancorp 29,630 830
Casey's General Stores 40,000 1,015
Cash America International Inc. 80,310 1,039
- - Casino Magic Corp. 133,800 155
A.M. Castle & Co. 37,225 851
- - Castle & Cooke Inc. 56,333 951
- - Catalina Lighting, Inc. 59,400 212
- - Catalina Marketing Corp. 16,900 782
- - Catellus Development Corp. 104,501 2,090
Cato Corp. Class A 90,500 803
- - Cayenne Software Inc. 111,600 230
- - Cellstar Corp. 52,200 1,037
- - Cellegy Pharmaceuticals, Inc. 48,600 407
- - Cellular Technical Services Co. 135,650 432
- - Cellularvision USA, Inc. 94,100 565
- - Celtrix Pharmaceuticals 75,300 136
CenterPoint Properties Corp. REIT 36,600 1,286
- - Centocor, Inc. 70,000 2,328
Central Cooperative Bank 27,100 772
Central Hudson Gas &
Electric Corp. 23,800 1,044
Central Louisiana Electric Co. 45,792 1,483
Central Maine Power Co. 77,467 1,181
Central Newspapers Inc. 22,550 1,667
Central Parking Corp. 27,300 1,237
- - Central Sprinkler Corp. 35,107 647
Central Vermont Public
Service Corp. 31,500 480
Centura Banks, Inc. 26,400 1,822
- - Century Communications Corp.
Class A 162,181 1,581
Century Telephone
Enterprises, Inc. 63,077 3,142
- - Cephalon, Inc. 77,800 885
- - Cerner Corp. 57,230 1,209
- - Chalone Wine Group Ltd. 58,300 685
- - Champion Enterprises, Inc. 46,514 956
- - Chancellor Media Corp. 66,535 4,965
Chaparral Steel Co. 55,400 855
Charter One Financial 74,007 4,672
- - Chartwell Leisure Corp 48,753 814
Chartwell Re Corp. 31,210 1,053
Chateau Communities, Inc. REIT 46,212 1,456
- - Checkers Drive-In Restaurant 104,400 91
- - Checkfree Holdings Corp. 57,500 1,553
Checkpoint Systems, Inc. 75,326 1,318
Chelsea GCA Realty, Inc. REIT 31,300 1,195
Chemed Corp. 21,000 870
ChemFirst Inc. 39,200 1,107
- - Chemical Fabrics Corp. 33,414 685
Chesapeake Corp. of Virginia 42,383 1,457
Chesapeake Energy Corp. 134,300 1,016
- - Chic By H.I.S., Inc. 68,100 498
- - Chico's Fas, Inc. 37,686 254
- - Choice Hotel International, Inc. 59,000 944
Chiquita Brands
International, Inc. 78,065 1,273
- - Chiron Corp. 174,740 2,971
- - Chock Full O'Nuts Corp. 92,660 649
- - ChoicePoint Inc. 30,500 1,456
- - Cholestech Corp. 86,500 1,081
- - Chris-Craft Industries, Inc. 31,002 1,622
- - Christiana Cos., Inc. 20,800 824
Church & Dwight, Inc. 34,500 968
- - Ciber, Inc. 21,700 1,259
- - CIENA Corp. 101,500 6,204
Cilcorp, Inc. 17,700 865
Cincinnati Bell, Inc. 141,500 4,387
Circle International Group, Inc. 38,700 888
- - Circon Corp. 49,473 754
- - Circuit City Stores, Inc.-
CarMax Group 7,000 63
- - Cirrus Logic 62,500 664
Cintas Corp. 98,800 3,853
- - Circus Circus Enterprises Inc. 96,059 1,969
Citifed Bancorp 31,275 1,220
Citizens Bancshares, Inc. 17,200 1,260
</TABLE>
11
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<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
MARKET
VALUE*
EXTENDED MARKET PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C> <C>
Citizens Banking Corp. 33,000 $ 1,139
Citizens Corp. 34,500 992
- - Citizens, Inc. 103,300 671
- - Citizens Utilities Co. Class B 253,718 2,442
- - Citrix Systems, Inc. 33,600 2,554
City Holding Co. 14,650 615
City National Corp. 46,688 1,725
- - Cityscape Financial Corp. 90,900 45
- - Civic Bancorp 24,201 472
Claire's Stores, Inc. 47,000 914
Clarcor Inc. 37,800 1,120
- - Claremont Technology Group, Inc. 44,200 818
- - Clarify, Inc. 76,100 885
Clayton Homes Inc. 119,797 2,156
- - Clean Harbors Inc. 43,500 68
Cleveland-Cliffs Iron Co. 16,400 751
- - Cliffs Drilling Co. 15,400 768
Coachmen Industries, Inc. 49,500 1,067
- - Coast Savings Financial, Inc. 29,800 2,043
- - Coastal Physician Group, Inc. 124,200 101
Coca-Cola Enterprises, Inc. 400,551 14,245
- - Coda Music Technology, Inc. 51,100 51
- - Code Alarm, Inc. 27,600 33
- - Coeur D'Alene Mines Corp. 58,100 523
- - Cognex Corp. 51,550 1,405
- - Coherent Communications
Systems Corp. 37,700 1,051
- - Coherent, Inc. 26,823 942
- - Coleman Inc. 46,900 753
Collagen Corp. 41,203 860
- - Collins & Aikman Corp. 110,100 950
Colonial BancGroup, Inc. 39,800 1,371
Colonial Gas Co. 21,676 625
- - Coltec Inc. 63,700 1,477
ComAir Holdings, Inc. 65,124 1,571
- - Comfort Systems USA, Inc. 56,100 1,108
Comdisco, Inc. 73,138 2,446
Commerce Bancorp, Inc. 31,065 1,584
Commerce Bancshares, Inc. 38,970 2,640
Commerce Group, Inc. 35,900 1,171
Commercial Assets 90,000 602
Commercial Federal Corp. 50,175 1,784
Commercial Metals Co. 27,166 857
Commonwealth Energy Systems 36,800 1,224
- - Commonwealth Telephone
Enterprises, Inc. 28,300 732
- - Commonwealth Telephone
Enterprises Class B 7,400 194
- - CommScope, Inc. 104,500 1,404
Communications Systems, Inc. 41,400 735
Community First Bankshares 27,158 1,446
Community Trust Bancorp Inc. 30,860 961
Compass Bancshares Inc. 65,598 2,870
- - Competitive Technologies, Inc. 43,600 354
- - CompuServe Corp. 89,200 1,082
- - CompUSA, Inc. 92,200 2,858
- - Computer Outsourcing
Services, Inc. 57,600 576
Computer Task Group, Inc. 40,708 1,448
- - Computervision Corp. 153,300 584
- - Computron Software, Inc. 76,500 182
- - Compuware Corp. 179,600 5,747
COMSAT Corp. 45,400 1,101
- - Comverse Technology, Inc. 25,800 1,006
- - Concentra Managed Care 40,100 1,353
- - Computer Horizons Corp. 45,338 2,040
- - Concord EFS, Inc. 60,575 1,507
- - Conmed Corp. 44,300 1,163
- - Consilium, Inc. 49,200 123
- - Consolidated Cigar Holdings Inc. 52,300 1,442
- - Consolidated Freightways Corp. 62,950 858
Consolidated Papers 44,500 2,375
- - Consolidated Products Inc. 57,496 942
- - Consolidated Stores, Inc. 87,551 3,847
- - Consolidated Technology Group 24,500 4
- - Consumer Portfolio Services, Inc. 69,500 669
- - ContiFinancial Corp. 44,800 1,128
- - Continental Airlines, Inc. Class B 55,700 2,681
- - Continental Materials Corp. 35,600 957
- - Converse Inc. 79,833 479
- - Cooper Cameron Corp. 53,500 3,264
- - Copley Pharmaceutical, Inc. 101,417 570
- - Coram Healthcare Corp. 175,429 592
- - COREStaff, Inc. 37,050 982
Cornerstone Properties, Inc. REIT 86,600 1,662
- - Corporate Express, Inc. 128,100 1,649
- CorporateFamily Solutions, Inc. 37,800 813
- - Corrections Corp. of America 76,928 2,851
- - Cosmetic Center, Inc. Class C 8,019 17
Cousins Properties, Inc. REIT 50,100 1,469
- - Covance, Inc. 55,360 1,100
- - Coventry Corp. 80,100 1,222
- - Cox Communications Class A 265,154 10,623
Cracker Barrel Old Country
Stores, Inc. 59,733 1,994
- - Craig Corp. 32,823 667
- - Jenny Craig Inc. 88,200 667
Crawford & Co. Class B 76,800 1,570
- - Credence Systems Corp. 41,200 1,221
- - Credit Acceptance Corp. 148,300 1,149
- - Cree Research, Inc. 62,100 1,164
- - Crescent Operating, Inc. REIT 23,980 588
Crescent Real Estate, Inc. REIT 117,100 4,611
Crestar Financial Corp. 113,318 6,459
Crompton & Knowles Corp. 74,000 1,961
A.T. Cross Co. Class A 71,600 725
- - Crown Central Petroleum Corp.
Class B 46,100 936
Crown Crafts, Inc. 56,740 887
Cullen/Frost Bankers, Inc. 27,860 1,691
- - Culligan Water Technologies 26,486 1,331
Curtiss-Wright Corp. 25,800 937
- - Cygnus Inc. 49,200 978
- - Cymer, Inc. 58,120 872
- - Cypress Semiconductor Corp. 84,500 718
- - Cypros Pharmaceuticals Corp. 107,100 455
- - Cytec Industries, Inc. 45,300 2,126
- - Cytogen Corp. 178,469 290
- - DBT Online Inc. 41,554 1,036
DPL, Inc. 108,475 3,119
</TABLE>
12
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<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C> <C>
DQE Inc. 78,343 $ 2,752
D. R. Horton, Inc. 78,000 1,355
- - DST Systems, Inc. 51,200 2,186
- - DSP Communications, Inc. 87,900 1,055
- - DVI, Inc. 48,900 905
- - Dal-Tile International Inc. 91,800 1,125
Dallas Semiconductor Corp. 27,900 1,137
Dames & Moore Group 66,100 876
Danaher Corp. 58,566 3,697
- - Danielson Holdings Corp. 89,700 650
- - Darling International, Inc. 68,100 579
Dart Group Corp. Class A 6,670 774
- - Data Broadcasting Corp. 134,756 758
- - Data Systems & Software, Inc. 50,600 215
- - Dataware Technologies, Inc. 46,600 122
- - DataWorks Corp. 43,878 872
- - Datascope Corp. 42,600 1,102
- - Datastream Systems, Inc. 33,100 1,026
- - Davel Communications
Group, Inc. 31,900 813
- - Dave & Busters 38,260 861
Dean Foods Corp. 41,933 2,495
Deb Shops, Inc. 95,500 531
- - DecisionOne Holdings Corp. 24,729 618
DEKALB Genetics Corp. Class B 32,400 1,272
Delmarva Power & Light Co. 57,900 1,335
Delta & Pine Land Co. 51,700 1,577
Deltic Timber Corp. 10,451 286
Delta Woodside 111,900 546
- - Delta Financial Corp. 50,500 675
DENTSPLY International Inc. 52,600 1,604
- - Department 56 Inc. 18,800 541
Deposit Guaranty Corp. 42,300 2,406
DePuy, Inc. 100,900 2,901
- - Detroit Diesel Corp. 52,322 1,243
Developers Diversified Realty
Corp. REIT 30,000 1,148
Devon Energy Corp. 31,600 1,217
- - Devry, Inc. 33,400 1,065
Dexter Corp. 35,900 1,550
Diagnostic Products Corp. 34,377 954
Dial Corp. 105,800 2,202
- - Dialogic Corp. 31,700 1,387
- - Diamond Multimedia
Systems, Inc. 98,000 870
Diamond Offshore Drilling, Inc. 143,900 6,925
- - Diamond Technology
Partners Inc. 48,390 750
Diebold, Inc. 69,726 3,530
- - Digi International, Inc. 58,050 987
- - Digital Generation Systems 93,495 234
- - Digital Lightwave, Inc. 57,050 749
- - Digital Microwave Corp. 85,746 1,243
Dime Bancorp, Inc. 151,746 4,590
Dimon Inc. 55,350 1,453
- - Dionex Corp. 23,700 1,191
Dole Food Co. 62,300 2,850
Dollar General Corp. 118,207 4,285
- - Dollar Thrifty Automotive Group 22,000 451
- - Dollar Tree Stores, Inc. 38,375 1,588
Donaldson Co., Inc. 29,100 1,311
Donaldson, Lufkin & Jenrette, Inc. 57,000 4,532
Donnelly Corp. 41,512 698
- - Donnkenny, Inc. 34,600 93
- - Dove Audio, Inc. 24,500 31
Downey Financial Corp. 52,305 1,487
- - Dravo Corp. 73,061 804
- - The Dress Barn, Inc. 50,200 1,424
- - Drexler Technology Corp. 59,411 609
Dreyer's Grand Ice Cream, Inc. 52,200 1,259
- - Drug Emporium, Inc. 106,330 419
- - Drypers Corp. 117,100 688
Duke Realty Investments,
Inc. REIT 73,200 1,775
- - DuPont Photomasks, Inc. 31,100 1,085
- - Dura Pharmaceuticals, Inc. 45,414 2,083
- - Dynatech Corp. 34,000 1,594
- - EA Engineering Sciences and
Technology Inc. 41,700 83
- - EEX Corp. 137,000 1,242
ENSCO International, Inc. 147,400 4,938
- - ERD Waste Corp. 15,100 1
- - ESS Technology, Inc. 99,400 755
- - ETEC Systems, Inc. 21,000 977
- - EVI Inc. 50,900 2,634
- - E*TRADE Group, Inc. 36,100 830
- - Eagle Food 86,200 345
- - Eagle Finance Corp. 44,100 39
- - Eagle Hardware & Garden, Inc. 48,800 946
Earthgrains Co. 20,000 940
East Texas Financial Services, Inc. 16,000 380
Eastern Utilities Associates 50,881 1,336
EastGroup Properties, Inc. REIT 45,200 977
- - Echelon International Corp., Inc. 34,100 765
- - Ecogen, Inc. 32,940 64
Ecology and Environment, Inc. 6,925 81
- - Educational Alternatives Inc. 78,000 346
- - Education Management Corp. 38,200 1,184
- - J.D. Edwards & Co. 87,450 2,580
A.G. Edwards & Sons, Inc. 99,122 3,940
- - Egghead, Inc. 102,169 664
- - 800-JR CIGAR, Inc. 25,700 643
- - Einstein/Noah Bagel Corp. 110,400 614
- - El Paso Electric Co. 159,866 1,169
El Paso Natural Gas 61,432 4,085
Elcor Corp. 39,300 943
- - Electromagnetic Sciences, Inc. 39,214 794
- - Electronic Arts Inc. 57,000 2,155
Electronic Data Systems Corp. 510,345 22,423
- - Electronics for Imaging, Inc. 53,000 881
Empire District Electric Co. 34,755 682
- - Energy Biosystems Corp. 86,900 282
- - Energy Conversion Devices, Inc. 54,225 657
Engineered Support Systems, Inc. 61,800 1,136
Energy North, Inc. 28,911 833
Enhance Financial Services
Group, Inc. 18,700 1,113
Enova Corp. 115,000 3,112
Enron Oil & Gas Co. 159,176 3,373
- - Ensec International Inc. 25,000 8
- - Enstar Inc. 21,266 165
</TABLE>
13
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<CAPTION>
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MARKET
VALUE*
EXTENDED MARKET PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C> <C>
Enterprise Federal Bancorp, Inc. 3,000 $ 95
- - EntreMed, Inc. 70,500 798
- - Epitope Inc. 96,100 481
The Equitable Cos. 213,109 10,602
Equitable Resources, Inc. 34,750 1,229
Equity Office Properties
Trust REIT 244,200 7,708
Equity Residential Properties
Trust REIT 80,800 4,085
- - Equivest Finance, Inc. 51,675 278
- - ErgoBilt, Inc. 55,600 521
Erie Indemnity Co. Class A 67,417 1,989
Essex County Gas Co. 6,800 311
- - Essex International, Inc. 28,000 833
- - Esterline Technologies Corp. 26,155 942
Ethan Allen Interiors, Inc. 28,500 1,099
Ethyl Corp. 119,704 920
- - Europa Cruises Corp. 48,700 33
Everest Reinsurance
Holdings, Inc. 49,300 2,034
Evergreen Bancorp, Inc. 37,900 943
- - Exabyte Corp. 81,300 523
- - EXCEL Communications, Inc. 138,801 2,013
- - Excel Switching Corp. 50,500 903
Exide Corp. 48,100 1,245
Expeditors International of
Washington, Inc. 43,100 1,659
- - Expert Software Inc. 31,800 113
- - Express Scripts 27,400 1,644
- - Extended Stay America, Inc. 88,900 1,106
F & M Bancorp 16,485 626
- - FAC Realty Inc. REIT 91,200 707
FFY Financial Corp. 23,100 765
- - FPA Medical Management, Inc. 33,400 622
- - FSI International, Inc. 60,500 711
- - FTP Software, Inc. 116,900 263
- - Fairchild Corp. 47,700 1,187
- - Falcon Drilling Co., Inc. 82,400 2,889
Family Dollar Stores, Inc. 112,100 3,286
- - Fastcomm Communications Corp. 25,100 60
Fastenal Co. 37,700 1,442
Federal-Mogul Corp. 37,100 1,503
Federal Realty Investment
Trust REIT 36,300 935
Federal Signal Corp. 42,737 924
Felcor Suite Hotels, Inc. REIT 36,200 1,285
- - Female Health Co. 37,600 132
Ferro Corp. 34,463 838
- - Figgie International Inc. Class A 61,300 805
- - Filene's Basement Corp. 113,450 454
- - FileNet Corp. 50,600 1,524
FINA Inc. 29,900 1,914
Financial Security Assurance
Holdings Ltd. 31,100 1,501
- - Fine Host Corp. 28,500 143
Fingerhut Co. 41,746 892
FINOVA Group, Inc. 56,396 2,802
First American Corp. (Tenn.) 60,400 3,005
First American Bank Corp. 90,538 6,983
First Bancorp North Carolina 3,500 123
First Bell Bancorp, Inc. 40,200 764
First Brands Corp. 41,800 1,126
First Citizens BancShares Class A 11,300 1,176
First Commerce Corp. 40,615 2,731
First Commercial Corp. 36,577 2,144
First Federal Capital Corp. 28,050 950
First Empire State Corp. 6,700 3,116
First Hawaiian, Inc. 30,800 1,224
First Home Bancorp Inc. 4,266 129
First Industrial Realty Trust REIT 29,500 1,066
First Midwest Financial, Inc. 1,050 24
First Mutual Savings Bank 4,422 82
- - First Pacific Networks, Inc. 73,000 2
First Palm Beach Bancorp 22,100 953
- - First Republic Bank 33,600 1,073
First Security Corp. 117,168 4,906
First Southern Bancshares 1,600 24
First Tennessee National Corp. 65,300 4,359
First United Bancorporation 14,876 311
First Virginia Banks, Inc. 54,263 2,805
Firstar Corp. 150,622 6,392
- - FIRSTPLUS Financial Group, Inc. 44,200 1,696
- - FIserv, Inc. 53,250 2,616
- - First Federal Financial Corp. 29,275 1,134
First Bancorp of Ohio 61,000 1,731
Fisher Scientific
International Inc. 26,000 1,242
- - Flagstar Cos. 109,500 2
Fleming Cos., Inc. 40,000 538
Flexsteel Industry 37,800 534
Florida East Coast Railway Co. 8,900 856
- - Florida Panthers Holdings, Inc. 62,800 1,083
Florida Progress Corp. 100,800 3,956
Florida Rock Industries, Inc. 43,200 983
- - Florsheim Group Inc. 66,615 421
Flowers Industries, Inc. 88,000 1,810
Flowserve Corp. 62,094 1,735
Fluke Corp. 43,690 1,139
Flushing Financial Corp. 34,100 814
Food Lion Inc. Class A 430,150 3,629
Food Lion Inc. Class B 50,005 413
- - Foodarama Supermarkets, Inc. 22,400 510
- - Footstar Inc. 27,400 736
- - Forcenergy Inc. 50,726 1,328
- - FORE Systems, Inc. 95,800 1,461
Foremost Corp. of America 19,500 1,360
Forest City Enterprise Class A 25,950 1,508
- - Forest Laboratories, Inc. 39,608 1,953
- - Forte Software, Inc. 75,100 573
- - Foundation Health Systems
Class A 124,632 2,789
Franchise Finance Corp. of
America REIT 38,900 1,050
- - Franklin Bancorporation, Inc. 39,075 830
- - Franklin Covey Co. 44,400 977
- - Franklin Electronic
Publishers, Inc. 58,900 736
Franklin Resources Corp. 131,020 11,391
- - Freeport-McMoRan
Sulphur Inc. 9,098 107
Fremont General Corp. 37,027 2,027
- - Friede Goldman International, Inc. 44,500 1,329
</TABLE>
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<TABLE>
<CAPTION>
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MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C> <C>
Frisch's Restaurants, Inc. 46,234 $ 618
- - Fritz Cos., Inc. 78,100 1,089
Frontier Insurance Group, Inc. 58,600 1,340
H.B. Fuller Co. 22,150 1,096
Fulton Financial Corp. 38,751 1,259
Fund American Enterprise
Holding Co. 12,185 1,474
- - Furniture Brands International Inc. 68,200 1,398
G & K Services, Inc. 34,725 1,458
G & L Realty Corp. 36,200 767
GATX Corp. 25,000 1,814
- - GST Telecommunications Inc. 80,500 956
- - GT Interactive Software Corp. 119,700 763
Gainsco, Inc. 89,261 759
Galileo International, Inc. 108,900 3,008
Arthur J. Gallagher & Co. 32,900 1,133
- - Garden Fresh Restaurant Corp. 40,500 582
- - Gartner Group, Inc. Class A 97,500 3,632
- - GateField Corp. 97,488 134
- - Gateway 2000, Inc. 157,700 5,145
- - Gaylord Container Corp. 144,900 833
Gaylord Entertainment Co.
Class A 32,157 1,027
GenCorp, Inc. 50,000 1,250
- - Genentech, Inc. Special
Common Stock 128,573 7,795
General Binding Corp. 32,800 984
- - General DataComm
Industries, Inc. 126,600 593
General Growth Properties
Inc. REIT 36,500 1,319
General Motors Corp. Class H 105,452 3,895
- - General Nutrition Cos., Inc. 82,000 2,788
- - General Scanning, Inc. 34,500 595
- - General Semiconductor, Inc. 92,250 1,067
- - Gentex Corp. 57,700 1,551
- - Genesis Health Ventures Inc. 55,850 1,473
- - Geneva Steel Class A 70,900 146
- - Genlyte Group, Inc. 49,400 877
- - Genome Therapeutics Corp. 88,530 559
Genovese Drug Stores, Inc.
Class A 49,889 854
- - Genrad, Inc. 50,112 1,513
- - Gensia Sicor Inc. 182,207 1,059
Geon Co. 50,100 1,171
- - Genzyme Corp. 75,576 2,097
Georgia Gulf Corp. 32,782 1,004
- - Georgia Pacific (Timber Group) 100,000 2,269
Gerber Scientific, Inc. 59,600 1,185
- - Getchell Gold Corp. 35,919 862
Getty Realty Corp. 46,632 1,032
- - Getty Petroleum Marketing Inc. 121,032 654
- - Gibson Greetings, Inc. 40,100 877
- - Gilead Sciences, Inc. 37,500 1,434
P.H. Glatfelter Co. 70,400 1,311
- - Glenayre Technologies, Inc. 116,912 1,155
Glenborough Realty Trust,
Inc. REIT 53,800 1,594
- - Global Motorsport Group Inc. 45,000 523
- - Global DirectMail Corp. 32,846 569
- - Global Industrial
Technologies, Inc. 57,700 977
- - Global Industries Ltd. 88,100 1,498
- - Global Marine, Inc. 175,000 4,288
- - Globalink, Inc. 62,700 157
- - Globe Business Resources, Inc. 27,100 572
- - Gold Reserve Corp. 63,400 230
- - Golden Books Family
Entertainment, Inc. 90,500 933
Golden Enterprises Inc. 73,300 495
- - Golden State Bancorp Inc. 49,105 1,835
- - E. Gottschalk & Co., Inc. 72,800 610
Graco, Inc. 33,577 1,253
- - Graham-Field Health
Products Inc. 63,516 1,060
- - Grand Casinos, Inc. 79,600 1,085
Granite State Bankshares, Inc. 24,650 659
- - Great Bay Casino Corp. 17,221 22
Green Mountain Power Corp. 16,907 310
Green Point Financial Corp. 45,300 3,287
Grief Brothers Corp. Class A 41,200 1,396
- - Grey Wolf, Inc. 164,400 884
- - Grist Mill Co. 45,950 460
- - GTech Holdings Corp. 42,000 1,341
- - Guess ?, Inc. 109,300 751
Guilford Mills, Inc. 39,425 1,079
- - Gulfstream Aerospace Corp. 74,200 2,170
- - Gundle/SLT Environmental, Inc. 131,300 689
- - Gymboree Corp. 27,060 741
HCC Insurance Holdings, Inc. 43,600 927
HFNC Financial Corp. 56,300 816
- - HMN Financial, Inc. 30,400 988
- - HMT Technology Corp. 84,800 1,102
HSB Group Inc. 19,143 1,056
- - HSN, Inc. 47,291 2,435
HUBCO, Inc. 42,954 1,681
- - Hadco Corp. 23,051 1,043
- - Haemonetics Corp. 64,900 909
- - Halter Marine Group, Inc. 50,593 1,461
- - Hambrecht & Quist Group 23,400 854
Hancock Fabrics, Inc. 63,900 927
Hancock Holding Co. 20,085 1,215
- - Handleman Co. 128,100 889
Handy & Harman 40,300 1,390
M.A. Hanna Co. 50,975 1,287
Hannaford Brothers Co. 42,800 1,859
- - Hanover Compressor Co. 56,400 1,153
- - Hanover Direct, Inc. 96,876 285
- - Harbinger Corp. 34,088 959
Harley-Davidson, Inc. 157,108 4,301
Harman International
Industries, Inc. 17,114 726
Harrodsburg First Financial
Bancorp 9,800 164
Harsco Corp. 48,632 2,097
Harte-Hanks Communications Co. 35,091 1,303
Hartford Life, Inc. 37,800 1,713
- - Hauser, Inc. 85,200 511
Haven Bancorp, Inc. 38,000 855
Hawaiian Electric Industries Inc. 29,335 1,199
</TABLE>
15
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<TABLE>
<CAPTION>
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MARKET
VALUE*
EXTENDED MARKET PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C> <C>
- - Healthcare Services Group, Inc. 53,476 $ 675
Health Care Properties Investors 30,100 1,138
- - Health Management Associates
Class A 170,332 4,301
- - Healthcare & Retirement Corp. 45,050 1,813
- - HealthCare COMPARE Corp. 32,165 1,644
- - Healthcare Financial
Partners, Inc. 27,100 962
Healthcare Realty Trust Inc. 41,000 1,186
HealthPlan Services Corp. 45,300 951
- - Heartport Inc. 54,200 1,104
- - Heartland Technology, Inc 2,300 38
Health and Retirement
Properties Trust 97,600 1,952
Health Care REIT, Inc. 48,400 1,361
- - Hecla Mining Co. 153,200 756
- - Hector Communications Corp. 35,350 327
- - Heftel Broadcasting Corp. 27,800 1,300
HEICO Corp. 42,729 1,207
Heilig-Meyers Co. 50,618 607
- - Hein-Werner Corp. 11,658 85
- - Hemasure, Inc. 55,200 52
Herbalife International Class A 18,200 382
- - Herbalife International Class B 36,400 783
Hertz Corp. Class A 40,700 1,638
- - Hexcel Corp. 36,800 918
Hibernia Corp. Class A 129,328 2,433
- - High Plains Corp. 107,997 310
- - Highlands Insurance Group 38,000 1,078
Highwood Properties, Inc. REIT 34,900 1,298
Hillenbrand Industries, Inc. 71,850 3,678
- - Hitox Corp. of America 40,700 74
Hollinger International, Inc. 82,600 1,156
Holly Corp. 31,600 873
- - Hollywood Casino Corp. 102,600 189
- - Hollywood Entertainment Corp. 106,171 1,128
- - Home Products International Inc. 41,020 482
- - Homebase Inc. 94,300 743
- - Homeside, Inc. 41,600 1,147
- - Homestead Village, Inc. 66,470 1,001
HON Industries, Inc. 29,000 1,711
Horace Mann Educators Corp. 53,600 1,524
Hormel Foods Corp. 75,700 2,479
- - Host Marriott Services Corp. 89,990 1,339
Hospitality Properties Trust REIT 41,700 1,371
- - Hospitality Worldwide Services 56,500 742
- - Host Marriott Corp. 207,150 4,065
Houghton Mifflin Co. 40,400 1,550
- - House of Fabrics, Inc. 1,299 3
- - Houston Exploration Co. 53,100 976
- - Howmet International Inc. 39,600 594
Hubbell Inc. Class A 500 24
Hubbell Inc. Class B 68,906 3,398
- - Hudson Technology, Inc. 5,600 20
Hughes Supply, Inc. 38,261 1,337
- - Human Genome Sciences, Inc. 26,000 1,034
J.B. Hunt Transport Services, Inc. 34,903 654
- - Hyperion Software Corp. 42,300 1,512
- - Hyseq, Inc. 58,300 561
IBP, Inc. 90,500 1,895
IBS Financial Corp. 47,625 842
ICN Pharmaceuticals, Inc. 46,485 2,269
- - ICOS Corp. 96,200 1,762
- - IDX Systems Corp. 57,582 2,131
IES Industries, Inc. 29,840 1,098
- - IGI, Inc. 68,500 257
- - IHOP Corp. 26,700 868
IMC Global Inc. 133,044 4,357
- - IMC Global Inc.
Warrants Exp. 12/22/2000 14,352 56
IMCO Recycling, Inc. 38,200 614
INMC Mortgage Holdings Inc. 55,700 1,305
- - I-Link, Inc. 80,800 495
IRT Property Co. REIT 80,000 945
- - ITI Technologies, Inc. 36,300 790
- - ITT Educational Services, Inc. 55,400 1,236
- - IXC Communications, Inc. 31,600 991
Idaho Power Co. 37,600 1,415
IDEX Corp. 38,000 1,325
- - IDEXX Laboratories Corp. 74,300 1,184
Illinois Central Corp. 60,500 2,061
- - Identix, Inc. 82,700 796
Illinova Corp. 74,376 2,004
- - Image Entertainment, Inc. 74,500 256
- - Imagyn Medical
Technologies, Inc. 144,884 358
- - Imation Corp. 38,280 612
- - Immunex Corp. 49,700 2,684
- - ImmuLogic
Pharmaceutical Corp. 121,000 227
- - Immune Response 81,083 902
- - Imo Industries, Inc. 15,100 68
- - Imperial Bancorp 39,850 1,965
- - Imperial Credit 51,074 1,047
Imperial Holly Corp. 21,923 239
- - Immunomedics Inc. 160,900 583
- - Inacom Corp. 35,196 988
- - INCYTE Pharmaceuticals, Inc. 40,800 1,836
Independent Bank Corp. 56,200 1,033
Indiana Energy, Inc. 29,700 978
- - Inference Corp. Class A 27,600 109
- - Information Storage
Devices, Inc. 83,400 503
- - Informix Corp. 146,600 696
- - Infinity Financial Technology, Inc. 65,200 1,365
Information Management
Associates, Inc. 63,400 594
- - Information Resources, Inc. 67,734 906
- - Ingram Micro, Inc. 30,800 897
- - Input/Output, Inc. 42,100 1,250
- - Innova Corp. 45,600 695
- - INSO Corp. 67,800 784
Innkeepers USA Trust REIT 70,000 1,085
- - Insurance Auto Auctions, Inc. 68,700 790
- - Integrated Device Technology Inc. 78,200 738
Integrated Health Services, Inc. 63,313 1,975
- - Integrated Silicon Solution, Inc. 77,200 589
- - Integrated Systems, Inc. 60,400 831
- - Integrated Systems Consulting
Group Inc. 53,217 592
- - Intelligent Electronics Inc. 146,802 817
- - Intelligent Medical Imaging, Inc. 86,700 314
Interface, Inc. 39,700 1,151
</TABLE>
16
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<TABLE>
<CAPTION>
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MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C> <C>
- - Interface Systems Inc. 30,300 $ 80
- - Intergraph Corp. 103,400 1,034
- - Interim Services, Inc. 40,200 1,040
- - Interlink Electronics Inc. 36,800 163
Intermet Corp. 45,900 803
- - International Dairy Queen, Inc.
Class A 36,212 970
- - International Home Foods, Inc. 6,600 185
International Game Technology 120,298 3,038
- - International Lottery & Totalizator
Systems Inc. 51,600 42
International Multifoods Corp. 39,869 1,129
- - International Network Services 59,400 1,374
- - International Rectifier Corp. 69,800 825
- - International Specialty
Products, Inc. 93,500 1,397
- - Interneuron Pharmaceutical, Inc. 90,500 860
- - Interpore International 64,800 389
- - Intersolv 71,200 1,442
Interstate Bakeries Corp. 75,000 2,803
- - Interstate Hotels Co. 34,700 1,217
- - InterVoice, Inc. 75,587 567
Intimate Brands, Inc. 263,000 6,328
- - Intuit, Inc. 47,800 1,972
Invacare Corp. 55,243 1,202
- - Investment Technology
Group, Inc. 44,700 1,252
- - Invision Technologies, Inc. 78,100 596
- - Iomega Corp. 268,000 3,333
IPALCO Enterprises, Inc. 45,500 1,908
Irvine Apartment Communities,
Inc. REIT 39,600 1,260
- - ISIS Pharmaceuticals, Inc. 64,974 800
- - i2 Technologies, Inc 28,600 1,509
- - IVAX Corp. 122,800 829
JDN Realty Corp. REIT 37,900 1,227
- - JTS Corp. 119,356 30
- - J & J Snack Foods Corp. 43,400 711
J & L Specialty Steel Inc. 35,700 359
JLG Industries, Inc. 89,000 1,257
- - JLM Industries, Inc. 41,300 423
- - JP Foodservice, Inc. 38,697 1,429
JSB Financial 22,799 1,141
- - Jabil Circuit, Inc. 36,700 1,459
- - Jackpot Enterprises, Inc. 59,327 671
- - Jacobs Engineering Group Inc. 39,300 997
- - Jacor Communications, Inc. 42,700 2,268
- - Jan Bell Marketing Inc. 127,700 319
Jefferson Savings Bancorp, Inc. 41,800 857
- - Jefferson Smurfit Corp. 108,900 1,538
John Alden Financial Corp. 48,600 1,166
John Nuveen Co. Class A 30,543 1,069
Johns Manville Corp. 163,700 1,647
- - Jones Apparel Group, Inc. 52,600 2,262
- - Jones Intercable Inc. 76,600 1,345
Jones Medical Industries, Inc. 40,650 1,555
- - Journal Register Co. 49,200 1,033
- - Just for Feet, Inc. 39,924 524
Justin Industries, Inc. 71,000 967
- - KFX, Inc. 128,850 419
KN Energy, Inc. 31,750 1,715
K2 Inc. 39,045 888
K U Energy Corp. 36,700 1,440
- - K-V Pharmaceutical Co. Class A 45,500 944
- - Kaiser Aluminum &
Chemical Corp. 65,100 574
Kaman Corp. Class A 44,100 722
Kansas City Power & Light Co. 61,800 1,827
Kansas City Southern
Industries, Inc. 109,408 3,474
Kaydon Corp. 50,600 1,651
- - Keane, Inc. 69,000 2,803
- - Kelly Oil Corp. 148,000 324
Kellwood Co. 38,100 1,143
Kelly Services, Inc. Class A 36,337 1,090
- - KEMET Corp. 36,700 711
Kennametal, Inc. 25,055 1,298
- - Kensey Nash Corp. 50,200 835
- - Kent Electronics Corp. 36,000 905
Kentucky First Bancorp, Inc. 11,600 173
- - Key Tronic Corp. 66,100 289
KeySpan Energy Corp. 52,850 1,946
- - Keystone Consolidated
Industries, Inc. 41,919 503
Keystone Financial, Inc. 54,800 2,206
Kimball International, Inc. Class B 55,400 1,021
Kimco Realty Corp. REIT 42,150 1,486
- - Kirby Corp. 56,700 1,095
Klamath First Bancorp 38,200 821
Knape & Vogt Manufacturing Co. 38,062 828
- - Knoll, Inc. 41,800 1,343
Koger Equity, Inc. REIT 51,200 1,123
- - Kohls Corp. 79,800 5,436
- - Komag, Inc. 79,200 1,178
- - Koo Koo Roo, Inc. 87,300 188
- - Kronos, Inc. 28,050 864
- - Kulicke & Soffa Industries, Inc. 45,900 855
- - L.A. Gear, Inc. 136,216 8
- - LCA-Vision, Inc. 32,933 37
- - LCI International, Inc. 119,741 3,682
LG&E Energy Corp. 66,100 1,636
- - LHS Group, Inc. 23,700 1,416
LNR Property Corp. 63,150 1,492
LTV Corp. 102,723 1,002
- - LTX Corp. 139,412 619
La Quinta Inns Inc. 74,449 1,438
La-Z-Boy Inc. 24,600 1,061
Lab Holdings, Inc. 29,400 684
LabOne Inc. 48,400 850
- - Laboratory Corp. of America 186,044 314
Lafarge Corp. 64,300 1,901
- - Laidlaw Environmental
Services, Inc. 163,100 795
- - LAM Research Corp. 54,535 1,595
Lancaster Colony Corp. 28,210 1,590
Lance, Inc. 52,841 1,390
Landmark Bancshare, Inc. 17,000 423
- - Lands' End, Inc. 36,300 1,273
- - Landry's Seafood Restaurants, Inc. 32,600 782
- - LaSalle Partners Inc. 34,400 1,226
- - Laser Mortgage Management, Inc. 22,000 319
- - Lattice Semiconductor Corp. 23,100 1,094
</TABLE>
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<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
MARKET
VALUE*
EXTENDED MARKET PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C> <C>
Estee Lauder Cos. Class A 64,229 $ 3,304
Lawson Products, Inc. 30,850 918
Lawter International Inc. 87,254 949
Lawyers Title Insurance Corp. 34,350 1,080
- - Lear Corp. 73,300 3,482
- - Learning Co., Inc. 99,563 1,599
- - Learning Tree International, Inc. 25,700 742
LeaRonal Inc. 48,050 1,129
- - The Leather Factory, Inc. 16,000 8
- - Lechters Corp. 107,200 543
Lee Enterprises, Inc. 44,000 1,301
- - Legato Systems, Inc. 38,500 1,694
Leggett & Platt, Inc. 97,100 4,066
Legg Mason Inc. 32,133 1,797
Lehman Brothers Holdings, Inc. 122,015 6,223
Lennar Corp. 94,311 2,034
Leucadia National Corp. 63,276 2,183
- - Lexington Global Asset
Managers, Inc. 27,600 252
- - Lexmark International Group, Inc.
Class A 72,500 2,755
Liberty Corp. 31,300 1,463
Liberty Financial Cos., Inc. 42,000 1,586
Liberty Property Trust REIT 46,000 1,314
Life Bancorp Inc. 36,000 1,319
Life Re Corp. 25,100 1,636
Lilly Industries Inc. Class A 54,388 1,122
- - Lin Television 35,234 1,920
- - Lincare Holdings, Inc. 27,900 1,590
Lincoln Electric Co. Class A 25,176 906
Linear Technology Corp. 77,504 4,466
- - Liposome Co., Inc. 143,939 666
- - Littelfuse, Inc. 42,000 1,045
- - Little Switzerland, Inc. 67,000 473
- - Litton Industries, Inc. 47,600 2,737
- - Lo-Jack Corp. 60,400 891
- - Lone Star Steakhouse &
Saloon, Inc. 36,763 643
- - Lone Star Technologies, Inc. 46,400 1,317
- - Long Beach Financial Corp. 79,100 920
Long Island Bancorp, Inc. 23,100 1,146
Long Island Lighting Co. 123,365 3,716
Longview Fibre Co. 73,370 1,114
- - Loral Space & Communications 206,300 4,423
Lubrizol Corp. 58,933 2,173
Luby's Cafeterias, Inc. 51,200 899
Lukens, Inc. 21,600 617
- - Lycos, Inc. 39,786 1,646
- - Lynx Therapeutics Inc. 1,425 23
Lyondell Petrochemical Co. 83,654 2,217
- - M&F Worldwide Corp. 82,200 807
MAF Bancorp, Inc. 41,314 1,461
- - MAI Systems Corp. 60,275 151
MCN Corp. 79,500 3,210
MDU Resources Group, Inc. 35,950 1,137
- - MEMC Electronic Materials, Inc. 54,700 834
MFB Corp. 10,000 304
- - MGI Pharma, Inc. 112,400 429
- - MGM Grand, Inc. 57,539 2,075
ML Bancorp Inc. 43,900 1,317
- - MLC Holdings, Inc. 50,100 607
- - MRV Communications Inc. 46,514 1,111
- - M.S. Carriers Inc. 35,900 893
- - MVSI, INC. 69,400 425
- - MacFrugal's Bargains Close
Outs, Inc. 38,900 1,600
The Macerich Co. REIT 49,000 1,397
Mack-Cali Realty Corp. 51,700 2,120
- - The MacNeal-Schwendler Corp. 68,700 661
- - Macromedia 97,677 812
- - Mafco Consolidated Group Inc.
Rights Exp. 1/1/1999 78,000 27
- - Magellan Health Services, Inc. 50,000 1,075
Magna Group 40,400 1,848
- - Magnatek 60,600 1,182
Maine Public Service Co. 15,000 182
Manpower Inc. 85,800 3,024
- - Mansur Industries, Inc. 40,500 643
- - Manugistics Group, Inc. 38,600 1,723
Mapco Inc. 55,300 2,558
- - Marine Drilling Co., Inc. 61,700 1,280
Marion Capital Holdings 12,500 339
Mark IV Industries, Inc. 65,632 1,436
- - Mark VII, Inc. 46,600 775
- - Marquette Medical Systems Inc. 40,400 1,076
Marshall & Ilsley Corp. 112,110 6,965
- - Marshall Industries 33,472 1,004
Martin Marietta Materials, Inc. 46,600 1,704
- - Marvel Entertainment Group 87,034 44
Maryland Federal Bancorp 38,378 1,343
MascoTech Inc. 82,585 1,518
- - Mastec Inc. 49,583 1,134
- - Mastech Corp. 47,100 1,495
- - Matria Healthcare, Inc. 149,878 843
- - Maxim Integrated Products, Inc. 132,360 4,566
May Department Stores Co. 4,513 238
- - Maxxam Inc. 20,600 899
- - MAXIMUS, Inc. 39,400 953
McClatchy Newspapers, Inc. 37,850 1,029
McCormick & Co., Inc. 74,283 2,080
- - J. Ray McDermott SA 40,800 1,754
McKesson Corp. 47,106 5,096
- - McLeod, Inc. 53,100 1,699
- - McMoRan Oil and Gas 303,629 977
- - McWorter Technologies Inc. 33,800 870
- - Mechanics Savings Bank 31,000 808
- - Medaphis Corp. 148,300 964
Medford Bancorp, Inc. 21,001 824
Media General, Inc. Class A 25,000 1,045
- - Medicis Pharmaceutical Corp. 27,725 1,417
- - MedImmune Inc. 39,700 1,702
- - Medical Dynamics, Inc. 63,700 147
- - MEDIQ, Inc. 87,700 976
- - Medtox Scientific Inc. 8,400 3
- - Mednet MPC Corp. 120,500 2
Meditrust Corp. 74,759 2,738
- - MedPartners, Inc. 189,417 4,238
- - Men's Wearhouse, Inc. 32,950 1,145
Mentor Corp. 39,115 1,428
- - Mentor Graphics Corp. 111,400 1,079
</TABLE>
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<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C> <C>
Mercantile Bancorp, Inc. 139,260 $ 8,564
Mercantile Bankshares Corp. 72,025 2,818
Merchants Bancshares, Inc. 25,500 829
Merchants New York
Bancorporation 26,500 1,113
- - Mercury Finance Co. 156,335 98
Mercury General Corp. 57,200 3,160
Meridian Industrial Trust,
Inc. REIT 38,900 992
- - Merisel, Inc. 153,310 671
- - Meridian Gold Co. 119,000 350
Meritor Automotive, Inc. 75,000 1,580
- - Merix Corp. 45,100 682
Merrill Corp. 49,000 1,139
Merry Land & Investment Co.,
Inc. REIT 66,100 1,512
- - Mesa Air Group Inc. 59,700 295
- - Mesaba Holdings, Inc. 48,000 1,248
Met-Pro Corp. 41,579 686
- - MetaCreations Corp. 72,162 803
- - Metal Management, Inc. 44,100 733
- - Metro-Goldwyn-Mayer Inc. 75,000 1,500
- - Metrocall, Inc. 197,000 973
- - Metromedia International
Group, Inc. 130,900 1,244
Metrowest Bank 97,638 879
- - Metzler Group, Inc. 28,400 1,140
- - Fred Meyer Inc. 87,322 3,176
Michael Foods Group, Inc. 62,555 1,525
- - Michaels Stores, Inc. 40,600 1,188
Michigan Financial Corp. 9,755 310
- - Microchip Technology, Inc. 53,175 1,595
- - Micro Warehouse Inc. 68,800 959
- - Microdyne Corp. 107,500 645
- - Micron Electronics, Inc. 93,800 856
- - Micronics Computers, Inc. 85,600 158
- - Microtouch Systems, Inc. 35,501 559
Mid-America Apartment
Communities, Inc. REIT 39,100 1,117
- - Mid-American Waste
Systems, Inc. 148,500 4
- - Mid Atlantic Medical
Services, Inc. 95,100 1,213
Mid Continent Bancshares, Inc. 13,700 654
Mid-Iowa Financial Corp. 10,560 121
Mid-America Bancorp 34,160 1,149
MidAmerican Energy Co. 98,994 2,178
- - Midisoft Corp. 39,202 25
- - Midway Games Inc. 60,200 1,095
- - Midwest Grain Products 36,950 462
Millenium Chemicals, Inc. 77,100 1,817
- - Millenia, Inc. 625 2
Herman Miller, Inc. 45,742 2,496
Minerals Technologies, Inc. 22,900 1,041
Minnesota Power & Light Co. 33,900 1,477
- - Miravant Medical Technology 27,600 1,104
Mississippi Chemical Corp. 54,755 999
- - Mitcham Industries, Inc. 43,000 785
Mitchell Energy & Development
Corp. Class A 49,100 1,442
- - Mobile Telecommunications
Technologies Corp. 96,300 2,119
Modern Controls, Inc. 58,162 640
Modine Manufacturing Co. 32,100 1,095
- - Mohawk Industries, Inc. 72,150 1,583
- - Molecular Biosystems, Inc. 81,234 690
Molex, Inc. 159,691 5,130
Molex, Inc. Class A 3,241 93
- - Molten Metal Technology 132,100 12
- - MoneyGram Payment
Systems, Inc. 61,200 658
The Money Store 57,265 1,203
Montana Power Co. 57,300 1,823
Morrison Health Care Inc. 43,141 863
Morrison Restaurants Inc. 66,831 171
- - Mosaix Inc. 76,468 674
- - Mueller Industries Inc. 21,616 1,275
Murphy Oil Corp. 46,630 2,527
- - Mycogen Corp. 31,000 581
Myers Industries, Inc. 55,971 955
Mylan Laboratories, Inc. 124,300 2,603
- - Myriad Genetics, Inc. 31,800 771
- - Mysoftware Co. 3,000 6
NAC Re Corp. 32,025 1,563
NBT Bancorp, Inc. 29,833 805
NCH Corp. 14,700 963
- - NCO Group, Inc. 36,900 950
- - NCR Corp. 104,500 2,906
NGC Corp. 152,400 2,667
NIPSCO Industries, Inc. 63,070 3,118
- - N L Industries, Inc. 90,900 1,239
- - NPC International Class A 71,500 867
NSS Bancorp, Inc. 19,300 729
- - NTL Inc. 54,700 1,525
NYMAGIC, Inc. 35,600 981
Nabisco Holdings Corp. Class A 51,700 2,504
- - Nabors Industries, Inc. 101,600 3,194
- - Nashua Corp. 55,400 651
- - Nastech Pharmaceutical Co., Inc. 48,600 632
National Bankcorp of Alaska Inc. 1,300 164
- - National Auto Credit Inc. 93,703 498
- - National Beverage Corp. 71,840 714
- - National City Bancorporation 28,060 828
National Community Bancorp 48,496 1,709
National Computer Systems, Inc. 34,000 1,199
National Data Corp. 25,339 915
National Fuel Gas Co. 39,900 1,943
National Health Investors REIT 29,300 1,227
- - National Instruments Corp. 31,050 900
- - National Medical Financial
Services Corp. 34,400 6
- - National-Oilwell, Inc. 49,500 1,692
National Presto Industries, Inc. 22,763 901
- - National Processing, Inc. 104,500 1,032
- - National R. V. Holdings, Inc. 37,082 1,219
- - National Record Mart, Inc. 49,100 178
- - National Steel Corp. Class B 57,100 660
- - National Techteam, Inc. 69,800 628
Nationwide Financial
Services, Inc. 42,900 1,550
</TABLE>
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<CAPTION>
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MARKET
VALUE*
EXTENDED MARKET PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C> <C>
Nationwide Health
Properties, Inc. 40,400 $ 1,030
- - Nautica Enterprises Inc. 40,737 947
- - Neiman Marcus Group Inc. 48,455 1,466
- - Network Associates, Inc. 77,905 4,119
- - NetManage, Inc. 124,200 349
- - Netscape Communications Corp. 73,585 1,794
- - Netsmart Technologies, Inc. 11,200 10
- - Network Equipment
Technologies, Inc. 61,547 900
- - Network Appliance, Inc. 55,600 1,974
- - Network Peripherals, Inc. 121,500 881
Nevada Power Co. 47,152 1,252
New Century Energies, Inc. 107,115 5,135
New England Business
Service, Inc. 33,900 1,144
New England Electric System 66,200 2,830
New Jersey Resources Corp. 25,300 1,014
- - New Mexico & Arizona Land Co. 42,725 625
New Plan Realty Trust REIT 60,355 1,539
New York Bancorp Inc. 41,600 1,651
New York State Electric &
Gas Corp. 66,700 2,368
Newcor, Inc. 41,580 390
- - Newfield Exploration Co. 55,400 1,292
Newhall Land & Farming Co. 60,700 1,821
Newmil Bancorp, Inc. 23,900 311
Newmont Gold Co. 169,768 5,061
- - Newpark Resources, Inc. 65,000 1,138
Newport News Shipbuilding Inc. 62,300 1,585
- - NEXTEL Communications, Inc. 293,838 7,640
- - NeXstar Pharmaceuticals Inc. 68,291 777
- - NEXTLINK Communications, Inc. 31,400 669
- - Nine West Group, Inc. 35,900 931
- - Nitches Inc. 30,128 189
Noble Affiliates, Inc. 56,336 1,986
- - Noble Drilling Corp. 133,900 4,101
Nordson Corp. 23,440 1,075
Norrell Corp. 36,600 727
- - Nortek, Inc. 34,852 926
- - North American Vaccine, Inc. 58,500 1,459
North Fork Bancorp, Inc. 76,664 2,573
Northeast Utilities 125,900 1,487
Northern Trust Corp. 115,400 8,049
- - Northwest Airlines Corp. Class A 109,100 5,223
Northwest Natural Gas Co. 31,900 989
Northwest Savings Bank 106,800 1,509
Northwestern Public Service Co. 49,600 1,141
- - Nova Corp. (Georgia) 48,900 1,223
- - NovaCare, Inc. 105,700 1,381
- - Novavax, Inc. 52,900 265
- - Novellus Systems, Inc. 32,000 1,034
- - Nuevo Energy Co. 33,900 1,381
Nutrition for Life International, Inc. 43,900 241
- - nVIEW Corp. 25,049 20
- - OAO Technology 10,440 97
OEA, Inc. 27,700 802
OGE Energy Corp. 39,800 2,177
- - OHM Corp. 96,600 737
- - Oak Technology, Inc. 115,200 749
- - Oakley, Inc. 133,500 1,210
Oakwood Homes Corp. 45,500 1,510
Oasis Residential, Inc. REIT 42,700 953
- - Object Design, Inc. 88,400 740
- - Objective Systems
Integrators, Inc. 93,200 781
- - Ocean Energy, Inc. 24,800 1,223
- - Oceaneering International, Inc. 51,100 1,009
- - Ocwen Financial Corp. 67,800 1,725
- - Office Depot, Inc. 160,925 3,852
- - OfficeMax, Inc. 122,700 1,748
- - Offshore Logistics, Inc. 46,300 990
Ogden Corp. 52,351 1,476
Ohio Art Co. 14,800 220
Ohio Casualty Corp. 33,256 1,484
- - Old America Stores, Inc. 41,200 28
Old Kent Financial Corp. 95,926 3,801
Old National Bancorp 25,404 1,229
Old Republic International Corp. 87,461 3,252
Olin Corp. 49,800 2,334
Olsten Corp. 79,430 1,191
Omnicare, Inc. 80,400 2,492
Omega Healthcare Investors,
Inc. REIT 36,241 1,400
OmniQuip International, Inc. 47,600 949
Omega Financial Corp. 16,400 549
- - Omnipoint Corp. 74,600 1,734
- - On Assignment, Inc. 38,600 1,023
Onbancorp Inc. 21,100 1,488
One Valley Bancorp of
West Virginia Inc. 37,968 1,471
Oneida Ltd. 50,834 1,357
- - Oneita Industries 47,933 12
- - OneLink Communications, Inc. 53,600 67
- - ONSALE, Inc. 52,700 949
- - Onyx Acceptance Corp. 36,700 284
- - Ophthalmic Imaging System 1,000 2
- - Optical Cable Corp. 102,400 838
Optical Coating Laboratory, Inc. 52,585 723
Orange & Rockland Utilities, Inc. 19,900 927
- - Orbital Sciences Corp. 58,200 1,731
- - Oregon Metallurgical Corp. 33,175 1,107
Oregon Steel Mills, Inc. 37,500 799
- - O'Reilly Automotive, Inc. 46,900 1,231
Oriental Financial Group 32,525 962
- - Oriole Homes Corp. Class B 19,300 84
Orion Capital Corp. 33,600 1,560
- - Orthologic Corp. 130,900 728
- - Orthodontic Centers of
America, Inc. 78,300 1,302
Oshkosh B Gosh, Inc. Class A 24,100 795
O'Sullivan Corp. 67,175 714
- - Outback Steakhouse 46,554 1,338
- - Outdoor Systems, Inc. 81,275 3,119
- - Outlook Group Corp. 8,000 58
Overseas Shipholding Group Inc. 61,500 1,341
- - Oxford Health Plan 79,400 1,236
- - Oxigene, Inc. 39,361 689
PCA International, Inc. 31,898 670
- - PCD, Inc. 42,000 987
- - P-Com, Inc. 75,800 1,308
- - PDG Environment Industries 7,140 12
</TABLE>
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<CAPTION>
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MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C> <C>
- - PICO Holdings Inc. 135,729 $ 874
PIMCO Commercial Mortgage
Securities, Inc. 54,300 743
PMC Capital, Inc. 50,200 731
- - PMC Sierra Inc. 52,688 1,633
The PMI Group Inc. 34,600 2,502
- - PMR Corp. 30,800 616
- - PMT Services Inc 66,765 926
PS Group Holdings Inc. 37,200 465
- - PVF Capital Corp. 13,860 280
Pacific Century Financial Corp. 80,002 1,980
- - Pacific Crest Capital Inc. 43,645 797
Pacific Gulf Properties, Inc. REIT 45,500 1,081
Pacific Scientific Co. 47,600 1,142
- - PacificAmerica Money
Center, Inc. 33,500 611
- - Pacificare Health Systems Inc.
Class A 16,295 819
- - Pacificare Health Systems Inc.
Class B 23,057 1,208
Pacificare Health Systems Inc.
$1.00 Cvt. Pfd. 6,320 144
- - PageMart Wireless, Inc. 101,300 798
- - Paging Network, Inc. 100,000 1,075
PaineWebber Group, Inc. 143,412 4,957
- - Pairgain Technologies, Inc. 68,000 1,318
- - Papa John's International, Inc. 26,550 926
- - Paragon Health Network, Inc. 20,387 399
- - Park-Ohio Industries, Inc. 49,309 900
- - Parker Drilling Co. 120,900 1,473
Patina Oil & Gas Corp. 89,668 689
- - Patina Oil & Gas Corp.
Warrants Exp. 5/1/2001 19,484 28
Patriot American Hospitality,
Inc. REIT 65,381 1,884
- - Patterson Dental Co. 36,400 1,647
- - Paul-Son Gaming Corp. 28,100 407
- - Paxar Corp. 49,500 733
Paychex, Inc. 110,748 5,607
- - Payless ShoeSource, Inc. 40,400 2,712
- - Paymentech, Inc. 74,967 1,106
- - Peapod, Inc. 91,800 597
- - PEC Israel Economic Corp. 49,300 1,066
- - Pegasus Gold Inc. 99,900 62
- - Pegasystems Inc. 30,500 616
Penford Corp. 30,309 1,061
Penn Engineering &
Manufacturing Corp. 31,100 746
Penn Engineering &
Manufacturing Corp. Class A 8,300 207
Penncorp Financial Group Inc. 26,700 953
Pennfed Financial Services, Inc. 27,600 945
Pennsylvania Enterprises Inc. 31,800 803
Pentair, Inc. 39,608 1,423
Peoples Bancorp Inc. 5,400 244
Peoples Bank of Bridgeport 61,750 2,347
Peoples Bank 1,007 34
- - People's Choice TV Corp. 40,500 72
Peoples Heritage Financial
Group Inc. 32,959 1,516
- - PeopleSoft, Inc. 226,200 8,822
- - Perini Corp. 38,400 346
Perpetual Midwest Financial, Inc. 2,300 67
- - Perrigo Co. 98,600 1,319
- - Personnel Group of America, Inc. 32,598 1,076
- - Petco Animal Supplies, Inc. 9,630 231
Petroleum Heat & Power Co. 96,500 223
- - PETsMART, Inc. 106,500 772
- - Pharmaceutical Product
Development, Inc. 58,983 907
- - Pharmaceutical Resources, Inc. 113,688 171
- - PharMerica, Inc. 51,426 534
- - Philip Services Corp. 79,213 1,139
Phillips-Van Heusen Corp. 69,193 986
- - Phoenix International Ltd., Inc. 35,600 525
- - Phonetel Technologies, Inc. 4,000 12
- - Photronics Labs Inc. 49,996 1,212
- - PhyCor, Inc. 63,025 1,702
- - Physician Reliance Network, Inc. 121,500 1,268
- - Physician Sales & Service, Inc. 70,100 1,507
- - PictureTel Corp. 104,400 679
Piedmont Natural Gas, Inc. 31,214 1,122
Pier 1 Imports Inc. 85,252 1,929
- - Piercing Pagoda, Inc. 25,300 727
Pilgrim's Pride Corp. 73,500 1,144
Pillowtex Designs 9,012 314
Pinnacle Financial Services, Inc. 28,400 1,402
- - Pinnacle Systems, Inc. 43,100 1,051
Pinnacle West Capital Corp. 88,200 3,737
Pioneer Group, Inc. 45,200 1,271
Pioneer Natural Resources Co. 74,456 2,155
Pioneer Standard Electronics Inc. 61,825 943
Pittston Brink's Group 42,900 1,727
Pittston Burlington Group 42,800 1,124
Pittway Corp. Class A 21,316 1,484
- - Pixar, Inc. 71,000 1,535
- - PJ America Inc. 47,300 710
- - Planet Hollywood International,
Inc. Class A 95,400 1,264
- - PLATINUM technology, Inc. 65,800 1,859
- - Plasma-Therm, Inc. 77,400 527
- - Players International, Inc. 146,000 465
- - Playboy Enterprises Inc. Class A 22,850 317
- - Playboy Enterprises Inc. Class B 40,750 639
Plenum Publishing Corp. 16,000 740
- - Plexus Corp. 45,100 671
Pogo Producing Co. 32,800 968
Polaris Industries, Inc. 46,950 1,435
- - Policy Management
Systems Corp. 24,264 1,688
- - Polo Ralph Lauren Corp. 33,000 802
- - Polymer Group, Inc. 52,900 503
- - Pool Energy Service Co. 44,667 994
Pope & Talbot, Inc. 50,300 758
Popular, Inc. 69,044 3,418
Post Properties, Inc. REIT 57,531 2,337
Potomac Electric Power Co. 121,400 3,134
Precision Castparts Corp. 24,400 1,472
- - Precision Response Corp. 93,400 952
- - Precision Systems, Inc. 109,300 222
Premark International, Inc. 60,023 1,741
Premier Farnell PLC ADR 14,200 191
</TABLE>
21
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<CAPTION>
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MARKET
VALUE*
EXTENDED MARKET PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C> <C>
Premier Farnell PLC
$1.35 Cvt. Pfd. ADR 23,203 $ 447
- - Premisys Communications, Inc. 61,900 1,617
- - Premiere Technologies, Inc. 46,900 1,296
- - President Casinos 26,213 93
Presidential Life Corp. 66,800 1,353
- - Presstek, Inc 29,800 767
Price Enterprises, Inc. 56,300 1,027
T. Rowe Price 59,900 3,766
- - PriceSmart, Inc. 39,800 694
- - Primadonna Resorts, Inc. 57,938 967
Prime Retail, Inc. REIT 68,300 969
- - PRIMEDIA Inc. 130,700 1,650
Primex Technologies, Inc. 26,010 878
- - Primark Corp. 18,631 758
Prime Bancorp Inc. 23,082 860
- - Prime Hospitality Corp. 63,000 1,284
- - Pride International Inc. 47,100 1,189
- - Procom Technology, Inc. 58,100 919
- - Proffitt's, Inc. 59,600 1,695
Progressive Bank, Inc. 20,500 784
- - Promus Hotel Corp. 89,189 3,746
Protective Life Corp. 30,800 1,840
- - Protein Design Labs 35,900 1,436
Provident Bankshares Corp. 27,168 1,735
Provident Cos., Inc. 137,586 5,314
Provident Financial Group, Inc. 40,725 1,975
Psychemedics, Inc. 115,956 696
- - PSINet, Inc. 126,300 647
Public Service Co. of
New Mexico 33,220 787
Public Storage, Inc. REIT 110,600 3,249
Puerto Rican Cement Co., Inc. 20,400 1,024
Puget Sound Energy Inc. 92,141 2,782
Pulitzer Publishing Co. 21,533 1,353
- - Purus, Inc. 5,100 12
- - QMS, Inc. 82,100 210
- - QLogic Corp. 36,400 1,074
- - QAD Inc. 66,100 835
Quaker State Corp. 73,800 1,052
- - QUALCOMM, Inc. 70,100 3,540
- - Quality Food Centers Inc. 27,854 1,866
Quanex Corp. 35,500 998
- - Quarterdeck Corp. 123,000 200
- - Quantum Corp. 133,500 2,678
Queens County Bancorp, Inc. 37,798 1,531
Questar Corp. 42,715 1,906
Quick & Reilly Group, Inc. 46,975 2,020
- - QuickResponse Services, Inc. 25,000 925
- - Quintiles Transnational Corp. 76,600 2,930
- - Quorum Health Group, Inc. 72,600 1,897
- - Qwest Communications
International Inc. 106,400 6,331
- - RCN Corp. 33,600 1,151
RFS Hotel Investors, Inc. REIT 56,500 1,126
R.L.I. Corp. 23,800 1,186
RJR Nabisco Holdings Corp. 336,042 12,602
RPC Inc. 87,600 1,035
RPM Inc. (Ohio) 96,580 1,473
- - Rainbow Technologies, Inc. 34,000 986
- - Rambus Inc. 22,100 1,011
- - Ralcorp Holdings, Inc. 67,700 1,147
Raritan Bancorp, Inc. 1,950 55
- - Rational Software Corp. 107,093 1,218
Raymond James Financial, Inc. 38,075 1,511
Rayonier Inc. 28,200 1,200
Raytheon Co. Class A 57,956 2,858
- - Read Rite Corp. 43,869 691
Reader's Digest Assn., Inc.
Class A 107,000 2,528
Reader's Digest Assn., Inc.
Class B 400 10
- - Reading & Bates Corp. 72,125 3,020
Reckson Associates Realty
Corp. REIT 56,500 1,434
Regal-Beloit Corp. 42,400 1,253
- - Regal Cinemas, Inc. 34,100 951
Regis Corp. 22,540 566
Regions Financial Corp. 140,154 5,913
- - The Registry, Inc. 21,100 968
Reinsurance Group of
America, Inc. 31,200 1,328
Reliance Bancorp, Inc. 27,200 996
Reliance Group Holdings 109,514 1,547
Reliastar Financial Corp. 93,424 3,848
- - Remedy Corp. 33,000 693
- - Renal Treatment Centers, Inc. 42,800 1,546
- - Republic Bank/Clearwater Fla. 32,800 869
- - Rentrak Corp. 66,500 299
Republic Bancorp, Inc. 55,708 1,191
- - Republic Industries, Inc. 461,258 10,753
- - Research Frontiers, Inc. 83,600 637
- - Response Oncology, Inc. 96,603 809
- - Retix 142,391 667
- - Revlon, Inc. Class A 18,400 650
- - Rexall Sundown, Inc. 74,194 2,240
Reynolds & Reynolds Class A 76,300 1,407
Richfood Holdings, Inc. 46,300 1,308
Riggs National Corp. 56,300 1,513
- - Right Management Consultants 57,900 738
Roadway Express Inc. 10,000 221
- - Robert Half International, Inc. 92,900 3,716
- - Roberts Pharmaceuticals 84,600 809
Rochester Gas and Electric Corp. 37,748 1,283
Rock-Tenn Co. 51,950 1,065
- - Rogers Corp. 24,500 1,001
Rollins, Inc. 57,300 1,164
Rollins Truck Leasing 66,375 1,186
Roper Industries Inc. 52,900 1,494
Roslyn Bancorp, Inc. 41,300 960
Ross Stores, Inc. 50,188 1,826
- - The Rottlund Co. 50,300 163
Rouse Co. 67,500 2,211
- - Royal Appliance
Manufacturing Co. 91,600 607
Royal Caribbean Cruises, Ltd. 66,700 3,556
</TABLE>
22
<PAGE> 71
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C> <C>
- - Ruby Tuesday, Inc. 41,062 $ 1,057
Ruddick Corp. 63,000 1,099
- - Rush Enterprises, Inc. 36,400 291
Russ Berrie, Inc. 39,100 1,026
- - Ryan's Family Steak Houses, Inc. 110,800 949
Ryland Group, Inc. 47,100 1,113
- - SCI Systems, Inc. 62,184 2,709
- - SLH Corp. 12,300 689
SJW Corp. 10,100 611
SLM Holding Corp. 59,703 8,306
- - SOS Staffing Services, Inc. 45,800 864
- - SPS Transaction Services 54,400 1,227
- - SPSS, Inc. 31,400 604
SPX Corp. 21,691 1,497
- - S3, Inc. 119,700 599
- - Sabratek Corp. 30,000 863
- - Safeguard Health Enterprises, Inc. 33,565 453
- - Safeguard Scientifics, Inc. 52,200 1,638
- - Safeskin Corp. 26,500 1,504
- - Safety First Inc. 26,900 155
- - Safeway, Inc. 245,313 15,516
St. Francis Capital Corp. 20,800 1,050
St. Joe Corp. 31,199 2,824
St. John Knits, Inc. 15,800 632
St. Paul Bancorp, Inc. 60,655 1,592
- - Saks Holdings, Inc. 61,600 1,274
- - Salant Corp. 99,500 174
- - Samsonite Corp. 19,100 604
- - Sanchez Computer
Associates, Inc. 65,950 1,921
Sanderson Farms, Inc. 46,150 669
- - Sanmina Corp. 21,400 1,450
- - Santa Fe Energy Resources, Inc. 102,268 1,151
Santa Fe International Corp. 20,600 838
Santa Monica Bank 28,800 801
Saul Centers, Inc. REIT 46,300 842
Sbarro, Inc. 29,991 789
SCANA Corp. 110,700 3,314
- - Henry Schein, Inc. 25,900 907
- - R. P. Scherer Corp. 24,426 1,490
- - Scholastic Corp. 31,900 1,196
A. Schulman Inc. 32,562 818
Schult Home Corp. 38,140 791
Schweitzer-Mauduit
International, Inc. 28,200 1,050
- - Scios, Inc. 111,868 1,119
Scope Industries 8,400 512
E.W. Scripps Co. Class A 83,769 4,058
- - SEACOR SMIT Inc. 11,400 687
- - Seagull Energy Corp. 60,800 1,254
- - Sealed Air Corp. 43,800 2,705
- - SeaMED Corp. 40,000 740
- - Secure Computing Corp. 102,000 1,205
Security Capital Atlantic,
Inc. REIT 47,525 1,004
Security Capital Industrial
Trust REIT 116,237 2,891
- - Security Capital Group Inc.
Warrants Exp. 9/18/1998 11,873 62
- - Security Capital Group Inc.
Class B 26,500 861
Security Capital Pacific, Inc. REIT 93,596 2,270
- - Security Dynamics
Technologies, Inc. 37,300 1,333
- - Security First Network Bank 70,088 508
Selective Insurance Group 53,000 1,431
Sensormatic Electronics Corp. 70,861 1,165
- - Sepracor Inc. 28,400 1,138
- - Sequa Corp. Class A 19,100 1,243
- - Sequent Computer Systems, Inc. 64,400 1,288
- - Serologicals Corp. 40,800 1,061
- - Service Merchandise Co., Inc. 241,487 513
Shaw Industries, Inc. 133,100 1,547
Shelby Williams Industries, Inc. 38,700 639
- - Shiva Corp. 94,900 813
- - Shopko Stores, Inc. 52,455 1,141
- - ShoLodge, Inc. 39,333 619
- - Shoney's Inc. 186,300 594
- - Shorewood Packaging Corp. 43,000 1,150
- - ShowBiz Pizza Time, Inc. 44,175 1,016
Showboat, Inc. 49,516 1,455
Shurgard Storage Centers, Inc.
Class A REIT 21,400 621
- - Siebel Systems, Inc. 33,000 1,380
- - Sierra Health Services 34,069 1,146
Sierra Pacific Resources 29,200 1,095
- - Signature Resorts, Inc. 34,450 754
SIG Corp. 31,281 919
- - Silicon Valley Group, Inc. 48,500 1,097
Simmons First National 11,800 509
Simon DeBartolo Group,
Inc. REIT 101,712 3,325
- - Simula, Inc. 26,400 404
- - SITEL Corp. 58,700 536
- - Sizzler International 130,650 351
Skyline Corp. 32,000 880
- - SMART Modular
Technologies, Inc. 40,000 920
A.O. Smith Corp. 32,600 1,377
- - Smith International, Inc. 41,100 2,523
Charles E. Smith Residential
Realty, Inc. REIT 32,000 1,136
- - Smithfield Foods, Inc. 43,200 1,426
J.M. Smucker Co. Class A 49,100 1,160
J.M. Smucker Co. Class B 1,200 28
- - Snyder Communications, Inc. 46,600 1,701
- - Software Spectrum, Inc. 38,000 451
- - Software Publishing Corp.
Holdings, Inc. 23,977 17
- - Sofamor Danek Group, Inc. 29,600 1,926
- - Sola International, Inc. 42,500 1,381
- - Solectron Corp. 118,800 4,938
Solutia, Inc. 125,000 3,336
- - Solv-Ex Corp. 94,134 71
Sonoco Products 98,085 3,402
Sotheby's Holdings Class A 51,500 953
South Jersey Industries, Inc. 31,684 960
Southdown, Inc. 26,500 1,564
Southern New England
Telecommunications Corp. 68,600 3,451
</TABLE>
23
<PAGE> 72
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
MARKET
VALUE*
EXTENDED MARKET PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C> <C>
- - Southern Pacific Funding Corp. 67,600 $ 887
- - Southern Union Co. 42,903 1,024
- - Southland Corp. 371,100 789
SouthTrust Corp. 101,650 6,448
Southwest Gas Corp. 38,200 714
Southwestern Energy Co. 75,100 967
Sovereign Bancorp, Inc. 122,819 2,548
Sovran Self Storage, Inc. REIT 31,800 1,032
- - Spacetec IMC Corp. 57,600 173
- - Spaghetti Warehouse, Inc. 26,300 151
Spartan Motors, Inc. 96,200 595
- - Specialty Teleconstructors, Inc. 39,400 502
- - Spec's Music Inc. 43,366 27
- - Spectrian Corp. 38,500 741
- - Speedway Motorsports, Inc. 42,200 1,047
- - Spelling Entertainment 164,900 1,154
- - Spiegel, Inc. Class A 87,200 431
Spieker Properties, Inc. REIT 57,500 2,465
- - The Sports Authority, Inc. 60,700 895
- - Spyglass, Inc. 87,800 434
- - Stac, Inc. 124,000 574
- - Stage Stores, Inc. 40,400 1,510
Standard Products Co. 40,050 1,026
The Standard Register Co. 37,487 1,303
Standex International Corp. 32,500 1,146
Stanhome, Inc. 26,800 688
- - Staples, Inc. 166,361 4,617
Star Banc Corp. 89,012 5,107
- - Starbucks Corp. 80,500 3,089
L. S. Starrett Co. Class A 22,000 804
L. S. Starrett Co. Class B 400 15
- - Starter Corp. 89,300 273
Starwood Lodging Trust REIT 53,650 3,105
- - Station Casinos, Inc. 110,000 1,121
- - Steel Dynamics, Inc. 46,400 742
- - STERIS Corp. 35,808 1,728
- - Sterling Commerce, Inc. 91,562 3,519
- - Sterling Software, Inc. 38,237 1,568
Stewart & Stevenson
Services, Inc. 60,482 1,542
Stewart Enterprises, Inc. Class A 46,700 2,177
Stewart Information
Services Corp. 30,700 890
Stone & Webster, Inc. 24,400 1,144
Storage USA, Inc. REIT 26,800 1,070
- - Storage Technology Corp. 63,491 3,932
- - Strategic Distribution, Inc. 146,700 660
- - Stratus Computer, Inc. 30,100 1,138
Stride Rite Corp. 50,000 600
- - Strouds, Inc. 69,100 121
- - Structural Dynamics
Research Corp. 45,555 1,025
Stryker Corp. 98,300 3,662
Student Loan Corp. 30,900 1,526
- - Submicron Systems Corp. 110,140 248
Suffolk Bancorp 24,900 741
- - Suiza Foods Corp. 30,100 1,793
Summit Bancorp. 192,881 10,271
Summit Properties, Inc. REIT 51,500 1,088
- - Summit Technology, Inc. 114,550 519
Sun Communities, Inc. REIT 33,500 1,204
- - Sun Healthcare Group, Inc. 64,900 1,257
- - Sunburst Hospitality Corp 19,666 194
Sunbeam Corp. 87,000 3,665
Sundstrand Corp. 61,400 3,093
- - SunGard Data Systems, Inc. 85,000 2,635
- - Sunglass Hut International, Inc. 124,874 788
- - Sunrise Medical, Inc. 56,200 868
- - Superior Consultant
Holdings Corp. 29,900 897
Superior Industries
International, Inc. 50,019 1,341
- - Swift Energy Co. 43,779 922
- - Swift Transportation Co., Inc. 35,700 1,156
- - Sybase, Inc. 77,740 1,035
- - Sybron International Corp. 48,700 2,286
- - Sykes Enterprises, Inc. 33,450 652
- - Sylvan Learning Systems, Inc. 37,200 1,451
- - Symantec Corp. 67,912 1,490
Symbol Technologies, Inc. 40,850 1,542
- - Synopsys, Inc. 81,908 2,928
- - Synetic, Inc. 15,000 548
- - Syntel, Inc. 76,770 1,094
- - System Software
Associates, Inc. 104,250 912
- - TBC Corp. 86,375 826
TCA Cable Television, Inc. 29,500 1,357
TCBY Enterprises, Inc. 112,300 849
TCF Financial Corp. 110,042 3,735
- - TCI Satellite Entertainment, Inc.
Class A 146,277 1,006
- - TCSI Corp. 110,229 882
TECO Energy, Inc. 133,600 3,758
TF Financial Corp. 5,012 150
TIG Holdings, Inc. 51,000 1,693
TJ International, Inc. 43,000 1,064
TNP Enterprises, Inc. 37,100 1,234
TR Financial Corp. 42,800 1,423
Talbots Inc. 28,900 524
- - Tanknology Environmental, Inc. 1,900 3
Taubman Co. REIT 98,100 1,275
- - Tech Data Corp. 48,778 1,896
- - Technical Communications Corp. 14,000 74
- - Technology Solutions Co. 49,531 1,306
Tecumseh Products Co. Class A 10,900 531
Tecumseh Products Co. Class B 11,900 582
- - Tejas Gas Corp. 31,862 1,952
Tejon Ranch Co. 38,500 936
- - Tekelec 51,200 1,562
- - Tel-Save Holdings, Inc. 62,600 1,244
- - Telcom Semiconductor, Inc. 101,600 800
- - Tele-Communications
International, Inc. Series A 113,300 2,039
- - Tele-Communications TCI
Ventures Group Series A 209,100 5,920
Teleflex Inc. 38,500 1,453
- - Telegroup, Inc. 70,600 891
Telephone & Data Systems, Inc. 59,828 2,786
- - Teleport Communications
Group Inc. 57,100 3,133
- - Telescan, Inc. 92,400 658
Telxon Corp. 44,500 1,062
</TABLE>
24
<PAGE> 73
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C> <C>
- - Telular Corp. 121,300 $ 296
- - Teletech Holdings Inc. 52,900 602
- - Teradyne, Inc. 85,289 2,729
Terra Industries, Inc. 70,242 918
- - Tesoro Petroleum Corp. 63,600 986
Texas Industries, Inc. 36,714 1,652
- - Thermo Instrument Systems, Inc. 122,858 4,231
- - Thermedics Detection Inc. 69,110 708
- - Thermo Cardiosystems Inc. 37,550 1,004
- - Thermo Fibertek, Inc. 115,500 1,408
- - Thermo VolTek 78,900 414
- - ThermoLase Corp. 51,800 544
- - ThermoQuest Corp. 8,000 145
- - Thermotrex Corp. 44,100 976
- - Thermedics, Inc. 71,500 1,171
Thiokol Corp. 21,300 1,731
- - 360 Communications Co. 123,045 2,484
Tidewater, Inc. 63,100 3,478
Tiffany & Co. 36,532 1,317
The Times Mirror Co. 20,815 528
- - Titanium Metals Corp. 29,300 846
- - Todd Shipyards Corp. 73,100 306
- - Toll Brothers, Inc. 56,200 1,503
Tootsie Roll Industries, Inc. 22,073 1,380
- - The Topps Co., Inc. 125,040 277
The Toro Co. 27,100 1,155
Tosco Corp. 162,174 6,132
- - Total Renal Care Holdings, Inc. 42,166 1,160
- - Tower Automotive, Inc. 21,300 896
Total System Services, Inc. 129,276 3,200
Town & Country Trust REIT 48,200 853
- - Trans World Airlines 32,303 327
- - Transaction Systems
Architects, Inc. 31,300 1,189
Transatlantic Holdings, Inc. 35,800 2,560
Transocean Offshore, Inc. 104,800 5,050
TransPro Inc. 52,510 473
TransTechnology Corp. 28,800 815
- - TransTexas Gas Corp. 84,800 1,256
- - TransMontaigne Oil Co. 63,000 945
Travelers Property Casualty Corp. 83,300 3,665
- - Transworld Healthcare Inc. 80,745 565
- - Tremont Corp. 23,309 1,218
- - Triarc Cos., Inc. Class A 52,400 1,428
- - Trico Marine Services, Inc. 41,000 1,204
- - Trigon Healthcare, Inc. 43,400 1,134
TriMas Corp. 40,200 1,382
- - Trimble Navigation Ltd. 37,900 827
- - Trimedyne, Inc. 60,000 111
Trinity Industries, Inc. 45,100 2,013
True North Communications 44,600 1,104
- - Truevision Inc. 77,400 194
The Trust Co. of New Jersey 50,700 1,268
Trustco Bank 47,784 1,302
Trustmark Corp. 35,600 1,647
- - Tuboscope Inc. 44,100 1,061
- - Tultex Corp. 144,400 587
Tucson Electric Power Co. 63,700 1,155
20th Century Industries of CA 50,200 1,305
- - Tyler Corp. 138,000 759
Tyson Foods, Inc. 220,710 4,525
- - UAL Corp. 61,700 5,707
- - UCAR International, Inc. 45,800 1,829
UGI Corp. Holding Co. 34,346 1,007
- - UICI 44,200 1,541
UMB Financial Corp. 19,863 1,083
- - URS Corp. 67,558 1,051
- - USA Waste Service 225,551 8,853
UST Corp. 41,700 1,157
- - U.S. Rentals, Inc. 39,500 928
- - USG Corp. 46,800 2,293
- - US Physical Therapy, Inc. 27,400 329
- - Ultrafem, Inc. 73,533 69
- - Ultralife Batteries, Inc. 53,100 903
Ultramar Diamond
Shamrock Corp. 102,626 3,271
- - Ultratech Stepper, Inc. 44,600 886
Unifi, Inc. 64,225 2,613
- - Unify Corp. 34,200 94
- - Union Corp. 31,000 975
Union Planters Corp. 80,254 5,452
Union Texas Petroleum
Holdings, Inc. 83,600 1,740
UnionBanCal Corp. 56,694 6,095
- - Uniphase Corp. 43,600 1,804
- - Unique Mobility, Inc. 93,300 717
Unisource Worldwide, Inc. 65,900 939
United Asset Management Corp. 71,200 1,740
United Cos. Finance Corp. 56,209 871
United Dominion Industries Ltd. 43,385 1,098
United Dominion Realty Trust REIT 84,800 1,182
United Guardian, Inc. 31,800 135
United Illuminating Co. 24,000 1,103
- - United International Holdings, Inc.
Class A 81,939 942
- - United Meridian Corp. 35,700 1,004
United National Bancorp 32,423 875
- - U.S. Bioscience 85,355 774
- - U.S. Cellular Corp. 87,150 2,702
- - U.S. Energy Corp. 56,870 505
- - U.S. Filter Corp. 83,483 2,499
U.S. Industries, Inc. 73,350 2,210
- - U.S. Office Products Co. 150,718 2,958
- - U.S. Satellite Broadcasting Co.,
Inc. Class A 80,700 641
U.S. Trust Corp. 26,300 1,647
- - United Stationers, Inc. 28,044 1,350
United Television, Inc. 12,900 1,340
United Water Resources, Inc. 50,044 979
UNITILI Corp. 30,500 742
Unitrin, Inc. 38,670 2,499
- - Unitrode Corp. 54,500 1,172
Universal Corp. 34,600 1,423
Universal Foods Corp. 24,262 1,025
Universal Health Realty Income 36,900 807
- - Universal Outdoor Holdings, Inc. 25,600 1,331
- - Universal Stainless & Alloy
Products, Inc. 28,500 413
- - Universal Health Services Class B 36,700 1,849
</TABLE>
25
<PAGE> 74
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
MARKET
VALUE*
EXTENDED MARKET PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C> <C>
- - Univision Communications Inc. 26,000 $ 1,815
- - UNOVA, Inc. 70,000 1,151
- - Uranium Resources, Inc. 85,568 332
USFreightways Corp. 32,800 1,066
US Bancorp, Inc. 15,600 1,139
- - USDATA Corp., Inc. 72,250 334
UtiliCorp United, Inc. 55,786 2,165
- - VLSI Technology, Inc. 55,600 1,314
- - Vaalco Energy, Inc. 2,400 5
- - Vail Resorts Inc. 52,000 1,349
- - Valassis Communications, Inc. 51,500 1,906
Valhi, Inc. 104,500 986
Valero Energy Corp. 51,800 1,628
Valley National Bancorp 41,774 1,642
Valspar Corp. 44,700 1,425
- - Value City Department
Stores, Inc. 107,300 952
- - Vanguard Cellular Systems, Inc.
Class A 82,437 1,051
- - Vanstar Corp. 89,400 1,011
- - Vantive Corp. 39,100 987
- - Varco International, Inc. 83,456 1,789
Varian Associates, Inc. 30,500 1,542
Vastar Resources, Inc. 99,600 3,561
- - Vectra Tech Inc. 25,800 1
- - Vencor, Inc. 68,065 1,663
- - Veritas Software Corp. 36,975 1,886
- - Versant Object Technology Corp. 47,200 652
- - Vertex Communications Corp. 28,500 688
- - Vertex Pharmaceuticals, Inc. 45,000 1,485
Vesta Insurance Group, Inc. 28,800 1,710
Viad Corp. 99,245 1,917
- - VIASOFT, Inc. 24,452 1,033
- - Vicor Corp. 57,181 1,551
- - Vicorp Restaurants, Inc. 47,439 830
- - Viisage Technology, Inc. 50,000 291
- - Viking Office Products 84,000 1,832
- - Vincam Group, Inc. 38,700 1,030
Vintage Petroleum, Inc. 47,400 901
Virco Manufacturing Corp. 48,200 1,350
Virginia Beach Federal
Financial Corp. 44,050 809
- - Visio Corp. 25,900 994
- - VitalCom Inc. 42,200 200
- - Vishay Intertechnology, Inc. 62,256 1,471
- - Vistana, Inc. 50,125 1,153
Vital Signs, Inc. 45,264 883
- - Vitesse Semiconductor Corp. 35,250 1,331
- - Vivus, Inc. 33,100 352
- - VMARK Software, Inc. 72,000 576
- - Volt Information Sciences Inc. 15,500 835
Vornado Realty Trust REIT 53,796 2,525
Vulcan International Corp. 5,900 232
Vulcan Materials Co. 34,710 3,545
- - WFS Financial, Inc. 74,760 841
- - WHX Corp. 45,264 538
- - WHG Resorts & Casino Inc. 10,050 224
- - WMS Industries, Inc. 52,000 1,099
WPL Holdings, Inc. 29,100 964
WPS Resources Corp. 19,100 646
- - WSFS Financial Corp. 52,900 1,058
Wabash National Corp. 28,400 808
Wackenhut Corp. 25,600 594
Wackenhut Corp. Class B 15,862 335
- - Wainoco Oil Corp. 141,300 1,122
Walden Residential Properties,
Inc. REIT 41,300 1,053
- - Wall Data Inc. 45,600 621
Wallace Computer Services, Inc. 42,200 1,641
- - Walter Industries, Inc. 33,800 697
- - Wang Laboratories, Inc. 45,200 1,000
The Warnaco Group, Inc. Class A 76,037 2,386
Warren Bancorp, Inc. 22,900 527
Washington Federal Inc. 45,398 1,427
Washington Gas Light Corp. 42,802 1,324
Washington Post Co. Class B 11,100 5,400
Washington REIT 72,300 1,211
Washington Water Power Co. 53,600 1,303
- - Waters Corp. 28,000 1,054
- - Watson Pharmaceuticals, Inc. 88,604 2,874
Watts Industries Class A 51,700 1,464
Wausau-Mosinee Paper Corp. 115,428 2,323
- - Wave Technologies International 40,800 301
- - WavePhore, Inc. 92,800 870
- - Weatherford Enterra, Inc. 54,160 2,370
Del Webb Corp. 49,400 1,284
Webster Financial Corp. 27,681 1,841
Weingarten Realty Investors REIT 24,600 1,102
Weis Markets, Inc. 41,500 1,453
Wellman, Inc. 43,555 849
- - Wellpoint Health Networks Inc.
Class A 70,401 2,974
Werner Enterprises, Inc. 53,100 1,089
Wesco Financial Corp. 7,208 2,162
West Co., Inc. 34,600 1,029
- - West TeleServices Corp. 54,100 649
WestAmerica Bancorporation 13,732 1,404
WesterFed Financial Corp. 29,653 756
Western Bancorp 24,261 801
- - Western Beef 37,160 279
- - Western Digital Corp. 89,300 1,434
Western Gas Resources, Inc. 59,900 1,325
Western National Corp. 68,200 2,020
Western Resources, Inc. 67,986 2,923
- - Western Wireless Corp. 51,300 891
Westfield America, Inc. REIT 74,700 1,270
- - Westmark Group Holdings, Inc. 800 2
- - Roy F. Weston, Inc. 64,600 262
- - Westpoint Stevens, Inc. 28,757 1,359
- - Westwood One, Inc. 44,300 1,645
- - WetSeal, Inc. Class A 39,700 1,171
Wheelabrator Technologies, Inc. 157,806 2,535
- - White River 13,842 1,100
Whitney Holdings 19,300 1,100
- - Whittaker Corp. 70,600 777
- - Whole Foods Market, Inc. 25,300 1,293
John Wiley & Sons Class A 31,400 1,703
- - Clayton Williams Energy, Inc. 50,700 761
- - Williams Sonoma, Inc. 30,900 1,294
Wilmington Trust Corp. 33,600 2,096
</TABLE>
26
<PAGE> 75
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C>
- - Wind River Systems 30,461 $ 1,209
Windmere-Durable Holdings Inc. 45,798 1,033
- - Wisconsin Central
Transportation Corp. 51,000 1,192
Wisconsin Energy Corp. 113,661 3,268
Wiser Oil Co. 46,100 651
Witco Chemical Corp. 57,000 2,326
Wolverine World Wide, Inc. 51,904 1,174
- - Wonderware Corp. 58,400 825
- - World Acceptance Corp. 129,200 694
- - World Color Press, Inc. 48,200 1,280
World Fuel Services Corp. 48,313 1,015
- - World Corp. 49,900 56
- - Worldtex Inc. 94,744 752
- - Wyman-Gordon Corp. 64,400 1,264
- - Wyndham Hotel Corp. 20,000 808
- - Xoma Corp. 140,844 783
- - Xilinx, Inc. 73,500 2,577
- - XLConnect Solutions Inc. 55,200 938
XTRA Corp. 14,900 874
- - Xylan Corp. 65,800 995
- - Yahoo!, Inc. 50,550 3,501
Yankee Energy Systems 30,277 808
Yardville National Bancorp 14,400 508
- - Yellow Corp. 35,800 899
York International Corp. 44,600 1,764
- - Zebra Technologies Class A 39,200 1,166
- - Zenith Electronics Corp. 146,173 795
Zenith National Insurance Corp. 38,660 996
- - Zilog Inc. 50,400 961
Zions Bancorp 62,112 2,818
- - Zoran Corp. 43,300 522
- - Zoltek Cos., Inc. 15,400 429
Zurn Industries, Inc. 31,100 978
- - Zygo Corp. 27,200 510
- -----------------------------------------------------------------------
TOTAL COMMON STOCKS (96.8%)(1)
(COST $2,123,647) 3,038,421
- -----------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT
(000)
- -----------------------------------------------------------------------
TEMPORARY CASH INVESTMENTS (7.5%)
- -----------------------------------------------------------------------
<S> <C> <C>
U.S. TREASURY BILLS
(2)4.90%, 1/8/1998 $ 800 800
(2) 5.02%, 1/22/1998 3,500 3,490
REPURCHASE AGREEMENTS
Collateralized by U.S. Government
Obligations in a Pooled
Cash Account
6.54%, 1/2/1998 99,521 99,521
6.50%, 1/2/1998--Note F 131,836 131,836
- -----------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(COST $235,646) 235,647
- -----------------------------------------------------------------------
TOTAL INVESTMENTS (104.3%)
(COST $2,359,293) 3,274,068
- -----------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-4.3%)
- -----------------------------------------------------------------------
Other Assets--Note B 90,872
Security Lending Collateral Payable
to Brokers--Note F (131,836)
Other Liabilities (95,625)
-----------
(136,589)
- -----------------------------------------------------------------------
NET ASSETS (100%) $3,137,479
=======================================================================
</TABLE>
*See Note A in Notes to Financial Statements.
-Non-Income-Producing Security.
(1)The combined market value of common stocks, New York Stock Exchange
Composite Index futures contracts, S&P Midcap 400 Index futures contracts,
and Russell 2000 Index futures contracts represents 99.8% of net assets.
(2)Securities with an aggregate value of $4,290,000 have been segregated as
initial margin for open futures contracts.
ADR--American Depositary Receipt.
REIT--Real Estate Investment Trust.
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
AT DECEMBER 31, 1997, NET ASSETS CONSISTED OF:
- -----------------------------------------------------------------------
AMOUNT
(000)
- -----------------------------------------------------------------------
<S> <C>
Paid in Capital--Note D $2,187,730
Overdistributed Net Investment Income (578)
Accumulated Net Realized Gains--Note D 34,973
Unrealized Appreciation--Note E
Investment Securities 914,775
Futures Contracts 579
- -----------------------------------------------------------------------
NET ASSETS $3,137,479
=======================================================================
Investor Shares--Net Assets
Applicable to 88,528,831
outstanding shares of
beneficial interest
(unlimited authorization) $2,722,844
- -----------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INVESTOR SHARES $30.76
=======================================================================
Institutional Shares--Net Assets
Applicable to 13,481,593
outstanding shares of
beneficial interest
(unlimited authorization) $414,635
- -----------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INSTITUTIONAL SHARES $30.76
=======================================================================
</TABLE>
27
<PAGE> 76
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
MARKET
SMALL CAPITALIZATION VALUE*
STOCK PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------
COMMON STOCKS
- -----------------------------------------------------------------------
<S> <C> <C> <C>
AAR Corp. 51,300 $ 1,988
- - ABR Information Services, Inc. 70,350 1,680
- - ABT Building Products Corp. 58,600 1,055
- - ACC Corp. 53,400 2,697
- - ADE Corp. 24,400 427
- - AFC Cable Systems, Inc. 7,700 229
ABM Industries 52,000 1,589
- - AEP Industries, Inc. 10,000 309
AGL Resources Inc. 175,800 3,593
AK Steel Corp. 140,000 2,476
AMLI Residential Properties
Trust REIT 69,100 1,537
- - APAC Teleservices, Inc. 6,100 82
- - ATL Ultrasound, Inc. 45,400 2,088
- - ATMI, Inc. 27,300 662
Aames Financial Corp. 73,450 950
- - Abacus Direct Corp. 27,000 1,107
- - Abercrombie & Fitch Co. 49,900 1,559
- - Access Health Marketing, Inc. 56,849 1,670
- - Acclaim Entertainment Inc. 78,400 284
The Ackerley Group, Inc. 55,400 938
- - ACNielson Corp. 181,700 4,429
- - Activision, Inc. 15,500 277
- - Action Performance Cos., Inc. 50,600 1,916
- - Actel Corp. 63,600 803
- - Acuson Corp. 65,050 1,077
- - ACX Technologies Inc. 51,500 1,259
- - Acxiom Corp. 123,150 2,371
- - ADAC Laboratories 49,633 980
- - Administaff, Inc. 22,300 577
- - Adtran, Inc. 59,400 1,633
- - Advanced Lighting
Technologies, Inc. 35,300 671
- - Advanced Tissue Sciences Inc. 109,800 1,359
- - ADVO, Inc. 84,150 1,641
- - Advanced Energy Industries, Inc. 14,900 223
- - Advent Software, Inc. 26,300 753
- - Affiliated Computer Services, Inc. 115,200 3,031
- - Affymetrix, Inc. 70,400 2,191
- - Aftermarket Technology Corp. 34,300 622
- - Ag-Chem Equipment Co., Inc, 9,890 137
- - Agouron Pharmaceuticals, Inc. 94,606 2,779
Air Express International Corp. 94,900 2,894
Airborne Freight Corp. 73,200 4,548
- - AirNet Systems, Inc. 44,300 952
- - AirTran Holdings, Inc. 146,000 584
- - Alaska Air Group, Inc. 50,100 1,941
Albank Financial Corp. 35,640 1,833
Albany International Corp. 62,900 1,447
Albemarle Corp. 70,500 1,683
Alberto-Culver Co. Class B 48,500 1,555
- - Alexander's, Inc. 13,500 1,226
Alfa Corp. 60,200 1,038
- - Algos Pharmaceutical Corp. 37,000 1,110
Aliant Communications, Inc. 112,300 3,523
- - Alkermes, Inc. 67,900 1,350
- - Allen Telecom Inc. 73,260 1,351
- - Alliance Pharmaceutical Corp. 117,900 855
- - Alliance Semiconductor Corp. 99,300 453
- - Alliant Techsystems, Inc. 30,200 1,684
Allied Group, Inc. 72,225 2,067
Allied Products Corp. 52,950 1,271
- - Allied Waste Industries, Inc. 308,400 7,190
- - Alltrista Corp. 35,593 1,010
Alpharma, Inc. Class A 76,434 1,662
- - Alpine Group, Inc. 45,000 844
- - Alternate Living Services, Inc. 20,300 600
- - Alternative Resources Corp. 42,300 976
- - Altron, Inc. 63,000 835
- - Amax Gold, Inc. 125,031 289
- - Amazon.com, Inc. 28,200 1,699
Ambassador Apartments
Inc. REIT 36,400 748
Amcast Industrial Corp. 43,300 993
AMCOL International Corp. 95,550 1,517
Amcore Financial 73,820 1,855
- - Amerco, Inc. 48,420 1,241
- - America West Holdings Corp.
Class B 127,200 2,369
American Annuity Group Inc. 42,800 942
American Business Products, Inc. 35,800 774
- - American Freightways 70,600 697
American General Hospitality
Corp. REIT 14,900 399
American Health Properties, Inc. 65,900 1,816
American Heritage Life
Investment Corp. 37,832 1,362
- - American Homestar Corp. 61,500 1,015
- - American Management
Systems, Inc. 129,900 2,533
- - American Media Class A 170,400 1,321
- - American Mobile Satellite
Corp., Inc. 33,300 233
- - American Oncology
Resources, Inc. 123,800 1,981
- - American Pad & Paper Co. 95,100 915
- - American Radio Systems Corp.
Class A 66,560 3,548
- - American Residential
Services, Inc. 44,000 687
- - AmeriCredit Corp. 92,400 2,558
- - Amerin Corp. 72,700 2,036
Ameron International Corp. 19,200 1,214
- - AmeriSource Health Corp. 67,700 3,977
- - AmeriTrade Holding Corp. 34,800 1,018
AmerUs Life Holdings, Inc. 45,992 1,696
Ametek Aerospace Products Inc. 103,700 2,800
- - Amresco, Inc. 111,200 3,364
- - Ampex Corp. Class A 217,400 543
- - Amphenol Corp. 55,400 3,085
- - Amylin Pharmaceuticals, Inc. 72,400 394
- - ANADIGICS, Inc. 46,470 1,400
Analogic Corp. 31,700 1,205
Analysts International Corp. 69,000 2,380
Anchor Bancorp Wisconsin Inc. 48,350 1,759
- - Anchor Gaming 21,400 1,193
- - Andrx Corp. 32,600 1,117
- - Anixter International Inc. 111,000 1,831
- - AnnTaylor Stores Corp. 71,900 962
- - Antec Corp. 82,400 1,287
</TABLE>
28
<PAGE> 77
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C> <C>
Apartment Investment &
Management Co. Class A REIT 111,800 $ 4,109
Apogee Enterprises, Inc. 86,700 1,030
Apple South, Inc. 91,550 1,202
Applebee's International, Inc. 96,500 1,743
- - Apria Healthcare 160,600 2,158
- - Applied Graphics
Technologies, Inc. 28,100 1,496
Applied Industrial Technology, Inc. 57,400 1,535
- - Applied Magnetics Corp. 78,500 873
Applied Power, Inc. 38,800 2,677
Aptargroup Inc. 57,100 3,169
Aquarion Co. 29,306 1,013
Arbor Drugs, Inc. 129,978 2,405
- - Arbor Software Corp. 41,534 1,682
- - Arcadia Financial Ltd. 167,700 1,247
Arch Coal, Inc. 74,400 2,037
Arctic Cat, Inc. 80,800 783
Arden Realty Group, Inc. REIT 107,000 3,290
Argonaut Group, Inc. 60,700 2,056
- - Armco, Inc. 291,600 1,440
Arnold Industries, Inc. 69,700 1,202
- - ArQule, Inc. 48,400 1,110
Arrow International, Inc. 31,900 1,180
- - Arterial Vascular Engineering, Inc. 97,900 6,363
Arvin Industries, Inc. 67,600 2,252
ASA Holdings Inc. 67,900 1,931
- - Ascent Entertainment Group, Inc. 86,529 898
- - Aspect Development, Inc. 27,800 1,446
- - Aspect Telecommunications
Corp. 155,100 3,238
- - Aspen Technologies, Inc. 65,300 2,237
Associated Banc-Corp. 157,815 8,700
Associated Estates Realty
Corp. REIT 49,800 1,180
- - Associated Group, Inc. 53,848 1,595
- - Associated Group, Inc. Class B 750 22
Astoria Financial Corp. 75,121 4,188
Atlantic Energy, Inc. 165,700 3,511
Atmos Energy Corp. 92,441 2,796
- - Atria Communities, Inc. 39,600 678
- - Atwood Oceanics, Inc. 32,000 1,516
- - Auspex Systems, Inc. 78,300 783
Authentic Fitness Corp. 79,000 1,457
Avalon Properties, Inc. REIT 113,400 3,508
- - Avant! Corp. 69,538 1,165
- - Avatar Holding, Inc. 31,300 890
- - Aviall Inc. 74,275 1,109
- - Aviation Sales Co. 14,300 538
- - Avid Technology, Inc. 75,800 2,028
- - Aware, Inc. 47,900 491
- - Aztar Corp. 161,600 1,010
- - BA Merchant Services, Inc.
Class A 42,800 760
BGS Systems, Inc. 5,000 175
- - BISYS Group, Inc. 77,600 2,580
- - BJ's Wholesale Club, Inc. 118,500 3,718
BMC Industries, Inc. 86,900 1,401
- - BRC Holdings Inc. 20,200 773
BRE Properties Inc. Class A REIT 107,648 3,028
BSB Bancorp, Inc. 28,950 1,035
BT Financial Corp. 1,430 73
- - BT Office Products
International, Inc. 86,500 670
- - Bacou USA Inc. 5,100 89
Baldor Electric Co. 81,427 1,766
Baldwin & Lyons, Inc. Class B 2,800 68
Ball Corp. 94,200 3,326
Ballard Medical Products 90,366 2,191
- - Bally's Grand, Inc. 6,700 343
BancFirst Corp. 17,800 599
BancorpSouth, Inc. 62,500 2,953
- - Banctec, Inc. 66,128 1,773
Bank of Granite Corp. 35,675 1,097
- - Bank Plus Corp. 99,200 1,252
Bank United Corp. Class A 89,600 4,385
BankAtlantic Bancorp, Inc.
Class B 73,500 1,231
Bank North Group 27,800 1,786
Banta Corp. 95,100 2,568
Barnes Group, Inc. 46,500 1,058
- - Barnett, Inc. 56,800 1,250
- - Barr Labs Inc. 41,100 1,403
- - Barra, Inc. 24,700 596
- - Barrett Resources Corp. 98,800 2,989
Bassett Furniture Industries, Inc. 45,025 1,351
Bay Apartment Communities,
Inc. REIT 78,200 3,050
Bay State Gas Co. 58,076 2,156
Bay View Capital Corp. 54,106 1,961
- - BE Avionics Inc. 68,600 1,835
- - Belco Oil & Gas Corp. 29,800 561
Belden, Inc. 76,200 2,686
- - Bell & Howell Co. 51,500 1,246
- - Benchmark Electronics, Inc. 22,800 509
- - Benton Oil & Gas Co. 96,400 1,247
- - Berg Electronics Corp. 56,200 1,279
W.R. Berkley Corp. 72,175 3,167
Berkshire Realty Co., Inc. REIT 100,600 1,207
Berry Petroleum Class A 79,300 1,383
- - Best Buy Co., Inc. 107,000 3,946
- - BET Holdings Inc. Class A 29,900 1,633
Big Flower Holdings, Inc. 51,800 1,250
- - Billing Information Concepts 50,700 2,434
Bindly Western Industries, Inc. 43,500 1,343
- - Bio-Rad Laboratories, Inc.
Class A 32,200 841
- - Biotechnology General 140,200 1,507
- - Biomatrix, Inc. 49,900 1,497
Birmingham Steel Corp. 90,400 1,424
- - Black Box Corp. 52,500 1,857
Black Hills Corp. 44,900 1,583
E.W. Blanch Holdings, Inc. 37,200 1,281
Block Drug Co. Class A 33,518 1,450
Blount International, Inc. 63,200 1,687
Bob Evans Farms, Inc. 128,500 2,843
- - Boole & Babbage Inc. 59,962 1,791
- - Borg-Warner Security Corp. 67,900 1,197
- - Borland International, Inc. 169,100 1,237
- - Boston Beer Co., Inc. Class A 51,200 400
</TABLE>
29
<PAGE> 78
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
MARKET
SMALL CAPITALIZATION VALUE*
STOCK PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C> <C>
- - Boston Technology, Inc. 81,200 $ 2,040
Bowne & Co., Inc. 57,200 2,281
- - Boyd Gaming Corp. 168,200 1,114
Boykin Lodging Co. REIT 45,700 1,208
Bradley Real Estate Inc. REIT 56,900 1,195
W.H. Brady Class A 61,100 1,894
Breed Technological Inc. 47,100 860
Brenton Banks, Inc. 33,698 1,348
- - Brightpoint, Inc. 155,025 2,151
- - Brinker International, Inc. 214,500 3,432
- - Bristol Hotel Co. 82,850 2,408
- - Broderbund Software, Inc. 70,200 1,799
- - Brooks Fiber Properties, Inc. 120,800 6,644
Brown Group, Inc. 74,900 997
- - Tom Brown, Inc. 83,200 1,602
Brush Wellman, Inc. 59,000 1,445
- - Brylane, Inc. 33,900 1,670
- - Buckeye Technology, Inc. 44,700 2,067
- - The Buckle, Inc. 18,200 623
- - Budget Group, Inc. 57,000 1,970
- - Buffets Inc. 137,849 1,292
Burlington Coat Factory
Warehouse Corp. 42,240 694
- - Burlington Industries, Inc. 185,100 2,557
Burnham Pacific Properties,
Inc. REIT 8,000 122
- - Burr-Brown Corp. 72,900 2,342
Bush Industries, Inc. 34,800 905
C & D Technology Inc. 26,900 1,298
- - CB Commerical Real Estate
Services, Inc. 15,629 503
CBL & Associates Properties,
Inc. REIT 68,200 1,684
- - CCC Information Services Group 47,100 930
CFW Communications Co. 9,800 219
- - C-Cube Microsystems, Inc. 105,500 1,721
- - CDI Corp. 34,800 1,592
- - CDW Computer Centers, Inc. 29,700 1,548
- - CFM Technologies, Inc. 23,200 357
CFX Corp. 59,500 1,815
- - CHS Electronics, Inc. 97,100 1,663
CKE Restaurants Inc. 132,400 5,577
- - CKS Group, Inc. 23,200 328
CMAC Investment Corp. 70,200 4,238
CPI Corp. 55,000 1,244
- - CSS Industries, Inc. 19,700 628
- - CNET, Inc. 13,800 407
CNB Bancshares, Inc. 57,799 2,785
- - CNA Surety Corp. 97,200 1,501
- - CNS, Inc. 102,800 687
- - CSF Holdings Inc. Contingent
Litigation Rights 29,125 15
- - CSG Systems International, Inc. 79,400 3,176
CTG Resources Inc. 46,743 1,218
CTS Corp. 50,300 1,606
- - CUNO Inc. 55,950 853
CVB Financial Corp. 26,600 988
- - Cablevision Systems Corp.
Class B 49,300 4,720
- - Cable Design Technologies 51,900 2,018
Cabot Oil & Gas Corp. Class A 70,626 1,373
- - CACI International, Inc. 58,000 1,149
Calgon Carbon Corp. 132,900 1,429
- - California Microwave, Inc. 65,700 1,273
California Water Service Co. 25,813 1,525
CalMat Co. 62,400 1,739
Cambrex Corp. 34,900 1,605
Camden Property Trust REIT 98,568 3,056
- - Canandaigua Brands, Inc. Class A 25,600 1,418
- - Canandaigua Brands, Inc. Class B 22,100 1,260
- - Capital Factors Holdings, Inc. 35,700 678
Capital Re Corp. 33,500 2,079
Capital Transamerica Corp. 32,050 683
CapMAC Holdings Inc. 47,500 1,651
Capstone Capital Corp. 56,500 1,448
Capstead Mortgage Corp. 165,200 3,294
- - The Carbide/Graphite Group, Inc. 39,700 1,340
Caraustar Industries, Inc. 77,800 2,665
- - CapStar Hotel Co. 75,800 2,601
- - CareMatrix Corp. 8,900 256
- - Caribiner International, Inc. 42,400 1,887
Carlisle Co., Inc. 83,300 3,561
- - Carmike Cinemas, Inc. Class A 38,500 1,104
Carpenter Technology Corp. 60,800 2,922
- - Carson Pirie Scott & Co. 49,100 2,461
Carter-Wallace, Inc. 61,200 1,033
Casey's General Stores 83,500 2,119
Cash America International Inc. 108,812 1,408
A.M. Castle & Co. 49,825 1,140
- - Castle & Cooke Inc. 47,600 803
- - Catalina Marketing Corp. 57,000 2,636
- - Cellular Communications
International Inc. 27,600 1,290
- - Cellstar Corp. 47,900 952
- - Cellnet Data Systems 130,000 1,007
- - Cellular Technical Services Co. 98,822 315
- - Centennial Cellular Corp. 57,100 1,171
CenterPoint Properties Corp. REIT 52,700 1,851
Centex Construction Products 47,000 1,416
- - Central Garden and Pet Co. 56,700 1,488
Central Hudson Gas &
Electric Corp. 53,400 2,343
Central Louisiana Electric Co. 69,100 2,237
Central Maine Power Co. 87,514 1,335
Central Parking Corp. 34,400 1,559
Century Aluminum Co. 18,100 244
- - Century Business Services, Inc. 58,200 1,004
- - Century Communications Corp.
Class A 131,116 1,278
- - Cephalon, Inc. 61,800 703
- - Cerner Corp. 80,100 1,692
- - Champion Enterprises, Inc. 153,448 3,155
Chaparral Steel Co. 35,100 542
- - Charming Shoppes, Inc. 318,600 1,493
Chart Industries, Inc. 17,800 406
Chartwell Re Corp. 36,600 1,235
- - Chase Industries, Inc. 44,200 1,127
Chateau Communities, Inc. REIT 78,500 2,473
- - Checkfree Holdings Corp. 133,700 3,610
Checkpoint Systems, Inc. 106,900 1,871
</TABLE>
30
<PAGE> 79
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C> <C>
Chelsea GCA Realty, Inc. REIT 45,200 $ 1,726
Chemed Corp. 37,800 1,566
ChemFirst Inc. 64,300 1,816
Chemical Finance 29,150 1,304
Chesapeake Corp. of Virginia 65,000 2,234
Chesapeake Energy Corp. 140,900 1,066
- - Chicago Miniature Lamp, Inc. 24,850 839
- - Choice Hotel International, Inc. 153,900 2,462
- - Chips & Technologies, Inc. 63,600 918
Chittenden Corp. 51,419 1,800
- - Christiana Cos., Inc. 16,900 670
Church & Dwight, Inc. 54,300 1,524
- - Cidco, Inc. 48,000 936
Cilcorp, Inc. 42,400 2,072
Cincinnati Milacron, Inc. 114,277 2,964
Circle International Group, Inc. 45,700 1,048
- - Circuit City Stores, Inc.-
CarMax Group 64,000 576
- - Cirrus Logic 187,400 1,991
Citifed Bancorp 47,700 1,860
Citizens Banking Corp. 48,600 1,677
Citizens Corp. 35,000 1,006
- - Citrix Systems, Inc. 81,300 6,179
Claire's Stores, Inc. 143,150 2,782
Clarcor Inc. 56,750 1,681
- - Clarify, Inc. 56,500 657
Cleveland-Cliffs Iron Co. 32,800 1,503
- - Cliffs Drilling Co. 48,414 2,415
- - Clintrials Research, Inc. 70,000 551
- - Closure Medical Corp. 26,000 673
- - Coach USA, Inc. 46,800 1,568
Coachmen Industries, Inc. 56,400 1,216
- - Coast Savings Financial, Inc. 58,200 3,990
Coca-Cola Bottling Co. 21,122 1,457
- - Coeur D'Alene Mines Corp. 98,143 883
- - Cognex Corp. 105,700 2,880
- - Coherent Communications
Systems Corp. 40,200 1,121
- - Coherent, Inc. 34,000 1,194
- - Coho Energy, Inc. 112,700 1,028
Cohu, Inc. 30,800 943
- - Coinmach Laundry Corp. 20,200 495
- - Cole National Corp. Class A 44,900 1,344
- - Kenneth Cole Productions, Inc. 44,500 715
- - Coleman Inc. 17,000 273
- - Collins & Aikman Corp. 188,200 1,623
Colonial BancGroup, Inc. 94,100 3,241
Colonial Properties Trust REIT 66,700 2,009
- - Columbia Laboratories Inc. 87,500 1,389
Columbus McKinnon Corp. 8,000 194
Commerce Bancorp, Inc. 51,755 2,640
Commerce Group, Inc. 61,200 1,997
Commercial Federal Corp. 101,475 3,609
Commercial Intertech Corp. 67,650 1,404
Commercial Metals Co. 43,266 1,366
- - CommNet Cellular Inc. 41,500 1,476
Commonwealth Bancorp 34,100 678
Commonwealth Energy Systems 56,100 1,865
- - Commonwealth Telephone
Enterprises, Inc. 32,000 828
Community First Bankshares 58,900 3,136
Community Trust Bancorp Inc. 39,860 1,241
- - Compdent Corp. 37,100 752
- - Complete Business Solutions, Inc. 18,000 783
- - CompuCom Systems, Inc. 16,600 137
- - CompuServe Corp. 125,700 1,524
- - Computer Horizons Corp. 85,600 3,852
- - Computer Management
Sciences, Inc. 26,225 502
- - Computer Products, Inc. 102,056 2,309
Computer Task Group, Inc. 45,200 1,607
- - Computervision Corp. 207,300 790
COMSAT Corp. 157,800 3,827
- - Comstock Resources, Inc. 96,000 1,146
- - Comverse Technology, Inc. 78,900 3,077
- - Concentra Managed Care 105,750 3,569
- - Cone Mills Corp. 106,700 827
- - Conmed Corp. 56,950 1,495
- - Consolidated Cigar Holdings Inc. 28,600 788
- - Consolidated Freightways Corp. 81,400 1,109
- - Consolidated Graphics, Inc. 31,600 1,473
- - Consolidated Products Inc. 91,613 1,500
- - Converse Inc. 56,100 337
- - Cooper Cos., Inc. 23,000 940
Adolph Coors Co. Class B 118,200 3,930
- - CopyTele, Inc. 237,400 831
- - Cor Therapeutics, Inc. 76,600 1,723
- - Coram Healthcare Corp. 11,488 39
- - CoreComm Inc. 56,300 570
- - COREStaff, Inc. 88,000 2,332
Cornerstone Properties, Inc. REIT 154,500 2,964
- - Cort Business Services Corp. 55,100 2,194
Corus Bankshares Inc. 30,500 1,207
- - Cost Plus, Inc. 25,500 739
Cousins Properties, Inc. REIT 71,000 2,081
- - Covance, Inc. 182,300 3,623
- - Covenant Transport, Inc. 33,000 503
- - Coventry Corp. 105,300 1,606
- - Cox Radio, Inc. 5,900 237
Crawford & Co. Class B 113,150 2,313
- - Creative Biomolecules, Inc. 93,100 687
- - Credence Systems Corp. 69,400 2,056
- - Credit Acceptance Corp. 53,200 412
CRIIMI MAE, Inc. REIT 122,200 1,833
A.T. Cross Co. Class A 49,900 505
- - Cross-Continent Auto
Retailers, Inc. 69,400 581
Cross Timbers Oil Co. 71,150 1,774
Crown American Realty
Trust REIT 106,900 996
Cubic Corp. 33,500 1,097
Cullen/Frost Bankers, Inc. 71,280 4,326
- - Culligan Water Technologies 79,576 3,999
- - Curative Health Services Inc. 14,400 437
Curtiss-Wright Corp. 27,200 988
- - CyberMedia, Inc. 37,800 569
- - Cygnus Inc. 79,700 1,584
- - Cylink Corp. 27,700 270
- - Cymer, Inc. 87,000 1,305
- - Cytogen Corp. 139,320 226
</TABLE>
31
<PAGE> 80
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
MARKET
SMALL CAPITALIZATION VALUE*
STOCK PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C> <C>
- - Cytyc Corp. 42,300 $ 1,052
- - DBT Online Inc. 27,200 678
- - DII Group, Inc. 86,446 2,356
- - DLB Oil & Gas, Inc. 14,500 152
D. R. Horton, Inc. 70,044 1,217
- - DSP Communications, Inc. 132,900 1,595
- - Daisytek International Corp. 17,100 594
- - Dal-Tile International Inc. 113,000 1,384
Dames & Moore Group 52,800 700
Daniel Industries, Inc. 71,800 1,382
Dart Group Corp. Class A 7,567 878
- - Data Dimensions, Inc. 24,900 430
- - Data General Corp. 120,300 2,098
- - Data Processing Resources Corp. 26,800 683
- - Data Transmission Network Corp. 14,000 392
- - Datascope Corp. 51,400 1,330
- - Davox Corp. 3,100 101
DEKALB Genetics Corp. Class B 93,700 3,678
- - dELiA*s Inc. 17,100 380
Delmarva Power & Light Co. 194,100 4,476
- - Delphi Financial Group, Inc. 45,500 2,048
Delta & Pine Land Co. 118,476 3,614
Deltic Timber Corp. 11,100 304
- - Deltek Systems, Inc. 35,100 555
- - Delta Financial Corp. 22,700 304
- - Department 56 Inc. 61,100 1,757
Developers Diversified Realty
Corp. REIT 64,100 2,452
Devon Energy Corp. 70,800 2,726
- - Devry, Inc. 86,800 2,767
Dexter Corp. 72,500 3,131
Diagnostic Products Corp. 38,600 1,071
- - Dialogic Corp. 25,400 1,111
- - Diamond Multimedia
Systems, Inc. 139,963 1,242
- - Digital Link Corp. 18,600 179
- - Digital Microwave Corp. 114,800 1,665
Dimon Inc. 122,200 3,208
- - Dionex Corp. 36,600 1,839
- - Discount Auto Parts Inc. 26,900 514
- - Documentum, Inc. 39,300 1,656
- - Dominick's Supermarkets, Inc. 44,900 1,639
Donaldson Co., Inc. 60,800 2,740
- - Donna Karan International Inc. 18,900 243
Doral Financial Corp. 26,800 680
Downey Financial Corp. 62,235 1,770
- - The Dress Barn, Inc. 71,800 2,037
Dreyer's Grand Ice Cream, Inc. 70,000 1,689
- - Ducommun, Inc. 26,100 912
- - DuPont Photomasks, Inc. 25,900 903
- - Dynatech Corp. 49,000 2,297
Dynex Capital, Inc. 136,000 1,810
EG&G, Inc. 144,900 3,016
- - ESS Technology, Inc. 50,800 386
- - ETEC Systems, Inc. 66,600 3,097
Elizabethtown Corp. 34,800 1,399
- - E*TRADE Group, Inc. 104,400 2,401
- - Eagle Hardware & Garden, Inc. 70,300 1,362
- - Eagle USA Airfreight, Inc. 12,100 345
Earthgrains Co. 63,572 2,988
Eastern Enterprises 59,300 2,668
Eastern Utilities Associates 70,889 1,861
EastGroup Properties, Inc. REIT 37,800 817
Eaton Vance Corp. 51,800 1,955
- - EchoStar Communications Corp. 14,100 236
- - Einstein/Noah Bagel Corp. 57,800 322
- - El Paso Electric Co. 156,000 1,141
Elcor Corp. 64,650 1,552
- - Electro Rent Corp. 38,779 1,386
- - Electro Scientific Industries, Inc. 30,600 1,163
- - Electroglas, Inc. 60,900 940
- - Eltron International Inc. 24,900 753
- - Emisphere Technologies, Inc. 33,300 620
- - Emmis Broadcasting Corp.
Class A 30,500 1,392
Empire District Electric Co. 72,070 1,414
- - Employee Solutions, Inc. 107,300 463
- - ENCAD, Inc. 45,900 1,262
Energen Corp. 40,200 1,598
Enhance Financial Services
Group, Inc. 40,900 2,434
- - Envoy Corp. 50,200 1,462
- - Enzo Biochem, Inc. 90,670 1,326
Equitable Resources, Inc. 114,700 4,058
- - Equity Corp. International 43,700 1,011
Equity Inns, Inc. REIT 108,800 1,605
Equity Residential Properties
Trust REIT 30,800 1,557
- - Essex International, Inc. 7,000 208
Essex Property Trust, Inc. REIT 25,000 875
- - Esterline Technologies Corp. 28,100 1,012
Ethan Allen Interiors, Inc. 85,900 3,313
- - Evans & Sutherland
Computer Corp. 33,300 966
EVEREN Capital Corp. 26,200 1,244
- - Exabyte Corp. 87,400 563
- - Exar Corp. 26,900 444
Excel Industries, Inc. 37,700 681
Excel Realty Trust, Inc. REIT 63,900 2,013
Executive Risk, Inc. 33,500 2,339
Exide Corp. 61,100 1,581
Expeditors International of
Washington, Inc. 76,500 2,945
- - Express Scripts 32,200 1,932
F & M Bancorporation, Inc. 37,140 1,495
F & M National Corp. 60,741 2,084
FBL Financial Group, Inc. Class A 50,500 2,026
- - FEI Co. 35,800 445
F.N.B. Corp. 38,870 1,462
- - FPA Medical Management, Inc. 67,900 1,265
- - FSI International, Inc. 66,100 777
- - FTP Software, Inc. 145,800 328
- - Fabri-Centers of America, Inc. 28,900 645
- - Fabri-Centers of America, Inc.
Class B 33,900 701
- - FactSet Research Systems Inc. 18,300 563
Fair Issac & Co. 25,900 863
- - Fairchild Corp. 64,200 1,597
- - Fairfield Communities, Inc. 57,050 2,517
- - Family Golf Centers, Inc. 25,800 809
</TABLE>
32
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<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C> <C>
Farmer Brothers, Inc. 5,450 $ 1,019
Fedders Corp. 105,400 659
Fedders Corp. Class A 67,612 414
Federal-Mogul Corp. 127,600 5,168
Federal Realty Investment
Trust REIT 123,700 3,185
Felcor Suite Hotels, Inc. REIT 98,700 3,504
Ferro Corp. 119,700 2,910
Fidelity National Financial, Inc. 64,940 2,021
- - Figgie International Inc. Class A 67,500 886
- - FileNet Corp. 42,300 1,274
- - Financial Federal Corp. 56,250 1,329
Financial Security Assurance
Holdings Ltd. 98,000 4,728
Fingerhut Co. 143,900 3,076
- - Finish Line, Inc. 32,500 427
First American Financial Corp. 31,800 2,349
First Brands Corp. 127,000 3,421
First Citizens BancShares Class A 29,600 3,079
First Federal Savings Bank
of Colorado 66,200 1,572
First Commerce Bancshares Inc.
Class A 8,900 258
First Commerce Bancshares Inc.
Class B 14,272 464
First Commonwealth
Financial Corp. 66,000 2,314
First Federal Capital Corp. 9,200 312
First Financial Bancorp 45,904 2,215
First Financial Bankshares, Inc. 24,500 1,050
First Financial Corp.-Indiana 4,000 242
First Financial Holdings, Inc. 21,700 1,153
First Industrial Realty Trust REIT 114,600 4,140
First Indiana Corp. 11,600 351
First Midwest Bancorp 47,000 2,056
- - First Republic Bank 48,700 1,555
First Savings Bank, SLA 5,300 289
First Source Corp. 46,145 1,471
First Union Real Estate 97,500 1,584
First United Bancshares, Inc. 3,100 130
First Western Bancorp 20,200 576
Firstbank of Illinois Co. 47,190 1,737
FirstBank Puerto Rico 51,600 1,758
- - FIRSTPLUS Financial Group, Inc. 72,800 2,794
- - First Federal Financial Corp. 44,375 1,720
FirstFederal Financial
Services Corp. 3,100 136
Flagstar Bancorp, Inc. 29,000 574
Fisher Scientific International Inc. 63,700 3,042
Fleetwood Enterprises, Inc. 90,200 3,828
Fleming Cos., Inc. 117,100 1,574
Florida East Coast Railway Co. 15,500 1,490
- - Florida Panthers Holdings, Inc. 107,500 1,854
Florida Rock Industries, Inc. 58,900 1,340
Flowserve Corp. 129,606 3,621
Fluke Corp. 48,400 1,261
- - Foamex International, Inc. 67,400 733
- - Foodmaker, Inc. 129,800 1,955
- - Footstar Inc. 94,800 2,548
- - Forcenergy Inc. 38,400 1,006
Foremost Corp. of America 28,600 1,995
- - Forest Oil Corp. 106,700 1,761
- - Forrester Research, Inc. 15,500 353
Fort Wayne National Corp. 55,550 2,555
- - Forte Software, Inc. 52,200 398
Franchise Finance Corp. of
America REIT 128,500 3,469
- - Franklin Covey Co. 77,700 1,709
- - Freeport-McMoRan Sulphur Inc. 16,122 190
Fremont General Corp. 74,310 4,068
- - Friedman's, Inc. Class A 41,500 565
- - Fritz Cos., Inc. 57,800 806
Frontier Insurance Group, Inc. 92,120 2,107
- - Fuisz Technologies Ltd. 49,200 418
H.B. Fuller Co. 44,550 2,205
Fulton Financial Corp. 125,743 4,087
Fund American Enterprise
Holding Co. 19,553 2,366
- - Furniture Brands
International Inc. 163,300 3,348
Furon Co. 81,600 1,703
G & K Services, Inc. 58,050 2,438
GBC Bancorp 24,200 1,543
- - GC Cos. 23,650 1,120
Gables Residential Trust REIT 59,400 1,641
- - Gadzooks, Inc. 26,900 565
Gainsco, Inc. 82,859 704
Arthur J. Gallagher & Co. 55,500 1,911
- - Galoob Toys, Inc. 66,400 676
- - Garden Ridge Corp. 76,100 1,084
- - Gaylord Container Corp. 164,900 948
GenCorp, Inc. 101,400 2,535
- - General Cable Corp. 53,100 1,922
General Chemical Group, Inc. 51,200 1,370
- - General Cigar Holdings, Inc. 52,800 1,125
- - General Communication, Inc. 87,600 580
- - General DataComm
Industries, Inc. 114,000 534
General Growth Properties
Inc. REIT 110,700 3,999
- - Genesco, Inc. 118,100 1,506
- - Gentex Corp. 108,700 2,921
Genovese Drug Stores, Inc.
Class A 10,670 183
- - Genrad, Inc. 84,300 2,545
- - Gensia Sicor Inc. 218,960 1,273
Geon Co. 71,000 1,660
Georgia Gulf Corp. 107,300 3,286
- - Geotek Industries, Inc. 184,400 282
Gerber Scientific, Inc. 59,600 1,185
- - Getchell Gold Corp. 84,813 2,036
Getty Realty Corp. 47,000 1,040
- - Gibraltar Steel 28,150 556
- - Gibson Greetings, Inc. 35,700 781
- - Gilead Sciences, Inc. 93,100 3,561
P.H. Glatfelter Co. 79,800 1,486
Gleason Corp. 28,300 762
- - Glenayre Technologies, Inc. 187,325 1,850
Glenborough Realty Trust,
Inc. REIT 79,200 2,346
</TABLE>
33
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<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
MARKET
SMALL CAPITALIZATION VALUE*
STOCK PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C> <C>
Glimcher Realty Trust REIT 74,900 $ 1,690
- - Global DirectMail Corp. 41,400 717
- - Global Industrial
Technologies, Inc. 63,800 1,081
- - Global Industries Ltd. 164,800 2,802
- - Golden Books Family
Entertainment, Inc. 108,100 1,115
Graco, Inc. 44,150 1,647
- - Graham-Field Health Products Inc. 85,400 1,425
- - Grand Casinos, Inc. 99,400 1,354
Grand Premier Financial, Inc. 33,323 475
Granite Construction Co. 12,000 276
Great Atlantic & Pacific Tea
Co., Inc. 61,700 1,832
Great Financial Corp. 44,800 2,285
Great Lakes REIT, Inc. 55,700 1,083
Grief Brothers Corp. Class A 44,600 1,511
Grey Advertising, Inc. 3,000 984
- - Grey Wolf, Inc. 222,900 1,198
- - Greyhound Lines, Inc. 195,100 719
- - Griffon Corp. 105,300 1,540
- - Grubb & Ellis Co. 24,900 341
Guarantee Life Cos., Inc. 43,700 1,245
- - Guess ?, Inc. 63,100 434
Guilford Mills, Inc. 58,500 1,601
- - Guilford Pharmaceuticals, Inc. 45,700 920
- - Guitar Center, Inc. 23,200 534
- - Gulf South Medical Supply, Inc. 48,950 1,823
- - Gymboree Corp. 79,000 2,163
- - HA-LO Industries, Inc. 49,150 1,278
HCC Insurance Holdings, Inc. 105,350 2,239
- - HCIA, Inc. 35,300 419
HFNC Financial Corp. 65,200 945
- - HMT Technology Corp. 112,400 1,461
- - HNC Software, Inc. 49,200 2,116
- - HS Resources Inc. 19,100 264
HSB Group Inc. 62,200 3,433
HUBCO, Inc. 73,204 2,864
- - Hadco Corp. 31,200 1,412
- - Haemonetics Corp. 61,250 857
- - Hambrecht & Quist Group 54,000 1,971
- - Hamilton Bancorp, Inc. 22,900 667
Hancock Fabrics, Inc. 3,500 51
Hancock Holding Co. 28,807 1,743
- - Handleman Co. 132,800 921
Handy & Harman 59,500 2,053
M.A. Hanna Co. 140,800 3,555
- - Harbinger Corp. 55,500 1,561
Harbor Federal Savings Bank 8,500 563
- - Harken Energy Corp. 317,200 2,220
John H. Harland Co. 96,100 2,018
Harleysville National Corp. 14,298 601
Harman International
Industries, Inc. 57,725 2,450
Harris Financial, Inc. 8,100 161
Hartford Life, Inc. 81,700 3,702
- - Hartmarx Corp. 133,100 1,015
Hawaiian Electric Industries Inc. 97,900 4,002
- - Hayes Lemmerz International, Inc. 81,700 2,288
Health Care Properties Investors 89,900 3,399
Healthcare Realty Trust Inc. 53,100 1,537
HealthPlan Services Corp. 53,600 1,126
- - Heartport Inc. 61,500 1,253
Health Care REIT, Inc. 71,300 2,005
- - Healthdyne Technologies, Inc. 45,001 917
- - Heartland Express, Inc. 50,308 1,352
- - Hecla Mining Co. 189,700 937
- - Heftel Broadcasting Corp. 64,400 3,011
Heilig-Meyers Co. 180,600 2,167
Helix Technology Corp. 58,800 1,147
Herbalife International Class A 16,067 337
- - Herbalife International Class B 32,134 691
Heritage Financial Services, Inc. 54,600 1,583
- - Hexcel Corp. 63,000 1,571
- - Highlands Insurance Group 62,930 1,786
- - Highwaymaster
Communications, Inc. 70,700 402
Highwood Properties, Inc. REIT 134,900 5,017
Hilb, Rogal and Hamilton Co. 38,100 736
- - Hirsch International Corp. Class A 38,600 849
Holly Corp. 28,300 782
- - Hollywood Entertainment Corp. 81,600 867
- - Hollywood Park, Inc. 74,900 1,648
- - Hologic, Inc. 46,000 952
- - Holophane Corp. 53,900 1,334
Home Properties of New York,
Inc. REIT 41,800 1,136
- - Homebase Inc. 89,700 706
- - Homeside, Inc. 70,300 1,938
- - Homestead Village, Inc. 43,900 661
Horizon Group, Inc. REIT 92,964 1,017
- - Host Marriott Services Corp. 108,540 1,615
Hospitality Properties Trust REIT 72,200 2,374
Houghton Mifflin Co. 95,000 3,646
Hudson Foods Inc. Class A 84,950 1,747
Huffy Corp. 60,600 818
Hughes Supply, Inc. 54,650 1,909
- - Hugoton Energy Corp. 44,100 405
- - Human Genome Sciences, Inc. 70,400 2,798
Hunt Corp. 49,300 1,168
J.B. Hunt Transport Services, Inc. 57,700 1,082
- - Hutchinson Technology, Inc. 61,900 1,354
- - Hvide Marine, Inc. Class A 44,800 1,154
- - Hyperion Software Corp. 62,300 2,227
IBS Financial Corp. 26,300 465
ICN Pharmaceuticals, Inc. 118,335 5,776
- - ICOS Corp. 102,600 1,879
- - IDEC Pharmaceuticals Corp. 58,800 2,021
IDEX Corp. 91,600 3,195
- - IDEXX Laboratories Corp. 107,400 1,712
- - IDX Systems Corp. 23,480 869
IES Industries, Inc. 92,900 3,420
- - IHOP Corp. 36,000 1,170
IMC Global Inc. 68,667 2,249
- - IMC Global Inc.
Warrants Exp. 12/22/2000 25,432 99
- - IMC Mortgage Co. 44,900 533
INMC Mortgage Holdings Inc. 161,400 3,783
IRT Property Co. REIT 106,198 1,254
- - I-STAT Corp. 26,900 425
- - IXC Communications, Inc. 54,900 1,722
</TABLE>
34
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<TABLE>
<CAPTION>
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MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C> <C>
- - Identix, Inc. 86,500 $ 833
- - Imation Corp. 130,400 2,086
- - Imperial Bancorp 72,064 3,554
- - Imperial Credit 76,364 1,565
Imperial Holly Corp. 31,801 346
- - Imatron, Inc. 246,000 569
- - In Focus Systems, Inc. 35,300 1,072
- - Imnet Systems, Inc. 15,400 250
- - Inacom Corp. 40,500 1,137
- - INCYTE Pharmaceuticals, Inc. 62,400 2,808
Indiana Energy, Inc. 71,900 2,368
- - Industri-Matematik
International Corp. 71,000 2,094
- - Information Resources, Inc. 93,400 1,249
- - Infinity Financial Technology, Inc. 67,200 1,407
- - Inhale Therapeutic Systems 51,100 1,329
Innovex, Inc. 41,100 943
- - Input/Output, Inc. 128,000 3,800
- - Insilco Corp. 24,500 808
- - INSO Corp. 62,100 718
Innkeepers USA Trust REIT 97,300 1,508
- - Insignia Financial Group 78,300 1,801
- - Integrated Device
Technology Inc. 250,900 2,368
- - Integrated Circuit Systems, Inc. 29,738 848
Integrated Health Services, Inc. 127,212 3,967
- - Integrated Process
Equipment Corp. 51,200 806
- - Integrated Systems, Inc. 60,500 832
- - Inter-Tel, Inc. 72,800 1,410
Interface, Inc. 63,900 1,853
- - Interdigital Communications
Corp. 236,300 724
- - Intergraph Corp. 130,200 1,302
- - Interim Services, Inc. 126,406 3,271
- - Intermedia Communications Inc. 51,200 3,110
Intermet Corp. 65,100 1,139
- - International Dairy Queen, Inc.
Class A 57,400 1,537
International Multifoods Corp. 57,700 1,634
- - International Network Services 53,300 1,233
- - International Rectifier Corp. 158,200 1,869
- - Interneuron Pharmaceutical, Inc. 84,200 800
Interpool, Inc. 62,150 921
Interra Financial, Inc. 41,200 2,843
- - Intersolv 69,400 1,405
- - Interstate Hotels Co. 67,300 2,360
InterWest Bancorp Inc. 30,700 1,159
Interstate Power Co. 35,200 1,318
- - InterVoice, Inc. 98,000 735
- - Intevac, Inc. 32,700 319
Invacare Corp. 89,300 1,942
- - Investment Technology
Group, Inc. 31,100 871
Investors Financial Services Corp. 8,300 382
Investors Financial Services Corp.
Class A 877 40
- - Ionics, Inc. 50,100 1,960
- - Iron Mountain, Inc. 13,500 486
Irvine Apartment Communities,
Inc. REIT 55,600 1,769
Irwin Financial Corp. 32,700 1,369
- - ISIS Pharmaceuticals, Inc. 81,400 1,002
- - Itron, Inc. 55,400 997
- - i2 Technologies, Inc 32,600 1,720
J & L Specialty Steel Inc. 42,500 428
JDN Realty Corp. REIT 49,100 1,590
JLG Industries, Inc. 135,100 1,908
- - JPM Co. 22,000 467
- - JP Foodservice, Inc. 102,331 3,780
JP Realty Inc. REIT 59,300 1,538
JSB Financial 29,200 1,462
- - Jacobs Engineering Group Inc. 66,300 1,682
- - Jacor Communications, Inc. 141,600 7,523
- - Jacor Communications, Inc.
Warrants Exp. 9/19/2001 33,100 203
Jefferies Group, Inc. 63,232 2,589
John Alden Financial Corp. 80,800 1,939
John Nuveen Co. Class A 30,300 1,060
- - Jones Intercable Inc. 28,400 483
- - Jones Intercable Inc. Class A 4,700 83
Jones Medical Industries, Inc. 71,100 2,720
Jostens Inc. 120,600 2,781
- - Journal Register Co. 147,800 3,104
Juno Lighting, Inc. 82,800 1,449
- - Just for Feet, Inc. 60,550 795
Justin Industries, Inc. 68,750 937
KCS Energy, Inc. 81,600 1,693
K2 Inc. 39,410 897
- - K-V Pharmaceutical Co. Class B 45,900 967
- - Kaiser Aluminum &
Chemical Corp. 89,400 788
Kaman Corp. Class A 30,600 501
Kansas City Life Insurance Co. 12,330 1,221
Kaufman & Broad Home Corp. 123,000 2,760
Kaydon Corp. 103,800 3,386
Kellwood Co. 65,950 1,979
- - Kelly Oil Corp. 278,100 608
Kelly Services, Inc. Class A 50,300 1,509
- - KEMET Corp. 121,500 2,354
Kennametal, Inc. 82,600 4,280
- - Kent Electronics Corp. 88,400 2,221
- - Key Energy Group 39,800 863
Keystone Financial, Inc. 161,953 6,519
Kimball International, Inc.
Class B 113,600 2,094
Kilroy Realty Corp. 66,000 1,897
- - Kirby Corp. 77,000 1,487
- - Kitty Hawk, Inc. 31,100 599
- - Knoll, Inc. 31,100 999
- - Knight Transportation, Inc. 25,200 699
Koger Equity, Inc. REIT 67,900 1,490
Kuhlman Corp. 49,600 1,941
- - Kulicke & Soffa Industries, Inc. 72,100 1,343
- - LCA-Vision, Inc. 22,425 25
- - LCI International, Inc. 47,653 1,465
- - LHS Group, Inc. 14,500 866
LNR Property Corp. 81,550 1,927
LTC Properties, Inc. 68,100 1,413
- - LTX Corp. 135,100 600
La-Z-Boy Inc. 49,100 2,117
Lab Holdings, Inc. 22,900 532
</TABLE>
35
<PAGE> 84
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
MARKET
SMALL CAPITALIZATION VALUE*
STOCK PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C> <C>
- - Laboratory Corp. of America 196,352 $ 331
Laclede Gas Co. 53,500 1,501
- - Laidlaw Environmental
Services, Inc. 285,937 1,394
- - Lamar Advertising Co. 46,500 1,848
Lance, Inc. 49,800 1,310
Landauer, Inc. 46,600 1,305
- - Lands' End, Inc. 48,300 1,694
- - Landry's Seafood
Restaurants, Inc. 67,100 1,610
- - Landstar System 51,500 1,358
Lawson Products, Inc. 29,600 881
Lawter International Inc. 138,566 1,507
- - Layne Christensen Co. 28,100 365
- - Learning Co., Inc. 118,400 1,902
- - Learning Tree International, Inc. 23,400 676
- - Legato Systems, Inc. 62,000 2,728
Legg Mason Inc. 66,566 3,724
Lennar Corp. 86,250 1,860
- - Level One Communications 66,150 1,869
Libbey, Inc. 54,500 2,064
Liberty Corp. 39,300 1,837
Liberty Property Trust REIT 144,300 4,122
- - Life USA Holding, Inc. 92,800 1,566
Life Bancorp Inc. 12,000 439
Life Re Corp. 27,700 1,806
Life Technologies, Inc. 37,950 1,262
- - Ligand Pharmaceuticals Class B 76,600 986
Lilly Industries Inc. Class A 66,350 1,368
Lincoln Electric Co. 36,100 1,408
Lincoln Electric Co. Class A 39,600 1,426
Lindsay Manufacturing Co. 37,330 1,619
- - Linens 'n Things, Inc. 43,600 1,902
- - Liposome Co., Inc. 137,600 636
Liqui-Box Corp. 24,500 986
- - Littelfuse, Inc. 60,600 1,507
- - Lo-Jack Corp. 93,200 1,375
Lomak Petroleum, Inc. 34,500 561
Lone Star Industries, Inc. 33,400 1,774
- - Lone Star Steakhouse &
Saloon, Inc. 113,200 1,981
- - Lone Star Technologies, Inc. 65,900 1,870
- - Long Beach Financial Corp. 75,100 873
Long Island Bancorp, Inc. 75,400 3,742
Longs Drug Stores, Inc. 95,100 3,055
Longview Fibre Co. 161,900 2,459
- - Louis Dreyfus Natural Gas Corp. 60,596 1,132
Luby's Cafeterias, Inc. 74,000 1,300
Lukens, Inc. 52,400 1,497
- - Lycos, Inc. 42,000 1,738
- - Lydall, Inc. 65,600 1,279
MAF Bancorp, Inc. 56,434 1,996
MDU Resources Group, Inc. 89,725 2,838
MGI Properties, Inc. REIT 56,400 1,354
ML Bancorp Inc. 57,300 1,719
MMI Cos., Inc. 9,600 241
- - MRV Communications Inc. 61,000 1,456
MTS Systems Corp. 37,900 1,421
- - MacFrugal's Bargains Close
Outs, Inc. 77,700 3,195
MacDermid, Inc. 22,800 1,935
The Macerich Co. REIT 72,400 2,063
Mack-Cali Realty Corp. 157,200 6,445
- - Macromedia 55,800 464
Madison Gas & Electric Co. 42,275 972
- - Magellan Health Services, Inc. 91,700 1,972
Magna Group 103,900 4,753
- - Magnatek 76,500 1,492
- - Mail-Well, Inc. 47,000 1,903
Mainstreet Bankgroup, Inc. 39,900 1,112
- - Malibu Entertainment Worldwide 6,500 21
Manitowac Co., Inc. 56,700 1,843
Manufactured Home
Communities, Inc. REIT 68,300 1,844
- - Manugistics Group, Inc. 51,800 2,312
Marcus Corp. 18,600 343
- - Marine Drilling Co., Inc. 168,200 3,490
- - Mariner Health Group, Inc. 88,750 1,442
- - Markel Corp. 13,200 2,061
- - Marquette Medical Systems Inc. 51,200 1,363
- - Marshall Industries 52,200 1,566
- - Martek Biosciences Corp. 84,100 694
- - Marvel Entertainment Group 34,100 17
MascoTech Inc. 77,900 1,431
- - Mastec Inc. 32,900 753
- - Material Sciences Corp. 80,300 979
Matthews International Corp. 15,700 691
- - May & Speh, Inc. 40,100 541
- - Maxicare Health Plans Inc. 71,317 776
- - Maxxam Inc. 25,300 1,104
McClatchy Newspapers, Inc. 54,800 1,490
McDonald and Co. Investments 63,320 1,797
- - McLeod, Inc. 100,900 3,229
- - McWorter Technologies Inc. 39,650 1,021
Meadowbrook Insurance
Group, Inc. 30,100 784
- - Medaphis Corp. 226,750 1,474
Media General, Inc. Class A 37,600 1,572
- - Medical Assurance, Inc. 65,990 1,856
- - Medicis Pharmaceutical Corp. 44,100 2,255
- - MedImmune Inc. 70,600 3,027
- - MEDIQ, Inc. 54,100 602
- - MedQuist, Inc. 50,850 1,767
Medusa Corp. 53,650 2,243
- - MemberWorks, Inc. 20,800 437
- - Men's Wearhouse, Inc. 42,000 1,459
Mentor Corp. 78,800 2,876
- - Mentor Graphics Corp. 184,500 1,787
Merchants New York
Bancorporation 3,900 164
- - Mercury Interactive Corp. 72,600 1,942
- - The Meridian Resource Corp. 47,844 458
Merrill Corp. 63,200 1,469
Merry Land & Investment Co.,
Inc. REIT 122,518 2,803
- - Mesaba Holdings, Inc. 35,700 928
- - Mestek, Inc. 4,000 75
Methode Electronics, Inc. Class A 86,800 1,410
Metris Cos., Inc. 28,900 990
- - Metro Information Services, Inc. 4,400 122
</TABLE>
36
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<CAPTION>
- -----------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C> <C>
- - Metromedia International $
Group, Inc. 135,200 1,284
- - Michaels Stores, Inc. 74,818 2,188
- - Micrel, Inc. 35,500 1,021
- - Micro Linear Corp. 95,300 750
- - MICROS Systems, Inc. 27,800 1,251
- - Microage, Inc. 59,100 890
- - Micro Warehouse Inc. 104,800 1,461
- - MicroProse, Inc. 171,200 374
- - Microtouch Systems, Inc. 34,300 540
Mid Am Inc. 74,369 1,915
Mid-America Apartment
Communities, Inc. REIT 43,000 1,228
- - Mid Atlantic Medical
Services, Inc. 150,900 1,924
- - Midwest Express Holdings, Inc. 40,400 1,568
- - Midway Games Inc. 52,700 958
- - Millennium Pharmaceuticals, Inc. 87,300 1,659
- - Miller Industries, Inc. 81,250 873
Mills Corp. REIT 68,700 1,683
Mine Safety Appliances Co. 16,000 1,048
Minerals Technologies, Inc. 70,100 3,185
- - MiniMed, Inc. 22,200 863
Minnesota Power & Light Co. 105,200 4,583
- - Miravant Medical Technology 30,250 1,210
Mississippi Chemical Corp. 87,965 1,605
- - Mobile Telecommunications
Technologies Corp. 154,900 3,408
Modine Manufacturing Co. 69,800 2,382
- - Mohawk Industries, Inc. 103,350 2,267
- - MoneyGram Payment
Systems, Inc. 69,200 744
- - Robert Mondavi Corp. 29,300 1,428
Morrison Health Care Inc. 39,916 798
- - MotivePower Industries Inc. 53,400 1,242
- - Mueller Industries Inc. 55,000 3,245
- - Mycogen Corp. 44,900 842
Myers Industries, Inc. 58,597 1,000
- - Mylex Corp. 81,700 735
- - NABI 71,100 242
NAC Re Corp. 44,750 2,184
NACCO Industries, Inc. Class A 21,395 2,293
- - NBTY, Inc. 75,400 2,516
- - NCI Building Systems, Inc. 29,200 1,037
- - NCO Group, Inc. 22,050 568
- - NCS HealthCare, Inc. 49,500 1,306
- - NFO Worldwide, Inc. 67,800 1,420
- - NHP, INC. 11,600 319
- - N L Industries, Inc. 50,200 684
NN Ball and Roller 56,700 503
- - NPC International Class A 79,000 958
- - NTL Inc. 89,667 2,499
NUI Corp. 23,900 686
NYMAGIC, Inc. 35,100 967
Nash-Finch Co. 43,800 832
National Bankcorp of Alaska Inc. 9,900 1,252
National City Bancshares, Inc. 5,335 239
National Computer Systems, Inc. 41,600 1,466
National Golf Properties, Inc. REIT 33,900 1,112
National Health Investors REIT 72,000 3,015
- - National Media Corp. 112,300 365
- - National-Oilwell, Inc. 112,600 3,850
National Penn Bancshares Inc. 39,626 1,308
National Presto Industries, Inc. 19,400 768
- - National Steel Corp. Class B 69,200 800
- - National Surgery Centers, Inc. 30,500 801
- - National Western Life Insurance
Co. Class A 9,500 964
Nationwide Health
Properties, Inc. 132,700 3,384
- - Natural Microsystems Corp. 32,200 1,497
Nature's Sunshine Inc. 55,382 1,440
- - Nautica Enterprises Inc. 106,614 2,479
Thomas Nelson, Inc. 60,500 700
- - Neopath, Inc. 33,400 434
- - Network Equipment
Technologies, Inc. 69,500 1,016
- - Network Appliance, Inc. 91,000 3,230
- - Network Computing Devices, Inc. 75,100 704
- - Neurex Corp. 51,900 720
- - Neurogen Corp. 41,800 564
- - Neuromedical Systems, Inc. 155,900 438
Nevada Power Co. 155,700 4,136
New England Business
Service, Inc. 50,300 1,698
New Jersey Resources Corp. 55,800 2,235
New York Bancorp Inc. 58,166 2,308
- - Newfield Exploration Co. 101,600 2,369
- - Newpark Resources, Inc. 200,400 3,507
Newport News Shipbuilding Inc. 110,600 2,813
- - NeXstar Pharmaceuticals Inc. 93,900 1,068
- - Nimbus CD International, Inc. 72,100 775
- - 99 Cents Only Stores 12,500 369
Nordson Corp. 46,100 2,115
Norrell Corp. 42,100 837
North Carolina Natural Gas Corp. 36,135 1,256
- - The North Face, Inc. 20,000 440
North Pittsburgh Systems, Inc. 3,000 55
Northwest Natural Gas Co. 68,150 2,113
Northwestern Public Service Co. 75,200 1,730
- - Nova Corp. (Georgia) 62,600 1,565
- - NovaCare, Inc. 189,000 2,469
- - Nu Skin Asia Pacific Inc. 39,800 726
- - Nuevo Energy Co. 61,900 2,522
- - OAO Technology 16,360 151
OEA, Inc. 50,600 1,464
- - OEC Medical Systems, Inc. 48,500 967
- - ODS Networks, Inc. 52,600 339
- - OHM Corp. 92,500 705
- - OIS Optical Imaging
Systems, Inc. 127,900 156
OM Group, Inc. 69,400 2,542
- - OMI Corp. 133,000 1,222
- - Oak Industries, Inc. 54,000 1,603
- - Oak Technology, Inc. 88,700 576
Oakwood Homes Corp. 145,200 4,819
Oasis Residential, Inc. REIT 68,800 1,535
- - Object Design, Inc. 94,800 794
- - Objective Systems
Integrators, Inc. 17,200 144
</TABLE>
37
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<CAPTION>
- -----------------------------------------------------------------------
MARKET
SMALL CAPITALIZATION VALUE*
STOCK PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C> <C>
- - Ocean Energy, Inc. 41,800 $ 2,061
Ocean Financial Corp. 39,500 1,471
- - Oceaneering International, Inc. 74,000 1,461
Ocwen Asset Investment Corp. 61,300 1,257
- - Ocwen Financial Corp. 83,600 2,127
- - Offshore Logistics, Inc. 68,700 1,468
Ogden Corp. 156,600 4,414
Old National Bancorp 80,779 3,908
Omega Healthcare Investors,
Inc. REIT 60,600 2,341
OmniQuip International, Inc. 30,800 614
Omega Financial Corp. 34,800 1,166
- - Omnipoint Corp. 98,200 2,283
- - On Assignment, Inc. 24,600 652
Onbancorp Inc. 39,200 2,764
One Valley Bancorp of
West Virginia Inc. 85,244 3,303
Oneida Ltd. 64,335 1,717
ONEOK, Inc. 75,500 3,048
- - Open Market, Inc. 39,900 384
Orange & Rockland Utilities, Inc. 43,400 2,021
- - Orbital Sciences Corp. 102,500 3,049
- - Oregon Metallurgical Corp. 70,900 2,366
- - Organogenesis, Inc. 79,594 2,099
Oregon Steel Mills, Inc. 75,800 1,615
- - O'Reilly Automotive, Inc. 37,300 979
Oriental Financial Group 34,800 1,029
Orion Capital Corp. 87,150 4,047
- - Orthodontic Centers of
America, Inc. 111,800 1,859
- - Osmonics, Inc. 52,200 825
Otter Tail Power Co. 41,000 1,553
- - Outdoor Systems, Inc. 50,100 1,923
Overseas Shipholding Group Inc. 85,600 1,867
Owens & Minor, Inc. Holding Co. 75,537 1,095
Oxford Industries, Inc. 22,800 741
- - Oxigene, Inc. 18,000 315
- - P-Com, Inc. 114,100 1,968
- - PFF Bancorp, Inc. 79,500 1,580
- - PHP Healthcare Corp. 51,700 779
- - PMC Sierra Inc. 91,300 2,830
- - PMT Services Inc 117,000 1,623
- - PRI Automation, Inc. 37,300 1,077
PXRE Corp. 44,833 1,488
- - Pacific Gateway Exchange, Inc. 30,400 1,636
Pacific Gulf Properties, Inc. REIT 45,300 1,076
- - Pacific Sunwear of California 34,350 1,015
- - PageMart Wireless, Inc. 31,500 248
- - Paging Network, Inc. 320,900 3,450
- - Palm Harbor Homes, Inc. 16,743 473
- - Panavision Inc. 48,100 1,242
- - Papa John's International, Inc. 57,450 2,004
- - Paracelsus Healthcare Corp. 53,800 182
- - Paragon Health Network, Inc. 101,796 1,991
- - Paragon Trade Brands, Inc. 45,500 586
- - PAREXEL International Corp. 61,300 2,268
Park Electrochemical Corp. 34,200 970
Park National Corp. 20,300 1,789
- - Parker Drilling Co. 214,400 2,613
- - PathoGenesis Corp. 47,500 1,763
- - Patterson Dental Co. 42,900 1,941
- - Patterson Energy, Inc. 39,400 1,524
- - Paul Harris Stores, Inc. 26,900 271
- - Paxar Corp. 94,456 1,399
- - Paxson Communications Corp. 85,300 629
- - PEC Israel Economic Corp. 33,100 716
- - Pediatrix Medical Group, Inc. 29,700 1,270
- - Pegasystems Inc. 43,300 874
Penn Engineering &
Manufacturing Corp. 16,800 403
Penn Engineering &
Manufacturing Corp. Class A 18,300 456
- - Penn National Gaming, Inc. 54,300 529
Penncorp Financial Group Inc. 86,300 3,080
Pennsylvania REIT 43,200 1,061
- - Penske Motorsports, Inc. 18,300 455
Peoples First 7,700 299
Peoples Heritage Financial
Group Inc. 87,200 4,011
- - Perclose, Inc. 29,800 574
- - Perception, Inc. 27,700 599
- - Performance Food Group Co. 43,950 1,044
- - Periphonics Corp. 35,500 311
- - Perrigo Co. 208,500 2,789
- - Personnel Group of America, Inc. 46,600 1,538
- - Petco Animal Supplies, Inc. 57,500 1,380
- - Pharmaceutical Product
Development, Inc. 57,371 882
- - PharMerica, Inc. 68,200 708
- - Philadelphia Consolidated
Holding Corp. 28,000 497
Philadelphia Suburban Corp. 47,100 1,387
Phillips-Van Heusen Corp. 86,300 1,230
Phoenix Duff & Phelps Corp. 193,400 1,547
- - Phymatrix Corp. 43,500 685
- - Phoenix Technologies LTD. 63,100 765
- - Photronics Labs Inc. 54,200 1,314
- - Physician Sales & Service, Inc. 120,800 2,597
- - Physicians Resource Group, Inc. 79,700 349
- - Physio-Control International Corp. 45,300 719
- - PictureTel Corp. 76,700 499
Piedmont Natural Gas, Inc. 95,143 3,419
Pier 1 Imports Inc. 211,588 4,787
- - Pinkerton's, Inc. 42,300 994
Pioneer Group, Inc. 69,600 1,957
Pioneer Standard Electronics Inc. 93,450 1,425
Piper Jaffray Cos., Inc. 56,900 2,073
Pittston Burlington Group 63,400 1,664
- - Pixar, Inc. 30,600 662
- - Plains Resources 70,000 1,203
- - Plantronics, Inc. 56,300 2,252
- - PLATINUM technology, Inc. 193,777 5,474
- - Playboy Enterprises Inc. Class B 44,200 693
- - Playtex Products, Inc. 133,600 1,369
- - Plexus Corp. 63,300 942
Poe & Brown, Inc. 28,900 1,290
Polaris Industries, Inc. 82,900 2,534
- - Policy Management
Systems Corp. 49,100 3,416
- - Polymer Group, Inc. 75,700 719
</TABLE>
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<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C> <C>
- - Pool Energy Service Co. 65,400 $ 1,455
Pope & Talbot, Inc. 58,600 883
- - Possis Medical Inc. 60,000 660
Post Properties, Inc. REIT 99,626 4,047
- - Powertel Inc. 50,000 837
- - Pre-Paid Legal Services, Inc. 75,900 2,595
- - Precision Response Corp. 37,700 384
- - Premier Parks Inc. 33,900 1,373
- - Premisys Communications, Inc. 80,900 2,114
- - Premiere Technologies, Inc. 67,400 1,862
Prentiss Properties Trust REIT 71,700 2,003
Presidential Life Corp. 74,300 1,505
Price Enterprises, Inc. 58,000 1,058
- - PriCellular Corp. 83,897 876
- - Primadonna Resorts, Inc. 34,300 572
Prime Retail, Inc. REIT 112,500 1,596
- - Primark Corp. 81,400 3,312
- - Prime Hospitality Corp. 127,900 2,606
- - Primus Telecommunications
Group, Inc. 29,900 482
- - Pride International Inc. 136,900 3,457
- - Proffitt's, Inc. 143,000 4,067
- - Progress Software Corp. 60,200 1,302
- - Project Software &
Development, Inc. 30,500 717
- - Protein Design Labs 48,300 1,932
Provident Bankshares Corp. 27,900 1,782
- - PSINet, Inc. 135,900 696
Public Service Co. of
New Mexico 130,700 3,096
Public Service Co. of
North Carolina, Inc. 59,200 1,354
Pulitzer Publishing Co. 33,249 2,088
Pulte Corp. 47,600 1,990
Quaker State Corp. 110,000 1,568
- - Quality Food Centers Inc. 40,488 2,713
Quanex Corp. 43,100 1,212
Queens County Bancorp, Inc. 42,848 1,735
- - Quest Diagnostics, Inc. 90,600 1,529
Quick & Reilly Group, Inc. 64,525 2,775
- - QuickResponse Services, Inc. 33,700 1,247
- - Quiksilver, Inc. 34,100 976
- - Quintel Entertainment, Inc. 39,500 215
- - RCN Corp. 44,800 1,534
RFS Hotel Investors, Inc. REIT 65,000 1,296
R.L.I. Corp. 9,800 488
- - RMI Titanium Co. 64,600 1,292
RPC Inc. 93,600 1,106
- - Radiant Systems, Inc. 23,200 661
- - RadiSys Corp. 23,400 872
- - Rainforest Cafe, Inc. 46,500 1,535
- - Rambus Inc. 38,100 1,743
- - Ralcorp Holdings, Inc. 102,300 1,733
- - Raptor Systems, Inc. 40,100 531
- - Rational Software Corp. 240,479 2,735
Raymond James Financial, Inc. 75,750 3,006
- - Read Rite Corp. 136,500 2,150
Realty Income Corp. REIT 77,800 1,979
Reckson Associates Realty
Corp. REIT 94,100 2,388
- - Red Roof Inns, Inc. 106,200 1,626
Redwood Trust, Inc. 43,100 878
Regal-Beloit Corp. 64,800 1,916
- - Regeneron Pharmaceuticals, Inc. 76,900 658
Regis Corp. 10,000 251
Regency Realty Corp. REIT 68,100 1,886
- - The Registry, Inc. 20,600 945
Reinsurance Group of
America, Inc. 121,300 5,163
Reliance Steel & Aluminum Co. 18,800 559
- - Remec, Inc. 19,100 430
- - Remedy Corp. 65,100 1,367
- - Renal Treatment Centers, Inc. 74,400 2,688
- - Renal Care Group, Inc. 71,700 2,294
- - Rental Service Corp. 35,300 867
- - Renters Choice, Inc. 39,200 804
Republic Bancorp, Inc. 87,700 1,875
Republic Group Inc. 12,800 210
- - Res-Care, Inc. 38,400 1,114
- - Respironics, Inc. 60,600 1,356
- - Response Oncology, Inc. 17,805 149
- - Rexall Sundown, Inc. 99,700 3,010
Richfood Holdings, Inc. 148,900 4,206
Riggs National Corp. 69,500 1,868
- - Rightchoice Managed Care, Inc. 51,200 493
- - Risk Capital Holdings, Inc. 43,900 977
Roadway Express Inc. 47,700 1,055
Robbins & Myers, Inc. 36,478 1,445
- - Roberts Pharmaceuticals 54,500 521
- - Robotic Vision Systems, Inc. 79,200 911
Rochester Gas and Electric Corp. 122,300 4,158
Rock-Tenn Co. 109,060 2,236
- - Rockshox, Inc. 24,400 226
- - Rofin-Sinar Technologies Inc. 17,200 209
- - Rogers Corp. 28,500 1,165
Rohn Industries Inc. 111,300 574
Rollins, Inc. 59,800 1,215
Rollins Truck Leasing 108,525 1,940
- - Romac International, Inc. 56,600 1,383
Roper Industries Inc. 95,600 2,701
Roslyn Bancorp, Inc. 135,556 3,152
Rouge Industries Inc. 39,400 478
- - Royal Appliance
Manufacturing Co. 119,100 789
- - Ruby Tuesday, Inc. 48,875 1,259
Ruddick Corp. 78,000 1,360
- - Rural/Metro Corp. 39,800 1,328
Russ Berrie, Inc. 48,800 1,281
- - Rutherford-Moran Oil Corp. 40,200 719
- - Ryan's Family Steak Houses, Inc. 136,700 1,170
- - Ryerson Tull, Inc. Class A 45,000 624
Ryland Group, Inc. 72,200 1,706
S & T Bancorp, Inc. 37,700 1,631
SCPIE Holdings Inc. 56,100 1,623
- - SDL, Inc. 23,700 344
SEI Corp. 41,100 1,726
Semco Energy Inc. 1,700 31
- - SPS Technologies, Inc. 34,900 1,523
- - SPS Transaction Services 38,400 866
- - SPSS, Inc. 26,400 508
</TABLE>
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<CAPTION>
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MARKET
SMALL CAPITALIZATION VALUE*
STOCK PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C> <C>
SPX Corp. 42,300 $ 2,919
- - S3, Inc. 153,500 767
- - Sabratek Corp. 36,000 1,035
- - The SABRE Group Holdings, Inc. 72,700 2,099
- - Safeguard Scientifics, Inc. 86,400 2,711
- - Safeskin Corp. 53,500 3,036
Safety-Kleen Corp. 183,000 5,021
- - Saga Communications, Inc. 42,300 899
St. Francis Capital Corp. 20,600 1,040
St. John Knits, Inc. 51,300 2,052
St. Mary Land & Exploration Co. 33,240 1,163
St. Paul Bancorp, Inc. 108,305 2,843
- - Samsonite Corp. 49,700 1,572
Sanderson Farms, Inc. 20,500 297
- - SanDisk Corp. 51,200 1,040
- - Sanmina Corp. 54,300 3,679
- - Sangstat Medical Corp. 51,900 2,102
Santa Barbara Bancorp 26,100 1,230
- - Santa Cruz Operation, Inc. 20,900 86
- - Sapient Corp. 11,000 674
Saul Centers, Inc. REIT 54,700 995
- - Sawtek Inc. 33,200 876
Sbarro, Inc. 53,800 1,416
- - Henry Schein, Inc. 27,000 945
- - Scholastic Corp. 39,100 1,466
A. Schulman Inc. 113,700 2,857
Schweitzer-Mauduit
International, Inc. 49,600 1,848
- - Scientific Games Holdings Corp. 28,600 579
- - Scios, Inc. 121,835 1,218
- - Scopus Technology, Inc. 58,000 696
Scotsman Industries, Inc. 48,700 1,190
- - Scotts Co. 65,300 1,975
SEABOARD Corp. 50 22
- - SEACOR SMIT Inc. 43,900 2,645
- - Seattle FilmWorks, Inc. 83,277 926
Security Capital Atlantic, Inc. REIT 76,200 1,610
- - Security Capital Group Inc.
Warrants Exp. 9/18/1998 4,992 26
- - Seitel, Inc. 70,200 1,202
Selective Insurance Group 90,800 2,452
- - Semtech Corp. 21,200 829
- - Sepracor Inc. 87,400 3,501
- - Sequa Corp. Class A 28,600 1,861
- - Sequent Computer Systems, Inc. 124,300 2,486
- - SEQUUS Pharmaceuticals, Inc. 76,400 568
- - Serologicals Corp. 58,500 1,521
- - Service Experts Inc. 13,300 381
- - Service Merchandise Co., Inc. 247,412 526
- - Sheldahl, Inc. 44,800 627
- - Shiva Corp. 109,000 933
- - Shopko Stores, Inc. 64,000 1,392
- - Shoney's Inc. 122,400 390
- - Shorewood Packaging Corp. 50,000 1,337
- - ShowBiz Pizza Time, Inc. 64,500 1,483
Showboat, Inc. 59,600 1,751
Shurgard Storage Centers, Inc.
Class A REIT 87,700 2,543
- - Siebel Systems, Inc. 64,526 2,698
- - Sierra Health Services 47,800 1,607
Sierra Pacific Resources 96,200 3,607
- - Signature Resorts, Inc. 47,850 1,047
SIG Corp. 73,799 2,168
- - Silgan Holdings, Inc. 58,200 1,891
- - Silicon Valley Bancshares 33,300 1,873
- - Silicon Valley Group, Inc. 95,900 2,170
- - Siliconix, Inc. 28,300 1,217
Simpson Industries, Inc. 87,200 1,025
- - Simpson Manufacturing Co. 9,600 320
- - SITEL Corp. 138,200 1,261
- - Sipex Corp. 5,100 154
Skyline Corp. 35,400 973
- - SMART Modular
Technologies, Inc. 75,200 1,730
- - SmarTalk Teleservices, Inc. 11,600 264
A.O. Smith Corp. 39,600 1,673
Charles E. Smith Residential
Realty, Inc. REIT 84,300 2,993
- - Smithfield Foods, Inc. 93,600 3,089
J.M. Smucker Co. Class A 70,900 1,675
J.M. Smucker Co. Class B 1,000 23
- - Snyder Communications, Inc. 48,200 1,759
Snyder Oil Corp. 80,700 1,473
- - Sodak Gaming, Inc. 65,500 418
- - Sola International, Inc. 75,900 2,467
- - Sonic Corp. 48,600 1,367
Sotheby's Holdings Class A 131,500 2,433
South Jersey Industries, Inc. 36,836 1,117
Southdown, Inc. 70,000 4,130
Southern California Water Co. 46,300 1,163
- - Southern Pacific Funding Corp. 47,600 625
- - Southern Union Co. 41,564 992
- - Southwest Bancorporation of
Texas, Inc. 42,900 1,335
Southwest Gas Corp. 83,200 1,555
Southwestern Energy Co. 99,300 1,278
Sovereign Bancorp, Inc. 279,980 5,810
Sovran Self Storage, Inc. REIT 4,700 152
- - SpaceLabs Medical, Inc. 39,800 756
- - Spectrian Corp. 30,900 595
- - Speedfam International, Inc. 26,500 702
- - Spiegel, Inc. Class A 3,600 18
- - Splash Technology Holdings, Inc. 37,359 841
Spine-Tech, Inc. 29,300 1,507
- - The Sports Authority, Inc. 99,100 1,462
Springs Industries Inc. Class A 39,900 2,075
- - STAAR Surgical Co. 58,200 1,000
- - StaffMark, Inc. 40,800 1,290
- - Stage Stores, Inc. 86,100 3,218
Standard Motor Products, Inc. 43,400 979
Standard Products Co. 60,025 1,538
The Standard Register Co. 38,000 1,320
Standex International Corp. 37,800 1,332
- - Stanford Telecommunications, Inc. 40,200 681
Stanhome, Inc. 53,500 1,374
L. S. Starrett Co. Class A 32,200 1,177
- - Station Casinos, Inc. 72,500 739
- - Steck-Vaughn Publishing Corp. 38,500 568
</TABLE>
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<TABLE>
<CAPTION>
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MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C> <C>
- - Steel Dynamics, Inc. 113,000 $ 1,808
- - Stein Mart, Inc. 35,550 951
Sterling Bancshares, Inc. 43,000 871
Stewart & Stevenson
Services, Inc. 95,310 2,430
- - Stillwater Mining Co. 59,300 993
Stone & Webster, Inc. 30,800 1,444
- - Stone Energy Corp. 34,500 1,156
Storage USA, Inc. REIT 86,800 3,467
Storage Trust Realty REIT 65,400 1,721
- - Stratus Computer, Inc. 86,000 3,252
Strayer Education, Inc. 9,150 302
Stride Rite Corp. 153,300 1,840
- - Structural Dynamics
Research Corp. 110,606 2,489
Student Loan Corp. 16,200 800
Sturm, Ruger & Co., Inc. 84,500 1,558
- - Suburban Lodges of America, Inc. 39,100 521
- - Suiza Foods Corp. 65,795 3,919
Sumitomo Bank of California 13,884 758
Summit Properties, Inc. REIT 54,900 1,160
- - Summit Technology, Inc. 78,000 353
Sun Communities, Inc. REIT 50,300 1,808
- - Sun Healthcare Group, Inc. 130,800 2,534
- - Sunburst Hospitality Corp 50,633 500
- - Sunglass Hut International, Inc. 118,600 749
- - Sunrise Assisted Living, Inc. 32,900 1,419
- - Sunrise Medical, Inc. 73,000 1,127
Sunstone Hotel Investors,
Inc. REIT 101,400 1,749
Superior Industries
International, Inc. 64,700 1,735
- - Superior Services Inc. 59,200 1,709
- - Superior Telecom Inc. 32,300 1,116
- - Supertex, Inc. 47,900 521
Susquehanna Bancshares, Inc. 67,350 2,576
- - Swift Energy Co. 68,420 1,441
- - Swift Transportation Co., Inc. 36,200 1,172
- - Sykes Enterprises, Inc. 47,700 930
- - Sylvan Learning Systems, Inc. 60,300 2,352
- - Symantec Corp. 177,940 3,904
- - Symmetricom Inc. 58,700 682
- - Synetic, Inc. 55,600 2,029
- - System Software Associates, Inc. 84,500 739
- - Systems & Computer
Technology Corp. 55,400 2,749
- - Synthetic Industries, Inc. 8,700 215
- - Systemsoft Corp. 72,800 464
- - TBC Corp. 128,200 1,226
TCA Cable Television, Inc. 51,000 2,346
- - TCI Satellite Entertainment, Inc.
Class A 204,890 1,409
TJ International, Inc. 52,100 1,289
- - TMP Worldwide, Inc. 36,000 828
TNP Enterprises, Inc. 47,700 1,586
TR Financial Corp. 54,200 1,802
Talbots Inc. 30,600 555
Tanger Factory Outlet
Centers, Inc. 36,100 1,103
Taubman Co. REIT 104,900 1,364
- - Tech-Sym Corp. 28,049 714
- - Techne 76,928 1,346
Technitrol, Inc. 42,400 1,272
- - Technology Solutions Co. 78,250 2,064
- - Tejas Gas Corp. 52,765 3,232
Tejon Ranch Co. 47,400 1,152
- - Tekelec 48,100 1,467
- - Tel-Save Holdings, Inc. 107,200 2,131
- - TeleSpectrum Worldwide Inc. 80,900 293
- - Telxon Corp. 39,900 953
Tennant Co. 40,800 1,484
- - TEREX Corp. 46,400 1,090
Terra Industries, Inc. 124,200 1,622
- - Tesoro Petroleum Corp. 97,900 1,517
- - TETRA Technologies, Inc. 55,800 1,175
- - Tetra Tech, Inc. 66,358 1,327
Texas Industries, Inc. 66,420 2,989
Texas Regional Bancshares, Inc. 13,300 406
- - Theragenics Corp. 38,600 1,390
- - TheraTech, Inc. 68,750 550
- - Thermadyne Holdings Corp. 24,100 711
- - Thermo Cardiosystems Inc. 54,700 1,463
- - Thermo Optek Corp. 6,700 103
- - Thermo TerraTech, Inc. 46,900 381
- - Thermo Vision Corp. 938 8
- - ThermoLase Corp. 6,300 66
- - ThermoQuest Corp. 50,200 910
- - ThermoSpectra Corp. 32,500 325
- - Thermotrex Corp. 42,600 943
Thomas Industries, Inc. 60,750 1,200
Thornburg Mortgage Asset Corp. 84,100 1,388
- - Ticketmaster Group, Inc. 200 5
- - Timberland Co. 28,900 1,678
- - Titan Exploration, Inc. 17,000 161
Titan International, Inc. 62,500 1,254
- - Titanium Metals Corp. 52,400 1,513
- - Toll Brothers, Inc. 68,500 1,832
- - The Topps Co., Inc. 177,425 394
The Toro Co. 36,500 1,556
- - Total Renal Care Holdings, Inc. 124,467 3,423
- - Tower Automotive, Inc. 51,200 2,154
Town & Country Trust REIT 70,000 1,238
- - Toy Biz 68,400 530
- - Tracor, Inc. 57,359 1,742
Trans Financial, Inc. 49,400 1,920
- - Trans World Airlines 113,100 1,145
- - Transaction Network
Services, Inc. 36,850 636
- - Transition Systems, Inc. 79,800 1,766
- - Transkaryotic Therapies, Inc. 58,400 2,051
- - TransMontaigne Oil Co. 40,200 603
Tredegar Industries Inc. 24,600 1,621
- - Tremont Corp. 22,065 1,153
Trenwick Group Inc. 32,850 1,236
- - Trex Medical Corp. 15,000 209
Triangle Bancorp, Inc. 32,600 1,153
- - Triangle Pacific Corp. 45,365 1,537
- - Triangle Pharmaceuticals, Inc. 14,000 205
- - Trident Microsystems, Inc. 35,100 318
- - Triad Guaranty, Inc. 37,700 1,093
</TABLE>
41
<PAGE> 90
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
MARKET
SMALL CAPITALIZATION VALUE*
STOCK PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C> <C>
- - Triarc Cos., Inc. Class A 88,200 $ 2,403
- - Trico Marine Services, Inc. 50,400 1,480
- - Trigon Healthcare, Inc. 131,700 3,441
TriMas Corp. 55,000 1,891
- - Trimble Navigation Ltd. 74,900 1,634
Trinet Corporate Realty Trust,
Inc. REIT 56,200 2,174
- - TriQuint Semiconductor, Inc. 32,200 652
- - Triumph Group, Inc. 19,800 658
True North Communications 62,800 1,554
- - Trump Hotels & Casino
Resorts, Inc. 94,900 635
The Trust Co. of New Jersey 73,070 1,827
Trustco Bank 69,278 1,888
Trustmark Corp. 101,900 4,713
- - Tuboscope Inc. 138,300 3,328
- - Tucson Electric Power Co. 98,960 1,794
- - Tultex Corp. 130,300 529
- - TurboChef, Inc. 28,400 206
- - Twinlab Corp. 71,800 1,777
UGI Corp. Holding Co. 103,200 3,025
UMB Financial Corp. 50,238 2,738
- - USA Detergents, Inc. 56,200 457
- - United States Can Co. 42,100 710
- - USCS International, Inc. 51,640 878
UST Corp. 81,200 2,253
- - Ugly Duckling Corp. 45,000 383
- - Ultratech Stepper, Inc. 60,200 1,196
UniFirst Corp. 50,400 1,414
- - Uniphase Corp. 105,400 4,361
- - Unit Corp. 39,700 382
United Cos. Finance Corp. 78,602 1,218
United Bankshares, Inc. 45,500 2,173
United Fire & Casualty Co. 27,825 1,231
United Illuminating Co. 43,950 2,019
- - United International Holdings,
Inc. Class A 121,800 1,401
- - United Natural Foods, Inc. 3,100 81
- - U.S. Bioscience 83,800 759
- - U.S. Home Corp. 48,900 1,919
- - U.S. Office Products Co. 395,763 7,767
- - U.S. Satellite Broadcasting Co.,
Inc. Class A 61,500 488
U.S. Trust Corp. 61,400 3,845
- - United Stationers, Inc. 45,800 2,204
United Television, Inc. 11,929 1,239
- - United Video Satellite Group, Inc. 38,700 1,113
United Water Resources, Inc. 77,768 1,521
United Wisconsin Services, Inc. 30,900 796
- - Unitrode Corp. 71,400 1,535
Universal Foods Corp. 81,100 3,426
Universal Health Realty Income 44,200 967
- - Universal Outdoor Holdings, Inc. 49,300 2,564
USFreightways Corp. 82,100 2,668
- - Urban Outfitters, Inc. 4,500 82
Urban Shopping Centers,
Inc. REIT 51,800 1,807
US Bancorp, Inc. 13,200 964
- - Vail Resorts Inc. 80,700 2,093
Valhi, Inc. 73,500 694
- - Valence Technology 14,800 75
Valmont Industries, Inc. 67,900 1,324
- - Value City Department Stores, Inc. 71,200 632
Value Line, Inc. 14,100 557
- - Vanguard Cellular Systems, Inc.
Class A 110,350 1,407
- - Vanstar Corp. 132,500 1,499
- - Vantive Corp. 51,000 1,288
- - Varco International, Inc. 111,400 2,388
- - Veeco Instruments, Inc. 25,400 559
- - Veritas DGC Inc. 68,500 2,706
- - Veritas Software Corp. 84,250 4,297
Vermont Financial Services Corp. 8,800 244
- - Vertex Pharmaceuticals, Inc. 79,500 2,623
Vesta Insurance Group, Inc. 42,750 2,538
- - Veterinary Centers of
America, Inc. 52,600 707
- - VIASOFT, Inc. 58,500 2,472
- - Vical, Inc. 45,600 547
- - Vicor Corp. 97,800 2,653
- - VideoServer, Inc. 75,700 1,202
- - Vincam Group, Inc. 6,300 168
Vintage Petroleum, Inc. 102,500 1,947
- - Visio Corp. 73,100 2,805
- - VISIX Inc. 43,100 954
Vital Signs, Inc. 25,800 503
- - Vitalink Pharmacy Services, Inc. 66,283 1,599
- - Vivus, Inc. 105,600 1,122
- - Volt Information Sciences Inc. 24,600 1,325
WD-40 Co. 49,700 1,441
- - WFS Financial, Inc. 33,517 377
Wicor, Inc. 57,100 2,652
- - WMF Group Ltd. 3,867 48
- - WMS Industries, Inc. 62,550 1,321
WPL Holdings, Inc. 96,500 3,197
WPS Resources Corp. 74,900 2,533
- - WSFS Financial Corp. 57,900 1,158
Wabash National Corp. 60,800 1,729
Wackenhut Corp. 45,100 1,046
Wackenhut Corp. Class B 3,656 77
Walden Residential Properties,
Inc. REIT 45,600 1,163
- - Walker Interactive Systems, Inc. 16,000 220
- - Wall Data Inc. 39,750 542
- - Walter Industries, Inc. 114,100 2,353
- - Wang Laboratories, Inc. 120,850 2,674
Washington Gas Light Corp. 136,700 4,229
Washington REIT 109,850 1,840
Washington Water Power Co. 176,700 4,296
- - Waters Corp. 80,400 3,025
Watkins-Johnson Co. 30,700 796
Watsco, Inc. 53,100 1,311
Watts Industries Class A 55,600 1,574
Wausau-Mosinee Paper Corp. 166,011 3,341
Del Webb Corp. 70,296 1,828
Webster Financial Corp. 41,700 2,773
Weeks Corp. REIT 53,800 1,722
Wellman, Inc. 84,900 1,656
Werner Enterprises, Inc. 65,850 1,350
Westbanco Inc. 41,925 1,258
</TABLE>
42
<PAGE> 91
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C>
- - Wesley Jessen VisionCare, Inc. 26,200 $ 1,022
West Coast Bancorp 34,750 877
West Co., Inc. 54,500 1,621
- - West Marine, Inc. 40,100 897
- - West TeleServices Corp. 75,600 907
WestAmerica Bancorporation 44,900 4,591
- - Westell Technologies, Inc. 66,300 845
Western Gas Resources, Inc. 64,000 1,416
Western Investment Real Estate
Trust REIT 89,900 1,236
- - Western Wireless Corp. 221,400 3,847
Westernbank Puerto Rico 94,700 2,249
Westinghouse Air Brake Co. 50,000 1,281
- - Westwood One, Inc. 77,300 2,870
- - WetSeal, Inc. Class A 15,000 442
- - White River 17,426 1,385
Whitney Holdings 65,750 3,748
- - Whittman-Hart, Inc. 34,300 1,175
- - Whole Foods Market, Inc. 64,500 3,298
John Wiley & Sons Class A 39,400 2,137
- - Williams Sonoma, Inc. 61,062 2,557
- - Wind River Systems 61,600 2,445
Windmere-Durable Holdings Inc. 71,767 1,619
Winnebago Industries, Inc. 104,300 926
- - Winstar Communications, Inc. 105,000 2,618
- - Wolverine Tube, Inc. 51,400 1,593
- - Wonderware Corp. 69,400 980
- - World Access, Inc. 57,400 1,370
- - World Color Press, Inc. 118,600 3,150
- - Wyman-Gordon Corp. 61,900 1,215
- - Wyndham Hotel Corp. 39,300 1,587
Wynn's International Inc. 51,700 1,648
X-Rite Inc. 61,400 1,121
- - Xircom, Inc. 96,800 974
XTRA Corp. 48,200 2,826
- - Xylan Corp. 99,861 1,510
- - Yahoo!, Inc. 70,700 4,896
Yankee Energy Systems 26,400 705
- - Yellow Corp. 82,150 2,064
- - Young Broadcasting Inc. 48,800 1,891
- - Yurie Systems, Inc. 30,900 624
- - Zale Corp. 109,500 2,519
- - Zebra Technologies Class A 56,300 1,675
Zeigler Coal Holding Co. 60,900 993
- - Zenith Electronics Corp. 63,121 343
Zenith National Insurance Corp. 31,100 801
Zero Corp. 55,600 1,647
- - Zila, Inc. 93,500 555
- - Zilog Inc. 84,350 1,608
- - Zitel Corp. 68,000 646
- - Zoran Corp. 39,600 478
- - Zoltek Cos., Inc. 32,400 903
Zurn Industries, Inc. 52,400 1,647
- - Zygo Corp. 34,600 649
- -----------------------------------------------------------------------
TOTAL COMMON STOCKS (97.0%)(1)
(COST $2,137,125) 2,704,320
- -----------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
FACE MARKET
AMOUNT VALUE
(000) (000)
- -----------------------------------------------------------------------
TEMPORARY CASH INVESTMENTS (8.4%)
- -----------------------------------------------------------------------
<S> <C> <C>
U.S. TREASURY BILL
(2)5.02%, 1/22/1998 $ 3,500 $ 3,490
REPURCHASE AGREEMENTS
Collateralized by U.S. Government
Obligations in a Pooled
Cash Account
6.54%, 1/2/1998 92,503 92,503
6.50%, 1/2/1998--Note F 140,228 140,228
- -----------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(COST $236,221) 236,221
- -----------------------------------------------------------------------
TOTAL INVESTMENTS (105.4%)
(COST $2,373,346) 2,940,541
- -----------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-5.4%)
- -----------------------------------------------------------------------
Other Assets--Note B 19,748
Security Lending Collateral Payable
to Brokers--Note F (140,228)
Other Liabilities (30,767)
-----------
(151,247)
- -----------------------------------------------------------------------
NET ASSETS (100%) $2,789,294
=======================================================================
</TABLE>
*See Note A in Notes to Financial Statements.
-Non-Income-Producing Security.
(1)The combined market value of common stocks, S&P Midcap 400 Index futures
contracts, and Russell 2000 Index futures contracts represents 99.9% of net
assets.
(2)Security segregated as initial margin for open futures contracts.
REIT--Real Estate Investment Trust.
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
AT DECEMBER 31, 1997, NET ASSETS CONSISTED OF:
- -----------------------------------------------------------------------
AMOUNT
(000)
- -----------------------------------------------------------------------
<S> <C>
Paid in Capital $2,203,109
Overdistributed Net Investment Income (381)
Accumulated Net Realized Gains 18,730
Unrealized Appreciation--Note E
Investment Securities 567,195
Futures Contracts 641
- -----------------------------------------------------------------------
NET ASSETS $2,789,294
=======================================================================
Investor Shares--Net Assets
Applicable to 111,667,683
outstanding shares of
beneficial interest
(unlimited authorization) $2,652,430
- -----------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INVESTOR SHARES $23.75
=======================================================================
Institutional Shares--Net Assets
Applicable to 5,762,257
outstanding shares of
beneficial interest
(unlimited authorization) $136,864
- -----------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INSTITUTIONAL SHARES $23.75
=======================================================================
</TABLE>
43
<PAGE> 92
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
MARKET
VALUE*
TOTAL STOCK MARKET PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------
COMMON STOCKS
- -----------------------------------------------------------------------
<S> <C> <C> <C>
AAR Corp. 20,800 $ 806
- - ABC Rail Products Corp. 23,000 460
- - ABR Information Services, Inc. 24,100 575
- - ACC Corp. 18,250 922
- - ADC Telecommunications, Inc. 80,700 3,369
- - AER Energy Resources, Inc. 83,400 94
AFLAC, Inc. 83,746 4,281
AGCO Corp. 37,900 1,108
AGL Resources Inc. 34,300 701
- - AES Corp. 106,952 4,987
- - AES Corp.
Warrants Exp. 7/31/2000 9 1
AK Steel Corp. 32,900 582
- - AMBI, Inc. 37,900 73
AMB Property Corp. 23,800 598
- - AMR Corp. 56,561 7,268
- - APAC Teleservices, Inc. 23,511 317
ARCO Chemical Co. 59,192 2,763
- - APS Holding Corp. 50,600 126
AT&T Corp. 1,000,417 61,275
- - ATL Ultrasound, Inc. 16,439 756
AVX Corp. 54,500 1,005
- - Aavid Thermal Technologies 22,100 530
Aames Financial Corp. 43,050 557
- - Abacus Direct Corp. 14,800 607
Abbott Laboratories 473,915 31,071
- - Acceptance Insurance Cos. Inc. 24,300 588
- - Access Health Marketing, Inc. 23,367 686
- - Acclaim Entertainment Inc. 91,700 332
- - AccuStaff, Inc. 60,753 1,397
- - Ace Cash Express, Inc. 36,750 418
The Ackerley Group, Inc. 34,500 584
- - Acme Metals, Inc. 15,100 149
- - ACNielson Corp. 35,555 867
- - Action Performance Cos., Inc. 21,968 832
- - Acuson Corp. 22,012 364
- - Acxiom Corp. 31,478 606
- - ADAC Laboratories 28,300 559
- - Adaptec, Inc. 69,100 2,565
Adobe Systems, Inc. 44,120 1,820
- - Adtran, Inc. 24,000 660
- - Advance Paradigm, Inc. 20,700 657
- - Advanced Magnetics, Inc. 22,300 195
- - Advanced Fibre Communications 43,400 1,264
- - Advanced Polymer Systems 56,400 374
- - Advanced Tissue Sciences Inc. 46,258 572
- - ADVO, Inc. 30,800 601
- - Advanced Micro Devices, Inc. 86,510 1,552
Advanta Corp. Class A 26,650 699
- - Aerial Communications Inc. 46,700 333
Aeroquip-Vickers Inc. 17,033 836
Aetna Inc. 92,341 6,516
Aetna Inc. 6.25% Cvt. Pfd. Series C 4,509 322
- - Aetrium, Inc. 21,600 389
Affiliated Community Bancorp 16,450 621
- - Affiliated Computer Services, Inc. 36,281 955
- - Affymetrix, Inc. 13,200 411
- - Aftermarket Technology Corp. 24,900 451
- - Agouron Pharmaceuticals, Inc. 18,000 529
H.F. Ahmanson & Co. 59,582 3,988
- - Aid Auto Stores, Inc. 3,100 6
- - Air and Water Technologies Corp.
Class A 105,400 118
Air Express International Corp. 20,800 634
Air Products & Chemicals, Inc. 67,476 5,550
Airborne Freight Corp. 14,990 931
- - Airgas, Inc. 40,600 568
- - AirTran Holdings, Inc. 85,800 343
- - AirTouch Communications, Inc. 309,468 12,862
AirTouch Communications, Inc.
6.00% Cvt. Pfd. 4,242 151
AirTouch Communications, Inc.
4.25% Pfd. Series C 2,724 170
Alamo Group, Inc. 23,600 512
- - Alanco Environmental
Resources Corp. 12,100 7
Albank Financial Corp. 15,180 781
Albemarle Corp. 33,615 802
Alberto-Culver Co. Class B 34,746 1,114
Albertson's, Inc. 151,398 7,172
Alexander & Baldwin, Inc. 26,700 729
- - Alexander's, Inc. 6,923 629
Alfa Corp. 6,400 110
Aliant Communications, Inc. 21,700 681
Alico, Inc. 16,000 372
- - All American Semiconductor, Inc. 37,200 53
- - Alleghany Corp. 4,364 1,243
Allegheny Energy, Inc. 75,600 2,457
Allegheny Teledyne Inc. 107,867 2,791
Allegiance Corp. 34,852 1,235
- - Allen Telecom Inc. 27,000 498
Allergan, Inc. 39,618 1,330
Alliance Bancorp Inc. 18,562 492
- - Alliance Entertainment 82,400 2
- - Alliance Pharmaceutical Corp. 43,102 312
- - Alliance Semiconductor Corp. 57,200 261
- - Alliant Techsystems, Inc. 8,600 479
Allied Capital Corp. 61,000 1,357
Allied Group, Inc. 17,550 502
- - Allied Holdings, Inc. 24,400 467
Allied Products Corp. 19,898 477
AlliedSignal Inc. 347,784 13,542
- - Allied Waste Industries, Inc. 58,300 1,359
Allmerica Financial Corp. 43,715 2,183
Allstate Corp. 267,991 24,354
ALLTEL Corp. 114,471 4,700
- - Altera Corp. 54,520 1,806
- - Altron, Inc. 29,900 396
- - Alumax, Inc. 33,241 1,130
Aluminum Co. of America 106,633 7,504
- - Alyn Corp. 40,100 421
- - ALZA Corp. 52,084 1,657
- - Amax Gold, Inc. 82,194 190
- - Amazon.com, Inc. 14,200 855
AMBAC Financial Group Inc. 43,044 1,980
Amcast Industrial Corp. 18,096 415
AMCOL International Corp. 40,950 650
Amerada Hess Corp. 56,576 3,105
- - Amerco, Inc. 14,100 361
</TABLE>
44
<PAGE> 93
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C> <C>
- - America Online, Inc. 59,900 $ 5,342
- - America West Holdings Corp.
Class B 27,700 516
American Annuity Group Inc. 25,817 568
American Bankers Insurance
Group 25,100 1,153
- - American Business Information,
Inc. Class A 25,416 267
- - American Business Information,
Inc. Class B 25,416 260
- - American Classic Voyager Co. 30,500 553
American Electric Power
Co., Inc. 115,942 5,985
American Express Co. 288,775 25,773
American Financial Group, Inc. 36,500 1,471
- - American Freightways 21,104 208
American General Corp. 153,002 8,272
American Greetings Corp.
Class A 45,608 1,784
American Health Properties, Inc. 27,300 752
American Health Properties
Psychiatric Group 1,510 22
American Home Products Corp. 399,491 30,561
American International
Group, Inc. 431,871 46,966
- - American Management
Systems, Inc. 24,900 485
- - American Media Class A 75,400 584
American National Insurance Co. 13,800 1,283
- - American Oncology
Resources, Inc. 39,100 626
- - American Power
Conversion Corp. 57,400 1,356
- - American Radio Systems Corp.
Class A 14,800 789
- - American Standard Cos., Inc. 44,300 1,697
American Stores Co. 167,754 3,449
American Water Works Co., Inc. 49,000 1,338
- - AmeriCredit Corp. 30,800 853
Ameron International Corp. 6,600 417
- - AmeriSource Health Corp. 10,396 611
AmerUs Life Holdings, Inc. 12,103 446
- - Ames Department Stores, Inc. 39,500 691
Ameritech Corp. 338,719 27,267
AmeriGas Partners, LP 4,400 111
Ametek Aerospace Products Inc. 17,800 481
- - AMF Bowling, Inc. 1,500 37
- - Amgen, Inc. 162,448 8,793
AMP, Inc. 134,994 5,670
Amoco Corp. 302,324 25,735
- - Amresco, Inc. 22,000 666
- - Ampal-American Israel Corp. 80,400 412
Ampco-Pittsburgh Corp. 20,435 400
- - Ampex Corp. Class A 164,000 410
- - Amphenol Corp. 26,300 1,465
AmSouth Bancorp 49,281 2,677
- - Amtech Corp. 57,775 231
- - Amylin Pharmaceuticals, Inc. 67,900 369
Anadarko Petroleum Corp. 36,600 2,221
- - Analog Devices, Inc. 98,105 2,716
Anchor Bancorp Wisconsin Inc. 17,000 618
- - Anchor Gaming 7,699 429
- - Andrea Radio Corp. 28,000 502
- - Andrew Corp. 54,945 1,319
Angelica Corp. 22,400 507
Anheuser-Busch Cos., Inc. 302,140 13,294
- - Anixter International Inc. 25,100 414
- - AnnTaylor Stores Corp. 39,600 530
Aon Corp. 102,827 6,028
Apache Corp. 54,869 1,924
Apogee Enterprises, Inc. 26,700 317
- - Aphton Corp. 33,839 343
- - Apogee, Inc. 25,900 65
- - Apollo Group, Inc. Class A 30,775 1,454
- - Apple Computer, Inc. 77,283 1,014
Apple South, Inc. 16,974 223
Applebee's International, Inc. 16,482 298
- - Applied Innovation Inc. 56,600 311
- - Apria Healthcare 27,400 368
- - Applied Microsystems Corp. 28,000 157
- - Applied Graphics
Technologies, Inc. 16,600 884
- - Applied Digital Access, Inc. 54,600 321
- - Applied Magnetics Corp. 13,200 147
- - Applied Materials, Inc. 223,228 6,725
Applied Power, Inc. 14,700 1,014
- - Applix, Inc. 40,021 210
Aptargroup Inc. 10,500 583
Aquarion Co. 15,700 543
Arbor Drugs, Inc. 45,487 842
- - Arbor Software Corp. 17,900 725
- - Arcadia Financial Ltd. 64,900 483
Arch Coal, Inc. 23,700 649
Archer-Daniels-Midland Co. 345,020 7,483
Arden Realty Group, Inc. REIT 21,400 658
AREA Bancshares Corp. 25,745 618
Argent Bank 14,000 529
Argonaut Group, Inc. 10,881 369
- - Argosy Gaming Co. 95,500 328
- - Armco, Inc. 112,900 557
Armstrong World Industries Inc. 24,720 1,848
Arnold Industries, Inc. 30,100 519
- - Arrow Electronics, Inc. 59,698 1,936
Arrow Financial Corp. 14,416 483
Arrow International, Inc. 4,300 159
- - Arterial Vascular Engineering, Inc. 19,900 1,294
- - ArthroCare Corp. 34,200 449
- - Artisoft, Inc. 28,104 55
Arvin Industries, Inc. 15,000 500
ASA Holdings Inc. 18,100 515
ASARCO, Inc. 25,302 568
- - Ascend Communications, Inc. 115,166 2,822
- - Ascent Entertainment Group, Inc. 36,877 383
- - Ascent Pediatrics, Inc. 16,700 98
Ashland, Inc. 46,174 2,479
- - Aspect Telecommunications Corp. 29,400 614
- - Aspen Technologies, Inc. 8,600 295
Associated Banc-Corp. 30,767 1,696
Associated Estates Realty
Corp. REIT 25,800 611
</TABLE>
45
<PAGE> 94
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
MARKET
VALUE*
TOTAL STOCK MARKET PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C> <C>
- - Associated Group, Inc. 26,992 $ 800
- - Associated Group, Inc. Class B 4,000 117
- - At Home Corp. Series A 52,400 1,317
Associates First Capital Corp. 55,500 3,947
- - Astea International, Inc. 35,700 68
Astoria Financial Corp. 15,800 881
Astro-Med, Inc. 26,800 214
- - Asyst Technologies, Inc. 20,444 445
Atlanta Sosnoff Capital 32,300 388
Atlantic Richfield Co. 197,170 15,798
Atlantic Energy, Inc. 31,000 657
- - Atlantic Tele-Network, Inc. 9,120 99
- - Atlas Air, Inc. 17,500 420
- - Atmel Corp. 59,700 1,108
Atmos Energy Corp. 18,350 555
- - Atrix Laboratories, Inc. 29,089 429
- - Atwood Oceanics, Inc. 17,934 850
- - Aura Systems, Inc. 191,781 629
- - Auspex Systems, Inc. 25,500 255
Authentic Fitness Corp. 36,600 675
Autodesk, Inc. 29,343 1,086
Automatic Data Processing, Inc. 180,421 11,073
- - AutoZone Inc. 93,234 2,704
Avalon Properties, Inc. REIT 23,800 736
- - Avant! Corp. 27,500 461
- - Avatar Holding, Inc. 15,100 429
- - Avatex Corp. 13,062 24
Avery Dennison Corp. 63,190 2,828
- - Aviall Inc. 35,219 526
- - Avis Rent A Car, Inc. 21,000 671
Avnet, Inc. 26,158 1,726
Avon Products, Inc. 81,356 4,993
- - Axiohm Transaction
Solutions, Inc. 12,289 209
- - Aztar Corp. 64,700 404
BB&T Corp. 82,910 5,311
- - BA Merchant Services, Inc.
Class A 31,100 552
BHC Communications, Inc.
Class A 14,285 1,861
- - BISYS Group, Inc. 13,300 442
- - BJ Services Co. 23,692 1,704
- - BJ Services Co.
Warrants Exp. 4/13/2000 353 16
- - BJ's Wholesale Club, Inc. 23,100 725
BMC Industries, Inc. 17,163 277
- - BMC Software, Inc. 62,300 4,088
- - BOK Financial Corp. 20,605 800
- - BPI Packaging Technologies Inc. 28,900 33
- - BRC Holdings Inc. 9,300 356
BRE Properties Inc. Class A REIT 22,540 634
BSB Bancorp, Inc. 16,149 577
- - Badger Paper Mills, Inc. 9,300 72
Baker Hughes, Inc. 103,213 4,503
J. Baker, Inc. 49,691 280
Baldor Electric Co. 9,840 213
- - Baldwin Technology Class A 75,800 379
Ball Corp. 18,301 646
Ballard Medical Products 22,266 540
- - Bally Total Fitness Holding Corp. 39,400 862
Baltimore Gas & Electric Co. 90,364 3,078
Banc One Corp. 358,090 19,449
- - Banctec, Inc. 18,800 504
Bandag, Inc. 12,938 691
Bandag, Inc. Class A 538 26
- - Bangor Hydro-Electric Co. 24,800 153
The Bank of New York Co., Inc. 233,172 13,480
Bank United Corp. Class A 20,600 1,008
BankAtlantic Bancorp, Inc.
Class A 17,420 284
BankAtlantic Bancorp, Inc.
Class B 23,501 394
BankAmerica Corp. 430,150 31,401
BankBoston Corp. 89,596 8,416
Bankers Trust New York Corp. 61,081 6,868
Bank North Group 10,500 675
- - Banner Aerospace 52,600 582
- - BankUnited Financial Corp. 33,900 522
Banta Corp. 15,200 410
- - Banyan Systems, Inc. 44,900 132
C.R. Bard, Inc. 34,881 1,092
- - Barnes & Noble, Inc. 40,252 1,343
Barnes Group, Inc. 17,100 389
Barnett Banks, Inc. 122,156 8,780
- - Barr Labs Inc. 22,800 778
- - Barrett Resources Corp. 18,200 551
- - Base Ten Systems Class A 35,300 364
- - Basin Exploration Inc. 34,000 604
Bassett Furniture Industries, Inc. 17,763 533
Battle Mountain Gold Co. Class A 135,800 798
Bausch & Lomb, Inc. 34,101 1,351
Baxter International, Inc. 172,135 8,682
Bay Apartment Communities,
Inc. REIT 15,000 585
- - Bay Networks, Inc. 129,221 3,303
- - BE Avionics Inc. 11,700 313
- - BEA Systems, Inc. 49,000 848
Bear Stearns Co., Inc. 72,059 3,423
BeautiControl Cosmetics 39,600 292
Beckman Instruments, Inc. 16,868 675
Becton, Dickinson & Co. 75,264 3,763
- - Bed Bath & Beyond, Inc. 41,752 1,607
- - Bel Fuse, Inc. 20,500 392
- - Belco Oil & Gas Corp. 35,700 672
Belden, Inc. 16,400 578
- - Bell & Howell Co. 28,700 694
Bell Atlantic Corp. 478,044 43,502
- - Bell Sports Corp. 12,200 103
- - Bell Industries, Inc. 26,403 363
BellSouth Corp. 610,608 34,385
- - Belmont Homes, Inc. 40,750 313
A. H. Belo Corp. Class A 38,356 2,153
Bemis Co., Inc. 32,829 1,447
- - Ben & Jerry's Homemade, Inc.
Class A 29,800 462
- - Benchmark
Microelectronics, Inc. 22,800 311
Beneficial Corp. 32,914 2,736
- - Berg Electronics Corp. 23,600 537
Bergen Brunswig Corp. Class A 30,901 1,302
</TABLE>
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<TABLE>
<CAPTION>
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MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C> <C>
W.R. Berkley Corp. 16,050 $ 704
- - Berkshire Hathaway Class A 748 34,408
Berkshire Realty Co., Inc. REIT 51,500 618
- - Berlitz International, Inc. 16,727 445
Berry Petroleum Class A 32,200 561
- - Bertucci's Holding Corp. 55,761 355
- - Best Buy Co., Inc. 38,500 1,420
- - BET Holdings Inc. Class A 13,200 721
- - Bethlehem Steel Corp. 69,796 602
BetzDearborn Inc. 17,400 1,062
- - Beverly Enterprises, Inc. 67,679 880
- - Big Flower Holdings, Inc. 21,300 514
- - Billing Information Concepts 18,164 872
- - Bio-Rad Laboratories, Inc. Class A 18,553 485
- - Biotechnology General 55,300 594
- - Biofield Corp. 16,600 43
- - Biogen, Inc. 44,900 1,633
- - Biomatrix, Inc. 18,533 556
Biomet, Inc. 66,947 1,716
Birmingham Steel Corp. 35,900 565
Black & Decker Corp. 58,201 2,273
- - Black Hawk Gaming &
Development Co., Inc. 13,300 86
Black Hills Corp. 17,400 613
Blair Corp. 25,300 436
E.W. Blanch Holdings, Inc. 17,900 616
Blimpie International, Inc. 27,400 94
Block Drug Co. Class A 13,608 589
H & R Block, Inc. 63,745 2,857
Blount International, Inc. 22,800 608
- - Blyth Industries, Inc. 29,700 889
Bob Evans Farms, Inc. 11,500 254
Boddie-Noell Properties Inc. 13,800 191
The Boeing Co. 616,678 30,179
Boise Cascade Corp. 33,556 1,015
- - Boise Cascade Office
Products Corp. 40,024 598
- - Borders Group, Inc. 46,500 1,456
Borg-Warner Automotive, Inc. 14,600 759
- - Borland International, Inc. 46,200 338
- - Boston Beer Co., Inc. Class A 43,900 343
- - Boston Chicken, Inc. 38,900 250
Boston Edison Co. 29,800 1,129
Boston Properties, Inc. 23,000 760
- - Boston Scientific Corp. 119,363 5,476
- - Boston Technology, Inc. 21,000 528
Bowater Inc. 24,800 1,102
Bowne & Co., Inc. 18,200 726
- - Boyd Gaming Corp. 26,700 177
W.H. Brady Class A 9,400 291
Breed Technological Inc. 13,600 248
- - C. Brewer Homes, Inc. Class A 10,000 21
Briggs & Stratton Corp. 15,154 736
- - Brightpoint, Inc. 29,200 405
- - Brinker International, Inc. 47,529 760
- - Bristol Hotel Co. 26,750 777
Bristol-Myers Squibb Co. 613,824 58,083
- - Brite Voice Systems, Inc. 35,286 344
- - BroadBand Technologies, Inc. 59,000 243
- - BroadVision, Inc. 66,900 435
- - Broderbund Software, Inc. 7,488 192
- - Brooks Fiber Properties, Inc. 30,000 1,650
- - Brothers Gourmet Coffees, Inc. 59,500 67
Brown-Forman Corp. Class B 41,851 2,312
Brown Group, Inc. 30,015 400
Browning-Ferris Industries, Inc. 124,202 4,595
Brunswick Corp. 60,198 1,825
- - Brylane, Inc. 10,500 517
Bryn Mawr Bank Corp. 8,700 444
- - Budget Group, Inc. 16,700 577
Burlington Coat Factory
Warehouse Corp. 43,410 714
- - Burlington Industries, Inc. 28,397 392
Burlington Northern
Santa Fe Corp. 95,670 8,891
Burlington Resources, Inc. 108,372 4,856
Burnham Pacific Properties,
Inc. REIT 36,400 557
- - Burr-Brown Corp. 17,850 573
Bush Industries, Inc. 19,383 504
- - CAI Wireless Systems, Inc. 54,300 61
CB Bancshares Inc./Hawaii 10,900 477
CBL & Associates Properties,
Inc. REIT 29,600 731
CBS Corp. 433,697 12,767
CBT Corp. 14,700 456
CCB Financial Corp. 12,883 1,385
CFSB Bancorp, Inc. 25,256 663
- - C-Cube Microsystems, Inc. 20,900 341
- - CDI Corp. 12,400 567
- - CDW Computer Centers, Inc. 12,950 675
- - CFI ProServices, Inc. 24,969 306
C.H. Robinson Worldwide, Inc. 40,400 904
- - CHS Electronics, Inc. 28,100 481
CIGNA Corp. 45,476 7,870
CIPSCO, Inc. 20,400 903
- - The CIT Group, Inc. 69,100 2,228
CKE Restaurants Inc. 24,800 1,045
- - CKS Group, Inc. 35,900 507
CMAC Investment Corp. 13,426 811
- - CMG Information Services, Inc. 21,624 654
- - CML Group, Inc. 125,000 414
CMS Energy Corp. 59,161 2,607
CPB, Inc. 22,200 456
CPI Corp. 19,700 446
CTG Resources Inc. 16,472 429
- - CNA Financial Corp. 37,928 4,845
- - CNA Surety Corp. 28,490 440
CNB Bancshares, Inc. 10,594 511
CNF Transportation, Inc. 28,599 1,097
CPC International, Inc. 88,263 9,510
CRI Liquidating REIT, Inc. 26,200 4
- - CSG Systems International, Inc. 15,700 628
CSX Corp. 133,588 7,214
- - CUNO Inc. 31,100 474
CVS Corp. 105,952 6,788
- - Cable Michigan, Inc. 3,825 88
- - Cablevision Systems Corp.
Class B 8,300 795
- - Cabletron Systems, Inc. 96,808 1,452
</TABLE>
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MARKET
VALUE*
TOTAL STOCK MARKET PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C> <C>
- - Cable Design Technologies 18,452 $ 717
Cabot Corp. 41,968 1,159
Cabot Oil & Gas Corp. Class A 31,100 605
- - Cadence Design Systems, Inc. 123,838 3,034
- - Cadiz Land Co., Inc. 68,700 588
Cadmus Communications 20,800 426
- - Caldor Corp. 81,300 25
- - CalEnergy Co. 49,500 1,423
Calgon Carbon Corp. 36,400 391
Caliber System Inc. 24,016 1,169
- - California Amplifier, Inc. 64,860 138
- - California Federal Bank Goodwill
Participation Certificates 2,540 61
- - California Federal Bank-
Secondary Contingent Litigation
Recovery Participation Interests 2,150 61
Callaway Golf Co. 44,500 1,271
- - Calypte Biomedical Corp. 47,200 183
CAM Designs, Inc. 11,600 39
- - Cambridge Technology Partners 30,100 1,253
Camco International, Inc. 23,760 1,513
Camden Property Trust REIT 19,800 614
- - Cameron Ashley Building
Products 30,108 504
Campbell Soup Co. 283,448 16,475
- - Canandaigua Brands, Inc.
Class A 11,408 632
- - Cannondale Corp. 22,300 485
Capital One Financial Corp. 40,784 2,210
- - Capital Pacific Holdings, Inc. 10,900 31
Capital Re Corp. 12,100 751
CapMAC Holdings Inc. 22,700 789
Capstead Mortgage Corp. 33,950 677
Caraustar Industries, Inc. 25,400 870
- - CapStar Hotel Co. 15,100 518
- - Cardima, Inc. 7,500 33
Cardinal Health, Inc. 66,989 5,033
- - CareAdvantage Inc. 7,166 2
- - Caribiner International, Inc. 14,400 641
Carlisle Co., Inc. 17,854 763
- - Carmike Cinemas, Inc. Class A 18,389 528
Carnegie Bancorp 8,000 275
Carnival Corp. Class A 182,647 10,114
- - Carriage Services, Inc. 22,700 431
Carolina Power & Light Co. 93,114 3,952
Carpenter Technology Corp. 11,700 562
CarrAmerica Realty Corp. REIT 35,700 1,131
- - Carrington Labs Inc. 45,128 195
Carter-Wallace, Inc. 26,700 451
Case Corp. 45,926 2,776
- - Casino Magic Corp. 57,800 67
A.M. Castle & Co. 23,631 541
- - Castle & Cooke Inc. 32,200 543
- - Catalina Lighting, Inc. 10,000 36
- - Catalina Marketing Corp. 10,860 502
- - Catellus Development Corp. 64,900 1,298
Caterpillar, Inc. 231,316 11,233
- - Catherines Stores 37,400 262
- - Cellstar Corp. 17,700 352
- - Cellular Technical Services Co. 80,454 256
- - Celtrix Pharmaceuticals 123,500 224
- - Cendant Corp. 478,877 16,461
- - Centennial Technologies, Inc. 11,200 14
Centex Corp. 17,429 1,097
- - Centigram Communications 27,000 457
- - Centocor, Inc. 42,648 1,418
Central & South West Corp. 130,020 3,519
Central Hudson Gas &
Electric Corp. 12,800 562
Central Louisiana Electric Co. 26,908 871
Central Maine Power Co. 17,400 265
Central Newspapers Inc. 13,450 994
Central Parking Corp. 16,200 734
- - Central Reserve Life Corp. 14,900 76
- - Central Sprinkler Corp. 15,318 282
Central Vermont Public
Service Corp. 32,800 500
Centura Banks, Inc. 15,600 1,076
- - Centura Software Corp. 47,388 53
Century Bancorp, Inc. Class A 13,700 245
- - Century Communications Corp.
Class A 52,300 510
Century Telephone
Enterprises, Inc. 36,480 1,817
- - Ceridian Corp. 48,431 2,219
- - Cerner Corp. 28,770 608
- - Chalone Wine Group Ltd. 27,840 327
- - Champion Enterprises, Inc. 28,469 585
Champion International Corp. 58,521 2,652
- - Chancellor Media Corp. 36,278 2,707
- - Chantal Pharmaceutical Corp. 48,300 5
Charter One Financial 38,324 2,419
- - Charming Shoppes, Inc. 110,379 517
- - Chartwell Leisure Corp. 26,737 446
Chase Manhattan Corp. 260,886 28,567
- - Checkers Drive-In Restaurant 119,550 105
- - Checkfree Holdings Corp. 33,100 894
Checkpoint Systems, Inc. 22,074 386
Chelsea GCA Realty, Inc. REIT 18,200 695
Chemed Corp. 15,400 638
ChemFirst Inc. 22,700 641
- - Chemical Fabrics Corp. 19,511 400
Chemical Finance 8,741 391
Chesapeake Corp. of Virginia 24,317 836
Chesapeake Energy Corp. 88,000 666
Chester Valley Bancorp 1,366 40
Chevron Corp. 403,250 31,050
- - Chic By H.I.S., Inc. 51,280 375
- - Chicago Miniature Lamp, Inc. 21,900 739
- - Chico's Fas, Inc. 30,614 207
- - Choice Hotel International, Inc. 38,341 613
Chiquita Brands International, Inc. 35,935 586
- - Chirex, Inc. 29,100 513
- - Chiron Corp. 105,332 1,791
Chittenden Corp. 19,215 673
- - ChoicePoint Inc. 17,887 854
- - Chris-Craft Industries, Inc. 18,840 986
- - Christiana Cos., Inc. 10,100 400
Chrysler Corp. 415,586 14,623
The Chubb Corp. 106,062 8,021
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MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C> <C>
Church & Dwight, Inc. 22,400 $ 629
Churchill Downs, Inc. 8,200 360
- - Ciber, Inc. 14,700 853
- - Cidco, Inc. 26,600 519
- - CIENA Corp. 60,300 3,686
Cilcorp, Inc. 13,300 650
Cincinnati Bell, Inc. 83,500 2,589
Cincinnati Financial Corp. 33,537 4,720
Cincinnati Milacron, Inc. 23,883 619
CINergy Corp. 96,198 3,686
Circle International Group, Inc. 14,100 323
- - Circon Corp. 27,941 426
Circuit City Stores, Inc. 60,669 2,158
- - Circuit City Stores, Inc.-
CarMax Group 3,000 27
- - Cirrus Logic 38,700 411
- - Cisco Systems, Inc. 614,429 34,254
Cintas Corp. 59,100 2,305
- - Circus Circus Enterprises Inc. 57,141 1,171
Citicorp 282,109 35,669
Citizens Corp. 21,700 624
- - Citizens Utilities Co. Class B 152,021 1,463
- - Citrix Systems, Inc. 16,800 1,277
City National Corp. 28,087 1,037
- - Cityscape Financial Corp. 52,400 26
Claire's Stores, Inc. 28,900 562
Clarcor Inc. 6,800 201
- - Clarify, Inc. 24,800 288
Clayton Homes Inc. 71,676 1,290
- - Clear Channel Communications 60,324 4,792
- - Cliffs Drilling Co. 21,902 1,092
- - Clintrials Research, Inc. 54,200 427
The Clorox Co. 63,276 5,003
Coachmen Industries, Inc. 27,596 595
- - Coast Savings Financial, Inc. 15,000 1,028
Coastal Corp. 64,853 4,017
- - Coastal Physician Group, Inc. 98,500 80
Coca-Cola Bottling Co. 9,100 628
The Coca-Cola Co. 1,527,444 101,766
Coca-Cola Enterprises, Inc. 237,335 8,440
- - Coeur D'Alene Mines Corp. 40,600 365
- - Cognex Corp. 24,200 659
Cognizant Corp. 100,677 4,486
- - Coherent Communications
Systems Corp. 20,000 558
- - Coherent, Inc. 9,200 323
- - Cohr, Inc. 22,300 284
- - Kenneth Cole Productions, Inc. 2,400 39
- - Coleman Inc. 29,132 468
Colgate-Palmolive Co. 181,916 13,371
- - Collins & Aikman Corp. 63,300 546
Colonial BancGroup, Inc. 25,730 886
- - Colonial Downs Holdings, Inc. 34,500 121
Colonial Gas Co. 18,200 524
- - Colorado Casino Resorts, Inc. 95,500 96
- - Coltec Inc. 39,600 918
Columbia Gas Systems, Inc. 34,060 2,676
Columbia/HCA Healthcare Corp. 401,803 11,903
ComAir Holdings, Inc. 39,613 956
Comcast Corp. Class A 12,860 410
Comcast Corp. Class A Special 199,729 6,304
- - Comdial Corp. 40,666 376
Comdisco, Inc. 45,025 1,506
Comerica, Inc. 65,094 5,875
- - COMFORCE Corp. 6,573 50
- - Commander Aircraft Co. 28,600 68
Commerce Bancshares, Inc. 23,732 1,608
Commerce Group, Inc. 21,400 698
Commercial Federal Corp. 19,800 704
Commercial Intertech Corp. 26,500 550
Commercial Metals Co. 18,800 593
- - CommNet Cellular Inc. 16,300 580
- - Commonwealth Telephone
Enterprises, Inc. 10,800 279
- - CommScope, Inc. 60,205 809
Community First Bankshares 15,300 815
Compaq Computer Corp. 465,563 26,275
Compass Bancshares Inc. 38,916 1,703
- - CompuServe Corp. 54,900 666
Computer Associates
International, Inc. 336,181 17,776
- - CompUSA, Inc. 55,700 1,727
- - Computer Sciences Corp. 47,453 3,962
Computer Task Group, Inc. 24,592 875
- - Computervision Corp. 86,900 331
- - Compuware Corp. 105,800 3,386
COMSAT Corp. 29,800 723
- - Comverse Technology, Inc. 14,600 569
ConAgra, Inc. 290,568 9,534
- - Concentra Managed Care 23,000 776
- - Computer Horizons Corp. 21,444 965
- - Comshare 17,300 107
- - Concord EFS, Inc. 37,625 936
- - Cone Mills Corp. 57,200 443
- - Conmed Corp. 23,368 613
Connecticut Energy Corp. 17,800 536
Connecticut Water Services, Inc. 12,200 397
Conseco Inc. 115,458 5,246
- - Consilium, Inc. 24,300 61
- - Consolidated Cigar Holdings Inc. 17,900 493
Consolidated Edison Co. of
New York, Inc. 144,822 5,938
- - Consolidated Freightways Corp. 35,899 489
Consolidated Natural Gas Co. 58,437 3,535
Consolidated Papers 27,400 1,462
- - Consolidated Stores, Inc. 51,966 2,283
Consolidated-Tomoka Land Co. 17,700 321
- - Consumer Portfolio Services, Inc. 41,100 396
- - ContiFinancial Corp. 29,000 730
- - Continental Airlines, Inc. Class B 32,200 1,550
Continental Mortgage &
Equity Trust 2,650 42
- - Continucare Corp. 50,300 280
- - Converse Inc. 56,300 338
- - Cooper Cameron Corp. 32,200 1,964
Cooper Industries, Inc. 75,343 3,692
Cooper Tire & Rubber Co. 48,355 1,179
Adolph Coors Co. Class B 22,236 739
- - Coram Healthcare Corp. 113,708 384
- - COREStaff, Inc. 19,325 512
</TABLE>
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<CAPTION>
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MARKET
VALUE*
TOTAL STOCK MARKET PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C> <C>
CoreStates Financial Corp. 124,742 $ 9,987
Cornerstone Properties,
Inc. REIT 50,300 965
- - Cornerstone Imaging, Inc. 26,800 136
Corning, Inc. 142,254 5,281
- - Corporate Express, Inc. 78,800 1,015
- - Correctional Services Corp. 36,200 378
- - Corrections Corp. of America 47,272 1,752
- - Cort Business Services Corp. 16,600 661
Corus Bankshares Inc. 7,100 281
- - CorVel Corp. 10,900 411
- - Costco Cos., Inc. 129,561 5,782
Countrywide Credit
Industries, Inc. 65,217 2,796
Cousins Properties, Inc. REIT 40,400 1,184
- - Covance, Inc. 35,113 698
- - Coventry Corp. 31,455 480
- - Cox Communications Class A 157,735 6,319
Cracker Barrel Old Country
Stores, Inc. 36,954 1,233
- - Craig Corp. 21,077 428
- - Jenny Craig Inc. 58,600 443
Crane Co. 27,522 1,194
Crawford & Co. Class B 30,200 617
- - Creative Technology 12,733 6
- - Credence Systems Corp. 12,900 382
- - Credit Acceptance Corp. 21,500 167
- - Cree Research, Inc. 25,748 483
- - Crescendo Pharmaceuticals Corp. 2,379 28
Crescent Real Estate, Inc. REIT 69,400 2,733
- - Crescent Operating, Inc. REIT 13,520 331
Crestar Financial Corp. 74,959 4,273
CRIIMI MAE, Inc. REIT 46,500 698
Crompton & Knowles Corp. 44,551 1,181
Cross Timbers Oil Co. 30,450 759
Crown American Realty
Trust REIT 53,400 497
- - Crown Books Corp. 25,937 165
Crown Cork & Seal Co., Inc. 78,539 3,937
Crown Crafts, Inc. 31,000 484
- - Crown Vantage, Inc. 40,824 286
- - Cryomedical Sciences 118,700 22
Cullen/Frost Bankers, Inc. 13,100 795
- - Culligan Water Technologies 15,090 758
Cummins Engine Co., Inc. 23,302 1,376
- - Curative Health Services Inc. 19,800 601
Curtiss-Wright Corp. 9,800 356
- - Cyberguard Corp. 34,255 193
- - Cybex Computer Products Corp. 15,100 370
- - Cygne Designs, Inc. 59,800 17
- - Cygnus Inc. 28,412 565
- - Cymer, Inc. 18,100 272
- - Cypress Semiconductor Corp. 55,600 473
Cyprus Amax Minerals Co. 57,252 880
- - Cytec Industries, Inc. 28,554 1,340
- - Cytrx Corp. 5,900 17
- - DII Group, Inc. 26,514 723
- - DBT Online Inc. 22,700 566
DPL, Inc. 64,450 1,853
DQE Inc. 46,707 1,641
- - DSC Communications Corp. 71,984 1,728
D. R. Horton, Inc. 44,080 766
- - DSP Group Inc. 20,600 412
- - DSP Communications, Inc. 44,100 529
- - DST Systems, Inc. 30,100 1,285
DTE Energy Co. 88,527 3,071
DT Industries, Inc. 19,300 656
- - DVI, Inc. 25,600 474
- - Daily Journal Corp. 7,800 289
- - Daisytek International Corp. 7,800 271
- - Dal-Tile International Inc. 32,900 403
Dallas Semiconductor Corp. 16,200 660
Dames & Moore Group 25,300 335
Dana Corp. 63,668 3,024
Danaher Corp. 35,900 2,266
Daniel Industries, Inc. 29,828 574
Darden Restaurants Inc. 91,693 1,146
- - Darling International, Inc. 43,200 367
- - Data Broadcasting Corp. 68,400 385
- - Data General Corp. 27,326 477
- - Data Race, Inc. 37,022 120
- - Dataware Technologies, Inc. 35,500 93
- - DataWorks Corp. 3,000 60
- - Data Transmission Network Corp. 19,200 538
- - Datastream Systems, Inc. 14,400 446
- - Davel Communications
Group, Inc. 19,843 506
- - Dave & Busters 30,532 687
- - Davox Corp. 15,800 515
Dayton-Hudson Corp. 134,103 9,052
Dean Foods Corp. 24,867 1,480
- - DecisionOne Holdings Corp. 12,014 300
Deere & Co. 155,009 9,039
DEKALB Genetics Corp. Class B 21,000 824
- - Dell Computer Corp. 202,564 17,015
Delmarva Power & Light Co. 37,100 856
- - Delphi Information Systems Inc. 35,900 34
Delta & Pine Land Co. 22,474 685
Delta Air Lines, Inc. 45,188 5,377
Deltic Timber Corp. 5,428 149
Deluxe Corp. 50,131 1,730
- - Dendrite International, Inc. 24,100 467
DENTSPLY International Inc. 32,300 985
- - Department 56 Inc. 23,495 675
Deposit Guaranty Corp. 25,000 1,422
- - DepoTech Corp. 31,600 113
DePuy, Inc. 59,500 1,711
- - Designs, Inc. 70,900 213
- - Detroit Diesel Corp. 23,800 565
Developers Diversified Realty
Corp. REIT 16,200 620
Devon Energy Corp. 19,833 764
- - Devon Group, Inc. 2,100 97
- - Devry, Inc. 20,600 657
Dexter Corp. 14,800 639
Diagnostic Products Corp. 20,523 570
Dial Corp. 62,163 1,294
- - Dialogic Corp. 15,200 665
- - Diamond Multimedia
Systems, Inc. 57,600 511
Diamond Offshore Drilling, Inc. 85,900 4,134
</TABLE>
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MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C> <C>
- - Diamond Technology
Partners Inc. 27,789 $ 431
Diebold, Inc. 42,396 2,146
- - Digene Corp. 44,100 380
- - Digi International, Inc. 30,800 524
- - Digital Equipment Corp. 94,133 3,483
- - Digital Microwave Corp. 31,254 453
Dillard's Inc. 68,436 2,412
Dime Bancorp, Inc. 86,360 2,612
Dimon Inc. 26,750 702
- - Dionex Corp. 8,500 427
The Walt Disney Co. 415,849 41,195
Dole Food Co. 36,300 1,661
Dollar General Corp. 70,227 2,546
- - Dollar Thrifty Automotive Group 13,000 267
- - Dollar Tree Stores, Inc. 23,175 959
Dominion Resources, Inc. 114,295 4,865
Donaldson Co., Inc. 14,800 667
Donaldson, Lufkin & Jenrette, Inc. 34,300 2,727
R.R. Donnelley & Sons Co. 89,480 3,333
Donnelly Corp. 24,825 417
Doral Financial Corp. 26,200 665
- - Dove Audio, Inc. 19,000 24
Dover Corp. 136,956 4,948
Dow Chemical Co. 140,086 14,219
Dow Jones & Co., Inc. 59,897 3,216
- - Dravo Corp. 43,639 480
- - The Dress Barn, Inc. 13,400 380
Dresser Industries, Inc. 107,297 4,500
- - Drexler Technology Corp. 33,289 341
Dreyer's Grand Ice Cream, Inc. 24,200 584
- - Drug Emporium, Inc. 72,042 284
E.I. du Pont de Nemours & Co. 696,448 41,830
Duke Energy Corp. 221,092 12,243
Duke Realty Investments,
Inc. REIT 44,800 1,086
The Dun & Bradstreet Corp. 104,877 3,245
- - DuPont Photomasks, Inc. 8,900 310
- - Dura Pharmaceuticals, Inc. 26,986 1,238
- - Dynatech Corp. 7,600 356
- - EEX Corp. 78,899 715
EG&G, Inc. 26,736 556
- - EMC Corp. 303,944 8,339
ENSCO International, Inc. 87,024 2,915
- - ESC Medical Systems Ltd. 21,300 825
- - ESSEF Corp. 36,960 591
- - ESS Technology, Inc. 47,900 364
- - ETEC Systems, Inc. 12,800 595
- - E*TRADE Group, Inc. 23,700 545
- - EVI Inc. 28,500 1,475
- - Eagle Hardware & Garden, Inc. 22,500 436
- - Eagle USA Airfreight, Inc. 21,300 607
Earthgrains Co. 18,086 850
Eastern Enterprises 11,415 514
Eastern Utilities Associates 9,071 238
Eastman Chemical Co. 48,280 2,876
Eastman Kodak Co. 200,212 12,175
Eaton Corp. 47,338 4,225
Eaton Vance Corp. 21,800 823
- - Echelon International Corp., Inc. 23,363 524
Echlin, Inc. 38,518 1,394
- - Echo Bay Mines Ltd. 227,384 554
Ecolab, Inc. 40,040 2,220
- - Edison Brothers Stores, Inc. 57,371 316
- - Edison Brothers Stores, Inc.
Warrants Exp. 9/26/2005 5,788 7
Edison International 243,903 6,631
- - Education Alternatives, Inc. 44,400 197
EDO Corp. 42,800 375
- - J.D. Edwards & Co. 56,200 1,658
A.G. Edwards & Sons, Inc. 58,749 2,335
- - Egghead, Inc. 51,531 335
- - Einstein/Noah Bagel Corp. 39,500 220
El Paso Natural Gas 36,318 2,415
- - Elan Corp. PLC ADR 2,304 118
Elcor Corp. 23,100 554
- - Electric Fuel Corp. 57,500 208
- - Electro Scientific Industries, Inc. 13,500 513
- - Electroglas, Inc. 30,000 463
- - Electromagnetic Sciences, Inc. 23,786 482
- - Electronic Arts Inc. 35,400 1,339
Electronic Data Systems Corp. 301,855 13,263
- - Electronic Retailing Systems
International, Inc. 17,200 75
- - Electronics for Imaging, Inc. 31,900 530
- - Eltron International Inc. 13,600 411
Emerging Communications 22,800 182
Emerson Electric Co. 272,494 15,379
- - Emmis Broadcasting Corp.
Class A 11,700 534
Empire District Electric Co. 28,100 551
- - Empire of Carolina, Inc. 8,900 13
- - Employee Solutions, Inc. 77,800 336
- - Emulex Corp. 24,550 338
- - Energy Conversion Devices, Inc. 31,275 379
Energen Corp. 13,100 521
Engelhard Corp. 88,923 1,545
Enhance Financial Services
Group, Inc. 11,400 678
Enova Corp. 68,900 1,865
Enron Corp. 201,927 8,393
Enron Oil & Gas Co. 95,124 2,015
Entergy Corp. 148,433 4,444
- - Epitope Inc. 48,300 242
Equifax, Inc. 92,570 3,280
The Equitable Cos. 126,091 6,273
Equitable Resources, Inc. 20,800 736
Equity Office Properties
Trust REIT 146,611 4,627
Equity Residential Properties
Trust REIT 47,500 2,402
Erie Indemnity Co. Class A 37,100 1,094
- - Essex International, Inc. 18,400 547
Essex Property Trust, Inc. REIT 18,734 656
- - Esterline Technologies Corp. 15,345 552
Ethan Allen Interiors, Inc. 27,360 1,055
Ethyl Corp. 66,330 510
- - Euroweb International Corp. 12,000 5
Everest Reinsurance
Holdings, Inc. 30,300 1,250
- - Evergreen Resources, Inc. 29,600 459
- - Exabyte Corp. 42,900 276
</TABLE>
51
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<TABLE>
<CAPTION>
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MARKET
VALUE*
TOTAL STOCK MARKET PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C> <C>
Excel Industries, Inc. 24,600 444
- - EXCEL Communications, Inc. 81,919 1,188
Excel Realty Trust, Inc. REIT 24,200 762
- - Excel Switching Corp. 33,800 604
Executive Risk, Inc. 11,933 833
- - FAC Realty Inc. REIT 47,900 371
Exide Corp. 27,500 712
Expeditors International of
Washington, Inc. 20,200 778
- - Express Scripts 12,400 744
- - Extended Stay America, Inc. 72,978 908
Exxon Corp. 1,520,180 93,016
- - EZCORP, Inc. 37,000 430
F & M Bancorp 9,805 373
FFY Financial Corp. 13,400 444
- - FLIR Systems, Inc. 19,400 403
- - FMC Corp. 22,837 1,537
- - FM Properties Inc. 50,900 264
F.N.B. Corp. 13,259 499
- - FPA Medical Management, Inc. 19,000 354
FPL Group, Inc. 111,611 6,606
- - FSI International, Inc. 36,400 428
- - FTP Software, Inc. 53,000 119
Fair Issac & Co. 16,000 533
- - Fairfield Communities, Inc. 22,200 980
- - Falcon Drilling Co., Inc. 48,800 1,711
Family Dollar Stores, Inc. 67,800 1,987
Farmer Brothers, Inc. 2,700 505
Fannie Mae 653,438 37,287
- - Fastcomm Communications Corp. 50,400 120
Fastenal Co. 23,000 880
- - Faulding Inc. 33,700 453
- - FaxSav Inc. 30,200 77
Fedders Corp. 46,645 292
Fedders Corp. Class A 15,226 93
- - Federal Express Corp. 70,700 4,317
Freddie Mac 428,004 17,949
Federal-Mogul Corp. 21,600 875
Federal Realty Investment
Trust REIT 23,700 610
Federal Signal Corp. 27,462 594
- - Federated Department Stores 128,844 5,548
Felcor Suite Hotels, Inc. REIT 22,100 785
Ferro Corp. 22,500 547
Fifth Third Bancorp 93,927 7,679
- - Figgie International Inc. Class A 21,100 277
- - Figgie International Inc. Class B 900 11
- - Filene's Basement Corp. 66,605 266
- - FileNet Corp. 25,700 774
- - Film Roman, Inc. 8,300 14
FINA Inc. 18,100 1,158
Financial Security Assurance
Holdings Ltd. 19,000 917
Fingerhut Co. 28,354 606
FINOVA Group, Inc. 33,204 1,650
- - First Alert, Inc. 83,600 178
First American Financial Corp. 11,200 827
First American Corp. (Tenn.) 36,400 1,811
First American Bank Corp. 54,300 4,188
First Brands Corp. 24,200 652
First Chicago NBD Corp. 181,650 15,168
First Citizens BancShares
Class A 5,900 614
First Federal Savings Bank
of Colorado 26,000 618
First Commerce Bancshares Inc.
Class A 12,600 365
First Commerce Corp. 23,417 1,575
First Commercial Corp. 18,632 1,092
First Commonwealth
Financial Corp. 27,500 964
First Data Corp. 273,358 7,996
First Empire State Corp. 4,000 1,860
First Financial Bancorp 12,936 624
First Financial Holdings, Inc. 12,500 664
First Hawaiian, Inc. 19,200 763
First Industrial Realty Trust REIT 18,600 672
First Midwest Bancorp 18,925 828
First Palm Beach Bancorp 12,400 535
First Security Corp. 70,055 2,934
First Source Corp. 20,746 661
First Tennessee National Corp. 38,800 2,590
First Union Corp. 386,692 19,818
First Union Real Estate 40,600 660
First Virginia Banks, Inc. 31,660 1,636
First Western Bancorp 18,583 530
Firstbank of Illinois Co. 18,850 694
Firstar Corp. 88,426 3,753
FirstBank Puerto Rico 19,225 655
- - FIRSTPLUS Financial Group, Inc. 20,300 779
- - FIserv, Inc. 31,762 1,560
- - First Federal Financial Corp. 16,734 648
First Bancorp of Ohio 37,200 1,056
- - FirstEnergy Corp. 142,000 4,118
Fisher Scientific
International Inc. 11,900 568
Fleet Financial Group, Inc. 154,024 11,542
Fleetwood Enterprises, Inc. 22,358 949
Fleming Cos., Inc. 18,339 246
Florida East Coast Railway Co. 5,200 500
Florida Progress Corp. 59,250 2,326
Florida Rock Industries, Inc. 22,400 510
Flowers Industries, Inc. 53,825 1,107
Flowserve Corp. 30,242 845
Fluor Corp. 51,367 1,920
- - Fluor Daniel/GTI, Inc. 13,561 129
Flushing Financial Corp. 21,100 504
- - Foamex International, Inc. 34,500 375
Food Lion Inc. Class A 280,400 2,366
Food Lion Inc. Class B 7,694 63
- - Foodmaker, Inc. 39,700 598
- - Footstar Inc. 28,870 776
- - Forcenergy Inc. 28,027 734
Ford Motor Co. 735,572 35,813
- - FORE Systems, Inc. 61,000 930
- - Foreland Corp. 900 4
Foremost Corp. of America 11,200 781
Forest City Enterprise Class A 10,050 584
- - Forest Laboratories, Inc. 24,992 1,232
- - Forest Oil Corp. 36,300 599
</TABLE>
52
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<CAPTION>
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MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C> <C>
Fort James Corp. 116,622 $ 4,461
Fort Wayne National Corp. 15,900 731
- - Forte Software, Inc. 45,400 346
Fortress Group, Inc. 57,700 245
Fortune Brands, Inc. 105,093 3,895
Foster Wheeler Corp. 24,654 667
- - Foundation Health Systems
Class A 74,778 1,673
- - Fourth Shift Corp. 30,000 90
Franchise Finance Corp. of
America REIT 25,700 694
Franklin Electric, Inc. 8,100 520
- - Franklin Electronic Publishers, Inc. 28,900 361
Franklin Resources Corp. 77,330 6,723
Freeport-McMoRan Copper &
Gold, Inc. Class A 11,512 176
Freeport-McMoRan Copper &
Gold, Inc. Class B 111,351 1,754
- - Freeport-McMoRan
Sulphur Inc. 4,930 58
Fremont General Corp. 19,497 1,067
- - Fresenius National Medical
Care Pfd. 40,354 2
- - Fresh Choice, Inc. 44,800 146
- - Fresh America Corp. 19,000 366
- - Friede Goldman International, Inc. 26,600 795
- - Fritz Cos., Inc. 18,600 259
Frontier Corp. 100,956 2,429
Frontier Insurance Group, Inc. 19,400 444
- - Fruit of the Loom, Inc. 44,366 1,137
H.B. Fuller Co. 5,000 248
Fulton Financial Corp. 24,647 801
Fund American Enterprise
Holding Co. 7,085 857
- - Furniture Brands International Inc. 31,700 650
- - Fusion Systems Corp.-Contigent
Value Rights Exp. 3/31/1999 10,500 7
G & L Realty Corp. 20,296 430
GATX Corp. 15,100 1,096
- - GC Cos. 12,991 615
- - GRC International, Inc. 49,000 300
GPU, Inc. 74,624 3,144
GTE Corp. 588,870 30,768
- - GT Interactive Software Corp. 58,000 370
- - Gadzooks, Inc. 20,600 433
Gainsco, Inc. 52,246 444
Galileo International, Inc. 63,700 1,760
Arthur J. Gallagher & Co. 14,600 503
Gannett Co., Inc. 174,600 10,792
The Gap, Inc. 247,098 8,757
- - Gardner Denver Machinery, Inc. 34,554 875
- - Gargoyles, Inc. 49,000 196
- - Gartner Group, Inc. Class A 58,500 2,179
- - GateField Corp. 40,612 56
- - Gateway 2000, Inc. 94,800 3,093
- - Gaylord Container Corp. 69,600 400
Gaylord Entertainment Co.
Class A 21,653 692
- - GelTex Pharmaceuticals, Inc. 16,200 429
GenCorp, Inc. 24,700 618
- - Genentech, Inc. Special
Common Stock 75,383 4,570
General Binding Corp. 16,572 497
- - General Cigar Holdings, Inc. 2,000 43
- - General DataComm
Industries, Inc. 77,100 361
General Dynamics Corp. 38,301 3,311
General Electric Co. 2,016,294 147,946
General Growth Properties
Inc. REIT 21,200 766
General Mills, Inc. 98,383 7,047
General Motors Corp. 449,041 27,223
General Motors Corp. Class H 61,853 2,285
- - General Nutrition Cos., Inc. 48,900 1,663
General Re Corp. 49,043 10,397
- - General Semiconductor, Inc. 52,089 602
General Signal Corp. 30,758 1,298
- - Gentex Corp. 15,124 406
- - Genesis Health Ventures Inc. 20,000 528
- - Geneva Steel Class A 68,100 140
- - Genrad, Inc. 27,188 821
- - Gensia Sicor Inc. 92,014 535
Genuine Parts Co. 110,222 3,741
- - Genzyme Corp. 46,678 1,295
- - Genzyme Corp. (Tissue Repair) 1,160 8
Georgia Gulf Corp. 19,668 602
Georgia-Pacific Corp. 55,998 3,402
- - Georgia-Pacific (Timber Group) 55,498 1,259
- - Geotek Industries, Inc. 99,700 153
- - Geoworks 35,100 338
- - Getchell Gold Corp. 15,816 380
- - Giant Cement Holding, Inc. 17,800 412
Giant Food, Inc. Class A 36,369 1,225
Giant Industries, Inc. 24,700 469
- - Gibson Greetings, Inc. 23,000 503
- - Gilead Sciences, Inc. 18,200 696
Gillette Co. 344,734 34,624
P.H. Glatfelter Co. 27,300 508
- - Glenayre Technologies, Inc. 34,225 338
- - Global Motorsport Group Inc. 20,200 235
- - Global DirectMail Corp. 26,200 454
- - Global Industrial
Technologies, Inc. 32,991 559
- - Global Industries Ltd. 54,400 925
- - Global Marine, Inc. 104,600 2,563
- - Global Village Communication 15,900 19
- - Global Payment Tech Inc. 20,800 187
- - Globe Business Resources, Inc. 19,100 403
- - Go Video, Inc. 37,500 84
- - Gold Reserve Corp. 36,900 134
- - Golden State Bancorp Inc. 30,343 1,134
Golden West Financial Corp. 34,607 3,385
- - The Good Guys, Inc. 48,600 371
The BFGoodrich Co. 51,160 2,120
The Goodyear Tire & Rubber Co. 95,903 6,102
- - Goody's Family Clothing 19,550 532
Gorman-Rupp Co. 24,325 514
W.R. Grace & Co. 44,654 3,592
Graco, Inc. 18,298 683
- - Gradall Industries, Inc. 27,700 457
</TABLE>
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<TABLE>
<CAPTION>
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MARKET
VALUE*
TOTAL STOCK MARKET PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C> <C>
- - Graham-Field Health
Products Inc. 32,184 $ 537
W.W. Grainger, Inc. 30,611 2,975
- - Grand Casinos, Inc. 44,900 612
Granite Construction Co. 25,700 591
Great Atlantic & Pacific Tea
Co., Inc. 23,301 692
Great Lakes Chemical Corp. 36,379 1,633
- - Great Bay Casino Corp. 7,083 9
Green Mountain Power Corp. 21,500 394
Green Street Financial Corp. 20,900 381
Green Tree Financial Corp. 82,791 2,168
Green Point Financial Corp. 26,200 1,901
Grief Brothers Corp. Class A 4,200 142
- - Grey Wolf, Inc. 100,500 540
- - Greyhound Lines, Inc. 117,100 432
- - GTech Holdings Corp. 24,900 795
Guidant Corp. 91,056 5,668
Guilford Mills, Inc. 27,450 751
- - Gulf South Medical Supply, Inc. 22,000 820
- - Gulfstream Aerospace Corp. 45,500 1,331
- - Gymboree Corp. 14,940 409
- - HCIA, Inc. 35,400 420
- - HF Bancorp, Inc. 23,900 418
- - HMT Technology Corp. 18,500 241
HBO & Co. 120,706 5,794
HCC Insurance Holdings, Inc. 34,900 742
HF Financial Corp. 5,400 143
- - HMN Financial, Inc. 15,500 504
- - HNC Software, Inc. 16,700 718
HRE Properties 21,700 427
HSB Group Inc. 11,957 660
- - HS Resources Inc. 32,401 448
- - HSN, Inc. 31,712 1,633
HUBCO, Inc. 18,055 706
- - Hadco Corp. 12,949 586
- - Haemonetics Corp. 28,500 399
Halliburton Co. 156,146 8,110
- - Halter Marine Group, Inc. 16,402 474
- - Hambrecht & Quist Group 15,000 548
Hancock Fabrics, Inc. 36,300 526
- - Handleman Co. 75,261 522
M.A. Hanna Co. 30,850 779
Hannaford Brothers Co. 25,500 1,108
- - Harbinger Corp. 23,650 665
Harbor Federal Savings Bank 2,300 152
Harcourt General, Inc. 43,611 2,388
- - Harken Energy Corp. 131,700 922
John H. Harland Co. 14,687 308
Harley-Davidson, Inc. 93,992 2,573
Harleysville National Corp. 12,509 525
Harman International
Industries, Inc. 10,881 462
Harmon Industries, Inc. 16,200 450
Harnischfeger Industries Inc. 30,635 1,082
- - Harrah's Entertainment, Inc. 61,316 1,157
Harris Corp. 48,546 2,227
- - Harry's Farmers Market, Inc. 3,000 4
Harsco Corp. 29,668 1,279
Harte-Hanks Communications Co. 22,500 835
The Hartford Financial Services
Group Inc. 72,554 6,788
Hartford Life, Inc. 21,500 974
- - Hartmarx Corp. 13,100 100
Harveys Casino Resorts 23,400 486
Hasbro, Inc. 77,379 2,437
- - Hauser, Inc. 42,500 255
Haven Bancorp, Inc. 20,600 464
Hawaiian Electric Industries Inc. 19,165 783
- - Hayes Lemmerz International, Inc. 21,340 598
Health Care Properties Investors 17,400 658
- - HEALTHSOUTH Corp. 238,671 6,623
- - Health Management Associates
Class A 99,788 2,520
- - Healthcare & Retirement Corp. 26,800 1,079
- - HealthCare COMPARE Corp. 20,133 1,029
Healthcare Realty Trust Inc. 23,200 671
- - Health Systems Design Corp. 29,600 303
Health and Retirement
Properties Trust 59,700 1,194
Health Care REIT, Inc. 28,300 796
- - Health Management
Systems, Inc. 64,097 381
- - Healthdyne Information
Enterprises, Inc. 107,600 192
- - Healthdyne Technologies, Inc. 27,946 569
- - Heartland Express, Inc. 21,592 580
- - Heartland Technology, Inc 7,700 127
- - Heartport Inc. 16,500 336
- - Hecla Mining Co. 85,800 424
- - Heftel Broadcasting Corp. 18,200 851
HEICO Corp. 21,108 596
Heilig-Meyers Co. 35,157 422
H.J. Heinz Co. 227,505 11,560
Helmerich & Payne, Inc. 15,393 1,045
Herbalife International Class A 8,300 174
- - Herbalife International Class B 16,600 357
Hercules, Inc. 60,581 3,033
Hershey Foods Corp. 87,864 5,442
Hertz Corp. Class A 24,600 990
Hewlett-Packard Co. 640,600 40,038
- - Hexcel Corp. 22,200 554
Hibernia Corp. Class A 78,422 1,475
- - Highlands Insurance Group 14,554 413
Highwood Properties, Inc. REIT 21,600 803
Hilb, Rogal and Hamilton Co. 20,100 388
Hillenbrand Industries, Inc. 42,200 2,160
- - Hills Stores Co. 9,900 32
Hilton Hotels Corp. 153,798 4,575
Hollinger International, Inc. 53,200 745
Holly Corp. 17,400 481
- - Hollywood Casino Corp. 98,500 182
- - Hollywood Entertainment Corp. 62,229 661
- - Hollywood Park, Inc. 32,300 711
- - Hologic, Inc. 21,300 441
Home Depot, Inc. 449,593 26,470
- - Home Health Corp. of America 41,600 432
- - Homebase Inc. 17,600 139
- - Homeside, Inc. 29,100 802
Homestake Mining Co. 87,993 781
</TABLE>
54
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<TABLE>
<CAPTION>
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MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C> <C>
- - Homestead Village, Inc. 40,187 $ 605
HON Industries, Inc. 17,900 1,056
Honeywell, Inc. 78,479 5,376
Horace Mann Educators Corp. 27,400 779
Horizon Financial Corp. 24,598 437
Horizontal Ventures, Inc. 163 2
Hormel Foods Corp. 45,700 1,497
Hospitality Properties Trust REIT 15,700 516
- - Host Marriott Corp. 125,724 2,467
- - Host Marriott Services Corp. 42,984 639
- - Hot Topic, Inc. 22,200 505
Houghton Mifflin Co. 17,900 687
Household International, Inc. 65,712 8,382
Houston Industries, Inc. 174,480 4,656
- - Hovnanian Enterprises Class A 53,750 393
- - Hovnanian Enterprises Class B 9,650 71
- - Howmet International Inc. 20,400 306
Hubbell Inc. Class A 7,600 358
Hubbell Inc. Class B 33,200 1,637
Hudson Foods Inc. Class A 35,200 724
Hughes Supply, Inc. 17,739 620
- - Humana, Inc. 101,080 2,097
- - HumaScan, Inc. 36,500 310
- - Human Genome Sciences, Inc. 13,700 545
Hunt Corp. 16,900 400
J.B. Hunt Transport
Services, Inc. 15,147 284
Huntington Bancshares Inc. 116,511 4,194
- - Hutchinson Technology, Inc. 18,300 400
- - Hyperion Software Corp. 20,648 738
- - IA Corp. 20,100 39
IBP, Inc. 56,400 1,181
ICN Pharmaceuticals, Inc. 26,694 1,303
- - IDX Systems Corp. 8,400 311
- - IEC Electronics Corp. 33,718 459
IES Industries, Inc. 18,900 696
- - IGI, Inc. 17,090 64
- - IHOP Corp. 15,500 504
IMC Global Inc. 78,807 2,581
- - IMC Global Inc.
Warrants Exp. 12/22/2000 7,778 30
INMC Mortgage Holdings Inc. 33,100 776
- - IPC Information Systems, Inc. 19,900 399
- - I-Link, Inc. 55,300 339
IRT Property Co. REIT 49,100 580
- - I-STAT Corp. 13,600 215
- - ITT Corp. 71,595 5,933
- - ITT Educational Services, Inc. 32,900 734
ITT Industries, Inc. 72,773 2,283
- - IXC Communications, Inc. 18,900 593
Idaho Power Co. 22,200 835
IDEX Corp. 17,925 625
- - IDEXX Laboratories Corp. 34,800 555
IKON Office Solutions 81,683 2,297
Illinois Central Corp. 37,850 1,289
- - Identix, Inc. 37,900 365
Illinois Tool Works, Inc. 153,606 9,236
Illinova Corp. 46,700 1,258
- - Imagyn Medical
Technologies, Inc. 74,771 185
- - Imation Corp. 22,867 366
- - ImClone Systems, Inc. 66,200 538
- - Immucor Inc. 39,146 338
- - Immunex Corp. 24,000 1,296
- - ImmuLogic Pharmaceutical Corp. 88,500 166
- - Immune Response 51,317 571
- - Imperial Bancorp 20,794 1,025
- - Impath, Inc. 15,600 511
- - Impco Technologies Inc. 11,000 119
- - Imperial Credit 26,526 544
Imperial Holly 15,910 173
- - Immunomedics Inc. 89,400 324
- - Inacom Corp. 15,500 435
- - INCYTE Pharmaceuticals, Inc. 18,400 828
Indiana Energy, Inc. 9,600 316
- - Industri-Matematik
International Corp. 34,900 1,030
- - Informix Corp. 88,600 421
Ingersoll-Rand Co. 102,263 4,142
- - Information Management
Associates, Inc. 37,100 348
- - Information Resources, Inc. 36,235 485
- - Ingram Micro, Inc. 18,000 524
Inland Steel Industries, Inc. 29,924 512
- - Innovative Gaming Corp. 10,050 23
- - Input/Output, Inc. 26,200 778
- - Insilco Corp. 10,800 356
- - Insituform Technologies Class A 50,500 391
- - INSO Corp. 37,000 428
- - Insurance Auto Auctions, Inc. 30,200 347
- - Insignia Financial Group 35,100 807
- - Integrated Device
Technology Inc. 45,900 433
Integrated Health Services, Inc. 25,900 808
- - Integrated Process
Equipment Corp. 26,324 415
- - Integrated Silicon Solution, Inc. 44,100 336
- - Integrated Systems Consulting
Group Inc. 35,084 390
- - Integrated Systems, Inc. 30,100 414
Intel Corp. 1,000,326 70,273
- - Intelidata Technologies Corp. 83,400 154
- - Intelligent Electronics Inc. 42,798 238
- - Intelligent Medical Imaging, Inc. 53,500 194
Inter-Tel, Inc. 28,200 546
Intercargo Corp. 30,700 407
Interface, Inc. 26,200 760
- - Interdigital Communications Corp. 52,500 161
- - Intergraph Corp. 41,440 414
- - Interim Services, Inc. 24,290 629
- - Interleaf, Inc. 76,600 263
International Business
Machines Corp. 604,932 63,253
- - International Dairy Queen, Inc.
Class A 17,788 476
- - International Dairy Queen, Inc.
Class B 2,300 62
International Flavors &
Fragrances, Inc. 67,474 3,475
- - International Home Foods, Inc. 3,500 98
- - International Lottery & Totalizator
Systems Inc. 54,900 45
</TABLE>
55
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<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
MARKET
VALUE*
TOTAL STOCK MARKET PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C> <C>
International Game Technology 70,702 $ 1,785
International Multifoods Corp. 21,781 617
- - International Network Services 15,400 356
- - International Murex
Technologies Corp. 35,300 355
International Paper Co. 185,846 8,015
- - International Rectifier Corp. 30,300 358
International Shipholding Corp. 11,100 191
- - International Specialty
Products, Inc. 58,900 880
- - International Technology 46,825 351
- - Interneuron Pharmaceutical, Inc. 19,000 181
Interpublic Group of Cos., Inc. 76,218 3,797
- - Intersolv Inc. 33,700 682
Interstate Bakeries Corp. 45,300 1,693
- - Interstate Hotels Co. 21,500 754
- - InterVoice, Inc. 41,213 309
Intimate Brands, Inc. 155,200 3,735
- - Intuit, Inc. 28,100 1,159
Invacare Corp. 12,557 273
- - Invision Technologies, Inc. 50,500 385
Investors Financial Services
Corp. Class A 11,900 547
- - Iomega Corp. 158,000 1,965
- - Ionics, Inc. 7,500 293
IPALCO Enterprises, Inc. 27,350 1,147
Irvine Apartment Communities,
Inc. REIT 16,100 512
Irwin Financial Corp. 15,200 637
ISCO, Inc. 22,485 200
- - ISIS Pharmaceuticals, Inc. 35,926 442
- - Itron, Inc. 27,900 502
- - i2 Technologies, Inc. 17,700 934
- - IVAX Corp. 71,600 483
JDN Realty Corp. REIT 19,000 615
- - JTS Corp. 79,144 20
JLG Industries, Inc. 21,000 297
- - JMC Group Inc. 5,200 3
- - JP Foodservice, Inc. 13,700 506
JP Realty Inc. REIT 23,800 617
JSB Financial 13,601 681
- - Jabil Circuit, Inc. 22,500 894
- - Jackpot Enterprises, Inc. 34,700 393
- - Jacobs Engineering Group Inc. 17,100 434
- - Jacor Communications, Inc. 25,200 1,339
- - Jan Bell Marketing Inc. 133,400 334
- - Jayhawk Acceptance Corp. 30,100 41
Jefferson Savings Bancorp, Inc. 21,600 443
Jefferson-Pilot Corp. 43,477 3,386
- - Jefferson Smurfit Corp. 67,900 959
John Alden Financial Corp. 25,500 612
John Nuveen Co. Class A 19,700 690
Johns Manville Corp. 97,600 982
Johnson & Johnson 817,582 53,858
Johnson Controls, Inc. 51,394 2,454
- - Johnstown America Industries 47,000 452
- - Jones Apparel Group, Inc. 31,400 1,350
Jones Medical Industries, Inc. 17,400 666
Jostens Inc. 23,340 538
- - Journal Register Co. 27,600 580
- - JumboSports Inc. 104,750 157
Juno Lighting, Inc. 29,400 515
- - Just for Feet, Inc. 15,576 204
Justin Industries, Inc. 37,560 512
- - KLA-Tencor Corp. 51,300 1,981
- - Kmart Corp. 299,877 3,467
KN Energy, Inc. 19,006 1,026
K2 Inc. 17,062 388
K U Energy Corp. 22,500 883
- - K-V Pharmaceutical Co. Class A 8,700 181
- - Kaiser Aluminum &
Chemical Corp. 43,700 385
- - Kaneb Services, Inc. 113,316 588
Kansas City Life Insurance Co. 4,400 436
Kansas City Power & Light Co. 38,200 1,129
Kansas City Southern
Industries, Inc. 65,392 2,076
Katy Industries, Inc. 23,600 481
Kaufman & Broad Home Corp. 36,742 824
Kaydon Corp. 20,100 656
- - Keane, Inc. 40,600 1,649
Kellogg Co. 253,586 12,584
Kelly Services, Inc. Class A 23,137 694
- - KEMET Corp. 22,900 444
Kennametal, Inc. 15,400 798
- - Kensey Nash Corp. 26,400 439
- - Kent Electronics Corp. 19,800 497
Kerr-McGee Corp. 29,053 1,839
- - Kevco, Inc. 12,100 200
KeyCorp 133,140 9,428
KeySpan Energy Corp. 30,050 1,106
- - Keystone Consolidated
Industries, Inc. 12,690 152
Keystone Financial, Inc. 31,543 1,270
Kimball International, Inc.
Class B 22,200 409
Kimberly-Clark Corp. 344,756 17,001
Kimco Realty Corp. REIT 24,450 862
King World Productions, Inc. 22,686 1,310
- - Knoll, Inc. 26,200 842
Knight-Ridder, Inc. 53,826 2,799
Koger Equity, Inc. REIT 30,700 673
- - Kohls Corp. 47,800 3,256
- - Komag, Inc. 32,000 476
- - The Kroger Co. 156,794 5,792
Kuhlman Corp. 25,376 993
- - Kulicke & Soffa Industries, Inc. 13,300 248
- - LCA-Vision, Inc. 19,493 22
- - LCI International, Inc. 72,266 2,222
LG&E Energy Corp. 40,200 995
- - LHS Group, Inc. 14,600 872
LNR Property Corp. 37,700 891
- - LS Capital Corp. 1,996 1
- - LSI Logic Corp. 87,045 1,719
LSI Industries Inc. 24,318 444
LTC Properties, Inc. 30,700 637
LTV Corp. 61,000 595
- - LTX Corp. 53,388 237
La Quinta Inns Inc. 46,838 905
La-Z-Boy Inc. 1,200 52
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MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C> <C>
- - Laboratory Corp. of America 161,648 $ 273
- - Ladd Furniture Inc. 26,800 402
Lafarge Corp. 39,100 1,156
- - Laidlaw Environmental
Services, Inc. 125,674 613
- - LAM Research Corp. 31,939 934
Lancaster Colony Corp. 17,788 1,003
Lance, Inc. 21,721 572
- - Lancer Corp. 39,285 452
Landauer, Inc. 18,200 510
- - Lands' End, Inc. 19,700 691
- - Landry's Seafood
Restaurants, Inc. 19,700 473
- - Landstar System 20,500 541
- - Lanvision Systems, Inc. 13,400 60
- - Larscom, Inc. Class A 37,500 356
- - LaSalle Partners Inc. 20,300 723
- - Laser Mortgage
Management, Inc. 13,000 189
- - Lason Holdings, Inc. 18,100 482
- - Lattice Semiconductor Corp. 14,250 675
Estee Lauder Cos. Class A 37,971 1,953
- - Lawrence Savings Bank 12,400 203
Lawter International Inc. 16,534 180
- - Layne Christensen Co. 16,200 211
- - Lazare Kaplan International, Inc. 26,300 355
- - Lear Corp. 40,600 1,929
- - Learning Co., Inc. 39,537 635
- - Learning Tree International, Inc. 19,300 557
- - Lechters Corp. 79,800 404
- - LecTec Corp. 3,500 18
Lee Enterprises, Inc. 28,000 828
- - Legal Research Center, Inc. 6,100 1
- - Legato Systems, Inc. 23,700 1,043
Leggett & Platt, Inc. 58,300 2,441
Legg Mason Inc. 15,000 839
Lehman Brothers Holdings, Inc. 72,399 3,692
Lennar Corp. 21,300 459
Leucadia National Corp. 38,800 1,339
- - Level One Communications 12,300 347
- - Level 8 Systems Inc. 25,900 353
Leviathan Gas Pipeline Co. 22,200 680
- - Lexington Global Asset
Managers, Inc. 11,000 100
- - Lexmark International Group, Inc.
Class A 43,700 1,661
Libbey, Inc. 15,800 598
Liberty Corp. 12,400 580
Liberty Financial Cos., Inc. 26,400 997
Liberty Property Trust REIT 31,400 897
- - Life USA Holding, Inc. 32,900 555
Life Re Corp. 10,000 652
- - Lifecore Biomedical Inc. 25,000 547
Lillian Vernon Corp. 26,000 432
Eli Lilly & Co. 683,470 47,587
Lilly Industries Inc. Class A 23,268 480
The Limited, Inc. 166,391 4,243
- - Lin Television 18,416 1,004
- - Lincare Holdings, Inc. 17,300 986
Lincoln Electric Co. Class A 12,024 433
Lincoln National Corp. 62,425 4,877
Lindsay Manufacturing Co. 13,525 587
Linear Technology Corp. 45,796 2,639
- - Liposome Co., Inc. 58,661 271
Litchfield Financial Corp. 19,530 378
- - Littelfuse, Inc. 13,800 343
- - Litton Industries, Inc. 29,369 1,689
Liz Claiborne, Inc. 42,387 1,772
Lockheed Martin Corp. 119,257 11,747
Loews Corp. 70,471 7,479
- - Logan's Roadhouse, Inc. 23,132 359
- - Lone Star Steakhouse &
Saloon, Inc. 24,300 425
- - Lone Star Technologies, Inc. 11,700 332
Long Island Bancorp, Inc. 14,000 695
Long Island Lighting Co. 73,935 2,227
Longs Drug Stores, Inc. 23,490 755
Longview Fibre Co. 45,130 685
- - Loral Space & Communications 122,684 2,630
- - Loronix Information Systems 27,100 49
- - Louis Dreyfus Natural Gas Corp. 51,260 958
Louisiana-Pacific Corp. 66,964 1,272
Lowe's Cos., Inc. 106,337 5,071
Lubrizol Corp. 35,667 1,315
Luby's Cafeterias, Inc. 6,559 115
Lucent Technologies, Inc. 395,242 31,570
- - Lumisys, Inc. 45,000 214
- - Lycos, Inc. 21,101 873
- - Lydall, Inc. 28,000 546
- - Lynx Therapeutics Inc. 226 4
Lyondell Petrochemical Co. 48,846 1,294
- - M&F Worldwide Corp. 48,479 476
MAF Bancorp, Inc. 20,089 711
MBIA, Inc. 54,900 3,668
MBNA Corp. 307,051 8,386
MCI Communications Corp. 423,499 18,131
MCN Corp. 48,100 1,942
- - MEMC Electronic Materials, Inc. 24,300 371
MGIC Investment Corp. 69,930 4,650
M/A/R/C, Inc. 18,100 326
- - MGM Grand, Inc. 35,361 1,275
ML Bancorp Inc. 27,100 813
MMI Cos., Inc. 10,800 271
- - MRV Communications Inc. 20,686 494
- - MTL, Inc. 16,448 420
- - MTR Gaming Group Inc. 36,700 73
MTS Systems Corp. 17,590 660
MacDermid, Inc. 2,187 186
- - MacFrugal's Bargains Close
Outs, Inc. 15,100 621
The Macerich Co. REIT 28,800 821
Mack-Cali Realty Corp. 30,000 1,230
- - Macromedia 56,323 468
Madison Gas & Electric Co. 26,200 603
- - Mafco Consolidated Group Inc.
Rights Exp. 1/1/1999 29,279 10
- - Magellan Health Services, Inc. 27,500 591
Magna Group 20,113 920
- - Mail-Well, Inc. 29,850 1,209
Maine Public Service Co. 12,000 146
Mainstreet Bankgroup, Inc. 19,600 546
</TABLE>
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MARKET
VALUE*
TOTAL STOCK MARKET PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C> <C>
Mallinckrodt, Inc. 44,392 $ 1,687
Manor Care Inc. 38,891 1,361
Manpower Inc. 50,200 1,770
Manufactured Home
Communities, Inc. REIT 28,100 759
- - Mapics Inc. 40,100 436
- - Manugistics Group, Inc. 19,300 861
Mapco Inc. 32,900 1,522
- - Marcam Solutions, Inc. 23,650 171
- - Marine Drilling Co., Inc. 31,800 660
Marion Capital Holdings 4,600 125
Mark IV Industries, Inc. 39,389 862
- - Markel Corp. 4,400 687
- - Marquette Medical
Systems Inc. 18,204 485
Marsh & McLennan Cos., Inc. 103,104 7,688
Marshall & Ilsley Corp. 62,891 3,907
Marriott International 78,187 5,414
- - Marshall Industries 13,628 409
- - Martek Biosciences Corp. 38,600 318
Martin Marietta Materials, Inc. 28,126 1,028
- - Marvel Entertainment Group 53,774 27
Masco Corp. 100,853 5,131
MascoTech Inc. 27,815 511
- - Mastec Inc. 14,667 336
- - Material Sciences Corp. 35,850 437
- - Matria Healthcare, Inc. 66,900 376
Mattel, Inc. 177,984 6,630
- - Maxim Integrated Products, Inc. 79,200 2,732
- - Maxicare Health Plans Inc. 38,600 420
- - Maxxam Inc. 12,200 532
- - Maverick Tube Corp. 30,500 772
May Department Stores Co. 142,498 7,508
Maytag Corp. 59,888 2,235
McClatchy Newspapers, Inc. 23,075 627
McCormick & Co., Inc. 45,517 1,274
McDermott International, Inc. 34,307 1,256
- - J. Ray McDermott SA 24,800 1,066
McDonald's Corp. 422,719 20,185
The McGraw-Hill Cos., Inc. 60,670 4,490
McKesson Corp. 28,297 3,061
- - McLeod, Inc. 32,100 1,027
- - McMoRan Oil and Gas 264,053 850
- - McWorter Technologies Inc. 19,800 510
The Mead Corp. 63,940 1,790
- - Medaphis Corp. 49,416 321
- - Medar, Inc. 49,058 264
- - MedCath Inc. 27,800 420
- - Medco Research, Inc. 29,300 410
Medford Bancorp, Inc. 11,799 463
Media General, Inc. Class A 15,700 656
- - Medialink Worldwide, Inc. 22,500 304
- - Medical Alliance, Inc. 5,000 20
- - Medicis Pharmaceutical Corp. 13,575 694
- - MedImmune Inc. 14,000 600
Meditrust Corp. 64,356 2,357
- - MedPartners, Inc. 112,948 2,527
- - Medplus, Inc. 20,900 154
Medtronic, Inc. 287,300 15,029
- - Mego Mortgage Corp. 42,400 172
Mellon Bank Corp. 154,206 9,349
- - Men's Wearhouse, Inc. 13,950 485
Mentor Corp. 21,281 777
- - Mentor Graphics Corp. 59,400 575
Mercantile Bancorp, Inc. 80,074 4,925
Mercantile Bankshares Corp. 43,500 1,702
Mercantile Stores Co., Inc. 22,664 1,380
Merck & Co., Inc. 742,117 78,850
- - Mercury Finance Co. 75,977 47
Mercury General Corp. 33,400 1,845
- - Mercury Interactive Corp. 24,100 645
Meredith Corp. 32,000 1,142
Meridian Diagnostics, Inc. 41,429 419
- - Merisel, Inc. 94,400 413
- - Meridian Gold Co. 104,800 308
Meritor Automotive, Inc. 41,522 875
- - Merix Corp. 26,100 395
Merrill Corp. 27,200 632
Merrill Lynch & Co., Inc. 203,596 14,850
Merry Land & Investment Co.,
Inc. REIT 37,900 867
- - Mesa Air Group Inc. 74,800 369
Met-Pro Corp. 21,545 355
- - MetaCreations Corp. 39,325 437
Methode Electronics, Inc. Class A 6,251 102
- - Metra Biosystems, Inc. 57,800 210
- - Metro-Goldwyn-Mayer Inc. 45,000 900
- - Metrocall, Inc. 70,400 348
- - Metromail Corp. 30,500 545
- - Metromedia International
Group, Inc. 33,900 322
- - Metzler Group, Inc. 15,500 622
- - Fred Meyer Inc. 70,927 2,580
Michael Foods Group, Inc. 25,400 619
- - Michaels Stores, Inc. 17,400 509
- - Micrion Corp. 28,000 413
- - MICROS Systems, Inc. 11,400 513
- - Microsoft Corp. 734,544 94,940
Mid Am Inc. 21,304 549
- - Microchip Technology, Inc. 32,750 983
- - Micro Warehouse Inc. 38,800 541
- - Microfield Graphics, Inc. 13,700 53
- - Micrografx, Inc. 39,800 348
- - Micron Electronics, Inc. 57,400 524
- - Micron Technology, Inc. 129,927 3,378
- - MicroProse, Inc. 86,700 190
- - Microtouch Systems, Inc. 20,899 329
- - Microwave Systems Corp. 62,800 338
- - Microwave Power Devices, Inc. 49,900 349
Mid-America Realty Investments 36,400 369
- - Mid-American Waste
Systems, Inc. 60,300 2
MidAmerican Energy Co. 61,200 1,346
Mid Atlantic Realty Trust 30,950 455
- - Mid Atlantic Medical
Services, Inc. 29,800 380
Middlesex Water Co. 20,300 457
- - Midway Games Inc. 32,500 591
Millenium Chemicals, Inc. 46,182 1,088
- - Millenia, Inc. 2,675 8
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MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C> <C>
Herman Miller, Inc. 27,558 $ 1,504
- - Miller Industries, Inc. 61,600 662
Millipore Corp. 26,389 896
Mine Safety Appliances Co. 7,200 472
Minerals Technologies, Inc. 13,900 632
- - MiniMed, Inc. 16,200 630
Minnesota Mining &
Manufacturing Co. 255,279 20,949
Minnesota Power & Light Co. 20,200 880
- - Mirage Resorts, Inc. 109,600 2,493
- - Miravant Medical Technology 14,000 560
Mississippi Chemical Corp. 12,941 236
Mitchell Energy & Development
Corp. Class A 28,700 843
Mitchell Energy & Development
Corp. Class B 500 15
Mobil Corp. 482,908 34,860
- - Mobile Telecommunications
Technologies Corp. 41,800 920
- - MobileMedia Corp. 25,900 6
Modine Manufacturing Co. 17,362 592
- - Mohawk Industries, Inc. 31,700 695
- - Molecular Biosystems, Inc. 42,900 365
Molex, Inc. 94,987 3,051
- - Molten Metal Technology 78,600 7
The Money Store 35,359 743
Monsanto Co. 362,182 15,212
Montana Power Co. 33,800 1,075
J.P. Morgan & Co., Inc. 109,936 12,409
- - Morgan Products Ltd. 41,600 221
Morgan Stanley, Dean Witter,
Discover and Co. 360,701 21,326
Morrison Health Care Inc. 26,525 531
Morrison Restaurants Inc. 2,718 7
Morton International, Inc. 83,808 2,881
- - Mortons Restaurant Group 22,344 452
- - Mosaix Inc. 38,295 337
- - Mossimo, Inc. 32,200 115
Motorola, Inc. 365,792 20,873
Mueller (Paul) Co. 7,400 285
- - Mueller Industries Inc. 14,184 837
- - Multigraphics Inc. 17,600 52
Murphy Oil Corp. 27,200 1,474
- - Musicland Stores Corp. 96,100 703
- - Mycogen Corp. 17,700 332
Myers Industries, Inc. 31,880 544
Mylan Laboratories, Inc. 74,350 1,557
NAC Re Corp. 10,300 503
NCH Corp. 7,200 472
- - NCI Building Systems, Inc. 12,700 451
- - NCO Group, Inc. 22,300 574
- - NCR Corp. 62,632 1,742
- - NFO Worldwide, Inc. 30,478 638
NGC Corp. 92,000 1,610
NIPSCO Industries, Inc. 38,730 1,915
- - N L Industries, Inc. 44,400 605
- - NPC International Class A 36,400 441
- - NRG Generating U.S. Inc. 2,838 56
- - NS Group Inc. 31,800 545
- - NTL Inc. 19,500 544
NUI Corp. 12,500 359
NYMAGIC, Inc. 16,600 458
Nabisco Holdings Corp. Class A 31,700 1,535
- - Nabors Industries, Inc. 61,400 1,930
NACCO Industries, Inc. Class A 10,165 1,090
Nalco Chemical Co. 40,621 1,607
Nash-Finch Co. 23,100 439
- - Nashua Corp. 29,614 348
National Bankcorp of Alaska Inc. 5,800 734
- - National Auto Credit Inc. 51,632 274
- - National City Bancorporation 17,037 503
National City Corp. 131,886 8,672
National Community Bancorp 29,904 1,054
National Data Corp. 16,211 586
National Fuel Gas Co. 23,100 1,125
National Health Investors REIT 15,000 628
- - National Instruments Corp. 12,000 348
- - National Medical Financial
Services Corp. 51,800 10
- - National-Oilwell, Inc. 30,900 1,056
National Presto Industries, Inc. 12,937 512
- - National Processing, Inc. 61,600 608
- - National Semiconductor Corp. 98,868 2,564
National Service Industries, Inc. 27,793 1,377
- - National Steel Corp. Class B 41,200 476
NationsBank Corp. 438,482 26,665
Nationwide Financial
Services, Inc. 26,600 961
Nationwide Health
Properties, Inc. 25,400 648
- - Navigators Group, Inc. 16,400 308
- - Nautica Enterprises Inc. 22,749 529
- - Navistar International Corp. 43,617 1,082
- - Neiman Marcus Group Inc. 29,945 906
Thomas Nelson, Inc. 40,850 472
- - Neoprobe Corp. 58,600 352
- - Neostar Retail Group 33,300 1
- - Network Associates, Inc. 40,026 2,116
- - NETCOM On-Line Communication
Services, Inc. 34,300 823
- - NetManage, Inc. 99,800 281
- - Netscape Communications Corp. 38,375 935
- - Network Appliance, Inc. 24,400 866
- - Neurogen Corp. 21,020 284
Nevada Power Co. 29,348 780
New Century Energies, Inc. 63,845 3,061
New England Electric System 39,800 1,701
New Jersey Resources Corp. 4,600 184
- - New Mexico & Arizona Land Co. 21,968 321
New Plan Realty Trust REIT 36,050 919
New York Bancorp Inc. 20,580 817
New York State Electric &
Gas Corp. 41,000 1,456
New York Times Co. Class A 58,717 3,883
- - Newcare Health Corp. 252 1
Newell Co. 97,008 4,123
- - Newfield Exploration Co. 36,600 853
Newhall Land & Farming Co. 23,100 693
Newmont Gold Co. 109,632 3,268
</TABLE>
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<CAPTION>
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MARKET
VALUE*
TOTAL STOCK MARKET PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C> <C>
Newmont Mining Corp. 96,038 $ 2,821
- - Newpark Resources, Inc. 38,200 669
Newport News Shipbuilding Inc. 31,957 813
- - News Communications, Inc. 500 1
NewSouth Bancorp, Inc. 12,100 351
- - NextLevel Systems, Inc. 89,858 1,606
- - NEXTEL Communications, Inc. 174,692 4,542
- - NeXstar Pharmaceuticals Inc. 35,841 408
- - NEXTLINK Communications, Inc. 3,000 64
- - Niagara Mohawk Power Corp. 86,102 904
NICOR, Inc. 29,952 1,264
NIKE, Inc. Class B 176,932 6,945
- - Nine West Group, Inc. 21,200 550
Noble Affiliates, Inc. 34,164 1,204
- - Noble Drilling Corp. 80,300 2,459
- - Nord Resources Corp. 144,900 263
Nordson Corp. 9,300 427
Nordstrom, Inc. 47,125 2,845
Norfolk Southern Corp. 230,957 7,116
Norrell Corp. 25,200 501
- - Norstan, Inc. 20,800 494
- - Nortek, Inc. 18,200 483
- - North American Vaccine, Inc. 22,061 550
North Carolina Natural Gas Corp. 14,700 511
North Fork Bancorp, Inc. 42,630 1,431
Northeast Utilities 78,700 930
Northern States Power Co. 44,994 2,621
Northern Trust Corp. 68,500 4,778
Northrop Grumman Corp. 40,825 4,695
- - Northwest Airlines Corp. Class A 62,700 3,002
Northwest Natural Gas Co. 5,000 155
Northwest Savings Bank 55,200 780
Norwest Corp. 460,616 17,791
- - Nova Corp. (Georgia) 28,000 700
- - Nu Horizons Electronics Corp. 42,500 266
- - NovaCare, Inc. 35,688 466
- - Nu-Kote Holding, Inc. Class A 23,300 14
- - Novavax, Inc. 60,190 301
- - Novell, Inc. 213,732 1,603
- - Novellus Systems, Inc. 20,000 646
- - Noxso Corp. 36,200 10
Nucor Corp. 53,981 2,608
- - Nuevo Energy Co. 19,900 811
- - Numerex Corp. 45,700 286
OEA, Inc. 20,900 605
- - OAO Technology 3,419 32
OGE Energy Corp. 24,200 1,323
- - OHM Corp. 16,800 128
- - OIS Optical Imaging Systems, Inc. 95,300 116
- - Oak Technology, Inc. 59,100 384
- - Oakley, Inc. 52,200 473
Oakwood Homes Corp. 28,500 946
- - Object Design, Inc. 55,400 464
- - Objective Systems
Integrators, Inc. 54,800 459
- - ObjectShare, Inc. 22,600 14
Occidental Petroleum Corp. 202,536 5,937
- - Ocean Energy, Inc. 18,500 912
Ocean Financial Corp. 14,100 525
- - Oceaneering International, Inc. 27,490 543
- - Ocwen Financial Corp. 36,100 918
- - Office Depot, Inc. 96,225 2,303
- - OfficeMax, Inc. 74,050 1,055
Ogden Corp. 29,945 844
Ohio Casualty Corp. 18,544 828
Oil-Dri Corp. of America 23,275 384
- - Old Dominion Freight Line, Inc. 24,315 371
Old Kent Financial Corp. 52,934 2,098
Old National Bancorp 13,523 654
Old Republic International Corp. 53,200 1,978
Olin Corp. 31,000 1,453
Olsten Corp. 49,125 737
Omnicare, Inc. 48,700 1,510
Omnicom Group Inc. 99,800 4,229
Omega Healthcare Investors,
Inc. REIT 12,500 483
Omega Financial Corp. 14,912 500
- - Omnipoint Corp. 30,200 702
- - On Assignment, Inc. 18,800 498
Onbancorp Inc. 6,100 430
- - ONCOR Inc. 92,131 426
One Valley Bancorp of
West Virginia Inc. 49,250 1,908
- - Oneita Industries 39,530 10
ONEOK, Inc. 18,906 763
- - ONSALE, Inc. 30,800 554
- - Open Market, Inc. 51,600 497
- - Optical Cable Corp. 48,800 400
Optical Coating Laboratory, Inc. 32,181 442
- - Oracle Corp. 599,775 13,382
Orange-Co, Inc. 48,000 387
- - OraVax, Inc. 26,900 47
- - Orbital Sciences Corp. 18,000 536
- - Oregon Metallurgical Corp. 23,725 792
- - Organogenesis, Inc. 29,687 783
Oregon Steel Mills, Inc. 30,200 644
Orion Capital Corp. 16,900 785
- - Ortel Corp. 25,800 406
- - Orthodontic Centers of
America, Inc. 23,600 392
- - Oryx Energy Co. 63,729 1,625
Otter Tail Power Co. 5,502 208
- - Outback Steakhouse 28,600 822
- - Outdoor Systems, Inc. 48,935 1,878
Overseas Shipholding Group Inc. 23,000 502
Owens & Minor, Inc. Holding Co. 33,950 492
Owens Corning 32,781 1,119
- - Owens-Illinois, Inc. 86,028 3,264
- - Oxford Health Plan 47,600 741
Oxford Industries, Inc. 15,900 517
- - Oxigene, Inc. 20,339 356
PCA International, Inc. 17,895 376
- - P-Com, Inc. 23,900 412
PECO Energy Corp. 137,374 3,331
PG&E Corp. 268,651 8,177
- - PFF Bancorp, Inc. 29,800 592
- - PHP Healthcare Corp. 29,000 437
- - PICO Holdings Inc. 70,602 455
- - PMC Sierra Inc. 27,046 838
The PMI Group Inc. 20,300 1,468
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MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C> <C>
- - PMT Services Inc. 28,635 $ 397
PNC Bank Corp. 188,690 10,767
PP&L Resources Inc. 101,649 2,433
PPG Industries, Inc. 110,194 6,295
- - PRI Automation, Inc. 21,100 609
PXRE Corp. 8,988 298
PACCAR, Inc. 47,112 2,473
Pacific Century Financial Corp. 48,600 1,203
Pacific Enterprises 51,357 1,932
- - Pacificare Health Systems Inc.
Class A 5,574 280
- - Pacificare Health Systems Inc.
Class B 14,862 778
PacifiCorp 181,423 4,955
- - Paging Network, Inc. 61,900 665
PaineWebber Group, Inc. 84,050 2,905
- - Pairgain Technologies, Inc. 41,000 794
Pall Corp. 78,458 1,623
- - PanAmSat Corp. 6,930 299
- - Papa John's International, Inc. 17,000 593
- - Paragon Health Network, Inc. 39,047 764
- - Paradigm Technology, Inc. 18,800 6
- - Parametric Technology Corp. 77,700 3,681
Park National Corp. 500 44
- - Park-Ohio Industries, Inc. 24,300 443
- - Parker Drilling Co. 47,500 579
Parker Hannifin Corp. 68,418 3,139
- - ParkerVision, Inc. 24,600 446
Parkway Properties Inc. 16,250 558
- - PathoGenesis Corp. 17,400 646
Patriot American Hospitality,
Inc. REIT 40,499 1,167
- - Patterson Dental Co. 2,700 122
Paychex, Inc. 66,443 3,364
- - Payless ShoeSource, Inc. 22,944 1,540
- - Paymentech, Inc. 43,233 638
- - PEC Israel Economic Corp. 27,500 595
- - Pediatrix Medical Group, Inc. 1,700 73
- - Pegasystems Inc. 35,200 711
Penford Corp. 16,491 577
- - The Penn Traffic Co. 44,700 369
Penn Virginia Corp. 13,400 395
Penncorp Financial Group Inc. 27,600 985
J.C. Penney Co., Inc. 152,487 9,197
Pennsylvania Enterprises Inc. 19,434 491
Pentair, Inc. 22,900 823
Pennzoil Co. 28,814 1,925
Peoples Bank of Bridgeport 37,050 1,408
Peoples Energy Corp. 21,713 855
Peoples First 12,935 503
Peoples Heritage Financial
Group Inc. 19,141 880
- - PeopleSoft, Inc. 134,800 5,257
Pep Boys (Manny, Moe & Jack) 37,673 899
PepsiCo, Inc. 940,372 34,265
- - Perclose, Inc. 21,700 418
- - Performance Food Group Co. 20,050 476
Perkin-Elmer Corp. 26,901 1,912
- - Perrigo Co. 45,800 613
- - PerSeptive Biosystems, Inc. 9,500 120
- - Personnel Group of America, Inc. 19,102 630
- - Pete's Brewing Co. 31,700 129
- - Petrocorp, Inc. 40,978 338
Petroleum Heat & Power Co. 108,900 252
- - PETsMART, Inc. 66,352 481
Pfizer, Inc. 794,198 59,217
- - Pharmaceutical Markets 41,200 422
- - Pharmaceutical Product
Development, Inc. 35,670 548
- - PharMerica, Inc. 54,408 564
- - Pharmacopeia, Inc. 24,600 394
Phelps Dodge Corp. 36,853 2,294
- - Philadelphia Consolidated
Holding Corp. 24,200 430
Philip Morris Cos., Inc. 1,492,113 67,611
- - Philip Services Corp. 35,987 517
Phillips Petroleum Co. 162,003 7,877
Phillips-Van Heusen Corp. 39,700 566
- - Phoenix Network, Inc. 11,200 4
- - Physicians' Specialty Corp. 27,500 285
- - Phoenix International Ltd., Inc. 19,800 292
- - Photronics Labs Inc. 29,804 723
- - PhyCor, Inc. 38,500 1,040
- - Physician Reliance Network, Inc. 57,800 603
- - Physician Sales & Service, Inc. 22,600 486
- - Physio-Control International Corp. 15,600 248
- - PictureTel Corp. 14,600 95
Piedmont Natural Gas, Inc. 20,000 719
Pier 1 Imports Inc. 41,000 928
- - Pilgrim America Cap Corp. 20,200 412
Pinnacle Bancorp Group Inc. 18,550 538
- - Pinnacle Micro Inc. 22,600 4
Pinnacle West Capital Corp. 52,000 2,204
Pioneer Group, Inc. 25,700 723
Pioneer Hi-Bred International, Inc. 12,856 1,379
Pioneer Natural Resources Co. 45,100 1,305
Pioneer Standard Electronics Inc. 26,400 403
Piper Jaffray Cos., Inc. 23,900 871
Pitney Bowes, Inc. 88,485 7,958
Pitt Des Moines, Inc. 6,800 250
Pittsburgh & West Virginia
Railroad 3,000 23
Pittston Brink's Group 25,400 1,022
Pittston Burlington Group 24,250 637
Pittway Corp. Class A 12,834 894
- - Pixar, Inc. 25,400 549
- - PJ America Inc. 27,500 413
- - Plains Resources 30,383 522
- - Planet Hollywood International,
Inc. Class A 58,200 771
- - Plantronics, Inc. 20,800 832
- - Platinum Software Co. 56,200 660
- - PLATINUM technology, Inc. 37,600 1,062
- - Playboy Enterprises Inc. Class B 27,500 431
- - Playtex Products, Inc. 44,000 451
Plenum Publishing Corp. 9,000 416
- - Pluma, Inc. 16,000 137
Poe & Brown, Inc. 14,100 629
Pogo Producing Co. 19,500 575
</TABLE>
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MARKET
VALUE*
TOTAL STOCK MARKET PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C> <C>
Polaris Industries, Inc. 14,100 $ 431
Polaroid Corp. 27,858 1,356
- - Policy Management
Systems Corp. 10,670 742
- - Polo Ralph Lauren Corp. 20,200 491
Popular, Inc. 41,578 2,058
Post Properties, Inc. REIT 19,400 788
Potash Corp. of
Saskatchewan, Inc. 3,170 263
Potlatch Corp. 17,896 770
Potomac Electric Power Co. 71,500 1,846
Poughkeepsie Financial Corp. 47,400 551
- - PowerCerv Corp. 4,600 10
- - Powertel Inc. 25,200 422
Praxair, Inc. 96,833 4,357
Precision Castparts Corp. 14,650 884
- - Precision Response Corp. 44,100 449
Premark International, Inc. 38,167 1,107
Premier Farnell PLC ADR 9,318 125
Premier Farnell PLC
$1.35 Cvt. Pfd. ADR 7,507 145
- - Premisys Communications, Inc. 22,200 580
- - Premiere Technologies, Inc. 18,400 508
- - Presstek, Inc. 19,700 507
T. Rowe Price 35,000 2,201
Price REIT, Inc. REIT 16,200 663
- - Primadonna Resorts, Inc. 19,462 325
Prime Retail, Inc. REIT 39,500 560
- - PRIMEDIA Inc. 77,700 981
- - Prime Energy Corp. 3,000 27
Primex Technologies, Inc. 13,180 445
- - Primark Corp. 9,369 381
Prime Bancorp Inc. 12,830 478
- - Prime Hospitality Corp. 15,400 314
- - Pride International Inc. 28,300 715
Procter & Gamble Co. 831,908 66,397
- - Proffitt's, Inc. 37,000 1,052
- - Progress Software Corp. 16,900 365
Progressive Corp. of Ohio 44,100 5,286
- - Project Software &
Development, Inc. 16,700 392
- - Promus Hotel Corp. 53,230 2,236
Protective Life Corp. 18,500 1,105
- - Protein Design Labs 11,000 440
- - Proteon Inc. 36,100 42
- - Protocol Systems, Inc. 38,500 387
- - Provident American Corp. 33,800 80
Provident Cos., Inc. 82,646 3,192
Provident Financial Group, Inc. 30,350 1,472
Providian Financial Corp. 57,799 2,612
- - Proxim, Inc. 26,600 301
- - Proxymed Pharmacy, Inc. 45,750 323
- - PSINet, Inc. 63,500 325
Public Service Co. of New Mexico 20,480 485
Public Service Co. of
North Carolina, Inc. 17,100 391
Public Service Enterprise
Group, Inc. 141,825 4,494
Public Storage Properties XI
Class A 800 18
Public Storage, Inc. REIT 63,600 1,868
Puerto Rican Cement Co., Inc. 11,400 572
Puget Sound Energy Inc. 51,263 1,548
Pulitzer Publishing Co. 13,666 858
Pulte Corp. 17,008 711
- - QLogic Corp. 24,327 718
Quaker Chemical Corp. 22,500 426
- - Quaker City Bancorp, Inc. 19,018 416
The Quaker Oats Co. 84,110 4,437
- - QUALCOMM, Inc. 41,700 2,106
- - Quality Food Centers Inc. 13,068 876
- - Quality Systems, Inc. 16,300 118
- - Quantum Corp. 80,800 1,621
Queens County Bancorp, Inc. 3,900 158
- - Quest Diagnostics, Inc. 37,556 634
Questar Corp. 24,585 1,097
Quick & Reilly Group, Inc. 23,631 1,016
- - QuickResponse Services, Inc. 11,500 426
- - Quiksilver, Inc. 10,000 286
- - Quickturn Design Systems, Inc. 41,900 492
- - Quintel Entertainment, Inc. 65,800 358
- - Quintiles Transnational Corp. 44,500 1,702
- - Quorum Health Group, Inc. 45,700 1,194
- - Qwest Communications
International Inc. 63,300 3,766
- - RCN Corp. 15,300 524
RFS Hotel Investors, Inc. REIT 30,900 616
R.L.I. Corp. 9,700 483
RJR Nabisco Holdings Corp. 199,419 7,478
RPM Inc. (Ohio) 58,062 885
- - RWD Technologies, Inc. 25,500 459
- - Racotek, Inc. 23,800 36
- - RailTex, Inc. 27,606 395
- - Rainbow Technologies, Inc. 20,400 592
- - Rainforest Cafe, Inc. 17,650 582
- - Rambus Inc. 13,800 631
- - Ralcorp Holdings, Inc. 30,257 512
Ralston-Ralston Purina Group 65,535 6,091
- - Ramtron International Corp. 73,500 409
- - Rare Hospitality International Inc. 41,000 369
- - Raster Graphics, Inc. 43,400 201
- - Rational Software Corp. 49,163 559
Raychem Corp. 52,930 2,279
Raymond James Financial, Inc. 25,275 1,003
Rayonier Inc. 17,275 735
Raytheon Co. Class A 62,772 3,095
Raytheon Co. Class B 143,122 7,228
- - Read Rite Corp. 28,031 441
Reader's Digest Assn., Inc.
Class A 62,900 1,486
Reader's Digest Assn., Inc.
Class B 1,500 37
- - Reading & Bates Corp. 44,195 1,851
Realty Income Corp. REIT 28,200 717
Reckson Associates Realty
Corp. REIT 20,400 518
- - Recovery Engineering, Inc. 20,400 500
- - Redhook Ale Brewery, Inc. 17,000 89
Redwood Trust, Inc. 22,400 456
- - Reebok International Ltd. 34,108 983
Regal-Beloit Corp. 16,300 482
</TABLE>
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MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C> <C>
- - Regal Cinemas, Inc. 21,200 $ 591
Regis Corp. 34,794 874
Regions Financial Corp. 83,820 3,536
- - The Registry, Inc. 12,900 592
Reinsurance Group of
America, Inc. 15,550 662
Reliable Life Insurance Co.
Class A 3,000 341
Reliance Acceptance Group Inc. 62,100 19
Reliance Bancorp, Inc. 15,400 564
Reliance Group Holdings 69,586 983
Reliastar Financial Corp. 55,992 2,306
- - Remedy Corp. 17,400 365
- - Renal Treatment Centers, Inc. 21,400 773
- - Republic Industries, Inc. 262,058 6,109
Republic New York Corp. 33,431 3,817
- - ReSound Corp. 71,800 395
- - Retirement Care Associates, Inc. 49,300 419
- - Retix 79,809 374
- - Revlon, Inc. Class A 11,300 399
- - Rexall Sundown, Inc. 39,806 1,202
Reynolds & Reynolds Class A 47,600 878
Reynolds Metals Co. 44,874 2,692
Richfood Holdings, Inc. 28,750 812
Riggs National Corp. 27,800 747
- - Right Management Consultants 25,300 323
- - Rightchoice Managed Care, Inc. 14,800 142
- - Rio Hotel and Casino, Inc. 27,700 582
Rite Aid Corp. 75,723 4,444
Roadway Express Inc. 11,958 265
- - Robert Half International, Inc. 55,900 2,236
Rochester Gas and Electric Corp. 23,652 804
- - Rochester Medical Corp. 17,950 242
Rockwell International Corp. 127,667 6,671
- - Rocky Mountain Chocolate
Factory, Inc. 15,400 85
- - Rogers Corp. 13,000 531
Rohm & Haas Co. 37,758 3,615
Rohn Industries Inc. 73,500 379
Rollins, Inc. 13,550 275
Rollins Truck Leasing 14,600 261
Roper Industries Inc. 17,828 504
Roslyn Bancorp, Inc. 25,500 593
Ross Stores, Inc. 29,612 1,077
- - Ross Technology, Inc. 118,600 119
Rouge Industries Inc. 16,300 198
Rouse Co. 39,900 1,307
- - Rowan Cos., Inc. 53,072 1,619
- - Royal Appliance
Manufacturing Co. 71,186 472
Royal Caribbean Cruises, Ltd. 38,900 2,074
- - Royal Precision Inc. 5,800 39
Rubbermaid, Inc. 92,267 2,307
- - Ruby Tuesday, Inc. 22,837 588
Ruddick Corp. 31,700 553
Russell Corp. 22,150 588
- - Rutherford-Moran Oil Corp. 32,400 579
- - Ryan's Family Steak Houses, Inc. 46,115 395
Ryder System, Inc. 47,966 1,571
- - S&K Famous Brands Inc. 6,200 82
SBC Communications Inc. 561,575 41,135
- - SCI Systems, Inc. 36,016 1,569
- - SDL, Inc. 19,650 285
SEI Corp. 20,700 869
SJW Corp. 7,500 454
SLM Holding Corp. 35,497 4,939
- - SMC Corp. 21,200 175
- - SPS Technologies, Inc. 12,952 565
- - SPS Transaction Services 32,800 740
SPX Corp. 9,800 676
- - S3, Inc. 81,700 409
- - Sabratek Corp. 15,700 451
SAFECO Corp. 85,035 4,145
- - Safeguard Health Enterprises, Inc. 16,035 216
- - Safeguard Scientifics, Inc. 18,494 580
- - Safeskin Corp. 22,700 1,288
Safety-Kleen Corp. 35,509 974
- - Safeway, Inc. 143,864 9,099
St. Francis Capital Corp. 11,700 591
St. Joe Corp. 18,600 1,683
St. John Knits, Inc. 8,900 356
- - St. Jude Medical, Inc. 56,359 1,719
St. Mary Land & Exploration Co. 18,728 655
St. Paul Bancorp, Inc. 34,656 910
St. Paul Cos., Inc. 51,382 4,217
- - Saks Holdings, Inc. 38,500 796
Salient 3 Communications Class A 29,600 366
- - Samsonite Corp. 12,100 383
- - Sanchez Computer
Associates, Inc. 31,060 905
- - SanDisk Corp. 32,100 652
- - Sanmina Corp. 12,500 847
- - Santa Fe Energy Resources, Inc. 62,062 698
Santa Fe International Corp. 10,700 435
Santa Monica Bank 19,400 540
Sara Lee Corp. 295,097 16,618
- - Satcon Technology Corp. 32,993 433
- - Sawtek Inc. 11,900 314
Sbarro, Inc. 18,709 492
SCANA Corp. 64,600 1,934
- - Henry Schein, Inc. 30,679 1,074
- - R. P. Scherer Corp. 14,674 895
Schering-Plough Corp. 450,162 27,966
Schlumberger Ltd. 304,208 24,489
Schnitzer Steel Industries, Inc.
Class A 5,500 154
- - Scholastic Corp. 16,900 634
- - Schuler Homes Inc. 59,600 384
A. Schulman Inc. 20,293 510
Charles Schwab Corp. 161,804 6,786
Schweitzer-Mauduit
International, Inc. 19,337 720
- - Sciclone Pharmaceuticals 80,100 275
Scientific-Atlanta, Inc. 47,692 799
- - Scientific Games Holdings Corp. 10,500 213
- - Scios, Inc. 45,700 457
- - Scopus Technology, Inc. 29,900 359
- - Scotts Co. 21,400 647
E.W. Scripps Co. Class A 49,476 2,396
</TABLE>
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<CAPTION>
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MARKET
VALUE*
TOTAL STOCK MARKET PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C> <C>
Seacoast Banking Corp. of Florida
Class A 12,900 $ 497
- - Seagate Technology 149,802 2,884
- - SEACOR SMIT Inc. 8,200 494
- - Seagull Energy Corp. 38,656 797
- - Sealed Air Corp. 26,200 1,618
- - Sealright Co. 31,800 394
Sears, Roebuck & Co. 240,587 10,887
- - Seattle FilmWorks, Inc. 43,900 488
- - Secure Computing Corp. 38,700 457
Security Capital Atlantic, Inc. REIT 28,975 612
Security Capital Industrial
Trust REIT 65,517 1,630
- - Security Capital Group Inc.
Warrants Exp. 9/18/1998 6,953 37
- - Security Capital Group Inc.
Class B 13,500 439
Security Capital Pacific, Inc. REIT 55,793 1,353
- - Security Dynamics
Technologies, Inc. 23,100 826
- - Security First Network Bank 35,564 258
Sensormatic Electronics Corp. 45,338 745
- - Sepracor Inc. 16,300 653
- - Sequa Corp. Class A 12,344 803
- - Sequana Therapeutics, Inc. 32,900 362
- - Sequent Computer Systems, Inc. 28,100 562
- - SEQUUS Pharmaceuticals, Inc. 32,200 239
Service Corp. International 154,556 5,709
- - Service Merchandise Co., Inc. 137,950 293
Shared Medical Systems Corp. 30,563 2,017
Shaw Industries, Inc. 80,500 936
Sherwin-Williams Co. 106,160 2,946
- - Shiva Corp. 41,400 354
- - Shoe Carnival, Inc. 43,400 353
- - Shopko Stores, Inc. 23,445 510
- - Shoney's Inc. 106,806 340
- - Shorewood Packaging Corp. 16,900 452
- - ShowBiz Pizza Time, Inc. 20,100 462
Showboat, Inc. 24,784 728
- - Shuffle Master, Inc. 47,817 335
Shurgard Storage Centers, Inc.
Class A REIT 12,800 371
- - Siebel Systems, Inc. 21,241 888
Sierra Pacific Resources 18,800 705
Sigma-Aldrich Corp. 60,954 2,423
- - Signal Technology Corp. 41,653 213
- - Signature Resorts, Inc. 21,450 469
SIG Corp. 12,600 370
- - Silicon Gaming, Inc. 31,800 332
- - Silicon Graphics, Inc. 107,138 1,333
- - Silicon Valley Bancshares 12,300 692
- - Silicon Valley Group, Inc. 18,400 416
- - Silicon Valley Research, Inc. 12,100 8
Simmons First National 13,050 563
Simon DeBartolo Group, Inc. REIT 60,972 1,993
- - Sirco International Corp. 74,600 187
- - SITEL Corp. 76,400 697
Sirrom Capital Corp. 17,100 891
Sizzlers Property Investors, Inc. 39,000 410
- - Sizzler International 129,725 349
Skaneateles Bancorp, Inc. 22,200 473
- - SMART Modular
Technologies, Inc. 24,200 557
A.O. Smith Corp. 16,400 693
- - Smith International, Inc. 24,400 1,498
- - Smithfield Foods, Inc. 22,800 752
J.M. Smucker Co. Class A 23,700 560
J.M. Smucker Co. Class B 2,500 58
- - Snyder Communications, Inc. 31,949 1,166
Snap-On Inc. 37,818 1,650
- - Software Spectrum, Inc. 16,100 191
- - Software Publishing Corp.
Holdings, Inc. 6,352 5
- - Sofamor Danek Group, Inc. 15,200 989
- - Sola International, Inc. 11,300 367
- - Solectron Corp. 69,600 2,893
Solutia, Inc. 71,396 1,905
- - Solv-Ex Corp. 32,466 24
Sonat, Inc. 52,860 2,418
- - Sonic Corp. 20,150 567
Sonoco Products 58,760 2,038
Sotheby's Holdings Class A 32,800 607
Southdown, Inc. 14,900 879
Southern California Water Co. 20,300 510
Southern Co. 421,823 10,915
Southern New England
Telecommunications Corp. 40,900 2,058
- - Southern Union Co. 25,799 616
- - Southland Corp. 231,800 493
SouthTrust Corp. 60,589 3,844
Southwest Airlines Co. 134,234 3,306
Southwest Bancshares, Inc. 16,474 490
Southwest Gas Corp. 28,100 525
Southwestern Energy Co. 44,400 572
Sovereign Bancorp, Inc. 64,211 1,332
Sovran Self Storage, Inc. REIT 19,300 626
- - SpaceLabs Medical, Inc. 21,439 407
- - Spacetec IMC Corp. 17,900 54
- - Spaghetti Warehouse, Inc. 4,400 25
Spartan Motors, Inc. 40,400 250
- - Specialty Chemical
Resources, Inc. 29,400 31
- - SpecTran Corp. 33,500 322
- - Spectranetics Corp. 80,700 250
- - Speedfam International, Inc. 22,200 588
- - Speedway Motorsports, Inc. 24,700 613
- - Spelling Entertainment 66,700 467
- - Spiegel, Inc. Class A 47,100 233
Spieker Properties, Inc. REIT 33,400 1,432
- - The Sports Authority, Inc. 17,400 257
Springs Industries Inc. Class A 12,265 638
Sprint Corp. 265,146 15,544
- - Spyglass, Inc. 51,500 254
- - Stac, Inc. 55,130 255
- - Stage Stores, Inc. 16,200 605
- - Standard Commercial
Tobacco Co. 32,371 536
- - Standard Microsystem 39,300 341
Standard Motor Products, Inc. 22,400 505
Standard Products Co. 23,600 605
The Standard Register Co. 16,713 581
</TABLE>
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MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C> <C>
Stanhome, Inc. 22,000 $ 565
The Stanley Works 54,862 2,589
- - Staples, Inc. 99,177 2,752
Star Banc Corp. 52,688 3,023
- - Starbucks Corp. 48,400 1,857
L. S. Starrett Co. Class A 11,800 431
- - Starter Corp. 73,800 226
State Auto Financial Corp. 15,150 489
Starwood Lodging Trust REIT 32,550 1,884
State Street Corp. 98,684 5,742
- - Station Casinos, Inc. 22,500 229
- - Steel Dynamics, Inc. 28,900 462
- - Stein Mart, Inc. 25,350 678
Stepan Co. 14,500 430
Stephan Co. 17,650 235
- - STERIS Corp. 20,749 1,001
- - Sterling Commerce, Inc. 54,685 2,102
- - Sterling Software, Inc. 23,100 947
Stewart & Stevenson
Services, Inc. 17,818 454
Stewart Enterprises, Inc. Class A 29,100 1,357
- - Stone Container Corp. 61,013 637
- - Stone Energy Corp. 20,700 693
Storage USA, Inc. REIT 16,600 663
Storage Trust Realty REIT 23,800 626
- - Storage Technology Corp. 36,855 2,283
- - Strategic Distribution, Inc. 84,078 378
- - Stratosphere Corp. 75,400 5
- - Strattec Strategy Corp. 18,605 474
- - Stratus Computer, Inc. 15,700 594
Stride Rite Corp. 41,726 501
- - Structural Dynamics
Research Corp. 17,800 401
Stryker Corp. 59,200 2,205
Student Loan Corp. 18,600 918
- - Styling Technology Corp. 9,000 146
- - Submicron Systems Corp. 48,900 110
- - Suiza Foods Corp. 3,000 179
Sumitomo Bank of California 16,800 918
- - Summit Care Corp. 26,900 440
Summit Bancorp. 107,765 5,738
- - Summit Technology, Inc. 69,000 313
- - Sun Coast Industries, Inc. 6,300 37
Sun Communities, Inc. REIT 19,900 715
Sun Co., Inc. 44,514 1,872
- - Sun Microsystems, Inc. 225,804 9,004
- - Sunbelt Nursery Group, Inc. 3,500 3
SunAmerica Inc. 119,300 5,100
- - Sun Healthcare Group, Inc. 30,700 595
- - Sunburst Hospitality Corp. 11,213 111
Sunbeam Corp. 51,900 2,186
Sundstrand Corp. 36,800 1,854
- - SunGard Data Systems, Inc. 52,800 1,637
- - Sunglass Hut International, Inc. 72,626 458
- - Sunrise Medical, Inc. 34,600 534
SunTrust Banks, Inc. 131,039 9,353
- - SuperGen, Inc. 29,400 441
Superior Industries
International, Inc. 11,550 310
Superior Surgical Manufacturing
Co., Inc. 24,300 389
SuperValu Inc. 36,549 1,530
- - Supreme International Corp. 26,000 325
Susquehanna Bancshares, Inc. 19,650 752
- - Swift Energy Co. 25,000 527
- - Swift Transportation Co., Inc. 16,700 541
- - Swing-n-Slide Corp. 31,911 128
- - Sybase, Inc. 46,620 621
- - Sybron International Corp. 29,396 1,380
- - Sykes Enterprises, Inc. 25,200 491
- - Sylvan Learning Systems, Inc. 16,200 632
- - Symantec Corp. 32,988 724
Symbol Technologies, Inc. 23,850 900
- - Symmetricom Inc. 36,400 423
- - Syms Corp. 36,600 435
- - Synagro Technologies Inc. 8,046 21
Synalloy Corp. 12,000 177
- - Syncor International Corp. 28,300 456
- - Synopsys, Inc. 48,786 1,744
- - Synetic, Inc. 7,900 288
Synovus Financial Corp. 106,975 3,503
Sysco Corp. 106,654 4,859
- - System Software
Associates, Inc. 39,200 343
- - TBC Corp. 38,450 368
TCA Cable Television, Inc. 15,800 727
TCF Financial Corp. 63,662 2,161
- - TCI Satellite Entertainment, Inc.
Class A 57,955 398
- - TCI Satellite Entertainment, Inc.
Class B 420 3
- - TCI Music, Inc. Class A 32,925 251
- - TCSI Corp. 68,721 550
TECO Energy, Inc. 79,600 2,239
TIG Holdings, Inc. 31,500 1,045
TJX Cos., Inc. 100,368 3,450
TNP Enterprises, Inc. 21,200 705
- - TRO Learning, Inc. 22,400 115
TRW, Inc. 75,606 4,035
- - TST Impreso, Inc. 32,800 262
Talbots Inc. 17,200 312
Tandy Corp. 64,396 2,483
Tanger Factory Outlet
Centers, Inc. 16,111 492
Taubman Co. REIT 63,600 827
- - Tech Data Corp. 29,322 1,140
Tech/Ops Sevcon, Inc. 5,000 63
- - Tech-Sym Corp. 16,302 415
- - Techne 29,400 515
- - Technical Chemicals and
Products, Inc. 35,200 400
- - Technology Solutions Co. 22,917 604
Tecumseh Products Co. Class A 11,700 570
- - Telco Systems, Inc. 39,600 384
- - Tejas Gas Corp. 12,470 764
- - Tekelec 15,100 461
Tektronix, Inc. 30,080 1,194
- - Tel-Save Holdings, Inc. 39,500 785
- - Tele-Communications
International, Inc. Series A 67,100 1,208
- - Tele-Communications, Inc.
Class A 309,905 8,658
</TABLE>
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<CAPTION>
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MARKET
VALUE*
TOTAL STOCK MARKET PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C> <C>
- - Tele-Communications, Inc.
Class B 143 $ 4
- - Tele-Communications TCI
Ventures Group Series A 129,865 3,677
- - Tele-Communications TCI
Ventures Group Series B 4,057 116
Teleflex Inc. 22,226 839
Telephone & Data Systems, Inc. 35,900 1,672
- - Teleport Communications
Group Inc. 16,500 905
- - Tellabs, Inc. 110,388 5,837
- - Telxon Corp. 22,700 542
- - Telular Corp. 125,300 305
Temple-Inland Inc. 34,626 1,811
- - Teletech Holdings Inc. 31,700 361
- - Tenet Healthcare Corp. 185,145 6,133
Tenneco, Inc. 104,235 4,117
- - Teradyne, Inc. 51,029 1,633
Terra Industries, Inc. 44,150 577
Texaco Inc. 342,540 18,626
Texas Industries, Inc. 22,000 990
Texas Instruments, Inc. 235,602 10,602
Texas Regional Bancshares, Inc. 20,250 618
Texas Utilities Co. 147,027 6,111
Textron, Inc. 101,412 6,338
- - Theragenics Corp. 31,342 1,128
- - Thermedics Detection Inc. 40,295 413
- - Thermo Cardiosystems Inc. 22,850 611
- - Thermo Electron Corp. 92,362 4,110
- - Thermo Ecotek Corp. 21,650 395
- - Thermo Fibertek, Inc. 66,725 813
- - Thermo Instrument Systems, Inc. 74,872 2,578
Thermo Remediation, Inc. 37,700 233
- - Thermo TerraTech, Inc. 54,400 442
- - Thermo VolTek 30,950 162
- - ThermoLase Corp. 42,900 450
- - ThermoQuest Corp. 4,000 73
- - Thermotrex Corp. 26,800 593
- - Thermedics, Inc. 15,950 261
Thiokol Corp. 11,100 902
Thomas & Betts Corp. 33,927 1,603
Thor Industries, Inc. 14,000 480
Thornburg Mortgage Asset Corp. 29,400 485
- - 3Com Corp. 211,009 7,372
- - 360 Communications Co. 74,349 1,501
Tidewater, Inc. 36,700 2,023
Tiffany & Co. 20,968 756
Timberline Software Corp. 62,290 767
Time Warner, Inc. 343,953 21,325
The Times Mirror Co. 20,009 508
The Times Mirror Co. Class A 58,716 3,611
The Timken Co. 38,090 1,309
- - Titan Exploration, Inc. 31,122 296
Titan International, Inc. 26,250 527
- - Titanium Metals Corp. 19,000 549
Toastmaster, Inc. 10,300 43
- - Today's Man Inc. 38,300 120
- - Todd Shipyards Corp. 48,747 204
- - Todhunter International, Inc. 19,300 200
- - Toll Brothers, Inc. 28,700 768
Tootsie Roll Industries, Inc. 11,245 703
- - The Topps Co., Inc. 128,897 286
Torch Energy Royalty Trust 34,700 219
Torchmark Corp. 84,396 3,550
The Toro Co. 15,700 669
Tosco Corp. 95,958 3,628
- - Total Control Products, Inc. 32,300 396
- - Total Renal Care Holdings, Inc. 26,800 737
- - Total-Tel USA
Communications, Inc. 11,240 332
- - Tower Automotive, Inc. 14,300 601
Total System Services, Inc. 79,224 1,961
Town & Country Trust REIT 28,300 501
- - Toy Biz 54,000 419
- - Toys R Us, Inc. 174,501 5,486
- - Tractor Supply Co. 21,600 319
- - Trak Auto Corp. 17,500 197
- - Trans World Airlines 76,597 776
- - Transaction Systems
Architects, Inc. 15,800 600
Transamerica Corp. 38,807 4,133
Transatlantic Holdings, Inc. 21,300 1,523
Transocean Offshore, Inc. 62,400 3,007
TransPro Inc. 25,725 232
- - TransTexas Gas Corp. 38,700 573
Travelers Property Casualty Corp. 49,900 2,196
- - Transworld Healthcare Inc. 36,826 258
Travelers Group Inc. 702,959 37,872
Tredegar Industries Inc. 8,800 580
- - Tremont Corp. 10,246 535
Trenwick Group Inc. 8,400 316
- - Triangle Pacific Corp. 15,800 535
- - Triad Guaranty, Inc. 20,700 600
- - Triarc Cos., Inc. Class A 13,400 365
- - Tricon Global Restaurants, Inc. 94,087 2,734
Tribune Co. 75,394 4,693
- - Trigon Healthcare, Inc. 26,200 684
TriMas Corp. 25,000 859
- - Trimble Navigation Ltd. 29,900 652
Trinity Industries, Inc. 26,450 1,180
- - TriQuint Semiconductor, Inc. 22,100 448
True North Communications 30,200 747
- - Trump Hotels & Casino
Resorts, Inc. 23,800 159
The Trust Co. of New Jersey 29,100 728
Trustco Bank 27,613 752
Trustmark Corp. 19,900 920
- - Tuboscope Inc. 25,500 614
Tupperware Corp. 37,482 1,045
- - Tucson Electric Power Co. 38,380 696
20th Century Industries of CA 31,900 829
- - Tyler Corp. 123,000 677
Tyson Foods, Inc. 131,369 2,693
- - UAL Corp. 35,780 3,310
- - UCAR International, Inc. 27,500 1,098
UGI Corp. Holding Co. 19,900 583
- - UICI 27,200 949
UMB Financial Corp. 11,048 602
UST Corp. 27,900 774
USX-Marathon Group 176,146 5,945
</TABLE>
66
<PAGE> 115
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C> <C>
UST, Inc. 112,946 $ 4,172
- - USA Waste Service 132,505 5,201
- - U.S. Rentals, Inc. 17,100 402
U.S. Bancorp 150,372 16,832
UNUM Corp. 85,654 4,657
- - URS Corp. 29,700 462
- - United States Can Co. 28,009 473
USF&G Corp. 66,983 1,478
- - USG Corp. 28,500 1,397
USX Delhi Group 29,400 603
USX-U.S. Steel Group, Inc. 52,587 1,643
- - Ultrafem, Inc. 39,467 37
Ultramar Diamond
Shamrock Corp. 58,068 1,851
- - Ultratech Stepper, Inc. 17,700 352
Unifi, Inc. 37,550 1,528
UniFirst Corp. 19,100 536
- - Unigene 102,000 268
- - Unilab Corp. 19,400 36
Unicom Corp. 132,509 4,075
Union Camp Corp. 42,629 2,289
Union Carbide Corp. 76,046 3,265
Union Electric Co. 62,772 2,715
Union Pacific Corp. 151,397 9,453
Union Pacific Resources
Group, Inc. 154,658 3,750
Union Planters Corp. 47,380 3,219
Union Texas Petroleum
Holdings, Inc. 52,400 1,091
UnionBanCal Corp. 31,000 3,333
- - Uniphase Corp. 20,400 844
- - Uniroyal Technology Corp. 49,500 312
Unisource Worldwide, Inc. 39,841 568
- - Unisys Corp. 105,480 1,464
- - Unit Corp. 41,600 400
United Asset Management Corp. 42,200 1,031
United Cos. Finance Corp. 13,617 211
- - United Capital Corp. 24,900 660
United Dominion Industries Ltd. 27,600 699
United Dominion Realty
Trust REIT 53,200 741
United Healthcare Corp. 115,246 5,726
United Illuminating Co. 14,100 648
- - United International Holdings,
Inc. Class A 52,600 605
- - United Meridian Corp. 20,800 585
United National Bancorp 18,881 510
United Mobile Homes, Inc. 32,100 377
- - United Payors & United
Providers, Inc. 25,900 499
- - US Airways Group, Inc. 55,863 3,491
- - U.S. Bioscience 50,987 462
- - U.S. Cellular Corp. 52,900 1,640
- - U.S. Energy Corp. 32,460 288
- - U.S. Filter Corp. 49,384 1,478
- - U.S. Home Corp. 16,300 640
U.S. Industries, Inc. 45,350 1,366
- - U.S. Office Products Co. 75,750 1,487
- - U.S. Satellite Broadcasting Co.,
Inc. Class A 44,600 354
U.S. Surgical Corp. 45,165 1,324
U S WEST Communications
Group 294,501 13,289
- - U S WEST Media Group 371,464 10,726
U.S. Trust Corp. 15,102 946
United Technologies Corp. 144,718 10,537
United Television, Inc. 5,500 571
United Wisconsin Services, Inc. 12,400 319
Unitrin, Inc. 22,800 1,473
- - Unitrode Corp. 26,822 577
Universal Corp. 20,900 860
- - Universal Electronics, Inc. 18,400 184
Universal Foods Corp. 15,513 655
- - Universal Outdoor Holdings, Inc. 16,400 853
- - Universal Health Services Class B 19,800 997
- - Univision Communications Inc. 14,900 1,040
Unocal Corp. 151,017 5,861
- - UNOVA, Inc. 31,338 515
- - Uranium Resources, Inc. 64,132 249
Urban Shopping Centers,
Inc. REIT 18,800 656
- - Urocor, Inc. 45,700 283
- - UroQuest Medical Corp. 57,700 151
US Bancorp, Inc. 7,900 577
- - USDATA Corp., Inc. 21,803 101
UtiliCorp United, Inc. 32,900 1,277
VF Corp. 76,888 3,532
- - VLSI Technology, Inc. 27,600 652
- - V-One Corp. 50,300 176
- - VTEL Corp. 25,438 156
- - VWR Scientific Products Corp. 21,600 610
- - Vail Resorts Inc. 1,900 49
- - Valassis Communications, Inc. 24,900 921
Valhi, Inc. 68,900 650
- - Valence Technology 63,800 323
Valero Energy Corp. 32,400 1,019
Valley National Bancorp 25,706 1,011
Valspar Corp. 27,000 861
- - Value City Department Stores, Inc. 60,500 537
Value Line, Inc. 14,500 573
- - Vanguard Cellular Systems, Inc.
Class A 46,313 590
- - Vanstar Corp. 51,500 583
- - Vantive Corp. 27,800 702
- - Varco International, Inc. 43,144 925
Varian Associates, Inc. 18,100 915
Vastar Resources, Inc. 59,800 2,138
- - Vencor, Inc. 42,063 1,028
- - Venture Stores, Inc. 70,663 62
- - Veritas Software Corp. 18,050 921
- - Verity, Inc. 40,700 204
Vermont Financial Services Corp. 20,658 573
- - Versant Object Technology Corp. 36,300 501
- - Vertex Pharmaceuticals, Inc. 14,400 475
Vesta Insurance Group, Inc. 11,500 683
- - Veterinary Centers of
America, Inc. 32,760 440
- - Viacom Inc. Class A 4,953 202
- - Viacom Inc. Class B 205,118 8,500
Viad Corp. 58,063 1,121
- - VIASOFT, Inc. 10,048 425
</TABLE>
67
<PAGE> 116
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
MARKET
VALUE*
TOTAL STOCK MARKET PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C> <C>
- - Vicor Corp. 25,319 $ 687
- - Vicorp Restaurants, Inc. 26,800 469
- - Viking Office Products 49,900 1,088
- - Video Lottery Technologies, Inc. 35,000 416
- - VideoServer, Inc. 33,100 525
Vintage Petroleum, Inc. 38,200 726
Virginia Beach Federal
Financial Corp. 16,900 311
- - Visio Corp. 16,500 633
- - Vishay Intertechnology, Inc. 38,686 914
- - VISIX Inc. 23,371 517
- - Vitalink Pharmacy Services, Inc. 9,741 235
- - Vitesse Semiconductor Corp. 21,250 802
- - Vivus, Inc. 18,900 201
- - VMARK Software, Inc. 42,414 339
- - Volt Information Sciences Inc. 25,500 1,374
Vornado Realty Trust REIT 31,900 1,497
Vulcan Materials Co. 20,790 2,123
- - WFS Financial, Inc. 43,250 487
- - WHX Corp. 23,300 277
- - WHG Resorts & Casino Inc. 4,175 93
Wicor, Inc. 10,500 488
- - WMS Industries, Inc. 23,000 486
WPL Holdings, Inc. 18,200 603
WPS Resources Corp. 9,021 305
- - WSFS Financial Corp. 27,000 540
Wabash National Corp. 10,450 297
Wachovia Corp. 127,920 10,378
Wackenhut Corp. 17,692 410
Wackenhut Corp. Class B 6,350 134
- - Wackenhut Corrections Corp. 24,100 648
- - Wahlco Environmental 38,500 14
Wainwright Bank & Trust Co. 4,600 47
Wal-Mart Stores, Inc. 1,391,384 54,873
Walbro Corp. 27,700 372
Walgreen Co. 301,560 9,461
- - Walker Interactive Systems, Inc. 34,400 473
- - Wall Data Inc. 27,596 376
Wallace Computer Services, Inc. 25,800 1,003
- - Walter Industries, Inc. 4,500 93
- - Wang Laboratories, Inc. 17,200 381
The Warnaco Group, Inc.
Class A 46,092 1,446
Warner-Lambert Co. 166,817 20,685
Washington Federal Inc. 28,944 910
Washington Gas Light Corp. 26,998 835
Washington Mutual, Inc. 153,362 9,786
Washington Post Co. Class B 6,600 3,211
Washington REIT 41,600 697
Washington Water Power Co. 34,100 829
Waste Management Inc. 278,613 7,662
- - Waters Corp. 17,700 666
Watkins-Johnson Co. 17,700 459
- - Watson Pharmaceuticals, Inc. 53,728 1,743
Watts Industries Class A 17,000 481
Wausau-Mosinee Paper Corp. 70,824 1,425
Waverly, Inc. 10,818 508
- - Weatherford Enterra, Inc. 33,254 1,455
- - Webco Industries, Inc. 18,800 132
Weeks Corp. REIT 21,400 685
Weingarten Realty Investors REIT 16,500 739
- - Weirton Steel 123,400 332
Weis Markets, Inc. 25,500 893
- - Wellcare Management
Group, Inc. 16,100 32
Wellman, Inc. 17,945 350
- - Wellpoint Health Networks Inc.
Class A 42,635 1,801
Wells Fargo & Co. 54,107 18,366
- - Wellsford Real Properties
Inc. REIT 4,600 72
Wendy's International, Inc. 79,497 1,913
Werner Enterprises, Inc. 22,600 463
Westbanco Inc. 11,850 356
Wesco Financial Corp. 4,342 1,303
- - West TeleServices Corp. 36,800 442
WestAmerica Bancorporation 2,500 256
- - Western Atlas, Inc. 32,938 2,437
Westcorp, Inc. 38,007 641
- - Western Digital Corp. 52,200 838
Western Gas Resources, Inc. 25,200 558
Western Investment Real Estate
Trust REIT 36,500 502
Western National Corp. 42,600 1,262
Western Resources, Inc. 39,700 1,707
- - Western Wireless Corp. 28,500 495
Westfield America, Inc. REIT 43,900 746
Westinghouse Air Brake Co. 28,400 728
- - Westpoint Stevens, Inc. 18,243 862
Westvaco Corp. 61,947 1,947
- - Westwood One, Inc. 24,100 895
- - WetSeal, Inc. Class A 22,200 655
Weyerhaeuser Co. 122,885 6,029
Wheelabrator Technologies, Inc. 95,062 1,527
Whirlpool Corp. 45,344 2,494
- - White River 8,442 671
Whitman Corp. 62,725 1,635
Whitney Holdings 9,370 534
- - Whole Foods Market, Inc. 22,000 1,125
Willamette Industries, Inc. 68,364 2,200
Williams Cos., Inc. 195,348 5,543
- - Clayton Williams Energy, Inc. 29,700 446
- - Williams Sonoma, Inc. 19,308 809
Wilmington Trust Corp. 18,200 1,135
- - Wind River Systems 15,688 623
Windmere-Durable Holdings Inc. 25,399 573
Winn-Dixie Stores, Inc. 91,075 3,979
- - Wireless One, Inc. 2,700 5
- - Wisconsin Central
Transportation Corp. 30,500 713
Wisconsin Energy Corp. 69,538 1,999
Wiser Oil Co. 27,200 384
Witco Chemical Corp. 35,000 1,428
Wolohan Lumber Co. 29,578 399
Wolverine World Wide, Inc. 26,770 606
- - Wonderware Corp. 17,300 244
- - Woolworth Corp. 82,892 1,689
- - World Acceptance Corp. 79,600 428
- - World Color Press, Inc. 22,300 592
World Fuel Services Corp. 27,661 581
- - WorldCom, Inc. 552,155 16,703
</TABLE>
68
<PAGE> 117
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C>
Worthington Foods 25,688 $ 360
Worthington Industries, Inc. 59,689 985
- - World Corp. 36,600 41
Wrigley, (Wm.) Jr. Co. 71,488 5,688
- - Wyman-Gordon Corp. 28,100 551
- - Wyndham Hotel Corp. 12,900 521
X-Rite Inc. 19,100 349
- - Xoma Corp. 59,156 329
- - Xilinx, Inc. 45,100 1,581
Xerox Corp. 199,833 14,750
XTRA Corp. 8,100 475
- - Xylan Corp. 25,900 392
- - Yahoo!, Inc. 26,150 1,811
- - Yellow Corp. 27,347 687
York International Corp. 26,000 1,029
- - York Research Corp. 36,600 309
- - Young Broadcasting Inc. 16,300 632
- - Zale Corp. 14,800 340
- - Zebra Technologies Class A 10,500 312
Zeigler Coal Holding Co. 38,800 633
- - Zenith Electronics Corp. 33,382 182
Zenith National Insurance Corp. 16,600 427
Ziegler Cos., Inc. 3,800 80
- - Zilog Inc. 30,800 587
Zions Bancorp 39,188 1,778
- - Zoll Medical Corp. 36,000 191
- - Zoltek Cos., Inc. 16,200 452
Zurn Industries, Inc. 14,400 453
- -----------------------------------------------------------------------
TOTAL COMMON STOCKS (95.0%)(1)
(COST $4,407,479) 6,267,225
- -----------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT
(000)
- -----------------------------------------------------------------------
TEMPORARY CASH INVESTMENTS (6.5%)
- -----------------------------------------------------------------------
<S> <C> <C>
U.S. TREASURY BILLS
(2)4.90%, 1/8/1998 $ 6,000 5,996
(2)5.02%, 1/22/1998 8,100 8,077
REPURCHASE AGREEMENTS
Collateralized by U.S. Government
Obligations in a Pooled
Cash Account
6.54%, 1/2/1998 342,896 342,896
6.50%, 1/2/1998--Note F 69,205 69,205
- -----------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(COST $426,171) 426,174
- -----------------------------------------------------------------------
TOTAL INVESTMENTS (101.5%)
(COST $4,833,650) 6,693,399
- -----------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-1.5%)
- -----------------------------------------------------------------------
Other Assets--Note B 34,782
Liabilities--Note F (131,724)
-----------
(96,942)
- -----------------------------------------------------------------------
NET ASSETS (100%) $6,596,457
- -----------------------------------------------------------------------
</TABLE>
*See Note A in Notes to Financial Statements.
-Non-Income-Producing Security.
(1)The combined market value of common stocks, S&P 500 Index futures
contracts, S&P Midcap 400 Index futures contracts, and Russell 2000 Index
futures contracts represents 100.1% of net assets.
(2)Securities with an aggregate value of $14,073,000 have been segregated as
initial margin for open futures contracts.
ADR--American Depositary Receipt.
REIT--Real Estate Investment Trust.
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
AT DECEMBER 31, 1997, NET ASSETS CONSISTED OF:
- -----------------------------------------------------------------------
AMOUNT
(000)
- -----------------------------------------------------------------------
<S> <C>
Paid in Capital $4,724,429
Overdistributed Net Investment Income (956)
Accumulated Net Realized Gains 12,235
Unrealized Appreciation--Note E
Investment Securities 1,859,749
Futures Contracts 1,000
- -----------------------------------------------------------------------
NET ASSETS $6,596,457
=======================================================================
Investor Shares--Net Assets
Applicable to 224,899,050
outstanding shares of
beneficial interest
(unlimited authorization) $5,092,666
- -----------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INVESTOR SHARES $22.64
=======================================================================
Institutional Shares--Net Assets
Applicable to 66,413,490
outstanding shares of
beneficial interest
(unlimited authorization) $1,503,791
- -----------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INSTITUTIONAL SHARES $22.64
=======================================================================
</TABLE>
69
<PAGE> 118
REPORT OF INDEPENDENT ACCOUNTANTS
To the Shareholders and
Board of Trustees of
Vanguard Index Trust
In our opinion, the accompanying statements of net assets (and statements of
assets and liabilities for Growth Portfolio and Value Portfolio) and the
related statements of operations and of changes in net assets and the financial
highlights appearing in the Annual Report to Shareholders present fairly, in
all material respects, the financial position of Growth Portfolio, Value
Portfolio, Extended Market Portfolio, Small Capitalization Stock Portfolio, and
Total Stock Market Portfolio (separate portfolios of Vanguard Index Trust,
hereafter referred to as the "Trust") at December 31, 1997, the results of each
of their operations for the year then ended, the changes in each of their net
assets for each of the two years in the period then ended and the financial
highlights for each of the periods indicated, in conformity with generally
accepted accounting principles. These financial statements and financial
highlights (hereafter referred to as "financial statements") are the
responsibility of the Trust's management; our responsibility is to express an
opinion on these financial statements based on our audits. We conducted our
audits of these financial statements in accordance with generally accepted
auditing standards which require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of
material misstatement. An audit includes examining, on a test basis, evidence
supporting the amounts and disclosures in the financial statements, assessing
the accounting principles used and significant estimates made by management,
and evaluating the overall financial statement presentation. We believe that
our audits, which included confirmation of securities at December 31, 1997 by
correspondence with the custodian and the application of alternative auditing
procedures where securities purchased had not been settled, provide a
reasonable basis for the opinion expressed above.
PRICE WATERHOUSE LLP
Thirty South Seventeenth Street
Philadelphia, Pennsylvania 19103
February 6, 1998
70
<PAGE> 119
F400-12/1997
