SEMI-ANNUAL REPORT
================================================================================
COLLEGE RETIREMENT EQUITIES FUND
STOCK ACCOUNT
FINANCIAL STATEMENTS (UNAUDITED)
INCLUDING
STATEMENT OF INVESTMENTS
JUNE 30, 1997
- --------------------------------------------------------------------------------
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 Stock Account. CREF also provides a semi-annual report
to participants in the seven other CREF Accounts. Annual reports are also
provided each year toward the end of February.
- --------------------------------------------------------------------------------
CREF
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STOCK ACCOUNT
INDEX TO UNAUDITED FINANCIAL STATEMENTS
JUNE 30, 1997
PAGE
------
Statement of Assets and Liabilities................................... 2
Statement of Operations............................................... 3
Statements of Changes in Net Assets................................... 4
Notes to Financial Statements......................................... 5
Statement of Investments.............................................. 9
-1-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STOCK ACCOUNT
STATEMENT OF ASSETS AND LIABILITIES (UNAUDITED)
JUNE 30, 1997
<TABLE>
<CAPTION>
ASSETS
<S> <C>
Portfolio investments, at cost............................................ $55,269,514,978
Net unrealized appreciation of portfolio investments...................... 40,516,692,277
---------------
Portfolio investments, at value........................................... 95,786,207,255
Cash...................................................................... 167,829,046
Dividends and interest receivable......................................... 153,895,559
Receivable from securities transactions................................... 633,820,946
Amounts due from TIAA..................................................... 26,960,582
---------------
TOTAL ASSETS 96,768,713,388
---------------
LIABILITIES
Deposits for securities loaned--Note 4.................................... 3,168,081,168
Payable for securities transactions....................................... 486,194,019
---------------
TOTAL LIABILITIES 3,654,275,187
---------------
NET ASSETS
Accumulation Fund......................................................... 77,390,399,815
Annuity Fund.............................................................. 15,724,038,386
---------------
TOTAL NET ASSETS $93,114,438,201
===============
NUMBER OF ACCUMULATION UNITS OUTSTANDING--Notes 5 and 6..................... 608,999,196
===========
NET ASSET VALUE, PER ACCUMULATION UNIT--Note 5 ............................. $127.08
=======
</TABLE>
See notes to financial statements.
-2-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STOCK ACCOUNT
STATEMENT OF OPERATIONS (UNAUDITED)
SIX MONTHS ENDED JUNE 30, 1997
<TABLE>
<CAPTION>
INVESTMENT INCOME
Income:
<S> <C>
Dividends................................................................................ $ 775,876,208
Interest................................................................................. 81,597,390
---------------
TOTAL INCOME 857,473,598
---------------
Expenses--Note 3:
Investment............................................................................... 37,662,580
Operating................................................................................ 95,336,364
---------------
TOTAL EXPENSES 132,998,944
---------------
INVESTMENT INCOME--NET 724,474,654
---------------
REALIZED AND UNREALIZED GAIN ON TOTAL
INVESTMENTS--Note 4
Net realized gain (loss) on:
Portfolio investments................................................................ 3,360,652,212
Foreign currency transactions........................................................ (2,385,222)
---------------
Net realized gain 3,358,266,990
---------------
Net change in unrealized appreciation on:
Portfolio investments................................................................ 9,051,574,132
Futures transactions................................................................. 1,858,144
Translation of assets (other than portfolio investments)
and liabilities in foreign currencies.............................................. 105,473
---------------
Net change in unrealized appreciation 9,053,537,749
---------------
NET REALIZED AND UNREALIZED GAIN ON TOTAL INVESTMENTS 12,411,804,739
---------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $13,136,279,393
===============
</TABLE>
See notes to financial statements.
-3-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STOCK ACCOUNT
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
SIX MONTHS YEAR ENDED
ENDED DECEMBER 31,
JUNE 30, 1997 1996
------------- -------------
(UNAUDITED)
FROM OPERATIONS
<S> <C> <C>
Investment income--net................................................ $ 724,474,654 $ 1,364,402,033
Net realized gain on total investments............................... 3,358,266,990 6,232,549,023
Net change in unrealized appreciation
on total investments............................................... 9,053,537,749 5,768,437,860
-------------- --------------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS 13,136,279,393 13,365,388,916
-------------- --------------
FROM PARTICIPANT TRANSACTIONS
Premiums............................................................. 1,231,962,779 2,394,187,360
-------------- --------------
Disbursements and transfers:
Net transfers to TIAA.............................................. 403,568,580 365,944,585
Net transfers to other CREF Accounts............................... 988,803,658 1,277,299,446
Annuity payments................................................... 582,826,278 1,105,208,681
Withdrawals and repurchases........................................ 555,790,462 938,057,019
Death benefits..................................................... 69,260,307 96,905,116
-------------- --------------
TOTAL DISBURSEMENTS AND TRANSFERS, NET 2,600,249,285 3,783,414,847
-------------- --------------
NET DECREASE IN NET ASSETS RESULTING
FROM PARTICIPANT TRANSACTIONS (1,368,286,506) (1,389,227,487)
--------------- ---------------
NET INCREASE IN NET ASSETS 11,767,992,887 11,976,161,429
NET ASSETS
Beginning of year.................................................. 81,346,445,314 69,370,283,885
--------------- ---------------
End of period...................................................... $93,114,438,201 $81,346,445,314
=============== ===============
</TABLE>
See notes to financial statements.
-4-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STOCK ACCOUNT
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 eight investment portfolios. The accompanying
financial statements are those of the Stock Account ("Account"), which invests
primarily in equity securities. The seven other investment portfolios of CREF,
which are not included in these financial statements, include a Money Market
Account, which invests in money market instruments; a Bond Market Account, which
invests in a broad range of fixed-income securities; a Social Choice Account,
which invests in a diversified portfolio of equity and fixed-income securities
while giving special consideration to certain social criteria; a Global Equities
Account, which invests in equity securities of foreign and domestic companies; a
Growth Account, which invests in a diversified portfolio of equity securities
that present opportunities for growth; an Equity Index Account, which invests in
a diversified portfolio of equity securities selected to track the overall
United States stock market; and an Inflation-Linked Bond Account, which invests
primarily in inflation-indexed bonds.
TIAA-CREF Investment Management, Inc. ("Investment Management"), a subsidiary of
Teachers Insurance and Annuity Association of America ("TIAA"), a companion
organization, 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 preparation of financial statements may require management to make estimates
and assumptions that affect the reported amounts of assets, liabilities, income,
expenses and related disclosures. Actual results may differ from those
estimates. The following is a summary of the significant accounting policies
consistently followed by the Account, 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. 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
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 Account
is 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
-5-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STOCK ACCOUNT
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)--(CONTINUED)
NOTE 2--SIGNIFICANT ACCOUNTING POLICIES--(CONTINUED)
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 Account has a program to 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. The
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 Account writes (sells) 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
the 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 Account purchases 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
in-vested in the equity markets while minimizing transaction costs. The Account
sells futures contracts for the purpose of offsetting changes in market value
while withdrawing from a specific market. 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 the 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 Account enters 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.
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. The
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 the 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 Account may
purchase securities on a when-issued or delayed delivery basis. In addition to
the normal market risks, this exposes the Account to the risk that the
transaction may not be consummated.
RESTRICTED SECURITIES: Restricted securities held by the Account may not be sold
except in exempt transactions or in a public offering registered under the
Securities Act of 1933. The risk of investing in such securities is generally
greater than the risk of investing in securities which are widely held and
publicly traded.
-6-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STOCK ACCOUNT
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)--(CONTINUED)
NOTE 2--SIGNIFICANT ACCOUNTING POLICIES--(CONCLUDED)
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 to the organization. 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.
As a result of recent legislation, CREF will no longer be exempt from federal
income tax under Section 501(a) of the Code, beginning January 1, 1998.
Management believes that CREF should incur no material federal income tax
liability as a result of this change. In that connection, management is
reviewing whether any changes in CREF's corporate structure may be necessary or
appropriate in order for CREF to minimize any federal income tax consequences.
If needed, management intends to implement any such changes, subject to
regulatory approval, prior to January 1, 1998.
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, 1997, the value of securities loaned was $5,250,792,264 and
collateral received in connection therewith was comprised of cash of
$3,168,081,168, letters of credit of $2,112,485,000 and United States government
securities amounting to $181,301,400.
At June 30, 1997, net unrealized appreciation of portfolio investments,
consisting of gross unrealized appreciation and gross unrealized depreciation,
was as follows:
Gross unrealized appreciation of portfolio investments....... $42,032,849,137
Gross unrealized depreciation of portfolio investments....... 1,516,156,860
--------------
NET UNREALIZED APPRECIATION OF PORTFOLIO INVESTMENTS......... $40,516,692,277
==============
At June 30, 1997, the Account held 230 open futures contracts in the Standard &
Poor's 500 Index with a value of $102,378,750.
Companies in which the Account held 5% or more of the outstanding voting shares
are defined as "affiliated" in the Investment Company Act of 1940. At June 30,
1997, the total value of investments in affiliated companies was $416,003,014.
For the six months ended June 30, 1997, total dividend income and the net
realized gains relating to such investments were $3,476,867 and $14,253,925,
respectively.
Purchases and sales of portfolio securities, other than short-term money market
instruments, for the six months ended June 30, 1997, were as follows:
Purchases:
Unaffiliated issuers............................ $8,590,787,709
Affiliated issuers.............................. 9,057,481
-------------
TOTAL PURCHASES $8,599,845,190
=============
Sales:
Unaffiliated issuers............................ $9,913,059,155
Affiliated issuers.............................. 69,900,364
-------------
TOTAL SALES $9,982,959,519
=============
-7-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STOCK ACCOUNT
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)--(CONTINUED)
NOTE 5--CONDENSED FINANCIAL INFORMATION
Selected condensed financial information for an Accumulation Unit of the Account
is presented below.
<TABLE>
<CAPTION>
SIX MONTHS FOR THE YEARS ENDED DECEMBER 31,
ENDED ---------------------------------------------
JUNE 30,1997 1996 1995 1994 1993 1992
---------- ------ ------ ------ ------ ------
(UNAUDITED)
Per Accumulation Unit Data:
<S> <C> <C> <C> <C> <C> <C>
Investment income.................... $ 1.162 $ 2.114 $ 1.885 $ 1.699 $ 1.606 $ 1.523
Expenses............................. .180 .304 .271 .223 .210 .181
-------- -------- ------ ------- ------- -------
Investment income--net................ .982 1.810 1.614 1.476 1.396 1.342
Net realized and unrealized
gain (loss) on investments......... 16.873 15.953 19.984 (1.557) 7.139 2.294
-------- -------- ------ ------- ------- -------
Net increase (decrease) in
Accumulation Unit Value............ 17.855 17.763 21.598 (.081) 8.535 3.636
Accumulation Unit Value:
Beginning of year.................... 109.223 91.460 69.862 69.943 61.408 57.772
-------- -------- ------ ------- ------- -------
End of period........................ $127.078 $109.223 $91.460 $69.862 $69.943 $61.408
======== ======== ======= ======= ======= =======
Total return........................... 16.35% 19.42% 30.92% (0.12%) 13.90% 6.29%
Ratios to Average Net Assets:
Expenses............................. 0.16% 0.31% 0.34% 0.32% 0.32% 0.31%
Investment income--net............... 0.85% 1.82% 2.00% 2.11% 2.14% 2.32%
Portfolio turnover rate................ 10.42% 19.57% 16.25% 18.77% 22.93% 16.29%
Thousands of Accumulation Units
outstanding at end of period......... 608,999 620,498 632,803 637,435 642,528 645,564
</TABLE>
NOTE 6--ACCUMULATION UNITS
Changes in the number of Accumulation Units outstanding were as follows:
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 1997 DECEMBER 31, 1996
------------- -----------------
(UNAUDITED)
Accumulation Units:
<S> <C> <C>
Credited for premiums................................................... 10,669,402 24,089,810
Cancelled for transfers, disbursements and
amounts applied to the Annuity Fund................................... (22,168,541) (36,394,455)
Outstanding:
Beginning of year..................................................... 620,498,335 632,802,980
----------- -----------
End of period......................................................... 608,999,196 620,498,335
=========== ===========
</TABLE>
-8-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENT OF INVESTMENTS--STOCK ACCOUNT (UNAUDITED)
JUNE 30, 1997
SUMMARY BY INDUSTRY
VALUE %
----- -----
BONDS
CORPORATE BONDS
AUTOMOTIVE & RELATED ..................... $ 268,663 0.00%
BANKS .................................... 2,276,158 0.00
BROADCASTERS ............................. 8,356,550 0.01
CONGLOMERATES ............................ 221,346 0.00
ENVIRONMENTAL CONTROL .................... 4,655,365 0.01
FINANCIAL--MISCELLANEOUS ................. 50,606 0.00
INSURANCE--LIFE .......................... 44,625 0.00
INSURANCE--MULTI-LINE,
PROPERTY & CASUALTY .................... 340,797 0.00
LEISURE TIME ............................. 562,085 0.00
METALS--STEEL ............................ 107,735 0.00
OFFICE EQUIPMENT ......................... 150,689 0.00
PETROLEUM--SERVICE ....................... 1,690,000 0.00
RETAIL--GENERAL MERCHANDISE .............. 374,447 0.00
TRUCKERS & SHIPPING ...................... 3,922,063 0.01
UTILITIES--GAS & PIPELINE ................ 213,884 0.00
----------- ----
TOTAL CORPORATE BONDS
(COST $19,149,585) ...................... 23,235,013 0.03
----------- ----
GOVERNMENT BONDS
U.S. GOVERNMENT BONDS ................... 381,215 0.00
----------- ----
TOTAL GOVERNMENT BONDS
(COST $381,469) ......................... 381,215 0.00
----------- ----
TOTAL BONDS
(COST $19,531,054) ....................... 23,616,228 0.03
----------- ----
PREFERRED STOCK
AUTOMOTIVE & RELATED ..................... 24,937,420 0.03
BANKS .................................... 4,300,362 0.01
BEVERAGES ................................ 1,150,044 0.00
BUSINESS SERVICES ........................ 29,290,706 0.03
CHEMICALS--MAJOR ......................... 4,948,804 0.01
CHEMICALS--SPECIALTY ..................... 116,324 0.00
COMMUNICATION EQUIPMENT & SERVICES ....... 8,593,024 0.01
CONGLOMERATES ............................ 290,962 0.00
CONSTRUCTION--MATERIALS &
BUILDERS ............................... 578,047 0.00
COSMETICS ................................ 27,315 0.00
ELECTRICAL EQUIPMENT--
COMPONENTS DIVERSIFIED ................. 104,477 0.00
FINANCIAL--MISCELLANEOUS ................. 84,862 0.00
FOODS .................................... 585,046 0.00
FOREST PRODUCTS .......................... 1,039,340 0.00
HEALTHCARE--SERVICE ...................... 16,321,594 0.02
INSURANCE--BROKERS & OTHER ............... 3,572,247 0.01
INSURANCE--MULTI-LINE,
PROPERTY & CASUALTY .................... 118,664 0.00
MACHINERY ................................ 2,425,913 0.00
METALS--STEEL ............................ 2,619,823 0.00
PAPER .................................... 89,700,000 0.10
PETROLEUM--
EXPLORATION & PRODUCTION ............... 284,622 0.00
PETROLEUM--INTEGRATED .................... 2,750,136 0.00
PUBLISHING--NEWSPAPER .................... 11,746,952 0.01
PUBLISHING--OTHER ........................ 10,510,000 0.01
RETAIL--GENERAL MERCHANDISE .............. 267,601 0.00
UTILITIES--ELECTRIC ...................... 12,492,640 0.01
UTILITIES--GAS & PIPELINE ................ 1,437,909 0.00
UTILITIES--OTHER ......................... 104,543 0.00
UTILITIES--TELEPHONE ..................... 11,190,207 0.01
----------- ----
TOTAL PREFERRED STOCK
(COST $147,085,028) ...................... 241,589,584 0.26
----------- ----
COMMON STOCK
AEROSPACE ................................ 1,145,679,755 1.23
AIR TRANSPORTATION ....................... 421,018,791 0.45
AUTOMOTIVE & RELATED ..................... 2,123,125,121 2.28
BANKS .................................... 8,399,720,655 9.02
BEVERAGES ................................ 2,596,156,165 2.78
BROADCASTERS ............................. 528,780,355 0.57
BUSINESS SERVICES ........................ 1,187,995,823 1.28
CHEMICALS--MAJOR ......................... 1,994,374,189 2.14
CHEMICALS--SPECIALTY ..................... 904,420,578 0.97
COMMUNICATION EQUIPMENT & SERVICES ....... 2,323,405,969 2.50
COMPUTER SERVICE ......................... 2,827,414,165 3.04
CONGLOMERATES ............................ 2,285,875,583 2.45
CONSTRUCTION--MATERIALS &
BUILDERS ............................... 908,420,586 0.98
CONTAINERS ............................... 123,701,075 0.13
COSMETICS ................................ 771,653,381 0.83
ELECTRICAL EQUIPMENT ..................... 3,699,267,268 3.97
ELECTRICAL EQUIPMENT--
COMPONENTS DIVERSIFIED ................. 2,917,684,052 3.13
ELECTRICAL EQUIPMENT--
INSTRUMENTS ............................ 456,142,650 0.49
ENVIRONMENTAL CONTROL .................... 351,568,960 0.38
FINANCIAL--MISCELLANEOUS ................. 3,419,512,757 3.67
FOODS .................................... 1,788,160,703 1.92
FOREST PRODUCTS .......................... 443,717,173 0.48
HEALTHCARE--DRUGS ........................ 5,765,933,010 6.19
HEALTHCARE--HOSPITAL SUPPLY .............. 864,246,510 0.93
HEALTHCARE--OTHER ........................ 1,323,159,685 1.42
HEALTHCARE--SERVICE ...................... 1,348,011,580 1.45
HOUSEHOLD--CONSUMER ELECTRONICS .......... 187,113,529 0.20
HOUSEHOLD--DURABLE GOODS ................. 436,244,704 0.47
HOUSEHOLD--PRODUCTS ...................... 1,760,425,059 1.89
INSURANCE--BROKERS & OTHER ............... 228,473,756 0.25
INSURANCE--LIFE .......................... 596,339,144 0.64
INSURANCE--MULTI-LINE,
PROPERTY & CASUALTY .................... 3,090,508,648 3.32
LEISURE TIME ............................. 1,022,855,481 1.10
MACHINERY ................................ 1,561,413,574 1.68
METALS--ALUMINUM ......................... 197,316,554 0.21
METALS--GOLD ............................. 229,175,211 0.25
METALS--NON-FERROUS ...................... 319,679,171 0.34
METALS--STEEL ............................ 350,510,824 0.38
MISCELLANEOUS MATERIALS &
COMMODITIES ............................ 62,241,510 0.07
OFFICE EQUIPMENT ......................... 3,097,838,745 3.33
PAPER .................................... 475,026,988 0.51
PETROLEUM--
EXPLORATION & PRODUCTION ............... 736,086,337 0.79
PETROLEUM--INTEGRATED .................... 4,708,255,962 5.06
PETROLEUM--SERVICE ....................... 842,510,606 0.91
See notes to financial statements.
-9-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENT OF INVESTMENTS--STOCK ACCOUNT (Unaudited)
JUNE 30, 1997
SUMMARY BY INDUSTRY (CONTINUED)
VALUE %
-------- ---
PHOTOGRAPHY ............................... $ 288,128,739 0.31%
PROPERTY--REAL ESTATE ..................... 487,015,603 0.52
PUBLISHING--NEWSPAPER ..................... 467,817,947 0.50
PUBLISHING--OTHER ......................... 588,803,907 0.63
RAILROAD .................................. 706,526,614 0.76
RESTAURANTS & HOTELS ...................... 999,993,164 1.07
RETAIL--FOOD .............................. 582,303,827 0.63
RETAIL--GENERAL MERCHANDISE ............... 3,216,371,121 3.45
TEXTILE & APPAREL ......................... 471,793,194 0.50
TOBACCO ................................... 1,436,795,307 1.54
TRADING COMPANIES ......................... 115,759,185 0.12
TRUCKERS & SHIPPING ....................... 242,614,231 0.26
UTILITIES--ELECTRIC ....................... 2,888,300,913 3.10
UTILITIES--GAS & PIPELINE ................. 807,638,520 0.87
UTILITIES--OTHER .......................... 68,394,390 0.07
UTILITIES--TELEPHONE ...................... 5,230,040,133 5.62
---------------- ----
TOTAL COMMON STOCK
(COST $49,000,290,077) .................... 89,419,459,137 96.03
---------------- ----
SHORT TERM INVESTMENTS
BANK NOTES ................................ 197,997,783 0.21
BANKERS ACCEPTANCES ....................... 102,439,872 0.11
CERTIFICATES OF DEPOSIT ................... 426,786,113 0.46
COMMERCIAL PAPER .......................... 3,473,140,380 3.73
MEDIUM TERM NOTES ......................... 120,800,820 0.13
U.S. GOVERNMENT & AGENCIES ................ 1,518,389,428 1.63
VARIABLE RATE NOTES ....................... 261,986,478 0.28
---------------- ----
TOTAL SHORT TERM INVESTMENTS
(COST $6,102,608,819) ..................... 6,101,540,874 6.55
---------------- ----
ROUNDING ................................. 1,432 0.00
---------------- ----
TOTAL PORTFOLIO
(COST $55,269,514,978) .................... 95,786,207,255 102.87
---------------- ------
OTHER ASSETS & LIABILITIES, NET ........ (2,671,769,054) (2.87)
---------------- ------
NET ASSETS .................................. $93,114,438,201 100.00%
================ ======
See notes to financial statements
-10-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENT OF INVESTMENTS--STOCK ACCOUNT (UNAUDITED)
JUNE 30, 1997
SUMMARY BY COUNTRY
VALUE %
------------ ------
DOMESTIC:
UNITED STATES $77,244,706,435 80.64%
--------------- ------
TOTAL DOMESTIC 77,244,706,435 80.64
--------------- ------
FOREIGN:
ARGENTINA 23,463,502 0.02
AUSTRALIA 495,290,774 0.52
AUSTRIA 7,829,162 0.01
BELGIUM 113,787,486 0.12
BRAZIL 38,134,461 0.04
CANADA 431,610,674 0.45
CHILE 76,929,348 0.08
CHINA 7,400,077 0.01
DENMARK 84,564,247 0.09
FINLAND 87,141,305 0.09
FRANCE 594,902,845 0.62
GERMANY 1,019,443,073 1.07
HONG KONG 451,490,131 0.47
INDONESIA 134,808,449 0.14
IRELAND 6,207,339 0.01
ITALY 465,354,689 0.49
JAPAN 3,276,140,640 3.42
KOREA 38,831,477 0.04
LUXEMBOURG 1,910,000 0.00
MALAYSIA 196,298,910 0.20
MEXICO 24,972,533 0.03
MISCELLANEOUS 59,872,050 0.06
NETHERLANDS 820,916,390 0.86
NEW ZEALAND 139,861,682 0.15
NORWAY 88,147,539 0.09
PHILIPPINES 5,464,673 0.01
PORTUGAL 30,332,608 0.03
SINGAPORE 148,147,905 0.15
SOUTH AFRICA 32,595,583 0.03
SPAIN 355,232,015 0.37
SWEDEN 445,067,485 0.46
SWITZERLAND 655,957,362 0.68
THAILAND 6,548,339 0.01
UNITED KINGDOM 2,075,305,193 2.17
--------------- ------
TOTAL FOREIGN 12,439,959,946 12.99
--------------- ------
TOTAL SHORT TERM 6,101,540,874 6.37
============== =====
TOTAL PORTFOLIO $95,786,207,255 100.00%
=============== ======
See notes to financial statements.
-11-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENT OF INVESTMENTS--STOCK ACCOUNT (UNAUDITED)
JUNE 30, 1997
PRINCIPAL VALUE
--------- -----
BONDS--0.03%
CORPORATE BONDS--0.03%
AUTOMOTIVE & RELATED--0.00%
DAIMLER BENZ W/WTS
$ 314(1) 4.125%,07/05/03 ................$ 268,663
-----------
BANKS--0.00%
DRESDNER BV
528(1) 5.500%, 04/30/04 305,514
SUMITOMO TRUST & BANKING CV
200,000,000(3) 0.500%, 10/01/07 ............... 1,970,644
-----------
2,276,158
-----------
BROADCASTERS--0.01%
VIACOM INTERNATIONAL, INC
(SUBORDINATED DEB)
8,615,000 8.000%, 07/07/06 .............. 8,356,550
-----------
CONGLOMERATES--0.00%
BRIERLEY INVESTMENTS LTD CV NOTES
129,875(6) 9.000%, 06/30/98 ............. 117,959
MULTI PURPOSE ICULS
307,000(8) 3.000%, 12/31/02 ............. 103,387
-----------
221,346
-----------
ENVIRONMENTAL CONTROL--0.01%
WMX TECHNOLOGIES, INC
(SUBORDINATED CV NOTES)
4,979,000 2.000%, 01/24/05 ............. 4,655,365
-----------
FINANCIAL--MISCELLANEOUS--0.00%
VALUE REALISATION TRUST DEB
24,621(7) 1.400%, 09/30/06 ............. 50,606
-----------
INSURANCE--LIFE--0.00%
LIBERTY LIFE INTERNATIONAL CV
35,000 6.500%, 09/30/04 ............. 44,625
-----------
INSURANCE--MULTI-LINE, PROPERTY &
CASUALTY--0.00%
AXA S.A. CV
4,722(2) 4.500%, 01/01/99 ............. 312,065
CORPORACION MAPFRE CV
449(2) 8.500%, 02/27/99 ............. 28,732
-----------
340,797
-----------
LEISURE TIME--0.00%
SKIS ROSSIGNOL S.A. CV
1,250(2) 3.000%, 04/01/01 ............. 562,085
-----------
METALS--STEEL--0.00%
~PREUSSAG AG. WTS
126(1) 5.750%, 05/17/01 ............. 107,735
-----------
OFFICE EQUIPMENT--0.00%
OLIVETTI S.P.A. CV
255,000(5) 7.500%, 01/01/99 150,689
-----------
PETROLEUM--SERVICE--0.00%
KEPPEL FELS
2,000,000 1.500%, 05/02/01 ............. 1,690,000
-----------
RETAIL--GENERAL MERCHANDISE--0.00%
CASTORAMA DUBOIS INVESTISSEMENT CV
1,799(2) 3.150%, 01/01/03 ............. 374,447
-----------
TRUCKERS & SHIPPING--0.01%
YAMATO TRANSPORT CV
340,000,000(3) 1.700%, 09/30/02 ............. 3,922,063
-----------
UTILITIES--GAS & PIPELINE--0.00%
LYONNAISE DES EAUX
1,812(2) 4.000%, 01/01/06 ............. 213,884
-----------
TOTAL CORPORATE BONDS
(COST $19,149,585) ................ 23,235,013
-----------
GOVERNMENT BONDS--0.00%
U.S. GOVERNMENT BONDS--0.00%
U.S. TREASURY BOND
325,000 11.750%, 02/15/01 ............ 381,215
-----------
TOTAL GOVERNMENT BONDS
(COST $381,469) ................... 381,215
-----------
TOTAL BONDS
(COST $19,531,054) ................. 23,616,228
-----------
- -----------
(1) DENOMINATED IN GERMAN DEUTSCHE MARKS
(2) DENOMINATED IN FRENCH FRANCS
(3) DENOMINATED IN JAPANESE YEN
(4) DENOMINATED IN SPANISH PESATA
(5) DENOMINATED IN ITALIAN LIRA
(6) DENOMINATED IN NEW ZEALAND DOLLARS
(7) DENOMINATED IN BRITIAN POUNDS
(8) DENOMINATED IN MALAYSIAN RINGGETS
SHARES
------
PREFERRED STOCK--0.26%
AUTOMOTIVE & RELATED--0.03%
25,800 PIRELLI PNEUS S.A. ...................... 75,727
2,200 PORSCHE AG. ............................. 2,928,955
39,000 VOLKSWAGENWERKE AG. ..................... 21,932,738
-----------
24,937,420
-----------
BANKS--0.01%
2,920,000 BANCO ITAU S.A .......................... 1,635,481
2,900 BANK AUSTRIA AG ......................... 93,189
210,456,03 BRADESCO S.A ............................ 2,120,980
1 ~oCRESTARAN INTERNATIONAL
INVESTMENT BV .......................... 0
12,287,600 UNIBANCO S.A ............................ 450,712
------------
4,300,362
------------
BEVERAGES--0.00%
1,509,924 BRAHMA S.A .............................. 1,150,044
------------
BUSINESS SERVICES--0.03%
141,000 SAP AG .................................. 29,290,706
------------
CHEMICALS--MAJOR--0.01%
170,000 COPENE-PETROQUIMICA DO
NORDESTE S.A ........................... 63,003
86,000 HENKEL KGAA ............................. 4,885,801
------------
4,948,804
------------
CHEMICALS--SPECIALTY--0.00%
20,700,000 oFERTILIZANTES FOSFATADOS S.A ............ 116,324
------------
See notes to financial statements.
-12-
<PAGE>
SHARES VALUE
------ -----
COMMUNICATION EQUIPMENT &
SERVICES--0.01%
136,025 AIRTOUCH COMMUNICATIONS, INC CV
(CLASS B) ............................... $ 3,876,712
87,358 AIRTOUCH COMMUNICATIONS, INC CV
(CLASS C) ............................... 4,193,184
8,800,000 ERICSSON TELECOMMUNICATIONS S.A ......... 523,128
------------
8,593,024
------------
CONGLOMERATES--0.00%
175,000 CONFAB INDUSTRIAL S.A ................... 290,962
------------
CONSTRUCTION--MATERIALS &
BUILDERS--0.00%
521,000 CIM ITAU S.A ............................ 179,059
2,900,000 DURATEX S.A ............................. 153,511
679 DYCKERHOFF ZEMENTWERKE AG ............... 245,477
------------
578,047
------------
COSMETICS--0.00%
40 WELLA GROUP AG .......................... 27,315
------------
ELECTRICAL EQUIPMENT--
COMPONENTS DIVERSIFIED--0.00%
152,000 oWEG S.A ................................. 104,477
------------
FINANCIAL--MISCELLANEOUS--0.00%
3,100 PHOENIX DUFF & PHELPS CORP .............. 84,862
------------
FOODS--0.00%
8,000,000 CEVAL ALIMENTOS ......................... 93,628
114,361,44 PERDIGAO S.A. COMERCIO E INDUSTRIA ...... 270,872
212,000 SADIA CONCORDIA S.A ..................... 220,546
------------
585,046
------------
FOREST PRODUCTS--0.00%
248,666 ARACRUZ CELULOSE S.A .................... 503,522
253,750 KLABIN FABRICADORA S.A .................. 247,480
1,670 KONINKLIJKE NV .......................... 7,594
9,300,000 VOTORANTIM CELULOSE E PAPEL S.A ......... 280,744
------------
1,039,340
------------
HEALTHCARE--SERVICE--0.02%
109,372 AETNA, INC 6.25% (CLASS C) .............. 10,253,625
837,300 oFRESENIUS MEDICAL CARE (CLASS D) ........ 48,144
113,500 oMEDIQ, INC SERIES A ..................... 993,125
187,040 PACIFICARE HEALTH SYSTEMS CV
SERIES A ............................... 5,026,700
------------
16,321,594
------------
INSURANCE--BROKERS & OTHER--0.01%
15,000 oMARSCHOLLER LAUTENSCHLAEGER
UND PARTNER A.G ........................ 3,572,247
------------
INSURANCE--MULTI-LINE,
PROPERTY & CASUALTY--0.00%
23,604 INTERNATIONALE NEDERLANDEN
GROEP NV ............................... 118,664
------------
MACHINERY--0.00%
1,100,000 BELGO MINEIRA S.A ....................... 78,673
8,000 KSB AG .................................. 1,974,061
900 oMAN AG. (NON-VTG) ....................... 228,279
20,000 PIRELLI CABOS S.A ....................... 144,900
------------
2,425,913
------------
METALS--STEEL--0.00%
1,600,000 MET GERDAU S.A .......................... 77,280
51,100 USINAS SIDERGIACAS DE MINAS GERAIS ...... 569,096
89,232 VALE DO RIO DOCE CIA .................... 1,973,447
------------
2,619,823
------------
PAPER--0.10%
2,600,000 JAMES RIVER CORP OF VIRGINIA
SERIES P ................................ 89,700,000
------------
PETROLEUM--EXPLORATION &
PRODUCTION--0.00%
17,500,000 IPIRANGA S.A ............................ 284,622
------------
PETROLEUM--INTEGRATED--0.00%
9,902,000 PETROBRAS S.A ........................... 2,750,136
------------
PUBLISHING--NEWSPAPER--0.01%
2,978,287 NEWS CORP LTD ........................... 11,647,556
36,150 RURAL PRESS LTD ......................... 99,396
------------
11,746,952
------------
PUBLISHING--OTHER--0.01%
210,200 HARCOURT GENERAL, INC SERIES A .......... 10,510,000
------------
RETAIL--GENERAL MERCHANDISE--0.00%
4,500,000 oLOJAS AMERICANAS S.A .................... 61,025
6,400,000 LOJAS ARAPUA S.A ........................ 104,031
2,000,000 LOJAS RENNER S.A ........................ 102,545
------------
267,601
------------
UTILITIES--ELECTRIC--0.01%
27,304 CIA PAULISTA DE FORCA & LUZ ............. 4,539
2,455,893 ELECTROBRAS S.A. SERIES B ............... 1,464,502
316,470 oRHEIN-WESTFALEN ELECTRIC AG ............. 11,023,599
------------
12,492,640
------------
UTILITIES--GAS & PIPELINE--0.00%
27,792,697 CEMIG S.A ............................... 1,437,909
------------
UTILITIES--OTHER--0.00%
59,400 HYDER PLC ............................... 104,543
------------
UTILITIES--TELEPHONE--0.01%
72,590,224 TELEBRAS S.A ............................ 11,010,572
507,181 TELESP S.A .............................. 165,589
43,454 oTELESP S.A. NEW ......................... 14,046
------------
11,190,207
------------
TOTAL PREFERRED STOCK
(COST $147,085,028) ..................... 241,589,584
------------
COMMON STOCK--96.03%
AEROSPACE--1.23%
149,550 AAR CORP ................................ 4,832,334
169,025 oALLIANT TECHSYSTEMS, INC ................ 9,296,375
155,000 oASIA AIR SURVEY CO LTD .................. 1,422,272
213,988 oAVIALL, INC NEW ......................... 2,995,832
7,124,614 BOEING CO ............................... 378,049,830
1,389,908 BRITISH AEROSPACE PLC ................... 30,916,237
7,134 oBRITISH AEROSPACE PLC WTS 11/15/00 ..... 95,578
36,400 COBHAM GROUP PLC ........................ 436,179
593,400 EG & G, INC ............................. 13,351,500
6,800 oFABBRICA ITALIANA APPARECCHIATURE ....... 15,513
281,900 GENERAL DYNAMICS CORP ................... 21,142,500
1,702,740 GENERAL MOTORS CORP (CLASS H) ........... 98,333,235
295,900 oHEXCEL CORP ............................. 5,104,275
401,600 KAMAN CORP (CLASS A) .................... 6,174,600
1,753,731 LOCKHEED MARTIN CORP .................... 181,620,766
1,651,000 MCDONNELL DOUGLAS CORP .................. 113,093,500
550,600 NORTHROP GRUMMAN CORP ................... 48,349,562
319,000 oOEA, INC ................................ 12,600,500
322,900 oORBITAL SCIENCES CORP ................... 5,126,037
188,050 PRECISION CAST PARTS CORP ............... 11,212,481
46,080 PRIMEX TECHNOLOGIES, INC ................ 984,960
2,772,640 RAYTHEON CO ............................. 141,404,640
See notes to financial statements.
-13-
<PAGE>
SHARES VALUE
------ -----
AEROSPACE--(CONTINUED)
112,500 oROHR, INC ............................... $ 2,467,912
10,526,989 ROLLS ROYCE LTD ......................... 40,208,555
1,400 oSAGEM S.A ............................... 711,804
126,800 SMITHS INDUSTRIES PLC ................... 1,623,900
100,300 oSPAR AEROSPACE LTD ...................... 930,588
65,400 oTECH-SYM CORP ........................... 2,182,725
60,616 oTHOMSON-CSF ............................. 1,563,153
221,700 oWHITTAKER CORP .......................... 2,466,412
258,000 oWYMAN-GORDON CO ......................... 6,966,000
-------------
1,145,679,755
-------------
AIR TRANSPORTATION--0.45%
206,000 oAIR CANADA, INC ......................... 1,388,663
136,062 AIR EXPRESS INTERNATIONAL CORP .......... 5,408,464
388,000 AIR NEW ZEALAND LTD (CLASS B) ........... 1,183,438
224,900 AIRBORNE FREIGHT CORP ................... 9,417,687
372,100 oALASKA AIR GROUP, INC ................... 9,535,062
1,300 ALL NIPPON AIRWAYS CO LTD ............... 8,350
519,100 oAMERICA WEST HOLDINGS CORP
(CLASS B) .............................. 7,526,950
921,300 oAMR CORP ................................ 85,220,250
226,998 ASA HOLDINGS, INC ....................... 6,497,817
87,500 oATLAS AIR, INC .......................... 3,018,750
1,100 oAUSTRIAN AIRLINES/OEST LUFTV AG ......... 177,635
256,300 oBE AEROSPACE, INC ....................... 8,105,487
3,344,847 BRITISH AIRWAYS PLC ..................... 38,104,943
200 oCANADIAN AIRLINES CORP .................. 333
4,000 oCANADIAN AIRLINES CORP WTS 04/22/99 ..... 57
1,185,000 CATHAY PACIFIC AIRWAYS LTD .............. 2,454,947
102,850 CIRCLE INTERNATIONAL GROUP, INC ......... 2,712,668
338,200 COMAIR HOLDINGS, INC .................... 9,363,912
241,500 oCONTINENTAL AIRLINES, INC (CLASS B) ..... 8,437,406
543,943 DELTA AIRLINES, INC ..................... 44,603,326
78,400 EXPEDITORS INTERNATIONAL OF
WASHINGTON ............................. 2,224,600
717,300 oFEDERAL EXPRESS CORP .................... 41,424,075
2,086,721 oJAPAN AIRLINES CO LTD ................... 9,500,880
22,983 oKLM (ROYAL DUTCH AIRLINES) NV ........... 709,677
138,887 oKOREAN AIR LINES CO ..................... 2,611,658
673,990 LUFTHANSA AG ............................ 12,937,541
286,000 oMALAYSIAN AIRLINE SYSTEM BERHAD ......... 713,867
110,400 oMALAYSIAN HELICOPTER SERVICES
BERHAD ................................. 97,540
22,080 oMALAYSIAN HELICOPTER WTS 06/11/00 ....... 8,223
546,400 oMESA AIR GROUP, INC ..................... 2,936,900
432,800 oNORTHWEST AIRLINES CORP (CLASS A) ....... 15,743,100
1,102,774 QUANTAS AIRWAYS LTD ..................... 2,561,214
850 oSAIR GROUP .............................. 953,837
18,488 SAS DANMARK AS .......................... 216,089
428,000 oSINGAPORE INTERNATIONAL
AIRLINES LTD (FR) ...................... 3,831,587
200 SKYWEST, INC ............................ 3,125
940,700 SOUTHWEST AIRLINES CO ................... 24,340,612
564,820 oUAL CORP NEW ............................ 40,419,931
436,900 oUS AIRWAYS GROUP, INC ................... 15,291,500
192,100 oVALUJET, INC ............................ 1,326,690
-------------
421,018,791
-------------
AUTOMOTIVE & RELATED--2.28%
352,300 oALLEN TELECOM, INC ...................... 7,310,225
274,700 oAMERICREDIT CORP ........................ 5,768,700
451,700 APOGEE ENTERPRISES, INC ................. 9,711,550
127,200 ARVIN INDUSTRIES, INC ................... 3,466,200
776,474 oAUTOLIV, INC ............................ 30,379,545
56,000 BANDAG, INC ............................. 2,744,000
199,100 BANDAG, INC (CLASS A) ................... 9,693,681
2,000 BAYERISCHE MOTOREN WERKE AG ............. 1,656,145
3,468,248 BBA GROUP PLC ........................... 20,491,328
2,600 BEKAERT S.A ............................. 1,762,839
133,100 BORG-WARNER AUTOMOTIVE, INC ............. 7,195,718
200,600 BREED TECHNOLOGIES, INC ................. 4,613,800
78,500 BREMBO S.P.A ............................ 840,075
975,100 BRIDGESTONE CORP ........................ 22,666,921
4,933,158 CHRYSLER CORP ........................... 161,869,246
43,143 CIA INTERAMERICA DE AUTOMO
(RENAULT) .............................. 185,533
286,980 CONTINENTAL AG .......................... 7,130,856
627,800 COOPER TIRE & RUBBER CO ................. 13,811,600
315,200 CUMMINS ENGINE CO, INC .................. 22,241,300
87,000 CYCLE & CARRIAGE LTD .................... 900,546
993,360 DAIMLER BENZ AG ......................... 80,661,311
1,168,780 DANA CORP ............................... 44,413,640
192,700 DANAHER CORP ............................ 9,791,568
917,337 DENSO CORP .............................. 21,965,506
39,200 oDETROIT DIESEL CORP ..................... 938,350
4,200,000 oDIVERSIFIED RESOURCES BERHAD ............ 8,902,546
305,900 DONALDSON CO, INC ....................... 11,624,200
630,234 EATON CORP .............................. 55,027,306
484,200 ECHLIN, INC ............................. 17,431,200
90,000 EDARAN OTOMOBIL NASIONAL BERHAD ......... 766,641
165,000 EXEDY CORP .............................. 2,105,225
226,800 EXIDE CORP .............................. 4,975,425
7,500 FABRICA DE AUTOMOVILES RENAULT S.A ...... 158,076
328,100 FEDERAL-MOGUL CORP ...................... 11,483,500
6,343,995 oFIAT S.P.A .............................. 22,829,246
833,334 oFIAT S.P.A. (PRIV) ...................... 1,538,601
369,998 oFIAT S.P.A. DI RISP ..................... 695,100
76,200 oFOAMEX INTERNATIONAL, INC ............... 1,000,125
9,827,748 FORD MOTOR CO ........................... 370,997,487
386,535 GENCORP, INC ............................ 8,938,621
6,202,876 GENERAL MOTORS CORP ..................... 345,422,657
1,213,200 GENUINE PARTS CO ........................ 41,097,150
149,334 GKN PLC ................................. 2,571,110
1,757,752 GOODYEAR TIRE & RUBBER CO ............... 111,287,673
393,725 GRACO, INC .............................. 11,860,965
954,200 HARLEY DAVIDSON, INC .................... 45,741,962
72,720 oHAYES WHEELS INTERNATIONAL, INC.......... 2,308,860
1,391,000 HONDA MOTOR CO LTD ...................... 41,938,024
80,500 INTERMET CORP ........................... 1,293,031
103,800 oKIRBY CORP .............................. 1,894,350
52,920 LAIRD GROUP PLC ......................... 307,821
1,586,900 oLEAR CORP ............................... 70,418,687
756,000 LEX SERVICE GROUP LTD ................... 4,737,163
381,814 LUCASVARITY PLC ......................... 1,321,742
43,000 oMCCARTHY RETAIL LTD ..................... 123,250
2,356 oMICHELIN B .............................. 130,420
343,469 MICHELIN S.A. (CLASS B) ................. 20,645,613
346,300 MODINE MANUFACTURING CO ................. 10,302,425
683,700 oNAVISTAR INTERNATIONAL CORP ............. 11,793,825
149,360 NGK INSULATORS LTD ...................... 1,644,623
3,768,000 NISSAN MOTOR CO LTD ..................... 29,273,482
206,500 PACCAR, INC ............................. 9,589,343
7,922 PENDRAGON PLC ........................... 47,266
661,000 PERUSAHAAN OTOMOBIL NASIONAL
BERHAD ................................. 3,090,257
21,634 oPEUGEOT S.A ............................. 2,093,021
227,000 oPININFARINA SPA ......................... 3,770,697
2,744,999 PIRELLI S.P.A ........................... 6,795,190
290,300 POLARIS INDUSTRIES, INC ................. 9,452,893
37,000 oRENTERS CHOICE, INC ..................... 735,375
226,600 oSAFESKIN CORP ........................... 6,670,537
See notes to financial statements.
-14-
<PAGE>
SHARES VALUE
------ -----
AUTOMOTIVE & RELATED--(CONTINUED)
630,437 SAFETY-KLEEN CORP ....................... $10,638,624
50,000 SCANIA AB SERIES A ...................... 1,519,580
50,000 SCANIA AB SERIES B ...................... 1,526,046
403,375 SIMPSON INDUSTRIES, INC ................. 4,285,859
1,200,000 SINGAPORE TECH AUTOMOTIVE-(FR) .......... 3,004,618
83,600 SMITH (A.O.) CORP ....................... 2,973,025
387,600 SNAP-ON, INC ............................ 15,261,750
476,050 SPARTAN MOTORS, INC ..................... 3,689,387
12,000 SPX CORP ................................ 777,750
55,600 STANDARD MOTOR
PRODUCTS, INC (CLASS A) ................ 764,500
73,943 STANDARD PRODUCTS CO .................... 1,867,060
116,700 SUPERIOR INDUSTRIES
INTERNATIONAL, INC ..................... 3,092,550
237,653 T & N PLC ............................... 569,557
275,000 TAN CHONG MOTOR HOLDINGS BERHAD ......... 518,621
385,050 oTBC CORP ................................ 3,224,793
730,500 THAI ENGINE MANUFACTURING FR ............ 4,737,514
107,900 oTOWER AUTOMOTIVE, INC ................... 4,639,700
5,346,477 TOYOTA MOTOR CORP ....................... 157,923,275
122,000 TRANSPRO, INC ........................... 1,059,875
102,000 oUMW HOLDINGS BERHAD ..................... 480,903
125,223 VALEO S.A ............................... 7,785,124
72,940 VOLKSWAGEN AG ........................... 55,962,787
143,000 VOLVO AB SERIES A ....................... 3,846,672
627,380 VOLVO AB SERIES B FREE .................. 16,795,264
256,050 WABASH NATIONAL CORP .................... 7,137,393
-------------
2,123,125,121
-------------
BANKS--9.02%
567,700 ABBEY NATIONAL PLC ...................... 7,747,549
2,375,240 ABN-AMRO HOLDINGS NV .................... 44,369,786
284,207 ALLIED IRISH BANK ....................... 2,173,461
165,326 AMALGAMATED BANKS OF SOUTH AFRICA ....... 1,186,498
158,000 oAMMB HOLDINGS BERHAD .................... 982,806
620,337 AMSOUTH BANCORP ......................... 23,456,492
132,150 ANCHOR BANCORP WISCONSIN, INC ........... 6,442,312
143,000 ARGENTARIA S.A .......................... 8,021,120
2,513,540 ASAHI BANK LTD .......................... 21,416,680
750,000 ASHIKAGA BANK LTD ....................... 2,752,785
9,000 ASSA ABLOY AB SERIES B .................. 183,901
90,800 ASSOCIATED BANC-CORP .................... 3,586,600
875,808 AUSTRALIAN & NEW ZEALAND
BANKING GROUP LTD ...................... 6,495,938
6,758,803 BANC ONE CORP ........................... 327,379,520
2,043,500 BANCA COMMERCIALE ITALIANA S.P.A ........ 4,229,554
1,500,000 BANCA POPOLARE DI MILANO ................ 8,983,170
340,000 BANCO AMBROSIANO VENETO S.P.A ........... 979,608
407,987 BANCO BILBAO VIZCAYA S.A. (REGD) ........ 33,203,626
72,973 BANCO CENTRALE
HISPANOAMERICANO S.A .................... 2,674,213
38,600 BANCO DE A. EDWARDS S.P.A. ADR .......... 805,775
197,448 oBANCO DE GALICIA BUENOS
AIRES S.A. SERIES A .................... 1,313,160
4,000 oBANCO DE GALICIA Y BUENOS AIRES ADR ..... 105,500
41,000 BANCO DE SANTIAGO ADR ................... 1,045,500
50,000 BANCO DE VALENCIA S.A. (REGD) ........... 1,053,845
102,665 oBANCO ESPANOL DE CREDITO S.A ............ 1,036,558
110,523 oBANCO FRANCES DEL RIO DE LA
PLATA S.A .............................. 1,197,083
55,000 BANCO INTERCONTINENTAL
ESPANOLA S.A ............................ 9,722,570
60,800 BANCO LATINO AMERICANO DE
EXPORTACIONES S.A. (CLASS E) ........... 2,622,000
10,625 BANCO POPULAR ESPANOLA S.A. (REGD) ...... 2,607,841
1,188,042 BANCO SANTANDER S.A ..................... 36,671,838
26,580 BANK AUSTRIA AG ......................... 1,474,129
9,630,664 oBANK INTERNATIONAL INDONESIA (FR) ....... 8,312,226
529,192 BANK OF EAST ASIA LTD ................... 2,206,300
312,100 BANK OF MONTREAL ........................ 12,193,530
2,964,836 BANK OF NEW YORK CO, INC ................ 128,970,366
307,396 BANK OF NOVA SCOTIA ..................... 13,480,330
7,000 BANK OF OKINAWA LTD ..................... 214,105
35,648 BANK OF SCOTLAND ........................ 227,823
6,208,605 BANK OF TOKYO MITSUBISHI LTD ............ 124,791,097
758,586 BANK OF YOKOHAMA LTD .................... 4,275,887
9,312,814 BANKAMERICA CORP ........................ 601,258,553
1,834,800 BANKBOSTON CORP ......................... 132,220,275
1,319,174 BANKERS TRUST NEW YORK CORP ............. 114,768,138
200,715 BANQIE DE PARIBAS S.A ................... 13,880,159
73,777 BANQUE NATIONALE DE PARIS ............... 3,043,573
1,088,199 BARCLAYS PLC ............................ 21,588,187
3,445,858 BARNETT BANKS, INC ...................... 180,907,545
293,480 BAYERISCHE HYPOTHEKEN-UND
WECHSEL-BANK ........................... 8,782,840
522,010 BAYERISCHE VEREINSBANK AG ............... 21,358,488
1,142,953 BB&T CORPORATION ........................ 51,432,885
420,000 oBHW HOLDING AG .......................... 7,110,063
154,020 oCALIFORNIA FEDERAL BANK
GOODWILL CERT .......................... 2,387,310
784,101 CANADIAN IMPERIAL BANK OF COMMERCE ...... 19,778,720
165,921 CAPITAL ONE FINANCIAL CORP .............. 6,263,517
140,900 CCB FINANCIAL CORP ...................... 10,303,312
456,725 CENTRAL FIDELITY BANKS, INC ............. 16,213,737
21,700 CENTURA BANKS, INC ...................... 995,487
563,429 CHARTER ONE FINANCIAL, INC .............. 30,354,737
4,568,275 CHASE MANHATTAN CORP NEW ................ 443,408,192
890,045 CHIBA BANK LTD .......................... 5,304,666
90,500 CITFED BANCORP, INC ..................... 3,506,875
5,280,683 CITICORP CO ............................. 636,652,344
255,400 CITY NATIONAL CORP ...................... 6,145,562
23,000 COLONIAL BANCGROUP, INC ................. 557,750
1,267,858 COMERICA, INC ........................... 86,214,344
5,908,000 COMMERCE ASSET HOLDINGS BERHAD .......... 15,565,866
267,600 oCOMMERCE ASSET HOLDINGS RTS ............. 9,542
217,500 oCOMMERCE ASSET RTS ...................... 33,607
198,447 COMMERCE BANCORP, INC ................... 7,689,821
51,336 COMMERCE BANCSHARES, INC ................ 2,322,954
214,000 COMMERZBANK AG .......................... 6,066,565
218,589 COMMONWEALTH BANK OF
AUSTRALIA LTD .......................... 2,620,270
50,600 COMMUNITY FIRST BANKSHARES, INC ......... 1,941,775
1,251,740 COMPAGNIE DE SUEZ S.A ................... 3,080,850
690,400 COMPASS BANCSHARES, INC ................. 23,214,700
2,442,398 CORESTATES FINANCIAL CORP ............... 131,278,892
115,401 CREDIT COMMERCIAL DE FRANCE S.A ......... 4,894,378
13,150 CREDIT COMMUNAL HOLDINGS DEXIA .......... 1,413,741
8,506 CREDIT NATIONAL S.A ..................... 483,760
242,956 CREDIT SUISSE GROUP (REGD) .............. 31,246,480
6,500 CREDITANSTALT-BANKVEREIN (VORZUG) ....... 261,355
11,000 CREDITANSTALT-BAVKVEREIN (STAMM) ........ 642,358
5,594,000 CREDITO ITALIANO S.P.A .................. 10,229,635
1,061,109 CRESTAR FINANCIAL CORP .................. 41,250,612
337,400 CULLEN FROST BANKERS, INC ............... 14,297,325
199 DAI-ICHI KANGO BANK LTD ................. 2,712
1,000,000 oDAO HENG BANK GROUP LTD ................. 5,472,864
37,300 DAUPHIN DEPOSIT CORP .................... 1,662,181
89,289 DEN DANSKE BANK AF 1871 ................. 8,699,056
88,200 DEPOSIT GUARANTY CORP ................... 2,778,300
840,700 DEUTSCHE BANK AG ........................ 49,160,625
See notes to financial statements.
-15-
<PAGE>
SHARES VALUE
------ -----
BANKS--(CONTINUED)
256,250 DEVELOPMENT BANK OF
SINGAPORE LTD (FR) ..................... $ 3,225,977
709,700 DIME BANCORP, INC ....................... 12,419,750
825,240 DRESDNER BANK AG ........................ 28,556,156
10,032 oDRESDNER FIN WTS 04/30/02 ............... 91,822
525,175 FIFTH THIRD BANCORP ..................... 43,097,173
257,800 FIRST AMERICAN CORP ..................... 9,893,075
1,112,738 FIRST BANK SYSTEM, INC .................. 95,000,006
3,314,513 FIRST CHICAGO NBD CORP .................. 200,528,036
468,259 FIRST COMMERCE CORP ..................... 20,603,396
32,300 FIRST COMMERCIAL CORP ................... 1,328,337
195,700 FIRST HAWAIIAN, INC ..................... 6,678,262
189,500 FIRST MIDWEST BANCORP, INC .............. 6,004,781
145,000 FIRST NATIONAL BANK HOLDINGS LTD ........ 1,246,831
578,634 FIRST OF AMERICA BANK CORP .............. 26,472,505
1,280,212 FIRST SECURITY CORP ..................... 34,965,790
872,700 FIRST TENNESSEE NATIONAL CORP ........... 41,889,600
2,849,196 FIRST UNION CORP ........................ 263,550,630
430,650 FIRST VIRGINIA BANKS, INC ............... 25,973,578
1,158,500 FIRSTAR CORP ............................ 35,334,250
234,300 FIRSTMERIT CORP ......................... 11,246,400
5,074,840 FLEET FINANCIAL GROUP, INC .............. 320,983,630
137,700 FORT WAYNE NATIONAL CORP ................ 6,471,900
3,086,882 FUJI BANK LTD ........................... 46,399,170
922 oGENERALE DE BANQUE S.A. NPV
STRIP VVPR ............................. 410
24,251 GENERALE DE BANQUE S.A .................. 9,342,736
44,600 GREENPOINT FINANCIAL CORP ............... 2,968,687
45,000 oGRUPO FINANCIERO BANAMEX
ACCIVAL S.A. DE CV SERIES B ............ 115,406
159,506 oGRUPO FINANCIERO BANAMEX
ACCIVAL S.A. DE CV SERIES L ............ 376,983
312,000 oGRUPO FINANCIERO BANCOMER S.A.
SERIES B ............................... 149,832
814,000 GUNMA BANK LTD .......................... 7,326,952
795,719 HANG SENG BANK LTD ...................... 11,349,346
568,904 HIBERNIA CORP (CLASS A) ................. 7,929,099
167,800 HIGO FAMILY BANK LTD .................... 1,105,668
147,000 oHOKKAIDO BANK LTD ....................... 193,979
730,205 HOKURIKU BANK LTD ....................... 2,507,835
209,120 HOUSING & COMMERCIAL BANK ............... 3,484,942
725,337 HSBC HOLDINGS PLC ....................... 21,487,774
4,391,310 HSBC HOLDINGS PLC (HONG KONG) ........... 132,068,388
1,596,926 HSBC HOLDINGS LTD (UNITED KINGDOM) ...... 49,128,766
9,300 HUBCO, INC .............................. 269,700
1,076,535 HUNTINGTON BANCSHARES, INC .............. 31,623,215
613,711 oIMPERIAL BANCORP ........................ 17,720,905
415,500 oIMPERIAL CREDIT INDUSTRIES, INC ......... 8,543,718
2,702,160 INDUSTRIAL BANK OF JAPAN LTD ............ 42,033,233
1,069,000 INSTITUTO BANCARIO SAN PAOLO
DI TURINO .............................. 7,788,007
14,900 INVESTEC GROUP LIMITED .................. 596,263
1,375,000 ISTITUTO MOBILIARE ITALIANO S.P.A ....... 12,370,050
1,356,305 JOYO BANK ............................... 7,502,790
2,733,819 KEYCORP ................................. 152,752,136
371,052 KOOKMIN BANK ............................ 5,306,117
21,420 KREDIETBANK NV .......................... 8,639,371
11,156,649 LLOYDS TSB GROUP PLC .................... 114,378,947
455,500 LONG ISLAND BANCORP, INC ................ 16,540,343
635,800 MAGNA GROUP, INC ........................ 22,094,050
448,500 MALAYAN BANKING BERHAD .................. 4,708,900
1,725,000 oMALAYSIAN INDUSTRIAL DEVELOPMENT
FINANCE ................................ 2,378,370
658,920 MARSHALL & ILSLEY CORP .................. 26,768,625
373,800 oMEDIOBANCA S.P.A ........................ 2,268,278
2,601,736 MELLON BANK CORP ........................ 117,403,337
563,325 MERCANTILE BANCORP, INC ................. 34,221,993
177,493 MERCANTILE BANKSHARES CORP .............. 7,099,720
464,665 MERITA LTD .............................. 1,547,627
8,800 MICHINOKU BANK LTD ...................... 55,447
1,891,200 MITSUBISHI TRUST & BANKING CORP ......... 29,914,226
1,291,700 MITSUI TRUST & BANKING CO LTD ........... 9,764,263
1,653,143 MORGAN (J.P.) & CO, INC ................. 172,546,800
4,191,146 NATIONAL AUSTRALIA BANK LTD ............. 59,565,924
112,200 NATIONAL BANK OF CANADA ................. 1,406,973
1,306,248 NATIONAL CITY CORP ...................... 68,578,020
22,200 NATIONAL COMMERCE BANCORP ............... 488,400
1,300,000 NATIONAL WESTMINSTER BANK PLC ........... 17,470,989
7,622,068 NATIONSBANK CORP ........................ 491,623,386
75,472 NEDCOR LTD .............................. 1,672,349
51,000 NORDBANKEN AB ........................... 1,721,458
784,600 NORTH FORK BANCORP, INC ................. 16,770,825
1,794,200 NORTHERN TRUST CORP ..................... 86,794,425
2,735,418 NORWEST CORP ............................ 153,867,262
462,551 OLD KENT FINANCIAL CORP ................. 24,977,754
71,400 ONBANCORP, INC .......................... 3,641,400
14,300 ONE VALLEY BANCORP, INC ................. 600,600
2,340,384 OVERSEAS-CHINESE BANKING
CORP LTD (FR) .......................... 24,225,560
430,750 PACIFIC CENTURY FINANCIAL CORP .......... 19,922,187
109,350 PEOPLES BANK OF BRIDGEPORT CO ........... 2,829,431
375,610 PEOPLES HERITAGE FINANCIAL
GROUP, INC ............................. 14,226,228
72,000 oPHILIPPINE NATIONAL BANK ............... 488,622
3,813,364 PNC BANK CORP ........................... 158,731,276
102,205 POPULAR, INC ............................ 4,126,526
113,665 PROVIDENT BANKSHARES CORP ............... 4,731,305
16,400 PROVIDENT FINANCIAL GROUP ............... 701,100
9,400,000 PT BANK DANAMON (FR) .................... 4,925,835
4,078,000 oPT BANK MASHILL UTAMA (FR) .............. 3,184,510
3,700,000 oPT MODERNBANK (FR) ...................... 3,839,767
480,354 PUBLIC BANK BERHAD (FR).................. 749,840
749,000 oPUBLIC BANK BERHAD (LR) ................. 1,068,305
362,000 RCSB FINANCIAL, INC ..................... 17,330,750
1,314,904 REGIONS FINANCIAL CORP .................. 41,583,839
378,375 REPUBLIC BANCORP, INC ................... 5,391,843
558,725 REPUBLIC NEW YORK CORP .................. 60,062,937
1,609,000 RHB CAPITAL BERHAD ...................... 5,099,847
78,000 oRHB CAPITAL BERHAD WTS 12/28/99 ......... 86,838
64,300 RIGGS NATIONAL CORP ..................... 1,326,187
446,160 ROYAL BANK OF CANADA .................... 20,228,556
352,466 ROYAL BANK OF SCOTLAND PLC .............. 3,282,078
4,279,300 SAKURA BANK LTD ......................... 32,834,392
850 SANWA BANK LTD .......................... 12,627
158,000 SEVENTY-SEVEN (77) BANK LTD ............. 1,532,645
998,660 SHIZUOKA BANK LTD ....................... 11,432,749
860,671 SIGNET BANKING CORP ..................... 30,984,156
794,000 SKANDINAVISKA ENSKILDA BANKEN
SERIES A ............................... 8,574,184
88,000 SKANDINAVISKA ENSKILDA BANKEN
SERIES C FREE ........................... 899,074
91,035 SOCIETE GENERALE S.A .................... 10,171,870
1,153,030 SOUTHTRUST CORP ......................... 47,706,616
755,344 SOVEREIGN BANCORP, INC .................. 11,518,996
381,385 ST. GEORGE BANK LTD ..................... 2,517,313
540,625 ST. PAUL BANCORP, INC ................... 17,908,203
203,549 STANDARD CHARTERED PLC .................. 3,103,102
317,100 STAR BANC CORP .......................... 13,397,475
1,120,700 STATE STREET CORP ....................... 51,832,375
See notes to financial statements.
-16-
<PAGE>
SHARES VALUE
------ -----
BANKS--(CONTINUED)
4,201,895 SUMITOMO BANK LTD ....................... $ 69,034,277
1 SUMITOMO TRUST & BANKING CO LTD ......... 10
979,821 SUMMIT BANCORP .......................... 49,113,527
1,486,380 SUNTRUST BANKS, INC ..................... 81,843,798
174,200 SVENSKA HANDELSBANKEN SERIES A .......... 5,542,032
209,500 SVENSKA HANDELSBANKEN SERIES B
FREE ................................... 6,177,385
101,266 oSWISS BANK CORP (REGD) .................. 27,124,197
3,730 oSWISS BANK CORP (REGD) WTS 06/30/00 ..... 36,330
40,000 oSYDBANK A/S ............................. 1,827,865
283,975 SYNOVUS FINANCIAL CORP .................. 7,827,060
2,301,038 TOKAI BANK LTD .......................... 23,728,349
25,000 TRUSTMARK CORP .......................... 700,000
1,019,517 U.S. BANCORP ............................ 65,376,527
96,800 U.S. TRUST CORP ......................... 4,561,700
4,545 UBS REGISTERED .......................... 1,041,244
85,500 UNI BANKDANMARK AS (CLASS A) ............ 4,809,684
24,291 UNION BANK OF SWITZERLAND (BR) .......... 27,824,929
690,271 UNION PLANTERS CORP ..................... 35,807,808
66,100 UNITED CAROLINA BANCSHARES CORP ......... 3,437,200
406,890 UNITED OVERSEAS BANK LTD (FR) ........... 4,183,303
372,600 UST CORP ................................ 8,336,925
1,235,680 WACHOVIA CORP ........................... 72,055,590
773,448 WASHINGTON FEDERAL, INC ................. 19,867,945
1,060,000 WASHINGTON MUTUAL, INC .................. 63,335,000
661,381 WELLS FARGO & CO ........................ 178,242,179
114,400 WESTAMERICA BANCORP ..................... 8,694,400
4,937,409 WESTPAC BANKING CORP .................... 29,481,881
75,100 WILMINGTON TRUST CORP ................... 3,435,825
130,302 WING LUNG BANK LTD ...................... 830,858
301,000 YAMAGUCHI BANK LTD ...................... 4,524,355
1,692,342 YASUDA TRUST & BANKING CO LTD ........... 6,477,747
345,700 ZIONS BANCORP ........................... 13,006,962
--------------
$8,399,720,655
--------------
BEVERAGES--2.78%
4,063,044 ANHEUSER BUSCH COS, INC ................. 170,393,227
3,396,080 ARTHUR GUINESS & SONS PLC ............... 33,234,324
346,400 ASAHI BREWERIES LTD ..................... 5,176,494
357,200 BASS LTD ................................ 4,357,596
1,880 oBRAU UND BRUNNEN AG .................... 148,880
399,900 BROWN FORMAN, INC (CLASS B) ............. 19,520,118
43,449 oCARLSBERG BREWERIES AS (CLASS A) ........ 2,391,741
11,781 oCARLSBERG BREWERIES AS (CLASS B) ........ 650,286
975,000 CARLSBERG BREWERIES MALAYSIA
BERHAD ................................. 5,021,796
3,020 CHO SUN BREWERY CO LTD .................. 78,892
63,500 CHRISTIAN DIOR S.A ...................... 10,491,414
154,227 COCA-COLA AMATIL LTD .................... 1,987,406
277,600 COCA COLA BOTTLING CO CONSOLIDATED ...... 13,463,600
21,322,598 COCA COLA CO ............................ 1,439,275,365
1,590,900 COCA COLA ENTERPRISES, INC .............. 36,590,700
87,800 COMPANIA CERVECERIAS
UNIDAS S.A. ADR ........................ 1,926,112
234,400 COORS (ADOLPH) CO (CLASS B) ............. 6,240,900
52,000 COTT CORP ............................... 554,073
46,700 oEL AGUILA S.A ........................... 223,529
15,700 EMBOTELLADORA ANDINA ADR (CLASS B) ...... 327,737
156,500 FOMENTO ECONOMICO MEXICANO S.A ..........
DE CV SERIES B ......................... 930,599
5,112,396 FOSTERS BREWING GROUP LTD ............... 9,422,309
108,000 FRASER & NEAVE LTD ...................... 770,457
3,718,496 GRAND METROPOLITAN PLC .................. 35,987,249
225,500 GRUPO MODELO S.A. SERIES C .............. 1,562,015
106,053 HEINEKEN NV ............................. 18,132,868
189,000 oITO EN LTD .............................. 4,277,827
2,613,175 KIRIN BREWERY CO LTD .................... 27,175,478
1,849,930 LION NATHAN LTD ......................... 4,676,981
148,001 LVMH MOET HENNESSY LOUIS VUITTON ........ 39,830,002
64,000 MOLSON CO LTD (CLASS A) ................. 1,064,656
1,000 MOLSON CO LTD (CLASS B) ................. 17,033
22,200 PEPSI-GEMEX S.A. ADR .................... 277,500
17,784,736 PEPSICO, INC ............................ 668,039,146
19,680 PERNOD-RICARD S.A ....................... 1,015,678
1,100,000 oPT GUDANG GARAM (FR) .................... 4,611,420
143,500 SAPPORO BREWERIES LTD ................... 1,193,852
238,857 SCOTTISH & NEWCASTLE PLC ................ 2,570,029
222,400 SEAGRAMS CO LTD ......................... 8,946,943
241,400 SEAGRAMS CO LTD (U.S.) .................. 9,716,350
88,002 SOUTH AFRICAN BREWERIES LTD ............. 2,701,771
38,200 VINA CONCHA Y TORO S.A. ADR ............. 1,181,812
-------------
2,596,156,165
-------------
BROADCASTERS--0.57%
282,900 oAMERICAN RADIO SYSTEMS CORP ............. 11,280,637
230 ~oANTENA 3 DE TELEVISION GDS
(RULE 144A) ............................ 5,316,818
134,250 oASSOCIATED GROUP, INC (CLASS A) ......... 5,370,000
303,050 oASSOCIATED GROUP, INC (CLASS B) ......... 11,743,187
48,200 AUDIOFINA ............................... 1,984,282
88,400 BHC COMMUNICATIONS, INC (CLASS A) ....... 10,563,800
700,000 BRITISH SKY BROADCASTING GROUP PLC ...... 5,126,044
60,390 oCANAL PLUS S.A .......................... 11,767,376
232,750 CARLTON COMMUNICATIONS PLC .............. 1,965,881
395,600 oCLEAR CHANNEL COMMUNICATIONS, INC ....... 24,329,400
707,800 COMCAST CORP (CLASS A) .................. 14,819,562
2,021,835 COMCAST CORP (CLASS A) SPECIAL .......... 43,216,723
36,338 oDATA BROADCASTING CORP .................. 172,605
283,950 oEVERGREEN MEDIA CORP (CLASS A) .......... 12,671,268
571,605 GAYLORD ENTERTAINMENT CO ................ 13,182,640
213,000 oGENERAL CABLE PLC ADR ................... 2,875,500
64,700 oGRUPO TELEVISA S.A. DE CV (PT CERT) ..... 984,185
554,900 HARTE-HANKS COMMUNICATIONS, INC ......... 16,369,550
457,014 oHERITAGE MEDIA CORP (CLASS A) ........... 8,626,139
214,700 oJACOR COMMUNICATIONS, INC WTS 9/18/01 ... 751,450
250,000 KING WORLD PRODUCTIONS, INC ............. 8,750,000
2,084,948 oLIBERTY MEDIA GROUP (CLASS A) ........... 49,517,515
149,169 oLIN TELEVISION CORP ..................... 6,582,082
2,455,454 MEDIASET S.P.A .......................... 10,417,067
25,200 oMIH HOLDINGS LIMITED .................... 94,454
47,700 oNASIONALE PERS BEPERK SERIES N .......... 546,886
150 NIPPON TELEVISION NETWORK CORP .......... 60,299
32,000 NRJ S.A ................................. 4,360,422
45,130 PATHE S.A ............................... 8,962,981
71,900 oROGERS COMMUNICATIONS INC (CLASS B) ..... 450,808
412,565 SCRIPPS (E.W.) CO (CLASS A) ............. 17,173,018
127,600 TCA CABLE TV, INC ....................... 4,800,950
573,449 oTCI SATELLITE ENTERTAINMENT (CLASS A).... 4,515,910
3,200 oTELE METROPOLE, INC (CLASS B) ........... 55,088
6,227,597 oTELE-COMMUNICATIONS, INC (CLASS A) ...... 92,635,505
170,000 TELEVISION BROADCASTS LTD ............... 763,619
336,350 TOKYO BROADCASTING SYSTEMS, INC ......... 6,907,502
342,400 UNITED TELEVISION, INC .................. 33,897,600
469,487 oVIACOM, INC (CLASS A) ................... 13,820,523
1,752,348 oVIACOM, INC (CLASS B) ................... 52,570,440
246,144 oVIACOM, INC (CLASS B) WTS 07/07/97 ...... 962
147,686 oVIACOM, INC (CLASS B) WTS 07/07/99 ...... 175,377
266,800 oWESTWOOD ONE, INC ....................... 8,604,300
--------------
528,780,355
--------------
See notes to financial statements.
-17-
<PAGE>
SHARES VALUE
------ -----
BUSINESS SERVICES--1.28%
554,215 oACCUSTAFF, INC .......................... $13,127,967
431,779 oACNEILSEN CORP .......................... 8,473,662
2,544 ADECCO S.A .............................. 977,563
223,900 ADECCO S.A. ADR ......................... 10,831,162
20,634 ADECCO S.A. (BR) ........................ 7,925,809
470,330 oADVO, INC ............................... 7,642,862
153,200 oAFFILIATED COMPUTER SERVICES, INC
(CLASS A) ............................... 4,289,600
19,655 oAGENCE HAVAS S.A ........................ 1,417,800
90,900 oALLIANCE SEMICONDUCTOR CORP ............. 744,243
532,700 oALLWASTE, INC ........................... 5,060,650
122,000 oALTERNATIVE RESOURCES CORP .............. 2,485,750
824,100 oAMERICA ONLINE, INC ..................... 45,840,562
509,030 AMERICAN BUSINESS PRODUCTS, INC ......... 11,580,432
489,475 oAPOLLO GROUP, INC (CLASS A) ............. 17,253,993
157,600 oASPEN TECHNOLOGY, INC ................... 5,929,700
361,400 AUTODESK, INC ........................... 13,846,137
324,900 BANTA CORP .............................. 8,812,912
7,500 oBETA SYSTEMS SOFTWARE AG ................ 886,605
785,700 BLOCK (H&R), INC ........................ 25,338,825
79,050 oBOSTON LIFE SCIENCES, INC ............... 400,190
129,100 oCABLEVISION SYSTEMS CORP (CLASS A) ...... 6,906,850
342,400 oCATALINA MARKETING CORP ................. 16,478,000
302,200 oCHECKPOINT SYSTEMS, INC ................. 4,854,087
125,000 oCIBER, INC .............................. 4,273,437
307,500 CINTAS CORP ............................. 21,140,625
1,836,239 COGNIZANT CORP .......................... 74,367,679
198,000 oCOMPUTER HORIZONS CORP................... 6,781,500
681,500 oCOMPUTERVISION CORP ..................... 3,151,937
155,950 oCORESTAFF, INC .......................... 4,210,650
578,900 oCORPORATE EXPRESS, INC .................. 8,357,868
517,100 oCORRECTIONS CORP OF AMERICA ............. 20,554,725
344,700 oCREDENCE SYSTEMS CORP ................... 10,319,456
161,300 CROSS (A.T.) CO (CLASS A) ............... 2,056,575
794,400 DELUXE CORP ............................. 27,108,900
83,700 oDEVRY, INC .............................. 2,259,900
98,400 oDIALOGIC CORP ........................... 2,619,900
490,062 DIEBOLD, INC ............................ 19,112,418
152,000 oDIMENSION DATA HOLDINGS LTD ............. 603,241
398,200 oDOUBLETREE CORP ......................... 16,375,975
174,910 ELECTROCOMPONENTS PLC ................... 1,305,595
13,300 oENCAD, INC .............................. 551,950
438,550 ENNIS BUSINESS FORMS, INC ............... 4,221,043
148,900 oEQUITY CORP INTERNATIONAL ............... 3,601,518
28,000 ESSELTE AB SERIES B FREE ................ 659,045
345,800 FIRST INDUSTRIAL REALTY TRUST, INC ...... 10,114,650
8,400 FLUGHAFEN WIEN AG ....................... 354,879
277,500 oFORE SYSTEMS, INC ....................... 3,780,937
256,900 oFRANKLIN COVEY CO ....................... 6,502,781
57,900 oFRITZ COS, INC .......................... 560,906
625,495 GETRONICS NV ............................ 20,240,062
41,523 GUILBERT S.A ............................ 5,884,379
10,000 oHA-LO INDUSTRIES, INC ................... 236,250
230,700 HARLAND (JOHN H.) CO .................... 5,262,843
34,000 oHCIA, INC ............................... 1,139,000
258,500 HENDERSON INVESTMENT LTD ................ 285,282
169,400 HUNT MANUFACTURING CO ................... 3,176,250
44,500 oIMPERIAL HOLDINGS LTD ................... 632,841
259,900 oINFORMATION RESOURCES, INC .............. 3,671,087
82,600 oINSO CORP ............................... 1,698,462
216,200 oINTERIM SERVICES, INC ................... 9,620,900
723,100 INTERPUBLIC GROUP OF COS, INC ........... 44,335,068
10,800 oINTERNATIONAL SERVICE SYSTEM
AS SERIES B ............................ 387,652
66,200 oITRON, INC .............................. 1,712,925
80,000 KCI KONESCRANES INT'L ................... 3,511,601
375,793 KELLY SERVICES, INC (CLASS A) ........... 11,790,505
252,000 LIBERTY PROPERTY TRUST CO ............... 6,268,500
304,300 oMACNEAL-SCHWENDLER CORP ................. 3,309,262
221,200 oMAIL BOXES ETC .......................... 6,165,950
852,000 MANPOWER, INC ........................... 37,914,000
70,300 oMANUGISTICS GROUP, INC .................. 3,128,350
352,250 oMCAFEE ASSOCIATES, INC .................. 22,235,781
170,000 oMEITEC CORP ............................. 5,065,998
45,000 oMERCURY INTERACTIVE CORP ................ 669,375
501,200 oMERISEL, INC ............................ 1,002,400
192,100 oMICRO WAREHOUSE, INC .................... 3,289,712
776,113 MISYS PLC ............................... 17,599,206
126,762 MOORE CORP LTD .......................... 2,499,198
118,200 oNASHUA CORP ............................. 1,285,425
52,470 oNATIONAL AUTO CREDIT, INC ............... 465,671
395,649 NATIONAL SERVICE INDUSTRIES, INC ........ 19,263,160
93,800 NEW ENGLAND BUSINESS SERVICES, INC ...... 2,468,112
94,320 NIPPON KANZAI CO LTD .................... 2,101,869
254,800 oNU KOTE HOLDING, INC (CLASS A) .......... 637,000
86,600 oODS NETWORKS, INC ....................... 1,028,375
1,162,898 oOFFICE DEPOT, INC ....................... 22,603,829
500 oOIS OPTICAL IMAGING SYSTEMS, INC ........ 1,218
478,094 OLSTEN CORP ............................. 9,292,952
801,800 OMNICOM GROUP, INC ...................... 49,410,925
642,227 PAYCHEX, INC ............................ 24,404,626
490,300 PITTSTON BRINKS GROUP CO ................ 14,709,000
7,100 oPREPAID LEGAL SERVICES, INC ............. 149,987
60,300 oPRI AUTOMATION, INC ..................... 2,287,631
217,166 oPRICER AB SERIES B ...................... 7,470,665
790,380 PROSEGUR COMPANIA DE
SEGURIDAD S.A ......................... 9,672,828
246,471 oPURE ATRIA CORP ......................... 3,481,402
212,900 oQUARTERDECK CORP ........................ 538,903
20,000,000 oREGENT PACIFIC GROUP .................... 5,614,849
111,500 oREMEDY CORP ............................. 4,460,000
682,600 REUTERS HOLDINGS PLC .................... 7,191,203
551,900 oROBERT HALF INTERNATIONAL, INC .......... 25,973,793
434,150 ROLLINS, INC ............................ 8,737,268
60,000 oSANIX, INC .............................. 1,966,275
114,500 SAP AG .................................. 22,997,239
28,000 SCRIBONA AB SERIES B FREE ............... 325,901
122,727 SECOM CO LTD ............................ 9,019,819
1,000,000 oSECURICOR PLC .......................... 4,743,255
159,000 SECURITAS AB SERIES B FREE .............. 4,482,697
483,150 SENSORMATIC ELECTRONICS CORP ............ 6,220,556
1,755,900 SERVICE CORP INT'L ...................... 57,725,212
2,698 SOCIETE GENERAL DE SURVEILLANCE (BR) .... 5,773,893
1,282 SOPHUS BERENDSEN AS (CLASS A) ........... 184,643
32,665 SOPHUS BERENDSEN AS (CLASS B) ........... 4,729,285
211,500 STANDARD REGISTER, INC .................. 6,477,187
531,600 oSUNGARD DATA SYSTEMS, INC ............... 24,719,400
63,950 oSYLVAN LEARNING SYSTEMS, INC ............ 2,174,300
96,400 oTHERMOLASE CORP ......................... 1,355,625
68,800 TOKYO DOME CORP ......................... 925,914
122,300 TOKYO TOKEIBA CO LTD .................... 352,697
70,000 TOTAL SYSTEM SERVICES, INC .............. 1,701,875
277,700 oTRACOR, INC ............................. 6,977,212
24,000 oTRANS COSMOS ............................ 878,793
287,800 TRUE NORTH COMMUNICATIONS, INC .......... 7,123,050
336,100 UNIFIRST CORP ........................... 6,722,000
254,700 oUNION CORP .............................. 6,685,875
36,248 oUNITED STATIONERS, INC .................. 915,262
276,700 VALSPAR CORP ............................ 8,197,237
310,300 oVOLT INFORMATION SCIENCES, INC .......... 15,670,150
86,000 WACKENHUT CORP SERIES A ................. 2,064,000
See notes to financial statements.
-18-
<PAGE>
SHARES VALUE
------ -----
BUSINESS SERVICES--(CONTINUED)
348,206 WACKENHUT CORP SERIES B ................. $ 6,942,357
71,000 oWACKENHUT CORRECTIONS CORP .............. 2,067,875
235,100 WALLACE COMPUTER SERVICES, INC .......... 7,067,693
114,300 oWIND RIVER SYSTEMS, INC ................. 4,371,975
39,800 oWONDERWARE CORP ......................... 562,175
8,248,000 WPP GROUP PLC ........................... 33,837,415
-------------
1,187,995,823
-------------
CHEMICALS--MAJOR--2.14%
79,000 AFRICAN OXYGEN LTD ...................... 259,530
31,000 AGA AB SERIES A FREE .................... 420,956
43,500 AGA AB SERIES B FREE .................... 579,445
892,000 AIR PRODUCTS & CHEMICALS, INC ........... 72,475,000
119,017 AKZO NOBEL NV ........................... 16,340,300
83,100 ARCO CHEMICAL CO ........................ 3,952,443
1,231,600 BASF AG ................................. 45,550,670
1,161,950 BAYER AG ................................ 44,688,320
189,232 BOC GROUP PLC ........................... 3,291,110
100,000 oCANADIAN 88 ENERGY CORP ................. 405,914
314,900 CHEMFIRST, INC .......................... 8,541,662
159,000 COURTAULDS PLC .......................... 894,428
34,000 CYDSA SA (SERIES A) ..................... 92,752
217,710 DEGUSSA AG .............................. 11,531,405
2,392,400 DOW CHEMICAL CO ......................... 208,437,850
10,918,322 DU PONT (E.I.) DE NEMOURS & CO .......... 686,489,495
12,000 DU PONT CANADA, INC (CLASS A) ........... 260,945
11,000 DYNO INDUSTRIER AS ...................... 285,487
744,148 EASTMAN CHEMICAL CO ..................... 47,253,398
131,339 ENGLISH CHINA CLAYS PLC ................. 451,383
65,600 oERCROS S.A .............................. 66,902
449,900 GOODRICH (B.F.) CO ...................... 19,486,293
1,026,000 HERCULES, INC ........................... 49,119,750
839,000 ICI AUSTRALIA LTD ....................... 8,202,953
295,342 IMPERIAL CHEMICAL INDUSTRY PLC .......... 4,106,797
20,115 ~LAIR LIQUIDE (REGD) 1996 ................ 3,196,614
3,585 ~LAIR LIQUIDE (REGD) 1998 ................ 569,717
5,060 ~LAIR LIQUIDE (REGD) P.F. 1999 ........... 804,119
479,677 LILLY INDUSTRIES, INC (CLASS A).......... 9,653,499
246,877 MISSISSIPPI CHEMICAL CORP ............... 5,122,697
3,449,433 MITSUBISHI CHEMICAL CORP ................ 11,274,078
936,500 MITSUBISHI GAS CHEMICAL CO, INC ......... 3,830,146
825,667 MITSUI TOATSU CHEMICALS, INC ............ 2,272,883
4,684,600 MONSANTO CO ............................. 201,730,587
7,208,000 oMONTEDISON S.P.A ........................ 4,755,377
213,000 NIPPON OIL & FATS CO LTD ................ 912,089
321,600 NIPPON SHOKUBAI KAGAK KOGYO CO LTD ...... 2,557,520
305,900 oOAK TECHNOLOGY, INC...................... 2,982,525
400,900 OLIN CORP ............................... 15,660,156
3,296,600 PPG INDUSTRIES, INC ..................... 191,614,875
2,974,880 PRAXAIR, INC ............................ 166,593,280
114,100 oQUINTILES TRANSNATIONAL CORP ............ 7,944,212
133,043 RHONE-POULENC S.A. (CLASS A) ............ 5,438,659
478,400 ROHM & HAAS CO .......................... 43,085,900
160,484 SASOL LTD ............................... 2,105,347
781,000 oSHOWA DENKO K.K ......................... 2,047,547
40,000 SK KAKEN CO LTD ......................... 891,378
9,345 SOLVAY ET CIE S.A ....................... 5,510,739
1,149,160 SUMITOMO CHEMICAL CO LTD ................ 5,212,062
5,000 TESSENDERLO CHEMIE NV ................... 246,171
420 TOSHIBA CHEMICAL CORP ................... 2,330
341,000 UBE INDUSTRIES LTD ...................... 992,339
380 UCB S.A ................................. 1,204,989
1,118,580 UNION CARBIDE CORP ...................... 52,643,171
155,780 WHITE MARTINS S.A ....................... 455,793
41,544,000 YIZHENZ CHEMICAL FIBER CO (CLASS H) ..... 7,400,077
25,000 ZENECA GROUP PLC ADR .................... 2,478,125
-------------
1,994,374,189
-------------
CHEMICALS--SPECIALTY--0.97%
169,951 AGRIUM, INC ............................. 1,946,380
646,400 oAIRGAS, INC ............................. 12,806,800
374,390 ALBEMARLE CORP .......................... 7,885,589
207,000 ARONKASEI CO LTD ........................ 1,454,414
1,034,404 ASAHI CHEMICAL INDUSTRY CO LTD .......... 6,192,164
137,500 BETZDEARBORN, INC ....................... 9,075,000
163,200 CALGON CARBON CORP ...................... 2,264,400
270,200 CAMBREX CORP ............................ 10,706,675
174,500 CHEMED CORP ............................. 6,532,843
2,000 oCIBA SPECIALTY CHEMICALS AG ............. 185,197
315,121 COMMERCIAL METALS CO .................... 10,162,652
351,800 CROMPTON & KNOWLES CORP ................. 7,827,550
547,257 oCYTEC INDUSTRIES, INC ................... 20,453,730
723,000 DAICEL CHEMICAL INDUSTRIES LTD .......... 2,799,005
896,380 DAINIPPON INK & CHEMICAL, INC ........... 3,869,731
2,368,000 DENKI KAGKU KOGYO ....................... 6,539,288
224,200 DEXTER CORP ............................. 7,174,400
120,360 oECOGEN, INC ............................. 421,260
427,500 ECOLAB, INC ............................. 20,413,125
954,255 ENGELHARD CORP .......................... 19,979,714
922,700 ETHYL CORP .............................. 8,534,975
190,750 FERRO CORP .............................. 7,069,671
231,100 FOSTER WHEELER CORP ..................... 9,359,550
87,204 FULLER (H.B.) CO ........................ 4,796,220
213,500 GEON CO ................................. 4,323,375
389,800 GEORGIA GULF CORP ....................... 11,328,562
837,300 GRACE (W.R.) & CO ....................... 46,156,162
689,800 GREAT LAKES CHEMICAL CORP ............... 36,128,275
250,346 ICN PHARMACEUTICALS, INC ................ 7,181,800
2,252,120 IMC GLOBAL, INC ......................... 78,824,200
109,700 oINTERNATIONAL SPECIALTY
PRODUCTS, INC .......................... 1,542,656
663,000 KANEKA CORP ............................. 4,160,061
408,000 KANSAI PAINT CO LTD ..................... 1,690,052
55,000 KEMIRA OY ............................... 518,846
250,000 KONISHI CO LTD .......................... 5,112,315
430,300 KUREHA CHEMICAL INDUSTRY CO LTD ......... 1,861,393
357,190 LAWTER INTERNATIONAL, INC ............... 4,509,523
120,237 LEARONAL, INC ........................... 3,426,754
574,400 LUBRIZOL CORP ........................... 24,088,900
247,000 LYONDELL PETROCHEMICAL CO ............... 5,387,687
4,046,750 +MALLINCKRODT, INC ....................... 153,776,500
76,450 oMCWHORTER TECHNOLOGIES, INC ............. 1,825,243
305,000 oMETHANEX CORP ........................... 2,829,806
1,845,500 MORTON INTERNATIONAL, INC ............... 55,711,031
499,400 oMYCOGEN CORP ............................ 9,800,725
343,500 NALCO CHEMICAL CORP ..................... 13,267,687
21,100 NCH CORP ................................ 1,318,750
2,377 NORIT NV ................................ 40,277
354,200 NOVA CORP ............................... 3,029,545
305,000 NOVA CORP (U.S.) ........................ 2,592,500
111,900 PENWEST LTD ............................. 3,776,625
117,800 PETROLITE CORP .......................... 7,288,875
60,000 POTASH CORP OF SASKATCHEWAN, INC ........ 4,520,876
233,676 POTASH CORP OF SASKATCHEWAN, INC (U.S.) . 17,540,304
5,914,500 oPT ETERINDO WAHANATAMA (FR) ............. 4,922,490
497,100 RAYCHEM CORP ............................ 36,971,812
505,306 RPM, INC ................................ 9,284,997
See notes to financial statements.
-19-
<PAGE>
SHARES VALUE
------ -----
CHEMICALS--SPECIALTY--(CONTINUED)
329,677 SCHULMAN (A.), INC ...................... $ 8,118,296
491,600 oSEALED AIR CORP ......................... 23,351,000
518,920 SEKISUI CHEMICAL CO LTD ................. 5,260,416
442,663 SHIN-ETSU CHEMICAL CO LTD ............... 11,760,033
499,100 SIGMA ALDRICH CORP ...................... 17,499,693
315,000 oSKW TROSTBERG AG ........................ 10,647,018
243,700 THIOKOL CORP ............................ 17,059,000
398,000 oTOSOH CORP .............................. 1,349,511
297,895 TREDEGAR INDUSTRIES, INC ................ 16,533,172
123,300 WD-40 CO ................................ 7,398,000
325,900 WELLMAN, INC ............................ 5,662,512
438,000 WITCO CORP .............................. 16,616,625
380,052 ZERO CORP ............................... 9,976,365
-----------
904,420,578
------------
COMMUNICATION EQUIPMENT &
SERVICES--2.50%
788,873 o360 COMMUNICATIONS CO ................... 13,509,450
4,868,099 o3COM CORP ............................... 219,064,455
108,550 oACC CORP ................................ 3,351,481
121,000 AIPHONE CO LTD .......................... 2,114,838
6,167,415 oAIRTOUCH COMMUNICATIONS, INC ............ 168,832,985
325,000 ALLGON AB SERIES B FREE ................. 5,148,791
13,125 ~AMERICAN SATELLITE NETWORK WTS 06/30/99 . 0
447,900 oAMTECH CORP ............................. 2,099,531
793,618 oANDREW CORP ............................. 22,320,506
123,100 oANTEC CORP .............................. 1,446,425
79,900 oAPAC TELESERVICES, INC .................. 1,553,056
248,700 oARCH COMMUNICATIONS GROUP, INC .......... 1,896,337
2,997,600 oASCEND COMMUNICATIONS, INC .............. 118,030,500
760,000 oASaIA SATELLITE TELECOM HOLDINGS LTD .... 2,329,839
226,600 oAVID TECHNOLOGIES, INC .................. 5,976,575
254,650 oAYDIN CORP .............................. 3,183,125
805,393 oBRINKER INTERNATIONAL, INC .............. 11,476,850
54,500 oBROADBAND TECHNOLOGIES, INC ............. 442,812
263,800 oCABLE DESIGN TECHNOLOGIES CO ............ 7,765,612
921,400 oCABLETRON SYSTEMS, INC .................. 26,087,137
311,300 oCALIFORNIA MICROWAVE, INC ............... 4,358,200
594,500 oCASCADE COMMUNICATIONS CORP ............. 16,423,062
840,200 oCELLNET DATA SYSTEMS, INC ............... 10,449,987
58,500 oCELLSTAR CORP ........................... 1,791,562
37,701 oCELLULAR COMMUNICATIONS
INTERNATIONAL, INC ..................... 1,262,983
504,700 CENTURY TELEPHONE ENTERPRISES, INC 17,002,081
366 oCHYRON CORP ............................. 1,647
50,300 oCIDCO, INC .............................. 691,625
6,168,000 oCISCO SYSTEMS, INC ...................... 414,027,000
200,000 oCOLT TELECOM GROUP PLC ADR .............. 4,150,000
324,400 COMSAT CORP SERIES 1 .................... 7,724,775
1,463,364 CORNING, INC ............................ 81,399,622
332,300 oDIGI INTERNATIONAL, INC ................. 3,364,537
201,600 oDIGITAL MICROWAVE CORP .................. 6,048,000
752,288 oDSC COMMUNICATIONS CORP ................. 16,738,408
366,000 oDSP COMMUNICATIONS, INC ................. 4,026,000
170,500 oDYNATECH CORP ........................... 6,095,375
1,843,350 ERICSSON TELEFON (LM) AB SERIES B ....... 72,590,693
430,000 ERICSSON TELEFON (LM) AB SERIES B ADR ... 16,931,250
475,000 oESPRIT TELECOM GROUP PLC-ADR ............ 3,800,000
319,200 oGENERAL DATACOMM INDUSTRIES, INC ........ 2,274,300
787,700 oGEOTEK COMMUNICATIONS, INC .............. 4,283,118
440,575 HARRIS CORP ............................. 37,008,300
16,800 oHEFTEL BROADCASTING CORP (CLASS A) ...... 928,200
11,200 oHIGHWAYMASTER COMMUNICATIONS, INC ....... 170,800
537,100 oICG COMMUNICATIONS, INC ................. 10,339,175
96,900 oINTERDIGITAL COMMUNICATIONS CORP ........ 532,950
61,200 oINTERMEDIA COMMUNICATIONS, INC .......... 1,981,350
103,600 oINTERNATIONAL FAMILY
ENTERTAINMENT, INC ..................... 3,561,250
80,300 oJACOR COMMUNICATIONS, INC ............... 3,071,475
1,172,000 oLCI INTERNATIONAL, INC .................. 25,637,500
34,900 oLEVEL ONE COMMUNICATIONS, INC ........... 1,341,468
45,801 LG INFORMATION & COMMUNICATIONS ......... 5,672,911
284,300 oLORAL SPACE & COMMUNICATIONS LTD ........ 4,264,500
7,256,118 LUCENT TECHNOLOGIES, INC ................ 522,894,003
250,000 FILMES LUSOMUNDO (NON-VTG) .............. 2,090,707
305,400 oMACROMEDIA, INC ......................... 2,634,075
148,450 oMASTEC, INC ............................. 7,023,540
76,424 oMILLICOM INTERNATIONAL CELLULAR S.A ..... 3,649,246
4,800 oMITEL CORP .............................. 25,200
9,500 oNETCOM ON-LINE COMMUNICATIONS
SERVICE, INC ........................... 140,125
195,800 oNETWORK EQUIPMENT
TECHNOLOGIES, INC ...................... 3,524,400
207,800 oNEWBRIDGE NETWORKS CORP ................. 8,916,906
169,300 NOKIA AB SERIES A ADR ................... 12,485,875
288,000 NOKIA AB SERIES K ....................... 21,457,732
130,700 NORTHERN TELECOMMUNICATIONS LTD ......... 11,790,098
212,409 NORTHERN TELECOMMUNICATIONS
LTD (U.S.) ............................. 19,329,219
1,917,000 oNOVELL, INC ............................. 13,299,187
355,022 oNTL, INC ................................ 8,831,172
445,320 oOCTEL COMMUNICATIONS CORP ............... 10,437,187
1,124,400 oOMNIPOINT CORP .......................... 18,693,150
393,900 OY NOKIA AB SERIES A .................... 29,416,169
216,300 oP-COM, INC .............................. 7,137,900
745,000 oPAGING NETWORK, INC ..................... 6,542,031
787,000 oPAIRGAIN TECHNOLOGIES, INC .............. 12,198,500
272,842 oPANAMSAT CORP ........................... 7,912,418
494,300 oPICTURETEL CORP ......................... 4,695,850
69,800 PLESSEY CORP LTD ........................ 133,890
292,700 oPMT SERVICES, INC ....................... 4,463,675
72,100 oPREMIERE TECHNOLOGIES INC ............... 1,874,600
113,900 oPREMISYS COMMUNICATIONS, INC ............ 1,793,925
100,000 PT TELEKOMUNIKASI INDONESIA SP ADR ...... 3,250,000
369,900 oQUALCOMM, INC ........................... 18,818,662
47,935 SAMSUNG ELECTRONICS CO .................. 3,805,224
785,900 SCIENTIFIC-ATLANTA, INC ................. 17,191,562
89,000 SIRTI S.P.A ............................. 513,115
232,400 oSITEL CORP .............................. 4,793,250
144,200 SK TELECOM CO LTD ADR ................... 1,451,012
529,400 oTECH DATA CORP .......................... 16,643,012
246,800 oTEL-SAVE HOLDINGS, INC .................. 3,763,700
230,600 oTELCO SYSTEMS, INC ...................... 2,046,575
84,300 oTELE-COMMUNICATIONS INT'L (CLASS A) ..... 1,301,381
41,700 TELECOM ARGENTINA S.A. B ................ 217,695
1,528,200 oTELLABS, INC ............................ 85,388,175
306,100 oTSENG LABORATORIES, INC ................. 937,431
237,000 oVANGUARD CELLULAR SYSTEMS, INC .......... 3,229,125
750,300 oVIATEL, INC ............................. 5,064,525
130,456 oVTEL CORP ............................... 782,736
20,800 oWESTELL TECHNOLOGIES, INC (CLASS A) ..... 520,000
278,400 oWINSTAR COMMUNICATIONS, INC ............. 3,723,600
-------------
2,323,405,969
-------------
See notes to financial statements.
-20-
<PAGE>
SHARES VALUE
------ -----
COMPUTER SERVICE--3.04%
37,800 o3DO CO .................................. $ 132,300
18,500 oACTEL CORP .............................. 315,656
475,000 oACXIOM CORP ............................. 9,737,500
1,373,200 oADAPTEC, INC ............................ 47,718,700
1,283,000 oADC TELECOMMUNICATIONS, INC ............. 42,820,125
553,244 ADOBE SYSTEMS, INC ...................... 19,398,117
616,425 oAMERICAN MANAGEMENT SYSTEMS, INC ........ 16,489,368
238,000 oAMERICAN SOFTWARE, INC (CLASS A) ........ 1,788,719
168,200 oAUSPEX SYSTEMS, INC ..................... 1,618,925
2,744,000 AUTOMATIC DATA PROCESSING, INC .......... 128,968,000
102,100 oAVANT CORP .............................. 3,299,106
200,000 oBAAN CO NV .............................. 13,576,267
117,300 oBANCTEC, INC ............................ 3,042,468
137,900 oBANYAN SYSTEMS, INC ..................... 310,275
1,055,638 oBAY NETWORKS, INC ....................... 28,040,384
155,100 oBDM INTERNATIONAL, INC .................. 3,567,300
61,100 oBELL & HOWELL CO ........................ 1,882,643
251,000 oBISYS GROUP, INC ........................ 10,479,250
890,400 oBMC SOFTWARE, INC ....................... 49,305,900
220,637 oBORLAND INTERNATIONAL, INC .............. 1,530,669
162,300 oBOSTON TECHNOLOGY, INC .................. 4,797,993
100,200 oBRODERBUND SOFTWARE, INC ................ 2,473,687
185,500 oC-CUBE MICROSYSTEMS, INC ................ 3,257,843
839,937 oCADENCE DESIGN SYSTEMS, INC ............. 28,137,889
266,800 oCAMBRIDGE TECHNOLOGY
PARTNERS, INC .......................... 8,537,600
52,100 oCDW COMPUTER CENTERS, INC ............... 2,764,556
685,026 oCERIDIAN CORP ........................... 28,942,348
285,200 oCHECKFREE CORP .......................... 5,026,650
235,300 oCITRIX SYSTEMS, INC ..................... 10,323,787
113,100 oCLARIFY INC ............................. 1,279,443
1,020,200 oCOMPUSA, INC ............................ 21,934,300
3,916,639 COMPUTER ASSOCIATES
INTERNATIONAL, INC ..................... 218,107,834
754,434 oCOMPUTER SCIENCES CORP .................. 54,413,552
22,800 COMPUTER TASK GROUP, INC ................ 849,300
685,300 oCOMPUWARE CORP .......................... 32,723,075
6,500 oCSG SYSTEMS INTERNATIONAL, INC .......... 200,687
120,600 CSK CORP ................................ 4,574,027
188,300 oCYRIX CORP .............................. 4,024,912
50,000 oDASSAULT SYSTEMS S.A .................... 3,551,359
25,000 oDECISIONONE CORP ........................ 568,750
163,300 oDIAMOND MULTIMEDIA SYSTEMS, INC ......... 1,173,718
15,400 oDOCUMENTUM, INC ......................... 383,075
87,100 oDST SYSTEMS, INC ........................ 2,901,518
280,800 oELECTRONIC ARTS, INC .................... 9,441,900
2,241,844 ELECTRONIC DATA SYSTEMS CORP ............ 91,915,604
1,996,200 oEMC CORP ................................ 77,851,800
163,900 oEMPLOYEE SOLUTIONS, INC ................. 911,693
137,300 oEXABYTE CORP ............................ 1,759,156
2,652,968 FIRST DATA CORP ......................... 116,564,781
494,475 oFISERV, INC ............................. 22,065,946
133,600 oFORTE SOFTWARE, INC ..................... 1,795,250
201,000 oFRONTEC AB SERIES B ..................... 1,689,644
133,500 oFTP SOFTWARE, INC ....................... 650,812
66,754 oGROUP AXIME S.A ......................... 7,902,248
232,000 oGT INTERACTIVE SOFTWARE CORP ............ 2,755,000
91,600 oHARBINGER CORP .......................... 2,564,800
882,428 HBO & CO ................................ 60,777,228
158,900 oHMT TECHNOLOGY CORP ..................... 2,055,768
196,200 oHNC SOFTWARE ............................ 7,480,125
26,000 oHYPERION SOFTWARE CORP .................. 581,750
430,110 oIMATION CORP ............................ 11,344,151
550,000 oINDUSTRIAL & FINANCIAL .................. 2,685,131
3,000 INES CORP ............................... 53,482
1,290,700 oINFORMIX CORP ........................... 11,616,300
16,175 oINTEGRATED SYSTEMS CONSULTING
GROUP .................................. 175,903
152,900 oINTEGRATED SYSTEMS, INC ................. 1,796,575
213,165 oINTERGRAPH CORP ......................... 1,811,902
500 oINTERSOLV, INC .......................... 4,687
194,700 oINTUIT, INC ............................. 4,465,931
96,100 oJTS CORP ................................ 66,068
136,600 oKEANE, INC .............................. 7,103,200
385,900 oLEARNING CO, INC ........................ 3,617,812
11,200 oLEARNING TREE INTERNATIONAL, INC ........ 497,000
101,800 oLEGATO SYSTEMS, INC ..................... 1,883,300
350,000 LOXLEY PUBLIC CO LTD (FR) ............... 621,508
284,100 oMARCAM CORP ............................. 4,119,450
219,200 oMEDIC COMPUTER SYSTEMS, INC ............. 4,877,200
428,200 oMENTOR GRAPHICS CORP .................... 3,960,850
70,000 oMICRO FOCUS GROUP PLC ................... 2,111,580
351,375 oMICROCHIP TECHNOLOGY, INC ............... 10,453,406
230,200 oMICRON ELECTRONICS, INC ................. 4,100,437
6,683,500 oMICROSOFT CORP .......................... 844,627,312
245,450 NATIONAL COMPUTER SYSTEMS, INC .......... 6,535,106
213,442 NATIONAL DATA CORP ...................... 9,244,706
888,437 oNCR CORP ................................ 26,431,000
376,600 oNETMANAGE, INC .......................... 1,106,262
242,100 oNETSCAPE COMMUNICATIONS CORP ............ 7,762,331
143,400 oNETWORK APPLIANCE, INC .................. 5,449,200
626,600 oNETWORK GENERAL CORP .................... 9,320,675
72,500 NIDEC CORP .............................. 3,548,034
252 NTT DATA COMMUNICATIONS
SYSTEM CORP ............................ 9,755,870
101,300 oOBJECTIVE SYSTEMS INTEGRATORS, INC ...... 873,712
5,006,225 oORACLE CORP ............................. 252,188,584
1,226,300 oPARAMETRIC TECHNOLOGY CORP .............. 52,194,393
570,300 oPEOPLESOFT, INC ......................... 30,083,325
191,400 oPHYSICIAN COMPUTER NETWORK, INC ......... 1,291,950
107,100 oPIXAR INC ............................... 1,686,825
701,700 oPLATINUM TECHNOLOGY, INC ................ 9,297,525
119,000 oPOLICY MANAGEMENT SYSTEMS CORP .......... 5,593,000
101,300 oPROGRESS SOFTWARE CORP .................. 1,620,800
79,200 oPSINET, INC ............................. 594,000
95,100 oQLOGIC CORP ............................. 2,425,050
372,900 oRATIONAL SOFTWARE CORP .................. 6,269,381
460,600 oREAD RITE CORP .......................... 9,615,025
1,176,600 REYNOLDS & REYNOLDS CO (CLASS A) ........ 18,531,450
281,700 oSAFEGUARD SCIENTIFICS, INC .............. 8,961,581
3,000 oSAPIENT CORP ............................ 148,500
161,000 oSCOPUS TECHNOLOGY, INC .................. 3,602,375
344,200 oSECURITY DYNAMICS TECHNOLOGIES, INC ..... 12,692,375
497,300 SEI INVESTMENT COMPANY .................. 11,997,362
269,600 SHARED MEDICAL SYSTEMS CORP ............. 14,558,400
182,000 oSHIVA CORP .............................. 1,899,625
237,720 oSILICONWARE PRECISION
INDUSTRIES GDR ......................... 4,041,240
88,536 oSOFTWARE PUBLISHING CORP
HOLDINGS, INC .......................... 182,605
427,633 oSTERLING COMMERCE, INC .................. 14,058,434
190,134 oSTERLING SOFTWARE, INC .................. 5,941,687
242,800 oSTRUCTURAL DYNAMICS RESEARCH CORP ....... 6,373,500
452,700 oSYBASE, INC ............................. 6,733,912
412,600 oSYMANTEC CORP ........................... 8,045,700
415,988 oSYNOPSYS, INC ........................... 15,287,559
284,062 oSYSTEM SOFTWARE ASSOCIATES, INC ......... 2,165,972
211,300 oSYSTEMS & COMPUTER
TECHNOLOGY CORP ........................ 5,652,275
See notes to financial statements.
-21-
<PAGE>
SHARES VALUE
------ -----
COMPUTER SERVICE--(CONTINUED)
163,000 oSYSTEMSOFT CORP ......................... $ 1,752,250
201,600 oTECHNOLOGY SOLUTIONS CO ................. 7,963,200
203,600 TELXON CORP ............................. 3,664,800
114,600 TKC CORP ................................ 2,874,274
284,600 oTRANSACTION SYSTEM ARCHITECTURE ......... 9,818,700
185,900 oVANSTAR CORP ............................ 2,625,837
118,400 oVANTIVE CORP ............................ 3,344,800
6,000,000 VENTURE MANUFACTURING LTD ............... 19,555,196
113,950 oVERITAS SOFTWARE CORP ................... 5,725,987
184,300 oVIASOFT INC ............................. 9,353,225
63,000 oVIDEOSERVER, INC ........................ 834,750
103,800 oVISIO CORP .............................. 7,317,900
52,800 oXIRCOM, INC ............................. 656,700
23,800 oYAHOO INC ............................... 838,950
57,400 oZEBRA TECHNOLOGY CORP ................... 1,600,025
-------------
2,827,414,165
-------------
CONGLOMERATES--2.45%
2,700 ACKERMANS & VAN HAAREN .................. 615,846
19,340 oAGIV AG ................................. 441,159
375,000 ALEXANDER & BALDWIN, INC ................ 9,796,875
4,668,904 ALLIED SIGNAL, INC ...................... 392,187,936
429,908 AMERICAN FINANCIAL GROUP, INC ........... 18,244,220
24,460 ANGLO AMERICAN INDUSTRIAL CORP .......... 1,073,209
20,600 ANGLOVAAL HOLDINGS LTD .................. 565,472
79,000 oANGLOVAAL INDUSTRIES LTD ................ 289,141
278,500 oANIXTER INTERNATIONAL, INC .............. 4,786,718
3,400,000 oANTAH HOLDINGS BERHAD ................... 4,364,506
25,900 APARTMENT INVESTMENT &
MANAGEMENT CO ........................... 731,675
3,160 oARTEMIS S.A ............................. 78,053
62,300 BARLOW LTD .............................. 677,876
30 oBERKSHIRE HATHAWAY, INC (CLASS A) ....... 1,416,000
276,600 oBLYTH INDUSTRIES, INC ................... 9,335,250
615,900 BRADY (W.H.) CO (CLASS A) ............... 17,861,100
109,500 BRASCAN LTD (CLASS A) ................... 2,710,514
10,609,198 BRIERLEY INVESTMENTS LTD ................ 10,354,916
5,293,437 BRIERLEY INVESTMENTS LTD
(AUSTRALIA) ............................. 5,115,937
1,658,823 BTR PLC ................................. 5,673,401
53,553 oBTR PLC WTS 11/30/97 .................... 2,451
42,115 oBTR PLC WTS 11/26/98 .................... 1,752
1,848 oBUMI ARMADA BERHAD ...................... 4,539
78,500 CALI REALTY CORP ........................ 2,669,000
2,011,148 CHARTER PLC ............................. 26,743,757
2,194,400 oCOLTEC INDUSTRIES, INC .................. 42,790,800
679,637 oCONCORD EFS, INC ........................ 17,585,607
361,000 oCOPYTELE, INC ........................... 1,962,937
5,000 CORPORACION FINANCIERE ALBA S.A ......... 635,366
442,266 CRANE CO ................................ 18,492,247
33,900 CURTISS WRIGHT CORP ..................... 1,974,675
111,400 DE BEERS CENTENARY AG. (UNITS) .......... 4,114,102
61,000 DESC SOCIEDAD DE FOMENTO
INDUSTRIAL S.A. DE CV SERIES B ......... 446,313
2,356 DESC S.A. DE CV SERIES C ................ 17,622
312,000 oEMPAQUES PONDEROSA S.A. SERIES B ........ 257,303
8,800 oEST ASIATIQUE ........................... 208,364
70,000 oFABER GROUP BERHAD ...................... 63,787
85,000 GENCOR LTD .............................. 391,688
19,100 GENTING INTERNATIONAL PLC ............... 56,345
41,674 GEVAERT PHOTO-PRODUCTION NV ............. 3,918,109
42,360 GRANDE HOLDINGS LTD ..................... 19,683
385 oGROUPE BRUX LAMBERT NPV STRIP VVPR ...... 64
34,835 GROUPE BRUXELLES LAMBERT S.A ............ 5,842,891
1,155 oGROUPE BRUXELLES LAMBERT S.A
NPV (VVPR) WTS 12/20/98 ................ 50,440
298,000 GRUPO CARSO S.A. DE CV SERIES A ......... 2,079,200
176,551 GRUPO INDUSTRIAL ALFA S.A. SERIES A ..... 1,202,974
266,899 oHANSON PLC .............................. 1,325,937
75,272 oHANSON PLC WTS 09/30/97 ................. 313
310,783 HARRISON & CROSSFIELD PLC ............... 574,132
8,500,500 HUTCHINSON WHAMPOA LTD .................. 73,513,675
10,000 oIFIL FINANZIARIA DI PARTECIPAZIONI ...... 34,456
110,000 INDUSTRIAS PENOLES S.A .................. 524,105
942,436 ITT INDUSTRIES, INC ..................... 24,267,727
55,361 JARDINE MATHESON HOLDINGS LTD ........... 393,063
162,300 JOHNS MANVILLE CORP ..................... 1,917,168
1,048,828 JOHNSON CONTROLS, INC ................... 43,067,499
1,030,000 oKEPPEL CORP ............................. 4,574,419
257,500 oKEPPEL CORP (CLASS A) ................... 1,116,590
55,500 KEYSTONE FINANCIAL, INC ................. 1,734,375
20,414 oLAGARDERE S.C.A ......................... 593,540
168,000 LAND & GENERAL BERHAD ................... 193,027
31,500 oLION LAND BERHAD ........................ 29,203
449,288 oLITTON INDUSTRIES, INC .................. 21,706,226
482,200 LOEWS CORP .............................. 48,280,275
317,897 LONRHO PLC .............................. 674,571
540,000 MALAYAN UNITED INDUSTRIES BERHAD ........ 393,661
700,000 MALAYSIA MINING CORP BERHAD ............. 765,452
792,544 MARK IV INDUSTRIES, INC ................. 19,021,056
8,927 MELCO INTERNATIONAL
DEVELOPMENT LTD ........................ 2,909
377,600 oMETROMEDIA INTERNATIONAL GROUP,INC ...... 4,767,200
819 MILLENNIUM CHEMICAL, INC ................ 18,632
3,985,400 MINNESOTA MINING &
MANUFACTURING CO ....................... 406,510,800
307,000 oMULTI-PURPOSE HOLDINGS BERHAD ........... 430,578
116,418 MURRAY & ROBERTS HOLDINGS LTD ........... 273,366
3,000 NOMA INDUSTRIES LTD (CLASS A) ........... 10,546
2,820,812 PACIFIC DUNLOP LTD ...................... 8,284,341
534,324 NOBLEZA-PICCARDO SDAD INDUSTRIAL
COMERCIAL Y FINANCIERA ................. 4,291,050
123,800 POWER CORP OF CANADA .................... 3,042,056
272,064 PREMIER GROUP HOLDINGS LTD .............. 395,904
86,700 QUEBECOR, INC (CLASS B) ................. 1,608,814
2,709,742 ROCKWELL INTERNATIONAL CORP ............. 159,874,778
1,151,400 SIME DARBY BERHAD ....................... 3,831,922
106,000 oSOCIEDAD COMERCIAL DEL PLATA S.A ........ 345,594
32,360,000 +SOUTH CHINA HOLDINGS LTD ................ 8,353,863
52,046,000 +SOUTH CHINA INDUSTRIES LTD .............. 6,382,044
1,057,272 SOUTHCORP HOLDINGS LTD .................. 3,928,856
289,600 STANDEX INTERNATIONAL CORP .............. 8,688,000
13,200 SUPERFOS AS ............................. 324,491
4,876,000 SWIRE PACIFIC LTD (CLASS A) ............. 43,899,216
1,006,800 TEXTRON, INC ............................ 66,826,350
25,099 TONGAAT HULETT GROUP LTD ................ 444,095
1,429,700 TRW, INC ................................ 81,224,831
4,182,342 TYCO INTERNATIONAL LTD .................. 290,934,165
405,613 oU.S. INDUSTRIES, INC .................... 14,449,962
1,080,000 UNITED INDUSTRIAL CORP .................. 815,778
27,000 oUNITED INDUSTRIAL CORP WTS 07/05/99 ..... 7,175
3,045,950 UNITED TECHNOLOGIES CORP ................ 252,813,850
818,300 VIAD CORP ............................... 15,752,275
1,240,446 WHITMAN CORP ............................ 29,770,704
318,118 WILLIAMS PLC ............................ 1,710,103
210,000 oYTL CORP BERHAD ......................... 648,970
113,800 ZEIGLER COAL HOLDING CO ................. 2,660,075
-------------
2,285,875,583
-------------
See notes to financial statements.
-22-
<PAGE>
SHARES VALUE
------ -----
CONSTRUCTION--MATERIALS &
BUILDERS--0.98%
900,000 oACP INDUSTRIES BERHAD ................... $ 3,565,773
385,000 ACP INDUSTRIES BERHAD WTS 10/24/01 ...... 0
962,731 ADELAIDE BRIGHTON HOLDINGS LTD .......... 1,543,535
3,573 AKER RGI ASA ............................ 62,471
9,900 ALPHA LTD NPV ........................... 170,802
155,000 AMEC PLC ................................ 388,239
8,000 oAMLI RESIDENTIAL PROPERTIES TRUST ....... 189,000
807,550 oAOKI CONSTRUCTION CO LTD ................ 952,719
104,200 APASCO S.A .............................. 746,671
243,800 ARMSTRONG WORLD INDUSTRIES, INC ......... 17,888,825
20,000 oASANO SLATE CO LTD ...................... 48,938
192,700 oATKINSON (G.F.) CO OF CALIFORNIA ........ 1,345,890
153,400 oAVATAR HOLDINGS, INC .................... 5,138,900
99,750 BARRATT DEVELOPMENTS LTD ................ 408,394
16,600 oBILFINGER & BERGER AG ................... 676,345
3,007,034 BLUE CIRCLE INDUSTRIES PLC .............. 21,419,716
3,100,420 BORAL LTD ............................... 9,686,220
5,619 oBOUYGUES S.A ............................ 462,747
209,500 oBPB PLC ................................. 1,131,436
60,100 BUTLER MANUFACTURING CO ................. 1,990,812
375,300 CALMAT CO ............................... 8,068,950
123,228 CAMAS PLC ............................... 202,012
4,507,574 CARADON PLC ............................. 15,116,440
1,272,137 oCARADON PLC (LTD VOTING) (CLASS B) ...... 2,085,459
397,800 CARLISLE COS, INC ....................... 13,873,275
149,028 oCASTLE & COOKE, INC ..................... 2,468,276
42,900 CBR NV .................................. 3,937,911
250,300 oCDI CORP ................................ 10,434,381
208,062 oCEMEX S.A. (CLASS A) (REGD) ............. 897,168
98,750 oCEMEX S.A. (CLASS B) .................... 480,435
159,120 oCEMEX S.A. DE CV-CPO .................... 690,130
287,800 CENTEX CORP ............................. 11,691,875
425,800 oCHAMPION ENTERPRISES, INC ............... 6,387,000
1,049,000 CHICHIBU ONODA CEMENT CORP .............. 4,116,077
348,000 CHIYODA CORP ............................ 1,675,685
100,000 CIMENTOS DE PORTUGAL .................... 2,333,627
1,016,397 CLAYTON HOMES, INC ...................... 14,483,657
1,698 COLAS S.A ............................... 224,144
17,900 COMMERCIAL NET LEASE REALTY, INC ........ 274,093
40,416 oCORCEMAR S.A. ........................... 256,667
9,928 oCOSTAIN GROUP PLC ....................... 7,600
148,410 CRH PLC ................................. 1,549,917
82 CRISTALERIA ESPANOLA S.A ................ 7,080
2,557,250 CSR LTD ................................. 9,828,524
563,082 DAITO TRUST CONSTRUCTION CO LTD ......... 6,643,044
1,051,000 DAIWA HOUSE INDUSTRY CO LTD ............. 12,858,564
738 oDLW AG .................................. 92,408
1,000,000 oDMCI HOLDINGS, INC ...................... 329,843
26,586 DRAGADOS Y CONSTRUCCIONES S.A ........... 553,120
210,236 oDRAVO CORP .............................. 2,286,316
195,900 oEAGLE HARDWARE & GARDEN, INC ............ 4,481,212
47,700 EMPRESAS ICA SOCIEDAD
CONTROLADORA S.A ....................... 761,568
240,700 FASTENAL CO ............................. 11,794,300
247,400 FLEETWOOD ENTERPRISES, INC .............. 7,375,612
2,417,525 FLETCHER CHALLENGE LTD
(BUILDING DIVISION) .................... 7,258,991
214,500 FLORIDA ROCK INDUSTRIES, INC ............ 8,714,062
33,962 FOMENTO DE CONSTRUCCIONES Y
CONTRATAS S.A .......................... 4,338,754
360 FORBO HOLDINGS AG. (REGD) ............... 155,566
2,283,300 FUJITA CORP ............................. 3,990,751
385,100 oGENLYTE GROUP, INC ...................... 5,054,437
8,388 GLAVERBEL S.A ........................... 1,231,932
58 oGLAVERBEL STRIP NPV (VVPR) .............. 4
245,100 GRANITE CONSTRUCTION, INC ............... 4,840,725
780,000 oHASEKO CORP ............................. 1,247,404
1,867,600 HAZAMA-GUMI LTD ......................... 3,851,745
15,700 HEIDELBERGER ZEMENT AG .................. 1,486,571
103,430 HEPWORTH PLC ............................ 407,968
32,200 HOCHTIEF AG ............................. 1,441,294
7,281 HOLDERBANK FINANCIERE
GLARUS AG. (REGD) ...................... 5,902,528
1,244 HOLLANDSCHE BETON GROEP NV (H.B.G.) ..... 284,253
66,100 HORTON (D.R.), INC ...................... 685,787
101,000 HUME INDUSTRIES BERHAD .................. 464,184
4,141 IMETAL S.A .............................. 549,453
1,525,000 oIMPREGILO S.P.A ......................... 1,003,407
454,853 INAX CORP ............................... 3,410,515
65,000 oITALCEMENTI S.P.A ....................... 405,132
40,000 oITALCEMENTI S.P.A. (S/S) ................ 97,608
116,200 oJACOBS ENGINEERING GROUP, INC ........... 3,122,875
419,710 JAMES HARDIE INDUSTRIES LTD ............. 1,336,398
100,000 JAPAN FOUNDATION ENGINEERING CO ......... 1,092,375
13,800 JDN REALTY CORP ......................... 431,250
309,970 JGC CONSTRUCTION CORP ................... 2,139,973
117,700 JUSTIN INDUSTRIES, INC .................. 1,500,675
737,756 KAJIMA CORP ............................. 4,326,104
961,797 KANDENKO CO LTD ......................... 9,077,555
1,040,605 KAUFMAN & BROAD HOME CORP ............... 18,275,625
3,608,000 KEDAH CEMENT HOLDINGS BERHAD ............ 5,632,146
257,862 KINDEN CORP ............................. 3,650,598
26,000 KOMATSU CONSTRUCTION CO LTD ............. 72,254
2,669,279 KUMAGAI GUMI CO LTD ..................... 4,455,424
124,000 KUMAGAI GUMI (HK) LTD ................... 128,844
24,800 oKUMAGAI GUMI (HK) LTD WTS 06/30/98 ...... 6,882
123,000 KYUNDENKO CO., LTD ...................... 1,038,350
351,535 LAFARGE CORP ............................ 8,612,607
30,768 ~LAFARGE S.A. (REGD) ..................... 1,915,469
5,060 LAFARGE S.A. (SPANISH CERTS) ............ 318,227
45,218 LAING (JOHN) (CLASS A) .................. 281,458
1,337,072 LEIGHTON HOLDINGS LTD ................... 6,462,188
514,600 LENNAR CORP ............................. 16,435,037
525,000 MAEDA CORP .............................. 2,950,067
501,000 MAEDA ROAD CONSTRUCTION CO LTD .......... 4,312,565
937,500 MALAYAN CEMENT BERHAD ................... 1,567,454
22,500 MANUFACTURED HOME
COMMUNITIES, INC ....................... 518,906
140,749 MARLEY PLC .............................. 292,810
465,507 MARTIN MARIETTA MATERIALS, INC .......... 15,070,789
1,036,600 MASCO CORP .............................. 43,278,050
1,000 MATSUO BRIDGE CO LTD .................... 3,355
27,000 MCALPINE (ALFRED) PLC ................... 62,685
496,192 MEDUSA CORP ............................. 19,041,368
55,469 MEYER INTERNATIONAL PLC ................. 389,577
273,350 oMILLER INDUSTRIES, INC .................. 4,373,600
597,484 MISAWA HOMES CO LTD ..................... 3,654,988
17,039 oMORRISON KNUDSEN CORP WTS 03/11/03 ...... 106,493
2,001,136 oNEW WORLD INFRASTUCTURE LTD ............. 5,656,783
624,000 NIHON CEMENT CO LTD ..................... 2,988,318
300 NIPPON HODO CO LTD ...................... 2,598
568,000 NISHIMATSU CONSTRUCTION CO LTD .......... 3,971,001
502,000 OAKWOOD HOMES CORP ...................... 12,048,000
609,320 OBAYASHI CORP ........................... 4,084,158
875 OCP CONSTRUCCIONES S.A .................. 55,207
101,280 OHKI CONSTRUCTION CO LTD ................ 290,308
100,000 OILES CORP .............................. 3,215,952
See notes to financial statements.
-23-
<PAGE>
SHARES VALUE
------ -----
CONSTRUCTION--MATERIALS &
BUILDERS--(CONTINUED)
98,000 OKAMATO INDUSTRIES INC .................. $ 435,918
628,740 OKUMURA CORP ............................ 3,335,197
546,600 OWENS CORNING CO ........................ 23,572,125
1,050,000 PENTA OCEAN CONSTRUCTION CO LTD ......... 3,395,101
401,160 PILKINGTON PLC .......................... 914,681
2,266,600 PIONEER INTERNATIONAL LTD ............... 8,694,460
62,700 PITTWAY CORP ............................ 3,135,000
252,119 PITTWAY CORP (CLASS A) .................. 12,542,920
327,400 PLY-GEM INDUSTRIES, INC ................. 5,934,125
330,000 oPORTLAND HOLDINGS LTD ................... 564,227
18,088 PORTLAND VALDERRIVAS S.A ................ 1,480,682
3,098,000 PT SEMEN CIBINONG (FR) .................. 8,117,147
880,000 oPT SEMEN GRESIK (FR) .................... 1,971,156
316,048 PULTE CORP .............................. 10,923,409
223,121 REDLAND PLC ............................. 1,264,413
104,720 REPUBLIC GROUP, INC ..................... 2,107,490
97,000 RMC GROUP PLC ........................... 1,574,818
244,696 RUGBY GROUP PLC ......................... 492,769
331,000 RYLAND GROUP, INC ....................... 4,675,375
182,100 SALIENT 3 COMMUNICATIONS (CLASS A) ...... 2,185,200
525,550 SANKYO ALUMINIUM INDUSTRY CO LTD ........ 1,699,329
95,000 SANWA SHUTTER CORP ...................... 863,413
79,000 oSATO KOGYO .............................. 165,691
36,900 EUROC INDUSTRIA AB SERIES A ............. 1,465,043
141,785 oSCHNEIDER S.A ........................... 7,554,150
19,000 SECURITY CAPITAL CORP ................... 1,795,500
1,503,850 SEKISUI HOUSE LTD ....................... 15,244,888
190,000 SEMAPA SOC INV E GESTAO - SGPS .......... 4,680,340
1,132,800 SHERWIN-WILLIAMS CO ..................... 34,975,200
711,000 SHIMIZU CORP ............................ 4,268,625
59,000 oSHOKUSAN JUTAKO SAGO .................... 84,042
601,160 SIMON DEBARTOLO GROUP, INC .............. 19,237,120
172,200 SKANSKA AB SERIES B FREE ................ 7,616,318
154,800 SKYLINE CORP ............................ 3,811,950
295,500 oSOLA INTERNATIONAL, INC ................. 9,899,250
135,836 ST. GOBAIN S.A .......................... 19,828,246
23,100 STANDARD-PACIFIC CORP ................... 236,775
71,300 STARRETT (L.S.) CO (CLASS A) ............ 2,272,687
34,000 STARRETT (L.S.) CO (CLASS B) ............ 1,083,750
119,300 STONE & WEBSTER, INC .................... 5,092,618
900 oSTRABAG BAU AG .......................... 83,409
242,495 SUMITOMO FORESTRY CO LTD ................ 2,670,146
2,184,000 SUMITOMO OSAKA CEMENT CO LTD ............ 6,870,951
1,036,200 SUNGEI WAY HOLDINGS BERHAD .............. 1,954,167
3,000,000 oSUNWAY CITY BHD GROUP ................... 3,969,893
34,000 SUZUNUI INDUSTRY CO LTD ................. 116,176
3,679,000 TAISEI CORP ............................. 17,072,064
750 TAKASHIMA & CO LTD ...................... 2,687
10,153,109 TARMAC PLC .............................. 21,122,274
9,671,750 TAYLOR WOODROW PLC ...................... 28,491,147
245,388 TEXAS INDUSTRIES, INC ................... 6,518,118
265,500 oTIME ENGINEERING BERHAD ................. 401,826
76,000 TOA CORP ................................ 342,708
72,000 oTOMOE ENGINEERING CO LTD ................ 704,712
366,000 TOSTEM CORP ............................. 10,139,162
299,369 TOTO LTD ................................ 3,688,821
270,000 TOYO ENGINEERING CO ..................... 1,217,517
108,000 TOYO EXTERIOR CORP ...................... 1,481,784
12,450 UNILAND CEMENTERA S.A ................... 724,583
266,100 oUNITED ENGINEERING BERHAD ............... 1,918,789
200,000 oURALITA S.A ............................. 2,236,871
294,600 oUSG CORP ................................ 10,752,900
305,700 VULCAN MATERIALS CO ..................... 23,997,450
509,100 WEBB (DELAWARE) CORP .................... 8,272,875
2,340 WIENERBERGER BAUSTOFF AG ................ 480,746
801,100 WILSON (CONNOLLY) HOLDINGS PLC .......... 2,139,899
3,976,000 WIMPEY (GEORGE) LTD ..................... 8,933,296
227,035 WOLSELEY PLC ............................ 1,770,247
-------------
908,420,586
-------------
CONTAINERS--0.13%
212,204 oALLTRISTA CORP .......................... 5,809,084
258,660 BALL CORP ............................... 7,775,966
97,300 CCL INDUSTRIES, INC (CLASS B) ........... 1,202,497
216,600 CLARCOR, INC ............................ 5,360,850
922,983 CROWN CORK & SEAL CO, INC ............... 49,321,904
35,000 FP CORP ................................. 1,061,351
275,400 oGAYLORD CONTAINER CO .................... 2,117,137
1,117,600 oOWENS ILLINOIS, INC ..................... 34,645,600
440,500 PLM AB .................................. 7,605,241
271,000 SHIBUYA KOGYO ........................... 3,528,720
184,200 WEST CO, INC ............................ 5,272,725
-------------
123,701,075
-------------
COSMETICS--0.83%
39,000 ALBERTO CULVER CO (CLASS A) ............. 909,187
414,100 ALBERTO CULVER CO (CLASS B) ............. 11,594,800
2,043,532 AVON PRODUCTS, INC ...................... 144,196,726
35,600 oBEIERSDORF AG ........................... 1,838,631
248,400 CARTER WALLACE, INC ..................... 4,440,150
82,500 CARTER WALLACE, INC (CLASS B) ........... 1,474,687
33,402 oCLARINS S.A ............................. 4,449,055
5,603,372 GILLETTE CO ............................. 530,919,497
608,100 INTERNATIONAL FLAVORS &
FRAGRANCES, INC ......................... 30,709,050
166,900 oJAN BELL MARKETING, INC ................. 406,818
87,000 LAUDER (ESTEE) CO (CLASS A) ............. 4,371,750
27,698 oLOREAL S.A .............................. 11,681,205
245,900 OPTICAL COATING LABORATORIES, INC ....... 3,319,650
3,000,000 oSASA INTERNATIONAL HOLDINGS LTD ......... 977,758
845,334 SHISEIDO & CO LTD ....................... 13,962,136
3,098 ~oWINDMERE CORP WTS 1/19/98 ............... 27,494
389,300 WINDMERE-DURABLE HOLDING, INC ........... 6,374,787
-------------
771,653,381
-------------
ELECTRICAL EQUIPMENT--3.97%
9,358,230 ABB AB SERIES A ......................... 131,313,476
2,104,400 ABB AB SERIES B ......................... 29,392,591
4,391 ABB AG (REGD) ........................... 1,295,102
59,206 ABB ASEA BROWN BOVERI LTD (BR) .......... 89,749,118
150,501 ADVANTEST CORP .......................... 11,574,008
148,640 ALCATEL ALSTHOM CIE GEN ................. 18,633,829
29,000 ALVIS PLC ............................... 57,193
108,000 ~oAMCOL HOLDINGS LTD (SINGAPORE) .......... 197,901
793,800 oAMERICAN POWER CONVERSION CORP .......... 15,082,200
301,700 AMETEK, INC ............................. 7,089,950
285,000 ANRITSU CORP ............................ 4,283,857
360,300 BELDEN, INC ............................. 12,272,718
174,135 BICC LTD ................................ 511,519
1,327 CATENA CORP ............................. 8,871
525,000 DAIWA INDUSTRIES LTD .................... 4,909,133
65,674 DELTA PLC ............................... 302,217
3,109,670 EMERSON ELECTRIC CO ..................... 171,226,204
330 FUJITSU BUSINESS SYSTEMS LTD ............ 9,257
275,000 FUJITSU DENSO ........................... 8,459,352
3,142,424 FUJITSU LTD ............................. 43,664,012
33,729,544 GENERAL ELECTRIC CO ..................... 2,205,068,939
2,240,994 oGENERAL ELECTRIC CO
(UNITED KINGDOM) ....................... 13,389,573
See notes to financial statements.
-24-
<PAGE>
SHARES VALUE
------ -----
ELECTRICAL EQUIPMENT--(CONTINUED)
2,257,300 GENERAL SIGNAL CORP ..................... $98,474,712
291,000 GRAINGER (W.W.), INC .................... 22,752,562
900 HITACHI ELECTRONICS LTD ................. 8,101
3,912,491 HITACHI LTD ............................. 43,764,811
193,000 HITACHI MAXELL LTD ...................... 4,790,020
855,200 HONEYWELL, INC .......................... 64,888,300
566,076 HUBBELL, INC (CLASS B) .................. 24,907,344
392,400 JUNO LIGHTING, INC ...................... 6,376,500
32,500 KODENSHA CO LTD ......................... 260,160
156,666 oLEADER UNIVERSAL HOLDINGS BERHAD ........ 281,800
155,000 MABUCHI MOTOR CO LTD .................... 9,007,724
209,750 MIRAI INDUSTRY CO LTD ................... 4,802,473
2,087,000 MITSUBISHI ELECTRIC CORP ................ 11,690,745
1,840,301 NIPPON ELECTRIC CORP (N.E.C.) ........... 25,731,824
242,000 NITTO ELECTRIC WORKS .................... 4,314,269
2,000 NKT HOLDINGS AS ......................... 135,732
3,140,002 PHILIPS ELECTRONICS NV .................. 225,327,395
51,900 PHILIPS ELECTRONICS NV (NY REGD) ........ 3,730,312
94,397 REUNERT LTD ............................. 323,641
140,000 oSANSHIN ELECTRONICS CO LTD .............. 2,691,612
100,000 SANSO ELECTRIC CO LTD ................... 865,161
260,622 SIEBE PLC ............................... 4,411,269
1,133,010 SIEMENS AG .............................. 67,326,496
1,517,500 SUMITOMO ELECTRIC INDUSTRIES CO ......... 25,461,950
1,394,608 THOMAS & BETTS CORP ..................... 73,304,083
146,023 TOKYO ELECTRON CO LTD ................... 6,993,000
8,257,864 WESTINGHOUSE ELECTRIC CORP .............. 190,963,105
330,000 YAMATAKE HONEYWELL CO LTD ............... 6,286,836
104,000 YOKOGAWA ELECTRIC CORP .................. 904,311
-------------
3,699,267,268
-------------
ELECTRICAL EQUIPMENT--COMPONENTS
DIVERSIFIED--3.13%
8,250,000 oACMA LTD ................................ 14,194,302
1,242,950 oADVANCED MICRO DEVICES, INC ............. 44,746,200
825,300 oALTERA CORP ............................. 41,677,650
230,701 oAMERICAN ANNUITY GROUP, INC ............. 4,152,618
70,000 oAMERICAN SUPERCONDUCTOR CORP ............ 857,500
1,599,382 AMP, INC ................................ 66,774,198
55,000 oANADIGICS, INC .......................... 1,705,000
1,081,166 oANALOG DEVICES, INC ..................... 28,718,471
362,782 oARROW ELECTRONICS, INC .................. 19,272,793
88,000 ASTEC LTD ............................... 202,112
866,300 oATMEL CORP .............................. 24,256,400
218,900 AVNET, INC .............................. 12,586,750
73,600 AVX CORP ................................ 1,987,200
271,575 BALDOR ELECTRIC CO ...................... 8,028,435
15,076 BARCO INDUSTRIES NV ..................... 3,057,090
370,423 oBELL INDUSTRIES, INC .................... 5,787,859
76,367 BOWTHORPE HOLDINGS PLC .................. 413,702
348,000 oBURR BROWN CORP ......................... 12,006,000
141,900 CAE, INC ................................ 1,131,415
236,000 oCHIPS & TECHNOLOGIES, INC ............... 2,448,500
432,700 oCIRRUS LOGIC, INC ....................... 4,543,350
124,600 oCOMPUCOM SYSTEMS, INC ................... 887,775
101,200 oCOMPUTER PRODUCTS, INC .................. 2,530,000
235,000 oCOMVERSE TECHNOLOGY, INC ................ 12,220,000
290,400 CORE INDUSTRIES, INC ..................... 7,187,400
63,000 oCOREL CORP .............................. 415,555
78,996 CTS CORP ................................ 5,445,786
130,000 CUBIC CORP .............................. 3,380,000
95,394 oCYBERGUARD CORP ......................... 846,621
467,400 oCYPRESS SEMICONDUCTOR CORP .............. 6,777,300
372,400 DALLAS SEMICONDUCTOR CORP ............... 14,616,700
207,560 oDII GROUP, INC .......................... 9,132,640
400,000 oELECTRICIDADE DE PORTUGAL SA ............ 7,350,188
139,500 oELECTRO SCIENTIFIC INDUSTRIES, INC ...... 5,841,562
206,894 oESCO ELECTRONICS CORP
(TRUST RECEIPTS) ....................... 2,612,036
303,600 FISHER SCIENTIFIC INTERNATIONAL, INC .... 14,421,000
1,005,538 FUTURIS CORP LTD ........................ 1,604,633
1,187,500 oGENERAL INSTRUMENT CORP ................. 29,687,500
108,000 oHADCO CORP .............................. 7,074,000
55,000 HELIX TECHNOLOGY CORP ................... 2,227,500
15,511 HIROSE ELECTRIC CO LTD .................. 1,065,427
378,631 HOYA CORP ............................... 16,875,167
184,700 oHUTCHINSON TECHNOLOGY, INC .............. 4,502,062
747,200 oINTEGRATED DEVICE TECHNOLOGY, INC ....... 7,845,600
8,173,301 INTEL CORP .............................. 1,159,076,248
332,800 oINTERNATIONAL RECTIFIER CORP ............ 6,198,400
61,000 oJABIL CIRCUIT, INC ...................... 5,116,375
140,000 oJOHNSON ELECTRIC HOLDINGS LTD ........... 417,435
483,000 oKEMET CORP .............................. 12,014,625
394,100 oKENT ELECTRONICS CORP ................... 14,458,543
30 KEYENCE CORP ............................ 4,456
224,156 KYOCERA CORP ............................ 17,825,983
168,200 oLAM RESEARCH CORP ....................... 6,233,912
233,550 oLATTICE SEMICONDUCTOR CORP .............. 13,195,575
21,685 oLE CARBONE LORRAINE ..................... 5,281,825
46,500 LEGRAND S.A ............................. 8,197,508
670,000 LINEAR TECHNOLOGY CO .................... 34,672,500
8,800 oLITTLEFUSE, INC ......................... 248,600
446,200 LOGICON, INC ............................ 23,648,600
761,700 oLSI LOGIC CORP .......................... 24,374,400
339,100 oMAGNETEK, INC ........................... 5,637,537
45,600 oMARSHALL INDUSTRIES, INC ................ 1,698,600
166,000 oMATSUSHITA COMMUNICATION
INDUSTRIAL CO .......................... 5,614,108
1,296,900 oMAXIM INTEGRATED PRODUCTS ............... 73,761,187
228,900 oMEMC ELECTRONIC MATERIALS, INC .......... 7,496,475
323,150 METHODE ELECTRONICS, INC (CLASS A) ...... 6,422,606
1,429,000 oMICRON TECHNOLOGY, INC .................. 57,070,687
163,000 MIMASU SEMICONDUCTOR INDUSTRY ........... 3,660,854
1,272,000 MINEBEA CO LTD .......................... 13,561,529
280,246 MOLEX, INC .............................. 10,228,979
332,762 MOLEX, INC (CLASS A) .................... 11,605,074
5,443,100 MOTOROLA, INC ........................... 413,675,600
97,400 oMRV COMMUNICATIONS, INC ................. 2,873,300
436,500 MURATA MANUFACTURING CO LTD ............. 17,394,455
1,513,250 oNATIONAL SEMICONDUCTOR CORP ............. 46,343,281
757,000 NGK SPARK PLUG CO LTD ................... 8,269,278
950 NIHON DEMPA KOGYO CO LTD ................ 17,268
197,000 NITTO DENKO CORP ........................ 3,839,130
89,300 oOAK INDUSTRIES, INC ..................... 2,567,375
277,944 OMRON CORP .............................. 5,902,354
22,200 OXFORD INSTRUMENTS GROUP PLC ............ 130,609
270,400 PACIFIC SCIENTIFIC CO ................... 3,582,800
36,000 PIONEER-STANDARD ELECTRONICS, INC ....... 486,000
200,900 oPMC-SIERRA, INC ......................... 5,273,625
114,228 RACAL ELECTRONICS PLC ................... 460,065
140,000 oROGERS CORP ............................. 4,935,000
322,100 ROHM CO ................................. 33,215,016
443,700 oS3, INC ................................. 4,880,700
70,000 SAES GETTERS S.P.A ...................... 1,111,320
29,350 SAMSUNG DISPLAY DEVICES CO .............. 1,523,517
225,800 oSANMINA CORP ............................ 14,338,300
48,500 SGL CARBON AG ........................... 6,646,273
See notes to financial statements.
-25-
<PAGE>
SHARES VALUE
------ -----
ELECTRICAL EQUIPMENT--
COMPONENTS DIVERSIFIRED--(CONTINUED)
159,016 oSGS-THOMSON MICROELECTRONICS NV ......... $12,567,456
159,700 oSMART MODULAR TECHNOLOGIES, INC ......... 5,389,875
76,000 oSTANDARD MICROSYSTEMS CORP .............. 674,500
286,000 oSUWA INTERNATIONAL HOLDINGS LTD ......... 15,320
295,000 SYMBOL TECHNOLOGIES, INC ................ 9,919,375
283,600 oSYMMETRICOM, INC ........................ 4,076,750
212,000 TAIYO YUDEN CO LTD ...................... 3,501,542
50,800 TB WOODS CORP ........................... 739,775
90,800 oTCSI CORP ............................... 476,700
132,000 TDK CORP ................................ 9,701,338
1,438,800 TEXAS INSTRUMENTS, INC .................. 120,949,125
242,500 oTRICORD SYSTEMS, INC .................... 303,125
155,500 oTRIMBLE NAVIGATION LTD .................. 2,760,125
143,900 oUCAR INTERNATIONAL,INC .................. 6,583,425
222,600 oUNIPHASE CORP ........................... 12,966,450
117,000 oUNITRODE CORP ........................... 5,893,875
10,167 oUNITRODE CORP WTS 08/21/97 .............. 223,674
207,000 oVICOR CORP .............................. 4,657,500
553,404 oVISHAY INTERTECHNOLOGY, INC ............. 16,014,128
379,100 oVITESSE SEMICONDUCTOR CORP .............. 12,391,831
286,200 oVLSI TECHNOLOGY, INC .................... 6,761,475
274,500 oWATERS CORP ............................. 9,847,687
1,106,200 oWESTERN DIGITAL CORP .................... 34,983,575
457,700 WOODHEAD INDUSTRIES, INC ................ 8,639,087
95,075 WYLE ELECTRONICS ........................ 3,755,462
751,600 oXILINX, INC ............................. 36,875,375
195,400 oZILOG, INC .............................. 3,712,600
-------------
2,917,684,052
-------------
ELECTRICAL EQUIPMENT--
INSTRUMENTS--0.49%
339,000 ALPS ELECTRIC CO LTD .................... 4,740,033
185,900 ANALOGIC CORP ........................... 6,320,600
1,547,900 oAPPLIED MATERIALS, INC .................. 109,610,668
50,000 ASAHI OPTICAL CO LTD .................... 204,055
180,626 oAURA SYSTEMS, INC ....................... 310,450
198,987 BECKMAN INSTRUMENTS, INC ................ 9,601,122
700 oBERG ELECTRICS CORP ..................... 25,156
2,670 CANON SALES CO, INC ..................... 62,299
1,390,236 CANON, INC .............................. 37,905,729
143,400 oCOHERENT, INC ........................... 6,381,300
661,000 DAI NIPPON SCREEN
MANUFACTURING CO LTD ................... 6,238,597
266,519 DANIEL INDUSTRIES, INC .................. 4,114,387
215,000 oDESTEC ENERGY, INC ...................... 4,635,937
130,100 oDIONEX CORP ............................. 6,667,625
262,500 oELECTROGLAS, INC ........................ 6,611,718
410,600 oELECTRONICS FOR IMAGING, INC ............ 19,400,850
182,700 oESTERLINE CORP .......................... 6,508,687
77,704 FLUKE CORP .............................. 4,603,962
434,800 oGENERAL CABLE CORP ...................... 11,141,750
81,900 oGENRAD, INC ............................. 1,852,987
60,000 HUNG CHANG CO LTD ....................... 4,796,760
436,300 oINPUT/OUTPUT, INC ....................... 7,907,937
28,000 JEOL LTD ................................ 184,497
608,400 oKLA INSTRUMENTS CORP .................... 29,659,500
1,051,000 KONICA CORP ............................. 6,714,007
228,100 oKULICHE & SOFFA INDUSTRIES, INC ......... 7,406,121
51,900 oLTX CORP ................................ 337,350
179,000 NIKON CORP .............................. 3,019,062
407,205 OLYMPUS OPTICAL CO LTD .................. 3,665,321
308,253 PERKIN-ELMER CORP ....................... 24,525,379
2,000 oRADISYS CORP ............................ 79,500
751,863 RICOH CO LTD ............................ 9,855,796
155,980 SATO CORP ............................... 2,753,480
43,000 SEIKO CORP .............................. 311,519
397,500 oSILICON VALLEY GROUP, INC ............... 10,484,062
385,500 TEKTRONIX, INC .......................... 23,130,000
593,338 oTERADYNE, INC ........................... 23,288,516
88,593 oTHERMO INSTRUMENT SYSTEMS, INC .......... 2,702,086
32,000 oTHREE-FIVE SYSTEMS, INC ................. 476,000
1,382,800 TOPPAN PRINTING CO LTD .................. 21,751,720
301,150 VARIAN ASSOCIATES, INC .................. 16,337,387
63,700 WATKINS-JOHNSON CO ...................... 1,958,775
336,500 X RITE, INC ............................. 6,393,500
79,908 YAMAHA CORP ............................. 1,466,463
-----------
456,142,650
-------------
ENVIRONMENTAL CONTROL--0.38%
279,837 oAIR & WATER TECHNOLOGIES CORP
(CLASS A) ............................... 839,511
502,800 oALLIED WASTE INDUSTRIES, INC ............ 8,736,150
176,685 oAMERICAN ECOLOGY CORP ................... 287,113
1,821,775 BROWNING FERRIS INDUSTRIES, INC ......... 60,574,018
463,240 oCLEAN HARBORS, INC ...................... 781,717
65,100 oCULLIGAN WATER TECHNOLOGIES, INC ........ 2,913,225
190,650 oCUNO, INC ............................... 3,193,387
96,000 DAISEKI CO LTD .......................... 2,013,465
12,974 oFLUOR DANIEL GTI, INC ................... 87,574
172,468 oINTERNATIONAL TECHNOLOGY CORP ........... 1,315,068
460,749 oLAIDLAW ENVIRONMENTAL SERVICES, INC ..... 1,382,247
231,800 oNEW HORIZONS WORLDWIDE, INC ............. 2,607,750
554,684 OGDEN CORP .............................. 12,064,377
212,300 oOHM CORP ................................ 1,791,281
5,595 xoOMEGA ENVIRONMENTAL, INC ................ 2,622
1,283,500 oREPUBLIC INDUSTRIES, INC ................ 31,927,062
230,000 oTETRA TECHNOLOGIES, INC ................. 5,462,500
502,950 oU.S. FILTER CORP ........................ 13,705,387
1,331,882 oU.S.A. WASTE SERVICES, INC .............. 51,443,942
571,700 oUNITED WASTE SYSTEMS, INC ............... 23,439,700
3,454,004 WASTE MANAGEMENT, INC ................... 110,959,878
262,400 oWESTON (ROY F.), INC (CLASS A) .......... 787,200
752,332 WHEELABRATOR TECHNOLOGIES, INC NEW ...... 11,614,125
469,035 oYORK RESEARCH CORP ...................... 3,635,021
3,712 ~oYORK RESEARCH CORP (CLASS C)
WTS 09/30/98 ........................... 4,640
-------------
351,568,960
-------------
FINANCIAL--MISCELLANEOUS--3.67%
283,700 AAMES FINANCIAL CORP .................... 5,248,450
5,400,000 oABOITIZ EQUITY VENTURES, INC ............ 421,744
182,000 ACOM CO LTD ............................. 8,779,548
62,700 ADVANTA CORP (CLASS A) .................. 2,304,225
388,900 ADVANTA CORP (CLASS B) .................. 13,878,868
105,350 ALEX BROWN, INC ......................... 7,440,343
1,000 ALLIED CAPITAL COMMERCIAL CORP .......... 24,000
245,700 AMBAC, INC .............................. 18,765,337
3,503,199 AMERICAN EXPRESS CO ..................... 260,988,325
2,357,349 AMERICAN GENERAL CORP ................... 112,563,414
58,200 AMERICAN HEALTH PROPERTIES, INC ......... 1,462,275
239,600 oAMRESCO, INC ............................ 5,151,400
650,000 oAMVESCAP ORD ............................ 3,791,691
84,840 AMVESCAP PLC ADR ........................ 4,941,930
1,383,000 oARAB MALAYSIAN FINANCE (FR) ............. 2,931,481
306,300 oARCADIA FINANCIAL LTD ................... 2,814,131
28,700 ASSOCIATED ESTATES REALTY CORP .......... 674,450
350,600 ASSOCIATES FIRST CAPITAL CORP ........... 19,458,300
304,000 ASTORIA FINANCIAL CORP .................. 14,440,000
36,000 oAVMIN LTD ............................... 127,791
See notes to financial statements.
-26-
<PAGE>
SHARES VALUE
------ -----
FINANCIAL--MISCELLANEOUS--(CONTINUED)
1,800,000 BANCA FIDEURAM S.P.A .................... $ 5,879,412
292,489 BAY VIEW CAPITAL CORP ................... 7,677,836
231,375 BEACON PROPERTIES CORP .................. 7,722,140
1,588,728 BEAR STEARNS COS, INC ................... 54,314,638
556,100 BENEFICIAL CORP ......................... 39,517,856
39,700 BERKSHIRE REALTY CO, INC ................ 421,812
16,778 BRADLEY REAL ESTATE, INC ................ 322,976
77,400 BRE PROPERTIES, INC (CLASS A) ........... 1,944,675
158,580 oCALIFORNIA FEDERAL BANCORP .............. 2,676,037
39,200 CAMDEN PROPERTY TRUST ................... 1,239,700
832,776 CAPSTEAD MORTGAGE CORP .................. 20,559,157
41,300 CARR AMERICA REALTY CORP ................ 1,187,375
272,600 CASE CORP ............................... 18,775,325
165,448 CASH AMERICA INTERNATIONAL, INC ......... 1,737,204
1,057,050 oCATELLUS DEVELOPMENT CORP ............... 19,159,031
39,500 CBL & ASSOCIATES PROPERTIES, INC ........ 948,000
32,200 CENTERPOINT PROPERTIES CORP ............. 1,022,350
2,520 CETELEM S.A ............................. 317,200
27,000 CHELSEA GCA REALTY, INC ................. 1,026,000
103,200 oCITYSCAPE FINANCIAL CORP ................ 2,057,550
146,400 CMAC INVESTMENT CORP .................... 6,990,600
715,600 oCOAST SAVINGS FINANCIAL, INC ............ 32,515,075
229,200 COLLECTIVE BANCORP, INC ................. 10,285,350
588,487 COMDISCO, INC ........................... 15,300,662
24,000 COMMERCIAL FEDERAL CORP ................. 891,000
15,721 COMPAGNIE BANCAIRE S.A .................. 2,008,306
9,700 oCONTIFINANCIAL CORP ..................... 354,050
993,857 COUNTRYWIDE CREDIT INDUSTRIES, INC ...... 30,995,915
104,300 oCREDIT ACCEPTANCE CORP .................. 1,342,862
144,650 CREDIT SAISON CO LTD .................... 3,539,469
771,200 CWM MORTGAGE HOLDINGS, INC .............. 18,460,600
1,193,108 DAIWA SECURITIES CO LTD ................. 9,425,620
35,100 DEVELOPERS DIVERSIFIED REALTY CORP ...... 1,404,000
21,500 DONALDSON, LUFKIN, & JENRETTE, INC ...... 1,284,625
533 DUFF & PHELPS CREDIT RATING CO .......... 16,189
84,552 DUKE REALTY INVESTMENTS, INC ............ 3,424,356
45,600 DYNEX CAPITAL, INC ...................... 635,550
228,800 EATON VANCE CORP ........................ 6,363,500
42,289 oECHELON INTERNATIONAL CORP .............. 964,717
1,002,000 EDWARDS (A.G.), INC ..................... 42,835,500
10,700 ENHANCE FINANCIAL SERVICES
GROUP, INC ............................. 469,462
167,500 oENVOY CORP .............................. 5,569,375
370,162 EQUITY RESIDENTIAL PROPERTIES
TRUST CO ............................... 17,582,695
1,157 oEURAFRANCE S.A .......................... 474,940
16,200 EVANS WITHYCOMBE RESIDENTIAL, INC ....... 336,150
224,746 EVEREN CAPITAL CORP ..................... 7,009,265
20,000 EXCEL REALTY TRUST, INC ................. 527,500
6,829,400 FEDERAL HOME LOAN MORTGAGE CORP ......... 234,760,625
10,322,800 FEDERAL NATIONAL MORTGAGE
ASSOCIATION ............................ 450,332,150
50,500 FEDERAL REALTY INVESTMENT TRUST ......... 1,363,500
69,200 FINANCIAL SECURITY ASSURANCE
HOLDINGS LTD ........................... 2,694,475
233,300 FINOVA GROUP, INC ....................... 17,847,450
906,050 FIRST FINANCIAL CORP (WISCONSIN) ........ 26,615,218
3,620 oFIRST HUNGARY FUND LTD (CLASS A) ........ 4,316,415
1,598,400 oFIRST NIS REGIONAL FUND (FULLY PD) ...... 30,369,600
49,778 oFIRST RUSSIAN FRONTIER SERIES A WTS ..... 559,207
248,893 oFIRST RUSSIAN FRONTIERS PLC ORD SHS ..... 5,602,496
79,100 oFIRSTPLUS FINANCIAL GROUP, INC .......... 2,689,400
194,154 FRANCHISE FINANCE CORP OF AMERICA ....... 5,060,138
536,100 FRANKLIN RESOURCES, INC ................. 38,900,756
431,200 oGARTNER GROUP, INC (CLASS A) ............ 15,496,250
140,400 GENERAL GROWTH PROPERTIES, INC .......... 4,703,400
479,000 oGENTRA, INC ............................. 1,215,207
1,428,100 oGLENDALE FEDERAL SAVINGS
BANK, INC .............................. 37,309,112
112,700 GLIMCHER REALTY TRUST ................... 2,324,437
551,700 GOLDEN WEST FINANCIAL CORP .............. 38,619,000
186,500 oGREAT FINANCIAL CORP .................... 6,550,812
2,074,381 GREAT WESTERN FINANCIAL CORP ............ 111,497,978
1,112,800 GREEN TREE FINANCIAL CORP ............... 39,643,500
3,282,400 H.F. AHMANSON & CO ...................... 141,143,200
4,800 oHANG LUNG DEVELOPMENT CO LTD
WTS 10/31/97 ........................... 359
508,800 HEALTH AND RETIREMENT PROPERTY
TRUST .................................. 9,571,800
13,800 HEALTH CARE REIT, INC ................... 335,512
31,700 HEALTHCARE REALTY TRUST, INC ............ 883,637
273,900 x~oHEIZER CORP (LIQUIDATING TRUST) ......... 113,394
217,300 HIGHWOODS PROPERTIES, INC ............... 6,953,600
25,066 oHOMG LEONG CREDIT ....................... 92,857
125,333 HONG LEONG CREDIT BERHAD ................ 466,771
12,533 oHONG LEONG CREDIT RTS ................... 12,166
713,272 HOUSEHOLD INTERNATIONAL, INC ............ 83,764,880
2,000 INCENTIVE AB SERIES A FREE .............. 181,056
800 INCENTIVE AB SERIES B FREE .............. 73,146
35,939 INVESTORS FINANCIAL SERVICES CORP ....... 1,707,102
90,000 oITLA CAPITAL CORP ....................... 1,462,500
294,000 JACCS CO ................................ 2,181,306A
120,000 oLONG BEACH FINANCIAL CORP ............... 1,050,000
60,400 MACERICH CO (THE) ....................... 1,676,100
96,075 MARYLAND FEDERAL BANCORP ................ 4,179,262
600,000 oMBF CAPITAL BERHAD ...................... 1,103,012
2,339,062 MBNA CORP ............................... 85,668,145
180,000 MEDIOLANUM S.P.A ........................ 2,028,952
828,500 MEDITRUST CORP .......................... 33,036,437
11,895 oMERCAPITAL S.A .......................... 105,945
73,480 MERCURY ASSETS MANAGEMENT
GROUP PLC .............................. 1,505,423
1,196,300 oMERCURY FINANCE CO ...................... 2,915,981
3,266,792 MERRILL LYNCH & CO, INC ................. 194,782,473
354,449 MERRY LAND & INVESTMENT CO, INC ......... 7,687,112
4,300 MGI PROPERTIES, INC ..................... 94,868
4,868,712 MORGAN STANLEY, DEAN WITTER, DISCOVER ... 209,658,910
51,100 NATIONAL HEALTH INVESTORS, INC .......... 2,005,675
123,300 NATIONWIDE HEALTH PROPERTIES, INC ....... 2,712,600
333,851 NEW PLAN REALTY TRUST ................... 7,365,587
600 oNICE NICHIEI CO LTD ..................... 1,358
130,000 NICHIEI CO LTD (KYOTO) .................. 15,109,731
848,000 NIPPON SHINPAN CO LTD ................... 3,068,018
2,972,744 NOMURA SECURITIES CO LTD ................ 41,046,519
4,313 NPM HOLDINGS NV ......................... 169,499
822,000 ORIENT CORP ............................. 3,354,674
67,187 ORIX CORP ............................... 4,984,879
16,547 oPACIFIC CREST CAPITAL, INC .............. 219,247
872,100 PAINE WEBBER GROUP INC .................. 30,523,500
268,200 PENNCORP FINANCIAL GROUP, INC ........... 10,325,700
4,250,000 PEREGRINE INVESTMENT HOLDINGS LTD ....... 8,749,807
25,000 oPEREGRINE INVESTMENT WTS 05/15/98 ....... 10,971
7,900 PHOENIX, DUFF & PHELPS CORP ............. 58,262
256,700 PIONEER GROUP, INC ...................... 5,904,100
280,638 PIPER JAFFRAY COMPANIES, INC ............ 5,753,079
See notes to financial statements.
-27-
<PAGE>
SHARES VALUE
------ -----
FINANCIAL--MISCELLANEOUS--(CONTINUED)
302,800 PMI GROUP, INC .......................... $18,887,150
62,900 POST PROPERTIES, INC .................... 2,551,381
38,000 POWER FINANCIAL CORP .................... 899,318
493,100 PRICE (T. ROWE) ASSOCIATES, INC ......... 25,456,287
147,000 PROMISE CO LTD .......................... 8,427,192
109,925 PROVIDENT FINANCIAL PLC ................. 1,019,021
264,300 PUBLIC STORAGE, INC ..................... 7,730,775
145,743 QUICK & REILLY GROUP, INC ............... 3,388,524
140,000 oRASHID HUSSAIN BERHAD ................... 887,481
35,800 REALTY INCOME CORP ...................... 939,750
7,600 REGENCY REALTY CORP ..................... 207,100
337,800 RFS HOTEL INVESTORS, INC ................ 6,080,400
34,803 RIT CAPITAL PARTNERS PLC ................ 150,888
395,000 ROOSEVELT FINANCIAL GROUP, INC .......... 8,690,000
831,800 SALOMON, INC ............................ 46,268,875
79,760 SCHROEDERS LTD .......................... 2,178,338
878,500 SCHWAB (CHARLES) CORP ................... 35,743,968
108,800 oSEACOR SMIT, INC ........................ 5,691,600
500,700 SECURITY CAPITAL PACIFIC TRUST .......... 11,453,512
17,000 oSHOKOH FUND & CO ........................ 5,155,136
2,500 SIRROM CAPITAL CORP ..................... 86,250
233,000 SPIEKER PROPERTIES, INC ................. 8,198,687
140,692 ST JAMES PLACE CAPITAL PLC .............. 306,741
139,100 ST. FRANCIS CAPITAL CORP ................ 5,390,125
213,400 STEWART INFORMATION SERVICES CORP ....... 4,401,375
55,600 STORAGE USA, INC ........................ 2,126,700
1,036,250 STUDENT LOAN MARKETING
ASSOCIATION ............................ 131,603,750
28,100 SUMMIT PROPERTIES, INC .................. 579,562
39,700 SUN COMMUNITIES, INC .................... 1,332,431
426,500 TCF FINANCIAL CORP ...................... 21,058,437
397,875 THE MONEY STORE, INC .................... 11,414,039
18,300 THORNBURG MORTGAGE ASSET CORP ........... 393,450
615,200 TIG HOLDINGS, INC ....................... 19,225,000
12,100 TOWN & COUNTRY TRUST .................... 186,037
30,200 TRINET CORPORATE REALTY TRUST, INC ...... 998,487
161,300 UNITED ASSET MANAGEMENT CORP ............ 4,566,806
291,700 UNITED COS FINANCIAL CORP ............... 8,240,525
716,656 UNITED DOMINION REALTY TRUST, INC ....... 10,167,557
279,000 VALUE LINE, INC ......................... 12,066,750
46,897 VALUE REAL'N TRUST ...................... 74,343
94,850 WHITNEY HOLDING CORP .................... 4,007,412
875,600 YAMAICHI SECURITIES CO LTD .............. 2,609,287
-------------
3,419,512,757
-------------
FOODS--1.92%
1,000 AARHUS OLIEFABRIK AS (CLASS A) .......... 49,768
1,700 AARHUS OLIEFABRIK AS (CLASS B) .......... 85,888
617,610 AJINOMOTO CO LTD ........................ 6,638,671
5,787,774 ARCHER DANIELS MIDLAND CO ............... 136,012,689
171,000 ARIAKE JAPAN CO LTD ..................... 6,545,336
36,000 ARNOTTS LTD ............................. 237,346
365,200 ASSOCIATED BRITISH FOODS PLC ............ 3,151,455
254 AULT FOODS LTD .......................... 6,250
62,749 BAGLEY S.A. (CLASS B) ................... 125,510
770 BONGRAIN S.A ............................ 301,521
470,225 BRL HARDY LTD ........................... 1,333,779
210,350 BURNS PHILP & CO LTD .................... 387,681
427,978 CADBURY SCHWEPPES LTD ................... 3,814,279
1,514,300 CAMPBELL SOUP CO ........................ 75,715,000
448,600 CHIQUITA BRANDS INTERNATIONAL, INC ...... 6,168,250
2,044,804 CONAGRA, INC ............................ 131,123,056
1,594,700 CPC INTERNATIONAL, INC .................. 147,210,743
48,800 CULTOR OY SERIES 2 ...................... 2,564,855
22,500 oDANISCO AS .............................. 1,377,685
29,042 DANONE GROUP ............................ 4,803,240
290,450 DEAN FOODS CO ........................... 11,726,918
57,900 DEKALB GENETICS CORP (CLASS B) .......... 4,617,525
216,000 DEL MONTE ROYAL FOODS LTD ............... 111,917
470,884 DOLE FOOD, INC .......................... 20,130,291
239,400 DREYERS GRAND ICE CREAM, INC ............ 9,456,300
99,332 EARTHGRAINS CO .......................... 6,512,454
9,331 oERIDANIA BEGHIN-SAY S.A ................. 1,398,619
255,700 EZAKI GLICO CO LTD ...................... 2,301,599
95,986 oFINANZIARIA AUTOGRILL S.P.A ............. 160,571
916,475 FLOWERS INDUSTRIES, INC ................. 15,408,235
11,000 G.I.B. HOLDINGS LTD ..................... 526,278
1,997,554 GENERAL MILLS, INC ...................... 130,090,704
901,700 oGENERAL NUTRITION COS, INC .............. 25,247,600
162,600 GOLDEN ENTERPRISES, INC ................. 1,158,525
3,696,417 GOODMAN FIELDER LTD ..................... 5,400,243
90,000 GRUPO INDUSTRIAL BIMBO S.A
DE CV SERIES A ......................... 643,786
272,000 GRUPO INDUSTRIAL MASECA SERIES B ........ 297,491
2,556,850 HEINZ (H.J.) CO ......................... 117,934,706
33,000 HERDEZ S.A. SERIES B .................... 17,009
599,796 HERSHEY FOODS CORP ...................... 33,176,216
235,000 oHIPPO VALLEY ESTATES LTD ................ 339,983
284,300 HORMEL FOODS CORP ....................... 7,640,562
239,400 HOUSE FOODS CORP ........................ 4,246,996
100,000 HUDSON FOODS, INC ....................... 1,631,250
66,500 HUTECH NORIN CO LTD ..................... 1,104,172
617,600 IBP, INC ................................ 14,359,200
319,200 oINTERNATIONAL DAIRY QUEEN, INC
(CLASS A) .............................. 7,660,800
266,800 INTERNATIONAL MULTIFOODS CORP ........... 6,703,350
131,700 INTERSTATE BAKERIES CORP ................ 7,811,456
1,051,000 ITOHAM FOODS, INC ....................... 5,804,723
256,900 oJ & J SNACK FOODS CORP .................. 3,949,837
42,600 oJP FOODSERVICE, INC ..................... 1,222,087
314,115 KATOKICHI CO LTD ........................ 5,599,904
596,300 KELLOGG CO .............................. 51,058,187
65,000 KERRY GROUP (CLASS A) ................... 616,623
386,301 oKIKKOMAN CORP ........................... 2,548,792
5,500 oKOIPE S.A ............................... 422,557
5,000 KORN-OG FODERSTOF KOMPAGNIET AS ......... 159,862
213,632 LANCE, INC .............................. 4,085,712
4,119 MAPLE LEAF FOODS, INC ................... 44,336
54,000 oMARUDAI FOOD CO LTD ..................... 237,840
124,000 MARUHA CORP ............................. 324,007
914,600 MCCORMICK & CO, INC (NON-VTG) ........... 23,093,650
110,000 MEFOS LTD ............................... 1,009,354
120,700 MEIJI MILK PRODUCTS CO LTD .............. 551,658
509,000 MEIJI SEIKA KAISHA LTD .................. 2,802,335
252,675 MICHAEL FOODS, INC ...................... 4,674,487
115,000 oMIDWEST GRAIN PRODUCTS, INC ............. 1,523,750
153,938 MOLINOS RIO DE LA PLATA S.A. (CLASS B) .. 601,957
1,260,800 NABISCO HOLDINGS CORP (CLASS A) ......... 50,274,400
80,800 NATURES SUNSHINE PRODUCTS, INC .......... 1,464,500
123,500 oNBTY, INC ............................... 3,458,000
96,000 NESTLE MALAYSIA BERHAD .................. 718,859
48,486 NESTLE S.A. (REGD) ...................... 64,053,791
132,000 NICHIREI CORP ........................... 658,675
292,000 NIPPON BEET SUGAR MANUFACTURING
CO LTD ................................. 1,069,199
749,200 NIPPON MEAT PACKERS, INC ................ 9,689,943
1,982,000 oNIPPON SUISAN KAISHA LTD ................ 6,737,751
88,000 NISSIN FOOD PRODUCTS CO LTD ............. 2,291,715
See notes to financial statements.
-28-
<PAGE>
SHARES VALUE
------ -----
FOODS-(CONTINUED)
64,625 NUTRICIA NV ............................. $10,224,945
71,500 ORKLA AS SERIES A ....................... 5,283,776
7,748 ORKLA AS SERIES B ....................... 526,001
1,570,000 oPARMALAT FINANZIARIA S.P.A .............. 2,220,199
12,300 oPASCUAL HERMANOS S.A .................... 6,021
2,638,555 PERDIGAO S.A. COMERICO E INDUSTRIA ...... 5,391
557,700 PIONEER-HI-BRED INTERNATIONAL, INC ...... 44,616,000
350,000 oPOWER PACIFIC LTD ....................... 14,159
18,574 oPROVIGO, INC ............................ 105,687
4,887,500 oPT CHAROEN POKPHAND INDONESIA (FR) ...... 2,209,638
2,200,000 oPT DAYA GUNA SAMUDERA (FR) .............. 3,955,875
704,739 oQ.P. CORP ............................... 6,281,888
1,122,532 QUAKER OATS CO .......................... 50,373,623
30,000 RAISION TEHTAAT OY ...................... 2,061,910
579,243 oRALCORP HOLDINGS, INC ................... 8,543,834
861,391 RALSTON PURINA CO ....................... 70,795,572
367,000 RICHFOOD HOLDINGS, INC .................. 9,542,000
35,000 SANDERSON FARMS, INC .................... 612,500
69,000 SANTISTA ALIMENTOS S.A .................. 147,408
3,515,100 SARA LEE CORP ........................... 146,316,037
272,800 SAVANNAH FOODS & INDUSTRIES, INC ........ 4,791,050
177,700 oSMITHFIELD FOODS, INC ................... 10,928,550
40,631 oSMITH'S FOOD & DRUG CENTERS, INC
(CLASS B) .............................. 2,178,837
101,900 SMUCKER, (J.M.) CO (CLASS A) ............ 2,216,325
199,400 SMUCKER, (J.M.) CO (CLASS B) ............ 4,324,487
1,352,950 SNOW BRAND MILK PRODUCTS CO ............. 6,975,823
207,100 oSPAGHETTI WAREHOUSE, INC ................ 1,242,600
88,000 TAKARA SHUZO CO LTD ..................... 635,989
162,147 TATE & LYLE PLC ......................... 1,204,930
208,200 TCBY ENTERPRISES, INC ................... 1,314,262
41,700 TIGER OATS LTD .......................... 735,531
266,122 TOOTSIE ROLL INDUSTRIES, INC ............ 11,842,429
1,092,000 TYSON FOODS, INC ........................ 20,884,500
97,900 UNIGATE PLC ............................. 787,790
336,000 UNILEVER LTD ............................ 9,626,710
274,800 UNILEVER NV CERTIFICATES ................ 57,952,982
238,175 UNITED BISCUITS HOLDINGS PLC ............ 810,627
212,920 UNIVERSAL FOODS CORP .................... 8,117,575
8,420 VISCOFAN S.A ............................ 197,217
97,600 WESTON (GEORGE) LTD ..................... 6,243,260
79,400 oWHOLE FOODS MARKET, INC ................. 2,630,125
11,248 oWORMS CIE ............................... 666,719
281,500 WRIGLEY (WM) JR CO ...................... 18,860,500
373,800 WRIGLEY (WM) JR CO (CLASS B) ............ 25,044,600
119,300 oYAMAZAKI BAKING CO LTD .................. 2,105,976
300,000 YOMEISHU SEIZO CO LTD ................... 2,356,908
280 YOSHINOYA D&C CO LTD .................... 3,425,688
-------------
1,788,160,703
-------------
FOREST PRODUCTS--0.48%
113,700 ABITIBI-CONSOLIDATED, INC ............... 2,031,535
1,906,872 AMCOR LTD ............................... 12,571,930
5,835,000 ARJO WIGGINS APPLETON PLC ............... 17,091,695
2,220,700 oASIA PACIFIC RESOURCES
INTERNATIONAL HOLDINGS (CLASS A) ....... 10,825,912
72,300 AVENOR, INC ............................. 1,404,494
1,288,332 BOISE CASCADE CORP ...................... 45,494,223
10,450,977 CARTER HOLT HARVEY LTD .................. 26,988,791
53,280 CARTIERE BURGO S.P.A .................... 295,429
164,000 oCELULOSA ARGENTINA S.A .................. 114,811
1,180,390 CHAMPION INTERNATIONAL CORP ............. 65,216,547
119,000 oCOLLINS & AIKMAN CORP ................... 1,190,000
755,845 DELTA CORP .............................. 1,159,781
173,680 DOMTAR, INC ............................. 1,497,990
147,800 DOMTAR, INC ............................. 1,307,016
39,300 DONOHUE, INC (CLASS A) .................. 854,595
2,216,648 FLETCHER CHALLENGE LTD
(ENERGY DIVISION) ...................... 6,685,875
4,044,647 FLETCHER CHALLENGE LTD
(FORESTS DIVISION) ..................... 5,866,728
578,700 GEORGIA-PACIFIC CORP .................... 49,406,512
77,000 oINTERNATIONAL FOREST PRODUCTS LTD ....... 530,226
80,340 KONINKLIJKE KNP BT NV ................... 1,832,897
19,000 oKORSNAS AB SERIES A ..................... 255,548
868,836 LOUISIANA PACIFIC CORP .................. 18,354,160
159,400 MACMILLAN BLOEDEL LTD ................... 2,189,497
73,300 MADERAS Y SINTETICOS S.A. ADR ........... 1,218,612
16,000 MO OCH DOMSJO AB SERIES B FREE .......... 525,580
10,600 NORSKE SKOGINDUSTRIER SERIES A .......... 365,601
2,400 NORSKE SKOGINDUSTRIER SERIES B .......... 79,335
2,500 PAPIERWERKE WALDHOF-
ASCHAFFENBURG AG ....................... 427,521
33,400 POPE & TALBOT, INC ...................... 549,012
200,000 PORTUCEL INDUSTRIA EMPRESA (144A) ....... 1,484,829
191,000 POTLATCH CORP ........................... 8,642,750
282,284 RAYONIER, INC ........................... 11,873,570
7,000 oREPAP ENTERPRISES, INC .................. 2,841
204,974 REXAM PLC ............................... 864,785
319,900 SCA AB SERIES B ......................... 6,702,164
95,000 SLOCAN FOREST PRODUCTS LTD .............. 946,832
412,779 SMURFIT (JEFFERSON) GROUP PLC ........... 1,202,229
454,450 STORA KOPPARBERG BERGSLAGS
SERIES A FREE .......................... 7,346,525
75,550 STORA KOPPARBERG BERGSLAGS
SERIES B FREE .......................... 1,231,092
77,142 TABLEROS DE FIBRAS S.A. SERIES B ........ 1,072,578
326,600 TJ INTERNATIONAL, INC ................... 7,675,100
483,300 UPM-KYMMENE OY .......................... 11,165,505
1,572,750 WEYERHAEUSER CO ......................... 81,783,000
362,736 WILLAMETTE INDUSTRIES, INC .............. 25,391,520
-------------
443,717,173
-------------
HEALTHCARE--DRUGS--6.19%
340,100 oADVANCED TISSUE SCIENCE CO .............. 4,378,787
1,207,991 +oAFFYMETRIX, INC ......................... 41,977,687
148,800 oAGOURON PHARMACEUTICALS, INC ............ 12,034,200
136,300 oALKERMES, INC ........................... 1,976,350
734,150 ALLERGAN, INC ........................... 23,355,146
293,100 oALLIANCE PHARMACEUTICAL CORP ............ 2,949,318
22,900 oALPHA BETA TECHNOLOGY, INC .............. 208,962
805,800 oALZA CORP ............................... 23,368,200
5,559,502 AMERICAN HOME PRODUCTS CORP ............. 425,301,903
3,096,700 oAMGEN, INC .............................. 179,995,687
34,300 oAMYLIN PHARMACEUTICALS, INC ............. 471,625
102,549 oAQUILA BIOPHARMACEUTICALS, INC .......... 583,247
415,037 ARBOR DRUGS, INC ........................ 8,352,619
2,493,546 ASTRA AB SERIES A FREE .................. 46,437,167
385,066 ASTRA AB SERIES B FREE .................. 6,797,569
491,000 BANYU PHARMACEUTICAL CO LTD ............. 8,624,606
2,999,800 oBB BIOVENTURES L. P ..................... 2,999,800
620,277 BERGEN BRUNSWIG CORP (CLASS A) .......... 17,290,221
161,250 oBIO-RAD LABORATORIES, INC (CLASS A) ..... 4,202,578
355,400 oBIO-TECHNOLOGY GENERAL CORP ............. 4,797,900
34,000 oBIOCHEM PHARMACEUTICALS, INC ............ 763,989
944,900 oBIOGEN, INC ............................. 32,008,487
99,300 oBIOMIRA, INC ............................ 503,841
145,154 BLOCK DRUG, INC (CLASS A) ............... 6,350,487
9,585,880 BRISTOL MYERS SQUIBB CO ................. 776,456,280
750,000 oBRITISH BIOTECH PLC ..................... 2,845,953
See notes to financial statements.
-29-
<PAGE>
SHARES VALUE
------ -----
HEALTHCARE--DRUGS--(CONTINUED)
122,600 oCELLPRO, INC ............................ $ 735,600
428,700 oCENTOCOR, INC ........................... 13,316,493
306,700 oCEPHALON, INC ........................... 3,527,050
4,096,568 oCHIRON CORP ............................. 85,515,857
854,180 CHUGAI PHARMACEUTICAL CO LTD ............ 7,688,619
85,500 oCLINTRIALS INC .......................... 1,026,000
373,400 COLLAGEN CORP ........................... 6,534,500
63,400 oCOLUMBIA LABORATORIES, INC .............. 1,038,175
700 oCOPLEY PHARMACEUTICAL, INC .............. 5,075
246,700 oCYGNUS, INC ............................. 4,255,575
524,982 oCYTOGEN CORP ............................ 2,559,287
530,468 DAIICHI PHARMACEUTICAL CO LTD ........... 9,364,234
950 DAINIPPON PHARMACEUTICAL CO LTD ......... 7,214
400,400 oDURA PHARMACEUTICALS, INC ............... 15,965,950
313,641 EISAI CO LTD ............................ 5,947,771
145,241 ELF SANOFI S.A .......................... 14,249,522
154,269 oENZO BIOCHEMICAL, INC ................... 2,439,378
497,214 F.H. FAULDING & CO LTD .................. 2,831,096
47,000 oFDM PHARMACEUTICALS ..................... 1,825,245
325,600 oFOREST LABORATORIES, INC ................ 13,492,050
3,400 oGENENTECH, INC .......................... 200,387
404,700 +oGENSET S.A .............................. 23,099,162
175,481 oGENSIA SICOR, INC ....................... 778,696
792,500 oGENZYME CORP (GENERAL DIVISION) ......... 21,991,875
35,302 oGENZYME CORP (TISSUE REPAIR DIVISION) ... 357,432
332,000 oGILEAD SCIENCES, INC .................... 9,171,500
6,166,381 GLAXO WELLCOME PLC ...................... 127,257,577
13,410 HAFSLUND AS SERIES A .................... 80,597
25,802 HAFSLUND AS SERIES B .................... 140,274
425,900 oHUMAN GENOME SCIENCES, INC .............. 14,161,175
2,400 oIDEC PHARMACEUTICALS CORP ............... 58,200
149,500 oIMMUNE RESPONSE CORP .................... 1,139,937
265,400 oIMMUNEX CORP ............................ 9,620,750
601,500 oIMMUNOMEDICS, INC ....................... 2,631,562
27,400 oINCYTE PHARMACEUTICALS, INC ............. 1,835,800
344,100 oINTERNEURON PHARMACEUTICALS, INC ........ 6,925,012
115,900 oISIS PHARMACEUTICALS, INC ............... 1,687,793
770,559 oIVAX CORP ............................... 8,620,628
287,100 JONES MEDICAL INDUSTRIES, INC ........... 13,637,250
137,000 KAKEN PHARMACEUTICALS CO LTD ............ 705,176
53,555 KISSEI PHARMACEUTICALS CO LTD ........... 1,179,403
491,080 KYOWA HAKKO KOGYO ....................... 3,682,148
25,000 LABORATORIO CHILE ADR ................... 712,500
4,576,610 LILLY (ELI) & CO ........................ 500,280,680
349,700 oLIPOSOME CO, INC ........................ 3,125,443
547,200 ~oMARTEK BIOSCIENCES CORP ................. 6,429,600
140,210 ~oMARTEK BIOSCIENCES CORP WTS 5/18/98 ..... 257,986
23,500 oMATRIX PHARMACEUTICALS, INC ............. 157,156
188,000 oMEDIMMUNE, INC .......................... 3,478,000
10,109,017 MERCK & CO, INC ......................... 1,046,283,259
66,000 MERCK KGAA .............................. 2,914,437
275,300 oMILLENNIUM PHARMACEUTICALS, INC ......... 4,439,212
450 MOCHIDA PHARMACEUTICAL CO LTD ........... 4,129
175,350 oMOLECULAR BIOSYSTEMS, INC ............... 1,578,150
1,328,550 MYLAN LABORATORIES, INC ................. 19,596,112
125,000 oMYRIAD GENETICS, INC .................... 3,375,000
38,900 oNEUROGEN CORP ........................... 884,975
302,672 oNEXSTAR PHARMACEUTICALS, INC ............ 4,313,076
237,400 oNORTH AMERICAN VACCINE, INC ............. 4,584,787
26,300 NOVARTIS AG (BR) ........................ 42,068,448
92,238 NOVARTIS AG (REGD) ...................... 147,666,821
124,420 NOVO NORDISK AS (CLASS B) ............... 13,585,337
13,410 NYCOMED AS SERIES A ..................... 197,830
25,802 NYCOMED AS SERIES B ..................... 370,069
134,200 oPAREXEL INTERNATIONAL CORP .............. 4,260,850
5,595,500 PFIZER, INC ............................. 668,662,250
313,242 oPHARMACEUTICAL RESOURCES, INC ........... 861,415
4,553,085 PHARMACIA & UPJOHN, INC ................. 158,219,703
143,300 oPROTEIN DESIGN LABORATORIES, INC ........ 4,084,050
130,000 oREGENERON PHARMACEUTICALS, INC .......... 1,316,250
244,300 oREPLIGEN CORP ........................... 290,106
412,700 RHONE-POULNEC RORER, INC ................ 37,504,112
100,000 oRIBOZYME PHARMACEUTICALS, INC ........... 875,000
128,000 RIKEN VITAMIN CO LTD .................... 1,566,028
213,700 oROBERTS PHARMACEUTICAL CORP ............. 2,390,768
1,369 ROCHE HOLDINGS AG. (BR) ................. 18,827,385
10,107 ROCHE HOLDINGS AG. (GENUSSCHEINE) ....... 91,544,629
770,713 SANKYO CO LTD ........................... 25,930,754
536,500 SANTEN PHARMACEUTICAL CO LTD ............ 10,830,373
279,200 oSCHERER (R.P.) CORP ..................... 14,413,700
134,170 SCHERING AG ............................. 14,347,855
6,619,412 SCHERING-PLOUGH CORP .................... 316,904,349
748,450 oSCIOS, INC .............................. 4,771,368
322,400 oSEPRACOR, INC ........................... 8,321,950
200,000 oSEQUANA THERAPEUTICS, INC ............... 2,175,000
451,500 oSEQUUS PHARMACEUTICALS, INC ............. 2,878,312
664,950 SHIONOGI & CO LTD ....................... 5,160,166
5,738,416 SMITHKLINE BEECHAM/BECKMAN LTD .......... 105,580,177
214,500 oSOMATOGEN, INC .......................... 992,062
211,800 oSYNCOR INTERNATIONAL CORP ............... 2,223,900
40,375 SYNTHELABO S.A .......................... 5,260,930
275,700 TAISHO PHARMACEUTICAL CO LTD ............ 7,444,867
1,544,100 TAKEDA CHEMICAL INDUSTRIES LTD .......... 43,450,325
702 TANABE SEIYAKU CO LTD ................... 6,318
1,000 TEIKOKU HORMONE MANUFACTURING ........... 11,972
652,000 TERUMO CORP ............................. 12,478,243
238,228 oU.S. BIOSCIENCE, INC .................... 2,292,944
231,100 oVERTEX PHARMACEUTICALS, INC ............. 8,839,575
1,910,800 WARNER-LAMBERT CO ....................... 237,416,900
351,600 oWATSON PHARMACEUTICALS, INC ............. 14,855,100
384,903 oXOMA CORP ............................... 1,852,345
445,485 YAMANOUCHI PHARMACEUTICAL CO LTD ........ 11,990,727
982,592 ZENECA GROUP PLC ........................ 32,477,611
-------------
5,765,933,010
-------------
HEALTHCARE--HOSPITAL SUPPLY--0.93%
254,000 oAMERISOURCE HEALTH CORP (CLASS A) ....... 12,668,250
624,000 oBIOCOMPATIBLES INTERNATIONAL PLC ........ 13,516,379
902,400 oDEPUY, INC .............................. 20,755,200
62,400 HOGY MEDICAL CO ......................... 2,644,770
294,800 oIMMUCOR, INC ............................ 2,911,150
11,149,454 JOHNSON & JOHNSON CO .................... 717,746,101
373,500 MCKESSON CORP ........................... 28,946,250
954,700 MILLIPORE CORP .......................... 42,006,800
110,000 NOBEL BIOCARE AB ........................ 1,550,618
4,050 oRADIOMETER AS (CLASS B) ................. 208,892
571,600 U.S. SURGICAL CORP ...................... 21,292,100
-------------
864,246,510
-------------
HEALTHCARE--OTHER--1.42%
6,243,588 ABBOTT LABORATORIES CO .................. 416,759,499
121,800 oACCESS HEALTH, INC ...................... 2,984,100
231,400 oACUSON CORP ............................. 5,322,200
217,060 oADVANCED TECHNOLOGY
LABORATORIES, INC ...................... 9,333,580
596,793 ALLEGIANCE CORP ......................... 16,262,609
71,800 oAMERICAN DRUG CO ........................ 15,078
71,800 oAMERICAN DRUG CO WTS 08/05/98 ........... 2,333
See notes to financial statements.
-30-
<PAGE>
SHARES VALUE
------ -----
HEALTHCARE--OTHER--(CONTINUED)
247,100 ARROW INTERNATIONAL, INC ................ $ 7,227,675
316,433 BALLARD MEDICAL PRODUCTS CO ............. 6,348,437
613,972 BARD (C.R.), INC ........................ 22,294,858
461,200 BAUSCH & LOMB, INC ...................... 21,734,050
1,918,737 BAXTER INTERNATIONAL, INC ............... 100,254,008
161,373 oBEC GROUP, INC .......................... 736,264
1,124,312 BECTON DICKINSON & CO ................... 56,918,295
1,339,300 oBIOMET, INC ............................. 24,944,462
120,000 oBIORA AB ................................ 1,117,376
400,100 oBIOWHITTAKER, INC ....................... 4,451,112
798,600 oBOSTON SCIENTIFIC CORP .................. 49,063,987
203,900 oCIRCON CORP ............................. 2,905,575
700 oCNS, INC ................................ 6,387
133,812 oCORAM HEALTHCARE CORP ................... 326,166
409,100 oCOVENTRY CORP ........................... 6,187,637
134,400 oDATASCOPE CORP .......................... 2,637,600
238,900 DENTSPLY INTERNATIONAL, INC ............. 11,706,100
165,800 DIAGNOSTIC PRODUCTS CORP ................ 5,233,062
181,300 oE-Z-EM, INC (CLASS A) ................... 1,495,725
225,270 oE-Z-EM, INC (CLASS B) ................... 1,605,048
784,996 oENZON, INC .............................. 1,766,241
102,963 oEPITOPE, INC ............................ 810,833
8,600 oESSILOR INTERNATIONAL ................... 2,321,754
869,037 oFRESENIUS MEDICAL CARE AG. ADR .......... 25,310,702
119,000 FUKUDA DENSHI CO ........................ 2,443,861
368,000 oGENESIS HEALTH VENTURES, INC ............ 12,420,000
610,913 GUIDANT CORP ............................ 51,927,605
125,100 oGULF SOUTH MEDICAL SUPPLY, INC .......... 2,439,450
26,800 oHAEMONETICS CORP ........................ 512,550
159,423 oHEALTHDYNE TECHNOLOGIES, INC ............ 2,750,046
336,800 HILLENBRAND INDUSTRIES, INC ............. 15,998,000
350,000 oIDEXX LABORATORIES, INC ................. 4,353,125
30,000 ~oINTERNATIONAL HYDRON
(LIQUIDATING TRUST) .................... 600
123,000 oISOLYSER CO, INC ........................ 334,406
60,100 KINETIC CONCEPTS, INC ................... 1,081,800
57,000 LOEWEN GROUP, INC ....................... 1,979,052
5,094,652 LONDON INTERNATIONAL GROUP PLC .......... 14,668,720
14,677 oLYNX THERAPEUTICS, INC .................. 176,124
497,000 oMEDAPHIS CORP ........................... 5,001,062
165,700 oMEDCO RESEARCH, INC ..................... 1,594,862
1,811,472 MEDTRONIC, INC .......................... 146,729,232
372,000 MENTOR CORP ............................. 11,020,500
681,116 oNELLCOR PURITAN BENNETT, INC ............ 12,345,227
124,300 oNEUROMEDICAL SYSTEMS, INC ............... 687,534
396,412 OWENS & MINOR, INC ...................... 5,921,404
831,926 PALL CORP ............................... 19,342,279
177,350 oPATTERSON DENTAL CO ..................... 6,085,321
143,412 oPHARMACEUTICAL PRODUCT
DEVELOPMENT ............................ 3,155,064
101,000 oPHYMATRIX CORP .......................... 1,552,875
328,600 oPHYSICIAN RELIANCE NETWORK, INC ......... 3,080,625
393,100 oPHYSICIAN SALES & SERVICE, INC .......... 7,468,900
180,900 oPLAYTEX PRODUCTS, INC ................... 1,695,937
228,008 oQUEST DIAGNOSTICS, INC .................. 4,688,414
16,000 SAGAMI RUBBER INDUSTRIES CO LTD ......... 78,301
51,500 oSCHEIN (HENRY), INC ..................... 1,609,375
265,500 oSOFAMOR DANEK GROUP, INC ................ 12,146,625
306,360 oSPACELABS MEDICAL, INC .................. 7,812,180
567,950 oST. JUDE MEDICAL, INC ................... 22,150,050
388,672 oSTERIS CORP ............................. 14,526,616
670,000 STEWART ENTERPRISES, INC (CLASS A) ...... 28,140,000
597,800 oSTRYKER CORP ............................ 20,848,275
351,100 oSUMMIT TECHNOLOGY, INC .................. 2,326,037
108,300 oSUNRISE MEDICAL, INC .................... 1,638,037
628,600 oSYBRON INTERNATIONAL CORP ............... 25,065,425
231,900 oSYNETIC, INC ............................ 8,580,300
163,500 oTECNOL MEDICAL PRODUCTS, INC ............ 3,637,875
395,450 oTHERMEDICS, INC ......................... 6,203,621
139,500 oTHERMO CARDIOSYSTEMS, INC ............... 3,627,000
75,500 oTHERMOTREX CORP ......................... 1,882,781
100,000 oTRANSKARYOTIC THERAPIES, INC ............ 3,087,500
3,443 oVITALINK PHARMACY SERVICES, INC ......... 65,847
428,200 oVIVUS, INC .............................. 10,196,512
-------------
1,323,159,685
-------------
HEALTHCARE--SERVICE--1.45%
163,600 oADAC LABORATORIES, INC .................. 3,865,050
1,720,521 AETNA, INC .............................. 176,138,337
24,000 ANALYSTS INTERNATIONAL CORP ............. 804,000
314,300 oAPRIA HEALTHCARE GROUP, INC ............. 5,578,825
303,200 oAVATEX CORP ............................. 360,050
943,661 oBEVERLY ENTERPRISES CO .................. 15,334,491
2,142,229 CARDINAL HEALTH, INC ..................... 122,642,610
174,100 oCERNER CORP ............................. 3,656,100
1,934,181 oCHIROSCIENCE GROUP PLC .................. 7,806,214
163,900 oCOASTAL PHYSICIAN GROUP, INC ............ 266,337
6,110,499 COLUMBIA/HCA HEALTHCARE CORP ............ 240,218,991
772,416 oCOVANCE, INC ............................ 14,917,284
6,000 oEXTENDICARE INC (MULTI-VTG) ............. 91,330
64,000 oEXTENDICARE INC (SUB-VTG)(CLASS A) ...... 946,361
1,156,675 oFOUNDATION HEALTH SYSTEMS (CLASS A) ..... 35,061,710
21,000 FRESENIUS AG ............................ 4,338,343
347,700 oHEALTH CARE & RETIREMENT CORP ........... 11,604,487
35,300 HEALTH CARE PROPERTY INVESTORS, INC ..... 1,244,325
1,145,900 oHEALTH MANAGEMENT ASSOCIATES, INC
(CLASS A) .............................. 32,658,150
132,300 oHEALTH MANAGEMENT SYSTEMS, INC .......... 603,618
281,827 oHEALTHCARE COMPARE CO ................... 14,760,689
245,000 oHEALTHDYNE INFORMATION ENTERPRISES ...... 627,812
2,712,350 oHEALTHSOUTH CORP ........................ 67,639,228
464,919 oHORIZON/CMS HEALTHCARE CORP ............. 9,327,437
1,245,532 oHUMANA, INC ............................. 28,802,927
200 oI-STAT CORP ............................. 3,425
207,000 oINTEGRATED HEALTH SERVICES, INC ......... 7,969,500
200 oINTEGRATED SILICON SOLUTION, INC ........ 1,518
277,400 INVACARE CORP ........................... 6,484,225
358,160 oLABORATORY CORP OF AMERICA
HOLDINGS ............................... 940,170
75,098 oLABORATORY CORP OF AMERICA
HOLDINGS WTS 04/28/00 .................. 4,693
332,000 oLINCARE HOLDINGS, INC ................... 14,276,000
192,000 oLIVING CENTERS OF AMERICA, INC .......... 7,584,000
332,300 oMAGELLAN HEALTH SERVICES, INC ........... 9,802,850
524,650 MANOR CARE, INC ......................... 17,116,706
329,500 oMARINER HEALTH GROUP, INC ............... 5,086,656
500,100 oMATRIA HEALTHCARE, INC .................. 2,000,400
57,000 oMAXICARE HEALTH PLANS, INC .............. 1,275,375
47,000 MDS INC, (CLASS B) ...................... 1,028,849
2,790,313 oMEDPARTNERS, INC ........................ 60,340,518
299,800 oMID ATLANTIC MEDICAL SERVICES, INC ...... 4,665,637
78,590 MORRISON HEALTH CARE, INC ............... 1,252,528
116,100 oMULTICARE COS, INC ...................... 3,178,237
42,600 NICHII GAKKAN CO ........................ 2,382,600
713,200 oNOVACARE, INC ........................... 9,895,650
249,000 oOCCUSYSTEMS, INC ........................ 7,221,000
764,300 OMNICARE, INC ........................... 23,979,912
215,600 oORTHODONTIC CENTERS OF AMERICA, INC ..... 3,921,225
676,300 oOXFORD HEALTH PLANS, INC ................ 48,524,525
210,159 oPACIFICARE HEALTH SYSTEMS, INC
CLASS A ................................ 12,727,754
85,858 oPACIFICARE HEALTH SYSTEMS, INC
CLASS B ................................ 5,484,179
See notes to financial statements.
-31-
<PAGE>
SHARES VALUE
------ -----
HEALTHCARE--SERVICE--(C0NTINUED)
103,200 oPEDIATRIX MEDICAL GROUP, INC ............ $ 4,727,850
514,087 oPHYCOR, INC ............................. 17,703,871
272,900 oPHYSICIAN CORP OF AMERICA ............... 1,739,737
24,700 oPHYSICIANS HEALTH SERVICES, INC
(CLASS A) .............................. 666,900
252,800 oPHYSICIANS RESOURCE GROUP INC ........... 2,275,200
392,800 oRENAL TREATMENT CENTERS, INC ............ 10,556,500
236,900 oROTECH MEDICAL CORP ..................... 4,752,806
218,700 oSAFEGUARD HEALTH ENTERPRISES, INC ....... 2,323,687
73,900 oSIERRA HEALTH SERVICES, INC ............. 2,309,375
409,800 oSUN HEALTHCARE GROUP, INC ............... 8,528,962
3,427,762 oTENET HEALTHCARE CORP ................... 101,333,214
93,400 oTOTAL RENAL CARE HOLDINGS, INC .......... 3,753,512
1,398,794 UNITED HEALTHCARE CORP .................. 72,737,288
341,200 oUNIVERSAL HEALTH SERVICES, INC .......... 13,136,200
332,432 oVALUE HEALTH, INC ....................... 6,731,748
569,488 oVENCOR, INC ............................. 24,060,868
86,600 oVISX, INC ............................... 2,056,750
97,500 VITAL SIGNS, INC ........................ 1,712,343
228,053 oWELLPOINT HEALTH NETWORKS, INC .......... 10,461,931
-------------
1,348,011,580
-------------
HOUSEHOLD--CONSUMER
ELECTRONICS--0.20%
38,500 oBANG & OLUFSEN HOLDINGS A/S
(CLASS B) ............................... 2,380,598
803,000 CASIO COMPUTER CO LTD ................... 6,996,364
1,212 FUJI DENKI REIKI CO LTD ................. 9,532
167,880 HARMAN INTERNATIONAL
INDUSTRIES, INC ........................ 7,071,945
3,059,854 MATSUSHITA ELECTRIC
INDUSTRIAL CO LTD ...................... 61,769,548
60,335 MATSUSHITA ELECTRIC INDUSTRIAL
CO LTD ADR ............................. 12,338,507
247,582 PIONEER ELECTRONIC CORP ................. 6,014,861
2,544,400 SANYO ELECTRIC CO LTD ................... 11,429,052
996,120 SHARP CORP .............................. 13,754,046
637,220 SONY CORP ............................... 55,630,969
207,800 oSUN TELEVISION & APPLIANCES, INC ........ 409,106
374,000 UNIDEN CORP ............................. 5,523,572
460 VICTOR CO OF JAPAN LTD .................. 6,351
319,922 oZENITH ELECTRONICS CORP ................. 3,779,078
-------------
187,113,529
-------------
HOUSEHOLD--DURABLE GOODS--0.47%
145,662 BASSETT FURNITURE INDUSTRIES, INC ....... 4,124,055
946,800 BLACK & DECKER CORP ..................... 35,209,125
1,114,200 CERAMCO CORP LTD ........................ 1,102,598
608,660 CITIZEN WATCH CO LTD .................... 4,702,066
171,200 DYNAMICS CORP OF AMERICA ................ 10,657,200
138,674 ELECTROLUX AB SERIES B .................. 10,007,257
1,641,505 EMAIL LTD ............................... 5,829,325
174,800 FEDDERS CORP ............................ 994,175
152,950 FEDDERS CORP (CLASS A) .................. 860,343
907,544 oFISHER & PAYKEL INDUSTRIES LTD .......... 3,537,016
501,200 oGENTEX CORP ............................. 9,898,700
100,000 oINDUSTRIE NATUZZI S.P.A. ADR ............ 2,562,500
57,913 JD GROUP LTD ............................ 357,527
178,567 oLADD FURNITURE, INC ..................... 2,455,296
905,400 LEGGETT & PLATT, INC .................... 38,932,200
61,600 LIBBEY, INC ............................. 2,156,000
1,019,003 MAYTAG CO ............................... 26,621,453
29,400 NATIONAL PRESTO INDUSTRIES, INC ......... 1,185,187
1,818,462 NEWELL COS, INC ......................... 72,056,556
1,303,700 SHAW INDUSTRIES, INC .................... 13,851,812
2,023,900 STANLEY WORKS CO ........................ 80,956,000
2,133,100 SUNBEAM CORP ............................ 80,524,525
188,000 TAKARA STANDARD CO ...................... 1,642,932
476,900 WHIRLPOOL CORP .......................... 26,020,856
-----------
436,244,704
-----------
HOUSEHOLD--PRODUCTS--1.89%
47,800 AMSTRAD PLC ............................. 226,727
388,913 APTARGROUP, INC ......................... 17,598,313
11,636 BIC S.A ................................. 1,904,652
188,000 oBRIGHTPOINT, INC ........................ 6,121,750
26,500 oCHICAGO MINIATURE LAMP, INC ............. 659,187
123,400 CHURCH & DWIGHT CO, INC ................. 3,300,950
229,233 CLOROX CO ............................... 30,258,756
2,134,372 COLGATE PALMOLIVE CO .................... 139,267,773
1,154,300 DIAL CORP ............................... 18,035,937
60,500 oEKCO GROUP, INC ......................... 351,656
259,500 oFIRST ALERT, INC ........................ 729,843
301,100 FIRST BRANDS CORP ....................... 6,906,481
162,200 GENERAL HOUSEWARES CORP ................. 1,601,725
7,300 HERBALIFE INTERNATIONAL, INC ............ 118,625
1,533,183 KAO CORP ................................ 21,303,593
371,500 KIMBERLY CLARK DE MEXICO S.A
DE CV SERIES A ......................... 1,494,499
7,891,746 KIMBERLY-CLARK CORP ..................... 392,614,363
135,053 LANCASTER COLONY CORP ................... 6,533,188
1,415,916 LION CORP ............................... 6,483,813
66,296 NORITAKE CO LTD ......................... 596,741
629,600 oPERRIGO CO .............................. 7,870,000
558,800 PREMARK INTERNATIONAL, INC .............. 14,947,900
6,975,908 PROCTER & GAMBLE CO ..................... 985,347,005
1,029,500 RUBBERMAID, INC ......................... 30,627,625
265,200 oSCOTTS CO (CLASS A) ..................... 7,690,800
1,100 SMH AG. (BR) ............................ 629,261
22,532 SMH AG. (REGD) .......................... 3,056,246
129,600 STANHOME, INC ........................... 4,260,600
770,380 SWEDISH MATCH CO ........................ 2,590,384
334,600 TAMBRANDS, INC .......................... 16,688,175
204,880 THOMAS INDUSTRIES, INC .................. 5,890,300
575,700 TUPPERWARE CORP ......................... 21,013,050
57,000 UNI CHARM CORP .......................... 2,032,341
163,200 oUSA DETERGENTS, INC ..................... 1,672,800
-------------
1,760,425,059
-------------
INSURANCE--BROKERS & OTHER--0.25%
275,900 oABR INFORMATION SERVICES, INC ........... 8,001,100
229,800 CRAWFORD & CO (CLASS A) ................. 3,533,175
189,000 CRAWFORD & CO (CLASS B) ................. 3,071,250
234,000 DAI-TOKYO FIRE & MARINE INSURANCE ....... 1,357,830
1,337,598 EQUIFAX, INC ............................ 49,741,925
367,700 GALLAGHER (ARTHUR J.) & CO .............. 13,880,675
71,100 oINSIGNIA FINANCIAL GROUP, INC ........... 1,288,687
302,900 JOHN ALDEN FINANCIAL CORP ............... 6,341,968
20,500 oMARSCHOLLEK LAUTENSCHALEGER
UND PARTNER A.G. ....................... 4,917,363
961,120 MARSH & MCLENNAN COS, INC ............... 68,599,940
385,900 MBIA, INC ............................... 43,534,343
69,200 NORRELL CORP ............................ 2,283,600
613,200 oQUORUM HEALTH GROUP, INC ................ 21,921,900
-------------
228,473,756
-------------
INSURANCE--LIFE--0.64%
439,934 oAEGON NV ARS ............................ 30,822,875
252,200 AMERICAN NATIONAL INSURANCE CO .......... 22,508,850
303,600 oAMERIN CORP ............................. 7,362,300
1,251,750 AON CORP ................................ 64,778,062
412,300 ARGONAUT GROUP, INC ..................... 12,162,850
163,500 BERKLEY (W.R.) CORP ..................... 9,626,062
9,900 COMMERCE GROUP, INC ..................... 243,787
See notes to financial statements.
-32-
<PAGE>
SHARES VALUE
------ -----
INSURANCE--LIFE--(CONTINUED)
1,305,912 CONSECO, INC ............................ $48,318,744
758,800 EQUITABLE COS, INC ...................... 25,230,100
231,300 EQUITABLE OF IOWA COS ................... 12,952,800
130,599 IRISH LIFE PLC .......................... 665,109
776,750 JEFFERSON-PILOT CORP .................... 54,275,406
505,347 LEGAL & GENERAL GROUP PLC ............... 3,410,453
11,400 LIBERTY CORP ............................ 464,550
68,874 LIBERTY LIFE ASSOCIATION OF AFICA LTD ... 1,867,822
36,000 LIFE RE CORP ............................ 1,678,500
60,000 METROPOLITAN LIFE LTD ................... 116,150
1,650,000 oNORWICH UNION PLC ....................... 8,773,773
27,100 PRESIDENTIAL LIFE CORP .................. 525,062
28,900 PROTECTIVE LIFE CORP .................... 1,452,225
232,575 PROVIDENT COS, INC ...................... 12,442,762
862,600 oPROVIDIAN FINANCIAL CORP ................ 27,711,025
822,102 PRUDENTIAL CORP PLC ..................... 7,956,224
1,300 REINSURANCE GROUP OF AMERICA, INC ....... 74,750
513,678 RELIANCE GROUP HOLDINGS, INC ............ 6,099,926
434,411 RELIASTAR FINANCIAL CORP ................ 31,766,304
266,384 SEAFIELD CAPITAL CORP ................... 9,523,228
29,200 SOUTHERN LIFE ASSOCIATION LTD ........... 315,467
963,574 SUNAMERICA, INC ......................... 46,974,232
850,050 TORCHMARK CORP .......................... 60,566,062
1,419,700 UNUM CORP ............................... 59,627,400
67,900 VESTA INSURANCE GROUP, INC .............. 2,936,675
291,924 WASHINGTON NATIONAL CORP ................ 8,319,834
551,600 WESTERN NATIONAL CORP ................... 14,789,775
-----------
596,339,144
-----------
INSURANCE--MULTI-LINE, PROPERTY &
CASUALTY--3.32%
322,900 20TH CENTURY INDUSTRIES ................. 6,780,900
1,800 oAACHENER & MUNCHENER
BERTEIL (REGD) ......................... 1,590,726
896,423 AFLAC, INC .............................. 42,355,986
9,300 oAGF UNION-FENIX ......................... 107,492
220,000 oALLEANZA ASSICURAZIONI .................. 1,727,602
18,662 oALLEANZA ASSICURAZIONI (S/S) NON CV ..... 94,370
129,751 oALLEGHANY CORP (DELAWARE) ............... 28,220,842
379,820 oALLIANZ AG. (REGD) ...................... 79,555,986
215,900 ALLIED GROUP, INC ....................... 8,204,200
497,500 ALLMERICA FINANCIAL CORP ................ 19,837,812
40,600 ALLMERICA PROPERTY &
CASUALTY COS, INC ...................... 1,329,650
5,296,353 ALLSTATE CORP ........................... 386,633,769
352,400 AMERICAN BANKERS INSURANCE
GROUP, INC ............................. 22,289,300
3,276,184 AMERICAN INTERNATIONAL GROUP, INC ....... 489,379,985
1,925,283 oASSICURAZIONI GENERALI S.P.A ............ 34,980,851
15,867 ASSUR STAD ROTTERDAM NV ................. 726,417
265,053 AXA UAP ................................. 16,500,940
134,800 AYUDHYA INSURANCE CO LTD (FR) ........... 1,014,718
4,600 CAPITAL RE CORP ......................... 246,100
800 CAPMAC HOLDINGS, INC .................... 26,900
19,950 CHIYODA FIRE & MARINE
INSURANCE CO LTD ....................... 98,503
1,987,500 CHUBB CORP .............................. 132,914,062
819,278 CIGNA CORP .............................. 145,421,845
328,387 CINCINNATI FINANCIAL CORP ............... 25,942,573
189,700 oCNA FINANCIAL CORP ...................... 20,001,493
61,220 COLONIA KONZERN AG. (REGD) .............. 5,656,155
292,652 COMMERICAL UNION ASSURANCE CO LTD ....... 3,075,788
7,625 CORPORACION MAPFRE S.A .................. 406,444
2,900 EA-GENERALI AG .......................... 762,780
689,000 EVEREST REINSURANCE HOLDINGS, INC ....... 27,301,625
126,630 FAI INSURANCES LTD ...................... 61,666
7,850 oFAIRFAX FINANCIAL HOLDINGS LTD .......... 2,276,022
166,744 FIRST AMERICAN FINANCIAL CORP ........... 6,503,016
387,000 FOREMOST CORP OF AMERICA ................ 23,171,625
2,035 oFORTIS AG NPV (STRIP VVPR) .............. 452
63,327 FORTIS AG ............................... 13,087,973
437,280 FREMONT GENERAL CORP .................... 17,600,520
10,200 FRONTIER INSURANCE GROUP, INC ........... 660,450
5,428 GEFION FINANCE CORP ..................... 103,145
804,000 GENERAL REINSURANCE CORP ................ 146,328,000
1,992,662 GIO AUSTRALIAN HOLDINGS LTD ............. 6,120,899
5,520 oGROUPE DES ASSURANCES NATIONALE ......... 127,869
399,066 GUARDIAN ROYAL EXCHANGE
ASSURANCE PLC .......................... 1,793,246
3,000 xHAFNIA HOLDINGS AS (REGD)(CLASS A) ...... 0
2,490 xHAFNIA HOLDINGS AS (REGD)(CLASS B) ...... 0
1,299,736 HARTFORD FINANCIAL SERVICES
GROUP, INC ............................. 107,553,154
94,600 HCC INSURANCE HOLDINGS, INC ............. 2,524,637
85,331 oHIGHLANDS INSURANCE GROUP, INC .......... 1,717,286
873,774 HIH WINTERHUR INTERNATIONAL
HOLDINGS LTD ........................... 2,094,820
149,800 HORACE MANN EDUCATORS CORP .............. 7,340,200
211,800 HSB GROUP, INC .......................... 11,304,825
1,550,514 ING GROEP NV ............................ 71,618,137
8,300,000 oINSTITUTO NAZIONALE DELLE
ASSICURAZION ........................... 12,640,236
268,300 oINSURANCE AUTO AUCTIONS, INC ............ 2,548,850
50,000 KOA FIRE & MARINE INSURANCE CO LTD ...... 302,806
248,740 LAWYERS TITLE CORP ...................... 4,694,967
1,158,200 LINCOLN NATIONAL CORP ................... 74,559,125
3,537,600 oMALAYSIA ASSURANCE ALLIANCE BERHAD ...... 20,603,321
29,298 MAPFRE VIDA S.A ......................... 1,902,332
25,000 MERCURY GENERAL CORP .................... 1,818,750
564,600 MGIC INVESTMENT CORP .................... 27,065,512
28,500 MILANO ASSICURAZIONI .................... 68,707
7,125 MILANO ASSICURAZIONI DI RISP ............ 9,845
804,300 MITSUI TAISHO MARINE & FIRE CO LTD ...... 5,819,827
13,876 oMUNCHENER RUECKVERSICHERUNGS-
GESELLSCHAFT (REGD) (P/P) .............. 38,938,150
364 oMUNCHENER RUECKVERSICHERUNGS-
GESELLSCHAFT (REGD) (P/P)
WTS 03/13/98 ........................... 128,463
447,200 NAC RE CORP ............................. 21,633,300
229,550 NICHIDO FIRE & MARINE INSURANCE
CO LTD ................................. 1,677,047
702,650 NIPPON FIRE & MARINE INSURANCE
CO LTD ................................. 3,794,803
209,600 NISSAN FIRE & MARINE INSURANCE .......... 1,153,967
387,500 OHIO CASUALTY CORP ...................... 17,050,000
1,012,390 OLD REPUBLIC INTERNATIONAL CORP ......... 30,688,071
516,706 ORION CAPITAL CORP ...................... 38,107,067
3,975,000 PACIFIC & ORIENT BERHAD ................. 9,449,298
278,450 PROGRESSIVE CORP ........................ 24,225,150
976,947 QBE INSURANCE GROUP LTD ................. 5,855,429
508,919 RAS S.P.A ............................... 4,024,836
19,600 oRAS S.P.A. WTS 12/31/97 ................. 41,489
3,252,007 ROYAL & SUN ALLIANCE INSURANCE
GROUP PLC .............................. 23,976,556
19,000 ROYALE BELGE VIE ACCIDENTS .............. 5,522,866
1,092,400 SAFECO CORP ............................. 51,001,425
50,000 oSAI S.P.A ............................... 386,904
6,000 SAMPO INSURANCE CO SERIES A ............. 583,341
19,285 oSCHWEIZERISCHE RUCKVERSICHERUNG
(REGD) ................................. 27,315,672
231,489 SEDGWICK GROUP LTD ...................... 477,731
526,000 SELECTIVE INSURANCE GROUP, INC .......... 25,478,125
231,833 SKANDIA FORSAKRINGS AB .................. 8,544,879
See notes to financial statements.
-33-
<PAGE>
SHARES VALUE
------ -----
INSURANCE--MULTI-LINE,
PROPERTY & CASUALTY--(CONTINUED)
1,692,840 ST. PAUL COS, INC ....................... $129,079,050
454,000 oUNI-STOREBRAND AS SERIES A .............. 2,710,057
1,926,365 SUMITOMO MARINE & FIRE
INSURANCE CO ............................ 15,824,433
2,339,822 TOKIO MARINE & FIRE INSURANCE
CO LTD ................................. 30,671,556
768,100 TRANSAMERICA CORP ....................... 71,865,356
9,800 TRANSATLANTIC HOLDINGS, INC ............. 972,650
5,546,028 TRAVELERS GROUP, INC .................... 349,746,390
226,400 TRAVELERS PROPERTY CASUALTY CORP ........ 9,027,700
100,500 oUICI .................................... 2,964,750
390,800 UNITRIN, INC ............................ 23,838,800
517,700 USF&G CORP .............................. 12,424,800
170,750 WILLIS CORROON GROUP PLC ................ 368,012
59,602 ZURICH INSURANCE CO (REGD) .............. 23,752,491
-------------
3,090,508,648
-------------
LEISURE TIME--1.10%
128,100 oACCLAIM ENTERTAINMENT, INC .............. 528,412
134,750 oAMC ENTERTAINMENT, INC .................. 2,476,031
64,300 oANCHOR GAMING CO ........................ 3,070,325
668,900 ARCTIC CAT, INC ......................... 6,939,837
187,200 oARGOSY GAMING CORP ...................... 608,400
158,566 oASCENT ENTERTAINMENT GROUP, INC ......... 1,446,914
500 AUTHENTIC FITNESS CORP .................. 6,312
432,574 oAUTOTOTE CORP (CLASS A) ................. 513,681
67,050 oBALLY TOTAL FITNESS HOLDING CORP ........ 620,212
44,000 oBELL SPORTS CORP ........................ 357,500
99,791 oBERLITZ INTERNATIONAL, INC NEW .......... 2,488,538
1,238,300 BRUNSWICK CORP .......................... 38,696,875
803,500 CALLAWAY GOLF CO ........................ 28,524,250
1,046,600 CARNIVAL CORP (CLASS A) ................. 43,172,250
96,750 oCASINO AMERICA, INC ..................... 211,640
226,800 oCASINO MAGIC CORP ....................... 283,500
33,060 oCHARTWELL LEISURE, INC .................. 442,177
575 oCHRIS CRAFT INDUSTRIES, INC ............. 27,743
857,884 oCIRCUS CIRCUS ENTERPRISES, INC .......... 21,125,393
208,500 COACHMEN INDUSTRIES, INC ................ 3,570,562
6,072,310 DISNEY (WALT) CO ........................ 487,302,877
171,034 EMI GROUP PLC ........................... 3,067,124
219,400 oGALOOB TOYS, INC ........................ 4,141,175
36,847 GAUMONT S.A ............................. 2,692,452
44,080 oGC COS, INC ............................. 2,016,660
236,500 GENTING BERHAD .......................... 1,133,777
343,710 GRANADA GROUP LTD (CLASS A) ............. 4,519,088
331,000 oGRAND CASINOS, INC ...................... 4,882,250
290,700 oGTECH HOLDINGS CORP ..................... 9,375,075
1,087,100 oHARRAHS ENTERTAINMENT, INC .............. 19,567,800
1,300,264 HASBRO, INC ............................. 36,894,991
213,100 oHOLLYWOOD ENTERTAINMENT CORP ............ 4,874,662
219,500 oHOLLYWOOD PARK, INC ..................... 3,210,187
290,525 HUFFY CORP .............................. 4,248,928
1,462,988 INTERNATIONAL GAME TECHNOLOGY CO ........ 25,968,037
446,800 JOSTENS, INC ............................ 11,951,900
288,500 oJUMBOSPORTS, INC ........................ 1,099,906
393,458 K2, INC ................................. 12,467,700
264,700 KIMBALL INTERNATIONAL, INC (CLASS B) .... 10,654,175
9,250,193 LADBROKE GROUP PLC ...................... 36,178,476
611,250 MAGNUM CORP BERHAD ...................... 920,266
2,096,158 MATTEL, INC ............................. 71,007,352
1,022,300 oMIRAGE RESORT, INC ...................... 25,813,075
800 NAMCO LTD ............................... 30,901
15,000 NATIONAL GOLF PROPERTIES, INC ........... 521,250
86,000 NINTENDO CO LTD ......................... 7,214,918
178,100 OUTBOARD MARINE CORP .................... 3,161,275
370,500 oPLAYERS INTERNATIONAL, INC .............. 1,111,500
347,600 oPRESIDENT CASINOS, INC .................. 195,525
182,000 oPRIMADONNA RESORTS, INC ................. 3,514,875
339,000 RANK GROUP PLC .......................... 2,146,772
329,000 oREGAL CINEMAS, INC ...................... 10,857,000
25,000 oSALOMON S.A ............................. 1,908,110
700 SANKYO CO LTD ........................... 21,043
63,700 oSCIENTIFIC GAMES HOLDINGS CORP .......... 1,313,812
177,012 SEGA ENTERPRISES LTD .................... 5,878,249
54,000 SHIMANO, INC ............................ 1,132,574
37,300 SHOCHIKU CO LTD ......................... 352,041
28,400 SHOWBOAT, INC ........................... 495,225
1,892 xoSLM INTERNATIONAL, INC WTS 04/01/02 ..... 18,920
68,800 oSODAK GAMING, INC ....................... 1,014,800
850 SONY MUSIC ENTERTAINMENT INC ............ 39,889
65,500 oSPEEDWAY MOTORSPORTS, INC ............... 1,424,625
51,100 oSPELLING ENTERTAINMENT GROUP, INC ....... 351,312
261,600 oSTATION CASINOS, INC .................... 2,190,900
297,600 STRUM, RUGER & CO, INC .................. 5,840,400
2,108,000 oSYDNEY HARBOUR CASINO
HOLDINGS LTD ........................... 3,284,972
125,000 TABCORP HOLDINGS LTD .................... 674,280
170,034 THORN PLC ............................... 486,738
104,000 TOEI CO ................................. 713,451
32,754 TOHO CO LTD ............................. 5,409,883
313,200 oTRUMP HOTEL & CASINO RESORT, INC ........ 3,366,900
105,275 oWHG RESORTS & CASINO, INC ............... 1,144,865
506,500 WINNEBAGO INDUSTRIES, INC ............... 3,640,468
335,400 oWMS INDUSTRIES, INC ..................... 8,405,962
1,512,049 ZIMBABWE SUN LTD ........................ 563,456
20,862 oZODIAC S.A .............................. 5,330,105
-------------
1,022,855,481
-------------
MACHINERY--1.68%
375,000 AEROQUIP-VICKERS, INC ................... 17,718,750
388,800 AGCO CORP ............................... 13,972,500
36,600 AIDA ENGINEERING LTD .................... 240,525
548,744 AMADA CO LTD ............................ 4,843,428
220 AMADA METRECS CO LTD .................... 2,307
44,200 AMANO CORP .............................. 502,142
283,625 APPLIED INDUSTRIAL TECHNOLOGIES, INC .... 10,210,500
15,000 oAPPLIED POWER, INC (CLASS A) ............ 774,375
284,010 ATLAS COPCO AB SERIES A FREE ............ 7,419,435
24,500 ATLAS COPCO AB SERIES B FREE ............ 640,034
3,182,844 AUSTRALIAN NATIONAL INDUSTRIES LTD ...... 3,863,030
12,000 BOMBARDIER, INC (CLASS A) ............... 273,992
392,252 BOMBARDIER, INC (CLASS B) ............... 8,899,312
6,000 xoBREMER VULKAN AG ........................ 16,527
193,772 BRIGGS & STRATTON CORP .................. 9,688,600
504,000 BROTHERS INDUSTRIES LTD ................. 2,175,801
180,500 BW/IP HOLDING, INC ...................... 3,666,406
2,010,000 CATERPILLAR, INC ........................ 215,823,750
373,300 CINCINNATI MILACRON, INC ................ 9,682,468
306,700 oCOGNEX CORP ............................. 8,127,550
190,650 COMMERCIAL INTERTECH CORP ............... 2,657,184
33,000 CONSTRUCCIONES Y AUXILIAR DE
FERROCARRILES S.A ...................... 1,492,040
510,796 oCOOPER CAMERON CORP ..................... 23,879,713
692,445 COOPER INDUSTRIES, INC .................. 34,449,138
47,505 DAIFUKU CO LTD .......................... 626,870
291,000 DAIKIN INDUSTRIES LTD ................... 2,644,770
81,000 oDANIELI & CO ............................ 534,862
2,827,473 DEERE & CO .............................. 155,157,580
196,432 DELTA & PINE LAND CO .................... 6,997,890
21,750 oDEUTZ AG ................................ 207,190
708,800 DOVER CORP .............................. 43,591,200
See notes to financial statements.
-34-
<PAGE>
SHARES VALUE
------ -----
MACHINERY--(CONTINUED)
230,400 DURCO INTERNATIONAL, INC ................ $ 6,739,200
118,560 EBARA CORP .............................. 1,782,084
19,000 FAG KUGELFISCHER (GEORG)
SCHAEFER AG ............................. 353,810
268,984 FANUC LTD ............................... 10,342,865
315,514 FEDERAL SIGNAL CORP ..................... 7,927,289
140 FISCHER (GEORGE) LTD (BR) ............... 194,937
28 FISCHER (GEORGE) LTD (REGD) ............. 7,682
240,873 FKI PLC ................................. 681,504
18,500 FLS INDUSTRIES AS (CLASS B) ............. 627,763
2,294,367 +oFMC CORP ................................ 182,258,778
172,800 oFSI INTERNATIONAL, INC .................. 2,764,800
161,000 oFUJI MACHINE MANUFACTURING CO ........... 5,838,962
2,200 FUJI TEC CO LTD ......................... 26,147
21,000 FUKUSIMA INDUSTRIES ..................... 414,752
196,200 GATX CORP ............................... 11,330,550
196,200 GIDDINGS & LEWIS, INC ................... 4,095,675
319,400 GREENFIELD INDUSTRIES, INC .............. 8,623,800
377,300 HARNISCHFEGER INDUSTRIES, INC ........... 15,657,950
375,900 HARSCO CORP ............................. 15,223,950
75,300 IDEX CORP ............................... 2,484,900
1,220,200 ILLINOIS TOOL WORKS, INC ................ 60,933,737
136,800 IMI PLC ................................. 780,929
943 oINDUSTRIE-WERKE KARLSRUHE
AUGSBURG AG. ........................... 274,360
1,046,100 INGERSOLL-RAND CO ....................... 64,596,675
157,300 oINTEGRATED PROCESS EQUIPMENT CORP ....... 3,981,656
26,000 oINTERVOICE, INC ......................... 238,875
432,600 JLG INDUSTRIES, INC ..................... 5,894,175
1,958,000 KAWASAKI HEAVY INDUSTRIES, LTD .......... 9,120,142
220,800 KAYDON CORP ............................. 10,957,200
298,577 KENNAMETAL, INC ......................... 12,838,811
241,717 KEYSTONE INTERNATIONAL, INC ............. 8,384,558
1,349,950 KOMATSU LTD ............................. 10,971,408
136,660 KOMORI CORP ............................. 3,248,419
382,000 KOYO SEIKO CO LTD ....................... 3,057,880
8,000 oKSB AG .................................. 1,974,061
2,259,000 KUBOTA CORP ............................. 11,074,925
296,700 KURITA WATER INDUSTRIES LTD ............. 7,908,226
12,735 KVAERNER INDUSTRIER AS SERIES A ......... 771,496
3,935 KVAERNER INDUSTRIER AS SERIES B ......... 220,378
1,920 oLAHMEYER AG ............................. 85,609
151,800 LAWSON PRODUCTS, INC .................... 4,098,600
11,693 LINDE AG ................................ 8,957,965
20,000 LUCASVARITY PLC ADR ..................... 692,500
54,600 MADECO S.A. ADR ......................... 1,337,700
79,600 MAGNA INTERNATIONAL, INC ................ 4,788,925
39,130 MAKINO MILLING MACHINE CO LTD ........... 334,775
308,500 MAKITA CORP ............................. 4,529,248
5,000 oMAN AG. (STAMM) ......................... 1,540,800
175,250 MANITOWOC, INC .......................... 8,192,937
79,102 MANNESMANN AG ........................... 35,270,421
110,200 MASCOTECH, INC .......................... 2,300,425
727,424 oMETAL MANUFACTURES LTD .................. 1,798,454
22,000 METRA CO SERIES B ....................... 662,853
98,700 MINE SAFETY APPLIANCE CO ................ 5,971,350
3,876,000 MITSUBISHI HEAVY INDUSTRIES LTD ......... 29,773,807
290,000 MIURA KOGYO ............................. 4,105,582
266,000 oMOLTEN METAL TECHNOLOGY, INC ............ 1,330,000
185,000 MORI SEIKI CO LTD ....................... 2,974,755
414,600 NEWPORT CORP ............................ 4,664,250
316,037 NEWPORT NEWS SHIPBUILDING, INC .......... 6,142,969
131,000 oNIIGATA ENGINEERING CO LTD .............. 240,409
5,000 NIKKO CO LTD ............................ 27,440
69,680 NIPPON SHARYO LTD ....................... 450,001
81,400 NITTO KOHKI CO LTD ...................... 2,816,964
168,300 NORDSON CORP ............................ 10,813,275
165,200 oNOVELLUS SYSTEMS, INC ................... 14,289,800
712,600 NSK LTD ................................. 4,589,602
1,449,700 NTN TOYO BEARING CO LTD ................. 8,120,783
53,900 OKUMA CORP .............................. 475,742
550,137 OYL INDUSTRIES BERHAD ................... 3,487,402
799,000 PARKER-HANNIFIN CORP .................... 48,489,312
236,000 POKPHAND (C.P.) CO LTD .................. 73,109
3,135 oRAUMA OY ................................ 71,823
38,200 oREXEL, INC .............................. 706,700
174,900 ROPER INDUSTRIES, INC ................... 9,072,937
500 SAKAI HEAVY INDUSTRIES LTD .............. 2,626
58,000 SANDEN CORP ............................. 486,587
204,000 oSANTA FE INTERNATIONAL CORP ............. 6,936,000
5,000 oSAURER AG. (REGD) ....................... 3,316,413
58 SCHINDLER HOLDINGS LTD (PT CERT) ........ 72,604
460 SCHINDLER HOLDINGS LTD (REGD) ........... 591,604
87,000 SEMBAWANG CORP .......................... 395,510
720 SHIN NIPPON MACHINERY CO LTD ............ 2,862
191,692 SIDEL S.A ............................... 14,856,071
24,000 SMC ..................................... 2,030,244
400,808 SMITH (HOWARD) LTD ...................... 3,783,595
268,500 STEWART & STEVENSON SERVICES, INC ....... 6,981,000
17,711 STORK NV ................................ 723,155
64,894 oSTRATTEC SECURITY CORP .................. 1,338,438
5,519 SULZER WINTERTHUR AG. (REGD) ............ 4,731,976
525,760 SUMITOMO HEAVY INDUSTRIES LTD ........... 2,127,307
419,800 SUNDSTRAND CORP ......................... 22,669,200
27,000 SVENKA KULLAGERFABRIKEN AB SERIES B ..... 698,360
20,000 SVENSKA KULLAGERFABRIKEN AB
SERIES A FREE .......................... 497,905
164,700 TECUMSEH PRODUCTS CO (CLASS A) .......... 9,861,412
31,600 TECUMSEH PRODUCTS CO (CLASS B) .......... 1,781,450
360,400 TELEFLEX, INC ........................... 11,262,500
222,100 TENNANT CO .............................. 7,384,825
744,880 oTHERMO ELECTRON CORP .................... 25,605,250
195,722 TI GROUP PLC ............................ 1,705,249
656,021 TIMKEN CO ............................... 23,329,746
226,250 TOMRA SYSTEMS AS ........................ 4,635,760
179,850 TORO CO ................................. 6,811,818
65,000 oTOWA CORP ............................... 2,743,609
61,600 TOYO KANETSU K.K ........................ 141,040
307,250 TOYOTA AUTOMATIC LOOM WORKS LTD ......... 6,981,150
2,542,000 TRACTORS MALAYSIA HOLDINGS BERHAD ....... 4,250,100
170,300 TRIMAS CORP ............................. 4,789,687
328,500 TRINITY INDUSTRIES, INC ................. 10,429,875
171,000 TSUBAKIMOTO CHAIN CO .................... 1,046,058
200 TSUBAKIMOTO MACHINERY &
ENGINE CO LTD .......................... 713
32,000 oTSUGAMI CORP ............................ 95,639
209,100 oULTRATECH STEPPER, INC .................. 4,783,162
38,000 UNITED DOMINION INDUSTRIES LTD .......... 933,749
6,000 VA TECHNOLOGIE AG. (BR) ................. 1,098,232
183,800 VALMET OY SERIES A ...................... 3,177,621
131,000 VICKERS PLC ............................. 448,037
104,000 oVT HOLDING AS (CLASS B) ................. 4,156,433
253,600 WATTS INDUSTRIES, INC (CLASS A) ......... 6,086,400
800 YOKOHAMA RUBBER CO LTD .................. 3,425
402,700 YORK INTERNATIONAL CORP ................. 18,524,200
27,453 ZARDOYA OTIS S.A ........................ 3,619,200
167,700 ZURN INDUSTRIES, INC .................... 4,821,375
-----------
1,561,413,574
-------------
See notes to financial statements.
-35-
<PAGE>
SHARES VALUE
------ -----
METALS--ALUMINUM--0.21%
307,400 oACX TECHNOLOGIES, INC ................... $ 6,916,500
278,800 ALCAN ALUMINIUM CO LTD .................. 9,518,327
35,065 ALCAN ALUMINIUM CO LTD (U.S.) ........... 1,216,317
481,897 oALUMAX, INC ............................. 18,281,967
1,371,700 ALUMINUM CO OF AMERICA .................. 103,391,887
583 ALUSUISSE LONZA HOLDINGS AG. (BR) ....... 597,835
21,814 ALUSUISSE LONZA
HOLDINGS AG. (REGD) .................... 22,623,473
14,187 oGRANGES ................................. 188,061
123,600 INTERNATIONAL ALUMINUM CORP ............. 3,275,400
129,500 oKAISER ALUMINUM CORP .................... 1,586,375
313,890 REYNOLDS METALS CO ...................... 22,364,662
331,384 TOYO SEIKAN KAISHA LTD .................. 7,355,750
-------------
197,316,554
-------------
METALS--GOLD--0.25%
4,000 AGNICO EAGLE MINES LTD .................. 38,416
765,001 oAMAX GOLD, INC .......................... 4,685,631
60,000 BARRICK GOLD CORP (U.S.) ................ 1,320,000
274,979 BARRICK GOLD CORP ....................... 5,989,505
1,385,550 BATTLE MOUNTAIN GOLD CO ................. 7,880,315
25,500 BEATRIX MINES LTD ....................... 115,538
2,130,000 oBOUGAINVILLE COPPER LTD ................. 845,771
70,000 CAMBIOR, INC ............................ 796,607
102,200 oCOEUR DALENE MINES CORP ................. 1,322,212
161,000 DELTA GOLD NL ........................... 266,572
35,000 oDOMINION MINING LTD ..................... 17,306
17,500 oDOMINION MINING LTD WTS 12/31/98 ........ 2,491
17,000 oECHO BAY MINES LTD (U.S.) ............... 97,750
45,000 ECHO BAY MINES LTD ...................... 251,159
606,300 oEUOR-NEVADA MINING CORP ................. 18,677,701
300,200 oFRANCO-NEVADA MINING CORP LTD ........... 15,068,755
632,328 FREEPORT-MCMORAN COPPER &
GOLD, INC (CLASS A) .................... 18,495,594
1,156,164 FREEPORT-MCMORAN COPPER &
GOLD, INC (CLASS B) .................... 35,985,604
12,000 FREESTATE CONSOLIDATED
GOLDMINES LTD .......................... 60,059
375,635 oGETCHELL GOLD CORP ...................... 13,194,179
102,000 oGOLDEN KNIGHT RESOURCES, INC ............ 208,495
6,222 oGOLDFIELDS LTD .......................... 9,183
508,000 GREAT CENTRAL MINES LTD ................. 959,857
174,000 oHJ JOEL GOLD MINING LTD ................. 134,274
1,028,950 HOMESTAKE MINING CO ..................... 13,440,659
15,096 JCI LIMITED ............................. 116,161
647,155 oNEWCREST MINING LTD ..................... 1,774,060
83,600 NEWMONT GOLD CO ......................... 3,338,775
2,022,970 NEWMONT MINING CORP ..................... 78,895,830
1,965,591 NORMANDY MINING LTD ..................... 2,194,204
13,000 oPEGASUS GOLD, INC ....................... 78,682
548 PLACER DOME, INC (U.S.) ................. 8,973
100,800 PLACER DOME, INC ........................ 1,636,648
3,500 PLUTONIC RESOURCES LTD .................. 10,855
230,000 oRAYROCK YELLOWKNIFE
RESOURCES, INC ......................... 1,100,319
4,700 SOUTHVAAL HOLDINGS LTD .................. 94,300
1,300 VAAL REEFS EXPLORATION &
MINING CO LTD .......................... 62,771
-------------
229,175,211
-------------
METALS--NON-FERROUS--0.34%
86,200 ABERFOYLE LTD ........................... 238,949
23,100 AMCOL INTERNATIONAL CORP ................ 418,687
23,000 oANGLO AMERICAN PLATINUM
CORP LTD ............................... 190,166
257,500 ASARCO, INC ............................. 7,885,937
188,400 ASHLAND COAL, INC ....................... 5,369,400
313,000 ASHTON MINING LTD ....................... 426,789
183,200 BMC INDUSTRIES, INC ..................... 6,274,600
392,000 BRUSH WELLMAN, INC ...................... 8,207,500
145,300 CAMECO CORP ............................. 5,450,331
40,800 oCOLEMAN CO, INC ......................... 703,800
125,200 COMINCO LTD ............................. 3,335,098
22,000 CONSOLIDATED METALLURGICAL
INDUSTRIES LTD ......................... 61,602
737,794 CYPRUS AMAX MINERALS CO ................. 18,075,953
206,031 ERAMET .................................. 9,510,217
163,769 FREEPORT-MCMORAN, INC ................... 4,728,829
1,268,000 FUJIKURA LTD ............................ 11,856,725
1,099,000 FURUKAWA ELECTRIC CO LTD ................ 7,001,433
361,196 GREEN (A.P.) INDUSTRIES, INC ............ 3,386,212
144,000 GRUPO MEXICO S.A. SERIES B .............. 543,088
820,000 oHECLA MINING CO ......................... 4,407,500
97 HITACHI CABLE LTD ....................... 802
88,236 HULLAS DEL COTO CORTES S.A .............. 1,991,722
19,300 IMPALA PLATINUM HOLDINGS LTD ............ 215,957
35,000 INCO LTD ................................ 1,046,499
151,160 INCO LTD CO (U.S.) ...................... 4,544,247
1,195,000 JAPAN ENERGY CORP ....................... 3,132,931
89,209 JOHNSON MATTHEY PLC ..................... 859,644
557,568 MAPCO, INC .............................. 17,563,392
5,737,501 MIM HOLDINGS LTD ........................ 8,425,130
9,500 MINERALS TECHNOLOGIES, INC .............. 356,250
1,752,000 MITSUBISHI MATERIALS CORP ............... 7,012,313
1,480,000 MITSUI MINING & SMELTING CO LTD ......... 6,583,263
91,700 oMUELLER INDUSTRIES, INC ................. 4,011,875
65,000 oNIPPON DENKO CO LTD ..................... 176,090
772,380 NIPPON LIGHT METAL CO LTD ............... 2,814,678
372,800 NORANDA, INC ............................ 8,039,144
2,003,995 NORTH LTD ............................... 7,582,034
27,400 OGLEBAY NORTON CO ....................... 1,215,875
85,400 oOREGON METALLURICAL CORP ................ 2,401,875
1,016,000 OROGEN MINERALS LTD ..................... 2,884,899
45,000 OUTOKUMPU OY SERIES A ................... 892,339
49,800 PENN VIRGINIA CORP ...................... 2,440,200
723,800 PHELPS DODGE CORP ....................... 61,658,712
1,539,265 QCT RESOURCES LTD ....................... 1,879,744
540,000 QNI LTD ................................. 966,917
76,800 REGAL-BELOIT CORP ....................... 2,011,200
551,092 RGC LTD ................................. 2,002,458
72,800 RIO ALGOM LTD ........................... 1,778,313
992,771 RIO TINTO LTD ........................... 16,794,643
150,000 RIO TINTO PLC (BR) ...................... 2,621,272
287,688 RIO TINTO PLC (REGD) .................... 5,010,632
123,000 oRMI TITANIUM CO ......................... 3,351,750
36,655 RUSTENBERG PLATINUM HOLDINGS LTD ........ 670,789
94,000 SOCIEDAD QUIMICA Y MINERA DE
CHILE ADR .............................. 6,215,750
46,000 oSTILLWATER MINING CO .................... 1,023,500
121,000 STRAITS TRADING CO ...................... 264,037
396,400 SUMITOMO METAL MINING CO LTD ............ 2,805,953
See notes to financial statements.
-36-
<PAGE>
SHARES VALUE
------ -----
METALS--NON-FERROUS--(CONTINUED)
1,977 oSUNSHINE MINING & REFINING CO
WTS 03/03/99 ........................... $ 432
702,054 oSUNSHINE MINING & REFINING CO ........... 482,662
50,300 TECK CORP LTD (CLASS B) ................. 1,019,052
34,880 TRELLEBORG AB SERIES B FREE ............. 572,883
35,300 oUNION MINIERE GROUP S.A ................. 3,309,019
3,893 oWESTAIM CORP ............................ 15,237
3,670,221 WMC LTD ................................. 22,960,241
-------------
319,679,171
-------------
METALS--STEEL--0.38%
44,770 ACERINOX S.A ............................ 8,404,241
134,000 oACINDAR S.A. (CLASS B) .................. 343,074
242,831 oACME METALS, INC ........................ 4,158,480
242,200 AK STEEL HOLDINGS CORP .................. 10,687,075
1,165,587 ALLEGHENY TELEDYNE, INC ................. 31,470,849
504,000 AMSTEEL CORP BERHAD ..................... 385,388
84,000 oAMSTEEL CORP BERHAD WTS 05/19/00 ........ 37,607
26,700 oARMCO, INC .............................. 103,462
1,092,700 oBETHLEHEM STEEL CORP .................... 11,405,056
401,700 BIRMINGHAM STEEL CORP ................... 6,226,350
4,400 BOHLER-UDDEHOLM AG. (BR) ................ 341,275
821,000 BRITISH STEEL PLC ....................... 2,035,921
189,900 CARPENTER TECHNOLOGY CORP ............... 8,687,925
224,781 CLEVELAND CLIFFS, INC ................... 9,159,825
108,000 CO STEEL, INC ........................... 1,800,522
17,200,000 COMPANIA SIDERURGICA
NACIONAL S.A ............................ 567,155
822,000 DAIDO STEEL CO LTD ...................... 2,657,879
318,400 DOFASCO, INC ............................ 6,035,200
6,000 ELKEM AS ................................ 117,610
47,600 oFLACK S.P.A ............................. 179,408
367,100 oFANSTEEL, INC ........................... 2,730,306
405,662 HANNA (M.A.) CO ......................... 11,688,136
35,398 HIGHVELD STEEL & VANDIUM
CORP LTD ................................ 132,288
337,000 INLAND STEEL INDUSTRIES, INC ............ 8,804,125
33,200 IPSCO, INC .............................. 968,614
526,788 ISCOR LTD ............................... 348,443
1,000 IVACO, INC (CLASS A) .................... 3,624
237,500 J & L SPECIALTY STEEL, INC .............. 2,850,000
794,000 oJAPAN STEEL WORKS LTD ................... 1,547,344
2,721,360 KAWASAKI STEEL CORP ..................... 8,870,672
37,500 KITAGAWA INDUSTRIES CO LTD .............. 1,114,222
620 oKOBE STEEL LTD .......................... 1,186
477,100 LTV CORP ................................ 6,798,675
81,500 LUKENS, INC ............................. 1,533,218
409,645 oMATERIAL SCIENCES CORP .................. 6,323,894
58,000 oMITSUBISHI STEEL MANUFACTURING
CO LTD ................................. 205,279
108,750 NATIONAL IRON & STEEL MILLS LTD ......... 276,857
10,946,000 NIPPON STEEL CORP ....................... 35,010,496
4,101,920 NKK CORP ................................ 8,818,283
464,000 NUCOR CORP .............................. 26,216,000
174,100 OREGON STEEL MILLS, INC ................. 3,471,118
15,480 POHANG IRON & STEEL CO. LTD ............. 1,108,578
38,450 PREUSSAG AKTIEGESELLSCHAFT AG ........... 11,264,041
124,800 QUANEX CORP ............................. 3,829,800
180,000 oRAILTEX, INC ............................ 3,240,000
198,400 ROUGE STEEL CO (CLASS A) ................ 3,348,000
52,000 SAMANCOR LTD ............................ 521,662
60,500 SANDVIK AB SERIES B FREE ................ 1,717,416
599,500 oSIDERCA S.A. (CLASS A) .................. 1,552,860
43,000 oSTELCO, INC (CLASS A) ................... 321,035
80 SUMIKIN BUSSAN CORP ..................... 258
9,460,080 SUMITOMO METAL INDUSTRIES LTD ........... 26,950,954
62,490 THYSSEN AG .............................. 14,810,262
365,000 oTOKYO KIKAI ............................. 2,574,116
6,000 TOKYO STEEL MANUFACTURING CO LTD ........ 67,115
17,300 oTUBOS DE ACERO DE MEXICO S.A ............ 317,095
697,090 oUSINOR SACILOR S.A. ..................... 12,585,871
501,764 USX-US STEEL GROUP, INC ................. 17,593,100
196,800 oWOLVERINE TUBE, INC ..................... 5,485,800
584,212 WORTHINGTON INDUSTRIES, INC ............. 10,698,382
1,045 YOKOGAWA BRIDGE CORP .................... 7,397
-------------
350,510,824
-------------
MISCELLANEOUS MATERIALS &
COMMODITIES--0.07%
9,174 ANGLO AMERICAN COAL CORP LTD ............ 564,336
944,050 ASAHI GLASS CO LTD ...................... 9,405,060
92,908 DELTIC TIMBER CORP ...................... 2,723,365
23,000 FRIED KRUPP AG HOESCH KRUPP ............. 4,500,744
400,000 GOLDEN HOPE PLANTATIONS BERHAD .......... 687,797
600,000 HIGHLANDS & LOWLANDS BERHAD ............. 917,592
8,000,000 oIOI CORP ................................ 9,128,378
2,800,000 KUALA LUMPUR KEPONG BERHAD .............. 6,933,447
140,000 NICHIHA CORP ............................ 2,202,228
832,000 NIPPON SHEET GLASS CO LTD ............... 3,068,297
140,800 oOAKLEY, INC ............................. 1,980,000
150,000 PERLIS PLANTATIONS BERHAD ............... 439,778
740,065 PG INDUSTRIES ZIMBABWE LTD .............. 282,269
96,000 PRESTIGE PROPERTY HOLDINGS LTD .......... 18,091
1,800,000 oPT MEDCO ENERGI CORP (FR) ............... 3,310,605
3,500,000 oPT WICAKSANA OVERSEAS INT (FR) .......... 4,279,537
48,000 VIDR SMARINA S.A ........................ 132,416
132,000 VIDRALA S.A ............................. 5,761,744
43,000 oVITRO S.A ............................... 159,469
152,800 oVITRO S.A. ADR .......................... 1,719,000
500,000 WANKIE COLLIERY CO LTD .................. 252,082
98,700 oZOLTEK COS, INC ......................... 3,775,275
-------------
62,241,510
-------------
OFFICE EQUIPMENT--3.33%
150,000 oACCENT COLOR SCIENCES, INC .............. 614,062
717,100 oAMDAHL CORP ............................. 6,319,443
1,306,200 oAPPLE COMPUTER, INC ..................... 18,613,350
238,769 oAPPLIED MAGNETICS CORP .................. 5,402,148
403,300 oASPECT TELECOMMUNICATIONS CORP .......... 8,973,425
308,041 oAST RESEARCH, INC ....................... 1,626,841
688,176 AVERY DENNISON CORP ..................... 27,613,062
88,500 oBOISE CASCADE OFFICE PRODUCTS CORP ...... 1,504,500
2,530,900 oCOMPAQ COMPUTER CORP .................... 251,191,825
302,350 oCONTROL DATA SYSTEMS, INC ............... 4,497,456
504,600 xoCRAY COMPUTER CORP ...................... 504
379,400 oDATA GENERAL CORP ....................... 9,864,400
1,198,000 oDELL COMPUTER CORP ...................... 140,690,125
10,000 DIAMOND LEASE CO LTD .................... 118,850
1,243,500 oDIGITAL EQUIPMENT CORP .................. 44,066,531
224,200 oDREXLER TECHNOLOGY CORP ................. 2,326,075
147,100 oEMULEX CORP ............................. 2,243,275
133,400 oEVANS & SUTHERLAND COMPUTER CORP ........ 3,718,525
144,800 oFILENET CORP ............................ 2,099,600
376,400 oGATEWAY 2000, INC ....................... 12,209,475
445,675 GERBER SCIENTIFIC, INC .................. 8,802,081
7,743,908 HEWLETT-PACKARD CO ...................... 433,658,848
161,300 HON INDUSTRIES, INC ..................... 7,137,525
898,200 IKON OFFICE SOLUTIONS, INC .............. 22,398,862
500 oIN FOCUS SYSTEMS, INC ................... 12,812
See notes to financial statements.
-37-
<PAGE>
SHARES VALUE
------ -----
OFFICE EQUIPMENT (CONTINUED)
10,644,600 *INTERNATIONAL BUSINESS
MACHINES CORP ......................... $960,009,862
882,500 oIOMEGA CORP ............................. 17,539,687
219,000 KOKUYO CO LTD ........................... 5,932,907
335,000 oKOMAG, INC .............................. 5,485,625
614,300 oLEXMARK INTERNATIONAL GROUP
(CLASS A) ............................... 18,659,362
25,600 oMICROS SYSTEMS, INC ..................... 1,075,200
259,000 MILLER (HERMAN), INC .................... 9,324,000
76,381 OCE NV .................................. 9,870,696
25,900 oPAXAR CORP .............................. 488,862
2,058,096 PITNEY BOWES, INC ....................... 143,037,672
472,400 oQMS, INC ................................ 1,240,050
1,229,200 oQUANTUM CORP ............................ 24,968,125
304,600 oSCI SYSTEMS, INC ........................ 19,418,250
2,201,236 oSEAGATE TECHNOLOGY, INC ................. 77,455,991
473,200 oSEQUENT COMPUTER SYSTEMS, INC ........... 9,966,775
257,700 SHELBY WILLIAMS INDUSTRIES, INC ......... 3,511,162
1,373,904 oSILICON GRAPHICS, INC ................... 20,608,560
14,775 oSMITH CORONA WTS 02/28/99 ............... 20,315
515,800 oSOLECTRON CORP .......................... 36,138,237
372,423 oSTORAGE TECHNOLOGY CORP ................. 16,572,823
243,250 oSTRATUS COMPUTER, INC ................... 12,162,500
512,000 oSTREAMLOGIC CORP ........................ 30,720
3,697,000 oSUN MICROSYSTEMS, INC ................... 137,597,718
1,450,800 oTANDEM COMPUTERS, INC ................... 29,378,700
391,800 oU.S. OFFICE PRODUCTS CO ................. 11,974,387
1,952,500 oUNISYS CORP ............................. 14,887,812
714,800 oVIKING OFFICE PRODUCTS, INC ............. 13,581,200
397,308 oWANG LABORATORIES, INC .................. 8,467,626
6,773 oWANG LABORATORIES, INC WTS 07/02/01 ..... 42,542
5,992,872 XEROX CORP .............................. 472,687,779
-------------
3,097,838,745
-------------
PAPER--0.51%
194,900 ALBANY INTERNATIONAL CORP
(CLASS A) .............................. 4,385,250
438,100 BEMIS, INC .............................. 18,947,825
235,243 BOWATER, INC ............................ 10,879,988
7,700 oBUCKEYE CELLULOSE CORP .................. 259,875
426,600 CARAUSTAR INDUSTRIES, INC ............... 14,771,025
117,400 CHESAPEAKE CORP ......................... 3,962,250
318,100 CONSOLIDATED PAPERS, INC ................ 17,177,400
74,305 oCROWN VANTAGE, INC ...................... 557,287
98,000 oDAISHOWA PAPER MANUFACTURING
CO LTD ................................. 539,545
220,000 oENSO OY R SHARES ........................ 2,033,032
4,552,296 FLETCHER CHALLENGE LTD (PAPER
DIVISION) .............................. 11,015,400
430,300 oFORT HOWARD CORP ........................ 21,783,937
397,000 GLATFELTER (P.H.) CO .................... 7,940,000
1,754,863 INTERNATIONAL PAPER CO .................. 85,220,534
830,050 JAMES RIVER CORP OF VIRGINIA ............ 30,711,850
148,100 oJEFFERSON SMURFIT CORP .................. 2,369,600
762,200 LONGVIEW FIBRE CO ....................... 12,671,575
485,654 MEAD CORP ............................... 30,231,961
485,900 MITSUBISHI PAPER MILLS LTD .............. 1,902,333
433,249 MOSINEE PAPER MILLS CORP ................ 10,614,600
97,000 NAMPAK LTD .............................. 421,320
1,231,000 NIPPON PAPER INDUSTRIES CO .............. 7,132,361
1,646,666 OJI PAPER CO LTD ........................ 10,202,661
544,600 PENTAIR, INC ............................ 17,903,725
3,062,000 oPT FAJAR SURYA WISEA (FR) ............... 1,289,944
1,778,913 oPT PABRIK KERTAS TJIWI KIMIA (FR) ....... 2,065,451
81,179 SAPPI LTD ............................... 733,842
88,000 oSETTSU CORP ............................. 119,199
337,000 oSHOREWOOD PACKAGING CORP ................ 7,666,750
908,065 SONOCO PRODUCTS CO ...................... 27,639,228
581,000 SPICERS PAPER LTD ....................... 921,063
7,900 ST. JOE CORP ............................ 661,625
936,649 oSTONE CONTAINER CORP .................... 13,405,788
393,014 TEMPLE-INLAND, INC ...................... 21,222,756
634,700 UNION CAMP CORP ......................... 31,735,000
716,200 UNISOURCE WORLDWIDE, INC ................ 11,459,200
378,928 WAUSAU PAPER MILLS CO ................... 7,152,266
805,393 WESTVACO CORP ........................... 25,319,542
-------------
475,026,988
-------------
PETROLEUM--EXPLORATION &
PRODUCTION--0.79%
688,200 AMERADA HESS CORP ....................... 38,238,112
426,264 ANADARKO PETROLEUM CORP ................. 25,575,840
151,944 oANDERSON EXPLORATION LTD ................ 1,960,426
3,640,088 APACHE CORP ............................. 118,302,860
194,170 ASTRA CIA AREGENTINA S.A. SERIES B ...... 411,681
286,960 oBARNETT RESOURCES CORP .................. 8,590,865
294,000 oBENTON OIL & GAS CO ..................... 4,410,000
158,100 oBROWN (TOM), INC ........................ 3,359,625
1,706,581 BURLINGTON RESOURCES, INC ............... 75,302,886
129,494 oCANADIAN NATURAL RESOURCES LTD .......... 3,365,005
310,100 CHESAPEAKE ENERGY CORP .................. 3,042,856
56,000 ~oCORIMON S.A. ADR ........................ 49,938
244,000 DEVON ENERGY CORP ....................... 8,967,000
594,400 ENRON OIL & GAS CO ...................... 10,773,500
488,480 oEQUITY OIL CO ........................... 1,618,090
251,600 oEVI, INC ................................ 10,567,200
150,700 oFALCON DRILLING CO, INC ................. 8,684,087
33,500 oFOREST OIL CORP ......................... 492,031
33,298 HARDY OIL & GAS PLC ..................... 185,372
75,500 oHARKEN ENERGY CORP ...................... 528,500
233,600 KCS ENERGY, INC ......................... 4,759,600
361,800 KERR-MCGEE CORP ......................... 22,929,075
111,800 LOMAK PETROLEUM, INC .................... 1,991,437
402,870 LONDON & SCOTTISH MARINE OIL PLC ........ 1,739,938
194,700 LOUISIANA LAND & EXPLORATION CO ......... 11,122,237
214,800 MITCHELL ENERGY & DEVELOPMENT
CORP (CLASS A) .......................... 4,349,700
304,700 MITCHELL ENERGY & DEVELOPMENT
CORP (CLASS B) ......................... 6,512,962
500,000 MOL MAGYAR OLAJ-ES GAZIPARI
GDR (144A) ............................. 11,125,000
103,000 MONTEREY RESOURCES, INC ................. 1,532,125
325,180 MURPHY OIL CORP ......................... 15,852,525
225,200 oNEWFIELD EXPLORATION CO ................. 4,504,000
362,500 NOBLE AFFILIATES, INC ................... 14,024,218
521,016 NOVUS PETROLEUM LTD ..................... 1,776,070
165,400 oNUEVO ENERGY CO ......................... 6,781,400
3,000 oNUMAC ENERGY, INC ....................... 13,047
107,100 oOCEAN ENERGY, INC ....................... 4,953,375
500 oOCELOT ENERGY INC (CLASS B) ............. 2,718
1,340,100 oORYX ENERGY CO .......................... 28,309,612
388,400 PARKER & PARSLEY PETROLEUM CO ........... 13,739,650
566,900 PENNZOIL CO ............................. 43,509,575
93,000 PETRO-CANADA (NON-RESIDENT) ............. 1,510,003
342,000 PETRO-CANADA (VARIABLE- VTG) ............ 5,552,915
229,800 oPOCO PETROLEUM LTD ...................... 2,356,966
285,100 POGO PRODUCING CO ....................... 11,029,806
148,100 RANGER OIL LTD .......................... 1,384,814
141,100 oRENAISSANCE ENERGY LTD .................. 3,927,400
358,900 oRIGEL ENERGY CORP (U.S.) ................ 3,835,743
97,000 SAGA PETROLEUM AS SERIES A .............. 1,841,737
1,746,210 oSANTA FE ENERGY RESOURCES, INC .......... 25,647,459
See notes to financial statements.
-38-
<PAGE>
SHARES VALUE
------ -----
PETROLEUM--EXPLORATION &
PRODUCTION--(CONTINUED)
328,304 oSEAGULL ENERGY CORP ..................... $ 5,745,320
113,200 SNYDER OIL CORP ......................... 2,080,050
207,674 SOUTHDOWN, INC .......................... 9,059,778
29,438 oSTAMPEDER EXPLORATION LTD ............... 115,225
6,000 oSWIFT ENERGY CO ......................... 143,250
142,015 oTALISMAN ENERGY, INC .................... 4,369,772
548,582 oTEJAS GAS CORP .......................... 21,531,843
356,815 oTESORO PETROLEUM CORP ................... 5,285,322
299,919 TOTAL PETROLEUM (NORTH AMERICA) LTD ..... 2,961,700
149,635 oTRITON ENERGY LTD ....................... 6,855,153
2,289,691 UNION PACIFIC RESOURCES GROUP, INC ...... 56,956,063
1,023,100 UNION TEXAS PETROLEUM HOLDINGS, INC ..... 21,421,156
197,400 oUNITED MERIDIAN CORP .................... 5,922,000
165,600 VINTAGE PETROLEUM, INC .................. 5,092,200
13,700 oWASCANA ENERGY, INC ..................... 201,587
396,200 WISER OIL CO ............................ 7,304,937
-------------
736,086,337
-------------
PETROLEUM--INTEGRATED--5.06%
225,000 oABACAN RESOURCE CORP .................... 717,187
160,000 ALBERTA ENERGY LTD ...................... 4,030,154
4,179,400 AMOCO CORP .............................. 363,346,587
19,200 oARABIAN OIL CO LTD ...................... 647,664
1,754,500 ASHLAND, INC ............................ 81,364,937
3,136,230 ATLANTIC RICHFIELD CO ................... 221,104,215
7,304,554 BRITISH PETROLEUM PLC ................... 90,751,775
5,837,252 BROKEN HILL PROPRIETARY CO LTD .......... 85,204,403
88,175 BURMAH CASTROL PLC ...................... 1,493,177
74,000 CALTEX AUSTRALIA LTD .................... 251,146
240,800 CANADIAN OCCIDENTAL PETROLEUM LTD ....... 5,410,845
5,409,100 CHEVRON CORP ............................ 399,935,331
165,000 COMPANIA ESPANOLA DE
PETROLEOS S.A .......................... 5,609,175
1,166,000 COSMO OIL CO LTD ........................ 5,583,941
116,247 ELF AQUITANE S.A ........................ 12,553,349
27,700,000 ENTE NAZIONALE IDROCARBURI S.P.A ........ 156,768,149
110,000 ESSO MALAYSIA BERHAD .................... 276,743
23,694,754 EXXON CORP .............................. 1,457,227,371
120,200 oFORCENERGY GAS EXPLORATION, INC ......... 3,651,075
434,038 GETTY REALTY CORP ....................... 7,649,919
269,461 oGULF CANADA RESOURCES LTD ............... 2,207,096
210,988 IMPERIAL OIL LTD ........................ 10,820,096
15,000 KANTO NATURAL GAS DEVELOPMENT
CO LTD ................................. 89,006
860,000 MITSUBISHI OIL CO LTD ................... 3,832,925
9,068,498 MOBIL CORP .............................. 633,661,297
1,957,300 NIPPON OIL CO LTD ....................... 10,724,737
120,900 NORCEN ENERGY RESOURCES LTD ............. 2,883,162
380,277 NORSK HYDRO AS .......................... 20,725,934
8,483,547 OCCIDENTAL PETROLEUM CORP ............... 212,618,896
10,125 OMV AKTIENGESELLS AG .................... 1,297,225
38,577 PETROFINA S.A ........................... 14,620,412
2,284,517 PHILLIPS PETROLEUM CO ................... 99,947,618
266,300 QUAKER STATE OIL REFINING CORP .......... 4,061,075
739,674 REPSOL S.A .............................. 31,330,941
3,993,600 ROYAL DUTCH PETROLEUM CO ................ 208,108,135
1,805,994 SANTOS LTD .............................. 7,536,492
124,000 SHELL REFINERY BERHAD ................... 393,027
2,301,000 oSHELL TRANSPORT & TRADING PLC ........... 15,682,024
518,842 SUN CO, INC ............................. 16,084,116
132,000 SUNCOR ENERGY, INC ...................... 3,540,157
109,000 TEIKOKU OIL CO LTD ...................... 488,658
2,552,400 TEXACO, INC ............................. 277,573,500
1,680 TONEN CORP .............................. 20,260
470,907 TOTAL S.A ............................... 47,644,216
1,879,712 UNOCAL CORP ............................. 72,956,322
3,356,721 USX-MARATHON GROUP, INC ................. 96,925,318
293,100 WOODSIDE PETROLEUM LTD .................. 2,503,331
71,000 YPF SOCIEDAD ANONIMA (CLASS D) .......... 2,187,018
137,100 YPF SOCIEDAD ANONIMA (CLASS D) ADR ...... 4,215,825
-------------
4,708,255,962
-------------
PETROLEUM--SERVICE--0.91%
871,880 BAKER HUGHES, INC ....................... 33,730,857
396,635 oBJ SERVICES CO .......................... 21,269,551
21,700 oBJ SERVICES CO WTS 04/13/00 ............. 634,725
669,900 CABOT CORP .............................. 19,008,412
144,400 CAMCO INTERNATIONAL, INC ................ 7,905,900
262,390 oCLIFFS DRILLING CO ...................... 9,577,235
180,300 CROSS TIMBERS OIL CO .................... 3,470,775
1,068,100 oDIAMOND OFFSHORE DRILLING, INC .......... 83,445,312
1,138,820 DRESSER INDUSTRIES, INC ................. 42,421,045
824,750 oENSCO INTERNATIONAL, INC ................ 43,505,562
497,400 FLUOR CORP .............................. 27,450,262
434,038 oGETTY PETROLEUM MARKETING, INC .......... 2,170,190
344,020 oGLOBAL INDUSTRIAL TECHNOLOGIES, INC ..... 7,052,410
293,500 oGLOBAL INDUSTRIES LTD ................... 6,855,978
1,505,000 oGLOBAL MARINE, INC ...................... 34,991,250
762,836 HALLIBURTON CO .......................... 60,454,753
206,300 HELMERICH & PAYNE, INC .................. 11,888,037
45,000 oHVIDE MARINE, INC (CLASS A) ............. 995,625
284,000 IHC CALAND NV ........................... 15,553,094
4,058,000 KEPPEL FELS LTD ......................... 13,736,699
12,124 KONINKLIJKE PAKHOED HOLDINGS NV ......... 428,204
515,000 oMARINE DRILLING CO, INC ................. 10,106,875
178,900 oMATRIX SERVICE CO ....................... 1,543,012
16,200 MCDERMOTT INTERNATIONAL, INC ............ 472,837
83,061 oMCMORAN OIL & GAS CO .................... 280,330
655,700 oNABORS INDUSTRIES, INC .................. 16,392,500
139,000 oNEWPARK RESOURCES, INC .................. 4,691,250
1,407,079 oNOBLE DRILLING CORP ..................... 31,747,219
406,000 oOCEANEERING INTERNATIONAL, INC .......... 7,511,000
448,000 oPARKER DRILLING CO ...................... 4,984,000
93,500 oPETROLEUM GEO-SERVICES AS ............... 4,508,452
433,769 oPOOL ENERGY SERVICES CO ................. 7,862,063
313,500 oPRIDE INTERNATIONAL, INC ................ 7,524,000
522,400 oREADING & BATES CORP .................... 13,974,200
825,300 oROWAN COS, INC .......................... 23,263,143
384,700 oRPC, INC ................................ 5,674,325
760,000 SAIPEM S.P.A ............................ 3,887,856
242,280 SCHLUMBERGER LTD ........................ 30,285,000
1,235,828 oSMEDVIG A/S SERIES A .................... 30,892,302
305,357 SMEDVIG A/S SERIES B .................... 7,507,953
250,500 oSMITH INTERNATIONAL, INC ................ 15,217,875
70,000 TECHNIP S.A ............................. 8,131,506
555,100 TIDEWATER, INC .......................... 24,424,400
962,316 TOSCO CORP .............................. 28,809,335
293,500 TRANSOCEAN OFFSHORE, INC (U.S.) ......... 21,315,437
73,273 TRANSOCEAN OFFSHORE, INC ................ 5,054,480
472,500 oTUBOSCOPE VETCO INTERNATIONAL CORP ...... 9,390,937
818,157 ULTRAMAR DIAMOND SHAMROCK CORP .......... 26,692,372
103,900 oVARCO INTERNATIONAL, INC ................ 3,350,775
111,800 VASTAR RESOURCES, INC ................... 3,919,987
382,001 oWEATHERFORD ENTERRA, INC ................ 14,707,038
298,188 oWESTERN ATLAS, INC ...................... 21,842,271
-------------
842,510,606
-------------
See notes to financial statements.
-39-
<PAGE>
SHARES VALUE
------ -----
PHOTOGRAPHY--0.31%
198,187 CPI CORP ................................ $ 4,161,927
2,832,896 EASTMAN KODAK CO ........................ 217,424,768
800,711 FUJI PHOTO FILM CO LTD .................. 32,258,075
1,000 NORITSU KOKI CO LTD ..................... 49,375
14,600 oPHOTRONICS, INC ......................... 697,150
409,208 POLAROID CORP ........................... 22,711,044
124,800 oPRESSTEK, INC ........................... 10,826,400
-------------
288,128,739
-------------
PROPERTY--REAL ESTATE--0.52%
279,200 AVALON PROPERTIES, INC .................. 7,992,100
798,750 AYALA LAND, INC (CLASS B) ............... 734,362
2,347,600 BRITISH LAND PLC ........................ 22,114,246
29,100 oCAMBRIDGE SHOPPING CENTERS LTD .......... 251,007
310,000 oCASTELLUM AB ............................ 2,325,281
6,471,508 CHEUNG KONG HOLDINGS LTD ................. 63,902,197
675,913 CHINESE ESTATES LTD ..................... 636,887
303,840 CITY DEVELOPMENT LTD .................... 2,975,075
27,726 oCITY DEVELOPMENT LTD WTS 07/18/98 ....... 217,185
4,454 oCOMPAGNIE IMMOBILIERE DE
BELGIQUE S.A ........................... 333,890
724,100 CRESCENT REAL ESTATE EQUITIES, INC ...... 22,990,175
72,410 oCRESECENT OPERATING, INC ................ 868,920
500 DAIBIRU CORP ............................ 6,029
804,000 DAIKYO, INC ............................. 3,147,717
1,025,000 DBS LAND LTD ............................ 3,240,315
88,200 oDILIGENTIA AB ........................... 1,072,216
105,273 oEVERGO CHINA HOLDINGS LTD ............... 13,588
5,000,000 oFILINVEST LAND, INC ..................... 1,251,129
260,418 GENERAL PROPERTY TRUST .................. 517,028
151,542 GREAT PORTLAND ESTATES PLC .............. 524,599
117,225 HAMMERSON PLC ........................... 912,081
498,000 HANG LUNG DEVELOPMENT CO LTD ............ 912,780
2,000,000 oHENDERSON LAND
DEVELOPMENT CO LTD ..................... 17,748,087
240 HONG KONG LAND HOLDINGS LTD ............. 638
1,898,571 HOPEWELL HOLDINGS LTD ................... 1,200,803
58,100 HOSPITALITY PROPERTIES TRUST ............ 1,779,312
158,500 oHOTEL PROPERTIES LTD .................... 269,377
400,000 HYSAN DEVELOPMENT CO LTD ................ 1,179,763
20,000 oHYSAN DEVELOPMENT CO LTD WTS 04/30/98 ... 7,744
303,000 IOI PROPERTIES BERHAD ................... 576,228
72,707 oIRSA S.A ................................ 317,761
178,200 KEPPEL LAND LTD ......................... 473,605
44,550 oSTRAITS STEAMSHIP WTS 12/12/00 .......... 40,505
244,650 KIMCO REALTY CORP ....................... 7,767,637
212,300 LAND SECURITIES PLC ..................... 2,994,479
170,000 LANDMARKS HOLDINGS BERHAD ............... 199,366
624,270 LEND LEASE CORP LTD ..................... 13,095,686
214,500 MEIWA ESTATE CO LTD ..................... 4,686,288
163,320 MEPC PLC ................................ 1,340,040
1,969,750 MITSUBISHI ESTATE CO LTD ................ 28,574,651
981,072 MITSUI FUDOSAN CO LTD ................... 13,546,269
5,682,877 NEW WORLD DEVELOPMENT CO LTD ............ 33,889,026
110,000 oNK CITYFASTIGHETER ...................... 782,422
39,000 OSAKA STADIUM CO LTD .................... 245,731
320,700 PATRIOT AMERICAN HOSPITALITY ............ 8,177,850
5,000,000 oPT DUTA ANGGADA REALTY (FR) ............. 4,829,250
3,288,000 oPT JAYA REAL PROPERTY (FR) .............. 4,425,730
47,200 oRECKSON ASSOCIATES REALTY CORP .......... 1,085,600
15,500 REDWOOD TRUST, INC ...................... 724,625
40,100 oROYAL LEPAGE LTD ........................ 98,825
28,070 SCHRODERS PROPERTY FUND ................. 50,051
5,000 oSEFIMEG S.A ............................. 319,366
500,000 SELANGOR PROPERTIES BERHAD .............. 479,398
11,744 oSIMCO (REGD) NEW ........................ 931,425
1,385,000 SINGAPORE LAND LTD ...................... 6,296,339
66,596 oSLH CORP ................................ 5,127,892
3,759,900 SLOUGH ESTATES PLC ...................... 18,647,652
1,551,153 STOCKLAND TRUST GROUP (UNITS) ........... 4,044,190
861,000 SUMITOMO REALTY & DEVELOPMENT
CO LTD ................................. 7,599,521
2,966,659 SUN HUNG KAI PROPERTIES LTD ............. 35,707,984
256,394 TAI CHEUNG HOLDINGS LTD ................. 203,531
74,400 TAK WING INVESTMENT HOLDINGS LTD ........ 11,235
14,880 ~oTAK WING INVESTMENT WTS 12/31/98 ........ 134
624,100 TAUBMAN CENTERS, INC .................... 8,269,325
231,000 oTOKYO TATEMONO CO LTD ................... 1,221,318
1,078,100 oTOLL BROTHERS, INC ...................... 19,810,087
637 oTRIZEC HAHN CORP WTS 07/25/99 ........... 2,701
1,500 UNIBAIL S.A ............................. 140,521
5,000,000 UNITED OVERSEAS LAND LTD ................ 6,784,170
328,196 VALLEHERMOSO S.A ........................ 8,869,833
19,400 VORNADO REALTY TRUST .................... 1,399,225
27,800 WASHINGTON REAL ESTATE INVESTMENT
TRUST .................................. 493,450
687,700 WEINGARTEN REALTY INVESTORS, INC ........ 29,055,325
6,425 oWELLSFORD REAL PROPERTIES, INC .......... 70,675
4,056,246 WESTFIELD TRUST (UNITS) ................. 8,265,915
165,130 ~oWESTFIELD TRUST (UNITS) NEW ............ 324,344
5,148,200 WHARF HOLDINGS LTD ...................... 22,327,677
4,708,000 oWING TAI HOLDINGS LTD ................... 13,566,214
-------------
487,015,603
-------------
PUBLISHING--NEWSPAPER--0.50%
190,400 BELO (A.H.) CORP SERIES A ............... 7,925,400
180,400 BELO (A.H.) CORP SERIES B ............... 7,509,150
134,000 CENTRAL NEWSPAPERS, INC (CLASS A) ....... 9,597,750
621,689 oCOX COMMUNICATIONS, INC (CLASS A) NEW ... 14,920,536
4,400 DOW JONES & CO, INC ..................... 176,825
416,800 DOW JONES & CO, INC (CLASS B) ........... 16,750,150
1,124,000 EMAP PLC ................................ 13,908,455
130,000 EXEL LTD ................................ 6,857,500
943,200 GANNETT CO, INC ......................... 93,141,000
83,200 HOLLINGER INTERNATIONAL, INC ............ 930,800
609,500 KNIGHT-RIDDER, INC ...................... 29,903,593
170,200 MEDIA GENERAL, INC (CLASS A) ............ 6,808,000
637,916 NEW YORK TIMES CO (CLASS A) ............. 31,576,842
5,798,225 NEWS CORP LTD ........................... 27,584,591
742,260 NEWS CORP LTD ADR (LTD-VTG) ............. 11,597,812
600,000 ORIENTAL PRESS GROUP .................... 245,891
60,000 oORIENTAL PRESS GROUP WTS 02/10/98 ....... 3,330
3,203,000 PEARSON PLC ............................. 37,075,386
72,300 RURAL PRESS LTD ......................... 216,668
137,280 SINGAPORE PRESS HOLDINGS LTD (FR) ....... 2,765,188
391,159 TIMES MIRROR CO SERIES A ................ 21,611,534
762,159 TIMES MIRROR CO SERIES C NEW ............ 42,109,284
1,185,000 TRIBUNE CO NEW .......................... 56,954,062
244,900 oVALASSIS COMMUNICATIONS, INC ............ 5,877,600
54,700 WASHINGTON POST CO (CLASS B) ............ 21,770,600
-------------
467,817,947
-------------
PUBLISHING--OTHER--0.63%
38,500 oAMERICAN BUSINESS INFORMATION, INC ...... 837,375
629,200 AMERICAN GREETINGS CORP (CLASS A) ....... 23,359,050
321,800 BOWNE & CO, INC ......................... 11,222,775
938,964 DAI NIPPON PRINTING CO LTD .............. 21,252,520
90,152 DE LA RUE CO PLC ........................ 553,647
706,300 DONNELLEY (R.R.) & SONS CO .............. 25,868,237
1,829,839 DUN & BRADSTREET CORP ................... 48,033,273
See notes to financial statements.
-40-
<PAGE>
SHARES VALUE
------ -----
PUBLISHING--OTHER--(CONTINUED)
1,868,500 ELSEVIER UTIGEVERSMIJ NV ................ $31,279,924
62,270 FILIPACCHI MEDIAS S.A ................... 13,226,164
211,700 GAKKEN CO LTD ........................... 1,115,577
105,800 oGIBSON GREETINGS, INC ................... 2,380,500
163,200 oGOLDEN BOOKS FAMILY
ENTERTAINMENT, INC ..................... 2,040,000
80,000 GRUPO ANAYA S.A ......................... 1,566,489
300,008 HARCOURT GENERAL, INC ................... 14,287,881
124,900 HOUGHTON MIFFLIN CO ..................... 8,337,075
352,900 oK-III COMMUNICATIONS CORP ............... 4,234,800
423,000 LEE ENTERPRISES, INC .................... 11,156,625
14,400 LEE ENTERPRISES, INC (CLASS B) .......... 379,800
94,100 xoMARVEL ENTERTAINMENT GROUP, INC ......... 223,487
1,031,300 MCGRAW HILL COS, INC .................... 60,653,331
79,400 MEREDITH CORP ........................... 2,302,600
329,200 MEREDITH CORP (CLASS B) ................. 9,546,800
50,000 MONDADORI (ARNOLDO) EDITORE S.P.A ....... 288,708
191,550 PLENUM PUBLISHING CORP .................. 7,374,675
381,400 READER'S DIGEST ASSOCIATION, INC
(CLASS A) (NON-VTG) .................... 10,941,412
460,220 REED INTERNATIONAL PLC .................. 4,457,794
291,800 oSCHOLASTIC CORP ......................... 10,213,000
692,000 SOUTH CHINA MORNING POST ................ 678,841
31,000 SOUTHAM, INC ............................ 530,298
143,750 THOMAS NELSON, INC ...................... 1,994,531
763,500 THOMSON CORP ............................ 17,598,802
4,255,839 TIME WARNER, INC ........................ 205,344,231
428,000 VERENIGDE NEDERLANDSE
UITGEVERSBED ........................... 9,480,522
144,041 WOLTERS KLUWER NV ....................... 17,570,445
84,872 WOONG JIN PUBLISHING CO ................. 4,596,718
163,200 oWORLD COLOR PRESS, INC .................. 3,876,000
-------------
588,803,907
-------------
RAILROAD--0.76%
1,693,528 BURLINGTON NORTHERN SANTA FE CORP ....... 152,205,829
319,000 CANADIAN PACIFIC LTD .................... 9,087,201
131,700 CANADIAN PACIFIC LTD (U.S.) ............. 3,745,218
2,343,372 CSX CORP ................................ 130,057,146
6,560 EAST JAPAN RAILWAY CO ................... 33,708,769
76,600 FLORIDA EAST COAST INDUSTRIES, INC ...... 8,502,600
543,377 HANKYU CORP ............................. 3,005,845
532,150 ILLINOIS CENTRAL CORP SERIES A .......... 18,591,990
259,700 KANSAS CITY SOUTHERN INDUSTRIES, INC .... 16,750,650
216,726 KEIHIN ELECTRIC EXPRESS RAILWAY ......... 1,018,955
650 KEIO TEITO ELECTRIC RAILWAY CO LTD ...... 3,095
1,268,781 KINKI NIPPON RAILWAY CO LTD ............. 7,761,514
1,540,861 NAGOYA RAILROAD CO LTD .................. 6,355,755
228,900 NANKAI ELECTRIC RAILWAY CO .............. 1,168,208
1,207,160 NIPPON EXPRESS CO LTD ................... 9,652,674
1,121,312 NORFOLK SOUTHERN CORP ................... 112,972,184
312,378 ODAKYU ELECTRIC RAILWAY CO LTD .......... 1,856,312
100,000 oRAILAMERICA, INC ........................ 437,500
3,931,000 oRAILTRACK GROUP PLC ..................... 40,922,482
400 SAGAMI RAILWAY CO ....................... 1,457
2,875,928 STAGECOACH HOLDINGS PLC ................. 30,345,820
365,369 TOBU RAILWAY CO LTD ..................... 1,689,075
862,149 TOKYU CORP .............................. 5,356,901
47,700 TRANZ RAIL HOLDINGS LTD ................. 271,580
1,224,399 UNION PACIFIC CORP ...................... 86,320,129
664,100 oWISCONSIN CENTRAL TRANSIT CORP .......... 24,737,725
-------------
706,526,614
-------------
RESTAURANTS & HOTELS--1.07%
10,300 ACCOR S.A ............................... 1,543,862
395,200 APPLE SOUTH, INC ........................ 6,026,800
310,950 oAPPLEBEES INTERNATIONAL, INC ............ 8,317,912
655,000 oAZTAR CORP .............................. 4,625,937
395,982 BOB EVANS FARMS, INC .................... 6,706,945
378,100 oBOSTON CHICKEN, INC ..................... 5,293,400
696,000 oBUFFETS, INC ............................ 5,872,500
549,150 oCHOICE HOTELS INTERNATIONAL, INC ........ 9,301,228
460,608 CKE RESTAURANTS, INC .................... 14,566,728
2,652 oCLUB MEDITERRANEE S.A ................... 188,093
855,000 COMPASS GROUP PLC ....................... 9,590,861
542,725 CRACKER BARREL OLD COUNTRY
STORE, INC ............................. 14,382,212
1,986,500 DARDEN RESTAURANTS, INC ................. 18,002,656
19,700 oDAVE & BUSTERS, INC ..................... 526,975
35,200 EQUITY INNS INC ......................... 470,800
551,100 oEXTENDED STAY AMERICA, INC .............. 8,679,825
368,800 FELCOR SUITE HOTELS, INC ................ 13,737,800
226,700 oFOODMAKER, INC .......................... 3,712,212
202,984 FRISCHS RESTAURANTS, INC ................ 3,374,609
63,995 FUJITA KANKO, INC ....................... 805,323
33,169 GROUPE PARTOUCHE S.A .................... 2,259,857
162,000 HARBOUR CENTRE DEVELOPMENT LTD .......... 259,289
1,583,202 oHFS INC ................................. 91,825,716
1,449,400 HILTON HOTELS CORP ...................... 38,499,687
26,083 oHK & SHANGAI HOTELS LTD WTS 12/10/98 .... 6,060
58,384 oHOMESTEAD VILLAGE, INC .................. 1,043,614
39,169 oHOMESTEAD VILLAGE, INC WTS 10/29/97 ..... 332,936
339,083 HONG KONG & SHANGHAI HOTELS LTD ......... 540,532
1,861,100 oHOST MARRIOTT CORP ...................... 33,150,843
226,380 oHOST MARRIOTT SERVICES CORP ............. 2,659,965
778,836 oITT CORP ................................ 47,557,673
863,350 LA QUINTA INNS, INC ..................... 18,885,781
141,500 oLANDRYS SEAFOOD RESTAURANTS, INC ........ 3,254,500
273,700 oLONE STAR STEAKHOUSE & SALOON, INC ...... 7,116,200
275,250 LUBYS CAFETERIA, INC .................... 5,487,796
730,700 MARRIOTT INTERNATIONAL, INC ............. 44,846,712
5,749,600 MCDONALDS CORP .......................... 277,777,550
160,700 oMGM GRAND, INC .......................... 5,945,900
200,000 oMIRAMAR HOTEL & INVESTMENT CO LTD ....... 367,869
73,868 MORRISON FRESH COOKING, INC ............. 341,639
322,700 oNPC INTERNATIONAL, INC .................. 3,751,387
283,400 oOUTBACK STEAKHOUSE, INC ................. 6,854,737
50,000 OVERSEAS UNION ENTERPRISES LTD .......... 230,801
20,000 oOVERSEAS UNION ENTERPRISES LTD WTS 07/20/98 23,220
198,300 oPAPA JOHNS INTERNATIONAL, INC ........... 7,287,525
509,721 PICCADILLY CAFETERIAS, INC .............. 5,415,785
320,100 oPRIME HOSPITALITY CORP .................. 6,321,975
498,150 oPROMUS HOTEL CORP ....................... 19,303,312
7,500,000 oPT JAKARTA INT'L HOTELS &
DEVELOPEMENT (FR) ...................... 8,553,937
100,000 oQUALITY DINING, INC ..................... 468,750
78,300 oRAINFOREST CAFE, INC .................... 1,986,862
47,900 oRED ROOF INNS, INC ...................... 862,200
443,000 RESORTS WORLD BERHAD .................... 1,333,916
219,400 oRIO HOTEL & CASINO, INC ................. 3,304,712
135,936 oRUBY TUESDAY, INC ....................... 3,050,064
532,650 oRYANS FAMILY STEAK HOUSES, INC .......... 4,560,815
111,875 SBARRO, INC ............................. 3,104,531
3,300 oSCOTTS RESTAURANTS, INC ................. 14,710
600,000 SHANGRI-LA ASIA LTD ..................... 720,249
2,703 SHANGRI-LA HOTELS BERHAD ................ 2,580
460,978 oSHONEYS, INC ............................ 2,737,056
343,300 oSHOWBIZ PIZZA TIME, INC ................. 9,054,537
191,100 SKYLARK CO LTD .......................... 2,922,540
2,933 SODEXHO ALLIANCE S.A .................... 1,503,221
75,000 oSOL MELIA S.A ........................... 3,085,046
See notes to financial statements.
-41-
<PAGE>
SHARES VALUE
------ -----
RESTAURANTS & HOTELS--(CONTINUED)
190,650 oSONIC CORP .............................. $ 4,194,300
317,000 SUN INTERNATIONAL SOUTH AFRICA .......... 178,926
1,108,100 SYSCO CORP .............................. 40,445,650
6,750,000 THISTLE HOTELS PLC ...................... 17,805,929
1,107,000 +TPI ENTERPRISES, INC .................... 154,980
318,100 oVICORP RESTAURANTS, INC ................. 3,817,200
4,590,069 WENDYS INTERNATIONAL, INC ............... 119,054,914
-------------
999,993,164
-------------
RETAIL--FOOD--0.63%
1,471,900 ALBERTSONS, INC ......................... 53,724,350
1,705,716 AMERICAN STORES CO ...................... 84,219,727
4,878 oBRUNOS, INC ............................. 56,097
70,752 CARREFOUR SUPERMARCHE S.A ............... 51,434,169
16,256 CASINO GUICHARD-PERRACHON S.A ........... 805,463
30,000 CENTROS COMERCIALES CONTINENTE S.A ...... 674,120
109,000 CENTROS COMERCIALES PRYCA S.A ........... 2,364,080
151,500 DELCHAMPS, INC .......................... 4,848,000
51,750 DELHAIZE FRERES NV ...................... 2,720,613
313,373 FLEMING COS, INC ........................ 5,640,714
1,099,050 FOOD LION, INC (CLASS A) ................ 7,865,076
1,842,450 FOOD LION, INC (CLASS B) ................ 13,242,609
18,200 oFOODCORP LTD ............................ 138,441
297,300 GIANT FOOD, INC (CLASS A) ............... 9,699,412
159,900 GREAT ATLANTIC & PACIFIC TEA CO, INC .... 4,347,281
438,300 HANNAFORD BROTHERS, INC ................. 15,587,043
100,000 oHEMKOPSKEDJAN AB ........................ 1,028,141
60,248 KONINKLIJKE AHOLD NV .................... 5,092,156
2,600,408 oKROGER CO ............................... 75,411,832
1,700 LOBLAW COS LTD .......................... 23,412
265,000 MARUETSU, INC ........................... 1,248,235
234,700 NASH FINCH CO ........................... 5,192,737
84,500 OSHAWA GROUP LTD (CLASS A) .............. 1,264,805
38,800 oPRIMISTERES REYNOIRD S.A ................ 1,521,337
9,300 PROMODES S.A ............................ 3,625,912
2,900,000 oPT FISKARAGUNG PERKASA (FR) ............. 4,678,207
9,275,000 oPT SIERAD PRODUCA (FR) .................. 3,049,620
54,026 oQUALITY FOOD CENTERS, INC ............... 2,052,988
754,600 RUDDICK CORP ............................ 12,450,900
314,437 oRYKOFF-SEXTON, INC ...................... 7,330,312
20,000 RYOSHOKU LTD ............................ 405,489
458,001 SAFEWAY PLC ............................. 2,648,822
2,416,843 oSAFEWAY, INC ............................ 111,476,883
807,347 SAINSBURY (J) PLC ....................... 4,897,668
904 SEIYO FOOD SYSTEMS ...................... 6,920
20,000 oSELECTA GROUP (REGD) .................... 3,045,475
459,524 xoSIZZLER INTERNATIONAL, INC .............. 1,349,851
1,465,200 oSOUTHLAND CORP .......................... 4,899,262
594,400 oSTARBUCKS CORP .......................... 23,144,450
637,400 SUPERVALU, INC .......................... 21,990,300
866,170 TESCO PLC ............................... 5,326,589
156,500 WEIS MARKETS, INC ....................... 4,518,937
463,232 WINN DIXIE STORES, INC .................. 17,255,392
-------------
582,303,827
-------------
RETAIL--GENERAL MERCHANDISE--3.45%
387,500 o50-OFF STORES, INC ...................... 775
387,500 50-OFF STORES (RTS) ..................... 0
136,800 AOYAMA TRADING CO LTD ................... 4,399,422
1,386,000 oAPPLIED INTERNATIONAL HOLDINGS LTD ...... 103,762
277,200 oAPPLIED INTERNATIONAL HOLDINGS LTD
WTS 12/30/99 ........................... 6,082
196,700 oAPS HOLDING CORP ........................ 1,721,125
112,942 ARGOS PLC 5/7 (P/P) ..................... 1,029,132
150,000 oASICS CORP .............................. 305,428
1,464,900 oAUTOZONE, INC ........................... 34,516,706
257,300 oBARNES & NOBLE, INC ..................... 11,063,900
1,650 BAZAR DEL HOTEL DE VILLE ................ 163,004
481,700 oBED BATH & BEYOND, INC .................. 14,631,637
38,533 xoBEN FRANKLIN RETAIL STORES, INC ......... 192
273,900 oBEST BUY, INC ........................... 4,074,262
930 BEST DENKI CO LTD ....................... 9,996
111,200 BLAIR CORP .............................. 1,598,500
522,512 oBOMBAY, INC ............................. 2,612,560
419,800 BOOTS CO LTD ............................ 4,915,165
742,500 oBORDERS GROUP, INC ...................... 17,912,812
172,100 BROWN GROUP, INC ........................ 3,216,118
120,000 BULGARI S.P.A ........................... 678,787
189,287 oBURLINGTON COAT FACTORY
WAREHOUSE CORP ......................... 3,691,096
7,700,000 BURTON GROUP PLC ........................ 15,089,792
229,500 xoCALDOR CORP ............................. 329,906
139,400 CANADIAN TIRE, INC (CLASS A) ............ 2,728,182
153,347 oCARSON PIRIE SCOTT & CO ................. 4,868,767
562,000 CASEYS GENERAL STORES, INC .............. 12,100,562
45,518 CASTORAMA DUBOIS S.A .................... 6,411,760
597,000 oCHARMING SHOPPES, INC ................... 3,115,593
40 CHIYODA CO .............................. 681
696,000 CIFRA S.A. DE CV SERIES B ............... 1,294,965
216,000 CIFRA S.A. DE CV SERIES C ............... 344,861
111,544 CIFRA S.A. DE CV SERIES A ............... 205,854
1,666,269 CIRCUIT CITY STORES-CIRCUIT CITY
GROUP .................................. 59,256,691
542,300 CLAIRES STORES, INC ..................... 9,490,250
108,618 CLAIRES STORES, INC (CLASS A) ........... 1,900,815
547,000 xoCLOTHESTIME, INC ........................ 21,880
546,700 oCML GROUP, INC .......................... 990,893
2,334,213 COLES MYER LTD .......................... 12,049,179
968 COMPTOIRS MODERNES ...................... 511,123
640,968 oCONSOLIDATED STORES CORP ................ 22,273,638
100,000 CORTEFIEL S.A ........................... 4,371,757
1,684,335 oCOSTCO COMPANIES, INC ................... 55,372,513
2,500,000 oCOURTS (SINGAPORE) LTD .................. 3,531,964
3,084,332 oCUC INTERNATIONAL, INC .................. 79,614,319
846,278 oCVS CORP ................................ 43,371,747
23,200 oCYRK, INC ............................... 272,600
739,550 DAIEI, INC .............................. 4,750,251
362,380 DAIMARU, INC ............................ 2,086,946
24,600 DART GROUP CORP (CLASS A) ............... 2,527,650
2,007,545 DAYTON HUDSON CORP ...................... 106,776,299
220,500 DEB SHOPS, INC .......................... 882,000
38,500 oDEPARTMENT 56, INC ...................... 854,218
1,200,000 DICKSON CONCEPTS LTD .................... 4,367,965
1,616,500 DILLARDS, INC (CLASS A) ................. 55,971,312
688,057 DOLLAR GENERAL CORP ..................... 25,802,137
185,400 oDOLLAR TREE STORES, INC ................. 9,339,525
12,000 DOUGLAS HOLDINGS AG ..................... 478,595
374,200 oDRESS BARN, INC ......................... 7,296,900
162,300 DUTY FREE INTERNATIONAL, INC ............ 3,043,125
114 oDYLEX LTD ............................... 586
38 oDYLEX LTD WTS 05/31/98 .................. 69
92,100 xoEDISON BROTHERS STORES, INC ............. 115,125
252,800 oEGGHEAD, INC ............................ 995,400
138,200 ETHAN ALLEN INTERIORS, INC .............. 7,877,400
180,700 oFABRI-CENTERS OF AMERICA (CLASS A) ...... 4,924,075
245,800 oFABRI-CENTERS OF AMERICA (CLASS B) ...... 5,745,575
298,700 FAMILY DOLLAR STORES, INC ............... 8,139,575
1,597,649 oFEDERATED DEPARTMENT STORES, INC ........ 55,518,302
477,400 FINGERHUT COS, INC ...................... 8,324,662
280,090 oFOOTSTAR, INC ........................... 7,317,351
446,000 oFURNITURE BRANDS INTERNATIONAL, INC ..... 8,641,250
1,777,100 GAP, INC ................................ 69,084,762
476,700 oGOOD GUYS, INC .......................... 2,681,437
310,300 oGOTTSCHALKS, INC ........................ 2,559,975
See notes to financial statements.
-42-
<PAGE>
SHARES VALUE
------ -----
RETAIL--GENERAL MERCHANDISE--(CONTINUED)
92,400 GRANDOPTICAL PHOTOSERVICE S.A ........... $14,038,652
395,400 GREAT UNIVERSAL STORES PLC .............. 4,001,030
151,300 oGUESS?, INC ............................. 1,531,912
335,800 oGYMBOREE CORP ........................... 8,059,200
270,678 HANCOCK FABRICS, INC .................... 3,738,739
191,275 oHANDLEMAN CO ............................ 1,219,378
142,700 HANKYU DEPARTMENT STORES, INC ........... 1,508,936
274,375 oHANOVER DIRECT, INC ..................... 308,671
193,815 oHECHINGER CO (CLASS A) .................. 411,856
166,225 oHECHINGER CO (CLASS B) .................. 561,009
649,887 HEILIG MEYERS CO ........................ 12,754,032
306,000 HENNES & MAURITZ AB SERIES B ............ 10,764,061
4,110,533 HOME DEPOT, INC ......................... 283,369,868
1,890 oHOUSE OF FABRICS, INC ................... 5,197
291,200 oHSN, INC ................................ 9,100,000
121,000 HUDSONS BAY CO .......................... 2,718,904
167,400 oINTELLIGENT ELECTRONICS, INC ............ 470,812
1,860,300 INTIMATE BRANDS, INC (CLASS A) .......... 39,066,300
121,000 ISETAN CO ............................... 1,501,534
559,248 ITO-YOKADO CO LTD ....................... 32,500,334
249,000 IZUMIYA CO LTD .......................... 4,003,860
96,050 oJACOBSON STORES, INC .................... 912,475
158,700 oJONES APPAREL GROUP, INC ................ 7,577,925
262,350 JUSCO CO LTD ............................ 8,872,658
3,280,200 oK MART CORP ............................. 40,182,450
3,800 oKARSTADT AG ............................. 1,354,183
37,000 KESKO CO ................................ 521,426
280,336 KINGFISHER PLC .......................... 3,181,961
395,500 oKOHLS CORP .............................. 20,936,781
246,500 oLANDS END, INC .......................... 7,302,562
1,400 LAOX CO LTD ............................. 19,697
147,000 oLECHTERS, INC ........................... 643,125
1,944,905 LIMITED, INC ............................ 39,384,326
421,942 LONGS DRUG STORES CORP .................. 11,049,606
1,198,300 LOWES COS, INC .......................... 44,486,887
190,490 oLURIA (L.) & SON, INC ................... 285,735
306,500 oMAC FRUGALS BARGAINS CLOSE-
OUTS, INC .............................. 8,352,125
4,761,400 MARKS & SPENCER PLC ..................... 39,463,502
1,092,853 MARUI CO LTD ............................ 20,342,442
2,863,970 MAY DEPARTMENT STORES CO ................ 135,322,582
262,400 MEIKLES AFRICA LTD ...................... 645,504
135,500 oMENS WAREHOUSE, INC ..................... 4,268,250
271,200 MERCANTILE STORES CO, INC ............... 17,068,650
94,566 oMETRO AG ................................ 10,370,456
228,100 oMEYER (FRED), INC ....................... 11,789,918
101,800 oMICHAELS STORES, INC .................... 2,156,887
86,700 oMICROAGE, INC ........................... 1,593,112
68,560 MINISTOP CO LTD ......................... 2,336,668
195,900 MITSUKOSHI LTD .......................... 1,395,255
12,000 MIZUNO CORP ............................. 78,441
11,900 oMOVIE GALLERY, INC ...................... 75,862
6,700 oMSC INDUSTRIAL DIRECT CO (CLASS A) ...... 268,837
503,500 oMUSICLAND STORES CORP ................... 1,353,156
848,400 MYCAL CORP .............................. 12,233,376
195,849 oNEIMAN-MARCUS GROUP, INC ................ 5,141,036
1,977,600 NEXT PLC ................................ 22,331,604
78 oNISSEN CO LTD ........................... 297
380,500 NORDSTROM, INC .......................... 18,668,281
591,800 oOFFICEMAX, INC .......................... 8,544,112
11,624 OPSM PROTECTOR LTD ...................... 31,177
454,023 oPAYLESS SHOESOURCE, INC ................. 24,829,382
2,502,117 PENNEY, (J.C.) CO, INC .................. 130,579,230
581,000 PEP BOYS MANNY, MOE, & JACK CO .......... 19,790,312
93,900 PEPKOR LTD .............................. 548,638
42,300 oPETCO ANIMAL SUPPLIES, INC .............. 1,269,000
183,600 xoPETRIE STORES CORP (LIQUIDATING TRUST) .. 573,750
686,800 oPETSMART, INC ........................... 7,898,200
89,600 PICKN PAY STORES LTD .................... 134,335
45,200 PICKN PAY STORES LTD SERIES N ........... 64,777
537,861 PIER 1 IMPORTS, INC ..................... 14,253,316
11,038 oPINAULT-PRINTEMPS-REDOUTE S.A ........... 5,309,378
96,000 PLAYMATES TOYS HOLDINGS LTD ............. 17,100
18,300 PRICE ENTERPRISES, INC .................. 352,275
187,000 oPROFFITTS, INC .......................... 8,204,625
78,500 REGIS CORP .............................. 1,854,562
240,884 oREX STORES CORP ......................... 2,438,950
135,150 oREXALL SUNDOWN, INC ..................... 5,270,850
65,000 RINASCENTE S.P.A ........................ 360,987
130,000 oRINASCENTE S.P.A. RTS ................... 13,624
3,250 oRINASCENTE S.P.A. WTS 12/31/99 .......... 1,605
573,463 RITE AID CORP ........................... 28,601,467
1,024,000 ROBINSON & CO LTD ....................... 5,335,575
476,100 ROBINSON DEPARTMENT STORE (FR) .......... 174,599
596,400 ROSS STORES, INC ........................ 19,494,825
1,312,500 ROUSE CO ................................ 38,718,750
2,400 ROYAL CO LTD ............................ 44,883
69,650 RUSS BERRIE & CO, INC ................... 1,527,946
57,200 oSAMSONITE CORP .......................... 2,523,950
651,100 SEARS PLC ............................... 726,029
3,456,100 SEARS ROEBUCK & CO ...................... 185,765,375
485,430 SEIYU LTD ............................... 3,898,556
500 SENSHUKAI CO LTD ........................ 5,112
569,112 oSERVICE MERCHANDISE, INC ................ 1,707,336
165,234 SEVEN-ELEVEN JAPAN CO LTD ............... 12,504,866
248,000 SHIMACHU CO ............................. 7,455,415
500 SHIMAMAURA CO LTD ....................... 17,827
11,200 oSHOPKO STORES, INC ...................... 285,600
464,900 SOTHEBYS HOLDINGS, INC (CLASS A) ........ 7,845,187
214,000 SPECIALTY STORES LTD .................... 186,374
1,010,268 oSTAPLES, INC ............................ 23,488,731
127,700 oSTEIN MART, INC ......................... 3,831,000
146,735 STRAWBRIDGE & CLOTHIER (CLASS A) ........ 2,384,443
603,800 STRIDE RITE CORP ........................ 7,773,925
553,200 oSUNGLASS HUT INTERNATIONAL, INC ......... 3,492,075
249,400 oSYMS CORP ............................... 2,478,412
15,300 oTAG HEUER INTERNATIONAL S.A ............. 2,298,305
350,000 TAKASHIMAYA CO LTD ...................... 4,771,494
48,900 TALBOTS, INC ............................ 1,662,600
590,101 TANDY CORP .............................. 33,045,656
372,500 oTHE SPORTS AUTHORITY, INC ............... 7,240,468
125,400 TIFFANY & CO ............................ 5,791,912
32,600 oTIMBERLAND CO ........................... 2,102,700
2,043,760 TJX COS, INC ............................ 53,904,170
3,134,444 TOMKINS PLC ............................. 13,563,303
534,100 oTOPPS, INC .............................. 2,236,543
3,664,741 oTOYS R US, INC .......................... 128,265,935
126,000 oTRANS WORLD ENTERTAINMENT CORP .......... 2,173,500
57,000 oUNITED AUTO GROUP, INC .................. 1,129,312
427,000 UNY CO LTD .............................. 8,358,678
1,637 oVALORA HOLDINGS AG (REGD) ............... 348,082
173,626 oVENTURE STORES, INC ..................... 401,510
283,750 oWABAN, INC .............................. 9,133,203
12,545,976 WAL-MART STORES, INC .................... 424,210,813
1,500,700 WALGREEN CO ............................. 80,475,037
39,100 oWEST MARINE, INC ........................ 1,006,825
278,675 oWILLIAMS-SONOMA, INC .................... 11,913,356
42,000 WOOLTRU LTD ............................. 238,915
61,000 WOOLTRU LTD (CLASS N) (NON-VTG) ......... 330,856
1,496,900 oWOOLWORTH CORP .......................... 35,925,600
371,400 oZALE CORP ............................... 7,358,362
-------------
3,216,371,121
-------------
See notes to financial statements.
-43-
<PAGE>
SHARES VALUE
------ -----
TEXTILE & APPAREL--0.50%
120,000 ADIDAS AG ............................... $13,290,481
130,400 ANGELICA CORP ........................... 2,282,000
158,500 oANN TAYLOR STORES CORP .................. 3,090,750
200 ATSUGI NYLON INDUSTRIAL CO LTD .......... 630
144,560 BENETTON GROUP S.P.A .................... 2,307,784
236,700 oBURLINGTON INDUSTRIES, INC .............. 2,840,400
456,300 CATO CORP (CLASS A) ..................... 2,481,131
4,430 CHARGEURS S.A ........................... 255,493
289,800 COATS VIYELLA PLC ....................... 614,950
148,100 oCONE MILLS CORP ......................... 1,184,800
10,000 CONFECCOES GUARARAPES SA ................ 72,450
42,000 COURTAULDS TEXTILES PLC ................. 214,245
90,674 DAWSON INTERNATIONAL PLC ................ 107,899
168,700 DOMINION TEXTILES, INC .................. 990,483
17 ESCADA AG. (STAMM) ...................... 2,780
109,500 FAB INDUSTRIES, INC ..................... 3,421,875
130,300 oFIELDCREST CANNON, INC .................. 2,475,700
12,000 FILA HOLDING S.P.A. ADR ................. 401,250
858,100 oFRUIT OF THE LOOM, INC (CLASS A) ........ 26,601,100
344,800 G & K SERVICES, INC (CLASS A) ........... 12,843,800
120,900 oGENESCO, INC ............................ 1,715,268
67,000 oGUCCI GROUP NV ADR ...................... 4,313,125
409,057 GUILFORD MILLS, INC ..................... 8,513,498
360,000 GUNZE LTD ............................... 1,642,232
277,200 oHARTMARX CORP ........................... 2,286,900
229,998 HERMES INTERNATIONAL S.A ................ 21,546,431
284,250 oJUST FOR FEET, INC ...................... 4,956,609
203,800 oKANEBO LTD .............................. 374,011
489,150 KELLWOOD CO ............................. 13,573,912
515,000 KURABO INDUSTRIES LTD ................... 1,390,680
132,250 KURARAY CO LTD .......................... 1,317,535
429,200 LIZ CLAIBORNE, INC ...................... 20,011,450
172,000 MARZOTTO & FIGLI S.P.A .................. 1,438,659
393,000 MITSUBISHI RAYON CO LTD ................. 1,621,049
257,200 oMOHAWK INDUSTRIES, INC .................. 5,851,300
450,700 oNAUTICA ENTERPRISES, INC ................ 11,915,381
1,111,800 NIKE, INC (CLASS B) ..................... 64,901,325
314,400 oNINE WEST GROUP, INC .................... 12,006,150
443,000 NISSHINBO INDUSTRY, INC ................. 4,026,232
233,000 ONWARD KASHIYMA CO LTD .................. 3,868,755
141,500 OSHKOSH B'GOSH, INC (CLASS A) ........... 3,077,625
161,500 OXFORD INDUSTRIES, INC .................. 4,582,562
44,600 oPARAGON TRADE BRANDS, INC ............... 760,987
329,588 PHILLIPS VAN HEUSEN CORP ................ 4,943,820
8,250,000 oPT GREAT RIVER INDUSTRIES (FR) .......... 5,170,893
20,801,800 oPT INDO RAMA SYNTHETICS (FR) ............ 18,808,987
312,910 oREEBOK INTERNATIONAL LTD ................ 14,687,213
523,228 oRENOWN, INC ............................. 1,303,159
460,100 RUSSELL CORP ............................ 13,630,462
888 oSALAMANDER AG ........................... 127,395
52,000 oSANRIO CO LTD ........................... 428,980
195,100 SPRING INDUSTRIES, INC .................. 10,291,525
88,500 ST. JOHN KNITS, INC ..................... 4,779,000
367,855 oTAVEX ALGODONERA S.A .................... 4,726,977
1,220,000 TEIJIN LTD .............................. 5,757,253
190,600 TOKYO STYLE CO LTD ...................... 2,648,388
1,097,000 TORAY INDUSTRIES, INC ................... 7,832,320
383,000 TOYOBO CO LTD ........................... 1,014,152
109,900 oTULTEX CORP ............................. 673,137
452,425 UNIFI, INC .............................. 16,909,384
194,000 oUNITIKA LTD ............................. 389,934
491,400 VF CORP ................................. 41,646,150
44,000 WACOAL CORP ............................. 546,012
302,600 WARNACO GROUP, INC (CLASS A) ............ 9,645,375
214,200 oWESTPOINT STEVENS, INC .................. 8,380,575
632,787 WOLVERINE WORLD WIDE, INC ............... 19,220,905
160,600 WORLD CO LTD ............................ 7,059,521
-------------
471,793,194
-------------
TOBACCO--1.54%
1,255,975 B.A.T. INDUSTRIES LTD ................... 11,235,465
547,250 DIMON, INC .............................. 14,502,125
122,800 oEMPRESAS LA MODERN SERIES A NPV ......... 652,247
1,303,600 FORTUNE BRANDS, INC ..................... 48,640,575
2,200,000 oGALLAHER GROUP PLC ...................... 10,288,702
1,133,700 oGALLAHER GROUP PLC ADR .................. 20,902,593
300,900 IMASCO LTD .............................. 8,724,270
16,000 MAFCO CONSOLIDATED GROUP, INC ........... 536,000
24,928 oNOBLEZA-PICCARDO S.A. (CLASS B) ......... 164,541
25,643,400 PHILIP MORRIS COS, INC .................. 1,137,925,875
2,092,000 R.J. REYNOLDS BERHAD .................... 5,221,717
148,700 REMBRANDT GROUP LTD ..................... 1,586,833
2,661,846 RJR NABISCO HOLDINGS CORP ............... 87,840,918
171,620 ROTHMANS HOLDINGS LTD ................... 1,056,908
117,000 oROTHMANS OF PALL MALL BERHAD ............ 1,149,605
184,060 SCHWEITZER-MAUDUIT
INTERNATIONAL, INC ..................... 6,902,250
22,000 SEITA S.A ............................... 696,986
64,478 SOUZA CRUZ S.A .......................... 679,755
256,061 oSTANDARD COMMERCIAL CORP ................ 4,449,059
90,000 TABACALERA S.A. SERIES A (REGD) ......... 4,840,208
302,000 UNIVERSAL CORP .......................... 9,588,500
2,133,700 UST, INC ................................ 59,210,175
-------------
1,436,795,307
-------------
TRADING COMPANIES--0.12%
65,000 INCHCAPE BERHAD ......................... 234,123
4,900,000 INCHCAPE PLC ............................ 23,078,848
1,416,350 ITOCHU CORP ............................. 7,636,906
102,540 IWATANI & CO LTD ........................ 412,204
2,384,950 MARUBENI CORP ........................... 10,837,880
2,428,000 MITSUBISHI CORP ......................... 30,342,157
3,041,664 MITSUI & CO LTD ......................... 29,239,211
224,000 NAGASE & CO ............................. 1,775,485
800 RYOSAN CO LTD ........................... 18,736
330,195 STELUX HOLDINGS INTERNATIONAL LTD ....... 63,930
66,039 oSTELUX HOLDINGS INTERNATIONAL
WTS 02/28/98 ........................... 2,216
1,271,310 SUMITOMO CORP ........................... 12,109,876
968 TACHIBANA SHOKAI LTD .................... 7,613
-------------
115,759,185
-------------
TRUCKERS & SHIPPING--0.26%
6,000 AISIN SEIKI CO LTD ...................... 91,759
285,000 oAMERICAN FREIGHTWAYS CORP ............... 4,453,125
275,906 APL LTD ................................. 8,622,062
638,900 ARNOLD INDUSTRIES, INC .................. 10,861,300
34,639 oBCR PARTICIPATIONS C.V.G. 05/19/99 ...... 6,549
72,400 BERGESEN AS SERIES A .................... 1,715,849
629,652 BRAMBLES INDUSTRIES LTD ................. 12,355,218
72,000 oBUDGET GROUP, INC ....................... 2,484,000
303,800 CALIBER SYSTEM, INC ..................... 11,316,550
59,100 CNF TRANSPORTATION, INC ................. 1,905,975
13,750 oCONSOLIDATED FREIGHTWAYS CORP ........... 225,156
306 DAMPSKIBSSELSKABET AF 1912
(CLASS B) .............................. 10,960,407
294 DAMPSKIBSSELSKABET SVENDBORG
(CLASS B) .............................. 15,208,385
145,257 oHALTER MARINE GROUP, INC ................ 3,486,168
242,580 oHEARTLAND EXPRESS, INC .................. 5,700,630
See notes to financial statements.
-44-
<PAGE>
SHARES VALUE
------ -----
TRUCKERS & SHIPPING--(CONTINUED)
300,000 HITACHI ZOSEN CORP ...................... $ 1,195,495
201,350 HUNT (J.B.) TRANSPORT SERVICES, INC ..... 2,995,081
45,000 JURONG SHIPYARD LTD ..................... 195,132
1,073,000 KAMIGUMI CO LTD ......................... 6,048,130
1,111,000 oKAWASAKI KISEN KAISHA LTD ............... 2,242,785
9,000 KONINKLIJKE NEDLLOYD GROEP NV ........... 260,449
6,000 LAIDLAW, INC (CLASS A) .................. 94,375
363,392 LAIDLAW, INC (CLASS B) .................. 5,017,845
265,800 oLANDSTAR SYSTEM, INC .................... 7,475,625
1,000 oLAURITZEN J. HOLDINGS (CLASS B) ......... 100,291
114,000 oM.S. CARRIERS, INC ...................... 2,864,250
476,000 MALAYSIAN INTERNATIONAL SHIPPING
CO (FR) ................................ 1,235,263
124,900 MITSUBISHI WAREHOUSE &
TRANSPORTATION CO LTD .................. 1,790,061
411,960 oMITSUI ENGINEERING & SHIP
BUILDING CO LTD ........................ 900,029
2,094,080 oMITSUI OSK LINES LTD .................... 4,318,838
106,000 MITSUI SOKO CO LTD ...................... 740,140
17,142 oNCL HOLDINGS AS ......................... 54,089
199,000 NEPTUNE ORIENT LINES LTD ................ 178,150
1,069,840 NIPPON YUSEN KABUSHIKI KAISHA ........... 4,160,452
64,720 OCEAN GROUP PLC ......................... 568,188
762,500 oOMI, INC ................................ 7,291,406
427,560 OVERSEAS SHIPHOLDING GROUP, INC ......... 8,390,865
641,000 PARK MAY BERHAD ......................... 1,066,641
250,073 PENINSULAR & ORIENTAL STEAM
NAVIGATION CO .......................... 2,497,178
225,450 PITTSTON BURLINGTON GROUP CO ............ 6,340,781
116,750 ROADWAY EXPRESS, INC .................... 2,729,031
888,352 RYDER SYSTEM, INC ....................... 29,315,616
167,500 SAFMARINE & RENNIES HOLDINGS LTD ........ 409,933
734,000 SEINO TRANSPORTATION CO LTD ............. 7,953,888
69,100 SHURGARD STORAGE CENTERS, INC ........... 1,934,800
8,659 oSOCIETE DE GERANCE DARMEMENT NEW ........ 101,029
34,639 ~oSOCIETE ANOMYNE DE GERANCE &
D'ARMENENT ............................. 486,752
238,100 oSWIFT TRANSPORTATION CO, INC ............ 7,023,950
61,700 TRANSPORTATION DEVELOPMENT
GROUP PLC ............................... 178,162
52,000 oTRANSPORT MARITIMA MEXICO
SERIES L ................................ 319,014
8,300 TRENCOR LTD ............................. 34,770
236,000 USFREIGHTWAYS CORP ...................... 6,106,500
466,250 WERNER ENTERPRISES, INC ................. 9,033,593
9,500 XTRA CORP ............................... 417,406
1,191,006 YAMATO TRANSPORT CO LTD ................. 14,883,728
190,900 oYELLOW CORP ............................. 4,271,387
-------------
242,614,231
-------------
UTILITIES--ELECTRIC--3.10%
466,800 oAES CORP ................................ 33,026,100
821,700 ALLEGHENY POWER SYSTEMS, INC ............ 21,929,118
1,269,997 AMERICAN ELECTRIC POWER CO, INC ......... 53,339,874
335,500 ATLANTIC ENERGY, INC .................... 5,640,593
474,000 AUSTRALIA GAS LIGHT CO .................. 2,769,942
1,594,624 BALTIMORE GAS & ELECTRIC CO ............. 42,556,528
395,350 BLACK HILLS CORP ........................ 11,267,475
349,986 BOSTON EDISON CO ........................ 9,230,880
1,097,536 CAROLINA POWER & LIGHT CO ............... 39,374,104
1,694,859 CENTERIOR ENERGY CORP ................... 18,961,235
1,883,600 CENTRAL & SOUTH WEST CORP ............... 40,026,500
94,600 CENTRAL HUDSON GAS & ELECTRIC CORP ...... 3,257,787
661,764 oCENTRAL LOUISIANA ELECTRIC, INC ......... 18,612,112
145,938 CENTRAL MAINE POWER CO .................. 1,805,982
280,700 CHILECTRA S.A. ADR ...................... 8,189,600
860,400 CHINA LIGHT & POWER CO LTD .............. 4,875,439
4,268,702 CIA PAULISTA DE FORCA & LUZ ............. 717,662
1,666,598 CINERGY CORP ............................ 58,018,442
300,309 CIPSCO, INC ............................. 10,980,047
425,237 oCITIZENS UTILITIES CO (CLASS B) ......... 3,401,896
1,798,400 CMS ENERGY CORP ......................... 63,393,600
2,205,000 CONSOLIDATED EDISON CO OF
NEW YORK, INC .......................... 64,909,687
548,800 DELMARVA POWER & LIGHT CO ............... 10,461,500
1,557,800 DOMINION RESOURCES, INC ................. 57,054,425
629,550 DPL, INC ................................ 15,502,668
733,293 DQE, INC ................................ 20,715,527
1,173,818 DTE ENERGY CO ........................... 32,426,722
2,391,498 DUKE ENERGY CORP ........................ 114,642,435
214,000 EASTERN UTILITIES ASSOCIATION CO ........ 3,905,500
7,857,410 EDISON INTERNATIONAL CO ................. 195,453,073
889,000 EDISON .................................. 4,419,699
42,714 oEL PASO ELECTRIC CO ..................... 301,667
77,251 ELECTRABEL NV ........................... 16,567,354
2,000 oELECTRABEL S.A. STRIP (VVPR) ............ 1,335
9,977,766 ELECTROBRAS S.A ......................... 5,579,244
414,840 EMPRESA NACIONAL DE
ELECTRIDAD S.A. ........................ 34,889,549
494,000 EMPRESA NACIONAL DE
ELECTRIDAD S.A. ADR .................... 11,145,875
1,485,000 ENERGY GROUP PLC ........................ 15,842,222
150,000 ENERSIS S.A. ADR ........................ 5,334,375
706,090 ENOVA CORP .............................. 16,990,290
2,125,704 ENTERGY CORP ............................ 58,191,147
787,139 FLORIDA PROGRESS CORP ................... 24,647,289
1,194,848 FPL GROUP, INC .......................... 55,037,686
1,040,000 GPU, INC ................................ 37,310,000
382,491 HAWAIIAN ELECTRIC INDUSTRIES, INC ....... 14,773,714
4,700,025 HONG KONG ELECTRIC CO LTD ............... 18,927,951
1,673,600 HOUSTON INDUSTRIES, INC ................. 35,877,800
1,452,397 IBERDROLA S.A ........................... 18,367,215
970,400 IDAHO POWER CO .......................... 30,446,300
14,500 IES INDUSTRIES, INC ..................... 427,750
776,552 ILLINOVA CORP ........................... 17,084,144
504,400 IPALCO ENTERPRISES, INC ................. 15,762,500
1,209,114 KANSAI ELECTRIC POWER CO, INC ........... 23,351,848
582,834 KANSAS CITY POWER & LIGHT CO ............ 16,647,196
137,000 KOREA ELECTRIC POWER CORP ............... 4,087,943
27,700 KU ENERGY CORP .......................... 945,262
1,370,000 LIGHT SERVICOS DE ELETRICIDADE S.A ...... 681,742
1,222,400 LONG ISLAND LIGHTING CO ................. 28,115,200
666,400 LOUISVILLE GAS & ELECTRIC
ENERGY CORP ............................. 14,702,450
76,232 MANILA ELECTRIC CO SERIES B ............. 375,723
454,400 MIDAMERICAN ENERGY HOLDINGS CO .......... 7,866,800
405,402 MINNESOTA POWER & LIGHT CO .............. 12,314,085
473,886 MONTANA POWER CO ........................ 10,988,231
686,795 NATIONAL GRID GROUP PLC ................. 2,508,957
3,862,900 NATIONAL POWER PLC ...................... 33,559,507
1,786,900 NEVADA POWER CO ......................... 37,971,625
625,143 NEW ENGLAND ELECTRIC SYSTEMS CO ......... 23,130,291
448,086 NEW YORK STATE ELECTRIC & GAS CORP ...... 9,353,795
1,855,400 oNIAGARA MOHAWK POWER CORP ............... 15,886,862
638,579 NIPSCO INDUSTRIES, INC .................. 26,381,294
868,800 NORTHEAST UTILITIES CO .................. 8,307,900
527,300 NORTHERN STATES POWER CO ................ 27,287,775
833,729 OGE ENERGY CORP ......................... 37,934,669
926,392 OHIO EDISON CO .......................... 20,206,925
See notes to financial statements.
-45-
<PAGE>
SHARES VALUE
------ -----
UTILITIES--ELECTRIC--(CONTINUED)
12,000 OESTERREICHISCHE
ELEKTRIZITAETSWIRSCHAFTS AG. ........... $ 845,359
2,067,500 PACIFICORP .............................. 45,485,000
2,120,200 PECO ENERGY CO .......................... 44,524,200
4,239,640 PG&E CORP ............................... 102,811,270
1,106,100 PINNACLE WEST CAPITAL CORP .............. 33,252,131
545,500 PORTLAND GENERAL CORP ................... 21,649,531
634,700 POTOMAC ELECTRIC POWER CO ............... 14,677,437
1,450,000 POWERGEN PLC ............................ 17,254,630
1,860,072 PP&L RESOURCES, INC ..................... 37,085,185
1,459,592 PUBLIC SERVICE CO OF COLORADO ........... 60,573,068
560,662 PUBLIC SERVICE CO OF NEW MEXICO ......... 10,021,833
2,294,746 PUBLIC SERVICE ENTERPRISE GROUP, INC .... 57,368,650
1,608,031 PUGET SOUND ENERGY, INC ................. 42,612,821
550,920 oRHEIN-WESTFALEN
ELECTRIC AG. (STAMM) ................... 23,711,114
165,600 ROCHESTER GAS & ELECTRIC CORP ........... 3,487,950
679,000 SCANA CORP .............................. 16,847,687
466,201 SCOTTISH POWER PLC ...................... 3,033,762
20,188 SEVILLANA DE ELECTRICIDAD S.A ........... 208,632
186,346 SHUN TAK ENTERPRISES CORP LTD ........... 114,251
604,300 SIERRA PACIFIC RESOURCES ................ 19,337,600
4,699,962 SOUTHERN CO ............................. 102,811,668
103,015 SOUTHERN ELECTRIC PLC ................... 760,371
436,283 SOUTHWESTERN PUBLIC SERVICE CO .......... 17,151,375
947,252 TECO ENERGY, INC ........................ 24,214,129
5,200,000 TENAGA NASIONAL BERHAD .................. 25,340,760
2,407,807 TEXAS UTILITIES CO ...................... 82,918,853
916,903 TOHOKU ELECTRIC POWER CO, INC ........... 16,346,143
1,696,574 TOKYO ELECTRIC POWER CO, INC ............ 35,731,528
19,638 TRACTEBEL NV ............................ 8,193,759
6,138 oTRACTEBEL NV PUT WTS 11/15/1999 ......... 65,903
204,000 TRANSALTA CORP .......................... 2,432,444
262,220 oTUCSON ELECTRIC POWER CO ................ 3,802,190
2,358,070 UNICOM CORP ............................. 52,467,057
712,000 UNION ELECTRIC CO ....................... 26,833,500
100,000 UNION ELECTRICA FENOSA S.A .............. 911,066
76,100 UNITED ILLUMINATING CO .................. 2,349,587
4,800 UNITED WATER RESOURCES, INC ............. 93,000
333,172 UTILICORP UNITED, INC ................... 9,703,634
931,230 VEBA AG ................................. 52,370,317
50,846 oVIAG AG ................................. 23,138,337
878,600 WASHINGTON WATER POWER CO ............... 17,242,525
556,229 WESTERN RESOURCES, INC .................. 18,042,678
928,481 WISCONSIN ENERGY CORP ................... 23,095,964
164,000 WPL HOLDINGS, INC ....................... 4,581,750
591,500 WPS RESOURCES CORP ...................... 15,822,625
-----------
2,888,300,913
-------------
UTILITIES--GAS & PIPELINE--0.87%
238,900 AGL RESOURCES, INC ...................... 4,927,312
472,400 oAMERICAN STANDARD COS, INC .............. 21,139,900
191,600 AMERICAN WATER WORKS CO, INC ............ 4,095,450
322,825 ATMOS ENERGY CORP ....................... 7,747,800
9,825,400 BG PLC .................................. 36,138,833
154,900 oBLACK BOX CORP .......................... 6,234,725
441,250 BROOKLYN UNION GAS CO ................... 12,630,781
436,800 CABOT OIL & GAS CORP (CLASS A) .......... 7,698,600
353,700 oCALENERGY, INC .......................... 13,440,600
1,770,400 oCENTRICA PLC ............................ 2,158,294
892,137 COASTAL CORP ............................ 47,450,536
576,600 COLUMBIA GAS SYSTEMS, INC ............... 37,623,150
678,600 CONSOLIDATED NATURAL GAS CO ............. 36,517,162
337,038 EASTERN ENTERPRISES CO .................. 11,691,005
316,902 EL PASO NATURAL GAS CO .................. 17,429,610
6,287 oENERGIA E INDUSTRIAS ARAGONESAS S.A ..... 45,310
1,667,000 ENRON CORP .............................. 68,034,437
638,200 ENSERCH CORP ............................ 14,199,950
427,875 EQUITABLE RESOURCES, INC ................ 12,140,953
65,041 GAS NATURAL SDG S.A ..................... 14,234,860
6,687,123 HONG KONG & CHINA GAS CO LTD ............ 13,378,883
117,161 oHONG KONG & CHINA GAS WTS 11/30/97 ...... 125,519
18,200 INDIANA ENERGY, INC ..................... 444,762
232,700 oIONICS, INC ............................. 10,587,850
140,096 IPL ENERGY, INC ......................... 4,675,112
520,000 ITALGAS S.P.A ........................... 1,681,680
693,176 MCN ENERGY GROUP, INC ................... 21,228,515
292,800 NATIONAL FUEL GAS CO .................... 12,279,300
71,400 NEW JERSEY RESOURCES CORP ............... 2,240,175
773,600 NGC CORP ................................ 11,942,450
423,140 NICOR, INC .............................. 15,180,147
750,568 NORAM ENERGY CORP ....................... 11,446,162
37,000 NORTHWEST NATURAL GAS CO ................ 968,937
174,062 ONEOK, INC .............................. 5,602,620
1,754,925 OSAKA GAS CO LTD ........................ 5,045,639
832,640 PACIFIC ENTERPRISES, INC ................ 27,997,520
387,715 PEOPLES ENERGY CORP ..................... 14,515,080
28,600 PIEDMONT NATURAL GAS CO, INC ............ 734,662
9,000 PRIMAGAZ ................................ 797,139
337,056 oPRIMARK CORP ............................ 8,974,116
499,340 QUESTAR CORP ............................ 20,160,852
505,800 SONAT, INC .............................. 25,922,250
30,500 SOUTHWESTERN ENERGY CO .................. 396,500
1,673,188 TENNECO, INC ............................ 75,607,182
1,840,766 TOKYO GAS CO LTD ........................ 5,115,492
258,600 TRANS CANADA PIPELINES LTD .............. 5,201,617
15,000 TRANS CANADA PIPELINES LTD (U.S.) ....... 301,875
133,000 TRANSPORTADORA DE GAS DEL SUR S.A
SERIES B ............................... 321,892
18,800 oTRIARC COS, INC ......................... 383,050
324 UGI CORP ................................ 7,168
352,900 VALERO ENERGY CORP ...................... 12,792,625
735,600 WASHINGTON GAS LIGHT CO ................. 18,481,950
116,384 WESTCOAST ENERGY, INC ................... 2,134,325
90,500 WESTERN GAS RESOURCES, INC .............. 1,764,750
3,600 WICOR, INC .............................. 140,175
1,853,747 WILLIAMS COS, INC ....................... 81,101,431
505,300 YANKEE ENERGY SYSTEMS, INC .............. 12,379,850
-------------
807,638,520
-------------
UTILITIES--OTHER--0.07%
109,000 ANGLIAN WATER PLC ....................... 1,181,877
461,932 oAUTOPISTAS CONCESIONARIA
ESPANOLA S.A. .......................... 6,281,351
116,000 oBILLING INFORMATION CONCEPTS CORP ....... 4,045,500
48,973 oCOMPAGNIE GENERALE DES EAUX ............. 6,281,166
48,973 oCOMPAGNIE GENERALE DES EAUX
WTS 05/02/01 ............................ 29,362
558,128 HYDER PLC ............................... 7,547,251
22,224 LYONNAISE DES EAUX S.A .................. 2,240,951
196,805 oTHAMES WATER PLC ........................ 2,271,507
3,503,727 UNITED UTILITIES PLC .................... 38,515,425
-------------
68,394,390
-------------
UTILITIES--TELEPHONE--5.62%
89,900 oADTRAN, INC ............................. 2,225,025
564,400 ALIANT COMMUNICATIONS, INC .............. 11,005,800
2,080,274 ALLTEL CORP ............................. 69,559,161
131,300 oAMERICAN MOBILE SATELLITE CORP .......... 1,345,825
6,399,148 AMERITECH CORP .......................... 434,742,117
17,449,803 AT & T CORP ............................. 611,833,717
822,200 BCE, INC ................................ 22,885,248
42 BCE, INC (U.S.) ......................... 1,176
See notes to financial statements.
-46-
<PAGE>
SHARES VALUE
------ -----
UTILITIES--TELEPHONE--(CONTINUED)
4,006,244 BELL ATLANTIC CORP ...................... $303,973,763
8,791,610 BELLSOUTH CORP .......................... 407,710,913
12,667,410 oBRITISH TELECOMMUNICATIONS PLC .......... 94,027,372
36,500 oC-TEC CORP .............................. 1,272,937
620,337 oCABLE & WIRELESS
COMMUNICATIONS PLC ..................... 3,288,279
10,938,038 CABLE & WIRELESS PLC .................... 100,578,075
321,900 CABLE & WIRELESS PLC ADR ................ 8,993,081
1,136,000 CIA DE TELECOMMUNICACIONES
CHILE ADR .............................. 37,488,000
737,600 CINCINNATI BELL, INC .................... 23,234,400
15,500 oCOMMNET CELLULAR, INC ................... 538,625
285,883 oCORECOMM, INC ........................... 4,931,481
306 DDI CORP ................................ 2,262,317
3,725,000 DEUTSCHE TELEKOM AG ..................... 89,779,614
1,997,000 FRONTIER CORP ........................... 39,815,187
521,337 oGLENAYRE TECHNOLOGIES, INC .............. 8,536,893
2,650 GN STORE NORD AS--GN GREAT NORDIC ....... 281,758
8,849,212 GTE CORP ................................ 388,259,176
4,719,669 HONG KONG TELECOMMUNICATIONS LTD ........ 11,270,213
945,230 KONINKLIJKE PTT NEDERLAND NV ............ 37,147,276
4,924,500 MCI COMMUNICATIONS CORP ................. 188,516,015
582,400 oMOBILE TELECOMMUNICATIONS
TECHNOLOGIES CORP ...................... 8,335,600
95,000 xoMOBILEMEDIA CORP ........................ 26,600
1,301,100 oNEXTEL COMMUNICATIONS, INC
(CLASS A) ............................... 24,639,581
12,861 NIPPON TELEGRAPH & TELEPHONE CORP ....... 123,631,506
3,763,344 NYNEX CORP .............................. 216,862,698
129,000 PHILIPPINE LONG DISTANCE TELEPHONE
CO ADR ................................. 8,288,250
204,000 PORTUGAL TELECOM S.A .................... 8,239,947
2,082,600 oPRICELLULAR CORP (CLASS A) .............. 18,743,400
475,000 PT INDONESIAN SATELLITE CORP ADR ........ 14,220,312
11,947,426 SBC COMMUNICATIONS, INC ................. 739,246,983
2,400,000 oSINGAPORE TELECOMMUNICATIONS LTD ........ 4,431,392
597 SK TELECOM CO ........................... 307,205
590,900 SOUTHERN NEW ENGLAND
TELECOMMUNICATIONS CORP ................ 22,971,237
2,948,219 SPRINT CORP ............................. 155,150,024
910,000 STET-SOCIETA FINANSIARIA TELEFONICA ..... 4,474,092
276,000 oTECHNOLOGY RESOURCES
INDUSTRIES BERHAD ...................... 474,580
205,900 TELE DANMARK AS (CLASS B) ............... 10,713,147
1,680,000 TELEBRAS S.A ............................ 227,828
490,000 oTELEC DE SAO PAULO S.A .................. 144,505
50,000 oTELECEL-COMUNICACAOES PESSOAIS .......... 4,152,970
10,954,160 TELECOM CORP OF NEW ZEALAND ............. 55,685,472
20,780,026 TELECOM ITALIA MOBILE S.P.A ............. 59,717,070
15,565,026 TELECOM ITALIA S.P.A .................... 46,584,877
4,225,000 TELECOM ITALIA S.P.A. DI RISP ........... 8,359,669
1,505,441 TELEFONICA DE ARGENTINA S.A .............
(CLASS B) ............................... 5,194,290
2,297,959 TELEFONICA DE ESPANA S.A ................ 66,557,487
2,610,000 TELEFONOS DE MEXICO S.A. SERIES L ....... 6,240,769
2,788,500 TELEKOM MALAYSIA BERHAD ................. 13,036,584
315,974 TELEPHONE & DATA SYSTEMS, INC ........... 11,987,263
115,700 TELUS CORP .............................. 2,125,975
116,000 oU.S. LONG DISTANCE CORP ................. 2,001,000
4,286,146 U.S. WEST COMMUNICATIONS
GROUP, INC ............................. 161,534,807
3,581,146 oU.S. WEST MEDIA GROUP, INC .............. 72,518,206
1,290,110 VODAFONE GROUP PLC ...................... 6,280,355
13,794,719 oWORLDCOM, INC ........................... 441,431,008
-------------
5,230,040,133
-------------
TOTAL COMMON STOCK
(Cost $49,000,290,077) ................... 89,419,459,137
--------------
PRINCIPAL
---------
SHORT TERM INVESTMENTS--6.55%
BANK NOTES--0.21%
BANK OF AMERICA
$25,000,000 5.720%, 08/01/97 ..................... 24,999,910
20,000,000 5.860%, 09/26/97 ..................... 19,994,818
25,000,000 5.850%, 11/03/97 ..................... 25,003,850
BANK ONE OF COLUMBUS, N.A.
20,000,000 5.690%, 10/28/97 ..................... 19,984,226
FCC NATIONAL BANK
37,000,000 5.500%, 07/01/97 ..................... 36,998,790
20,000,000 5.900%, 10/17/97 ..................... 20,007,244
25,000,000 5.880%, 11/05/97 ..................... 25,006,742
13,000,000 5.870%, 11/10/97 ..................... 13,003,350
HUNTINGTON NATIONAL BANK
13,000,000 5.740%, 09/02/97 ..................... 12,998,853
-------------
197,997,783
-------------
BANKERS ACCEPTANCES--0.11%
BANK OF MONTREAL
10,000,000 5.540%, 08/27/97 ..................... 9,909,778
10,000,000 5.570%, 09/15/97 ..................... 9,880,222
NATIONS BANK OF TEXAS
5,000,000 5.570%, 11/24/97 ..................... 4,885,258
NATIONSBANK SOUTH
5,000,000 5.560%, 07/08/97 ..................... 4,993,922
5,000,000 5.450%, 09/09/97 ..................... 4,944,975
5,000,000 * 5.670%, 10/06/97 ..................... 4,923,641
NATIONSBANK, NA
25,000,000 5.580%, 07/07/97 ..................... 24,973,652
8,000,000 5.520%, 07/21/97 ..................... 7,974,006
REPUBLIC NATIONAL BANK OF NEW YORK
30,000,000 5.320%, 07/10/97 ..................... 29,954,418
-------------
102,439,872
-------------
CERTIFICATES OF DEPOSIT--0.46%
ABN AMRO BANK N.V.
20,000,000 5.650%, 12/23/97 ..................... 19,972,312
17,000,000 5.890%, 03/06/98 ..................... 16,986,219
DEUTSCHE BANK
25,000,000 5.680%, 07/01/97 ..................... 24,999,387
MORGAN GUARANTY TRUST CO
50,000,000 5.770%, 02/03/98 ..................... 49,930,325
NATIONAL WESTMINSTER BANK PLC
42,500,000 5.890%, 10/02/97 ..................... 42,513,230
RABOBANK
15,000,000 5.500%, 12/05/97 ..................... 14,970,948
REGIONS BANK (ALABAMA)
15,000,000 5.800%, 08/22/97 ..................... 15,002,412
ROYAL BANK OF CANADA
25,000,000 5.960%, 09/26/97 ..................... 25,002,437
25,000,000 5.580%, 12/11/97 ..................... 24,958,967
12,500,000 5.770%, 01/27/98 ..................... 12,483,380
25,000,000 6.050%, 06/10/98 ..................... 24,990,852
SOCIETE GENERALE
40,000,000 5.920%, 09/17/97 ..................... 39,999,464
15,000,000 5.560%, 11/20/97 ..................... 14,978,650
WESTDEUTSCHE LANDESBANK
100,000,000 5.550%, 07/08/97 ..................... 99,997,530
-------------
426,786,113
-------------
See notes to financial statements.
-47-
<PAGE>
PRINCIPAL VALUE
--------- -----
COMMERCIAL PAPER--3.73%
AIR PRODUCTS & CHEMICALS, INC
23,500,000 5.520%, 08/12/97 ...................... $ 23,343,372
20,000,000 5.450%, 10/06/97 ...................... 19,694,022
AIRTOUCH COMMUNICATIONS, INC
16,000,000 # 5.700%, 07/14/97 ...................... 15,964,284
5,000,000 # 5.750%, 07/17/97 ...................... 4,986,589
AMERICAN EXPRESS CREDIT CORP
23,000,000 5.280%, 07/07/97 ...................... 22,975,716
AMERICAN HOME PRODUCTS CORP
15,000,000 # 5.600%, 07/14/97 ...................... 14,966,808
30,000,000 # 5.620%, 07/21/97 ...................... 29,901,474
30,000,000 # 5.620%, 07/22/97 ...................... 29,896,782
AMRO NORTH AMERICA FINANCE, INC
30,000,000 5.330%, 07/09/97 ...................... 29,957,850
4,000,000 5.360%, 07/09/97 ...................... 3,994,380
ARIZONA PUBLIC SERVICE CO
10,475,000 5.800%, 07/10/97 ...................... 10,458,298
5,300,000 5.950%, 07/22/97 ...................... 5,281,603
11,581,000 5.900%, 07/29/97 ...................... 11,528,009
ASSET SECURITIZATION COOPERATIVE CORP
50,000,000 # 5.520%, 07/17/97 ...................... 49,868,250
50,000,000 # 5.530%, 07/18/97 ...................... 49,860,500
ASSOCIATES CORP OF NORTH AMERICA
25,000,000 6.200%, 07/01/97 ...................... 24,995,485
50,000,000 5.540%, 07/22/97 ...................... 49,829,500
25,000,000 5.540%, 07/28/97 ...................... 24,891,500
B.B.V. FINANCE (DELAWARE), INC
25,000,000 5.360%, 07/23/97 ...................... 24,910,875
25,000,000 5.350%, 07/29/97 ...................... 24,887,625
BANKERS TRUST NEW YORK CORP
25,000,000 5.370%, 07/07/97 ...................... 24,973,605
20,000,000 5.400%, 07/29/97 ...................... 19,910,100
16,500,000 5.620%, 08/12/97 ...................... 16,390,027
BELL ATLANTIC FINANCIAL SERVICES, INC
20,000,000 5.530%, 07/02/97 ...................... 19,993,966
BETA FINANCE, INC
11,000,000 # 5.570%, 09/23/97 ...................... 10,854,555
15,000,000 5.750%, 11/10/97 ...................... 14,687,449
21,000,000 # 5.640%, 12/12/97 ...................... 20,457,150
BURLINGTON NORTHERN SANTA FE
23,000,000 5.740%, 07/01/97 ...................... 22,995,655
10,000,000 5.710%, 07/01/97 ...................... 9,998,111
7,000,000 # 5.750%, 07/08/97 ...................... 6,991,070
35,000,000 # 5.710%, 07/21/97 ...................... 34,884,034
CADES
25,000,000 5.550%, 11/18/97 ...................... 24,447,750
50,000,000 5.625%, 12/09/97 ...................... 48,731,000
CAMPBELL SOUP CO
25,000,000 # 5.370%, 07/14/97 ...................... 24,945,360
26,000,000 5.570%, 07/22/97 ...................... 25,911,340
25,000,000 # 5.420%, 08/25/97 ...................... 24,783,000
CANADIAN IMPERIAL HOLDINGS, INC
50,000,000 5.576%, 07/14/97 ...................... 49,890,720
30,000,000 5.600%, 07/17/97 ...................... 29,920,950
CATERPILLAR FINANCIAL SERVICES CORP
22,000,000 5.580%, 09/22/97 ...................... 21,712,532
25,000,000 # 5.600%, 10/02/97 ...................... 24,633,140
CIESCO LP
25,000,000 5.570%, 07/14/97 ...................... 24,945,360
15,000,000 # 5.570%, 07/17/97 ...................... 14,960,475
25,000,000 5.570%, 07/25/97 ...................... 24,903,125
35,000,000 5.560%, 08/01/97 ...................... 34,826,400
COCA COLA ENTERPRISE
25,000,000 # 5.630%, 07/07/97 ...................... 24,973,312
29,000,000 # 5.650%, 07/15/97 ...................... 28,931,971
20,000,000 # 5.660%, 07/28/97 ...................... 19,912,422
COLUMBIA/HCA HEALTHCARE CORP
27,000,000 # 5.700%, 07/01/97 ...................... 26,994,937
20,000,000 # 5.580%, 08/21/97 ...................... 19,837,356
28,000,000 5.820%, 08/29/97 ...................... 27,737,267
COMMERCIAL CREDIT CO
25,000,000 5.610%, 07/08/97 ...................... 24,968,777
CONAGRA, INC
7,000,000 5.720%, 07/07/97 ...................... 6,992,459
50,000,000 5.740%, 07/30/97 ...................... 49,763,335
18,000,000 5.720%, 08/22/97 ...................... 17,849,480
CORPORATE ASSET FUNDING CORP, INC
18,000,000 5.550%, 07/08/97 ...................... 17,977,519
50,000,000 # 5.550%, 08/04/97 ...................... 49,728,750
30,000,000 # 5.550%, 08/12/97 ...................... 29,800,050
COX COMMUNICATIONS, INC
10,000,000 5.800%, 07/11/97 ...................... 9,982,461
19,000,000 5.760%, 07/16/97 ...................... 18,952,036
20,500,000 5.780%, 07/21/97 ...................... 20,432,077
CROWN CORK & SEAL CO, INC
7,000,000 5.770%, 07/08/97 ...................... 6,991,070
5,000,000 5.770%, 07/09/97 ...................... 4,992,825
26,000,000 5.730%, 07/14/97 ...................... 25,941,962
8,900,000 5.760%, 07/15/97 ...................... 8,878,936
10,000,000 5.800%, 08/04/97 ...................... 9,944,778
15,000,000 5.800%, 08/08/97 ...................... 14,907,700
CSX CORP
40,000,000 5.720%, 07/14/97 ...................... 39,910,712
25,000,000 # 5.730%, 07/21/97 ...................... 24,917,167
10,000,000 5.800%, 07/24/97 ...................... 9,962,133
DAYTON HUDSON CORP
50,000,000 5.720%, 07/09/97 ...................... 49,928,250
25,000,000 5.740%, 07/25/97 ...................... 24,901,390
DETROIT EDISON CO
31,000,000 6.550%, 07/01/97 ...................... 30,994,144
DUPONT (E.I.) DE NEMOURS & CO
25,000,000 5.570%, 08/18/97 ...................... 24,810,125
26,000,000 # 5.560%, 09/16/97 ...................... 25,684,534
50,000,000 5.650%, 11/04/97 ...................... 49,005,165
EASTMAN CHEMICAL CO
20,000,000 5.700%, 07/17/97 ...................... 19,946,356
FEDERAL EXPRESS CORP
5,355,000 5.850%, 07/09/97 ...................... 5,347,315
FORD MOTOR CREDIT CO
14,000,000 5.540%, 07/07/97 ...................... 13,985,218
21,000,000 5.350%, 10/03/97 ...................... 20,688,557
44,000,000 5.700%, 11/05/97 ...................... 43,117,654
GENERAL ELECTRIC CAPITAL CORP
50,000,000 5.690%, 11/17/97 ...................... 48,903,335
25,000,000 5.750%, 12/31/97 ...................... 24,271,667
GENERAL MOTORS ACCEPTANCE CORP
30,000,000 5.410%, 07/30/97 ...................... 29,860,500
26,000,000 5.400%, 08/04/97 ...................... 25,858,950
24,000,000 5.730%, 11/17/97 ...................... 23,473,600
21,000,000 5.700%, 12/08/97 ...................... 20,470,310
GENERAL SIGNAL CORP
9,894,000 5.620%, 07/22/97 ...................... 9,859,958
16,800,000 # 5.620%, 07/23/97 ...................... 16,739,572
GOLDMAN SACHS GROUP, LP
20,000,000 5.350%, 07/25/97 ...................... 19,922,500
11,000,000 5.610%, 10/06/97 ...................... 10,831,712
20,000,000 5.820%, 11/17/97 ...................... 19,561,334
25,000,000 5.680%, 12/02/97 ...................... 24,392,917
See notes to financial statements.
-48-
<PAGE>
PRINCIPAL VALUE
--------- -----
HEINZ (H.J.) CO
$25,000,000 5.550%, 12/17/97 ..................... $ 24,334,167
HOUSEHOLD FINANCE CORP
50,000,000 5.540%, 07/21/97 ...................... 49,837,250
HOUSTON LIGHTING & POWER CO
10,000,000 5.730%, 07/02/97 ...................... 9,996,922
IBM CREDIT CORP
22,000,000 5.750%, 07/03/97 ...................... 21,990,045
27,500,000 5.540%, 08/01/97 ...................... 27,363,600
J.P. MORGAN & CO
12,000,000 5.500%, 07/21/97 ...................... 11,960,940
20,000,000 5.410%, 09/09/97 ...................... 19,779,900
LOCKHEED MARTIN
10,000,000 5.750%, 08/19/97 ...................... 9,921,111
MCCORMICK & CO, INC
10,000,000 5.320%, 08/07/97 ...................... 9,941,100
15,000,000 5.560%, 09/09/97 ...................... 14,834,925
MCI COMMUNICATIONS CORP
15,000,000 # 5.640%, 10/17/97 ...................... 14,744,758
13,000,000 # 5.650%, 10/28/97 ...................... 12,756,467
10,000,000 5.630%, 11/10/97 ...................... 9,791,633
26,000,000 # 5.560%, 11/20/97 ...................... 25,417,514
MERRILL LYNCH & CO, INC
60,000,000 6.200%, 07/01/97 ...................... 59,989,164
15,000,000 5.640%, 08/18/97 ...................... 14,886,075
25,000,000 5.610%, 08/28/97 ...................... 24,771,375
NATIONAL RURAL UTILITIES COOP FINANCE
50,000,000 # 5.560%, 07/18/97 ...................... 49,860,500
18,000,000 # 5.600%, 07/18/97 ...................... 17,949,780
NATIONSBANK CORP
10,000,000 5.610%, 07/09/97 ...................... 9,985,950
25,000,000 5.590%, 09/08/97 ...................... 24,728,750
NORFOLK SOUTHERN CORP
30,030,000 5.730%, 07/10/97 ...................... 29,982,120
20,000,000 5.770%, 07/21/97 ...................... 19,933,734
NYNEX CORP
24,500,000 5.500%, 07/01/97 ...................... 24,495,575
25,000,000 5.520%, 07/03/97 ...................... 24,988,687
48,800,000 5.560%, 07/25/97 ...................... 48,610,900
PACIFIC BELL
60,750,000 6.150%, 07/01/97 ...................... 60,739,028
PHILIP MORRIS COS, INC
50,000,000 5.560%, 07/01/97 ...................... 49,990,970
POTLATCH CORP
5,750,000 5.770%, 07/10/97 ...................... 5,740,832
PRAXAIR, INC
15,000,000 # 5.750%, 08/04/97 ...................... 14,917,167
20,000,000 5.780%, 08/05/97 ...................... 19,886,400
25,000,000 5.780%, 08/08/97 ...................... 24,846,167
15,000,000 5.760%, 08/11/97 ...................... 14,900,599
PUBLIC SERVICE CO OF COLORADO
14,000,000 5.820%, 07/08/97 ...................... 13,982,141
SCHERING CORP
15,900,000 5.330%, 07/22/97 ...................... 15,845,781
22,435,000 5.690%, 10/21/97 ...................... 22,039,233
SEARS ROEBUCK ACCEPTANCE CORP
50,000,000 6.200%, 07/01/97 ...................... 49,990,970
#SONAT INC
30,000,000 5.750%, 07/18/97 ...................... 29,914,800
#SOUTHERN CALIFORNIA GAS CO
9,321,000 5.610%, 07/07/97 ...................... 9,311,158
TEXAS UTILITIES CO
55,000,000 # 5.750%, 07/11/97 ...................... 54,903,535
20,000,000 5.780%, 07/17/97 ...................... 19,946,356
TEXTRON INC
10,000,000 5.750%, 07/11/97 ...................... 9,982,461
TORONTO DOMINION HOLDINGS (U.S.)
20,000,000 5.340%, 07/08/97 ...................... 19,975,022
30,000,000 5.260%, 08/12/97 ...................... 29,800,050
US WEST CAPITAL FUNDING CORP, INC
10,000,000 5.780%, 07/01/97 ...................... 9,998,111
20,000,000 # 5.850%, 07/09/97 ....................... 19,971,300
5,000,000 5.750%, 07/21/97 ....................... 4,983,433
WALT DISNEY CO
30,000,000 5.310%, 10/14/97 ...................... 29,503,566
30,000,000 5.340%, 10/21/97 ...................... 29,470,782
WHIRLPOOL FINANCE
19,000,000 5.800%, 07/18/97 ...................... 18,946,040
30,000,000 5.760%, 08/08/97 ...................... 29,815,401
XEROX CORP
29,000,000 5.630%, 12/02/97 ...................... 28,295,784
XEROX CREDIT CORP
25,000,000 5.570%, 07/24/97 ...................... 24,907,000
25,000,000 5.500%, 07/24/97 ...................... 24,907,000
-------------
3,473,140,380
-------------
MEDIUM TERM NOTES--0.13%
ABBEY NATIONAL TREASURY SERVICES
20,000,000 5.500%, 11/21/97 ...................... 19,966,000
BENEFICIAL CORP DEB
8,300,000 9.125%, 02/15/98 ...................... 8,460,190
CIT GROUP HOLDINGS, INC DEB
5,000,000 8.750%, 07/01/97 ...................... 5,006,000
FIRST NATIONAL BANK OF CHICAGO
14,340,000 6.830%, 09/08/97 ...................... 14,368,680
FORD MOTOR CREDIT CO
(UNSUBORDINATED NOTE)
7,000,000 6.250%, 02/26/98 ...................... 7,013,300
INTL BUSINESS MACHINE CORP
50,000,000 5.670%, 01/28/98 ...................... 49,910,000
RABOBANK DEPOSIT NOTE
5,500,000 5.770%, 08/26/97 ...................... 5,500,000
XEROX CORP DEB
10,500,000 9.625%, 09/01/97 ...................... 10,576,650
-------------
120,800,820
-------------
U.S. GOVERNMENT & AGENCIES--1.63%
FEDERAL FARM CREDIT BANKS
25,000,000 5.450%, 03/03/98 ...................... 24,981,535
FEDERAL HOME LOAN BANKS
33,700,000 5.220%, 07/03/97 ...................... 33,684,693
22,220,000 5.250%, 07/10/97 ...................... 22,186,361
42,235,000 5.220%, 07/10/97 ...................... 42,171,060
9,000,000 5.275%, 07/15/97 ...................... 8,979,562
5,450,000 5.470%, 07/17/97 ...................... 5,435,973
16,000,000 5.510%, 07/31/97 ...................... 15,924,910
24,200,000 5.280%, 08/08/97 ...................... 24,057,118
24,000,000 6.000%, 09/24/97 ...................... 24,025,591
38,735,000 5.570%, 09/25/97 ...................... 38,224,829
10,000,000 5.160%, 10/08/97 ...................... 9,848,611
48,575,000 5.590%, 10/09/97 ...................... 47,832,273
30,000,000 5.310%, 10/15/97 ...................... 29,514,042
8,055,000 5.300%, 10/24/97 ...................... 7,913,545
7,490,000 5.300%, 10/28/97 ...................... 7,353,931
See notes to financial statements.
-49-
<PAGE>
PRINCIPAL VALUE
- --------- -----
U.S. GOVERNMENT & AGENCIES--(CONTINUED)
$15,000,000 5.160%, 11/07/97 .......................$ 14,704,791
45,000,000 5.490%, 11/28/97 ....................... 43,961,877
71,000,000 5.480%, 12/05/97 ....................... 69,286,138
50,000,000 5.510%, 12/05/97 ....................... 48,793,055
50,000,000 5.490%, 12/05/97 ....................... 48,793,055
10,000,000 5.643%, 02/12/98 ....................... 10,004,870
9,740,000 5.575%, 02/20/98 ....................... 9,740,760
FEDERAL HOME LOAN MORTGAGE CORP
20,000,000 5.510%, 07/14/97 ....................... 19,957,612
28,937,000 5.470%, 07/15/97 ....................... 28,871,289
70,962,000 5.510%, 07/15/97 ....................... 70,800,859
21,612,000 5.470%, 07/21/97 ....................... 21,543,291
8,000,000 5.520%, 07/23/97 ....................... 7,972,144
13,000,000 5.500%, 07/25/97 ....................... 12,950,798
19,000,000 5.500%, 07/30/97 ....................... 18,913,707
28,000,000 5.530%, 08/07/97 ....................... 27,838,921
34,000,000 5.530%, 08/08/97 ....................... 33,799,257
5,000,000 5.470%, 09/02/97 ....................... 4,951,555
23,000,000 5.600%, 10/30/97 ....................... 22,575,203
FEDERAL NATIONAL MORTGAGE
ASSOCIATION
5,000,000 * 5.160%, 07/30/97 ....................... 4,977,291
12,630,000 5.190%, 07/31/97 ....................... 12,570,726
7,000,000 5.530%, 08/11/97 ....................... 6,955,491
40,000,000 5.460%, 08/26/97 ....................... 39,654,832
9,000,000 5.490%, 09/04/97 ....................... 8,910,074
19,000,000 5.480%, 09/04/97 ....................... 18,810,157
18,250,000 5.470%, 09/05/97 ....................... 18,064,888
6,000,000 5.450%, 09/08/97 ....................... 5,936,416
9,000,000 5.430%, 09/08/97 ....................... 8,904,625
100,000,000 5.310%, 09/11/97 ....................... 98,894,860
50,000,000 5.470%, 09/12/97 ....................... 49,439,860
25,000,000 5.430%, 09/26/97 ....................... 24,666,945
22,000,000 5.450%, 09/29/97 ....................... 21,696,919
50,000,000 * 5.590%, 10/07/97 ....................... 49,250,625
50,000,000 5.590%, 10/14/97 ....................... 49,197,640
48,265,000 5.610%, 10/20/97 ....................... 47,446,637
35,000,000 5.610%, 10/30/97 ....................... 34,353,571
75,000,000 * 5.600%, 11/10/97 ....................... 73,489,897
43,910,000 5.160%, 11/19/97 ....................... 42,966,057
25,000,000 5.890%, 05/21/98 ....................... 25,060,492
INTERNATIONAL BANK FOR
RECONSTRUCTION
19,800,000 5.430%, 09/22/97 ...................... 19,548,209
-------------
1,518,389,428
-------------
VARIABLE RATE NOTES--0.28%
ABN AMRO BANK N.V.
29,000,000 5.615%, 05/13/98 ........................ 28,994,200
BANC ONE COLUMBUS, N.A.
25,000,000 5.690%, 05/18/98 ........................ 25,007,500
BANKERS TRUST NEW YORK CORP
25,000,000 5.630%, 05/13/98 ........................ 25,037,500
BENEFICIAL CORP
20,000,000 5.856%, 07/14/97 ........................ 19,996,000
CORESTATES BANK NA/
PHILADELPHIA NTL B
25,000,000 5.630%, 07/28/97 ....................... 24,995,000
HOUSEHOLD FINANCE CORP
25,000,000 5.782%, 06/03/98 ....................... 24,995,000
KEY BANK OF NEW YORK
50,000,000 5.560%, 07/02/98 ....................... 49,970,000
MORGAN STANLEY GROUP, INC
25,000,000 5.762%, 05/18/98 ....................... 24,997,500
SEARS ROEBUCK ACCEPTANCE CORP
25,000,000 5.687%, 03/25/98 ....................... 25,000,000
SOCIETE GENERALE
13,000,000 5.590%, 07/01/98 ....................... 12,993,778
------------
261,986,478
------------
TOTAL SHORT TERM INVESTMENTS
(Cost $6,102,608,819) .................... $ 6,101,540,874
---------------
ROUNDING 1,432
---------------
TOTAL PORTFOLIO
(Cost $55,269,514,978) ................... $95,786,207,255
===============
- ----------------
o Non-Income Producing
+ Affiliate holdings
x In Bankruptcy
* All or a portion of this security has been segregated by the Custodian to
cover margin or other requirements on open futures contracts, covered call
options written and securities purchased on a delayed delivery basis.
# Commercial Paper issued under the private placement exemption under Section
4(2) of the Securities Act of 1933, as amended.
~ Restricted Securities--Investment in securities not registered under the
Securities Act of 1933 or not publicly traded in foreign markets. At
06/30/97, the value of these securities amounted to $20,081,599 or 0.02% of
net assets. Additional information on each holdings is as follows:
ACQUISITION ACQUISITION
SECURITY DATE COST
- -------- ----------- -----------
AMERICAN SATELLITE NETWORK
WTS 06/30/99 01/12/94 $ 0
AMCOL HOLDINGS LTD
(SINGAPORE) 05/24/93 207,511
ANTENA 3 DE TELEVISION GDS 12/12/96 5,982,300
CORIMON S.A. ADR 04/27/93 553,000
CRESTARAN INTERNATIONAL
INVESTMENT BV 09/30/94 0
HEIZER CORP
(LIQUIDATING TRUST) 11/19/91 0
INTERNATIONAL HYDRON
(LIQUIDATING TRUST) 12/07/92 0
LAFARGE S.A. (REGD) 04/03/97 2,033,864
LAIR LIQUIDE (REGD) VARIOUS 4,377,677
MARTEK BIOSCIENCES CORP 05/22/95 6,178,150
MARTEK BIOSCIENCES CORP
WTS 05/18/98 05/22/95 117,776
PREUSSAG AG. WTS 05/17/01 05/17/96 94,529
SOCIETE ANOMYNE DE GERANCE
& D'ARMENENT 04/22/94 215,461
TAK WING INVESTMENT WTS
12/31/98 06/17/97 147
WESTFIELD TRUST (UNITS) NEW 02/28/97 306,336
WINDMERE CORP WTS 01/19/98 09/02/93 0
YORK RESEARCH CORP (CLASS C)
WTS 09/30/98 11/05/96 14,848
-----------
$20,081,599
===========
See notes to financial statements.
-50-
<PAGE>
<TABLE>
<CAPTION>
COLLEGE RETIREMENT EQUITIES FUND
TRANSACTIONS WITH AFFILIATED COMPANIES -- STOCK ACCOUNT (UNAUDITED)
JANUARY 1, 1997 -- JUNE 30, 1997
VALUE AT REALIZED DIVIDEND
ISSUE DECEMBER 31, 1996 PURCHASE COST SALES PROCEEDS GAIN (LOSS) INCOME
----- ----------------- ------------- -------------- ----------- ------
<S> <C> <C> <C> <C> <C>
ACMA LTD $ 35,680,364 -- $ 14,266,209 $ (1,231,682) --
AFFYMETRIX, INC 30,442,568 -- 9,273,591 4,773,591 --
CENTRAL LOUISIANA ELECTRIC, INC 31,336,805 $ 34,538 13,160,637 2,650,242 $ 885,355
FMC CORP NEW 166,004,598 3,367,794 7,769,017 1,351,389 --
GENERAL SIGNAL CORP 108,982,575 1,685,807 18,605,002 3,934,811 650,071
GENSET S.A 18,994,144 -- -- -- --
MALLINCKRODT, INC 181,572,168 3,906,799 6,723,476 2,791,234 1,333,809
PICCADILLY CAFETERIA ** 62,543 102,432 (15,660) --
SOUTH CHINA HOLDINGS LTD 8,199,788 -- -- -- 271,605
SOUTH CHINA INDUSTRIES LTD 7,401,472 -- -- -- 336,027
TPI ENTERPRISES, INC 103,781 -- -- -- --
------------ ------------ ------------ ------------ ------------
TOTAL AFFILIATED TRANSACTIONS $588,718,263 $ 9,057,481 $ 69,900,364 $ 14,253,925 $ 3,476,867
============ ============ ============ ============ ============
</TABLE>
<TABLE>
<CAPTION>
SHARES AT VALUE AT
ISSUE JUNE 30, 1997 JUNE 30, 1997
----- ------------- -------------
<S> <C> <C>
ACMA LTD * *
AFFYMETRIX, INC 1,207,991 $ 41,977,687
CENTRAL LOUISIANA ELECTRIC, INC -- *
FMC CORP NEW 2,294,367 182,258,778
GENERAL SIGNAL CORP -- *
GENSET S.A 404,700 23,099,162
MALLINCKRODT, INC 4,046,750 153,776,500
PICCADILLY CAFETERIA * *
SOUTH CHINA HOLDINGS LTD 32,360,000 8,353,863
SOUTH CHINA INDUSTRIES LTD 52,046,000 6,382,044
TPI ENTERPRISES, INC 1,107,000 154,980
------------
TOTAL AFFILIATED TRANSACTIONS $416,003,014
============
</TABLE>
* Not an Affiliate as of June 30, 1997
** Not an Affiliate as of December 31, 1996
See notes to financial statements.
-51-
<PAGE>
[LOGO]
CREF | COLLEGE RETIREMENT EQUITIES TRUST
| 730 THIRD AVENUE
| NEW YORK, NY 10017-3206
| 212/490-9000
Printed on recycled paper
<PAGE>
SEMI-ANNUAL REPORT
================================================================================
COLLEGE RETIREMENT EQUITIES FUND
MONEY MARKET ACCOUNT GLOBAL EQUITIES ACCOUNT
BOND MARKET ACCOUNT GROWTH ACCOUNT
SOCIAL CHOICE ACCOUNT EQUITY INDEX ACCOUNT
INFLATION-LINKED BOND ACCOUNT
FINANCIAL STATEMENTS (UNAUDITED)
INCLUDING
STATEMENTS OF INVESTMENTS
JUNE 30, 1997
- --------------------------------------------------------------------------------
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, Equity Index Account
and Inflation-Linked Bond 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.
- --------------------------------------------------------------------------------
CREF [LOGO]
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
MONEY MARKET ACCOUNT GLOBAL EQUITIES ACCOUNT
BOND MARKET ACCOUNT GROWTH ACCOUNT
SOCIAL CHOICE ACCOUNT EQUITY INDEX ACCOUNT
INFLATION-LINKED BOND ACCOUNT
INDEX TO UNAUDITED FINANCIAL STATEMENTS
JUNE 30, 1997
- --------------------------------------------------------------------------------
PAGE
----
Statements of Assets and Liabilities............................. 2
Statements of Operations......................................... 4
Statements of Changes in Net Assets.............................. 6
Notes to Financial Statements.................................... 8
Statements of Investments:
Money Market Account........................................... 17
Bond Market Account............................................ 20
Social Choice Account.......................................... 24
Global Equities Account........................................ 31
Growth Account................................................. 47
Equity Index Account........................................... 60
Inflation-Linked Bond Account.................................. 78
-1-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENTS OF ASSETS AND LIABILITIES (UNAUDITED)
JUNE 30, 1997
<TABLE>
<CAPTION>
MONEY MARKET BOND MARKET
ACCOUNT ACCOUNT
--------------- ---------------
ASSETS
<S> <C> <C>
Portfolio investments, at cost..................................... $4,001,503,185 $1,164,021,964
Net unrealized appreciation (depreciation) of portfolio investments (570,376) 1,008,849
-------------- --------------
Portfolio investments, at value.................................... 4,000,932,809 1,165,030,813
Cash............................................................... 4,634 11,185
Dividends and interest receivable.................................. 14,383,756 11,938,757
Receivable from securities transactions............................ 26,232,634
Amounts due from TIAA.............................................. 3,048,786 1,256,401
-------------- --------------
TOTAL ASSETS 4,018,369,985 1,204,469,790
------------- -------------
LIABILITIES
Deposits for securities loaned--Note 4.............................
Payable for securities transactions................................ 190,148 96,788,677
-------------- --------------
TOTAL LIABILITIES 190,148 96,788,677
-------------- ---------------
NET ASSETS
Accumulation Fund.................................................. 3,883,824,578 1,098,465,629
Annuity Fund....................................................... 134,355,259 9,215,484
--------------- ---------------
TOTAL NET ASSETS $ 4,018,179,837 $ 1,107,681,113
=============== ===============
NUMBER OF ACCUMULATION UNITS OUTSTANDING--Notes 5 and 6.............. 229,343,918 24,217,362
============ ==========
NET ASSET VALUE, PER ACCUMULATION UNIT--Note 5....................... $16.93 $45.36
====== ======
</TABLE>
See notes to financial statements.
-2-
<PAGE>
<TABLE>
<CAPTION>
SOCIAL CHOICE GLOBAL EQUITIES
ACCOUNT ACCOUNT
--------------- ---------------
ASSETS
<S> <C> <C>
Portfolio investments, at cost..................................... $1,409,660,374 $4,548,579,840
Net unrealized appreciation (depreciation) of portfolio investments 538,170,541 858,289,076
-------------- --------------
Portfolio investments, at value.................................... 1,947,830,915 5,406,868,916
Cash............................................................... 264,668 31,045,250
Dividends and interest receivable.................................. 11,068,360 11,806,471
Receivable from securities transactions............................ 5,492,243 65,041,407
Amounts due from TIAA.............................................. 2,492,226 5,170,031
-------------- --------------
TOTAL ASSETS 1,967,148,412 5,519,932,075
-------------- --------------
LIABILITIES
Deposits for securities loaned--Note 4............................. 357,382,633
Payable for securities transactions................................ 32,798,349 65,053,879
-------------- --------------
TOTAL LIABILITIES 32,798,349 422,436,512
-------------- --------------
NET ASSETS
Accumulation Fund.................................................. 1,858,824,045 4,924,713,428
Annuity Fund....................................................... 75,526,018 172,782,135
--------------- ---------------
TOTAL NET ASSETS $1,934,350,063 $5,097,495,563
=============== ===============
NUMBER OF ACCUMULATION UNITS OUTSTANDING--Notes 5 and 6.............. 27,975,126 84,389,421
=========== ===========
NET ASSET VALUE, PER ACCUMULATION UNIT--Note 5....................... $66.45 $58.36
====== ======
</TABLE>
<TABLE>
<CAPTION>
GROWTH EQUITY INDEX INFLATION-LINKED
ACCOUNT ACCOUNT BOND ACCOUNT
-------------- --------------- --------------
ASSETS
<S> <C> <C> <C>
Portfolio investments, at cost..................................... $2,880,426,061 $1,085,264,241 $72,102,674
Net unrealized appreciation (depreciation) of portfolio investments 784,761,147 319,815,607 (158,329)
-------------- -------------- -----------
Portfolio investments, at value.................................... 3,665,187,208 1,405,079,848 71,944,345
Cash............................................................... 8,656,052 447,918 54,629
Dividends and interest receivable.................................. 3,103,267 1,630,686 1,101,381
Receivable from securities transactions............................ 25,104,780
Amounts due from TIAA.............................................. 5,236,399 2,080,799 15,015
-------------- -------------- -----------
TOTAL ASSETS 3,707,287,706 1,409,239,251 73,115,370
LIABILITIES
Deposits for securities loaned--Note 4.............................
Payable for securities transactions................................ 46,292,036 7,053,822
--------------- -------------- ------------
TOTAL LIABILITIES 46,292,036 7,053,822
--------------- -------------- ------------
NET ASSETS
Accumulation Fund.................................................. 3,563,312,123 1,357,760,625 73,065,027
Annuity Fund....................................................... 97,683,547 44,424,804 50,343
--------------- -------------- -----------
TOTAL NET ASSETS $3,660,995,670 $1,402,185,429 $73,115,370
NUMBER OF ACCUMULATION UNITS OUTSTANDING--Notes 5 and 6............... 68,191,749 26,985,688 2,865,475
========== ========== =========
NET ASSET VALUE, PER ACCUMULATION UNIT--Note 5........................ $52.25 $50.31 $25.50
======= ====== ======
</TABLE>
-3-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENTS OF OPERATIONS (UNAUDITED)
<TABLE>
<CAPTION>
MONEY MARKET BOND MARKET
ACCOUNT ACCOUNT
------------ ------------
SIX MONTHS ENDED JUNE 30, 1997
------------------------------------
<S> <C> <C>
INVESTMENT INCOME
Income:
Dividends ......................................................... $ 130,573
Interest .......................................................... $ 107,851,860 36,414,490
------------- -------------
TOTAL INCOME 107,851,860 36,545,063
------------- -------------
Expenses--Note 3:
Investment ........................................................ 719,415 360,424
Operating ......................................................... 4,372,193 1,165,028
------------- -------------
TOTAL EXPENSES 5,091,608 1,525,452
------------- -------------
INVESTMENT INCOME--NET 102,760,252 35,019,611
------------- -------------
REALIZED AND UNREALIZED GAIN (LOSS) ON TOTAL INVESTMENTS--Note 4
Net realized gain (loss) on:
Portfolio investments ........................................... (20,206) (2,496,510)
Futures transactions
Foreign currency transactions....................................
------------- -------------
Net realized gain (loss) (20,206) (2,496,510)
------------- -------------
Net change in unrealized appreciation (depreciation) on:
Portfolio investments ........................................... 701,196 (152,493)
Futures transactions
Translation of assets (other than portfolio investments)
and liabilities in foreign currencies..........................
------------- -------------
Net change in unrealized appreciation (depreciation) .............. 701,196 (152,493)
------------- -------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON TOTAL INVESTMENTS ...... 680,990 (2,649,003)
------------- -------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS .............. $ 103,441,242 $ 32,370,608
============= =============
</TABLE>
-4-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENTS OF OPERATIONS (UNAUDITED)
<TABLE>
<CAPTION>
SOCIAL CHOICE GLOBAL EQUITIES GROWTH
ACCOUNT ACCOUNT ACCOUNT
------------- ------------- -------------
SIX MONTHS ENDED JUNE 30, 1997
-------------------------------------------------
<S> <C> <C> <C>
INVESTMENT INCOME
Income:
Dividends ......................................................... $ 9,114,858 $ 39,576,909 $ 15,338,564
Interest .......................................................... 22,999,119 5,142,397 3,901,451
------------- ------------- -------------
TOTAL INCOME 32,113,977 44,719,306 19,240,015
------------- ------------- -------------
Expenses--Note 3:
Investment ........................................................ 774,143 3,314,699 1,912,572
Operating ......................................................... 1,912,337 4,983,702 3,346,828
------------- ------------- -------------
TOTAL EXPENSES 2,686,480 8,298,401 5,259,400
------------- ------------- -------------
INVESTMENT INCOME--NET 29,427,497 36,420,905 13,980,615
------------- ------------- -------------
REALIZED AND UNREALIZED GAIN (LOSS) ON TOTAL INVESTMENTS--Note 4
Net realized gain (loss) on:
Portfolio investments ........................................... 3,098,965 308,090,023 118,146,775
Futures transactions ............................................ 1,084,111 4,481,563
Foreign currency transactions ................................... (1,407,155) 18,810
------------- ------------- -------------
Net realized gain (loss) 3,098,965 307,766,979 122,647,148
------------- ------------- -------------
Net change in unrealized appreciation (depreciation) on:
Portfolio investments ........................................... 187,953,539 317,072,384 368,810,613
Futures transactions ............................................ (618,000)
Translation of assets (other than portfolio investments)
and liabilities in foreign currencies ......................... (750,302) 2,660
------------- ------------- -------------
Net change in unrealized appreciation (depreciation) 187,953,539 316,322,082 368,195,273
------------- ------------- -------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON TOTAL INVESTMENTS 191,052,504 624,089,061 490,842,421
------------- ------------- -------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 220,480,001 $ 660,509,966 $ 504,823,036
============= ============= =============
</TABLE>
<TABLE>
<CAPTION>
EQUITY INDEX INFLATION-LINKED
ACCOUNT BOND ACCOUNT
-------------- -----------------
SIX MONTHS JANUARY 13, 1997
ENDED (DATE ESTABLISHED)
JUNE 30, 1997 TO JUNE 30, 1997
-------------- -----------------
<S> <C> <C>
INVESTMENT INCOME
Income:
Dividends ......................................................... $ 10,138,471
Interest .......................................................... 362,157 $ 1,155,749
------------- -------------
TOTAL INCOME 10,500,628 1,155,749
------------- -------------
Expenses--Note 3:
Investment ........................................................ 501,194 21,323
Operating ......................................................... 1,257,693 23,222
------------- -------------
TOTAL EXPENSES 1,758,887 44,545
------------- -------------
INVESTMENT INCOME--NET 8,741,741 1,111,204
------------- -------------
REALIZED AND UNREALIZED GAIN (LOSS) ON TOTAL INVESTMENTS--Note 4
Net realized gain (loss) on:
Portfolio investments ........................................... 11,027,194 (16,920)
Futures transactions ............................................ 188,903
Foreign currency transactions....................................
------------- -------------
Net realized gain (loss) 11,216,097 (16,920)
------------- -------------
Net change in unrealized appreciation (depreciation) on:
Portfolio investments ........................................... 168,294,798 (158,329)
Futures transactions ............................................ (36,498)
Translation of assets (other than portfolio investments)
and liabilities in foreign currencies..........................
------------- -------------
Net change in unrealized appreciation (depreciation) 168,258,300 (158,329)
------------- -------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON TOTAL INVESTMENTS 179,474,397 (175,249)
------------- -------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 188,216,138 $ 935,955
============= =============
</TABLE>
-5-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
MONEY MARKET ACCOUNT BOND MARKET ACCOUNT
------------------------------- ----------------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31,
1997 1996 1997 1996
------------------------------- -----------------------------------
(UNAUDITED) (UNAUDITED)
FROM OPERATIONS
<S> <C> <C> <C> <C>
Investment income--net ..... $ 102,760,252 $ 170,635,153 $ 35,019,611 $ 61,572,915
Net realized gain (loss) on
total investments ........ (20,206) 3,598 (2,496,510) (3,512,730)
Net change in unrealized
appreciation
(depreciation) on total
investments .............. 701,196 (876,263) (152,493) (28,782,350)
--------------- --------------- --------------- ---------------
NET INCREASE
IN NET ASSETS
RESULTING FROM
OPERATIONS 103,441,242 169,762,488 32,370,608 29,277,835
--------------- --------------- --------------- ---------------
FROM PARTICIPANT
TRANSACTIONS
Premiums ................... 158,159,832 318,965,231 65,950,532 132,033,697
--------------- --------------- --------------- ---------------
Disbursements and transfers:
Net transfers to (from)
TIAA ................... 84,510,165 95,923,855 4,744,769 (1,718,077)
Net transfers to (from)
other CREF Accounts .... (236,080,547) (392,761,156) (29,188,771) (30,526,334)
Annuity payments ......... 7,372,684 17,724,643 603,873 2,012,288
Withdrawals and
repurchases ............ 114,142,169 179,855,420 13,796,331 23,479,960
Death benefits ........... 3,190,096 5,126,067 917,237 1,215,107
--------------- --------------- --------------- ---------------
TOTAL DISBURSEMENTS
AND TRANSFERS, NET ....... (26,865,433) (94,131,171) (9,126,561) (5,537,056)
--------------- --------------- --------------- ---------------
NET INCREASE
IN NET ASSETS
RESULTING FROM
PARTICIPANT
TRANSACTIONS 185,025,265 413,096,402 75,077,093 137,570,753
--------------- --------------- --------------- ---------------
NET INCREASE
IN NET ASSETS 288,466,507 582,858,890 107,447,701 166,848,588
NET ASSETS
Beginning of period ........ 3,729,713,330 3,146,854,440 1,000,233,412 833,384,824
--------------- --------------- --------------- ---------------
End of period .............. $ 4,018,179,837 $ 3,729,713,330 $ 1,107,681,113 $ 1,000,233,412
=============== =============== =============== ===============
</TABLE>
SOCIAL CHOICE ACCOUNT
----------------------------------
SIX MONTHS YEAR
ENDED ENDED
JUNE 30, DECEMBER 31,
1997 1996
-----------------------------------
(UNAUDITED)
FROM OPERATIONS
Investment income--net ..... $ 29,427,497 $ 48,432,690
Net realized gain (loss) on
total investments ........ 3,098,965 11,910,403
Net change in unrealized
appreciation
(depreciation) on total
investments .............. 187,953,539 140,408,956
--------------- ---------------
NET INCREASE
IN NET ASSETS
RESULTING FROM
OPERATIONS 220,480,001 200,752,049
--------------- ---------------
FROM PARTICIPANT
TRANSACTIONS
Premiums ................... 127,809,674 228,713,491
--------------- ---------------
Disbursements and transfers:
Net transfers to (from)
TIAA ................... (838,421) (5,237,657)
Net transfers to (from)
other CREF Accounts .... (26,477,068) (5,021,174)
Annuity payments ......... 2,532,901 4,694,000
Withdrawals and
repurchases ............ 13,983,960 22,310,524
Death benefits ........... 478,085 1,298,901
--------------- ---------------
TOTAL DISBURSEMENTS
AND TRANSFERS, NET ....... (10,320,543) 18,044,594
--------------- ---------------
NET INCREASE
IN NET ASSETS
RESULTING FROM
PARTICIPANT
TRANSACTIONS 138,130,217 210,668,897
--------------- ---------------
NET INCREASE
IN NET ASSETS 358,610,218 411,420,946
NET ASSETS
Beginning of period ........ 1,575,739,845 1,164,318,899
--------------- ---------------
End of period .............. $ 1,934,350,063 $ 1,575,739,845
=============== ===============
See notes to financial statements.
-6-
<PAGE>
<TABLE>
<CAPTION>
GLOBAL EQUITIES ACCOUNT GROWTH ACCOUNT
----------------------------------- ------------------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31,
1997 1996 1997 1996
----------------------------------- ------------------------------------
(UNAUDITED) (UNAUDITED)
FROM OPERATIONS
<S> <C> <C> <C> <C>
Investment income--net ..... $ 36,420,905 $ 46,685,666 $ 13,980,615 $ 18,664,159
Net realized gain (loss) on
total investments ........ 307,766,979 357,715,738 122,647,148 111,570,297
Net change in unrealized
appreciation
(depreciation) on total
investments .............. 316,322,082 207,389,762 368,195,273 261,921,473
--------------- --------------- --------------- ---------------
NET INCREASE
IN NET ASSETS
RESULTING FROM
OPERATIONS 660,509,966 611,791,166 504,823,036 392,155,929
--------------- --------------- --------------- ---------------
FROM PARTICIPANT
TRANSACTIONS
Premiums ................... 244,584,379 452,200,153 252,598,373 339,775,324
--------------- --------------- --------------- ---------------
Disbursements and transfers:
Net transfers to (from)
TIAA ................... (11,640,967) (22,446,528) (50,372,081) (48,595,717)
Net transfers to (from)
other CREF Accounts .... (33,935,665) (81,428,574) (460,854,428) (523,988,719)
Annuity payments ......... 5,352,713 11,896,195 3,305,758 4,727,193
Withdrawals and
repurchases ............ 37,525,297 57,494,834 24,060,957 34,266,315
Death benefits ........... 3,474,322 4,093,573 1,180,679 1,056,662
--------------- --------------- --------------- ---------------
TOTAL DISBURSEMENTS
AND TRANSFERS, NET ....... 775,700 (30,390,500) (482,679,115) (532,534,266)
--------------- --------------- --------------- ---------------
NET INCREASE
IN NET ASSETS
RESULTING FROM
PARTICIPANT
TRANSACTIONS 243,808,679 482,590,653 735,277,488 872,309,590
--------------- --------------- --------------- ---------------
NET INCREASE
IN NET ASSETS 904,318,645 1,094,381,819 1,240,100,524 1,264,465,519
NET ASSETS
Beginning of period ........ 4,193,176,918 3,098,795,099 2,420,895,146 1,156,429,627
--------------- --------------- --------------- ---------------
End of period .............. $ 5,097,495,563 $ 4,193,176,918 $ 3,660,995,670 $ 2,420,895,146
=============== =============== =============== ===============
</TABLE>
<TABLE>
<CAPTION>
INFLATION-LINKED
EQUITY INDEX ACCOUNT BOND ACCOUNT
----------------------------------- ---------------
SIX MONTHS YEAR JANUARY 13, 1997
ENDED ENDED (DATE ESTABLISHED)
JUNE 30, DECEMBER 31, TO
1997 1996 JUNE 30, 1997
----------------------------------- ---------------
(UNAUDITED) (UNAUDITED)
FROM OPERATIONS
<S> <C> <C> <C>
Investment income--net ..... $ 8,741,741 $ 12,449,866 $ 1,111,204
Net realized gain (loss) on
total investments ........ 11,216,097 10,324,266 (16,920)
Net change in unrealized
appreciation
(depreciation) on total
investments .............. 168,258,300 108,747,047 (158,329)
--------------- --------------- ---------------
NET INCREASE
IN NET ASSETS
RESULTING FROM
OPERATIONS 188,216,138 131,521,179 935,955
--------------- --------------- ---------------
FROM PARTICIPANT
TRANSACTIONS
Premiums ................... 101,139,860 139,323,573 50,185,104
--------------- --------------- ---------------
Disbursements and transfers:
Net transfers to (from)
TIAA ................... (22,643,093) (30,322,707) (371,487)
Net transfers to (from)
other CREF Accounts .... (180,643,434) (243,573,489) (21,623,745)
Annuity payments ......... 1,591,294 2,224,641 269
Withdrawals and
repurchases ............ 10,196,544 11,191,497 652
Death benefits ........... 594,343 277,271
--------------- --------------- ---------------
TOTAL DISBURSEMENTS
AND TRANSFERS, NET ....... (190,904,346) (260,202,787) (21,994,311)
--------------- --------------- ---------------
NET INCREASE
IN NET ASSETS
RESULTING FROM
PARTICIPANT
TRANSACTIONS 292,044,206 399,526,360 72,179,415
--------------- --------------- ---------------
NET INCREASE
IN NET ASSETS 480,260,344 531,047,539 73,115,370
NET ASSETS
Beginning of period ........ 921,925,085 390,877,546
--------------- --------------- ---------------
End of period .............. $ 1,402,185,429 $ 921,925,085 $ 73,115,370
=============== =============== ===============
</TABLE>
See notes to financial statements.
-7-
<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 eight investment portfolios ("Accounts"). 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; the Equity Index Account, which invests in a
diversified portfolio of equity securities selected to track the overall United
States stock market and the Inflation-Linked Bond Account, which invests
primarily in inflation-indexed bonds. The eighth investment portfolio of CREF,
the Stock Account, which invests primarily in equity securities, is not included
in these financial statements.
The Inflation-Linked Bond Account was established on January 13, 1997 with a
$50,000,000 investment by Teachers Insurance and Annuity Association of America
("TIAA"), a companion organization, which purchased 2,000,000 Accumulation Units
at the established $25.00 initial Accumulation Unit Value. On May 1, 1997, the
Inflation-Linked Bond Account was registered with the Commission under the
Securities Act of 1933 and the Investment Company Act of 1940 as an additional
series of CREF. On May 1, 1997, CREF began to offer Accumulation Units of the
Inflation-Linked Bond Account 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 Account. At June 30, 1997, TIAA's investment in the
Inflation-Linked Bond Account remained at 2,000,000 Accumulation Units, with a
total value of $50,996,800.
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 preparation of financial statements may require management to make estimates
and assumptions that affect the reported amounts of assets, liabilities, income,
expenses and related disclosures. Actual results may differ from those
estimates. 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.
-8-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
NOTES TO FINANCIAL STATEMENTS (Unaudited) -- (CONTINUED)
NOTE 2--SIGNIFICANT ACCOUNTING POLICIE -- (CONTINUED)
ACCOUNTING FOR INVESTMENTS: Securities transactions are accounted for as of the
date the securities are purchased or sold (trade date). Interest income is
recorded as earned and, for short-term money market instruments, includes
accrual of discount and amortization of premium. Dividend income is recorded on
the ex-dividend date or, for certain foreign securities, as soon as the Accounts
are informed of the ex-dividend date. Realized gains and losses on security
transactions are accounted for on the average cost basis.
FOREIGN CURRENCY TRANSACTIONS AND TRANSLATION: Foreign investments, bank
deposits and forward 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 the Accounts
intend to purchase at a later date, or for cash management purposes to remain
highly invested in the equity markets while minimizing transaction costs. The
Accounts sell futures contracts for the purpose of offsetting changes in market
value while withdrawing from a specific market. 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.
-9-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) -- (CONTINUED)
NOTE 2--SIGNIFICANT ACCOUNTING POLICIES - (CONCLUDED)
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.
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.
RESTRICTED SECURITIES: Restricted securities held by the Accounts may not be
sold except in exempt transactions or in a public offering registered under the
Securities Act of 1933. The risk of investing in such securities is generally
greater than the risk of investing in securities which are widely held and
publicly traded.
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 income to the organization. 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.
As a result of recent legislation, CREF will no longer be exempt from federal
income tax under Section 501(a) of the Code, beginning January 1, 1998.
Management believes that CREF should incur no material federal income tax
liability as a result of this change. In that connection, management is
reviewing whether any changes in CREF's corporate structure may be necessary or
appropriate in order for CREF to minimize any federal income tax consequences.
If needed, management intends to implement any such changes, subject to
regulatory approval, prior to January 1, 1998.
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.
-10-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) -- (CONTINUED)
NOTE 4--INVESTMENTS
At June 30, 1997, the value of Global Equities Account securities loaned was
$392,915,741 and collateral received in connection therewith was comprised of
cash of $357,382,633, letters of credit of $55,795,000 and United States
government securities amounting to $5,530,600.
At June 30, 1997, 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......... $ 129,313 $ 5,496,680 $550,721,878
Gross unrealized depreciation of portfolio investments......... 699,689 4,487,831 12,551,337
------------ ------------ -----------
NET UNREALIZED APPRECIATION (DEPRECIATION) OF
PORTFOLIO INVESTMENTS........................................ $ (570,376) $ 1,008,849 $538,170,541
============ ============ ============
GLOBAL EQUITIES GROWTH
ACCOUNT ACCOUNT
----------- -----------
Gross unrealized appreciation of portfolio investments......... $924,893,618 $844,984,939
Gross unrealized depreciation of portfolio investments......... 66,604,542 60,223,792
------------ ------------
NET UNREALIZED APPRECIATION OF
PORTFOLIO INVESTMENTS........................................ $858,289,076 $784,761,147
============ ============
EQUITY INDEX INFLATION-LINKED
ACCOUNT BOND ACCOUNT
----------- -------------
Gross unrealized appreciation of portfolio investments......... $342,429,224 --
Gross unrealized depreciation of portfolio investments......... 22,613,617 $ 158,329
------------ ------------
NET UNREALIZED APPRECIATION OF
PORTFOLIO INVESTMENTS........................................ $319,815,607 $ (158,329)
============ ============
</TABLE>
At June 30, 1997 the Growth Account held 60 open futures contracts in the
Standard & Poor's 500 Index with a value of $26,707,500 and the Equity Index
Account held 6 open futures contracts in the Standard & Poor's 500 Index with a
value of $2,670,750.
-11-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) -- (CONTINUED)
NOTE 4--INVESTMENTS--(Concluded)
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, 1997, the total value of the Global Equities Account's investments in
affiliated companies was $358,041,540. For the six months ended June 30, 1997,
total dividend income and net realized loss relating to such investments of the
Global Equities Account were $4,251,045 and $7,485,864, 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 Bond Market Account, Social Choice Account, Global Equities
Account, Growth Account and Equity Index Account, for the six months ended June
30, 1997 and for the Inflation-Linked Bond Account for the period January 13,
1997 (date established) to June 30, 1997, were as follows:
<TABLE>
<CAPTION>
BOND MARKET SOCIAL CHOICE GLOBAL EQUITIES
ACCOUNT ACCOUNT ACCOUNT
----------- ----------- -----------
Purchases:
<S> <C> <C> <C>
Unaffiliated issuers.................................. $2,152,638,650 $ 771,687,657 $2,659,603,711
Affiliated issuers.................................... -- -- 64,063,474
-------------- ------------- --------------
TOTAL PURCHASES $2,152,638,650 $ 771,687,657 $2,723,667,185
============== ============= ==============
Sales:
Unaffiliated issuers.................................. $2,049,882,215 $ 614,776,590 $2,436,217,924
Affiliated issuers.................................... -- -- 23,616,524
-------------- ------------- --------------
TOTAL SALES $2,049,882,215 $ 614,776,590 $2,459,834,448
============== ============= ==============
GROWTH EQUITY INDEX INFLATION-LINKED
ACCOUNT ACCOUNT BOND ACCOUNT
----------- ----------- ------------
Purchases:
Unaffiliated issuers.................................. $1,132,900,466 $ 323,848,993 $ 75,179,890
Affiliated issuers.................................... -- -- --
-------------- ------------- --------------
TOTAL PURCHASES $1,132,900,466 $ 323,848,993 $ 75,179,890
============== ============= ==============
Sales:
Unaffiliated issuers.................................. $ 431,685,749 $ 31,997,633 $ 7,459,781
Affiliated issuers.................................... -- -- --
-------------- ------------- --------------
TOTAL SALES $ 431,685,749 $ 31,997,633 $ 7,459,781
============== ============= ==============
</TABLE>
-12-
<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 each
Account is presented below.
<TABLE>
<CAPTION>
MONEY MARKET ACCOUNT
---------------------------------------------------------------------
SIX MONTHS FOR THE YEARS ENDED DECEMBER 31,
ENDED --------------------------------------------------------
JUNE 30, 1997 1996 1995 1994 1993 1992
------------ ------- ------- ------- ------- -------
(UNAUDITED)
Per Accumulation Unit Data:
<S> <C> <C> <C> <C> <C> <C>
Investment income...................... $ .460 $ .880 $ .910 $ .631 $ .464 $ .539
Expenses.............................. .022 .049 .048 .041 .039 .036
------- ------- ------- ------- ------- -------
Investment income--net.................. .438 .831 .862 .590 .425 .503
Net realized and unrealized gain (loss)
on total investments................ .003 (.003) .009 (.012) (.002) (.009)
------- ------- ------- ------- ------- -------
Net increase in
Accumulation Unit Value ............. .441 .828 .871 .578 .423 .494
Accumulation Unit Value:
Beginning of year..................... 16.494 15.666 14.795 14.217 13.794 13.300
------- ------- ------- ------- ------- -------
End of period.......................... $16.935 $16.494 $15.666 $14.795 $14.217 $13.794
======= ======= ======= ======= ======= =======
Total return............................. 2.67% 5.28% 5.88% 4.07% 3.07% 3.71%
Ratios to Average Net Assets:
Expenses............................... 0.13% 0.30% 0.32% 0.28% 0.27% 0.26%
Investment income--net.................. 2.62% 5.16% 5.64% 4.03% 3.02% 3.70%
Portfolio turnover rate.................. n/a n/a n/a n/a n/a n/a
Thousands of Accumulation Units
outstanding at end of period.......... 229,344 218,292 193,181 183,135 174,073 184,768
</TABLE>
<TABLE>
<CAPTION>
BOND MARKET ACCOUNT
----------------------------------------------------------------------
SIX MONTHS FOR THE YEARS ENDED DECEMBER 31,
ENDED ---------------------------------------------------------
JUNE 30, 1997 1996 1995 1994 1993 1992
------------ ------- ------- ------- ------- -------
(UNAUDITED)
Per Accumulation Unit Data:
<S> <C> <C> <C> <C> <C> <C>
Investment income...................... $ 1.552 $ 3.039 $ 2.863 $ 2.502 $ 2.348 $ 2.287
Expenses............................... .065 .126 .123 .108 .103 .093
------- ------- ------- ------- ------- -------
Investment income--net.................. 1.487 2.913 2.740 2.394 2.245 2.194
Net realized and unrealized gain (loss)
on total investments................ (.130) (1.600) 3.722 (3.897) 1.606 .056
------- ------- ------- ------- ------- -------
Net increase (decrease) in
Accumulation Unit Value.............. 1.357 1.313 6.462 (1.503) 3.851 2.250
Accumulation Unit Value:
Beginning of year...................... 44.002 42.689 36.227 37.730 33.879 31.629
------- ------- ------- ------- ------- -------
End of period.......................... $45.359 $44.002 $42.689 $36.227 $37.730 $33.879
======= ======= ======= ======= ======= =======
Total return............................. 3.08% 3.08% 17.84% (3.98%) 11.37% 7.12%
Ratios to Average Net Assets:
Expenses............................... 0.15% 0.30% 0.31% 0.29% 0.28% 0.29%
Investment income--net................. 3.36% 6.86% 6.93% 6.54% 6.18% 6.78%
Portfolio turnover rate.................. 202.37% 145.27% 185.11% 161.46% 139.55% 217.89%
Thousands of Accumulation Units
outstanding at end of period.......... 24,217 22,611 19,522 14,939 14,698 13,583
</TABLE>
-13-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) -- (CONTINUED)
NOTE 5--CONDENSED FINANCIAL INFORMATION--(CONTINUED)
<TABLE>
<CAPTION>
SOCIAL CHOICE ACCOUNT
-------------------------------------------------------------------
SIX MONTHS FOR THE YEARS ENDED DECEMBER 31,
ENDED -----------------------------------------------------
JUNE 30, 1997 1996 1995 1994 1993 1992
------------ ------- ------- ------- ------- -------
(UNAUDITED)
Per Accumulation Unit Data:
<S> <C> <C> <C> <C> <C> <C>
Investment income...................... $ 1.140 $ 2.068 $ 1.832 $ 1.621 $ 1.452 $ 1.363
Expenses............................... .095 .158 .144 .125 .117 .105
------- ------- ------- ------- ------- -------
Investment income--net.................. 1.045 1.910 1.688 1.496 1.335 1.258
Net realized and unrealized gain (loss)
on total investments................ 6.811 5.968 9.863 (2.015) 2.082 2.367
------- ------- ------- ------- ------- -------
Net increase (decrease) in
Accumulation Unit Value.............. 7.856 7.878 11.551 (.519) 3.417 3.625
Accumulation Unit Value:
Beginning of year...................... 58.590 50.712 39.161 39.680 36.263 32.638
------- ------- ------- ------- ------- -------
End of period.......................... $66.446 $58.590 $50.712 $39.161 $39.680 $36.263
======= ======= ======= ======= ======= =======
Total return............................. 13.41% 15.53% 29.49% (1.31%) 9.42% 11.11%
Ratios to Average Net Assets:
Expenses............................... 0.16% 0.30% 0.32% 0.32% 0.31% 0.33%
Investment income--net................. 1.70% 3.58% 3.75% 3.80% 3.52% 3.88%
Portfolio turnover rate.................. 36.01% 40.93% 52.65% 49.06% 39.85% 77.48%
Thousands of Accumulation Units
outstanding at end of period.......... 27,975 25,841 22,196 18,302 16,790 9,224
</TABLE>
<TABLE>
<CAPTION>
GLOBAL EQUITIES ACCOUNT
-------------------------------------------------------------------------
APRIL 1, 1992
SIX MONTHS FOR THE YEARS ENDED DECEMBER 31, (DATE ESTABLISHED)
ENDED ------------------------------------------ TO DECEMBER 31,
JUNE 30, 1997 1996 1995 1994 1993 1992
------------ ------- ------- ------- ------- -------
(UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
Per Accumulation Unit Data:
Investment income...................... $ .518 $ .751 $ .727 $ .687 $ .487 $ .569
Expenses............................... .096 .167 .157 .134 .103 .121
------- ------- ------- ------- ------- -------
Investment income--net................. .422 .584 .570 .553 .384 .448
Net realized and unrealized gain (loss)
on total investments................ 7.255 7.138 6.618 (.719) 9.021 1.083
------- ------- ------- ------- ------- -------
Net increase (decrease) in
Accumulation Unit Value............. 7.677 7.722 7.188 (.166) 9.405 1.531
Accumulation Unit Value:
Beginning of period ................... 50.680 42.958 35.770 35.936 26.531 25.000
------- ------- ------- ------- ------- -------
End of period.......................... $58.357 $50.680 $42.958 $35.770 $35.936 $26.531
======= ======= ======= ======= ======= =======
Total return............................. 15.15% 17.98% 20.09% (0.46%) 35.45% 6.12%
Ratios to Average Net Assets:
Expenses............................... 0.19% 0.37% 0.40% 0.41% 0.45% 0.40%
Investment income--net................. 0.81% 1.28% 1.47% 1.71% 1.67% 1.47%
Portfolio turnover rate.................. 56.68% 88.84% 67.50% 51.63% 16.75% 12.50%
Thousands of Accumulation Units
outstanding at end of period.......... 84,389 80,016 70,163 70,700 36,796 8,277
</TABLE>
-14-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) -- (CONTINUED)
NOTE 5--CONDENSED FINANCIAL INFORMATION--(CONCLUDED)
<TABLE>
<CAPTION>
GROWTH ACCOUNT
---------------------------------------------------------
FOR THE YEARS APRIL 4, 1994
SIX MONTHS ENDED (DATE ESTABLISHED)
ENDED DECEMBER 31, TO DECEMBER 31,
-----------------------
JUNE 30, 1997 1996 1995 1994
------------- --------- --------- ---------
(UNAUDITED)
Per Accumulation Unit Data:
<S> <C> <C> <C> <C>
Investment income............................ $ .274 $ .484 $ .417 $ .398
Expenses..................................... .075 .119 .114 .084
------- ------- ------- -------
Investment income--net........................ .199 .365 .303 .314
Net realized and unrealized gain
on total investments...................... 7.742 8.638 8.891 .802
------- ------- ------- -------
Net increase in
Accumulation Unit Value................... 7.941 9.003 9.194 1.116
Accumulation Unit Value:
Beginning of period ......................... 44.313 35.310 26.116 25.000
------- ------- ------- -------
End of period................................ $52.254 $44.313 $35.310 $26.116
======= ======= ======= =======
Total return................................... 17.92% 25.50% 35.20% 4.46%
Ratios to Average Net Assets:
Expenses..................................... 0.17% 0.35% 0.43% 0.33%
Investment income--net....................... 0.46% 1.07% 1.13% 1.21%
Portfolio turnover rate........................ 14.96% 38.51% 24.42% 12.29%
Thousands of Accumulation Units
outstanding at end of period................ 68,192 53,201 32,375 10,446
</TABLE>
<TABLE>
<CAPTION>
INFLATION-LINKED
EQUITY INDEX ACCOUNT BOND ACCOUNT
------------------------------------------------------ -----------
APRIL 4, 1994 JANUARY 13,
FOR THE YEARS (DATE 1997 (DATE
SIX MONTHS ENDED ESTABLISHED) TO ESTABLISHED)
ENDED DECEMBER 31, DECEMBER 31, TO JUNE 30,
----------------------
JUNE 30, 1997 1996 1995 1994 1997
------------- ------- ------- ---------- ---------
(UNAUDITED) (UNAUDITED)
Per Accumulation Unit Data:
<S> <C> <C> <C> <C> <C>
Investment income...................... $ .397 $ .773 $ .755 $ .552 $ .553
Expenses............................... .067 .106 .100 .072 .021
------- ------- ------- ------- -------
Investment income-net.................. .330 .667 .655 .480 .532
Net realized and unrealized gain (loss)
on total investments................ 7.150 6.936 8.703 .393 (.034)
------- ------- ------- ------- -------
Net increase in Accumulation
Unit Value........................... 7.480 7.603 9.358 .873 .498
Accumulation Unit Value:
Beginning of period ................... 42.834 35.231 25.873 25.000 25.000
------- ------- ------- ------- -------
End of period.......................... $50.314 $42.834 $35.231 $25.873 $25.498
======= ======= ======= ======= =======
Total return............................. 17.46% 21.58% 36.17% 3.49% 1.99%
Ratios to Average Net Assets:
Expenses............................... 0.15% 0.30% 0.34% 0.27% 0.08%
Investment income--net................. 0.77% 1.87% 2.22% 1.83% 2.06%
Portfolio turnover rate.................. 2.82% 7.85% 8.31% 1.33% 27.00%
Thousands of Accumulation Units
outstanding at end of period........... 26,986 20,725 10,911 2,716 2,865
</TABLE>
-15-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)--(CONCLUDED)
NOTE 6--ACCUMULATION UNITS
Changes in the number of Accumulation Units outstanding were as follows:
<TABLE>
<CAPTION>
MONEY MARKET ACCOUNT BOND MARKET ACCOUNT SOCIAL CHOICE ACCOUNT
--------------------------- --------------------------- ---------------------------
SIX MONTHS YEAR ENDED SIX MONTHS YEAR ENDED SIX MONTHS YEAR ENDED
ENDED DECEMBER 31, ENDED DECEMBER 31, ENDED DECEMBER 31,
JUNE 30, 1997 1996 JUNE 30, 1997 1996 JUNE 30, 1997 1996
----------- ----------- ----------- ----------- ----------- -----------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
Accumulation Units:
<S> <C> <C> <C> <C> <C> <C>
Credited for premiums....... 9,464,917 19,834,908 1,487,165 3,106,394 2,061,114 4,247,359
Credited (cancelled) for
transfers, disbursements and
amounts applied to the
Annuity Fund.............. 1,587,365 5,275,300 119,063 (17,727) 72,676 (601,590)
Outstanding:
Beginning of year......... 218,291,636 193,181,428 22,611,134 19,522,467 25,841,336 22,195,567
----------- ----------- ---------- ---------- ---------- ---------
End of period............. 229,343,918 218,291,636 24,217,362 22,611,134 27,975,126 25,841,336
=========== =========== ========== ========== ========== ==========
</TABLE>
<TABLE>
<CAPTION>
GLOBAL EQUITIES ACCOUNT GROWTH ACCOUNT EQUITY INDEX ACCOUNT
--------------------------- --------------------------- ---------------------------
SIX MONTHS YEAR ENDED SIX MONTHS YEAR ENDED SIX MONTHS YEAR ENDED
ENDED DECEMBER 31, ENDED DECEMBER 31, ENDED DECEMBER 31,
JUNE 30, 1997 1996 JUNE 30, 1997 1996 JUNE 30, 1997 1996
----------- ----------- ----------- ----------- ----------- -----------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
Accumulation Units:
<S> <C> <C> <C> <C> <C> <C>
Credited for premiums....... 4,642,548 9,768,800 5,300,442 8,540,579 2,205,214 3,588,285
Credited (cancelled) for
transfers, disbursements and
amounts applied to the
Annuity Fund.............. (269,040) 84,205 9,690,754 12,284,736 4,055,763 6,225,770
Outstanding:
Beginning of year......... 80,015,913 70,162,908 53,200,553 32,375,238 20,724,711 10,910,656
---------- ---------- ---------- ---------- ---------- ----------
End of period............. 84,389,421 80,015,913 68,191,749 53,200,553 26,985,688 20,724,711
========== ========== ========== ========== ========== ==========
</TABLE>
INFLATION-LINKED
BOND ACCOUNT
---------------
JANUARY 13, 1997
(DATE ESTABLISHED)
TO JUNE 30, 1997
-----------
(UNAUDITED)
Accumulation Units:
Credited for premiums....... 2,007,235
Credited for transfers,
disbursements and
amounts applied to the
Annuity Fund.............. 858,240
Outstanding:
Beginning of period....... --
---------
End of period............. 2,865,475
=========
-16-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENT OF INVESTMENTS--MONEY MARKET ACCOUNT (UNAUDITED)
JUNE 30, 1997
SUMMARY BY INDUSTRY
VALUE %
----------- -----
SHORT TERM INVESTMENTS
BANK NOTES ........................ $ 90,961,580 2.26%
BANKERS ACCEPTANCES ............... 122,185,723 3.04
CERTIFICATES OF DEPOSIT ........... 418,736,194 10.42
COMMERCIAL PAPER .................. 2,608,416,001 64.92
MEDIUM TERM BONDS ................. 60,021,325 1.50
U.S. GOVERNMENT & AGENCIES ........ 13,795,693 0.34
VARIABLE RATE NOTES ............... 686,816,222 17.09
------------- ------
TOTAL SHORT TERM INVESTMENTS
(COST $4,001,503,185) .............. 4,000,932,738 99.57
------------- ------
ROUNDING 71 0.00
------------- ------
TOTAL PORTFOLIO
(COST $4,001,503,185) .............. 4,000,932,809 99.57
------------- ------
OTHER ASSETS & LIABILITIES, NET .. 17,247,028 0.43
------------- ------
NET ASSETS .......................... $4,018,179,837 100.00%
============= ======
=========================================
PRINCIPAL VALUE
--------- -----
SHORT TERM INVESTMENTS--99.57%
BANK NOTES--2.26%
BANK OF AMERICA
$16,000,000 5.500%, 08/04/97 ........... $ 15,994,889
FCC NATIONAL BANK
25,000,000 5.900%, 10/17/97 ........... 25,009,055
25,000,000 5.880%, 11/05/97 ........... 25,006,742
15,000,000 5.830%, 12/08/97 ........... 15,002,335
FIRST UNION CORP
9,900,000 6.750%, 01/15/98 ........... 9,948,559
-------------
90,961,580
-------------
BANKERS ACCEPTANCES--3.04%
BANK OF BOSTON
5,000,000 5.280%, 07/22/97 ........... 4,983,483
5,000,000 5.640%, 08/29/97 ........... 4,953,537
BANK OF MONTREAL
9,300,000 5.610%, 10/09/97 ........... 9,151,538
CANADIAN IMPERIAL BANK OF COMMERCE
12,000,000 5.570%, 08/27/97 ........... 11,890,442
KEY BANK OF WASHINGTON
6,000,000 5.650%, 08/11/97 ........... 5,961,234
KEYCORP/SOCIETY
4,000,000 5.600%, 07/15/97 ........... 3,991,111
NATIONAL BANK OF DETROIT
8,000,000 5.540%, 07/02/97 ........... 7,998,805
NATIONS BANK OF TEXAS
5,000,000 5.370%, 07/14/97 ........... 4,989,683
10,000,000 5.720%, 11/03/97 ........... 9,803,300
NATIONSBANK, NA
8,894,338 5.560%, 07/01/97 ........... 8,894,338
30,000,000 5.520%, 07/21/97 ........... 29,908,000
10,000,000 5.600%, 08/12/97 ........... 9,933,933
10,000,000 5.580%, 12/22/97 ........... 9,726,319
-------------
122,185,723
-------------
CERTIFICATES OF DEPOSIT--10.42%
BANKERS TRUST NEW YORK CORP
25,000,000 5.640%, 12/05/97 ........... 24,966,160
CANADIAN IMPERIAL BANK OF COMMERCE
20,566,000 5.650%, 07/15/97 ........... 20,565,656
26,586,000 5.625%, 09/19/97 ........... 26,583,410
10,000,000 5.970%, 03/19/98 ........... 9,997,852
DEUTSCHE BANK
21,000,000 5.550%, 07/10/97 ........... 20,998,741
15,000,000 5.690%, 10/28/97 ........... 14,988,679
HUNTINGTON NATIONAL BANK
50,000,000 5.750%, 08/20/97 ........... 50,006,800
MORGAN GUARANTY TRUST CO
7,000,000 5.910%, 09/18/97 ........... 6,999,611
NATIONAL WESTMINSTER BANK, U.S.A.
20,000,000 5.590%, 09/08/97 ........... 19,993,812
RABOBANK
25,000,000 5.500%, 12/05/97 ........... 24,951,580
REGIONS BANK (ALABAMA)
5,000,000 5.690%, 08/12/97 ........... 5,000,259
20,000,000 6.000%, 06/25/98 ........... 19,990,000
ROYAL BANK OF CANADA
25,000,000 5.770%, 01/27/98 ........... 24,966,760
SOCIETE GENERALE
15,000,000 5.580%, 09/03/97 ........... 14,995,329
16,000,000 6.130%, 09/12/97 ........... 16,006,504
10,000,000 5.850%, 03/03/98 ........... 9,989,222
SWISS BANK CORP
25,000,000 5.490%, 07/09/97 ........... 24,998,651
10,000,000 5.930%, 12/19/97 ........... 10,003,109
WESTDEUTSCHE LANDESBANK
29,000,000 5.530%, 07/28/97 ........... 28,994,663
43,740,000 5.660%, 09/11/97 ........... 43,739,396
-------------
418,736,194
-------------
COMMERCIAL PAPER--64.92%
ABBOTT LABORATORIES
43,000,000 5.500%, 07/15/97 ........... 42,908,027
AIR PRODUCTS & CHEMICALS, INC
20,000,000 5.450%, 10/06/97 ........... 19,694,022
AMERICAN EXPRESS CREDIT CORP
20,200,000 5.520%, 07/07/97 ........... 20,181,415
AMERICAN HOME PRODUCTS CORP
20,000,000 # 5.640%, 07/21/97 ........... 19,935,385
10,000,000 # 5.640%, 07/24/97 ........... 9,962,969
AMRO NORTH AMERICA FINANCE, INC
23,800,000 5.650%, 11/03/97 ........... 23,330,188
ASSET SECURITIZATION COOPERATIVE CORP
7,000,000 # 5.650%, 07/17/97 ........... 6,981,968
10,000,000 # 5.640%, 07/23/97 ........... 9,964,896
16,361,000 # 5.400%, 07/25/97 ........... 16,298,255
15,000,000 # 5.570%, 08/01/97 ........... 14,928,054
28,000,000 # 5.680%, 08/22/97 ........... 27,768,145
9,000,000 # 5.600%, 08/28/97 ........... 8,917,142
40,000,000 # 5.640%, 08/28/97 ........... 39,631,828
ASSOCIATES CORP OF NORTH AMERICA
25,000,000 5.600%, 07/18/97 ........... 24,933,888
25,000,000 5.550%, 07/22/97 ........... 24,919,062
30,000,000 5.570%, 08/14/97 ........... 29,791,605
20,000,000 5.550%, 08/25/97 ........... 19,824,793
See notes to financial statements.
-17-
<PAGE>
MONEY MARKET ACCOUNT (CONTINUED)
PRINCIPAL VALUE
--------- -----
COMMERCIAL PAPER - (CONTINUED)
B.B.V. FINANCE (DELAWARE), INC
$10,000,000 5.400%, 07/15/97 ........... $ 9,977,543
20,000,000 5.500%, 10/10/97 ........... 19,681,534
BETA FINANCE, INC
9,000,000 # 5.620%, 07/03/97 ........... 8,997,132
25,000,000 5.600%, 07/11/97 ........... 24,960,098
6,000,000 # 5.650%, 07/14/97 ........... 5,987,532
CATERPILLAR FINANCIAL SERVICES CORP
20,000,000 5.580%, 08/11/97 ........... 19,870,550
22,396,000 5.700%, 09/16/97 ........... 22,124,262
15,000,000 # 5.610%, 10/06/97 ........... 14,770,516
18,900,000 5.700%, 11/12/97 ........... 18,500,265
10,450,000 # 5.650%, 12/04/97 ........... 10,192,964
25,000,000 5.640%, 12/12/97 ........... 24,353,750
CHRYSLER FINANCIAL CORP
14,000,000 5.630%, 07/02/97 ........... 13,997,770
40,000,000 5.590%, 07/16/97 ........... 39,903,416
CIESCO LP
8,675,000 # 5.550%, 07/01/97 ........... 8,675,000
9,744,000 # 5.600%, 07/02/97 ........... 9,742,447
34,415,000 5.520%, 07/18/97 ........... 34,325,291
15,000,000 5.560%, 08/01/97 ........... 14,925,630
26,000,000 5.520%, 08/04/97 ........... 25,864,453
20,000,000 # 5.540%, 08/12/97 ........... 19,870,733
CIT GROUP HOLDINGS, INC
46,866,000 5.580%, 10/10/97 ........... 46,119,738
20,000,000 5.600%, 12/18/97 ........... 19,464,200
COLUMBIA/HCA HEALTHCARE CORP
17,600,000 # 5.600%, 08/20/97 ........... 17,463,111
21,087,000 # 5.630%, 09/16/97 ........... 20,828,859
21,217,000 5.600%, 09/16/97 ........... 20,957,267
5,095,000 5.600%, 09/26/97 ........... 5,024,632
COMMERCIAL CREDIT CO
25,000,000 5.560%, 07/21/97 ........... 24,922,777
27,000,000 5.570%, 08/05/97 ........... 26,853,787
30,806,000 5.550%, 08/08/97 ........... 30,625,528
17,000,000 5.540%, 09/15/97 ........... 16,796,377
CORPORATE ASSET FUNDING CORP, INC
30,000,000 # 5.630%, 07/16/97 ........... 29,927,562
23,000,000 # 5.550%, 07/22/97 ........... 22,925,537
50,000,000 5.550%, 07/25/97 ........... 49,808,416
21,821,000 5.630%, 08/07/97 ........... 21,692,399
DELAWARE FUNDING CORP
42,238,000 # 5.600%, 07/17/97 ........... 42,129,181
10,108,000 # 5.630%, 07/23/97 ........... 10,072,517
20,287,000 # 5.600%, 08/26/97 ........... 20,106,690
20,000,000 5.600%, 08/28/97 ........... 19,815,871
DILLARD INVESTMENT CO, INC
24,300,000 5.570%, 07/09/97 ........... 24,269,922
FORD MOTOR CREDIT CO
27,000,000 5.520%, 07/07/97 ........... 26,975,160
832,000 5.320%, 07/08/97 ........... 831,070
36,000,000 5.280%, 07/10/97 ........... 35,948,246
25,000,000 5.650%, 08/12/97 ........... 24,832,757
25,000,000 5.650%, 08/13/97 ........... 24,830,295
8,400,000 5.600%, 12/01/97 ........... 8,197,335
GENERAL ELECTRIC CAPITAL CORP
28,000,000 5.280%, 07/11/97 ........... 27,955,227
35,000,000 5.550%, 07/17/97 ........... 34,913,666
25,000,000 5.680%, 09/29/97 ........... 24,644,847
GENERAL MOTORS ACCEPTANCE CORP
9,822,000 5.400%, 08/04/97 ........... 9,768,715
11,000,000 5.330%, 08/06/97 ........... 10,936,925
25,000,000 5.320%, 08/19/97 ........... 24,804,884
10,000,000 5.780%, 10/07/97 ........... 9,845,450
9,260,000 5.850%, 10/08/97 ........... 9,115,441
10,000,000 5.700%, 12/01/97 ........... 9,758,733
18,000,000 5.700%, 12/03/97 ........... 17,560,080
8,000,000 5.680%, 12/08/97 ........... 7,798,213
GENERAL SIGNAL CORP
10,000,000 5.580%, 07/07/97 ........... 9,990,700
7,900,000 # 5.550%, 07/11/97 ........... 7,887,820
7,800,000 # 5.600%, 07/11/97 ........... 7,787,866
6,924,000 5.650%, 07/15/97 ........... 6,908,313
7,800,000 5.650%, 07/15/97 ........... 7,782,329
1,106,000 5.600%, 07/22/97 ........... 1,102,387
GOLDMAN SACHS GROUP, LP
15,000,000 5.650%, 07/24/97 ........... 14,944,951
50,000,000 # 5.600%, 09/04/97 ........... 49,488,500
9,000,000 5.610%, 10/09/97 ........... 8,858,095
15,000,000 5.650%, 11/04/97 ........... 14,701,549
13,000,000 5.750%, 11/25/97 ........... 12,698,572
25,000,000 5.780%, 12/29/97 ........... 24,279,582
GTE CORP
3,623,000 5.580%, 07/22/97 ........... 3,611,207
26,000,000 5.560%, 07/22/97 ........... 25,915,673
45,000,000 5.590%, 08/08/97 ........... 44,734,475
HEINZ (H.J.) CO
33,000,000 5.500%, 07/18/97 ........... 32,914,291
HOUSEHOLD FINANCE CORP
18,000,000 5.580%, 08/05/97 ........... 17,899,121
50,000,000 5.600%, 08/26/97 ........... 49,555,602
IBM CREDIT CORP
50,000,000 5.530%, 07/21/97 ........... 49,846,388
J.P. MORGAN & CO
22,859,000 5.420%, 07/14/97 ........... 22,811,499
MAY DEPARTMENT STORES CO
29,000,000 5.580%, 07/07/97 ........... 28,972,334
MCCORMICK & CO, INC
15,000,000 5.590%, 10/07/97 ........... 14,768,175
MCGRAW-HILL, INC
11,500,000 5.520%, 07/09/97 ........... 11,485,893
MCI COMMUNICATIONS CORP
20,000,000 5.530%, 07/18/97 ........... 19,945,215
35,000,000 # 5.420%, 08/04/97 ........... 34,810,123
18,000,000 5.680%, 09/02/97 ........... 17,821,440
14,000,000 5.650%, 09/17/97 ........... 13,827,955
20,000,000 5.550%, 09/24/97 ........... 19,732,444
14,228,000 5.730%, 10/27/97 ........... 13,963,683
MERRILL LYNCH & CO, INC
21,847,000 5.650%, 07/14/97 ........... 21,801,602
25,000,000 5.380%, 07/21/97 ........... 24,919,937
15,000,000 5.570%, 07/22/97 ........... 14,949,738
17,613,000 5.650%, 07/24/97 ........... 17,548,361
5,000,000 5.650%, 08/18/97 ........... 4,962,044
3,716,000 5.580%, 08/29/97 ........... 3,681,190
2,754,000 5.600%, 09/15/97 ........... 2,721,013
MORGAN STANLEY GROUP, INC
35,000,000 5.620%, 07/08/97 ........... 34,960,907
23,103,000 5.600%, 07/09/97 ........... 23,073,509
16,198,000 5.570%, 07/23/97 ........... 16,141,139
NATIONAL FUEL GAS CO
15,000,000 5.580%, 07/02/97 ........... 14,997,675
10,000,000 5.580%, 07/07/97 ........... 9,990,700
15,000,000 5.620%, 07/21/97 ........... 14,953,166
NATIONSBANK CORP
30,000,000 5.610%, 07/11/97 ........... 29,952,120
20,000,000 5.620%, 08/05/97 ........... 19,887,912
See notes to financial statements.
-18-
<PAGE>
MONEY MARKET ACCOUNT (CONTINUED)
PRINCIPAL VALUE
--------- -----
COMMERCIAL PAPER - (CONTINUED)
NYNEX CORP
$20,000,000 5.520%, 07/09/97 ............. $ 19,975,466
PACIFIC GAS & ELECTRIC CO
20,900,000 5.540%, 08/14/97 ............. 20,754,805
SCHERING CORP
20,000,000 5.630%, 07/29/97 ............. 19,911,279
15,350,000 5.570%, 09/16/97 ............. 15,163,753
4,855,000 5.590%, 09/23/97 ............. 4,790,806
35,000,000 5.650%, 12/02/97 ............. 34,150,084
SEARS ROEBUCK ACCEPTANCE CORP
28,940,000 5.310%, 07/07/97 ............. 28,912,392
9,000,000 5.640%, 08/21/97 ............. 8,926,891
8,110,000 5.550%, 08/22/97 ............. 8,044,984
SOUTHERN CALIFORNIA EDISON CO
15,805,000 5.570%, 08/07/97 ............. 15,711,837
25,000,000 5.620%, 08/08/97 ............. 24,848,668
THE STANLEY WORKS
15,000,000 5.600%, 08/12/97 ............. 14,899,654
TORONTO DOMINION HOLDINGS (U.S.)
20,000,000 5.550%, 12/08/97 ............. 19,495,534
15,568,000 5.570%, 12/15/97 ............. 15,158,250
UBS FINANCE, (DELAWARE) INC
18,880,000 6.150%, 07/01/97 ............. 18,880,000
WALT DISNEY CO
10,000,000 5.350%, 07/07/97 ............. 9,990,460
-------------
2,608,416,001
-------------
MEDIUM TERM BONDS--1.50%
BENEFICIAL CORP
5,000,000 9.375%, 07/28/97 ............. 5,012,825
BETA FINANCE, INC
10,000,000 6.355%, 05/05/98 ............. 10,031,000
FEDERAL NATIONAL MORTGAGE
ASSOCIATION
10,000,000 5.500%, 02/18/98 ............. 9,983,000
HEINZ (H.J.) CO NOTES
10,000,000 5.500%, 09/15/97 ............. 9,991,000
IBM NOTES
5,000,000 6.375%, 11/01/97 ............. 5,007,500
KEY BANK OF NEW YORK BANK NOTE
10,000,000 5.600%, 11/04/97 ............. 9,987,000
PEPSICO, INC NOTES
10,000,000 6.125%, 01/15/98 ............. 10,009,000
-------------
60,021,325
-------------
U.S. GOVERNMENT & AGENCIES--0.34%
FEDERAL HOME LOAN BANKS
12,000,000 5.420%, 07/24/97 ............. 11,958,446
FEDERAL NATIONAL MORTGAGE
ASSOCIATION
1,875,000 5.580%, 11/10/97 ............. 1,837,247
-------------
13,795,693
-------------
VARIABLE RATE NOTES--17.09%
AMERICAN EXPRESS CENTURION BANK
10,000,000 5.657%, 09/11/97 ............. 9,997,000
25,000,000 5.657%, 10/15/97 ............. 25,020,000
30,000,000 5.647%, 11/31/97 ............. 30,000,000
25,000,000 5.647%, 11/17/97 ............. 24,995,000
ASSOCIATES CORP OF NORTH AMERICA
25,000,000 5.570%, 03/02/98 ............. 24,975,000
BANC ONE, DAYTON, N.A.
55,000,000 5.690%, 02/05/98 ............. 54,967,000
BANKERS TRUST CO OF NEW YORK
15,000,000 5.680%, 12/22/97 ............. 15,000,000
BANKERS TRUST NEW YORK CORP
25,000,000 5.640%, 08/18/97 ............. 24,992,000
25,000,000 5.620%, 12/10/97 ............. 24,985,000
CATERPILLAR FINANCIAL SERVICES CORP
14,000,000 5.731%, 03/20/98 ............. 13,997,200
CHRYSLER FINANCIAL CORP
20,000,000 6.031%, 01/16/98 ............. 19,988,000
CORESTATES BANK NA/
PHILADELPHIA NATIONAL BK
25,000,000 5.640%, 10/31/97 ............. 24,992,500
12,000,000 5.657%, 12/03/97 ............. 11,997,600
8,000,000 5.647%, 02/13/98 ............. 8,000,000
FIRST BANK SYSTEM
25,000,000 5.607%, 04/10/98 ............. 24,995,000
FIRST UNION NATIONAL BANK, CHARLOTTE
20,000,000 5.657%, 12/19/97 ............. 19,994,000
15,000,000 5.731%, 12/19/97 ............. 14,995,500
GENERAL ELECTRIC CAPITAL CORP
34,000,000 5.750%, 07/08/97 ............. 33,999,206
HOUSEHOLD FINANCE CORP
25,000,000 5.782%, 06/03/98 ............. 24,995,000
MERRILL LYNCH & CO, INC
10,000,000 6.001%, 05/19/98 ............. 10,020,000
5,000,000 5.820%, 05/20/98 ............. 5,000,000
18,000,000 5.820%, 06/04/98 ............. 17,992,800
MORGAN GUARANTY TRUST CO
30,000,000 5.630%, 02/02/98 ............. 29,988,000
MORGAN GUARANTY TRUST CO
15,000,000 5.615%, 02/19/98 ............. 14,994,000
MORGAN STANLEY GROUP, INC
50,000,000 5.647%, 08/29/97 ............. 49,975,416
NATIONS BANK OF TEXAS
23,000,000 5.720%, 01/09/98 ............. 23,000,000
PNC BANK, NA
25,000,000 5.587%, 11/25/97 ............. 24,977,500
20,000,000 5.597%, 12/11/97 ............. 19,996,000
SEARS ROEBUCK ACCEPTANCE CORP
25,000,000 5.687%, 03/25/98 ............. 25,000,000
SOCIETE GENERALE
13,000,000 5.610%, 01/15/98 ............. 12,993,500
SOUTHTRUST
20,000,000 5.627%, 05/11/98 ............. 19,994,000
-------------
686,816,222
-------------
TOTAL SHORT TERM INVESTMENTS
(COST $4,001,503,185)............. 4,000,932,738
-------------
ROUNDING........................ 71
-------------
TOTAL PORTFOLIO
(COST $4,001,503,185).............$4,000,932,809
==============
- ----------------
# Commercial Paper issued under the Private Placement exemption
under Section 4(2) of the Securities Act of 1933, as amended.
See notes to financial statements.
-19-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENT OF INVESTMENTS--BOND MARKET ACCOUNT (UNAUDITED)
JUNE 30, 1997
SUMMARY BY INDUSTRY
VALUE %
-------- -----
BONDS
CORPORATE BONDS
AIR TRANSPORTATION ............. $ 10,157,150 0.92%
BANKS .......................... 51,648,376 4.66
BROADCASTERS ................... 5,281,100 0.48
ELECTRICAL EQUIPMENT ........... 4,982,498 0.45
FINANCIAL--MISCELLANEOUS ....... 187,437,264 16.92
HEALTHCARE--HOSPITAL SUPPLY .... 10,029,850 0.91
INSURANCE--LIFE ................ 10,140,041 0.92
INSURANCE--MULTI-LINE,
PROPERTY & CASUALTY ............ 9,895,943 0.89
MISCELLANEOUS MATERIALS &
COMMODITIES .................... 992,094 0.09
PETROLEUM--INTEGRATED .......... 14,578,629 1.32
PUBLISHING--NEWSPAPER .......... 13,543,380 1.22
RAILROAD ....................... 4,780,006 0.43
TOBACCO ........................ 1,214,280 0.11
TRUCKERS & SHIPPING ............ 10,028,600 0.91
UTILITIES--ELECTRIC ............ 6,016,180 0.54
UTILITIES--GAS & PIPELINE ...... 8,760,630 0.79
UTILITIES--TELEPHONE ........... 5,080,119 0.45
--------------- ------
TOTAL CORPORATE BONDS
(COST $354,357,631) ............ 354,566,140 32.01
--------------- ------
GOVERNMENT BONDS
AGENCY SECURITIES ............. 16,123,280 1.46
FOREIGN GOVERNMENT BONDS ...... 27,140,398 2.45
MORTGAGE BACKED SECURITIES .... 336,470,526 30.38
U.S. GOVERNMENT BONDS ......... 11,645,971 1.05
U.S. TREASURY SECURITIES ...... 328,260,400 29.63
--------------- ------
TOTAL GOVERNMENT BONDS
(COST $718,783,146) ............ 719,640,575 64.97
--------------- ------
TOTAL BONDS
(COST $1,073,140,777) ........... 1,074,206,715 96.98
--------------- ------
PREFERRED STOCK
FINANCIAL--MISCELLANEOUS ....... 4,956,896 0.45
--------------- ------
TOTAL PREFERRED STOCK
(COST $5,000,000) ............... 4,956,896 0.45
--------------- ------
SHORT TERM INVESTMENTS
COMMERCIAL PAPER ............... 83,502,171 7.54
U.S. GOVERNMENT & AGENCIES ..... 2,364,977 0.21
--------------- ------
TOTAL SHORT TERM INVESTMENTS
(COST $85,881,187) .............. 85,867,148 7.75
--------------- ------
ROUNDING ...................... 54 0.00
--------------- ------
TOTAL PORTFOLIO
(COST $1,164,021,964) ........... 1,165,030,813 105.18
--------------- ------
OTHER ASSETS & LIABILITIES, NET (57,349,700) (5.18)
--------------- ------
NET ASSETS ....................... $ 1,107,681,113 100.00%
=============== ======
================================
PRINCIPAL VALUE
--------- -----
BONDS--96.98%
CORPORATE BONDS--32.01%
AIR TRANSPORTATION--0.92%
DELTA AIRLINES, INC SERIES 1993-A2
(PASS-THRU TRUST)
$5,000,000 10.500%, 04/30/16 ............. $ 6,150,150
FEDERAL EXPRESS CORP NOTE
4,000,000 6.250%, 04/15/98 .............. 4,007,000
------------
10,157,150
------------
BANKS--4.66%
ABN AMRO BANK NV (SUBORDINATED DEB)
5,000,000 7.125%, 06/18/07 .............. 5,012,164
ANDINA DE FOMENTO CORP DEB
4,000,000 7.250%, 03/01/07 .............. 4,014,200
^BANCO DO BRASIL S.A. NOTE
2,000,000 8.375%, 06/15/02 .............. 1,998,569
^BANCO DO BRASIL S.A. REGD NOTE
3,000,000 9.375%, 06/15/07 .............. 3,000,520
^BANCO SUD AMERICANO
(SUBORDINATED NOTE)
5,000,000 7.600%, 03/15/07 .............. 4,955,220
CHASE MANHATTAN CREDIT CARD
MASTER TRUST SERIES 1996-4
(ASSET BACKED CERT)
5,000,000 6.730%, 02/15/03 .............. 5,042,150
CHASE MANHATTAN AUTO OWNER
TRUST SERIES 1997-A (CLASS A-4)
(ASSET BACKED CERT)
5,000,000 6.400%, 07/16/01 .............. 5,000,586
LONG ISLAND SAVINGS BANK FSB
(MEDIUM TERM NOTE)
11,500,000 7.000%, 06/13/02 .............. 11,473,435
MONEY STORE TRUST SERIES 1996-D
(ASSET BACKED CERT)
5,000,000 7.000%, 04/15/28 .............. 4,987,500
NATIONSBANK AUTO GRANTOR TRUST
SERIES 1995-A (ASSET BACKED CERT)
1,205,122 5.850%, 06/15/02 .............. 1,202,482
SWISS BANK CORP (MEDIUM TERM NOTE)
5,000,000 7.375%, 06/15/17 .............. 4,961,550
------------
51,648,376
------------
BROADCASTERS--0.48%
CONTINENTAL CABLEVISION (SR NOTE)
5,000,000 8.500%, 09/15/01 .............. 5,281,100
------------
ELECTRICAL EQUIPMENT--0.45%
HARMAN INTERNATIONAL
INDUSTRIES NOTE
5,000,000 7.320%, 07/01/07 .............. 4,982,498
------------
See notes to financial statements.
-20-
<PAGE>
BOND MARKET ACCOUNT (CONTINUED)
PRINCIPAL VALUE
- --------- -----
FINANCIAL--MISCELLANEOUS--16.92%
AAMES MORTGAGE TRUST SERIES 1997-B
(CLASS M2F) (ASSET BACKED CERT)
$5,000,000 7.380%, 06/15/27 ............... $ 4,973,219
AAMES MORTGAGE TRUST SERIES 1997-B
(CLASS M1F) (ASSET BACKED CERT)
5,000,000 7.130%, 06/15/27 ............... 4,971,765
ASSOCIATED P & C HOLDINGS, INC
(SR NOTE)
5,000,000 6.750%, 07/15/03 ............... 4,792,229
ASSOCIATES CORP N.A. DEB
5,000,000 6.000%, 06/15/01 ............... 4,857,250
AT&T CAPITAL CORP
(MEDIUM TERM NOTE)
5,000,000 5.850%, 01/05/99 ............... 4,965,900
AT&T CAPITAL CORP
(MEDIUM TERM NOTE)
10,000,000 6.390%, 01/22/99 ............... 10,019,200
BENEFICIAL CORP (MEDIUM TERM NOTE)
5,000,000 8.170%, 11/09/99 ............... 5,178,550
BLOCK MORTGAGE FINANCE, INC
SERIES 1997-1 (CLASS A-2)
(ASSET BACKED CERT)
5,000,000 6.850%, 10/25/11 ............... 5,003,012
^CARR AMERICA REALTY CORP
10,000,000 7.375%, 07/01/07 ............... 9,975,519
CASE EQUIPMENT LOAN TRUST SERIES
1997-A (CLASS A-3) (ASSET BACKED CERT)
5,000,000 6.450%, 03/15/04 ............... 5,010,351
CONTI MORTGAGE HOME EQUITY
LOAN TRUST
5,000,000 6.480%, 01/15/12 ............... 4,996,850
DELTA FUNDING HOME EQUITY LOAN
TRUST SERIES 1997-2
(ASSET BACKED CERT)
5,000,000 7.240%, 06/25/29 ............... 4,987,500
^DR INVESTMENTS (SR NOTE)
5,000,000 7.450%, 05/15/07 ............... 5,051,800
^ERAC USA FINANCE CO NOTE
5,000,000 6.950%, 03/01/04 ............... 4,961,450
FIRST PLUS HOME LOAN TRUST SERIES
1997-1 (CLASS A-3) (ASSET BACKED CERT)
4,000,000 6.450%, 02/10/09 ............... 3,979,531
FLEETWOOD CREDIT CORP GRANTOR
TRUST SERIES 1996-B (CLASS A)
(ASSET BACKED CERT)
4,204,419 6.900%, 03/15/12 ............... 4,237,758
GMAC GRANTOR TRUST SERIES 1997-A
(ASSET BACKED CERT)
4,605,713 6.500%, 04/15/02 ............... 4,621,510
GREEN TREE FINANCIAL CORP SERIES
1993-3 (CLASS A-5)
(ASSET BACKED CERT)
5,000,000 5.750%, 10/15/18 ............... 4,871,850
HIGHWOODS/FORSYTH LTD
PARTNERSHIP NOTE
5,000,000 7.000%, 12/01/06 ............... 4,847,150
HOMESIDE LENDING, INC
(MEDIUM TERM NOTE)
7,000,000 6.875%, 06/30/02 ............... 6,969,421
HOUSEHOLD INTERNATIONAL
NETHERLANDS (SR NOTE)
3,000,000 6.125%, 03/01/03 ............... 2,870,280
IMC HOME EQUITY LOAN TRUST SREIES
1997-2 (CLASS A-2) (ASSET BACKED CERT)
7,500,000 6.700%, 11/20/11 ............... 7,510,547
IMC HOME EQUITY LOAN TRUST
SERIES 1997-3 (CLASS B)
(ASSET BACKED CERT)
3,000,000 7.870%, 08/20/28 ............... 3,004,687
IMC HOME EQUITY LOAN TRUST SERIES
1997-3 (CLASS M2)(ASSET BACKED CERT)
5,000,000 7.550%, 08/20/28 ............... 5,006,054
LEHMAN BROTHERS HOLDINGS, INC
(MEDIUM TERM NOTE)
6,450,000 6.900%, 01/29/01 ............... 6,460,126
^NATIONAL CITY CAPTIAL TRUST
(GUARANTEE NOTE)
10,000,000 6.750%, 06/01/99 ............... 10,045,744
NAVISTAR FINANCIAL CORP OWNER
TRUST SERIES 1997-A (CLASS A-3)
(ASSET BACKED CERT)
10,000,000 6.750%, 03/15/02 ............... 10,077,344
POPULAR, INC (MEDUIM TERM NOTE)
10,000,000 6.715%, 06/06/00 ............... 10,005,803
SALOMON, INC
4,000,000 7.300%, 05/15/02 ............... 4,036,040
STANDARD CREDIT CARD MASTER
TRUST SERIES 1991-6 (CLASS B)
(ASSET BACKED CERT)
4,225,000 8.350%, 01/07/00 ............... 4,338,525
TOYOTA AUTO RECEIVABLES GRANTOR
TRUST SERIES 1997-A (CLASS B)
(ASSET BACKED CERT)
4,627,314 6.600%, 04/15/02 ............... 4,644,666
VANDERBILT MORTGAGE & FINANCE, INC
SERIES 1997-A (CLASS IA-2)
5,000,000 6.525%, 12/07/28 ............... 4,998,633
^ZURICH CAPITAL TRUST
(GUARANTEE NOTE)
5,000,000 8.376%, 06/01/37 ............... 5,167,000
------------
187,437,264
------------
HEALTHCARE--HOSPITAL SUPPLY--0.91%
COLUMBIA/HCA HEALTHCARE CORP NOTE
5,000,000 6.500%, 03/15/99 ............... 5,017,350
TENET HEALTHCARE CORP (SR NOTE)
5,000,000 7.875%, 01/15/03 ............... 5,012,500
------------
10,029,850
------------
INSURANCE--LIFE--0.92%
^AON CAPITAL CORP NOTE
5,000,000 8.205%, 01/01/27 ............... 5,126,941
^NEW ENGLAND MUTUAL LIFE
INSURANCE CO NOTE
5,000,000 7.875%, 02/15/24 ............... 5,013,100
------------
10,140,041
------------
INSURANCE--MULTI-LINE,
PROPERTY & CASUALTY--0.89%
INTEGON CORP (SR NOTE)
5,000,000 8.000%, 08/15/99 ............... 5,101,436
^TRANSAMERICA CORP NOTE
5,000,000 7.800%, 12/01/26 ............... 4,794,507
------------
9,895,943
------------
See notes to financial statements.
-21-
<PAGE>
BOND MARKET ACCOUNT (CONTINUED)
PRINCIPAL VALUE
- --------- -----
MISCELLANEOUS MATERIALS &
COMMODITIES--0.09%
^CSN IRON S.A. (GUARANTEE NOTE)
$1,000,000 9.125%, 06/01/07 ............... $ 992,094
-----------
PETROLEUM--INTEGRATED--1.32%
^PETROZUATA FINANCE, INC SERIES B
5,000,000 8.220%, 04/01/17 ............... 5,090,450
SOCIEDAD YPF ANONIMA NOTE
9,383,886 7.500%, 10/26/02 ............... 9,488,179
-----------
14,578,629
-----------
PUBLISHING--NEWSPAPER--1.22%
BELO (A.H.) CORP (SR NOTE)
6,000,000 6.875%, 06/01/02 ............... 5,999,580
BELO (A.H.) CORP DEB
7,500,000 7.750%, 06/01/27 ............... 7,543,800
-----------
13,543,380
-----------
RAILROAD--0.43%
^RAILCAR LEASING (SR NOTE)
(ASSET BACKED CERT)
4,796,199 6.750%, 07/15/06 ............... 4,780,006
-----------
TOBACCO--0.11%
PHILIP MORRIS COS, INC NOTE
1,200,000 7.375%, 02/15/99 ............... 1,214,280
-----------
TRUCKERS & SHIPPING--0.91%
^PENINSULAR & ORIENTAL STEAM NOTE
10,000,000 7.300%, 06/01/07 ............... 10,028,600
-----------
UTILITIES--ELECTRIC--0.54%
^CLEVELAND ELECTRIC/TOLEDO EDISON
CO NOTE
5,000,000 7.190%, 07/01/00 ............... 5,014,350
EL PASO ELECTRIC CO
(FIRST MTGE BOND)
1,000,000 7.250%, 02/01/99 ............... 1,001,830
-----------
6,016,180
-----------
UTILITIES--GAS & PIPELINE--0.79%
BURLINGTON RESOURCES, INC NOTE
3,250,000 7.150%, 05/01/99 ............... 3,289,130
EL PASO NATURAL GAS DEB
2,500,000 7.500%, 11/15/26 ............... 2,473,300
TENNESSEE GAS PIPELINE DEB
3,000,000 7.000%, 03/15/27 ............... 2,998,200
-----------
8,760,630
-----------
UTILITIES--TELEPHONE--0.45%
US WEST CAPITAL FUNDING, INC DEB
5,000,000 7.950%, 02/01/97 ............... 5,080,119
-----------
TOTAL CORPORATE BONDS
(COST $354,357,631) ................ 354,566,140
-----------
GOVERNMENT BONDS--64.97%
AGENCY SECURITIES--1.46%
FEDERAL FARM CREDIT BANK
5,000,000 6.440%, 11/05/99 ............... 4,986,700
FEDERAL HOME LOAN MORTGAGE
CORP (FHLMC)
3,000,000 7.100%, 04/10/07 ............... 3,060,000
FEDERAL NATIONAL MORTGAGE
ASSOCIATION
3,000,000 8.250%, 12/18/00 ............... 3,161,730
5,000,000 6.850%, 09/12/05 ............... 4,914,850
-----------
16,123,280
-----------
FOREIGN GOVERNMENT BONDS--2.45%
EMPRESSA NACIONAL DE
ELECTRICIDAD CHILE NOTE
5,000,000 8.125%, 02/01/97 ............... 5,115,800
EXPORT \ IMPORT BANK OF KOREA NOTE
3,000,000 6.500%, 05/15/00 ............... 2,978,610
PHILIPPINE LONG DISTANCE
TELEPHONE CO NOTE
6,000,000 7.850%, 03/06/07 ............... 5,744,950
REPUBLIC OF COLUMBIA NOTE
3,500,000 7.625%, 02/15/07 ............... 3,416,000
REPUBLIC SOUTH AFRICA NOTE
5,000,000 8.500%, 06/23/17 ............... 4,966,631
^SAKURA CAPITAL FUNDING
(GUARANTEE NOTE)
5,000,000 7.320%, 08/29/49 ............... 4,918,407
-----------
27,140,398
-----------
MORTGAGE BACKED SECURITIES--30.38%
EASTVIEW CREDIT CORP (CLASS A)
(COMMERICAL MTGE PASS- THRU)
5,000,000 6.950%, 06/15/04 ............... 4,939,885
FEDERAL HOME LOAN
MORTGAGE CORP (FHLMC)
3,884,078 5.500%, 09/01/00 ............... 3,776,877
871,370 7.000%, 09/01/10 ............... 872,546
6,556,002 6.000%, 04/01/11 ............... 6,336,769
3,341,794 7.000%, 05/01/23 ............... 3,300,021
5,197,346 7.500%, 05/01/24 ............... 5,239,548
4,622,983 6.500%, 12/01/25 ............... 4,433,718
9,374,639 7.500%, 12/01/25 ............... 9,425,918
4,901,370 6.500%, 04/01/26 ............... 4,700,707
12,000,000 8.000%, 07/01/27 ............... 12,281,250
FEDERAL NATIONAL
MORTGAGE ASSOCIATION (FNMA)
13,057,537 7.000%, 01/01/12 ............... 13,028,940
3,755,723 7.500%, 08/01/01 ............... 3,803,796
4,431,319 6.000%, 12/01/02 ............... 4,320,403
4,048,825 7.000%, 04/01/09 ............... 4,060,202
16,082,124 6.500%, 05/01/09 ............... 15,857,617
4,030,125 7.500%, 11/01/10 ............... 4,093,075
3,257,493 8.000%, 06/01/11 ............... 3,351,145
898,816 8.000%, 07/01/11 ............... 924,656
1,965,789 6.500%, 02/01/16 ............... 1,904,338
978,463 6.500%, 03/01/16 ............... 947,876
1,911,165 6.500%, 04/01/16 ............... 1,847,255
9,000,000 7.000%, 03/18/24 ............... 8,796,094
14,031,962 8.500%, 12/01/24 ............... 14,634,915
965,074 9.000%, 02/01/25 ............... 1,019,957
1,746,065 9.000%, 03/01/25 ............... 1,845,363
4,754,574 7.500%, 07/01/26 ............... 4,764,938
9,563,729 6.500%, 04/01/27 ............... 9,142,255
32,000,000 7.000%, 07/01/27 ............... 31,350,000
16,000,000 8.000%, 07/01/27 ............... 16,355,000
See notes to financial statements.
-22-
<PAGE>
BOND MARKET ACCOUNT (CONTINUED)
PRINCIPAL VALUE
- --------- -----
GOVERNMENT NATIONAL
MORTGAGE ASSOCIATION (GNMA)
$ 581,559 8.500%, 10/15/09 ............. $ 606,089
4,732,638 9.000%, 12/15/09 ............. 5,052,043
1,307,275 8.500%, 12/15/09 ............. 1,362,415
1,255,954 8.500%, 01/15/10 ............. 1,308,929
204,642 9.000%, 06/15/16 ............. 219,732
316,705 9.000%, 08/15/16 ............. 340,058
739,415 9.000%, 09/15/16 ............. 793,938
227,278 9.000%, 10/15/16 ............. 244,037
187,624 9.000%, 11/15/16 ............. 201,459
757,367 9.000%, 12/15/16 ............. 813,214
3,065,904 9.500%, 12/15/16 ............. 3,326,505
280,556 9.000%, 07/15/17 ............. 301,244
282,733 9.000%, 06/15/20 ............. 302,388
4,618,438 7.000%, 03/20/22 ............. 4,743,274
8,351,325 7.000%, 02/20/23 ............. 8,582,322
6,851,285 6.500%, 09/15/23 ............. 6,602,925
13,196,807 6.875%, 12/20/23 ............. 13,510,231
4,432,353 6.500%, 01/15/24 ............. 4,267,513
2,648,820 6.500%, 03/15/24 ............. 2,550,310
4,025,452 8.000%, 06/15/24 ............. 4,127,295
5,300,719 6.500%, 09/15/24 ............. 5,103,585
5,375,555 9.000%, 01/15/25 ............. 5,684,593
1,708,966 8.000%, 06/15/25 ............. 1,749,536
2,581,248 8.000%, 08/15/25 ............. 2,642,526
1,828,206 7.000%, 12/15/25 ............. 1,795,627
12,146,557 7.500%, 12/15/25 ............. 12,188,219
19,728,267 7.500%, 05/15/26 ............. 19,783,703
10,069,423 7.000%, 03/20/27 ............. 9,842,760
8,058,412 7.000%, 04/20/27 ............. 7,877,017
MORTGAGE CAPITAL FUNDING, INC
SERIES 1996 (CLASS A-3)
5,000,000 7.008%, 09/20/06 ............. 5,068,554
RESOLUTION TRUST CORP SERIES 1992-8
(CLASS A-2) (MTGE PASS-THROUGH CERT)
498,817 8.250%, 12/25/26 ............. 495,394
US DEPT OF VETERANS (CLASS 2-1)
(MTGE PASS-THRU)
7,500,000 7.500%, 09/15/17 ............. 7,628,027
------------
336,470,526
------------
U.S. GOVERNMENT BONDS--1.05%
^NEW YORK CITY TAX LIEN
SERIES 1996-1 (COLLECTIBLE BOND)
1,556,417 6.810%, 05/25/05 ............. 1,565,171
TENNESSEE VALLEY AUTHORITY DEB
10,000,000 5.980%, 04/01/36 ............. 10,080,800
------------
11,645,971
------------
U.S. TREASURY SECURITIES--29.63%
U.S. TREASURY BONDS
30,000,000 6.875%, 08/15/25 ............. 30,112,500
46,000,000 * 7.500%, 11/15/16 ............. 49,155,140
22,500,000 6.500%, 11/15/26 ............. 21,578,850
U.S. TREASURY NOTES
28,000,000 * 8.875%, 02/15/99 ............. 29,216,320
25,000,000 6.750%, 05/31/99 ............. 25,289,000
7,000,000 6.375%, 05/15/00 ............. 7,025,130
19,000,000 7.750%, 01/31/00 ............. 19,691,790
35,000,000 * 8.750%, 08/15/00 ............. 37,433,550
38,000,000 5.625%, 02/28/01 ............. 37,151,080
13,000,000 6.500%, 05/31/02 ............. 13,052,780
15,000,000 7.250%, 05/15/04 ............. 15,635,100
43,000,000 * 6.500%, 05/15/05 ............. 42,919,160
--------------
328,260,400
--------------
TOTAL GOVERNMENT BONDS
(COST $718,783,146) ............. 719,640,575
--------------
TOTAL BONDS
(COST $1,073,140,777)............. 1,074,206,715
--------------
SHARES
------
PREFERRED STOCK--0.45%
FINANCIAL--MISCELLANEOUS--0.45%
5,000 HIGHWOODS PROPERTIES ............ 4,956,896
--------------
TOTAL PREFERRED STOCK
(COST $5,000,000) ................ 4,956,896
--------------
PRINCIPAL
---------
SHORT TERM INVESTMENTS--7.75%
COMMERCIAL PAPER--7.54%
BURLINGTON NORTHERN SANTA FE
20,000,000 5.720%, 07/14/97 ............. 19,955,356
CONAGRA, INC
2,700,000 6.100%, 07/02/97 ............. 2,699,168
5,470,000 5.720%, 07/14/97 ............. 5,457,789
CSX CORP
6,300,000 5.800%, 07/07/97 ............. 6,293,213
5,000,000 5.770%, 07/14/97 ............. 4,988,839
DAYTON HUDSON CORP
13,000,000 5.750%, 07/14/97 ............. 12,970,981
7,000,000 5.720%, 07/14/97 ............. 6,984,374
FEDERAL EXPRESS CORP
4,000,000 5.800%, 07/09/97 ............. 3,994,260
HOUSTON LIGHTING & POWER CO
7,182,000 5.800%, 07/01/97 ............. 7,180,643
TEXAS UTILITIES CO
12,980,000 5.800%, 07/01/97 ............. 12,977,548
--------------
83,502,171
--------------
U.S. GOVERNMENT & AGENCIES--0.21%
FEDERAL HOME LOAN MORTGAGE CORP
2,370,000 5.410%, 07/14/97 ............. 2,364,977
--------------
TOTAL SHORT TERM INVESTMENTS
(COST $85,881,187)................ 85,867,148
--------------
ROUNDING........................ 54
--------------
TOTAL PORTFOLIO
(COST $1,164,021,964).............$1,165,030,813
==============
- ----------
* All or a portion of this security has been segregated by the Custodian to
cover margin or other requirements on open futures contracts, covered call
options written and securities purchased on a delayed delivery basis.
^ Security is exempt from registration under Rule 144A of the Securities Act of
1933 and may be resold in transactions exempt from registration normally to
qualified institutional buyers. At 06/30/97, the value of these securities
amounted to $92,479,448 or 8.35% of net assets.
See notes to financial statements.
-23-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENT OF INVESTMENTS--SOCIAL CHOICE ACCOUNT (UNAUDITED)
JUNE 30, 1997
SUMMARY BY INDUSTRY
VALUE %
-------- -------
BONDS
CORPORATE BONDS
AIR TRANSPORTATION ............... $ 2,640,563 0.14%
BANKS ............................ 52,507,009 2.71
BROADCASTERS ..................... 12,146,775 0.63
BUSINESS SERVICES ................ 1,052,930 0.05
CHEMICAL--SPECIALTY .............. 5,312,400 0.27
COMMUNICATION EQUIPMENT & SERVICES 5,000,200 0.26
FINANCIAL--MISCELLANEOUS ......... 39,372,214 2.04
FOODS ............................ 6,962,250 0.36
HEALTHCARE--DRUGS ................ 5,050,950 0.26
HEALTHCARE--HOSPITAL SUPPLY ...... 3,007,500 0.16
HEALTHCARE--OTHER ................ 5,123,800 0.26
INSURANCE--LIFE .................. 2,859,840 0.15
INSURANCE--MULTI-LINE,
PROPERTY & CASUALTY .............. 3,441,745 0.18
OFFICE EQUIPMENT ................. 5,014,900 0.26
PUBLISHING--OTHER ................ 4,789,400 0.25
RAILROAD ......................... 3,017,490 0.16
RETAIL--FOOD ..................... 2,112,500 0.11
RETAIL--GENERAL MERCHANDISE ...... 17,961,730 0.93
UTILITIES--ELECTRIC .............. 6,341,890 0.33
UTILITIES--GAS & PIPELINE ........ 4,935,650 0.25
UTILITIES--TELEPHONE ............. 11,145,400 0.57
------------ -----
TOTAL CORPORATE BONDS
(COST $199,984,301) .............. 199,797,136 10.33
------------ -----
GOVERNMENT BONDS
AGENCY SECURITIES ................ 36,082,610 1.87
MORTGAGE BACKED SECURITIES ....... 226,662,873 11.72
U.S. TREASURY SECURITIES ......... 278,347,140 14.38
------------ -----
TOTAL GOVERNMENT BONDS
(COST $538,250,418) .............. 541,092,623 27.97
------------ -----
TOTAL BONDS
(COST $738,234,719) .............. 740,889,759 38.30
------------ -----
COMMON STOCK
AIR TRANSPORTATION ............... 12,014,236 0.62
AUTOMOTIVE & RELATED ............. 17,204,280 0.89
BANKS ............................ 107,056,979 5.53
BEVERAGES ........................ 36,335,250 1.88
BROADCASTERS ..................... 6,038,764 0.31
BUSINESS SERVICES ................ 6,544,680 0.34
CHEMICALS--MAJOR ................. 16,007,850 0.83
CHEMICALS--SPECIALTY ............. 18,441,392 0.95
COMMUNICATION EQUIPMENT & SERVICES 11,857,949 0.61
COMPUTER SERVICE ................. 44,956,623 2.32
CONGLOMERATES .................... 24,281,040 1.26
COSMETICS ........................ 20,553,337 1.06
ELECTRICAL EQUIPMENT ............. 2,588,006 0.13
ELECTRICAL EQUIPMENT--
COMPONENTS DIVERSIFIED ........... 34,941,875 1.81
ELECTRICAL EQUIPMENT--INSTRUMENTS 3,342,350 0.17
FINANCIAL--MISCELLANEOUS ......... 67,274,044 3.48
FOODS ............................ 53,008,631 2.74
HEALTHCARE--DRUGS ................ 64,881,830 3.35
HEALTHCARE--HOSPITAL SUPPLY ...... 4,371,000 0.23
HEALTHCARE--OTHER ................ 43,800,187 2.26
HEALTHCARE--SERVICE .............. 9,329,036 0.48
HOUSEHOLD--DURABLE GOODS ......... 6,050,737 0.31
HOUSEHOLD--PRODUCTS .............. 48,465,175 2.51
INSURANCE--BROKERS & OTHER ....... 571,000 0.03
INSURANCE--LIFE .................. 24,346 0.00
INSURANCE--MULTI-LINE,
PROPERTY & CASUALTY .............. 54,291,904 2.81
LEISURE TIME ..................... 20,782,387 1.07
MACHINERY ........................ 17,190,671 0.89
METALS--ALUMINUM ................. 3,346,087 0.17
METALS--GOLD ..................... 4,781,127 0.25
METALS--STEEL .................... 7,177,811 0.37
OFFICE EQUIPMENT ................. 69,786,520 3.61
PAPER ............................ 19,624,081 1.01
PETROLEUM--
EXPLORATION & PRODUCTION ......... 19,409,993 1.00
PETROLEUM--SERVICE ............... 39,704,593 2.05
PROPERTY--REAL ESTATE ............ 5,319,275 0.27
PUBLISHING--NEWSPAPER ............ 16,866,948 0.87
PUBLISHING--OTHER ................ 11,935,705 0.62
RAILROAD ......................... 14,145,300 0.73
RESTAURANTS & HOTELS ............. 14,057,430 0.73
RETAIL--FOOD ..................... 5,488,475 0.28
RETAIL--GENERAL MERCHANDISE ...... 36,697,689 1.90
TEXTILE & APPAREL ................ 7,998,175 0.41
TRUCKERS & SHIPPING .............. 4,000,912 0.21
UTILITIES--ELECTRIC .............. 26,954,310 1.40
UTILITIES--GAS & PIPELINE ........ 28,273,724 1.47
UTILITIES--TELEPHONE ............. 80,016,388 4.15
------------- ------
TOTAL COMMON STOCK
(COST $632,268,240) ............... 1,167,790,102 60.37
------------- ------
SHORT TERM INVESTMENTS
COMMERCIAL PAPER .................. 35,179,407 1.82
U.S. GOVERNMENT & AGENCIES ........ 3,971,564 0.21
------------- ------
TOTAL SHORT TERM INVESTMENTS
(COST $39,157,415) ................ 39,150,971 2.03
------------- ------
ROUNDING ....................... 83 0.00
------------- ------
TOTAL PORTFOLIO
(COST $1,409,660,374) ............. 1,947,830,915 100.70
------------- ------
OTHER ASSETS & LIABILITIES, NET (13,480,852) (0.70)
------------- ------
NET ASSETS .........................$ 1,934,350,063 100.00%
=============== ======
See notes to financial statements.
-24-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENT OF INVESTMENTS--SOCIAL CHOICE ACCOUNT (UNAUDITED)
JUNE 30, 1997
PRINCIPAL VALUE
--------- -----
BONDS--38.30%
CORPORATE BONDS--10.33%
AIR TRANSPORTATION--0.14%
DELTA AIRLINES, INC SERIES 1992-B1
(PASS-THRU CERT)
$2,498,262 8.270%, 09/23/07 ..............$ 2,640,563
-------------
BANKS--2.71%
BANC ONE CORP (MEDIUM TERM NOTE)
5,000,000 7.000%, 03/25/02 .............. 5,033,000
BANKAMERICA CORP
(SUBORDINATED NOTE)
2,000,000 9.750%, 07/01/00 .............. 2,168,180
BANKERS TRUST NEW YORK CORP NOTE
5,000,000 6.750%, 10/03/01 .............. 4,996,900
BARNETT BANK, INC (MEDIUM TERM NOTE)
4,000,000 6.250%, 07/28/98 .............. 4,006,200
CAPITAL ONE BANK (SR NOTE)
5,000,000 7.200%, 07/19/99 .............. 5,058,600
CHASE MANHATTAN CORP NEW
(SUBORDINATED NOTE)
5,000,000 8.500%, 02/15/02 .............. 5,326,800
CHASE MANHATTAN AUTO OWNER
TRUST SERIES 1997-A (CLASS A-4)
(ASSET BACKED CERT)
5,000,000 6.400%, 07/16/01 .............. 5,000,586
EQUICREDIT HOME EQUITY LOAN
TRUST SERIES 1996-3 (CLASS A4)
(ASSET BACKED CERT)
3,000,000 6.700%, 06/15/08 .............. 3,003,750
FLEET MORTGAGE GROUP, INC NOTE
1,200,000 6.500%, 09/15/99 .............. 1,201,056
NATIONSBANK CORP (ASSET BACKED CERT)
2,885,110 6.125%, 07/15/99 .............. 2,890,505
NATIONSBANK CREDIT CARD MASTER
TRUST SERIES 1993-2 (CLASS A)
(ASSET BACKED CERT)
3,000,000 6.000%, 12/15/05 .............. 2,878,110
UCFCM SERIES 1997-2B1 (SUBORDINATED DEB)
(ASSET BACKED CERT)
6,000,000 7.370%, 02/15/18 .............. 5,957,812
^WACH0VIA CAPITAL TRUST DEB
5,000,000 7.965%, 06/01/27 .............. 4,985,510
-------------
52,507,009
-------------
BROADCASTERS--0.63%
BLOCKBUSTER ENTERTAINMENT CORP
(SR NOTE)
3,000,000 6.625%, 02/15/98 .............. 3,002,490
CONTINENTAL CABLEVISION (SR NOTE)
5,000,000 8.300%, 05/15/06 .............. 5,301,900
COX COMMUNICIATIONS, INC
(CLASS A) NOTE
3,500,000 8.700%, 06/15/99 .............. 3,643,535
VIACOM INTERNATIONAL, INC
(SUBORDINATED DEB)
205,000 8.000%, 07/07/06 .............. 198,850
-------------
12,146,775
-------------
BUSINESS SERVICES--0.05%
DELUXE CORP DEB
1,000,000 8.550%, 02/15/01 .............. 1,052,930
-------------
CHEMICAL--SPECIALTY--0.27%
LYONDELL PETROCHEMICAL CO NOTE
5,000,000 10.000%, 06/01/99 ............. 5,312,400
-------------
COMMUNICATION EQUIPMENT &
SERVICES--0.26%
360 COMMUNICATIONS CO (SR NOTE)
5,000,000 7.600%, 04/01/09 .............. 5,000,200
-------------
FINANCIAL--MISCELLANEOUS--2.04%
ADVANTA MORTGAGE LOAN TRUST
SERIES 1997-1 (CLASS A-2)
(ASSET BACKED CERT)
5,000,000 7.100%, 04/25/20 .............. 5,031,250
AMERICAN EXPRESS MASTER TRUST
SERIES 1994-2 (CLASS A)
(ASSET BACKED CERT)
3,125,000 7.600%, 08/15/02 .............. 3,224,593
CITIBANK CREDIT CARD MASTER TRUST
SERIES 1997-2 (CLASS B)
(ASSET BACKED CERT)
3,000,000 6.700%, 02/15/04 .............. 2,986,860
DEAN WITTER DISCOVERY & CO NOTE
5,000,000 6.875%, 03/01/03 .............. 4,993,800
DISCOVER CARD TRUST SERIES 1993-B
(ASSET BACKED CERT)
3,000,000 6.750%, 02/16/02 .............. 3,010,290
FLEETWOOD CREDIT 1993-B GRANTOR
TRUST (CLASS A) (ASSET BACKED CERT)
3,365,233 4.950%, 08/15/08 .............. 3,251,656
HOUSEHOLD INTERNATIONAL
NETHERLANDS BV (SR NOTE)
4,000,000 5.250%, 10/15/98 .............. 3,950,960
MORGAN STANLEY GROUP, INC (SR NOTE)
5,000,000 9.750%, 02/15/03 .............. 5,279,650
SMITH BARNEY HOLDINGS NOTE
5,000,000 7.000%, 03/15/04 .............. 5,004,100
STANDARD CREDIT CARD MASTER TRUST
SERIES 1991-6 (CLASS B)
(ASSET BACKED CERT)
2,570,000 8.350%, 01/07/00 .............. 2,639,055
-------------
39,372,214
-------------
FOODS--0.36%
CAMPBELL SOUP CO NOTE
2,000,000 5.625%, 09/15/03 .............. 1,859,900
SYSCO CORP NOTE
5,000,000 7.250%, 04/15/07 .............. 5,102,350
-------------
6,962,250
-------------
HEALTHCARE--DRUGS--0.26%
MERCK & CO, INC (MEDUIM TERM NOTE)
5,000,000 5.760%, 05/03/37 .............. 5,050,950
-------------
HEALTHCARE--HOSPITAL SUPPLY--0.16%
TENET HEALTHCARE CORP (SR NOTE)
3,000,000 8.000%, 01/15/05 .............. 3,007,500
-------------
HEALTHCARE--OTHER--0.26%
SERVICE CORP INTERNATIONAL NOTE
5,000,000 7.375%, 04/15/04 .............. 5,123,800
-------------
See notes to financial statements.
-25-
<PAGE>
SOCIAL CHOICE ACCOUNT (CONTINUED)
INSURANCE--LIFE--0.15%
^HANCOCK (JOHN) MUTUAL LIFE
INSURANCE CO (SURPLUS NOTE)
$3,000,000 7.375%, 02/15/24 ............... $ 2,859,840
-----------
INSURANCE--MULTI-LINE, PROPERTY &
CASUALTY--0.18%
CHUBB CAPITAL CORP NOTE
1,500,000 6.875%, 02/01/03 ............... 1,501,665
TRAVELERS CAPITAL CORP DEB
2,000,000 7.750%, 12/01/36 ............... 1,940,080
-----------
3,441,745
-----------
OFFICE EQUIPMENT--0.26%
^XEROX CAPTIAL TRUST DEB
5,000,000 8.000%, 02/01/27 ............... 5,014,900
-----------
PUBLISHING--OTHER--0.25%
^TIME WARNER SERIES (PASS-THRU CERT)
5,000,000 6.100%, 12/30/01 ............... 4,789,400
-----------
RAILROAD--0.16%
NORFOLK SOUTHERN CORP NOTE
3,000,000 6.950%, 05/01/02 ............... 3,017,490
-----------
RETAIL--FOOD--0.11%
KROGER CO (SUBORDINATED NOTE)
2,000,000 10.000%, 05/01/99 .............. 2,112,500
-----------
RETAIL--GENERAL MERCHANDISE--0.93%
DILLIARD DEPARTMENT STORES, INC NOTE
2,000,000 7.150%, 09/01/02 ............... 2,027,500
MAY DEPARTMENT STORES CO NOTE
3,000,000 7.150%, 08/15/04 ............... 3,025,650
SEARS ROEBUCK ACCEPTANCE CORP
(MEDIUM TERM NOTE)
5,000,000 6.990%, 09/30/02 ............... 5,013,650
WAL-MART STORES, INC DEB
5,500,000 9.100%, 07/15/00 ............... 5,885,770
WAL-MART STORES, INC DEB
2,000,000 7.250%, 06/01/13 ............... 2,009,160
-----------
17,961,730
-----------
UTILITIES--ELECTRIC--0.33%
IDAHO POWER CO (FIRST MTGE BOND)
1,000,000 8.650%, 01/01/00 ............... 1,046,390
PUGET SOUND POWER & LIGHT CO
(MEDIUM TERM NOTE)
5,000,000 8.060%, 06/19/06 ............... 5,295,500
-----------
6,341,890
-----------
UTILITIES--GAS & PIPELINE--0.25%
EL PASO NATURAL GAS CO NOTE
5,000,000 6.750%, 11/15/03 ............... 4,935,650
-----------
UTILITIES--TELEPHONE--0.57%
NEW YORK TELEPHONE CO DEB
3,000,000 7.250%, 02/15/24 ............... 2,847,720
SOUTHWESTERN BELL TELEPHONE CO NOTE
3,000,000 6.250%, 10/15/02 ............... 2,939,550
US WEST CAPITAL FUNDING, INC
(GUARANTEED NOTE)
3,000,000 6.950%, 01/15/37 ............... 2,993,430
US WEST COMMUNICATIONS, INC NOTE
2,500,000 6.125%, 11/15/05 ............... 2,364,700
-----------
11,145,400
-----------
TOTAL CORPORATE BONDS
(COST $199,984,301) ................ 199,797,136
------------
GOVERNMENT BONDS--27.97%
AGENCY SECURITIES--1.87%
FEDERAL FARM CREDIT BANK
3,000,000 6.440%, 11/05/99 ............... 2,992,020
FEDERAL HOME LOAN MORTGAGE CORP
(FHLMC)
5,000,000 7.090%, 11/24/06 ............... 4,910,150
FEDERAL NATIONAL MORTGAGE
ASSOCIATION (FNMA)
3,000,000 6.670%, 09/05/00 ............... 2,990,610
2,000,000 6.375%, 10/13/00 ............... 1,975,620
1,000,000 8.250%, 12/18/00 ............... 1,053,910
9,000,000 7.875%, 02/24/05 ............... 9,634,230
8,000,000 5.800%, 02/22/06 ............... 7,442,480
1,000,000 7.400%, 07/01/04 ............... 1,042,340
U.S. S.B.A. SERIES 1997-A
(PASS-THRU CERT)
4,000,000 7.380%, 03/10/07 ............... 4,041,250
-------------
36,082,610
-------------
MORTGAGE BACKED SECURITIES--11.72%
FEDERAL HOME LOAN MORTGAGE
ASSOCIATION
2,045,000 6.000%, 10/15/10 ............... 2,039,887
4,492,112 6.000%, 03/01/11 ............... 4,341,895
1,337,508 7.000%, 05/01/23 ............... 1,320,789
4,291,713 7.500%, 02/01/24 ............... 4,330,595
4,901,370 6.500%, 04/01/26 ............... 4,700,707
5,847,624 7.500%, 04/01/26 ............... 5,879,610
3,000,000 8.000%, 07/01/27 ............... 3,070,312
FEDERAL NATIONAL MORTGAGE
ASSOCIATION
10,452,052 7.000%, 04/01/12 ............... 10,429,162
4,431,319 6.000%, 12/01/02 ............... 4,320,403
6,550,000 6.500%, 08/25/03 ............... 6,550,000
645,163 8.500%, 02/01/05 ............... 660,279
6,465,340 6.500%, 05/01/11 ............... 6,346,118
1,843,866 7.500%, 06/01/11 ............... 1,872,667
1,556,061 8.000%, 06/01/11 ............... 1,600,797
1,797,633 8.000%, 07/01/11 ............... 1,849,314
439,150 7.500%, 08/01/11 ............... 445,460
720,535 7.500%, 09/01/11 ............... 730,888
1,660,740 7.500%, 10/01/11 ............... 1,684,603
6,410,345 6.500%, 12/01/23 ............... 6,169,957
3,000,000 7.000%, 03/18/24 ............... 2,932,031
9,354,641 8.500%, 12/01/24 ............... 9,756,609
4,258,423 9.000%, 04/01/25 ............... 4,500,599
717,051 9.000%, 06/01/25 ............... 757,829
4,389,389 7.500%, 09/01/25 ............... 4,405,849
8,481,955 6.500%, 06/01/26 ............... 8,118,842
13,500,000 7.000%, 07/01/27 ............... 13,225,781
10,300,000 8.000%, 07/01/27 ............... 10,528,531
See notes to financial statements.
-26-
<PAGE>
SOCIAL CHOICE ACCOUNT (CONTINUED)
PRINCIPAL VALUE
- --------- -----
MORTGAGE BACKED SECURITIES--(CONTINUED)
GOVERNMENT NATIONAL MORTGAGE
ASSOCIATION
$ 774,955 8.500%, 09/15/09 ............... $ 807,642
676,106 8.500%, 10/15/09 ............... 704,624
4,575,845 9.000%, 12/15/09 ............... 4,884,668
565,927 8.500%, 12/15/09 ............... 589,797
4,380,161 9.000%, 12/15/17 ............... 4,703,154
459,911 9.000%, 03/15/20 ............... 491,884
263,294 9.000%, 08/15/20 ............... 281,598
4,618,438 7.000%, 03/20/22 ............... 4,743,274
4,278,851 8.000%, 06/15/22 ............... 4,404,478
4,854,917 7.125%, 07/20/22 ............... 5,005,128
4,844,865 6.875%, 10/20/22 ............... 4,977,323
4,496,868 7.000%, 02/20/23 ............... 4,621,251
4,642,448 7.125%, 07/20/23 ............... 4,767,933
6,367,765 7.000%, 10/15/23 ............... 6,284,219
2,476,421 7.000%, 11/15/23 ............... 2,443,930
6,800,395 6.875%, 12/20/23 ............... 6,961,904
3,978,349 7.125%, 05/20/24 ............... 4,097,699
1,461,777 8.000%, 06/15/24 ............... 1,498,759
7,376,523 7.000%, 09/15/24 ............... 7,279,743
610,484 9.000%, 01/15/25 ............... 645,580
1,722,764 8.000%, 08/15/25 ............... 1,763,662
6,540,452 7.500%, 12/15/25 ............... 6,562,885
9,864,259 7.500%, 05/15/26 ............... 9,891,977
2,516,608 7.000%, 03/20/27 ............... 2,459,959
4,942,952 5.500%, 04/20/27 ............... 4,905,088
2,493,320 7.000%, 04/20/27 ............... 2,437,195
MORTGAGE CAPITAL FUNDING, INC
SERIES 1996-MC-2 (CLASS A-3)
5,639,783 7.008%, 09/20/06 ............... 5,717,109
RESOLUTION TRUST CORP SERIES
1992-8 (CLASS A-2) (MTGE PASS-
THROUGH CERT)
162,008 8.250%, 12/25/26 ............... 160,896
------------
226,662,873
------------
U.S. TREASURY SECURITIES--14.38%
U.S. TREASURY BOND
35,000,000 * 7.500%, 11/15/16 ............... 37,400,650
31,000,000 8.500%, 02/15/20 ............... 36,725,390
8,000,000 6.500%, 11/15/26 ............... 7,672,480
20,000,000 6.625%, 02/15/27 ............... 19,568,800
U.S. TREASURY NOTE
31,500,000 6.750%, 05/31/99 ............... 31,864,140
14,000,000 * 6.875%, 07/31/99 ............... 14,203,420
15,000,000 * 7.750%, 01/31/00 ............... 15,546,150
30,000,000 6.250%, 05/31/00 ............... 30,014,100
25,000,000 6.375%, 03/31/01 ............... 25,035,250
17,000,000 * 7.500%, 11/15/01 ............... 17,714,510
5,000,000 6.500%, 05/31/02 ............... 5,020,300
15,000,000 6.500%, 08/15/05 ............... 14,957,850
17,000,000 * 5.875%, 11/15/05 ............... 16,264,240
6,500,000 6.250%, 02/15/07 ............... 6,359,860
------------
278,347,140
------------
TOTAL GOVERNMENT BONDS
(COST $538,250,418) ............... 541,092,623
------------
TOTAL BONDS
(COST $738,234,719) ................. 740,889,759
------------
SHARES
- ------ COMMON STOCK--60.37%
AIR TRANSPORTATION--0.62%
44,700 oAMR CORP .......................... 4,134,750
63,900 DELTA AIRLINES, INC ............... 5,239,800
44,250 SOUTHWEST AIRLINES CO ............. 1,144,968
20,300 oUAL CORP NEW ...................... 1,452,718
1,200 oUS AIRWAYS GROUP, INC ............. 42,000
-----------
12,014,236
-----------
AUTOMOTIVE & RELATED--0.89%
24,100 BANDAG, INC ....................... 1,180,900
30,600 CUMMINS ENGINE CO, INC ............ 2,159,212
124,400 ECHLIN, INC ....................... 4,478,400
23,500 FEDERAL-MOGUL CORP ................ 822,500
191,850 GENUINE PARTS CO .................. 6,498,918
46,800 GRACO, INC ........................ 1,409,850
22,000 MODINE MANUFACTURING CO ........... 654,500
-----------
17,204,280
-----------
BANKS--5.53%
136,565 BANC ONE CORP ..................... 6,614,867
44,800 BANK OF NEW YORK CO, INC .......... 1,948,800
226,200 BANKAMERICA CORP .................. 14,604,037
13,600 BANKERS TRUST NEW YORK CORP ....... 1,183,200
39,800 BARNETT BANKS, INC ................ 2,089,500
101,800 CHASE MANHATTAN CORP NEW .......... 9,880,962
103,491 CITICORP CO ....................... 12,477,133
38,200 CORESTATES FINANCIAL CORP ......... 2,053,250
82,140 FIRST CHICAGO NBD CORP ............ 4,969,470
76,740 FIRST UNION CORP .................. 7,098,450
55,167 FLEET FINANCIAL GROUP, INC ........ 3,489,312
3,400 KEYCORP ........................... 189,975
77,500 MORGAN (J.P.) & CO, INC ........... 8,089,062
148,372 NATIONSBANK CORP .................. 9,569,994
88,600 NORWEST CORP ...................... 4,983,750
104,600 PNC BANK CORP ..................... 4,353,975
99,000 SUNTRUST BANKS, INC ............... 5,451,187
1,100 U.S. BANCORP ...................... 70,537
58,400 WACHOVIA CORP ..................... 3,405,450
16,824 WELLS FARGO & CO .................. 4,534,068
------------
107,056,979
------------
BEVERAGES--1.88%
538,300 COCA COLA CO ...................... 36,335,250
------------
BROADCASTERS--0.31%
6,300 COMCAST CORP (CLASS A) ............ 131,906
15,650 COMCAST CORP (CLASS A) SPECIAL .... 334,518
40,912 oLIBERTY MEDIA GROUP (CLASS A) ..... 971,660
13,320 oTCI SATELLITE ENTERTAINMENT (CLASS A) 104,895
146,800 oTELE-COMMUNICATIONS, INC (CLASS A) 2,183,650
76,931 oVIACOM, INC (CLASS B) ............. 2,307,930
5,873 oVIACOM, INC (CLASS B) WTS 07/07/97. 22
3,523 oVIACOM, INC (CLASS B) WTS 07/07/99. 4,183
------------
6,038,764
------------
BUSINESS SERVICES--0.34%
32,900 oACNEILSEN CORP ..................... 645,662
98,700 COGNIZANT CORP ..................... 3,997,350
12,600 DELUXE CORP ........................ 429,975
10,462 DIEBOLD, INC ....................... 408,018
48,400 SENSORMATIC ELECTRONICS CORP ....... 623,150
13,400 oSERVICE CORP INT'L ................. 440,525
------------
6,544,680
------------
See notes to financial statements.
-27-
<PAGE>
SOCIAL CHOICE ACCOUNT (CONTINUED)
CHEMICALS--MAJOR--0.83%
94,600 AIR PRODUCTS & CHEMICALS, INC ... $ 7,686,250
148,600 PRAXAIR, INC .................... 8,321,600
-------------
16,007,850
-------------
CHEMICALS--SPECIALTY--0.95%
26,900 BETZDEARBORN, INC ............... 1,775,400
18,546 FULLER (H.B.) CO ................ 1,020,030
104,400 LYONDELL PETROCHEMICAL CO ....... 2,277,225
54,500 MALLINCKRODT, INC ............... 2,071,000
70,700 NALCO CHEMICAL CORP ............. 2,730,787
9,000 NCH CORP ........................ 562,500
11,500 RAYCHEM CORP .................... 855,312
80,462 SCHULMAN (A.), INC .............. 1,981,376
108,200 SIGMA ALDRICH CORP .............. 3,793,762
22,900 WD-40 CO ........................ 1,374,000
-------------
18,441,392
-------------
COMMUNICATION EQUIPMENT &
SERVICES--0.61%
15,900 o360 COMMUNICATIONS CO ........... 272,287
107,082 oAIRTOUCH COMMUNICATIONS, INC .... 2,931,369
118,900 oCISCO SYSTEMS, INC .............. 7,981,162
12,200 oDSC COMMUNICATIONS CORP ......... 271,450
57,900 oNOVELL, INC ..................... 401,681
-------------
11,857,949
-------------
COMPUTER SERVICE--2.32%
92,000 AUTOMATIC DATA PROCESSING, INC .. 4,324,000
67,750 COMPUTER ASSOCIATES
INTERNATIONAL, INC ............. 3,772,828
21,840 oIMATION CORP .................... 576,030
241,600 oMICROSOFT CORP .................. 30,532,200
114,175 oORACLE CORP ..................... 5,751,565
-------------
44,956,623
-------------
CONGLOMERATES--1.26%
4,410 MARK IV INDUSTRIES, INC ......... 105,840
220,400 MINNESOTA MINING &
MANUFACTURING CO ............... 22,480,800
70,600 WHITMAN CORP .................... 1,694,400
-------------
24,281,040
-------------
COSMETICS--1.06%
68,600 AVON PRODUCTS, INC .............. 4,840,587
136,200 GILLETTE CO ..................... 12,904,950
55,600 INTERNATIONAL FLAVORS &
FRAGRANCES, INC ................ 2,807,800
-------------
20,553,337
-------------
ELECTRICAL EQUIPMENT--0.13%
33,100 GRAINGER (W.W.), INC ............ 2,588,006
-------------
ELECTRICAL EQUIPMENT--COMPONENTS
DIVERSIFIED--1.81%
30,800 oADVANCED MICRO DEVICES, INC ..... 1,108,800
24,400 AVNET, INC ...................... 1,403,000
10,350 BALDOR ELECTRIC CO .............. 305,971
182,600 INTEL CORP ...................... 25,894,962
47,500 oMICRON TECHNOLOGY, INC .......... 1,897,031
20,116 MOLEX, INC ...................... 734,234
43,500 oNATIONAL SEMICONDUCTOR CORP ..... 1,332,187
78,296 oVISHAY INTERTECHNOLOGY, INC ..... 2,265,690
-------------
34,941,875
-------------
ELECTRICAL EQUIP--INSTRUMENTS--0.17%
47,200 oAPPLIED MATERIALS, INC .......... 3,342,350
-------------
FINANCIAL--MISCELLANEOUS--3.48%
171,200 AMERICAN EXPRESS CO ............. 12,754,400
3,100 BENEFICIAL CORP ................. 220,293
162,000 FEDERAL HOME LOAN MORTGAGE CORP . 5,568,750
353,600 FEDERAL NATIONAL MORTGAGE
ASSOCIATION .................... 15,425,800
84,454 GREAT WESTERN FINANCIAL CORP .... 4,539,402
12,800 H.F. AHMANSON & CO .............. 550,400
24,842 HOUSEHOLD INTERNATIONAL, INC .... 2,917,382
55,200 MBNA CORP ....................... 2,021,700
164,200 MERRILL LYNCH & CO, INC ......... 9,790,425
250,048 MORGAN STANLEY, DEAN WITTER,
DISCOVER ....................... 10,767,692
21,400 STUDENT LOAN MARKETING ASSOCIATION 2,717,800
-------------
67,274,044
-------------
FOODS--2.74%
228,200 CAMPBELL SOUP CO ................ 11,410,000
74,400 CPC INTERNATIONAL, INC .......... 6,868,050
102,000 GENERAL MILLS, INC .............. 6,642,750
155,850 HEINZ (H.J.) CO ................. 7,188,581
105,200 HERSHEY FOODS CORP .............. 5,818,875
74,200 KELLOGG CO ...................... 6,353,375
5,800 MCCORMICK & CO, INC (NON-VTG) ... 146,450
107,600 QUAKER OATS CO .................. 4,828,550
56,000 WRIGLEY (WM) JR CO .............. 3,752,000
-------------
53,008,631
-------------
HEALTHCARE--DRUGS--3.35%
38,300 ALLERGAN, INC ................... 1,218,418
48,100 oALZA CORP ....................... 1,394,900
6,680 oALZA CORP WTS 12/31/99 .......... 1,043
77,400 oAMGEN, INC ...................... 4,498,875
12,402 BERGEN BRUNSWIG CORP (CLASS A) .. 345,705
24,600 oFOREST LABORATORIES, INC ........ 1,019,362
36,800 oGENZYME CORP (GENERAL DIVISION) . 1,021,200
2,484 oGENZYME CORP
(TISSUE REPAIR DIVISION) ....... 25,150
23,400 oIVAX CORP ....................... 261,787
351,100 MERCK & CO, INC ................. 36,338,850
34,500 MYLAN LABORATORIES, INC ......... 508,875
379,600 SCHERING-PLOUGH CORP ............ 18,173,350
6,680 oTHERAPEUTIC DISCOVERY CORP
(CLASS A) ...................... 74,315
-------------
64,881,830
-------------
HEALTHCARE--HOSPITAL SUPPLY--0.23%
56,400 MCKESSON CORP ................... 4,371,000
-------------
HEALTHCARE--OTHER--2.26%
25,600 BAUSCH & LOMB, INC .............. 1,206,400
218,800 BECTON DICKINSON & CO ........... 11,076,750
6,500 oBIOMET, INC ..................... 121,062
28,600 HILLENBRAND INDUSTRIES, INC ..... 1,358,500
377,000 JOHNSON & JOHNSON CO ............ 24,269,375
65,000 MEDTRONIC, INC .................. 5,265,000
12,900 oST. JUDE MEDICAL, INC ........... 503,100
-------------
43,800,187
-------------
HEALTHCARE--SERVICE--0.48%
186,055 COLUMBIA/HCA HEALTHCARE CORP .... 7,314,287
11,700 oHUMANA, INC ..................... 270,562
59,000 oTENET HEALTHCARE CORP ........... 1,744,187
-------------
9,329,036
-------------
HOUSEHOLD--DURABLE GOODS--0.31%
65,400 NEWELL COS, INC ................. 2,591,475
63,400 WHIRLPOOL CORP .................. 3,459,262
-------------
6,050,737
-------------
See notes to financial statements.
-28-
<PAGE>
SOCIAL CHOICE ACCOUNT (CONTINUED)
SHARES VALUE
- ------ -----
HOUSEHOLD--PRODUCTS--2.51%
66,100 CLOROX CO ........................ $ 8,725,200
120,200 COLGATE PALMOLIVE CO ............. 7,843,050
206,800 PROCTER & GAMBLE CO .............. 29,210,500
90,300 RUBBERMAID, INC .................. 2,686,425
-------------
48,465,175
-------------
INSURANCE--BROKERS & OTHER--0.03%
8,000 oMARSH & MCLENNAN COS, INC ........ 571,000
-------------
INSURANCE--LIFE--0.00%
658 CONSECO, INC ..................... 24,346
-------------
INSURANCE--MULTI-LINE,
PROPERTY & CASUALTY--2.81%
97,153 ALLSTATE CORP .................... 7,092,169
193,030 AMERICAN INTERNATIONAL GROUP, INC 28,833,856
49,700 CHUBB CORP ....................... 3,323,687
1,300 CIGNA CORP ....................... 230,750
3,500 oCNA FINANCIAL CORP ............... 369,031
14,900 GENERAL REINSURANCE CORP ......... 2,711,800
1,400 SAFECO CORP ...................... 65,362
25,000 TRANSAMERICA CORP ................ 2,339,062
147,888 TRAVELERS GROUP, INC ............. 9,326,187
-------------
54,291,904
-------------
LEISURE TIME--1.07%
194,475 DISNEY (WALT) CO ................. 15,606,618
57,900 HASBRO, INC ...................... 1,642,912
104,291 MATTEL, INC ...................... 3,532,857
-------------
20,782,387
-------------
MACHINERY--0.89%
106,200 DEERE & CO ....................... 5,827,725
112,000 ILLINOIS TOOL WORKS, INC ......... 5,593,000
87,500 KEYSTONE INTERNATIONAL, INC ...... 3,035,156
25,900 NORDSON CORP ..................... 1,664,075
30,108 TIMKEN CO ........................ 1,070,715
-------------
17,190,671
-------------
METALS--ALUMINUM--0.17%
88,200 oALUMAX, INC ...................... 3,346,087
-------------
METALS--GOLD--0.25%
122,593 NEWMONT MINING CORP .............. 4,781,127
-------------
METALS--STEEL--0.37%
27,600 BIRMINGHAM STEEL CORP ............ 427,800
45,750 HANNA (M.A.) CO .................. 1,318,171
64,100 NUCOR CORP ....................... 3,621,650
98,850 WORTHINGTON INDUSTRIES, INC ...... 1,810,190
-------------
7,177,811
-------------
OFFICE EQUIPMENT--3.61%
48,300 oAPPLE COMPUTER, INC .............. 688,275
92,000 AVERY DENNISON CORP .............. 3,691,500
68,900 oCOMPAQ COMPUTER CORP ............. 6,838,325
262,200 HEWLETT-PACKARD CO ............... 14,683,200
50,900 IKON OFFICE SOLUTIONS, INC ....... 1,269,318
271,800 INTERNATIONAL BUSINESS MACHINES CORP 24,512,962
54,900 PITNEY BOWES, INC ................ 3,815,550
54,300 oSUN MICROSYSTEMS, INC ............ 2,020,978
84,200 oTANDEM COMPUTERS, INC ............ 1,705,050
133,900 XEROX CORP ....................... 10,561,362
-------------
69,786,520
-------------
PAPER--1.01%
149,400 CONSOLIDATED PAPERS, INC ......... 8,067,600
135,500 SONOCO PRODUCTS CO ............... 4,124,281
140,500 UNION CAMP CORP .................. 7,025,000
25,450 UNISOURCE WORLDWIDE, INC ......... 407,200
-------------
19,624,081
-------------
PETROLEUM--
EXPLORATION & PRODUCTION--1.00%
56,800 ANADARKO PETROLEUM CORP .......... 3,408,000
41,500 APACHE CORP ...................... 1,348,750
60,200 MITCHELL ENERGY & DEVELOPMENT
CORP (CLASS B) .................. 1,286,775
109,100 MURPHY OIL CORP .................. 5,318,625
78,200 NOBLE AFFILIATES, INC ............ 3,025,362
164,400 oORYX ENERGY CO ................... 3,472,950
105,500 oSANTA FE ENERGY RESOURCES, INC ... 1,549,531
-------------
19,409,993
-------------
PETROLEUM--SERVICE--2.05%
63,000 oBJ SERVICES CO ................... 3,378,375
40,300 CABOT CORP ....................... 1,143,512
107,900 DRESSER INDUSTRIES, INC .......... 4,019,275
5,775 oENSCO INTERNATIONAL, INC ......... 304,631
81,700 HELMERICH & PAYNE, INC ........... 4,707,962
102,900 oNABORS INDUSTRIES, INC ........... 2,572,500
97,800 oNOBLE DRILLING CORP .............. 2,206,612
192,700 oPARKER DRILLING CO ............... 2,143,787
123,900 oROWAN COS, INC ................... 3,492,431
131,000 oSMITH INTERNATIONAL, INC ......... 7,958,250
32,200 TRANSOCEAN OFFSHORE, INC (U.S.) .. 2,338,525
47,658 oWEATHERFORD ENTERRA, INC ......... 1,834,833
49,200 oWESTERN ATLAS, INC ............... 3,603,900
-------------
39,704,593
-------------
PROPERTY--REAL ESTATE--0.27%
125,900 WEINGARTEN REALTY INVESTORS, INC . 5,319,275
-------------
PUBLISHING--NEWSPAPER--0.87%
55,745 oCOX COMMUNICATIONS, INC (CLASS A)
NEW ............................. 1,337,880
41,000 DOW JONES & CO, INC .............. 1,647,687
77,700 GANNETT CO, INC .................. 7,672,875
11,300 KNIGHT-RIDDER, INC ............... 554,406
13,100 NEW YORK TIMES CO (CLASS A) ...... 648,450
90,600 TIMES MIRROR CO SERIES A ......... 5,005,650
-------------
16,866,948
-------------
PUBLISHING--OTHER--0.62%
59,100 DUN & BRADSTREET CORP ............ 1,551,375
46,600 MCGRAW HILL COS, INC ............. 2,740,662
158,418 TIME WARNER, INC ................. 7,643,668
-------------
11,935,705
-------------
RAILROAD--0.73%
140,400 NORFOLK SOUTHERN CORP ............ 14,145,300
-------------
RESTAURANTS & HOTELS--0.73%
102,200 DARDEN RESTAURANTS, INC .......... 926,187
217,100 MCDONALDS CORP ................... 10,488,643
72,400 SYSCO CORP ....................... 2,642,600
-------------
14,057,430
-------------
RETAIL--FOOD--0.28%
88,300 ALBERTSONS, INC .................. 3,222,950
23,800 AMERICAN STORES CO ............... 1,175,125
37,600 oKROGER CO ........................ 1,090,400
-------------
5,488,475
-------------
See notes to financial statements.
-29-
<PAGE>
SOCIAL CHOICE ACCOUNT (CONTINUED)
SHARES VALUE
- ------ -----
RETAIL--GENERAL MERCHANDISE--1.90%
1,300 CVS CORP ...........................$ 66,625
1,000 oFEDERATED DEPARTMENT STORES, INC ... 34,750
4,200 GAP, INC ........................... 163,275
58,900 HOME DEPOT, INC .................... 4,060,418
148,600 oK MART CORP ........................ 1,820,350
16,806 LIMITED, INC ....................... 340,321
33,600 MAY DEPARTMENT STORES CO ........... 1,587,600
53,600 PENNEY, (J.C.) CO, INC ............. 2,797,250
20,600 ROUSE CO ........................... 607,700
104,800 SEARS ROEBUCK & CO ................. 5,633,000
1,000 TANDY CORP ......................... 56,000
45,950 oTOYS R US, INC ..................... 1,608,250
492,000 WAL-MART STORES, INC ............... 16,635,750
53,600 oWOOLWORTH CORP ..................... 1,286,400
-------------
36,697,689
-------------
TEXTILE & APPAREL--0.41%
15,800 LIZ CLAIBORNE, INC ................. 736,675
121,200 NIKE, INC (CLASS B) ................ 7,075,050
2,200 VF CORP ............................ 186,450
-------------
7,998,175
-------------
TRUCKERS & SHIPPING--0.21%
74,400 ARNOLD INDUSTRIES, INC ............. 1,264,800
57,200 CALIBER SYSTEM, INC ................ 2,130,700
21,100 ROADWAY EXPRESS, INC ............... 493,212
3,400 RYDER SYSTEM, INC .................. 112,200
-------------
4,000,912
-------------
UTILITIES--ELECTRIC--1.40%
32,500 IDAHO POWER CO ..................... 1,019,687
104,700 LOUISVILLE GAS & ELECTRIC
ENERGY CORP ....................... 2,309,943
118,700 NIPSCO INDUSTRIES, INC ............. 4,903,793
33,000 OGE ENERGY CORP .................... 1,501,500
137,800 PACIFICORP ......................... 3,031,600
279,800 POTOMAC ELECTRIC POWER CO .......... 6,470,375
122,800 PUGET SOUND ENERGY, INC ............ 3,254,200
174,600 TECO ENERGY, INC ................... 4,463,212
-------------
26,954,310
-------------
UTILITIES--GAS & PIPELINE--1.47%
30,800 BROOKLYN UNION GAS CO .............. 881,650
20,900 COLUMBIA GAS SYSTEMS, INC .......... 1,363,725
110,600 CONSOLIDATED NATURAL GAS CO ........ 5,951,662
33,400 EL PASO NATURAL GAS CO ............. 1,837,000
24,600 EQUITABLE RESOURCES, INC ........... 698,025
1,400 oIONICS, INC ........................ 63,700
18,800 MCN ENERGY GROUP, INC .............. 575,750
55,700 NICOR, INC ......................... 1,998,237
89,600 PACIFIC ENTERPRISES, INC ........... 3,012,800
9,200 PEOPLES ENERGY CORP ................ 344,425
134,900 SONAT, INC ......................... 6,913,625
105,900 WILLIAMS COS, INC .................. 4,633,125
-------------
28,273,724
-------------
UTILITIES--TELEPHONE--4.15%
162,700 AMERITECH CORP ................... 11,053,431
166,300 BELL ATLANTIC CORP ............... 12,618,012
335,000 BELLSOUTH CORP ................... 15,535,625
89,100 MCI COMMUNICATIONS CORP .......... 3,410,859
139,300 NYNEX CORP ....................... 8,027,162
262,439 SBC COMMUNICATIONS, INC .......... 16,238,413
71,500 SPRINT CORP ...................... 3,762,687
162,044 U.S. WEST COMMUNICATIONS GROUP, INC 6,107,033
161,144 oU.S. WEST MEDIA GROUP, INC ....... 3,263,166
-------------
80,016,388
-------------
TOTAL COMMON STOCK
(COST $632,268,240) ...............1,167,790,102
-------------
PRINCIPAL
---------
SHORT TERM INVESTMENTS--2.03%
COMMERCIAL PAPER--1.82%
CONAGRA, INC
$2,102,000 5.800%, 07/01/97 .............. 2,101,602
5,030,000 5.720%, 07/14/97 .............. 5,018,772
COX COMMUNICATIONS, INC
6,712,000 5.770%, 07/14/97 .............. 6,697,017
MERRILL LYNCH & CO, INC
4,770,000 6.200%, 07/01/97 .............. 4,769,138
SONAT, INC
10,000,000 5.730%, 07/14/97 .............. 9,977,678
WHIRLPOOL FINANCE
6,630,000 5.740%, 07/14/97 .............. 6,615,200
--------------
35,179,407
--------------
U.S. GOVERNMENT & AGENCIES--0.21%
FEDERAL HOME LOAN MORTGAGE CORP
3,980,000 5.410%, 07/14/97 .............. 3,971,564
--------------
TOTAL SHORT TERM INVESTMENTS
(COST $39,157,415) ............... 39,150,971
--------------
ROUNDING........................ 83
--------------
TOTAL PORTFOLIO
(COST $1,409,660,374)..............$1,947,830,915
==============
- ----------
o Non-income producing.
* All or a portion of this security has been segregated by the Custodian to
cover margin or other requirements on open futures contracts, covered call
options written and securities purchased on a delayed delivery basis.
^ Security is exempt from registration under Rule 144A of the Securities Act of
1933 and may be resold in transactions exempt from registration normally to
qualified institutional buyers. At 06/30/97, the value of these securities
amounted to $17,649,650 or .91% of net assets.
See notes to financial statements.
-30-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENT OF INVESTMENTS--GLOBAL EQUITIES ACCOUNT (UNAUDITED)
JUNE 30, 1997
SUMMARY BY INDUSTRY
VALUE %
-------- -----
BONDS
CORPORATE BONDS
BANKS ............................... $ 30,088 0.00%
BROADCASTERS ........................ 86,330 0.00
INSURANCE--LIFE ..................... 13,597,875 0.27
INSURANCE--MULTI-LINE,
PROPERTY & CASUALTY ............... 101,180 0.00
METALS--STEEL ....................... 96,619 0.00
------------- ------
TOTAL CORPORATE BONDS
(COST $14,138,487) .................. 13,912,092 0.27
------------- ------
TOTAL BONDS
(COST $14,138,487) ................... 13,912,092 0.27
------------- ------
PREFERRED STOCK
AUTOMOTIVE & RELATED ................ 4,686,295 0.09
BUSINESS SERVICES ................... 1,591,669 0.03
COMMUNICATION EQUIPMENT & SERVICES .. 1,859,514 0.04
HEALTHCARE--SERVICE ................. 95,062 0.00
MACHINERY ........................... 178,698 0.00
PUBLISHING--NEWSPAPE ................ 1,189,836 0.03
UTILITIES--ELECTRIC ................. 1,939,153 0.04
UTILITIES--TELEPHONE ................ 21,422,500 0.42
------------- ------
TOTAL PREFERRED STOCK
(COST $25,685,686) ................... 32,962,727 0.65
------------- ------
COMMON STOCK
AEROSPACE ........................... 70,295,560 1.38
AIR TRANSPORTATION .................. 128,247,804 2.52
AUTOMOTIVE & RELATED ................ 87,435,848 1.72
BANKS ............................... 280,906,130 5.51
BEVERAGES ........................... 24,281,596 0.48
BROADCASTERS ........................ 91,356,292 1.79
BUSINESS SERVICES ................... 89,794,679 1.76
CHEMICALS--MAJOR .................... 44,663,462 0.88
CHEMICALS--SPECIALTY ................ 10,432,239 0.20
COMMUNICATION EQUIPMENT & SERVICES .. 94,453,082 1.85
COMPUTER SERVICE .................... 95,140,411 1.87
CONGLOMERATES ....................... 182,073,184 3.57
CONSTRUCTION--MATERIALS & BUILDERS .. 47,854,205 0.94
CONTAINERS .......................... 1,499,401 0.03
COSMETICS ........................... 13,003,928 0.25
ELECTRICAL EQUIPMENT ................ 212,686,683 4.17
ELECTRICAL EQUIPMENT--
COMPONENTS DIVERSIFIED ............ 269,677,182 5.29
ELECTRICAL EQUIPMENT--INSTRUMENTS ... 11,693,864 0.23
ENVIRONMENTAL CONTROL ............... 74,285,295 1.46
FINANCIAL--MISCELLANEOUS ............ 65,834,574 1.29
FOODS ............................... 57,551,129 1.13
FOREST PRODUCTS ..................... 9,370,135 0.18
HEALTHCARE--DRUGS ................... 292,903,444 5.75
HEALTHCARE--HOSPITAL SUPPY .......... 11,339,974 0.22
HEALTHCARE--OTHER ................... 8,019,173 0.16
HEALTHCARE--SERVICE ................. 109,290,517 2.14
HOUSEHOLD--CONSUMER ELECTRONICS ..... 15,875,674 0.31
HOUSEHOLD--DURABLE GOODS ............ 6,028,203 0.12
HOUSEHOLD--PRODUCTS ................. 23,105,813 0.45
INSURANCE--BROKERS & OTHER .......... 23,009,312 0.45
INSURANCE--LIFE ..................... 11,053,797 0.22
INSURANCE--MULTI-LINE,
PROPERTY & CASUALTY ............... 149,767,469 2.94
LEISURE TIME ........................ 170,927,835 3.35
MACHINERY ........................... 169,317,929 3.32
METALS--ALUMINUM .................... 6,311,241 0.12
METALS--GOLD ........................ 67,575,612 1.33
METALS--NON-FERROUS ................. 13,532,084 0.27
METALS--STEEL ....................... 70,141,985 1.38
MISCELLANEOUS MATERIALS &
COMMODITIES ....................... 24,046,045 0.47
OFFICE EQUIPMENT .................... 86,424,168 1.70
PAPER ............................... 8,234,637 0.16
PETROLEUM--
EXPLORATION & PRODUCTION .......... 102,915,815 2.02
PETROLEUM--INTEGRATED ............... 273,892,245 5.37
PETROLEUM--SERVICE .................. 134,027,078 2.63
PHOTOGRAPHY ......................... 6,611,469 0.13
PROPERTY--REAL ESTATE ............... 25,803,383 0.51
PUBLISHING--NEWSPAPER ............... 8,419,858 0.17
PUBLISHING--OTHER ................... 16,037,840 0.31
RAILROAD ............................ 176,738,349 3.47
RESTAURANTS & HOTELS ................ 132,273,390 2.59
RETAIL--FOOD ........................ 18,001,900 0.35
RETAIL--GENERAL MERCHANDISE ......... 91,100,795 1.79
TEXTILE & APPAREL ................... 73,144,865 1.43
TOBACCO ............................. 140,865,573 2.76
TRADING COMPANIES ................... 9,108,127 0.18
TRUCKERS & SHIPPING ................. 22,569,713 0.44
UTILITIES--ELECTRIC ................. 52,524,183 1.03
UTILITIES--GAS & PIPELINE ........... 14,715,515 0.29
UTILITIES--OTHER .................... 7,592,083 0.15
UTILITIES--TELEPHONE ................ 362,259,592 7.11
-------------- -----
TOTAL COMMON STOCK
(COST $4,046,769,577) ................ 4,898,043,368 96.09
-------------- -----
SHORT TERM INVESTMENTS
BANK NOTES .......................... 16,992,394 0.33
COMMERCIAL PAPER .................... 145,753,273 2.86
U.S. GOVERNMENT & AGENCIES .......... 299,204,531 5.87
-------------- ------
TOTAL SHORT TERM INVESTMENTS
(COST $461,986,090) .................. 461,950,198 9.06
-------------- ------
ROUNDING ............................ 531 0.00
-------------- ------
TOTAL PORTFOLIO
(COST $4,548,579,840) ................ 5,406,868,916 106.07
OTHER ASSETS & LIABILITIES, NET .... (309,373,353 (6.07)
-------------- ------
NET ASSETS ............................ $5,097,495,563 100.00%
============== ======
See notes to financial statements.
-31-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENT OF INVESTMENTS--GLOBAL EQUITIES ACCOUNT (Unaudited)
JUNE 30, 1997
SUMMARY BY COUNTRY
VALUE %
------- ----
DOMESTIC:
UNITED STATES $2,239,870,882 41.43%
------------- ------
TOTAL DOMESTIC 2,239,870,882 41.43
-------------- ------
FOREIGN:
AUSTRALIA ............ 25,216,829 0.47
AUSTRIA .............. 2,881,365 0.05
BELGIUM .............. 11,196,709 0.21
CANADA ............... 164,543,464 3.04
DENMARK .............. 8,139,334 0.15
FINLAND .............. 5,844,230 0.11
FRANCE ............... 121,938,006 2.26
GERMANY .............. 222,566,712 4.12
HONG KONG ............ 35,320,001 0.65
INDONESIA ............ 19,803,470 0.37
IRELAND .............. 2,515,409 0.04
ITALY ................ 198,443,045 3.67
JAPAN ................ 351,275,790 6.50
MALAYSIA ............. 18,527,586 0.34
NETHERLANDS .......... 384,461,210 7.11
NEW ZEALAND .......... 3,710,280 0.07
NORWAY ............... 67,179,101 1.24
SINGAPORE ............ 10,101,499 0.19
SOUTH AFRICA ......... 13,597,875 0.25
SPAIN ................ 21,160,910 0.39
SWEDEN ............... 138,548,358 2.56
SWITZERLAND .......... 230,510,346 4.26
UNITED KINGDOM ....... 647,566,307 11.98
-------------- ------
TOTAL FOREIGN .......... 2,705,047,836 50.03
-------------- ------
TOTAL SHORT TERM ....... 461,950,198 8.54
-------------- ------
TOTAL PORTFOLIO ........ $5,406,868,916 100.00%
============== ======
See notes to financial statements.
-32-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENT OF INVESTMENTS--GLOBAL EQUITIES ACCOUNT (UNAUDITED)
JUNE 30, 1997
PRINCIPAL VALUE
- --------- -----
BONDS--0.27%
CORPORATE BONDS--0.27%
BANKS--0.00%
DRESDNER BV
52(1) 5.500%, 04/30/04 .............. $ 30,088
-----------
BROADCASTERS--0.00%
VIACOM INTERNATIONAL, INC
(SUBORDINATED DEB)
$ 89,000 8.000%, 07/07/06 ............. 86,330
-----------
INSURANCE--LIFE--0.27%
LIBLIFE INTERNATIONAL CV
10,665,000 6.500%, 09/30/04 ............. 13,597,875
-----------
INSURANCE--MULTI-LINE, PROPERTY &
CASUALTY--0.00%
AXA S.A. CV
1,531(2) 4.500%, 01/01/99 ............. 101,180
-----------
METALS--STEEL--0.00%
~PREUSSAG AG.
113(1) WTS 5.750%, 05/17/01 ......... 96,619
-----------
TOTAL CORPORATE BONDS
(COST $14,138,487) ............... 13,912,092
-----------
TOTAL BONDS
(COST $14,138,487) ................ 13,912,092
-----------
- ----------
(1) Denominated in German Deutsche Marks
(2) Denominated in French Francs
SHARES
------
PREFERRED STOCK--0.65%
AUTOMOTIVE & RELATED--0.09%
8,333 VOLKSWAGENWERKE AG. 4,686,295
-----------
BUSINESS SERVICES--0.03%
7,662 SAP AG. 1,591,669
-----------
COMMUNICATION EQUIPMENT &
SERVICES--0.04%
24,900 NOKIA AB OY SERIES A 1,859,514
-----------
HEALTHCARE--SERVICE--0.00%
1,014 AETNA, INC (CLASS C) 95,062
-----------
MACHINERY--0.00%
900 oRHEINMETALL AG. 178,698
-----------
PUBLISHING--NEWSPAPER--0.03%
304,242 NEWS CORP LTD (LTD-VTG) 1,189,836
-----------
UTILITIES--ELECTRIC--0.04%
55,670 oRHEIN-WESTFALEN ELECTRIC AG. 1,939,153
-----------
UTILITIES--TELEPHONE--0.42%
190,000 WORLDCOM, INC SERIES A 21,422,500
-----------
TOTAL PREFERRED STOCK
(COST $25,685,686) 32,962,727
-----------
COMMON STOCK--96.09%
AEROSPACE--1.38%
1,167,026 BOEING CO ........................ 61,925,317
112,880 BRITISH AEROSPACE PLC ............ 2,510,831
5,868 oBRITISH AEROSPACE PLC WTS 11/15/00 78,617
22,700 COBHAM GROUP PLC ................. 272,013
14,400 EG & G, INC ...................... 324,000
19,500 GENERAL DYNAMICS CORP ............ 1,462,500
44,500 MCDONNELL DOUGLAS CORP ........... 3,048,250
91,050 ROLLS ROYCE LTD .................. 347,771
22,433 SMITHS INDUSTRIES PLC ............ 287,294
4,200 oSPAR AEROSPACE LTD ............... 38,967
-----------
70,295,560
-----------
AIR TRANSPORTATION--2.52%
10,400 oAIR CANADA, INC .................. 70,107
5,910,000 AIRTOURS PLC ..................... 113,999,390
7,000 ALL NIPPON AIRWAYS CO LTD ........ 44,962
28,600 oAMR CORP ......................... 2,645,500
257,046 BRITISH AIRWAYS PLC .............. 2,928,302
12,700 DELTA AIRLINES, INC .............. 1,041,400
11,800 oFEDERAL EXPRESS CORP ............. 681,450
54,000 oHONG KONG AIRCRAFT
ENGINEERING CO LTD .............. 196,558
223,000 oJAPAN AIRLINES CO LTD ............ 1,015,323
26,200 oKLM (ROYAL DUTCH AIRLINES) NV .... 809,012
100,100 LUFTHANSA AG. .................... 1,921,464
207,000 oMALAYSIAN AIRLINE SYSTEM BERHAD .. 516,680
12,700 SAS DANMARK AS ................... 148,438
106,000 oSINGAPORE INTERNATIONAL
AIRLINES LTD (FR) ............... 948,944
9,100 SOUTHWEST AIRLINES CO ............ 235,462
14,600 oUAL CORP NEW ..................... 1,044,812
-----------
128,247,804
-----------
AUTOMOTIVE & RELATED--1.72%
776,700 oAUTOLIV, INC ..................... 30,388,387
70 BAYERISCHE MOTOREN WERKE AG. ..... 57,965
54,537 BBA GROUP PLC .................... 322,219
113,000 BRIDGESTONE CORP ................. 2,626,768
62,308 CHRYSLER CORP .................... 2,044,481
178,000 oCOMFORT GROUP LTD ................ 140,677
26,520 CONTINENTAL AG. .................. 658,966
13,000 CUMMINS ENGINE CO, INC ........... 917,312
73,000 CYCLE & CARRIAGE LTD ............. 755,630
67,310 oDAIMLER BENZ AG. ................. 5,465,604
101,000 DENSO CORP ....................... 2,418,430
8,500 EATON CORP ....................... 742,156
20,000 EDARAN OTOMOBIL NASIONAL BERHAD .. 170,364
554,900 oFIAT S.P.A. ...................... 1,996,840
86,767 GENERAL MOTORS CORP .............. 4,831,837
68,596 GKN PLC .......................... 1,181,029
29,200 GOODYEAR TIRE & RUBBER CO ........ 1,848,725
24,000 HARLEY DAVIDSON, INC ............. 1,150,500
134,000 HONDA MOTOR CO LTD ............... 4,040,039
8,100 LAIRD GROUP PLC .................. 47,115
78 LEX SERVICE GROUP LTD ............ 488
96,467 LUCASVARITY PLC .................. 333,944
10,283 MICHELIN S.A. (CLASS B) .......... 618,101
750 oMICHELIN S.A. (CLASS B) RTS ...... 41,517
23,600 oNAVISTAR INTERNATIONAL CORP ...... 407,100
See notes to financial statements.
-33-
<PAGE>
GLOBAL EQUITIES ACCOUNT (CONTINUED)
SHARES VALUE
------ -----
AUTOMOTIVE & RELATED--(Continued)
445,000 NISSAN MOTOR CO LTD .............. $ 3,457,192
41,000 ORIENTAL HOLDINGS ................ 308,637
89,000 PERUSAHAAN OTOMOBIL NASIONAL
BERHAD .......................... 416,086
275,200 PIRELLI S.P.A. ................... 681,252
182,600 T & N PLC ........................ 437,617
138,000 TAN CHONG MOTOR HOLDINGS BERHAD .. 260,253
531,645 TOYOTA MOTOR CORP ................ 15,703,634
88,000 oUMW HOLDINGS BERHAD .............. 414,897
16,000 VALEO S.A. ....................... 994,721
58,100 VOLVO AB SERIES B FREE ........... 1,555,365
-----------
87,435,848
-----------
BANKS--5.51%
250,781 ABBEY NATIONAL PLC ............... 3,422,473
206,528 ABN-AMRO HOLDINGS NV ............. 3,857,969
89,400 ALLIED IRISH BANKS PLC ........... 684,167
37,000 oAMMB HOLDINGS BERHAD ............. 230,150
293,000 ASAHI BANK LTD ................... 2,496,513
51,000 ASHIKAGA BANK LTD ................ 187,189
930,000 ASSA ABLOY AB SERIES B ........... 19,003,162
431 AUSTRALIAN & NEW ZEALAND BANKING
GROUP LTD ....................... 3,196
95,801 BANC ONE CORP .................... 4,640,360
26,100 BANCA COMMERCIALE ITALIANA S.P.A. 54,020
52,000 BANCA POPOLARE DI MILANO ......... 311,416
30,500 BANCO BILBAO VIZCAYA S.A. (REGD) . 2,482,212
17,180 BANCO CENTRALE
HISPANOAMERICANO S.A. ........... 629,588
113,800 BANCO SANTANDER S.A. ............. 3,512,716
9,600 BANK AUSTRIA AG. ................. 532,417
5,000 BANK OF MONTREAL ................. 195,346
15,200 BANK OF NEW YORK CO, INC ......... 661,200
63,304 BANK OF NOVA SCOTIA .............. 2,776,089
694,747 BANK OF TOKYO MITSUBISHI LTD ..... 13,964,206
135,000 BANK OF YOKOHAMA LTD ............. 760,948
92,514 BANKAMERICA CORP ................. 5,972,935
31,188 BANKBOSTON CORP .................. 2,247,485
5,000 BANKERS TRUST NEW YORK CORP ...... 435,000
752 BANQIE DE PARIBAS S.A. ........... 52,003
54,938 BANQUE NATIONALE DE PARIS ........ 2,266,394
187,652 BARCLAYS PLC ..................... 3,722,725
4,200 BAYERISCHE HYPOTHEKEN-UND
WECHSEL-BANK .................... 125,691
60,100 BAYERISCHE VEREINSBANK AG. ....... 2,459,043
33,471 CANADIAN IMPERIAL BANK OF COMMERCE 844,296
133,000 CHIBA BANK LTD ................... 792,679
195,634 CITICORP CO ...................... 23,586,124
29,600 COMERICA, INC .................... 2,012,800
115,000 COMMERCE ASSET HOLDINGS BERHAD ... 302,991
50 COMMERZBANK AG. .................. 1,417
593,340 COMPAGNIE DE SUEZ S.A. ........... 1,460,360
65,400 CORESTATES FINANCIAL CORP ........ 3,515,250
832 CREDIT NATIONAL S.A. ............. 47,318
15,527 CREDIT SUISSE GROUP (REGD) ....... 1,996,921
5,200 CREDITANSTALT-BAVKVEREIN (STAMM) . 303,660
111,600 CREDITO ITALIANO S.P.A. .......... 204,080
2,000 DAI-ICHI KANGO BANK LTD .......... 27,265
52,930 DEUTSCHE BANK AG. ................ 3,095,125
43,000 DEVELOPMENT BANK OF
SINGAPORE LTD (FR) .............. 541,334
92,700 DRESDNER BANK AG. ................ 3,207,740
988 oDRESDNER FIN WTS 04/30/02 ........ 9,043
73,950 FIRST CHICAGO NBD CORP ........... 4,473,975
59,833 FIRST UNION CORP ................. 5,534,552
66,126 FLEET FINANCIAL GROUP, INC ....... 4,182,469
401,000 FUJI BANK LTD .................... 6,027,463
2,000 GENERALE DE BANQUE S.A. .......... 770,503
104,000 GUNMA BANK LTD ................... 936,121
131,200 HANG SENG BANK LTD ............... 1,871,306
97,000 HOKURIKU BANK LTD ................ 333,139
54,977 HSBC HOLDINGS PLC ................ 1,628,668
67,387 HSBC HOLDINGS PLC (HONG KONG) .... 2,026,660
201,186 HSBC HOLDINGS LTD (UNITED KINGDOM) 6,189,403
347,190 INDUSTRIAL BANK OF JAPAN LTD ..... 5,400,686
225,600 INSTITUTO BANCARIO SAN
PAOLO DI TURINO ................. 1,643,568
122,700 ISTITUTO MOBILIARE ITALIANO S.P.A. 1,103,858
115,415 JOYO BANK ........................ 638,451
65,000 KEYCORP .......................... 3,631,875
1,900 KREDIETBANK NV ................... 766,330
819,383 LLOYDS TSB GROUP PLC ............. 8,400,386
126,400 MALAYAN BANKING BERHAD ........... 1,327,101
88,500 MALAYAN BANKING BERHAD (SINGAPORE) 909,883
110,000 oMEDIOBANCA S.P.A. ............... 667,497
87,700 MERITA LTD ....................... 292,096
203,000 MITSUBISHI TRUST & BANKING CORP .. 3,210,970
148,000 MITSUI TRUST & BANKING CO LTD .... 1,118,766
24,430 MORGAN (J.P.) & CO, INC .......... 2,549,881
277,300 NATIONAL AUSTRALIA BANK LTD ...... 3,941,077
5,600 NATIONAL BANK OF CANADA .......... 70,223
134 NATIONAL CITY CORP ............... 7,035
87,546 NATIONSBANK CORP ................. 5,646,717
18,300 NORWEST CORP ..................... 1,029,375
89,781 OVERSEAS-CHINESE BANKING
CORP LTD (FR) ................... 929,332
88,800 PNC BANK CORP .................... 3,696,300
51,000 PUBLIC BANK BERHAD (FR) .......... 79,611
67,300 ROYAL BANK OF CANADA ............. 3,051,331
17,207 ROYAL BANK OF SCOTLAND PLC ....... 160,227
405,000 SAKURA BANK LTD .................. 3,107,501
5,000 SANWA BANK LTD ................... 74,281
94,000 SEVENTY-SEVEN (77) BANK LTD ...... 911,827
109,000 SHIZUOKA BANK LTD ................ 1,247,841
69,900 SKANDINAVISKA ENSKILDA
BANKEN SERIES A ................. 754,830
22,523 SOCIETE GENERALE S.A. ............ 2,516,625
19,700 STATE STREET CORP ................ 911,125
448,000 SUMITOMO BANK LTD ................ 7,360,335
29,500 SVENSKA HANDELSBANKEN SERIES A ... 938,518
11,358 oSWISS BANK CORP (REGD) ........... 3,042,251
5,025 oSWISS BANK CORP (REGD) WTS 06/30/00 48,943
268,000 TOKAI BANK LTD ................... 2,763,621
12,500 UNI BANKDANMARK AS (CLASS A) ..... 703,170
4,169 UNION BANK OF SWITZERLAND (BR) ... 4,775,518
75,000 UNITED OVERSEAS BANK LTD (FR) .... 771,087
709,700 WASHINGTON MUTUAL, INC ........... 42,404,575
5,416 WELLS FARGO & CO ................. 1,459,612
346,100 WESTPAC BANKING CORP ............. 2,066,606
72,600 WING LUNG BANK LTD ............... 462,926
18,000 YAMAGUCHI BANK LTD ............... 270,559
113,000 YASUDA TRUST & BANKING CO LTD .... 432,528
-----------
280,906,130
-----------
BEVERAGES--0.48%
10,100 ALLIED DOMECQ PLC ................ 72,532
71,900 ANHEUSER BUSCH COS, INC .......... 3,015,306
428,932 ARTHUR GUINESS & SONS PLC ........ 4,197,564
70,000 ASAHI BREWERIES LTD .............. 1,046,058
131,030 BASS LTD ......................... 1,598,476
784 oBRAU UND BRUNNEN AG. ............. 62,086
See notes to financial statements.
-34-
<PAGE>
GLOBAL EQUITIES ACCOUNT (CONTINUED)
SHARES VALUE
------ -----
BEVERAGES-(CONTINUED)
24,500 CADBURY SCHWEPPS PLC AUSTRALIA ...... $ 211,454
6,264 COCA COLA CO ........................ 422,820
108,662 COCA-COLA AMATIL LTD ................ 1,400,244
15,500 COTT CORP ........................... 165,156
8,700 oEL AGUILA S.A. ...................... 41,642
12,000 FRASER & NEAVE LTD .................. 85,606
128,162 GRAND METROPOLITAN PLC .............. 1,240,339
8,300 HEINEKEN NV ......................... 1,419,128
204 HOLSTEN BRAUEREI AG. ................ 42,729
110,000 KIRIN BREWERY CO LTD ................ 1,143,935
162,700 LION NATHAN LTD ..................... 411,337
8,530 LVMH MOET HENNESSY LOUIS VUITTON .... 2,295,592
19,600 MOLSON CO LTD (CLASS A) ............. 326,051
1,200 oOSTERREICHISCHE BRAU-
AKTIENGESELLSCHAF .................. 70,956
90 PEPSICO, INC ........................ 3,380
17,636 PERNOD-RICARD S.A. .................. 910,188
16,000 SAPPORO BREWERIES LTD ............... 133,112
177,159 SCOTTISH & NEWCASTLE PLC ............ 1,906,177
51,200 SEAGRAMS CO LTD ..................... 2,059,728
----------
24,281,596
----------
BROADCASTERS--1.79%
196,600 BRITISH SKY BROADCASTING GROUP PLC .. 1,439,686
90 oCANAL PLUS S.A. ..................... 17,537
29,200 oLIBERTY MEDIA GROUP (CLASS A) ....... 693,500
315,800 MEDIASET S.P.A. ..................... 1,339,756
362 PATHE S.A. .......................... 71,894
18,020 oTCI SATELLITE ENTERTAINMENT (CLASS A) 141,907
71,600 oTELE-COMMUNICATIONS, INC (CLASS A) .. 1,065,050
37,000 TOKYO BROADCASTING SYSTEMS, INC ..... 759,856
160 oVIACOM, INC (CLASS B) ............... 4,800
2,557 oVIACOM, INC (CLASS B) WTS 07/07/97 .. 10
1,534 oVIACOM, INC (CLASS B) WTS 07/07/99 .. 1,821
2,661,100 +oWESTWOOD ONE, INC ...................85,820,475
----------
91,356,292
----------
BUSINESS SERVICES--1.76%
574 ADECCO S.A. ......................... 220,566
4,450 ADECCO S.A. (BR) .................... 1,709,307
8,800 oAMERICA ONLINE, INC ................. 489,500
12,100 BLOCK (H&R), INC .................... 390,225
53,800 COGNIZANT CORP ...................... 2,178,900
9,223,000 +CORPORATE SERVICES
GROUP PLC ..........................28,934,446
41,000 DAIWA KOSHO LEASE CO LTD ............ 317,452
22,500 DELUXE CORP ......................... 767,812
10,417 ELECTROCOMPONENTS PLC ............... 77,756
3,100 FLUGHAFEN WIEN AG. .................. 130,967
25,258 GETRONICS NV ........................ 817,310
9,400 HARLAND (JOHN H.) CO ................ 214,437
3,300,000 oHAYS PLC ............................31,360,404
25,700 INTERPUBLIC GROUP OF COS, INC ....... 1,575,731
25,700 MANPOWER, INC ....................... 1,143,650
14,200 MOORE CORP LTD ...................... 279,965
12,000 PITTSTON BRINKS GROUP CO ............ 360,000
3,487,600 RENTOKIL INITIAL PLC ................12,247,310
113,360 REUTERS HOLDINGS PLC ................ 1,194,249
10,628 SAP AG. ............................. 2,134,625
17,000 SECOM CO LTD ........................ 1,249,414
11,100 SERVICE CORP INT'L .................. 364,912
3,800 SOPHUS BERENDSEN AS (CLASS B) ....... 550,169
2,220 SURVEILLANCE S.A. ................... 875,574
2,000 TOKYO DOME CORP ..................... 26,916
5,000 oTRANS COSMOS ........................ 183,082
----------
89,794,679
----------
CHEMICALS--MAJOR--0.88%
13,600 AGA AB SERIES A FREE ................ 184,677
46,200 AGA AB SERIES B FREE ................ 615,410
13,500 AKZO NOBEL NV ....................... 1,853,466
112,800 BASF AG. ............................ 4,171,902
77,040 BAYER AG. ........................... 2,962,940
59,046 BOC GROUP PLC ....................... 1,026,924
7,400 COURTAULDS PLC ...................... 41,627
17,140 DEGUSSA AG. ......................... 907,851
55,002 DOW CHEMICAL CO ..................... 4,792,049
134,038 DU PONT (E.I.) DE NEMOURS & CO ...... 8,427,639
7,600 DYNO INDUSTRIER AS .................. 197,246
2,475 EASTMAN CHEMICAL CO ................. 157,162
80,600 ICI AUSTRALIA LTD ................... 788,031
57,426 IMPERIAL CHEMICAL INDUSTRY PLC ...... 798,521
17,800 ~LAIR LIQUIDE ........................ 2,828,721
1,389 ~LAIR LIQUIDE (REGD) 1996 ............ 220,735
662 ~LAIR LIQUIDE (REGD) 1998 ............ 105,203
532,737 MITSUBISHI CHEMICAL CORP ............ 1,741,190
135,000 MITSUBISHI GAS CHEMICAL CO, INC ..... 552,130
41,300 MONSANTO CO ......................... 1,778,481
1,168,550 oMONTEDISON S.P.A. ................... 770,934
54,000 NIPPON SHOKUBAI KAGAK KOGYO CO LTD .. 429,434
56,400 PPG INDUSTRIES, INC ................. 3,278,250
13,556 RHONE-POULENC S.A. (CLASS A) ........ 554,155
19,500 ROHM & HAAS CO ...................... 1,756,218
2,425 SOLVAY ET CIE S.A. .................. 1,430,020
160,000 SUMITOMO CHEMICAL CO LTD ............ 725,686
29,000 UBE INDUSTRIES LTD .................. 84,392
31,500 UNION CARBIDE CORP .................. 1,482,468
----------
44,663,462
----------
CHEMICALS--SPECIALTY--0.20%
8,500 AGRIUM INC .......................... 97,347
79,000 ASAHI CHEMICAL INDUSTRY CO LTD ...... 472,910
101,000 DAICEL CHEMICAL INDUSTRIES LTD ...... 391,009
129,000 DAINIPPON INK & CHEMICAL, INC ....... 556,901
92,000 DENKI KAGKU KOGYO ................... 254,060
39,100 ENGELHARD CORP ...................... 818,656
95,000 KANEKA CORP ......................... 596,087
89,000 KANSAI PAINT CO LTD ................. 368,663
68,000 KUREHA CHEMICAL INDUSTRY CO LTD ..... 294,154
15,900 LUBRIZOL CORP ....................... 666,806
14,800 MALLINCKRODT, INC ................... 562,400
50,300 oMETHANEX CORP ....................... 466,686
54,900 NOVA CORP ........................... 469,571
12,800 POTASH CORP OF SASKATCHEWAN, INC .... 964,453
13,800 RAYCHEM CORP ........................ 1,026,375
2,572 oRWE-DEA AG FUER MINERAL & CHEMICAL .. 634,660
63,000 SEKISUI CHEMICAL CO LTD ............. 638,646
43,395 SHIN-ETSU CHEMICAL CO LTD ........... 1,152,855
----------
10,432,239
----------
COMMUNICATION EQUIPMENT &
SERVICES--1.85%
83 o360 COMMUNICATIONS CO ............... 1,421
46,520 oAIRTOUCH COMMUNICATIONS, INC ........ 1,273,485
79,300 oASCEND COMMUNICATIONS, INC .......... 3,122,437
262,000 oCISCO SYSTEMS, INC ..................17,586,750
16,900 CORNING, INC ........................ 940,062
700 oDSC COMMUNICATIONS CORP ............. 15,575
121,500 ERICSSON TELEFON (LM) AB SERIES B ... 4,784,641
See notes to financial statements.
-35-
<PAGE>
GLOBAL EQUITIES ACCOUNT (CONTINUED)
SHARES VALUE
------ -----
COMMUNICATION EQUIPMENT &
SERVICES--(CONTINUED)
971,082 oGLOBALSTAR TELECOMMUNICATIONS LTD .$ 29,739,386
12,600 HARRIS CORP ....................... 1,058,400
76,175 LUCENT TECHNOLOGIES, INC .......... 5,489,360
37,600 oNEWBRIDGE NETWORKS CORP ........... 1,613,453
11,000 oNIPPON COMSYS CORP ................ 163,419
14,600 NOKIA AB SERIES K ................. 1,087,787
36,300 NORTHERN TELECOMMUNICATIONS LTD ... 3,274,526
12,900 oQUALCOMM, INC ..................... 656,287
560,500 oSFX BROADCASTING, INC (CLASS A) ... 23,646,093
----------
94,453,082
----------
COMPUTER SERVICE--1.87%
9,300 ADOBE SYSTEMS, INC ................ 326,081
34,400 AUTOMATIC DATA PROCESSING, INC .... 1,616,800
50 oBAY NETWORKS, INC ................. 1,328
12,400 oBMC SOFTWARE, INC ................. 686,650
1,007,050 COMPUTER ASSOCIATES
INTERNATIONAL, INC ............... 56,080,096
27,000 oCREATIVE TECHNOLOGY LTD ........... 464,540
20,400 CSK CORP .......................... 773,716
83,600 ELECTRONIC DATA SYSTEMS CORP ...... 3,427,600
47,700 oEMC CORP .......................... 1,860,300
23,300 FIRST DATA CORP ................... 1,023,743
23,700 HBO & CO .......................... 1,632,337
162,600 oMICROSOFT CORP .................... 20,548,575
88 oNCR CORP .......................... 2,618
115,825 oORACLE CORP ....................... 5,834,684
7,100 oPARAMETRIC TECHNOLOGY CORP ........ 302,193
10,600 oPEOPLESOFT, INC ................... 559,150
----------
95,140,411
----------
CONGLOMERATES--3.57%
14,000 oAGIV AG. .......................... 319,350
145,000 oBERJAYA GROUP BERHAD .............. 178,090
15,600 BRASCAN LTD (CLASS A) ............. 386,155
552,560 BTR PLC ........................... 1,889,830
4,681 oBTR PLC WTS 11/30/97 .............. 214
5,147 oBTR PLC WTS 11/26/98 .............. 214
8,348 GEVAERT PHOTO-PRODUCTION NV ....... 784,862
2,000 GROUPE BRUXELLES LAMBERT S.A. ..... 335,460
90,899 oHANSON PLC ........................ 451,580
388,000 HUTCHINSON WHAMPOA LTD ............ 3,355,485
37,100 ITT INDUSTRIES, INC ............... 955,325
26,400 JOHNSON CONTROLS, INC ............. 1,084,050
2,000 oKEPPEL CORP ....................... 8,882
16,500 oKEPPEL CORP SERIES A .............. 71,548
34,522 oLAGARDERE S.C.A. .................. 1,003,732
14,500 oLITTON INDUSTRIES, INC ............ 700,531
409,700 LOEWS CORP ........................ 41,021,212
2,304 LONRHO PLC ........................ 4,889
533,000 MALAYAN UNITED INDUSTRIES BERHAD .. 388,558
106,000 MALAYSIAN RESOURCES CORP BERHAD ... 291,878
37,100 MELCO INTERNATIONAL
DEVELOPMENT LTD .................. 12,091
45,080 MINNESOTA MINING &
MANUFACTURING CO ................. 4,598,160
256,000 oMULTI-PURPOSE HOLDINGS BERHAD ..... 359,049
311,600 PACIFIC DUNLOP LTD ................ 915,126
8,300 QUEBECOR, INC (CLASS B) ........... 154,015
6,000 oRENONG BERHAD ..................... 7,844
59,600 oROCKWELL INTERNATIONAL CORP ....... 3,516,400
516,200 SIME DARBY BERHAD ................. 1,717,941
43,993 SOUTHCORP HOLDINGS LTD ............ 163,479
278,400 SWIRE PACIFIC LTD (CLASS A) ....... 2,506,468
39,100 TRW, INC .......................... 2,221,368
1,591,980 TYCO INTERNATIONAL LTD 110,742,108
8,346 oU.S. INDUSTRIES, INC .............. 297,326
9,900 UNITED TECHNOLOGIES CORP .......... 821,700
27,700 VIAD CORP ......................... 533,225
89,000 oYTL CORP BERHAD ................... 275,039
-----------
182,073,184
-----------
CONSTRUCTION--MATERIALS
& BUILDERS--0.94%
82,000 oAOKI CONSTRUCTION CO LTD .......... 96,740
12,700 ARMSTRONG WORLD INDUSTRIES, INC ... 931,862
86,462 BARRATT DEVELOPMENTS LTD .......... 353,990
1,190 oBILFINGER & BERGER AG. ............ 48,485
227,800 BLUE CIRCLE INDUSTRIES PLC ........ 1,622,665
338,463 BORAL LTD ......................... 1,057,413
889 oBOUYGUES S.A. ..................... 73,212
11,200 oBPB PLC ........................... 60,487
158,156 CARADON PLC ....................... 530,386
44,635 oCARADON PLC (LTD VTG)
(REGD) SERIES B .................. 73,171
1,600 CBR NV ............................ 146,868
8,900 CENTEX CORP ....................... 361,562
884,500 oCHAMPION ENTERPRISES, INC ......... 13,267,500
155,000 CHICHIBU ONODA CEMENT CORP ........ 608,190
30,000 CHIYODA CORP ...................... 144,455
5,600 CLAYTON HOMES, INC ................ 79,800
50,100 CRH PLC ........................... 523,054
6,000 CSR LTD ........................... 23,060
65,000 DAIWA HOUSE INDUSTRY CO LTD ....... 795,249
300 DYCKERHOFF AG. .................... 108,802
3,700 FOMENTO DE CONSTRUCCIONES Y
CONTRATAS S.A. ................... 472,686
130 FORBO HOLDINGS AG. (REGD) ......... 56,176
600 oFRIEDRICH GROHE AG. VORZUG ........ 185,929
148,000 FUJITA CORP ....................... 258,674
4,632 oGTM ENTREPOSE S.A. ................ 232,034
134,000 oHASEKO CORP ....................... 214,297
81,000 HAZAMA-GUMI LTD ................... 167,054
13,250 HEIDELBERGER ZEMENT AG. ........... 1,254,590
68,800 HEPWORTH PLC ...................... 271,374
30 HOCHTIEF AG. ...................... 1,342
530 HOLDERBANK FINANCIERE
GLARUS AG. (REGD) ................ 501,316
800 HOLLANDSCHE BETON GROEP NV ........ 182,799
5,057 IMETAL S.A. ....................... 670,994
65,000 INAX CORP ......................... 487,374
28,100 oITALCEMENTI S.P.A. ................ 175,141
46,354 JAMES HARDIE INDUSTRIES LTD ....... 147,595
55,000 JGC CONSTRUCTION CORP ............. 379,709
27,000 KAJIMA CORP ....................... 158,324
55,000 KANDENKO CO LTD ................... 519,096
14,548 KINDEN CORP ....................... 205,958
187,000 KUMAGAI GUMI CO LTD ............... 312,130
26,000 KYUNDENKO CO LTD .................. 219,488
1,468 LAFARGE S.A. (BR) ................. 91,390
32,000 MAEDA ROAD CONSTRUCTION CO LTD .... 275,453
69,000 MALAYAN CEMENT BERHAD ............. 115,364
111,500 MARLEY PLC ........................ 231,961
900 MASCO CORP ........................ 37,575
39,791 MEYER INTERNATIONAL PLC ........... 279,465
51,000 MISAWA HOMES CO LTD ............... 311,982
1,146 oMORRISON KNUDSEN
CORP WTS 03/11/03 ................ 7,162
1,770 oNEW WORLD INFRASTUCTURE LTD ....... 5,003
90,000 NIHON CEMENT CO LTD ............... 431,007
45,000 OBAYASHI CORP ..................... 301,626
See notes to financial statements.
-36-
<PAGE>
GLOBAL EQUITIES ACCOUNT (CONTINUED)
SHARES VALUE
------ -----
CONSTRUCTION--MATERIALS
& BUILDERS--(CONTINUED)
70,000 OKUMURA CORP ...................... $ 371,320
8,700 OWENS CORNING CO .................. 375,187
104,600 PIONEER INTERNATIONAL LTD ......... 401,235
2,300 PORTLAND VALDERRIVAS S.A. ......... 188,277
6,300 PULTE CORP ........................ 217,743
29,458 REDLAND PLC ....................... 166,936
72,618 RMC GROUP PLC ..................... 1,178,971
201,870 RUGBY GROUP PLC ................... 406,526
70,000 SANKYO ALUMINIUM
INDUSTRY CO LTD .................. 226,340
50,000 oSATO KOGYO ........................ 104,868
28,629 oSCHNEIDER S.A. .................... 1,525,321
164,000 SEKISUI HOUSE LTD ................. 1,662,507
54,000 SHERWIN-WILLIAMS CO ............... 1,667,250
102,000 SHIMIZU CORP ...................... 612,376
680 SIKA FINANZ AG. (BR) .............. 213,622
2,900 SIMON DEBARTOLO GROUP, INC ........ 92,800
29,700 SKANSKA AB SERIES B FREE .......... 1,313,615
2,313 ST. GOBAIN S.A. ................... 337,633
144,000 SUMITOMO OSAKA CEMENT CO LTD ...... 453,029
284,000 TAISEI CORP ....................... 1,317,876
296,465 TARMAC PLC ........................ 616,758
123,373 TAYLOR WOODROW PLC ................ 363,433
6,000 TOSTEM CORP ....................... 166,215
22,700 TOTO LTD .......................... 279,709
48,000 TOYO ENGINEERING CO ............... 216,447
9,000 TOYO EXTERIOR CORP ................ 123,482
100,000 oUNITED ENGINEERING BERHAD ......... 721,078
14,220 oURALITA S.A. ...................... 159,041
9,300 VULCAN MATERIALS CO ............... 730,050
900 WIENERBERGER BAUSTOFF AG. ......... 184,902
74,873 WILSON (CONNOLLY) HOLDINGS PLC .... 200,000
152,700 WOLSELEY PLC ...................... 1,190,639
----------
47,854,205
----------
CONTAINERS--0.03%
10,200 CCL INDUSTRIES, INC (CLASS B) ..... 126,058
25,700 CROWN CORK & SEAL CO, INC ......... 1,373,343
----------
1,499,401
----------
COSMETICS--0.25%
27,300 AVON PRODUCTS, INC ................ 1,926,356
79,900 GILLETTE CO ....................... 7,570,525
2,200 INTERNATIONAL FLAVORS &
FRAGRANCES, INC .................. 111,100
5,820 oLOREAL S.A. ....................... 2,454,495
57,000 SHISEIDO & CO LTD ................. 941,452
----------
13,003,928
----------
ELECTRICAL EQUIPMENT--4.17%
142,000 ABB AB SERIES B ................... 1,983,343
32,940 ABB ASEA BROWN BOVERI LTD (BR) .... 49,933,047
10,200 ADVANTEST CORP .................... 784,412
19,887 ALCATEL ALSTHOM CIE GEN ........... 2,493,076
109,000 ~oAMCOL HOLDINGS LTD (SINGAPORE) .... 199,734
17,200 oAMERICAN POWER CONVERSION CORP .... 326,800
436 BICC LTD .......................... 1,280
56,360 DELTA PLC ......................... 259,356
270,000 FUJITSU LTD ....................... 3,751,652
461,328 GENERAL ELECTRIC CO ............... 30,159,318
229,081 oGENERAL ELECTRIC CO
(UNITED KINGDOM) ................. 1,368,721
13,900 GENERAL SIGNAL CORP ............... 606,387
536,000 HITACHI LTD ....................... 5,995,653
191,000 MITSUBISHI ELECTRIC CORP .......... 1,069,924
183,000 NIPPON ELECTRIC CORP .............. 2,558,779
69,100 PHILIPS ELECTRONICS NV ............ 4,958,634
624,000 PHILIPS ELECTRONICS NV (NY REGD) .. 44,850,000
79,940 SIEMENS AG. ....................... 4,750,249
72,000 SUMITOMO ELECTRIC INDUSTRIES CO ... 1,208,079
19,700 TOKYO ELECTRON CO LTD ............. 943,427
2,356,100 WESTINGHOUSE ELECTRIC CORP ........ 54,484,812
-----------
212,686,683
-----------
ELECTRICAL EQUIPMENT--
COMPONENTS DIVERSIFIED--5.29%
21,200 AMP, INC .......................... 885,100
4,800 AVNET, INC ........................ 276,000
2,300 BARCO INDUSTRIES NV ............... 466,390
3,000 HOYA CORP ......................... 133,706
587,974 INTEL CORP ........................ 83,382,062
18,000 oINTER-CITY PRODUCTS CORP .......... 97,854
113,000 oJOHNSON ELECTRIC HOLDINGS LTD ..... 336,929
99,420 KEYENCE CORP ...................... 14,770,133
26,000 KYOCERA CORP ...................... 2,067,647
5,550 LEGRAND S.A. ...................... 978,412
628,300 LINEAR TECHNOLOGY CO .............. 32,514,525
910,700 oMICRON TECHNOLOGY, INC ............ 36,371,081
15,000 MINEBEA CO LTD .................... 159,923
56,174 MOTOROLA, INC ..................... 4,269,224
39,200 MURATA MANUFACTURING CO LTD ....... 1,562,113
42,000 NGK SPARK PLUG CO LTD ............. 458,797
44,000 NITTO DENKO CORP .................. 857,470
41,000 OMRON CORP ........................ 870,666
7,430 OXFORD INSTRUMENTS GROUP PLC ...... 43,712
20,700 ROHM CO ........................... 2,134,588
613,600 SGL CARBON AG. .................... 84,085,641
136,000 SINGAPORE TECHNOLOGIES IND ........ 350,035
31,000 TAIYO YUDEN CO LTD ................ 512,018
24,900 TEXAS INSTRUMENTS, INC ............ 2,093,156
-----------
269,677,182
-----------
ELECTRICAL EQUIPMENT--
INSTRUMENTS--0.23%
56,000 ALPS ELECTRIC CO LTD .............. 783,014
38,800 oAPPLIED MATERIALS, INC ............ 2,747,525
6,000 ASAHI OPTICAL CO LTD .............. 24,486
109,000 CANON, INC ........................ 2,971,959
96,000 KONICA CORP ....................... 613,268
8,000 NIKON CORP ........................ 134,930
39,000 OLYMPUS OPTICAL CO LTD ............ 351,045
7,200 PERKIN-ELMER CORP ................. 572,850
2,000 RICOH CO LTD ...................... 26,217
4,000 SEIKO CORP ........................ 28,978
10,400 TEKTRONIX, INC .................... 624,000
147,000 TOPPAN PRINTING CO LTD ............ 2,312,339
8,600 VARIAN ASSOCIATES, INC ............ 466,550
2,000 YAMAHA CORP ....................... 36,703
-----------
11,693,864
-----------
ENVIRONMENTAL CONTROL--1.46%
28,000 BROWNING FERRIS INDUSTRIES, INC ... 931,000
1,100 OGDEN CORP ........................ 23,925
1,835,600 oU.S.A. WASTE SERVICES, INC ........ 70,900,050
75,652 WASTE MANAGEMENT, INC ............. 2,430,320
-----------
74,285,295
-----------
See notes to financial statements.
-37-
<PAGE>
GLOBAL EQUITIES ACCOUNT (CONTINUED)
SHARES VALUE
------ -----
FINANCIAL--MISCELLANEOUS--1.29%
20,000 ACOM CO LTD ....................... $ 964,785
40,000 AMERICAN EXPRESS CO ............... 2,980,000
2,100 BEACON PROPERTIES CORP ............ 70,087
3,500 CASE CORP ......................... 241,062
28,100 oCATELLUS DEVELOPMENT CORP ......... 509,312
641 COMPAGNIE BANCAIRE S.A. ........... 81,885
189 COUNTRYWIDE CREDIT INDUSTRIES, INC 5,894
2,944 CPR-COMPAGNIE PARISIENNE
DE REESCOMPTE .................... 213,667
43,185 CREDIT SAISON CO LTD .............. 1,056,702
179,000 DAIWA SECURITIES CO LTD ........... 1,414,110
3,800 EQUITY RESIDENTIAL PROPERTIES
TRUST CO ......................... 180,500
400 oEURAFRANCE S.A. ................... 164,197
165,988 FEDERAL NATIONAL MORTGAGE
ASSOCIATION ...................... 7,241,226
17,000 GOLDEN WEST FINANCIAL CORP ........ 1,190,000
37 GREAT WESTERN FINANCIAL CORP ...... 1,988
19,900 H.F. AHMANSON & CO ................ 855,700
25,501 HOUSEHOLD INTERNATIONAL, INC ...... 2,994,773
261,000 oMBF CAPITAL BERHAD ................ 479,810
38,500 MBNA CORP ......................... 1,410,062
275 MERCURY ASSETS MANAGEMENT
GROUP PLC ........................ 5,634
49,100 MERRILL LYNCH & CO, INC ........... 2,927,587
29,000 NIPPON SHINPAN CO LTD ............. 104,920
303,000 NOMURA SECURITIES CO LTD .......... 4,183,708
9,000 ORIX CORP ......................... 667,746
28,700 PAINE WEBBER GROUP INC ............ 1,004,500
72,551 PROVIDENT FINANCIAL PLC ........... 672,558
11,600 SALOMON, INC ...................... 645,250
29,591 SCHROEDERS LTD .................... 808,164
18,800 SCHWAB (CHARLES) CORP ............. 764,925
104,000 oSHOKOH FUND & CO .................. 31,537,303
114,000 oTA ENTERPRISE BERHAD .............. 121,497
32,982 WOODCHESTER INVESTMENTS PLC ....... 144,303
64,000 YAMAICHI SECURITIES CO LTD ........ 190,719
----------
65,834,574
----------
FOODS--1.13%
80,000 AJINOMOTO CO LTD ................... 859,917
157,086 ARCHER DANIELS MIDLAND CO .......... 3,691,521
160,000 ARIAKE JAPAN CO LTD ................ 6,124,291
120,940 ASSOCIATED BRITISH FOODS PLC ....... 1,043,639
84 AULT FOODS LTD ..................... 2,067
283,313 CADBURY SCHWEPPES LTD .............. 2,524,977
24,700 CAMPBELL SOUP CO ................... 1,235,000
43,400 CONAGRA, INC ....................... 2,783,025
6,300 CULTOR OY SERIES 2 ................. 331,118
18,400 oDANISCO AS ......................... 1,126,640
14,971 DANONE GROUP ....................... 2,476,045
15,500 EBRO CIA AZUC ALCO ................. 302,980
8,138 oERIDANIA BEGHIN-SAY S.A. ........... 1,219,800
38,500 EZAKI GLICO CO LTD ................. 346,545
13,834 oFINANZIARIA AUTOGRILL S.P.A. ....... 23,142
14,400 GENERAL MILLS, INC ................. 937,800
17,400 GREENCORE GROUP PLC ................ 85,316
48,550 HEINZ (H.J.) CO .................... 2,239,368
31,000 HOUSE FOODS CORP ................... 549,945
50,000 ITOHAM FOODS, INC .................. 276,152
17,000 KATOKICHI CO LTD ................... 303,068
15,300 KERRY GROUP CLASS A ................ 147,731
50,000 oKIKKOMAN CORP ...................... 329,897
90,000 MEIJI SEIKA KAISHA LTD ............. 495,501
2,000 NESTLE MALAYSIA BERHAD ............. 14,976
5,899 NESTLE S.A. (REGD) ................. 7,793,039
44,000 NIPPON MEAT PACKERS, INC ........... 569,083
93,000 oNIPPON SUISAN KAISHA LTD ........... 316,150
13,000 NISSIN FOOD PRODUCTS CO LTD ........ 338,548
2,400 ORKLA AS SERIES A .................. 177,357
215,900 oPARMALAT FINANZIARIA S.P.A. ........ 305,312
550 oPECHINEY S.A. ...................... 21,687
22,100 PIONEER-HI-BRED INTERNATIONAL, INC . 1,768,000
21,000 PRIMA LTD .......................... 71,380
23,700 oPROVIGO, INC ....................... 134,854
38,000 oQ.P. CORP .......................... 338,723
26,100 QUAKER OATS CO ..................... 1,171,237
32,556 RALSTON PURINA CO .................. 2,675,696
35,500 SARA LEE CORP ...................... 1,477,687
102,000 SNOW BRAND MILK PRODUCTS CO ........ 525,913
75,900 UNIGATE PLC ........................ 610,758
167,613 UNILEVER LTD ....................... 4,802,267
20,400 UNILEVER NV CERTIFICATES ........... 4,302,186
166,306 UNITED BISCUITS HOLDINGS PLC ....... 566,021
4,900 VISCOFAN S.A. ...................... 114,770
----------
57,551,129
----------
FOREST PRODUCTS--0.18%
244,669 ARJO WIGGINS APPLETON PLC .......... 716,676
19,300 AVENOR, INC ........................ 374,920
9,400 BOISE CASCADE CORP ................. 331,937
489,200 CARTER HOLT HARVEY LTD ............. 1,263,318
19,600 CHAMPION INTERNATIONAL CORP ........ 1,082,900
16,600 DOMTAR, INC ........................ 146,796
5,900 EMPRESA NATIONAL DE CELULOSAS S.A. . 104,296
31,200 FLETCHER CHALLENGE LTD
(ENERGY DIVISION) ................. 94,105
214,916 FLETCHER CHALLENGE LTD
(FOREST DIVISION) ................. 311,733
200 GEORGIA-PACIFIC CORP ............... 17,075
10,500 oINTERNATIONAL FOREST PRODUCTS LTD .. 72,303
17,000 JAYA TIASA HOLDINGS BERHAD ......... 85,538
146,331 JEFFERSON SMURFIT GROUP PLC ........ 423,877
34,100 LOUISIANA PACIFIC CORP ............. 720,362
1,600 oMAYR MELNHOF KARTO ................. 82,211
1,670 PAPIERWERKE WALDHOF-
ASCHAFFENBURG AG. ................. 285,584
55,600 oREPAP ENTERPRISES, INC. ............ 22,568
91,666 REXAM PLC .......................... 386,738
16,800 oSARRIO CIA PAPELERA DE LEIZA S.A. .. 66,249
21,100 SCA AB SERIES B .................... 442,062
9,600 STORA KOPPARBERG BERGSLAGS
SERIES A FREE ..................... 155,191
75,100 STORA KOPPARBERG BERGSLAGS
SERIES B FREE ..................... 1,223,760
36,400 oUPM-KYMMENE OY ..................... 840,936
1,700 WILLAMETTE INDUSTRIES, INC ......... 119,000
----------
9,370,135
----------
HEALTHCARE--DRUGS--5.75%
107,964 AMERICAN HOME PRODUCTS CORP ........ 8,259,246
676,700 oAMGEN, INC ......................... 39,333,187
26,133 ASTRA AB SERIES A FREE ............. 486,673
220,533 ASTRA AB SERIES B FREE ............. 3,893,068
163,326 BRISTOL MYERS SQUIBB CO ............ 13,229,406
67,000 CHUGAI PHARMACEUTICAL CO LTD ....... 603,078
74,000 DAIICHI PHARMACEUTICAL CO LTD ...... 1,306,305
14,000 EISAI CO LTD ....................... 265,490
16,900 ELF SANOFI S.A. .................... 1,658,050
419,219 GLAXO WELLCOME PLC ................. 8,651,556
See notes to financial statements.
-38-
<PAGE>
GLOBAL EQUITIES ACCOUNT (CONTINUED)
SHARES VALUE
------ -----
HEALTHCARE--DRUGS--(CONTINUED)
23,000 KAKEN PHARMACEUTICAL CO LTD ...... $ 118,387
600 KISSEI PHARMACEUTICALS CO LTD .... 13,213
32,000 KYOWA HAKKO KOGYO ................ 239,937
59,162 LILLY (ELI) & CO ................. 6,467,146
170,782 MERCK & CO, INC .................. 17,675,937
32,730 MERCK KGAA ....................... 1,445,296
200 MOCHIDA PHARMACEUTICAL CO LTD .... 1,835
86,227 oNOVARTIS AG. (REGD) .............. 138,043,616
10,300 NOVO NORDISK AS (CLASS B) ........ 1,124,650
35,300 oNYCOMED AS SERIES B .............. 506,296
73,162 PFIZER, INC ...................... 8,742,859
1,250 oRHONE-POULENC RORER INC-CTF SICO . 113,268
50 ROCHE HOLDINGS AG. (BR) .......... 687,632
1,248 ROCHE HOLDINGS AG. (GENUSSCHEINE) 11,303,818
41,100 SANKYO CO LTD .................... 1,382,815
7,300 SCHERING AG. ..................... 780,646
142,600 SCHERING-PLOUGH CORP ............. 6,826,975
111,000 SHIONOGI & CO LTD ................ 861,385
311,921 SMITHKLINE BEECHAM/BECKMAN LTD ... 5,738,983
22,100 TAISHO PHARMACEUTICAL CO LTD ..... 596,777
125,000 TAKEDA CHEMICAL INDUSTRIES LTD ... 3,517,447
19,200 WARNER-LAMBERT CO ................ 2,385,600
67,000 YAMANOUCHI PHARMACEUTICAL CO LTD . 1,803,380
146,416 ZENECA GROUP PLC ................. 4,839,487
-----------
292,903,444
-----------
HEALTHCARE--HOSPITAL SUPPLY--0.22%
5,200 INSTRUMENTARIUM GROUP
SERIES B FREE ................... 194,216
173,138 JOHNSON & JOHNSON CO ............. 11,145,758
-----------
11,339,974
-----------
HEALTHCARE--OTHER--0.16%
99,833 ABBOTT LABORATORIES CO ........... 6,663,852
2,100 BAXTER INTERNATIONAL, INC ........ 109,725
22,100 BECTON DICKINSON & CO ............ 1,118,812
463 oESSILOR INTERNATIONAL ............ 124,996
87 oQUEST DIAGNOSTICS, INC ........... 1,788
-----------
8,019,173
-----------
HEALTHCARE--SERVICE--2.14%
1,200,333 +oADAC LABORATORIES, INC ........... 28,357,867
685,343 AETNA, INC ....................... 70,161,989
118,200 COLUMBIA/HCA HEALTHCARE CORP ..... 4,646,737
75 oCOVANCE, INC ..................... 1,448
8,000 oEXTENDICARE INC (SUB-VTG)(CLASS A) 118,295
57,800 oHEALTHSOUTH CORP ................. 1,441,387
51,200 oHUMANA, INC ...................... 1,184,000
19,700 MANOR CARE, INC .................. 642,712
8,300 MDS INC, (CLASS B) ............... 181,690
6,917 oMEDPARTNERS, INC ................. 149,580
17,500 oOXFORD HEALTH PLANS, INC ......... 1,255,625
3,800 oPACIFICARE HEALTH SYSTEMS, INC
(CLASS A) ....................... 230,137
1,200 oPACIFICARE HEALTH SYSTEMS, INC
(CLASS B) ....................... 76,650
16,200 UNITED HEALTHCARE CORP ........... 842,400
-----------
109,290,517
-----------
HOUSEHOLD--CONSUMER
ELECTRONICS--0.31%
3,100 oBANG & OLUFSEN HOLDING A/S (CLASS B) 191,684
89,000 CASIO COMPUTER CO LTD ............. 775,437
333,000 MATSUSHITA ELECTRIC
INDUSTRIAL CO LTD ................ 6,722,300
38,000 PIONEER ELECTRONIC CORP ........... 923,187
344,000 SANYO ELECTRIC CO LTD ............. 1,545,195
100,000 SHARP CORP ........................ 1,380,762
45,200 SONY CORP ......................... 3,946,077
12,000 UNIDEN CORP ....................... 177,226
18,100 oZENITH ELECTRONICS CORP ........... 213,806
-----------
15,875,674
-----------
HOUSEHOLD--DURABLE GOODS--0.12%
29,400 BLACK & DECKER CORP ............... 1,093,312
94,000 CITIZEN WATCH CO LTD .............. 726,175
5,700 ELECTROLUX AB SERIES B ............ 411,334
83,133 EMAIL LTD ......................... 295,222
30,500 MAYTAG CO ......................... 796,812
50,100 NEWELL COS, INC ................... 1,985,212
35,500 SHAW INDUSTRIES, INC .............. 377,187
33,000 TAKARA STANDARD CO ................ 288,387
1,000 WHIRLPOOL CORP .................... 54,562
-----------
6,028,203
-----------
HOUSEHOLD--PRODUCTS--0.45%
24,800 AMSTRAD PLC ....................... 117,632
8,596 BIC S.A. .......................... 1,407,046
30,000 DIAL CORP ......................... 468,750
128,000 KAO CORP .......................... 1,778,561
106,500 KIMBERLY-CLARK CORP ............... 5,298,375
58,000 LION CORP ......................... 265,595
86,000 PROCTER & GAMBLE CO ............... 12,147,500
12,500 RUBBERMAID, INC ................... 371,875
3,550 SMH AG. (REGD) .................... 481,523
4,000 TAMBRANDS, INC .................... 199,500
12,000 UNI CHARM CORP .................... 427,861
108,500 WATERFORD WEDGWOOD PLC (UNITS) .... 141,595
-----------
23,105,813
----------
INSURANCE--BROKERS &
OTHER--0.45%
291,000 oACE LTD ........................... 21,497,625
13,400 MBIA, INC ......................... 1,511,687
----------
23,009,312
----------
INSURANCE--LIFE--0.22%
700 AEGON NV .......................... 48,946
12,511 oAEGON NV ARS ...................... 876,551
43,600 AON CORP .......................... 2,256,300
28,900 IRISH LIFE ........................ 148,244
11,600 JEFFERSON-PILOT CORP .............. 810,550
64,735 LEGAL & GENERAL GROUP PLC ......... 436,879
100 LIBERTY CORP ...................... 4,075
12,600 oPROVIDIAN FINANCIAL CORP .......... 404,775
377,427 PRUDENTIAL CORP PLC ............... 3,652,702
19,400 SUNAMERICA, INC ................... 945,750
20,500 TORCHMARK CORP .................... 1,460,625
200 UNUM CORP ......................... 8,400
-----------
11,053,797
-----------
INSURANCE--MULTI-LINE,
PROPERTY & CASUALTY--2.94%
310 oAACHENER & MUNCHENER BETEIL (BR) . 272,357
835 oAACHENER & MUNCHENER
BETEIL (REGD) ................... 737,920
27 oALLEANZA ASSICURAZIONI (S/S) NON CV 136
31,590 oALLIANZ AG. (REGD) ............... 6,616,749
199,468 ALLSTATE CORP .................... 14,561,164
78,887 AMERICAN INTERNATIONAL GROUP, INC 11,783,745
173,122 oASSICURAZIONI GENERALI S.P.A. .... 3,145,488
9,200 ASSUR STAD ROTTERDAM NV .......... 421,190
1,051,560 AXA UAP .......................... 65,465,130
21,000 CIGNA CORP ....................... 3,727,500
See notes to financial statements.
-39-
<PAGE>
GLOBAL EQUITIES ACCOUNT (CONTINUED)
SHARES VALUE
------ -----
INSURANCE--MULTI-LINE
PROPERTY & CASUALTY--(CONTINUED)
7,300 COLONIA KONZERN AG. (REGD) ....... $ 674,451
198,299 COMMERICAL UNION ASSURANCE CO LTD 2,084,133
900 EA-GENERALI AG. .................. 236,725
832 oFORTIS AG NPV (STRIP VVPR) ....... 185
5,295 FORTIS AG. ....................... 1,094,332
18,700 GENERAL REINSURANCE CORP ......... 3,403,400
150,540 GUARDIAN ROYAL EXCHANGE
ASSURANCE PLC ................... 676,468
35,000 HARTFORD FINANCIAL SERVICES
GROUP, INC ...................... 2,896,250
96,075 ING GROEP NV ..................... 4,437,697
198,900 oINSTITUTO NAZIONALE DELLE
ASSICURAZION .................... 302,908
157,000 MITSUI TAISHO MARINE & FIRE CO LTD 1,136,035
703 oMUNCHENER RUECKVERSICHERUNGS-
GESELLSCHAFT (REGD) (P/P) ........ 1,972,724
115 oMUNCHENER RUECKVERSICHERUNGS-
GESELLSCHAFT (REGD) (P/P)
WTS 03/13/98 .................... 40,585
106,000 NIPPON FIRE & MARINE INSURANCE
CO LTD .......................... 572,474
29,700 RAS S.P.A. ....................... 234,885
377,289 ROYAL & SUN ALLIANCE INSURANCE
GRP PLC ......................... 2,781,694
2,000 ROYALE BELGE VIE ACCIDENTS ....... 581,354
1,300 SAMPO INSURANCE CO SERIES A ...... 126,390
3,150 oSCHWEIZERISCHE
RUCKVERSICHERUNG (REGD) ......... 4,461,725
172,000 SEDGWICK GROUP LTD ............... 354,961
12,700 SKANDIA FORSAKRINGS AB ........... 468,095
6,400 ST. PAUL COS, INC ................ 488,000
152,000 SUMITOMO MARINE & FIRE
INSURANCE CO .................... 1,248,628
181,000 TOKIO MARINE & FIRE
INSURANCE CO LTD ................ 2,372,638
20,900 TRANSAMERICA CORP ................ 1,955,456
107,758 TRAVELERS GROUP, INC ............. 6,795,488
5,100 USF&G CORP ....................... 122,400
109,300 WILLIS CORROON GROUP PLC ......... 235,570
3,213 ZURICH INSURANCE CO (REGD) ....... 1,280,439
-----------
149,767,469
-----------
LEISURE TIME--3.35%
30,900 BRUNSWICK CORP ................... 965,625
17,700 CALLAWAY GOLF CO ................. 628,350
3,715,800 CARNIVAL CORP (CLASS A) .......... 153,276,750
113,521 DISNEY (WALT) CO ................. 9,110,060
403 EMI GROUP PLC .................... 7,226
8,000 GENTING BERHAD ................... 38,351
129,371 GRANADA GROUP LTD (CLASS A) ...... 1,700,966
26,150 oHARRAHS ENTERTAINMENT, INC ....... 470,700
33,300 INTERNATIONAL GAME TECHNOLOGY CO . 591,075
358,372 LADBROKE GROUP PLC ............... 1,401,630
401,500 MAGNUM CORP BERHAD ............... 604,477
14,500 MATTEL, INC ...................... 491,187
4,000 NAMCO LTD ........................ 154,505
1,150 oSALOMON S.A. ..................... 87,773
136,102 THORN PLC ........................ 389,605
25,000 TOEI CO .......................... 171,502
5,000 TOHO CO LTD ...................... 825,835
1,700 WINNEBAGO INDUSTRIES, INC ........ 12,218
-----------
170,927,835
-----------
MACHINERY--3.32%
91,000 AMADA CO LTD ..................... 803,201
744,000 oASM LITHOGRAPHY HOLDINGS NV ...... 43,099,035
48,500 ATLAS COPCO AB SERIES B FREE ..... 1,267,006
265,300 AUSTRALIAN NATIONAL INDUSTRIES LTD 321,995
43,500 BOMBARDIER, INC (CLASS B) ........ 986,916
18,530 xoBREMER VULKAN AG. ................ 51,040
83,000 BROTHERS INDUSTRIES LTD .......... 358,316
44,300 CATERPILLAR, INC ................. 4,756,712
1,000 CINCINNATI MILACRON, INC ......... 25,937
10,136 COOPER INDUSTRIES, INC ........... 504,266
32,000 DAIKIN INDUSTRIES LTD ............ 290,833
71,800 DEERE & CO ....................... 3,940,025
16,600 oDEUTZ AG ......................... 158,131
16,920 FAG KUGELFISCHER (GEORG)
SCHAEFER AG. .................... 315,077
38,200 FANUC LTD ........................ 1,468,851
241 FISCHER (GEORGE) LTD (BR) ........ 335,571
21 FISCHER (GEORGE) LTD (REGD) ...... 5,761
193,744 FKI PLC .......................... 548,161
12,500 FLS INDUSTRIES AS (CLASS B) ...... 424,164
400 oFMC CORP ......................... 31,775
86,590 IMI PLC .......................... 494,303
653 oINDUSTRIE-WERKE KARLSRUHE
AUGSBURG AG. .................... 189,986
17,500 INGERSOLL-RAND CO ................ 1,080,625
90,000 KAWASAKI HEAVY INDUSTRIES, LTD ... 419,209
198,000 KOMATSU LTD ...................... 1,609,199
24,000 KOMORI CORP ...................... 570,481
1,700 KONE CORP SERIES B ............... 202,918
58,000 KOYO SEIKO CO LTD ................ 464,285
169,000 KUBOTA CORP ...................... 828,535
13,000 KVAERNER INDUSTRIER AS SERIES A .. 787,550
2,420 LINDE AG. ........................ 1,853,953
11,000 MAGNA INTERNATIONAL, INC ......... 661,786
51,000 MAKITA CORP ...................... 748,757
1,495 oMAN AG. (STAMM) .................. 460,699
2,939 MANNESMANN AG. ................... 1,310,457
51,500 oMETAL MANUFACTURES LTD ........... 127,326
480,000 MITSUBISHI HEAVY INDUSTRIES LTD .. 3,687,158
27,000 MORI SEIKI CO LTD ................ 434,153
105,000 oNIIGATA ENGINEERING CO LTD ....... 192,694
119,000 NSK LTD .......................... 766,436
146,000 NTN TOYO BEARING CO LTD .......... 817,848
6,000 OKUMA CORP ....................... 52,958
23,500 PARKER-HANNIFIN CORP ............. 1,426,156
1,013 oRAUMA OY ......................... 23,207
18,000 SANDEN CORP ...................... 151,009
410 SCHINDLER HOLDINGS LTD (REGD) .... 527,299
2,100 SIDEL S.A. ....................... 162,749
2,110,800 +STORK NV ......................... 86,185,821
1,090 SULZER WINTERTHUR AG. (REGD) ..... 934,563
147,000 SUMITOMO HEAVY INDUSTRIES LTD .... 594,785
8,000 TAKUMA CO LTD .................... 109,062
47,700 TI GROUP PLC ..................... 415,591
30,000 TOYOTA AUTOMATIC LOOM WORKS LTD .. 681,642
100 TRINITY INDUSTRIES, INC .......... 3,175
5,000 oTSUGAMI CORP ..................... 14,943
11,600 UNITED DOMINION INDUSTRIES LTD ... 285,039
1,900 VA TECHNOLOGIE AG. (BR) .......... 347,773
300 VICKERS PLC ...................... 1,026
-----------
169,317,929
-----------
See notes to financial statements.
-40-
<PAGE>
GLOBAL EQUITIES ACCOUNT (CONTINUED)
SHARES VALUE
------ -----
METALS--ALUMINUM--0.12%
27,400 ALCAN ALUMINIUM CO LTD ............. $ 935,445
3,900 ALCAN ALUMINIUM CO LTD (U.S.) ...... 135,281
36,100 ALUMINUM CO OF AMERICA ............. 2,721,037
1,130 ALUSUISSE LONZA HOLDINGS AG. (BR) .. 1,158,755
2,850 oGRANGES ............................ 37,779
59,600 TOYO SEIKAN KAISHA LTD ............. 1,322,944
-----------
6,311,241
-----------
METALS--GOLD--1.33%
25,400 BARRICK GOLD CORP .................. 553,254
55,700 BARRICK GOLD CORP (U.S.) ........... 1,225,400
22,800 ECHO BAY MINES LTD ................. 127,254
958,900 oEUOR-NEVADA MINING CORP ............ 29,539,911
650,400 oFRANCO-NEVADA MINING CORP LTD ...... 32,647,298
4,500 FREEPORT-MCMORAN COPPER &
GOLD, INC (CLASS A) ............... 131,625
12,500 FREEPORT-MCMORAN COPPER &
GOLD, INC (CLASS B) ............... 389,062
69,400 GREAT CENTRAL MINES LTD ............ 131,130
45,200 NEWMONT MINING CORP ................ 1,762,800
428,288 NORMANDY MINING LTD ................ 478,101
30,000 PLACER DOME, INC ................... 487,097
27,800 SONS OF GWALIA NL .................. 102,680
-----------
67,575,612
-----------
METALS--NON-FERROUS--0.27%
25,500 ABERFOYLE LTD ...................... 70,687
14,700 COMINCO LTD ........................ 391,581
88,000 FUJIKURA LTD ....................... 822,864
188,000 FURUKAWA ELECTRIC CO LTD ........... 1,197,697
5,381 INCO LTD ........................... 160,891
20,000 INCO LTD (U.S.) .................... 601,250
18,350 JOHNSON MATTHEY PLC ................ 176,826
360,850 MIM HOLDINGS LTD ................... 529,883
261,000 MITSUBISHI MATERIALS CORP .......... 1,044,642
169,000 NIPPON LIGHT METAL CO LTD .......... 615,863
27,500 NORANDA, INC ....................... 593,016
199,444 NORTH LTD .......................... 754,588
34,500 OUTOKUMPU OY SERIES A .............. 684,126
18,200 PHELPS DODGE CORP .................. 1,550,412
66,520 RGC LTD ............................ 241,708
8,200 RIO ALGOM LTD ...................... 200,304
71,900 RIO TINTO LTD ...................... 1,216,327
36,050 RIO TINTO PLC (BR) ................. 629,979
34,910 RIO TINTO PLC (REGD) ............... 608,023
95,300 STRAITS TRADING CO ................. 207,956
31,000 SUMITOMO METAL MINING CO LTD ....... 219,436
16,200 TECK CORP LTD (CLASS B) ............ 328,203
5,800 TRELLEBORG AB SERIES B FREE ........ 95,261
6,300 oUNION MINIERE GROUP S.A. ........... 590,561
-----------
13,532,084
-----------
METALS--STEEL--1.38%
2,900 ACERINOX S.A. ...................... 544,389
55,400 ALLEGHENY TELEDYNE, INC ............ 1,495,800
408,000 AMSTEEL CORP BERHAD ................ 311,981
1,100 oBETHLEHEM STEEL CORP ............... 11,481
1,600 BOHLER-UDDEHOLM AG.(BR) ............ 124,100
133,000 DAIDO STEEL CO LTD ................. 430,046
9,100 DOFASCO, INC ....................... 172,488
8,900 HOOGOVENS NEN STAALIADRIEREN NV .... 496,942
72,000 oJAPAN STEEL WORKS LTD .............. 140,313
354,000 KAWASAKI STEEL CORP ................ 1,153,915
48,000 oKOBE STEEL LTD ..................... 91,864
861,000 NIPPON STEEL CORP .................. 2,753,886
506,000 NKK CORP ........................... 1,087,795
20,100 NUCOR CORP ......................... 1,135,650
2,513 PREUSSAG AKTIEGESELLSCHAFT AG. ..... 736,190
10,800 oSTELCO, INC (CLASS A) .............. 80,632
656,000 SUMITOMO METAL INDUSTRIES LTD ...... 1,868,887
2,740,500 SVENSKT STAL AB SERIES A ........... 55,998,028
1,884 THYSSEN AG. ........................ 446,511
9,000 TOKYO STEEL MANUFACTURING CO LTD ... 100,673
53,000 oUSINOR SACILOR S.A. ................ 956,908
100 USX-US STEEL GROUP, INC ............ 3,506
-----------
70,141,985
-----------
MISCELLANEOUS MATERIALS &
COMMODITIES--0.47%
96,000 ASAHI GLASS CO LTD ................. 956,396
950,000 oFIRST OLSEN TANKERS LTD ............ 7,461,611
225,000 GOLDEN HOPE PLANTATIONS BERHAD ..... 386,886
49,000 oGOLDEN PLUS HOLDINGS BHD ........... 88,914
110,000 HIGHLANDS & LOWLANDS BERHAD ........ 168,225
73,000 oIOI CORP ........................... 83,296
145,000 oKEMAYAN CORP BERHAD ................ 168,898
135,000 NIPPON SHEET GLASS CO LTD .......... 497,860
123,000 PERLIS PLANTATIONS BERHAD .......... 360,618
1,900 oRADEX HERAKLITH
INDUSTRIEBETEIL AG. ............... 80,425
3,100 SOMMER ALLIBERT .................... 108,772
1,726,428 WASSALL PLC ........................ 8,878,478
3,750,000 oWASSALL FLTG RTE NON CUM PRF B ..... 4,805,666
-----------
24,046,045
-----------
OFFICE EQUIPMENT--1.70%
24,800 oAPPLE COMPUTER, INC ................ 353,400
200 oDATA GENERAL CORP .................. 5,200
17,000 oDIGITAL EQUIPMENT CORP ............. 602,437
151,152 HEWLETT-PACKARD CO ................. 8,464,512
3,200 IKON OFFICE SOLUTIONS, INC ......... 79,800
160,480 INTERNATIONAL BUSINESS
MACHINES CORP ..................... 14,473,290
5,000 KOKUYO CO LTD ...................... 135,454
70,800 oSEAGATE TECHNOLOGY, INC ............ 2,491,275
758,400 XEROX CORP ......................... 9,818,800
-----------
86,424,168
-----------
PAPER--0.16%
235,300 FLETCHER CHALLENGE LTD
(PAPER DIVISION) .................. 569,366
55,500 INTERNATIONAL PAPER CO ............. 2,695,218
20,400 JAMES RIVER CORP OF VIRGINIA ....... 754,800
86,000 MALAYSIAN PACIFIC INDUSTRIES
BERHAD ............................ 374,802
16,500 MEAD CORP .......................... 1,027,125
66,000 MITSUBISHI PAPER MILLS LTD ......... 258,394
41,000 NIPPON PAPER INDUSTRIES CO ......... 237,552
212,666 OJI PAPER CO LTD ................... 1,317,668
31,800 WESTVACO CORP ...................... 999,712
-----------
8,234,637
-----------
PETROLEUM--
EXPLORATION & PRODUCTION--2.02%
30,700 oANDERSON EXPLORATION LTD ............ 396,100
1,950,000 BRITISH-BORNEO PETROLEUM
SYNDICATE PLC ......................46,003,332
11,866 LONDON & SCOTTISH MARINE OIL PLC .... 51,247
14,300 oPOCO PETROLEUM LTD .................. 146,669
14,700 RANGER OIL LTD ...................... 137,452
2,904,000 SAGA PETROLEUM AS SERIES A ..........55,138,198
400 oSANTA FE ENERGY RESOURCES, INC ...... 5,875
33,700 oTALISMAN ENERGY, INC ................ 1,036,942
-----------
102,915,815
-----------
See notes to financial statements.
-41-
<PAGE>
GLOBAL EQUITIES ACCOUNT (CONTINUED)
SHARES VALUE
------ -----
PETROLEUM--INTEGRATED--5.37%
29,600 ALBERTA ENERGY LTD ................. $ 745,578
57,500 AMOCO CORP ......................... 4,998,906
71,500 ATLANTIC RICHFIELD CO .............. 5,040,750
2,400,873 BRITISH PETROLEUM PLC .............. 29,828,444
268,193 BROKEN HILL PROPRIETARY CO LTD ..... 3,914,723
21,076 BURMAH CASTROL PLC ................. 356,906
20,200 CANADIAN OCCIDENTAL PETROLEUM LTD .. 453,899
89,900 CHEVRON CORP ....................... 6,646,981
44,882 ELF AQUITANE S.A. .................. 4,846,743
18,608,500 ENTE NAZIONALE IDROCARBURI S.P.A. ..105,314,805
315,700 EXXON CORP ......................... 19,415,550
8,200 oGULF CANADA RESOURCES LTD .......... 67,164
27,600 IMPERIAL OIL LTD ................... 1,415,410
140,000 MITSUBISHI OIL CO LTD .............. 623,964
293,200 MOBIL CORP ......................... 20,487,350
308,000 NIPPON OIL CO LTD .................. 1,687,640
25,400 NORCEN ENERGY RESOURCES LTD ........ 605,726
45,100 NORSK HYDRO AS ..................... 2,458,049
103,200 OCCIDENTAL PETROLEUM CORP .......... 2,586,450
4,000 OMV AKTIENGESELLS AG. .............. 512,484
3,000 PETROFINA S.A. ..................... 1,136,979
64,608 REPSOL S.A. ........................ 2,736,650
986,400 ROYAL DUTCH PETROLEUM CO ........... 51,401,709
163,175 SANTOS LTD ......................... 680,936
19,200 SUNCOR ENERGY, INC ................. 514,932
24,750 TOTAL S.A. ......................... 2,504,091
18,420 UNOCAL CORP ........................ 714,926
76,000 USX-MARATHON GROUP, INC ............ 2,194,500
-----------
273,892,245
-----------
PETROLEUM--SERVICE--2.63%
11,300 BAKER HUGHES, INC .................. 437,168
20 oGLOBAL INDUSTRIAL TECHNOLOGIES, INC 410
52,300 oGLOBAL MARINE, INC ................. 1,215,975
1,300 HALLIBURTON CO ..................... 103,025
6,800 HELMERICH & PAYNE, INC ............. 391,850
2,350,850 +IHC CALAND NV ......................128,742,931
9,375 KONINKLIJKE PAKHOED HOLDINGS NV .... 331,112
12,700 MCDERMOTT INTERNATIONAL, INC ....... 370,681
3,200 TECHNIP S.A. ....................... 371,726
18,900 TIDEWATER, INC ..................... 831,600
16,800 oWESTERN ATLAS, INC ................. 1,230,600
-----------
134,027,078
-----------
PHOTOGRAPHY--0.13%
45,200 EASTMAN KODAK CO ................... 3,469,100
78,000 FUJI PHOTO FILM CO LTD ............. 3,142,369
-----------
6,611,469
-----------
PROPERTY--REAL ESTATE--0.51%
41,000 BRITISH LAND PLC ................... 386,217
480,000 CHEUNG KONG HOLDINGS LTD ........... 4,739,707
197 CHINESE ESTATES LTD ................ 185
193,560 CITY DEVELOPMENT LTD ............... 1,895,259
13,665 oCITY DEVELOPMENT LTD WTS 07/18/98 .. 107,041
4,400 CRESCENT REAL ESTATE EQUITIES, INC . 139,700
440 oCRESECENT OPERATING, INC ........... 5,280
14,000 DAIKYO, INC ........................ 54,811
130,000 DBS LAND LTD ....................... 410,966
61,084 oEVERGO CHINA HOLDINGS LTD .......... 7,884
56,400 GENERAL PROPERTY TRUST ............. 111,975
13,520 GREAT PORTLAND ESTATES PLC ......... 46,802
11,627 HAMMERSON PLC ...................... 90,465
425,000 HANG LUNG DEVELOPMENT CO LTD ....... 778,979
11,000 oHENDERSON LAND DEVELOPMENT CO LTD .. 97,614
234,000 HONG LEONG PROPERTIES BERHAD ....... 266,077
1,299,000 HOPEWELL HOLDINGS LTD .............. 821,588
127,000 oHOTEL PROPERTIES LTD ............... 215,841
1,000 HYSAN DEVELOPMENT CO LTD ........... 2,949
165,000 oIGB CORP BERHAD .................... 164,738
592 LAND SECURITIES PLC ................ 8,350
107,200 MEPC PLC ........................... 879,575
196,000 MITSUBISHI ESTATE CO LTD ........... 2,843,321
149,000 MITSUI FUDOSAN CO LTD .............. 2,057,335
149,000 MULPHA INTERNATIONAL BERHAD ........ 119,837
37,250 oMULPHA INTERNATIONAL BERHAD RTS .... 6,346
236,128 NEW WORLD DEVELOPMENT CO LTD ....... 1,408,115
8,566 SCHRODERS PROPERTY FUND ............ 15,274
99 oSIMCO (REGD) NEW ................... 7,706
397,000 SINO LAND CO ....................... 430,445
29,300 SLOUGH ESTATES PLC ................. 145,316
418,900 SUN HUNG KAI PROPERTIES LTD ........ 5,042,060
136,000 TAI CHEUNG HOLDINGS LTD ............ 107,960
46,200 UNITED OVERSEAS LAND LTD ........... 62,685
13,800 VALLEHERMOSO S.A. .................. 372,959
343,700 WESTFIELD TRUST (UNITS) ............ 700,400
3,516 ~oWESTFIELD TRUST (UNITS) NEW ........ 6,906
287,000 WHARF HOLDINGS LTD ................. 1,244,715
-----------
25,803,383
----------
PUBLISHING--NEWSPAPER--0.17%
17,600 GANNETT CO, INC .................... 1,738,000
18,000 oNEW STRAITS TIMES PRESS
BERHAD ............................ 105,546
510,634 NEWS CORP LTD ...................... 2,429,300
16,900 PEARSON PLC ........................ 195,620
19,000 SINGAPORE PRESS HOLDINGS LTD (FR) .. 382,711
31,100 TIMES MIRROR CO SERIES A ........... 1,718,275
38,500 TRIBUNE CO ......................... 1,850,406
-----------
8,419,858
-----------
PUBLISHING--OTHER--0.31%
137,000 DAI NIPPON PRINTING CO LTD ......... 3,100,859
55 DE LA RUE CO PLC ................... 337
21,700 DUN & BRADSTREET CORP .............. 569,625
38,400 ELSEVIER UTIGEVERSMIJ NV ........... 642,841
32,000 GAKKEN CO LTD ...................... 168,627
36,900 INDEPENDENT NEWSPAPERS PLC ......... 217,117
5,800 MCGRAW HILL COS, INC ............... 341,112
5,500 READER'S DIGEST ASSOCIATION, INC
(CLASS A) (NON-VTG) ............... 157,781
155,320 REED INTERNATIONAL PLC ............. 1,504,464
470,000 SOUTH CHINA MORNING POST ........... 461,063
9,600 SOUTHAM, INC ....................... 164,221
104,500 THOMSON CORP ....................... 2,408,742
96,371 TIME WARNER, INC ................... 4,649,900
13,536 WOLTERS KLUWER NV .................. 1,651,151
----------
16,037,840
----------
RAILROAD--3.47%
43,100 BURLINGTON NORTHERN SANTA FE CORP .. 3,873,612
2,189,900 CANADIAN PACIFIC LTD ............... 62,382,644
66,196 CSX CORP ........................... 3,673,878
490 EAST JAPAN RAILWAY CO .............. 2,517,880
94,250 HANKYU CORP ........................ 521,370
121,769 KINKI NIPPON RAILWAY CO LTD ........ 744,897
221,490 NAGOYA RAILROAD CO LTD ............. 913,603
117,000 NANKAI ELECTRIC RAILWAY CO ......... 597,118
136,000 NIPPON EXPRESS CO LTD .............. 1,087,481
6,100 NORFOLK SOUTHERN CORP .............. 614,575
14,950 ODAKYU ELECTRIC RAILWAY CO LTD ..... 88,840
9,444,700 oRAILTRACK GROUP PLC ................ 98,321,182
See notes to financial statements.
-42-
<PAGE>
GLOBAL EQUITIES ACCOUNT (CONTINUED)
SHARES VALUE
------ -----
RAILROAD--(CONTINUED)
15,020 TOBU RAILWAY CO LTD ............... $ 69,436
144,000 TOKYU CORP ........................ 894,733
6,200 UNION PACIFIC CORP ................ 437,100
-----------
176,738,349
-----------
RESTAURANTS & HOTELS--2.59%
5,233 ACCOR S.A. ........................ 784,371
10,796,200 COMPASS GROUP PLC ................. 121,105,099
15,100 CRACKER BARREL OLD COUNTRY
STORE, INC ....................... 400,150
39,100 DARDEN RESTAURANTS, INC ........... 354,343
27,700 HILTON HOTELS CORP ................ 735,781
251,000 HONG KONG & SHANGHAI HOTELS LTD ... 400,119
63,700 oHOST MARRIOTT CORP ................ 1,134,656
9,300 oITT CORP .......................... 567,881
89,166 MCDONALDS CORP .................... 4,307,832
339 MOEVENPICK HOLDINGS (BR) .......... 102,427
42,000 OVERSEAS UNION ENTERPRISES LTD .... 193,873
16,075 oPROMUS HOTEL CORP ................. 622,906
1,030,800 REGAL HOTELS INTERNATIONAL LTD .... 279,410
5,000 RESORTS WORLD BERHAD .............. 15,055
5,800 oSCOTTS RESTAURANTS INC ............ 25,855
348,000 SHANGRI-LA ASIA LTD ............... 417,744
13,000 SHANGRI-LA HOTEL LTD .............. 38,914
28,000 SKYLARK CO LTD .................... 428,211
700 SODEXHO ALLIANCE S.A. ............. 358,763
-----------
132,273,390
-----------
RETAIL--FOOD--0.35%
2,200 ALBERTSONS, INC ................... 80,300
45,500 AMERICAN STORES CO ................ 2,246,562
6,295 CARREFOUR SUPERMARCHE S.A. ........ 4,576,239
15,000 CASINO GUICHARD-PERRACHON S.A. .... 743,230
826 DAIRY FARM INTERNATIONAL
HOLDINGS LTD ..................... 619
14,100 DELHAIZE FRERES NV ................ 741,268
13,512 KONINKLIJKE AHOLD NV .............. 1,142,033
79,900 oKROGER CO ......................... 2,317,100
4,400 PROMODES S.A. ..................... 1,715,485
224,434 SAFEWAY PLC ....................... 1,298,001
25,573 SAINSBURY (J) PLC ................. 155,135
17,300 SUPERVALU, INC .................... 596,850
388,494 TESCO PLC ......................... 2,389,078
-----------
18,001,900
-----------
RETAIL--GENERAL MERCHANDISE--1.79%
23,000 AOYAMA TRADING CO LTD ............. 739,668
114,280 BOOTS CO LTD ...................... 1,338,030
77,600 BULGARI S.P.A. .................... 438,949
21,400 CANADIAN TIRE, INC (CLASS A) ...... 418,817
11,400 oCML GROUP, INC .................... 20,662
34,600 COLES MYER LTD .................... 178,604
875 COMPTOIRS MODERNES ................ 462,017
31,700 oCOSTCO COMPANIES, INC ............. 1,042,137
99,900 oCUC INTERNATIONAL, INC ............ 2,578,668
94,000 DAIEI, INC ........................ 603,777
85,000 DAIMARU, INC ...................... 489,515
39,100 DAYTON HUDSON CORP ................ 2,079,631
6,700 DOUGLAS HOLDINGS AG. .............. 267,215
12,400 GAP, INC .......................... 482,050
37,190 GREAT UNIVERSAL STORES PLC ........ 376,323
29,200 HENNES & MAURITZ AB SERIES B ...... 1,027,158
50,900 HOME DEPOT, INC ................... 3,508,918
14,800 HUDSONS BAY CO .................... 332,560
1,317,500 INTIMATE BRANDS, INC (CLASS A) .... 27,667,500
6,000 ISETAN CO ......................... 74,456
55,000 ITO-YOKADO CO LTD ................. 3,196,289
180 oJELMOLI HOLDING AG (BR) ........... 112,353
28,000 JUSCO CO LTD ...................... 946,958
1,682 oK MART CORP ....................... 20,604
50 oKARSTADT AG. ...................... 17,818
202,640 KINGFISHER PLC .................... 2,300,070
44,700 LIMITED, INC ...................... 905,175
474,866 MARKS & SPENCER PLC ............... 3,935,791
45,000 MARUI CO LTD ...................... 837,633
70,800 MAY DEPARTMENT STORES CO .......... 3,345,300
13,286 oMETRO AG .......................... 1,456,991
32,000 oMETRO HOLDINGS LTD ................ 104,741
85,000 MYCAL CORP ........................ 1,225,644
117,570 NEXT PLC .......................... 1,327,632
70,600 PENNEY, (J.C.) CO, INC ............ 3,684,437
4,900 oPINAULT-PRINTEMPS-REDOUTE S.A. .... 2,356,944
600 RINASCENTE S.P.A. ................. 3,332
1200 oRINASCENTE S.P.A. RTS ............. 124
9,300 ROUSE CO .......................... 274,350
43 SEARS PLC ......................... 47
82,400 SEARS ROEBUCK & CO ................ 4,429,000
50,000 SEIYU LTD ......................... 401,557
249 SEVEN-ELEVEN JAPAN CO LTD ......... 18,844
14,000 SHIMACHU CO ....................... 420,870
7,900 oSTAPLES, INC ...................... 183,675
3,800 STOCKMANN B FREE .................. 201,917
46,000 TAKASHIMAYA CO LTD ................ 627,110
17,000 TANDY CORP ........................ 952,000
74,600 oTOYS R US, INC .................... 2,611,000
54,000 UNY CO LTD ........................ 1,057,069
267 oVALORA HOLDINGS AG REGD ........... 56,773
264,958 WAL-MART STORES, INC .............. 8,958,892
41,800 oWOOLWORTH CORP .................... 1,003,200
----------
91,100,795
----------
TEXTILE & APPAREL--1.43%
562,970 ADIDAS AG. ........................ 62,351,187
12,480 BENETTON GROUP S.P.A. ............. 199,233
2,962 CHARGEURS S.A. .................... 170,828
119,098 COATS VIYELLA PLC ................. 252,723
42,990 COURTAULDS TEXTILES PLC ........... 219,295
40,100 DAWSON INTERNATIONAL PLC .......... 47,717
90 oDOLLFUS-MIEG & CIE S.A. ........... 1,536
24,000 oFRUIT OF THE LOOM, INC (CLASS A) .. 744,000
88,000 GUNZE LTD ......................... 401,434
97,000 KURABO INDUSTRIES LTD ............. 261,934
5,400 LIZ CLAIBORNE, INC ................ 251,775
44,000 MITSUBISHI RAYON CO LTD ........... 181,491
39,300 NIKE, INC (CLASS B) ............... 2,294,137
71,000 NISSHINBO INDUSTRY, INC ........... 645,287
42,000 ONWARD KASHIYMA CO LTD ............ 697,372
89,000 oRENOWN, INC ....................... 221,664
218,000 TEIJIN LTD ........................ 1,028,755
32,000 TOKYO STYLE CO LTD ................ 444,640
158,000 TORAY INDUSTRIES, INC ............. 1,128,082
18,900 VF CORP ........................... 1,601,775
----------
73,144,865
----------
TOBACCO--2.76%
505,361 B.A.T. INDUSTRIES LTD ............. 4,520,763
50 oCIE FINANCIERE RICHEMONT AG.
(UNITS A) ........................ 72,364
2,605,000 PHILIP MORRIS COS, INC ............ 115,596,875
5,195,000 oPT HANJAYA MANDALA SAMPOERNA (FR) . 19,803,469
87,000 R.J. REYNOLDS BERHAD .............. 217,155
See notes to financial statements.
-43-
<PAGE>
GLOBAL EQUITIES ACCOUNT (CONTINUED)
SHARES VALUE
------ -----
TOBACCO--(C0NTINUED)
33,300 ROTHMANS HOLDINGS LTD ............. $ 205,075
14,200 SEITA S.A. ........................ 449,872
----------
140,865,573
----------
TRADING COMPANIES--0.18%
33,000 INCHCAPE BERHAD .................... 118,862
68,000 ITOCHU CORP ........................ 366,653
161,000 oMALAYSIAN MOSAICS BERHAD ........... 218,153
311,000 MARUBENI CORP ...................... 1,413,271
271,000 MITSUBISHI CORP .................... 3,386,624
142,000 MITSUI & CO LTD .................... 1,365,031
47,000 NAGASE & CO ........................ 372,534
196,000 SUMITOMO CORP ...................... 1,866,999
----------
9,108,127
----------
TRUCKERS & SHIPPING--0.44%
9,600 BERGESEN D.Y. AS (CLASS B) .......... 226,860
10,900 CALIBER SYSTEM, INC ................. 406,025
185,000 CHUAN HUP HOLDINGS LTD .............. 133,270
45 DAMPSKIBSSELSKABET AF 1912
(CLASS B) .......................... 1,611,824
33 DAMPSKIBSSELSKABET
SVENDBORG (CLASS B) ................ 1,707,063
144,000 oHAI SUN HUP GROUP LTD ............... 103,734
43,200 oHAI SUN HUP WTS 05/10/02 ............ 11,481
144 oHALTER MARINE GROUP, INC ............ 3,456
59,000 HITACHI ZOSEN CORP .................. 235,114
1,127,656 ICB SHIPPING AB SERIES B ............11,520,983
76,000 KAMIGUMI CO LTD ..................... 428,385
148,000 oKAWASAKI KISEN KAISHA LTD ........... 298,768
100 KONINKLIJKE NEDLLOYD GROEP NV ....... 2,893
85,286 LAIDLAW, INC (CLASS B) .............. 1,177,659
10,000 LEIF HOEGH & CO ..................... 214,457
87,000 MALAYSIAN INTERNATIONAL
SHIPPING CO (FR) ................... 225,772
8,000 MITSUBISHI WAREHOUSE &
TRANSPORTATION CO LTD .............. 114,655
230,000 oMITSUI ENGINEERING & SHIP
BUILDING CO LTD .................... 502,492
266,000 oMITSUI OSK LINES LTD ................ 548,599
17,000 MITSUI SOKO CO LTD .................. 118,701
200 NEPTUNE ORIENT LINES LTD ............ 179
102,000 NIPPON YUSEN KABUSHIKI KAISHA ....... 396,663
51,680 OCEAN GROUP PLC ..................... 453,708
20,455 PENINSULAR & ORIENTAL STEAM
NAVIGATION CO ...................... 204,259
2,900 PITTSTON BURLINGTON GROUP CO ........ 81,562
47,000 SEINO TRANSPORTATION CO LTD ......... 509,308
800 oUNITOR AS ........................... 11,474
36,000 VAN DER HORST LTD ................... 66,219
100,358 YAMATO TRANSPORT CO LTD ............. 1,254,150
----------
22,569,713
----------
UTILITIES--ELECTRIC--1.03%
67,700 AUSTRALIA GAS LIGHT CO .............. 395,622
45,700 BALTIMORE GAS & ELECTRIC CO ......... 1,219,618
34,800 CENTERIOR ENERGY CORP ............... 389,325
66,600 CENTRAL & SOUTH WEST CORP ........... 1,415,250
348,000 CHINA LIGHT & POWER CO LTD .......... 1,971,935
100 CHUBU ELECTRIC POWER CO INC ......... 1,808
73,700 CONSOLIDATED EDISON CO OF
NEW YORK, INC ...................... 2,169,543
28,100 DOMINION RESOURCES, INC ............. 1,029,162
45,100 DTE ENERGY CO ....................... 1,245,887
8,500 DUKE ENERGY CORP .................... 407,468
72,250 EDISON .............................. 359,193
9,150 ELECTRABEL NV ....................... 1,962,321
10,950 oELECTRABEL S.A. (STRIP VVPR) ........ 7,310
14,527 EMPRESA NACIONAL DE ELECTRIDAD S.A. . 1,221,773
74,600 ENTERGY CORP ........................ 2,042,175
37,800 GPU, INC ............................ 1,356,075
1,700 HOUSTON INDUSTRIES, INC ............. 36,443
73,404 IBERDROLA S.A. ...................... 928,277
16,800 ILLINOVA CORP ....................... 369,600
148,210 KANSAI ELECTRIC POWER CO, INC ....... 2,862,407
37,900 LONG ISLAND LIGHTING CO ............. 871,700
239,308 NATIONAL GRID GROUP PLC ............. 874,225
291,900 NATIONAL POWER PLC .................. 2,535,923
44,900 oNIAGARA MOHAWK POWER CORP ........... 384,456
1,600 NORTHEAST UTILITIES CO .............. 15,300
3,900 OESTERREICHISCHE
ELEKTRIZITAETSWIRSCHAFTS AG. ....... 274,741
55,400 PECO ENERGY CO ...................... 1,163,400
21,900 PG&E CORP ........................... 531,075
51,100 PP&L RESOURCES, INC ................. 1,018,806
57,500 PUBLIC SERVICE ENTERPRISE GROUP, INC. 1,437,500
4,610 oRHEIN-WESTFALEN
ELECTRIC AG. (STAMM) ............... 198,410
335,872 SCOTTISH POWER PLC .................. 2,185,657
38,700 SOUTHERN CO ......................... 846,562
66,700 SOUTHERN ELECTRIC PLC ............... 492,324
457,000 TENAGA NASIONAL BERHAD .............. 2,227,062
70,500 TEXAS UTILITIES CO .................. 2,427,843
90,654 TOHOKU ELECTRIC POWER CO, INC ....... 1,616,139
218,987 TOKYO ELECTRIC POWER CO, INC ........ 4,612,083
900 TRACTEBEL NV ........................ 375,516
600 oTRACTEBEL NV PUT WTS 11/15/99 ....... 6,442
20,500 TRANSALTA CORP ...................... 244,436
9,200 oTUCSON ELECTRIC POWER CO ............ 133,400
17,400 UNICOM CORP ......................... 387,150
76,350 VEBA AG. ............................ 4,293,755
4,349 oVIAG AG. ............................ 1,979,086
----------
52,524,183
----------
UTILITIES--GAS & PIPELINE--0.29%
607,370 BG PLC .............................. 2,233,969
615,170 oCENTRICA PLC ........................ 749,953
29,700 COASTAL CORP ........................ 1,579,668
17,400 COLUMBIA GAS SYSTEMS, INC ........... 1,135,350
100 CONSOLIDATED NATURAL GAS CO ......... 5,381
4,700 EASTERN ENTERPRISES CO .............. 163,031
6,287 oENERGIA E INDUSTRIAS
ARAGONESAS S.A. .................... 45,310
36,000 ENRON CORP .......................... 1,469,250
7,700 ENSERCH CORP ........................ 171,325
10,900 GAS NATURAL SDG S.A. ................ 2,385,571
537,000 HONG KONG & CHINA GAS CO LTD ........ 1,074,372
10,368 IPL ENERGY, INC ..................... 346,827
54,500 ITALGAS S.P.A. ...................... 176,253
115,000 OSAKA GAS CO LTD .................... 330,640
23,700 PACIFIC ENTERPRISES, INC ............ 796,912
229,000 TOKYO GAS CO LTD .................... 636,391
32,350 WILLIAMS COS, INC ................... 1,415,312
----------
14,715,515
----------
UTILITIES--OTHER--0.15%
80,390 ANGLIAN WATER PLC .................... 871,661
24,394 oCOMPAGNIE GENERALE DES EAUX ..........3,128,719
24,394 oCOMPAGNIE GENERALE DES EAUX
WTS 05/02/01 ........................ 14,625
44,000 HYDER PLC ............................ 594,987
116,774 oTHAMES WATER PLC .....................1,347,796
148,671 UNITED UTILITIES PLC .................1,634,295
----------
7,592,083
----------
See notes to financial statements.
-44-
<PAGE>
GLOBAL EQUITIES ACCOUNT (CONTINUED)
SHARES VALUE
------ -----
UTILITIES--TELEPHONE--7.11%
201,719 AT & T CORP ....................... $ 7,072,772
77,700 BCE, INC .......................... 2,162,714
10,500 BCE, INC (U.S.) ................... 294,000
78,700 BELL ATLANTIC CORP ................ 5,971,362
173,394 BELLSOUTH CORP .................... 8,041,146
1,063,991 oBRITISH TELECOMMUNICATIONS PLC .... 7,897,768
147,238 CABLE & WIRELESS PLC .............. 1,353,891
267,950 DEUTSCHE TELEKOM AG ............... 6,458,106
2,202,372 HONG KONG TELECOMMUNICATIONS LTD .. 5,259,098
71,410 KONINKLIJKE PTT NEDERLAND NV ...... 2,806,393
1,766 NIPPON TELEGRAPH & TELEPHONE CORP . 16,976,381
57,100 NYNEX CORP ........................ 3,290,387
160,926 SBC COMMUNICATIONS, INC ........... 9,957,296
384,000 oSINGAPORE TELECOMMUNICATIONS LTD .. 709,022
100 SOUTHERN NEW ENGLAND
TELECOMMUNICATIONS CORP .......... 3,887
21,350 SPRINT CORP ....................... 1,123,543
165,000 oTECHNOLOGY RESOURCES
INDUSTRIES BERHAD ................ 283,716
10,600 TELE DANMARK AS (CLASS B) ......... 551,526
208,600 TELECOM CORP OF NEW ZEALAND ....... 1,060,418
23,492,099 TELECOM ITALIA MOBILE S.P.A. ...... 75,973,448
1,008,200 TELECOM ITALIA S.P.A. ............. 3,017,461
167,503 TELEFONICA DE ESPANA S.A. ......... 4,851,513
513,000 TELEKOM MALAYSIA BERHAD ........... 2,398,338
20,200 TELUS CORP ........................ 371,172
208,804 VODAFONE GROUP PLC ................ 1,016,474
6,042,430 oWORLDCOM, INC ..................... 193,357,760
-------------
362,259,592
-------------
TOTAL COMMON STOCK
(COST $4,046,769,577) .............4,898,043,368
-------------
PRINCIPAL
---------
SHORT TERM INVESTMENTS--9.06%
BANK NOTES--0.33%
BANK OF AMERICA
$17,000,000 5.580%, 09/08/97 ................ 16,992,394
-------------
COMMERCIAL PAPER--2.86%
AIRTOUCH COMMUNICATIONS, INC
7,500,000 # 5.750%, 07/17/97 .............. 7,479,883
CIESCO LP
17,500,000 5.530%, 07/11/97 .............. 17,469,949
COLUMBIA/HCA HEALTHCARE CORP
7,500,000 5.700%, 07/10/97 .............. 7,488,145
CONAGRA, INC
7,500,000 5.720%, 07/10/97 .............. 7,488,042
CORPORATE ASSET FUNDING CORP, INC
25,000,000 # 5.570%, 07/09/97 .............. 24,964,875
CSX CORP
7,000,000 5.720%, 07/14/97 .............. 6,984,374
GENERAL ELECTRIC CAPITAL CORP
18,000,000 6.625%, 07/01/97 .............. 17,996,749
GENERAL MOTORS ACCEPTANCE CORP
25,000,000 5.800%, 10/09/97 .............. 24,605,820
NATIONAL RURAL UTILITIES
COOPERATIVE FINANCE
8,900,000 # 5.550%, 08/20/97 .............. 8,829,645
PRAXAIR, INC
7,500,000 5.750%, 07/28/97 .............. 7,466,866
WALT DISNEY CO
15,000,000 5.330%, 07/09/97 .............. 14,978,925
-------------
145,753,273
-------------
U.S. GOVERNMENT & AGENCIES--5.87%
FEDERAL HOME LOAN BANKS
2,000,000 5.220%, 07/03/97 .............. 1,999,091
18,000,000 5.500%, 09/23/97 .............. 17,768,374
35,000,000 5.550%, 09/25/97 .............. 34,539,022
7,000,000 * 5.580%, 10/03/97 .............. 6,899,326
FEDERAL HOME LOAN
MORTGAGE CORP
6,000,000 5.500%, 07/16/97 .............. 5,985,466
3,000,000 * 5.520%, 07/23/97 .............. 2,989,554
25,000,000 5.470%, 09/02/97 .............. 24,757,777
30,000,000 5.480%, 09/05/97 .............. 29,695,707
FEDERAL NATIONAL
MORTGAGE ASSOCIATION
12,000,000 5.410%, 07/17/97 .............. 11,969,116
5,000,000 5.500%, 08/15/97 .............. 4,965,180
20,000,000 5.480%, 09/04/97 .............. 19,800,166
21,000,000 5.460%, 09/08/97 .............. 20,777,458
5,000,000 5.430%, 09/08/97 .............. 4,947,014
4,000,000 5.460%, 09/12/97 .............. 3,955,188
50,000,000 5.430%, 09/26/97 .............. 49,333,890
50,000,000 5.520%, 11/06/97 .............. 49,023,540
10,000,000 5.490%, 11/10/97 .............. 9,798,662
-------------
299,204,531
-------------
TOTAL SHORT TERM INVESTMENTS
(COST $461,986,090) .............. 461,950,198
ROUNDING ...................... 531
-------------
TOTAL PORTFOLIO
(COST $4,548,579,840) ............$5,406,868,916
==============
- ----------
o Non-income producing
x In bankruptcy
+ Affiliate holdings
* All or a portion of this security has been segregated by the Custodian to
cover margin or other requirements on open furtures contracts, covered call
options written and securities purchased on a delayed delivery basis.
# Commercial Paper issued under the Private Placement exemption under 4(2) of
the Securities Act of 1993, as amended. ~ Restricted securities-investment in
securities not registered under the Securities Act of 1993 or not publicly
traded on foreign markets. At 06/30/97, the value of these securities amounted
to $3,519,752 or 0.07% of net assets. Additional information on each holding
is as follows:
ACQUISITION ACQUISITION
SECURITY DATE COST
- -------- ---- ----
AMCOL HOLDINGS LTD (SINGAPORE) 05/09/96 $ 302,216
LAIR LIQUIDE (REGD) VARIOUS 3,126,236
PREUSSAG AG WTS 5/17/01 05/17/96 84,776
WESTFIELD TRUST (UNITS) 02/28/97 6,524
----------
$3,519,752
==========
See notes to financial statements.
-45-
<PAGE>
<TABLE>
<CAPTION>
COLLEGE RETIREMENT EQUITIES FUND
TRANSACTIONS WITH AFFILIATED COMPANIES--GLOBAL EQUITIES ACCOUNT (UNAUDITED)
JANUARY 1, 1997--JUNE 30, 1997
VALUE AT PURCHASE SALES REALIZED DIVIDEND SHARES AT VALUE AT
ISSUE DECEMBER 31, 1996 COST PROCEEDS GAIN (LOSS) INCOME JUNE 30, 1997 JUNE 30, 1997
----- ----------------- ----------- --------- ----------- --------- ----------------- -------------
<S> <C> <C> <C> <C> <C> <C> <C>
ADAC LABORATORIES, INC NEW $ 28,657,950 -- -- -- -- 1,200,333 $ 28,357,867
CHAMPION ENTERPRISES, INC ** $14,046,591 $23,459,637 $(7,483,303) -- * *
CORPORATE SERVICES GROUP PLC ** 7,508,135 -- -- $ 357,784 9,223,000 28,934,446
IHC CALAND NV 134,136,368 -- -- -- 2,178,395 2,350,850 128,742,931
STORK NV ** 42,508,748 156,887 (2,561) 1,714,866 2,110,800 86,185,821
WESTWOOD ONE, INC 44,240,787 -- -- -- -- 2,661,100 85,820,475
----------- ---------- ---------- ---------- ---------- -----------
TOTAL AFFILIATED TRANSACTIONS $207,035,105 $64,063,474 $23,616,524 $(7,485,864) $4,251,045 $358,041,540
============ =========== =========== =========== ========== ===========
</TABLE>
* Not an Affiliate as of June 30, 1997
** Not an Affiliate as of December 31, 1996
See notes to financial statements.
-46-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENT OF INVESTMENTS--GROWTH ACCOUNT (UNAUDITED)
JUNE 30, 1997
SUMMARY BY INDUSTRY
<TABLE>
<CAPTION>
VALUE %
------ ------
<S> <C> <C>
PREFERRED STOCK
HEALTHCARE--SERVICE ........................ $ 349,586 0.01%
-------------- -----
TOTAL PREFERRED STOCK
(COST $245,900) ............................ 349,586 0.01
-------------- -----
COMMON STOCK
AEROSPACE .................................. 16,872,455 0.46
AIR TRANSPORTATION ......................... 9,343,988 0.26
AUTOMOTIVE & RELATED ....................... 81,473,792 2.23
BANKS ...................................... 36,749,759 1.00
BEVERAGES .................................. 136,542,448 3.73
BROADCASTERS ............................... 19,946,865 0.54
BUSINESS SERVICES .......................... 49,498,735 1.35
CHEMICALS--MAJOR ........................... 69,968,689 1.91
CHEMICALS--SPECIALTY ....................... 17,167,616 0.47
COMMUNICATION EQUIPMENT & SERVICES ......... 121,038,986 3.31
COMPUTER SERVICE ........................... 260,628,682 7.12
CONGLOMERATES .............................. 101,137,818 2.76
CONSTRUCTION--MATERIALS & BUILDERS ......... 11,835,310 0.32
CONTAINERS ................................. 3,153,671 0.09
COSMETICS .................................. 37,690,603 1.03
ELECTRICAL EQUIPMENT ....................... 160,991,655 4.40
ELECTRICAL EQUIPMENT--
COMPONENTS DIVERSIFIED ................... 240,220,376 6.56
ELECTRICAL EQUIPMENT--INSTRUMENTS .......... 15,951,275 0.44
ENVIRONMENTAL CONTROL ...................... 12,456,837 0.34
FINANCIAL--MISCELLANEOUS ................... 64,300,167 1.76
FOODS ...................................... 91,340,095 2.49
HEALTHCARE--DRUGS .......................... 274,043,196 7.49
HEALTHCARE--HOSPITAL SUPPLY ................ 46,993,780 1.28
HEALTHCARE--OTHER .......................... 120,283,443 3.28
HEALTHCARE--SERVICE ........................ 186,064,611 5.08
HOUSEHOLD--CONSUMER ELECTRONICS ............ 523,793 0.01
HOUSEHOLD--DURABLE GOODS ................... 49,814,543 1.36
HOUSEHOLD--PRODUCTS ........................ 147,856,278 4.04
INSURANCE--BROKERS & OTHER ................. 10,931,520 0.30
INSURANCE--LIFE ............................ 4,590,230 0.13
INSURANCE--MULTI-LINE,
PROPERTY & CASUALTY ...................... 64,288,670 1.76
LEISURE TIME ............................... 159,507,301 4.35
MACHINERY .................................. 21,054,762 0.58
METALS--ALUMINUM ........................... 87,750 0.00
METALS--GOLD ............................... 16,997,005 0.46
METALS--NON-FERROUS ........................ 2,352,749 0.06
METALS--STEEL .............................. 4,878,644 0.13
MISCELLANEOUS MATERIALS &
COMMODITIES .............................. 365,703 0.01
OFFICE EQUIPMENT ........................... 78,263,575 2.14
PAPER ...................................... 5,221,843 0.14
PETROLEUM--
EXPLORATION & PRODUCTION ................. 47,813,893 1.31
PETROLEUM--INTEGRATED ...................... 2,487,499 0.07
PETROLEUM--SERVICE ......................... 31,905,749 0.87
PHOTOGRAPHY ................................ 9,758,350 0.27
PROPERTY--REAL ESTATE ...................... 2,249,600 0.06
PUBLISHING--NEWSPAPER ...................... 11,634,590 0.32
PUBLISHING--OTHER .......................... 21,204,164 0.58
RAILROAD ................................... 3,302,121 0.09
RESTAURANTS & HOTELS ....................... 97,652,745 2.67
RETAIL--FOOD ............................... 16,328,855 0.45
RETAIL--GENERAL MERCHANDISE ................ 165,004,560 4.51
TEXTILE & APPAREL .......................... 37,722,974 1.03
TOBACCO .................................... 130,416,425 3.56
TRUCKERS & SHIPPING ........................ 755,147 0.02
UTILITIES--ELECTRIC ........................ 9,559,387 0.26
UTILITIES--GAS & PIPELINE .................. 9,836,514 0.27
UTILITIES--TELEPHONE ....................... 156,320,863 4.27
-------------- ------
TOTAL COMMON STOCK
(COST $2,721,726,625) ....................... 3,506,382,654 95.78
-------------- ------
SHORT TERM INVESTMENTS
COMMERCIAL PAPER ......................... 14,625,685 0.40
U.S. GOVERNMENT & AGENCIES ............... 143,829,036 3.93
--------------- ------
TOTAL SHORT TERM INVESTMENTS
(COST $158,453,536) ....................... 158,454,721 4.33
--------------- ------
ROUNDING ................................. 247 0.00
--------------- ------
TOTAL PORTFOLIO
(COST $2,880,426,061) ..................... 3,665,187,208 100.12
OTHER ASSETS & LIABILITIES, NET ......... (4,191,538) (0.12)
--------------- ------
NET ASSETS ................................. $ 3,660,995,670 100.00%
=============== ======
</TABLE>
See notes to financial statements.
-47-
<PAGE>
GROWTH ACCOUNT (CONTINUED)
SHARES VALUE
------ -----
PREFERRED STOCK--0.01%
HEALTHCARE--SERVICE--0.01%
3,640 AETNA, INC 6.25% (CLASS C) .............. $ 341,250
32,800 oFRESENIUS MEDICAL CARE (CLASS D) ........ 1,886
240 PACIFICARE HEALTH SYSTEMS CV
SERIES A ............................... 6,450
-----------
349,586
-----------
TOTAL PREFERRED STOCK
(COST $245,900)........................... 349,586
-----------
COMMON STOCK--95.78%
AEROSPACE--0.46%
6,900 oALLIANT TECHSYSTEMS, INC ................ 379,500
279,500 BOEING CO ............................... 14,830,968
24,300 oHEXCEL CORP ............................. 419,175
11,000 oOEA, INC ................................ 434,500
6,900 PRECISION CAST PARTS CORP ............... 411,412
14,700 oWYMAN-GORDON CO ......................... 396,900
-----------
16,872,455
-----------
AIR TRANSPORTATION--0.26%
17,100 AIR EXPRESS INTERNATIONAL CORP .......... 679,725
184,900 ASA HOLDINGS, INC ....................... 5,292,762
22,450 COMAIR HOLDINGS, INC .................... 621,584
10,700 oCONTINENTAL AIRLINES, INC (CLASS B) ..... 373,831
7,800 oFEDERAL EXPRESS CORP .................... 450,450
8,850 oMESA AIR GROUP, INC ..................... 47,568
53,600 SOUTHWEST AIRLINES CO ................... 1,386,900
10,600 oUS AIRWAYS GROUP, INC ................... 371,000
17,400 oVALUJET, INC ............................ 120,168
-----------
9,343,988
-----------
AUTOMOTIVE & RELATED--2.23%
15,900 oALLEN TELECOM, INC ...................... 329,925
20,400 oAMERICREDIT CORP ........................ 428,400
20,800 APOGEE ENTERPRISES, INC ................. 447,200
19,948 oAUTOLIV, INC ............................ 780,465
8,500 BREED TECHNOLOGIES, INC ................. 195,500
1,681,100 COOPER TIRE & RUBBER CO ................. 36,984,200
17,300 DANAHER CORP ............................ 879,056
8,300 oDISCOUNT AUTO PARTS, INC ................ 161,850
11,900 ECHLIN, INC ............................. 428,400
3,400 EXIDE CORP .............................. 74,587
10,000 oFOAMEX INTERNATIONAL, INC ............... 131,250
12,000 GRACO, INC .............................. 361,500
756,100 HARLEY DAVIDSON, INC .................... 36,245,543
13,400 INTERMET CORP ........................... 215,237
9,700 oKIRBY CORP .............................. 177,025
37,100 oLEAR CORP ............................... 1,646,312
18,400 oLO-JACK CORP ............................ 264,500
6,200 MODINE MANUFACTURING CO ................. 184,450
13,500 POLARIS INDUSTRIES, INC ................. 439,593
11,700 oRENTERS CHOICE, INC ..................... 232,537
11,600 oSAFESKIN CORP ........................... 341,475
9,600 SUPERIOR INDUSTRIES
INTERNATIONAL, INC ..................... 254,400
9,700 WABASH NATIONAL CORP .................... 270,387
-----------
81,473,792
-----------
BANKS--1.00%
79,048 BANC ONE CORP ........................... 3,828,887
4,800 CAPITAL ONE FINANCIAL CORP .............. 181,200
211,100 CITICORP CO ............................. 25,450,743
30,300 FIFTH THIRD BANCORP ..................... 2,486,493
42 FIRST UNION CORP ........................ 3,885
15,025 OLD NATIONAL BANCORP .................... 661,100
12,800 STATE STREET CORP ....................... 592,000
85,950 SYNOVUS FINANCIAL CORP .................. 2,368,996
22,395 TRUSTCO BANK CORP ....................... 478,693
11,700 U.S. TRUST CORP ......................... 551,362
3,200 WILMINGTON TRUST CORP ................... 146,400
-----------
36,749,759
-----------
BEVERAGES--3.73%
47,850 ANHEUSER BUSCH COS, INC ................. 2,006,709
14,700 BROWN FORMAN, INC (CLASS B) ............. 717,543
1,254,000 COCA COLA CO ............................ 84,645,000
93,800 COCA COLA ENTERPRISES, INC .............. 2,157,400
1,244,750 PEPSICO, INC ............................ 46,755,921
5,500 oROBERT MONDAVI CORP (CLASS A) .......... 259,875
-----------
136,542,448
-----------
BROADCASTERS--0.54%
16,600 ACKERLEY GROUP, INC ..................... 180,525
9,675 oASSOCIATED GROUP, INC (CLASS A) ......... 387,000
575 oASSOCIATED GROUP, INC (CLASS B) ......... 22,281
27,400 oCLEAR CHANNEL COMMUNICATIONS, INC ....... 1,685,100
18,400 COMCAST CORP (CLASS A) .................. 385,250
110,543 COMCAST CORP (CLASS A) SPL .............. 2,362,856
30,000 oDATA BROADCASTING CORP .................. 142,500
17,500 oEVERGREEN MEDIA CORP (CLASS A) .......... 780,937
35,320 GAYLORD ENTERTAINMENT CO ................ 814,567
15,000 HARTE-HANKS COMMUNICATIONS, INC ......... 442,500
20,100 oHERITAGE MEDIA CORP (CLASS A) ........... 379,387
5,000 oJACOR COMMUNICATIONS, INC
WTS 09/18/01 ........................... 17,500
115,575 oLIBERTY MEDIA GROUP (CLASS A) ........... 2,744,906
8,600 oLIN TELEVISION CORP ..................... 379,475
12,800 oNATIONAL MEDIA CORP ..................... 83,200
2,300 SCRIPPS (E.W.) CO (CLASS A) ............. 95,737
13,100 TCA CABLE TV, INC ....................... 492,887
36,160 oTCI SATELLITE ENTERTAINMENT (CLASS A) ... 284,760
367,850 oTELE-COMMUNICATIONS, INC (CLASS A) ...... 5,471,768
5,900 UNITED TELEVISION, INC .................. 584,100
12,196 oVIACOM, INC (CLASS A) ................... 359,019
61,687 oVIACOM, INC (CLASS B) ................... 1,850,610
-----------
19,946,865
-----------
BUSINESS SERVICES--1.35%
29,899 oACCUSTAFF, INC .......................... 708,232
36,066 oACNEILSEN CORP .......................... 707,795
13,900 oADVO, INC ............................... 225,875
17,050 oAFFILIATED COMPUTER SERVICES, INC
(CLASS A) .............................. 477,400
12,800 oALLIANCE SEMICONDUCTOR CORP ............. 104,800
9,800 oALTERNATIVE RESOURCES CORP .............. 199,675
60,800 oAMERICA ONLINE, INC ..................... 3,382,000
See notes to financial statements.
-48-
<PAGE>
GROWTH ACCOUNT (CONTINUED)
SHARES VALUE
------ -----
BUSINESS SERVICES--(CONTINUED)
6,600 oAMRE, INC ............................... $ 6
27,700 oAPOLLO GROUP, INC (CLASS A) ............. 976,425
21,820 AUTODESK, INC ........................... 835,978
53,800 BLOCK (H&R), INC ........................ 1,735,050
2,500 oCABLEVISION SYSTEMS CORP (CLASS A) ...... 133,750
13,500 oCATALINA MARKETING CORP ................. 649,687
20,000 oCHECKPOINT SYSTEMS, INC ................. 321,250
17,800 CINTAS CORP ............................. 1,223,750
79,800 COGNIZANT CORP .......................... 3,231,900
12,825 oCOMPUTER HORIZONS CORP .................. 439,256
36,000 oCOMPUTERVISION CORP ..................... 166,500
62,370 oCORPORATE EXPRESS, INC .................. 900,466
46,000 oCORRECTIONS CORP OF AMERICA ............. 1,828,500
11,500 oCREDENCE SYSTEMS CORP ................... 344,281
10,600 oDATA TRANSMISSION NETWORK CORP .......... 336,550
9,800 DELUXE CORP ............................. 334,425
18,900 oDEVRY, INC .............................. 510,300
5,200 oDIALOGIC CORP ........................... 138,450
34,850 DIEBOLD, INC ............................ 1,359,150
22,861 oDOUBLETREE CORP ......................... 940,158
6,300 oENCAD, INC .............................. 261,450
15,700 oFAIRCHILD CORP (CLASS A) ................ 282,600
20,200 oFORE SYSTEMS, INC ....................... 275,225
3,900 oFRANKLIN COVEY CO ....................... 98,718
10,300 oFRITZ COS, INC .......................... 99,781
27,900 oGENERAL MAGIC, INC ...................... 55,800
9,200 HARLAND (JOHN H.) CO .................... 209,875
8,000 oINSO CORP ............................... 164,500
12,400 oINTERIM SERVICES, INC ................... 551,800
38,000 INTERPUBLIC GROUP OF COS, INC ........... 2,329,875
7,500 oITRON, INC .............................. 194,062
9,880 KELLY SERVICES, INC (CLASS A) ........... 309,985
42,100 MANPOWER, INC ........................... 1,873,450
22,960 oMCAFEE ASSOCIATES, INC .................. 1,449,350
11,300 oMERCURY INTERACTIVE CORP ................ 168,087
15,300 oMICRO WAREHOUSE, INC .................... 262,012
11,800 oNFO RESEARCH, INC ....................... 292,050
8,800 oODS NETWORKS, INC ....................... 104,500
70,850 oOFFICE DEPOT, INC ....................... 1,377,146
31,198 OLSTEN CORP ............................. 606,411
40,300 OMNICOM GROUP, INC ...................... 2,483,487
47,815 PAYCHEX, INC ............................ 1,816,970
18,700 PITTSTON BRINKS GROUP CO ................ 561,000
15,600 oPREPAID LEGAL SERVICES, INC ............. 329,550
14,788 oPURE ATRIA CORP ......................... 208,880
21,100 oQUARTERDECK CORP ........................ 53,409
7,380 oREMEDY CORP ............................. 295,200
34,300 oROBERT HALF INTERNATIONAL, INC .......... 1,614,243
12,900 ROLLINS, INC ............................ 259,612
18,500 SENSORMATIC ELECTRONICS CORP ............ 238,187
129,800 SERVICE CORP INT'L ...................... 4,267,175
20,150 oSPECTRUM HOLOBYTE, INC .................. 98,231
16,000 oSTAC, INC ............................... 57,000
23,700 oSUNGARD DATA SYSTEMS, INC ............... 1,102,050
12,350 oSYLVAN LEARNING SYSTEMS, INC ............ 419,900
8,900 oTHERMOLASE CORP ......................... 125,156
16,400 TOTAL SYSTEM SERVICES, INC .............. 398,725
20,000 UNIFIRST CORP ........................... 400,000
10,600 oUNITED STATIONERS, INC .................. 267,650
14,000 VALSPAR CORP ............................ 414,750
13,500 WACKENHUT CORP SERIES A ................. 324,000
11,350 oWIND RIVER SYSTEMS, INC ................. 434,137
10,700 oWONDERWARE CORP ......................... 151,137
-----------
49,498,735
-----------
CHEMICALS--MAJOR--1.91%
9,600 AIR PRODUCTS & CHEMICALS, INC ........... 780,000
5,500 oAPPLIX, INC ............................. 38,156
4,500 CHEMFIRST, INC .......................... 122,062
8,100 DOW CHEMICAL CO ......................... 705,712
55,600 DU PONT (E.I.) DE NEMOURS & CO .......... 3,495,850
52,100 HERCULES, INC ........................... 2,494,287
4,935 MISSISSIPPI CHEMICAL CORP ............... 102,401
314,550 MONSANTO CO ............................. 13,545,309
18,000 oOAK TECHNOLOGY, INC ..................... 175,500
8,100 PPG INDUSTRIES, INC ..................... 470,812
837,100 PRAXAIR, INC ............................ 46,877,600
12,200 oQUINTILES TRANSNATIONAL CORP ............ 849,425
10,300 oTECHNE CORP ............................. 311,575
-----------
69,968,689
-----------
CHEMICALS--SPECIALTY--0.47%
32,500 oAIRGAS, INC ............................. 643,906
4,550 ALBEMARLE CORP .......................... 95,834
5,100 BETZDEARBORN, INC ....................... 336,600
17,400 CROMPTON & KNOWLES CORP ................. 387,150
24,300 oCYTEC INDUSTRIES, INC ................... 908,212
30,200 ECOLAB, INC ............................. 1,442,050
8,450 oENERGY CONVERSION DEVICES, INC .......... 107,737
51,150 ENGELHARD CORP .......................... 1,070,953
19,700 FOSTER WHEELER CORP ..................... 797,850
18,000 GEORGIA GULF CORP ....................... 523,125
40,400 GRACE (W.R.) & CO ....................... 2,227,050
6,100 GREAT LAKES CHEMICAL CORP ............... 319,487
23,700 ICN PHARMACEUTICALS, INC ................ 679,893
9,300 LYONDELL PETROCHEMICAL CO ............... 202,856
8,550 oMCWHORTER TECHNOLOGIES, INC ............. 204,131
58,500 MORTON INTERNATIONAL, INC ............... 1,765,968
12,800 oMYCOGEN CORP ............................ 251,200
3,400 NALCO CHEMICAL CORP ..................... 131,325
24,200 RAYCHEM CORP ............................ 1,799,875
30,850 RPM, INC ................................ 566,868
4,825 SCHULMAN (A.), INC ...................... 118,815
22,200 oSEALED AIR CORP ......................... 1,054,500
43,700 SIGMA ALDRICH CORP ...................... 1,532,231
-----------
17,167,616
-----------
COMMUNICATION EQUIPMENT &
SERVICES--3.31%
28,900 o360 COMMUNICATIONS CO ................... 494,912
502,661 o3COM CORP ............................... 22,619,745
12,010 oACC CORP ................................ 370,808
263,300 oAIRTOUCH COMMUNICATIONS, INC ............ 7,207,837
48,575 oANDREW CORP ............................. 1,366,171
12,900 oARCH COMMUNICATIONS GROUP, INC .......... 98,362
181,200 oASCEND COMMUNICATIONS, INC .............. 7,134,750
11,450 oAVID TECHNOLOGIES, INC .................. 301,993
29,300 oBRINKER INTERNATIONAL, INC .............. 417,525
9,900 oBROADBAND TECHNOLOGIES, INC ............. 80,437
9,750 oCABLE DESIGN TECHNOLOGIES CO ............ 287,015
58,200 oCABLETRON SYSTEMS, INC .................. 1,647,787
34,100 oCAI WIRELESS SYSTEMS, INC ............... 36,231
33,400 oCASCADE COMMUNICATIONS CORP ............. 922,675
7,200 oCELLULAR COMMUNICATIONS
INTERNATIONAL, INC ..................... 241,200
14,800 oCELLULAR TECHNICAL SERVICES CO .......... 135,050
20,400 oCENTURY COMMUNICATIONS CORP
(CLASS A) .............................. 109,650
7,200 CENTURY TELEPHONE ENTERPRISES, INC ...... 242,550
See notes to financial statements.
-49-
<PAGE>
GROWTH ACCOUNT (CONTINUED)
SHARES VALUE
------ -----
COMMUNICATION EQUIPMENT &
SERVICE--(CONTINUED)
21,100 oCHYRON CORP ............................. $ 94,950
8,300 oCIDCO, INC .............................. 114,125
520,350 oCISCO SYSTEMS, INC ...................... 34,928,493
118,400 CORNING, INC ............................ 6,586,000
10,100 oDIGI INTERNATIONAL, INC ................. 102,262
11,300 oDIGITAL MICROWAVE CORP .................. 339,000
61,200 oDSC COMMUNICATIONS CORP ................. 1,361,700
24,400 oDSP COMMUNICATIONS, INC ................. 268,400
9,800 oDYNATECH CORP ........................... 350,350
6,800 oEMMIS BROADCASTING CORP (CLASS A) ....... 296,650
13,900 oEXECUTIVE TELECARD LTD .................. 92,087
14,000 oGENERAL DATACOMM INDUSTRIES, INC ........ 99,750
36,800 oGEOTEK COMMUNICATIONS, INC .............. 200,100
7,400 oHARMONIC LIGHTWAVES, INC ................ 126,725
12,300 oHIGHWAYMASTER COMMUNICATIONS, INC ....... 187,575
25,900 oINTELIDATA TECHNOLOGIES CORP ............ 124,643
27,000 oINTERDIGITAL COMMUNICATIONS CORP ........ 148,500
10,300 oINTERMEDIA COMMUNICATIONS, INC .......... 333,462
18,300 oINTERNATIONAL FAMILY
ENTERTAINMENT, INC ..................... 629,062
6,600 oJACOR COMMUNICATIONS, INC ............... 252,450
47,300 oLCI INTERNATIONAL, INC .................. 1,034,687
8,840 oLEVEL ONE COMMUNICATIONS, INC ........... 339,787
214,223 LUCENT TECHNOLOGIES, INC ................ 15,437,444
17,000 oMACROMEDIA, INC ......................... 146,625
7,050 oMASTEC, INC ............................. 333,553
13,900 oMETROCALL, INC .......................... 62,550
7,200 oNETCOM ON-LINE COMMUNICATIONS
SERVICE, INC ........................... 106,200
14,100 oNETWORK EQUIPMENT
TECHNOLOGIES, INC ...................... 253,800
133,250 oNOVELL, INC ............................. 924,421
29,300 oOCTEL COMMUNICATIONS CORP ............... 686,718
9,800 oP-COM, INC .............................. 323,400
54,600 oPAGING NETWORK, INC ..................... 479,456
39,950 oPAIRGAIN TECHNOLOGIES, INC .............. 619,225
21,787 oPANAMSAT CORP ........................... 631,823
16,700 oPICTURETEL CORP ......................... 158,650
19,200 oPMT SERVICES, INC ....................... 292,800
11,100 oPREMISYS COMMUNICATIONS, INC ............ 174,825
6,900 oPROXIM, INC ............................. 167,325
28,300 oQUALCOMM, INC ........................... 1,439,762
36,400 SCIENTIFIC-ATLANTA, INC ................. 796,250
7,800 oSTANFORD TELECOMMUNICATIONS, INC ........ 120,412
21,800 oTECH DATA CORP .......................... 685,337
87,650 oTELLABS, INC ............................ 4,897,443
5,250 oTELTREND, INC ........................... 76,781
18,700 oTSENG LABORATORIES, INC ................. 57,268
16,400 oVANGUARD CELLULAR SYSTEMS, INC .......... 223,450
16,300 oWINSTAR COMMUNICATIONS, INC ............. 218,012
-----------
121,038,986
-----------
COMPUTER SERVICE--7.12%
11,720 oACTEL CORP .............................. 199,972
29,720 oACXIOM CORP ............................. 609,260
891,300 oADAPTEC, INC ............................ 30,972,675
69,460 oADC TELECOMMUNICATIONS, INC ............. 2,318,227
33,080 ADOBE SYSTEMS, INC ...................... 1,159,867
128,575 oAMERICAN MANAGEMENT SYSTEMS, INC ........ 3,439,381
18,500 oAUSPEX SYSTEMS, INC ..................... 178,062
153,200 AUTOMATIC DATA PROCESSING, INC .......... 7,200,400
10,680 oAVANT CORP .............................. 345,097
12,200 oBANCTEC, INC ............................ 316,437
96,055 oBAY NETWORKS, INC ....................... 2,551,460
9,900 oBELL & HOWELL CO ........................ 305,043
16,350 oBISYS GROUP, INC ........................ 682,612
57,200 oBMC SOFTWARE, INC ....................... 3,167,450
9,000 oBORLAND INTERNATIONAL, INC .............. 62,437
14,100 oBOSTON TECHNOLOGY, INC .................. 416,831
8,600 oBRODERBUND SOFTWARE, INC ................ 212,312
15,600 oC-CUBE MICROSYSTEMS, INC ................ 273,975
53,100 oCADENCE DESIGN SYSTEMS, INC ............. 1,778,850
19,100 oCAMBRIDGE TECHNOLOGY PARTNERS, INC ...... 611,200
3,230 oCDW COMPUTER CENTERS, INC ............... 171,391
8,900 oCENTENNIAL TECHNOLOGIES, INC ............ 21,137
40,300 oCERIDIAN CORP ........................... 1,702,675
13,660 oCHECKFREE CORP .......................... 240,757
12,950 oCITRIX SYSTEMS, INC ..................... 568,181
49,800 oCOMPUSA, INC ............................ 1,070,700
818,725 COMPUTER ASSOCIATES
0 INTERNATIONAL, INC .................... 45,592,748
31,100 oCOMPUTER NETWORK TECHNOLOGY CORP ........ 139,950
38,104 oCOMPUTER SCIENCES CORP .................. 2,748,251
15,800 COMPUTER TASK GROUP, INC ................ 588,550
40,060 oCOMPUWARE CORP .......................... 1,912,865
7,950 oCOMSHARE, INC ........................... 98,381
8,750 oCYRIX CORP .............................. 187,031
16,500 oDIAMOND MULTIMEDIA SYSTEMS, INC ......... 118,593
18,200 oDST SYSTEMS, INC ........................ 606,287
28,700 oELECTRONIC ARTS, INC .................... 965,037
175,200 ELECTRONIC DATA SYSTEMS CORP ............ 7,183,200
126,200 oEMC CORP ................................ 4,921,800
16,900 oEMPLOYEE SOLUTIONS, INC ................. 94,006
11,950 oEXCALIBUR TECHNOLOGIES CORP ............. 64,231
218,622 FIRST DATA CORP ......................... 9,605,704
25,950 oFISERV, INC ............................. 1,158,018
10,800 oGEOWORKS ................................ 62,775
14,700 oGT INTERACTIVE SOFTWARE CORP ............ 174,562
47,934 HBO & CO ................................ 3,301,454
11,640 oHNC SOFTWARE ............................ 443,775
12,600 oHYPERION SOFTWARE CORP .................. 281,925
17,500 oIDENTIX, INC ............................ 196,875
20,100 oIMATION CORP ............................ 530,137
4,100 oIMNET SYSTEMS, INC ...................... 127,356
79,700 oINFORMIX CORP ........................... 717,300
10,000 oINTEGRATED SYSTEMS, INC ................. 117,500
16,740 oINTERSOLV, INC .......................... 156,937
19,350 oINTUIT, INC ............................. 443,840
10,700 JACK HENRY & ASSOCIATES INC ............. 259,475
20,100 oKEANE, INC .............................. 1,045,200
22,014 oLEARNING CO, INC ........................ 206,381
10,800 oLEGATO SYSTEMS, INC ..................... 199,800
14,500 oMEDIC COMPUTER SYSTEMS, INC ............. 322,625
34,400 oMENTOR GRAPHICS CORP .................... 318,200
28,170 oMICROCHIP TECHNOLOGY, INC ............... 838,057
11,900 oMICRON ELECTRONICS, INC ................. 211,968
420,300 oMICROSOFT CORP .......................... 53,115,412
15,800 NATIONAL DATA CORP ...................... 684,337
48,937 oNCR CORP ................................ 1,455,875
22,900 oNETMANAGE, INC .......................... 67,268
23,950 oNETSCAPE COMMUNICATIONS CORP ............ 767,896
7,000 oNETWORK GENERAL CORP .................... 104,125
9,500 oNETWORK PERIPHERALS, INC ................ 67,093
6,600 oOBJECTIVE SYSTEMS INTEGRATORS, INC ...... 56,925
266,925 oORACLE CORP ............................. 13,446,346
68,200 oPARAMETRIC TECHNOLOGY CORP .............. 2,902,762
43,000 oPEOPLESOFT, INC ......................... 2,268,250
See notes to financial statements.
-50-
<PAGE>
GROWTH ACCOUNT (CONTINUED)
SHARES VALUE
------ -----
COMPUTER SERVICE--(CONTINUED)
14,800 oPHOENIX TECHNOLOGIES LTD ................ $ 192,400
12,600 oPHYSICIAN COMPUTER NETWORK, INC ......... 85,050
29,300 oPLATINUM TECHNOLOGY, INC ................ 388,225
8,100 oPOLICY MANAGEMENT SYSTEMS CORP .......... 380,700
7,900 oPROJECT SOFTWARE &
DEVELOPMENT, INC ....................... 114,550
16,000 oPSINET, INC ............................. 120,000
21,320 oRATIONAL SOFTWARE CORP .................. 358,442
12,400 oREAD RITE CORP .......................... 258,850
46,700 REYNOLDS & REYNOLDS CO (CLASS A) ........ 735,525
1,020,000 oSABRE GROUP HOLDINGS, INC ............... 27,667,500
16,600 oSAFEGUARD SCIENTIFICS, INC .............. 528,087
15,800 oSECURITY DYNAMICS TECHNOLOGIES, INC ..... 582,625
13,700 SEI INVESTMENT CO ....................... 330,512
13,400 SHARED MEDICAL SYSTEMS CORP ............. 723,600
11,700 oSHIVA CORP .............................. 122,118
5,600 oSPYGLASS, INC ........................... 45,675
42,696 oSTERLING COMMERCE INC ................... 1,403,631
19,300 oSTERLING SOFTWARE, INC .................. 603,125
18,640 oSTRUCTURAL DYNAMICS RESEARCH CORP ....... 489,300
40,300 oSYBASE, INC ............................. 599,462
29,050 oSYMANTEC CORP ........................... 566,475
20,512 oSYNOPSYS, INC ........................... 753,816
17,800 oSYSTEM SOFTWARE ASSOCIATES, INC ......... 135,725
10,200 oSYSTEMSOFT CORP ......................... 109,650
16,920 oTRANSACTION SYSTEM ARCHITECTURE ......... 583,740
5,400 oTRIDENT MICROSYSTEMS, INC ............... 60,750
9,720 oVIASOFT, INC ............................ 493,290
7,000 oVIDEOSERVER, INC ........................ 92,750
11,900 oVIEWLOGIC SYSTEMS, INC .................. 174,037
10,000 oXIRCOM, INC ............................. 124,375
12,600 oZEBRA TECHNOLOGY CORP ................... 351,225
-----------
260,628,682
-----------
CONGLOMERATES--2.76%
90,500 ALLIED SIGNAL, INC ...................... 7,602,000
15,100 oANIXTER INTERNATIONAL, INC .............. 259,531
15,450 oBLYTH INDUSTRIES, INC ................... 521,437
30,235 oCONCORD, INC ............................ 782,330
31,400 oCOPYTELE, INC ........................... 170,737
8,550 CRANE CO ................................ 357,496
24,400 oMETROMEDIA INTERNATIONAL GROUP INC ...... 308,050
153,300 MINNESOTA MINING &
MANUFACTURING CO ....................... 15,636,600
11,100 STANDEX INTERNATIONAL CORP .............. 333,000
1,023,800 TYCO INTERNATIONAL LTD .................. 71,218,087
21,700 UNITED TECHNOLOGIES CORP ................ 1,801,100
46,600 VIAD CORP ............................... 897,050
52,100 WHITMAN CORP ............................ 1,250,400
-----------
101,137,818
-----------
CONSTRUCTION--MATERIALS &
BUILDERS--0.32%
16,100 CARLISLE COS, INC ....................... 561,487
8,300 oCDI CORP ................................ 346,006
28,720 oCHAMPION ENTERPRISES, INC ............... 430,800
49,520 CLAYTON HOMES, INC ...................... 705,660
15,370 FASTENAL CO ............................. 753,130
9,900 oJACOBS ENGINEERING GROUP, INC ........... 266,062
50,500 MASCO CORP .............................. 2,108,375
8,200 MEDUSA CORP ............................. 314,675
7,260 oNCI BUILDING SYSTEMS, INC ............... 235,042
25,500 OAKWOOD HOMES CORP ...................... 612,000
24,600 OWENS CORNING CO ........................ 1,060,875
11,800 PITTWAY CORP (CLASS A) .................. 587,050
6,800 SHERWIN-WILLIAMS CO ..................... 209,950
58,664 SIMON DEBARTOLO GROUP, INC .............. 1,877,248
16,000 oSOLA INTERNATIONAL, INC ................. 536,000
25,300 oUSG CORP ................................ 923,450
12,300 WATSCO, INC ............................. 307,500
-----------
11,835,310
-----------
CONTAINERS--0.09%
41,650 CROWN CORK & SEAL CO, INC ............... 2,225,671
32,000 oGAYLORD CONTAINER CO .................... 246,000
22,000 oOWENS ILLINOIS, INC ..................... 682,000
-----------
3,153,671
-----------
COSMETICS--1.03%
65,900 AVON PRODUCTS, INC ...................... 4,650,068
1,500 CARTER WALLACE, INC ..................... 26,812
290,386 GILLETTE CO ............................. 27,514,073
48,400 INTERNATIONAL FLAVORS &
FRAGRANCES, INC ........................ 2,444,200
115,300 oNU SKIN ASIA PACIFIC, INC (CLASS A) ..... 3,055,450
-----------
37,690,603
-----------
ELECTRICAL EQUIPMENT--4.40%
2,420,000 ABB AB SERIES A ......................... 33,957,127
42,200 oAMERICAN POWER CONVERSION CORP .......... 801,800
14,000 AMETEK, INC ............................. 329,000
12,500 BELDEN, INC ............................. 425,781
72,000 EMERSON ELECTRIC CO ..................... 3,964,500
1,496,300 GENERAL ELECTRIC CO ..................... 97,820,612
3,600 GRAINGER (W.W.), INC .................... 281,475
21,400 HONEYWELL, INC .......................... 1,623,725
7,140 HUBBELL, INC (CLASS B) .................. 314,160
260,600 THOMAS & BETTS CORP ..................... 13,697,787
336,246 WESTINGHOUSE ELECTRIC CORP .............. 7,775,688
-----------
160,991,655
-----------
ELECTRICAL EQUIPMENT--
COMPONENTS DIVERSIFIED--6.56%
20,600 oADVANCED MICRO DEVICES, INC ............. 741,600
45,800 oALTERA CORP ............................. 2,312,900
10,050 oALTRON, INC ............................. 150,750
60,600 AMP, INC ................................ 2,530,050
92,666 oANALOG DEVICES, INC ..................... 2,461,440
552,400 oARROW ELECTRONICS, INC .................. 29,346,250
51,000 oATMEL CORP .............................. 1,428,000
4,500 AVNET, INC .............................. 258,750
11,700 AVX CORP ................................ 315,900
15,100 oCALIFORNIA AMPLIFIER, INC ............... 67,950
15,000 oCHIPS & TECHNOLOGIES, INC ............... 155,625
9,500 oCHRONIMED, INC .......................... 80,156
30,900 oCIRRUS LOGIC, INC ....................... 324,450
16,100 oCOMPUCOM SYSTEMS, INC ................... 114,712
15,300 oCOMPUTER PRODUCTS, INC .................. 382,500
12,350 oCOMVERSE TECHNOLOGY, INC ................ 642,200
8,300 oCREE RESEARCH, INC ...................... 101,675
25,200 oCYPRESS SEMICONDUCTOR CORP .............. 365,400
9,900 DALLAS SEMICONDUCTOR CORP ............... 388,575
7,700 oDII GROUP, INC .......................... 338,800
9,000 oESS TECHNOLOGY .......................... 120,937
14,200 FISHER SCIENTIFIC INTERNATIONAL, INC .... 674,500
71,200 oGENERAL INSTRUMENT CORP ................. 1,780,000
2,300 oHADCO CORP .............................. 150,650
6,200 HELIX TECHNOLOGY CORP ................... 251,100
8,700 oHUTCHINSON TECHNOLOGY, INC .............. 212,062
18,400 oIMP, INC ................................ 28,750
See notes to financial statements.
-51-
<PAGE>
GROWTH ACCOUNT (CONTINUED)
SHARES VALUE
------ -----
ELECTRICAL EQUIPMENT--
COMPONENTS DIVERSIFIED--(CONTINUED)
29,700 oINTEGRATED DEVICE TECHNOLOGY, INC ....... $ 311,850
671,050 INTEL CORP .............................. 95,163,278
27,200 oINTERNATIONAL RECTIFIER CORP ............ 506,600
21,540 oKEMET CORP .............................. 535,807
16,200 oKENT ELECTRONICS CORP ................... 594,337
13,200 oLAM RESEARCH CORP ....................... 489,225
12,140 oLATTICE SEMICONDUCTOR CORP .............. 685,910
853,700 LINEAR TECHNOLOGY CO .................... 44,178,975
68,300 oLSI LOGIC CORP .......................... 2,185,600
34,150 oMAXIM INTEGRATED PRODUCTS ............... 1,942,281
9,800 oMEMC ELECTRONIC MATERIALS, INC .......... 320,950
19,700 METHODE ELECTRONICS, INC (CLASS A) ...... 391,537
88,800 oMICRON TECHNOLOGY, INC .................. 3,546,450
46,706 MOLEX, INC .............................. 1,704,769
318,500 MOTOROLA, INC ........................... 24,206,000
9,100 oMRV COMMUNICATIONS, INC ................. 268,450
16,260 oMYLEX CORP .............................. 154,470
10,400 oOAK INDUSTRIES, INC ..................... 299,000
17,300 PIONEER-STANDARD ELECTRONICS, INC ....... 233,550
7,500 oPLANTRONICS, INC ........................ 375,937
16,800 oPMC-SIERRA, INC ......................... 441,000
13,450 oROBOTIC VISION SYSTEMS, INC ............. 159,718
27,250 oS3, INC ................................. 299,750
10,440 oSANMINA CORP ............................ 662,940
10,000 oSEMITOOL, INC ........................... 116,250
20,000 SYMBOL TECHNOLOGIES, INC ................ 672,500
13,120 oSYMMETRICOM, INC ........................ 188,600
9,200 oTCSI CORP ............................... 48,300
73,000 TEXAS INSTRUMENTS, INC .................. 6,136,562
12,800 oTRIMBLE NAVIGATION LTD .................. 227,200
11,600 oUCAR INTERNATIONAL, INC ................. 530,700
9,340 oUNIPHASE CORP ........................... 544,055
7,700 oUNITRODE CORP ........................... 387,887
18,000 oVICOR CORP .............................. 405,000
13,149 oVISHAY INTERTECHNOLOGY, INC ............. 380,499
16,575 oVITESSE SEMICONDUCTOR CORP .............. 541,795
20,900 oVLSI TECHNOLOGY, INC .................... 493,762
14,600 oWATERS CORP ............................. 523,775
43,200 oWESTERN DIGITAL CORP .................... 1,366,200
5,300 WYLE ELECTRONICS ........................ 209,350
38,000 oXILINX, INC ............................. 1,864,375
10,500 oZILOG, INC .............................. 199,500
-----------
240,220,376
-----------
ELECTRICAL EQUIPMENT--
INSTRUMENTS--0.44%
96,150 oAPPLIED MATERIALS, INC .................. 6,808,621
55,300 oAURA SYSTEMS, INC ....................... 95,046
11,100 oDIONEX CORP ............................. 568,875
9,200 oELECTROGLAS, INC ........................ 231,725
28,420 oELECTRONICS FOR IMAGING, INC ............ 1,342,845
12,900 oGENRAD, INC ............................. 291,862
22,400 oINPUT/OUTPUT, INC ....................... 406,000
39,900 oKLA INSTRUMENTS CORP .................... 1,945,125
10,500 oKULICHE & SOFFA INDUSTRIES, INC ......... 340,921
21,700 oLTX CORP ................................ 141,050
10,800 oNORTHFIELD LABORATORIES, INC ............ 112,050
23,900 PERKIN-ELMER CORP ....................... 1,901,543
8,900 oSILICON VALLEY GROUP, INC ............... 234,737
2,500 TEKTRONIX, INC .......................... 150,000
23,100 oTERADYNE, INC ........................... 906,675
7,200 oTHERMO INSTRUMENT SYSTEMS, INC .......... 219,600
13,400 X RITE, INC ............................. 254,600
-----------
15,951,275
-----------
ENVIRONMENTAL CONTROL--0.34%
48,100 oALLIED WASTE INDUSTRIES, INC ............ 835,737
16,200 BROWNING FERRIS INDUSTRIES, INC ......... 538,650
12,100 oCULLIGAN WATER TECHNOLOGIES, INC ........ 541,475
78,760 oREPUBLIC INDUSTRIES, INC ................ 1,959,155
30,650 oU.S. FILTER CORP ........................ 835,212
69,900 oU.S.A. WASTE SERVICES, INC .............. 2,699,887
25,600 oUNITED WASTE SYSTEMS, INC ............... 1,049,600
124,424 WASTE MANAGEMENT, INC ................... 3,997,121
-----------
12,456,837
-----------
FINANCIAL--MISCELLANEOUS--1.76%
17,900 AAMES FINANCIAL CORP .................... 331,150
21,600 ADVANTA CORP (CLASS A) .................. 793,800
2,100 AMBAC, INC .............................. 160,387
83,600 AMERICAN EXPRESS CO ..................... 6,228,200
20,600 oARCADIA FINANCIAL LTD ................... 189,262
23,100 CARR AMERICA REALTY CORP ................ 664,125
3,000 CASE CORP ............................... 206,625
48,900 oCATELLUS DEVELOPMENT CORP ............... 886,312
7,800 CMAC INVESTMENT CORP .................... 372,450
7,731 COUNTRYWIDE CREDIT INDUSTRIES, INC ...... 241,110
12,800 oCREDIT ACCEPTANCE CORP .................. 164,800
10,600 oEIS INTERNATIONAL, INC .................. 85,462
9,100 oENVOY CORP .............................. 302,575
177,100 FEDERAL HOME LOAN MORTGAGE CORP ......... 6,087,812
388,200 FEDERAL NATIONAL MORTGAGE
ASSOCIATION ............................ 16,935,225
5,300 FINOVA GROUP, INC ....................... 405,450
43,050 FRANKLIN RESOURCES, INC ................. 3,123,815
24,660 oGARTNER GROUP, INC (CLASS A) ............ 886,218
20,700 GENERAL GROWTH PROPERTIES, INC .......... 693,450
75,200 GREEN TREE FINANCIAL CORP ............... 2,679,000
34,628 HOUSEHOLD INTERNATIONAL, INC ............ 4,066,625
160,650 MBNA CORP ............................... 5,883,806
79,650 oMERCURY FINANCE CO ...................... 194,146
23,200 MILLS CORP .............................. 642,350
30,300 MORGAN STANLEY, DEAN WITTER,
DISCOVER ............................... 1,304,793
15,300 PENNCORP FINANCIAL GROUP, INC ........... 589,050
21,900 PIONEER GROUP, INC ...................... 503,700
25,700 PRICE (T. ROWE) ASSOCIATES, INC ......... 1,326,762
11,700 QUICK & REILLY GROUP, INC ............... 272,025
60,900 SCHWAB (CHARLES) CORP ................... 2,477,868
19,200 SPIEKER PROPERTIES, INC ................. 675,600
23,300 STUDENT LOAN MARKETING ASSOCIATION ...... 2,959,100
17,850 THE MONEY STORE, INC .................... 512,071
11,700 TIG HOLDINGS, INC ....................... 365,625
28,700 UNITED ASSET MANAGEMENT CORP ............ 812,568
9,800 UNITED COS FINANCIAL CORP ............... 276,850
-----------
64,300,167
-----------
FOODS--2.49%
116,900 CAMPBELL SOUP CO ........................ 5,845,000
111,500 CONAGRA, INC ............................ 7,149,937
164,400 CPC INTERNATIONAL, INC .................. 15,176,175
24,400 DOLE FOOD, INC .......................... 1,043,100
3,744 EARTHGRAINS CO .......................... 245,466
17,250 FLOWERS INDUSTRIES, INC ................. 290,015
427,662 GENERAL MILLS, INC ...................... 27,851,487
45,300 oGENERAL NUTRITION COS, INC .............. 1,268,400
73,900 HEINZ (H.J.) CO ......................... 3,408,637
29,800 HERSHEY FOODS CORP ...................... 1,648,312
39,300 KELLOGG CO .............................. 3,365,062
15,300 LANCE, INC .............................. 292,612
See notes to financial statements.
-52-
<PAGE>
GROWTH ACCOUNT (CONTINUED)
SHARES VALUE
------ -----
FOODS--(CONTINUED)
10,400 MCCORMICK & CO, INC (NON-VTG) ........... $ 262,600
20,600 NABISCO HOLDINGS CORP (CLASS A) ......... 821,425
12,400 NATURES SUNSHINE PRODUCTS, INC .......... 224,750
36,300 PIONEER-HI-BRED INTERNATIONAL, INC ...... 2,904,000
14,300 QUAKER OATS CO .......................... 641,712
10,200 oRALCORP HOLDINGS, INC ................... 150,450
44,250 RALSTON PURINA CO ....................... 3,636,796
22,800 RICHFOOD HOLDINGS, INC .................. 592,800
216,500 SARA LEE CORP ........................... 9,011,812
9,050 oSMITHFIELD FOODS, INC ................... 556,575
9,400 oTHE CHEESECAKE FACTORY CO ............... 197,400
11,206 TOOTSIE ROLL INDUSTRIES, INC ............ 498,667
13,150 TYSON FOODS, INC ........................ 251,493
12,100 oWHOLE FOODS MARKET, INC ................. 400,812
53,800 WRIGLEY (WM) JR CO ...................... 3,604,600
-----------
91,340,095
-----------
HEALTHCARE--DRUGS--7.49%
22,650 oADVANCED TISSUE SCIENCE CO .............. 291,618
7,750 oAGOURON PHARMACEUTICALS, INC ............ 626,781
17,800 ALLERGAN, INC ........................... 566,262
17,000 oALLIANCE PHARMACEUTICALS CORP ........... 171,062
44,300 oALZA CORP ............................... 1,284,700
236,700 AMERICAN HOME PRODUCTS CORP ............. 18,107,550
438,300 oAMGEN, INC .............................. 25,476,187
17,650 oAMYLIN PHARMACEUTICALS, INC ............. 242,687
15,250 ARBOR DRUGS, INC ........................ 306,906
8,400 oBIO-RAD LABORATORIES, INC (CLASS A) ..... 218,925
29,700 oBIO-TECHNOLOGY GENERAL CORP ............. 400,950
38,600 oBIOGEN, INC ............................. 1,307,575
247,600 BRISTOL MYERS SQUIBB CO ................. 20,055,600
14,300 oCELLPRO, INC ............................ 85,800
29,300 oCENTOCOR, INC ........................... 910,131
14,300 oCEPHALON, INC ........................... 164,450
85,416 oCHIRON CORP ............................. 1,783,059
19,100 oCOLUMBIA LABORATORIES, INC .............. 312,762
21,280 oCREATIVE BIOMOLECULES, INC .............. 150,290
12,300 oCYGNUS, INC ............................. 212,175
38,700 oCYTOGEN CORP ............................ 188,662
23,750 oDURA PHARMACEUTICALS, INC ............... 947,031
15,960 oENZO BIOCHEMICAL, INC ................... 252,367
19,300 oFOREST LABORATORIES, INC ................ 799,743
23,800 oGENZYME CORP (GENERAL DIVISION) ......... 660,450
37,710 oGENZYME CORP
(TISSUE REPAIR DIVISION) ................ 381,813
17,900 oGILEAD SCIENCES, INC .................... 494,487
30,000 oICOS CORP ............................... 247,500
9,100 oIDEC PHARMACEUTICALS CORP ............... 220,675
11,200 oIMMUNEX CORP ............................ 406,000
20,700 oINTERNEURON PHARMACEUTICALS, INC ........ 416,587
17,120 oISIS PHARMACEUTICALS, INC ............... 249,310
57,300 oIVAX CORP ............................... 641,043
13,300 JONES MEDICAL INDUSTRIES, INC ........... 631,750
18,840 oLIGAND PHARMACEUTICALS CO (CLASS A) ..... 242,565
399,584 LILLY (ELI) & CO ........................ 43,679,526
19,700 oLIPOSOME CO, INC ........................ 176,068
426,800 ~MARTEK BIOSCIENCES CORP ................. 5,014,900
109,440 ~MARTEK BIOSCIENCES CORP
WTS 05/18/98 ............................ 201,369
18,850 oMATRIX PHARMACEUTICALS, INC ............. 126,059
630,500 *MERCK & CO, INC ......................... 65,256,750
65,400 MYLAN LABORATORIES, INC ................. 964,650
13,700 oNEOPROBE CORP ........................... 191,800
9,680 oNEUREX CORP ............................. 136,730
9,200 oNEUROGEN CORP ........................... 209,300
16,080 oNOVEN PHARMACEUTICALS, INC .............. 114,570
334,400 PFIZER, INC ............................. 39,960,800
106,200 PHARMACIA & UPJOHN, INC ................. 3,690,450
7,500 oPROTEIN DESIGN LABORATORIES, INC ........ 213,750
14,600 oREGENERON PHARMACEUTICALS, INC .......... 147,825
17,700 RHONE-POULNEC RORER, INC ................ 1,608,487
8,100 oROBERTS PHARMACEUTICAL CORP ............. 90,618
13,600 oSCHERER (R.P.) CORP ..................... 702,100
381,200 SCHERING-PLOUGH CORP .................... 18,249,950
17,000 oSEPRACOR, INC ........................... 438,812
20,400 oSEQUUS PHARMACEUTICALS, INC ............. 130,050
17,100 oSOMATOGEN, INC .......................... 79,087
12,200 oU.S. BIOSCIENCE, INC .................... 117,425
12,740 oVERTEX PHARMACEUTICALS, INC ............. 487,305
12,100 oVICAL, INC .............................. 154,275
94,500 WARNER-LAMBERT CO ....................... 11,741,625
16,650 oWATSON PHARMACEUTICALS, INC ............. 703,462
-----------
274,043,196
-----------
HEALTHCARE--HOSPITAL SUPPLY--1.28%
695,976 JOHNSON & JOHNSON CO .................... 44,803,455
3,000 MCKESSON CORP ........................... 232,500
22,400 MILLIPORE CORP .......................... 985,600
26,100 U.S. SURGICAL CORP ...................... 972,225
-----------
46,993,780
-----------
HEALTHCARE--OTHER--3.28%
405,600 ABBOTT LABORATORIES CO .................. 27,073,800
7,650 oACCESS HEALTH, INC ...................... 187,425
7,650 oADVANCED TECHNOLOGY
LABORATORIES, INC ...................... 328,950
26,850 oAMERICAN ONCOLOGY RESOURCES, INC ........ 453,093
8,340 ARROW INTERNATIONAL, INC ................ 243,945
18,500 BALLARD MEDICAL PRODUCTS CO ............. 371,156
11,200 BARD (C.R.), INC ........................ 406,700
62,000 BECTON DICKINSON & CO ................... 3,138,750
61,900 oBIOMET, INC ............................. 1,152,887
54,215 oBOSTON SCIENTIFIC CORP .................. 3,330,834
15,520 oCNS, INC ................................ 141,620
10,750 oCONMED CORP ............................. 182,750
36,500 oCORAM HEALTHCARE CORP ................... 88,968
18,200 oCOVENTRY CORP ........................... 275,275
7,400 oCURATIVE HEALTH SERVICES, INC ........... 212,750
1,011,950 DENTSPLY INTERNATIONAL, INC ............. 49,585,550
7,300 DIAGNOSTIC PRODUCTS CORP ................ 230,406
13,100 oENDOSONICS CORP ......................... 142,462
11,200 oEPITOPE, INC ............................ 88,200
24,710 oFRESENIUS MEDICAL CARE AG. ADR .......... 719,678
21,250 oGENESIS HEALTH VENTURES, INC ............ 717,187
37,781 GUIDANT CORP ............................ 3,211,385
8,700 oGULF SOUTH MEDICAL SUPPLY, INC .......... 169,650
13,600 oHAEMONETICS CORP ........................ 260,100
24,400 HILLENBRAND INDUSTRIES, INC ............. 1,159,000
7,300 oHOLOGIC, INC ............................ 194,362
12,400 oHUMAN GENOME SCIENCES, INC .............. 412,300
18,500 oIDEXX LABORATORIES, INC ................. 230,093
44,400 oIMATRON, INC ............................ 112,387
19,600 oISOLYSER CO, INC ........................ 53,287
9,300 oLIFECORE BIOMEDICAL, INC ................ 127,875
39,700 oMEDAPHIS CORP ........................... 399,481
124,650 MEDTRONIC, INC .......................... 10,096,650
14,300 MENTOR CORP ............................. 423,637
26,300 oNABI, INC ............................... 174,237
34,550 oNELLCOR PURITAN BENNETT, INC ............ 626,218
8,900 oNEOPATH, INC ............................ 169,100
23,400 oNEUROMEDICAL SYSTEMS, INC ............... 129,431
See notes to financial statements.
-53-
<PAGE>
GROWTH ACCOUNT (CONTINUED)
SHARES VALUE
------ -----
HEALTHCARE--OTHER--(CONTINUED)
12,500 oORGANOGENESIS, INC ...................... $ 244,531
22,250 OWENS & MINOR, INC ...................... 332,359
67,050 PALL CORP ............................... 1,558,912
11,800 oPATTERSON DENTAL CO ..................... 404,887
9,018 oPHARMACEUTICAL PRODUCT
DEVELOPMENT ............................ 198,396
14,700 oPHYSICIAN RELIANCE NETWORK, INC ......... 137,812
21,850 oPHYSICIAN SALES & SERVICE, INC .......... 415,150
11,300 oPOSSIS MEDICAL, INC ..................... 190,687
16,750 oQUEST DIAGNOSTICS, INC .................. 344,421
12,900 oRESPIRONICS, INC ........................ 272,512
12,300 oSOFAMOR DANEK GROUP, INC ................ 562,725
44,575 oST. JUDE MEDICAL, INC ................... 1,738,425
19,500 oSTERIS CORP ............................. 728,812
34,400 STEWART ENTERPRISES, INC (CLASS A) ...... 1,444,800
40,400 oSTRYKER CORP ............................ 1,408,950
21,000 oSUMMIT TECHNOLOGY, INC .................. 139,125
7,100 oSUNRISE MEDICAL, INC .................... 107,387
26,700 oSYBRON INTERNATIONAL CORP ............... 1,064,662
12,000 oSYNETIC, INC ............................ 444,000
11,600 oTECNOL MEDICAL PRODUCTS, INC ............ 258,100
14,000 oTHERMEDICS, INC ......................... 219,625
11,400 oTHERMO CARDIOSYSTEMS, INC ............... 296,400
7,700 oTHERMOTREX CORP ......................... 192,018
23,800 oUROMED CORP ............................. 83,300
19,900 oVIVUS, INC .............................. 473,868
-----------
120,283,443
-----------
HEALTHCARE--SERVICE--5.08%
420,515 AETNA, INC .............................. 43,050,223
8,920 oAMERICAN HOMEPATIENT, INC ............... 223,000
15,500 oAMERISOURCE HEALTH CORP (CLASS A) ....... 773,062
12,400 ANALYSTS INTERNATIONAL CORP ............. 415,400
25,400 oAPRIA HEALTHCARE GROUP, INC ............. 450,850
16,600 oBEVERLY ENTERPRISES CO .................. 269,750
618,626 CARDINAL HEALTH, INC .................... 35,416,338
15,200 oCERNER CORP ............................. 319,200
353,330 COLUMBIA/HCA HEALTHCARE CORP ............ 13,890,285
32,500 oCOVANCE, INC ............................ 627,656
6,500 FAIR ISSAC & CO, INC .................... 289,656
60,120 oFOUNDATION HEALTH SYSTEMS (CLASS A) ..... 1,822,387
21,900 oHEALTH CARE & RETIREMENT CORP ........... 730,912
16,900 HEALTH CARE PROPERTY INVESTORS, INC ..... 595,725
55,212 oHEALTH MANAGEMENT ASSOCIATES, INC
(CLASS A) .............................. 1,573,542
14,900 oHEALTH MANAGEMENT SYSTEMS, INC .......... 67,981
18,100 oHEALTHCARE COMPARE CO ................... 947,987
164,456 oHEALTHSOUTH CORP ........................ 4,101,121
3,800 oHORIZON/CMS HEALTHCARE CORP ............. 76,237
74,600 oHUMANA, INC ............................. 1,725,125
7,900 oI-STAT CORP ............................. 135,287
4,300 oINTEGRATED SILICON SOLUTION, INC ........ 32,653
17,600 INVACARE CORP ........................... 411,400
19,804 oLABORATORY CORP OF AMERICA
HOLDINGS ............................... 51,985
2,560 oLABORATORY CORP OF AMERICA
HOLDINGS WTS 04/28/00 .................. 160
17,140 oLINCARE HOLDINGS, INC ................... 737,020
7,400 oLIVING CENTERS OF AMERICA, INC .......... 292,300
25,400 MANOR CARE, INC ......................... 828,675
8,100 oMARINER HEALTH GROUP, INC ............... 125,043
28,400 oMATRIA HEALTHCARE, INC .................. 113,600
9,900 oMAXICARE HEALTH PLANS, INC .............. 221,512
73,151 oMEDPARTNERS, INC ........................ 1,581,890
22,600 oMID ATLANTIC MEDICAL SERVICES, INC ...... 351,712
1,766 MORRISON HEALTH CARE, INC ............... 28,145
14,900 oMULTICARE COS, INC ...................... 407,887
39,900 OMNICARE, INC ........................... 1,251,862
11,000 oORTHODONTIC CENTERS OF AMERICA, INC ..... 200,062
40,000 oOXFORD HEALTH PLANS, INC ................ 2,870,000
4,065 oPACIFICARE HEALTH SYSTEMS, INC
(CLASS A) .............................. 246,186
888,034 oPACIFICARE HEALTH SYSTEMS, INC
(CLASS B) .............................. 56,723,171
5,800 oPEDIATRIX MEDICAL GROUP, INC ............ 265,712
8,900 oPHP HEALTHCARE CORP ..................... 116,812
29,050 oPHYCOR, INC ............................. 1,000,409
6,900 oPHYSICIAN CORP OF AMERICA ............... 43,987
15,300 oPHYSICIANS RESOURCE GROUP INC ........... 137,700
18,400 oRENAL TREATMENT CENTERS, INC ............ 494,500
16,840 oROTECH MEDICAL CORP ..................... 337,852
5,800 oSIERRA HEALTH SERVICES, INC ............. 181,250
8,200 oSUN HEALTHCARE GROUP, INC ............... 170,662
62,935 oTENET HEALTHCARE CORP ................... 1,860,515
93,000 UNITED HEALTHCARE CORP .................. 4,836,000
18,900 oUNIVERSAL HEALTH SERVICES, INC .......... 727,650
26,000 oVALUE HEALTH, INC ....................... 526,500
25,700 oVENCOR, INC ............................. 1,085,825
9,600 oVETERINARY CENTERS OF AMERICA, INC ...... 117,000
7,800 oVISX, INC ............................... 185,250
-----------
186,064,611
-----------
HOUSEHOLD--CONSUMER
ELECTRONICS--0.01%
8,200 HARMAN INTERNATIONAL
INDUSTRIES, INC ........................ 345,425
15,100 oZENITH ELECTRONICS CORP ................. 178,368
-----------
523,793
-----------
HOUSEHOLD--DURABLE GOODS--1.36%
10,100 BLACK & DECKER CORP ..................... 375,593
20,500 oGENTEX CORP ............................. 404,875
1,035,700 LEGGETT & PLATT, INC .................... 44,535,100
82,400 NEWELL COS, INC ......................... 3,265,100
10,000 SHAW INDUSTRIES, INC .................... 106,250
6,600 STANLEY WORKS CO ........................ 264,000
21,900 SUNBEAM CORP ............................ 826,725
24,600 oTOP SOURCE TECHNOLOGIES, INC ............ 36,900
-----------
49,814,543
-----------
HOUSEHOLD--PRODUCTS--4.04%
5,800 APTARGROUP, INC ......................... 262,450
14,350 CLOROX CO ............................... 1,894,200
152,800 COLGATE PALMOLIVE CO .................... 9,970,200
52,000 DIAL CORP ............................... 812,500
18,100 FIRST BRANDS CORP ....................... 415,168
1,070,460 KIMBERLY-CLARK CORP ..................... 53,255,385
565,000 LANCASTER COLONY CORP ................... 27,331,875
13,200 oPERRIGO CO .............................. 165,000
356,300 PROCTER & GAMBLE CO ..................... 50,327,375
75,600 RUBBERMAID, INC ......................... 2,249,100
10,200 TAMBRANDS, INC .......................... 508,725
18,200 TUPPERWARE CORP ......................... 664,300
-----------
147,856,278
-----------
INSURANCE--BROKERS & OTHER--0.30%
12,600 oABR INFORMATION SERVICES, INC ........... 365,400
21,600 CRAWFORD & CO (CLASS B) ................. 351,000
78,400 EQUIFAX, INC ............................ 2,915,500
13,900 GALLAGHER (ARTHUR J.) & CO .............. 524,725
23,800 oINSIGNIA FINANCIAL GROUP, INC ........... 431,375
69,200 MARSH & MCLENNAN COS, INC ............... 4,939,150
11,400 NORRELL CORP ............................ 376,200
28,760 oQUORUM HEALTH GROUP, INC ................ 1,028,170
-----------
10,931,520
-----------
See notes to financial statements.
-54-
<PAGE>
GROWTH ACCOUNT (CONTINUED)
SHARES VALUE
------ -----
INSURANCE--LIFE--0.13%
9,100 oCOMPDENT CORP ........................... $ 191,668
7,900 EQUITABLE COS, INC ...................... 262,675
7,000 REINSURANCE GROUP OF AMERICA, INC ....... 402,500
61,300 SUNAMERICA, INC ......................... 2,988,375
5,600 UNUM CORP ............................... 235,200
7,200 VESTA INSURANCE GROUP, INC .............. 311,400
7,400 WESTERN NATIONAL CORP ................... 198,412
-----------
4,590,230
-----------
INSURANCE--MULTI-LINE,
PROPERTY & CASUALTY--1.76%
29,400 20TH CENTURY INDUSTRIES ................. 617,400
14,600 AFLAC, INC .............................. 689,850
664,400 ALLSTATE CORP ........................... 48,501,200
47,200 AMERICAN INTERNATIONAL GROUP, INC ....... 7,050,500
5,615 FRONTIER INSURANCE GROUP, INC ........... 363,571
4,600 GENERAL REINSURANCE CORP ................ 837,200
20,600 HCC INSURANCE HOLDINGS, INC ............. 549,762
10,650 oHIGHLANDS INSURANCE GROUP, INC .......... 214,331
5,000 HSB GROUP, INC .......................... 266,875
61,200 MGIC INVESTMENT CORP .................... 2,933,775
8,100 PROGRESSIVE CORP ........................ 704,700
16,900 TRAVELERS GROUP, INC .................... 1,065,756
12,500 oZURICH REINSURANCE CENTRE
HOLDINGS, INC .......................... 493,750
-----------
64,288,670
-----------
LEISURE TIME--4.35%
18,000 oACCLAIM ENTERTAINMENT, INC .............. 74,250
28,300 oALLIANCE ENTERTAINMENT CORP ............. 7,959
5,840 oANCHOR GAMING CO ........................ 278,860
11,400 ARCTIC CAT, INC ......................... 118,275
15,800 AUTHENTIC FITNESS CORP .................. 199,475
27,900 oBOYD GAMING CORP ........................ 160,425
15,500 BRUNSWICK CORP .......................... 484,375
40,000 CALLAWAY GOLF CO ........................ 1,420,000
1,580,800 CARNIVAL CORP (CLASS A) ................. 65,208,000
54,800 oCIRCUS CIRCUS ENTERPRISES, INC .......... 1,349,450
12,200 COACHMEN INDUSTRIES, INC ................ 208,925
357,370 DISNEY (WALT) CO ........................ 28,678,942
11,800 oGALOOB TOYS, INC ........................ 222,725
19,500 oGRAND CASINOS, INC ...................... 287,625
24,000 oGTECH HOLDINGS CORP ..................... 774,000
53,300 oHARRAHS ENTERTAINMENT, INC .............. 959,400
13,500 oHOLLYWOOD ENTERTAINMENT CORP ............ 308,812
61,000 INTERNATIONAL GAME TECHNOLOGY CO ........ 1,082,750
10,500 JOSTENS, INC ............................ 280,875
18,600 oJUMBOSPORTS, INC ........................ 70,912
14,800 K2, INC ................................. 468,975
1,537,718 MATTEL, INC ............................. 52,090,197
99,100 oMIRAGE RESORT, INC ...................... 2,502,275
14,500 oPLAYERS INTERNATIONAL, INC .............. 43,500
9,100 oPRIMADONNA RESORTS, INC ................. 175,743
17,850 oREGAL CINEMAS, INC ...................... 589,050
8,700 oSCIENTIFIC GAMES HOLDINGS CORP .......... 179,437
12,400 SHOWBOAT, INC ........................... 216,225
22,500 oSTATION CASINOS, INC .................... 188,437
13,300 STRUM, RUGER & CO, INC .................. 261,012
18,600 oTRUMP HOTEL & CASINO RESORT, INC ........ 199,950
22,000 oVALUEVISION INTERNATIONAL, INC .......... 86,625
2,675 oWHG RESORTS & CASINO, INC ............... 29,090
12,000 oWMS INDUSTRIES, INC ..................... 300,750
-----------
159,507,301
-----------
MACHINERY--0.58%
4,000 AEROQUIP-VICKERS, INC ................... 189,000
6,500 AGCO CORP ............................... 233,593
6,100 ALLIED PRODUCTS CORP .................... 202,062
3,900 BW/IP HOLDING, INC ...................... 79,218
7,150 CINCINNATI MILACRON, INC ................ 185,453
17,900 oCOGNEX CORP ............................. 474,350
17,033 DELTA & PINE LAND CO .................... 606,800
55,000 DOVER CORP .............................. 3,382,500
11,100 DURCO INTERNATIONAL, INC ................ 324,675
28,000 FEDERAL SIGNAL CORP ..................... 703,500
16,700 oFIGGIE INTERNATIONAL, INC (CLASS A) ..... 229,625
10,000 GREENFIELD INDUSTRIES, INC .............. 270,000
17,150 IDEX CORP ............................... 565,950
100,400 ILLINOIS TOOL WORKS, INC ................ 5,013,725
9,900 oINTEGRATED PROCESS EQUIPMENT CORP ....... 250,593
9,900 oINTERVOICE, INC ......................... 90,956
25,700 JLG INDUSTRIES, INC ..................... 350,162
11,900 KAYDON CORP ............................. 590,537
2,642 KENNAMETAL, INC ......................... 113,606
4,700 KEYSTONE INTERNATIONAL, INC ............. 163,031
15,700 oMOLTEN METAL TECHNOLOGY, INC ............ 78,500
10,200 NORDSON CORP ............................ 655,350
8,100 oNOVELLUS SYSTEMS, INC ................... 700,650
8,700 ROPER INDUSTRIES, INC ................... 451,312
10,600 SUNDSTRAND CORP ......................... 572,400
78,375 oTHERMO ELECTRON CORP .................... 2,694,140
5,900 TRIMAS CORP ............................. 165,937
14,500 TRINITY INDUSTRIES, INC ................. 460,375
10,700 oULTRATECH STEPPER, INC .................. 244,762
22,000 YORK INTERNATIONAL CORP ................. 1,012,000
-----------
21,054,762
-----------
METALS--ALUMINUM--0.00%
3,900 oACX TECHNOLOGIES, INC ................... 87,750
-----------
METALS--GOLD--0.46%
14,000 BATTLE MOUNTAIN GOLD CO ................. 79,625
309,000 oEUOR-NEVADA MINING CORP ................. 9,519,066
9,300 oFRANCO-NEVADA MINING CORP LTD ........... 466,820
53,104 FREEPORT-MCMORAN COPPER &
GOLD, INC (CLASS A) .................... 1,553,292
38,177 FREEPORT-MCMORAN COPPER &
GOLD, INC (CLASS B) .................... 1,188,259
16,300 oGETCHELL GOLD CORP ...................... 572,537
20,500 HOMESTAKE MINING CO ..................... 267,781
5,900 NEWMONT GOLD CO ......................... 235,631
79,846 NEWMONT MINING CORP ..................... 3,113,994
-----------
16,997,005
-----------
METALS--NON-FERROUS--0.06%
18,400 BMC INDUSTRIES, INC ..................... 630,200
6,700 FREEPORT-MCMORAN, INC ................... 193,462
7,000 MINERALS TECHNOLOGIES, INC .............. 262,500
11,000 oMUELLER INDUSTRIES, INC ................. 481,250
6,000 oOREGON METALLURICAL CORP ................ 168,750
8,100 oRMI TITANIUM CO ......................... 220,725
8,800 oSOLV-EX CORP ............................ 29,150
11,000 oSTILLWATER MINING CO .................... 244,750
177,400 oSUNSHINE MINING & REFINING CO ........... 121,962
-----------
2,352,749
-----------
METALS--STEEL--0.13%
5,500 AK STEEL HOLDINGS CORP .................. 242,687
8,300 HANNA (M.A.) CO ......................... 239,143
9,800 oMATERIAL SCIENCES CORP .................. 151,287
44,900 NUCOR CORP .............................. 2,536,850
41,800 oUNR INDUSTRIES, INC ..................... 287,375
See notes to financial statements.
-55-
<PAGE>
GROWTH ACCOUNT (CONTINUED)
SHARES VALUE
------ -----
METALS--STEEL--(CONTINUED)
15,200 USX-US STEEL GROUP, INC ................. $ 532,950
10,400 oWOLVERINE TUBE, INC ..................... 289,900
32,680 WORTHINGTON INDUSTRIES, INC ............. 598,452
-----------
4,878,644
-----------
MISCELLANEOUS MATERIALS &
COMMODITIES--0.01%
11,100 oOAKLEY, INC ............................. 156,093
5,480 oZOLTEK COS, INC ......................... 209,610
-----------
365,703
-----------
OFFICE EQUIPMENT--2.14%
14,000 oAPPLIED MAGNETICS CORP .................. 316,750
28,000 oASPECT TELECOMMUNICATIONS CORP .......... 623,000
50,850 AVERY DENNISON CORP ..................... 2,040,356
6,400 oBOISE CASCADE OFFICE PRODUCTS CORP ...... 108,800
127,700 oCOMPAQ COMPUTER CORP .................... 12,674,225
12,000 oCONTROL DATA SYSTEMS, INC ............... 178,500
72,650 oDELL COMPUTER CORP ...................... 8,531,834
9,100 oDH TECHNOLOGY, INC ...................... 147,875
8,700 oFILENET CORP ............................ 126,150
19,000 oGATEWAY 2000, INC ....................... 616,312
439,900 HEWLETT-PACKARD CO ...................... 24,634,400
14,900 HON INDUSTRIES, INC ..................... 659,325
70,000 IKON OFFICE SOLUTIONS, INC .............. 1,745,625
5,000 oIN FOCUS SYSTEMS, INC ................... 128,125
60,200 oIOMEGA CORP ............................. 1,196,475
25,250 oKOMAG, INC .............................. 413,468
34,100 oLEXMARK INTERNATIONAL GROUP
(CLASS A) .............................. 1,035,787
5,800 oMICROS SYSTEMS, INC ..................... 243,600
18,800 oPAXAR CORP .............................. 354,850
6,900 oPERCEPTRON INC .......................... 187,162
8,700 PITNEY BOWES, INC ....................... 604,650
35,000 oQUANTUM CORP ............................ 710,937
15,660 oSCI SYSTEMS, INC ........................ 998,325
113,000 oSEAGATE TECHNOLOGY, INC ................. 3,976,187
4,500 oSEQUENT COMPUTER SYSTEMS, INC ........... 94,781
95,900 oSILICON GRAPHICS, INC ................... 1,438,500
23,900 oSOLECTRON CORP .......................... 1,674,493
192,450 oSUN MICROSYSTEMS, INC ................... 7,162,748
19,500 oU.S. OFFICE PRODUCTS CO ................. 595,968
48,400 oUNISYS CORP ............................. 369,050
45,000 oVIKING OFFICE PRODUCTS, INC ............. 855,000
21,780 oWANG LABORATORIES, INC .................. 464,186
42,550 XEROX CORP .............................. 3,356,131
-----------
78,263,575
-----------
PAPER--0.14%
24,900 BEMIS, INC .............................. 1,076,925
12,700 CARAUSTAR INDUSTRIES, INC ............... 439,737
20,850 oFORT HOWARD CORP ........................ 1,055,531
8,700 oJEFFERSON SMURFIT CORP .................. 139,200
16,700 oLYDALL, INC ............................. 352,787
14,100 oSHOREWOOD PACKAGING CORP ................ 320,775
34,245 SONOCO PRODUCTS CO ...................... 1,042,332
29,900 UNISOURCE WORLDWIDE, INC ................ 478,400
16,750 WAUSAU PAPER MILLS CO ................... 316,156
-----------
5,221,843
-----------
PETROLEUM--EXPLORATION &
PRODUCTION--1.31%
28,200 ANADARKO PETROLEUM CORP ................. 1,692,000
1,011,200 APACHE CORP ............................. 32,864,000
19,700 oBARNETT RESOURCES CORP .................. 589,768
20,300 oBENTON OIL & GAS CO ..................... 304,500
2,900 BURLINGTON RESOURCES, INC ............... 127,962
21,700 CHESAPEAKE ENERGY CORP .................. 212,931
4,500 DEVON ENERGY CORP ....................... 165,375
31,100 ENRON OIL & GAS CO ...................... 563,687
18,800 oEVI, INC ................................ 789,600
15,000 KCS ENERGY, INC ......................... 305,625
14,000 LOMAK PETROLEUM, INC .................... 249,375
13,800 LOUISIANA LAND & EXPLORATION CO ......... 788,325
25,100 oNEWFIELD EXPLORATION CO ................. 502,000
25,400 NOBLE AFFILIATES, INC ................... 982,662
5,900 oNUEVO ENERGY CO ......................... 241,900
8,400 oOCEAN ENERGY, INC ....................... 388,500
51,800 oORYX ENERGY CO .......................... 1,094,275
18,700 POGO PRODUCING CO ....................... 723,456
14,248 oSEAGULL ENERGY CORP ..................... 249,340
9,500 oSTONE ENERGY CORP ....................... 260,062
10,650 oSWIFT ENERGY CO ......................... 254,268
8,400 oTEJAS GAS CORP .......................... 329,700
129,389 UNION PACIFIC RESOURCES GROUP, INC ...... 3,218,551
17,100 UNION TEXAS PETROLEUM
HOLDINGS, INC .......................... 358,031
18,600 oUNITED MERIDIAN CORP ................... 558,000
-----------
47,813,893
-----------
PETROLEUM--INTEGRATED--0.07%
48,400 PHILLIPS PETROLEUM CO ................... 2,117,500
9,533 UNOCAL CORP ............................. 369,999
-----------
2,487,499
-----------
PETROLEUM--SERVICE--0.87%
57,300 BAKER HUGHES, INC ....................... 2,216,793
7,400 oBJ SERVICES CO .......................... 396,825
4,400 CABOT CORP .............................. 124,850
21,850 CROSS TIMBERS OIL CO .................... 420,612
63,500 oDIAMOND OFFSHORE DRILLING, INC .......... 4,960,937
31,800 DRESSER INDUSTRIES, INC ................. 1,184,550
37,900 oENSCO INTERNATIONAL, INC ................ 1,999,225
44,300 FLUOR CORP .............................. 2,444,806
7,400 oGASONICS INTERNATIONAL CORP ............. 100,825
19,660 oGLOBAL INDUSTRIES LTD ................... 459,245
64,700 oGLOBAL MARINE, INC ...................... 1,504,275
62,451 HALLIBURTON CO .......................... 4,949,241
25,240 oMARINE DRILLING CO, INC ................. 495,335
29,400 oNABORS INDUSTRIES, INC .................. 735,000
20,400 oNOBLE DRILLING CORP ..................... 460,275
18,100 oOCEANEERING INTERNATIONAL, INC .......... 334,850
28,400 oPRIDE INTERNATIONAL INC ................. 681,600
36,200 oREADING & BATES CORP .................... 968,350
22,600 oSMITH INTERNATIONAL, INC ................ 1,372,950
31,700 TIDEWATER, INC .......................... 1,394,800
48,500 TOSCO CORP .............................. 1,451,968
17,400 TRANSOCEAN OFFSHORE, INC (U.S.) ......... 1,263,675
9,000 VASTAR RESOURCES, INC ................... 315,562
17,100 oWEATHERFORD ENTERRA, INC ................ 658,350
13,800 oWESTERN ATLAS, INC ...................... 1,010,850
-----------
31,905,749
-----------
PHOTOGRAPHY--0.27%
116,800 EASTMAN KODAK CO ........................ 8,964,400
5,000 oPHOTRONICS, INC ......................... 238,750
6,400 oPRESSTEK, INC ........................... 555,200
-----------
9,758,350
-----------
See notes to financial statements.
-56-
<PAGE>
GROWTH ACCOUNT (CONTINUED)
SHARES VALUE
------ -----
PROPERTY--REAL ESTATE--0.06%
12,600 KIMCO REALTY CORP ....................... $ 400,050
15,200 VORNADO REALTY TRUST .................... 1,096,300
20,300 WASHINGTON REAL ESTATE
INVESTMENT TRUST ....................... 360,325
9,300 WEINGARTEN REALTY INVESTORS, INC ........ 392,925
-----------
2,249,600
-----------
PUBLISHING--NEWSPAPER--0.32%
43,400 oAMERICAN MEDIA, INC (CLASS A) ........... 303,800
22,400 BELO (A.H.) CORP SERIES A ............... 932,400
3,200 DOW JONES & CO, INC ..................... 128,600
10,400 oEXPRESS SCRIPTS, INC .................... 434,200
43,100 GANNETT CO, INC ......................... 4,256,125
16,150 NEW YORK TIMES CO (CLASS A) ............. 799,425
6,525 NEWS CORP LTD ADR (LTD-VTG) ............. 101,953
37,400 TIMES MIRROR CO (SERIES A) .............. 2,066,350
50,200 TRIBUNE CO .............................. 2,412,737
500 WASHINGTON POST CO (CLASS B) ............ 199,000
-----------
11,634,590
-----------
PUBLISHING--OTHER--0.58%
2,800 DONNELLEY (R.R.) & SONS CO .............. 102,550
41,300 DUN & BRADSTREET CORP ................... 1,084,125
27,150 HARCOURT GENERAL, INC ................... 1,293,018
4,400 HOUGHTON MIFFLIN CO ..................... 293,700
72,000 oK-III COMMUNICATIONS CORP ............... 864,000
24,600 LEE ENTERPRISES, INC .................... 648,825
13,100 XoMARVEL ENTERTAINMENT GROUP, INC ........ 31,112
18,600 MCGRAW HILL COS, INC .................... 1,093,912
25,700 MEREDITH CORP ........................... 745,300
16,300 oPLAYBOY ENTERPRISES, INC (CLASS B) ...... 188,468
40,000 READER'S DIGEST ASSOCIATION, INC
(CLASS A) (NON-VTG) ..................... 1,147,500
43,200 oSCHOLASTIC CORP ......................... 1,512,000
9,500 THOMAS NELSON, INC ...................... 131,812
243,090 TIME WARNER, INC ........................ 11,729,092
10,000 WILEY (JOHN) & SONS, INC (CLASS A) ...... 338,750
-----------
21,204,164
-----------
RAILROAD--0.09%
10,500 BURLINGTON NORTHERN SANTA FE CORP ....... 943,687
29,750 ILLINOIS CENTRAL CORP SERIES A .......... 1,039,390
3,900 KANSAS CITY SOUTHERN INDUSTRIES, INC .... 251,550
4 UNION PACIFIC CORP ...................... 282
28,650 oWISCONSIN CENTRAL TRANSIT CORP ......... 1,067,212
-----------
3,302,121
-----------
RESTAURANTS & HOTELS--2.67%
17,200 APPLE SOUTH, INC ........................ 262,300
19,340 oAPPLEBEES INTERNATIONAL, INC ............ 517,345
29,350 oBOSTON CHICKEN, INC ..................... 410,900
19,700 oBUFFETS, INC ............................ 166,218
21,500 oCHOICE HOTELS INTERNATIONAL, INC ........ 364,156
20,500 CKE RESTAURANTS, INC .................... 648,312
33,320 CRACKER BARREL OLD COUNTRY
STORE, INC ............................. 882,980
10,300 DARDEN RESTAURANTS, INC ................. 93,343
27,200 oFOODMAKER, INC .......................... 445,400
72,300 oHFS, INC ................................ 4,193,400
99,200 HILTON HOTELS CORP ...................... 2,635,000
9,400 oHOST MARRIOTT CORP ...................... 167,437
22,680 oHOST MARRIOTT SERVICES CORP ............. 266,490
7,100 oIHOP CORP ............................... 220,100
43,800 oITT CORP ................................ 2,674,537
37,000 LA QUINTA INNS, INC ..................... 809,375
12,000 oLANDRYS SEAFOOD RESTAURANTS, INC ........ 276,000
17,050 oLONE STAR STEAKHOUSE & SALOON, INC ...... 443,300
8,700 LUBYS CAFETERIA, INC .................... 173,456
54,100 MARRIOTT INTERNATIONAL, INC ............. 3,320,387
360,150 MCDONALDS CORP .......................... 17,399,746
9,000 oMGM GRAND, INC .......................... 333,000
1,325 MORRISON FRESH COOKING, INC ............. 6,128
25,500 oOUTBACK STEAKHOUSE, INC ................. 616,781
10,230 oPAPA JOHNS INTERNATIONAL, INC ........... 375,952
18,800 oPRIME HOSPITALITY CORP .................. 371,300
29,300 oPROMUS HOTEL CORP ....................... 1,135,375
8,400 oRAINFOREST CAFE, INC .................... 213,150
2,950 oRUBY TUESDAY, INC ....................... 66,190
11,300 oSONIC CORP .............................. 248,600
92,600 SYSCO CORP .............................. 3,379,900
2,102,600 WENDYS INTERNATIONAL, INC ............... 54,536,187
-----------
97,652,745
-----------
RETAIL--FOOD--0.45%
114,500 ALBERTSONS, INC ......................... 4,179,250
46,380 FOOD LION, INC (CLASS B) ................ 333,356
11,200 HANNAFORD BROTHERS, INC ................. 398,300
113,300 oKROGER CO ............................... 3,285,700
117,600 oSAFEWAY, INC ............................ 5,424,300
49,000 oSOUTHLAND CORP .......................... 163,843
41,900 oSTARBUCKS CORP .......................... 1,631,481
24,500 WINN DIXIE STORES, INC .................. 912,625
-----------
16,328,855
-----------
RETAIL--GENERAL MERCHANDISE--4.51%
79,500 oAUTOZONE, INC ........................... 1,873,218
13,700 oBARNES & NOBLE, INC ..................... 589,100
23,960 oBED BATH & BEYOND, INC .................. 727,785
9,600 oBEST BUY, INC ........................... 142,800
10,000 oBOMBAY, INC ............................. 50,000
20,300 oBORDERS GROUP, INC ...................... 489,737
21,800 CASEYS GENERAL STORES, INC .............. 469,381
680,800 CIRCUIT CITY STORES-CIRCUIT
CITY GROUP ............................. 24,210,950
26,000 CLAIRES STORES, INC ..................... 455,000
14,300 oCML GROUP, INC .......................... 25,918
10,200 oCOLE NATIONAL CORP (CLASS A) ............ 448,800
46,218 oCONSOLIDATED STORES CORP ................ 1,606,075
43,700 oCOSTCO CO, INC .......................... 1,436,637
207,023 oCUC INTERNATIONAL, INC .................. 5,343,781
16,820 oCVS CORP ................................ 862,025
11,100 DAYTON HUDSON CORP ...................... 590,381
10,600 oDEPARTMENT 56, INC ...................... 235,187
59,712 DOLLAR GENERAL CORP ..................... 2,239,200
7,300 FAMILY DOLLAR STORES, INC ............... 198,925
35,368 oFEDERATED DEPARTMENT STORES, INC ........ 1,229,038
110,500 GAP, INC ................................ 4,295,687
11,600 oGARDEN RIDGE CORP ....................... 145,000
6,000 oGLOBAL DIRECTMAIL CORP .................. 156,375
15,500 oGYMBOREE CORP ........................... 372,000
9,600 HEILIG MEYERS CO ........................ 188,400
263,350 HOME DEPOT, INC ......................... 18,154,690
20,565 oHSN, INC ................................ 642,656
21,600 oJONES APPAREL GROUP, INC ................ 1,031,400
29,400 oKOHLS CORP .............................. 1,556,362
7,200 oLANDS END, INC .......................... 213,300
22,190 LIMITED, INC ............................ 449,347
77,400 LOWES COS, INC .......................... 2,873,475
8,400 oMENS WAREHOUSE, INC ..................... 264,600
5,400 oMOVIE GALLERY, INC ...................... 34,425
11,300 oNEIMAN-MARCUS GROUP, INC ................ 296,625
See notes to financial statements.
-57-
<PAGE>
GROWTH ACCOUNT (CONTINUED)
SHARES VALUE
------ -----
RETAIL--GENERAL MERCHANDISE
--(CONTINUED)
12,800 NORDSTROM, INC .......................... $ 628,000
55,300 oOFFICEMAX, INC .......................... 798,393
16,280 oPAYLESS SHOESOURCE, INC ................. 890,312
9,469 PENNEY, (J.C.) CO, INC .................. 494,163
33,000 PEP BOYS MANNY, MOE, & JACK CO .......... 1,124,062
11,600 oPETCO ANIMAL SUPPLIES, INC .............. 348,000
58,740 oPETSMART, INC ........................... 675,510
16,300 PIER 1 IMPORTS, INC ..................... 431,950
8,300 oPROFFITTS, INC .......................... 364,162
11,800 REGIS CORP .............................. 278,775
7,500 oREXALL SUNDOWN, INC ..................... 292,500
14,400 ROSS STORES, INC ........................ 470,700
37,500 ROUSE CO ................................ 1,106,250
165,500 SEARS ROEBUCK & CO ...................... 8,895,625
33,200 SOTHEBYS HOLDINGS, INC (CLASS A) ........ 560,250
84,940 oSTAPLES, INC ............................ 1,974,855
26,450 oSUNGLASS HUT INTERNATIONAL, INC ......... 166,965
7,000 TALBOTS, INC ............................ 238,000
12,800 TANDY CORP .............................. 716,800
19,450 oTHE SPORTS AUTHORITY, INC ............... 378,059
17,200 TIFFANY & CO ............................ 794,425
95,800 TJX COS, INC ............................ 2,526,725
24,600 oTOPPS, INC .............................. 103,012
16,185 oTOYS R US, INC .......................... 566,475
1,737,200 WAL-MART STORES, INC .................... 58,739,075
131,100 WALGREEN CO ............................. 7,030,237
12,000 oWILLIAMS-SONOMA, INC .................... 513,000
-----------
165,004,560
-----------
TEXTILE & APPAREL--1.03%
4,800 oANN TAYLOR STORES CORP .................. 93,600
10,000 oDONNKENNY, INC .......................... 38,750
6,600 oFRUIT OF THE LOOM, INC (CLASS A) ........ 204,600
14,550 G & K SERVICES, INC (CLASS A) ........... 541,987
11,950 oJUST FOR FEET, INC ...................... 208,378
2,900 LIZ CLAIBORNE, INC ...................... 135,212
23,700 oNAUTICA ENTERPRISES, INC ................ 626,568
68,700 NIKE, INC (CLASS B) ..................... 4,010,362
14,200 oNINE WEST GROUP, INC .................... 542,262
10,950 ST. JOHN KNITS, INC ..................... 591,300
20,200 UNIFI, INC .............................. 754,975
10,900 oURBAN OUTFITTERS, INC ................... 152,600
27,700 WARNACO GROUP, INC (CLASS A) ............ 882,937
718,200 oWESTPOINT STEVENS, INC .................. 28,099,575
27,650 WOLVERINE WORLD WIDE, INC ............... 839,868
-----------
37,722,974
-----------
TOBACCO--3.56%
22,700 DIMON, INC .............................. 601,550
2,839,400 PHILIP MORRIS COS, INC .................. 125,998,375
17,150 RJR NABISCO HOLDINGS CORP ............... 565,950
12,360 SCHWEITZER-MAUDUIT
INTERNATIONAL, INC ..................... 463,500
4,400 UNIVERSAL CORP .......................... 139,700
95,400 UST, INC ................................ 2,647,350
-----------
130,416,425
-----------
TRUCKERS & SHIPPING--0.02%
12,600 oAMERICAN FREIGHTWAYS CORP ............... 196,875
7,528 oHALTER MARINE GROUP, INC ................ 180,672
12,800 oSWIFT TRANSPORTATION CO, INC ............ 377,600
------------
755,147
------------
UTILITIES--ELECTRIC--0.26%
129,450 oAES CORP ................................ 9,158,587
4,500 OTTER TAIL POWER CO ..................... 148,500
17,400 oTUCSON ELECTRIC POWER CO ................ 252,300
------------
9,559,387
------------
UTILITIES--GAS & PIPELINE--0.27%
42,800 oAMERICAN STANDARD COS, INC .............. 1,915,300
11,140 oBLACK BOX CORP .......................... 448,385
19,700 oCALENERGY, INC .......................... 748,600
6,900 COASTAL CORP ............................ 366,993
1 EL PASO NATURAL GAS CO .................. 55
104,000 ENRON CORP .............................. 4,244,500
8,500 ENSERCH CORP ............................ 189,125
11,400 oIONICS, INC ............................. 518,700
44,300 NGC CORP ................................ 683,881
2,800 SONAT, INC .............................. 143,500
14,600 oTRIARC COS, INC ......................... 297,475
6,400 WILLIAMS COS, INC ....................... 280,000
-----------
9,836,514
-----------
UTILITIES--TELEPHONE--4.27%
8,150 oADTRAN, INC ............................. 201,712
11,900 ALIANT COMMUNICATIONS, INC .............. 232,050
5,700 ALLTEL CORP ............................. 190,593
28,700 AMERITECH CORP .......................... 1,949,806
576,200 AT & T CORP ............................. 20,203,012
3,800 oC-TEC CORP .............................. 132,525
75,500 CINCINNATI BELL, INC .................... 2,378,250
10,800 oCOMMNET CELLULAR, INC ................... 375,300
10,800 oCORECOMM, INC ........................... 186,300
67,000 FRONTIER CORP ........................... 1,335,812
30,950 oGLENAYRE TECHNOLOGIES, INC .............. 506,806
170,300 GTE CORP ................................ 7,471,912
22,400 MCI COMMUNICATIONS CORP ................. 857,500
21,700 oMOBILE TELECOMMUNICATIONS
TECHNOLOGIES CORP ..................... 310,581
12,250 oPRICELLULAR CORP (CLASS A) .............. 110,250
596,828 SBC COMMUNICATIONS, INC ................. 36,928,732
15,669 TELEPHONE & DATA SYSTEMS, INC ........... 594,442
14,400 oU.S. LONG DISTANCE CORP ................. 248,400
2,565,840 oWORLDCOM, INC ........................... 82,106,880
------------
156,320,863
------------
TOTAL COMMON STOCK
(COST $2,721,726,625) .................... 3,506,382,654
-------------
See notes to financial statements.
-58-
<PAGE>
GROWTH ACCOUNT (CONTINUED)
PRINCIPAL VALUE
--------- -----
SHORT TERM INVESTMENTS--4.33%
COMMERCIAL PAPER--0.40%
*FORD MOTOR CREDIT CO
$ 5,000,000 5.350%, 07/28/97 ............... $ 4,978,300
#MCI COMMUNICATIONS CORP
4,695,000 5.500%, 08/11/97 ............... 4,664,435
*SCHERING CORP
5,000,000 5.340%, 07/22/97 ............... 4,982,950
-----------
14,625,685
-----------
U.S. GOVERNMENT & AGENCIES--3.93%
FEDERAL FARM CREDIT BANKS
23,700,000 5.400%, 07/07/97 ............... 23,674,885
18,200,000 5.410%, 10/14/97 ............... 17,907,940
FEDERAL HOME LOAN MORTGAGE CORP
528,000 5.500%, 07/25/97 ............... 526,001
FEDERAL NATIONAL MORTGAGE
ASSOCIATION
31,410,000 5.400%, 07/24/97 ............... 31,295,878
11,460,000 5.510%, 08/04/97 ............... 11,399,278
20,000,000 * 5.480%, 09/04/97 ............... 19,800,166
40,000,000 5.600%, 11/05/97 ............... 39,224,888
-----------
143,829,036
-----------
TOTAL SHORT TERM INVESTMENTS
(COST $158,453,536)...... ........... 158,454,721
-----------
ROUNDING............................ 247
-----------
TOTAL PORTFOLIO
(COST $2,880,426,061) .............$3,665,187,208
==============
- ---------------
o Non-income producing
x In bankruptcy
* All or a portion of this security has been segregated by the Custodian to
cover margin or other requirements on open futures contracts, covered call
options written and securities purchased on a delayed delivery basis.
# Commercial Paper issued under the Private Placement exemption under 4 (2) of
the Securities Act of 1993, as amended. ~ Restricted Securities--Investment in
securities not registered under the Securities Act of 1933 or not publicly
traded in foreign markets. At 06/30/97, the value of these securities amounted
to $4,838,680 or 0.13% of net assets. Additional information on each holding
is as follows:
ACQUISITION ACQUISITION
SECURITY DATE COST
-------- ----------- -----------
MARTEK BIOSCIENCES CORP 05/22/95 $4,746,750
MARTEK BIOSCIENCES CORP
WTS 05/18/98 05/22/95 91,930
---------
$4,838,680
=========
See notes to financial statements.
-59-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENT OF INVESTMENTS--EQUITY INDEX ACCOUNT (UNAUDITED)
JUNE 30, 1997
SUMMARY BY INDUSTRY
VALUE %
----- -----
BONDS
CORPORATE BONDS
BROADCASTERS ............................. $ 7,760 0.00%
ENVIRONMENTAL CONTROL .................... 13,090 0.00
------------ -------
TOTAL CORPORATE BONDS
(COST $15,239) ........................... 20,850 0.00
------------ -------
TOTAL BONDS
(COST $15,239) ........................... 20,850 0.00
------------ -------
PREFERRED STOCK
BUSINESS SERVICES ........................ 25,385 0.00
HEALTHCARE--SERVICE ...................... 124,287 0.01
------------ -------
TOTAL PREFERRED STOCK
(COST $116,703) ........................... 149,672 0.01
------------ -------
COMMON STOCK
AEROSPACE ................................ 17,496,994 1.25
AIR TRANSPORTATION ....................... 7,544,257 0.54
AUTOMOTIVE & RELATED ..................... 31,338,285 2.23
BANKS .................................... 122,404,799 8.73
BEVERAGES ................................ 44,802,136 3.20
BROADCASTERS ............................. 8,359,268 0.60
BUSINESS SERVICES ........................ 19,322,871 1.38
CHEMICALS--MAJOR ......................... 30,190,031 2.15
CHEMICALS--SPECIALTY ..................... 11,149,883 0.80
COMMUNICATION EQUIPMENT & SERVICES ....... 34,661,304 2.47
COMPUTER SERVICE ......................... 55,970,297 3.99
CONGLOMERATES ............................ 28,380,319 2.02
CONSTRUCTION--MATERIALS & BUILDERS ....... 8,905,949 0.63
CONTAINERS ............................... 1,792,663 0.13
COSMETICS ................................ 12,068,122 0.86
ELECTRICAL EQUIPMENT ..................... 48,876,614 3.49
ELECTRICAL EQUIPMENT--
COMPONENTS DIVERSIFIED ................. 50,468,821 3.60
ELECTRICAL EQUIPMENT--INSTRUMENTS ........ 6,560,993 0.47
ENVIRONMENTAL CONTROL .................... 6,940,966 0.50
FINANCIAL--MISCELLANEOUS ................. 61,124,618 4.36
FOODS .................................... 29,339,442 2.09
FOREST PRODUCTS .......................... 5,973,336 0.43
HEALTHCARE--DRUGS ........................ 92,939,462 6.63
HEALTHCARE--HOSPITAL SUPPLY .............. 16,370,343 1.17
HEALTHCARE--OTHER ........................ 26,689,517 1.90
HEALTHCARE--SERVICE ...................... 24,105,035 1.72
HOUSEHOLD--CONSUMER ELECTRONICS .......... 188,881 0.01
HOUSEHOLD--DURABLE GOODS ................. 5,189,886 0.37
HOUSEHOLD--PRODUCTS ...................... 29,091,244 2.07
INSURANCE--BROKERS & OTHER ............... 4,383,312 0.31
INSURANCE--LIFE .......................... 10,707,244 0.76
INSURANCE--MULTI-LINE,
PROPERTY & CASUALTY .................... 45,729,377 3.26
LEISURE TIME ............................. 17,350,208 1.24
MACHINERY ................................ 21,479,010 1.53
METALS--ALUMINUM ......................... 3,519,312 0.25
METALS--GOLD ............................. 3,021,933 0.22
METALS--NON-FERROUS ...................... 3,344,240 0.24
METALS--STEEL ............................ 4,320,062 0.31
MISCELLANEOUS MATERIALS &
COMMODITIES ............................ 173,683 0.01
OFFICE EQUIPMENT ......................... 51,382,842 3.67
PAPER .................................... 9,096,228 0.65
PETROLEUM--
EXPLORATION & PRODUCTION ............... 10,869,053 0.78
PETROLEUM--INTEGRATED .................... 68,810,778 4.91
PETROLEUM--SERVICE ....................... 14,183,092 1.01
PHOTOGRAPHY .............................. 5,059,025 0.36
PROPERTY--REAL ESTATE .................... 2,827,641 0.20
PUBLISHING--NEWSPAPER .................... 7,434,007 0.53
PUBLISHING--OTHER ........................ 9,286,454 0.66
RAILROAD ................................. 10,268,586 0.73
RESTAURANTS & HOTELS ..................... 17,470,715 1.25
RETAIL--FOOD ............................. 8,873,124 0.63
RETAIL--GENERAL MERCHANDISE .............. 54,525,513 3.89
TEXTILE & APPAREL ........................ 6,638,735 0.47
TOBACCO .................................. 23,729,507 1.69
TRUCKERS & SHIPPING ...................... 2,572,443 0.18
UTILITIES--ELECTRIC ...................... 45,456,878 3.24
UTILITIES--GAS & PIPELINE ................ 15,404,147 1.10
UTILITIES--OTHER ......................... 118,575 0.01
UTILITIES--TELEPHONE ..................... 74,120,687 5.29
------------- -------
TOTAL COMMON STOCK
(COST $1,070,624,133) ..................... 1,390,402,747 99.17
------------- -------
SHORT TERM INVESTMENTS
U.S. GOVERNMENT & AGENCIES ............... 14,506,195 1.03
------------- -------
TOTAL SHORT TERM INVESTMENTS
(COST $14,508,166) ........................ 14,506,195 1.03
------------- -------
ROUNDING ................................ 384 0.00
------------- -------
TOTAL PORTFOLIO
(COST $1,085,264,241) ..................... 1,405,079,848 100.21
OTHER ASSETS & LIABILITIES, NET ......... (2,894,419) (0.21)
------------- -------
NET ASSETS ................................. $1,402,185,429 100.00%
============== =======
See notes to financial statements.
-60-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENT OF INVESTMENTS--EQUITY INDEX ACCOUNT (UNAUDITED)
JUNE 30, 1997
PRINCIPAL VALUE
- --------- ------
BONDS--0.00%
CORPORATE BONDS--0.00%
BROADCASTERS--0.00%
VIACOM INTERNATIONAL, INC
(SUBORDINATED DEB)
$ 8,000 8.000%, 07/07/06 $ 7,760
------------
ENVIRONMENTAL CONTROL--0.00%
WMX TECHNOLOGIES, INC
(SUBORDINATED CV NOTES)
14,000 2.000%, 01/24/05 13,090
------------
TOTAL CORPORATE BONDS
(COST $15,239) 20,850
------------
TOTAL BONDS
(COST $15,239) .......... 20,850
------------
SHARES
------
PREFERRED STOCK--0.01%
BUSINESS SERVICES--0.00%
1,122 oPREMIER FARNELL PLC CV ADR 25,385
------------
HEALTHCARE--SERVICE--0.01%
1,273 AETNA, INC 6.25% (CLASS C) 119,343
11,200 oFRESENIUS MEDICAL CARE (CLASS D) 644
160 PACIFICARE HEALTH SYSTEMS
CV SERIES A 4,300
------------
124,287
------------
TOTAL PREFERRED STOCK
(COST $116,703) ......... 149,672
------------
COMMON STOCK--99.17%
AEROSPACE--1.25%
5,100 AAR CORP ................................ 164,793
2,900 oALLIANT TECHSYSTEMS, INC ................ 159,500
121,696 BOEING CO ............................... 6,457,494
10,100 EG & G, INC ............................. 227,250
9,000 GENERAL DYNAMICS CORP ................... 675,000
20,000 GENERAL MOTORS CORP (CLASS H) ........... 1,155,000
8,200 oHEXCEL CORP ............................. 141,450
28,376 LOCKHEED MARTIN CORP .................... 2,938,689
26,300 MCDONNELL DOUGLAS CORP .................. 1,801,550
8,800 NORTHROP GRUMMAN CORP ................... 772,750
3,100 oOEA, INC ................................ 122,450
7,800 oORBITAL SCIENCES CORP ................... 123,825
4,600 PRECISION CAST PARTS CORP ............... 274,275
750 PRIMEX TECHNOLOGIES, INC ................ 16,031
41,800 RAYTHEON CO ............................. 2,131,800
5,800 oROHR, INC ............................... 127,237
7,700 oWYMAN-GORDON CO ......................... 207,900
------------
17,496,994
------------
AIR TRANSPORTATION--0.54%
7,100 AIR EXPRESS INTERNATIONAL CORP .......... 282,225
4,400 AIRBORNE FREIGHT CORP ................... 184,250
11,400 oAMERICA WEST HOLDINGS
CORP (CLASS B) ......................... 165,300
15,400 oAMR CORP ................................ 1,424,500
4,600 ASA HOLDINGS, INC ....................... 131,675
2,500 oATLAS AIR, INC .......................... 86,250
4,700 oBE AEROSPACE, INC ....................... 148,637
8,925 COMAIR HOLDINGS, INC .................... 247,110
6,300 oCONTINENTAL AIRLINES, INC (CLASS B) ..... 220,106
12,800 DELTA AIRLINES, INC ..................... 1,049,600
5,900 EXPEDITORS INTERNATIONAL
OF WASHINGTON .......................... 167,412
20,500 oFEDERAL EXPRESS CORP .................... 1,183,875
1,000 oMESA AIR GROUP, INC ..................... 5,375
12,900 oNORTHWEST AIRLINES CORP (CLASS A) ....... 469,237
400 SKYWEST, INC ............................ 6,250
26,000 SOUTHWEST AIRLINES CO ................... 672,750
1,500 oTRANS WORLD AIRLINES, INC ............... 13,125
9,800 oUAL CORP ................................ 701,312
10,100 oUS AIRWAYS GROUP, INC ................... 353,500
4,600 oVALUJET, INC ............................ 31,768
------------
7,544,257
-----------
AUTOMOTIVE & RELATED--2.23%
5,600 oALLEN TELECOM, INC ...................... 116,200
8,200 oAMERICREDIT CORP ........................ 172,200
9,800 APOGEE ENTERPRISES, INC ................. 210,700
5,600 ARVIN INDUSTRIES, INC ................... 152,600
17,899 oAUTOLIV, INC ............................ 700,298
4,600 BANDAG, INC ............................. 225,400
5,400 BORG-WARNER AUTOMOTIVE, INC ............. 291,937
2,600 BREED TECHNOLOGIES, INC ................. 59,800
104,662 CHRYSLER CORP ........................... 3,434,221
12,300 COOPER TIRE & RUBBER CO ................. 270,600
6,500 CUMMINS ENGINE CO, INC .................. 458,656
17,900 DANA CORP ............................... 680,200
6,000 DANAHER CORP ............................ 304,875
5,100 oDETROIT DIESEL CORP ..................... 122,081
4,300 DONALDSON CO, INC ....................... 163,400
11,500 EATON CORP .............................. 1,004,093
10,200 ECHLIN, INC ............................. 367,200
4,600 EXIDE CORP .............................. 100,912
6,900 FEDERAL-MOGUL CORP ...................... 241,500
4,500 oFOAMEX INTERNATIONAL, INC ............... 59,062
207,900 FORD MOTOR CO ........................... 7,848,225
5,700 GENCORP, INC ............................ 131,812
131,800 GENERAL MOTORS CORP ..................... 7,339,612
30,000 GENUINE PARTS CO ........................ 1,016,250
26,200 GOODYEAR TIRE & RUBBER CO ............... 1,658,787
3,700 GRACO, INC .............................. 111,462
12,900 HARLEY DAVIDSON, INC .................... 618,393
560 oHAYES WHEELS INTERNATIONAL, INC ......... 17,780
5,200 oKIRBY CORP .............................. 94,900
11,300 oLEAR CORP ............................... 501,437
5,100 MODINE MANUFACTURING CO ................. 151,725
15,500 oNAVISTAR INTERNATIONAL CORP ............. 267,375
11,200 PACCAR, INC ............................. 520,100
8,600 POLARIS INDUSTRIES, INC ................. 280,037
4,000 oRENTERS CHOICE, INC ..................... 79,500
5,500 oSAFESKIN CORP ........................... 161,906
13,700 SAFETY-KLEEN CORP ....................... 231,187
5,900 SMITH (A.O.) CORP ....................... 209,818
11,450 SNAP-ON, INC ............................ 450,843
2,600 SPX CORP ................................ 168,512
500 STANDARD PRODUCTS CO .................... 12,625
See notes to financial statements.
-61-
<PAGE>
EQUITY INDEX ACCOUNT (CONTINUED)
SHARES VALUE
------ -----
AUTOMOTIVE & RELATED-(CONTINUED)
3,900 SUPERIOR INDUSTRIES
INTERNATIONAL, INC ..................... $ 103,350
1,800 oTBC CORP ................................ 15,075
3,100 oTOWER AUTOMOTIVE, INC ................... 133,300
675 TRANSPRO, INC ........................... 5,864
2,600 WABASH NATIONAL CORP .................... 72,475
------------
31,338,285
------------
BANKS--8.73%
3,900 ALBANK FINANCIAL CORP ................... 154,050
16,200 AMSOUTH BANCORP ......................... 612,562
4,080 ASSOCIATED BANC-CORP .................... 161,160
101,928 BANC ONE CORP ........................... 4,937,137
67,000 BANK OF NEW YORK CO, INC ................ 2,914,500
126,300 BANKAMERICA CORP ........................ 8,154,243
25,974 BANKBOSTON CORP ......................... 1,871,751
14,000 BANKERS TRUST NEW YORK CORP ............. 1,218,000
31,900 BARNETT BANKS, INC ...................... 1,674,750
19,764 BB&T CORPORATION ........................ 889,380
470 oCALIFORNIA FEDERAL BANK
GOODWILL CERT .......................... 7,285
1,808 CAPITAL ONE FINANCIAL CORP .............. 68,252
4,100 CCB FINANCIAL CORP ...................... 299,812
12,250 CENTRAL FIDELITY BANKS, INC ............. 434,875
7,700 CENTURA BANKS, INC ...................... 353,237
8,825 CHARTER ONE FINANCIAL, INC .............. 475,446
76,058 CHASE MANHATTAN CORP NEW ................ 7,382,379
83,621 CITICORP CO ............................. 10,081,556
3,800 CITIZENS BANKING CORP (MICHIGAN) ........ 130,150
9,300 CITY NATIONAL CORP ...................... 223,781
9,000 COLONIAL BANCGROUP, INC ................. 218,250
18,400 COMERICA, INC ........................... 1,251,200
3,800 COMMERCE BANCORP, INC ................... 147,250
9,419 COMMERCE BANCSHARES, INC ................ 426,209
5,900 COMMUNITY FIRST BANKSHARES, INC ......... 226,412
13,650 COMPASS BANCSHARES, INC ................. 458,981
35,909 CORESTATES FINANCIAL CORP ............... 1,930,108
15,309 CRESTAR FINANCIAL CORP .................. 595,137
9,500 CULLEN FROST BANKERS, INC ............... 402,562
6,500 DAUPHIN DEPOSIT CORP .................... 289,656
9,900 DEPOSIT GUARANTY CORP ................... 311,850
15,800 DIME BANCORP, INC ....................... 276,500
14,700 FIFTH THIRD BANCORP ..................... 1,206,318
12,600 FIRST AMERICAN CORP ..................... 483,525
22,554 FIRST BANK SYSTEM, INC .................. 1,925,547
54,855 FIRST CHICAGO NBD CORP .................. 3,318,727
9,565 FIRST COMMERCE CORP ..................... 420,860
4,516 FIRST COMMERCIAL CORP ................... 185,720
8,300 FIRST HAWAIIAN, INC ..................... 283,237
10,220 FIRST MICHIGAN BANK CORP ................ 309,155
3,300 FIRST MIDWEST BANCORP, INC .............. 104,568
16,489 FIRST OF AMERICA BANK CORP .............. 754,371
21,075 FIRST SECURITY CORP ..................... 575,610
12,600 FIRST TENNESSEE NATIONAL CORP ........... 604,800
48,676 FIRST UNION CORP ........................ 4,502,530
6,100 FIRST VIRGINIA BANKS, INC ............... 367,906
22,600 FIRSTAR CORP ............................ 689,300
7,500 FIRSTMERIT CORP ......................... 360,000
45,188 FLEET FINANCIAL GROUP, INC .............. 2,858,141
6,400 GREENPOINT FINANCIAL CORP ............... 426,000
22,519 HIBERNIA CORP (CLASS A) ................. 313,858
7,000 HUBCO, INC .............................. 203,000
27,852 HUNTINGTON BANCSHARES, INC .............. 818,152
4,500 oIMPERIAL BANCORP ........................ 129,937
5,000 oIMPERIAL CREDIT INDUSTRIES, INC ......... 102,812
39,500 KEYCORP ................................. 2,207,062
10,300 LONG ISLAND BANCORP, INC ................ 374,018
2,600 oMAF BANCORP, INC ........................ 108,875
15,600 MAGNA GROUP, INC ........................ 542,100
16,500 MARSHALL & ILSLEY CORP .................. 670,312
44,548 MELLON BANK CORP ........................ 2,010,228
13,399 MERCANTILE BANCORP, INC ................. 813,989
12,070 MERCANTILE BANKSHARES CORP .............. 482,800
34,400 MORGAN (J.P.) & CO, INC ................. 3,590,500
38,892 NATIONAL CITY CORP ...................... 2,041,830
13,800 NATIONAL COMMERCE BANCORP ............... 303,600
135,924 NATIONSBANK CORP ........................ 8,767,098
18,600 NORTH FORK BANCORP, INC ................. 397,575
19,660 NORTHERN TRUST CORP ..................... 951,052
65,048 NORWEST CORP ............................ 3,658,950
10,958 OLD KENT FINANCIAL CORP ................. 591,732
1,142 OLD NATIONAL BANCORP .................... 50,248
5,800 ONBANCORP, INC .......................... 295,800
3,050 ONE VALLEY BANCORP, INC ................. 128,100
10,500 PACIFIC CENTURY FINANCIAL CORP .......... 485,625
7,200 PEOPLES BANK OF BRIDGEPORT CO ........... 186,300
8,800 PEOPLES HERITAGE FINANCIAL
GROUP, INC ............................. 333,300
57,480 PNC BANK CORP ........................... 2,392,605
3,200 PROVIDENT FINANCIAL GROUP ............... 136,800
1,000 oQUEENS COUNTY BANCORP, INC .............. 45,500
8,000 RCSB FINANCIAL, INC ..................... 383,000
22,752 REGIONS FINANCIAL CORP .................. 719,532
9,300 REPUBLIC NEW YORK CORP .................. 999,750
7,900 RIGGS NATIONAL CORP ..................... 162,937
10,649 SIGNET BANKING CORP ..................... 383,364
18,100 SOUTHTRUST CORP ......................... 748,887
30,534 SOVEREIGN BANCORP, INC .................. 465,643
14,550 ST. PAUL BANCORP, INC ................... 481,968
15,700 STAR BANC CORP .......................... 663,325
27,700 STATE STREET CORP ....................... 1,281,125
16,902 SUMMIT BANCORP .......................... 847,212
37,600 SUNTRUST BANKS, INC ..................... 2,070,350
3,000 SUSQUEHANNA BANCSHARES, INC ............. 117,750
29,825 SYNOVUS FINANCIAL CORP .................. 822,051
8,400 TRUSTMARK CORP .......................... 235,200
26,366 U.S. BANCORP ............................ 1,690,719
4,700 U.S. TRUST CORP ......................... 221,487
11,989 UNION PLANTERS CORP ..................... 621,929
1,900 UNIONBANCAL CORP ........................ 136,562
4,850 UNITED CAROLINA BANCSHARES CORP ......... 252,200
5,600 UST CORP ................................ 125,300
1,323 VALLEY NATIONAL BANCORP ................. 35,886
28,500 WACHOVIA CORP ........................... 1,661,906
8,795 WASHINGTON FEDERAL, INC ................. 225,921
8,800 WASHINGTON MUTUAL, INC .................. 525,800
15,768 WELLS FARGO & CO ........................ 4,249,476
4,200 WESTAMERICA BANCORP ..................... 319,200
9,100 WILMINGTON TRUST CORP ................... 416,325
12,000 ZIONS BANCORP ........................... 451,500
-----------
122,404,799
-----------
BEVERAGES--3.20%
81,500 ANHEUSER BUSCH COS, INC ................. 3,417,906
9,000 BROWN FORMAN, INC (CLASS B) ............. 439,312
436,000 COCA COLA CO ............................ 29,430,000
37,200 COCA COLA ENTERPRISES, INC .............. 855,600
9,700 COORS (ADOLPH) CO (CLASS B) ............. 258,262
276,900 PEPSICO, INC ............................ 10,401,056
-----------
44,802,136
-----------
See notes to financial statements.
-62-
<PAGE>
EQUITY INDEX ACCOUNT (CONTINUED)
SHARES VALUE
------ -----
BROADCASTERS--0.60%
5,300 oAMERICAN RADIO SYSTEMS CORP ............. $ 211,337
8,300 oCLEAR CHANNEL COMMUNICATIONS, INC ....... 510,450
2,800 COMCAST CORP (CLASS A) .................. 58,625
39,728 COMCAST CORP SPECIAL (CLASS A) .......... 849,186
5,650 oEVERGREEN MEDIA CORP (CLASS A) .......... 252,131
12,290 GAYLORD ENTERTAINMENT CO ................ 283,438
6,000 HARTE-HANKS COMMUNICATIONS, INC ......... 177,000
11,000 HERITAGE MEDIA CORP (CLASS A) ........... 207,625
4,300 oJACOR COMMUNICATIONS, INC WTS 9/18/01 ... 15,050
5,900 KING WORLD PRODUCTIONS, INC ............. 206,500
39,582 oLIBERTY MEDIA GROUP (CLASS A) ........... 940,072
4,850 oLIN TELEVISION CORP ..................... 214,006
9,700 SCRIPPS (E.W.) CO (CLASS A) ............. 403,762
3,800 TCA CABLE TV, INC ....................... 142,975
14,040 oTCI SATELLITE ENTERTAINMENT (CLASS A) ... 110,565
127,300 oTELE-COMMUNICATIONS, INC (CLASS A) ...... 1,893,587
400 UNITED TELEVISION, INC .................. 39,600
6,460 oVIACOM, INC (CLASS A) ................... 190,166
50,693 oVIACOM, INC (CLASS B) ................... 1,520,790
250 oVIACOM, INC (CLASS B) WTS 07/07/97 ...... 0
150 oVIACOM, INC (CLASS B) WTS 07/07/99 ...... 178
4,100 oWESTWOOD ONE, INC ....................... 132,225
------------
8,359,268
------------
BUSINESS SERVICES--1.38%
10,444 oACCUSTAFF, INC .......................... 247,392
14,766 oACNEILSEN CORP .......................... 289,782
7,700 oADVO, INC ............................... 125,125
5,800 oAFFILIATED COMPUTER SERVICES, INC
(CLASS A) ............................... 162,400
1,500 oALLIANCE SEMICONDUCTOR CORP ............. 12,281
4,500 oALTERNATIVE RESOURCES CORP .............. 91,687
18,000 oAMERICA ONLINE, INC ..................... 1,001,250
8,325 oAPOLLO GROUP, INC (CLASS A) ............. 293,456
5,800 oASPEN TECHNOLOGY, INC ................... 218,225
6,200 AUTODESK, INC ........................... 237,537
8,100 BANTA CORP .............................. 219,712
18,400 BLOCK (H&R), INC ........................ 593,400
3,100 oCABLEVISION SYSTEMS CORP (CLASS A) ...... 165,850
4,100 oCATALINA MARKETING CORP ................. 197,312
1,700 CENTRAL PARKING CORP .................... 59,181
6,300 oCHECKPOINT SYSTEMS, INC ................. 101,193
2,300 oCIBER, INC .............................. 78,631
6,100 CINTAS CORP ............................. 419,375
29,600 COGNIZANT CORP .......................... 1,198,800
4,950 oCOMPUTER HORIZONS CORP .................. 169,537
10,000 oCOMPUTERVISION CORP ..................... 46,250
5,850 oCORESTAFF, INC .......................... 157,950
19,590 oCORPORATE EXPRESS, INC .................. 282,830
14,100 oCORRECTIONS CORP OF AMERICA ............. 560,475
4,300 oCREDENCE SYSTEMS CORP ................... 128,731
15,200 DELUXE CORP ............................. 518,700
5,500 oDEVRY, INC .............................. 148,500
2,100 oDIALOGIC CORP ........................... 55,912
12,475 DIEBOLD, INC ............................ 486,525
7,257 oDOUBLETREE CORP ......................... 298,444
1,700 oENCAD, INC .............................. 70,550
3,700 oEQUITY CORP INTERNATIONAL ............... 89,493
7,000 FIRST INDUSTRIAL REALTY TRUST, INC ...... 204,750
5,700 oFORE SYSTEMS, INC ....................... 77,662
4,600 oFRANKLIN COVEY CO ....................... 116,437
3,000 oFRITZ COS, INC .......................... 29,062
8,300 HARLAND (JOHN H.) CO .................... 189,343
1,400 oHCIA, INC ............................... 46,900
1,600 oINFORMATION RESOURCES, INC .............. 22,600
3,000 oINSO CORP ............................... 61,687
5,900 oINTERIM SERVICES, INC ................... 262,550
11,500 INTERPUBLIC GROUP OF COS, INC ........... 705,093
2,000 oITRON, INC .............................. 51,750
7,200 KELLY SERVICES, INC (CLASS A) ........... 225,900
10,300 LIBERTY PROPERTY TRUST CO ............... 256,212
13,000 MANPOWER, INC ........................... 578,500
2,400 oMANUGISTICS GROUP, INC .................. 106,800
6,887 oMCAFEE ASSOCIATES, INC .................. 434,741
900 oMERISEL, INC ............................ 1,800
4,400 oMICRO WAREHOUSE, INC .................... 75,350
2,860 oNATIONAL AUTO CREDIT, INC ............... 25,382
2,800 oNATIONAL INSTRUMENTS CORP ............... 98,700
9,600 NATIONAL SERVICE INDUSTRIES, INC ........ 467,400
3,500 oNU KOTE HOLDING, INC (CLASS A) .......... 8,750
1,400 oODS NETWORKS, INC ....................... 16,625
22,350 oOFFICE DEPOT, INC ....................... 434,428
7,800 oOIS OPTICAL IMAGING SYSTEMS, INC ........ 19,012
11,482 OLSTEN CORP ............................. 223,181
12,100 OMNICOM GROUP, INC ...................... 745,662
15,312 PAYCHEX, INC ............................ 581,856
6,800 PITTSTON BRINKS GROUP CO ................ 204,000
1,392 PREMIER FARNELL PLC ADR ................. 21,924
3,600 oPREPAID LEGAL SERVICES, INC ............. 76,050
2,900 oPRI AUTOMATION, INC ..................... 110,018
4,880 oPURE ATRIA CORP ......................... 68,930
2,100 oQUARTERDECK CORP ........................ 5,315
2,600 oREMEDY CORP ............................. 104,000
10,600 oROBERT HALF INT'L, INC .................. 498,862
6,700 ROLLINS, INC ............................ 134,837
14,300 SENSORMATIC ELECTRONICS CORP ............ 184,112
41,700 SERVICE CORP INT'L ...................... 1,370,887
2,900 STANDARD REGISTER, INC .................. 88,812
7,100 oSUNGARD DATA SYSTEMS, INC ............... 330,150
5,200 oSYLVAN LEARNING SYSTEMS, INC ............ 176,800
3,200 oTHERMOLASE CORP ......................... 45,000
4,100 TOTAL SYSTEM SERVICES, INC .............. 99,681
7,600 oTRACOR, INC ............................. 190,950
6,500 TRUE NORTH COMMUNICATIONS, INC .......... 160,875
5,400 oU.S. CELLULAR CORP ...................... 159,975
6,200 VALSPAR CORP ............................ 183,675
2,900 oWACKENHUT CORRECTIONS CORP .............. 84,462
2,800 WALLACE COMPUTER SERVICES, INC .......... 84,175
3,600 oWIND RIVER SYSTEMS, INC ................. 137,700
500 oWONDERWARE CORP ......................... 7,062
------------
19,322,871
------------
CHEMICALS--MAJOR--2.15%
19,200 AIR PRODUCTS & CHEMICALS, INC ........... 1,560,000
2,900 ARCO CHEMICAL CO ........................ 137,931
5,100 CHEMFIRST, INC .......................... 138,337
40,900 DOW CHEMICAL CO ......................... 3,563,412
196,300 DU PONT (E.I.) DE NEMOURS & CO .......... 12,342,362
13,800 EASTMAN CHEMICAL CO ..................... 876,300
10,400 GOODRICH (B.F.) CO ...................... 450,450
17,700 HERCULES, INC ........................... 847,387
7,168 MISSISSIPPI CHEMICAL CORP ............... 148,736
104,500 MONSANTO CO ............................. 4,500,031
5,800 oOAK TECHNOLOGY, INC ..................... 56,550
9,000 OLIN CORP ............................... 351,562
31,700 PPG INDUSTRIES, INC ..................... 1,842,562
27,500 PRAXAIR, INC ............................ 1,540,000
3,700 oQUINTILES TRANSNATIONAL CORP ............ 257,612
6,900 ROHM & HAAS CO .......................... 621,431
20,300 UNION CARBIDE CORP ...................... 955,368
-----------
30,190,031
-----------
See notes to financial statements.
-63-
<PAGE>
EQUITY INDEX ACCOUNT (CONTINUED)
SHARES VALUE
------ -----
CHEMICALS--SPECIALTY--0.80%
10,600 oAIRGAS, INC ............................. $ 210,012
7,200 ALBEMARLE CORP .......................... 151,650
4,700 BETZDEARBORN, INC ....................... 310,200
9,300 CALGON CARBON CORP ...................... 129,037
2,800 COMMERCIAL METALS CO .................... 90,300
12,400 CROMPTON & KNOWLES CORP ................. 275,900
8,500 oCYTEC INDUSTRIES, INC .................. 317,687
5,100 DEXTER CORP ............................. 163,200
9,600 ECOLAB, INC ............................. 458,400
16,700 ENGELHARD CORP .......................... 349,656
20,300 ETHYL CORP .............................. 187,775
4,400 FERRO CORP .............................. 163,075
6,600 FOSTER WHEELER CORP ..................... 267,300
2,921 FULLER (H.B.) CO ........................ 160,655
7,500 GEON CO ................................. 151,875
5,700 GEORGIA GULF CORP ....................... 165,656
13,100 GRACE (W.R.) & CO ....................... 722,137
10,300 GREAT LAKES CHEMICAL CORP ............... 539,462
10,444 ICN PHARMACEUTICALS, INC ................ 299,612
12,800 IMC GLOBAL, INC ......................... 448,000
5,700 oINTERNATIONAL SPECIALTY
PRODUCTS, INC ........................... 80,156
10,100 LAWTER INTERNATIONAL, INC ............... 127,512
9,800 LUBRIZOL CORP ........................... 410,987
8,000 LYONDELL PETROCHEMICAL CO ............... 174,500
6,700 MALLINCKRODT, INC ....................... 254,600
200 oMCWHORTER TECHNOLOGIES, INC ............ 4,775
24,800 MORTON INTERNATIONAL, INC ............... 748,650
5,200 oMYCOGEN CORP ........................... 102,050
11,800 NALCO CHEMICAL CORP ..................... 455,775
4,650 OM GROUP, INC ........................... 154,031
1,913 POTASH CORP OF SASKATCHEWAN,
INC (U.S.) .............................. 143,594
8,100 RAYCHEM CORP ............................ 602,437
16,550 RPM, INC ................................ 304,106
7,575 SCHULMAN (A.), INC ...................... 186,534
7,100 oSEALED AIR CORP ........................ 337,250
17,300 SIGMA ALDRICH CORP ...................... 606,581
7,800 TERRA INDUSTRIES, INC ................... 90,675
4,000 THIOKOL CORP ............................ 280,000
6,800 WELLMAN, INC ............................ 118,150
10,700 WITCO CORP .............................. 405,931
-----------
11,149,883
------------
COMMUNICATION EQUIPMENT &
SERVICES--2.47%
22,800 o360 COMMUNICATIONS CO ................... 390,450
58,340 o3COM CORP ............................... 2,625,300
3,600 oACC CORP ................................ 111,150
88,800 oAIRTOUCH COMMUNICATIONS, INC ............ 2,430,900
15,687 oANDREW CORP ............................. 441,196
6,000 oANTEC CORP .............................. 70,500
2,600 oAPAC TELESERVICES INC ................... 50,537
5,200 oARCH COMMUNICATIONS GROUP, INC .......... 39,650
20,300 oASCEND COMMUNICATIONS, INC .............. 799,312
4,400 oAVID TECHNOLOGIES, INC .................. 116,050
15,100 oBRINKER INTERNATIONAL, INC .............. 215,175
4,200 oCABLE DESIGN TECHNOLOGIES CO ............ 123,637
18,900 oCABLETRON SYSTEMS, INC .................. 535,106
7,600 oCAI WIRELESS SYSTEMS, INC ............... 8,075
1,500 oCALIFORNIA MICROWAVE, INC ............... 21,000
10,300 oCASCADE COMMUNICATIONS CORP ............. 284,537
1,950 oCELLSTAR CORP ........................... 59,718
400 oCELLULAR COMMUNICATIONS
INTERNATIONAL, INC ..................... 13,400
11,000 CENTURY TELEPHONE ENTERPRISES, INC 370,562
4,066 oCHYRON CORP ............................. 18,297
1,900 oCIDCO, INC .............................. 26,125
116,180 oCISCO SYSTEMS, INC ...................... 7,798,582
9,200 COMSAT CORP SERIES 1 .................... 219,075
38,900 CORNING, INC ............................ 2,163,812
2,700 oDIGITAL MICROWAVE CORP .................. 81,000
19,400 oDSC COMMUNICATIONS CORP ................. 431,650
8,100 oDSP COMMUNICATIONS, INC ................. 89,100
3,100 oDYNATECH CORP ........................... 110,825
1,600 oGENERAL DATACOMM INDUSTRIES, INC ........ 11,400
9,900 oGEOTEK COMMUNICATIONS, INC .............. 53,831
6,900 HARRIS CORP ............................. 579,600
2,900 oHEARTLAND WIRELESS
COMMUNICATIONS INC ..................... 6,887
4,400 oHIGHWAYMASTER COMMUNICATIONS, INC ....... 67,100
3,900 oINTERCEL, INC ........................... 54,112
1,100 oINTERDIGITAL COMMUNICATIONS CORP ........ 6,050
4,100 oINTERMEDIA COMMUNICATIONS, INC .......... 132,737
5,800 oINTERNATIONAL FAMILY
ENTERTAINMENT, INC ..................... 199,375
3,900 oJACOR COMMUNICATIONS, INC ............... 149,175
15,400 oLCI INTERNATIONAL, INC .................. 336,875
2,500 oLEVEL ONE COMMUNICATIONS, INC ........... 96,093
2,300 oLORAL SPACE & COMMUNICATIONS LTD ........ 34,500
112,162 LUCENT TECHNOLOGIES, INC ................ 8,082,674
3,800 oMACROMEDIA, INC ......................... 32,775
2,700 oMASTEC, INC ............................. 127,743
1,100 oNETCOM ON-LINE COMMUNICATIONS
SERVICE, INC ........................... 16,225
3,400 oNETWORK EQUIPMENT
TECHNOLOGIES, INC ...................... 61,200
55,500 oNOVELL, INC ............................. 385,031
6,466 oNTL, INC ................................ 160,841
9,400 oOCTEL COMMUNICATIONS CORP ............... 220,312
5,000 oOMNIPOINT CORP .......................... 83,125
2,800 oP-COM, INC .............................. 92,400
20,000 oPAGING NETWORK, INC ..................... 175,625
12,100 oPAIRGAIN TECHNOLOGIES, INC .............. 187,550
4,810 oPANAMSAT CORP ........................... 139,490
5,300 PICTURETEL CORP ......................... 50,350
7,000 oPMT SERVICES, INC ....................... 106,750
5,300 oPREMIERE TECHNOLOGIES, INC .............. 137,800
3,100 oPREMISYS COMMUNICATIONS, INC ............ 48,825
8,900 oQUALCOMM, INC ........................... 452,787
12,100 SCIENTIFIC-ATLANTA, INC ................. 264,687
5,600 oSITEL CORP .............................. 115,500
8,400 oTECH DATA CORP .......................... 264,075
6,600 oTEL-SAVE HOLDINGS, INC .................. 100,650
5,100 oTELE-COMMUNICATIONS
INT'L (CLASS A) ........................ 78,731
29,260 oTELLABS, INC ............................ 1,634,902
7,600 oVANGUARD CELLULAR SYSTEMS, INC .......... 103,550
3,400 oWESTELL TECHNOLOGIES, INC (CLASS A) ..... 85,000
6,000 oWINSTAR COMMUNICATIONS, INC ............. 80,250
------------
34,661,304
------------
COMPUTER SERVICE--3.99%
400 o3DO CO .................................. 1,400
3,600 oACTEL CORP .............................. 61,425
11,300 oACXIOM CORP ............................. 231,650
19,100 oADAPTEC, INC ............................ 663,725
22,900 oADC TELECOMMUNICATIONS, INC ............. 764,287
9,972 ADOBE SYSTEMS, INC ...................... 349,643
7,725 oAMERICAN MANAGEMENT SYSTEMS, INC ........ 206,643
See notes to financial statements.
-64-
<PAGE>
EQUITY INDEX ACCOUNT (CONTINUED)
SHARES VALUE
------ -----
COMPUTER SERVICE--(CONTINUED)
2,400 oARBOR SOFTWARE CORP ..................... $ 84,600
4,200 oAUSPEX SYSTEMS, INC ..................... 40,425
50,500 AUTOMATIC DATA PROCESSING, INC .......... 2,373,500
3,700 oAVANT CORP .............................. 119,556
6,100 oBANCTEC, INC ............................ 158,218
400 oBANYAN SYSTEMS, INC ..................... 900
32,845 oBAY NETWORKS, INC ....................... 872,445
6,200 oBDM INTERNATIONAL, INC .................. 142,600
3,900 oBELL & HOWELL CO ........................ 120,168
8,000 oBISYS GROUP, INC ........................ 334,000
18,300 oBMC SOFTWARE, INC ....................... 1,013,362
2,200 oBORLAND INTERNATIONAL, INC .............. 15,262
4,500 oBOSTON TECHNOLOGY, INC .................. 133,031
3,000 oBRODERBUND SOFTWARE, INC ................ 74,062
4,500 oC-CUBE MICROSYSTEMS, INC ................ 79,031
16,525 oCADENCE DESIGN SYSTEMS, INC ............. 553,587
5,600 oCAMBRIDGE TECHNOLOGY PARTNERS, INC ...... 179,200
1,250 oCDW COMPUTER CENTERS, INC ............... 66,328
12,800 oCERIDIAN CORP ........................... 540,800
6,100 oCHECKFREE CORP .......................... 107,512
5,200 oCITRIX SYSTEMS, INC ..................... 228,150
2,200 oCLARIFY, INC ............................ 24,887
14,800 oCOMPUSA, INC ............................ 318,200
48,550 COMPUTER ASSOCIATES
INTERNATIONAL, INC ..................... 2,703,628
12,160 oCOMPUTER SCIENCES CORP .................. 877,040
4,000 COMPUTER TASK GROUP, INC ................ 149,000
12,000 oCOMPUWARE CORP .......................... 573,000
1,800 oCSG SYSTEMS INTERNATIONAL, INC .......... 55,575
2,900 oCYRIX CORP .............................. 61,987
6,100 oDECISIONONE CORP ........................ 138,775
5,700 oDIAMOND MULTIMEDIA SYSTEMS, INC ......... 40,968
2,700 oDOCUMENTUM, INC ......................... 67,162
7,300 oDST SYSTEMS, INC ........................ 243,181
8,200 oELECTRONIC ARTS, INC .................... 275,725
58,600 ELECTRONIC DATA SYSTEMS CORP ............ 2,402,600
41,600 oEMC CORP ................................ 1,622,400
3,700 oEMPLOYEE SOLUTIONS, INC ................. 20,581
3,100 oEXABYTE CORP ............................ 39,718
72,648 FIRST DATA CORP ......................... 3,191,971
8,500 oFISERV, INC ............................. 379,312
5,600 oFORTE SOFTWARE, INC ..................... 75,250
1,600 oFTP SOFTWARE, INC ....................... 7,800
8,300 oGT INTERACTIVE SOFTWARE CORP ............ 98,562
3,500 oHARBINGER CORP .......................... 98,000
15,600 HBO & CO ................................ 1,074,450
7,200 oHMT TECHNOLOGY CORP ..................... 93,150
4,000 oHNC SOFTWARE ............................ 152,500
9,100 oIMATION CORP ............................ 240,012
25,400 oINFORMIX CORP ........................... 228,600
267 oINTEGRATED SYSTEMS CONSULTING
GROUP .................................. 2,903
3,800 oINTEGRATED SYSTEMS, INC ................. 44,650
8,400 oINTERGRAPH CORP ......................... 71,400
6,000 oINTUIT, INC ............................. 137,625
500 oJTS CORP ................................ 343
7,000 oKEANE, INC .............................. 364,000
5,600 oLEARNING CO, INC ........................ 52,500
1,200 oLEARNING TREE INTERNATIONAL, INC ........ 53,250
3,400 oLEGATO SYSTEMS, INC ..................... 62,900
4,700 oMEDIC COMPUTER SYSTEMS, INC ............. 104,575
12,300 oMENTOR GRAPHICS CORP .................... 113,775
8,650 oMICROCHIP TECHNOLOGY, INC ............... 257,337
3,100 oMICRON ELECTRONICS, INC ................. 55,218
140,500 oMICROSOFT CORP .......................... 17,755,687
6,100 NATIONAL DATA CORP ...................... 264,206
19,968 oNCR CORP ................................ 594,048
4,200 oNETMANAGE, INC .......................... 12,337
7,900 oNETSCAPE COMMUNICATIONS CORP ............ 253,293
3,200 oNETWORK APPLIANCE, INC .................. 121,600
8,500 oNETWORK GENERAL CORP .................... 126,437
3,900 oOBJECTIVE SYSTEMS INTEGRATORS, INC ...... 33,637
89,125 oORACLE CORP ............................. 4,489,671
21,800 oPARAMETRIC TECHNOLOGY CORP .............. 927,862
13,100 oPEOPLESOFT, INC ......................... 691,025
5,200 oPHYSICIAN COMPUTER NETWORK, INC ......... 35,100
4,800 oPIXAR, INC .............................. 75,600
9,500 oPLATINUM TECHNOLOGY, INC ................ 125,875
2,800 oPOLICY MANAGEMENT SYSTEMS CORP .......... 131,600
1,400 PROGRESS SOFTWARE CORP .................. 22,400
4,500 oPSINET, INC ............................. 33,750
7,600 oRATIONAL SOFTWARE CORP .................. 127,775
6,300 oREAD RITE CORP .......................... 131,512
15,100 REYNOLDS & REYNOLDS CO (CLASS A) ........ 237,825
7,300 oSAFEGUARD SCIENTIFICS, INC .............. 232,231
800 oSAPIENT CORP ............................ 39,600
3,000 oSCOPUS TECHNOLOGY, INC .................. 67,125
5,500 oSECURITY DYNAMICS TECHNOLOGIES, INC ..... 202,812
2,000 SEI INVESTMENT COMPANY .................. 48,250
4,300 SHARED MEDICAL SYSTEMS CORP ............. 232,200
3,900 oSHIVA CORP .............................. 40,706
14,077 oSTERLING COMMERCE, INC .................. 462,781
5,500 oSTERLING SOFTWARE, INC .................. 171,875
6,000 oSTRUCTURAL DYNAMICS RESEARCH CORP ....... 157,500
13,400 oSYBASE, INC ............................. 199,325
8,800 oSYMANTEC CORP ........................... 171,600
7,372 oSYNOPSYS, INC ........................... 270,921
3,950 oSYSTEM SOFTWARE ASSOCIATES, INC ......... 30,118
2,400 oSYSTEMSOFT CORP ......................... 25,800
3,200 oTECHNOLOGY SOLUTIONS CO ................. 126,400
6,200 oTRANSACTION SYSTEM ARCHITECTURE ......... 213,900
9,800 oVANSTAR CORP ............................ 138,425
2,500 oVANTIVE CORP ............................ 70,625
2,200 oVERITAS SOFTWARE CORP ................... 110,550
2,800 oVIASOFT, INC ............................ 142,100
2,800 oVIDEOSERVER, INC ........................ 37,100
2,800 oVISIO CORP .............................. 197,400
3,900 oXIRCOM, INC ............................. 48,506
4,200 oYAHOO, INC .............................. 148,050
3,700 oZEBRA TECHNOLOGY CORP ................... 103,137
------------
55,970,297
------------
CONGLOMERATES--2.02%
11,200 ALEXANDER & BALDWIN, INC ................ 292,600
43,200 ALLIED SIGNAL, INC ...................... 3,628,800
6,800 AMERICAN FINANCIAL GROUP, INC ........... 288,575
9,300 oANIXTER INTERNATIONAL, INC .............. 159,843
14,700 APARTMENT INVESTMENT &
MANAGEMENT CO .......................... 415,275
5,700 oBLYTH INDUSTRIES, INC ................... 192,375
4,900 BRADY (W.H.) CO (CLASS A) ............... 142,100
8,500 oCOLTEC INDUSTRIES, INC .................. 165,750
10,275 oCONCORD EFS, INC ........................ 265,865
7,800 oCOPYTELE, INC ........................... 42,412
9,150 CRANE CO ................................ 382,584
21,400 ITT INDUSTRIES, INC ..................... 551,050
7,900 JOHNS MANVILLE CORP ..................... 93,318
14,800 JOHNSON CONTROLS, INC ................... 607,725
See notes to financial statements.
-65-
<PAGE>
CONGLOMERATES--(CONTINUED)
13,350 KEYSTONE FINANCIAL, INC ................. $ 417,187
7,000 oLITTON INDUSTRIES, INC .................. 338,187
12,200 LOEWS CORP .............................. 1,221,525
12,913 MARK IV INDUSTRIES, INC ................. 309,912
9,200 oMETROMEDIA INTERNATIONAL
GROUP, INC ............................. 116,150
72,000 MINNESOTA MINING &
MANUFACTURING CO ....................... 7,344,000
28,900 ROCKWELL INTERNATIONAL CORP ............. 1,705,100
1,100 STANDEX INTERNATIONAL CORP .............. 33,000
23,900 TEXTRON, INC ............................ 1,586,362
22,700 TRW, INC ................................ 1,289,643
24,900 TYCO INTERNATIONAL LTD .................. 1,732,106
10,800 oU.S. INDUSTRIES, INC ................... 384,750
44,900 UNITED TECHNOLOGIES CORP ................ 3,726,700
17,200 VIAD CORP ............................... 331,100
21,200 WHITMAN CORP ............................ 508,800
4,600 ZEIGLER COAL HOLDING CO ................. 107,525
-----------
28,380,319
------------
CONSTRUCTION--MATERIALS &
BUILDERS--0.63%
7,400 ARMSTRONG WORLD INDUSTRIES, INC ......... 542,975
10,400 BAY APARTMENT COMMUNITIES, INC .......... 384,800
5,600 CARLISLE COS, INC ....................... 195,300
1,200 oCASTLE & COOKE, INC ..................... 19,875
3,000 oCDI CORP ................................ 125,062
6,100 CENTEX CORP ............................. 247,812
10,600 oCHAMPION ENTERPRISES, INC ............... 159,000
17,316 CLAYTON HOMES, INC ...................... 246,753
3,900 oEAGLE HARDWARE & GARDEN, INC ............ 89,212
4,900 FASTENAL CO ............................. 240,100
5,300 FLEETWOOD ENTERPRISES, INC .............. 158,006
9,200 HORTON (D.R.), INC ...................... 95,450
4,900 oJACOBS ENGINEERING GROUP, INC ........... 131,687
600 JUSTIN INDUSTRIES, INC .................. 7,650
13,700 KAUFMAN & BROAD HOME CORP ............... 240,606
10,450 LAFARGE CORP ............................ 256,025
10,350 LENNAR CORP ............................. 330,553
2,300 LONE STAR INDUSTRIES, INC ............... 104,218
2,300 MANUFACTURED HOME
COMMUNITIES, INC ....................... 53,043
11,368 MARTIN MARIETTA MATERIALS, INC .......... 368,039
28,600 MASCO CORP .............................. 1,194,050
4,600 MEDUSA CORP ............................. 176,525
7,400 oMILLER INDUSTRIES, INC .................. 118,400
8,100 OAKWOOD HOMES CORP ...................... 194,400
8,800 OWENS CORNING CO ........................ 379,500
700 PLY-GEM INDUSTRIES, INC ................. 12,687
8,200 PULTE CORP .............................. 283,412
2,440 SECURITY CAPITAL CORP ................... 230,580
25,600 SHERWIN-WILLIAMS CO ..................... 790,400
14,356 SIMON DEBARTOLO GROUP, INC .............. 459,392
6,200 oSOLA INTERNATIONAL, INC ................. 207,700
4,600 TEXAS INDUSTRIES, INC ................... 122,187
7,600 oUSG CORP ................................ 277,400
5,900 VULCAN MATERIALS CO ..................... 463,150
------------
8,905,949
------------
CONTAINERS--0.13%
8,750 BALL CORP ............................... 263,046
16,600 CROWN CORK & SEAL CO, INC ............... 887,062
6,500 oGAYLORD CONTAINER CO .................... 49,968
18,100 oOWENS ILLINOIS, INC ..................... 561,100
1,100 WEST CO, INC ............................ 31,487
------------
1,792,663
------------
COSMETICS--0.86%
9,000 ALBERTO CULVER CO (CLASS B) ............. 252,000
21,500 AVON PRODUCTS, INC ...................... 1,517,093
600 oBUSH BOAKE ALLEN, INC ................... 18,675
4,700 CARTER WALLACE, INC ..................... 84,012
96,911 GILLETTE CO ............................. 9,182,317
16,000 INTERNATIONAL FLAVORS &
FRAGRANCES, INC ........................ 808,000
4,100 LAUDER (ESTEE) CO (CLASS A) ............. 206,025
------------
12,068,122
------------
ELECTRICAL EQUIPMENT--3.49%
12,900 oAMERICAN POWER CONVERSION CORP .......... 245,100
7,400 AMETEK, INC ............................. 173,900
7,400 BELDEN, INC ............................. 252,062
77,800 EMERSON ELECTRIC CO ..................... 4,283,862
577,200 GENERAL ELECTRIC CO ..................... 37,734,450
8,700 GENERAL SIGNAL CORP ..................... 379,537
7,600 GRAINGER (W.W.), INC .................... 594,225
22,000 HONEYWELL, INC .......................... 1,669,250
8,250 HUBBELL, INC (CLASS B) .................. 363,000
1,700 JUNO LIGHTING, INC ...................... 27,625
10,005 THOMAS & BETTS CORP ..................... 525,887
113,631 WESTINGHOUSE ELECTRIC CORP .............. 2,627,716
-----------
48,876,614
------------
ELECTRICAL EQUIPMENT--
COMPONENTS DIVERSIFIED--3.60%
25,100 oADVANCED MICRO DEVICES, INC ............. 903,600
14,500 oALTERA CORP ............................. 732,250
38,700 AMP, INC ................................ 1,615,725
1,200 oANADIGICS, INC .......................... 37,200
30,333 oANALOG DEVICES, INC ..................... 805,720
1,000 oAPPLIED INNOVATION, INC ................. 4,000
8,937 oARROW ELECTRONICS, INC .................. 474,778
16,700 oATMEL CORP .............................. 467,600
8,000 AVNET, INC .............................. 460,000
4,300 AVX CORP ................................ 116,100
7,000 BALDOR ELECTRIC CO ...................... 206,937
6,600 oBURR BROWN CORP ......................... 227,700
4,100 oCHIPS & TECHNOLOGIES, INC ............... 42,537
12,300 oCIRRUS LOGIC, INC ....................... 129,150
8,200 oCOMPUCOM SYSTEMS, INC ................... 58,425
5,000 oCOMPUTER PRODUCTS, INC .................. 125,000
3,600 oCOMVERSE TECHNOLOGY, INC ................ 187,200
13,000 oCYPRESS SEMICONDUCTOR CORP .............. 188,500
8,000 DALLAS SEMICONDUCTOR CORP ............... 314,000
3,900 oESS TECHNOLOGY .......................... 52,406
2,900 oETEC SYSTEMS, INC ....................... 124,337
4,900 FISHER SCIENTIFIC INTERNATIONAL, INC .... 232,750
23,200 oGENERAL INSTRUMENT CORP ................. 580,000
1,900 oHADCO CORP .............................. 124,450
1,100 HELIX TECHNOLOGY CORP ................... 44,550
2,700 oHUTCHINSON TECHNOLOGY, INC .............. 65,812
12,800 oINTEGRATED DEVICE TECHNOLOGY, INC ....... 134,400
145,300 INTEL CORP .............................. 20,605,356
8,800 oINTERNATIONAL RECTIFIER CORP ............ 163,900
1,400 oJABIL CIRCUIT, INC ...................... 117,425
6,800 oKEMET CORP .............................. 169,150
6,100 oKENT ELECTRONICS CORP ................... 223,793
5,200 oLAM RESEARCH CORP ....................... 192,725
3,600 oLATTICE SEMICONDUCTOR CORP .............. 203,400
13,000 LINEAR TECHNOLOGY CO .................... 672,750
5,200 oLITTLEFUSE, INC ......................... 146,900
3,000 LOGICON, INC ............................ 159,000
22,300 oLSI LOGIC CORP .......................... 713,600
See notes to financial statements.
-66-
<PAGE>
EQUITY INDEX ACCOUNT (CONTINUED)
SHARES VALUE
------ -----
ELECTRICAL EQUIPMENT--
COMPONENTS DIVERSIFIED--(CONTINUED)
4,400 oMAGNETEK, INC ........................... $ 73,150
5,900 oMARSHALL INDUSTRIES, INC ................ 219,775
11,000 oMAXIM INTEGRATED PRODUCTS ............... 625,625
3,500 oMEMC ELECTRONIC MATERIALS, INC .......... 114,625
8,200 METHODE ELECTRONICS, INC (CLASS A) ...... 162,975
29,200 oMICRON TECHNOLOGY, INC .................. 1,166,175
17,906 MOLEX, INC .............................. 653,569
107,300 MOTOROLA, INC ........................... 8,154,800
3,100 oMRV COMMUNICATIONS, INC ................. 91,450
1,000 oMYLEX CORP .............................. 9,500
24,300 oNATIONAL SEMICONDUCTOR CORP ............. 744,187
2,400 oOAK INDUSTRIES, INC ..................... 69,000
1,950 PIONEER-STANDARD ELECTRONICS, INC ....... 26,325
5,300 oPMC-SIERRA, INC ......................... 139,125
8,700 oS3, INC ................................. 95,700
3,300 oSANMINA CORP ............................ 209,550
2,900 oSMART MODULAR TECHNOLOGIES, INC ......... 97,875
7,200 SYMBOL TECHNOLOGIES, INC ................ 242,100
2,200 oTCSI CORP ............................... 11,550
33,900 TEXAS INSTRUMENTS, INC .................. 2,849,718
3,400 oTRIMBLE NAVIGATION LTD .................. 60,350
3,900 oUCAR INTERNATIONAL, INC ................. 178,425
3,300 oUNIPHASE CORP ........................... 192,225
1,700 oUNITRODE CORP ........................... 85,637
6,300 oVICOR CORP .............................. 141,750
9,636 oVISHAY INTERTECHNOLOGY, INC ............. 278,841
5,100 oVITESSE SEMICONDUCTOR CORP .............. 166,706
7,100 oVLSI TECHNOLOGY, INC .................... 167,737
7,600 oWATERS CORP ............................. 272,650
15,400 oWESTERN DIGITAL CORP .................... 487,025
4,000 WYLE ELECTRONICS ........................ 158,000
12,400 oXILINX, INC ............................. 608,375
4,800 oZILOG, INC .............................. 91,200
------------
50,468,821
------------
ELECTRICAL EQUIPMENT--
INSTRUMENTS--0.47%
31,000 oAPPLIED MATERIALS, INC .................. 2,195,187
5,400 BECKMAN INSTRUMENTS, INC ................ 260,550
1,400 oBERG ELECTRICS CORP ..................... 50,312
2,800 oCOHERENT, INC ........................... 124,600
3,300 oDESTEC ENERGY, INC ...................... 71,156
3,300 oDIONEX CORP ............................. 169,125
1,600 oELECTROGLAS, INC ........................ 40,300
9,200 oELECTRONICS FOR IMAGING, INC ............ 434,700
4,700 oGENRAD, INC ............................. 106,337
2,100 oIDX SYSTEMS CORP ........................ 72,450
8,300 oINPUT/OUTPUT, INC ....................... 150,437
13,700 oKLA INSTRUMENTS CORP .................... 667,875
3,900 oKULICHE & SOFFA INDUSTRIES, INC ......... 126,628
2,600 oLTX CORP ................................ 16,900
7,400 PERKIN-ELMER CORP ....................... 588,762
1,100 oRADISYS CORP ............................ 43,725
5,900 oSILICON VALLEY GROUP, INC ............... 155,612
5,600 TEKTRONIX, INC .......................... 336,000
13,500 oTERADYNE, INC ........................... 529,875
3,175 oTHERMO INSTRUMENT SYSTEMS, INC .......... 96,837
5,300 VARIAN ASSOCIATES, INC .................. 287,525
1,900 X RITE, INC ............................. 36,100
------------
6,560,993
------------
ENVIRONMENTAL CONTROL--0.50%
19,200 oALLIED WASTE INDUSTRIES, INC ............ 333,600
35,000 BROWNING FERRIS INDUSTRIES, INC ......... 1,163,750
3,900 oCULLIGAN WATER TECHNOLOGIES, INC ........ 174,525
11,900 OGDEN CORP .............................. 258,825
800 XoOMEGA ENVIRONMENTAL, INC ............... 375
25,100 oREPUBLIC INDUSTRIES, INC ................ 624,362
9,050 oU.S. FILTER CORP ........................ 246,612
21,960 oU.S.A. WASTE SERVICES, INC .............. 848,205
9,400 oUNITED WASTE SYSTEMS, INC ............... 385,400
82,701 WASTE MANAGEMENT, INC ................... 2,656,769
16,100 WHEELABRATOR TECHNOLOGIES, INC .......... 248,543
-----------
6,940,966
------------
FINANCIAL--MISCELLANEOUS--4.36%
6,100 AAMES FINANCIAL CORP .................... 112,850
8,600 ADVANTA CORP (CLASS A) .................. 316,050
4,850 ALEX BROWN, INC ......................... 342,531
5,800 AMBAC, INC .............................. 442,975
84,000 AMERICAN EXPRESS CO ..................... 6,258,000
45,001 AMERICAN GENERAL CORP ................... 2,148,797
3,600 AMERICAN HEALTH PROPERTIES, INC ......... 90,450
5,400 oAMRESCO, INC ............................ 116,100
6,100 oARCADIA FINANCIAL LTD ................... 56,043
12,500 ASTORIA FINANCIAL CORP .................. 593,750
6,852 BEACON PROPERTIES CORP .................. 228,685
23,101 BEAR STEARNS COS, INC ................... 789,765
9,700 BENEFICIAL CORP ......................... 689,306
730 oCALIFORNIA FEDEREAL BANCORP ............. 12,318
20,055 CAPSTEAD MORTGAGE CORP .................. 495,107
7,800 CARR AMERICA REALTY CORP ................ 224,250
9,500 CASE CORP ............................... 654,312
13,900 oCATELLUS DEVELOPMENT CORP ............... 251,937
1,300 CBL & ASSOCIATES PROPERTIES, INC ........ 31,200
2,500 oCITYSCAPE FINANCIAL CORP ................ 49,843
5,600 CMAC INVESTMENT CORP .................... 267,400
4,500 oCOAST SAVINGS FINANCIAL, INC ............ 204,468
7,500 COLLECTIVE BANCORP, INC ................. 336,562
10,275 COMDISCO, INC ........................... 267,150
5,100 COMMERCIAL FEDERAL CORP ................. 189,337
1,700 oCONTIFINANCIAL CORP ..................... 62,050
19,406 COUNTRYWIDE CREDIT INDUSTRIES, INC ...... 605,224
4,800 oCREDIT ACCEPTANCE CORP .................. 61,800
21,900 CWM MORTGAGE HOLDINGS, INC .............. 524,231
2,300 oDELPHI FINANCIAL GROUP, INC ............. 88,550
4,600 DEVELOPERS DIVERSIFIED REALTY CORP ...... 184,000
2,200 DONALDSON, LUFKIN, & JENRETTE, INC ...... 131,450
5,170 DUKE REALTY INVESTMENTS, INC ............ 209,385
16,800 DYNEX CAPITAL, INC ...................... 234,150
846 oECHELON INTERNATIONAL CORP .............. 19,299
11,900 EDWARDS (A.G.), INC ..................... 508,725
3,900 ENHANCE FINANCIAL SERVICES
GROUP, INC ............................. 171,112
3,500 oENVOY CORP .............................. 116,375
8,600 EQUITY RESIDENTIAL PROPERTIES
TRUST CO ............................... 408,500
123,800 FEDERAL HOME LOAN MORTGAGE CORP ......... 4,255,625
187,700 FEDERAL NATIONAL MORTGAGE
ASSOCIATION ............................. 8,188,412
8,500 FINANCIAL SECURITY ASSURANCE
HOLDINGS LTD ........................... 330,968
5,000 FINOVA GROUP, INC ....................... 382,500
11,875 FIRST FINANCIAL CORP (WISCONSIN) ........ 348,828
3,400 oFIRSTPLUS FINANCIAL GROUP, INC ......... 115,600
20,504 FRANCHISE FINANCE CORP OF AMERICA ....... 534,385
13,850 FRANKLIN RESOURCES, INC ................. 1,004,990
7,300 oGARTNER GROUP, INC (CLASS A) ............ 262,343
5,700 GENERAL GROWTH PROPERTIES, INC .......... 190,950
See notes to financial statements.
-67-
<PAGE>
EQUITY INDEX ACCOUNT (CONTINUED)
SHARES VALUE
------ -----
FINANCIAL--MISCELLANEOUS--(CONTINUED)
13,300 oGLENDALE FEDERAL SAVINGS
BANK, INC .............................. $ 347,462
2,800 GLIMCHER REALTY TRUST ................... 57,750
6,900 GOLDEN WEST FINANCIAL CORP .............. 483,000
3,700 oGREAT FINANCIAL CORP .................... 129,962
20,885 GREAT WESTERN FINANCIAL CORP ............ 1,122,568
25,300 GREEN TREE FINANCIAL CORP ............... 901,312
14,800 H.F. AHMANSON & CO ...................... 636,400
15,500 HEALTH AND RETIREMENT PROPERTY
TRUST ................................... 291,593
20,400 HIGHWOODS PROPERTIES, INC ............... 652,800
17,117 HOUSEHOLD INTERNATIONAL, INC ............ 2,010,177
3,900 LEGG MASON, INC ......................... 209,868
21,320 LEHMAN BROTHERS HOLDINGS, INC ........... 863,460
6,900 oLEUCADIA NATIONAL CORP .................. 213,468
54,025 MBNA CORP ............................... 1,978,665
12,000 MEDITRUST CORP .......................... 478,500
20,850 oMERCURY FINANCE CO ...................... 50,821
67,100 MERRILL LYNCH & CO, INC ................. 4,000,837
9,266 MERRY LAND & INVESTMENT CO, INC ......... 200,956
79,800 MORGAN STANLEY, DEAN WITTER,
DISCOVER ................................ 3,436,387
14,231 NEW PLAN REALTY TRUST ................... 313,971
12,900 PAINE WEBBER GROUP INC .................. 451,500
800 oPEC ISRAEL ECONOMIC CORP ................ 19,200
7,900 PENNCORP FINANCIAL GROUP, INC ........... 304,150
7,500 PIONEER GROUP, INC ...................... 172,500
4,800 PMI GROUP, INC .......................... 299,400
3,600 POST PROPERTIES, INC .................... 146,025
8,500 PRICE (T. ROWE) ASSOCIATES, INC ......... 438,812
11,100 PUBLIC STORAGE, INC ..................... 324,675
4,125 QUICK & REILLY GROUP, INC ............... 95,906
20,700 REALTY INCOME CORP ...................... 543,375
4,200 RFS HOTEL INVESTORS, INC ................ 75,600
14,900 ROOSEVELT FINANCIAL GROUP, INC .......... 327,800
18,800 SALOMON, INC ............................ 1,045,750
19,800 SCHWAB (CHARLES) CORP ................... 805,612
2,500 oSEACOR SMIT, INC ........................ 130,781
8,000 SECURITY CAPITAL PACIFIC TRUST .......... 183,000
600 SIRROM CAPITAL CORP ..................... 20,700
7,700 SPIEKER PROPERTIES, INC ................. 270,943
3,000 oSPS TRANSACTION SERVICES, INC ........... 55,500
9,000 STUDENT LOAN MARKETING ASSOCIATION ...... 1,143,000
7,600 TCF FINANCIAL CORP ...................... 375,250
6,350 THE MONEY STORE, INC .................... 182,165
12,900 TIG HOLDINGS, INC ....................... 403,125
14,500 UNITED ASSET MANAGEMENT CORP ............ 410,531
6,280 UNITED COS FINANCIAL CORP ............... 177,410
16,445 UNITED DOMINION REALTY TRUST, INC ....... 233,313
-----------
61,124,618
------------
FOODS--2.09%
94,172 ARCHER DANIELS MIDLAND CO ............... 2,213,042
43,800 CAMPBELL SOUP CO ........................ 2,190,000
8,000 CHIQUITA BRANDS INTERNATIONAL, INC ...... 110,000
39,500 CONAGRA, INC ............................ 2,532,937
24,200 CPC INTERNATIONAL, INC .................. 2,233,962
7,500 DEAN FOODS CO ........................... 302,812
2,000 DEKALB GENETICS CORP (CLASS B) .......... 159,500
7,900 DOLE FOOD, INC .......................... 337,725
700 DREYERS GRAND ICE CREAM, INC ............ 27,650
2,540 EARTHGRAINS CO .......................... 166,528
14,850 FLOWERS INDUSTRIES, INC ................. 249,665
27,011 GENERAL MILLS, INC ...................... 1,759,091
14,500 oGENERAL NUTRITION COS, INC .............. 406,000
55,350 HEINZ (H.J.) CO ......................... 2,553,018
16,900 HERSHEY FOODS CORP ...................... 934,781
9,400 HORMEL FOODS CORP ....................... 252,625
17,100 IBP, INC ................................ 397,575
4,000 INTERSTATE BAKERIES CORP ................ 237,250
15,400 KELLOGG CO .............................. 1,318,625
6,300 LANCE, INC .............................. 120,487
14,100 MCCORMICK & CO, INC (NON-VTG) ........... 356,025
15,000 NABISCO HOLDINGS CORP (CLASS A) ......... 598,125
3,200 NATURES SUNSHINE PRODUCTS, INC .......... 58,000
3,890 oNBTY, INC ............................... 108,920
11,500 PIONEER-HI-BRED INTERNATIONAL, INC ...... 920,000
24,900 QUAKER OATS CO .......................... 1,117,387
10,500 oRALCORP HOLDINGS, INC ................... 154,875
17,200 RALSTON PURINA CO ....................... 1,413,625
10,350 RICHFOOD HOLDINGS, INC .................. 269,100
83,900 SARA LEE CORP ........................... 3,492,337
4,400 oSMITHFIELD FOODS, INC ................... 270,600
2,388 oSMITH'S FOOD & DRUG CENTERS, INC
(CLASS B) .............................. 128,056
951 TOOTSIE ROLL INDUSTRIES, INC ............ 42,319
21,900 TYSON FOODS, INC ........................ 418,837
4,900 UNIVERSAL FOODS CORP .................... 186,812
4,000 oWHOLE FOODS MARKET, INC ................. 132,500
351 WLR FOODS, INC .......................... 2,851
17,400 WRIGLEY (WM) JR CO ...................... 1,165,800
-----------
29,339,442
------------
FOREST PRODUCTS--0.43%
8,300 BOISE CASCADE CORP ...................... 293,093
14,000 CHAMPION INTERNATIONAL CORP ............. 773,500
11,300 oCOLLINS & AIKMAN CORP ................... 113,000
15,400 GEORGIA-PACIFIC CORP .................... 1,314,775
22,300 LOUISIANA PACIFIC CORP .................. 471,087
6,100 POTLATCH CORP ........................... 276,025
6,500 RAYONIER, INC ........................... 273,406
1,100 TJ INTERNATIONAL, INC ................... 25,850
34,800 WEYERHAEUSER CO ......................... 1,809,600
8,900 WILLAMETTE INDUSTRIES, INC .............. 623,000
-----------
5,973,336
------------
HEALTHCARE--DRUGS--6.63%
8,000 oADVANCED TISSUE SCIENCE CO .............. 103,000
2,500 oAGOURON PHARMACEUTICALS, INC ............ 202,187
3,200 oALKERMES, INC ........................... 46,400
11,900 ALLERGAN, INC ........................... 378,568
3,000 oALLIANCE PHARMACEUTICAL CORP ............ 30,187
15,700 oALZA CORP ............................... 455,300
112,500 AMERICAN HOME PRODUCTS CORP ............. 8,606,250
46,950 oAMGEN, INC .............................. 2,728,968
6,800 oAMYLIN PHARMACEUTICALS, INC ............. 93,500
11,625 ARBOR DRUGS, INC ........................ 233,953
9,825 BERGEN BRUNSWIG CORP (CLASS A) .......... 273,871
9,300 oBIO-TECHNOLOGY GENERAL CORP ............. 125,550
12,500 oBIOGEN, INC ............................. 423,437
951 BLOCK DRUG, INC (CLASS A) ............... 41,606
175,600 BRISTOL MYERS SQUIBB CO ................. 14,223,600
600 oCELLPRO, INC ............................ 3,600
11,800 oCENTOCOR, INC ........................... 366,537
4,500 oCEPHALON, INC ........................... 51,750
30,228 oCHIRON CORP ............................. 631,009
3,200 oCLINTRIALS INC .......................... 38,400
6,800 oCOLUMBIA LABORATORIES, INC .............. 111,350
200 oCOPLEY PHARMACEUTICAL, INC .............. 1,450
1,100 oCOR THERAPEUTICS, INC ................... 11,687
2,200 oCYGNUS, INC ............................. 37,950
See notes to financial statements.
-68-
<PAGE>
EQUITY INDEX ACCOUNT (CONTINUED)
SHARES VALUE
------ -----
HEALTHCARE--DRUGS--(CONTINUED)
7,500 oDURA PHARMACEUTICALS, INC ............... $ 299,062
2,364 oELAN CORP PLC ADR ....................... 106,971
1,890 oENZO BIOCHEMICAL, INC ................... 29,885
7,800 oFOREST LABORATORIES, INC ................ 323,212
600 oGENSIA SICOR, INC ....................... 2,662
13,800 oGENZYME CORP (GENERAL DIVISION) ......... 382,950
81 oGENZYME CORP (TISSUE REPAIR DIVISION) ... 820
6,900 oGILEAD SCIENCES, INC .................... 190,612
2,300 oIDEC PHARMACEUTICALS CORP ............... 55,775
5,200 oIMMUNEX CORP ............................ 188,500
7,800 oINTERNEURON PHARMACEUTICALS, INC ........ 156,975
6,300 oISIS PHARMACEUTICALS, INC ............... 91,743
21,192 oIVAX CORP ............................... 237,085
4,300 JONES MEDICAL INDUSTRIES, INC ........... 204,250
2,000 LIFE TECHNOLOGIES, INC .................. 55,500
600 oLIGAND PHARMACEUTICALS CO
(CLASS A) .............................. 7,725
80,738 LILLY (ELI) & CO ........................ 8,825,672
6,200 oLIPOSOME CO, INC ........................ 55,412
2,400 oMATRIX PHARMACEUTICALS, INC ............. 16,050
212,400 MERCK & CO, INC ......................... 21,983,400
23,650 MYLAN LABORATORIES, INC ................. 348,837
1,200 oNEUROGEN CORP ........................... 27,300
4,700 oNEXSTAR PHARMACEUTICALS, INC ............ 66,975
4,200 oPAREXEL INTERNATIONAL CORP .............. 133,350
1,700 oPDT, INC ................................ 62,050
112,600 PFIZER, INC ............................. 13,455,700
77,445 PHARMACIA & UPJOHN, INC ................. 2,691,213
3,000 oPROTEIN DESIGN LABORATORIES, INC ........ 85,500
8,000 RHONE-POULNEC RORER, INC ................ 727,000
1,900 oROBERTS PHARMACEUTICAL CORP ............. 21,256
4,400 oSCHERER (R.P.) CORP ..................... 227,150
128,500 SCHERING-PLOUGH CORP .................... 6,151,937
6,700 oSEPRACOR, INC ........................... 172,943
6,400 oSEQUUS PHARMACEUTICALS, INC ............. 40,800
2,200 oSOMATOGEN, INC .......................... 10,175
1,900 oU.S. BIOSCIENCE, INC .................... 18,287
4,500 oVERTEX PHARMACEUTICALS, INC ............. 172,125
47,100 WARNER-LAMBERT CO ....................... 5,852,175
5,688 oWATSON PHARMACEUTICALS, INC ............. 240,318
` ------------
92,939,462
------------
HEALTHCARE--HOSPITAL SUPPLY--1.17%
234,210 JOHNSON & JOHNSON CO .................... 15,077,268
7,000 MCKESSON CORP ........................... 542,500
8,000 MILLIPORE CORP .......................... 352,000
10,700 U.S. SURGICAL CORP ...................... 398,575
-----------
16,370,343
------------
HEALTHCARE--OTHER--1.90%
135,200 ABBOTT LABORATORIES CO .................. 9,024,600
2,900 oACCESS HEALTH, INC ...................... 71,050
3,800 oACUSON CORP ............................. 87,400
3,100 oADVANCED TECHNOLOGY
LABORATORIES, INC ...................... 133,300
11,940 ALLEGIANCE CORP ......................... 325,365
1,900 ARROW INTERNATIONAL, INC ................ 55,575
6,300 BALLARD MEDICAL PRODUCTS CO ............. 126,393
10,100 BARD (C.R.), INC ........................ 366,756
8,700 BAUSCH & LOMB, INC ...................... 409,987
45,700 BAXTER INTERNATIONAL, INC ............... 2,387,825
22,600 BECTON DICKINSON & CO ................... 1,144,125
19,500 oBIOMET, INC ............................. 363,187
17,952 oBOSTON SCIENTIFIC CORP .................. 1,102,926
1,300 oCNS, INC ................................ 11,862
5,178 oCORAM HEALTHCARE CORP ................... 12,621
5,100 oCOVENTRY CORP ........................... 77,137
1,000 oCYTYC CORP .............................. 27,125
1,200 oDATASCOPE CORP .......................... 23,550
3,600 DENTSPLY INTERNATIONAL, INC ............. 176,400
400 DIAGNOSTIC PRODUCTS CORP ................ 12,625
9,383 oFRESENIUS MEDICAL CARE AG. ADR .......... 273,279
6,800 oGENESIS HEALTH VENTURES, INC ............ 229,500
12,271 GUIDANT CORP ............................ 1,043,035
2,900 oGULF SOUTH MEDICAL SUPPLY, INC .......... 56,550
5,300 oHAEMONETICS CORP ........................ 101,362
8,600 HILLENBRAND INDUSTRIES, INC ............. 408,500
4,500 oHUMAN GENOME SCIENCES, INC .............. 149,625
5,400 oIDEXX LABORATORIES, INC ................. 67,162
3,200 oISOLYSER CO, INC ........................ 8,700
7,000 KINETIC CONCEPTS, INC ................... 126,000
12,100 oMEDAPHIS CORP ........................... 121,756
40,900 MEDTRONIC, INC .......................... 3,312,900
5,600 MENTOR CORP ............................. 165,900
6,300 oNABI, INC ............................... 41,737
11,100 oNELLCOR PURITAN BENNETT, INC ............ 201,187
7,000 oNEUROMEDICAL SYSTEMS, INC ............... 38,718
10,500 OWENS & MINOR, INC ...................... 156,843
21,900 PALL CORP ............................... 509,175
4,600 oPATTERSON DENTAL CO ..................... 157,837
3,500 oPHARMACEUTICAL PRODUCT
DEVELOPMENT ............................ 77,000
3,600 oPHYMATRIX CORP .......................... 55,350
4,900 oPHYSICIAN RELIANCE NETWORK, INC ......... 45,937
7,600 oPHYSICIAN SALES & SERVICE, INC .......... 144,400
8,700 oPLAYTEX PRODUCTS, INC ................... 81,562
3,775 oQUEST DIAGNOSTICS, INC .................. 77,623
5,000 oSCHEIN (HENRY), INC ..................... 156,250
3,600 oSOFAMOR DANEK GROUP, INC ................ 164,700
13,900 oST. JUDE MEDICAL, INC ................... 542,100
7,010 STERIS CORP ............................. 261,998
13,600 STEWART ENTERPRISES, INC (CLASS A) ...... 571,200
13,100 oSTRYKER CORP ............................ 456,862
4,250 oSUMMIT TECHNOLOGY, INC .................. 28,156
2,200 oSUNRISE MEDICAL, INC .................... 33,275
9,700 oSYBRON INTERNATIONAL CORP ............... 386,787
1,000 oTECNOL MEDICAL PRODUCTS, INC ............ 22,250
7,500 oTHERMEDICS, INC ......................... 117,656
3,300 oTHERMO CARDIOSYSTEMS, INC ............... 85,800
2,600 oTHERMOTREX CORP ......................... 64,837
2,066 oVITALINK PHARMACY SERVICES, INC ......... 39,512
7,000 oVIVUS, INC .............................. 166,687
------------
26,689,517
------------
HEALTHCARE--SERVICE--1.72%
24,918 AETNA, INC .............................. 2,550,980
5,900 oAMERISOURCE HEALTH CORP (CLASS A) ....... 294,262
3,500 oANALYSTS INTERNATIONAL CORP ............. 117,250
9,400 oAPRIA HEALTHCARE GROUP, INC ............. 166,850
2,600 oAVATEX CORP ............................. 3,087
18,900 oBEVERLY ENTERPRISES CO .................. 307,125
18,771 CARDINAL HEALTH, INC .................... 1,074,639
5,300 oCERNER CORP ............................. 111,300
1,800 oCOASTAL PHYSICIAN GROUP, INC ............ 2,925
118,955 COLUMBIA/HCA HEALTHCARE CORP ............ 4,676,418
13,950 oCOVANCE, INC ............................ 269,409
1,500 FAIR ISSAC & CO, INC .................... 66,843
20,770 oFOUNDATION HEALTH SYSTEMS (CLASS A) ..... 629,590
7,250 oHEALTH CARE & RETIREMENT CORP ........... 241,968
See notes to financial statements.
-69-
<PAGE>
EQUITY INDEX ACCOUNT (CONTINUED)
SHARES VALUE
------ -----
HEALTHCARE--SERVICE--(CONTINUED)
17,362 oHEALTH MANAGEMENT ASSOCIATES,
INC (CLASS A) .......................... $ 494,817
3,500 oHEALTH MANAGEMENT SYSTEMS, INC .......... 15,968
5,300 oHEALTHCARE COMPARE CO ................... 277,587
54,890 oHEALTHSOUTH CORP ........................ 1,368,819
9,517 oHORIZON/CMS HEALTHCARE CORP ............. 190,934
28,200 oHUMANA, INC ............................. 652,125
6,200 oINTEGRATED HEALTH SERVICES, INC ......... 238,700
2,300 oINTEGRATED SILICON SOLUTION, INC ........ 17,465
8,800 INVACARE CORP ........................... 205,700
20,080 oLABORATORY CORP OF AMERICA
HOLDINGS ............................... 52,710
244 oLABORATORY CORP OF AMERICA
HOLDINGS WTS 04/28/00 .................. 15
5,500 oLINCARE HOLDINGS, INC ................... 236,500
5,000 oLIVING CENTERS OF AMERICA, INC .......... 197,500
6,700 oMAGELLAN HEALTH SERVICES, INC ........... 197,650
8,700 MANOR CARE, INC ......................... 283,837
5,000 oMARINER HEALTH GROUP, INC ............... 77,187
3,100 oMAXICARE HEALTH PLANS, INC .............. 69,362
27,519 oMEDPARTNERS, INC ........................ 595,098
6,200 oMID ATLANTIC MEDICAL SERVICES, INC ...... 96,487
1,100 MORRISON HEALTH CARE, INC ............... 17,531
7,450 oMULTICARE COS, INC ...................... 203,943
10,500 oNOVACARE, INC ........................... 145,687
5,200 oOCCUSYSTEMS, INC ........................ 150,800
2,200 OMEGA HEALTHCARE INVESTORS, INC ......... 71,912
12,700 OMNICARE, INC ........................... 398,462
4,000 oORTHODONTIC CENTERS OF AMERICA, INC ..... 72,750
13,000 oOXFORD HEALTH PLANS, INC ................ 932,750
824 oPACIFICARE HEALTH SYSTEMS, INC
CLASS A ................................ 49,903
4,220 oPACIFICARE HEALTH SYSTEMS, INC
CLASS B ................................ 269,552
2,500 oPEDIATRIX MEDICAL GROUP, INC ............ 114,531
9,825 oPHYCOR, INC ............................. 338,348
5,300 oPHYSICIAN CORP OF AMERICA ............... 33,787
5,400 oPHYSICIANS RESOURCE GROUP INC ........... 48,600
6,400 oRENAL TREATMENT CENTERS, INC ............ 172,000
6,800 oROTECH MEDICAL CORP ..................... 136,425
3,600 oSIERRA HEALTH SERVICES, INC ............. 112,500
12,100 oSUN HEALTHCARE GROUP, INC ............... 251,831
52,850 oTENET HEALTHCARE CORP ................... 1,562,378
5,000 oTOTAL RENAL CARE HOLDINGS, INC .......... 200,937
32,900 UNITED HEALTHCARE CORP .................. 1,710,800
10,200 oUNIVERSAL HEALTH SERVICES, INC .......... 392,700
10,198 oVALUE HEALTH, INC ....................... 206,509
9,215 oVENCOR, INC ............................. 389,333
1,500 oVISX, INC ............................... 35,625
6,634 oWELLPOINT HEALTH NETWORKS, INC .......... 304,334
------------
24,105,035
-------------
HOUSEHOLD--CONSUMER
ELECTRONICS--0.01%
3,250 HARMAN INTERNATIONAL
INDUSTRIES, INC ......................... 136,906
4,400 oZENITH ELECTRONICS CORP ................. 51,975
------------
188,881
------------
HOUSEHOLD--DURABLE GOODS--0.37%
800 BASSETT FURNITURE INDUSTRIES, INC ....... 22,650
16,300 BLACK & DECKER CORP ..................... 606,156
7,000 oGENTEX CORP ............................. 138,250
1,500 LA-Z-BOY, INC ........................... 54,000
16,500 LEGGETT & PLATT, INC .................... 709,500
3,700 LIBBEY, INC ............................. 129,500
17,700 MAYTAG CO ............................... 462,412
27,200 NEWELL COS, INC ......................... 1,077,800
23,000 SHAW INDUSTRIES, INC .................... 244,375
11,700 STANLEY WORKS CO ........................ 468,000
14,900 SUNBEAM CORP ............................ 562,475
13,100 WHIRLPOOL CORP .......................... 714,768
-----------
5,189,886
------------
HOUSEHOLD--PRODUCTS--2.07%
4,100 APTARGROUP, INC ......................... 185,525
3,500 oBRIGHTPOINT, INC ........................ 113,968
1,500 oCHICAGO MINIATURE LAMP, INC ............. 37,312
4,100 CHURCH & DWIGHT CO, INC ................. 109,675
5,800 CLOROX CO ............................... 765,600
49,800 COLGATE PALMOLIVE CO .................... 3,249,450
20,300 DIAL CORP ............................... 317,187
1,200 oFIRST ALERT, INC ........................ 3,375
8,000 FIRST BRANDS CORP ....................... 183,500
2,000 HERBALIFE INTERNATIONAL, INC ............ 32,500
96,288 KIMBERLY-CLARK CORP ..................... 4,790,328
4,500 LANCASTER COLONY CORP ................... 217,687
16,100 oPERRIGO CO .............................. 201,250
10,300 PREMARK INTERNATIONAL, INC .............. 275,525
119,400 PROCTER & GAMBLE CO ..................... 16,865,250
25,900 RUBBERMAID, INC ......................... 770,525
4,600 oSCOTTS CO (CLASS A) ..................... 133,400
4,500 STANHOME, INC ........................... 147,937
6,400 TAMBRANDS, INC .......................... 319,200
9,800 TUPPERWARE CORP ......................... 357,700
1,400 oUSA DETERGENTS INC ...................... 14,350
------------
29,091,244
------------
INSURANCE--BROKERS & OTHER--0.31%
5,400 oABR INFORMATION SERVICES, INC ........... 156,600
2,400 ACORDIA, INC ............................ 96,000
25,200 EQUIFAX, INC ............................ 937,125
3,500 GALLAGHER (ARTHUR J.) & CO .............. 132,125
4,400 JOHN ALDEN FINANCIAL CORP ............... 92,125
24,200 MARSH & MCLENNAN COS, INC ............... 1,727,275
7,000 MBIA, INC ............................... 789,687
3,200 NORRELL CORP ............................ 105,600
9,700 oQUORUM HEALTH GROUP, INC ................ 346,775
------------
4,383,312
------------
INSURANCE--LIFE--0.76%
6,863 oAEGON N.V. ARS .......................... 480,838
500 AMERICAN NATIONAL INSURANCE CO .......... 44,625
8,100 oAMERIN CORP ............................. 196,425
24,050 AON CORP ................................ 1,244,587
4,700 BERKLEY (W.R.) CORP ..................... 276,712
27,184 CONSECO, INC ............................ 1,005,808
12,600 EQUITABLE COS, INC ...................... 418,950
4,800 EQUITABLE OF IOWA COS ................... 268,800
12,750 JEFFERSON-PILOT CORP .................... 890,906
4,300 LIBERTY CORP ............................ 175,225
2,200 LIFE RE CORP ............................ 102,575
7,800 PRESIDENTIAL LIFE CORP .................. 151,125
6,100 PROTECTIVE LIFE CORP .................... 306,525
7,054 PROVIDENT COS, INC ...................... 377,389
15,800 oPROVIDIAN FINANCIAL CORP ................ 507,575
2,400 REINSURANCE GROUP OF AMERICA, INC ....... 138,000
14,000 RELIANCE GROUP HOLDINGS, INC ............ 166,250
See notes to financial statements.
-70-
<PAGE>
EQUITY INDEX ACCOUNT (CONTINUED)
SHARES VALUE
------ -----
INSURANCE--LIFE--(CONTINUED)
7,234 RELIASTAR FINANCIAL CORP ................ $ 528,986
19,600 SUNAMERICA, INC ......................... 955,500
11,500 TORCHMARK CORP .......................... 819,375
23,600 UNUM CORP ............................... 991,200
5,400 VESTA INSURANCE GROUP, INC .............. 233,550
15,900 WESTERN NATIONAL CORP ................... 426,318
-----------
10,707,244
------------
INSURANCE--MULTI-LINE,
PROPERTY & CASUALTY--3.26%
9,400 20TH CENTURY INDUSTRIES ................. 197,400
22,750 AFLAC, INC .............................. 1,074,937
8,100 ALLIED GROUP, INC ....................... 307,800
10,500 ALLMERICA FINANCIAL CORP ................ 418,687
11,500 ALLMERICA PROPERTY & CASUALTY
COS, INC ............................... 376,625
72,428 ALLSTATE CORP ........................... 5,287,244
6,300 AMERICAN BANKERS INSURANCE
GROUP, INC ............................. 398,475
67,650 AMERICAN INTERNATIONAL GROUP, INC ....... 10,105,218
2,500 CAPITAL RE CORP ......................... 133,750
1,700 CAPMAC HOLDINGS, INC .................... 57,162
30,700 CHUBB CORP .............................. 2,053,062
12,500 CIGNA CORP .............................. 2,218,750
10,203 CINCINNATI FINANCIAL CORP ............... 806,037
2,000 oCNA FINANCIAL CORP ...................... 210,875
10,000 EVEREST REINSURANCE HOLDINGS, INC ....... 396,250
1,000 FIRST AMERICAN FINANCIAL CORP ........... 39,000
5,900 FREMONT GENERAL CORP .................... 237,475
2,200 FRONTIER INSURANCE GROUP, INC ........... 142,450
13,400 GENERAL REINSURANCE CORP ................ 2,438,800
1,500 HARLEYSVILLE GROUP, INC ................. 56,812
20,000 HARTFORD FINANCIAL SERVICES
GROUP, INC ............................. 1,655,000
7,900 HCC INSURANCE HOLDINGS, INC ............. 210,831
850 oHIGHLANDS INSURANCE GROUP, INC .......... 17,106
4,500 HORACE MANN EDUCATORS CORP .............. 220,500
3,800 HSB GROUP, INC .......................... 202,825
800 oINSURANCE AUTO AUCTIONS, INC ............ 7,600
17,700 LINCOLN NATIONAL CORP ................... 1,139,437
2,400 MERCURY GENERAL CORP .................... 174,600
17,800 MGIC INVESTMENT CORP .................... 853,287
7,000 NAC RE CORP ............................. 338,625
6,200 OHIO CASUALTY CORP ...................... 272,800
17,750 OLD REPUBLIC INTERNATIONAL CORP ......... 538,046
3,300 ORION CAPITAL CORP ...................... 243,375
7,400 PROGRESSIVE CORP ........................ 643,800
22,200 SAFECO CORP ............................. 1,036,462
2,000 SELECTIVE INSURANCE GROUP, INC .......... 96,875
12,200 ST. PAUL COS, INC ....................... 930,250
11,700 TRANSAMERICA CORP ....................... 1,094,681
1,900 TRANSATLANTIC HOLDINGS, INC ............. 188,575
113,100 TRAVELERS GROUP, INC .................... 7,132,368
13,000 TRAVELERS PROPERTY CASUALTY CORP ........ 518,375
7,800 oUICI .................................... 230,100
1,600 UNITED WISCONSIN SERVICES, INC .......... 53,900
7,000 UNITRIN, INC ............................ 427,000
19,300 USF&G CORP .............................. 463,200
2,100 oZURICH REINSURANCE CENTRE
HOLDINGS, INC .......................... 82,950
------------
45,729,377
------------
LEISURE TIME--1.24%
2,900 oACCLAIM ENTERTAINMENT, INC .............. 11,962
2,300 oANCHOR GAMING CO ........................ 109,825
2,600 ARCTIC CAT, INC ......................... 26,975
600 oARGOSY GAMING CORP ...................... 1,950
4,496 oASCENT ENTERTAINMENT GROUP, INC ......... 41,026
4,700 AUTHENTIC FITNESS CORP .................. 59,337
1,500 oAUTOTOTE CORP (CLASS A) ................. 1,781
850 oBALLY TOTAL FITNESS HOLDINGS CORP ....... 7,862
12,800 oBOYD GAMING CORP ........................ 73,600
17,500 BRUNSWICK CORP .......................... 546,875
12,000 CALLAWAY GOLF CO ........................ 426,000
500 oCASINO MAGIC CORP ....................... 625
100 oCHARTWELL LEISURE, INC .................. 1,337
2,461 oCHRIS CRAFT INDUSTRIES, INC ............. 118,743
17,600 oCIRCUS CIRCUS ENTERPRISES, INC .......... 433,400
2,600 COACHMEN INDUSTRIES, INC ................ 44,525
119,726 DISNEY (WALT) CO ........................ 9,608,011
2,800 oGALOOB TOYS, INC ........................ 52,850
6,450 oGRAND CASINOS, INC ...................... 95,137
7,700 oGTECH HOLDINGS CORP ..................... 248,325
18,400 oHARRAHS ENTERTAINMENT, INC .............. 331,200
19,400 HASBRO, INC ............................. 550,475
3,700 oHOLLYWOOD ENTERTAINMENT CORP ............ 84,637
1,000 oHOLLYWOOD PARK, INC ..................... 14,625
19,900 INTERNATIONAL GAME TECHNOLOGY CO ........ 353,225
6,900 JOSTENS, INC ............................ 184,575
800 oJUMBOSPORTS, INC ........................ 3,050
5,500 K2, INC ................................. 174,281
5,000 KIMBALL INTERNATIONAL, INC (CLASS B) .... 201,250
49,556 MATTEL, INC ............................. 1,678,709
33,000 oMIRAGE RESORT, INC ...................... 833,250
3,000 OUTBOARD MARINE CORP .................... 53,250
3,250 oPLAYERS INTERNATIONAL, INC .............. 9,750
3,600 oPRIMADONNA RESORTS, INC ................. 69,525
6,800 oREGAL CINEMAS, INC ...................... 224,400
2,300 oSCIENTIFIC GAMES HOLDINGS CORP .......... 47,437
3,100 SHOWBOAT, INC ........................... 54,056
2,000 oSODAK GAMING, INC ....................... 29,500
5,500 oSPEEDWAY MOTORSPORTS, INC ............... 119,625
10,000 oSPELLING ENTERTAINMENT GROUP, INC ....... 68,750
6,700 oSTATION CASINOS, INC .................... 56,112
4,200 STRUM, RUGER & CO, INC .................. 82,425
5,100 oTRUMP HOTEL & CASINO RESORT, INC ........ 54,825
1,450 oWHG RESORTS & CASINO, INC ............... 15,768
5,800 oWMS INDUSTRIES, INC ..................... 145,362
------------
17,350,208
------------
MACHINERY--1.53%
5,000 AEROQUIP-VICKERS, INC ................... 236,250
10,200 AGCO CORP ............................... 366,562
2,200 oAPPLIED POWER, INC (CLASS A) ............ 113,575
4,600 BW/IP HOLDING, INC ...................... 93,437
32,700 CATERPILLAR, INC ........................ 3,511,162
8,400 CINCINNATI MILACRON, INC ................ 217,875
5,300 oCOGNEX CORP ............................. 140,450
7,514 oCOOPER CAMERON CORP ..................... 351,279
15,930 COOPER INDUSTRIES, INC .................. 792,517
44,000 DEERE & CO .............................. 2,414,500
6,000 DELTA & PINE LAND CO .................... 213,750
19,700 DOVER CORP .............................. 1,211,550
10,500 DURCO INTERNATIONAL, INC ................ 307,125
9,700 FEDERAL SIGNAL CORP ..................... 243,712
2,500 oFMC CORP ................................ 198,593
1,500 oFSI INTERNATIONAL, INC .................. 24,000
4,100 GATX CORP ............................... 236,775
7,400 GIDDINGS & LEWIS, INC ................... 154,475
5,000 GREENFIELD INDUSTRIES, INC .............. 135,000
8,400 HARNISCHFEGER INDUSTRIES, INC ........... 348,600
9,000 HARSCO CORP ............................. 364,500
See notes to financial statements.
-71-
<PAGE>
EQUITY INDEX ACCOUNT (CONTINUED)
SHARES VALUE
------ -----
MACHINERY--(CONTINUED)
6,600 IDEX CORP ............................... $ 217,800
34,500 ILLINOIS TOOL WORKS, INC ................ 1,722,843
19,000 INGERSOLL-RAND CO ....................... 1,173,250
900 oINTEGRATED PROCESS EQUIPMENT CORP ....... 22,781
2,100 oINTERVOICE, INC ......................... 19,293
7,900 JLG INDUSTRIES, INC ..................... 107,637
4,200 KAYDON CORP ............................. 208,425
5,439 KENNAMETAL, INC ......................... 233,877
8,200 KEYSTONE INTERNATIONAL, INC ............. 284,437
6,348 LUCASVARITY PLC ADR ..................... 219,799
2,200 MANITOWOC, INC .......................... 102,850
7,200 MASCOTECH, INC .......................... 150,300
3,800 oMOLTEN METAL TECHNOLOGY, INC ............ 19,000
8,106 NEWPORT NEWS SHIPBUILDING, INC .......... 157,560
3,300 NORDSON CORP ............................ 212,025
2,400 oNOVELLUS SYSTEMS, INC ................... 207,600
13,150 PARKER-HANNIFIN CORP .................... 798,040
3,500 oREXEL, INC .............................. 64,750
2,900 ROPER INDUSTRIES, INC ................... 150,437
5,800 STEWART & STEVENSON SERVICES, INC ....... 150,800
10,400 SUNDSTRAND CORP ......................... 561,600
6,700 TECUMSEH PRODUCTS CO (CLASS A) .......... 401,162
7,700 TELEFLEX, INC ........................... 240,625
26,550 oTHERMO ELECTRON CORP .................... 912,656
3,700 oTHERMO FIBERTEK, INC .................... 37,925
11,812 TIMKEN CO ............................... 420,064
2,400 TORO CO ................................. 90,900
4,000 TRIMAS CORP ............................. 112,500
9,800 TRINITY INDUSTRIES, INC ................. 311,150
3,700 oULTRATECH STEPPER, INC .................. 84,637
1,800 WATTS INDUSTRIES, INC (CLASS A) ......... 43,200
7,900 YORK INTERNATIONAL CORP ................. 363,400
------------
21,479,010
------------
METALS--ALUMINUM--0.25%
5,500 oACX TECHNOLOGIES, INC ................... 123,750
9,000 oALUMAX, INC ............................. 341,437
27,400 ALUMINUM CO OF AMERICA .................. 2,065,275
8,600 oKAISER ALUMINUN CORP .................... 105,350
12,400 REYNOLDS METALS CO ...................... 883,500
------------
3,519,312
------------
METALS--GOLD--0.22%
18,600 oAMAX GOLD, INC .......................... 113,925
44,300 BATTLE MOUNTAIN GOLD CO ................. 251,956
4,500 oCOEUR DALENE MINES CORP ................. 58,218
17,692 FREEPORT-MCMORAN COPPER &
GOLD, INC (CLASS A) ..................... 517,491
12,033 FREEPORT-MCMORAN COPPER &
GOLD INC, (CLASS B) ..................... 374,527
5,891 oGETCHELL GOLD CORP ...................... 206,921
25,100 HOMESTAKE MINING CO ..................... 327,868
3,800 NEWMONT GOLD CO ......................... 151,762
26,135 NEWMONT MINING CORP ..................... 1,019,265
-----------
3,021,933
------------
METALS--NON-FERROUS--0.24%
9,500 ASARCO, INC ............................. 290,937
6,500 BMC INDUSTRIES, INC ..................... 222,625
1,200 BRUSH WELLMAN, INC ...................... 25,125
7,400 oCOLEMAN CO, INC ......................... 127,650
20,100 CYPRUS AMAX MINERALS CO ................. 492,450
4,916 FREEPORT-MCMORAN, INC ................... 141,949
6,700 oHECLA MINING CO ......................... 36,012
10,900 MAPCO, INC .............................. 343,350
5,400 MINERALS TECHNOLOGIES, INC .............. 202,500
3,300 oMUELLER INDUSTRIES, INC ................. 144,375
1,500 oOREGON METALLURICAL CORP ................ 42,187
11,200 PHELPS DODGE CORP ....................... 954,100
5,700 REGAL-BELOIT CORP ....................... 149,268
2,400 oRMI TITANIUM CO ......................... 65,400
4,500 oSTILLWATER MINING CO .................... 100,125
9,000 oSUNSHINE MINING & REFINING CO ........... 6,187
------------
3,344,240
------------
METALS--STEEL--0.31%
5,300 AK STEEL HOLDINGS CORP .................. 233,862
23,425 ALLEGHENY TELEDYNE, INC ................. 632,475
10,300 oARMCO, INC .............................. 39,912
19,400 oBETHLEHEM STEEL CORP .................... 202,487
9,200 BIRMINGHAM STEEL CORP ................... 142,600
2,900 CARPENTER TECHNOLOGY CORP ............... 132,675
2,100 CLEVELAND CLIFFS, INC ................... 85,575
8,775 HANNA (M.A.) CO ......................... 252,829
8,500 INLAND STEEL INDUSTRIES, INC ............ 222,062
9,200 J & L SPECIALTY STEEL, INC .............. 110,400
20,500 LTV CORP ................................ 292,125
200 LUKENS, INC ............................. 3,762
14,500 NUCOR CORP .............................. 819,250
5,300 OREGON STEEL MILLS, INC ................. 105,668
300 ROUGE STEEL CO (CLASS A) ................ 5,062
17,400 oUNR INDUSTRIES, INC ..................... 119,625
15,000 USX-US STEEL GROUP, INC ................. 525,937
4,600 oWOLVERINE TUBE, INC ..................... 128,225
14,500 WORTHINGTON INDUSTRIES, INC ............. 265,531
------------
4,320,062
------------
MISCELLANEOUS MATERIALS &
COMMODITIES--0.01%
1,857 DELTIC TIMBER CORP ...................... 54,433
4,400 oOAKLEY, INC ............................. 61,875
1,500 oZOLTEK COS, INC ......................... 57,375
------------
173,683
------------
OFFICE EQUIPMENT--3.67%
15,500 oAMDAHL CORP ............................. 136,593
23,300 oAPPLE COMPUTER, INC ..................... 332,025
3,900 oAPPLIED MAGNETICS CORP .................. 88,237
9,100 oASPECT TELECOMMUNICATIONS CORP .......... 202,475
2,742 oAST RESEARCH, INC ....................... 14,481
16,900 AVERY DENNISON CORP ..................... 678,112
2,200 oBOISE CASCADE OFFICE PRODUCTS CORP ...... 37,400
49,300 oCOMPAQ COMPUTER CORP .................... 4,893,025
7,600 oDATA GENERAL CORP ....................... 197,600
24,000 oDELL COMPUTER CORP ...................... 2,818,500
27,300 oDIGITAL EQUIPMENT CORP .................. 967,443
2,600 FILENET CORP ............................ 37,700
5,000 oGATEWAY 2000, INC ....................... 162,187
147,800 HEWLETT-PACKARD CO ...................... 8,276,800
4,000 HON INDUSTRIES, INC ..................... 177,000
25,300 IKON OFFICE SOLUTIONS, INC .............. 630,918
1,700 oIN FOCUS SYSTEMS, INC ................... 43,562
176,800 *INTERNATIONAL BUSINESS
MACHINES CORP .......................... 15,945,150
20,200 oIOMEGA CORP ............................. 401,475
8,900 oKOMAG, INC .............................. 145,737
11,700 oLEXMARK INTERNATIONAL
GROUP (CLASS A) ........................ 355,387
8,400 MILLER (HERMAN), INC .................... 302,400
6,900 oPAXAR CORP .............................. 130,237
26,800 PITNEY BOWES, INC ....................... 1,862,600
See notes to financial statements.
-72-
<PAGE>
EQUITY INDEX ACCOUNT (CONTINUED)
SHARES VALUE
------ -----
OFFICE EQUIPMENT--(CONTINUED)
19,200 oQUANTUM CORP ............................ $ 390,000
4,500 oSCI SYSTEMS, INC ........................ 286,875
44,100 oSEAGATE TECHNOLOGY, INC ................. 1,551,768
8,400 oSEQUENT COMPUTER SYSTEMS, INC ........... 176,925
32,268 oSILICON GRAPHICS, INC ................... 484,020
8,000 oSOLECTRON CORP .......................... 560,500
10,600 oSTORAGE TECHNOLOGY CORP ................. 471,700
4,900 oSTRATUS COMPUTER, INC ................... 245,000
64,200 oSUN MICROSYSTEMS, INC ................... 2,389,443
23,100 oTANDEM COMPUTERS, INC ................... 467,775
6,200 oU.S. OFFICE PRODUCTS CO ................. 189,487
37,500 oUNISYS CORP ............................. 285,937
14,300 oVIKING OFFICE PRODUCTS, INC ............. 271,700
7,900 oWANG LABORATORIES, INC .................. 168,368
58,400 XEROX CORP .............................. 4,606,300
------------
51,382,842
-----------
PAPER--0.65%
5,500 ALBANY INTERNATIONAL CORP
(CLASS A) ............................... 123,750
9,700 BEMIS, INC .............................. 419,525
6,200 BOWATER, INC ............................ 286,750
4,200 oBUCKEYE CELLULOSE CORP .................. 141,750
7,300 CARAUSTAR INDUSTRIES, INC ............... 252,762
3,800 CHESAPEAKE CORP ......................... 128,250
4,900 CONSOLIDATED PAPERS, INC ................ 264,600
270 oCROWN VANTAGE, INC ...................... 2,025
5,900 oFORT HOWARD CORP ........................ 298,687
6,400 GLATFELTER (P.H.) CO .................... 128,000
52,248 INTERNATIONAL PAPER CO .................. 2,537,293
12,700 JAMES RIVER CORP OF VIRGINIA ............ 469,900
5,300 oJEFFERSON SMURFIT CORP .................. 84,800
12,400 LONGVIEW FIBRE CO ....................... 206,150
9,100 MEAD CORP ............................... 566,475
10,600 PENTAIR, INC ............................ 348,475
1,900 oSHOREWOOD PACKAGING CORP ................ 43,225
16,930 SONOCO PRODUCTS CO ...................... 515,306
15,600 oSTONE CONTAINER CORP .................... 223,275
10,200 TEMPLE-INLAND, INC ...................... 550,800
12,000 UNION CAMP CORP ......................... 600,000
16,350 UNISOURCE WORLDWIDE, INC ................ 261,600
7,325 WAUSAU PAPER MILLS CO ................... 138,259
16,050 WESTVACO CORP ........................... 504,571
------------
9,096,228
------------
PETROLEUM--
EXPLORATION & PRODUCTION--0.78%
15,500 AMERADA HESS CORP ....................... 861,218
8,600 ANADARKO PETROLEUM CORP ................. 516,000
12,800 APACHE CORP ............................. 416,000
6,300 oBARNETT RESOURCES CORP .................. 188,606
2,300 oBELCO OIL & GAS CORP .................... 49,306
6,100 oBENTON OIL & GAS CO ..................... 91,500
6,900 oBROWN (TOM), INC ........................ 146,625
21,600 BURLINGTON RESOURCES, INC ............... 953,100
5,400 CHESAPEAKE ENERGY CORP .................. 52,987
5,900 DEVON ENERGY CORP ....................... 216,825
11,200 ENRON OIL & GAS CO ...................... 203,000
4,800 oENSERCH EXPLORATION, INC ................ 52,500
5,800 oEVI, INC ................................ 243,600
2,500 oFALCON DRILLING CO, INC ................. 144,062
3,800 oFOREST OIL CORP ......................... 55,812
15,300 oHARKEN ENERGY CORP ...................... 107,100
4,800 KCS ENERGY, INC ......................... 97,800
8,200 KERR-MCGEE CORP ......................... 519,675
5,500 LOUISIANA LAND & EXPLORATION CO ......... 314,187
2,200 MITCHELL ENERGY & DEVELOPMENT
CORP (CLASS A) ......................... 44,550
8,200 MURPHY OIL CORP ......................... 399,750
11,000 oNEWFIELD EXPLORATION CO ................. 220,000
7,800 NOBLE AFFILIATES, INC ................... 301,762
4,300 oNUEVO ENERGY CO ......................... 176,300
2,400 oOCEAN ENERGY, INC ....................... 111,000
19,700 oORYX ENERGY CO .......................... 416,162
6,000 PARKER & PARSLEY PETROLEUM CO ........... 212,250
8,900 PENNZOIL CO ............................. 683,075
5,300 POGO PRODUCING CO ....................... 205,043
16,500 oSANTA FE ENERGY RESOURCES, INC .......... 242,343
11,192 oSEAGULL ENERGY CORP ..................... 195,860
8,800 SNYDER OIL CORP ......................... 161,700
4,500 SOUTHDOWN INC ........................... 196,312
3,500 oSWIFT ENERGY CO ......................... 83,562
4,025 oTEJAS GAS CORP .......................... 157,981
2,700 oTRITON ENERGY LTD ....................... 123,693
42,792 UNION PACIFIC RESOURCES GROUP, INC ...... 1,064,451
15,500 UNION TEXAS PETROLEUM HOLDINGS, INC ..... 324,531
5,400 oUNITED MERIDIAN CORP .................... 162,000
5,100 VINTAGE PETROLEUM, INC .................. 156,825
------------
10,869,053
------------
PETROLEUM--INTEGRATED--4.91%
86,100 AMOCO CORP .............................. 7,485,318
9,800 ASHLAND, INC ............................ 454,475
55,700 ATLANTIC RICHFIELD CO ................... 3,926,850
115,300 CHEVRON CORP ............................ 8,524,993
436,500 EXXON CORP .............................. 26,844,750
3,200 oFORCENERGY GAS EXPLORATION, INC ......... 97,200
138,100 MOBIL CORP .............................. 9,649,737
58,900 OCCIDENTAL PETROLEUM CORP ............... 1,476,181
36,400 PHILLIPS PETROLEUM CO ................... 1,592,500
12,000 QUAKER STATE OIL REFINING CORP .......... 183,000
15,100 SUN CO, INC ............................. 468,100
45,600 TEXACO, INC ............................. 4,959,000
44,076 UNOCAL CORP ............................. 1,710,699
49,800 USX-MARATHON GROUP, INC ................. 1,437,975
-----------
68,810,778
------------
PETROLEUM--SERVICE--1.01%
900 oATWOOD OCEANICS, INC .................... 60,300
24,800 BAKER HUGHES, INC ....................... 959,450
5,950 oBJ SERVICES CO .......................... 319,068
160 oBJ SERVICES CO WTS 04/13/00 ............. 4,680
13,200 CABOT CORP .............................. 374,550
8,620 CAMCO INTERNATIONAL, INC ................ 471,945
3,000 oCLIFFS DRILLING CO ...................... 109,500
9,900 CROSS TIMBERS OIL CO .................... 190,575
3,500 oDIAMOND OFFSHORE DRILLING, INC .......... 273,437
30,200 DRESSER INDUSTRIES, INC ................. 1,124,950
12,225 oENSCO INTERNATIONAL, INC ................ 644,868
14,600 FLUOR CORP .............................. 805,737
5,300 oGLOBAL INDUSTRIAL TECHNOLOGIES, INC ..... 108,650
6,800 oGLOBAL INDUSTRIES LTD ................... 158,843
22,800 oGLOBAL MARINE, INC ...................... 530,100
22,036 HALLIBURTON CO .......................... 1,746,353
5,000 HELMERICH & PAYNE, INC .................. 288,125
7,000 oMARINE DRILLING CO, INC ................. 137,375
190 oMCMORAN OIL & GAS CO .................... 641
17,900 oNABORS INDUSTRIES, INC .................. 447,500
6,400 oNEWPARK RESOURCES, INC .................. 216,000
See notes to financial statements.
-73-
<PAGE>
EQUITY INDEX ACCOUNT (CONTINUED)
SHARES VALUE
------ -----
PETROLEUM--SERVICE--(CONTINUED)
4,900 oNL INDUSTRIES, INC ...................... $ 71,050
20,300 oNOBLE DRILLING CORP ..................... 458,018
10,300 oPARKER DRILLING CO ...................... 114,587
8,800 oPRIDE INTERNATIONAL INC ................. 211,200
12,100 oREADING & BATES CORP .................... 323,675
12,500 oROWAN COS, INC .......................... 352,343
6,500 oSMITH INTERNATIONAL, INC ................ 394,875
9,500 TIDEWATER, INC .......................... 418,000
23,247 TOSCO CORP .............................. 695,957
5,100 TRANSOCEAN OFFSHORE, INC (U.S.) ......... 370,387
11,100 oTUBOSCOPE VETCO INTERNATIONAL CORP ...... 220,612
14,294 ULTRAMAR DIAMOND SHAMROCK CORP .......... 466,341
2,800 oVARCO INTERNATIONAL, INC ................ 90,300
3,200 VASTAR RESOURCES, INC ................... 112,200
9,200 oWEATHERFORD ENTERRA, INC ................ 354,200
7,600 oWESTERN ATLAS, INC ...................... 556,700
------------
14,183,092
------------
PHOTOGRAPHY--0.36%
57,800 EASTMAN KODAK CO ........................ 4,436,150
1,900 oPHOTRONICS, INC ......................... 90,725
7,400 POLAROID CORP ........................... 410,700
1,400 oPRESSTEK, INC ........................... 121,450
------------
5,059,025
------------
PROPERTY--REAL ESTATE--0.20%
6,900 AVALON PROPERTIES, INC .................. 197,512
10,400 CRESCENT REAL ESTATE EQUITIES, INC ...... 330,200
1,040 oCRESECENT OPERATING, INC ................ 12,480
14,400 HOSPITALITY PROPERTIES TRUST ............ 441,000
6,250 KIMCO REALTY CORP ....................... 198,437
8,400 PATRIOT AMERICAN HOSPITALITY ............ 214,200
11,200 oRECKSON ASSOCIATES REALTY CORP .......... 257,600
5,300 REDWOOD TRUST, INC ...................... 247,775
8,400 SECURITY CAPITAL INDUSTRIAL TRUST ....... 180,600
12,500 TAUBMAN CENTERS, INC .................... 165,625
15,900 oTOLL BROTHERS, INC ...................... 292,162
6,800 WASHINGTON REAL ESTATE
INVESTMENT TRUST ....................... 120,700
3,800 WEINGARTEN REALTY INVESTORS, INC ........ 160,550
800 oWELLSFORD REAL PROPERTIES, INC .......... 8,800
------------
2,827,641
------------
PUBLISHING--NEWSPAPER--0.53%
7,700 BELO (A.H.) CORP SERIES A ............... 320,512
2,400 CENTRAL NEWSPAPERS, INC (CLASS A) ....... 171,900
13,484 oCOX COMMUNICATIONS, INC
(CLASS A) NEW ........................... 323,616
8,500 DOW JONES & CO, INC ..................... 341,593
24,000 GANNETT CO, INC ......................... 2,370,000
14,400 HOLLINGER INTERNATIONAL, INC ............ 161,100
15,000 KNIGHT-RIDDER, INC ...................... 735,937
3,100 MEDIA GENERAL, INC (CLASS A) ............ 124,000
17,300 NEW YORK TIMES CO (CLASS A) ............. 856,350
12,180 NEWS CORP LTD ADR (LTD-VTG) ............. 190,312
14,400 TIMES MIRROR CO SERIES A ................ 795,600
17,400 TRIBUNE CO .............................. 836,287
5,300 oVALASSIS COMMUNICATIONS, INC ............ 127,200
200 WASHINGTON POST CO (CLASS B) ............ 79,600
------------
7,434,007
------------
PUBLISHING--OTHER--0.66%
4,400 oAMERICAN BUSINESS INFORMATION, INC ...... 95,700
13,100 AMERICAN GREETINGS CORP (CLASS A) ....... 486,337
4,600 BOWNE & CO, INC ......................... 160,425
18,200 DONNELLEY (R.R.) & SONS CO .............. 666,575
29,400 DUN & BRADSTREET CORP ................... 771,750
700 oGIBSON GREETINGS, INC ................... 15,750
9,500 HARCOURT GENERAL, INC ................... 452,437
2,700 HOUGHTON MIFFLIN CO ..................... 180,225
33,000 oK-III COMMUNICATIONS CORP ............... 396,000
1,400 LEE ENTERPRISES, INC .................... 36,925
5,300 XoMARVEL ENTERTAINMENT GROUP, INC ......... 12,587
17,300 MCGRAW HILL COS, INC .................... 1,017,456
8,300 MEREDITH CORP ........................... 240,700
16,400 READER'S DIGEST ASSOCIATION, INC
(CLASS A) (NON-VTG) ..................... 470,475
3,300 oSCHOLASTIC CORP ......................... 115,500
82,093 TIME WARNER, INC ........................ 3,960,987
8,700 oWORLD COLOR PRESS, INC .................. 206,625
------------
9,286,454
------------
RAILROAD--0.73%
27,045 BURLINGTON NORTHERN
SANTA FE CORP .......................... 2,430,669
37,600 CSX CORP ................................ 2,086,800
9,600 ILLINOIS CENTRAL CORP SERIES A .......... 335,400
5,200 KANSAS CITY SOUTHERN INDUSTRIES, INC .... 335,400
21,600 NORFOLK SOUTHERN CORP ................... 2,176,200
36,385 UNION PACIFIC CORP ...................... 2,565,142
9,100 oWISCONSIN CENTRAL TRANSIT CORP .......... 338,975
------------
10,268,586
------------
RESTAURANTS & HOTELS--1.25%
7,500 APPLE SOUTH, INC ........................ 114,375
6,800 oAPPLEBEES INTERNATIONAL, INC ............ 181,900
9,300 oAZTAR CORP .............................. 65,681
14,300 BOB EVANS FARMS, INC .................... 242,206
11,100 oBOSTON CHICKEN, INC ..................... 155,400
4,000 oBRISTOL HOTEL CO ........................ 154,000
5,600 oBUFFETS, INC ............................ 47,250
8,500 oCHOICE HOTELS INTERNATIONAL, INC ........ 143,968
7,600 CKE RESTAURANTS, INC .................... 240,350
11,000 CRACKER BARREL OLD COUNTRY
STORE, INC .............................. 291,500
30,300 DARDEN RESTAURANTS, INC ................. 274,593
10,200 oEXTENDED STAY AMERICA, INC .............. 160,650
11,300 FELCOR SUITE HOTELS, INC ................ 420,925
7,800 oFOODMAKER, INC .......................... 127,725
26,767 oHFS INC ................................. 1,552,486
32,800 HILTON HOTELS CORP ...................... 871,250
1,344 oHOMESTEAD VILLAGE, INC .................. 24,024
902 oHOMESTEAD VILLAGE, INC WTS 10/29/97 ..... 7,667
29,400 oHOST MARRIOTT CORP ...................... 523,687
1,940 oHOST MARRIOTT SERVICES CORP ............. 22,795
20,100 oITT CORP ................................ 1,227,356
12,150 LA QUINTA INNS, INC ..................... 265,781
5,500 oLANDRYS SEAFOOD RESTAURANTS, INC ........ 126,500
5,200 oLONE STAR STEAKHOUSE & SALOON, INC ...... 135,200
9,500 LUBYS CAFETERIA, INC .................... 189,406
17,400 MARRIOTT INTERNATIONAL, INC ............. 1,067,925
119,300 MCDONALDS CORP .......................... 5,763,681
3,300 oMGM GRAND, INC .......................... 122,100
825 MORRISON FRESH COOKING, INC ............. 3,815
8,600 oOUTBACK STEAKHOUSE, INC ................. 208,012
5,050 oPAPA JOHNS INTERNATIONAL, INC ........... 185,587
8,100 oPRIME HOSPITALITY CORP .................. 159,975
9,500 oPROMUS HOTEL CORP ....................... 368,125
2,100 oRAINFOREST CAFE, INC .................... 53,287
3,100 oRED ROOF INNS, INC ...................... 55,800
800 oRIO HOTEL & CASINO, INC ................. 12,050
2,250 oRUBY TUESDAY, INC ....................... 50,484
See notes to financial statements.
-74-
<PAGE>
EQUITY INDEX ACCOUNT (CONTINUED)
SHARES VALUE
------ -----
RESTAURANTS & HOTELS--(CONTINUED)
10,900 oRYANS FAMILY STEAK HOUSES, INC .......... $ 93,331
2,700 SBARRO, INC ............................. 74,925
5,600 oSHONEYS, INC ............................ 33,250
30,400 SYSCO CORP .............................. 1,109,600
20,900 WENDYS INTERNATIONAL, INC ............... 542,093
-----------
17,470,715
------------
RETAIL--FOOD--0.63%
38,800 ALBERTSONS, INC ......................... 1,416,200
20,200 AMERICAN STORES CO ...................... 997,375
12,152 FLEMING COS, INC ........................ 218,736
45,500 FOOD LION, INC (CLASS B) ................ 327,031
10,200 GIANT FOOD, INC (CLASS A) ............... 332,775
5,100 GREAT ATLANTIC & PACIFIC TEA CO, INC .... 138,656
6,000 HANNAFORD BROTHERS, INC ................. 213,375
38,900 oKROGER CO ............................... 1,128,100
2,612 oQUALITY FOOD CENTERS, INC ............... 99,256
4,600 RUDDICK CORP ............................ 75,900
9,100 oRYKOFF-SEXTON, INC ...................... 212,143
42,642 oSAFEWAY, INC ............................ 1,966,862
21,700 oSOUTHLAND CORP .......................... 72,559
13,100 oSTARBUCKS CORP .......................... 510,081
13,100 SUPERVALU, INC .......................... 451,950
6,700 VALMONT INDUSTRIES ...................... 127,300
15,700 WINN DIXIE STORES, INC .................. 584,825
------------
8,873,124
------------
RETAIL--GENERAL MERCHANDISE--3.89%
26,700 oAUTOZONE, INC ........................... 629,118
5,400 oBARNES & NOBLE, INC ..................... 232,200
7,700 oBED BATH & BEYOND, INC .................. 233,887
3,900 oBEST BUY, INC ........................... 58,012
1,200 oBOMBAY, INC ............................. 6,000
12,400 oBORDERS GROUP, INC ...................... 299,150
2,200 BROWN GROUP, INC ........................ 41,112
5,100 oBURLINGTON COAT FACTORY
WAREHOUSE CORP .......................... 99,450
1,300 XoCALDOR CORP ............................. 1,868
5,000 oCARSON PIRIE SCOTT & CO ................. 158,750
11,500 CASEYS GENERAL STORES, INC .............. 247,609
19,500 oCHARMING SHOPPES, INC ................... 101,765
16,200 CIRCUIT CITY STORES-CIRCUIT CITY
GROUP ................................... 576,112
9,700 CLAIRES STORES, INC ..................... 169,750
2,600 oCML GROUP, INC .......................... 4,712
14,437 oCONSOLIDATED STORES CORP ................ 501,685
30,200 oCOSTCO COMPANIES, INC ................... 992,825
67,259 oCUC INTERNATIONAL, INC .................. 1,736,122
23,631 oCVS CORP ................................ 1,211,088
37,500 DAYTON HUDSON CORP ...................... 1,994,531
3,600 oDEPARTMENT 56, INC ...................... 79,875
20,400 DILLARDS, INC (CLASS A) ................. 706,350
19,115 DOLLAR GENERAL CORP ..................... 716,812
3,400 oDOLLAR TREE STORES, INC ................. 171,275
300 XoEDISON BROTHERS STORES, INC ............. 375
3,900 ETHAN ALLEN INTERIORS, INC .............. 222,300
6,900 FAMILY DOLLAR STORES, INC ............... 188,025
36,213 oFEDERATED DEPARTMENT STORES, INC ........ 1,258,401
9,900 FINGERHUT COS, INC ...................... 172,631
8,369 oFOOTSTAR, INC ........................... 218,640
14,600 oFURNITURE BRANDS INTERNATIONAL, INC ..... 282,875
36,300 GAP, INC ................................ 1,411,162
1,500 oGLOBAL DIRECTMAIL CORP .................. 39,093
5,100 oGYMBOREE CORP ........................... 122,400
1,800 oHANDLEMAN CO ............................ 11,475
1,700 oHECHINGER CO (CLASS A) .................. 3,612
9,700 HEILIG MEYERS CO ........................ 190,362
87,400 HOME DEPOT, INC ......................... 6,025,137
9,065 oHSN, INC ................................ 283,281
900 oINTELLIGENT ELECTRONICS, INC ............ 2,531
6,300 oJONES APPAREL GROUP, INC ................ 300,825
94,200 oK MART CORP ............................. 1,153,950
8,700 oKOHLS CORP .............................. 460,556
3,200 oLANDS END, INC .......................... 94,800
37,592 LIMITED, INC ............................ 761,238
6,900 LONGS DRUG STORES CORP .................. 180,693
25,200 LOWES COS, INC .......................... 935,550
4,400 oMAC FRUGALS BARGAINS
CLOSE-OUTS, INC ......................... 119,900
45,000 MAY DEPARTMENT STORES CO ................ 2,126,250
3,300 oMENS WAREHOUSE, INC ..................... 103,950
4,700 MERCANTILE STORES CO, INC ............... 295,806
4,500 oMEYER (FRED), INC ....................... 232,593
4,000 oMICHAELS STORES, INC .................... 84,750
600 oMICROAGE, INC ........................... 11,025
1,000 oMOVIE GALLERY, INC ...................... 6,375
3,700 oMSC INDUSTRIAL DIRECT CO (CLASS A) ...... 148,462
1,700 oMUSICLAND STORES CORP ................... 4,568
4,200 oNEIMAN-MARCUS GROUP, INC ................ 110,250
8,600 NORDSTROM, INC .......................... 421,937
22,000 oOFFICEMAX, INC .......................... 317,625
7,396 oPAYLESS SHOESOURCE, INC ................. 404,468
36,805 PENNEY, (J.C.) CO, INC .................. 1,920,760
10,300 PEP BOYS MANNY, MOE, & JACK CO .......... 350,843
4,400 oPETCO ANIMAL SUPPLIES, INC .............. 132,000
2,900 XoPETRIE STORES CORP
(LIQUIDATING TRUST) .................... 9,062
19,800 oPETSMART, INC ........................... 227,700
9,580 PIER 1 IMPORTS, INC ..................... 253,870
4,450 oPROFFITTS, INC .......................... 195,243
3,500 REGIS CORP .............................. 82,687
3,200 oREXALL SUNDOWN, INC ..................... 124,800
19,615 RITE AID CORP ........................... 978,298
7,900 ROSS STORES, INC ........................ 258,231
7,600 ROUSE CO ................................ 224,200
3,700 RUSS BERRIE & CO, INC ................... 81,168
2,400 oSAMSONITE CORP .......................... 105,900
59,800 SEARS ROEBUCK & CO ...................... 3,214,250
17,200 oSERVICE MERCHANDISE, INC ................ 51,600
13,400 oSHOPKO STORES, INC ...................... 341,700
10,800 SOTHEBYS HOLDINGS, INC (CLASS A) ........ 182,250
600 oSPIEGEL, INC (CLASS A) .................. 4,125
27,250 oSTAPLES, INC ............................ 633,562
4,200 oSTEIN MART, INC ......................... 126,000
10,500 STRIDE RITE CORP ........................ 135,187
6,600 SUNGLASS HUT INTERNATIONAL, INC ......... 41,662
2,500 TALBOTS, INC ............................ 85,000
9,100 TANDY CORP .............................. 509,600
9,050 oTHE SPORTS AUTHORITY, INC ............... 175,909
5,000 TIFFANY & CO ............................ 230,937
30,400 TJX COS, INC ............................ 801,800
1,000 oTOPPS, INC .............................. 4,187
45,301 oTOYS R US, INC .......................... 1,585,535
4,800 oWABAN, INC .............................. 154,500
246,800 WAL-MART STORES, INC .................... 8,344,925
42,700 WALGREEN CO ............................. 2,289,787
2,500 oWEST MARINE, INC ........................ 64,375
3,600 oWILLIAMS-SONOMA, INC .................... 153,900
23,500 oWOOLWORTH CORP .......................... 564,000
10,500 oZALE CORP ............................... 208,031
------------
54,525,513
------------
See notes to financial statements.
-75-
<PAGE>
EQUITY INDEX ACCOUNT (CONTINUED)
SHARES VALUE
------ -----
TEXTILE & APPAREL--0.47%
3,700 oANN TAYLOR STORES CORP .................. $ 72,150
14,900 oBURLINGTON INDUSTRIES, INC .............. 178,800
600 CATO CORP (CLASS A) ..................... 3,262
1,600 oCONE MILLS CORP ......................... 12,800
13,300 oFRUIT OF THE LOOM, INC (CLASS A) ........ 412,300
5,200 G & K SERVICES, INC (CLASS A) ........... 193,700
3,600 oJUST FOR FEET INC ....................... 62,775
5,700 KELLWOOD CO ............................. 158,175
12,100 LIZ CLAIBORNE, INC ...................... 564,162
5,400 oMOHAWK INDUSTRIES, INC .................. 122,850
8,400 oNAUTICA ENTERPRISES, INC ................ 222,075
22,400 NIKE, INC (CLASS B) ..................... 1,307,600
5,200 oNINE WEST GROUP, INC .................... 198,575
1,300 PHILLIPS VAN HEUSEN CORP ................ 19,500
7,990 oREEBOK INTERNATIONAL LTD ................ 375,030
7,800 RUSSELL CORP ............................ 231,075
4,800 SPRING INDUSTRIES, INC .................. 253,200
4,400 ST. JOHN KNITS, INC ..................... 237,600
10,500 UNIFI, INC .............................. 392,437
9,300 VF CORP ................................. 788,175
10,500 WARNACO GROUP, INC (CLASS A) ............ 334,687
5,300 oWESTPOINT STEVENS, INC .................. 207,362
9,562 WOLVERINE WORLD WIDE, INC ............... 290,445
------------
6,638,735
------------
TOBACCO--1.69%
12,900 DIMON, INC .............................. 341,850
30,500 FORTUNE BRANDS, INC ..................... 1,138,031
800 MAFCO CONSOLIDATED GROUP, INC ........... 26,800
427,700 PHILIP MORRIS COS, INC .................. 18,979,187
58,483 RJR NABISCO HOLDINGS CORP ............... 1,929,939
3,860 SCHWEITZER-MAUDUIT
INTERNATIONAL, INC ..................... 144,750
7,800 UNIVERSAL CORP .......................... 247,650
33,200 UST, INC ................................ 921,300
------------
23,729,507
------------
TRUCKERS & SHIPPING--0.18%
5,200 oAMERICAN FREIGHTWAYS CORP ............... 81,250
5,800 APL LTD ................................. 181,250
3,000 ARNOLD INDUSTRIES, INC .................. 51,000
4,200 CALIBER SYSTEM, INC ..................... 156,450
6,900 CNF TRANSPORTATION, INC ................. 222,525
3,450 oCONSOLIDATED FREIGHTWAYS CORP ........... 56,493
3,410 oHALTER MARINE GROUP, INC ................ 81,840
3,300 oHEARTLAND EXPRESS, INC .................. 77,550
6,200 HUNT (J.B.) TRANSPORT SERVICES, INC ..... 92,225
800 oLANDSTAR SYSTEM, INC .................... 22,500
200 oM.S. CARRIERS, INC ...................... 5,025
6,200 oOMI, INC ................................ 59,287
1,600 OVERSEAS SHIPHOLDING GROUP, INC ......... 31,400
4,000 PITTSTON BURLINGTON GROUP CO ............ 112,500
700 ROADWAY EXPRESS, INC .................... 16,362
13,600 ROLLINS TRUCK LEASING CORP .............. 202,300
14,300 RYDER SYSTEM, INC ....................... 471,900
5,300 SWIFT TRANSPORTATION CO, INC ............ 156,350
6,400 USFREIGHTWAYS CORP ...................... 165,600
7,700 WERNER ENTERPRISES, INC ................. 149,187
2,200 XTRA CORP ............................... 96,662
3,700 oYELLOW CORP ............................. 82,787
------------
2,572,443
------------
UTILITIES--ELECTRIC--3.24%
8,400 oAES CORP ................................ 594,300
21,200 ALLEGHENY POWER SYSTEMS, INC ............ 565,775
31,100 AMERICAN ELECTRIC POWER CO, INC ......... 1,306,200
16,100 ATLANTIC ENERGY, INC .................... 270,681
25,500 BALTIMORE GAS & ELECTRIC CO ............. 680,531
9,900 BOSTON EDISON CO ........................ 261,112
23,400 CAROLINA POWER & LIGHT CO ............... 839,475
31,200 CENTERIOR ENERGY CORP ................... 349,050
34,200 CENTRAL & SOUTH WEST CORP ............... 726,750
4,900 CENTRAL HUDSON GAS & ELECTRIC CORP ...... 168,743
7,100 oCENTRAL LOUISIANA ELECTRIC, INC ......... 199,687
8,500 CENTRAL MAINE POWER CO .................. 105,187
1,900 CILCORP, INC ............................ 78,256
25,523 CINERGY CORP ............................ 888,519
5,700 CIPSCO, INC ............................. 208,406
29,280 oCITIZENS UTILITIES CO (CLASS B) ......... 234,240
13,600 CMS ENERGY CORP ......................... 479,400
5,700 COMMONWEALTH ENERGY SYSTEM CO ........... 136,443
39,800 CONSOLIDATED EDISON CO OF
NEW YORK, INC .......................... 1,171,612
15,700 DELMARVA POWER & LIGHT CO ............... 299,281
31,400 DOMINION RESOURCES, INC ................. 1,150,025
16,600 DPL, INC ................................ 408,775
12,600 DQE, INC ................................ 355,950
25,300 DTE ENERGY CO ........................... 698,912
61,070 DUKE ENERGY CORP ........................ 2,927,543
3,300 EASTERN UTILITIES ASSOCIATION CO ........ 60,225
68,800 EDISON INTERNATIONAL CO ................. 1,711,400
16,600 ENOVA CORP .............................. 399,437
39,200 ENTERGY CORP ............................ 1,073,100
16,400 FLORIDA PROGRESS CORP ................... 513,525
28,200 FPL GROUP, INC .......................... 1,298,962
20,000 GPU, INC ................................ 717,500
5,800 HAWAIIAN ELECTRIC INDUSTRIES, INC ....... 224,025
30,400 HOUSTON INDUSTRIES, INC ................. 651,700
7,400 IDAHO POWER CO .......................... 232,175
6,500 IES INDUSTRIES, INC ..................... 191,750
14,500 ILLINOVA CORP ........................... 319,000
10,700 IPALCO ENTERPRISES, INC ................. 334,375
8,900 KANSAS CITY POWER & LIGHT CO ............ 254,206
6,200 KU ENERGY CORP .......................... 211,575
19,300 LONG ISLAND LIGHTING CO ................. 443,900
12,400 LOUISVILLE GAS & ELECTRIC
ENERGY CORP ............................ 273,575
6,500 MDU RESOURCES GROUP, INC ................ 156,000
23,200 MIDAMERICAN ENERGY HOLDINGS CO .......... 401,650
6,900 MINNESOTA POWER & LIGHT CO .............. 209,587
12,900 MONTANA POWER CO ........................ 299,118
14,100 NEVADA POWER CO ......................... 299,625
11,100 NEW ENGLAND ELECTRIC SYSTEMS CO ......... 410,700
14,500 NEW YORK STATE ELECTRIC & GAS CORP ...... 302,687
33,000 oNIAGARA MOHAWK POWER CORP ............... 282,562
8,600 NIPSCO INDUSTRIES, INC .................. 355,287
27,800 NORTHEAST UTILITIES CO .................. 265,837
11,300 NORTHERN STATES POWER CO ................ 584,775
7,400 OGE ENERGY CORP ......................... 336,700
24,900 OHIO EDISON CO .......................... 543,131
5,300 ORANGE & ROCKLAND UTILITY, INC .......... 178,212
50,100 PACIFICORP .............................. 1,102,200
40,700 PECO ENERGY CO .......................... 854,700
See notes to financial statements.
-76-
<PAGE>
EQUITY INDEX ACCOUNT (CONTINUED)
SHARES VALUE
------ -----
UTILITIES--ELECTRIC--(CONTINUED)
69,500 PG&E CORP ............................... $ 1,685,375
13,200 PINNACLE WEST CAPITAL CORP .............. 396,825
7,400 PORTLAND GENERAL CORP ................... 293,687
20,600 POTOMAC ELECTRIC POWER CO ............... 476,375
29,000 PP&L RESOURCES, INC ..................... 578,187
10,800 PUBLIC SERVICE CO OF COLORADO ........... 448,200
12,800 PUBLIC SERVICE CO OF NEW MEXICO ......... 228,800
39,200 PUBLIC SERVICE ENTERPRISE GROUP, INC .... 980,000
19,040 PUGET SOUND ENERGY, INC ................. 504,560
11,700 ROCHESTER GAS & ELECTRIC CORP ........... 246,431
17,900 SCANA CORP .............................. 444,143
10,100 SIERRA PACIFIC RESOURCES ................ 323,200
114,600 SOUTHERN CO ............................. 2,506,875
6,200 SOUTHWESTERN PUBLIC SERVICE CO .......... 243,737
17,800 TECO ENERGY, INC ........................ 455,012
37,500 TEXAS UTILITIES CO ...................... 1,291,406
4,940 oTUCSON ELECTRIC POWER CO ................ 71,630
38,300 UNICOM CORP ............................. 852,175
16,700 UNION ELECTRIC CO ....................... 629,381
1,500 UNITED ILLUMINATING CO .................. 46,312
6,500 UNITED WATER RESOURCES, INC ............. 125,937
10,864 UTILICORP UNITED, INC ................... 316,414
17,600 WASHINGTON WATER POWER CO ............... 345,400
10,800 WESTERN RESOURCES, INC .................. 350,325
20,200 WISCONSIN ENERGY CORP ................... 502,475
11,000 WPL HOLDINGS, INC ....................... 307,312
7,800 WPS RESOURCES CORP ...................... 208,650
------------
45,456,878
------------
UTILITIES--GAS & PIPELINE--1.10%
10,800 AGL RESOURCES, INC ...................... 222,750
13,500 oAMERICAN STANDARD COS, INC .............. 604,125
12,100 AMERICAN WATER WORKS CO, INC ............ 258,637
5,900 oBLACK BOX CORP .......................... 237,475
8,900 BROOKLYN UNION GAS CO ................... 254,762
1,400 CABOT OIL & GAS CORP (CLASS A) .......... 24,675
8,100 oCALENERGY, INC .......................... 307,800
16,800 COASTAL CORP ............................ 893,550
8,600 COLUMBIA GAS SYSTEMS, INC ............... 561,150
15,500 CONSOLIDATED NATURAL GAS CO ............. 834,093
6,400 EASTERN ENTERPRISES CO .................. 222,000
8,348 EL PASO NATURAL GAS CO .................. 459,140
36,500 ENRON CORP .............................. 1,489,656
13,700 ENSERCH CORP ............................ 304,825
7,700 EQUITABLE RESOURCES, INC ................ 218,487
7,500 INDIANA ENERGY, INC ..................... 183,281
4,800 oIONICS, INC ............................. 218,400
4,100 KN ENERGY, INC .......................... 172,712
11,400 MCN ENERGY GROUP, INC ................... 349,125
6,400 NATIONAL FUEL GAS CO .................... 268,400
4,400 NEW JERSEY RESOURCES CORP ............... 138,050
30,200 NGC CORP ................................ 466,212
8,100 NICOR, INC .............................. 290,587
18,411 NORAM ENERGY CORP ....................... 280,767
8,500 NORTHWEST NATURAL GAS CO ................ 222,593
5,929 ONEOK, INC .............................. 190,839
12,400 PACIFIC ENTERPRISES, INC ................ 416,950
6,300 PEOPLES ENERGY CORP ..................... 235,856
8,081 PIEDMONT NATURAL GAS CO, INC ............ 207,580
4,200 oPRIMARK CORP ............................ 111,825
6,400 QUESTAR CORP ............................ 258,400
13,800 SONAT, INC .............................. 707,250
5,800 SOUTHWEST GAS CORP ...................... 115,275
1,300 SOUTHWESTERN ENERGY CO .................. 16,900
30,230 TENNECO, INC ............................ 1,366,018
3,800 oTRIARC COS, INC ......................... 77,425
7,610 UGI CORP ................................ 168,371
7,700 VALERO ENERGY CORP ...................... 279,125
10,800 WASHINGTON GAS LIGHT CO ................. 271,350
3,300 WESTERN GAS RESOURCES, INC .............. 64,350
6,400 WICOR, INC .............................. 249,200
27,067 WILLIAMS COS, INC ....................... 1,184,181
-------------
15,404,147
-------------
UTILITIES--OTHER--0.01%
3,400 oBILLING INFORMATION CONCEPTS CORP ....... 118,575
-------------
UTILITIES--TELEPHONE--5.29%
2,400 oADTRAN, INC ............................. 59,400
9,500 ALIANT COMMUNICATIONS, INC .............. 185,250
32,900 ALLTEL CORP ............................. 1,100,093
3,700 oAMERICAN MOBILE SATELLITE CORP .......... 37,925
95,700 AMERITECH CORP .......................... 6,501,618
284,400 AT & T CORP ............................. 9,971,775
76,500 BELL ATLANTIC CORP ...................... 5,804,437
173,600 BELLSOUTH CORP .......................... 8,050,700
4,600 oC-TEC CORP .............................. 160,425
24,100 CINCINNATI BELL, INC .................... 759,150
29,200 FRONTIER CORP ........................... 582,175
10,287 oGLENAYRE TECHNOLOGIES, INC .............. 168,449
167,100 GTE CORP ................................ 7,331,512
121,380 MCI COMMUNICATIONS CORP ................. 4,646,578
10,100 oMOBILE TELECOMMUNICATIONS
TECHNOLOGIES CORP ...................... 144,556
4,200 XoMOBILEMEDIA CORP ........................ 1,176
29,000 oNEXTEL COMMUNICATIONS, INC (CLASS A) .... 549,187
76,200 NYNEX CORP .............................. 4,391,025
158,713 SBC COMMUNICATIONS, INC ................. 9,820,366
13,000 SOUTHERN NEW ENGLAND
TELECOMMUNICATIONS CORP ................ 505,375
75,800 SPRINT CORP ............................. 3,988,975
12,464 TELEPHONE & DATA SYSTEMS, INC ........... 472,853
3,400 oU.S. LONG DISTANCE CORP ................. 58,650
83,200 U.S. WEST COMMUNICATIONS GROUP, INC ..... 3,135,600
98,100 oU.S. WEST MEDIA GROUP, INC .............. 1,986,525
115,841 oWORLDCOM, INC ........................... 3,706,912
-------------
74,120,687
-------------
TOTAL COMMON STOCK
(COST $1,070,624,133) ..................... 1,390,402,747
-------------
PRINCIPAL
---------
SHORT TERM INVESTMENTS--1.03%
U.S. GOVERNMENT & AGENCIES--1.03%
FEDERAL FARM CREDIT BANKS
$ 1,200,000 5.400%, 07/07/97 ..................... 1,198,728
* FEDERAL NATIONAL MORTGAGE
ASSOCIATION
13,450,000 5.460%, 09/08/97 .................... 13,307,467
-------------
14,506,195
-------------
TOTAL SHORT TERM INVESTMENTS
(COST $14,508,166) 14,506,195
ROUNDING .............................. 384
-------------
TOTAL PORTFOLIO
(COST $1,085,264,241) ..................... $1,405,079,848
==============
- ---------------
o Non-income producing
x In bankruptcy
* All or a portion of this security has been segregated by the custodian to
cover margin or other requirements on open futures contracts, covered call
options written and securities purchased on a delayed delivery basis.
See notes to financial statements.
-77-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENT OF INVESTMENTS--INFLATION-LINKED BOND ACCOUNT (UNAUDITED)
JUNE 30, 1997
SUMMARY BY INDUSTRY
VALUE %
------- -------
BONDS
CORPORATE BONDS
BANKS ................................... $ 2,397,807 3.28%
------------- ----
TOTAL CORPORATE BONDS
(COST $2,446,225) ....................... 2,397,807 3.28
------------- ----
GOVERNMENT BONDS
U.S. TREASURY SECURITIES ................ 65,147,368 89.10
------------- ----
TOTAL GOVERNMENT BONDS
(COST $65,256,449) ...................... 65,147,368 89.10
------------- ----
TOTAL BONDS
(COST $67,702,674) ....................... 67,545,175 92.38
------------- ----
SHORT TERM INVESTMENTS
COMMERCIAL PAPER......................... 4,399,168 6.02
------------- ----
TOTAL SHORT TERM INVESTMENTS
(COST $4,400,000) ........................ 4,399,168 6.02
------------- ----
ROUNDING ............................... 2 0.00
------------- ----
TOTAL PORTFOLIO
(COST $72,102,674) ....................... 71,944,345 98.40
------------- ----
OTHER ASSETS & OTHER LIABILITIES, NET .. 1,171,025 1.60
------------- ----
NET ASSETS ................................ $73,115,370 100.00%
============= ======
PRINCIPAL VALUE
--------- -----
BONDS--92.38%
CORPORATE BONDS--3.28%
BANKS--3.28%
J.P. MORGAN INFLATION INDEXED
$2,500,000 6.641%, 02/15/12 ............. $ 2,397,807
-----------
TOTAL CORPORATE BONDS
(COST $2,446,225) ................ 2,397,807
-----------
GOVERNMENT BONDS--89.10%
U.S. TREASURY SECURITIES--89.10%
U.S. TREASURY INFLATION INDEXED
66,732,260 3.375%, 01/15/07.............. 65,147,368
-----------
TOTAL GOVERNMENT BONDS
(COST $65,256,449) ............... 65,147,368
----------
TOTAL BONDS
(COST $67,702,674) ................ 67,545,175
----------
SHORT TERM INVESTMENTS--6.02%
COMMERCIAL PAPER--6.02%
FEDERAL EXPRESS CORP
1,900,000 6.600%, 07/01/97.............. 1,899,641
RYDER SYSTEMS, INC
2,500,000 6.350%, 07/01/97.............. 2,499,527
----------
4,399,168
----------
TOTAL SHORT TERM INVESTMENTS
(COST $4,400,000) ................. 4,399,168
----------
ROUNDING ....................... 2
----------
TOTAL PORTFOLIO
(COST $72,102,674) ................. $71,944,345
===========
See notes to financial statements.
-78-
<PAGE>
[LOGO]
CREF | COLLEGE RETIREMENT EQUITIES TRUST
| 730 THIRD AVENUE
| NEW YORK, NY 10017-3206
| 212/490-9000
Printed on recycled paper
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
THIS SCHEDULE CONTAINS SUMMARY FINANCIAL INFORMATION EXTRACTED FROM THE
SEMI-ANNUAL REPORT AND IS QUALIFIED IN ITS ENTIRETY BY REFERENCE TO SUCH
FINANCIAL STATEMENTS.
</LEGEND>
<CIK> 0000777535
<NAME> COLLEGE RETIREMENT EQUITIES FUND
<SERIES>
<NUMBER> 1
<NAME> STOCK ACCOUNT
<MULTIPLIER> 1
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> DEC-31-1997
<PERIOD-START> JAN-01-1997
<PERIOD-END> JUN-30-1997
<INVESTMENTS-AT-COST> 55,269,514,978
<INVESTMENTS-AT-VALUE> 95,786,207,255
<RECEIVABLES> 814,677,087
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 167,829,046
<TOTAL-ASSETS> 96,768,713,388
<PAYABLE-FOR-SECURITIES> 486,194,019
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 3,168,081,168
<TOTAL-LIABILITIES> 3,654,275,187
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 0
<SHARES-COMMON-STOCK> 608,999,196
<SHARES-COMMON-PRIOR> 620,498,335
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<TABLE> <S> <C>
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<CIK> 0000777535
<NAME> COLLEGE RETIREMENT EQUITIES FUND
<SERIES>
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<NAME> COLLEGE RETIREMENT EQUITIES FUND
<SERIES>
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<NAME> GROWTH ACCOUNT
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<CIK> 0000777535
<NAME> COLLEGE RETIREMENT EQUITIES FUND
<SERIES>
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<NAME> EQUITY INDEX ACCOUNT
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<S> <C>
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<TABLE> <S> <C>
<ARTICLE> 6
<CIK> 0000777535
<NAME> COLLEGE RETIREMENT EQUITIES FUND
<SERIES>
<NUMBER> 8
<NAME> INFLATION-LINKED BOND ACCOUNT
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<S> <C>
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