ANNUAL REPORT
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COLLEGE RETIREMENT EQUITIES FUND
MONEY MARKET ACCOUNT GLOBAL EQUITIES ACCOUNT
BOND MARKET ACCOUNT GROWTH ACCOUNT
SOCIAL CHOICE ACCOUNT EQUITY INDEX ACCOUNT
AUDITED FINANCIAL STATEMENTS
INCLUDING
STATEMENTS OF INVESTMENTS
DECEMBER 31, 1996
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As required by the Investment Company Act of 1940, CREF provides its
participants with this year-end annual report of the financial condition and
portfolio holdings of the Money Market Account, Bond Market Account, Social
Choice Account, Global Equities Account, Growth Account and Equity Index
Account. CREF also provides an annual report to participants in the Stock
Account. Semi-annual reports are also provided each year toward the end of
August.
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[LOGO]
CREF
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
MONEY MARKET ACCOUNT GLOBAL EQUITIES ACCOUNT
BOND MARKET ACCOUNT GROWTH ACCOUNT
SOCIAL CHOICE ACCOUNT EQUITY INDEX ACCOUNT
INDEX TO AUDITED FINANCIAL STATEMENTS
December 31, 1996
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Page
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Report of Management Responsibility...................................... 2
Report of Independent Auditors............................................ 3
Audited Financial Statements:
Statements of Assets and Liabilities................................... 4
Statements of Operations............................................... 5
Statements of Changes in Net Assets.................................... 6
Notes to Financial Statements.......................................... 8
Statements of Investments:
Money Market Account................................................ 15
Bond Market Account................................................. 18
Social Choice Account............................................... 22
Global Equities Account............................................. 29
Growth Account...................................................... 44
Equity Index Account................................................ 56
Participant Voting Results................................................ 73
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<PAGE>
[CREF LOGO]
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REPORT OF MANAGEMENT RESPONSIBILITY
To the Participants of
College Retirement Equities Fund:
The accompanying financial statements of the Money Market, Bond Market, Social
Choice, Global Equities, Growth and Equity Index Accounts of College Retirement
Equities Fund ("CREF") are the responsibility of management. They have been
prepared in accordance with generally accepted accounting principles and have
been presented fairly and objectively in accordance with such principles.
CREF has established and maintains a strong system of internal controls designed
to provide reasonable assurance that assets are properly safeguarded and
transactions are properly executed in accordance with management's
authorization, and to carry out the ongoing responsibilities of management for
reliable financial statements. In addition, CREF's internal audit personnel
provide a continuing review of the internal controls and operations of the CREF
Accounts, and the internal Auditor regularly reports to the Audit Committee of
the CREF Board of Trustees.
The accompanying financial statements have been audited by the independent
auditing firm of Deloitte & Touche LLP. The independent auditors' report, which
appears on the following page, expresses an independent opinion on the fairness
of presentation of these financial statements.
The Audit Committee of the CREF Board of Trustees, consisting of trustees who
are not officers of CREF, meets regularly with management, representatives of
Deloitte & Touche LLP and internal auditing personnel to review matters relating
to financial reporting, internal controls and auditing. In addition to the
annual audit of the financial statements of all CREF Accounts, the New York
State Insurance Department, other state insurance departments and the Securities
and Exchange Commission regularly examine the financial statements of the CREF
Accounts as part of their periodic corporate examinations.
/s/ John H. Biggs
--------------------------------
Chairman and
Chief Executive Officer
/s/ Thomas W. Jones
--------------------------------
Vice Chairman, President and
Chief Operating Officer
/s/ Richard F. Gibbs
--------------------------------
Executive Vice President and
Principal Accounting Officer
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<PAGE>
DELOITTE &
TOUCHE LLP
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[LOGO]
------------------------------------------------------------
Two World Financial Center Telephone: (212) 436-2000
New York, New York 10281-1414 Facsimile: (212) 436-5000
REPORT OF INDEPENDENT AUDITORS
To the Participants and Board of Trustees of
College Retirement Equities Fund:
We have audited the accompanying statements of assets and liabilities, including
the statements of investments, of the Money Market, Bond Market, Social Choice,
Global Equities, Growth and Equity Index Accounts of College Retirement Equities
Fund ("CREF") as of December 31, 1996, the related statements of operations for
the year then ended and of changes in net assets for each of the years in the
two year period then ended. These financial statements are the responsibility of
CREF's management. Our responsibility is to express an opinion on these
financial statements based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements. Our procedures included
confirmation of securities owned at December 31, 1996, by correspondence with
the custodians and brokers; where replies were not received from brokers, we
performed other auditing procedures. An audit also includes assessing the
accounting principles used and significant estimates made by management, as well
as evaluating the overall financial statement presentation. We believe that our
audits provide a reasonable basis for our opinion.
In our opinion, such financial statements present fairly, in all material
respects, the financial position of the Money Market, Bond Market, Social
Choice, Global Equities, Growth and Equity Index Accounts of CREF at December
31, 1996, the results of their operations and the changes in their net assets
for the above-stated periods, in conformity with generally accepted accounting
principles.
/s/ Deloitte & Touche LLP
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February 6, 1997
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DELOITTE TOUCHE
TOHMATSU
INTERNATIONAL
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<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENTS OF ASSETS AND LIABILITIES
DECEMBER 31, 1996
<TABLE>
<CAPTION>
MONEY MARKET BOND MARKET SOCIAL CHOICE GLOBAL EQUITIES GROWTH EQUITY INDEX
ACCOUNT ACCOUNT ACCOUNT ACCOUNT ACCOUNT ACCOUNT
------- ------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C> <C>
ASSETS
Portfolio investments,
at cost.................. $3,712,248,621 $ 984,475,105 $1,215,391,024 $3,872,499,528 $2,010,889,220 $781,764,884
Net unrealized appreciation
(depreciation) of
portfolio investments.... (1,271,572) 1,161,342 350,217,002 541,216,692 415,950,534 151,520,809
-------------- -------------- -------------- -------------- -------------- ------------
Portfolio investments,
at value................. 3,710,977,049 985,636,447 1,565,608,026 4,413,716,220 2,426,839,754 933,285,693
Cash........................ 5,968,779 1,364,530 55,763,443 3,354,922 4,313,376
Dividends and interest
receivable............... 15,706,333 13,241,786 8,628,520 5,371,070 3,283,733 1,596,171
Receivable from securities
transactions............. 64,444,419 41,551,731 10,611,980 182,446,231 11,798,288 8,399,070
Amounts due from TIAA....... 1,927,300 1,151,225 1,657,214 3,088,868 2,727,521 912,202
-------------- -------------- -------------- -------------- -------------- ------------
TOTAL ASSETS 3,799,023,880 1,041,581,189 1,587,870,270 4,660,385,832 2,448,004,218 948,506,512
-------------- -------------- -------------- -------------- -------------- ------------
LIABILITIES
Deposits for securities
loaned--Note 4........... 284,947,527
Due to banks--Note 4........ 8,368,897 354,846
Payable for securities
transactions............. 69,310,550 32,978,880 11,775,579 182,261,387 27,109,072 26,581,427
-------------- -------------- -------------- -------------- -------------- ------------
TOTAL LIABILITIES 69,310,550 41,347,777 12,130,425 467,208,914 27,109,072 26,581,427
-------------- -------------- -------------- -------------- -------------- ------------
NET ASSETS
Accumulation Fund........... 3,600,414,926 994,923,802 1,514,030,937 4,055,182,441 2,357,465,448 887,718,140
Annuity Fund................ 129,298,404 5,309,610 61,708,908 137,994,477 63,429,698 34,206,945
-------------- -------------- -------------- -------------- -------------- ------------
TOTAL NET ASSETS $3,729,713,330 $1,000,233,412 $1,575,739,845 $4,193,176,918 $2,420,895,146 $921,925,085
============== ============== ============== ============== ============== ============
NUMBER OF ACCUMULATION
UNITS OUTSTANDING--
Notes 5 and 6.............. 218,291,636 22,611,134 25,841,336 80,015,913 53,200,553 20,724,711
=========== ========== ========== ========== ========== ==========
NET ASSET VALUE, PER
ACCUMULATION UNIT--
Note 5..................... $16.49 $44.00 $58.59 $50.68 $44.31 $42.83
====== ====== ====== ====== ====== ======
</TABLE>
See notes to financial statements.
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<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENTS OF OPERATIONS
YEAR ENDED DECEMBER 31, 1996
<TABLE>
<CAPTION>
MONEY MARKET BOND MARKET SOCIAL CHOICE GLOBAL EQUITIES GROWTH EQUITY INDEX
ACCOUNT ACCOUNT ACCOUNT ACCOUNT ACCOUNT ACCOUNT
------- ------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Income:
Dividends................. $ 16,485,935 $ 50,569,749 $ 20,419,790 $ 13,856,832
Interest.................. $180,622,896 $64,241,772 35,957,391 9,432,801 4,288,343 575,292
------------ ----------- ------------ ------------ ------------ ------------
TOTAL INCOME 180,622,896 64,241,772 52,443,326 60,002,550 24,708,133 14,432,124
------------ ----------- ------------ ------------ ------------ ------------
Expenses--Note 3:
Investment................ 2,597,014 656,539 976,893 5,168,905 2,134,334 495,305
Operating................. 7,390,729 2,012,318 3,033,743 8,147,979 3,909,640 1,486,953
------------ ----------- ------------ ------------ ------------ ------------
TOTAL EXPENSES 9,987,743 2,668,857 4,010,636 13,316,884 6,043,974 1,982,258
------------ ----------- ------------ ------------ ------------ ------------
INVESTMENT INCOME--NET 170,635,153 61,572,915 48,432,690 46,685,666 18,664,159 12,449,866
------------ ----------- ------------ ------------ ------------ ------------
REALIZED AND UNREALIZED
GAIN (LOSS) ON TOTAL
INVESTMENTS--Note 4
Net realized gain (loss) on:
Portfolio investments..... 3,598 (3,512,730) 11,910,403 350,747,694 109,093,885 10,154,368
Futures transactions...... 8,644,577 2,492,655 169,898
Foreign currency
transactions........... (1,676,533) (16,243)
------------ ----------- ------------ ------------ ------------ ------------
Net realized gain (loss). 3,598 (3,512,730) 11,910,403 357,715,738 111,570,297 10,324,266
------------ ----------- ------------ ------------ ------------ ------------
Net change in unrealized
appreciation (depreciation) on:
Portfolio investments... (876,263) (28,782,350) 140,408,956 206,263,841 261,646,176 108,747,047
Futures transactions.... 637,033 277,061
Translation of assets (other
than portfolio investments)
and liabilities in foreign
currencies........... 488,888 (1,764)
------------ ----------- ------------ ------------ ------------ ------------
Net change in unrealized
appreciation (depreciation) (876,263) (28,782,350) 140,408,956 207,389,762 261,921,473 108,747,047
------------ ----------- ------------ ------------ ------------ ------------
NET REALIZED AND UNREALIZED
GAIN (LOSS) ON
TOTAL INVESTMENTS (872,665) (32,295,080) 152,319,359 565,105,500 373,491,770 119,071,313
------------ ----------- ------------ ------------ ------------ ------------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS $169,762,488 $29,277,835 $200,752,049 $611,791,166 $392,155,929 $131,521,179
============ =========== ============ ============ ============ ============
</TABLE>
See notes to financial statements.
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<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
MONEY MARKET ACCOUNT BOND MARKET ACCOUNT
---------------------------- ------------------------------
YEARS ENDED DECEMBER 31, YEARS ENDED DECEMBER 31,
----------------------------- ------------------------------
1996 1995 1996 1995
------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
FROM OPERATIONS
Investment income--net ..... $ 170,635,153 $ 173,000,183 $ 61,572,915 $ 46,958,199
Net realized gain (loss) on
total investments ........ 3,598 (200,856) (3,512,730) 12,221,948
Net change in unrealized
appreciation
(depreciation) on total
investments .............. (876,263) 1,073,681 (28,782,350) 50,593,054
--------------- --------------- --------------- ---------------
NET INCREASE
IN NET ASSETS
RESULTING FROM
OPERATIONS 169,762,488 173,873,008 29,277,835 109,773,201
--------------- --------------- --------------- ---------------
FROM PARTICIPANT
TRANSACTIONS
Premiums ................... 318,965,231 322,504,882 132,033,697 120,393,346
--------------- --------------- --------------- ---------------
Disbursements and transfers:
Net transfers to (from)
TIAA ................... 95,923,855 62,622,528 (1,718,077) (4,654,005)
Net transfers to (from)
other CREF Accounts .... (392,761,156) (62,813,953) (30,526,334) (76,175,539)
Annuity payments ......... 17,724,643 14,684,076 2,012,288 1,154,923
Withdrawals and
repurchases ............ 179,855,420 144,584,944 23,479,960 16,646,581
Death benefits ........... 5,126,067 5,864,728 1,215,107 993,457
--------------- --------------- --------------- ---------------
TOTAL DISBURSEMENTS
AND TRANSFERS, NET (94,131,171) 164,942,323 (5,537,056) (62,034,583)
--------------- --------------- --------------- ---------------
NET INCREASE
IN NET ASSETS
RESULTING FROM
PARTICIPANT
TRANSACTIONS 413,096,402 157,562,559 137,570,753 182,427,929
--------------- --------------- --------------- ---------------
NET INCREASE
IN NET ASSETS 582,858,890 331,435,567 166,848,588 292,201,130
NET ASSETS
Beginning of year .......... 3,146,854,440 2,815,418,873 833,384,824 541,183,694
--------------- --------------- --------------- ---------------
End of year ................ $ 3,729,713,330 $ 3,146,854,440 $ 1,000,233,412 $ 833,384,824
=============== =============== =============== ===============
</TABLE>
SOCIAL CHOICE ACCOUNT
--------------------------
YEARS ENDED DECEMBER 31,
------------------------
1996 1995
--------------- ---------------
FROM OPERATIONS
Investment income--net ..... $ 48,432,690 $ 35,513,279
Net realized gain (loss) on
total investments ........ 11,910,403 3,647,165
Net change in unrealized
appreciation
(depreciation) on total
investments .............. 140,408,956 200,506,744
--------------- ---------------
NET INCREASE
IN NET ASSETS
RESULTING FROM
OPERATIONS 200,752,049 239,667,188
--------------- ---------------
FROM PARTICIPANT
TRANSACTIONS
Premiums ................... 228,713,491 193,358,929
--------------- ---------------
Disbursements and transfers:
Net transfers to (from)
TIAA ................... (5,237,657) (2,454,256)
Net transfers to (from)
other CREF Accounts .... (5,021,174) (6,736,255)
Annuity payments ......... 4,694,000 2,778,920
Withdrawals and
repurchases ............ 22,310,524 16,528,876
Death benefits ........... 1,298,901 1,045,228
--------------- ---------------
TOTAL DISBURSEMENTS
AND TRANSFERS, NET 18,044,594 11,162,513
--------------- ---------------
NET INCREASE
IN NET ASSETS
RESULTING FROM
PARTICIPANT
TRANSACTIONS 210,668,897 182,196,416
--------------- ---------------
NET INCREASE
IN NET ASSETS 411,420,946 421,863,604
NET ASSETS
Beginning of year .......... 1,164,318,899 742,455,295
--------------- ---------------
End of year ................ $ 1,575,739,845 $ 1,164,318,899
=============== ===============
See notes to financial statements.
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<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
GLOBAL EQUITIES ACCOUNT GROWTH ACCOUNT
------------------------------ ------------------------------
YEARS ENDED DECEMBER 31, YEARS ENDED DECEMBER 31,
------------------------------ ------------------------------
1996 1995 1996 1995
------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
FROM OPERATIONS
Investment income--net ..... $ 46,685,666 $ 40,861,174 $ 18,664,159 $ 7,580,175
Net realized gain (loss) on
total investments ........ 357,715,738 181,350,482 111,570,297 24,236,668
Net change in unrealized
appreciation
(depreciation) on total
investments .............. 207,389,762 286,945,676 261,921,473 151,168,717
--------------- -------------- --------------- --------------
NET INCREASE
IN NET ASSETS
RESULTING FROM
OPERATIONS 611,791,166 509,157,332 392,155,929 182,985,560
--------------- -------------- --------------- --------------
FROM PARTICIPANT
TRANSACTIONS
Premiums ................... 452,200,153 432,885,223 339,775,324 146,310,621
--------------- -------------- --------------- --------------
Disbursements and transfers:
Net transfers to (from)
TIAA ................... (22,446,528) 2,286,189 (48,595,717) (44,418,794)
Net transfers to (from)
other CREF Accounts .... (81,428,574) 361,750,669 (523,988,719) (524,499,108)
Annuity payments ......... 11,896,195 6,816,624 4,727,193 1,032,476
Withdrawals and
repurchases ............ 57,494,834 44,668,972 34,266,315 15,488,467
Death benefits ........... 4,093,573 2,578,283 1,056,662 49,873
--------------- -------------- --------------- --------------
TOTAL DISBURSEMENTS
AND TRANSFERS, NET
(30,390,500) 418,100,737 (532,534,266) (552,347,086)
--------------- -------------- --------------- --------------
NET INCREASE
IN NET ASSETS
RESULTING FROM
PARTICIPANT
TRANSACTIONS 482,590,653 14,784,486 872,309,590 698,657,707
--------------- -------------- --------------- --------------
NET INCREASE
IN NET ASSETS 1,094,381,819 523,941,818 1,264,465,519 881,643,267
NET ASSETS
Beginning of year .......... 3,098,795,099 2,574,853,281 1,156,429,627 274,786,360
--------------- -------------- --------------- --------------
End of year ................ $ 4,193,176,918 $3,098,795,099 $ 2,420,895,146 $1,156,429,627
=============== ============== =============== ==============
</TABLE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENTS OF CHANGES IN NET ASSETS
EQUITY INDEX ACCOUNT
-----------------------------
YEARS ENDED DECEMBER 31,
-----------------------------
1996 1995
------------ -------------
FROM OPERATIONS
Investment income--net ..... $ 12,449,866 $ 3,835,421
Net realized gain (loss) on
total investments ........ 10,324,266 2,563,936
Net change in unrealized
appreciation
(depreciation) on total
investments .............. 108,747,047 42,347,885
------------ -------------
NET INCREASE
IN NET ASSETS
RESULTING FROM
OPERATIONS 131,521,179 48,747,242
------------ -------------
FROM PARTICIPANT
TRANSACTIONS
Premiums ................... 139,323,573 43,829,759
------------ -------------
Disbursements and transfers:
Net transfers to (from)
TIAA ................... (30,322,707) (20,714,935)
Net transfers to (from)
other CREF Accounts .... (243,573,489) (242,873,333)
Annuity payments ......... 2,224,641 371,694
Withdrawals and
repurchases ............ 11,191,497 35,670,917
Death benefits ........... 277,271 5,552
------------ -------------
TOTAL DISBURSEMENTS
AND TRANSFERS, NET (260,202,787) (227,540,105)
------------ -------------
NET INCREASE
IN NET ASSETS
RESULTING FROM
PARTICIPANT
TRANSACTIONS 399,526,360 271,369,864
------------ -------------
NET INCREASE
IN NET ASSETS 531,047,539 320,117,106
NET ASSETS
Beginning of year .......... 390,877,546 70,760,440
------------ -------------
End of year ................ $921,925,085 $ 390,877,546
============ =============
See notes to financial statements.
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<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
NOTES TO FINANCIAL STATEMENTS
NOTE 1--ORGANIZATION
College Retirement Equities Fund ("CREF") was formed to aid and strengthen
nonprofit educational and research organizations by providing their employees
with variable retirement benefits.
CREF is registered with the Securities and Exchange Commission ("Commission")
under the Investment Company Act of 1940 as an open-end, diversified management
investment company. It consists of seven investment portfolios. The accompanying
financial statements are those of the Money Market Account, which invests in
money market instruments; the Bond Market Account, which invests in a broad
range of fixed-income securities; the Social Choice Account, which invests in a
diversified portfolio of equity and fixed-income securities while giving special
consideration to certain social criteria; the Global Equities Account, which
invests in equity securities of foreign and domestic companies; the Growth
Account, which invests in a diversified portfolio of equity securities that
present opportunities for growth; and the Equity Index Account, which invests in
a diversified portfolio of equity securities selected to track the overall
United States stock market ("Accounts"). The seventh investment portfolio of
CREF, the Stock Account, which invests primarily in equity securities, is not
included in these financial statements.
The Equity Index Account was established on April 4, 1994 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 April 29, 1994, the
Equity Index 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 July 1, 1994, CREF began to offer Accumulation Units 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 Equity Index Account. During
1994 and 1995, TIAA's Accumulation Units were withdrawn at prevailing net asset
values and the 1995 withdrawals totalling $32,268,669 are reflected in the
accompanying financial statements of the Equity Index Account.
TIAA-CREF Investment Management, Inc. ("Investment Management"), a subsidiary of
TIAA, is registered with the Commission as an investment adviser and provides
investment advisory services for the CREF Accounts pursuant to an Investment
Management Services Agreement with CREF. TIAA-CREF Individual & Institutional
Services, Inc. ("Services"), a subsidiary of TIAA which is registered with the
Commission as a broker-dealer and is a member of the National Association of
Securities Dealers, Inc., provides administrative services for the CREF Accounts
and performs distribution functions for CREF's certificates pursuant to a
Principal Underwriting and Administrative Services Agreement with CREF.
NOTE 2--SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of the significant accounting policies consistently
followed by the Accounts, which are in conformity with generally accepted
accounting principles.
VALUATION OF INVESTMENTS: Securities listed or traded on any United States
national securities exchange are valued at the last sales price as of the close
of the principal securities exchange on which such securities are traded or, if
there is no sale, at the mean of the last bid and asked prices on such exchange.
Securities traded only in the over-the-counter market and quoted in the NASDAQ
National Market System are valued at the last sales price, or at the mean of the
last bid and asked prices if no sale is reported. All other over-the-counter
securities are valued at the mean of the last bid and asked prices, except for
bonds which are valued at the most recent bid price or the equivalent quoted
yield of such bonds. Short-term money market instruments are stated at market
value or amortized cost, which approximates market value. Foreign investments
are valued at the closing price in the principal market where they are traded;
local currencies are converted into U.S. dollars as described below under
Foreign Currency Transactions and Translation. Stock index futures and options
which are traded on commodities exchanges are valued at the last sale price as
of the close of such commodities exchanges. Portfolio securities for which
market quotations are not readily available are valued at fair value as
determined in good faith under the direction of the Finance Committee of the
Board of Trustees and in accordance with the responsibilities of the Board as a
whole.
ACCOUNTING FOR INVESTMENTS: Securities transactions are accounted for as of the
date the securities are purchased or sold (trade date). Interest income is
recorded as earned and, for short-term money market instruments, includes
-8-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
NOTE 2--SIGNIFICANT ACCOUNTING POLICIES -(CONTINUED)
accrual of discount and amortization of premium. Dividend income is recorded on
the ex-dividend date or, for certain foreign securities, as soon as the Accounts
are informed of the ex-dividend date. Realized gains and losses on security
transactions are accounted for on the average cost basis.
FOREIGN CURRENCY TRANSACTIONS AND TRANSLATION: Foreign investments, bank
deposits and forward foreign currency contracts are valued in U.S. dollars,
based on the exchange rate at the end of the period. Investments traded in
foreign currencies are translated at exchange rates prevailing on the respective
dates traded. Income is translated at approximate rates prevailing when earned.
Asset and liability accounts that are denominated in a foreign currency are
adjusted to reflect the exchange rate at the end of the period. The cumulative
impact of changes in foreign exchange rates on portfolio investments sold during
the period is reflected in the net realized gain (loss) on portfolio
investments. The cumulative impact of changes in foreign exchange rates on
portfolio investments held at the end of the period is reflected in the net
change in unrealized appreciation (depreciation) on portfolio investments.
Currency gains and losses arising from the settlement of forward foreign
currency contracts, changes in exchange rates between the trade and settlement
dates of portfolio investment transactions, and changes in exchange rates
between the accrual and receipt dates for dividend and interest income are
recorded as net realized gains (losses) on foreign currency transactions. For
assets other than portfolio investments and liabilities, changes in foreign
exchange rates are reflected in the net change in unrealized appreciation
(depreciation) on translation of assets (other than portfolio investments) and
liabilities in foreign currencies.
SECURITIES LENDING: The Accounts may lend portfolio securities to qualified
institutions. Such loans are secured by collateral at least equal to 102% of the
market value of the securities loaned for United States securities and 105% of
the market value of securities loaned for foreign securities. An Account
continues to receive income on the securities loaned and receives additional
income from the lending transaction. Additionally, any change in the market
value of the securities loaned is recognized by the Account. Although each
transaction is collateralized, the Account would bear the risk of delay in
recovery of, or loss of rights in, the securities loaned should a borrower fail
to return the securities in a timely manner.
COVERED CALL OPTIONS WRITTEN: The Accounts write (sell) covered call options to
provide protection against adverse movements in the price of securities in the
portfolio. When an option is written, an amount equal to the premium received is
recorded as a liability; the liability is adjusted on a daily basis to the
current market price of the option written and an unrealized gain or loss is
recorded. Premiums received from writing options which expire unexercised are
recognized as realized gains from option transactions on the expiration date.
Premiums received from writing options which are exercised are added to the
proceeds from the sale of the underlying securities in recognizing the net
realized gain or loss on portfolio investments. In writing options, it is
assumed that the option may be exercised at any time prior to the expiration of
an Account's obligation as a writer, and that in such circumstances the net
proceeds of the sale of the underlying securities pursuant to the call option
may be below the prevailing market value.
FUTURES CONTRACTS: The Accounts purchase futures contracts for the purpose of
acquiring a position in a security or group of securities which it intends to
purchase at a later date, or for cash management purposes to remain highly
invested in the equity markets while minimizing transaction costs. 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 -- (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.
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 December 31, 1996, the value of Global Equities Account securities loaned was
$460,928,357 and collateral received in connection therewith was comprised of
cash of $284,947,527, letters of credit of $123,155,000 and United States
government securities amounting to $73,101,404.
At December 31, 1996, the due to banks balances in the Bond Market and Social
Choice Accounts resulted from securities transactions which were settled and
paid by January 2, 1997.
-10-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
NOTE 4--INVESTMENTS -(CONCLUDED)
At December 31, 1996, net unrealized appreciation (depreciation) of portfolio
investments, consisting of gross unrealized appreciation and gross unrealized
depreciation, was as follows:
<TABLE>
<CAPTION>
MONEY MARKET BOND MARKET SOCIAL CHOICE
ACCOUNT ACCOUNT ACCOUNT
------------ ------------ ------------
<S> <C> <C> <C>
Gross unrealized appreciation of portfolio investments......... $ 51,787 $ 7,196,999 $368,492,633
Gross unrealized depreciation of portfolio investments......... 1,323,359 6,035,657 18,275,631
------------ ------------ ------------
NET UNREALIZED APPRECIATION (DEPRECIATION) OF
PORTFOLIO INVESTMENTS........................................ $ (1,271,572) $ 1,161,342 $350,217,002
============ ============ ============
</TABLE>
<TABLE>
<CAPTION>
GLOBAL EQUITIES GROWTH EQUITY INDEX
ACCOUNT ACCOUNT ACCOUNT
----------- ----------- --------
<S> <C> <C> <C>
Gross unrealized appreciation of portfolio investments......... $664,084,912 $457,365,250 $170,201,197
Gross unrealized depreciation of portfolio investments......... 122,868,220 41,414,716 18,680,388
------------ ------------ ------------
NET UNREALIZED APPRECIATION OF
PORTFOLIO INVESTMENTS........................................ $541,216,692 $415,950,534 $151,520,809
============ ============ ============
</TABLE>
At December 31, 1996, the Growth Account held 60 open futures contracts in the
Standard and Poor's 500 Index with a value of $22,335,000.
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
December 31, 1996, the total value of the Global Equities Account's investments
in affiliated companies was $207,035,105. For the year ended December 31, 1996,
total dividend income and net realized loss relating to such investments of the
Global Equities Account were $2,566,682 and $2,990,877, respectively. For the
periods and CREF Accounts covered by these financial statements, there were no
other investments in affiliated companies.
Purchases and sales of portfolio securities, other than short-term money market
instruments, for the year ended December 31, 1996, were as follows:
<TABLE>
<CAPTION>
BOND MARKET SOCIAL CHOICE GLOBAL EQUITIES GROWTH EQUITY INDEX
ACCOUNT ACCOUNT ACCOUNT ACCOUNT ACCOUNT
------------ ------------ ------------- ------------- ------------
<S> <C> <C> <C> <C> <C>
Purchases:
Unaffiliated issuers..... $1,470,443,336 $801,911,542 $3,642,948,208 $1,446,151,630 $462,698,310
Affiliated issuers....... -- -- 11,039,521 -- --
-------------- ------------ -------------- -------------- ------------
TOTAL PURCHASES $1,470,443,336 $801,911,542 $3,653,987,729 $1,446,151,630 $462,698,310
============== ============ ============== ============== ============
Sales:
Unaffiliated issuers..... $1,278,823,621 $548,003,021 $3,089,254,369 $ 646,209,032 $ 51,733,301
Affiliated issuers....... -- -- 12,830,861 -- --
-------------- ------------ -------------- -------------- ------------
TOTAL SALES $1,278,823,621 $548,003,021 $3,102,085,230 $ 646,209,032 $ 51,733,301
============== ============ ============== ============== ============
</TABLE>
-11-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
NOTES TO FINANCIAL STATEMENTS -- (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
--------------------------------------------------------------
FOR THE YEARS ENDED DECEMBER 31,
--------------------------------------------------------------
1996 1995 1994 1993 1992
------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C>
Per Accumulation Unit Data:
Investment income...................... $ .880 $ .910 $ .631 $ .464 $ .539
Expenses............................... .049 .048 .041 .039 .036
------ ------ ------ ------ ------
Investment income--net................. .831 .862 .590 .425 .503
Net realized and unrealized gain (loss)
on total investments................ (.003) .009 (.012) (.002) (.009)
------ ------ ------ ------ ------
Net increase in
Accumulation Unit Value............... .828 .871 .578 .423 .494
Accumulation Unit Value:
Beginning of year...................... 15.666 14.795 14.217 13.794 13.300
------- ------- ------- ------- -------
End of year............................ $16.494 $15.666 $14.795 $14.217 $13.794
======= ======= ======= ======= =======
Total return............................. 5.28% 5.88% 4.07% 3.07% 3.71%
Ratios to Average Net Assets:
Expenses............................... 0.30% 0.32% 0.28% 0.27% 0.26%
Investment income--net................. 5.16% 5.64% 4.03% 3.02% 3.70%
Portfolio turnover rate.................. n/a n/a n/a n/a n/a
Thousands of Accumulation Units
outstanding at end of year............. 218,292 193,181 183,135 174,073 184,768
</TABLE>
<TABLE>
<CAPTION>
BOND MARKET ACCOUNT
---------------------------------------------------------------
FOR THE YEARS ENDED DECEMBER 31,
---------------------------------------------------------------
1996 1995 1994 1993 1992
------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C>
Per Accumulation Unit Data:
Investment income...................... $ 3.039 $ 2.863 $ 2.502 $ 2.348 $ 2.287
Expenses............................... .126 .123 .108 .103 .093
------- ------- ------- ------- -------
Investment income--net................. 2.913 2.740 2.394 2.245 2.194
Net realized and unrealized gain (loss)
on total investments................. (1.600) 3.722 (3.897) 1.606 .056
------- ------- ------- ------- -------
Net increase (decrease) in
Accumulation Unit Value................ 1.313 6.462 (1.503) 3.851 2.250
Accumulation Unit Value:
Beginning of year...................... 42.689 36.227 37.730 33.879 31.629
------- ------- ------- ------- -------
End of year............................ $44.002 $42.689 $36.227 $37.730 $33.879
======= ======= ======= ======= =======
Total return............................. 3.08% 17.84% (3.98%) 11.37% 7.12%
Ratios to Average Net Assets:
Expenses............................... 0.30% 0.31% 0.29% 0.28% 0.29%
Investment income--net................. 6.86% 6.93% 6.54% 6.18% 6.78%
Portfolio turnover rate.................. 145.27% 185.11% 161.46% 139.55% 217.89%
Thousands of Accumulation Units
outstanding at end of year............ 22,611 19,522 14,939 14,698 13,583
</TABLE>
-12-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
NOTE 5--CONDENSED FINANCIAL INFORMATION -(CONTINUED)
<TABLE>
<CAPTION>
SOCIAL CHOICE ACCOUNT
--------------------------------------------------------------
FOR THE YEARS ENDED DECEMBER 31,
--------------------------------------------------------------
1996 1995 1994 1993 1992
------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C>
Per Accumulation Unit Data:
Investment income..................... $ 2.068 $ 1.832 $ 1.621 $ 1.452 $ 1.363
Expenses.............................. .158 .144 .125 .117 .105
------- ------- ------- ------- -------
Investment income--net................. 1.910 1.688 1.496 1.335 1.258
Net realized and unrealized gain (loss)
on total investments................ 5.968 9.863 (2.015) 2.082 2.367
------- ------- ------- ------- -------
Net increase (decrease) in
Accumulation Unit Value............... 7.878 11.551 (.519) 3.417 3.625
Accumulation Unit Value:
Beginning of year..................... 50.712 39.161 39.680 36.263 32.638
------- ------- ------- ------- --------
End of year........................... $58.590 $50.712 $39.161 $ 39.680 $ 36.263
======= ======= ======= ======== ========
Total return............................. 15.53% 29.49% (1.31%) 9.42% 11.11%
Ratios to Average Net Assets:
Expenses.............................. 0.30% 0.32% 0.32% 0.31% 0.33%
Investment income--net................ 3.58% 3.75% 3.80% 3.52% 3.88%
Portfolio turnover rate.................. 40.93% 52.65% 49.06% 39.85% 77.48%
Thousands of Accumulation Units
outstanding at end of year............ 25,841 22,196 18,302 16,790 9,224
</TABLE>
<TABLE>
<CAPTION>
GLOBAL EQUITIES ACCOUNT
--------------------------------------------------------------------
APRIL 1, 1992
(DATE
FOR THE YEARS ENDED DECEMBER 31, ESTABLISHED)
-------------------------------------------------- TO DECEMBER 31,
1996 1995 1994 1993 1992
------ ------ ------ -------- -------------
<S> <C> <C> <C> <C> <C>
Per Accumulation Unit Data:
Investment income..................... $ .751 $ .727 $ .687 $ .487 $ .569
Expenses.............................. .167 .157 .134 .103 .121
------- ------- ------- ------- -------
Investment income--net................ .584 .570 .553 .384 .448
Net realized and unrealized gain (loss)
on total investments................ 7.138 6.618 (.719) 9.021 1.083
------- ------- ------- ------- -------
Net increase (decrease) in
Accumulation Unit Value............... 7.722 7.188 (.166) 9.405 1.531
Accumulation Unit Value:
Beginning of period................... 42.958 35.770 35.936 26.531 25.000
------- ------- ------- ------- -------
End of period......................... $50.680 $42.958 $35.770 $35.936 $26.531
======= ======= ======= ======= =======
Total return............................. 17.98% 20.09% (0.46%) 35.45% 6.12%
Ratios to Average Net Assets:
Expenses.............................. 0.37% 0.40% 0.41% 0.45% 0.40%
Investment income--net................ 1.28% 1.47% 1.71% 1.67% 1.47%
Portfolio turnover rate.................. 88.84% 67.50% 51.63% 16.75% 12.50%
Thousands of Accumulation Units
outstanding at end of period.......... 80,016 70,163 70,700 36,796 8,277
</TABLE>
-13-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
NOTE 5--CONDENSED FINANCIAL INFORMATION -- (CONTINUED)
<TABLE>
<CAPTION>
GROWTH ACCOUNT EQUITY INDEX ACCOUNT
--------------------------------- ----------------------------------
APRIL 4, 1994 APRIL 4, 1994
FOR THE (DATE FOR THE (DATE
YEARS ENDED ESTABLISHED) YEARS ENDED ESTABLISHED)
DECEMBER 31, TO DECEMBER 31, DECEMBER 31, TO DECEMBER 31,
1996 1995 1994 1996 1995 1994
---- ---- -------------- ---- ---- --------------
<S> <C> <C> <C> <C> <C> <C>
Per Accumulation Unit Data:
Investment income..................... $ .484 $ .417 $ .398 $ .773 $ .755 $ .552
Expenses.............................. .119 .114 .084 .106 .100 .072
------- ------- ------- ------- ------- -------
Investment income--net................ .365 .303 .314 .667 .655 .480
Net realized and unrealized gain
on total investments................ 8.638 8.891 .802 6.936 8.703 .393
------- ------- ------- ------- ------- -------
Net increase in
Accumulation Unit Value............... 9.003 9.194 1.116 7.603 9.358 .873
Accumulation Unit Value:
Beginning of period................... 35.310 26.116 25.000 35.231 25.873 25.000
------- ------- ------- ------- ------- -------
End of period......................... $44.313 $35.310 $26.116 $42.834 $35.231 $25.873
======= ======= ======= ======= ======= =======
Total return............................. 25.50% 35.20% 4.46% 21.58% 36.17% 3.49%
Ratios to Average Net Assets:
Expenses.............................. 0.35% 0.43% 0.33% 0.30% 0.34% 0.27%
Investment income--net................ 1.07% 1.13% 1.21% 1.87% 2.22% 1.83%
Portfolio turnover rate.................. 38.51% 24.42% 12.29% 7.85% 8.31% 1.33%
Thousands of Accumulation Units
outstanding at end of period.......... 53,201 32,375 10,446 20,725 10,911 2,716
</TABLE>
NOTE 6--ACCUMULATION UNITS
Changes in the number of Accumulation Units outstanding were as follows:
<TABLE>
<CAPTION>
MONEY MARKET ACCOUNT BOND MARKET ACCOUNT SOCIAL CHOICE ACCOUNT
------------------------- ------------------------ -------------------------
YEARS ENDED DECEMBER 31, YEARS ENDED DECEMBER 31, YEARS ENDED DECEMBER 31,
------------------------- ------------------------ -------------------------
1996 1995 1996 1995 1996 1995
---------- ---------- ---------- ---------- ---------- --------
<S> <C> <C> <C> <C> <C> <C>
Accumulation Units:
Credited for premiums....... 19,834,908 21,164,735 3,106,394 3,036,130 4,247,359 4,283,963
Credited (cancelled) for
transfers, disbursements
and amounts applied to the
Annuity Fund............. 5,275,300 (11,118,465) (17,727) 1,547,736 (601,590) (390,757)
Outstanding:
Beginning of year........ 193,181,428 183,135,158 19,522,467 14,938,601 22,195,567 18,302,361
----------- ----------- ---------- ---------- ---------- ----------
End of year.............. 218,291,636 193,181,428 22,611,134 19,522,467 25,841,336 22,195,567
=========== =========== ========== ========== ========== ==========
</TABLE>
<TABLE>
<CAPTION>
GLOBAL EQUITIES ACCOUNT GROWTH ACCOUNT EQUITY INDEX ACCOUNT
------------------------- ------------------------ -------------------------
YEARS ENDED DECEMBER 31, YEARS ENDED DECEMBER 31, YEARS ENDED DECEMBER 31,
------------------------- ------------------------ -------------------------
1996 1995 1996 1995 1996 1995
---------- --------- ---------- ---------- ---------- --------
<S> <C> <C> <C> <C> <C> <C>
Accumulation Units:
Credited for premiums...... 9,768,800 11,114,439 8,540,579 4,585,987 3,588,285 1,368,448
Credited (cancelled) for
transfers, disbursements
and amounts applied to the
Annuity Fund.............. 84,205 (11,651,582) 12,284,736 17,343,718 6,225,770 6,826,684
Outstanding:
Beginning of year........ 70,162,908 70,700,051 32,375,238 10,445,533 10,910,656 2,715,524
---------- ---------- ---------- ---------- ---------- ----------
End of year.............. 80,015,913 70,162,908 53,200,553 32,375,238 20,724,711 10,910,656
========== ========== ========== ========== ========== ==========
</TABLE>
-14-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENT OF INVESTMENTS--MONEY MARKET ACCOUNT
DECEMBER 31, 1996
SUMMARY
VALUE %
-------- -----
SHORT TERM INVESTMENTS
BANK NOTES ................................ $ 140,440,192 3.77%
BANKERS ACCEPTANCES ....................... 48,558,884 1.30
CERTIFICATES OF DEPOSIT ................... 446,921,695 11.98
COMMERCIAL PAPER .......................... 2,210,088,798 59.26
EURO CERTIFICATES OF DEPOSIT .............. 74,954,265 2.01
MEDIUM TERM BONDS/NOTES ................... 67,266,665 1.80
U.S. GOVERNMENTS & AGENCIES ............... 157,914,810 4.23
VARIABLE RATE NOTES ....................... 564,831,673 15.15
-------------- ------
TOTAL SHORT TERM INVESTMENTS
(Cost $3,712,248,621) ...................... 3,710,976,982 99.50
-------------- ------
ROUNDING ................................. 67 0.00
-------------- ------
TOTAL PORTFOLIO
(Cost $3,712,248,621) ...................... 3,710,977,049 99.50
OTHER ASSETS & LIABILITIES, NET .......... 18,736,281 0.50
-------------- ------
NET ASSETS .................................. $3,729,713,330 100.00%
============== ======
---------------------------------------
PAR
VALUE VALUE
--------- --------
SHORT TERM INVESTMENTS--99.50%
BANK NOTES--3.77%
BANK OF BOSTON
$14,800,000 5.530%, 01/30/97 ............. $ 14,800,014
BANK OF NEW YORK
10,000,000 5.500%, 03/12/97 ............. 9,994,976
FCC NATIONAL BANK
15,000,000 5.550%, 02/20/97 ............. 14,997,250
10,000,000 5.080%, 02/24/97 ............. 9,988,851
25,000,000 5.080%, 02/24/97 ............. 24,972,146
25,000,000 5.540%, 02/24/97 ............. 24,994,377
NATIONSBANK OF TEXAS
25,000,000 5.350%, 02/06/97 ............. 24,994,805
NATIONSBANK SOUTH
15,700,000 5.350%, 02/03/97 ............. 15,697,773
-------------
140,440,192
-------------
BANKERS ACCEPTANCES--1.30%
BANK OF NEW YORK
16,000,000 5.400%, 02/03/97 ............. 15,920,523
CITIBANK, N.A.
8,000,000 5.490%, 01/15/97 ............. 7,983,236
NATIONSBANK SOUTH
25,000,000 5.305%, 04/03/97 ............. 24,655,125
-------------
48,558,884
-------------
CERTIFICATES OF DEPOSIT--11.98%
ABN AMRO BANK NV
15,000,000 5.350%, 02/25/97 ............. 14,994,348
BANK OF NOVA SCOTIA
2,000,000 5.380%, 01/22/97 ............. 1,999,994
25,000,000 5.610%, 02/10/97 ............. 25,002,291
BANKERS TRUST NEW YORK CORP
25,000,000 5.640%, 12/05/97 ............. 24,968,165
BARCLAYS BANK, PLC
50,000,000 5.540%, 01/27/97 ............. 50,004,688
CANADIAN IMPERIAL BANK OF COMMERCE
25,000,000 5.650%, 02/11/97 ............ 25,003,454
COMMERZBANK
20,000,000 5.660%, 04/24/97 ............. 19,999,038
25,000,000 5.410%, 06/04/97 ............. 24,989,245
DEUTSCHE BANK
25,000,000 5.400%, 06/03/97 ............. 24,988,357
DRESDNER BANK
19,500,000 5.500%, 02/20/97 ............. 19,497,136
30,000,000 5.400%, 04/09/97 ............. 29,993,724
FIRST ALABAMA BANK
10,000,000 5.390%, 01/15/97 ............. 9,999,986
5,000,000 5.430%, 05/06/97 ............. 4,998,375
5,000,000 5.400%, 05/19/97 ............. 4,997,819
MORGAN GUARANTY TRUST CO
45,000,000 5.380%, 02/04/97 ............. 44,998,140
NATIONAL WESTMINSTER BANK PLC
24,000,000 5.410%, 01/21/97 ............. 24,000,336
RABOBANK
24,000,000 5.560%, 03/03/97 ............. 24,001,401
25,000,000 5.500%, 12/05/97 ............. 24,936,832
ROYAL BANK OF CANADA
25,000,000 5.580%, 01/27/97 ............. 25,002,944
SOCIETE GENERALE
6,500,000 5.620%, 03/25/97 ............. 6,501,309
16,000,000 6.130%, 09/12/97 ............. 16,044,113
-------------
446,921,695
-------------
COMMERCIAL PAPER--59.26%
ABBEY NATIONAL TREASURY SERVICES
19,000,000 5.450%, 03/26/97 ............. 18,745,637
AIR PRODUCTS & CHEMICALS, INC
25,000,000 5.450%, 01/17/97 ............. 24,939,444
27,000,000 5.310%, 01/21/97 ............. 26,917,192
11,215,000 5.600%, 02/07/97 ............. 11,150,451
AMERICAN BRANDS, INC
20,000,000 # 5.320%, 01/28/97 ............. 19,917,320
20,000,000 5.320%, 02/18/97 ............. 19,847,635
10,000,000 # 5.300%, 03/05/97 ............. 9,897,422
25,000,000 5.300%, 04/15/97 ............. 24,601,145
25,000,000 5.300%, 04/21/97 ............. 24,578,355
AMERICAN HOME PRODUCTS
25,000,000 # 5.330%, 02/26/97 ............. 24,771,872
ASSET SECURITIZATION
COOPERATIVE CORP
18,000,000 # 5.320%, 01/23/97 ............. 17,939,822
10,000,000 # 5.300%, 01/24/97 ............. 9,965,037
1,000,000 5.310%, 01/29/97 ............. 995,650
25,000,000 5.310%, 01/30/97 ............. 24,887,308
27,000,000 5.320%, 01/31/97 ............. 26,874,052
20,000,000 5.300%, 02/20/97 ............. 19,840,990
ASSOCIATES CORP OF NORTH AMERICA
25,000,000 5.310%, 02/10/97 ............. 24,843,546
22,800,000 5.280%, 05/01/97 ............. 22,380,815
BANKERS TRUST NEW YORK CORP
25,000,000 5.500%, 01/29/97 ............. 24,891,273
BENEFICIAL CORP
24,555,000 5.390%, 02/25/97 ............. 24,339,510
BETA FINANCE CORP
19,000,000 # 5.300%, 02/14/97 ............. 18,870,481
CANADIAN IMPERIAL HOLDINGS, INC
5,000,000 5.420%, 01/06/97 ............. 4,996,236
See notes to financial statements.
-15-
<PAGE>
PAR
VALUE VALUE
--------- --------
COMMERCIAL PAPER--(CONTINUED)
$ 9,000,000 5.291%, 01/06/97 ............. $ 8,993,099
16,000,000 5.300%, 02/13/97 ............. 15,893,467
CATERPILLAR FINANCIAL SERVICES
12,000,000 CORP 5.300%, 01/28/97 ......... 11,950,378
CIESCO LP
25,000,000 5.300%, 01/22/97 ............. 24,920,234
25,000,000 5.290%, 02/05/97 ............. 24,866,562
25,000,000 # 5.300%, 02/14/97 ............. 24,829,581
23,500,000 5.300%, 03/14/97 ............. 23,225,042
CIT GROUP HOLDINGS, INC
11,900,000 5.280%, 03/12/97 ............. 11,764,581
25,000,000 5.400%, 03/27/97 ............. 24,661,375
37,987,000 5.290%, 05/30/97 ............. 37,121,211
20,500,000 5.310%, 06/20/97 ............. 19,963,463
CORPORATE ASSET FUNDING CORP, INC
25,000,000 5.520%, 02/11/97 ............. 24,842,833
50,000,000 5.300%, 02/13/97 ............. 49,667,087
9,000,000 # 5.270%, 03/06/97 ............. 8,906,237
CREDIT SUISSE FINANCIAL SERVICES,
25,000,000 INC 5.460%, 01/21/97 .......... 24,923,326
DEERE & CO
9,000,000 5.320%, 01/24/97 ............. 8,969,410
DUPONT (E.I.) DE NEMOURS & CO
14,600,000 5.300%, 02/12/97 ............. 14,505,101
17,000,000 5.400%, 02/12/97 ............. 16,892,900
15,000,000 # 5.275%, 02/13/97 ............. 14,900,118
3,025,000 5.370%, 03/26/97 ............. 2,984,502
25,000,000 5.260%, 05/09/97 ............. 24,509,980
24,900,000 # 5.260%, 05/23/97 ............. 24,358,970
FORD MOTOR CREDIT CO
25,000,000 5.950%, 01/03/97 ............. 24,991,736
25,300,000 5.320%, 02/10/97 ............. 25,141,669
GENERAL ELECTRIC CAPITAL CORP
18,000,000 5.310%, 01/21/97 ............. 17,944,795
28,000,000 5.290%, 01/29/97 ............. 27,878,226
GENERAL MOTORS ACCEPTANCE CORP
11,250,000 5.320%, 01/27/97 ............. 11,205,228
24,800,000 5.340%, 02/03/97 ............. 24,675,928
20,000,000 5.620%, 02/03/97 ............. 19,899,908
9,260,000 5.330%, 05/13/97 ............. 9,072,868
10,000,000 5.330%, 06/02/97 ............. 9,765,825
25,000,000 5.300%, 06/03/97 ............. 24,410,735
GENERAL SIGNAL CORP
10,000,000 # 5.320%, 01/15/97 ............. 9,978,650
18,300,000 5.320%, 01/16/97 ............. 18,258,128
GOLDMAN SACHS GROUP, LP
12,000,000 5.420%, 02/05/97 ............. 11,936,766
11,000,000 5.350%, 02/21/97 ............. 10,910,751
30,000,000 5.300%, 03/11/97 ............. 29,663,418
30,000,000 5.320%, 05/29/97 ............. 29,320,809
17,000,000 5.320%, 05/30/97 ............. 16,612,541
HEINZ (H.J.) CO
18,000,000 5.420%, 02/05/97 ............. 17,905,150
HERTZ CORP
20,000,000 5.500%, 01/03/97 ............. 19,993,888
HOUSEHOLD FINANCE CORP
22,000,000 5.310%, 01/31/97 ............. 21,897,370
40,000,000 5.390%, 02/26/97 ............. 39,638,157
13,000,000 5.400%, 03/26/97 ............. 12,825,962
IBM CORP
25,000,000 5.320%, 01/17/97 ............. 24,939,553
IBM CREDIT CORP
12,200,000 5.310%, 01/28/97 ............. 12,149,563
25,000,000 5.310%, 02/06/97 ............. 24,862,712
34,000,000 5.310%, 02/28/97 ............. 33,680,700
JOHN DEERE CAPITAL CORP
50,000,000 5.300%, 01/24/97 ............. 49,825,189
MCI COMMUNICATIONS CORP
17,400,000 5.280%, 03/18/97 ............. 17,188,981
25,000,000 # 5.310%, 06/10/97 ............. 24,383,952
MCKENNA TRIANGLE NATIONAL CORP
12,000,000 5.300%, 01/06/97 ............. 11,990,799
25,000,000 # 5.310%, 01/15/97 ............. 24,947,119
15,000,000 5.310%, 01/21/97 ............. 14,953,996
13,800,000 # 5.310%, 01/23/97 ............. 13,753,862
10,000,000 5.280%, 02/13/97 ............. 9,933,413
19,000,000 5.280%, 02/20/97 ............. 18,848,923
MERRILL LYNCH & CO, INC
25,000,000 5.330%, 01/24/97 ............. 24,912,610
50,000,000 5.440%, 02/10/97 ............. 49,687,093
14,400,000 5.400%, 02/28/97 ............. 14,264,836
10,000,000 5.300%, 04/02/97 ............. 9,860,211
MORGAN (J.P.) & CO
21,000,000 5.350%, 03/17/97 ............. 20,748,630
29,000,000 5.320%, 03/18/97 ............. 28,648,302
MORGAN STANLEY GROUP, INC
11,000,000 5.480%, 01/16/97 ............. 10,975,080
25,000,000 5.550%, 02/10/97 ............. 24,843,546
NATIONAL RURAL UTILITIES
COOPERATIVE FINANCE
35,000,000 5.310%, 01/30/97 ............. 34,842,257
6,900,000 5.300%, 02/11/97 ............. 6,856,298
30,000,000 5.320%, 03/25/97 ............. 29,603,100
NATIONSBANK CORP
25,000,000 5.310%, 01/23/97 ............. 24,916,417
13,000,000 5.290%, 01/28/97 ............. 12,946,253
PFIZER, INC
17,500,000 5.300%, 03/12/97 ............. 17,300,855
PHILIP MORRIS COS, INC
18,100,000 5.320%, 01/13/97 ............. 18,066,938
14,000,000 5.300%, 01/24/97 ............. 13,951,052
PROCTOR & GAMBLE
25,000,000 5.270%, 02/20/97 ............. 24,801,176
PROVINCE OF ONTARIO
20,350,000 5.300%, 01/15/97 ............. 20,306,954
25,000,000 5.428%, 03/26/97 ............. 24,665,312
SCHERING CORP
31,350,000 5.400%, 02/27/97 ............. 31,061,076
SEARS ROEBUCK ACCEPTANCE CORP
8,900,000 5.300%, 01/13/97 ............. 8,883,742
29,000,000 5.330%, 02/05/97 ............. 28,845,212
SOUTHERN CALIFORNIA GAS CO
20,558,000 # 5.270%, 06/05/97 ............. 20,067,142
THE STANLEY WORKS
7,000,000 5.360%, 03/19/97 ............. 6,914,005
TORONTO DOMINION HOLDINGS (U.S.)
13,500,000 5.300%, 04/15/97 ............. 13,284,618
WALT DISNEY CO
20,000,000 # 5.220%, 01/13/97 ............. 19,963,467
12,000,000 5.400%, 01/14/97 ............. 11,976,342
25,000,000 5.500%, 02/18/97 ............. 24,809,543
XEROX CORP
24,500,000 5.300%, 01/13/97 ............. 24,455,247
XEROX CREDIT CORP
7,000,000 5.300%, 01/10/97 ............. 6,990,386
15,500,000 5.450%, 02/07/97 ............. 15,413,178
-------------
2,210,088,798
-------------
See notes to financial statements.
-16-
<PAGE>
PAR
VALUE VALUE
--------- --------
EURO CERTIFICATES OF DEPOSIT--2.01%
ABBEY NATIONAL TREASURY SERVICES
25,000,000 5.500%, 03/11/97 ............. $ 24,990,630
25,000,000 5.420%, 05/19/97 ............. 24,990,975
MORGAN GUARANTY TRUST CO
$25,000,000 5.080%, 02/28/97 ............. 24,972,660
-------------
74,954,265
-------------
MEDIUM TERM BONDS/NOTES --1.80%
ABBEY NATIONAL TREASURY SERVICES
30,000,000 5.045%, 03/03/97 ............. 29,964,122
GENERAL ELECTRIC CAPITAL CORP
20,000,000 5.200%, 01/17/97 ............. 19,997,331
MORGAN STANLEY GROUP, INC
8,150,000 7.790%, 02/03/97 ............. 8,163,447
PITNEY BOWES CREDIT CORP
9,150,000 5.625%, 02/15/97 ............. 9,141,765
-------------
67,266,665
-------------
U.S. GOVERNMENTS & AGENCIES--4.23%
FEDERAL HOME LOAN
MORTGAGE CORP (FHLMC)
30,000,000 5.380%, 01/31/97 ............. 29,865,499
2,450,000 5.220%, 02/14/97 ............. 2,434,139
20,000,000 5.370%, 03/18/97 ............. 19,772,422
26,100,000 5.370%, 03/27/97 ............. 25,768,297
50,000,000 5.320%, 04/01/97 ............. 49,327,610
FEDERAL NATIONAL
MORTGAGE ASSOCIATION (FNMA)
6,000,000 5.450%, 03/17/97 ............. 5,932,613
INTERNATIONAL BANK
FOR RECONSTRUCTION
25,000,000 5.500%, 02/20/97 ............. 24,814,230
-------------
157,914,810
-------------
VARIABLE RATE NOTES--15.15%
AMERICAN EXPRESS CENTURION BANK
25,000,000 5.353%, 10/15/97 ............. 24,995,000
30,000,000 5.558%, 11/13/97 ............. 29,991,000
25,000,000 5.558%, 11/17/97 ............. 24,992,500
BANC ONE, DAYTON, N.A.
15,000,000 5.330%, 01/27/97 ............. 14,999,350
BANC ONE, MILWAUKEE, N.A.
15,000,000 5.610%, 05/14/97 ............. 14,988,000
BANK ONE OF COLUMBUS, N.A.
25,000,000 5.330%, 09/24/97 ............. 24,980,000
BANKERS TRUST NEW YORK CORP
25,000,000 5.650%, 08/18/97 ............. 24,990,000
25,000,000 5.630%, 12/10/97 ............. 24,995,000
BENEFICIAL CORP
25,000,000 5.586%, 03/05/97 ............. 25,000,000
BETA FINANCE CORP
25,000,000 5.342%, 05/15/97 ............. 24,995,000
CORESTATES BANK N.A./PHILADELPHIA
NATIONAL BANK
12,000,000 5.532%, 12/03/97 ............. 11,997,600
FCC NATIONAL BANK
25,000,000 5.360%, 01/27/97 ............. 24,998,916
FIRST UNION NATIONAL BANK,
20,000,000 CHARLOTTE 5.615%, 12/19/97 ... 19,996,000
FORD MOTOR CREDIT CO
10,000,000 5.943%, 02/03/97 ............. 10,005,500
GENERAL ELECTRIC CAPITAL CORP
34,000,000 5.468%, 07/08/97 ............. 33,989,800
HOUSEHOLD FINANCE CORP
25,000,000 5.480%, 05/23/97 ............. 24,995,000
MORGAN STANLEY GROUP, INC
50,000,000 5.522%, 08/29/97 ............. 49,960,000
NATIONS BANK OF TEXAS
23,000,000 5.730%, 01/09/98 ............. 23,013,800
PNC BANK, NA
25,000,000 5.517%, 11/25/97 ............. 24,975,000
SEARS ROEBUCK ACCEPTANCE CORP
12,000,000 5.375%, 03/25/97 ............. 12,004,800
SOCIETY NATIONAL BANK, CLEVELAND
25,000,000 5.314%, 02/14/97 ............. 24,987,166
SOUTHTRUST BANK OF ALABAMA
25,000,000 5.547%, 01/08/97 ............. 24,998,541
25,000,000 5.440%, 05/22/97 ............. 24,987,500
XEROX CREDIT CORP
19,000,000 5.730%, 03/10/97 ............. 18,996,200
-------------
564,831,673
-------------
TOTAL SHORT TERM INVESTMENTS
(Cost $3,712,248,621)............. 3,710,976,982
-------------
ROUNDING........................ 67
-------------
TOTAL PORTFOLIO
(Cost $3,712,248,621)... $3,710,977,049
==============
# 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.
-17-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENT OF INVESTMENTS--BOND MARKET ACCOUNT
DECEMBER 31, 1996
SUMMARY
VALUE %
----- ------
BONDS
CORPORATE BONDS
AIR TRANSPORTATION .......................... $ 14,244,704 1.42%
AUTOMOTIVE & RELATED ........................ 15,271,777 1.53
BANKS ....................................... 48,317,545 4.83
BROADCASTERS ................................ 7,345,033 0.73
BUSINESS SERVICES ........................... 4,783,120 0.48
CHEMICALS--MAJOR ............................ 3,221,070 0.32
FINANCIAL--MISCELLANEOUS .................... 40,319,043 4.03
HEALTHCARE--DRUGS ........................... 4,779,530 0.48
HEALTHCARE--HOSPITAL SUPPLY ................. 9,947,098 0.99
INSURANCE--LIFE ............................. 2,934,300 0.29
INSURANCE--MULTI-LINE,
PROPERTY & CASUALTY ....................... 7,788,380 0.78
METALS--GOLD ................................ 4,879,744 0.49
METALS--STEEL ............................... 2,863,830 0.29
PAPER ....................................... 6,019,770 0.60
RETAIL--GENERAL MERCHANDISE ................. 3,258,690 0.33
TOBACCO ..................................... 7,611,300 0.76
UTILITIES--ELECTRIC ......................... 14,318,114 1.43
UTILITIES--GAS & PIPELINE ................... 12,847,965 1.29
UTILITIES--TELEPHONE ........................ 10,036,150 1.00
-------------- ------
TOTAL CORPORATE BONDS
(Cost $216,805,141) .......................... 220,787,163 22.07
-------------- ------
GOVERNMENT BONDS
AGENCY SECURITIES ........................... 13,134,060 1.31
FOREIGN GOVERNMENT BONDS ................... 8,693,000 0.87
MORTGAGE BACKED SECURITIES ................. 302,785,808 30.28
U.S. GOVERNMENT BONDS ...................... 2,307,021 0.23
U.S. TREASURY SECURITIES ................... 431,338,720 43.12
-------------- ------
TOTAL GOVERNMENT BONDS
(Cost $761,077,407) .......................... 758,258,609 75.81
-------------- ------
TOTAL BONDS
(Cost $977,882,548) .......................... 979,045,772 97.88
-------------- ------
SHORT TERM INVESTMENTS
COMMERCIAL PAPER ............................ 6,590,611 0.66
-------------- ------
TOTAL SHORT TERM INVESTMENTS
(Cost $6,592,557) ............................ 6,590,611 0.66
-------------- ------
ROUNDING ................................... 64 0.00
-------------- ------
TOTAL PORTFOLIO
(Cost $984,475,105) .......................... 985,636,447 98.54
OTHER ASSETS & LIABILITIES, NET ............ 14,596,965 1.46
-------------- ------
NET ASSETS .................................... $1,000,233,412 100.00%
============== ======
-------------------------------------------
PAR
VALUE VALUE
------- -------
BONDS--97.88%
CORPORATE BONDS--22.07%
AIR TRANSPORTATION--1.42%
DELTA AIRLINES, INC NOTE
$ 5,100,000 9.875%, 01/01/98 ................ $ 5,277,072
DELTA FUNDING HOME EQUITY LOAN
TRUST SERIES 1996-1
(ASSET BACKED CERT)
5,000,000 6.525%, 10/25/11 ................ 4,970,312
FEDERAL EXPRESS CORP NOTE
4,000,000 6.250%, 04/15/98 ................ 3,997,320
------------
14,244,704
------------
AUTOMOTIVE & RELATED--1.53%
DAIMLER BENZ VEHICLE TRUST SERIES
1996-A (ASSET BACKED CERT)
9,590,710 5.850%, 07/20/03 ................ 9,572,727
GENERAL MOTORS CORP NOTE
5,000,000 8.800%, 03/01/21 ................ 5,699,050
------------
15,271,777
------------
BANKS--4.83%
ABBEY NATIONAL PLC
(SUBORDINATED NOTE)
3,000,000 6.690%, 10/17/05 ................ 2,946,930
BANKERS TRUST NEW YORK CORP NOTE
3,000,000 6.625%, 07/30/99 ................ 3,021,240
CAPITAL ONE BANK NOTE
5,000,000 8.125%, 03/01/00 ................ 5,196,200
CHASE MANHATTAN GRANTOR TRUST
SERIES 1996-B (CLASS A)
4,572,638 6.610%, 09/15/02 ................ 4,604,052
CHASE MANHATTAN CREDIT CARD MASTER
TRUST SERIES 1996-4
(ASSET BACKED CERT)
5,000,000 6.730%, 02/15/03 ................ 5,068,750
HOUSEHOLD INTERNATIONAL
NETHERLANDS (SR NOTE)
3,000,000 6.125%, 03/01/03 ................ 2,902,140
MONEY STORE TRUST SERIES 1996-D
(ASSET BACKED CERT)
5,000,000 7.000%, 04/15/28 ................ 4,968,750
NATIONSBANK CORP (SR NOTE)
5,000,000 7.000%, 09/15/01 ................ 5,065,550
NATIONSBANK CREDIT CARD MASTER
TRUST SERIES 1993-2 (CLASS A)
5,000,000 6.000%, 12/15/05 ................ 4,829,650
NATIONSBANK AUTO GRANTOR TRUST
SERIES 1995-A (ASSET BACKED CERT)
1,670,907 5.850%, 06/15/02 ................ 1,668,283
See notes to financial statements.
-18-
<PAGE>
PAR
VALUE VALUE
----- -----
BANKS--(Continued)
^PNC INSTITUTIONAL CAPITAL TRUST
SERIES A 144A
$ 3,000,000 7.950%, 12/15/26 ................ $ 2,959,300
SOCIETE GENERALE - NEW YORK
(SUBORDINATED NOTE)
5,000,000 7.400%, 06/01/06 ................ 5,086,700
------------
48,317,545
------------
BROADCASTERS--0.73%
BLOCKBUSTER ENTERTAINMENT CORP
(SR NOTE)
2,000,000 6.625%, 02/15/98 ................ 2,000,100
CONTINENTAL CABLEVISION (SR NOTE)
5,000,000 8.300%, 05/15/06 ................ 5,344,933
------------
7,345,033
------------
BUSINESS SERVICES--0.48%
FLEETWOOD CREDIT CORP GRANTOR
TRUST SERIES 1996-B (CLASS A)
4,738,526 6.900%, 03/15/12 ................ 4,783,120
------------
CHEMICALS--MAJOR--0.32%
METHANEX CORP (SR SECURED NOTE)
3,000,000 8.875%, 11/15/01 ................ 3,221,070
------------
FINANCIAL--MISCELLANEOUS--4.03%
ARISTAR, INC (SR SECURED NOTE)
3,000,000 6.300%, 07/15/00 ................ 2,970,060
ASSOCIATES CORP N.A.
(SR SECURED NOTE)
5,000,000 6.375%, 08/15/99 ................ 5,002,150
CHEVY CHASE MASTER CREDIT CARD
TRUST SERIES 1994-1
(ASSET BACKED CERT)
3,000,000 7.150%, 05/15/15 ................ 3,025,312
CIT GROUP HOLDINGS, INC
(MEDIUM TERM SR NOTE)
5,000,000 5.875%, 12/15/98 ................ 4,979,397
CITICORP MORTGAGE SECURITIES, INC
SERIES 88-6 (CLASS A-3)
309,861 7.250%, 11/01/11 ................ 306,762
FDIC REMIC TRUST SERIES 1996-C1
(COMMERCIAL MTGE PASS-THRU)
5,400,000 5.956%, 11/25/26 ................ 5,400,000
HIGHWOODS/FORSYTH LTD
PARTNERSHIP NOTE
5,000,000 7.000%, 12/01/06 ................ 4,870,350
LEHMAN BROTHERS HOLDINGS
(MEDIUM TERM NOTE)
5,000,000 7.850%, 05/11/98 ................ 5,106,550
MORTGAGE CAPITAL FUNDING, INC
SERIES 96 MC-2 (MTGE PASS-THRU)
5,000,000 7.008%, 09/20/06 ................ 4,989,062
SUN AMERICA, INC NOTE
3,500,000 9.000%, 01/15/99 ................ 3,669,400
------------
40,319,043
------------
HEALTHCARE--DRUGS--0.48%
GLAXO WELLCOME PLC NOTE
5,000,000 6.125%, 01/25/06 ................ 4,779,530
------------
HEALTHCARE--HOSPITAL SUPPLY--0.99%
COLUMBIA/HCA HEALTHCARE CORP NOTE
5,000,000 6.500%, 03/15/99 ................ 5,023,850
4,400,000 8.360%, 04/15/24 ................ 4,923,248
------------
9,947,098
------------
INSURANCE--LIFE--0.29%
^PHOENIX HOME LIFE MUTUAL
INSURANCE CO NOTE 144A
3,000,000 6.950%, 12/01/06 ................ 2,934,300
------------
INSURANCE--MULTI-LINE,
PROPERTY & CASUALTY--0.78%
GATX CAPITAL CORP
(MEDIUM TERM NOTE)
5,000,000 6.875%, 12/15/06 ................ 4,903,700
TRAVELERS CAPITAL CORP DEB
3,000,000 7.750%, 12/01/36 ................ 2,884,680
------------
7,788,380
------------
METALS--GOLD--0.49%
FREEPORT-MCMORAN COPPER &
GOLD, INC (SR NOTE)
5,000,000 7.200%, 11/15/26 ................ 4,879,744
------------
METALS--STEEL--0.29%
COMINCO LTD (MEDIUM TERM NOTE)
3,000,000 6.875%, 02/15/06 ................ 2,863,830
------------
PAPER--0.60%
CHAMPION INTERNATIONAL CORP NOTE
3,000,000 7.700%, 12/15/99 ................ 3,096,450
SMURFIT CAPITAL FUNDING PLC
(GUARANTEED NOTE)
3,000,000 6.750%, 11/20/05 ................ 2,923,320
------------
6,019,770
------------
<PAGE>
RETAIL--GENERAL MERCHANDISE--0.33%
FEDERATED DEPARTMENT
STORES, INC (SR NOTE)
3,000,000 10.000%, 02/15/01 ................ 3,258,690
------------
TOBACCO--0.76%
PHILIP MORRIS COS, INC NOTE
2,500,000 8.750%, 06/15/97 ................ 2,531,600
5,000,000 7.250%, 09/15/01 ................ 5,079,700
------------
7,611,300
------------
UTILITIES--ELECTRIC--1.43%
EL PASO ELECTRIC CO (FIRST MTGE BOND)
1,000,000 7.250%, 02/01/99 ................ 997,540
^ISRAEL ELECTRIC CORP LTD NOTE
5,000,000 7.875%, 12/15/26 ................ 4,974,094
PHILADELPHIA ELECTRIC CO
(FIRST & REFUNDING MTGE BD)
5,000,000 9.250%, 10/01/99 ................ 5,351,962
^PSI ENERGY TRUST SERIES 1996-1
(PASS-THRU ASSET)
3,000,000 6.250%, 12/15/98 ................ 2,994,518
------------
14,318,114
------------
See notes to financial statements.
-19-
<PAGE>
PAR
VALUE VALUE
----- -----
UTILITIES--GAS & PIPELINE--1.29%
BURLINGTON RESOURCES, INC NOTE
$ 3,250,000 7.150%, 05/01/99 ................ $ 3,304,600
EL PASO NATURAL GAS DEB
4,500,000 7.500%, 11/15/26 ................ 4,503,015
^PETROLIAM NASIONAL BERHAD NOTE
5,000,000 7.625%, 10/15/26 ................ 5,040,350
------------
12,847,965
------------
UTILITIES--TELEPHONE--1.00%
^TELEKOM MALAYSIA BERHAD NOTE
5,000,000 7.125%, 08/01/05 ................ 5,019,600
^TOTAL ACCESS COMMUNICATION
PUBLIC LTD BOND 144A
5,000,000 8.375%, 11/04/06 ................ 5,016,550
------------
10,036,150
------------
TOTAL CORPORATE BONDS
(Cost $216,805,141) ................. 220,787,163
------------
GOVERNMENT BONDS--75.81%
AGENCY SECURITIES--1.31%
FEDERAL FARM CREDIT BANK
5,000,000 6.440%, 11/05/99 ................ 4,996,100
FEDERAL NATIONAL MORTGAGE
ASSOCIATION (FNMA)
3,000,000 8.250%, 12/18/00 ................ 3,204,360
5,000,000 6.850%, 09/12/05 ................ 4,933,600
------------
13,134,060
------------
FOREIGN GOVERNMENT BONDS--0.87%
INTERMEDIATE AMERICAN
DEVELOPMENT BANK BOND
5,000,000 8.400%, 09/01/09 ................ 5,706,650
PROVINCE OF ONTARIO NOTE
3,000,000 6.125%, 06/28/00 ................ 2,986,350
------------
8,693,000
------------
MORTGAGE BACKED SECURITIES--30.28%
FEDERAL HOME LOAN
MORTGAGE CORP (FHLMC)
4,423,247 5.500%, 09/01/00 ................ 4,308,507
935,349 7.000%, 09/01/10 ................ 936,125
1,959,959 7.000%, 03/01/11 ................ 1,961,585
6,840,728 6.000%, 04/01/11 ................ 6,609,853
4,913,573 7.000%, 07/01/11 ................ 4,910,477
4,934,510 7.000%, 11/01/11 ................ 4,931,401
419,890 8.000%, 03/01/23 ................ 431,432
643,029 8.000%, 04/01/23 ................ 660,705
3,496,255 7.000%, 05/01/23 ................ 3,448,181
5,567,016 7.500%, 05/01/24 ................ 5,591,343
1,027,534 8.000%, 07/01/24 ................ 1,049,687
1,084,151 8.000%, 10/01/24 ................ 1,109,390
594,549 8.000%, 01/01/25 ................ 608,390
1,848,971 8.000%, 06/01/25 ................ 1,890,409
958,896 8.000%, 11/01/25 ................ 981,219
9,732,896 7.500%, 12/01/25 ................ 9,754,113
4,754,392 6.500%, 12/01/25 ................ 4,550,856
922,343 8.000%, 12/01/25 ................ 941,223
1,012,405 8.000%, 01/01/26 ................ 1,033,128
9,866,158 7.000%, 01/01/26 ................ 9,681,167
1,976,218 8.000%, 04/01/26 ................ 2,016,671
5,006,528 6.500%, 04/01/26 ................ 4,792,198
FEDERAL NATIONAL
MORTGAGE ASSOCIATION (FNMA)
4,130,473 7.500%, 08/01/01 ................ 4,191,108
4,616,618 6.000%, 12/01/02 ................ 4,508,404
4,363,628 7.000%, 04/01/09 ................ 4,376,326
17,066,541 6.500%, 05/01/09 ................ 16,871,811
4,135,547 7.500%, 11/01/10 ................ 4,198,200
1,945,512 7.000%, 05/01/11 ................ 1,945,113
3,475,953 8.000%, 06/01/11 ................ 3,575,885
971,104 8.000%, 07/01/11 ................ 999,023
1,993,291 6.500%, 02/01/16 ................ 1,925,877
991,185 6.500%, 03/01/16 ................ 957,663
1,980,172 6.500%, 04/01/16 ................ 1,914,568
1,249,471 9.000%, 02/01/25 ................ 1,320,141
1,988,871 9.000%, 03/01/25 ................ 2,099,790
3,928,936 8.500%, 05/01/25 ................ 4,081,182
5,823,121 8.000%, 06/01/25 ................ 5,937,778
896,519 8.000%, 07/01/25 ................ 914,171
5,616,163 8.500%, 08/01/25 ................ 5,821,489
1,883,317 6.500%, 09/01/25 ................ 1,798,567
12,277,639 7.000%, 09/01/25 ................ 12,012,810
920,435 7.000%, 10/01/25 ................ 900,581
2,763,015 7.000%, 11/01/25 ................ 2,703,415
944,696 7.000%, 12/01/25 ................ 924,318
7,660,933 6.500%, 12/01/25 ................ 7,316,189
1,896,768 8.000%, 12/01/25 ................ 1,934,114
2,425,568 8.000%, 01/01/26 ................ 2,473,326
4,892,045 7.000%, 04/01/26 ................ 4,783,490
5,026,170 7.000%, 07/01/26 ................ 4,914,639
4,979,203 7.500%, 07/01/26 ................ 4,976,066
5,026,019 7.000%, 09/01/26 ................ 4,914,491
See notes to financial statements.
-20-
<PAGE>
PAR
VALUE VALUE
----- -----
MORTGAGE BACKED SECURITIES--(Continued)
GOVERNMENT NATIONAL
MORTGAGE ASSOCIATION (GNMA)
$ 680,293 8.500%, 10/15/09 ................ $ 711,327
1,366,672 8.500%, 12/15/09 ................ 1,429,018
5,170,612 9.000%, 12/15/09 ................ 5,421,024
1,362,732 8.500%, 01/15/10 ................ 1,424,899
236,413 9.000%, 06/15/16 ................ 253,486
319,865 9.000%, 08/15/16 ................ 342,965
826,654 9.000%, 09/15/16 ................ 886,515
276,853 9.000%, 10/15/16 ................ 297,007
206,103 9.000%, 11/15/16 ................ 220,987
3,275,010 9.500%, 12/15/16 ................ 3,557,479
765,010 9.000%, 12/15/16 ................ 820,702
285,682 9.000%, 07/15/17 ................ 306,145
284,604 9.000%, 06/15/20 ................ 303,544
4,959,623 6.500%, 03/20/22 ................ 5,054,153
7,058,904 6.500%, 09/15/23 ................ 6,774,359
4,610,460 6.500%, 01/15/24 ................ 4,424,612
18,310,577 7.000%, 02/15/24 ................ 17,990,141
2,734,363 6.500%, 03/15/24 ................ 2,620,722
4,164,748 8.000%, 06/15/24 ................ 4,255,831
5,532,315 6.500%, 09/15/24 ................ 5,302,391
559,660 8.500%, 11/15/24 ................ 581,341
5,766,214 9.000%, 01/15/25 ................ 6,093,596
667,560 8.500%, 04/15/25 ................ 693,421
247,380 8.500%, 05/15/25 ................ 256,577
5,183,225 8.500%, 06/15/25 ................ 5,377,277
1,775,064 8.000%, 06/15/25 ................ 1,812,216
2,669,765 8.000%, 08/15/25 ................ 2,725,643
12,670,793 7.500%, 12/15/25 ................ 12,682,576
1,938,131 7.000%, 12/15/25 ................ 1,896,945
19,999,914 7.500%, 05/15/26 ................ 20,006,113
RESOLUTION TRUST CORP SERIES 1992-8
(CLASS A-2) (MTGE PASS-THROUGH CERT)
776,774 8.250%, 12/25/26 ................ 774,201
------------
302,785,808
------------
U.S. GOVERNMENT BONDS--0.23%
NEW YORK CITY TAX LIEN
(COLLECTIBLE BOND)
2,291,269 6.810%, 05/25/05 ................ 2,307,021
------------
U.S. TREASURY SECURITIES--43.12%
U.S. TREASURY BONDS
45,000,000 7.500%, 11/15/16 ................ 48,712,500
24,000,000 * 8.000%, 11/15/21 ................ 27,517,440
31,500,000 7.125%, 02/15/23 ................ 32,887,890
5,000,000 6.750%, 08/15/26 ................ 5,037,500
U.S. TREASURY NOTES
14,000,000 6.125%, 05/15/98 ................ $ 14,067,760
48,000,000 * 8.250%, 07/15/98 ................ 49,709,760
5,000,000 5.625%, 11/30/98 ................ 4,977,350
35,000,000 * 8.875%, 02/15/99 ................ 37,028,950
27,000,000 7.750%, 11/30/99 ................ 28,210,680
13,000,000 7.750%, 01/31/00 ................ 13,603,330
37,000,000 * 8.750%, 08/15/00 ................ 40,098,750
20,000,000 6.250%, 10/31/01 ................ 20,018,800
33,000,000 6.125%, 12/31/01 ................ 32,876,250
22,000,000 6.375%, 08/15/02 ................ 22,144,320
24,000,000 7.250%, 05/15/04 ................ 25,252,560
29,000,000 6.500%, 05/15/05 ................ 29,194,880
------------
431,338,720
------------
TOTAL GOVERNMENT BONDS
(Cost $761,077,407).................. 758,258,609
------------
TOTAL BONDS
(Cost $977,882,548).................. 979,045,772
------------
SHORT TERM INVESTMENTS--0.66%
COMMERCIAL PAPER--0.66%
DUPONT (E.I.) DE NEMOURS & CO
1,000,000 5.400%, 02/12/97 ................ 992,857
GOLDMAN SACHS AND CO
600,000 7.350%, 01/02/97 ................ 599,632
GOLDMAN SACHS GROUP, LP
5,000,000 7.350%, 01/02/97 ................ 4,998,122
------------
6,590,611
------------
TOTAL SHORT TERM INVESTMENTS
(Cost $6,592,557).................... 6,590,611
------------
ROUNDING .......................... 64
------------
TOTAL PORTFOLIO
(Cost $984,475,105).................. $985,636,447
============
- ----------
* 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 year end, the value of these securities
amounted to $31,245,733 or 3.12% of net assets.
See notes to financial statements.
-21-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENT OF INVESTMENTS--SOCIAL CHOICE ACCOUNT
DECEMBER 31, 1996
SUMMARY
VALUE %
----- ----
BONDS
CORPORATE BONDS
AIR TRANSPORTATION ........................... $ 2,778,938 0.18%
BANKS ........................................ 32,832,542 2.08
BROADCASTERS ................................. 15,441,965 0.98
BUSINESS SERVICES ............................ 1,062,910 0.07
FINANCIAL--MISCELLANEOUS ..................... 25,550,197 1.62
FOODS ........................................ 1,852,600 0.12
HEALTHCARE--DRUGS ............................ 3,232,560 0.21
HEALTHCARE--HOSPITAL SUPPLY .................. 6,372,840 0.40
INSURANCE--MULTI-LINE,
PROPERTY & CASUALTY ....................... 3,434,445 0.22
PAPER ....................................... 3,327,561 0.21
PUBLISHING--OTHER ........................... 3,033,030 0.19
RETAIL--FOOD ................................ 2,120,000 0.13
RETAIL--GENERAL MERCHANDISE ................. 16,336,099 1.04
UTILITIES--ELECTRIC ......................... 6,393,630 0.41
UTILITIES--GAS & PIPELINE ................... 4,957,700 0.31
UTILITIES--TELEPHONE ........................ 8,254,935 0.52
-------------- ------
TOTAL CORPORATE BONDS
(Cost $137,529,991) ......................... 136,981,952 8.69
-------------- ------
GOVERNMENT BONDS
AGENCY SECURITIES ........................... 22,563,920 1.43
MORTGAGE BACKED SECURITIES .................. 183,292,171 11.64
U.S. TREASURY SECURITIES .................... 245,028,420 15.55
-------------- ------
TOTAL GOVERNMENT BONDS
(Cost $448,987,529) ......................... 450,884,511 28.62
-------------- ------
TOTAL BONDS
(Cost $586,517,520) ......................... 587,866,463 37.31
-------------- ------
PREFERRED STOCK
HEALTHCARE--SERVICE ......................... 135,413 0.01
-------------- ------
TOTAL PREFERRED STOCK
(Cost $111,530) ............................. 135,413 0.01
-------------- ------
COMMON STOCK
AIR TRANSPORTATION .......................... 10,743,930 0.68
AUTOMOTIVE & RELATED ........................ 14,427,137 0.92
BANKS ....................................... 91,344,748 5.80
BEVERAGES ................................... 28,301,725 1.80
BROADCASTERS ................................ 5,909,912 0.38
BUSINESS SERVICES ........................... 5,416,615 0.34
CHEMICALS--MAJOR ............................ 13,393,400 0.85
CHEMICALS--SPECIALTY ........................ 17,676,170 1.12
COMMUNICATION EQUIPMENT & SERVICES .......... 11,073,984 0.70
COMPUTER SERVICE ............................ 32,545,593 2.07
CONGLOMERATES ............................... 22,603,362 1.43
COSMETICS ................................... 17,010,325 1.08
ELECTRICAL EQUIPMENT ........................ 2,656,275 0.17
ELECTRICAL EQUIPMENT--
COMPONENTS DIVERSIFIED ..................... 31,194,869 1.98
ELECTRICAL EQUIPMENT--INSTRUMENTS ........... 1,696,250 0.11
FINANCIAL--MISCELLANEOUS .................... 51,166,481 3.25
FOODS ....................................... 43,819,199 2.78
HEALTHCARE--DRUGS ........................... 51,525,237 3.27
HEALTHCARE--HOSPITAL SUPPLY ................. 28,246,200 1.79
HEALTHCARE--OTHER ........................... 7,764,537 0.49
HEALTHCARE--SERVICE ......................... 8,532,003 0.54
HOUSEHOLD--DURABLE GOODS .................... 5,016,125 0.32
HOUSEHOLD--PRODUCTS ......................... 36,464,337 2.31
INSURANCE--LIFE ............................. 20,973 0.00
INSURANCE--MULTI-LINE,
PROPERTY & CASUALTY ........................ 40,655,206 2.58
LEISURE TIME ................................ 17,846,171 1.13
MACHINERY ................................... 12,882,057 0.82
METALS--ALUMINUM ............................ 2,943,675 0.19
METALS--GOLD ................................ 4,383,412 0.28
METALS--STEEL ............................... 6,585,937 0.42
OFFICE EQUIPMENT ............................ 55,326,667 3.51
PAPER ....................................... 17,554,212 1.11
PETROLEUM--EXPLORATION &
PRODUCTION ................................. 21,823,011 1.38
PETROLEUM--SERVICE .......................... 33,503,650 2.13
PROPERTY--REAL ESTATE ....................... 5,114,687 0.32
PUBLISHING--NEWSPAPER ....................... 13,933,140 0.88
PUBLISHING--OTHER ........................... 9,470,737 0.60
RAILROAD .................................... 12,285,000 0.78
RESTAURANTS & HOTELS ........................ 13,080,075 0.83
RETAIL--FOOD ................................ 4,992,712 0.32
RETAIL--GENERAL MERCHANDISE ................. 28,538,584 1.81
TEXTILE & APPAREL ........................... 8,000,475 0.51
TRUCKERS & SHIPPING ......................... 2,786,637 0.18
UTILITIES--ELECTRIC ......................... 26,828,674 1.70
UTILITIES--GAS & PIPELINE ................... 27,339,987 1.74
UTILITIES--TELEPHONE ........................ 68,283,813 4.33
-------------- ------
<PAGE>
TOTAL COMMON STOCK
(Cost $623,862,859) ........................ 972,707,906 61.73
-------------- ------
SHORT TERM INVESTMENTS
COMMERCIAL PAPER ............................ 4,898,159 0.31
-------------- ------
TOTAL SHORT TERM INVESTMENTS
(Cost $4,899,115) .......................... 4,898,159 0.31
-------------- ------
ROUNDING ................................. 85 0.00
-------------- ------
TOTAL PORTFOLIO
(Cost $1,215,391,024) ....................... 1,565,608,026 99.36
OTHER ASSETS & LIABILITIES, NET ........... 10,131,819 0.64
-------------- ------
NET ASSETS .................................... $1,575,739,845 100.00%
============== ======
See notes to financial statements.
-22-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENT OF INVESTMENTS--SOCIAL CHOICE ACCOUNT
DECEMBER 31, 1996
PAR
VALUE VALUE
----- -----
BONDS--37.31%
CORPORATE BONDS--8.69%
AIR TRANSPORTATION--0.18%
DELTA AIRLINES, INC SERIES 1992-B1
(PASS-THRU CERT)
$2,598,499 8.270%, 09/23/07 ................ $ 2,778,938
------------
BANKS--2.08%
BANKAMERICA CORP
(SUBORDINATED NOTE)
2,000,000 9.750%, 07/01/00 ................ 2,199,320
BANKERS TRUST NEW YORK CORP NOTE
5,000,000 6.750%, 10/03/01 ................ 5,024,300
BARNETT BANK, INC
(MEDIUM TERM SR NOTE)
4,000,000 6.250%, 07/28/98 ................ 4,011,200
CAPITAL ONE BANK NOTE
5,000,000 8.125%, 03/01/00 ................ 5,196,200
EQUICREDIT HOME EQUITY LOAN TRUST
SERIES 1996-3 (CLASS A4)
3,000,000 6.700%, 06/15/08 ................ 3,007,602
FLEET MORTGAGE GROUP, INC NOTE
1,200,000 6.500%, 09/15/99 ................ 1,203,240
FLEET/NORSTAR GROUP
(SUBORDINATED NOTE)
2,000,000 9.900%, 06/15/01 ................ 2,246,080
NATIONSBANK CORP (SR NOTE)
4,000,000 6.125%, 07/15/99 ................ 4,007,480
3,000,000 7.000%, 09/15/01 ................ 3,039,330
NATIONSBANK CREDIT CARD
MASTER TRUST SERIES 1993-2
(CLASS A)
3,000,000 6.000%, 12/15/05 ................ 2,897,790
------------
32,832,542
------------
BROADCASTERS--0.98%
BLOCKBUSTER ENTERTAINMENT CORP
(SR NOTE)
3,000,000 6.625%, 02/15/98 ................ 3,000,150
CAPITAL CITY ABC, INC NOTE
3,000,000 8.875%, 12/15/00 ................ 3,237,090
CONTINENTAL CABLEVISION (SR NOTE)
5,000,000 8.300%, 05/15/06 ................ 5,344,933
COX COMMUNICIATIONS, INC
NEW (CLASS A) NOTE
3,500,000 8.700%, 06/15/99 ................ 3,661,455
VIACOM INTERNATIONAL, INC
(SUBORDINATED DEB)
205,000 8.000%, 07/07/06 ................ 198,337
------------
15,441,965
------------
BUSINESS SERVICES--0.07%
DELUXE CORP DEB
1,000,000 8.550%, 02/15/01 ................ 1,062,910
------------
FINANCIAL--MISCELLANEOUS--1.62%
AETNA SERVICES, INC
(GUARANTEED NOTE)
2,000,000 6.970%, 08/15/36 ................ 2,036,620
AMERICAN EXPRESS CREDIT CORP NOTE
2,000,000 6.750%, 06/01/01 ................ 2,013,940
ARISTAR, INC SR NOTE
1,000,000 7.750%, 06/15/01 ................ 1,037,270
DISCOVER CARD TRUST SERIES 1993-B
(PASS-THRU CERT)
3,000,000 6.750%, 02/15/00 ................ 3,026,250
HOUSEHOLD INTERNATIONAL
NETHERLANDS BV (SR NOTE)
4,000,000 5.250%, 10/15/98 ................ 3,924,520
MORGAN STANLY GROUP (SR NOTE)
4,000,000 5.750%, 02/15/01 ................ 3,876,720
MORTGAGE CAPITAL FUNDING, INC
SERIES 96 MC-2 (MTGE PASS-THRU)
2,000,000 7.008%, 09/20/06 ................ 1,995,625
STANDARD CREDIT CARD MASTER
TRUST SERIES 1991-6 (CLASS B)
2,570,000 8.350%, 01/07/00 ................ 2,665,552
TRAVELLERS, INC NOTE
5,000,000 5.750%, 04/15/98 ................ 4,973,700
------------
25,550,197
------------
FOODS--0.12%
CAMPBELL SOUP CO NOTE
2,000,000 5.625%, 09/15/03 ................ 1,852,600
------------
HEALTHCARE--DRUGS--0.21%
LYONDELL PETROCHEMICAL CO NOTE
3,000,000 10.000%, 06/01/99 ................ 3,232,560
------------
HEALTHCARE--HOSPITAL SUPPLY--0.40%
BECTON DICKINSON NOTE
3,000,000 6.900%, 10/01/06 ................ 3,016,080
COLUMBIA/HCA HEALTHCARE CORP NOTE
3,000,000 8.360%, 04/15/24 ................ 3,356,760
------------
6,372,840
------------
INSURANCE--MULTI-LINE, PROPERTY
& CASUALTY--0.22%
CHUBB CAPITAL CORP NOTE
1,500,000 6.875%, 02/01/03 ................ 1,511,325
TRAVELERS CAPITAL CORP DEB
2,000,000 7.750%, 12/01/36 ................ 1,923,120
------------
3,434,445
------------
PAPER--0.21%
UNION CAMP CORP DEB
3,000,000 10.000%, 05/01/19 ................ 3,327,561
------------
PUBLISHING--OTHER--0.19%
TIME WARNER NOTE
3,000,000 7.450%, 02/01/98 ................ 3,033,030
------------
RETAIL--FOOD--0.13%
KROGER CO (SR SUBORDINATED NOTE)
2,000,000 10.000%, 05/01/99 ................ 2,120,000
------------
RETAIL--GENERAL MERCHANDISE--1.04%
DILLIARD DEPARTMENT
2,000,000 STORES, INC NOTE 7.150%, 09/01/02 2,034,060
FEDERATED DEPARTMENT
STORES, INC (SR NOTE)
2,000,000 10.000%, 02/15/01 ................ 2,172,460
MAY DEPARTMENT STORES CO NOTE
3,000,000 7.150%, 08/15/04 ................ 3,059,880
SEARS ROEBUCK ACCEPTANCE CORP
(MEDIUM TERM NOTE)
5,000,000 6.990%, 09/30/02 ................ 5,042,039
WAL-MART STORES, INC DEB
2,000,000 7.250%, 06/01/13 ................ 2,033,820
WAL-MART STORES, INC NOTE
2,000,000 6.125%, 10/01/99 ................ 1,993,840
------------
16,336,099
------------
See notes to financial statements.
-23-
<PAGE>
PAR
VALUE VALUE
----- -----
UTILITIES--ELECTRIC--0.41%
IDAHO POWER CO (FIRST MTGE BOND)
$ 1,000,000 8.650%, 01/01/00 ................ $ 1,050,380
PUGET SOUND POWER & LIGHT CO
(MEDIUM TERM NOTE)
5,000,000 8.060%, 06/19/06 ................ 5,343,250
------------
6,393,630
------------
UTILITIES--GAS & PIPELINE--0.31%
EL PASO NATURAL GAS CO NOTE
5,000,000 6.750%, 11/15/03 ................ 4,957,700
------------
UTILITIES--TELEPHONE--0.52%
NEW YORK TELEPHONE CO DEB
3,000,000 7.250%, 02/15/24 ................ 2,849,190
SOUTHWESTERN BELL
TELEPHONE CO NOTE
3,000,000 6.250%, 10/15/02 ................ 2,955,570
U.S. WEST COMMUNICATIONS, INC NOTE
2,500,000 6.625%, 09/15/05 ................ 2,450,175
------------
8,254,935
------------
TOTAL CORPORATE BONDS
(Cost $137,529,991).................. 136,981,952
------------
GOVERNMENT BONDS--28.62%
AGENCY SECURITIES--1.43%
FEDERAL FARM CREDIT BANK
3,000,000 6.440%, 11/05/99 ................ 2,997,660
FEDERAL HOME LOAN
MORTGAGE CORP (FHLMC)
5,000,000 7.090%, 11/24/06 ................ 4,924,200
FEDERAL NATIONAL
MORTGAGE ASSOCIATION (FNMA)
3,000,000 6.670%, 09/05/00 ................ 2,998,590
2,000,000 6.375%, 10/13/00 ................ 1,989,380
1,000,000 8.250%, 12/18/00 ................ 1,068,120
8,000,000 5.800%, 02/22/06 ................ 7,538,000
1,000,000 7.400%, 07/01/04 ................ 1,047,970
------------
22,563,920
------------
MORTGAGE BACKED SECURITIES--11.64%
FEDERAL HOME LOAN
MORTGAGE CORP (FHLMC)
2,045,000 6.000%, 10/15/10 ................ 2,032,852
4,717,974 6.000%, 03/01/11 ................ 4,558,742
5,834,557 7.000%, 04/01/11 ................ 5,839,399
678,785 8.000%, 12/01/22 ................ 696,806
424,709 8.000%, 01/01/23 ................ 435,590
943,442 8.000%, 05/01/23 ................ 967,018
1,399,329 7.000%, 05/01/23 ................ 1,380,088
4,594,203 7.500%, 02/01/24 ................ 4,618,598
2,820,833 7.000%, 12/01/25 ................ 2,772,610
5,006,528 6.500%, 04/01/26 ................ 4,792,198
6,001,304 7.500%, 04/01/26 ................ 6,006,885
FEDERAL NATIONAL
MORTGAGE ASSOCIATION (FNMA)
4,616,618 6.000%, 12/01/02 ................ 4,508,404
6,515,203 6.500%, 08/25/03 ................ 6,519,242
745,941 8.500%, 02/01/05 ................ 776,494
6,778,125 6.500%, 05/01/11 ................ 6,653,134
4,829,710 7.000%, 05/01/11 ................ 4,823,672
1,619,315 8.000%, 06/01/11 ................ 1,665,869
1,936,562 7.500%, 06/01/11 ................ 1,963,189
1,942,208 8.000%, 07/01/11 ................ 1,998,046
490,384 7.500%, 08/01/11 ................ 497,126
746,791 7.500%, 09/01/11 ................ 757,059
1,745,954 7.500%, 10/01/11 ................ 1,769,959
6,639,993 6.500%, 12/01/23 ................ 6,368,151
798,092 8.000%, 09/01/24 ................ 814,804
2,610,645 8.500%, 03/01/25 ................ 2,711,807
4,782,007 9.000%, 04/01/25 ................ 5,050,961
769,917 8.000%, 05/01/25 ................ 785,076
771,397 9.000%, 06/01/25 ................ 813,337
966,800 6.500%, 08/01/25 ................ 923,294
4,571,936 7.500%, 09/01/25 ................ 4,574,084
3,189,367 8.000%, 09/01/25 ................ 3,252,165
6,705,510 6.500%, 10/01/25 ................ 6,403,761
963,263 7.000%, 10/01/25 ................ 942,485
992,164 7.000%, 11/01/25 ................ 970,763
7,643,006 7.000%, 12/01/25 ................ 7,481,527
935,964 6.500%, 12/01/25 ................ 893,845
1,608,965 8.000%, 12/01/25 ................ 1,640,645
4,020,935 7.000%, 07/01/26 ................ 3,931,710
GOVERNMENT NATIONAL
MORTGAGE ASSOCIATION (GNMA)
795,443 8.500%, 09/15/09 ................ 831,731
757,059 8.500%, 10/15/09 ................ 791,596
4,999,307 9.000%, 12/15/09 ................ 5,241,423
665,399 8.500%, 12/15/09 ................ 695,754
4,761,051 9.000%, 12/15/17 ................ 5,131,460
546,482 9.000%, 03/15/20 ................ 582,850
265,625 9.000%, 08/15/20 ................ 283,302
4,959,624 6.500%, 03/20/22 ................ 5,054,154
4,582,257 8.000%, 06/15/22 ................ 4,708,269
6,698,963 7.000%, 10/15/23 ................ 6,581,730
2,531,856 7.000%, 11/15/23 ................ 2,487,548
4,913,376 7.000%, 02/15/24 ................ 4,827,391
1,644,775 8.000%, 06/15/24 ................ 1,686,897
7,734,139 7.000%, 09/15/24 ................ 7,598,791
685,983 9.000%, 01/15/25 ................ 724,562
See notes to financial statements.
-24-
<PAGE>
PAR
VALUE VALUE
----- -----
MORTGAGE BACKED SECURITIES--(Continued)
$ 732,525 8.500%, 05/15/25 ................ $ 759,760
2,676,577 8.500%, 06/15/25 ................ 2,777,016
1,814,847 8.000%, 08/15/25 ................ 1,852,831
6,822,732 7.500%, 12/15/25 ................ 6,829,077
10,000,085 7.500%, 05/15/26 ................ 10,003,185
RESOLUTION TRUST CORP SERIES 1992-8
(CLASS A-2) (MTGE PASS-THROUGH CERT)
252,285 8.250%, 12/25/26 ................ 251,449
------------
183,292,171
------------
U.S. TREASURY SECURITIES--15.55%
U.S. TREASURY BONDS
8,000,000 7.875%, 02/15/21 ................ 9,042,480
29,000,000 7.500%, 11/15/16 ................ 31,392,500
4,000,000 7.625%, 11/15/22 ................ 4,415,640
31,000,000 * 7.125%, 02/15/23 ................ 32,365,860
U.S. TREASURY NOTES
18,000,000 7.250%, 02/15/98 ................ 18,295,380
10,000,000 9.000%, 05/15/98 ................ 10,421,900
16,000,000 6.125%, 05/15/98 ................ 16,077,440
12,000,000 * 6.875%, 07/31/99 ................ 12,243,720
18,000,000 5.875%, 11/15/99 ................ 17,929,620
21,000,000 6.250%, 05/31/00 ................ 21,085,260
15,000,000 8.000%, 05/15/01 ................ 16,028,850
5,000,000 * 7.500%, 11/15/01 ................ 5,263,300
10,000,000 7.500%, 05/15/02 ................ 10,573,400
20,000,000 7.250%, 05/15/04 ................ 21,043,800
9,000,000 6.500%, 08/15/05 ................ 9,057,690
8,000,000 5.875%, 11/15/05 ................ 7,713,760
2,000,000 7.000%, 07/15/06 ................ 2,077,820
------------
245,028,420
------------
TOTAL GOVERNMENT BONDS
(Cost $448,987,529).................. 450,884,511
------------
TOTAL BONDS
(Cost $586,517,520)................... 587,866,463
------------
SHARES
-------
PREFERRED STOCK--0.01%
HEALTHCARE--SERVICE--0.01%
1,706 AETNA, INC CV 6.25% ................. 135,413
------------
TOTAL PREFERRED STOCK
(Cost $111,530) ...................... 135,413
------------
COMMON STOCK--61.73%
AIR TRANSPORTATION--0.68%
44,700 o AMR CORP ............................ 3,939,187
63,900 DELTA AIRLINES, INC ................. 4,528,912
44,250 SOUTHWEST AIRLINES CO ............... 979,031
1,200 o U.S. AIR GROUP, INC ................. 28,050
20,300 o UAL CORP NEW ........................ 1,268,750
------------
10,743,930
------------
AUTOMOTIVE & RELATED--0.92%
24,100 BANDAG, INC ......................... 1,141,737
30,600 CUMMINS ENGINE CO, INC .............. 1,407,600
124,400 ECHLIN, INC ......................... 3,934,150
23,500 FEDERAL-MOGUL CORP .................. 517,000
127,900 GENUINE PARTS CO .................... 5,691,550
46,800 GRACO, INC .......................... 1,146,600
22,000 MODINE MANUFACTURING CO ............. 588,500
------------
14,427,137
------------
BANKS--5.80%
136,565 BANC ONE CORP ....................... 5,872,295
44,800 BANK OF NEW YORK CO, INC ............ 1,512,000
113,100 BANKAMERICA CORP .................... 11,281,725
13,600 BANKERS TRUST NEW YORK CORP ......... 1,173,000
39,800 BARNETT BANKS, INC .................. 1,636,775
101,800 CHASE MANHATTAN CORP NEW ............ 9,085,650
103,491 CITICORP NA ......................... 10,659,573
38,200 CORESTATES FINANCIAL CORP ........... 1,981,625
82,140 FIRST CHICAGO NBD CORP .............. 4,415,025
75,747 FIRST UNION CORP .................... 5,605,278
55,167 FLEET FINANCIAL GROUP, INC NEW ...... 2,751,454
77,500 MORGAN (J.P.) & CO, INC ............. 7,565,937
74,186 NATIONSBANK CORP .................... 7,251,681
88,600 NORWEST CORP ........................ 3,854,100
104,600 PNC BANK CORP ....................... 3,935,575
99,000 SUNTRUST BANKS, INC ................. 4,875,750
1,100 U.S. BANCORP ........................ 49,431
58,400 WACHOVIA CORP NEW ................... 3,299,600
16,824 WELLS FARGO & CO .................... 4,538,274
------------
91,344,748
------------
BEVERAGES--1.80%
537,800 COCA COLA CO ........................ 28,301,725
------------
BROADCASTERS--0.38%
6,300 COMCAST CORP (CLASS A) .............. 111,037
15,650 COMCAST CORP (CLASS A) SPL .......... 278,765
27,275 o LIBERTY MEDIA GROUP (CLASS A) ....... 779,042
13,320 o TCI SATELLITE ENTERTAINMENT (CLASS A) 131,535
146,800 o TELE-COMMUNICATIONS, INC
(CLASS A) NEW ...................... 1,917,575
76,931 o VIACOM, INC (CLASS B) ............... 2,682,968
5,873 o VIACOM, INC (CLASS B) WTS 7/07/97 ... 183
3,523 o VIACOM, INC (CLASS B) WTS 7/07/99 ... 8,807
------------
5,909,912
------------
BUSINESS SERVICES--0.34%
32,900 o ACNEILSEN CORP ...................... 497,612
98,700 COGNIZANT CORP ...................... 3,257,100
12,600 DELUXE CORP ......................... 412,650
6,975 DIEBOLD, INC ........................ 438,553
48,400 SENSORMATIC ELECTRONICS CORP ........ 810,700
------------
5,416,615
------------
CHEMICALS--MAJOR--0.85%
94,600 AIR PRODUCTS & CHEMICALS, INC ....... 6,539,225
148,600 PRAXAIR, INC ........................ 6,854,175
------------
13,393,400
------------
CHEMICALS--SPECIALTY--1.12%
26,900 BETZDEARBORN, INC ................... 1,573,650
18,420 FULLER (H.B.) CO .................... 865,740
104,400 LYONDELL PETROCHEMICAL CO ........... 2,296,800
54,500 MALLINCKRODT, INC ................... 2,404,812
70,700 NALCO CHEMICAL CORP ................. 2,554,037
9,000 NCH CORP ............................ 542,250
11,500 RAYCHEM CORP ........................ 921,437
80,462 SCHULMAN (A.), INC .................. 1,971,319
54,100 SIGMA ALDRICH CORP .................. 3,377,868
22,900 WD-40 CO ............................ 1,168,257
------------
17,676,170
------------
COMMUNICATION EQUIPMENT &
SERVICES--0.70%
15,900 o 360 COMMUNICATIONS CO ............... 367,687
107,082 o AIRTOUCH COMMUNICATIONS, INC ........ 2,703,820
113,900 o CISCO SYSTEMS, INC .................. 7,246,887
11,600 o DSC COMMUNICATIONS CORP ............. 207,350
57,900 o NOVELL, INC ......................... 548,240
------------
11,073,984
------------
See notes to financial statements.
-25-
<PAGE>
SHARES VALUE
------ -----
COMPUTER SERVICE--2.07%
92,000 AUTOMATIC DATA PROCESSING, INC ...... $ 3,944,500
67,750 COMPUTER ASSOCIATES
INTERNATIONAL, INC ................. 3,370,562
21,840 o IMATION CORP ........................ 614,250
241,600 o MICROSOFT CORP ...................... 19,962,200
111,475 o ORACLE CORP ......................... 4,654,081
------------
32,545,593
------------
CONGLOMERATES--1.43%
50,900 ALCO STANDARD CORP .................. 2,627,712
4,200 MARK IV INDUSTRIES, INC ............. 95,025
220,400 MINNESOTA MINING &
MANUFACTURING CO ................... 18,265,650
70,600 WHITMAN CORP ........................ 1,614,975
------------
22,603,362
------------
COSMETICS--1.08%
68,600 AVON PRODUCTS, INC .................. 3,918,775
136,200 GILLETTE CO ......................... 10,589,550
55,600 INTERNATIONAL FLAVORS &
FRAGRANCES, INC .................... 2,502,000
------------
17,010,325
------------
ELECTRICAL EQUIPMENT--0.17%
33,100 GRAINGER (W.W.), INC ................ 2,656,275
------------
ELECTRICAL EQUIPMENT--
COMPONENTS DIVERSIFIED--1.98%
30,800 o ADVANCED MICRO DEVICES, INC ......... 793,100
24,400 AVNET, INC .......................... 1,421,300
10,350 BALDOR ELECTRIC CO .................. 254,868
182,600 INTEL CORP .......................... 23,909,187
47,500 MICRON TECHNOLOGY, INC .............. 1,383,437
16,093 MOLEX, INC .......................... 629,638
43,500 o NATIONAL SEMICONDUCTOR CORP ......... 1,060,312
74,568 o VISHAY INTERTECHNOLOGY, INC ......... 1,743,027
------------
31,194,869
------------
ELECTRICAL EQUIPMENT--
INSTRUMENTS--0.11%
47,200 o APPLIED MATERIALS, INC .............. 1,696,250
------------
FINANCIAL--MISCELLANEOUS--3.25%
171,200 AMERICAN EXPRESS CO ................. 9,672,800
53,909 DEAN WITTER, DISCOVER & CO .......... 3,571,471
40,500 FEDERAL HOME LOAN MORTGAGE CORP ..... 4,460,062
353,600 FEDERAL NATIONAL
MORTGAGE ASSOCIATION ............... 13,171,600
84,437 GREAT WESTERN FINANCIAL CORP ........ 2,448,673
12,800 H.F. AHMANSON & CO .................. 416,000
24,829 HOUSEHOLD INTERNATIONAL, INC ........ 2,290,475
36,800 MBNA CORP ........................... 1,527,200
82,100 MERRILL LYNCH & CO, INC ............. 6,691,150
86,200 MORGAN STANLEY GROUP, INC ........... 4,924,175
21,400 STUDENT LOAN MARKETING ASSOCIATION .. 1,992,875
------------
51,166,481
------------
FOODS--2.78%
114,100 CAMPBELL SOUP CO .................... 9,156,525
74,400 CPC INTERNATIONAL, INC .............. 5,766,000
102,000 GENERAL MILLS, INC .................. 6,464,250
155,850 HEINZ (H.J.) CO ..................... 5,571,637
105,200 HERSHEY FOODS CORP .................. 4,602,500
74,200 KELLOGG CO .......................... 4,869,375
5,800 MCCORMICK & CO, INC (NON-VOTE) ...... 136,662
107,600 QUAKER OATS CO ...................... 4,102,250
56,000 WRIGLEY (WM) JR CO .................. 3,150,000
------------
43,819,199
------------
HEALTHCARE--DRUGS--3.27%
48,100 o ALZA CORP ........................... 1,244,587
6,680 o ALZA CORP WTS 12/31/99 .............. 835
77,400 o AMGEN, INC .......................... 4,208,625
9,922 BERGEN BRUNSWIG CORP (CLASS A) ...... 282,777
24,600 o FOREST LABORATORIES, INC ............ 805,650
36,800 o GENZYME CORP (GENERAL DIVISION) ..... 800,400
2,484 o GENZYME CORP
(TISSUE REPAIR DIVISION) ........... 17,698
23,400 IVAX CORP ........................... 239,850
56,400 MCKESSON CORP NEW ................... 3,158,400
351,100 MERCK & CO, INC ..................... 27,824,675
34,500 MYLAN LABORATORIES, INC ............. 577,875
189,800 SCHERING-PLOUGH CORP ................ 12,289,550
6,680 o THERAPEUTIC DISCOVERY CORP (CLASS A).. 74,315
------------
51,525,237
------------
HEALTHCARE--HOSPITAL SUPPLY--1.79%
218,800 BECTON DICKINSON & CO ............... 9,490,450
377,000 JOHNSON & JOHNSON CO ................ 18,755,750
------------
28,246,200
------------
HEALTHCARE--OTHER--0.49%
31,400 ALLERGAN, INC ....................... 1,118,625
25,600 BAUSCH & LOMB, INC .................. 896,000
6,500 BIOMET, INC ......................... 98,312
28,600 HILLENBRAND INDUSTRIES, INC ......... 1,036,750
62,600 MEDTRONIC, INC ...................... 4,256,800
8,400 o ST. JUDE MEDICAL, INC ............... 358,050
------------
7,764,537
------------
HEALTHCARE--SERVICE--0.54%
174,955 COLUMBIA/HCA HEALTHCARE CORP ........ 7,129,416
9,400 o HUMANA, INC ......................... 179,775
55,900 o TENET HEALTHCARE CORP ............... 1,222,812
------------
8,532,003
------------
HOUSEHOLD--DURABLE GOODS--0.32%
65,400 NEWELL COS, INC ..................... 2,060,100
63,400 WHIRLPOOL CORP ...................... 2,956,025
------------
5,016,125
------------
HOUSEHOLD--PRODUCTS--2.31%
66,100 CLOROX CO ........................... 6,634,787
60,100 COLGATE PALMOLIVE CO ................ 5,544,225
206,800 PROCTER & GAMBLE CO ................. 22,231,000
90,300 RUBBERMAID, INC ..................... 2,054,325
------------
36,464,337
------------
INSURANCE--LIFE--0.00%
329 CONSECO, INC ........................ 20,973
------------
INSURANCE--MULTI-LINE,
PROPERTY & CASUALTY--2.58%
97,153 ALLSTATE CORP ....................... 5,622,729
193,030 AMERICAN INTERNATIONAL GROUP, INC ... 20,895,497
49,700 CHUBB CORP .......................... 2,671,375
3,500 o CNA FINANCIAL CORP .................. 374,500
14,900 GENERAL REINSURANCE CORP ............ 2,350,475
1,400 SAFECO CORP ......................... 55,212
25,000 TRANSAMERICA CORP ................... 1,975,000
147,888 TRAVELERS GROUP, INC ................ 6,710,418
------------
40,655,206
------------
See notes to financial statements.
-26-
<PAGE>
SHARES VALUE
------ -----
LEISURE TIME--1.13%
194,475 DISNEY (WALT) CO .................... $ 13,540,321
38,600 HASBRO, INC ......................... 1,500,575
101,091 MATTEL, INC ......................... 2,805,275
------------
17,846,171
------------
MACHINERY--0.82%
106,200 DEERE & CO .......................... 4,314,375
56,000 ILLINOIS TOOL WORKS, INC ............ 4,473,000
87,500 KEYSTONE INTERNATIONAL, INC ......... 1,760,937
25,900 NORDSON CORP ........................ 1,651,125
14,880 TIMKEN CO ........................... 682,620
------------
12,882,057
------------
METALS--ALUMINUM--0.19%
88,200 o ALUMAX, INC ......................... 2,943,675
------------
METALS--GOLD--0.28%
285,100 SANTA FE PACIFIC GOLD CORP .......... 4,383,412
------------
METALS--STEEL--0.42%
27,600 BIRMINGHAM STEEL CORP ............... 524,400
45,750 HANNA (M.A.) CO ..................... 1,000,781
64,100 NUCOR CORP .......................... 3,269,100
98,850 WORTHINGTON INDUSTRIES, INC ......... 1,791,656
------------
6,585,937
------------
OFFICE EQUIPMENT--3.51%
48,300 o APPLE COMPUTER, INC ................. 1,008,262
92,000 AVERY DENNISON CORP ................. 3,254,500
68,900 o COMPAQ COMPUTER CORP ................ 5,115,825
258,000 HEWLETT-PACKARD CO .................. 12,964,500
135,900 INTERNATIONAL BUSINESS
MACHINES CORP ....................... 20,520,900
54,900 PITNEY BOWES, INC ................... 2,992,050
49,300 o SUN MICROSYSTEMS, INC ............... 1,266,393
84,200 o TANDEM COMPUTERS, INC ............... 1,157,750
133,900 XEROX CORP .......................... 7,046,487
------------
55,326,667
------------
PAPER--1.11%
149,400 CONSOLIDATED PAPERS, INC ............ 7,339,275
135,500 SONOCO PRODUCTS CO .................. 3,506,062
140,500 UNION CAMP CORP ..................... 6,708,875
------------
17,554,212
------------
PETROLEUM--EXPLORATION &
PRODUCTION--1.38%
56,800 ANADARKO PETROLEUM CORP ............. 3,677,800
41,500 APACHE CORP ......................... 1,468,062
60,200 MITCHELL ENERGY & DEVELOPMENT
CORP (CLASS B) ...................... 1,331,925
109,100 MURPHY OIL CORP ..................... 6,068,687
78,200 NOBLE AFFILIATES, INC ............... 3,743,825
164,400 o ORYX ENERGY CO ...................... 4,068,900
105,500 o SANTA FE ENERGY RESOURCES, INC ...... 1,463,812
------------
21,823,011
------------
PETROLEUM--SERVICE--2.13%
63,000 o BJ SERVICES CO ...................... 3,213,000
40,300 CABOT CORP .......................... 1,012,537
107,900 DRESSER INDUSTRIES, INC ............. 3,344,900
5,775 o ENSCO INTERNATIONAL, INC ............ 280,087
81,700 HELMERICH & PAYNE, INC .............. 4,258,612
102,900 o NABORS INDUSTRIES, INC .............. 1,980,825
97,800 o NOBLE DRILLING CORP ................. 1,943,775
192,700 o PARKER DRILLING CO .................. 1,854,737
123,900 o ROWAN COS, INC ...................... 2,803,237
131,000 o SMITH INTERNATIONAL, INC ............ 5,878,625
32,200 TRANSOCEAN OFFSHORE, INC ............ 2,016,525
47,658 o WEATHERFORD ENTERRA, INC ............ 1,429,740
49,200 o WESTERN ATLAS, INC .................. 3,487,050
------------
33,503,650
------------
PROPERTY--REAL ESTATE--0.32%
125,900 WEINGARTEN REALTY INVESTORS, INC .... 5,114,687
------------
PUBLISHING--NEWSPAPER--0.88%
55,745 o COX COMMUNICATIONS, INC
(CLASS A) NEW ...................... 1,289,103
41,000 DOW JONES & CO, INC ................. 1,388,875
77,700 GANNETT CO, INC ..................... 5,817,787
11,300 KNIGHT-RIDDER, INC .................. 432,225
13,100 NEW YORK TIMES CO (CLASS A) ......... 497,800
90,600 TIMES MIRROR CO (SERIES A) NEW ...... 4,507,350
------------
13,933,140
------------
PUBLISHING--OTHER--0.60%
59,100 DUN & BRADSTREET CORP ............... 1,403,625
46,600 MCGRAW HILL COS, INC ................ 2,149,425
157,805 TIME WARNER, INC .................... 5,917,687
------------
9,470,737
------------
RAILROAD--0.78%
140,400 NORFOLK SOUTHERN CORP ............... 12,285,000
------------
<PAGE>
RESTAURANTS & HOTELS--0.83%
102,200 DARDEN RESTAURANTS, INC ............. 894,250
217,100 MCDONALDS CORP ...................... 9,823,775
72,400 SYSCO CORP .......................... 2,362,050
------------
13,080,075
------------
RETAIL--FOOD--0.32%
88,300 ALBERTSONS, INC ..................... 3,145,687
23,800 AMERICAN STORES CO NEW .............. 972,825
18,800 o KROGER CO ........................... 874,200
------------
4,992,712
------------
RETAIL--GENERAL MERCHANDISE--1.81%
1,300 CVS CORP ............................ 53,787
1,000 o FEDERATED DEPARTMENT STORES, INC .... 34,125
4,200 GAP, INC ............................ 126,525
58,900 HOME DEPOT, INC ..................... 2,952,362
148,600 o K MART CORP ......................... 1,541,725
16,806 LIMITED, INC ........................ 308,810
33,600 MAY DEPARTMENT STORES CO ............ 1,570,800
53,600 PENNEY, (J.C.) CO, INC .............. 2,613,000
20,600 ROUSE CO ............................ 654,050
104,800 SEARS ROEBUCK & CO .................. 4,833,900
1,000 TANDY CORP .......................... 44,000
45,950 o TOYS R US, INC ...................... 1,378,500
492,000 WAL-MART STORES, INC ................ 11,254,500
53,600 o WOOLWORTH CORP ...................... 1,172,500
------------
28,538,584
------------
TEXTILE & APPAREL--0.51%
15,800 LIZ CLAIBORNE, INC .................. 610,275
121,200 NIKE, INC (CLASS B) ................. 7,241,700
2,200 VF CORP ............................. 148,500
------------
8,000,475
------------
TRUCKERS & SHIPPING--0.18%
74,400 ARNOLD INDUSTRIES, INC .............. 1,181,100
57,200 CALIBER SYSTEM, INC ................. 1,101,100
21,100 ROADWAY EXPRESS, INC ................ 408,812
3,400 RYDER SYSTEM, INC ................... 95,625
------------
2,786,637
------------
See notes to financial statements.
-27-
<PAGE>
SHARES VALUE
------ -----
UTILITIES--ELECTRIC--1.70%
32,500 IDAHO POWER CO ...................... $ 1,011,562
104,700 LOUISVILLE GAS
& ELECTRIC ENERGY CORP ............. 2,565,150
118,700 NIPSCO INDUSTRIES, INC .............. 4,703,487
33,000 OKLAHOMA GAS & ELECTRIC CO .......... 1,377,750
136,900 PACIFICORP .......................... 2,806,450
279,800 POTOMAC ELECTRIC POWER CO ........... 7,204,850
122,800 PUGET SOUND POWER & LIGHT CO ........ 2,947,200
174,600 TECO ENERGY, INC .................... 4,212,225
------------
26,828,674
------------
UTILITIES--GAS & PIPELINE--1.74%
30,800 BROOKLYN UNION GAS CO ............... 927,850
20,900 COLUMBIA GAS SYSTEMS, INC ........... 1,329,762
110,600 CONSOLIDATED NATURAL GAS CO ......... 6,110,650
33,400 EL PASO NATURAL GAS CO NEW .......... 1,686,700
24,600 EQUITABLE RESOURCES, INC ............ 731,850
1,400 o IONICS, INC ......................... 67,200
18,800 MCN CORP ............................ 542,850
55,700 NICOR, INC .......................... 1,991,275
89,600 PACIFIC ENTERPRISES, INC ............ 2,721,600
9,200 PEOPLES ENERGY CORP ................. 311,650
134,900 SONAT, INC .......................... 6,947,350
105,900 WILLIAMS COS, INC ................... 3,971,250
------------
27,339,987
------------
UTILITIES--TELEPHONE--4.33%
162,700 AMERITECH CORP NEW .................. 9,863,687
166,300 BELL ATLANTIC CORP .................. 10,767,925
335,000 BELLSOUTH CORP ...................... 13,525,625
89,100 MCI COMMUNICATIONS CORP ............. 2,912,456
139,300 NYNEX CORP .......................... 6,703,812
117,082 PACIFIC TELESIS GROUP CO ............ 4,302,763
176,800 SBC COMMUNICATIONS, INC ............. 9,149,400
71,500 SPRINT CORP ......................... 2,851,062
162,044 U.S. WEST COMMUNICATIONS GROUP, INC . 5,225,919
161,144 o U.S. WEST MEDIA GROUP, INC .......... 2,981,164
------------
68,283,813
------------
TOTAL COMMON STOCK
(Cost $623,862,859) ................. 972,707,906
------------
PAR
VALUE
-------
SHORT TERM INVESTMENTS--0.31%
COMMERCIAL PAPER--0.31%
MERRILL LYNCH & CO, INC
4,900,000 6.500%, 01/02/97 ................ 4,898,159
------------
TOTAL SHORT TERM INVESTMENTS
(Cost $4,899,115)................... 4,898,159
------------
ROUNDING ........................... 85
------------
TOTAL PORTFOLIO
(Cost $1,215,391,024)............... $1,565,608,026
==============
- ----------
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.
See notes to financial statements.
-28-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENT OF INVESTMENTS--GLOBAL EQUITIES ACCOUNT
DECEMBER 31, 1996
SUMMARY BY INDUSTRY
VALUE %
--------- -----
BONDS
CORPORATE BONDS
AUTOMOTIVE & RELATED ........................ $ 43,732 0.00%
BROADCASTERS ................................ 86,107 0.00
INSURANCE LIFE .............................. 12,024,787 0.30
INSURANCE--MULTI-LINE,
PROPERTY & CASUALTY ....................... 107,783 0.00
METALS--STEEL ............................... 83,956 0.00
-------------- ------
TOTAL CORPORATE BONDS
(Cost $14,140,649) .......................... 12,346,365 0.30
-------------- ------
TOTAL BONDS
(Cost $14,140,649) ........................... 12,346,365 0.30
-------------- ------
PREFERRED STOCK
AUTOMOTIVE & RELATED ........................ 2,417,148 0.06
BUSINESS SERVICES ........................... 1,068,931 0.02
COMMUNICATION EQUIPMENT & SERVICES .......... 18,778,881 0.45
HEALTHCARE--SERVICE ......................... 80,486 0.00
PUBLISHING--NEWSPAPER ....................... 1,492,722 0.04
UTILITIES--ELECTRIC ......................... 9,760,584 0.23
-------------- ------
TOTAL PREFERRED STOCK
(Cost $25,574,918) ........................... 33,598,752 0.80
-------------- ------
COMMON STOCK
AEROSPACE ................................... 18,670,145 0.45
AIR TRANSPORTATION .......................... 36,838,095 0.88
AUTOMOTIVE & RELATED ........................ 124,601,069 2.97
BANKS ....................................... 297,669,796 7.10
BEVERAGES ................................... 55,613,950 1.33
BROADCASTERS ................................ 57,001,321 1.36
BUSINESS SERVICES ........................... 73,461,825 1.75
CHEMICALS--MAJOR ............................ 48,064,585 1.15
CHEMICALS--SPECIALTY ........................ 15,315,117 0.37
COMMUNICATION EQUIPMENT & SERVICES .......... 179,088,950 4.27
COMPUTER SERVICE ............................ 97,856,662 2.33
CONGLOMERATES ............................... 89,477,595 2.13
CONSTRUCTION--MATERIALS & BUILDERS .......... 93,300,569 2.23
CONTAINERS .................................. 2,069,254 0.05
COSMETICS ................................... 11,916,379 0.28
ELECTRICAL EQUIPMENT ........................ 143,879,904 3.43
ELECTRICAL EQUIPMENT--
COMPONENTS DIVERSIFIED .................... 297,492,421 7.09
ELECTRICAL EQUIPMENT--INSTRUMENTS ........... 18,039,758 0.43
ENVIRONMENTAL CONTROL ....................... 3,731,850 0.09
FINANCIAL--MISCELLANEOUS .................... 52,287,565 1.25
FOODS ....................................... 54,779,172 1.31
FOREST PRODUCTS ............................. 11,898,058 0.28
HEALTHCARE--DRUGS ........................... 277,360,643 6.61
HEALTHCARE--HOSPITAL SUPPLY ................. 15,647,844 0.37
HEALTHCARE--OTHER ........................... 2,798,211 0.07
HEALTHCARE--SERVICE ......................... 137,435,910 3.27
HOUSEHOLD--CONSUMER ELECTRONICS ............. 18,939,603 0.45
HOUSEHOLD--DURABLE GOODS .................... 5,190,488 0.12
HOUSEHOLD--PRODUCTS ......................... 22,033,811 0.53
INSURANCE--BROKERS & OTHER .................. 1,346,625 0.03
INSURANCE--LIFE ............................. 12,468,404 0.30
INSURANCE--MULTI-LINE,
PROPERTY & CASUALTY ....................... 104,875,403 2.50
LEISURE TIME ................................ 160,073,019 3.82
MACHINERY ................................... 97,258,133 2.32
METALS--ALUMINUM ............................ 6,580,595 0.16
METALS--GOLD ................................ 13,093,551 0.31
METALS--NON-FERROUS ......................... 24,583,596 0.59
METALS--STEEL ............................... 81,171,381 1.94
MISCELLANEOUS MATERIALS &
COMMODITIES ............................... 10,955,371 0.26
OFFICE EQUIPMENT ............................ 116,010,503 2.76
PAPER ....................................... 5,654,898 0.13
PETROLEUM--
EXPLORATION & PRODUCTION .................. 41,315,232 0.99
PETROLEUM--INTEGRATED ....................... 127,475,371 3.04
PETROLEUM--SERVICE .......................... 135,572,849 3.23
PHOTOGRAPHY ................................. 5,071,800 0.12
PROPERTY--REAL ESTATE ....................... 35,744,863 0.85
PUBLISHING--NEWSPAPER ....................... 8,254,340 0.20
PUBLISHING--OTHER ........................... 22,562,667 0.54
RAILROAD .................................... 45,629,010 1.09
RESTAURANTS & HOTELS ........................ 31,059,942 0.74
RETAIL--FOOD ................................ 26,979,531 0.64
RETAIL--GENERAL MERCHANDISE ................. 114,765,792 2.74
TEXTILE & APPAREL ........................... 22,076,781 0.53
TOBACCO ..................................... 155,417,587 3.71
TRADING COMPANIES ........................... 12,507,269 0.30
TRUCKERS & SHIPPING ......................... 29,134,432 0.69
UTILITIES--ELECTRIC ......................... 89,698,724 2.14
UTILITIES--GAS & PIPELINE ................... 20,421,288 0.49
UTILITIES--OTHER ............................ 5,123,290 0.12
UTILITIES--TELEPHONE ........................ 184,685,541 4.40
-------------- ------
TOTAL COMMON STOCK
(Cost $3,474,939,636) ........................ 4,010,028,338 95.63
-------------- ------
SHORT TERM INVESTMENTS
COMMERCIAL PAPER ............................ 133,392,623 3.18
U.S. GOVERNMENTS & AGENCIES ................. 183,673,224 4.38
U.S. TREASURY BILLS ......................... 40,676,457 0.97
-------------- ------
TOTAL SHORT TERM INVESTMENTS
(Cost $357,844,325) .......................... 357,742,304 8.54
-------------- ------
ROUNDING .................................... 461 0.00
-------------- ------
TOTAL PORTFOLIO
(Cost $3,872,499,528) ........................ 4,413,716,220 105.26
OTHER ASSETS & LIABILITIES, NET ............ (220,539,302) (5.26)
-------------- ------
NET ASSETS .................................... $4,193,176,918 100.00%
============== ======
See notes to financial statements.
-29-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENT OF INVESTMENTS--GLOBAL EQUITIES ACCOUNT
DECEMBER 31, 1996
SUMMARY BY COUNTRY
VALUE %
------- ----
DOMESTIC:
UNITED STATES ..................... $1,929,921,621 43.73%
-------------- ------
TOTAL DOMESTIC ...................... 1,929,921,621 43.73
-------------- ------
FOREIGN:
AUSTRALIA ......................... 36,685,881 0.83
AUSTRIA ........................... 2,769,089 0.06
BELGIUM ........................... 14,647,000 0.33
CANADA ............................ 94,501,809 2.14
DENMARK ........................... 11,390,604 0.26
FINLAND ........................... 6,583,445 0.15
FRANCE ............................ 142,772,792 3.23
GERMANY ........................... 146,541,973 3.32
HONG KONG ......................... 50,374,995 1.14
INDONESIA ......................... 21,292,551 0.48
IRELAND ........................... 2,600,522 0.06
ITALY ............................. 101,534,769 2.30
JAPAN ............................. 406,765,175 9.22
MALAYSIA .......................... 41,210,334 0.93
NETHERLANDS ....................... 220,913,357 5.01
NEW ZEALAND ....................... 4,217,908 0.10
NORWAY ............................ 52,604,025 1.19
SINGAPORE ......................... 18,862,723 0.43
SOUTH AFRICA ...................... 12,024,787 0.27
SPAIN ............................. 28,735,376 0.65
SWEDEN ............................ 171,228,884 3.88
SWITZERLAND ....................... 222,656,933 5.04
UNITED KINGDOM .................... 315,137,363 7.14
-------------- ------
TOTAL FOREIGN ....................... 2,126,052,295 48.16
-------------- ------
TOTAL SHORT TERM .................... 357,742,304 8.11
-------------- ------
TOTAL PORTFOLIO ..................... $4,413,716,220 100.00%
============== ======
See notes to financial statements.
-30-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENT OF INVESTMENTS--GLOBAL EQUITIES ACCOUNT
DECEMBER 31, 1996
PAR
VALUE VALUE
----- -----
BONDS--0.30%
CORPORATE BONDS--0.30%
AUTOMOTIVE & RELATED--0.00%
MICHELIN S.A. CV
743(1) 2.500%, 1/01/01 ................. $ 43,732
------------
BROADCASTERS--0.00%
VIACOM INTERNATIONAL, INC
(SUBORDINATED DEB)
89,000 8.000%, 07/07/06 ................ 86,107
------------
INSURANCE--LIFE--0.30%
LIBERTY LIFE INTERNATIONAL CV
10,665,000(2) 6.500%, 09/30/04 ................ 12,024,787
------------
INSURANCE--MULTI-LINE,
PROPERTY & CASUALTY--0.00%
AXA S.A. CV
1,531(1) 4.500%, 01/01/99 ................ 107,783
------------
METALS--STEEL--0.00%
~ PREUSSAG AG. (W/W)
113(3) 5.750%, 05/17/01 ................ 83,956
------------
TOTAL CORPORATE BONDS
(Cost $14,140,649)................... 12,346,365
------------
TOTAL BONDS
(Cost $14,140,649) ................... 12,346,365
------------
- ----------
(1) Denominated in French Francs
(2) Denominated in South African Rand
(3) Denominated in Deutsche Marks
SHARES
------
PREFERRED STOCK--0.80%
AUTOMOTIVE & RELATED--0.06%
7,533 VOLKSWAGEN AG ....................... 2,417,148
------------
BUSINESS SERVICES--0.02%
7,662 SAP AG .............................. 1,068,931
------------
COMMUNICATION EQUIPMENT
& SERVICES--0.45%
190,000 MFS COMMUNICATIONS CO, INC .......... 17,337,500
24,900 o NOKIA AB OY SERIES A ................ 1,441,381
------------
18,778,881
------------
HEALTHCARE--SERVICE--0.00%
1,014 AETNA, INC CV 6.25% ................. 80,486
------------
PUBLISHING--NEWSPAPER--0.04%
335,588 NEWS CORP LTD (LTD-VTG) ............. 1,492,722
------------
UTILITIES--ELECTRIC--0.23%
289,270 RHEIN-WESTFALEN ELECTRIC AG ......... 9,760,584
------------
TOTAL PREFERRED STOCK
(Cost $25,574,918) .................... 33,598,752
------------
COMMON STOCK--95.63%
AEROSPACE--0.45%
44,713 BOEING CO ........................... 4,756,345
176,480 BRITISH AEROSPACE PLC ............... 3,865,730
5,868 o BRITISH AEROSPACE PLC WTS 11/15/00 .. 76,167
14,000 COBHAM GROUP PLC .................... 146,743
14,500 EG & G, INC ......................... 291,812
2,500 GENERAL DYNAMICS CORP ............... 176,250
62,000 MCDONNELL DOUGLAS CORP .............. 3,968,000
140,650 ROLLS ROYCE LTD ..................... 619,787
2,834 SAGEM S.A ........................... 1,706,243
22,433 SMITHS INDUSTRIES PLC ............... 307,500
68,200 SPAR AEROSPACE LTD .................. 624,432
65,831 THOMSON-CSF ......................... 2,131,136
------------
18,670,145
------------
AIR TRANSPORTATION--0.88%
80,800 o AIR CANADA, INC ..................... 365,477
1,575,000 o AIRTOURS PLC ........................ 21,899,292
14,000 ALL NIPPON AIRWAYS CO LTD ........... 105,413
29,000 o AMR CORP ............................ 2,555,625
344,190 BRITISH AIRWAYS PLC ................. 3,566,469
12,600 DELTA AIRLINES, INC ................. 893,025
100 o FEDERAL EXPRESS CORP ................ 4,450
164,000 o JAPAN AIRLINES CO LTD ............... 868,908
136,700 LUFTHANSA AG ........................ 1,862,759
620,000 MALAYSIAN AIRLINE SYSTEM BERHAD ..... 1,607,997
277,000 SINGAPORE INTERNATIONAL
AIRLINES LTD (FR) ................. 2,514,939
200 o SWISS AIR TRANSPORT CO (REGD) ....... 161,304
18,500 o U.S. AIR GROUP, INC ................. 432,437
------------
36,838,095
------------
AUTOMOTIVE & RELATED--2.97%
1,001,700 AUTOLIV AB .......................... 43,864,787
170 o BAYERISCHE MOTOREN WERKE AG ......... 118,363
95,837 BBA GROUP PLC ....................... 580,580
215,000 BRIDGESTONE CORP .................... 4,074,895
79,508 CHRYSLER CORP ....................... 2,623,764
54,620 CONTINENTAL AG ...................... 981,749
12,000 CUMMINS ENGINE CO, INC .............. 552,000
38,000 DAIHATSU MOTOR CO LTD ............... 201,332
136,210 o DAIMLER BENZ AG ..................... 9,368,799
244,000 DENSO CORP .......................... 5,864,747
6,100 EATON CORP .......................... 425,475
326,000 FIAT S.P.A .......................... 984,591
89,067 GENERAL MOTORS CORP ................. 4,965,485
52,300 GOODYEAR TIRE & RUBBER CO ........... 2,686,912
111,396 GUEST KEEN NETTLEFOLDS LTD .......... 1,908,226
20,900 HARLEY DAVIDSON, INC ................ 982,300
211,000 HONDA MOTOR CO LTD .................. 6,016,802
8,100 LAIRD GROUP PLC ..................... 55,168
41,678 LEX SERVICE GROUP LTD ............... 226,808
228,967 o LUCASVARITY PLC ..................... 871,824
45,000 o MAZDA MOTOR CORP .................... 160,497
37,083 MICHELIN S.A. (CLASS B) ............. 1,997,950
748,000 NISSAN MOTOR CO LTD ................. 4,330,381
9,100 PEUGEOT S.A ......................... 1,022,235
613,200 PIRELLI S.P.A ....................... 1,135,811
224,600 T & N PLC ........................... 666,861
759,645 TOYOTA MOTOR CORP ................... 21,792,657
18,400 VALEO S.A ........................... 1,132,568
8,677 VOLKSWAGEN AG ....................... 3,603,451
63,700 VOLVO AB SERIES B FREE .............. 1,404,051
------------
124,601,069
------------
See notes to financial statements.
-31-
<PAGE>
SHARES VALUE
------ -----
BANKS--7.10%
485,981 ABBEY NATIONAL PLC .................. $ 6,362,193
113,500 ABN-AMRO HOLDINGS NV ................ 7,375,078
126,700 o ALLIED IRISH BANKS PLC .............. 849,181
42,800 ARGENTARIA S.A ...................... 1,911,759
513,000 ASAHI BANK LTD ...................... 4,552,079
464,000 ASHIKAGA BANK LTD ................... 2,234,524
1,420,000 ASSA ABLOY AB SERIES B .............. 25,787,972
20,000 AUSTRALIAN & NEW ZEALAND
BANKING GROUP LTD ................... 125,975
52,601 BANC ONE CORP ....................... 2,261,843
86,600 BANCA COMMERCIALE ITALIANA S.P.A .... 157,272
52,000 BANCA POPOLARE DI MILANO ............ 263,463
21,600 BANCO BILBAO VIZCAYA S.A. (REGD) .... 1,164,086
17,180 BANCO CENTRALE
HISPANOAMERICANO S.A ............... 440,486
36,400 BANCO SANTANDER S.A ................. 2,325,496
12,700 BANK AUSTRIA AG ..................... 937,310
9,700 BANK OF MONTREAL .................... 308,542
44,677 BANK OF NOVA SCOTIA ................. 1,494,447
1,032,747 BANK OF TOKYO MITSUBISHI LTD ........ 19,128,798
135,000 BANK OF YOKOHAMA LTD ................ 872,268
56,857 BANKAMERICA CORP .................... 5,671,485
47,588 BANKBOSTON CORP ..................... 3,057,529
16,100 BANKERS TRUST NEW YORK CORP ......... 1,388,625
48,552 BANQIE DE PARIBAS S.A ............... 3,277,081
68,738 BANQUE NATIONALE DE PARIS ........... 2,654,955
327,852 BARCLAYS PLC ........................ 5,613,336
132,800 BAYERISCHE VEREINSBANK AG ........... 5,446,082
60,790 CANADIAN IMPERIAL BANK OF COMMERCE .. 2,680,932
133,000 CHIBA BANK LTD ...................... 905,178
198,034 CITICORP CO ......................... 20,397,502
32,600 COMERICA, INC ....................... 1,707,425
3,750 o COMMERZBANK AG ...................... 95,143
21,400 o COMMONWEALTH BANK OF
AUSTRALIA LTD ...................... 204,656
37,467 COMPAGNIE DE SUEZ S.A ............... 1,589,831
49,300 CORESTATES FINANCIAL CORP ........... 2,557,437
5,429 CREDIT NATIONAL S.A ................. 312,030
5,200 CREDITANSTALT-BAVKVEREIN (STAMM) .... 351,639
29,247 CS HOLDINGS (REGD) .................. 2,994,835
18,000 DAI-ICHI KANGO BANK LTD ............. 258,966
15,000 o DAIWA BANK LTD ...................... 78,181
187,530 DEUTSCHE BANK AG .................... 8,749,207
63,000 DEVELOPMENT BANK OF
SINGAPORE LTD (FR) ................. 851,229
4,500 DRESDNER BANK AG .................... 134,611
78,850 FIRST CHICAGO NBD CORP .............. 4,238,187
62,630 FIRST UNION CORP .................... 4,634,620
71,226 FLEET FINANCIAL GROUP, INC NEW ...... 3,552,396
609,000 FUJI BANK LTD ....................... 8,866,644
130,000 GUNMA BANK LTD ...................... 1,131,149
505,600 HANG SENG BANK LTD .................. 6,144,308
638,000 HOKURIKU BANK LTD ................... 3,121,938
103,787 HSBC HOLDINGS LTD ................... 2,220,644
236,977 HSBC HOLDINGS LTD (HONG KONG) ....... 5,158,452
201,186 HSBC HOLDINGS LTD (UNITED KINGDOM) .. 4,496,422
485,190 INDUSTRIAL BANK OF JAPAN LTD ........ 8,401,622
325,300 INSTITUTO BANCARIO
SAN PAOLO DI TURINO ................ 1,990,640
255,100 ISTITUTO MOBILIARE ITALIANO S.P.A ... 2,182,125
116,215 JOYO BANK ........................... 698,832
47,000 KEYCORP NEW ......................... 2,373,500
1,160,345 LLOYDS TSB GROUP PLC ................ 8,548,431
4,000 o LONG TERM CREDIT BANK OF JAPAN LTD .. 21,606
428,400 MALAYAN BANKING BERHAD .............. 4,749,631
88,500 MALAYAN BANKING BERHAD (SINGAPORE) .. 949,027
168,300 MEDIOBANCA S.P.A .................... 906,418
52,500 o MERITA LTD .......................... 162,887
254,000 MITSUBISHI TRUST & BANKING CORP ..... 3,391,725
377,000 MITSUI TRUST & BANKING CO LTD ....... 2,939,308
39,730 MORGAN (J.P.) & CO, INC ............. 3,878,641
171,800 NATIONAL AUSTRALIA BANK LTD ......... 2,019,618
70,400 NATIONAL BANK OF CANADA ............. 711,344
14,300 NATIONAL CITY CORP .................. 641,712
16,600 o NATIONAL WESTMINSTER BANK PLC ....... 194,733
60,423 NATIONSBANK CORP .................... 5,906,348
22,700 NORWEST CORP ........................ 987,450
104,818 OVERSEAS-CHINESE
BANKING CORP LTD (FR) .............. 1,303,854
89,100 PNC BANK CORP ....................... 3,352,387
51,000 PUBLIC BANK BERHAD (FR) ............. 108,037
98,900 ROYAL BANK OF CANADA ................ 3,470,554
690 ROYAL BANK OF SCOTLAND PLC .......... 6,653
715,000 SAKURA BANK LTD ..................... 5,100,252
5,000 SANWA BANK LTD ...................... 68,058
118,000 SEVENTY-SEVEN (77) BANK LTD ......... 965,741
128,000 SHIZUOKA BANK LTD ................... 1,356,345
1,977 SIGNET BANKING CORP ................. 60,792
93,600 SKANDINAVISKA
ENSKILDA BANKEN SERIES A ........... 959,579
73,438 SOCIETE GENERALE S.A ................ 7,924,655
16,100 STADSHYPOTEK AB SERIES A ............ 440,935
9,500 STANDARD CHARTERED PLC .............. 116,890
598,000 SUMITOMO BANK LTD ................... 8,603,455
13,000 SUMITOMO TRUST & BANKING CO LTD ..... 129,914
3,600 SUNTRUST BANKS, INC ................. 177,300
26,700 o SVENSKA HANDELSBANKEN SERIES A ...... 766,433
13,058 SWISS BANK CORP (REGD) .............. 2,474,875
5,025 o SWISS BANK CORP (REGD) WTS 6/30/00 .. 13,846
490,000 TOKAI BANK LTD ...................... 5,107,833
4,229 UNION BANK OF SWITZERLAND (BR) ...... 3,694,235
11,000 UNITED OVERSEAS BANK LTD (FR) ....... 122,676
22,400 WASHINGTON MUTUAL, INC .............. 970,200
7,716 WELLS FARGO & CO .................... 2,081,391
346,100 WESTPAC BANKING CORP ................ 1,968,335
372,000 YASUDA TRUST & BANKING CO LTD ....... 1,573,546
------------
297,669,796
------------
BEVERAGES--1.33%
10,100 ALLIED DOMECQ PLC ................... 78,902
63,000 ANHEUSER BUSCH COS, INC ............. 2,520,000
588,732 ARTHUR GUINESS & SONS PLC ........... 4,609,299
162,000 ASAHI BREWERIES LTD ................. 1,674,756
164,430 BASS LTD ............................ 2,310,204
1,284 o BRAU UND BRUNNEN AG ................. 87,149
24,500 o CADBURY SCHWEPPS PLC AUSTRALIA ...... 196,549
15,100 CARLSBERG BREWERIES AS (CLASS A) .... 1,018,799
1,264 COCA COLA CO ........................ 66,518
29,500 COCA-COLA AMATIL LTD ................ 315,158
64,700 o EL AGUILA S.A ....................... 309,888
422,116 GRAND METROPOLITAN PLC .............. 3,315,665
18,800 HEINEKEN NV ......................... 3,323,531
4,948 HOLSTEN BRAUEREI AG ................. 1,091,635
156,000 KIRIN BREWERY CO LTD ................ 1,532,091
357,400 LION NATHAN LTD ..................... 856,106
7,830 LVMH MOET HENNESSY LOUIS VUITTON .... 2,182,362
743,490 PEPSICO, INC ........................ 21,747,082
3,036 PERNOD-RICARD S.A ................... 167,602
127,000 SAPPORO BREWERIES LTD ............... 1,050,340
239,059 SCOTTISH & NEWCASTLE PLC ............ 2,808,482
98,400 SEAGRAMS CO LTD ..................... 3,894,505
34,000 o WHITBREAD PLC ....................... 457,327
------------
55,613,950
------------
See notes to financial statements.
-32-
<PAGE>
SHARES VALUE
------ -----
BROADCASTERS--1.36%
146,000 BRITISH SKY BROADCASTING GROUP PLC .. $ 1,304,215
13,990 CANAL PLUS S.A ...................... 3,083,891
367,700 o MEDIASET S.P.A ...................... 1,693,626
105,800 o ROGERS COMMUNICATIONS INC
(CLASS B) .......................... 779,586
15,020 o TCI SATELLITE ENTERTAINMENT
(CLASS A) .......................... 148,322
129,500 o TELE METROPOLE, INC (CLASS B) ....... 1,691,142
150,200 o TELE-COMMUNICATIONS, INC
(CLASS A) NEW .... ................. 1,961,987
80,000 TOKYO BROADCASTING SYSTEMS, INC ..... 1,219,884
25,060 o VIACOM, INC (CLASS B) ............... 873,967
2,557 o VIACOM, INC (CLASS B) WTS 7/07/97 ... 79
1,534 o VIACOM, INC (CLASS B) WTS 7/07/99 ... 3,835
2,661,100 +o WESTWOOD ONE, INC ................... 44,240,787
------------
57,001,321
------------
BUSINESS SERVICES--1.75%
266 o ACNEILSEN CORP ...................... 4,023
7,574 o ADECCO S.A .......................... 1,912,875
3,710 ADECCO S.A. (BR) .................... 928,329
10,200 BLOCK (H&R), INC .................... 295,800
10,100 o BRITISH AIRPORT AUTHORITIES PLC ..... 84,087
54,600 COGNIZANT CORP ...................... 1,801,800
41,000 o DAIWA KOSHO LEASE CO LTD ............ 314,361
25,900 DELUXE CORP ......................... 848,225
10,361 ELECTROCOMPONENTS PLC ............... 81,916
21,200 ESSELTE AB SERIES B FREE ............ 468,834
763,636 GETRONICS NV ........................ 20,704,450
26,000 INTERPUBLIC GROUP OF COS, INC ....... 1,235,000
19,600 INTERNATIONAL SERVICE SYSTEM AS
SERIES B ........................... 515,010
38,900 MOORE CORP LTD ...................... 805,982
14,600 PITTSTON BRINKS GROUP CO ............ 394,200
63,950 PROSEGUR COMPANIA DE
SEGURIDAD S.A ...................... 589,977
4,613,800 RENTOKIL INITIAL PLC ................ 34,661,666
226,160 REUTERS HOLDINGS PLC ................ 2,908,512
8,528 SAP AG .............................. 1,159,311
13,000 SECOM CO LTD ........................ 785,084
20,100 SECURITAS AB SERIES B FREE .......... 584,337
4,000 o SURVEILLANCE SA, SOCIETE DE ......... 1,751,564
36,000 TOKYO DOME CORP ..................... 626,482
------------
73,461,825
------------
CHEMICALS--MAJOR--1.15%
13,600 AGA AB SERIES A FREE ................ 205,155
149,500 AGA AB SERIES B FREE ................ 2,233,307
34,000 AKZO NOBEL NV ....................... 4,638,690
37,000 BASF AG ............................. 1,423,242
123,640 BAYER AG ............................ 5,038,342
67,146 BOC GROUP PLC ....................... 1,003,712
7,400 COURTAULDS PLC ...................... 49,831
2,614 DEGUSSA AG .......................... 1,181,396
58,002 DOW CHEMICAL CO ..................... 4,545,906
86,419 DU PONT (E.I.) DE NEMOURS & CO ...... 8,155,793
18,300 DYNO INDUSTRIER AS .................. 464,277
23,775 EASTMAN CHEMICAL CO ................. 1,313,568
5,500 HOECHST AG .......................... 259,457
90,900 ICI AUSTRALIA LTD ................... 985,555
111,626 IMPERIAL CHEMICAL INDUSTRY PLC ...... 1,468,031
4,951 ~o L'AIR LIQUIDE S.A. (REGD) ........... 771,388
265,737 MITSUBISHI CHEMICAL CORP ............ 858,496
215,000 MITSUBISHI GAS CHEMICAL CO, INC ..... 772,377
58,600 MONSANTO CO ......................... 2,278,075
1,529,950 o MONTEDISON S.P.A .................... 1,040,935
70,000 NIPPON SHOKUBAI KAGAK KOGYO CO LTD .. 518,623
51,500 PPG INDUSTRIES, INC ................. 2,890,437
3,200 RHONE-POULENC S.A. (CLASS A) ........ 108,886
4,700 ROHM & HAAS CO ...................... 383,637
4,425 SOLVAY ET CIE S.A ................... 2,706,054
384,000 SUMITOMO CHEMICAL CO LTD ............ 1,518,445
29,000 UBE INDUSTRIES LTD .................. 81,945
28,600 UNION CARBIDE CORP .................. 1,169,025
------------
48,064,585
------------
CHEMICALS--SPECIALTY--0.37%
8,500 o AGRIUM INC .......................... 115,962
218,000 ASAHI CHEMICAL INDUSTRY CO LTD ...... 1,232,013
161,000 DAICEL CHEMICAL INDUSTRIES LTD ...... 753,149
29,000 DAINIPPON INK & CHEMICAL, INC ....... 107,179
43,800 ENGELHARD CORP ...................... 837,675
154,000 KANEKA CORP ......................... 786,739
89,000 KANSAI PAINT CO LTD ................. 398,702
79,000 KUREHA CHEMICAL INDUSTRY CO LTD ..... 315,110
1,800 LUBRIZOL CORP ....................... 55,800
23,600 MALLINCKRODT, INC ................... 1,041,350
39,100 o METHANEX CORP ....................... 355,143
54,900 NOVA CORP ........................... 486,638
11,800 POTASH CORP OF SASKATCHEWAN, INC .... 1,004,639
13,200 RAYCHEM CORP ........................ 1,057,650
6,550 RWE-DEA AG FUER MINERAL & CHEMICAL .. 1,687,333
249,000 SEKISUI CHEMICAL CO LTD ............. 2,509,807
141,395 SHIN-ETSU CHEMICAL CO LTD ........... 2,570,228
------------
15,315,117
------------
COMMUNICATION
EQUIPMENT & SERVICES--4.27%
183 o 360 COMMUNICATIONS CO ............... 4,231
7,620 o AIRTOUCH COMMUNICATIONS, INC ........ 192,405
279,600 o CISCO SYSTEMS, INC .................. 17,789,550
60,200 CORNING, INC ........................ 2,784,250
25,100 o DSC COMMUNICATIONS CORP ............. 448,662
204,000 ERICSSON TELEFON (LM) AB SERIES B ... 6,304,052
270,000 o GLOBALSTAR TELECOMMUNICATIONS LTD ... 17,010,000
12,300 HARRIS CORP ......................... 844,087
64,875 o LUCENT TECHNOLOGIES, INC ............ 3,000,468
2,000,967 o MFS COMMUNICATIONS CO, INC .......... 109,052,701
48,700 o NEWBRIDGE NETWORKS CORP ............. 1,380,312
41,600 NOKIA AB SERIES K ................... 2,400,870
64,000 NORTHERN TELECOMMUNICATIONS LTD ..... 3,978,112
5,000 o QUALCOMM, INC ....................... 199,375
460,500 o SFX BROADCASTING, INC (CLASS A) ..... 13,699,875
------------
179,088,950
------------
COMPUTER SERVICE--2.33%
20,800 ADOBE SYSTEMS, INC .................. 777,400
80,400 AUTOMATIC DATA PROCESSING, INC ...... 3,447,150
32,550 o BAY NETWORKS, INC ................... 679,481
962,000 o CHECKFREE CORP ...................... 16,474,250
458,450 COMPUTER ASSOCIATES
INTERNATIONAL, INC ................. 22,807,887
26,000 CSK CORP ............................ 680,929
110,200 ELECTRONIC DATA SYSTEMS CORP ........ 4,766,150
19,600 FIRST DATA CORP ..................... 715,400
725,000 o FRONTEC AB SERIES B ................. 12,529,310
See notes to financial statements.
-33-
<PAGE>
SHARES VALUE
------ -----
COMPUTER SERVICE--(CONTINUED)
683,900 o LEARNING CO, INC .................... $ 9,831,062
156,800 o MICROSOFT CORP ...................... 12,955,600
292,025 o ORACLE CORP ......................... 12,192,043
------------
97,856,662
------------
CONGLOMERATES--2.13%
37,100 o AGIV AG ............................. 536,843
4,600 ALCO STANDARD CORP .................. 237,475
30,600 BRASCAN LTD (CLASS A) ............... 680,892
772,860 BTR PLC ............................. 3,756,170
4,681 o BTR PLC WTS 11/30/97 ................ 2,683
5,147 o BTR PLC WTS 11/26/98 ................ 572
21,000 o CITIC PACIFIC LTD ................... 121,900
29,748 GEVAERT PHOTO-PRODUCTION NV ......... 2,060,358
2,000 GROUPE BRUXELLES LAMBERT S.A ........ 257,207
1,691,897 HANSON PLC .......................... 2,359,704
723,000 HUTCHINSON WHAMPOA LTD .............. 5,678,356
36,700 ITT INDUSTRIES, INC ................. 899,150
11,200 JOHNSON CONTROLS, INC ............... 928,200
209,000 KEPPEL CORP ......................... 1,628,609
25,822 LAGARDERE S.C.A ..................... 707,288
25,298 o LAGARDERE S.C.A. WTS 6/30/97 ........ 25,790
13,100 o LITTON INDUSTRIES, INC .............. 623,887
462,500 LOEWS CORP .......................... 43,590,625
169,566 LONRHO PLC .......................... 361,271
2,532,000 MALAYAN UNITED INDUSTRIES BERHAD .... 1,884,837
37,100 MELCO INTERNATIONAL
DEVELOPMENT LTD .................... 12,950
47,880 MINNESOTA MINING &
MANUFACTURING CO ................... 3,968,055
165,600 NOMA INDUSTRIES LTD (CLASS A) ....... 425,265
8,300 QUEBECOR, INC (CLASS B) ............. 138,666
66,000 RENONG BERHAD ....................... 117,077
14,600 o ROCKWELL INTERNATIONAL CORP NEW ..... 888,775
1,453,200 SIME DARBY BERHAD ................... 5,725,334
43,100 SOUTHCORP HOLDINGS LTD .............. 136,937
541,400 SWIRE PACIFIC LTD (CLASS A) ......... 5,162,004
10,600 TEXTRON, INC ........................ 999,050
43,400 TRW, INC ............................ 2,148,300
8,346 o U.S. INDUSTRIES, INC ................ 286,893
10,400 UNITED TECHNOLOGIES CORP ............ 686,400
26,700 VIAD CORP ........................... 440,550
52,500 WILLIAMS HOLDINGS PLC ............... 308,611
314,000 YTL CORP BERHAD ..................... 1,690,911
------------
89,477,595
------------
CONSTRUCTION--MATERIALS &
BUILDERS--2.23%
86,462 BARRATT DEVELOPMENTS LTD ............ 373,605
4,490 BILFINGER & BERGER AG ............... 164,612
245,700 BLUE CIRCLE INDUSTRIES PLC .......... 1,492,655
462,591 BORAL LTD ........................... 1,315,420
10,989 BOUYGUES S.A ........................ 1,137,200
108,700 BPB PLC ............................. 713,380
323,429 CARADON PLC ......................... 1,322,826
1,600 CBR NV .............................. 145,320
9,200 CENTEX CORP ......................... 346,150
1,140,400 o CHAMPION ENTERPRISES, INC ........... 22,237,800
251,000 CHICHIBU ONODA CEMENT CORP .......... 1,066,045
80,000 CHIYODA CORP ........................ 517,589
71,000 o CRH PLC ............................. 735,425
249,200 CSR LTD ............................. 870,934
59,000 DAITO TRUST CONSTRUCTION CO LTD ..... 655,687
171,000 DAIWA HOUSE INDUSTRY CO LTD ......... 2,195,015
15,400 DRAGADOS Y CONSTRUCCIONES S.A ....... 236,790
3,000 FOMENTO DE CONSTRUCCIONES Y
CONTRATAS S.A ...................... 279,074
500 FORBO HOLDINGS AG. (REGD) ........... 201,072
213,000 FUJITA CORP ......................... 611,053
15,532 GTM ENTREPOSE S.A ................... 717,026
22,150 HEIDELBERGER ZEMENT AG .............. 1,789,419
68,800 HEPWORTH PLC ........................ 298,464
14,930 HOCHTIEF AG ......................... 590,960
1,500 HOLDERBANK FINANCIE
RE GLARUS AG. (REGD) ............... 1,067,918
1,200 HOLLANDSCHE BETON GROEP NV (H.B.G.) . 248,283
12,457 IMETAL S.A .......................... 1,835,434
103,000 INAX CORP ........................... 761,342
75,700 ITALCEMENTI S.P.A ................... 423,390
136,400 JAMES HARDIE INDUSTRIES LTD ......... 429,036
55,000 JGC CONSTRUCTION CORP ............... 411,753
56,000 KAJIMA CORP ......................... 399,460
38,000 KANDENKO CO LTD ..................... 360,107
98,548 KINDEN CORP ......................... 1,248,016
280,000 KUMAGAI GUMI CO LTD ................. 692,301
26,000 o KYUNDENKO CO., LTD .................. 268,788
24,668 LAFARGE S.A. (BR) ................... 1,477,099
160,000 MARLEY PLC .......................... 346,367
19,300 MASCO CORP .......................... 694,800
7,800 MEYER INTERNATIONAL PLC ............. 48,253
51,000 MISAWA HOMES CO LTD ................. 355,885
1,770 o NEW WORLD INFRASTUCTURE LTD ......... 5,171
142,000 NIHON CEMENT CO LTD ................. 722,988
32,000 NISHIMATSU CONSTRUCTION CO LTD ...... 278,436
773,300 OAKWOOD HOMES CORP .................. 17,689,237
206,000 OBAYASHI CORP ....................... 1,387,807
77,000 OKUMURA CORP ........................ 467,001
4,900 OWENS CORNING CO .................... 208,862
35,000 PENTA OCEAN CONSTRUCTION CO LTD ..... 155,586
66,306 PILKINGTON PLC ...................... 177,579
161,600 PIONEER INTERNATIONAL LTD ........... 481,345
7,200 PORTLAND VALDERRIVAS S.A ............ 483,790
1,900 PULTE CORP .......................... 58,425
29,458 REDLAND PLC ......................... 184,758
618 RMC GROUP PLC ....................... 10,549
53,070 RUGBY GROUP PLC ..................... 86,277
70,000 SANKYO ALUMINIUM INDUSTRY CO LTD .... 274,990
46,129 SCHNEIDER S.A ....................... 2,128,634
264,000 SEKISUI HOUSE LTD ................... 2,683,744
19,100 SHERWIN-WILLIAMS CO ................. 1,069,600
193,000 SHIMIZU CORP ........................ 1,438,231
800 o SIKA FINANZ AG. (BR) ................ 190,646
41,200 SKANSKA AB SERIES B FREE ............ 1,819,247
14,713 ST. GOBAIN S.A ...................... 2,077,275
102,000 TAISEI CORP ......................... 527,238
351,100 TARMAC PLC .......................... 588,820
144,373 TAYLOR WOODROW PLC .................. 380,480
53,000 TOSTEM CORP ......................... 1,461,104
80,000 TOTO LTD ............................ 909,744
48,000 TOYO ENGINEERING CO ................. 214,203
34,000 UNITED ENGINEERING BERHAD ........... 306,948
115,820 URALITA S.A ......................... 903,780
11,200 VULCAN MATERIALS CO ................. 681,800
900 WIENERBERGER BAUSTOFF AG ............ 174,361
74,873 WILSON (CONNOLLY) HOLDINGS PLC ...... 212,055
224,900 WOLSELEY PLC ........................ 1,778,105
------------
93,300,569
------------
CONTAINERS--0.05%
59,900 CCL INDUSTRIES, INC (CLASS B) ....... 655,504
26,000 CROWN CORK & SEAL CO, INC ........... 1,413,750
------------
2,069,254
------------
See notes to financial statements.
-34-
<PAGE>
SHARES VALUE
------ -----
COSMETICS--0.28%
44,800 AVON PRODUCTS, INC .................. $ 2,559,200
54,800 GILLETTE CO ......................... 4,260,700
6,900 INTERNATIONAL FLAVORS &
FRAGRANCES, INC ..................... 310,500
7,420 LOREAL S.A .......................... 2,788,850
173,000 SHISEIDO & CO LTD ................... 1,997,129
------------
11,916,379
------------
ELECTRICAL EQUIPMENT--3.43%
20,900 ABB AB SERIES B ..................... 2,363,038
34,090 ABB ASEA BROWN BOVERI LTD (BR) ...... 42,269,798
2,000 ADVANTEST CORP ...................... 93,558
24,487 ALCATEL ALSTHOM CIE GEN ............. 1,963,179
109,000 AMCOL HOLDINGS LTD .................. 204,160
8,500 o AMERICAN POWER CONVERSION CORP ...... 231,625
436 BICC LTD ............................ 2,066
56,360 DELTA PLC ........................... 368,916
487,000 FUJITSU LTD ......................... 4,531,145
242,764 GENERAL ELECTRIC CO ................. 24,003,290
606,181 GENERAL ELECTRIC CO (UNITED KINGDOM) 3,962,705
5,500 GENERAL SIGNAL CORP ................. 235,125
795,000 HITACHI LTD ......................... 7,396,839
511,000 MITSUBISHI ELECTRIC CORP ............ 3,037,562
340,000 NIPPON ELECTRIC CORP (N.E.C.) ....... 4,100,740
21,430 NKT HOLDINGS AS ..................... 1,271,507
108,700 PHILIPS ELECTRONICS NV .............. 4,398,778
97,740 SIEMENS AG .......................... 4,598,110
211,000 SUMITOMO ELECTRIC INDUSTRIES CO ..... 2,944,779
39,000 TOKYO ELECTRON CO LTD ............... 1,192,746
31,000 o TOSHIBA CORP ........................ 194,423
1,697,200 WESTINGHOUSE ELECTRIC CORP .......... 33,731,850
91,000 YOKOGAWA ELECTRIC CORP .............. 783,965
------------
143,879,904
------------
ELECTRICAL EQUIPMENT--
COMPONENTS DIVERSIFIED--7.09%
70,500 AMP, INC ............................ 2,705,437
2,300 BARCO INDUSTRIES NV ................. 396,799
31,800 o COREL CORP .......................... 234,318
167,098 FUTURIS CORP LTD .................... 228,288
1,428,174 INTEL CORP .......................... 187,001,533
130,100 o INTER-CITY PRODUCTS CORP ............ 379,659
65,000 KYOCERA CORP ........................ 4,043,019
8,550 LEGRAND S.A ......................... 1,453,834
1,108,500 MICRON TECHNOLOGY, INC .............. 32,285,062
151,000 MINEBEA CO LTD ...................... 1,259,237
60,674 MOTOROLA, INC ....................... 3,723,866
37,200 MURATA MANUFACTURING CO LTD ......... 1,233,840
47,000 NITTO DENKO CORP .................... 688,338
96,000 OMRON CORP .......................... 1,802,947
489,030 OXFORD INSTRUMENTS GROUP PLC ........ 3,514,883
71,800 RACAL ELECTRONICS PLC ............... 316,393
7,700 ROHM CO ............................. 504,149
312,500 SGL CARBON AG ....................... 39,338,774
39,000 TAIYO YUDEN CO LTD .................. 544,295
16,300 TEXAS INSTRUMENTS, INC .............. 1,039,125
402,000 o XILINX, INC ......................... 14,798,625
------------
297,492,421
------------
ELECTRICAL EQUIPMENT--
INSTRUMENTS--0.43%
74,000 ALPS ELECTRIC CO LTD ................ 803,262
22,600 o APPLIED MATERIALS, INC .............. 812,187
6,000 o ASAHI OPTICAL CO LTD ................ 23,932
158,000 CANON, INC .......................... 3,484,595
127,000 CITIZEN WATCH CO LTD ................ 908,107
167,000 FUJI PHOTO FILM CO LTD .............. 5,495,853
139,000 KONICA CORP ......................... 919,668
20,000 OLYMPUS OPTICAL CO LTD .............. 189,530
2,000 RICOH CO LTD ........................ 22,915
4,000 SEIKO CORP .......................... 24,466
9,700 TEKTRONIX, INC ...................... 497,125
249,000 TOPPAN PRINTING CO LTD .............. 3,110,445
10,000 VARIAN ASSOCIATES, INC .............. 508,750
73,000 YAMAHA CORP ......................... 1,238,923
------------
18,039,758
------------
ENVIRONMENTAL CONTROL--0.09%
13,200 OGDEN CORP .......................... 247,500
106,800 WMX TECHNOLOGIES, INC ............... 3,484,350
------------
3,731,850
------------
FINANCIAL--MISCELLANEOUS--1.25%
16,000 ACOM CO LTD ......................... 680,929
56,000 AMERICAN EXPRESS CO ................. 3,164,000
1,123,560 o BURE INVESTMENT AKTIEBOLAGET AB ..... 13,328,720
14,700 o CATELLUS DEVELOPMENT CORP ........... 167,212
3,793 COMPAGNIE BANCAIRE S.A .............. 447,968
31,908 COUNTRYWIDE CREDIT INDUSTRIES, INC .. 913,366
15,444 CPR-COMPAGNIE PARISIENNE
DE REESCOMPTE ...................... 1,229,269
52,800 CREDIT SAISON CO LTD ................ 1,178,118
291,000 DAIWA SECURITIES CO LTD ............. 2,582,173
600 EURAFRANCE S.A ...................... 258,751
120,088 FEDERAL NATIONAL
MORTGAGE ASSOCIATION ............... 4,473,278
19,000 GOLDEN WEST FINANCIAL CORP .......... 1,199,375
46,128 GREAT WESTERN FINANCIAL CORP ........ 1,337,712
5,300 HOUSEHOLD INTERNATIONAL, INC ........ 488,925
21,900 MBNA CORP ........................... 908,850
63,675 MERCURY ASSETS MANAGEMENT
GROUP PLC .......................... 1,355,005
44,000 MERRILL LYNCH & CO, INC ............. 3,586,000
29,000 NIPPON SHINPAN CO LTD ............... 162,392
347,000 NOMURA SECURITIES CO LTD ............ 5,201,564
26,500 PAINE WEBBER GROUP INC .............. 745,312
276,251 PROVIDENT FINANCIAL PLC ............. 2,375,560
22,000 SALOMON, INC ........................ 1,036,750
117,791 SCHROEDERS LTD ...................... 3,053,872
8,700 SCHWAB (CHARLES) CORP ............... 278,400
481,000 YAMAICHI SECURITIES CO LTD .......... 2,134,064
------------
52,287,565
------------
FOODS--1.31%
49,000 AJINOMOTO CO LTD .................... 498,119
152,886 ARCHER DANIELS MIDLAND CO ........... 3,363,492
385,340 ASSOCIATED BRITISH FOODS PLC ........ 3,194,949
1,220 AULT FOODS LTD ...................... 16,955
216,013 CADBURY SCHWEPPES LTD ............... 1,820,590
16,000 CAMPBELL SOUP CO .................... 1,284,000
47,700 CONAGRA, INC ........................ 2,373,075
8,300 CULTOR OY SERIES 2 .................. 426,795
11,000 DANISCO AS .......................... 667,581
5,371 DANONE GROUP ........................ 746,947
18,800 EBRO CIA AZUC ALCO .................. 330,261
6,738 ERIDANIA BEGHIN-SAY S.A ............. 1,082,216
53,000 EZAKI GLICO CO LTD .................. 456,595
227,334 o FINANZIARIA AUTOGRILL S.P.A ......... 219,891
3,300 GENERAL MILLS, INC .................. 209,137
17,400 o GREENCORE GROUP PLC ................. 111,319
79,150 HEINZ (H.J.) CO ..................... 2,829,612
140,000 HOUSE FOODS CORP .................... 2,255,407
15,300 o KERRY GROUP CLASS A ................. 155,371
See notes to financial statements.
-35-
<PAGE>
SHARES VALUE
------ -----
FOODS--(CONTINUED)
31,095 KORN-OG FODERSTOF KOMPAGNIET AS ..... $ 1,259,265
176,000 MEIJI SEIKA KAISHA LTD .............. 911,260
259,000 NESTLE MALAYSIA BERHAD .............. 2,081,844
8,259 NESTLE S.A. (REGD) .................. 8,838,390
121,000 NICHIREI CORP ....................... 586,879
49,000 NIPPON BEET SUGAR
MANUFACTURING CO LTD ............... 181,518
67,000 NIPPON MEAT PACKERS, INC ............ 865,807
17,000 o NIPPON SUISAN KAISHA LTD ............ 60,046
2,400 ORKLA AS SERIES B ................... 167,256
478,500 PARMALAT FINANZIARIA S.P.A .......... 730,458
2,450 o PECHINEY S.A ........................ 102,452
4,400 PIONEER-HI-BRED INTERNATIONAL, INC .. 308,000
388,000 PRIMA LTD ........................... 1,428,509
51,000 Q.P. CORP ........................... 413,003
900 QUAKER OATS CO ...................... 34,312
10,956 RALSTON PURINA CO ................... 803,896
47,000 SARA LEE CORP ....................... 1,750,750
136,000 SNOW BRAND MILK PRODUCTS CO ......... 767,424
25,000 TAKARA SHUZO CO LTD ................. 175,530
90,300 UNIGATE PLC ......................... 642,073
174,513 UNILEVER LTD ........................ 4,230,293
28,600 UNILEVER NV CERTIFICATES ............ 5,052,703
214,661 UNITED BISCUITS HOLDINGS PLC ........ 771,433
36,000 YAMAZAKI BAKING CO LTD .............. 573,759
------------
54,779,172
------------
FOREST PRODUCTS--0.28%
358,269 ARJO WIGGINS APPLETON PLC ........... 1,097,459
5,700 BOISE CASCADE CORP .................. 180,975
489,200 CARTER HOLT HARVEY LTD .............. 1,109,596
25,200 CHAMPION INTERNATIONAL CORP ......... 1,089,900
14,700 o EMPRESA NATIONAL DE CELULOSAS S.A ... 175,736
90,500 FLETCHER CHALLENGE LTD
(ENERGY DIVISION) .................. 262,183
196,400 FLETCHER CHALLENGE LTD
(FORESTS DIVISION) ................. 328,899
51,600 o INTERNATIONAL FOREST PRODUCTS LTD ... 404,683
117,000 JAYA TIASA HOLDINGS BERHAD .......... 620,787
202,500 o JEFFERSON SMURFIT GROUP PLC ......... 615,202
7,270 PAPIERWERKE
WALDHOF-ASCHAFFENBURG AG. .......... 967,068
80,400 o REPAP ENTERPRISES, INC .............. 226,999
180,866 REXAM PLC ........................... 1,115,805
72,800 o SARRIO CIA PAPELERA DE LEIZA S.A .... 239,545
21,100 SCA AB SERIES B ..................... 427,995
9,600 STORA KOPPARBERG BERGSLAGS
SERIES A FREE ...................... 132,161
123,100 STORA KOPPARBERG BERGSLAGS
SERIES B FREE ...................... 1,676,672
36,400 o UPM-KYMMENE OY ...................... 762,118
9,800 WEYERHAEUSER CO ..................... 464,275
------------
11,898,058
------------
HEALTHCARE--DRUGS--6.61%
124,364 AMERICAN HOME PRODUCTS CORP ......... 7,290,839
568,000 o AMGEN, INC .......................... 30,885,000
9,800 ASTRA AB SERIES A FREE .............. 483,685
159,800 ASTRA AB SERIES B FREE .............. 7,699,807
9,000 BANYU PHARMACEUTICAL CO LTD ......... 125,606
90,063 BRISTOL MYERS SQUIBB CO ............. 9,794,351
109,000 CHUGAI PHARMACEUTICAL CO LTD ........ 910,863
117,000 DAIICHI PHARMACEUTICAL CO LTD ....... 1,874,796
1,000 ELF SANOFI S.A ...................... 99,253
749,006 GLAXO WELLCOME PLC .................. 12,151,217
24,600 KISSEI PHARMACEUTICALS CO LTD ....... 487,436
163,000 KYOWA HAKKO KOGYO ................... 1,241,352
70,262 LILLY (ELI) & CO .................... 5,129,126
22,230 MERCK & CO KGAA ..................... 799,131
176,282 MERCK & CO, INC ..................... 13,970,348
50,200 MOCHIDA PHARMACEUTICAL CO LTD ....... 484,369
107,697 o NOVARTIS AG (REGD) .................. 122,951,744
18,300 NOVO NORDISK AS (CLASS B) ........... 3,443,520
54,500 o NYCOMED AS SERIES B ................. 836,437
80,762 PFIZER, INC ......................... 6,693,150
1,250 o RHONE-POULENC RORER INC-CTF SICO .... 95,695
50 ROCHE HOLDINGS AG. (BR) ............. 562,258
2,228 ROCHE HOLDINGS AG. (GENUSSCHEINE) ... 17,280,782
49,100 SANKYO CO LTD ....................... 1,387,428
11,100 SCHERING AG ......................... 935,623
80,900 SCHERING-PLOUGH CORP ................ 5,238,275
109,000 SHIONOGI & CO LTD ................... 776,581
643,638 SMITHKLINE BEECHAM/BECKMAN LTD ...... 8,916,300
74,100 TAISHO PHARMACEUTICAL CO LTD ........ 1,742,754
178,000 TAKEDA CHEMICAL INDUSTRIES LTD ...... 3,726,332
11,000 TANABE SEIYAKU CO LTD ............... 85,572
16,900 WARNER-LAMBERT CO ................... 1,267,500
125,000 YAMANOUCHI PHARMACEUTICAL CO LTD .... 2,562,962
192,616 ZENECA GROUP PLC .................... 5,430,551
------------
277,360,643
------------
HEALTHCARE--HOSPITAL SUPPLY--0.37%
112,733 ABBOTT LABORATORIES CO .............. 5,721,199
12,100 BAXTER INTERNATIONAL, INC ........... 496,100
11,000 BECTON DICKINSON & CO ............... 477,125
5,200 o INSTRUMENTARIUM GROUP
SERIES B FREE ....................... 188,414
173,438 JOHNSON & JOHNSON CO ................ 8,628,540
2,300 RADIOMETER AS (CLASS B) ............. 136,466
------------
15,647,844
------------
HEALTHCARE--OTHER--0.07%
463 ESSILOR INTERNATIONAL ............... 140,267
20,700 o LOEWEN GROUP, INC ................... 807,944
100,000 o TRANSKARYOTIC THERAPIES, INC ........ 1,850,000
------------
2,798,211
------------
<PAGE>
HEALTHCARE--SERVICE--3.27%
1,200,333 + ADAC LABORATORIES, INC NEW .......... 28,657,950
762,243 AETNA, INC .......................... 60,979,440
142,500 COLUMBIA/HCA HEALTHCARE CORP ........ 5,806,875
12,100 o EXTENDICARE INC (SUB-VTG)(CLASS A) .. 142,565
40,900 o HUMANA, INC ......................... 782,212
20,500 MANOR CARE, INC ..................... 553,500
1,929,208 o MEDPARTNERS, INC .................... 40,513,368
------------
137,435,910
------------
HOUSEHOLD--
CONSUMER ELECTRONICS--0.45%
89,000 CASIO COMPUTER CO LTD ............... 686,994
554,000 MATSUSHITA
ELECTRIC INDUSTRIAL CO LTD ......... 9,020,421
68,000 PIONEER ELECTRONIC CORP ............. 1,294,662
581,000 SANYO ELECTRIC CO LTD ............... 2,402,551
123,000 SHARP CORP .......................... 1,748,414
54,400 SONY CORP ........................... 3,557,099
21,100 o ZENITH ELECTRONICS CORP ............. 229,462
------------
18,939,603
------------
HOUSEHOLD--DURABLE GOODS--0.12%
29,600 BLACK & DECKER CORP ................. 891,700
10,000 ELECTROLUX AB SERIES B .............. 579,965
394,000 EMAIL LTD ........................... 1,273,723
33,000 MAYTAG CO ........................... 651,750
35,500 SHAW INDUSTRIES, INC ................ 417,125
7,800 STANLEY WORKS CO .................... 210,600
25,000 WHIRLPOOL CORP ...................... 1,165,625
------------
5,190,488
------------
See notes to financial statements.
-36-
<PAGE>
SHARES VALUE
------ -----
HOUSEHOLD--PRODUCTS--0.53%
6,296 BIC S.A ............................. $ 942,195
21,800 DIAL CORP ........................... 321,550
137,000 KAO CORP ............................ 1,593,344
50,800 KIMBERLY-CLARK CORP ................. 4,838,700
39,000 NORITAKE CO LTD ..................... 324,561
107,000 PROCTER & GAMBLE CO ................. 11,502,500
7,000 RUBBERMAID, INC ..................... 159,250
12,110 SMH AG. (REGD) ...................... 1,722,528
12,400 TAMBRANDS, INC ...................... 506,850
5,000 UNI CHARM CORP ...................... 122,333
------------
22,033,811
------------
INSURANCE--BROKERS & OTHER--0.03%
13,300 MBIA, INC ........................... 1,346,625
------------
INSURANCE--LIFE--0.30%
2,600 o AEGON NV ............................ 165,487
252 CONSECO, INC ........................ 16,065
28,900 o IRISH PRESS PLC ..................... 134,022
6,600 JEFFERSON-PILOT CORP ................ 373,725
207,535 LEGAL & GENERAL GROUP PLC ........... 1,321,175
4,500 LIBERTY CORP ........................ 176,625
29,100 PROVIDIAN CORP ...................... 1,495,012
712,435 PRUDENTIAL CORP PLC ................. 5,992,318
23,600 SUNAMERICA, INC ..................... 1,047,250
23,000 TORCHMARK CORP ...................... 1,161,500
8,100 UNUM CORP ........................... 585,225
------------
12,468,404
------------
INSURANCE--MULTI-LINE,
PROPERTY & CASUALTY--2.50%
910 AACHENER & MUNCHENER BERTEIL (BR) ... 590,487
1,735 AACHENER & MUNCHENER BERTEIL
(REGD) ............................ 1,238,400
8,200 AFLAC, INC .......................... 350,550
63,927 ALLEANZA ASSICURAZIONI (S/S) NON CV . 319,686
3,809 ALLIANZ AG. (REGD) .................. 6,920,509
565,868 ALLSTATE CORP ....................... 32,749,610
56,487 AMERICAN INTERNATIONAL GROUP, INC ... 6,114,717
216,622 ASSICURAZIONI GENERALI S.P.A ........ 4,097,946
76,160 AXA S.A ............................. 4,834,344
23,100 CIGNA CORP .......................... 3,156,037
9,900 COLONIA KONZERN AG. (REGD) .......... 815,845
4,160 COMMERICAL UNION ASSURANCE CO LTD ... 48,658
900 EA-GENERALI AG ...................... 265,694
256 o FORTIS AG NPV (STRIP VVPR) .......... 128
8,219 FORTIS AG ........................... 1,317,040
3,700 GENERAL REINSURANCE CORP ............ 583,675
150,380 GUARDIAN ROYAL EXCHANGE
ASSURANCE PLC ...................... 719,280
99,900 ING GROEP NV ........................ 3,592,198
198,900 INSTITUTO NAZIONALE DELLE
ASSICURAZION ....................... 258,611
35,000 ITT HARTFORD GROUP, INC ............. 2,362,500
17,200 LINCOLN NATIONAL CORP ............... 903,000
262,000 MITSUI TAISHO MARINE & FIRE CO LTD .. 1,406,191
2,503 MUNCHENER RUECKVERSICHERUNGS-
GESELLSCHAFT (REGD) (P/P) ........... 6,244,911
115 o MUNCHENER RUECKVERSICHERUNGS-
GESELLSCHAFT (REGD)
(P/P) WTS 3/13/98 .................. 24,028
216,000 NIPPON FIRE &
MARINE INSURANCE CO LTD ............ 976,941
29,700 RAS S.P.A ........................... 276,527
677,489 ROYAL & SUN ALLIANCE
INSURANCE GRP PLC .................. 5,153,474
2,000 ROYALE BELGE VIE ACCIDENTS .......... 412,414
2,690 SCHWEIZERISCHE RUCKVERSICHERUNG
(REGD) ............................. 2,862,684
12,700 SKANDIA FORSAKRINGS AB .............. 358,978
27,500 ST. PAUL COS, INC ................... 1,612,187
261,000 SUMITOMO MARINE & FIRE INSURANCE CO . 1,618,930
168,000 TOKIO MARINE & FIRE INSURANCE CO LTD 1,577,578
22,300 TRANSAMERICA CORP ................... 1,761,700
133,558 TRAVELERS GROUP, INC ................ 6,060,194
118,900 WILLIS CORROON GROUP PLC ............ 285,880
10,843 ZURICH INSURANCE CO (REGD) .......... 3,003,871
------------
104,875,403
------------
LEISURE TIME--3.82%
30,600 BRUNSWICK CORP ...................... 734,400
8,900 CALLAWAY GOLF CO .................... 255,875
786,400 o CARMIKE CINEMAS, INC (CLASS A) ...... 19,954,900
3,619,800 CARNIVAL CORP (CLASS A) ............. 119,453,400
101,821 DISNEY (WALT) CO .................... 7,089,287
402 EMI GROUP PLC ....................... 9,493
39,000 GENTING BERHAD ...................... 268,699
163,592 GRANADA GROUP LTD (CLASS A) ......... 2,411,812
32,150 o HARRAHS ENTERTAINMENT, INC .......... 638,981
273,438 LADBROKE GROUP PLC .................. 1,080,928
1,668,500 MAGNUM CORP BERHAD .................. 3,237,238
7,900 MATTEL, INC ......................... 219,225
17,000 NAMCO LTD ........................... 519,915
1,000 NINTENDO CO LTD ..................... 71,418
177,100 o RANK GROUP PLC ...................... 1,319,875
5,350 SALOMON S.A ......................... 457,942
28,000 SEGA ENTERPRISES LTD ................ 940,758
43,000 SHIMANO, INC ........................ 729,776
56,902 o THORN PLC ........................... 244,901
3,000 TOHO CO LTD ......................... 434,196
------------
160,073,019
------------
MACHINERY--2.32%
126,000 AMADA CO LTD ........................ 976,941
41,000 AMANO CORP .......................... 437,986
61,800 ATLAS COPCO AB SERIES B FREE ........ 1,502,462
365,700 AUSTRALIAN NATIONAL INDUSTRIES LTD .. 363,094
93,200 BOMBARDIER, INC (CLASS B) ........... 1,720,259
18,530 XoBREMER VULKAN AG .................... 29,458
7,200 BRIGGS & STRATTON CORP .............. 316,800
96,000 BROTHERS INDUSTRIES LTD ............. 413,520
45,500 CATERPILLAR, INC .................... 3,423,875
12,400 CINCINNATI MILACRON, INC ............ 271,250
33,736 COOPER INDUSTRIES, INC .............. 1,421,129
100,000 DAIKIN INDUSTRIES LTD ............... 887,345
77,900 DEERE & CO .......................... 3,164,687
5,200 DOVER CORP .......................... 261,300
56,000 EBARA CORP .......................... 728,484
22,820 FAG KUGELFISCHER (GEORG)
SCHAEFER AG. ....................... 310,219
72,000 FANUC LTD ........................... 2,301,238
841 FISCHER (GEORGE) LTD (BR) ........... 870,562
21 FISCHER (GEORGE) LTD (REGD) ......... 4,300
228,844 FKI PLC ............................. 791,073
800 FLS INDUSTRIES AS (CLASS B) ......... 102,391
11,200 o FMC CORP NEW ........................ 785,400
133,690 IMI PLC ............................. 859,082
2,653 INDUSTRIE-WERKE KARLSRUHE
AUGSBURG AG. ....................... 628,346
See notes to financial statements.
-37-
<PAGE>
SHARES VALUE
------ -----
MACHINERY--(CONTINUED)
33,200 INGERSOLL-RAND CO ................... $ 1,477,400
343,000 KOMATSU LTD ......................... 2,807,197
33,000 KOMORI CORP ......................... 699,365
1,700 o KONE CORP SERIES B .................. 187,372
58,000 KOYO SEIKO CO LTD ................... 479,683
302,000 KUBOTA CORP ......................... 1,454,367
22,000 KVAERNER INDUSTRIER AS SERIES A ..... 1,069,782
120 LINDE AG ............................ 73,194
17,300 MAGNA INTERNATIONAL, INC ............ 962,372
61,000 MAKITA CORP ......................... 851,334
895 MAN AG. (STAMM) ..................... 216,621
6,339 MANNESMANN AG ....................... 2,743,567
200,800 o METAL MANUFACTURES LTD .............. 494,435
492,000 MITSUBISHI HEAVY INDUSTRIES LTD ..... 3,899,493
37,000 MORI SEIKI CO LTD ................... 510,008
240,400 o NOVELLUS SYSTEMS, INC ............... 13,026,675
199,000 NTN TOYO BEARING CO LTD ............. 1,080,062
6,000 OKUMA CORP .......................... 47,761
21,400 PARKER-HANNIFIN CORP ................ 829,250
19,000 SANDEN CORP ......................... 151,899
340 SCHINDLER HOLDINGS LTD (REGD) ....... 346,887
395,700 SIDEL S.A ........................... 27,172,586
233,900 STORK NV ............................ 8,234,779
257,000 o SUMITOMO HEAVY INDUSTRIES LTD ....... 779,347
1,200 SUNDSTRAND CORP ..................... 51,000
34,000 TAKUMA CO LTD ....................... 371,995
188,600 TI GROUP PLC ........................ 1,878,411
109,000 TOYOTA AUTOMATIC LOOM WORKS LTD ..... 2,037,705
11,700 TRINITY INDUSTRIES, INC ............. 438,750
5,000 TSUGAMI CORP ........................ 14,430
1,900 VA TECHNOLOGIE AG. (BR) ............. 297,896
300 VICKERS PLC ......................... 1,309
------------
97,258,133
------------
METALS--ALUMINUM--0.16%
45,100 ALCAN ALUMINIUM CO LTD .............. 1,521,758
52,400 ALUMINUM CO OF AMERICA .............. 3,340,500
570 ALUSUISSE LONZA HOLDINGS AG. (BR) ... 444,437
53,000 TOYO SEIKAN KAISHA LTD .............. 1,273,900
------------
6,580,595
------------
METALS--GOLD--0.31%
45,900 AGNICO EAGLE MINES LTD .............. 644,615
150,000 BARRICK GOLD CORP ................... 4,295,249
55,700 BARRICK GOLD CORP ................... 1,601,375
61,300 CAMBIOR, INC ........................ 903,377
22,800 ECHO BAY MINES LTD .................. 151,367
172,500 o EMPEROR MINES LTD ................... 335,691
4,500 FREEPORT MCMORAN COPPER &
GOLD, INC (CLASS A) ................ 126,562
37,700 FREEPORT-MCMORAN COPPER &
GOLD INC, (CLASS B) ................ 1,126,287
69,400 GREAT CENTRAL MINES LTD ............. 197,345
194,794 NEWCREST MINING LTD ................. 773,624
32,500 NEWMONT MINING CORP ................. 1,454,375
114,100 NORMANDY MINING LTD ................. 157,695
53,000 PLACER DOME, INC .................... 1,161,924
27,800 o SONS OF GWALIA NL ................... 164,065
------------
13,093,551
------------
METALS--NON-FERROUS--0.59%
109,100 ABERFOYLE LTD ....................... 279,039
128,200 ASHTON MINING LTD ................... 223,006
9,500 CAMECO CORP ......................... 380,498
14,700 COMINCO LTD ......................... 365,703
95,000 CRA LTD ............................. 1,490,305
79,000 FUJIKURA LTD ........................ 631,582
262,000 FURUKAWA ELECTRIC CO LTD ............ 1,239,164
69,381 INCO LTD ............................ 2,214,501
443,000 JAPAN ENERGY CORP ................... 1,202,180
450 JOHNSON MATTHEY PLC ................. 4,235
533,770 MIM HOLDINGS LTD .................... 746,193
575,000 MITSUBISHI MATERIALS CORP ........... 2,318,296
235,000 NIPPON LIGHT METAL CO LTD ........... 963,673
58,200 NORANDA, INC ........................ 1,297,154
147,200 NORTH LTD ........................... 430,269
46,200 OUTOKUMPU OY SERIES A ............... 786,874
19,900 PHELPS DODGE CORP ................... 1,343,250
339,300 QCT RESOURCES LTD ................... 458,160
79,420 RGC LTD ............................. 352,635
13,300 RIO ALGOM LTD ....................... 296,913
49,250 RTC CORP PLC (BR) ................... 792,246
59,710 RTZ CORP PLC (REGD) ................. 956,931
910,300 STRAITS TRADING CO .................. 2,212,623
129,000 SUMITOMO METAL MINING CO LTD ........ 867,952
16,200 TECK CORP LTD (CLASS B) ............. 375,246
7,600 o UNION MINIERE GROUP S.A ............. 514,415
292,207 WMC LTD ............................. 1,840,553
------------
24,583,596
------------
METALS--STEEL--1.94%
3,600 ACERINOX S.A ........................ 519,216
3,005,000 AMSTEEL CORP BERHAD ................. 2,236,942
809,960 BRITISH STEEL PLC ................... 2,224,665
186,000 DAIDO STEEL CO LTD .................. 689,027
27,500 DOFASCO, INC ........................ 519,624
12,700 o HOOGOVENS NEN STAALIADRIEREN NV ..... 528,616
199,000 KAWASAKI STEEL CORP ................. 570,890
48,000 o KOBE STEEL LTD ...................... 100,898
904,000 NIPPON STEEL CORP ................... 2,663,482
1,149,000 o NKK CORP ............................ 2,583,543
5,813 PREUSSAG AKTIEGESELLSCHAFT AG ....... 1,314,535
68,000 o STELCO, INC (CLASS A) ............... 416,721
1,244,000 SUMITOMO METAL INDUSTRIES LTD ....... 3,054,362
1,862,600 o SVENSKT STAL AB (SSAB) SERIES A ..... 30,961,545
14,284 THYSSEN AG .......................... 2,530,355
55,000 TOKYO STEEL MANUFACTURING CO LTD .... 781,811
1,935,972 USINOR SACILOR S.A .................. 28,115,300
26,300 USX-US STEEL GROUP, INC ............. 825,162
29,500 WORTHINGTON INDUSTRIES, INC ......... 534,687
------------
81,171,381
------------
MISCELLANEOUS MATERIALS
& COMMODITIES--0.26%
132,000 ASAHI GLASS CO LTD .................. 1,239,526
950,000 o FIRST OLSEN TANKERS LTD ............. 8,480,269
447,000 KEMAYAN CORP BERHAD ................. 608,861
177,000 NIPPON SHEET GLASS CO LTD ........... 626,715
------------
10,955,371
------------
OFFICE EQUIPMENT--2.76%
22,800 o APPLE COMPUTER, INC ................. 475,950
13,100 o DATA GENERAL CORP ................... 189,950
14,000 o DIGITAL EQUIPMENT CORP .............. 509,250
159,552 HEWLETT-PACKARD CO .................. 8,017,488
483,590 INTERNATIONAL BUSINESS
MACHINES CORP ...................... 73,022,090
642,200 XEROX CORP .......................... 33,795,775
------------
116,010,503
------------
See notes to financial statements.
-38-
<PAGE>
SHARES VALUE
------ -----
PAPER--0.13%
9,000 o DAISHOWA PAPER
MANUFACTURING CO LTD ............... $ 39,000
290,300 FLETCHER CHALLENGE LTD (PAPER DIV) .. 596,916
17,500 INTERNATIONAL PAPER CO .............. 706,562
277,000 MALAYSIAN PACIFIC INDUSTRIES BERHAD . 1,074,875
66,000 MITSUBISHI PAPER MILLS LTD .......... 257,571
243,000 NIPPON PAPER INDUSTRIES CO .......... 1,130,460
31,666 OJI PAPER CO LTD .................... 199,964
15,700 UNION CAMP CORP ..................... 749,675
31,300 WESTVACO CORP ....................... 899,875
------------
5,654,898
------------
PETROLEUM--EXPLORATION
& PRODUCTION--0.99%
13,700 o CANADIAN NATURAL RESOURCES LTD ...... 375,807
83,266 LONDON & SCOTTISH MARINE OIL PLC .... 339,133
35,200 PETRO-CANADA (VARIABLE- VTG) ........ 496,913
14,700 o RENAISSANCE ENERGY LTD .............. 500,295
2,304,000 SAGA PETROLEUM AS SERIES A .......... 38,608,010
27,600 o SANTA FE ENERGY RESOURCES, INC ...... 382,950
18,400 o TALISMAN ENERGY, INC ................ 612,124
------------
41,315,232
------------
PETROLEUM--INTEGRATED--3.04%
23,700 ALBERTA ENERGY LTD .................. 565,397
96,600 AMOCO CORP .......................... 7,776,300
3,500 ARABIAN OIL CO LTD .................. 129,655
35,400 ATLANTIC RICHFIELD CO ............... 4,690,500
1,524,160 BRITISH PETROLEUM PLC ............... 18,271,106
796,235 BROKEN HILL PROPRIETARY CO LTD ...... 11,333,494
59,676 BURMAH CASTROL PLC .................. 1,124,380
14,500 CANADIAN OCCIDENTAL PETROLEUM LTD ... 233,256
77,100 CHEVRON CORP ........................ 5,011,500
290,000 COSMO OIL CO LTD .................... 1,391,580
60,982 ELF AQUITANE S.A .................... 5,540,083
1,210,300 ENTE NAZIONALE IDROCARBURI S.P.A .... 6,199,798
166,700 EXXON CORP .......................... 16,336,600
101,100 o GULF CANADA RESOURCES LTD ........... 737,579
30,200 IMPERIAL OIL LTD .................... 1,421,098
176,000 MITSUBISHI OIL CO LTD ............... 1,050,754
72,900 MOBIL CORP .......................... 8,912,025
500,000 NIPPON OIL CO LTD ................... 2,562,962
45,100 NORSK HYDRO AS ...................... 2,436,726
99,300 OCCIDENTAL PETROLEUM CORP ........... 2,321,137
4,000 OMV AKTIENGESELLS AG ................ 450,573
4,400 PETROFINA S.A ....................... 1,399,060
116,708 REPSOL S.A .......................... 4,468,310
102,100 ROYAL DUTCH PETROLEUM CO ............ 17,878,434
233,000 SANTOS LTD .......................... 943,866
12,400 SUNCOR, INC ......................... 512,934
18,050 TOTAL S.A ........................... 1,465,164
96,800 USX-MARATHON GROUP, INC NEW ......... 2,311,100
------------
127,475,371
------------
PETROLEUM--SERVICE--3.23%
15,100 BAKER HUGHES, INC ................... 520,950
15,720 o GLOBAL INDUSTRIAL TECHNOLOGIES, INC . 347,805
2,350,850 + IHC CALAND NV ....................... 134,136,368
9,100 KONINKLIJKE PAKHOED HOLDINGS NV ..... 284,079
10,300 MCDERMOTT INTERNATIONAL, INC ........ 171,237
1,200 TECHNIP S.A ......................... 112,410
------------
135,572,849
------------
PHOTOGRAPHY--0.12%
63,200 EASTMAN KODAK CO .................... 5,071,800
------------
PROPERTY--REAL ESTATE--0.85%
89,800 BRITISH LAND PLC .................... 794,498
590,000 CHEUNG KONG HOLDINGS LTD ............ 5,244,001
197 CHINESE ESTATES LTD ................. 219
196,560 CITY DEVELOPMENT LTD ................ 1,770,556
13,665 o CITY DEVELOPMENT LTD WTS 7/18/98 .... 95,736
130,000 DAIKYO, INC ......................... 612,612
61,084 o EVERGO CHINA HOLDINGS LTD ........... 10,187
56,400 GENERAL PROPERTY TRUST .............. 109,756
82,000 GREAT PORTLAND ESTATES PLC .......... 292,580
119,027 HAMMERSON PLC ....................... 819,855
11,000 o HENDERSON LAND DEVELOPMENT CO LTD ... 110,923
1,000 HYSAN DEVELOPMENT CO LTD ............ 3,981
2,554,000 IGB CORP BERHAD ..................... 2,841,709
33,492 LAND SECURITIES PLC ................. 426,422
264,000 MITSUBISHI ESTATE CO LTD ............ 2,706,488
191,000 MITSUI FUDOSAN CO LTD ............... 1,908,739
421,128 NEW WORLD DEVELOPMENT CO LTD ........ 2,844,713
175,800 SCHRODERS PROPERTY FUND ............. 322,563
1,420 SEFIMEG S.A ......................... 102,700
2,353 SIMCO (REGD) ........................ 205,029
99 o SIMCO (REGD) NEW .................... 8,308
119,000 o SINO LAND CO ........................ 145,384
160,500 SLOUGH ESTATES PLC .................. 764,938
142,400 STOCKLAND TRUST GROUP (UNITS) ....... 367,602
558,900 SUN HUNG KAI PROPERTIES LTD ......... 6,846,228
1,265,200 UNITED OVERSEAS LAND LTD ............ 1,926,561
28,100 VALLEHERMOSO S.A .................... 608,132
85,500 WESTFIELD TRUST (UNITS) ............. 161,632
740,000 WHARF HOLDINGS LTD .................. 3,692,811
------------
35,744,863
------------
PUBLISHING--NEWSPAPER--0.20%
21,700 DOW JONES & CO, INC ................. 735,087
546,504 NEWS CORP LTD ....................... 2,882,345
42,400 PEARSON PLC ......................... 543,830
45,000 SINGAPORE PRESS HOLDINGS LTD (FR) ... 887,903
32,400 TIMES MIRROR CO (SERIES A) NEW ...... 1,611,900
20,200 TRIBUNE CO NEW ...................... 1,593,275
------------
8,254,340
------------
PUBLISHING--OTHER--0.54%
206,000 DAI NIPPON PRINTING CO LTD .......... 3,602,620
94,255 DE LA RUE CO PLC .................... 923,434
3,800 DONNELLEY (R.R.) & SONS CO .......... 119,225
56,000 DUN & BRADSTREET CORP ............... 1,330,000
35,700 ELSEVIER UTIGEVERSMIJ NV ............ 602,636
32,000 GAKKEN CO LTD ....................... 180,570
31,700 MCGRAW HILL COS, INC ................ 1,462,162
27,610 REED INTERNATIONAL PLC .............. 520,447
2,593,000 SOUTH CHINA MORNING POST ............ 2,145,460
9,600 SOUTHAM, INC ........................ 133,420
206,200 THOMSON CORP ........................ 4,550,629
107,558 TIME WARNER, INC .................... 4,033,425
22,300 WOLTERS KLUWER NV ................... 2,958,639
------------
22,562,667
------------
RAILROAD--1.09%
41,900 BURLINGTON NORTHERN SANTA FE CORP ... 3,619,112
1,053,000 CANADIAN PACIFIC LTD ................ 27,694,344
9,800 CANADIAN PACIFIC LTD (U.S.) NEW ..... 259,700
61,896 CSX CORP ............................ 2,615,106
90 EAST JAPAN RAILWAY CO ............... 403,957
234,250 HANKYU CORP ......................... 1,160,386
18,000 o KEISEI ELECTRIC RAILWAY CO .......... 124,831
112,769 KINKI NIPPON RAILWAY CO LTD ......... 702,398
See notes to financial statements.
-39-
<PAGE>
SHARES VALUE
------ -----
RAILROAD--(CONTINUED)
363,490 NAGOYA RAILROAD CO LTD .............. $ 1,393,502
216,000 NANKAI ELECTRIC RAILWAY CO .......... 1,163,025
225,000 NIPPON EXPRESS CO LTD ............... 1,539,069
16,100 NORFOLK SOUTHERN CORP ............... 1,408,750
14,950 ODAKYU ELECTRIC RAILWAY CO LTD ...... 89,512
1,000 o SEIBU RAILWAY CO .................... 39,025
319,020 TOBU RAILWAY CO LTD ................. 1,558,318
227,000 TOKYU CORP .......................... 1,286,788
9,500 UNION PACIFIC CORP .................. 571,187
------------
45,629,010
------------
RESTAURANTS & HOTELS--0.74%
14,033 ACCOR S.A ........................... 1,773,424
3,600 o CHOICE HOTELS INTERNATIONAL, INC .... 63,450
1,500,000 COMPASS GROUP PLC ................... 15,850,916
18,400 CRACKER BARREL
OLD COUNTRY STORE, INC ............. 466,900
47,100 DARDEN RESTAURANTS, INC ............. 412,125
57,000 FUJITA KANKO, INC ................... 1,055,768
31,500 o HOST MARRIOTT CORP .................. 504,000
11,900 o ITT CORP (NEW) ...................... 516,162
9,500 MARRIOTT INTERNATIONAL, INC ......... 524,875
142,166 MCDONALDS CORP ...................... 6,433,011
3,909 MOEVENPICK HOLDINGS (BR) ............ 1,117,855
3,275 o PROMUS HOTEL CORP ................... 97,021
1,268,000 REGAL HOTELS INTERNATIONAL LTD ...... 442,609
50,000 RESORTS WORLD BERHAD ................ 227,677
26,500 o SCOTTS RESTAURANTS INC .............. 111,165
21,000 SKYLARK CO LTD ...................... 320,219
700 SODEXHO S.A ......................... 389,128
23,100 SYSCO CORP .......................... 753,637
------------
31,059,942
------------
RETAIL--FOOD--0.64%
47,000 ALBERTSONS, INC ..................... 1,674,375
30,600 AMERICAN STORES CO NEW .............. 1,250,775
10,295 CARREFOUR SUPERMARCHE S.A ........... 6,685,370
503,826 DAIRY FARM INTERNATIONAL HOLDINGS LTD 405,579
39,000 DELHAIZE FRERES NV .................. 2,314,399
76,600 KONINKLIJKE AHOLD NV ................ 4,782,522
41,000 o KROGER CO ........................... 1,906,500
4,900 PROMODES S.A ........................ 1,380,798
406,020 SAFEWAY PLC ......................... 2,807,080
63,190 SAINSBURY (J) PLC ................... 419,571
19,100 SUPERVALU, INC ...................... 541,962
463,294 TESCO PLC ........................... 2,810,600
------------
26,979,531
------------
RETAIL--GENERAL MERCHANDISE--2.74%
13,270 ADIDAS AG ........................... 1,145,227
29,000 AOYAMA TRADING CO LTD ............... 769,491
114,280 BOOTS CO LTD ........................ 1,178,293
26,400 BULGARI S.P.A ....................... 535,032
1,275 COMPTOIRS MODERNES .................. 686,696
56,200 o CUC INTERNATIONAL, INC .............. 1,334,750
1,000 CVS CORP ............................ 41,375
46,000 DAIEI, INC .......................... 350,716
107,000 DAIMARU, INC ........................ 570,597
51,800 DAYTON HUDSON CORP .................. 2,033,150
617,000 DOLLAR GENERAL CORP ................. 19,744,000
51,390 GREAT UNIVERSAL STORES PLC .......... 538,215
1,400 o GUCCI GROUP NV ...................... 93,883
8,200 HENNES & MAURITZ AB SERIES B ........ 1,133,686
69,400 HOME DEPOT, INC ..................... 3,478,675
1,317,500 INTIMATE BRANDS, INC (CLASS A) ...... 22,397,500
33,000 ISETAN CO ........................... 426,442
77,000 ITO-YOKADO CO LTD ................... 3,343,309
56,000 JUSCO CO LTD ........................ 1,895,989
82 o K MART CORP ......................... 850
2,750 KARSTADT AG ......................... 927,908
240,840 KINGFISHER PLC ...................... 2,602,724
41,320 LIMITED, INC ........................ 759,255
696,766 MARKS & SPENCER PLC ................. 5,854,564
139,000 MARUI CO LTD ........................ 2,502,743
61,700 MAY DEPARTMENT STORES CO ............ 2,884,475
17,586 o METRO AG ............................ 1,415,004
121,000 MITSUKOSHI LTD ...................... 856,865
128,000 MYCAL CORP .......................... 1,852,569
15,000 o NATIONAL HOUSE INDUSTRIAL ........... 199,006
135,570 NEXT PLC ............................ 1,316,605
57,500 PENNEY, (J.C.) CO, INC .............. 2,803,125
5,000 PINAULT-PRINTEMPS-REDOUTE S.A ....... 1,979,302
1,700 o POLYGRAM NV ......................... 86,484
40,100 RINASCENTE S.P.A .................... 232,195
4,200 RITE AID CORP ....................... 166,950
10,100 ROUSE CO ............................ 320,675
354,643 SEARS PLC ........................... 576,555
91,600 SEARS ROEBUCK & CO .................. 4,225,050
10,249 SEVEN-ELEVEN JAPAN CO LTD ........... 598,641
10,000 SHIMACHU CO ......................... 255,865
3,800 o STOCKMANN B FREE .................... 226,730
40,000 o TAG HEUER INTERNATIONAL SA .......... 6,434,320
61,300 o TOYS R US, INC ...................... 1,839,000
78,000 UNY CO LTD .......................... 1,424,576
2,087 VALORA HOLDINGS AG REGD ............. 397,879
409,458 WAL-MART STORES, INC ................ 9,366,351
44,000 o WOOLWORTH CORP ...................... 962,500
------------
114,765,792
------------
TEXTILE & APPAREL--0.53%
2,962 o CHARGEURS INTERNATIONAL S.A ......... 146,424
179,298 COATS VIYELLA PLC ................... 408,087
42,990 COURTAULDS TEXTILES PLC ............. 166,265
300,000 DAWSON INTERNATIONAL PLC ............ 295,199
12,590 DOLLFUS-MIEG & CIE S.A .............. 304,651
137,000 FILA HOLDING S.P.A. ADR ............. 7,963,125
18,200 o FRUIT OF THE LOOM, INC (CLASS A) .... 689,325
88,000 o GUNZE LTD ........................... 455,630
205,000 o KANEBO LTD .......................... 422,091
97,000 KURABO INDUSTRIES LTD ............... 275,766
35,400 NIKE, INC (CLASS B) ................. 2,115,150
92,000 NISSHINBO INDUSTRY, INC ............. 714,907
101,000 ONWARD KASHIYMA CO LTD .............. 1,418,287
2,962 o PATHE S.A ........................... 712,183
89,000 o RENOWN, INC ......................... 236,921
19,000 o SANRIO CO LTD ....................... 153,045
213,000 TEIJIN LTD .......................... 928,507
36,000 TOKYO STYLE CO LTD .................. 502,426
462,000 TORAY INDUSTRIES, INC ............... 2,845,792
19,600 VF CORP ............................. 1,323,000
------------
22,076,781
------------
TOBACCO--3.71%
1,051,961 B.A.T. INDUSTRIES LTD ............... 8,722,070
50 CIE FINANCIERE RICHEMONT AG.
(UNITS A) .......................... 70,003
1,107,300 PHILIP MORRIS COS, INC .............. 124,709,662
3,995,000 PT HANJAYA MANDALA SAMPOERNA (FR) ... 21,292,551
33,300 ROTHMANS HOLDINGS LTD ............... 214,246
9,800 SEITA S.A ........................... 409,055
------------
155,417,587
------------
See notes to financial statements.
-40-
<PAGE>
SHARES VALUE
------ -----
TRADING COMPANIES--0.30%
256,000 ITOCHU CORP ......................... $ 1,371,783
434,000 MALAYSIAN MOSAICS BERHAD ............ 556,784
600,000 MARUBENI CORP ....................... 2,574,162
353,000 MITSUBISHI CORP ..................... 3,649,314
131,000 MITSUI & CO LTD ..................... 1,060,851
54,000 o NAGASE & CO ......................... 447,066
362,000 SUMITOMO CORP ....................... 2,847,309
------------
12,507,269
------------
TRUCKERS & SHIPPING--0.69%
9,600 o BERGESEN D.Y. AS (CLASS B) .......... 228,520
7,600 CALIBER SYSTEM, INC ................. 146,300
1,906,000 CHUAN HUP HOLDINGS LTD .............. 1,274,026
45 DAMPSKIBSSELSKABET AF 1912
(CLASS B) .......................... 1,155,723
33 DAMPSKIBSSELSKABET SVENDBORG
(CLASS B) .......................... 1,236,331
1,127,656 o ICB SHIPPING AB SERIES B ............ 13,212,158
55,000 KAMIGUMI CO LTD ..................... 360,107
6,500 KONINKLIJKE NEDLLOYD GROEP NV ....... 178,113
102,486 LAIDLAW, INC (CLASS B) .............. 1,192,566
10,000 o LEIF HOEGH & CO ..................... 203,589
358,000 o MITSUI ENGINEERING &
SHIP BUILDING CO LTD ............... 727,864
509,000 o MITSUI OSK LINES LTD ................ 1,214,654
926,200 NEPTUNE ORIENT LINES LTD ............ 801,187
559,000 NIPPON YUSEN KABUSHIKI KAISHA ....... 2,523,471
63,980 OCEAN GROUP PLC ..................... 531,568
105,555 PENINSULAR &
ORIENTAL STEAM NAVIGATION CO ....... 1,065,754
23,300 RYDER SYSTEM, INC ................... 655,312
58,000 SEINO TRANSPORTATION CO LTD ......... 639,577
8,500 o UNITOR AS ........................... 109,155
162,358 YAMATO TRANSPORT CO LTD ............. 1,678,457
------------
29,134,432
------------
UTILITIES--ELECTRIC--2.14%
32,400 BALTIMORE GAS & ELECTRIC CO ......... 866,700
34,500 CENTERIOR ENERGY CORP ............... 370,875
67,400 CENTRAL & SOUTH WEST CORP ........... 1,727,125
782,000 CHINA LIGHT & POWER CO LTD .......... 3,477,789
6,000 o CHUBU ELECTRIC POWER CO INC ......... 118,887
74,800 CONSOLIDATED EDISON CO OF
NEW YORK, INC ...................... 2,187,900
45,200 DTE ENERGY CO ....................... 1,463,350
44,488 EAST MIDLANDS ELECTRICITY PLC ....... 506,660
45,800 EDISON INTERNATIONAL CO ............. 910,275
2,676,950 EDISON .............................. 16,909,757
11,950 ELECTRABEL NV ....................... 2,825,336
10,950 ELECTRABEL S.A. STRIP VVPR .......... 10,686
45,427 EMPRESA NACIONAL DE ELECTRIDAD S.A .. 3,227,003
76,800 ENTERGY CORP NEW .................... 2,131,200
40,600 GPU, INC ............................ 1,365,175
3,000 HOUSTON INDUSTRIES, INC ............. 67,875
113,104 IBERDROLA S.A ....................... 1,599,960
22,400 ILLINOVA CORP ....................... 616,000
279,910 KANSAI ELECTRIC POWER CO, INC ....... 5,787,419
4,000 o KYUSHU ELECTRIC POWER ............... 77,535
44,000 LONDON ELECTRICITY PLC .............. 512,397
35,500 LONG ISLAND LIGHTING CO ............. 785,437
311,808 NATIONAL GRID GROUP PLC ............. 1,043,182
519,000 NATIONAL POWER PLC .................. 4,343,125
46,300 o NIAGARA MOHAWK POWER CORP ........... 457,212
32,200 NORTHEAST UTILITIES CO .............. 426,650
38,600 NORTHERN ELECTRIC PLC ............... 429,034
3,900 OESTERREICHISCHE
ELEKTRIZITAETSWIRSCHAFTS AG. ....... 291,613
126,900 PACIFIC GAS & ELECTRIC CO ........... 2,664,900
72,800 PECO ENERGY CO ...................... 1,838,200
18,100 PP&L RESOURCES, INC ................. 416,300
79,100 PUBLIC SERVICE ENTERPRISE GROUP, INC 2,155,475
16,010 RHEIN-WESTFALEN ELECTRIC AG.
(STAMM) ............................ 677,341
366,972 SCOTTISH POWER PLC .................. 2,210,557
247,000 SHUN TAK ENTERPRISES CORP LTD ....... 164,453
24,400 SOUTHERN CO ......................... 552,050
14,600 SOUTHERN ELECTRICITY PLC ............ 198,880
872,000 TENAGA NASIONAL BERHAD .............. 4,177,863
174,954 TOHOKU ELECTRIC POWER CO, INC ....... 3,466,626
212,187 TOKYO ELECTRIC POWER CO, INC ........ 4,643,097
600 TRACTEBEL NV ........................ 279,087
600 o TRACTEBEL NV PUT WTS 11/15/99 ....... 8,689
201,200 TRANSALTA CORP ...................... 2,532,063
10,300 o TUCSON ELECTRIC POWER CO ............ 171,237
67,700 UNICOM CORP ......................... 1,836,362
93,950 VEBA AG ............................. 5,425,701
4,449 VIAG AG ............................. 1,743,686
------------
89,698,724
------------
UTILITIES--GAS & PIPELINE--0.49%
347,270 BRITISH GAS CORP PLC ................ 1,334,165
63,450 CALOR GROUP PLC ..................... 321,945
28,300 COASTAL CORP ........................ 1,383,162
16,000 COLUMBIA GAS SYSTEMS, INC ........... 1,018,000
24,794 COMPAGNIE GENERALE DES EAUX ......... 3,066,579
200 CONSOLIDATED NATURAL GAS CO ......... 11,050
6,600 EASTERN ENTERPRISES CO .............. 233,475
6,287 ENERGIA E INDUSTRIAS ARAGONESAS S.A . 34,800
10,800 ENRON CORP .......................... 465,750
16,000 ENSERCH CORP ........................ 368,000
6,700 GAS NATURAL SDG S.A ................. 1,555,589
73,006 IPL ENERGY, INC ..................... 2,127,809
115,000 OSAKA GAS CO LTD .................... 314,059
26,500 PACIFIC ENTERPRISES, INC ............ 804,937
30,984 PRIMAGAZ ............................ 3,641,458
682,000 TOKYO GAS CO LTD .................... 1,844,885
50,550 WILLIAMS COS, INC ................... 1,895,625
------------
20,421,288
------------
UTILITIES--OTHER--0.12%
100,590 ANGLIAN WATER PLC ................... 1,015,624
164,751 THAMES WATER PLC .................... 1,726,872
224,029 UNITED UTILITIES PLC ................ 2,380,794
------------
5,123,290
------------
UTILITIES--TELEPHONE--4.40%
209,419 AT & T CORP ......................... 9,109,726
61,400 BCE, INC ............................ 2,925,088
91,000 BELL ATLANTIC CORP .................. 5,892,250
190,194 BELLSOUTH CORP ...................... 7,679,082
1,440,391 BRITISH TELECOMMUNICATIONS PLC ...... 9,724,192
219,812 CABLE & WIRELESS PLC ................ 1,826,277
293,850 o DEUTSCHE TELEKOM AG ................. 6,187,418
3,414,172 HONG KONG TELECOMMUNICATIONS LTD .... 5,495,317
4 o JAPAN TELECOM CO LTD ................ 89,251
43,300 KONINKLIJKE PTT NEDERLAND NV ........ 1,649,596
93,000 NYNEX CORP .......................... 4,475,625
107,001 PACIFIC TELESIS GROUP CO ............ 3,932,286
124,800 SBC COMMUNICATIONS, INC ............. 6,458,400
780,000 SINGAPORE TELECOMMUNICATIONS LTD .... 1,840,147
14,300 SOUTHERN NEW ENGLAND
TELECOMMUNICATIONS CORP ............ 555,912
109,050 SPRINT CORP ......................... 4,348,368
3,200,000 STET-SOCIETA FINANSIARIA TELEFONICA . 10,791,200
2,400,000 STET-SOCIETA FINANZIARIA TELEFONICA . 10,896,480
144,000 o TECHNOLOGY RESOURCES
INDUSTRIES BERHAD .................. 283,951
9,679,599 TELECOM ITALIA MOBILE S.P.A ......... 24,425,790
10,600 TELE DANMARK AS (CLASS B) ........... 584,006
208,600 TELECOM CORP OF NEW ZEALAND ......... 1,064,204
2,661,500 TELECOM ITALIA S.P.A ................ 6,899,991
316,303 TELEFONICA DE ESPANA S.A ............ 7,331,688
657,000 TELEKOM MALAYSIA BERHAD ............. 5,853,293
29,600 TELUS CORP .......................... 429,736
394,204 VODAFONE GROUP PLC .................. 1,662,892
1,622,000 o WORLDCOM, INC ....................... 42,273,375
--------------
184,685,541
--------------
TOTAL COMMON STOCK
(Cost $3,474,939,636)................. 4,010,028,338
--------------
See notes to financial statements.
-41-
<PAGE>
PAR
VALUE VALUE
------- -------
SHORT TERM INVESTMENTS--8.53%
COMMERCIAL PAPER--3.18%
AMERICAN HOME PRODUCTS
$ 7,000,000 # 5.550%, 02/12/97 ................ $ 6,949,582
CATERPILLAR FINANCIAL SERVICES CORP
9,000,000 5.320%, 01/27/97 ................ 8,959,635
CIESCO LP
18,000,000 6.250%, 01/02/97 ................ 17,993,239
FORD MOTOR CREDIT CO
18,000,000 5.800%, 01/03/97 ................ 17,989,860
GENERAL MILLS
10,000,000 6.450%, 01/02/97 ................ 9,996,244
HAWAIIAN ELECTRIC CO, INC
6,500,000 * 5.500%, 02/04/97 ................ 6,461,577
MCKENNA TRIANGLE NATIONAL CORP
18,000,000 5.280%, 02/21/97 ................ 17,849,980
MERRILL LYNCH & CO, INC
14,500,000 # 5.340%, 02/12/97 ................ 14,396,429
NORTHERN INDIANA PUBLIC SERVICE CO
7,400,000 5.900%, 02/04/97 ................ 7,356,977
PHILIP MORRIS COS, INC
18,000,000 5.270%, 01/10/97 ................ 17,969,500
PRAXAIR, INC
7,500,000 5.490%, 01/24/97 ................ 7,469,600
------------
133,392,623
------------
GOVERNMENT AGENCIES--4.38%
FEDERAL HOME LOAN BANKS
21,800,000 5.205%, 01/16/97 ................ 21,747,680
28,000,000 5.250%, 01/23/97 ................ 27,903,400
8,000,000 5.400%, 03/18/97 ................ 7,908,968
FEDERAL HOME LOAN MORTGAGE CORP
22,000,000 5.280%, 01/14/97 ................ 21,953,800
23,000,000 5.260%, 01/14/97 ................ 22,951,700
55,000,000 5.430%, 01/24/97 ................ 54,802,000
4,000,000 5.250%, 01/31/97 ................ 3,981,400
5,000,000 5.410%, 02/25/97 ................ 4,958,544
FEDERAL NATIONAL MORTGAGE
ASSOCIATION
10,600,000 5.320%, 02/04/97 ................ 10,544,350
7,000,000 5.460%, 03/17/97 ................ 6,921,382
------------
183,673,224
------------
U.S. TREASURY BILLS--0.97%
U.S. TREASURY BILLS
25,000,000 5.150%, 01/09/97 ................ 24,969,750
12,000,000 5.050%, 05/01/97 ................ 11,795,107
4,000,000 5.080%, 06/05/97 ................ 3,911,600
------------
40,676,457
------------
TOTAL SHORT TERM INVESTMENTS
(Cost $357,844,325).................. 357,742,304
------------
ROUNDING 461
------------
TOTAL PORTFOLIO
(Cost $3,872,499,528)................ $4,413,716,220
==============
- ----------
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 4(2) of
the Securities Act of 1933, as amended.
~Restricted securities--investment in securities not registered under he
Securities Act of 1933 or not publicly traded on foreign markets. Additional
information on each holding is as follows:
ACQUISITION ACQUISITION
SECURITY DATE COST
- -------- ----------- -----------
L'AIR LIQUIDE S.A. (REGD) .................. VARIOUS $760,797
PREUSSAG AG 5.75% (W/W) .................... 05/17/96 84,776
--------
$845,573
========
See notes to financial statements.
-42-
<PAGE>
<TABLE>
<CAPTION>
COLLEGE RETIREMENT EQUITIES FUND
TRANSACTIONS WITH AFFILIATED COMPANIES--GLOBAL EQUITIES ACCOUNT
JANUARY 1, 1996--DECEMBER 31, 1996
VALUE AT PURCHASE SALES REALIZED
ISSUE DECEMBER 31, 1995 COST PROCEEDS GAIN (LOSS)
----- ------------------ -------------- ----------- -----------
<S> <C> <C> <C> <C>
ADAC LABORATORIES, INC NEW ... $ 14,554,037 -- -- --
COMMUNITY PSYCHIATRICS CENTERS 30,707,075 -- $12,830,861 $(2,990,877)
IHC CALAND NV ................ 77,811,689 $ 1,999,517 -- --
WESTWOOD ONE, INC ............ 30,525,537 9,040,004 -- --
------------ ----------- ----------- -----------
TOTAL AFFILIATED TRANSACTIONS $153,598,338 $11,039,521 $12,830,861 $(2,990,877)
============ =========== =========== ===========
</TABLE>
<TABLE>
<CAPTION>
DIVIDEND SHARES AT VALUE AT
ISSUE INCOME DECEMBER 31, 1996 DECEMBER 31, 1996
----- ----------- ------------------ -----------------
<S> <C> <C> <C>
ADAC LABORATORIES, INC NEW ... $ 432,117 1,200,333 $ 28,657,950
COMMUNITY PSYCHIATRICS CENTERS -- * *
IHC CALAND NV ................ 2,134,565 2,350,850 134,136,368
WESTWOOD ONE, INC ............ -- 2,661,100 44,240,787
---------- ------------
TOTAL AFFILIATED TRANSACTIONS $2,566,682 $207,035,105
========== ============
</TABLE>
* Not an Affiliate as of December 31, 1996
See notes to financial statements.
-43-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENT OF INVESTMENTS--GROWTH ACCOUNT
DECEMBER 31, 1996
SUMMARY
VALUE %
------- ------
PREFERRED STOCK
HEALTHCARE--SERVICE ......................... $ 307,829 0.01%
-------------- ------
TOTAL PREFERRED STOCK
(Cost $250,865) ............................. 307,829 0.01
-------------- ------
COMMON STOCK
AEROSPACE ................................... 12,947,712 0.53
AIR TRANSPORTATION .......................... 3,875,330 0.16
AUTOMOTIVE & RELATED ........................ 26,623,359 1.10
BANKS ....................................... 28,995,472 1.20
BEVERAGES ................................... 84,097,162 3.47
BROADCASTERS ................................ 14,821,135 0.61
BUSINESS SERVICES ........................... 33,951,398 1.40
CHEMICALS--MAJOR ............................ 40,006,232 1.65
CHEMICALS--SPECIALTY ........................ 14,076,539 0.58
COMMUNICATION EQUIPMENT & SERVICES .......... 93,186,315 3.85
COMPUTER SERVICE ............................ 140,612,083 5.81
CONGLOMERATES ............................... 19,456,641 0.80
CONSTRUCTION--MATERIALS & BUILDERS .......... 8,540,755 0.35
CONTAINERS .................................. 2,305,481 0.10
COSMETICS ................................... 22,438,886 0.93
ELECTRICAL EQUIPMENT ........................ 101,169,557 4.18
ELECTRICAL EQUIPMENT--
COMPONENTS DIVERSIFIED .................... 201,222,092 8.31
ELECTRICAL EQUIPMENT--INSTRUMENTS ........... 8,337,441 0.35
ENVIRONMENTAL CONTROL ....................... 8,966,867 0.37
FINANCIAL--MISCELLANEOUS .................... 70,104,991 2.90
FOODS ....................................... 82,700,609 3.42
HEALTHCARE--DRUGS ........................... 167,599,724 6.92
HEALTHCARE--HOSPITAL SUPPLY ................. 100,719,493 4.16
HEALTHCARE--OTHER ........................... 24,514,060 1.01
HEALTHCARE--SERVICE ......................... 131,907,017 5.45
HOUSEHOLD--CONSUMER ELECTRONICS ............. 409,499 0.02
HOUSEHOLD--DURABLE GOODS .................... 38,725,561 1.60
HOUSEHOLD--PRODUCTS ......................... 103,668,211 4.28
INSURANCE--BROKERS & OTHER .................. 6,741,412 0.28
INSURANCE--LIFE ............................. 3,014,862 0.13
INSURANCE--MULTI-LINE,
PROPERTY & CASUALTY ....................... 66,608,021 2.75
LEISURE TIME ................................ 80,818,909 3.34
MACHINERY ................................... 14,611,960 0.61
METALS--ALUMINUM ............................ 53,662 0.00
METALS--GOLD ................................ 5,969,521 0.25
METALS--NON-FERROUS ......................... 1,745,861 0.07
METALS--STEEL ............................... 3,343,437 0.14
MISCELLANEOUS MATERIALS &
COMMODITIES ............................... 253,575 0.01
OFFICE EQUIPMENT ............................ 48,355,044 2.00
PAPER ....................................... 2,928,807 0.12
PETROLEUM--EXPLORATION &
PRODUCTION ................................ 28,816,161 1.19
PETROLEUM--INTEGRATED ....................... 1,965,612 0.08
PETROLEUM--SERVICE .......................... 57,585,701 2.38
PHOTOGRAPHY ................................. 7,918,500 0.33
PROPERTY--REAL ESTATE ....................... 1,048,250 0.04
PUBLISHING--NEWSPAPER ....................... 7,355,887 0.31
PUBLISHING--OTHER ........................... 13,574,466 0.56
RAILROAD .................................... 2,496,390 0.10
RESTAURANTS & HOTELS ........................ 62,314,529 2.57
RETAIL--FOOD ................................ 11,674,980 0.48
RETAIL--GENERAL MERCHANDISE ................. 119,653,213 4.94
TEXTILE & APPAREL ........................... 32,492,699 1.34
TOBACCO ..................................... 94,022,671 3.88
TRUCKERS & SHIPPING ......................... 417,212 0.02
UTILITIES--ELECTRIC ......................... 1,424,512 0.06
UTILITIES--GAS & PIPELINE ................... 7,322,112 0.30
UTILITIES--TELEPHONE ........................ 47,745,266 1.97
-------------- ------
TOTAL COMMON STOCK
(Cost $1,902,339,473) ........................ 2,318,252,854 95.76
-------------- ------
SHORT TERM INVESTMENTS
COMMERCIAL PAPER ............................ 1,693,787 0.07
U.S. GOVERNMENTS & AGENCIES ................. 106,585,117 4.40
-------------- ------
TOTAL SHORT TERM INVESTMENTS
(Cost $108,298,882) .......................... 108,278,904 4.47
-------------- ------
ROUNDING .................................... 167 0.00
-------------- ------
TOTAL PORTFOLIO
(Cost $2,010,889,220) ........................ 2,426,839,754 100.24
OTHER ASSETS & LIABILITIES, NET ............ (5,944,608) (0.24)
-------------- ------
NET ASSETS .................................... $2,420,895,146 100.00%
============== ======
See notes to financial statements.
-44-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENT OF INVESTMENTS--GROWTH ACCOUNT
DECEMBER 31, 1996
SHARES VALUE
------ -------
PREFERRED STOCK--0.01%
HEALTHCARE--SERVICE--0.01%
3,640 AETNA, INC CV 6.25% ................. $ 288,925
480 FHP INTERNATIONAL CORP SERIES A CV 14,640
32,800 o FRESENIUS MEDICAL CARE (CLASS D) .... 4,264
-----------
307,829
-----------
TOTAL PREFERRED STOCK
(Cost $250,865) .................... 307,829
-----------
COMMON STOCK--95.76%
AEROSPACE--0.53%
6,900 o ALLIANT TECHSYSTEMS, INC ............ 379,500
107,800 BOEING CO ........................... 11,467,225
16,300 o HEXCEL CORP ......................... 264,875
8,000 OEA, INC ............................ 366,000
4,900 PRECISION CAST PARTS CORP ........... 243,162
10,200 o WYMAN-GORDON CO ..................... 226,950
-----------
12,947,712
-----------
AIR TRANSPORTATION--0.16%
12,000 AIR EXPRESS INTERNATIONAL CORP ...... 387,000
5,600 ATLANTIC SOUTHEAST AIRLINES, INC .... 122,500
14,050 COMAIR HOLDINGS, INC ................ 337,200
6,900 o CONTINENTAL AIRLINES, INC (CLASS B) . 194,925
5,400 o FEDERAL EXPRESS CORP ................ 240,300
7,800 o MESA AIR GROUP, INC ................. 52,650
50,500 o SABRE GROUP HOLDINGS, INC ........... 1,407,687
40,100 SOUTHWEST AIRLINES CO ............... 887,212
6,800 o U.S. AIR GROUP, INC ................. 158,950
13,500 o VALUJET, INC ........................ 86,906
-----------
` ` 3,875,330
-----------
AUTOMOTIVE & RELATED--1.10%
13,300 o ALLEN GROUP, INC .................... 295,925
15,400 o AMERICREDIT CORP .................... 315,700
8,400 APOGEE ENTERPRISES, INC ............. 333,900
5,700 BREED TECHNOLOGIES, INC ............. 148,200
1,010,200 COOPER TIRE & RUBBER CO ............. 19,951,450
13,500 DANAHER CORP ........................ 629,437
7,100 o DISCOUNT AUTO PARTS, INC ............ 165,962
9,100 ECHLIN, INC ......................... 287,787
3,400 EXIDE CORP .......................... 78,200
5,500 o FOAMEX INTERNATIONAL, INC ........... 90,750
8,600 GRACO, INC .......................... 210,700
32,000 HARLEY DAVIDSON, INC ................ 1,504,000
9,900 INTERMET CORP ....................... 159,637
9,700 o KIRBY CORP .......................... 191,575
27,500 o LEAR CORP ........................... 938,437
18,400 o LO-JACK CORP ........................ 184,000
4,400 MODINE MANUFACTURING CO ............. 117,700
13,500 POLARIS INDUSTRIES, INC ............. 320,625
9,100 o RENTERS CHOICE, INC ................. 131,950
4,900 o SAFESKIN CORP ....................... 238,875
6,500 SUPERIOR INDUSTRIES
INTERNATIONAL, INC ................. 150,312
9,700 WABASH NATIONAL CORP ................ 178,237
------------
26,623,359
------------
BANKS--1.20%
3,700 CAPITAL ONE FINANCIAL CORP .......... 133,200
211,100 CITICORP N.A ........................ 21,743,300
22,800 FIFTH THIRD BANCORP ................. 1,432,125
3,742 FIRST UNION CORP .................... 276,908
60,000 NORTHERN TRUST CORP ................. 2,175,000
14,141 OLD NATIONAL BANCORP ................ 555,034
4,000 STATE STREET BOSTON CORP ............ 258,000
42,900 SYNOVUS FINANCIAL CORP .............. 1,378,162
12,795 TRUSTCO BANK CORP ................... 273,493
4,400 U.S. TRUST CORP NEW ................. 347,600
10,700 WILMINGTON TRUST CORP ............... 422,650
------------
28,995,472
------------
BEVERAGES--3.47%
37,550 ANHEUSER BUSCH COS, INC ............. 1,502,000
11,400 BROWN FORMAN, INC (CLASS B) ......... 521,550
1,021,400 COCA COLA CO ........................ 53,751,175
23,700 COCA COLA ENTERPRISES, INC .......... 1,149,450
923,750 PEPSICO, INC ........................ 27,019,687
4,200 o ROBERT MONDAVI CORP (CLASS A) ....... 153,300
------------
84,097,162
------------
BROADCASTERS--0.61%
12,300 o ACKERLEY COMMUNICATIONS, INC ........ 144,525
9,675 o ASSOCIATED GROUP, INC (CLASS A) ..... 297,506
575 o ASSOCIATED GROUP, INC (CLASS B) ..... 17,106
22,000 o CLEAR CHANNEL COMMUNICATIONS, INC ... 794,750
18,400 COMCAST CORP (CLASS A) .............. 324,300
91,143 COMCAST CORP (CLASS A) SPL .......... 1,623,484
14,600 o DATA BROADCASTING CORP .............. 102,200
11,700 o EVERGREEN MEDIA CORP (CLASS A) ...... 292,500
26,920 GAYLORD ENTERTAINMENT CO ............ 615,795
11,100 HARTE-HANKS COMMUNICATIONS, INC ..... 308,025
18,400 o HERITAGE MEDIA CORP (CLASS A) NEW ... 207,000
49,150 o INFINITY BROADCASTING CORP (CLASS A) 1,652,668
5,000 o JACOR COMMUNICATIONS, INC
WTS 9/18/01 ........................ 10,000
62,350 o LIBERTY MEDIA GROUP (CLASS A) ....... 1,780,871
5,400 o LIN TELEVISION CORP ................. 228,150
10,400 o NATIONAL MEDIA CORP ................. 72,800
2,800 SCRIPPS (E.W.) CO (CLASS A) ......... 98,000
8,300 TCA CABLE TV, INC ................... 250,037
24,460 o TCI SATELLITE ENTERTAINMENT (CLASS A) 241,542
265,300 o TELE-COMMUNICATIONS, INC
(CLASS A) NEW ...................... 3,465,481
3,700 UNITED TELEVISION, INC .............. 318,662
12,196 o VIACOM, INC (CLASS A) ............... 420,762
44,587 o VIACOM, INC (CLASS B) ............... 1,554,971
------------
14,821,135
------------
BUSINESS SERVICES--1.40%
28,099 o ACCUSTAFF, INC ...................... 593,591
24,866 o ACNEILSEN CORP ...................... 376,098
7,900 ADVO, INC ........................... 110,600
14,400 o AFFILIATED COMPUTER SERVICES, INC
(CLASS A) .......................... 428,400
7,300 o ALLIANCE SEMICONDUCTOR CORP ......... 52,012
7,600 o ALTERNATIVE RESOURCES CORP .......... 132,050
35,700 o AMERICA ONLINE, INC ................. 1,187,025
6,600 o AMRE, INC ........................... 10,725
22,200 o APOLLO GROUP, INC (CLASS A) ......... 742,312
17,700 AUTODESK, INC ....................... 495,600
41,100 BLOCK (H&R), INC .................... 1,191,900
2,500 o CABLEVISION SYSTEMS CORP (CLASS A) .. 76,562
27,900 o CALGENE, INC ........................ 139,500
See notes to financial statements.
-45-
<PAGE>
SHARES VALUE
------ -------
BUSINESS SERVICES--(CONTINUED)
10,200 o CATALINA MARKETING CORP ............. $ 562,275
15,900 o CHECKPOINT SYSTEMS, INC ............. 393,525
10,400 CINTAS CORP ......................... 611,000
60,700 COGNIZANT CORP ...................... 2,003,100
7,200 o COMPUTER HORIZONS CORP .............. 277,200
27,100 o COMPUTERVISION CORP ................. 250,675
29,900 o CORPORATE EXPRESS, INC .............. 880,181
37,000 o CORRECTIONS CORP OF AMERICA ......... 1,133,125
8,100 o CREDENCE SYSTEMS CORP ............... 163,012
7,700 o DATA TRANSMISSION NETWORK CORP ...... 171,325
7,000 DELUXE CORP ......................... 229,250
18,300 o DEVRY, INC .......................... 430,050
3,500 o DIALOGIC CORP ....................... 110,250
18,500 DIEBOLD, INC ........................ 1,163,187
13,761 o DOUBLETREE CORP ..................... 619,245
4,400 o ENCAD, INC .......................... 181,500
11,800 o FAIRCHILD CORP (CLASS A) ............ 174,050
15,700 o FORE SYSTEMS, INC ................... 516,137
7,500 o FRANKLIN QUEST CO ................... 157,500
10,300 o FRITZ COS, INC ...................... 131,325
7,500 o GATEWAY 2000, INC ................... 401,718
8,000 o GENERAL MAGIC, INC .................. 18,500
9,200 HARLAND (JOHN H.) CO ................ 303,600
4,500 o INSO CORP ........................... 178,875
9,300 o INTERIM SERVICES, INC ............... 330,150
30,700 INTERPUBLIC GROUP OF COS, INC ....... 1,458,250
5,000 o ITRON, INC .......................... 88,750
7,800 KELLY SERVICES, INC (CLASS A) ....... 210,600
33,000 MANPOWER, INC ....................... 1,072,500
17,700 o MCAFEE ASSOCIATES, INC .............. 778,800
9,300 o MERCURY INTERACTIVE CORP ............ 120,900
10,500 o MICRO WAREHOUSE, INC ................ 123,375
15,500 o NATIONAL EDUCATION CORP ............. 236,375
3,000 o NFO RESEARCH, INC ................... 66,000
54,450 o OFFICE DEPOT, INC ................... 966,487
23,898 OLSTEN CORP ......................... 361,457
32,400 OMNICOM GROUP, INC .................. 1,482,300
3,900 o OPTICAL DATA SYSTEMS, INC ........... 46,800
26,250 PAYCHEX, INC ........................ 1,350,234
14,300 PITTSTON BRINKS GROUP CO ............ 386,100
12,200 o PREPAID LEGAL SERVICES, INC ......... 222,650
9,888 o PURE ATRIA CORP ..................... 244,728
11,400 o QUARTERDECK CORP .................... 47,025
5,800 o REMEDY CORP ......................... 311,750
28,300 o ROBERT HALF INTERNATIONAL, INC ...... 972,812
9,100 ROLLINS, INC ........................ 182,000
13,600 SENSORMATIC ELECTRONICS CORP ........ 227,800
98,700 SERVICE CORP INTERNATIONAL .......... 2,763,600
12,300 o SPECTRUM HOLOBYTE, INC .............. 92,250
11,400 o STAC, INC ........................... 75,525
18,100 o SUNGARD DATA SYSTEMS, INC ........... 714,950
8,250 o SYLVAN LEARNING SYSTEMS, INC ........ 235,125
6,200 o THERMOLASE CORP ..................... 97,650
13,100 TOTAL SYSTEM SERVICES, INC .......... 352,062
9,600 o TSENG LABORATORIES, INC ............. 30,000
14,300 UNIFIRST CORP ....................... 303,875
10,600 o UNITED STATIONERS, INC .............. 206,700
6,400 VALSPAR CORP ........................ 362,400
10,900 o VERIFONE, INC ....................... 321,550
10,200 WACKENHUT CORP SERIES A ............. 175,950
5,700 o WIND RIVER SYSTEMS, INC ............. 270,037
7,300 o WONDERWARE CORP ..................... 64,901
------------
33,951,398
------------
CHEMICALS--MAJOR--1.65%
7,600 AIR PRODUCTS & CHEMICALS, INC ....... 525,350
5,500 o APPLIX, INC ......................... 120,312
3,100 o CHEMFIRST, INC (W/I) ................ 71,687
7,000 DOW CHEMICAL CO ..................... 548,625
21,400 DU PONT (E.I.) DE NEMOURS & CO ...... 2,019,625
42,700 HERCULES, INC ....................... 1,846,775
4,935 o MISSISSIPPI CHEMICAL CORP ........... 118,440
246,050 MONSANTO CO ......................... 9,565,193
11,800 o OAK TECHNOLOGY, INC ................. 132,750
7,400 PPG INDUSTRIES, INC ................. 415,325
520,600 PRAXAIR, INC ........................ 24,012,675
7,500 o QUINTILES TRANSNATIONAL CORP ........ 496,875
5,100 o TECHNE CORP ......................... 132,600
------------
40,006,232
------------
CHEMICALS--SPECIALTY--0.58%
25,300 o AIRGAS, INC ......................... 556,600
4,550 ALBEMARLE CORP ...................... 82,468
4,400 BETZDEARBORN, INC ................... 257,400
13,300 CROMPTON & KNOWLES CORP ............. 256,025
18,300 o CYTEC INDUSTRIES, INC ............... 743,437
25,200 ECOLAB, INC ......................... 948,150
5,900 o ENERGY CONVERSION DEVICES, INC ...... 80,387
38,450 ENGELHARD CORP ...................... 735,356
14,500 FOSTER WHEELER CORP ................. 538,312
13,600 GEORGIA GULF CORP ................... 365,500
36,100 GRACE (W.R.) & CO ................... 1,868,175
6,100 GREAT LAKES CHEMICAL CORP ........... 285,175
17,800 ICN PHARMACEUTICALS, INC NEW ........ 349,325
8,500 LOCTITE CORP ........................ 517,437
6,900 LYONDELL PETROCHEMICAL CO ........... 151,800
6,450 o MCWHORTER TECHNOLOGIES, INC ......... 147,543
49,600 MORTON INTERNATIONAL, INC ........... 2,021,200
9,200 o MYCOGEN CORP ........................ 197,800
3,400 NALCO CHEMICAL CORP ................. 122,825
19,000 RAYCHEM CORP ........................ 1,522,375
23,550 RPM, INC ............................ 400,350
4,825 SCHULMAN (A.), INC .................. 118,212
17,700 o SEALED AIR CORP ..................... 736,762
17,200 SIGMA ALDRICH CORP .................. 1,073,925
------------
14,076,539
------------
COMMUNICATION EQUIPMENT &
SERVICES--3.85%
22,700 o 360 COMMUNICATIONS CO ............... 524,937
226,326 o 3COM CORP ........................... 16,606,670
8,250 o ACC CORP ............................ 249,562
202,600 o AIRTOUCH COMMUNICATIONS, INC ........ 5,115,650
25,900 o ANDREW CORP ......................... 1,374,318
12,900 o ARCH COMMUNICATIONS GROUP, INC ...... 120,937
50,300 o ASCEND COMMUNICATIONS, INC .......... 3,124,887
8,900 o AVID TECHNOLOGIES, INC .............. 92,337
21,300 o BRINKER INTERNATIONAL, INC .......... 340,800
4,700 o BROADBAND TECHNOLOGIES, INC ......... 69,325
7,800 o CABLE DESIGN TECHNOLOGIES CO ........ 242,775
44,100 o CABLETRON SYSTEMS, INC .............. 1,466,325
16,600 o CAI WIRELESS SYSTEMS, INC ........... 16,600
28,800 o CASCADE COMMUNICATIONS CORP ......... 1,587,600
5,400 o CELLULAR COMMUNICATIONS
INTERNATIONAL, INC ................. 156,600
10,300 o CELLULAR TECHNICAL SERVICES CO ...... 206,000
14,600 o CENTURY COMMUNICATIONS CORP
(CLASS A) .......................... 83,037
6,200 CENTURY TELEPHONE ENTERPRISES, INC .. 191,425
46,500 o CHYRON CORP ......................... 133,687
6,500 o CIDCO, INC .......................... 113,750
See notes to financial statements.
-46-
<PAGE>
SHARES VALUE
------ -------
COMMUNICATION EQUIPMENT &
SERVICES--(CONTINUED)
455,900 o CISCO SYSTEMS, INC .................. $ 29,006,637
91,300 CORNING, INC ........................ 4,222,625
10,100 o DIGI INTERNATIONAL, INC ............. 95,950
7,600 o DIGITAL MICROWAVE CORP .............. 211,850
45,900 o DSC COMMUNICATIONS CORP ............. 820,462
21,800 o DSP COMMUNICATIONS, INC ............. 422,375
8,600 o DYNATECH CORP ....................... 380,550
4,800 o EMMIS BROADCASTING CORP (CLASS A) ... 157,200
10,700 o EXECUTIVE TELECARD LTD .............. 66,875
8,300 o GENERAL DATACOMM INDUSTRIES, INC .... 87,150
23,300 o GEOTEK COMMUNICATIONS, INC .......... 166,012
4,600 o HARMONIC LIGHTWAVES, INC ............ 70,725
7,900 o HIGHWAYMASTER COMMUNICATIONS, INC ... 143,187
13,600 o INTELIDATA TECHNOLOGIES CORP ........ 98,600
17,600 o INTERDIGITAL COMMUNICATIONS CORP .... 101,200
9,300 o INTERMEDIA COMMUNICATIONS, INC ...... 239,475
16,200 o INTERNATIONAL FAMILY
ENTERTAINMENT INC .................. 251,100
4,900 o JACOR COMMUNICATIONS, INC ........... 134,137
39,600 o LCI INTERNATIONAL, INC .............. 851,400
6,500 o LEVEL ONE COMMUNICATIONS, INC ....... 232,375
142,623 o LUCENT TECHNOLOGIES, INC ............ 6,596,313
12,500 o MACROMEDIA, INC ..................... 225,000
4,300 o MASTEC, INC ......................... 227,900
13,900 o METROCALL, INC ...................... 69,717
111,900 o MFS COMMUNICATIONS CO, INC .......... 6,098,550
4,600 o NETCOM ON-LINE COMMUNICATIONS
SERVICE, INC ....................... 59,800
9,300 o NETWORK EQUIPMENT
TECHNOLOGIES, INC .................. 153,450
4,500 o NEW WORLD COMMUNICATIONS
GROUP, INC ......................... 113,625
102,400 o NOVELL, INC ......................... 969,600
23,200 o OCTEL COMMUNICATIONS CORP ........... 406,000
8,600 o P-COM, INC .......................... 254,775
41,800 o PAGING NETWORK, INC ................. 637,450
31,200 o PAIRGAIN TECHNOLOGIES, INC .......... 949,650
14,600 o PANAMSAT CORP ....................... 408,800
9,018 o PHARMACEUTICAL PRODUCT
DEVELOPMENT ........................ 227,704
13,700 o PICTURETEL CORP NEW ................. 356,200
15,400 o PMT SERVICES, INC ................... 269,500
9,300 o PREMISYS COMMUNICATIONS, INC ........ 313,875
5,400 o PROXIM, INC ......................... 124,200
22,100 o QUALCOMM, INC ....................... 881,237
6,900 o RENAISSANCE COMMUNICATIONS CORP ..... 246,675
26,500 SCIENTIFIC-ATLANTA, INC ............. 397,500
3,300 o STANFORD TELECOMMUNICATIONS, INC .... 113,850
16,100 o TECH DATA CORP ...................... 440,737
65,800 o TELLABS, INC ........................ 2,475,725
3,300 o TELTREND, INC ....................... 91,575
16,400 o VANGUARD CELLULAR SYSTEMS, INC ...... 258,300
11,500 o WINSTAR COMMUNICATIONS, INC ......... 241,500
------------
93,186,315
------------
COMPUTER SERVICE--5.81%
8,100 o ACTEL CORP .......................... 192,375
25,200 o ACXIOM CORP ......................... 604,800
378,000 o ADAPTEC, INC ........................ 15,120,000
53,100 o ADC TELECOMMUNICATIONS, INC ......... 1,652,737
25,900 ADOBE SYSTEMS, INC .................. 968,012
19,875 o AMERICAN MANAGEMENT SYSTEMS, INC .... 486,937
11,500 o AUSPEX SYSTEMS, INC ................. 133,687
118,800 AUTOMATIC DATA PROCESSING, INC ...... 5,093,550
5,800 o AVANT CORP .......................... 184,150
9,300 o BANCTEC, INC ........................ 191,812
71,555 o BAY NETWORKS, INC ................... 1,493,710
7,900 o BBN CORP ............................ 177,750
9,900 o BELL & HOWELL CO .................... 235,125
14,300 o BISYS GROUP, INC .................... 529,993
41,400 o BMC SOFTWARE, INC ................... 1,712,925
4,000 o BORLAND INTERNATIONAL, INC .......... 21,750
11,300 o BOSTON TECHNOLOGY, INC .............. 324,875
6,500 o BRODERBUND SOFTWARE, INC ............ 193,375
11,900 o C-CUBE MICROSYSTEMS, INC ............ 439,556
37,300 o CADENCE DESIGN SYSTEMS, INC ......... 1,482,675
15,800 o CAMBRIDGE TECHNOLOGY PARTNERS, INC .. 530,287
2,150 o CDW COMPUTER CENTERS, INC ........... 127,521
7,600 o CENTENNIAL TECHNOLOGIES, INC ........ 395,200
27,100 o CERIDIAN CORP ....................... 1,097,550
9,700 o CHECKFREE CORP ...................... 166,112
11,600 o CITRIX SYSTEMS, INC ................. 453,125
38,300 o COMPUSA, INC ........................ 789,937
471,825 COMPUTER ASSOCIATES
INTERNATIONAL, INC ................. 23,473,293
25,300 o COMPUTER NETWORK TECHNOLOGY CORP .... 126,500
30,004 o COMPUTER SCIENCES CORP .............. 2,464,078
7,000 o COMPUTER TASK GROUP, INC ............ 301,875
15,800 o COMPUWARE CORP ...................... 791,975
5,700 o COMSHARE, INC ....................... 99,750
6,400 o CYRIX CORP .......................... 113,600
11,400 o DIAMOND MULTIMEDIA SYSTEMS, INC ..... 135,375
14,900 o DST SYSTEMS, INC .................... 467,487
21,000 o ELECTRONIC ARTS, INC ................ 628,687
137,500 ELECTRONIC DATA SYSTEMS CORP ........ 5,946,875
90,700 o EMC CORP ............................ 3,004,437
9,500 o EMPLOYEE SOLUTIONS, INC ............. 194,750
5,400 o EXCALIBUR TECHNOLOGIES CORP ......... 85,050
171,322 FIRST DATA CORP ..................... 6,253,253
19,900 o FISERV, INC ......................... 731,325
5,200 o GEOWORKS ............................ 127,400
19,900 o GT INTERACTIVE SOFTWARE CORP ........ 141,787
33,734 HBO & CO ............................ 2,002,956
7,400 o HNC SOFTWARE ........................ 231,250
7,900 o HYPERION SOFTWARE CORP .............. 167,875
11,800 o IDENTIX, INC ........................ 96,612
14,800 o IMATION CORP ........................ 416,250
4,100 o IMNET SYSTEMS, INC .................. 99,425
62,600 o INFORMIX CORP ....................... 1,275,475
11,800 o INTEGRATED SYSTEMS, INC ............. 306,800
10,700 o INTERSOLV, INC ...................... 98,975
14,900 o INTUIT, INC ......................... 469,350
5,100 JACK HENRY & ASSOCIATES INC ......... 182,325
17,100 o KEANE, INC .......................... 542,925
14,614 o LEARNING CO, INC .................... 210,076
9,300 o LEGATO SYSTEMS, INC ................. 303,412
7,000 o MDL INFORMATION SYSTEM, INC ......... 130,375
11,400 o MEDIC COMPUTER SYSTEMS, INC ......... 459,562
24,100 o MENTOR GRAPHICS CORP ................ 234,975
14,500 o MICROCHIP TECHNOLOGY, INC ........... 737,687
6,300 o MICRON ELECTRONICS, INC ............. 122,456
327,200 o MICROSOFT CORP ...................... 27,034,900
12,400 NATIONAL DATA CORP .................. 539,400
15,700 o NETMANAGE, INC ...................... 94,200
18,800 o NETSCAPE COMMUNICATIONS CORP ........ 1,069,250
5,400 o NETWORK GENERAL CORP ................ 163,350
6,300 o NETWORK PERIPHERALS, INC ............ 111,825
7,400 o OBJECTIVE SYSTEMS INTEGRATORS, INC .. 176,675
208,775 o ORACLE CORP ......................... 8,716,356
55,200 o PARAMETRIC TECHNOLOGY CORP .......... 2,835,900
32,500 o PEOPLESOFT, INC ..................... 1,557,968
See notes to financial statements.
-47-
<PAGE>
SHARES VALUE
------ -------
COMPUTER SERVICE--(C0NTINUED)
10,000 o PHOENIX TECHNOLOGIES LTD ............ $ 161,250
9,200 o PHYSICIAN COMPUTER NETWORK, INC ..... 78,200
23,400 o PLATINUM TECHNOLOGY, INC ............ 318,825
6,000 o POLICY MANAGEMENT SYSTEMS CORP ...... 276,750
3,700 o PROJECT SOFTWARE &
DEVELOPMENT, INC ................... 156,787
9,800 o PSINET, INC ......................... 106,575
16,100 o RATIONAL SOFTWARE CORP .............. 636,956
8,600 o READ RITE CORP ...................... 217,150
38,300 REYNOLDS & REYNOLDS CO (CLASS A) .... 995,800
12,600 o SAFEGUARD SCIENTIFICS, INC .......... 400,050
12,900 o SECURITY DYNAMICS TECHNOLOGIES, INC . 406,350
9,900 SEI CORP ............................ 220,275
11,500 SHARED MEDICAL SYSTEMS CORP ......... 566,375
10,200 o SHIVA CORP .......................... 355,725
5,600 o SPYGLASS, INC ....................... 70,000
32,596 o STERLING COMMERCE INC ............... 1,149,009
13,900 o STERLING SOFTWARE, INC .............. 439,587
13,600 o STRUCTURAL DYNAMICS RESEARCH CORP ... 272,000
30,000 o SYBASE, INC ......................... 500,625
20,000 o SYMANTEC CORP ....................... 290,000
16,700 o SYNOPSYS, INC ....................... 772,375
11,500 SYSTEM SOFTWARE ASSOCIATES, INC ..... 122,187
8,000 o SYSTEMSOFT CORP ..................... 119,000
6,200 o THE PEAK TECHNOLOGIES GROUP, INC .... 74,400
13,300 o TRANSACTION SYSTEM ARCHITECTURE ..... 442,225
5,400 o TRIDENT MICROSYSTEMS, INC ........... 91,125
7,500 o VIASOFT INC ......................... 354,375
6,100 o VIDEOSERVER, INC .................... 259,250
9,500 o VIEWLOGIC SYSTEMS, INC .............. 108,062
7,900 o XIRCOM, INC ......................... 171,825
8,700 o ZEBRA TECHNOLOGY CORP ............... 203,362
------------
140,612,083
------------
CONGLOMERATES--0.80%
54,000 ALCO STANDARD CORP .................. 2,787,750
71,000 ALLIED SIGNAL, INC .................. 4,757,000
11,000 o ANIXTER INTERNATIONAL, INC .......... 177,375
9,100 o BLYTH INDUSTRIES, INC ............... 415,187
23,975 o CONCORD EFS, INC .................... 677,293
23,000 o COPYTELE, INC ....................... 113,562
7,350 CRANE CO ............................ 213,150
15,600 o METROMEDIA INTERNATIONAL GROUP INC .. 154,050
50,800 MINNESOTA MINING & MANUFACTURING CO . 4,210,050
7,300 STANDEX INTERNATIONAL CORP .......... 225,387
58,500 TYCO INTERNATIONAL LTD .............. 3,093,187
16,800 UNITED TECHNOLOGIES CORP ............ 1,108,800
36,900 VIAD CORP ........................... 608,850
40,000 WHITMAN CORP ........................ 915,000
------------
19,456,641
------------
CONSTRUCTION--MATERIALS &
BUILDERS--0.35%
5,900 CARLISLE COS, INC ................... 356,950
7,400 o CDI CORP ............................ 209,975
22,020 o CHAMPION ENTERPRISES, INC ........... 429,390
36,620 CLAYTON HOMES, INC .................. 494,370
12,000 FASTENAL CO ......................... 549,000
8,200 o JACOBS ENGINEERING GROUP, INC ....... 193,725
39,100 MASCO CORP .......................... 1,407,600
6,900 MEDUSA CORP ......................... 237,187
5,400 o NCI BUILDING SYSTEMS, INC ........... 186,300
19,900 OAKWOOD HOMES CORP .................. 455,212
18,300 OWENS CORNING CO .................... 780,037
7,700 PITTWAY CORP (CLASS A) .............. 411,950
4,500 SHERWIN-WILLIAMS CO ................. 252,000
38,264 SIMON DEBARTOLO GROUP, INC .......... 1,186,184
12,700 o SOLA INTERNATIONAL, INC ............. 482,600
18,800 o USG CORP ............................ 636,850
9,400 WATSCO, INC ......................... 271,425
------------
8,540,755
------------
CONTAINERS--0.10%
33,150 CROWN CORK & SEAL CO, INC ........... 1,802,531
21,200 o GAYLORD CONTAINER CO ................ 129,850
16,400 o OWENS ILLINOIS, INC ................. 373,100
------------
2,305,481
------------
COSMETICS--0.93%
51,900 AVON PRODUCTS, INC .................. 2,964,787
1,500 CARTER WALLACE, INC ................. 23,437
182,100 GILLETTE CO ......................... 14,158,275
38,500 INTERNATIONAL FLAVORS &
FRAGRANCES, INC .................... 1,732,500
115,300 o NU SKIN ASIA PACIFIC, INC (CLASS A) . 3,559,887
------------
22,438,886
------------
ELECTRICAL EQUIPMENT--4.18%
221,500 ABB AB SERIES A ..................... 24,978,803
32,500 o AMERICAN POWER CONVERSION CORP ...... 885,625
12,100 AMETEK, INC ......................... 269,225
10,500 BELDEN, INC ......................... 388,500
49,100 DURACELL INTERNATIONAL, INC ......... 3,430,862
27,300 EMERSON ELECTRIC CO ................. 2,641,275
583,000 GENERAL ELECTRIC CO ................. 57,644,125
2,600 GRAINGER (W.W.), INC ................ 208,650
16,800 HONEYWELL, INC ...................... 1,104,600
7,140 HUBBELL, INC (CLASS B) .............. 308,805
129,700 THOMAS & BETTS CORP ................. 5,755,437
178,800 WESTINGHOUSE ELECTRIC CORP .......... 3,553,650
------------
101,169,557
------------
ELECTRICAL EQUIPMENT--
COMPONENTS DIVERSIFIED--8.31%
13,800 o ADVANCED MICRO DEVICES, INC ......... 355,350
17,300 o ALTERA CORP ......................... 1,257,493
6,600 o ALTRON, INC ......................... 138,600
47,700 AMP, INC ............................ 1,830,487
15,900 o AMPHENOL CORP (CLASS A) ............. 353,775
54,500 o ANALOG DEVICES, INC ................. 1,846,187
461,200 o ARROW ELECTRONICS, INC .............. 24,674,200
40,600 o ATMEL CORP .......................... 1,344,875
3,300 AVNET, INC .......................... 192,225
7,100 AVX CORP ............................ 152,650
7,700 o CALIFORNIA AMPLIFIER, INC ........... 47,162
9,400 o CHIPS & TECHNOLOGIES, INC ........... 171,550
6,500 o CHRONIMED, INC ...................... 88,562
22,900 o CIRRUS LOGIC, INC ................... 354,950
13,700 o COMPUCOM SYSTEMS, INC ............... 147,275
11,000 o COMPUTER PRODUCTS, INC .............. 214,500
9,600 o COMVERSE TECHNOLOGY, INC ............ 363,000
6,800 o CREE RESEARCH, INC .................. 63,750
19,000 o CYPRESS SEMICONDUCTOR CORP .......... 268,375
9,900 DALLAS SEMICONDUCTOR CORP ........... 227,700
5,700 o DII GROUP, INC ...................... 132,525
8,300 o ESS TECHNOLOGY ...................... 233,437
9,400 FISHER SCIENTIFIC INTERNATIONAL, INC 442,975
56,700 o GENERAL INSTRUMENT CORP NEW ......... 1,226,137
3,400 o HADCO CORP .......................... 166,600
5,200 HELIX TECHNOLOGY CORP ............... 150,800
1,900 o HUTCHINSON TECHNOLOGY, INC .......... 144,400
10,000 o IMP, INC ............................ 22,187
20,700 o INTEGRATED DEVICE TECHNOLOGY, INC ... 282,037
See notes to financial statements.
-48-
<PAGE>
SHARES VALUE
------ -------
ELECTRICAL EQUIPMENT--
COMPONENTS DIVERSIFIED--(CONTINUED)
523,700 INTEL CORP .......................... $ 68,571,968
19,200 o INTERNATIONAL RECTIFIER CORP ........ 292,800
15,400 o KEMET CORP .......................... 358,050
11,100 o KENT ELECTRONICS CORP ............... 285,825
9,800 o LAM RESEARCH CORP ................... 275,625
9,200 o LATTICE SEMICONDUCTOR CORP .......... 423,200
845,600 LINEAR TECHNOLOGY CO ................ 37,100,700
51,600 o LSI LOGIC CORP ...................... 1,380,300
539,700 o MAXIM INTEGRATED PRODUCTS ........... 23,342,025
7,300 o MEMC ELECTRONIC MATERIALS, INC ...... 164,250
14,900 METHODE ELECTRONICS, INC (CLASS A) .. 301,725
73,200 MICRON TECHNOLOGY, INC .............. 2,131,950
28,575 MOLEX, INC .......................... 1,117,996
241,100 MOTOROLA, INC ....................... 14,797,512
7,800 o MRV COMMUNICATIONS, INC ............. 169,650
10,100 o MYLEX CORP .......................... 126,250
7,400 o OAK INDUSTRIES, INC NEW ............. 170,200
14,200 PIONEER-STANDARD ELECTRONICS, INC ... 186,375
5,600 o PLANTRONICS, INC .................... 252,000
7,600 o ROBOTIC VISION SYSTEMS, INC ......... 90,250
21,200 o S3, INC ............................. 344,500
8,500 o SANMINA CORP ........................ 480,250
7,500 o SEMITOOL, INC ....................... 71,250
12,000 o SIERRA SEMICONDUCTOR CORP ........... 180,000
9,500 o SYMBOL TECHNOLOGIES, INC ............ 420,375
8,500 o SYMMETRICOM, INC .................... 168,937
6,600 o TCSI CORP ........................... 41,250
54,400 TEXAS INSTRUMENTS, INC .............. 3,468,000
10,000 o TRIMBLE NAVIGATION LTD .............. 115,000
36,000 o U.S. ROBOTICS CORP .................. 2,592,000
7,900 o UCAR INTERNATIONAL INC .............. 297,237
8,100 o UNIPHASE CORP ....................... 425,250
5,700 o UNITRODE CORP ....................... 167,437
15,000 o VICOR CORP .......................... 250,312
8,785 o VISHAY INTERTECHNOLOGY, INC ......... 205,349
8,300 o VITESSE SEMICONDUCTOR CORP .......... 377,650
14,600 o VLSI TECHNOLOGY, INC ................ 348,575
11,100 o WATERS CORP ......................... 337,162
16,700 o WESTERN DIGITAL CORP ................ 949,812
3,800 WYLE ELECTRONICS .................... 150,100
32,900 o XILINX, INC ......................... 1,211,131
7,200 o ZILOG, INC .......................... 188,100
------------
201,222,092
------------
ELECTRICAL EQUIPMENT--
INSTRUMENTS--0.35%
73,400 o APPLIED MATERIALS, INC .............. 2,637,812
23,300 o AURA SYSTEMS, INC ................... 50,968
11,200 o DIONEX CORP ......................... 392,000
8,200 o ELECTROGLAS, INC .................... 132,225
11,600 o ELECTRONICS FOR IMAGING, INC ........ 954,100
4,700 o EPIC DESIGN TECHNOLOGY, INC ......... 117,500
10,000 o GENRAD, INC ......................... 232,500
18,500 o INPUT/OUTPUT, INC ................... 342,250
20,700 o KLA INSTRUMENTS CORP ................ 734,850
7,300 o KULICHE & SOFFA INDUSTRIES, INC ..... 138,700
17,000 o LTX CORP ............................ 99,875
7,400 o NORTHFIELD LABORATORIES, INC ........ 79,550
18,500 PERKIN-ELMER CORP ................... 1,089,187
6,400 o SILICON VALLEY GROUP, INC ........... 128,800
1,800 TEKTRONIX, INC ...................... 92,250
11,800 o TENCOR INSTRUMENTS .................. 311,225
17,300 o TERADYNE, INC ....................... 421,687
6,500 o THERMO INSTRUMENT SYSTEMS, INC ...... 215,312
10,100 X RITE, INC ......................... 166,650
------------
8,337,441
------------
ENVIRONMENTAL CONTROL--0.37%
35,100 o ALLIED WASTE INDUSTRIES, INC ........ 324,675
11,600 BROWNING FERRIS INDUSTRIES, INC ..... 304,500
10,100 o CULLIGAN WATER TECHNOLOGIES, INC .... 409,050
62,500 o REPUBLIC INDUSTRIES, INC ............ 1,949,218
16,650 o U.S. FILTER CORP .................... 528,637
44,000 o U.S.A. WASTE SERVICES, INC .......... 1,402,500
22,100 o UNITED WASTE SYSTEMS, INC ........... 759,687
100,800 WMX TECHNOLOGIES, INC ............... 3,288,600
------------
8,966,867
------------
FINANCIAL--MISCELLANEOUS--2.90%
6,500 AAMES FINANCIAL CORP ................ 233,187
17,000 ADVANTA CORP (CLASS A) .............. 726,750
2,100 AMBAC, INC .......................... 139,387
64,600 AMERICAN EXPRESS CO ................. 3,649,900
15,000 CARR REALTY CORP .................... 438,750
4,000 CASE CORP ........................... 218,000
33,000 o CATELLUS DEVELOPMENT CORP ........... 375,375
6,200 CMAC INVESTMENT CORP ................ 227,850
5,197 COUNTRYWIDE CREDIT INDUSTRIES, INC .. 148,764
9,200 o CREDIT ACCEPTANCE CORP .............. 216,200
11,400 DEAN WITTER, DISCOVER & CO .......... 755,250
6,800 o EIS INTERNATIONAL, INC .............. 58,650
6,900 o ENVOY CORP .......................... 258,750
34,400 FEDERAL HOME LOAN MORTGAGE CORP ..... 3,788,300
304,800 FEDERAL NATIONAL MORTGAGE
ASSOCIATION ........................ 11,353,800
4,200 FINOVA GROUP, INC ................... 269,850
781,800 FIRST USA, INC ...................... 27,069,825
22,300 FRANKLIN RESOURCES, INC ............. 1,524,762
21,400 o GARTNER GROUP, INC (CLASS A) NEW .... 833,262
11,900 GENERAL GROWTH PROPERTIES, INC ...... 383,775
59,600 GREEN TREE FINANCIAL CORP ........... 2,302,050
27,213 HOUSEHOLD INTERNATIONAL, INC ........ 2,510,399
78,900 MBNA CORP ........................... 3,274,350
58,050 MERCURY FINANCE CO .................. 711,112
17,400 MILLS CORP .......................... 415,425
14,600 o OLYMPIC FINANCIAL LTD ............... 209,875
12,300 PENNCORP FINANCIAL GROUP, INC ....... 442,800
17,500 PIONEER GROUP, INC .................. 415,625
20,900 PRICE (T. ROWE) ASSOCIATES, INC ..... 909,150
6,200 QUICK & REILLY GROUP, INC ........... 185,225
47,900 SCHWAB (CHARLES) CORP ............... 1,532,800
14,900 SPIEKER PROPERTIES, INC ............. 536,400
18,800 STUDENT LOAN MARKETING ASSOCIATION .. 1,750,750
14,450 THE MONEY STORE, INC ................ 399,181
13,600 TIG HOLDINGS, INC ................... 460,700
22,000 UNITED ASSET MANAGEMENT CORP ........ 585,750
7,700 UNITED COS FINANCIAL CORP ........... 205,012
11,200 VORNADO REALTY TRUST ................ 588,000
------------
70,104,991
------------
FOODS--3.42%
47,900 CAMPBELL SOUP CO .................... 3,843,975
86,200 CONAGRA, INC ........................ 4,288,450
313,200 CPC INTERNATIONAL, INC .............. 24,273,000
19,000 DOLE FOOD, INC ...................... 643,625
3,344 EARTHGRAINS CO ...................... 174,724
9,900 FLOWERS INDUSTRIES, INC ............. 212,850
417,300 GENERAL MILLS, INC .................. 26,446,387
36,000 o GENERAL NUTRITION COS, INC .......... 607,500
58,600 HEINZ (H.J.) CO ..................... 2,094,950
See notes to financial statements.
-49-
<PAGE>
SHARES VALUE
------ -------
FOODS--(CONTINUED)
24,100 HERSHEY FOODS CORP .................. $ 1,054,375
31,800 KELLOGG CO .......................... 2,086,875
9,500 LANCE, INC .......................... 171,000
7,700 MCCORMICK & CO, INC (NON-VOTE) ...... 181,431
17,100 NABISCO HOLDINGS CORP (CLASS A) ..... 664,762
10,200 NATURES SUNSHINE PRODUCTS, INC ...... 183,600
29,000 PIONEER-HI-BRED INTERNATIONAL, INC .. 2,030,000
11,200 QUAKER OATS CO ...................... 427,000
9,000 o RALCORP HOLDINGS, INC ............... 190,125
36,050 RALSTON PURINA CO ................... 2,645,168
20,500 RICHFOOD HOLDINGS, INC .............. 497,125
169,400 SARA LEE CORP ....................... 6,310,150
7,200 o SMITHFIELD FOODS, INC ............... 273,600
7,200 o THE CHEESECAKE FACTORY CO ........... 130,500
9,300 TOOTSIE ROLL INDUSTRIES, INC ........ 368,512
8,100 TYSON FOODS, INC .................... 277,425
9,600 o WHOLE FOODS MARKET, INC ............. 216,000
42,800 WRIGLEY (WM) JR CO .................. 2,407,500
------------
82,700,609
------------
HEALTHCARE--DRUGS--6.92%
5,900 o AGOURON PHARMACEUTICALS, INC ........ 399,725
12,100 o ALLIANCE PHARMACEUTICAL CORP ........ 164,862
35,200 o ALZA CORP ........................... 910,800
183,900 AMERICAN HOME PRODUCTS CORP ......... 10,781,137
108,600 o AMGEN, INC .......................... 5,905,125
11,100 o AMYLIN PHARMACEUTICALS, INC ......... 144,300
10,650 ARBOR DRUGS, INC .................... 185,043
5,800 o BIO-RAD LABORATORIES, INC (CLASS A) . 174,000
24,600 o BIO-TECHNOLOGY GENERAL CORP ......... 322,875
29,000 o BIOGEN, INC ......................... 1,123,750
96,600 BRISTOL MYERS SQUIBB CO ............. 10,505,250
5,700 o CELLPRO, INC ........................ 71,250
22,100 o CENTOCOR, INC ....................... 790,075
10,200 o CEPHALON, INC ....................... 209,100
66,216 o CHIRON CORP ......................... 1,233,273
14,500 o COLUMBIA LABORATORIES, INC .......... 210,250
5,400 o CURATIVE HEALTH SERVICES, INC ....... 149,512
7,700 o CYGNUS, INC ......................... 111,650
38,700 o CYTOGEN CORP ........................ 212,850
18,600 o DURA PHARMACEUTICALS, INC ........... 888,150
10,660 o ENZO BIOCHEMICAL, INC ............... 193,212
15,900 o FOREST LABORATORIES, INC ............ 520,725
15,900 o GENZYME CORP (GENERAL DIVISION) ..... 345,825
37,710 o GENZYME CORP (TISSUE REPAIR DIVISION) 268,683
13,700 o GILEAD SCIENCES, INC ................ 342,500
15,600 o ICOS CORP ........................... 118,950
6,400 o IDEC PHARMACEUTICALS CORP ........... 152,000
9,200 o IMMUNEX CORP NEW .................... 179,400
15,800 o INTERNEURON PHARMACEUTICALS, INC .... 410,800
12,500 o ISIS PHARMACEUTICALS, INC ........... 225,000
43,100 IVAX CORP ........................... 441,775
11,300 JONES MEDICAL INDUSTRIES, INC ....... 413,862
13,200 o LIGAND PHARMACEUTICALS CO (CLASS A) . 196,350
489,484 LILLY (ELI) & CO .................... 35,732,332
15,300 o LIPOSOME CO, INC .................... 292,612
326,800 ~o MARTEK BIOSCIENCES CORP ............. 6,536,000
109,440 ~o MARTEK BIOSCIENCES CORP WTS 5/18/98 . 1,104,249
8,900 o MATRIX PHARMACEUTICALS, INC ......... 54,512
5,400 MCKESSON CORP NEW ................... 302,400
497,500 * MERCK & CO, INC ..................... 39,426,875
49,900 MYLAN LABORATORIES, INC ............. 835,825
10,000 o NEOPROBE CORP ....................... 153,750
7,400 o NEUREX CORP ......................... 125,800
7,200 o NEUROGEN CORP ....................... 138,600
9,200 o NOVEN PHARMACEUTICALS, INC .......... 128,800
262,300 PFIZER, INC ......................... 21,738,112
84,000 PHARMACIA & UPJOHN, INC ............. 3,328,500
5,600 o PROTEIN DESIGN LABORATORIES, INC .... 204,400
10,600 o REGENERON PHARMACEUTICALS, INC ...... 170,925
14,300 RHONE-POULNEC RORER, INC ............ 1,117,187
5,600 o ROBERTS PHARMACEUTICAL CORP ......... 63,000
10,700 o SCHERER (R.P.) CORP ................. 537,675
151,200 SCHERING-PLOUGH CORP ................ 9,790,200
11,100 o SEPRACOR, INC ....................... 184,537
14,900 o SEQUUS PHARMACEUTICALS, INC ......... 238,400
8,200 o SOMATOGEN, INC ...................... 90,200
10,500 o THERMEDICS, INC ..................... 190,312
9,400 o U.S. BIOSCIENCE, INC ................ 118,675
9,700 o VERTEX PHARMACEUTICALS, INC ......... 390,425
7,800 o VICAL, INC .......................... 128,700
74,300 WARNER-LAMBERT CO ................... 5,572,500
13,400 o WATSON PHARMACEUTICALS, INC ......... 602,162
------------
167,599,724
------------
HEALTHCARE--HOSPITAL SUPPLY--4.16%
319,000 ABBOTT LABORATORIES CO .............. 16,189,250
17,400 o AMERICAN ONCOLOGY RESOURCES, INC .... 178,350
9,400 BARD (C.R.), INC .................... 263,200
49,600 BECTON DICKINSON & CO ............... 2,151,400
9,500 o CNS, INC ............................ 136,562
7,400 o CONMED CORP ......................... 151,700
795,100 DENTSPLY INTERNATIONAL, INC NEW ..... 37,767,250
6,700 o ENDOSONICS CORP ..................... 102,175
31,181 GUIDANT CORP ........................ 1,777,317
7,200 o GULF SOUTH MEDICAL SUPPLY, INC ...... 184,500
9,700 o HAEMONETICS CORP .................... 183,087
6,400 o HOLOGIC, INC ........................ 158,400
39,400 o IMATRON, INC ........................ 130,512
9,600 o ISOLYSER CO, INC .................... 67,200
544,476 JOHNSON & JOHNSON CO ................ 27,087,681
6,100 o LIFECORE BIOMEDICAL, INC ............ 109,800
268,000 MILLIPORE CORP ...................... 11,088,500
18,500 o NABI, INC ........................... 161,875
15,000 o NEUROMEDICAL SYSTEMS, INC ........... 198,750
8,400 o ORGANOGENESIS, INC .................. 194,250
18,950 OWENS & MINOR, INC NEW .............. 194,237
9,300 o PATTERSON DENTAL CO ................. 262,725
17,900 o PHYSICIAN SALES & SERVICE, INC ...... 257,312
7,300 o POSSIS MEDICAL, INC ................. 152,387
10,300 o RESPIRONICS, INC .................... 178,962
9,200 o SOFAMOR DANEK GROUP, INC ............ 280,600
8,300 o TECNOL MEDICAL PRODUCTS, INC ........ 125,537
20,100 U.S. SURGICAL CORP .................. 791,437
7,900 o VENTRITEX, INC ...................... 194,537
------------
100,719,493
------------
HEALTHCARE--OTHER--1.01%
6,650 o ACCESS HEALTH, INC .................. 297,587
5,900 o ADVANCED TECHNOLOGY
LABORATORIES, INC .................. 182,900
16,100 o ADVANCED TISSUE SCIENCE CO .......... 153,956
15,100 ALLERGAN, INC ....................... 537,937
9,700 o AMERICAN MEDICAL RESPONSE, INC ...... 315,250
5,400 ARROW INTERNATIONAL, INC ............ 155,250
17,500 BALLARD MEDICAL PRODUCTS CO ......... 325,937
46,400 BIOMET, INC ......................... 701,800
42,523 o BOSTON SCIENTIFIC CORP .............. 2,551,380
36,500 o CORAM HEALTHCARE CORP ............... 182,500
11,800 o COVENTRY CORP ....................... 109,334
See notes to financial statements.
-50-
<PAGE>
SHARES VALUE
------ -------
HEALTHCARE--OTHER--(CONTINUED)
14,900 o CREATIVE BIOMOLECULES, INC .......... $ 154,587
6,700 DIAGNOSTIC PRODUCTS CORP ............ 173,362
8,800 o EPITOPE, INC ........................ 101,200
34,410 o FRESENIUS MEDICAL CARE AG. ADR ...... 967,781
11,750 o GENESIS HEALTH VENTURES, INC ........ 365,718
18,200 HILLENBRAND INDUSTRIES, INC ......... 659,750
9,400 o HUMAN GENOME SCIENCES, INC .......... 383,050
14,900 o IDEXX LABORATORIES, INC ............. 536,400
27,500 o MEDAPHIS CORP ....................... 307,656
98,150 MEDTRONIC, INC ...................... 6,674,200
11,500 MENTOR CORP ......................... 339,250
25,800 o NELLCOR PURITAN BENNETT, INC ........ 564,375
4,000 o NEOPATH, INC ........................ 73,000
48,150 PALL CORP ........................... 1,227,825
10,200 o PHYSICIAN RELIANCE NETWORK, INC ..... 79,050
5,200 o RESEARCH MEDICAL, INC ............... 119,600
32,800 o ST. JUDE MEDICAL, INC ............... 1,398,100
15,200 o STERIS CORP ......................... 661,200
34,400 STEWART ENTERPRISES, INC (CLASS A) .. 1,169,600
30,000 STRYKER CORP ........................ 896,250
12,000 o SUMMIT TECHNOLOGY, INC .............. 66,000
5,400 o SUNRISE MEDICAL, INC ................ 85,725
22,400 o SYBRON INTERNATIONAL CORP ........... 739,200
5,700 o SYNETIC, INC ........................ 276,450
4,600 o TARGET THERAPEUTICS, INC ............ 193,200
7,800 o THERMO CARDIOSYSTEMS, INC ........... 234,000
6,000 o THERMOTREX CORP ..................... 164,250
10,200 o UROMED CORP ......................... 99,450
8,000 o VIVUS, INC .......................... 290,000
------------
24,514,060
------------
HEALTHCARE--SERVICE--5.45%
393,915 AETNA, INC .......................... 31,513,200
5,400 o AMERICAN HOMEPATIENT, INC ........... 147,150
11,400 o AMERISOURCE HEALTH CORP (CLASS A) ... 550,050
12,400 ANALYSTS INTERNATIONAL CORP ......... 350,300
19,300 o APRIA HEALTHCARE GROUP, INC ......... 361,875
13,200 o BEVERLY ENTERPRISES CO .............. 168,300
601,326 CARDINAL HEALTH, INC ................ 35,027,239
10,500 o CERNER CORP ......................... 162,750
276,230 COLUMBIA/HCA HEALTHCARE CORP ........ 11,256,372
5,000 FAIR ISSAC & CO, INC ................ 195,625
4,744 o FHP INTERNATIONAL CORP .............. 176,121
21,400 o FOUNDATION HEALTH CORP .............. 679,450
17,100 o HEALTH CARE & RETIREMENT CORP ....... 489,487
10,600 HEALTH CARE PROPERTY INVESTORS, INC . 371,000
41,212 o HEALTH MANAGEMENT ASSOCIATES, INC
(CLASS A) NEW ...................... 927,270
9,700 o HEALTH MANAGEMENT SYSTEMS, INC ...... 135,800
16,800 o HEALTH SYSTEMS INTERNATIONAL, INC ... 415,800
14,700 o HEALTHCARE COMPARE CO ............... 622,912
25,300 o HEALTHSOURCE, INC ................... 332,062
62,378 o HEALTHSOUTH CORP .................... 2,409,350
6,000 o HORIZON/CMS HEALTHCARE CORP ......... 75,750
56,800 o HUMANA, INC ......................... 1,086,300
5,400 o I-STAT CORP ......................... 128,250
4,300 o INTEGRATED SILICON SOLUTION, INC .... 37,087
13,200 INVACARE CORP ....................... 363,000
19,804 o LABORATORY CORP OF AMERICA
HOLDINGS ........................... 56,936
2,560 o LABORATORY CORP OF AMERICA
HOLDINGS WTS 4/28/00 ............... 240
13,400 o LINCARE HOLDINGS, INC ............... 549,400
6,700 o LIVING CENTERS OF AMERICA, INC ...... 185,925
18,400 MANOR CARE, INC ..................... 496,800
5,800 o MARINER HEALTH GROUP, INC ........... 48,575
23,400 o MATRIA HEALTHCARE, INC .............. 111,150
9,900 o MAXICARE HEALTH PLANS, INC .......... 220,275
350,751 o MEDPARTNERS, INC .................... 7,365,771
15,500 o MID ATLANTIC MEDICAL SERVICES, INC .. 207,312
1,766 MORRISON HEALTH CARE, INC ........... 26,048
8,500 o MULTICARE COS, INC .................. 172,125
27,000 OMNICARE, INC ....................... 867,375
20,500 o ORNDA HEALTHCORP .................... 599,625
7,700 o ORTHODONTIC CENTERS OF AMERICA, INC . 123,200
33,100 o OXFORD HEALTH PLANS, INC ............ 1,938,418
3,800 o PACIFICARE HEALTH SYSTEMS, INC
(CLASS A) .......................... 308,750
267,000 o PACIFICARE HEALTH SYSTEMS, INC
(CLASS B) .......................... 22,761,750
5,000 o PEDIATRIX MEDICAL GROUP, INC ........ 185,000
5,500 o PHP HEALTHCARE CORP ................. 140,937
25,000 o PHYCOR, INC ......................... 709,375
6,900 o PHYSICIAN CORP OF AMERICA ........... 69,000
10,200 o PHYSICIANS RESOURCE GROUP INC ....... 181,050
14,300 o RENAL TREATMENT CENTERS, INC ........ 364,650
12,400 o ROTECH MEDICAL CORP ................. 260,400
4,600 o SIERRA HEALTH SERVICES, INC ......... 113,275
8,200 o SUN HEALTHCARE GROUP, INC ........... 110,700
15,800 o TENET HEALTHCARE CORP ............... 345,625
10,800 o THERATX, INC ........................ 110,700
70,500 UNITED HEALTHCARE CORP .............. 3,172,500
14,800 o UNIVERSAL HEALTH SERVICES, INC ...... 423,650
20,100 o VALUE HEALTH, INC ................... 391,950
19,300 o VENCOR, INC ......................... 610,362
6,900 o VETERINARY CENTERS OF AMERICA, INC .. 75,900
5,600 o VISX, INC ........................... 123,900
17,950 o VIVRA, INC .......................... 495,868
------------
131,907,017
------------
HOUSEHOLD--CONSUMER
ELECTRONICS--0.02%
5,700 HARMAN INTERNATIONAL INDUSTRIES, INC 317,062
8,500 o ZENITH ELECTRONICS CORP ............. 92,437
------------
409,499
------------
HOUSEHOLD--DURABLE GOODS--1.60%
9,300 BLACK & DECKER CORP ................. 280,162
14,700 o GENTEX CORP ......................... 295,837
1,024,500 LEGGETT & PLATT, INC ................ 35,473,312
64,700 NEWELL COS, INC ..................... 2,038,050
8,300 SHAW INDUSTRIES, INC ................ 97,525
5,100 STANLEY WORKS CO .................... 137,700
14,300 SUNBEAM CORP ........................ 368,225
13,900 o TOP SOURCE TECHNOLOGIES, INC ........ 34,750
------------
38,725,561
------------
HOUSEHOLD--PRODUCTS--4.28%
4,300 APTARGROUP, INC ..................... 151,575
11,450 CLOROX CO ........................... 1,149,293
59,700 COLGATE PALMOLIVE CO ................ 5,507,325
39,400 DIAL CORP ........................... 581,150
14,700 FIRST BRANDS CORP ................... 417,112
515,230 KIMBERLY-CLARK CORP ................. 49,075,657
311,300 LANCASTER COLONY CORP ............... 14,319,800
13,200 o PERRIGO CO .......................... 120,450
278,600 PROCTER & GAMBLE CO ................. 29,949,500
58,600 RUBBERMAID, INC ..................... 1,333,150
8,300 TAMBRANDS, INC ...................... 339,262
13,500 TUPPERWARE CORP ..................... 723,937
------------
103,668,211
------------
See notes to financial statements.
-51-
<PAGE>
SHARES VALUE
------ -------
INSURANCE--BROKERS & OTHER--0.28%
5,800 o ABR INFORMATION SERVICES, INC ....... $ 228,375
11,000 CRAWFORD & CO (CLASS B) ............. 251,625
62,100 EQUIFAX, INC ........................ 1,901,812
8,700 GALLAGHER (ARTHUR J.) & CO .......... 269,700
16,400 o INSIGNIA FINANCIAL GROUP, INC ....... 369,000
26,800 MARSH & MCLENNAN COS, INC ........... 2,787,200
9,700 NORRELL CORP ........................ 264,325
22,500 o QUORUM HEALTH GROUP, INC ............ 669,375
------------
6,741,412
------------
INSURANCE--LIFE--0.13%
4,600 o COMPDENT CORP ....................... 162,150
5,500 EQUITABLE COS, INC .................. 135,437
5,400 REINSURANCE GROUP OF AMERICA, INC ... 254,475
43,000 SUNAMERICA, INC ..................... 1,908,125
3,100 UNUM CORP ........................... 223,975
6,000 VESTA INSURANCE GROUP, INC .......... 188,250
7,400 WESTERN NATIONAL CORP ............... 142,450
------------
3,014,862
------------
INSURANCE--MULTI-LINE,
PROPERTY & CASUALTY--2.75%
21,100 20TH CENTURY INDUSTRIES ............. 356,062
11,300 AFLAC, INC .......................... 483,075
714,700 ALLSTATE CORP ....................... 41,363,262
184,600 AMERICAN INTERNATIONAL GROUP, INC ... 19,982,950
4,015 FRONTIER INSURANCE GROUP, INC NEW ... 153,573
3,900 GENERAL REINSURANCE CORP ............ 615,225
3,300 HARTFORD STEAM BOILER &
INSURANCE CO ....................... 153,037
15,900 HCC INSURANCE HOLDINGS, INC ......... 381,600
7,650 o HIGHLANDS INSURANCE GROUP, INC ...... 154,912
23,100 MGIC INVESTMENT CORP ................ 1,755,600
6,000 PROGRESSIVE CORP .................... 404,250
11,600 TRAVELERS GROUP, INC ................ 526,350
8,900 ZURICH REINSURANCE CENTRE
HOLDINGS, INC ....................... 278,125
------------
66,608,021
------------
LEISURE TIME--3.34%
9,100 o ACCLAIM ENTERTAINMENT, INC .......... 29,575
14,300 o ALLIANCE ENTERTAINMENT CORP ......... 26,812
4,100 o ANCHOR GAMING CO .................... 165,025
11,400 ARCTIC CAT, INC ..................... 112,575
10,200 AUTHENTIC FITNESS CORP .............. 122,400
13,200 o BOYD GAMING CORP .................... 108,900
11,400 BRUNSWICK CORP ...................... 273,600
30,000 CALLAWAY GOLF CO .................... 862,500
1,163,200 CARNIVAL CORP (CLASS A) ............. 38,385,600
42,000 o CIRCUS CIRCUS ENTERPRISES, INC ...... 1,443,750
8,600 COACHMEN INDUSTRIES, INC ............ 244,025
278,970 DISNEY (WALT) CO .................... 19,423,286
10,000 o GALOOB TOYS, INC .................... 140,000
14,400 o GRAND CASINOS, INC .................. 194,400
18,400 o GTECH HOLDINGS CORP ................. 588,800
41,000 o HARRAHS ENTERTAINMENT, INC .......... 814,875
8,300 o HOLLYWOOD ENTERTAINMENT CORP ........ 153,550
48,400 INTERNATIONAL GAME TECHNOLOGY CO .... 883,300
9,200 JOSTENS, INC ........................ 194,350
9,900 K2, INC ............................. 272,250
470,418 MATTEL, INC ......................... 13,054,099
81,400 o MIRAGE RESORT, INC .................. 1,760,275
9,500 o PLAYERS INTERNATIONAL, INC .......... 51,062
4,600 o PRIMADONNA RESORTS, INC ............. 78,200
14,400 o REGAL CINEMAS, INC .................. 442,800
5,800 o SCIENTIFIC GAMES HOLDINGS CORP ...... 155,150
6,700 SHOWBOAT, INC ....................... 115,575
4,500 o SPORTS & RECREATION, INC ............ 34,875
10,200 o STATION CASINOS, INC ................ 103,275
9,200 STRUM, RUGER & CO, INC .............. 178,250
12,200 o TRUMP HOTEL & CASINO RESORT, INC .... 146,400
17,000 o VALUEVISION INTERNATIONAL, INC ...... 91,375
8,400 o WMS INDUSTRIES, INC ................. 168,000
------------
80,818,909
------------
MACHINERY--0.61%
4,000 AGCO CORP ........................... 114,500
5,200 ALLIED PRODUCTS CORP ................ 154,700
4,400 BRIGGS & STRATTON CORP .............. 193,600
3,900 BW/IP HOLDING, INC .................. 64,350
6,300 CINCINNATI MILACRON, INC ............ 137,812
16,000 o COGNEX CORP ......................... 296,000
10,200 DELTA & PINE LAND CO ................ 326,400
43,600 DOVER CORP .......................... 2,190,900
7,400 DURIRON CO, INC ..................... 200,725
20,700 FEDERAL SIGNAL CORP ................. 535,612
10,100 o FIGGIE INTERNATIONAL, INC (CLASS A) . 121,200
6,900 GREENFIELD INDUSTRIES, INC .......... 211,312
9,700 IDEX CORP ........................... 386,787
38,000 ILLINOIS TOOL WORKS, INC ............ 3,035,250
6,100 o INTEGRATED PROCESS EQUIPMENT CORP ... 109,800
7,800 o INTERVOICE, INC ..................... 95,550
20,100 JLG INDUSTRIES, INC ................. 321,600
8,900 KAYDON CORP ......................... 419,412
1,919 KENNAMETAL, INC ..................... 74,601
3,300 KEYSTONE INTERNATIONAL, INC ......... 66,412
11,200 o MOLTEN METAL TECHNOLOGY, INC ........ 131,600
3 o NEWPORT NEWS SHIPBUILDING, INC ...... 45
4,800 NORDSON CORP ........................ 306,000
6,000 o NOVELLUS SYSTEMS, INC ............... 325,125
7,200 ROPER INDUSTRIES, INC NEW ........... 281,700
8,700 SUNDSTRAND CORP ..................... 369,750
58,475 o THERMO ELECTRON CORP ................ 2,412,093
5,100 TRIMAS CORP ......................... 121,762
11,300 TRINITY INDUSTRIES, INC ............. 423,750
<PAGE>
2,800 TRINOVA CORP ........................ 101,850
7,200 o ULTRATECH STEPPER, INC .............. 171,000
16,300 YORK INTERNATIONAL CORP ............. 910,762
------------
14,611,960
------------
METALS--ALUMINUM--0.00%
2,700 o ACX TECHNOLOGIES, INC ............... 53,662
------------
METALS--GOLD--0.25%
18,500 BATTLE MOUNTAIN GOLD CO ............. 127,187
53,104 FREEPORT MCMORAN COPPER &
GOLD, INC (CLASS A) ................ 1,493,550
17,377 FREEPORT-MCMORAN COPPER &
GOLD INC, (CLASS B) ................ 519,137
13,200 o GETCHELL GOLD CORP .................. 506,550
22,700 HOMESTAKE MINING CO ................. 323,475
6,700 NEWMONT GOLD CO ..................... 293,125
40,072 NEWMONT MINING CORP ................. 1,793,222
59,400 o SANTA FE PACIFIC GOLD CORP .......... 913,275
------------
5,969,521
------------
METALS--NON-FERROUS--0.07%
13,900 BMC INDUSTRIES, INC ................. 437,850
5,900 FREEPORT-MCMORAN, INC ............... 189,537
4,800 MINERALS TECHNOLOGIES, INC .......... 196,800
6,800 o MUELLER INDUSTRIES, INC ............. 261,800
6,000 o OREGON METALLURICAL CORP ............ 193,500
5,100 o RMI TITANIUM CO ..................... 143,437
5,500 o SOLV-EX CORP ........................ 77,000
7,600 o STILLWATER MINING CO ................ 137,750
115,400 o SUNSHINE MINING & REFINING CO ....... 108,187
------------
1,745,861
------------
See notes to financial statements.
-52-
<PAGE>
SHARES VALUE
------ -------
METALS--STEEL--0.14%
3,800 AK STEEL HOLDINGS CORP .............. $ 150,575
7,000 HANNA (M.A.) CO ..................... 153,125
7,600 o MATERIAL SCIENCES CORP .............. 136,800
34,500 NUCOR CORP .......................... 1,759,500
20,800 UNR INDUSTRIES, INC ................. 124,800
10,500 USX-US STEEL GROUP, INC ............. 329,437
6,800 o WOLVERINE TUBE, INC ................. 239,700
24,800 WORTHINGTON INDUSTRIES, INC ......... 449,500
------------
3,343,437
------------
MISCELLANEOUS MATERIALS &
COMMODITIES--0.01%
8,600 o OAKLEY, INC ......................... 93,525
4,400 o ZOLTEK COS, INC ..................... 160,050
------------
253,575
------------
OFFICE EQUIPMENT--2.00%
10,100 o APPLIED MAGNETICS CORP .............. 301,737
10,300 o ASPECT TELECOMMUNICATIONS CORP ...... 654,050
41,450 AVERY DENNISON CORP ................. 1,466,293
5,100 o BOISE CASCADE OFFICE
PRODUCTS CORP ...................... 107,100
98,000 o COMPAQ COMPUTER CORP ................ 7,276,500
8,200 o CONTROL DATA SYSTEMS, INC ........... 180,400
61,400 o DELL COMPUTER CORP .................. 3,261,875
4,300 o DH TECHNOLOGY, INC .................. 103,200
7,200 o FILENET CORP ........................ 230,400
335,900 HEWLETT-PACKARD CO .................. 16,878,975
9,300 HON INDUSTRIES, INC ................. 306,900
3,800 o IN FOCUS SYSTEMS, INC ............... 82,175
49,300 o IOMEGA CORP ......................... 856,587
19,700 o KOMAG, INC .......................... 534,362
26,700 o LEXMARK INTERNATIONAL
GROUP (CLASS A) .................... 737,587
6,800 o MICROCOM, INC ....................... 84,150
3,700 o MICROS SYSTEMS, INC ................. 113,775
13,800 o PAXAR CORP .......................... 238,050
4,300 o PERCEPTRON INC ...................... 147,275
8,400 PITNEY BOWES, INC ................... 457,800
11,700 o QUANTUM CORP ........................ 334,912
12,100 o SCI SYSTEMS, INC .................... 539,962
75,400 o SEAGATE TECHNOLOGY, INC ............. 2,978,300
5,800 o SEQUENT COMPUTER SYSTEMS, INC ....... 102,950
70,200 o SILICON GRAPHICS, INC ............... 1,790,100
18,800 o SOLECTRON CORP ...................... 1,003,450
146,200 o SUN MICROSYSTEMS, INC ............... 3,755,512
15,100 o U.S. OFFICE PRODUCTS CO ............. 515,287
34,100 o UNISYS CORP ......................... 230,175
36,200 o VIKING OFFICE PRODUCTS, INC ......... 966,087
15,900 o WANG LABORATORIES, INC .............. 321,975
34,150 XEROX CORP .......................... 1,797,143
------------
48,355,044
------------
PAPER--0.12%
18,000 BEMIS, INC .......................... 663,750
10,600 CARAUSTAR INDUSTRIES, INC ........... 352,450
15,400 o FORT HOWARD CORP .................... 426,387
7,300 o JEFFERSON SMURFIT CORP .............. 117,256
11,500 o LYDALL, INC ......................... 258,750
7,900 o SHOREWOOD PACKAGING CORP ............ 154,050
28,445 SONOCO PRODUCTS CO .................. 736,014
11,900 WAUSAU PAPER MILLS CO ............... 220,150
------------
2,928,807
------------
PETROLEUM--EXPLORATION &
PRODUCTION--1.19%
21,600 ANADARKO PETROLEUM CORP ............. 1,398,600
445,200 APACHE CORP ......................... 15,748,950
13,500 o BARNETT RESOURCES CORP .............. 575,437
13,700 o BENTON OIL & GAS CO ................. 309,962
2,900 BURLINGTON RESOURCES, INC ........... 146,087
8,150 o CHESAPEAKE ENERGY CORP .............. 453,343
5,400 DEVON ENERGY CORP ................... 187,650
7,200 o ENERGY VENTURES, INC ................ 366,300
21,900 ENRON OIL & GAS CO .................. 552,975
6,300 o FLORES & RUCKS, INC ................. 335,475
5,200 KCS ENERGY, INC ..................... 185,900
7,900 LOMAK PETROLEUM, INC ................ 135,287
10,400 LOUISIANA LAND & EXPLORATION CO ..... 557,700
19,900 o NEWFIELD EXPLORATION CO ............. 517,400
18,400 NOBLE AFFILIATES, INC ............... 880,900
3,700 o NUEVO ENERGY CO ..................... 192,400
38,300 o ORYX ENERGY CO ...................... 947,925
13,900 POGO PRODUCING CO ................... 656,775
9,548 o SEAGULL ENERGY CORP ................. 210,056
5,900 o STONE ENERGY CORP ................... 176,262
8,100 o SWIFT ENERGY CO ..................... 241,987
3,800 o TEJAS GAS CORP ...................... 180,975
99,989 UNION PACIFIC RESOURCES GROUP, INC .. 2,924,678
12,100 UNION TEXAS PETROLEUM HOLDINGS, INC . 270,737
12,800 o UNITED MERIDIAN CORP ................ 662,400
------------
28,816,161
------------
PETROLEUM--INTEGRATED--0.08%
37,300 PHILLIPS PETROLEUM CO ............... 1,650,525
7,756 UNOCAL CORP ......................... 315,087
------------
1,965,612
------------
PETROLEUM--SERVICE--2.38%
43,600 BAKER HUGHES, INC ................... 1,504,200
6,400 o BJ SERVICES CO ...................... 326,400
4,400 CABOT CORP .......................... 110,550
8,000 CROSS TIMBERS OIL CO ................ 201,000
473,200 o DIAMOND OFFSHORE DRILLING, INC ...... 26,972,400
25,600 DRESSER INDUSTRIES, INC ............. 793,600
29,900 o ENSCO INTERNATIONAL, INC ............ 1,450,150
33,800 FLUOR CORP .......................... 2,120,950
9,200 o GASONICS INTERNATIONAL CORP ......... 94,300
12,100 o GLOBAL INDUSTRIES LTD ............... 225,362
49,300 o GLOBAL MARINE, INC NEW .............. 1,016,812
43,551 HALLIBURTON CO ...................... 2,623,947
18,300 o MARINE DRILLING CO, INC ............. 360,281
21,200 o NABORS INDUSTRIES, INC .............. 408,100
14,600 o NOBLE DRILLING CORP ................. 290,175
13,800 o OCEANEERING INTERNATIONAL, INC ...... 219,075
15,200 o PRIDE PETROLEUM SERVICES, INC ....... 353,400
24,200 o READING & BATES CORP ................ 641,300
17,000 o SMITH INTERNATIONAL, INC ............ 762,875
24,700 TIDEWATER, INC ...................... 1,117,675
12,700 TOSCO CORP .......................... 1,004,887
9,000 TRANSOCEAN OFFSHORE, INC ............ 563,625
565,000 o VARCO INTERNATIONAL, INC ............ 13,065,625
7,000 VASTAR RESOURCES, INC ............... 266,000
12,100 o WEATHERFORD ENTERRA, INC ............ 363,000
10,300 o WESTERN ATLAS, INC .................. 730,012
------------
57,585,701
------------
PHOTOGRAPHY--0.33%
93,100 EASTMAN KODAK CO .................... 7,471,275
3,600 o PHOTRONICS, INC ..................... 98,100
4,900 o PRESSTEK, INC ....................... 349,125
------------
7,918,500
------------
PROPERTY--REAL ESTATE--0.04%
12,000 KIMCO REALTY CORP ................... 418,500
13,700 WASHINGTON REAL ESTATE
INVESTMENT TRUST ................... 239,750
9,600 WEINGARTEN REALTY INVESTORS, INC .... 390,000
------------
1,048,250
------------
See notes to financial statements.
-53-
<PAGE>
SHARES VALUE
------ -------
PUBLISHING--NEWSPAPER--0.31%
26,000 o AMERICAN MEDIA, INC (CLASS A) ....... $ 152,750
17,400 BELO (A.H.) CORP SERIES A ........... 606,825
3,200 DOW JONES & CO, INC ................. 108,400
8,800 o EXPRESS SCRIPTS, INC ................ 315,700
33,000 GANNETT CO, INC ..................... 2,470,875
11,400 NEW YORK TIMES CO (CLASS A) ......... 433,200
32,200 TIMES MIRROR CO (SERIES A) NEW ...... 1,601,950
19,000 TRIBUNE CO NEW ...................... 1,498,625
500 WASHINGTON POST CO (CLASS B) ........ 167,562
------------
7,355,887
------------
PUBLISHING--OTHER--0.56%
2,800 DONNELLEY (R.R.) & SONS CO .......... 87,850
31,900 DUN & BRADSTREET CORP ............... 757,625
21,950 HARCOURT GENERAL, INC ............... 1,012,443
2,900 HOUGHTON MIFFLIN CO ................. 164,212
55,800 o K-III COMMUNICATIONS CORP ........... 599,850
18,900 LEE ENTERPRISES, INC ................ 439,425
13,100 xo MARVEL ENTERTAINMENT GROUP, INC ..... 24,562
15,800 MCGRAW HILL COS, INC ................ 728,775
10,100 MEREDITH CORP ....................... 532,775
15,800 o PLAYBOY ENTERPRISES, INC (CLASS B) .. 154,050
30,000 READER'S DIGEST ASSOCIATION, INC
(CLASS A) (NON-VTG) ................ 1,207,500
4,700 o SCHOLASTIC CORP ..................... 316,075
9,500 THOMAS NELSON, INC .................. 141,312
189,807 TIME WARNER, INC .................... 7,117,762
9,000 WILEY (JOHN) & SONS, INC (CLASS A) .. 290,250
------------
13,574,466
------------
RAILROAD--0.10%
8,300 BURLINGTON NORTHERN SANTA FE CORP ... 716,912
21,950 ILLINOIS CENTRAL CORP SERIES A ...... 702,400
4,600 KANSAS CITY SOUTHERN INDUSTRIES, INC 207,000
104 UNION PACIFIC CORP .................. 6,253
21,800 o WISCONSIN CENTRAL TRANSIT CORP ...... 863,825
------------
2,496,390
------------
RESTAURANTS & HOTELS--2.57%
13,600 APPLE SOUTH, INC .................... 183,600
14,100 APPLEBEES INTERNATIONAL, INC ........ 387,750
21,800 o BOSTON CHICKEN, INC ................. 782,075
14,100 o BUFFETS, INC ........................ 128,662
17,700 o CHOICE HOTELS INTERNATIONAL, INC .... 311,962
10,200 CKE RESTAURANTS, INC ................ 367,200
25,700 CRACKER BARREL OLD COUNTRY
STORE, INC ......................... 652,137
10,300 DARDEN RESTAURANTS, INC ............. 90,125
21,200 o FOODMAKER, INC ...................... 188,150
54,500 o HFS INC ............................. 3,256,375
86,000 HILTON HOTELS CORP .................. 2,246,750
6,200 o HOST MARRIOTT CORP .................. 99,200
15,080 o HOST MARRIOTT SERVICES CORP ......... 137,605
5,600 o IHOP CORP NEW ....................... 132,300
34,500 o ITT CORP (NEW) ...................... 1,496,437
28,300 LA QUINTA INNS, INC ................. 541,237
9,900 o LANDRYS SEAFOOD RESTAURANTS, INC .... 211,612
13,700 o LONE STAR STEAKHOUSE & SALOON, INC .. 366,475
5,800 LUBYS CAFETERIA, INC ................ 115,275
42,800 MARRIOTT INTERNATIONAL, INC ......... 2,364,700
283,750 MCDONALDS CORP ...................... 12,839,687
7,600 o MGM GRAND, INC ...................... 265,050
1,325 MORRISON FRESH COOKING, INC ......... 6,128
18,900 o OUTBACK STEAKHOUSE, INC ............. 505,575
7,350 o PAPA JOHNS INTERNATIONAL, INC ....... 248,062
14,600 o PRIME HOSPITALITY CORP .............. 235,425
22,600 o PROMUS HOTEL CORP ................... 669,525
5,200 o RAINFOREST CAFE, INC ................ 122,200
2,650 RUBY TUESDAY, INC ................... 49,025
7,300 o SONIC CORP .......................... 186,150
72,200 SYSCO CORP .......................... 2,355,525
1,501,100 WENDYS INTERNATIONAL, INC ........... 30,772,550
------------
62,314,529
------------
RETAIL--FOOD--0.48%
90,000 ALBERTSONS, INC ..................... 3,206,250
37,200 FOOD LION, INC (CLASS B) ............ 376,650
8,800 HANNAFORD BROTHERS, INC ............. 299,200
43,800 o KROGER CO ........................... 2,036,700
97,500 o SAFEWAY, INC NEW .................... 4,168,125
29,000 o SOUTHLAND CORP ...................... 86,093
31,700 o STARBUCKS CORP ...................... 907,412
18,800 WINN DIXIE STORES, INC .............. 594,550
------------
11,674,980
------------
RETAIL--GENERAL MERCHANDISE--4.94%
61,200 o AUTOZONE, INC ....................... 1,683,000
3,600 o BABY SUPERSTORE, INC ................ 86,400
9,600 o BARNES & NOBLE, INC ................. 259,200
18,400 o BED BATH & BEYOND, INC .............. 446,200
8,000 o BEST BUY, INC ....................... 85,000
10,000 o BOMBAY, INC ......................... 46,250
8,300 o BORDERS GROUP, INC .................. 297,762
14,100 CASEYS GENERAL STORES, INC .......... 264,375
903,100 CIRCUIT CITY STORES, INC ............ 27,205,887
20,900 CLAIRES STORES, INC ................. 271,700
14,300 CML GROUP, INC ...................... 48,262
7,000 o COLE NATIONAL CORP (CLASS A) ........ 183,750
28,875 o CONSOLIDATED STORES CORP ............ 931,218
138,723 o CUC INTERNATIONAL, INC .............. 3,294,671
7,600 DAYTON HUDSON CORP .................. 298,300
7,800 o DEPARTMENT 56, INC .................. 193,050
37,470 DOLLAR GENERAL CORP ................. 1,199,040
37,493 o ECKERD CORP ......................... 1,199,776
8,600 FAMILY DOLLAR STORES, INC ........... 175,225
27,068 o FEDERATED DEPARTMENT STORES, INC .... 923,695
87,100 GAP, INC ............................ 2,623,887
8,900 o GARDEN RIDGE CORP ................... 76,762
4,400 o GLOBAL DIRECTMAIL CORP .............. 191,950
10,700 o GYMBOREE CORP ....................... 244,762
6,300 HEILIG MEYERS CO .................... 102,375
198,650 HOME DEPOT, INC ..................... 9,957,331
9,765 o HSN, INC ............................ 231,918
17,100 o JONES APPAREL GROUP, INC ............ 639,112
22,300 o KOHLS CORP .......................... 875,275
5,300 o LANDS END, INC ...................... 140,450
16,890 LIMITED, INC ........................ 310,353
60,200 LOWES COS, INC ...................... 2,137,100
6,900 o MENS WAREHOUSE, INC ................. 169,050
5,400 o MOVIE GALLERY, INC .................. 70,200
8,200 o NEIMAN-MARCUS GROUP, INC ............ 209,100
10,100 NORDSTROM, INC ...................... 357,918
41,200 o OFFICEMAX, INC ...................... 437,750
12,380 o PAYLESS SHOESOURCE, INC ............. 464,250
25,600 PEP BOYS MANNY, MOE, & JACK CO ...... 787,200
9,600 o PETCO ANIMAL SUPPLIES, INC .......... 199,200
47,400 o PETSMART, INC ....................... 1,036,875
10,700 PIER 1 IMPORTS, INC ................. 188,587
36,700 o PRICE/COSTCO, INC ................... 922,087
5,800 o PROFFITTS, INC ...................... 213,875
9,400 REGIS CORP .......................... 152,750
11,800 o REVCO (D.S.), INC NEW ............... 436,600
5,600 o REXALL SUNDOWN, INC ................. 152,250
5,900 ROSS STORES, INC .................... 295,000
23,200 ROUSE CO ............................ 736,600
128,300 SEARS ROEBUCK & CO .................. 5,917,837
23,800 SOTHEBYS HOLDINGS, INC (CLASS A) .... 443,275
67,400 o STAPLES, INC ........................ 1,217,412
21,800 o SUNGLASS HUT INTERNATIONAL, INC ..... 158,050
4,700 TALBOTS, INC ........................ 134,537
10,000 TANDY CORP .......................... 440,000
15,950 o THE SPORTS AUTHORITY, INC ........... 346,912
13,200 TIFFANY & CO NEW .................... 483,450
39,000 TJX COS, INC NEW .................... 1,847,625
29,600 o TOPPS, INC .......................... 118,400
11,900 o TOYS R US, INC ...................... 357,000
1,763,800 WAL-MART STORES, INC ................ 40,346,925
101,800 WALGREEN CO ......................... 4,072,000
8,700 o WILLIAMS-SONOMA, INC ................ 316,462
------------
119,653,213
------------
See notes to financial statements.
-54-
<PAGE>
SHARES VALUE
------ -------
TEXTILE & APPAREL--1.34%
3,900 o ANN TAYLOR STORES CORP .............. $ 68,250
15,000 o DONNKENNY, INC ...................... 69,375
4,500 o FRUIT OF THE LOOM, INC (CLASS A) .... 170,437
12,000 G & K SERVICES, INC (CLASS A) ....... 453,000
9,200 o JUST FOR FEET INC ................... 241,500
2,200 LIZ CLAIBORNE, INC .................. 84,975
17,800 o NAUTICA ENTERPRISES, INC ............ 449,450
53,100 NIKE, INC (CLASS B) ................. 3,172,725
10,800 o NINE WEST GROUP, INC ................ 500,850
9,100 ST. JOHN KNITS, INC ................. 395,850
15,400 UNIFI, INC .......................... 494,725
6,100 o URBAN OUTFITTERS, INC ............... 79,300
20,100 WARNACO GROUP, INC (CLASS A) ........ 595,462
848,000 o WESTPOINT STEVENS, INC .............. 25,334,000
13,200 WOLVERINE WORLD WIDE, INC ........... 382,800
------------
32,492,699
------------
TOBACCO--3.88%
19,000 DIMON, INC .......................... 439,375
801,300 PHILIP MORRIS COS, INC .............. 90,246,412
11,600 RJR NABISCO HOLDINGS CORP ........... 394,400
10,460 SCHWEITZER-MAUDUIT
INTERNATIONAL, INC ................. 330,797
3,900 UNIVERSAL CORP ...................... 125,287
76,800 UST, INC ............................ 2,486,400
------------
` 94,022,671
------------
TRUCKERS & SHIPPING--0.02%
14,900 o AMERICAN FREIGHTWAYS CORP ........... 165,762
10,700 o SWIFT TRANSPORTATDe
CO, INC ........................... 251,450
------------
417,212
------------
UTILITIES--ELECTRIC--0.06%
23,450 o AES CORP ............................ 1,090,425
4,500 OTTER TAIL POWER CO ................. 144,562
11,400 o TUCSON ELECTRIC POWER CO ............ 189,525
------------
1,424,512
------------
UTILITIES--GAS & PIPELINE--0.30%
31,700 o AMERICAN STANDARD COS, INC .......... 1,212,525
8,700 o BLACK BOX CORP ...................... 358,875
12,600 o CALENERGY, INC ...................... 423,675
6,600 COASTAL CORP ........................ 322,575
1 o EL PASO NATURAL GAS CO NEW .......... 50
80,900 ENRON CORP .......................... 3,488,812
4,500 ENSERCH CORP ........................ 103,500
8,400 o IONICS, INC ......................... 403,200
27,000 NGC CORP ............................ 627,750
2,100 SONAT, INC .......................... 108,150
12,000 o TRIARC COS, INC ..................... 138,000
3,600 WILLIAMS COS, INC ................... 135,000
------------
7,322,112
------------
UTILITIES--TELEPHONE--1.97%
5,800 o ADTRAN, INC ......................... 240,700
8,000 ALIANT COMMUNICATIONS, INC .......... 136,000
7,700 ALLTEL CORP ......................... 241,587
22,200 AMERITECH CORP NEW .................. 1,345,875
453,400 AT & T CORP ......................... 19,722,900
2,600 o C-TEC CORP .......................... 63,050
7,800 o CELLULAR COMMUNICATIONS OF
PUERTO RICO, INC ................... 154,050
30,600 CINCINNATI BELL, INC ................ 1,885,725
4,500 o COMMNET CELLULAR, INC ............... 125,437
52,800 FRONTIER CORP ....................... 1,194,600
25,350 o GLENAYRE TECHNOLOGIES, INC .......... 546,609
133,600 GTE CORP ............................ 6,078,800
17,800 MCI COMMUNICATIONS CORP ............. 581,837
15,000 o MOBILE TELECOMMUNICATIONS
TECHNOLOGIES CORP .................. 127,500
12,250 o PRICELLULAR CORP (CLASS A) .......... 140,875
28,628 SBC COMMUNICATIONS, INC ............. 1,481,499
11,388 TELEPHONE & DATA SYSTEMS, INC ....... 412,815
10,700 o U.S. LONG DISTANCE CORP ............. 85,600
505,700 o WORLDCOM, INC ....................... 13,179,806
------------
47,745,266
------------
TOTAL COMMON STOCK
(Cost $1,902,339,473) ................ 2,318,252,854
-------------
PAR
VALUE
- ------
SHORT TERM INVESTMENTS--4.47%
COMMERCIAL PAPER--0.07%
PHILIP MORRIS COS, INC
$ 1,700,000 * 5.600%,01/22/97 .................. 1,693,787
--------------
U.S. GOVERNMENTS & AGENCIES--4.40%
FEDERAL HOME LOAN MORTGAGE CORP
18,700,000 5.300%, 01/14/97 ................ 18,660,730
12,000,000 * 5.420%,01/17/97 .................. 11,969,400
43,600,000 * 5.430%,01/24/97 .................. 43,443,040
23,200,000 5.285%, 01/31/97 ................ 23,092,120
FEDERAL NATIONAL MORTGAGE
ASSOCIATION (FNMA)
9,500,000 5.240%, 02/26/97 ................ 9,419,827
--------------
106,585,117
--------------
TOTAL SHORT TERM INVESTMENTS
(Cost $108,298,882) .................. 108,278,904
--------------
<PAGE>
ROUNDING ........................... 167
--------------
TOTAL PORTFOLIO
(Cost $2,010,889,220) ............... $2,426,839,754
--------------
- ----------
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.
~ Restricted securities--investment in securities not registered under the
Securities Act of 1933 or not publicly traded on foreign markets.
Additional information on each holding is as follows:
ACQUISITION ACQUISITION
SECURITY DATE COST
- -------- ----------- -----------
MARTEK BIOSCIENCES CORP 05/22/95 $3,571,750
MARTEK BIOSCIENCES CORP WTS 5/18/98 05/22/95 91,930
---------
$3,663,680
==========
See notes to financial statements.
-55-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENT OF INVESTMENTS--EQUITY INDEX ACCOUNT
DECEMBER 31, 1996
SUMMARY
VALUE %
------- ----
BONDS
CORPORATE BONDS
BROADCASTERS ................................ $ 7,740 0.00%
ENVIRONMENTAL CONTROL ....................... 13,055 0.00
-------------- ------
TOTAL CORPORATE BONDS
(Cost $15,239) .............................. 20,795 0.00
-------------- ------
TOTAL BONDS
(Cost $15,239) .............................. 20,795 0.00
-------------- ------
PREFERRED STOCK
BUSINESS SERVICES ........................... 32,257 0.00
HEALTHCARE--SERVICE ......................... 112,260 0.01
-------------- ------
TOTAL PREFERRED STOCK
(Cost $120,013) .............................. 144,517 0.01
-------------- ------
COMMON STOCK
AEROSPACE ................................... 12,970,065 1.41
AIR TRANSPORTATION .......................... 4,892,040 0.53
AUTOMOTIVE & RELATED ........................ 21,386,237 2.32
BANKS ....................................... 78,083,700 8.47
BEVERAGES ................................... 27,085,862 2.94
BROADCASTERS ................................ 6,542,225 0.71
BUSINESS SERVICES ........................... 13,781,753 1.49
CHEMICALS--MAJOR ............................ 19,734,255 2.14
CHEMICALS--SPECIALTY ........................ 8,987,196 0.97
COMMUNICATION EQUIPMENT & SERVICES .......... 25,603,990 2.78
COMPUTER SERVICE ............................ 37,030,826 4.02
CONGLOMERATES ............................... 19,182,515 2.08
CONSTRUCTION--MATERIALS & BUILDERS .......... 6,104,836 0.66
CONTAINERS .................................. 1,329,846 0.14
COSMETICS ................................... 6,422,786 0.70
ELECTRICAL EQUIPMENT ........................ 30,249,519 3.28
ELECTRICAL EQUIPMENT--COMPONENTS
DIVERSIFIED ............................... 35,067,881 3.80
ELECTRICAL EQUIPMENT--INSTRUMENTS ........... 3,425,986 0.37
ENVIRONMENTAL CONTROL ....................... 4,829,211 0.52
FINANCIAL--MISCELLANEOUS .................... 39,167,319 4.25
FOODS ....................................... 19,621,110 2.13
FOREST PRODUCTS ............................. 4,131,061 0.45
HEALTHCARE--DRUGS ........................... 53,352,411 5.79
HEALTHCARE--HOSPITAL SUPPLY ................. 19,002,158 2.06
HEALTHCARE--OTHER ........................... 8,746,938 0.95
HEALTHCARE--SERVICE ......................... 16,549,260 1.79
HOUSEHOLD--CONSUMER ELECTRONICS ............. 228,631 0.02
HOUSEHOLD--DURABLE GOODS .................... 3,189,337 0.34
HOUSEHOLD--PRODUCTS ......................... 17,978,227 1.95
INSURANCE--BROKERS & OTHER .................. 2,925,462 0.32
INSURANCE--LIFE ............................. 7,005,402 0.76
INSURANCE--MULTI-LINE,
PROPERTY & CASUALTY ....................... 27,554,809 2.99
LEISURE TIME ................................ 11,812,268 1.28
MACHINERY ................................... 13,932,863 1.51
METALS--ALUMINUM ............................ 2,098,523 0.23
METALS--GOLD ................................ 2,795,040 0.31
METALS--NON-FERROUS ......................... 2,414,400 0.26
METALS--STEEL ............................... 3,008,125 0.33
MISCELLANEOUS MATERIALS &
COMMODITIES ............................... 91,500 0.01
OFFICE EQUIPMENT ............................ 32,529,428 3.53
PAPER ....................................... 6,136,024 0.67
PETROLEUM--EXPLORATION &
PRODUCTION ................................ 9,681,975 1.05
PETROLEUM--INTEGRATED ....................... 45,162,108 4.90
PETROLEUM--SERVICE .......................... 8,916,917 0.97
PHOTOGRAPHY ................................. 4,050,600 0.44
PROPERTY--REAL ESTATE ....................... 1,868,555 0.20
PUBLISHING--NEWSPAPER ....................... 4,599,728 0.50
PUBLISHING--OTHER ........................... 6,162,135 0.67
RAILROAD .................................... 7,712,993 0.84
RESTAURANTS & HOTELS ........................ 12,767,550 1.38
RETAIL--FOOD ................................ 6,428,981 0.70
RETAIL--GENERAL MERCHANDISE ................. 33,881,521 3.68
TEXTILE & APPAREL ........................... 4,760,990 0.52
TOBACCO ..................................... 16,312,918 1.77
TRUCKERS & SHIPPING ......................... 1,785,009 0.19
UTILITIES--ELECTRIC ......................... 34,188,232 3.71
UTILITIES--GAS & PIPELINE ................... 12,203,354 1.32
UTILITIES--OTHER ............................ 97,750 0.01
UTILITIES--TELEPHONE ........................ 51,672,213 5.60
-------------- ------
TOTAL COMMON STOCK
(Cost $767,742,006) .......................... 919,234,554 99.71
-------------- ------
SHORT TERM INVESTMENTS
U.S. GOVERNMENTS & AGENCIES ................. 13,885,552 1.51
-------------- ------
TOTAL SHORT TERM INVESTMENTS
(Cost $13,887,626) ........................... 13,885,552 1.51
-------------- ------
ROUNDING ................................... 275 0.00
-------------- ------
TOTAL PORTFOLIO
(Cost $781,764,884) .......................... 933,285,693 101.23
OTHER ASSETS & LIABILITIES, NET ............ (11,360,608) (1.23)
-------------- ------
NET ASSETS .................................... $ 921,925,085 100.00%
============== ======
See notes to financial statements.
-56-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENT OF INVESTMENTS--EQUITY INDEX ACCOUNT
DECEMBER 31, 1996
PAR
VALUE VALUE
-------- -------
BONDS--0.00%
CORPORATE BONDS--0.00%
BROADCASTERS--0.00%
VIACOM INTERNATIONAL, INC
(SUBORDINATED DEB)
$ 8,000 8.000%, 07/07/06 .................... $ 7,740
------------
ENVIRONMENTAL CONTROL--0.00%
WMX TECHNOLOGIES, INC
(SUBORDINATED CV NOTES)
14,000 2.000%, 01/24/05 .................... 13,055
------------
TOTAL CORPORATE BONDS
(Cost $15,239) ...................... 20,795
------------
TOTAL BONDS
(Cost $15,239) ........................ 20,795
------------
SHARES
------
PREFERRED STOCK--0.01%
BUSINESS SERVICES--0.00%
1,122 PREMIER FARNELL PLC CV ADR .......... 32,257
------------
HEALTHCARE--SERVICE--0.01%
1,273 AETNA, INC CV PFD 6.25% ............. 101,044
320 FHP INTERNATIONAL CORP SERIES A CV .. 9,760
11,200 oFRESENIUS MEDICAL CARE (CLASS D) ... 1,456
------------
112,260
------------
TOTAL PREFERRED STOCK
(Cost $120,013) ....................... 144,517
------------
COMMON STOCK--99.71%
AEROSPACE--1.41%
2,900 o AAR CORP ............................ 87,725
900 o ALLIANT TECHSYSTEMS, INC ............ 49,500
46,998 BOEING CO ........................... 4,999,412
9,000 EG & G, INC ......................... 181,125
7,600 GENERAL DYNAMICS CORP ............... 535,800
14,600 GENERAL MOTORS CORP (CLASS H) ....... 821,250
7,600 o HEXCEL CORP ......................... 123,500
22,676 LOCKHEED MARTIN CORP ................ 2,074,854
20,700 MCDONNELL DOUGLAS CORP .............. 1,324,800
6,800 NORTHROP GRUMMAN CORP ............... 562,700
2,300 OEA, INC ............................ 105,225
7,000 o ORBITAL SCIENCES CORP ............... 120,750
3,500 PRECISION CAST PARTS CORP ........... 173,687
32,300 RAYTHEON CO ......................... 1,554,437
4,400 o ROHR, INC ........................... 99,550
7,000 o WYMAN-GORDON CO ..................... 155,750
------------
12,970,065
------------
AIR TRANSPORTATION--0.53%
7,100 AIR EXPRESS INTERNATIONAL CORP ...... 228,975
3,600 AIRBORNE FREIGHT CORP ............... 84,150
11,400 o AMERICA WEST AIRLINES, INC (CLASS B) 180,975
11,000 o AMR CORP ............................ 969,375
3,900 ATLANTIC SOUTHEAST AIRLINES, INC .... 85,312
2,500 o ATLAS AIR, INC ...................... 119,375
6,725 COMAIR HOLDINGS, INC ................ 161,400
4,200 o CONTINENTAL AIRLINES, INC (CLASS B) . 118,650
8,900 DELTA AIRLINES, INC ................. 630,787
5,300 EXPEDITORS INTERNATIONAL OF
WASHINGTON ......................... 121,900
16,500 o FEDERAL EXPRESS CORP ................ 734,250
1,000 o MESA AIR GROUP, INC ................. 6,750
9,100 o NORTHWEST AIRLINES CORP (CLASS A) ... 356,037
400 SKYWEST, INC ........................ 5,550
19,700 SOUTHWEST AIRLINES CO ............... 435,862
1,500 o TRANS WORLD AIRLINES, INC ........... 10,218
6,700 o U.S. AIR GROUP, INC ................. 156,612
7,300 o UAL CORP NEW ........................ 456,250
4,600 o VALUJET, INC ........................ 29,612
------------
4,892,040
------------
AUTOMOTIVE & RELATED--2.32%
4,800 o ALLEN GROUP, INC .................... 106,800
6,700 o AMERICREDIT CORP .................... 137,350
3,700 APOGEE ENTERPRISES, INC ............. 147,075
5,600 ARVIN INDUSTRIES, INC ............... 138,600
2,900 BANDAG, INC ......................... 137,387
5,400 BORG-WARNER AUTOMOTIVE, INC ......... 207,900
2,100 BREED TECHNOLOGIES, INC ............. 54,600
83,762 CHRYSLER CORP ....................... 2,764,146
11,300 COOPER TIRE & RUBBER CO ............. 223,175
5,800 CUMMINS ENGINE CO, INC .............. 266,800
14,900 DANA CORP ........................... 486,112
4,500 DANAHER CORP ........................ 209,812
2,200 o DETROIT DIESEL CORP ................. 50,600
2,800 DONALDSON CO, INC ................... 93,800
9,500 EATON CORP .......................... 662,625
9,000 ECHLIN, INC ......................... 284,625
4,600 EXIDE CORP .......................... 105,800
6,900 FEDERAL-MOGUL CORP .................. 151,800
157,800 FORD MOTOR CO ....................... 5,029,875
5,700 GENCORP, INC ........................ 103,312
101,500 GENERAL MOTORS CORP ................. 5,658,625
16,800 GENUINE PARTS CO .................... 747,600
20,300 GOODYEAR TIRE & RUBBER CO ........... 1,042,912
9,800 HARLEY DAVIDSON, INC ................ 460,600
280 o HAYES WHEELS INTERNATIONAL, INC ..... 10,780
2,400 o KIRBY CORP .......................... 47,400
10,000 o LEAR CORP ........................... 341,250
4,100 MODINE MANUFACTURING CO ............. 109,675
13,500 o NAVISTAR INTERNATIONAL CORP ......... 123,187
5,300 PACCAR, INC ......................... 360,400
8,600 POLARIS INDUSTRIES, INC ............. 204,250
4,000 o RENTERS CHOICE, INC ................. 58,000
2,100 o SAFESKIN CORP ....................... 102,375
11,700 SAFETY-KLEEN CORP ................... 191,587
1,000 SMITH (A.O.) CORP ................... 29,875
10,250 SNAP-ON, INC ........................ 365,156
500 STANDARD PRODUCTS CO ................ 12,750
3,900 SUPERIOR INDUSTRIES
INTERNATIONAL, INC ................. 90,187
1,800 o TBC CORP ............................ 13,500
675 TRANSPRO, INC ....................... 6,159
2,600 WABASH NATIONAL CORP ................ 47,775
------------
21,386,237
------------
See notes to financial statements.
-57-
<PAGE>
SHARES VALUE
------ -------
BANKS--8.47%
9,900 AMSOUTH BANCORP ..................... $ 478,912
900 ASSOCIATED BANC-CORP ................ 38,250
58,196 BANC ONE CORP ....................... 2,502,428
9,500 BANCORP HAWAII, INC ................. 399,000
51,500 BANK OF NEW YORK CO, INC ............ 1,738,125
48,500 BANKAMERICA CORP .................... 4,837,875
19,774 BANKBOSTON CORP ..................... 1,270,479
10,200 BANKERS TRUST NEW YORK CORP ......... 879,750
25,700 BARNETT BANKS, INC .................. 1,056,912
20,700 BOATMENS BANCSHARES, INC ............ 1,335,150
470 o CALIFORNIA FED BANK GOODWILL CERT ... 6,580
1,808 CAPITAL ONE FINANCIAL CORP .......... 65,088
700 CCB FINANCIAL CORP .................. 47,775
11,050 CENTRAL FIDELITY BANKS, INC ......... 284,537
800 CENTURA BANKS, INC .................. 35,700
7,925 CHARTER ONE FINANCIAL, INC .......... 332,850
57,858 CHASE MANHATTAN CORP NEW ............ 5,163,826
64,121 CITICORP CO ......................... 6,604,463
9,300 CITY NATIONAL CORP .................. 201,112
15,500 COMERICA, INC ....................... 811,812
8,819 COMMERCE BANCSHARES, INC ............ 407,878
5,800 COMPASS BANCSHARES, INC ............. 230,550
29,109 CORESTATES FINANCIAL CORP ........... 1,510,029
6,943 CRESTAR FINANCIAL CORP .............. 516,385
8,500 CULLEN FROST BANKERS, INC ........... 282,625
5,500 DAUPHIN DEPOSIT CORP ................ 181,500
3,000 DEPOSIT GUARANTY CORP ............... 93,000
12,900 o DIME BANCORP, INC ................... 190,275
12,100 FIFTH THIRD BANCORP ................. 760,031
6,300 FIRST AMERICAN CORP ................. 363,037
19,054 FIRST BANK SYSTEM, INC .............. 1,300,435
42,555 FIRST CHICAGO NBD CORP .............. 2,287,331
8,082 FIRST COMMERCE CORP ................. 314,187
1,497 FIRST COMMERCIAL CORP ............... 55,576
8,300 FIRST HAWAIIAN, INC ................. 290,500
10,130 FIRST OF AMERICA BANK CORP .......... 609,066
12,350 FIRST SECURITY CORP ................. 416,812
11,600 FIRST TENNESSEE NATIONAL CORP ....... 435,000
36,651 FIRST UNION CORP .................... 2,712,174
1,200 FIRST VIRGINIA BANKS, INC ........... 57,450
10,500 FIRSTAR CORP NEW .................... 551,250
35,488 FLEET FINANCIAL GROUP, INC NEW ...... 1,769,964
6,400 GREENPOINT FINANCIAL CORP ........... 303,200
20,840 HIBERNIA CORP (CLASS A) ............. 276,130
23,642 HUNTINGTON BANCSHARES, INC .......... 623,557
4,800 o IMPERIAL CREDIT INDUSTRIES, INC ..... 100,800
30,900 KEYCORP NEW ......................... 1,560,450
9,800 LONG ISLAND BANCORP, INC ............ 343,000
16,000 MAGNA GROUP, INC .................... 472,000
16,300 MARSHALL & ILSLEY CORP .............. 564,387
18,274 MELLON BANK CORP .................... 1,297,454
10,600 MERCANTILE BANCORP, INC ............. 544,575
11,170 MERCANTILE BANKSHARES CORP .......... 357,440
27,000 MORGAN (J.P.) & CO, INC ............. 2,635,875
30,698 NATIONAL CITY CORP .................. 1,377,572
900 NATIONAL COMMERCE BANCORP ........... 34,425
38,806 NATIONSBANK CORP .................... 3,793,286
6,900 NORTH FORK BANCORP, INC ............. 245,812
17,300 NORTHERN TRUST CORP ................. 627,125
49,448 NORWEST CORP ........................ 2,150,988
8,937 OLD KENT FINANCIAL CORP ............. 426,741
1,076 OLD NATIONAL BANCORP ................ 42,233
5,800 ONBANCORP, INC ...................... 215,325
1,250 ONE VALLEY BANCORP, INC ............. 46,406
4,800 PEOPLES BANK OF BRIDGEPORT CO ....... 138,600
8,300 PEOPLES HERITAGE FINANCIAL
GROUP, INC ......................... 232,400
45,380 PNC BANK CORP ....................... 1,707,422
10,576 REGIONS FINANCIAL CORP .............. 546,647
8,300 REPUBLIC NEW YORK CORP .............. 677,487
6,400 RIGGS NATIONAL CORP ................. 110,400
9,406 SIGNET BANKING CORP ................. 289,234
16,750 SOUTHERN NATIONAL CORP .............. 607,187
15,800 SOUTHTRUST CORP ..................... 551,025
24,345 SOVEREIGN BANCORP, INC .............. 319,528
11,400 ST. PAUL BANCORP, INC ............... 334,875
2,100 STANDARD FEDERAL BANCORP ............ 119,437
2,200 STAR BANC CORP ...................... 202,125
11,200 STATE STREET BOSTON CORP ............ 722,400
14,002 SUMMIT BANCORP ...................... 612,587
31,100 SUNTRUST BANKS, INC ................. 1,531,675
15,650 SYNOVUS FINANCIAL CORP .............. 502,756
21,616 U.S. BANCORP ........................ 971,369
1,600 U.S. TRUST CORP NEW ................. 126,400
9,046 UNION PLANTERS CORP ................. 352,794
1,400 UNIONBANCAL CORP .................... 74,200
750 UNITED CAROLINA BANCSHARES CORP ..... 29,625
1,260 VALLEY NATIONAL BANCORP ............. 32,287
23,600 WACHOVIA CORP NEW ................... 1,333,400
7,450 WASHINGTON FEDERAL, INC ............. 197,425
7,400 WASHINGTON MUTUAL, INC .............. 320,512
12,468 WELLS FARGO & CO .................... 3,363,243
7,600 WILMINGTON TRUST CORP ............... 300,200
3,000 ZIONS BANCORP ....................... 312,000
------------
78,083,700
------------
BEVERAGES--2.94%
61,700 ANHEUSER BUSCH COS, INC ............. 2,468,000
1,400 BROWN FORMAN, INC (CLASS B) ......... 64,050
334,900 COCA COLA CO ........................ 17,624,112
10,000 COCA COLA ENTERPRISES, INC .......... 485,000
7,900 COORS (ADOLPH) CO (CLASS B) ......... 150,100
215,200 PEPSICO, INC ........................ 6,294,600
------------
27,085,862
------------
BROADCASTERS--0.71%
3,300 o AMERICAN RADIO SYSTEMS CORP ......... 89,925
6,800 o CLEAR CHANNEL COMMUNICATIONS, INC ... 245,650
2,800 COMCAST CORP (CLASS A) .............. 49,350
34,028 COMCAST CORP (CLASS A) SPL .......... 606,123
4,550 o EVERGREEN MEDIA CORP (CLASS A) ...... 113,750
10,290 GAYLORD ENTERTAINMENT CO ............ 235,383
1,800 HARTE-HANKS COMMUNICATIONS, INC ..... 49,950
11,000 o HERITAGE MEDIA CORP (CLASS A) NEW ... 123,750
15,925 o INFINITY BROADCASTING CORP (CLASS A) 535,478
4,300 o JACOR COMMUNICATIONS, INC
WTS 9/18/01 ........................ 8,600
5,000 o KING WORLD PRODUCTIONS, INC ......... 184,375
21,975 o LIBERTY MEDIA GROUP (CLASS A) ....... 627,660
4,150 o LIN TELEVISION CORP ................. 175,337
16,300 SCRIPPS (E.W.) CO (CLASS A) ......... 570,500
3,800 TCA CABLE TV, INC ................... 114,475
8,540 o TCI SATELLITE ENTERTAINMENT (CLASS A) 84,332
86,700 o TELE-COMMUNICATIONS, INC
(CLASS A) NEW ...................... 1,132,518
400 UNITED TELEVISION, INC .............. 34,450
6,460 o VIACOM, INC (CLASS A) ............... 222,870
36,393 o VIACOM, INC (CLASS B) ............... 1,269,205
250 o VIACOM, INC (CLASS B) WTS 7/07/97 ... 7
150 o VIACOM, INC (CLASS B) WTS 7/07/99 ... 375
4,100 o WESTWOOD ONE, INC ................... 68,162
------------
6,542,225
------------
See notes to financial statements.
-58-
<PAGE>
SHARES VALUE
------ -------
BUSINESS SERVICES--1.49%
10,444 o ACCUSTAFF, INC ...................... $ 220,629
13,966 o ACNEILSEN CORP ...................... 211,235
7,700 ADVO, INC ........................... 107,800
5,800 o AFFILIATED COMPUTER
SERVICES, INC (CLASS A) ............ 172,550
1,500 o ALLIANCE SEMICONDUCTOR CORP ......... 10,687
4,500 o ALTERNATIVE RESOURCES CORP .......... 78,187
10,900 o AMERICA ONLINE, INC ................. 362,425
6,725 o APOLLO GROUP, INC (CLASS A) ......... 224,867
2,000 o ASPEN TECHNOLOGY INC ................ 160,500
5,300 AUTODESK, INC ....................... 148,400
8,100 BANTA CORP .......................... 185,287
13,600 BLOCK (H&R), INC .................... 394,400
2,500 o CABLEVISION SYSTEMS CORP (CLASS A) .. 76,562
1,200 o CALGENE, INC ........................ 6,000
2,800 o CATALINA MARKETING CORP ............. 154,350
5,600 o CHECKPOINT SYSTEMS, INC ............. 138,600
1,600 o CIBER INC ........................... 48,000
4,200 CINTAS CORP ......................... 246,750
22,700 COGNIZANT CORP ...................... 749,100
2,800 o COMPUTER HORIZONS CORP .............. 107,800
10,000 o COMPUTERVISION CORP ................. 92,500
4,550 o CORESTAFF, INC ...................... 107,778
10,060 o CORPORATE EXPRESS, INC .............. 296,141
10,900 o CORRECTIONS CORP OF AMERICA ......... 333,812
3,300 o CREDENCE SYSTEMS CORP ............... 66,412
11,900 DELUXE CORP ......................... 389,725
1,700 o DIALOGIC CORP ....................... 53,550
7,550 DIEBOLD, INC ........................ 474,706
6,057 o DOUBLETREE CORP ..................... 272,565
1,700 o ENCAD, INC .......................... 70,125
7,000 FIRST INDUSTRIAL REALTY TRUST, INC .. 212,625
5,700 o FORE SYSTEMS, INC ................... 187,387
3,900 o FRANKLIN QUEST CO ................... 81,900
3,000 o FRITZ COS, INC ...................... 38,250
2,500 o GATEWAY 2000, INC ................... 133,906
8,300 HARLAND (JOHN H.) CO ................ 273,900
1,400 o HCIA, INC ........................... 48,300
1,600 o INFORMATION RESOURCES, INC .......... 22,400
2,100 o INSO CORP ........................... 83,475
5,300 o INTERIM SERVICES, INC ............... 188,150
9,400 INTERPUBLIC GROUP OF COS, INC ....... 446,500
2,000 o ITRON, INC .......................... 35,500
5,900 KELLY SERVICES, INC (CLASS A) ....... 159,300
10,300 LIBERTY PROPERTY TRUST CO ........... 265,225
10,200 MANPOWER, INC ....................... 331,500
5,487 o MCAFEE ASSOCIATES, INC .............. 241,428
900 o MERISEL, INC ........................ 1,490
3,400 o MICRO WAREHOUSE, INC ................ 39,950
2,860 o NATIONAL AUTO CREDIT, INC ........... 34,320
5,800 o NATIONAL EDUCATION CORP ............. 88,450
8,300 NATIONAL SERVICE INDUSTRIES, INC .... 310,212
3,500 o NU KOTE HOLDING, INC (CLASS A) ...... 35,875
16,150 o OFFICE DEPOT, INC ................... 286,662
7,800 o OIS OPTICAL IMAGING SYSTEMS, INC .... 12,187
10,082 OLSTEN CORP ......................... 152,490
10,300 OMNICOM GROUP, INC .................. 471,225
1,400 o OPTICAL DATA SYSTEMS, INC ........... 16,800
8,075 PAYCHEX, INC ........................ 415,357
5,300 PHH CORP ............................ 227,900
6,800 PITTSTON BRINKS GROUP CO ............ 183,600
1,392 PREMIER FARNELL PLC ADR ............. 35,148
4,180 o PURE ATRIA CORP ..................... 103,455
2,100 o QUARTERDECK CORP .................... 8,662
2,600 o REMEDY CORP ......................... 139,750
8,500 o ROBERT HALF INTERNATIONAL, INC ...... 292,187
4,700 ROLLINS, INC ........................ 94,000
10,200 SENSORMATIC ELECTRONICS CORP ........ 170,850
31,000 SERVICE CORP INTERNATIONAL .......... 868,000
2,900 STANDARD REGISTER, INC .............. 94,250
6,000 o SUNGARD DATA SYSTEMS, INC ........... 237,000
2,300 o SYLVAN LEARNING SYSTEMS, INC ........ 65,550
2,400 o THERMOLASE CORP ..................... 37,800
5,900 o TRACOR, INC ......................... 125,375
1,700 TRUE NORTH COMMUNICATIONS, INC ...... 37,187
3,900 o U.S. CELLULAR CORP .................. 108,712
400 VALSPAR CORP ........................ 22,650
3,700 o VERIFONE, INC ....................... 109,150
2,900 o WACKENHUT CORRECTIONS CORP .......... 58,000
2,800 WALLACE COMPUTER SERVICES, INC ...... 96,600
1,800 o WIND RIVER SYSTEMS, INC ............. 85,275
500 o WONDERWARE CORP ..................... 4,445
------------
13,781,753
------------
CHEMICALS--MAJOR--2.14%
14,900 AIR PRODUCTS & CHEMICALS, INC ....... 1,029,962
9,200 ARCADIAN CORP ....................... 243,800
1,000 ARCO CHEMICAL CO .................... 49,000
3,200 o CHEMFIRST, INC (W/I) .............. 74,000
32,000 DOW CHEMICAL CO ..................... 2,508,000
74,800 DU PONT (E.I.) DE NEMOURS & CO ...... 7,059,250
10,500 EASTMAN CHEMICAL CO ................. 580,125
8,800 GOODRICH (B.F.) CO .................. 356,400
14,400 HERCULES, INC ....................... 622,800
7,168 o MISSISSIPPI CHEMICAL CORP ........... 172,032
79,600 MONSANTO CO ......................... 3,094,450
5,000 o OAK TECHNOLOGY, INC ................. 56,250
7,500 OLIN CORP ........................... 282,187
25,400 PPG INDUSTRIES, INC ................. 1,425,575
20,100 PRAXAIR, INC ........................ 927,112
1,900 o QUINTILES TRANSNATIONAL CORP ........ 125,875
5,700 ROHM & HAAS CO ...................... 465,262
16,200 UNION CARBIDE CORP .................. 662,175
------------
19,734,255
------------
CHEMICALS--SPECIALTY--0.97%
8,400 o AIRGAS, INC ......................... 184,800
6,500 ALBEMARLE CORP ...................... 117,812
4,300 BETZDEARBORN, INC ................... 251,550
6,900 CALGON CARBON CORP .................. 84,525
1,500 COMMERCIAL METALS CO ................ 45,187
10,200 CROMPTON & KNOWLES CORP ............. 196,350
6,400 o CYTEC INDUSTRIES, INC ............... 260,000
5,100 DEXTER CORP ......................... 162,562
8,500 ECOLAB, INC ......................... 319,812
15,400 ENGELHARD CORP ...................... 294,525
15,800 ETHYL CORP .......................... 152,075
3,600 FERRO CORP .......................... 102,150
6,000 FOSTER WHEELER CORP ................. 222,750
1,506 FULLER (H.B.) CO .................... 70,782
5,700 GEON CO ............................. 111,862
5,700 GEORGIA GULF CORP ................... 153,187
11,900 GRACE (W.R.) & CO ................... 615,825
8,700 GREAT LAKES CHEMICAL CORP ........... 406,725
8,144 ICN PHARMACEUTICALS, INC NEW ........ 159,826
10,200 IMC GLOBAL, INC ..................... 399,075
4,100 o INTERNATIONAL SPECIALTY
PRODUCTS, INC ...................... 50,225
10,100 LAWTER INTERNATIONAL, INC ........... 127,512
3,800 LOCTITE CORP ........................ 231,325
8,900 LUBRIZOL CORP ....................... 275,900
6,800 LYONDELL PETROCHEMICAL CO ........... 149,600
6,700 MALLINCKRODT, INC ................... 295,637
200 o MCWHORTER TECHNOLOGIES, INC ......... 4,575
19,400 MORTON INTERNATIONAL, INC ........... 790,550
4,600 o MYCOGEN CORP ........................ 98,900
9,900 NALCO CHEMICAL CORP ................. 357,637
2,250 OM GROUP, INC ....................... 60,750
6,200 RAYCHEM CORP ........................ 496,775
13,650 RPM, INC ............................ 232,050
6,875 SCHULMAN (A.), INC .................. 168,437
6,100 o SEALED AIR CORP ..................... 253,912
6,700 SIGMA ALDRICH CORP .................. 418,331
6,200 TERRA INDUSTRIES, INC ............... 91,450
4,000 THIOKOL CORP ........................ 179,000
6,400 WELLMAN, INC ........................ 109,600
9,300 WITCO CORP .......................... 283,650
------------
8,987,196
------------
See notes to financial statements.
-59-
<PAGE>
SHARES VALUE
------ -------
COMMUNICATION EQUIPMENT &
SERVICES--2.78%
17,600 o 360 COMMUNICATIONS CO ............... $ 407,000
22,160 o 3COM CORP ........................... 1,625,990
3,100 o ACC CORP ............................ 93,775
68,600 o AIRTOUCH COMMUNICATIONS, INC ........ 1,732,150
8,125 o ANDREW CORP ......................... 431,132
1,000 o ANTEC CORP .......................... 9,000
2,200 o APAC TELESERVICES INC ............... 84,425
5,200 o ARCH COMMUNICATIONS GROUP, INC ...... 48,750
16,400 o ASCEND COMMUNICATIONS, INC .......... 1,018,850
3,100 o AVID TECHNOLOGIES, INC .............. 32,162
11,900 o BRINKER INTERNATIONAL, INC .......... 190,400
3,700 o CABLE DESIGN TECHNOLOGIES CO ........ 115,162
14,200 o CABLETRON SYSTEMS, INC .............. 472,150
7,600 o CAI WIRELESS SYSTEMS, INC ........... 7,600
1,500 o CALIFORNIA MICROWAVE, INC ........... 22,312
9,100 o CASCADE COMMUNICATIONS CORP ......... 501,637
1,300 o CELLSTAR CORP ....................... 23,400
400 o CELLULAR COMMUNICATIONS
INTERNATIONAL, INC ................. 11,600
10,300 CENTURY TELEPHONE ENTERPRISES, INC .. 318,012
12,200 o CHYRON CORP ......................... 35,075
1,900 o CIDCO, INC .......................... 33,250
91,100 o CISCO SYSTEMS, INC .................. 5,796,237
6,900 COMSAT CORP SERIES 1 ................ 169,912
30,200 CORNING, INC ........................ 1,396,750
15,200 o DSC COMMUNICATIONS CORP ............. 271,700
6,800 o DSP COMMUNICATIONS, INC ............. 131,750
3,100 o DYNATECH CORP ....................... 137,175
1,600 o GENERAL DATACOMM INDUSTRIES, INC .... 16,800
9,900 o GEOTEK COMMUNICATIONS, INC .......... 70,537
6,300 HARRIS CORP ......................... 432,337
2,900 o HEARTLAND WIRELESS
COMMUNICATIONS INC ................. 38,062
3,800 o HIGHWAYMASTER COMMUNICATIONS, INC ... 68,875
3,900 o INTERCEL, INC ....................... 47,775
1,100 o INTERDIGITAL COMMUNICATIONS CORP .... 6,325
3,200 o INTERMEDIA COMMUNICATIONS, INC ...... 82,400
6,466 o INTERNATIONAL CABLETEL, INC ......... 163,266
2,900 o JACOR COMMUNICATIONS, INC ........... 79,387
12,500 o LCI INTERNATIONAL, INC .............. 268,750
7,900 o LORAL SPACE & COMMUNICATIONS LTD .... 145,162
85,162 o LUCENT TECHNOLOGIES, INC ............ 3,938,742
3,800 o MACROMEDIA, INC ..................... 68,400
2,800 o MASTEC, INC ......................... 148,400
12,611 o MFS COMMUNICATIONS CO, INC .......... 687,299
1,100 o NETCOM ON-LINE COMMUNICATIONS
SERVICE, INC ....................... 14,300
3,400 o NETWORK EQUIPMENT
TECHNOLOGIES, INC .................. 56,100
7,700 o NEW WORLD COMMUNICATIONS
GROUP, INC ......................... 194,425
39,400 o NOVELL, INC ......................... 373,068
7,300 o OCTEL COMMUNICATIONS CORP ........... 127,750
5,000 o OMNIPOINT CORP ...................... 96,250
2,500 o P-COM, INC .......................... 74,062
15,200 o PAGING NETWORK, INC ................. 231,800
9,200 o PAIRGAIN TECHNOLOGIES, INC .......... 280,025
10,600 o PANAMSAT CORP ....................... 296,800
1,800 o PHARMACEUTICAL PRODUCT
DEVELOPMENT ........................ 45,450
4,600 o PICTURETEL CORP NEW ................. 119,600
5,300 o PMT SERVICES, INC ................... 92,750
3,600 o PREMIERE TECHNOLOGIES INC ........... 90,000
2,600 o PREMISYS COMMUNICATIONS, INC ........ 87,750
6,600 o QUALCOMM, INC ....................... 263,175
3,500 o RENAISSANCE COMMUNICATIONS CORP ..... 125,125
9,700 SCIENTIFIC-ATLANTA, INC ............. 145,500
5,600 o SITEL CORP .......................... 79,100
6,800 o TECH DATA CORP ...................... 186,150
3,300 o TEL-SAVE HOLDINGS, INC .............. 95,700
5,100 o TELE-COMMUNICATIONS INTERNATIONAL
(CLASS A) .......................... 67,575
21,100 o TELLABS, INC ........................ 793,887
7,600 o VANGUARD CELLULAR SYSTEMS, INC ...... 119,700
3,400 o WESTELL TECHNOLOGIES, INC (CLASS A) . 77,775
4,300 o WINSTAR COMMUNICATIONS, INC ......... 90,300
------------
25,603,990
------------
COMPUTER SERVICE--4.02%
400 o 3DO CO .............................. 1,925
10,500 o ACXIOM CORP ......................... 252,000
14,000 o ADAPTEC, INC ........................ 560,000
17,000 o ADC TELECOMMUNICATIONS, INC ......... 529,125
7,872 ADOBE SYSTEMS, INC .................. 294,216
7,725 o AMERICAN MANAGEMENT SYSTEMS, INC .... 189,262
2,400 o ARBOR SOFTWARE CORP ................. 58,200
4,200 o AUSPEX SYSTEMS, INC ................. 48,825
39,700 AUTOMATIC DATA PROCESSING, INC ...... 1,702,137
2,300 o AVANT CORP .......................... 73,025
400 o BANYAN SYSTEMS, INC ................. 1,800
23,545 o BAY NETWORKS, INC ................... 491,501
3,100 o BBN CORP ............................ 69,750
2,500 o BDM INTERNATIONAL, INC .............. 135,625
6,200 o BISYS GROUP, INC .................... 229,787
13,200 o BMC SOFTWARE, INC ................... 546,150
2,200 o BORLAND INTERNATIONAL, INC .......... 11,962
4,500 o BOSTON TECHNOLOGY, INC .............. 129,375
2,000 o BRODERBUND SOFTWARE, INC ............ 59,500
4,000 o C-CUBE MICROSYSTEMS, INC ............ 147,750
11,525 o CADENCE DESIGN SYSTEMS, INC ......... 458,118
5,100 o CAMBRIDGE TECHNOLOGY PARTNERS, INC .. 171,168
1,950 o CDW COMPUTER CENTERS, INC ........... 115,659
8,900 o CERIDIAN CORP ....................... 360,450
6,100 o CHECKFREE CORP ...................... 104,462
5,200 o CITRIX SYSTEMS, INC ................. 203,125
1,600 o CLARIFY INC ......................... 76,800
10,600 o COMPUSA, INC ........................ 218,625
38,450 COMPUTER ASSOCIATES
INTERNATIONAL, INC ................. 1,912,887
9,560 o COMPUTER SCIENCES CORP .............. 785,115
4,700 o COMPUWARE CORP ...................... 235,587
2,400 o CYRIX CORP .......................... 42,600
500 o DOCUMENTUM INC ...................... 16,875
4,000 o DST SYSTEMS, INC .................... 125,500
6,500 o ELECTRONIC ARTS, INC ................ 194,593
44,100 ELECTRONIC DATA SYSTEMS CORP ........ 1,907,325
29,400 o EMC CORP ............................ 973,875
2,700 o EMPLOYEE SOLUTIONS, INC ............. 55,350
3,100 o EXABYTE CORP ........................ 41,462
56,748 FIRST DATA CORP ..................... 2,071,302
7,100 o FISERV, INC ......................... 260,925
See notes to financial statements.
-60-
<PAGE>
SHARES VALUE
------ -------
COMPUTER SERVICE--(CONTINUED)
5,200 o FORTE SOFTWARE, INC ................. $ 170,300
1,600 o FTP SOFTWARE, INC ................... 9,600
12,000 o GT INTERACTIVE SOFTWARE CORP ........ 85,500
10,700 HBO & CO ............................ 635,312
7,200 o HMT TECHNOLOGY CORP ................. 108,112
3,300 o HNC SOFTWARE ........................ 103,125
8,000 o IMATION CORP ........................ 225,000
19,500 o INFORMIX CORP ....................... 397,312
267 o INTEGRATED SYSTEMS CONSULTING
GROUP .............................. 3,671
3,800 o INTEGRATED SYSTEMS, INC ............. 98,800
8,400 o INTERGRAPH CORP ..................... 86,100
4,700 o INTUIT, INC ......................... 148,050
500 o JTS CORP ............................ 1,656
4,800 o LEARNING CO, INC .................... 69,000
3,400 o LEGATO SYSTEMS, INC ................. 110,925
4,400 o MEDIC COMPUTER SYSTEMS, INC ......... 177,375
9,600 o MENTOR GRAPHICS CORP ................ 93,600
4,900 o MICROCHIP TECHNOLOGY, INC ........... 249,287
3,100 o MICRON ELECTRONICS, INC ............. 60,256
111,600 o MICROSOFT CORP ...................... 9,220,950
5,000 NATIONAL DATA CORP .................. 217,500
4,200 o NETMANAGE, INC ...................... 25,200
6,000 o NETSCAPE COMMUNICATIONS CORP ........ 341,250
300 o NETWORK APPLIANCE INC ............... 15,262
8,000 o NETWORK GENERAL CORP ................ 242,000
4,900 o OBJECTIVE SYSTEMS INTEGRATORS, INC .. 116,987
66,825 o ORACLE CORP ......................... 2,789,943
17,000 o PARAMETRIC TECHNOLOGY CORP .......... 873,375
9,400 o PEOPLESOFT, INC ..................... 450,612
3,700 o PHYSICIAN COMPUTER NETWORK, INC ..... 31,450
5,800 o PIXAR INC ........................... 75,400
8,600 o PLATINUM TECHNOLOGY, INC ............ 117,175
2,400 o POLICY MANAGEMENT SYSTEMS CORP ...... 110,700
1,400 o PROGRESS SOFTWARE CORP .............. 28,000
4,500 o PSINET, INC ......................... 48,937
4,900 o RATIONAL SOFTWARE CORP .............. 193,856
4,900 o READ RITE CORP ...................... 123,725
11,500 REYNOLDS & REYNOLDS CO (CLASS A) .... 299,000
5,900 o SAFEGUARD SCIENTIFICS, INC .......... 187,325
1,500 o SCOPUS TECHNOLOGY, INC .............. 69,750
4,400 o SECURITY DYNAMICS TECHNOLOGIES, INC . 138,600
2,000 SEI CORP ............................ 44,500
3,500 SHARED MEDICAL SYSTEMS CORP ......... 172,375
3,300 o SHIVA CORP .......................... 115,087
10,077 o STERLING COMMERCE INC ............... 355,214
3,900 o STERLING SOFTWARE, INC .............. 123,337
4,200 o STRUCTURAL DYNAMICS RESEARCH CORP ... 84,000
9,400 o SYBASE, INC ......................... 156,862
6,800 o SYMANTEC CORP ....................... 98,600
5,400 o SYNOPSYS, INC ....................... 249,750
3,150 SYSTEM SOFTWARE ASSOCIATES, INC ..... 33,468
2,400 o SYSTEMSOFT CORP ..................... 35,700
2,800 o TECHNOLOGY SOLUTIONS CO ............. 116,200
5,100 o TRANSACTION SYSTEM ARCHITECTURE ..... 169,575
6,700 o VANSTAR CORP ........................ 164,150
3,000 o VANTIVE CORP (THE) .................. 93,750
2,000 o VERITAS SOFTWARE CORP ............... 99,500
2,300 o VIASOFT INC ......................... 108,675
2,500 o VIDEOSERVER, INC .................... 106,250
2,500 o VISIO CORP .......................... 123,750
4,700 o YAHOO INC ........................... 79,900
3,700 o ZEBRA TECHNOLOGY CORP ............... 86,487
------------
37,030,826
------------
CONGLOMERATES--2.08%
17,500 ALCO STANDARD CORP .................. 903,437
11,200 ALEXANDER & BALDWIN, INC ............ 280,000
32,600 ALLIED SIGNAL, INC .................. 2,184,200
6,200 AMERICAN FINANCIAL GROUP, INC ....... 234,050
8,700 o ANIXTER INTERNATIONAL, INC .......... 140,287
3,000 o BLYTH INDUSTRIES, INC ............... 136,875
8,500 o COLTEC INDUSTRIES, INC .............. 160,437
7,975 o CONCORD EFS, INC .................... 225,293
7,800 o COPYTELE, INC ....................... 38,512
8,150 CRANE CO ............................ 236,350
16,700 ITT INDUSTRIES, INC ................. 409,150
6,400 JOHNSON CONTROLS, INC ............... 530,400
1,950 KEYSTONE FINANCIAL, INC ............. 48,750
5,700 o LITTON INDUSTRIES, INC .............. 271,462
9,700 LOEWS CORP .......................... 914,225
10,299 MARK IV INDUSTRIES, INC ............. 233,014
7,000 o METROMEDIA INTERNATIONAL GROUP INC .. 69,125
55,300 MINNESOTA MINING &
MANUFACTURING CO ................... 4,582,987
21,400 o ROCKWELL INTERNATIONAL CORP NEW ..... 1,302,725
5,900 SCHULLER CORP ....................... 62,687
1,100 STANDEX INTERNATIONAL CORP .......... 33,962
9,400 TEXTRON, INC ........................ 885,950
17,900 TRW, INC ............................ 886,050
19,000 TYCO INTERNATIONAL LTD .............. 1,004,625
10,800 o U.S. INDUSTRIES, INC ................ 371,250
34,400 UNITED TECHNOLOGIES CORP ............ 2,270,400
15,300 VIAD CORP ........................... 252,450
19,100 WHITMAN CORP ........................ 436,912
3,600 ZEIGLER COAL HOLDING CO ............. 76,950
------------
19,182,515
------------
CONSTRUCTION--MATERIALS &
BUILDERS--0.66%
6,000 ARMSTRONG WORLD INDUSTRIES, INC ..... 417,000
10,400 BAY APARTMENT COMMUNITIES, INC ...... 374,400
1,200 o CASTLE & COOKE, INC ................. 19,050
3,000 o CDI CORP ............................ 85,125
5,100 CENTEX CORP ......................... 191,887
8,600 o CHAMPION ENTERPRISES, INC ........... 167,700
14,716 CLAYTON HOMES, INC .................. 198,666
3,300 o EAGLE HARDWARE & GARDEN, INC ........ 68,475
4,000 FASTENAL CO ......................... 183,000
5,300 FLEETWOOD ENTERPRISES, INC .......... 145,750
4,900 o JACOBS ENGINEERING GROUP, INC ....... 115,762
600 JUSTIN INDUSTRIES, INC .............. 6,900
13,700 KAUFMAN & BROAD HOME CORP ........... 176,387
10,360 LAFARGE CORP ........................ 208,495
7,050 LENNAR CORP ......................... 192,112
2,300 MANUFACTURED HOME
COMMUNITIES, INC ................... 53,475
15,868 MARTIN MARIETTA MATERIALS, INC ...... 368,931
21,800 MASCO CORP .......................... 784,800
900 MEDUSA CORP ......................... 30,937
4,800 o MILLER INDUSTRIES, INC .............. 96,000
7,200 OAKWOOD HOMES CORP .................. 164,700
7,300 OWENS CORNING CO .................... 311,162
700 PLY-GEM INDUSTRIES, INC ............. 8,662
4,300 PULTE CORP .......................... 132,225
10,300 SHERWIN-WILLIAMS CO ................. 576,800
14,356 SIMON DEBARTOLO GROUP, INC .......... 445,036
4,300 o SOLA INTERNATIONAL, INC ............. 163,400
300 TEXAS INDUSTRIES, INC ............... 15,187
6,500 o USG CORP ............................ 220,187
3,000 VULCAN MATERIALS CO ................. 182,625
------------
6,104,836
------------
See notes to financial statements.
-61-
<PAGE>
SHARES VALUE
------ -------
CONTAINERS--0.14%
7,759 BALL CORP ........................... $ 201,734
13,000 CROWN CORK & SEAL CO, INC ........... 706,875
6,500 o GAYLORD CONTAINER CO ................ 39,812
15,400 o OWENS ILLINOIS, INC ................. 350,350
1,100 WEST CO, INC ........................ 31,075
------------
1,329,846
------------
COSMETICS--0.70%
1,200 ALBERTO CULVER CO (CLASS B) ......... 57,600
17,700 AVON PRODUCTS, INC .................. 1,011,112
600 o BUSH BOAKE ALLEN, INC ............... 15,975
4,700 CARTER WALLACE, INC ................. 73,437
58,900 GILLETTE CO ......................... 4,579,475
12,400 INTERNATIONAL FLAVORS &
FRAGRANCES, INC .................... 558,000
2,500 LAUDER (ESTEE) CO (CLASS A) ......... 127,187
------------
6,422,786
------------
ELECTRICAL EQUIPMENT--3.28%
10,100 o AMERICAN POWER CONVERSION CORP ...... 275,225
7,400 AMETEK, INC ......................... 164,650
7,400 BELDEN, INC ......................... 273,800
15,500 DURACELL INTERNATIONAL, INC ......... 1,083,062
30,000 EMERSON ELECTRIC CO ................. 2,902,500
219,900 GENERAL ELECTRIC CO ................. 21,742,612
4,600 GENERAL SIGNAL CORP ................. 196,650
6,000 GRAINGER (W.W.), INC ................ 481,500
17,200 HONEYWELL, INC ...................... 1,130,900
8,250 HUBBELL, INC (CLASS B) .............. 356,812
1,700 JUNO LIGHTING, INC .................. 27,200
10,005 THOMAS & BETTS CORP ................. 443,971
58,900 WESTINGHOUSE ELECTRIC CORP .......... 1,170,637
------------
30,249,519
------------
ELECTRICAL EQUIPMENT--
COMPONENTS DIVERSIFIED--3.80%
17,200 o ADVANCED MICRO DEVICES, INC ......... 442,900
5,600 o ALTERA CORP ......................... 407,050
30,000 AMP, INC ............................ 1,151,250
5,800 o AMPHENOL CORP (CLASS A) ............. 129,050
16,525 o ANALOG DEVICES, INC ................. 559,784
1,000 o APPLIED INNOVATION, INC ............. 6,125
7,237 o ARROW ELECTRONICS, INC .............. 387,179
12,400 o ATMEL CORP .......................... 410,750
6,600 AVNET, INC .......................... 384,450
4,300 AVX CORP ............................ 92,450
1,800 BALDOR ELECTRIC CO .................. 44,325
1,700 o BURR BROWN CORP ..................... 44,200
4,100 o CHIPS & TECHNOLOGIES, INC ........... 74,825
7,600 o CIRRUS LOGIC, INC ................... 117,800
8,200 o COMPUCOM SYSTEMS, INC ............... 88,150
5,000 o COMPUTER PRODUCTS, INC .............. 97,500
3,300 o COMVERSE TECHNOLOGY, INC ............ 124,781
135 o CYBERGUARD CORP ..................... 1,636
9,800 o CYPRESS SEMICONDUCTOR CORP .......... 138,425
8,000 DALLAS SEMICONDUCTOR CORP ........... 184,000
5,100 o ESS TECHNOLOGY ...................... 143,437
3,500 o ETEC SYSTEMS, INC ................... 133,875
4,500 FISHER SCIENTIFIC INTERNATIONAL, INC 212,062
17,400 o GENERAL INSTRUMENT CORP NEW ......... 376,275
1,900 o HADCO CORP .......................... 93,100
1,100 HELIX TECHNOLOGY CORP ............... 31,900
10,400 o INTEGRATED DEVICE TECHNOLOGY, INC ... 141,700
115,400 INTEL CORP .......................... 15,110,187
7,000 o INTERNATIONAL RECTIFIER CORP ........ 106,750
1,400 o JABIL CIRCUIT, INC .................. 56,000
5,600 o KEMET CORP .......................... 130,200
6,100 o KENT ELECTRONICS CORP ............... 157,075
3,600 o LAM RESEARCH CORP ................... 101,250
3,600 o LATTICE SEMICONDUCTOR CORP .......... 165,600
10,300 LINEAR TECHNOLOGY CO ................ 451,912
16,100 o LSI LOGIC CORP ...................... 430,675
2,300 o MAGNETEK, INC ....................... 29,612
5,900 o MARSHALL INDUSTRIES, INC ............ 180,687
9,400 o MAXIM INTEGRATED PRODUCTS ........... 406,550
3,000 o MEMC ELECTRONIC MATERIALS, INC ...... 67,500
8,200 METHODE ELECTRONICS, INC (CLASS A) .. 166,050
23,400 MICRON TECHNOLOGY, INC .............. 681,525
12,025 MOLEX, INC .......................... 470,478
79,200 MOTOROLA, INC ....................... 4,860,900
2,000 o MRV COMMUNICATIONS, INC ............. 43,500
1,000 o MYLEX CORP .......................... 12,500
17,300 o NATIONAL SEMICONDUCTOR CORP ......... 421,687
2,400 o OAK INDUSTRIES, INC NEW ............. 55,200
1,950 PIONEER-STANDARD ELECTRONICS, INC ... 25,593
7,900 o S3, INC ............................. 128,375
3,300 o SANMINA CORP ........................ 186,450
5,300 o SIERRA SEMICONDUCTOR CORP ........... 79,500
3,900 o SYMBOL TECHNOLOGIES, INC ............ 172,575
2,200 o TCSI CORP ........................... 13,750
24,400 TEXAS INSTRUMENTS, INC .............. 1,555,500
3,400 o TRIMBLE NAVIGATION LTD .............. 39,100
11,300 o U.S. ROBOTICS CORP .................. 813,600
3,400 o UCAR INTERNATIONAL INC .............. 127,925
2,900 o UNIPHASE CORP ....................... 152,250
4,900 o VICOR CORP .......................... 81,768
7,497 o VISHAY INTERTECHNOLOGY, INC ......... 175,242
2,800 o VITESSE SEMICONDUCTOR CORP .......... 127,400
5,600 o VLSI TECHNOLOGY, INC ................ 133,700
5,900 o WATERS CORP ......................... 179,212
5,900 o WESTERN DIGITAL CORP ................ 335,562
3,300 WYLE ELECTRONICS .................... 130,350
10,200 o XILINX, INC ......................... 375,487
4,200 o ZILOG, INC .......................... 109,725
------------
35,067,881
------------
<PAGE>
ELECTRICAL EQUIPMENT--
INSTRUMENTS--0.37%
22,900 o APPLIED MATERIALS, INC .............. 822,968
4,100 BECKMAN INSTRUMENTS, INC NEW ........ 157,337
1,800 o COHERENT, INC ....................... 76,050
3,300 o DESTEC ENERGY, INC .................. 51,562
3,300 o DIONEX CORP ......................... 115,500
1,600 o ELECTROGLAS, INC .................... 25,800
3,200 o ELECTRONICS FOR IMAGING, INC ........ 263,200
1,700 o EPIC DESIGN TECHNOLOGY, INC ......... 42,500
3,200 o GENRAD, INC ......................... 74,400
6,600 o INPUT/OUTPUT, INC ................... 122,100
6,600 o KLA INSTRUMENTS CORP ................ 234,300
1,900 o KULICHE & SOFFA INDUSTRIES, INC ..... 36,100
2,600 o LTX CORP ............................ 15,275
5,900 PERKIN-ELMER CORP ................... 347,362
4,900 o SILICON VALLEY GROUP, INC ........... 98,612
4,600 TEKTRONIX, INC ...................... 235,750
4,100 o TENCOR INSTRUMENTS .................. 108,137
10,000 o TERADYNE, INC ....................... 243,750
3,175 o THERMO INSTRUMENT SYSTEMS, INC ...... 105,171
4,300 VARIAN ASSOCIATES, INC .............. 218,762
1,900 X RITE, INC ......................... 31,350
------------
3,425,986
------------
See notes to financial statements.
-62-
<PAGE>
SHARES VALUE
------ -------
ENVIRONMENTAL CONTROL--0.52%
17,100 o ALLIED WASTE INDUSTRIES, INC ........ $ 158,175
25,300 BROWNING FERRIS INDUSTRIES, INC ..... 664,125
10,500 OGDEN CORP .......................... 196,875
800 o OMEGA ENVIRONMENTAL, INC ............ 1,025
18,800 o REPUBLIC INDUSTRIES, INC ............ 586,325
6,650 o U.S. FILTER CORP .................... 211,137
16,960 o U.S.A. WASTE SERVICES, INC .......... 540,600
7,700 o UNITED WASTE SYSTEMS, INC ........... 264,687
13,100 WHEELABRATOR TECHNOLOGIES, INC NEW .. 212,875
61,100 WMX TECHNOLOGIES, INC ............... 1,993,387
------------
4,829,211
------------
FINANCIAL--MISCELLANEOUS--4.25%
2,200 AAMES FINANCIAL CORP ................ 78,925
7,100 ADVANTA CORP (CLASS A) .............. 303,525
2,100 ALEX BROWN, INC ..................... 152,250
5,800 AMBAC, INC .......................... 384,975
63,500 AMERICAN EXPRESS CO ................. 3,587,750
29,900 AMERICAN GENERAL CORP ............... 1,222,162
3,600 AMERICAN HEALTH PROPERTIES, INC ..... 85,950
5,400 o AMRESCO, INC ........................ 144,450
12,500 ASTORIA FINANCIAL CORP .............. 460,937
6,900 AVALON PROPERTIES, INC .............. 198,375
6,656 BEACON PROPERTIES CORP .............. 243,776
16,944 BEAR STEARNS COS, INC ............... 472,314
7,100 BENEFICIAL CORP ..................... 449,962
7,300 o CALIFORNIA FEDERAL BANCORP, INC ..... 178,850
10,890 CAPSTEAD MORTGAGE CORP .............. 261,360
7,800 CARR REALTY CORP .................... 228,150
7,600 CASE CORP ........................... 414,200
13,900 o CATELLUS DEVELOPMENT CORP ........... 158,112
1,300 CBL & ASSOCIATES PROPERTIES, INC .... 33,637
2,000 o CITYSCAPE FINANCIAL CORP ............ 52,500
5,600 CMAC INVESTMENT CORP ................ 205,800
3,800 o COAST SAVINGS FINANCIAL, INC ........ 139,175
7,500 COLLECTIVE BANCORP, INC ............. 263,437
6,850 COMDISCO, INC ....................... 217,487
1,400 COMMERCIAL FEDERAL CORP ............. 67,200
12,423 COUNTRYWIDE CREDIT INDUSTRIES, INC .. 355,608
2,900 o CREDIT ACCEPTANCE CORP .............. 68,150
12,200 CWM MORTGAGE HOLDINGS, INC .......... 262,300
19,400 DEAN WITTER, DISCOVER & CO .......... 1,285,250
4,600 DEVELOPERS DIVERSIFIED REALTY CORP .. 170,775
4,800 DUKE REALTY INVESTMENTS, INC ........ 184,800
846 o ECHELON INTERNATIONAL CORP .......... 13,218
9,800 EDWARDS (A.G.), INC ................. 329,525
2,900 o ENVOY CORP .......................... 108,750
6,600 EQUITY RESIDENTIAL PROPERTIES
TRUST CO ........................... 272,250
22,700 FEDERAL HOME LOAN MORTGAGE CORP ..... 2,499,837
140,900 FEDERAL NATIONAL MORTGAGE
ASSOCIATION ........................ 5,248,525
1,200 FINANCIAL SECURITY ASSURANCE
HOLDINGS LTD ....................... 39,450
4,000 FINOVA GROUP, INC ................... 257,000
11,375 FIRST FINANCIAL CORP (WISCONSIN) .... 278,687
15,100 FIRST USA, INC ...................... 522,837
19,787 FRANCHISE FINANCE CORP OF AMERICA ... 546,615
7,100 FRANKLIN RESOURCES, INC ............. 485,462
6,900 o GARTNER GROUP, INC (CLASS A) NEW .... 268,668
5,700 GENERAL GROWTH PROPERTIES, INC ...... 183,825
13,300 o GLENDALE FEDERAL SAVINGS BANK, INC
NEW ................................ 309,225
2,800 GLIMCHER REALTY TRUST ............... 61,600
4,900 GOLDEN WEST FINANCIAL CORP .......... 309,312
11,583 GREAT WESTERN FINANCIAL CORP ........ 335,907
19,000 GREEN TREE FINANCIAL CORP ........... 733,875
10,100 H.F. AHMANSON & CO .................. 328,250
15,500 HEALTH AND RETIREMENT PROPERTY
TRUST .............................. 300,312
7,800 HIGHWOODS PROPERTIES, INC ........... 263,250
12,510 HOUSEHOLD INTERNATIONAL, INC ........ 1,154,047
16,220 LEHMAN BROTHERS HOLDINGS, INC ....... 508,902
6,900 LEUCADIA NATIONAL CORP .............. 184,575
25,550 MBNA CORP ........................... 1,060,325
12,000 MEDITRUST CORP ...................... 480,000
18,850 MERCURY FINANCE CO .................. 230,912
24,500 MERRILL LYNCH & CO, INC ............. 1,996,750
8,917 MERRY LAND & INVESTMENT CO, INC ..... 191,715
11,500 MORGAN STANLEY GROUP, INC ........... 656,937
13,791 NEW PLAN REALTY TRUST ............... 349,946
4,300 o OLYMPIC FINANCIAL LTD ............... 61,812
10,500 PAINE WEBBER GROUP INC ............. 295,312
800 o PEC ISRAEL ECONOMIC CORP ............ 13,400
7,100 PENNCORP FINANCIAL GROUP, INC ....... 255,600
3,700 PIONEER GROUP, INC .................. 87,875
4,500 PMI GROUP, INC ...................... 249,187
3,600 POST PROPERTIES, INC ................ 144,900
7,500 PRICE (T. ROWE) ASSOCIATES, INC ..... 326,250
11,100 PUBLIC STORAGE, INC ................. 344,100
2,750 QUICK & REILLY GROUP, INC ........... 82,156
3,200 o RAC FINANCIAL GROUP INC ............. 67,600
4,600 RESOURCE MORTGAGE CAPITAL CORP ...... 135,125
4,200 RFS HOTEL INVESTORS, INC ............ 82,950
14,900 ROOSEVELT FINANCIAL GROUP, INC ...... 312,900
13,800 SALOMON, INC ........................ 650,325
15,300 SCHWAB (CHARLES) CORP ............... 489,600
2,200 o SEACOR HOLDINGS, INC ................ 138,600
8,000 SECURITY CAPITAL PACIFIC TRUST ...... 183,000
7,700 SPIEKER PROPERTIES, INC ............. 277,200
6,900 STUDENT LOAN MARKETING ASSOCIATION .. 642,562
6,600 TCF FINANCIAL CORP .................. 287,100
3,950 THE MONEY STORE, INC ................ 109,118
11,900 TIG HOLDINGS, INC ................... 403,112
11,200 UNITED ASSET MANAGEMENT CORP ........ 298,200
5,280 UNITED COS FINANCIAL CORP ........... 140,580
15,879 UNITED DOMINION REALTY TRUST CO ..... 246,124
------------
39,167,319
------------
<PAGE>
FOODS--2.13%
72,572 ARCHER DANIELS MIDLAND CO ........... 1,596,584
17,400 CAMPBELL SOUP CO .................... 1,396,350
6,300 CHIQUITA BRANDS INTERNATIONAL, INC .. 80,325
30,200 CONAGRA, INC ........................ 1,502,450
18,600 CPC INTERNATIONAL, INC .............. 1,441,500
7,500 DEAN FOODS CO ....................... 241,875
6,300 DOLE FOOD, INC ...................... 213,412
700 DREYERS GRAND ICE CREAM, INC ........ 20,300
840 EARTHGRAINS CO ...................... 43,890
8,400 FLOWERS INDUSTRIES, INC ............. 180,600
20,900 GENERAL MILLS, INC .................. 1,324,537
10,900 o GENERAL NUTRITION COS, INC .......... 183,937
42,850 HEINZ (H.J.) CO ..................... 1,531,887
12,800 HERSHEY FOODS CORP .................. 560,000
7,900 HORMEL FOODS CORP ................... 213,300
14,400 IBP, INC ............................ 349,200
4,000 INTERSTATE BAKERIES CORP ............ 196,500
12,100 KELLOGG CO .......................... 794,062
6,300 LANCE, INC .......................... 113,400
12,300 MCCORMICK & CO, INC (NON-VOTE) ...... 289,818
12,000 NABISCO HOLDINGS CORP (CLASS A) ..... 466,500
3,200 NATURES SUNSHINE PRODUCTS, INC ...... 57,600
700 o NBTY, INC ........................... 13,300
9,200 PIONEER-HI-BRED INTERNATIONAL, INC .. 644,000
18,500 QUAKER OATS CO ...................... 705,312
10,500 o RALCORP HOLDINGS, INC ............... 221,812
13,800 RALSTON PURINA CO ................... 1,012,575
10,350 RICHFOOD HOLDINGS, INC .............. 250,987
64,000 SARA LEE CORP ....................... 2,384,000
4,000 o SMITHFIELD FOODS, INC ............... 152,000
388 SMITH'S FOOD & DRUG
CENTERS, INC (CLASS B) ............. 12,028
924 TOOTSIE ROLL INDUSTRIES, INC ........ 36,613
11,200 TYSON FOODS, INC .................... 383,600
4,600 UNIVERSAL FOODS CORP ................ 162,150
3,100 o WHOLE FOODS MARKET, INC ............. 69,750
350 WLR FOODS, INC ...................... 4,331
13,700 WRIGLEY (WM) JR CO .................. 770,625
------------
19,621,110
------------
See notes to financial statements.
-63-
<PAGE>
SHARES VALUE
------ -------
FOREST PRODUCTS--0.45%
6,000 BOISE CASCADE CORP .................. $ 190,500
11,000 CHAMPION INTERNATIONAL CORP ......... 475,750
11,300 o COLLINS & AIKMAN CORP ............... 70,625
11,500 GEORGIA-PACIFIC CORP ................ 828,000
15,900 LOUISIANA PACIFIC CORP .............. 335,887
5,500 POTLATCH CORP ....................... 236,500
5,700 RAYONIER, INC ....................... 218,737
1,100 TJ INTERNATIONAL, INC ............... 25,575
26,200 WEYERHAEUSER CO ..................... 1,241,225
7,300 WILLAMETTE INDUSTRIES, INC .......... 508,262
------------
4,131,061
------------
HEALTHCARE--DRUGS--5.79%
2,800 o AGOURON PHARMACEUTICALS, INC ........ 189,700
3,000 o ALLIANCE PHARMACEUTICAL CORP ........ 40,875
11,800 o ALZA CORP ........................... 305,325
85,600 AMERICAN HOME PRODUCTS CORP ......... 5,018,300
35,900 o AMGEN, INC .......................... 1,952,062
11,625 ARBOR DRUGS, INC .................... 201,984
7,260 BERGEN BRUNSWIG CORP (CLASS A) ...... 206,910
1,000 o BIO-TECHNOLOGY GENERAL CORP ......... 13,125
9,100 o BIOGEN, INC ......................... 352,625
951 BLOCK DRUG, INC (CLASS A) ........... 43,746
66,800 BRISTOL MYERS SQUIBB CO ............. 7,264,500
600 o CELLPRO, INC ........................ 7,500
8,700 o CENTOCOR, INC ....................... 311,025
4,000 o CEPHALON, INC ....................... 82,000
22,128 o CHIRON CORP ......................... 412,134
200 o COPLEY PHARMACEUTICAL, INC .......... 1,850
1,100 o COR THERAPEUTICS, INC ............... 10,862
2,200 o CYGNUS, INC ......................... 31,900
6,400 o DURA PHARMACEUTICALS, INC ........... 305,600
2,364 o ELAN CORP PLC ADR ................... 78,603
1,890 o ENZO BIOCHEMICAL, INC ............... 34,256
7,100 o FOREST LABORATORIES, INC ............ 232,525
1,600 o GENETICS INSTITUTE, INC
(DEPOSITORY SHARES) ................ 135,600
600 o GENSIA, INC ......................... 2,775
9,700 o GENZYME CORP (GENERAL DIVISION) ..... 210,975
81 o GENZYME CORP
(TISSUE REPAIR DIVISION) ........... 577
4,900 o GILEAD SCIENCES, INC ................ 122,500
7,300 o IMMUNEX CORP NEW .................... 142,350
4,700 o INTERNEURON PHARMACEUTICALS, INC .... 122,200
5,400 o ISIS PHARMACEUTICALS, INC ........... 97,200
14,592 IVAX CORP ........................... 149,568
3,800 JONES MEDICAL INDUSTRIES, INC ....... 139,175
600 o LIGAND PHARMACEUTICALS CO
(CLASS A) .......................... $ 8,925
62,238 LILLY (ELI) & CO .................... 4,543,374
5,700 o LIPOSOME CO, INC .................... 109,012
2,400 o MATRIX PHARMACEUTICALS, INC ......... 14,700
6,300 MCKESSON CORP NEW ................... 352,800
163,400 MERCK & CO, INC ..................... 12,949,450
18,150 MYLAN LABORATORIES, INC ............. 304,012
1,200 o NEUROGEN CORP ....................... 23,100
4,700 o NEXSTAR PHARMACEUTICALS, INC ........ 70,500
1,700 o PDT, INC ............................ 47,600
85,900 PFIZER, INC ......................... 7,118,962
58,645 PHARMACIA & UPJOHN, INC ............. 2,323,808
400 o PROTEIN DESIGN LABORATORIES, INC .... 14,600
6,000 RHONE-POULNEC RORER, INC ............ 468,750
1,900 o ROBERTS PHARMACEUTICAL CORP ......... 21,375
3,900 o SCHERER (R.P.) CORP ................. 195,975
50,200 SCHERING-PLOUGH CORP ................ 3,250,450
2,400 o SEPRACOR, INC ....................... 39,900
6,400 o SEQUUS PHARMACEUTICALS, INC ......... 102,400
2,200 o SOMATOGEN, INC ...................... 24,200
4,000 o THERMEDICS, INC ..................... 72,500
1,900 o U.S. BIOSCIENCE, INC ................ 23,987
4,100 o VERTEX PHARMACEUTICALS, INC ......... 165,025
35,800 WARNER-LAMBERT CO ................... 2,685,000
4,488 o WATSON PHARMACEUTICALS, INC ......... 201,679
------------
53,352,411
------------
HEALTHCARE--HOSPITAL SUPPLY--2.06%
103,300 ABBOTT LABORATORIES CO .............. 5,242,475
9,440 ALLEGIANCE CORP ..................... 260,780
8,600 BARD (C.R.), INC .................... 240,800
35,400 BAXTER INTERNATIONAL, INC ........... 1,451,400
17,200 BECTON DICKINSON & CO ............... 746,050
1,300 o CNS, INC ............................ 18,687
3,000 DENTSPLY INTERNATIONAL, INC NEW ..... 142,500
9,671 GUIDANT CORP ........................ 551,247
2,900 o GULF SOUTH MEDICAL SUPPLY, INC ...... 74,312
3,300 o HAEMONETICS CORP .................... 62,287
3,200 o ISOLYSER CO, INC .................... 22,400
178,310 JOHNSON & JOHNSON CO ................ 8,870,922
6,200 MILLIPORE CORP ...................... 256,525
6,300 o NABI, INC ........................... 55,125
7,000 o NEUROMEDICAL SYSTEMS, INC ........... 92,750
5,800 OWENS & MINOR, INC NEW .............. 59,450
4,600 o PATTERSON DENTAL CO ................. 129,950
6,700 o PHYSICIAN SALES & SERVICE, INC ...... 96,312
3,900 o SCHEIN (HENRY), INC ................. 134,062
3,100 o SOFAMOR DANEK GROUP, INC ............ 94,550
1,000 o TECNOL MEDICAL PRODUCTS, INC ........ 15,125
7,700 U.S. SURGICAL CORP .................. 303,187
3,300 o VENTRITEX, INC ...................... 81,262
------------
19,002,158
------------
<PAGE>
HEALTHCARE--OTHER--0.95%
2,400 o ACCESS HEALTH, INC .................. 107,400
3,800 o ACUSON CORP ......................... 92,625
2,000 o ADVANCED TECHNOLOGY
LABORATORIES, INC .................. 62,000
6,500 o ADVANCED TISSUE SCIENCE CO .......... 62,156
10,000 ALLERGAN, INC ....................... 356,250
5,400 o AMERICAN MEDICAL RESPONSE, INC ...... 175,500
1,200 ARROW INTERNATIONAL, INC ............ 34,500
3,900 BALLARD MEDICAL PRODUCTS CO ......... 72,637
7,100 BAUSCH & LOMB, INC .................. 248,500
15,500 BIOMET, INC ......................... 234,437
13,491 o BOSTON SCIENTIFIC CORP .............. 809,460
See notes to financial statements.
-64-
<PAGE>
SHARES VALUE
------ -------
HEALTHCARE--OTHER--(CONTINUED)
5,178 o CORAM HEALTHCARE CORP ............... $ 25,890
5,100 o COVENTRY CORP ....................... 47,254
1,200 o DATASCOPE CORP ...................... 24,000
400 DIAGNOSTIC PRODUCTS CORP ............ 10,350
13,083 o FRESENIUS MEDICAL CARE AG. ADR ...... 367,959
5,300 o GENESIS HEALTH VENTURES, INC ........ 164,962
7,500 HILLENBRAND INDUSTRIES, INC ......... 271,875
4,500 o HUMAN GENOME SCIENCES, INC .......... 183,375
5,000 o IDEXX LABORATORIES, INC ............. 180,000
5,200 KINETIC CONCEPTS, INC ............... 63,700
9,100 o MEDAPHIS CORP ....................... 101,806
31,700 MEDTRONIC, INC ...................... 2,155,600
4,600 MENTOR CORP ......................... 135,700
8,900 o NELLCOR PURITAN BENNETT, INC ........ 194,687
16,100 PALL CORP ........................... 410,550
3,600 o PHYMATRIX CORP ...................... 51,300
4,900 o PHYSICIAN RELIANCE NETWORK, INC ..... 37,975
3,600 o PLAYTEX PRODUCTS, INC ............... 28,800
10,250 o ST. JUDE MEDICAL, INC ............... 436,906
5,910 o STERIS CORP ......................... 257,085
10,000 STEWART ENTERPRISES, INC (CLASS A) .. 340,000
9,900 STRYKER CORP ........................ 295,762
4,250 o SUMMIT TECHNOLOGY, INC .............. 23,375
2,200 o SUNRISE MEDICAL, INC ................ 34,925
9,700 o SYBRON INTERNATIONAL CORP ........... 320,100
2,300 o TARGET THERAPEUTICS, INC ............ 96,600
2,100 o THERMO CARDIOSYSTEMS, INC ........... 63,000
1,500 o THERMOTREX CORP ..................... 41,062
3,500 o VIVUS, INC .......................... 126,875
------------
8,746,938
------------
HEALTHCARE--SERVICE--1.79%
18,218 AETNA, INC .......................... 1,457,440
5,900 o AMERISOURCE HEALTH CORP (CLASS A) ... 284,675
5,800 o APRIA HEALTHCARE GROUP, INC ......... 108,750
14,800 o BEVERLY ENTERPRISES CO .............. 188,700
12,891 CARDINAL HEALTH, INC ................ 750,900
4,100 o CERNER CORP ......................... 63,550
1,800 o COASTAL PHYSICIAN GROUP, INC ........ 6,300
90,555 COLUMBIA/HCA HEALTHCARE CORP ........ 3,690,116
5,796 o FHP INTERNATIONAL CORP .............. 215,176
7,400 o FOUNDATION HEALTH CORP .............. 234,950
2,600 o FOXMEYER HEALTH CORP ................ 4,225
5,950 o HEALTH CARE & RETIREMENT CORP ....... 170,318
13,362 o HEALTH MANAGEMENT ASSOCIATES, INC
(CLASS A) NEW ...................... 300,645
3,500 o HEALTH MANAGEMENT SYSTEMS, INC ...... 49,000
8,000 o HEALTH SYSTEMS INTERNATIONAL, INC ... 198,000
4,700 o HEALTHCARE COMPARE CO ............... 199,162
7,700 o HEALTHSOURCE, INC ................... 101,062
19,945 o HEALTHSOUTH CORP .................... 770,375
6,717 o HORIZON/CMS HEALTHCARE CORP ......... 84,802
20,500 o HUMANA, INC ......................... 392,062
5,700 INTEGRATED HEALTH SERVICES, INC ..... 138,937
2,300 o INTEGRATED SILICON SOLUTION, INC .... 19,837
7,600 INVACARE CORP ....................... 209,000
20,080 o LABORATORY CORP OF AMERICA
HOLDINGS ........................... 57,730
244 o LABORATORY CORP OF AMERICA
HOLDINGS WTS 4/28/00 ............... 22
5,000 o LINCARE HOLDINGS, INC ............... 205,000
5,000 o LIVING CENTERS OF AMERICA, INC ...... 138,750
6,700 o MAGELLAN HEALTH SERVICES, INC ....... 149,912
6,400 MANOR CARE, INC ..................... 172,800
5,000 o MARINER HEALTH GROUP, INC ........... 41,875
3,100 o MAXICARE HEALTH PLANS, INC .......... 68,975
16,769 o MEDPARTNERS, INC .................... 352,149
4,600 o MID ATLANTIC MEDICAL SERVICES, INC .. 61,525
1,100 MORRISON HEALTH CARE, INC ........... 16,225
5,450 o MULTICARE COS, INC .................. 110,362
9,500 o NOVACARE, INC ....................... 104,500
4,100 o OCCUSYSTEMS, INC .................... 110,700
2,200 OMEGA HEALTHCARE INVESTORS, INC ..... 73,150
8,400 OMNICARE, INC ....................... 269,850
7,000 o ORNDA HEALTHCORP .................... 204,750
4,000 o ORTHODONTIC CENTERS OF AMERICA, INC . 64,000
10,100 o OXFORD HEALTH PLANS, INC ............ 591,481
500 o PACIFICARE HEALTH SYSTEMS, INC
(CLASS A) .......................... 40,625
2,800 o PACIFICARE HEALTH SYSTEMS, INC
(CLASS B) .......................... 238,700
2,500 o PEDIATRIX MEDICAL GROUP, INC ........ 92,500
7,925 o PHYCOR, INC ......................... 224,871
5,300 o PHYSICIAN CORP OF AMERICA ........... 53,000
4,700 o PHYSICIANS RESOURCE GROUP INC ....... 83,425
5,300 o RENAL TREATMENT CENTERS, INC ........ 135,150
5,800 o ROTECH MEDICAL CORP ................. 121,800
150 o SALICK HEALTH CARE, INC NEW ......... 6,000
3,600 o SIERRA HEALTH SERVICES, INC ......... 88,650
10,500 o SUN HEALTHCARE GROUP, INC ........... 141,750
25,820 o TENET HEALTHCARE CORP ............... 564,812
4,800 o TOTAL RENAL CARE HOLDINGS, INC ...... 174,000
1,000 o TRANSITIONAL HOSPITALS CORP ......... 9,625
24,500 UNITED HEALTHCARE CORP .............. 1,102,500
6,900 o UNIVERSAL HEALTH SERVICES, INC ...... 197,512
7,398 o VALUE HEALTH, INC ................... 144,261
7,115 o VENCOR, INC ......................... 225,011
1,500 o VISX, INC ........................... 33,187
8,300 o VIVRA, INC .......................... 229,287
6,134 o WELLPOINT HEALTH NETWORKS, INC ...... 210,856
------------
16,549,260
------------
HOUSEHOLD--CONSUMER ELECTRONICS--0.02%
3,250 HARMAN INTERNATIONAL
INDUSTRIES, INC .................... 180,781
4,400 o ZENITH ELECTRONICS CORP ............. 47,850
------------
228,631
------------
<PAGE>
HOUSEHOLD--DURABLE GOODS--0.34%
800 BASSETT FURNITURE INDUSTRIES, INC ... 19,600
12,600 BLACK & DECKER CORP ................. 379,575
5,800 o GENTEX CORP ......................... 116,725
13,600 LEGGETT & PLATT, INC ................ 470,900
15,900 MAYTAG CO ........................... 314,025
20,600 NEWELL COS, INC ..................... 648,900
16,300 SHAW INDUSTRIES, INC ................ 191,525
10,600 STANLEY WORKS CO .................... 286,200
11,300 SUNBEAM CORP ........................ 290,975
10,100 WHIRLPOOL CORP ...................... 470,912
------------
3,189,337
------------
HOUSEHOLD--PRODUCTS--1.95%
900 APTARGROUP, INC ..................... 31,725
2,800 o BRIGHTPOINT, INC .................... 83,300
4,600 CLOROX CO ........................... 461,725
18,700 COLGATE PALMOLIVE CO ................ 1,725,075
18,000 DIAL CORP ........................... 265,500
1,200 o FIRST ALERT, INC .................... 4,050
6,600 FIRST BRANDS CORP ................... 187,275
2,000 HERBALIFE INTERNATIONAL, INC ........ 65,250
36,644 KIMBERLY-CLARK CORP ................. 3,490,341
4,200 LANCASTER COLONY CORP ............... 193,200
14,900 o PERRIGO CO .......................... 135,962
8,200 PREMARK INTERNATIONAL, INC .......... 182,450
91,900 PROCTER & GAMBLE CO ................. 9,879,250
19,400 RUBBERMAID, INC ..................... 441,350
3,800 o SCOTTS CO (CLASS A) ................. 75,525
3,700 STANHOME, INC ....................... 98,050
5,100 TAMBRANDS, INC ...................... 208,462
7,300 TUPPERWARE CORP ..................... 391,462
1,400 o USA DETERGENTS INC .................. 58,275
------------
17,978,227
------------
See notes to financial statements.
-65-
<PAGE>
SHARES VALUE
------ -------
INSURANCE--BROKERS & OTHER--0.32%
2,700 o ABR INFORMATION SERVICES, INC ....... $ 106,312
9,000 ALEXANDER & ALEXANDER SERVICES, INC . 156,375
20,600 EQUIFAX, INC ........................ 630,875
1,000 GALLAGHER (ARTHUR J.) & CO .......... 31,000
4,400 JOHN ALDEN FINANCIAL CORP ........... 81,400
9,500 MARSH & MCLENNAN COS, INC ........... 988,000
5,900 MBIA, INC ........................... 597,375
3,200 NORRELL CORP ........................ 87,200
8,300 o QUORUM HEALTH GROUP, INC ............ 246,925
------------
2,925,462
------------
INSURANCE--LIFE--0.76%
500 AMERICAN NATIONAL INSURANCE CO ...... 36,875
7,200 o AMERIN CORP ......................... 185,400
13,200 AON CORP ............................ 820,050
3,500 BERKLEY (W.R.) CORP ................. 177,625
10,842 CONSECO, INC ........................ 691,177
10,800 EQUITABLE COS, INC .................. 265,950
2,100 EQUITABLE OF IOWA COS NEW ........... 96,337
10,950 JEFFERSON-PILOT CORP ................ 620,043
3,200 o PAUL REVERE CORP (THE) .............. 119,200
4,600 PROVIDENT COS, INC .................. 222,525
13,500 PROVIDIAN CORP ...................... 693,562
12,700 RELIANCE GROUP HOLDINGS, INC ........ 115,887
6,064 RELIASTAR FINANCIAL CORP ............ 350,196
13,000 SUNAMERICA, INC ..................... 576,875
10,100 TORCHMARK CORP ...................... 510,050
10,100 UNUM CORP ........................... 729,725
10,100 USLIFE CORP ......................... 335,825
4,600 VESTA INSURANCE GROUP, INC .......... 144,325
16,300 WESTERN NATIONAL CORP ............... 313,775
------------
7,005,402
------------
INSURANCE--MULTI-LINE,
PROPERTY & CASUALTY--2.99%
6,700 20TH CENTURY INDUSTRIES ............. 113,062
18,150 AFLAC, INC .......................... 775,912
7,800 ALLIED GROUP, INC ................... 254,475
7,400 ALLMERICA FINANCIAL CORP ............ 247,900
1,500 ALLMERICA PROPERTY & CASUALTY
COS, INC ........................... 45,562
55,928 ALLSTATE CORP ....................... 3,236,833
5,800 AMERICAN BANKERS INSURANCE
GROUP, INC ......................... 296,525
51,550 AMERICAN INTERNATIONAL GROUP, INC ... 5,580,287
23,400 CHUBB CORP .......................... 1,257,750
10,300 CIGNA CORP .......................... 1,407,237
9,703 CINCINNATI FINANCIAL CORP ........... 629,482
800 o CNA FINANCIAL CORP .................. 85,600
11,500 EVEREST REINSURANCE HOLDINGS, INC ... 330,625
5,900 FREMONT GENERAL CORP ................ 182,900
9,900 GENERAL REINSURANCE CORP ............ 1,561,725
2,800 HARTFORD STEAM BOILER &
INSURANCE CO ....................... 129,850
5,800 HCC INSURANCE HOLDINGS, INC ......... 139,200
850 o HIGHLANDS INSURANCE GROUP, INC ...... 17,212
4,500 HORACE MANN EDUCATORS CORP .......... 181,687
800 o INSURANCE AUTO AUCTIONS, INC ........ 7,600
16,600 ITT HARTFORD GROUP, INC ............. 1,120,500
14,900 LINCOLN NATIONAL CORP ............... 782,250
2,400 MERCURY GENERAL CORP NEW ............ 126,000
7,400 MGIC INVESTMENT CORP ................ 562,400
6,300 NAC RE CORP ......................... 213,412
6,200 OHIO CASUALTY CORP .................. 220,100
15,050 OLD REPUBLIC INTERNATIONAL CORP ..... 402,587
6,800 PROGRESSIVE CORP .................... 458,150
18,400 SAFECO CORP ......................... 725,650
10,600 ST. PAUL COS, INC ................... 621,425
10,000 TRANSAMERICA CORP ................... 790,000
84,900 TRAVELERS GROUP, INC ................ 3,852,337
7,300 TRAVELERS/AETNA PROPERTY
CASUALTY CORP ...................... 258,237
7,800 o UICI ................................ 253,500
5,600 UNITRIN, INC ........................ 312,200
16,300 USF&G CORP .......................... 340,262
1,100 ZURICH REINSURANCE CENTRE
HOLDINGS, INC ....................... 34,375
------------
27,554,809
------------
LEISURE TIME--1.28%
2,900 o ACCLAIM ENTERTAINMENT, INC .......... 9,425
2,000 o ANCHOR GAMING CO .................... 80,500
2,600 ARCTIC CAT, INC ..................... 25,675
600 o ARGOSY GAMING CORP .................. 2,775
4,700 AUTHENTIC FITNESS CORP .............. 56,400
1,500 o AUTOTOTE CORP (CLASS A) ............. 2,156
850 o BALLY TOTAL FITNESS HOLDING CORP .... 6,746
12,800 o BOYD GAMING CORP .................... 105,600
14,900 BRUNSWICK CORP ...................... 357,600
8,900 CALLAWAY GOLF CO .................... 255,875
450 o CASINO AMERICA, INC ................. 1,434
500 o CASINO MAGIC CORP ................... 1,234
100 o CHARTWELL LEISURE, INC .............. 1,375
2,390 o CHRIS CRAFT INDUSTRIES, INC ......... 100,081
14,100 o CIRCUS CIRCUS ENTERPRISES, INC ...... 484,687
90,726 DISNEY (WALT) CO .................... 6,316,797
2,800 o GALOOB TOYS, INC .................... 39,200
4,450 o GRAND CASINOS, INC .................. 60,075
6,100 o GTECH HOLDINGS CORP ................. 195,200
13,600 o HARRAHS ENTERTAINMENT, INC .......... 270,300
10,400 HASBRO, INC ......................... 404,300
3,700 o HOLLYWOOD ENTERTAINMENT CORP ........ 68,450
1,000 o HOLLYWOOD PARK, INC ................. 15,000
16,700 INTERNATIONAL GAME TECHNOLOGY CO .... 304,775
6,900 JOSTENS, INC ........................ 145,762
37,256 MATTEL, INC ......................... 1,033,854
25,700 o MIRAGE RESORT, INC .................. 555,762
3,000 OUTBOARD MARINE CORP ................ 49,500
3,250 o PLAYERS INTERNATIONAL, INC .......... 17,468
2,900 o PRIMADONNA RESORTS, INC ............. 49,300
5,300 o REGAL CINEMAS, INC .................. 162,975
2,300 o SCIENTIFIC GAMES HOLDINGS CORP ...... 61,525
3,100 SHOWBOAT, INC ....................... 53,475
2,000 o SODAK GAMING, INC ................... 30,750
5,500 o SPEEDWAY MOTORSPORTS, INC ........... 115,500
10,000 o SPELLING ENTERTAINMENT GROUP, INC ... 73,750
800 o SPORTS & RECREATION, INC ............ 6,200
6,700 o STATION CASINOS, INC ................ 67,837
3,600 STRUM, RUGER & CO, INC .............. 69,750
5,100 o TRUMP HOTEL & CASINO RESORT, INC .... 61,200
4,600 o WMS INDUSTRIES, INC ................. 92,000
------------
11,812,268
------------
See notes to financial statements.
-66-
<PAGE>
SHARES VALUE
------ -------
MACHINERY--1.51%
8,100 AGCO CORP ........................... $ 231,862
4,600 BRIGGS & STRATTON CORP .............. 202,400
4,600 BW/IP HOLDING, INC .................. 75,900
25,600 CATERPILLAR, INC .................... 1,926,400
6,500 CINCINNATI MILACRON, INC ............ 142,187
4,100 o COGNEX CORP ......................... 75,850
3,757 o COOPER CAMERON CORP ................. 287,410
13,030 COOPER INDUSTRIES, INC .............. 548,888
35,200 DEERE & CO .......................... 1,430,000
3,800 DELTA & PINE LAND CO ................ 121,600
15,400 DOVER CORP .......................... 773,850
7,500 DURIRON CO, INC ..................... 203,437
9,100 FEDERAL SIGNAL CORP ................. 235,462
2,500 o FMC CORP NEW ........................ 175,312
1,500 o FSI INTERNATIONAL, INC .............. 22,500
2,700 GATX CORP ........................... 130,950
6,000 GIDDINGS & LEWIS, INC ............... 77,250
6,400 GOULDS PUMPS, INC ................... 146,800
4,600 GREENFIELD INDUSTRIES, INC .......... 140,875
6,700 HARNISCHFEGER INDUSTRIES, INC ....... 322,437
2,400 HARSCO CORP ......................... 164,400
13,600 ILLINOIS TOOL WORKS, INC ............ 1,086,300
14,600 INGERSOLL-RAND CO ................... 649,700
900 o INTEGRATED PROCESS EQUIPMENT CORP ... 16,200
2,100 o INTERVOICE, INC ..................... 25,725
6,900 JLG INDUSTRIES, INC ................. 110,400
2,100 KAYDON CORP ......................... 98,962
4,792 KENNAMETAL, INC ..................... 186,289
8,200 KEYSTONE INTERNATIONAL, INC ......... 165,025
6,348 o LUCASVARITY PLC ADR ................. 241,224
6,800 MASCOTECH, INC ...................... 111,350
2,600 MEASUREX CORP ....................... 62,400
3,800 o MOLTEN METAL TECHNOLOGY, INC ........ 44,650
4,406 o NEWPORT NEWS SHIPBUILDING, INC ...... 66,090
200 NORDSON CORP ........................ 12,750
2,000 o NOVELLUS SYSTEMS, INC ............... 108,375
11,150 PARKER-HANNIFIN CORP ................ 432,062
800 ROPER INDUSTRIES, INC NEW ........... 31,300
5,200 STEWART & STEVENSON SERVICES, INC ... 151,450
9,300 SUNDSTRAND CORP ..................... 395,250
6,700 TECUMSEH PRODUCTS CO (CLASS A) ...... 384,412
700 TELEFLEX, INC ....................... 36,487
19,350 o THERMO ELECTRON CORP ................ 798,187
5,238 TIMKEN CO ........................... 240,293
700 TORO CO ............................. 25,550
800 TRIMAS CORP ......................... 19,100
8,000 TRINITY INDUSTRIES, INC ............. 300,000
5,000 TRINOVA CORP ........................ 181,875
3,200 o ULTRATECH STEPPER, INC .............. 76,000
1,800 WATTS INDUSTRIES, INC (CLASS A) ..... 42,975
7,100 YORK INTERNATIONAL CORP ............. 396,712
------------
13,932,863
------------
METALS--ALUMINUM--0.23%
5,500 o ACX TECHNOLOGIES, INC ............... 109,312
5,700 o ALUMAX, INC ......................... 190,237
20,500 ALUMINUM CO OF AMERICA .............. 1,306,875
7,900 o KAISER ALUMINUN CORP ................ 91,837
7,100 REYNOLDS METALS CO .................. 400,262
------------
2,098,523
------------
METALS--GOLD--0.31%
18,600 o AMAX GOLD, INC ...................... 118,575
31,300 BATTLE MOUNTAIN GOLD CO ............. 215,187
4,500 COEUR DALENE MINES CORP ............. 68,062
17,692 FREEPORT MCMORAN COPPER &
GOLD, INC (CLASS A) ................ 497,587
6,533 FREEPORT-MCMORAN COPPER &
GOLD INC, (CLASS B) ................ 195,173
5,891 o GETCHELL GOLD CORP .................. 226,067
19,300 HOMESTAKE MINING CO ................. 275,025
4,500 NEWMONT GOLD CO ..................... 196,875
13,524 NEWMONT MINING CORP ................. 605,199
25,840 SANTA FE PACIFIC GOLD CORP .......... 397,290
------------
2,795,040
------------
METALS--NON-FERROUS--0.26%
8,200 ASARCO, INC ......................... 203,975
5,600 BMC INDUSTRIES, INC ................. 176,400
1,200 BRUSH WELLMAN, INC .................. 19,650
6,300 o COLEMAN CO, INC ..................... 86,625
13,600 CYPRUS AMAX MINERALS CO ............. 317,900
4,416 FREEPORT-MCMORAN, INC ............... 141,864
6,700 o HECLA MINING CO ..................... 37,687
8,900 MAPCO, INC .......................... 302,600
5,400 MINERALS TECHNOLOGIES, INC .......... 221,400
3,300 o MUELLER INDUSTRIES, INC ............. 127,050
1,000 o OREGON METALLURICAL CORP ............ 32,250
8,900 PHELPS DODGE CORP ................... 600,750
2,000 o RMI TITANIUM CO ..................... 56,250
4,500 o STILLWATER MINING CO ................ 81,562
9,000 o SUNSHINE MINING & REFINING CO ....... 8,437
------------
2,414,400
------------
METALS--STEEL--0.33%
4,500 AK STEEL HOLDINGS CORP .............. 178,312
17,225 ALLEGHENY TELEDYNE, INC ............. 396,175
9,800 o ARMCO, INC .......................... 40,425
15,500 o BETHLEHEM STEEL CORP ................ 139,500
7,700 BIRMINGHAM STEEL CORP ............... 146,300
2,900 CARPENTER TECHNOLOGY CORP ........... 106,212
600 CLEVELAND CLIFFS, INC ............... 27,225
7,475 HANNA (M.A.) CO ..................... 163,515
7,500 INLAND STEEL INDUSTRIES, INC ........ 150,000
6,000 J & L SPECIALTY STEEL, INC .......... 68,250
14,900 LTV CORP NEW ........................ 176,937
200 LUKENS, INC ......................... 4,025
11,200 NUCOR CORP .......................... 571,200
400 OREGON STEEL MILLS, INC ............. 6,700
300 ROUGE STEEL CO (CLASS A) ............ 6,337
17,400 UNR INDUSTRIES, INC ................. 104,400
10,700 USX-US STEEL GROUP, INC ............. 335,712
4,600 o WOLVERINE TUBE, INC ................. 162,150
12,400 WORTHINGTON INDUSTRIES, INC ......... 224,750
------------
3,008,125
------------
MISCELLANEOUS MATERIALS &
COMMODITIES--0.01%
4,400 o OAKLEY, INC ......................... 47,850
1,200 o ZOLTEK COS, INC ..................... 43,650
------------
91,500
------------
OFFICE EQUIPMENT--3.53%
12,500 o AMDAHL CORP ......................... 151,562
16,900 o APPLE COMPUTER, INC ................. 352,787
3,900 o APPLIED MAGNETICS CORP .............. 116,512
3,900 o ASPECT TELECOMMUNICATIONS CORP ...... 247,650
2,742 o AST RESEARCH, INC ................... 11,482
13,900 AVERY DENNISON CORP ................. 491,712
2,200 o BOISE CASCADE OFFICE PRODUCTS CORP .. 46,200
37,100 o COMPAQ COMPUTER CORP ................ 2,754,675
7,600 o DATA GENERAL CORP ................... 110,200
19,600 o DELL COMPUTER CORP .................. 1,041,250
20,500 o DIGITAL EQUIPMENT CORP .............. 745,687
2,600 o FILENET CORP ........................ 83,200
110,800 HEWLETT-PACKARD CO .................. 5,567,700
4,000 HON INDUSTRIES, INC ................. 132,000
1,700 o IN FOCUS SYSTEMS, INC ............... 36,762
70,400 INTERNATIONAL BUSINESS
MACHINES CORP ...................... 10,630,400
14,500 o IOMEGA CORP ......................... 251,937
6,700 o KOMAG, INC .......................... 181,737
12,300 o LEXMARK INTERNATIONAL GROUP
(CLASS A) .......................... 339,787
1,800 o MICROCOM, INC ....................... 22,275
4,200 MILLER (HERMAN), INC ................ 237,825
22,300 PITNEY BOWES, INC ................... 1,215,350
7,100 o QUANTUM CORP ........................ 203,237
3,600 o SCI SYSTEMS, INC .................... 160,650
28,300 o SEAGATE TECHNOLOGY, INC ............. 1,117,850
7,700 o SEQUENT COMPUTER SYSTEMS, INC ....... 136,675
23,968 o SILICON GRAPHICS, INC ............... 611,184
5,500 o SOLECTRON CORP ...................... 293,562
8,100 o STORAGE TECHNOLOGY CORP ............. 385,762
4,900 o STRATUS COMPUTER, INC ............... 133,525
48,200 o SUN MICROSYSTEMS, INC ............... 1,238,137
19,000 o TANDEM COMPUTERS, INC ............... 261,250
5,000 o U.S. OFFICE PRODUCTS CO ............. 170,625
27,100 o UNISYS CORP ......................... 182,925
11,500 o VIKING OFFICE PRODUCTS, INC ......... 306,906
6,800 o WANG LABORATORIES, INC .............. 137,700
46,000 XEROX CORP .......................... 2,420,750
------------
32,529,428
------------
See notes to financial statements.
-67-
<PAGE>
SHARES VALUE
------ -------
PAPER--0.67%
5,500 ALBANY INTERNATIONAL CORP
(CLASS A) NEW ...................... $ 127,187
7,200 BEMIS, INC .......................... 265,500
4,800 BOWATER, INC ........................ 180,600
6,200 CARAUSTAR INDUSTRIES, INC ........... 206,150
3,800 CHESAPEAKE CORP ..................... 119,225
3,000 CONSOLIDATED PAPERS, INC ............ 147,375
270 o CROWN VANTAGE, INC .................. 2,295
5,000 o FORT HOWARD CORP .................... 138,437
4,600 GLATFELTER (P.H.) CO ................ 82,800
39,648 INTERNATIONAL PAPER CO .............. 1,600,788
12,200 JAMES RIVER CORP OF VIRGINIA ........ 404,125
4,300 o JEFFERSON SMURFIT CORP .............. 69,068
8,100 LONGVIEW FIBRE CO ................... 148,837
7,200 MEAD CORP ........................... 418,500
9,700 PENTAIR, INC ........................ 312,825
1,900 o SHOREWOOD PACKAGING CORP ............ 37,050
14,630 SONOCO PRODUCTS CO .................. 378,551
10,500 STONE CONTAINER CORP ................ 156,187
7,600 TEMPLE-INLAND, INC .................. 411,350
9,500 UNION CAMP CORP ..................... 453,625
5,425 WAUSAU PAPER MILLS CO ............... 100,362
13,050 WESTVACO CORP ....................... 375,187
------------
6,136,024
------------
PETROLEUM--EXPLORATION &
PRODUCTION--1.05%
11,100 AMERADA HESS CORP ................... 642,412
6,700 ANADARKO PETROLEUM CORP ............. 433,825
11,100 APACHE CORP ......................... 392,662
7,300 ASHLAND, INC ........................ 320,287
6,300 o BARNETT RESOURCES CORP .............. 268,537
5,400 o BENTON OIL & GAS CO ................. 122,175
17,000 BURLINGTON RESOURCES, INC ........... 856,375
2,300 o CHESAPEAKE ENERGY CORP .............. 127,937
5,900 DEVON ENERGY CORP ................... 205,025
2,900 o ENERGY VENTURES, INC ................ 147,537
8,300 ENRON OIL & GAS CO .................. 209,575
4,800 o ENSERCH EXPLORATION, INC ............ 56,400
3,900 o FALCON DRILLING CO, INC ............. 153,075
2,400 o FLORES & RUCKS, INC ................. 127,800
6,200 KERR-MCGEE CORP ..................... 446,400
4,700 LOUISIANA LAND & EXPLORATION CO ..... 252,037
2,200 MITCHELL ENERGY & DEVELOPMENT
CORP (CLASS A) ..................... 49,225
6,500 MURPHY OIL CORP ..................... 361,562
4,800 o NEWFIELD EXPLORATION CO ............. 124,800
5,900 NOBLE AFFILIATES, INC ............... 282,462
4,300 o NUEVO ENERGY CO ..................... 223,600
16,200 o ORYX ENERGY CO ...................... 400,950
6,000 PARKER & PARSLEY PETROLEUM CO ....... 220,500
7,900 PENNZOIL CO ......................... 446,350
4,400 POGO PRODUCING CO ................... 207,900
15,600 o SANTA FE ENERGY RESOURCES, INC ...... 216,450
9,592 o SEAGULL ENERGY CORP ................. 211,024
6,300 SNYDER OIL CORP ..................... 109,462
3,800 SOUTHDOWN INC ....................... 118,275
2,400 o SWIFT ENERGY CO ..................... 71,700
825 o TEJAS GAS CORP ...................... 39,290
2,700 o TRITON ENERGY LTD ................... 130,950
34,992 UNION PACIFIC RESOURCES GROUP, INC .. 1,023,516
10,200 UNION TEXAS PETROLEUM HOLDINGS, INC . 228,225
4,700 o UNITED MERIDIAN CORP ................ 243,225
6,100 VINTAGE PETROLEUM, INC .............. 210,450
------------
9,681,975
------------
PETROLEUM--INTEGRATED--4.90%
65,600 AMOCO CORP .......................... 5,280,800
20,600 ATLANTIC RICHFIELD CO ............... 2,729,500
88,300 CHEVRON CORP ........................ 5,739,500
167,100 EXXON CORP .......................... 16,375,800
3,200 o FORCENERGY GAS EXPLORATION, INC ..... 116,000
53,100 MOBIL CORP .......................... 6,491,475
44,800 OCCIDENTAL PETROLEUM CORP ........... 1,047,200
26,600 PHILLIPS PETROLEUM CO ............... 1,177,050
10,300 QUAKER STATE OIL REFINING CORP ...... 145,487
12,600 SUN CO, INC ......................... 307,125
35,100 TEXACO, INC ......................... 3,444,187
34,127 UNOCAL CORP ......................... 1,386,409
38,600 USX-MARATHON GROUP, INC NEW ......... 921,575
------------
45,162,108
------------
PETROLEUM--SERVICE--0.97%
18,000 BAKER HUGHES, INC ................... 621,000
4,850 o BJ SERVICES CO ...................... 247,350
160 o BJ SERVICES CO WTS 4/13/00 .......... 4,300
11,500 CABOT CORP .......................... 288,937
6,800 CAMCO INTERNATIONAL, INC ............ 313,650
1,500 o CLIFFS DRILLING CO .................. 94,875
2,200 o DIAMOND OFFSHORE DRILLING, INC ...... 125,400
23,700 DRESSER INDUSTRIES, INC ............. 734,700
9,225 o ENSCO INTERNATIONAL, INC ............ 447,412
10,900 FLUOR CORP .......................... 683,975
5,300 o GLOBAL INDUSTRIAL TECHNOLOGIES, INC . 117,262
5,200 o GLOBAL INDUSTRIES LTD ............... 96,850
17,500 o GLOBAL MARINE, INC NEW .............. 360,937
15,236 HALLIBURTON CO ...................... 917,969
5,000 HELMERICH & PAYNE, INC .............. 260,625
6,200 o MARINE DRILLING CO, INC ............. 122,062
190 o MCMORAN OIL & GAS CO ................ 415
12,400 o NABORS INDUSTRIES, INC .............. 238,700
13,600 o NOBLE DRILLING CORP ................. 270,300
8,800 o PARKER DRILLING CO .................. 84,700
5,500 o PRIDE PETROLEUM SERVICES, INC ....... 127,875
7,200 o READING & BATES CORP ................ 190,800
9,300 o ROWAN COS, INC ...................... 210,412
4,800 o SMITH INTERNATIONAL, INC ............ 215,400
7,100 TIDEWATER, INC ...................... 321,275
6,049 TOSCO CORP .......................... 478,627
2,100 TRANSOCEAN OFFSHORE, INC ............ 131,512
7,600 o TUBOSCOPE VETCO INTERNATIONAL CORP .. 117,800
12,294 ULTRAMAR DIAMOND SHAMROCK CORP ...... 388,797
2,800 o VARCO INTERNATIONAL, INC ............ 64,750
7,100 o WEATHERFORD ENTERRA, INC ............ 213,000
6,000 o WESTERN ATLAS, INC .................. 425,250
------------
8,916,917
------------
See notes to financial statements.
-68-
<PAGE>
SHARES VALUE
------ -----
PHOTOGRAPHY--0.44%
45,600 EASTMAN KODAK CO .................... $ 3,659,400
6,700 POLAROID CORP ....................... 291,450
1,400 o PRESSTEK, INC ....................... 99,750
------------
4,050,600
------------
PROPERTY--REAL ESTATE--0.20%
5,200 CRESCENT REAL ESTATE EQUITIES, INC .. 274,300
13,200 HOSPITALITY PROPERTIES TRUST ........ 382,800
6,250 KIMCO REALTY CORP ................... 217,968
4,200 PATRIOT AMERICAN HSOPITALITY ........ 181,125
8,400 SECURITY CAPITAL INDUSTRIAL TRUST ... 179,550
12,500 TAUBMAN CENTERS, INC ................ 160,937
6,200 o TOLL BROTHERS, INC .................. 120,900
6,800 WASHINGTON REAL ESTATE
INVESTMENT TRUST ................... 119,000
3,800 WEINGARTEN REALTY INVESTORS, INC .... 154,375
3,200 WELLSFORD RESIDENTIAL
PROPERTY TRUST ..................... 77,600
------------
1,868,555
------------
PUBLISHING--NEWSPAPER--0.50%
6,900 BELO (A.H.) CORP SERIES A ........... 240,637
1,100 CENTRAL NEWSPAPERS, INC (CLASS A) ... 48,400
11,584 o COX COMMUNICATIONS, INC
(CLASS A) NEW ...................... 267,880
7,800 DOW JONES & CO, INC ................. 264,225
18,100 GANNETT CO, INC ..................... 1,355,237
14,400 HOLLINGER INTERNATIONAL, INC ........ 165,600
12,100 KNIGHT-RIDDER, INC .................. 462,825
13,300 NEW YORK TIMES CO (CLASS A) ......... 505,400
11,700 TIMES MIRROR CO (SERIES A) NEW ...... 582,075
6,700 TRIBUNE CO NEW ...................... 528,462
5,300 o VALASSIS COMMUNICATIONS, INC ........ 111,962
200 WASHINGTON POST CO (CLASS B) ........ 67,025
------------
4,599,728
------------
PUBLISHING--OTHER--0.67%
12,000 AMERICAN GREETINGS CORP (CLASS A) ... 340,500
700 BOWNE & CO, INC ..................... 17,237
16,000 DONNELLEY (R.R.) & SONS CO .......... 502,000
22,800 DUN & BRADSTREET CORP ............... 541,500
700 o GIBSON GREETINGS, INC ............... 13,737
7,200 HARCOURT GENERAL, INC ............... 332,100
2,200 HOUGHTON MIFFLIN CO ................. 124,575
34,200 o K-III COMMUNICATIONS CORP ........... 367,650
1,400 LEE ENTERPRISES, INC ................ 32,550
5,300 Xo MARVEL ENTERTAINMENT GROUP, INC ..... 9,937
14,300 MCGRAW HILL COS, INC ................ 659,587
3,700 MEREDITH CORP ....................... 195,175
13,100 READER'S DIGEST ASSOCIATION, INC
(CLASS A) (NON-VTG) ................ 527,275
2,300 o SCHOLASTIC CORP ..................... 154,675
62,497 TIME WARNER, INC .................... 2,343,637
------------
6,162,135
------------
RAILROAD--0.84%
20,345 BURLINGTON NORTHERN SANTA FE CORP ... 1,757,299
7,808 CONRAIL, INC ........................ 777,872
28,800 CSX CORP ............................ 1,216,800
8,000 ILLINOIS CENTRAL CORP SERIES A ...... 256,000
4,700 KANSAS CITY SOUTHERN INDUSTRIES, INC 211,500
17,000 NORFOLK SOUTHERN CORP ............... 1,487,500
28,685 UNION PACIFIC CORP .................. 1,724,685
7,100 o WISCONSIN CENTRAL TRANSIT CORP ...... 281,337
------------
7,712,993
------------
RESTAURANTS & HOTELS--1.38%
6,400 APPLE SOUTH, INC .................... 86,400
5,400 APPLEBEES INTERNATIONAL, INC ........ 148,500
9,300 o AZTAR CORP .......................... 65,100
12,200 BOB EVANS FARMS, INC ................ 164,700
9,100 o BOSTON CHICKEN, INC ................. 326,462
5,600 o BUFFETS, INC ........................ 51,100
5,900 o CHOICE HOTELS INTERNATIONAL, INC .... 103,987
4,200 CKE RESTAURANTS, INC ................ 151,200
9,500 CRACKER BARREL OLD
COUNTRY STORE, INC ................. 241,062
26,100 DARDEN RESTAURANTS, INC ............. 228,375
7,500 o EXTENDED STAY AMERICA, INC .......... 150,937
11,300 FELCOR SUITE HOTELS, INC ............ 399,737
17,800 o HFS INC ............................. 1,063,550
25,400 HILTON HOTELS CORP .................. 663,575
1,344 o HOMESTEAD VILLAGE, INC .............. 24,192
902 o HOMESTEAD VILLAGE, INC WTS .......... 7,328
24,600 o HOST MARRIOTT CORP .................. 393,600
1,940 o HOST MARRIOTT SERVICES CORP ......... 17,702
16,000 o ITT CORP (NEW) ...................... 694,000
10,450 LA QUINTA INNS, INC ................. 199,856
4,900 o LANDRYS SEAFOOD RESTAURANTS, INC .... 104,737
4,800 o LONE STAR STEAKHOUSE & SALOON, INC .. 128,400
7,000 LUBYS CAFETERIA, INC ................ 139,125
14,300 MARRIOTT INTERNATIONAL, INC ......... 790,075
93,300 MCDONALDS CORP ...................... 4,221,825
2,600 o MGM GRAND, INC ...................... 90,675
825 MORRISON FRESH COOKING, INC ......... 3,815
6,800 o OUTBACK STEAKHOUSE, INC ............. 181,900
4,050 o PAPA JOHNS INTERNATIONAL, INC ....... 136,687
8,100 o PRIME HOSPITALITY CORP .............. 130,612
7,700 o PROMUS HOTEL CORP ................... 228,112
2,100 o RAINFOREST CAFE, INC ................ 49,350
800 o RIO HOTEL & CASINO, INC ............. 11,700
2,250 RUBY TUESDAY, INC ................... 41,625
10,900 o RYANS FAMILY STEAK HOUSES, INC ...... 74,937
2,200 SBARRO, INC ......................... 56,100
<PAGE>
5,600 o SHONEYS, INC ........................ 39,200
24,100 SYSCO CORP .......................... 786,262
18,100 WENDYS INTERNATIONAL, INC ........... 371,050
------------
12,767,550
------------
RETAIL--FOOD--0.70%
29,600 ALBERTSONS, INC ..................... 1,054,500
16,000 AMERICAN STORES CO NEW .............. 654,000
10,025 FLEMING COS, INC .................... 172,931
45,500 FOOD LION, INC (CLASS B) ............ 460,687
8,000 GIANT FOOD, INC (CLASS A) ........... 276,000
3,700 GREAT ATLANTIC & PACIFIC TEA CO, INC 117,937
6,000 HANNAFORD BROTHERS, INC ............. 204,000
14,400 o KROGER CO ........................... 669,600
2,612 o QUALITY FOOD CENTERS, INC ........... 88,155
2,900 RUDDICK CORP ........................ 40,600
31,800 o SAFEWAY, INC NEW .................... 1,359,450
21,700 o SOUTHLAND CORP ...................... 64,421
10,000 o STARBUCKS CORP ...................... 286,250
11,600 SUPERVALU, INC ...................... 329,150
3,800 o VONS COS, INC ....................... 227,525
13,400 WINN DIXIE STORES, INC .............. 423,775
------------
6,428,981
------------
See notes to financial statements.
-69-
<PAGE>
SHARES VALUE
------ -----
RETAIL--GENERAL MERCHANDISE--3.68%
19,900 o AUTOZONE, INC ....................... $ 547,250
1,800 o BABY SUPERSTORE, INC ................ 43,200
4,900 o BARNES & NOBLE, INC ................. 132,300
5,500 o BED BATH & BEYOND, INC .............. 133,375
3,900 o BEST BUY, INC ....................... 41,437
1,200 o BOMBAY, INC ......................... 5,550
6,200 o BORDERS GROUP, INC .................. 222,425
2,200 BROWN GROUP, INC .................... 40,425
3,400 o BURLINGTON COAT FACTORY
WAREHOUSE CORP ..................... 44,200
1,300 Xo CALDOR CORP ......................... 1,462
8,600 CASEYS GENERAL STORES, INC .......... 161,250
14,600 o CHARMING SHOPPES, INC ............... 73,912
12,800 CIRCUIT CITY STORES, INC ............ 385,600
9,000 CLAIRES STORES, INC ................. 117,000
2,600 CML GROUP, INC ...................... 8,775
8,750 o CONSOLIDATED STORES CORP ............ 282,187
45,659 o CUC INTERNATIONAL, INC .............. 1,084,401
13,100 CVS CORP ............................ 542,012
28,100 DAYTON HUDSON CORP .................. 1,102,925
3,600 o DEPARTMENT 56, INC .................. 89,100
15,800 DILLARD DEPARTMENT STORES,
INC (CLASS A) ...................... 487,825
11,812 DOLLAR GENERAL CORP ................. 377,984
2,800 o DOLLAR TREE STORES, INC ............. 107,100
9,245 o ECKERD CORP ......................... 295,840
300 Xo EDISON BROTHERS STORES, INC ......... 337
3,900 ETHAN ALLEN INTERIORS, INC .......... 150,150
6,900 FAMILY DOLLAR STORES, INC ........... 140,587
28,213 o FEDERATED DEPARTMENT STORES, INC .... 962,768
8,700 FINGERHUT COS, INC .................. 106,575
4,169 o FOOTSTAR, INC ....................... 103,703
14,600 o FURNITURE BRANDS INTERNATIONAL, INC . 204,400
28,100 GAP, INC ............................ 846,512
1,500 o GLOBAL DIRECTMAIL CORP .............. 65,437
3,500 o GYMBOREE CORP ....................... 80,062
1,800 o HANDLEMAN CO ........................ 15,300
1,700 HECHINGER CO (CLASS A) .............. 3,506
7,600 HEILIG MEYERS CO .................... 123,500
64,300 HOME DEPOT, INC ..................... 3,223,037
3,465 o HSN, INC ............................ 82,293
900 o INTELLIGENT ELECTRONICS, INC ........ 7,200
5,700 o JONES APPAREL GROUP, INC ............ 213,037
64,500 o K MART CORP ......................... 669,187
7,800 o KOHLS CORP .......................... 306,150
3,200 o LANDS END, INC ...................... 84,800
28,192 LIMITED, INC ........................ 518,028
1,000 LONGS DRUG STORES CORP .............. 49,125
19,100 LOWES COS, INC ...................... 678,050
4,100 o MAC FRUGALS BARGAINS
CLOSE-OUTS, INC .................... 107,112
32,800 MAY DEPARTMENT STORES CO ............ 1,533,400
2,900 o MENS WAREHOUSE, INC ................. 71,050
3,800 MERCANTILE STORES CO, INC ........... 187,625
4,500 o MEYER (FRED), INC ................... 159,750
1,000 o MICHAELS STORES, INC ................ 12,000
600 o MICROAGE, INC ....................... 12,000
1,000 o MOVIE GALLERY, INC .................. 13,000
1,700 o MUSICLAND STORES CORP ............... 2,550
3,100 o NEIMAN-MARCUS GROUP, INC ............ 79,050
6,800 NORDSTROM, INC ...................... 240,975
17,400 o OFFICEMAX, INC ...................... 184,875
7,396 o PAYLESS SHOESOURCE, INC ............. 277,350
24,900 PENNEY, (J.C.) CO, INC .............. 1,213,875
8,100 PEP BOYS MANNY, MOE, & JACK CO ...... 249,075
2,900 o PETRIE STORES CORP
(LIQUIDATING TRUST) ................ 7,975
14,600 o PETSMART, INC ....................... 319,375
9,080 PIER 1 IMPORTS, INC ................. 160,035
26,000 o PRICE/COSTCO, INC ................... 653,250
3,650 o PROFFITTS, INC ...................... 134,593
3,500 REGIS CORP .......................... 56,875
7,100 o REVCO (D.S.), INC NEW ............... 262,700
2,400 o REXALL SUNDOWN, INC ................. 65,250
18,415 RITE AID CORP ....................... 731,996
3,000 ROSS STORES, INC .................... 150,000
7,600 ROUSE CO ............................ 241,300
43,800 SEARS ROEBUCK & CO .................. 2,020,275
17,200 o SERVICE MERCHANDISE, INC ............ 73,100
14,500 o SHOPKO STORES, INC .................. 217,500
9,500 SOTHEBYS HOLDINGS, INC (CLASS A) .... 176,937
600 o SPIEGEL, INC (CLASS A) .............. 4,237
22,750 o STAPLES, INC ........................ 410,921
2,800 o STEIN MART, INC ..................... 56,700
6,800 STRIDE RITE CORP .................... 68,000
6,600 o SUNGLASS HUT INTERNATIONAL, INC ..... 47,850
2,100 TALBOTS, INC ........................ 60,112
7,600 TANDY CORP .......................... 334,400
7,050 o THE SPORTS AUTHORITY, INC ........... 153,337
4,200 TIFFANY & CO NEW .................... 153,825
11,100 TJX COS, INC NEW .................... 525,862
1,000 o TOPPS, INC .......................... 4,000
32,940 o TOYS R US, INC ...................... 988,200
4,200 o WABAN, INC .......................... 109,200
189,000 WAL-MART STORES, INC ................ 4,323,375
33,200 WALGREEN CO ......................... 1,328,000
2,500 o WEST MARINE, INC .................... 70,625
3,600 o WILLIAMS-SONOMA, INC ................ 130,950
16,800 o WOOLWORTH CORP ...................... 367,500
8,800 o ZALE CORP ........................... 168,300
------------
33,881,521
------------
TEXTILE & APPAREL--0.52%
2,300 o ANN TAYLOR STORES CORP .............. 40,250
14,900 o BURLINGTON INDUSTRIES, INC .......... 163,900
600 CATO CORP (CLASS A) NEW ............. 3,000
1,600 o CONE MILLS CORP ..................... 12,600
10,700 o FRUIT OF THE LOOM, INC (CLASS A) .... 405,262
3,600 o JUST FOR FEET INC ................... 94,500
4,500 KELLWOOD CO ......................... 90,000
9,500 LIZ CLAIBORNE, INC .................. 366,937
5,400 o MOHAWK INDUSTRIES, INC .............. 118,800
7,200 o NAUTICA ENTERPRISES, INC ............ 181,800
16,700 NIKE, INC (CLASS B) ................. 997,825
4,000 o NINE WEST GROUP, INC ................ 185,500
1,300 PHILLIPS VAN HEUSEN CORP ............ 18,687
7,990 REEBOK INTERNATIONAL LTD ............ 335,580
7,100 RUSSELL CORP ........................ 211,225
3,300 ST. JOHN KNITS, INC ................. 143,550
9,200 UNIFI, INC .......................... 295,550
7,600 VF CORP ............................. 513,000
8,700 WARNACO GROUP, INC (CLASS A) ........ 257,737
4,700 o WESTPOINT STEVENS, INC .............. 140,412
6,375 WOLVERINE WORLD WIDE, INC ........... 184,875
------------
4,760,990
------------
See notes to financial statements.
-70-
<PAGE>
SHARES VALUE
------ -------
TOBACCO--1.77%
23,900 AMERICAN BRANDS, INC ................ $ 1,186,037
4,700 DIMON, INC .......................... 108,687
109,400 PHILIP MORRIS COS, INC .............. 12,321,175
42,083 RJR NABISCO HOLDINGS CORP ........... 1,430,822
3,860 SCHWEITZER-MAUDUIT
INTERNATIONAL, INC ................. 122,072
7,800 UNIVERSAL CORP ...................... 250,575
27,600 UST, INC ............................ 893,550
------------
16,312,918
------------
TRUCKERS & SHIPPING--0.19%
5,200 o AMERICAN FREIGHTWAYS CORP ........... 57,850
4,900 APL LTD ............................. 115,762
3,000 ARNOLD INDUSTRIES, INC .............. 47,625
4,200 CALIBER SYSTEM, INC ................. 80,850
6,900 CNF TRANSPORTATION, INC ............. 153,525
3,450 o CONSOLIDATED FREIGHTWAYS CORP ....... 30,618
6,200 HUNT (J.B.) TRANSPORT SERVICES, INC . 86,800
800 o LANDSTAR SYSTEM, INC ................ 18,600
200 o M.S. CARRIERS, INC .................. 3,200
1,600 OVERSEAS SHIPHOLDING GROUP, INC ..... 27,200
2,100 PITTSTON BURLINGTON GROUP CO ........ 42,000
700 ROADWAY EXPRESS, INC ................ 13,562
13,600 ROLLINS TRUCK LEASING CORP .......... 171,700
11,500 RYDER SYSTEM, INC ................... 323,437
5,300 o SWIFT TRANSPORTATION CO, INC ........ 124,550
7,300 USFREIGHTWAYS CORP .................. 200,293
10,200 WERNER ENTERPRISES, INC ............. 184,875
2,000 XTRA CORP ........................... 86,750
1,100 o YELLOW CORP ......................... 15,812
------------
1,785,009
------------
UTILITIES--ELECTRIC--3.71%
7,000 o AES CORP ............................ 325,500
17,300 ALLEGHENY POWER SYSTEMS, INC ........ 525,487
23,500 AMERICAN ELECTRIC POWER CO, INC ..... 966,437
12,900 ATLANTIC ENERGY, INC ................ 220,912
20,100 BALTIMORE GAS & ELECTRIC CO ......... 537,675
9,300 BOSTON EDISON CO .................... 249,937
18,200 CAROLINA POWER & LIGHT CO ........... 664,300
28,000 CENTERIOR ENERGY CORP ............... 301,000
24,500 CENTRAL & SOUTH WEST CORP ........... 627,812
1,500 CENTRAL HUDSON GAS & ELECTRIC CORP .. 47,062
8,500 CENTRAL MAINE POWER CO .............. 98,812
20,023 CINERGY CORP ........................ 668,267
3,700 CIPSCO, INC ......................... 133,662
28,366 o CITIZENS UTILITIES CO (CLASS B) ..... 315,571
12,400 CMS ENERGY CORP ..................... 416,950
29,700 CONSOLIDATED EDISON CO OF
NEW YORK, INC ...................... 868,725
14,200 DELMARVA POWER & LIGHT CO ........... 289,325
22,900 DOMINION RESOURCES, INC ............. 881,650
15,100 DPL, INC ............................ 369,950
11,400 DQE, INC ............................ 330,600
17,900 DTE ENERGY CO ....................... 579,512
26,100 DUKE POWER CO ....................... 1,207,125
3,300 EASTERN UTILITIES ASSOCIATION CO .... 57,337
53,500 EDISON INTERNATIONAL CO ............. 1,063,312
15,500 ENOVA CORP .......................... 352,625
28,000 ENTERGY CORP NEW .................... 777,000
12,900 FLORIDA PROGRESS CORP ............... 416,025
22,000 FPL GROUP, INC ...................... 1,012,000
15,700 GPU, INC ............................ 527,912
5,800 HAWAIIAN ELECTRIC INDUSTRIES, INC ... 209,525
27,100 HOUSTON INDUSTRIES, INC ............. 613,137
7,400 IDAHO POWER CO ...................... 230,325
6,000 IES INDUSTRIES, INC ................. 179,250
10,900 ILLINOVA CORP ....................... 299,750
9,200 IPALCO ENTERPRISES, INC ............. 250,700
8,900 KANSAS CITY POWER & LIGHT CO ........ 253,650
4,000 KU ENERGY CORP ...................... 120,000
17,200 LONG ISLAND LIGHTING CO ............. 380,550
12,400 LOUISVILLE GAS & ELECTRIC
ENERGY CORP ........................ 303,800
21,400 MIDAMERICAN ENERGY HOLDINGS CO ...... 339,725
2,700 MINNESOTA POWER & LIGHT CO .......... 74,250
11,300 MONTANA POWER CO .................... 241,537
13,200 NEVADA POWER CO ..................... 270,600
9,300 NEW ENGLAND ELECTRIC SYSTEMS CO ..... 324,337
13,900 NEW YORK STATE ELECTRIC & GAS CORP .. 300,587
26,800 o NIAGARA MOHAWK POWER CORP ........... 264,650
8,600 NIPSCO INDUSTRIES, INC .............. 340,775
18,400 NORTHEAST UTILITIES CO .............. 243,800
9,800 NORTHERN STATES POWER CO ............ 449,575
19,400 OHIO EDISON CO ...................... 441,350
6,500 OKLAHOMA GAS & ELECTRIC CO .......... 271,375
52,700 PACIFIC GAS & ELECTRIC CO ........... 1,106,700
37,500 PACIFICORP .......................... 768,750
26,900 PECO ENERGY CO ...................... 679,225
11,500 PINNACLE WEST CAPITAL CORP .......... 365,125
6,400 PORTLAND GENERAL CORP ............... 268,800
15,200 POTOMAC ELECTRIC POWER CO ........... 391,400
21,800 PP&L RESOURCES, INC ................. 501,400
9,500 PUBLIC SERVICE CO OF COLORADO ....... 369,312
11,100 PUBLIC SERVICE CO OF NEW MEXICO ..... 217,837
29,700 PUBLIC SERVICE ENTERPRISE GROUP, INC 809,325
13,100 PUGET SOUND POWER & LIGHT CO ........ 314,400
10,000 ROCHESTER GAS & ELECTRIC CORP ....... 191,250
15,900 SCANA CORP .......................... 425,325
10,100 SIERRA PACIFIC RESOURCES ............ 290,375
84,700 SOUTHERN CO ......................... 1,916,337
4,600 SOUTHWESTERN PUBLIC SERVICE CO ...... 162,725
16,200 TECO ENERGY, INC .................... 390,825
28,200 TEXAS UTILITIES CO .................. 1,149,150
4,940 o TUCSON ELECTRIC POWER CO ............ 82,127
27,400 UNICOM CORP ......................... 743,225
13,000 UNION ELECTRIC CO ................... 500,500
1,500 UNITED ILLUMINATING CO .............. 47,062
10,001 UTILICORP UNITED, INC ............... 270,027
13,400 WASHINGTON WATER POWER CO ........... 249,575
9,400 WESTERN RESOURCES, INC .............. 290,225
16,800 WISCONSIN ENERGY CORP ............... 451,500
------------
34,188,232
------------
UTILITIES--GAS & PIPELINE--1.32%
10,800 AGL RESOURCES, INC .................. 228,150
11,300 o AMERICAN STANDARD COS, INC .......... 432,225
9,300 AMERICAN WATER WORKS CO, INC ........ 191,812
4,800 o BLACK BOX CORP ...................... 198,000
8,900 BROOKLYN UNION GAS CO ............... 268,112
1,400 CABOT OIL & GAS CORP (CLASS A) ...... 23,975
7,400 o CALENERGY, INC ...................... 248,825
12,600 COASTAL CORP ........................ 615,825
7,400 COLUMBIA GAS SYSTEMS, INC ........... 470,825
12,100 CONSOLIDATED NATURAL GAS CO ......... 668,525
1,200 EASTERN ENTERPRISES CO .............. 42,450
See notes to financial statements.
-71-
<PAGE>
SHARES VALUE
------ -------
UTILITIES--GAS & PIPELINE--(CONTINUED)
7,548 o EL PASO NATURAL GAS CO NEW .......... $ 381,174
28,000 ENRON CORP .......................... 1,207,500
9,500 ENSERCH CORP ........................ 218,500
7,700 EQUITABLE RESOURCES, INC ............ 229,075
1,600 INDIANA ENERGY, INC ................. 39,000
2,500 o IONICS, INC ......................... 120,000
4,100 KN ENERGY, INC ...................... 160,925
10,200 MCN CORP ............................ 294,525
6,400 NATIONAL FUEL GAS CO ................ 264,000
18,700 NGC CORP ............................ 434,775
8,100 NICOR, INC .......................... 289,575
17,123 NORAM ENERGY CORP ................... 263,266
5,315 ONEOK, INC .......................... 159,450
11,400 PACIFIC ENTERPRISES, INC ............ 346,275
19,100 PANENERGY CORP ...................... 859,500
4,600 PEOPLES ENERGY CORP ................. 155,825
1,790 PIEDMONT NATURAL GAS CO, INC ........ 41,841
4,200 o PRIMARK CORP ........................ 103,950
6,000 QUESTAR CORP ........................ 220,500
11,200 SONAT, INC .......................... 576,800
4,600 SOUTHWEST GAS CORP .................. 88,550
1,300 SOUTHWESTERN ENERGY CO .............. 19,662
22,030 o TENNECO, INC NEW .................... 994,103
6,010 UGI CORP NEW ........................ 134,473
7,500 VALERO ENERGY CORP .................. 214,687
6,400 WASHINGTON ENERGY CO ................ 132,000
500 WESTERN GAS RESOURCES, INC .......... 9,625
1,500 WICOR, INC .......................... 53,812
21,367 WILLIAMS COS, INC ................... 801,262
------------
12,203,354
------------
UTILITIES--OTHER--0.01%
3,400 o BILLING INFORMATION CONCEPTS CORP ... 97,750
------------
UTILITIES--TELEPHONE--5.60%
1,900 o ADTRAN, INC ......................... 78,850
9,500 ALIANT COMMUNICATIONS, INC .......... 161,500
27,300 ALLTEL CORP ......................... 856,537
3,700 o AMERICAN MOBILE SATELLITE CORP ...... 45,325
74,100 AMERITECH CORP NEW .................. 4,492,312
217,100 AT & T CORP ......................... 9,443,850
58,700 BELL ATLANTIC CORP .................. 3,800,825
133,600 BELLSOUTH CORP ...................... 5,394,100
4,600 o C-TEC CORP .......................... 111,550
9,500 CINCINNATI BELL, INC ................ 585,437
23,400 FRONTIER CORP ....................... 529,425
8,287 o GLENAYRE TECHNOLOGIES, INC .......... 178,688
128,400 GTE CORP ............................ 5,842,200
91,200 MCI COMMUNICATIONS CORP ............. 2,981,100
8,800 o MOBILE TELECOMMUNICATIONS
TECHNOLOGIES CORP .................. 74,800
4,200 o MOBILEMEDIA CORP .................... 1,837
19,800 o NEXTEL COMMUNICATIONS, INC (CLASS A) 258,637
59,300 NYNEX CORP .......................... 2,853,812
56,200 PACIFIC TELESIS GROUP CO ............ 2,065,350
81,500 SBC COMMUNICATIONS, INC ............. 4,217,625
11,100 SOUTHERN NEW ENGLAND
TELECOMMUNICATIONS CORP ............ 431,512
58,200 SPRINT CORP ......................... 2,320,725
9,801 TELEPHONE & DATA SYSTEMS, INC ....... 355,286
3,400 o U.S. LONG DISTANCE CORP ............. 27,200
62,600 U.S. WEST COMMUNICATIONS GROUP, INC . 2,018,850
63,800 o U.S. WEST MEDIA GROUP, INC .......... 1,180,300
52,358 o WORLDCOM, INC ....................... 1,364,580
------------
51,672,213
------------
TOTAL COMMON STOCK
(Cost $767,742,006) ................. 919,234,554
------------
PAR
VALUE
--------
SHORT TERM INVESTMENTS--1.51%
U.S. GOVERNMENTS & AGENCIES--1.51%
FEDERAL HOME LOAN MORTGAGE CORP
$ 10,800,000 5.400%, 01/02/97 ................ 10,796,712
3,100,000 5.430%, 01/24/97 ................ 3,088,840
------------
13,885,552
------------
TOTAL SHORT TERM INVESTMENTS
(Cost $13,887,626) ...... ........... 13,885,552
ROUNDING ........................ 275
------------
TOTAL PORTFOLIO
(Cost $781,764,884) ..... ........... $933,285,693
============
- ----------
o Non-income producing
X In bankruptcy
See notes to financial statements.
-72-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
Participant Voting Results
December 31, 1996
---------------------
CREF's annual meeting was held on November 11, 1996.
The annual meeting involved the election of trustees. The five trustees elected
to four-year terms at the annual meeting were:
John H. Biggs: 24,388,893,088 (98.1%) votes were cast in favor, and
473,571,838 (1.9%) votes were withheld.
Marjorie Fine Knowles: 24,339,609,463 (97.9%) votes were cast in favor, and
522,914,314 (2.1%) votes were withheld.
Bevis Longstreth: 24,359,955,477 (98.0%) votes were cast in favor, and
502,568,300 (2.0%) votes were withheld.
Robert M. Lovell, Jr.: 24,368,987,754 (98.0%) votes were cast in favor, and
493,545,176 (2.0%) votes were withheld.
Robert W. Vishny: 24,404,521,617 (98.2%) votes were cast in favor, and
458,011,313 (1.8%) votes were withheld.
The other trustees currently in office are Robert H. Atwell, Elizabeth E.
Bailey, Gary P. Brinson, Joyce A. Fecske, Edes P. Gilbert, Stuart Tse Kong Ho,
Nancy L. Jacob, Thomas W. Jones, Martin L. Leibowitz, Jay O. Light, Stephen A.
Ross, Eugene C. Sit, Maceo K. Sloan, Harry K. Spindler, and David K. Storrs.
One shareholder proposal was submitted to a vote of CREF participants in the
Social Choice Account, recommending adoption of an additional screen for the
account.
On this proposal, 61,572,674 (19.3%) votes were cast in favor, 237,891,147
(74.6%) votes were cast in opposition and 19,580,459 (6.1%) abstained. The
proposal was defeated.
One shareholder proposal was submitted to a vote of CREF participants, that CREF
adopt a specified approach regarding the executive compensation policies of
companies in which CREF holds equity interests.
For the Stock Account, 3,359,178,110 (15.6%) votes were cast in favor,
16,825,435,462 (78.1%) votes were cast in opposition and 1,359,844,128
(6.3%) abstained. The proposal was defeated.
For the Social Choice Account, 102,737,209 (32.1%) votes were cast in favor,
196,659,162 (61.5%) votes were cast in opposition and 20,556,321 (6.4%)
abstained. The proposal was defeated.
For the Global Equities Account, 212,485,196 (18.2%) votes were cast in
favor, 899,576,143 (77.0%) votes were cast in opposition and 55,854,513
(4.8%) abstained. The proposal was defeated.
For the Growth Account, 112,110,211 (18.9%) votes were cast in favor,
453,151,980 (76.2%) votes were cast in opposition and 28,973,269 (4.9%)
abstained. The proposal was defeated.
For the Equity Index Account, 47,592,161 (20.3%) votes were cast in favor,
175,402,357 (74.7%) votes were cast in opposition and 11,887,003 (5.0%)
abstained. The proposal was defeated.
One shareholder proposal was submitted to a vote of CREF participants in
accounts with investments in tobacco manufacturers, asking CREF to divest its
investments in those companies.
For the Stock Account, 4,750,492,664 (22.1%) votes were cast in favor,
15,492,774,677 (71.9%) votes were cast in opposition and 1,301,322,801
(6.0%) abstained. The proposal was defeated.
For the Money Market Account, 196,964,280 (25.6%) votes were cast in favor,
531,154,455 (68.9%) votes were cast in opposition and 42,109,592 (5.5%)
abstained. The proposal was defeated.
For the Bond Market Account, 61,884,660 (26.8%) votes were cast in favor,
157,274,558 (68.1%) votes were cast in opposition and 11,856,252 (5.1%)
abstained. The proposal was defeated.
For the Global Equities Account, 286,247,620 (24.5%) votes were cast in
favor, 826,976,701 (70.8%) votes were cast in opposition and 54,683,355
(4.7%) abstained. The proposal was defeated.
For the Growth Account, 145,619,242 (24.5%) votes were cast in favor,
420,682,878 (70.8%) votes were cast in opposition and 27,941,082 (4.7%)
abstained. The proposal was defeated.
For the Equity Index Account, 59,860,344 (25.5%) votes were cast in favor,
163,372,385 (69.5%) votes were cast in opposition and 11,648,791 (5.0%)
abstained. The proposal was defeated.
Shareholders also ratified the election of Deloitte & Touche LLP as the
independent auditors for CREF for the fiscal year ending December 31, 1996,
24,060,980,398 (96.8%) votes were cast in favor, 275,476,128 (1.1%) votes were
cast in opposition and 526,401,984 (2.1%) abstained.
-73-
<PAGE>
[CREF Logo]
College Retirement Equities Fund
730 Third Avenue
New York, NY 10017-3206
212/490-9000
Printed on recycled paper
CAR02M--2/97
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<GROSS-EXPENSE> 6,043,974
<AVERAGE-NET-ASSETS> 1,742,219,151
<PER-SHARE-NAV-BEGIN> 35.310
<PER-SHARE-NII> .365
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<TABLE> <S> <C>
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<CIK> 0000777535
<NAME> COLLEGE RETIREMENT EQUITIES FUND
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<NAME> EQUITY INDEX ACCOUNT
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<S> <C>
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