SEMI-ANNUAL REPORT
- --------------------------------------------------------------------------------
COLLEGE RETIREMENT EQUITIES FUND
MONEY MARKET ACCOUNT GLOBAL EQUITIES ACCOUNT
BOND MARKET ACCOUNT GROWTH ACCOUNT
SOCIAL CHOICE ACCOUNT EQUITY INDEX ACCOUNT
FINANCIAL STATEMENTS (UNAUDITED)
INCLUDING
STATEMENTS OF INVESTMENTS
JUNE 30, 1996
- --------------------------------------------------------------------------------
As required by the Investment Company Act of 1940, CREF provides its
participants with this semi-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 a semi-annual report to participants in the Stock
Account. Annual reports are also provided each year toward the end of February.
- --------------------------------------------------------------------------------
[LOGO]
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
MONEY MARKET ACCOUNT GLOBAL EQUITIES ACCOUNT
BOND MARKET ACCOUNT GROWTH ACCOUNT
SOCIAL CHOICE ACCOUNT EQUITY INDEX ACCOUNT
INDEX TO UNAUDITED FINANCIAL STATEMENTS
JUNE 30, 1996
- --------------------------------------------------------------------------------
PAGE
----
Statements of Assets and Liabilities...................................... 2
Statements of Operations.................................................. 3
Statements of Changes in Net Assets....................................... 4
Notes to Financial Statements............................................. 6
Statements of Investments
Money Market Account................................................... 14
Bond Market Account.................................................... 17
Social Choice Account.................................................. 21
Global Equities Account................................................ 27
Growth Account......................................................... 38
Equity Index Account................................................... 49
-1-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENTS OF ASSETS AND LIABILITIES (UNAUDITED)
JUNE 30, 1996
<TABLE>
<CAPTION>
MONEY MARKET BOND MARKET SOCIAL CHOICE
ACCOUNT ACCOUNT ACCOUNT
--------------- --------------- ---------------
<S> <C> <C> <C>
ASSETS
Portfolio investments,
at cost ................. $ 3,182,396,205 $ 880,997,632 $ 1,096,320,397
Net unrealized appreciation
(depreciation) of
portfolio investments ... (1,298,769) (7,782,929) 245,467,819
--------------- --------------- ---------------
Portfolio investments,
at value ................ 3,181,097,436 873,214,703 1,341,788,216
Cash ....................... 451,049 17,555
Dividends and interest
receivable .............. 8,084,699 13,307,768 7,695,496
Receivable from
securities transactions . 23,178,000 17,140,477 19,308,758
Amounts due from TIAA ...... 2,776,269 1,223,405 1,724,140
--------------- --------------- ---------------
TOTAL ASSETS .... 3,215,136,404 905,337,402 1,370,534,165
--------------- --------------- ---------------
LIABILITIES
Deposits for securities
loaned--Note 4 ..........
Due to banks--Note 4 ....... 17,942,610 4,319,699
Payable for securities
transactions ............ 12,885,137 22,475,383 16,570,608
--------------- --------------- ---------------
TOTAL LIABILITIES 30,827,747 22,475,383 20,890,307
--------------- --------------- ---------------
NET ASSETS
Accumulation Fund .......... 3,066,063,721 879,960,214 1,297,267,531
Annuity Fund ............... 118,244,936 2,901,805 52,376,327
--------------- --------------- ---------------
TOTAL NET ASSETS $ 3,184,308,657 $ 882,862,019 $ 1,349,643,858
=============== =============== ===============
NUMBER OF ACCUMULATION
UNITS OUTSTANDING--
Notes 5 and 6 ............. 190,807,319 20,954,427 24,270,583
=============== =============== ===============
NET ASSET VALUE, PER
ACCUMULATION UNIT--
Note 5 .................... $16.07 $41.99 $53.45
====== ====== ======
GLOBAL EQUITIES GROWTH EQUITY INDEX
ACCOUNT ACCOUNT ACCOUNT
--------------- --------------- ---------------
ASSETS
Portfolio investments,
at cost ................. $ 3,419,870,791 $ 1,521,302,658 $ 612,246,639
Net unrealized appreciation
(depreciation) of
portfolio investments ... 437,023,850 246,117,339 80,892,426
--------------- --------------- ---------------
Portfolio investments,
at value ................ 3,856,894,641 1,767,419,997 693,139,065
Cash ....................... 18,259,186 5,197,798 1,457,102
Dividends and interest
receivable .............. 9,034,273 2,067,988 1,151,775
Receivable from
securities transactions . 60,181,733 8,564,952 2,569,289
Amounts due from TIAA ...... 4,298,554 3,034,383 944,701
--------------- --------------- ---------------
TOTAL ASSETS .............. 3,948,668,387 1,786,285,118 699,261,932
--------------- --------------- ---------------
LIABILITIES
Deposits for securities
loaned--Note 4 .......... 164,769,411
Due to banks--Note 4 .......
Payable for securities
transactions ............ 75,096,025 16,730,420 11,679,735
--------------- --------------- ---------------
TOTAL LIABILITIES 239,865,436 16,730,420 11,679,735
--------------- --------------- ---------------
NET ASSETS
Accumulation Fund .......... 3,593,052,094 1,719,639,731 663,486,535
Annuity Fund ............... 115,750,857 49,914,967 24,095,662
--------------- --------------- ---------------
TOTAL NET ASSETS $ 3,708,802,951 $ 1,769,554,698 $ 687,582,197
=============== =============== ===============
NUMBER OF ACCUMULATION
UNITS OUTSTANDING--
Notes 5 and 6 ............. 76,670,097 43,451,031 17,192,824
=============== =============== ===============
NET ASSET VALUE, PER
ACCUMULATION UNIT--
Note 5 .................... $46.86 $39.58 $38.59
====== ====== ======
</TABLE>
See notes to financial statements.
-2-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENTS OF OPERATIONS (UNAUDITED)
SIX MONTHS ENDED JUNE 30, 1996
<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 ......................... $ 7,770,189 $ 30,119,980 $ 8,800,152 $ 5,762,833
Interest .......................... $ 85,717,351 $ 30,621,033 16,696,544 3,979,112 1,749,930 334,620
------------ ------------ ------------ ------------ ------------ ------------
TOTAL INCOME ......... 85,717,351 30,621,033 24,466,733 34,099,092 10,550,082 6,097,453
------------ ------------ ------------ ------------ ------------ ------------
Expenses--Note 3:
Investment ........................ 1,238,280 314,658 460,001 2,453,365 1,004,154 215,587
Operating ......................... 3,412,888 928,052 1,359,343 3,690,239 1,592,331 595,031
------------ ------------ ------------ ------------ ------------ ------------
TOTAL EXPENSES ......... 4,651,168 1,242,710 1,819,344 6,143,604 2,596,485 810,618
------------ ------------ ------------ ------------ ------------ ------------
INVESTMENT INCOME--NET 81,066,183 29,378,323 22,647,389 27,955,488 7,953,597 5,286,835
------------ ------------ ------------ ------------ ------------ ------------
REALIZED AND UNREALIZED
GAIN (LOSS) ON TOTAL
INVESTMENTS--Note 4
Net realized gain (loss) on:
Portfolio investments ............. (58,270) (5,807,346) 7,736,513 167,253,100 57,634,872 4,056,269
Futures transactions .............. 1,027,870 1,525,576 93,603
Foreign currency
transactions .................... (990,290) (16,243)
------------ ------------ ------------ ------------ ------------ ------------
Net realized gain (loss) (58,270) (5,807,346) 7,736,513 167,290,680 59,144,205 4,149,872
------------ ------------ ------------ ------------ ------------ ------------
Net change in unrealized
appreciation (depreciation) on:
Portfolio investments ............. (903,460) (37,726,621) 35,659,773 102,070,999 91,812,981 38,118,664
Futures transactions .............. 637,033 156,117 37,379
Translation of assets (other
than portfolio investments)
and liabilities in foreign
currencies ...................... 10,230 (1,764)
------------ ------------ ------------ ------------ ------------ ------------
Net change in unrealized
appreciation (depreciation) ........ (903,460) (37,726,621) 35,659,773 102,718,262 91,967,334 38,156,043
------------ ------------ ------------ ------------ ------------ ------------
NET REALIZED AND UNREALIZED
GAIN (LOSS) ON TOTAL
INVESTMENTS (961,730) (43,533,967) 43,396,286 270,008,942 151,111,539 42,305,915
------------ ------------ ------------ ------------ ------------ ------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM OPERATIONS $ 80,104,453 $(14,155,644) $ 66,043,675 $297,964,430 $159,065,136 $ 47,592,750
============ ============ ============ ============ ============ ============
</TABLE>
See notes to financial statements.
-3-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
MONEY MARKET ACCOUNT BOND MARKET ACCOUNT SOCIAL CHOICE ACCOUNT
--------------------------------- ----------------------------- --------------------------------
SIX MONTHS ENDED YEAR ENDED SIX MONTHS ENDED YEAR ENDED SIX MONTHS ENDED YEAR ENDED
JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31,
1996 1995 1996 1995 1996 1995
--------------- --------------- ----------------- ------------ -------------- ---------------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
FROM OPERATIONS
Investment income--net ..... $ 81,066,183 $ 173,000,183 $ 29,378,323 $ 46,958,199 $ 22,647,389 $ 35,513,279
Net realized gain (loss) on
total investments ........ (58,270) (200,856) (5,807,346) 12,221,948 7,736,513 3,647,165
Net change in unrealized
appreciation
(depreciation) on total
investments .............. (903,460) 1,073,681 (37,726,621) 50,593,054 35,659,773 200,506,744
-------------- -------------- ------------ ------------ -------------- --------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM OPERATIONS 80,104,453 173,873,008 (14,155,644) 109,773,201 66,043,675 239,667,188
-------------- -------------- ------------ ------------ -------------- --------------
FROM PARTICIPANT
TRANSACTIONS
Premiums ................... 156,482,796 322,504,882 66,590,490 120,393,346 112,282,770 193,358,929
-------------- -------------- ------------ ------------ -------------- --------------
Disbursements and transfers:
Net transfers to (from)
TIAA ................... 25,091,307 62,622,528 (4,380,222) (4,654,005) (5,398,039) (2,454,256)
Net transfers to (from)
other CREF Accounts .... 82,959,343 (62,813,953) (6,011,053) (76,175,539) (13,254,134) (6,736,255)
Annuity payments ......... 6,848,462 14,684,076 354,828 1,154,923 1,692,116 2,778,920
Withdrawals and
repurchases ............ 82,149,241 144,584,944 12,223,779 16,646,581 9,661,420 16,528,876
Death benefits ........... 2,084,679 5,864,728 770,319 993,457 300,123 1,045,228
-------------- -------------- ------------ ------------ -------------- --------------
TOTAL DISBURSEMENTS
AND TRANSFERS, NET 199,133,032 164,942,323 2,957,651 (62,034,583) (6,998,514) 11,162,513
-------------- -------------- ------------ ------------ -------------- --------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM PARTICIPANT
TRANSACTIONS (42,650,236) 157,562,559 63,632,839 182,427,929 119,281,284 182,196,416
-------------- -------------- ------------ ------------ -------------- --------------
NET INCREASE
IN NET ASSETS 37,454,217 331,435,567 49,477,195 292,201,130 185,324,959 421,863,604
NET ASSETS
Beginning of year .......... 3,146,854,440 2,815,418,873 833,384,824 541,183,694 1,164,318,899 742,455,295
-------------- -------------- ------------ ------------ -------------- --------------
End of period .............. $3,184,308,657 $3,146,854,440 $882,862,019 $833,384,824 $1,349,643,858 $1,164,318,899
============== ============== ============ ============ ============== ===============
</TABLE>
See notes to financial statements.
-4-
<PAGE>
<TABLE>
<CAPTION>
GLOBAL EQUITIES ACCOUNT GROWTH ACCOUNT EQUITY INDEX ACCOUNT
--------------------------------- ------------------------------- ------------------------------
SIX MONTHS ENDED YEAR ENDED SIX MONTHS ENDED YEAR ENDED SIX MONTHS ENDED YEAR ENDED
JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31,
1996 1995 1996 1995 1996 1995
--------------- --------------- --------------- -------------- ------------- --------------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
FROM OPERATIONS
Investment income--net ..... $ 27,955,488 $ 40,861,174 $ 7,953,597 $ 7,580,175 $ 5,286,835 $ 3,835,421
Net realized gain (loss) on
total investments ........ 167,290,680 181,350,482 59,144,205 24,236,668 4,149,872 2,563,936
Net change in unrealized
appreciation
(depreciation) on total
investments .............. 102,718,262 286,945,676 91,967,334 151,168,717 38,156,043 42,347,885
-------------- -------------- -------------- -------------- ------------- -------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM OPERATIONS 297,964,430 509,157,332 159,065,136 182,985,560 47,592,750 48,747,242
-------------- -------------- -------------- -------------- ------------- -------------
FROM PARTICIPANT
TRANSACTIONS
Premiums ................... 223,088,786 432,885,223 148,080,652 146,310,621 60,407,296 43,829,759
-------------- -------------- -------------- -------------- ------------- -------------
Disbursements and transfers:
Net transfers to (from)
TIAA ................... (26,126,797) 2,286,189 (36,499,996) (44,418,794) (21,292,747) (20,714,935)
Net transfers to (from)
other CREF Accounts .... (98,255,505) 361,750,669 (287,382,943) (524,499,108) (172,578,681) (242,873,333)
Annuity payments ......... 3,876,758 6,816,624 1,227,168 1,032,476 489,792 371,694
Withdrawals and
repurchases ............ 29,446,863 44,668,972 16,211,526 15,488,467 4,575,723 35,670,917
Death benefits ........... 2,104,045 2,578,283 464,962 49,873 101,308 5,552
-------------- -------------- -------------- -------------- ------------- -------------
TOTAL DISBURSEMENTS
AND TRANSFERS, NET (88,954,636) 418,100,737 (305,979,283) (552,347,086) (188,704,605) (227,540,105)
-------------- -------------- -------------- -------------- ------------- -------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM PARTICIPANT
TRANSACTIONS 312,043,422 14,784,486 454,059,935 698,657,707 249,111,901 271,369,864
-------------- -------------- -------------- -------------- ------------- -------------
NET INCREASE
IN NET ASSETS 610,007,852 523,941,818 613,125,071 881,643,267 296,704,651 320,117,106
NET ASSETS
Beginning of year .......... 3,098,795,099 2,574,853,281 1,156,429,627 274,786,360 390,877,546 70,760,440
-------------- -------------- -------------- -------------- ------------- -------------
End of period .............. $3,708,802,951 $3,098,795,099 $1,769,554,698 $1,156,429,627 $ 687,582,197 $ 390,877,546
============== ============== ============== ============== ============= =============
</TABLE>
See notes to financial statements.
-5-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
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 of America ("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 shared in the pro
rata investment experience and were 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. 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
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.
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
-6-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)--(CONTINUED)
NOTE 2--SIGNIFICANT ACCOUNTING POLICIES--(CONTINUED)
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 foreign 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 foreign
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. An Account
continues to receive income on the securities loaned and receives additional
income from the lending transaction. Additionally, any change in the market
value of the securities loaned is recognized by the Account. Although each
transaction is collateralized, the Account would bear the risk of delay in
recovery of, or loss of rights in, the securities loaned should a borrower fail
to return the securities in a timely manner.
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 financial
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.
FORWARD FOREIGN CURRENCY CONTRACTS: The Accounts may enter into forward foreign
currency contracts to purchase or sell foreign currency to accommodate foreign
investment transactions. Forward foreign 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.
-7-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)--(CONTINUED)
NOTE 2--SIGNIFICANT ACCOUNTING POLICIES--(CONCLUDED)
When the contract is closed, payment is received or made 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 foreign currency contract to offset an
existing contract. Forward foreign 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.
NOTE 4--INVESTMENTS
At June 30, 1996, the value of Global Equities Account securities loaned was
$315,034,886 and collateral received in connection therewith was comprised of
cash of $164,769,411, letters of credit of $40,455,000 and United States
government securities amounting to $127,132,535.
At June 30, 1996, the due to banks balances in the Money Market and Social
Choice Accounts resulted from securities transactions which were settled and
paid by July 1, 1996.
At June 30, 1996, 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......... $ 5,517 $ 3,485,809 $264,678,054
Gross unrealized depreciation of portfolio investments......... 1,304,286 11,268,738 19,210,235
----------- ----------- ------------
NET UNREALIZED APPRECIATION (DEPRECIATION) OF
PORTFOLIO INVESTMENTS........................................ $(1,298,769) $(7,782,929) $245,467,819
=========== =========== ============
GLOBAL EQUITIES GROWTH EQUITY INDEX
ACCOUNT ACCOUNT ACCOUNT
----------- ------------ ------------
Gross unrealized appreciation of portfolio investments......... $533,358,041 $283,133,478 $ 91,537,003
Gross unrealized depreciation of portfolio investments......... 96,334,191 37,016,139 10,644,577
------------ ------------ ------------
NET UNREALIZED APPRECIATION OF
PORTFOLIO INVESTMENTS........................................ $437,023,850 $246,117,339 $ 80,892,426
============ ============ ============
</TABLE>
-8-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)--(CONTINUED)
NOTE 4--INVESTMENTS--(CONCLUDED)
For the six months ended June 30, 1996 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 June 30, 1996, at cost ............... $ -- $17,803,128 $ 5,038,621
Net unrealized appreciation .................................... -- 132,072 37,379
----------- ----------- -----------
Futures contracts open at June 30, 1996, at value .............. $ -- $17,935,200 $ 5,076,000
=========== =========== ===========
Net realized gain on futures contracts closed .................. $ 1,027,870 $ 1,525,576 $ 93,603
Net change in unrealized appreciation........................... $ 637,033 $ 156,117 $ 37,379
Number of futures contracts open at June 30, 1996 .............. -- 53 15
Average fair value of futures contracts based
on daily balances during the period .......................... $23,801,755 $23,262,732 $ 2,481,575
</TABLE>
Companies in which any of the Accounts held 5% or more of the outstanding voting
shares are defined as "affiliated" in the Investment Company Act of 1940. At
June 30, 1996, the total value of the Global Equities Account's investments in
affiliated companies was $183,580,019. For the six months ended June 30, 1996,
total dividend income and net realized loss relating to such investments of the
Global Equities Account were $2,422,643 and $2,990,877, 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 six months ended June 30, 1996, 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..... $793,817,775 $501,300,235 $1,421,694,395 $602,759,075 $264,678,646
Affiliated issuers....... -- -- 11,046,863 -- --
------------ ------------ -------------- ------------ ------------
TOTAL PURCHASES........ $793,817,775 $501,300,235 $1,432,741,258 $602,759,075 $264,678,646
============ ============ ============== ============ ============
Sales:
Unaffiliated issuers..... $705,932,657 $365,489,085 $1,066,431,219 $212,688,068 $ 15,823,461
Affiliated issuers....... -- -- 12,830,861 -- --
------------ ------------ -------------- ------------ ------------
TOTAL SALES ........... $705,932,657 $365,489,085 $1,079,262,080 $212,688,068 $ 15,823,461
============ ============ ============== ============ ============
</TABLE>
-9-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)--(CONTINUED)
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
------------------------------------------------------------------------
SIX MONTHS FOR THE YEARS ENDED DECEMBER 31,
ENDED --------------------------------------------------------
JUNE 30, 1996 1995 1994 1993 1992 1991
------------- ---- ---- ---- ---- ----
(UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
Per Accumulation Unit Data:
Investment income .......................... $ .431 $ .910 $ .631 $ .464 $ .539 $ .808
Expenses ................................... .023 .048 .041 .039 .036 .039
-------- ------- -------- -------- -------- -------
Investment income--net ..................... .408 .862 .590 .425 .503 .769
Net realized and unrealized gain (loss) on
total investments ........................ (.005) .009 (.012) (.002) (.009) .013
-------- ------- -------- -------- -------- -------
Net increase in Accumulation
Unit Value ................................. .403 .871 .578 .423 .494 .782
Accumulation Unit Value
Beginning of year .......................... 15.666 14.795 14.217 13.794 13.300 12.518
-------- ------- -------- -------- -------- --------
End of period .............................. $ 16.069 $ 15.666 $ 14.795 $ 14.217 $ 13.794 $ 13.300
======== ======== ======== ======== ======== ========
Total return .................................. 2.57% 5.88% 4.07% 3.07% 3.71% 6.25%
Ratios to Average Net Assets:
Expenses ................................... 0.15% 0.32% 0.28% 0.27% 0.26% 0.30%
Investment income--net ..................... 2.56% 5.64% 4.03% 3.02% 3.70% 5.95%
Portfolio turnover rate ....................... n/a n/a n/a n/a n/a n/a
Thousands of Accumulation Units
outstanding at end of period ............... 190,807 193,181 183,135 174,073 184,768 207,368
</TABLE>
Selected condensed financial information for an Accumulation Unit of the Bond
Market Account is presented below.
<TABLE>
<CAPTION>
BOND MARKET ACCOUNT
------------------------------------------------------------------------
SIX MONTHS FOR THE YEARS ENDED DECEMBER 31,
ENDED --------------------------------------------------------
JUNE 30, 1996 1995 1994 1993 1992 1991
------------- ---- ---- ---- ---- ----
(UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
Per Accumulation Unit Data:
Investment income..................... $ 1.497 $ 2.863 $ 2.502 $ 2.348 $ 2.287 $ 2.270
Expenses.............................. .061 .123 .108 .103 .093 .096
------- ------- ------- ------- ------- -------
Investment income--net................. 1.436 2.740 2.394 2.245 2.194 2.174
Net realized and unrealized gain (loss)
on total investments................... (2.131) 3.722 (3.897) 1.606 .056 2.247
------- ------- ------- ------- ------- -------
Net increase (decrease) in
Accumulation Unit Value............... (.695) 6.462 (1.503) 3.851 2.250 4.421
Accumulation Unit Value:
Beginning of year..................... 42.689 36.227 37.730 33.879 31.629 27.208
------- ------- ------- ------- ------- -------
End of period......................... $41.994 $42.689 $36.227 $37.730 $33.879 $31.629
======= ======= ======= ======= ======= =======
Total return............................. (1.63%) 17.84% (3.98%) 11.37% 7.12% 16.25%
Ratios to Average Net Assets:
Expenses.............................. 0.14% 0.31% 0.29% 0.28% 0.29% 0.34%
Investment income--net................. 3.42% 6.93% 6.54% 6.18% 6.78% 7.61%
Portfolio turnover rate.................. 83.74% 185.11% 161.46% 139.55% 217.89% 124.62%
Thousands of Accumulation Units
outstanding at end of period.......... 20,954 19,522 14,939 14,698 13,583 10,658
</TABLE>
-10-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)--(CONTINUED)
NOTE 5--CONDENSED FINANCIAL INFORMATION--(CONTINUED)
Selected condensed financial information for an Accumulation Unit of the Social
Choice Account is presented below.
<TABLE>
<CAPTION>
SOCIAL CHOICE ACCOUNT
---------------------------------------------------------------------
SIX MONTHS FOR THE YEARS ENDED DECEMBER 31,
ENDED -----------------------------------------------------
JUNE 30, 1996 1995 1994 1993 1992 1991
------------- ---- ---- ---- ---- ----
(UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
Per Accumulation Unit Data:
Investment income..................... $ 1.003 $ 1.832 $ 1.621 $ 1.452 $ 1.363 $ 1.432
Expenses.............................. .075 .144 .125 .117 .105 .102
------- ------- ------- ------- ------- -------
Investment income--net................. .928 1.688 1.496 1.335 1.258 1.330
Net realized and unrealized gain (loss)
on total investments................... 1.810 9.863 (2.015) 2.082 2.367 5.237
------- ------- ------- ------- ------- -------
Net increase (decrease) in
Accumulation Unit Value............... 2.738 11.551 (.519) 3.417 3.625 6.567
Accumulation Unit Value:
Beginning of year..................... 50.712 39.161 39.680 36.263 32.638 26.071
------- ------- ------- ------- ------- -------
End of period......................... $53.450 $50.712 $39.161 $39.680 $36.263 $32.638
======= ======= ======= ======= ======= =======
Total return............................. 5.40% 29.49% (1.31%) 9.42% 11.11% 25.19%
Ratios to Average Net Assets:
Expenses.............................. 0.14% 0.32% 0.32% 0.31% 0.33% 0.36%
Investment income--net................. 1.80% 3.75% 3.80% 3.52% 3.88% 4.69%
Portfolio turnover rate.................. 29.32% 52.65% 49.06% 39.85% 77.48% 46.41%
Thousands of Accumulation Units
outstanding at end of period.......... 24,271 22,196 18,302 16,790 9,224 4,929
</TABLE>
Selected condensed financial information for an Accumulation Unit of the Global
Equities Account is presented below.
<TABLE>
<CAPTION>
GLOBAL EQUITIES ACCOUNT
-------------------------------------------------------------
APRIL 1, 1992
SIX MONTHS FOR THE YEARS ENDED DECEMBER 31, (DATE ESTABLISHED)
ENDED -------------------------------- TO DECEMBER 31,
JUNE 30, 1996 1995 1994 1993 1992
------------ ---- ---- ---- ----
(UNAUDITED)
<S> <C> <C> <C> <C> <C>
Per Accumulation Unit Data:
Investment income..................... $ .440 $ .727 $ .687 $ .487 $ .569
Expenses.............................. .079 .157 .134 .103 .121
------- ------- ------- ------- -------
Investment income--net................. .361 .570 .553 .384 .448
Net realized and unrealized gain (loss)
on total investments................... 3.545 6.618 (.719) 9.021 1.083
------- ------- ------- ------- -------
Net increase (decrease) in
Accumulation Unit Value............... 3.906 7.188 (.166) 9.405 1.531
Accumulation Unit Value:
Beginning of period................... 42.958 35.770 35.936 26.531 25.000
------- ------- ------- ------- -------
End of period......................... $46.864 $42.958 $35.770 $35.936 $26.531
======= ======= ======= ======= =======
Total return............................. 9.09% 20.09% (0.46%) 35.45% 6.12%
Ratios to Average Net Assets:
Expenses.............................. 0.18% 0.40% 0.41% 0.45% 0.40%
Investment income--net................. 0.82% 1.47% 1.71% 1.67% 1.47%
Portfolio turnover rate.................. 32.73% 67.50% 51.63% 16.75% 12.50%
Thousands of Accumulation Units
outstanding at end of period.......... 76,670 70,163 70,700 36,796 8,277
</TABLE>
-11-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)--(CONTINUED)
NOTE 5--CONDENSED FINANCIAL INFORMATION--(CONTINUED)
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
------------------------------------ ------------------------------------
APRIL 4, 1994 APRIL 4, 1994
SIX MONTHS FOR THE (DATE SIX MONTHS FOR THE (DATE
ENDED YEAR ENDED ESTABLISHED) TO ENDED YEAR ENDED ESTABLISHED) TO
JUNE 30, DECEMBER 31, DECEMBER 31, JUNE 30, DECEMBER 31, DECEMBER 31,
1996 1995 1994 1996 1995 1994
--------- ------------ ------------ --------- ------------ ------------
(UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
Per Accumulation Unit Data:
Investment income..... $ .222 $ .417 $ .398 $ .363 $ .755 $ .552
Expenses.............. .055 .114 .084 .048 .100 .072
------- ------- ------- ------- ------- -------
Investment income--net .167 .303 .314 .315 .655 .480
Net realized and
unrealized
gain on total
investments......... 4.100 8.891 .802 3.045 8.703 .393
------- ------- ------- ------- ------- -------
Net increase in
Accumulation Unit Value 4.267 9.194 1.116 3.360 9.358 .873
Accumulation Unit Value:
Beginning of period... 35.310 26.116 25.000 35.231 25.873 25.000
------- ------- ------- ------- ------- -------
End of period......... $39.577 $35.310 $26.116 $38.591 $35.231 $25.873
======= ======= ======= ======= ======= =======
Total return............. 12.08% 35.20% 4.46% 9.54% 36.17% 3.49%
Ratios to Average
Net Assets:
Expenses.............. 0.18% 0.43% 0.33% 0.15% 0.34% 0.27%
Investment income--net 0.55% 1.13% 1.21% 0.97% 2.22% 1.83%
Portfolio turnover rate.. 15.05% 24.42% 12.29% 2.90% 8.31% 1.33%
Thousands of Accumulation
Units outstanding
at end of period...... 43,451 32,375 10,446 17,193 10,911 2,716
</TABLE>
-12-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)--(CONTINUED)
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
----------------------- ---------------------------- --------------------------
SIX MONTHS SIX MONTHS SIX MONTHS
ENDED YEAR ENDED ENDED YEAR ENDED ENDED YEAR ENDED
JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31,
1996 1995 1996 1995 1996 1995
----------- ------------ ----------- ----------- ----------- ------------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
Accumulation Units:
Credited for premiums ........... 9,861,602 21,164,735 1,585,666 3,036,130 2,151,442 4,283,963
Credited (cancelled) for
transfers, disbursements
and amounts applied to
the Annuity Fund .............. (12,235,711) (11,118,465) (153,706) 1,547,736 (76,426) (390,757)
Outstanding:
Beginning of year.............. 193,181,428 183,135,158 19,522,467 14,938,601 22,195,567 18,302,361
------------ ------------ ------------ ------------ ------------ -----------
End of period.................. 190,807,319 193,181,428 20,954,427 19,522,467 24,270,583 22,195,567
============ ============ ============ ============ ============ ===========
</TABLE>
<TABLE>
<CAPTION>
GLOBAL EQUITIES ACCOUNT GROWTH ACCOUNT EQUITY INDEX ACCOUNT
---------------------------- --------------------------- --------------------------
SIX MONTHS SIX MONTHS SIX MONTHS
ENDED YEAR ENDED ENDED YEAR ENDED ENDED YEAR ENDED
JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31,
1996 1995 1996 1995 1996 1995
----------- ------------ ----------- ----------- ----------- ------------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
Accumulation Units:
Credited for premiums ........... 4,974,549 11,114,439 3,906,261 4,585,987 1,619,285 1,368,448
Credited (cancelled) for
transfers, disbursements
and amounts applied to
the Annuity Fund .............. 1,532,640 (11,651,582) 7,169,532 17,343,718 4,662,883 6,826,684
Outstanding:
Beginning of year ............. 70,162,908 70,700,051 32,375,238 10,445,533 10,910,656 2,715,524
----------- ----------- ----------- ----------- ----------- -----------
End of period ................. 76,670,097 70,162,908 43,451,031 32,375,238 17,192,824 10,910,656
=========== =========== =========== =========== =========== ===========
</TABLE>
-13-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENT OF INVESTMENTS--MONEY MARKET ACCOUNT (UNAUDITED)
JUNE 30, 1996
SUMMARY
VALUE %
----- -----
SHORT TERM INVESTMENTS
BANK NOTES ..................... $ 38,943,658 1.22%
BANKERS ACCEPTANCES ............ 115,243,432 3.62
CERTIFICATES OF DEPOSIT ........ 184,285,829 5.79
COMMERCIAL PAPER ............... 2,085,058,631 65.48
EURO CERTIFICATES OF DEPOSIT ... 49,761,715 1.56
GOVERNMENT AGENCIES ............ 96,638,438 3.03
MEDIUM TERM BONDS .............. 42,260,793 1.33
VARIABLE RATE NOTES ............ 568,904,873 17.87
-------------- -------
TOTAL SHORT TERM INVESTMENTS
(COST $ 3,182,396,205) .......... 3,181,097,369 99.90
-------------- -------
ROUNDING ...................... 67 0.00
-------------- -------
TOTAL PORTFOLIO
(COST $ 3,182,396,205) .......... 3,181,097,436 99.90
OTHER ASSETS & LIABILITIES, NET 3,211,221 0.10
-------------- -------
NET ASSETS ....................... $3,184,308,657 100.00%
============== =======
------------------------------------
PRINCIPAL VALUE
--------- -----
SHORT TERM INVESTMENTS--99.90%
BANK NOTES--1.22%
BANK OF NEW YORK
$10,000,000 5.500%, 03/12/97 ............. $ 9,964,657
FIRST UNION NATIONAL BANK
12,000,000 5.340%, 08/19/96 ............. 11,997,295
NATIONSBANK SOUTH
17,000,000 5.430%, 11/13/96 ............. 16,981,706
------------
38,943,658
------------
BANKERS ACCEPTANCES--3.62%
ABBEY NATIONAL TREASURY SERVICES
25,000,000 5.045%, 03/03/97 ............. 24,839,441
BANK OF BOSTON
4,600,000 5.320%, 07/09/96 ............. 4,594,561
6,900,000 5.370%, 08/09/96 ............. 6,859,859
BANK OF MONTREAL
10,000,000 5.500%, 12/09/96 ............. 9,752,482
CHASE MANHATTAN BANK
7,600,000 4.890%, 07/02/96 ............. 7,598,858
13,100,000 4.870%, 07/15/96 ............. 13,072,652
CHEMICAL BANK
7,000,000 4.880%, 08/02/96 ............. 6,966,510
NATIONAL WESTMINSTER BANK, (U.S.)
4,500,000 4.970%, 07/09/96 ............. 4,494,611
REPUBLIC NATIONAL BANK OF NEW YORK
8,100,000 5.450%, 12/20/96 ............. 7,889,560
30,000,000 5.440%, 12/27/96 ............. 29,174,898
------------
115,243,432
------------
CERTIFICATES OF DEPOSIT--5.79%
ABN AMRO BANK NV
20,000,000 5.150%, 09/04/96 ............. 19,984,700
CANADIAN IMPERIAL BANK OF COMMERCE
12,000,000 5.320%, 08/20/96 ............. 11,997,398
COMMERZBANK
20,000,000 5.660%, 04/24/97 ............. 19,912,429
DEUTSCHE BANK
10,000,000 5.600%, 12/31/96 ............. 9,992,930
DRESDNER BANK
25,000,000 5.500%, 10/21/96 ............. 24,995,477
FIRST ALABAMA BANK
15,000,000 5.520%, 10/17/96 ............. 14,998,287
ROYAL BANK OF CANADA
10,000,000 5.620%, 11/29/96 ............. 9,997,986
SOCIETE GENERALE
23,000,000 5.360%, 07/02/96 ............. 23,000,005
SWISS BANK CORP
15,000,000 5.010%, 08/07/96 ............. 14,991,110
WESTDEUTSCHE LANDESBANK
30,000,000 5.320%, 07/15/96 ............. 29,998,771
4,420,000 5.100%, 08/27/96 ............. 4,416,736
------------
184,285,829
------------
COMMERCIAL PAPER--65.48%
AIR PRODUCTS & CHEMICALS, INC
12,000,000 5.400%, 09/13/96 ............. 11,861,919
AMERICAN BRANDS, INC
25,000,000 5.320%, 07/08/96 ............. 24,974,138
20,000,000 5.290%, 07/10/96 ............. 19,973,549
10,000,000 5.290%, 08/01/96 ............. 9,952,708
AMERICAN EXPRESS CREDIT CORP
3,733,000 4.890%, 08/02/96 ............. 3,714,726
13,000,000 5.000%, 08/27/96 ............. 12,883,858
AMERICAN HOME PRODUCTS CORP
6,500,000 5.300%, 07/08/96 ............. 6,493,301
25,000,000 # 5.320%, 07/08/96 ............. 24,973,510
50,000,000 # 5.330%, 07/09/96 ............. 49,939,564
7,500,000 # 5.340%, 07/29/96 ............. 7,468,850
11,000,000 # 5.370%, 08/02/96 ............. 10,947,493
AMRO NORTH AMERICAN FINANCE, INC
20,000,000 4.870%, 08/09/96 ............. 19,880,420
20,000,000 5.340%, 11/06/96 ............. 19,602,619
ASSET SECURITIZATION
COOPERATIVE CORP
35,000,000 # 5.300%, 07/16/96 ............. 34,919,937
15,000,000 # 5.410%, 08/28/96 ............. 14,865,113
15,000,000 # 5.400%, 09/26/96 ............. 14,797,500
ASSOCIATES CORP OF NORTH AMERICA
13,420,000 5.080%, 07/01/96 ............. 13,420,000
14,930,000 5.380%, 09/09/96 ............. 14,768,254
B.B.V. FINANCE (DELAWARE), INC
26,855,000 5.390%, 09/11/96 ............. 26,555,887
BENEFICIAL CORP
50,000,000 5.290%, 07/10/96 ............. 49,933,874
BETA FINANCE, INC
12,000,000 # 5.330%, 07/15/96 ............. 11,974,522
29,000,000 # 5.280%, 10/23/96 ............. 28,486,361
CANADIAN IMPERIAL HOLDINGS, INC
23,000,000 5.320%, 08/02/96 ............. 22,891,235
CATERPILLAR FINANCIAL
SERVICES CORP
13,925,000 5.320%, 10/18/96 ............. 13,689,109
11,420,000 5.300%, 11/15/96 ............. 11,177,325
CHASE MANHATTAN CORP
15,000,000 4.930%, 08/02/96 ............. 14,926,591
CHUBB CAPITAL CORP
9,975,000 4.880%, 08/09/96 ............. 9,915,372
See notes to financial statements.
-14-
<PAGE>
PRINCIPAL VALUE
--------- -----
COMMERCIAL PAPER--(CONTINUED)
CIESCO LP
$10,700,000 5.320%, 07/12/96 ............. $ 10,682,076
14,000,000 5.300%, 07/12/96 ............. 13,976,545
25,000,000 # 5.270%, 08/07/96 ............. 24,858,676
CIT GROUP HOLDINGS, INC
31,580,000 5.380%, 08/15/96 ............. 31,360,005
COCA-COLA ENTERPRISES, INC
15,000,000 # 5.410%, 08/09/96 ............. 14,912,087
COMMERZBANK (U.S.) FINANCE, INC
15,000,000 5.300%, 08/09/96 ............. 14,910,562
CORPORATE ASSET FUNDING CORP
19,473,000 # 5.350%, 08/14/96 ............. 19,345,668
DILLARD INVESTMENT CO, INC
27,387,000 5.310%, 07/22/96 ............. 27,302,168
16,490,000 5.310%, 07/26/96 ............. 16,429,193
DUPONT (E.I.) DE NEMOURS & CO
25,000,000 # 5.330%, 08/07/96 ............. 24,863,048
8,400,000 5.310%, 08/23/96 ............. 8,331,290
FLEET FINANCIAL GROUP, INC
16,981,000 5.340%, 07/26/96 ............. 16,917,350
FORD MOTOR CREDIT CO
45,000,000 5.330%, 07/05/96 ............. 44,973,350
25,000,000 5.410%, 10/23/96 ............. 24,557,388
GENERAL ELECTRIC CAPITAL CORP
25,000,000 5.000%, 07/26/96 ............. 24,906,096
5,000,000 5.380%, 07/26/96 ............. 4,981,260
24,518,000 5.270%, 08/01/96 ............. 24,402,045
8,185,000 5.360%, 10/02/96 ............. 8,066,517
12,890,000 5.360%, 10/03/96 ............. 12,701,426
20,000,000 5.330%, 07/10/96 ............. 19,973,349
31,095,000 5.410%, 08/21/96 ............. 30,850,470
GENERAL SIGNAL CORP
11,095,000 5.320%, 07/11/96 ............. 11,078,604
7,700,000 5.320%, 07/16/96 ............. 7,682,931
6,362,000 5.320%, 07/18/96 ............. 6,346,017
GOLDMAN SACHS GROUP, LP
30,000,000 5.340%, 07/22/96 ............. 29,906,550
18,584,000 5.330%, 07/26/96 ............. 18,515,213
50,000,000 5.330%, 09/04/96 ............. 49,496,305
GTE CORP
29,500,000 5.420%, 07/29/96 ............. 29,375,641
HEINZ (H.J.) CO
16,000,000 5.330%, 07/19/96 ............. 15,957,359
18,517,000 5.330%, 08/02/96 ............. 18,429,270
HOUSEHOLD FINANCE CORP
9,740,000 5.290%, 07/31/96 ............. 9,695,439
17,665,000 5.280%, 08/21/96 ............. 17,526,083
28,060,000 5.380%, 08/28/96 ............. 27,807,672
HOUSTON LIGHTING & POWER CO
32,100,000 5.310%, 07/03/96 ............. 32,090,530
IBM CREDIT CORP
14,000,000 5.340%, 07/24/96 ............. 13,952,236
JOHN DEERE CAPITAL CORP
36,280,000 5.280%, 09/30/96 ............. 35,765,830
MCCORMICK & CO, INC
15,000,000 4.880%, 10/18/96 ............. 14,745,517
9,000,000 4.950%, 10/25/96 ............. 8,837,650
MCGRAW-HILL, INC
15,000,000 4.880%, 08/09/96 ............. 14,910,316
MCKENNA TRIANGLE NATIONAL CORP
18,415,000 # 5.300%, 07/09/96 ............. 18,392,741
20,000,000 # 5.310%, 07/22/96 ............. 19,938,050
22,000,000 # 5.370%, 08/21/96 ............. 21,826,993
25,000,000 # 5.330%, 09/04/96 ............. 24,748,152
14,270,000 # 5.380%, 09/16/96 ............. 14,099,219
MERRILL LYNCH & CO, INC
5,895,000 5.360%, 07/17/96 ............. 5,880,956
35,000,000 5.350%, 07/23/96 ............. 34,885,569
22,630,000 5.000%, 07/26/96 ............. 22,544,998
25,000,000 5.300%, 09/30/96 ............. 24,645,721
10,000,000 5.300%, 10/16/96 ............. 9,833,666
MORGAN, (J.P.) & CO
5,253,000 5.030%, 08/29/96 ............. 5,204,882
11,000,000 5.000%, 09/06/96 ............. 10,885,630
MORGAN STANLEY GROUP, INC
40,000,000 5.300%, 07/01/96 ............. 40,000,000
26,000,000 5.290%, 07/08/96 ............. 25,973,256
25,000,000 5.060%, 08/02/96 ............. 24,877,727
NATIONAL FUEL GAS CO
10,000,000 5.400%, 08/13/96 ............. 9,935,500
NATIONSBANK CORP
13,000,000 5.340%, 07/08/96 ............. 12,986,225
11,000,000 5.300%, 10/21/96 ............. 10,808,569
NTL RURAL UTILITIES
COOPERATIVE FINANCE
27,990,000 5.270%, 07/16/96 ............. 27,928,538
10,000,000 5.370%, 08/19/96 ............. 9,926,908
NYNEX
17,000,000 5.320%, 07/17/96 ............. 16,958,596
21,083,000 5.380%, 08/09/96 ............. 20,960,121
PHILIP MORRIS COS, INC
23,714,000 5.280%, 07/23/96 ............. 23,634,881
64,690,000 5.280%, 07/26/96 ............. 64,447,434
10,000,000 5.280%, 08/02/96 ............. 9,951,164
PITNEY BOWES
8,500,000 5.400%, 09/10/96 ............. 8,406,627
SAINT PAUL COS
21,400,000 5.320%, 07/10/96 ............. 21,371,537
SEARS ROEBUCK ACCEPTANCE CORP
7,867,000 5.100%, 07/02/96 ............. 7,865,789
64,260,000 5.350%, 07/10/96 ............. 64,174,051
15,000,000 5.300%, 09/09/96 ............. 14,837,429
SOCIETE GENERALE
NORTH AMERICA, INC
20,000,000 4.910%, 07/22/96 ............. 19,936,068
TORONTO DOMINION HOLDINGS (U.S.)
20,000,000 5.040%, 07/09/96 ............. 19,975,825
WALT DISNEY CO
15,000,000 5.280%, 11/25/96 ............. 14,658,150
7,600,000 5.450%, 12/18/96 ............. 7,397,776
3,055,000 5.450%, 12/27/96 ............. 2,968,816
5,140,000 5.450%, 12/30/96 ............. 4,992,582
20,000,000 # 5.220%, 01/13/97 ............. 19,382,247
WHIRLPOOL FINANCE
35,000,000 5.300%, 07/10/96 ............. 34,953,624
15,000,000 5.350%, 07/25/96 ............. 14,946,499
XEROX CREDIT CORP
25,000,000 5.380%, 09/11/96 ............. 24,721,534
7,000,000 5.300%, 01/10/97 ............. 6,787,114
-------------
2,085,058,631
-------------
EURO CERTIFICATES OF DEPOSIT--1.56%
ABBEY NATIONAL TREASURY SERVICES
25,000,000 5.500%, 03/11/97 ............. 24,913,415
MORGAN GUARANTY TRUST CO
25,000,000 5.080%, 02/28/97 ............. 24,848,300
-----------
49,761,715
-----------
See notes to financial statements.
-15-
<PAGE>
PRINCIPAL VALUE
--------- -----
GOVERNMENT AGENCIES--3.03%
FEDERAL FARM CREDIT BANKS
$25,000,000 4.960%, 07/01/96 ............. $25,000,000
FEDERAL HOME LOAN BANKS
6,925,000 4.930%, 07/24/96 ............. 6,901,700
820,000 4.910%, 08/01/96 ............. 816,270
50,000,000 5.100%, 09/06/96 ............. 49,498,886
FEDERAL NATIONAL MORTGAGE
ASSOCIATION
14,460,000 5.020%, 07/19/96 ............. 14,421,582
-----------
96,638,438
-----------
MEDIUM TERM BONDS--1.33%
ABBEY NATIONAL TREASURY SERVICES
5,000,000 5.045%, 03/03/97 ............. 4,967,189
GENERAL ELECTRIC CAPITAL CORP
20,000,000 5.200%, 01/17/97 ............. 19,921,993
MORGAN STANLEY GROUP, INC
8,150,000 7.790%, 02/03/97 ............. 8,243,684
PITNEY BOWES CREDIT CORP
9,150,000 5.625%, 02/15/97 ............. 9,127,927
-----------
42,260,793
-----------
VARIABLE RATE NOTES--17.87%
AMERICAN EXPRESS CENTURION BANK
25,000,000 5.454%, 10/15/96 ............. 25,000,000
5,000,000 5.390%, 10/18/96 ............. 5,000,000
10,000,000 5.395%, 10/23/96 ............. 10,000,000
15,000,000 5.407%, 11/07/96 ............. 15,000,000
20,000,000 5.390%, 11/08/96 ............. 20,000,000
15,000,000 5.410%, 11/14/96 ............. 15,000,000
BANC ONE, DAYTON, N.A.
15,000,000 5.330%, 01/27/97 ............. 14,980,500
BANC ONE, MILWAUKEE, N.A.
25,000,000 5.330%, 09/05/96 ............. 25,000,000
BANK OF BOSTON
8,000,000 5.370%, 11/13/96 ............. 8,000,000
BENEFICIAL CORP
25,000,000 5.404%, 12/02/96 ............. 24,994,666
25,000,000 5.461%, 03/05/97 ............. 24,977,500
BETA FINANCE, INC
25,000,000 # 5.456%, 05/15/97 ............. 25,000,000
BOATMANS BANK KANSAS CITY
30,000,000 5.446%, 07/15/96 ............. 30,000,000
CORESTATES BANK NA/PHILADELPHIA
NATIONAL BANK
33,000,000 5.380%, 12/27/96 ............. 33,000,000
FCC NATIONAL BANK
25,000,000 5.360%, 01/27/97 ............. 24,965,000
FIRST UNION NATIONAL BANK,
CHARLOTTE
30,000,000 5.220%, 09/16/96 ............. 30,000,000
FORD MOTOR CREDIT CO
10,000,000 5.326%, 02/03/97 ............. 10,004,666
GENERAL MOTORS ACCEPTANCE CORP
40,000,000 5.670%, 11/15/96 ............. 40,000,000
HOUSEHOLD FINANCE CORP
25,000,000 5.472%, 05/23/97 ............. 24,993,375
HUNTINGTON NATIONAL BANK
25,000,000 5.345%, 12/02/96 ............. 25,000,000
PNC BANK, N.A.
25,000,000 5.320%, 10/04/96 ............. 25,000,000
SEARS ROEBUCK ACCEPTANCE CORP
12,000,000 5.464%, 03/25/97 ............. 12,000,000
SOCIETY NATIONAL BANK, CLEVELAND
25,000,000 5.385%, 02/14/97 ............. 25,000,000
SOUTHTRUST BANK OF ALABAMA
25,000,000 5.414%, 01/08/97 ............. 25,000,000
25,000,000 5.440%, 05/22/97 ............. 24,989,166
XEROX CREDIT CORP
7,000,000 5.575%, 08/09/96 ............. 7,000,000
19,000,000 5.470%, 03/10/97 ............. 19,000,000
--------------
568,904,873
--------------
TOTAL SHORT TERM INVESTMENTS
(COST $3,182,396,205) ....... 3,181,097,369
--------------
ROUNDING................. 67
--------------
TOTAL PORTFOLIO
(COST $3,182,396,205) ....... $3,181,097,436
==============
- ----------------
# RESTRICTED
See notes to financial statements.
-16-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENT OF INVESTMENTS--BOND MARKET ACCOUNT (UNAUDITED)
JUNE 30, 1996
SUMMARY
VALUE %
----- -----
BONDS
CORPORATE BONDS
AIR TRANSPORTATION ............. $ 9,299,778 1.05%
AUTOMOTIVE & RELATED ........... 4,976,050 0.56
BANKS .......................... 35,030,175 3.97
BROADCASTERS ................... 1,989,420 0.22
CHEMICALS--MAJOR ............... 3,225,780 0.37
FINANCIAL--MISCELLANEOUS ....... 20,665,729 2.34
FOODS .......................... 2,004,500 0.23
HEALTHCARE--HOSPITAL SUPPLY .... 4,978,200 0.56
INSURANCE--MULTI-LINE,
PROPERTY & CASUALTY .......... 5,436,900 0.62
METALS--STEEL .................. 2,786,040 0.32
PAPER .......................... 5,922,060 0.67
PETROLEUM -
EXPLORATION & PRODUCTION ...... 7,812,649 0.88
TOBACCO ........................ 2,555,450 0.29
UTILITIES--ELECTRIC ............ 13,160,030 1.49
UTILITIES--GAS & PIPELINE ...... 14,272,572 1.62
UTILITIES--TELEPHONE ........... 6,949,450 0.79
------------ ------
TOTAL CORPORATE BONDS
(COST $ 143,102,724) ........... 141,064,783 15.98
------------ ------
GOVERNMENT BONDS
AGENCY SECURITIES ............. 11,850,138 1.34
FOREIGN GOVERNMENT BONDS ...... 9,445,380 1.07
MORTGAGE BACKED SECURITIES .... 255,584,803 28.95
U.S. GOVERNMENT BONDS ......... 3,006,562 0.34
U.S. TREASURY SECURITIES ...... 443,119,620 50.19
------------ ------
TOTAL GOVERNMENT BONDS
(COST $ 728,749,886) ........... 723,006,503 81.89
------------ ------
TOTAL BONDS
(COST $ 871,852,610) ............ 864,071,286 97.87
------------ ------
SHORT TERM INVESTMENTS
COMMERCIAL PAPER ................ 9,143,365 1.04
------------ ------
TOTAL SHORT TERM INVESTMENTS
(COST $ 9,145,022) .............. 9,143,365 1.04
------------ ------
ROUNDING ...................... 52 0.00
------------ ------
TOTAL PORTFOLIO
(COST $ 880,997,632) ............ 873,214,703 98.91
OTHER ASSETS & LIABILITIES, NET 9,647,316 1.09
------------ ------
NET ASSETS ....................... $882,862,019 100.00%
============ ======
-----------------------------------------
PRINCIPAL VALUE
--------- -----
BONDS--97.87%
CORPORATE BONDS--15.98%
AIR TRANSPORTATION--1.05%
DELTA AIRLINES, INC NOTE
$5,100,000 9.875%, 01/01/98 ............. $ 5,330,418
FEDERAL EXPRESS CORP NOTE
4,000,000 6.250%, 04/15/98 ............. 3,969,360
------------
9,299,778
------------
AUTOMOTIVE & RELATED--0.56%
FORD MOTOR CREDIT CO NOTE
5,000,000 6.850%, 08/15/00 ............. 4,976,050
------------
BANKS--3.97%
ABBEY NATIONAL PLC
(SUBORDINATED NOTE)
3,000,000 6.690%, 10/17/05 ............. 2,885,100
ASSOCIATES CORP (SR NOTE)
3,000,000 6.250%, 09/15/00 ............. 2,935,260
CAPITAL ONE BANK NOTE
5,000,000 8.125%, 02/27/98 ............. 5,111,600
CHASE MANHATTAN CORP (NEW)
(SUBORDINATED NOTE)
5,000,000 8.800%, 02/01/00 ............. 5,075,350
CHASE MANHATTAN CREDIT CARD
MASTER TRUST SERIES 1996-4
(ASSET BACKED CERT)
5,000,000 6.730%, 02/15/02 ............. 5,029,650
FIRST CHICAGO MASTER
TRUST II SERIES
1992-E (ASSET BACKED CERT)
2,000,000 6.250%, 08/15/99 ............. 1,998,740
HOUSEHOLD INTERNATIONAL
NETHERLANDS (SR NOTE)
3,000,000 6.125%, 03/01/03 ............. 2,847,840
KOREA BANK DEVELOPMENT (SR NOTE)
4,000,000 7.250%, 05/15/06 ............. 3,940,120
NATIONSBANK AUTO GRANTOR TRUST
SERIES 1995-A (ASSET BACKED CERT)
2,242,394 5.850%, 06/15/02 ............. 2,235,675
NORWEST CORP (MEDIUM TERM SR NOTE)
3,000,000 6.250%, 04/15/99 ............. 2,970,840
------------
35,030,175
------------
BROADCASTERS--0.22%
BLOCKBUSTER ENTERTAINMENT CORP
(SR NOTE)
2,000,000 6.625%, 02/15/98 1,989,420
------------
See notes to financial statements.
-17-
<PAGE>
PRINCIPAL VALUE
- --------- -----
CHEMICALS--MAJOR--0.37%
METHANEX CORP (SR SECURED NOTE)
$3,000,000 8.875%, 11/15/01 ............. $ 3,225,780
------------
FINANCIAL--MISCELLANEOUS--2.34%
AMERICAN EXPRESS MASTER TRUST
SERIES 1992-1
(ACCTS REC TRUST CERT)
3,000,000 6.050%, 06/15/98 ............. 2,997,180
CHEVY CHASE MASTER CREDIT CARD
TRUST SERIES 1994-1
(ASSET BACKED CERT)
3,000,000 7.150%, 05/15/15 ............. 2,993,437
CITICORP MORTGAGE SECURITIES, INC
SERIES 88-6 (CLASS A-3)
849,236 7.250%, 11/01/11 ............. 838,620
LEHMAN BROTHERS HOLDINGS
(MEDIUM TERM NOTE)
5,000,000 7.850%, 05/11/98 ............. 5,105,700
RESIDENTIAL ASSET SECURITIZATION
TRUST SERIES 1996-A1 (CLASS A-3)
5,250,000 6.150%, 03/25/26 ............. 5,057,832
SUN AMERICA, INC NOTE
3,500,000 9.000%, 01/15/99 ............. 3,672,960
------------
20,665,729
------------
FOODS--0.23%
GRAND METROPOLITAN INVESTMENT CORP
(GUARANTEED NOTE)
2,000,000 8.125%, 08/15/96 ............. 2,004,500
------------
HEALTHCARE--HOSPITAL SUPPLY--0.56%
COLUMBIA HCA NOTE
5,000,000 6.500%, 03/15/99 ............. 4,978,200
------------
INSURANCE--MULTI-LINE,
PROPERTY & CASUALTY--0.62%
AMERICAN REINSURANCE CORP
(SUBORDINATED DEB)
5,000,000 10.875%, 09/15/04 ............ 5,436,900
------------
METALS--STEEL--0.32%
COMINCO LTD (MEDIUM TERM NOTE)
3,000,000 6.875%, 02/15/06 ............. 2,786,040
------------
PAPER--0.67%
CHAMPION INTERNATIONAL CORP NOTE
3,000,000 7.700%, 12/15/99 ............. 3,061,950
SMURFIT CAPITAL FUNDING PLC
(GUARANTEED NOTE)
3,000,000 6.750%, 11/20/05 ............. 2,860,110
------------
5,922,060
------------
PETROLEUM--
EXPLORATION & PRODUCTION--0.88%
PHILIPS PETROLEUM CO NOTE
7,500,000 9.500%, 11/15/97 ............. 7,812,649
------------
TOBACCO--0.29%
PHILIP MORRIS COS, INC NOTE
2,500,000 8.750%, 06/15/97 ............. 2,555,450
------------
UTILITIES--ELECTRIC--1.49%
COMMONWEALTH EDISON CO NOTE
3,000,000 6.500%, 07/15/97 ............. 2,994,480
HYDRO-QUEBEC DEB
5,000,000 10.700%, 10/15/07 ............ 5,278,900
PHILADELPHIA ELECTRIC CO
(FIRST & REFUNDING BOND)
5,000,000 5.375%, 08/15/98 ............. 4,886,650
------------
13,160,030
------------
UTILITIES--GAS & PIPELINE--1.62%
BURLINGTON RES, INC NOTE
3,250,000 7.150%, 05/01/99 ............. 3,285,522
EL PASO ELECTRIC CO
(FIRST MTGE BOND)
1,000,000 7.250%, 02/01/99 ............. 984,600
PETRO-CANADA
5,000,000 7.875%, 06/15/26 ............. 5,056,600
PETROLIAM NASIONAL BERHAD NOTE
5,000,000 7.125%, 08/15/05 ............. 4,945,850
------------
14,272,572
------------
UTILITIES--TELEPHONE--0.79%
CINCINNATI BELL, INC NOTE
2,000,000 6.700%, 12/15/97 ............. 2,004,000
TELEKOM MALAYSIA BERHAD NOTE
5,000,000 7.125%, 08/01/05 ............. 4,945,450
------------
6,949,450
------------
TOTAL CORPORATE BONDS
(COST $143,102,724) ............. 141,064,783
------------
See notes to financial statements.
-18-
<PAGE>
PRINCIPAL VALUE
- --------- -----
GOVERNMENT BONDS--81.89%
AGENCY SECURITIES--1.34%
FEDERAL NATIONAL
MORTGAGE ASSOCIATION (FNMA)
$ 3,800,000 7.000%, 10/29/01 ............. $ 3,791,678
3,000,000 8.250%, 12/18/00 ............. 3,207,660
5,000,000 6.850%, 09/12/05 ............. 4,850,800
------------
11,850,138
------------
FOREIGN GOVERNMENT BONDS--1.07%
PROVINCE OF NOVIA SCOTIA NOTE
3,000,000 8.750%, 04/01/22 ............. 3,339,150
PROVINCE OF ONTARIO NOTE
3,000,000 6.125%, 06/28/00 ............. 2,951,970
REPUBLIC OF FINDLAND NOTE
3,000,000 7.875%, 07/28/04 ............. 3,154,260
------------
9,445,380
------------
MORTGAGE BACKED SECURITIES--28.95%
FEDERAL HOME LOAN
MORTGAGE CORP (FHLMC)
4,742,512 5.500%, 09/01/00 ............. 4,570,595
984,768 7.000%, 09/01/10 ............. 972,970
2,021,005 7.000%, 03/01/11 ............. 1,993,842
7,089,446 6.000%, 04/01/11 ............. 6,708,388
491,610 8.000%, 03/01/23 ............. 497,293
677,327 8.000%, 04/01/23 ............. 685,895
3,666,536 7.000%, 05/01/23 ............. 3,546,200
1,033,998 8.000%, 07/01/24 ............. 1,044,007
1,214,026 8.000%, 10/01/24 ............. 1,225,777
626,673 8.000%, 01/01/25 ............. 632,739
1,947,990 8.000%, 06/01/25 ............. 1,964,410
1,098,574 8.000%, 11/01/25 ............. 1,109,208
4,840,453 6.500%, 12/01/25 ............. 4,533,374
10,048,424 7.500%, 12/01/25 ............. 9,922,818
986,701 8.000%, 12/01/25 ............. 995,018
10,120,028 7.000%, 01/01/26 ............. 9,743,664
1,016,313 8.000%, 01/01/26 ............. 1,024,880
5,086,580 6.500%, 04/01/26 ............. 4,763,887
2,028,848 8.000%, 04/01/26 ............. 2,045,950
FEDERAL NATIONAL
MORTGAGE ASSOCIATION (FNMA)
4,450,093 7.500%, 08/01/01 ............. 4,494,593
4,872,863 6.000%, 12/01/02 ............. 4,694,662
4,726,980 7.000%, 04/01/09 ............. 4,683,113
18,132,301 6.500%, 05/01/09 ............. 17,673,191
4,306,056 7.500%, 11/01/10 ............. 4,324,873
2,002,924 7.000%, 05/01/11 ............. 1,976,004
4,648,020 8.000%, 06/01/11 ............. 4,740,980
2,018,612 6.500%, 02/01/16 ............. 1,918,811
1,003,459 6.500%, 03/01/16 ............. 953,847
2,026,570 6.500%, 04/01/16 ............. 1,928,402
5,000,000 7.410%, 03/25/21 ............. 5,007,812
1,329,279 9.000%, 02/01/25 ............. 1,387,009
2,136,427 9.000%, 03/01/25 ............. 2,229,211
4,223,340 8.500%, 05/01/25 ............. 4,334,202
5,934,051 8.000%, 06/01/25 ............. 5,978,556
908,243 8.000%, 07/01/25 ............. 915,054
12,599,889 7.000%, 08/01/25 ............. 12,119,455
5,881,452 8.500%, 08/01/25 ............. 6,035,840
1,950,655 6.500%, 09/01/25 ............. 1,824,466
954,544 7.000%, 10/01/25 ............. 918,147
2,868,183 7.000%, 11/01/25 ............. 2,758,818
7,776,219 6.500%, 12/01/25 ............. 7,273,174
965,705 7.000%, 12/01/25 ............. 928,882
3,651,332 8.000%, 12/01/25 ............. 3,678,716
801,921 8.000%, 01/01/26 ............. 807,935
GOVERNMENT NATIONAL
MORTGAGE ASSOCIATION (GNMA)
821,042 8.500%, 10/15/09 ............. 853,366
5,665,741 9.000%, 12/15/09 ............. 5,911,804
1,515,768 8.500%, 12/15/09 ............. 1,575,443
1,495,745 8.500%, 01/15/10 ............. 1,555,311
301,309 9.000%, 06/15/16 ............. 318,727
322,891 9.000%, 08/15/16 ............. 341,557
905,686 9.000%, 09/15/16 ............. 957,924
288,163 9.000%, 10/15/16 ............. 304,579
275,198 9.000%, 11/15/16 ............. 291,107
809,815 9.000%, 12/15/16 ............. 856,213
3,449,691 9.500%, 12/15/16 ............. 3,713,764
290,525 9.000%, 07/15/17 ............. 307,613
286,426 9.000%, 06/15/20 ............. 301,910
7,268,793 6.500%, 09/15/23 ............. 6,814,493
4,807,059 6.500%, 01/15/24 ............. 4,502,147
19,158,131 7.000%, 02/15/24 ............. 18,463,648
2,752,474 6.500%, 03/15/24 ............. 2,577,884
4,388,605 8.000%, 06/15/24 ............. 4,432,491
5,699,885 6.500%, 09/15/24 ............. 5,338,341
654,610 8.500%, 11/15/24 ............. 673,017
6,676,752 9.000%, 01/15/25 ............. 6,987,619
710,419 8.500%, 04/15/25 ............. 730,395
248,445 8.500%, 05/15/25 ............. 255,431
1,828,142 8.000%, 06/15/25 ............. 1,844,138
5,596,027 8.500%, 06/15/25 ............. 5,753,384
2,810,729 8.000%, 08/15/25 ............. 2,835,322
1,948,844 7.000%, 12/15/25 ............. 1,868,454
12,775,817 7.500%, 12/15/25 ............. 12,592,100
RESOLUTION TRUST CORP SERIES 1992-8
(CLASS A-2) (MTGE PASS-THROUGH CERT)
1,060,396 8.250%, 12/25/26 1,059,953
------------
255,584,803
------------
See notes to financial statements.
-19-
<PAGE>
PRINCIPAL VALUE
- --------- -----
U.S. GOVERNMENT BONDS--0.34%
NEW YORK CITY TAX LIEN
(COLLECTIBLE BOND)
$ 3,000,000 6.810%, 05/25/05 ............ $ 3,006,562
-------------
U.S. TREASURY SECURITIES--50.19%
U.S. TREASURY BONDS
41,000,000 7.250%, 05/15/16 ............ 41,961,040
21,000,000 8.000%, 11/15/21 ............ 23,352,630
44,500,000 7.125%, 02/15/23 ............ 44,979,710
U.S. TREASURY NOTES
25,000,000 8.875%, 11/15/97 ............ 25,933,500
21,000,000 6.125%, 05/15/98 ............ 21,000,000
31,000,000 8.250%, 07/15/98 ............ 32,225,430
31,500,000 8.875%, 02/15/99 ............ 33,463,710
31,000,000 7.750%, 11/30/99 ............ 32,278,750
13,000,000 7.750%, 01/31/00 ............ 13,550,420
34,000,000 8.750%, 08/15/00 ............ 36,820,980
40,000,000 7.875%, 08/15/01 ............ 42,374,800
25,000,000 5.750%, 08/15/03 ............ 23,808,500
24,000,000 7.250%, 05/15/04 ............ 24,866,160
42,000,000 6.500%, 05/15/05 ............ 41,448,540
5,000,000 6.875%, 05/15/06 ............ 5,055,450
------------
443,119,620
------------
TOTAL GOVERNMENT BONDS
(COST $728,749,886) ......... 723,006,503
------------
TOTAL BONDS
(COST $871,852,610) .......... 864,071,286
------------
SHORT TERM INVESTMENTS--1.04%
COMMERCIAL PAPER--1.04%
CAMPBELL SOUP CO
3,750,000 5.310%, 07/10/96 3,744,193
UBS FINANCE, INC
5,400,000 5.580%, 07/01/96 5,399,172
------------
9,143,365
------------
TOTAL SHORT TERM INVESTMENTS
(COST $9,145,022) ...... 9,143,365
------------
ROUNDING 52
------------
TOTAL PORTFOLIO
(COST $880,997,632) .... $873,214,703
============
See notes to financial statements.
-20-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENT OF INVESTMENTS--SOCIAL CHOICE ACCOUNT (UNAUDITED)
JUNE 30, 1996
SUMMARY
VALUE %
----- -----
BONDS
CORPORATE BONDS
AIR TRANSPORTATION ............... $ 2,704,465 0.20%
BANKS ............................ 14,404,664 1.07
BROADCASTERS ..................... 10,081,993 0.75
BUSINESS SERVICES ................ 1,057,590 0.08
FINANCIAL--MISCELLANEOUS ......... 18,571,240 1.38
FOODS ............................ 1,812,840 0.13
HEALTHCARE--DRUGS ................ 3,240,300 0.24
HEALTHCARE--HOSPITAL SUPPLY ...... 2,977,800 0.22
INSURANCE--MULTI-LINE,
PROPERTY & CASUALTY ............ 1,487,925 0.11
PUBLISHING--OTHER ................ 3,032,490 0.22
RETAIL--FOOD ..................... 2,130,000 0.16
RETAIL--GENERAL MERCHANDISE ...... 14,096,679 1.04
UTILITIES--ELECTRIC .............. 12,413,490 0.92
UTILITIES--TELEPHONE ............. 9,628,545 0.71
------------ -----
TOTAL CORPORATE BONDS
(COST $ 99,225,337) ............. 97,640,021 7.23
------------ -----
GOVERNMENT BONDS
AGENCY SECURITIES ................ 14,414,090 1.07
MORTGAGE BACKED SECURITIES ....... 148,205,024 10.98
U.S. TREASURY SECURITIES ......... 241,935,740 17.93
------------ -----
TOTAL GOVERNMENT BONDS
(COST $ 408,651,217) ............ 404,554,854 29.98
------------ -----
TOTAL BONDS
(COST $ 507,876,554) ............ 502,194,875 37.21
------------ -----
PREFERRED STOCK
BUSINESS SERVICES ................ 651,984 0.05
------------ -----
TOTAL PREFERRED STOCK
(COST $ 642,396) ................ 651,984 0.05
------------ -----
COMMON STOCK
AIR TRANSPORTATION ............... 9,952,631 0.74
AUTOMOTIVE & RELATED ............. 12,343,624 0.91
BANKS ............................ 66,239,899 4.91
BEVERAGES ........................ 34,289,700 2.54
BROADCASTERS ..................... 5,669,173 0.42
BUSINESS SERVICES ................ 2,238,840 0.17
CHEMICALS--MAJOR ................. 10,609,600 0.79
CHEMICALS--SPECIALTY ............. 14,609,204 1.08
COMMUNICATION EQUIPMENT & SERVICES 8,786,766 0.65
COMPUTER SERVICE ................. 24,111,132 1.79
CONGLOMERATES .................... 17,676,950 1.31
COSMETICS ........................ 13,648,450 1.01
ELECTRICAL EQUIPMENT ............. 2,798,125 0.21
ELECTRICAL EQUIPMENT--
COMPONENTS DIVERSIFIED ......... 19,007,232 1.41
ELECTRICAL EQUIPMENT--INSTRUMENTS 1,329,800 0.10
FINANCIAL--MISCELLANEOUS ......... 38,158,564 2.83
FOODS ............................ 38,939,668 2.88
HEALTHCARE--DRUGS ................ 44,388,831 3.29
HEALTHCARE--HOSPITAL SUPPLY ...... 25,535,100 1.89
HEALTHCARE--OTHER ................ 5,282,587 0.39
HEALTHCARE--SERVICE .............. 8,029,084 0.59
HOUSEHOLD--DURABLE GOODS ......... 5,149,100 0.38
HOUSEHOLD--PRODUCTS .............. 30,659,637 2.27
INSURANCE--MULTI-LINE,
PROPERTY & CASUALTY ............ 35,237,292 2.61
LEISURE TIME ..................... 16,292,332 1.21
MACHINERY ........................ 13,076,943 0.97
METALS--ALUMINIUM ................ 2,679,075 0.20
METALS--GOLD ..................... 3,950,762 0.29
METALS--STEEL .................... 8,319,898 0.62
OFFICE EQUIPMENT ................. 40,478,862 3.00
PAPER ............................ 14,314,525 1.06
PETROLEUM--
EXPLORATION & PRODUCTION ....... 20,954,248 1.55
PETROLEUM--SERVICE ............... 22,561,564 1.67
PROPERTY--REAL ESTATE ............ 4,611,250 0.34
PUBLISHING--NEWSPAPER ............ 12,203,060 0.90
PUBLISHING--OTHER ................ 13,692,494 1.01
RAILROAD ......................... 11,898,900 0.88
RESTAURANTS & HOTELS ............. 13,727,775 1.02
RETAIL--FOOD ..................... 5,344,762 0.40
RETAIL--GENERAL MERCHANDISE ...... 28,854,867 2.14
TEXTILE & APPAREL ................ 6,773,725 0.50
TRUCKERS & SHIPPING .............. 2,793,037 0.21
UTILITIES--ELECTRIC .............. 22,985,499 1.70
UTILITIES--GAS & PIPELINE ........ 23,862,499 1.77
UTILITIES--TELEPHONE ............. 66,775,446 4.95
-------------- ------
TOTAL COMMON STOCK
(COST $ 579,701,447) ............ 830,842,512 61.56
-------------- ------
SHORT TERM INVESTMENTS
COMMERCIAL PAPER ................ 8,098,767 0.60
-------------- ------
TOTAL SHORT TERM INVESTMENTS
(COST $ 8,100,000) .............. 8,098,767 0.60
-------------- ------
ROUNDING ...................... 78 0.00
-------------- ------
TOTAL PORTFOLIO
(COST $ 1,096,320,397) .......... 1,341,788,216 99.42
-------------- ------
OTHER ASSETS & LIABILITIES, NET 7,855,642 0.58
-------------- ------
NET ASSETS ......................... $1,349,643,858 100.00%
============== ======
See notes to financial statements.
-21-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENT OF INVESTMENTS--SOCIAL CHOICE ACCOUNT (UNAUDITED)
JUNE 30, 1996
PRINCIPAL VALUE
--------- -----
BONDS--37.21%
CORPORATE BONDS--7.23%
AIR TRANSPORTATION--0.20%
DELTA AIRLINES, INC SERIES 1992-B1
(PASS-THRU CERT)
$2,598,499 8.270%, 09/23/07 ............. $ 2,704,465
-----------
BANKS--1.07%
BANKAMERICA CORP
(SUBORDINATED NOTE)
2,000,000 9.750%, 07/01/00 ............. 2,175,900
BARNETT BANK, INC
(MEDIUM TERM SR NOTE)
4,000,000 6.250%, 07/28/98 ............. 3,985,000
FIRST CHICAGO MASTER TRUST II
SERIES 1992-E (ASSET BACKED CERT)
4,000,000 6.250%, 08/15/99 ............. 3,997,480
FLEET MORTGAGE GROUP, INC NOTE
1,200,000 6.500%, 09/15/99 ............. 1,193,484
FLEET FINANCIAL GROUP, INC NOTE
3,000,000 7.625%, 12/01/99 ............. 3,052,800
-----------
14,404,664
-----------
BROADCASTERS--0.75%
BLOCKBUSTER ENTERTAINMENT CORP
(SR NOTE)
3,000,000 6.625%, 02/15/98 ............. 2,984,130
CAPITAL CITY ABC, INC NOTE
3,000,000 8.875%, 12/15/00 ............. 3,229,860
COX COMMUNICIATIONS, INC (NEW)
(CLASS A) NOTE
3,500,000 8.700%, 06/15/99 ............. 3,680,428
VIACOM INTERNATIONAL, INC
(SUBORDINATED DEB)
205,000 8.000%, 07/07/06 ............. 187,575
-----------
10,081,993
-----------
BUSINESS SERVICES--0.08%
DELUXE CORP NOTE
1,000,000 8.550%, 02/15/01 ............. 1,057,590
-----------
FINANCIAL--MISCELLANEOUS--1.38%
AMERICAN EXPRESS CREDIT CORP NOTE
2,000,000 6.125%, 11/15/01 ............. 1,933,940
ARISTAR, INC SR NOTE
1,000,000 7.750%, 06/15/01 ............. 1,028,510
DISCOVER CARD TRUST SERIES 1993-B
(PASS-THRU CERT)
3,000,000 6.750%, 02/15/00 ............. 2,992,500
HOUSEHOLD INTERNATIONAL
NETHERLANDS BV SR NOTE
4,000,000 5.250%, 10/15/98 ............. 3,875,560
MORGAN STANLY GROUP (SR NOTE)
4,000,000 5.750%, 02/15/01 ............. 3,807,480
TRAVELLERS, INC NOTE
5,000,000 5.750%, 04/15/98 ............. 4,933,250
-----------
18,571,240
-----------
FOODS--0.13%
CAMPBELL SOUP CO NOTE
2,000,000 5.625%, 09/15/03 ............. 1,812,840
-----------
HEALTHCARE--DRUGS--0.24%
LYONDELL PETROCHEMICAL CO NOTE
3,000,000 10.000%, 06/01/99 ............ 3,240,300
-----------
HEALTHCARE--HOSPITAL SUPPLY--0.22%
COLUMBIA HCA NOTE
3,000,000 7.250%, 05/20/08 ............. 2,977,800
-----------
INSURANCE--MULTI-LINE,
PROPERTY & CASUALTY--0.11%
CHUBB CAPITAL CORP NOTE
1,500,000 6.875%, 02/01/03 ............. 1,487,925
-----------
PUBLISHING--OTHER--0.22%
TIME WARNER NOTE
3,000,000 7.450%, 02/01/98 ............. 3,032,490
-----------
RETAIL--FOOD--0.16%
KROGER CO (SR SUBORDINATED NOTE)
2,000,000 10.000%, 05/01/99 ............ 2,130,000
-----------
RETAIL--GENERAL MERCHANDISE--1.04%
DILLIARD DEPARTMENT
STORES, INC NOTE
2,000,000 7.150%, 09/01/02 ............. 2,006,000
MAY DEPARTMENT STORES CO NOTE
3,000,000 7.150%, 08/15/04 ............. 2,962,020
SEARS ROEBUCK & CO NOTE
1,100,000 9.250%, 04/15/98 ............. 1,150,919
SEARS ROEBUCK & CO
(MEDIUM TERM NOTE)
4,000,000 7.250%, 08/05/97 ............. 4,051,400
WAL-MART STORES, INC NOTE
2,000,000 6.125%, 10/01/99 ............. 1,960,100
WAL-MART STORES, INC DEB
2,000,000 7.250%, 06/01/13 ............. 1,966,240
-----------
14,096,679
-----------
UTILITIES--ELECTRIC--0.92%
IDAHO POWER CO (FIRST MTGE BOND)
1,000,000 8.650%, 01/01/00 ............. 1,046,820
PUGET SOUND POWER & LIGHT CO
(MEDIUM TERM NOTE)
6,000,000 7.875%, 10/01/97 ............. 6,119,820
PUGET SOUND POWER & LIGHT CO
(MEDIUM TERM NOTE)
5,000,000 8.060%, 06/19/06 ............. 5,246,850
-----------
12,413,490
-----------
UTILITIES--TELEPHONE--0.71%
NEW YORK TELEPHONE CO DEB
3,000,000 7.250%, 02/15/24 ............. 2,805,360
PACIFIC NORTHWEST BELL
TELEPHONE CO NOTE
1,500,000 7.500%, 12/01/96 ............. 1,508,910
SOUTHWESTERN BELL
TELEPHONE CO NOTE
3,000,000 6.250%, 10/15/02 ............. 2,906,550
U.S. WEST COMMUNICATIONS, INC NOTE
2,500,000 6.625%, 09/15/05 ............. 2,407,725
-----------
9,628,545
-----------
TOTAL CORPORATE BONDS
(COST $99,225,337) ..... ......... 97,640,021
-----------
See notes to financial statements.
-22-
<PAGE>
PRINCIPAL VALUE
--------- -----
GOVERNMENT BONDS--29.98%
AGENCY SECURITIES--1.07%
FEDERAL NATIONAL
MORTGAGE ASSOCIATION (FNMA)
$3,000,000 6.670%, 09/05/00 ............. $ 2,980,770
2,000,000 6.375%, 10/13/00 ............. 1,972,500
1,000,000 8.250%, 12/18/00 ............. 1,069,220
8,000,000 5.800%, 02/22/06 ............. 7,361,600
1,000,000 7.400%, 07/01/04 ............. 1,030,000
-----------
14,414,090
-----------
MORTGAGE BACKED SECURITIES--10.98%
FEDERAL HOME LOAN
MORTGAGE CORP (FHLMC)
2,045,000 6.000%, 10/15/10 ............. 2,018,399
6,077,286 7.000%, 04/01/11 ............. 5,995,607
737,225 8.000%, 12/01/22 ............. 746,204
429,917 8.000%, 01/01/23 ............. 435,153
1,467,481 7.000%, 05/01/23 ............. 1,419,318
948,963 8.000%, 05/01/23 ............. 959,040
2,893,415 7.000%, 12/01/25 ............. 2,785,807
6,110,650 7.500%, 04/01/26 ............. 6,034,266
5,086,580 6.500%, 04/01/26 ............. 4,763,887
FEDERAL NATIONAL
MORTGAGE ASSOCIATION (FNMA)
4,450,093 7.500%, 08/01/01 ............. 4,494,593
4,872,863 6.000%, 12/01/02 ............. 4,694,662
871,280 8.500%, 02/01/05 ............. 900,920
7,011,817 6.500%, 05/01/11 ............. 6,781,687
5,025,010 7.000%, 05/01/11 ............. 4,957,473
3,701,650 8.000%, 06/01/11 ............. 3,775,683
6,000,000 5.000%, 04/25/20 ............. 5,368,080
4,000,000 7.410%, 03/25/21 ............. 4,006,250
6,905,077 6.500%, 12/01/23 ............. 6,501,544
828,293 8.000%, 09/01/24 ............. 835,540
2,642,543 8.500%, 03/01/25 ............. 2,711,909
5,246,925 9.000%, 04/01/25 ............. 5,474,798
816,577 8.000%, 05/01/25 ............. 822,701
825,502 9.000%, 06/01/25 ............. 861,353
973,054 6.500%, 08/01/25 ............. 910,107
4,720,292 7.500%, 09/01/25 ............. 4,656,851
3,319,246 8.000%, 09/01/25 ............. 3,344,140
6,793,707 6.500%, 10/01/25 ............. 6,354,221
993,901 7.000%, 10/01/25 ............. 956,003
998,406 7.000%, 11/01/25 ............. 960,336
974,127 6.500%, 12/01/25 ............. 911,110
7,791,151 7.000%, 12/01/25 ............. 7,497,787
1,632,045 8.000%, 12/01/25 ............. 1,644,285
GOVERNMENT NATIONAL
MORTGAGE ASSOCIATION (GNMA)
871,238 8.500%, 09/15/09 ............. 905,538
830,877 8.500%, 10/15/09 ............. 863,588
834,435 8.500%, 12/15/09 ............. 867,286
5,478,032 9.000%, 12/15/09 ............. 5,715,942
629,353 9.000%, 03/15/20 ............. 664,162
268,384 9.000%, 08/15/20 ............. 282,892
4,156,257 7.000%, 10/15/23 ............. 4,005,592
2,565,632 7.000%, 11/15/23 ............. 2,472,627
5,140,805 7.000%, 02/15/24 ............. 4,954,450
1,657,820 8.000%, 06/15/24 ............. 1,676,470
799,343 9.000%, 01/15/25 ............. 836,560
773,907 8.500%, 05/15/25 ............. 795,669
2,844,585 8.500%, 06/15/25 ............. 2,924,573
1,869,536 8.000%, 08/15/25 ............. 1,885,893
4,939,118 7.000%, 12/15/25 ............. 4,735,377
6,879,284 7.500%, 12/15/25 ............. 6,780,359
3,039,452 7.000%, 04/15/26 ............. 2,914,073
RESOLUTION TRUST CORP SERIES 1992-8
(CLASS A-2) (MTGE PASS-THROUGH CERT)
344,403 8.250%, 12/25/26 ............. 344,259
-----------
148,205,024
-----------
U.S. TREASURY SECURITIES--17.93%
U.S. TREASURY BONDS
29,000,000 7.250%, 05/15/16 ............. 29,679,760
5,000,000 7.875%, 02/15/21 ............. 5,485,150
4,000,000 7.625%, 11/15/22 ............. 4,279,360
28,000,000 7.125%, 02/15/23 ............. 28,301,840
U.S. TREASURY NOTES
27,000,000 7.250%, 02/15/98 ............. 27,476,820
2,000,000 5.125%, 02/28/98 ............. 1,970,620
12,000,000 6.125%, 05/15/98 ............. 12,000,000
10,000,000 9.000%, 05/15/98 ............. 10,504,700
18,000,000 6.750%, 05/31/99 ............. 18,208,080
19,000,000 6.875%, 07/31/99 ............. 19,270,180
13,000,000 6.250%, 05/31/00 ............. 12,916,670
15,000,000 8.000%, 05/15/01 ............. 15,946,800
5,000,000 7.500%, 11/15/01 ............. 5,219,550
10,000,000 7.500%, 05/15/02 ............. 10,468,700
31,000,000 7.250%, 05/15/04 ............. 32,118,790
8,000,000 6.875%, 05/15/06 ............. 8,088,720
-----------
241,935,740
-----------
TOTAL GOVERNMENT BONDS
(COST $408,651,217) .............. 404,554,854
-----------
TOTAL BONDS
(COST $507,876,554) ............... 502,194,875
-----------
See notes to financial statements.
-23-
<PAGE>
SHARES VALUE
------ -----
PREFERRED STOCK--0.05%
BUSINESS SERVICES--0.05%
25,568 oPREMIER FARNELL PLC CV ADR ...... $ 651,984
-----------
TOTAL PREFERRED STOCK
(COST $ 642,396) ................ 651,984
-----------
COMMON STOCK--61.56%
AIR TRANSPORTATION--0.74%
36,200 oAMR CORP ........................ 3,294,200
63,900 DELTA AIRLINES, INC ............. 5,303,700
11,450 SOUTHWEST AIRLINES CO ........... 333,481
19,000 oUAL CORP NEW .................... 1,021,250
-----------
9,952,631
-----------
AUTOMOTIVE & RELATED--0.91%
9,900 BANDAG, INC ..................... 475,200
28,300 CUMMINS ENGINE CO, INC .......... 1,142,612
77,900 ECHLIN, INC ..................... 2,950,462
21,400 FEDERAL-MOGUL CORP .............. 393,225
127,900 GENUINE PARTS CO ................ 5,851,425
46,800 GRACO, INC ...................... 947,700
22,000 MODINE MANUFACTURING CO ......... 583,000
-----------
12,343,624
-----------
BANKS--4.91%
136,565 BANC ONE CORP ................... 4,643,210
11,000 BANK OF NEW YORK CO, INC ........ 563,750
113,100 BANKAMERICA CORP ................ 8,567,325
13,600 BANKERS TRUST NEW YORK CORP ..... 1,004,700
19,900 BARNETT BANKS, INC .............. 1,213,900
53,000 CHASE MANHATTAN CORP (NEW) ...... 3,743,125
92,091 oCITICORP CO ..................... 7,609,018
8,900 CORESTATES FINANCIAL CORP ....... 342,650
80,740 FIRST CHICAGO NBD CORP .......... 3,158,952
74,481 FIRST UNION CORP ................ 4,534,030
55,167 FLEET FINANCIAL GROUP, INC (NEW) 2,399,764
77,500 MORGAN (J.P.) & CO, INC ......... 6,558,437
72,786 NATIONSBANK CORP ................ 6,013,943
88,600 NORWEST CORP .................... 3,089,925
96,500 PNC BANK CORP ................... 2,870,875
99,000 SUNTRUST BANKS, INC ............. 3,663,000
58,400 WACHOVIA CORP (NEW) ............. 2,555,000
15,524 WELLS FARGO & CO ................ 3,708,295
-----------
66,239,899
-----------
BEVERAGES--2.54%
489,800 COCA COLA CO .................... 23,938,975
292,600 PEPSICO, INC .................... 10,350,725
-----------
34,289,700
-----------
BROADCASTERS--0.42%
6,300 COMCAST CORP (CLASS A) .......... 115,762
15,650 COMCAST CORP (CLASS A) SPL ...... 289,525
27,275 oLIBERTY MEDIA GROUP (CLASS A) ... 722,787
109,100 oTELE-COMMUNICATIONS, INC
(CLASS A) (NEW) ................ 1,977,437
65,631 oVIACOM, INC (CLASS B) ........... 2,551,405
5,873 oVIACOM, INC (CLASS B)
WTS 7/07/97 .................... 3,670
3,523 oVIACOM, INC (CLASS B)
WTS 7/07/99 .................... 8,587
-----------
5,669,173
-----------
BUSINESS SERVICES--0.17%
12,600 DELUXE CORP ..................... 447,300
6,975 DIEBOLD, INC .................... 336,543
31,734 oPREMIER FARNELL PLC ADR ......... 662,447
48,400 SENSORMATIC ELECTRONICS CORP .... 792,550
-----------
2,238,840
-----------
CHEMICALS--MAJOR--0.79%
75,000 AIR PRODUCTS & CHEMICALS, INC ... 4,331,250
148,600 PRAXAIR, INC .................... 6,278,350
-----------
10,609,600
-----------
CHEMICALS--SPECIALTY--1.08%
26,900 BETZ LABORATORIES, INC .......... 1,180,237
18,261 FULLER (H.B.) CO ................ 661,961
104,400 LYONDELL PETROCHEMICAL CO ....... 2,518,650
33,800 MALLINCKRODT GROUP, INC ......... 1,313,975
50,400 NALCO CHEMICAL CORP ............. 1,587,600
9,000 NCH CORP ........................ 578,250
11,500 RAYCHEM CORP .................... 826,562
80,462 SCHULMAN A, INC ................. 1,971,319
54,100 SIGMA ALDRICH CORP .............. 2,894,350
22,900 WD-40 CO ........................ 1,076,300
-----------
14,609,204
-----------
COMMUNICATION EQUIPMENT
& SERVICES--0.65%
15,900 o360 COMMUNICIATIONS CO ......... 381,600
107,082 oAIRTOUCH COMMUNICATIONS, INC ... 3,025,066
85,600 oCISCO SYSTEMS, INC ............. 4,847,100
10,600 oDSC COMMUNICATIONS CORP ........ 319,325
15,400 oNOVELL, INC .................... 213,675
-----------
8,786,766
-----------
COMPUTER SERVICE--1.79%
92,000 AUTOMATIC DATA PROCESSING, INC .. 3,553,500
39,900 COMPUTER ASSOCIATES
INTERNATIONAL, INC ............. 2,842,875
111,200 oMICROSOFT CORP ................. 13,357,900
110,475 oORACLE CORP .................... 4,356,857
-----------
24,111,132
-----------
CONGLOMERATES--1.31%
27,300 ALCO STANDARD CORP .............. 1,235,325
213,600 MINNESOTA MINING &
MANUFACTURING CO ............... 14,738,400
70,600 WHITMAN CORP .................... 1,703,225
-----------
17,676,950
-----------
COSMETICS--1.01%
68,600 AVON PRODUCTS, INC .............. 3,095,575
136,200 GILLETTE CO ..................... 8,495,475
43,200 INTERNATIONAL FLAVORS &
FRAGRANCES, INC ................ 2,057,400
-----------
13,648,450
-----------
ELECTRICAL EQUIPMENT--0.21%
10,350 BALDOR ELECTRIC CO .............. 232,875
33,100 GRAINGER (W.W.), INC ............ 2,565,250
-----------
2,798,125
-----------
ELECTRICAL EQUIPMENT--
COMPONENTS DIVERSIFIED--1.41%
28,900 oADVANCED MICRO DEVICES, INC .... 393,762
24,400 AVNET, INC ...................... 1,027,850
182,600 INTEL CORP ...................... 13,409,687
47,500 MICRON TECHNOLOGY, INC .......... 1,229,062
16,093 MOLEX, INC ...................... 510,952
43,500 oNATIONAL SEMICONDUCTOR CORP ..... 674,250
74,568 oVISHAY INTERTECHNOLOGY, INC ..... 1,761,669
-----------
19,007,232
-----------
ELECTRICAL EQUIPMENT--
INSTRUMENTS--0.10%
43,600 oAPPLIED MATERIALS, INC .......... 1,329,800
-----------
See notes to financial statements.
-24-
<PAGE>
SHARES VALUE
------ -----
FINANCIAL--MISCELLANEOUS--2.83%
144,800 AMERICAN EXPRESS CO ............. $ 6,461,700
48,509 DEAN WITTER DISCOVER & CO ....... 2,777,140
40,500 FEDERAL HOME LOAN MORTGAGE CORP . 3,462,750
353,600 FEDERAL NATIONAL
MORTGAGE ASSOCIATION .......... 11,845,600
57,783 GREAT WESTERN FINANCIAL CORP .... 1,379,569
21,418 HOUSEHOLD INTERNATIONAL, INC .... 1,627,768
23,100 MBNA CORP ....................... 658,350
75,900 MERRILL LYNCH & CO, INC ......... 4,942,987
69,600 MORGAN STANLEY GROUP, INC ....... 3,419,100
21,400 STUDENT LOAN MARKETING
ASSOCIATION .................... 1,583,600
-----------
38,158,564
-----------
FOODS--2.88%
114,100 CAMPBELL SOUP CO ................ 8,044,050
71,000 CPC INTERNATIONAL, INC .......... 5,112,000
102,000 GENERAL MILLS, INC .............. 5,559,000
155,850 HEINZ (H.J.) CO ................. 4,733,943
52,600 HERSHEY FOODS CORP .............. 3,859,525
68,300 KELLOGG CO ...................... 5,002,975
5,800 MCCORMICK & CO, INC ............. 128,325
107,600 QUAKER OATS CO .................. 3,671,850
56,000 WRIGLEY (WM) JR CO .............. 2,828,000
-----------
38,939,668
-----------
HEALTHCARE--DRUGS--3.29%
48,100 oALZA CORP ....................... 1,316,737
6,680 oALZA CORP WTS 12/31/99 .......... 835
77,400 oAMGEN, INC ...................... 4,179,600
9,922 BERGEN BRUNSWIG CORP (CLASS A) .. 275,335
24,600 oFOREST LABORATORIES, INC ........ 950,175
18,400 oGENZYME CORP .................... 924,600
2,484 oGENZYME CORP
(TISSUE REPAIR DIVISION) ....... 29,187
23,400 IVAX CORP ....................... 371,475
56,400 MCKESSON CORP (NEW) ............. 2,686,050
326,300 MERCK & CO, INC ................. 21,087,137
34,500 MYLAN LABORATORIES, INC ......... 595,125
189,800 SCHERING-PLOUGH CORP ............ 11,909,950
6,680 oTHERAPEUTIC DISCOVERY CORP
(CLASS A) ...................... 62,625
-----------
44,388,831
-----------
HEALTHCARE--HOSPITAL SUPPLY--1.89%
109,400 BECTON DICKINSON & CO ........... 8,779,350
338,500 JOHNSON & JOHNSON CO ............ 16,755,750
-----------
25,535,100
-----------
HEALTHCARE--OTHER--0.39%
12,000 ALLERGAN, INC ................... 471,000
25,600 BAUSCH & LOMB, INC .............. 1,088,000
6,500 oBIOMET, INC ..................... 93,437
28,600 HILLENBRAND INDUSTRIES, INC ..... 1,065,350
45,800 MEDTRONIC, INC .................. 2,564,800
-----------
5,282,587
-----------
HEALTHCARE--SERVICE--0.59%
108,437 COLUMBIA/HCA HEALTHCARE CORP .... 5,787,824
51,600 oTENET HEALTHCARE CORP ........... 1,102,950
235 oTRANSPORT HOLDINGS, INC
(CLASS A) ...................... 10,810
20,500 U.S. HEALTHCARE, INC ............ 1,127,500
-----------
8,029,084
-----------
HOUSEHOLD--DURABLE GOODS--0.38%
65,400 NEWELL COS, INC ................. 2,002,875
63,400 WHIRLPOOL CORP .................. 3,146,225
-----------
5,149,100
-----------
HOUSEHOLD--PRODUCTS--2.27%
66,100 CLOROX CO ....................... 5,858,112
50,600 COLGATE PALMOLIVE CO ............ 4,288,350
199,200 PROCTER & GAMBLE CO ............. 18,052,500
90,300 RUBBERMAID, INC ................. 2,460,675
-----------
30,659,637
-----------
INSURANCE--MULTI-LINE,
PROPERTY & CASUALTY--2.61%
32,700 oAETNA LIFE & CASUALTY CO ........ 2,338,050
97,153 ALLSTATE CORP ................... 4,432,605
193,030 AMERICAN INTERNATIONAL
GROUP, INC ..................... 19,037,583
29,900 CHUBB CORP ...................... 1,491,262
3,500 oCNA FINANCIAL CORP .............. 360,500
12,800 GENERAL REINSURANCE CORP ........ 1,948,800
16,700 TRANSAMERICA CORP ............... 1,352,700
93,716 TRAVELERS GROUP, INC ............ 4,275,792
-----------
35,237,292
-----------
LEISURE TIME--1.21%
194,475 DISNEY (WALT) CO ................ 12,227,615
38,600 HASBRO, INC ..................... 1,379,950
93,791 MATTEL, INC ..................... 2,684,767
-----------
16,292,332
-----------
MACHINERY--0.97%
63,000 oBJ SERVICES CO .................. 2,212,875
98,700 DEERE & CO ...................... 3,948,000
46,400 ILLINOIS TOOL WORKS, INC ........ 3,137,800
87,500 KEYSTONE INTERNATIONAL, INC ..... 1,815,625
25,900 NORDSON CORP .................... 1,463,350
12,885 TIMKEN CO ....................... 499,293
-----------
13,076,943
-----------
METALS--ALUMINIUM--0.20%
88,200 oALUMAX, INC ..................... 2,679,075
-----------
METALS--GOLD--0.29%
279,700 SANTA FE PACIFIC GOLD CORP ...... 3,950,762
-----------
METALS--STEEL--0.62%
103,000 ALLEGHENY LUDLUM CORP ........... 1,944,125
14,500 BIRMINGHAM STEEL CORP ........... 237,437
45,750 HANNA (M.A.) CO .................. 955,031
64,100 NUCOR CORP ...................... 3,245,062
92,850 WORTHINGTON INDUSTRIES, INC ..... 1,938,243
-----------
8,319,898
-----------
OFFICE EQUIPMENT--3.00%
48,300 oAPPLE COMPUTER, INC ............. 1,014,300
31,200 AVERY DENNISON CORP ............. 1,712,100
68,900 oCOMPAQ COMPUTER CORP ............ 3,393,325
129,000 HEWLETT-PACKARD CO .............. 12,851,625
135,900 INTERNATIONAL BUSINESS
MACHINES CORP .................. 13,454,100
10,500 oSUN MICROSYSTEMS, INC ........... 618,187
84,200 oTANDEM COMPUTERS, INC ........... 1,041,975
119,500 XEROX CORP ...................... 6,393,250
-----------
40,478,862
-----------
PAPER--1.06%
149,400 CONSOLIDATED PAPERS, INC ........ 7,768,800
48,400 SONOCO PRODUCTS CO .............. 1,373,350
106,100 UNION CAMP CORP ................. 5,172,375
-----------
14,314,525
-----------
PETROLEUM--
EXPLORATION & PRODUCTION--1.55%
56,800 ANADARKO PETROLEUM CORP ......... 3,294,400
41,500 APACHE CORP ..................... 1,364,312
57,700 LOUISIANA LAND & EXPLORATION CO . 3,324,962
See notes to financial statements.
-25-
<PAGE>
SHARES VALUE
------ -----
PETROLEUM--
EXPLORATION & PRODUCTION (CONTINUED)
60,200 MITCHELL ENERGY & DEVELOPMENT
CORP (CLASS B) ................ $ 1,143,800
109,100 MURPHY OIL CORP ................ 4,950,412
78,200 NOBLE AFFILIATES, INC .......... 2,952,050
164,400 oORYX ENERGY CO ................. 2,671,500
105,500 oSANTA FE ENERGY
RESOURCES, INC ................ 1,252,812
-----------
20,954,248
-----------
PETROLEUM--SERVICE--1.67%
35,400 CABOT CORP ..................... 867,300
90,900 DRESSER INDUSTRIES, INC ........ 2,681,550
5,775 oENSCO INTERNATIONAL, INC ....... 187,687
81,700 HELMERICH & PAYNE, INC ......... 2,992,262
102,900 oNABORS INDUSTRIES, INC ......... 1,672,125
97,800 oNOBLE DRILLING CORP ............ 1,356,975
192,700 oPARKER DRILLING CO ............. 1,108,025
123,900 oROWAN COS, INC ................. 1,827,525
131,000 oSMITH INTERNATIONAL, INC ....... 3,946,375
32,200 SONAT OFFSHORE DRILLING, INC ... 1,626,100
47,658 oWEATHERFORD ENTERRA, INC ....... 1,429,740
49,200 oWESTERN ATLAS, INC ............. 2,865,900
-----------
22,561,564
-----------
PROPERTY--REAL ESTATE--0.34%
119,000 WEINGARTEN REALTY
INVESTORS, INC ................. 4,611,250
-----------
PUBLISHING--NEWSPAPER--0.90%
55,745 oCOX COMMUNICATIONS, INC
(CLASS A) (NEW) ............... 1,205,485
30,400 DOW JONES & CO, INC ............ 1,269,200
77,700 GANNETT CO, INC ................ 5,497,275
4,000 KNIGHT-RIDDER, INC ............. 290,000
90,600 TIMES MIRROR CO (SERIES A) (NEW) 3,941,100
-----------
12,203,060
-----------
PUBLISHING--OTHER--1.01%
44,300 DONNELLEY (R.R.) & SONS CO ..... 1,544,962
97,200 DUN & BRADSTREET CORP .......... 6,075,000
46,600 MCGRAW HILL COS, INC ........... 2,131,950
100,397 TIME WARNER, INC ............... 3,940,582
-----------
13,692,494
-----------
RAILROAD--0.88%
140,400 NORFOLK SOUTHERN CORP .......... 11,898,900
-----------
RESTAURANTS & HOTELS--1.02%
102,200 DARDEN RESTAURANTS, INC ........ 1,098,650
217,100 MCDONALDS CORP ................. 10,149,425
72,400 SYSCO CORP ..................... 2,479,700
-----------
13,727,775
-----------
RETAIL--FOOD--0.40%
88,300 ALBERTSONS, INC ................ 3,653,412
23,000 AMERICAN STORES CO, (NEW) ...... 948,750
18,800 oKROGER CO ...................... 742,600
-----------
5,344,762
-----------
RETAIL--GENERAL MERCHANDISE--2.14%
55,500 HOME DEPOT, INC ................ 2,997,000
148,600 oK MART CORP .................... 1,838,925
16,806 LIMITED, INC ................... 361,329
33,600 MAY DEPARTMENT STORES CO ....... 1,470,000
5,376 oPAYLESS SHOESOURCE, INC ........ 170,688
53,600 PENNEY, (J.C.) CO, INC ......... 2,814,000
20,600 oROUSE CO ....................... 533,025
104,800 SEARS ROEBUCK & CO ............. 5,095,900
45,950 oTOYS R US, INC ................. 1,309,575
435,800 WAL-MART STORES, INC ........... 11,058,425
53,600 oWOOLWORTH CORP ................. 1,206,000
-------------
28,854,867
-------------
TEXTILE & APPAREL--0.50%
15,800 LIZ CLAIBORNE, INC ............. 547,075
60,600 NIKE, INC (CLASS B) ............ 6,226,650
-------------
6,773,725
-------------
TRUCKERS & SHIPPING--0.21%
74,400 ARNOLD INDUSTRIES, INC ......... 1,060,200
42,200 CALIBER SYSTEM, INC ............ 1,434,800
21,100 ROADWAY EXPRESS, INC ........... 298,037
-------------
2,793,037
-------------
UTILITIES--ELECTRIC--1.70%
32,500 IDAHO POWER CO ................. 1,011,562
104,700 LOUISVILLE GAS & ELECTRIC
ENERGY CORP ................... 2,395,012
118,700 NIPSCO INDUSTRIES, INC ......... 4,777,675
279,800 POTOMAC ELECTRIC POWER CO ...... 7,414,700
122,800 PUGET SOUND POWER & LIGHT CO ... 2,977,900
174,600 TECO ENERGY, INC ............... 4,408,650
-------------
22,985,499
-------------
UTILITIES--GAS & PIPELINE--1.77%
30,800 BROOKLYN UNION GAS CO .......... 839,300
20,900 COLUMBIA GAS SYSTEMS, INC ...... 1,089,412
110,600 CONSOLIDATED NATURAL GAS CO .... 5,778,850
33,400 EL PASO NATURAL GAS CO NEW ..... 1,285,900
24,600 EQUITABLE RESOURCES, INC ....... 694,950
1,400 oIONICS, INC .................... 65,800
55,700 NICOR, INC ..................... 1,580,487
89,600 PACIFIC ENTERPRISES, INC ....... 2,654,400
9,200 PEOPLES ENERGY CORP ............ 308,200
134,900 SONAT, INC ..................... 6,070,500
70,600 WILLIAMS COS, INC .............. 3,494,700
-------------
23,862,499
-------------
UTILITIES--TELEPHONE--4.95%
162,700 AMERITECH CORP NEW ............. 9,660,312
166,300 BELL ATLANTIC CORP ............. 10,601,625
335,000 BELLSOUTH CORP ................. 14,195,625
77,900 MCI COMMUNICATIONS CORP ........ 1,996,187
139,300 NYNEX CORP ..................... 6,616,750
117,082 PACIFIC TELESIS GROUP CO ....... 3,951,517
176,800 SBC COMMUNICATIONS, INC ........ 8,707,400
70,000 SPRINT CORP .................... 2,940,000
162,044 U.S. WEST COMMUNICATIONS
GROUP, INC .................... 5,165,152
161,144 oU.S. WEST MEDIA GROUP, INC ..... 2,940,878
-------------
66,775,446
-------------
TOTAL COMMON STOCK
(COST $ 579,701,447) ........... 830,842,512
-------------
PRINCIPAL
---------
SHORT TERM INVESTMENTS--0.60%
COMMERCIAL PAPER--0.60%
MORGAN STANLEY GROUP INC.,
$8,100,000 5.600%, 07/01/96 ............ 8,098,767
--------------
TOTAL SHORT TERM INVESTMENTS
(COST $8,100,000) ................ 8,098,767
--------------
ROUNDING ....................... 78
--------------
TOTAL PORTFOLIO
(COST $1,096,320,397) ............ $1,341,788,216
==============
- ----------------
o NON-INCOME PRODUCING
See notes to financial statements.
-26-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENT OF INVESTMENTS--GLOBAL EQUITIES ACCOUNT (UNAUDITED)
JUNE 30, 1996
SUMMARY BY INDUSTRY
VALUE %
----- -----
BONDS
CORPORATE BONDS
AUTOMOTIVE & RELATED ...................... $ 41,419 0.00%
BROADCASTERS .............................. 81,435 0.00
INSURANCE--MULTI-LINE,
PROPERTY & CASUALTY ..................... 97,689 0.01
METALS--STEEL ............................. 84,998 0.00
------------ -----
TOTAL CORPORATE BONDS
(COST $ 260,871) .......................... 305,541 0.01
------------ -----
TOTAL BONDS
(COST $ 260,871) ........................... 305,541 0.01
------------ -----
PREFERRED STOCK
AUTOMOTIVE & RELATED ...................... 2,504,945 0.07
BUSINESS SERVICES ......................... 1,136,062 0.03
COMMUNICATION EQUIPMENT & SERVICES ........ 12,065,000 0.32
PUBLISHING--NEWSPAPER ..................... 26,401,513 0.71
UTILITIES--ELECTRIC ....................... 8,493,915 0.23
------------ -----
TOTAL PREFERRED STOCK
(COST $ 48,087,253) ........................ 50,601,435 1.36
------------ -----
COMMON STOCK
AEROSPACE ................................. 12,113,878 0.33
AIR TRANSPORTATION ........................ 19,938,239 0.54
AUTOMOTIVE & RELATED ...................... 125,753,005 3.39
BANKS ..................................... 321,101,937 8.66
BEVERAGES ................................. 93,580,428 2.52
BROADCASTERS .............................. 206,334,481 5.56
BUSINESS SERVICES ......................... 43,338,231 1.17
CHEMICALS--MAJOR .......................... 28,817,418 0.78
CHEMICALS--SPECIALTY ...................... 12,483,960 0.34
COMMUNICATION EQUIPMENT & SERVICES ........ 283,411,658 7.64
COMPUTER SERVICE .......................... 79,237,935 2.14
CONGLOMERATES ............................. 88,982,413 2.40
CONSTRUCTION--MATERIALS & BUILDERS ........ 55,666,469 1.50
CONTAINERS ................................ 1,124,386 0.03
COSMETICS ................................. 23,294,525 0.63
ELECTRICAL EQUIPMENT ...................... 134,479,407 3.63
ELECTRICAL EQUIPMENT--
COMPONENTS DIVERSIFIED .................. 154,848,013 4.18
ELECTRICAL EQUIPMENT--INSTRUMENTS ......... 22,036,232 0.59
ENVIRONMENTAL CONTROL ..................... 887,525 0.02
FINANCIAL--MISCELLANEOUS .................. 46,958,263 1.27
FOODS ..................................... 46,898,704 1.26
FOREST PRODUCTS ........................... 8,413,142 0.23
HEALTHCARE--DRUGS ......................... 187,583,253 5.06
HEALTHCARE--HOSPITAL SUPPLY ............... 10,135,366 0.27
HEALTHCARE--OTHER ......................... 26,697,908 0.72
HEALTHCARE--SERVICE ....................... 68,628,089 1.85
HOUSEHOLD--CONSUMER ELECTRONICS ........... 33,517,025 0.90
HOUSEHOLD--DURABLE GOODS .................. 1,400,223 0.04
HOUSEHOLD--PRODUCTS ....................... 7,828,325 0.21
INSURANCE--LIFE ........................... 3,318,741 0.09
INSURANCE--MULTI-LINE,
PROPERTY & CASUALTY ..................... 116,173,200 3.13
LEISURE TIME .............................. 122,314,963 3.30
MACHINERY ................................. 75,152,102 2.03
METALS--ALUMINIUM ......................... 4,353,309 0.12
METALS--GOLD .............................. 6,567,795 0.18
METALS--NON-FERROUS ....................... 26,123,847 0.70
METALS--STEEL ............................. 31,543,788 0.85
MISCELLANEOUS MATERIALS &
COMMODITIES ............................. 6,909,449 0.19
OFFICE EQUIPMENT .......................... 109,170,550 2.94
PAPER ..................................... 7,968,102 0.21
PETROLEUM--
EXPLORATION & PRODUCTION ................ 29,540,146 0.80
PETROLEUM--INTEGRATED ..................... 53,797,390 1.45
PETROLEUM--SERVICE ........................ 116,805,014 3.15
PHOTOGRAPHY ............................... 4,789,400 0.13
PROPERTY--REAL ESTATE ..................... 50,186,242 1.35
PUBLISHING--NEWSPAPER ..................... 12,490,677 0.34
PUBLISHING--OTHER ......................... 12,992,143 0.35
RAILROAD .................................. 57,218,513 1.54
RESTAURANTS & HOTELS ...................... 9,124,299 0.24
RETAIL--FOOD .............................. 14,407,014 0.39
RETAIL--GENERAL MERCHANDISE ............... 126,830,108 3.42
TEXTILE & APPAREL ......................... 16,437,175 0.44
TOBACCO ................................... 28,196,372 0.76
TRADING COMPANIES ......................... 18,552,131 0.50
TRUCKERS & SHIPPING ....................... 34,177,322 0.92
UTILITIES--ELECTRIC ....................... 82,824,286 2.23
UTILITIES--GAS & PIPELINE ................. 28,118,635 0.76
UTILITIES--OTHER .......................... 14,153,907 0.38
UTILITIES--TELEPHONE ...................... 153,191,000 4.13
-------------- ------
TOTAL COMMON STOCK
(COST $ 3,084,395,755) ..................... 3,518,918,058 94.88
-------------- ------
SHORT TERM INVESTMENTS
BANKERS ACCEPTANCES ....................... 9,923,777 0.27
COMMERCIAL PAPER .......................... 199,517,862 5.38
GOVERNMENT AGENCIES ....................... 77,627,649 2.09
-------------- ------
TOTAL SHORT TERM INVESTMENTS
(COST $ 287,126,912) ....................... 287,069,288 7.74
-------------- ------
ROUNDING ................................ 319 0.00
-------------- ------
TOTAL PORTFOLIO
(COST $ 3,419,870,791) .................... 3,856,894,641 103.99
OTHER ASSETS & LIABILITIES, NET ......... (148,091,690) (3.99)
-------------- ------
NET ASSETS ................................. $3,708,802,951 100.00%
============== ======
See notes to financial statements.
-27-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENT OF INVESTMENTS--GLOBAL EQUITIES ACCOUNT (UNAUDITED)
JUNE 30, 1996
SUMMARY BY COUNTRY
VALUE %
-------------- ------
DOMESTIC:
UNITED STATES ................. $1,517,714,926 39.35%
------------- ------
TOTAL DOMESTIC .................. 1,517,714,926 39.35
------------- ------
FOREIGN:
AUSTRALIA ..................... 42,174,142 1.09
BELGIUM ....................... 7,628,720 0.20
CANADA ........................ 55,681,094 1.44
DENMARK ....................... 5,283,987 0.14
FRANCE ........................ 103,898,296 2.69
GERMANY ....................... 133,497,481 3.46
HONG KONG ..................... 62,451,927 1.62
INDONESIA ..................... 22,761,513 0.59
ITALY ......................... 74,141,820 1.92
JAPAN ......................... 715,871,777 18.56
MALAYSIA ...................... 49,664,156 1.29
NETHERLANDS ................... 138,608,405 3.59
NORWAY ........................ 36,767,823 0.95
SINGAPORE ..................... 28,735,771 0.75
SPAIN ......................... 12,168,281 0.32
SWEDEN ........................ 107,876,519 2.80
SWITZERLAND ................... 171,948,893 4.46
UNITED KINGDOM ................ 282,949,822 7.34
-------------- ------
TOTAL FOREIGN ................... 2,052,110,427 53.21
-------------- ------
TOTAL SHORT TERM ................ 287,069,288 7.44
-------------- ------
TOTAL PORTFOLIO ................. $3,856,894,641 100.00%
============== ======
See notes to financial statements.
-28-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENT OF INVESTMENTS--GLOBAL EQUITIES ACCOUNT (UNAUDITED)
JUNE 30, 1996
PRINCIPAL VALUE
--------- -----
BONDS--0.01%
CORPORATE BONDS--0.01%
AUTOMOTIVE & RELATED--0.00%
MICHELIN S.A. CV
$ 743 2.500%, 01/01/01 ............... $ 41,419
----------
BROADCASTERS--0.00%
VIACOM INTERNATIONAL, INC
(SUBORDINATED DEB)
89,000 8.000%, 07/07/06 ............... 81,435
----------
INSURANCE--MULTI-LINE,
PROPERTY & CASUALTY--0.01%
AXA S.A. CV
1,531 4.500%, 01/01/99 ............... 97,689
----------
METALS--STEEL--0.00%
PREUSSAG AG. (W/W)
113 5.750%, 05/17/01 ............... 84,998
----------
TOTAL CORPORATE BONDS
(COST $260,871) .................... 305,541
----------
TOTAL BONDS
(COST $260,871) ..................... 305,541
----------
SHARES
------
PREFERRED STOCK--1.36%
AUTOMOTIVE & RELATED--0.07%
9,133 VOLKSWAGENWERKE AG. ............... 2,504,945
----------
BUSINESS SERVICES--0.03%
7,662 SAP (VORZUG) AG. .................. 1,136,062
----------
COMMUNICATION EQUIPMENT
& SERVICES--0.32%
190,000 MFS COMMUNICATIONS CO, INC DEP SHS. 12,065,000
----------
PUBLISHING--NEWSPAPER--0.71%
5,410,124 NEWS CORP LTD (LTD-VTG) ........... 26,401,513
----------
UTILITIES--ELECTRIC--0.23%
276,270 oRHEIN-WESTFALEN ELECTRIC AG.
(VORZUG) ......................... 8,493,915
----------
TOTAL PREFERRED STOCK
(COST $48,087,253) .................. 50,601,435
----------
COMMON STOCK--94.88%
AEROSPACE--0.33%
27,700 BOEING CO ......................... 2,413,362
148,492 BRITISH AEROSPACE PLC ............. 2,254,201
5,868 oBRITISH AEROSPACE PLC WTS 11/15/00. 42,306
60,000 COBHAM GROUP PLC .................. 592,463
8,400 MCDONNELL DOUGLAS CORP ............ 407,400
321,250 ROLLS ROYCE LTD ................... 1,118,114
2,834 oSAGEM S.A. ........................ 1,700,962
99,433 SMITHS INDUSTRIES PLC ............. 1,087,672
107,800 SPAR AEROSPACE LTD ................ 848,538
58,665 oTHOMSON-CSF ....................... 1,648,860
----------
12,113,878
----------
AIR TRANSPORTATION--0.54%
138,700 oAIR CANADA, INC ................... 487,486
218,162 BRITISH AIRWAYS PLC ............... 1,877,949
700 oFEDERAL EXPRESS CORP .............. 57,400
913,000 oJAPAN AIRLINES CO LTD ............. 7,383,229
13,670 oLUFTHANSA AG. ..................... 1,930,791
954,000 oMALAYSIAN AIRLINE SYSTEM
BERHAD ........................... 3,039,430
489,000 oSINGAPORE INTERNATIONAL
AIRLINES LTD (FR) ................ 5,161,954
----------
19,938,239
----------
AUTOMOTIVE & RELATED--3.39%
1,061,700 AUTOLIV AB ........................ 32,319,634
180,448 BBA GROUP PLC ..................... 863,570
270,000 BRIDGESTONE CORP .................. 5,144,723
8,904 CHRYSLER CORP ..................... 552,048
70,920 CONTINENTAL AG. ................... 1,150,784
15,536 oDAIMLER BENZ AG. .................. 8,313,016
15,536 oDAIMLER BENZ AG. RTS .............. 2,143
609,999 oFIAT S.P.A. ....................... 2,042,288
151,000 oFIAT S.P.A. (PRIV) ................ 264,835
18,867 GENERAL MOTORS CORP ............... 988,159
36,650 GENUINE PARTS CO .................. 1,676,737
264,943 GUEST KEEN NETTLEFOLDS LTD ........ 4,067,284
341,000 HONDA MOTOR CO LTD ................ 8,829,267
305,678 LEX SERVICE GROUP LTD ............. 1,781,109
460,195 LUCAS INDUSTRIES PLC .............. 1,619,590
15,080 oMICHELIN S.A. (CLASS B) ........... 736,967
444,000 NIPPON DENSO CO LTD ............... 9,634,116
965,000 NISSAN MOTOR CORP LTD ............. 8,560,361
9,100 oPEUGEOT S.A. ...................... 1,217,859
1,250,645 TOYOTA MOTOR CORP ................. 31,241,837
12,777 VOLKSWAGEN AG. .................... 4,746,678
-----------
125,753,005
-----------
BANKS--8.66%
247,781 ABBEY NATIONAL PLC ................ 2,082,861
655,000 ASAHI BANK LTD .................... 7,583,976
580,000 ASHIKAGA BANK LTD ................. 3,664,486
1,420,000 ASSA ABLOY AB SERIES B ............ 20,543,424
101 BANC ONE CORP ..................... 3,434
318,000 BANCA COMMERCIALE ITALIANA S.P.A. . 638,594
17,180 BANCO CENTRALE
HISPANOAMERICANO S.A. ............ 349,705
3,261 BANK OF BOSTON CORP ............... 161,419
44,107 BANK OF NOVA SCOTIA ............... 1,072,235
454,000 oBANK OF TOKYO MITSUBISHI LTD NEW .. 10,554,750
373,000 BANK OF YOKOHAMA LTD .............. 3,383,637
57 BANKAMERICA CORP .................. 4,317
32,552 BANQIE DE PARIBAS S.A. ............ 1,922,151
48,031 BANQUE NATIONALE DE PARIS ......... 1,685,839
271,680 BARCLAYS PLC ...................... 3,263,114
182,700 BAYERISCHE VEREINSBANK AG. ........ 5,125,010
53,909 CANADIAN IMPERIAL BANK OF
COMMERCE ......................... 1,738,808
242,000 CHIBA BANK LTD .................... 2,131,299
34 oCITICORP CO ....................... 2,809
36,025 COMPAGNIE DE SUEZ S.A. ............ 1,317,621
200 CORESTATES FINANCIAL CORP ......... 7,700
5,429 CREDIT NATIONAL S.A. .............. 373,301
20,117 CS HOLDINGS (REGD) ................ 1,912,536
994,000 DAI-ICHI KANGO BANK LTD ........... 18,487,087
360,780 DEUTSCHE BANK AG. ................. 17,064,882
See notes to financial statements.
-29-
<PAGE>
SHARES VALUE
------ -----
BANKS (CONTINUED)
97,000 DEVELOPMENT BANK OF
SINGAPORE LTD (FR) ............... $ 1,209,493
150 FIRST CHICAGO NBD CORP ............ 5,868
26,026 FLEET FINANCIAL GROUP, INC (NEW) .. 1,132,131
934,000 FUJI BANK LTD ..................... 20,096,056
186,000 GUNMA BANK LTD .................... 2,068,829
760,000 HANG SENG BANK LTD ................ 7,658,146
828,000 HOKURIKU BANK LTD ................. 4,974,709
103,787 HSBC HOLDINGS LTD ................. 1,568,715
551,877 HSBC HOLDINGS LTD (HONG KONG) ..... 8,455,013
456,886 HSBC HOLDINGS LTD (UNITED KINGDOM). 7,155,887
746,000 INDUSTRIAL BANK OF JAPAN LTD ...... 18,499,487
335,650 JOYO BANK ......................... 2,542,960
1,380,169 LLOYDS TSB GROUP PLC .............. 6,755,195
540,000 MALAYAN BANKING BERHAD ............ 5,193,758
88,500 MALAYAN BANKING BERHAD (SINGAPORE). 840,169
117,270 oMEDIOBANCA S.P.A. ................. 744,338
595,000 MITSUBISHI TRUST & BANKING CORP ... 10,035,537
371,000 MITSUI TRUST & BANKING CO LTD ..... 4,329,480
16,930 MORGAN (J.P.) & CO, INC ........... 1,432,701
70,400 NATIONAL BANK OF CANADA ........... 587,654
4,023 NATIONSBANK CORP .................. 332,400
20,000 NORWEST CORP ...................... 697,500
156,199 OVERSEAS-CHINESE BANKING
CORP LTD (FR) .................... 1,825,917
15,619 oOVERSEAS-CHINESE BANKING
CORP LTD (FR) RTS ................ 125,040
24,600 PNC BANK CORP ..................... 731,850
90,800 ROYAL BANK OF CANADA .............. 2,177,417
203,690 ROYAL BANK OF SCOTLAND PLC ........ 1,560,313
1,038,000 SAKURA BANK LTD ................... 11,545,404
208,000 SEVENTY-SEVEN (77) BANK LTD ....... 2,067,006
280,000 SHIZUOKA BANK LTD ................. 3,599,391
1,269,942 SIGNET BANKING CORP ............... 29,526,151
85,238 SOCIETE GENERALE S.A. ............. 9,371,003
1,106,000 SUMITOMO BANK LTD ................. 21,376,812
800 SUNTRUST BANKS, INC ............... 29,600
42,238 SWISS BANK CORP (REGD) ............ 8,334,888
5,025 oSWISS BANK CORP (REGD) WTS 6/30/00 16,459
578,000 TOKAI BANK LTD .................... 7,482,868
4,549 UNION BANK OF SWITZERLAND (BR) .... 4,451,962
30,700 WACHOVIA CORP NEW ................. 1,343,125
7,516 WELLS FARGO & CO .................. 1,795,384
372,000 YASUDA TRUST & BANKING CO LTD ..... 2,350,326
-----------
321,101,937
-----------
BEVERAGES--2.52%
22,600 ANHEUSER BUSCH COS, INC ........... 1,695,000
824,532 ARTHUR GUINESS & SONS PLC ......... 5,995,818
249,000 ASAHI BREWERIES LTD ............... 2,905,770
392,430 BASS LTD .......................... 4,932,940
1,284 oBRAU UND BRUNNEN AG. .............. 134,119
164 COCA COLA CO ...................... 8,015
556,800 COCA COLA ENTERPRISES, INC ........ 19,279,200
64,700 oEL AGUILA S.A. .................... 403,676
739,097 GRAND METROPOLITAN PLC ............ 4,903,706
14,748 HOLSTEN BRAUEREI AG. .............. 3,061,600
363,000 KIRIN BREWERY CO LTD .............. 4,434,691
5,730 LVMH MOET HENNESSY LOUIS VUITTON .. 1,358,960
967,990 PEPSICO, INC ...................... 34,242,646
3,036 PERNOD-RICARD S.A. ................ 194,604
244,000 SAPPORO BREWERIES LTD ............. 2,291,284
209,059 SCOTTISH & NEWCASTLE PLC .......... 2,140,668
167,100 SEAGRAMS CO LTD ................... 5,597,731
----------
93,580,428
----------
BROADCASTERS--5.56%
12,825 CANAL PLUS S.A. ................... 3,136,314
239,400 oCLEAR CHANNEL COMMUNICATIONS, INC . 19,720,575
2,619,287 oINFINITY BROADCASTING
CORP (CLASS A) ................... 78,578,610
105,800 oROGERS COMMUNICATIONS (CLASS B) ... 991,608
222,400 oTELE METROPOLE, INC (CLASS B) ..... 2,662,545
56,400 oTELE-COMMUNICATIONS, INC
(CLASS A) (NEW) .................. 1,022,250
125,000 TOKYO BROADCASTING SYSTEMS, INC ... 2,210,872
1,477,160 oVIACOM, INC (CLASS B) ............. 57,424,595
2,557 oVIACOM, INC (CLASS B) WTS 7/07/97 . 1,598
1,534 oVIACOM, INC (CLASS B) WTS 7/07/99 . 3,739
2,661,100 oWESTWOOD ONE, INC ................. 40,581,775
-----------
206,334,481
-----------
BUSINESS SERVICES--1.17%
11,164 ECCO S.A. ......................... 2,808,187
10,239 ELECTROCOMPONENTS PLC ............. 60,773
1,034,936 GETRONICS NV ...................... 22,917,736
78,100 MOORE CORP LTD .................... 1,461,122
12,790 PROSEGUR COMPANIA DE
SEGURIDAD S.A. ................... 448,871
228,613 RENTOKIL GROUP PLC ................ 1,452,845
603,560 REUTERS HOLDINGS PLC .............. 7,305,551
13,628 SAP AG. ........................... 2,018,863
45,000 SECOM CO LTD ...................... 2,970,318
94,000 TOKYO DOME CORP ................... 1,893,965
-----------
43,338,231
-----------
CHEMICALS--MAJOR--0.78%
116,940 BAYER AG. ......................... 4,129,237
22,746 BOC GROUP PLC ..................... 326,566
2,614 DEGUSSA AG. ....................... 887,303
39,902 DOW CHEMICAL CO ................... 3,032,552
61,519 DU PONT (E.I.) DE NEMOURS & CO .... 4,867,690
10,775 EASTMAN CHEMICAL CO ............... 655,928
101,722 ENGLISH CHINA CLAYS PLC ........... 409,364
104,626 IMPERIAL CHEMICAL INDUSTRY PLC .... 1,281,034
1,857 LAIR LIQUIDE (REGD) ............... 327,877
788,737 MITSUBISHI CHEMICAL CORP .......... 3,638,603
1,892,000 oMONTEDISON S.P.A. ................. 1,099,123
351,000 oMONTEDISON S.P.A. WTS 1/19/97 ..... 22,656
34,000 PPG INDUSTRIES, INC ............... 1,657,500
21,100 PRAXAIR, INC ...................... 891,475
3,300 ROHM & HAAS CO .................... 207,075
1,125 SOLVAY ET CIE S.A. ................ 695,712
484,000 SUMITOMO CHEMICAL CO LTD .......... 2,307,804
626,000 UBE INDUSTRIES LTD ................ 2,379,919
-----------
28,817,418
-----------
CHEMICALS--SPECIALTY--0.34%
686,000 ASAHI CHEMICAL INDUSTRY CO LTD .... 4,890,832
315,000 DAINIPPON INK & CHEMICAL, INC ..... 1,613,982
23,000 KANEKA CORP ....................... 154,542
11,800 POTASH CORP OF SASKATCHEWAN, INC .. 786,263
230,000 SEKISUI CHEMICAL CO LTD ........... 2,809,859
116,396 SHIN-ETSU CHEMICAL CO LTD ......... 2,228,482
-----------
12,483,960
-----------
COMMUNICATION EQUIPMENT
& SERVICES--7.64%
864,783 o360 COMMUNICIATIONS CO ............ 20,754,792
587,700 o3COM CORP ......................... 26,887,275
120 oAIRTOUCH COMMUNICATIONS, INC ...... 3,390
263,100 oCABLETRON SYSTEMS, INC ............ 18,055,237
1,109,300 oCISCO SYSTEMS, INC ................ 62,814,112
3,800 oDSC COMMUNICATIONS CORP ........... 114,475
See notes to financial statements.
-30-
<PAGE>
SHARES VALUE
------ -----
COMMUNICATION EQUIPMENT
& SERVICES (CONTINUED)
744,150 ERICSSON TELEFON (LM) AB SERIES B . $16,036,506
828,000 ERICSSON TELEFON (LM) AB SERIES B
ADR .............................. 17,802,000
270,000 oGLOBALSTAR TELECOMMUNICATIONS LTD . 11,947,500
252,000 oJACOR COMMUNICATIONS, INC ......... 7,780,500
1,687,709 oMFS COMMUNICATIONS CO, INC ........ 63,500,051
30,000 oNEWBRIDGE NETWORKS ................ 1,960,532
95,900 NORTHERN TELECOMMUNICATIONS LTD ... 5,213,863
850,800 oOCTEL COMMUNICATIONS CORP ......... 16,803,300
258,600 oQUALCOMM, INC ..................... 13,738,125
-----------
283,411,658
-----------
COMPUTER SERVICE--2.14%
6,400 ADOBE SYSTEMS, INC ................ 229,600
49,200 AUTOMATIC DATA PROCESSING, INC .... 1,900,350
24,750 oBAY NETWORKS, INC ................. 637,312
17,900 COMPUTER ASSOCIATES
INTERNATIONAL, INC ............... 1,275,375
750,000 oCYRIX CORP ........................ 12,937,500
25,500 oELECTRONIC DATA SYSTEMS CORP ...... 1,370,625
919,300 oMADGE NETWORKS NV ................. 13,329,850
40,600 oMICROSOFT CORP .................... 4,877,075
1,082,225 oORACLE CORP ....................... 42,680,248
-----------
79,237,935
-----------
CONGLOMERATES--2.40%
37,100 oAGIV AG. .......................... 706,806
41,800 BRASCAN LTD (CLASS A) ............. 777,417
919,760 BTR PLC ........................... 3,622,827
4,681 oBTR PLC WTS 11/30/97 .............. 1,491
5,147 oBTR PLC WTS 11/26/98 .............. 619
29,748 GEVAERT PHOTO-PRODUCTION NV ....... 1,989,195
846,597 HANSON PLC ........................ 2,374,373
1,326,000 HUTCHINSON WHAMPOA LTD ............ 8,342,340
6,200 ITT INDUSTRIES, INC ............... 155,775
161,000 KEPPEL CORP ....................... 1,345,943
25,298 oLAGARDERE GROUPE S.A .............. 652,068
25,298 oLAGARDERE GROUPE S.A. WTS 6/30/97 . 17,198
586,000 LOEWS CORP ........................ 46,220,750
60,000 LONRHO PLC ........................ 172,471
3,098,000 MALAYAN UNITED INDUSTRIES BERHAD .. 2,507,896
70,080 MINNESOTA MINING &
MANUFACTURING CO ................. 4,835,520
252,500 NOMA INDUSTRIES LTD (CLASS A) ..... 730,302
23,500 ROCKWELL INTERNATIONAL CORP ....... 1,345,375
1,987,200 SIME DARBY BERHAD ................. 5,494,996
589,000 SWIRE PACIFIC LTD (CLASS A) ....... 5,040,999
8,346 oU.S.INDUSTRIES, INC ............... 201,347
3,200 UNITED TECHNOLOGIES CORP .......... 368,000
399,000 YTL CORP BERHAD ................... 2,078,705
-----------
88,982,413
-----------
CONSTRUCTION--MATERIALS
& BUILDERS--1.50%
283,462 BARRATT DEVELOPMENTS LTD .......... 1,118,725
449 oBILFINGER & BERGER AG. ............ 189,369
451,967 BORAL LTD ......................... 1,173,952
8,539 oBOUYGUES S.A. ..................... 952,040
98,731 CAMAS PLC ......................... 136,533
387,000 CARADON PLC ....................... 1,298,852
173,000 CHIYODA CORP ...................... 2,050,413
34,000 DAITO TRUST CONSTRUCTION CO LTD ... 508,363
171,000 DAIWA HOUSE INDUSTRY CO LTD ....... 2,650,311
15,167 oGTM ENTREPOSE S.A. ................ 983,971
2,635 oHEIDELBERGER ZEMENT AG. ........... 1,807,213
1,638 HOCHTIEF AG. ...................... 734,958
10,657 oIMETAL S.A. ....................... 1,511,103
362,000 KAJIMA CORP ....................... 3,729,400
114,848 KINDEN CORP ....................... 1,821,900
204,000 KUMAGAI GUMI CO LTD ............... 818,341
22,123 LAFARGE S.A. (BR) ................. 1,338,562
84,000 MISAWA HOMES CO LTD ............... 819,435
1,770 oNEW WORLD INFRASTRUCTURE .......... 3,772
417,000 OHBAYASHI-GUM LTD ................. 3,767,572
8,100 oOWENS CORNING CO .................. 348,300
182,000 PENTA OCEAN CONSTRUCTION CO LTD ... 1,226,218
524,206 PILKINGTON PLC .................... 1,474,265
167,835 REDLAND PLC ....................... 1,045,735
83,618 RMC GROUP PLC ..................... 1,316,146
320,070 RUGBY GROUP PLC ................... 547,057
41,720 oSCHNEIDER S.A. .................... 2,187,985
251,000 SEKISUI HOUSE LTD ................. 2,860,458
323,000 SHIMIZU CORP ...................... 3,563,197
13,538 ST. GOBAIN S.A. ................... 1,811,799
454,000 TAISEI CORP ....................... 3,220,233
390,373 TAYLOR WOODROW PLC ................ 946,236
100,000 TOSTEM CORP ....................... 2,944,791
130,000 TOTO LTD .......................... 1,955,596
115,820 oURALITA S.A. ...................... 1,083,936
674,873 WILSON (CONNOLLY) HOLDINGS PLC .... 1,719,732
-----------
55,666,469
-----------
CONTAINERS--0.03%
119,500 CCL INDUSTRIES, INC (CLASS B) ..... 1,124,386
-----------
COSMETICS--0.63%
742,300 INTIMATE BRANDS, INC .............. 16,980,112
59,400 INTERNATIONAL FLAVORS &
FRAGRANCES, INC .................. 2,828,925
6,155 LOREAL S.A. ....................... 2,043,179
113,000 SHISEIDO & CO LTD ................. 1,442,309
-----------
23,294,525
-----------
ELECTRICAL EQUIPMENT--3.63%
29,500 ABB ASEA BROWN BOVERI LTD (BR) .... 36,483,161
21,000 ADVANTEST CORP .................... 832,837
22,569 ALCATEL ALSTHOM CIE GEN ........... 1,968,317
109,000 oAMCOL HOLDINGS LTD ................ 240,935
303,360 DELTA PLC ......................... 1,654,476
639,000 FUJITSU LTD ....................... 5,825,763
151,964 GENERAL ELECTRIC CO ............... 13,144,886
517,640 oGENERAL ELECTRIC CO
(UNITED KINGDOM) ................. 2,790,952
961,000 HITACHI LTD ....................... 8,936,665
8,550 LEGRAND S.A. ...................... 1,527,883
948,000 MITSUBISHI ELECTRIC CORP .......... 6,603,187
526,000 NIPPON ELECTRIC CORP (N.E.C.) ..... 5,706,694
21,430 NKT HOLDINGS AS ................... 1,063,185
489,030 OXFORD INSTRUMENTS GROUP PLC ...... 3,753,682
120,090 SIEMENS AG. ....................... 6,413,952
327,000 SUMITOMO ELECTRIC INDUSTRIES CO ... 4,680,576
30,000 TOKYO ELECTRON CO LTD ............. 872,496
1,675,100 WESTINGHOUSE ELECTRIC CORP ........ 31,408,125
57,000 YOKOGAWA ELECTRIC CORP ............ 571,635
-----------
134,479,407
-----------
ELECTRICAL EQUIPMENT--
COMPONENTS DIVERSIFIED--4.18%
31,800 oCOREL CORP ........................ 325,986
5,680 oDII GROUP, INC .................... 144,840
1,535,574 INTEL CORP ........................ 112,768,715
130,100 oINTER-CITY PRODUCTS CORP .......... 371,523
59,000 KYOCERA CORP ...................... 4,168,748
324,000 MINEBEA CO LTD .................... 2,720,549
See notes to financial statements.
-31-
<PAGE>
SHARES VALUE
------ -----
ELECTRICAL EQUIPMENT--
COMPONENTS DIVERSIFIED (CONTINUED)
64,074 MOTOROLA, INC ..................... $ 4,028,652
59,200 MURATA MANUFACTURING CO LTD ....... 2,239,864
117,000 OMRON TATEISI ELECTRONICS CO ...... 2,485,385
29,000 ROHM CO ........................... 1,914,205
202,500 SGL CARBON AG. .................... 23,679,546
-----------
154,848,013
-----------
ELECTRICAL EQUIPMENT--
INSTRUMENTS--0.59%
65,000 oASAHI OPTICAL CO LTD .............. 353,192
138,000 CANON, INC ........................ 2,868,572
166,000 FUJI PHOTO FILM CO LTD ............ 5,236,440
256,000 KONICA CORP ....................... 1,927,844
6,100 PERKIN-ELMER CORP ................. 294,325
269,000 RICOH CO LTD ...................... 2,844,868
49,000 SEIKO CORP ........................ 460,134
432,000 TOPPAN PRINTING CO ................ 6,301,670
106,000 YAMAHA CORP ....................... 1,749,187
-----------
22,036,232
-----------
ENVIRONMENTAL CONTROL--0.02%
27,100 WMX TECHNOLOGIES, INC ............. 887,525
-----------
FINANCIAL--MISCELLANEOUS--1.27%
824,560 oBURE INVESTMENT AKTIEBOLAGET ...... 7,579,932
793 COMPAGNIE BANCAIRE S.A. ........... 89,338
8 COUNTRYWIDE CREDIT INDUSTRIES, INC. 198
14,772 CPR-COMPAGNIE PARISIENNE DE
REESCOMPTE ....................... 1,141,980
102,800 CREDIT SAISON CO .................. 2,483,653
533,000 DAIWA SECURITIES CO LTD ........... 6,851,699
52 DEAN WITTER DISCOVER & CO ......... 2,977
288 FEDERAL NATIONAL MORTGAGE
ASSOCIATION ...................... 9,648
15,124 GREAT WESTERN FINANCIAL CORP ...... 361,085
18 HOUSEHOLD INTERNATIONAL, INC ...... 1,368
11 LEHMAN BROTHERS HOLDINGS, INC ..... 272
164,675 MERCURY ASSETS MANAGEMENT
GROUP PLC ........................ 2,469,164
724,000 NOMURA SECURITIES CO LTD .......... 14,125,515
616,802 PROVIDENT FINANCIAL PLC ........... 4,408,579
137,791 SCHROEDERS LTD .................... 2,901,050
661,000 YAMAICHI SECURITIES CO LTD ........ 4,531,805
-----------
46,958,263
-----------
FOODS--1.26%
200,000 AJINOMOTO CO LTD .................. 2,388,654
87,901 ARCHER DANIELS MIDLAND CO ......... 1,681,106
509,440 ASSOCIATED BRITISH FOODS PLC ...... 3,063,367
1,220 AULT FOODS LTD .................... 14,516
204,217 CADBURY SCHWEPPES LTD ............. 1,615,119
14,600 CAMPBELL SOUP CO .................. 1,029,300
4,671 DANONE GROUP ...................... 706,779
1,072 oEARTHGRAINS CO .................... 35,108
1,138 oERIDANIA BEGHIN-SAY S.A. .......... 178,161
53,000 EZAKI GLICO CO LTD ................ 589,505
227,334 oFINANZIARIA AUTOGRILL S.P.A. ...... 260,425
25,300 GENERAL MILLS, INC ................ 1,378,850
12,550 HEINZ (H.J.) CO ................... 381,206
188,000 HOUSE FOODS CORP .................. 3,565,111
31,095 KORN-OG FODERSTOF KOMPAGNIET AS ... 1,404,850
226,000 MEIJI SEIKA KAISHA LTD ............ 1,399,040
465,000 NESTLE MALAYSIA BERHAD ............ 3,745,637
6,469 NESTLE S.A. (REGD) ................ 7,385,312
270,000 NICHIREI CORP ..................... 1,932,348
298,000 oNIPPON SUISAN KAISHA LTD .......... 1,268,776
552,000 PRIMA LTD ......................... 1,955,366
19,200 QUAKER OATS CO .................... 655,200
356 RALSTON PURINA GROUP .............. 22,828
50,100 SARA LEE CORP ..................... 1,621,987
104,000 SNOW BRAND MILK PRODUCTS CO ....... 706,385
162,000 TAKARA SHUZO CO LTD ............... 1,654,188
201,613 UNILEVER LTD ...................... 4,009,808
209,057 UNITED BISCUITS HOLDINGS PLC ...... 695,142
84,000 oYAMAZAKI BAKING CO LTD ............ 1,554,630
-----------
46,898,704
-----------
FOREST PRODUCTS--0.23%
300,369 ARJO WIGGINS APPLETON PLC ......... 821,415
2,000 GEORGIA-PACIFIC CORP .............. 142,000
51,600 oINTERNATIONAL FOREST PRODUCTS LTD . 453,393
117,000 oJAYA TIASA HOLDINGS BERHAD ........ 684,566
11,370 PAPIERWERKE WALDHOF-
ASCHAFFENBURG AG. ................ 1,426,665
75 RAYONIER, INC ..................... 2,850
80,400 oREPAP ENTERPRISES, INC. ........... 314,959
675,866 REXAM PLC ......................... 3,560,044
23,700 WEYERHAEUSER CO ................... 1,007,250
-----------
8,413,142
-----------
HEALTHCARE--DRUGS--5.06%
49,864 AMERICAN HOME PRODUCTS CORP ....... 2,998,073
185,000 BANYU PHARMACEUTICAL CO LTD ....... 2,614,299
43,963 BRISTOL MYERS SQUIBB CO ........... 3,956,670
110,000 CHUGAI PHARMACEUTICAL CO LTD ...... 1,073,070
4,452 CIBA-GEIGY AG. (BR) ............... 5,399,162
5,364 CIBA-GEIGY AG. (REGD) ............. 6,535,188
94,000 DAIICHI PHARMACEUTICAL CO ......... 1,448,326
1,041,306 GLAXO WELLCOME PLC ................ 14,019,807
550,000 IVAX CORP ......................... 8,731,250
68,600 KISSEI PHARMACEUTICALS CO LTD ..... 1,920,058
188,000 KYOWA HAKKO KOGYO ................. 1,799,695
45,962 LILLY (ELI) & CO .................. 2,987,530
97,282 MERCK & CO, INC ................... 6,286,849
22,230 MERCK & CO KGAA ................... 832,420
73,200 MOCHIDA PHARMACEUTICAL CO LTD ..... 954,331
30,000 oNEUROSEARCH AS NEW ................ 1,150,794
4,462 PFIZER, INC ....................... 318,475
1,828 ROCHE HOLDINGS AG. (GENUSSCHEINE) . 13,939,641
65,922 SANDOZ AG. (REGD) ................. 75,364,964
111,100 SANKYO CO LTD ..................... 2,876,632
15,200 SCHERING-PLOUGH CORP .............. 953,800
865,540 SMITHKLINE BEECHAM/BECKMAN LTD .... 9,259,471
351,100 TAISHO PHARMACEUTICAL CO LTD ...... 7,586,319
170,000 TAKEDA CHEMICAL INDUSTRY LTD ...... 3,006,786
201,000 TANABE SEIYAKU CO LTD ............. 1,568,634
39,600 WARNER-LAMBERT CO ................. 2,178,000
86,000 YAMANOUCHI PHARMACEUTICAL CO ...... 1,866,067
269,416 ZENECA GROUP PLC .................. 5,956,942
-----------
187,583,253
-----------
HEALTHCARE--HOSPITAL SUPPLY--0.27%
66,133 ABBOTT LABORATORIES CO ............ 2,876,785
44,000 BAXTER INTERNATIONAL, INC ......... 2,079,000
104,638 JOHNSON & JOHNSON CO .............. 5,179,581
-----------
10,135,366
-----------
HEALTHCARE--OTHER--0.72%
1,052,150 oCAREMARK INTERNATIONAL, INC ....... 26,566,787
463 oESSILOR INTERNATIONAL ............. 131,121
-----------
26,697,908
-----------
HEALTHCARE--SERVICE--1.85%
1,200,333 ADAC LABORATORIES, INC (NEW) ...... 27,307,575
757,290 COLUMBIA/HCA HEALTHCARE CORP ...... 40,420,353
See notes to financial statements.
-32-
<PAGE>
SHARES VALUE
------ -----
HEALTHCARE--SERVICE (CONTINUED)
12,100 oEXTENDICARE (SUB-VTG)(CLASS A) .... $ 146,631
180 oTRANSPORT HOLDINGS, INC (CLASS A) . 8,280
13,550 U.S. HEALTHCARE, INC .............. 745,250
-----------
68,628,089
-----------
HOUSEHOLD--CONSUMER
ELECTRONICS--0.90%
770,000 MATSUSHITA ELECTRIC
INDUSTRIAL CO LTD ................ 14,320,983
84,000 PIONEER ELECTRONIC CORP ........... 1,998,811
562,000 SANYO ELECTRIC CO LTD ............. 3,427,791
342,000 SHARP CORP ........................ 5,986,586
118,400 SONY CORP ......................... 7,782,854
-----------
33,517,025
-----------
HOUSEHOLD--DURABLE GOODS--0.04%
300 BLACK & DECKER CORP ............... 11,587
35,100 MAYTAG CO ......................... 732,712
13,300 SHAW INDUSTRIES, INC .............. 174,562
9,700 WHIRLPOOL CORP .................... 481,362
-----------
1,400,223
-----------
HOUSEHOLD--PRODUCTS--0.21%
4,096 BIC S.A. .......................... 581,585
137,000 KAO CORP .......................... 1,848,562
39,000 NORITAKE CO LTD ................... 405,341
44,900 PROCTER & GAMBLE CO ............... 4,069,062
22,600 TAMBRANDS, INC .................... 923,775
-----------
7,828,325
-----------
INSURANCE--LIFE--0.09%
131,414 LEGAL & GENERAL GROUP PLC ......... 1,366,038
309,091 PRUDENTIAL CORP PLC ............... 1,949,878
50 SUNAMERICA, INC ................... 2,825
-----------
3,318,741
-----------
INSURANCE--MULTI-LINE,
PROPERTY & CASUALTY--3.13%
910 oAACHENER & MUNCHENER BERTEIL (BR) . 535,048
1,735 oAACHENER & MUNCHENER
BERTEIL (REGD) ................... 1,276,573
495,400 oAETNA LIFE & CASUALTY CO .......... 35,421,100
58,116 oALLEANZA ASSICURAZIONI (S/S) NON CV 376,263
3,609 oALLIANZ AG. (REGD) ................ 6,247,350
470,068 ALLSTATE CORP ..................... 21,446,852
27,587 AMERICAN INTERNATIONAL GROUP, INC . 2,720,767
182,930 oASSICURAZIONI GENERALI S.P.A. ..... 4,216,207
56,760 AXA S.A. .......................... 3,104,641
28,300 CHUBB CORP ........................ 1,411,462
1,410 oCOLONIA KONZERN AG. (REGD) ........ 1,139,337
141,789 COMMERICAL UNION ASSURANCE CO LTD . 1,277,808
5,119 FORTIS AG. ........................ 675,610
135 oFORTIS AG. NPV (STRIP VVPR) ....... 77
427,482 GENERAL ACCIDENT PLC .............. 4,337,366
656,060 GUARDIAN ROYAL EXCHANGE
ASSURANCE PLC .................... 2,528,077
6,200 ITT HARTFORD GROUP, INC ........... 330,150
311,000 MITSUI TAISHO MARINE & FIRE CO LTD 2,469,622
2,093 oMUNCHENER RUECKVERSICHERUNGS-
GESELLSCHAFT (REGD) (P/P) ........ 4,317,449
115 oMUNCHENER RUECKVERSICHERUNGS-
GESELLSCHAFT (REGD) (P/P)
WTS 3/13/98 ...................... 14,505
323,000 NIPPON FIRE & MARINE
INSURANCE CO LTD ................. 2,105,525
491,299 ROYAL INSURANCE PLC ............... 3,038,253
261,000 SUMITOMO MARINE & FIRE
INSURANCE CO ..................... 2,272,457
409,000 TOKIO MARINE & FIRE
INSURANCE CO LTD ................. 5,444,125
94 TRAVELERS GROUP, INC .............. 4,288
34,733 ZURICH INSURANCE CO (REGD) ........ 9,462,288
-----------
116,173,200
-----------
LEISURE TIME--3.30%
14,400 BRUNSWICK CORP .................... 288,000
866,900 oCARMIKE CINEMAS, INC (CLASS A) .... 23,406,300
2,787,600 CARNIVAL CORP (CLASS A) ........... 80,491,950
70,821 DISNEY (WALT) CO .................. 4,452,870
85,492 oGRANADA GROUP LTD (CLASS A) ....... 1,145,058
13,950 oHARRAHS ENTERTAINMENT, INC ........ 394,087
9,500 INTERNATIONAL GAME TECHNOLOGY CO .. 160,312
6,200 oITT CORP (NEW) .................... 410,750
513,438 LADBROKE GROUP PLC ................ 1,436,003
2,725,500 MAGNUM CORP BERHAD ................ 4,609,304
535 oSALOMON S.A. ...................... 488,933
46,000 SEGA ENTERPRISES LTD .............. 2,147,235
43,000 SHIMANO, INC ...................... 768,380
75,902 THORN EMI LTD ..................... 2,115,781
-----------
122,314,963
-----------
MACHINERY--2.03%
122,000 AMANO CORP ........................ 1,813,006
76,200 BOMBARDIER, INC (CLASS B) ......... 1,141,018
18,530 xoBREMER VULKAN AG. ................. 59,648
23,300 CATERPILLAR, INC .................. 1,578,575
136 COOPER INDUSTRIES, INC ............ 5,644
172,000 DAIKIN INDUSTRIES LTD ............. 1,881,748
140,000 EBARA CORP ........................ 2,233,665
8,052 FAG KUGELFISCHER (GEORGE)
SCHAFER & CO ..................... 1,203,409
59,000 FANUC LTD ......................... 2,345,257
841 FISCHER (GEORGE) LTD (BR) ......... 970,875
21 FISCHER (GEORGE) LTD (REGD) ....... 4,764
78,000 FKI PLC ........................... 206,033
261,690 IMI PLC ........................... 1,437,380
4,253 oINDUSTRIE-WERKE KARLSRUHE
AUGSBURG AG. ..................... 874,516
299,000 KOMATSU LTD ....................... 2,944,061
467,000 KUBOTA LTD ........................ 3,078,273
120 LINDE AG. ......................... 78,044
14,100 MAGNA INTERNATIONAL, INC .......... 650,435
895 oMAN AG. (STAMM) ................... 222,721
8,539 oMANNESMANN AG. .................... 2,950,673
881,000 MITSUBISHI HEAVY INDUSTRIES LTD ... 7,654,569
19,000 MORI SEIKI CO LTD ................. 381,090
64,000 oOKUMA CORP ........................ 711,855
145,000 SIDEL S.A. ........................ 36,867,533
194,000 oSUMITOMO HEAVY INDUSTRIES LTD ..... 847,206
34,000 TAKUMA CO ......................... 514,563
109,000 TOYOTA AUTOMATIC LOOM WORKS LTD ... 2,176,319
61,000 TSUGAMI CORP ...................... 319,222
-----------
75,152,102
-----------
METALS--ALUMINIUM--0.12%
53,800 ALCAN ALUMINIUM CO LTD ............ 1,636,808
78,000 TOYO SEIKAN KAISHA LTD ............ 2,716,501
-----------
4,353,309
-----------
METALS--GOLD--0.18%
45,900 AGNICO EAGLE MINES LTD ............ 747,803
26,500 BARRICK GOLD CORP ................. 718,916
55,700 BARRICK GOLD CORP (U.S.) .......... 1,510,862
61,300 CAMBIOR, INC ...................... 810,181
22,800 ECHO BAY MINES LTD ................ 243,743
172,500 oEMPEROR MINES LTD ................. 407,324
189,100 oNEWCREST MINING LTD ............... 759,087
See notes to financial statements.
-33-
<PAGE>
SHARES VALUE
------ -----
METALS--GOLD (CONTINUED)
57,300 PLACER DOME, INC .................. $ 1,369,879
-----------
6,567,795
-----------
METALS--NON-FERROUS--0.70%
9,500 CAMECO CORP ....................... 447,279
1,700 CYPRUS AMAX MINERALS CO ........... 38,462
47,000 FUJIKURA LTD ...................... 389,077
103,000 FURUKAWA ELECTRIC CO LTD .......... 615,078
25,681 INCO LTD .......................... 826,447
63,450 JOHNSON MATTHEY PLC ............... 613,221
566,000 MITSUBISHI MATERIALS CORP ......... 3,075,492
1,038,000 NIKKO KYODO CO .................... 3,851,622
519,000 NIPPON LIGHT METAL CO LTD ......... 2,943,131
85,600 NORANDA, INC ...................... 1,751,862
38,850 RTC CORP PLC (BR) ................. 575,279
375,910 RTZ CORP PLC (REGD) ............... 5,566,367
1,164,000 STRAITS TRADING CO ................ 3,051,221
275,000 SUMITOMO METAL MINING CO LTD ...... 2,379,309
-----------
26,123,847
-----------
METALS--STEEL--0.85%
3,815,000 AMSTEEL CORP BERHAD ............... 2,874,280
473,060 BRITISH STEEL PLC ................. 1,209,141
47,200 DOFASCO, INC ...................... 694,676
142,000 oFLACK S.P.A. ...................... 531,432
849,000 KAWASAKI STEEL CORP ............... 3,057,431
882,000 oKOBE STEEL LTD .................... 2,532,976
1,867,000 NIPPON STEEL CORP ................. 6,400,061
1,853,000 oNKK CORP .......................... 5,608,741
5,813 PREUSSAG AKTIEGESELLSCHAFT AG. .... 1,470,243
68,000 oSTELCO, INC (CLASS A) ............. 306,216
968,000 SUMITOMO METAL INDUSTRIES LTD ..... 2,965,286
18,934 THYSSEN AG. ....................... 3,459,168
15,300 USX-US STEEL GROUP, INC ........... 434,137
-----------
31,543,788
-----------
MISCELLANEOUS MATERIALS &
COMMODITIES--0.19%
309,000 ASAHI GLASS CO LTD ................ 3,690,470
769,000 oKEMAYAN CORP BERHAD ............... 1,201,898
412,000 NIPPON SHEET GLASS CO LTD ......... 2,017,081
-----------
6,909,449
-----------
OFFICE EQUIPMENT--2.94%
30,026 HEWLETT-PACKARD CO ................ 2,991,340
591,990 INTERNATIONAL BUSINESS
MACHINES CORP .................... 58,607,010
889,200 XEROX CORP ........................ 47,572,200
-----------
109,170,550
-----------
PAPER--0.21%
154,000 oDAISHOWA PAPER MANUFACTURING CO ... 1,186,395
92,000 HONSHU PAPER CO LTD ............... 651,719
36,700 INTERNATIONAL PAPER CO ............ 1,353,312
327,000 oMALAYSIAN PACIFIC INDUSTRIES BERHAD 1,362,880
188,000 NEW OJI PAPER CO LTD .............. 1,621,440
287,000 NIPPON PAPER INDUSTRIES CO ........ 1,792,356
-----------
7,968,102
-----------
PETROLEUM--
EXPLORATION & PRODUCTION--0.80%
217,466 LONDON & SCOTTISH MARINE OIL PLC .. 594,701
24 MURPHY OIL CORP ................... 1,089
1,969,000 SAGA PETROLEUM AS SERIES A ........ 28,944,356
-----------
29,540,146
-----------
PETROLEUM--INTEGRATED--1.45%
54,500 oARABIAN OIL CO LTD ................ 2,548,976
1,692,124 BRITISH PETROLEUM PLC ............. 14,841,959
816,828 BROKEN HILL PROPRIETARY CO LTD .... 11,296,197
264,676 BURMAH CASTROL PLC ................ 4,190,673
23,400 CHEVRON CORP ...................... 1,380,600
304,000 COSMO OIL CO LTD .................. 1,879,123
101,100 oGULF CANADA RESOURCES LTD ......... 510,792
313,000 MITSUBISHI OIL CO LTD ............. 2,668,135
30,900 MOBIL CORP ........................ 3,464,662
573,000 NIPPON OIL CO LTD ................. 3,881,462
24 oPETROFINA S.A. WTS 6/03/97 ........ 243
88,908 REPSOL S.A. ....................... 3,089,068
54,532 SOCIETE NATIONALE ELF AQUITAINE ... 4,010,222
29 UNOCAL CORP ....................... 978
2,800 USX-DELHI GROUP, INC .............. 34,300
-----------
53,797,390
-----------
PETROLEUM--SERVICE--3.15%
24,720 oGLOBAL INDUSTRIAL TECHNOLOGIES, INC 395,520
2,351,000 IHC CALAND NV ..................... 115,690,669
9,600 MCDERMOTT INTERNATIONAL, INC ...... 200,400
8,900 oWESTERN ATLAS, INC ................ 518,425
-----------
116,805,014
-----------
PHOTOGRAPHY--0.13%
61,600 EASTMAN KODAK CO .................. 4,789,400
-----------
PROPERTY--REAL ESTATE--1.35%
918,000 CHEUNG KONG HOLDINGS LTD .......... 6,611,545
386,101 CHINESE ESTATES LTD ............... 344,164
196,560 oCITY DEVELOPMENT LTD .............. 1,531,816
13,665 oCITY DEVELOPMENT LTD WTS 7/18/98 .. 79,385
214,000 DAIKYO, INC ....................... 1,590,095
191,206 HAMMERSON PLC ..................... 1,078,458
474,000 HYSAN DEVELOPMENT CO LTD .......... 1,451,249
3,817,000 IGB CORP BERHAD ................... 3,839,482
184,492 LAND SECURITIES PLC ............... 1,785,914
440,000 MITSUBISHI ESTATE CO LTD .......... 6,057,334
349,000 MITSUI FUDOSAN CO LTD ............. 4,709,112
983,128 NEW WORLD DEVELOPMENT CO LTD ...... 4,559,528
1,420 oSEFIMEG S.A. ...................... 95,985
2,254 oSIMCO (REGD) ...................... 207,961
99 oSIMCO (REGD) NEW .................. 8,268
605,900 SUN HUNG KAI PROPERTIES LTD ....... 6,124,924
5,918 oTRIZEC CORP LTD WTS 7/25/99 ....... 4,983
2,927,000 UNITED OVERSEAS LAND LTD .......... 5,142,726
1,387,000 WHARF HOLDINGS LTD ................ 4,963,313
-----------
50,186,242
-----------
PUBLISHING--NEWSPAPER--0.34%
15,997 oCOX COMMUNICATIONS, INC (CLASS A)
NEW .............................. 345,935
7,500 GANNETT CO, INC ................... 530,625
376,400 NEWS CORP LTD ..................... 2,136,066
575,100 SCHIBSTED AS ...................... 7,435,967
83,000 SINGAPORE PRESS HOLDINGS LTD (FR) . 1,628,834
9,500 TIMES MIRROR CO (SERIES A) NEW .... 413,250
-----------
12,490,677
-----------
PUBLISHING--OTHER--0.35%
222,000 DAI NIPPON PRINTING CO LTD ........ 4,290,824
202,255 DE LA RUE CO PLC .................. 1,869,869
8,200 DUN & BRADSTREET CORP ............. 512,500
16,400 MCGRAW HILL COS, INC .............. 750,300
101,010 REED INTERNATIONAL PLC ............ 1,690,344
4,493,000 SOUTH CHINA MORNING POST .......... 3,076,293
12,000 THOMSON CORP ...................... 189,792
15,598 TIME WARNER, INC .................. 612,221
-----------
12,992,143
-----------
See notes to financial statements.
-34-
<PAGE>
SHARES VALUE
------ -----
RAILROAD--1.54%
100 BURLINGTON NORTHERN SANTA FE CORP $ 8,087
115,600 CANADIAN PACIFIC LTD .............. 2,530,891
718,546 CSX CORP .......................... 34,669,844
339,250 oHANKYU CORP ....................... 1,985,668
686,770 KINKI NIPPON RAILWAY CO LTD ....... 4,940,151
394,490 NAGOYA RAILROAD CO LTD ............ 2,010,480
323,000 NIPPON EXPRESS CO LTD ............. 3,150,926
272,950 ODAKYU ELECTRIC RAILWAY CO LTD .... 1,836,502
364,020 TOBU RAILWAY CO LTD ............... 2,386,195
486,000 TOKYU CORP ........................ 3,699,769
-----------
57,218,513
-----------
RESTAURANTS & HOTELS--0.24%
11,524 ACCOR S.A. ........................ 1,611,655
77,000 FUJITA KANKO, INC ................. 1,544,419
73,566 MCDONALDS CORP .................... 3,439,210
3,909 MOEVENPICK HOLDINGS (BR) .......... 1,249,180
975 oPROMUS HOTEL CORP ................. 28,884
1,268,000 REGAL HOTELS INTERNATIONAL LTD .... 339,901
26,600 SYSCO CORP ........................ 911,050
-----------
9,124,299
-----------
RETAIL--FOOD--0.39%
2,600 ALBERTSONS, INC ................... 107,575
11,800 AMERICAN STORES CO, (NEW) ......... 486,750
445,020 ARGYLL GROUP PLC .................. 2,399,408
6,795 CARREFOUR SUPERMARCHE S.A. ........ 3,806,458
1,191,645 DAIRY FARM INTERNATIONAL
HOLDINGS LTD ..................... 1,006,940
33,000 DELHAIZE FRERES NV ................ 1,658,938
321,732 SAINSBURY (J) PLC ................. 1,894,648
53,000 oSCOTTS HOSPITALITY, INC ........... 496,741
2,800 SUPERVALU, INC .................... 88,200
359,924 TESCO PLC ......................... 1,644,194
23,100 WINN DIXIE STORES, INC ............ 817,162
-----------
14,407,014
-----------
RETAIL--GENERAL MERCHANDISE--3.42%
11,070 ADIDAS AG. ........................ 930,136
1,262 ASKO DEUTSCHE KAUFHAUS AG. ........ 932,696
114,280 BOOTS CO LTD ...................... 1,028,120
1,201,200 CIRCUIT CITY STORES, INC .......... 43,393,350
575 COMPTOIRS MODERNES ................ 259,338
247,000 DAIEI, INC ........................ 2,972,506
207,000 DAIMARU, INC ...................... 1,447,496
6,500 DAYTON HUDSON CORP ................ 670,312
689,390 GREAT UNIVERSAL STORES PLC ........ 7,005,479
46,800 HOME DEPOT, INC ................... 2,527,200
1,613,700 oHOME SHOPPING NETWORK, INC ........ 19,364,400
80,000 ISETAN CO ......................... 1,210,737
109,000 ITO-YOKADO CO LTD ................. 6,568,707
112,000 JUSCO CO LTD ...................... 3,665,763
28,082 oK MART CORP ....................... 347,514
2,750 oKARSTADT AG. ...................... 1,111,959
1,841 KAUFHOF HOLDING AG. ............... 696,392
134,494 KINGFISHER PLC .................... 1,352,079
18,320 LIMITED, INC ...................... 393,880
806,366 MARKS & SPENCER PLC ............... 5,895,042
147,000 MARUI CO LTD ...................... 3,256,683
17,000 MAY DEPARTMENT STORES CO .......... 743,750
2,087 MERKUR HOLDINGS AG. (REGD) ........ 438,508
248,000 MITSUKOSHI LTD .................... 2,645,388
41,970 NEXT PLC .......................... 367,149
162,000 NICHII CO LTD ..................... 2,688,056
2,808 oPAYLESS SHOESOURCE, INC ........... 89,154
31,500 PENNEY, (J.C.) CO, INC ............ 1,653,750
354,643 SEARS PLC ......................... 545,533
31,500 SEARS ROEBUCK & CO ................ 1,531,687
99,249 SEVEN-ELEVEN JAPAN CO LTD ......... 6,324,923
10,700 oTOYS R US, INC .................... 304,950
176,058 WAL-MART STORES, INC .............. 4,467,471
------------
126,830,108
------------
TEXTILE & APPAREL--0.44%
2,962 oCHARGEURS INTERNATIONAL S.A. ...... 132,384
4,798 COATS VIYELLA PLC ................. 12,822
137,990 COURTAULDS TEXTILES PLC ........... 769,727
338,711 DAWSON INTERNATIONAL PLC .......... 431,557
12,590 DOLLFUS-MIEG & CIE S.A. ........... 560,012
474,000 oKANEBO LTD ........................ 1,413,116
20,900 NIKE, INC (CLASS B) ............... 2,147,475
187,000 NISSHINBO INDUSTRY, INC ........... 1,841,269
154,000 ONWARD KASHIYMA CO LTD ............ 2,513,192
2,962 oPATHE SA .......................... 695,005
859,000 TORAY INDUSTRIES, INC ............. 5,920,616
------------
16,437,175
------------
TOBACCO--0.76%
698,161 B.A.T. INDUSTRIES LTD ............. 5,434,860
1,997,500 oPT HANJAYA MANDALA SAMPOERNA (FR).. 22,761,512
------------
28,196,372
------------
TRADING COMPANIES--0.50%
504,000 ITOCHU CORP ....................... 3,519,745
780,000 oMALAYSIAN MOSAICS BERHAD .......... 1,119,062
473,000 MARUBENI CORP ..................... 2,587,404
402,000 MITSUBISHI CORP ................... 5,277,648
416,000 MITSUI & CO LTD ................... 3,766,123
257,000 SUMITOMO CORP ..................... 2,282,149
------------
18,552,131
------------
TRUCKERS & SHIPPING--0.92%
3,121,000 CHUAN HUP HOLDINGS ................ 2,388,012
36 DAMPSKIBSSELSKABET AF 1912 (CLASS B) 816,296
26 DAMPSKIBSSELSKABET SVENDBORG
(CLASS B) ........................ 848,859
1,127,656 oICB SHIPPING AB SERIES B .......... 13,595,020
85,800 LAIDLAW, INC (CLASS B) ............ 870,124
396,000 oMITSUI OSK LINES LTD .............. 1,364,705
2,908,000 NEPTUNE ORIENT LINES LTD .......... 3,049,124
636,000 NIPPON YUSEN K.K. ................. 3,676,193
100,000 oNORDIC AMERICAN TANKER SHIP
WTS 09/30/97 ..................... 387,500
284,980 OCEAN GROUP PLC ................... 2,023,604
138,799 PENINSULAR & ORIENTAL STEAM
NAVIGATION CO .................... 1,048,136
200 RYDER SYSTEMS, INC ................ 5,625
78,000 SEINO TRANSPORTATION CO LTD ....... 1,230,247
244,358 YAMATO TRANSPORT CO LTD ........... 2,873,877
------------
34,177,322
------------
UTILITIES--ELECTRIC--2.23%
720,000 CHINA LIGHT & POWER CO LTD ........ 3,264,788
197,488 EAST MIDLANDS ELECTRICITY PLC ..... 1,598,724
4,671,650 EDISON ............................ 28,174,721
10,950 ELECTRABEL NV ..................... 2,352,149
10,950 ELECTRABEL S.A. VVPR STRIP ........ 11,184
33,227 EMPRESA NACIONAL DE ELECTRIDAD S.A. 2,070,507
36,604 IBERDROLA 1 S.A. .................. 375,399
293,910 KANSAI ELECTRIC POWER CO, INC ..... 6,725,739
155,100 oMELCO INTERNATIONAL DEVELOPMENT ... 43,079
140,808 NATIONAL GRID GROUP PLC ........... 373,032
607,600 oNATIONAL POWER PLC ................ 4,909,262
72,910 oRHEIN-WESTFALEN ELECTRIC AG. (STAMM) 2,840,338
See notes to financial statements.
-35-
<PAGE>
SHARES VALUE
------ -----
UTILITIES--ELECTRIC (CONTINUED)
186,372 SCOTTISH POWER PLC ................ $ 880,337
247,000 SHUN TAK ENTERPRISES CORP LTD ..... 151,567
824,000 TENAGA NASIONAL BERHAD ............ 3,467,314
156,954 TOHOKU ELECTRIC POWER CO, INC ..... 3,505,826
453,187 TOKYO ELECTRIC POWER CO, INC ...... 11,486,142
600 TRACTEBEL NV ...................... 245,609
350,600 TRANSALTA CORP .................... 3,786,591
95,000 VEBA AG. .......................... 5,047,070
3,799 oVIAG AG. .......................... 1,514,908
------------
82,824,286
------------
UTILITIES--GAS & PIPELINE--0.76%
1,067,670 BRITISH GAS CORP PLC .............. 2,986,102
188,450 CALOR GROUP PLC ................... 711,537
6,287 oENERGIA E INDUSTRIAS
ARAGONESAS S.A. .................. 30,939
23,141 oGENERALE DES EAUX ................. 2,584,558
170,852 IPL ENERGY, INC ................... 4,291,002
1,757,000 OSAKA GAS CO LTD .................. 6,423,446
33,384 PRIMAGAZ .......................... 3,702,635
2,026,000 TOKYO GAS CO LTD .................. 7,388,416
------------
28,118,635
------------
UTILITIES--OTHER--0.38%
432,590 oANGLIAN WATER PLC ................. 3,985,898
614,027 THAMES WATER PLC .................. 5,409,606
565,024 UNITED UTILITIES PLC .............. 4,758,403
------------
14,153,907
------------
UTILITIES--TELEPHONE--4.13%
82,619 AT & T CORP ....................... 5,122,378
7,600 BCE, INC .......................... 299,113
66,194 BELLSOUTH CORP .................... 2,804,970
2,486,591 oBRITISH TELECOMMUNICATIONS PLC .... 13,368,281
410,512 CABLE & WIRELESS PLC .............. 2,717,256
4,399,800 HONG KONG TELECOMMUNICATIONS LTD .. 7,900,656
1 PACIFIC TELESIS GROUP CO .......... 33
50 SPRINT CORP ....................... 2,100
298,000 oTECHNOLOGY RESOURCES
INDUSTRIES BERHAD ................ 1,038,992
8,469,999 TELECOM ITALIA S.P.A. ............. 18,196,437
7,869,999 TELECOM ITALIA MOBILE S.P.A. ...... 17,574,494
234,503 TELEFONICA DE ESPANA S.A. ......... 4,316,177
738,000 TELEKOM MALAYSIA BERHAD ........... 6,565,776
1,129,704 VODAFONE GROUP PLC ................ 4,204,025
1,247,500 oWORLDCOM, INC ..................... 69,080,312
--------------
153,191,000
--------------
TOTAL COMMON STOCK
(COST $ 3,084,395,755) ............ 3,518,918,058
--------------
PRINCIPAL
---------
SHORT TERM INVESTMENTS--7.74%
BANKERS ACCEPTANCES--0.27%
NATIONS BANK OF TEXAS
$10,000,000 5.370%, 08/20/96 ............... 9,923,777
--------------
COMMERCIAL PAPER--5.38%
AMERICAN EXPRESS CREDIT CORP
12,000,000 5.300%, 07/01/96 ............... 11,997,973
AMERICAN HOME PRODUCTS
12,700,000 5.400%, 07/24/96 ............... 12,653,087
CIESCO LP
12,000,000 5.280%, 07/19/96 ............... 11,965,159
CIT GROUP HOLDINGS INC
12,000,000 5.290%, 07/15/96 ............... 11,972,473
COCA-COLA ENTERPRISES, INC
12,000,000 5.320%, 07/17/96 ............... 11,968,840
COLUMBIA/HCA HEALTHCARE CORP
9,661,000 #5.500%, 07/16/96 ............... 9,636,997
CONAGRA, INC
12,700,000 5.520%, 07/09/96 ............... 12,681,969
COOPER INDUSTRIES, INC
12,000,000 5.600%, 07/01/96 ............... 11,998,102
CORPORATE ASSET FUNDING CORP, INC
12,700,000 5.350%, 07/02/96 ............... 12,695,956
GENERAL MOTORS ACCEPTANCE CORP
10,000,000 5.320%, 07/12/96 ............... 9,981,177
GOLDMAN SACHS GROUP, LP
7,709,000 5.310%, 07/09/96 ............... 7,698,248
GTE CORP
10,000,000 5.500%, 07/03/96 ............... 9,995,194
MORGAN STANLEY GROUP, INC
12,000,000 5.310%, 07/11/96 ............... 11,979,577
NEW YORK STATE ELECTRIC & GAS CORP
7,000,000 #5.550%, 07/08/96 ............... 6,991,172
NEW YORK STATE ELECTRIC & GAS CORP
5,500,000 5.510%, 07/22/96 ............... 5,481,223
NORDSTROM CREDIT INC
6,000,000 5.350%, 07/16/96 ............... 5,985,343
SMITH BARNEY INC
12,000,000 5.390%, 07/26/96 ............... 11,952,446
SOUTHWESTERN BELL CAPITAL CORP
12,000,000 5.280%, 08/08/96 ............... 11,928,626
THE STANLEY WORKS
10,000,000 5.420%, 07/30/96 ............... 9,954,300
--------------
199,517,862
--------------
GOVERNMENT AGENCIES--2.09%
FEDERAL FARM CREDIT BANKS
13,900,000 5.280%, 07/29/96 ............... 13,840,997
FEDERAL HOME LOAN MORTGAGE CORP
12,000,000 5.250%, 07/03/96 ............... 11,994,732
10,000,000 5.230%, 07/11/96 ............... 9,983,911
16,000,000 5.285%, 07/15/96 ............... 15,964,880
7,000,000 5.270%, 07/15/96 ............... 6,984,629
9,000,000 5.335%, 09/24/96 ............... 8,886,067
FEDERAL NATIONAL MORTGAGE
ASSOCIATION
10,000,000 5.180%, 07/18/96 ............... 9,972,433
--------------
77,627,649
--------------
TOTAL SHORT TERM INVESTMENTS
(COST $287,126,912) ................. 287,069,288
--------------
ROUNDING .......................... 319
--------------
TOTAL PORTFOLIO
(COST $3,419,870,791) .............$3,856,894,641
==============
- ----------------
o NON-INCOME PRODUCING
X IN BANKRUPTCY
# RESTRICTED
See notes to financial statements.
-36-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
TRANSACTIONS WITH AFFILIATED COMPANIES--GLOBAL EQUITIES ACCOUNT (UNAUDITED)
JANUARY 1, 1996--JUNE 30, 1996
<TABLE>
<CAPTION>
PURCHASES SALES
VALUE AT ---------- --------- REALIZED DIVIDEND SHARES AT VALUE AT
ISSUE DECEMBER 31, 1995 COST PROCEEDS GAIN (LOSS) INCOME JUNE 30, 1996 JUNE 30, 1996
----- ----------------- ---------- --------- ----------- --------- ------------- -------------
<S> <C> <C> <C> <C> <C> <C> <C>
ADAC LABORATORIES, INC (NEW) $ 14,554,037 -- -- -- $ 288,078 1,200,333 $ 27,307,575
COMMUNITY PSYCHIATRICS CENTERS 30,707,075 -- $12,830,861 $(2,990,877) -- * *
IHC CALAND NV 77,811,689 $ 2,006,859 -- -- 2,134,565 2,351,000 115,690,669
WESTWOOD ONE, INC 30,525,537 9,040,004 -- -- -- 2,661,100 40,581,775
------------ ----------- ----------- ----------- ---------- ------------
TOTAL AFFILIATED TRANSACTIONS $153,598,338 $11,046,863 $12,830,861 $(2,990,877) $2,422,643 $183,580,019
============ =========== =========== =========== ========== ============
</TABLE>
* NOT AN AFFILIATE AS OF JUNE 30, 1996
See notes to financial statements.
-37-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENT OF INVESTMENTS--GROWTH ACCOUNT (Unaudited)
JUNE 30, 1996
SUMMARY
VALUE %
----- ---
PREFERRED STOCK
FINANCIAL--MISCELLANEOUS ...................... $ 20,857 0.00%
HEALTHCARE--SERVICE ........................... 12,240 0.00
------------ -----
TOTAL PREFERRED STOCK
(Cost $ 33,958) ................................ 33,097 0.00
------------ -----
COMMON STOCK
AEROSPACE ..................................... 622,312 0.04
AIR TRANSPORTATION ............................ 2,965,212 0.17
AUTOMOTIVE & RELATED .......................... 21,708,984 1.23
BANKS ......................................... 42,507,764 2.40
BEVERAGES ..................................... 60,012,699 3.39
BROADCASTERS .................................. 11,646,876 0.66
BUSINESS SERVICES ............................. 24,022,443 1.36
CHEMICALS--MAJOR .............................. 33,026,062 1.87
CHEMICALS--SPECIALTY .......................... 13,275,888 0.75
COMMUNICATION EQUIPMENT & SERVICES ............ 51,055,790 2.89
COMPUTER SERVICE .............................. 87,178,144 4.93
CONGLOMERATES ................................. 13,039,624 0.74
CONSTRUCTION--MATERIALS & BUILDERS ............ 4,028,262 0.23
CONTAINERS .................................... 1,928,768 0.11
COSMETICS ..................................... 16,377,849 0.93
ELECTRICAL EQUIPMENT .......................... 79,517,424 4.49
ELECTRICAL EQUIPMENT--
COMPONENTS DIVERSIFIED ...................... 117,501,909 6.64
ELECTRICAL EQUIPMENT--INSTRUMENTS ............. 5,130,404 0.29
ENVIRONMENTAL CONTROL ......................... 9,730,900 0.55
FINANCIAL--MISCELLANEOUS ...................... 59,762,235 3.38
FOODS ......................................... 59,921,578 3.39
FOREST PRODUCTS ............................... 185,850 0.01
HEALTHCARE--DRUGS ............................. 96,783,727 5.47
HEALTHCARE--HOSPITAL SUPPLY ................... 64,389,457 3.64
HEALTHCARE--OTHER ............................. 32,356,546 1.83
HEALTHCARE--SERVICE ........................... 40,538,251 2.29
HOUSEHOLD--CONSUMER ELECTRONICS ............... 147,750 0.01
HOUSEHOLD--DURABLE GOODS ...................... 32,493,618 1.83
HOUSEHOLD--PRODUCTS ........................... 53,420,337 3.02
INSURANCE--BROKERS & OTHER .................... 5,425,225 0.30
INSURANCE--LIFE ............................... 2,049,049 0.11
INSURANCE--MULTI-LINE,
PROPERTY & CASUALTY ......................... 103,752,552 5.86
LEISURE TIME .................................. 64,164,452 3.63
MACHINERY ..................................... 12,594,750 0.71
METALS--ALUMINIUM ............................. 191,162 0.01
METALS--GOLD .................................. 3,797,003 0.21
METALS--NON-FERROUS ........................... 791,237 0.04
METALS--STEEL ................................. 2,619,111 0.15
OFFICE EQUIPMENT .............................. 29,832,322 1.68
PAPER ......................................... 31,243,967 1.76
PETROLEUM--
EXPLORATION & PRODUCTION .................... 7,012,885 0.39
PETROLEUM--INTEGRATED ......................... 6,089,550 0.34
PETROLEUM--SERVICE ............................ 22,920,937 1.30
PHOTOGRAPHY ................................... 8,052,750 0.46
PROPERTY--REAL ESTATE ......................... 1,935,225 0.11
PUBLISHING--NEWSPAPER ......................... 5,418,712 0.31
PUBLISHING--OTHER ............................. 12,584,036 0.71
RAILROAD ...................................... 3,893,905 0.22
RESTAURANTS & HOTELS .......................... 51,163,808 2.89
RETAIL--FOOD .................................. 10,175,279 0.58
RETAIL--GENERAL MERCHANDISE ................... 127,639,548 7.21
TEXTILE & APPAREL ............................. 26,248,057 1.48
TOBACCO ....................................... 52,349,175 2.96
TRUCKERS & SHIPPING ........................... 11,619,654 0.66
UTILITIES--ELECTRIC ........................... 998,575 0.06
UTILITIES--GAS & PIPELINE ..................... 7,293,296 0.41
UTILITIES--TELEPHONE .......................... 40,216,347 2.27
-------------- ------
TOTAL COMMON STOCK
(Cost $ 1,441,218,023) ......................... 1,687,349,232 95.36
-------------- ------
SHORT TERM INVESTMENTS
COMMERCIAL PAPER .............................. 12,494,454 0.70
GOVERNMENT AGENCIES ........................... 67,543,092 3.82
-------------- ------
TOTAL SHORT TERM INVESTMENTS
(Cost $ 80,050,677) ............................ 80,037,546 4.52
-------------- ------
ROUNDING ...................................... 122 0.00
-------------- ------
TOTAL PORTFOLIO
(Cost $ 1,521,302,658) ......................... 1,767,419,997 99.88
-------------- ------
OTHER ASSETS & LIABILITIES, NET .............. 2,134,701 0.12
-------------- ------
NET ASSETS ...................................... $1,769,554,698 100.00%
============== ======
See notes to financial statements.
-38-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENT OF INVESTMENTS--GROWTH ACCOUNT (Unaudited)
JUNE 30, 1996
SHARES VALUE
------ -----
PREFERRED STOCK--0.00%
FINANCIAL--MISCELLANEOUS--0.00%
810 PHOENIX DUFF & PHELPS CORP ........ $ 20,857
-----------
HEALTHCARE--SERVICE--0.00%
480 FHP INTERNATIONAL CORP SERIES A CV. 12,240
-----------
TOTAL PREFERRED STOCK
(Cost $33,958) ...................... 33,097
-----------
COMMON STOCK--95.36%
AEROSPACE--0.04%
23,500 EG & G, INC ....................... 502,312
3,200 oOEA, INC .......................... 120,000
-----------
622,312
-----------
AIR TRANSPORTATION--0.17%
5,900 oAIR EXPRESS INTERNATIONAL CORP .... 166,675
8,200 ATLANTIC SOUTHEAST AIRLINES, INC .. 231,650
12,750 COMAIR HOLDINGS, INC .............. 344,250
3,100 oCONTINENTAL AIRLINES, INC (CLASS B) 191,425
4,600 oFEDERAL EXPRESS CORP .............. 377,200
21,400 oMESA AIRLINES, INC ................ 254,125
34,700 SOUTHWEST AIRLINES CO ............. 1,010,637
1,000 oU.S. AIR GROUP, INC ............... 18,000
4,800 oUAL CORP NEW ...................... 258,000
12,000 oVALUJET, INC ...................... 113,250
-----------
2,965,212
-----------
AUTOMOTIVE & RELATED--1.23%
16,200 oALLEN GROUP, INC .................. 352,350
4,800 BANDAG, INC ....................... 230,400
4,500 BREED TECHNOLOGIES, INC ........... 100,687
662,200 COOPER TIRE & RUBBER CO ........... 14,733,950
10,900 DANAHER CORP ...................... 474,150
1,300 EATON CORP ........................ 76,212
17,600 ECHLIN, INC ....................... 666,600
500 oFOAMEX INTERNATIONAL, INC ......... 6,125
97 GENERAL MOTORS CORP ............... 5,080
11,200 GENUINE PARTS CO .................. 512,400
25,300 HARLEY DAVIDSON, INC .............. 1,040,462
16,800 HAYES WHEELS INTERNATIONAL, INC ... 533,400
18,000 oKIRBY CORP ........................ 303,750
16,600 oLEAR CORP ......................... 585,150
18,400 oLO-JACK CORP ...................... 207,000
4,400 MODINE MANUFACTURING CO ........... 116,600
10,700 POLARIS INDUSTRIES, INC ........... 365,137
7,800 oRENTERS CHOICE, INC ............... 198,900
21,300 SAFETY-KLEEN CORP ................. 372,750
11,400 STANDARD PRODUCTS CO .............. 265,050
12,100 SUPERIOR INDUSTRIES
INTERNATIONAL, INC ............... 320,650
7,200 oTBC CORP .......................... 62,100
1,150 TRANSPRO, INC ..................... 7,906
9,700 WABASH NATIONAL CORP .............. 172,175
-----------
21,708,984
-----------
BANKS--2.40%
5,500 CAPITAL ONE FINANCIAL CORP ........ 156,750
161,100 oCITICORP CO ....................... 13,310,887
22,500 FIFTH THIRD BANCORP ............... 1,215,000
10,000 LONG ISLAND BANCORP, INC .......... 305,625
119,400 NORTHERN TRUST CORP ............... 6,895,350
36,000 NORWEST CORP ...................... 1,255,500
52,565 OLD NATIONAL BANCORP .............. 1,944,905
697,261 SIGNET BANKING CORP ............... 16,211,318
2,800 STATE STREET BOSTON CORP .......... 142,800
27,300 SYNOVUS FINANCIAL CORP ............ 590,362
404 WELLS FARGO & CO .................. 96,505
11,800 WILMINGTON TRUST CORP ............. 382,762
-----------
42,507,764
-----------
BEVERAGES--3.39%
36,100 ANHEUSER BUSCH COS, INC ........... 2,707,500
11,800 BROWN FORMAN, INC (CLASS B) ....... 472,000
794,100 COCA COLA CO ...................... 38,811,637
12,100 COCA COLA ENTERPRISES, INC ........ 418,962
497,600 PEPSICO, INC ...................... 17,602,600
-----------
60,012,699
-----------
BROADCASTERS--0.66%
12,075 oASSOCIATED GROUP, INC (CLASS A) ... 365,268
575 oASSOCIATED GROUP, INC (CLASS B) ... 17,178
1,000 oCITICASTERS, INC .................. 31,250
8,500 oCLEAR CHANNEL COMMUNICATIONS, INC . 700,187
18,400 COMCAST CORP (CLASS A) ............ 338,100
71,200 COMCAST CORP (CLASS A) SPL ........ 1,317,200
14,700 oEVERGREEN MEDIA CORP (CLASS A) .... 628,425
16,220 GAYLORD ENTERTAINMENT CO .......... 458,215
28,950 oINFINITY BROADCASTING CORP (CLASS A) 868,500
5,900 oKING WORLD PRODUCTIONS, INC ....... 214,612
36,350 oLIBERTY MEDIA GROUP CLASS A ....... 963,275
4,500 oLIN TELEVISION CORP ............... 162,000
2,800 oSCRIPPS (E.W.) CO (CLASS A) ....... 130,550
4,300 TCA CABLE TV, INC ................. 130,075
199,500 oTELE-COMMUNICATIONS, INC
(CLASS A) NEW .................... 3,615,937
36,100 TURNER BROADCASTING
SYSTEMS, INC (CLASS B) ........... 992,750
2,500 UNITED TELEVISION, INC ............ 245,000
12,196 oVIACOM, INC (CLASS A) ............. 464,972
87 oVIACOM, INC (CLASS B) ............. 3,382
-----------
11,646,876
-----------
BUSINESS SERVICES--1.36%
22,100 oACCUSTAFF, INC ..................... 602,225
7,900 ADVO, INC .......................... 81,962
2,300 oALLIANCE SEMICONDUCTOR CORP ........ 19,262
1,000 oALTERNATIVE RESOURCES CORP ......... 36,750
18,200 oAMERICA ONLINE, INC ................ 796,250
3,400 oATRIA SOFTWARE, INC ................ 170,000
13,000 AUTODESK, INC ...................... 388,375
34,700 BLOCK (H&R), INC ................... 1,132,087
2,500 oCABLEVISION SYSTEMS CORP (CLASS A) . 115,625
29,900 oCALGENE, INC ....................... 198,087
3,200 oCAREER HORIZON, INC ................ 112,000
4,500 oCATALINA MARKETING CORP ............ 411,750
14,200 oCHECKPOINT SYSTEMS, INC ............ 488,125
5,300 CINTAS CORP ........................ 283,550
11,000 oCOMPUTER HORIZONS CORP ............. 434,500
25,900 oCORPORATE EXPRESS, INC ............. 1,036,000
8,900 oCORRECTIONS CORP OF AMERICA ........ 623,000
8,100 oCREDENCE SYSTEMS CORP .............. 108,843
6,000 DELUXE CORP ........................ 213,000
3,500 oDIALOGIC CORP ...................... 208,687
See notes to financial statements.
-39-
<PAGE>
SHARES VALUE
------ -----
BUSINESS SERVICES (CONTINUED)
10,400 DIEBOLD, INC ....................... $ 501,800
22,600 oFORE SYSTEMS, INC .................. 816,425
17,700 oFRANKLIN QUEST CO .................. 367,275
12,100 oFRITZ COS, INC ..................... 390,225
3,000 oGATEWAY 2000, INC .................. 102,000
8,000 oGENERAL MAGIC, INC ................. 53,000
15,900 HARLAND (JOHN H.) CO ............... 391,537
39,300 INTERPUBLIC GROUP OF COS, INC ...... 1,842,187
5,000 oITRON, INC ......................... 141,875
8,000 KELLY SERVICES, INC (CLASS A) ...... 234,000
12,300 LIBERTY PROPERTY TRUST CO .......... 244,462
26,700 MANPOWER, INC ...................... 1,047,975
8,100 oMCAFEE ASSOCIATES, INC ............. 396,900
5,600 oMERCURY INTERACTIVE CORP ........... 77,000
6,400 oMICRO WAREHOUSE, INC ............... 128,000
11,800 oNORAND CORP ........................ 236,000
38,300 oOFFICE DEPOT, INC .................. 780,362
15,000 OLSTEN CORP ........................ 440,625
24,700 OMNICOM GROUP, INC ................. 1,148,550
2,200 oOPTICAL DATA SYSTEMS, INC .......... 48,400
18,750 PAYCHEX, INC ....................... 902,343
7,000 oQUARTERDECK CORP ................... 65,625
15,200 oROBERT HALF INTERNATIONAL, INC ..... 423,700
4,100 ROLLINS, INC ....................... 96,350
18,500 SENSORMATIC ELECTRONICS CORP ....... 302,937
32,000 SERVICE CORP INTERNATIONAL ......... 1,840,000
7,900 oSPECTRUM HOLOBYTE, INC ............. 45,425
11,400 oSTAC, INC .......................... 128,250
22,000 oSTRATACOM, INC ..................... 1,237,500
11,600 oSUNGARD DATA SYSTEMS, INC .......... 465,450
2,900 oTHERMOLASE CORP .................... 79,025
9,600 oTSENG LABORATORIES, INC ............ 92,400
19,500 oU.S. CELLULAR CORP ................. 604,500
8,000 VALSPAR CORP ....................... 368,000
9,100 oVERIFONE, INC ...................... 384,475
7,300 oWONDERWARE CORP .................... 137,787
-----------
24,022,443
-----------
CHEMICALS--MAJOR--1.87%
28,900 AIR PRODUCTS & CHEMICALS, INC ...... 1,668,975
6,900 oAPPLIX, INC ........................ 198,375
55,500 DOW CHEMICAL CO .................... 4,218,000
10,900 EASTMAN CHEMICAL CO ................ 663,537
32,300 HERCULES, INC ...................... 1,784,575
87,500 MONSANTO CO ........................ 2,843,750
10,200 oOAK TECHNOLOGY, INC ................ 95,625
41,000 PPG INDUSTRIES, INC ................ 1,998,750
452,300 PRAXAIR, INC ....................... 19,109,675
3,300 oQUINTILES TRANSNATIONAL CORP ....... 216,975
400 ROHM & HAAS CO ..................... 25,100
5,100 UNION CARBIDE CORP ................. 202,725
-----------
33,026,062
-----------
CHEMICALS--SPECIALTY--0.75%
19,800 oAIRGAS, INC ........................ 376,200
16,150 ALBEMARLE CORP ..................... 294,737
4,400 BETZ LABORATORIES, INC ............. 193,050
7,000 CROMPTON & KNOWLES CORP ............ 117,250
18,200 ECOLAB, INC ........................ 600,600
35,450 ENGELHARD CORP ..................... 815,350
49,600 ETHYL CORP ......................... 477,400
15,000 FERRO CORP ......................... 397,500
3,100 FIRST MISSISSIPPI CORP ............. 68,975
10,700 FOSTER WHEELER CORP ................ 480,162
12,800 GEORGIA GULF CORP .................. 374,400
1,800 oGRACE (W.R.) & CO .................. 127,575
22,500 GREAT LAKES CHEMICAL CORP .......... 1,400,625
9,500 ICN PHARMACEUTICALS, INC (NEW) ..... 220,875
8,480 IMC GLOBAL, INC .................... 319,060
6,300 LOCTITE CORP ....................... 292,950
7,900 LUBRIZOL CORP ...................... 239,962
9,700 LYONDELL PETROCHEMICAL CO .......... 234,012
5,050 oMCWHORTER TECHNOLOGIES, INC ........ 89,637
11,200 MILLIPORE CORP ..................... 469,000
50,500 MORTON INTERNATIONAL, INC .......... 1,881,125
27,600 NALCO CHEMICAL CORP ................ 869,400
10,600 RAYCHEM CORP ....................... 761,875
19,450 RPM, INC ........................... 303,906
8,625 SCHULMAN (A), INC .................. 211,312
10,000 oSEALED AIR CORP .................... 336,250
18,900 SIGMA ALDRICH CORP ................. 1,011,150
26,800 oSTERLING CHEMICALS, INC ............ 311,550
-----------
13,275,888
-----------
COMMUNICATION EQUIPMENT
& SERVICES--2.89%
7,100 o360 COMMUNICIATIONS CO ............. 170,400
322,126 o3COM CORP .......................... 14,737,264
153,200 oAIRTOUCH COMMUNICATIONS, INC ....... 4,327,900
17,400 oANDREW CORP ........................ 935,250
12,900 oARCH COMMUNICATIONS GROUP, INC ..... 240,262
31,600 oASCEND COMMUNICATIONS, INC ......... 1,777,500
6,800 oAVID TECHNOLOGIES, INC ............. 125,800
15,400 oBRINKER INTERNATIONAL, INC ......... 231,000
2,000 oCABLE DESIGN TECHNOLOGIES CO ....... 65,500
15,350 oCABLETRON SYSTEMS, INC ............. 1,053,393
17,600 oCAI WIRELESS SYSTEMS, INC .......... 162,800
24,900 oCASCADE COMMUNICATIONS CORP ........ 1,693,200
17,400 oCELLULAR TECHNICAL SERVICES CO ..... 306,675
30,300 oCENTURY COMMUNICATIONS CORP
(CLASS A) ......................... 257,550
6,200 CENTURY TELEPHONE ENTERPRISES, INC . 197,625
8,700 oCIDCO, INC ......................... 306,675
174,200 oCISCO SYSTEMS, INC ................. 9,864,075
70,200 CORNING, INC ....................... 2,693,925
18,900 oDIGI INTERNATIONAL, INC ............ 505,575
34,200 oDSC COMMUNICATIONS CORP ............ 1,030,275
14,400 oDSP COMMUNICATIONS, INC ............ 739,800
12,800 oDSP GROUP, INC ..................... 118,400
4,700 oDYNATECH CORP ...................... 152,750
20,100 oFIREFOX COMMUNICATIONS, INC ........ 150,750
20,600 oGEOTEK COMMUNICATIONS, INC ......... 281,962
2,000 oGLOBAL VILLAGE COMMUNICATION, INC .. 16,500
26,300 oLCI INTERNATIONAL, INC ............. 825,162
8,700 oMACROMEDIA, INC .................... 190,312
13,900 oMETROCALL, INC ..................... 154,637
4,800 oNETCOM ON-LINE COMMUNICATION
SERVICE, INC ...................... 129,600
2,700 oNETWORK EQUIPMENT TECHNOLOGIES, INC 57,375
27,700 oNEW WORLD COMMUNICATIONS
GROUP, INC ........................ 405,112
90,300 oNOVELL, INC ........................ 1,252,912
16,800 oOCTEL COMMUNICATIONS CORP .......... 331,800
14,200 oP-COM, INC ......................... 447,300
27,600 oPAGING NETWORK, INC ................ 662,400
6,000 oPAIRGAIN TECHNOLOGIES, INC ......... 372,000
9,500 oPICTURETEL CORP NEW ................ 374,062
4,900 oPREMISYS COMMUNICATIONS, INC ....... 298,900
12,700 oQUALCOMM, INC ...................... 674,687
22,800 SCIENTIFIC-ATLANTA, INC ............ 353,400
20,000 oTECH DATA CORP ..................... 435,000
23,800 oTELLABS, INC ....................... 1,591,625
16,400 oVANGUARD CELLULAR SYSTEMS, INC ..... 356,700
----------
51,055,790
----------
See notes to financial statements.
-40-
<PAGE>
SHARES VALUE
------ -----
COMPUTER SERVICE--4.93%
4,200 oACXIOM CORP ........................$ 143,325
161,000 oADAPTEC, INC ....................... 7,627,375
18,900 oADC TELECOMMUNICATIONS, INC ........ 850,500
17,000 ADOBE SYSTEMS, INC ................. 609,875
16,475 oAMERICAN MANAGEMENT SYSTEMS, INC ... 481,893
11,500 oAUSPEX SYSTEMS, INC ................ 172,500
96,300 AUTOMATIC DATA PROCESSING, INC ..... 3,719,587
9,300 oBANCTEC, INC ....................... 188,325
55,255 oBAY NETWORKS, INC .................. 1,422,816
2,100 oBBN CORP ........................... 45,675
8,400 oBISYS GROUP, INC ................... 317,100
15,300 oBMC SOFTWARE, INC .................. 914,175
2,000 oBORLAND INTERNATIONAL, INC ......... 18,250
11,300 oBOSTON TECHNOLOGY, INC ............. 190,687
4,600 oBRODERBUND SOFTWARE, INC ........... 148,350
9,600 oC-CUBE MICROSYSTEMS, INC ........... 316,800
24,000 oCADENCE DESIGN SYSTEMS, INC ........ 810,000
9,000 oCAMBRIDGE TECHNOLOGY PARTNERS, INC . 274,500
1,100 oCDW COMPUTER CENTERS, INC .......... 76,450
18,700 oCERIDIAN CORP ...................... 944,350
15,800 oCHEYENNE SOFTWARE, INC ............. 304,150
16,900 oCOMPUSA, INC ....................... 576,712
159,150 COMPUTER ASSOCIATES
INTERNATIONAL, INC ................ 11,339,437
58,000 oCOMPUTER NETWORK TECHNOLOGY CORP ... 413,250
15,600 oCOMPUTER SCIENCES CORP ............. 1,166,100
10,400 oCOMPUWARE CORP ..................... 410,800
7,600 oCONTINUM, INC ...................... 440,800
4,100 oCYRIX CORP ......................... 70,725
5,000 oDAVIDSON & ASSOCIATES, INC ......... 150,000
13,400 oELECTRONIC ARTS, INC ............... 358,450
98,400 oELECTRONIC DATA SYSTEMS CORP ....... 5,289,000
56,900 oEMC CORP ........................... 1,059,762
4,000 oEXCALIBUR TECHNOLOGIES CORP ........ 90,000
61,611 FIRST DATA CORP .................... 4,905,775
28,000 oFISERV, INC ........................ 840,000
10,800 oFTP SOFTWARE, INC .................. 89,100
26,800 HBO & CO ........................... 1,815,700
7,900 oHYPERION SOFTWARE CORP ............. 97,762
11,800 oIDENTIX, INC ....................... 172,575
295,200 oINFORMIX CORP ...................... 6,642,000
8,200 oINTERSOLV, INC ..................... 75,850
8,800 oINTUIT, INC ........................ 415,800
7,800 oKEANE, INC ......................... 287,625
3,000 oLANDMARK GRAPHICS CORP ............. 57,750
8,600 oMEDIC COMPUTER SYSTEMS, INC ........ 697,675
25,100 oMENTOR GRAPHICS CORP ............... 407,875
11,900 oMICRO LINEAR CORP .................. 89,250
12,100 oMICROCHIP TECHNOLOGY, INC .......... 299,475
113,500 oMICROSOFT CORP ..................... 13,634,187
7,000 NATIONAL DATA CORP ................. 239,750
19,100 oNETMANAGE, INC ..................... 210,100
13,000 oNETWORK GENERAL CORP ............... 279,500
21,400 oNETWORK PERIPHERALS, INC ........... 366,475
157,675 oORACLE CORP ........................ 6,218,307
38,500 oPARAMETRIC TECHNOLOGY CORP ......... 1,669,937
9,000 oPEOPLESOFT, INC .................... 641,250
4,000 oPHOENIX TECHNOLOGIES LTD ........... 67,000
14,800 oPHYSICIAN COMPUTER NETWORK, INC .... 171,125
12,300 oPLATINUM TECHNOLOGY, INC ........... 186,037
7,500 oRATIONAL SOFTWARE CORP ............. 403,125
12,200 oREAD-RITE CORP ..................... 172,325
12,500 REYNOLDS & REYNOLDS CO (CLASS A) ... 665,625
4,500 oSECURITY DYNAMICS TECHNOLOGIES, INC 370,125
9,900 SEI CORP ........................... 209,137
5,000 SHARED MEDICAL SYSTEMS CORP ........ 321,250
8,600 oSHIVA CORP ......................... 688,000
3,200 oSIERRA ON-LINE, INC ................ 140,400
14,314 oSOFTKEY INTERNATIONAL, INC ......... 271,071
7,900 oSTERLING SOFTWARE, INC ............. 608,300
8,900 oSTRUCTURAL DYNAMICS RESEARCH CORP .. 195,800
18,300 oSYBASE, INC ........................ 432,337
14,800 oSYMANTEC CORP ...................... 185,000
15,300 oSYNOPSYS, INC ...................... 608,175
9,100 SYSTEM SOFTWARE ASSOCIATES, INC .... 154,700
2,000 oSYSTEMSOFT CORP .................... 94,000
5,400 oTRIDENT MICROSYSTEMS, INC .......... 68,175
4,000 oZEBRA TECHNOLOGY CORP .............. 71,000
-----------
87,178,144
-----------
CONGLOMERATES--0.74%
37,400 ALCO STANDARD CORP ................. 1,692,350
22,900 ALLIED SIGNAL, INC ................. 1,308,162
8,100 oCOLTEC INDUSTRIES, INC ............. 115,425
8,050 oCONCORD EFS, INC ................... 285,775
9,800 CRANE CO ........................... 401,800
23,000 ITT INDUSTRIES, INC ................ 577,875
81,700 MINNESOTA MINING &
MANUFACTURING CO .................. 5,637,300
39,500 TYCO INTERNATIONAL LTD ............. 1,609,625
58,500 WHITMAN CORP ....................... 1,411,312
-----------
13,039,624
-----------
CONSTRUCTION--MATERIALS
& BUILDERS--0.23%
17,156 CLAYTON HOMES, INC ................. 343,120
24,800 DEBARTOLO REALTY CORP .............. 399,900
8,600 FASTENAL CO ........................ 374,100
9,100 FLEETWOOD ENTERPRISES, INC ......... 282,100
4,900 oJACOBS ENGINEERING GROUP, INC ...... 129,237
23,800 oKENETECH CORP ...................... 12,643
14,600 MASCO CORP ......................... 441,650
5,500 MEDUSA CORP ........................ 170,500
13,000 OAKWOOD HOMES CORP ................. 268,125
11,600 oOWENS CORNING CO ................... 498,800
7,200 SHERWIN-WILLIAMS CO ................ 334,800
13,700 SIMON PROPERTY GROUP, INC .......... 335,650
15,700 oUSG CORP ........................... 437,637
-----------
4,028,262
-----------
CONTAINERS--0.11%
28,600 CROWN CORK & SEAL CO, INC .......... 1,287,000
11,900 oGAYLORD CONTAINER CO ............... 92,968
34,300 oOWENS ILLINOIS, INC ................ 548,800
-----------
1,928,768
-----------
COSMETICS--0.93%
43,000 AVON PRODUCTS, INC ................. 1,940,375
8,000 CARTER WALLACE, INC ................ 117,000
141,100 GILLETTE CO ........................ 8,801,112
178,200 INTIMATE BRANDS, INC ............... 4,076,325
30,300 INTERNATIONAL FLAVORS &
FRAGRANCES, INC ................... 1,443,037
-----------
16,377,849
-----------
ELECTRICAL EQUIPMENT--4.49%
221,500 ABB AB SERIES A .................... 23,466,175
30,900 oAMERICAN POWER CONVERSION CORP ..... 316,725
12,200 AMETEK, INC ........................ 265,350
10,500 BELDEN, INC ........................ 315,000
21,200 oCOMPUTER PRODUCTS, INC ............. 363,050
6,900 oCOMVERSE TECHNOLOGY, INC ........... 210,450
36,000 DURACELL INTERNATIONAL, INC ........ 1,552,500
39,800 EMERSON ELECTRIC CO ................ 3,596,925
See notes to financial statements.
-41-
<PAGE>
SHARES VALUE
------ -----
ELECTRICAL EQUIPMENT (CONTINUED)
10,500 EXIDE CORP .........................$ 254,625
526,500 GENERAL ELECTRIC CO ................ 45,542,250
10,200 GRAINGER (W.W.), INC ............... 790,500
10,000 HONEYWELL, INC ..................... 545,000
4,520 HUBBELL, INC (CLASS B) ............. 299,450
7,200 JUNO LIGHTING, INC ................. 122,400
44,900 oMAGNETEK, INC ...................... 432,162
5,900 oMICRODYNE CORP ..................... 39,087
6,600 oROBOTIC VISION SYSTEMS, INC ........ 117,975
6,800 oSANMINA CORP ....................... 183,600
19,500 oSEMITOOL, INC ...................... 253,500
9,000 oSPECTRIAN CORP ..................... 128,250
4,100 oSYMBOL TECHNOLOGIES, INC ........... 182,450
14,400 THOMAS & BETTS CORP ................ 540,000
-----------
79,517,424
-----------
ELECTRICAL EQUIPMENT--
COMPONENTS DIVERSIFIED--6.64%
16,000 oADVANCED MICRO DEVICES, INC ........ 218,000
12,900 oALTERA CORP ........................ 490,200
74,900 AMP, INC ........................... 3,005,362
16,900 oAMPHENOL CORP (CLASS A) ............ 388,700
34,100 oANALOG DEVICES, INC ................ 869,550
458,500 oARROW ELECTRONICS, INC ............. 19,772,812
24,300 oATMEL CORP ......................... 732,037
2,500 AVNET, INC ......................... 105,312
4,000 oCHRONIMED, INC ..................... 73,500
15,400 oCIRRUS LOGIC, INC .................. 269,500
13,600 oCOLONIAL DATA TECHNOLOGOIES CORP ... 202,300
18,000 oCOMPUCOM SYSTEMS, INC .............. 195,750
4,100 oCREE RESEARCH, INC ................. 61,500
24,700 oCYPRESS SEMICONDUCTOR CORP ......... 296,400
9,900 DALLAS SEMICONDUCTOR CORP .......... 179,437
7,600 FISHER SCIENTIFIC INTERNATIONAL, INC 285,000
34,200 oGENERAL INSTRUMENT CORP NEW ........ 987,525
5,900 oHADCO CORP ......................... 126,850
11,100 HELIX TECHNOLOGY CORP .............. 430,125
1,500 oHUTCHINSON TECHNOLOGY, INC ......... 53,250
16,800 oINTEGRATED DEVICE TECHNOLOGY, INC .. 178,500
261,900 INTEL CORP ......................... 19,233,281
13,800 oINTERNATIONAL RECTIFIER CORP ....... 222,525
15,400 oKEMET CORP ......................... 308,000
7,300 oKENT ELECTRONICS CORP .............. 228,125
9,800 oLAM RESEARCH CORP .................. 254,800
7,600 oLATTICE SEMICONDUCTOR .............. 183,350
742,400 LINEAR TECHNOLOGY CO ............... 22,272,000
36,800 oLSI LOGIC CORP ..................... 956,800
5,900 oMARSHALL INDUSTRIES, INC ........... 165,200
792,500 oMAXIM INTEGRATED PRODUCTS .......... 21,645,156
12,900 METHODE ELECTRONICS, INC (CLASS A) . 219,300
48,900 MICRON TECHNOLOGY, INC ............. 1,265,287
25,375 MOLEX, INC ......................... 805,656
187,100 MOTOROLA, INC ...................... 11,763,912
6,300 oMYLEX CORP ......................... 111,825
27,500 oNATIONAL SEMICONDUCTOR CORP ........ 426,250
23,700 PIONEER-STANDARD ELECTRONICS, INC .. 314,025
24,800 oS3, INC ............................ 305,350
6,800 oSIERRA SEMICONDUCTOR CORP .......... 79,050
16,200 oSYMMETRICOM, INC ................... 218,700
58,100 TEXAS INSTRUMENTS, INC ............. 2,897,737
16,300 oTRIMBLE NAVIGATION LTD ............. 313,775
23,000 oU.S. ROBOTICS CORP ................. 1,966,500
20,600 oVICOR CORP ......................... 478,950
14,385 oVISHAY INTERTECHNOLOGY, INC ........ 339,845
13,200 oVITESSE SEMICONDUCTOR CORP ......... 316,800
5,400 oVLSI TECHNOLOGY, INC ............... 74,925
12,600 oWESTERN DIGITAL CORP ............... 329,175
22,400 oXILINX, INC ........................ 711,200
7,200 oZILOG, INC ......................... 172,800
-----------
117,501,909
-----------
ELECTRICAL EQUIPMENT--
INSTRUMENTS--0.29%
53,400 oAPPLIED MATERIALS, INC ............. 1,628,700
16,300 oAURA SYSTEMS, INC .................. 58,068
11,200 oDIONEX CORP ........................ 361,200
8,200 oELECTROGLAS, INC ................... 116,850
9,500 oELECTRONICS FOR IMAGING, INC ....... 659,062
11,900 oINPUT/OUTPUT, INC .................. 385,262
17,000 oKLA INSTRUMENT CORP ................ 395,250
1,000 oKULICHE & SOFFA INDUSTRIES, INC .... 14,625
8,600 oLTX CORP ........................... 53,750
4,900 oNORTHFIELD LABORATORIES, INC ....... 72,275
12,700 PERKIN-ELMER CORP .................. 612,775
4,200 oSILICON VALLEY GROUP, INC .......... 78,750
1,000 TEKTRONIX, INC ..................... 44,750
6,900 oTENCOR INSTRUMENTS ................. 130,237
22,600 oTERADYNE, INC ...................... 389,850
4,000 oTHERMO INSTRUMENT SYSTEMS, INC ..... 129,000
-----------
5,130,404
-----------
ENVIRONMENTAL CONTROL--0.55%
52,400 BROWNING FERRIS INDUSTRIES, INC .... 1,519,600
25,000 oREPUBLIC INDUSTRIES, INC ........... 728,125
7,400 oSANIFILL, INC ...................... 364,450
12,300 oU.S. FILTER CORP ................... 427,425
33,200 oU.S.A. WASTE SERVICES, INC ......... 983,550
29,000 oUNITED WASTE SYSTEMS, INC .......... 935,250
34,200 WHEELABRATOR TECHNOLOGIES, INC (NEW) 521,550
129,800 WMX TECHNOLOGIES, INC .............. 4,250,950
-----------
9,730,900
-----------
FINANCIAL--MISCELLANEOUS--3.38%
16,100 ADVANTA CORP (CLASS A) ............. 821,100
400 oAMBAC, INC ......................... 20,850
120,200 AMERICAN EXPRESS CO ................ 5,363,925
5,300 BEACON PROPERTIES CORP ............. 135,812
6,600 CASE CORP .......................... 316,800
22,600 oCATELLUS DEVELOPMENT CORP .......... 206,225
1,000 CMAC INVESTMENT CORP ............... 57,500
9,549 COUNTRYWIDE CREDIT INDUSTRIES, INC . 236,337
12,900 oCREDIT ACCEPTANCE CORP ............. 270,900
11,200 DEAN WITTER DISCOVER & CO .......... 641,200
30,666 DUFF & PHELPS CREDIT RATING CO ..... 651,652
5,000 oEIS INTERNATIONAL, INC ............. 127,500
43,600 FEDERAL HOME LOAN MORTGAGE CORP .... 3,727,800
269,200 FEDERAL NATIONAL
MORTGAGE ASSOCIATION .............. 9,018,200
2,400 FINOVA GROUP, INC .................. 117,000
476,100 FIRST USA, INC ..................... 26,185,500
15,100 FRANKLIN RESOURCES, INC ............ 921,100
28,600 oGARTNER GROUP, INC (CLASS A) (NEW) . 1,047,475
5,900 GENERAL GROWTH PROPERTIES, INC ..... 142,337
45,000 GREEN TREE FINANCIAL CORP .......... 1,406,250
37,300 HOME FINANCIAL CORP ................ 484,900
13,804 HOUSEHOLD INTERNATIONAL, INC ....... 1,049,104
58,900 MBNA CORP .......................... 1,678,650
19,700 oMEDAPHIS CORP ...................... 783,075
47,550 MERCURY FINANCE CO ................. 606,262
8,100 PHOENIX DUFF & PHELPS CORP ......... 60,750
10,800 PIONEER GROUP, INC ................. 288,900
22,400 PRICE (T. ROWE) ASSOCIATES, INC .... 688,800
3,300 QUICK & REILLY GROUP, INC .......... 107,250
31,700 SCHWAB (CHARLES) CORP .............. 776,650
See notes to financial statements.
-42-
<PAGE>
SHARES VALUE
------ -----
FINANCIAL--MISCELLANEOUS (Continued)
3,200 STUDENT LOAN MARKETING ASSOCIATION .$ 236,800
12,850 THE MONEY STORE, INC ............... 284,306
22,100 TIG HOLDINGS, INC .................. 640,900
8,800 UNITED ASSET MANAGEMENT CORP ....... 215,600
10,800 UNITED COS FINANCIAL CORP .......... 367,200
5,400 UNITED DOMINION REALTY TRUST CO .... 77,625
-----------
59,762,235
-----------
FOODS--3.39%
14,200 ARCHER DANIELS MIDLAND CO .......... 271,575
40,400 CAMPBELL SOUP CO ................... 2,848,200
291,151 CARDINAL HEALTH, INC ............... 20,999,265
77,200 CONAGRA, INC ....................... 3,502,950
40,000 CPC INTERNATIONAL, INC ............. 2,880,000
1,444 oEARTHGRAINS CO ..................... 47,291
5,400 FLOWERS INDUSTRIES, INC ............ 87,075
196,200 GENERAL MILLS, INC ................. 10,692,900
26,200 oGENERAL NUTRITION COS, INC ......... 458,500
53,100 HEINZ (H.J.) CO .................... 1,612,912
1,800 HERSHEY FOODS CORP ................. 132,075
5,100 oHORMEL FOODS CORP .................. 136,425
6,400 IBP, INC ........................... 176,800
33,500 KELLOGG CO ......................... 2,453,875
5,500 LANCE, INC ......................... 90,750
30,100 MCCORMICK & CO, INC ................ 665,962
23,100 NABISCO HOLDINGS CORP (CLASS A) .... 817,162
5,900 oNATURES SUNSHINE PRODUCTS, INC ..... 150,450
22,800 PIONEER-HI-BRED INTERNATIONAL, INC . 1,205,550
35,300 QUAKER OATS CO ..................... 1,204,612
25,900 RALSTON PURINA GROUP ............... 1,660,837
9,400 RICHFOOD HOLDINGS, INC ............. 305,500
151,500 SARA LEE CORP ...................... 4,904,812
4,000 oSMITHFIELD FOODS, INC .............. 101,000
25,400 TYSON FOODS, INC ................... 695,325
5,800 UNIVERSAL FOODS CORP ............... 213,875
31,800 WRIGLEY (WM) JR CO ................. 1,605,900
-----------
59,921,578
-----------
FOREST PRODUCTS--0.01%
8,400 LOUISIANA PACIFIC CORP ............. 185,850
-----------
HEALTHCARE--DRUGS--5.47%
2,900 oAGOURON PHARMACEUTICALS, INC ....... 113,100
22,000 oALZA CORP .......................... 602,250
101,100 AMERICAN HOME PRODUCTS CORP ........ 6,078,637
84,100 oAMGEN, INC ......................... 4,541,400
6,100 ARBOR DRUGS, INC ................... 127,337
17,900 oATHENA NEUROSCIENCES, INC .......... 306,537
10,000 oBIOGEN, INC ........................ 548,750
73,700 BRISTOL MYERS SQUIBB CO ............ 6,633,000
19,100 oCENTOCOR, INC ...................... 570,612
4,829 oCHIRON CORP ........................ 473,242
6,800 oCYGNUS, INC ........................ 103,700
6,500 oDURA PHARMACEUTICALS, INC .......... 364,000
16,300 oFOREST LABORATORIES, INC ........... 629,587
7,400 oGENZYME CORP ....................... 371,850
37,710 oGENZYME CORP
(TISSUE REPAIR DIVISION) .......... 443,092
14,600 oGILEAD SCIENCES, INC ............... 368,650
4,000 oIMMUNEX CORP NEW ................... 54,500
9,400 oINTERNEURON PHARMACEUTICALS, INC ... 282,000
8,400 oISIS PHARMACEUTICALS, INC .......... 157,500
31,700 IVAX CORP .......................... 503,237
9,200 oLIGAND PHARMACEUTICALS CO (CLASS A) 152,950
69,984 LILLY (ELI) & CO ................... 4,548,960
8,700 oLIPOSOME CO, INC ................... 163,125
326,800 #oMARTEK BIOSCIENCES CORP ............ 9,558,900
109,440 #oMARTEK BIOSCIENCES CORP WTS 5/18/98 2,116,569
5,000 oMATRIX PHARMACEUTICALS, INC ........ 90,000
10,300 MCKESSON CORP (NEW) ................ 490,537
389,500 MERCK & CO, INC .................... 25,171,437
39,600 MYLAN LABORATORIES, INC ............ 683,100
1,000 oNEUROGEN CORP ...................... 25,750
202,000 PFIZER, INC ........................ 14,417,750
103,600 PHARMACIA & UPJOHN, INC ............ 4,597,250
5,200 RHONE-POULENC RORER, INC ........... 349,050
3,100 oROBERTS PHARMACEUTICAL CORP ........ 62,387
11,000 oSCHERER (R.P.) CORP ................ 499,125
117,700 SCHERING-PLOUGH CORP ............... 7,385,675
5,800 oSEPRACOR, INC ...................... 87,000
9,300 oSEQUUS PHARMACEUTICALS, INC ........ 184,982
5,900 oSOMATOGEN, INC ..................... 83,337
3,800 oTHERMEDICS, INC .................... 95,000
3,400 oVERTEX PHARMACEUTICALS, INC ........ 103,275
39,200 WARNER-LAMBERT CO .................. 2,156,000
12,900 oWATSON PHARMACEUTICALS, INC ........ 488,587
-----------
96,783,727
-----------
HEALTHCARE--HOSPITAL SUPPLY--3.64%
251,500 ABBOTT LABORATORIES CO ............. 10,940,250
27,300 BARD (C.R.), INC ................... 928,200
7,700 BECTON DICKINSON & CO .............. 617,925
8,400 oCNS, INC ........................... 203,700
646,200 DENTSPLY INTERNATIONAL, INC (NEW) .. 27,463,500
27,981 GUIDANT CORP ....................... 1,378,064
1,000 oGULF SOUTH MEDICAL SUPPLY, INC ..... 39,000
700 oHAEMONETICS CORP ................... 12,775
9,600 oISOLYSER CO, INC ................... 115,200
423,976 JOHNSON & JOHNSON CO ............... 20,986,812
19,500 oNABI, INC .......................... 185,250
5,900 oORGANOGENESIS, INC ................. 119,475
14,450 OWENS & MINOR, INC NEW ............. 167,981
6,000 oPATTERSON DENTAL CO ................ 217,500
11,400 oPHYSICIAN SALES & SERVICE, INC ..... 276,450
11,200 oRESPIRONICS, INC ................... 207,200
2,400 oSOFAMOR DANEK GROUP, INC ........... 66,600
8,300 oTECNOL MEDICAL PRODUCTS, INC ....... 159,775
9,800 U.S. SURGICAL CORP ................. 303,800
-----------
64,389,457
-----------
HEALTHCARE--OTHER--1.83%
6,850 oACCESS HEALTH, INC ................. 323,662
11,400 oADVANCED TISSUE SCIENCE CO ......... 183,825
7,200 ALLERGAN, INC ...................... 282,600
7,000 oAMERICAN MEDICAL RESPONSE, INC ..... 246,750
18,300 oAPPLIED BIOSCIENCE
INTERNATIONAL, INC ................ 192,150
28,400 oBALLARD MEDICAL PRODUCTS CO ........ 543,150
8,500 BAUSCH & LOMB, INC ................. 361,250
6,450 oBEC GROUP, INC ..................... 28,218
41,400 oBIOMET, INC ........................ 595,125
28,123 oBOSTON SCIENTIFIC CORP ............. 1,265,535
618,100 oCAREMARK INTERNATIONAL, INC ........ 15,607,025
45,000 oCORAM HEALTHCARE CORP .............. 185,625
8,900 oCOVENTRY CORP ...................... 140,175
6,100 oDATASCOPE CORP ..................... 108,275
6,150 oGENESIS HEALTH VENTURES, INC ....... 192,956
10,300 HILLENBRAND INDUSTRIES, INC ........ 383,675
4,500 oHUMAN GENOME SCIENCES, INC ......... 165,375
14,900 oIDEXX LABORATORIES, INC ............ 584,825
72,700 MEDTRONIC, INC ..................... 4,071,200
4,000 MENTOR CORP ........................ 102,000
13,000 oNELLCOR PURITAN BENNETT, INC ....... 630,500
20,400 oOXFORD HEALTH PLANS, INC ........... 838,950
See notes to financial statements.
-43-
<PAGE>
SHARES VALUE
------ -----
HEALTHCARE--OTHER (CONTINUED)
51,800 PALL CORP ..........................$ 1,249,675
13,100 oQUANTUM HEALTH RESOURCES, INC ...... 222,700
21,000 oST. JUDE MEDICAL, INC .............. 703,500
6,800 oSTERIS CORP ........................ 217,600
37,200 STEWART ENTERPRISES, INC (CLASS A) . 1,162,500
27,000 oSTRYKER CORP ....................... 614,250
6,100 oSUMMIT TECHNOLOGY, INC ............. 85,400
5,400 oSUNRISE MEDICAL, INC ............... 103,950
22,400 oSYBRON INTERNATIONAL CORP .......... 560,000
5,600 oTARGET THERAPEUTICS, INC ........... 229,600
3,900 oTHERMO CARDIOSYSTEMS, INC .......... 174,525
-----------
32,356,546
-----------
HEALTHCARE--SERVICE--2.29%
23,700 oAPRIA HEALTHCARE GROUP, INC ........ 743,587
13,200 oBEVERLY ENTERPRISES CO ............. 158,400
11,500 oCERNER CORP ........................ 245,812
140,720 COLUMBIA/HCA HEALTHCARE CORP ....... 7,510,930
5,100 oCOMMUNITY HEALTH SYSTEMS, INC ...... 263,925
9,244 oFHP INTERNATIONAL CORP ............. 253,054
8,700 oFOUNDATION HEALTH CORP ............. 312,112
19,500 oHEALTH CARE & RETIREMENT CORP ...... 463,125
44,212 oHEALTH MANAGEMENT ASSOCIATES, INC
(CLASS A) NEW ..................... 895,293
3,400 oHEALTH MANAGEMENT SYSTEMS, INC ..... 107,950
12,000 oHEALTHCARE COMPARE CO .............. 585,000
18,700 oHEALTHSOURCE, INC .................. 327,250
39,578 oHEALTHSOUTH CORP ................... 1,424,808
10,000 oHORIZON/CMS HEALTHCARE CORP ........ 128,750
47,100 oHUMANA, INC ........................ 841,912
3,500 oI-STAT CORP ........................ 66,062
17,600 oINTEGRATED SILICON SOLUTION, INC ... 202,400
7,900 INVACARE CORP ...................... 185,650
49,504 oLABORATORY CORP OF AMERICA HOLDINGS 371,280
2,560 oLABORATORY CORP OF AMERICA HOLDINGS
WTS 4/28/00 ....................... 1,280
10,000 oLINCARE HOLDINGS, INC .............. 392,500
3,600 oLIVING CENTERS OF AMERICA, INC ..... 123,750
23,000 MANOR CARE, INC .................... 905,625
9,900 oMAXICARE HEALTH PLANS, INC ......... 186,862
11,050 oMEDPARTNERS/MULLIKIN, INC .......... 230,668
13,500 oMID ATLANTIC MEDICAL SERVICES, INC . 192,375
1,325 MORRISON FRESH COOKING, INC ........ 6,956
1,766 MORRISON HEALTH CARE, INC .......... 24,724
10,800 oNOVACARE, INC ...................... 82,350
11,400 OMNICARE, INC ...................... 302,100
13,100 oORNDA HEALTHCORP ................... 314,400
2,200 oORTHODONTIC CENTERS OF AMERICA, INC 58,300
3,800 oPACIFICARE HEALTH SYSTEMS, INC
(CLASS A) ......................... 250,800
215,700 oPACIFICARE HEALTH SYSTEMS, INC
(CLASS B) ......................... 14,613,675
19,200 oPHYCOR, INC ........................ 729,600
15,200 oPHYSICIAN CORP OF AMERICA .......... 201,400
2,400 oROTECH MEDICAL CORP ................ 46,800
8,200 oSUN HEALTHCARE GROUP, INC .......... 116,850
7,800 oTENET HEALTHCARE CORP .............. 166,725
14,000 oTHERATX, INC ....................... 266,000
46,900 U.S. HEALTHCARE, INC ............... 2,579,500
40,000 UNITED HEALTHCARE CORP ............. 2,020,000
15,600 oVALUE HEALTH, INC .................. 368,550
15,600 oVENCOR, INC ........................ 475,800
4,000 oVISX, INC .......................... 136,500
16,050 oVIVRA, INC ......................... 527,643
4,135 oWELLPOINT HEALTH NETWORKS, INC ..... 129,218
-----------
40,538,251
-----------
HOUSEHOLD--CONSUMER
ELECTRONICS--0.01%
3,000 oHARMAN INTERNATIONAL INDUSTRIES, INC 147,750
-----------
HOUSEHOLD--DURABLE GOODS--1.83%
15,400 BLACK & DECKER CORP ................ 594,825
1,015,200 LEGGETT & PLATT, INC ............... 28,171,800
57,000 NEWELL COS, INC .................... 1,745,625
36,500 SHAW INDUSTRIES, INC ............... 479,062
36,200 STANLEY WORKS CO ................... 1,076,950
22,300 SUNBEAM CORP ....................... 328,925
13,900 oTOP SOURCE TECHNOLOGIES, INC ....... 96,431
-----------
32,493,618
-----------
HOUSEHOLD--PRODUCTS--3.02%
9,000 CLOROX CO .......................... 797,625
45,100 COLGATE PALMOLIVE CO ............... 3,822,225
12,200 DIAL CORP .......................... 349,225
14,200 oFIRST ALERT, INC ................... 56,800
5,300 FIRST BRANDS CORP .................. 143,100
388,000 LANCASTER COLONY CORP .............. 14,501,500
29,300 oPERRIGO CO ......................... 329,625
15,700 PREMARK INTERNATIONAL, INC ......... 290,450
334,000 PROCTER & GAMBLE CO ................ 30,268,750
50,200 RUBBERMAID, INC .................... 1,367,950
20,300 TAMBRANDS, INC ..................... 829,762
15,700 oTUPPERWARE CORP .................... 663,325
-----------
53,420,337
-----------
INSURANCE--BROKERS & OTHER--0.30%
10,600 ALEXANDER & ALEXANDER SERVICES, INC 209,350
65,000 EQUIFAX, INC ....................... 1,706,250
8,700 GALLAGHER (ARTHUR J.) & CO ......... 278,400
12,700 LIFE PARTNERS GROUP, INC ........... 288,925
22,400 MARSH & MCLENNAN COS, INC .......... 2,161,600
29,600 oQUORUM HEALTH GROUP, INC ........... 780,700
-----------
5,425,225
-----------
INSURANCE--LIFE--0.11%
6,600 EQUITABLE COS, INC ................. 164,175
28,300 RELIANCE GROUP HOLDINGS, INC ....... 212,250
14,000 SUNAMERICA, INC .................... 791,000
6,000 TORCHMARK CORP ..................... 262,500
7,100 UNUM CORP .......................... 441,975
2,500 VESTA INSURANCE GROUP, INC ......... 83,437
5,100 WESTERN NATIONAL CORP .............. 93,712
-----------
2,049,049
-----------
INSURANCE--MULTI-LINE,
PROPERTY & CASUALTY--5.86%
14,800 o20TH CENTURY INDUSTRIES ............ 246,050
364,000 oAETNA LIFE & CASUALTY CO ........... 26,026,000
46,200 AFLAC, INC ......................... 1,380,225
600,400 ALLSTATE CORP ...................... 27,393,250
422,000 AMERICAN INTERNATIONAL GROUP, INC .. 41,619,750
9,500 AMERICAN RE CORP ................... 426,312
4,015 FRONTIER INSURANCE GROUP, INC (NEW) 138,517
17,200 GENERAL REINSURANCE CORP ........... 2,618,700
3,800 HARTFORD STEAM BOILER & INSURANCE CO 186,675
7,650 oHIGHLANDS INSURANCE GROUP, INC ..... 143,437
4,200 oINSURANCE AUTO AUCTIONS, INC ....... 42,000
9,700 ITT HARTFORD GROUP, INC ............ 516,525
20,100 MGIC INVESTMENT CORP ............... 1,128,112
400 oOLD REPUBLIC INTERNATIONAL CORP .... 8,600
16,400 PROGRESSIVE CORP ................... 758,500
22,500 TRAVELERS GROUP, INC ............... 1,026,562
5,700 USF&G CORP ......................... 93,337
-----------
103,752,552
-----------
See notes to financial statements.
-44-
<PAGE>
SHARES VALUE
------ -----
LEISURE TIME--3.63%
3,000 oACCLAIM ENTERTAINMENT, INC ......... $ 28,875
14,300 oALLIANCE ENTERTAINMENT CORP ........ 98,312
31,300 ARCTCO, INC ........................ 391,250
9,000 AUTHENTIC FITNESS CORP ............. 167,625
18,100 BRUNSWICK CORP ..................... 362,000
21,600 CALLAWAY GOLF CO ................... 718,200
1,163,200 CARNIVAL CORP (CLASS A) ............ 33,587,400
30,600 oCIRCUS CIRCUS ENTERPRISES, INC ..... 1,254,600
215,870 DISNEY (WALT) CO ................... 13,572,826
24,700 oFIRST TEAM SPORTS, INC ............. 265,525
3,300 oGC COS, INC ........................ 122,925
10,000 oGRAND CASINOS, INC ................. 257,500
11,800 oGTECH HOLDINGS CORP ................ 349,575
29,000 oHARRAHS ENTERTAINMENT, INC ......... 819,250
16,500 HASBRO, INC ........................ 589,875
11,400 oHOLLYWOOD ENTERTAINMENT CORP ....... 176,700
33,600 INTERNATIONAL GAME TECHNOLOGY CO ... 567,000
23,900 JOSTENS, INC ....................... 472,025
287,918 MATTEL, INC ........................ 8,241,652
25,800 oMIRAGE RESORT, INC ................. 1,393,200
11,500 oPLAYERS INTERNATIONAL, INC ......... 112,125
1,000 oPRIMADONNA RESORTS, INC ............ 23,000
3,200 oREGAL CINEMAS, INC ................. 146,400
6,600 oSPORTS & RECREATION, INC ........... 60,225
9,000 oSTATION CASINOS, INC ............... 129,375
12,200 oVALUEVISION INTERNATIONAL, INC ..... 84,637
7,000 oWMS INDUSTRIES, INC ................ 172,375
-----------
64,164,452
-----------
MACHINERY--0.71%
900 AGCO CORP .......................... 24,975
900 oBJ SERVICES CO ..................... 31,612
21,300 BRIGGS & STRATTON CORP ............. 875,962
3,900 BW/IP HOLDING, INC ................. 74,100
18,500 CATERPILLAR, INC ................... 1,253,375
7,400 CINCINNATI MILACRON, INC ........... 177,600
7,200 oCOGNEX CORP ........................ 116,100
25,900 DOVER CORP ......................... 1,194,637
3,100 DURIRON, INC ....................... 74,400
13,900 FEDERAL SIGNAL CORP ................ 326,650
8,800 oFSI INTERNATIONAL, INC ............. 111,100
8,900 oICC TECHNOLOGIES, INC .............. 52,287
9,700 IDEX CORP .......................... 368,600
28,500 ILLINOIS TOOL WORKS, INC ........... 1,927,312
3,000 oINTEGRATED PROCESS
EQUIPMENT CORP .................... 62,250
6,500 oINTERVOICE, INC .................... 129,187
3,000 JLG INDUSTRIES, INC ................ 222,750
8,900 KAYDON CORP ........................ 382,700
800 KENNAMETAL, INC .................... 27,200
3,300 KEYSTONE INTERNATIONAL, INC ........ 68,475
5,500 oMOLTEN METAL TECHNOLOGY, INC ....... 162,250
4,800 NORDSON CORP ....................... 271,200
5,000 oNOVELLUS SYSTEMS, INC .............. 180,000
9,500 PARKER-HANNIFIN CORP ............... 402,562
12,900 STEWART & STEVENSON SERVICES, INC .. 293,475
24,480 oSTRATTEC SECURITY CORP ............. 434,520
38,175 oTHERMO ELECTRON CORP ............... 1,589,034
6,000 TRIMAS CORP ........................ 140,250
8,300 TRINITY INDUSTRIES, INC ............ 282,200
900 TRINOVA CORP ....................... 30,037
5,400 oULTRATECH STEPPER, INC ............. 101,250
2,600 oVARITY CORP NEW .................... 125,125
20,900 YORK INTERNATIONAL CORP ............ 1,081,575
-----------
12,594,750
-----------
METALS--ALUMINIUM--0.01%
2,700 oACX TECHNOLOGIES, INC .............. 53,662
8,800 COMMONWEALTH ALUMINUM CORP ......... 137,500
-----------
191,162
-----------
METALS--GOLD--0.21%
29,100 BATTLE MOUNTAIN GOLD CO ............ 210,975
53,104 FREEPORT MCMORAN COPPER &
GOLD, INC (CLASS A) ............... 1,586,482
2,877 FREEPORT-MCMORAN COPPER &
GOLD INC, (CLASS B) ............... 91,704
12,900 oGETCHELL GOLD CORP ................. 425,700
21,500 HOMESTAKE MINING CO ................ 368,187
4,400 NEWMONT GOLD CO .................... 221,650
18,072 NEWMONT MINING CORP ................ 892,305
-----------
3,797,003
-----------
METALS--NON-FERROUS--0.04%
7,500 BMC INDUSTRIES, INC ................ 215,625
2,200 FREEPORT MCMORAN, INC .............. 78,100
5,800 oHECLA MINING CO .................... 40,600
6,100 MAPCO, INC ......................... 343,887
3,300 MINERALS TECHNOLOGIES, INC ......... 113,025
-----------
791,237
-----------
METALS--STEEL--0.15%
11,200 ALLEGHENY LUDLUM CORP ............. 211,400
20,300 BIRMINGHAM STEEL CORP ............. 332,412
2,100 HANNA (M.A.) CO ................... 43,837
7,600 oMATERIAL SCIENCES CORP ............ 131,100
25,100 NUCOR CORP ........................ 1,270,687
13,000 TITAN WHEEL INTERNATIONAL, INC .... 208,000
20,200 WORTHINGTON INDUSTRIES, INC ....... 421,675
-----------
2,619,111
------------
OFFICE EQUIPMENT--1.68%
6,000 oAPPLE COMPUTER, INC ................ 126,000
7,600 oASPECT TELECOMMUNICATIONS CORP ..... 376,200
11,500 AVERY DENNISON CORP ................ 631,062
80,500 oCOMPAQ COMPUTER CORP ............... 3,964,625
3,500 oCONTROL DATA SYSTEMS, INC .......... 74,812
19,600 oDELL COMPUTER CORP ................. 997,150
3,200 oFILENET CORP ....................... 116,800
123,300 HEWLETT-PACKARD CO ................. 12,283,762
6,600 HON INDUSTRIES, INC ................ 188,100
4,200 oIN FOCUS SYSTEMS, INC .............. 101,850
27,600 oIOMEGA CORP ........................ 800,400
12,600 oKOMAG, INC ......................... 332,325
5,400 oMICROCOM, INC ...................... 68,175
3,000 oMICROS SYSTEMS, INC ................ 83,625
28,900 PITNEY BOWES, INC .................. 1,379,975
7,500 oQUANTUM CORP ....................... 109,687
9,600 oSCI SYSTEMS, INC ................... 390,000
11,400 oSEAGATE TECHNOLOGY, INC ............ 513,000
14,600 oSEQUENT COMPUTER SYSTEMS, INC ...... 197,100
48,400 oSILICON GRAPHICS, INC .............. 1,161,600
16,200 oSOLECTRON CORP ..................... 613,575
54,100 oSUN MICROSYSTEMS, INC .............. 3,185,137
300 oUNISYS CORP ........................ 2,137
30,200 oVIKING OFFICE PRODUCTS, INC ........ 947,525
22,200 XEROX CORP ......................... 1,187,700
-----------
29,832,322
-----------
PAPER--1.76%
13,000 oBED BATH & BEYOND, INC ............. 347,750
15,600 BEMIS, INC ......................... 546,000
5,900 CARAUSTAR INDUSTRIES, INC .......... 156,350
27,700 oCROWN VANTAGE, INC ................. 401,650
14,500 oFORT HOWARD CORP ................... 288,187
See notes to financial statement.
-45-
<PAGE>
SHARES VALUE
------ -----
PAPER (Continued)
8,100 INTERNATIONAL PAPER CO .............$ 298,687
11,000 oJEFFERSON SMURFIT CORP ............. 119,625
364,730 KIMBERLY-CLARK CORP ................ 28,175,392
28,045 SONOCO PRODUCTS CO ................. 795,776
5,800 WAUSAU PAPER MILLS CO .............. 114,550
-----------
31,243,967
-----------
PETROLEUM--
EXPLORATION & PRODUCTION--0.39%
17,400 ANADARKO PETROLEUM CORP ............ 1,009,200
13,900 APACHE CORP ........................ 456,962
8,300 oBARNETT RESOURCES CORP ............. 246,925
16,500 oBENTON OIL & GAS CO ................ 363,000
24,600 BURLINGTON RESOURCES, INC .......... 1,057,800
1,500 oCHESAPEAKE ENERGY CORP ............. 134,812
9,100 DEVON ENERGY CORP .................. 222,950
8,800 ENRON OIL & GAS CO ................. 245,300
7,400 LOUISIANA LAND & EXPLORATION CO .... 426,425
22,800 NOBLE AFFILIATES, INC .............. 860,700
13,900 POGO PRODUCING CO .................. 529,937
1,100 oSANTA FE ENERGY RESOURCES, INC ..... 13,062
11,900 oSEAGULL ENERGY CORP ................ 297,500
9,700 oTRITON ENERGY LTD .................. 471,662
34,700 UNION TEXAS PETROLEUM HOLDINGS, INC. 676,650
-----------
7,012,885
-----------
PETROLEUM--INTEGRATED--0.34%
7,500 ATLANTIC RICHFIELD CO .............. 888,750
61,800 PHILLIPS PETROLEUM CO .............. 2,587,875
77,420 UNOCAL CORP ........................ 2,612,925
-----------
6,089,550
-----------
PETROLEUM--SERVICE--1.30%
21,100 BAKER HUGHES, INC .................. 693,662
9,400 CABOT CORP ......................... 230,300
234,100 oDIAMOND OFFSHORE DRILLING, INC ..... 13,402,225
31,500 DRESSER INDUSTRIES, INC ............ 929,250
8,100 oENSCO INTERNATIONAL, INC ........... 263,250
27,800 FLUOR CORP ......................... 1,817,425
10,200 oGASONICS INTERNATIONAL CORP ........ 107,100
63,000 oGLOBAL MARINE, INC NEW ............. 874,125
18,300 HALLIBURTON CO ..................... 1,015,650
41,310 oMCMORAN OIL & GAS CO ............... 108,438
21,200 oNABORS INDUSTRIES, INC ............. 344,500
8,600 oNOBLE DRILLING CORP ................ 119,325
17,600 oSMITH INTERNATIONAL, INC ........... 530,200
9,800 SONAT OFFSHORE DRILLING, INC ....... 494,900
9,500 TIDEWATER, INC ..................... 416,812
8,200 TOSCO CORP ......................... 412,050
12,900 oWEATHERFORD ENTERRA, INC ........... 387,000
13,300 oWESTERN ATLAS, INC ................. 774,725
-----------
22,920,937
-----------
PHOTOGRAPHY--0.46%
100,200 EASTMAN KODAK CO ................... 7,790,550
3,600 oPHOTRONICS, INC .................... 94,500
2,600 oPRESSTEK, INC ...................... 167,700
-----------
8,052,750
-----------
PROPERTY--REAL ESTATE--0.11%
12,000 KIMCO REALTY CORP .................. 339,000
12,000 oTOLL BROTHERS, INC ................. 196,500
13,700 WASHINGTON REAL ESTATE
INVESTMENT TRUST .................. 229,475
14,000 WEINGARTEN REALTY INVESTORS, INC ... 542,500
27,900 WELLSFORD RESIDENTIAL
PROPERTY TRUST .................... 627,750
-----------
1,935,225
-----------
PUBLISHING--NEWSPAPER--0.31%
10,100 BELO (A.H.) CORP SERIES A .......... 376,225
10,500 oCOX COMMUNICATIONS, INC (CLASS A)
NEW ............................... 227,062
9,100 DOW JONES & CO, INC ................ 379,925
44,800 GANNETT CO, INC .................... 3,169,600
15,200 TRIBUNE CO NEW ..................... 1,103,900
500 WASHINGTON POST CO (CLASS B) ....... 162,000
-----------
5,418,712
-----------
PUBLISHING--OTHER--0.71%
13,600 AMERICAN GREETINGS CORP (CLASS A) .. 372,300
29,100 DONNELLEY (R.R.) & SONS CO ......... 1,014,862
39,200 DUN & BRADSTREET CORP .............. 2,450,000
23,400 HARCOURT GENERAL, INC .............. 1,170,000
600 HOUGHTON MIFFLIN CO ................ 29,850
10,500 LEE ENTERPRISES, INC ............... 248,062
13,100 oMARVEL ENTERTAINMENT GROUP, INC .... 122,812
22,300 MCGRAW HILL COS, INC ............... 1,020,225
6,100 oMEREDITH CORP ...................... 254,675
32,700 READER'S DIGEST ASSOCIATION, INC
(CLASS A) (NON-VTG) ............... 1,389,750
4,100 oSCHOLASTIC CORP .................... 254,200
9,500 THOMAS NELSON, INC ................. 127,062
105,229 TIME WARNER, INC ................... 4,130,238
-----------
12,584,036
-----------
RAILROAD--0.22%
27,900 BURLINGTON NORTHERN SANTA FE CORP .. 2,256,412
25,650 ILLINOIS CENTRAL CORP SERIES A ..... 727,818
7,800 KANSAS CITY SOUTHERN
INDUSTRIES, INC ................... 334,425
17,700 oWISCONSIN CENTRAL TRANSIT CORP ..... 575,250
-----------
3,893,905
-----------
RESTAURANTS & HOTELS--2.89%
2,900 oAMERICAN CLASSIC VOYAGES CO ........ 21,387
14,600 APPLE SOUTH, INC ................... 390,550
19,400 oAPPLEBEES INTERNATIONAL, INC ....... 628,075
7,600 BOB EVANS FARMS, INC ............... 129,200
15,800 oBOSTON CHICKEN, INC ................ 513,500
15,100 oBUFFETS, INC ....................... 184,975
21,200 CRACKER BARREL OLD COUNTRY
STORE, INC ........................ 514,100
51,800 DARDEN RESTAURANTS, INC ............ 556,850
16,800 FELCOR SUITE HOTELS, INC ........... 512,400
38,300 oHFS INC ............................ 2,681,000
4,900 HILTON HOTELS CORP ................. 551,250
18,000 oHOST MARRIOTT CORP ................. 236,250
9,980 oHOST MARRIOTT SERVICES CORP ........ 72,355
2,500 oIHOP CORP (NEW) .................... 67,500
12,800 LA QUINTA INNS, INC ................ 428,800
13,300 oLANDRYS SEAFOOD RESTAURANTS, INC ... 329,175
10,500 oLONE STAR STEAKHOUSE SALOON, INC ... 396,375
4,400 LUBYS CAFETERIA, INC ............... 103,400
39,100 MARRIOTT INTERNATIONAL, INC ........ 2,101,625
219,300 MCDONALDS CORP ..................... 10,252,275
2,600 oMGM GRAND, INC ..................... 103,675
11,300 oOUTBACK STEAKHOUSE, INC ............ 389,673
28,600 oPROMUS HOTEL CORP .................. 847,275
2,650 RUBY TUESDAY, INC .................. 59,956
45,100 oRYANS FAMILY STEAK HOUSES, INC ..... 417,175
14,900 oSHONEYS, INC ....................... 162,037
65,200 SYSCO CORP ......................... 2,233,100
1,411,000 WENDYS INTERNATIONAL, INC .......... 26,279,875
-----------
51,163,808
-----------
See notes to financial statements.
-46-
<PAGE>
SHARES VALUE
------ -----
RETAIL--FOOD--0.58%
75,600 ALBERTSONS, INC ....................$ 3,127,950
13,800 AMERICAN STORES CO, (NEW) .......... 569,250
123,500 FOOD LION, INC (CLASS B) ........... 957,125
7,900 HANNAFORD BROTHERS, INC ............ 257,737
36,500 oKROGER CO .......................... 1,441,750
65,700 oSAFEWAY, INC NEW ................... 2,168,100
23,000 oSOUTHLAND CORP ..................... 69,718
22,000 oSTARBUCKS CORP ..................... 621,500
7,100 oSTOP & SHOP COS, INC (NEW) ......... 236,962
20,500 WINN DIXIE STORES, INC ............. 725,187
-----------
10,175,279
-----------
RETAIL--GENERAL MERCHANDISE--7.21%
44,000 oAUTOZONE, INC ...................... 1,529,000
4,000 oBABY SUPERSTORE, INC ............... 66,000
7,300 oBARNES & NOBLE, INC ................ 261,887
8,000 oBEST BUY, INC ...................... 183,000
16,700 oBOMBAY, INC ........................ 104,375
8,200 oBORDERS GROUP, INC ................. 264,450
16,100 xoCALDOR CORP ........................ 42,262
10,300 CASEYS GENERAL STORES, INC ......... 204,712
25,800 oCHARMING SHOPPES, INC .............. 182,212
827,200 CIRCUIT CITY STORES, INC ........... 29,882,600
6,300 CLAIRES STORES, INC ................ 174,037
26,400 oCONSOLIDATED STORES CORP ........... 970,200
57,550 oCUC INTERNATIONAL, INC ............. 2,043,025
4,200 DAYTON HUDSON CORP ................. 433,125
7,800 oDEPARTMENT 56, INC ................. 176,475
5,800 DILLARD DEPARTMENT STORES (CLASS A). 211,700
517,570 DOLLAR GENERAL CORP ................ 15,138,922
19,700 oECKERD CORP ........................ 445,712
16,800 FAMILY DOLLAR STORES, INC .......... 291,900
14,968 oFEDERATED DEPARTMENT STORES, INC ... 510,783
42,600 oFURNITURE BRANDS INTERNATIONAL, INC 468,600
66,800 GAP, INC ........................... 2,145,950
14,400 oGYMBOREE CORP ...................... 439,200
473,300 HEILIG MEYERS CO ................... 11,359,200
150,800 HOME DEPOT, INC .................... 8,143,200
16,700 oHOME SHOPPING NETWORK, INC ......... 200,400
2,300 oJONES APPAREL GROUP, INC ........... 112,987
30,400 oKOHLS CORP ......................... 1,113,400
500 oLANDS END, INC ..................... 12,375
40,590 LIMITED, INC ....................... 872,685
38,100 LOWES COS, INC ..................... 1,376,362
25,500 MAY DEPARTMENT STORES CO ........... 1,115,625
200 oMENS WAREHOUSE, INC ................ 6,450
5,300 oMICHAELS STORES, INC ............... 90,100
9,000 oMOVIE GALLERY, INC ................. 189,000
11,700 NORDSTROM, INC ..................... 520,650
22,600 oOFFICEMAX, INC ..................... 539,575
4,080 oPAYLESS SHOESOURCE, INC ............ 129,540
1,200 oPENN TRAFFIC CO .................... 10,200
17,400 PEP BOYS- MANNY, MOE, & JACK CO .... 591,600
16,100 oPETSMART, INC ...................... 768,775
10,700 PIER 1 IMPORTS, INC ................ 159,162
22,100 oPRICE/COSTCO, INC .................. 477,912
4,900 oPROFFITTS, INC ..................... 173,950
20,400 oREVCO (D.S.), INC (NEW) ............ 487,050
1,500 oREXALL SUNDOWN, INC ................ 40,500
1,900 oROUSE CO ........................... 49,162
6,900 SEARS ROEBUCK & CO ................. 335,512
26,400 oSERVICE MERCHANDISE, INC ........... 148,500
7,800 SOTHEBYS HOLDINGS, INC (CLASS A) ... 113,100
49,200 oSTAPLES, INC ....................... 959,400
20,100 STRIDE RITE CORP ................... 165,825
18,600 oSUNGLASS HUT INTERNATIONAL, INC .... 453,375
1,000 TALBOTS, INC ....................... 32,375
7,300 TANDY CORP ......................... 345,837
2,900 TIFFANY & CO (NEW) ................. 211,700
6,700 TJX COS, INC (NEW) ................. 226,125
33,500 oTOPPS, INC ......................... 188,437
41,800 oTOYS R US, INC ..................... 1,191,300
1,418,000 WAL-MART STORES, INC ............... 35,981,750
76,200 WALGREEN CO ........................ 2,552,700
1,000 oWILLIAMS-SONOMA, INC 23,625
-----------
127,639,548
-----------
TEXTILE & APPAREL--1.48%
1,500 oANN TAYLOR STORES CORP ............. 30,375
14,300 CML GROUP, INC ..................... 60,775
39,000 oCONE MILLS CORP .................... 438,750
6,433 oCONVERSE, INC ...................... 27,340
9,000 oDONNKENNY, INC ..................... 175,500
16,316 oFLORSHEIM SHOE CO .................. 81,580
7,700 oFRUIT OF THE LOOM, INC (CLASS A) ... 196,350
1,000 oJUST FOR FEET INC .................. 52,875
4,400 LIZ CLAIBORNE, INC ................. 152,350
15,000 oNAUTICA ENTERPRISES, INC ........... 431,250
16,900 NIKE, INC (CLASS B) ................ 1,736,475
7,600 oNINE WEST GROUP, INC ............... 388,550
11,400 REEBOK INTERNATIONAL LTD ........... 383,325
12,800 UNIFI, INC ......................... 360,000
9,700 VF CORP ............................ 578,362
20,800 WARNACO GROUP, INC (CLASS A) ....... 535,600
856,800 oWESTPOINT STEVENS, INC ............. 20,456,100
5,000 WOLVERINE WORLD WIDE, INC .......... 162,500
-----------
26,248,057
-----------
TOBACCO--2.96%
14,500 DIMON, INC ......................... 268,250
459,600 PHILIP MORRIS COS, INC ............. 47,798,400
32,700 RJR NABISCO HOLDINGS CORP .......... 1,013,700
5,160 SCHWEITZER-MAUDUIT
INTERNATIONAL, INC ................ 145,125
21,200 UNIVERSAL CORP ..................... 561,800
74,800 UST, INC ........................... 2,561,900
-----------
52,349,175
-----------
TRUCKERS & SHIPPING--0.66%
16,900 oAMERICAN FREIGHTWAYS CORP .......... 188,012
1,800 CALIBER SYSTEM, INC ................ 61,200
18,000 HUNT (J.B.) TRANSPORT SERVICES, INC 375,750
3,300 LAIDLAW, INC (CLASS B) ............. 33,412
345,500 oLANDSTAR SYSTEM, INC ............... 10,019,500
3,900 ROADWAY EXPRESS, INC ............... 55,087
48,250 ROLLINS TRUCK LEASING CORP ......... 500,593
19,800 USFREIGHTWAYS CORP ................. 386,100
-----------
11,619,654
-----------
UTILITIES--ELECTRIC--0.06%
28,100 oAES CORP ........................... 793,825
6,300 OTTER TAIL POWER CO ................ 204,750
-----------
998,575
-----------
UTILITIES--GAS & PIPELINE--0.41%
23,500 oAMERICAN STANDARD COS, INC ......... 775,500
11,300 oBLACK BOX CORP ..................... 268,375
30,000 CABOT OIL & GAS CORP (CLASS A) ..... 521,250
8,200 oCALENERGY, INC ..................... 209,100
6,600 COASTAL CORP ....................... 275,550
65,000 ENRON CORP ......................... 2,656,875
9,600 ENSERCH CORP ....................... 208,800
1,675 PANENERGY CORP ..................... 55,065
See notes to financial statements.
-47-
<PAGE>
SHARES VALUE
------ -----
UTILITIES--GAS & PIPELINE
(CONTINUED)
62,800 PUBLIC SERVICE CO OF NORTH
CAROLINA ...................... $ 1,067,600
7,000 SONAT, INC ..................... 315,000
7,200 SOUTHWESTERN ENERGY CO ......... 101,700
10,517 TENNECO, INC ................... 537,681
11,200 WESTERN GAS RESOURCES, INC ..... 182,000
2,400 WILLIAMS COS, INC .............. 118,800
--------------
7,293,296
--------------
UTILITIES--TELEPHONE--2.27%
8,000 oADTRAN, INC .................... 567,000
28,400 ALLTEL CORP .................... 873,300
30,300 AMERITECH CORP (NEW) ........... 1,799,062
396,500 AT & T CORP .................... 24,583,000
25,100 BELL ATLANTIC CORP ............. 1,600,125
1,100 oC-TEC CORP ..................... 32,725
19,600 CINCINNATI BELL, INC ........... 1,021,650
4,500 oCOMMNET CELLULAR, INC .......... 135,000
31,400 FRONTIER CORP .................. 961,625
21,150 oGLENAYRE TECHNOLOGIES, INC ..... 1,057,500
8,000 LINCOLN TELECOMMUNICATIONS CO .. 131,000
25,900 MCI COMMUNICATIONS CORP ........ 663,687
15,000 oMOBILE TELECOMMUNICATIONS
TECHNOLOGIES CORP ............. 219,375
9,400 oNEXTEL COMMUNICATIONS, INC
(CLASS A) ..................... 179,187
728 SBC COMMUNICATIONS, INC ........ 35,854
18,900 SPRINT CORP .................... 793,800
11,326 TELEPHONE & DATA SYSTEMS, INC .. 509,670
7,100 oU.S. LONG DISTANCE CORP ........ 252,050
116,500 oU.S. WEST MEDIA GROUP, INC ..... 2,126,125
48,300 oWORLDCOM, INC .................. 2,674,612
--------------
40,216,347
--------------
TOTAL COMMON STOCK
(Cost $1,441,218,023) ............ $1,687,349,232
--------------
PRINCIPAL
---------
SHORT TERM INVESTMENTS--4.52%
COMMERCIAL PAPER--0.70%
COOPER INDUSTRIES, INC
$ 2,500,000 5.600%, 07/01/96 ............ 2,499,604
DAYTON HUDSON CORP
2,500,000 5.650%, 07/01/96 ............ 2,499,601
DILLARD INVESTMENT CO, INC
2,500,000 5.380%, 07/02/96 ............ 2,499,208
EL PASO NATURAL GAS CO
2,500,000 5.550%, 07/01/96 ............ 2,499,587
QUAKER OATS CO
2,500,000 5.550%, 07/09/96 ............ 2,496,454
--------------
12,494,454
--------------
GOVERNMENT AGENCIES--3.82%
FEDERAL FARM CREDIT BANKS
3,000,000 5.300%, 07/08/96 ............ 2,996,500
FEDERAL HOME LOAN BANK
10,000,000 5.250%, 09/04/96 ............ 9,902,805
FEDERAL HOME LOAN MORTGAGE CORP
17,820,000 5.270%, 07/03/96 ............ 17,812,198
FEDERAL HOME LOAN MORTGAGE CORP
23,430,000 5.170%, 07/16/96 ............ 23,374,991
FEDERAL NATIONAL
MORTGAGE ASSOCIATION
13,500,000 5.160%, 07/22/96 ............ 13,456,598
--------------
67,543,092
--------------
TOTAL SHORT TERM INVESTMENTS
(Cost $80,050,677) ...... 80,037,546
--------------
ROUNDING ....................... 122
--------------
TOTAL PORTFOLIO
(Cost $1,521,302,658) ............ $1,767,419,997
==============
- ----------------
o NON-INCOME PRODUCING
x IN BANKRUPTCY
# RESTRICTED
See notes to financial statements.
-48-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENT OF INVESTMENTS--EQUITY INDEX ACCOUNT (UNAUDITED)
JUNE 30, 1996
SUMMARY
VALUE %
----- ---
BONDS
CORPORATE BONDS
BROADCASTERS ..................... $ 7,320 0.00%
ENVIRONMENTAL CONTROL ............ 12,845 0.00
FINANCIAL--MISCELLANEOUS ......... 1,171 0.00
----------- ----
TOTAL CORPORATE BONDS
(COST $ 16,411) .................. 21,336 0.00
----------- ----
TOTAL BONDS
(COST $ 16,411) ................... 21,336 0.00
----------- ----
PREFERRED STOCK
BUSINESS SERVICES ................ 28,611 0.01
CONGLOMERATES .................... 1,829 0.00
HEALTHCARE--SERVICE .............. 8,160 0.00
----------- -----
TOTAL PREFERRED STOCK
(COST $ 38,211) ................... 38,600 0.01
----------- -----
COMMON STOCK
AEROSPACE ........................ 9,600,934 1.40
AIR TRANSPORTATION ............... 3,668,512 0.53
AUTOMOTIVE & RELATED ............. 17,302,445 2.52
BANKS ............................ 52,147,776 7.58
BEVERAGES ........................ 22,303,199 3.24
BROADCASTERS ..................... 5,910,626 0.86
BUSINESS SERVICES ................ 10,547,609 1.53
CHEMICALS--MAJOR ................. 14,302,387 2.08
CHEMICALS--SPECIALTY ............. 7,831,969 1.14
COMMUNICATION EQUIPMENT & SERVICES 15,044,543 2.19
COMPUTER SERVICE ................. 23,735,570 3.45
CONGLOMERATES .................... 13,645,011 1.98
CONSTRUCTION--MATERIALS & BUILDERS 4,181,346 0.61
CONTAINERS ....................... 916,527 0.13
COSMETICS ........................ 4,382,561 0.64
ELECTRICAL EQUIPMENT ............. 22,665,255 3.30
ELECTRICAL EQUIPMENT--
COMPONENTS DIVERSIFIED ......... 19,944,819 2.90
ELECTRICAL EQUIPMENT--INSTRUMENTS 2,594,492 0.38
ENVIRONMENTAL CONTROL ............ 3,967,405 0.58
FINANCIAL--MISCELLANEOUS ......... 26,935,055 3.92
FOODS ............................ 15,585,203 2.27
FOREST PRODUCTS .................. 3,338,187 0.49
HEALTHCARE--DRUGS ................ 38,841,600 5.65
HEALTHCARE--HOSPITAL SUPPLY ...... 14,730,728 2.14
HEALTHCARE--OTHER ................ 6,530,047 0.95
HEALTHCARE--SERVICE .............. 11,130,016 1.62
HOUSEHOLD--CONSUMER ELECTRONICS .. 213,412 0.03
HOUSEHOLD--DURABLE GOODS ......... 2,744,699 0.40
HOUSEHOLD--PRODUCTS .............. 10,518,312 1.53
INSURANCE--BROKERS & OTHER ....... 2,411,862 0.35
INSURANCE--LIFE .................. 4,521,541 0.66
INSURANCE--MULTI-LINE,
PROPERTY & CASUALTY ............ 20,355,795 2.96
LEISURE TIME ..................... 10,231,528 1.49
MACHINERY ........................ 11,009,882 1.60
METALS--ALUMINIUM ................ 1,664,498 0.24
METALS--GOLD ..................... 1,856,564 0.27
METALS--NON-FERROUS .............. 2,212,353 0.32
METALS--STEEL .................... 2,388,374 0.35
OFFICE EQUIPMENT ................. 21,472,958 3.12
PAPER ............................ 7,283,294 1.06
PETROLEUM--
EXPLORATION & PRODUCTION ....... 6,003,289 0.87
PETROLEUM--INTEGRATED ............ 33,727,356 4.91
PETROLEUM--SERVICE ............... 5,752,558 0.84
PHOTOGRAPHY ...................... 3,341,237 0.48
PROPERTY--REAL ESTATE ............ 772,711 0.11
PUBLISHING--NEWSPAPER ............ 3,472,116 0.50
PUBLISHING--OTHER ................ 5,352,355 0.78
RAILROAD ......................... 6,435,400 0.94
RESTAURANTS & HOTELS ............. 9,971,679 1.45
RETAIL--FOOD ..................... 5,047,097 0.73
RETAIL--GENERAL MERCHANDISE ...... 27,923,531 4.06
TEXTILE & APPAREL ................ 3,460,972 0.50
TOBACCO .......................... 12,714,510 1.85
TRUCKERS & SHIPPING .............. 1,441,898 0.21
UTILITIES--ELECTRIC .............. 29,483,957 4.29
UTILITIES--GAS & PIPELINE ........ 8,654,625 1.26
UTILITIES--TELEPHONE ............. 46,275,842 6.73
------------- ------
TOTAL COMMON STOCK
(COST $ 599,611,230) .............. 680,500,027 98.97
------------- ------
SHORT TERM INVESTMENTS
BANKERS ACCEPTANCES .............. 493,454 0.07
COMMERCIAL PAPER ................. 8,194,009 1.19
GOVERNMENT AGENCIES .............. 3,891,423 0.57
------------- ------
TOTAL SHORT TERM INVESTMENTS ....... 12,578,886 1.83
(COST $ 12,580,787) ------------- ------
ROUNDING ........................ 216 0.00
------------- ------
TOTAL PORTFOLIO
(COST $ 612,246,639) .............. 693,139,065 100.81
------------- ------
OTHER ASSETS & LIABILITIES, NET (5,556,868) (0.81)
------------- ------
NET ASSETS ......................... $ 687,582,197 100.00%
============= ======
See notes to financial statements.
-49-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENT OF INVESTMENTS--EQUITY INDEX ACCOUNT (UNUADITED)
JUNE 30, 1996
PRINCIPAL VALUE
--------- -----
BONDS--0.00%
CORPORATE BONDS--0.00%
BROADCASTERS--0.00%
VIACOM INTERNATIONAL, INC
(SUBORDINATED DEB)
$ 8,000 8.000%, 07/07/06 ............... $ 7,320
------------
ENVIRONMENTAL CONTROL--0.00%
WMX TECHNOLOGIES, INC
(SUBORDINATED CV NOTES)
14,000 2.000%, 01/24/05 ............... 12,845
------------
FINANCIAL--MISCELLANEOUS--0.00%
EVEREN CAPITAL CORP 13.5%
4,300 13.500%, 09/15/07 ............... 1,171
------------
TOTAL CORPORATE BONDS
(COST $16,411) ..................... 21,336
------------
TOTAL BONDS
(COST $16,411) ...................... 21,336
------------
SHARES
------
PREFERRED STOCK--0.01%
BUSINESS SERVICES--0.01%
1,122 oPREMIER FARNELL PLC CV ADR ....... 28,611
------------
CONGLOMERATES--0.00%
119 TELEDYNE, INC SERIES E ............ 1,829
------------
HEALTHCARE--SERVICE--0.00%
320 FHP INTERNATIONAL CORP SERIES A CV 8,160
------------
TOTAL PREFERRED STOCK
(COST $38,211) ...................... 38,600
------------
COMMON STOCK--98.97%
AEROSPACE--1.40%
900 oALLIANT TECHSYSTEMS, INC .......... 42,412
38,600 BOEING CO ......................... 3,363,025
7,100 EG & G, INC ....................... 151,762
1,900 FLIGHTSAFETY INTERNATIONAL, INC ... 103,075
6,200 GENERAL DYNAMICS CORP ............. 384,400
11,700 GENERAL MOTORS CORP (CLASS H) ..... 703,462
19,404 LOCKHEED MARTIN CORP .............. 1,629,936
21,300 MCDONNELL DOUGLAS CORP ............ 1,033,050
4,800 NORTHROP GRUMMAN CORP ............. 327,000
2,300 oOEA, INC .......................... 86,250
5,900 oORBITAL SCIENCES CORP ............. 95,875
2,700 PRECISION CASTPARTS CORP .......... 116,100
27,900 RAYTHEON CO ....................... 1,440,337
7,000 oWYMAN-GORDON CO ................... 124,250
------------
9,600,934
------------
AIR TRANSPORTATION--0.53%
7,100 oAIR EXPRESS INTERNATIONAL CORP .... 200,575
3,600 AIRBORNE FREIGHT CORP ............. 93,600
7,200 oAMERICA WEST AIRLINES, INC (CLASS B) 158,400
8,100 oAMR CORP .......................... 737,100
3,100 ATLANTIC SOUTHEAST AIRLINES, INC .. 87,575
4,725 COMAIR HOLDINGS, INC .............. 127,575
1,800 oCONTINENTAL AIRLINES, INC (CLASS B) 111,150
5,600 DELTA AIRLINES, INC ............... 464,800
6,800 oFEDERAL EXPRESS CORP .............. 557,600
1,000 oMESA AIRLINES, INC ................ 11,875
7,300 oNORTHWEST AIRLINES CORP (CLASS A) . 288,350
400 SKYWEST, INC ...................... 7,450
15,600 SOUTHWEST AIRLINES CO ............. 454,350
4,900 oU.S. AIR GROUP, INC ............... 88,200
4,400 oUAL CORP (NEW) .................... 236,500
4,600 oVALUJET, INC ...................... 43,412
------------
3,668,512
------------
AUTOMOTIVE & RELATED--2.52%
4,800 oALLEN GROUP, INC .................. 104,400
2,700 oAMERICREDIT CORP .................. 42,187
5,600 ARVIN INDUSTRIES, INC ............. 124,600
2,900 BANDAG, INC ....................... 139,200
3,600 BORG-WARNER AUTOMOTIVE, INC ....... 142,200
2,100 BREED TECHNOLOGIES, INC ........... 46,987
35,681 CHRYSLER CORP ..................... 2,212,222
9,400 COOPER TIRE & RUBBER CO ........... 209,150
4,900 CUMMINS ENGINE CO, INC ............ 197,837
11,700 DANA CORP ......................... 362,700
4,500 DANAHER CORP ...................... 195,750
2,200 oDETROIT DIESEL CORP ............... 42,625
2,800 DONALSON, INC ..................... 72,100
9,300 EATON CORP ........................ 545,212
7,100 ECHLIN, INC ....................... 268,912
6,400 FEDERAL-MOGUL CORP ................ 117,600
131,500 FORD MOTOR CO ..................... 4,257,312
1,300 GENCORP, INC ...................... 19,662
84,600 GENERAL MOTORS CORP ............... 4,430,925
13,800 GENUINE PARTS CO .................. 631,350
16,700 GOODYEAR TIRE & RUBBER CO ......... 805,775
8,100 HARLEY DAVIDSON, INC .............. 333,112
2,800 HAYES WHEELS INTERNATIONAL, INC ... 88,900
2,400 oKIRBY CORP ........................ 40,500
11,900 oLEAR CORP ......................... 419,475
4,100 MODINE MANUFACTURING CO ........... 108,650
9,800 oNAVISTAR INTERNATIONAL CORP ....... 96,775
4,400 PACCAR, INC ....................... 215,600
7,800 POLARIS INDUSTRIES, INC ........... 266,175
2,000 oRENTERS CHOICE, INC ............... 51,000
1,900 oSAFESKIN CORP ..................... 78,850
10,500 SAFETY-KLEEN CORP ................. 183,750
1,000 SMITH (A.O.) CORP ................. 25,000
5,500 SNAP-ON, INC ...................... 260,562
500 STANDARD PRODUCTS CO .............. 11,625
3,300 SUPERIOR INDUSTRIES
INTERNATIONAL, INC ............... 87,450
1,800 oTBC CORP .......................... 15,525
675 TRANSPRO, INC ..................... 4,640
2,600 WABASH NATIONAL CORP .............. 46,150
------------
17,302,445
------------
BANKS--7.58%
9,400 AMSOUTH BANCORP ................... 339,575
900 ASSOCIATED BANC-CORP .............. 34,875
50,496 BANC ONE CORP ..................... 1,716,864
7,800 BANCORP HAWAII, INC ............... 280,800
12,311 BANK OF BOSTON CORP ............... 609,394
22,300 BANK OF NEW YORK CO, INC .......... 1,142,875
40,000 BANKAMERICA CORP .................. 3,030,000
8,200 BANKERS TRUST NEW YORK CORP ....... 605,775
10,900 BARNETT BANKS, INC ................ 664,900
2,100 BAYBANKS, INC ..................... 226,275
See notes to financial statements.
-50-
<PAGE>
SHARES VALUE
------ -----
BANKS (CONTINUED)
19,500 BOATMENS BANCSHARES, INC .......... $ 782,437
470 oCALIFORNIA FEDERAL BANK
GOODWILL CERT .................... 4,112
1,808 CAPITAL ONE FINANCIAL CORP ........ 51,528
700 CCB FINANCIAL CORP ................ 35,875
10,050 CENTRAL FIDELITY BANKS, INC ....... 228,637
800 CENTURA BANKS, INC ................ 29,400
6,200 CHARTER ONE FINANCIAL, INC ........ 216,225
44,758 CHASE MANHATTAN CORP (NEW) ........ 3,161,033
53,921 oCITICORP CO ....................... 4,455,222
9,300 CITY NATIONAL CORP ................ 146,475
14,000 COMERICA, INC ..................... 624,750
771 COMMERCE BANCSHARES, INC .......... 26,310
4,300 COMPASS BANCSHARES, INC ........... 140,825
25,109 CORESTATES FINANCIAL CORP ......... 966,696
6,034 CRESTAR FINANCIAL CORP ............ 322,064
3,200 CULLEN FROST BANKERS, INC ......... 88,800
5,500 DAUPHIN DEPOSIT CORP .............. 156,750
1,500 DEPOSIT GUARANTY CORP ............. 66,000
11,200 oDIME BANCORP, INC ................. 145,600
9,400 FIFTH THIRD BANCORP ............... 507,600
5,300 FIRST AMERICAN CORP ............... 223,262
15,754 FIRST BANK SYSTEM, INC ............ 913,732
35,155 FIRST CHICAGO NBD CORP ............ 1,375,439
6,750 FIRST COMMERCE CORP ............... 238,781
1,409 FIRST COMMERCIAL CORP ............. 43,326
9,345 FIRST OF AMERICA BANK CORP ........ 418,188
11,350 FIRST SECURITY CORP ............... 272,400
9,700 FIRST TENNESSEE NATIONAL CORP ..... 297,062
32,177 FIRST UNION CORP .................. 1,958,774
1,200 FIRST VIRGINIA BANKS, INC ......... 48,000
7,900 FIRSTAR CORP NEW .................. 364,387
29,488 FLEET FINANCIAL GROUP, INC (NEW) .. 1,282,728
6,400 GREENPOINT FINANCIAL CORP ......... 180,800
18,185 HIBERNIA CORP (CLASS A) ........... 197,761
19,915 HUNTINGTON BANCSHARES, INC ........ 475,470
1,900 oIMPERIAL CREDIT INDUSTRIES, INC ... 57,475
27,200 KEYCORP NEW ....................... 1,054,000
9,300 LONG ISLAND BANCORP, INC .......... 284,231
16,000 MAGNA GROUP, INC .................. 384,000
14,400 MARSHALL & ILSLEY CORP ............ 399,600
15,274 MELLON BANK CORP .................. 870,618
8,100 MERCANTILE BANCORP, INC ........... 360,450
11,171 MERCANTILE BANKSHARES CORP ........ 284,860
20,300 MORGAN (J.P.) & CO, INC ........... 1,717,887
25,861 NATIONAL CITY CORP ................ 908,367
900 NATIONAL COMMERCE BANCORP ......... 28,350
32,306 NATIONSBANK CORP .................. 2,669,283
6,900 NORTH FORK BANCORP, INC ........... 180,262
7,300 NORTHERN TRUST CORP ............... 421,575
40,048 NORWEST CORP ...................... 1,396,674
8,137 OLD KENT FINANCIAL CORP ........... 318,360
1,064 OLD NATIONAL BANCORP .............. 39,368
5,800 ONBANCORP, INC .................... 189,950
1,000 ONE VALLEY BANCORP, INC ........... 34,500
4,300 PEOPLES BANK OF BRIDGEPORT CO ..... 95,675
6,400 oPEOPLES HERITAGE FINANCIAL
GROUP, INC ....................... 130,400
38,180 PNC BANK CORP ..................... 1,135,855
8,776 REGIONS FINANCIAL CORP ............ 410,278
5,400 REPUBLIC NEW YORK CORP ............ 336,150
6,400 RIGGS NATIONAL CORP ............... 77,600
8,067 SIGNET BANKING CORP ............... 187,557
14,225 SOUTHERN NATIONAL CORP ............ 451,643
14,200 SOUTHTRUST CORP ................... 399,375
22,145 SOVEREIGN BANCORP, INC ............ 221,450
11,400 ST. PAUL BANCORP, INC ............. 262,200
1,800 STANDARD FEDERAL BANCORP .......... 69,300
2,200 STAR BANC CORP .................... 148,225
9,300 STATE STREET BOSTON CORP .......... 474,300
11,002 SUMMIT BANCORP .................... 386,445
27,200 SUNTRUST BANKS, INC ............... 1,006,400
15,650 SYNOVUS FINANCIAL CORP ............ 338,431
17,816 U.S. BANCORP ...................... 643,603
1,600 U.S. TRUST CORP (NEW) ............. 80,800
8,900 UNION PLANTERS CORP ............... 270,337
1,400 UNIONBANCAL CORP .................. 74,025
750 UNITED CAROLINA BANCSHARES CORP ... 16,687
1,260 VALLEY NATIONAL BANCORP ........... 32,130
20,800 WACHOVIA CORP NEW ................. 910,000
7,450 WASHINGTON FEDERAL, INC ........... 152,725
5,800 WASHINGTON MUTUAL, INC ............ 173,275
10,468 WELLS FARGO & CO .................. 2,500,543
7,600 WILMINGTON TRUST CORP ............. 246,525
3,000 ZIONS BANCORP ..................... 218,250
------------
52,147,776
------------
BEVERAGES--3.24%
25,600 ANHEUSER BUSCH COS, INC ........... 1,920,000
1,400 BROWN FORMAN, INC (CLASS B) ....... 56,000
280,100 COCA COLA CO ...................... 13,689,887
9,600 COCA COLA ENTERPRISES, INC ........ 332,400
5,800 COORS ADOLPH CO (CLASS B) ......... 103,675
175,300 PEPSICO, INC ...................... 6,201,237
------------
22,303,199
------------
BROADCASTERS--0.86%
4,300 oCITICASTERS, INC .................. 134,375
2,700 oCLEAR CHANNEL COMMUNICATIONS, INC . 222,412
2,800 COMCAST CORP (CLASS A) ............ 51,450
25,600 COMCAST CORP (CLASS A) SPL ........ 473,600
2,500 oEVERGREEN MEDIA CORP (CLASS A) .... 106,875
8,590 GAYLORD ENTERTAINMENT CO .......... 242,667
1,800 HARTE-HANKS COMMUNICATIONS, INC ... 49,950
3,600 oHERITAGE MEDIA CORP (CLASS A) (NEW) 143,550
11,825 oINFINITY BROADCASTING CORP (CLASS A) 354,750
5,000 oKING WORLD PRODUCTIONS, INC ....... 181,875
18,675 oLIBERTY MEDIA GROUP CLASS A ....... 494,887
2,750 oLIN TELEVISION CORP ............... 99,000
4,600 oSCRIPPS (E.W.) CO (CLASS A) ....... 214,475
3,800 TCA CABLE TV, INC ................. 114,950
74,900 oTELE-COMMUNICATIONS, INC (CLASS A)
(NEW) ............................ 1,357,562
12,800 TURNER BROADCASTING SYSTEMS, INC
(CLASS B) ........................ 352,000
400 UNITED TELEVISION, INC ............ 39,200
6,460 oVIACOM, INC (CLASS A) ............. 246,287
24,893 oVIACOM, INC (CLASS B) ............. 967,715
250 oVIACOM, INC (CLASS B) WTS 7/07/97 . 156
150 oVIACOM, INC (CLASS B) WTS 7/07/99 . 365
4,100 oWESTWOOD ONE, INC ................. 62,525
------------
5,910,626
------------
BUSINESS SERVICES--1.53%
3,000 oACCUSTAFF, INC .................... 81,750
7,700 ADVO, INC ......................... 79,887
2,900 oAFFILIATED COMPUTER SERVICES, INC . 136,300
1,500 oALLIANCE SEMICONDUCTOR CORP ....... 12,562
2,900 oALTERNATIVE RESOURCES CORP ........ 106,575
5,000 oAMERICA ONLINE, INC ............... 218,750
2,025 oAPOLLO GROUP, INC (CLASS A) ....... 56,700
1,800 oATRIA SOFTWARE, INC ............... 90,000
4,800 AUTODESK, INC ..................... 143,400
See notes to financial statements.
-51-
<PAGE>
SHARES VALUE
------ -----
BUSINESS SERVICES (CONTINUED)
6,500 BANTA CORP ........................ $ 164,125
12,000 BLOCK (H&R), INC .................. 391,500
2,500 oCABLEVISION SYSTEMS CORP (CLASS A) 115,625
1,200 oCALGENE, INC ...................... 7,950
2,800 oCAREER HORIZON, INC ............... 98,000
1,400 oCATALINA MARKETING CORP ........... 128,100
3,800 oCHECKPOINT SYSTEMS, INC ........... 130,625
4,200 CINTAS CORP ....................... 224,700
2,300 oCOMPUTER HORIZONS CORP ............ 90,850
7,000 oCOMPUTERVISION CORP ............... 70,000
7,660 oCORPORATE EXPRESS, INC ............ 306,400
3,400 oCORRECTIONS CORP OF AMERICA ....... 238,000
3,300 oCREDENCE SYSTEMS CORP ............. 44,343
9,900 DELUXE CORP ....................... 351,450
1,300 oDIALOGIC CORP ..................... 77,512
7,550 DIEBOLD, INC ...................... 364,287
3,400 oDOUBLETREE CORP ................... 120,700
6,300 FIRST INDUSTRIAL REALTY TRUST, INC. 148,050
4,400 oFORE SYSTEMS, INC ................. 158,950
3,900 oFRANKLIN QUEST CO ................. 80,925
2,100 oFRITZ COS, INC .................... 67,725
1,300 oGATEWAY 2000, INC ................. 44,200
8,300 HARLAND (JOHN H.) CO .............. 204,387
1,400 oHCIA, INC ......................... 88,200
1,500 IDEON GROUP, INC .................. 20,250
1,600 oINFORMATION RESOURCES, INC ........ 19,600
1,600 oINSO CORP ......................... 83,800
3,800 oINTERIM SERVICES, INC ............. 163,400
9,400 INTERPUBLIC GROUP OF COS, INC ..... 440,625
2,000 oITRON, INC ........................ 56,750
5,900 KELLY SERVICES, INC (CLASS A) ..... 172,575
9,200 LIBERTY PROPERTY TRUST CO ......... 182,850
7,800 MANPOWER, INC ..................... 306,150
2,525 oMCAFEE ASSOCIATES, INC ............ 123,725
900 oMERISEL, INC ...................... 3,375
3,400 oMICRO WAREHOUSE, INC .............. 68,000
2,860 oNATIONAL AUTO CREDIT, INC ......... 32,532
4,600 oNATIONAL EDUCATION CORP ........... 65,550
7,000 NATIONAL SERVICE INDUSTRIES, INC .. 273,875
3,500 oNU KOTE HOLDING, INC (CLASS A) .... 58,187
14,250 oOFFICE DEPOT, INC ................. 290,343
7,800 oOIS OPTICAL IMAGING SYSTEMS, INC .. 23,887
6,350 OLSTEN CORP ....................... 186,531
8,700 OMNICOM GROUP, INC ................ 404,550
1,400 oOPTICAL DATA SYSTEMS, INC ......... 30,800
6,175 PAYCHEX, INC ...................... 297,171
2,500 PHH CORP .......................... 142,500
1,392 oPREMIER FARNELL PLC ADR ........... 29,058
2,100 oQUARTERDECK CORP .................. 19,687
1,800 oREMEDY CORP ....................... 131,400
5,600 oROBERT HALF INTERNATIONAL, INC .... 156,100
4,700 ROLLINS, INC ...................... 110,450
8,700 SENSORMATIC ELECTRONICS CORP ...... 142,462
13,000 SERVICE CORP INTERNATIONAL ........ 747,500
2,900 STANDARD REGISTER, INC ............ 71,412
6,400 oSTRATACOM, INC .................... 360,000
5,700 oSUNGARD DATA SYSTEMS, INC ......... 228,712
300 oSYLVAN LEARNING SYSTEMS, INC ...... 11,325
1,500 oTHERMOLASE CORP ................... 40,875
1,700 TRUE NORTH COMMUNICATIONS, INC .... 37,825
3,900 oU.S. CELLULAR CORP ................ 120,900
400 VALSPAR CORP ...................... 18,400
3,000 oVERIFONE, INC ..................... 126,750
900 oWACKENHUT CORRECTIONS CORP ........ 30,037
1,100 WALLACE COMPUTER SERVICES, INC .... 65,725
500 oWONDERWARE CORP ................... 9,437
------------
10,547,609
------------
CHEMICALS--MAJOR--2.08%
12,500 AIR PRODUCTS & CHEMICALS, INC ..... 721,875
1,000 ARCO CHEMICAL CO .................. 52,000
26,200 DOW CHEMICAL CO ................... 1,991,200
61,800 DU PONT (E.I.) DE NEMOURS & CO .... 4,889,925
9,100 EASTMAN CHEMICAL CO ............... 553,962
7,200 GOODRICH (B.F.) CO ................ 269,100
12,700 HERCULES, INC ..................... 701,675
5,200 MISSISSIPPI CHEMICAL CORP ......... 104,000
62,800 MONSANTO CO ....................... 2,041,000
3,000 oOAK TECHNOLOGY, INC ............... 28,125
2,900 OLIN CORP ......................... 258,825
21,500 PPG INDUSTRIES, INC ............... 1,048,125
16,300 PRAXAIR, INC ...................... 688,675
1,600 oQUINTILES TRANSNATIONAL CORP ...... 105,200
5,100 ROHM & HAAS CO .................... 320,025
13,300 UNION CARBIDE CORP ................ 528,675
------------
14,302,387
------------
CHEMICALS--SPECIALTY--1.14%
8,400 oAIRGAS, INC ....................... 159,600
6,500 ALBEMARLE CORP .................... 118,625
4,000 BETZ LABORATORIES, INC ............ 175,500
6,900 CALGON CARBON CORP ................ 93,150
1,500 COMMERCIAL METALS CO .............. 49,875
7,300 CROMPTON & KNOWLES CORP ........... 122,275
1,800 oCYTEC INDUSTRIES, INC ............. 153,900
5,100 DEXTER CORP ....................... 151,725
7,400 ECOLAB, INC ....................... 244,200
10,800 ENGELHARD CORP .................... 248,400
12,600 ETHYL CORP ........................ 121,275
3,600 FERRO CORP ........................ 95,400
2,600 FIRST MISSISSIPPI CORP ............ 57,850
4,300 FOSTER WHEELER CORP ............... 192,962
404 FULLER (H.B.) CO .................. 14,645
5,700 GEON CO ........................... 128,250
4,600 GEORGIA GULF CORP ................. 134,550
11,100 oGRACE (W.R.) & CO ................. 786,712
7,600 GREAT LAKES CHEMICAL CORP ......... 473,100
6,044 ICN PHARMACEUTICALS, INC (NEW) .... 140,523
7,600 IMC GLOBAL, INC ................... 285,950
4,100 oINTERNATIONAL SPECIALTY
PRODUCTS, INC .................... 45,100
5,000 LAWTER INTERNATIONAL, INC ......... 62,500
2,400 LOCTITE CORP ...................... 111,600
8,000 LUBRIZOL CORP ..................... 243,000
5,100 LYONDELL PETROCHEMICAL CO ......... 123,037
6,700 MALLINCKRODT GROUP, INC ........... 260,462
200 oMCWHORTER TECHNOLOGIES, INC ....... 3,550
4,900 MILLIPORE CORP .................... 205,187
16,700 MORTON INTERNATIONAL, INC ......... 622,075
4,600 oMYCOGEN CORP ...................... 69,000
8,400 NALCO CHEMICAL CORP ............... 264,600
1,500 OM GROUP, INC ..................... 58,875
4,900 RAYCHEM CORP ...................... 352,187
13,650 RPM, INC .......................... 213,281
5,375 SCHULMAN (A), INC ................. 131,687
4,400 oSEALED AIR CORP ................... 147,950
5,900 SIGMA ALDRICH CORP ................ 315,650
8,700 oSTERLING CHEMICALS, INC ........... 101,137
5,500 TERRA INDUSTRIES, INC ............. 68,062
2,900 THIOKOL CORP ...................... 114,550
4,800 WELLMAN, INC ...................... 112,200
7,500 WITCO CORP ........................ 257,812
------------
7,831,969
------------
See notes to financial statements.
-52-
<PAGE>
SHARES VALUE
------ -----
COMMUNICATION EQUIPMENT
& SERVICES--2.19%
15,200 o360 COMMUNICIATIONS CO ............ $ 364,800
18,260 o3COM CORP ......................... 835,395
57,500 oAIRTOUCH COMMUNICATIONS, INC ...... 1,624,375
6,825 oANDREW CORP ....................... 366,843
1,000 oANTEC CORP ........................ 15,875
5,200 oARCH COMMUNICATIONS GROUP, INC .... 96,850
9,200 oASCEND COMMUNICATIONS, INC ........ 517,500
3,100 oAVID TECHNOLOGIES, INC ............ 57,350
9,300 oBRINKER INTERNATIONAL, INC ........ 139,500
2,500 oCABLE DESIGN TECHNOLOGIES CO ...... 81,875
5,900 oCABLETRON SYSTEMS, INC ............ 404,887
7,600 oCAI WIRELESS SYSTEMS, INC ......... 70,300
1,500 oCALIFORNIA MICROWAVE, INC ......... 22,875
8,800 oCASCADE COMMUNICATIONS CORP ....... 598,400
1,300 oCELLSTAR CORP ..................... 11,375
400 oCELLULAR COMMUNICATIONS
INTERNATIONAL, INC ............... 13,500
6,900 CENTURY TELEPHONE ENTERPRISES, INC 219,937
1,900 oCIDCO, INC ........................ 66,975
63,200 oCISCO SYSTEMS, INC ................ 3,578,700
6,300 COMSAT CORP SERIES 1 .............. 163,800
24,900 CORNING, INC ...................... 955,537
12,600 oDSC COMMUNICATIONS CORP ........... 379,575
3,400 oDSP COMMUNICATIONS, INC ........... 174,675
3,100 oDYNATECH CORP ..................... 100,750
1,600 oGENERAL DATACOMM INDUSTRIES, INC .. 21,600
7,200 oGEOTEK COMMUNICATIONS, INC ........ 98,550
5,400 HARRIS CORP ....................... 329,400
2,900 oHEARTLAND WIRELESS
COMMUNICIATIONS .................. 68,875
3,900 oINTERCEL, INC ..................... 78,000
1,100 oINTERDIGITAL COMMUNICATIONS CORP .. 9,350
5,466 oINTERNATIONAL DAIRY QUEEN, INC
(CLASS A) ........................ 161,247
10,000 oLCI INTERNATIONAL, INC ............ 313,750
2,900 oMACROMEDIA, INC ................... 63,437
2,800 oMASTEC, INC ....................... 70,700
4,500 oMFS COMMUNICATIONS CO, INC ........ 169,312
1,100 oNETCOM ON-LINE COMMUNICATION
SERVICE, INC ..................... 29,700
3,400 oNETWORK EQUIPMENT
TECHNOLOGIES, INC ................ 72,250
10,700 oNEW WORLD COMMUNICATIONS
GROUP, INC ....................... 156,487
35,100 oNOVELL, INC ....................... 487,012
4,800 oOCTEL COMMUNICATIONS CORP ......... 94,800
1,500 oP-COM, INC ........................ 47,250
12,300 oPAGING NETWORK, INC ............... 295,200
2,200 oPAIRGAIN TECHNOLOGIES, INC ........ 136,400
3,200 oPICTURETEL CORP (NEW) ............. 126,000
2,600 oPREMISYS COMMUNICATIONS, INC ...... 158,600
4,500 oQUALCOMM, INC ..................... 239,062
7,900 SCIENTIFIC-ATLANTA, INC ........... 122,450
6,400 oTECH DATA CORP .................... 139,200
8,300 oTELLABS, INC ...................... 555,062
6,400 oVANGUARD CELLULAR SYSTEMS, INC .... 139,200
------------
15,044,543
------------
COMPUTER SERVICE--3.45%
400 o3DO CO ............................ 4,250
4,100 oACXIOM CORP ....................... 139,912
5,100 oADAPTEC, INC ...................... 241,612
7,500 oADC TELECOMMUNICATIONS, INC ....... 337,500
6,372 ADOBE SYSTEMS, INC ................ 228,595
6,825 oAMERICAN MANAGEMENT SYSTEMS, INC .. 199,631
4,200 oAUSPEX SYSTEMS, INC ............... 63,000
34,000 AUTOMATIC DATA PROCESSING, INC .... 1,313,250
400 oBANYAN SYSTEMS, INC ............... 2,900
20,045 oBAY NETWORKS, INC ................. 516,158
1,700 oBBN CORP .......................... 36,975
4,800 oBISYS GROUP, INC .................. 181,200
4,900 oBMC SOFTWARE, INC ................. 292,775
2,200 oBORLAND INTERNATIONAL, INC ........ 20,075
1,400 oBOSTON TECHNOLOGY, INC ............ 23,625
1,300 oBRODERBUND SOFTWARE, INC .......... 41,925
2,900 oC-CUBE MICROSYSTEMS, INC .......... 95,700
8,125 oCADENCE DESIGN SYSTEMS, INC ....... 274,218
4,500 oCAMBRIDGE TECHNOLOGY PARTNERS, INC 137,250
1,300 oCDW COMPUTER CENTERS, INC ......... 90,350
7,300 oCERIDIAN CORP ..................... 368,650
3,000 oCHEYENNE SOFTWARE, INC ............ 57,750
4,200 oCOMPUSA, INC ...................... 143,325
20,100 COMPUTER ASSOCIATES
INTERNATIONAL, INC ............... 1,432,125
5,500 oCOMPUTER SCIENCES CORP ............ 411,125
3,400 oCOMPUWARE CORP .................... 134,300
4,000 oCONTINUM, INC ..................... 232,000
2,400 oCYRIX CORP ........................ 41,400
1,200 oDAVIDSON & ASSOCIATES, INC ........ 36,000
3,900 oELECTRONIC ARTS, INC .............. 104,325
35,700 oELECTRONIC DATA SYSTEMS CORP ...... 1,918,875
22,900 oEMC CORP .......................... 426,512
3,100 oEXABYTE CORP ...................... 40,493
22,274 FIRST DATA CORP ................... 1,773,567
6,400 oFISERV, INC ....................... 192,000
1,600 oFTP SOFTWARE, INC ................. 13,200
8,400 HBO & CO .......................... 569,100
15,900 oINFORMIX CORP ..................... 357,750
267 oINTEGRATED SYSTEMS CONSULTING
GROUP ............................ 5,206
2,700 oINTEGRATED SYSTEMS, INC ........... 108,168
7,400 oINTERGRAPH CORP ................... 89,725
3,500 oINTUIT, INC ....................... 165,375
3,200 oLANDMARK GRAPHICS CORP ............ 61,600
1,200 oMEDIC COMPUTER SYSTEMS, INC ....... 97,350
7,600 oMENTOR GRAPHICS CORP .............. 123,500
4,000 oMICROCHIP TECHNOLOGY, INC ......... 99,000
2,100 oMICRON ELECTRONICS, INC ........... 25,725
39,600 oMICROSOFT CORP .................... 4,756,950
4,200 NATIONAL DATA CORP ................ 143,850
4,200 oNETMANAGE, INC .................... 46,200
5,600 oNETWORK GENERAL CORP .............. 120,400
56,725 oORACLE CORP ....................... 2,237,092
13,000 oPARAMETRIC TECHNOLOGY CORP ........ 563,875
2,400 oPEOPLESOFT, INC ................... 171,000
2,800 oPHYSICIAN COMPUTER NETWORK, INC ... 32,375
6,600 oPLATINUM TECHNOLOGY, INC .......... 99,825
2,400 oPOLICY MANAGEMENT SYSTEMS CORP .... 120,000
1,400 oPROGRESS SOFTWARE CORP ............ 22,925
1,700 oRATIONAL SOFTWARE CORP ............ 91,375
4,200 oREAD-RITE CORP .................... 59,325
5,000 REYNOLDS & REYNOLDS CO (CLASS A) .. 266,250
2,000 oSAFEGUARD SCIENTIFICS, INC ........ 156,000
1,900 oSECURITY DYNAMICS TECHNOLOGIES, INC 156,275
2,000 SEI CORP .......................... 42,250
2,400 SHARED MEDICAL SYSTEMS CORP ....... 154,200
2,800 oSHIVA CORP ........................ 224,000
2,000 oSIERRA ON-LINE, INC ............... 87,750
3,900 oSOFTKEY INTERNATIONAL, INC ........ 73,856
2,800 oSTERLING SOFTWARE, INC ............ 215,600
2,700 oSTRUCTURAL DYNAMICS RESEARCH CORP . 59,400
7,200 oSYBASE, INC ....................... 170,100
See notes to financial statements.
-53-
<PAGE>
SHARES VALUE
------ -----
COMPUTER SERVICE (CONTINUED)
5,300 oSYMANTEC CORP .....................$ 66,250
4,700 oSYNOPSYS, INC ..................... 186,825
2,250 SYSTEM SOFTWARE ASSOCIATES, INC ... 38,250
1,200 oSYSTEMSOFT CORP ................... 56,400
2,700 oZEBRA TECHNOLOGY CORP ............. 47,925
------------
23,735,570
------------
CONGLOMERATES--1.98%
14,100 ALCO STANDARD CORP ................ 638,025
8,300 ALEXANDER & BALDWIN, INC .......... 200,237
31,500 ALLIED SIGNAL, INC ................ 1,799,437
6,200 AMERICAN FINANCIAL GROUP, INC ..... 186,775
7,800 oANIXTER INTERNATIONAL, INC ........ 116,025
6,800 oCOLTEC INDUSTRIES, INC ............ 96,900
5,050 oCONCORD EFS, INC .................. 179,275
7,800 oCOPYTELE, INC ..................... 68,250
3,600 CRANE CO .......................... 147,600
15,100 ITT INDUSTRIES, INC ............... 379,387
5,000 JOHNSON CONTROLS, INC ............. 347,500
1,300 KEYSTONE FINANCIAL, INC ........... 43,550
5,200 oLITTON INDUSTRIES, INC ............ 226,200
9,300 LOEWS CORP ........................ 733,537
8,399 MARK IV INDUSTRIES, INC ........... 190,027
45,200 MINNESOTA MINING &
MANUFACTURING CO ................. 3,118,800
17,800 ROCKWELL INTERNATIONAL CORP ....... 1,019,050
4,100 oSCHULLER CORP ..................... 42,537
1,100 STANDEX INTERNATIONAL CORP ........ 31,350
5,000 TELEDYNE, INC ..................... 180,625
8,000 TEXTRON, INC ...................... 639,000
7,500 TRW, INC .......................... 674,062
17,600 TYCO INTERNATIONAL LTD ............ 717,200
13,300 UNITED TECHNOLOGIES CORP .......... 1,529,500
14,100 WHITMAN CORP ...................... 340,162
------------
13,645,011
------------
CONSTRUCTION--MATERIALS
& BUILDERS--0.61%
4,600 ARMSTRONG WORLD INDUSTRIES, INC ... 265,075
1,200 oCASTLE & COOKE, INC ............... 19,200
1,900 oCDI CORP .......................... 64,125
4,300 CENTEX CORP ....................... 133,837
4,200 oCHAMPION ENTERPRISES, INC ......... 87,675
7,793 CLAYTON HOMES, INC ................ 155,860
11,700 DEBARTOLO REALTY CORP ............. 188,662
3,800 FASTENAL CO ....................... 165,300
4,900 FLEETWOOD ENTERPRISES, INC ........ 151,900
3,700 oJACOBS ENGINEERING GROUP, INC ..... 97,587
600 JUSTIN INDUSTRIES, INC ............ 7,875
6,200 KAUFMAN & BROAD HOME CORP ......... 89,900
10,247 LAFARGE CORP ...................... 207,501
4,650 LENNAR CORP ....................... 116,250
2,300 MANUFACTURED HOME
COMMUNITIES, INC ................. 44,275
18,700 MASCO CORP ........................ 565,675
900 MEDUSA CORP ....................... 27,900
7,000 OAKWOOD HOMES CORP ................ 144,375
6,100 oOWENS CORNING CO .................. 262,300
700 PLY-GEM INDUSTRIES, INC ........... 9,537
3,300 PULTE CORP ........................ 88,275
9,400 SHERWIN-WILLIAMS CO ............... 437,100
15,000 SIMON PROPERTY GROUP, INC ......... 367,500
3,900 oSOLA INTERNATIONAL, INC ........... 112,125
300 TEXAS INDUSTRIES, INC ............. 20,587
6,200 oUSG CORP .......................... 172,825
3,000 VULCAN MATERIALS CO ............... 178,125
------------
4,181,346
------------
CONTAINERS--0.13%
5,779 BALL CORP ......................... 166,146
9,800 CROWN CORK & SEAL CO, INC ......... 441,000
6,500 oGAYLORD CONTAINER CO .............. 50,781
14,100 oOWENS ILLINOIS, INC ............... 225,600
1,100 WEST CO, INC ...................... 33,000
------------
916,527
------------
COSMETICS--0.64%
1,200 ALBERTO CULVER CO (CLASS B) ....... 55,650
15,400 AVON PRODUCTS, INC ................ 694,925
600 oBUSH BOAKE ALLEN, INC ............. 13,050
4,700 CARTER WALLACE, INC ............... 68,737
48,900 GILLETTE CO ....................... 3,050,137
10,500 INTERNATIONAL FLAVORS &
FRAGRANCES, INC .................. 500,062
------------
4,382,561
------------
ELECTRICAL EQUIPMENT--3.30%
7,200 oAMERICAN POWER CONVERSION CORP .... 73,800
7,400 AMETEK, INC ....................... 160,950
1,800 BALDOR ELECTRIC CO ................ 40,500
6,700 BELDEN, INC ....................... 201,000
4,000 oCOMPUTER PRODUCTS, INC ............ 68,500
2,800 oCOMVERSE TECHNOLOGY, INC .......... 85,400
12,200 DURACELL INTERNATIONAL, INC ....... 526,125
24,900 EMERSON ELECTRIC CO ............... 2,250,337
4,100 EXIDE CORP ........................ 99,425
185,100 GENERAL ELECTRIC CO ............... 16,011,150
4,600 GENERAL SIGNAL CORP ............... 174,225
5,100 GRAINGER (W.W.), INC .............. 395,250
14,800 HONEYWELL, INC .................... 806,600
2,725 HUBBELL, INC (CLASS B) ............ 180,531
1,700 JUNO LIGHTING, INC ................ 28,900
2,300 oMAGNETEK, INC ..................... 22,137
2,400 oOAK INDUSTRIES, INC (NEW) ......... 71,100
3,300 oSANMINA CORP ...................... 89,100
3,700 oSYMBOL TECHNOLOGIES, INC .......... 164,650
2,200 oTCSI CORP ......................... 53,075
7,400 THOMAS & BETTS CORP ............... 277,500
47,200 WESTINGHOUSE ELECTRIC CORP ........ 885,000
------------
22,665,255
------------
ELECTRICAL EQUIPMENT--
COMPONENTS DIVERSIFIED--2.90%
14,300 oADVANCED MICRO DEVICES, INC ....... 194,837
4,300 oALTERA CORP ....................... 163,400
25,200 AMP, INC .......................... 1,011,150
4,600 oAMPHENOL CORP (CLASS A) ........... 105,800
12,725 oANALOG DEVICES, INC ............... 324,487
1,000 oAPPLIED INNOVATION, INC ........... 10,875
6,337 oARROW ELECTRONICS, INC ............ 273,283
8,300 oATMEL CORP ........................ 250,037
1,600 AUGAT, INC ........................ 30,600
5,900 AVNET, INC ........................ 248,537
1,700 oBURR BROWN CORP ................... 30,175
6,700 oCIRRUS LOGIC, INC ................. 117,250
135 oCYBERGUARD CORP ................... 2,328
7,600 oCYPRESS SEMICONDUCTOR CORP ........ 91,200
7,100 DALLAS SEMICONDUCTOR CORP ......... 128,687
3,800 FISHER SCIENTIFIC
INTERNATIONAL, INC ............... 142,500
12,700 oGENERAL INSTRUMENT CORP (NEW) ..... 366,712
1,100 HELIX TECHNOLOGY CORP ............. 42,625
7,600 oINTEGRATED DEVICE TECHNOLOGY, INC . 80,750
92,500 INTEL CORP ........................ 6,792,968
4,800 oINTERNATIONAL RECTIFIER CORP ...... 77,400
5,100 oKEMET CORP ........................ 102,000
4,700 oKENT ELECTRONICS CORP ............. 146,875
See notes to financial statements.
-54-
<PAGE>
SHARES VALUE
------ -----
ELECTRICAL EQUIPMENT--
COMPONENTS DIVERSIFIED (CONTINUED)
2,700 oLAM RESEARCH CORP ................. $ 70,200
3,300 oLATTICE SEMICONDUCTOR ............. 79,612
8,200 LINEAR TECHNOLOGY CO .............. 246,000
13,100 oLSI LOGIC CORP .................... 340,600
5,900 oMARSHALL INDUSTRIES, INC .......... 165,200
6,800 oMAXIM INTEGRATED PRODUCTS ......... 185,725
8,200 METHODE ELECTRONICS, INC (CLASS A) 139,400
17,600 MICRON TECHNOLOGY, INC ............ 455,400
11,625 MOLEX, INC ........................ 369,093
66,500 MOTOROLA, INC ..................... 4,181,187
1,000 oMYLEX CORP ........................ 17,750
13,900 oNATIONAL SEMICONDUCTOR CORP ....... 215,450
1,950 PIONEER-STANDARD ELECTRONICS, INC . 25,837
7,000 oS3, INC ........................... 86,187
2,700 oSIERRA SEMICONDUCTOR CORP ......... 31,387
20,900 TEXAS INSTRUMENTS, INC ............ 1,042,387
3,400 oTRIMBLE NAVIGATION LTD ............ 65,450
7,300 oU.S. ROBOTICS CORP ................ 624,150
3,900 oVICOR CORP ........................ 90,675
6,497 oVISHAY INTERTECHNOLOGY, INC ....... 153,491
1,800 oVITESSE SEMICONDUCTOR CORP ........ 43,200
3,700 oVLSI TECHNOLOGY, INC .............. 51,337
5,200 oWESTERN DIGITAL CORP .............. 135,850
2,600 WYLE ELECTRONICS .................. 86,125
7,000 oXILINX, INC ....................... 222,250
3,600 oZILOG, INC ........................ 86,400
------------
19,944,819
------------
ELECTRICAL EQUIPMENT--
INSTRUMENTS--0.38%
19,300 oAPPLIED MATERIALS, INC ............ 588,650
4,100 BECKMAN INSTRUMENTS, INC (NEW) .... 155,800
1,800 oCOHERENT, INC ..................... 93,600
3,300 oDESTEC ENERGY, INC ................ 42,075
3,300 oDIONEX CORP ....................... 106,425
1,600 oELECTROGLAS, INC .................. 22,800
3,000 oELECTRONICS FOR IMAGING, INC ...... 208,125
1,700 oEPIC DESIGN TECHNOLOGY, INC ....... 42,925
4,800 oINPUT/OUTPUT, INC ................. 155,400
5,500 oKLA INSTRUMENT CORP ............... 127,875
1,900 oKULICHE & SOFFA INDUSTRIES, INC ... 27,787
12,600 oLORAL SPACE & COMMUNICATIONS LTD .. 171,675
2,600 oLTX CORP .......................... 16,250
4,700 PERKIN-ELMER CORP ................. 226,775
2,700 oSILICON VALLEY GROUP, INC ......... 50,625
3,700 TEKTRONIX, INC .................... 165,575
2,300 oTENCOR INSTRUMENTS ................ 43,412
7,800 oTERADYNE, INC ..................... 134,550
3,175 oTHERMO INSTRUMENT SYSTEMS, INC .... 102,393
1,600 VARIAN ASSOCIATES, INC ............ 82,800
1,900 X RITE, INC ....................... 28,975
------------
2,594,492
------------
ENVIRONMENTAL CONTROL--0.58%
11,300 oALLIED WASTE INDUSTRIES, INC ...... 100,287
21,500 BROWNING FERRIS INDUSTRIES, INC ... 623,500
11,200 OGDEN CORP ........................ 203,000
800 oOMEGA ENVIRONMENTAL, INC .......... 1,750
12,700 oREPUBLIC INDUSTRIES, INC .......... 369,887
4,300 oSANIFILL, INC ..................... 211,775
4,100 oU.S. FILTER CORP .................. 142,475
9,250 oU.S.A. WASTE SERVICES, INC ........ 274,031
6,800 oUNITED WASTE SYSTEMS, INC ......... 219,300
11,200 WHEELABRATOR
TECHNOLOGIES, INC (NEW) .......... 170,800
50,400 WMX TECHNOLOGIES, INC ............. 1,650,600
------------
3,967,405
------------
FINANCIAL--MISCELLANEOUS--3.92%
5,000 ADVANTA CORP (CLASS A) ............ 255,000
2,100 ALEX BROWN, INC ................... 118,650
5,800 oAMBAC, INC ........................ 302,325
53,600 AMERICAN EXPRESS CO ............... 2,391,900
25,200 AMERICAN GENERAL CORP ............. 916,650
3,600 AMERICAN HEALTH PROPERTIES, INC ... 79,650
5,400 oAMRESCO, INC ...................... 92,475
12,000 ASTORIA FINANCIAL CORP ............ 325,500
2,500 AVALON PROPERTIES, INC ............ 54,375
5,540 BEACON PROPERTIES CORP ............ 141,962
12,244 BEAR STEARNS COS, INC ............. 289,264
6,300 BENEFICIAL CORP ................... 353,587
7,300 oCAL FED BANCORP, INC .............. 133,225
4,900 CAPSTEAD MORTGAGE CORP ............ 136,587
1,500 CASE CORP ......................... 72,000
13,900 oCATELLUS DEVELOPMENT CORP ......... 126,837
1,300 CBL & ASSOCIATES PROPERTIES, INC .. 29,087
2,800 CMAC INVESTMENT CORP .............. 161,000
3,800 oCOAST SAVINGS FINANCIAL, INC ...... 124,450
6,600 COLLECTIVE BANCORP, INC ........... 155,925
5,850 COMDISCO, INC ..................... 155,756
1,400 COMMERCIAL FEDERAL CORP ........... 53,550
11,548 COUNTRYWIDE CREDIT INDUSTRIES, INC 285,813
2,900 oCREDIT ACCEPTANCE CORP ............ 60,900
8,200 CWM MORTGAGE HOLDINGS, INC ........ 139,400
16,100 DEAN WITTER DISCOVER & CO ......... 921,725
4,600 DEVELOPERS DIVERSIFIED REALTY CORP 146,625
3,600 DUKE REALTY INVESTMENTS, INC ...... 108,900
7,500 EDWARDS (A.G.), INC ............... 203,437
6,600 EQUITY RESIDENTIAL PROPERTIES
TRUST CO ......................... 216,975
19,700 FEDERAL HOME LOAN MORTGAGE CORP ... 1,684,350
121,500 FEDERAL NATIONAL
MORTGAGE ASSOCIATION ............. 4,070,250
1,200 FINANCIAL SECURITY ASSURANCE
HOLDINGS LTD ..................... 32,850
3,200 FINOVA GROUP, INC ................. 156,000
9,100 FIRST FINANCIAL CORP (WISCONSIN) .. 204,750
6,100 FIRST USA, INC .................... 335,500
19,064 FRANCHISE FINANCE CORP OF AMERICA . 438,472
5,700 FRANKLIN RESOURCES, INC ........... 347,700
4,300 oGARTNER GROUP, INC (CLASS A) (NEW) 157,487
5,700 GENERAL GROWTH PROPERTIES, IND .... 137,512
9,800 oGLENDALE FEDERAL
SAVINGS BANK, INC (NEW) .......... 177,625
2,800 GLIMCHER REALTY TRUST ............. 47,250
4,600 GOLDEN WEST FINANCIAL CORP ........ 257,600
9,577 GREAT WESTERN FINANCIAL CORP ...... 228,650
15,700 GREEN TREE FINANCIAL CORP ......... 490,625
10,900 H.F. AHMANSON & CO ................ 294,300
12,700 HEALTH AND RETIREMENT
PROPERTY TRUST ................... 219,075
2,400 HIGHWOODS PROPERTIES, INC ......... 66,300
10,505 HOUSEHOLD INTERNATIONAL, INC ...... 798,380
12,820 LEHMAN BROTHERS HOLDINGS, INC ..... 317,295
3,700 oLEUCADIA NATIONAL CORP ............ 90,650
21,450 MBNA CORP ......................... 611,325
6,300 oMEDAPHIS CORP ..................... 250,425
11,300 MEDITRUST CORP .................... 377,137
15,250 MERCURY FINANCE CO ................ 194,437
18,100 MERRILL LYNCH & CO, INC ........... 1,178,762
7,015 MERRY LAND & INVESTMENT CO, INC ... 147,315
9,600 MORGAN STANLEY GROUP, INC ......... 471,600
13,327 NEW PLAN REALTY TRUST ............. 281,532
3,000 oOLYMPIC FINANCIAL LTD ............. 69,000
See notes to financial statements.
-55-
<PAGE>
SHARES VALUE
------ -----
FINANCIAL--MISCELLANEOUS (CONTINUED)
11,100 PAINE WEBBER GROUP INC ............ $ 263,625
800 oPEC ISRAEL ECONOMIC CORP .......... 14,500
5,500 PENNCORP FINANCIAL GROUP, INC ..... 174,625
3,700 PIONEER GROUP, INC ................ 98,975
3,200 PMI GROUP, INC .................... 136,000
3,600 POST PROPERTIES, INC .............. 127,350
5,800 PRICE (T. ROWE) ASSOCIATES, INC ... 178,350
6,900 PUBLIC STORAGE, INC ............... 142,312
2,750 QUICK & REILLY GROUP, INC ......... 89,375
3,000 RESOURCE MORTGAGE CAPITAL CORP .... 67,500
4,200 RFS HOTEL INVESTORS, INC .......... 65,100
14,900 ROOSEVELT FINANCIAL GROUP, INC .... 286,825
11,500 SALOMON, INC ...................... 506,000
10,900 SCHWAB (CHARLES) CORP ............. 267,050
10,700 SECURITY CAPITAL PACIFIC TRUST .... 232,725
5,400 SPIEKER PROPERTIES, INC ........... 147,150
5,500 STUDENT LOAN MARKETING ASSOCIATION 407,000
5,200 TCF FINANCIAL CORP ................ 172,900
3,950 THE MONEY STORE, INC .............. 87,393
7,800 TIG HOLDINGS, INC ................. 226,200
8,200 UNITED ASSET MANAGEMENT CORP ...... 200,900
3,980 UNITED COS FINANCIAL CORP ......... 135,320
15,318 UNITED DOMINION REALTY TRUST CO ... 220,196
------------
26,935,055
------------
FOODS--2.27%
58,355 ARCHER DANIELS MIDLAND CO ......... 1,116,039
14,800 CAMPBELL SOUP CO .................. 1,043,400
7,294 CARDINAL HEALTH, INC .............. 526,079
6,300 CHIQUITA BRANDS INTERNATIONAL, INC 81,900
26,500 CONAGRA, INC ...................... 1,202,437
15,900 CPC INTERNATIONAL, INC ............ 1,144,800
7,500 DEAN FOODS CO ..................... 185,625
5,100 DOLE FOOD, INC .................... 219,300
700 DREYERS GRAND ICE CREAM, INC ...... 22,050
840 oEARTHGRAINS CO .................... 27,510
9,500 FLOWERS INDUSTRIES, INC ........... 153,187
17,700 GENERAL MILLS, INC ................ 964,650
9,400 oGENERAL NUTRITION COS, INC ........ 164,500
35,350 HEINZ (H.J.) CO ................... 1,073,756
5,500 HERSHEY FOODS CORP ................ 403,562
7,200 oHORMEL FOODS CORP ................. 192,600
10,600 IBP, INC .......................... 292,825
4,000 INTERSTATE BAKERIES CORP .......... 107,000
13,100 KELLOGG CO ........................ 959,575
6,300 LANCE, INC ........................ 103,950
10,200 MCCORMICK & CO, INC ............... 225,675
10,500 NABISCO HOLDINGS CORP (CLASS A) ... 371,437
3,200 oNATURES SUNSHINE PRODUCTS, INC .... 81,600
700 oNBTY, INC ......................... 7,043
7,700 PIONEER-HI-BRED INTERNATIONAL, INC 407,137
16,000 QUAKER OATS CO .................... 546,000
8,900 oRALCORP HOLDINGS, INC ............. 183,562
11,400 RALSTON PURINA GROUP .............. 731,025
6,900 RICHFOOD HOLDINGS, INC ............ 224,250
53,000 SARA LEE CORP ..................... 1,715,875
3,100 oSMITHFIELD FOODS, INC ............. 78,275
388 SMITH'S FOOD & DRUG CENTERS, INC
(CLASS B) ........................ 9,263
924 TOOTSIE ROLL INDUSTRIES, INC ...... 32,917
9,500 TYSON FOODS, INC .................. 260,062
4,500 UNIVERSAL FOODS CORP .............. 165,937
350 WLR FOODS, INC .................... 4,900
11,000 WRIGLEY (WM) JR CO ................ 555,500
------------
15,585,203
------------
FOREST PRODUCTS--0.49%
5,000 BOISE CASCADE CORP ................ 183,125
9,200 CHAMPION INTERNATIONAL CORP ....... 384,100
11,300 oCOLLINS & AIKMAN CORP ............. 67,800
9,900 GEORGIA-PACIFIC CORP .............. 702,900
13,900 LOUISIANA PACIFIC CORP ............ 307,537
4,200 POTLATCH CORP ..................... 164,325
5,700 RAYONIER, INC ..................... 216,600
1,100 TJ INTERNATIONAL, INC ............. 19,800
22,000 WEYERHAEUSER CO ................... 935,000
6,000 WILLAMETTE INDUSTRIES, INC ........ 357,000
------------
3,338,187
------------
HEALTHCARE--DRUGS--5.65%
1,000 oAGOURON PHARMACEUTICALS, INC ...... 39,000
3,000 oALLIANCE PHARMACEUTICAL CORP ...... 49,500
8,800 oALZA CORP ......................... 240,900
70,200 AMERICAN HOME PRODUCTS CORP ....... 4,220,775
29,000 oAMGEN, INC ........................ 1,566,000
7,750 ARBOR DRUGS, INC .................. 161,781
4,000 oATHENA NEUROSCIENCES, INC ......... 68,500
6,160 BERGEN BRUNSWIG CORP (CLASS A) .... 170,940
3,300 oBIOGEN, INC ....................... 181,087
924 BLOCK DRUG, INC (CLASS A) ......... 38,808
54,900 BRISTOL MYERS SQUIBB CO ........... 4,941,000
600 oCELLPRO, INC ...................... 10,800
7,200 oCENTOCOR, INC ..................... 215,100
2,700 oCEPHALON, INC ..................... 53,325
2,132 oCHIRON CORP ....................... 208,936
200 oCOPLEY PHARMACEUTICAL, INC ........ 2,650
1,100 oCOR THERAPEUTICS, INC ............. 12,512
2,200 oCYGNUS, INC ....................... 33,550
2,100 oDURA PHARMACEUTICALS, INC ......... 117,600
1,800 oENZO BIOCHEMICAL, INC ............. 30,825
6,200 oFOREST LABORATORIES, INC .......... 239,475
600 oGENSIA, INC ....................... 3,037
3,500 oGENZYME CORP ...................... 175,875
81 oGENZYME CORP
(TISSUE REPAIR DIVISION) ......... 951
3,900 oGILEAD SCIENCES, INC .............. 98,475
7,300 oIMMUNEX CORP NEW .................. 99,462
3,100 oINTERNEURON PHARMACEUTICALS, INC .. 93,000
4,000 oISIS PHARMACEUTICALS, INC ......... 75,000
12,192 IVAX CORP ......................... 193,548
600 oLIGAND PHARMACEUTICALS CO (CLASS A) 9,975
51,338 LILLY (ELI) & CO .................. 3,336,970
3,600 oLIPOSOME CO, INC .................. 67,500
2,400 oMATRIX PHARMACEUTICALS, INC ....... 43,200
6,300 MCKESSON CORP (NEW) ............... 300,037
137,100 MERCK & CO, INC ................... 8,860,087
14,550 MYLAN LABORATORIES, INC ........... 250,987
1,200 oNEUROGEN CORP ..................... 30,900
3,100 oNEXSTAR PHARMACEUTICALS, INC ...... 68,975
1,700 oPDT, INC .......................... 56,100
71,400 PFIZER, INC ....................... 5,096,175
49,045 PHARMACIA & UPJOHN, INC ........... 2,176,371
400 oPROTEIN DESIGN LABORATORIES, INC .. 9,000
4,700 RHONE-POULENC RORER, INC .......... 315,487
1,900 oROBERTS PHARMACEUTICAL CORP ....... 38,237
3,600 oSCHERER (R.P.) CORP ............... 163,350
40,500 SCHERING-PLOUGH CORP .............. 2,541,375
2,400 oSEPRACOR, INC ..................... 36,000
3,500 oSEQUUS PHARMACEUTICALS, INC ....... 69,617
2,200 oSOMATOGEN, INC .................... 31,075
4,000 oTHERMEDICS, INC ................... 100,000
1,900 oU.S. BIOSCIENCE, INC .............. 25,887
3,000 oVERTEX PHARMACEUTICALS, INC ....... 91,125
29,700 WARNER-LAMBERT CO ................. 1,633,500
See notes to financial statements.
-56-
<PAGE>
SHARES VALUE
------ -----
HEALTHCARE--DRUGS (CONTINUED)
3,888 oWATSON PHARMACEUTICALS, INC .......$ 147,258
------------
38,841,600
------------
HEALTHCARE--HOSPITAL SUPPLY--2.14%
88,300 ABBOTT LABORATORIES CO ............ 3,841,050
6,400 BARD (C.R.), INC .................. 217,600
30,200 BAXTER INTERNATIONAL, INC ......... 1,426,950
6,700 BECTON DICKINSON & CO ............. 537,675
1,300 oCNS, INC .......................... 31,525
2,300 DENTSPLY INTERNATIONAL, INC (NEW) . 97,750
6,871 GUIDANT CORP ...................... 338,396
2,300 oGULF SOUTH MEDICAL SUPPLY, INC .... 89,700
3,300 oHAEMONETICS CORP .................. 60,225
3,200 oISOLYSER CO, INC .................. 38,400
149,410 JOHNSON & JOHNSON CO .............. 7,395,795
6,300 oNABI, INC ......................... 59,850
5,800 OWENS & MINOR, INC (NEW) .......... 67,425
4,600 oPATTERSON DENTAL CO ............... 166,750
3,700 oPHYSICIAN SALES & SERVICE, INC .... 89,725
1,900 oSOFAMOR DANEK GROUP, INC .......... 52,725
1,000 oTECNOL MEDICAL PRODUCTS, INC ...... 19,250
5,400 U.S. SURGICAL CORP ................ 167,400
1,900 oVENTRITEX, INC .................... 32,537
------------
14,730,728
------------
HEALTHCARE--OTHER--0.95%
1,700 oACCESS HEALTH, INC ................ 80,325
3,800 oACUSON CORP ....................... 60,800
2,000 oADVANCED TECHNOLOGY
LABORATORIES, INC ................ 73,000
5,500 oADVANCED TISSUE SCIENCE CO ........ 88,687
7,800 ALLERGAN, INC ..................... 306,150
4,300 oAMERICAN MEDICAL RESPONSE, INC .... 151,575
1,200 ARROW INTERNATIONAL, INC .......... 32,400
3,900 oBALLARD MEDICAL PRODUCTS CO ....... 74,587
6,400 BAUSCH & LOMB, INC ................ 272,000
13,000 oBIOMET, INC ....................... 186,875
10,691 oBOSTON SCIENTIFIC CORP ............ 481,095
8,900 oCAREMARK INTERNATIONAL, INC ....... 224,725
5,178 oCORAM HEALTHCARE CORP ............. 21,359
4,100 oCOVENTRY CORP ..................... 64,575
1,200 oDATASCOPE CORP .................... 21,300
400 DIAGNOSTIC PRODUCTS CORP .......... 15,400
4,500 oGENESIS HEALTH VENTURES, INC ...... 141,187
3,900 HILLENBRAND INDUSTRIES, INC ....... 145,275
1,900 oHUMAN GENOME SCIENCES, INC ........ 69,825
4,100 oIDEXX LABORATORIES, INC ........... 160,925
3,100 KINETIC CONCEPTS, INC ............. 48,050
25,600 MEDTRONIC, INC .................... 1,433,600
3,400 MENTOR CORP ....................... 86,700
3,000 oNELLCOR PURITAN BENNETT, INC ...... 145,500
7,500 oOXFORD HEALTH PLANS, INC .......... 308,437
13,200 PALL CORP ......................... 318,450
3,600 oPHYSICIAN RELIANCE NETWORK, INC ... 80,100
3,600 oPLAYTEX PRODUCTS, INC ............. 33,750
400 oQUANTUM HEALTH RESOURCES, INC ..... 6,800
7,550 oST. JUDE MEDICAL, INC ............. 252,925
4,210 oSTERIS CORP ....................... 134,720
9,000 STEWART ENTERPRISES, INC (CLASS A) 281,250
7,900 oSTRYKER CORP ...................... 179,725
4,250 oSUMMIT TECHNOLOGY, INC ............ 59,500
2,200 oSUNRISE MEDICAL, INC .............. 42,350
9,700 oSYBRON INTERNATIONAL CORP ......... 242,500
1,200 oTARGET THERAPEUTICS, INC .......... 49,200
1,800 oTHERMO CARDIOSYSTEMS, INC ......... 80,550
1,500 oTHERMOTREX CORP ................... 73,875
------------
6,530,047
------------
HEALTHCARE--SERVICE--1.62%
3,100 oAMERISOURCE HEALTH CORP (CLASS A) . 103,075
5,800 oAPRIA HEALTHCARE GROUP, INC ....... 181,975
11,700 oBEVERLY ENTERPRISES CO ............ 140,400
2,900 oCERNER CORP ....................... 61,987
1,800 oCOASTAL PHYSICIAN GROUP, INC ...... 12,375
49,837 COLUMBIA/HCA HEALTHCARE CORP ...... 2,660,049
3,500 oCOMMUNITY HEALTH SYSTEMS, INC ..... 181,125
1,000 oCOMMUNITY PSYCHIATRIC CENTERS ..... 9,500
4,796 oFHP INTERNATIONAL CORP ............ 131,290
4,300 oFOUNDATION HEALTH CORP ............ 154,262
2,600 oFOXMEYER HEALTH CORP .............. 38,675
5,650 oHEALTH CARE & RETIREMENT CORP ..... 134,187
11,062 oHEALTH MANAGEMENT ASSOCIATES, INC
(CLASS A) (NEW) .................. 224,005
3,500 oHEALTH MANAGEMENT SYSTEMS, INC .... 111,125
6,900 oHEALTH SYSTEMS INTERNATIONAL, INC . 187,162
3,800 oHEALTHCARE COMPARE CO ............. 185,250
6,200 oHEALTHSOURCE, INC ................. 108,500
14,645 oHEALTHSOUTH CORP .................. 527,220
5,917 oHORIZON/CMS HEALTHCARE CORP ....... 76,181
16,500 oHUMANA, INC ....................... 294,937
4,200 oINTEGRATED HEALTH SERVICES, INC ... 99,750
2,300 oINTEGRATED SILICON SOLUTION, INC .. 26,450
5,900 INVACARE CORP ..................... 138,650
20,080 oLABORATORY CORP OF AMERICA
HOLDINGS ......................... 150,600
244 oLABORATORY CORP OF AMERICA
HOLDINGS WTS 4/28/00 ............. 122
3,900 oLINCARE HOLDINGS, INC ............. 153,075
3,700 oLIVING CENTERS OF AMERICA, INC .... 127,187
5,200 oMAGELLAN HEALTH SERVICES, INC ..... 111,800
5,600 MANOR CARE, INC ................... 220,500
4,000 oMARINER HEALTH GROUP, INC ......... 73,500
3,100 oMAXICARE HEALTH PLANS, INC ........ 58,512
3,200 oMEDPARTNERS/MULLIKIN, INC ......... 66,800
4,600 oMID ATLANTIC MEDICAL SERVICES, INC 65,550
825 MORRISON FRESH COOKING, INC ....... 4,331
1,100 MORRISON HEALTH CARE, INC ......... 15,400
4,050 oMULTICARE COS, INC ................ 76,950
7,100 oNOVACARE, INC ..................... 54,137
2,200 OMEGA HEALTHCARE INVESTORS, INC ... 60,775
5,000 OMNICARE, INC ..................... 132,500
6,100 oORNDA HEALTHCORP .................. 146,400
2,000 oORTHODONTIC CENTERS OF AMERICA, INC 53,000
500 oPACIFICARE HEALTH SYSTEMS, INC
(CLASS A) ......................... 33,000
1,900 oPACIFICARE HEALTH SYSTEMS, INC
(CLASS B) ......................... 128,725
5,625 oPHYCOR, INC ........................ 213,750
5,000 oPHYSICIAN CORP OF AMERICA .......... 66,250
3,200 oRENAL TREATMENT CENTERS, INC ....... 92,000
4,100 oROTECH MEDICAL CORP ................ 79,950
150 oSALICK HEALTH CARE, INC NEW ........ 5,812
2,000 oSIERRA HEALTH SERVICES, INC ........ 63,000
7,500 oSUN HEALTHCARE GROUP, INC .......... 106,875
22,720 oTENET HEALTHCARE CORP .............. 485,640
16,000 U.S. HEALTHCARE, INC ............... 880,000
17,100 UNITED HEALTHCARE CORP ............. 863,550
5,900 oUNIVERSAL HEALTH SERVICES, INC ..... 154,137
5,798 oVALUE HEALTH, INC .................. 136,977
6,015 oVENCOR, INC ........................ 183,457
1,500 oVISX, INC .......................... 51,187
6,000 oVIVRA, INC ......................... 197,250
934 oWELLPOINT HEALTH NETWORKS, INC ..... 29,187
------------
11,130,016
------------
See notes to financial statements.
-57-
<PAGE>
SHARES VALUE
------ -----
HOUSEHOLD--CONSUMER
ELECTRONICS--0.03%
3,250 oHARMAN INTERNATIONAL
INDUSTRIES, INC .................. $ 160,062
4,400 oZENITH ELECTRONICS CORP ........... 53,350
------------
213,412
------------
HOUSEHOLD--DURABLE GOODS--0.40%
800 BASSETT FURNITURE INDUSTRIES, INC . 21,400
10,000 BLACK & DECKER CORP ............... 386,250
3,900 oBOYD GAMING CORP .................. 58,500
5,800 oGENTEX CORP ....................... 113,100
11,400 LEGGETT & PLATT, INC .............. 316,350
13,400 MAYTAG CO ......................... 279,725
17,700 NEWELL COS, INC ................... 542,062
14,500 SHAW INDUSTRIES, INC .............. 190,312
8,200 STANLEY WORKS CO .................. 243,950
10,600 SUNBEAM CORP ...................... 156,350
8,800 WHIRLPOOL CORP .................... 436,700
------------
2,744,699
------------
HOUSEHOLD--PRODUCTS--1.53%
900 APTARGROUP, INC ................... 27,225
4,000 CLOROX CO ......................... 354,500
15,800 COLGATE PALMOLIVE CO .............. 1,339,050
10,600 DIAL CORP ......................... 303,425
1,200 oFIRST ALERT, INC .................. 4,800
6,300 FIRST BRANDS CORP ................. 170,100
700 oGIBSON GREETINGS, INC ............. 9,625
3,700 LANCASTER COLONY CORP ............. 138,287
11,200 oPERRIGO CO ........................ 126,000
6,300 PREMARK INTERNATIONAL, INC ........ 116,550
75,400 PROCTER & GAMBLE CO ............... 6,833,125
17,500 RUBBERMAID, INC ................... 476,875
3,800 oSCOTTS CO (CLASS A) ............... 66,500
3,700 STANHOME, INC ..................... 98,050
4,600 TAMBRANDS, INC .................... 188,025
6,300 oTUPPERWARE CORP ................... 266,175
------------
10,518,312
------------
INSURANCE--BROKERS & OTHER--0.35%
1,700 oABR INFORMATION SERVICES, INC ..... 85,425
8,300 ALEXANDER & ALEXANDER
SERVICES, INC .................... 163,925
17,900 EQUIFAX, INC ...................... 469,875
1,000 GALLAGHER (ARTHUR J.) & CO ........ 32,000
4,400 JOHN ALDEN FINANCIAL CORP ......... 97,350
5,300 LIFE PARTNERS GROUP, INC .......... 120,575
8,600 MARSH & MCLENNAN COS, INC ......... 829,900
5,600 MBIA, INC ......................... 436,100
6,700 oQUORUM HEALTH GROUP, INC .......... 176,712
------------
2,411,862
------------
INSURANCE--LIFE--0.66%
500 AMERICAN NATIONAL INSURANCE CO .... 32,500
10,900 AON CORP .......................... 553,175
3,100 BERKLEY (W.R.) CORP ............... 129,425
4,700 CONSECO, INC ...................... 188,000
8,300 EQUITABLE COS, INC ................ 206,462
2,100 EQUITABLE IOWAS COS (NEW) ......... 74,550
8,000 FIRST COLONY CORP ................. 248,000
8,750 JEFFERSON-PILOT CORP .............. 451,718
2,700 PROVIDENT COS, INC ................ 99,900
11,100 PROVIDIAN CORP .................... 475,912
8,400 RELIANCE GROUP HOLDINGS, INC ...... 63,000
5,100 RELIASTAR FINANCIAL CORP .......... 219,937
4,600 SUNAMERICA, INC ................... 259,900
8,900 TORCHMARK CORP .................... 389,375
8,500 UNUM CORP ......................... 529,125
8,400 USLIFE CORP ....................... 276,150
4,600 VESTA INSURANCE GROUP, INC ........ 153,525
9,300 WESTERN NATIONAL CORP ............. 170,887
------------
4,521,541
------------
INSURANCE--MULTI-LINE,
PROPERTY & CASUALTY--2.96%
6,700 o20TH CENTURY INDUSTRIES ........... 111,387
13,300 oAETNA LIFE & CASUALTY CO .......... 950,950
15,750 AFLAC, INC ........................ 470,531
1,500 ALLMERICA PROPERTY & CASUALTY
COS, INC ......................... 40,500
47,228 ALLSTATE CORP ..................... 2,154,777
5,800 AMERICAN BANKERS INSURANCE
GROUP, INC ....................... 253,025
43,650 AMERICAN INTERNATIONAL GROUP, INC . 4,304,981
6,500 AMERICAN RE CORP .................. 291,687
20,600 CHUBB CORP ........................ 1,027,425
7,900 CIGNA CORP ........................ 931,212
4,903 CINCINNATI FINANCIAL CORP ......... 281,309
800 oCNA FINANCIAL CORP ................ 82,400
5,900 FREMONT GENERAL CORP .............. 135,700
8,900 GENERAL REINSURANCE CORP .......... 1,355,025
2,800 HARTFORD STEAM BOILER &
INSURANCE CO ..................... 137,550
5,800 HCC INSURANCE HOLDINGS, INC ....... 130,500
850 oHIGHLANDS INSURANCE GROUP, INC .... 15,937
4,100 HORACE MANN EDUCATORS CORP ........ 130,175
800 oINSURANCE AUTO AUCTIONS, INC ...... 8,000
13,900 ITT HARTFORD GROUP, INC ........... 740,175
12,200 LINCOLN NATIONAL CORP ............. 564,250
2,400 MERCURY GENERAL CORP (NEW) ........ 105,000
6,400 MGIC INVESTMENT CORP .............. 359,200
6,300 NAC RE CORP ....................... 211,050
700 NATIONAL RE CORP .................. 26,425
6,200 OHIO CASUALTY CORP ................ 215,450
12,150 oOLD REPUBLIC INTERNATIONAL CORP ... 261,225
7,600 PROGRESSIVE CORP .................. 351,500
15,300 SAFECO CORP ....................... 541,237
9,300 ST. PAUL COS, INC NOTES ........... 497,550
8,000 TRANSAMERICA CORP ................. 648,000
51,900 TRAVELERS GROUP, INC .............. 2,367,937
7,200 oUNITED INSURANCE COS, INC ......... 163,800
4,600 UNITRIN, INC ...................... 216,200
14,600 USF&G CORP ........................ 239,075
1,100 oZURICH REINSURANCE CENTRE
HOLDINGS, INC .................... 34,650
------------
20,355,795
------------
LEISURE TIME--1.49%
2,900 oACCLAIM ENTERTAINMENT, INC ........ 27,912
2,000 oANCHOR GAMING CO .................. 120,500
2,600 ARCTCO, INC ....................... 32,500
600 oARGOSY GAMING CORP ................ 4,425
500 oATARI CORP ........................ 2,875
4,700 AUTHENTIC FITNESS CORP ............ 87,537
1,500 oAUTOTOTE CORP (CLASS A) ........... 3,093
4,800 oBALLY ENTERTAINMENT CORP .......... 132,000
850 oBALLY TOTAL FITNESS HOLDING CORP .. 3,718
13,800 BRUNSWICK CORP .................... 276,000
6,400 CALLAWAY GOLF CO .................. 212,800
450 oCASINO AMERICA, INC ............... 3,712
500 oCASINO MAGIC CORP ................. 2,750
2,390 oCHRIS CRAFT INDUSTRIES, INC ....... 105,160
11,800 oCIRCUS CIRCUS ENTERPRISES, INC .... 483,800
75,226 DISNEY (WALT) CO .................. 4,729,834
3,850 oGRAND CASINOS, INC ................ 99,137
See notes to financial statements.
-58-
<PAGE>
SHARES VALUE
------ -----
LEISURE TIME(Continued)
4,000 oGTECH HOLDINGS CORP ............... $ 118,500
11,000 oHARRAHS ENTERTAINMENT, INC ........ 310,750
8,800 HASBRO, INC ....................... 314,600
2,800 oHOLLYWOOD ENTERTAINMENT CORP ...... 43,400
1,000 oHOLLYWOOD PARK, INC ............... 9,625
13,700 INTERNATIONAL GAME TECHNOLOGY CO .. 231,187
6,700 oITT CORP (NEW) .................... 443,875
6,500 JOSTENS, INC ...................... 128,375
31,556 MATTEL, INC ....................... 903,290
9,400 oMIRAGE RESORT, INC ................ 507,600
100 oNATIONAL LODGING CORP ............. 1,600
3,000 OUTBOARD MARINE CORP .............. 54,375
3,250 oPLAYERS INTERNATIONAL, INC ........ 31,687
400 oPRESIDENT CASINOS, INC ............ 675
2,400 oPRIMADONNA RESORTS, INC ........... 55,200
2,900 oREGAL CINEMAS, INC ................ 132,675
2,300 oSCIENTIFIC GAMES HOLDINGS CORP .... 66,700
3,100 SHOWBOAT, INC ..................... 93,387
3,100 oSPEEDWAY MOTORSPORTS, INC ......... 79,437
10,000 oSPELLING ENTERTAINMENT GROUP, INC . 76,250
800 oSPORTS & RECREATION, INC .......... 7,300
6,700 oSTATION CASINOS, INC .............. 96,312
1,800 oSTRUM RUGER & CO, INC ............. 83,700
4,600 oWMS INDUSTRIES, INC ............... 113,275
------------
10,231,528
------------
MACHINERY--1.60%
5,600 AGCO CORP ......................... 155,400
4,050 oBJ SERVICES CO .................... 142,256
160 oBJ SERVICES CO WTS 4/13/00 ........ 2,120
3,700 BRIGGS & STRATTON CORP ............ 152,162
4,600 BW/IP HOLDING, INC ................ 87,400
21,500 CATERPILLAR, INC .................. 1,456,625
5,500 CINCINNATI MILACRON, INC .......... 132,000
3,100 oCOGNEX CORP ....................... 49,987
3,757 oCOOPER CAMERON CORP ............... 164,368
12,730 COOPER INDUSTRIES, INC ............ 528,295
29,300 DEERE & CO ........................ 1,172,000
2,700 DELTA & PINE LAND CO .............. 114,075
13,100 DOVER CORP ........................ 604,237
5,800 DURIRON, INC ...................... 139,200
7,400 FEDERAL SIGNAL CORP ............... 173,900
2,500 oFMC CORP (NEW) .................... 163,125
1,500 oFSI INTERNATIONAL, INC ............ 18,937
2,700 GATX CORP ......................... 130,275
6,000 GIDDINGS & LEWIS, INC ............. 97,500
5,900 GOULDS PUMPS, INC ................. 151,187
1,300 GREENFIELD INDUSTRIES, INC ........ 42,900
5,200 HARNISCHFEGER INDUSTRIES, INC ..... 172,900
2,400 HARSCO CORP ....................... 161,400
10,600 ILLINOIS TOOL WORKS, INC .......... 716,825
12,300 INGERSOLL-RAND CO ................. 538,125
900 oINTEGRATED PROCESS EQUIPMENT CORP . 18,675
2,100 oINTERVOICE, INC ................... 41,737
2,300 JLG INDUSTRIES, INC ............... 170,775
900 KAYDON CORP ....................... 38,700
4,247 KENNAMETAL, INC ................... 144,398
4,600 KEYSTONE INTERNATIONAL, INC ....... 95,450
6,800 MASCOTECH, INC .................... 100,300
2,600 MEASUREX CORP ..................... 76,050
2,600 oMOLTEN METAL TECHNOLOGY, INC ...... 76,700
200 NORDSON CORP ...................... 11,300
1,400 oNOVELLUS SYSTEMS, INC ............. 50,400
8,750 PARKER-HANNIFIN CORP .............. 370,781
800 ROPER INDUSTRIES, INC (NEW) ....... 39,000
4,300 STEWART & STEVENSON SERVICES, INC . 97,825
80 oSTRATTEC SECURITY CORP ............ 1,420
7,700 SUNDSTRAND CORP ................... 282,012
5,700 TECUMSEH PRODUCTS CO (CLASS A) .... 306,375
700 TELEFLEX, INC ..................... 33,425
14,550 oTHERMO ELECTRON CORP .............. 605,643
4,665 TIMKEN CO ......................... 180,768
700 TORO CO ........................... 23,187
800 TRIMAS CORP ....................... 18,700
6,200 TRINITY INDUSTRIES, INC ........... 210,800
4,300 TRINOVA CORP ...................... 143,512
1,900 oULTRATECH STEPPER, INC ............ 35,625
5,000 oVARITY CORP (NEW) ................. 240,625
1,800 WATTS INDUSTRIES, INC (CLASS A) ... 33,525
5,700 YORK INTERNATIONAL CORP ........... 294,975
------------
11,009,882
------------
METALS--ALUMINIUM--0.24%
5,500 oACX TECHNOLOGIES, INC ............. 109,312
5,100 oALUMAX, INC ....................... 154,912
16,900 ALUMINUM CO OF AMERICA ............ 969,637
7,400 oKAISER ALUMINUN CORP .............. 81,400
6,700 REYNOLDS METALS CO ................ 349,237
------------
1,664,498
------------
METALS--GOLD--0.27%
12,100 oAMAX GOLD, INC .................... 66,550
12,800 BATTLE MOUNTAIN GOLD CO ........... 92,800
4,500 COEUR DALENE MINES CORP ........... 82,687
17,692 FREEPORT MCMORAN COPPER &
GOLD, INC (CLASS A) .............. 528,548
1,333 FREEPORT-MCMORAN COPPER &
GOLD INC, (CLASS B) .............. 42,489
4,791 oGETCHELL GOLD CORP ................ 158,103
16,000 HOMESTAKE MINING CO ............... 274,000
1,600 NEWMONT GOLD CO ................... 80,600
10,424 NEWMONT MINING CORP ............... 514,685
1,140 SANTA FE PACIFIC GOLD CORP ........ 16,102
------------
1,856,564
------------
METALS--NON-FERROUS--0.32%
7,500 ASARCO, INC ....................... 207,187
4,100 BMC INDUSTRIES, INC ............... 117,875
1,200 BRUSH WELLMAN, INC ................ 22,800
2,300 oCOLEMAN CO, INC ................... 97,462
13,600 CYPRUS AMAX MINERALS CO ........... 307,700
3,416 FREEPORT MCMORAN, INC ............. 121,268
6,700 oHECLA MINING CO ................... 46,900
4,300 MAPCO, INC ........................ 242,412
5,400 MINERALS TECHNOLOGIES, INC ........ 184,950
3,300 oMUELLER INDUSTRIES, INC ........... 136,950
7,200 PHELPS DODGE CORP ................. 449,100
5,500 PITTSTON BRINKS GROUP CO .......... 160,187
4,500 oSTILLWATER MINING CO .............. 106,312
9,000 oSUNSHINE MINING & REFINING CO ..... 11,250
------------
2,212,353
------------
METALS--STEEL--0.35%
3,600 AK STEEL HOLDINGS CORP ............ 140,850
5,300 ALLEGHENY LUDLUM CORP ............. 100,037
9,800 oARMCO, INC ........................ 49,000
13,100 oBETHLEHEM STEEL CORP .............. 155,562
6,600 BIRMINGHAM STEEL CORP ............. 108,075
2,900 CARPENTER TECHNOLOGY CORP ......... 92,800
600 CLEVELAND CLIFFS, INC ............. 23,475
6,875 HANNA (M.A.) CO ................... 143,515
6,900 INLAND STEEL INDUSTRIES, INC ...... 135,412
5,300 J & L SPECIALTY STEEL, INC ........ 78,837
See notes to financial statements.
-59-
<PAGE>
SHARES VALUE
------ -----
12,700 LTV CORP NEW ...................... 144,462
200 LUKENS, INC ....................... 4,775
9,500 NUCOR CORP ........................ 480,937
400 OREGON STEEL MILLS, INC ........... 5,500
300 ROUGE STEEL CO (CLASS A) .......... 6,450
12,400 oUNR INDUSTRIES, INC ............... 119,350
9,500 USX-US STEEL GROUP, INC ........... 269,562
3,100 oWOLVERINE TUBE, INC ............... 108,500
10,600 WORTHINGTON INDUSTRIES, INC ....... 221,275
------------
2,388,374
------------
OFFICE EQUIPMENT--3.12%
10,100 oAMDAHL CORP ....................... 108,575
14,800 oAPPLE COMPUTER, INC ............... 310,800
1,800 oAPPLIED MAGNETICS CORP ............ 18,900
2,500 oASPECT TELECOMMUNICATIONS CORP .... 123,750
2,742 oAST RESEARCH, INC ................. 18,508
5,000 AVERY DENNISON CORP ............... 274,375
1,300 oBOISE CASCADE OFFICE PRODUCTS CORP 45,012
29,700 oCOMPAQ COMPUTER CORP .............. 1,462,725
3,168 oCRAY RESEARCH, INC ................ 76,428
6,800 oDATA GENERAL CORP ................. 88,400
6,900 oDELL COMPUTER CORP ................ 351,037
17,000 oDIGITAL EQUIPMENT CORP ............ 765,000
1,900 oFILENET CORP ...................... 69,350
43,900 HEWLETT-PACKARD CO ................ 4,373,537
600 HON INDUSTRIES, INC ............... 17,100
1,700 oIN FOCUS SYSTEMS, INC ............. 41,225
60,600 INTERNATIONAL BUSINESS
MACHINES CORP .................... 5,999,400
12,400 oIOMEGA CORP ....................... 359,600
4,400 oKOMAG, INC ........................ 116,050
1,800 oMICROCOM, INC ..................... 22,725
4,200 MILLER (HERMAN), INC .............. 128,625
19,100 PITNEY BOWES, INC ................. 912,025
6,700 oQUANTUM CORP ...................... 97,987
3,600 oSCI SYSTEMS, INC .................. 146,250
11,100 oSEAGATE TECHNOLOGY, INC ........... 499,500
5,700 oSEQUENT COMPUTER SYSTEMS, INC ..... 76,950
19,100 oSILICON GRAPHICS, INC ............. 458,400
4,900 oSOLECTRON CORP .................... 185,587
6,300 oSTORAGE TECHNOLOGY CORP ........... 240,975
4,200 oSTRATUS COMPUTER, INC ............. 121,800
20,200 oSUN MICROSYSTEMS, INC ............. 1,189,275
17,300 oTANDEM COMPUTERS, INC ............. 214,087
21,000 oUNISYS CORP ....................... 149,625
9,600 oVIKING OFFICE PRODUCTS, INC ....... 301,200
5,400 oWANG LABORATORIES, INC ............ 101,925
37,500 XEROX CORP ........................ 2,006,250
------------
21,472,958
------------
PAPER--1.06%
5,500 ALBANY INTERNATIONAL CORP
(CLASS A) (NEW) .................. 124,437
4,300 oBED BATH & BEYOND, INC ............ 115,025
6,800 BEMIS, INC ........................ 238,000
3,900 BOWATER, INC ...................... 146,737
5,000 CARAUSTAR INDUSTRIES, INC ......... 132,500
3,800 CHESAPEAKE CORP ................... 99,750
3,000 CONSOLIDATED PAPERS, INC .......... 156,000
270 oCROWN VANTAGE, INC ................ 3,915
4,200 oFORT HOWARD CORP .................. 83,475
4,600 GLATFELTER (P.H.) CO .............. 84,525
32,948 INTERNATIONAL PAPER CO ............ 1,214,957
8,200 JAMES RIVER CORP OF VIRGINIA ...... 216,275
8,000 oJEFFERSON SMURFIT CORP ............ 87,000
30,044 KIMBERLY-CLARK CORP ............... 2,320,899
7,500 LONGVIEW FIBRE CO ................. 127,500
6,200 MEAD CORP ......................... 321,625
8,000 PENTAIR, INC ...................... 240,000
1,900 oSHOREWOOD PACKAGING CORP .......... 29,212
11,630 SONOCO PRODUCTS CO ................ 330,001
8,700 STONE CONTAINER CORP .............. 119,625
6,400 TEMPLE-INLAND, INC ................ 299,200
8,100 UNION CAMP CORP ................... 394,875
3,425 WAUSAU PAPER MILLS CO ............. 67,643
11,050 WESTVACO CORP ..................... 330,118
------------
7,283,294
------------
PETROLEUM--
EXPLORATION & PRODUCTION--0.87%
9,100 AMERADA HESS CORP ................. 487,987
5,800 ANADARKO PETROLEUM CORP ........... 336,400
9,300 APACHE CORP ....................... 305,737
8,100 ASHLAND, INC ...................... 320,962
6,300 oBARNETT RESOURCES CORP ............ 187,425
4,100 oBENTON OIL & GAS CO ............... 90,200
15,900 BURLINGTON RESOURCES, INC ......... 683,700
1,000 oCHESAPEAKE ENERGY CORP ............ 89,875
1,200 DEVON ENERGY CORP ................. 29,400
4,900 ENRON OIL & GAS CO ................ 136,587
6,200 KERR-MCGEE CORP ................... 377,425
4,700 LOUISIANA LAND & EXPLORATION CO ... 270,837
2,200 MITCHELL ENERGY
& DEVELOPMENT CORP (CLASS A) .... 42,350
3,800 MURPHY OIL CORP ................... 172,425
2,400 oNEWFIELD EXPLORATION CO ........... 93,300
5,500 NOBLE AFFILIATES, INC ............. 207,625
4,700 oNUEVO ENERGY CO ................... 151,575
14,700 oORYX ENERGY CO .................... 238,875
6,000 PARKER & PARSLEY PETROLEUM CO ..... 166,500
7,900 PENNZOIL CO ....................... 365,375
3,900 POGO PRODUCING CO ................. 148,687
19,100 oSANTA FE ENERGY RESOURCES, INC .... 226,812
4,700 oSEAGULL ENERGY CORP ............... 117,500
600 SOUTHDOWN INC ..................... 14,100
825 oTEJAS GAS CORP .................... 28,668
4,100 oTRITON ENERGY LTD ................. 199,362
9,500 UNION TEXAS PETROLEUM HOLDINGS, INC 185,250
4,800 oUNITED MERIDIAN CORP .............. 172,800
6,100 VINTAGE PETROLEUM, INC ............ 155,550
------------
6,003,289
------------
PETROLEUM--INTEGRATED--4.91%
55,200 AMOCO CORP ........................ 3,995,100
17,400 ATLANTIC RICHFIELD CO ............. 2,061,900
72,400 CHEVRON CORP ...................... 4,271,600
4,300 DIAMOND SHAMROCK, INC ............. 124,162
138,800 EXXON CORP ........................ 12,058,250
43,500 MOBIL CORP ........................ 4,877,437
35,000 OCCIDENTAL PETROLEUM CORP ......... 866,250
22,200 PHILLIPS PETROLEUM CO ............. 929,625
8,700 QUAKER STATE OIL REFINING CORP .... 130,500
10,200 SUN CO, INC ....................... 309,825
30,000 TEXACO, INC ....................... 2,516,250
27,388 UNOCAL CORP ....................... 924,345
32,900 USX-MARATHON GROUP, INC (NEW) ..... 662,112
------------
33,727,356
------------
PETROLEUM--SERVICE--0.84%
15,100 BAKER HUGHES, INC ................. 496,412
8,700 CABOT CORP ........................ 213,150
7,300 CAMCO INTERNATIONAL, INC .......... 247,287
20,000 DRESSER INDUSTRIES, INC ........... 590,000
7,125 oENSCO INTERNATIONAL, INC .......... 231,562
See notes to financial statements.
-60-
<PAGE>
SHARES VALUE
------ -----
PETROLEUM--SERVICE (CONTINUED)
8,800 FLUOR CORP ........................ 575,300
5,300 oGLOBAL INDUSTRIAL TECHNOLOGIES, INC 84,800
2,600 oGLOBAL INDUSTRIES LTD ............. 77,350
17,200 oGLOBAL MARINE, INC (NEW) .......... 238,650
12,400 HALLIBURTON CO .................... 688,200
5,000 HELMERICH & PAYNE, INC ............ 183,125
190 oMCMORAN OIL & GAS CO .............. 498
11,400 oNABORS INDUSTRIES, INC ............ 185,250
10,400 oNOBLE DRILLING CORP ............... 144,300
7,200 oREADING & BATES CORP .............. 159,300
8,700 oROWAN COS, INC .................... 128,325
4,000 oSMITH INTERNATIONAL, INC .......... 120,500
2,100 SONAT OFFSHORE DRILLING, INC ...... 106,050
5,700 TIDEWATER, INC .................... 250,087
6,749 TOSCO CORP ........................ 339,137
5,900 ULTRAMAR CORP ..................... 171,100
2,800 oVARCO INTERNATIONAL, INC .......... 50,750
6,200 oWEATHERFORD ENTERRA, INC .......... 186,000
4,900 oWESTERN ATLAS, INC ................ 285,425
------------
5,752,558
------------
PHOTOGRAPHY--0.48%
39,000 EASTMAN KODAK CO .................. 3,032,250
5,500 POLAROID CORP ..................... 250,937
900 oPRESSTEK, INC ..................... 58,050
------------
3,341,237
------------
PROPERTY--REAL ESTATE--0.11%
1,100 CRESCENT REAL ESTATE EQUITIES, INC 40,425
6,250 KIMCO REALTY CORP ................. 176,562
12,500 TAUBMAN CENTERS, INC .............. 139,062
5,100 oTOLL BROTHERS, INC ................ 83,512
6,800 WASHINGTON REAL ESTATE
INVESTMENT TRUST ................. 113,900
3,800 WEINGARTEN REALTY INVESTORS, INC .. 147,250
3,200 WELLSFORD RESIDENTIAL
PROPERTY TRUST ................... 72,000
------------
772,711
------------
PUBLISHING--NEWSPAPER--0.50%
5,900 BELO (A.H.) CORP SERIES A ......... 219,775
1,100 CENTRAL NEWSPAPERS, INC (CLASS A) . 41,250
6,984 oCOX COMMUNICATIONS, INC
(CLASS A) NEW .................... 151,029
7,200 DOW JONES & CO, INC ............... 300,600
14,900 GANNETT CO, INC ................... 1,054,175
4,800 KNIGHT-RIDDER, INC ................ 348,000
11,400 NEW YORK TIMES CO (CLASS A) ....... 371,925
10,000 TIMES MIRROR CO SERIES A (NEW) .... 435,000
6,100 TRIBUNE CO (NEW) .................. 443,012
2,300 oVALASSIS COMMUNICATIONS, INC ...... 42,550
200 WASHINGTON POST CO (CLASS B) ...... 64,800
------------
3,472,116
------------
PUBLISHING--OTHER--0.78%
8,600 AMERICAN GREETINGS CORP (CLASS A) . 235,425
700 BOWNE & CO, INC ................... 14,437
15,500 DONNELLEY (R.R.) & SONS CO ........ 540,562
19,100 DUN & BRADSTREET CORP ............. 1,193,750
6,700 HARCOURT GENERAL, INC ............. 335,000
2,200 HOUGHTON MIFFLIN CO ............... 109,450
1,400 LEE ENTERPRISES, INC .............. 33,075
3,900 oMARVEL ENTERTAINMENT GROUP, INC ... 36,562
12,700 MCGRAW HILL COS, INC .............. 581,025
3,500 oMEREDITH CORP ..................... 146,125
11,200 READER'S DIGEST ASSOCIATION, INC
(CLASS A) (NON-VTG) .............. 476,000
1,900 oSCHOLASTIC CORP ................... 117,800
39,061 TIME WARNER, INC .................. 1,533,144
------------
5,352,355
------------
RAILROAD--0.94%
15,645 BURLINGTON NORTHERN SANTA FE CORP . 1,265,289
8,500 CONRAIL, INC ...................... 564,187
23,100 CSX CORP .......................... 1,114,575
6,400 ILLINOIS CENTRAL CORP SERIES A .... 181,600
4,700 KANSAS CITY SOUTHERN INDUSTRIES, INC 201,512
14,000 NORFOLK SOUTHERN CORP ............. 1,186,500
7,300 oSOUTHERN PACIFIC RAIL CORP ........ 182,500
22,100 UNION PACIFIC CORP ................ 1,544,237
6,000 oWISCONSIN CENTRAL TRANSIT CORP .... 195,000
------------
6,435,400
------------
RESTAURANTS & HOTELS--1.45%
4,700 APPLE SOUTH, INC .................. 125,725
4,800 oAPPLEBEES INTERNATIONAL, INC ...... 155,400
9,300 oAZTAR CORP ........................ 106,950
11,000 BOB EVANS FARMS, INC .............. 187,000
6,500 oBOSTON CHICKEN, INC ............... 211,250
5,600 oBUFFETS, INC ...................... 68,600
3,200 oCKE RESTAURANTS, INC .............. 81,600
7,800 CRACKER BARREL OLD COUNTRY
STORE, INC ....................... 189,150
20,400 DARDEN RESTAURANTS, INC ........... 219,300
60 oDAVE & BUSTERS, INC ............... 1,605
5,500 FELCOR SUITE HOTELS, INC .......... 167,750
13,300 oHFS INC ........................... 931,000
3,400 HILTON HOTELS CORP ................ 382,500
20,000 oHOST MARRIOTT CORP ................ 262,500
1,940 oHOST MARRIOTT SERVICES CORP ....... 14,065
5,700 LA QUINTA INNS, INC ............... 190,950
3,500 oLONE STAR STEAKHOUSE SALOON, INC .. 132,125
7,000 LUBYS CAFETERIA, INC .............. 164,500
14,500 MARRIOTT INTERNATIONAL, INC ....... 779,375
78,400 MCDONALDS CORP .................... 3,665,200
2,300 oMGM GRAND, INC .................... 91,712
3,700 oOUTBACK STEAKHOUSE, INC ........... 127,592
2,700 oPAPA JOHNS INTERNATIONAL, INC ..... 131,625
8,100 oPRIME HOSPITALITY CORP ............ 133,650
6,900 oPROMUS HOTEL CORP ................. 204,412
800 oRIO HOTEL & CASINO, INC ........... 12,300
2,250 RUBY TUESDAY, INC ................. 50,906
10,900 oRYANS FAMILY STEAK HOUSES, INC .... 100,825
2,200 SBARRO, INC ....................... 55,275
5,600 oSHONEYS, INC ...................... 60,900
20,100 SYSCO CORP ........................ 688,425
14,900 WENDYS INTERNATIONAL, INC ......... 277,512
------------
9,971,679
------------
RETAIL--FOOD--0.73%
24,500 ALBERTSONS, INC ................... 1,013,687
13,100 AMERICAN STORES CO, (NEW) ......... 540,375
85 oBRUNOS, INC ....................... 1,179
8,205 FLEMING COS, INC .................. 117,946
44,300 FOOD LION, INC (CLASS B) .......... 343,325
7,700 GIANT FOOD, INC (CLASS A) ......... 276,237
3,300 GREAT ATLANTIC
& PACIFIC TEA CO, INC ............ 108,487
4,000 HANNAFORD BROTHERS, INC ........... 130,500
10,700 oKROGER CO ......................... 422,650
112 oQUALITY FOOD CENTERS, INC ......... 2,884
2,900 RUDDICK CORP ...................... 35,525
23,500 oSAFEWAY, INC NEW .................. 775,500
21,700 oSOUTHLAND CORP .................... 65,778
See notes to financial statements.
-61-
<PAGE>
SHARES VALUE
------ -----
RETAIL--FOOD (CONTINUED)
7,700 oSTARBUCKS CORP .................... $ 217,525
5,500 oSTOP & SHOP COS, INC (NEW) ........ 183,562
9,700 SUPERVALU, INC .................... 305,550
3,800 oVONS COS, INC ..................... 142,025
10,300 WINN DIXIE STORES, INC ............ 364,362
------------
5,047,097
------------
RETAIL--GENERAL MERCHANDISE--4.06%
15,100 oAUTOZONE, INC ..................... 524,725
1,800 oBABY SUPERSTORE, INC .............. 29,700
2,500 oBARNES & NOBLE, INC ............... 89,687
3,400 oBEST BUY, INC ..................... 77,775
1,200 oBOMBAY, INC ....................... 7,500
5,800 oBORDERS GROUP, INC ................ 187,050
2,200 BROWN GROUP, INC .................. 38,225
3,400 oBURLINGTON COAT FACTORY
WAREHOUSE CORP ................... 35,700
1,300 xoCALDOR CORP ....................... 3,412
8,600 CASEYS GENERAL STORES, INC ........ 170,925
12,800 oCHARMING SHOPPES, INC ............. 90,400
9,800 CIRCUIT CITY STORES, INC .......... 354,025
3,600 CLAIRES STORES, INC ............... 99,450
5,700 oCONSOLIDATED STORES CORP .......... 209,475
21,600 oCUC INTERNATIONAL, INC ............ 766,800
7,500 DAYTON HUDSON CORP ................ 773,437
3,600 oDEPARTMENT 56, INC ................ 81,450
12,300 DILLARD DEPARTMENT STORES (CLASS A) 448,950
10,112 DOLLAR GENERAL CORP ............... 295,776
3,000 oDOLLAR TREE STORES, INC ........... 95,250
9,700 oECKERD CORP ....................... 219,462
300 oEDISON BROTHERS STORES, INC ....... 675
1,100 oETHAN ALLEN INTERIORS, INC ........ 27,225
5,700 FAMILY DOLLAR STORES, INC ......... 99,037
23,313 oFEDERATED DEPARTMENT STORES, INC .. 795,556
7,300 FINGERHUT COS, INC ................ 114,062
14,600 oFURNITURE BRANDS INTERNATIONAL, INC 160,600
24,100 GAP, INC .......................... 774,212
3,000 oGYMBOREE CORP ..................... 91,500
1,800 oHANDLEMAN CO ...................... 12,375
1,700 HECHINGER CO (CLASS A) ............ 7,437
5,600 HEILIG MEYERS CO .................. 134,400
52,500 HOME DEPOT, INC ................... 2,835,000
6,700 oHOME SHOPPING NETWORK, IN ......... 80,400
900 oINTELLIGENT ELECTRONICS, INC ...... 7,650
2,000 oJONES APPAREL GROUP, INC .......... 98,250
54,200 oK MART CORP ....................... 670,725
7,800 oKOHLS CORP ........................ 285,675
3,200 oLANDS END, INC .................... 79,200
23,392 LIMITED, INC ...................... 502,928
1,000 LONGS DRUG STORES CORP ............ 44,625
14,400 LOWES COS, INC .................... 520,200
4,100 oMAC FRUGALS BARGAINS CLOSE-OUT, INC 72,775
26,800 MAY DEPARTMENT STORES CO .......... 1,172,500
12,000 MELVILLE CORP ..................... 486,000
2,100 oMENS WAREHOUSE, INC ............... 67,725
3,300 MERCANTILE STORES CO, INC ......... 193,462
4,500 oMEYER (FRED), INC ................. 132,187
1,000 oMICHAELS STORES, INC .............. 17,000
600 oMICROAGE, INC ..................... 8,175
1,000 oMOVIE GALLERY, INC ................ 21,000
1,700 oMUSICLAND STORES CORP ............. 5,525
5,600 NORDSTROM, INC .................... 249,200
9,600 oOFFICEMAX, INC .................... 229,200
6,696 oPAYLESS SHOESOURCE, INC ........... 212,598
21,500 PENNEY, (J.C.) CO, INC ............ 1,128,750
6,900 PEP BOYS- MANNY, MOE, & JACK CO ... 234,600
2,900 oPETRIE STORES CORP
(LIQUIDATING TRUST) .............. 7,975
5,700 oPETSMART, INC ..................... 272,175
8,180 PIER 1 IMPORTS, INC ............... 121,677
23,000 oPRICE/COSTCO, INC ................. 497,375
3,650 oPROFFITTS, INC .................... 129,575
3,100 oREGIS CORP ........................ 96,875
7,100 oREVCO (D.S.), INC (NEW) ........... 169,512
2,400 oREXALL SUNDOWN, INC ............... 64,800
10,000 RITE AID CORP ..................... 297,500
2,400 ROSS STORES, INC .................. 83,400
7,000 oROUSE CO .......................... 181,125
40,800 SEARS ROEBUCK & CO ................ 1,983,900
14,700 oSERVICE MERCHANDISE, INC .......... 82,687
9,500 SOTHEBYS HOLDINGS, INC (CLASS A) .. 137,750
600 oSPIEGEL, INC (CLASS A) ............ 7,125
15,550 oSTAPLES, INC ...................... 303,225
1,000 oSTEIN MART, INC ................... 18,250
6,800 STRIDE RITE CORP .................. 56,100
6,000 oSUNGLASS HUT INTERNATIONAL, INC ... 146,250
1,400 TALBOTS, INC ...................... 45,325
6,600 TANDY CORP ........................ 312,675
3,100 oTHE SPORTS AUTHORITY, INC ......... 101,525
1,800 TIFFANY & CO NEW .................. 131,400
7,100 TJX COS, INC NEW .................. 239,625
1,000 oTOPPS, INC ........................ 5,625
28,040 oTOYS R US, INC .................... 799,140
3,800 oWABAN, INC ........................ 90,725
152,400 WAL-MART STORES, INC .............. 3,867,150
28,200 WALGREEN CO ....................... 944,700
2,900 oWILLIAMS-SONOMA, INC .............. 68,512
15,100 oWOOLWORTH CORP .................... 339,750
8,800 oZALE CORP ......................... 148,500
------------
27,923,531
------------
TEXTILE & APPAREL--0.50%
2,300 oANN TAYLOR STORES CORP ............ 46,575
12,200 oBURLINGTON INDUSTRIES, INC ........ 172,325
600 CATO CORP (CLASS A) (NEW) ......... 3,600
2,600 CML GROUP, INC .................... 11,050
1,600 oCONE MILLS CORP ................... 18,000
8,900 oFRUIT OF THE LOOM, INC (CLASS A) .. 226,950
1,100 oJUST FOR FEET INC ................. 58,162
4,500 KELLWOOD CO ....................... 82,687
7,800 LIZ CLAIBORNE, INC ................ 270,075
5,400 oMOHAWK INDUSTRIES, INC ............ 95,850
5,000 oNAUTICA ENTERPRISES, INC .......... 143,750
6,000 NIKE, INC (CLASS B) ............... 616,500
2,400 oNINE WEST GROUP, INC .............. 122,700
1,300 PHILLIPS-VAN HEUSEN CORP .......... 16,575
7,000 REEBOK INTERNATIONAL LTD .......... 235,375
6,200 RUSSELL CORP ...................... 171,275
3,100 oST. JOHN KNITS, INC ............... 138,337
7,700 UNIFI, INC ........................ 216,562
6,700 VF CORP ........................... 399,487
6,400 WARNACO GROUP, INC (CLASS A) ...... 164,800
4,700 oWESTPOINT STEVENS, INC ............ 112,212
4,250 WOLVERINE WORLD WIDE, INC ......... 138,125
------------
3,460,972
------------
TOBACCO--1.85%
21,400 AMERICAN BRANDS, INC .............. 971,025
4,700 DIMON, INC ........................ 86,950
92,300 PHILIP MORRIS COS, INC ............ 9,599,200
33,583 RJR NABISCO HOLDINGS CORP ......... 1,041,073
3,260 SCHWEITZER-MAUDUIT
INTERNATIONAL, INC ............... 91,687
See notes to financial statements.
-62-
<PAGE>
SHARES VALUE
------ -----
TOBACCO (CONTINUED)
4,000 UNIVERSAL CORP ....................$ 106,000
23,900 UST, INC .......................... 818,575
------------
12,714,510
------------
TRUCKERS & SHIPPING--0.21%
5,200 oAMERICAN FREIGHTWAYS CORP ......... 57,850
4,400 APL LTD ........................... 114,950
3,000 ARNOLD INDUSTRIES, INC ............ 42,750
2,500 CALIBER SYSTEM, INC ............... 85,000
5,400 CONSOLIDATED FREIGHTWAYS, INC ..... 114,075
3,900 HUNT (J.B.) TRANSPORT SERVICES, INC 81,412
800 oLANDSTAR SYSTEM, INC .............. 23,200
200 oM.S. CARRIERS, INC ................ 4,100
1,600 OVERSEAS SHIPHOLDING GROUP, INC ... 29,000
2,100 PITTSTON BURLINGTON GROUP CO ...... 45,412
700 ROADWAY EXPRESS, INC .............. 9,887
13,600 ROLLINS TRUCK LEASING CORP ........ 141,100
10,000 RYDER SYSTEMS, INC ................ 281,250
1,500 oSWIFT TRANSPORTATION CO, INC ...... 28,687
6,100 USFREIGHTWAYS CORP ................ 118,950
6,200 WERNER ENTERPRISES, INC ........... 161,200
2,000 XTRA CORP ......................... 88,500
1,100 oYELLOW CORP ....................... 14,575
------------
1,441,898
------------
UTILITIES--ELECTRIC--4.29%
6,700 oAES CORP .......................... 189,275
12,900 ALLEGHENY POWER SYSTEMS, INC ...... 398,287
18,800 AMERICAN ELECTRIC POWER CO, INC ... 801,350
12,900 ATLANTIC ENERGY, INC .............. 235,425
16,300 BALTIMORE GAS & ELECTRIC CO ....... 462,512
7,700 BOSTON EDISON CO .................. 196,350
14,900 CAROLINA POWER & LIGHT CO ......... 566,200
38,100 CENTERIOR ENERGY CORP ............. 280,987
21,400 CENTRAL & SOUTH WEST CORP ......... 620,600
1,500 CENTRAL HUDSON GAS & ELECTRIC CORP 46,875
8,500 CENTRAL MAINE POWER CO ............ 123,250
16,623 CINERGY CORP ...................... 531,936
3,700 CIPSCO, INC ....................... 142,912
23,828 oCITIZENS UTILITIES CO (CLASS B) ... 277,000
11,300 CMS ENERGY CORP ................... 348,887
24,800 CONSOLIDATED EDISON CO OF
NEW YORK, INC .................... 725,400
11,600 DELMARVA POWER & LIGHT CO ......... 243,600
18,400 DOMINION RESOURCES, INC ........... 736,000
13,900 DPL, INC .......................... 338,812
9,200 DQE, INC .......................... 253,000
15,300 DTE ENERGY CO ..................... 472,387
21,100 DUKE POWER CO ..................... 1,081,375
3,300 EASTERN UTILITIES ASSOCIATION CO .. 64,762
46,500 EDISON INTERNATIONAL CO ........... 819,562
11,800 ENOVA CORP ........................ 272,875
23,600 ENTERGY CORP (NEW) ................ 669,650
10,500 FLORIDA PROGRESS CORP ............. 364,875
19,000 FPL GROUP, INC .................... 874,000
12,400 GENERAL PUBLIC UTILITIES CORP ..... 437,100
6,300 HAWAIIAN ELECTRIC INDUSTRIES, INC . 223,650
24,900 HOUSTON INDUSTRIES, INC ........... 613,162
6,200 IDAHO POWER CO .................... 192,975
4,900 IES INDUSTRIES, INC ............... 146,387
9,600 ILLINOVA CORP ..................... 276,000
9,200 IPALCO ENTERPRISES, INC ........... 241,500
8,300 KANSAS CITY POWER & LIGHT CO ...... 228,250
4,000 KU ENERGY CORP .................... 119,500
15,300 LONG ISLAND LIGHTING CO ........... 256,275
11,700 LOUISVILLE GAS & ELECTRIC
ENERGY CORP ...................... 267,637
16,300 MIDAMERICAN ENERGY CO ............. 281,175
2,700 MINNESOTA POWER & LIGHT CO ........ 78,300
11,100 MONTANA POWER CO .................. 246,975
10,700 NEVADA POWER CO ................... 235,400
8,400 NEW ENGLAND ELECTRIC SYSTEMS CO ... 305,550
11,000 NEW YORK STATE ELECTRIC & GAS CORP 268,125
20,600 oNIAGARA MOHAWK POWER CORP ......... 159,650
7,200 NIPSCO INDUSTRIES, INC ............ 289,800
14,100 NORTHEAST UTILITIES CO ............ 188,587
7,500 NORTHERN STATES POWER CO .......... 370,312
17,400 OHIO EDISON CO .................... 380,625
4,500 OKLAHOMA GAS & ELECTRIC CO ........ 178,312
44,100 PACIFIC GAS & ELECTRIC CO ......... 1,025,325
32,700 PACIFICORP ........................ 727,575
23,500 PECO ENERGY CO .................... 611,000
10,300 PINNACLE WEST CAPITAL CORP ........ 312,862
6,000 PORTLAND GENERAL CORP ............. 185,250
11,400 POTOMAC ELECTRIC POWER CO ......... 302,100
16,100 PP&L RESOURCES, INC ............... 380,362
7,700 PUBLIC SERVICE CO OF COLORADO ..... 282,975
9,600 PUBLIC SERVICE CO OF NEW MEXICO ... 196,800
26,100 PUBLIC SERVICE
ENTERPRISE GROUP, INC ............ 714,487
10,200 PUGET SOUND POWER & LIGHT CO ...... 247,350
9,800 ROCHESTER GAS & ELECTRIC CORP ..... 210,700
12,400 SCANA CORP ........................ 348,750
10,100 SIERRA PACIFIC RESOURCES .......... 256,287
71,000 SOUTHERN CO ....................... 1,748,375
4,600 SOUTHWESTERN PUBLIC SERVICE CO .... 150,075
14,600 TECO ENERGY, INC .................. 368,650
23,800 TEXAS UTILITIES CO ................ 1,017,450
4,940 oTUCSON ELECTRIC POWER CO. ......... 66,690
21,800 UNICOM CORP ....................... 607,675
10,600 UNION ELECTRIC CO ................. 426,650
1,500 UNITED ILLUMINATING CO ............ 56,062
8,997 UTILICORP UNITED, INC ............. 248,542
11,900 WASHINGTON WATER POWER CO ......... 221,637
8,800 WESTERN RESOURCES, INC ............ 262,900
13,300 WISCONSIN ENERGY CORP ............. 384,037
------------
29,483,957
------------
UTILITIES--GAS & PIPELINE--1.26%
10,800 AGL RESOURCES, INC ................ 203,850
10,100 oAMERICAN STANDARD COS, INC ........ 333,300
7,900 BROOKLYN UNION GAS CO ............. 215,275
1,400 CABOT OIL & GAS CORP (CLASS A) .... 24,325
9,300 oCALENERGY, INC .................... 237,150
6,500 COASTAL CORP ...................... 271,375
6,000 COLUMBIA GAS SYSTEMS, INC ......... 312,750
10,300 CONSOLIDATED NATURAL GAS CO ....... 538,175
1,200 EASTERN ENTERPRISES CO ............ 39,900
5,500 EL PASO NATURAL GAS CO (NEW) ...... 211,750
24,000 ENRON CORP ........................ 981,000
9,500 ENSERCH CORP ...................... 206,625
7,700 EQUITABLE RESOURCES, INC .......... 217,525
1,600 INDIANA ENERGY, INC ............... 45,800
2,500 oIONICS, INC ....................... 117,500
800 KN ENERGY, INC .................... 26,800
9,000 MCN CORP .......................... 219,375
2,300 NATIONAL FUEL GAS CO .............. 82,800
8,100 NICOR, INC ........................ 229,837
12,872 NORAM ENERGY CORP ................. 139,983
5,196 ONEOK, INC ........................ 129,900
10,200 PACIFIC ENTERPRISES, INC .......... 302,175
16,100 PANENERGY CORP .................... 529,287
4,600 PEOPLES ENERGY CORP ............... 154,100
See notes to financial statements.
-63-
<PAGE>
SHARES VALUE
------ -----
UTILITIES--GAS & PIPELINE (CONTINUED)
1,746 PIEDMONT NATURAL GAS CO, INC ..... $ 40,376
2,500 oPRIMARK CORP ..................... 81,562
5,800 QUESTAR CORP ..................... 197,200
9,200 SONAT, INC ....................... 414,000
4,600 SOUTHWEST GAS CORP ............... 73,600
1,300 SOUTHWESTERN ENERGY CO ........... 18,362
19,930 TENNECO, INC ..................... 1,018,921
6,010 UGI CORP NEW ..................... 132,220
6,600 VALERO ENERGY CORP ............... 165,000
6,400 WASHINGTON ENERGY CO ............. 126,400
500 WESTERN GAS RESOURCES, INC ....... 8,125
1,500 WICOR, INC ....................... 56,625
11,145 WILLIAMS COS, INC ................ 551,677
------------
8,654,625
------------
UTILITIES--TELEPHONE--6.73%
1,200 oADTRAN, INC ...................... 85,050
22,600 ALLTEL CORP ...................... 694,950
3,700 oAMERICAN MOBILE SATELLITE CORP ... 57,350
62,300 AMERITECH CORP (NEW) ............. 3,699,062
178,700 AT & T CORP ...................... 11,079,400
49,000 BELL ATLANTIC CORP ............... 3,123,750
111,700 BELLSOUTH CORP ................... 4,733,287
4,600 oC-TEC CORP ....................... 136,850
7,500 oCINCINNATI BELL, INC ............. 390,937
18,000 FRONTIER CORP .................... 551,250
6,687 oGLENAYRE TECHNOLOGIES, INC ....... 334,350
109,100 GTE CORP ......................... 4,882,225
9,500 LINCOLN TELECOMMUNICATIONS CO .... 155,562
77,900 MCI COMMUNICATIONS CORP .......... 1,996,187
7,200 oMOBILE TELECOMMUNICATIONS
TECHNOLOGIES CORP ............... 105,300
15,600 oNEXTEL COMMUNICATIONS, INC
(CLASS A) ....................... 297,375
49,600 NYNEX CORP ....................... 2,356,000
47,400 PACIFIC TELESIS GROUP CO ......... 1,599,750
68,800 SBC COMMUNICATIONS, INC .......... 3,388,400
9,400 SOUTHERN NEW ENGLAND
TELECOMMUNICATIONS CORP ......... 394,800
44,100 SPRINT CORP ...................... 1,852,200
7,852 TELEPHONE & DATA SYSTEMS, INC .... 353,340
3,400 oU.S. LONG DISTANCE CORP .......... 120,700
52,900 U.S. WEST COMMUNICATIONS GROUP, INC 1,686,187
54,400 oU.S. WEST MEDIA GROUP, INC ....... 992,800
21,829 oWORLDCOM, INC .................... 1,208,780
------------
46,275,842
------------
TOTAL COMMON STOCK
(COST $599,611,230) .............. 680,500,027
------------
PRINCIPAL
---------
SHORT TERM INVESTMENTS--1.83%
BANKERS ACCEPTANCES--0.07%
NATIONSBANK, NA
$ 500,000 5.550%, 09/25/96 .............. 493,454
------------
COMMERCIAL PAPER--1.19%
COLUMBIA/HCA HEALTHCARE CORP
700,000 #5.600%, 08/13/96 .............. 695,217
COOPER INDUSTRIES, INC
2,500,000 5.600%, 07/01/96 .............. 2,499,604
DAYTON HUDSON CORP
2,500,000 5.650%, 07/01/96 .............. 2,499,601
EL PASO NATURAL GAS CO
2,500,000 5.550%, 07/01/96 .............. 2,499,587
------------
8,194,009
------------
GOVERNMENT AGENCIES--0.57%
FEDERAL HOME LOAN MORTGAGE CORP
3,900,000 5.210%, 07/15/96 .............. 3,891,423
------------
TOTAL SHORT TERM INVESTMENTS
(COST $12,580,787) ................ 12,578,886
------------
ROUNDING ....................... 216
------------
TOTAL PORTFOLIO
(COST $612,246,639) ............... $693,139,065
============
- ---------------
o NON-INCOME PRODUCING
x IN BANKRUPTCY
# RESTRICTED
See notes to financial statements.
-64-
<PAGE>
<TABLE> <S> <C>
<ARTICLE> 6
<CIK> 0000777535
<NAME> COLLEGE RETIREMENT EQUITIES FUND
<SERIES>
<NUMBER> 2
<NAME> MONEY MARKET ACCOUNT
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<S> <C>
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<FISCAL-YEAR-END> DEC-31-1996
<PERIOD-START> JAN-01-1996
<PERIOD-END> JUN-30-1996
<INVESTMENTS-AT-COST> 3,182,396,205
<INVESTMENTS-AT-VALUE> 3,181,097,436
<RECEIVABLES> 34,038,968
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 3,215,136,404
<PAYABLE-FOR-SECURITIES> 12,885,137
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 17,942,610
<TOTAL-LIABILITIES> 30,827,747
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 0
<SHARES-COMMON-STOCK> 190,807,319
<SHARES-COMMON-PRIOR> 193,181,428
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<ACCUMULATED-NET-GAINS> 0
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<NET-ASSETS> 3,184,308,657
<DIVIDEND-INCOME> 0
<INTEREST-INCOME> 85,717,351
<OTHER-INCOME> 0
<EXPENSES-NET> (4,651,168)
<NET-INVESTMENT-INCOME> 81,066,183
<REALIZED-GAINS-CURRENT> (58,270)
<APPREC-INCREASE-CURRENT> (903,460)
<NET-CHANGE-FROM-OPS> 80,104,453
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 0
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 9,861,602
<NUMBER-OF-SHARES-REDEEMED> (12,235,711)
<SHARES-REINVESTED> 0
<NET-CHANGE-IN-ASSETS> 37,454,217
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
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<GROSS-ADVISORY-FEES> 1,238,280
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 4,651,168
<AVERAGE-NET-ASSETS> 3,170,529,455
<PER-SHARE-NAV-BEGIN> 15.666
<PER-SHARE-NII> .408
<PER-SHARE-GAIN-APPREC> (.005)
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<TABLE> <S> <C>
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<PERIOD-START> JAN-01-1996
<PERIOD-END> JUN-30-1996
<INVESTMENTS-AT-COST> 880,997,632
<INVESTMENTS-AT-VALUE> 873,214,703
<RECEIVABLES> 31,671,650
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 451,049
<TOTAL-ASSETS> 905,337,402
<PAYABLE-FOR-SECURITIES> 22,475,383
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<TOTAL-LIABILITIES> 22,475,383
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