ANNUAL REPORT
================================================================================
COLLEGE RETIREMENT EQUITIES FUND
STOCK ACCOUNT
AUDITED FINANCIAL STATEMENTS
INCLUDING
STATEMENT 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 Stock Account. CREF also provides an annual report to
participants in the six other CREF accounts. Semi-annual reports are also
provided each year toward the end of August.
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[GRAPHIC CONTAINING LOGO]
CREF
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STOCK 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:
Statement of Assets and Liabilities................................... 4
Statement of Operations............................................... 5
Statements of Changes in Net Assets................................... 6
Notes to Financial Statements......................................... 7
Statement of Investments.............................................. 11
Participant Voting Results.............................................. 53
1
<PAGE>
[GRAPHIC CONTAINING LOGO]
CREF
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REPORT OF MANAGEMENT RESPONSIBILITY
To the Participants of
College Retirement Equities Fund:
The accompanying financial statements of the Stock Account of College Retirement
Equities Fund ("CREF") are the responsibility of management. They have been
prepared in accordance with generally accepted accounting principles and have
been presented fairly and objectively in accordance with such principles.
CREF has established and maintains a strong system of internal controls designed
to provide reasonable assurance that assets are properly safeguarded and
transactions are properly executed in accordance with management's
authorization, and to carry out the ongoing responsibilities of management for
reliable financial statements. In addition, CREF's internal audit personnel
provide a continuing review of the internal controls and operations of the CREF
Accounts and the internal Auditor regularly reports to the Audit Committee of
the CREF Board of Trustees.
The accompanying financial statements have been audited by the independent
auditing firm of Deloitte & Touche LLP. The independent auditors' report, which
appears on the following page, expresses an independent opinion on the fairness
of presentation of these financial statements.
The Audit Committee of the CREF Board of Trustees, consisting of trustees who
are not officers of CREF, meets regularly with management, representatives of
Deloitte & Touche LLP and internal auditing personnel to review matters relating
to financial reporting, internal controls and auditing. In addition to the
annual audit of the financial statements of all CREF Accounts, the New York
State Insurance Department, other state insurance departments and the Securities
and Exchange Commission regularly examine the financial statements of the CREF
Accounts as part of their periodic corporate examinations.
/s/ John H. Biggs
--------------------------------
Chairman and
Chief Executive Officer
/s/ Thomas W. Jones
--------------------------------
Vice Chairman, President and
Chief Operating Officer
/s/ Richard L. Gibbs
--------------------------------
Executive Vice President and
Principal Accounting Officer
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<PAGE>
[GRAPHIC LOGO OF DELOITTE & TOUCHE LLP]
-------------------------------------------------------
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 statement of assets and liabilities, including
the statement of investments, of the Stock Account of College Retirement
Equities Fund ("CREF") as of December 31, 1996, and 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 Stock Account of CREF at December 31,
1996, the results of its operations and the changes in its 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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-3-
<PAGE>
<TABLE>
<CAPTION>
COLLEGE RETIREMENT EQUITIES FUND
STOCK ACCOUNT
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 1996
ASSETS
<S> <C>
Portfolio investments, at cost......................................... $52,068,002,137
Net unrealized appreciation of portfolio investments................... 31,465,118,145
---------------
Portfolio investments, at value........................................ 83,533,120,282
Cash................................................................... 29,525,264
Dividends and interest receivable...................................... 144,913,655
Receivable from securities transactions................................ 773,298,694
Amounts due from TIAA.................................................. 8,688,602
---------------
TOTAL ASSETS 84,489,546,497
---------------
LIABILITIES
Deposits for securities loaned--Note 4.................................. 2,410,856,328
Due to banks--Note 4.................................................... 16,609,406
Payable for securities transactions.................................... 715,635,449
---------------
TOTAL LIABILITIES 3,143,101,183
---------------
NET ASSETS
Accumulation Fund...................................................... 67,772,813,739
Annuity Fund........................................................... 13,573,631,575
---------------
TOTAL NET ASSETS $81,346,445,314
===============
NUMBER OF ACCUMULATION UNITS OUTSTANDING--Notes 5 and 6................... 620,498,335
===========
NET ASSET VALUE, PER ACCUMULATION UNIT--Note 5 ........................... $109.22
=======
</TABLE>
See notes to financial statements.
-4-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STOCK ACCOUNT
STATEMENT OF OPERATIONS
YEAR ENDED DECEMBER 31, 1996
<TABLE>
<CAPTION>
INVESTMENT INCOME
Income:
<S> <C>
Dividends...................................................................... $ 1,487,760,929
Interest....................................................................... 106,224,449
---------------
TOTAL INCOME 1,593,985,378
---------------
Expenses--Note 3:
Investment....................................................................... 61,960,030
Operating........................................................................ 167,623,315
---------------
TOTAL EXPENSES 229,583,345
---------------
INVESTMENT INCOME--NET 1,364,402,033
---------------
REALIZED AND UNREALIZED GAIN ON TOTAL
INVESTMENTS--Note 4
Net realized gain (loss) on:
Portfolio investments........................................................ 6,239,058,650
Futures transactions......................................................... (2,882,096)
Foreign currency transactions................................................ (3,627,531)
---------------
Net realized gain 6,232,549,023
---------------
Net change in unrealized appreciation on:
Portfolio investments........................................................ 5,765,782,664
Futures transactions......................................................... 2,439,653
Translation of assets (other than portfolio investments)
and liabilities in foreign currencies..................................... 215,543
---------------
Net change in unrealized appreciation 5,768,437,860
---------------
NET REALIZED AND UNREALIZED GAIN ON TOTAL INVESTMENTS 12,000,986,883
---------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $13,365,388,916
===============
</TABLE>
See notes to financial statements.
-5-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STOCK ACCOUNT
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
YEARS ENDED DECEMBER 31,
---------------------------------
1996 1995
------------- -------------
FROM OPERATIONS
<S> <C> <C>
Investment income--net .............................................. $ 1,364,402,033 $ 1,228,462,175
Net realized gain on total investments .............................. 6,232,549,023 1,868,662,373
Net change in unrealized appreciation
on total investments .............................................. 5,768,437,860 13,323,134,706
---------------- ----------------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS 13,365,388,916 16,420,259,254
---------------- ----------------
FROM PARTICIPANT TRANSACTIONS
Premiums ............................................................ 2,394,187,360 2,244,897,088
---------------- ----------------
Disbursements and transfers:
Net transfers to TIAA ............................................. 365,944,585 359,202,304
Net transfers to other CREF Accounts .............................. 1,277,299,446 551,347,519
Annuity payments .................................................. 1,105,208,681 853,948,681
Withdrawals and repurchases ....................................... 938,057,019 690,669,089
Death benefits .................................................... 96,905,116 91,070,246
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TOTAL DISBURSEMENTS AND TRANSFERS, NET 3,783,414,847 2,546,237,839
---------------- ----------------
NET DECREASE IN NET ASSETS RESULTING
FROM PARTICIPANT TRANSACTIONS (1,389,227,487) (301,340,751)
---------------- ----------------
NET INCREASE IN NET ASSETS 11,976,161,429 16,118,918,503
NET ASSETS
Beginning of year ................................................. 69,370,283,885 53,251,365,382
---------------- ----------------
End of year ....................................................... $ 81,346,445,314 $ 69,370,283,885
================ ================
</TABLE>
See notes to financial statements.
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<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STOCK ACCOUNT
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 Stock Account ("Account"), which invests
primarily in equity securities. The six other investment portfolios of CREF,
which are not included in these financial statements, include a Money Market
Account, which invests in money market instruments; a Bond Market Account, which
invests in a broad range of fixed-income securities; a Social Choice Account,
which invests in a diversified portfolio of equity and fixed-income securities
while giving special consideration to certain social criteria; a Global Equities
Account, which invests in equity securities of foreign and domestic companies; a
Growth Account, which invests in a diversified portfolio of equity securities
that present opportunities for growth; and an Equity Index Account, which
invests in a diversified portfolio of equity securities selected to track the
overall United States stock market.
TIAA-CREF Investment Management, Inc. ("Investment Management"), a subsidiary of
Teachers Insurance and Annuity Association of America ("TIAA"), a companion
organization, is registered with the Commission as an investment adviser and
provides investment advisory services for the CREF Accounts pursuant to an
Investment Management Services Agreement with CREF. TIAA-CREF Individual &
Institutional Services, Inc. ("Services"), a subsidiary of TIAA which is
registered with the Commission as a broker-dealer and is a member of the
National Association of Securities Dealers, Inc., provides administrative
services for the CREF Accounts and performs distribution functions for CREF's
certificates pursuant to a Principal Underwriting and Administrative Services
Agreement with CREF.
NOTE 2--SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of the significant accounting policies consistently
followed by the Account, which are in conformity with generally accepted
accounting principles.
VALUATION OF INVESTMENTS: Securities listed or traded on any United States
national securities exchange are valued at the last sales price as of the close
of the principal securities exchange on which such securities are traded or, if
there is no sale, at the mean of the last bid and asked prices on such exchange.
Securities traded only in the over-the-counter market and quoted in the NASDAQ
National Market System are valued at the last sales price, or at the mean of the
last bid and asked prices if no sale is reported. All other over-the-counter
securities are valued at the mean of the last bid and asked prices, except for
bonds which are valued at the most recent bid price or the equivalent quoted
yield of such bonds. Short-term money market instruments are stated at market
value. Foreign investments are valued at the closing price in the principal
market where they are traded; local currencies are converted into U.S. dollars
as described below under Foreign Currency Transactions and Translation. Stock
index futures and options which are traded on commodities exchanges are valued
at the last sale price as of the close of such commodities exchanges. Portfolio
securities for which market quotations are not readily available are valued at
fair value as determined in good faith under the direction of the Finance
Committee of the Board of Trustees and in accordance with the responsibilities
of the Board as a whole.
ACCOUNTING FOR INVESTMENTS: Securities transactions are accounted for as of the
date the securities are purchased or sold (trade date). Interest income is
recorded as earned and, for short-term money market instruments, includes
accrual of discount and amortization of premium. Dividend income is recorded on
the ex-dividend date or, for certain foreign securities, as soon as the Account
is informed of the ex-dividend date. Realized gains and losses on security
transactions are accounted for on the average cost basis.
FOREIGN CURRENCY TRANSACTIONS AND TRANSLATION: Foreign investments, bank
deposits and forward foreign currency contracts are valued in U.S. dollars,
based on the exchange rate at the end of the period. Investments traded in
foreign currencies are translated at exchange rates prevailing on the respective
dates traded. Income is translated at approximate rates prevailing when earned.
Asset and liability accounts that are denominated in a foreign currency are
adjusted to reflect the exchange rate at the end of the period. The cumulative
impact of changes in foreign exchange rates on portfolio investments sold during
the period is reflected in the net realized gain (loss) on portfolio
investments. The cumulative impact of changes in foreign exchange rates on
portfolio investments held at the end of the period is reflected in the net
change in unrealized appreciation (depreciation) on portfolio investments.
Currency gains and
-7-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STOCK ACCOUNT
NOTES TO FINANCIAL STATEMENTS--(CONTINUED)
NOTE 2--SIGNIFICANT ACCOUNTING POLICIES--(CONTINUED)
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 Account has a program to lend portfolio securities to
qualified institutions. Such loans are secured by collateral at least equal to
102% of the market value of the securities loaned for United States securities
and 105% of the market value of securities loaned for foreign securities. The
Account continues to receive income on the securities loaned and receives
additional income from the lending transaction. Additionally, any change in the
market value of the securities loaned is recognized by the Account. Although
each transaction is collateralized, the Account would bear the risk of delay in
recovery of, or loss of rights in, the securities loaned should a borrower fail
to return the securities in a timely manner.
COVERED CALL OPTIONS WRITTEN: The Account writes (sells) covered call options to
provide protection against adverse movements in the price of securities in the
portfolio. When an option is written, an amount equal to the premium received is
recorded as a liability; the liability is adjusted on a daily basis to the
current market price of the option written and an unrealized gain or loss is
recorded. Premiums received from writing options which expire unexercised are
recognized as realized gains from option transactions on the expiration date.
Premiums received from writing options which are exercised are added to the
proceeds from the sale of the underlying securities in recognizing the net
realized gain or loss on portfolio investments. In writing options, it is
assumed that the option may be exercised at any time prior to the expiration of
the Account's obligation as a writer, and that in such circumstances the net
proceeds of the sale of the underlying securities pursuant to the call option
may be below the prevailing market value.
FUTURES CONTRACTS: The Account purchases futures contracts for the purpose of
acquiring a position in a security or group of securities which it intends to
purchase at a later date, or for cash management purposes to remain highly
invested in the equity markets while minimizing transaction costs. The Account
sells futures contracts for the purpose of offsetting changes in market value
while withdrawing from a specific market. A financial futures contract is an
agreement between two parties to buy and sell a financial instrument for a set
price on a future date. Initial margin deposits are made upon entering into
futures contracts and can be either cash or securities. During the period the
futures contract is open, changes in the value of the contract are recognized as
unrealized gains or losses from futures transactions by "marking-to-market" on a
daily basis to reflect the market value of the contract at the end of each day's
trading.
Variation margin payments are received or made, depending upon whether
unrealized gains or losses are incurred. When the contract is closed, a realized
gain or loss from futures transactions is recorded, equal to the net variation
margin received or paid over the period of the contract. The contractual amounts
under futures contracts reflect the extent of the Account's exposure to
off-balance sheet risk. The credit risk to such contracts is limited to the
failure of the exchange or board of trade which acts as the counterparty to the
Account's futures transactions.
FORWARD FOREIGN CURRENCY CONTRACTS: The Account enters into forward foreign
currency contracts to purchase or sell foreign currency to accommodate foreign
investment transactions. Forward foreign currency contracts are
"marked-to-market" at the end of each day's trading. Daily changes in the value
of such contracts are reflected in the net change in unrealized appreciation
(depreciation) on translation of assets and liabilities in foreign currencies.
When the contract is closed, payment is received or made and a realized gain or
loss on foreign currency transactions is recognized, equal to the difference
between the cost of the closing transaction and the basis in the contract. The
Account may also enter into a forward foreign currency contract to offset an
existing contract. Forward foreign currency contracts are entered into directly
with a counterparty and the Account is exposed to the risk of default of such
counterparty. The maximum potential loss from such risk is the aggregate face
value in U.S. dollars at the time the contract is opened. There is no daily
margin requirement for such contracts.
SECURITIES PURCHASED ON A WHEN-ISSUED OR DELAYED DELIVERY BASIS: The Account may
purchase securities on a when-issued or delayed delivery basis. In addition to
the normal market risks, this exposes the Account to the risk that the
transaction may not be consummated.
-8-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STOCK ACCOUNT
NOTES TO FINANCIAL STATEMENTS--(CONTINUED)
NOTE 2--SIGNIFICANT ACCOUNTING POLICIES--(CONCLUDED)
RESTRICTED SECURITIES: Restricted securities held by the Account may not be sold
except in exempt transactions or in a public offering registered under the
Securities Act of 1933. The risk of investing in such securities is generally
greater than the risk of investing in securities which are widely held and
publicly traded.
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 securities loaned was $4,293,642,879 and
collateral received in connection therewith was comprised of cash of
$2,410,856,328, letters of credit of $1,578,545,000 and United States government
securities amounting to $472,491,359.
At December 31, 1996, the due to banks balance resulted from securities
transactions which were settled and paid by January 2, 1997.
At December 31, 1996, net unrealized appreciation of portfolio investments,
consisting of gross unrealized appreciation and gross unrealized depreciation,
was as follows:
<TABLE>
<CAPTION>
<S> <C>
Gross unrealized appreciation of portfolio investments ..................... $33,262,972,135
Gross unrealized depreciation of portfolio investments ..................... 1,797,853,990
---------------
NET UNREALIZED APPRECIATION OF PORTFOLIO INVESTMENTS ....................... $31,465,118,145
===============
</TABLE>
Companies in which the Account held 5% or more of the outstanding voting shares
are defined as "affiliated" in the Investment Company Act of 1940. At December
31, 1996, the total investments in affiliated companies was $588,718,263. For
the year ended December 31, 1996, total dividend income and the net realized
gain relating to such investments were $11,221,962 and $108,867,354,
respectively.
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>
Purchases:
<S> <C>
Unaffiliated issuers ..................................................... $14,280,896,630
Affiliated issuers ....................................................... 42,247,628
---------------
TOTAL PURCHASES ......................................................... $14,323,144,258
===============
Sales:
Unaffiliated issuers ..................................................... $16,315,478,074
Affiliated issuers ....................................................... 257,991,792
---------------
TOTAL SALES ............................................................. $16,573,469,866
===============
</TABLE>
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<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STOCK ACCOUNT
NOTES TO FINANCIAL STATEMENTS--(CONCLUDED)
NOTE 5--CONDENSED FINANCIAL INFORMATION
Selected condensed financial information for an Accumulation Unit of the Account
is presented below.
<TABLE>
<CAPTION>
FOR THE YEARS ENDED DECEMBER 31,
----------------------------------------------------------------
1996 1995 1994 1993 1992
------- ------- ------- ------- -------
Per Accumulation Unit Data:
<S> <C> <C> <C> <C> <C>
Investment income.................... $ 2.114 $ 1.885 $ 1.699 $ 1.606 $ 1.523
Expenses............................. .304 .271 .223 .210 .181
-------- ------- ------- ------- -------
Investment income--net................ 1.810 1.614 1.476 1.396 1.342
Net realized and unrealized
gain (loss) on investments......... 15.953 19.984 (1.557) 7.139 2.294
-------- ------- ------- ------- -------
Net increase (decrease) in
Accumulation Unit Value.............. 17.763 21.598 (.081) 8.535 3.636
Accumulation Unit Value:
Beginning of year.................... 91.460 69.862 69.943 61.408 57.772
-------- ------- ------- ------- -------
End of year.......................... $109.223 $91.460 $69.862 $69.943 $61.408
======== ======= ======= ======= =======
Total return........................... 19.42% 30.92% (0.12%) 13.90% 6.29%
Ratios to Average Net Assets:
Expenses............................. 0.31% 0.34% 0.32% 0.32% 0.31%
Investment income--net................ 1.82% 2.00% 2.11% 2.14% 2.32%
Portfolio turnover rate................ 19.57% 16.25% 18.77% 22.93% 16.29%
Thousands of Accumulation Units
outstanding at end of year........... 620,498 632,803 637,435 642,528 645,564
</TABLE>
NOTE 6--ACCUMULATION UNITS
Changes in the number of Accumulation Units outstanding were as follows:
<TABLE>
<CAPTION>
YEARS ENDED DECEMBER 31,
-----------------------------
1996 1995
----------- -----------
Accumulation Units:
<S> <C> <C>
Credited for premiums................................................... 24,089,810 27,995,571
Cancelled for transfers, disbursements and
amounts applied to the Annuity Fund................................... (36,394,455) (32,627,261)
Outstanding:
Beginning of year..................................................... 632,802,980 637,434,670
----------- -----------
End of year........................................................... 620,498,335 632,802,980
=========== ===========
</TABLE>
See notes to financial statements.
-10-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENT OF INVESTMENTS--STOCK ACCOUNT
DECEMBER 31, 1996
SUMMARY BY INDUSTRY
VALUE %
------------ ---------
BONDS
CORPORATE BONDS
AUTOMOTIVE & RELATED ............. $ 382,838 0.00%
BANKS ............................ 11,673,835 0.01
BROADCASTERS ..................... 8,335,012 0.01
CONGLOMERATES .................... 111,959 0.00
ENVIRONMENTAL CONTROL ............ 4,642,917 0.01
FINANCIAL--MISCELLANEOUS ......... 39,711 0.00
HEALTHCARE--DRUGS ................ 9,550,000 0.01
INSURANCE--LIFE .................. 39,462 0.00
INSURANCE--MULTI-LINE,
PROPERTY & CASUALTY ............ 3,877,111 0.01
LEISURE TIME ..................... 633,559 0.00
METALS--STEEL .................... 93,614 0.00
OFFICE EQUIPMENT ................. 172,823 0.00
PETROLEUM--SERVICE ............... 1,895,000 0.00
RETAIL--GENERAL MERCHANDISE ...... 425,630 0.00
TRUCKERS & SHIPPING .............. 3,265,946 0.01
UTILITIES--GAS & PIPELINE ........ 212,261 0.00
--------------- -------------
TOTAL CORPORATE BONDS
(Cost $43,757,744) ............. 45,351,678 0.06
--------------- -------------
GOVERNMENT BONDS
U.S. GOVERNMENT BONDS .......... 390,000 0.00
--------------- -------------
TOTAL GOVERNMENT BONDS
(Cost $381,469) ................ 390,000 0.00
--------------- -------------
TOTAL BONDS
(Cost $44,139,213) ............. 45,741,678 0.06
--------------- -------------
PREFERRED STOCK
AUTOMOTIVE & RELATED ............. 11,270,773 0.01
BANKS ............................ 3,033,094 0.00
BEVERAGES ........................ 825,364 0.00
BUSINESS SERVICES ................ 14,788,134 0.02
CHEMICALS--MAJOR ................. 65,441 0.00
CHEMICALS--SPECIALTY ............. 83,668 0.00
COMMUNICATION EQUIPMENT & SERVICES 7,740,469 0.01
CONGLOMERATES .................... 188,624 0.00
CONSTRUCTION--MATERIALS & BUILDERS 479,090 0.00
COSMETICS ........................ 21,179 0.00
FINANCIAL--MISCELLANEOUS ......... 2,041,321 0.00
FOODS ............................ 524,330 0.00
FOREST PRODUCTS .................. 3,077,239 0.01
HEALTHCARE--SERVICE .............. 25,818,808 0.03
HOUSEHOLD--DURABLE GOODS ......... 94,398 0.00
HOUSEHOLD--PRODUCTS .............. 37,628 0.00
INSURANCE--BROKERS & OTHER ....... 1,527,480 0.00
INSURANCE--MULTI-LINE,
PROPERTY & CASUALTY ............ 126,630 0.00
MACHINERY ........................ 294,395 0.00
METALS--NON-FERROUS .............. 94,427 0.00
METALS--STEEL .................... 10,757,933 0.01
PAPER ............................ 81,900,000 0.10
PETROLEUM--EXPLORATION &
PRODUCTION ..................... 158,291 0.00
PETROLEUM--INTEGRATED ............ 1,577,115 0.00
PUBLISHING--NEWSPAPER ............ 9,411,518 0.01
PUBLISHING--OTHER ................ 11,561,000 0.02
RETAIL--GENERAL MERCHANDISE ...... 2,628,217 0.00
UTILITIES--ELECTRIC .............. 11,680,943 0.02
UTILITIES--GAS & PIPELINE ........ 1,036,097 0.00
UTILITIES--OTHER ................. 104,446 0.00
UTILITIES--TELEPHONE ............. 6,066,626 0.01
--------------- -------------
TOTAL PREFERRED STOCK
(Cost $151,322,296) ............ 209,014,678 0.25
--------------- -------------
COMMON STOCK
AEROSPACE ........................ 1,076,786,226 1.32
AIR TRANSPORTATION ............... 390,360,662 0.48
AUTOMOTIVE & RELATED ............. 1,954,998,808 2.40
BANKS ............................ 7,283,517,069 8.95
BEVERAGES ........................ 2,081,720,964 2.56
BROADCASTERS ..................... 591,906,511 0.73
BUSINESS SERVICES ................ 1,153,946,987 1.42
CHEMICALS--MAJOR ................. 1,694,448,928 2.08
CHEMICALS--SPECIALTY ............. 943,104,872 1.16
COMMUNICATION
EQUIPMENT & SERVICES ........... 2,269,964,475 2.79
COMPUTER SERVICE ................. 2,507,090,094 3.08
CONGLOMERATES .................... 1,952,626,098 2.40
CONSTRUCTION--
MATERIALS & BUILDERS ........... 850,039,341 1.05
CONTAINERS ....................... 109,672,699 0.13
COSMETICS ........................ 469,075,465 0.58
ELECTRICAL EQUIPMENT ............. 3,076,070,913 3.78
ELECTRICAL EQUIPMENT--COMPONENTS
DIVERSIFIED .................... 2,563,727,043 3.15
ELECTRICAL EQUIPMENT--INSTRUMENTS 377,786,927 0.46
ENVIRONMENTAL CONTROL ............ 349,987,209 0.43
FINANCIAL--MISCELLANEOUS ......... 2,917,724,597 3.59
FOODS ............................ 1,548,300,388 1.90
FOREST PRODUCTS .................. 379,016,024 0.47
HEALTHCARE--DRUGS ................ 4,519,330,869 5.55
HEALTHCARE--HOSPITAL SUPPLY ...... 1,250,076,640 1.54
HEALTHCARE--OTHER ................ 638,797,820 0.79
HEALTHCARE--SERVICE .............. 1,285,810,497 1.58
HOUSEHOLD--CONSUMER ELECTRONICS .. 169,641,525 0.21
HOUSEHOLD--DURABLE GOODS ......... 313,649,370 0.39
HOUSEHOLD--PRODUCTS .............. 1,464,789,275 1.80
INSURANCE--BROKERS & OTHER ....... 192,535,365 0.24
INSURANCE--LIFE .................. 477,925,730 0.59
INSURANCE--MULTI-LINE,
PROPERTY & CASUALTY ............ 2,445,574,030 3.01
LEISURE TIME ..................... 971,779,751 1.19
MACHINERY ........................ 1,402,984,607 1.73
METALS--ALUMINUM ................. 191,887,601 0.24
METALS--GOLD ..................... 228,960,671 0.28
METALS--NON-FERROUS .............. 293,615,239 0.36
METALS--STEEL .................... 385,845,838 0.47
MISCELLANEOUS MATERIALS &
COMMODITIES .................... 52,226,283 0.06
OFFICE EQUIPMENT ................. 2,785,076,211 3.42
PAPER ............................ 432,806,469 0.53
PETROLEUM--EXPLORATION &
PRODUCTION ..................... 797,695,209 0.98
PETROLEUM--INTEGRATED ............ 4,009,960,468 4.93
PETROLEUM--SERVICE ............... 793,726,986 0.98
PHOTOGRAPHY ...................... 271,219,084 0.33
See notes to financial statements.
-11-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENT OF INVESTMENTS--STOCK ACCOUNT
DECEMBER 31, 1996
SUMMARY BY INDUSTRY (CONTINUED)
VALUE %
--------------- ------
PROPERTY--REAL ESTATE ........... $ 540,475,491 0.66%
PUBLISHING--NEWSPAPER ........... 410,888,163 0.51
PUBLISHING--OTHER ............... 519,454,824 0.64
RAILROAD ........................ 709,223,915 0.87
RESTAURANTS & HOTELS ............ 935,345,867 1.15
RETAIL--FOOD .................... 554,772,990 0.68
RETAIL--GENERAL MERCHANDISE ..... 2,911,568,907 3.58
TEXTILE & APPAREL ............... 387,757,659 0.48
TOBACCO ......................... 1,177,148,533 1.45
TRADING COMPANIES ............... 115,437,328 0.14
TRUCKERS & SHIPPING ............. 237,624,537 0.29
UTILITIES--ELECTRIC ............. 2,861,476,561 3.52
UTILITIES--GAS & PIPELINE ....... 777,349,283 0.96
UTILITIES--OTHER ................ 15,660,337 0.02
UTILITIES--TELEPHONE ............ 4,329,501,252 5.32
---------------- -------------
TOTAL COMMON STOCK
(Cost $46,993,767,214) ........ 78,401,473,485 96.38
---------------- -------------
SHORT TERM INVESTMENTS
BANK NOTES ...................... 69,972,300 0.09
BANKERS ACCEPTANCES ............. 152,899,250 0.19
CERTIFICATES OF DEPOSIT ......... 253,871,120 0.31
COMMERCIAL PAPER ................ 2,227,827,375 2.74
MEDIUM TERM BONDS ............... 161,141,402 0.20
U.S. GOVERNMENTS & AGENCIES ..... 1,603,707,241 1.97
U.S. TREASURY BILLS ............. 87,462,990 0.11
VARIABLE RATE NOTES ............. 320,007,500 0.39
---------------- -------------
TOTAL SHORT TERM INVESTMENTS
(Cost $4,878,773,414) ......... 4,876,889,178 6.00
---------------- -------------
ROUNDING ...................... 1,263 0.00
---------------- -------------
TOTAL PORTFOLIO
(Cost $52,068,002,137) ........ 83,533,120,282 102.69
OTHER ASSETS & LIABILITIES, NET (2,186,674,968) (2.69)
---------------- -------------
NET ASSETS ........................ $ 81,346,445,314 100.00%
================ =============
See notes to financial statements.
-12-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENT OF INVESTMENTS--STOCK ACCOUNT
DECEMBER 31, 1996
SUMMARY BY COUNTRY
VALUE %
--------------- ------
DOMESTIC:
UNITED STATES ................... $66,750,997,921 79.91%
--------------- ------
TOTAL DOMESTIC 66,750,997,921 79.91
--------------- ------
FOREIGN:
ARGENTINA ....................... 17,250,969 0.02
AUSTRALIA ....................... 446,121,057 0.53
AUSTRIA ......................... 8,314,760 0.01
BELGIUM ......................... 105,453,489 0.13
BRAZIL .......................... 38,800,681 0.05
CANADA .......................... 350,799,757 0.42
CHILE ........................... 56,621,911 0.07
CHINA ........................... 18,063,029 0.02
DENMARK ......................... 70,728,518 0.09
FINLAND ......................... 77,705,087 0.09
FRANCE .......................... 730,864,937 0.87
GERMANY ......................... 766,935,587 0.92
HONG KONG ....................... 689,811,779 0.83
INDIA ........................... 932,603 0.00
INDONESIA ....................... 103,362,741 0.12
IRELAND ......................... 5,910,413 0.01
ITALY ........................... 478,803,868 0.57
JAPAN ........................... 3,175,063,974 3.80
KOREA ........................... 41,805,301 0.05
LUXEMBOURG ...................... 1,285,000 0.00
MALAYSIA ........................ 222,313,422 0.27
MEXICO .......................... 20,185,622 0.02
MISCELLANEOUS ................... 30,032,256 0.04
NETHERLANDS ..................... 649,891,445 0.78
NEW ZEALAND ..................... 136,871,443 0.16
NORWAY .......................... 86,356,145 0.10
PHILIPPINES ..................... 33,930,810 0.04
PORTUGAL ........................ 17,993,769 0.02
SINGAPORE ....................... 211,438,959 0.25
SOUTH AFRICA .................... 27,207,392 0.03
SPAIN ........................... 267,685,449 0.32
SWEDEN .......................... 413,977,772 0.50
SWITZERLAND ..................... 668,470,958 0.80
THAILAND ........................ 47,921,160 0.06
UNITED KINGDOM .................. 1,886,321,120 2.26
--------------- -------------
TOTAL FOREIGN ..................... 11,905,233,183 14.25
--------------- -------------
TOTAL SHORT TERM .................. 4,876,889,178 5.84
--------------- -------------
TOTAL PORTFOLIO ................... $83,533,120,282 100.00%
=============== =============
See notes to financial statements.
-13-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENT OF INVESTMENTS--STOCK ACCOUNT
DECEMBER 31, 1996
PAR
VALUE VALUE
----- -----
BONDS--0.06%
CORPORATE BONDS--0.06%
AUTOMOTIVE & RELATED--0.00%
DAIMLER BENZ AG.(W/W)
314(1) 4.125%, 07/05/03 ........... $ 245,519
MICHELIN S.A. CV
2,333(2) 2.500%, 01/01/01 ........... 137,319
------------
382,838
------------
BANKS--0.01%
BANGKOK BANK PUBLIC CO LTD CV
6,000,000 3.250%, 03/03/04 .......... 5,865,000
BANK OF TOKYO CV
226,000,000(3) 6.100%, 03/31/97 .......... 3,146,335
SIAM COMMERCIAL BANK PUBLIC CO
LTD (SUBORDINATED CV BONDS)
3,000,000 3.250%, 01/24/04 ........... 2,662,500
------------
11,673,835
------------
BROADCASTERS--0.01%
VIACOM INTERNATIONAL, INC
(SUBORDINATED DEB)
8,615,000 8.000%, 07/07/06 ........... 8,335,012
------------
CONGLOMERATES--0.00%
BRIERLEY INVESTMENTS LTD
129,875(4) (CV NOTES) 9.000%, 06/30/98 111,959
------------
ENVIRONMENTAL CONTROL--0.01%
WMX TECHNOLOGIES, INC
(SUBORDINATED CV NOTES)
4,979,000 2.000%, 01/24/05 ........... 4,642,917
------------
FINANCIAL--MISCELLANEOUS--0.00%
VALUE REALISATION TRUST
24,621 (CV LOAN STK) 1.400%, 09/30/06 39,711
------------
HEALTHCARE--DRUGS--0.01%
IVAX CORP CV
10,000,000 6.500%, 11/15/01 .......... 9,550,000
------------
INSURANCE--LIFE--0.00%
LIBERTY LIFE INTERNATIONAL
35,000 TRUST CV 6.500%, 09/30/04 .. 39,462
------------
INSURANCE--MULTI-LINE,
PROPERTY & CASUALTY--0.01%
AXA S.A. CV
54,513(2) 4.500%, 01/01/99 ........... 3,837,760
CORPORACION MAPFRE S.A.
449(6) (CV NOTES) 8.500%, 02/27/99 39,351
------------
3,877,111
------------
LEISURE TIME--0.00%
SKIS ROSSIGNOL S.A. CV
1,250(2) 3.000%, 04/01/01 ........... 633,559
------------
METALS--STEEL--0.00%
~PREUSSAG AG. (W/W)
126(1) 5.750%, 05/17/01 ........... 93,614
------------
OFFICE EQUIPMENT--0.00%
OLIVETTI S.P.A. CV
255,000(5) 7.500%, 01/01/99 ........... 172,823
------------
PETROLEUM--SERVICE--0.00%
FAR EAST LEVINGSTONE
SHIPBUILDING LTD CV
2,000,000 1.500%, 05/02/01 ........... $ 1,895,000
------------
RETAIL--
GENERAL MERCHANDISE--0.00%
o CASTORAMA DUBOIS
INVESTISSEMENT S.A. CV
1,799 3.150%, 01/01/03 ........... 425,630
------------
TRUCKERS & SHIPPING--0.01%
YAMATO TRANSPORT CO LTD CV
340,000,000(3) 1.700%, 09/30/02 ........... 3,265,946
------------
UTILITIES--GAS & PIPELINE--0.00%
LYONNAISE DES EAUX S.A.
1,812(2) (CV NOTES) 4.000%, 01/01/06 212,261
------------
TOTAL CORPORATE BONDS
(Cost $43,757,744) ........... 45,351,678
------------
GOVERNMENT BONDS--0.00%
U.S. GOVERNMENT BONDS--0.00%
U.S. TREASURY BOND
325,000 11.750%, 02/15/01 ......... 390,000
------------
TOTAL GOVERNMENT BONDS
(Cost $381,469) ............... 390,000
------------
TOTAL BONDS
(Cost $44,139,213) ............ 45,741,678
------------
(1) DENOMINATED IN GERMANY DEUTSCHE MARKS
(2) DENOMINATED IN FRENCH FRANCS
(3) DENOMINATED IN JAPANESE YEN
(4) DENOMINATED IN NEW ZEALAND DOLLARS
(5) DENOMINATED IN ITALIAN DOLLARS
(6) DENOMINATED IN SPANISH PESATA
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
PREFERRED STOCK--0.25%
AUTOMOTIVE & RELATED--0.01%
15,800 PIRELLI PNEUS S.A ........................... 39,838
4,000 oPORSCHE AG .................................. 3,529,945
24,000 VOLKSWAGEN AG ............................... 7,700,990
------------
11,270,773
------------
BANKS--0.00%
2,920,000 BANCO ITAU S.A .............................. 1,264,555
2,900 BANK AUSTRIA AG ............................. 112,366
210,456,038 BRADESCO S.A ................................ 1,525,102
1 ~oCRESTARAN INTERNATIONAL
INVESTMENT B.V. ............................. 0
4,017,600 UNIBANCO S.A ................................ 131,071
------------
3,033,094
------------
BEVERAGES--0.00%
1,509,924 BRAHMA S.A .................................. 825,364
------------
BUSINESS SERVICES--0.02%
106,000 SAP AG ...................................... 14,788,134
------------
CHEMICALS--MAJOR--0.00%
170,000 COPENE-PETROQUIMICA DO
NORDESTE S.A. ............................... 65,441
------------
CHEMICALS--SPECIALTY--0.00%
20,700,000 FERTILIZANTES FOSFATADOS S.A................. 83,668
------------
</TABLE>
See notes to financial statements.
-14-
<PAGE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
COMMUNICATION EQUIPMENT &
SERVICES--0.01%
136,025 AIRTOUCH COMMUNICATIONS, INC CV
(CLASS B) ................................... $ 3,706,681
87,358 AIRTOUCH COMMUNICATIONS, INC CV
(CLASS C) ................................... 3,952,949
60,000,000 oSHARP S.A.-EQUIPMENT ELECTRONIC ............. 80,839
-------------
7,740,469
-------------
CONGLOMERATES--0.00%
175,000 oCONFAB INDUSTRIAL S.A ....................... 188,624
-------------
CONSTRUCTION--MATERIALS &
BUILDERS--0.00%
521,000 CIM ITAU S.A ................................ 182,994
2,900,000 DURATEX S.A ................................. 108,844
679 DYCKERHOFF ZEMENTWERKE AG ................... 187,252
-------------
479,090
-------------
COSMETICS--0.00%
40 WELLA GROUP AG. ............................. 21,179
-------------
FINANCIAL--MISCELLANEOUS--0.00%
75 oFUJI INTL FINANCE TRUST SERIES .............. 1,963,821
3,100 PHOENIX DUFF & PHELPS CORP .................. 77,500
-------------
2,041,321
-------------
FOODS--0.00%
16,100,000 CEVAL ALIMENTOS ............................. 140,996
114,361,44 PERDIGAO S.A. COMERCIO E INDUSTRIA .......... 220,116
212,000 SADIA CONCORDIA S.A ......................... 163,218
-------------
524,330
-------------
FOREST PRODUCTS--0.01%
1,752,666 ARACRUZ CELULOSE S.A ........................ 2,850,548
173,750 KLABIN FABRICADORA S.A ...................... 160,523
1,670 KONINKLIJKE NV .............................. 8,273
3,300,000 VOTORANTIM CELULOSE E PAPEL S.A ............. 57,895
-------------
3,077,239
-------------
HEALTHCARE--SERVICE--0.03%
109,372 AETNA, INC CV 6.25% ......................... 8,681,402
374,080 FHP INTERNATIONAL CORP SERIES A CV .......... 11,409,440
24,000 FRESENIUS AG ................................ 4,952,305
837,300 oFRESENIUS MEDICAL CARE (CLASS D) ............ 108,849
113,500 oMEDIQ, INC SERIES A ......................... 666,812
-------------
25,818,808
-------------
HOUSEHOLD--DURABLE GOODS--0.00%
340,000 BRASMOTOR S.A ............................... 94,398
-------------
HOUSEHOLD--PRODUCTS--0.00%
2,300,000 BOMBRIL S.A ................................. 37,628
-------------
INSURANCE--BROKERS & OTHER--0.00%
11,000 MARSCHOLLEK LAUTENSCHLAEGER
UND PARTNER AG. ............................. 1,527,480
-------------
INSURANCE--MULTI-LINE,
PROPERTY & CASUALTY--0.00%
23,604 INTERNATIONALE NEDERLANDEN
GROEP NV .................................... 126,630
-------------
MACHINERY--0.00%
1,100,000 BELGO MINEIRA S.A ........................... 70,926
900 MAN AG. (NON-VTG) ........................... 180,163
20,000 oPIRELLI CABOS S.A ........................... 43,306
-------------
294,395
-------------
METALS--NON-FERROUS--0.00%
8,800,000 oPARANAPANEMA S.A ............................ 94,427
-------------
METALS--STEEL--0.01%
77,597,100 CIA ACOS ESPECIAIS ITABIR-ACESITA ........... 182,959
231,000,00 COMPANHIA SIDERURGICA DE
TUBARAO S.A ................................ 3,559,146
4,100,000 oMET GERDAU S.A .............................. 92,724
1,086,000 USINAS SIDERGIACAS DE MINAS GERAIS .......... 1,107,843
302,132 VALE DO RIO DOCE CIA ........................ 5,815,261
-------------
10,757,933
-------------
PAPER--0.10%
2,600,000 JAMES RIVER CORP OF VIRGINIA
SERIES P ................................... 81,900,000
-------------
PETROLEUM--EXPLORATION &
PRODUCTION--0.00%
10,900,000 IPIRANGA S.A ................................. 158,291
-------------
PETROLEUM--INTEGRATED--0.00%
9,902,000 PETROBRAS S.A ............................... 1,577,115
-------------
PUBLISHING--NEWSPAPER--0.01%
2,092,299 NEWS CORP LTD (LTD-VTG) ..................... 9,306,713
36,150 RURAL PRESS LTD ............................. 104,805
-------------
9,411,518
-------------
PUBLISHING--OTHER--0.02%
210,200 HARCOURT GENERAL, INC SERIES A $.64 ......... 11,561,000
-------------
RETAIL--GENERAL MERCHANDISE--0.00%
50,800 KMART CORP CV ............................... 2,476,500
4,500,000 LOJAS AMERICANAS S.A ........................ 59,330
2,000,000 oLOJAS RENNER S.A ............................ 92,387
-------------
2,628,217
-------------
UTILITIES--ELECTRIC--0.02%
2,455,893 ELECTROBRAS S.A. SERIES B ................... 912,303
50,000 NORTHERN ELECTRIC PLC ....................... 90,271
316,470 RHEIN-WESTFALEN ELECTRIC AG ................. 10,678,369
-------------
11,680,943
-------------
UTILITIES--GAS & PIPELINE--0.00%
30,412,697 CEMIG S.A ................................... 1,036,097
-------------
UTILITIES--OTHER--0.00%
59,400 HYDER PLC ................................... 104,446
-------------
UTILITIES--TELEPHONE--0.01%
72,590,224 TELEBRAS S.A ................................ 5,588,698
2,207,181 TELESP S.A .................................. 477,928
-------------
6,066,626
-------------
TOTAL PREFERRED STOCK
(Cost $151,322,296) .......................... 209,014,678
-------------
COMMON STOCK--96.38%
AEROSPACE--1.32%
149,550 AAR CORP .................................... 4,523,887
168,125 oALLIANT TECHSYSTEMS, INC .................... 9,246,875
220,000 ASIA AIR SURVEY CO LTD ...................... 1,584,470
222,788 oAVIALL, INC NEW ............................. 2,060,789
3,454,507 BOEING CO ................................... 367,473,182
2,231,616 BRITISH AEROSPACE PLC ....................... 48,882,745
7,134 oBRITISH AEROSPACE PLC WTS 11/15/00 .......... 92,600
692,600 COBHAM GROUP PLC ............................ 7,259,634
730,400 EG & G, INC ................................. 14,699,300
6,800 oFABBRICA ITALIANA APPARECCHIATURE ........... 22,327
313,300 GENERAL DYNAMICS CORP ....................... 22,087,650
1,760,840 GENERAL MOTORS CORP (CLASS H) ............... 99,047,250
318,900 oHEXCEL CORP ................................. 5,182,125
401,600 KAMAN CORP (CLASS A) ........................ 5,220,800
1,517,231 LOCKHEED MARTIN CORP ........................ 138,826,636
1,727,300 MCDONNELL DOUGLAS CORP ...................... 110,547,200
470,000 NORTHROP GRUMMAN CORP ....................... 38,892,500
336,900 OEA, INC .................................... 15,413,175
359,100 oORBITAL SCIENCES CORP ....................... 6,194,475
213,750 PRECISION CAST PARTS CORP ................... 10,607,343
2,614,740 RAYTHEON CO ................................. 125,834,362
19,400 oROHR, INC ................................... 438,925
6,051,989 ROLLS ROYCE LTD ............................. 26,668,679
1,400 SAGEM S.A ................................... 842,886
126,800 SMITHS INDUSTRIES PLC ....................... 1,738,112
34,800 SPAR AEROSPACE LTD .......................... 318,625
60,700 oTECH-SYM CORP ............................... 1,805,825
60,616 THOMSON-CSF ................................. 1,962,312
221,700 oWHITTAKER CORP .............................. 2,798,962
292,700 oWYMAN-GORDON CO ............................. 6,512,575
--------------
1,076,786,226
--------------
</TABLE>
See notes to financial statements.
-15-
<PAGE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
AIR TRANSPORTATION--0.48%
204,000 oAIR CANADA, INC ............................. $ 922,739
133,062 AIR EXPRESS INTERNATIONAL CORP .............. 4,291,249
388,000 AIR NEW ZEALAND LTD (CLASS B) ............... 1,052,777
158,100 AIRBORNE FREIGHT CORP ....................... 3,695,587
318,200 oALASKA AIR GROUP, INC ....................... 6,682,200
1,300 ALL NIPPON AIRWAYS CO LTD ................... 9,788
659,700 AMERICA WEST AIRLINES, INC (CLASS B) ........ 10,472,737
864,600 oAMR CORP .................................... 76,192,875
260,498 ATLANTIC SOUTHEAST AIRLINES, INC ............ 5,698,393
61,100 oATLAS AIR, INC .............................. 2,917,525
1,100 oAUSTRIAN AIRLINES/OEST LUFTV AG ............. 167,442
3,321,212 BRITISH AIRWAYS PLC ......................... 34,414,138
200 oCANADIAN AIRLINES CORP ...................... 318
4,000 oCANADIAN AIRLINES CORP WTS 4/22/99 .......... 72
11,185,000 CATHAY PACIFIC AIRWAYS LTD .................. 17,641,433
402,000 COMAIR HOLDINGS, INC ........................ 9,648,000
241,500 oCONTINENTAL AIRLINES, INC (CLASS B) ......... 6,822,375
558,543 DELTA AIRLINES, INC ......................... 39,586,735
1,000 oEXPEDITORS INTERNATIONAL OF
WASHINGTON ................................. 23,000
697,400 oFEDERAL EXPRESS CORP ........................ 31,034,300
102,850 HARPER GROUP, INC .......................... 2,442,687
4,810,721 oJAPAN AIRLINES CO LTD ....................... 25,488,282
22,983 KLM (ROYAL DUTCH AIRLINES) NV ............... 645,724
138,887 KOREAN AIR LINES CO ......................... 2,135,943
388,990 LUFTHANSA AG ................................ 5,300,621
286,000 MALAYSIAN AIRLINE SYSTEM BERHAD ............. 741,753
110,400 MALAYSIAN HELICOPTER SERVICES
BERHAD ..................................... 131,142
22,080 oMALAYSIAN HELICOPTER SERVICES
BERHAD WTS 6/11/00 ......................... 9,267
583,400 oMESA AIR GROUP, INC ......................... 3,937,950
456,900 oNORTHWEST AIRLINES CORP (CLASS A) ........... 17,876,212
617,221 QUANTAS AIRWAYS LTD ......................... 1,029,543
50,500 oSABRE GROUP HOLDINGS, INC ................... 1,407,687
18,488 SAS DANMARK AS .............................. 228,792
428,000 SINGAPORE INTERNATIONAL
AIRLINES LTD (FR) .......................... 3,885,899
200 SKYWEST, INC ................................ 2,775
985,600 SOUTHWEST AIRLINES CO ....................... 21,806,400
2,295 oSWISS AIR TRANSPORT CO (REGD) ............... 1,850,972
748,500 oU.S. AIR GROUP, INC ......................... 17,496,187
502,920 oUAL CORP NEW ................................ 31,432,500
192,100 oVALUJET, INC ................................ 1,236,643
--------------
390,360,662
--------------
AUTOMOTIVE & RELATED--2.40%
401,900 oALLEN GROUP, INC ............................ 8,942,275
133,000 oAMERICREDIT CORP ............................ 2,726,500
277,800 APOGEE ENTERPRISES, INC ..................... 11,042,550
117,400 ARVIN INDUSTRIES, INC ....................... 2,905,650
140,800 AUTOLIV AB .................................. 6,165,680
51,000 BANDAG, INC ................................. 2,416,125
199,100 BANDAG, INC (CLASS A) ....................... 9,108,825
4,500 oBAYERISCHE MOTOREN WERKE AG ................. 3,133,150
168,248 BBA GROUP PLC ............................... 1,019,246
2,900 BEKAERT S.A ................................. 1,839,650
85,300 BORG-WARNER AUTOMOTIVE, INC ................. 3,284,050
219,700 BREED TECHNOLOGIES, INC ..................... 5,712,200
215,000 BREMBO S.P.A ................................ 3,020,384
1,371,100 BRIDGESTONE CORP ............................ 25,986,458
5,167,158 CHRYSLER CORP ............................... 170,516,214
43,143 oCIA INTERAMERICA DE AUTOMO
(RENAULT) .................................. 204,970
136,980 CONTINENTAL AG .............................. 2,462,101
815,300 COOPER TIRE & RUBBER CO ..................... 16,102,175
2,041,666 COWIE GROUP PLC ............................. 14,097,898
354,300 CUMMINS ENGINE CO, INC ...................... 16,297,800
1,017,000 CYCLE & CARRIAGE LTD ........................ 12,432,576
1,000,000 DAIHATSU MOTOR CO LTD ....................... 5,298,225
886,360 oDAIMLER BENZ AG ............................. 60,965,633
1,090,180 DANA CORP ................................... 35,567,122
192,700 DANAHER CORP ................................ 8,984,637
1,288,337 DENSO CORP .................................. 30,966,274
31,000 oDETROIT DIESEL CORP ......................... 713,000
306,700 DONALDSON CO, INC ........................... 10,274,450
711,734 EATON CORP .................................. 49,643,446
486,900 ECHLIN, INC ................................. 15,398,212
90,000 EDARAN OTOMOBIL NASIONAL BERHAD ............. 899,821
165,000 EXEDY CORP .................................. 2,046,924
226,900 EXIDE CORP .................................. 5,218,700
7,500 FABRICA DE AUTOMOVILES RENAULT S.A .......... 157,988
161,300 FEDERAL-MOGUL CORP .......................... 3,548,600
7,663,995 FIAT S.P.A .................................. 23,146,950
639,998 FIAT S.P.A. DI RISP ......................... 1,120,175
1,015,334 FIAT S.P.A. (PRIV) .......................... 1,673,564
9,678,048 FORD MOTOR CO ............................... 308,487,780
591,535 GENCORP, INC ................................ 10,721,571
6,253,576 GENERAL MOTORS CORP ......................... 348,636,862
812,700 GENUINE PARTS CO ............................ 36,165,150
1,554,652 GOODYEAR TIRE & RUBBER CO ................... 79,870,246
405,125 GRACO, INC .................................. 9,925,562
1,284,750 GUEST KEEN NETTLEFOLDS LTD .................. 22,007,912
696,800 HARLEY DAVIDSON, INC ........................ 32,749,600
36,360 oHAYES WHEELS INTERNATIONAL, INC ............. 1,399,860
1,610,000 HONDA MOTOR CO LTD .......................... 45,910,196
4,900,000 INCHCAPE PLC ................................ 22,850,133
88,500 INTERMET CORP ............................... 1,427,062
103,800 oKIRBY CORP .................................. 2,050,050
1,802,920 LAIRD GROUP PLC ............................. 12,279,641
1,302,000 oLEAR CORP ................................... 44,430,750
56,000 LEX SERVICE GROUP LTD ....................... 304,748
381,814 oLUCASVARITY PLC ............................. 1,453,811
343,469 MICHELIN S.A. (CLASS B) ..................... 18,505,352
428,500 MODINE MANUFACTURING CO ..................... 11,462,375
728,700 oNAVISTAR INTERNATIONAL CORP ................. 6,649,387
164,360 NGK INSULATORS LTD .......................... 1,557,557
4,605,000 NISSAN MOTOR CO LTD ......................... 26,659,634
187,500 PACCAR, INC ................................. 12,750,000
7,922 PENDRAGON PLC ............................... 46,432
205,000 PERUSAHAAN OTOMOBIL NASIONAL
BERHAD ..................................... 1,298,752
81,634 PEUGEOT S.A ................................. 9,170,238
5,294,999 PIRELLI S.P.A ............................... 9,807,767
240,500 POLARIS INDUSTRIES, INC ..................... 5,711,875
312,666 PT STEADY SAFE TRANSPORTATION (FR) .......... 400,079
37,000 oRENTERS CHOICE, INC ......................... 536,500
42,000 oSAFESKIN CORP ............................... 2,047,500
705,437 SAFETY-KLEEN CORP ........................... 11,551,530
50,000 SCANIA AB SERIES A .......................... 1,244,876
50,000 SCANIA AB SERIES B .......................... 1,248,537
458,675 SIMPSON INDUSTRIES, INC ..................... 4,995,259
38,600 SMITH (A.O.) CORP ........................... 1,153,175
496,300 SNAP-ON, INC ................................ 17,680,687
476,050 SPARTAN MOTORS, INC ......................... 3,213,337
58,400 STANDARD MOTOR
PRODUCTS, INC (CLASS A) .................... 810,300
73,943 STANDARD PRODUCTS CO ........................ 1,885,546
118,900 SUPERIOR INDUSTRIES
INTERNATIONAL, INC ......................... 2,749,562
237,653 T & N PLC ................................... 705,616
275,000 TAN CHONG MOTOR HOLDINGS BERHAD ............. 466,046
400,450 oTBC CORP .................................... 3,003,375
1,050,000 oTHAI ENGINE MANUFACTURING FR ................ 8,149,467
6,270,477 TOYOTA MOTOR CORP ........................... 179,887,130
122,000 TRANSPRO, INC ............................... 1,113,250
102,000 UMW HOLDINGS BERHAD ......................... 476,578
100,223 VALEO S.A ................................... 6,168,990
52,740 VOLKSWAGEN AG ............................... 21,902,272
143,000 VOLVO AB SERIES A ........................... 3,120,538
627,380 VOLVO AB SERIES B FREE ...................... 13,828,476
245,250 WABASH NATIONAL CORP ........................ 4,506,468
521,000 ZEXEL CORP .................................. 2,823,213
---------------
1,954,998,808
---------------
</TABLE>
See notes to financial statements.
-16-
<PAGE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
BANKS--8.95%
903,700 ABBEY NATIONAL PLC .......................... $ 11,830,738
584,233 ABN-AMRO HOLDINGS NV ........................ 37,962,680
72,616 ADVANCE BANK AUSTRALIA LTD .................. 403,752
284,207 ALLIED IRISH BANK ........................... 1,904,112
205,326 AMALGAMATED BANKS OF SOUTH AFRICA ........... 1,053,514
934,000 AMMB HOLDINGS BERHAD ........................ 7,840,344
410,225 AMSOUTH BANCORP ............................. 19,844,634
125,750 ANCHOR BANCORP WISCONSIN, INC ............... 4,495,562
143,000 ARGENTARIA S.A .............................. 6,387,421
3,740,540 ASAHI BANK LTD .............................. 33,191,494
1,504,000 ASHIKAGA BANK LTD ........................... 7,242,940
9,000 ASSA ABLOY AB SERIES B ...................... 163,444
72,000 ASSOCIATED BANC CORP ........................ 3,060,000
1,145,631 AUSTRALIAN & NEW ZEALAND BANKING
GROUP LTD .................................. 7,216,099
3,957,178 BANC ONE CORP ............................... 170,158,654
3,043,500 BANCA COMMERCIALE ITALIANA S.P.A ............ 5,527,239
115,000 BANCA POPOLARE DI BERGAMO ................... 1,891,750
750,000 BANCA POPOLARE DI MILANO .................... 3,799,950
1,240,000 BANCO AMBROSIANO VENETO S.P.A ............... 2,978,108
407,987 BANCO BILBAO VIZCAYA S.A. (REGD) ............ 21,987,594
72,973 BANCO CENTRALE
HISPANOAMERICANO S.A. ...................... 1,870,989
38,600 BANCO DE A. EDWARDS S.P.A. ADR .............. 692,387
174,048 BANCO DE GALICIA BUENOS AIRES S.A.
SERIES A ................................... 1,046,237
50,000 BANCO DE VALENCIA S.A. (REGD) ............... 974,454
102,665 oBANCO ESPANOL DE CREDITO S.A ................ 793,234
87,573 BANCO FRANCES DEL RIO
DE LA PLATA S.A. ........................... 818,971
20,000 BANCO INTERCONTINENTAL
ESPANOLA S.A. .............................. 3,095,188
98,300 BANCO LATINO AMERICANO DE
EXPORTACIONES S.A. (CLASS E)............... 4,988,725
41,000 oBANCO OHIGGINS ADR .......................... 950,687
10,625 BANCO POPULAR ESPANOLA S.A. (REGD) .......... 2,082,967
296,014 BANCO SANTANDER S.A ......................... 18,911,529
262,950 BANCORP HAWAII, INC ......................... 11,043,900
23,800 BANK AUSTRIA AG ............................. 1,756,535
12,383,664 BANK INTERNATIONAL INDONESIA (FR) ........... 12,179,023
2,780 oBANK OF AUSTRIA NEW ......................... 204,405
441,425 BANK OF AYUDHYA PUBLIC CO LTD (FR) .......... 1,032,987
440,994 BANK OF EAST ASIA LTD ....................... 1,961,232
381,699 BANK OF MELBOURNE LTD ....................... 2,592,219
343,400 BANK OF MONTREAL ............................ 10,923,057
3,301,236 BANK OF NEW YORK CO, INC .................... 111,416,715
302,711 BANK OF NOVA SCOTIA ......................... 10,125,698
7,000 BANK OF OKINAWA LTD ......................... 236,998
7,478,602 BANK OF TOKYO MITSUBISHI LTD ................ 138,520,535
562,586 BANK OF YOKOHAMA LTD ........................ 3,635,008
4,783,107 BANKAMERICA CORP ............................ 477,114,923
1,835,100 BANKBOSTON CORP ............................. 117,905,175
1,201,874 BANKERS TRUST NEW YORK CORP ................. 103,661,632
101,213 BANPONCE CORP NEW ........................... 3,415,938
200,715 BANQIE DE PARIBAS S.A ....................... 13,547,523
73,777 BANQUE NATIONALE DE PARIS ................... 2,849,583
2,713,800 BARCLAYS PLC ................................ 46,464,480
3,821,158 BARNETT BANKS, INC .......................... 157,145,122
570,680 BAYERISCHE HYPOTHEKEN-UND
WECHSEL-BANK ............................... 17,237,783
592,010 BAYERISCHE VEREINSBANK AG ................... 24,278,127
1,095,100 BOATMENS BANCSHARES, INC .................... 70,633,950
154,020 oCALIFORNIA FEDERAL BANK
GOODWILL CERT .............................. 2,156,280
286,418 CANADIAN IMPERIAL BANK OF COMMERCE .......... 12,631,474
189,821 CAPITAL ONE FINANCIAL CORP .................. 6,833,556
132,700 CCB FINANCIAL CORP .......................... 9,056,775
448,725 CENTRAL FIDELITY BANKS, INC ................. 11,554,668
647,429 CHARTER ONE FINANCIAL, INC .................. 27,192,018
4,737,475 CHASE MANHATTAN CORP NEW .................... 422,819,643
1,335,045 CHIBA BANK LTD .............................. 9,086,116
86,100 CITFED BANCORP, INC ......................... 2,841,300
5,169,283 CITICORP CO ................................. 532,436,149
120,600 CITIZENS BANCORP MARYLAND ................... 7,477,200
255,400 CITY NATIONAL CORP .......................... 5,523,025
973,658 COMERICA, INC ............................... 50,995,337
2,954,000 COMMERCE ASSET HOLDINGS BERHAD .............. 22,223,707
325,666 oCOMMERCE ASSET HOLDINGS BERHAD
(TRUST RECEIPTS) 6/27/98 ................... 1,573,202
183,855 COMMERCE BANCORP, INC ....................... 6,067,215
9,136 COMMERCE BANCSHARES, INC .................... 422,540
134,000 oCOMMERZBANK AG .............................. 3,399,778
62,587 COMPAGNIE DE SUEZ S.A ....................... 2,655,744
415,000 COMPASS BANCSHARES, INC ..................... 16,496,250
2,509,898 CORESTATES FINANCIAL CORP ................... 130,200,958
215,401 CREDIT COMMERCIAL DE FRANCE S.A ............. 9,943,875
12,000 oCREDIT COMMUNAL HOLDINGS DEXIA .............. 1,093,684
8,264 CREDIT NATIONAL S.A ......................... 474,971
6,500 CREDITANSTALT-BANKVEREIN (VORZUG) ........... 299,828
11,000 CREDITANSTALT-BAVKVEREIN (STAMM) ............ 743,852
3,144,000 CREDITO ITALIANO S.P.A ...................... 3,446,540
523,604 CRESTAR FINANCIAL CORP ...................... 38,943,047
232,856 CS HOLDINGS (REGD) .......................... 23,843,997
334,400 CULLEN FROST BANKERS, INC ................... 11,118,800
199 DAI-ICHI KANGO BANK LTD ..................... 2,863
11,700 DAUPHIN DEPOSIT CORP ........................ 386,100
2,609,000 DCB HOLDINGS BERHAD ......................... 8,935,988
78,000 oDCB HOLDINGS BERHAD WTS 12/28/99 ............ 117,362
89,289 DEN DANSKE BANK AF 1871 ..................... 7,189,856
31,200 DEPOSIT GUARANTY CORP ....................... 967,200
755,700 DEUTSCHE BANK AG ............................ 35,257,164
256,250 DEVELOPMENT BANK OF
SINGAPORE LTD (FR) ......................... 3,462,340
</TABLE>
See notes to financial statements.
-17-
<PAGE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
BANKS--(CONTINUED)
357,300 oDIME BANCORP, INC ........................... $ 5,270,175
775,240 DRESDNER BANK AG ............................ 23,190,289
519,675 FIFTH THIRD BANCORP ......................... 32,642,085
89,500 FIRST AMERICAN CORP ......................... 5,157,437
1,210,738 FIRST BANK SYSTEM, INC ...................... 82,632,868
3,181,013 FIRST CHICAGO NBD CORP ...................... 170,979,448
432,686 FIRST COMMERCE CORP ......................... 16,820,668
164,400 FIRST HAWAIIAN, INC ......................... 5,754,000
180,000 FIRST MIDWEST BANCORP, INC .................. 5,872,500
145,000 FIRST NATIONAL BANK HOLDINGS LTD ............ 709,886
379,814 FIRST OF AMERICA BANK CORP .................. 22,836,316
1,143,575 FIRST SECURITY CORP ......................... 38,595,656
1,114,000 FIRST TENNESSEE NATIONAL CORP ............... 41,775,000
2,938,477 FIRST UNION CORP ............................ 217,447,298
468,150 FIRST VIRGINIA BANKS, INC ................... 22,412,681
545,800 FIRSTAR CORP NEW ............................ 28,654,500
234,300 FIRSTMERIT CORP ............................. 8,317,650
5,125,040 FLEET FINANCIAL GROUP, INC NEW .............. 255,611,370
131,000 FORT WAYNE NATIONAL CORP .................... 4,978,000
4,492,882 FUJI BANK LTD ............................... 65,413,441
2,520 GENERALE DE BANQUE S.A. NPV
STRIP VVPR ................................. 1,428
25,651 GENERALE DE BANQUE S.A ...................... 9,185,821
141,000 oGRUPO FINANCIERO BANAMEX
ACCIVAL S.A. DE CV SERIES B ................ 297,691
159,506 oGRUPO FINANCIERO BANAMEX
ACCIVAL S.A. DE CV SERIES L ................ 314,069
462,000 oGRUPO FINANCIERO BANCOMER S.A.
SERIES B ................................... 184,871
3,200,000 oGRUPO FINANCIERO
PROBURSA S.A. DE CV ........................ 162,602
814,000 GUNMA BANK LTD .............................. 7,082,736
2,550,319 HANG SENG BANK LTD .......................... 30,992,772
479,335 HIBERNIA CORP (CLASS A) ..................... 6,351,188
167,800 HIGO FAMILY BANK LTD ........................ 1,117,446
147,000 HOKKAIDO BANK LTD ........................... 312,802
1,005,205 HOKURIKU BANK LTD ........................... 4,918,789
209,120 oHOUSING & COMMERCIAL BANK, KOREA ............ 2,919,189
6,357,709 HSBC HOLDINGS LTD ........................... 136,030,628
712,804 HSBC HOLDINGS LTD (HONG KONG) ............... 15,516,129
1,569,332 HSBC HOLDINGS LTD (UNITED KINGDOM) .......... 35,073,907
1,173,135 HUNTINGTON BANCSHARES, INC .................. 30,941,435
545,738 oIMPERIAL BANCORP ............................ 13,097,712
450,500 oIMPERIAL CREDIT INDUSTRIES, INC ............. 9,460,500
3,994,160 INDUSTRIAL BANK OF JAPAN LTD ................ 69,163,473
1,269,000 INSTITUTO BANCARIO SAN
PAOLO DI TURINO ............................ 7,765,518
14,900 oINVESTEC BANK LTD ........................... 364,734
2,120,000 ISTITUTO MOBILIARE ITALIANO S.P.A ........... 18,134,480
2,000,305 JOYO BANK ................................... 12,028,374
2,364,919 KEYCORP NEW ................................. 119,428,409
336,911 KOOKMIN BANK ................................ 4,663,218
20,869 KREDIETBANK NV .............................. 6,832,777
6,563,294 LLOYDS TSB GROUP PLC ........................ 48,352,748
411,800 LONG ISLAND BANCORP, INC .................... 14,413,000
592,000 MAGNA GROUP, INC ............................ 17,464,000
448,500 MALAYAN BANKING BERHAD ...................... 4,972,478
1,725,000 MALAYSIAN INDUSTRIAL
DEVELOPMENT FINANCE ........................ 3,210,253
1,270,400 oMALAYSIAN INDUSTRIAL
DEVELOPMENT FINANCE WTS 11/07/99 ........... 1,363,208
658,920 MARSHALL & ILSLEY CORP ...................... 22,815,105
898,800 MEDIOBANCA S.P.A ............................ 4,840,694
1,568,068 MELLON BANK CORP ............................ 111,332,828
482,675 MERCANTILE BANCORP, INC ..................... 24,797,428
168,393 MERCANTILE BANKSHARES CORP .................. 5,388,576
464,665 oMERITA LTD .................................. 1,441,682
8,800 MICHINOKU BANK LTD .......................... 61,028
2,491,200 MITSUBISHI TRUST & BANKING CORP ............. 33,265,616
1,847,700 MITSUI TRUST & BANKING CO LTD ............... 14,405,731
1,514,543 MORGAN (J.P.) & CO, INC ..................... 147,857,260
3,886,146 NATIONAL AUSTRALIA BANK LTD ................. 45,684,133
213,000 NATIONAL BANK OF CANADA ..................... 2,152,220
1,205,419 NATIONAL CITY CORP .......................... 54,093,177
3,308,532 NATIONSBANK CORP ............................ 323,409,003
73,698 NEDCOR LTD .................................. 1,008,372
51,000 oNORDBANKEN AB ............................... 1,542,401
320,500 NORTH FORK BANCORP, INC ..................... 11,417,812
1,638,100 NORTHERN TRUST CORP ......................... 59,381,125
3,114,718 NORWEST CORP ................................ 135,490,233
464,125 OLD KENT FINANCIAL CORP ..................... 22,161,968
18,600 ONBANCORP, INC .............................. 690,525
1,950,320 OVERSEAS-CHINESE
BANKING CORP LTD (FR) ...................... 24,260,469
43,400 oPEOPLES BANK OF BRIDGEPORT CO ............... 1,253,175
379,610 PEOPLES HERITAGE FINANCIAL
GROUP, INC ................................. 10,629,080
295,000 PHILIPPINE COMMERCIAL
INTERNATIONAL BANK ......................... 3,869,790
190,000 oPHILIPPINE NATIONAL BANK .................... 2,257,615
3,440,264 PNC BANK CORP ............................... 129,439,933
103,110 PROVIDENT BANKSHARES CORP ................... 4,021,290
5,000,000 PT BANK DAGANG NASIONAL
INDONESIA (FR) ............................. 5,076,000
480,354 PUBLIC BANK BERHAD (FR) ..................... 1,017,577
250,600 RCSB FINANCIAL, INC ......................... 7,267,400
631,852 REGIONS FINANCIAL CORP ...................... 32,658,850
359,975 REPUBLIC BANCORP, INC ....................... 4,184,709
489,925 REPUBLIC NEW YORK CORP ...................... 39,990,128
51,800 oRIGGS NATIONAL CORP ......................... 893,550
446,160 ROYAL BANK OF CANADA ........................ 15,656,444
343,854 ROYAL BANK OF SCOTLAND PLC .................. 3,315,844
5,770,300 SAKURA BANK LTD ............................. 41,160,819
850 SANWA BANK LTD .............................. 11,569
158,000 SEVENTY-SEVEN (77) BANK LTD ................. 1,293,111
1,327,660 SHIZUOKA BANK LTD ........................... 14,068,482
1,200,067 SIGNET BANKING CORP ......................... 36,902,060
794,000 SKANDINAVISKA ENSKILDA BANKEN
SERIES A ................................... 8,140,024
88,000 SKANDINAVISKA ENSKILDA BANKEN
SERIES C FREE .............................. 844,172
113,020 SOCIETE GENERALE S.A ........................ 12,195,928
1,105,848 SOUTHERN NATIONAL CORP ...................... 40,086,990
879,430 SOUTHTRUST CORP ............................. 30,670,121
278,320 SOVEREIGN BANCORP, INC ...................... 3,652,950
432,500 ST. PAUL BANCORP, INC ....................... 12,704,687
50,000 STADSHYPOTEK AB SERIES A .................... 1,369,363
6,600 STANDARD BANK INVESTMENT CORP LTD ........... 259,625
1,434,735 STANDARD CHARTERED PLC ...................... 17,653,333
134,300 STANDARD FEDERAL BANCORP .................... 7,638,312
92,400 STAR BANC CORP .............................. 8,489,250
702,900 STATE STREET BOSTON CORP .................... 45,337,050
5,638,895 SUMITOMO BANK LTD ........................... 81,127,064
1 SUMITOMO TRUST & BANKING CO LTD ............. 9
839,321 SUMMIT BANCORP .............................. 36,720,293
1,844,880 SUNTRUST BANKS, INC ......................... 90,860,340
174,200 SVENSKA HANDELSBANKEN SERIES A .............. 5,000,476
209,500 SVENSKA HANDELSBANKEN SERIES B FREE ......... 5,768,316
97,081 SWISS BANK CORP (REGD) ...................... 18,399,709
3,730 oSWISS BANK CORP (REGD) WTS 6/30/00 .......... 10,277
96,550 SYNOVUS FINANCIAL CORP ...................... 3,101,668
3,505,038 TOKAI BANK LTD .............................. 36,537,041
1,127,617 U.S. BANCORP ................................ 50,672,288
33,800 U.S. TRUST CORP NEW ......................... 2,670,200
85,500 UNI BANKDANMARK AS (CLASS A) ................ 4,420,736
28,046 UNION BANK OF SWITZERLAND (BR) .............. 24,499,537
4,545 UNION BANK OF SWITZERLAND (REGD) ............ 797,101
589,124 UNION PLANTERS CORP ......................... 22,975,836
406,890 UNITED OVERSEAS BANK LTD (FR) ............... 4,537,803
2,000,000 oUNITED OVERSEAS BANK LTD (FR)
WTS 6/17/97 ................................ 7,063,192
288,000 UST CORP .................................... 5,940,000
1,381,080 WACHOVIA CORP NEW ........................... 78,031,020
1,271,853 WASHINGTON FEDERAL, INC ..................... 33,704,104
1,055,500 WASHINGTON MUTUAL, INC ...................... 45,716,343
862,681 WELLS FARGO & CO ............................ 232,708,199
100,000 WESTAMERICA BANCORP ......................... 5,775,000
5,077,409 WESTPAC BANKING CORP ........................ 28,876,179
75,100 WILMINGTON TRUST CORP ....................... 2,966,450
108,585 WING LUNG BANK LTD .......................... 736,999
301,000 YAMAGUCHI BANK LTD .......................... 4,408,295
1,693,342 YASUDA TRUST & BANKING CO LTD ............... 7,162,777
83,800 ZIONS BANCORP ............................... 8,715,200
---------------
7,283,517,069
---------------
</TABLE>
See notes to financial statements.
-18-
<PAGE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
BEVERAGES--2.56%
3,973,244 ANHEUSER BUSCH COS, INC ..................... 158,929,760
821,080 ARTHUR GUINESS & SONS PLC ................... 6,428,397
170,400 ASAHI BREWERIES LTD ......................... 1,761,595
1,463,600 BASS LTD .................................... 20,563,247
1,880 oBRAU UND BRUNNEN AG ......................... 127,602
430,700 BROWN FORMAN, INC (CLASS B) ................. 19,704,525
63,449 CARLSBERG BREWERIES AS (CLASS A) ............ 4,280,913
23,581 CARLSBERG BREWERIES AS (CLASS B) ............ 1,591,013
400,000 CARLSBERG BREWERIES MALAYSIA
BERHAD ..................................... 2,961,788
3,020 oCHO SUN BREWERY CO LTD ...................... 76,812
63,500 CHRISTIAN DIOR S.A .......................... 10,223,412
277,600 COCA COLA BOTTLING CO CONSOLIDATED .......... 13,533,000
21,379,898 COCA COLA CO ................................ 1,125,117,132
672,400 COCA COLA ENTERPRISES, INC .................. 32,611,400
152,923 COCA-COLA AMATIL LTD ........................ 1,633,727
87,800 COMPANIA CERVECERIAS
UNIDAS S.A. ADR ............................ 1,415,775
194,400 COORS (ADOLPH) CO (CLASS B) ................. 3,693,600
52,000 oCOTT CORP ................................... 373,677
100,000 DELTA CORP................................... 351,120
46,700 oEL AGUILA S.A ............................... 223,675
152,000 FOMENTO ECONOMICO
MEXICANO S.A. DE CV SERIES B ............... 521,343
5,877,396 FOSTERS BREWING GROUP LTD ................... 11,904,459
108,000 FRASER & NEAVE LTD .......................... 1,111,809
1,898,353 GRAND METROPOLITAN PLC ...................... 14,911,310
237,500 GRUPO MODELO S.A. SERIES C .................. 1,378,784
1,000,000 GUINESS ANCHOR BERHAD ....................... 2,454,958
106,053 HEINEKEN NV ................................. 18,748,430
76,666 HERMES INTERNATIONAL S.A .................... 21,235,476
884,175 KIRIN BREWERY CO LTD ........................ 8,683,571
1,849,930 LION NATHAN LTD ............................. 4,431,274
148,001 LVMH MOET HENNESSY LOUIS VUITTON ............ 41,250,549
64,000 MOLSON CO LTD (CLASS A) ..................... 1,003,866
1,000 MOLSON CO LTD (CLASS B) ..................... 15,503
17,835,986 PEPSICO, INC ................................ 521,702,590
19,680 PERNOD-RICARD S.A ........................... 1,086,434
143,500 SAPPORO BREWERIES LTD ....................... 1,186,802
238,857 SCOTTISH & NEWCASTLE PLC .................... 2,806,109
222,400 SEAGRAMS CO LTD ............................. 8,802,214
241,400 SEAGRAMS CO LTD (U.S.) ...................... 9,354,250
92,002 SOUTH AFRICAN BREWERIES LTD ................. 2,330,563
51,000 VINA CONCHA Y TORO S.A. ADR ................. 1,198,500
---------------
2,081,720,964
---------------
BROADCASTERS--0.73%
130,600 oAMERICAN RADIO SYSTEMS CORP ................. 3,558,850
230 ~oANTENA 3 DE TELEVISION GDR .................. 6,012,016
222,850 oASSOCIATED GROUP, INC (CLASS A) ............. 6,852,637
303,050 oASSOCIATED GROUP, INC (CLASS B) ............. 9,015,737
36,200 AUDIOFINA.................................... 1,709,472
178,800 oBELL CABLEMEDIA PLC ADR ..................... 2,771,400
88,400 oBHC COMMUNICATIONS, INC (CLASS A) ........... 8,961,550
700,000 BRITISH SKY BROADCASTING GROUP PLC .......... 6,253,090
60,390 CANAL PLUS S.A .............................. 13,312,093
232,750 CARLTON COMMUNICATIONS PLC .................. 2,049,279
453,400 oCLEAR CHANNEL COMMUNICATIONS, INC ........... 16,379,075
707,800 COMCAST CORP (CLASS A) ...................... 12,474,975
2,021,835 COMCAST CORP (CLASS A) SPL .................. 36,013,935
36,338 oDATA BROADCASTING CORP ...................... 254,366
212,250 oEVERGREEN MEDIA CORP (CLASS A) .............. 5,306,250
581,005 GAYLORD ENTERTAINMENT CO .................... 13,290,489
213,000 oGENERAL CABLE PLC ADR ....................... 3,514,500
82,000 oGRUPO TELEVISA S.A. DE CV (PT CERT) ......... 1,052,087
615,900 HARTE-HANKS COMMUNICATIONS, INC ............. 17,091,225
683,414 oHERITAGE MEDIA CORP (CLASS A) NEW ........... 7,688,407
788,400 oINFINITY BROADCASTING CORP (CLASS A) ........ 26,509,950
214,700 oJACOR COMMUNICATIONS, INC
WTS 9/18/01 ................................ 429,400
120,000 oKATZ MEDIA GROUP, INC ....................... 1,350,000
291,700 oKING WORLD PRODUCTIONS, INC ................. 10,756,437
1,312,699 oLIBERTY MEDIA GROUP (CLASS A) ............... 37,493,965
254,469 oLIN TELEVISION CORP ......................... 10,751,315
1,875,454 oMEDIASET S.P.A .............................. 8,638,341
31,700 oNASIONALE PERS BEPERK SERIES N .............. 293,110
500 NIPPON TELEVISION NETWORK CORP .............. 150,762
32,000 NRJ S.A ..................................... 4,050,163
271,700 oROGERS COMMUNICATIONS, INC
(CLASS B) ................................... 2,002,020
550,000 SCOTTISH TELEVISION PLC ..................... 6,334,376
524,565 SCRIPPS (E.W.) CO (CLASS A) ................. 18,359,775
148,800 TCA CABLE TV, INC ........................... 4,482,600
578,749 oTCI SATELLITE ENTERTAINMENT (CLASS A) ....... 5,715,146
47,800 oTELE METROPOLE, INC (CLASS B) ............... 624,220
6,047,497 oTELE-COMMUNICATIONS, INC
(CLASS A) NEW............................... 78,995,429
170,000 TELEVISION BROADCASTS LTD ................... 679,118
71,870 TELEVISION FRANCAISE (TFI) .................. 6,856,871
1,147,350 TOKYO BROADCASTING SYSTEMS, INC ............. 17,495,423
342,400 UNITED TELEVISION, INC ...................... 29,489,200
469,487 oVIACOM, INC (CLASS A) ....................... 16,197,301
3,630,848 oVIACOM, INC (CLASS B) ....................... 126,625,824
246,144 oVIACOM, INC (CLASS B) WTS 7/07/97 ........... 7,692
147,686 oVIACOM, INC (CLASS B) WTS 7/07/99 ........... 369,215
221,800 oWESTWOOD ONE, INC ........................... 3,687,425
---------------
591,906,511
---------------
</TABLE>
See notes to financial statements.
-19-
<PAGE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
BUSINESS SERVICES--1.42%
554,215 oACCUSTAFF, INC .............................. $11,707,791
575,479 oACNEILSEN CORP .............................. 8,704,119
2,544 oADECCO S.A .................................. 642,508
17,644 ADECCO S.A. (BR) ............................ 4,414,944
236,100 ADECCO S.A. ADR ............................. 7,363,368
470,330 ADVO, INC ................................... 6,584,620
16,150,000 AEGIS GROUP PLC ............................. 16,858,871
136,200 oAFFILIATED COMPUTER
SERVICES, INC (CLASS A)..................... 4,051,950
19,655 AGENCE HAVAS S.A ............................ 1,376,167
90,900 oALLIANCE SEMICONDUCTOR CORP ................. 647,662
525,100 oALLWASTE, INC ............................... 2,691,137
122,000 oALTERNATIVE RESOURCES CORP .................. 2,119,750
692,600 oAMERICA ONLINE, INC ......................... 23,028,950
514,430 AMERICAN BUSINESS PRODUCTS, INC.............. 12,925,053
474,775 oAPOLLO GROUP, INC (CLASS A) ................. 15,875,289
78,800 oASPEN TECHNOLOGY, INC ....................... 6,323,700
315,100 AUTODESK, INC ............................... 8,822,800
45,455 B.I.S. S.A .................................. 4,660,210
299,100 BANTA CORP .................................. 6,841,912
739,300 BLOCK (H&R), INC ............................ 21,439,700
790,500 oBOSTON LIFE SCIENCES, INC ................... 543,468
126,100 oCABLEVISION SYSTEMS CORP (CLASS A) .......... 3,861,812
585,000 oCALGENE, INC ................................ 2,925,000
360,300 oCATALINA MARKETING CORP ..................... 19,861,537
508,400 oCHECKPOINT SYSTEMS, INC ..................... 12,582,900
114,778 CHUBB SECURITY PLC .......................... 641,309
99,300 oCIBER, INC .................................. 2,979,000
326,900 CINTAS CORP ................................. 19,205,375
1,723,739 COGNIZANT CORP .............................. 56,883,387
123,300 oCOMPUTER HORIZONS CORP ...................... 4,747,050
681,500 oCOMPUTERVISION CORP ......................... 6,303,875
155,950 oCORESTAFF, INC .............................. 3,694,065
395,800 oCORPORATE EXPRESS, INC ...................... 11,651,362
625,400 oCORRECTIONS CORP OF AMERICA ................. 19,152,875
286,000 oCREDENCE SYSTEMS CORP ....................... 5,755,750
161,300 CROSS (A.T.) CO (CLASS A) ................... 1,875,112
788,500 DELUXE CORP ................................. 25,823,375
27,000 oDEVRY, INC .................................. 634,500
102,100 oDIALOGIC CORP ............................... 3,216,150
436,475 DIEBOLD, INC ................................ 27,443,365
217,200 oDOUBLETREE CORP ............................. 9,774,000
173,961 ELECTROCOMPONENTS PLC ....................... 1,375,371
13,300 oENCAD, INC .................................. 548,625
438,550 ENNIS BUSINESS FORMS, INC ................... 4,933,687
28,000 ESSELTE AB SERIES B FREE .................... 619,215
345,800 FIRST INDUSTRIAL REALTY TRUST, INC .......... 10,503,675
8,400 FLUGHAFEN WIEN AG ........................... 427,767
488,800 oFORE SYSTEMS, INC ........................... 16,069,300
261,300 oFRANKLIN QUEST CO ........................... 5,487,300
57,900 oFRITZ COS, INC .............................. 738,225
184,000 oGATEWAY 2000, INC ........................... 9,855,500
622,040 GETRONICS NV ................................ 16,865,360
41,523 GUILBERT S.A ................................ 8,106,837
124,200 HARLAND (JOHN H.) CO ........................ 4,098,600
34,000 oHCIA, INC ................................... 1,173,000
258,500 HENDERSON INVESTMENT LTD .................... 309,129
169,400 HUNT MANUFACTURING CO ....................... 3,070,375
259,900 oINFORMATION RESOURCES, INC .................. 3,638,600
103,300 oINSO CORP ................................... 4,106,175
234,300 oINTERIM SERVICES, INC ....................... 8,317,650
1,165,600 INTERPUBLIC GROUP OF COS, INC ............... 55,366,000
10,800 INTERNATIONAL SERVICE
SYSTEM AS SERIES B.......................... 283,781
66,200 oITRON, INC .................................. 1,175,050
80,000 oKCI KONESCRANES INTERNATIONAL ............... 2,516,817
379,193 KELLY SERVICES, INC (CLASS A) ............... 10,238,211
90,000 KOKUSAI KOGYO CO ............................ 922,666
213,400 LIBERTY PROPERTY TRUST CO ................... 5,495,050
304,300 MACNEAL-SCHWENDLER CORP ..................... 2,396,362
221,600 oMAIL BOXES ETC .............................. 4,986,000
907,300 MANPOWER, INC ............................... 29,487,250
332,350 oMCAFEE ASSOCIATES, INC ...................... 14,623,400
45,000 oMERCURY INTERACTIVE CORP .................... 585,000
501,200 oMERISEL, INC ................................ 830,112
228,100 oMICRO WAREHOUSE, INC ........................ 2,680,175
1,307,880 MISYS PLC ................................... 24,989,224
125,908 MOORE CORP LTD .............................. 2,608,729
39,654 MOORE CORP LTD (U.S.) ....................... 807,950
118,200 oNASHUA CORP ................................. 1,418,400
52,470 oNATIONAL AUTO CREDIT, INC ................... 629,640
367,700 oNATIONAL EDUCATION CORP ..................... 5,607,425
444,849 NATIONAL SERVICE INDUSTRIES, INC ............ 16,626,231
93,800 NEW ENGLAND BUSINESS SERVICES, INC .......... 2,016,700
63,600 NIPPON KANZAI CO LTD ........................ 1,643,742
254,800 oNU KOTE HOLDING, INC (CLASS A) .............. 2,611,700
1,283,398 oOFFICE DEPOT, INC ........................... 22,780,314
500 oOIS OPTICAL IMAGING SYSTEMS, INC ............ 781
574,394 OLSTEN CORP ................................. 8,687,709
828,400 OMNICOM GROUP, INC .......................... 37,899,300
86,600 oOPTICAL DATA SYSTEMS, INC ................... 1,039,200
578,318 PAYCHEX, INC ................................ 29,747,232
332,400 PHH CORP .................................... 14,293,200
523,700 PITTSTON BRINKS GROUP CO .................... 14,139,900
170,000 oPRICER AB SERIES B .......................... 4,182,783
415,380 PROSEGUR COMPANIA DE SEGURIDAD S.A .......... 3,832,129
344,771 oPURE ATRIA CORP ............................. 8,533,082
212,900 oQUARTERDECK CORP ............................ 878,212
109,600 oREMEDY CORP ................................. 5,891,000
3,742,400 REUTERS HOLDINGS PLC ........................ 48,128,833
544,600 oROBERT HALF INTERNATIONAL, INC .............. 18,720,625
436,350 ROLLINS, INC ................................ 8,727,000
85,000 SAP AG ...................................... 11,555,055
28,000 SCRIBONA AB SERIES B FREE ................... 313,708
133,727 SECOM CO LTD ................................ 8,075,927
159,000 SECURITAS AB SERIES B FREE .................. 4,622,371
473,950 SENSORMATIC ELECTRONICS CORP ................ 7,938,662
1,556,500 SERVICE CORP INTERNATIONAL .................. 43,582,000
26,057 SLIGOS S.A .................................. 3,408,238
2,698 SOCIETE GENERAL DE SURVEILLANCE (BR) ........ 6,610,385
1,282 SOPHUS BERENDSEN AS (CLASS A) ............... 165,169
55,165 SOPHUS BERENDSEN AS (CLASS B) ............... 7,088,616
217,200 STANDARD REGISTER, INC ...................... 7,059,000
515,000 oSUNGARD DATA SYSTEMS, INC ................... 20,342,500
48,350 oSYLVAN LEARNING SYSTEMS, INC ................ 1,377,975
96,400 oTHERMOLASE CORP ............................. 1,518,300
68,800 TOKYO DOME CORP ............................. 1,197,278
122,300 TOKYO TOKEIBA CO LTD ........................ 395,105
70,000 TOTAL SYSTEM SERVICES, INC .................. 1,881,250
253,500 oTRACOR, INC ................................. 5,386,875
294,800 TRUE NORTH COMMUNICATIONS, INC .............. 6,448,750
319,900 oTSENG LABORATORIES, INC ..................... 999,687
352,200 UNIFIRST CORP ............................... 7,484,250
254,700 oUNION CORP .................................. 5,826,262
36,248 oUNITED STATIONERS, INC ...................... 706,836
140,300 VALSPAR CORP ................................ 7,944,487
228,800 oVERIFONE, INC ............................... 6,749,600
278,100 oVOLT INFORMATION SCIENCES, INC .............. 12,166,875
90,400 WACKENHUT CORP SERIES A ..................... 1,559,400
348,206 WACKENHUT CORP SERIES B ..................... 5,310,141
71,000 oWACKENHUT CORRECTIONS CORP .................. 1,420,000
171,100 WALLACE COMPUTER SERVICES, INC .............. 5,902,950
68,000 oWIND RIVER SYSTEMS, INC ..................... 3,221,500
39,800 oWONDERWARE CORP ............................. 353,847
7,000,000 WPP GROUP PLC ................................ 30,426,914
---------------
1,153,946,987
---------------
</TABLE>
See notes to financial statements.
-20-
<PAGE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
CHEMICALS--MAJOR--2.08%
56,900 AECI LTD .................................... $ 316,279
31,000 AGA AB SERIES A FREE ........................ 467,634
43,500 AGA AB SERIES B FREE ........................ 649,825
940,100 AIR PRODUCTS & CHEMICALS, INC ............... 64,984,412
119,017 AKZO NOBEL NV ............................... 16,237,735
142,700 ARCADIAN CORP ............................... 3,781,550
93,500 ARCO CHEMICAL CO ............................ 4,581,500
1,216,600 BASF AG ..................................... 46,797,761
1,261,950 BAYER AG .................................... 51,424,593
1,320,232 BOC GROUP PLC ............................... 19,735,099
314,900 oCHEMFIRST, INC (W/I) ........................ 7,282,062
159,000 COURTAULDS PLC .............................. 1,070,700
21,771 DEGUSSA AG .................................. 9,839,399
2,347,000 DOW CHEMICAL CO ............................. 183,946,125
4,608,461 DU PONT (E.I.) DE NEMOURS & CO .............. 434,923,506
12,000 DU PONT CANADA, INC (CLASS A) ............... 279,711
11,000 DYNO INDUSTRIER AS .......................... 279,073
935,948 EASTMAN CHEMICAL CO ......................... 51,711,127
126,962 ENGLISH CHINA CLAYS PLC ..................... 418,244
65,600 xoERCROS S.A .................................. 40,346
445,700 GOODRICH (B.F.) CO .......................... 18,050,850
724,700 HERCULES, INC ............................... 31,343,275
217,000 HOECHST AG .................................. 10,236,776
706,000 ICI AUSTRALIA LTD ........................... 7,654,589
295,342 IMPERIAL CHEMICAL INDUSTRY PLC .............. 3,884,143
28,760 ~L'AIR LIQUIDE S.A. (REGD) ................... 4,480,953
637,377 LILLY INDUSTRIES, INC (CLASS A) ............. 11,632,130
231,777 MISSISSIPPI CHEMICAL CORP ................... 5,562,648
4,466,433 MITSUBISHI CHEMICAL CORP .................... 14,429,370
2,299,500 MITSUBISHI GAS CHEMICAL CO, INC ............. 8,260,850
395,667 MITSUI TOATSU CHEMICALS, INC ................ 1,203,260
4,796,400 MONSANTO CO ................................. 186,460,050
8,808,000 oMONTEDISON S.P.A ............................ 5,992,716
343,000 NIPPON OIL & FATS CO LTD .................... 1,483,382
103,600 NIPPON SHOKUBAI KAGAK KOGYO CO LTD .......... 767,562
102,500 oOAK TECHNOLOGY, INC ......................... 1,153,125
460,800 OLIN CORP ................................... 17,337,600
3,230,400 PPG INDUSTRIES, INC ......................... 181,306,200
3,058,180 PRAXAIR, INC ................................ 141,058,552
96,300 oQUINTILES TRANSNATIONAL CORP ................ 6,379,875
200,000 RHODIA-STER S.A. GDR ........................ 562,500
130,743 RHONE-POULENC S.A. (CLASS A) ................ 4,448,801
424,100 ROHM & HAAS CO .............................. 34,617,162
187,984 SASOL LTD ................................... 2,230,484
3,636,000 oSHOWA DENKO K.K ............................. 8,332,221
20,000 oSK KAKEN CO LTD ............................. 399,736
13,045 SOLVAY ET CIE S.A ........................... 7,977,511
2,470,160 SUMITOMO CHEMICAL CO LTD .................... 9,767,716
420 TOSHIBA CHEMICAL CORP ....................... 2,243
395,000 UBE INDUSTRIES LTD .......................... 1,116,159
1,000 UCB S.A ..................................... 2,603,561
1,115,880 UNION CARBIDE CORP .......................... 45,611,595
299,000,00 WHITE MARTINS S.A ........................... 431,623
69,134,000 YIZHENZ CHEMICAL FIBER CO (CLASS H) ......... 16,803,029
25,000 ZENECA GROUP PLC ADR ........................ 2,100,000
---------------
1,694,448,928
---------------
CHEMICALS--SPECIALTY--1.16%
65,325 oAGRIUM INC .................................. 891,206
916,100 oAIRGAS, INC ................................. 20,154,200
337,390 ALBEMARLE CORP .............................. 6,115,193
207,000 ARONKASEI CO LTD ............................ 1,587,141
2,146,404 ASAHI CHEMICAL INDUSTRY CO LTD .............. 12,130,273
161,400 BETZDEARBORN, INC ........................... 9,441,900
163,200 CALGON CARBON CORP .......................... 1,999,200
273,000 CAMBREX CORP ................................ 8,940,750
219,600 CHEMED CORP ................................. 8,015,400
315,121 COMMERCIAL METALS CO ........................ 9,493,020
351,800 CROMPTON & KNOWLES CORP ..................... 6,772,150
468,057 oCYTEC INDUSTRIES, INC ....................... 19,014,815
293,000 DAICEL CHEMICAL INDUSTRIES LTD .............. 1,370,637
1,293,380 DAINIPPON INK & CHEMICAL, INC ............... 4,780,119
202,000 DENKI KAGKU KOGYO ........................... 495,965
170,000 DEXTER CORP ................................. 5,418,750
120,360 oECOGEN, INC ................................. 300,900
466,300 ECOLAB, INC ................................. 17,544,537
1,068,855 ENGELHARD CORP .............................. 20,441,851
931,500 ETHYL CORP .................................. 8,965,687
190,750 FERRO CORP .................................. 5,412,531
232,900 FOSTER WHEELER CORP ......................... 8,646,412
112,515 FULLER (H.B.) CO ............................ 5,288,205
220,500 GEON CO ..................................... 4,327,312
377,300 GEORGIA GULF CORP ........................... 10,139,937
837,300 GRACE (W.R.) & CO ........................... 43,330,275
654,700 GREAT LAKES CHEMICAL CORP ................... 30,607,225
250,346 ICN PHARMACEUTICALS, INC NEW ................ 4,913,040
1,960,420 IMC GLOBAL, INC ............................. 76,701,432
89,900 oINTERNATIONAL SPECIALTY
PRODUCTS, INC .............................. 1,101,275
211,000 KANEKA CORP ................................. 1,077,934
1,156,000 KANSAI PAINT CO LTD ......................... 5,178,648
55,000 oKEMIRA OY ................................... 692,124
110,000 KONISHI CO LTD .............................. 2,492,319
364,300 KUREHA CHEMICAL INDUSTRY CO LTD ............. 1,453,099
366,090 LAWTER INTERNATIONAL, INC ................... 4,621,886
120,237 LEARONAL, INC ............................... 2,765,451
172,900 LOCTITE CORP ................................ 10,525,287
397,700 LUBRIZOL CORP ............................... 12,328,700
346,000 LYONDELL PETROCHEMICAL CO ................... 7,612,000
4,114,950 +MALLINCKRODT, INC ........................... 181,572,168
76,450 oMCWHORTER TECHNOLOGIES, INC ................. 1,748,793
162,000 oMETHANEX CORP ............................... 1,471,437
2,250,000 oMORGAN CRUCIBLE CO PLC ...................... 16,749,348
1,867,100 MORTON INTERNATIONAL, INC ................... 76,084,325
562,400 oMYCOGEN CORP ................................ 12,091,600
479,800 NALCO CHEMICAL CORP ......................... 17,332,775
21,100 NCH CORP .................................... 1,271,275
2,377 NORIT NV .................................... 32,155
254,200 NOVA CORP ................................... 2,253,249
330,000 NOVA CORP (U.S.) ............................ 2,887,500
111,900 PENWEST LTD ................................. 1,958,250
117,800 PETROLITE CORP .............................. 5,654,400
46,000 POTASH CORP OF SASKATCHEWAN, INC ............ 3,916,391
400,000 POTASH CORP OF SASKATCHEWAN, INC (U.S.) ..... 34,000,000
522,500 RAYCHEM CORP ................................ 41,865,312
240,000 RIKEN VINYL INDUSTRY CO ..................... 1,701,634
586,906 RPM, INC .................................... 9,977,402
303,177 SCHULMAN (A.), INC .......................... 7,427,836
433,200 oSEALED AIR CORP ............................. 18,031,950
836,920 SEKISUI CHEMICAL CO LTD ..................... 8,435,776
327,663 SHIN-ETSU CHEMICAL CO LTD ................... 5,956,143
341,900 SIGMA ALDRICH CORP .......................... 21,347,381
315,000 oSKW TROSTBERG AG ............................ 8,545,939
266,400 THIOKOL CORP ................................ 11,921,400
352,000 oTOSOH CORP .................................. 1,203,894
306,995 TREDEGAR INDUSTRIES, INC .................... 12,318,174
123,300 WD-40 CO .................................... 6,290,227
260,100 WELLMAN, INC ................................ 4,454,212
456,200 WITCO CORP .................................. 13,914,100
380,052 ZERO CORP ................................... 7,601,040
---------------
943,104,872
---------------
</TABLE>
See notes to financial statements.
-21-
<PAGE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
COMMUNICATION EQUIPMENT &
SERVICES--2.79%
788,873 o360 COMMUNICATIONS CO ....................... $ 18,242,688
3,418,279 o3COM CORP ................................... 250,816,221
108,550 oACC CORP .................................... 3,283,637
5,000 oAIPHONE CO LTD .............................. 99,072
7,528,815 oAIRTOUCH COMMUNICATIONS, INC ................ 190,102,578
88,536 oALLEGRO NEW MEDIA, INC ...................... 343,077
162,500 ALLGON AB SERIES B FREE ..................... 3,914,951
13,125 ~oAMERICAN SATELLITE NETWORK
WTS 6/30/99................................. 0
447,900 oAMTECH CORP ................................. 2,960,341
557,412 oANDREW CORP ................................. 29,577,674
123,100 oANTEC CORP .................................. 1,107,900
73,800 oAPAC TELESERVICES, INC ...................... 2,832,075
248,700 oARCH COMMUNICATIONS GROUP, INC .............. 2,331,562
1,430,100 oASCEND COMMUNICATIONS, INC .................. 88,844,962
187,600 oAVID TECHNOLOGIES, INC ...................... 1,946,350
254,650 oAYDIN CORP .................................. 2,387,343
715,993 oBRINKER INTERNATIONAL, INC .................. 11,455,888
54,500 oBROADBAND TECHNOLOGIES, INC ................. 803,875
250,600 oCABLE DESIGN TECHNOLOGIES CO ................ 7,799,925
1,101,700 oCABLETRON SYSTEMS, INC ...................... 36,631,525
300,800 oCALIFORNIA MICROWAVE, INC ................... 4,474,400
647,800 oCASCADE COMMUNICATIONS CORP ................. 35,709,975
825,200 CELLNET DATA SYSTEMS, INC ................... 12,068,550
39,000 oCELLSTAR CORP ............................... 702,000
44,201 oCELLULAR COMMUNICATIONS
INTERNATIONAL, INC........................... 1,281,829
604,300 CENTURY TELEPHONE ENTERPRISES, INC .......... 18,657,762
22,100 oCHYRON CORP ................................. 63,537
53,400 oCIDCO, INC .................................. 934,500
7,224,300 oCISCO SYSTEMS, INC .......................... 459,646,087
200,000 oCOLT TELECOM GROUP PLC ADR .................. 3,850,000
283,600 oCOMPRESSION LABORATORIES, INC ............... 1,081,225
324,400 COMSAT CORP SERIES 1 ........................ 7,988,350
1,794,964 CORNING, INC ................................ 83,017,085
334,200 oDIGI INTERNATIONAL, INC ..................... 3,174,900
227,600 oDIGITAL MICROWAVE CORP ...................... 6,344,350
1,003,888 oDSC COMMUNICATIONS CORP ..................... 17,944,498
415,300 oDSP COMMUNICATIONS, INC ..................... 8,046,437
219,700 oDYNATECH CORP ............................... 9,721,725
1,843,350 ERICSSON TELEFON (LM) AB SERIES B ........... 56,963,599
430,000 oERICSSON TELEFON (LM) AB SERIES B ADR........ 12,980,625
319,200 oGENERAL DATACOMM INDUSTRIES, INC ............ 3,351,600
811,800 oGEOTEK COMMUNICATIONS, INC .................. 5,784,075
489,875 HARRIS CORP ................................. 33,617,671
9,600 oHIGHWAYMASTER COMMUNICATIONS, INC ........... 174,000
104,000 oICG COMMUNICATIONS, INC ..................... 1,833,000
96,900 oINTERDIGITAL COMMUNICATIONS CORP ............ 557,175
61,200 oINTERMEDIA COMMUNICATIONS, INC .............. 1,575,900
469,622 oINTERNATIONAL CABLETEL, INC ................. 11,857,955
72,000 oJACOR COMMUNICATIONS, INC ................... 1,971,000
144,200 KOREA MOBILE
TELECOMMUNICATIONS CORP ADR................. 1,856,575
580 oKOREA MOBILE
TELECOMMUNICATIONS CORP..................... 312,879
848,000 oLCI INTERNATIONAL, INC ...................... 18,232,000
41,600 oLG INFORMATION & COMMUNICATIONS ............. 2,657,491
4,201 oLG INFORMATION & COMMUNICATIONS NEW ......... 297,690
820,800 oLORAL SPACE & COMMUNICATIONS LTD ............ 15,082,200
5,041,218 LUCENT TECHNOLOGIES, INC .................... 233,156,332
250,000 FILMES LUSOMUNDO (NON-VTG) .................. 2,280,114
375,600 oMACROMEDIA, INC ............................. 6,760,800
52,900 oMASTEC, INC ................................. 2,803,700
3,341,711 oMFS COMMUNICATIONS CO, INC .................. 182,123,249
110,724 oMILLICOM INTERNATIONAL CELLULAR S.A ......... 3,557,008
488,800 oMITEL CORP .................................. 3,055,000
63,750 NERA AS ..................................... 2,755,500
9,500 oNETCOM ON-LINE
COMMUNICATION SERVICE, INC ................. 123,500
195,800 oNETWORK EQUIPMENT
TECHNOLOGIES, INC............................ 3,230,700
406,800 oNEW WORLD COMMUNICATIONS
GROUP, INC.................................. 10,271,700
207,800 oNEWBRIDGE NETWORKS CORP ..................... 5,889,711
288,000 NOKIA AB SERIES K ........................... 16,621,407
119,700 NORTHERN
TELECOMMUNICATIONS LTD ..................... 7,440,312
217,409 NORTHERN
TELECOMMUNICATIONS LTD (U.S.)............... 13,452,181
2,744,400 oNOVELL, INC ................................. 25,986,037
538,120 oOCTEL COMMUNICATIONS CORP ................... 9,417,100
1,025,000 oOMNIPOINT CORP .............................. 19,731,250
393,900 oOY NOKIA AB SERIES A ........................ 22,818,701
172,700 oP-COM, INC .................................. 5,116,237
819,400 oPAGING NETWORK, INC ......................... 12,495,850
535,800 oPAIRGAIN TECHNOLOGIES, INC .................. 16,308,412
601,200 oPANAMSAT CORP ............................... 16,833,600
73,312 oPHARMACEUTICAL PRODUCT
DEVELOPMENT, INC............................ 1,851,128
275,500 oPICTURETEL CORP NEW ......................... 7,163,000
254,600 oPMT SERVICES, INC ........................... 4,455,500
4,000 oPREMIERE TECHNOLOGIES, INC .................. 100,000
238,800 oPREMISYS COMMUNICATIONS, INC ................ 8,059,500
336,300 oQUALCOMM, INC ............................... 13,409,962
25,100 oRENAISSANCE COMMUNICATIONS CORP ............. 897,325
31,191 SAMSUNG ELECTRONICS CO ....................... 1,678,902
15,962 oSAMSUNG ELECTRONICS CO NEW .................. 819,524
850,400 SCIENTIFIC-ATLANTA, INC ..................... 12,756,000
89,000 SIRTI S.P.A ................................. 538,770
196,600 oSITEL CORP .................................. 2,776,975
533,900 oTECH DATA CORP .............................. 14,615,512
123,500 oTEL-SAVE HOLDINGS, INC ...................... 3,581,500
244,500 oTELCO SYSTEMS, INC .......................... 4,645,500
84,300 oTELE-COMMUNICATIONS
INTERNATIONAL (CLASS A) .................... 1,116,975
1,373,100 oTELLABS, INC ................................ 51,662,887
237,000 oVANGUARD CELLULAR SYSTEMS, INC .............. 3,732,750
750,300 oVIATEL, INC ................................. 6,752,700
86,600 oWESTELL TECHNOLOGIES, INC (CLASS A) ......... 1,980,975
278,400 oWINSTAR COMMUNICATIONS, INC ................. 5,846,400
---------------
2,269,964,475
---------------
</TABLE>
See notes to financial statements.
-22-
<PAGE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
COMPUTER SERVICE--3.08%
37,800 o3DO CO ...................................... $ 181,912
380,900 oACXIOM CORP ................................. 9,141,600
1,133,900 oADAPTEC, INC ................................ 45,356,000
970,700 oADC TELECOMMUNICATIONS, INC ................. 30,213,037
623,644 ADOBE SYSTEMS, INC .......................... 23,308,694
664,125 oAMERICAN MANAGEMENT SYSTEMS, INC ............ 16,271,062
238,000 oAMERICAN SOFTWARE, INC (CLASS A) ............ 1,517,250
171,500 oAUSPEX SYSTEMS, INC ......................... 1,993,687
2,734,700 AUTOMATIC DATA PROCESSING, INC .............. 117,250,262
81,900 oAVANT CORP .................................. 2,600,325
200,000 oBAAN CO NV .................................. 7,029,720
137,900 oBANYAN SYSTEMS, INC ......................... 620,550
1,749,438 oBAY NETWORKS, INC ........................... 36,519,518
203,600 oBBN CORP .................................... 4,581,000
55,400 oBDM INTERNATIONAL, INC ...................... 3,005,450
234,400 oBISYS GROUP, INC ............................ 8,687,450
863,600 oBMC SOFTWARE, INC ........................... 35,731,450
322,837 oBORLAND INTERNATIONAL, INC .................. 1,755,426
137,000 oBOSTON TECHNOLOGY, INC ...................... 3,938,750
178,500 oBRODERBUND SOFTWARE, INC .................... 5,310,375
297,800 oC-CUBE MICROSYSTEMS, INC .................... 10,999,987
751,137 oCADENCE DESIGN SYSTEMS, INC ................. 29,857,695
233,800 oCAMBRIDGE TECHNOLOGY PARTNERS, INC .......... 7,846,912
76,300 oCDW COMPUTER CENTERS, INC ................... 4,525,543
760,126 oCERIDIAN CORP ............................... 30,785,103
249,000 oCHECKFREE CORP .............................. 4,264,125
166,000 oCITRIX SYSTEMS, INC ......................... 6,484,375
76,200 oCLARIFY, INC ................................ 3,657,600
925,800 oCOMPUSA, INC ................................ 19,094,625
4,065,137 COMPUTER ASSOCIATES
INTERNATIONAL, INC .......................... 202,240,565
637,634 oCOMPUTER SCIENCES CORP ...................... 52,365,692
40,000 oCOMPUTRON SOFTWARE, INC ..................... 60,000
369,000 oCOMPUWARE CORP .............................. 18,496,125
58,000 CSK CORP .................................... 1,518,996
124,100 oCYRIX CORP .................................. 2,202,775
50,000 oDASSAULT SYSTEMS S.A ........................ 2,301,491
13,700 oDOCUMENTUM, INC ............................. 462,375
287,400 oDST SYSTEMS, INC ............................ 9,017,175
354,000 oELECTRONIC ARTS, INC ........................ 10,597,875
3,215,744 ELECTRONIC DATA SYSTEMS CORP ................ 139,080,928
2,112,500 oEMC CORP .................................... 69,976,562
172,000 oEMPLOYEE SOLUTIONS, INC ..................... 3,526,000
184,600 oEXABYTE CORP ................................ 2,469,025
2,705,368 FIRST DATA CORP ............................. 98,745,932
456,075 oFISERV, INC ................................. 16,760,756
139,900 oFORTE SOFTWARE, INC ......................... 4,581,725
201,000 oFRONTEC AB SERIES B ......................... 3,473,643
133,500 oFTP SOFTWARE, INC ........................... 801,000
35,488 oGROUP AXIME S.A ............................. 4,095,712
213,000 oGT INTERACTIVE SOFTWARE CORP ................ 1,517,625
960,728 HBO & CO .................................... 57,043,225
158,900 oHMT TECHNOLOGY CORP ......................... 2,385,983
186,200 oHNC SOFTWARE ................................ 5,818,750
26,000 oHYPERION SOFTWARE CORP ...................... 552,500
443,610 oIMATION CORP ................................ 12,476,531
3,000 INES CORP ................................... 43,678
1,568,400 oINFORMIX CORP ............................... 31,956,150
16,175 oINTEGRATED SYSTEMS
CONSULTING GROUP ........................... 222,406
152,900 oINTEGRATED SYSTEMS, INC ..................... 3,975,400
213,165 oINTERGRAPH CORP ............................. 2,184,941
500 oINTERSOLV, INC .............................. 4,625
285,300 oINTUIT, INC ................................. 8,986,950
96,100 oJTS CORP .................................... 318,331
1,402,200 oLEARNING CO, INC ............................ 20,156,625
101,800 oLEGATO SYSTEMS, INC ......................... 3,321,225
350,000 oLOXLEY PUBLIC CO LTD (FR) ................... 2,306,968
284,100 oMARCAM CORP ................................. 3,693,300
282,600 oMEDIC COMPUTER SYSTEMS, INC ................. 11,392,312
515,000 oMENTOR GRAPHICS CORP ........................ 5,021,250
282,650 oMICROCHIP TECHNOLOGY, INC ................... 14,379,818
195,300 oMICRON ELECTRONICS, INC ..................... 3,796,143
6,823,300 oMICROSOFT CORP .............................. 563,775,162
200 MIROKO JYOHO SERVICE CO LTD ................. 3,635
238,950 NATIONAL COMPUTER SYSTEMS, INC .............. 6,093,225
270,242 NATIONAL DATA CORP .......................... 11,755,527
384,600 oNETMANAGE, INC .............................. 2,307,600
250,500 oNETSCAPE COMMUNICATIONS CORP ................ 14,247,187
11,600 oNETWORK APPLIANCE INC ....................... 590,150
598,700 oNETWORK GENERAL CORP ........................ 18,110,675
57,000 NIDEC CORP .................................. 1,939,667
167 NTT DATA COMMUNICATIONS
SYSTEM CORP ................................ 4,877,209
106,000 oOBJECTIVE SYSTEMS INTEGRATORS, INC .......... 2,530,750
5,080,825 oORACLE CORP ................................. 212,124,443
1,340,600 oPARAMETRIC TECHNOLOGY CORP .................. 68,873,325
489,400 oPEOPLESOFT, INC ............................. 23,460,612
191,400 oPHYSICIAN COMPUTER NETWORK, INC ............. 1,626,900
91,400 oPIXAR, INC .................................. 1,188,200
606,400 oPLATINUM TECHNOLOGY, INC .................... 8,262,200
111,400 oPOLICY MANAGEMENT SYSTEMS CORP .............. 5,138,325
130,400 oPROGRESS SOFTWARE CORP ...................... 2,608,000
97,600 oPSINET, INC ................................. 1,061,400
174,100 oQLOGIC CORP ................................. 4,483,075
432,500 oRATIONAL SOFTWARE CORP ...................... 17,110,781
387,800 oREAD RITE CORP .............................. 9,791,950
1,073,300 REYNOLDS & REYNOLDS CO (CLASS A) ............ 27,905,800
220,900 oSAFEGUARD SCIENTIFICS, INC .................. 7,013,575
33,500 oSCOPUS TECHNOLOGY, INC ...................... 1,557,750
285,700 oSECURITY DYNAMICS TECHNOLOGIES, INC ......... 8,999,550
555,300 SEI CORP .................................... 12,355,425
198,700 SHARED MEDICAL SYSTEMS CORP ................. 9,785,975
248,400 oSHIVA CORP .................................. 8,662,950
169,800 oSILICONWARE PRECISION
INDUSTRIES GDR ............................. 1,884,780
427,633 oSTERLING COMMERCE, INC ...................... 15,074,063
309,334 oSTERLING SOFTWARE, INC ...................... 9,782,687
368,000 oSTRUCTURAL DYNAMICS RESEARCH CORP ........... 7,360,000
452,700 oSYBASE, INC ................................. 7,554,431
520,200 oSYMANTEC CORP ............................... 7,542,900
280,000 oSYNOPSYS, INC ............................... 12,950,000
365,862 SYSTEM SOFTWARE ASSOCIATES, INC ............. 3,887,283
230,700 oSYSTEMS & COMPUTER
TECHNOLOGY CORP ............................ 3,691,200
157,500 oSYSTEMSOFT CORP ............................. 2,342,812
201,600 oTECHNOLOGY SOLUTIONS CO ..................... 8,366,400
203,600 TELXON CORP ................................. 2,494,100
114,600 TKC CORP .................................... 2,715,017
226,300 oTRANSACTION SYSTEM ARCHITECTURE ............. 7,524,475
184,100 oVANSTAR CORP ................................ 4,510,450
119,400 oVANTIVE CORP ................................ 3,731,250
7,000,000 oVENTURE MANUFACTURING
(SINGAPORE) LTD ............................ 17,414,915
137,650 oVERITAS SOFTWARE CORP ....................... 6,848,087
169,700 oVIASOFT INC ................................. 8,018,325
53,500 oVIDEOSERVER, INC ............................ 2,273,750
89,500 oVISIO CORP .................................. 4,430,250
14,800 oYAHOO INC ................................... 251,600
57,400 oZEBRA TECHNOLOGY CORP ....................... 1,341,725
---------------
2,507,090,094
---------------
</TABLE>
See notes to financial statements.
-23-
<PAGE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
CONGLOMERATES--2.40%
2,700 ACKERMANS & VAN HAAREN ...................... $ 474,307
19,340 oAGIV AG ..................................... 279,853
901,600 ALCO STANDARD CORP .......................... 46,545,100
435,000 ALEXANDER & BALDWIN, INC .................... 10,875,000
5,002,404 ALLIED SIGNAL, INC .......................... 335,161,068
435,708 AMERICAN FINANCIAL GROUP, INC ............... 16,447,977
19,136 ANGLO AMERICAN INDUSTRIAL CORP .............. 693,435
20,600 ANGLOVAAL HOLDINGS LTD ...................... 612,163
98,000 ANGLOVAAL INDUSTRIES LTD .................... 443,120
289,900 oANIXTER INTERNATIONAL, INC .................. 4,674,637
3,160 oARTEMIS S.A ................................. 77,795
62,700 BARLOW LTD .................................. 556,289
30 oBERKSHIRE HATHAWAY, INC (CLASS A) ........... 1,023,000
42,000 oBLYTH INDUSTRIES, INC ....................... 1,916,250
641,800 BRADY (W.H.) CO (CLASS A) ................... 15,804,325
109,500 BRASCAN LTD (CLASS A) ....................... 2,436,527
9,219,198 BRIERLEY INVESTMENTS LTD .................... 8,533,713
5,293,437 BRIERLEY INVESTMENTS LTD
(AUSTRALIA) ................................ 4,919,355
9,544,760 BTR PLC ..................................... 46,388,411
53,553 oBTR PLC WTS 11/30/97 ........................ 30,701
42,115 oBTR PLC WTS 11/26/98 ........................ 4,684
38,400 CALI REALTY CORP ............................ 1,185,600
836,148 CHARTER PLC ................................. 10,595,815
2,168,900 oCOLTEC INDUSTRIES, INC ...................... 40,937,987
755,337 oCONCORD EFS, INC ............................ 21,338,270
361,000 oCOPYTELE, INC ............................... 1,782,437
5,000 CORPORACION FINANCIERE ALBA S.A. ............ 504,332
395,866 CRANE CO .................................... 11,480,114
33,900 CURTISS WRIGHT CORP ......................... 1,707,712
105,000 DE BEERS CENTENARY AG. (UNITS) .............. 3,008,011
61,000 oDESC SOCIEDAD DE FOMENTO
INDUSTRIAL S.A. DE CV SERIES B ............. 333,207
1,729 oDESC S.A. DE CV SERIES C .................... 9,433
8,800 oEST ASIATIQUE ............................... 190,950
70,000 oFABER GROUP BERHAD .......................... 66,521
85,000 GENCOR LTD .................................. 308,925
759,100 GENTING INTERNATIONAL PLC ................... 1,821,840
46,174 GEVAERT PHOTO-PRODUCTION NV ................. 3,198,029
42,360 GRANDE HOLDINGS LTD ......................... 15,607
32,435 GROUPE BRUXELLES LAMBERT S.A ................ 4,171,269
385 GROUPE BRUXELLES LAMBERT S.A
NPV (VVPR) STRIP ........................... 96
1,155 oGROUPE BRUXELLES LAMBERT S.A.
NPV (VVPR) WTS 12/20/98 .................... 11,272
317,000 oGRUPO CARSO S.A. DE CV SERIES A ............. 1,679,236
197,551 GRUPO INDUSTRIAL ALFA S.A. SERIES A ......... 921,004
4,373,463 HANSON PLC .................................. 6,099,710
342,620 oHANSON PLC WTS 9/30/97 ...................... 2,931
310,783 HARRISON & CROSSFIELD PLC ................... 710,010
13,500,500 HUTCHINSON WHAMPOA LTD ...................... 106,031,327
10,000 IFIL FINANZIARIA DI PARTECIPAZIONI .......... 30,366
110,000 oINDUSTRIAS PENOLES S.A ...................... 389,864
1,150,236 ITT INDUSTRIES, INC ......................... 28,180,782
2,197,500 JARDINE MATHESON HOLDINGS LTD ............... 14,503,500
11,300 JOHNNIES INDUSTRIAL CORP LTD ................ 123,206
319,414 JOHNSON CONTROLS, INC ....................... 26,471,435
1,030,000 KEPPEL CORP ................................. 8,026,159
20,414 LAGARDERE S.C.A ............................. 559,158
20,000 oLAGARDERE S.C.A. WTS 6/30/97 ................ 20,389
168,000 LAND & GENERAL BERHAD ....................... 402,454
31,500 LION LAND BERHAD ............................ 32,553
488,288 oLITTON INDUSTRIES, INC ...................... 23,254,716
659,800 LOEWS CORP .................................. 62,186,150
313,754 LONRHO PLC .................................. 668,474
7,922,000 oLUKS INDUSTRIAL CO LTD ...................... 778,370
540,000 MALAYAN UNITED INDUSTRIES BERHAD ............ 401,979
700,000 MALAYSIA MINING CORP BERHAD ................. 809,344
94,183 MALBAK LTD .................................. 412,773
864,990 MARK IV INDUSTRIES, INC ..................... 19,570,398
8,927 MELCO INTERNATIONAL
DEVELOPMENT LTD ............................ 3,116
391,300 oMETROMEDIA INTERNATIONAL
GROUP, INC ................................. 3,864,087
30,519 oMILLENNIUM CHEMICAL, INC .................... 541,712
4,545,600 MINNESOTA MINING &
MANUFACTURING CO ........................... 376,716,600
307,000 MULTI-PURPOSE HOLDINGS BERHAD ............... 595,644
307,000 ~oMULTI-PURPOSE HOLDINGS BERHAD RTS ........... 1,215
116,418 MURRAY & ROBERTS HOLDINGS LTD ............... 261,333
3,000 NOMA INDUSTRIES LTD (CLASS A) ............... 7,704
2,678,812 PACIFIC DUNLOP LTD .......................... 6,808,897
499,511 NOBLEZA-PICCARDO SDAD INDUSTRIAL
COMERCIAL Y FINANCIERA ..................... 3,512,264
129,800 POWER CORP OF CANADA ........................ 2,604,143
71,448 PREMIER GROUP HOLDINGS LTD .................. 93,176
123,700 QUEBECOR, INC (CLASS B) ..................... 2,066,629
1,552,000 oROCKWELL INTERNATIONAL CORP NEW ............. 94,478,000
116,800 SCHULLER CORP ............................... 1,241,000
1,151,400 SIME DARBY BERHAD ........................... 4,536,299
106,000 oSOCIEDAD COMERCIAL DEL PLATA S.A ............ 271,414
32,360,000 +SOUTH CHINA HOLDINGS LTD .................... 8,199,788
52,046,000 +SOUTH CHINA INDUSTRIES LTD .................. 7,401,472
1,035,802 SOUTHCORP HOLDINGS LTD ...................... 3,290,950
289,600 STANDEX INTERNATIONAL CORP .................. 8,941,400
2,640 SUPERFOS AS ................................. 333,417
4,876,000 SWIRE PACIFIC LTD (CLASS A) ................. 46,490,453
565,200 TEXTRON, INC ................................ 53,270,100
25,099 TONGAAT HULETT GROUP LTD .................... 304,514
20,000 TRENWICK GROUP, INC ......................... 925,000
1,385,200 TRW, INC .................................... 68,567,400
2,897,700 TYCO INTERNATIONAL LTD ...................... 153,215,887
369,313 oU.S. INDUSTRIES, INC ........................ 12,695,133
1,080,000 UNITED INDUSTRIAL CORP ...................... 911,066
27,000 oUNITED INDUSTRIAL CORP WTS 7/05/99 .......... 7,624
1,991,200 UNITED TECHNOLOGIES CORP .................... 131,419,200
915,100 VIAD CORP ................................... 15,099,150
1,156,346 WHITMAN CORP ................................ 26,451,414
241,600 WILLIAMS HOLDINGS PLC ....................... 1,420,201
2,460,000 YTL CORP BERHAD ............................. 13,247,271
---------------
1,952,626,098
---------------
CONSTRUCTION--MATERIALS &
BUILDERS--1.05%
600,000 ACP INDUSTRIES BERHAD ....................... 3,777,467
13,934 ADELAIDE BRIGHTON HOLDINGS LTD .............. 18,925
2,978 AKER AS SERIES B ............................ 60,162
9,900 ALPHA LTD NPV ............................... 161,913
90,000 AMEC PLC .................................... 142,465
530,550 oAOKI CONSTRUCTION CO LTD .................... 1,101,535
72,700 APASCO S.A .................................. 498,706
208,700 ARMSTRONG WORLD INDUSTRIES, INC ............. 14,504,650
20,000 oASANO SLATE CO LTD .......................... 51,862
192,700 oATKINSON (G.F.) CO OF CALIFORNIA ............ 2,023,350
153,400 oAVATAR HOLDINGS, INC ........................ 4,908,800
99,750 BARRATT DEVELOPMENTS LTD .................... 431,022
16,600 BILFINGER & BERGER AG ....................... 608,591
307,034 BLUE CIRCLE INDUSTRIES PLC .................. 1,865,266
3,453,628 BORAL LTD ................................... 9,820,715
5,619 BOUYGUES S.A ................................ 581,484
209,500 BPB PLC ..................................... 1,374,914
60,100 BUTLER MANUFACTURING CO ..................... 2,434,050
386,300 CALMAT CO ................................... 7,243,125
123,228 CAMAS PLC ................................... 153,942
</TABLE>
See notes to financial statements.
-24-
<PAGE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
CONSTRUCTION--MATERIALS &
BUILDERS--(CONTINUED)
5,008,416 CARADON PLC ................................. $ 20,484,456
211,900 CARLISLE COS, INC ........................... 12,819,950
149,028 oCASTLE & COOKE, INC ......................... 2,365,819
34,000 CBR NV ...................................... 3,088,069
281,700 oCDI CORP .................................... 7,993,237
23,916 oCEMENTERA ARGENTINA S.A ..................... 117,211
208,062 CEMEX S.A. (CLASS A) (REGD) ................. 745,346
41,750 CEMEX S.A. (CLASS B) ........................ 164,412
159,120 CEMEX S.A. DE CV-CPO ........................ 573,052
340,400 CENTEX CORP ................................. 12,807,550
1,063,500 oCHAMPION ENTERPRISES, INC ................... 20,738,250
783,000 CHICHIBU ONODA CEMENT CORP .................. 3,325,553
149,000 CHIYODA CORP ................................ 964,009
100,000 oCIMENTOS DE PORTUGAL ........................ 2,150,005
1,137,197 CLAYTON HOMES, INC .......................... 15,352,159
1,698 COLAS S.A ................................... 244,960
17,900 COMMERCIAL NET LEASE REALTY, INC ............ 284,162
9,928 oCOSTAIN GROUP PLC ........................... 7,815
148,410 CRH PLC ..................................... 1,532,733
82 CRISTALERIA ESPANOLA S.A .................... 6,430
2,536,250 CSR LTD ..................................... 8,863,990
110,000 CTI ENGINEERING CO LTD ...................... 2,321,742
470,082 DAITO TRUST CONSTRUCTION CO LTD ............. 5,224,185
1,090,000 DAIWA HOUSE INDUSTRY CO LTD ................. 13,991,621
738 oDLW AG ...................................... 44,775
2,799,900 oDMCI HOLDINGS, INC .......................... 1,836,445
500,000 oDOMINION BRIDGE CORP ........................ 1,156,250
26,586 DRAGADOS Y CONSTRUCCIONES S.A ............... 408,786
210,236 oDRAVO CORP .................................. 2,969,583
152,400 oEAGLE HARDWARE & GARDEN, INC ................ 3,162,300
40,000 oEMPRESAS ICA SOCIEDAD
CONTROLADORA S.A. .......................... 588,924
243,000 FASTENAL CO ................................. 11,117,250
350,500 FLEETWOOD ENTERPRISES, INC .................. 9,638,750
2,985,025 FLETCHER CHALLENGE LTD
(BUILDING DIVISION) ........................ 9,175,101
214,500 FLORIDA ROCK INDUSTRIES, INC ................ 7,024,875
33,962 FOMENTO DE CONSTRUCCIONES Y
CONTRATAS S.A .............................. 3,159,308
360 FORBO HOLDINGS AG. (REGD) ................... 144,772
1,756,300 FUJITA CORP ................................. 5,038,464
390,100 oGENLYTE GROUP, INC .......................... 4,876,250
182,100 GILBERT ASSOCIATES, INC (CLASS A) ........... 2,503,875
2,388 GLAVERBEL S.A ............................... 277,034
58 oGLAVERBEL NPV STRIP (VVPR) .................. 5
212,100 GRANITE CONSTRUCTION, INC ................... 4,029,900
298,000 oHASEKO CORP ................................. 795,853
1,379,600 HAZAMA-GUMI LTD ............................. 3,815,166
15,700 HEIDELBERGER ZEMENT AG ...................... 1,268,346
103,430 HEPWORTH PLC ................................ 448,694
32,200 HOCHTIEF AG ................................. 1,274,543
1,300 HOLDERBANK FINANCIERE
GLARUS AG. (BR) ............................ 186,848
3,881 HOLDERBANK FINANCIERE
GLARUS AG. (REGD) .......................... 2,763,060
1,244 HOLLANDSCHE BETON GROEP NV .................. 257,386
61,100 oHORTON (D.R.), INC .......................... 664,462
101,000 HUME INDUSTRIES BERHAD ...................... 635,873
154,210 oHYUNDIA ENGINEERING &
CONSTRUCTIONS CO ........................... 3,575,636
8,978 oHYUNDAI ENGINEERING &
CONSTRUCTIONS NEW .......................... 197,550
37,231 IMETAL S.A .................................. 5,485,676
325,000 oIMPREGILO S.P.A ............................. 252,343
211,853 INAX CORP ................................... 1,565,947
65,000 ITALCEMENTI S.P.A ........................... 363,545
40,000 ITALCEMENTI S.P.A. (S/S) .................... 97,778
129,200 oJACOBS ENGINEERING GROUP, INC ............... 3,052,350
411,699 JAMES HARDIE INDUSTRIES LTD ................. 1,294,969
91,700 JANNOCK LTD ................................. 1,297,861
194,000 JAPAN FOUNDATION ENGINEERING CO ............. 2,523,678
13,800 JDN REALTY CORP ............................. 381,225
191,970 JGC CONSTRUCTION CORP ....................... 1,437,170
117,700 JUSTIN INDUSTRIES, INC ...................... 1,353,550
1,418,756 KAJIMA CORP ................................. 10,120,298
120,797 KANDENKO CO LTD ............................. 1,144,732
1,206,605 KAUFMAN & BROAD HOME CORP ................... 15,535,039
4,000,000 KEDAH CEMENT HOLDINGS BERHAD ................ 7,919,220
395,862 KINDEN CORP ................................. 5,013,216
26,000 KOMATSU CONSTRUCTION CO LTD ................. 118,938
2,020,279 KUMAGAI GUMI CO LTD ......................... 4,995,149
124,000 KUMAGAI GUMI (HONG KONG) LTD ................ 144,278
24,800 oKUMAGAI GUMI (HONG KONG) LTD
WTS 6/30/98 ................................ 10,580
20,000 oKYUNDENKO CO LTD ............................ 206,760
280,153 LAFARGE CORP ................................ 5,638,079
30,768 LAFARGE S.A. (BR) ........................... 1,842,362
5,060 LAFARGE S.A. (SPANISH CERTS) ................ 295,649
45,218 LAING (JOHN) (CLASS A) ...................... 216,281
77,500 LAPEYRE S.A ................................. 4,442,369
9,768 LEIGHTON HOLDINGS LTD ....................... 41,897
590,200 LENNAR CORP ................................. 16,082,950
525,000 MAEDA CORP .................................. 3,876,103
86,000 MAEDA ROAD CONSTRUCTION CO LTD .............. 992,792
750,000 MALAYAN CEMENT BERHAD ....................... 1,722,430
22,200 MANUFACTURED HOME
COMMUNITIES, INC ........................... 516,150
140,749 MARLEY PLC .................................. 304,692
1,044,807 MARTIN MARIETTA MATERIALS, INC .............. 24,291,762
1,175,300 MASCO CORP .................................. 42,310,800
1,000 MATSUO BRIDGE CO LTD ........................ 4,479
27,000 MCALPINE (ALFRED) PLC ....................... 58,911
579,792 MEDUSA CORP ................................. 19,930,350
54,824 MEYER INTERNATIONAL PLC ..................... 339,160
118,650 oMILLER INDUSTRIES, INC ...................... 2,373,000
576,484 MISAWA HOMES CO LTD ......................... 4,022,791
3,201,136 oNEW WORLD INFRASTRUCTURE LTD ................ 9,352,993
288,000 NIHON CEMENT CO LTD ......................... 1,466,341
300 NIPPON HODO CO LTD .......................... 3,463
568,000 NISHIMATSU CONSTRUCTION CO LTD .............. 4,942,253
582,900 OAKWOOD HOMES CORP .......................... 13,333,837
1,071,320 OBAYASHI CORP ............................... 7,217,407
875 OCP CONSTRUCCIONES S.A ...................... 24,789
101,280 OHKI CONSTRUCTION CO LTD .................... 393,509
98,000 OKAMATO INDUSTRIES, INC ..................... 463,504
821,740 OKUMURA CORP ................................ 4,983,820
500 ORIENTAL CONSTRUCTION CO .................... 6,418
496,700 OWENS CORNING CO ............................ 21,171,837
135,000 PENTA OCEAN CONSTRUCTION CO LTD ............. 600,120
558,333 oPILECON ENGINEERING BERHAD
WTS 7/06/99 ................................ 207,813
401,160 PILKINGTON PLC .............................. 1,074,380
2,188,600 PIONEER INTERNATIONAL LTD ................... 6,519,018
62,700 PITTWAY CORP ................................ 3,268,237
256,519 PITTWAY CORP (CLASS A) ...................... 13,723,766
342,900 PLY-GEM INDUSTRIES, INC ..................... 4,243,387
18,088 PORTLAND VALDERRIVAS S.A .................... 1,215,389
2,762,000 PT SEMEN CIBINONG (FR) ...................... 7,214,413
1,880,000 PT SEMEN GRESIK (FR) ........................ 6,043,824
</TABLE>
See notes to financial statements.
-25-
<PAGE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
CONSTRUCTION--MATERIALS &
BUILDERS--(CONTINUED)
395,848 PULTE CORP .................................. $ 12,172,326
223,121 REDLAND PLC ................................. 1,399,395
95,200 REPUBLIC GROUP, INC ......................... 1,487,500
853,250 RMC GROUP PLC ............................... 14,565,163
244,696 RUGBY GROUP PLC ............................. 397,810
331,000 RYLAND GROUP, INC ........................... 4,551,250
349,550 SANKYO ALUMINIUM INDUSTRY CO LTD ............ 1,373,186
152,000 SANWA SHUTTER CORP .......................... 1,132,700
36,900 EUROC INDUSTRIA AB SERIES A ................. 1,351,056
141,785 SCHNEIDER S.A ............................... 6,542,703
1,589,850 SEKISUI HOUSE LTD ........................... 16,161,938
190,000 SEMAPA SOC INV E GESTAO - SGPS .............. 3,408,255
473,200 SHERWIN-WILLIAMS CO ......................... 26,499,200
1,750,000 SHIMIZU CORP ................................ 13,040,956
59,000 oSHOKUSEN JUTAKO SOGO ........................ 132,662
565,560 SIMON DEBARTOLO GROUP, INC .................. 17,532,360
172,200 SKANSKA AB SERIES B FREE .................... 7,603,746
154,800 SKYLINE CORP ................................ 3,831,300
151,000 oSOLA INTERNATIONAL, INC ..................... 5,738,000
135,836 ST. GOBAIN S.A .............................. 19,178,191
71,300 STARRETT (L.S.) CO (CLASS A) ................ 2,023,137
34,000 STARRETT (L.S.) CO (CLASS B) ................ 964,750
131,200 STONE & WEBSTER, INC ........................ 4,132,800
900 oSTRABAG BAU AG .............................. 57,231
70,495 SUMITOMO FORESTRY CO LTD .................... 856,313
862,000 SUMITOMO OSAKA CEMENT CO LTD ................ 2,844,207
942,000 SUNGEI WAY HOLDINGS BERHAD .................. 2,797,464
94,200 oSUNGEI WAY HOLDINGS BERHAD RTS .............. 111,898
34,000 SUZUNUI INDUSTRY CO LTD ..................... 143,525
2,107,000 TAISEI CORP ................................. 10,891,083
750 TAKASHIMA & CO LTD .......................... 2,998
385,977 TARMAC PLC .................................. 647,311
9,151,750 TAYLOR WOODROW PLC .......................... 24,118,540
124,794 TEXAS INDUSTRIES, INC ....................... 6,317,696
265,500 TIME ENGINEERING BERHAD ..................... 491,997
76,000 TOA CORP .................................... 396,772
86,000 TOMOE ENGINEERING CO LTD .................... 1,044,654
439,000 TOSTEM CORP ................................. 12,102,352
445,790 TOTO LTD .................................... 5,069,434
72,000 TOYO ENGINEERING CO ......................... 321,305
54,000 TOYO EXTERIOR CORP .......................... 800,161
310,000 oUNICEM S.P.A ................................ 2,019,402
12,450 UNILAND CEMENTERA S.A ....................... 497,721
266,100 UNITED ENGINEERING BERHAD ................... 2,402,327
200,000 URALITA S.A ................................. 1,560,664
181,800 oUSG CORP .................................... 6,158,475
306,500 VULCAN MATERIALS CO ......................... 18,658,187
589,900 WEBB (DELAWARE) CORP ........................ 9,659,612
2,340 WIENERBERGER BAUSTOFF AG .................... 453,341
81,100 WILSON (CONNOLLY) HOLDINGS PLC .............. 229,691
146,000 WIMPEY (GEORGE) LTD ......................... 316,060
227,035 WOLSELEY PLC ................................ 1,794,985
---------------
850,039,341
---------------
CONTAINERS--0.13%
212,204 oALLTRISTA CORP .............................. 5,464,253
2,015,994 oASIAN TERMINALS, INC ........................ 364,107
397,953 BALL CORP ................................... 10,346,778
97,300 CCL INDUSTRIES, INC (CLASS B) ............... 1,064,784
216,600 CLARCOR, INC ................................ 4,792,275
884,583 CROWN CORK & SEAL CO, INC ................... 48,099,200
35,000 FP CORP ..................................... 919,651
275,400 oGAYLORD CONTAINER CO ........................ 1,686,825
870,000 oOWENS ILLINOIS, INC ......................... 19,792,500
440,500 oPLM AB ...................................... 7,612,636
200,000 SHIBUYA KOGYO ............................... 2,291,590
175,000 SPARTECH CORP ............................... 1,946,875
187,300 WEST CO, INC ................................ 5,291,225
---------------
109,672,699
---------------
COSMETICS--0.58%
19,500 ALBERTO CULVER CO (CLASS A) ................. 804,375
211,200 ALBERTO CULVER CO (CLASS B) ................. 10,137,600
1,461,632 AVON PRODUCTS, INC .......................... 83,495,728
83,600 BEIERSDORF AG ............................... 4,128,193
284,300 CARTER WALLACE, INC ......................... 4,442,187
82,500 CARTER WALLACE, INC (CLASS B) ............... 1,289,062
33,402 CLARINS S.A ................................. 4,889,380
3,914,738 GILLETTE CO ................................. 304,370,879
631,300 INTERNATIONAL FLAVORS &
FRAGRANCES, INC ............................ 28,408,500
166,900 oJAN BELL MARKETING, INC ..................... 344,231
19,600 LAUDER (ESTEE) CO (CLASS A) ................. 997,150
27,698 LOREAL S.A .................................. 10,410,454
245,900 OPTICAL COATING LABORATORIES, INC ........... 2,643,425
556,334 SHISEIDO & CO LTD ........................... 6,422,375
3,098 ~oWINDMERE CORP WTS 1/19/98 ................... 16,651
487,400 WINDMERE-DURABLE HOLDING, INC ............... 6,275,275
---------------
469,075,465
---------------
ELECTRICAL EQUIPMENT--3.78%
882,723 ABB AB SERIES A ............................. 99,545,660
400,700 ABB AB SERIES B ............................. 45,304,757
74,866 ABB ASEA BROWN BOVERI LTD (BR) .............. 92,829,882
4,391 ABB ASEA BROWN BOVERI LTD (REGD) ............ 1,059,491
50,000 oADVANCED LIGHTING TECHNOLOGIES, INC ......... 1,212,500
100,910 ADVANTEST CORP .............................. 4,720,514
108,640 ALCATEL ALSTHOM CIE GEN ..................... 8,709,920
29,000 ALVIS PLC ................................... 66,749
108,000 AMCOL HOLDINGS LTD .......................... 202,287
822,200 oAMERICAN POWER CONVERSION CORP .............. 22,404,950
379,400 AMETEK, INC ................................. 8,441,650
285,000 ANRITSU CORP ................................ 3,069,093
341,400 BELDEN, INC ................................. 12,631,800
174,135 BICC LTD .................................... 825,452
1,327 CATENA CORP ................................. 9,763
213,000 CMK CORP .................................... 2,752,492
425,000 DAIWA INDUSTRIES LTD ........................ 3,364,803
65,674 DELTA PLC ................................... 429,883
1,273,600 DURACELL INTERNATIONAL, INC ................. 88,992,800
1,679,085 EMERSON ELECTRIC CO ......................... 162,451,473
330 FUJITSU BUSINESS SYSTEMS LTD ................ 7,192
83,000 FUJITSU DENSO ............................... 2,903,082
2,736,424 FUJITSU LTD ................................. 25,460,236
17,496,122 GENERAL ELECTRIC CO ......................... 1,729,929,062
7,515,994 GENERAL ELECTRIC CO (UNITED KINGDOM) ........ 49,133,300
2,549,300 +GENERAL SIGNAL CORP ......................... 108,982,575
313,800 GRAINGER (W.W.), INC ........................ 25,182,450
900 HITACHI ELECTRONICS LTD ..................... 7,714
4,013,491 HITACHI LTD ................................. 37,342,322
193,000 HITACHI MAXELL LTD .......................... 4,256,499
1,013,800 HONEYWELL, INC .............................. 66,657,350
443,876 HUBBELL, INC (CLASS B) ...................... 19,197,637
411,500 JUNO LIGHTING, INC .......................... 6,584,000
32,500 KODENSHA CO LTD ............................. 274,387
156,666 LEADER UNIVERSAL HOLDINGS BERHAD ............ 328,778
95,000 MABUCHI MOTOR CO LTD ........................ 4,771,417
15,000 MARUWA CERAMIC CO LTD ....................... 285,587
125,000 MIRAI INDUSTRY CO LTD ....................... 3,392,156
4,007,000 MITSUBISHI ELECTRIC CORP .................... 23,819,010
2,083,301 NIPPON ELECTRIC CORP (N.E.C.) ............... 25,126,693
220,000 NITTO ELECTRIC WORKS ........................ 3,714,788
2,000 NKT HOLDINGS AS ............................. 118,666
3,399,702 PHILIPS ELECTRONICS NV ...................... 137,576,216
94,397 REUNERT LTD ................................. 312,806
100,000 oSANSO ELECTRIC CO LTD ....................... 1,688,540
800,010 SIEMENS AG .................................. 37,635,916
859,500 SUMITOMO ELECTRIC INDUSTRIES CO ............. 11,995,439
957,233 THOMAS & BETTS CORP ......................... 42,477,214
328,430 TOKYO ELECTRON CO LTD ....................... 10,044,456
6,322,800 WESTINGHOUSE ELECTRIC CORP .................. 125,665,650
330,000 YAMATAKE HONEYWELL CO LTD ................... 5,316,316
796,000 YOKOGAWA ELECTRIC CORP ...................... 6,857,540
---------------
3,076,070,913
---------------
</TABLE>
See notes to financial statements.
-26-
<PAGE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
ELECTRICAL EQUIPMENT--
COMPONENTS DIVERSIFIED--3.15%
16,526,400 +ACMA LTD .................................... $ 35,680,364
2,129,600 oACMA LTD WTS 7/24/01 ........................ 1,362,589
836,350 oADVANCED MICRO DEVICES, INC ................. 21,536,012
391,100 oALTERA CORP ................................. 28,428,081
230,701 AMERICAN ANNUITY GROUP, INC ................. 3,258,651
70,000 oAMERICAN SUPERCONDUCTOR CORP ................ 743,750
1,595,182 AMP, INC .................................... 61,215,109
308,300 oAMPHENOL CORP (CLASS A) ..................... 6,859,675
1,259,000 oANALOG DEVICES, INC ......................... 42,648,625
420,282 oARROW ELECTRONICS, INC ...................... 22,485,087
88,000 ASTEC LTD ................................... 237,186
1,041,500 oATMEL CORP .................................. 34,499,687
218,700 AVNET, INC .................................. 12,739,275
20,000 AVX CORP .................................... 430,000
271,575 BALDOR ELECTRIC CO .......................... 6,687,534
11,876 BARCO INDUSTRIES NV ......................... 2,048,863
308,686 oBELL INDUSTRIES, INC ........................ 6,598,163
76,367 BOWTHORPE HOLDINGS PLC ...................... 590,704
274,800 oBURR BROWN CORP ............................. 7,144,800
269,900 CAE, INC .................................... 2,037,983
335,900 oCHIPS & TECHNOLOGIES, INC ................... 6,130,175
444,800 oCIRRUS LOGIC, INC ........................... 6,894,400
127,000 oCOMPUCOM SYSTEMS, INC ....................... 1,365,250
48,300 oCOMPUTER PRODUCTS, INC ...................... 941,850
151,400 oCOMVERSE TECHNOLOGY, INC .................... 5,724,812
290,400 CORE INDUSTRIES, INC ........................ 4,791,600
63,000 oCOREL CORP .................................. 464,215
78,996 CTS CORP .................................... 3,377,079
130,000 CUBIC CORP .................................. 3,006,250
95,394 oCYBERGUARD CORP ............................. 1,156,652
516,100 oCYPRESS SEMICONDUCTOR CORP .................. 7,289,912
319,400 DALLAS SEMICONDUCTOR CORP ................... 7,346,200
192,360 oDII GROUP, INC .............................. 4,472,370
117,500 oELECTRO SCIENTIFIC INDUSTRIES, INC .......... 3,055,000
206,894 ESCO ELECTRONICS CORP
(TRUST RECEIPTS) ........................... 2,068,940
183,000 oESS TECHNOLOGY .............................. 5,146,875
100,500 oETEC SYSTEMS, INC ........................... 3,844,125
269,500 oEXAR CORP ................................... 4,177,250
296,600 FISHER SCIENTIFIC INTERNATIONAL, INC ........ 13,977,275
1,322,200 oGENERAL INSTRUMENT CORP NEW ................. 28,592,575
42,000 GEWISS S.P.A ................................ 552,720
78,400 oHADCO CORP .................................. 3,841,600
55,000 HELIX TECHNOLOGY CORP ....................... 1,595,000
33,511 HIROSE ELECTRIC CO LTD ...................... 1,937,158
203,631 HOYA CORP ................................... 7,981,978
30,400 oHUTCHINSON TECHNOLOGY, INC .................. 2,310,400
5,734,000 INNOVATIVE INTERNATIONAL
HOLDINGS LTD ............................... 2,409,234
586,200 oINTEGRATED DEVICE TECHNOLOGY, INC ........... 7,986,975
8,025,400 INTEL CORP .................................. 1,050,825,812
298,000 oINTERNATIONAL RECTIFIER CORP ................ 4,544,500
1,000 oJABIL CIRCUIT, INC .......................... 40,000
140,000 JOHNSON ELECTRIC HOLDINGS LTD ............... 387,328
115,000 oKATSURAGAWA ELECTRIC CO ..................... 812,394
90,000 KDK CORP .................................... 582,287
482,900 oKEMET CORP .................................. 11,227,425
525,200 oKENT ELECTRONICS CORP ....................... 13,523,900
300 KEYENCE CORP ................................ 36,958
333,156 KYOCERA CORP ................................ 20,722,403
171,200 oLAM RESEARCH CORP ........................... 4,815,000
325,750 oLATTICE SEMICONDUCTOR CORP .................. 14,984,500
76,500 LEGRAND S.A ................................. 13,007,996
784,600 LINEAR TECHNOLOGY CO ........................ 34,424,325
465,800 LOGICON, INC ................................ 17,001,700
925,500 oLSI LOGIC CORP .............................. 24,757,125
299,400 oMAGNETEK, INC ............................... 3,854,775
40,400 oMARSHALL INDUSTRIES, INC .................... 1,237,250
232,000 MATSUSHITA-KOTOBUKI
ELECTRONICS INDUSTRIES ..................... 6,036,013
1,399,100 oMAXIM INTEGRATED PRODUCTS ................... 60,511,075
174,700 oMEMC ELECTRONIC MATERIALS, INC .............. 3,930,750
300,450 METHODE ELECTRONICS, INC (CLASS A) .......... 6,084,112
1,324,000 MICRON TECHNOLOGY, INC ...................... 38,561,500
1,533,000 MINEBEA CO LTD .............................. 12,784,177
224,197 MOLEX, INC .................................. 8,771,707
266,210 MOLEX, INC (CLASS A) ........................ 9,483,731
4,768,600 MOTOROLA, INC ............................... 292,672,825
60,900 oMRV COMMUNICATIONS, INC ..................... 1,324,575
315,500 MURATA MANUFACTURING CO LTD ................. 10,464,425
1,079,250 oNATIONAL SEMICONDUCTOR CORP ................. 26,306,718
676,000 NGK SPARK PLUG CO LTD ....................... 7,396,149
950 NIHON DEMPA KOGYO CO LTD .................... 15,386
70,000 NITTO DENKO CORP ............................ 1,025,185
89,300 oOAK INDUSTRIES, INC NEW ..................... 2,053,900
523,944 OMRON CORP .................................. 9,840,035
22,200 OXFORD INSTRUMENTS GROUP PLC ................ 159,561
270,400 PACIFIC SCIENTIFIC CO ....................... 3,042,000
36,000 PIONEER-STANDARD ELECTRONICS, INC ........... 472,500
114,228 RACAL ELECTRONICS PLC ....................... 503,356
140,000 oROGERS CORP ................................. 3,797,500
325,100 ROHM CO ..................................... 21,285,597
660,700 oS3, INC ..................................... 10,736,375
70,000 SAES GETTERS S.P.A .......................... 1,082,410
60,000 oSAES GETTERS S.P.A. ADR ..................... 727,500
54,350 oSAMSUNG DISPLAY DEVICES CO .................. 3,105,499
196,000 oSANMINA CORP ................................ 11,074,000
108,500 SGL CARBON AG ............................... 13,658,422
179,016 oSGS-THOMSON MICROELECTRONICS NV ............. 12,637,309
382,700 oSIERRA SEMICONDUCTOR CORP ................... 5,740,500
76,000 oSTANDARD MICROSYSTEMS CORP .................. 722,000
286,000 SUWA INTERNATIONAL HOLDINGS LTD ............. 12,571
245,200 oSYMBOL TECHNOLOGIES, INC .................... 10,850,100
191,600 oSYMMETRICOM, INC ............................ 3,808,050
286,000 TAIYO YUDEN CO LTD .......................... 3,991,501
275,000 TB WOODS CORP ............................... 2,956,250
90,800 oTCSI CORP ................................... 567,500
153,000 TDK CORP .................................... 9,951,617
1,484,300 TEXAS INSTRUMENTS, INC ...................... 94,624,125
242,500 oTRICORD SYSTEMS, INC ........................ 363,750
155,500 oTRIMBLE NAVIGATION LTD ...................... 1,788,250
764,500 oU.S. ROBOTICS CORP .......................... 55,044,000
110,700 oUCAR INTERNATIONAL INC ...................... 4,165,087
132,200 oUNIPHASE CORP ............................... 6,940,500
243,900 oUNITRODE CORP ............................... 7,164,562
10,167 oUNITRODE CORP WTS 8/21/97 ................... 47,022
207,000 oVICOR CORP .................................. 3,454,312
418,671 oVISHAY INTERTECHNOLOGY, INC ................. 9,786,434
144,200 oVITESSE SEMICONDUCTOR CORP .................. 6,561,100
297,500 oVLSI TECHNOLOGY, INC ........................ 7,102,812
9,285,000 VTECH HOLDINGS LTD .......................... 16,685,328
182,900 oWATERS CORP ................................. 5,555,587
272,000 oWEG S.A ..................................... 128,264
495,800 oWESTERN DIGITAL CORP ........................ 28,198,625
481,000 WOODHEAD INDUSTRIES, INC .................... 6,613,750
95,075 WYLE ELECTRONICS ............................ 3,755,462
718,100 oXILINX, INC ................................. 26,435,056
180,400 oZILOG, INC .................................. 4,712,950
---------------
2,563,727,043
---------------
</TABLE>
See notes to financial statements.
-27-
<PAGE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
ELECTRICAL EQUIPMENT--
INSTRUMENTS--0.46%
136,000 ALPS ELECTRIC CO LTD ........................ $ 1,476,266
195,900 ANALOGIC CORP ............................... 6,562,650
30,000 oANSALDO SIGNAL N.V .......................... 221,250
1,351,800 oAPPLIED MATERIALS, INC ...................... 48,580,312
50,000 oASAHI OPTICAL CO LTD ........................ 199,437
180,626 oAURA SYSTEMS, INC ........................... 395,119
181,987 BECKMAN INSTRUMENTS, INC NEW ................ 6,983,751
7,670 CANON SALES CO, INC ......................... 170,478
2,268,236 CANON, INC .................................. 50,024,584
543,660 CITIZEN WATCH CO LTD ........................ 3,887,413
204,700 oCOHERENT, INC ............................... 8,648,575
599,000 DAI NIPPON SCREEN
MANUFACTURING CO LTD ....................... 4,412,129
290,119 DANIEL INDUSTRIES, INC ...................... 4,279,255
233,000 oDESTEC ENERGY, INC .......................... 3,640,625
132,600 oDIONEX CORP ................................. 4,641,000
193,200 oELECTROGLAS, INC ............................ 3,115,350
209,900 oELECTRONICS FOR IMAGING, INC ................ 17,264,275
8,000 oEPIC DESIGN TECHNOLOGY, INC ................. 200,000
182,700 oESTERLINE CORP .............................. 4,773,037
79,004 FLUKE CORP .................................. 3,525,553
1,182,711 FUJI PHOTO FILM CO LTD ...................... 38,922,191
12,700 oGENRAD, INC ................................. 295,275
60,000 HEUNG CHANG PRODUCTS CO ..................... 3,549,000
506,500 oINPUT/OUTPUT, INC ........................... 9,370,250
28,000 oJEOL LTD .................................... 162,823
479,000 oKLA INSTRUMENTS CORP ........................ 17,004,500
981,000 KONICA CORP ................................. 6,490,609
273,200 oKULICHE & SOFFA INDUSTRIES, INC ............. 5,190,800
51,900 oLTX CORP .................................... 304,912
100,000 NIKON CORP .................................. 1,240,560
407,205 OLYMPUS OPTICAL CO LTD ...................... 3,858,878
271,553 PERKIN-ELMER CORP ........................... 15,987,682
421,863 RICOH CO LTD ................................ 4,833,685
103,000 SATO CORP ................................... 2,005,399
43,000 SEIKO CORP .................................. 263,015
130,000 oSIEBE PLC ................................... 2,407,114
258,200 oSILICON VALLEY GROUP, INC ................... 5,196,275
323,900 TEKTRONIX, INC .............................. 16,599,875
265,400 oTENCOR INSTRUMENTS .......................... 6,999,925
492,538 oTERADYNE, INC ............................... 12,005,613
88,593 oTHERMO INSTRUMENT SYSTEMS, INC .............. 2,934,643
32,000 oTHREE-FIVE SYSTEMS, INC ..................... 412,000
2,026,800 TOPPAN PRINTING CO LTD ...................... 25,318,278
204,050 VARIAN ASSOCIATES, INC ...................... 10,381,043
118,700 WATKINS-JOHNSON CO .......................... 2,908,150
379,300 X RITE, INC ................................. 6,258,450
228,908 YAMAHA CORP ................................. 3,884,923
---------------
377,786,927
---------------
ENVIRONMENTAL CONTROL--0.43%
340,000 FSI HOLDINGS LTD ............................ 109,956
279,837 oAIR & WATER TECHNOLOGIES CORP
(CLASS A) .................................. 1,609,062
476,500 oALLIED WASTE INDUSTRIES, INC ................ 4,407,625
176,685 oAMERICAN ECOLOGY CORP ....................... 187,727
1,822,575 BROWNING FERRIS INDUSTRIES, INC ............. 47,842,593
463,240 oCLEAN HARBORS, INC .......................... 1,042,290
190,650 oCUNO, INC ................................... 2,835,918
70,000 DAISEKI CO LTD .............................. 1,664,418
12,974 oFLUOR DANIEL GTI, INC ....................... 102,170
231,800 oHANDEX CORP ................................. 3,245,200
172,468 oINTERNATIONAL TECHNOLOGY CORP ............... 1,465,978
577,884 OGDEN CORP .................................. 10,835,325
214,200 oOHM CORP .................................... 1,820,700
600 oOMEGA ENVIRONMENTAL, INC .................... 768
950,300 oREPUBLIC INDUSTRIES, INC .................... 29,637,481
460,749 oROLLINS ENVIRONMENTAL SERVICES, INC ......... 806,310
272,300 oTETRA TECHNOLOGIES, INC ..................... 6,875,575
430,450 oU.S. FILTER CORP ............................ 13,666,787
1,210,982 oU.S.A. WASTE SERVICES, INC .................. 38,600,051
485,800 oUNITED WASTE SYSTEMS, INC ................... 16,699,375
262,400 oWESTON (ROY F.), INC (CLASS A) NEW .......... 918,400
918,732 WHEELABRATOR TECHNOLOGIES, INC NEW 14,929,395
4,482,757 WMX TECHNOLOGIES, INC ....................... 146,249,947
463,700 oYORK RESEARCH CORP .......................... 4,405,150
5,335 ~oYORK RESEARCH CORP (CLASS B)
WTS 6/30/97 ................................ 17,872
3,712 ~oYORK RESEARCH CORP (CLASS C)
WTS 11/4/98 ................................. 11,136
---------------
349,987,209
---------------
FINANCIAL--MISCELLANEOUS--3.59%
134,000 AAMES FINANCIAL CORP ........................ 4,807,250
28,600,000 oABOITIZ EQUITY VENTURES, INC ................ 2,881,763
182,000 ACOM CO LTD ................................. 7,745,574
177,600 ADVANTA CORP (CLASS A) ...................... 7,592,400
388,900 ADVANTA CORP (CLASS B) ...................... 15,896,287
44,500 ALEX BROWN, INC ............................. 3,226,250
234,100 AMBAC, INC .................................. 15,538,387
3,811,299 AMERICAN EXPRESS CO ......................... 215,338,393
1,913,442 AMERICAN GENERAL CORP ....................... 78,211,941
47,200 AMERICAN HEALTH PROPERTIES, INC ............. 1,126,900
115,600 oAMRESCO, INC ................................ 3,092,300
27,700 ASSOCIATED ESTATES REALTY CORP .............. 657,875
353,700 ASSOCIATES FIRST CAPITAL CORP ............... 15,607,012
280,600 ASTORIA FINANCIAL CORP ...................... 10,347,125
273,300 AVALON PROPERTIES, INC ...................... 7,857,375
250,000 oBA MERCHANT SERVICES, INC (CLASS A) ......... 4,468,750
1,900,000 BANCA FIDEURAM S.P.A ........................ 4,169,417
393,200 BANGKOK FIRST INVESTMENT &
TRUST PUBLIC CO LTD (FR) .................. 1,403,206
145,274 BAY VIEW CAPITAL CORP ....................... 6,155,985
155,588 BEACON PROPERTIES CORP ...................... 5,698,410
1,256,222 BEAR STEARNS COS, INC ....................... 35,017,188
553,300 BENEFICIAL CORP ............................. 35,065,387
39,700 BERKSHIRE REALTY CO, INC .................... 392,037
10,300 BRADLEY REAL ESTATE, INC .................... 185,400
67,400 BRE PROPERTIES, INC (CLASS A) ............... 1,668,150
1,585,800 oCALIFORNIA FEDERAL BANCORP, INC ............. 38,852,100
</TABLE>
See notes to financial statements.
-28-
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SHARES VALUE
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FINANCIAL--MISCELLANEOUS--(CONTINUED)
24,200 CAMDEN PROPERTY TRUST ....................... $ 692,725
675,663 CAPSTEAD MORTGAGE CORP ...................... 16,215,912
28,200 CARR REALTY CORP ............................ 824,850
205,900 CASE CORP ................................... 11,221,550
165,448 CASH AMERICA INTERNATIONAL, INC ............. 1,406,308
957,350 oCATELLUS DEVELOPMENT CORP ................... 10,889,856
39,500 CBL & ASSOCIATES PROPERTIES, INC ............ 1,022,062
31,500 CENTERPOINT PROPERTIES CORP ................. 1,031,625
2,520 CETELEM S.A ................................. 290,836
15,300 CHELSEA GCA REALTY, INC ..................... 529,762
95,400 oCITYSCAPE FINANCIAL CORP .................... 2,504,250
53,400 CMAC INVESTMENT CORP ........................ 1,962,450
712,400 oCOAST SAVINGS FINANCIAL, INC ................ 26,091,650
115,000 COLLECTIVE BANCORP, INC ..................... 4,039,375
387,825 COMDISCO, INC ............................... 12,313,443
96,872 COMPAGNIE BANCAIRE S.A ...................... 11,440,983
1,410,084 COUNTRYWIDE CREDIT INDUSTRIES, INC .......... 40,363,654
79,300 oCREDIT ACCEPTANCE CORP ...................... 1,863,550
51,000 CREDIT SAISON CO LTD ........................ 1,137,955
737,900 CWM MORTGAGE HOLDINGS, INC .................. 15,864,850
2,139,108 DAIWA SECURITIES CO LTD ..................... 18,981,267
1,513,286 DEAN WITTER, DISCOVER & CO .................. 100,255,197
33,900 DEVELOPERS DIVERSIFIED REALTY CORP .......... 1,258,537
533 DUFF & PHELPS CREDIT RATING CO .............. 12,858
52,000 DUKE REALTY INVESTMENTS, INC ................ 2,002,000
116,000 EATON VANCE CORP ............................ 5,524,500
42,289 oECHELON INTERNATIONAL CORP .................. 660,765
616,900 EDWARDS (A.G.), INC ......................... 20,743,262
78,800 oENVOY CORP .................................. 2,955,000
304,800 EQUITY RESIDENTIAL
PROPERTIES TRUST CO ........................ 12,573,000
1,157 EURAFRANCE S.A .............................. 498,959
16,200 EVANS WITHYCOMBE RESIDENTIAL, INC ........... 340,200
14,600 EXCEL REALTY TRUST, INC ..................... 370,475
1,668,400 FEDERAL HOME LOAN MORTGAGE CORP ............. 183,732,550
10,665,600 FEDERAL NATIONAL
MORTGAGE ASSOCIATION ....................... 397,293,600
27,500 FEDERAL REALTY INVESTMENT TRUST ............. 745,937
3,814,800 FINANCE ONE CO, LTD (FR) .................... 7,253,260
248,200 FINOVA GROUP, INC ........................... 15,946,850
843,250 FIRST FINANCIAL CORP (WISCONSIN) ............ 20,659,625
3,620 oFIRST HUNGARY FUND LTD (CLASS A) ............ 3,557,989
1,598,400 oFIRST NIS REGIONAL FUND (FULLY PD) .......... 18,781,200
400,000 oFIRST RUSSIAN FRONTIER TRUST PLC ............ 3,901,764
1,212,200 FIRST USA, INC .............................. 41,972,425
187,358 FRANCHISE FINANCE CORP OF AMERICA ........... 5,175,764
409,200 FRANKLIN RESOURCES, INC ..................... 27,979,050
449,800 oGARTNER GROUP, INC (CLASS A) NEW ............ 17,514,087
129,500 GENERAL GROWTH PROPERTIES, INC .............. 4,176,375
35,440 oGENTRA, INC ................................. 58,950
1,706,700 oGLENDALE FEDERAL
SAVINGS BANK, INC NEW....................... 39,680,775
112,100 GLIMCHER REALTY TRUST ....................... 2,466,200
859,400 GOLDEN WEST FINANCIAL CORP .................. 54,249,625
174,500 GREAT FINANCIAL CORP ........................ 5,082,312
2,603,500 GREAT WESTERN FINANCIAL CORP ................ 75,501,500
2,057,500 GREEN TREE FINANCIAL CORP ................... 79,470,937
2,964,800 H.F. AHMANSON & CO .......................... 96,356,000
4,800 oHANG LUNG DEVELOPMENT CO LTD
WTS 10/31/97 ............................... 1,427
417,700 HEALTH AND RETIREMENT
PROPERTY TRUST ............................. 8,092,937
11,800 HEALTH CARE REIT, INC ....................... 289,100
31,700 HEALTHCARE REALTY TRUST, INC ................ 840,050
273,900 ~oHEIZER CORP (LIQUIDATING TRUST) ............. 113,394
106,200 HIGHWOODS PROPERTIES, INC ................... 3,584,250
125,333 HONG LEONG CREDIT BERHAD .................... 789,068
774,554 HOUSEHOLD INTERNATIONAL, INC ................ 71,452,606
2,000 INCENTIVE AB SERIES A FREE .................. 144,991
800 INCENTIVE AB SERIES B FREE .................. 57,996
14,140 oINVESCO FUNDING PLC ADR ..................... 625,695
70,700 INVESCO PLC ADR ............................. 3,137,312
35,939 INVESTORS FINANCIAL SERVICES CORP ........... 997,307
21,600 INVESTORS GROUP INC ......................... 425,475
40,000 oITLA CAPITAL CORP ........................... 600,000
581,000 JACCS CO .................................... 4,504,783
720 JAPAN ASSOCIATED FINANCE CO ................. 56,755
31,000 JP REALTY, INC .............................. 802,125
913,342 LEHMAN BROTHERS HOLDINGS, INC ............... 28,656,105
1,425,000 LONDON FORFAITING CO PLC .................... 7,352,386
43,500 MACERICH CO (THE) ........................... 1,136,437
96,075 MARYLAND FEDERAL BANCORP .................... 3,338,606
600,000 MBF CAPITAL BERHAD .......................... 974,064
1,643,975 MBNA CORP ................................... 68,224,962
821,500 MEDITRUST CORP .............................. 32,860,000
11,895 MERCAPITAL S.A .............................. 105,166
73,480 MERCURY ASSETS
MANAGEMENT GROUP PLC ....................... 1,563,655
1,212,200 MERCURY FINANCE CO .......................... 14,849,450
1,657,796 MERRILL LYNCH & CO, INC ..................... 135,110,374
471,299 MERRY LAND & INVESTMENT CO, INC ............. 10,132,928
4,300 MGI PROPERTIES, INC ......................... 94,600
893,200 MORGAN STANLEY GROUP, INC ................... 51,024,050
102,800 NATIONAL FINANCE & SECURITIES
PUBLIC CO LTD (FR) ......................... 192,451
36,100 NATIONAL HEALTH INVESTORS, INC .............. 1,367,287
87,800 NATIONWIDE HEALTH PROPERTIES, INC ........... 2,129,150
2,668,700 NAVA FINANCE & SECURITIES
PUBLIC CO LTD (FR) ......................... 3,668,983
274,659 NEW PLAN REALTY TRUST ....................... 6,969,472
150,000 NEWCOURT CREDIT GROUP, INC .................. 5,176,185
600 NICE NICHIEI CO LTD ......................... 1,333
848,000 NIPPON SHINPAN CO LTD ....................... 4,748,588
3,457,744 NOMURA SECURITIES CO LTD .................... 51,831,928
4,313 NPM HOLDINGS NV ............................. 165,808
282,600 oOLYMPIC FINANCIAL LTD ....................... 4,062,375
822,000 ORIENT CORP ................................. 4,411,793
27,187 ORIX CORP ................................... 1,128,921
16,547 oPACIFIC CREST CAPITAL, INC .................. 190,290
664,000 PAINE WEBBER GROUP, INC ..................... 18,675,000
269,400 PENNCORP FINANCIAL GROUP, INC ............... 9,698,400
250,000 PEREGRINE INVESTMENT HOLDINGS LTD ........... 428,246
25,000 oPEREGRINE INVESTMENT HOLDINGS LTD
WTS 5/15/98 ................................ 7,999
170,000 PERPETUAL PLC ............................... 6,654,817
485,000 PHATRA THANAKIT CO LTD (FR) ................. 1,361,949
7,900 PHOENIX, DUFF & PHELPS CORP ................. 56,287
242,800 PIONEER GROUP, INC .......................... 5,766,500
179,100 PMI GROUP, INC .............................. 9,917,662
40,100 POST PROPERTIES, INC ........................ 1,614,025
45,000 POWER FINANCIAL CORP ........................ 1,602,100
483,800 PRICE (T. ROWE) ASSOCIATES, INC ............. 21,045,300
147,000 PROMISE CO LTD .............................. 7,218,508
109,925 PROVIDENT FINANCIAL PLC ..................... 945,276
177,000 PUBLIC STORAGE, INC ......................... 5,487,000
97,162 QUICK & REILLY GROUP, INC ................... 2,902,714
64,000 oRAC FINANCIAL GROUP, INC .................... 1,352,000
140,000 oRASHID HUSSAIN BERHAD ....................... 925,756
27,600 REALTY INCOME CORP .......................... 658,950
7,600 REGENCY REALTY CORP ......................... 199,500
18,000 RESOURCE MORTGAGE CAPITAL CORP .............. 528,750
336,600 RFS HOTEL INVESTORS, INC .................... 6,647,850
</TABLE>
See notes to financial statements.
-29-
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<S> <C> <C>
FINANCIAL--MISCELLANEOUS--(CONTINUED)
34,803 RIT CAPITAL PARTNERS PLC .................... $ 139,068
192,500 ROOSEVELT FINANCIAL GROUP, INC .............. 4,042,500
924,700 SALOMON, INC ................................ 43,576,487
79,760 SCHROEDERS LTD .............................. 2,067,873
891,200 SCHWAB (CHARLES) CORP ....................... 28,518,400
76,000 oSEACOR HOLDINGS, INC ........................ 4,788,000
469,500 SECURITY CAPITAL PACIFIC TRUST .............. 10,739,812
46,600 SOUTH WEST PROPERTY TRUST, INC .............. 786,375
167,500 SPIEKER PROPERTIES, INC ..................... 6,030,000
140,692 oST JAMES PLACE CAPITAL PLC .................. 237,154
132,500 ST. FRANCIS CAPITAL CORP .................... 3,445,000
213,400 STEWART INFORMATION SERVICES CORP ........... 4,428,050
55,000 STORAGE USA, INC ............................ 2,069,375
290,000 STUDENT LOAN CORP ........................... 10,802,500
1,162,050 STUDENT LOAN MARKETING ASSOCIATION .......... 108,215,906
21,500 SUMMIT PROPERTIES, INC ...................... 475,687
28,500 SUN COMMUNITIES, INC ........................ 983,250
600,300 TCF FINANCIAL CORP .......................... 26,113,050
329,875 THE MONEY STORE, INC ........................ 9,112,796
6,300 THORNBURG MORTGAGE ASSET CORP ............... 134,662
426,600 TIG HOLDINGS, INC ........................... 14,451,075
12,100 TOWN & COUNTRY TRUST ........................ 176,962
23,300 TRINET CORPORATE REALTY TRUST, INC .......... 827,150
122,000 UNITED ASSET MANAGEMENT CORP ................ 3,248,250
373,700 UNITED COS FINANCIAL CORP ................... 9,949,762
496,300 UNITED DOMINION REALTY TRUST CO ............. 7,692,650
289,000 VALUE LINE, INC ............................. 12,788,250
46,897 oVALUE REAL'N TRUST .......................... 60,191
12,000 VORNADO REALTY TRUST ........................ 630,000
90,150 WHITNEY HOLDING CORP ........................ 3,189,056
875,600 YAMAICHI SECURITIES CO LTD .................. 3,884,796
---------------
2,917,724,597
---------------
FOODS--1.90%
1,000 AARHUS OLIEFABRIK AS (CLASS A) .............. 51,704
1,700 AARHUS OLIEFABRIK AS (CLASS B) .............. 88,185
534,610 AJINOMOTO CO LTD ............................ 5,434,684
5,901,574 ARCHER DANIELS MIDLAND CO ................... 129,834,628
123,000 ARIAKE JAPAN CO LTD ......................... 3,941,879
36,000 ARNOTTS LTD ................................. 241,626
365,200 ASSOCIATED BRITISH FOODS PLC ................ 3,027,963
3,720 AULT FOODS LTD .............................. 51,700
62,749 BAGLEY S.A. (CLASS B) ....................... 128,661
770 BONGRAIN S.A ................................ 297,258
463,469 BRL HARDY LTD ............................... 1,133,850
1,726,228 BURNS PHILP & CO LTD ........................ 3,071,360
427,978 CADBURY SCHWEPPES LTD ....................... 3,607,063
839,200 CAMPBELL SOUP CO ............................ 67,345,800
328,900 CHIQUITA BRANDS INTERNATIONAL, INC .......... 4,193,475
1,972,304 CONAGRA, INC ................................ 98,122,124
1,889,300 CPC INTERNATIONAL, INC ...................... 146,420,750
40,500 CULTOR OY SERIES 2 .......................... 2,082,557
22,500 DANISCO AS .................................. 1,365,507
29,042 DANONE GROUP ................................ 4,038,885
331,750 DEAN FOODS CO ............................... 10,698,937
91,000 DEL MONTE ROYAL FOODS LTD ................... 91,437
529,684 DOLE FOOD, INC .............................. 17,943,045
307,000 DREYERS GRAND ICE CREAM, INC ................ 8,903,000
97,032 EARTHGRAINS CO .............................. 5,069,922
9,331 ERIDANIA BEGHIN-SAY S.A ..................... 1,498,688
557,000 EZAKI GLICO CO LTD .......................... 4,798,555
95,986 oFINANZIARIA AUTOGRILL S.P.A ................. 92,843
538,950 FLOWERS INDUSTRIES, INC ..................... 11,587,425
5,000 oG.I.B. HOLDINGS LTD ......................... 223,837
1,801,100 GENERAL MILLS, INC .......................... 114,144,712
847,900 oGENERAL NUTRITION COS, INC .................. 14,308,312
162,600 GOLDEN ENTERPRISES, INC ..................... 1,260,150
3,628,801 GOODMAN FIELDER LTD ......................... 4,496,476
90,000 GRUPO INDUSTRIAL BIMBO S.A ..................
DE CV SERIES A ............................. 537,349
272,000 GRUPO INDUSTRIAL MASECA SERIES B ............ 344,838
2,689,450 HEINZ (H.J.) CO ............................. 96,147,837
33,000 HERDEZ S.A. SERIES B ........................ 9,054
686,696 HERSHEY FOODS CORP .......................... 30,042,950
516,200 HORMEL FOODS CORP ........................... 13,937,400
273,400 HOUSE FOODS CORP ............................ 4,404,487
100,000 HUDSON FOODS, INC ........................... 1,900,000
66,500 HUTECH NORIN CO LTD ......................... 1,798,898
697,600 IBP, INC .................................... 16,916,800
340,300 oINTERNATIONAL DAIRY
QUEEN, INC (CLASS A) ....................... 6,806,000
294,100 INTERNATIONAL MULTIFOODS CORP ............... 5,330,562
40,000 INTERSTATE BAKERIES CORP .................... 1,965,000
757,000 ITOHAM FOODS, INC ........................... 4,682,476
256,900 oJ & J SNACK FOODS CORP ...................... 3,468,150
350,115 KATOKICHI CO LTD ............................ 6,786,541
659,200 KELLOGG CO .................................. 43,260,000
1,200,666 KENTUCKY FRIED CHICKEN BERHAD ............... 4,944,335
333,333 oKENTUCKY FRIED CHICKEN BERHAD
WTS 9/30/01 ................................ 398,600
65,000 KERRY GROUP (CLASS A) ....................... 661,845
103,301 KIKKOMAN CORP ............................... 609,607
5,500 KOIPE S.A ................................... 317,130
5,000 KORN-OG FODERSTOF KOMPAGNIET AS ............. 202,486
250,000 LA DORIA S.P.A .............................. 970,550
213,632 LANCE, INC .................................. 3,845,376
171,500 LEDESMA S.A ................................. 214,417
4,119 MAPLE LEAF FOODS, INC ....................... 27,796
54,000 MARUDAI FOOD CO LTD ......................... 287,964
124,000 oMARUHA CORP ................................. 355,730
759,900 MCCORMICK & CO, INC (NON-VTG) ............... 17,905,143
110,000 oMEFOS LTD ................................... 1,184,562
290,700 MEIJI MILK PRODUCTS CO LTD .................. 1,477,584
295,000 MEIJI SEIKA KAISHA LTD ...................... 1,527,396
252,675 MICHAEL FOODS, INC .......................... 3,221,606
115,000 oMIDWEST GRAIN PRODUCTS, INC ................. 1,955,000
101,438 MOLINOS RIO DE LA PLATA S.A. (CLASS B) ...... 361,191
285,500 NABISCO HOLDINGS CORP (CLASS A) ............. 11,098,812
80,800 NATURES SUNSHINE PRODUCTS, INC .............. 1,454,400
123,500 oNBTY, INC ................................... 2,346,500
96,000 NESTLE MALAYSIA BERHAD ...................... 771,648
46,476 NESTLE S.A. (REGD) .......................... 49,736,411
132,000 NICHIREI CORP ............................... 640,232
271,000 NIPPON BEET SUGAR
MANUFACTURING CO LTD ....................... 1,003,905
617,200 NIPPON MEAT PACKERS, INC .................... 7,975,767
122,000 oNIPPON SUISAN KAISHA LTD .................... 430,922
99,000 NISSIN FOOD PRODUCTS CO LTD ................. 2,106,625
64,157 NUTRICIA NV ................................. 9,735,938
71,500 ORKLA AS SERIES A ........................... 4,982,843
7,748 ORKLA AS SERIES B ........................... 491,423
5,030,000 PARMALAT FINANZIARIA S.P.A .................. 7,678,596
12,300 oPASCUAL HERMANOS S.A ........................ 6,241
2,638,555 PERDIGAO S.A. COMERICO E INDUSTRIA .......... 4,570
485,100 PIONEER-HI-BRED INTERNATIONAL, INC .......... 33,957,000
350,000 oPOWER PACIFIC LTD ........................... 17,236
18,574 oPROVIGO, INC ................................ 75,206
2,000,000 oPT CHAROEN POKPHAND INDONESIA (FR) .......... 2,263,050
5,120,000 oPT INDOFOOD SUKSES MAKMUR (FR) .............. 10,179,072
575,739 Q.P. CORP ................................... 4,662,392
1,015,332 QUAKER OATS CO .............................. 38,709,532
30,000 oRAISION TEHTAAT OY .......................... 1,887,612
</TABLE>
See notes to financial statements.
-30-
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<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
FOODS--(CONTINUED)
608,043 oRALCORP HOLDINGS, INC ....................... $ 12,844,908
837,991 RALSTON PURINA CO ........................... 61,487,589
267,900 RICHFOOD HOLDINGS, INC ...................... 6,496,575
57,500 oSANDERSON FARMS, INC ........................ 963,125
92,000 oSANTISTA ALIMENTOS S.A ...................... 213,376
3,856,000 SARA LEE CORP ............................... 143,636,000
309,100 SAVANNAH FOODS & INDUSTRIES, INC ............ 4,172,850
22,000 SMITH (C.G) LTD ............................. 107,471
174,600 oSMITHFIELD FOODS, INC ....................... 6,634,800
50,131 SMITH'S FOOD & DRUG CENTERS, INC
(CLASS B) .................................. 1,554,061
101,900 SMUCKER, (J.M.) CO (CLASS A) ................ 1,795,987
199,400 SMUCKER, (J.M.) CO (CLASS B) ................ 3,190,400
929,950 SNOW BRAND MILK PRODUCTS CO ................. 5,247,545
207,100 oSPAGHETTI WAREHOUSE, INC .................... 1,087,275
2,812 ST. LOUIS S.A ............................... 698,834
88,000 TAKARA SHUZO CO LTD ......................... 617,867
158,193 TATE & LYLE PLC ............................. 1,283,192
208,200 TCBY ENTERPRISES, INC ....................... 832,800
41,700 TIGER OATS LTD .............................. 579,475
264,682 TOOTSIE ROLL INDUSTRIES, INC ................ 10,488,024
455,500 TYSON FOODS, INC ............................ 15,600,875
97,900 UNIGATE PLC ................................. 696,113
336,000 UNILEVER LTD ................................ 8,144,829
274,800 UNILEVER NV CERTIFICATES .................... 48,548,358
234,091 UNITED BISCUITS HOLDINGS PLC ................ 841,259
308,720 UNIVERSAL FOODS CORP ........................ 10,882,380
8,420 VISCOFAN S.A ................................ 122,992
97,600 WESTON (GEORGE) LTD ......................... 4,760,018
71,500 oWHOLE FOODS MARKET, INC ..................... 1,608,750
442,200 WRIGLEY (WM) JR CO .......................... 24,873,750
373,800 WRIGLEY (WM) JR CO (CLASS B) ................ 21,026,250
119,300 YAMAZAKI BAKING CO LTD ...................... 1,901,373
300,000 YOMEISHU SEIZO CO LTD ....................... 2,295,036
200 YOSHINOYA D&C CO LTD ........................ 2,446,660
---------------
1,548,300,388
---------------
FOREST PRODUCTS--0.47%
1,906,872 AMCOR LTD ................................... 12,253,343
350,000 ARACRUZ CELLULOSE S.A. ADR .................. 2,887,500
335,000 ARJO WIGGINS APPLETON PLC ................... 1,026,181
2,220,700 oASIA PACIFIC RESOURCES
INTERNATIONAL HOLDINGS (CLASS A) ........... 12,491,437
60,300 AVENOR, INC ................................. 893,039
477,232 BOISE CASCADE CORP .......................... 15,152,116
10,168,977 CARTER HOLT HARVEY LTD ...................... 23,065,131
53,280 CARTIERE BURGO S.P.A ........................ 245,407
595,290 CHAMPION INTERNATIONAL CORP ................. 25,746,292
119,000 oCOLLINS & AIKMAN CORP ....................... 743,750
90,800 DOMTAR, INC ................................. 768,424
393,680 DOMTAR, INC (U.S.) .......................... 3,247,860
47,300 DONOHUE, INC (CLASS A) ...................... 854,070
69,174 oFIBREBOARD CORP NEW ......................... 2,334,622
2,176,648 FLETCHER CHALLENGE LTD
(ENERGY DIVISION) .......................... 6,305,879
4,589,760 FLETCHER CHALLENGE LTD
(FORESTS DIVISION) ......................... 7,686,204
647,400 GEORGIA-PACIFIC CORP ........................ 46,612,800
125 HOKUSHIN CO LTD ............................. 846
77,000 oINTERNATIONAL FOREST PRODUCTS LTD ........... 603,888
80,340 KONINKLIJKE KNP BT NV ....................... 1,750,965
19,000 oKORSNAS AB SERIES A ......................... 320,006
766,736 LOUISIANA PACIFIC CORP ...................... 16,197,298
48,400 MACMILLAN BLOEDEL LTD ....................... 633,821
51,800 MADERAS Y SINTETICOS S.A. ADR ............... 725,200
71,000 MO OCH DOMSJO AB SERIES B FREE .............. 1,996,488
10,600 NORSKE SKOGINDUSTRIER SERIES A .............. 353,587
2,400 NORSKE SKOGINDUSTRIER SERIES B .............. 73,104
2,500 PAPIERWERKE
WALDHOF-ASCHAFFENBURG AG. .................. 332,554
33,400 POPE & TALBOT, INC .......................... 530,225
200,000 PORTUCEL INDUSTRIA EMPRESA 144A ............. 1,159,380
221,200 POTLATCH CORP ............................... 9,511,600
452,884 RAYONIER, INC ............................... 17,379,423
7,000 oREPAP ENTERPRISES, INC ...................... 19,763
204,974 REXAM PLC ................................... 1,264,533
319,900 SCA AB SERIES B ............................. 6,488,901
95,000 SLOCAN FOREST PRODUCTS LTD .................. 1,074,268
405,825 SMURFIT (JEFFERSON) GROUP PLC ............... 1,204,937
113,000 oSTONE CONSOLIDATED CORP ..................... 1,615,816
454,450 STORA KOPPARBERG BERGSLAGS
SERIES A FREE .............................. 6,256,351
75,550 STORA KOPPARBERG BERGSLAGS
SERIES B FREE .............................. 1,029,021
77,142 TABLEROS DE FIBRAS S.A. SERIES B ............ 794,710
331,400 TJ INTERNATIONAL, INC ....................... 7,705,050
927,900 oUPM-KYMMENE OY .............................. 19,427,735
1,759,450 WEYERHAEUSER CO ............................. 83,353,943
501,236 WILLAMETTE INDUSTRIES, INC .................. 34,898,556
---------------
379,016,024
---------------
HEALTHCARE--DRUGS--5.55%
1,507,991 +oAFFYMETRIX, INC ............................. 30,442,568
105,400 oAGOURON PHARMACEUTICALS, INC ................ 7,140,850
377,800 oALLIANCE PHARMACEUTICAL CORP ................ 5,147,525
22,900 oALPHA BETA TECHNOLOGY, INC .................. 241,881
686,000 oALZA CORP ................................... 17,750,250
5,364,202 AMERICAN HOME PRODUCTS CORP ................. 314,476,342
2,941,600 oAMGEN, INC .................................. 159,949,500
102,549 oAQUILA BIOPHARMACEUTICALS, INC .............. 499,926
466,337 ARBOR DRUGS, INC ............................ 8,102,605
12,057 ARES-SERONO S.A. SERIES B ................... 11,466,188
1,232,580 ASTRA AB SERIES A FREE ...................... 60,834,813
144,400 ASTRA AB SERIES B FREE ...................... 6,957,773
491,000 BANYU PHARMACEUTICAL CO LTD ................. 6,852,543
437,642 BERGEN BRUNSWIG CORP (CLASS A) .............. 12,472,797
161,250 oBIO-RAD LABORATORIES, INC (CLASS A) ......... 4,837,500
315,400 oBIO-TECHNOLOGY GENERAL CORP ................. 4,139,625
17,000 oBIOCHEM PHARMACEUTICALS, INC ................ 847,705
545,900 oBIOGEN, INC ................................. 21,153,625
99,300 oBIOMIRA, INC ................................ 481,757
145,154 BLOCK DRUG, INC (CLASS A) ................... 6,677,084
4,953,540 BRISTOL MYERS SQUIBB CO ..................... 538,697,475
750,000 oBRITISH BIOTECH PLC ......................... 2,637,541
127,300 oCELLPRO, INC ................................ 1,591,250
734,000 oCENTOCOR, INC ............................... 26,240,500
289,200 oCEPHALON, INC ............................... 5,928,600
4,092,668 oCHIRON CORP ................................. 76,225,941
764,180 CHUGAI PHARMACEUTICAL CO LTD ................ 6,385,908
373,400 COLLAGEN CORP ............................... 6,814,550
700 oCOPLEY PHARMACEUTICAL, INC .................. 6,475
229,200 oCYGNUS, INC ................................. 3,323,400
524,982 oCYTOGEN CORP ................................ 2,887,401
210,468 DAIICHI PHARMACEUTICAL CO LTD ............... 3,372,518
950 DAINIPPON PHARMACEUTICAL CO LTD ............. 8,020
257,270 oDR. REDDYS LABORATORIES LTD GDR ............. 932,603
294,600 oDURA PHARMACEUTICALS, INC ................... 14,067,150
461,641 EISAI CO LTD ................................ 9,067,644
145,241 ELF SANOFI S.A .............................. 14,415,696
</TABLE>
See notes to financial statements.
-31-
<PAGE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
HEALTHCARE--DRUGS--(CONTINUED)
154,269 oENZO BIOCHEMICAL, INC ....................... $ 2,796,125
155,939 F.H. FAULDING & CO LTD ...................... 1,054,068
47,000 oFDM PHARMACEUTICAL CO ....................... 1,808,108
503,200 oFOREST LABORATORIES, INC .................... 16,479,800
40,000 FUJISAWA PHARMACUEUTICAL CO LTD ............. 358,384
40,500 oGENENTECH, INC .............................. 2,171,812
94,280 oGENETICS INSTITUTE, INC
(DEPOSITORY SHARES) ........................ 7,990,230
404,700 +oGENSET S.A .................................. 18,994,144
283,381 oGENSIA, INC ................................. 1,310,637
745,800 oGENZYME CORP (GENERAL DIVISION) ............. 16,221,150
35,302 oGENZYME CORP
(TISSUE REPAIR DIVISION) ................... 251,526
299,200 oGILEAD SCIENCES, INC ........................ 7,480,000
4,049,682 GLAXO WELLCOME PLC .......................... 65,698,493
13,410 HAFSLUND AS SERIES A ........................ 98,704
25,802 HAFSLUND AS SERIES B ........................ 176,581
277,000 HUMAN GENOME SCIENCES, INC .................. 11,287,750
150,800 oIMMUNE RESPONSE CORP ........................ 1,244,100
436,800 oIMMUNEX CORP NEW ............................ 8,517,600
614,500 oIMMUNOMEDICS, INC ........................... 3,379,750
3,000 oINCYTE PHARMACEUTICALS, INC ................. 154,500
395,400 oINTERNEURON PHARMACEUTICALS, INC ............ 10,280,400
106,900 oISIS PHARMACEUTICALS, INC ................... 1,924,200
1,745,959 IVAX CORP ................................... 17,896,079
163,800 JONES MEDICAL INDUSTRIES, INC ............... 5,999,175
21,555 KISSEI PHARMACEUTICALS CO LTD ............... 427,101
190,080 KYOWA HAKKO KOGYO ........................... 1,447,584
25,000 LABORATORIO CHILE ADR ....................... 412,500
5,133,610 LILLY (ELI) & CO ............................ 374,753,530
459,600 oLIPOSOME CO, INC ............................ 8,789,850
447,200 ~oMARTEK BIOSCIENCES CORP. .................... 8,944,000
140,210 ~oMARTEK BIOSCIENCES CORP
WTS 5/18/98 ................................ 1,414,718
23,500 oMATRIX PHARMACEUTICALS, INC ................. 143,937
459,400 MCKESSON CORP NEW ........................... 25,726,400
188,000 oMEDIMMUNE, INC .............................. 3,196,000
66,000 MERCK & CO KGAA ............................. 2,372,590
10,374,517 MERCK & CO, INC ............................. 822,180,472
187,500 oMILLENNIUM PHARMACEUTICALS, INC ............. 3,257,812
450 MOCHIDA PHARMACEUTICAL CO LTD ............... 4,341
210,550 oMOLECULAR BIOSYSTEMS, INC ................... 1,368,575
1,335,450 MYLAN LABORATORIES, INC ..................... 22,368,787
100,000 MYRIAD GENETICS, INC ........................ 2,525,000
38,900 oNEUROGEN CORP ............................... 748,825
306,572 oNEXSTAR PHARMACEUTICALS, INC ................ 4,598,580
271,500 oNORTH AMERICAN VACCINE, INC ................. 6,583,875
26,300 oNOVARTIS AG. (BR) ........................... 30,005,678
172,638,000 oNOVARTIS AG. (REGD) ......................... 197,091,313
62,210 NOVO NORDISK AS (CLASS B) ................... 11,706,088
13,410 oNYCOMED AS SERIES A ......................... 204,759
25,802 oNYCOMED AS SERIES B ......................... 395,995
418 ONO PHARMACEUTICAL CO LTD ................... 12,423
24,700 oPAREXEL INTERNATIONAL CORP .................. 1,275,137
5,339,100 PFIZER, INC ................................. 442,477,912
313,242 oPHARMACEUTICAL RESOURCES, INC ............... 1,096,347
4,100,085 PHARMACIA & UPJOHN, INC ..................... 162,465,867
34,400 oPROTEIN DESIGN LABORATORIES, INC ............ 1,255,600
145,000 oREGENERON PHARMACEUTICALS, INC .............. 2,338,125
244,300 oREPLIGEN CORP ............................... 290,106
392,400 RHONE-POULNEC RORER, INC .................... 30,656,250
100,000 oRIBOZYME PHARMACEUTICALS, INC ............... 1,100,000
128,000 RIKEN VITAMIN CO LTD ........................ 1,654,080
213,700 oROBERTS PHARMACEUTICAL CORP ................. 2,404,125
1,299 ROCHE HOLDINGS AG. (BR) ..................... 14,607,471
9,897 ROCHE HOLDINGS AG. (GENUSSCHEINE) ........... 76,762,971
75,231 ROUSSEL UCLAF S.A ........................... 22,096,962
571,713 SANKYO CO LTD ............................... 16,155,008
215,000 SANTEN PHARMACEUTICAL CO LTD ................ 4,445,340
332,700 oSCHERER (R.P.) CORP ......................... 16,718,175
64,170 SCHERING AG ................................. 5,408,916
3,657,356 SCHERING-PLOUGH CORP ........................ 236,813,801
779,550 oSCIOS, INC .................................. 4,786,928
224,600 oSEPRACOR, INC ............................... 3,733,975
200,000 oSEQUANA THERAPEUTICS, INC ................... 3,350,000
477,300 oSEQUUS PHARMACEUTICALS, INC ................. 7,636,800
225,950 SHIONOGI & CO LTD ........................... 1,609,804
3,522,206 SMITHKLINE BEECHAM/BECKMAN LTD .............. 48,793,026
132,400 oSOMATOGEN, INC .............................. 1,456,400
211,800 oSYNCOR INTERNATIONAL CORP NEW ............... 2,832,825
40,375 SYNTHELABO S.A .............................. 4,356,844
160,700 TAISHO PHARMACEUTICAL CO LTD ................ 3,779,495
1,083,100 TAKEDA CHEMICAL INDUSTRIES LTD .............. 22,674,102
702 TANABE SEIYAKU CO LTD ....................... 5,461
1,000 TEIKOKU HORMONE MANUFACTURING ............... 11,199
322,000 TERUMO CORP ................................. 4,355,227
445,050 oTHERMEDICS, INC ............................. 8,066,531
260,128 oU.S. BIOSCIENCE, INC ........................ 3,284,116
153,400 oVERTEX PHARMACEUTICALS, INC ................. 6,174,350
2,175,000 WARNER-LAMBERT CO ........................... 163,125,000
417,500 oWATSON PHARMACEUTICALS, INC ................. 18,761,406
366,603 oXOMA CORP ................................... 1,878,840
663,485 YAMANOUCHI PHARMACEUTICAL CO LTD ............ 13,603,897
982,592 ZENECA GROUP PLC ............................ 27,702,872
---------------
4,519,330,869
---------------
HEALTHCARE--HOSPITAL SUPPLY--1.54%
6,416,188 ABBOTT LABORATORIES CO ...................... 325,621,541
503,993 ALLEGIANCE CORP ............................. 13,922,806
699,572 BARD (C.R.), INC ............................ 19,588,016
2,371,566 BAXTER INTERNATIONAL, INC ................... 97,234,206
1,187,912 BECTON DICKINSON & CO ....................... 51,525,683
700 oCNS, INC .................................... 10,062
258,600 DENTSPLY INTERNATIONAL, INC NEW ............. 12,283,500
1,179,500 DEPUY, INC .................................. 23,884,875
684,413 GUIDANT CORP ................................ 39,011,541
125,100 oGULF SOUTH MEDICAL SUPPLY, INC .............. 3,205,687
26,800 oHAEMONETICS CORP ............................ 505,850
159,423 oHEALTHDYNE TECHNOLOGIES, INC ................ 1,414,879
49,400 HOGY MEDICAL CO ............................. 1,919,370
294,800 oIMMUCOR, INC ................................ 2,874,300
123,000 oISOLYSER CO, INC ............................ 861,000
11,159,854 JOHNSON & JOHNSON CO ........................ 555,202,736
1,113,800 MILLIPORE CORP .............................. 46,083,475
124,300 oNEUROMEDICAL SYSTEMS, INC ................... 1,646,975
110,000 oNOBEL BIOCARE AB ............................ 1,933,219
396,412 OWENS & MINOR, INC NEW ...................... 4,063,223
250,550 oPATTERSON DENTAL CO ......................... 7,078,037
306,600 oPHYSICIAN SALES & SERVICE, INC .............. 4,407,375
4,050 RADIOMETER AS (CLASS B) ..................... 240,298
31,500 oSCHEIN (HENRY), INC ......................... 1,082,812
195,500 oSOFAMOR DANEK GROUP, INC .................... 5,962,750
163,500 oTECNOL MEDICAL PRODUCTS, INC ................ 2,472,937
432,300 U.S. SURGICAL CORP .......................... 17,021,812
366,200 oVENTRITEX, INC .............................. 9,017,675
---------------
1,250,076,640
---------------
</TABLE>
See notes to financial statements.
-32-
<PAGE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
HEALTHCARE--OTHER--0.79%
117,600 oACCESS HEALTH, INC .......................... $ 5,262,600
344,000 oACUSON CORP ................................. 8,385,000
247,060 oADVANCED TECHNOLOGY
LABORATORIES, INC .......................... 7,658,860
310,100 oADVANCED TISSUE SCIENCE CO .................. 2,965,331
680,250 ALLERGAN, INC ............................... 24,233,906
71,800 oAMERICAN DRUG CO ............................ 17,950
71,800 oAMERICAN DRUG CO WTS 8/05/98 ................ 4,308
225,200 oAMERICAN MEDICAL RESPONSE, INC .............. 7,319,000
247,100 ARROW INTERNATIONAL, INC .................... 7,104,125
216,433 BALLARD MEDICAL PRODUCTS CO ................. 4,031,064
555,800 BAUSCH & LOMB, INC .......................... 19,453,000
161,373 oBEC GROUP, INC .............................. 847,208
1,279,800 BIOMET, INC ................................. 19,356,975
400,100 oBIOWHITTAKER, INC ........................... 3,200,800
985,778 oBOSTON SCIENTIFIC CORP ...................... 59,146,680
203,900 oCIRCON CORP ................................. 3,109,475
85,500 oCLINTRIALS INC .............................. 1,945,125
133,812 oCORAM HEALTHCARE CORP ....................... 669,060
341,900 oCOVENTRY CORP ............................... 3,167,918
134,400 oDATASCOPE CORP .............................. 2,688,000
172,200 DIAGNOSTIC PRODUCTS CORP .................... 4,455,675
181,300 oE-Z-EM, INC (CLASS A) ....................... 2,152,937
213,429 oE-Z-EM, INC (CLASS B) ....................... 2,507,790
784,996 oENZON, INC .................................. 2,305,925
102,963 oEPITOPE, INC ................................ 1,184,074
8,600 ESSILOR INTERNATIONAL ....................... 2,605,407
901,437 oFRESENIUS MEDICAL CARE AG. ADR .............. 25,352,915
109,000 FUKUDA DENSHI CO ............................ 2,413,319
282,200 oGENESIS HEALTH VENTURES, INC ................ 8,783,475
286,800 HILLENBRAND INDUSTRIES, INC ................. 10,396,500
385,200 oIDEXX LABORATORIES, INC ..................... 13,867,200
30,000 ~oINTERNATIONAL HYDRON
(LIQUIDATING TRUST) ........................ 600
37,600 KINETIC CONCEPTS, INC ....................... 460,600
760 KURAYA CORP ................................. 9,952
9,204,829 LONDON INTERNATIONAL GROUP PLC .............. 26,227,452
14,677 oLYNX THERAPEUTICS, INC ...................... 58,708
630,100 oMEDAPHIS CORP ............................... 7,049,243
165,700 oMEDCO RESEARCH, INC ......................... 1,739,850
2,008,772 MEDTRONIC, INC .............................. 136,596,496
414,000 MENTOR CORP ................................. 12,213,000
762,216 oNELLCOR PURITAN BENNETT, INC ................ 16,673,475
867,526 PALL CORP ................................... 22,121,913
77,900 oPHYMATRIX CORP .............................. 1,110,075
331,800 oPHYSICIAN RELIANCE NETWORK, INC ............. 2,571,450
190,000 oPHYSICIAN SUPPORT SYSTEMS, INC .............. 3,657,500
37,000 PIGEON CORP ................................. 516,383
219,000 oRESEARCH MEDICAL, INC ....................... 5,037,000
16,000 SAGAMI RUBBER INDUSTRIES CO LTD ............. 94,420
308,360 oSPACELABS MEDICAL, INC ...................... 6,321,380
580,450 oST. JUDE MEDICAL, INC ....................... 24,741,681
436,272 oSTERIS CORP ................................. 18,977,832
722,100 STEWART ENTERPRISES, INC (CLASS A) .......... 24,551,400
605,200 STRYKER CORP ................................ 18,080,350
328,200 oSUMMIT TECHNOLOGY, INC ...................... 1,805,100
879 SUN-S, INC .................................. 5,709
108,300 oSUNRISE MEDICAL, INC ........................ 1,719,262
716,400 oSYBRON INTERNATIONAL CORP ................... 23,641,200
223,900 oSYNETIC, INC ................................ 10,859,150
117,800 oTARGET THERAPEUTICS, INC .................... 4,947,600
142,900 oTHERMO CARDIOSYSTEMS, INC ................... 4,287,000
75,500 oTHERMOTREX CORP ............................. 2,066,812
112,100 oVIVUS, INC .................................. 4,063,625
---------------
638,797,820
---------------
HEALTHCARE--SERVICE--1.58%
195,200 ADAC LABORATORIES, INC NEW .................. 4,660,400
2,357,921 AETNA, INC .................................. 188,633,680
682,300 oAMERISOURCE HEALTH CORP (CLASS A) ........... 32,920,975
419,400 oAPRIA HEALTHCARE GROUP, INC ................. 7,863,750
755,761 oBEVERLY ENTERPRISES CO ...................... 9,635,952
1,784,609 CARDINAL HEALTH, INC ........................ 103,953,474
174,100 oCERNER CORP ................................. 2,698,550
1,934,181 oCHIROSCIENCE GROUP PLC ...................... 11,088,379
163,900 oCOASTAL PHYSICIAN GROUP, INC ................ 573,650
6,306,499 COLUMBIA/HCA HEALTHCARE CORP ................ 256,989,834
6,000 oEXTENDICARE INC (MULTI-VTG) ................. 70,912
64,000 oEXTENDICARE INC (SUB-VTG)(CLASS A) .......... 754,067
69,564 oFHP INTERNATIONAL CORP ...................... 2,582,563
500,850 oFOUNDATION HEALTH CORP ...................... 15,901,987
303,200 oFOXMEYER HEALTH CORP ........................ 492,700
21,000 FRESENIUS AG ................................ 4,224,254
256,600 oHEALTH CARE & RETIREMENT CORP ............... 7,345,175
35,100 HEALTH CARE PROPERTY INVESTORS, INC ......... 1,228,500
771,900 oHEALTH MANAGEMENT
ASSOCIATES, INC (CLASS A) NEW .............. 17,367,750
132,300 oHEALTH MANAGEMENT SYSTEMS, INC .............. 1,852,200
453,200 oHEALTH SYSTEMS INTERNATIONAL, INC ........... 11,216,700
433,927 oHEALTHCARE COMPARE CO ....................... 18,387,656
245,000 oHEALTHDYNE INFORMATION ENTERPRISES .......... 1,347,500
502,800 oHEALTHSOURCE, INC ........................... 6,599,250
1,208,625 oHEALTHSOUTH CORP ............................ 46,683,140
426,919 oHORIZON/CMS HEALTHCARE CORP ................. 5,389,852
1,586,932 oHUMANA, INC ................................. 30,350,074
200 oI-STAT CORP ................................. 4,750
195,200 INTEGRATED HEALTH SERVICES, INC ............. 4,758,000
200 oINTEGRATED SILICON SOLUTION, INC ............ 1,725
208,400 INVACARE CORP ............................... 5,731,000
358,160 oLABORATORY CORP OF
AMERICA HOLDINGS ........................... 1,029,710
75,098 oLABORATORY CORP OF
AMERICA HOLDINGS WTS 4/28/00 ............... 7,040
467,000 oLINCARE HOLDINGS, INC ....................... 19,147,000
157,000 oLIVING CENTERS OF AMERICA, INC .............. 4,356,750
305,300 oMAGELLAN HEALTH SERVICES, INC ............... 6,831,087
518,050 MANOR CARE, INC ............................. 13,987,350
329,500 oMARINER HEALTH GROUP, INC ................... 2,759,562
500,100 oMATRIA HEALTHCARE, INC ...................... 2,375,475
57,000 oMAXICARE HEALTH PLANS, INC .................. 1,268,250
47,000 oMDS INC, (CLASS B) .......................... 809,221
3,200,157 oMEDPARTNERS, INC ............................ 67,203,297
299,800 oMID ATLANTIC MEDICAL
SERVICES, INC .............................. 4,009,825
78,590 MORRISON HEALTH CARE, INC ................... 1,159,202
96,300 oMULTICARE COS, INC .......................... 1,950,075
42,600 NICHII GAKKAN CO ............................ 2,121,254
376,700 oNOVACARE, INC ............................... 4,143,700
155,700 oOCCUSYSTEMS, INC ............................ 4,203,900
620,200 OMNICARE, INC ............................... 19,923,925
602,670 oORNDA HEALTHCORP ............................ 17,628,097
206,000 oORTHODONTIC CENTERS OF AMERICA, INC ......... 3,296,000
371,100 oOWEN HEALTHCARE, INC ........................ 9,834,150
872,000 oOXFORD HEALTH PLANS, INC .................... 51,066,500
230,446 oPACIFICARE HEALTH SYSTEMS, INC
(CLASS A) .................................. 18,723,737
59,646 oPACIFICARE HEALTH SYSTEMS, INC
(CLASS B) .................................. 5,084,821
75,500 oPEDIATRIX MEDICAL GROUP, INC ................ 2,793,500
462,287 oPHYCOR, INC ................................. 13,117,393
270,600 oPHYSICIAN CORP OF AMERICA ................... 2,706,000
24,700 oPHYSICIANS HEALTH SERVICES, INC
(CLASS A) .................................. 364,325
205,200 oPHYSICIANS RESOURCE GROUP INC ............... 3,642,300
188,000 oRENAL TREATMENT CENTERS, INC ................ 4,794,000
123,900 oROTECH MEDICAL CORP ......................... 2,601,900
218,700 oSAFEGUARD HEALTH ENTERPRISES, INC ........... 3,827,250
73,900 oSIERRA HEALTH SERVICES, INC ................. 1,819,787
375,700 oSUN HEALTHCARE GROUP, INC ................... 5,071,950
384,000 oSUNQUEST INFORMATION SYSTEMS, INC ........... 5,472,000
2,052,728 oTENET HEALTHCARE CORP ....................... 44,903,425
30,400 oTOTAL RENAL CARE HOLDINGS, INC .............. 1,102,000
392,597 oTRANSITIONAL HOSPITALS CORP ................. 3,778,746
1,433,394 UNITED HEALTHCARE CORP ...................... 64,502,730
209,500 oUNIVERSAL HEALTH SERVICES, INC .............. 5,996,937
375,932 oVALUE HEALTH, INC ........................... 7,330,674
676,588 oVENCOR, INC ................................. 21,397,095
89,400 oVISX, INC ................................... 1,977,975
97,500 VITAL SIGNS, INC ............................ 2,535,000
576,133 oVIVRA, INC .................................. 15,915,674
172,553 oWELLPOINT HEALTH NETWORKS, INC .............. 5,931,509
---------------
1,285,810,497
---------------
</TABLE>
See notes to financial statements.
-33-
<PAGE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
HOUSEHOLD--CONSUMER
ELECTRONICS--0.21%
619,000 CASIO COMPUTER CO LTD ....................... $ 4,778,085
1,155 FUJI DENKI REIKI CO LTD ..................... 10,845
249,880 HARMAN INTERNATIONAL
INDUSTRIES, INC ............................ 13,899,575
3,571,854 MATSUSHITA ELECTRIC
INDUSTRIAL CO LTD .......................... 58,158,176
60,335 MATSUSHITA ELECTRIC
INDUSTRIAL CO LTD ADR ...................... 9,849,688
164,582 PIONEER ELECTRONIC CORP ..................... 3,133,501
2,744,400 SANYO ELECTRIC CO LTD ....................... 11,348,642
741,120 SHARP CORP .................................. 10,534,835
745,220 SONY CORP ................................... 48,728,333
207,800 SUN TELEVISION & APPLIANCES, INC ............ 493,525
294,000 UNIDEN CORP ................................. 3,875,199
460 VICTOR CO OF JAPAN LTD ...................... 4,557
443,822 oZENITH ELECTRONICS CORP ..................... 4,826,564
---------------
169,641,525
---------------
HOUSEHOLD--DURABLE GOODS--0.39%
147,662 BASSETT FURNITURE INDUSTRIES, INC ........... 3,617,719
871,800 BLACK & DECKER CORP ......................... 26,262,975
1,051,800 CERAMCO CORP LTD ............................ 1,003,322
171,200 DYNAMICS CORP OF AMERICA .................... 4,836,400
108,674 ELECTROLUX AB SERIES B ...................... 6,302,719
1,606,308 EMAIL LTD ................................... 5,192,874
174,800 FEDDERS CORP ................................ 1,092,500
152,950 FEDDERS CORP (CLASS A) ...................... 764,750
907,544 FISHER & PAYKEL INDUSTRIES LTD .............. 3,559,051
684,500 oGENTEX CORP ................................. 13,775,562
131,000 INDUSTRIE NATUZZI S.P.A. ADR ................ 3,013,000
237,567 oLADD FURNITURE, INC ......................... 3,474,417
1,068,200 LEGGETT & PLATT, INC ........................ 36,986,425
1,236,803 MAYTAG CO ................................... 24,426,859
29,400 NATIONAL PRESTO INDUSTRIES, INC ............. 1,098,825
1,433,662 NEWELL COS, INC ............................. 45,160,353
670 RINNAI CORP ................................. 13,448
987,900 SHAW INDUSTRIES, INC ........................ 11,607,825
559,800 STANLEY WORKS CO ............................ 15,114,600
2,833,400 SUNBEAM CORP ................................ 72,960,050
574,000 TAKARA STANDARD CO .......................... 4,771,934
613,700 WHIRLPOOL CORP .............................. 28,613,762
---------------
313,649,370
---------------
HOUSEHOLD--PRODUCTS--1.80%
47,800 AMSTRAD PLC ................................. 119,837
800 AMWAY JAPAN CO .............................. 25,638
519,413 APTARGROUP, INC ............................. 18,309,308
11,636 BIC S.A ..................................... 1,741,325
1,500 oBRIGHTPOINT, INC ............................ 44,625
123,400 CHURCH & DWIGHT CO, INC ..................... 2,822,775
281,133 CLOROX CO ................................... 28,218,724
1,263,186 COLGATE PALMOLIVE CO ........................ 116,528,908
973,200 DIAL CORP ................................... 14,354,700
60,500 EKCO GROUP, INC ............................. 264,687
259,500 oFIRST ALERT, INC ............................ 875,812
395,300 FIRST BRANDS CORP ........................... 11,216,637
162,200 GENERAL HOUSEWARES CORP ..................... 1,581,450
12,300 HERBALIFE INTERNATIONAL, INC ................ 401,287
1,063,183 KAO CORP .................................... 12,365,084
3,776,173 KIMBERLY-CLARK CORP ......................... 359,680,478
80,000 KIMBERLY CLARK DE MEXICO S.A
DE CV SERIES A ............................. 1,580,290
270,053 LANCASTER COLONY CORP ....................... 12,422,438
940,916 LION CORP ................................... 4,660,945
150,000 MOVADO GROUP, INC ........................... 4,087,500
504,296 NORITAKE CO LTD ............................. 4,196,796
440,400 oPERRIGO CO .................................. 4,018,650
564,800 PREMARK INTERNATIONAL, INC .................. 12,566,800
8,500 ~oPRIPPS RINGES AB ............................ 115,773
7,100,808 PROCTER & GAMBLE CO ......................... 763,336,860
1,058,100 RUBBERMAID, INC ............................. 24,071,775
301,300 oSCOTTS CO (CLASS A) ......................... 5,988,337
1,100 SMH AG. (BR) ................................ 675,827
22,532 SMH AG. (REGD) .............................. 3,204,955
120,400 STANHOME, INC ............................... 3,190,600
770,380 oSWEDISH MATCH CO ............................ 2,707,842
263,300 TAMBRANDS, INC .............................. 10,762,387
204,880 THOMAS INDUSTRIES, INC ...................... 4,276,870
574,600 TUPPERWARE CORP ............................. 30,812,925
38,000 UNI CHARM CORP .............................. 929,730
63,200 oUSA DETERGENTS, INC ......................... 2,630,700
---------------
1,464,789,275
---------------
INSURANCE--BROKERS &
OTHER--0.24%
96,600 oABR INFORMATION SERVICES, INC ............... 3,803,625
155,000 ACE LTD ..................................... 9,319,375
502,400 ALEXANDER & ALEXANDER SERVICES, INC ......... 8,729,200
153,200 CRAWFORD & CO (CLASS A) ..................... 3,312,950
126,000 CRAWFORD & CO (CLASS B) ..................... 2,882,250
1,315,098 EQUIFAX, INC ................................ 40,274,876
376,100 GALLAGHER (ARTHUR J.) & CO .................. 11,659,100
373,600 JOHN ALDEN FINANCIAL CORP ................... 6,911,600
16,500 oMARSCHOLLEK LAUT UND PARTNER ................ 2,580,299
542,360 MARSH & MCLENNAN COS, INC ................... 56,405,440
359,900 MBIA, INC ................................... 36,439,875
65,200 NORRELL CORP ................................ 1,776,700
283,700 oQUORUM HEALTH GROUP, INC .................... 8,440,075
---------------
192,535,365
---------------
INSURANCE--LIFE--0.59%
252,200 AMERICAN NATIONAL INSURANCE CO .............. 18,599,750
224,200 oAMERIN CORP ................................. 5,773,150
759,300 AON CORP .................................... 47,171,512
406,300 ARGONAUT GROUP, INC ......................... 12,493,725
164,700 BERKLEY (W.R.) CORP ......................... 8,358,525
560,606 CONSECO, INC ................................ 35,738,632
370,000 EQUITABLE COS, INC .......................... 9,111,250
190,100 EQUITABLE OF IOWA COS NEW ................... 8,720,837
130,599 IRISH LIFE PLC .............................. 606,786
632,950 JEFFERSON-PILOT CORP ........................ 35,840,793
505,347 LEGAL & GENERAL GROUP PLC ................... 3,217,057
74,375 LIBERTY LIFE ASSOCIATION OF
AFRICA LTD ................................. 1,864,340
500,000 oMEDIOLANUM S.P.A ............................ 4,724,440
180,000 METROPOLITAN LIFE LTD ....................... 257,829
24,600 PROTECTIVE LIFE CORP ........................ 980,925
305,875 PROVIDENT COS, INC .......................... 14,796,703
967,900 PROVIDIAN CORP .............................. 49,725,862
1,371,215 PRUDENTIAL CORP PLC ......................... 11,533,343
636,578 RELIANCE GROUP HOLDINGS, INC ................ 5,808,774
469,015 RELIASTAR FINANCIAL CORP .................... 27,085,616
266,384 SEAFIELD CAPITAL CORP ....................... 10,322,380
13,500 SOUTHERN LIFE ASSOCIATION LTD ............... 115,446
957,774 SUNAMERICA, INC ............................. 42,501,221
903,350 TORCHMARK CORP .............................. 45,619,175
700,600 UNUM CORP ................................... 50,618,350
262,050 USLIFE CORP ................................. 8,713,162
41,600 VESTA INSURANCE GROUP, INC .................. 1,305,200
291,719 WASHINGTON NATIONAL CORP .................... 8,022,272
431,100 WESTERN NATIONAL CORP ....................... 8,298,675
---------------
477,925,730
---------------
</TABLE>
See notes to financial statements.
-34-
<PAGE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
INSURANCE--MULTI-LINE,
PROPERTY & CASUALTY--3.01%
307,200 20TH CENTURY INDUSTRIES ..................... $ 5,184,000
1,800 AACHENER & MUNCHENER
BERTEIL (REGD) ............................. 1,284,796
1,488,523 AFLAC, INC .................................. 63,634,358
9,300 oAGF UNION-FENIX ............................. 81,865
18,662 ALLEANZA ASSICURAZIONI (S/S) NON CV ......... 93,324
127,207 oALLEGHANY CORP (DELAWARE) ................... 26,967,884
33,482 ALLIANZ AG. (REGD) .......................... 60,832,896
147,300 ALLIED GROUP, INC ........................... 4,805,662
145,700 ALLMERICA FINANCIAL CORP .................... 4,880,950
600 ALLMERICA PROPERTY &
CASUALTY COS, INC ........................... 18,225
5,369,153 ALLSTATE CORP ............................... 310,739,729
552,600 AMERICAN BANKERS INSURANCE
GROUP, INC ................................. 28,251,675
3,267,984 AMERICAN INTERNATIONAL GROUP, INC ........... 353,759,268
2,125,283 ASSICURAZIONI GENERALI S.P.A ................ 40,205,041
62,062 oASSICURAZIONI GENERALI S.P.A.
WTS 4/30/01 ................................ 1,100,551
15,725 ASSUR STAD ROTTERDAM NV ..................... 620,891
405,053 AXA S.A ..................................... 25,711,209
134,800 AYUDHYA INSURANCE CO LTD (FR) ............... 1,040,978
19,000 CHIYODA FIRE & MARINE
INSURANCE CO LTD ........................... 85,770
1,440,000 CHUBB CORP .................................. 77,400,000
826,978 CIGNA CORP .................................. 112,985,869
298,487 CINCINNATI FINANCIAL CORP ................... 19,364,344
205,600 oCNA FINANCIAL CORP .......................... 21,999,200
46,220 COLONIA KONZERN AG. (REGD) .................. 3,808,927
283,154 COMMERICAL UNION
ASSURANCE CO LTD ........................... 3,311,977
7,625 CORPORACION MAPFRE S.A ...................... 463,692
2,900 EA-GENERALI AG .............................. 856,126
479,200 EVEREST REINSURANCE
HOLDINGS, INC .............................. 13,777,000
125,706 FAI INSURANCES LTD .......................... 71,890
7,850 oFAIRFAX FINANCIAL HOLDINGS LTD .............. 1,660,829
166,744 FIRST AMERICAN FINANCIAL CORP ............... 6,857,347
387,400 FOREMOST CORP OF AMERICA .................... 23,244,000
57,156 FORTIS AG ................................... 9,158,870
1,761 oFORTIS AG NPV (STRIP VVPR) .................. 887
733,580 FREMONT GENERAL CORP ........................ 22,740,980
5,428 oGEFION FINANCE CORP ......................... 115,941
817,700 GENERAL REINSURANCE CORP .................... 128,992,175
1,992,369 GIO AUSTRALIAN HOLDINGS LTD ................. 5,095,774
5,520 oGROUPE DES ASSURANCES NATIONALE ............. 111,487
393,884 GUARDIAN ROYAL EXCHANGE
ASSURANCE PLC .............................. 1,883,980
3,000 xoHAFNIA HOLDINGS AS (REGD) (CLASS A) ......... 0
2,490 xoHAFNIA HOLDINGS AS (REGD) (CLASS B) ......... 0
211,800 HARTFORD STEAM BOILER &
INSURANCE CO ............................... 9,822,225
11,700 HCC INSURANCE HOLDINGS, INC ................. 280,800
85,331 oHIGHLANDS INSURANCE GROUP, INC .............. 1,727,952
452,033 HIH WINTERHUR INTERNATIONAL
HOLDINGS LTD ............................... 1,131,006
110,600 HORACE MANN EDUCATORS CORP .................. 4,465,475
1,527,372 ING GROEP NV ................................ 54,921,157
9,600,000 INSTITUTO NAZIONALE DELLE
ASSICURAZION ............................... 12,481,996
268,300 oINSURANCE AUTO AUCTIONS, INC ................ 2,548,850
35,000 INTEGON CORP ................................ 621,250
961,236 ITT HARTFORD GROUP, INC ..................... 64,883,430
50,000 KOA FIRE & MARINE INSURANCE CO LTD .......... 242,081
248,740 LAWYERS TITLE CORP .......................... 4,881,522
1,194,100 LINCOLN NATIONAL CORP ....................... 62,690,250
3,216,000 MALAYSIA ASSURANCE ALLIANCE BERHAD .......... 15,662,950
29,298 MAPFRE VIDA S.A ............................. 2,027,187
48,500 MERCURY GENERAL CORP NEW .................... 2,546,250
240,300 MGIC INVESTMENT CORP ........................ 18,262,800
53,800 MID OCEAN LTD ............................... 2,824,500
28,500 MILANO ASSICURAZIONI ........................ 77,637
7,125 MILANO ASSICURAZIONI DI RISP ................ 13,314
804,300 MITSUI TAISHO MARINE & FIRE CO LTD .......... 4,316,794
10,676 MUNCHENER RUECKVERSICHERUNGS-
GESELLSCHAFT (REGD) (P/P) .................. 26,636,305
364 oMUNCHENER RUECKVERSICHERUNGS-
GESELLSCHAFT (REGD) (P/P) WTS 3/13/98 ...... 76,054
613,200 NAC RE CORP ................................. 20,772,150
229,550 NICHIDO FIRE & MARINE
INSURANCE CO LTD ........................... 1,305,198
2,592,650 NIPPON FIRE & MARINE
INSURANCE CO LTD ........................... 11,726,231
387,500 OHIO CASUALTY CORP .......................... 13,756,250
834,590 OLD REPUBLIC INTERNATIONAL
CORP ....................................... 22,325,282
558,606 ORION CAPITAL CORP .......................... 34,144,791
3,975,000 PACIFIC & ORIENT BERHAD ..................... 9,601,064
374,850 PROGRESSIVE CORP ............................ 25,255,518
962,926 QBE INSURANCE GROUP LTD ..................... 5,070,969
458,919 RAS S.P.A ................................... 4,272,857
19,600 oRAS S.P.A. WTS 12/31/97 ..................... 54,166
3,352,007 ROYAL & SUN ALLIANCE INSURANCE
GROUP PLC .................................. 25,497,807
19,000 ROYALE BELGE VIE ACCIDENTS .................. 3,917,934
1,102,300 SAFECO CORP ................................. 43,471,956
50,000 SAI S.P.A ................................... 460,600
6,000 SAMPO INSURANCE CO SERIES A ................. 472,554
18,935 SCHWEIZERISCHE RUCKVERSICHERUNG
(REGD)...................................... 20,150,530
231,489 SEDGWICK GROUP LTD .......................... 520,933
531,000 SELECTIVE INSURANCE GROUP, INC .............. 20,178,000
171,833 SKANDIA FORSAKRINGS AB ...................... 4,857,032
945,240 ST. PAUL COS, INC ........................... 55,414,695
454,000 oUNI-STOREBRAND AS SERIES A .................. 2,630,684
PROPERTY & CASUALTY--(CONTINUED)
2,423,365 SUMITOMO MARINE &
FIRE INSURANCE CO .......................... 15,031,648
3,141,822 TOKIO MARINE & FIRE INSURANCE CO LTD ........ 29,502,808
666,600 TRANSAMERICA CORP ........................... 52,661,400
6,118,428 TRAVELERS GROUP, INC ........................ 277,623,670
184,600 TRAVELERS/AETNA PROPERTY
CASUALTY CORP .............................. 6,530,225
100,500 oUICI ........................................ 3,266,250
128,501 UNION DES ASSURANCES DE PARIS S.A ........... 3,200,906
59,950 UNION DES ASSURANCES FEDERALES .............. 7,380,161
406,800 UNITRIN, INC ................................ 22,679,100
475,600 USF&G CORP .................................. 9,928,150
170,750 WILLIS CORROON GROUP PLC .................... 410,547
54,722 ZURICH INSURANCE CO (REGD) .................. 15,159,812
---------------
2,445,574,030
---------------
</TABLE>
See notes to financial statements.
-35-
<PAGE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
LEISURE TIME--1.19%
146,100 oACCLAIM ENTERTAINMENT, INC .................. $ 474,825
134,750 oAMC ENTERTAINMENT, INC ...................... 1,937,031
64,300 oANCHOR GAMING CO ............................ 2,588,075
788,700 ARCTIC CAT, INC ............................. 7,788,412
187,200 oARGOSY GAMING CORP .......................... 865,800
500 AUTHENTIC FITNESS CORP ...................... 6,000
427,000 oAUTOTOTE CORP (CLASS A) ..................... 613,812
67,050 oBALLY TOTAL FITNESS HOLDINGS CORP ........... 532,209
44,000 oBELL SPORTS CORP ............................ 264,000
99,791 oBERLITZ INTERNATIONAL, INC NEW .............. 2,083,137
3,000 oBOYD GAMING CORP ............................ 24,750
1,051,300 BRUNSWICK CORP .............................. 25,231,200
505,800 CALLAWAY GOLF CO ............................ 14,541,750
1,051,100 CARNIVAL CORP (CLASS A) ..................... 34,686,300
96,750 oCASINO AMERICA, INC ......................... 308,390
219,300 oCASINO MAGIC CORP ........................... 541,396
33,060 oCHARTWELL LEISURE, INC ...................... 454,575
559 oCHRIS CRAFT INDUSTRIES, INC ................. 23,408
958,384 oCIRCUS CIRCUS ENTERPRISES, INC .............. 32,944,450
227,300 COACHMEN INDUSTRIES, INC .................... 6,449,637
6,766,410 DISNEY (WALT) CO ............................ 471,111,296
246,540 EMI GROUP PLC ............................... 5,822,273
282,000 oGALOOB TOYS, INC ............................ 3,948,000
55,118 GAUMONT S.A ................................. 4,558,884
44,080 oGC COS, INC ................................. 1,526,270
236,500 GENTING BERHAD .............................. 1,629,419
687,227 GRANADA GROUP LTD (CLASS A) ................. 10,131,684
434,500 oGRAND CASINOS, INC .......................... 5,865,750
366,400 oGTECH HOLDINGS CORP ......................... 11,724,800
1,044,600 oHARRAHS ENTERTAINMENT, INC .................. 20,761,425
721,576 HASBRO, INC ................................. 28,051,267
212,500 oHOLLYWOOD ENTERTAINMENT CORP ................ 3,931,250
219,500 oHOLLYWOOD PARK, INC ......................... 3,292,500
290,525 HUFFY CORP .................................. 4,176,296
944,188 INTERNATIONAL GAME TECHNOLOGY CO ............ 17,231,431
526,600 JOSTENS, INC ................................ 11,124,425
424,358 K2, INC ..................................... 11,669,845
274,100 KIMBALL INTERNATIONAL, INC (CLASS B) ........ 11,340,887
36,000 KONAMI CO LTD ............................... 1,225,053
800 KUONI REISEN HOLDINGS (REGD)
(CLASS B) .................................. 1,936,253
5,921,024 LADBROKE GROUP PLC .......................... 23,406,417
611,250 MAGNUM CORP BERHAD .......................... 1,185,952
2,279,558 MATTEL, INC ................................. 63,257,734
1,141,200 oMIRAGE RESORT, INC .......................... 24,678,450
49,800 NAMCO LTD ................................... 1,523,045
14,300 NATIONAL GOLF PROPERTIES, INC ............... 452,237
86,000 NINTENDO CO LTD ............................. 6,141,978
178,100 OUTBOARD MARINE CORP ........................ 2,938,650
370,500 oPLAYERS INTERNATIONAL, INC .................. 1,991,437
347,600 oPRESIDENT CASINOS, INC ...................... 238,975
143,000 oPRIMADONNA RESORTS, INC ..................... 2,431,000
339,000 oRANK GROUP PLC .............................. 2,526,469
353,200 oREGAL CINEMAS, INC .......................... 10,860,900
25,000 SALOMON S.A ................................. 2,139,916
700 SANKYO CO LTD ............................... 20,443
63,700 oSCIENTIFIC GAMES HOLDINGS CORP .............. 1,703,975
99,012 SEGA ENTERPRISES LTD ........................ 3,326,654
54,000 SHIMANO, INC ................................ 916,463
37,300 SHOCHIKU CO LTD ............................. 321,339
28,400 SHOWBOAT, INC ............................... 489,900
126,750 xoSLM INTERNATIONAL, INC ...................... 13,942
68,800 oSODAK GAMING, INC ........................... 1,057,800
850 SONY MUSIC ENTERTAINMENT INC ................ 33,538
17,000 oSPEEDWAY MOTORSPORTS, INC ................... 357,000
57,100 oSPELLING ENTERTAINMENT GROUP, INC ........... 421,112
288,500 oSPORTS & RECREATION, INC .................... 2,235,875
284,900 oSTATION CASINOS, INC ........................ 2,884,612
360,700 STRUM, RUGER & CO, INC ...................... 6,988,562
2,108,000 oSYDNEY HARBOUR CASINO HOLDINGS LTD .......... 3,248,305
125,000 oTABCORP HOLDINGS LTD ........................ 595,725
1,015,349 oTHORN PLC ................................... 4,369,980
44,754 TOHO CO LTD ................................. 6,477,335
279,400 oTRUMP HOTEL & CASINO RESORT, INC ............ 3,352,800
506,500 WINNEBAGO INDUSTRIES, INC ................... 3,672,125
474,100 oWMS INDUSTRIES, INC ......................... 9,482,000
622,049 ZIMBABWE SUN LTD ............................ 232,783
40,601 ZODIAC S.A .................................. 12,386,158
---------------
971,779,751
---------------
MACHINERY--1.73%
334,700 AGCO CORP ................................... 9,580,787
36,600 AIDA ENGINEERING LTD ........................ 231,121
391,744 AMADA CO LTD ................................ 3,037,387
220 AMADA METRECS CO LTD ........................ 2,009
44,200 AMANO CORP .................................. 472,170
284,010 ATLAS COPCO AB SERIES A FREE ................ 6,863,169
24,500 ATLAS COPCO AB SERIES B FREE ................ 595,636
3,182,844 AUSTRALIAN NATIONAL INDUSTRIES LTD .......... 3,160,166
295,225 BEARINGS, INC NEW ........................... 8,229,396
12,000 BOMBARDIER, INC (CLASS A) ................... 221,930
392,252 BOMBARDIER, INC (CLASS B) ................... 7,240,076
6,000 xoBREMER VULKAN AG ............................ 9,538
302,072 BRIGGS & STRATTON CORP ...................... 13,291,168
433,000 BROTHERS INDUSTRIES LTD ..................... 1,865,147
172,000 BW/IP HOLDINGS, INC ......................... 2,838,000
1,862,300 CATERPILLAR, INC ............................ 140,138,075
343,700 CINCINNATI MILACRON, INC .................... 7,518,437
266,000 oCOGNEX CORP ................................. 4,921,000
190,650 COMMERCIAL INTERTECH CORP ................... 2,597,606
33,000 CONSTRUCCIONES Y AUXILIAR DE
FERROCARRILES S.A .......................... 1,248,223
282,198 oCOOPER CAMERON CORP ......................... 21,588,147
692,145 COOPER INDUSTRIES, INC ...................... 29,156,608
198,505 DAIFUKU CO LTD .............................. 2,496,776
390,000 DAIKIN INDUSTRIES LTD ....................... 3,460,645
265,000 DANIELI & CO ................................ 2,179,625
3,515,973 DEERE & CO .................................. 142,836,403
142,000 DELTA & PINE LAND CO ........................ 4,544,000
889,100 DOVER CORP .................................. 44,677,275
214,900 DURIRON CO, INC ............................. 5,829,162
199,560 EBARA CORP .................................. 2,596,006
19,000 FAG KUGELFISCHER (GEORG)
SCHAEFER AG ................................ 258,289
419,984 FANUC LTD ................................... 13,423,381
</TABLE>
See notes to financial statements.
-36-
<PAGE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
MACHINERY--(C0NTINUED)
409,014 FEDERAL SIGNAL CORP ......................... $ 10,583,237
53,000 FINNING LTD ................................. 1,127,124
140 FISCHER (GEORGE) LTD (BR) ................... 144,921
28 FISCHER (GEORGE) LTD (REGD) ................. 5,734
2,915,873 FKI PLC ..................................... 10,079,665
3,700 FLS INDUSTRIES AS (CLASS B) ................. 473,562
2,367,267 +oFMC CORP NEW ................................ 166,004,598
172,800 oFSI INTERNATIONAL, INC ...................... 2,592,000
2,200 FUJI TEC CO LTD ............................. 21,985
20,000 oFUKUSIMA INDUSTRIES ......................... 513,454
193,200 GATX CORP ................................... 9,370,200
221,600 GIDDINGS & LEWIS, INC ....................... 2,853,100
353,900 GOULDS PUMPS, INC ........................... 8,117,581
311,900 GREENFIELD INDUSTRIES, INC .................. 9,551,937
442,600 HARNISCHFEGER INDUSTRIES, INC ............... 21,300,125
207,400 HARSCO CORP ................................. 14,206,900
720,000 ILLINOIS TOOL WORKS, INC .................... 57,510,000
136,800 IMI PLC ..................................... 879,067
943 INDUSTRIE-WERKE KARLSRUHE
AUGSBURG AG ................................ 223,343
819,500 INGERSOLL-RAND CO ........................... 36,467,750
118,000 oINTEGRATED PROCESS EQUIPMENT CORP ........... 2,124,000
26,000 oINTERVOICE, INC ............................. 318,500
510,700 JLG INDUSTRIES, INC ......................... 8,171,200
30,000 KALMAR INDUSTRIES AB ........................ 498,682
220,800 KAYDON CORP ................................. 10,405,200
366,020 KENNAMETAL, INC ............................. 14,229,027
253,317 KEYSTONE INTERNATIONAL, INC ................. 5,098,004
21,750 oKLOECKNER HUMBOLDT-DEUTZ AG ................. 98,793
1,661,950 KOMATSU LTD ................................. 13,601,814
239,660 KOMORI CORP ................................. 5,079,090
354,000 KOYO SEIKO CO LTD ........................... 2,927,721
2,881,000 KUBOTA CORP ................................. 13,874,276
51,700 KURITA WATER INDUSTRIES LTD ................. 1,042,225
12,735 KVAERNER INDUSTRIER AS SERIES A ............. 619,258
3,935 KVAERNER INDUSTRIER AS SERIES B ............. 170,700
157,500 LAWSON PRODUCTS, INC ........................ 3,445,312
11,693 LINDE AG .................................... 7,132,189
20,000 oLUCASVARITY PLC ADR ......................... 760,000
61,500 MADECO S.A. ADR ............................. 1,491,375
79,600 MAGNA INTERNATIONAL, INC .................... 4,428,028
98,130 MAKINO MILLING MACHINE CO LTD ............... 624,743
130,500 MAKITA CORP ................................. 1,821,297
15,800 MAN AG. (STAMM) ............................. 3,824,150
215,550 MANITOWOC, INC .............................. 8,729,775
81,602 MANNESMANN AG ............................... 35,317,968
125,300 MEASUREX CORP ............................... 3,007,200
11,000 METRA CO SERIES B ........................... 615,752
98,700 MINE SAFETY APPLIANCE CO .................... 5,255,775
7,430,000 MITSUBISHI HEAVY INDUSTRIES LTD ............. 58,888,694
290,000 MIURA KOGYO ................................. 3,672,574
283,500 oMOLTEN METAL TECHNOLOGY, INC ................ 3,331,125
210,000 MORI SEIKI CO LTD ........................... 2,894,640
414,600 NEWPORT CORP ................................ 3,679,575
316,037 oNEWPORT NEWS SHIPBUILDING, INC .............. 4,740,555
131,000 oNIIGATA ENGINEERING CO LTD .................. 365,655
5,000 NIKKO CO LTD ................................ 29,764
69,680 NIPPON SHARYO LTD ........................... 498,243
64,000 NITTO KOHKI CO LTD .......................... 2,288,144
186,800 NORDSON CORP ................................ 11,908,500
116,900 oNOVELLUS SYSTEMS, INC ....................... 6,334,518
647,600 NSK LTD ..................................... 3,916,509
604,700 NTN TOYO BEARING CO LTD ..................... 3,281,979
228,900 OKUMA CORP .................................. 1,822,103
550,137 OYL INDUSTRIES BERHAD ....................... 5,772,569
781,500 PARKER-HANNIFIN CORP ........................ 30,283,125
12,736,000 POKPHAND (C.P.) CO LTD ...................... 4,980,770
90 RHEINELEKTRA AG ............................. 71,831
190,800 ROPER INDUSTRIES, INC NEW ................... 7,465,050
500 SAKAI HEAVY INDUSTRIES LTD .................. 3,114
400,000 SANDEN CORP ................................. 3,197,888
5,000 oSAURER AG. (REGD) ........................... 2,159,667
98 SCHINDLER HOLDINGS LTD (PT CERT) ............ 106,188
460 SCHINDLER HOLDINGS LTD (REGD) ............... 469,318
87,000 SEMBAWANG CORP .............................. 460,251
720 SHIN NIPPON MACHINERY CO LTD ................ 4,466
191,692 SIDEL S.A ................................... 13,163,425
28,000 SMC ......................................... 1,879,103
400,808 SMITH (HOWARD) LTD .......................... 3,295,044
220,800 STEWART & STEVENSON SERVICES, INC ........... 6,430,800
17,257 STORK NV .................................... 607,557
64,894 oSTRATTEC SECURITY CORP ...................... 1,184,315
4,679 SULZER WINTERTHUR AG. (PT CERT) ............. 2,494,910
840 SULZER WINTERTHUR AG. (REGD) ................ 483,557
249,760 oSUMITOMO HEAVY INDUSTRIES LTD ............... 757,392
551,200 SUNDSTRAND CORP ............................. 23,426,000
27,000 SVENKA KULLAGERFABRIKEN AB SERIES B ......... 638,621
20,000 SVENSKA KULLAGERFABRIKEN AB
SERIES A FREE ............................... 458,407
148,000 TAKUMA CO LTD ............................... 1,619,275
164,700 TECUMSEH PRODUCTS CO (CLASS A) .............. 9,449,662
31,600 TECUMSEH PRODUCTS CO (CLASS B) .............. 1,797,250
198,150 TELEFLEX, INC ............................... 10,328,568
222,100 TENNANT CO .................................. 6,107,750
902,080 oTHERMO ELECTRON CORP ........................ 37,210,800
195,722 TI GROUP PLC ................................ 1,949,345
300,061 TIMKEN CO ................................... 13,765,298
226,250 TOMRA SYSTEMS AS ............................ 3,525,517
184,350 TORO CO ..................................... 6,728,775
61,600 TOYO KANETSU K.K ............................ 213,334
360,250 TOYOTA AUTOMATIC LOOM WORKS LTD ............. 6,734,711
2,542,000 TRACTORS MALAYSIA HOLDINGS BERHAD ........... 4,770,965
165,300 TRIMAS CORP ................................. 3,946,537
410,200 TRINITY INDUSTRIES, INC ..................... 15,382,500
312,700 TRINOVA CORP ................................ 11,374,462
331,000 TSUBAKIMOTO CHAIN CO ........................ 1,767,970
200 TSUBAKIMOTO MACHINERY &
ENGINE CO LTD .............................. 847
32,000 TSUGAMI CORP ................................ 92,352
105,300 oULTRATECH STEPPER, INC ...................... 2,500,875
38,000 UNITED DOMINION INDUSTRIES LTD .............. 894,068
6,000 VA TECHNOLOGIE AG. (BR) ..................... 940,724
183,800 VALMET OY SERIES A .......................... 3,230,161
131,000 VICKERS PLC ................................. 571,659
494,000 WATTS INDUSTRIES, INC (CLASS A) ............. 11,794,250
800 YOKOHAMA RUBBER CO LTD ...................... 3,714
490,800 YORK INTERNATIONAL CORP ..................... 27,423,450
27,453 ZARDOYA OTIS S.A ............................ 3,186,985
167,700 ZURN INDUSTRIES, INC ........................ 4,381,162
---------------
1,402,984,607
---------------
METALS--ALUMINUM--0.24%
313,000 oACX TECHNOLOGIES, INC ....................... 6,220,875
278,800 ALCAN ALUMINIUM CO LTD ...................... 9,407,234
35,065 ALCAN ALUMINIUM CO LTD (U.S.) ............... 1,179,060
406,097 oALUMAX, INC ................................. 13,553,487
1,206,000 ALUMINUM CO OF AMERICA ...................... 76,882,500
583 ALUSUISSE LONZA HOLDINGS AG. (BR) ........... 454,573
75,449 ALUSUISSE LONZA HOLDINGS AG. (REGD) ......... 59,952,436
123,600 INTERNATIONAL ALUMINUM CORP ................. 3,151,800
119,100 oKAISER ALUMINUM CORP ........................ 1,384,537
313,890 REYNOLDS METALS CO .......................... 17,695,548
83,440 TOYO SEIKAN KAISHA LTD ...................... 2,005,551
---------------
191,887,601
---------------
</TABLE>
See notes to financial statements.
-37-
<PAGE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
METALS--GOLD--0.28%
4,000 AGNICO EAGLE MINES LTD ...................... $ 56,175
626,601 oAMAX GOLD, INC .............................. 3,994,581
109,767 oAVGOLD LIMITED .............................. 293,337
260,979 BARRICK GOLD CORP ........................... 7,473,132
60,000 BARRICK GOLD CORP (U.S.) .................... 1,725,000
1,385,550 BATTLE MOUNTAIN GOLD CO ..................... 9,525,656
63,200 BEATRIX MINES LTD ........................... 395,210
37,000 CAMBIOR, INC ................................ 545,268
102,200 COEUR DALENE MINES CORP ..................... 1,545,775
161,000 oDELTA GOLD NL ............................... 301,802
35,000 oDOMINION MINING LTD ......................... 26,132
17,500 oDOMINION MINING LTD WTS 12/31/98 ............ 6,811
31,700 DRIEFONTEIN CONSOLIDATED LTD ................ 333,772
45,000 ECHO BAY MINES LTD .......................... 298,752
294,800 ECHO BAY MINES LTD (U.S.) ................... 1,953,050
80,000 oEUOR-NEVADA MINING CORP ..................... 2,387,100
632,328 FREEPORT MCMORAN COPPER &
GOLD, INC (CLASS A) ........................ 17,784,225
938,164 FREEPORT-MCMORAN COPPER &
GOLD INC, (CLASS B) ........................ 28,027,649
33,000 FREESTATE CONSOLIDATED
GOLDMINES LTD ............................... 241,635
383,235 oGETCHELL GOLD CORP .......................... 14,706,643
10,300 GOLD FIELD OF SOUTH AFRICA LTD .............. 284,061
102,000 oGOLDEN KNIGHT RESOURCES, INC ................ 491,135
6,222 GOLDFIELDS LTD .............................. 12,108
508,000 GREAT CENTRAL MINES LTD ..................... 1,444,545
1,132,650 HOMESTAKE MINING CO ......................... 16,140,262
23,300 KLOOF GOLD MINING CO LTD .................... 189,786
647,155 NEWCREST MINING LTD ......................... 2,570,176
118,900 NEWMONT GOLD CO ............................. 5,201,875
1,882,082 NEWMONT MINING CORP ......................... 84,223,169
1,936,939 NORMANDY MINING LTD ......................... 2,677,008
13,000 oPEGASUS GOLD, INC ........................... 99,109
100,800 PLACER DOME, INC ............................ 2,209,848
548 PLACER DOME, INC (U.S.) ..................... 11,919
3,500 PLUTONIC RESOURCES LTD ...................... 16,263
16,000 RANDFONTEIN ESTATES GOLD MINING ............. 82,779
230,000 oRAYROCK YELLOWKNIFE RESOURCES, INC .......... 1,132,632
1,279,476 SANTA FE PACIFIC GOLD CORP .................. 19,671,943
4,700 SOUTHVAAL HOLDINGS LTD ...................... 137,156
4,500 VAAL REEFS EXPLORATION &
MINING CO LTD .............................. 288,615
16,753 WESTERN AREAS GOLD MINING CO ................ 231,013
7,300 WESTERN DEEP LEVELS LTD ..................... 223,564
---------------
228,960,671
---------------
METALS--NON-FERROUS--0.36%
86,200 ABERFOYLE LTD ............................... 220,469
23,100 AMCOL INTERNATIONAL CORP .................... 363,825
251,400 ASARCO, INC ................................. 6,253,575
188,400 ASHLAND COAL, INC ........................... 5,228,100
893,000 ASHTON MINING LTD ........................... 1,553,388
338,300 BANPU PUBLIC CO LTD (FR) REGD ............... 6,359,689
362,000 BINDURA NICKEL CORP LTD ..................... 250,866
195,000 BMC INDUSTRIES, INC ......................... 6,142,500
424,900 BRUSH WELLMAN, INC .......................... 6,957,737
93,300 CAMECO CORP ................................. 3,736,899
40,800 oCOLEMAN CO, INC ............................. 561,000
125,200 COMINCO LTD ................................. 3,114,699
22,000 CONSOLIDATED METALLURGICAL
INDUSTRIES LTD ............................. 73,372
920,771 CRA LTD ..................................... 14,444,526
753,094 CYPRUS AMAX MINERALS CO ..................... 17,603,572
206,031 ERAMET ...................................... 10,779,489
143,769 FREEPORT-MCMORAN, INC ....................... 4,618,579
1,502,000 FUJIKURA LTD ................................ 12,008,069
568,000 FURUKAWA ELECTRIC CO LTD .................... 2,686,432
361,196 GREEN (A.P.) INDUSTRIES, INC ................ 3,521,661
185,000 oGRUPO MEXICO S.A. SERIES B .................. 573,426
825,000 oHECLA MINING CO ............................. 4,640,625
97 HITACHI CABLE LTD ........................... 655
88,236 HULLAS DEL COTO CORTES S.A .................. 1,736,597
8,300 IMPALA PLATINUM HOLDINGS LTD ................ 82,955
35,000 INCO LTD .................................... 1,117,129
77,160 INCO LTD (U.S.) ............................. 2,459,475
1,828,000 JAPAN ENERGY CORP ........................... 4,960,689
89,209 JOHNSON MATTHEY PLC ......................... 839,648
694,368 MAPCO, INC .................................. 23,608,512
755,959 MCKECHNIE PLC ............................... 7,173,414
5,693,300 MIM HOLDINGS LTD ............................ 7,959,051
528,000 MITSUBISHI MATERIALS CORP ................... 2,128,800
211,000 MITSUI MINING & SMELTING CO LTD ............. 718,017
91,700 oMUELLER INDUSTRIES, INC ..................... 3,530,450
65,000 NIPPON DENKO CO LTD ......................... 179,751
213,380 NIPPON LIGHT METAL CO LTD ................... 875,015
372,800 NORANDA, INC ................................ 8,308,919
2,429,699 NORTH LTD ................................... 7,102,068
27,400 OGLEBAY NORTON CO ........................... 1,198,750
205,500 oOREGON METALLURICAL CORP .................... 6,627,375
1,000,000 oOROGEN MINERALS LTD ......................... 2,327,299
45,000 OUTOKUMPU OY SERIES A ....................... 766,435
49,800 PENN VIRGINIA CORP .......................... 2,328,150
666,600 PHELPS DODGE CORP ........................... 44,995,500
1,539,265 QCT RESOURCES LTD ........................... 2,078,484
540,000 QNI LTD ..................................... 1,085,172
761,092 RGC LTD ..................................... 3,379,352
100,000 RIO ALGOM LTD ............................... 2,232,435
28,200 oRMI TITANIUM CO ............................. 793,125
150,000 RTC CORP PLC (BR) ........................... 2,412,933
287,688 RTZ CORP PLC (REGD) ......................... 4,610,581
36,387 RUSTENBERG PLATINUM HOLDINGS LTD ............ 497,864
94,000 SOCIEDAD QUIMICA Y MINERA DE
CHILE ADR .................................. 5,087,750
46,000 oSTILLWATER MINING CO ........................ 833,750
121,000 STRAITS TRADING CO .......................... 294,109
224,400 SUMITOMO METAL MINING CO LTD ................ 1,509,833
701,654 oSUNSHINE MINING & REFINING CO ............... 657,800
1,977 oSUNSHINE MINING & REFINING CO
WTS 3/03/99 ................................ 617
50,300 TECK CORP LTD (CLASS B) ..................... 1,165,115
34,880 TRELLEBORG AB SERIES B FREE ................. 462,308
27,000 oUNION MINIERE GROUP S.A ..................... 1,827,530
3,893 oWESTAIM CORP ................................ 11,502
3,486,034 WMC LTD ..................................... 21,957,827
---------------
293,615,239
---------------
</TABLE>
See notes to financial statements.
-38-
<PAGE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
METALS--STEEL--0.47%
44,770 ACERINOX S.A ................................ $ 6,457,037
134,000 oACINDAR S.A. (CLASS B) ...................... 187,637
242,831 oACME METALS, INC ............................ 4,704,850
254,800 AK STEEL HOLDINGS CORP ...................... 10,096,450
933,787 ALLEGHENY TELEDYNE, INC ..................... 21,477,101
504,000 AMSTEEL CORP BERHAD ......................... 375,180
84,000 oAMSTEEL CORP BERHAD WTS 5/19/00 ............. 29,269
20,500 ARBED S.A ................................... 2,226,564
26,500 oARMCO, INC .................................. 109,312
200,000 oAVESTA SHEFFIELD AB ......................... 2,152,903
869,000 oBETHLEHEM STEEL CORP ........................ 7,821,000
364,700 BIRMINGHAM STEEL CORP ....................... 6,929,300
4,400 BOHLER-UDDEHOLM AG.(BR) ..................... 314,589
1,641,000 BRITISH STEEL PLC ........................... 4,507,230
299,400 CARPENTER TECHNOLOGY CORP ................... 10,965,525
32,046,121 oCIA DE ACOS ESPECIAIS ITABIRA-ACESITA ....... 65,998
105,981 CLEVELAND CLIFFS, INC ....................... 4,808,887
108,000 CO STEEL, INC ............................... 1,914,641
17,200,000 COMPANIA SIDERURGICA NACIONAL S.A ........... 488,307
248,000 DAIDO STEEL CO LTD .......................... 918,703
318,400 DOFASCO, INC ................................ 6,016,310
6,000 ELKEM AS .................................... 99,132
47,600 FLACK S.P.A ................................. 190,273
367,100 oFANSTEEL, INC ............................... 2,294,375
421,362 HANNA (M.A.) CO ............................. 9,217,293
337,000 INLAND STEEL INDUSTRIES, INC ................ 6,740,000
33,200 IPSCO, INC .................................. 944,626
790,788 ISCOR LTD ................................... 564,666
1,000 oIVACO, INC (CLASS A) ........................ 2,371
190,700 J & L SPECIALTY STEEL, INC .................. 2,169,212
170,000 oJAPAN METALS & CHEMICALS CO ................. 565,316
990,000 oJAPAN STEEL WORKS LTD ....................... 2,251,616
2,447,360 KAWASAKI STEEL CORP ......................... 7,020,974
65,000 KITAGAWA INDUSTRIES CO LTD .................. 2,295,897
620 oKOBE STEEL LTD .............................. 1,303
615,500 LTV CORP NEW ................................ 7,309,062
62,100 LUKENS, INC ................................. 1,249,762
421,145 oMATERIAL SCIENCES CORP ...................... 7,580,610
58,000 oMITSUBISHI STEEL
MANUFACTURING CO LTD ........................ 250,334
108,750 NATIONAL IRON & STEEL MILLS LTD ............. 247,229
9,194,000 NIPPON STEEL CORP ........................... 27,088,558
5,970,920 oNKK CORP .................................... 13,425,703
639,400 NUCOR CORP .................................. 32,609,400
179,800 OREGON STEEL MILLS, INC ..................... 3,011,650
46,230 POHANG IRON & STEEL CO ...................... 1,996,188
12,050 PREUSSAG AKTIEGESELLSCHAFT AG ............... 2,724,952
124,800 QUANEX CORP ................................. 3,416,400
500,000 RAUTARUUKKI SERIES K ........................ 4,610,548
100,000 oREPUBLIC ENGINEERED STEELS, INC ............. 187,500
198,400 ROUGE STEEL CO (CLASS A) .................... 4,191,200
52,000 SAMANCOR LTD ................................ 611,436
60,500 SANDVIK AB SERIES B FREE .................... 1,639,208
43,000 oSTELCO, INC (CLASS A) ....................... 263,514
80 SUMIKIN BUSSAN CORP ......................... 268
6,697,080 SUMITOMO METAL INDUSTRIES LTD ............... 16,443,173
170,000 SVENSKT STAL AB SERIES B .................... 2,838,317
42,490 THYSSEN AG .................................. 7,526,939
289,000 TOKYO STEEL MANUFACTURING CO LTD ............ 4,108,062
24,000 oTUBOS DE ACERO DE MEXICO S.A ................ 379,574
4,890,390 USINOR SACILOR S.A .......................... 71,021,060
819,164 USX-US STEEL GROUP, INC ..................... 25,701,270
223,900 oWOLVERINE TUBE, INC ......................... 7,892,475
584,212 WORTHINGTON INDUSTRIES, INC ................. 10,588,842
950 YOKOGAWA BRIDGE CORP ........................ 8,757
---------------
385,845,838
---------------
MISCELLANEOUS MATERIALS &
COMMODITIES--0.06%
8,458 ANGLO AMERICAN COAL CORP LTD ................ 641,920
1,339,050 ASAHI GLASS CO LTD .......................... 12,574,148
180,000 DAISHINKU CORP .............................. 1,411,137
900,000 GOLDEN HOPE PLANTATIONS BERHAD .............. 1,532,369
600,000 HIGHLANDS & LOWLANDS BERHAD ................. 1,002,573
4,000,000 INDUSTRIAL OXYGEN, INC BERHAD ............... 6,145,314
173,000 ISLAND & PENINSULAR BERHAD .................. 578,835
2,400,000 KUALA LUMPUR KEPONG BERHAD .................. 6,081,960
238,000 LA GIOVANNI CRESPI S.P.A .................... 856,623
140,000 NICHIHA CORP ................................ 2,472,505
1,094,000 NIPPON SHEET GLASS CO LTD ................... 3,873,596
185,000 NITTA CORP .................................. 2,310,973
80,800 oOAKLEY, INC ................................. 878,700
100,000 OILES CORP .................................. 2,998,020
150,000 PERLIS PLANTATIONS BERHAD ................... 466,244
306,233 PG INDUSTRIES ZIMBABWE LTD .................. 158,457
11,735 PLASTIC OMNIUM S.A .......................... 948,045
96,000 PRESTIGE PROPERTY HOLDINGS LTD .............. 19,237
48,000 VIDR SMARINA S.A ............................ 150,129
66,000 VIDRALA S.A ................................. 4,556,523
45,000 oVITRO S.A. ADR .............................. 247,500
500,000 WANKIE COLLIERY CO LTD ...................... 277,200
56,200 oZOLTEK COS, INC ............................. 2,044,275
---------------
52,226,283
---------------
OFFICE EQUIPMENT--3.42%
663,100 oAMDAHL CORP ................................. 8,040,087
1,009,100 oAPPLE COMPUTER, INC ......................... 21,064,962
365,469 oAPPLIED MAGNETICS CORP ...................... 10,918,386
159,700 oASPECT TELECOMMUNICATIONS CORP .............. 10,140,950
308,041 oAST RESEARCH, INC ........................... 1,289,921
705,176 AVERY DENNISON CORP ......................... 24,945,601
89,600 oBOISE CASCADE OFFICE PRODUCTS CORP .......... 1,881,600
2,400,100 oCOMPAQ COMPUTER CORP ........................ 178,207,425
312,350 oCONTROL DATA SYSTEMS, INC ................... 6,871,700
504,600 xoCRAY COMPUTER CORP .......................... 504
569,000 oDATA GENERAL CORP ........................... 8,250,500
1,441,500 oDELL COMPUTER CORP .......................... 76,579,687
10,000 DIAMOND LEASE CO LTD ........................ 126,640
1,252,600 oDIGITAL EQUIPMENT CORP ...................... 45,563,325
224,200 oDREXLER TECHNOLOGY CORP ..................... 2,354,100
174,100 oEMULEX CORP NEW ............................. 2,742,075
133,400 oEVANS & SUTHERLAND COMPUTER CORP ............ 3,335,000
178,700 oFILENET CORP ................................ 5,718,400
434,675 GERBER SCIENTIFIC, INC ...................... 6,465,790
7,391,608 HEWLETT-PACKARD CO .......................... 371,428,302
163,300 HON INDUSTRIES, INC ......................... 5,388,900
1,500 oIN FOCUS SYSTEMS, INC ....................... 32,437
6,520,200 INTERNATIONAL BUSINESS
MACHINES CORP .............................. 984,550,200
1,002,000 oIOMEGA CORP ................................. 17,409,750
704,000 KOKUYO CO LTD ............................... 17,345,785
434,200 oKOMAG, INC .................................. 11,777,675
515,400 oLEXMARK INTERNATIONAL GROUP
(CLASS A) .................................. 14,237,925
32,000 oMICROCOM, INC ............................... 396,000
25,600 oMICROS SYSTEMS, INC ......................... 787,200
230,400 MILLER (HERMAN), INC ........................ 13,046,400
75,755 OCE VAN DER GRINTEN NV ...................... 8,215,776
2,778,196 PITNEY BOWES, INC ........................... 151,411,682
472,400 oQMS, INC .................................... 2,480,100
517,800 oQUANTUM CORP ................................ 14,822,025
371,000 oSCI SYSTEMS, INC ............................ 16,555,875
1,747,036 oSEAGATE TECHNOLOGY, INC ..................... 69,007,922
536,200 oSEQUENT COMPUTER SYSTEMS, INC ............... 9,517,550
257,700 SHELBY WILLIAMS INDUSTRIES, INC ............. 3,156,825
1,672,304 oSILICON GRAPHICS, INC ....................... 42,643,752
295,500 xoSMITH CORONA CORP ........................... 8,865
546,900 oSOLECTRON CORP .............................. 29,190,787
629,923 oSTORAGE TECHNOLOGY CORP ..................... 30,000,082
175,250 oSTRATUS COMPUTER, INC ....................... 4,775,562
512,000 oSTREAMLOGIC CORP ............................ 352,000
3,274,600 oSUN MICROSYSTEMS, INC ....................... 84,116,287
1,321,800 oTANDEM COMPUTERS, INC ....................... 18,174,750
246,600 oU.S. OFFICE PRODUCTS CO ..................... 8,415,225
1,995,000 oUNISYS CORP ................................. 13,466,250
896,900 oVIKING OFFICE PRODUCTS, INC ................. 23,936,018
469,308 oWANG LABORATORIES, INC ...................... 9,503,487
7,495,072 XEROX CORP .................................. 394,428,164
---------------
2,785,076,211
---------------
</TABLE>
See notes to financial statements.
-39-
<PAGE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
PAPER--0.53%
150,000 oACCENT COLOR SCIENCES, INC .................. $ 1,275,000
202,600 ALBANY INTERNATIONAL CORP
(CLASS A) NEW .............................. 4,685,125
524,500 BEMIS, INC .................................. 19,340,937
314,943 BOWATER, INC ................................ 11,849,730
496,300 CARAUSTAR INDUSTRIES, INC ................... 16,501,975
117,400 CHESAPEAKE CORP ............................. 3,683,425
283,600 CONSOLIDATED PAPERS, INC .................... 13,931,850
74,305 oCROWN VANTAGE, INC .......................... 631,592
98,000 oDAISHOWA PAPER
MANUFACTURING CO LTD ....................... 424,667
825,000 FINE ART DEVELOPMENTS PLC ................... 3,642,502
4,229,296 FLETCHER CHALLENGE LTD
(PAPER DIVISION) ........................... 8,696,303
347,700 oFORT HOWARD CORP ............................ 9,626,943
419,800 GLATFELTER (P.H.) CO ........................ 7,556,400
1,928,063 INTERNATIONAL PAPER CO ...................... 77,845,543
571,050 JAMES RIVER CORP OF VIRGINIA ................ 18,916,031
342,000 oJEFFERSON SMURFIT CORP ...................... 5,493,375
714,700 LONGVIEW FIBRE CO ........................... 13,132,612
492,054 MEAD CORP ................................... 28,600,638
758,900 MITSUBISHI PAPER MILLS LTD .................. 2,961,679
325,833 MOSINEE PAPER MILLS CORP .................... 11,567,071
97,000 NAMPAK LTD .................................. 385,718
1,117,000 NIPPON PAPER INDUSTRIES CO .................. 5,196,395
1,122,666 OJI PAPER CO LTD ............................ 7,089,405
524,500 PENTAIR, INC ................................ 16,915,125
3,062,000 PT FAJAR SURYA WISEA (FR) ................... 1,327,606
68,957 SAPPI LTD ................................... 619,174
88,000 oSETTSU CORP ................................. 194,078
395,700 oSHOREWOOD PACKAGING CORP .................... 7,716,150
876,265 SONOCO PRODUCTS CO .......................... 22,673,356
7,900 ST. JOE CORP ................................ 513,500
795,749 STONE CONTAINER CORP ........................ 11,836,766
393,014 TEMPLE-INLAND, INC .......................... 21,271,882
606,700 UNION CAMP CORP ............................. 28,969,925
416,828 WAUSAU PAPER MILLS CO ....................... 7,711,318
1,392,093 WESTVACO CORP ............................... 40,022,673
---------------
432,806,469
---------------
PETROLEUM--EXPLORATION &
PRODUCTION--0.98%
744,600 AMERADA HESS CORP ........................... 43,093,725
441,264 ANADARKO PETROLEUM CORP ..................... 28,571,844
208,442 oANDERSON EXPLORATION LTD .................... 2,691,632
3,322,588 APACHE CORP ................................. 117,536,550
1,431,100 ASHLAND, INC ................................ 62,789,512
241,880 ASTRA CIA AREGENTINA S.A. SERIES B .......... 462,083
241,880 oASTRA CIA AREGENTINA S.A. SERIES B RTS ...... 18,628
447,160 oBARNETT RESOURCES CORP ...................... 19,060,195
249,200 oBENTON OIL & GAS CO ......................... 5,638,150
998,431 BURLINGTON RESOURCES, INC ................... 50,295,961
129,494 oCANADIAN NATURAL RESOURCES LTD .............. 3,552,179
194,050 oCHESAPEAKE ENERGY CORP ...................... 10,794,031
56,000 ~oCORIMON S.A. ADR ............................ 71,699
239,400 DEVON ENERGY CORP ........................... 8,319,150
105,000 oELAN ENERGY INC ............................. 919,238
79,800 oENERGY VENTURES, INC ........................ 4,059,825
602,800 ENRON OIL & GAS CO .......................... 15,220,700
1,700,000 ENTERPRISE OIL PLC .......................... 18,866,226
488,480 oEQUITY OIL CO ............................... 1,495,970
195,600 oFALCON DRILLING CO, INC ..................... 7,677,300
123,200 oFLORES & RUCKS, INC ......................... 6,560,400
33,298 HARDY OIL & GAS PLC ......................... 171,233
116,800 KCS ENERGY, INC ............................. 4,175,600
253,500 KERR-MCGEE CORP ............................. 18,252,000
402,870 LONDON & SCOTTISH MARINE OIL PLC ............ 1,640,846
284,800 LOUISIANA LAND & EXPLORATION CO ............. 15,272,400
214,800 MITCHELL ENERGY & DEVELOPMENT
CORP (CLASS A) ............................. 4,806,150
304,700 MITCHELL ENERGY & DEVELOPMENT
CORP (CLASS B) ............................. 6,741,487
103,000 oMONTEREY RESOURCES, INC ..................... 1,660,875
325,180 MURPHY OIL CORP ............................. 18,088,137
562,900 NOBLE AFFILIATES, INC ....................... 26,948,837
841,016 NOVUS PETROLEUM LTD ......................... 1,923,894
87,900 oNUEVO ENERGY CO ............................. 4,570,800
3,000 oNUMAC ENERGY, INC ........................... 11,599
500 oOCELOT ENERGY, INC (CLASS B) ................ 3,191
981,300 oORYX ENERGY CO .............................. 24,287,175
357,300 PARKER & PARSLEY PETROLEUM CO ............... 13,130,775
404,300 PENNZOIL CO ................................. 22,842,950
342,000 PETRO-CANADA (VARIABLE- VTG) ................ 4,827,969
229,800 oPOCO PETROLEUM LTD .......................... 2,196,234
386,400 POGO PRODUCING CO ........................... 18,257,400
92,100 RANGER OIL LTD .............................. 913,810
100,000 oRANGER OIL LTD (U.S.) ....................... 987,500
141,100 oRENAISSANCE ENERGY LTD ...................... 4,802,154
363,500 oRIGEL ENERGY CORP (U.S.) .................... 3,612,281
97,000 SAGA PETROLEUM AS SERIES A .................. 1,625,424
1,489,410 oSANTA FE ENERGY RESOURCES, INC .............. 20,665,563
328,304 oSEAGULL ENERGY CORP ......................... 7,222,688
43,000 SNYDER OIL CORP ............................. 747,125
244,074 SOUTHDOWN, INC .............................. 7,596,803
29,438 oSTAMPEDER EXPLORATION LTD ................... 163,222
4,900 oSWIFT ENERGY CO ............................. 146,387
142,015 oTALISMAN ENERGY, INC ........................ 4,724,507
584,282 oTEJAS GAS CORP .............................. 27,826,430
366,215 oTESORO PETROLEUM CORP ....................... 5,127,010
322,475 TOTAL PETROLEUM
(NORTH AMERICA) LTD ........................ 3,345,678
280,535 oTRITON ENERGY LTD ........................... 13,605,947
1,844,191 UNION PACIFIC RESOURCES GROUP, INC .......... 53,942,586
856,800 UNION TEXAS PETROLEUM HOLDINGS, INC ......... 19,170,900
222,000 oUNITED MERIDIAN CORP ........................ 11,488,500
116,100 VINTAGE PETROLEUM, INC ...................... 4,005,450
13,700 oWASCANA ENERGY, INC ......................... 157,919
420,900 WISER OIL CO ................................ 8,312,775
---------------
797,695,209
---------------
PETROLEUM--INTEGRATED--4.93%
125,000 oABACAN RESOURCE CORP ........................ 1,085,937
31,000 ALBERTA ENERGY LTD .......................... 739,548
4,557,800 AMOCO CORP .................................. 366,902,900
19,200 ARABIAN OIL CO LTD .......................... 711,254
1,533,915 ATLANTIC RICHFIELD CO ....................... 203,243,737
6,797,445 BRITISH PETROLEUM PLC ....................... 81,485,435
5,590,983 BROKEN HILL PROPRIETARY CO LTD .............. 79,581,246
88,175 BURMAH CASTROL PLC .......................... 1,661,341
</TABLE>
See notes to financial statements.
-40-
<PAGE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
PETROLEUM--INTEGRATED--4.93%
125,000 oABACAN RESOURCE CORP ........................ $ 1,085,937
31,000 ALBERTA ENERGY LTD .......................... 739,548
4,557,800 AMOCO CORP .................................. 366,902,900
19,200 ARABIAN OIL CO LTD .......................... 711,254
1,533,915 ATLANTIC RICHFIELD CO ....................... 203,243,737
6,797,445 BRITISH PETROLEUM PLC ....................... 81,485,435
5,590,983 BROKEN HILL PROPRIETARY CO LTD .............. 79,581,246
88,175 BURMAH CASTROL PLC .......................... 1,661,341
74,000 CALTEX AUSTRALIA LTD ........................ 272,730
173,800 CANADIAN OCCIDENTAL PETROLEUM LTD ........... 2,795,862
5,376,100 CHEVRON CORP ................................ 349,446,500
165,000 COMPANIA ESPANOLA DE PETROLEOS S.A .......... 5,023,339
2,140,000 COSMO OIL CO LTD ............................ 10,268,907
116,247 ELF AQUITANE S.A ............................ 10,560,789
26,180,000 ENTE NAZIONALE IDROCARBURI S.P.A ............ 134,107,835
110,000 ESSO MALAYSIA BERHAD ........................ 311,423
12,337,577 EXXON CORP .................................. 1,209,082,546
105,700 oFORCENERGY GAS EXPLORATION, INC ............. 3,831,625
434,038 GETTY PETROLEUM CORP ........................ 7,053,117
29,461 oGULF CANADA RESOURCES LTD ................... 214,933
210,988 IMPERIAL OIL LTD ............................ 9,928,300
15,000 KANTO NATURAL GAS
DEVELOPMENT CO LTD ......................... 101,829
100 oLYNX ENERGY SERVICES CORP (CLASS B) ......... 758
805,000 MITSUBISHI OIL CO LTD ....................... 4,806,006
4,138,799 MOBIL CORP .................................. 505,968,177
1,195,300 NIPPON OIL CO LTD ........................... 6,127,018
128,200 NORCEN ENERGY RESOURCES LTD ................. 2,843,276
380,277 NORSK HYDRO AS .............................. 20,546,143
7,032,247 OCCIDENTAL PETROLEUM CORP ................... 164,378,773
10,125 OMV AKTIENGESELLS AG ........................ 1,140,513
33,677 PETROFINA S.A ............................... 10,708,215
513 oPETROFINA S.A. WTS 6/03/97 .................. 3,149
3,610,617 PHILLIPS PETROLEUM CO ....................... 159,769,802
393,800 QUAKER STATE OIL REFINING CORP .............. 5,562,425
414,674 REPSOL S.A .................................. 15,876,308
998,400 ROYAL DUTCH PETROLEUM CO .................... 174,826,924
1,352,328 SANTOS LTD .................................. 5,478,186
124,000 SHELL REFINERY BERHAD ....................... 363,333
437,000 SHOWA SHELL SEKIYU K.K ...................... 3,632,988
653,242 SUN CO, INC ................................. 15,922,773
66,000 SUNCOR, INC ................................. 2,730,136
445,000 TEIKOKU OIL CO LTD .......................... 2,411,381
2,367,100 TEXACO, INC ................................. 232,271,687
1,680 TONEN CORP .................................. 19,538
470,907 TOTAL S.A ................................... 38,224,719
1,824,852 UNOCAL CORP ................................. 74,134,612
3,253,521 USX-MARATHON GROUP, INC NEW ................. 77,677,813
145,100 WOODSIDE PETROLEUM LTD ...................... 1,059,174
71,000 YPF SOCIEDAD ANONIMA (CLASS D) .............. 1,793,108
129,600 YPF SOCIEDAD ANONIMA (CLASS D) ADR .......... 3,272,400
---------------
4,009,960,468
---------------
PETROLEUM--SERVICE--0.98%
923,080 BAKER HUGHES, INC ........................... 31,846,260
295,835 oBJ SERVICES CO .............................. 15,087,585
21,700 oBJ SERVICES CO WTS 4/13/00 .................. 583,187
1,742,600 CABOT CORP .................................. 43,782,825
105,500 CAMCO INTERNATIONAL, INC .................... 4,866,187
154,795 oCLIFFS DRILLING CO .......................... 9,790,783
1,618,000 oDIAMOND OFFSHORE DRILLING, INC .............. 92,226,000
1,138,820 DRESSER INDUSTRIES, INC ..................... 35,303,420
713,550 oENSCO INTERNATIONAL, INC .................... 34,607,175
3,658,000 FAR EAST LEVINGSTON SHIPBUILDING LTD ........ 19,090,207
590,000 FLUOR CORP .................................. 37,022,500
377,820 oGLOBAL INDUSTRIAL TECHNOLOGIES, INC ......... 8,359,267
258,200 oGLOBAL INDUSTRIES LTD ....................... 4,808,975
1,642,200 oGLOBAL MARINE, INC NEW ...................... 33,870,375
844,236 HALLIBURTON CO .............................. 50,865,219
226,600 HELMERICH & PAYNE, INC ...................... 11,811,525
284,000 IHC CALAND NV ............................... 16,204,661
11,768 KONINKLIJKE PAKHOED HOLDINGS NV ............. 367,367
316,800 oMARINE DRILLING CO, INC ..................... 6,237,000
178,900 oMATRIX SERVICE CO ........................... 1,006,312
108,900 MCDERMOTT INTERNATIONAL, INC ................ 1,810,462
83,061 oMCMORAN OIL & GAS CO ........................ 181,695
941,400 oNABORS INDUSTRIES, INC ...................... 18,121,950
1,216,179 oNOBLE DRILLING CORP ......................... 24,171,557
447,500 oOCEANEERING INTERNATIONAL, INC .............. 7,104,062
886,400 oPARKER DRILLING CO .......................... 8,531,600
93,500 oPETROLEUM GEO-SERVICES AS ................... 3,646,045
479,769 oPOOL ENERGY SERVICES CO ..................... 7,376,448
597,000 oPRIDE PETROLEUM SERVICES, INC ............... 13,880,250
702,100 oREADING & BATES CORP ........................ 18,605,650
893,200 oROWAN COS, INC .............................. 20,208,650
384,700 oRPC, INC .................................... 5,770,500
1,340,000 SAIPEM S.P.A ................................ 6,154,405
19,030 SCHLUMBERGER LTD ............................ 1,900,621
1,221,428 SMEDVIG A/S SERIES A ........................ 26,779,784
305,357 oSMEDVIG A/S SERIES B ........................ 6,264,556
312,600 oSMITH INTERNATIONAL, INC .................... 14,027,925
70,000 TECHNIP S.A ................................. 6,557,279
629,300 TIDEWATER, INC .............................. 28,475,825
341,172 TOSCO CORP .................................. 26,995,234
136,736 TRANSOCEAN OFFSHORE, INC .................... 8,779,664
101,000 TRANSOCEAN OFFSHORE, INC (U.S.) ............. 6,325,125
118,900 oTUBOSCOPE VETCO INTERNATIONAL CORP .......... 1,842,950
761,757 ULTRAMAR DIAMOND SHAMROCK CORP .............. 24,090,565
398,800 oVARCO INTERNATIONAL, INC .................... 9,222,250
108,500 VASTAR RESOURCES, INC ....................... 4,123,000
463,601 oWEATHERFORD ENTERRA, INC .................... 13,908,030
298,188 oWESTERN ATLAS, INC .......................... 21,134,074
---------------
793,726,986
---------------
PHOTOGRAPHY--0.33%
198,187 CPI CORP .................................... 3,319,632
2,969,396 EASTMAN KODAK CO ............................ 238,294,029
57,500 NORITSU KOKI CO LTD ......................... 2,699,725
414,108 POLAROID CORP ............................... 18,013,698
124,800 oPRESSTEK, INC ............................... 8,892,000
---------------
271,219,084
---------------
PROPERTY--REAL ESTATE--0.66%
12,440,000 oASIA SECURITIES INTL ........................ 2,798,386
3,600,000 AYALA LAND, INC (CLASS B) ................... 4,106,484
8,000,000 oBELLE CORP .................................. 2,220,543
2,347,600 BRITISH LAND PLC ............................ 20,770,205
11,386,508 CHEUNG KONG HOLDINGS LTD .................... 101,204,848
675,913 CHINESE ESTATES LTD ......................... 751,497
303,840 CITY DEVELOPMENT LTD ........................ 2,736,904
27,726 oCITY DEVELOPMENT LTD WTS 7/18/98 ............ 194,248
2,454 oCOMPAGNIE IMMOBILIERE DE
BELGIQUE S.A. .............................. 166,874
306,400 CRESCENT REAL ESTATE EQUITIES, INC .......... 16,162,600
500 DAIBIRU CORP ................................ 4,609
804,000 DAIKYO, INC ................................. 3,788,773
1,025,000 DBS LAND LTD ................................ 3,773,767
88,200 oDILIGENTIA AB ............................... 1,388,622
105,273 oEVERGO CHINA HOLDINGS LTD ................... 17,556
10,300,000 oFILINVEST LAND, INC ......................... 3,211,422
260,418 GENERAL PROPERTY TRUST ...................... 506,782
130,640 GREAT PORTLAND ESTATES PLC .................. 466,131
117,225 HAMMERSON PLC ............................... 807,443
498,000 HANG LUNG DEVELOPMENT CO LTD ................ 1,094,501
17,968,497 HON KWOK LAND INVESTMENT CO LTD ............. 6,969,009
240 HONG KONG LAND HOLDINGS LTD ................. 667
1,898,571 HOPEWELL HOLDINGS LTD ....................... 1,227,255
40,100 HOSPITALITY PROPERTIES TRUST ................ 1,162,900
158,500 HOTEL PROPERTIES LTD ........................ 256,083
400,000 HYSAN DEVELOPMENT CO LTD .................... 1,592,754
</TABLE>
See notes to financial statements.
-41-
<PAGE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
PROPERTY--REAL ESTATE--(CONTINUED)
20,000 oHYSAN DEVELOPMENT CO LTD
WTS 4/30/98 ................................ $ 18,099
2,000,000 IOI PROPERTIES BERHAD ....................... 6,493,760
96,707 IRSA S.A .................................... 310,491
55,000 JAPAN INDUSTRIAL LAND DEVELOPMENT ........... 1,042,415
243,150 KIMCO REALTY CORP ........................... 8,479,856
83,000 LAND & HOUSE CO LTD (FR) .................... 563,266
212,300 LAND SECURITIES PLC ......................... 2,703,018
170,000 LANDMARKS HOLDINGS BERHAD ................... 226,172
624,270 LEND LEASE CORP LTD ......................... 12,098,926
165,000 oMEIWA ESTATE CO LTD ......................... 4,122,277
163,320 MEPC PLC .................................... 1,210,189
3,038,750 MITSUBISHI ESTATE CO LTD .................... 31,152,809
1,735,072 MITSUI FUDOSAN CO LTD ....................... 17,339,268
7,782,877 NEW WORLD DEVELOPMENT CO LTD ................ 52,573,213
39,000 OSAKA STADIUM CO LTD ........................ 265,428
122,000 PATRIOT AMERICAN HSOPITALITY ................ 5,261,250
13,435,900 oPRIMETOWN PROPERTY GROUP .................... 2,809,802
3,288,000 PT JAYA REAL PROPERTY (FR) .................. 4,589,719
21,700 RECKSON ASSOCIATES REALTY CORP .............. 916,825
26,870 SCHRODERS PROPERTY FUND ..................... 49,301
5,000 SEFIMEG S.A ................................. 361,621
500,000 SELANGOR PROPERTIES BERHAD .................. 548,405
11,265 SIMCO (REGD) ................................ 981,580
479 oSIMCO (REGD) NEW ............................ 40,199
1,385,000 SINGAPORE LAND LTD .......................... 7,673,536
3,759,900 SLOUGH ESTATES PLC .......................... 17,919,572
1,551,153 STOCKLAND TRUST GROUP (UNITS) ............... 4,004,262
178,200 STRAITS STEAMSHIP CO LTD .................... 570,728
44,550 oSTRAITS STEAMSHIP CO LTD
WTS 12/12/00 ............................... 48,091
861,000 SUMITOMO REALTY &
DEVELOPMENT CO LTD ......................... 5,414,785
4,216,659 SUN HUNG KAI PROPERTIES LTD ................. 51,651,835
256,394 TAI CHEUNG HOLDINGS LTD ..................... 241,974
74,400 TAK WING INVESTMENT HOLDINGS LTD ............ 10,965
624,100 TAUBMAN CENTERS, INC ........................ 8,035,287
14,414,625 TIAN AN CHINA INVESTMENTS CO LTD ............ 2,068,542
231,000 oTOKYO TATEMONO CO LTD ....................... 1,034,833
929,800 oTOLL BROTHERS, INC .......................... 18,131,100
637 oTRIZEC HAHN CORP WTS 7/25/99 ................ 2,718
1,500 UNIBAIL S.A ................................. 148,880
5,000,000 UNITED OVERSEAS LAND LTD .................... 7,613,663
228,196 VALLEHERMOSO S.A ............................ 4,938,553
27,800 WASHINGTON REAL ESTATE
INVESTMENT TRUST ........................... 486,500
731,300 WEINGARTEN REALTY INVESTORS, INC ............ 29,709,062
15,400 WELLSFORD RESIDENTIAL
PROPERTY TRUST ............................. 373,450
3,932,244 WESTFIELD TRUST (UNITS) ..................... 7,433,647
124,002 ~oWESTFIELD TRUST (UNITS) NEW ................. 224,794
5,558,200 WHARF HOLDINGS LTD .......................... 27,737,003
4,708,000 WING TAI HOLDINGS LTD ....................... 13,462,959
---------------
540,475,491
---------------
PUBLISHING--NEWSPAPER--0.51%
529,667 AUSTRALIAN PROVINCIAL
NEWSPAPER HOLDINGS ......................... 938,193
338,000 BELO (A.H.) CORP SERIES A ................... 11,787,750
180,400 BELO (A.H.) CORP SERIES B ................... 6,291,450
167,100 CENTRAL NEWSPAPERS, INC (CLASS A) ........... 7,352,400
621,689 oCOX COMMUNICATIONS, INC
(CLASS A) NEW .............................. 14,376,558
52,800 DOW JONES & CO, INC ......................... 1,788,600
416,800 DOW JONES & CO, INC (CLASS B) ............... 14,119,100
1,124,000 EMAP PLC .................................... 14,156,968
80,000 EXEL LTD .................................... 3,030,000
987,600 GANNETT CO, INC ............................. 73,946,550
646,400 KNIGHT-RIDDER, INC .......................... 24,724,800
270,000 MEDIA GENERAL, INC (CLASS A) ................ 8,167,500
698,516 NEW YORK TIMES CO (CLASS A) ................. 26,543,608
5,594,580 NEWS CORP LTD ............................... 29,506,665
152,400 NEWS CORP LTD ADR (LTD-VTG) ................. 2,686,050
39,412,000 ORIENTAL PRESS GROUP ........................ 17,706,036
60,000 oORIENTAL PRESS GROUP WTS 2/10/98 ............ 4,266
3,203,000 PEARSON PLC ................................. 41,082,297
72,300 RURAL PRESS LTD ............................. 223,968
137,280 SINGAPORE PRESS HOLDINGS LTD (FR) ........... 2,708,697
161,659 TIMES MIRROR CO (SERIES A) NEW .............. 8,042,535
762,159 TIMES MIRROR CO (SERIES C) NEW .............. 37,917,410
497,000 TRIBUNE CO NEW .............................. 39,200,875
258,000 oVALASSIS COMMUNICATIONS, INC ................ 5,450,250
57,100 WASHINGTON POST CO (CLASS B) ................ 19,135,637
---------------
410,888,163
---------------
PUBLISHING--OTHER--0.64%
38,500 oAMERICAN BUSINESS INFORMATION, INC .......... 856,625
591,800 AMERICAN GREETINGS CORP (CLASS A) ........... 16,792,325
435,300 BOWNE & CO, INC ............................. 10,719,262
951,964 DAI NIPPON PRINTING CO LTD .................. 16,648,374
90,152 DE LA RUE CO PLC ............................ 883,236
752,900 DONNELLEY (R.R.) & SONS CO .................. 23,622,237
1,811,839 DUN & BRADSTREET CORP ....................... 43,031,176
1,868,500 ELSEVIER UTIGEVERSMIJ NV .................... 31,541,360
62,270 FILIPACCHI MEDIAS S.A ....................... 13,834,311
66,700 GAKKEN CO LTD ............................... 376,376
105,800 oGIBSON GREETINGS, INC ....................... 2,076,325
246,600 oGOLDEN BOOKS FAMILY
ENTERTAINMENT, INC ......................... 2,743,425
80,000 GRUPO ANAYA S.A ............................. 1,491,472
70,000 GTC TRANSCONTINENTAL
GROUP LTD (CLASS A) ........................ 510,687
290,408 HARCOURT GENERAL, INC ....................... 13,395,069
141,100 HOUGHTON MIFFLIN CO ......................... 7,989,787
98,300 oK-III COMMUNICATIONS CORP ................... 1,056,725
468,100 LEE ENTERPRISES, INC ........................ 10,883,325
14,400 LEE ENTERPRISES, INC (CLASS B) .............. 334,800
94,100 xoMARVEL ENTERTAINMENT GROUP, INC ............. 176,437
1,136,500 MCGRAW HILL COS, INC ........................ 52,421,062
70,500 MEREDITH CORP ............................... 3,718,875
164,600 MEREDITH CORP (CLASS B) ..................... 8,682,650
50,000 MONDADORI (ARNOLDO) EDITORE S.P.A ........... 406,315
150,000 NISSHA PRINTING CO .......................... 1,421,475
191,550 PLENUM PUBLISHING CORP ...................... 6,704,250
375,900 READER'S DIGEST ASSOCIATION, INC
(CLASS A) (NON-VTG) ........................ 15,129,975
230,110 REED INTERNATIONAL PLC ...................... 4,337,566
248,100 oSCHOLASTIC CORP ............................. 16,684,725
692,000 SOUTH CHINA MORNING POST .................... 572,564
97,000 SOUTHAM, INC ................................ 1,348,106
143,750 THOMAS NELSON, INC .......................... 2,138,281
876,100 THOMSON CORP ................................ 19,334,658
4,113,087 TIME WARNER, INC ............................ 154,240,762
428,000 VERENIGDE NEDERLANDSE
UITGEVERSBED ............................... 8,932,138
142,587 WOLTERS KLUWER NV ........................... 18,917,645
82,400 oWOONG JIN PUBLISHING CO ..................... 4,484,043
52,800 oWORLD COLOR PRESS, INC ...................... 1,016,400
---------------
519,454,824
---------------
</TABLE>
See notes to financial statements.
-42-
<PAGE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
RAILROAD--0.87%
1,482,028 BURLINGTON NORTHERN SANTA FE CORP ........... $ 128,010,168
319,000 CANADIAN PACIFIC LTD ........................ 8,389,834
171,000 CANADIAN PACIFIC LTD (U.S.) NEW ............. 4,531,500
562,323 CONRAIL, INC ................................ 56,021,428
3,190,272 CSX CORP .................................... 134,788,992
5,560 EAST JAPAN RAILWAY CO ....................... 24,955,587
76,600 FLORIDA EAST COAST INDUSTRIES, INC .......... 6,692,925
367,377 HANKYU CORP ................................. 1,819,847
470,450 ILLINOIS CENTRAL CORP SERIES A .............. 15,054,400
461,300 KANSAS CITY SOUTHERN INDUSTRIES, INC ........ 20,758,500
216,726 KEIHIN ELECTRIC EXPRESS RAILWAY ............. 991,427
650 KEIO TEITO ELECTRIC RAILWAY CO LTD .......... 3,169
965,781 KINKI NIPPON RAILWAY CO LTD ................. 6,015,507
529,861 NAGOYA RAILROAD CO LTD ...................... 2,031,314
228,900 NANKAI ELECTRIC RAILWAY CO .................. 1,232,483
1,737,160 NIPPON EXPRESS CO LTD ....................... 11,882,712
1,483,212 NORFOLK SOUTHERN CORP ....................... 129,781,050
312,378 ODAKYU ELECTRIC RAILWAY CO LTD .............. 1,870,339
100,000 oRAILTRACK GROUP PLC (P/P) ................... 663,128
1,000,400 SAGAMI RAILWAY CO ........................... 3,619,747
1,728,572 STAGECOACH HOLDINGS PLC ..................... 20,677,155
365,369 TOBU RAILWAY CO LTD ......................... 1,784,719
992,149 TOKYU CORP .................................. 5,624,165
119,600 oTRANZ RAIL HOLDINGS LTD ..................... 726,780
1,566,299 UNION PACIFIC CORP .......................... 94,173,727
684,500 oWISCONSIN CENTRAL TRANSIT CORP .............. 27,123,312
---------------
709,223,915
---------------
RESTAURANTS & HOTELS--1.15%
10,300 ACCOR S.A ................................... 1,301,665
406,200 APPLE SOUTH, INC ............................ 5,483,700
357,150 APPLEBEES INTERNATIONAL, INC ................ 9,821,625
749,400 oAZTAR CORP .................................. 5,245,800
348,782 BOB EVANS FARMS, INC ........................ 4,708,557
441,000 oBOSTON CHICKEN, INC ......................... 15,820,875
626,300 oBUFFETS, INC ................................ 5,714,987
442,650 oCHOICE HOTELS INTERNATIONAL, INC ............ 7,801,706
303,072 CKE RESTAURANTS, INC ........................ 10,910,592
2,652 CLUB MEDITERRANEE S.A ....................... 171,807
855,000 COMPASS GROUP PLC ........................... 9,035,022
508,125 CRACKER BARREL OLD
COUNTRY STORE, INC ......................... 12,893,671
1,745,100 DARDEN RESTAURANTS, INC ..................... 15,269,625
19,700 oDAVE & BUSTERS, INC ......................... 396,462
35,200 EQUITY INNS, INC ............................ 457,600
350,600 oEXTENDED STAY AMERICA, INC .................. 7,055,825
368,800 FELCOR SUITE HOTELS, INC .................... 13,046,300
202,984 FRISCHS RESTAURANTS, INC .................... 3,247,744
100,995 FUJITA KANKO, INC ........................... 1,870,654
149 GENKI SUSHI CO LTD .......................... 2,567
85,000 oGROUPE PARTOUCHE S.A ........................ 6,948,716
162,000 HARBOUR CENTRE DEVELOPMENT LTD .............. 238,758
1,049,600 oHFS, INC .................................... 62,713,600
1,364,600 HILTON HOTELS CORP .......................... 35,650,175
26,083 oHK & SHANGAI HOTELS LTD WTS 12/10/98 ........ 9,778
58,384 oHOMESTEAD VILLAGE, INC ...................... 1,050,912
39,169 oHOMESTEAD VILLAGE, INC WTS .................. 318,248
339,083 HONG KONG & SHANGHAI HOTELS LTD ............. 640,024
1,167,400 oHOST MARRIOTT CORP .......................... 18,678,400
226,380 oHOST MARRIOTT SERVICES CORP ................. 2,065,717
1,017,536 oITT CORP (NEW) .............................. 44,135,624
1,024,050 LA QUINTA INNS, INC ......................... 19,584,956
141,500 oLANDRYS SEAFOOD RESTAURANTS, INC ............ 3,024,562
327,800 oLONE STAR STEAKHOUSE & SALOON, INC .......... 8,768,650
290,750 LUBYS CAFETERIA, INC ........................ 5,778,656
966,900 MARRIOTT INTERNATIONAL, INC ................. 53,421,225
6,472,200 MCDONALDS CORP .............................. 292,867,050
49,000 oMGM GRAND, INC .............................. 1,708,875
200,000 MIRAMAR HOTEL & INVESTMENT CO LTD ........... 400,774
73,868 MORRISON FRESH COOKING, INC ................. 341,639
322,700 oNPC INTERNATIONAL, INC ...................... 2,662,275
479,300 oOUTBACK STEAKHOUSE, INC ..................... 12,821,275
50,000 OVERSEAS UNION ENTERPRISES LTD .............. 250,214
20,000 oOVERSEAS UNION ENTERPRISES LTD
WTS 7/20/98 ................................ 28,595
104,400 oPAPA JOHNS INTERNATIONAL, INC ............... 3,523,500
514,285 PICCADILLY CAFETERIAS, INC .................. 4,757,136
297,400 oPRIME HOSPITALITY CORP ...................... 4,795,575
355,950 oPROMUS HOTEL CORP ........................... 10,545,018
100,000 oQUALITY DINING, INC ......................... 1,787,500
83,300 oRAINFOREST CAFE, INC ........................ 1,957,550
443,000 RESORTS WORLD BERHAD ........................ 2,017,223
221,700 oRIO HOTEL & CASINO, INC ..................... 3,242,362
116,236 RUBY TUESDAY, INC ........................... 2,150,366
608,250 oRYANS FAMILY STEAK HOUSES, INC .............. 4,181,718
92,875 SBARRO, INC ................................. 2,368,312
3,300 oSCOTTS RESTAURANTS, INC ..................... 13,843
600,000 SHANGRI-LA ASIA LTD ......................... 888,167
2,703 SHANGRI-LA HOTELS BERHAD .................... 2,547
566,778 oSHONEYS, INC ................................ 3,967,446
440,900 oSHOWBIZ PIZZA TIME, INC NEW ................. 7,991,312
247,100 SKYLARK CO LTD .............................. 3,767,916
2,933 SODEXHO S.A ................................. 1,630,446
204,350 oSONIC CORP .................................. 5,210,925
185,000 SUN INTERNATIONAL SOUTH AFRICA .............. 148,316
1,318,400 SYSCO CORP .................................. 43,012,800
60,000 TEN ALLIED .................................. 584,097
9,500,000 oTHISTLE HOTELS PLC .......................... 29,507,090
1,107,000 +oTPI ENTERPRISES, INC ........................ 103,781
318,100 oVICORP RESTAURANTS, INC ..................... 4,214,825
4,322,469 WENDYS INTERNATIONAL, INC ................... 88,610,614
---------------
935,345,867
---------------
RETAIL--FOOD--0.68%
1,717,800 ALBERTSONS, INC ............................. 61,196,625
1,105,416 AMERICAN STORES CO NEW ...................... 45,183,879
11,850,000 ASDA GROUP PLC .............................. 24,943,053
4,878 oBRUNOS, INC ................................. 84,145
80,752 CARREFOUR SUPERMARCHE S.A ................... 52,438,762
16,256 CASINO GUICHARD-PERRACHON S.A ............... 755,452
30,000 CENTROS COMERCIALES CONTINENTE S.A .......... 613,502
109,000 CENTROS COMERCIALES PRYCA S.A ............... 2,304,478
2,350 COLRUYT S.A ................................. 1,076,448
151,500 DELCHAMPS, INC .............................. 2,935,312
54,750 DELHAIZE FRERES NV .......................... 3,249,060
50,000 oDOMINICKS SUPERMARKETS, INC ................. 1,087,500
263,721 FLEMING COS, INC ............................ 4,549,187
1,099,050 FOOD LION, INC (CLASS A) .................... 10,750,082
1,842,450 FOOD LION, INC (CLASS B) .................... 18,654,806
399,400 GIANT FOOD, INC (CLASS A) ................... 13,779,300
263,700 GREAT ATLANTIC & PACIFIC TEA CO, INC ........ 8,405,437
500,300 HANNAFORD BROTHERS, INC ..................... 17,010,200
59,067 KONINKLIJKE AHOLD NV ........................ 3,687,849
1,263,604 oKROGER CO ................................... 58,757,586
50,700 LOBLAW COS LTD .............................. 523,385
355,000 MARUETSU, INC ............................... 2,419,135
234,700 NASH FINCH CO ............................... 4,987,375
84,500 OSHAWA GROUP LTD (CLASS A) .................. 1,248,358
38,800 PRIMISTERES REYNOIRD S.A .................... 2,133,745
9,300 PROMODES S.A ................................ 2,620,699
See notes to financial statements.
</TABLE>
-43-
<PAGE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
RETAIL--FOOD--(CONTINUED)
44,726 oQUALITY FOOD CENTERS, INC ................... $ 1,509,502
770,900 RUDDICK CORP ................................ 10,792,600
314,437 RYKOFF-SEXTON, INC .......................... 4,991,687
3,364,905 SAFEWAY PLC ................................. 23,263,782
1,855,300 oSAFEWAY, INC NEW ............................ 79,314,075
799,350 SAINSBURY (J) PLC ........................... 5,307,559
904 SEIYO FOOD SYSTEMS .......................... 8,021
459,524 xoSIZZLER INTERNATIONAL, INC .................. 1,321,131
1,441,800 oSOUTHLAND CORP .............................. 4,280,343
471,600 oSTARBUCKS CORP .............................. 13,499,550
622,900 SUPERVALU, INC .............................. 17,674,787
866,170 TESCO PLC ................................... 5,254,670
297,500 oVONS COS, INC ............................... 17,812,812
156,500 WEIS MARKETS, INC ........................... 4,988,437
612,132 WINN DIXIE STORES, INC ...................... 19,358,674
---------------
554,772,990
---------------
RETAIL--GENERAL MERCHANDISE--3.58%
387,500 xo50-OFF STORES, INC .......................... 66,603
108,000 ADIDAS AG ................................... 9,320,612
179,000 AOYAMA TRADING CO LTD ....................... 4,749,621
1,386,000 oAPPLIED INTERNATIONAL HOLDINGS LTD .......... 82,425
277,200 oAPPLIED INTERNATIONAL HOLDINGS LTD
WTS 12/30/99 ............................... 4,694
201,900 oAPS HOLDING CORP ............................ 3,129,450
112,942 ARGOS PLC 5/7 (P/P) ......................... 1,485,338
150,000 oASICS CORP .................................. 343,738
1,674,900 oAUTOZONE, INC ............................... 46,059,750
35,700 oBABY SUPERSTORE, INC ........................ 856,800
221,000 oBARNES & NOBLE, INC ......................... 5,967,000
1,650 BAZAR DE LHOTEL DE VILLE .................... 140,885
306,600 oBED BATH & BEYOND, INC ...................... 7,435,050
38,533 xoBEN FRANKLIN RETAIL STORES, INC ............. 2,311
353,100 oBEST BUY, INC ............................... 3,751,687
930 BEST DENKI CO LTD ........................... 10,736
111,200 BLAIR CORP .................................. 2,140,600
522,512 oBOMBAY, INC ................................. 2,416,618
419,800 BOOTS CO LTD ................................ 4,328,382
222,900 oBORDERS GROUP, INC .......................... 7,996,537
172,100 BROWN GROUP, INC ............................ 3,162,337
30,000 BULGARI S.P.A ............................... 607,992
319,787 oBURLINGTON COAT FACTORY
WAREHOUSE CORP ............................. 4,157,231
4,850,000 BURTON GROUP PLC ............................ 13,009,944
229,500 xoCALDOR CORP ................................. 258,187
160,000 CANADIAN TIRE, INC (CLASS A) ................ 2,655,576
655,000 CARPETRIGHT PLC ............................. 6,501,228
132,547 oCARSON PIRIE SCOTT & CO ..................... 3,346,811
669,600 CASEYS GENERAL STORES, INC .................. 12,555,000
45,518 CASTORAMA DUBOIS S.A ........................ 7,818,642
663,600 oCHARMING SHOPPES, INC ....................... 3,359,475
40 CHIYODA CO .................................. 620
696,000 oCIFRA S.A. DE CV SERIES B ................... 852,320
249,000 oCIFRA S.A. DE CV SERIES C ................... 303,659
3,135,600 CIRCUIT CITY STORES, INC .................... 94,459,950
598,100 CLAIRES STORES, INC ......................... 7,775,300
108,618 CLAIRES STORES, INC (CLASS A) ............... 1,412,034
547,000 xoCLOTHESTIME, INC ............................ 153,843
555,100 CML GROUP, INC .............................. 1,873,462
3,274,930 COLES MYER LTD .............................. 13,474,614
968 COMPTOIRS MODERNES .......................... 521,350
674,375 oCONSOLIDATED STORES CORP .................... 21,748,593
45,000 CORTEFIEL S.A ............................... 1,349,244
2,500,000 oCOURTS (SINGAPORE) LTD ...................... 3,109,806
3,204,432 oCUC INTERNATIONAL, INC ...................... 76,105,260
793,100 CVS CORP .................................... 32,814,512
23,200 oCYRK, INC ................................... 301,600
1,366,550 DAIEI, INC .................................. 10,418,953
500 DAIICHI CORP ................................ 10,079
425,380 DAIMARU, INC ................................ 2,268,417
24,600 DART GROUP CORP (CLASS A) ................... 2,287,800
1,666,745 DAYTON HUDSON CORP .......................... 65,419,741
220,500 DEB SHOPS, INC .............................. 937,125
38,500 oDEPARTMENT 56, INC .......................... 952,875
2,400,000 DICKSON CONCEPTS LTD ........................ 8,998,027
1,467,200 DILLARD DEPARTMENT
STORES, INC (CLASS A) ...................... 45,299,800
1,987,193 DIXONS GROUP PLC ............................ 18,448,707
737,806 DOLLAR GENERAL CORP ......................... 23,609,792
124,400 oDOLLAR TREE STORES, INC ..................... 4,758,300
12,000 DOUGLAS HOLDINGS AG ......................... 471,091
435,400 oDRESS BARN, INC ............................. 6,531,000
162,300 DUTY FREE INTERNATIONAL, INC ................ 2,353,350
114 oDYLEX LTD ................................... 306
38 oDYLEX LTD WTS 5/31/98 ....................... 13
328,060 oECKERD CORP ................................. 10,497,920
92,100 xoEDISON BROTHERS STORES, INC ................. 103,612
252,800 oEGGHEAD, INC ................................ 1,327,200
74,700 ETHAN ALLEN INTERIORS, INC .................. 2,875,950
187,900 oFABRI-CENTERS OF AMERICA (CLASS A) .......... 3,029,887
245,800 oFABRI-CENTERS OF AMERICA (CLASS B) .......... 3,779,175
327,800 FAMILY DOLLAR STORES, INC ................... 6,678,925
1,590,549 oFEDERATED DEPARTMENT STORES, INC ............ 54,277,484
566,700 FINGERHUT COS, INC .......................... 6,942,075
235,801 oFOOTSTAR, INC ............................... 5,865,549
150,800 oFURNITURE BRANDS
INTERNATIONAL, INC ......................... 2,111,200
1,992,900 GAP, INC .................................... 60,036,112
12,606,000 GOLDLION HOLDINGS CO LTD .................... 10,348,778
476,700 oGOOD GUYS, INC .............................. 3,098,550
310,300 oGOTTSCHALKS, INC ............................ 1,629,075
92,400 GRANDOPTICAL PHOTOSERVICE S.A ............... 14,947,366
395,400 GREAT UNIVERSAL STORES PLC .................. 4,141,085
373,400 oGYMBOREE CORP ............................... 8,541,525
270,678 HANCOCK FABRICS, INC ........................ 2,808,284
191,275 oHANDLEMAN CO ................................ 1,625,837
266,700 HANKYU DEPARTMENT STORES, INC ............... 2,642,263
274,375 oHANOVER DIRECT, INC ......................... 205,781
188,815 HECHINGER CO (CLASS A) ...................... 389,430
166,225 HECHINGER CO (CLASS B) ...................... 592,176
652,287 HEILIG MEYERS CO ............................ 10,599,663
61,200 HENNES & MAURITZ AB SERIES B ................ 8,461,173
771 HOMAC CORP .................................. 13,948
4,146,233 HOME DEPOT, INC ............................. 207,829,929
1,890 oHOUSE OF FABRICS, INC ....................... 6,378
4,723 oHOUSE OF FABRICS, INC WTS ................... 9,446
194,500 oHSN, INC .................................... 4,619,375
167,400 oINTELLIGENT ELECTRONICS, INC ................ 1,339,200
1,805,200 INTIMATE BRANDS, INC (CLASS A) .............. 30,688,400
250,000 ISETAN CO ................................... 3,230,625
823,248 ITO-YOKADO CO LTD ........................... 35,745,098
249,000 IZUMIYA CO LTD .............................. 3,518,021
96,050 JACOBSON STORES, INC ........................ 888,462
67,000 oJONES APPAREL GROUP, INC .................... 2,504,125
12,500,000 JOYCE BOUTIQUE HOLDINGS ..................... 3,167,409
707,350 JUSCO CO LTD ................................ 23,948,713
3,920,000 oK MART CORP ................................. 40,670,000
3,800 KARSTADT AG ................................. 1,282,200
37,000 KESKO CO .................................... 521,002
3,327,371 KINGFISHER PLC .............................. 35,958,430
477,100 oKOHLS CORP .................................. 18,726,175
</TABLE>
See notes to financial statements.
-44-
<PAGE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
RETAIL--GENERAL MERCHANDISE
--(CONTINUED)
255,400 oLANDS END, INC .............................. $ 6,768,100
34,100 LAOX CO LTD ................................. 517,037
147,000 oLECHTERS, INC ............................... 744,187
1,705,805 LIMITED, INC ................................ 31,344,166
206,121 LONGS DRUG STORES CORP ...................... 10,125,694
997,300 LOWES COS, INC .............................. 35,404,150
190,490 oLURIA (L.) & SON, INC ....................... 500,036
311,200 oMAC FRUGALS BARGAINS
CLOSE-OUTS, INC ............................ 8,130,100
4,541,400 MARKS & SPENCER PLC ......................... 38,159,036
968,853 MARUI CO LTD ................................ 17,444,537
2,548,370 MAY DEPARTMENT STORES CO .................... 119,136,297
132,400 oMEIKLES AFRICA LTD .......................... 195,290
120,500 oMENS WAREHOUSE, INC ......................... 2,952,250
294,800 MERCANTILE STORES CO, INC ................... 14,555,750
64,566 oMETRO AG .................................... 5,195,108
145,700 oMEYER (FRED), INC ........................... 5,172,350
76,300 oMICHAELS STORES, INC ........................ 915,600
79,900 oMICROAGE, INC ............................... 1,598,000
102,000 MINISTOP CO LTD ............................. 2,486,805
640,900 MITSUKOSHI LTD .............................. 4,538,552
12,000 MIZUNO CORP ................................. 90,767
11,900 oMOVIE GALLERY, INC .......................... 154,700
39 MR MAX CORP ................................. 517
503,500 oMUSICLAND STORES CORP ....................... 755,250
578,400 MYCAL CORP .................................. 8,371,298
239,149 oNEIMAN-MARCUS GROUP, INC .................... 6,098,299
1,977,600 NEXT PLC .................................... 19,205,714
520 NISSEN CO LTD ............................... 3,628
624,300 NORDSTROM, INC .............................. 22,123,631
581,100 oOFFICEMAX, INC .............................. 6,174,187
11,624 OPSM PROTECTOR LTD .......................... 26,960
358,823 oPAYLESS SHOESOURCE, INC ..................... 13,455,862
2,030,441 PENNEY, (J.C.) CO, INC ...................... 98,983,998
750,400 PEP BOYS MANNY, MOE, & JACK CO .............. 23,074,800
43,900 PEPKOR LTD .................................. 134,679
183,600 oPETRIE STORES CORP
(LIQUIDATING TRUST) ........................ 504,900
701,800 oPETSMART, INC ............................... 15,351,875
22,600 PICK'N PAY STORES LTD ....................... 22,708
45,200 PICK'N PAY STORES LTD SERIES N .............. 41,552
595,061 PIER 1 IMPORTS, INC ......................... 10,487,950
11,038 PINAULT-PRINTEMPS-REDOUTE S.A ............... 4,369,507
96,000 PLAYMATES TOYS HOLDINGS LTD ................. 25,752
1,871,835 oPRICE/COSTCO, INC ........................... 47,029,854
167,000 oPROFFITTS, INC .............................. 6,158,125
9,213,000 PT MATAHARI PUTRA PRIMA (FR) ................ 10,717,022
186,000 oPT RAMAYANA LESTARI (FR) .................... 401,257
1,300,000 oPT RAMAYANA LESTARI (LR) .................... 2,804,490
78,500 REGIS CORP .................................. 1,275,625
601,700 oREVCO (D.S.), INC NEW ....................... 22,262,900
240,884 oREX STORES CORP ............................. 1,957,182
93,250 oREXALL SUNDOWN, INC ......................... 2,535,234
465,000 RINASCENTE S.P.A ............................ 2,692,536
3,250 oRINASCENTE S.P.A. WTS 12/31/99 .............. 1,430
1,277,563 RITE AID CORP ............................... 50,783,129
1,024,000 ROBINSON & CO LTD ........................... 4,099,511
2,476,100 ROBINSON DEPARTMENT STORE (FR) .............. 2,269,462
332,600 ROSS STORES, INC ............................ 16,630,000
1,456,000 ROUSE CO .................................... 46,228,000
2,400 ROYAL CO LTD ................................ 44,453
42,650 RUSS BERRIE & CO, INC ....................... 767,700
651,100 SEARS PLC ................................... 1,058,516
3,477,200 SEARS ROEBUCK & CO .......................... 160,385,850
485,430 SEIYU LTD ................................... 4,767,456
500 SENSHUKAI CO LTD ............................ 5,125
569,112 oSERVICE MERCHANDISE, INC .................... 2,418,726
132,234 SEVEN-ELEVEN JAPAN CO LTD ................... 7,723,748
237,000 SHIMACHU CO ................................. 6,064,012
500 SHIMAMAURA CO LTD ........................... 17,143
900,000 oSIAM MAKRO PUBLIC CO LTD .................... 3,790,994
505,000 SOTHEBYS HOLDINGS, INC (CLASS A) ............ 9,405,625
1,146,168 oSTAPLES, INC ................................ 20,702,659
118,500 oSTEIN MART, INC ............................. 2,399,625
2,217,975 STOREHOUSE PLC .............................. 9,792,701
146,735 STRAWBRIDGE & CLOTHIER (CLASS A) ............ 2,329,418
487,700 STRIDE RITE CORP ............................ 4,877,000
650,500 oSUNGLASS HUT INTERNATIONAL, INC ............. 4,716,125
249,400 oSYMS CORP ................................... 2,119,900
15,300 oTAG HEUER INTERNATIONAL S.A ................. 2,461,127
1,022,000 TAKASHIMAYA CO LTD .......................... 12,238,296
48,900 TALBOTS, INC ................................ 1,399,762
545,601 TANDY CORP .................................. 24,006,444
182,900 oTHE SPORTS AUTHORITY, INC ................... 3,978,075
220,000 oTHE WAREHOUSE GROUP LTD ..................... 528,536
125,400 TIFFANY & CO NEW ............................ 4,592,775
32,600 oTIMBERLAND CO ............................... 1,238,800
979,880 TJX COS, INC NEW ............................ 46,421,815
534,100 oTOPPS, INC .................................. 2,136,400
3,579,550 oTOYS R US, INC .............................. 107,386,500
126,000 oTRANS WORLD ENTERTAINMENT CORP .............. 899,719
57,000 oUNITED AUTO GROUP, INC ...................... 1,467,750
302,000 UNY CO LTD .................................. 5,515,667
1,637 VALORA HOLDINGS AG REGD ..................... 312,088
200,000 VENDOME LUXURY GROUP PLC (UNITS) ............ 1,822,534
173,626 oVENTURE STORES, INC ......................... 520,878
369,950 oWABAN, INC .................................. 9,618,700
13,665,776 WAL-MART STORES, INC ........................ 312,604,626
1,730,400 WALGREEN CO ................................. 69,216,000
39,100 oWEST MARINE, INC ............................ 1,104,575
310,575 oWILLIAMS-SONOMA, INC ........................ 11,297,165
1,594,800 oWOOLWORTH CORP .............................. 34,886,250
112,000 YORK-BENIMARU ............................... 3,116,562
379,500 oZALE CORP ................................... 7,257,937
---------------
2,911,568,907
---------------
TEXTILE & APPAREL--0.48%
145,000 oALPARAGATAS S.A. INDUSTRIAL
Y COMERCIAL ................................. 124,724
130,400 ANGELICA CORP ............................... 2,493,900
158,500 oANN TAYLOR STORES CORP ...................... 2,773,750
200 ATSUGI NYLON INDUSTRIAL CO LTD .............. 685
139,000 BENETTON GROUP S.P.A ........................ 1,755,155
236,700 oBURLINGTON INDUSTRIES, INC .................. 2,603,700
456,300 CATO CORP (CLASS A) NEW ..................... 2,281,500
60,130 oCHARGEURS INTERNATIONAL S.A ................. 2,972,494
289,800 COATS VIYELLA PLC ........................... 659,593
126,100 oCONE MILLS CORP ............................. 993,037
42,000 COURTAULDS TEXTILES PLC ..................... 162,436
90,674 DAWSON INTERNATIONAL PLC .................... 89,222
24,500 oDE RIGO S.P.A. ADR .......................... 223,562
168,700 DOMINION TEXTILES, INC ...................... 861,530
17 ESCADA AG. (STAMM) .......................... 2,746
109,500 FAB INDUSTRIES, INC ......................... 3,011,250
122,100 oFIELDCREST CANNON, INC ...................... 1,953,600
24,000 FILA HOLDING S.P.A. ADR ..................... 1,395,000
781,100 oFRUIT OF THE LOOM, INC (CLASS A) ............ 29,584,162
315,200 G & K SERVICES, INC (CLASS A) ............... 11,898,800
120,900 oGENESCO, INC ................................ 1,118,325
67,000 GUCCI GROUP NV ADR .......................... 4,279,625
272,705 GUILFORD MILLS, INC ......................... 7,260,770
79,000 oGUNZE LTD ................................... 409,031
</TABLE>
See notes to financial statements.
-45-
<PAGE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
TEXTILE & APPAREL--(CONTINUED)
277,200 oHARTMARX CORP ............................... $ 1,559,250
2,000,000 IINER MONGOLIA ERDOS
CASHMERE CO LTD ............................ 1,260,000
203,250 oJUST FOR FEET, INC .......................... 5,335,312
203,800 oKANEBO LTD .................................. 419,621
533,050 KELLWOOD CO ................................. 10,661,000
401,000 KURABO INDUSTRIES LTD ....................... 1,140,022
132,250 KURARAY CO LTD .............................. 1,219,087
559,600 LIZ CLAIBORNE, INC .......................... 21,614,550
22,000 MARZOTTO & FIGLI S.P.A ...................... 141,864
231,800 oMOHAWK INDUSTRIES, INC ...................... 5,099,600
245,200 oNAUTICA ENTERPRISES, INC .................... 6,191,300
980,600 NIKE, INC (CLASS B) ......................... 58,590,850
208,400 oNINE WEST GROUP, INC ........................ 9,664,550
50,000 NIPPON FELT CO LTD .......................... 249,835
246,000 NISSHINBO INDUSTRY, INC ..................... 1,911,599
180,000 ONWARD KASHIYMA CO LTD ...................... 2,527,641
141,500 OSHKOSH B'GOSH, INC (CLASS A) ............... 2,157,875
161,500 OXFORD INDUSTRIES, INC ...................... 3,876,000
42,100 oPARAGON TRADE BRANDS, INC ................... 1,263,000
45,130 oPATHE S.A ................................... 10,851,057
346,188 PHILLIPS VAN HEUSEN CORP .................... 4,976,452
10,801,800 PT INDO RAMA SYNTHETICS (FR) ................ 10,509,071
440,010 REEBOK INTERNATIONAL LTD .................... 18,480,420
492,228 oRENOWN, INC ................................. 1,310,328
364,500 RUSSELL CORP ................................ 10,843,875
888 SALAMANDER AG ............................... 87,584
102,000 oSANRIO CO LTD ............................... 821,612
197,500 SPRING INDUSTRIES, INC ...................... 8,492,500
86,500 ST. JOHN KNITS, INC ......................... 3,762,750
92,855 oTAVEX ALGODONERA S.A ........................ 849,504
778,000 TEIJIN LTD .................................. 3,391,449
560,600 TOKYO STYLE CO LTD .......................... 7,823,901
738,000 TORAY INDUSTRIES, INC ....................... 4,545,877
301,000 TOYOBO CO LTD ............................... 902,404
109,900 oTULTEX CORP ................................. 769,300
520,925 UNIFI, INC .................................. 16,734,715
384,000 oUNITIKA LTD ................................. 827,040
485,900 VF CORP ..................................... 32,798,250
368,800 WARNACO GROUP, INC (CLASS A) ................ 10,925,700
267,800 oWESTPOINT STEVENS, INC ...................... 8,000,525
454,025 WOLVERINE WORLD WIDE, INC ................... 13,166,725
68,600 WORLD CO LTD ................................ 2,836,747
2,236,542 ZIMBABWE SPINNERS & WEAVERS ................. 258,320
---------------
387,757,659
---------------
TOBACCO--1.45%
1,165,400 AMERICAN BRANDS, INC ........................ 57,832,975
1,255,975 B.A.T. INDUSTRIES LTD ....................... 10,413,600
870 CIE FINANCIERE RICHEMONT AG.(UNITS A) ....... 1,218,052
528,250 DIMON, INC .................................. 12,215,781
193,800 EMPRESAS LA MODERN SERIES A NPV ............. 960,140
313,900 IMASCO LTD .................................. 7,694,635
35,328 NOBLEZA-PICCARDO S.A. (CLASS B) ............. 134,273
7,973,900 PHILIP MORRIS COS, INC ...................... 898,060,487
1,641,500 PT HANJAYA MANDALA SAMPOERNA (FR) ........... 8,748,866
3,000,000 R.J. REYNOLDS BERHAD ........................ 8,136,998
148,700 REMBRANDT GROUP LTD ......................... 1,327,250
2,479,946 RJR NABISCO HOLDINGS CORP ................... 84,318,164
171,620 ROTHMANS HOLDINGS LTD ....................... 1,104,173
117,000 ROTHMANS OF PALL MALL BERHAD ................ 1,227,677
245,090 SCHWEITZER-MAUDUIT
INTERNATIONAL, INC ......................... 7,750,971
22,000 SEITA S.A ................................... 918,288
64,478 SOUZA CRUZ S.A .............................. 423,192
251,016 oSTANDARD COMMERCIAL CORP .................... 5,083,074
15,000 TABACALERA S.A. SERIES A (REGD) ............. 644,638
378,700 UNIVERSAL CORP .............................. 12,165,737
1,753,500 UST, INC .................................... 56,769,562
---------------
1,177,148,533
---------------
TRADING COMPANIES--0.14%
65,000 INCHCAPE BERHAD ............................. 225,836
4,255,350 ITOCHU CORP ................................. 22,802,420
221,540 IWATANI & CO LTD ............................ 940,923
3,903,950 MARUBENI CORP ............................... 16,748,999
3,273,000 MITSUBISHI CORP ............................. 33,836,274
3,670,664 MITSUI & CO LTD ............................. 29,725,404
59,000 oNAGASE & CO ................................. 488,461
800 RYOSAN CO LTD ............................... 17,781
330,195 STELUX HOLDINGS INTERNATIONAL LTD ........... 85,376
1,342,310 SUMITOMO CORP ............................... 10,557,932
968 TACHIBANA SHOKAI LTD ........................ 7,922
---------------
115,437,328
---------------
TRUCKERS & SHIPPING--0.29%
6,000 AISIN SEIKI CO LTD .......................... 95,109
377,500 oAMERICAN FREIGHTWAYS CORP ................... 4,199,687
286,106 APL LTD ..................................... 6,759,254
661,400 ARNOLD INDUSTRIES, INC ...................... 10,499,725
72,400 BERGESEN AS SERIES A ........................ 1,768,782
691,652 BRAMBLES INDUSTRIES LTD ..................... 13,487,258
158,300 CALIBER SYSTEM, INC ......................... 3,047,275
27,500 CNF TRANSPORTATION, INC ..................... 611,875
13,750 oCONSOLIDATED FREIGHTWAYS CORP ............... 122,031
306 DAMPSKIBSSELSKABET AF 1912 (CLASS B) ........ 7,858,916
294 DAMPSKIBSSELSKABET
SVENDBORG (CLASS B) ........................ 11,014,587
110,000 oHALTER MARINE GROUP, INC .................... 1,512,500
265,580 oHEARTLAND EXPRESS, INC ...................... 6,473,512
300,000 oHITACHI ZOSEN CORP .......................... 1,163,025
201,350 HUNT (J.B.) TRANSPORT SERVICES, INC ......... 2,818,900
27,000 ICB SHIPPING AB SERIES B .................... 1,192,225
45,000 JURONG SHIPYARD LTD ......................... 226,801
101,000 KAMIGUMI CO LTD ............................. 661,287
1,100,000 KAWASAKI HEAVY INDUSTRIES LTD ............... 4,539,243
1,124,000 oKAWASAKI KISEN KAISHA LTD ................... 2,556,380
9,000 KONINKLIJKE NEDLLOYD GROEP NV ............... 246,618
6,000 LAIDLAW, INC (CLASS A) ...................... 70,474
363,392 LAIDLAW, INC (CLASS B) ...................... 4,228,569
277,800 oLANDSTAR SYSTEM, INC ........................ 6,458,850
1,000 oLAURITZEN J. HOLDINGS (CLASS B) ............. 116,970
105,100 oM.S. CARRIERS, INC .......................... 1,681,600
476,000 MALAYSIAN INTERNATIONAL
SHIPPING CO (FR) ........................... 1,413,580
125,900 MITSUBISHI WAREHOUSE &
TRANSPORTATION CO LTD ...................... 1,626,942
342,960 oMITSUI ENGINEERING & SHIP
BUILDING CO LTD ............................ 697,285
1,857,080 oMITSUI OSK LINES LTD ........................ 4,431,652
367,000 MITSUI SOKO CO LTD .......................... 2,393,410
17,142 oNCL HOLDINGS AS ............................. 28,724
199,000 NEPTUNE ORIENT LINES LTD .................... 172,140
498,840 NIPPON YUSEN KABUSHIKI KAISHA ............... 2,251,893
64,720 OCEAN GROUP PLC ............................. 537,717
1,094,400 oOMI, INC .................................... 9,576,000
427,560 OVERSEAS SHIPHOLDING GROUP, INC ............. 7,268,520
641,000 PARK MAY BERHAD ............................. 1,157,378
3,634,214 PENINSULAR & ORIENTAL STEAM
NAVIGATION CO .............................. 36,693,459
214,850 PITTSTON BURLINGTON GROUP CO ................ 4,297,000
116,750 ROADWAY EXPRESS, INC ........................ 2,262,031
1,028,852 RYDER SYSTEM, INC ........................... 28,936,462
122,000 SAFMARINE & RENNIES HOLDINGS LTD ............ 273,863
804,000 SEINO TRANSPORTATION CO LTD ................. 8,865,868
29,000 SHURGARD STORAGE CENTERS, INC ............... 859,125
34,639 oSOCIETE ANOMYNE DE GERANCE &
D'ARMENENT ................................. 599,659
216,200 oSWIFT TRANSPORTATION CO, INC ................ 5,080,700
61,700 TRANSPORTATION DEVELOPMENT
GROUP PLC ................................... 199,031
17,000 TRANSPORT MARITIMA MEXICO SERIES L .......... 89,621
33,300 TRENCOR LTD ................................. 167,300
41,800 USFREIGHTWAYS CORP .......................... 1,146,887
640,550 WERNER ENTERPRISES, INC ..................... 11,609,968
9,500 XTRA CORP ................................... 412,062
865,006 YAMATO TRANSPORT CO LTD ..................... 8,942,432
154,600 oYELLOW CORP ................................. 2,222,375
---------------
237,624,537
---------------
</TABLE>
See notes to financial statements.
-46-
<PAGE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
UTILITIES--ELECTRIC--3.52%
233,900 oAES CORP .................................... $ 10,876,350
1,402,900 ALLEGHENY POWER SYSTEMS, INC ................ 42,613,087
1,293,997 AMERICAN ELECTRIC POWER CO, INC ............. 53,215,626
874,400 ATLANTIC ENERGY, INC ........................ 14,974,100
120,000 oAUSTRALIA GAS LIGHT CO ...................... 682,462
1,150,524 BALTIMORE GAS & ELECTRIC CO ................. 30,776,517
395,350 BLACK HILLS CORP ............................ 11,119,218
403,086 BOSTON EDISON CO ............................ 10,832,936
1,098,836 CAROLINA POWER & LIGHT CO ................... 40,107,514
1,535,559 CENTERIOR ENERGY CORP ....................... 16,507,259
1,510,400 CENTRAL & SOUTH WEST CORP ................... 38,704,000
77,200 CENTRAL HUDSON GAS & ELECTRIC CORP .......... 2,422,150
1,134,364 +CENTRAL LOUISIANA ELECTRIC, INC ............. 31,336,805
148,938 CENTRAL MAINE POWER CO ...................... 1,731,404
66,000 CHILECTRA S.A. ADR .......................... 3,547,500
115,700 CHILGENER S.A. ADR .......................... 2,415,237
860,400 CHINA LIGHT & POWER CO LTD .................. 3,826,457
57,200 CILCORP, INC ................................ 2,094,950
1,751,998 CINERGY CORP ................................ 58,472,933
301,809 CIPSCO, INC ................................. 10,902,850
411,950 oCITIZENS UTILITIES CO (CLASS B) ............. 4,582,943
1,857,000 CMS ENERGY CORP ............................. 62,441,625
3,760,800 CONSOLIDATED EDISON CO OF
NEW YORK, INC .............................. 110,003,400
15,075 CONSOLIDATED ELECTRIC
POWER ASIA LTD ............................. 35,373
638,600 DELMARVA POWER & LIGHT CO ................... 13,011,475
1,239,800 DOMINION RESOURCES, INC ..................... 47,732,300
629,550 DPL, INC .................................... 15,423,975
729,793 DQE, INC .................................... 21,163,997
1,661,418 DTE ENERGY CO ............................... 53,788,407
1,503,500 DUKE POWER CO ............................... 69,536,875
86,240 EAST MIDLANDS ELECTRICITY PLC ............... 982,161
290,600 EASTERN UTILITIES ASSOCIATION CO ............ 5,049,175
6,185,510 EDISON INTERNATIONAL CO ..................... 122,937,011
2,089,000 EDISON ...................................... 13,195,795
42,714 oEL PASO ELECTRIC CO ......................... 277,641
78,251 ELECTRABEL NV ............................... 18,500,869
2,000 ELECTRABEL S.A. STRIP (VVPR) ................ 1,951
9,977,766 ELECTROBRAS S.A ............................. 3,572,060
514,840 EMPRESA NACIONAL DE ELECTRIDAD S.A .......... 36,572,750
270,000 EMPRESA NACIONAL DE
ELECTRIDAD S.A. ADR ........................ 4,185,000
150,000 ENERSIS S.A. ADR ............................ 4,162,500
611,990 ENOVA CORP .................................. 13,922,772
2,149,304 ENTERGY CORP NEW ............................ 59,643,186
634,339 FLORIDA PROGRESS CORP ....................... 20,457,432
1,287,048 FPL GROUP, INC .............................. 59,204,208
1,230,700 GPU, INC .................................... 41,382,287
382,491 HAWAIIAN ELECTRIC INDUSTRIES, INC ........... 13,817,487
4,700,025 HONG KONG ELECTRIC CO LTD ................... 15,616,055
1,668,300 HOUSTON INDUSTRIES, INC ..................... 37,745,287
2,077,397 IBERDROLA S.A ............................... 29,386,691
778,800 IDAHO POWER CO .............................. 24,240,150
21,000 IES INDUSTRIES, INC ......................... 627,375
1,149,452 ILLINOVA CORP ............................... 31,609,930
669,500 IPALCO ENTERPRISES, INC ..................... 18,243,875
1,480,914 KANSAI ELECTRIC POWER CO, INC ............... 30,619,377
582,834 KANSAS CITY POWER & LIGHT CO ................ 16,610,769
257,000 KOREA ELECTRIC POWER CORP ................... 7,479,162
18,300 KU ENERGY CORP .............................. 549,000
78,857 LONDON ELECTRICITY PLC ...................... 918,321
1,127,700 LONG ISLAND LIGHTING CO ..................... 24,950,362
670,400 LOUISVILLE GAS & ELECTRIC
ENERGY CORP ................................ 16,424,800
645,000 MANILA ELECTRIC CO SERIES B ................. 5,272,839
434,700 MIDAMERICAN ENERGY HOLDINGS CO .............. 6,900,862
405,402 MINNESOTA POWER & LIGHT CO .................. 11,148,555
1,594,206 MONTANA POWER CO ............................ 34,076,153
686,795 NATIONAL GRID GROUP PLC ..................... 2,297,735
1,717,900 NATIONAL POWER PLC .......................... 14,375,828
1,576,600 NEVADA POWER CO ............................. 32,320,300
783,943 NEW ENGLAND ELECTRIC SYSTEMS CO ............. 27,340,012
1,068,086 NEW YORK STATE ELECTRIC & GAS CORP .......... 23,097,359
1,337,900 oNIAGARA MOHAWK POWER CORP ................... 13,211,762
645,579 NIPSCO INDUSTRIES, INC ...................... 25,581,067
651,100 NORTHEAST UTILITIES CO ...................... 8,627,075
44,231 NORTHERN ELECTRIC PLC ....................... 491,622
588,200 NORTHERN STATES POWER CO .................... 26,983,675
1,444,792 OHIO EDISON CO .............................. 32,869,018
835,329 OKLAHOMA GAS & ELECTRIC CO .................. 34,874,985
189,900 ORANGE & ROCKLAND UTILITY, INC .............. 6,812,662
12,000 OESTERREICHISCHE
ELEKTRIZITAETSWIRSCHAFTS AG. ............... 897,272
5,459,740 PACIFIC GAS & ELECTRIC CO ................... 114,654,540
2,092,200 PACIFICORP .................................. 42,890,100
4,698,702 oPAUL F LUZ S.A .............................. 556,193
27,304 oPAUL F LUZ S.A. RTS ......................... 199
2,179,900 PECO ENERGY CO .............................. 55,042,475
718,400 PINNACLE WEST CAPITAL CORP .................. 22,809,200
605,900 PORTLAND GENERAL CORP ....................... 25,447,800
634,700 POTOMAC ELECTRIC POWER CO ................... 16,343,525
2,500 oPOWERFIN S.A ................................ 381,719
1,022,772 PP&L RESOURCES, INC ......................... 23,523,756
1,118,592 PUBLIC SERVICE CO OF COLORADO ............... 43,485,264
932,562 PUBLIC SERVICE CO OF NEW MEXICO ............. 18,301,529
2,446,446 PUBLIC SERVICE ENTERPRISE
GROUP, INC ................................. 66,665,653
1,089,003 PUGET SOUND POWER & LIGHT CO ................ 26,136,072
595,920 RHEIN-WESTFALEN ELECTRIC AG. (STAMM) ........ 25,211,845
165,600 ROCHESTER GAS & ELECTRIC CORP ............... 3,167,100
670,900 SCANA CORP .................................. 17,946,575
391,201 SCOTTISH POWER PLC .......................... 2,356,507
188,565 SEVILLANA DE ELECTRICIDAD S.A ............... 2,138,289
178,544 SHUN TAK ENTERPRISES CORP LTD ............... 118,875
529,000 SIERRA PACIFIC RESOURCES .................... 15,208,750
4,911,062 SOUTHERN CO ................................. 111,112,777
55,800 SOUTHERN ELECTRICITY PLC .................... 760,104
447,083 SOUTHWESTERN PUBLIC SERVICE CO .............. 15,815,561
947,252 TECO ENERGY, INC ............................ 22,852,454
4,500,000 TENAGA NASIONAL BERHAD ...................... 21,560,076
1,620,107 TEXAS UTILITIES CO .......................... 66,019,360
942,603 TOHOKU ELECTRIC POWER CO, INC ............... 18,677,207
1,190,574 TOKYO ELECTRIC POWER CO, INC ................ 26,052,259
19,638 TRACTEBEL NV ................................ 9,134,547
19,638 oTRACTEBEL NV WTS 11/15/99 ................... 284,392
204,000 TRANSALTA CORP .............................. 2,567,300
259,520 oTUCSON ELECTRIC POWER CO .................... 4,314,520
2,134,670 UNICOM CORP ................................. 57,902,923
788,100 UNION ELECTRIC CO ........................... 30,341,850
100,000 UNION ELECTRICA FENOSA S.A .................. 1,072,476
89,000 UNITED ILLUMINATING CO ...................... 2,792,375
890,364 UTILICORP UNITED, INC ....................... 24,039,828
911,230 VEBA AG ..................................... 52,624,391
26,846 VIAG AG ..................................... 10,521,692
797,600 WASHINGTON WATER POWER CO ................... 14,855,300
549,729 WESTERN RESOURCES, INC ...................... 16,972,882
815,681 WISCONSIN ENERGY CORP ....................... 21,921,426
626,000 WPL HOLDINGS, INC ........................... 17,606,250
854,200 WPS RESOURCES CORP .......................... 24,344,700
---------------
2,861,476,561
---------------
</TABLE>
See notes to financial statements.
-47-
<PAGE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
UTILITIES--GAS & PIPELINE--0.96%
157,800 AGL RESOURCES, INC .......................... $ 3,333,525
489,200 oAMERICAN STANDARD COS, INC .................. 18,711,900
27,600 AMERICAN WATER WORKS CO, INC ................ 569,250
322,574 ATMOS ENERGY CORP ........................... 7,701,454
154,900 oBLACK BOX CORP .............................. 6,389,625
3,245,400 BRITISH GAS CORP PLC ........................ 12,468,400
356,350 BROOKLYN UNION GAS CO ....................... 10,735,043
588,600 CABOT OIL & GAS CORP (CLASS A) .............. 10,079,775
64,200 oCALENERGY, INC .............................. 2,158,725
87,000 CALOR GROUP PLC ............................. 441,438
759,737 COASTAL CORP ................................ 37,132,145
465,000 COLUMBIA GAS SYSTEMS, INC ................... 29,585,625
48,973 COMPAGNIE GENERALE DES EAUX ................. 6,057,095
673,200 CONSOLIDATED NATURAL GAS CO ................. 37,194,300
213,338 EASTERN ENTERPRISES CO ...................... 7,546,831
377,402 EL PASO NATURAL GAS CO NEW .................. 19,058,801
6,287 ENERGIA E INDUSTRIAS ARAGONESAS S.A ......... 34,800
1,741,100 ENRON CORP .................................. 75,084,937
633,200 ENSERCH CORP ................................ 14,563,600
397,775 EQUITABLE RESOURCES, INC .................... 11,833,806
65,041 GAS NATURAL SDG S.A ......................... 15,101,063
1,405,936 HONG KONG & CHINA GAS CO LTD ................ 2,717,345
117,161 oHONG KONG & CHINA GAS CO LTD
WTS 11/30/97 ............................... 65,131
236,900 oIONICS, INC ................................. 11,371,200
2,156 IPL ENERGY, INC ............................. 62,838
134,378 IPL ENERGY, INC (U.S.) ...................... 3,880,164
1,540,000 ITALGAS S.P.A ............................... 6,419,382
22,224 LYONNAISE DES EAUX S.A ...................... 2,064,315
697,176 MCN CORP .................................... 20,130,957
205,100 NATIONAL FUEL GAS CO ........................ 8,460,375
68,200 NEW JERSEY RESOURCES CORP ................... 1,994,850
267,000 NGC CORP .................................... 6,207,750
366,440 NICOR, INC .................................. 13,100,230
870,760 NORAM ENERGY CORP ........................... 13,387,935
17,400 NORTHWEST NATURAL GAS CO .................... 417,600
237,162 ONEOK, INC .................................. 7,114,860
1,038,925 OSAKA GAS CO LTD ............................ 2,837,257
889,240 PACIFIC ENTERPRISES, INC .................... 27,010,665
1,143,183 PANENERGY CORP .............................. 51,443,235
338,615 PEOPLES ENERGY CORP ......................... 11,470,583
9,000 PRIMAGAZ .................................... 1,057,743
404,956 oPRIMARK CORP ................................ 10,022,661
574,140 QUESTAR CORP ................................ 21,099,645
667,300 SONAT, INC .................................. 34,365,950
30,500 SOUTHWESTERN ENERGY CO ...................... 461,312
1,496,688 oTENNECO, INC NEW ............................ 67,538,046
1,152,766 TOKYO GAS CO LTD ............................ 3,118,358
258,600 TRANS CANADA PIPELINES LTD .................. 4,527,903
15,000 TRANS CANADA PIPELINES LTD (U.S.) ........... 262,500
133,000 TRANSPORTADORA DE GAS DEL
SUR S.A. SERIES B .......................... 327,245
125,000 oTRIARC COS, INC ............................. 1,437,500
324 UGI CORP NEW ................................ 7,249
449,300 VALERO ENERGY CORP .......................... 12,861,212
29,800 WASHINGTON ENERGY CO ........................ 614,625
799,600 WASHINGTON GAS LIGHT CO ..................... 18,090,950
115,000 WESTCOAST ENERGY, INC ....................... 1,925,475
61,600 WESTERN GAS RESOURCES, INC .................. 1,185,800
1,912,147 WILLIAMS COS, INC ........................... 71,705,512
505,300 YANKEE ENERGY SYSTEMS, INC .................. 10,800,787
---------------
777,349,283
---------------
UTILITIES--OTHER--0.02%
109,000 ANGLIAN WATER PLC ........................... 1,100,537
461,932 AUTOPISTAS CONCESIONARIA
ESPANOLA S.A. .............................. 6,356,886
116,000 oBILLING INFORMATION CONCEPTS CORP ........... 3,335,000
57,000 HYDER PLC ................................... 725,240
192,867 THAMES WATER PLC ............................ 2,021,576
199,592 UNITED UTILITIES PLC ........................ 2,121,098
---------------
15,660,337
---------------
UTILITIES--TELEPHONE--5.32%
75,700 oADTRAN, INC ................................. 3,141,550
610,700 ALIANT COMMUNICATIONS, INC .................. 10,381,900
1,943,374 ALLTEL CORP ................................. 60,973,359
131,300 oAMERICAN MOBILE SATELLITE CORP .............. 1,608,425
5,132,748 AMERITECH CORP NEW .......................... 311,172,847
13,519,003 AT & T CORP ................................. 588,076,630
442,100 BCE, INC .................................... 21,061,589
21 BCE, INC (U.S.) ............................. 1,002
3,952,344 BELL ATLANTIC CORP .......................... 255,914,274
9,031,910 BELLSOUTH CORP .............................. 364,663,366
7,667,410 BRITISH TELECOMMUNICATIONS PLC .............. 51,763,286
36,500 oC-TEC CORP .................................. 885,125
7,118,075 CABLE & WIRELESS PLC ........................ 59,139,540
236,400 CABLE & WIRELESS PLC ADR .................... 5,821,350
285,883 oCELLULAR COMMUNICATIONS OF
PUERTO RICO, INC ........................... 5,646,189
368,800 CINCINNATI BELL, INC ........................ 22,727,300
15,500 oCOMMNET CELLULAR, INC ....................... 432,062
300,000 COMPANIA TELECOM DE CHILE S.A. ADR .......... 30,337,500
776 DDI CORP .................................... 5,120,893
2,800,000 oDEUTSCHE TELEKOM AG ......................... 58,957,872
2,130,400 FRONTIER CORP ............................... 48,200,300
729,837 oGLENAYRE TECHNOLOGIES, INC .................. 15,737,110
2,650 GN STORE NORD AS - GN GREAT NORDIC .......... 258,310
8,738,212 GTE CORP .................................... 397,588,646
22,161,924 HONG KONG TELECOMMUNICATIONS LTD ............ 35,670,966
800,000 oHONG KONG TELECOMMUNICATIONS LTD
ADR ........................................ 13,000,000
921,600 KONINKLIJKE PTT NEDERLAND NV ................ 35,110,123
6,172,700 MCI COMMUNICATIONS CORP ..................... 201,770,131
534,300 oMOBILE TELECOMMUNICATIONS
TECHNOLOGIES CORP .......................... 4,541,550
99,100 oMOBILEMEDIA CORP ............................ 43,356
1,450,800 oNEXTEL COMMUNICATIONS, INC (CLASS A) ........ 18,951,075
356 NIPPON TELEGRAPH & TELEPHONE CORP ........... 2,692,773
3,854,244 NYNEX CORP .................................. 185,485,492
3,995,515 PACIFIC TELESIS GROUP CO .................... 146,835,176
</TABLE>
See notes to financial statements.
-48-
<PAGE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
UTILITIES--TELEPHONE--(CONTINUED)
100,000 PHILIPPINE LONG DISTANCE
TELEPHONE CO ADR ........................... $ 5,100,000
100,000 PHILIPPINE LONG DISTANCE
TELEPHONE CO ADR ........................... 5,100,000
204,000 PORTUGAL TELECOM S.A ........................ 5,807,720
1,078,000 oPRICELLULAR CORP (CLASS A) .................. 12,397,000
307,500 oPT INDONESIAN SATELLITE CORP ADR ............ 8,417,812
9,098,080 SBC COMMUNICATIONS, INC ..................... 470,825,640
2,400,000 oSINGAPORE TELECOMMUNICATIONS LTD ............ 5,661,992
605,600 SOUTHERN NEW ENGLAND
TELECOMMUNICATIONS CORP .................... 23,542,700
3,802,319 SPRINT CORP ................................. 151,617,470
1,860,000 STET-SOCIETA FINANZIARIA TELEFONICA ......... 8,444,772
745,000 STET-SOCIETA FINANSIARIA TELEFONICA
DI RISP .................................... 2,512,326
276,000 oTECHNOLOGY RESOURCES
INDUSTRIES BERHAD .......................... 544,240
18,145,026 TELECOM ITALIA MOBILE S.P.A ................. 45,787,702
5,575,000 TELECOM ITALIA MOBILE S.P.A. DI RISP ........ 7,941,977
205,900 TELE DANMARK AS (CLASS B) ................... 11,344,055
1,680,000 oTELEBRAS S.A ................................ 120,450
490,000 oTELEC DE SAO PAULO S.A ...................... 105,917
50,000 oTELECEL-COMUNICACAOES PESSOAIS .............. 3,188,295
11,187,760 TELECOM CORP OF NEW ZEALAND ................. 57,076,058
16,815,026 TELECOM ITALIA S.P.A ........................ 43,593,291
4,425,000 TELECOM ITALIA S.P.A. DI RISP ............... 8,618,484
1,505,441 TELEFONICA DE ARGENTINA S.A. (CLASS B) 3,945,044
2,102,959 TELEFONICA DE ESPANA S.A .................... 48,745,159
2,725,000 TELEFONOS DE MEXICO S.A. SERIES L ........... 4,493,220
1,509,000 TELEKOM MALAYSIA BERHAD ..................... 13,443,865
314,198 TELEPHONE & DATA SYSTEMS, INC ............... 11,389,677
200,700 TELUS CORP .................................. 2,913,787
116,000 oU.S. LONG DISTANCE CORP ..................... 928,000
4,173,546 U.S. WEST COMMUNICATIONS GROUP, INC ......... 134,596,858
4,188,846 oU.S. WEST MEDIA GROUP, INC .................. 77,493,651
1,290,110 VODAFONE GROUP PLC .......................... 5,442,141
7,084,926 oWORLDCOM, INC ............................... 184,650,882
---------------
4,329,501,252
---------------
TOTAL COMMON STOCK
(Cost $46,993,767,214) . ...................... 78,401,473,485
---------------
PAR
VALUE
-------
SHORT TERM INVESTMENTS--6.00%
BANK NOTES--0.09%
BANK ONE OF COLUMBUS, N.A.
$20,000,000 5.690%, 10/28/97 ........................... 19,984,368
NATIONS BANK OF TEXAS
25,000,000 5.350%, 02/06/97 ........................... 24,995,575
NATIONSBANK, NA
25,000,000 5.660%, 04/30/97 ........................... 24,992,357
---------------
69,972,300
---------------
BANKERS ACCEPTANCES--0.19%
BANK OF MONTREAL
15,000,000 5.320%, 03/06/97 ........................... 14,850,499
12,500,000 5.320%, 03/12/97 ........................... 12,363,916
BANKERS TRUST NEW YORK CORP
1,500,000 5.290%, 04/24/97 ........................... 1,474,635
CHASE MANHATTAN BANK
8,300,000 5.320%, 01/13/97 ........................... 8,281,267
19,000,000 5.300%, 04/01/97 ........................... 18,743,532
15,498,286 5.280%, 01/24/97 ........................... 15,436,498
CITIBANK, N.A.
10,000,000 5.360%, 02/19/97 ........................... 9,925,417
FIRST NATIONAL BANK OF CHICAGO
22,000,000 5.280%, 06/04/97 ........................... 21,496,076
NATIONS BANK OF TEXAS
5,000,000 5.280%, 05/12/97 ........................... 4,902,283
NATIONSBANK SOUTH
36,000,000 5.300%, 04/07/97............................ 35,482,021
REPUBLIC NATIONAL BANK OF NEW YORK
10,000,000 5.270%, 02/07/97 ........................... 9,943,106
---------------
152,899,250
---------------
CERTIFICATES OF DEPOSIT--0.31%
BANK OF NOVA SCOTIA
25,000,000 5.370%, 01/21/97 ........................... 24,998,645
13,000,000 5.380%, 01/22/97 ........................... 12,999,155
BANKERS TRUST NEW YORK CORP
40,000,000 5.490%, 04/08/97 ........................... 39,994,540
COMMERZBANK
22,000,000 5.540%, 01/27/97 ........................... 22,000,077
19,000,000 5.410%, 06/04/97 ........................... 18,991,826
DEUTSCHE BANK
15,000,000 5.370%, 01/22/97 ........................... 14,999,148
MORGAN GUARANTY TRUST CO
25,000,000 5.380%, 02/04/97 ........................... 24,997,712
NATIONAL WESTMINSTER BANK PLC
30,000,000 5.370%, 02/03/97 ........................... 29,997,648
RABOBANK
15,000,000 5.500%, 12/05/97 ........................... 14,962,099
ROYAL BANK OF CANADA
25,000,000 5.580%, 12/11/97 ........................... 24,955,077
SOCIETE GENERALE
10,000,000 5.850%, 05/08/97 ........................... 10,005,544
15,000,000 5.560%, 11/20/97 ........................... 14,969,649
------------
253,871,120
------------
COMMERCIAL PAPER--2.74%
AMERICAN BRANDS, INC
21,000,000 # 5.330%, 01/17/97 ........................... 20,940,698
25,000,000 # 5.300%, 04/17/97 ........................... 24,593,547
AMERICAN EXPRESS CREDIT CORP
50,000,000 6.750%, 01/02/97 ........................... 49,981,220
50,000,000 5.300%, 02/05/97 ........................... 49,701,000
AMERICAN HOME PRODUCTS
14,000,000 # 5.330%, 01/28/97 ........................... 13,934,340
25,000,000 # 5.330%, 01/28/97 ........................... 24,882,750
ASSET SECURITIZATION COOPERATIVE CORP
3,000,000 #*5.310%, 01/29/97 ........................... 2,985,548
50,000,000 # 5.400%, 02/04/97 ........................... 49,709,305
20,000,000 # 5.330%, 03/11/97 ........................... 19,775,612
ASSOCIATES CORP OF NORTH AMERICA
50,000,000 5.300%, 01/24/97 ........................... 49,800,665
B.B.V. FINANCE (DELAWARE), INC
25,000,000 5.310%, 01/22/97 ........................... 24,908,640
25,000,000 5.310%, 01/30/97 ........................... 24,875,417
BELL ATLANTIC FINANCIAL SERVICES, INC
25,000,000 5.670%, 01/30/97 ........................... 24,875,417
BENEFICIAL CORP
50,000,000 5.310%, 02/20/97 ........................... 49,591,290
BETA FINANCE CORP
25,000,000 5.430%, 02/07/97 ........................... 24,842,195
25,000,000 # 5.300%, 02/18/97 ........................... 24,803,660
BURLINGTON NORTHERN SANTA FE
28,000,000 5.540%, 01/10/97 ........................... 27,951,621
CAMPBELL SOUP CO
25,000,000 # 5.290%, 02/07/97 ........................... 24,842,195
50,000,000 # 5.300%, 04/08/97 ........................... 49,255,470
25,000,000 5.370%, 07/14/97 ........................... 24,248,437
</TABLE>
See notes to financial statements.
-49-
<PAGE>
<TABLE>
<CAPTION>
PAR
VALUE VALUE
------ -----
<S> <C> <C>
COMMERCIAL PAPER--
CANADIAN IMPERIAL HOLDINGS, INC
$15,000,000 5.291%, 01/30/97 ........................... $ 14,925,250
CATERPILLAR FINANCIAL SERVICES CORP
11,000,000 5.620%, 01/16/97 ........................... 10,970,764
CIESCO LP
29,000,000 5.300%, 01/30/97 ........................... 28,855,484
25,000,000 5.300%, 02/13/97 ........................... 24,817,277
25,000,000 5.340%, 02/19/97 ........................... 24,799,652
20,000,000 5.340%, 02/19/97 ........................... 19,839,722
COLGATE-PALMOLIVE CO
35,000,000 # 5.390%, 02/05/97 ........................... 34,790,700
COLUMBIA/HCA HEALTHCARE CORP
9,000,000 # 5.600%, 01/07/97 ........................... 8,987,959
9,700,000 # 5.540%, 01/16/97 ........................... 9,673,788
20,000,000 5.530%, 01/24/97 ........................... 19,918,934
CONAGRA, INC
41,000,000 # 5.550%, 01/07/97 ........................... 40,945,150
30,000,000 5.570%, 02/07/97 ........................... 29,807,466
CSX CORP
15,000,000 # 5.520%, 01/14/97 ........................... 14,963,716
15,000,000 # 5.520%, 01/21/97 ........................... 14,946,799
15,000,000 # 5.520%, 01/23/97 ........................... 14,941,734
15,000,000 # 5.520%, 01/23/97 ........................... 14,941,734
DUPONT (E.I.) DE NEMOURS & CO
25,000,000 5.250%, 04/17/97 ........................... 24,593,547
FORD MOTOR CREDIT CO
42,000,000 5.320%, 01/21/97 ........................... 41,853,491
37,000,000 5.310%, 02/19/97 ........................... 36,703,485
GENERAL ELECTRIC CAPITAL CORP
37,000,000 5.310%, 02/18/97 ........................... 36,709,416
13,000,000 5.300%, 06/09/97 ........................... 12,681,644
GENERAL MOTORS ACCEPTANCE CORP
17,000,000 5.480%, 02/20/97 ........................... 16,861,038
25,000,000 5.330%, 05/13/97 ........................... 24,494,785
GOLDMAN SACHS GROUP, LP
21,000,000 5.400%, 01/16/97 ........................... 20,944,186
35,000,000 5.350%, 02/07/97 ........................... 34,779,073
20,000,000 5.350%, 04/25/97 ........................... 19,650,528
25,000,000 5.300%, 06/13/97 ........................... 24,372,472
GTE CORP
45,000,000 6.050%, 01/09/97 ........................... 44,930,587
IBM CORP
25,000,000 5.290%, 02/14/97 ........................... 24,813,125
MCI COMMUNICATIONS CORP
30,000,000 # 5.320%, 01/17/97 ........................... 29,915,283
30,500,000 # 5.300%, 02/20/97 ........................... 30,250,686
MCKENNA TRIANGLE
NATIONAL CORP
25,000,00 # 5.310%, 01/23/97 ........................... 24,904,485
MERRILL LYNCH & CO, INC
5,000,000 5.320%, 02/07/97 ........................... 4,968,439
10,000,000 5.340%, 03/03/97 ........................... 9,900,628
40,000,000 5.300%, 04/14/97 ........................... 39,367,912
25,000,000 5.300%, 05/06/97 ........................... 24,521,375
MORGAN (J.P.) & CO
50,000,000 6.500%,01/02/97 ............................. 49,981,220
MORGAN STANLEY GROUP, INC
25,000,000 5.320%, 01/17/97 ........................... 24,929,402
25,000,000 5.320%, 02/11/97 ........................... 24,825,582
50,000,000 5.300%, 02/14/97 ........................... 49,626,250
NATIONAL RURAL UTILITIES
COOPERATIVE FINANCE
24,000,000 # 5.310%, 01/28/97 ........................... 23,888,373
NATIONSBANK CORP
$10,000,000 5.350%, 02/21/97 ........................... 9,916,656
NORTHERN INDIANA PUBLIC SERVICE
CAPITAL MARKET
16,100,000 5.320%, 01/22/97 ........................... 16,041,164
PFIZER, INC
5,000,000 # 5.400%, 03/03/97 ........................... 4,950,314
PHILIP MORRIS COS, INC
50,000,000 5.550%, 01/09/97 ........................... 49,923,750
30,000,000 5.290%, 01/24/97 ........................... 29,880,399
PRAXAIR, INC
40,000,000 5.480%, 01/08/97 ........................... 39,944,712
15,000,000 5.480%, 01/24/97 ........................... 14,939,200
ST PAUL COS
10,000,000 # 5.270%, 02/07/97 ........................... 9,936,878
SCHERING CORP
23,000,000 5.400%, 02/18/97 ........................... 22,819,367
27,000,000 5.400%, 02/18/97 ........................... 26,787,952
SEARS ROEBUCK ACCEPTANCE CORP
30,000,000 5.310%, 02/10/97 ........................... 29,795,682
35,000,000 5.300%, 03/12/97 ........................... 34,601,710
TEXTRON INC
25,000,000 5.480%, 01/10/97 ........................... 24,956,805
UBS FINANCE, (DELAWARE) INC
20,000,000 5.400%, 01/10/97 ........................... 19,966,112
US WEST CAPITAL FUNDING CORP, INC
20,000,000 # 5.610%, 01/07/97 ........................... 19,973,244
5,000,000 # 5.520%, 01/24/97 ........................... 4,979,733
20,000,000 # 5.520%, 01/24/97 ........................... 19,918,934
WALT DISNEY CO
35,000,000 5.300%, 01/24/97 ........................... 34,860,465
25,000,000 5.350%, 01/31/97 ........................... 24,871,265
25,000,000 5.240%, 06/09/97 ........................... 24,387,777
WHIRLPOOL FINANCE
25,000,000 7.250%, 01/02/97 ........................... 24,990,515
16,000,000 5.400%, 01/06/97 ........................... 15,981,787
29,000,000 6.100%, 01/10/97 ........................... 28,950,296
XEROX CREDIT CORP
25,000,000 5.250%, 03/04/97 ........................... 24,747,562
35,000,000 5.250%, 03/10/97 ........................... 34,612,928
---------------
2,227,827,375
---------------
MEDIUM TERM BONDS--0.20%
ABBEY NATIONAL TREASURY SERVICES
20,000,000 5.500%, 11/21/97 ........................... 19,966,000
BENEFICIAL CORP
10,000,000 6.030%, 06/17/97 ........................... 10,018,000
BETA FINANCE CORP
25,000,000 5.900%, 05/12/97 ........................... 25,017,500
CIT GROUP HOLDINGS, INC
5,000,000 8.750%, 07/01/97 ........................... 5,078,500
FIRST NATIONAL BANK OF CHICAGO
14,340,000 6.830%, 09/08/97 ........................... 14,451,852
GENERAL MOTORS ACCEPTANCE CORP
20,000,000 8.125%, 01/27/97 ........................... 20,040,000
10,000,000 8.125%, 01/27/97 ........................... 10,020,000
KEYCORP/SOCIETY
25,000,000 7.100%, 03/28/97 ........................... 25,087,500
PHILIP MORRIS COS, INC
15,000,000 9.750%, 05/01/97 ........................... 15,199,500
RABOBANK
5,500,000 5.770%, 08/26/97 ........................... 5,501,100
XEROX CORP
10,500,000 9.625%, 09/01/97 ........................... 10,761,450
---------------
161,141,402
---------------
</TABLE>
See notes to financial statements.
-50-
<PAGE>
<TABLE>
<CAPTION>
PAR
VALUE VALUE
------ -----
<C> <C> <C>
U.S. GOVERNMENTS & AGENCIES--1.97%
FEDERAL FARM CREDIT BANKS
U.S. GOVERNMENTS & AGENCIES--1.97%
$50,000,000 5.370%, 03/03/97 ............................. $ 49,541,890
FEDERAL HOME LOAN BANKS
89,000,000 5.300%, 01/03/97 ............................. 88,959,353
92,000,000 5.205%, 01/16/97 ............................. 91,779,200
10,000,000 5.250%, 01/23/97 ............................. 9,965,500
41,500,000 5.260%, 01/30/97 ............................. 41,313,250
75,000,000 5.470%, 01/31/97 ............................. 74,651,250
50,000,000 5.220%, 02/03/97 ............................. 49,745,000
50,000,000 5.220%, 02/20/97 ............................. 49,622,460
35,000,000 5.200%, 02/20/97 ............................. 34,735,722
3,000,000 *5.330%, 02/25/97 ............................ 2,975,126
41,040,000 5.350%, 03/31/97 ............................. 40,494,168
50,000,000 5.170%, 05/14/97 ............................. 49,022,915
50,000,000 5.170%, 06/09/97 ............................. 48,837,780
50,000,000 5.170%, 06/11/97 ............................. 48,823,250
FEDERAL HOME LOAN MORTGAGE CORP
20,000,000 5.470%, 04/01/97 ............................. 20,000,000
9,500,000 5.280%, 01/14/97 ............................. 9,480,050
50,000,000 5.430%, 01/24/97 ............................. 49,820,000
50,000,000 5.230%, 02/13/97 ............................. 49,670,000
34,344,000 5.240%, 02/13/97 ............................. 34,117,329
50,000,000 5.230%, 02/13/97 ............................. 49,670,000
34,000,000 5.210%, 02/14/97 ............................. 33,770,500
33,000,000 5.380%, 02/24/97 ............................. 32,731,277
33,000,000 5.380%, 02/24/97 ............................. 32,731,277
50,000,000 5.370%, 03/12/97 ............................. 49,475,390
38,000,000 5.350%, 03/13/97 ............................. 37,595,680
21,000,000 5.350%, 03/17/97 ............................. 20,764,146
100,000,000 6.250%, 01/02/97 ............................. 99,962,440
FEDERAL NATIONAL MORTGAGE ASSOCIATION
50,000,000 5.230%, 02/26/97 ............................. 49,578,040
23,000,000 5.250%, 01/24/97 ............................. 22,917,200
23,250,000 5.550%, 01/24/97 ............................. 23,166,300
41,000,000 5.320%, 02/04/97 ............................. 40,784,750
10,000,000 5.300%, 02/26/97 ............................. 9,915,608
26,000,000 5.460%, 02/27/97 ............................. 25,776,732
50,000,000 5.400%, 03/14/97 ............................. 49,460,610
100,000,000 5.370%, 03/24/97 ............................. 98,773,440
49,395,000 5.360%, 03/31/97 ............................. 48,738,046
35,000,000 5.200%, 05/09/97 ............................. 34,341,562
---------------
1,603,707,241
---------------
U.S. TREASURY BILLS--0.11%
U.S. TREASURY BILLS
35,000,000 5.045%, 04/24/97 ............................. 34,440,290
43,000,000 5.050%, 05/01/97 ............................. 42,265,800
11,000,000 5.080%, 06/05/97 ............................. 10,756,900
---------------
87,462,990
---------------
VARIABLE RATE NOTES--0.39%
AMERICAN EXPRESS CENTURION BANK
25,000,000 5.345%, 05/16/97 ............................. 24,992,500
20,000,000 5.345%, 06/27/97 ............................. 19,996,000
BANK OF BOSTON
25,000,000 5.530%, 01/24/97 ............................. 24,992,500
BENEFICIAL CORP
20,000,000 5.602%, 07/14/97 ............................. 20,008,000
BETA FINANCE CORP
25,000,000 5.342%, 05/15/97 ............................. 24,995,000
BOATMANS BANK KANSAS CITY
25,000,000 5.430%, 06/17/97 ............................. 25,002,500
CIT GROUP HOLDINGS, INC
$15,000,000 5.475%, 02/28/97 ............................. 15,015,000
CORESTATES BANK PHILADELPHIA
NATIONAL BANK
25,000,000 5.970%, 07/28/97 ............................. 24,992,500
CORPORATE ASSET FUNDING CORP
15,000,000 5.556%, 12/02/97 ............................. 14,995,500
FEDERAL FARM CREDIT BANKS
15,000,000 5.450%, 06/27/97 ............................. 14,997,000
FORD MOTOR CREDIT CO
20,000,000 5.650%, 02/18/97 ............................. 20,030,000
GENERAL MOTORS ACCEPTANCE CORP
20,000,000 5.732%, 06/02/97 ............................. 20,012,000
HOUSEHOLD FINANCE CORP
25,000,000 5.480%, 05/23/97 ............................. 24,995,000
MERRILL LYNCH & CO, INC
20,000,000 5.725%, 06/16/97 ............................. 20,004,000
PHH CORP
25,000,000 5.364%, 06/11/97 ............................. 24,980,000
---------------
320,007,500
---------------
TOTAL SHORT TERM INVESTMENTS
(Cost $4,878,773,414) ............................ $ 4,876,889,178
---------------
ROUNDING................ ........................ 1,263
---------------
TOTAL PORTFOLIO
(Cost $52,068,002,137) ........................... $83,533,120,282
===============
</TABLE>
- ----------------
o Non-income producing
+ Affiliate holdings
x In Bankruptcy
* All or a portion of this security has been segregated by the Custodian to
cover margin or other requirements on open futures contracts, covered call
options written and securities purchased on a delayed delivery basis.
# Commercial Paper issued under the private placement exemption under Section
4(2) of the Securities Act of 1933, as amended.
~ Restricted Securities--Investment in securities not registered under the
Securities Act of 1933 or not publicly traded in foreign markets.
Additional information on each holding is as follows:
<PAGE>
ACQUISITION ACQUISITION
SECURITY DATE COST
-------- ---- ----
AMERICAN SATELLITE NETWORK
WTS 6/30/99 01/02/94 $ 0
ANTENA 3 DE TELEVISION GDR 12/12/96 5,982,300
CORIMON S.A. ADR 04/27/93 553,000
CRESTARAN INTERNATIONAL
INVESTMENT BV 09/30/94 0
HEIZER CORP (LIQUIDATING TRUST) 11/19/91 0
INTERNATIONAL HYDRON
(LIQUIDATING TRUST) 12/07/92 0
L'AIR LIQUIDE S.A. (REGD) 09/30/94 4,378,926
MARTEK BIOSCIENCES CORP 05/22/95 5,003,750
MARTEK BIOSCIENCES CORP
WTS 5/18/98 05/22/95 117,776
MULTI-PURPOSE HOLDINGS
BERHAD RTS 11/06/96 0
PREUSSAG AG. (W/W)
WTS 5/17/01 05/17/96 94,529
PRIPPS RINGERS AB 11/15/93 106,034
WESTFIELD TRUST (UNITS) NEW 08/28/91 7,251,186
WINDMERE CORP WTS 1/19/98 09/02/93 0
YORK RESEARCH CORP (CLASS B) WTS 03/13/95 0
YORK RESEARCH CORP (CLASS C) WTS 11/05/96 14,848
-----------
$23,502,349
-----------
See notes to financial statements.
-51-
<PAGE>
<TABLE>
<CAPTION>
COLLEGE RETIREMENT EQUITIES FUND
TRANSACTIONS WITH AFFILIATED COMPANIES -- STOCK ACCOUNT
JANUARY 1, 1996 -- DECEMBER 31, 1996
VALUE AT
ISSUE DECEMBER 31, 1995 PURCHASE COST SALES PROCEEDS
----- ---------------- ------------- --------------
<S> <C> <C> <C>
ACMA LTD $ 54,912,778 $ (609,180) --
ACME LANDIS HOLDINGS LTD 933,240 -- $ 643,765
AFFYMETRIX, INC ** 22,621,095 1,230
>AFFYMETRIX, INC SERIES A SR CV 6,428,565 -- 14,620,695
APACHE CORP 115,819,596 -- 5,445
AYDIN CORP 4,486,831 -- 581,073
CENTRAL LOUISIANA ELECTRIC, INC ** 6,082,584 --
DARWIN MOLECULAR CORP ** 5,999,999 10,041,823
DUPLEX PRODUCTS, INC 3,540,062 -- 770,349
FMC CORP NEW 160,458,368 5,435,307 6,393,301
GENERAL SIGNAL CORP 100,122,925 29,844 21,858,412
+GENSET S.A ** -- --
GRACE (W.R.) & CO 427,905,362 -- 177,809,344
INNOVATIVE INTERNATIONAL HOLDINGS LTD 10,878,030 -- 5,797,158
LUKS INDUSTRIAL CO 5,122,186 -- 1,173,385
MALLINCKRODT, INC 156,203,343 2,529,241 9,798,083
NEWPORT CORP 3,596,125 -- 200,840
PICCADILLY CAFETERIA, INC 6,242,108 158,738 1,661,726
SOUTH CHINA HOLDINGS LTD 6,989,094 -- --
SOUTH CHINA INDUSTRIES LTD 6,394,504 -- --
SPAGHETTI WAREHOUSE, INC 1,625,500 -- 678,301
STEWART INFORMATION SERVICES CORP 7,316,450 -- 2,368,011
TPI ENTERPRISES, INC 3,459,375 -- 3,588,851
-------------- ------------ ------------
TOTAL AFFILIATED TRANSACTIONS $1,082,434,442 $42,247,628 $257,991,792
============== ============ ============
</TABLE>
<TABLE>
<CAPTION>
REALIZED DIVIDEND SHARES AT VALUE AT
ISSUE GAIN (LOSS) INCOME DECEMBER 31,1996 DECEMBER 31, 1996
----- ----------- --------- ---------------- -----------------
<S> <C> <C> <C> <C>
ACMA LTD -- $ 1,192,250 16,526,400 $ 35,680,364
ACME LANDIS HOLDINGS LTD $ (1,77,403) 51,824 * *
AFFYMETRIX, INC -- -- 1,507,991 30,442,568
>AFFYMETRIX, INC SERIES A SR CV 9,620,700 -- * *
APACHE CORP 899 274,826 * *
AYDIN CORP (201,510) -- * *
CENTRAL LOUISIANA ELECTRIC, INC -- 1,310,190 1,134,364 31,336,805
DARWIN MOLECULAR CORP 4,041,824 -- * *
DUPLEX PRODUCTS, INC (685,745) -- * *
FMC CORP NEW 1,697,390 -- 2,367,267 166,004,598
GENERAL SIGNAL CORP 4,620,630 2,781,000 2,549,300 108,982,575
+GENSET S.A -- -- 404,700 18,994,144
GRACE (W.R.) & CO 92,087,269 799,325 * *
INNOVATIVE INTERNATIONAL HOLDINGS LT 1,556,654 549,148 * *
LUKS INDUSTRIAL CO (1,342,133) -- * *
MALLINCKRODT, INC 4,057,327 2,584,210 4,114,950 181,572,168
NEWPORT CORP (208,889) -- * *
PICCADILLY CAFETERIA, INC (141,359) 79,891 * *
SOUTH CHINA HOLDINGS LTD -- 522,832 32,360,000 8,199,788
SOUTH CHINA INDUSTRIES LTD -- 1,042,548 52,046,000 7,401,472
SPAGHETTI WAREHOUSE, INC (911,953) -- * *
STEWART INFORMATION SERVICES CORP 1,026,908 33,918 * *
TPI ENTERPRISES, INC (4,573,255) -- 1,107,000 103,781
------------ ------------ ----------- ------------
TOTAL AFFILIATED TRANSACTIONS $108,867,354 $11,221,962 $588,718,263
============ =========== ============
</TABLE>
** Not an Affiliate as of December 31, 1995
* Not an Affiliate as of December31, 1996
> Series A shares converted to common shares,
company went public.
+ Outstanding shares previously unavailable
See notes to financial statements.
-52-
<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.
-53-
<PAGE>
[GRAPHIC | College Retirement Equities Fund
OF CREF | 730 Third Avenue
LOGO] | New York, NY 10017-3206
| 212/490-9000
Printed on recycled paper
CAR01S--2/97
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
THIS SCHEDULE CONTAINS SUMMARY FINANCIAL INFORMATION EXTRACTED FROM THE ANNUAL
REPORT AND IS QUALIFIED IN ITS ENTIRETY BY REFERENCE TO SUCH FINANCIAL
STATEMENTS.
</LEGEND>
<CIK> 0000777535
<NAME> COLLEGE RETIREMENT EQUITIES FUND
<SERIES>
<NUMBER> 1
<NAME> STOCK ACCOUNT
<MULTIPLIER> 1
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> DEC-31-1996
<PERIOD-END> DEC-31-1996
<INVESTMENTS-AT-COST> 52,068,002,137
<INVESTMENTS-AT-VALUE> 83,533,120,282
<RECEIVABLES> 926,900,951
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 29,525,264
<TOTAL-ASSETS> 84,489,546,497
<PAYABLE-FOR-SECURITIES> 715,635,449
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 2,427,465,734
<TOTAL-LIABILITIES> 3,143,101,183
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 0
<SHARES-COMMON-STOCK> 620,498,335
<SHARES-COMMON-PRIOR> 632,802,980
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 0
<NET-ASSETS> 81,346,445,314
<DIVIDEND-INCOME> 1,487,760,929
<INTEREST-INCOME> 106,224,449
<OTHER-INCOME> 0
<EXPENSES-NET> (229,583,345)
<NET-INVESTMENT-INCOME> 1,364,402,033
<REALIZED-GAINS-CURRENT> 6,232,549,023
<APPREC-INCREASE-CURRENT> 5,768,437,860
<NET-CHANGE-FROM-OPS> 13,365,388,916
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 0
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 24,089,810
<NUMBER-OF-SHARES-REDEEMED> (36,394,455)
<SHARES-REINVESTED> 0
<NET-CHANGE-IN-ASSETS> 11,976,161,429
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 61,960,030
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 229,583,345
<AVERAGE-NET-ASSETS> 74,935,131,283
<PER-SHARE-NAV-BEGIN> 91.460
<PER-SHARE-NII> 1.810
<PER-SHARE-GAIN-APPREC> 15.953
<PER-SHARE-DIVIDEND> 0
<PER-SHARE-DISTRIBUTIONS> 0
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 109.223
<EXPENSE-RATIO> .310
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
