ANNUAL REPORT
- --------------------------------------------------------------------------------
COLLEGE RETIREMENT EQUITIES FUND
MONEY MARKET ACCOUNT GLOBAL EQUITIES ACCOUNT
BOND MARKET ACCOUNT GROWTH ACCOUNT
SOCIAL CHOICE ACCOUNT EQUITY INDEX ACCOUNT
AUDITED FINANCIAL STATEMENTS
INCLUDING
STATEMENTS OF INVESTMENTS
DECEMBER 31, 1995
As required by the Investment Company Act of 1940, CREF
provides its participants with this year-end annual report
of the financial condition and portfolio holdings of the
Money Market Account, Bond Market Account, Social Choice
Account, Global Equities Account, Growth Account and Equity
Index Account. CREF also provides an annual report to
participants in the Stock Account. Semi-annual reports are
also provided each year toward the end of August.
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
MONEY MARKET ACCOUNT GLOBAL EQUITIES ACCOUNT
BOND MARKET ACCOUNT GROWTH ACCOUNT
SOCIAL CHOICE ACCOUNT EQUITY INDEX ACCOUNT
INDEX TO AUDITED FINANCIAL STATEMENTS
December 31, 1995
- --------------------------------------------------------------------------------
Page
----
Report of Management Responsibility...................................... 2
Report of Independent Auditors........................................... 3
Audited Financial Statements:
Statements of Assets and Liabilities.................................. 4
Statements of Operations.............................................. 5
Statements of Changes in Net Assets................................... 6
Notes to Financial Statements......................................... 9
Statements of Investments
Money Market Account............................................... 17
Bond Market Account................................................ 20
Social Choice Account.............................................. 24
Global Equities Account............................................ 31
Growth Account..................................................... 42
Equity Index Account............................................... 51
Participant Voting Results............................................... 66
-1-
<PAGE>
REPORT OF MANAGEMENT RESPONSIBILITY
To the Participants of
College Retirement Equities Fund:
The accompanying financial statements of the Money Market, Bond Market, Social
Choice, Global Equities, Growth and Equity Index Accounts of College Retirement
Equities Fund ("CREF") are the responsibility of management. They have been
prepared in accordance with generally accepted accounting principles and have
been presented fairly and objectively in accordance with such principles.
CREF has established and maintains a strong system of internal controls designed
to provide reasonable assurance that assets are properly safeguarded and
transactions are properly executed in accordance with management's
authorization, and to carry out the ongoing responsibilities of management for
reliable financial statements. In addition, CREF's internal audit personnel
provide a continuing review of the internal controls and operations of the CREF
Accounts, and the internal Auditor regularly reports to the Audit Committee of
the CREF Board of Trustees.
The accompanying financial statements have been audited by the independent
auditing firm of Deloitte & Touche LLP. The independent auditors' report, which
appears on the following page, expresses an independent opinion on the fairness
of presentation of these financial statements.
The Audit Committee of the CREF Board of Trustees, consisting of trustees who
are not officers of CREF, meets regularly with management, representatives of
Deloitte & Touche LLP and internal auditing personnel to review matters relating
to financial reporting, internal controls and auditing. In addition to the
annual audit of the financial statements of all CREF Accounts, the New York
State Insurance Department, other state insurance departments and the Securities
and Exchange Commission regularly examine the financial statements of the CREF
Accounts as part of their periodic corporate examinations.
/s/ John H. Biggs
--------------------------------
Chairman and
Chief Executive Officer
/s/ Thomas W. Jones
--------------------------------
Vice Chairman, President and
Chief Operating Officer
/s/ Richard L. Gibbs
--------------------------------
Executive Vice President and
Principal Accounting Officer
-2-
<PAGE>
Deloitte &
Touche LLP
- ------------ --------------------------------------------------------
[LOGO] Two World Financial Center Telephone: (212) 436-2000
New York, New York 10281-1414 Facsimile: (212) 436-5000
REPORT OF INDEPENDENT AUDITORS
To the Participants and Board of Trustees of
College Retirement Equities Fund:
We have audited the accompanying statements of assets and liabilities, including
the statements of investments, of the Money Market, Bond Market, Social Choice,
Global Equities, Growth and Equity Index Accounts of College Retirement Equities
Fund ("CREF") as of December 31, 1995, the related statements of operations for
the year then ended and of changes in net assets of the Money Market, Bond
Market, Social Choice and Global Equities Accounts for each of the years in the
two year period then ended and of the Growth and Equity Index Accounts for the
year then ended and for the period beginning April 4, 1994 (date established) to
December 31, 1994. These financial statements are the responsibility of CREF's
management. Our responsibility is to express an opinion on these financial
statements based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards 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. Our procedures included
confirmation of securities owned at December 31, 1995, by correspondence with
the custodians and brokers; where replies were not received from brokers, we
performed other auditing procedures. An audit also includes assessing the
accounting principles used and significant estimates made by management, as well
as evaluating the overall financial statement presentation. We believe that our
audits provide a reasonable basis for our opinion.
In our opinion, such financial statements present fairly, in all material
respects, the financial position of the Money Market, Bond Market, Social
Choice, Global Equities, Growth and Equity Index Accounts of CREF at December
31, 1995, the results of their operations and the changes in their net assets
for the above-stated periods, in conformity with generally accepted accounting
principles.
/s/ Deloitte & Touche LLP
February 6, 1996
- ---------------
DELOITTE TOUCHE
TOHMATSU
INTERNATIONAL
- ---------------
-3-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENTS OF ASSETS AND LIABILITIES
DECEMBER 31, 1995
<TABLE>
<CAPTION>
Money Market Bond Market Social Choice Global Equities Growth Equity Index
Account Account Account Account Account Account
------------ ----------- ------------- --------------- ----------- ------------
<S> <C> <C> <C> <C> <C> <C>
ASSETS
Portfolio investments,
at cost.................. $3,129,779,482 $805,260,528 $ 964,732,428 $2,861,882,876 $1,005,532,070 $350,436,768
Net unrealized appreciation
(depreciation) of
portfolio investments.... (395,309) 29,943,692 209,808,046 334,952,851 154,304,358 42,773,762
-------------- ------------ ------------- -------------- -------------- ------------
Portfolio investments,
at value................. 3,129,384,173 835,204,220 1,174,540,474 3,196,835,727 1,159,836,428 393,210,530
Cash........................ 3,710,189 2,496,755 826,906 6,537,614
Dividends and interest
receivable............... 12,376,597 11,660,887 7,580,203 4,517,089 1,744,180 722,571
Receivable from
securities transactions.. 20,000,000 8,100,000 3,650,000 83,129,463 8,641,312 2,943,631
Amounts due from TIAA....... 653,665 1,336,233 2,623,355 1,451,750 594,881
Other....................... 6,511,832 1,264,363 258,263 4,819,602
-------------- ------------ -------------- -------------- -------------- ------------
TOTAL ASSETS 3,171,982,791 859,379,890 1,188,192,079 3,298,462,850 1,171,673,670 397,471,613
-------------- ------------ -------------- -------------- -------------- ------------
LIABILITIES
Deposits for securities
loaned--Note 4........... 100,299,206
Due to banks--Note 4........ 946,735 3,203,937 2,832,186
Payable for securities
transactions............. 23,674,207 25,995,066 22,926,445 99,368,545 12,040,106 3,761,881
Amounts due to TIAA......... 1,454,144
-------------- ------------ -------------- -------------- -------------- ------------
TOTAL LIABILITIES 25,128,351 25,995,066 23,873,180 199,667,751 15,244,043 6,594,067
-------------- ------------ -------------- -------------- -------------- ------------
NET ASSETS
Accumulation Fund........... 3,026,399,562 833,384,824 1,125,574,931 3,014,030,125 1,143,153,479 384,391,126
Annuity Fund................ 120,454,878 38,743,968 84,764,974 13,276,148 6,486,420
-------------- ------------ -------------- -------------- -------------- ------------
TOTAL NET ASSETS $3,146,854,440 $833,384,824 $1,164,318,899 $3,098,795,099 $1,156,429,627 $390,877,546
============== ============ ============== ============== ============== ============
NUMBER OF ACCUMULATION
UNITS OUTSTANDING--
Notes 5 and 6.............. 193,181,428 19,522,467 22,195,567 70,162,908 32,375,238 10,910,656
============== ============ ============== ============== ============== ============
NET ASSET VALUE, PER
ACCUMULATION UNIT--
Note 5..................... $15.67 $42.69 $50.71 $42.96 $35.31 $35.23
====== ====== ====== ====== ====== ======
</TABLE>
See notes to financial statements.
-4-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENTS OF OPERATIONS
YEAR ENDED DECEMBER 31, 1995
<TABLE>
<CAPTION>
Money Market Bond Market Social Choice Global Equities Growth Equity Index
Account Account Account Account Account Account
------------ ----------- ------------- --------------- ---------- ------------
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Income:
Dividends................ $ 13,067,185 $ 46,770,347 $ 8,978,394 $ 3,993,598
Interest................. $182,716,037 $ 49,058,573 25,456,929 5,341,222 1,449,881 429,139
------------ ------------ ------------ ------------ ------------ -----------
TOTAL INCOME 182,716,037 49,058,573 38,524,114 52,111,569 10,428,275 4,422,737
------------ ------------ ------------ ------------ ------------ -----------
Expenses--Note 3:
Investment............... 2,286,698 473,415 730,174 4,529,016 1,273,060 175,558
Operating................ 7,443,050 1,641,001 2,297,500 6,739,468 1,583,850 413,663
------------ ------------ ------------ ------------ ------------ -----------
TOTAL EXPENSES 9,729,748 2,114,416 3,027,674 11,268,484 2,856,910 589,221
Fees paid indirectly..... (13,894) (14,042) (16,839) (18,089) (8,810) (1,905)
------------ ------------ ------------ ------------ ------------ -----------
NET EXPENSES 9,715,854 2,100,374 3,010,835 11,250,395 2,848,100 587,316
------------ ------------ ------------ ------------ ------------ -----------
INVESTMENT INCOME--NET 173,000,183 46,958,199 35,513,279 40,861,174 7,580,175 3,835,421
------------ ------------ ------------ ------------ ------------ -----------
REALIZED AND UNREALIZED
GAIN (LOSS) ON TOTAL
INVESTMENTS--Note 4
Net realized gain (loss) on:
Portfolio investments.... (200,856) 12,221,948 3,647,165 179,251,631 23,355,161 2,243,334
Futures transactions..... 2,582,780 894,485 320,602
Option transactions...... 155,447
Foreign currency
transactions........... (639,376) (12,978)
------------ ------------ ------------ ------------ ------------ -----------
Net realized gain (loss) (200,856) 12,221,948 3,647,165 181,350,482 24,236,668 2,563,936
------------ ------------ ------------ ------------ ------------ -----------
Net change in unrealized
appreciation
(depreciation) on:
Portfolio investments.... 1,073,681 50,593,054 200,506,744 287,637,826 151,190,998 42,347,885
Futures transactions..... (637,033) (24,045)
Translation of assets
(other than portfolio
investments and
liabilities in foreign
currencies............. (55,117) 1,764
------------ ------------ ------------ ------------ ------------ -----------
Net change in unrealized
appreciation ............. 1,073,681 50,593,054 200,506,744 286,945,676 151,168,717 42,347,885
------------ ------------ ------------ ------------ ------------ -----------
NET REALIZED AND UNREALIZED
GAIN ON TOTAL INVESTMENTS 872,825 62,815,002 204,153,909 468,296,158 175,405,385 44,911,821
------------ ------------ ------------ ------------ ------------ -----------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS $173,873,008 $109,773,201 $239,667,188 $509,157,332 $182,985,560 $48,747,242
============ ============ ============ ============ ============ ===========
</TABLE>
See notes to financial statements.
-5-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Money Market Account Bond Market Account
---------------------------------- ---------------------------------
Years Ended December 31, Years Ended December 31,
---------------------------------- ----------------------------------
1995 1994 1995 1994
--------------- --------------- --------------- ---------------
<S> <C> <C> <C> <C>
FROM OPERATIONS
Investment income--net ..... $ 173,000,183 $ 108,858,971 $ 46,958,199 $ 34,521,185
Net realized gain (loss) on
total investments ........ (200,856) (137,647) 12,221,948 (13,643,019)
Net change in unrealized
appreciation
(depreciation) on total
investments .............. 1,073,681 (1,218,803) 50,593,054 (41,435,318)
--------------- --------------- --------------- ---------------
NET INCREASE (DECREASE)
IN NET ASSETS
RESULTING FROM
OPERATIONS 173,873,008 107,502,521 109,773,201 (20,557,152)
--------------- --------------- --------------- ---------------
FROM PARTICIPANT
TRANSACTIONS
Premiums ................... 322,504,882 288,072,087 120,393,346 120,377,109
--------------- --------------- --------------- ---------------
Disbursements and transfers:
Net transfers to (from)
TIAA ................... 62,622,528 73,211,841 (4,654,005) 5,182,313
Net transfers to (from)
other CREF Accounts .... (62,813,953) (50,248,740) (76,175,539) 92,934,429
Annuity payments ......... 14,684,076 11,197,314 1,154,923 674,708
Withdrawals and
repurchases ............ 144,584,944 114,459,075 16,646,581 13,504,407
Death benefits ........... 5,864,728 2,975,322 993,457 915,597
--------------- --------------- --------------- ---------------
TOTAL DISBURSEMENTS
AND TRANSFERS, NET 164,942,323 151,594,812 (62,034,583) 113,211,454
--------------- --------------- --------------- ---------------
NET INCREASE
IN NET ASSETS
RESULTING FROM
PARTICIPANT
TRANSACTIONS 157,562,559 136,477,275 182,427,929 7,165,655
--------------- --------------- --------------- ---------------
NET INCREASE (DECREASE)
IN NET ASSETS 331,435,567 243,979,796 292,201,130 (13,391,497)
NET ASSETS
Beginning of period ........ 2,815,418,873 2,571,439,077 541,183,694 554,575,191
--------------- --------------- --------------- ---------------
End of period .............. $ 3,146,854,440 $ 2,815,418,873 $ 833,384,824 $ 541,183,694
=============== =============== =============== ===============
</TABLE>
See notes to financial statements.
-6-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Social Choice Account Global Equities Account
---------------------------------- ---------------------------------
Years Ended December 31, Years Ended December 31,
---------------------------------- ---------------------------------
1995 1994 1995 1994
--------------- --------------- --------------- ---------------
<S> <C> <C> <C> <C>
FROM OPERATIONS
Investment income--net ..... $ 35,513,279 $ 26,389,551 $ 40,861,174 $ 36,500,573
Net realized gain (loss) on
total investments ........ 3,647,165 7,704,848 181,350,482 41,227,627
Net change in unrealized
appreciation
(depreciation) on total
investments .............. 200,506,744 (43,329,800) 286,945,676 (100,004,634)
--------------- --------------- --------------- ---------------
NET INCREASE (DECREASE)
IN NET ASSETS
RESULTING FROM
OPERATIONS 239,667,188 (9,235,401) 509,157,332 (22,276,434)
--------------- --------------- --------------- ---------------
FROM PARTICIPANT
TRANSACTIONS
Premiums ................... 193,358,929 224,708,121 432,885,223 417,001,295
--------------- --------------- --------------- ---------------
Disbursements and transfers:
Net transfers to (from)
TIAA ................... (2,454,256) 4,466,657 2,286,189 (67,914,586)
Net transfers to (from)
other CREF Accounts .... (6,736,255) 138,078,027 361,750,669 (815,739,514)
Annuity payments ......... 2,778,920 1,919,463 6,816,624 3,835,737
Withdrawals and
repurchases ............ 16,528,876 13,378,053 44,668,972 33,654,397
Death benefits ........... 1,045,228 467,921 2,578,283 1,103,572
--------------- --------------- --------------- ---------------
TOTAL DISBURSEMENTS
AND TRANSFERS, NET 11,162,513 158,310,121 418,100,737 (845,060,394)
--------------- --------------- --------------- ---------------
NET INCREASE
IN NET ASSETS
RESULTING FROM
PARTICIPANT
TRANSACTIONS 182,196,416 66,398,000 14,784,486 1,262,061,689
--------------- --------------- --------------- ---------------
NET INCREASE (DECREASE)
IN NET ASSETS 421,863,604 57,162,599 523,941,818 1,239,785,255
NET ASSETS
Beginning of period ........ 742,455,295 685,292,696 2,574,853,281 1,335,068,026
--------------- --------------- --------------- ---------------
End of period .............. $ 1,164,318,899 $ 742,455,295 $ 3,098,795,099 $ 2,574,853,281
=============== =============== =============== ===============
</TABLE>
See notes to financial statements.
-7-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Growth Account Equity Index Account
---------------------------------- ------------------------------------
April 4, 1994 April 4, 1994
Year Ended (date established) Year Ended (date established)
December 31, to December 31, December 31, to December 31,
1995 1994 1995 1994
--------------- ---------------- --------------- -----------------
<S> <C> <C> <C> <C>
FROM OPERATIONS
Investment income--net ..... $ 7,580,175 $ 1,527,382 $ 3,835,421 $ 1,116,727
Net realized gain (loss) on
total investments ........ 24,236,668 (278,697) 2,563,936 203,460
Net change in unrealized
appreciation
(depreciation) on total
investments .............. 151,168,717 3,113,360 42,347,885 425,877
--------------- --------------- --------------- ---------------
NET INCREASE (DECREASE)
IN NET ASSETS
RESULTING FROM
OPERATIONS 182,985,560 4,362,045 48,747,242 1,746,064
--------------- --------------- --------------- ---------------
FROM PARTICIPANT
TRANSACTIONS
Premiums ................... 146,310,621 68,075,184 43,829,759 54,188,114
--------------- --------------- --------------- ---------------
Disbursements and transfers:
Net transfers to (from)
TIAA ................... (44,418,794) (11,838,468) (20,714,935) (2,158,509)
Net transfers to (from)
other CREF Accounts .... (524,499,108) (244,113,755) (242,873,333) (32,968,712)
Annuity payments ......... 1,032,476 148,499 371,694 18,828
Withdrawals and
repurchases ............ 15,488,467 53,454,593 35,670,917 20,282,131
Death benefits ........... 49,873 5,552
--------------- --------------- --------------- ---------------
TOTAL DISBURSEMENTS
AND TRANSFERS, NET (552,347,086) (202,349,131) (227,540,105) (14,826,262)
--------------- --------------- --------------- ---------------
NET INCREASE
IN NET ASSETS
RESULTING FROM
PARTICIPANT
TRANSACTIONS 698,657,707 270,424,315 271,369,864 69,014,376
--------------- --------------- --------------- ---------------
NET INCREASE (DECREASE)
IN NET ASSETS 881,643,267 274,786,360 320,117,106 70,760,440
NET ASSETS
Beginning of period ........ 274,786,360 -- 70,760,440 --
--------------- --------------- --------------- ---------------
End of period .............. $ 1,156,429,627 $ 274,786,360 $ 390,877,546 $ 70,760,440
=============== =============== =============== ===============
</TABLE>
See notes to financial statements.
-8-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
NOTES TO FINANCIAL STATEMENTS
NOTE 1--ORGANIZATION
College Retirement Equities Fund ("CREF") was formed to aid and strengthen
nonprofit educational and research organizations by providing their employees
with variable retirement benefits.
CREF is registered with the Securities and Exchange Commission ("Commission")
under the Investment Company Act of 1940 as an open-end, diversified management
investment company. It consists of seven investment portfolios. The accompanying
financial statements are those of the Money Market Account, which invests in
money market instruments; the Bond Market Account, which invests in a broad
range of fixed-income securities; the Social Choice Account, which invests in a
diversified portfolio of equity and fixed-income securities while giving special
consideration to certain social criteria; the Global Equities Account, which
invests in equity securities of foreign and domestic companies; the Growth
Account, which invests in a diversified portfolio of equity securities that
present opportunities for growth; and the Equity Index Account, which invests in
a diversified portfolio of equity securities selected to track the overall
United States stock market ("Accounts"). The seventh investment portfolio of
CREF, the Stock Account, which invests primarily in equity securities, is not
included in these financial statements.
The Growth and Equity Index Accounts were established on April 4, 1994 with a
$50,000,000 investment in each Account by Teachers Insurance and Annuity
Association ("TIAA"), a companion organization, which purchased 2,000,000
Accumulation Units of each Account at the established $25.00 initial
Accumulation Unit Value. On April 29, 1994, the Growth and Equity Index Accounts
were registered with the Commission under the Securities Act of 1933 and the
Investment Company Act of 1940 as additional series of CREF. On July 1, 1994,
CREF began to offer Accumulation Units of the Growth and Equity Index Accounts
to participants other than TIAA. TIAA's Accumulation Units share in the pro rata
investment experience and are subject to the same valuation procedures and
expense deductions as all other Accumulation Units in the Growth and Equity
Index Accounts. During 1994 all of TIAA's Accumulation Units in the Growth
Account were withdrawn at net asset value and the withdrawals are reflected in
the accompanying 1994 financial statements of the Growth Account. At December
31, 1994, TIAA's investment in the Equity Index Account was 1,220,301
Accumulation Units, with a total value of $31,573,334. During 1995 TIAA's
remaining Accumulation Units in the Equity Index Account were withdrawn at net
asset value and the withdrawals for both 1994 and 1995 are reflected in the
accompanying financial statements of the Equity Index Account.
TIAA-CREF Investment Management, Inc. ("Investment Management"), a subsidiary of
TIAA, is registered with the Commission as an investment adviser and provides
investment advisory services for the CREF Accounts pursuant to an Investment
Management Services Agreement with CREF. TIAA-CREF Individual & Institutional
Services, Inc. ("Services"), a subsidiary of TIAA which is registered with the
Commission as a broker-dealer and is a member of the National Association of
Securities Dealers, Inc., provides administrative services for the CREF Accounts
and performs distribution functions for CREF's certificates pursuant to a
Principal Underwriting and Administrative Services Agreement with CREF.
NOTE 2--SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of the significant accounting policies consistently
followed by the Accounts, which are in conformity with generally accepted
accounting principles.
Valuation of Investments: Securities listed or traded on any United States
national securities exchange are valued at the last sales price as of the close
of the principal securities exchange on which such securities are traded or, if
there is no sale, at the mean of the last bid and asked prices on such exchange.
Securities traded only in the over-the-counter market and quoted in the NASDAQ
National Market System are valued at the last sales price, or at the mean of the
last bid and asked prices if no sale is reported. All other over-the-counter
securities are valued at the mean of the last bid and asked prices, except for
bonds which are valued at the most recent bid price or the equivalent quoted
yield of such bonds. Short-term money market instruments are stated at market
value or amortized cost, which approximates market value. Foreign investments
are valued at the closing price in the principal market where they are traded;
local currencies are converted into U.S. dollars as described below under
Foreign Currency Transactions and Translation. Stock index futures and options
which are traded on commodities exchanges are valued at the last sale price as
of the close of such commodities exchanges. Portfolio securities for which
market quotations are not readily available are valued at fair value as
determined in good faith under the direction of the Finance Committee of the
Board of Trustees and in accordance with the responsibilities of the Board as a
whole.
-9-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
NOTES TO FINANCIAL STATEMENTS--(Continued)
NOTE 2--SIGNIFICANT ACCOUNTING POLICIES--(Continued)
Accounting for Investments: Securities transactions are accounted for as of the
date the securities are purchased or sold (trade date). Interest income is
recorded as earned and, for short-term money market instruments, includes
accrual of discount and amortization of premium. Dividend income is recorded on
the ex-dividend date or, for certain foreign securities, as soon as the Accounts
are informed of the ex-dividend date. Realized gains and losses on security
transactions are accounted for on the average cost basis.
Foreign Currency Transactions and Translation: Foreign investments, bank
deposits and forward currency contracts are valued in U.S. dollars, based on the
exchange rate at the end of the period. Investments traded in foreign currencies
are translated at exchange rates prevailing on the respective dates traded.
Income is translated at approximate rates prevailing when earned. Asset and
liability accounts that are denominated in a foreign currency are adjusted to
reflect the exchange rate at the end of the period. The cumulative impact of
changes in foreign exchange rates on portfolio investments sold during the
period is reflected in the net realized gain (loss) on portfolio investments.
The cumulative impact of changes in foreign exchange rates on portfolio
investments held at the end of the period is reflected in the net change in
unrealized appreciation (depreciation) on portfolio investments. Currency gains
and losses arising from the settlement of forward currency contracts, changes in
exchange rates between the trade and settlement dates of portfolio investment
transactions, and changes in exchange rates between the accrual and receipt
dates for dividend and interest income are recorded as net realized gains
(losses) on foreign currency transactions. For assets other than portfolio
investments and liabilities, changes in foreign exchange rates are reflected in
the net change in unrealized appreciation (depreciation) on translation of
assets (other than portfolio investments) and liabilities in foreign currencies.
Securities Lending: The Accounts may lend portfolio securities to qualified
institutions. Such loans are secured by collateral at least equal to 102% of the
market value of the securities loaned for United States securities and 105% of
the market value of securities loaned for foreign securities. When portfolio
securities are loaned, an Account receives additional income on the collateral
and continues to receive income on the securities loaned. Additionally, any
change in the market value of the securities loaned is recognized by the
Account. The Accounts may bear the risk of delay in recovery of, or loss of
rights in, the securities loaned should a borrower of securities fail
financially.
Covered Call Options Written: The Accounts write (sell) covered call options to
provide protection against adverse movements in the price of securities in the
portfolio. When an option is written, an amount equal to the premium received is
recorded as a liability; the liability is adjusted on a daily basis to the
current market price of the option written and an unrealized gain or loss is
recorded. Premiums received from writing options which expire unexercised are
recognized as realized gains from option transactions on the expiration date.
Premiums received from writing options which are exercised are added to the
proceeds from the sale of the underlying securities in recognizing the net
realized gain or loss on portfolio investments. In writing options, it is
assumed that the option may be exercised at any time prior to the expiration of
an Account's obligation as a writer, and that in such circumstances the net
proceeds of the sale of the underlying securities pursuant to the call option
may be below the prevailing market value.
Futures Contracts: The Accounts purchase futures contracts for the purpose of
acquiring a position in a security or group of securities which it intends to
purchase at a later date, or for cash management purposes to remain highly
invested in the equity markets while minimizing transaction costs. A futures
contract is an agreement between two parties to buy and sell a financial
instrument for a set price on a future date. Initial margin deposits are made
upon entering into futures contracts and can be either cash or securities.
During the period the futures contract is open, changes in the value of the
contract are recognized as unrealized gains or losses from futures transactions
by "marking-to-market" on a daily basis to reflect the market value of the
contract at the end of each day's trading.
Variation margin payments are received or made, depending upon whether
unrealized gains or losses are incurred. When the contract is closed, a realized
gain or loss from futures transactions is recorded, equal to the net variation
margin received or paid over the period of the contract. The contractual amounts
under futures contracts reflect the extent of an Account's exposure to
off-balance sheet risk. The credit risk to such contracts is limited to the
failure of the exchange or board of trade which acts as the counterparty to the
Account's futures transactions.
-10-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
NOTES TO FINANCIAL STATEMENTS--(Continued)
NOTE 2--SIGNIFICANT ACCOUNTING POLICIES--(Concluded)
Forward Currency Contracts: The Accounts may enter into forward currency
contracts to purchase or sell foreign currency to accommodate foreign investment
transactions. Forward currency contracts are "marked-to-market" at the end of
each day's trading. Daily changes in the value of such contracts are reflected
in the net change in unrealized appreciation (depreciation) on translation of
assets and liabilities in foreign currencies. When the contract is closed,
payment is made or received and a realized gain or loss on foreign currency
transactions is recognized, equal to the difference between the cost of the
closing transaction and the basis in the contract. An Account may also enter
into a forward currency contract to offset an existing contract. Forward
currency contracts are entered into directly with a counterparty and an Account
is exposed to the risk of default of such counterparty. The maximum potential
loss from such risk is the aggregate face value in U.S. dollars at the time the
contract is opened. There is no daily margin requirement for such contracts.
Securities Purchased on a When-Issued or Delayed Delivery Basis: The Accounts
may purchase securities on a when-issued or delayed delivery basis. In addition
to the normal market risks, this exposes the Accounts to the risk that the
transaction may not be consummated.
Federal Income Taxes: CREF is a nonprofit educational organization exempt from
federal income taxation under the Internal Revenue Code ("Code"). Accordingly,
CREF is not a "Regulated Investment Company" under Subchapter M of the Code and
the net investment income and net realized capital gains of CREF's Accounts are
not taxable. Any nonpension related income is subject to federal income taxation
as unrelated business income; however, for the periods covered by these
financial statements there was no such income.
NOTE 3--MANAGEMENT AGREEMENTS
All services necessary for the operation of CREF's Accounts are provided, at
cost, by Investment Management and Services. Such services are provided in
accordance with an Investment Management Services Agreement between CREF and
Investment Management, and in accordance with a Principal Underwriting and
Administrative Services Agreement between CREF and Services (see Note 1).
Investment Management and Services receive management fee payments from the CREF
Accounts on a daily basis according to formulas established each year with the
objective of keeping the management fees as close as possible to each Account's
actual expenses. Any differences between actual expenses and the management fees
are adjusted quarterly.
Investment Management and Services generally pay directly for all third-party
services provided for the benefit of the CREF Accounts. "Soft-dollar"
arrangements for brokerage and other services are generally not utilized by the
CREF Accounts. However, certain custodial fees are reduced based on the level of
average cash balances on deposit with a custodian bank during the period. The
amounts by which custodial fees were reduced under these expense offset
agreements are reflected in the accompanying Statements of Operations as "Fees
paid indirectly".
NOTE 4--INVESTMENTS
At December 31, 1995, the value of Global Equities Account securities loaned was
$125,661,757 and collateral received in connection therewith was comprised of
cash of $100,299,206, letters of credit of $10,910,000 and United States
government securities amounting to $30,826,076.
At December 31, 1995, the due to banks balances in the Social Choice, Growth and
Equity Index Accounts resulted from securities transactions which were settled
and paid by January 2, 1996.
-11-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
NOTES TO FINANCIAL STATEMENTS--(Continued)
NOTE 4--INVESTMENTS--(Continued)
At December 31, 1995, net unrealized appreciation (depreciation) of portfolio
investments, consisting of gross unrealized appreciation and gross unrealized
depreciation, was as follows:
<TABLE>
<CAPTION>
Money Market Bond Market Social Choice
Account Account Account
----------- ------------- -------------
<S> <C> <C> <C>
Gross unrealized appreciation of portfolio investments......... $ 186,016 $ 30,318,892 $224,777,546
Gross unrealized depreciation of portfolio investments......... 581,325 375,200 14,969,500
----------- ------------- ------------
NET UNREALIZED APPRECIATION (DEPRECIATION) OF
PORTFOLIO INVESTMENTS........................................ $ (395,309) $ 29,943,692 $209,808,046
=========== ============= ============
</TABLE>
<TABLE>
<CAPTION>
Global Equities Growth Equity Index
Account Account Account
------------ ------------ ------------
<S> <C> <C> <C>
Gross unrealized appreciation of portfolio investments......... $409,195,990 $180,137,486 $ 48,869,814
Gross unrealized depreciation of portfolio investments......... 74,243,139 25,833,128 6,096,052
------------ ------------ ------------
NET UNREALIZED APPRECIATION OF
PORTFOLIO INVESTMENTS........................................ $334,952,851 $154,304,358 $ 42,773,762
============ ============ ============
</TABLE>
During 1995 the Global Equities, Growth and Equity Index Accounts engaged in
transactions in futures contracts in the Standard & Poor's 500 Index with the
following results:
<TABLE>
<CAPTION>
Global Equities Growth Equity Index
Account Account Account
------------ ------------- ----------
<S> <C> <C> <C>
Futures contracts open at December 31, 1995, at cost........... $ 60,008,233 $ 2,188,620 $ --
Net unrealized depreciation.................................... (637,033) (24,045) --
------------ ------------- ----------
Futures contracts open at December 31, 1995, at value.......... $ 59,371,200 $ 2,164,575 $ --
============ ============= ==========
Net realized gain on futures contracts closed.................. $ 2,582,780 $ 894,485 $ 320,602
Number of futures contracts open at December 31, 1995.......... 192 7 --
Inception date of futures contracts activity................... 11/14/95 09/07/95 04/04/95
Average fair value of futures contracts based
on daily balances from inception date........................ $ 68,615,325 $ 13,091,542 $1,751,734
</TABLE>
During 1995 the Global Equities Account had realized gains in connection with
covered call options written of $155,447. The transactions in covered call
options written by the Global Equities Account for the year ended December 31,
1995 were as follows:
Number Premiums
of Contracts Received
------------ ---------
Options outstanding at December 31, 1994............. -- --
Options written...................................... 1,100 $ 155,447
Options terminated in closing purchase transactions.. -- --
Options expired...................................... (1,100) (155,447)
Options exercised.................................... -- --
---------- ---------
Options outstanding at December 31, 1995............. -- $ --
========== =========
-12-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
NOTES TO FINANCIAL STATEMENTS--(Continued)
NOTE 4--INVESTMENTS--(Concluded)
Companies in which any of the Accounts held 5% of more of the outstanding voting
shares are defined as "affiliated" in the Investment Company Act of 1940. At
December 31, 1995, the total value of the Global Equities Account's investments
in affiliated companies was $153,598,338. For the year ended December 31, 1995,
total dividend income and net realized gains relating to such investments of the
Global Equities Account were $3,126,566 and $21,814,810, respectively. For the
periods and CREF Accounts covered by these financial statements, there were no
other investments in affiliated companies.
Purchases and sales of portfolio securities, other than short-term money market
instruments, for the year ended December 31, 1995, were as follows:
<TABLE>
<CAPTION>
Bond Market Social Choice Global Equities Growth Equity Index
Account Account Account Account Account
------------ ------------ --------------- ------------- ------------
<S> <C> <C> <C> <C> <C>
Purchases:
Unaffiliated issuers...... $1,472,892,579 $714,893,755 $1,769,749,797 $ 863,469,375 $289,445,161
Affiliated issuers........ 70,420,679
-------------- ------------ -------------- ------------- ------------
TOTAL PURCHASES........ $1,472,892,579 $714,893,755 $1,840,170,476 $ 863,469,375 $289,445,161
============== ============ ============== ============= ============
Sales:
Unaffiliated issuers..... $1,213,316,010 $491,417,440 $1,742,923,917 $ 161,533,156 $ 14,538,535
Affiliated issuers....... 77,119,658
-------------- ------------ -------------- ------------- ------------
TOTAL SALES ........... $1,213,316,010 $491,417,440 $1,820,043,575 $ 161,533,156 $ 14,538,535
============== ============ ============== ============= ============
</TABLE>
NOTE 5--CONDENSED FINANCIAL INFORMATION
Selected condensed financial information for an Accumulation Unit of the Money
Market Account is presented below.
<TABLE>
<CAPTION>
Money Market Account
-------------------------------------------------------
For the Years Ended December 31,
-------------------------------------------------------
1995 1994 1993 1992 1991
------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C>
Per Accumulation Unit Data:
Investment income..................... $ .910 $ .631 $ .464 $ .539 $ .808
Expenses.............................. .048 .041 .039 .036 .039
------- ------- ------- ------- -------
Investment income--net................. .862 .590 .425 .503 .769
Net realized and unrealized gain (loss)
on total investments................ .009 (.012) (.002) (.009) .013
------- ------- ------- ------- -------
Net increase in Accumulation
Unit Value............................ .871 .578 .423 .494 .782
Accumulation Unit Value:
Beginning of year..................... 14.795 14.217 13.794 13.300 12.518
------- ------- ------- ------- -------
End of year........................... $15.666 $14.795 $14.217 $13.794 $13.300
======= ======= ======= ======= =======
Ratios to Average Net Assets:
Expenses.............................. 0.32% 0.28% 0.27% 0.26% 0.30%
Investment income--net................. 5.64% 4.03% 3.02% 3.70% 5.95%
Portfolio turnover rate.................. n/a n/a n/a n/a n/a
Thousands of Accumulation Units
outstanding at end of year............. 193,181 183,135 174,073 184,768 207,368
</TABLE>
-13-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
NOTES TO FINANCIAL STATEMENTS--(Continued)
NOTE 5--CONDENSED FINANCIAL INFORMATION--(Continued)
Selected condensed financial information for an Accumulation Unit of the Bond
Market Account is presented below.
<TABLE>
<CAPTION>
Bond Market Account
---------------------------------------------------------------
For the Years Ended December 31,
---------------------------------------------------------------
1995 1994 1993 1992 1991
-------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C>
Per Accumulation Unit Data:
Investment income...................... $ 2.863 $ 2.502 $ 2.348 $ 2.287 $ 2.270
Expenses............................... .123 .108 .103 .093 .096
------- ------- ------- ------- -------
Investment income--net.................. 2.740 2.394 2.245 2.194 2.174
Net realized and unrealized gain (loss) on
total investments................... 3.722 (3.897) 1.606 .056 2.247
------- ------- ------- ------- -------
Net increase (decrease) in
Accumulation Unit Value................ 6.462 (1.503) 3.851 2.250 4.421
Accumulation Unit Value:
Beginning of year...................... 36.227 37.730 33.879 31.629 27.208
------- ------- ------- ------- -------
End of year............................ $42.689 $36.227 $37.730 $33.879 $31.629
======= ======= ======= ======= =======
Ratios to Average Net Assets:
Expenses............................... 0.31% 0.29% 0.28% 0.29% 0.34%
Investment income--net.................. 6.93% 6.54% 6.18% 6.78% 7.61%
Portfolio turnover rate.................. 185.11% 161.46% 139.55% 217.89% 124.62%
Thousands of Accumulation Units
outstanding at end of year............. 19,522 14,939 14,698 13,583 10,658
</TABLE>
Selected condensed financial information for an Accumulation Unit of the Social
Choice Account is presented below.
<TABLE>
<CAPTION>
Social Choice Account
---------------------------------------------------------------
For the Years Ended December 31,
---------------------------------------------------------------
1995 1994 1993 1992 1991
-------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C>
Per Accumulation Unit Data:
Investment income..................... $ 1.832 $ 1.621 $ 1.452 $ 1.363 $ 1.432
Expenses.............................. .144 .125 .117 .105 .102
------- ------- ------- ------- -------
Investment income--net................. 1.688 1.496 1.335 1.258 1.330
Net realized and unrealized gain (loss) on
total investments................... 9.863 (2.015) 2.082 2.367 5.237
------- ------- ------- ------- -------
Net increase (decrease) in Accumulation
Unit Value............................ 11.551 (.519) 3.417 3.625 6.567
Accumulation Unit Value:
Beginning of year..................... 39.161 39.680 36.263 32.638 26.071
------- ------ ------ ------ -------
End of year........................... $50.712 $39.161 $39.680 $36.263 $32.638
======= ======= ======= ======= =======
Ratios to Average Net Assets:
Expenses............................... 0.32% 0.32% 0.31% 0.33% 0.36%
Investment income--net.................. 3.75% 3.80% 3.52% 3.88% 4.69%
Portfolio turnover rate.................. 52.65% 49.06% 39.85% 77.48% 46.41%
Thousands of Accumulation Units
outstanding at end of year............ 22,196 18,302 16,790 9,224 4,929
</TABLE>
-14-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
NOTES TO FINANCIAL STATEMENTS--(Continued)
NOTE 5--CONDENSED FINANCIAL INFORMATION--(Concluded)
Selected condensed financial information for an Accumulation Unit of the Global
Equities Account is presented below.
<TABLE>
<CAPTION>
Global Equities Account
---------------------------------------------------
April 1, 1992
(date established)
For the Years Ended December 31, to December 31,
-------------------------------- ------------------
1995 1994 1993 1992
------ ------ ------ ------
<S> <C> <C> <C> <C>
Per Accumulation Unit Data:
Investment income................................ $ .727 $ .687 $ .487 $ .569
Expenses......................................... .157 .134 .103 .121
------- ------- ------- -------
Investment income--net............................ .570 .553 .384 .448
Net realized and unrealized gain (loss) on total
investments.................................... 6.618 (.719) 9.021 1.083
------- ------- ------- -------
Net increase (decrease) in Accumulation Unit Value.. 7.188 (.166) 9.405 1.531
Accumulation Unit Value:
Beginning of period.............................. 35.770 35.936 26.531 25.000
------- ------- ------- -------
End of period.................................... $42.958 $35.770 $35.936 $26.531
======= ======= ======= =======
Ratios to Average Net Assets:
Expenses......................................... 0.40% 0.41% 0.45% 0.40%
Investment income--net............................ 1.47% 1.71% 1.67% 1.47%
Portfolio turnover rate............................. 67.50% 51.63% 16.75% 12.50%
Thousands of Accumulation Units outstanding at
end of period.................................... 70,163 70,700 36,796 8,277
</TABLE>
Selected condensed financial information for an Accumulation Unit of the Growth
and Equity Index Accounts is presented below.
<TABLE>
<CAPTION>
Growth Account Equity Index Account
-------------------------------- --------------------------------
For the April 4, 1994 For the April 4, 1994
Year Ended (date established) Year Ended (date established)
December 31, to December 31, December 31, to December 31,
1995 1994 1995 1994
------- ------- ------- -------
<S> <C> <C> <C> <C>
Per Accumulation Unit Data:
Investment income..................... $ .417 $ .398 $ .755 $ .552
Expenses.............................. .114 .084 .100 .072
------- ------- ------- -------
Investment income--net................. .303 .314 .655 .480
Net realized and unrealized gain on total
investments......................... 8.891 .802 8.703 .393
------- ------- ------- -------
Net increase in Accumulation Unit Value.. 9.194 1.116 9.358 .873
Accumulation Unit Value:
Beginning of period................... 26.116 25.000 25.873 25.000
------- ------- ------- -------
End of period......................... $35.310 $26.116 $35.231 $25.873
======= ======= ======= =======
Ratios to Average Net Assets:
Expenses.............................. 0.43% 0.33% 0.34% 0.27%
Investment income--net................. 1.13% 1.21% 2.22% 1.83%
Portfolio turnover rate.................. 24.42% 12.29% 8.31% 1.33%
Thousands of Accumulation Units
outstanding at end of period.......... 32,375 10,446 10,911 2,716
</TABLE>
-15-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
NOTES TO FINANCIAL STATEMENTS--(Concluded
NOTE 6--ACCUMULATION UNITS
Changes in the number of Accumulation Units outstanding were as follows:
<TABLE>
<CAPTION>
Money Market Account Bond Market Account Social Choice Account
-------------------------- ----------------------- -------------------------
Years Ended December 31,
-------------------------------------------------------------------------------------
1995 1994 1995 1994 1995 1994
----------- ----------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
Accumulation Units:
Credited for premiums...... 21,164,735 19,877,920 3,036,130 3,300,477 4,283,963 5,731,509
Credited (cancelled) for
transfers, disbursements
and amounts applied to the
Annuity Fund............. (11,118,465) (10,816,065) 1,547,736 (3,060,280) (390,757) (4,218,915)
Outstanding:
Beginning of year........ 183,135,158 174,073,303 14,938,601 14,698,404 18,302,361 16,789,767
----------- ----------- ----------- ---------- ---------- ----------
End of year ............. 193,181,428 183,135,158 19,522,467 14,938,601 22,195,567 18,302,361
=========== =========== =========== ========== ========== ==========
</TABLE>
<TABLE>
<CAPTION>
Global Equities Account Growth Account Equity Index Account
------------------------- ------------------------ -----------------------------
April 4, 1994 April 4, 1994
(date (date
Year Ended established) to Year Ended established) to
Years Ended December 31, December 31, December 31, December 31, December 31,
1995 1994 1995 1994 1995 1994
---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
Accumulation Units:
Credited for premiums...... 11,114,439 11,529,568 4,585,987 2,694,224 1,368,448 2,161,854
Credited (cancelled) for
transfers, disbursements
and amounts applied to the
Annuity Fund............. (11,651,582) 22,374,413 17,343,718 7,751,309 6,826,684 553,670
Outstanding:
Beginning of period...... 70,700,051 36,796,070 10,445,533 -- 2,715,524 --
---------- ---------- ---------- ---------- ---------- ----------
End of period............ 70,162,908 70,700,051 32,375,238 10,445,533 10,910,656 2,715,524
========== ========== ========== ========== ========== ==========
</TABLE>
-16-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENT OF INVESTMENTS--MONEY MARKET ACCOUNT
DECEMBER 31, 1995
SUMMARY
VALUE %
------- ------
SHORT TERM INVESTMENTS
BANK NOTES $ 195,987,267 6.23%
BANKERS ACCEPTANCES 68,091,368 2.16
CERTIFICATES OF DEPOSIT 370,151,297 11.76
COMMERCIAL PAPER 1,941,345,861 61.69
EURO CERTIFICATES OF DEPOSIT 95,005,652 3.02
MEDIUM TERM BONDS 9,908,509 0.32
VARIABLE RATE NOTES 448,894,146 14.26
------------- ------
TOTAL SHORT TERM INVESTMENTS
(Cost $3,129,779,482) 3,129,384,100 99.44
------------- ------
ROUNDING 73 0.00
------------- ------
TOTAL PORTFOLIO
(Cost $3,129,779,482) 3,129,384,173 99.44
OTHER ASSETS & LIABILITIES, NET 17,470,267 0.56
------------- ------
NET ASSETS $3,146,854,440 100.00%
============== ======
--------------------
PAR
VALUE VALUE
----- -----
SHORT TERM INVESTMENTS--99.44%
BANK NOTES--6.23%
BANK OF BOSTON
16,200,000 5.690%, 04/30/96............. $ 16,205,985
BANK OF NEW YORK
15,000,000 6.670%, 03/06/96............. 15,021,162
FCC NATIONAL BANK
25,000,000 5.740%, 03/27/96............. 25,001,964
FLEET BANK OF NEW YORK
20,000,000 5.780%, 02/01/96............. 20,000,056
HUNTINGTON NATIONAL BANK
25,000,000 5.750%, 05/02/96............. 25,014,154
NATIONSBANK OF GEORGIA
19,720,000 5.650%, 06/05/96............. 19,729,869
25,000,000 5.650%, 06/10/96............. 25,012,702
NATIONSBANK OF TEXAS
50,000,000 5.720%, 03/11/96............. 50,001,375
------------
195,987,267
------------
BANKERS ACCEPTANCES--2.16%
BANK OF MONTREAL
5,000,000 5.480%, 03/11/96............. 4,945,758
CORESTATES BANK N.A./
PHILADELPHIA NATIONAL BANK
5,000,000 5.510%, 05/06/96............. 4,905,668
FLEET BANK OF NEW YORK
20,000,000 5.800%, 02/09/96............. 19,998,662
NATIONSBANK OF GEORGIA
28,900,000 5.500%, 05/06/96............. 28,354,794
NATIONSBANK OF TEXAS
10,000,000 5.530%, 03/15/96............. 9,886,486
-----------
68,091,368
-----------
CERTIFICATES OF DEPOSIT--11.76%
ABN AMRO BANK NV
6,900,000 5.600%, 01/08/96............. 6,899,647
40,000,000 5.630%, 01/11/96............. 39,997,504
BANK OF MONTREAL
5,160,000 5.800%, 01/22/96............. 5,160,128
BANK OF NOVA SCOTIA
25,000,000 5.750%, 03/15/96............. 25,009,839
CANADIAN IMPERIAL BANK OF COMMERCE
5,000,000 6.800%, 03/08/96............. 5,009,205
DEUTSCHE BANK
25,000,000 5.780%, 01/31/96............. 25,000,872
25,000,000 5.750%, 03/25/96............. 25,011,397
DRESDNER BANK
25,000,000 5.740%, 01/12/96............. 24,999,971
FIRST ALABAMA BANK
25,000,000 5.650%, 05/06/96............. 25,014,477
MELLON BANK, N.A.
25,000,000 5.700%, 03/04/96............. 25,006,600
10,000,000 5.700%, 03/08/96............. 10,002,736
NATIONAL WESTMINSTER BANK PLC
15,000,000 5.700%, 02/16/96............. 14,999,546
NATIONSBANK OF FLORIDA
25,000,000 5.600%, 05/14/96............. 25,011,600
25,000,000 5.600%, 05/20/96............. 25,012,427
RABOBANK
20,000,000 5.680%, 05/3/96............. 20,013,162
ROYAL BANK OF CANADA
25,000,000 5.650%, 03/15/96............. 25,003,164
SOCIETE GENERALE
13,000,000 5.750%, 02/15/96............. 13,000,475
WESTDEUTSCHE LANDESBANK
30,000,000 5.700%, 02/06/96............. 29,998,547
-----------
370,151,297
-----------
COMMERCIAL PAPER--61.69%
AIR PRODUCTS & CHEMICALS, INC
10,000,000 5.570%, 03/22/96............. 9,871,961
AMERICAN EXPRESS CREDIT CORP
23,000,000 5.490%, 03/25/96............. 22,694,635
32,015,000 5.610%, 04/26/96............. 31,443,985
6,700,000 5.540%, 05/23/96............. 6,552,886
17,324,000 5.560%, 05/23/96............. 16,943,632
AMERICAN HOME PRODUCTS CORP
13,221,000 5.710%, 01/11/96............. 13,199,225
11,000,000 # 5.690%, 02/05/96............. 10,937,264
25,000,000 5.760%, 02/12/96............. 24,832,000
25,000,000 5.700%, 02/13/96............. 24,829,791
25,000,000 # 5.600%, 02/13/96............. 24,832,777
AT&T CORP
8,925,000 5.590%, 03/26/96............. 8,805,161
25,000,000 5.540%, 03/28/96............. 24,656,444
6,000,000 5.470%, 05/3/96 ............. 5,886,533
ASSET SECURITIZATION COOPERATIVE CORP
25,000,000 # 5.690%, 01/16/96............. 24,938,152
30,500,000 # 5.650%, 02/09/96............. 30,306,661
14,000,000 5.650%, 02/14/96............. 13,900,493
ASSOCIATES CORP OF NORTH AMERICA
25,000,000 5.700%, 01/19/96............. 24,925,724
6,382,000 5.680%, 01/26/96............. 6,356,826
25,000,000 5.660%, 02/22/96............. 24,791,458
35,000,000 5.530%, 03/01/96............. 34,660,402
B.B.V. FINANCE, INC (DELAWARE)
25,000,000 5.690%, 01/29/96............. 24,884,946
7,500,000 5.680%, 02/05/96............. 7,457,226
BENEFICIAL CORP
6,758,000 5.530%, 03/18/96............. 6,675,676
34,705,000 5.450%, 03/19/96............. 34,276,663
See notes to financial statements.
-17-
<PAGE>
PAR
VALUE VALUE
----- -----
COMMERCIAL PAPER--(Continued)
BETA FINANCE, INC
10,000,000 # 5.660%, 02/26/96............. $ 9,909,697
CHEMICAL BANKING CORP
25,000,000 5.610%, 03/14/96............. 24,711,181
CIESCO LP
4,597,000 5.700%, 01/19/96............. 4,583,342
10,000,000 # 5.650%, 02/07/96............. 9,939,917
15,000,000 5.650%, 02/12/96............. 14,898,765
20,000,000 # 5.650%, 02/15/96............. 19,854,587
CIT GROUP HOLDINGS, INC
15,333,000 5.760%, 01/24/96............. 15,276,574
21,900,000 5.690%, 02/09/96............. 21,761,260
6,532,000 5.670%, 02/23/96............. 6,476,464
25,000,000 5.550%, 03/22/96............. 24,679,875
COCA-COLA ENTERPRISES, INC
15,000,000 # 5.680%, 02/21/96............. 14,877,288
COMMERCIAL CREDIT CO
25,000,000 5.750%, 02/01/96............. 24,876,215
COMMERZBANK FINANCE, INC (U.S.)
25,000,000 5.660%, 02/08/96............. 24,850,638
COOPER INDUSTRIES, INC
23,690,000 6.000%, 01/02/96............. 23,686,051
CORPORATE ASSET FUNDING CORP
18,315,000 5.670%, 01/16/96............. 18,269,690
11,600,000 # 5.700%, 02/05/96............. 11,535,716
20,000,000 # 5.650%, 02/08/96............. 19,876,552
DUPONT (E.I.) DE NEMOURS & CO
25,000,000 # 5.680%, 01/18/96............. 24,929,874
ELI LILLY & CO
25,000,000 # 5.500%, 03/06/96............. 24,737,528
FIRST UNION CORP
5,000,000 5.630%, 02/09/96............. 4,968,313
25,000,000 5.660%, 02/12/96............. 24,831,275
FORD MOTOR CREDIT CO
36,830,000 5.730%, 01/18/96............. 36,730,344
18,900,000 5.670%, 01/26/96............. 18,823,514
29,670,000 5.620%, 02/13/96............. 29,464,630
14,600,000 5.660%, 02/22/96............. 14,478,211
GENERAL ELECTRIC CAPITAL CORP
25,000,000 5.760%, 01/31/96............. 24,880,000
6,650,000 5.660%, 02/05/96............. 6,613,406
6,100,000 5.680%, 02/09/96............. 6,062,464
18,780,000 5.670%, 02/12/96............. 18,653,254
25,000,000 5.670%, 02/12/96............. 24,831,275
5,000,000 5.380%, 07/26/96............. 4,842,822
GENERAL MOTORS ACCEPTANCE CORP
35,000,000 5.700%, 02/23/96............. 34,702,478
GENERAL SIGNAL CORP
1,475,000 # 5.850%, 01/08/96............. 1,473,322
GOLDMAN SACHS GROUP LP
8,300,000 5.600%, 03/06/96............. 8,212,905
25,000,000 5.600%, 03/06/96............. 24,737,667
11,421,000 5.620%, 03/06/96............. 11,301,168
6,000,000 5.600%, 03/14/96............. 5,930,680
24,000,000 5.570%, 04/04/96............. 23,652,406
25,000,000 5.590%, 04/09/96............. 24,618,888
GTE CORP
25,890,000 5.840%, 02/15/96............. 25,701,002
HEWLETT PACKARD CO
25,000,000 5.630%, 02/15/96............. 24,818,224
HOUSEHOLD FINANCE CORP
12,075,000 5.700%, 02/05/96............. 12,006,133
IBM CREDIT CORP
19,675,000 5.520%, 03/29/96............. 19,407,993
JOHN DEERE CAPITAL CORP
12,055,000 5.450%, 03/22/96............. 11,900,569
MCI COMMUNICATIONS CORP
12,500,000 5.650%, 02/14/96............. 12,411,154
20,000,000 5.650%, 02/15/96............. 19,854,587
11,000,000 5.640%, 02/15/96............. 10,920,020
10,000,000 5.650%, 02/23/96............. 9,914,969
11,800,000 # 5.510%, 03/25/96............. 11,643,348
MCKENNA TRIANGLE NATIONAL CORP
11,000,000 # 5.720%, 01/25/96............. 10,957,278
12,000,000 5.670%, 02/02/96............. 11,937,168
25,000,000 # 5.640%, 02/08/96............. 24,845,686
20,000,000 # 5.650%, 02/09/96............. 19,873,268
20,000,000 # 5.570%, 03/12/96............. 19,771,032
MORGAN STANLEY GROUP, INC
8,428,000 6.000%, 01/3/96 ............. 8,425,190
NATIONSBANK CORP
30,000,000 5.690%, 02/20/96............. 29,759,812
6,905,000 5.590%, 03/08/96............. 6,830,345
13,720,000 5.450%, 03/29/96............. 13,533,754
NATIONAL RURAL UTILITIES
COOPERATIVE FINANCE
25,000,000 5.600%, 02/26/96............. 24,774,243
28,300,000 5.580%, 03/08/96............. 27,994,014
15,000,000 5.570%, 03/25/96............. 14,800,916
PACIFICORP
10,000,000 5.550%, 03/12/96............. 9,885,505
PENNEY (J.C.) FUNDING CORP
25,000,000 5.650%, 02/15/96............. 24,818,234
PHH CORP
20,000,000 5.820%, 01/31/96............. 19,902,999
PROCTOR & GAMBLE
22,000,000 5.450%, 03/12/96............. 21,747,989
PROVINCE OF ONTARIO
25,000,000 5.355%, 05/24/96............. 24,446,797
ST. PAUL COS
10,832,000 5.680%, 01/31/96............. 10,778,864
SEARS ROEBUCK ACCEPTANCE CORP
15,211,000 5.710%, 01/31/96............. 15,136,383
24,000,000 5.620%, 03/08/96............. 23,740,560
SMITH BARNEY, INC
25,000,000 5.620%, 02/09/96............. 24,847,791
25,000,000 5.660%, 02/23/96............. 24,791,680
SOUTHERN CALIFORNIA GAS CO
15,698,000 5.600%, 02/09/96............. 15,602,765
SWEDISH EXPORT CREDIT CORP
1,000,000 5.450%, 03/22/96............. 987,189
50,000,000 5.450%, 03/22/96............. 49,359,473
TORONTO DOMINION HOLDINGS (U.S.)
25,000,000 5.640%, 02/21/96............. 24,795,481
20,000,000 5.550%, 03/05/96............. 19,793,254
WHIRLPOOL FINANCE
15,000,000 5.790%, 01/31/96............. 14,926,419
9,000,000 5.770%, 02/23/96............. 8,923,525
XEROX CORP
12,500,000 5.680%, 01/23/96............. 12,454,624
25,000,000 5.700%, 02/09/96............. 24,845,624
13,335,000 5.650%, 02/07/96............. 13,254,879
22,575,000 5.450%, 03/18/96............. 22,299,898
14,090,000 5.530%, 06/21/96............. 13,724,466
-------------
1,941,345,861
-------------
EURO CERTIFICATES OF DEPOSIT--3.02%
BANCO BILBOA VIZCAYA, S.A.
10,000,000 5.770%, 03/28/96............. 10,004,641
HARRIS TRUST & SAVINGS BANK
25,000,000 5.760%, 01/31/96............. 24,999,853
See notes to financial statements.
-18-
<PAGE>
PAR
VALUE VALUE
----- -----
EURO CERTIFICATES OF DEPOSIT
--(Continued)
NATIONAL WESTMINSTER BANK PLC
25,000,000 5.760%, 02/01/96............. $ 24,998,540
NATIONAL WESTMINSTER BANK (U.S.)
10,000,000 5.750%, 02/28/96............. 10,002,195
WESTDEUTSCHE LANDESBANK
25,000,000 5.770%, 02/01/96............. 25,000,423
-------------
95,005,652
-------------
MEDIUM TERM BONDS--0.32%
FLORIDA POWER & LIGHT CO
10,000,000 4.900%, 06/04/96............. 9,908,509
-------------
VARIABLE RATE NOTES--14.26%
AMERICAN EXPRESS CENTURION BANK
15,000,000 5.740%, 01/17/96............. 15,000,000
25,000,000 5.899%, 10/15/96............. 25,000,000
5,000,000 5.650%, 10/18/96............. 5,000,000
10,000,000 5.655%, 10/23/96............. 10,000,000
15,000,000 5.907%, 11/07/96............. 15,000,000
20,000,000 5.650%, 11/08/96............. 20,000,000
BANC ONE, MILWAUKEE, N.A.
12,000,000 5.590%, 09/05/96............. 12,000,000
13,000,000 5.590%, 09/05/96............. 13,000,000
BANK OF BOSTON
8,000,000 5.630%, 11/13/96............. 8,000,000
BENEFICIAL CORP
25,000,000 5.260%, 02/01/96............. 24,993,541
BENEFICIAL CORP
25,000,000 5.857%, 12/02/96............. 24,997,506
CATERPILLAR FINANCIAL SERVICES CORP
10,000,000 5.870%, 06/12/96............. 10,000,000
CORESTATES BANK N.A./
PHILADELPHIA NATIONAL BANK
33,000,000 5.778%, 04/02/96............. 33,000,000
7,000,000 5.849%, 06/07/96............. 7,000,000
FCC NATIONAL BANK
10,000,000 5.300%, 03/08/96............. 9,994,000
FIRST UNION NATIONAL BANK, CHARLOTTE
10,000,000 5.430%, 09/16/96............. 10,000,000
20,000,000 5.430%, 09/16/96............. 20,000,000
GENERAL MOTORS ACCEPTANCE CORP
15,000,000 5.930%, 11/15/96............. 15,000,000
HUNTINGTON NATIONAL BANK
25,000,000 5.605%, 12/02/96............. 25,000,000
MORGAN (J.P.) & CO
13,000,000 5.630%, 03/08/96............. 13,000,000
PHH CORP
25,000,000 5.250%, 02/08/96............. 24,990,500
PNC BANK, N.A.
25,000,000 5.230%, 02/27/96............. 24,978,625
25,000,000 5.580%, 10/04/96............. 25,000,000
SOCIETY NATIONAL BANK, CLEVELAND
50,000,000 5.200%, 04/24/96............. 49,940,000
WACHOVIA BANK OF NORTH CAROLINA
8,000,000 5.750%, 01/16/96............. 7,999,974
------------
448,894,146
------------
TOTAL SHORT TERM INVESTMENTS
(Cost $3,129,779,482)............. 3,129,384,100
-------------
ROUNDING........................ 73
-------------
TOTAL PORTFOLIO
(Cost $3,129,779,482)............. $3,129,384,173
==============
- -------------
# RESTRICTED
See notes to financial statements.
-19-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENT OF INVESTMENTS--BOND MARKET ACCOUNT
DECEMBER 31, 1995
SUMMARY
VALUE %
----- ------
BONDS
CORPORATE BONDS
AEROSPACE ................................... $ 3,493,200 0.42%
AUTOMOTIVE & RELATED ........................ 9,203,910 1.10
BANKS ....................................... 34,595,477 4.15
BROADCASTERS ................................ 6,425,910 0.77
ELECTRICAL EQUIPMENT ........................ 2,983,350 0.36
FINANCIAL--MISCELLANEOUS .................... 27,646,110 3.32
FOODS ....................................... 11,514,230 1.38
HEALTHCARE--HOSPITAL SUPPLY ................. 3,150,000 0.38
INSURANCE--LIFE ............................. 3,002,190 0.36
PAPER ....................................... 8,270,260 0.99
PROPERTY--REAL ESTATE ....................... 2,184,600 0.26
PUBLISHING--NEWSPAPER ....................... 5,113,750 0.61
RAILROAD .................................... 3,013,080 0.36
RESTAURANTS & HOTELS ........................ 4,394,440 0.53
RETAIL--GENERAL MERCHANDISE ................. 4,480,560 0.54
TRUCKERS & SHIPPING ......................... 5,144,750 0.62
UTILITIES--ELECTRIC ......................... 17,668,515 2.12
UTILITIES--GAS & PIPELINE ................... 5,291,500 0.64
UTILITIES--TELEPHONE ........................ 12,094,110 1.45
------------ ------
TOTAL CORPORATE BONDS
(COST $ 163,813,745) ..................... 169,669,942 20.36
------------ ------
GOVERNMENT BONDS
AGENCY SECURITIES ....................... 33,004,490 3.96
FOREIGN GOVERNMENT BONDS ................ 12,320,778 1.48
MORTGAGE BACKED SECURITIES .............. 220,067,382 26.40
U.S. TREASURY SECURITIES ................ 384,657,750 46.16
------------- ------
TOTAL GOVERNMENT BONDS
(COST $ 625,961,004) ..................... 650,050,400 78.00
------------- ------
TOTAL BONDS
(COST $ 789,774,749) ...................... 819,720,342 98.36
------------- ------
SHORT TERM INVESTMENTS
COMMERCIAL PAPER ......................... 15,483,837 1.86
------------- ------
TOTAL SHORT TERM INVESTMENTS
(COST $ 15,485,779) ....................... 15,483,837 1.86
------------- ------
ROUNDING ................................ 41 0.00
------------- ------
TOTAL PORTFOLIO
(COST $ 805,260,528) ...................... 835,204,220 100.22
OTHER ASSETS & LIABILITIES, NET ......... (1,819,396) (0.22)
------------- ------
NET ASSETS ................................. $ 833,384,824 100.00%
============= ======
--------------------
PAR
VALUE VALUE
------- ------
BONDS--98.36%
CORPORATE BONDS--20.36%
AEROSPACE--0.42%
MCDONNELL DOUGLAS CORP NOTE
3,000,000 9.250%, 04/01/02............. $ 3,493,200
----------
AUTOMOTIVE & RELATED--1.10%
CHRYSLER FINANCIAL CORP NOTE
2,000,000 6.000%, 04/15/96............. 2,000,560
FORD CREDIT AUTO LOAN MASTER
TRUST SERIES 1992-2
(ASSET BACKED CERT)
2,000,000 7.375%, 04/15/99............. $ 2,045,620
FORD MOTOR CREDIT CO NOTE
3,000,000 6.850%, 08/15/00............. 3,114,090
GENERAL MOTORS CORP NOTE
2,000,000 7.625%, 02/15/97.............. 2,043,640
----------
9,203,910
----------
BANKS--4.15%
ABBEY NATIONAL PLC (SUBORDINATED NOTE)
3,000,000 6.690%, 10/17/05............. 3,113,490
ABN AMRO BANK NV (SUBORDINATED NOTE)
3,000,000 7.250%, 05/31/05............. 3,220,740
ASIAN DEVELOPMENT BANK (GLOBAL BOND)
5,000,000 6.125%, 03/09/04............. 5,022,000
ASSOCIATES CORP (SR NOTE)
3,000,000 6.250%, 09/15/00 ............ 3,046,890
FIRST CHICAGO MASTER TRUST II SERIES
1992-E (ASSET BACKED CERT)
2,000,000 6.250%, 08/15/99 ............ 2,021,240
MORGAN (J .P.) & CO, INC
(SUBORDINATED NOTE)
3,500,000 6.250%, 12/15/05............. 3,520,488
NATIONSBANK AUTO GRANTOR TRUST
SERIES 1995-A (ASSET BACKED CERT)
2,892,825 5.850%, 06/15/02............. 2,904,109
NATIONSBANK CORP (SUBORDINATED NOTE)
3,000,000 7.250%, 10/15/25............. 3,113,040
PNC FUNDING CORP (SUBORDINATED CV DEB)
5,000,000 7.875%, 04/15/05............. 5,515,100
SWISS BANK CORP (SUBORDINATED DEB)
3,000,000 7.000%, 10/15/15............. 3,118,380
----------
34,595,477
----------
BROADCASTERS--0.77%
CABLEVISION INDUSTRIES CORP (SR NOTE)
3,000,000 10.750%, 01/30/02............ 3,240,000
VIACOM, INC (SR NOTE)
3,000,000 7.750%, 06/01/05............. 3,185,910
----------
6,425,910
----------
See notes to financial statements.
-20-
<PAGE>
PAR
VALUE VALUE
----- -----
ELECTRICAL EQUIPMENT--0.36%
DIGITAL EQUIPMENT CORP DEB
3,000,000 7.750%, 04/01/23............. $ 2,983,350
----------
FINANCIAL--MISCELLANEOUS--3.32%
AMERICAN EXPRESS MASTER TRUST
SERIES 1992-1 (ACCTS REC TRUST CERT)
3,000,000 6.050%, 06/15/98............. 3,024,360
ARISTAR, INC (SR NOTE)
3,000,000 7.750%, 06/15/01............. 3,239,040
BEAR STEARNS COS, INC NOTE
2,000,000 6.750%, 04/15/03............. 2,052,520
CITICORP MORTGAGE SECURITIES, INC
SERIES 88-6 (CLASS A-3)
1,116,182 7.250%, 11/01/11............. 1,107,810
DISCOVER CARD TRUST I SERIES 93-2
(CREDIT CARD PASS-THRU CERT)
3,000,000 5.400%, 11/16/01............. 2,990,610
FINOVA CAPTIAL CORP NOTE
5,000,000 6.625%, 09/15/01............. 5,143,600
FINANCIAL--MISCELLANEOUS--3.32%
GENERAL MOTORS
ACCEPTANCE CORP NOTE
5,000,000 6.625%, 10/01/02............. 5,137,200
MBNA MASTER CREDIT CARD TRUST
SERIES 1991-1 (ASSET BACKED CERT)
2,000,000 7.750%, 10/15/98............. 2,030,620
PAINE WEBBER GROUP, INC (SR NOTE)
3,000,000 6.500%, 11/01/05............. 2,920,350
----------
27,646,110
----------
FOODS--1.38%
CARGILL, INC (SR NOTE)
3,000,000 7.375%, 10/01/25............. 3,227,490
GRAND METROPOLITAN INVESTMENT CORP
(GUARANTEED NOTE)
2,000,000 8.125%, 08/15/96............. 2,028,320
HERSHEY FOODS CORP NOTE
3,000,000 6.700%, 10/01/05............. 3,136,110
NABISCO, INC DEB
3,000,000 7.550%, 06/15/15............. 3,122,310
----------
11,514,230
----------
HEALTHCARE--HOSPITAL SUPPLY--0.38%
TENET HEALTHCARE CORP (SR NOTE)
3,000,000 8.625%, 12/01/03............. 3,150,000
----------
INSURANCE--LIFE--0.36%
HANCOCK (JOHN) MUTUAL LIFE
INSURANCE CO (SURPLUS NOTE)
3,000,000 7.375%, 02/15/24.............. 3,002,190
----------
PAPER--0.99%
GEORGIA PACIFIC CORP DEB
2,000,000 8.625%, 04/30/25............. 2,201,680
3,000,000 7.375%, 12/01/25............. 2,991,630
SMURFIT CAPITAL FUNDING PLC
(GUARANTEED NOTE)
3,000,000 6.750%, 11/20/05............. 3,076,950
----------
8,270,260
----------
PROPERTY--REAL ESTATE--0.26%
ROUSE CO NOTE
2,000,000 8.500%, 01/15/03............. $ 2,184,600
----------
PUBLISHING--NEWSPAPER--0.61%
NEWS AMERICA HOLDINGS, INC DEB
5,000,000 7.600%, 10/11/15............. 5,113,750
----------
RAILROAD--0.36%
BURLINGTON NORTHERN SANTA FE
CORP NOTE
3,000,000 6.375%, 12/15/05............. 3,013,080
----------
RESTAURANTS & HOTELS--0.53%
MARRIOTT INTERNATIONAL, INC NOTE
4,000,000 7.875%, 04/15/05............. 4,394,440
----------
RETAIL--GENERAL MERCHANDISE--0.54%
WAL-MART STORES, INC NOTE
4,000,000 8.625%, 04/01/01............. 4,480,560
----------
TRUCKERS & SHIPPING--0.62%
AMERICAN PRESIDENT COS LTD (SR NOTE)
5,000,000 7.125%, 11/15/03............. 5,144,750
----------
UTILITIES--ELECTRIC--2.12%
COLUMBIA GAS SYSTEMS, INC DEB
4,500,000 6.800%, 11/28/05............. 4,628,655
COMMONWEALTH EDISON CO
(FIRST MTGE BOND)
3,000,000 7.625%, 04/15/13............. 3,112,350
HYDRO QUEBEC DEB
3,000,000 8.000%, 02/01/13.............. 3,331,740
TEXAS NEW MEXICO POWER CO
(SECURED DEB)
3,000,000 12.500%, 01/15/99............ 3,375,000
TEXAS UTILITIES ELECTRIC CO
(FIRST MTGE BOND)
3,000,000 7.875%, 03/01/23............. 3,220,770
----------
17,668,515
----------
UTILITIES--GAS & PIPELINE--0.64%
ENRON CORP NOTE
5,000,000 7.125%, 05/15/07............. 5,291,500
----------
UTILITIES--TELEPHONE--1.45%
CENTURY TELEPHONE ENTERPRISES, INC
NOTE SERIES C
3,000,000 6.550%, 12/01/05............. 3,060,090
CINCINNATI BELL, INC NOTE
2,000,000 6.700%, 12/15/97............. 2,035,420
NORTHWESTERN BELL TELEPHONE CO NOTE
1,000,000 9.500%, 05/01/00............. 1,139,330
SOUTHWESTERN BELL TELEPHONE CO DEB
3,000,000 6.625%, 09/01/24............ 2,916,210
U.S. WEST COMMUNICATIONS, INC DEB
3,000,000 6.875%, 09/15/33............ 2,943,060
----------
12,094,110
----------
TOTAL CORPORATE BONDS
(COST $ 163,813,745)............. 169,669,942
-----------
See notes to financial statements.
-21-
<PAGE>
PAR
VALUE VALUE
----- -----
GOVERNMENT BONDS--78.00%
AGENCY SECURITIES--3.96%
FEDERAL NATIONAL
MORTGAGE ASSOCIATION (FNMA)
5,000,000 5.640%, 11/23/98............... $ 5,035,150
5,000,000 6.670%, 09/05/00............... 5,083,600
3,000,000 8.250%, 12/18/00............... 3,341,250
5,000,000 6.240%, 01/28/04............... 5,008,700
5,000,000 6.850%, 08/22/05............... 5,342,200
5,000,000 6.850%, 09/12/05............... 5,127,350
TENNESSE VALLEY AUTHORITY
POWER BOND SERIES D
4,000,000 6.000%, 11/01/00............... 4,066,240
----------
33,004,490
----------
FOREIGN GOVERNMENT BONDS--1.48%
MALAYSIA GOVERNMENT BOND
5,000,000 9.875%, 09/27/00............... 5,802,288
PROVINCE OF QUEBEC DEB
3,000,000 7.500%, 07/15/23............... 3,144,960
REPUBLIC OF FINDLAND NOTE
3,000,000 7.875%, 07/28/04............... 3,373,530
----------
12,320,778
----------
MORTGAGE BACKED SECURITIES--26.40%
FEDERAL HOME LOAN
MORTGAGE CORP (FHLMC)
4,930,434 5.500%, 09/01/00............... 4,893,455
580,486 8.000%, 03/01/23............... 601,708
690,260 8.000%, 04/01/23............... 717,870
3,857,292 7.000%, 05/01/23............... 3,899,683
4,900,000 6.500%, 12/01/25............... 4,846,394
FEDERAL NATIONAL
MORTGAGE ASSOCIATION (FNMA)
5,029,283 7.500%, 08/01/01............... 5,147,119
5,131,609 7.000%, 04/01/09............... 5,226,184
19,139,315 6.500%, 05/01/09............... 19,235,011
3,765,331 8.000%, 03/01/10............... 3,904,158
950,827 8.000%, 06/01/10............... 985,883
4,989,735 7.500%, 11/01/10............... 5,131,593
2,000,000 7.000%, 01/25/11............... 2,036,875
1,960,890 9.000%, 02/01/25............... 2,065,052
981,343 9.000%, 03/01/25............... 1,033,471
1,961,546 9.000%, 03/01/25............... 2,065,743
5,423,864 8.500%, 05/01/25............... 5,661,158
6,591,296 8.000%, 06/01/25............... 6,826,077
1,000,372 8.000%, 07/01/25............... 1,036,005
12,911,858 7.000%, 08/01/25............... 13,016,702
6,564,340 8.500%, 08/01/25............... 6,851,529
983,137 6.500%, 09/01/25............... 971,457
980,212 6.500%, 09/01/25............... 968,567
980,000 7.000%, 10/01/25............... 987,957
980,000 7.000%, 11/01/25............... 987,957
980,001 7.000%, 11/01/25............... 987,958
980,001 7.000%, 11/01/25............... 987,958
4,900,000 6.500%, 12/01/25............... 4,841,812
980,000 6.500%, 12/01/25............... 968,362
1,980,000 8.000%, 12/01/25............... 2,050,527
980,000 6.500%, 12/01/25............... 968,362
980,001 7.000%, 12/01/25............... 987,958
1,014,341 8.000%, 12/01/25............... 1,050,476
980,000 8.000%, 12/01/25............... 1,014,907
980,000 6.500%, 12/01/25............... 968,362
980,000 8.000%, 01/01/26............... 1,014,912
10,000,000 7.500%, 01/25/26............... 10,243,750
GOVERNMENT NATIONAL
MORTGAGE ASSOCIATION (GNMA)
862,760 8.500%, 10/15/09............... 905,898
807,552 8.500%, 12/15/09............... 847,929
905,135 8.500%, 12/15/09............... 950,391
808,757 8.500%, 01/15/10............... 849,194
846,766 8.500%, 01/15/10............... 889,104
332,997 9.000%, 06/15/16............... 355,783
325,854 9.000%, 08/15/16............... 348,152
325,651 9.000%, 09/15/16............... 347,935
330,874 9.000%, 09/15/16............... 353,257
312,815 9.000%, 09/15/16............... 334,220
312,102 9.000%, 10/15/16............... 333,215
319,246 9.000%, 11/15/16............... 341,092
520,985 9.000%, 12/15/16............... 556,229
316,291 9.000%, 12/15/16............... 337,688
295,110 9.000%, 07/15/17............... 315,534
326,317 9.000%, 06/15/20............... 347,628
4,937,597 6.500%, 01/15/24............... 4,897,454
20,021,342 7.000%, 02/15/24............... 20,258,995
2,880,146 6.500%, 03/15/24............... 2,856,730
4,686,926 8.000%, 06/15/24............... 4,883,167
834,224 8.500%, 11/15/24............... 875,935
1,419,764 9.000%, 01/15/25............... 1,504,055
1,648,860 9.000%, 01/15/25............... 1,746,752
1,618,876 9.000%, 01/15/25............... 1,714,988
1,740,257 9.000%, 01/15/25............... 1,843,576
1,455,235 9.000%, 01/15/25............... 1,541,632
2,313,348 9.000%, 01/15/25............... 2,450,691
1,279,194 9.000%, 01/15/25............... 1,355,139
890,557 8.500%, 04/15/25............... 935,084
427,950 8.500%, 05/15/25............... 449,347
1,848,073 8.500%, 06/15/25............... 1,940,476
941,833 8.500%, 06/15/25............... 988,924
975,714 8.500%, 06/15/25............... 1,024,499
2,027,132 8.000%, 06/15/25............... 2,112,008
887,060 8.500%, 06/15/25............... 931,413
975,865 8.500%, 06/15/25............... 1,024,658
919,498 8.500%, 06/15/25............... 965,472
3,026,391 8.000%, 08/15/25............... 3,153,105
23,000,000 7.500%, 12/15/25............... 23,646,875
1,960,000 7.000%, 12/15/25............... 1,982,662
RESOLUTION TRUST CORP SERIES 1992-8
(CLASS A-2) (MTGE PASS-THRU CERT)
1,379,176 8.250%, 12/25/26............... 1,387,544
------------
220,067,382
------------
See notes to financial statements.
-22-
<PAGE>
PAR
VALUE VALUE
----- -----
U.S. TREASURY SECURITIES--46.16%
U.S. TREASURY BONDS
21,000,000 * 7.250%, 05/15/16............... $ 23,979,270
10,000,000 8.000%, 11/15/21............... 12,512,500
12,500,000 7.125%, 02/15/23............... 14,293,000
30,000,000 7.625%, 02/15/25............... 36,684,300
U.S. TREASURY NOTES
15,000,000 6.875%, 03/31/97............... 15,295,350
26,000,000 8.500%, 05/15/97............... 27,113,060
9,000,000 6.125%, 05/31/97............... 9,109,710
15,000,000 8.875%, 11/15/97............... 15,965,550
19,000,000 6.125%, 05/15/98............... 19,380,000
22,000,000 8.250%, 07/15/98............... 23,546,820
26,000,000 * 8.875%, 02/15/99............... 28,665,000
25,000,000 7.750%, 11/30/99............... 27,089,750
13,000,000 7.750%, 01/31/00............... 14,121,250
25,000,000 8.750%, 08/15/00............... 28,394,500
23,000,000 7.500%, 11/15/01............... 25,332,430
37,000,000 5.750%, 08/15/03............... 37,445,110
14,000,000 7.250%, 05/15/04............... 15,540,000
5,000,000 7.250%, 08/15/04............... 5,560,150
4,000,000 7.875%, 11/15/04............... 4,630,000
------------
384,657,750
------------
TOTAL GOVERNMENT BONDS
(COST $625,961,004)................. 650,050,400
------------
TOTAL BONDS
(COST $789,774,749)................. 819,720,342
------------
SHORT TERM INVESTMENTS--1.86%
COMMERCIAL PAPER--1.86%
COOPER INDUSTRIES, INC
10,500,000 5.900%, 01/02/96................ 10,497,071
HAWAIIAN ELECTRIC INDUSTRIES, INC
5,000,000 6.000%, 01/16/96............... 4,986,766
------------
15,483,837
------------
TOTAL SHORT TERM INVESTMENTS
(COST $15,485,779) ................ 15,483,837
------------
ROUNDING......................... 41
------------
TOTAL PORTFOLIO
(COST $805,260,528) ............... $835,204,220
============
- -------------
* ALL OR A PORTION OF THIS SECURITY HAS BEEN SEGREGATED BY THE
CUSTODIAN TO COVER SECURITIES PURCHASED ON A DELAYED DELIVERY
BASIS.
See notes to financial statements.
-23-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENT OF INVESTMENTS--SOCIAL CHOICE ACCOUNT
DECEMBER 31, 1995
SUMMARY
VALUE %
----- ------
BONDS
CORPORATE BONDS
AIR TRANSPORTATION.................. $ 2,949,109 0.25%
BANKS............................... 24,280,359 2.09
BROADCASTERS........................ 5,411,677 0.46
BUSINESS SERVICES................... 1,111,330 0.10
CONGLOMERATES....................... 1,992,840 0.17
FINANCIAL--MISCELLANEOUS............ 12,474,056 1.07
FOODS............................... 9,970,360 0.86
HEALTHCARE--HOSPITAL SUPPLY......... 2,225,000 0.19
PETROLEUM--EXPLORATION & PRODUCTION. 3,135,930 0.27
PROPERTY--REAL ESTATE............... 3,276,900 0.28
RETAIL--FOOD........................ 2,180,000 0.19
RETAIL--GENERAL MERCHANDISE......... 9,464,960 0.81
UTILITIES--ELECTRIC................. 18,468,400 1.59
UTILITIES--TELEPHONE................ 10,272,257 0.88
------------ ------
TOTAL CORPORATE BONDS
(COST $ 102,306,586)................. 107,213,178 9.21
------------ ------
GOVERNMENT BONDS
AGENCY SECURITIES..................... 13,327,860 1.15
MORTGAGE BACKED SECURITIES............ 115,591,562 9.93
U.S. TREASURY SECURITIES.............. 202,402,340 17.38
------------ ------
TOTAL GOVERNMENT BONDS
(COST $ 318,793,764)................... 331,321,762 28.46
------------ ------
TOTAL BONDS
(COST $ 421,100,350)..................... 438,534,940 37.67
------------ ------
COMMON STOCK
AIR TRANSPORTATION...................... 8,099,024 0.69
AUTOMOTIVE & RELATED.................... 10,099,150 0.87
BANKS................................... 53,519,511 4.60
BEVERAGES............................... 24,928,462 2.14
BROADCASTERS............................ 13,956,538 1.20
BUSINESS SERVICES....................... 3,302,768 0.28
CHEMICALS--MAJOR........................ 4,996,675 0.43
CHEMICALS--SPECIALTY.................... 13,441,361 1.15
COMMUNICATION EQUIPMENT & SERVICES...... 6,829,341 0.59
COMPUTER SERVICE........................ 17,931,730 1.54
CONGLOMERATES........................... 15,213,450 1.31
COSMETICS............................... 9,732,787 0.84
ELECTRICAL EQUIPMENT.................... 2,401,168 0.21
ELECTRICAL EQUIPMENT--
COMPONENTS DIVERSIFIED................. 17,522,706 1.50
ELECTRICAL EQUIPMENT--INSTRUMENTS....... 1,716,750 0.15
FINANCIAL--MISCELLANEOUS................ 31,848,127 2.73
FOODS................................... 39,264,193 3.37
HEALTHCARE--DRUGS....................... 42,232,747 3.63
HEALTHCARE--HOSPITAL SUPPLY............. 21,322,750 1.83
HEALTHCARE--OTHER....................... 4,217,212 0.36
HEALTHCARE--SERVICE..................... 5,421,278 0.46
HOUSEHOLD--DURABLE GOODS................ 5,068,275 0.43
HOUSEHOLD--PRODUCTS..................... 21,997,662 1.89
INSURANCE--MULTI-LINE,
PROPERTY & CASUALTY.................... 30,944,258 2.66
LEISURE TIME............................ 10,489,464 0.90
MACHINERY............................... 11,736,272 1.01
METALS--ALUMINIUM....................... 2,701,125 0.23
METALS--GOLD............................ 3,388,937 0.29
METALS--STEEL........................... 8,569,339 0.74
OFFICE EQUIPMENT........................ 33,137,662 2.85
PAPER................................... 13,438,087 1.15
PETROLEUM--
EXPLORATION & PRODUCTION............... 17,887,061 1.54
PETROLEUM--SERVICE...................... 18,541,609 1.59
PROPERTY--REAL ESTATE................... 4,130,600 0.35
PUBLISHING--NEWSPAPER................... 10,247,576 0.88
PUBLISHING--OTHER....................... 10,590,782 0.91
RAILROAD................................ 11,144,250 0.96
RESTAURANTS & HOTELS.................... 13,360,887 1.15
RETAIL--FOOD............................ 3,607,862 0.31
RETAIL--GENERAL MERCHANDISE............. 23,743,548 2.04
TEXTILE & APPAREL....................... 4,657,725 0.40
TRUCKERS & SHIPPING..................... 3,037,262 0.26
UTILITIES--ELECTRIC..................... 20,138,812 1.73
UTILITIES--GAS & PIPELINE............... 18,948,649 1.63
UTILITIES--TELEPHONE.................... 66,444,627 5.71
-------------- ------
TOTAL COMMON STOCK
(COST $ 523,572,512)..................... 715,950,059 61.49
-------------- ------
SHORT TERM INVESTMENTS
COMMERCIAL PAPER....................... 20,055,401 1.72
-------------- ------
TOTAL SHORT TERM INVESTMENTS
(Cost $ 20,059,566)...................... 20,055,401 1.72
-------------- ------
ROUNDING............................... 74 0.00
-------------- ------
TOTAL PORTFOLIO
(COST $ 964,732,428)..................... 1,174,540,474 100.88
OTHER ASSETS & LIABILITIES, NET........ (10,221,575) (0.88)
-------------- ------
NET ASSETS............................... $1,164,318,899 100.00%
============== ======
See notes to financial statements.
-24-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENT OF INVESTMENTS--SOCIAL CHOICE ACCOUNT
DECEMBER 31, 1995
PAR
VALUE VALUE
----- -----
BONDS--37.67%
CORPORATE BONDS--9.21%
AIR TRANSPORTATION--0.25%
DELTA AIRLINES, INC SERIES 1992-B1
(PASS-THRU CERT)
2,700,081 8.270%, 09/23/07.................. $ 2,949,109
-----------
BANKS--2.09%
BANK OF NEW YORK (SUBORDINATED NOTE)
1,000,000 7.625%, 07/15/02.................. 1,080,560
BANKAMERICA CORP (SUBORDINATED NOTE)
2,000,000 9.750%, 07/01/00.................. 2,280,460
FIRST CHICAGO MASTER TRUST II
SERIES 1992-E (ASSET BACKED CERT)
4,000,000 6.250%, 08/15/99.................. 4,042,480
FLEET FINANCIAL GROUP, INC NOTE
3,000,000 7.625%, 12/01/99.................. 3,167,670
GREAT WESTERN FINANCIAL CORP NOTE
3,000,000 6.375%, 07/01/00.................. 3,043,290
MORGAN (J.P.) & CO, INC
(SUBORDINATED NOTE)
2,000,000 6.250%, 12/15/05.................. 2,011,707
NATIONSBANK CORP (SUBORDINATED NOTE)
2,000,000 7.250%, 10/15/25.................. 2,075,360
PNC FUNDING CORP (SUBORDINATED NOTE)
2,000,000 6.875%, 03/01/03.................. 2,066,080
U.S. BANCORP (SUBORDINATED NOTE)
1,000,000 8.125%, 05/15/02.................. 1,091,920
WELLS FARGO & CO (SUBORDINATED NOTE
3,000,000 8.750%, 05/01/02.................. 3,420,832
-----------
24,280,359
-----------
BROADCASTERS--0.46%
VIACOM, INC NOTE
2,000,000 6.750%, 01/15/03.................. 2,017,180
VIACOM, INC (SR NOTE)
3,000,000 7.750%, 06/01/05.................. 3,185,910
VIACOM INTERNATIONAL, INC
(SUBORDINATED DEB)
205,000 8.000%, 07/07/06.................. 208,587
-----------
5,411,677
-----------
BUSINESS SERVICES--0.10%
DELUXE CORP NOTE
1,000,000 8.550%, 02/15/01.................. 1,111,330
-----------
CONGLOMERATES--0.17%
ALCO STANDARD CORP BOND
2,000,000 6.750%, 12/01/25.................. 1,992,840
-----------
FINANCIAL--MISCELLANEOUS--1.07%
AMERICAN EXPRESS CREDIT CORP NOTE
2,000,000 6.125%, 11/15/01.................. 2,017,280
ARISTAR, INC SR NOTE
1,000,000 7.750%, 06/15/01.................. 1,079,680
DISCOVER CARD TRUST SERIES 1993-B
(PASS-THRU CERT)
3,000,000 6.750%, 02/15/00.................. 3,102,180
HOUSEHOLD INTERNATIONAL
NETHERLANDS BV SR NOTE
3,000,000 5.250%, 10/15/98.................. 2,958,510
MERRILL LYNCH & CO
(MEDIUM TERM NOTE)
3,125,000 7.375%, 08/17/02.................. 3,316,406
------------
12,474,056
------------
FOODS--0.86%
CAMPBELL SOUP CO DEB
1,000,000 8.875%, 05/01/21.................. 1,281,260
CAMPBELL SOUP CO NOTE
2,000,000 5.625%, 09/15/03.................. 1,933,280
CONAGRA, INC (SUBORDINATED NOTE)
1,000,000 9.750%, 03/01/21.................. 1,301,660
HERSHEY FOODS CORP DEB
1,000,000 8.800%, 02/15/21.................. 1,272,680
HERSHEY FOODS CORP NOTE
4,000,000 6.700%, 10/01/05.................. 4,181,480
------------
9,970,360
------------
HEALTHCARE--HOSPITAL SUPPLY--0.19%
TENET HEALTHCARE CORP
(SR SUBORDINATED NOTE)
2,000,000 10.125%, 03/01/05................. 2,225,000
------------
PETROLEUM--EXPLORATION &
PRODUCTION--0.27%
LOUISIANA LAND & EXPLORATION CO DEB
3,000,000 7.650%, 12/01/23.................. 3,135,930
------------
PROPERTY--REAL ESTATE--0.28%
ROUSE CO NOTE
3,000,000 8.500%, 01/15/03.................. 3,276,900
------------
RETAIL--FOOD--0.19%
KROGER CO (SR SUBORDINATED NOTE)
2,000,000 10.000%, 05/01/99................. 2,180,000
------------
RETAIL--GENERAL MERCHANDISE--0.81%
DILLIARD DEPARTMENT STORES, INC NOTE
2,000,000 7.150%, 09/01/02.................. 2,121,140
MAY DEPARTMENT STORES CO NOTE
3,000,000 7.150%, 08/15/04.................. 3,182,700
WAL-MART STORES, INC DEB
2,000,000 7.250%, 06/01/13.................. 2,140,120
WAL-MART STORES, INC NOTE
2,000,000 6.125%, 10/01/99.................. 2,021,000
------------
9,464,960
------------
UTILITIES--ELECTRIC--1.59%
COLUMBIA GAS SYSTEMS, INC DEB
3,000,000 6.800%, 11/28/05.................. 3,085,770
IDAHO POWER CO (FIRST MTGE BOND)
1,000,000 8.650%, 01/01/00.................. 1,090,730
POTOMAC ELECTRIC POWER CO
(FIRST MTGE BOND)
5,000,000 7.250%, 07/01/23.................. 5,227,000
PUGET SOUND POWER & LIGHT CO
(MEDIUM TERM NOTE)
5,000,000 8.060%, 06/19/06.................. 5,689,900
TEXAS NEW MEXICO POWER CO
(SECURED DEB)
3,000,000 12.500%, 01/15/99................. 3,375,000
------------
18,468,400
------------
See notes to financial statements.
-25-
<PAGE>
PAR
VALUE VALUE
----- -----
UTILITIES--TELEPHONE--0.88%
NEW YORK TELEPHONE CO DEB
3,000,000 7.250%, 02/15/24.................. $ 3,083,817
PACIFIC NORTHWEST BELL
TELEPHONE CO NOTE
1,500,000 7.500%, 12/01/96.................. 1,525,725
SOUTHWESTERN BELL TELEPHONE CO NOTE
3,000,000 6.250%, 10/15/02.................. 3,067,140
U.S. WEST COMMUNICATIONS, INC NOTE
2,500,000 6.625%, 09/15/05.................. 2,595,575
------------
10,272,257
------------
TOTAL CORPORATE BONDS
(COST $102,306,586) ................... 107,213,178
------------
GOVERNMENT BONDS--28.46%
AGENCY SECURITIES--1.15%
FEDERAL NATIONAL
MORTGAGE ASSOCIATION (FNMA)
4,000,000 5.640%, 11/23/98.................. 4,028,120
3,000,000 6.670%, 09/05/00.................. 3,050,160
2,000,000 6.375%, 10/13/00.................. 2,032,820
1,000,000 8.250%, 12/18/00.................. 1,113,750
2,000,000 6.240%, 01/28/04.................. 2,003,480
1,000,000 7.400%, 07/01/04.................. 1,099,530
------------
13,327,860
------------
MORTGAGE BACKED SECURITIES--9.93%
FEDERAL HOME LOAN
MORTGAGE CORP (FHLMC)
760,921 8.000%, 12/01/22.................. 788,945
484,321 8.000%, 01/01/23.................. 502,158
954,337 8.000%, 05/01/23.................. 989,227
1,543,828 7.000%, 05/01/23.................. 1,560,794
980,001 7.000%, 11/01/25.................. 988,879
980,000 7.000%, 12/01/25.................. 988,575
980,000 7.000%, 12/01/25.................. 988,575
FEDERAL NATIONAL
MORTGAGE ASSOCIATION (FNMA)
5,029,283 7.500%, 08/01/01.................. 5,147,119
924,867 8.000%, 12/01/09.................. 958,966
941,333 8.000%, 03/01/10.................. 976,039
989,318 8.000%, 04/01/10.................. 1,025,794
950,827 8.000%, 06/01/10.................. 985,883
5,000,000 7.000%, 01/25/11.................. 5,092,187
7,000,000 6.500%, 01/25/11.................. 7,035,000
980,001 8.000%, 09/01/24.................. 1,014,908
3,780,436 8.500%, 03/01/25.................. 3,945,830
4,554,716 9.000%, 04/01/25.................. 4,796,662
980,343 9.000%, 04/01/25.................. 1,032,418
981,567 9.000%, 04/01/25.................. 1,033,707
980,087 8.000%, 05/01/25.................. 1,014,997
980,763 9.000%, 06/01/25.................. 1,032,861
996,360 6.500%, 08/01/25.................. 984,523
3,768,348 8.000%, 09/01/25.................. 3,902,576
5,044,674 7.500%, 09/01/25.................. 5,169,176
1,019,022 7.000%, 10/01/25.................. 1,027,296
2,940,000 6.500%, 10/01/25.................. 2,905,072
3,920,000 6.500%, 10/01/25.................. 3,873,430
1,008,500 7.000%, 12/01/25.................. 1,016,378
1,001,550 7.000%, 12/01/25.................. 1,009,374
980,000 8.000%, 12/01/25.................. 1,014,912
1,004,925 7.000%, 12/01/25.................. 1,012,775
1,004,688 7.000%, 12/01/25.................. 1,012,846
1,020,000 7.000%, 12/01/25.................. 1,027,968
980,000 7.000%, 12/01/25.................. 987,656
992,434 7.000%, 12/01/25.................. 1,000,187
980,000 7.000%, 12/01/25.................. 987,656
980,000 6.500%, 12/01/25.................. 968,362
980,000 8.000%, 12/01/25.................. 1,014,912
980,000 7.000%, 12/01/25.................. 987,957
GOVERNMENT NATIONAL
MORTGAGE ASSOCIATION (GNMA)
909,031 8.500%, 09/15/09.................. 954,482
888,179 8.500%, 10/15/09.................. 932,587
949,823 8.500%, 12/15/09.................. 997,314
813,318 9.000%, 03/15/20.................. 866,435
270,468 9.000%, 08/15/20.................. 288,132
4,295,584 7.000%, 10/15/23.................. 4,346,572
2,697,644 7.000%, 11/15/23.................. 2,729,665
5,372,435 7.000%, 02/15/24.................. 5,436,205
1,965,897 8.000%, 06/15/24.................. 2,048,209
905,325 9.000%, 01/15/25.................. 959,074
579,382 9.000%, 01/15/25.................. 613,779
1,099,150 9.000%, 01/15/25.................. 1,164,406
948,324 8.500%, 05/15/25.................. 995,740
924,037 8.500%, 06/15/25.................. 970,238
883,969 8.500%, 06/15/25.................. 928,167
724,491 8.500%, 06/15/25.................. 760,715
939,600 8.500%, 06/15/25.................. 986,580
1,010,858 8.000%, 08/15/25.................. 1,053,182
1,008,796 8.000%, 08/15/25.................. 1,051,034
990,413 7.000%, 12/15/25.................. 1,001,864
980,000 7.000%, 12/15/25.................. 991,331
7,000,000 7.500%, 12/15/25.................. 7,196,875
1,004,769 7.000%, 12/15/25.................. 1,016,386
1,011,639 7.000%, 12/15/25.................. 1,023,336
980,000 7.000%, 12/15/25.................. 991,331
3,000,000 7.000%, 01/15/26.................. 3,034,687
RESOLUTION TRUST CORP SERIES 1992-8
(CLASS A-2) (MTGE PASS-THRU CERT)
447,938 8.250%, 12/25/26.................. 450,656
------------
115,591,562
------------
U.S. TREASURY SECURITIES--17.38%
U.S. TREASURY BONDS
3,000,000 9.375%, 02/15/06.................. 3,855,480
16,000,000 7.250%, 05/15/16.................. 18,269,920
4,000,000 7.625%, 11/15/22.................. 4,831,880
4,000,000 7.125%, 02/15/23.................. 4,573,760
17,000,000 7.625%, 02/15/25.................. 20,787,770
U.S. TREASURY NOTES
4,000,000 * 6.500%, 11/30/96.................. 4,042,480
16,000,000 8.000%, 01/15/97.................. 16,437,440
6,000,000 * 6.875%, 03/31/97.................. 6,118,140
6,000,000 7.375%, 11/15/97.................. 6,226,860
12,000,000 7.250%, 02/15/98.................. 12,478,080
2,000,000 5.125%, 02/28/98.................. 1,996,560
4,000,000 5.125%, 03/31/98.................. 3,993,120
5,000,000 9.000%, 05/15/98.................. 5,414,050
12,000,000 6.125%, 05/15/98.................. 12,240,000
3,000,000 * 6.750%, 05/31/99.................. 3,133,590
14,000,000 * 6.875%, 07/31/99.................. 14,700,000
15,000,000 7.750%, 11/30/99.................. 16,253,850
3,000,000 7.750%, 01/31/00.................. 3,258,750
3,000,000 8.500%, 02/15/00.................. 3,343,110
2,000,000 8.750%, 08/15/00.................. 2,271,560
3,000,000 7.750%, 02/15/01.................. 3,312,660
3,000,000 8.000%, 05/15/01.................. 3,358,110
10,000,000 * 7.500%, 11/15/01.................. 11,014,100
4,000,000 5.750%, 08/15/03.................. 4,048,120
See notes to financial statements.
-26-
<PAGE>
PAR
VALUE VALUE
----- -----
U.S. TREASURY SECURITIES (CONTINUED)
4,000,000 5.875%, 02/15/04.................. $ 4,084,360
5,000,000 7.250%, 05/15/04.................. 5,550,000
3,000,000 7.250%, 08/15/04.................. 3,336,090
3,000,000 7.875%, 11/15/04.................. 3,472,500
------------
202,402,340
------------
TOTAL GOVERNMENT BONDS
(COST $318,793,764).................... 331,321,762
------------
TOTAL BONDS
(COST $421,100,350).................... 438,534,940
------------
SHARES
------
COMMON STOCK--61.49%
AIR TRANSPORTATION--0.69%
32,900 o AMR CORP............................. 2,442,825
63,900 DELTA AIRLINES, INC.................. 4,720,612
11,450 SOUTHWEST AIRLINES CO................ 266,212
3,750 o UAL CORP NEW......................... 669,375
------------
8,099,024
------------
AUTOMOTIVE & RELATED--0.87%
600 BANDAG, INC.......................... 32,475
28,300 CUMMINS ENGINE CO, INC............... 1,047,100
51,400 ECHLIN, INC.......................... 1,876,100
21,400 FEDERAL-MOGUL CORP................... 419,975
127,900 GENUINE PARTS CO..................... 5,243,900
31,200 GRACO, INC........................... 951,600
22,000 MODINE MANUFACTURING CO.............. 528,000
------------
10,099,150
------------
BANKS--4.60%
124,150 BANC ONE CORP........................ 4,686,662
6,600 BANK OF NEW YORK CO, INC............. 321,750
113,100 BANKAMERICA CORP..................... 7,323,225
11,700 BANKERS TRUST NEW YORK CORP.......... 778,050
19,900 BARNETT BANKS, INC................... 1,174,100
45,400 CHEMICAL BANKING CORP................ 2,667,250
87,091 CITICORP............................. 5,856,869
68,340 FIRST CHICAGO NBD CORP............... 2,699,430
29,132 FIRST UNION CORP..................... 1,620,467
34,049 FLEET FINANCIAL GROUP, INC NEW....... 1,387,496
77,500 MORGAN (J.P.) & CO, INC.............. 6,219,375
63,286 NATIONSBANK CORP..................... 4,406,287
88,600 NORWEST CORP......................... 2,923,800
73,600 PNC BANK CORP........................ 2,373,600
49,500 SUNTRUST BANKS, INC.................. 3,390,750
58,400 WACHOVIA CORP NEW.................... 2,671,800
13,975 WELLS FARGO & CO..................... 3,018,600
------------
53,519,511
------------
BEVERAGES--2.14%
242,800 COCA COLA CO......................... 18,027,900
123,500 PEPSICO, INC......................... 6,900,562
------------
24,928,462
------------
BROADCASTERS--1.20%
72,500 CAPITAL CITIES/ABC, INC.............. 8,944,687
6,300 COMCAST CORP (CLASS A)............... 111,037
15,650 COMCAST CORP (CLASS A) SPL........... 284,634
27,275 o LIBERTY MEDIA GROUP CLASS A.......... 733,015
109,100 o TELE-COMMUNICATIONS, INC
(CLASS A) NEW....................... 2,168,362
35,431 o VIACOM, INC (CLASS B)................ 1,678,543
5,873 o VIACOM, INC (CLASS B) WTS 07/07/97... 16,884
3,523 o VIACOM, INC (CLASS B) WTS 07/07/99... 19,376
------------
13,956,538
------------
BUSINESS SERVICES--0.28%
12,600 DELUXE CORP.......................... 365,400
4,650 DIEBOLD, INC......................... 257,493
75,200 PREMIER INDUSTRIAL CORP NEW.......... 1,842,400
48,200 SENSORMATIC ELECTRONICS CORP......... 837,475
------------
3,302,768
------------
CHEMICALS--MAJOR--0.43%
148,600 PRAXAIR, INC......................... 4,996,675
------------
CHEMICALS--SPECIALTY--1.15%
26,900 BETZ LABORATORIES, INC............... 1,102,900
18,089 FULLER (H.B.) CO..................... 628,592
104,400 LYONDELL PETROCHEMICAL CO............ 2,388,150
33,800 MALLINCKRODT GROUP, INC.............. 1,229,475
49,500 NALCO CHEMICAL CORP.................. 1,491,187
9,000 NCH CORP............................. 519,750
11,500 RAYCHEM CORP......................... 654,062
80,462 SCHULMAN A, INC...................... 1,810,395
54,100 SIGMA ALDRICH CORP................... 2,677,950
22,900 WD-40 CO............................. 938,900
------------
13,441,361
------------
COMMUNICATION EQUIPMENT &
SERVICES--0.59%
107,082 o AIRTOUCH COMMUNICATIONS, INC......... 3,025,066
42,800 o CISCO SYSTEMS, INC................... 3,193,950
10,600 o DSC COMMUNICATIONS CORP.............. 390,875
15,400 o NOVELL, INC.......................... 219,450
------------
6,829,341
------------
COMPUTER SERVICE--1.54%
46,000 AUTOMATIC DATA PROCESSING, INC....... 3,415,500
39,900 COMPUTER ASSOCIATES
INTERNATIONAL, INC.................. 2,269,312
104,000 o MICROSOFT CORP....................... 9,126,000
73,650 o ORACLE CORP.......................... 3,120,918
------------
17,931,730
------------
CONGLOMERATES--1.31%
19,400 ALCO STANDARD CORP................... 885,125
191,500 MINNESOTA MINING &
MANUFACTURING CO.................... 12,686,875
70,600 WHITMAN CORP......................... 1,641,450
------------
15,213,450
------------
COSMETICS--0.84%
34,300 AVON PRODUCTS, INC................... 2,585,362
136,200 GILLETTE CO.......................... 7,099,425
1,000 INTERNATIONAL FLAVORS &
FRAGRANCES, INC..................... 48,000
------------
9,732,787
------------
ELECTRICAL EQUIPMENT--0.21%
10,350 BALDOR ELECTRIC CO................... 208,293
33,100 GRAINGER (W.W.), INC................. 2,192,875
------------
2,401,168
------------
ELECTRICAL EQUIPMENT--
COMPONENTS DIVERSIFIED--1.50%
28,900 o ADVANCED MICRO DEVICES, INC.......... 476,850
24,400 AVNET, INC........................... 1,091,900
182,600 INTEL CORP........................... 10,362,550
47,500 MICRON TECHNOLOGY, INC............... 1,882,187
16,093 MOLEX, INC........................... 510,952
43,200 o NATIONAL SEMICONDUCTOR CORP.......... 961,200
71,018 o VISHAY INTERTECHNOLOGY, INC.......... 2,237,067
------------
17,522,706
------------
See notes to financial statements.
-27-
<PAGE>
SHARES VALUE
------ -----
ELECTRICAL EQUIPMENT--
INSTRUMENTS--0.15%
43,600 o APPLIED MATERIALS, INC............... $ 1,716,750
------------
FINANCIAL--MISCELLANEOUS--2.73%
129,700 AMERICAN EXPRESS CO.................. 5,366,337
37,809 DEAN WITTER DISCOVER & CO............ 1,777,023
40,500 FEDERAL HOME LOAN MORTGAGE CORP...... 3,381,750
88,400 FEDERAL NATIONAL
MORTGAGE ASSOCIATION................ 10,972,650
52,746 GREAT WESTERN FINANCIAL CORP......... 1,345,023
14,909 HOUSEHOLD INTERNATIONAL, INC......... 881,494
15,400 MBNA CORP............................ 567,875
65,500 MERRILL LYNCH & CO, INC.............. 3,340,500
34,800 MORGAN STANLEY GROUP, INC............ 2,805,750
21,400 STUDENT LOAN MARKETING
ASSOCIATION......................... 1,409,725
------------
31,848,127
------------
FOODS--3.37%
114,100 CAMPBELL SOUP CO..................... 6,846,000
119,700 CONAGRA, INC......................... 4,937,625
57,500 CPC INTERNATIONAL, INC............... 3,945,937
102,000 GENERAL MILLS, INC................... 5,890,500
118,050 HEINZ (H.J.) CO...................... 3,910,406
52,600 HERSHEY FOODS CORP................... 3,419,000
45,600 KELLOGG CO........................... 3,522,600
5,800 MCCORMICK & CO, INC.................. 139,925
107,600 QUAKER OATS CO....................... 3,712,200
56,000 WRIGLEY (WM) JR CO................... 2,940,000
------------
39,264,193
------------
HEALTHCARE--DRUGS--3.63%
48,100 o ALZA CORP............................ 1,190,475
77,400 o AMGEN, INC........................... 4,595,625
9,922 BERGEN BRUNSWIG CORP (CLASS A)....... 246,809
24,600 o FOREST LABORATORIES, INC............. 1,113,150
18,400 o GENZYME CORP......................... 1,147,700
2,484 o GENZYME CORP
(TISSUE REPAIR DIVISION)............ 39,433
23,400 IVAX CORP............................ 666,900
56,400 MCKESSON CORP NEW.................... 2,855,250
290,900 MERCK & CO, INC...................... 19,126,675
34,500 MYLAN LABORATORIES, INC.............. 810,750
189,800 SCHERING-PLOUGH CORP................. 10,391,550
6,680 o THERAPEUTIC DISCOVERY CORP (UNITS)... 48,430
------------
42,232,747
------------
HEALTHCARE--HOSPITAL SUPPLY--1.83%
109,400 BECTON DICKINSON & CO................ 8,205,000
153,200 JOHNSON & JOHNSON.................... 13,117,750
------------
21,322,750
------------
HEALTHCARE--OTHER--0.36%
12,000 ALLERGAN, INC........................ 390,000
12,800 BAUSCH & LOMB, INC................... 507,200
6,500 o BIOMET, INC.......................... 116,187
28,600 HILLENBRAND INDUSTRIES, INC.......... 968,825
40,000 MEDTRONIC, INC....................... 2,235,000
------------
4,217,212
------------
HEALTHCARE--SERVICE--0.46%
85,537 COLUMBIA/HCA HEALTHCARE CORP......... 4,341,002
51,600 o TENET HEALTHCARE CORP................ 1,070,700
235 o TRANSPORT HOLDINGS,
INC (CLASS A)...................... 9,576
------------
5,421,278
------------
HOUSEHOLD--DURABLE GOODS--0.43%
65,400 NEWELL COS, INC...................... 1,692,225
63,400 WHIRLPOOL CORP....................... 3,376,050
------------
5,068,275
------------
HOUSEHOLD--PRODUCTS--1.89%
66,100 CLOROX CO............................ 4,734,412
42,000 COLGATE PALMOLIVE CO................. 2,950,500
144,700 PROCTER & GAMBLE CO.................. 12,010,100
90,300 RUBBERMAID, INC...................... 2,302,650
------------
21,997,662
------------
INSURANCE--MULTI-LINE,
PROPERTY & CASUALTY--2.66%
32,700 AETNA LIFE & CASUALTY CO............. 2,264,475
97,153 ALLSTATE CORP........................ 3,995,417
193,030 AMERICAN INTERNATIONAL
GROUP, INC.......................... 17,855,275
13,000 CHUBB CORP........................... 1,257,750
3,500 o CNA FINANCIAL CORP................... 397,250
12,800 GENERAL REINSURANCE CORP............. 1,984,000
3,100 TRANSAMERICA CORP.................... 225,912
47,144 TRAVELERS GROUP, INC................. 2,964,179
------------
30,944,258
------------
LEISURE TIME--0.90%
118,400 DISNEY (WALT) CO..................... 6,985,600
38,600 HASBRO, INC.......................... 1,196,600
75,033 MATTEL, INC.......................... 2,307,264
------------
10,489,464
------------
MACHINERY--1.01%
63,000 o BJ SERVICES CO....................... 1,827,000
98,700 DEERE & CO........................... 3,479,175
46,400 ILLINOIS TOOL WORKS, INC............. 2,737,600
87,500 KEYSTONE INTERNATIONAL, INC.......... 1,750,000
25,900 NORDSON CORP......................... 1,456,875
12,696 TIMKIN CO............................ 485,622
------------
11,736,272
------------
METALS--ALUMINIUM--0.23%
88,200 o ALUMAX, INC.......................... 2,701,125
------------
METALS--GOLD--0.29%
279,500 SANTE FE PACIFIC GOLD CORP........... 3,388,937
------------
METALS--STEEL--0.74%
103,000 ALLEGHENY LUDLUM CORP................ 1,905,500
14,500 BIRMINGHAM STEEL CORP................ 215,687
30,500 HANNA (M.A.) CO...................... 854,000
64,100 NUCOR CORP........................... 3,661,712
92,850 WORTHINGTON INDUSTRIES, INC.......... 1,932,440
------------
8,569,339
------------
OFFICE EQUIPMENT--2.85%
48,300 APPLE COMPUTER, INC.................. 1,539,562
68,900 o COMPAQ COMPUTER CORP................. 3,307,200
129,000 HEWLETT-PACKARD CO................... 10,803,750
135,900 INTERNATIONAL BUSINESS
MACHINES CORP....................... 12,468,825
84,200 o TANDEM COMPUTERS, INC................ 894,625
30,100 XEROX CORP........................... 4,123,700
------------
33,137,662
------------
PAPER--1.15%
149,400 CONSOLIDATED PAPERS, INC............. 8,385,075
106,100 UNION CAMP CORP...................... 5,053,012
------------
13,438,087
------------
See notes to financial statements.
-28-
<PAGE>
SHARES VALUE
------ -----
PETROLEUM--EXPLORATION &
PRODUCTION--1.54%
56,800 ANADARKO PETROLEUM CORP.............. $ 3,074,300
41,500 APACHE CORP.......................... 1,224,250
57,700 LOUISIANA LAND & EXPLORATION CO...... 2,473,887
60,200 MITCHELL ENERGY & DEVELOPMENT
CORP (CLASS B)...................... 1,128,750
109,100 MURPHY OIL CORP...................... 4,527,650
78,200 NOBLE AFFILIATES, INC................ 2,336,225
157,500 o ORYX ENERGY CO....................... 2,106,562
105,500 o SANTA FE ENERGY RESOURCES, INC....... 1,015,437
------------
17,887,061
------------
PETROLEUM--SERVICE--1.59%
17,700 CABOT CORP........................... 953,587
90,900 DRESSER INDUSTRIES, INC.............. 2,215,687
5,775 o ENSCO INTERNATIONAL, INC............. 132,825
81,700 HELMERICH & PAYNE, INC............... 2,430,575
102,900 o NABORS INDUSTRIES, INC............... 1,144,762
97,800 o NOBLE DRILLING CORP.................. 880,200
192,700 o PARKER DRILLING CO................... 1,180,287
123,900 o ROWAN COS, INC....................... 1,223,512
131,000 o SMITH INTERNATIONAL, INC............. 3,078,500
32,200 SONAT OFFSHORE DRILLING, INC......... 1,440,950
47,658 o WEATHERFORD ENTERRA, INC............. 1,376,124
49,200 o WESTERN ATLAS, INC................... 2,484,600
------------
18,541,609
------------
PROPERTY--REAL ESTATE--0.35%
108,700 WEINGARTEN REALTY INVESTORS, INC..... 4,130,600
------------
PUBLISHING--NEWSPAPER--0.88%
55,745 o COX COMMUNICATIONS, INC
(CLASS A) NEW....................... 1,087,027
26,900 DOW JONES & CO, INC.................. 1,072,637
77,700 GANNETT CO, INC...................... 4,768,837
4,000 KNIGHT-RIDDER, INC................... 250,000
90,600 TIMES MIRROR CO (SERIES A) NEW....... 3,069,075
------------
10,247,576
------------
PUBLISHING--OTHER--0.91%
16,400 DONNELLEY (R.R.) & SONS CO........... 645,750
68,900 DUN & BRADSTREET CORP................ 4,461,275
23,300 MCGRAW HILL COS, INC................. 2,030,012
91,188 TIME WARNER, INC..................... 3,453,745
------------
10,590,782
------------
RAILROAD--0.96%
140,400 NORFOLK SOUTHERN CORP................ 11,144,250
------------
RESTAURANTS & HOTELS--1.15%
102,000 DARDEN RESTAURANTS, INC.............. 1,211,250
217,100 MCDONALDS CORP....................... 9,796,637
72,400 SYSCO CORP........................... 2,353,000
------------
13,360,887
------------
RETAIL--FOOD--0.31%
88,300 ALBERTSONS, INC...................... 2,902,862
18,800 o KROGER CO............................ 705,000
------------
3,607,862
------------
RETAIL--GENERAL MERCHANDISE--2.04%
55,500 HOME DEPOT, INC...................... 2,657,062
148,600 K MART CORP.......................... 1,077,350
30,900 LIMITED, INC......................... 536,887
33,600 MAY DEPARTMENT STORES CO............. 1,419,600
53,600 PENNEY, (J.C.) CO, INC............... 2,552,700
20,600 ROUSE CO............................. 419,725
104,800 SEARS ROEBUCK & CO................... 4,087,200
45,950 o TOYS R US, INC....................... 999,412
415,500 WAL-MART STORES, INC................. 9,296,812
53,600 WOOLWORTH CORP....................... 696,800
------------
23,743,548
------------
TEXTILE & APPAREL--0.40%
15,800 LIZ CLAIBORNE, INC................... 438,450
60,600 NIKE, INC (CLASS B).................. 4,219,275
------------
4,657,725
------------
TRUCKERS & SHIPPING--0.26%
56,100 ARNOLD INDUSTRIES, INC............... 974,737
42,200 ROADWAY SERVICES, INC................ 2,062,525
------------
3,037,262
------------
UTILITIES--ELECTRIC--1.73%
20,700 IDAHO POWER CO....................... 621,000
35,250 LOUISVILLE GAS & ELECTRIC
ENERGY CORP......................... 1,489,312
118,700 NIPSCO INDUSTRIES, INC............... 4,540,275
279,800 POTOMAC ELECTRIC POWER CO............ 7,344,750
71,800 PUGET SOUND POWER & LIGHT CO......... 1,669,350
174,600 TECO ENERGY, INC..................... 4,474,125
------------
20,138,812
------------
UTILITIES--GAS & PIPELINE--1.63%
19,400 BROOKLYN UNION GAS CO................ 567,450
20,900 o COLUMBIA GAS SYSTEMS, INC............ 916,987
109,000 CONSOLIDATED NATURAL GAS CO.......... 4,945,875
26,600 EL PASO NATURAL GAS CO NEW........... 754,775
18,900 EQUITABLE RESOURCES, INC............. 590,625
1,400 o IONICS, INC.......................... 60,900
37,100 NICOR, INC........................... 1,020,250
67,800 PACIFIC ENTERPRISES, INC............. 1,915,350
8,600 PEOPLES ENERGY CORP.................. 273,050
134,900 SONAT, INC........................... 4,805,812
70,600 WILLIAMS COS, INC.................... 3,097,575
------------
18,948,649
------------
UTILITIES--TELEPHONE--5.71%
161,000 AMERITECH CORP NEW................... 9,499,000
166,300 BELL ATLANTIC CORP................... 11,121,312
335,000 BELLSOUTH CORP....................... 14,572,500
60,300 MCI COMMUNICATIONS CORP.............. 1,575,337
110,700 NYNEX CORP........................... 5,977,800
106,082 PACIFIC TELESIS GROUP................ 3,567,007
163,600 SBC COMMUNICATIONS, INC.............. 9,407,000
47,700 SPRINT CORP.......................... 1,902,037
161,144 U.S. WEST COMMUNICATIONS GROUP....... 5,760,898
161,144 o U.S. WEST MEDIA GROUP................ 3,061,736
------------
66,444,627
------------
TOTAL COMMON STOCK
(COST $523,572,512).................... 715,950,059
------------
See notes to financial statements.
-29-
<PAGE>
PAR
VALUE VALUE
------ -----
SHORT TERM INVESTMENTS--1.72%
COMMERCIAL PAPER--1.72%
COMMERCIAL CREDIT CO
3,400,000 5.550%, 01/02/96..................$ 3,399,012
PRAXAIR
5,000,000 5.850%, 01/08/96.................. 4,993,264
11,700,000 5.850%, 01/19/96.................. 11,663,125
--------------
20,055,401
--------------
TOTAL SHORT TERM INVESTMENTS
(COST $20,059,566)..................... 20,055,401
--------------
ROUNDING............................. 74
--------------
TOTAL PORTFOLIO
(COST $964,732,428)....................$1,174,540,474
==============
- ----------------
o NON-INCOME PRODUCING
* ALL OR A PORTION OF THIS SECURITY HAS BEEN SEGREGATED BY THE
CUSTODIAN TO COVER SECURITIES PURCHASED ON A DELAYED DELIVERY BASIS.
See notes to financial statements.
-30-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENT OF INVESTMENTS--GLOBAL EQUITIES ACCOUNT
DECEMBER 31, 1995
SUMMARY BY INDUSTRY
VALUE %
----- -----
BONDS
CORPORATE BONDS
AUTOMOTIVE & RELATED.............. $ 40,123 0.00%
BROADCASTERS...................... 90,557 0.00
INSURANCE--MULTI-LINE,
PROPERTY & CASUALTY............. 108,943 0.00
-------------- ------
TOTAL CORPORATE BONDS
(COST $176,095)................... 239,623 0.00
-------------- ------
TOTAL BONDS
(COST $176,095).................... 239,623 0.00
-------------- ------
PREFERRED STOCK
FOREST PRODUCTS................... 6,098,767 0.20
PUBLISHING--NEWSPAPER............. 43,870,240 1.42
UTILITIES--ELECTRIC............... 79,368 0.00
-------------- ------
TOTAL PREFERRED STOCK
(COST $54,085,454)................. 50,048,375 1.62
-------------- ------
COMMON STOCK
AEROSPACE......................... 12,749,460 0.41
AIR TRANSPORTATION................ 17,619,503 0.57
AUTOMOTIVE & RELATED.............. 136,963,769 4.42
BANKS............................. 297,316,343 9.59
BEVERAGES......................... 63,548,598 2.05
BROADCASTERS...................... 176,876,567 5.71
BUSINESS SERVICES................. 13,557,164 0.44
CHEMICALS--MAJOR.................. 36,330,761 1.17
CHEMICALS--SPECIALTY.............. 12,559,234 0.41
COMMUNICATION EQUIPMENT & SERVICES 100,251,162 3.24
COMPUTER SERVICE.................. 34,516,167 1.11
CONGLOMERATES..................... 76,786,331 2.48
CONSTRUCTION--MATERIALS & BUILDERS 54,831,056 1.77
COSMETICS......................... 7,365,343 0.24
ELECTRICAL EQUIPMENT.............. 120,690,143 3.89
ELECTRICAL EQUIPMENT--
COMPONENTS DIVERSIFIED.......... 63,236,723 2.04
ELECTRICAL EQUIPMENT--INSTRUMENTS. 16,854,476 0.54
ENVIRONMENTAL CONTROL............. 2,339,212 0.08
FINANCIAL--MISCELLANEOUS.......... 52,632,245 1.70
FOODS............................. 54,046,473 1.74
FOREST PRODUCTS................... 41,328,728 1.33
HEALTHCARE--DRUGS................. 135,023,270 4.36
HEALTHCARE--HOSPITAL SUPPLY....... 21,314,908 0.69
HEALTHCARE--OTHER................. 809,082 0.03
HEALTHCARE--SERVICE............... 116,927,422 3.77
HOUSEHOLD--CONSUMER ELECTRONICS... 30,878,839 1.00
HOUSEHOLD--DURABLE GOODS.......... 2,274,675 0.07
HOUSEHOLD--PRODUCTS............... 11,197,384 0.36
INSURANCE--BROKERS & OTHER........ 299,925 0.01
INSURANCE--LIFE................... 3,332,821 0.11
INSURANCE--MULTI-LINE,
PROPERTY & CASUALTY............. 69,817,684 2.25
LEISURE TIME...................... 102,129,542 3.30
MACHINERY......................... 69,318,516 2.24
METALS--ALUMINIUM................. 5,456,072 0.18
METALS--GOLD...................... 2,168,552 0.07
METALS--NON-FERROUS............... 25,105,980 0.81
METALS--STEEL..................... 35,943,884 1.16
MISCELLANEOUS MATERIALS &
COMMODITIES..................... 6,310,213 0.20
OFFICE EQUIPMENT.................. 97,338,609 3.14
PAPER............................. 7,017,208 0.23
PETROLEUM--
EXPLORATION & PRODUCTION........ 26,925,735 0.87
PETROLEUM--INTEGRATED............. 50,264,989 1.62
PETROLEUM--SERVICE................ 80,325,234 2.59
PHOTOGRAPHY 5,433,700 0.18
PROPERTY--REAL ESTATE............. 41,624,026 1.34
PUBLISHING--NEWSPAPER............. 7,611,043 0.25
PUBLISHING--OTHER................. 46,203,839 1.49
RAILROAD.......................... 23,991,463 0.77
RESTAURANTS & HOTELS.............. 12,339,820 0.40
RETAIL--FOOD...................... 20,757,286 0.67
RETAIL--GENERAL MERCHANDISE....... 121,224,998 3.91
TEXTILE & APPAREL................. 18,821,888 0.61
TOBACCO........................... 82,506,433 2.66
TRADING COMPANIES................. 14,455,622 0.47
TRUCKERS & SHIPPING............... 26,104,510 0.84
UTILITIES--ELECTRIC............... 62,331,844 2.01
UTILITIES--GAS & PIPELINE......... 33,296,469 1.07
UTILITIES--OTHER.................. 15,877,456 0.51
UTILITIES--TELEPHONE.............. 71,590,786 2.31
-------------- ------
TOTAL COMMON STOCK
(COST $2,557,751,362) ............. 2,896,751,185 93.48
-------------- ------
SHORT TERM INVESTMENTS
BANKERS ACCEPTANCES .............. 7,959,335 0.26
COMMERCIAL PAPER ................. 108,159,683 3.49
GOVERNMENT AGENCIES .............. 133,677,242 4.31
-------------- ------
TOTAL SHORT TERM INVESTMENTS
(COST $249,869,965) ............... 249,796,260 8.06
-------------- -------
ROUNDING ........................ 284 0.00
-------------- -------
TOTAL PORTFOLIO
(COST $2,861,882,876) ............. 3,196,835,727 103.16
OTHER ASSETS & LIABILITIES, NET . (98,040,628) (3.16)
-------------- ------
NET ASSETS ......................... $3,098,795,099 100.00%
============== ======
See notes to financial statements.
-31-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENT OF INVESTMENTS--GLOBAL EQUITIES ACCOUNT
DECEMBER 31, 1995
SUMMARY BY COUNTRY
VALUE %
----- ----
DOMESTIC:
UNITED STATES.................... $1,139,091,559 35.63%
-------------- ------
TOTAL DOMESTIC................... 1,139,091,559 35.63
-------------- ------
FOREIGN:
AUSTRALIA...................... 45,406,344 1.42
BELGIUM........................ 7,470,885 0.23
BRAZIL......................... 6,098,768 0.19
CANADA......................... 11,408,958 0.36
DENMARK........................ 3,758,313 0.12
FINLAND........................ 13,995,000 0.44
FRANCE......................... 73,598,935 2.30
GERMANY........................ 83,346,619 2.61
HONG KONG...................... 58,039,659 1.82
ITALY.......................... 14,942,995 0.47
JAPAN.......................... 718,267,564 22.47
MALAYSIA....................... 36,811,516 1.15
MISCELLEANEOUS................. 18,668,810 0.58
NETHERLANDS.................... 144,617,335 4.52
NORWAY......................... 45,364,850 1.42
SINGAPORE...................... 24,866,498 0.78
SPAIN.......................... 9,367,143 0.29
SWEDEN......................... 121,189,345 3.79
SWITZERLAND.................... 96,797,435 3.03
UNITED KINGDOM................. 273,930,936 8.57
-------------- ------
TOTAL FOREIGN.................... 1,807,947,908 56.56
-------------- ------
SHORT TERM INVESTMENTS........... 249,796,260 7.81
-------------- ------
TOTAL PORTFOLIO.................. $3,196,835,727 100.00%
============== ======
See notes to financial statements.
-32-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENT OF INVESTMENTS--GLOBAL EQUITIES ACCOUNT
DECEMBER 31, 1995
PAR
VALUE VALUE
- ----- -----
BONDS--0.00%
CORPORATE BONDS--0.00%
AUTOMOTIVE & RELATED--0.00%
MICHELIN S.A. CV
743(1) 2.500%, 01/01/01................. $ 40,123
------------
BROADCASTERS--0.00%
VIACOM INTERNATIONAL, INC
(SUBORDINATED DEB)
89,000 8.000%, 07/07/06................. 90,557
------------
INSURANCE--MULTI-LINE,
PROPERTY & CASUALTY--0.00%
AXA S.A. CV
1,531(1) 4.500%, 01/01/99................. 108,943
------------
TOTAL CORPORATE BONDS
(COST $176,095)....................... 239,623
------------
TOTAL BONDS
(COST $176,095)....................... 239,623
------------
- --------
(1) DENOMINATED IN FRENCH FRANCS
SHARES
------
PREFERRED STOCK--1.62%
FOREST PRODUCTS--0.20%
3,900,000 ARACRUZ CELULOSE S.A................ 6,098,767
------------
PUBLISHING--NEWSPAPER--1.42%
9,375,724 NEWS CORP LTD (LTD-VTG)............. 43,870,240
------------
UTILITIES--ELECTRIC--0.00%
284 RHEIN-WESTFALEN ELECTRIC AG.
(NON-VTG).......................... 79,368
------------
TOTAL PREFERRED STOCK
(COST $54,085,454).................... 50,048,375
------------
COMMON STOCK--93.48%
AEROSPACE--0.41%
34,900 AVIALL, INC NEW..................... 327,187
41,300 BOEING CO........................... 3,236,887
148,492 BRITISH AEROSPACE PLC............... 1,837,472
5,868 o BRITISH AEROSPACE PLC
WTS 11/15/00...................... 28,425
33,200 EG & G, INC......................... 805,100
1,000 GENERAL DYNAMICS CORP............... 59,125
17,700 MCDONNELL DOUGLAS CORP.............. 1,628,400
321,250 ROLLS ROYCE LTD..................... 942,680
2,834 SAGEM S.A........................... 1,593,599
99,433 SMITHS INDUSTRIES PLC............... 981,854
58,665 THOMSON-CSF......................... 1,308,731
------------
12,749,460
------------
AIR TRANSPORTATION--0.57%
216,385 BRITISH AIRWAYS PLC................. 1,565,570
15,700 o FEDERAL EXPRESS CORP................ 1,159,837
944,000 o JAPAN AIRLINES CO LTD............... 6,268,528
13,670 LUFTHANSA AG........................ 1,886,275
954,000 MALAYSIAN AIRLINE SYSTEM BERHAD..... 3,099,843
390,000 SINGAPORE INTERNATIONAL
AIRLINES LTD (FR).................. 3,639,450
------------
17,619,503
------------
AUTOMOTIVE & RELATED--4.42%
855,850 AUTOLIV AB.......................... 50,105,680
5,378 BBA GROUP PLC....................... 24,172
270,000 BRIDGESTONE CORP.................... 4,292,503
51,804 CHRYSLER CORP....................... 2,868,646
70,920 CONTINENTAL AG...................... 990,987
15,536 DAIMLER BENZ AG..................... 7,836,930
609,999 FIAT S.P.A.......................... 1,982,984
98,267 GENERAL MOTORS CORP................. 5,195,867
36,650 GENUINE PARTS CO.................... 1,502,650
35,600 GOODYEAR TIRE & RUBBER CO........... 1,615,350
260,670 GUEST KEEN NETTLEFOLDS LTD.......... 3,152,739
341,000 HONDA MOTOR CO LTD.................. 7,041,043
305,678 LEX SERVICE GROUP LTD............... 1,452,262
15,080 MICHELIN S.A. (CLASS B)............. 602,213
518,000 NIPPON DENSO CO LTD................. 9,691,479
965,000 NISSAN MOTOR CORP LTD............... 7,418,285
9,100 PEUGEOT S.A......................... 1,202,044
1,250,645 TOYOTA MOTOR CORP................... 26,551,018
10,257 VOLKSWAGENWERKE AG.................. 3,436,917
------------
136,963,769
------------
BANKS--9.59%
247,781 ABBEY NATIONAL PLC.................. 2,446,722
655,000 ASAHI BANK.......................... 8,254,441
949,000 ASHIKAGA BANK....................... 5,924,546
92 BANC ONE CORP....................... 3,473
318,000 BANCA COMMERCIALE ITALIANA S.P.A.... 679,152
17,180 BANCO CENTRALE
HISPANOAMERICANO S.A............... 348,372
3,207 BANK OF BOSTON CORP................. 148,323
43,196 BANK OF NOVA SCOTIA................. 942,211
568,000 BANK OF TOKYO LTD................... 9,966,207
373,000 BANK OF YOKOHAMA LTD................ 3,055,403
69,057 BANKAMERICA CORP.................... 4,471,440
20,200 BANKERS TRUST NEW YORK CORP......... 1,343,300
48,031 BANQUE NATIONALE DE PARIS........... 2,169,521
31,365 BANQUE PARIBAS...................... 1,722,011
271,680 BARCLAYS PLC........................ 3,117,178
16,000 BARNETT BANKS, INC.................. 944,000
17,100 BOATMENS BANCSHARES, INC............ 698,962
402 CANADIAN IMPERIAL BANK OF COMMERCE.. 11,973
8,437 CHASE MANHATTAN CORP................ 511,493
242,000 CHIBA BANK LTD...................... 2,181,731
53,934 CITICORP............................ 3,627,061
36,025 COMPAGNIE DE SUEZ................... 1,487,996
200 CORESTATES FINANCIAL CORP........... 7,575
5,256 CREDIT NATIONAL S.A................. 386,905
20,117 CS HOLDINGS (REGD).................. 2,067,293
929,000 DAI-ICHI KANGO BANK LTD............. 18,281,623
97,000 DEVELOPMENT BANK OF
SINGAPORE LTD (FR)................. 1,206,928
150 FIRST CHICAGO NBD CORP.............. 5,925
10,877 FIRST INTERSTATE BANCORP............ 1,484,710
25,754 FLEET FINANCIAL GROUP, INC NEW...... 1,049,475
866,000 FUJI BANK LTD....................... 19,140,609
186,000 GUNMA BANK.......................... 2,001,423
760,000 HANG SENG BANK LTD.................. 6,806,585
1,110,000 HOKURIKU BANK LTD................... 6,961,939
103,787 HSBC HOLDINGS LTD................... 1,570,452
-33-
<PAGE>
SHARES VALUE
------ -----
BANKS (CONTINUED)
551,877 HSBC HOLDINGS LTD (HONG KONG)....... $ 8,414,210
504,786 HSBC HOLDINGS LTD (UNITED KINGDOM).. 7,884,331
715,000 INDUSTRIAL BANK OF JAPAN LTD........ 21,694,687
335,650 JOYO BANK........................... 2,700,646
554,298 LLOYDS TSB GROUP PLC................ 2,852,899
540,000 MALAYAN BANKING BERHAD.............. 4,551,399
88,500 MALAYAN BANKING BERHAD
(SINGAPORE)........................ 732,025
117,270 MEDIOBANCA S.P.A.................... 812,311
12,000 MIDLANTIC CORP...................... 787,500
595,000 MITSUBISHI TRUST & BANKING CORP..... 9,920,839
371,000 MITSUI TRUST & BANKING CO LTD....... 4,064,015
85,830 MORGAN (J.P.) & CO, INC............. 6,887,857
61,923 NATIONSBANK CORP.................... 4,311,388
29,000 NORWEST CORP........................ 957,000
116,199 OVERSEAS-CHINESE
BANKING CORP LTD (FR).............. 1,454,028
199,639 ROYAL BANK OF SCOTLAND PLC.......... 1,816,362
1,038,000 SAKURA BANK......................... 13,181,707
208,000 SEVENTY-SEVEN (77) BANK LTD......... 1,909,485
280,000 SHIZUOKA BANK LTD................... 3,528,616
1,042,200 SIGNET BANKING CORP................. 24,752,250
4,585 SOCIETE GENERALE S.A................ 567,206
1,118,000 SUMITOMO BANK LTD................... 23,734,983
124,300 SUNTRUST BANKS, INC................. 8,514,550
14,032 SWISS BANK CORP (BR)................ 5,743,521
13,169 SWISS BANK CORP (REGD).............. 2,695,140
578,000 TOKAI BANK LTD...................... 8,068,510
4,549 UNION BANK OF SWITZERLAND (BR)...... 4,941,555
30,700 WACHOVIA CORP NEW................... 1,404,525
5,567 WELLS FARGO & CO.................... 1,202,472
372,000 YASUDA TRUST & BANKING CO LTD....... 2,203,368
------------
297,316,343
------------
BEVERAGES--2.05%
26,800 ANHEUSER BUSCH COS, INC............. 1,792,250
824,532 ARTHUR GUINESS & SONS PLC........... 6,067,998
353,000 ASAHI BREWERIES LTD................. 4,174,818
392,430 BASS LTD............................ 4,380,772
1,284 BRAU UND BRUNNEN AG................. 194,667
82 COCA COLA CO........................ 6,088
64,700 o EL AGUILA S.A....................... 397,324
723,603 GRAND METROPOLITAN PLC.............. 5,212,882
363,000 KIRIN BREWERY CO LTD................ 4,293,084
5,730 LOUIS VUITTON-MOET HENNESSY......... 1,195,092
583,400 PANAMERICAN BEVERAGES INC
(CLASS A).......................... 18,668,800
140,495 PEPSICO, INC........................ 7,850,158
3,036 PERNOD-RICARD S.A................... 172,767
516,000 SAPPORO BREWERIES LTD............... 4,802,019
209,059 SCOTTISH & NEWCASTLE PLC............ 1,989,706
68,200 SEAGRAMS CO LTD..................... 2,350,173
------------
63,548,598
------------
BROADCASTERS--5.71%
20,300 CAPITAL CITIES/ABC, INC............. 2,504,512
22,900 o CLEAR CHANNEL COMMUNICATIONS, INC... 1,010,462
2,832,225 o INFINITY BROADCASTING
CORP (CLASS A)................... 105,500,381
44,200 o ROGERS COMMUNICATIONS (CLASS B)..... 494,208
95,300 o TELE-COMMUNICATIONS, INC
(CLASS A) NEW...................... 1,894,087
125,000 TOKYO BROADCASTING SYSTEMS, INC..... 2,059,975
693,860 o VIACOM, INC (CLASS B)............... 32,871,617
2,557 o VIACOM, INC (CLASS B) WTS 07/07/97.. 7,351
1,534 o VIACOM, INC (CLASS B) WTS 07/07/99.. 8,437
2,161,100 +o WESTWOOD ONE, INC................... 30,525,537
-------------
176,876,567
-------------
BUSINESS SERVICES--0.44%
508,031 BET PLC............................. 1,001,736
10,239 ELECTROCOMPONENTS PLC............... 57,229
164,675 MERCURY ASSETS
MANAGEMENT GROUP PLC............... 2,224,367
603,560 REUTERS HOLDINGS PLC................ 5,528,814
45,000 SECOM CO LTD........................ 3,132,131
94,000 TOKYO DOME.......................... 1,612,887
-------------
13,557,164
-------------
CHEMICALS--MAJOR--1.17%
22,746 BOC GROUP PLC....................... 318,192
188,450 CALOR GROUP PLC..................... 749,023
2,614 DEGUSSA AG.......................... 872,977
39,902 DOW CHEMICAL CO..................... 2,808,103
82,719 DU PONT (E.I.) DE NEMOURS & CO...... 5,779,990
253,200 DYNO INDUSTRIER AS.................. 5,931,134
13,975 EASTMAN CHEMICAL CO................. 875,184
101,722 ENGLISH CHINA CLAYS PLC............. 500,649
104,626 IMPERIAL CHEMICAL INDUSTRY PLC...... 1,239,434
602 LAIR LIQUIDE........................ 99,830
1,255 # LAIR LIQUIDE (REGD)................. 208,118
788,737 MITSUBISHI CHEMICAL CORP............ 3,838,300
1,892,000 o MONTEDISON S.P.A.................... 1,268,245
351,000 o MONTEDISON S.P.A. WTS 01/19/97...... 30,073
34,000 PPG INDUSTRIES, INC................. 1,555,500
82,900 PRAXAIR, INC........................ 2,787,512
17,900 ROHM & HAAS CO...................... 1,152,312
1,125 SOLVAY ET CIE S.A................... 610,666
484,000 SUMITOMO CHEMICAL CO LTD............ 2,416,326
626,000 o UBE INDUSTRIES LTD.................. 2,366,693
24,600 UNION CARBIDE CORP.................. 922,500
-------------
36,330,761
-------------
CHEMICALS--SPECIALTY--0.41%
686,000 ASAHI CHEMICAL INDUSTRY CO LTD...... 5,253,566
315,000 DAINIPPON INK & CHEMICAL, INC....... 1,468,786
23,000 KANEKA CORP......................... 145,148
230,000 SEKISUI CHEMICAL CO LTD............. 3,389,022
111,000 SHIN-ETSU CHEMICAL CO LTD........... 2,302,712
-------------
12,559,234
-------------
COMMUNICATION
EQUIPMENT & SERVICES--3.24%
372,400 o 3COM CORP........................... 17,363,150
76,820 o AIRTOUCH COMMUNICATIONS, INC........ 2,170,165
94,600 o CABLETRON SYSTEMS, INC.............. 7,662,600
181,000 o CISCO SYSTEMS, INC.................. 13,507,125
35,800 CORNING, INC........................ 1,145,600
26,500 o DSC COMMUNICATIONS CORP............. 977,187
1,085,150 ERICSSON TELEFON (LM) AB SERIES B... 21,285,835
1,378,000 o ERICSSON TELEFON (LM) AB
SERIES B ADR...................... 26,871,000
250,500 o TELLABS, INC........................ 9,268,500
-------------
100,251,162
-------------
COMPUTER SERVICE--1.11%
14,500 ADOBE SYSTEMS, INC.................. 899,000
24,600 AUTOMATIC DATA PROCESSING, INC...... 1,826,550
24,750 o BAY NETWORKS, INC................... 1,017,843
110,550 COMPUTER ASSOCIATES
INTERNATIONAL, INC................. 6,287,531
43,100 o ELECTRONIC ARTS..................... 1,125,987
See notes to financial statements.
-34-
<PAGE>
SHARES VALUE
------ -----
COMPUTER SERVICE (CONTINUED)
25,500 GENERAL MOTORS CORP (CLASS E)....... $ 1,326,000
65,100 o MICROSOFT CORP...................... 5,712,525
385,150 o ORACLE CORP......................... 16,320,731
-------------
34,516,167
-------------
CONGLOMERATES--2.48%
37,100 AGIV AG............................. 782,799
894,492 BTR LTD............................. 4,569,113
4,681 o BTR LTD WTS 11/30/97................ 4,942
5,147 o BTR LTD WTS 04/30/98................ 1,658
29,748 GEVAERT PHOTO-PRODUCTION NV......... 1,869,993
846,597 HANSON PLC.......................... 2,530,271
1,326,000 HUTCHINSON WHAMPOA LTD.............. 8,077,190
6,200 ITT INDUSTRIES, INC................. 148,800
161,000 KEPPEL CORP......................... 1,434,147
25,298 LAGARDERE GROUPE.................... 465,559
25,298 o LAGARDERE GROUPE WTS 06/30/97....... 9,621
463,400 LOEWS CORP.......................... 36,318,975
3,098,000 MALAYAN UNITED INDUSTRIES BERHAD.... 2,513,541
70,080 MINNESOTA MINING &
MANUFACTURING CO................... 4,642,800
26,000 ROCKWELL INTERNATIONAL CORP......... 1,374,750
1,987,200 SIME DARBY BERHAD................... 5,283,026
589,000 SWIRE PACIFIC LTD (CLASS A)......... 4,570,486
75,000 o TRAFALGAR HOUSE PLC................. 32,313
8,346 o U.S. INDUSTRIES, INC................ 153,357
6,300 UNITED TECHNOLOGIES CORP............ 597,712
223,000 YTL CORP BERHAD..................... 1,405,278
-------------
76,786,331
-------------
CONSTRUCTION--MATERIALS &
BUILDERS--1.77%
226,770 BARRATT DEVELOPMENTS LTD............ 869,645
449 BILFINGER & BERGER AG............... 170,339
437,730 BORAL LTD........................... 1,107,132
8,539 BOUYGUES S.A........................ 861,320
98,731 CAMAS PLC........................... 113,434
8,800 CENTEX CORP......................... 305,800
173,000 CHIYODA CORP........................ 1,710,603
34,000 DAITO TRUST CONSTRUCTION CO LTD..... 402,107
171,000 DAIWA HOUSE INDUSTRY CO LTD......... 2,818,045
9,797 GTM-ENTERPOSE....................... 688,123
2,635 HEIDELBERGER ZEMENT AG.............. 1,656,886
1,638 HOCHTIEF AG......................... 700,381
10,657 IMETAL S.A.......................... 1,274,786
362,000 KAJIMA CORP......................... 3,579,412
104,800 KINDEN CORP......................... 1,788,038
204,000 KUMAGAI GUMI CO LTD................. 820,694
22,123 LAFARGE S.A. (BR)................... 1,427,216
84,000 MISAWA HOMES CO LTD................. 739,380
1,770 o NEW WORLD INFRASTRUCTURE............ 3,387
826,000 OHBAYASHI-GUM LTD................... 6,565,940
25,400 o OWENS CORNING FIBERGLAS CORP NEW.... 1,139,825
410,000 PENTA OCEAN CONSTRUCTION CO LTD..... 3,179,632
217,737 PILKINGTON PLC...................... 682,878
54,434 o PILKINGTON PLC (FULLY PD)........... 170,718
2,300 PULTE CORP.......................... 77,337
167,835 REDLAND PLC......................... 1,013,658
83,618 RMC GROUP PLC....................... 1,286,568
320,070 RUGBY GROUP PLC..................... 546,634
251,000 SEKISUI HOUSE LTD................... 3,211,816
323,000 SHIMIZU CORP........................ 3,287,720
13,538 ST. GOBAIN.......................... 1,478,231
454,000 TAISEI CORP......................... 3,032,341
390,373 TAYLOR WOODROW PLC.................. 712,159
100,000 TOSTEM CORP......................... 3,325,042
130,000 TOTO LTD............................ 1,814,716
872,533 WILSON (CONNOLLY) HOLDINGS PLC...... 2,269,113
-------------
54,831,056
-------------
COSMETICS--0.24%
91,000 INTERNATIONAL FLAVORS &
FRAGRANCES, INC.................... 4,368,000
6,155 LOREAL.............................. 1,649,974
113,000 SHISEIDO & CO LTD................... 1,347,369
-------------
7,365,343
-------------
ELECTRICAL EQUIPMENT--3.89%
22,569 ALCATEL ALSTHOM..................... 1,948,395
17,000 BBC BROWN, BOVERI & CIE AG. (BR).... 19,796,640
303,360 DELTA PLC........................... 1,879,276
639,000 FUJITSU LTD......................... 7,123,635
207,664 GENERAL ELECTRIC CO................. 14,951,808
517,640 GENERAL ELECTRIC CO (UNITED KINGDOM) 2,853,091
19,000 GENERAL SIGNAL CORP................. 615,125
752,000 HITACHI LTD......................... 7,581,483
8,550 LEGRAND S.A......................... 1,321,704
948,000 MITSUBISHI ELECTRIC CORP............ 6,828,104
526,000 NIPPON ELECTRIC CORP (N.E.C.)....... 6,424,795
21,430 NKT HOLDINGS........................ 1,005,375
982,000 PHILIPS ELECTRONICS NV.............. 35,528,640
12,009 SIEMENS AG.......................... 6,586,369
327,000 SUMITOMO ELECTRIC INDUSTRIES CO..... 3,930,723
30,000 TOKYO ELECTRON CO LTD............... 1,163,280
69,800 WESTINGHOUSE ELECTRIC CORP.......... 1,151,700
-------------
120,690,143
-------------
ELECTRICAL EQUIPMENT--
COMPONENTS DIVERSIFIED--2.04%
363,000 AMP, INC............................ 13,930,125
44,000 AVX CORP............................ 1,166,000
5,680 o DOVATRON INTERNATIONAL, INC......... 191,700
170,874 INTEL CORP.......................... 9,697,099
45,000 KYOCERA CORP........................ 3,345,884
462,000 MINEBEA CO LTD...................... 3,878,491
191,974 MOTOROLA, INC....................... 10,942,518
200 MURATA MANUFACTURING CO LTD......... 7,367
360,000 o NOKIA CORP ADR A.................... 13,995,000
117,000 OMRON TATEISI ELECTRONICS CO........ 2,699,391
538,030 OXFORD INSTRUMENTS GROUP PLC........ 3,383,148
-------------
63,236,723
-------------
ELECTRICAL EQUIPMENT--
INSTRUMENTS--0.54%
34,200 o APPLIED MATERIALS, INC.............. 1,346,625
67,000 CANON, INC.......................... 1,214,561
166,000 FUJI PHOTO FILM CO LTD.............. 4,795,427
256,000 KONIKA.............................. 1,856,284
58,200 LORAL CORP.......................... 2,058,825
19,200 PERKIN-ELMER CORP................... 724,800
269,000 RICOH CO LTD........................ 2,946,685
106,000 YAMAHA CORP......................... 1,911,269
-------------
16,854,476
-------------
ENVIRONMENTAL CONTROL--0.08%
78,300 WMX TECHNOLOGIES, INC............... 2,339,212
-------------
FINANCIAL--MISCELLANEOUS--1.70%
50,711 AMERICAN EXPRESS CO................. 2,098,167
779 COMPAGNIE BANCAIRE S.A.............. 87,290
53,900 COUNTRYWIDE CREDIT INDUSTRIES, INC.. 1,172,325
14,772 CPR-COMPAGNIE PARISIENNE
DE REESCOMPTE...................... 1,207,917
143,000 CREDIT SAISON CO.................... 3,410,155
See notes to financial statements.
-35-
<PAGE>
SHARES VALUE
------ -----
FINANCIAL--MISCELLANEOUS (CONTINUED)
533,000 DAIWA SECURITIES CO LTD............. $ 8,163,705
52 DEAN WITTER DISCOVER & CO........... 2,444
72 FEDERAL NATIONAL
MORTGAGE ASSOCIATION............... 8,937
51,098 GREAT WESTERN FINANCIAL CORP........ 1,302,999
9,313 HOUSEHOLD INTERNATIONAL, INC........ 550,631
11 LEHMAN BROTHERS HOLDINGS, INC....... 233
843,000 NOMURA SECURITIES CO LTD............ 18,387,094
1,700 PAINE WEBBER GROUP INC.............. 34,000
380,681 PROVIDENT FINANCIAL PLC............. 4,840,661
25,900 SALOMON, INC........................ 919,450
137,791 SCHROEDERS LTD...................... 2,926,621
966,000 YAMAICHI SECURITIES CO LTD.......... 7,519,616
-------------
52,632,245
-------------
FOODS--1.74%
200,000 AJINOMOTO CO LTD.................... 2,229,620
100,101 ARCHER DANIELS MIDLAND CO........... 1,801,818
509,440 ASSOCIATED BRITISH FOODS PLC........ 2,918,629
1,220 AULT FOODS LTD...................... 13,529
199,881 CADBURY SCHWEPPES LTD............... 1,650,983
45,200 CAMPBELL SOUP CO.................... 2,712,000
4,582 DANONE GROUP........................ 757,029
1,138 ERIDANIA BEGHIN SAY................. 195,464
53,000 EZAKI GLICO CO LTD.................. 512,754
25,300 GENERAL MILLS, INC.................. 1,461,075
59,550 HEINZ (H.J.) CO..................... 1,972,593
188,000 HOUSE FOODS CORP.................... 3,389,797
31,095 KORN-OG FODERSTOF KOMPAGNIET AS..... 1,346,587
226,000 MEIJI SEIKA KAISHA LTD.............. 1,362,704
603,000 NESTLE MALAYSIA BERHAD.............. 4,417,410
6,469 NESTLE S.A. (REGD).................. 7,173,409
270,000 NICHIREI CORP....................... 1,753,644
298,000 o NIPPON SUISAN KAISHA LTD............ 1,233,522
552,000 PRIMA LTD........................... 2,107,318
28,000 QUAKER OATS CO...................... 966,000
39,300 o RALCORP HOLDINGS, INC............... 953,025
356 RALSTON PURINA GROUP................ 22,205
104,000 SARA LEE CORP....................... 3,315,000
227,334 o SME-SOCIETA MERIDIONALE FINANZIARIA. 464,750
104,000 SNOW BRAND MILK..................... 665,396
221,000 TAKARA SHUZO CO LTD................. 2,114,523
201,613 UNILEVER LTD........................ 4,141,312
209,057 UNITED BISCUITS HOLDINGS PLC........ 830,929
84,000 YAMAZAKI BAKING CO LTD.............. 1,563,448
-------------
54,046,473
-------------
FOREST PRODUCTS--1.33%
300,369 ARJO WIGGINS APPLETON PLC........... 769,482
224,400 BOISE CASCADE CORP.................. 7,769,850
5,000 CHAMPION INTERNATIONAL CORP......... 210,000
7,700 GEORGIA-PACIFIC CORP................ 528,412
160,000 MO OCH DOMSJO AB SERIES B FREE...... 6,832,253
11,370 o PAPIERWERKE WALDHOF-ASCHAFFENBURG... 1,692,036
75 RAYONIER, INC....................... 2,503
975,766 REXAM PLC........................... 5,363,008
670,000 STORA KOPPARBERG BERGSLAGS
SERIES A FREE...................... 7,885,459
37,300 WEYERHAEUSER CO..................... 1,613,225
154,000 WILLAMETTE INDUSTRIES, INC.......... 8,662,500
-------------
41,328,728
-------------
HEALTHCARE--DRUGS--4.36%
36,532 AMERICAN HOME PRODUCTS CORP......... 3,543,604
185,000 BANYU PHARMACEUTICAL CO LTD......... 2,277,605
73,463 BRISTOL MYERS SQUIBB CO............. 6,308,635
110,000 CHUGAI PHARMACEUTICAL CO LTD........ 1,054,610
6,871 CIBA-GEIGY AG. (BR)................. 6,030,857
5,364 CIBA-GEIGY AG. (REGD)............... 4,731,431
94,000 DAIICHI SEIYAKU..................... 1,339,516
1,041,306 GLAXO WELLCOME PLC.................. 14,793,095
76,000 KISSEI PHARMACEUTICALS CO LTD....... 2,298,641
188,000 KYOWA HAKKO KOGYO................... 1,775,087
55,762 LILLY (ELI) & CO.................... 3,136,612
160,782 MERCK & CO, INC..................... 10,571,416
73,200 MOCHIDA PHARMACEUTICAL CO LTD....... 1,014,729
126,362 PFIZER, INC......................... 7,960,806
87 ROCHE HOLDINGS AG. (BR)............. 1,221,039
2,807 ROCHE HOLDINGS AG. (GENUSSCHEINE)... 22,259,379
7,322 SANDOZ AG. (REGD)................... 6,719,414
111,100 SANKYO CO LTD....................... 2,498,647
101,500 SCHERING-PLOUGH CORP................ 5,557,125
495,633 SMITHKLINE BEECHAM PLC (CLASS A).... 5,463,590
357,230 SMITHKLINE BEECHAM/BECKMAN (UNITS).. 3,893,539
371,100 TAISHO PHARMACEUTICAL CO LTD........ 7,338,784
170,000 TAKEDA CHEMICAL INDUSTRY LTD........ 2,801,566
201,000 TANABE SEIYAKU CO LTD............... 1,447,731
19,800 WARNER-LAMBERT CO................... 1,923,075
86,000 YAMANOUCHI PHARMACEUTICAL CO........ 1,850,778
269,416 ZENECA GROUP PLC.................... 5,211,959
-------------
135,023,270
-------------
HEALTHCARE--HOSPITAL SUPPLY--0.69%
113,733 ABBOTT LABORATORIES................. 4,748,352
73,500 BAXTER INTERNATIONAL, INC........... 3,077,812
49,275 GUIDANT CORP........................ 2,081,868
133,219 JOHNSON & JOHNSON................... 11,406,876
-------------
21,314,908
-------------
HEALTHCARE--OTHER--0.03%
39,750 CAREMARK INTERNATIONAL, INC......... 720,468
463 ESSILOR INTERNATIONAL............... 88,614
-------------
809,082
-------------
HEALTHCARE--SERVICE--3.77%
1,200,333 +ADAC LABORATORIES, INC NEW.......... 14,554,037
1,383,000 COLUMBIA/HCA HEALTHCARE CORP........ 70,187,250
2,506,700 +o COMMUNITY PSYCHIATRIC CENTERS....... 30,707,075
180 o TRANSPORT HOLDINGS, INC (CLASS A)... 7,335
31,650 U.S. HEALTHCARE, INC................ 1,471,725
-------------
116,927,422
-------------
HOUSEHOLD
--CONSUMER ELECTRONICS--1.00%
893,000 MATSUSHITA ELECTRIC
INDUSTRIAL CO LTD.................. 14,543,326
84,000 PIONEER ELECTRONIC CORP............. 1,539,019
562,000 SANYO ELECTRIC CO LTD............... 3,241,576
342,000 SHARP CORP.......................... 5,470,324
101,400 SONY CORP........................... 6,084,594
-------------
30,878,839
-------------
HOUSEHOLD--DURABLE GOODS--0.07%
300 BLACK & DECKER CORP................. 10,575
62,700 MAYTAG CO........................... 1,269,675
32,400 SHAW INDUSTRIES, INC................ 477,900
9,700 WHIRLPOOL CORP...................... 516,525
-------------
2,274,675
-------------
HOUSEHOLD--PRODUCTS--0.36%
4,096 BIC................................. 417,095
137,000 KAO CORP............................ 1,699,939
96,400 PROCTER & GAMBLE CO................. 8,001,200
22,600 TAMBRANDS, INC...................... 1,079,150
-------------
11,197,384
-------------
See notes to financial statements.
-36-
<PAGE>
SHARES VALUE
------ -----
INSURANCE--BROKERS & OTHER--0.01%
6,200 o ITT HARTFORD GROUP, INC............. $ 299,925
-------------
INSURANCE--LIFE--0.11%
131,414 LEGAL & GENERAL GROUP PLC........... 1,367,023
301,775 PRUDENTIAL CORP PLC................. 1,944,423
450 SUNAMERICA, INC..................... 21,375
-------------
3,332,821
-------------
INSURANCE--MULTI-LINE,
PROPERTY & CASUALTY--2.25%
910 AACHENER & MUNCHENER BETEIL (BR).... 578,565
1,735 AACHENER & MUNCHENER BERTEIL
(REGD)............................. 1,309,160
58,116 ALLEANZA ASSICURAZIONI (S/S) NON CV. 408,235
3,609 ALLIANZ AG. (REGD).................. 7,050,073
13,768 ALLSTATE CORP....................... 566,209
65,787 AMERICAN INTERNATIONAL GROUP, INC... 6,085,297
182,930 ASSICURAZIONI GENERALI S.P.A........ 4,431,204
349 AXA S.A............................. 23,549
19,400 CHUBB CORP.......................... 1,876,950
18,000 CIGNA CORP.......................... 1,858,500
1,410 COLONIA KONZERN AG. (REGD).......... 1,182,142
136,791 COMMERICAL UNION ASSURANCE CO LTD... 1,333,757
4,863 FORTIS AG........................... 590,732
135 o FORTIS AG. NPV (VVPR)............... 16,169
467,782 GENERAL ACCIDENT PLC................ 4,728,071
17,000 GENERAL REINSURANCE CORP............ 2,635,000
710,160 GUARDIAN ROYAL EXCHANGE
ASSURANCE PLC...................... 3,043,160
18,900 LINCOLN NATIONAL CORP............... 1,015,875
311,000 MITSUI TAISHO MARINE & FIRE CO LTD.. 2,218,917
2,093 MUNCHENER RUECKVERSICHERUNGS-
GESELLSCHAFT (REGD) (P/P).......... 4,562,400
115 o MUNCHENER RUECKVERSICHERUNGS-
GESELLSCHAFT (REGD) (P/P)
WTS 03/13/98....................... 15,747
323,000 NIPPON FIRE & MARINE
INSURANCE CO LTD................... 2,191,813
536,869 ROYAL INSURANCE PLC................. 3,184,133
17,800 ST. PAUL COS, INC NOTES............. 990,125
261,000 SUMITOMO MARINE & FIRE INSURANCE CO. 2,145,553
409,000 TOKIO MARINE & FIRE INSURANCE CO LTD 5,352,542
163 TRAVELERS GROUP, INC................ 10,248
34,733 ZURICH INSURANCE CO (REGD).......... 10,413,558
-------------
69,817,684
-------------
LEISURE TIME--3.30%
17,300 BRUNSWICK CORP...................... 415,200
968,600 o CARMIKE CINEMAS, INC (CLASS A)...... 21,793,500
2,554,800 CARNIVAL CORP (CLASS A)............. 62,273,250
97,420 DISNEY (WALT) CO.................... 5,747,780
320,595 FORTE PLC........................... 1,645,082
25,250 o HARRAHS ENTERTAINMENT, INC.......... 612,312
9,500 INTERNATIONAL GAME TECHNOLOGY....... 103,312
6,200 o ITT CORP (NEW)...................... 328,600
503,842 LADBROKE GROUP PLC.................. 1,146,018
1,817,000 MAGNUM CORP BERHAD.................. 3,435,054
535 SALOMON S.A......................... 311,777
46,000 SEGA ENTERPRISES LTD................ 2,541,766
75,400 THORN EMI LTD....................... 1,775,891
-------------
102,129,542
-------------
MACHINERY--2.24%
122,000 AMANO CORP.......................... 1,537,468
18,530 o BREMER VULKAN AG.................... 515,909
36,400 CATERPILLAR, INC.................... 2,138,500
60,000 COBHAM GROUP PLC.................... 438,764
19,269 o COOPER CAMERON CORP................. 684,049
21,936 COOPER INDUSTRIES, INC.............. 806,148
172,000 DAIKIN INDUSTRIES................... 1,684,041
47,400 DEERE & CO.......................... 1,670,850
140,000 EBARA CORP.......................... 2,049,311
5,936 o FAG KUGELFISCHER (GEORGE)
SCHAFER & CO....................... 767,247
6,000 FANUC LTD........................... 259,993
841 FISCHER (GEORGE) LTD (BR)........... 1,096,288
21 FISCHER (GEORGE) LTD (REGD)......... 5,292
261,690 IMI PLC............................. 1,334,695
4,253 INDUSTRIE-WERKE KARLSRUHE
AUGSBURG AG........................ 775,542
63,450 JOHNSON MATTHEY PLC................. 515,220
299,000 KOMATSU LTD......................... 2,463,730
467,000 KUBOTA LTD.......................... 3,010,520
120 LINDE AG............................ 70,174
895 MAN AG. (STAMM)..................... 242,618
8,539 MANNESMANN AG....................... 2,724,630
881,000 MITSUBISHI HEAVY INDUSTRIES LTD..... 7,028,760
110,000 SIDEL............................... 34,323,677
12,500 SUNDSTRAND CORP..................... 879,687
109,000 TOYOTA AUTOMATIC LOOM WORKS LTD..... 1,954,795
61,000 TSUGAMI CORP........................ 340,608
-------------
69,318,516
-------------
METALS--ALUMINIUM--0.18%
59,000 ALUMINUM CO OF AMERICA.............. 3,119,625
78,000 TOYO SEIKAN KAISHA LTD.............. 2,336,447
-------------
5,456,072
-------------
METALS--GOLD--0.07%
26,500 BARRICK GOLD CORP................... 699,465
55,700 BARRICK GOLD CORP (U.S.)............ 1,469,087
-------------
2,168,552
-------------
METALS--NON-FERROUS--0.81%
65,600 CYPRUS AMAX MINERALS CO............. 1,713,800
25,681 INCO LTD............................ 849,663
566,000 MITSUBISHI MATERIALS................ 2,935,440
1,334,000 NIKKO KYODO CO...................... 4,474,401
687,000 NIPPON LIGHT METAL CO LTD........... 3,942,588
38,850 RIO TINTO ZINC CORP LTD PLC (BR).... 568,803
372,640 RIO TINTO ZINC CORP LTD PLC (REGD).. 5,415,329
1,164,000 STRAITS TRADING CO.................. 2,732,048
275,000 SUMITOMO METAL MINING CO LTD........ 2,473,908
-------------
25,105,980
-------------
METALS--STEEL--1.16%
1,175,000 AMSTEEL CORP BERHAD................. 874,655
930,000 AVESTA SHEFFIELD AB................. 8,209,116
107,000 o BETHLEHEM STEEL CORP................ 1,498,000
473,060 BRITISH STEEL PLC................... 1,195,354
849,000 KAWASAKI STEEL CORP................. 2,962,874
882,000 o KOBE STEEL LTD...................... 2,727,484
1,867,000 NIPPON STEEL CORP................... 6,406,939
1,900,000 o NKK CORP............................ 5,120,370
5,813 PREUSSAG AKTIEGESELLSCHAFT AG....... 1,628,599
968,000 o SUMITOMO METAL INDUSTRIES LTD....... 2,937,126
9,172 o THYSSEN AG.......................... 1,669,967
23,200 USX-U.S. STEEL GROUP................ 713,400
-------------
35,943,884
-------------
See notes to financial statements.
-37-
<PAGE>
SHARES VALUE
------ -----
MISCELLANEOUS MATERIALS
& COMMODITIES--0.20%
309,000 ASAHI GLASS CO LTD.................. $ 3,444,762
769,000 o KEMAYAN OIL PALMS BERHAD............ 1,072,178
412,000 NIPPON SHEET GLASS CO LTD........... 1,793,273
-------------
6,310,213
-------------
OFFICE EQUIPMENT--3.14%
88,026 HEWLETT-PACKARD CO.................. 7,372,177
349,390 * INTERNATIONAL BUSINESS
MACHINES CORP...................... 32,056,532
422,700 XEROX CORP.......................... 57,909,900
-------------
97,338,609
-------------
PAPER--0.23%
164,000 o DAISHOWA PAPER MANUFACTURING CO..... 1,271,852
92,000 HONSHU PAPER CO LTD................. 563,647
39,200 INTERNATIONAL PAPER CO.............. 1,484,700
188,000 NEW OJI PAPER CO LTD................ 1,702,188
287,000 NIPPON PAPER INDUSTRIES CO.......... 1,994,821
-------------
7,017,208
-------------
PETROLEUM--EXPLORATION
& PRODUCTION--0.87%
217,466 LONDON & SCOTTISH MARINE OIL PLC.... 590,866
24 MURPHY OIL CORP..................... 996
1,969,000 SAGA PETROLEUM AS SERIES A.......... 26,333,873
-------------
26,925,735
-------------
PETROLEUM--INTEGRATED--1.62%
41,900 AMOCO CORP ......................... 3,011,562
60,000 ARABIAN OIL CO LTD ................. 2,501,052
6,100 ATLANTIC RICHFIELD CO .............. 675,575
1,643,009 BRITISH PETROLEUM PLC .............. 13,749,543
30,350 BROKEN HILL PROPRIETARY CO LTD ..... 428,969
264,676 BURMAH CASTROL PLC ................. 3,838,141
36,500 CHEVRON CORP ....................... 1,916,250
304,000 COSMO OIL CO LTD ................... 1,662,094
16,800 EXXON CORP ......................... 1,346,100
39,000 o GULF CANADA RESOURCES LTD .......... 160,844
313,000 MITSUBISHI OIL CO LTD .............. 2,782,381
33,600 MOBIL CORP ......................... 3,763,200
573,000 NIPPON OIL CO LTD .................. 3,599,420
21,100 OCCIDENTAL PETROLEUM CORP .......... 451,012
490 PETROFINA S.A. ..................... 151,012
24 o PETROFINA S.A. WTS 06/03/97 ........ 293
88,908 REPSOL S.A. ........................ 2,913,152
54,532 SOCIETE NATIONALE ELF AQUITAINE .... 4,023,134
12,200 SUN CO, INC ........................ 333,975
65,156 UNOCAL CORP ........................ 1,897,668
5,900 o USX-DELHI GROUP ..................... 61,212
51,200 USX-MARATHON GROUP, INC NEW ........ 998,400
-------------
50,264,989
-------------
PETROLEUM--SERVICE--2.59%
22,900 DRESSER INDUSTRIES, INC............. 558,187
24,720 o GLOBAL INDUSTRIAL TECHNOLOGIES, INC. 466,590
2,310,000 + IHC CALAND NV....................... 77,811,689
26,500 MCDERMOTT INTERNATIONAL, INC........ 583,000
112,180 o MCMORAN OIL & GAS CO................ 385,618
10,300 o WESTERN ATLAS, INC.................. 520,150
-------------
80,325,234
-------------
PHOTOGRAPHY--0.18%
81,100 EASTMAN KODAK CO.................... 5,433,700
-------------
PROPERTY--REAL ESTATE--1.34%
530,000 CHEUNG KONG HOLDINGS LTD............ 3,228,439
196,560 CITY DEVELOPMENT LTD................ 1,431,296
13,665 o CITY DEVELOPMENT LTD WTS 07/18/98... 71,488
379,000 DAIKYO, INC......................... 2,829,000
187,457 HAMMERSON PLC....................... 1,025,936
475,000 o IGB CORP BERHAD..................... 426,546
184,492 LAND SECURITIES PLC................. 1,767,348
452,000 MITSUBISHI ESTATE CO LTD............ 5,652,377
414,000 MITSUI FUDOSAN CO LTD............... 5,096,911
1,062,128 NEW WORLD DEVELOPMENT CO LTD........ 4,629,165
1,420 SEFIMEG............................. 94,366
2,254 SIMCO............................... 214,315
99 o SIMCO (REGD) NEW..................... 8,992
605,900 SUN HUNG KAI PROPERTIES LTD......... 4,956,297
5,918 o TRIZEC CORP LTD WTS 07/25/99......... 6,161
2,927,000 UNITED OVERSEAS LAND LTD............ 5,566,372
1,387,000 WHARF HOLDINGS LTD.................. 4,619,017
-------------
41,624,026
-------------
PUBLISHING--NEWSPAPER--0.25%
15,997 o COX COMMUNICATIONS, INC
(CLASS A) NEW.................... 311,941
28,900 GANNETT CO, INC..................... 1,773,737
357,400 SCHIBSTED AS........................ 4,864,803
19,500 TIMES MIRROR CO SERIES A NEW........ 660,562
-------------
7,611,043
-------------
PUBLISHING--OTHER--1.49%
222,000 DAI NIPPON PRINTING CO LTD.......... 3,766,119
66,315 DE LA RUE CO PLC.................... 670,273
36,100 DONNELLEY (R.R.) & SONS CO.......... 1,421,437
8,200 DUN & BRADSTREET CORP............... 530,950
2,343,000 ELSEVIER UTIGEVERSMIJ NV............ 31,277,005
8,200 MCGRAW HILL COS, INC................ 714,425
101,010 REED INTERNATIONAL PLC.............. 1,540,052
15,529 TIME WARNER, INC.................... 588,160
432,000 TOPPAN PRINTING CO.................. 5,695,418
-------------
46,203,839
-------------
RAILROAD--0.77%
2,800 BURLINGTON NORTHERN SANTA FE CORP... 218,400
29,700 CANADIAN PACIFIC LTD................ 541,673
2,996 CSX CORP............................ 136,692
339,250 o HANKYU CORP......................... 1,858,109
733,000 KINKI NIPPON RAILWAY CO LTD......... 5,542,447
395,090 NAGOYA RAILROAD CO LTD.............. 1,991,601
323,000 NIPPON EXPRESS CO LTD............... 3,112,375
13,100 NORFOLK SOUTHERN CORP............... 1,039,812
265,000 ODAKYU ELECTRIC RAILWAY CO LTD...... 1,811,081
364,080 TOBU RAILWAY CO LTD................. 2,279,986
596,000 TOKYU CORP.......................... 4,211,887
18,900 UNION PACIFIC CORP.................. 1,247,400
-------------
23,991,463
-------------
RESTAURANTS & HOTELS--0.40%
11,524 ACCOR S.A........................... 1,493,960
77,000 FUJITA KANKO, INC................... 1,701,878
139,866 MCDONALDS CORP...................... 6,311,453
3,909 MOEVENPICK HOLDINGS (BR)............ 1,443,751
5,475 o PROMUS HOTEL CORP................... 121,818
1,268,000 o REGAL HOTELS INTERNATIONAL LTD...... 298,460
29,800 SYSCO CORP.......................... 968,500
-------------
12,339,820
-------------
RETAIL--FOOD--0.67%
132,300 ALBERTSONS, INC..................... 4,349,362
33,700 AMERICAN STORES CO, NEW............. 901,475
439,339 ARGYLL GROUP PLC.................... 2,319,200
4,530 CARREFOUR SUPERMARKETS.............. 2,751,993
4,588,210 DAIRY FARM INTERNATIONAL
HOLDINGS LTD....................... 4,221,153
See notes to financial statements.
-38-
<PAGE>
SHARES VALUE
------ -----
RETAIL--FOOD (CONTINUED)
33,000 DELHAIZE FRERES NV.................. $ 1,374,722
321,732 SAINSBURY (J) PLC................... 1,963,117
2,800 SUPERVALU, INC...................... 88,200
359,924 TESCO PLC........................... 1,659,689
30,600 WINN DIXIE STORES, INC.............. 1,128,375
-------------
20,757,286
-------------
RETAIL--GENERAL MERCHANDISE--3.91%
430,000 o ADIDAS AG........................... 22,802,362
1,262 ASKO DEUTSCHE KAUFHAUS AG........... 661,287
114,280 BOOTS CO LTD........................ 1,039,746
620,400 CIRCUIT CITY STORES, INC............ 17,138,550
575 COMPTOIRS MODERNES.................. 186,944
247,000 DAIEI, INC.......................... 2,993,022
207,000 DAIMARU, INC........................ 1,605,326
11,500 DAYTON HUDSON CORP.................. 862,500
627,020 GREAT UNIVERSAL STORES PLC.......... 6,668,552
125,800 HOME DEPOT, INC..................... 6,022,675
80,000 ISETAN.............................. 1,318,384
109,000 ITO-YOKADO CO LTD................... 6,720,268
112,000 JUSCO CO LTD........................ 2,920,608
28,082 K MART CORP......................... 203,594
2,750 KARSTADT AG......................... 1,123,978
1,841 KAUFHOF HOLDING AG.................. 562,088
134,494 KINGFISHER PLC...................... 1,131,779
74,500 LIMITED, INC........................ 1,294,437
806,366 MARKS & SPENCER PLC................. 5,633,837
147,000 MARUI CO LTD........................ 3,063,788
54,400 MAY DEPARTMENT STORES CO............ 2,298,400
2,087 MERKUR HOLDINGS AG. (REGD).......... 458,860
248,000 MITSUKOSHI LTD...................... 2,331,988
41,970 NEXT PLC............................ 297,141
162,000 NICHII CO LTD....................... 2,151,486
31,500 PENNEY, (J.C.) CO, INC.............. 1,500,187
354,643 SEARS PLC........................... 572,643
44,200 SEARS ROEBUCK & CO.................. 1,723,800
90,590 SEVEN-ELEVEN JAPAN CO LTD........... 6,393,146
57,600 o TOYS R US, INC...................... 1,252,800
428,658 WAL-MART STORES, INC................ 9,591,222
291,200 WALGREEN CO......................... 8,699,600
-------------
121,224,998
-------------
TEXTILE & APPAREL--0.61%
2,962 CHARGEURS S.A....................... 594,761
4,798 COATS VIYELLA PLC................... 13,036
137,990 COURTAULDS TEXTILES PLC............. 762,706
338,711 DAWSON INTERNATIONAL PLC............ 567,953
12,590 DOLLFUS-MIEG & CIE.................. 514,618
1,622,000 o KANEBO LTD.......................... 4,025,259
33,900 NIKE, INC (CLASS B)................. 2,360,287
187,000 NISSHINBO INDUSTRY, INC............. 1,812,778
154,000 ONWARD KASHIYMA CO LTD.............. 2,508,031
859,000 TORAY INDUSTRIES, INC............... 5,662,459
-------------
18,821,888
-------------
TOBACCO--2.66%
687,191 B.A.T. INDUSTRIES LTD............... 6,054,843
842,145 PHILIP MORRIS COS, INC.............. 76,214,122
556 RJR NABISCO HOLDINGS CORP........... 17,166
5,810 TABACALERA S.A. SERIES A (REGD)..... 220,302
-------------
82,506,433
-------------
TRADING COMPANIES--0.47%
100,000 ITOCHU CORP......................... 673,733
473,000 MARUBENI CORP....................... 2,563,161
402,000 MITSUBISHI CORP..................... 4,949,174
416,000 MITSUI & CO LTD..................... 3,653,629
257,000 SUMITOMO CORP....................... 2,615,925
-------------
14,455,622
-------------
TRUCKERS & SHIPPING--0.84%
851,600 AWILCO AS SERIES B.................. 7,885,038
2,160,000 o CHUAN HUP HOLDINGS.................. 1,954,614
36 DAMPSKIBSSELSKABET AF 1912
(CLASS B).......................... 688,559
26 DAMPSKIBSSELSKABET SVENDBORG
(CLASS B).......................... 717,790
396,000 o MITSUI OSK LINES LTD................ 1,270,650
2,908,000 NEPTUNE ORIENT LINES LTD............ 3,268,803
636,000 NIPPON YUSEN K.K.................... 3,693,065
100,000 o NORDIC AMERICAN TANKER SHIP
WTS 09/30/97....................... 350,000
75,000 OCEAN GROUP PLC..................... 451,806
138,799 PENINSULAR & ORIENTAL STEAM
NAVIGATION CO...................... 1,025,776
11,600 ROADWAY SERVICES, INC............... 566,950
200 RYDER SYSTEMS, INC.................. 4,950
78,000 SEINO TRANSPORTATION CO LTD......... 1,308,108
244,758 YAMATO TRANSPORT CO LTD............. 2,918,401
-------------
26,104,510
-------------
UTILITIES--ELECTRIC--2.01%
14,200 BALTIMORE GAS & ELECTRIC CO......... 404,700
1,286,000 CHINA LIGHT & POWER CO LTD.......... 5,920,888
8,700 DOMINION RESOURCES, INC............. 358,875
197,488 EAST MIDLANDS ELECTRICITY PLC....... 2,045,154
459,550 EDISON.............................. 1,980,292
10,950 ELECTRABEL NV (VVPR)................ 2,604,490
33,227 EMPRESA NACIONAL DE ELECTRIDAD S.A.. 1,881,625
36,604 IBERDROLA 1 S.A..................... 334,916
293,910 KANSAI ELECTRIC POWER CO, INC....... 7,122,908
140,808 o NATIONAL GRID GROUP................. 436,143
761,600 NATIONAL POWER PLC.................. 5,315,158
138,900 PACIFIC GAS & ELECTRIC CO........... 3,941,287
7,291 RHEIN-WESTFALEN ELECTRIC AG. (STAMM) 2,648,866
186,372 SCOTTISH POWER PLC.................. 1,070,636
1,824,000 SHUN TAK ENTERPRISES CORP LTD....... 1,285,633
824,000 TENAGA NASIONAL BERHAD.............. 3,245,373
156,954 TOHOKU ELECTRIC POWER CO, INC....... 3,788,565
453,187 TOKYO ELECTRIC POWER CO, INC........ 12,125,217
600 TRACTEBEL NV........................ 252,803
95,000 VEBA AG............................. 4,042,132
3,799 VIAG AG............................. 1,526,183
-------------
62,331,844
-------------
UTILITIES--GAS & PIPELINE--1.07%
1,067,670 BRITISH GAS CORP PLC................ 4,210,467
27,000 o COASTAL CORP........................ 1,005,750
34,900 EASTERN ENTERPRISES................. 1,230,225
6,287 ENERGIA E INDUSTRIAS ARAGONESAS S.A. 23,994
84,000 ENRON CORP.......................... 3,202,500
23,141 GENERALE DES EAUX................... 2,313,389
165,592 IPL ENERGY, INC..................... 3,869,967
1,955,000 OSAKA GAS CO LTD.................... 6,765,781
19,000 PANHANDLE EASTERN CORP.............. 529,625
2,875,000 TOKYO GAS CO LTD.................... 10,144,771
-------------
33,296,469
-------------
-39-
<PAGE>
SHARES VALUE
------ -----
UTILITIES--OTHER--0.51%
470,890 ANGLIAN WATER PLC .................. $ 4,423,178
556,310 NORTH WEST WATER PLC ............... 5,320,557
702,956 THAMES WATER PLC ................... 6,133,721
-------------
15,877,456
-------------
UTILITIES--TELEPHONE--2.31%
259,419 AT & T CORP ........................ 16,797,380
36,600 BELL ATLANTIC CORP ................. 2,447,625
139,594 BELLSOUTH CORP ..................... 6,072,339
2,433,981 BRITISH TELECOMMUNICATIONS PLC ..... 13,377,656
407,749 CABLE & WIRELESS PLC ............... 2,912,127
4,399,800 HONG KONG TELECOMMUNICATIONS LTD ... 7,852,499
69,301 PACIFIC TELESIS GROUP .............. 2,330,246
33,900 SOUTHERN NEW ENGLAND
TELECOMMUNICATIONS CORP ........... 1,347,525
63,250 SPRINT CORP ........................ 2,522,093
869,999 TELECOM ITALIA S.P.A. .............. 1,353,805
869,999 o TELECOM ITALIA MOBILE S.P.A. ....... 1,531,937
234,503 TELEFONICA DE ESPANA S.A. .......... 3,247,453
738,000 TELEKOM MALAYSIA BERHAD ............ 5,755,181
1,129,704 VODAFONE GROUP PLC ................. 4,042,920
-------------
71,590,786
-------------
TOTAL COMMON STOCK
(COST $2,557,751,362) ................ 2,896,751,185
-------------
PAR
VALUE
-----
SHORT TERM INVESTMENTS--8.06%
BANKERS ACCEPTANCES--0.26%
NATIONS BANK OF TEXAS
8,000,000 * 5.630%, 02/02/96 ................ 7,959,335
------------
COMMERCIAL PAPER--3.49%
AMERICAN EXPRESS CREDIT CORP
8,600,000 5.610%, 03/12/96 ................ 8,501,563
ASSOCIATES CORP OF NORTH AMERICA
8,600,000 5.610%, 03/11/96 ................ 8,502,929
BURLINGTON NORTHERN SANTA FE
5,000,000 5.950%, 01/22/96 ................ 4,981,786
CAMPBELL SOUP CO
4,677,000 # 5.620%, 01/08/96 ................ 4,670,795
CIESCO LP
8,600,000 5.600%, 01/29/96 ................ 8,559,279
CONAGRA, INC
8,600,000 6.030%, 01/31/96 ................ 8,555,896
COOPER INDUSTRIES, INC
8,000,000 5.900%, 01/02/96 ................ 7,997,768
DILLARD INVESTMENT CO, INC
8,600,000 5.850%, 01/11/96 ................ 8,584,471
DUPONT (E.I.) DE NEMOURS & CO
4,680,000 5.630%, 01/10/96 ................ 4,672,259
EL PASO NATURAL GAS CO
3,460,000 5.880%, 02/05/96 ................ 3,439,363
GENERAL SIGNAL CORP
1,230,000 5.750%, 02/13/96 ................ 1,221,324
GOLDMAN SACHS GROUP, LP
8,600,000 6.050%, 01/11/96 ................ 8,584,567
MCI COMMUNICATIONS CORP
8,450,000 5.700%, 01/17/96 ................ 8,426,541
NATIONAL RURAL UTILITIES
COOPERATIVE FINANCE
8,000,000 * 5.680%, 02/07/96 ................ 7,950,435
NATIONSBANK CORP
5,000,000 5.580%, 02/15/96 ................ 4,963,416
UNION OIL CO OF CALIFORNIA
8,600,000 5.900%, 02/06/96 ................ 8,547,291
--------------
108,159,683
--------------
GOVERNMENT AGENCIES--4.31%
FEDERAL HOME LOAN BANK
26,000,000 5.450%, 01/22/96 ................ 25,908,898
20,000,000 5.300%, 03/20/96 ................ 19,751,232
FEDERAL HOME LOAN MORTGAGE CORP
29,800,000 5.550%, 01/09/96 ................ 29,757,559
FEDERAL NATIONAL MORTGAGE
ASSOCIATION
20,000,000 * 5.670%, 01/04/96 ................ 19,987,400
30,000,000 * 5.520%, 02/08/96 ................ 29,818,208
3,915,000 5.450%, 03/19/96 ................ 3,866,944
4,670,000 5.350%, 04/24/96 ................ 4,587,001
--------------
133,677,242
--------------
TOTAL SHORT TERM INVESTMENTS
(COST $249,869,965) .................. 249,796,260
--------------
ROUNDING ........................... 284
--------------
TOTAL PORTFOLIO
(COST $2,861,882,876) ................ $3,196,835,727
==============
- ----------------
o NON-INCOME PRODUCING
+ AFFILIATE HOLDING
# RESTRICTED
* ALL OR A PORTION OF THIS SECURITY HAS BEEN SEGREGATED BY THE CUSTODIAN TO
COVER MARGIN OR OTHER REQUIREMENTS ON OPEN FUTURES CONTRACTS, COVERED CALL
OPTIONS WRITTEN AND SECURITIES PURCHASED ON A DELAYED DELIVERY BASIS.
See notes to financial statements.
-40-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
TRANSACTIONS WITH AFFILIATED COMPANIES--GLOBAL EQUITIES ACCOUNT
JANUARY 1, 1995--DECEMBER 31, 1995
<TABLE>
<CAPTION>
VALUE AT PURCHASES SALES
DECEMBER 31, ------------------- -------------------------- REALIZED DIVIDEND
ISSUE 1994 SHARES COST SHARES PROCEEDS GAIN (LOSS) INCOME
----- ------------ ------- ----- ------- -------- ----------- --------
<S> <C> <C> <C> <C> <C> <C> <C>
ADAC LABORATORIES, INC NEW .. $ 9,452,622 -- -- -- -- -- $ 576,156
* AUTOLIV AB .................. ** 593,350 $ 26,517,098 824,900 $ 47,854,167 $ 18,441,569 525,073
* DYNO INDUSTRIER AS .......... ** 298,300 8,366,118 577,900 14,252,307 (178,867) --
IHC CALAND NV ............... 58,418,682 -- -- -- -- -- 2,045,540
~* INFINITY BROADCASTING
CORP (CLASS A) ............ 56,666,925 1,251,075 14,323,383 292,000 10,538,122 3,115,035 --
COMMUNITY PSYCHIATRIC CENTERS ** 861,800 9,980,548 375,400 4,475,062 437,073 (20,203)
WESTWOOD ONE, INC ........... ** 689,200 11,233,532 -- -- -- --
------------ --------- ------------ ------------ ------------ ------------ ------------
TOTAL AFFILIATED TRANSACTIONS $124,538,229 $ 70,420,679 $ 77,119,658 $ 21,814,810 $ 3,126,566
============ ============ ============ ============ ============
</TABLE>
** NOT AN AFFILIATE AS OF DECEMBER 31, 1994
* NOT AN AFFILIATE AS OF DECEMBER 31, 1995
~ SHARES OUTSTANDING INCREASED
See notes to financial statements.
-41-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENT OF INVESTMENTS--GROWTH ACCOUNT
DECEMBER 31, 1995
SUMMARY
VALUE %
----- -----
PREFERRED STOCK
FINANCIAL--MISCELLANEOUS ......... $ 20,452 0.00%
HEALTHCARE--SERVICE .............. 12,780 0.00
-------------- ------
TOTAL PREFERRED STOCK
(COST $33,958) .................... 33,232 0.00
-------------- ------
COMMON STOCK
AEROSPACE ........................ 665,475 0.06
AIR TRANSPORTATION ............... 2,069,099 0.18
AUTOMOTIVE & RELATED ............. 21,155,369 1.83
BANKS ............................ 10,541,500 0.91
BEVERAGES ........................ 38,592,187 3.34
BROADCASTERS ..................... 12,187,785 1.05
BUSINESS SERVICES ................ 15,766,107 1.36
CHEMICALS--MAJOR ................. 11,827,099 1.02
CHEMICALS--SPECIALTY ............. 9,818,734 0.85
COMMUNICATION EQUIPMENT & SERVICES 41,175,346 3.56
COMPUTER SERVICE ................. 67,273,493 5.82
CONGLOMERATES .................... 10,622,274 0.92
CONSTRUCTION--MATERIALS & BUILDERS 2,740,821 0.24
CONTAINERS ....................... 764,025 0.07
COSMETICS ........................ 8,626,075 0.75
ELECTRICAL EQUIPMENT ............. 57,926,831 5.01
ELECTRICAL EQUIPMENT--
COMPONENTS DIVERSIFIED ......... 54,182,265 4.69
ELECTRICAL EQUIPMENT--INSTRUMENTS 3,890,548 0.34
ENVIRONMENTAL CONTROL ............ 6,161,799 0.53
FINANCIAL--MISCELLANEOUS ......... 57,529,711 4.97
FOODS ............................ 36,938,528 3.19
FOREST PRODUCTS .................. 300,700 0.03
HEALTHCARE--DRUGS ................ 76,224,320 6.59
HEALTHCARE--HOSPITAL SUPPLY ...... 36,297,133 3.14
HEALTHCARE--OTHER ................ 16,332,102 1.41
HEALTHCARE--SERVICE .............. 80,176,784 6.93
HOUSEHOLD--DURABLE GOODS ......... 28,310,100 2.45
HOUSEHOLD--PRODUCTS .............. 44,614,323 3.86
INSURANCE--BROKERS & OTHER ....... 2,822,100 0.24
INSURANCE--LIFE .................. 1,083,025 0.09
INSURANCE--MULTI-LINE,
PROPERTY & CASUALTY ............ 35,818,561 3.10
LEISURE TIME ..................... 44,534,898 3.85
MACHINERY ........................ 15,708,706 1.36
METALS--ALUMINIUM ................ 136,400 0.01
METALS--GOLD ..................... 8,621,584 0.74
METALS--NON-FERROUS .............. 239,350 0.02
METALS--STEEL .................... 1,993,449 0.17
OFFICE EQUIPMENT ................. 20,458,149 1.77
PAPER ............................ 4,626,931 0.40
PETROLEUM--
EXPLORATION & PRODUCTION ........ 4,447,362 0.39
PETROLEUM--INTEGRATED ............ 4,756,438 0.41
PETROLEUM--SERVICE ............... 7,062,914 0.61
PHOTOGRAPHY ...................... 5,707,150 0.49
PROPERTY--REAL ESTATE ............ 1,664,825 0.14
PUBLISHING--NEWSPAPER ............ 3,147,162 0.27
PUBLISHING--OTHER ................ 10,332,959 0.89
RAILROAD ......................... 2,916,637 0.25
RESTAURANTS & HOTELS ............. 18,914,843 1.64
RETAIL--FOOD ..................... 12,083,311 1.05
RETAIL--GENERAL MERCHANDISE ...... 82,953,860 7.17
TEXTILE & APPAREL ................ 12,850,506 1.11
TOBACCO .......................... 43,216,124 3.74
TRUCKERS & SHIPPING .............. 10,727,830 0.93
UTILITIES--ELECTRIC .............. 784,087 0.07
UTILITIES--GAS & PIPELINE ........ 6,022,883 0.52
UTILITIES--TELEPHONE ............. 31,457,414 2.72
-------------- ------
TOTAL COMMON STOCK
(COST $993,489,616) ............... 1,147,799,991 99.25
-------------- ------
SHORT TERM INVESTMENTS
COMMERCIAL PAPER ................ 2,496,686 0.22
GOVERNMENT AGENCIES ............. 9,506,430 0.82
-------------- ------
TOTAL SHORT TERM INVESTMENTS
(COST $12,008,496) ................ 12,003,116 1.04
-------------- ------
ROUNDING ........................ 89 0.00
-------------- ------
TOTAL PORTFOLIO
(COST $1,005,532,070) ............. 1,159,836,428 100.29
OTHER ASSETS & LIABILITIES, NET . (3,406,801) (0.29)
-------------- ------
NET ASSETS ......................... $1,156,429,627 100.00%
============== ======
See notes to financial statements.
-42-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENT OF INVESTMENTS--GROWTH ACCOUNT
DECEMBER 31, 1995
SHARES VALUE
------ -----
PREFERRED STOCK--0.00%
FINANCIAL--MISCELLANEOUS--0.00%
810 PHOENIX DUFF & PHELPS CORP ......... $ 20,452
--------------
HEALTHCARE--SERVICE--0.00%
480 FHP INTERNATIONAL CORP SERIES A CV.. 12,780
--------------
TOTAL PREFERRED STOCK
(COST $33,958) ..................... 33,232
--------------
COMMON STOCK--99.25%
AEROSPACE--0.06%
23,500 EG & G, INC ........................ 569,875
3,200 OEA, INC ........................... 95,600
--------------
665,475
--------------
AIR TRANSPORTATION--0.18%
8,200 ATLANTIC SOUTHEAST AIRLINES, INC ... 176,300
8,500 COMAIR HOLDINGS, INC ............... 228,437
2,500 o FEDERAL EXPRESS CORP ............... 184,687
23,400 o MESA AIRLINES, INC ................. 210,600
27,300 SOUTHWEST AIRLINES CO .............. 634,725
2,500 o UAL CORP NEW ....................... 446,250
7,600 o VALUJET, INC ....................... 188,100
--------------
2,069,099
--------------
AUTOMOTIVE & RELATED--1.83%
6,800 ALLEN GROUP, INC ................... 152,150
3,400 BANDAG, INC ........................ 184,025
4,500 BREED TECHNOLOGIES, INC ............ 83,250
656,300 COOPER TIRE & RUBBER CO ............ 16,161,387
7,200 DANAHER CORP ....................... 228,600
17,600 ECHLIN, INC ........................ 642,400
500 o FOAMEX INTERNATIONAL, INC .......... 3,687
97 GENERAL MOTORS CORP ................ 5,128
25,300 HARLEY DAVIDSON, INC ............... 727,375
17,600 HAYES WHEELS INTERNATIONAL, INC .... 451,000
26,800 o KIRBY CORP ......................... 435,500
17,800 o LEAR SEATING CORP .................. 516,200
18,400 o LO-JACK CORP ....................... 204,700
4,400 MODINE MANUFACTURING CO ............ 105,600
18,800 SAFETY-KLEEN CORP .................. 293,750
12,700 STANDARD PRODUCTS CO ............... 223,837
15,500 SUPERIOR INDUSTRIES
INTERNATIONAL, INC ................. 408,812
7,200 o TBC CORP ........................... 62,100
1,150 TRANSPRO, INC ...................... 12,218
11,400 WABASH NATIONAL CORP ............... 253,650
--------------
21,155,369
--------------
BANKS--0.91%
12,400 FIFTH THIRD BANCORP ................ 908,300
10,000 o LONG ISLAND BANCORP, INC ........... 263,750
3,900 NORTHERN TRUST CORP ................ 218,400
25,200 NORWEST CORP ....................... 831,600
49,359 OLD NATIONAL BANCORP ............... 1,715,225
241,000 SIGNET BANKING CORP ................ 5,723,750
7,500 SYNOVUS FINANCIAL CORP ............. 213,750
1,400 WELLS FARGO & CO ................... 302,400
11,800 WILMINGTON TRUST CORP .............. 364,325
--------------
10,541,500
--------------
BEVERAGES--3.34%
31,500 ANHEUSER BUSCH COS, INC ............ 2,106,562
9,600 BROWN FORMAN, INC (CLASS B) ........ 350,400
331,800 COCA COLA CO ....................... 24,636,150
205,800 PEPSICO, INC ....................... 11,499,075
--------------
38,592,187
--------------
BROADCASTERS--1.05%
12,075 o ASSOCIATED GROUP, INC (CLASS A) .... 227,915
575 o ASSOCIATED GROUP, INC (CLASS B) .... 10,925
21,700 CAPITAL CITIES/ABC, INC ............ 2,677,237
5,800 o CLEAR CHANNEL COMMUNICATIONS, INC .. 255,925
18,400 COMCAST CORP (CLASS A) ............. 324,300
63,800 COMCAST CORP (CLASS A) SPL ......... 1,160,362
16,700 o EVERGREEN MEDIA CORP (CLASS A) ..... 534,400
13,515 GAYLORD ENTERTAINMENT CO ........... 375,041
1,400 o INFINITY BROADCASTING CORP (CLASS A) 52,150
2,600 o KING WORLD PRODUCTIONS, INC ........ 101,075
31,350 o LIBERTY MEDIA GROUP CLASS A ........ 842,531
4,500 o LIN TELEVISION CORP ................ 133,875
162,700 o TELE-COMMUNICATIONS, INC
(CLASS A) NEW ..................... 3,233,662
35,400 TURNER BROADCASTING
SYSTEMS, INC (CLASS B) ............ 920,400
2,500 UNITED TELEVISION, INC ............. 225,625
16,996 o VIACOM, INC (CLASS A) .............. 779,691
5,687 o VIACOM, INC (CLASS B) .............. 269,421
4,600 o WESTCOTT COMMUNICATIONS, INC ....... 63,250
--------------
12,187,785
--------------
BUSINESS SERVICES--1.36%
8,700 o ACCUSTAFF, INC ..................... 382,800
7,900 ADVO, INC .......................... 205,400
18,200 o AMERICA ONLINE, INC ................ 682,500
13,000 AUTODESK, INC ...................... 445,250
31,200 BLOCK (H&R), INC ................... 1,263,600
29,900 o CALGENE, INC ....................... 138,287
3,200 o CATALINA MARKETING CORP ............ 200,800
5,300 CINTAS CORP ........................ 235,850
25,900 o CORPORATE EXPRESS, INC ............. 780,237
7,100 o CREDENCE SYSTEMS CORP .............. 162,412
6,000 DELUXE CORP ........................ 174,000
10,400 o FORE SYSTEMS, INC .................. 618,800
17,700 o FRANKLIN QUEST CO .................. 345,150
10,100 o FRITZ COS INC ...................... 419,150
7,000 o GENERAL MAGIC, INC ................. 74,375
15,900 HARLAND (JOHN H.) CO ............... 331,912
30,500 INTERPUBLIC GROUP OF COS, INC ...... 1,322,937
5,000 o ITRON, INC ......................... 168,750
22,800 MANPOWER, INC ...................... 641,250
5,400 o MCAFEE ASSOCIATES, INC ............. 236,925
4,600 o MERCURY INTERACTIVE ................ 83,950
5,800 o MICRO WAREHOUSE, INC ............... 250,850
11,800 o NORAND CORP ........................ 138,650
38,100 o OFFICE DEPOT, INC .................. 752,475
5,100 OLSTEN CORP ........................ 201,450
8,000 OMNICOM GROUP, INC ................. 298,000
2,200 o OPTICAL DATA SYSTEMS, INC .......... 55,550
9,700 PAYCHEX, INC ....................... 483,787
4,000 o QUARTERDECK CORP ................... 110,000
7,600 o ROBERT HALF INTERNATIONAL, INC ..... 318,250
See notes to financial statements.
-43-
<PAGE>
SHARES VALUE
------ -----
BUSINESS SERVICES (Continued)
4,100 ROLLINS, INC ....................... $ 90,712
18,500 SENSORMATIC ELECTRONICS CORP ....... 321,437
28,600 SERVICE CORP INTERNATIONAL ......... 1,258,400
7,900 o SPECTRUM HOLOBYTE, INC ............. 51,350
10,700 o STAC, INC .......................... 153,812
11,000 o STRATACOM, INC ..................... 808,500
6,600 o SUNGARD DATA SYSTEMS, INC .......... 188,100
5,400 o TIVOLI SYSTEMS, INC ................ 182,250
23,300 o U.S. CELLULAR CORP ................. 786,375
2,800 VALSPAR CORP ....................... 124,950
7,100 o VERIFONE, INC ...................... 203,237
4,300 o WONDERWARE CORP .................... 73,637
--------------
15,766,107
--------------
CHEMICALS--MAJOR--1.02%
25,200 AIR PRODUCTS & CHEMICALS, INC ...... 1,329,300
45,900 DOW CHEMICAL CO .................... 3,230,212
8,700 EASTMAN CHEMICAL CO ................ 544,837
25,400 HERCULES, INC ...................... 1,431,925
14,600 MONSANTO CO ........................ 1,788,500
5,100 o OAK TECHNOLOGY, INC ................ 215,475
41,000 PPG INDUSTRIES, INC ................ 1,875,750
41,200 PRAXAIR, INC ....................... 1,385,350
400 ROHM & HAAS CO ..................... 25,750
--------------
11,827,099
--------------
CHEMICALS--SPECIALTY--0.85%
8,700 o AIRGAS, INC ........................ 289,275
19,000 ALBEMARLE CORP ..................... 368,125
3,900 BETZ LABORATORIES, INC ............. 159,900
7,000 CROMPTON & KNOWLES CORP ............ 92,750
14,500 ECOLAB, INC ........................ 435,000
35,450 ENGELHARD CORP ..................... 771,037
37,500 ETHYL CORP ......................... 468,750
15,000 FERRO CORP ......................... 348,750
4,700 FOSTER WHEELER CORP ................ 199,750
10,600 GEORGIA GULF CORP .................. 325,950
20,800 GREAT LAKES CHEMICAL CORP .......... 1,497,600
4,200 LOCTITE CORP ....................... 199,500
9,700 LUBRIZOL CORP ...................... 270,387
9,700 LYONDELL PETROCHEMICAL CO .......... 221,887
5,050 o MCWHORTER TECHNOLOGIES, INC ........ 74,487
42,400 MORTON INTERNATIONAL, INC .......... 1,521,100
27,500 NALCO CHEMICAL CORP ................ 828,437
4,700 RAYCHEM CORP ....................... 267,312
10,750 RPM, INC ........................... 177,375
3,625 SCHULMAN A, INC .................... 81,562
17,000 SIGMA ALDRICH CORP ................. 841,500
26,800 o STERLING CHEMICALS, INC ............ 217,750
2,600 VIGORO CORP ........................ 160,550
--------------
9,818,734
--------------
COMMUNICATION EQUIPMENT
& SERVICES--3.56%
41,526 o 3COM CORP .......................... 1,936,149
129,100 o AIRTOUCH COMMUNICATIONS, INC ....... 3,647,075
8,600 o ANDREW CORP ........................ 328,950
12,900 o ARCH COMMUNICATIONS GROUP, INC ..... 309,600
17,300 o ASCEND COMMUNICATIONS INC .......... 1,403,462
6,800 o AVID TECHNOLOGIES, INC ............. 129,200
11,100 o BRINKER INTERNATIONAL, INC ......... 167,887
12,050 o CABLETRON SYSTEMS, INC ............. 976,050
3,000 o CAI WIRELESS SYSTEMS, INC .......... 28,875
8,300 o CASCADE COMMUNICATIONS CORP ........ 707,575
30,300 o CENTURY COMMUNICATIONS CORP
(CLASS A) ......................... 242,400
6,200 CENTURY TELEPHONE ENTERPRISES, INC . 196,850
8,700 o CIDCO, INC ......................... 221,850
197,000 o CISCO SYSTEMS, INC ................. 14,701,125
61,600 CORNING, INC ....................... 1,971,200
19,900 o DIGI INTERNATIONAL, INC ............ 378,100
29,200 o DSC COMMUNICATIONS CORP ............ 1,076,750
4,000 o DSP COMMUNICATIONS, INC ............ 174,500
12,800 o DSP GROUP, INC ..................... 147,200
20,600 o GEOTEK COMMUNICATIONS, INC ......... 130,037
3,400 o GLOBAL VILLAGE COMMUNICATION, INC .. 65,875
3,100 o INTERDIGITAL COMMUNICATIONS CORP ... 22,862
8,000 o MACROMEDIA, INC .................... 418,000
13,900 o METROCALL, INC ..................... 265,837
5,100 o NETCOM ON-LINE COMMUNICATION
SERVICES, INC ..................... 183,600
24,400 o NEW WORLD
COMMUNICATIONS GROUP, INC ......... 427,000
79,100 o NOVELL, INC ........................ 1,127,175
8,400 o OCTEL COMMUNICATIONS CORP .......... 270,900
21,400 o PAGING NETWORK, INC ................ 521,625
1,400 o PAIRGAIN TECHNOLOGIES, INC ......... 76,650
9,500 o PICTURETEL CORP NEW ................ 409,687
3,100 o PREMISYS COMMUNICATIONS, INC ....... 173,600
12,700 o QUALCOMM, INC ...................... 546,100
27,000 SCIENTIFIC-ATLANTA, INC ............ 405,000
425,900 o TECH DATA CORP ..................... 6,388,500
18,000 o TELLABS, INC ....................... 666,000
16,400 o VANGUARD CELLULAR SYSTEMS, INC ..... 332,100
--------------
41,175,346
--------------
COMPUTER SERVICE--5.82%
136,500 o ADAPTEC, INC ....................... 5,596,500
14,800 o ADC TELECOMMUNICATIONS, INC ........ 540,200
16,700 ADOBE SYSTEMS, INC ................. 1,035,400
10,850 o AMERICAN MANAGEMENT SYSTEMS, INC ... 325,500
7,400 o AUSPEX SYSTEMS, INC ................ 135,050
42,800 AUTOMATIC DATA PROCESSING, INC ..... 3,177,900
9,300 o BANCTEC, INC ....................... 172,050
50,255 o BAY NETWORKS, INC .................. 2,066,736
3,400 o BISYS GROUP, INC ................... 104,550
13,200 o BMC SOFTWARE, INC .................. 564,300
11,300 o BOSTON TECHNOLOGY, INC ............. 144,075
4,600 o BRODERBUND SOFTWARE, INC ........... 279,450
14,200 o CADENCE DESIGN SYSTEMS, INC ........ 596,400
18,100 o CHEYENNE SOFTWARE, INC ............. 472,862
10,400 o COMPUSA, INC ....................... 323,700
328,550 COMPUTER ASSOCIATES
INTERNATIONAL, INC ................. 18,686,281
58,000 o COMPUTER NETWORK TECHNOLOGY CORP ... 261,000
1,600 o COMPUTER SCIENCES CORP ............. 112,400
7,100 o COMPUWARE CORP ..................... 131,350
4,500 o CONTINUM, INC ...................... 177,750
4,100 o CYRIX CORP ......................... 94,300
5,000 o DAVIDSON & ASSOCIATES, INC ......... 110,000
13,400 o ELECTRONIC ARTS .................... 350,075
46,700 o EMC CORP ........................... 718,012
56,911 FIRST DATA CORP .................... 3,805,923
26,700 o FISERV, INC ........................ 801,000
11,800 o FTP SOFTWARE, INC .................. 342,200
82,800 GENERAL MOTORS CORP (CLASS E) ...... 4,305,600
13,400 HBO & CO ........................... 1,026,775
11,800 o IDENTIX, INC ....................... 125,375
3,200 o INTERSOLV INC ...................... 41,200
8,800 o INTUIT, INC ........................ 686,400
5,800 o KEANE, INC ......................... 128,325
3,000 o LANDMARK GRAPHICS CORP ............. 69,750
10,600 o MEDIC COMPUTER SYSTEMS, INC ........ 641,300
25,100 o MENTOR GRAPHICS CORP ............... 458,075
11,100 o MICROCHIP TECHNOLOGY, INC .......... 405,150
See notes to financial statements.
-44-
<PAGE>
SHARES VALUE
------ -----
COMPUTER SERVICE (CONTINUED)
92,800 o MICROSOFT CORP ..................... $ 8,143,200
9,900 o MINNESOTA EDUCATIONAL COMPUTING CORP 247,500
20,100 o NETMANAGE, INC ..................... 467,325
6,500 o NETWORK GENERAL CORP ............... 216,937
22,400 o NETWORK PERIPHERALS ................ 263,200
87,050 o ORACLE CORP ........................ 3,688,743
18,200 o PARAMETRIC TECHNOLOGY CORP ......... 1,210,300
7,400 o PEOPLESOFT, INC .................... 318,200
14,800 o PHYSICIAN COMPUTER NETWORK, INC .... 133,200
12,300 o PLATINUM TECHNOLOGY, INC ........... 226,012
12,200 o READ-RITE CORP ..................... 283,650
7,800 REYNOLDS & REYNOLDS CO (CLASS A) ... 303,225
4,000 SEI CORP ........................... 87,000
4,300 o SHIVA CORP ......................... 312,825
3,200 o SIERRA ON-LINE, INC ................ 92,000
8,000 o STERLING SOFTWARE, INC ............. 499,000
1,300 o STRUCTURAL DYNAMICS RESEARCH CORP .. 38,187
15,100 o SYBASE, INC ........................ 543,600
14,800 o SYMANTEC CORP ...................... 344,100
13,600 o SYNOPSYS, INC ...................... 516,800
8,100 SYSTEM SOFTWARE ASSOCIATES, INC .... 176,175
2,000 o SYSTEMSOFT CORP .................... 22,500
5,400 o TRIDENT MICROSYSTEMS, INC .......... 126,900
--------------
67,273,493
--------------
CONGLOMERATES--0.92%
14,100 ALCO STANDARD CORP ................. 643,312
24,700 ALLIED SIGNAL, INC ................. 1,173,250
125,000 o COLTEC INDUSTRIES, INC ............. 1,453,125
3,900 o CONCORD EFS, INC ................... 164,775
9,800 CRANE CO ........................... 361,375
73,100 MINNESOTA MINING & MANUFACTURING CO 4,842,875
17,500 TYCO INTERNATIONAL LTD ............. 623,437
58,500 WHITMAN CORP ....................... 1,360,125
--------------
10,622,274
--------------
CONSTRUCTION--MATERIALS &
BUILDERS--0.24%
17,156 CLAYTON HOMES, INC ................. 366,709
6,100 DEBARTOLO REALTY CORP .............. 79,300
8,600 FASTENAL CO ........................ 363,350
23,800 o KENETECH CORP ...................... 38,675
14,600 MASCO CORP ......................... 458,075
4,200 MEDUSA CORP ........................ 111,300
5,300 OAKWOOD HOMES CORP ................. 203,387
11,000 o OWENS CORNING FIBERGLAS CORP NEW ... 493,625
7,200 SHERWIN-WILLIAMS CO ................ 293,400
11,100 o USG CORP ........................... 333,000
--------------
2,740,821
--------------
CONTAINERS--0.07%
18,300 o CROWN CORK & SEAL CO, INC .......... 764,025
--------------
COSMETICS--0.75%
19,600 AVON PRODUCTS, INC ................. 1,477,350
8,000 CARTER WALLACE, INC ................ 91,000
119,600 GILLETTE CO ........................ 6,234,150
12,400 INTERNATIONAL FLAVORS &
FRAGRANCES, INC ................... 595,200
6,300 MAYBELLINE, INC .................... 228,375
--------------
8,626,075
--------------
ELECTRICAL EQUIPMENT--5.01%
27,200 o AMERICAN POWER CONVERSION CORP ..... 258,400
8,000 AMETEK, INC ........................ 150,000
60,350 o ASEA AB SERIES A ................... 5,873,467
14,100 o COMPUTER PRODUCTS, INC ............. 162,150
31,600 DURACELL INTERNATIONAL, INC ........ 1,635,300
35,600 EMERSON ELECTRIC CO ................ 2,910,300
610,900 GENERAL ELECTRIC CO ................ 43,984,800
4,500 GRAINGER (W.W.), INC ............... 298,125
12,100 HONEYWELL, INC ..................... 588,362
4,020 HUBBELL, INC (CLASS B) ............. 264,315
6,200 JUNO LIGHTING, INC ................. 99,200
44,900 o MAGNETEK, INC ...................... 364,812
1,900 o MICRODYNE CORP ..................... 32,300
2,600 o MICROTEST, INC ..................... 26,000
6,600 o ROBOTIC VISION SYSTEMS, INC ........ 159,225
1,200 o SANMINA CORP ....................... 62,250
20,500 o SEMITOOL, INC ...................... 266,500
11,700 o SPECTRIAN CORP ..................... 260,325
7,200 THOMAS & BETTS CORP ................ 531,000
--------------
57,926,831
--------------
ELECTRICAL EQUIPMENT--
COMPONENTS DIVERSIFIED--4.69%
10,500 o ADVANCED MICRO DEVICES, INC ........ 173,250
3,700 o ALANTEC CORP ....................... 215,525
11,900 o ALTERA CORP ........................ 592,025
62,600 AMP, INC ........................... 2,402,275
14,800 o AMPHENOL CORP (CLASS A) ............ 358,900
16,600 o ANALOG DEVICES, INC ................ 587,225
218,700 o ARROW ELECTRONICS, INC ............. 9,431,437
26,900 o ATMEL CORP ......................... 601,887
15,400 o CIRRUS LOGIC, INC .................. 304,150
17,400 o COLONIAL DATA TECHNOLOGIES CORP .... 356,700
4,100 o CREE RESEARCH, INC ................. 60,475
28,600 o CYPRESS SEMICONDUCTOR CORP ......... 364,650
7,800 DALLAS SEMICONDUCTOR CORP .......... 161,850
3,100 FISHER SCIENTIFIC INTERNATIONAL, INC 103,462
31,700 o GENERAL INSTRUMENT CORP NEW ........ 740,987
5,900 o HADCO CORP ......................... 165,937
11,100 HELIX TECHNOLOGY CORP .............. 438,450
1,500 o HUTCHINSON TECHNOLOGY, INC ......... 63,375
16,800 o INTEGRATED DEVICE TECHNOLOGY, INC .. 216,300
213,100 INTEL CORP ......................... 12,093,425
13,800 o INTERNATIONAL RECTIFIER CORP ....... 345,000
15,400 o KEMET CORP ......................... 367,675
9,800 o LAM RESEARCH CORP .................. 448,350
28,300 LINEAR TECHNOLOGY CO ............... 1,110,775
31,400 o LSI LOGIC CORP ..................... 1,028,350
92,500 o MAXIM INTEGRATED PRODUCTS .......... 3,561,250
41,100 MICRON TECHNOLOGY, INC ............. 1,628,587
17,375 MOLEX, INC ......................... 551,656
150,800 MOTOROLA, INC ...................... 8,595,600
24,600 o NATIONAL SEMICONDUCTOR CORP ........ 547,350
24,800 o S3, INC ............................ 437,100
5,800 o SIERRA SEMICONDUCTOR CORP .......... 80,475
16,200 o SYMMETRICOM, INC ................... 222,750
45,500 TEXAS INSTRUMENTS, INC ............. 2,354,625
16,300 o TRIMBLE NAVIGATION LTD ............. 303,587
12,400 o U.S. ROBOTICS CORP ................. 1,088,100
20,600 o VICOR CORP ......................... 412,000
11,400 o VISHAY INTERTECHNOLOGY, INC ........ 359,100
14,200 o VITESSE SEMICONDUCTOR CORP ......... 181,050
3,800 o VLSI TECHNOLOGY, INC ............... 68,875
6,200 o WESTERN DIGITAL CORP ............... 110,825
22,400 o XILINX, INC ........................ 683,200
7,200 o ZILOG, INC ......................... 263,700
--------------
54,182,265
--------------
ELECTRICAL EQUIPMENT--
INSTRUMENTS--0.34%
43,300 o APPLIED MATERIALS, INC ............. 1,704,937
5,600 o DIONEX CORP ........................ 317,800
8,500 o ELECTRONICS FOR IMAGING, INC ....... 371,875
See notes to financial statements.
-45-
<PAGE>
SHARES VALUE
------ -----
ELECTRICAL EQUIPMENT--
INSTRUMENTS (CONTINUED)
17,000 o KLA INSTRUMENT CORP ................ $ 443,062
4,800 o LTX CORP ........................... 43,800
1,300 o NORTHFIELD LABS INC ................ 24,537
5,400 PERKIN-ELMER CORP .................. 203,850
6,900 o TENCOR INSTRUMENTS ................. 168,187
24,500 o TERADYNE, INC ...................... 612,500
--------------
3,890,548
--------------
ENVIRONMENTAL CONTROL--0.53%
46,600 BROWNING FERRIS INDUSTRIES, INC .... 1,374,700
7,500 o U.S. FILTER CORP ................... 199,687
33,200 o U.S.A. WASTE SERVICES, INC ......... 626,650
32,600 WHEELABRATOR TECHNOLOGIES, INC NEW . 546,050
114,300 WMX TECHNOLOGIES, INC .............. 3,414,712
--------------
6,161,799
--------------
FINANCIAL--MISCELLANEOUS--4.97%
15,100 ADVANTA CORP (CLASS A) ............. 577,575
97,000 AMERICAN EXPRESS CO ................ 4,013,375
6,600 CASE CORPORATION ................... 301,950
22,600 o CATELLUS DEVELOPMENT CORP .......... 135,600
17,843 COUNTRYWIDE CREDIT INDUSTRIES, INC . 388,085
12,900 o CREDIT ACCEPTANCE CORP ............. 267,675
10,800 DEAN WITTER DISCOVER & CO .......... 507,600
30,666 DUFF & PHELPS CREDIT RATING CO ..... 440,823
5,000 o EIS INTERNATIONAL, INC ............. 80,000
35,500 FEDERAL HOME LOAN MORTGAGE CORP .... 2,964,250
222,400 FEDERAL NATIONAL
MORTGAGE ASSOCIATION .............. 27,605,400
273,300 FIRST USA, INC ..................... 12,127,687
10,400 FRANKLIN RESOURCES, INC ............ 523,900
19,500 o GARTNER GROUP, INC (CLASS A) NEW ... 933,562
45,000 GREEN TREE FINANCIAL CORP .......... 1,186,875
2,300 HOUSEHOLD INTERNATIONAL, INC ....... 135,987
35,000 MBNA CORP .......................... 1,290,625
19,700 o MEDAPHIS CORP ...................... 728,900
43,250 MERCURY FINANCE CO ................. 573,062
8,100 PHOENIX DUFF & PHELPS CORP ......... 55,687
8,800 PIONEER GROUP, INC ................. 239,800
8,200 PRICE (T. ROWE) ASSOCIATES, INC .... 403,850
34,100 SCHWAB (CHARLES) CORP .............. 686,262
3,200 STUDENT LOAN MARKETING ASSOCIATION . 210,800
12,850 THE MONEY STORE, INC ............... 200,781
17,400 o TIG HOLDINGS, INC .................. 495,900
4,400 UNITED ASSET MANAGEMENT CORP ....... 168,850
10,800 UNITED COS FINANCIAL CORP .......... 284,850
--------------
57,529,711
--------------
FOODS--3.19%
12,400 o ARCHER DANIELS MIDLAND CO .......... 223,200
38,300 CAMPBELL SOUP CO ................... 2,298,000
5,825 CARDINAL HEALTH, INC ............... 318,918
67,800 CONAGRA, INC ....................... 2,796,750
37,900 CPC INTERNATIONAL, INC ............. 2,600,887
5,400 FLOWERS INDUSTRIES, INC ............ 65,475
35,400 GENERAL MILLS, INC ................. 2,044,350
26,200 o GENERAL NUTRITION COS, INC ......... 602,600
48,700 HEINZ (H.J.) CO .................... 1,613,187
1,800 HERSHEY FOODS CORP ................. 117,000
2,500 IBP, INC ........................... 126,250
29,700 KELLOGG CO ......................... 2,294,325
27,100 MCCORMICK & CO, INC ................ 653,787
23,100 NABISCO HOLDINGS CORP (CLASS A) .... 753,637
22,800 PIONEER-HI-BRED INTERNATIONAL, INC . 1,268,250
25,000 QUAKER OATS CO ..................... 862,500
20,600 RALSTON PURINA GROUP ............... 1,284,925
132,600 SARA LEE CORP ...................... 4,226,625
463,900 TYSON FOODS, INC ................... 12,119,387
5,800 UNIVERSAL FOODS CORP ............... 232,725
8,300 WRIGLEY (WM) JR CO ................. 435,750
--------------
36,938,528
--------------
FOREST PRODUCTS--0.03%
12,400 LOUISIANA PACIFIC CORP ............. 300,700
--------------
HEALTHCARE--DRUGS--6.59%
20,700 o ALZA CORP 512,325
42,300 AMERICAN HOME PRODUCTS CORP ........ 4,103,100
67,700 o AMGEN, INC ......................... 4,019,687
17,900 o ATHENA NEUROSCIENCES, INC .......... 219,275
7,500 o BIOGEN, INC ........................ 461,250
59,800 BRISTOL MYERS SQUIBB CO ............ 5,135,325
21,000 o CENTOCOR, INC ...................... 648,375
3,829 o CHIRON CORP ........................ 423,104
6,800 o CYGNUS, INC ........................ 152,150
2,500 o DURA PHARMACEUTICALS, INC .......... 86,875
2,000 o ENZO BIOCHEMICAL, INC .............. 38,500
14,500 o FOREST LABORATORIES, INC ........... 656,125
10,300 o GENZYME CORP ....................... 642,462
37,710 o GENZYME CORP (TISSUE REPAIR DIVISION) 598,646
15,600 o GILEAD SCIENCES, INC ............... 499,200
25,500 IVAX CORP .......................... 726,750
56,884 LILLY (ELI) & CO ................... 3,199,725
5,700 o LIPOSOME CO, INC ................... 114,000
326,800 #o MARTEK BIOSCIENCES CORP ............ 8,251,700
109,440 #o MARTEK BIOSCIENCES CORP
WTS 5/18/98 ....................... 1,678,809
7,200 MCKESSON CORP NEW .................. 364,500
9,400 o MEDISENSE, INC ..................... 297,275
321,200 *MERCK & CO, INC .................... 21,118,900
33,900 MYLAN LABORATORIES, INC ............ 796,650
164,700 PFIZER, INC ........................ 10,376,100
61,500 o PHARMACIA & UPJOHN, INC ............ 2,383,125
3,700 RHONE-POULENC RORER, INC ........... 197,025
3,100 o ROBERTS PHARMACEUTICAL CORP ........ 55,025
11,000 o SCHERER (R.P.) CORP ................ 540,375
99,700 SCHERING-PLOUGH CORP ............... 5,458,575
9,300 o SEQUUS PHARMACEUTICALS, INC ........ 132,525
4,900 o SOMATOGEN, INC ..................... 92,487
16,600 WARNER-LAMBERT CO .................. 1,612,275
12,900 o WATSON PHARMACEUTICALS, INC ........ 632,100
--------------
76,224,320
--------------
HEALTHCARE--HOSPITAL SUPPLY--3.14%
211,200 ABBOTT LABORATORIES ................ 8,817,600
27,300 BARD (C.R.), INC ................... 880,425
7,400 BECTON DICKINSON & CO .............. 555,000
7,100 o C-CUBE MICROSYSTEMS, INC ........... 443,750
8,400 o CNS, INC ........................... 127,050
216,800 DENTSPLY INTERNATIONAL, INC NEW .... 8,672,000
24,081 GUIDANT CORP ....................... 1,017,422
9,600 o ISOLYSER CO, INC ................... 134,400
167,600 JOHNSON & JOHNSON .................. 14,350,750
19,500 o NORTH AMERICAN BIOLOGICALS, INC .... 209,625
5,900 o ORGANOGENESIS, INC ................. 108,412
14,450 OWENS & MINOR, INC NEW ............. 184,237
16,300 o PYXIS CORP ......................... 238,387
11,200 o RESPIRONICS, INC ................... 235,200
6,300 o TECNOL MEDICAL PRODUCTS, INC ....... 113,400
9,800 U.S. SURGICAL CORP ................. 209,475
--------------
36,297,133
--------------
HEALTHCARE--OTHER--1.41%
9,600 o ADVANCED TISSUE SCIENCE CO ......... 97,200
5,800 ALLERGAN, INC ...................... 188,500
See notes to financial statements.
-46-
<PAGE>
SHARES VALUE
------ -----
HEALTHCARE--OTHER (CONTINUED)
17,300 o APPLIED BIOSCIENCE INTERNATIONAL, INC $ 116,775
28,400 BALLARD MEDICAL PRODUCTS ........... 507,650
8,500 BAUSCH & LOMB, INC ................. 336,812
37,200 o BIOMET, INC ........................ 664,950
26,438 o BOSTON SCIENTIFIC CORP ............. 1,295,462
24,700 CAREMARK INTERNATIONAL, INC ........ 447,687
58,600 o CORAM HEALTHCARE CORP .............. 256,375
6,100 o CORDIS CORP ........................ 613,050
7,900 o COVENTRY CORP ...................... 162,937
1,700 o DATASCOPE CORP ..................... 40,800
2,200 o HEART TECHNOLOGY, INC .............. 72,325
2,100 HILLENBRAND INDUSTRIES, INC ........ 71,137
13,900 o IDEXX LABORATORIES, INC ............ 653,300
35,000 o INFORMIX CORP ...................... 1,050,000
60,500 MEDTRONIC, INC ..................... 3,380,437
13,000 o NELLCOR PURITAN BENNETT, INC ....... 754,000
9,900 o OXFORD HEALTH PLANS, INC ........... 731,362
55,000 PALL CORP .......................... 1,478,125
13,100 o QUANTUM HEALTH RESOURCES, INC ...... 128,543
18,900 o ST. JUDE MEDICAL, INC .............. 812,700
6,800 o STERIS CORP ........................ 219,300
24,800 STEWART ENTERPRISES, INC (CLASS A) . 917,600
11,400 STRYKER CORP ....................... 598,500
4,100 o SUNRISE MEDICAL, INC ............... 75,850
20,800 o SYBRON INTERNATIONAL CORP .......... 494,000
3,900 o TARGET THERAPEUTICS, INC ........... 166,725
--------------
16,332,102
--------------
HEALTHCARE--SERVICE--6.93%
501,500 o APRIA HEALTHCARE GROUP, INC ........ 14,167,375
11,500 o CERNER CORP ........................ 235,750
686,220 COLUMBIA/HCA HEALTHCARE CORP ....... 34,825,665
9,244 o FHP INTERNATIONAL CORP ............. 263,454
6,600 o FOUNDATION HEALTH CORP ............. 283,800
13,000 o HEALTH CARE & RETIREMENT CORP ...... 455,000
29,475 o HEALTH MANAGEMENT
ASSOCIATES, INC (CLASS A) NEW ..... 770,034
12,000 o HEALTHCARE COMPARE CO .............. 522,000
14,600 o HEALTHSOURCE, INC .................. 525,600
2,800 o HEALTHSOUTH CORP ................... 81,550
5,600 o HORIZON/CMS HEALTHCARE CORP ........ 141,400
39,000 o HUMANA, INC ........................ 1,067,625
3,500 o I-STAT CORP ........................ 113,750
14,100 o INTEGRATED SILICON SOLUTION, INC ... 235,954
49,504 o LABORATORY CORP OF
AMERICA HOLDINGS .................. 464,100
2,560 o LABORATORY CORP OF
AMERICA HOLDINGS WTS 4/28/00 ...... 1,760
9,000 o LINCARE HOLDINGS, INC .............. 225,000
22,900 MANOR CARE, INC .................... 801,500
4,300 o MAXICARE HEALTH PLANS, INC ......... 115,562
7,700 o MEDPARTNERS/MULLIKIN, INC .......... 254,100
11,600 o MID ATLANTIC MEDICAL SERVICES, INC . 281,300
10,800 o NOVACARE, INC ...................... 55,350
3,800 o PACIFICARE HEALTH SYSTEMS, INC
(CLASS A) ......................... 330,600
195,600 o PACIFICARE HEALTH SYSTEMS, INC
(CLASS B) ......................... 17,017,200
10,600 o PHYCOR, INC ........................ 535,962
15,200 o PHYSICIAN CORP OF AMERICA .......... 258,400
6,100 o SUN HEALTHCARE GROUP, INC .......... 82,350
16,800 SURGICAL CARE AFFILIATES, INC ...... 571,200
14,000 o THERATX, INC ....................... 168,000
38,500 U.S. HEALTHCARE, INC ............... 1,790,250
32,000 UNITED HEALTHCARE CORP ............. 2,096,000
15,600 o VALUE HEALTH, INC .................. 429,000
13,300 o VENCOR, INC ........................ 432,250
2,400 o VISX, INC .......................... 93,600
11,350 o VIVRA, INC ......................... 285,168
6,200 o WELLPOINT HEALTH NETWORKS, INC
(CLASS A) ......................... 199,175
--------------
80,176,784
--------------
HOUSEHOLD--DURABLE GOODS--2.45%
15,400 BLACK & DECKER CORP ................ 542,850
1,008,700 LEGGETT & PLATT, INC ............... 24,460,975
52,200 NEWELL COS, INC .................... 1,350,675
33,100 SHAW INDUSTRIES, INC ............... 488,225
20,000 STANLEY WORKS ...................... 1,030,000
22,300 SUNBEAM CORP ....................... 340,075
13,900 o TOP SOURCE TECHNOLOGIES, INC ....... 97,300
-------------
28,310,100
-------------
HOUSEHOLD--PRODUCTS--3.86%
4,900 CLOROX CO .......................... 350,962
38,700 COLGATE PALMOLIVE CO ............... 2,718,675
10,300 DIAL CORP .......................... 305,137
382,000 LANCASTER COLONY CORP .............. 14,229,500
24,300 o PERRIGO CO ......................... 288,562
8,700 PREMARK INTERNATIONAL, INC ......... 440,437
287,900 PROCTER & GAMBLE CO ................ 23,895,700
50,100 RUBBERMAID, INC .................... 1,277,550
23,200 TAMBRANDS, INC ..................... 1,107,800
-------------
44,614,323
-------------
INSURANCE--BROKERS & OTHER--0.24%
6,500 ALEXANDER & ALEXANDER SERVICES, INC 123,500
61,600 EQUIFAX, INC ....................... 1,316,700
2,700 GALLAGHER (ARTHUR J.) & CO ......... 100,575
7,100 MARSH & MCLENNAN COS, INC .......... 630,125
29,600 o QUORUM HEALTH GROUP, INC ........... 651,200
-------------
2,822,100
-------------
INSURANCE--LIFE--0.09%
6,200 o EQUITABLE COS, INC ................. 148,800
22,200 RELIANCE GROUP HOLDINGS, INC ....... 191,475
1,700 o SUNAMERICA, INC .................... 80,750
6,000 TORCHMARK CORP ..................... 271,500
7,100 UNUM CORP .......................... 390,500
-------------
1,083,025
-------------
INSURANCE--MULTI-LINE, PROPERTY &
CASUALTY--3.10%
14,800 o 20TH CENTURY INDUSTRIES ............ 294,150
27,500 AFLAC, INC ......................... 1,192,812
312,800 AMERICAN INTERNATIONAL GROUP, INC .. 28,934,000
3,650 FRONTIER INSURANCE GROUP, INC NEW .. 116,800
5,300 GEICO CORP ......................... 370,337
14,300 GENERAL REINSURANCE CORP ........... 2,216,500
3,800 HARTFORD STEAM BOILER & INSURANCE CO 190,000
4,200 o INSURANCE AUTO AUCTIONS, INC ....... 45,150
19,500 MGIC INVESTMENT CORP ............... 1,057,875
9,200 PROGRESSIVE CORP ................... 449,650
13,600 TRAVELERS GROUP, INC ............... 855,100
5,700 o USF&G CORP ......................... 96,187
--------------
35,818,561
--------------
LEISURE TIME--3.85%
31,300 ARCTCO, INC ........................ 406,900
7,700 AUTHENTIC FITNESS CORP ............. 159,775
18,100 BRUNSWICK CORP ..................... 434,400
21,600 CALLAWAY GOLF CO ................... 488,700
1,163,200 CARNIVAL CORP (CLASS A) ............ 28,353,000
23,800 o CIRCUS CIRCUS ENTERPRISES, INC ..... 663,425
2,100 o COBRA GOLF, INC .................... 74,812
See notes to financial statements.
-47-
<PAGE>
SHARES VALUE
------ -----
LEISURE TIME (CONTINUED)
137,500 DISNEY (WALT) CO ................... $ 8,112,500
25,700 o FIRST TEAM SPORTS .................. 391,925
3,300 o GC COS, INC ........................ 110,550
9,800 o GTECH HOLDINGS CORP ................ 254,800
24,800 o HARRAHS ENTERTAINMENT, INC ......... 601,400
16,500 HASBRO, INC ........................ 511,500
11,400 o HOLLYWOOD ENTERTAINMENT CORP ....... 95,475
26,300 INTERNATIONAL GAME TECHNOLOGY ...... 286,012
23,900 JOSTENS, INC ....................... 579,575
60,575 MATTEL, INC ........................ 1,862,681
20,400 o MIRAGE RESORT, INC ................. 703,800
11,500 o PLAYERS INTERNATIONAL, INC ......... 122,906
6,600 o SPORTS & RECREATION, INC ........... 47,025
7,000 o STATION CASINOS, INC ............... 102,375
10,200 o VALUEVISION INTERNATIONAL, INC ..... 56,737
7,000 o WMS INDUSTRIES, INC ................ 114,625
--------------
44,534,898
--------------
MACHINERY--1.36%
23,200 BRIGGS & STRATTON CORP ............. 1,006,300
3,900 BW/IP, INC (CLASS A) ............... 64,350
23,000 CATERPILLAR, INC ................... 1,351,250
5,200 CINCINNATI MILACRON, INC ........... 136,500
17,800 DOVER CORP ......................... 656,375
5,900 FEDERAL SIGNAL CORP ................ 152,662
8,800 o FSI INTERNATIONAL, INC ............. 178,200
6,000 o ICC TECHNOLOGIES, INC .............. 66,000
7,800 IDEX CORP .......................... 317,850
20,800 ILLINOIS TOOL WORKS, INC ........... 1,227,200
4,000 o INTERVOICE, INC .................... 76,000
8,900 KAYDON CORP ........................ 270,337
3,300 KEYSTONE INTERNATIONAL, INC ........ 66,000
5,500 o MOLTEN METAL TECHNOLOGY, INC ....... 179,437
2,200 NORDSON CORP ....................... 123,750
5,000 o NOVELLUS SYSTEMS, INC .............. 270,000
192,900 ROPER INDUSTRIES, INC NEW .......... 7,089,075
12,900 STEWART & STEVENSON SERVICES, INC .. 325,725
26,480 o STRATTEC SECURITY CORP ............. 470,020
10,450 o THERMO ELECTRON CORP ............... 543,400
3,800 TRIMAS CORP ........................ 71,725
5,400 TRINITY INDUSTRIES, INC ............ 170,100
5,400 o ULTRATECH STEPPER, INC ............. 139,050
10,400 o VARITY CORP NEW .................... 386,100
7,900 YORK INTERNATIONAL CORP ............ 371,300
--------------
15,708,706
--------------
METALS--ALUMINIUM--0.01%
8,800 COMMONWEALTH ALUMINUM CORP ......... 136,400
--------------
METALS--GOLD--0.74%
29,100 BATTLE MOUNTAIN GOLD CO ............ 247,350
8,600 o FIRSTMISS GOLD, INC ................ 191,350
50,704 FREEPORT MCMORAN COPPER &
GOLD, INC (CLASS A) ............... 1,419,712
2,877 FREEPORT-MCMORAN COPPER &
GOLD, INC (CLASS B) ............... 80,915
21,500 HOMESTAKE MINING CO ................ 335,937
20,072 NEWMONT MINING CORP ................ 908,258
448,500 SANTE FE PACIFIC GOLD CORP ......... 5,438,062
--------------
8,621,584
--------------
METALS--NON-FERROUS--0.02%
5,800 o HECLA MINING CO .................... 39,875
3,400 MAPCO, INC ......................... 185,725
10,000 o SUNSHINE MINING & REFINING CO ...... 13,750
--------------
239,350
--------------
METALS--STEEL--0.17%
11,200 ALLEGHENY LUDLUM CORP .............. $ 207,200
20,300 BIRMINGHAM STEEL CORP .............. 301,962
7,600 o MATERIAL SCIENCES CORP ............. 113,050
17,100 NUCOR CORP ......................... 976,837
13,000 TITAN WHEEL INTERNATIONAL, INC ..... 211,250
8,800 WORTHINGTON INDUSTRIES, INC ........ 183,150
--------------
1,993,449
--------------
OFFICE EQUIPMENT--1.77%
6,000 APPLE COMPUTER, INC ................ 191,250
3,300 o ASPECT TELECOMMUNICATIONS .......... 110,550
65,000 o COMPAQ COMPUTER CORP ............... 3,120,000
1,000 o CONTROL DATA SYSTEMS, INC .......... 19,625
17,200 o DELL COMPUTER CORP ................. 595,550
101,800 HEWLETT-PACKARD CO ................. 8,525,750
3,100 HON INDUSTRIES, INC ................ 72,075
9,100 o KOMAG, INC ......................... 419,737
2,300 o MICROS SYSTEMS, INC ................ 113,275
24,400 PITNEY BOWES, INC .................. 1,146,800
9,600 o SCI SYSTEMS, INC ................... 297,600
5,400 o SEAGATE TECHNOLOGY, INC ............ 256,500
14,600 o SEQUENT COMPUTER SYSTEMS, INC ...... 211,700
39,500 o SILICON GRAPHICS, INC .............. 1,086,250
16,200 o SOLECTRON CORP ..................... 714,825
44,200 o SUN MICROSYSTEMS, INC .............. 2,016,625
300 o UNISYS CORP ........................ 1,687
12,300 o VIKING OFFICE PRODUCTS, INC ........ 571,950
7,200 XEROX CORP ....................... 986,400
--------------
20,458,149
--------------
PAPER--0.40%
6,500 o BED BATH & BEYOND, INC ............. 252,281
5,700 BEMIS, INC ......................... 146,062
5,900 CARAUSTAR INDUSTRIES, INC .......... 118,000
27,700 o CROWN VANTAGE, INC ................. 394,725
18,700 o FORT HOWARD CORP ................... 420,750
5,000 o JEFFERSON SMURFIT CORP ............. 47,500
35,330 KIMBERLY-CLARK CORP ................ 2,923,557
12,345 SONOCO PRODUCTS CO ................. 324,056
--------------
4,626,931
--------------
PETROLEUM--EXPLORATION &
PRODUCTION--0.39%
17,400 ANADARKO PETROLEUM CORP ............ 941,775
3,700 APACHE CORP ........................ 109,150
16,500 o BENTON OIL & GAS CO ................ 247,500
23,400 BURLINGTON RESOURCES, INC .......... 918,450
4,600 DEVON ENERGY CORP .................. 117,300
4,900 LOUISIANA LAND & EXPLORATION CO .... 210,087
24,000 NOBLE AFFILIATES, INC .............. 717,000
11,900 o SEAGULL ENERGY CORP ................ 264,775
6,400 o TRITON ENERGY CORP ................. 367,200
28,600 UNION TEXAS PETROLEUM HOLDINGS, INC 554,125
--------------
4,447,362
--------------
PETROLEUM--INTEGRATED--0.41%
8,800 ATLANTIC RICHFIELD CO .............. 974,600
53,500 PHILLIPS PETROLEUM CO .............. 1,825,687
67,164 UNOCAL CORP ........................ 1,956,151
--------------
4,756,438
--------------
PETROLEUM--SERVICE--0.61%
15,400 BAKER HUGHES, INC .................. 375,375
37,300 DRESSER INDUSTRIES, INC ............ 909,187
10,900 o ENSCO INTERNATIONAL, INC ........... 250,700
23,300 FLUOR CORP ......................... 1,537,800
68,800 o GLOBAL MARINE, INC NEW ............. 602,000
See notes to financial statements.
-48-
<PAGE>
SHARES VALUE
------ -----
PETROLEUM--SERVICE (CONTINUED)
15,500 HALLIBURTON CO ..................... $ 784,687
41,310 o MCMORAN OIL & GAS CO ............... 142,003
21,200 o NABORS INDUSTRIES, INC ............. 235,850
8,600 o NOBLE DRILLING CORP ................ 77,400
24,000 o SMITH INTERNATIONAL, INC ........... 564,000
15,700 SONAT OFFSHORE DRILLING, INC ....... 702,575
5,500 TOSCO CORP ......................... 209,687
13,300 o WESTERN ATLAS, INC ................. 671,650
--------------
7,062,914
--------------
PHOTOGRAPHY--0.49%
80,500 EASTMAN KODAK CO ................... 5,393,500
3,600 o PHOTRONICS, INC .................... 96,300
2,300 o PRESSTEK, INC ...................... 217,350
--------------
5,707,150
--------------
PROPERTY--REAL ESTATE--0.14%
12,000 KIMCO REALTY CORP .................. 327,000
8,600 WASHINGTON REAL ESTATE
INVESTMENT TRUST .................. 136,525
14,000 WEINGARTEN REALTY
INVESTORS, INC .................... 532,000
29,100 WELLSFORD RESIDENTIAL
PROPERTY TRUST .................... 669,300
--------------
1,664,825
--------------
PUBLISHING--NEWSPAPER--0.27%
5,600 BELO (A.H.) CORP SERIES A .......... 194,600
6,700 o COX COMMUNICATIONS, INC
(CLASS A) NEW ..................... 130,650
39,000 GANNETT CO, INC .................... 2,393,625
4,700 TRIBUNE CO NEW ..................... 287,287
500 WASHINGTON POST CO (CLASS B) ....... 141,000
--------------
3,147,162
--------------
PUBLISHING--OTHER--0.89%
7,600 AMERICAN GREETINGS CORP (CLASS A) .. 209,950
4,000 CCH, INC (CLASS A) ................. 221,000
31,600 DONNELLEY (R.R.) & SONS CO ......... 1,244,250
30,600 DUN & BRADSTREET CORP .............. 1,981,350
23,400 HARCOURT GENERAL, INC .............. 979,875
9,000 LEE ENTERPRISES, INC ............... 207,000
13,100 o MARVEL ENTERTAINMENT GROUP, INC .... 170,300
4,100 MCGRAW HILL COS, INC ............... 357,212
30,000 READER'S DIGEST ASSOCIATION, INC
(CLASS A) (NON-VTG) ............... 1,537,500
3,100 o SCHOLASTIC CORP .................... 241,025
9,500 o THOMAS NELSON, INC ................. 123,500
80,792 TIME WARNER, INC ................... 3,059,997
--------------
10,332,959
--------------
RAILROAD--0.25%
22,800 BURLINGTON NORTHERN SANTA FE CORP .. 1,778,400
17,100 ILLINOIS CENTRAL CORP SERIES A ..... 656,212
4,500 KANSAS CITY SOUTHERN
INDUSTRIES, INC ................... 205,875
4,200 o WISCONSIN CENTRAL TRANSIT CORP ..... 276,150
--------------
2,916,637
--------------
RESTAURANTS & HOTELS--1.64%
2,900 AMERICAN CLASSIC VOYAGES CO ........ 31,537
14,600 APPLE SOUTH, INC ................... 313,900
19,400 APPLEBEES INTERNATIONAL, INC ....... 441,350
6,600 BOB EVANS FARMS, INC ............... 125,400
10,200 o BOSTON CHICKEN, INC ................ 327,675
15,100 o BUFFETS, INC ....................... 207,625
21,200 CRACKER BARREL OLD COUNTRY
STORE, INC ....................... 365,700
51,800 DARDEN RESTAURANTS, INC ............ 615,125
16,700 o HFS INC ............................ 1,365,225
25,400 o HOST MARRIOTT CORP ................. 336,550
2,500 o IHOP CORP NEW ...................... 65,000
8,200 LA QUINTA INNS, INC ................ 224,475
13,300 o LANDRYS SEAFOOD RESTAURANTS, INC ... 226,931
6,800 o LONE STAR STEAKHOUSE SALOON, INC ... 260,950
4,400 LUBYS CAFETERIA, INC ............... 97,900
35,700 MARRIOTT INTERNATIONAL, INC ........ 1,365,525
181,400 MCDONALDS CORP ..................... 8,185,675
5,300 MORRISON RESTAURANTS, INC .......... 74,200
8,800 o OUTBACK STEAKHOUSE, INC ............ 315,700
28,600 o PROMUS HOTEL CORP .................. 636,350
46,100 o RYANS FAMILY STEAK HOUSES, INC ..... 322,700
14,900 o SHONEYS, INC ....................... 152,725
60,500 SYSCO CORP ......................... 1,966,250
41,900 WENDYS INTERNATIONAL, INC .......... 890,375
--------------
18,914,843
--------------
RETAIL--FOOD--1.05%
67,900 ALBERTSONS, INC .................... 2,232,212
12,700 AMERICAN STORES CO, NEW ............ 339,725
110,600 FOOD LION, INC (CLASS B) ........... 629,037
5,000 HANNAFORD BROTHERS, INC ............ 123,125
33,500 o KROGER CO .......................... 1,256,250
31,100 o SAFEWAY, INC NEW ................... 1,601,650
17,000 o STARBUCKS CORP ..................... 357,000
232,100 o STOP & SHOP COS, INC NEW ........... 5,367,312
4,800 WINN DIXIE STORES, INC ............. 177,000
--------------
12,083,311
--------------
RETAIL--GENERAL MERCHANDISE--7.17%
38,400 o AUTOZONE, INC ...................... 1,108,800
4,000 o BABY SUPERSTORE, INC ............... 228,000
7,300 o BARNES & NOBLE, INC ................ 211,700
16,700 o BOMBAY, INC ........................ 106,462
8,200 o BORDERS GROUP, INC ................. 151,700
16,100 xo CALDOR CORP ........................ 52,325
26,800 CHARMING SHOPPES, INC .............. 77,050
409,600 CIRCUIT CITY STORES, INC ........... 11,315,200
4,200 CLAIRES STORES, INC ................ 74,025
26,300 o CONSOLIDATED STORES CORP ........... 572,025
52,550 o CUC INTERNATIONAL, INC ............. 1,793,268
5,800 DILLARD DEPARTMENT STORES (CLASS A) 165,300
410,356 DOLLAR GENERAL CORP ................ 8,514,887
16,800 FAMILY DOLLAR STORES, INC .......... 231,000
9,968 o FEDERATED DEPARTMENT STORES, INC ... 274,120
26,600 GAP, INC ........................... 1,117,200
16,400 o GYMBOREE CORP ...................... 338,250
473,300 HEILIG MEYERS CO ................... 8,696,887
123,000 HOME DEPOT, INC .................... 5,888,625
16,700 o HOME SHOPPING NETWORK, INC ......... 150,300
52,400 o INTERCO, INC NEW ................... 471,600
15,200 o KOHLS CORP ......................... 798,000
64,400 LIMITED, INC ....................... 1,118,950
29,300 LOWES COS, INC ..................... 981,550
30,100 MAY DEPARTMENT STORES CO ........... 1,271,725
5,300 o MICHAELS STORES, INC ............... 72,875
9,400 NORDSTROM, INC ..................... 380,700
17,400 o OFFICEMAX, INC ..................... 389,325
1,200 o PENN TRAFFIC CO .................... 18,000
17,400 PEP BOYS-MANNY, MOE & JACK ......... 445,875
13,100 o PETSMART, INC ...................... 406,100
4,800 o PIER 1 IMPORTS, INC ................ 54,600
19,100 o PRICE/COSTCO, INC .................. 291,275
20,400 o REVCO (D.S.), INC NEW .............. 576,300
26,400 o SERVICE MERCHANDISE, INC ........... 132,000
32,700 o STAPLES, INC ....................... 797,062
See notes to financial statements.
-49-
<PAGE>
SHARES VALUE
------ -----
RETAIL--
GENERAL MERCHANDISE (CONTINUED)
20,100 STRIDE RITE CORP ................... $ 150,750
18,500 SUNGLASS HUT INTERNATIONAL, INC .... 439,375
7,900 TANDY CORP ......................... 327,850
6,700 TJX COS, INC NEW ................... 126,462
33,500 o TOPPS, INC ......................... 171,687
30,800 o TOYS R US, INC ..................... 669,900
1,328,600 WAL-MART STORES, INC ............... 29,727,425
69,200 WALGREEN CO ........................ 2,067,350
--------------
82,953,860
--------------
TEXTILE & APPAREL--1.11%
6,500 o ANN TAYLOR STORES CORP ............. 66,625
14,300 CML GROUP, INC ..................... 73,287
39,000 o CONE MILLS CORP .................... 438,750
6,433 o CONVERSE, INC ...................... 26,536
1,700 o DONNKENNY, INC ..................... 30,812
16,316 o FLORSHEIM SHOE CO .................. 61,185
10,900 o FRUIT OF THE LOOM, INC (CLASS A) ... 265,687
4,400 LIZ CLAIBORNE, INC ................. 122,100
7,500 o NAUTICA ENTERPRISES, INC ........... 328,125
15,100 NIKE, INC (CLASS B) ................ 1,051,337
11,200 REEBOK INTERNATIONAL LTD ........... 316,400
7,700 UNIFI, INC ......................... 170,362
9,700 VF CORP ............................ 511,675
20,800 WARNACO GROUP, INC (CLASS A) ....... 520,000
442,000 o WESTPOINT STEVENS, INC ............. 8,867,625
--------------
12,850,506
--------------
TOBACCO--3.74%
14,500 DIMON, INC ......................... 255,562
436,700 PHILIP MORRIS COS, INC ............. 39,521,350
18,200 RJR NABISCO HOLDINGS CORP .......... 561,925
4,360 o SCHWEITZER-MAUDUIT INTL, INC ....... 100,825
23,400 UNIVERSAL CORP ..................... 570,375
66,100 UST, INC ........................... 2,206,087
--------------
43,216,124
--------------
TRUCKERS & SHIPPING--0.93%
16,900 o AMERICAN FREIGHTWAYS CORP .......... 175,337
12,600 HUNT (J.B.) TRANSPORT SERVICES, INC 211,050
3,300 LAIDLAW, INC (CLASS B) ............. 33,825
345,500 o LANDSTAR SYSTEM, INC ............... 9,242,125
1,800 ROADWAY SERVICES, INC .............. 87,975
48,250 ROLLINS TRUCK LEASING CORP ......... 536,781
21,900 TNT FREIGHTWAYS CORP ............... 440,737
--------------
10,727,830
--------------
UTILITIES--ELECTRIC--0.07%
27,900 o AES CORP ........................... 666,112
3,300 OTTER TAIL POWER CO ................ 117,975
--------------
784,087
--------------
UTILITIES--GAS & PIPELINE--0.52%
23,500 o AMERICAN STANDARD COS, INC ......... 658,000
7,600 o BLACK BOX CORP ..................... 124,450
31,700 CABOT OIL & GAS CORP (CLASS A) ..... 463,612
3,600 o COASTAL CORP ....................... 134,100
60,000 ENRON CORP ......................... 2,287,500
3,875 PANHANDLE EASTERN CORP ............. 108,015
67,400 PUBLIC SERVICE CO OF NORTH CAROLINA 1,204,775
7,200 SOUTHWESTERN ENERGY CO ............. 91,800
15,517 TENNECO, INC ....................... 770,031
11,200 WESTERN GAS RESOURCES, INC ......... 180,600
--------------
6,022,883
--------------
UTILITIES--TELEPHONE--2.72%
5,100 o ADTRAN, INC ........................ 276,993
17,100 ALLTEL CORP ........................ 504,450
25,000 AMERITECH CORP NEW ................. 1,475,000
326,200 AT & T CORP ........................ 21,121,450
22,400 o BELL ATLANTIC CORP ................. 1,498,000
1,100 o C-TEC CORP ......................... 34,100
19,500 CINCINNATI BELL, INC ............... 677,625
4,500 o COMMNET CELLULAR, INC .............. 129,937
19,200 FRONTIER CORP ...................... 576,000
14,100 o GLENAYRE TECHNOLOGIES, INC ......... 877,725
25,900 MCI COMMUNICATIONS CORP ............ 676,637
15,000 o MOBILE TELECOMMUNICATIONS
TECHNOLOGIES CORP .................. 320,625
11,400 o NEXTEL COMMUNICATIONS, INC (CLASS A) 168,150
728 SBC COMMUNICATIONS, INC ............ 41,860
21,100 SPRINT CORP ........................ 841,362
7,100 o U.S. LONG DISTANCE CORP ............ 99,400
45,000 o U.S. WEST MEDIA GROUP .............. 855,000
36,400 o WORLDCOM, INC ...................... 1,283,100
--------------
31,457,414
--------------
TOTAL COMMON STOCK
(COST $993,489,616) ................ 1,147,799,991
--------------
PAR
VALUE
-----
SHORT TERM INVESTMENTS--1.04%
COMMERCIAL PAPER--0.22%
CAMPBELL SOUP CO
2,500,000 # 5.640%, 01/08/96 ................ 2,496,686
--------------
GOVERNMENT AGENCIES--0.82%
FEDERAL HOME LOAN BANK
4,000,000 * 5.470%, 01/26/96 ................ 3,983,451
FEDERAL HOME LOAN MORTGAGE CORP
4,590,000 5.310%, 03/18/96 ................ 4,534,336
TENNESSEE VALLEY AUTHORITY
990,000 * 5.600%, 01/09/96 ................ 988,643
--------------
9,506,430
--------------
TOTAL SHORT TERM INVESTMENTS
(COST $12,008,496) ................. 12,003,116
--------------
ROUNDING ......................... 89
--------------
TOTAL PORTFOLIO
(COST $1,005,532,070) .............. $1,159,836,428
==============
- ----------------
o NON-INCOME PRODUCING
X IN BANKRUPTCY
# RESTRICTED
* ALL OR A PORTION OF THIS SECURITY HAS BEEN SEGREGATED BY THE CUSTODIAN TO
COVER MARGIN OR OTHER REQUIREMENTS ON OPEN FUTURES CONTRACTS COVERED CALL
OPTIONS WRITTEN AND SECURITIES PURCHASED ON A DELAYED DELIVERY BASIS.
See notes to financial statements.
-50-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENT OF INVESTMENTS--EQUITY INDEX ACCOUNT
DECEMBER 31, 1995
SUMMARY
VALUE %
---- -----
BONDS
CORPORATE BONDS
BROADCASTERS...................................... $ 8,140 0.00%
ENVIRONMENTAL CONTROL............................. 12,180 0.01
----------- ------
TOTAL CORPORATE BONDS
(COST $15,239).................................... 20,320 0.01
----------- ------
TOTAL BONDS
(COST $15,239)..................................... 20,320 0.01
----------- ------
PREFERRED STOCK
CONGLOMERATES..................................... 1,049 0.00
FINANCIAL--MISCELLANEOUS.......................... 1,029 0.00
HEALTHCARE--SERVICE............................... 8,520 0.00
----------- ------
TOTAL PREFERRED STOCK
(COST $10,435)..................................... 10,598 0.00
----------- ------
COMMON STOCK
AEROSPACE......................................... 5,567,940 1.43
AIR TRANSPORTATION................................ 1,991,254 0.51
AUTOMOTIVE & RELATED.............................. 9,875,790 2.53
BANKS............................................. 29,460,962 7.54
BEVERAGES......................................... 10,909,886 2.79
BROADCASTERS...................................... 4,231,062 1.08
BUSINESS SERVICES................................. 5,643,367 1.44
CHEMICALS--MAJOR.................................. 7,996,348 2.05
CHEMICALS--SPECIALTY.............................. 4,220,714 1.08
COMMUNICATION EQUIPMENT & SERVICES................ 7,242,666 1.85
COMPUTER SERVICE.................................. 12,075,576 3.09
CONGLOMERATES..................................... 7,873,099 2.01
CONSTRUCTION--MATERIALS & BUILDERS................ 2,657,967 0.68
CONTAINERS........................................ 535,782 0.14
COSMETICS......................................... 2,373,599 0.61
ELECTRICAL EQUIPMENT.............................. 12,146,217 3.11
ELECTRICAL EQUIPMENT--COMPONENTS
DIVERSIFIED..................................... 11,467,000 2.93
ELECTRICAL EQUIPMENT--INSTRUMENTS................. 2,104,541 0.54
ENVIRONMENTAL CONTROL............................. 1,968,636 0.50
FINANCIAL--MISCELLANEOUS.......................... 15,442,317 3.95
FOODS............................................. 9,500,989 2.43
FOREST PRODUCTS................................... 2,041,011 0.52
HEALTHCARE--DRUGS................................. 22,219,808 5.69
HEALTHCARE--HOSPITAL SUPPLY....................... 8,521,197 2.18
HEALTHCARE--OTHER................................. 4,541,360 1.16
HEALTHCARE--SERVICE............................... 6,844,992 1.75
HOUSEHOLD--CONSUMER ELECTRONICS................... 105,743 0.03
HOUSEHOLD--DURABLE GOODS.......................... 1,620,687 0.41
HOUSEHOLD--PRODUCTS............................... 6,088,624 1.56
INSURANCE--BROKERS & OTHER........................ 1,709,661 0.44
INSURANCE--LIFE................................... 2,659,473 0.68
INSURANCE--MULTI-LINE,
PROPERTY & CASUALTY............................. 12,050,000 3.08
LEISURE TIME...................................... 5,134,137 1.31
MACHINERY......................................... 6,197,854 1.59
METALS--ALUMINIUM................................. 963,298 0.25
METALS--GOLD...................................... 1,009,410 0.26
METALS--NON-FERROUS............................... 1,411,866 0.36
METALS--STEEL..................................... 1,802,586 0.46
OFFICE EQUIPMENT.................................. 12,410,730 3.18
PAPER............................................. 4,651,793 1.19
PETROLEUM--EXPLORATION & PRODUCTION............... 2,961,692 0.76
PETROLEUM--INTEGRATED............................. 19,807,856 5.07
PETROLEUM--SERVICE................................ 3,021,226 0.77
PHOTOGRAPHY....................................... 1,847,400 0.47
PROPERTY--REAL ESTATE............................. 555,761 0.14
PUBLISHING--NEWSPAPER............................. 1,966,474 0.50
PUBLISHING--OTHER................................. 3,371,843 0.86
RAILROAD.......................................... 3,747,797 0.96
RESTAURANTS & HOTELS.............................. 5,164,037 1.32
RETAIL--FOOD ..................................... 2,665,720 0.68
RETAIL--GENERAL MERCHANDISE....................... 14,264,476 3.65
TEXTILE & APPAREL................................. 1,805,461 0.46
TOBACCO........................................... 7,201,649 1.84
TRUCKERS & SHIPPING............................... 897,824 0.23
UTILITIES--ELECTRIC............................... 18,652,918 4.77
UTILITIES--GAS & PIPELINE......................... 5,037,008 1.29
UTILITIES--TELEPHONE.............................. 29,260,229 7.49
------------ ------
TOTAL COMMON STOCK
(COST $346,730,188)................................ 389,499,313 99.65
------------ ------
SHORT TERM INVESTMENTS
COMMERCIAL PAPER.................................. 3,680,107 0.94
------------ ------
TOTAL SHORT TERM INVESTMENTS
(COST $3,680,906).................................. 3,680,107 0.94
----------- ------
ROUNDING......................................... 192 0.00
------------ ------
TOTAL PORTFOLIO
(COST $350,436,768)................................ 393,210,530 100.60
OTHER ASSETS & LIABILITIES, NET.................. (2,332,984) (0.60)
------------ ------
NET ASSETS..........................................$390,877,546 100.00%
============ ======
See notes to financial statements.
-51-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENT OF INVESTMENTS--EQUITY INDEX ACCOUNT
DECEMBER 31, 1995
PAR
VALUE VALUE
BONDS--0.01%
CORPORATE BONDS--0.01%
BROADCASTERS--0.00%
VIACOM INTERNATIONAL, INC
(SUBORDINATED DEB)
8,000 8.000%, 07/07/06................ $ 8,140
-----------
ENVIRONMENTAL CONTROL--0.01%
WMX TECHNOLOGIES, INC
(SUBORDINATED CV NOTE)
14,000 2.000%, 01/24/05................ 12,180
-----------
TOTAL CORPORATE BONDS
(COST $15,239).................... 20,320
-----------
TOTAL BONDS
(COST $15,239)....................... 20,320
-----------
SHARES VALUE
------ -----
PREFERRED STOCK--0.00%
CONGLOMERATES--0.00%
73 TELEDYNE, INC SERIES E............. 1,049
-----------
FINANCIAL--MISCELLANEOUS--0.00%
42 EVEREN CAPITAL CORP SERIES A....... 1,029
-----------
HEALTHCARE--SERVICE--0.00%
320 FHP INTERNATIONAL CORP SERIES A CV. 8,520
-----------
TOTAL PREFERRED STOCK
(COST $10,435) ...................... 10,598
-----------
COMMON STOCK--99.65%
AEROSPACE--1.43%
900 ALLIANT TECHSYSTEMS, INC........... 45,562
24,100 BOEING CO.......................... 1,888,837
5,300 EG & G, INC........................ 128,525
1,900 FLIGHTSAFETY INTERNATIONAL, INC.... 95,475
3,800 GENERAL DYNAMICS CORP.............. 224,675
7,800 GENERAL MOTORS CORP (CLASS H)...... 383,175
12,304 LOCKHEED MARTIN CORP............... 972,016
6,800 MCDONNELL DOUGLAS CORP............. 625,600
2,800 NORTHROP GRUMMAN CORP.............. 179,200
1,800 OEA, INC .......................... 53,775
3,400 o ORBITAL SCIENCES CORP.............. 43,350
1,100 PRECISION CASTPARTS CORP........... 43,725
17,400 RAYTHEON CO........................ 822,150
4,500 o WYMAN-GORDON CO.................... 61,875
-----------
5,567,940
-----------
AIR TRANSPORTATION--0.51%
2,500 AIR EXPRESS INTERNATIONAL CORP..... 57,500
1,900 AIRBORNE FREIGHT CORP.............. 50,587
5,400 o AMERICA WEST AIRLINES, INC (CLASS B) 91,800
5,200 o AMR CORP........................... 386,100
2,400 ATLANTIC SOUTHEAST AIRLINES, INC 51,600
2,450 COMAIR HOLDINGS, INC............... 65,843
1,400 o CONTINENTAL AIRLINES, INC (CLASS B) 60,900
3,500 DELTA AIRLINES, INC................ 258,562
4,100 o FEDERAL EXPRESS CORP............... 302,887
1,000 o MESA AIRLINES, INC................. 9,000
4,700 o NORTHWEST AIRLINES CORP (CLASS A).. 239,700
400 SKYWEST, INC....................... 5,150
10,000 SOUTHWEST AIRLINES CO.............. 232,500
1,400 o U.S. AIR GROUP, INC............... 18,550
650 o UAL CORP NEW...................... 116,025
1,800 o VALUJET, INC...................... 44,550
-----------
1,991,254
-----------
AUTOMOTIVE & RELATED--2.53%
3,800 ALLEN GROUP, INC................... 85,025
2,700 o AMERICREDIT CORP................... 36,787
3,200 ARVIN INDUSTRIES, INC.............. 52,800
2,900 BANDAG, INC........................ 156,962
3,600 BORG-WARNER AUTOMOTIVE, INC........ 115,200
1,600 BREED TECHNOLOGIES, INC............ 29,600
22,981 CHRYSLER CORP...................... 1,272,572
5,400 COOPER TIRE & RUBBER CO............ 132,975
3,000 CUMMINS ENGINE CO, INC............. 111,000
7,600 DANA CORP.......................... 222,300
3,000 DANAHER CORP....................... 95,250
2,200 o DETROIT DIESEL CORP................ 40,975
2,800 DONALSON, INC...................... 70,350
5,600 EATON CORP......................... 300,300
4,700 ECHLIN, INC........................ 171,550
3,400 FEDERAL-MOGUL CORP................. 66,725
75,200 FORD MOTOR CO...................... 2,180,800
1,300 GENCORP, INC....................... 15,925
52,700 GENERAL MOTORS CORP................ 2,786,512
8,500 GENUINE PARTS CO................... 348,500
10,400 GOODYEAR TIRE & RUBBER CO.......... 471,900
5,500 HARLEY DAVIDSON, INC............... 158,125
600 HAYES WHEELS INTERNATIONAL, INC.... 15,375
2,400 o KIRBY CORP......................... 39,000
4,600 o LEAR SEATING CORP.................. 133,400
2,400 MODINE MANUFACTURING CO............ 57,600
6,400 o NAVISTAR INTERNATIONAL CORP........ 67,200
3,100 PACCAR, INC........................ 130,587
3,600 POLARIS INDUSTRIES, INC............ 105,750
6,000 SAFETY-KLEEN CORP.................. 93,750
1,000 SMITH (A.O.) CORP.................. 20,750
3,400 SNAP-ON, INC....................... 153,850
500 STANDARD PRODUCTS CO............... 8,812
2,200 SUPERIOR INDUSTRIES
INTERNATIONAL, INC................ 58,025
1,300 o TBC CORP........................... 11,212
675 TRANSPRO, INC...................... 7,171
2,300 WABASH NATIONAL CORP............... 51,175
-----------
9,875,790
-----------
BANKS--7.54%
4,900 AMSOUTH BANCORP.................... 197,837
900 ASSOCIATED BANC-CORP............... 36,843
26,488 BANC ONE CORP...................... 999,922
4,200 BANCORP HAWAII, INC................ 150,675
7,544 BANK OF BOSTON CORP................ 348,910
13,800 BANK OF NEW YORK CO, INC........... 672,750
4,800 BANK SOUTH CORP.................... 145,800
24,900 BANKAMERICA CORP................... 1,612,275
5,100 BANKERS TRUST NEW YORK CORP........ 339,150
6,600 BARNETT BANKS, INC................. 389,400
1,600 BAYBANKS, INC...................... 157,200
9,600 BOATMENS BANCSHARES, INC........... 392,400
4,400 o BROOKLYN BANCORP, INC ............. 179,300
470 o CALIFORNIA FEDERAL BANK
(GOODWILL CERT)................... 2,320
See notes to financial statements.
-52-
<PAGE>
SHARES VALUE
------ -----
BANKS-(CONTINUED)
2,208 CAPITAL ONE FINANCIAL CORP......... $ 52,716
700 CCB FINANCIAL CORP................. 38,850
4,400 CENTRAL FIDELITY BANKS, INC........ 140,800
800 CENTURA BANKS, INC................. 28,100
8,900 CHARTER ONE FINANCIAL, INC......... 272,562
11,910 CHASE MANHATTAN CORP............... 722,043
17,000 CHEMICAL BANKING CORP.............. 998,750
29,321 CITICORP........................... 1,971,837
5,900 CITY NATIONAL CORP................. 82,600
8,700 COMERICA, INC...................... 349,087
771 COMMERCE BANCSHARES, INC........... 29,490
4,300 COMPASS BANCSHARES, INC............ 141,900
9,450 CORESTATES FINANCIAL CORP.......... 357,918
2,954 CRESTAR FINANCIAL CORP............. 174,655
1,600 CULLEN FROST BANKERS, INC.......... 80,000
1,000 DAUPHIN DEPOSIT CORP............... 28,750
1,500 DEPOSIT GUARANTY CORP.............. 66,750
6,300 o DIME BANCORP, INC.................. 73,237
4,200 FIFTH THIRD BANCORP................ 307,650
5,014 FIRST AMERICAN BANK CORP........... 222,496
2,600 FIRST AMERICAN CORP................ 123,175
9,136 FIRST BANK SYSTEM, INC............. 453,374
22,755 FIRST CHICAGO NBD CORP............. 898,822
3,609 FIRST COMMERCE CORP................ 115,488
1,391 FIRST COMML CORP................... 45,903
5,779 FIRST FIDELITY BANCORP NEW......... 435,592
3,700 FIRST INTERSTATE BANCORP........... 505,050
4,200 FIRST SECURITY CORP................ 161,700
3,100 FIRST TENNESSEE NATIONAL CORP...... 187,550
11,618 FIRST UNION CORP................... 646,251
1,200 FIRST VIRGINIA BANKS, INC.......... 50,100
5,300 FIRSTAR CORP NEW................... 210,012
700 FIRSTIER FINANCIAL, INC............ 30,800
17,102 FLEET FINANCIAL GROUP, INC NEW..... 696,906
2,600 FOURTH FINANCIAL CORP.............. 106,437
1,500 o GREENPOINT FINANCIAL CORP.......... 40,125
10,400 HIBERNIA CORP (CLASS A)............ 111,800
10,737 HUNTINGTON BANCSHARES, INC......... 257,688
2,800 INTEGRA FINANCIAL CORP............. 176,400
16,200 KEYCORP NEW........................ 587,250
4,300 o LONG ISLAND BANCORP, INC........... 113,412
7,300 MAGNA GROUP, INC................... 173,375
8,500 MARSHALL & ILSLEY CORP............. 221,000
9,374 MELLON BANK CORP................... 503,852
4,400 MERCANTILE BANCORP, INC............ 202,400
5,400 MERCANTILE BANKSHARES CORP......... 150,525
4,377 MERIDIAN BANCORP, INC.............. 203,530
3,600 MIDLANTIC CORP..................... 236,250
12,600 MORGAN (J.P.) & CO, INC............ 1,011,150
11,358 NATIONAL CITY CORP................. 376,233
900 NATIONAL COMMERCE BANCORP.......... 23,625
18,094 NATIONSBANK CORP................... 1,259,794
3,600 o NORTH FORK BANCORP, INC............ 90,900
4,400 NORTHERN TRUST CORP................ 246,400
23,748 NORWEST CORP....................... 783,684
4,550 OLD KENT FINANCIAL CORP............ 187,118
1,000 OLD NATIONAL BANCORP............... 34,750
3,200 ONBANCORP, INC..................... 106,800
1,000 ONE VALLEY BANCORP OF WEST VIRGINIA 31,250
2,300 o PEOPLES BANK OF BRIDGEPORT......... 43,700
16,000 PNC BANK CORP...................... 516,000
6,800 PREMIER BANCORP, INC............... 158,950
4,500 REGIONS FINANCIAL CORP............. 193,500
2,900 REPUBLIC NEW YORK CORP............. 180,162
6,400 o RIGGS NATIONAL CORP................ 83,200
4,466 SIGNET BANKING CORP................ 106,067
8,440 SOUTHERN NATIONAL CORP............. 221,550
8,200 SOUTHTRUST CORP.................... 210,125
10,100 o SOVEREIGN BANCORP, INC............. 102,262
6,500 ST. PAUL BANCORP, INC.............. 165,750
700 o STANDARD FEDERAL BANK.............. 27,562
2,200 STAR BANC CORP..................... 130,900
5,600 STATE STREET BOSTON CORP .......... 252,000
5,780 SUMMIT BANCORP .................... 182,070
8,100 SUNTRUST BANKS, INC ............... 554,850
5,500 SYNOVUS FINANCIAL CORP ............ 156,750
11,616 U.S. BANCORP ...................... 390,588
1,600 U.S. TRUST CORP NEW ............... 79,600
4,800 UJB FINANCIAL CORP ................ 171,600
1,300 UNION BANK ........................ 70,525
4,400 UNION PLANTERS CORP ............... 140,250
500 UNITED CAROLINA BANCSHARES CORP ... 16,875
1,200 VALLEY NATIONAL BANCORP ........... 30,000
12,400 WACHOVIA CORP NEW ................. 567,300
4,500 WASHINGTON FEDERAL, INC ........... 115,312
4,100 WASHINGTON MUTUAL, INC ............ 118,387
2,738 WELLS FARGO & CO .................. 591,408
4,200 WILMINGTON TRUST CORP ............. 129,675
2,400 ZIONS BANCORP ..................... 192,600
-----------
29,460,962
-----------
BEVERAGES--2.79%
15,700 ANHEUSER BUSCH COS, INC ........... 1,049,937
1,400 BROWN FORMAN, INC (CLASS B) ....... 51,100
88,000 COCA COLA CO ...................... 6,534,000
6,700 COCA COLA ENTERPRISES, INC ........ 179,225
4,300 COORS ADOLPH CO (CLASS B) ......... 95,137
53,700 PEPSICO, INC ...................... 3,000,487
-----------
10,909,886
-----------
BROADCASTERS--1.08%
4,600 CAPITAL CITIES/ABC, INC ........... 567,525
3,300 CITICASTERS, INC .................. 77,962
2,200 o CLEAR CHANNEL COMMUNICATIONS, INC.. 97,075
2,800 COMCAST CORP (CLASS A) ............ 49,350
15,000 COMCAST CORP (CLASS A) SPL ........ 272,812
1,900 o EVERGREEN MEDIA CORP (CLASS A) .... 60,800
5,105 GAYLORD ENTERTAINMENT CO .......... 141,663
1,800 HARTE-HANKS COMMUNICATIONS, INC ... 35,550
3,600 o HERITAGE MEDIA CORP (CLASS A) NEW.. 92,250
1,350 o INFINITY BROADCASTING CORP (CLASS A) 50,287
3,000 o KING WORLD PRODUCTIONS, INC ....... 116,625
11,475 o LIBERTY MEDIA GROUP (CLASS A) ..... 308,390
2,450 o LIN TELEVISION CORP ............... 72,887
2,900 SCRIPPS (E.W.) CO (CLASS A) ....... 114,187
2,100 TCA CABLE TV, INC ................. 58,012
46,700 o TELE-COMMUNICATIONS, INC
(CLASS A) NEW .................... 928,162
8,300 TURNER BROADCASTING SYSTEMS, INC
(CLASS B) ........................ 215,800
400 UNITED TELEVISION, INC ............ 36,100
6,460 o VIACOM, INC (CLASS A) ............. 296,352
13,193 o VIACOM, INC (CLASS B) ............. 625,018
250 o VIACOM, INC (CLASS B) WTS 07/07/97. 718
150 o VIACOM, INC (CLASS B) WTS 07/07/99. 825
900 o WESTWOOD ONE, INC ................. 12,712
-----------
4,231,062
-----------
BUSINESS SERVICES--1.44%
1,000 o ACCUSTAFF, INC .................... 44,000
3,600 ADVO, INC ......................... 93,600
1,000 o ALLIANCE SEMICONDUCTOR CORP ....... 11,625
2,000 o ALTERNATIVE RESOURCES CORP ........ 60,500
3,000 o AMERICA ONLINE, INC ............... 112,500
1,600 o ATRIA SOFTWARE INC ................ 62,600
See notes to financial statements.
-53-
<PAGE>
SHARES VALUE
------ -----
BUSINESS SERVICES (CONTINUED)
3,100 AUTODESK, INC ..................... $ 106,175
2,200 BANTA CORP ........................ 96,800
7,000 BLOCK (H&R), INC .................. 283,500
1,500 o CABLEVISION SYSTEMS CORP (CLASS A). 81,375
1,200 o CALGENE, INC ...................... 5,550
1,400 o CATALINA MARKETING CORP ........... 87,850
1,800 o CHECKPOINT SYSTEMS, INC ........... 67,275
2,700 CINTAS CORP ....................... 120,150
4,300 o COMPUTERVISION CORP ............... 66,112
4,100 o CORPORATE EXPRESS, INC ............ 123,512
2,000 o CORRECTIONS CORP OF AMERICA ....... 74,250
2,100 o CREDENCE SYSTEMS CORP ............. 48,037
6,400 DELUXE CORP ....................... 185,600
1,300 o DIALOGIC CORP ..................... 50,050
3,100 DIEBOLD, INC ...................... 171,662
3,400 o DOUBLETREE CORP ................... 89,250
900 o FORE SYSTEMS, INC ................. 53,550
2,600 o FRANKLIN QUEST CO ................. 50,700
1,800 o FRITZ COS INC ..................... 74,700
1,300 o GATEWAY 2000, INC ................. 31,850
5,700 HARLAND (JOHN H.) CO .............. 118,987
1,500 IDEON GROUP, INC .................. 15,187
1,400 o INFORMATION RESOURCES, INC ........ 17,325
1,400 o INSO CORP COM ..................... 59,500
1,000 o INTERIM SERVICES, INC ............. 34,750
6,000 INTERPUBLIC GROUP OF COS, INC ..... 260,250
3,600 KELLY SERVICES, INC (CLASS A) ..... 99,900
1,000 LIBERTY PROPERTY TRUST ............ 20,750
5,100 MANPOWER, INC ..................... 143,437
1,250 o MCAFEE ASSOCIATES, INC ............ 54,843
700 o MERISEL, INC ...................... 3,062
1,800 o MICRO WAREHOUSE, INC .............. 77,850
2,600 o NATIONAL AUTO CREDIT, INC ......... 42,250
5,000 NATIONAL SERVICE INDUSTRIES, INC .. 161,875
3,500 o NU KOTE HOLDING, INC (CLASS A) .... 59,500
9,250 o OFFICE DEPOT, INC ................. 182,687
7,600 o OIS OPTICAL IMAGING SYSTEMS, INC .. 29,450
2,900 OLSTEN CORP ....................... 114,550
5,400 OMNICOM GROUP, INC ................ 201,150
1,000 o OPTICAL DATA SYSTEMS, INC ......... 25,250
2,750 PAYCHEX, INC ...................... 137,156
2,500 PHH CORP .......................... 116,875
2,200 PREMIER INDUSTRIAL CORP NEW ....... 53,900
1,700 o QUARTERDECK CORP .................. 46,750
1,000 o REMEDY CORP ....................... 59,250
2,600 o ROBERT HALF INTERNATIONAL, INC .... 108,875
4,000 ROLLINS, INC ...................... 88,500
5,100 SENSORMATIC ELECTRONICS CORP ...... 88,612
7,300 SERVICE CORP INTERNATIONAL ........ 321,200
2,000 o STRATACOM, INC .................... 147,000
3,300 o SUNGARD DATA SYSTEMS, INC ......... 94,050
1,500 o THERMOLASE CORP ................... 38,812
1,700 o TIVOLI SYSTEMS, INC ............... 57,375
1,700 TRUE NORTH COMMUNICATIONS, INC .... 31,450
3,900 o U.S. CELLULAR CORP ................ 131,625
400 VALSPAR CORP ...................... 17,850
2,100 o VERIFONE, INC ..................... 60,112
1,100 WALLACE COMPUTER SERVICES, INC .... 60,087
500 o WONDERWARE CORP ................... 8,562
-----------
5,643,367
-----------
CHEMICALS--MAJOR--2.05%
7,700 AIR PRODUCTS & CHEMICALS, INC ..... 406,175
1,200 ARCO CHEMICAL CO .................. 58,350
17,800 DOW CHEMICAL CO ................... 1,252,675
37,800 DU PONT (E.I.) DE NEMOURS & CO .... 2,641,275
5,500 EASTMAN CHEMICAL CO ............... 344,437
2,200 GOODRICH (B.F.) CO ................ 149,875
7,700 HERCULES, INC ..................... 434,087
2,900 MISSISSIPPI CHEMICAL CORP ......... 67,425
7,700 MONSANTO CO ....................... 943,250
1,300 o OAK TECHNOLOGY, INC ............... 54,925
1,900 OLIN CORP ......................... 141,075
13,700 PPG INDUSTRIES, INC ............... 626,775
9,900 PRAXAIR, INC ...................... 332,887
200 o QUINTILES TRANSNATIONAL CORP ...... 8,200
3,300 ROHM & HAAS CO .................... 212,437
8,600 UNION CARBIDE CORP ................ 322,500
-----------
7,996,348
-----------
CHEMICALS--SPECIALTY--1.08%
3,600 o AIRGAS, INC ....................... 119,700
4,700 ALBEMARLE CORP .................... 91,062
2,900 BETZ LABORATORIES, INC ............ 118,900
3,800 CALGON CARBON CORP ................ 45,600
1,500 COMMERCIAL METALS CO .............. 37,125
4,800 CROMPTON & KNOWLES CORP ........... 63,600
1,600 o CYTEC INDUSTRIES, INC ............. 99,800
900 DEXTER CORP ....................... 21,262
4,800 ECOLAB, INC ....................... 144,000
6,000 ENGELHARD CORP .................... 130,500
7,000 ETHYL CORP ........................ 87,500
3,100 FERRO CORP ........................ 72,075
1,600 FIRST MISSISSIPPI CORP ............ 42,400
2,900 FOSTER WHEELER CORP ............... 123,250
401 FULLER (H.B.) CO .................. 13,934
4,100 GEON CO ........................... 99,937
2,900 GEORGIA GULF CORP ................. 89,175
1,000 GRACE (W.R.) & CO ................. 59,125
4,600 GREAT LAKES CHEMICAL CORP ......... 331,200
644 ICN PHARMACEUTICALS, INC NEW ...... 12,397
3,700 IMC GLOBAL, INC ................... 151,237
5,000 LAWTER INTERNATIONAL, INC ......... 58,125
2,400 LOCTITE CORP ...................... 114,000
4,900 LUBRIZOL CORP ..................... 136,587
3,500 LYONDELL PETROCHEMICAL CO ......... 80,062
900 MALLINCKRODT GROUP, INC ........... 32,737
200 o MCWHORTER TECHNOLOGIES, INC ....... 2,950
3,600 MILLIPORE CORP .................... 148,050
10,400 MORTON INTERNATIONAL, INC ......... 373,100
5,400 NALCO CHEMICAL CORP ............... 162,675
1,500 OM GROUP, INC ..................... 49,687
3,400 RAYCHEM CORP ...................... 193,375
7,750 RPM, INC .......................... 127,875
3,475 SCHULMAN A, INC ................... 78,187
3,800 o SEALED AIR CORP ................... 106,875
3,600 SIGMA ALDRICH CORP ................ 178,200
6,600 o STERLING CHEMICALS, INC ........... 53,625
3,400 TERRA INDUSTRIES, INC ............. 48,025
1,000 THIOKOL CORP ...................... 33,875
1,600 VIGORO CORP ....................... 98,800
2,700 WELLMAN, INC ...................... 61,425
4,400 WITCO CORP ........................ 128,700
-----------
4,220,714
-----------
COMMUNICATION EQUIPMENT &
SERVICES--1.85%
11,260 o 3COM CORP ......................... 524,997
35,000 o AIRTOUCH COMMUNICATIONS, INC ...... 988,750
2,850 o ANDREW CORP ....................... 109,012
1,000 o ANTEC CORP ........................ 18,000
4,700 o ARCH COMMUNICATIONS GROUP, INC .... 112,800
2,800 o ASCEND COMMUNICATIONS INC ......... 227,150
2,300 o AVID TECHNOLOGIES, INC ............ 43,700
5,600 o BRINKER INTERNATIONAL, INC ........ 84,700
See notes to financial statements.
-54-
<PAGE>
SHARES VALUE
------ -----
COMMUNICATION EQUIPMENT &
SERVICES (CONTINUED)
3,600 o CABLETRON SYSTEMS, INC ............ $ 291,600
1,500 o CALIFORNIA MICROWAVE, INC ......... 24,937
1,800 o CASCADE COMMUNICATIONS CORP ....... 153,450
1,000 o CELLSTAR CORP ..................... 26,000
400 o CELLULAR COMMUNICATIONS
INTERNATIONAL, INC ............... 17,100
4,400 CENTURY TELEPHONE ENTERPRISES, INC 139,700
1,100 o CIDCO, INC ........................ 28,050
18,700 o CISCO SYSTEMS, INC ................ 1,395,487
5,200 COMSAT CORP SERIES 1 .............. 96,850
16,100 CORNING, INC ...................... 515,200
7,800 o DSC COMMUNICATIONS CORP ........... 287,625
1,700 o DSP COMMUNICATIONS, INC ........... 74,162
1,600 o GENERAL DATACOMM INDUSTRIES, INC .. 27,400
4,700 o GEOTEK COMMUNICATIONS, INC ........ 29,668
3,300 HARRIS CORP ....................... 180,262
1,100 o INTERDIGITAL COMMUNICATIONS CORP .. 8,112
4,266 o INTERNATIONAL CABLETEL, INC ....... 104,517
7,100 o LCI INTERNATIONAL, INC ............ 145,550
1,900 o MACROMEDIA, INC ................... 99,275
1,900 o MFS COMMUNICATIONS CO, INC ........ 101,175
1,100 o NETCOM ON-LINE COMMUNICATION
SERVICES, INC .................... 39,600
2,300 o NETWORK EQUIPMENT TECHNOLOGIES .... 62,962
6,100 o NEW WORLD
COMMUNICATIONS GROUP, INC ........ 106,750
21,700 o NOVELL, INC ....................... 309,225
1,500 o OCTEL COMMUNICATIONS CORP ......... 48,375
2,000 o PAGING NETWORK, INC ............... 48,750
800 o PAIRGAIN TECHNOLOGIES, INC ........ 43,800
2,000 o PICTURETEL CORP NEW ............... 86,250
1,400 o PREMISYS COMMUNICATIONS, INC ...... 78,400
2,900 o QUALCOMM, INC ..................... 124,700
5,500 SCIENTIFIC-ATLANTA, INC ........... 82,500
4,300 o TECH DATA CORP .................... 64,500
5,200 o TELLABS, INC ...................... 192,400
4,900 o VANGUARD CELLULAR SYSTEMS, INC .... 99,225
-----------
7,242,666
-----------
COMPUTER SERVICE--3.09%
400 o3DO CO ............................ 4,000
2,700 o ACXIOM CORP ....................... 73,912
3,400 o ADAPTEC, INC ...................... 139,400
4,400 o ADC TELECOMMUNICATIONS, INC ....... 160,600
3,572 ADOBE SYSTEMS, INC ................ 221,464
3,150 o AMERICAN MANAGEMENT SYSTEMS, INC .. 94,500
10,000 AUTOMATIC DATA PROCESSING, INC .... 742,500
400 o BANYAN SYSTEMS, INC ............... 4,100
11,645 o BAY NETWORKS, INC ................. 478,900
1,400 o BBN CORPORATION ................... 57,575
3,500 o BISYS GROUP, INC .................. 107,625
3,100 o BMC SOFTWARE, INC ................. 132,525
600 o BORLAND INTERNATIONAL, INC ........ 9,900
1,400 o BOSTON TECHNOLOGY, INC ............ 17,850
900 o BRODERBUND SOFTWARE, INC .......... 54,675
3,650 o CADENCE DESIGN SYSTEMS, INC ....... 153,300
1,000 o CAMBRIDGE TECHNOLOGY PARTNERS, INC. 57,500
1,200 o CDW COMPUTER CENTERS, INC ......... 48,600
3,000 o CERIDIAN CORP ..................... 123,750
2,300 o CHEYENNE SOFTWARE, INC ............ 60,087
1,600 o COMPUSA, INC ...................... 49,800
12,800 COMPUTER ASSOCIATES INTERNATIONAL,
INC ............................. 728,000
3,900 o COMPUTER SCIENCES CORP ............ 273,975
2,400 o COMPUWARE CORP .................... 44,400
1,000 o CONTINUM, INC ..................... 39,500
1,300 o CYRIX CORP ........................ 29,900
1,200 o DAVIDSON & ASSOCIATES, INC ........ 26,400
2,500 o ELECTRONIC ARTS ................... 65,312
13,000 o EMC CORP .......................... 199,875
400 o EXABYTE CORP ...................... 5,850
13,274 FIRST DATA CORP ................... 887,698
3,900 o FISERV, INC ....................... 117,000
1,600 o FTP SOFTWARE, INC ................. 46,400
20,500 GENERAL MOTORS CORP (CLASS E) ..... 1,066,000
2,600 HBO & CO .......................... 199,225
4,100 o INTERGRAPH CORP ................... 64,575
2,400 o INTUIT, INC ....................... 187,200
600 o LANDMARK GRAPHICS CORP ............ 13,950
1,100 o MEDIC COMPUTER SYSTEMS, INC ....... 66,550
4,000 o MENTOR GRAPHICS CORP .............. 73,000
2,500 o MICROCHIP TECHNOLOGY, INC ......... 91,250
1,200 o MICRON ELECTRONICS, INC ........... 12,900
24,300 o MICROSOFT CORP .................... 2,132,325
3,400 NATIONAL DATA CORP ................ 84,150
2,600 o NETMANAGE, INC .................... 60,450
2,000 o NETWORK GENERAL CORP .............. 66,750
22,850 o ORACLE CORP ....................... 968,268
4,000 o PARAMETRIC TECHNOLOGY CORP ........ 266,000
1,700 o PEOPLESOFT, INC ................... 73,100
4,200 o PLATINUM TECHNOLOGY, INC .......... 77,175
300 o POLICY MANAGEMENT SYSTEMS CORP .... 14,287
1,400 o PROGRESS SOFTWARE CORP ............ 52,500
2,700 o READ-RITE CORP .................... 62,775
3,300 REYNOLDS & REYNOLDS CO (CLASS A) .. 128,287
1,500 o SAFEGUARD SCIENTIFICS INC ......... 74,250
1,900 o SECURITY DYNAMICS TECHNOLOGIES, INC 103,550
2,000 SEI CORP .......................... 43,500
1,800 SHARED MEDICAL SYSTEMS CORP ....... 97,875
300 o SHIVA CORP ........................ 21,825
1,300 o SIERRA ON-LINE, INC ............... 37,375
1,600 o SOFTKEY INTERNATIONAL, INC ........ 37,000
2,100 o STERLING SOFTWARE, INC ............ 130,987
2,100 o STRUCTURAL DYNAMICS RESEARCH CORP.. 61,687
4,600 o SYBASE, INC ....................... 165,600
2,600 o SYMANTEC CORP ..................... 60,450
2,800 o SYNOPSYS, INC ..................... 106,400
1,650 SYSTEM SOFTWARE ASSOCIATES, INC ... 35,887
2,400 o ZEBRA TECHNOLOGY CORP ............. 81,600
-----------
12,075,576
-----------
CONGLOMERATES--2.01%
7,900 ALCO STANDARD CORP ................ 360,437
5,800 ALEXANDER & BALDWIN, INC .......... 133,400
19,500 ALLIED SIGNAL, INC ................ 926,250
3,000 AMERICAN FINANCIAL GROUP, INC ..... 91,875
5,200 o ANIXTER INTERNATIONAL, INC ........ 96,850
1,200 o COLTEC INDUSTRIES, INC ............ 13,950
2,700 o CONCORD EFS, INC .................. 114,075
2,700 CRANE CO .......................... 99,562
4,100 FIRST NATIONAL BANCORP GAINESVILLE 131,200
6,700 ITT INDUSTRIES, INC ............... 160,800
3,100 JOHNSON CONTROLS, INC ............. 213,125
1,300 KEYSTONE FINANCIAL, INC ........... 39,000
3,000 o LITTON INDUSTRIES, INC ............ 133,500
5,800 LOEWS CORP ........................ 454,575
3,800 o MANVILLE CORP ..................... 49,875
5,171 MARK IV INDUSTRIES, INC ........... 102,127
28,700 MINNESOTA MINING & MANUFACTURING CO 1,901,375
11,500 ROCKWELL INTERNATIONAL CORP ....... 608,062
1,100 STANDEX INTERNATIONAL CORP ........ 36,025
3,500 TELEDYNE, INC ..................... 89,687
4,900 TEXTRON, INC ...................... 330,750
4,600 TRW, INC .......................... 356,500
See notes to financial statements.
-55-
<PAGE>
SHARES VALUE
------ -----
CONGLOMERATES-(CONTINUED)
11,100 TYCO INTERNATIONAL LTD ............ $ 395,437
8,700 UNITED TECHNOLOGIES CORP .......... 825,412
9,000 WHITMAN CORP ...................... 209,250
-----------
7,873,099
-----------
CONSTRUCTION
--MATERIALS & BUILDERS--0.68%
2,800 ARMSTRONG WORLD INDUSTRIES, INC ... 173,600
1,200 o CASTLE & COOKE, INC ......... 20,100
200 o CDI CORP .......................... 3,600
2,400 CENTEX CORP ....................... 83,400
1,900 o CHAMPION ENTERPRISES, INC ......... 58,662
4,793 CLAYTON HOMES, INC ................ 102,450
6,300 DEBARTOLO REALTY CORP ............. 81,900
2,400 FASTENAL CO ....................... 101,400
3,400 FLEETWOOD ENTERPRISES, INC ........ 87,550
1,300 o JACOBS ENGINEERING GROUP, INC ..... 32,500
600 JUSTIN INDUSTRIES, INC ............ 6,600
4,800 KAUFMAN & BROAD HOME CORP ......... 71,400
5,760 LAFARGE CORP ...................... 108,000
2,950 LENNAR CORP ....................... 74,118
2,300 MANUFACTURED HOME ................. 40,250
11,500 MASCO CORP ........................ 360,812
900 MEDUSA CORP ....................... 23,850
2,400 OAKWOOD HOMES CORP ................ 92,100
3,600 o OWENS CORNING FIBERGLAS CORP NEW .. 161,550
700 PLY-GEM INDUSTRIES, INC ........... 11,375
2,200 PULTE CORP ........................ 73,975
5,900 SHERWIN-WILLIAMS CO ............... 240,425
11,400 o SIMON PROPERTY GROUP, INC ......... 277,875
2,800 o SOLA INTERNATIONAL, INC ........... 70,700
300 TEXAS INDUSTRIES, INC ............. 15,900
3,700 o USG CORP .......................... 111,000
3,000 VULCAN MATERIALS CO ............... 172,875
-----------
2 ,657,967
-----------
CONTAINERS--0.14%
3,033 BALL CORP ......................... 83,407
5,600 o CROWN CORK & SEAL CO, INC ......... 233,800
5,200 o GAYLORD CONTAINER CO .............. 41,925
10,400 o OWENS ILLINOIS, INC ............... 150,800
1,100 WEST CO, INC ...................... 25,850
-----------
535,782
-----------
COSMETICS--0.61%
1,000 ALBERTO CULVER CO (CLASS B) ....... 34,375
4,900 AVON PRODUCTS, INC ................ 369,337
600 o BUSH BOAKE ALLEN INC .............. 16,425
1,900 CARTER WALLACE, INC ............... 21,612
30,800 GILLETTE CO ....................... 1,605,450
6,800 INTERNATIONAL FLAVORS
& FRAGRANCES, INC ................ 326,400
-----------
2,373,599
-----------
ELECTRICAL EQUIPMENT--3.11%
5,300 o AMERICAN POWER CONVERSION CORP .... 50,350
3,700 AMETEK, INC ....................... 69,375
1,800 BALDOR ELECTRIC CO ................ 36,225
3,900 BELDEN, INC ....................... 100,425
2,000 o COMVERSE TECHNOLOGY, INC .......... 40,000
8,000 DURACELL INTERNATIONAL, INC ....... 414,000
15,700 EMERSON ELECTRIC CO ............... 1,283,475
2,000 EXIDE CORP ........................ 91,750
116,500 GENERAL ELECTRIC CO ............... 8,388,000
700 GENERAL SIGNAL CORP ............... 22,662
3,000 GRAINGER (W.W.), INC .............. 198,750
9,000 HONEYWELL, INC .................... 437,625
2,725 HUBBELL, INC (CLASS B) ............ 179,168
1,700 JUNO LIGHTING, INC ................ 27,200
2,300 o MAGNETEK, INC ..................... 18,687
1,400 o OAK INDUSTRIES, INC NEW ........... 26,250
1,000 o SANMINA CORP ...................... 51,875
2,100 o SYMBOL TECHNOLOGIES, INC .......... 82,950
2,400 THOMAS & BETTS CORP ............... 177,000
27,300 WESTINGHOUSE ELECTRIC CORP ........ 450,450
-----------
12,146,217
-----------
ELECTRICAL EQUIPMENT--
COMPONENTS DIVERSIFIED--2.93%
6,900 o ADVANCED MICRO DEVICES, INC ....... 113,850
1,100 o ALANTEC CORP ...................... 64,075
2,700 o ALTERA CORP ....................... 134,325
15,200 AMP, INC .......................... 583,300
3,100 o AMPHENOL CORP (CLASS A) ........... 75,175
5,350 o ANALOG DEVICES, INC ............... 189,256
1,000 o APPLIED INNOVATION, INC ........... 11,750
3,337 o ARROW ELECTRONICS, INC ............ 143,908
5,300 o ATMEL CORP ........................ 118,587
1,600 AUGAT, INC ........................ 27,400
3,300 AVNET, INC ........................ 147,675
1,700 o BURR BROWN CORP ................... 43,350
3,900 o CIRRUS LOGIC, INC ................. 77,025
5,600 o CYPRESS SEMICONDUCTOR CORP ........ 71,400
3,500 DALLAS SEMICONDUCTOR CORP ......... 72,625
2,800 FISHER SCIENTIFIC INTERNATIONAL, INC 93,450
8,300 o GENERAL INSTRUMENT CORP NEW ....... 194,012
45 o HARRIS COMPUTER SYSTEMS CORP ...... 607
1,000 HELIX TECHNOLOGY CORP ............. 39,500
4,800 o INTEGRATED DEVICE TECHNOLOGY, INC . 61,800
57,700 INTEL CORP ........................ 3,274,475
3,800 o INTERNATIONAL RECTIFIER CORP ...... 95,000
3,300 o KEMET CORP ........................ 78,787
1,800 o KENT ELECTRONICS CORP ............. 105,075
1,700 o LAM RESEARCH CORP ................. 77,775
1,800 o LATTICE SEMICONDUCTOR ............. 58,725
5,200 LINEAR TECHNOLOGY CO .............. 204,100
8,900 o LSI LOGIC CORP .................... 291,475
400 o MARSHALL INDUSTRIES, INC .......... 12,850
4,100 o MAXIM INTEGRATED PRODUCTS ......... 157,850
3,900 o METHODE ELECTRONICS, INC (CLASS A) 55,575
11,000 MICRON TECHNOLOGY, INC ............ 435,875
7,125 MOLEX, INC ........................ 226,218
41,100 MOTOROLA, INC ..................... 2,342,700
8,400 o NATIONAL SEMICONDUCTOR CORP ....... 186,900
1,950 PIONEER-STANDARD ELECTRONICS, INC . 25,837
3,900 o S3, INC ........................... 68,737
2,500 o SIERRA SEMICONDUCTOR CORP ......... 34,687
12,900 TEXAS INSTRUMENTS, INC ............ 667,575
2,000 o TRIMBLE NAVIGATION LTD ............ 37,250
2,100 o U.S. ROBOTICS CORP ................ 184,275
2,600 o VICOR CORP ........................ 52,000
3,812 o VISHAY INTERTECHNOLOGY, INC ....... 120,078
2,300 o VLSI TECHNOLOGY, INC .............. 41,687
4,700 o WESTERN DIGITAL CORP .............. 84,012
2,000 WYLE ELECTRONICS .................. 70,250
4,500 o XILINX, INC ....................... 137,250
2,100 o ZILOG, INC ........................ 76,912
-----------
11,467,000
-----------
ELECTRICAL EQUIPMENT--
INSTRUMENTS--0.54%
12,200 o APPLIED MATERIALS, INC ............ 480,375
2,900 BECKMAN INSTRUMENTS, INC NEW ...... 102,587
1,200 o COHERENT, INC ..................... 48,600
3,300 o DESTEC ENERGY, INC ................ 45,375
1,600 o ELECTROGLAS, INC .................. 39,200
2,400 o ELECTRONICS FOR IMAGING, INC ...... 105,000
1,800 o INPUT/OUTPUT, INC ................. 103,950
See notes to financial statements.
-56-
<PAGE>
SHARES VALUE
------ -----
ELECTRICAL EQUIPMENT--
INSTRUMENTS (CONTINUED)
3,500 o KLA INSTRUMENT CORP ............... $ 91,218
1,600 o KULICHE & SOFFA INDUSTRIES, INC ... 37,200
12,300 LORAL CORP ........................ 435,112
2,600 o LTX CORP .......................... 23,725
3,300 PERKIN-ELMER CORP ................. 124,575
1,800 o SILICON VALLEY GROUP, INC ......... 45,450
2,500 TEKTRONIX, INC .................... 122,812
1,600 o TENCOR INSTRUMENTS ................ 39,000
4,800 o TERADYNE, INC ..................... 120,000
1,100 o THERMO INSTRUMENT SYSTEMS, INC .... 37,125
1,600 VARIAN ASSOCIATES, INC ............ 76,400
1,900 X RITE, INC ....................... 26,837
---------
2,104,541
---------
ENVIRONMENTAL CONTROL--0.50%
12,900 BROWNING FERRIS INDUSTRIES, INC ... 380,550
5,600 OGDEN CORP ........................ 119,700
800 o OMEGA ENVIRONMENTAL, INC .......... 2,700
2,600 o REPUBLIC INDUSTRIES, INC .......... 93,925
3,100 o SANIFILL, INC ..................... 103,462
2,700 o U.S. FILTER CORP .................. 71,887
4,400 o U.S.A. WASTE SERVICES, INC ........ 83,050
2,800 o UNITED WASTE SYSTEMS, INC ......... 104,300
6,200 WHEELABRATOR TECHNOLOGIES, INC NEW. 103,850
30,300 WMX TECHNOLOGIES, INC ............. 905,212
---------
1,968,636
---------
FINANCIAL--MISCELLANEOUS--3.95%
3,400 ADVANTA CORP (CLASS A) ............ 130,050
7,600 AHMANSON (H.F.) & CO .............. 201,400
1,600 ALEX BROWN, INC ................... 67,200
3,300 AMBAC, INC ........................ 154,687
33,400 AMERICAN EXPRESS CO ............... 1,381,925
14,100 AMERICAN GENERAL CORP ............. 491,737
1,400 o AMERICAN HEALTH PROPERTIES, INC ... 30,100
3,100 ASTORIA FINANCIAL CORP ............ 141,437
2,500 AVALON PROPERTIES, INC ............ 53,750
1,200 BEACON PROPERTIES CORP ............ 27,600
7,014 BEAR STEARNS COS, INC ............. 139,403
3,800 BENEFICIAL CORP ................... 177,175
6,400 o CALIFORNIA FEDERAL BANK ........... 100,800
2,800 CAPSTEAD MORTGAGE CORP ............ 64,050
1,400 CASE CORPORATION .................. 64,050
11,000 o CATELLUS DEVELOPMENT CORP ......... 66,000
1,300 o CBL & ASSOCIATES PROPERTIES, INC .. 28,275
1,400 CMAC INVESTMENT CORP .............. 61,600
3,800 o COAST SAVINGS FINANCIAL, INC ...... 131,575
3,400 o COLLECTIVE BANCORP, INC ........... 86,275
3,750 COMDISCO, INC ..................... 84,843
1,300 COMMERCIAL FEDERAL CORP ........... 49,075
7,383 COUNTRYWIDE CREDIT INDUSTRIES, INC 160,580
2,000 o CREDIT ACCEPTANCE CORP ............ 41,500
4,600 CWM MTG HLDGS INC ................. 78,200
10,100 DEAN WITTER DISCOVER & CO ......... 474,700
2,200 DEVELOPERS DIVERSIFIED REALTY CORP 66,000
3,000 DUKE REALTY INVESTMENTS, INC ...... 94,125
4,600 EDWARDS (A.G.), INC ............... 109,825
2,900 EQUITY RESIDENTIAL PROPERTY TRUST . 88,812
12,300 FEDERAL HOME LOAN MORTGAGE CORP ... 1,027,050
18,200 FEDERAL NATIONAL MORTGAGE
ASSOCIATION....................... 2,259,075
1,200 FINANCIAL SECURITY ASSURANCE
HOLDINGS LTD ..................... 29,850
2,300 FINOVA GROUP, INC ................. 110,975
6,900 FIRST FINANCIAL CORP (WISCONSIN) .. 158,700
3,800 FIRST USA, INC .................... 168,625
11,600 FRANCHISE FINANCE CORP OF AMERICA . 262,450
3,800 FRANKLIN RESOURCES, INC ........... 191,425
1,700 o GARTNER GROUP, INC (CLASS A) NEW .. 81,387
800 GENERAL GROWTH PROPERTIES, INC .... 16,600
7,300 o GLENDALE FEDERAL SAVINGS BANK, INC NEW 127,750
2,800 GLIMCHER REALTY TRUST ............. 48,300
2,100 GOLDEN WEST FINANCIAL CORP ........ 116,025
6,872 GREAT WESTERN FINANCIAL CORP ...... 175,236
10,100 GREEN TREE FINANCIAL CORP ......... 266,387
16,300 HEALTH AND RETIREMENT PROPERTY TRUST 264,875
2,400 HIGHWOODS PROPERTIES, INC ......... 67,800
6,401 HOUSEHOLD INTERNATIONAL, INC ...... 378,459
8,220 LEHMAN BROTHERS HOLDINGS, INC ..... 174,675
3,700 LEUCADIA NATIONAL CORP ............ 92,500
9,100 MBNA CORP ......................... 335,562
3,300 o MEDAPHIS CORP ..................... 122,100
9,600 MEDITRUST CORP .................... 334,800
10,250 MERCURY FINANCE CO ................ 135,812
11,500 MERRILL LYNCH & CO, INC ........... 586,500
2,800 MERRY LAND & INVESTMENT CO, INC ... 66,150
3,200 MORGAN STANLEY GROUP, INC ......... 258,000
12,900 NEW PLAN REALTY TRUST ............. 282,187
1,200 o OLYMPIC FINANCIAL LTD ............. 19,500
7,100 PAINE WEBBER GROUP INC ............ 142,000
800 o PEC ISRAEL ECONOMIC CORP .......... 19,300
3,700 PENNCORP FINANCIAL GROUP, INC ..... 108,687
3,700 PIONEER GROUP, INC ................ 100,825
2,100 PMI GROUP, INC .................... 95,025
2,900 POST PROPERTIES, INC .............. 92,437
2,000 PRICE (T. ROWE) ASSOCIATES, INC ... 98,500
3,500 PUBLIC STORAGE, INC ............... 66,500
2,550 QUICK & REILLY GROUP, INC ......... 52,275
6,500 ROOSEVELT FINANCIAL GROUP, INC .... 125,937
7,300 SALOMON, INC ...................... 259,150
7,100 SCHWAB (CHARLES) CORP ............. 142,887
6,100 SECURITY CAPITAL PACIFIC TRUST .... 120,475
1,700 SPIEKER PROPERTIES, INC ........... 42,712
4,200 STUDENT LOAN MARKETING ASSOCIATION 276,675
5,000 TCF FINANCIAL CORP ................ 165,625
3,450 THE MONEY STORE, INC .............. 53,906
6,300 o TIG HOLDINGS, INC ................. 179,550
3,200 UNITED ASSET MANAGEMENT CORP ...... 122,800
2,580 UNITED COS FINANCIAL CORP ......... 68,047
6,900 o UNITED DOMINION REALTY TRUST ...... 103,500
---------
15,442,317
---------
FOODS--2.43%
36,355 o ARCHER DANIELS MIDLAND CO ......... 654,390
9,400 CAMPBELL SOUP CO .................. 564,000
4,075 CARDINAL HEALTH, INC .............. 223,106
3,800 CHIQUITA BRANDS INTERNATIONAL, INC 52,250
16,400 CONAGRA, INC ...................... 676,500
10,000 CPC INTERNATIONAL, INC ............ 686,250
4,400 DEAN FOODS CO ..................... 121,000
3,600 DOLE FOOD, INC .................... 126,000
700 DREYERS GRAND ICE CREAM, INC ...... 23,275
6,600 FLOWERS INDUSTRIES, INC ........... 80,025
11,200 GENERAL MILLS, INC ................ 646,800
5,900 o GENERAL NUTRITION COS, INC ........ 135,700
22,050 HEINZ (H.J.) CO ................... 730,406
3,700 HERSHEY FOODS CORP ................ 240,500
4,200 HORMEL FOODS CORP ................. 103,425
3,200 IBP, INC .......................... 161,600
4,000 o INTERSTATE BAKERIES CORP .......... 89,500
8,100 KELLOGG CO ........................ 625,725
6,000 LANCE, INC ........................ 98,250
6,200 MCCORMICK & CO, INC ............... 149,575
5,000 NABISCO HOLDINGS CORP (CLASS A) ... 163,125
300 o NBTY, INC ......................... 1,425
5,000 PIONEER-HI-BRED INTERNATIONAL, INC 278,125
See notes to financial statements.
-57-
<PAGE>
SHARES VALUE
______ _______
FOODS (CONTINUED)
9,400 QUAKER OATS CO .................... $ 324,300
5,100 o RALCORP HOLDINGS, INC ............. 123,675
7,300 RALSTON PURINA GROUP .............. 455,337
4,700 RICHFOOD HOLDINGS, INC ............ 125,725
33,200 SARA LEE CORP ..................... 1,058,250
1,900 o SMITHFIELD FOODS, INC ............. 60,325
800 SMITH'S FOOD & DRUG CENTERS, INC
(CLASS B) ....................... 20,200
800 TOOTSIE ROLL INDUSTRIES, INC ...... 31,700
6,400 TYSON FOODS, INC .................. 167,200
2,800 UNIVERSAL FOODS CORP .............. 112,350
150 WLR FOODS, INC .................... 2,475
7,400 WRIGLEY (WM) JR CO ................ 388,500
---------
9,500,989
---------
FOREST PRODUCTS--0.52%
3,900 BOISE CASCADE CORP ................ 135,037
5,600 CHAMPION INTERNATIONAL CORP ....... 235,200
6,100 GEORGIA-PACIFIC CORP .............. 418,612
8,100 LOUISIANA PACIFIC CORP ............ 196,425
2,900 POTLATCH CORP ..................... 116,000
3,500 RAYONIER, INC ..................... 116,812
900 TJ INTERNATIONAL, INC ............. 16,650
13,700 WEYERHAEUSER CO ................... 592,525
3,800 WILLAMETTE INDUSTRIES, INC ........ 213,750
---------
2,041,011
---------
HEALTHCARE--DRUGS--5.69%
5,800 o ALZA CORP ......................... 143,550
21,300 AMERICAN HOME PRODUCTS CORP ....... 2,066,100
18,300 o AMGEN, INC ........................ 1,086,562
4,450 ARBOR DRUGS, INC .................. 93,450
3,860 BERGEN BRUNSWIG CORP (CLASS A) .... 96,017
2,500 o BIOGEN, INC ....................... 153,750
824 BLOCK DRUG, INC (CLASS A) ......... 28,634
34,500 BRISTOL MYERS SQUIBB CO ........... 2,962,687
400 o CELLPRO, INC ...................... 6,400
4,500 o CENTOCOR, INC ..................... 138,937
2,100 o CEPHALON, INC ..................... 85,575
1,032 o CHIRON CORP ....................... 114,036
200 o COPLEY PHARMACEUTICAL, INC ........ 2,750
1,100 o COR THERAPEUTICS, INC ............. 9,212
1,800 o ENZO BIOCHEMICAL, INC ............. 34,650
3,800 o FOREST LABORATORIES, INC .......... 171,950
600 o GENSIA, INC ....................... 3,150
2,100 o GENZYME CORP ...................... 130,987
81 o GENZYME CORP (TISSUE REPAIR DIVISION) 1,285
2,700 o GILEAD SCIENCES, INC .............. 86,400
3,000 o IMMUNEX CORP NEW .................. 49,500
2,700 o INTERNEURON PHARMACEUTICALS, INC .. 68,850
7,292 IVAX CORP ......................... 207,822
32,238 LILLY (ELI) & CO .................. 1,813,387
2,900 o LIPOSOME CO, INC .................. 58,000
4,200 MCKESSON CORP NEW ................. 212,625
2,200 o MEDISENSE, INC .................... 69,575
86,800 MERCK & CO, INC ................... 5,707,100
8,850 MYLAN LABORATORIES, INC ........... 207,975
44,400 PFIZER, INC ....................... 2,797,200
18,245 o PHARMACIA & UPJOHN, INC ........... 706,993
400 o PROTEIN DESIGN LABORATORIES, INC .. 9,250
3,600 RHONE-POULENC RORER, INC .......... 191,700
1,500 o ROBERTS PHARMACEUTICAL CORP ....... 26,625
2,500 o SCHERER (R.P.) CORP ............... 122,812
26,100 SCHERING-PLOUGH CORP .............. 1,428,975
1,600 o SEPRACOR, INC ..................... 29,400
2,900 o THERMEDICS, INC ................... 80,475
9,200 WARNER-LAMBERT CO ................. 893,550
2,488 o WATSON PHARMACEUTICALS, INC ....... 121,912
---------
22,219,808
---------
HEALTHCARE--HOSPITAL SUPPLY--2.18%
53,600 ABBOTT LABORATORIES ............... 2,237,800
4,300 BARD (C.R.), INC .................. 138,675
18,600 BAXTER INTERNATIONAL, INC ......... 778,875
4,500 BECTON DICKINSON & CO ............. 337,500
2,400 o C-CUBE MICROSYSTEMS, INC .......... 150,000
1,600 DENTSPLY INTERNATIONAL, INC NEW ... 64,000
10,071 GUIDANT CORP ...................... 425,499
2,400 o HAEMONETICS CORP .................. 42,600
2,700 o ISOLYSER CO, INC .................. 37,800
45,100 JOHNSON & JOHNSON ................. 3,861,687
5,800 OWENS & MINOR, INC NEW ............ 73,950
3,100 o PATTERSON DENTAL CO ............... 83,700
2,800 o PHYSICIAN SALES & SERVICE, INC .... 79,800
2,700 o PYXIS CORP ........................ 39,487
1,400 o SOFAMOR DANEK GROUP, INC .......... 39,725
1,000 o TECNOL MEDICAL PRODUCTS, INC ...... 18,000
3,700 U.S. SURGICAL CORP ................ 79,087
1,900 o VENTRITEX, INC .................... 33,012
---------
8,521,197
---------
HEALTHCARE--OTHER--1.16%
500 o ACUSON CORP ....................... 6,187
5,600 ALLERGAN, INC ..................... 182,000
3,000 o AMERICAN MEDICAL RESPONSE, INC .... 97,500
2,200 o AMSCO INTERNATIONAL, INC .......... 32,725
1,100 ARROW INTERNATIONAL, INC .......... 43,725
2,900 BALLARD MEDICAL PRODUCTS .......... 51,837
4,300 BAUSCH & LOMB, INC ................ 170,387
8,200 o BIOMET, INC ....................... 146,575
5,741 o BOSTON SCIENTIFIC CORP ............ 281,309
6,200 CAREMARK INTERNATIONAL, INC ....... 112,375
5,178 o CORAM HEALTHCARE CORP ............. 22,653
1,000 o CORDIS CORP ....................... 100,500
2,600 o COVENTRY CORP ..................... 53,625
1,200 o DATASCOPE CORP .................... 28,800
400 DIAGNOSTIC PRODUCTS CORP .......... 15,150
2,100 o GENESIS HEALTH VENTURES, INC ...... 76,650
2,000 o HEART TECHNOLOGY, INC ............. 65,750
2,400 HILLENBRAND INDUSTRIES, INC ....... 81,300
2,000 o HUMAN GENOME SCIENCES, INC ........ 76,500
3,000 o IDEXX LABORATORIES, INC ........... 141,000
9,100 o INFORMIX CORP ..................... 273,000
2,300 KINETIC CONCEPTS, INC ............. 27,600
15,600 MEDTRONIC, INC .................... 871,650
2,500 o MENTOR CORP ....................... 57,500
2,000 o NELLCOR PURITAN BENNETT, INC ...... 116,000
2,200 o OXFORD HEALTH PLANS, INC .......... 162,525
8,200 PALL CORP ......................... 220,375
1,600 o PHYSICIAN RELIANCE NETWORK, INC ... 63,600
3,600 o PLAYTEX PRODUCTS, INC ............. 27,000
400 o QUANTUM HEALTH RESOURCES, INC ..... 3,925
4,450 o ST. JUDE MEDICAL, INC ............. 191,350
1,600 o STERIS CORP ....................... 51,600
4,200 STEWART ENTERPRISES, INC (CLASS A) 155,400
2,500 STRYKER CORP ...................... 131,250
2,550 o SUMMIT TECHNOLOGY, INC ............ 86,062
2,200 o SUNRISE MEDICAL, INC .............. 40,700
3,200 o SYBRON INTERNATIONAL CORP ......... 76,000
1,100 o TARGET THERAPEUTICS, INC .......... 47,025
1,000 o THERMO CARDIOSYSTEMS, INC ......... 77,250
1,500 o THERMOTREX CORP ................... 75,000
---------
4,541,360
---------
HEALTHCARE--SERVICE--1.75%
3,100 o AMERISOURCE HEALTH CORP (CLASS A) . 102,300
4,200 o APRIA HEALTHCARE GROUP, INC ....... 118,650
7,000 o BEVERLY ENTERPRISES ............... 74,375
2,100 o CERNER CORP ....................... 43,050
See notes to financial statements.
-58-
<PAGE>
SHARES VALUE
______ _______
HEALTHCARE--SERVICE (CONTINUED)
1,800 o COASTAL PHYSICIAN GROUP, INC ...... $ 24,300
30,337 COLUMBIA/HCA HEALTHCARE CORP ..... 1,539,602
2,200 o COMMUNITY HEALTH SYSTEMS, INC ..... 78,375
1,000 o COMMUNITY PSYCHIATRIC CENTERS ..... 12,250
2,796 o FHP INTERNATIONAL CORP ............ 79,686
2,500 o FOUNDATION HEALTH CORP ............ 107,500
2,600 o FOXMEYER HEALTH CORP .............. 69,550
2,300 o HEALTH CARE & RETIREMENT CORP ..... 80,500
5,275 o HEALTH MANAGEMENT ASSOCIATES, INC
(CLASS A) NEW .................... 137,809
2,900 o HEALTH SYSTEMS INTERNATIONAL, INC . 93,162
2,300 o HEALTHCARE COMPARE CO ............. 100,050
4,200 o HEALTHSOURCE, INC ................. 151,200
6,200 o HEALTHSOUTH CORP .................. 180,575
3,517 o HORIZON/CMS HEALTHCARE CORP ....... 88,804
10,600 o HUMANA, INC ....................... 290,175
2,500 INTEGRATED HEALTH SERVICES, INC ... 62,500
2,300 o INTEGRATED SILICON SOLUTION, INC .. 38,489
3,600 INVACARE CORP ..................... 90,900
8,680 o LABORATORY CORP OF AMERICA HOLDINGS 81,375
244 o LABORATORY CORP OF AMERICA
HOLDINGS WTS 04/28/00 ............ 167
2,700 o LINCARE HOLDINGS, INC ............. 67,500
2,300 o LIVING CENTERS OF AMERICA, INC .... 80,500
3,700 o MAGELLAN HEALTH SERVICES, INC ..... 88,800
3,400 MANOR CARE, INC ................... 119,000
2,700 o MEDPARTNERS/MULLIKIN, INC ......... 89,100
2,900 o MID ATLANTIC MEDICAL SERVICES, INC 70,325
900 o MULTICARE COS, INC ................ 21,600
4,500 o NOVACARE, INC ..................... 23,062
2,200 OMEGA HEALTHCARE INVESTORS, INC ... 58,575
1,600 OMNICARE, INC ..................... 71,600
600 o ORNDA HEALTHCORP .................. 13,950
500 o PACIFICARE HEALTH SYSTEMS, INC
(CLASS A) ........................ 43,500
1,200 o PACIFICARE HEALTH SYSTEMS, INC .
(CLASS B) ........................ 104,400
2,550 o PHYCOR, INC ....................... 128,934
3,200 o PHYSICIAN CORP OF AMERICA ......... 54,400
1,500 o RENAL TREATMENT CENTERS, INC ...... 66,000
150 o SALICK HEALTH CARE, INC NEW ....... 5,625
1,800 o SIERRA HEALTH SERVICES, INC ....... 57,150
4,000 o SUN HEALTHCARE GROUP, INC ......... 54,000
1,900 SURGICAL CARE AFFILIATES, INC ..... 64,600
13,820 o TENET HEALTHCARE CORP ............. 286,765
71 o TRANSPORT HOLDINGS, INC (CLASS A) . 2,893
10,400 U.S. HEALTHCARE, INC .............. 483,600
10,400 UNITED HEALTHCARE CORP ............ 681,200
700 o UNIVERSAL HEALTH SERVICES, INC .... 31,062
3,698 o VALUE HEALTH, INC ................. 101,695
3,115 o VENCOR, INC ....................... 101,237
1,100 o VISX, INC ......................... 42,900
5,600 o VIVRA, INC ........................ 140,700
1,400 o WELLPOINT HEALTH NETWORKS, INC
(CLASS A) ........................ 44,975
---------
6,844,992
---------
HOUSEHOLD--
CONSUMER ELECTRONICS--0.03%
1,950 HARMAN INTERNATIONAL INDUSTRIES, INC 78,243
4,000 o ZENITH ELECTRONICS CORP ........... 27,500
---------
105,743
---------
HOUSEHOLD--DURABLE GOODS--0.41%
800 BASSETT FURNITURE INDUSTRIES, INC . 18,600
6,200 BLACK & DECKER CORP ............... 218,550
3,900 o BOYD GAMING CORP .................. 45,337
900 o GENTEX CORP ....................... 19,800
7,000 LEGGETT & PLATT, INC .............. 169,750
8,700 MAYTAG CO ......................... 176,175
11,000 NEWELL COS, INC ................... 284,625
9,300 SHAW INDUSTRIES, INC .............. 137,175
2,800 STANLEY WORKS ..................... 144,200
7,100 SUNBEAM CORP ...................... 108,275
5,600 WHIRLPOOL CORP .................... 298,200
---------
1,620,687
---------
HOUSEHOLD--PRODUCTS--1.56%
800 APTARGROUP, INC ................... 29,900
2,800 CLOROX CO ......................... 200,550
9,900 COLGATE PALMOLIVE CO .............. 695,475
7,100 DIAL CORP ......................... 210,337
1,200 o FIRST ALERT, INC .................. 10,350
2,000 FIRST BRANDS CORP ................. 95,250
500 o GIBSON GREETINGS, INC ............. 8,000
2,300 LANCASTER COLONY CORP ............. 85,675
7,000 o PERRIGO CO ........................ 83,125
4,200 PREMARK INTERNATIONAL, INC ........ 212,625
47,200 PROCTER & GAMBLE CO ............... 3,917,600
11,300 RUBBERMAID, INC ................... 288,150
3,800 o SCOTTS CO (CLASS A) ............... 73,625
700 STANHOME, INC ..................... 20,387
3,300 TAMBRANDS, INC .................... 157,575
---------
6,088,624
---------
INSURANCE--BROKERS & OTHER--0.44%
5,200 ALEXANDER & ALEXANDER SERVICES, INC 98,800
11,500 EQUIFAX, INC ...................... 245,812
900 GALLAGHER (ARTHUR J.) & CO ........ 33,525
6,700 o ITT HARTFORD GROUP, INC ........... 324,112
2,500 JOHN ALDEN FINANCIAL CORP ......... 52,187
4,400 LIFE PARTNERS GROUP, INC .......... 59,950
5,300 MARSH & MCLENNAN COS, INC ......... 470,375
3,700 MBIA, INC ......................... 277,500
6,700 o QUORUM HEALTH GROUP, INC .......... 147,400
---------
1,709,661
---------
INSURANCE--LIFE--0.68%
500 AMERICAN NATIONAL INSURANCE CO .... 33,250
7,600 AON CORP .......................... 379,050
2,500 BERKLEY (W.R.) CORP ............... 134,375
1,300 CONSECO, INC ...................... 81,412
5,100 o EQUITABLE COS, INC ................ 122,400
2,100 EQUITABLE IOWAS COS NEW ........... 67,462
4,800 FIRST COLONY CORP ................. 121,800
5,850 JEFFERSON-PILOT CORP .............. 272,025
400 o PROVIDENT COMPANIES, INC .......... 13,550
6,800 PROVIDIAN CORP .................... 277,100
6,700 RELIANCE GROUP HOLDINGS, INC ...... 57,787
2,700 RELIASTAR FINANCIAL CORP .......... 119,812
3,100 o SUNAMERICA, INC ................... 147,250
5,900 TORCHMARK CORP .................... 266,975
5,700 UNUM CORP ......................... 313,500
4,000 USLIFE CORP ....................... 119,500
8,200 WESTERN NATIONAL CORP ............. 132,225
---------
2,659,473
---------
INSURANCE--MULTI-LINE,
PROPERTY & CASUALTY--3.08%
3,500 o 20TH CENTURY INDUSTRIES ........... 69,562
7,900 AETNA LIFE & CASUALTY CO .......... 547,075
7,700 AFLAC, INC ........................ 333,987
1,500 ALLMERICA PROPERTY & CASUALTY
COS, INC ......................... 40,500
29,528 ALLSTATE CORP ..................... 1,214,339
3,700 AMERICAN BANKERS INSURANCE GROUP, INC 144,300
27,250 AMERICAN INTERNATIONAL GROUP, INC . 2,520,625
See notes to financial statements.
-59-
<PAGE>
SHARES VALUE
______ _______
INSURANCE--MULTI-LINE,
PROPERTY & CASUALTY (CONTINUED)
4,300 AMERICAN RE CORP .................. $ 175,762
6,300 CHUBB CORP ........................ 609,525
5,100 CIGNA CORP ........................ 526,575
4,670 CINCINNATI FINANCIAL CORP ......... 304,717
800 o CNA FINANCIAL CORP ................ 90,800
2,700 FREMONT GENERAL CORP .............. 99,225
1,100 GEICO CORP ........................ 76,862
5,900 GENERAL REINSURANCE CORP .......... 914,500
2,800 HARTFORD STEAM BOILER & INSURANCE CO 140,000
800 o INSURANCE AUTO AUCTIONS, INC ...... 8,600
2,106 KEMPER CORP ....................... 104,510
7,700 LINCOLN NATIONAL CORP ............. 413,875
500 MERCURY GENERAL CORP NEW .......... 23,875
4,500 MGIC INVESTMENT CORP .............. 244,125
1,600 NAC RE CORP ....................... 57,600
700 NATIONAL RE CORPORATION ........... 26,600
4,700 OHIO CASUALTY CORP ................ 182,125
4,800 OLD REPUBLIC INTERNATIONAL CORP ... 170,400
5,200 PROGRESSIVE CORP .................. 254,150
9,600 SAFECO CORP ....................... 331,200
6,200 ST. PAUL COS, INC NOTES ........... 344,875
4,700 TRANSAMERICA CORP ................. 342,512
21,800 TRAVELERS GROUP, INC .............. 1,370,675
3,600 UNITRIN, INC ...................... 172,800
9,500 o USF&G CORP ........................ 160,312
1,100 ZURICH REINSURANCE CENTRE HOLDNGS, INC 33,412
---------
12,050,000
---------
LEISURE TIME--1.31%
1,700 o ACCLAIM ENTERTAINMENT, INC ........ 21,037
2,600 ARCTCO, INC ....................... 33,800
600 o ARGOSY GAMING CORP ................ 4,575
500 o ATARI CORP ........................ 687
700 o AUTOTOTE CORP (CLASS A) ........... 2,056
3,400 o BALLY ENTERTAINMENT CORP .......... 47,600
7,900 BRUNSWICK CORP .................... 189,600
4,800 CALLAWAY GOLF CO .................. 108,600
450 o CASINO AMERICA, INC ............... 2,756
500 o CASINO MAGIC CORP ................. 1,562
2,321 o CHRIS CRAFT INDUSTRIES, INC ....... 100,383
7,400 o CIRCUS CIRCUS ENTERPRISES, INC .... 206,275
1,400 o COBRA GOLF, INC ................... 49,875
36,300 DISNEY (WALT) CO .................. 2,141,700
2,550 o GRAND CASINOS, INC ................ 59,287
2,600 o GTECH HOLDINGS CORP ............... 67,600
6,900 o HARRAHS ENTERTAINMENT, INC ........ 167,325
6,400 HASBRO, INC ....................... 198,400
2,300 o HOLLYWOOD ENTERTAINMENT CORP ...... 19,262
700 o HOLLYWOOD PARK, INC ............... 7,043
9,600 INTERNATIONAL GAME TECHNOLOGY ..... 104,400
6,700 o ITT CORP (NEW) .................... 355,100
3,800 JOSTENS, INC ...................... 92,150
15,825 MATTEL, INC ....................... 486,618
6,100 o MIRAGE RESORT, INC ................ 210,450
100 o NATIONAL GAMING CORP .............. 1,187
3,000 OUTBOARD MARINE CORP .............. 61,125
3,250 o PLAYERS INTERNATIONAL, INC ........ 34,734
400 o PRESIDENT CASINOS, INC ............ 700
2,200 o PRIMADONNA RESORTS, INC ........... 32,450
2,500 o REGAL CINEMAS, INC ................ 74,375
1,800 o SCIENTIFIC GAMES HOLDINGS CORP .... 67,950
400 o SHOWBOAT, INC ..................... 10,550
3,500 o SPELLING ENTERTAINMENT GROUP, INC . 43,750
800 o SPORTS & RECREATION, INC .......... 5,700
4,600 o STATION CASINOS, INC .............. 67,275
1,700 o TUCSON ELECTRIC POWER CO. ......... 5,525
200 WINNEBAGO INDUSTRIES, INC ......... 1,550
3,000 o WMS INDUSTRIES, INC ............... 49,125
---------
5,134,137
---------
MACHINERY--1.59%
1,600 AGCO CORP ......................... 81,600
2,750 o BJ SERVICES CO .................... 79,750
160 o BJ SERVICES CO WTS 04/13/00 ....... 1,220
2,500 BRIGGS & STRATTON CORP ............ 108,437
2,800 BW/IP, INC (CLASS A) .............. 46,200
13,700 CATERPILLAR, INC .................. 804,875
3,000 CINCINNATI MILACRON, INC .......... 78,750
2,800 o COGNEX CORP ....................... 97,300
3,057 o COOPER CAMERON CORP ............... 108,523
7,730 COOPER INDUSTRIES, INC ............ 284,077
18,100 DEERE & CO ........................ 638,025
8,300 DOVER CORP ........................ 306,062
3,700 DURIRON, INC ...................... 86,487
5,100 FEDERAL SIGNAL CORP ............... 131,962
400 o FMC CORP NEW ...................... 27,050
1,500 o FSI INTERNATIONAL, INC ............ 30,375
2,200 GATX CORP ......................... 106,975
3,900 GIDDINGS & LEWIS, INC ............. 64,350
2,800 GOULDS PUMPS, INC ................. 70,000
1,400 GREENFIELD INDUSTRIES, INC ........ 43,750
3,300 HARNISCHFEGER INDUSTRIES, INC ..... 109,725
2,400 HARSCO CORP ....................... 139,500
6,700 ILLINOIS TOOL WORKS, INC .......... 395,300
7,300 INGERSOLL-RAND CO ................. 256,412
900 o INTEGRATED PROCESS EQUIPMENT CORP . 21,150
900 KAYDON CORP ....................... 27,337
2,518 KENNAMETAL, INC ................... 79,946
3,500 KEYSTONE INTERNATIONAL, INC ....... 70,000
5,000 o MASCOTECH, INC .................... 54,375
1,800 MEASUREX CORP ..................... 50,850
1,400 o MOLTEN METAL TECHNOLOGY, INC ...... 45,675
200 NORDSON CORP ...................... 11,250
900 o NOVELLUS SYSTEMS, INC ............. 48,600
5,450 PARKER-HANNIFIN CORP .............. 186,662
800 ROPER INDUSTRIES, INC NEW ......... 29,400
2,900 STEWART & STEVENSON SERVICES, INC . 73,225
80 o STRATTEC SECURITY CORP ............ 1,420
2,300 SUNDSTRAND CORP ................... 161,862
3,700 TECUMSEH PRODUCTS CO (CLASS A) .... 191,475
700 TELEFLEX, INC ..................... 28,700
6,200 o THERMO ELECTRON CORP .............. 322,400
2,815 TIMKIN CO ......................... 107,673
700 TORO CO ........................... 23,012
800 TRIMAS CORP ....................... 15,100
3,700 TRINITY INDUSTRIES, INC ........... 116,550
2,600 TRINOVA CORP ...................... 74,425
1,500 o ULTRATECH STEPPER, INC ............ 38,625
3,100 o VARITY CORP NEW ................... 115,087
1,800 WATTS INDUSTRIES, INC (CLASS A) ... 41,850
3,500 YORK INTERNATIONAL CORP ........... 164,500
---------
6,197,854
---------
METALS--ALUMINIUM--0.25%
2,900 o ACX TECHNOLOGIES, INC ............. 43,862
3,300 o ALUMAX, INC ....................... 101,062
10,300 ALUMINUM CO OF AMERICA ............ 544,612
3,200 o KAISER ALUMINUN CORP .............. 41,600
4,100 REYNOLDS METALS CO ................ 232,162
---------
963,298
---------
METALS--GOLD--0.26%
8,800 o AMAX GOLD, INC .................... 63,800
6,900 BATTLE MOUNTAIN GOLD CO ........... 58,650
See notes to financial statements.
-60-
<PAGE>
SHARES VALUE
______ _______
METALS--GOLD (CONTINUED)
991 o FIRSTMISS GOLD, INC ............... $ 22,049
11,392 FREEPORT MCMORAN COPPER
& GOLD, INC (CLASS A) ............ 318,976
1,333 FREEPORT-MCMORAN COPPER
& GOLD, INC (CLASS B) ............ 37,490
10,300 HOMESTAKE MINING CO ............... 160,937
1,500 NEWMONT GOLD CO ................... 65,625
5,924 NEWMONT MINING CORP ............... 268,061
1,140 SANTE FE PACIFIC GOLD CORP ........ 13,822
---------
1,009,410
---------
METALS--NON-FERROUS--0.36%
4,500 ASARCO, INC ....................... 144,000
3,600 BMC INDUSTRIES, INC ............... 83,700
1,200 BRUSH WELLMAN, INC ................ 20,700
7,800 CYPRUS AMAX MINERALS CO ........... 203,775
316 FREEPORT MCMORAN, INC ............. 11,692
4,100 o HECLA MINING CO ................... 28,187
5,200 o MAGMA COPPER CO ................... 144,950
2,400 MAPCO, INC ........................ 131,100
3,800 MINERALS TECHNOLOGIES INC ......... 138,700
3,300 o MUELLER INDUSTRIES, INC ........... 96,525
4,600 PHELPS DODGE CORP ................. 286,350
3,500 PITTSTON SERVICES GROUP ........... 109,812
9,000 o SUNSHINE MINING & REFINING CO ..... 12,375
---------
1,411,866
---------
METALS--STEEL--0.46%
2,500 AK STEEL HOLDING CORP ............. 85,625
3,800 ALLEGHENY LUDLUM CORP ............. 70,300
5,800 o ARMCO, INC ........................ 34,075
8,500 o BETHLEHEM STEEL CORP .............. 119,000
4,300 BIRMINGHAM STEEL CORP ............. 63,962
1,900 CARPENTER TECHNOLOGY CORP ......... 78,137
3,000 CBI INDUSTRIES, INC ............... 98,625
600 CLEVELAND CLIFFS, INC ............. 24,600
3,250 HANNA (M.A.) CO ................... 91,000
3,600 INLAND STEEL INDUSTRIES, INC ...... 90,450
3,600 J & L SPECIALTY STEEL, INC ........ 67,500
8,000 o LTV CORP NEW ...................... 110,000
200 LUKENS, INC ....................... 5,750
6,000 NUCOR CORP ........................ 342,750
400 OREGON STEEL MILLS ................ 5,600
300 ROUGE STEEL CO (CLASS A) .......... 7,125
7,400 UNR INDUSTRIES, INC ............... 63,825
6,200 USX-U.S. STEEL GROUP .............. 190,650
3,100 o WOLVERINE TUBE, INC ............... 116,250
6,600 WORTHINGTON INDUSTRIES, INC ....... 137,362
---------
1,802,586
---------
OFFICE EQUIPMENT--3.18%
7,700 o AMDAHL CORP ....................... 65,450
8,200 APPLE COMPUTER, INC ............... 261,375
1,800 o APPLIED MAGNETICS CORP ............ 33,525
2,100 o ASPECT TELECOMMUNICATIONS ......... 70,350
2,742 o AST RESEARCH, INC ................. 23,307
3,300 AVERY DENNISON CORP ............... 165,412
18,400 o COMPAQ COMPUTER CORP .............. 883,200
3,800 o CONNER PERIPHERALS, INC ........... 79,800
3,400 o CRAY RESEARCH, INC ................ 84,150
4,200 o DATA GENERAL CORP ................. 57,750
4,400 o DELL COMPUTER CORP ................ 152,350
10,600 o DIGITAL EQUIPMENT CORP ............ 679,725
1,300 o FILENET CORP ...................... 61,100
27,600 HEWLETT-PACKARD CO ................ 2,311,500
600 HON INDUSTRIES, INC ............... 13,950
39,800 INTERNATIONAL BUSINESS
MACHINES CORP .................... 3,651,650
1,000 o IOMEGA CORP ....................... 48,625
1,300 o KOMAG, INC ........................ 59,962
3,000 MILLER (HERMAN), INC .............. 90,000
11,400 PITNEY BOWES, INC ................. 535,800
3,600 o QUANTUM CORP ...................... 58,050
2,800 o SCI SYSTEMS, INC .................. 86,800
4,800 o SEAGATE TECHNOLOGY, INC ........... 228,000
4,100 o SEQUENT COMPUTER SYSTEMS, INC ..... 59,450
11,700 o SILICON GRAPHICS, INC ............. 321,750
3,200 o SOLECTRON CORP .................... 141,200
4,000 o STORAGE TECHNOLOGY CORP ........... 95,500
2,300 o STRATUS COMPUTER, INC ............. 79,637
13,000 o SUN MICROSYSTEMS, INC ............. 593,125
9,800 o TANDEM COMPUTERS, INC ............. 104,125
13,800 o UNISYS CORP ....................... 77,625
3,100 o VIKING OFFICE PRODUCTS, INC ....... 144,150
3,900 o WANG LABORATORIES, INC ............ 64,837
7,500 XEROX CORP ........................ 1,027,500
----------
12,410,730
----------
PAPER--1.19%
3,200 ALBANY INTERNATIONAL CORP
(CLASS A) NEW .................... 58,000
1,700 o BED BATH & BEYOND, INC ............ 65,981
5,000 BEMIS, INC ........................ 128,125
2,700 BOWATER, INC ...................... 95,850
4,600 CARAUSTAR INDUSTRIES, INC ......... 92,000
2,400 CHESAPEAKE CORP ................... 71,100
2,200 CONSOLIDATED PAPERS, INC .......... 123,475
270 o CROWN VANTAGE, INC ................ 3,847
2,900 FEDERAL PAPER BOARD CO, INC ....... 150,437
4,000 o FORT HOWARD CORP .................. 90,000
2,500 GLATFELTER (P.H.) CO .............. 42,812
16,800 INTERNATIONAL PAPER CO ............ 636,300
5,000 JAMES RIVER CORP OF VIRGINIA ...... 120,625
5,100 o JEFFERSON SMURFIT CORP ............ 48,450
18,544 KIMBERLY-CLARK CORP ............... 1,534,516
4,600 LONGVIEW FIBRE CO ................. 74,750
3,800 MEAD CORP ......................... 198,550
2,800 PENTAIR, INC ...................... 139,300
1,300 RIVERWOOD INTERNATIONAL CORP ...... 24,862
1,900 o SHOREWOOD PACKAGING CORP .......... 27,075
7,030 SONOCO PRODUCTS CO ................ 184,537
5,000 STONE CONTAINER CORP .............. 71,875
4,100 TEMPLE-INLAND, INC ................ 180,912
5,100 UNION CAMP CORP ................... 242,887
2,340 WAUSAU PAPER MILLS CO ............. 63,765
6,550 WESTVACO CORP ..................... 181,762
---------
4,651,793
---------
PETROLEUM--EXPLORATION &
PRODUCTION--0.76%
5,900 AMERADA HESS CORP ................. 312,700
4,000 ANADARKO PETROLEUM CORP ........... 216,500
1,300 APACHE CORP ....................... 38,350
5,000 ASHLAND, INC ...................... 175,625
3,400 o BARNETT RESOURCES CORP ............ 99,875
1,500 o BENTON OIL & GAS CO ............... 22,500
9,900 BURLINGTON RESOURCES, INC ......... 388,575
1,200 DEVON ENERGY CORP ................. 30,600
3,200 ENRON OIL & GAS CO ................ 76,800
3,500 KERR-MCGEE CORP ................... 222,250
3,400 LOUISIANA LAND & EXPLORATION CO ... 145,775
2,200 MITCHELL ENERGY & DEVELOPMENT
CORP (CLASS A) ................... 40,700
3,700 MURPHY OIL CORP ................... 153,550
2,400 o NEWFIELD EXPLORATION CO ........... 64,800
4,200 NOBLE AFFILIATES, INC ............. 125,475
See notes to financial statements.
-61-
<PAGE>
SHARES VALUE
______ _______
PETROLEUM--EXPLORATION &
PRODUCTION (CONTINUED)
2,200 o ORYX ENERGY CO .................... $ 29,425
4,400 PARKER & PARSLEY PETROLEUM CO ..... 96,800
4,800 PENNZOIL CO ....................... 202,800
3,400 POGO PRODUCING CO ................. 96,050
13,500 o SANTA FE ENERGY RESOURCES, INC .... 129,937
3,600 o SEAGULL ENERGY CORP ............... 80,100
600 o SOUTHDOWN, INC .................... 11,700
550 o TEJAS GAS CORP .................... 29,081
600 o TRITON ENERGY CORP ................ 34,425
6,100 UNION TEXAS PETROLEUM HOLDINGS, INC 118,187
1,100 o UNITED MERIDIAN CORP .............. 19,112
---------
2,961,692
---------
PETROLEUM--INTEGRATED--5.07%
34,500 AMOCO CORP ........................ 2,479,687
11,100 ATLANTIC RICHFIELD CO ............. 1,229,325
45,800 CHEVRON CORP ...................... 2,404,500
3,000 DIAMOND SHAMROCK, INC ............. 77,625
86,000 EXXON CORP ........................ 6,890,750
27,600 MOBIL CORP ........................ 3,091,200
22,900 OCCIDENTAL PETROLEUM CORP ......... 489,487
14,200 PHILLIPS PETROLEUM CO ............. 484,575
5,900 QUAKER STATE OIL REFINING CORP .... 74,487
6,600 SUN CO, INC ....................... 180,675
18,700 TEXACO, INC ....................... 1,467,950
18,199 UNOCAL CORP ....................... 530,045
20,900 USX-MARATHON GROUP, INC NEW ....... 407,550
---------
19,807,856
---------
PETROLEUM--SERVICE--0.77%
9,400 BAKER HUGHES, INC ................. 229,125
2,900 CABOT CORP ........................ 156,237
2,800 CAMCO INTERNATIONAL, INC .......... 78,400
12,800 DRESSER INDUSTRIES, INC ........... 312,000
4,725 o ENSCO INTERNATIONAL, INC .......... 108,675
5,500 FLUOR CORP ........................ 363,000
900 o GLOBAL INDUSTRIAL TECHNOLOGIES, INC 16,987
11,700 o GLOBAL MARINE, INC NEW ............ 102,375
7,800 HALLIBURTON CO .................... 394,875
3,500 HELMERICH & PAYNE, INC ............ 104,125
190 o MCMORAN OIL & GAS CO .............. 653
8,700 o NABORS INDUSTRIES, INC ............ 96,787
10,800 o NOBLE DRILLING CORP ............... 97,200
5,700 o READING & BATES CORP .............. 85,500
8,100 o ROWAN COS, INC .................... 79,987
3,000 o SMITH INTERNATIONAL, INC .......... 70,500
2,900 SONAT OFFSHORE DRILLING, INC ...... 129,775
3,500 TIDEWATER, INC .................... 110,250
3,000 TOSCO CORP ........................ 114,375
4,100 ULTRAMAR CORP ..................... 105,575
3,400 o WEATHERFORD ENTERRA, INC .......... 98,175
3,300 o WESTERN ATLAS, INC ................ 166,650
---------
3,021,226
---------
PHOTOGRAPHY--0.47%
23,900 EASTMAN KODAK CO .................. 1,601,300
3,200 POLAROID CORP ..................... 151,600
1,000 o PRESSTEK, INC ..................... 94,500
---------
1,847,400
---------
PROPERTY--REAL ESTATE--0.14%
1,100 CRESCENT REAL ESTATE EQUITIES, INC 37,537
750 KIMCO REALTY CORP ................. 20,437
12,500 TAUBMAN CENTERS, INC .............. 125,000
3,900 o TOLL BROTHERS, INC ................ 89,700
4,100 WASHINGTON REAL ESTATE INVESTMENT
TRUST ............................ 65,087
3,800 WEINGARTEN REALTY INVESTORS, INC .. 144,400
3,200 WELLSFORD RESIDENTIAL PROPERTY
TRUST ............................ 73,600
---------
555,761
---------
PUBLISHING--NEWSPAPER--0.50%
3,700 BELO (A.H.) CORP SERIES A ......... 128,575
1,000 CENTRAL NEWSPAPERS, INC (CLASS A) . 31,375
3,684 o COX COMMUNICATIONS, INC (CLASS A) NEW 71,838
3,700 DOW JONES & CO, INC ............... 147,537
9,500 GANNETT CO, INC ................... 583,062
3,200 KNIGHT-RIDDER, INC ................ 200,000
7,600 NEW YORK TIMES CO (CLASS A) ....... 225,150
7,200 TIMES MIRROR CO (SERIES A) NEW .... 243,900
3,900 TRIBUNE CO NEW .................... 238,387
2,300 o VALASSIS COMMUNICATIONS, INC ...... 40,250
200 WASHINGTON POST CO (CLASS B) ...... 56,400
---------
1,966,474
---------
PUBLISHING--OTHER--0.86%
5,200 AMERICAN GREETINGS CORP (CLASS A) . 143,650
700 BOWNE & CO, INC ................... 14,000
8,900 DONNELLEY (R.R.) & SONS CO ........ 350,437
11,400 DUN & BRADSTREET CORP ............. 738,150
4,100 HARCOURT GENERAL, INC ............. 171,687
1,800 HOUGHTON MIFFLIN CO ............... 77,400
1,400 LEE ENTERPRISES, INC .............. 32,200
2,500 o MARVEL ENTERTAINMENT GROUP, INC ... 32,500
3,700 MCGRAW HILL COS, INC .............. 322,362
2,600 MEREDITH CORP ..................... 108,875
6,600 READER'S DIGEST ASSOCIATION, INC
(CLASS A) (NON-VTG) .............. 338,250
1,900 o SCHOLASTIC CORP ................... 147,725
23,620 TIME WARNER, INC .................. 894,607
---------
3,371,843
---------
RAILROAD--0.96%
9,245 BURLINGTON NORTHERN SANTA FE CORP . 721,110
5,100 CONRAIL, INC ...................... 357,000
13,800 CSX CORP .......................... 629,625
2,700 ILLINOIS CENTRAL CORP SERIES A .... 103,612
2,700 KANSAS CITY SOUTHERN INDUSTRIES, INC 123,525
8,800 NORFOLK SOUTHERN CORP ............. 698,500
5,200 o SOUTHERN PACIFIC RAIL CORP ........ 124,800
13,500 UNION PACIFIC CORP ................ 891,000
1,500 o WISCONSIN CENTRAL TRANSIT CORP .... 98,625
---------
3,747,797
---------
RESTAURANTS & HOTELS--1.32%
3,800 APPLE SOUTH, INC .................. 81,700
3,600 APPLEBEES INTERNATIONAL, INC ...... 81,900
3,900 o AZTAR CORP ........................ 31,200
5,900 BOB EVANS FARMS, INC .............. 112,100
3,500 o BOSTON CHICKEN, INC ............... 112,437
3,800 o BUFFETS, INC ...................... 52,250
4,800 CRACKER BARREL OLD COUNTRY STORE, INC 82,800
12,300 DARDEN RESTAURANTS, INC ........... 146,062
60 o DAVE & BUSTERS, INC ............... 727
3,500 o HFS INC ........................... 286,125
2,400 HILTON HOTELS CORP ................ 147,600
9,700 o HOST MARRIOTT CORP ................ 128,525
3,900 LA QUINTA INNS, INC ............... 106,762
2,300 o LONE STAR STEAKHOUSE SALOON, INC .. 88,262
3,100 LUBYS CAFETERIA, INC .............. 68,975
9,100 MARRIOTT INTERNATIONAL, INC ....... 348,075
48,100 MCDONALDS CORP .................... 2,170,512
2,000 o MGM GRAND, INC .................... 46,000
2,900 MORRISON RESTAURANTS, INC ......... 40,600
2,600 o OUTBACK STEAKHOUSE, INC ........... 93,275
See notes to financial statements.
-62-
<PAGE>
SHARES VALUE
______ _______
RESTAURANTS & HOTELS (CONTINUED)
1,600 o PAPA JOHNS INTERNATIONAL, INC ..... $ 65,900
7,600 o PROMUS HOTEL CORP ................. 169,100
800 o RIO HOTEL & CASINO, INC ........... 9,500
6,900 o RYANS FAMILY STEAK HOUSES, INC .... 48,300
2,000 SBARRO, INC ....................... 43,000
3,900 o SHONEYS, INC ...................... 39,975
12,400 SYSCO CORP ........................ 403,000
7,500 WENDYS INTERNATIONAL, INC ......... 159,375
----------
5,164,037
----------
RETAIL--FOOD--0.68%
15,300 ALBERTSONS, INC ................... 502,987
8,500 AMERICAN STORES CO, NEW ........... 227,375
85 o BRUNOS, INC ....................... 892
3,200 o CIRCLE K CORP ..................... 81,200
3,999 FLEMING COS, INC .................. 82,479
28,500 FOOD LION, INC (CLASS B) .......... 162,093
4,500 GIANT FOOD, INC (CLASS A) ......... 141,750
2,700 GREAT ATLANTIC & PACIFIC TEA CO, INC 62,100
900 HANNAFORD BROTHERS, INC ........... 22,162
6,800 o KROGER CO ......................... 255,000
112 QUALITY FOOD CENTERS, INC ......... 2,464
2,600 RUDDICK CORP ...................... 29,900
7,300 o SAFEWAY, INC NEW .................. 375,950
13,300 o SOUTHLAND CORP .................... 44,056
5,100 o STARBUCKS CORP .................... 107,100
4,500 o STOP & SHOP COS, INC NEW .......... 104,062
5,200 SUPERVALU, INC .................... 163,800
2,800 o VONS COS, INC ..................... 79,100
6,000 WINN DIXIE STORES, INC ............ 221,250
---------
2,665,720
---------
RETAIL--GENERAL MERCHANDISE--3.65%
9,600 o AUTOZONE, INC ..................... 277,200
1,000 o BABY SUPERSTORE, INC .............. 57,000
1,400 o BARNES & NOBLE, INC ............... 40,600
2,000 o BEST BUY, INC ..................... 32,500
1,200 o BOMBAY, INC ....................... 7,650
5,000 o BORDERS GROUP, INC ................ 92,500
2,200 BROWN GROUP, INC .................. 31,350
2,800 o BURLINGTON COAT FACTORY
WAREHOUSE CORP ................... 28,700
1,300 xo CALDOR CORP ....................... 4,225
4,500 CASEYS GENERAL STORES, INC ........ 98,437
6,600 CHARMING SHOPPES, INC ............. 18,975
5,900 CIRCUIT CITY STORES, INC .......... 162,987
2,400 CLAIRES STORES, INC ............... 42,300
3,600 o CONSOLIDATED STORES CORP .......... 78,300
12,300 o CUC INTERNATIONAL, INC ............ 419,737
4,800 DAYTON HUDSON CORP ................ 360,000
2,300 o DEPARTMENT 56, INC ................ 88,262
8,300 DILLARD DEPARTMENT STORES (CLASS A) 236,550
4,950 DOLLAR GENERAL CORP ............... 102,712
1,600 o DOLLAR TREE STORES, INC ........... 39,600
2,700 o ECKERD CORP ....................... 120,487
300 +EDISON BROTHERS STORES, INC ....... 562
1,100 o ETHAN ALLEN INTERIORS, INC ........ 22,412
3,500 FAMILY DOLLAR STORES, INC ......... 48,125
14,113 o FEDERATED DEPARTMENT STORES, INC .. 388,107
4,100 FINGERHUT COS, INC ................ 56,887
7,400 GAP, INC .......................... 310,800
2,800 o GYMBOREE CORP ..................... 57,750
1,800 HANDLEMAN CO ...................... 10,350
800 HECHINGER CO (CLASS A) ............ 3,500
4,000 HEILIG MEYERS CO .................. 73,500
32,900 HOME DEPOT, INC ................... 1,575,087
4,100 o HOME SHOPPING NETWORK, INC ........ 36,900
900 INTELLIGENT ELECTRONICS, INC ...... 5,400
1,600 o JONES APPAREL GROUP, INC .......... 63,000
33,100 K MART CORP ....................... 239,975
2,400 o KOHLS CORP ........................ 126,000
1,900 o LANDS END, INC .................... 25,887
18,300 LIMITED, INC ...................... 317,962
900 LONGS DRUG STORES CORP ............ 43,087
8,600 LOWES COS, INC .................... 288,100
1,700 o MAC FRUGALS BARGAINS CLOSE-OUT, INC 23,800
17,100 MAY DEPARTMENT STORES CO .......... 722,475
7,200 MELVILLE CORP ..................... 221,400
2,100 o MENS WAREHOUSE, INC ............... 54,075
2,400 MERCANTILE STORES CO, INC ......... 111,000
2,600 o MEYER (FRED), INC ................. 58,500
800 o MICHAELS STORES, INC .............. 11,000
300 o MICROAGE, INC ..................... 2,437
1,000 o MOVIE GALLERY, INC ................ 30,500
1,700 o MUSICLAND STORES CORP ............. 7,225
3,500 NORDSTROM, INC .................... 141,750
6,200 o OFFICEMAX, INC .................... 138,725
12,500 PENNEY, (J.C.) CO, INC ............ 595,312
4,400 PEP BOYS-MANNY, MOE & JACK ........ 112,750
2,900 o PETRIE STORES CORP ................ 7,975
3,900 o PETSMART, INC ..................... 120,900
6,280 o PIER 1 IMPORTS, INC ............... 71,435
14,600 o PRICE/COSTCO, INC ................. 222,650
4,100 o REVCO (D.S.), INC NEW ............. 115,825
6,100 RITE AID CORP ..................... 208,925
2,200 ROSS STORES, INC .................. 42,075
6,900 ROUSE CO .......................... 140,587
24,400 SEARS ROEBUCK & CO ................ 951,600
7,000 o SERVICE MERCHANDISE, INC .......... 35,000
5,300 SOTHEBYS HOLDINGS, INC (CLASS A) .. 75,525
300 SPIEGEL, INC (CLASS A) ............ 2,062
6,500 o STAPLES, INC ...................... 158,437
1,000 o STEIN MART, INC ................... 11,000
5,200 STRIDE RITE CORP .................. 39,000
3,900 o SUNGLASS HUT INTERNATIONAL, INC ... 92,625
1,100 TALBOTS, INC ...................... 31,625
4,300 TANDY CORP ........................ 178,450
2,900 o THE SPORTS AUTHORITY, INC ......... 59,087
1,200 TIFFANY & CO NEW .................. 60,450
5,100 TJX COS, INC NEW .................. 96,262
1,000 o TOPPS, INC ........................ 5,125
16,640 o TOYS R US, INC .................... 361,920
2,900 o WABAN, INC ........................ 54,375
92,300 WAL-MART STORES, INC .............. 2,065,212
16,900 WALGREEN CO ....................... 504,887
2,700 o WILLIAMS-SONOMA, INC .............. 49,950
10,300 WOOLWORTH CORP .................... 133,900
6,400 o ZALE CORP ......................... 103,200
---------
14,264,476
---------
TEXTILE & APPAREL--0.46%
1,000 o ANN TAYLOR STORES CORP ............ 10,250
7,600 o BURLINGTON INDUSTRIES, INC ........ 99,750
600 CATO CORP (CLASS A) NEW ........... 4,650
2,600 CML GROUP, INC .................... 13,325
1,600 o CONE MILLS CORP ................... 18,000
5,800 o FRUIT OF THE LOOM, INC (CLASS A) .. 141,375
900 o JUST FOR FEET INC ................. 32,175
2,200 KELLWOOD CO ....................... 44,825
5,300 LIZ CLAIBORNE, INC ................ 147,075
2,200 o NAUTICA ENTERPRISES, INC .......... 96,250
4,100 NIKE, INC (CLASS B) ............... 285,462
1,700 o NINE WEST GROUP, INC .............. 63,750
1,300 PHILLIPS-VAN HEUSEN CORP .......... 12,837
See notes to financial statements.
-63-
<PAGE>
SHARES VALUE
______ _______
TEXTILE & APPAREL (CONTINUED)
4,600 REEBOK INTERNATIONAL LTD .......... $ 129,950
3,900 RUSSELL CORP ...................... 108,225
5,100 UNIFI, INC ........................ 112,837
4,000 VF CORP ........................... 211,000
4,400 WARNACO GROUP, INC (CLASS A) ...... 110,000
4,000 o WESTPOINT STEVENS, INC ............ 80,250
2,650 WOLVERINE WORLD WIDE, INC ......... 83,475
---------
1,805,461
---------
TOBACCO--1.84%
12,600 AMERICAN BRANDS, INC .............. 562,275
4,700 DIMON, INC ........................ 82,837
58,600 PHILIP MORRIS COS, INC ............ 5,303,300
20,283 RJR NABISCO HOLDINGS CORP ......... 626,237
960 o SCHWEITZER-MAUDUIT INTERNATIONAL INC 22,200
4,000 UNIVERSAL CORP .................... 97,500
15,200 UST, INC .......................... 507,300
---------
7,201,649
---------
TRUCKERS & SHIPPING--0.23%
3,500 o AMERICAN FREIGHTWAYS CORP ......... 36,312
2,600 AMERICAN PRESIDENT COS LTD ........ 59,800
3,000 ARNOLD INDUSTRIES, INC ............ 52,125
2,900 o CONSOLIDATED FREIGHTWAYS, INC ..... 76,850
2,200 HUNT (J.B.) TRANSPORT SERVICES, INC 36,850
800 o LANDSTAR SYSTEM, INC .............. 21,400
200 o M.S. CARRIERS, INC ................ 4,000
1,600 OVERSEAS SHIPHOLDING GROUP, INC ... 30,400
1,400 ROADWAY SERVICES, INC ............. 68,425
9,400 ROLLINS TRUCK LEASING CORP ........ 104,575
6,400 RYDER SYSTEMS, INC ................ 158,400
1,500 o SWIFT TRANSPORTATION CO, INC ...... 22,875
3,000 TNT FREIGHTWAYS CORP .............. 60,375
3,300 WERNER ENTERPRISES, INC ........... 66,825
2,000 XTRA CORP ......................... 85,000
1,100 YELLOW CORP ....................... 13,612
---------
897,824
---------
UTILITIES--ELECTRIC--4.77%
5,600 o AES CORP .......................... 133,700
8,100 ALLEGHENY POWER SYSTEMS, INC ...... 231,862
11,900 AMERICAN ELECTRIC POWER CO, INC ... 481,950
6,800 ATLANTIC ENERGY, INC .............. 130,900
9,900 BALTIMORE GAS & ELECTRIC CO ....... 282,150
4,900 BOSTON EDISON CO .................. 144,550
9,800 CAROLINA POWER & LIGHT CO ......... 338,100
20,000 CENTERIOR ENERGY CORP ............. 177,500
12,400 CENTRAL & SOUTH WEST CORP ......... 345,650
1,500 CENTRAL HUDSON GAS & ELECTRIC CORP 46,312
7,500 CENTRAL MAINE POWER CO ............ 107,812
10,523 CINERGY CORP ...................... 322,266
3,700 CIPSCO, INC ....................... 144,300
14,016 o CITIZENS UTILITIES CO (CLASS B) ... 176,952
7,200 CMS ENERGY CORP ................... 215,100
15,300 CONSOLIDATED EDISON CO
OF NEW YORK, INC.................. 489,600
6,800 DELMARVA POWER & LIGHT CO ......... 154,700
9,200 DETROIT EDISON CO ................. 317,400
11,800 DOMINION RESOURCES, INC ........... 486,750
8,200 DPL, INC .......................... 202,950
5,700 DQE, INC .......................... 175,275
13,400 DUKE POWER CO ..................... 634,825
3,300 EASTERN UTILITIES ASSOCIATES ...... 77,962
14,000 ENTERGY CORP NEW .................. 409,500
6,400 FLORIDA PROGRESS CORP ............. 226,400
11,900 FPL GROUP, INC .................... 551,862
7,600 GENERAL PUBLIC UTILITIES CORP ..... 258,400
600 HAWAIIAN ELECTRIC INDUSTRIES, INC . 23,250
13,900 HOUSTON INDUSTRIES, INC ........... 337,075
4,300 IDAHO POWER CO .................... 129,000
4,600 IES INDUSTRIES, INC ............... 121,900
6,300 ILLINOVA CORP ..................... 189,000
3,800 IPALCO ENTERPRISES, INC ........... 144,875
5,500 KANSAS CITY POWER & LIGHT CO ...... 143,687
4,000 KU ENERGY CORP .................... 120,000
8,500 LONG ISLAND LIGHTING CO ........... 139,187
1,200 LOUISVILLE GAS & ELECTRIC ENERGY CORP 50,700
11,100 MIDAMERICAN ENERGY CO ............. 185,925
2,700 MINNESOTA POWER & LIGHT CO ........ 76,612
6,600 MONTANA POWER CO .................. 149,325
6,800 NEVADA POWER CO ................... 151,300
4,500 NEW ENGLAND ELECTRIC SYSTEMS CO ... 178,312
5,700 NEW YORK STATE ELECTRIC & GAS CORP 147,487
12,000 NIAGARA MOHAWK POWER CORP ......... 115,500
4,500 NIPSCO INDUSTRIES, INC ............ 172,125
7,800 NORTHEAST UTILITIES CO ............ 190,125
5,100 NORTHERN STATES POWER CO .......... 250,537
10,200 OHIO EDISON CO .................... 239,700
3,300 OKLAHOMA GAS & ELECTRIC CO ........ 141,900
27,500 PACIFIC GAS & ELECTRIC CO ......... 780,312
19,300 PACIFICORP ........................ 410,125
14,200 PECO ENERGY CO .................... 427,775
6,300 PINNACLE WEST CAPITAL CORP ........ 181,125
4,300 PORTLAND GENERAL CORP ............. 125,237
8,100 POTOMAC ELECTRIC POWER CO ......... 212,625
10,500 PP&L RESOURCES, INC ............... 262,500
4,600 PUBLIC SERVICE CO OF COLORADO ..... 162,725
7,100 o PUBLIC SERVICE CO OF NEW MEXICO ... 125,137
15,100 PUBLIC SERVICE ENTERPRISE GROUP, INC 462,437
6,500 PUGET SOUND POWER & LIGHT CO ...... 151,125
5,000 ROCHESTER GAS & ELECTRIC CORP ..... 113,125
6,900 SAN DIEGO GAS & ELECTRIC CO ....... 163,875
7,600 SCANA CORP ........................ 217,550
29,300 SCE CORP .......................... 520,075
1,600 o SIERRA PACIFIC RESOURCES .......... 37,400
43,900 SOUTHERN CO ....................... 1,081,037
4,400 SOUTHWESTERN PUBLIC SERVICE CO .... 144,100
9,000 TECO ENERGY, INC .................. 230,625
15,400 TEXAS UTILITIES CO ................ 633,325
14,200 UNICOM CORP ....................... 465,050
6,700 UNION ELECTRIC CO ................. 279,725
1,500 UNITED ILLUMINATING CO ............ 56,062
5,702 UTILICORP UNITED, INC ............. 167,496
8,500 WASHINGTON WATER POWER CO ......... 148,750
5,400 WESTERN RESOURCES, INC ............ 180,225
8,200 WISCONSIN ENERGY CORP ............. 251,125
----------
18,652,918
----------
UTILITIES--GAS & PIPELINE--1.29%
5,500 o AMERICAN STANDARD COS, INC ........ 154,000
6,000 ATLANTA GAS LIGHT CO .............. 118,500
5,000 BROOKLYN UNION GAS CO ............. 146,250
1,400 CABOT OIL & GAS CORP (CLASS A) .... 20,475
4,500 o CALIFORNIA ENERGY CO, INC ......... 87,750
4,200 o COASTAL CORP ...................... 156,450
1,400 o COLUMBIA GAS SYSTEMS, INC ......... 61,425
7,000 CONSOLIDATED NATURAL GAS CO ....... 317,625
1,200 EASTERN ENTERPRISES ............... 42,300
4,000 EL PASO NATURAL GAS CO NEW ........ 113,500
14,900 ENRON CORP ........................ 568,062
6,800 ENSERCH CORP ...................... 110,500
4,800 EQUITABLE RESOURCES, INC .......... 150,000
1,600 INDIANA ENERGY INC ................ 38,200
2,500 o IONICS, INC ....................... 108,750
800 KN ENERGY, INC .................... 23,300
See notes to financial statements.
-64-
<PAGE>
SHARES VALUE
______ _______
UTILITIES--GAS & PIPELINE (CONTINUED)
6,400 MCN CORP .......................... $ 148,800
2,300 NATIONAL FUEL GAS CO .............. 77,337
5,300 NICOR, INC ........................ 145,750
4,700 NORAM ENERGY CORP ................. 41,712
2,600 ONEOK, INC ........................ 59,475
6,600 PACIFIC ENTERPRISES, INC .......... 186,450
10,300 PANHANDLE EASTERN CORP ............ 287,112
2,700 PEOPLES ENERGY CORP ............... 85,725
1,700 PIEDMONT NATURAL GAS CO, INC ...... 39,525
1,800 o PRIMARK CORP ...................... 54,000
4,200 QUESTAR CORP ...................... 140,700
6,500 SONAT, INC ........................ 231,562
3,200 o SOUTHWEST GAS CORP ................ 56,400
1,300 SOUTHWESTERN ENERGY CO ............ 16,575
12,630 TENNECO, INC ...................... 626,763
3,550 UGI CORP NEW ...................... 73,662
4,400 VALERO ENERGY CORP ................ 107,800
4,500 WASHINGTON ENERGY CO .............. 83,812
500 WESTERN GAS RESOURCES, INC ........ 8,062
1,500 WICOR, INC ........................ 48,375
6,845 WILLIAMS COS, INC ................. 300,324
---------
5,037,008
---------
UTILITIES--TELEPHONE--7.49%
1,000 o ADTRAN, INC ....................... 54,312
14,400 ALLTEL CORP ....................... 424,800
2,600 o AMERICAN MOBILE SATELLITE CORP .... 79,625
38,700 AMERITECH CORP NEW ................ 2,283,300
110,700 AT & T CORP ....................... 7,167,825
30,500 o BELL ATLANTIC CORP ................ 2,039,687
69,100 BELLSOUTH CORP .................... 3,005,850
3,000 o C-TEC CORP ........................ 93,000
5,900 CINCINNATI BELL, INC .............. 205,025
11,900 FRONTIER CORP ..................... 357,000
2,725 o GLENAYRE TECHNOLOGIES, INC ........ 169,631
67,400 GTE CORP .......................... 2,965,600
4,600 LINCOLN TELECOMMUNICATIONS CO ..... 97,175
47,400 MCI COMMUNICATIONS CORP ........... 1,238,325
4,400 o MOBILE TELECOMMUNICATIONS
TECHNOLOGIES CORP ................ 94,050
9,300 o NEXTEL COMMUNICATIONS, INC (CLASS A) 137,175
29,600 NYNEX CORP ........................ 1,598,400
29,600 PACIFIC TELESIS GROUP ............. 995,300
42,600 SBC COMMUNICATIONS, INC ........... 2,449,500
7,500 SOUTHERN NEW ENGLAND
TELECOMMUNICATIONS CORP .......... 298,125
24,500 SPRINT CORP ....................... 976,937
5,020 TELEPHONE & DATA SYSTEMS, INC ..... 198,290
3,400 o U.S. LONG DISTANCE CORP ........... 47,600
33,100 U.S. WEST COMMUNICATIONS GROUP .... 1,183,325
33,000 o U.S. WEST MEDIA GROUP ............. 627,000
13,429 o WORLDCOM, INC ..................... 473,372
----------
29,260,229
----------
TOTAL COMMON STOCK
(COST $346,730,188) ............... 389,499,313
-----------
PAR
VALUE
-----
SHORT TERM INVESTMENTS--0.94%
COMMERCIAL PAPER--0.94%
2,500,000 CAMPBELL SOUP CO
5.640%, 01/08/96 ................ 2,496,686
1,185,000 GENERAL SIGNAL CORP
5.870%, 01/08/96 ................ 1,183,421
---------
3,680,107
---------
TOTAL SHORT TERM INVESTMENTS
(COST $3,680,906) 3,680,107
ROUNDING ........................ 192
---------
TOTAL PORTFOLIO
(COST $350,436,768) ...............$393,210,530
============
- ----------------
o NON-INCOME PRODUCING
X IN BANKRUPTCY
See notes to financial statements.
-65-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
PARTICIPANT VOTING RESULTS
DECEMBER 31, 1995
---------------------
CREF's annual meeting was held on November 13, 1995.
The annual meeting involved the election of trustees. The five trustees elected
to four-year terms at the annual meeting were:
Gary P. Brinson (21,305,622,077 (95.3%) votes were cast in favor, 1,029,004,469
(4.6%) votes were cast in opposition and 15,503,835 (0.1%) abstained).
Nancy L. Jacob (21,341,155,654 (95.5%) votes were cast in favor, 993,470,892
(4.4%) votes were cast in opposition and 15,503,835 (0.1%) abstained).
Martin L. Leibowitz (21,307,198,822 (95.3%) votes were cast in favor,
1,027,427,724 (4.6%) votes were cast in opposition and 15,503,835 (0.1%)
abstained).
Jay O. Light (21,314,334,602 (95.3%) votes were cast in favor,
1,020,291,943 (4.6%) votes were cast in opposition and 15,503,835 (0.1%)
abstained).
Eugene C. Sit (21,274,659,307 (95.2%) votes were cast in favor,
1,059,967,238 (4.7%) votes were cast in opposition and 15,503,835 (0.1%)
abstained).
The other trustees currently in office are Robert H. Atwell, Elizabeth E.
Bailey, John H. Biggs, Andrew F. Brimmer, Joyce A. Fecske, Edes P. Gilbert,
Stuart Tse Kong Ho, Thomas W. Jones, Marjorie Fine Knowles, Robert M.
Lovell, Jr., Robert C. Merton, Stephen A. Ross, Maceo K. Sloan, Harry K.
Spindler, and David K. Storrs.
One shareholder proposal was submitted to a vote of CREF Participants, asking
CREF to divest its holdings in tobacco manufacturers.
For the Stock Account, 3,912,404,083 (19.8%) votes were cast in favor,
14,594,030,288 (73.8%) votes were cast in opposition and 1,257,784,135 (6.4%)
abstained. The proposal was defeated.
For the Global Equities Account, 226,245,897 (23.3%) votes were cast
in favor, 685,691,846 (70.4%) votes were cast in opposition and 61,318,545
(6.3%) abstained. The proposal was defeated.
For the Growth Account, 62,918,340 (20.7%) votes were cast in favor,
223,083,832 (73.6%) votes were cast in opposition and 17,389,817 (5.7%)
abstained. The proposal was defeated.
For the Equity Index Account, 18,247,591 (22.3%) votes were cast in favor,
58,982,001 (72.1%) votes were cast in opposition and 4,621,124 (5.6%)
abstained. The proposal was defeated.
Shareholders also ratified the election of Deloitte & Touche LLP as the
independent auditors for CREF for the fiscal year ending December 31, 1995.
21,504,572,175 (96.2%) votes were cast in favor, 377,093,778 (1.7%) votes were
cast in opposition and 468,464,428 (2.1%) abstained.
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<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
730 Third Avenue
New York, NY 10017-3206
212/490-9000 [logo] Printed on recycled paper
