Semi-Annual Report
- --------------------------------------------------------------------------------
COLLEGE RETIREMENT EQUITIES FUND
Financial Statements (Unaudited)
INCLUDING
Statement OF Investments
FOR THE
Stock Account
-------------
June 30, 1999
[GRAPHIC OMITTED]
As required by the Investment Company Act of 1940, CREF provides its
participants with this semi-annual report of the financial condition and
portfolio holdings of the Stock Account. CREF also provides a semi-annual report
to participants in the seven other CREF accounts. Annual reports are also
provided each year toward the end of February.
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STOCK ACCOUNT
INDEX TO UNAUDITED FINANCIAL STATEMENTS
JUNE 30, 1999
- --------------------------------------------------------------------------------
Page
------
Statement of Assets and Liabilities.................................... 2
Statement of Operations................................................ 3
Statements of Changes in Net Assets.................................... 4
Notes to Financial Statements.......................................... 5
Statement of Investments............................................... 10
1
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STOCK ACCOUNT
STATEMENT OF ASSETS AND LIABILITIES (Unaudited)
JUNE 30, 1999
(amounts in thousands, except per accumulation unit amount)
<TABLE>
<CAPTION>
ASSETS
<S> <C>
Portfolio investments, at cost........................................................... $ 70,896,334
Net unrealized appreciation of portfolio investments..................................... 56,280,406
------------
Portfolio investments, at value.......................................................... 127,176,740
Cash..................................................................................... 85,386
Dividends and interest receivable........................................................ 134,136
Receivable from securities transactions.................................................. 340,452
Amounts due from TIAA.................................................................... 25,046
------------
TOTAL ASSETS 127,761,760
------------
LIABILITIES
Deposits for securities loaned--Note 4.................................................... 1,809,717
Payable for securities transactions...................................................... 450,886
------------
TOTAL LIABILITIES 2,260,603
------------
NET ASSETS
Accumulation Fund........................................................................ 103,565,110
Annuity Fund............................................................................. 21,936,047
------------
TOTAL NET ASSETS $125,501,157
============
THOUSANDS OF ACCUMULATION UNITS OUTSTANDING--Notes 5 and 6.................................. 553,365
=======
NET ASSET VALUE, PER ACCUMULATION UNIT--Note 5.............................................. $187.16
=======
</TABLE>
See notes to financial statements.
2
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STOCK ACCOUNT
STATEMENT OF OPERATIONS (Unaudited)
SIX MONTHS ENDED JUNE 30, 1999
(amounts in thousands)
<TABLE>
<CAPTION>
INVESTMENT INCOME
<S> <C>
Income:
Interest................................................................................. $ 38,223
Dividends................................................................................ 843,467
-----------
TOTAL INCOME 881,690
-----------
Expenses--Note 3:
Investment............................................................................... 61,287
Operating................................................................................ 143,653
-----------
TOTAL EXPENSES 204,940
-----------
INVESTMENT INCOME--NET 676,750
-----------
REALIZED AND UNREALIZED GAIN ON TOTAL INVESTMENTS--Note 4 Net realized gain
(loss) on:
Portfolio investments.................................................................. 6,469,287
Futures transactions................................................................... 66,721
Foreign currency transactions.......................................................... (11,619)
-----------
Net realized gain 6,524,389
-----------
Net change in unrealized appreciation on:
Portfolio investments.................................................................. 4,603,826
Futures transactions................................................................... 2,936
Translation of assets (other than portfolio investments)
and liabilities denominated in foreign currencies.................................... (981)
-----------
Net change in unrealized appreciation 4,605,781
-----------
NET REALIZED AND UNREALIZED GAIN ON TOTAL INVESTMENTS 11,130,170
-----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $11,806,920
===========
</TABLE>
See notes to financial statements.
3
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STOCK ACCOUNT
STATEMENTS OF CHANGES IN NET ASSETS
(amounts in thousands)
<TABLE>
<CAPTION>
SIX MONTHS YEAR ENDED
ENDED DECEMBER 31,
JUNE 30, 1999 1998
------------ ------------
(Unaudited)
<S> <C> <C>
FROM OPERATIONS
Investment income--net................................................ $ 676,750 $ 1,312,795
Net realized gain on total investments............................... 6,524,389 11,939,214
Net change in unrealized appreciation
on total investments............................................... 4,605,781 8,818,714
------------ ------------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS 11,806,920 22,070,723
------------ ------------
FROM PARTICIPANT TRANSACTIONS
Premiums............................................................. 1,448,389 2,762,905
------------ ------------
Disbursements and transfers:
Net transfers to TIAA.............................................. 510,849 1,261,329
Net transfers to other CREF Accounts............................... 1,636,617 3,236,208
Annuity payments................................................... 940,545 1,701,354
Withdrawals and repurchases........................................ 957,959 1,641,765
Death benefits..................................................... 79,492 171,064
------------ ------------
TOTAL DISBURSEMENTS AND TRANSFERS, NET 4,125,462 8,011,720
------------ ------------
NET DECREASE IN NET ASSETS RESULTING
FROM PARTICIPANT TRANSACTIONS (2,677,073) (5,248,815)
------------ ------------
NET INCREASE IN NET ASSETS 9,129,847 16,821,908
NET ASSETS
Beginning of year.................................................... 116,371,310 99,549,402
------------ ------------
End of period........................................................ $125,501,157 $116,371,310
============ ============
</TABLE>
See notes to financial statements.
4
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STOCK ACCOUNT
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
NOTE 1--ORGANIZATION
College Retirement Equities Fund ("CREF") was formed to aid and strengthen
nonprofit educational and research organizations by providing their employees
with variable retirement benefits.
CREF is registered with the Securities and Exchange Commission ("Commission")
under the Investment Company Act of 1940 as an open-end, diversified management
investment company. It consists of eight investment portfolios. The accompanying
financial statements are those of the Stock Account ("Account"), which invests
primarily in equity securities. The seven other investment portfolios of CREF,
which are not included in these financial statements, include the Money Market
Account, which invests in money market instruments; the Bond Market Account,
which invests in a broad range of fixed-income securities; the Social Choice
Account, which invests in a diversified portfolio of equity and fixed-income
securities while giving special consideration to certain social criteria; the
Global Equities Account, which invests in equity securities of foreign and
domestic companies; the Growth Account, which invests in a diversified portfolio
of equity securities that present opportunities for growth; the Equity Index
Account, which invests in a diversified portfolio of equity securities selected
to track the overall United States stock market; and the Inflation-Linked Bond
Account, which invests primarily in inflation-indexed bonds.
TIAA-CREF Investment Management, LLC ("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. TIAA provides guarantees for the CREF Accounts for certain
mortality and expense risks pursuant to an Immediate Annuity Purchase Rate
Guarantee Agreement.
NOTE 2--SIGNIFICANT ACCOUNTING POLICIES
The preparation of financial statements may require management to make estimates
and assumptions that affect the reported amounts of assets, liabilities, income,
expenses and related disclosures. Actual results may differ from those
estimates. The following is a summary of the significant accounting policies
consistently followed by the Account, which are in conformity with generally
accepted accounting principles.
VALUATION OF INVESTMENTS: Securities listed or traded on any United States
national securities exchange are valued at the last sales price as of the close
of the principal securities exchange on which such securities are traded or, if
there is no sale, at the mean of the last bid and asked prices on such exchange.
Securities traded only in the over-the-counter market and quoted in the NASDAQ
National Market System are valued at the last sales price, or at the mean of the
last bid and asked prices if no sale is reported. All other over-the-counter
securities are valued at the mean of the last bid and asked prices, except for
bonds which are valued at the most recent bid price or the equivalent quoted
yield of such bonds. Short-term money market instruments are stated at market
value. Foreign investments are valued at the closing price in the principal
market where they are traded; local currencies are converted into U.S. dollars
as described below under Foreign Currency Transactions and Translation. Stock
index futures and options which are traded on commodities exchanges are valued
at the last sale price as of the close of such commodities exchanges. Portfolio
securities for which market quotations are not readily available are valued at
fair value as determined in good faith under the direction of the Finance
Committee of the Board of Trustees and in accordance with the responsibilities
of the Board as a whole.
ACCOUNTING FOR INVESTMENTS: Securities transactions are accounted for as of the
date the securities are purchased or sold (trade date). Interest income is
recorded as earned and, for short-term money market instruments, includes
accrual of discount and amortization of premium. Dividend income is recorded on
the ex-dividend date or, for certain foreign securities, as soon as the Account
is informed of the ex-dividend date. Realized gains and losses on security
transactions are accounted for on the average cost basis.
5
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STOCK ACCOUNT
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)--(CONTINUED)
NOTE 2--SIGNIFICANT ACCOUNTING POLICIES--(CONTINUED)
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
translated at the prevailing exchange rate at the end of the period. The
cumulative impact of changes in foreign exchange rates on portfolio investments
sold during the period is reflected in the net realized gain (loss) on portfolio
investments. The cumulative impact of changes in foreign exchange rates on
portfolio investments held at the end of the period is reflected in the net
change in unrealized appreciation (depreciation) on portfolio investments.
Currency gains and losses arising from the settlement of forward foreign
currency contracts, changes in exchange rates between the trade and settlement
dates of portfolio investment transactions, and changes in exchange rates
between the accrual and receipt dates for dividend and interest income are
recorded as net realized gains (losses) on foreign currency transactions. For
assets other than portfolio investments and liabilities, changes in foreign
exchange rates are reflected in the net change in unrealized appreciation
(depreciation) on translation of assets (other than portfolio investments) and
liabilities denominated 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 fully 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.
6
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STOCK ACCOUNT
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)--(CONTINUED)
NOTE 2--SIGNIFICANT ACCOUNTING POLICIES--(CONTINUED)
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 denominated in foreign
currencies. When the contract is closed, payment is received or made and a
realized gain or loss on foreign currency transactions is recognized, equal to
the difference between the cost of the closing transaction and the basis in the
contract. The Account may also enter into a forward foreign currency contract to
offset an existing contract. Forward foreign currency contracts are entered into
directly with a counterparty and the Account is exposed to the risk of default
of such counterparty. The maximum potential loss from such risk is the aggregate
face value in U.S. dollars at the time the contract is opened. There is no daily
margin requirement for such contracts.
SECURITIES PURCHASED ON A WHEN-ISSUED OR DELAYED DELIVERY BASIS: The Account may
purchase securities on a when-issued or delayed delivery basis. In addition to
the normal market risks, this exposes the Account to the risk that the
transaction may not be consummated.
RESTRICTED SECURITIES: Restricted securities held by the Account may not be sold
except in exempt transactions or in a public offering registered under the
Securities Act of 1933. The risk of investing in such securities is generally
greater than the risk of investing in securities which are widely held and
publicly traded.
FEDERAL INCOME TAXES: CREF is taxed as a life insurance company under Subchapter
L of the Internal Revenue Code ("Code"), not as a regulated investment company
under Subchapter M of the Code. CREF should incur no material federal income tax
liability. Under the rules of taxation applicable to life insurance companies,
CREF's Accumulation and Annuity Funds for participants will generally be treated
as life insurance reserves; therefore, any increase in such reserves will be
deductible.
NOTE 3--MANAGEMENT AGREEMENTS
Services necessary for the operation of the CREF Accounts are provided, at cost,
by Investment Management and Services. Such services are provided in accordance
with an Investment Management Agreement between CREF and Investment Management,
and in accordance with a Principal Underwriting and Administrative Services
Agreement between CREF and Services (see Note 1). Investment Management and
Services receive management fee payments from the CREF Accounts on a daily basis
according to formulas established each year with the objective of keeping the
management fees as close as possible to each Account's actual expenses. Any
differences between actual expenses and the management fees are adjusted
quarterly.
NOTE 4--INVESTMENTS
At June 30, 1999, the value of securities loaned was $1,877,790,184 and
collateral received in connection therewith was comprised of cash of
$1,809,717,121 and letters of credit of $161,780,878.
At June 30, 1999, net unrealized appreciation of portfolio investments was
$56,280,405,619, consisting of gross unrealized appreciation of $58,418,092,086
and gross unrealized depreciation of $2,137,686,467.
At June 30, 1999, the Account held 3,058 open futures contracts in the Standard
& Poor's 500 Index, expiring in September 1999, with a value of $1,056,309,650
and an unrealized gain of $42,238,088.
Companies in which the Account held 5% or more of the outstanding voting shares
are defined as "affiliated" in the Investment Company Act of 1940. At June 30,
1999, the total value of investments in affiliated companies was $34,663,747.
For the six months ended June 30, 1999, total dividend income and the net
realized loss relating to such investments were $33,512 and $1,203,302,
respectively.
7
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STOCK ACCOUNT
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)--(CONTINUED)
NOTE 4--INVESTMENTS--(CONCLUDED)
Purchases and sales of portfolio securities, other than short-term money market
instruments, for the six months ended June 30, 1999, were as follows:
Purchases:
Unaffiliated issuers...................................... $17,895,720,449
Affiliated issuers........................................ 20,194,064
---------------
TOTAL PURCHASES $17,915,914,513
===============
Sales:
Unaffiliated issuers...................................... $19,618,637,327
Affiliated issuers........................................ 24,188,789
---------------
TOTAL SALES $19,642,826,116
================
NOTE 5--CONDENSED FINANCIAL INFORMATION
Selected condensed financial information for an Accumulation Unit of the Account
is presented below.
<TABLE>
<CAPTION>
SIX MONTHS FOR THE YEARS ENDED DECEMBER 31,
ENDED ---------------------------------------------------------
JUNE 30, 1999(1) 1998 1997 1996 1995 1994
-------------- ---- ---- ---- ---- ----
(Unaudited)
<S> <C> <C> <C> <C> <C> <C>
Per Accumulation Unit Data:
Investment income.................... $ 1.305 $ 2.381 $ 2.317 $ 2.114 $ 1.885 $ 1.699
Expenses............................. .303 .521 .387 .304 .271 .223
-------- -------- -------- -------- -------- --------
Investment income--net............... 1.002 1.860 1.930 1.810 1.614 1.476
Net realized and unrealized
gain (loss) on investments......... 16.481 29.795 26.864 15.953 19.984 (1.557)
-------- -------- -------- -------- -------- --------
Net increase (decrease) in
Accumulation Unit Value............ 17.483 31.655 28.794 17.763 21.598 (.081)
Accumulation Unit Value:
Beginning of year.................. 169.672 138.017 109.223 91.460 69.862 69.943
-------- -------- -------- -------- -------- --------
End of period...................... $187.155 $169.672 $138.017 $109.223 $ 91.460 $ 69.862
======== ======== ======== ======== ======== ========
Total return........................... 10.30% 22.94% 26.36% 19.42% 30.92% (0.12%)
Ratios to Average Net Assets:
Expenses............................. 0.17% 0.34% 0.31% 0.31% 0.34% 0.32%
Investment income--net............... 0.57% 1.23% 1.55% 1.82% 2.00% 2.11%
Portfolio turnover rate................ 15.19% 34.63% 23.25% 19.57% 16.25% 18.77%
Thousands of Accumulation Units
outstanding at end of period......... 553,365 565,999 597,531 620,498 632,803 637,435
</TABLE>
(1) The percentages shown for this period are not annualized
8
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STOCK ACCOUNT
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)--(CONCLUDED)
NOTE 6--ACCUMULATION UNITS
Changes in the number of Accumulation Units outstanding were as follows:
SIX MONTHS YEAR
ENDED ENDED
JUNE 30, 1999 DECEMBER 31, 1998
------------ ----------------
(Unaudited)
Credited for premiums......................... 8,215,993 17,047,048
Cancelled for transfers, disbursements and
amounts applied to the Annuity Fund......... (20,849,448) (48,579,351)
Outstanding:
Beginning of year........................... 565,998,901 597,531,204
----------- -----------
End of period............................... 553,365,446 565,998,901
=========== ===========
NOTE 7--LINE OF CREDIT
The Stock, Social Choice, Global Equities, Growth, Equity Index and
Inflation-Linked Bond Accounts share in a $2 billion unsecured revolving credit
facility for temporary or emergency purposes, including, without limitation, the
funding of participant redemptions that otherwise might require the untimely
disposition of securities. An annual commitment fee is charged for this
facility, which is allocated among the participating Accounts. Interest
associated with any borrowing under the credit facility will be charged to the
borrowing Accounts at rates which are based on the Federal Funds Rate in effect
during the time of the borrowing. For the six months ended June 30, 1999, there
were no borrowings under the credit facility.
9
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENT OF INVESTMENTS--STOCK ACCOUNT (UNAUDITED)
JUNE 30, 1999
SUMMARY BY INDUSTRY
(000)
VALUE %
--------- -----
BONDS
CORPORATE BONDS
AUTOMOTIVE DEALERS AND SERVICE STATIONS ......... $ 413 0.00%
DEPOSITORY INSTITUTIONS 20,307 0.02
ELECTRIC, GAS, AND SANITARY SERVICES 5,402 0.00
ELECTRONIC AND OTHER ELECTRIC EQUIPMENT ......... 13,146 0.01
HOLDING AND OTHER INVESTMENT OFFICES ............ 70 0.00
METAL MINING .................................... 313 0.00
SECURITY AND COMMODITY BROKERS .................. 66,050 0.05
TRUCKING AND WAREHOUSING ........................ 5,632 0.01
---------- ------
TOTAL CORPORATE BONDS
(COST $88,968) ................................. 111,333 0.09
---------- ------
GOVERNMENT BONDS
GOVERNMENT BONDS ................................ 356 0.00
---------- ------
TOTAL GOVERNMENT BONDS
(COST $381) ................................... 356 0.00
---------- ------
TOTAL BONDS
(COST $89,349) ................................ 111,689 0.09
---------- ------
PREFERRED STOCK
APPAREL AND OTHER TEXTILE PRODUCTS .............. 677 0.00
BUSINESS SERVICES ............................... 40,462 0.03
CHEMICALS AND ALLIED PRODUCTS ................... 16,158 0.01
COMMUNICATIONS .................................. 18,283 0.01
DEPOSITORY INSTITUTIONS ......................... 2,270 0.00
ELECTRIC, GAS, AND SANITARY SERVICES ............ 7,945 0.01
FABRICATED METAL PRODUCTS ....................... 1,624 0.00
FOOD AND KINDRED PRODUCTS ....................... 854 0.00
GENERAL MERCHANDISE STORES ...................... 11,778 0.01
HEALTH SERVICES ................................. 46 0.00
HEAVY CONSTRUCTION, EXCEPT BUILDING ............. 164 0.00
HOLDING AND OTHER INVESTMENT OFFICES ............ 1,061 0.00
INSTRUMENTS AND RELATED PRODUCTS ................ 12 0.00
INSURANCE AGENTS, BROKERS AND SERVICE ........... 7,147 0.01
INSURANCE CARRIERS .............................. 8,998 0.01
METAL MINING .................................... 1,294 0.00
NONDEPOSITORY INSTITUTIONS ...................... 88 0.00
OIL AND GAS EXTRACTION .......................... 2,914 0.00
PAPER AND ALLIED PRODUCTS ....................... 6 0.00
PRIMARY METAL INDUSTRIES ........................ 199 0.00
PRINTING AND PUBLISHING ......................... 30,733 0.02
REAL ESTATE ..................................... 273 0.00
RUBBER AND MISCELLANEOUS
PLASTIC PRODUCTS ............................... 8,268 0.01
STONE, CLAY, AND GLASS PRODUCTS ................. 205 0.00
TRANSPORTATION EQUIPMENT ........................ 7,712 0.01
---------- ------
TOTAL PREFERRED STOCK
(COST $106,678) ................................ 169,171 0.13
---------- ------
COMMON STOCK
AGRICULTURAL PRODUCTION-CROPS ................... $ 34,955 0.03%
AGRICULTURAL SERVICES ........................... 2,861 0.00
AMUSEMENT AND RECREATION SERVICES ............... 255,257 0.20
APPAREL AND ACCESSORY STORES .................... 727,621 0.58
APPAREL AND OTHER TEXTILE PRODUCTS .............. 178,744 0.14
AUTO REPAIR, SERVICES AND PARKING ............... 60,038 0.05
AUTOMOTIVE DEALERS AND SERVICE STATIONS ......... 61,790 0.05
BUILDING MATERIALS AND GARDEN SUPPLIES .......... 903,509 0.72
BUSINESS SERVICES ............................... 7,780,285 6.20
CHEMICALS AND ALLIED PRODUCTS ................... 14,033,978 11.18
COAL MINING ..................................... 2,303 0.00
COMMUNICATIONS .................................. 17,095,472 13.62
DEPOSITORY INSTITUTIONS ......................... 11,365,971 9.06
EATING AND DRINKING PLACES ...................... 755,091 0.60
EDUCATIONAL SERVICES ............................ 23,272 0.02
ELECTRIC, GAS, AND SANITARY SERVICES ............ 4,474,316 3.57
ELECTRONIC AND OTHER ELECTRIC
EQUIPMENT ..................................... 10,159,275 8.10
ENGINEERING AND MANAGEMENT SERVICES ............. 151,253 0.12
FABRICATED METAL PRODUCTS ....................... 824,131 0.66
FISHING, HUNTING, AND TRAPPING .................. 6 0.00
FOOD AND KINDRED PRODUCTS ....................... 4,246,043 3.38
FOOD STORES ..................................... 1,094,446 0.87
FORESTRY ........................................ 30,046 0.02
FURNITURE AND FIXTURES .......................... 201,639 0.16
FURNITURE AND HOMEFURNISHINGS STORES ............ 383,261 0.31
GENERAL BUILDING CONTRACTORS .................... 201,185 0.16
GENERAL MERCHANDISE STORES ...................... 2,500,972 1.99
HEALTH SERVICES ................................. 446,286 0.36
HEAVY CONSTRUCTION, EXCEPT BUILDING ............. 105,244 0.08
HOLDING AND OTHER INVESTMENT OFFICES ............ 905,525 0.72
HOTELS AND OTHER LODGING PLACES ................. 306,275 0.24
INDUSTRIAL MACHINERY AND EQUIPMENT .............. 9,480,255 7.55
INSTRUMENTS AND RELATED PRODUCTS ................ 2,847,332 2.27
INSURANCE AGENTS, BROKERS AND SERVICE ........... 215,555 0.17
INSURANCE CARRIERS .............................. 6,169,353 4.92
LEATHER AND LEATHER PRODUCTS .................... 11,745 0.01
LEGAL SERVICES .................................. 3,501 0.00
LOCAL AND INTERURBAN PASSENGER TRANSIT .......... 116,789 0.09
LUMBER AND WOOD PRODUCTS ........................ 272,249 0.22
METAL MINING .................................... 371,542 0.30
MISCELLANEOUS MANUFACTURING
INDUSTRIES .................................... 407,647 0.33
MISCELLANEOUS RETAIL ............................ 890,997 0.71
MOTION PICTURES ................................. 967,775 0.77
NONDEPOSITORY INSTITUTIONS ...................... 2,260,721 1.80
NONMETALLIC MINERALS, EXCEPT FUELS .............. 77,681 0.06
OIL AND GAS EXTRACTION .......................... 1,137,829 0.91
10
See notes to financial statements.
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENT OF INVESTMENTS--STOCK ACCOUNT (UNAUDITED)
JUNE 30, 1999
SUMMARY BY INDUSTRY (Continued)
(000)
VALUE %
--------- -----
PAPER AND ALLIED PRODUCTS ..................... $ 951,945 0.76%
PERSONAL SERVICES ............................. 99,137 0.08
PETROLEUM AND COAL PRODUCTS ................... 4,993,103 3.98
PIPELINES, EXCEPT NATURAL GAS ................. 11,664 0.01
PRIMARY METAL INDUSTRIES ...................... 878,836 0.70
PRINTING AND PUBLISHING ....................... 1,130,542 0.90
RAILROAD TRANSPORTATION ....................... 477,133 0.38
REAL ESTATE ................................... 305,894 0.24
RUBBER AND MISCELLANEOUS
PLASTIC PRODUCTS ............................ 574,774 0.46
SECURITY AND COMMODITY BROKERS ................ 1,386,880 1.11
SOCIAL SERVICES ............................... 5,471 0.00
SPECIAL TRADE CONTRACTORS ..................... 35,212 0.03
STONE, CLAY, AND GLASS PRODUCTS ............... 588,254 0.47
TEXTILE MILL PRODUCTS ......................... 103,238 0.08
TOBACCO PRODUCTS .............................. 977,963 0.78
TRANSPORTATION BY AIR ......................... 605,090 0.48
TRANSPORTATION EQUIPMENT ...................... 4,532,558 3.61
TRANSPORTATION SERVICES ....................... 89,842 0.07
TRUCKING AND WAREHOUSING ...................... 189,747 0.15
WATER TRANSPORTATION .......................... 253,547 0.20
WHOLESALE TRADE-DURABLE GOODS ................. 181,640 0.15
WHOLESALE TRADE-NONDURABLE GOODS .............. 949,459 0.76
------------ ------
TOTAL COMMON STOCK
(COST $67,667,053) .......................... 123,863,950 98.70
============ =====
SHORT TERM INVESTMENTS
CERTIFICATES OF DEPOSIT ....................... $ 54,993 0.04%
COMMERCIAL PAPER .............................. 2,465,278 1.96
MEDIUM TERM BONDS ............................. 57,530 0.05
U.S. GOVERNMENT & AGENCIES .................... 347,661 0.28
VARIABLE RATE NOTES ........................... 106,468 0.09
------------ ------
TOTAL SHORT TERM INVESTMENTS
(COST $3,033,254) ........................... 3,031,930 2.42
------------ ------
TOTAL PORTFOLIO
(COST $70,896,334) .......................... 127,176,740 101.34
OTHER ASSETS & LIABILITIES, NET .......... (1,675,583) (1.34)
------------ ------
NET ASSETS .................................... $125,501,157 100.00%
============ ======
See notes to financial statements. 11
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENT OF INVESTMENTS--STOCK ACCOUNT (Unaudited)
JUNE 30, 1999
SUMMARY BY COUNTRY
Value
(000) %
--------- ---
DOMESTIC
UNITED STATES $ 100,679,335 79.17%
------------ ------
TOTAL DOMESTIC 100,679,335 79.17
------------ ------
FOREIGN
ARGENTINA 16,806 0.01
AUSTRALIA 637,143 0.50
AUSTRIA 34,633 0.03
BELGIUM 273,296 0.22
BRAZIL 17,944 0.02
CANADA 830,767 0.65
CHILE 67,645 0.05
CHINA 13,522 0.01
DENMARK 135,507 0.11
FINLAND 519,502 0.41
FRANCE 2,068,315 1.63
GERMANY 2,090,361 1.64
HONG KONG 459,867 0.36
HUNGARY 5,336 0.00
INDIA 132,379 0.10
IRELAND 183,259 0.14
ITALY 1,098,141 0.86
JAPAN 5,317,940 4.18
LUXEMBOURG 10,887 0.01
MALAYSIA 59,854 0.05
MEXICO 4,410 0.00
NETHERLANDS 1,403,399 1.10
NEW ZEALAND 37,624 0.03
NORWAY 84,495 0.07
PORTUGAL 123,025 0.10
SINGAPORE 202,589 0.16
SOUTH AFRICA 28,635 0.02
SPAIN 751,263 0.59
SWEDEN 630,892 0.50
SWITZERLAND 1,470,760 1.16
UNITED KINGDOM 4,754,541 3.74
ZIMBABWE 738 0.00
------------ ------
TOTAL FOREIGN 23,465,475 18.45
TOTAL SHORT TERM 3,031,930 2.38
------------ ------
TOTAL PORTFOLIO $127,176,740 100.00%
============ ======
See notes to financial statements.
12
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENT OF INVESTMENTS--STOCK ACCOUNT (UNAUDITED)
JUNE 30, 1999
VALUE
PRINCIPAL (000)
--------- ---------
BONDS--0.09%
CORPORATE BONDS--0.09%
AUTOMOTIVE DEALERS AND SERVICE STATIONS--0.00%
$ 413,400 o UGLY DUCKLING CORP (SUB DEB)
12.000%, 10/23/03 .................... $ 413
-------------
DEPOSITORY INSTITUTIONS--0.02%
210,884(1) BANCA INTESA (CV DEB)
1.600%, 01/01/03 ...................... 393
16,220(1) BANCA INTESA (CV DEB) (RISP)
1.600%, 01/01/03 ...................... 37
2,580,000,000(2) FUJI BANK
0.250%, 02/01/02 ...................... 15,075
983,000,000(2) MITSU TRUST & BANKING (CV DEB)
0.500%, 10/01/07 ...................... 4,802
-------------
20,307
ELECTRIC, GAS, AND SANITARY SERVICES--0.00%
4,979,000 WMX TECHNOLOGIES, INC
(SUB CV NOTE)
2.000%, 04/24/05 ...................... 5,402
-------------
ELECTRONIC AND OTHER ELECTRIC EQUIPMENT--0.01%
950,000,000(2) SONY CORP
1.400%, 03/31/05 ...................... 13,146
-------------
HOLDING AND OTHER INVESTMENT OFFICES--0.00%
24,621 VALUE REALISATION TRUST DEB
1.400%, 09/30/06 ...................... 70
-------------
METAL MINING--0.00%
791,298 RGC GOLD
0.000%, 12/31/00 ...................... 313
-------------
SECURITY AND COMMODITY BROKERS--0.05%
26,025,000 MORGAN STANLEY DEAN WITTER
7.500%, 05/08/00 ...................... 54,660
5,987,000 3.000%, 05/17/00 ...................... 11,390
-------------
66,050
-------------
TRUCKING AND WAREHOUSING--0.01%
340,000,000(2) YAMATO TRANSPORT (CV DEB)
1.700%, 09/30/02 ...................... 5,632
-------------
TOTAL CORPORATE BONDS
(COST $88,968) ........................ 111,333
-------------
GOVERNMENT BONDS--0.00%
GOVERNMENT BONDS--0.00%
325,000 U.S. TREASURY BOND
11.750%, 02/15/01 ..................... 356
-------------
TOTAL GOVERNMENT BONDS
(COST $381) ........................... 356
-------------
TOTAL BONDS
(COST $89,349) ........................ 111,689
-------------
- -------
(1) Denominated in Italian Lira
(2) Denominated in Japanese Yen
VALUE
SHARES (000)
---------- ---------
PREFERRED STOCK--0.13%
APPAREL AND OTHER TEXTILE PRODUCTS--0.00%
5,050 ESCADA AG. ................................... $ 677
-------------
BUSINESS SERVICES--0.03%
101,250 [] SAP AG. ...................................... 40,462
-------------
CHEMICALS AND ALLIED PRODUCTS--0.01%
941,176 #o ADVANCED MEDICINE SERIES C ................... 8,000
1,713 CIN-CORPARACAO INDUSTRIAL .................... 39
23,000 o HENKEL KGAA .................................. 1,570
25,000 o MONSANTO CO .................................. 1,003
2,758,725 #o NETGENICS, INC CV SERIES D ................... 5,517
40 WELLA GROUP AG. .............................. 29
-------------
16,158
-------------
COMMUNICATIONS--0.01%
85,158 AIRTOUCH COMMUNICATIONS, INC CV SERIES C ..... 12,577
66,267,124 EMBRATEL PARTICIPACOES S.A. .................. 919
66,267,124 o TELEBRAS S.A. ................................ 3
72,681,357 TELECENTROESTE CELULAR PARTICIPACOES S.A...... 91
66,267,124 TELECENTRO-SUL PARTICIPACOES S.A. ............ 728
66,267,124 TELENORTE-LESTE PARTICIPACOES S.A. ........... 1,203
66,267,124 o TELESP CELULAR S.A. .......................... 695
66,267,124 TELESP PARTICIPACOES S.A. .................... 1,551
66,267,124 TELESUDESTE CELULAR S.A. ..................... 376
66,267,124 TELESUL CELULAR PARTICIPACOES S.A. ........... 140
-------------
18,283
-------------
DEPOSITORY INSTITUTIONS--0.00%
2,252,000 BANCO ITAU S.A. ............................. 1,156
219,454,122 BRADESCO S.A. ............................... 1,114
-------------
2,270
-------------
ELECTRIC, GAS, AND SANITARY SERVICES--0.01%
38,848,207 CEMIG S.A. .................................. 811
23,122,930 CENTRAIS GERADORAS BRASIL ................... 19
27,304 CIA PAULISTA DE FORCA & LUZ ................. 2
18,310 o CIA PAULISTA E LUZ-DVD ...................... 1
23,122,930 ELECTROBRAS S.A. SERIES B ................... 466
2,491,107 o ELETROPAULO METROPOLITANA ................... 111
5,000 HOUSTON INDUSTRIES, INC ACES ................ 596
170,870 o RHEIN-WESTFALEN ELECTRIC AG. (NON-VOTE) ..... 5,939
-------------
7,945
-------------
FABRICATED METAL PRODUCTS--0.00%
5,748 FRIEDRICH-GROHE AG. ......................... 1,624
-------------
FOOD AND KINDRED PRODUCTS--0.00%
1,516,000 o BRAHMA S.A. ................................. 854
-------------
GENERAL MERCHANDISE STORES--0.01%
210,200 HARCOURT GENERAL, INC SERIES A .............. 11,778
-------------
HEALTH SERVICES--0.00%
8,534 o MEDIQ, INC SERIES A ......................... 46
-------------
HEAVY CONSTRUCTION, EXCEPT BUILDING--0.00%
5,500 o BAU HOLDINGS AG. ............................ 164
-------------
HOLDING AND OTHER INVESTMENT OFFICES--0.00%
18,432 KIMCO REALTY CORP SERIES D .................. 452
11,020 PRIME RETAIL, INC ........................... 176
10,063 SUPERIOR TRUST I SERIES A ................... 433
-------------
1,061
-------------
INSTRUMENTS AND RELATED PRODUCTS--0.00%
816,100 o FRESENIUS MEDICAL CARE (CLASS D) ............ 12
-------------
See notes to financial statements. 13
<PAGE>
VALUE
SHARES (000)
---------- ---------
INSURANCE AGENTS, BROKERS AND SERVICE -- 0.01%
15,000 MARSCHOLLER LAUT UND PARTNER ................ $ 7,147
-------------
INSURANCE CARRIERS--0.01%
106,672 AETNA, INC SERIES C ........................ 7,920
12,900 AXA COLONIA KONZERN AG. .................... 1,078
-------------
8,998
-------------
METAL MINING--0.00%
65,532 VALE DO RIO DOCE NAVEGACAO S.A.
SERIES A ................................... 1,294
-------------
NONDEPOSITORY INSTITUTIONS--0.00%
23,604 INTERNATIONALE NEDERLANDEN GROEP NV ........ 88
-------------
OIL AND GAS EXTRACTION--0.00%
18,787,000 PETROBRAS S.A. ............................. 2,914
-------------
PAPER AND ALLIED PRODUCTS--0.00%
1,670 BUHRMANN NV ................................ 6
-------------
PRIMARY METAL INDUSTRIES--0.00%
1,600,000 o MET GERDAU S.A. ............................ 48
44,800 USINAS SIDER MINAS GERAIS S.A. ............. 151
-------------
199
-------------
PRINTING AND PUBLISHING--0.02%
4,033,997 [] NEWS CORP LTD (LTD- VOTE) .................. 30,733
-------------
REAL ESTATE--0.00%
18,300 PRICE ENTERPRISES, INC ..................... 273
-------------
RUBBER AND MISCELLANEOUS PLASTIC PRODUCTS--0.01%
132,287 SEALED AIR CORP (CLASS A) .................. 8,268
-------------
STONE, CLAY, AND GLASS PRODUCTS--0.00%
679 DYCKERHOFF ZEMENTWERKE AG. ................. 205
-------------
TRANSPORTATION EQUIPMENT--0.01%
31,500 o MAN AG. (VORZUG) ........................... 715
12,900 RHEINMETALL AG. ............................ 231
183,000 VOLKSWAGEN AG. ............................. 6,766
-------------
7,712
-------------
TOTAL PREFERRED STOCK
(COST $106,678) ......................................... 169,171
-------------
COMMON STOCK--98.70%
AGRICULTURAL PRODUCTION-CROPS--0.03%
14,872 []o AGRITOPE, INC .............................. 52
3,309 DELTA & PINE LAND CO ....................... 104
758,000 GOLDEN HOPE PLANTATIONS BERHAD ............. 586
15,900 KORN-OG FODERSTOF KOMPAGNIET AS ............ 354
869,563 PIONEER-HI-BRED INTERNATIONAL, INC ......... 33,859
-------------
34,955
-------------
AGRICULTURAL SERVICES--0.00%
117,600 CADIZ, INC ................................. 1,110
69,512 CRESUD SACIFYA ............................. 75
123,600 VETERINARY CENTERS OF AMERICA, INC ......... 1,676
-------------
2,861
-------------
AMUSEMENT AND RECREATION SERVICES--0.20%
56,076 o AMERICAN SKIING CO ......................... 228
219,500 []o AMF BOWLING, INC ........................... 1,852
113,200 o ANCHOR GAMING CO ........................... 5,441
176,000 o ARGOSY GAMING CORP ......................... 1,551
110,329 []o BALLY TOTAL FITNESS HOLDINGS CORP .......... 3,131
613,000 o BERJAYA SPORTS TOTO BERHAD ................. 1,278
258,645 o BOYD GAMING CORP ........................... 1,811
14,400 o CHAMPIONSHIP AUTO RACING TEAMS, INC ........ 431
4,800 [] CHURCHILL DOWNS, INC ....................... 166
1,800 DOVER DOWNS ENTERTAINMENT, INC ............. 32
2,640,788 EMI GROUP PLC .............................. 21,188
2,100 []o FAMILY GOLF CENTERS, INC ................... 16
117,700 o FLORIDA PANTHERS HOLDINGS, INC ............. 1,258
2,993,755 GRANADA GROUP LTD (CLASS A) ................ 55,543
962,574 o HARRAH'S ENTERTAINMENT, INC ................ 21,177
132,200 o HOLLYWOOD PARK, INC ........................ 2,247
8,800 o INTERNATIONAL SPEEDWAY CORP (CLASS A) ...... 418
2,750 o ISLE OF CAPRI CASINOS, INC ................. 19
67,000 o LAKES GAMING, INC .......................... 733
1,324,950 o MAGNUM CORP BERHAD ......................... 870
236,417 o MIRAGE RESORT, INC ......................... 3,960
735,000 o MULTI-PURPOSE HOLDINGS BERHAD .............. 392
48,760 o PENN NATIONAL GAMING, INC .................. 451
13,000 o PLAYERS INTERNATIONAL, INC ................. 93
2,796,428 o PREMIER PARKS, INC ......................... 102,769
57,934 o PRESIDENT CASINOS, INC ..................... 101
700 SANKYO CO LTD .............................. 33
148,577 o SFX ENTERTAINMENT, INC (CLASS A) ........... 9,509
16,640 o SKIS ROSSIGNOL S.A. ........................ 223
5,100 o SPEEDWAY MOTORSPORTS, INC .................. 200
208,623 STAR CITY HOLDINGS LTD ..................... 203
129,197 o STATION CASINOS, INC ....................... 2,632
922,721 [] TABCORP HOLDINGS LTD ....................... 6,217
232,000 o TOKYO DOME CORP ............................ 1,346
380,000 TOKYO TOKEIBA CO LTD ....................... 622
199,400 o WESTWOOD ONE, INC .......................... 7,116
-------------
255,257
-------------
APPAREL AND ACCESSORY STORES--0.58%
965,502 o ABERCROMBIE & FITCH CO (CLASS A) ........... 46,344
213,200 o AMERICAN EAGLE OUTFITTERS, INC ............. 9,701
87,002 o ANN TAYLOR STORES CORP ..................... 3,915
109,050 o BUCKLE, INC ................................ 3,135
1,024 BURLINGTON COAT FACTORY
WAREHOUSE CORP ............................. 20
286,400 CATO CORP (CLASS A) ........................ 3,329
23,100 o CHARMING SHOPPES, INC ...................... 141
66,300 o CHILDRENS PLACE RETAIL STORES .............. 2,685
233,100 CLAIRES STORES, INC ........................ 5,973
108,618 CLAIRES STORES, INC (CLASS A) .............. 2,783
163,000 DEB SHOPS, INC ............................. 3,240
62,441 DOUGLAS HOLDINGS AG. ....................... 2,801
106,100 o DRESS BARN, INC ............................ 1,698
7,469 EDGARS CONSOLIDATED STORES LTD ............. 58
4,184 xo EDISON BROTHERS STORES WTS 09/26/05 ........ 0
123,000 o FINISH LINE, INC (CLASS A) ................. 1,384
262,769 o FOOTSTAR, INC .............................. 9,772
50,000 o GADZOOKS, INC .............................. 800
4,830,982 GAP, INC ................................... 243,361
561,300 o GENESCO, INC ............................... 8,174
109,600 o GOODYS FAMILY CLOTHING, INC ................ 1,254
202,400 o GYMBOREE CORP .............................. 2,125
2,122,380 [] HENNES & MAURITZ AB SERIES B ............... 52,423
116,217 [] INTIMATE BRANDS, INC (CLASS A) ............. 5,506
1,550 []o JUST FOR FEET, INC ......................... 10
3,467,092 LIMITED, INC ............................... 157,319
166,050 o MENS WAREHOUSE, INC ........................ 4,234
146,090 NORDSTROM, INC ............................. 4,894
35,100 o NORTH FACE, INC ............................ 347
140,475 o PACIFIC SUNWEAR CALIFORNIA, INC ............ 3,424
200 o PAUL HARRIS STORES, INC .................... 1
203,743 o PAYLESS SHOESOURCE, INC .................... 10,900
183,600 o PETRIE STORES CORP (LIQUIDATING TRUST) ..... 436
810,000 ROSS STORES, INC ........................... 40,804
1,908 SALAMANDER AG. ............................. 287
500 SHIMAMAURA CO LTD .......................... 42
11,300 o STAGE STORES, INC .......................... 73
171,600 o STEIN MART, INC ............................ 1,609
87,903 []o SYMS CORP .................................. 714
1,000 TALBOTS, INC ............................... 38
2,598,666 TJX COS, INC ............................... 86,568
12,900 o URBAN OUTFITTERS, INC ...................... 324
14 See notes to financial statements.
<PAGE>
VALUE
SHARES (000)
---------- ---------
APPAREL AND ACCESSORY STORES--(CONTINUED)
139,500 o WET SEAL, INC (CLASS A) ....................... 3,993
26,000 o YORK-BENIMARU ................................. 982
-------------
727,621
-------------
APPAREL AND OTHER TEXTILE PRODUCTS--0.14%
194,900 AOYAMA TRADING CO LTD ......................... 6,151
121,268 AUTHENTIC FITNESS CORP ........................ 2,122
5,619,500 [] BENETTON GROUP S.P.A. ......................... 11,069
72,000 o COLUMBIA SPORTSWEAR CO ........................ 1,107
1,900 o CYRK, INC ..................................... 12
156,400 o DONNA KARAN INTERNATIONAL, INC ................ 1,554
17 ESCADA AG. (STAMM) ............................ 2
185,937 o FRUIT OF THE LOOM LTD (CLASS A) ............... 1,813
4,800 o GUESS ?, INC .................................. 66
846,000 GUNZE LTD ..................................... 2,237
12,630 o HARTMARX CORP ................................. 53
1,251,455 o JONES APPAREL GROUP, INC ...................... 42,941
253,890 KELLWOOD CO ................................... 6,887
2,491,000 [] KURARAY CO LTD ................................ 29,964
424,800 LIZ CLAIBORNE, INC ............................ 15,505
325,400 o NAUTICA ENTERPRISES, INC ...................... 5,491
197,000 ONWARD KASHIYMA CO LTD ........................ 2,165
217,500 OSHKOSH B'GOSH, INC (CLASS A) ................. 4,595
97,500 OXFORD INDUSTRIES, INC ........................ 2,760
13,193 xo PARAGON TRADE BRANDS, INC ..................... 9
307,733 PHILLIPS VAN HEUSEN CORP ...................... 3,039
4,423 PILLOWTEX CORP ................................ 72
84,800 o POLO RALPH LAUREN CORP ........................ 1,611
330,600 o QUIKSILVER, INC ............................... 8,616
742,100 []o RENOWN, INC ................................... 1,042
295,000 [] TOKYO STYLE CO LTD ............................ 3,168
8,900 o TOMMY HILFIGER CORP ........................... 654
240,158 VF CORP ....................................... 10,267
392,055 WACOAL CORP ................................... 3,990
365,699 WARNACO GROUP, INC (CLASS A) .................. 9,782
-------------
178,744
-------------
AUTO REPAIR, SERVICES AND PARKING--0.05%
468,183 o AVIS RENT A CAR, INC .......................... 13,636
173,601 o BUDGET GROUP, INC ............................. 2,137
1,000 CENTRAL PARKING CORP .......................... 34
1,067,000 o COMFORT GROUP LTD ............................. 658
382,218 o DOLLAR THRIFTY AUTOMOTIVE GROUP, INC .......... 8,887
129,265 HERTZ CORP (CLASS A) .......................... 8,014
65,697 o IMPERIAL HOLDINGS LTD ......................... 653
217,457 MIDAS, INC .................................... 6,170
61,770 o NATIONAL AUTO CREDIT, INC ..................... 62
700,167 ROLLINS TRUCK LEASING CORP .................... 7,789
461,452 RYDER SYSTEM, INC ............................. 11,998
-------------
60,038
-------------
AUTOMOTIVE DEALERS AND SERVICE STATIONS--0.05%
25,800 [] AUTOBACS SEVEN CO LTD ......................... 1,253
1,277,549 o AUTONATION, INC ............................... 22,756
279,900 o AUTOZONE, INC ................................. 8,432
215,700 CANADIAN TIRE, INC (CLASS A) .................. 6,267
2,300 o CIRCUIT CITY STORES, INC (CARMAX GROUP) ....... 12
270,800 o COPART, INC ................................... 5,755
235,400 o CSK AUTO CORP ................................. 6,356
97,498 o DISCOUNT AUTO PARTS, INC ...................... 2,352
110,100 o GROUP 1 AUTOMOTIVE, INC ....................... 2,326
96,286 LEX SERVICE GROUP LTD ......................... 886
323,958 LONHRO AFRICA PLC ............................. 245
48,100 o OREILLY AUTOMOTIVE, INC ....................... 2,423
7,922 PENDRAGON PLC ................................. 21
74,305 PEP BOYS MANNY, MOE, & JACK CO ................ 1,607
103,400 o UNITED AUTO GROUP, INC ........................ 1,060
2,700 o WEST MARINE, INC .............................. 39
-------------
61,790
-------------
BUILDING MATERIALS AND GARDEN SUPPLIES--0.72%
420,851 CRH PLC ....................................... 7,465
118,300 [] FASTENAL CO ................................... 6,203
11,321,189 HOME DEPOT, INC ............................... 729,509
2,567,730 LOWES COS, INC ................................ 145,558
39,189 PORTLAND VALDERRIVAS S.A. ..................... 1,233
900 o TRACTOR SUPPLY CO ............................. 25
1,795,718 WOLSELEY PLC .................................. 13,516
-------------
903,509
-------------
BUSINESS SERVICES--6.20%
100 o 3DO CO ........................................ 0
93,000 AARON RENTS, INC .............................. 2,069
112,300 o ABACUS DIRECT CORP ............................ 10,275
3,100 ABM INDUSTRIES, INC ........................... 95
837,700 o ACCLAIM ENTERTAINMENT, INC .................... 5,340
25,454 o ACKERLEY GROUP, INC ........................... 463
819,279 o ACNEILSEN CORP ................................ 24,783
1,900 o ACTIVISION, INC ............................... 28
269,720 o ACXIOM CORP ................................... 6,726
218,500 ADECCO S.A. ADR ............................... 14,640
54,654 o ADECCO S.A. (REGD) ............................ 29,285
8,400 o ADMINSTAFF, INC ............................... 134
671,144 ADOBE SYSTEMS, INC ............................ 55,139
26,700 o ADVANTAGE LEARNING SYSTEMS, INC ............... 591
80,300 o ADVENT SOFTWARE, INC .......................... 5,380
335,530 o ADVO, INC ..................................... 6,962
212,800 o AFFILIATED COMPUTER SERVICES, INC ............. 10,773
66,100 o ALTERNATIVE RESOURCES CORP .................... 463
7,227,561 AMERICA ONLINE, INC ........................... 798,645
684,825 o AMERICAN MANAGEMENT SYSTEMS, INC .............. 21,957
10,300 o AMERICAN SOFTWARE, INC (CLASS A) .............. 46
200,900 ANALYSTS INTERNATIONAL CORP ................... 2,888
63,300 []o ANSWERTHINK CONSULTING GROUP .................. 1,598
157,200 o APAC TELESERVICES, INC ........................ 511
46,000 o APTECH LTD .................................... 759
46,300 o ARIS CORP ..................................... 385
104,500 o ASPECT DEVELOPMENT, INC ....................... 1,933
2,100 o ASPEN TECHNOLOGY, INC ......................... 25
301,000 AUTODESK, INC ................................. 8,898
3,725,281 AUTOMATIC DATA PROCESSING, INC ................ 163,912
351,400 o AVANT CORP .................................... 4,436
74,900 o AVT CORP ...................................... 2,837
110,600 o AXENT TECHNOLOGIES, INC ....................... 1,230
8,551 o AZTEC TECHNOLOGY PARTNERS, INC ................ 16
200 o BANYAN SYSTEMS, INC ........................... 2
208,500 []o BEA SYSTEMS, INC .............................. 5,955
59,900 o BILLING CONCEPTS CORP ......................... 670
22,300 o BISYS GROUP, INC .............................. 1,305
1,244,582 o BMC SOFTWARE, INC ............................. 67,207
186,100 o BORG-WARNER SECURITY CORP ..................... 3,780
38,700 o BORON, LEPORE & ASSOCIATES, INC ............... 324
119,200 o BROADVISION, INC .............................. 8,791
146,928 o BUILDING ONE SERVICES CORP .................... 2,039
200 o CACI INTERNATIONAL, INC (CLASS A) ............. 5
1,898,074 o CADENCE DESIGN SYSTEMS, INC ................... 24,200
39,900 o CAMBRIDGE TECHNOLOGY PARTNERS, INC ............ 701
192,150 []o CAP GEMINI S.A. ............................... 30,200
800,000 CAPITA GROUP PLC .............................. 8,279
124,400 []o CARIBINER INTERNATIONAL, INC .................. 770
62,462 o CATALINA MARKETING CORP ....................... 5,747
1,200 o CCC INFORMATION SERVICES GROUP, INC ........... 15
69,848 o CDI CORP ...................................... 2,379
4,790 o CELLULAR TECHNICAL SERVICES CO ................ 16
153,200 []o CENTURY BUSINESS SERVICES, INC ................ 2,221
3,052,877 o CERIDIAN CORP ................................. 99,791
170,800 o CERNER CORP ................................... 3,581
133,800 o CHECKFREE HOLDINGS CORP ....................... 3,688
See notes to financial statements. 15
<PAGE>
VALUE
SHARES (000)
---------- ---------
BUSINESS SERVICES--(CONTINUED)
146,829 o CHOICEPOINT, INC .............................. $ 9,856
663,900 o CIBER, INC .................................... 12,697
393,870 o CITRIX SYSTEMS, INC ........................... 22,254
69,300 o CLARIFY, INC .................................. 2,859
464,904 []o CMGI, INC ..................................... 53,028
326,630 []o CNET, INC ..................................... 18,822
183,974 o COMDISCO, INC ................................. 4,714
90,600 o COMPAREX HOLDINGS LTD ......................... 571
89,287 o COMPLETE BUSINESS SOLUTIONS, INC .............. 1,602
3,197,405 COMPUTER ASSOCIATES
INTERNATIONAL, INC ............................ 175,857
260,600 o COMPUTER HORIZONS CORP ........................ 3,600
1,581,481 o COMPUTER SCIENCES CORP ........................ 109,419
213,619 COMPUTER TASK GROUP, INC ...................... 3,632
2,628,800 o COMPUWARE CORP ................................ 83,629
194,400 o CONCORD COMMUNICATIONS, INC ................... 8,748
1,809,379 o CONVERGYS CORP ................................ 34,831
13,800 o CORSAIR COMMUNICATIONS, INC ................... 59
161,800 o CORT BUSINESS SERVICES CORP ................... 3,873
80,900 o COTELLIGENT, INC .............................. 632
156,000 CREATIVE TECHNOLOGY LTD ....................... 2,034
961,800 o CSG SYSTEMS INTERNATIONAL, INC ................ 25,187
49,800 [] CSK CORP ...................................... 1,131
4,894 o CYBERGUARD CORP ............................... 6
2,400 o DAOU SYSTEMS, INC ............................. 14
224,100 []o DASSAULT SYSTEMS S.A. ......................... 7,407
338 o DATA BROADCASTING CORP ........................ 4
42,900 []o DATA DIMENSIONS, INC .......................... 142
108,400 o DATA PROCESSING RESOURCES CORP ................ 2,561
230,590 o DATASTREAM SYSTEMS, INC ....................... 3,689
55,285 o DBT ONLINE, INC ............................... 1,811
1,100 []o DECISIONONE HOLDINGS CORP ..................... 2
13,200 o DELTEK SYSTEMS, INC ........................... 130
153,100 o DENDRITE INTERNATIONAL, INC ................... 5,531
3,000 o DIGITAL LIGHTWAVE, INC ........................ 18
26,400 []o DOCUMENTUM, INC ............................... 345
218,400 []o DOUBLECLICK, INC .............................. 20,038
239,338 o DST SYSTEMS, INC .............................. 15,048
122,000 o EARTHLINK NETWORK, INC ........................ 7,495
2,952 o ECLIPSYS CORP ................................. 71
2,600 o ELECTRO RENT CORP ............................. 28
361,700 o ELECTRONIC ARTS, INC .......................... 19,622
2,149,945 ELECTRONIC DATA SYSTEMS CORP .................. 121,606
410,300 o ELECTRONICS FOR IMAGING, INC .................. 21,079
185,000 o EMPLOYEE SOLUTIONS, INC ....................... 220
51,600 []o ENGINEERING ANIMATION, INC .................... 1,093
31,129 o EPICOR SOFTWARE CORP .......................... 232
388,682 o EQUANT NV ..................................... 35,836
1,019,498 EQUIFAX, INC .................................. 36,383
469,414 o EXCITE AT HOME ................................ 25,319
57,550 o FACTSET RESEARCH SYSTEMS, INC ................. 3,259
157,542 FAIR ISSAC & CO, INC .......................... 5,524
15,900 o FILENET CORP .................................. 182
3,119,225 FIRST DATA CORP ............................... 152,647
275,793 o FISERV, INC ................................... 8,636
200 o FORRESTER RESEARCH, INC ....................... 5
100 o FORTE SOFTWARE, INC ........................... 1
107,320 []o GENERAL MAGIC, INC ............................ 379
250,100 o GENESYS TELECOMMUNICATIONS
LABORATORIES, INC ............................. 6,253
320,095 GERBER SCIENTIFIC, INC ........................ 7,062
243,470 o GETRONICS NV .................................. 9,366
9,500 o GETTY IMAGES, INC ............................. 179
8,472 o GRANDE HOLDINGS WTS 10/15/00 .................. 0
19,800 o GREAT PLAINS SOFTWARE, INC .................... 934
132,800 o GT INTERACTIVE SOFTWARE CORP .................. 465
662,779 o GTECH HOLDINGS CORP ........................... 15,617
4,400 o HTE, INC ...................................... 15
211,050 o HARBINGER CORP ................................ 2,638
323,000 HAW PAR CORP LTD .............................. 550
6,300 o HCIA, INC ..................................... 56
100 o HEALTH MANAGEMENT SYSTEMS, INC ................ 1
67,300 []o HNC SOFTWARE .................................. 2,074
3,075 o HYPERION SOLUTIONS CORP ....................... 55
32,100 o I2 TECHNOLOGIES, INC .......................... 1,380
25,800 o IDX SYSTEMS CORP .............................. 582
24,800 o IKOS SYSTEMS, INC ............................. 243
619,182 o IMATION CORP .................................. 15,363
457,450 o IMRGLOBAL CORP ................................ 8,806
2,384,253 IMS HEALTH, INC ............................... 74,508
4,741 o INACOM CORP ................................... 60
48,100 o INDUS INTERNATIONAL, INC ...................... 207
3,600 o INDUSTRI-MATEMATIK INTERNATIONAL CORP ......... 9
3,000 INES CORP ..................................... 39
20,700 []o INFORMATION ARCHITECTS CORP ................... 49
2,900 o INFORMATION RESOURCES, INC .................... 25
1,394,650 o INFORMIX CORP ................................. 11,898
164,200 o INFOSEEK CORP ................................. 7,871
47,400 o INFOUSA, INC (CLASS A) ........................ 421
98,700 o INFOUSA, INC (CLASS B) ........................ 839
71,237 []o INPRISE CORP .................................. 347
500 o INSO CORP ..................................... 3
12,450 o INSPIRE INSURANCE SOLUTIONS, INC .............. 181
3,500 o INSURANCE AUTO AUCTIONS, INC .................. 56
14,900 o INTEGRATED SYSTEMS, INC ....................... 175
24,900 []o INTELLIGROUP, INC ............................. 177
22,965 o INTERGRAPH CORP ............................... 178
386,600 o INTERIM SERVICES, INC ......................... 7,974
642,350 o INTERNATIONAL NETWORK SERVICES ................ 25,935
439,900 o INTERNATIONAL TELECOMMUNICATIONS .............. 7,038
61,900 INTERPOOL, INC ................................ 805
827,700 INTERPUBLIC GROUP OF COS, INC ................. 71,700
307,300 o INTUIT, INC ................................... 27,695
69,800 o ISS GROUP, INC ................................ 2,635
41,100 o ISS INTERNATIONAL SERVICE SYSTEM AS
SERIES B ..................................... 2,200
262,400 o J.D. EDWARDS & CO ............................. 4,854
9,700 JACK HENRY & ASSOCIATES, INC .................. 381
185,200 JARDINE MATHESON HOLDINGS LTD ................. 926
113,400 o JDA SOFTWARE GROUP, INC ....................... 1,056
1,868,000 o JIT HOLDINGS LTD .............................. 3,401
280,655 o KEANE, INC .................................... 6,350
264,715 KELLY SERVICES, INC (CLASS A) ................. 8,504
380,000 o KEPPEL LAND LTD ............................... 714
44,550 o KEPPEL LAND LTD WTS 12/12/00 .................. 31
70,162 [] KONAMI CO LTD ................................. 2,898
196,250 o LABOR READY, INC .............................. 6,378
301,888 LAGARDERE S.C.A. .............................. 11,239
149,100 o LAMAR ADVERTISING CO (CLASS A) ................ 6,104
80,200 []o LEASING SOLUTIONS, INC ........................ 60
85,600 o LEGATO SYSTEMS, INC ........................... 4,943
166,400 o LHS GROUP, INC ................................ 5,512
287,771 o LYCOS, INC .................................... 26,439
72,224 o M-WEB HOLDINGS LTD ............................ 299
230,500 o MACROMEDIA, INC ............................... 8,125
46,900 o MANHATTAN ASSOCIATES, INC ..................... 387
1,113,000 MANPOWER, INC ................................. 25,182
46,526 o MANUGISTICS GROUP, INC ........................ 675
77,500 o MAPICS, INC ................................... 819
133,700 o MARCAM SOLUTIONS CORP ......................... 999
139,000 o MASTECH CORP .................................. 2,589
20,800 MCGRATH RENTCORP .............................. 416
9,600 o MEDICAL MANAGER CORP .......................... 425
433,800 o MEDQUIST, INC ................................. 18,979
1,009,900 o MENTOR GRAPHICS CORP .......................... 12,939
1,830 o MERANT PLC ADR ................................ 36
16 See notes to financial statements.
<PAGE>
VALUE
SHARES (000)
---------- ---------
BUSINESS SERVICES--(CONTINUED)
237,700 o MERCURY INTERACTIVE CORP ...................... $ 8,409
220,300 o MERKANTILDATA ASA ............................. 2,127
709,550 o METAMOR WORLDWIDE, INC ........................ 17,074
129,000 []o METRO INFORMATION SERVICES, INC ............... 2,145
71,200 o MICROMUSE, INC ................................ 3,551
28,905,666 o MICROSOFT CORP ................................ 2,606,930
878 o MIDWAY GAMES, INC ............................. 11
232,000 o MINDSPRING ENTERPRISES, INC ................... 10,281
1,228,424 MISYS PLC ..................................... 10,514
21,700 o MOBIUS MANAGEMENT SYSTEMS, INC ................ 179
736,300 o MODIS PROFESSIONAL SERVICES ................... 10,124
1,422 o MOMENTUM BUSINESS APPLICANTS, INC ............. 10
110,697 o MSC.SOFTWARE CORP ............................. 643
92,304 NAMCO LTD ..................................... 2,478
181,100 NATIONAL COMPUTER SYSTEMS, INC ................ 6,112
254,355 NATIONAL DATA CORP ............................ 10,874
124,400 o NCO GROUP, INC ................................ 4,727
114,837 o NCR CORP ...................................... 5,605
58,430 o NETMANAGE, INC ................................ 126
100 o NETSPEAK CORP ................................. 1
348,600 o NETWORK APPLIANCE, INC ........................ 19,478
82,300 o NETWORK SOLUTIONS, INC ........................ 6,512
834,580 o NETWORKS ASSOCIATES, INC ...................... 12,258
200 o NEW ERA OF NETWORKS, INC ...................... 9
228,100 o NEWBRIDGE NETWORKS CORP ....................... 6,473
6,106 o NIELSEN MEDIA RESEARCH ........................ 179
328,188 o NIIT LTD ...................................... 15,440
2,300 NORRELL CORP .................................. 43
1,300 o NORSTAN, INC .................................. 16
366,400 o NOVA CORP (GEORGIA) ........................... 9,160
85,000 o NOVACARE EMPLOYEE SERVICES, INC ............... 234
1,237,100 o NOVELL, INC ................................... 32,783
203,700 o OBJECTIVE SYSTEMS INTEGRATORS, INC ............ 560
32,200 o ODS NETWORKS, INC ............................. 127
536,494 OLSTEN CORP ................................... 3,387
1,049,810 OMNICOM GROUP, INC ............................ 83,985
32,700 o ON ASSIGNMENT, INC ............................ 854
22,900 []o ONSALE, INC ................................... 434
167,100 o OPEN MARKET, INC .............................. 2,371
10,947,311 o ORACLE CORP ................................... 406,419
53,432 o OUTDOOR SYSTEMS, INC .......................... 1,950
227,500 o PACIFIC INTERNET LTD .......................... 10,778
664,446 o PARAMETRIC TECHNOLOGY CORP .................... 9,219
1,650,379 PAYCHEX, INC .................................. 52,606
134,300 o PAYMENTECH, INC ............................... 3,408
62,700 o PEGASUS SYSTEMS, INC .......................... 2,347
55,700 o PEGASYSTEMS, INC .............................. 571
394,000 PENTAFOUR SOFTWARE & EXPORT LTD ............... 10,297
163,800 o PEOPLESOFT, INC ............................... 2,826
158,300 o PEREGRINE SYSTEMS, INC ........................ 4,066
11,000 o PERITUS SOFTWARE SERVICES, INC ................ 2
322,648 o PERSONNEL GROUP OF AMERICA, INC ............... 3,226
1,000 o PHOENIX TECHNOLOGIES LTD ...................... 18
111,200 #o PHYSICIAN COMPUTER NETWORK, INC ............... 28
574,900 PITTSTON BRINKS GROUP CO ...................... 15,379
425,769 o POLICY MANAGEMENT SYSTEMS CORP ................ 12,773
100 o PRECISION RESPONSE CORP ....................... 1
67,300 []o PREVIEW TRAVEL, INC ........................... 1,476
2,279 o PRIMARK CORP .................................. 64
74,900 #o PROCURENET, INC ............................... 11
8,976 o PRODACTA AG. .................................. 157
299,500 o PROGRESS SOFTWARE CORP ........................ 8,461
44,300 o PROJECT SOFTWARE & DEVELOPMENT, INC ........... 1,384
24,546 PROSEGUR COMPANIA DE SEGURIDAD S.A. ........... 274
418,100 o PSINET, INC ................................... 18,292
7,200 o QAD, INC ...................................... 22
58,000 o QRS CORP ...................................... 4,524
138,500 []o QUADRAMED CORP ................................ 1,125
25,600 o QUINTEL COMMUNICATIONS ........................ 38
700 o RADIANT SYSTEMS, INC .......................... 10
3,500 o RADISYS CORP .................................. 136
928,323 o RATIONAL SOFTWARE CORP ........................ 30,577
116,137 o REALNETWORKS, INC ............................. 7,999
144,700 o REMEDY CORP ................................... 3,889
38,700 o REMEDYTEMP, INC (CLASS A) ..................... 522
190,593 o RENT WAY, INC ................................. 4,693
223,100 o RENT-A-CENTER, INC ............................ 5,354
205,819 o RENTAL SERVICE CORP ........................... 5,892
7,697,248 RENTOKIL INITIAL PLC .......................... 30,030
523,650 o ROBERT HALF INTERNATIONAL, INC ................ 13,615
315,114 ROLLINS, INC .................................. 5,022
545,153 o ROMAC INTERNATIONAL, INC ...................... 4,838
4,154,434 RUETERS GROUP PLC ............................. 54,648
66,335 o RWD TECHNOLOGIES, INC ......................... 692
412,400 o SABRE GROUP HOLDINGS, INC ..................... 28,353
654,133 o SAFETY-KLEEN CORP ............................. 11,856
586,700 o SAGA SYSTEMS, INC ............................. 7,480
38,200 []o SANCHEZ COMPUTER ASSOCIATES, INC .............. 1,323
6,100 o SANTA CRUZ OPERATION, INC ..................... 40
178,050 o SAP AG. ....................................... 60,228
99,900 []o SAPIENT CORP .................................. 5,657
1,031,675 o SATYAM COMPUTER SERVICES LTD .................. 30,335
2,500 o SEATTLE FILMWORKS, INC ........................ 8
288,300 SECOM CO LTD .................................. 30,011
500,000 o SECURICOR PLC ................................. 4,386
578,600 SECURITAS AB SERIES B FREE .................... 8,643
205,412 SEI INVESTMENT CO ............................. 18,128
167,200 SHARED MEDICAL SYSTEMS CORP ................... 10,910
701,717 o SIEBEL SYSTEMS, INC ........................... 46,533
1,740,900 SIME DARBY BERHAD ............................. 2,054
473,700 o SITEL CORP .................................... 1,391
378,300 o SNYDER COMMUNICATIONS, INC .................... 12,389
24,512 o SOFTWARE PUBLISHING CORP HOLDINGS, INC ........ 60
62,200 o SOS STAFFING SERVICES, INC .................... 327
9,400 SOTHEBYS HOLDINGS, INC (CLASS A) .............. 358
42,900 o SPORTSLINE U.S.A., INC ........................ 1,539
85,100 o SPR, INC ...................................... 452
67,400 o SS&C TECHNOLOGIES, INC ........................ 514
333,400 o STAFFMARK, INC ................................ 3,344
691,977 o STERLING COMMERCE, INC ........................ 25,257
949,138 o STERLING SOFTWARE, INC ........................ 25,330
188,300 o STRUCTURAL DYNAMICS RESEARCH CORP ............. 3,495
4,874,900 o SUN MICROSYSTEMS, INC ......................... 335,759
735,565 o SUNGARD DATA SYSTEMS, INC ..................... 25,377
11,700 o SUNQUEST INFORMATION SYSTEMS, INC ............. 189
12,680 o SURVEILLANCE S.A. SOCIETE DE .................. 3,140
694,855 o SYBASE, INC ................................... 7,643
187,800 o SYKES ENTERPRISES, INC ........................ 6,268
343,300 o SYMANTEC CORP ................................. 8,754
45,767 o SYNOPSYS, INC ................................. 2,526
170,750 []o SYNTEL, INC ................................... 1,537
5,464 o SYSTEM SOFTWARE ASSOCIATES, INC ............... 9
250,132 o SYSTEMS & COMPUTER TECHNOLOGY CORP ............ 3,643
54,400 xo SYSTEMSOFT CORP ............................... 6
9,600 o TCSI CORP ..................................... 25
86,050 o TECHNOLOGY SOLUTIONS CO ....................... 930
1,400 o TELESPECTRUM WORLDWIDE, INC ................... 11
102,300 o TELETECH HOLDINGS, INC ........................ 1,036
82,600 [] TIETO CORP (CLASS B) .......................... 3,441
300,200 []o TMP WORLDWIDE, INC ............................ 19,063
2,947,000 TOKYU CORP .................................... 7,426
106,199 [] TOTAL SYSTEM SERVICES, INC .................... 2,018
76,600 TRANS COSMOS .................................. 5,569
194,400 o TRANSACTION SYSTEM ARCHITECTURE ............... 7,582
525,300 TRUE NORTH COMMUNICATIONS, INC ................ 15,759
573,517 o UNITED RENTALS, INC ........................... 16,919
418,750 o USWEB CORP .................................... 9,291
892,925 o VALASSIS COMMUNICATIONS, INC .................. 32,703
142,300 o VANTIVE CORP .................................. 1,628
See notes to financial statements. 17
<PAGE>
VALUE
SHARES (000)
---------- ---------
BUSINESS SERVICES--(CONTINUED)
43,400 o VERIO, INC .................................... $ 3,016
88,200 o VERISIGN, INC ................................. 7,607
404,927 o VERITAS SOFTWARE CORP ......................... 38,443
221,300 o VIASOFT, INC .................................. 775
165,800 o VISIO CORP .................................... 6,311
1,500 o VOLT INFORMATION SCIENCES, INC ................ 34
600 WACKENHUT CORP SERIES A ....................... 18
277,702 WACKENHUT CORP SERIES B ....................... 6,665
3,200 o WALKER INTERACTIVE SYSTEMS, INC ............... 8
196,000 o WEST TELESERVICES CORP ........................ 1,838
108,900 o WESTAFF, INC .................................. 640
4,535,261 WHARF HOLDINGS LTD ............................ 14,145
134,962 o WHARF HOLDINGS LTD WTS 12/31/99 ............... 125
89,400 o WIND RIVER SYSTEMS, INC ....................... 1,436
189,300 WM-DATA AB SERIES B ........................... 7,214
692,000 WPP GROUP PLC ................................. 5,852
98,000 o XTRA CORP ..................................... 4,502
973,600 []o YAHOO, INC .................................... 167,703
281,853 o YOUNG & RUBICAM, INC .......................... 12,807
-----------
7,780,285
-----------
CHEMICALS AND ALLIED PRODUCTS--11.18%
11,133,712 ABBOTT LABORATORIES CO ........................ 506,584
265,800 o ADVANCED TISSUE SCIENCE CO .................... 864
29,420 AGA AB SERIES A FREE .......................... 367
15,200 o AGA AB SERIES A RTS ........................... 5
289,970 [] AGA AB SERIES B FREE .......................... 3,581
100,000 o AGA AB SERIES B RTS ........................... 34
206,351 AGRIUM, INC ................................... 1,798
1,120,046 AIR PRODUCTS & CHEMICALS, INC ................. 45,082
853,080 AKZO NOBEL NV ................................. 35,895
163,606 ALBEMARLE CORP ................................ 3,783
22,700 ALBERTO CULVER CO (CLASS A) ................... 518
253,167 ALBERTO CULVER CO (CLASS B) ................... 6,741
1,000 o ALGOS PHARMACEUTICAL CORP ..................... 22
148,700 o ALKERMES, INC ................................. 3,439
521,222 ALLERGAN, INC ................................. 57,856
30,372 o ALLERGAN SPECIALTY THERAPEUTICS, INC
(CLASS A) ................................... 330
18,700 o ALLIANCE PHARMACEUTICAL CORP .................. 49
22,900 o ALPHA BETA TECHNOLOGY, INC .................... 0
171,100 ALPHARMA, INC (CLASS A) ....................... 6,085
155,620 []o ALZA CORP ..................................... 7,917
12,856,307 AMERICAN HOME PRODUCTS CORP ................... 739,238
3,782,100 o AMGEN, INC .................................... 230,235
68,800 o AMYLIN PHARMACEUTICALS, INC ................... 77
93,900 o ANDRX CORP .................................... 7,242
500 o APHTON CORP ................................... 7
84,349 o AQUILA BIOPHARMACEUTICALS, INC ................ 137
361,345 ARCH CHEMICALS, INC ........................... 8,785
14,442,000 ASAHI CHEMICAL INDUSTRY CO LTD ................ 80,061
2,172,124 [] ASTRAZENECA PLC ............................... 84,565
75,000 ASTRAZENECA PLC (SPONS ADR) ................... 2,939
2,339,660 ASTRAZENECA PLC (U.K.) ........................ 90,504
267,200 []o AVIRON, INC ................................... 7,682
1,383,188 AVON PRODUCTS, INC ............................ 76,767
167,259 o AXYS PHARMACEUTICALS, INC ..................... 564
1,000,000 BANYU PHARMACEUTICAL CO LTD ................... 16,523
57,700 o BARR LABORATORIES, INC ........................ 2,301
1,750,700 []o BASF AG. ...................................... 77,366
1,921,050 BAYER AG. ..................................... 80,040
226,700 BEIERSDORF AG. ................................ 15,080
535,400 []o BIO-TECHNOLOGY GENERAL CORP ................... 3,480
758,400 o BIOGEN, INC ................................... 48,775
100,900 []o BIOMATRIX, INC ................................ 2,182
90,848 BLOCK DRUG, INC (CLASS A) ..................... 3,787
1,730,403 BOC GROUP PLC ................................. 33,823
30,800 o BORDEN CHEMICALS & PLASTICS LTD ............... 219
77,350 []o BOSTON LIFE SCIENCES, INC ..................... 438
16,423,694 BRISTOL MYERS SQUIBB CO ....................... 1,156,844
585,200 CABOT CORP .................................... 14,155
218,181 o CALGON CARBON CORP ............................ 1,295
153,000 CAMBREX CORP .................................. 4,016
1,000 o CARBIDE/GRAPHITE GROUP, INC ................... 14
241,873 CARTER WALLACE, INC ........................... 4,399
82,500 # CARTER WALLACE, INC (CLASS B) ................. 1,500
221,000 []o CELL GENESYS, INC ............................. 939
100,199 []o CELL PATHWAYS, INC ............................ 1,159
574,867 o CENTOCOR, INC ................................. 26,803
193,500 o CEPHALON, INC ................................. 3,362
61,100 o CHATTEM, INC .................................. 1,944
166,900 CHEMFIRST, INC ................................ 4,058
86,500 o CHIREX, INC ................................... 2,779
81,468 o CHIRON CORP ................................... 1,690
373,000 [] CHUGAI PHARMACEUTICAL CO LTD .................. 4,018
120,700 CHURCH & DWIGHT CO, INC ....................... 5,250
4,000 CIN-CORPARACAO INDUSTRIAL
DO NORTE S.A .................................. 103
450,967 CLOROX CO ..................................... 48,169
1,756,688 o COLGATE PALMOLIVE CO .......................... 173,473
39,300 o COLUMBIA LABORATORIES, INC .................... 337
4,200 o COPLEY PHARMACEUTICAL, INC .................... 43
90,300 o COR THERAPEUTICS, INC ......................... 1,332
55,200 o COULTER PHARMACEUTICAL, INC ................... 1,245
90,800 o CREATIVE BIOMOLECULES, INC .................... 329
1,695 o CRESCENDO PHARMACEUTICALS CORP ................ 29
1,431,600 o CROMPTON & KNOWLES CORP ....................... 28,006
112,000 CSL LTD ....................................... 967
152,400 []o CYGNUS, INC ................................... 1,981
748,357 o CYTEC INDUSTRIES, INC ......................... 23,854
280,582 o CYTOGEN CORP .................................. 544
428,714 DAICEL CHEMICAL INDUSTRIES LTD ................ 1,576
636,286 DAIICHI PHARMACEUTICAL CO LTD ................. 9,872
899,000 DAINIPPON INK & CHEMICAL, INC ................. 3,060
206,600 o DEGUSSA HUELS AG. ............................. 8,523
1,617,000 DENKI KAGKU KOGYO ............................. 3,540
258,140 DEXTER CORP ................................... 10,535
39,616 DIAGNOSTIC PRODUCTS CORP ...................... 1,094
123,507 DIAL CORP ..................................... 4,593
1,399,400 DOW CHEMICAL CO ............................... 177,549
9,301,126 DU PONT (E.I.) DE NEMOURS & CO ................ 635,383
289,800 o DURA PHARMACEUTICALS, INC ..................... 3,459
27,900 DYNO ASA ...................................... 503
176,700 o E-Z-EM, INC (CLASS A) ......................... 1,005
231,367 o E-Z-EM, INC (CLASS B) ......................... 1,273
117,448 EASTMAN CHEMICAL CO ........................... 6,078
120,360 o ECOGEN, INC ................................... 346
724,900 ECOLAB, INC ................................... 31,624
362,036 EISAI CO LTD .................................. 7,134
2,164,182 []o ELAN CORP PLC ADR ............................. 60,056
26,600 ELEMENTIS PLC ................................. 44
11,200 o EMISPHERE TECHNOLOGIES, INC ................... 79
3,196 o ENZON, INC .................................... 66
21,563 o EPITOPE, INC .................................. 127
16,500 ETHYL CORP .................................... 99
1,846 o FABRICA ESP DE PROCUCTO QUIMICO (NEW) ......... 22
77,360 FABRICA ESP DE PRODUCTO QUIMICO Y
FARM ........................................ 951
381,671 FERRO CORP .................................... 10,496
462,867 o FMC CORP ...................................... 31,620
81,692 o FOREST LABORATORIES, INC ...................... 3,778
13,600 []o FRENCH FRAGRANCES, INC ........................ 99
113,000 []o FUISZ TECHNOLOGIES LTD ........................ 374
29,134 FULLER (H.B.) CO .............................. 1,992
1,800 []o GELTEX PHARMACEUTICALS, INC ................... 32
5,600 GENERAL CHEMICAL GROUP, INC ................... 18
595,500 o GENZYME CORP (GENERAL DIVISION) ............... 28,882
17,777 o GENZYME CORP (TISSUE REPAIR DIVISION) ......... 36
113,912 o GENZYME-MOLECULAR ONCOLOGY .................... 313
18 See notes to financial statements.
<PAGE>
VALUE
SHARES (000)
---------- ---------
CHEMICALS AND ALLIED PRODUCTS--(CONTINUED)
323,120 GEON CO ....................................... $ 10,421
265,981 GEORGIA GULF CORP ............................. 4,488
94,400 o GILEAD SCIENCES, INC .......................... 4,932
11,778,271 GLAXO WELLCOME PLC ............................ 327,320
587,240 o GRACE W.R. & CO ............................... 10,791
336,600 GREAT LAKES CHEMICAL CORP ..................... 15,505
339,200 GREENCORE GROUP PLC ........................... 1,049
12,300 o GUILFORD PHARMACEUTICALS, INC ................. 157
615,844 HANNA (M.A.) CO ............................... 10,123
1,053,700 HERCULES, INC ................................. 41,424
13,400 o HESKA CORP .................................... 31
451,700 []o HUMAN GENOME SCIENCES, INC .................... 17,842
528,479 ICN PHARMACEUTICALS, INC ...................... 17,010
136,150 o ICOS CORP ..................................... 5,557
89,500 o IDEC PHARMACEUTICALS CORP ..................... 6,897
25,600 o IDEXX LABORATORIES, INC ....................... 597
831,642 o IMC GLOBAL, INC ............................... 14,658
54,157 o IMC GLOBAL, INC WTS 12/22/00 .................. 30
122,200 o IMCLONE SYSTEMS, INC .......................... 3,101
241,800 o IMMUCOR, INC .................................. 3,295
114,200 []o IMMUNE RESPONSE CORP .......................... 614
361,700 o IMMUNEX CORP .................................. 46,094
339,000 []o IMMUNOMEDICS, INC ............................. 498
1,198,370 IMPERIAL CHEMICAL INDUSTRY PLC ................ 11,844
2,300 o INHALE THERAPEUTIC SYSTEMS .................... 55
575,147 INTERNATIONAL FLAVORS &
FRAGRANCES, INC ............................... 25,522
216,500 o INTERNATIONAL SPECIALTY PRODUCTS, INC ......... 2,206
147,700 o INTERNEURON PHARMACEUTICALS, INC .............. 406
206,000 o ISHIHARA SANGYO KAISHA LTD .................... 390
179,800 []o ISIS PHARMACEUTICALS, INC ..................... 1,832
580,259 o IVAX CORP ..................................... 8,196
9,847,452 JOHNSON & JOHNSON CO .......................... 965,050
311,100 JONES PHARMACEUTICAL, INC ..................... 12,250
321,000 KAKEN PHARMACEUTICAL CO LTD ................... 2,297
1,602,000 [] KANEKA CORP ................................... 15,088
627,000 KANSAI PAINT CO LTD ........................... 1,922
4,300,055 [] KAO CORP ...................................... 120,788
200,400 KEMIRA OY ..................................... 1,211
99,433 [] KISSEI PHARMACEUTICALS CO LTD ................. 1,976
108,900 KONISHI CO LTD ................................ 1,314
3,800 o KOS PHARMACEUTICALS, INC ...................... 19
627,000 KUREHA CHEMICAL INDUSTRY CO LTD ............... 1,668
29,400 o KV PHARMACEUTICAL CO (CLASS B) ................ 467
390,000 KYOWA HAKKO KOGYO ............................. 2,233
87,900 LABORATORIO CHILE ADR ......................... 1,582
69,097 o L'AIR LIQUIDE ................................. 10,867
55,000 L'AIR LIQUIDE (REGD) 2001 ..................... 8,650
32,651 # L'AIR LIQUIDE S.A. (REGD) ..................... 5,135
637,646 [] LAUDER (ESTEE) CO (CLASS A) ................... 31,962
419,500 o LIGAND PHARMACEUTICALS CO (CLASS A) ........... 4,667
7,131,505 LILLY (ELI) & CO .............................. 510,794
250,714 LILLY INDUSTRIES, INC (CLASS A) ............... 4,654
767,000 [] LION CORP ..................................... 3,168
342,400 o LIPOSOME CO, INC .............................. 6,548
178,770 LOREAL S.A. ................................... 120,852
822,031 LUBRIZOL CORP ................................. 22,400
135,311 LYONDELL CHEMICAL CO .......................... 2,791
75,000 MACDERMID, INC ................................ 3,488
68,000 []o MACROCHEM CORP (DELAWARE) ..................... 404
1,121,450 MALLINCKRODT, INC ............................. 40,793
1,283,650 +[]o MARTEK BIOSCIENCES CORP ....................... 10,911
29,500 o MATRIX PHARMACEUTICALS, INC ................... 122
58,166 o MCWHORTER TECHNOLOGIES, INC ................... 840
30,303 o MEDCO RESEARCH, INC ........................... 795
257,002 o MEDICIS PHARMACEUTICAL CORP (CLASS A) ......... 6,521
482,600 o MEDIMMUNE, INC ................................ 32,696
17,981,268 MERCK & CO, INC ............................... 1,330,614
384,000 [] MERCK & CO KGAA ............................... 12,490
247,300 o METHANEX CORP ................................. 936
490,220 o MILLENNIUM CHEMICAL, INC ...................... 11,551
60,000 o MILLENNIUM PHARMACEUTICALS, INC ............... 2,160
41,800 MINERALS TECHNOLOGIES, INC .................... 2,333
69,300 []o MIRAVANT MEDICAL TECHNOLOGY ................... 494
246,277 MISSISSIPPI CHEMICAL CORP ..................... 2,417
2,228,000 [] MITSUBISHI CHEMICAL CORP ...................... 7,713
649,000 MITSUBISHI GAS CHEMICAL CO, INC ............... 2,048
1,400 MITSUI CHEMICAL CORP .......................... 9
1,150 o MOLECULAR BIOSYSTEMS, INC ..................... 3
7,152,087 [] MONSANTO CO ................................... 282,060
4,363,814 [] MONTEDISON S.P.A. ............................. 7,111
1,199,654 MYLAN LABORATORIES, INC ....................... 31,791
11,800 o NABI, INC ..................................... 33
111,937 NALCO CHEMICAL CORP ........................... 5,807
236,900 NATURES SUNSHINE PRODUCTS, INC ................ 2,487
86,630 o NBTY, INC ..................................... 563
21,600 o NCH CORP ...................................... 1,069
58,400 o NEOPROBE CORP ................................. 37
50,000 #o NETGENICS, INC STOCK OPTIONS 03/20/08 ......... 70
48,000 []o NEUROGEN CORP ................................. 702
178,272 o NEXSTAR PHARMACEUTICALS, INC .................. 3,554
209,000 NIPPON SHOKUBAI KAGAK KOGYO CO LTD ............ 1,243
152,200 o NL INDUSTRIES, INC ............................ 1,693
2,495 NORIT NV ...................................... 21
1,138 []o NORTH AMERICAN VACCINE, INC ................... 6
5,000 NOVA CHEMICALS CORP ........................... 117
165,515 NOVARTIS AG. (REGD) ........................... 241,682
166,920 NOVO NORDISK AS (CLASS B) ..................... 18,033
8,375 o OCTEL CORP .................................... 105
265,590 OLIN CORP ..................................... 3,502
53,734 o OMEGA PROTEIN CORP ............................ 282
406,200 []o ORGANOGENESIS, INC ............................ 3,808
274,183 [] ORICA LTD ..................................... 1,497
6,500 o PATHOGENESIS CORP ............................. 92
76,850 o PENWEST PHARMACEUTICALS CO .................... 615
444,757 o PERRIGO CO .................................... 3,391
10,184,796 PFIZER, INC ................................... 1,117,781
6,942 o PHARMACEUTICAL RESOURCES, INC ................. 60
3,000,027 PHARMACIA & UPJOHN, INC ....................... 170,439
7,700 o PHARMACYCLICS, INC ............................ 216
1,067,693 o PPG INDUSTRIES, INC ........................... 63,061
742,480 PRAXAIR, INC .................................. 36,335
11,531,078 PROCTER & GAMBLE CO ........................... 1,029,149
248,200 o PROTEIN DESIGN LABORATORIES, INC .............. 5,507
175,800 o REGENERON PHARMACEUTICALS, INC ................ 1,373
244,300 []o REPLIGEN CORP ................................. 702
179,506 o REVLON, INC (CLASS A) ......................... 5,430
371,600 []o REXALL SUNDOWN, INC ........................... 4,529
200,000 o RHODIA S.A. ................................... 3,795
876,672 o RHONE-POULENC S.A. (CLASS A) .................. 40,061
378,600 o ROBERTS PHARMACEUTICAL CORP ................... 9,181
33,477 ROCHE HOLDINGS AG. (GENUSSCHEINE) ............. 344,116
84,900 o ROGERS CORP ................................... 2,505
780,988 o ROHM & HAAS CO ................................ 33,485
5,357 RPM, INC ...................................... 76
1,500 o SANGSTAT MEDICAL CORP ......................... 26
1,424,196 [] SANKYO CO LTD ................................. 35,887
1,515,016 o SANOFI-SYNTHELABO S.A. ........................ 64,294
625,500 [] SANTEN PHARMACEUTICAL CO LTD .................. 12,041
28,300 o SCHEIN PHARMACEUTICAL, INC .................... 341
167,870 SCHERING AG. .................................. 17,797
10,937,412 SCHERING-PLOUGH CORP .......................... 579,683
565,077 SCHULMAN (A.), INC ............................ 9,712
182,600 o SCOTTS CO (CLASS A) ........................... 8,696
973,000 SEKISUI CHEMICAL CO LTD ....................... 5,643
77,700 o SEROLOGICALS CORP ............................. 631
815,400 SHERWIN-WILLIAMS CO ........................... 22,627
1,801,745 [] SHIN-ETSU CHEMICAL CO LTD ..................... 60,286
933,000 SHIONOGI & CO LTD ............................. 7,377
See notes to financial statements. 19
<PAGE>
VALUE
SHARES (000)
---------- ---------
CHEMICALS AND ALLIED PRODUCTS--(CONTINUED)
1,675,340 []o SHISEIDO & CO LTD ............................. $ 25,108
2,641,000 o SHOWA DENKO K.K. .............................. 3,382
470,181 o SICOR, INC .................................... 1,998
335,714 o SIGMA ALDRICH CORP ............................ 11,561
7,230 SIKA FINANZ AG. (BR) .......................... 2,158
15,130,884 SMITHKLINE BEECHAM/BECKMAN LTD ................ 196,650
9,191,490 [] SNIA SPA ...................................... 11,517
72,000 SOCIEDAD QUIMICA Y MINERA DE CHILE ADR ........ 2,547
4,163 SOCIEDAD QUIMICA Y MINERA SERIES A ADR ........ 146
130,650 SOLVAY ET CIE S.A. ............................ 8,670
700 o SONUS PHARMACEUTICALS, INC .................... 4
21,385 STEPAN CO ..................................... 543
68,500 []o SUGEN, INC .................................... 2,021
4,048,000 [] SUMITOMO CHEMICAL CO LTD ...................... 18,561
18,500 []o SUPERGEN, INC ................................. 283
660,000 TAISHO PHARMACEUTICAL CO LTD .................. 21,811
2,977,000 TAKEDA CHEMICAL INDUSTRIES LTD ................ 137,978
17,900 o TECHNE CORP ................................... 454
1,533,000 TEIJIN LTD .................................... 6,206
1,000 TEIKOKU HORMONE MANUFACTURING ................. 9
16,036 o TETRA TECHNOLOGIES, INC ....................... 147
190,000 o THERAGENICS CORP .............................. 1,318
6,704 o THERMOLASE CORP ............................... 9
2,027,000 TORAY INDUSTRIES, INC ......................... 10,148
509,000 TOSOH CORP .................................... 1,421
18,000 o TRANSKARYOTIC THERAPIES, INC .................. 594
71,300 o TRIANGLE PHARMACEUTICALS, INC ................. 1,283
135,700 o TWINLAB CORP .................................. 1,166
172,128 o U.S. BIOSCIENCE, INC .......................... 1,678
72,900 o U.S.A. DETERGENTS, INC ........................ 442
2,308,000 UBE INDUSTRIES LTD ............................ 4,977
229,693 UCB S.A. ...................................... 9,831
398,038 UNION CARBIDE CORP ............................ 19,404
150,000 []o UNITED THERAPEUTICS CORP ...................... 1,781
78,300 VALSPAR CORP .................................. 2,975
12,000 o VERTEX PHARMACEUTICALS, INC ................... 290
106,500 o VICAL, INC .................................... 1,291
19,400 o VIROPHARMA, INC ............................... 149
5,172,592 WARNER-LAMBERT CO ............................. 358,849
352,005 o WATSON PHARMACEUTICALS, INC ................... 12,342
75,200 WELLMAN, INC .................................. 1,199
303,864 [] WESFARMERS LTD ................................ 2,735
83,387 WEST PHARMACEUTICAL SERVICES .................. 3,273
8,309 WITCO CORP .................................... 166
50,203 []o XOMA LTD ...................................... 304
1,550,849 [] YAMANOUCHI PHARMACEUTICAL CO LTD .............. 59,323
237,100 o ZILA, INC ..................................... 719
11,692 o ZODIAC S.A. ................................... 2,551
62,900 []o ZONAGEN, INC .................................. 582
------------
14,033,978
-------------
COAL MINING--0.00%
160,966 ARCH COAL, INC ................................ 2,233
2,156 HULLAS DEL COTO CORTES S.A. ................... 31
593,000 WANKIE COLLIERY CO LTD ........................ 39
------------
2,303
------------
COMMUNICATIONS--13.62%
135,000 []o @ENTERTAINMENT, INC ........................... 2,531
294,826 []o ADELPHIA COMMUNICATIONS CORP
(CLASS A) .................................... 18,758
17,900 []o AERIAL COMMUNICATIONS, INC .................... 242
462,635 [] ALCATEL ....................................... 65,126
1,110 o ALCATEL S.A. ADR .............................. 31
438,000 ALIANT COMMUNICATIONS, INC .................... 20,230
1,507,843 ALLTEL CORP ................................... 107,811
202,300 o AMERICAN MOBILE SATELLITE CORP ................ 3,313
12,757,753 AMERITECH CORP ................................ 937,695
230 #o ANTENA 3 DE TELEVISION GDS .................... 5,913
20,200 []o ARCH COMMUNICATIONS GROUP, INC ................ 172
392,466 o ASCENT ENTERTAINMENT GROUP, INC ............... 5,544
7,607 o ASSOCIATED GROUP, INC (CLASS A) ............... 495
437,300 o ASSOCIATED GROUP, INC (CLASS B) ............... 28,506
39,618,901 AT & T CORP ................................... 2,211,230
7,088,112 o AT & T CORP-LIBERTY MEDIA GROUP
(CLASS A) .................................... 260,488
1,610,442 BCE, INC ...................................... 78,069
307,803 BCT TELUS COMMUNICATIONS, INC ................. 7,362
204,801 BCT TELUS COMMUNICATIONS, INC
(NON-VOTE) ................................... 4,822
12,862,014 BELL ATLANTIC CORP ............................ 840,854
13,294,432 BELLSOUTH CORP ................................ 623,177
73,855 BHC COMMUNICATIONS, INC (CLASS A) ............. 9,601
3,421,482 BRITISH SKY BROADCASTING GROUP PLC ............ 31,739
20,030,693 o BRITISH TELECOMMUNICATIONS PLC ................ 335,636
4,820,337 o CABLE & WIRELESS COMMUNICATIONS PLC ........... 46,350
4,751,679 CABLE & WIRELESS PLC .......................... 60,557
1,001,600 []o CABLEVISION SYSTEMS CORP (CLASS A) ............ 70,112
40,874 o CANAL PLUS S.A. ............................... 11,470
193,300 o CAPSTAR BROADCASTING CORP (CLASS A) ........... 5,292
95,212 CARLTON COMMUNICATIONS PLC .................... 789
11,036,495 o CBS CORP ...................................... 479,398
223,197 []o CD RADIO, INC ................................. 6,801
180,383 o CELLULAR COMMUNICATIONS OF
PUERTO RICO ................................... 5,141
114,900 o CENTURY COMMUNICATIONS CORP
(CLASS A) .................................... 5,285
1,174,950 CENTURYTEL, INC ............................... 46,704
47,000 CFW COMMUNICATIONS CO ......................... 1,140
3,350,826 o CHANCELLOR MEDIA CORP (CLASS A) ............... 184,714
10,932 o CHRIS CRAFT INDUSTRIES, INC ................... 515
1,218,200 CIA DE TELECOMMUNICACIONES CHILE ADR .......... 30,150
1,556,779 CINCINNATI BELL, INC .......................... 38,822
3,472,675 o CLEAR CHANNEL COMMUNICATIONS, INC ............. 239,398
246,200 o COLT TELECOM GROUP PLC ........................ 5,165
97,800 o COM21, INC .................................... 1,669
687,600 COMCAST CORP (CLASS A) ........................ 24,625
3,726,388 COMCAST CORP (CLASS A) SPECIAL ................ 143,233
69,833 o COMMONWEALTH TELEPHONE ENTERPRISES ............ 2,824
271,900 o CONCENTRIC NETWORK CORP ....................... 10,808
77,983 o CORECOMM LTD .................................. 3,763
670,378 o COX COMMUNICATIONS, INC (CLASS A) ............. 24,678
75,700 o COX RADIO, INC (CLASS A) ...................... 4,107
5,667,710 [] DEUTSCHE TELEKOM AG. .......................... 237,896
227,466 o DIMENSION DATA HOLDINGS LTD ................... 1,006
154,500 o E.SPIRE COMMUNICATIONS, INC ................... 1,632
84,600 o ELECTRIC LIGHTWAVE, INC (CLASS A) ............. 1,100
19,200 o EMMIS COMMUNICATIONS (CLASS A) ................ 948
437,000 o ENERGIS PLC ................................... 10,422
6,668,117 ERICSSON TELEFON (LM) AB SERIES B ............. 213,722
169,500 o EXODUS COMMUNICATIONS, INC .................... 20,329
2,479,176 FRANCE TELECOM S.A. ........................... 187,284
1,236,196 FRONTIER CORP ................................. 72,936
554,000 [] FUJIKURA LTD .................................. 2,645
24,506 GAYLORD ENTERTAINMENT CO ...................... 735
150,100 o GENERAL COMMUNICATIONS (CLASS A) .............. 1,020
898,900 []o GLOBAL TELESYSTEMS GROUP, INC ................. 72,811
51,550 [] GN STORE NORD AS-GN GREAT NORDIC .............. 1,742
1,500 GRAY COMMUNICATIONS SYSTEMS, INC .............. 30
6,786,262 GTE CORP ...................................... 514,059
433,563 o HEARST-ARGYLE TELEVISION, INC ................. 10,406
107,100 o HIGHWAYMASTER COMMUNICATIONS, INC ............. 164
142,400 o HISPANIC BROADCASTING CORP .................... 10,805
25,836,910 HONG KONG TELECOMMUNICATIONS LTD .............. 67,099
400,000 o HYPERION TELECOMMUNICATIONS, INC
(CLASS A) .................................... 7,525
1,000,825 o ICG COMMUNICATIONS, INC ....................... 21,393
114,500 o IDT CORP ...................................... 2,548
105,289 []o INTERMEDIA COMMUNICATIONS, INC ................ 3,159
20 See notes to financial statements.
<PAGE>
VALUE
SHARES (000)
---------- ---------
COMMUNICATIONS--(CONTINUED)
90,700 o ITC DELTACOM, INC ............................. $ 2,540
298,400 []o IXC COMMUNICATIONS, INC ....................... 11,731
214,700 o JACOR COMMUNICATIONS, INC WTS 09/18/01 ........ 2,362
72,300 o JONES INTERCABLE, INC (CLASS A) ............... 3,543
924,518 KONINKLIJKE KPN NV ............................ 43,382
7,000 o LCC INTERNATIONAL, INC (CLASS A) .............. 32
130,367 []o LEAP WIRELESS INTERNATIONAL, INC .............. 2,640
1,923,508 o LEVEL 3 COMMUNICATIONS, INC ................... 115,531
4,900 o LIGHTBRIDGE, INC .............................. 62
600 o LORAL SPACE & COMMUNICATIONS LTD .............. 11
27,107,582 LUCENT TECHNOLOGIES, INC ...................... 1,828,068
350,000 o MAHANAGAR TELEPHONE NIGAM LTD GDR ............. 3,465
20,952,131 o MCI WORLDCOM, INC ............................. 1,803,193
40,600 o MCLEODUSA, INC (CLASS A) ...................... 2,233
4,291,878 o MEDIA ONE GROUP, INC .......................... 319,208
1,760,530 [] MEDIASET S.P.A. ............................... 15,651
30,300 o METROCALL, INC ................................ 83
60,600 []o METROMEDIA FIBER NETWORK (CLASS A) ............ 2,178
22,500 o MGC COMMUNICATIONS, INC ....................... 585
3,123 o MILLICOM INTERNATIONAL CELLULAR S.A. .......... 98
1,000 o MITEL CORP .................................... 7
150,200 o NETCOM AB SERIES B ............................ 5,053
669,300 []o NEXTEL COMMUNICATIONS, INC (CLASS A) .......... 33,590
153,800 []o NEXTLINK COMMUNICATIONS, INC .................. 11,439
265,000 [] NIPPON COMSYS CORP ............................ 4,302
38,694 NIPPON TELEGRAPH & TELEPHONE CORP ............. 450,746
65,920 NIPPON TELEVISION NETWORK CORP ................ 27,231
700 NORTH PITTSBURGH SYSTEMS, INC ................. 12
457,622 o NTL, INC ...................................... 39,441
512 [] NTT MOBILE COMMUNICATIONS ..................... 6,937
2,048 o NTT MOBILE COMMUNICATIONS (NEW) ............... 27,410
6,544,400 []o OLIVETTI GROUP S.P.A. ......................... 15,726
4,484,400 []o OLIVETTI GROUP S.P.A. RTS ..................... 604
1,459,000 []o OMNIPOINT CORP ................................ 42,220
43,500 o PACIFIC GATEWAY EXCHANGE, INC ................. 1,267
116,400 o PAGEMART WIRELESS, INC (CLASS A) .............. 880
1,672,300 o PAGING NETWORK, INC ........................... 8,048
13,542 o PANAMSAT CORP ................................. 527
46,900 o PAXSON COMMUNICATIONS CORP .................... 633
7,000 o PEGASUS COMMUNICATIONS CORP ................... 276
16,300 o PERPHONICS CORP ............................... 267
94,400 o PLD TELEKOM, INC .............................. 295
278,695 PORTUGAL TELECOM S.A. ......................... 11,339
260,995 o PORTUGAL TELECOM S.A. RTS ..................... 3
186,300 o POWERTEL, INC ................................. 5,566
451,616 o PREMIERE TECHNOLOGIES, INC .................... 5,194
937,500 o PRICE COMMUNICATIONS CORP ..................... 14,063
137,300 o PRIMUS TELECOMMUNICATIONS GROUP, INC .......... 3,081
1,058,648 o QWEST COMMUNICATIONS
INTERNATIONAL, INC .......................... 35,002
735,600 o RCN CORP ...................................... 30,619
232,900 o ROGERS COMMUNICATIONS, INC (CLASS B) .......... 3,721
125,000 o RSL COMMUNICATIONS LTD (CLASS A) .............. 2,414
23,584,004 SBC COMMUNICATIONS, INC ....................... 1,367,872
11,478,200 o SINGAPORE TELECOMMUNICATIONS LTD .............. 19,687
587,600 o SKYTEL COMMUNICATIONS, INC .................... 12,303
93,200 []o SMARTALK TELESERVICES, INC .................... 7
1,288,059 SONERA GROUP OYJ .............................. 28,162
4,381,902 SPRINT CORP (FON GROUP) ....................... 231,419
1,722,450 o SPRINT CORP (PCS GROUP) ....................... 98,395
91,415 o STAR TELECOMMUNICATIONS, INC .................. 714
193,600 SWISSCOM AG. (REGD) ........................... 72,852
224,700 o TALK.COM, INC ................................. 2,528
595,600 TCA CABLE TV, INC ............................. 33,056
1,332,349 o TCI SATELLITE ENTERTAINMENT (CLASS A) ......... 3,914
594,000 o TECHNOLOGY RESOURCES
INDUSTRIES BERHAD ............................. 436
5,230,000 o TELEBRAS S.A. ................................. 0
5,230,000 o TELECENTRO-SUL PARTICIPACOES S.A. ............. 28
5,230,000 TELECENTROESTE CELULAR PARTICIPACOES S.A. ..... 5
446,000 o TELECOM ARGENTINA S.A. (CLASS B) .............. 2,453
5,158,460 [] TELECOM CORP OF NEW ZEALAND ................... 22,141
10,788,781 []o TELECOM ITALIA ................................ 112,155
22,093,296 TELECOM ITALIA MOBILE S.P.A. .................. 124,586
1,726,386 []o TELECOM ITALIA RISP ........................... 9,365
402,000 o TELE DANMARK AS ............................... 19,787
1,191,441 o TELEFONICA DE ARGENTINA S.A. (CLASS B) ........ 3,694
2,834,921 []o TELEFONICA DE ESPANA S.A. ..................... 136,564
217,000 o TELEFONICA PUBLICIDAD E INFORMACION ........... 4,330
1,096,500 TELEFONOS DE MEXICO S.A. SERIES L ............. 4,410
130,827 TELEGLOBE, INC (U.S.A.) ....................... 3,892
108,700 xo TELEGROUP, INC ................................ 1
2,536,500 TELEKOM MALAYSIA BERHAD ....................... 8,535
5,230,000 TELENORTE-LESTE PARTICIPACOES S.A. ............ 48
12,558 TELEPHONE & DATA SYSTEMS, INC ................. 918
5,230,000 TELESP CELULAR PARTICIPACOES S.A. ............. 28
5,230,000 TELESP PARTICIPACOES S.A. ..................... 67
5,230,000 TELESUDESTE CELULAR PARTICIPACOES S.A. ........ 14
5,230,000 TELESUL CELULAR PARTICIPACOES S.A. ............ 8
1,066,700 TELEVISION BROADCASTS LTD ..................... 5,004
28,900 []o TELIGENT, INC ................................. 1,729
7,955,606 TELSTRA CORP .................................. 45,586
87,000 TOKYO BROADCASTING SYSTEMS, INC ............... 1,258
51,600 o TRANSACTION NETWORK SERVICES, INC ............. 1,509
232,600 o TV GUIDE, INC ................................. 8,519
2,221 o U.S. CELLULAR CORP ............................ 119
72,800 o U.S. LEC CORP (CLASS A) ....................... 1,638
269,400 o U.S. SATELLITE BROADCASTING, INC
(CLASS A) ................................... 4,917
3,736,467 U.S. WEST, INC ................................ 219,517
526,817 o U.S.A. NETWORKS, INC .......................... 21,139
144,600 []o UNITED INTERNATIONAL HOLDINGS, INC ............ 9,779
221,300 UNITED TELEVISION, INC ........................ 23,209
217,635 o UNIVISION COMMUNICATIONS, INC ................. 14,364
64,500 []xo USN COMMUNICATIONS, INC ....................... 1
884,974 o VIACOM, INC (CLASS A) ......................... 39,049
2,167,709 o VIACOM, INC (CLASS B) ......................... 95,379
147,686 o VIACOM, INC (CLASS B) WTS 07/07/99 ............ 2,732
873,700 o VIATEL, INC ................................... 49,036
5,569,100 o VIDESH SANCHAR NIGAM LTD (SPONS GDR) .......... 71,354
8,979,080 VODAFONE GROUP PLC ............................ 176,922
2,361,004 o VODAFONE GROUP PLC ADR ........................ 465,118
623,000 []o VOICESTREAM WIRELESS CORP ..................... 17,717
123,600 o WAVO CORP ..................................... 788
633,100 o WESTERN WIRELESS CORP (CLASS A) ............... 17,094
293,600 []o WINSTAR COMMUNICATIONS, INC ................... 14,313
59,400 o YOUNG BROADCASTING, INC (CLASS A) ............. 2,528
------------
17,095,472
------------
DEPOSITORY INSTITUTIONS--9.06%
3,001,051 ABBEY NATIONAL PLC ............................ 56,341
3,800,316 ABN-AMRO HOLDINGS NV .......................... 82,305
193,799 ABSA GROUP LTD ................................ 1,097
5,400 ALABAMA NATIONAL BANCORP ...................... 135
415,095 ALLIED IRISH BANK ............................. 5,457
2,034,300 ALLIED IRISH BANK PLC ......................... 26,749
125,500 AMCORE FINANCIAL, INC ......................... 2,894
525,000 o AMMB HOLDINGS BERHAD .......................... 1,207
1,154,257 AMSOUTH BANCORP ............................... 26,764
571,900 ANCHOR BANCORP WISCONSIN, INC ................. 10,187
400 ANDOVER BANCORP, INC .......................... 13
11,600 AREA BANCSHARES CORP .......................... 315
2,753,200 [] ARGENTARIA, CAJA POSTAL Y BCO HIPOTECA ........ 62,722
4,484,486 ASAHI BANK LTD ................................ 21,489
943,000 [] ASHIKAGA BANK LTD ............................. 1,839
1,151,516 ASSOCIATED BANC-CORP .......................... 47,788
1,138,055 ASTORIA FINANCIAL CORP ........................ 50,003
1,653,808 AUSTRALIAN & NEW ZEALAND BANKING
GROUP LTD ................................... 12,161
See notes to financial statements. 21
<PAGE>
VALUE
SHARES (000)
---------- ---------
DEPOSITORY INSTITUTIONS--(CONTINUED)
4,592,490 [] BANCA COMMERCIALE ITALIANA S.P.A. ............. $ 33,533
4,870,938 [] BANCA INTESA S.P.A. ........................... 23,409
9,137,220 BANCA INTESA S.P.A. RISP ...................... 20,448
9,375,000 o BANCA NAZIONALE DEL LAVORO .................... 29,489
3,211,900 [] BANCA POPOLARE DI MILANO ...................... 24,810
14 BANCFIRST CORP ................................ 0
5,800 BANCFIRST OHIO CORP ........................... 143
843,540 o BANCO AMBROSIANO VENETO WTS 05/31/02 .......... 896
64,880 o BANCO AMBROSIANO VENETO WTS 05/31/02 RISP...... 30
4,824,300 BANCO BILBAO VIZCAYA S.A. (REGD) .............. 69,704
485,632 BANCO COMERCIAL PORTUGUES S.A. (REGD) ......... 12,586
5,123 o BANCO DE GALICIA BUENOS AIRES ADR ............. 104
252,881 o BANCO DE GALICIA BUENOS AIRES S.A.
SERIES A .................................... 1,297
1,014,687 BANCO ESPIRITO SANTO E COMERCIAL .............. 23,608
99,561 BANCO FRANCES S.A. ............................ 647
690,700 BANCO PINTO & SOTTO MAYOR S.A. ................ 12,266
730,000 BANCO POPULAR ESPANOLA S.A. (REGD) ............ 52,511
8,881,660 [] BANCO SANTANDER CENTRAL HISPANO S.A. .......... 92,513
256,851 BANCORPSOUTH, INC ............................. 4,655
325,200 BANCWEST CORP ................................. 12,073
192,970 BANK AUSTRIA AG. .............................. 10,150
16,960,105 BANK OF AMERICA CORP .......................... 1,243,388
2,059,537 BANK OF EAST ASIA LTD ......................... 5,216
9,200 BANK OF GRANITE CORP .......................... 227
625,000 BANK OF MONTREAL .............................. 22,591
4,933,474 BANK OF NEW YORK CO, INC ...................... 180,997
1,186,844 BANK OF NOVA SCOTIA ........................... 25,660
11,039,830 [] BANK OF TOKYO MITSUBISHI LTD .................. 157,151
2,704,656 BANK OF YOKOHAMA LTD .......................... 6,949
10,940,735 BANK ONE CORP ................................. 651,658
14,100 o BANK PLUS CORP ................................ 76
248,800 BANK UNITED CORP (CLASS A) .................... 9,999
2,850 [] BANKATLANTIC BANCORP, INC (CLASS A) ........... 21
85,800 BANKATLANTIC BANCORP, INC (CLASS B) ........... 697
2,070,500 BANKBOSTON CORP ............................... 105,854
150,000 BANKNORTH GROUP, INC .......................... 4,950
1,000 o BANKUNITED FINANCIAL CORP (CLASS A) ........... 10
601,457 [] BANQUE NATIONALE DE PARIS ..................... 50,119
4,058,492 BARCLAYS PLC .................................. 118,096
935,702 + BAY VIEW CAPITAL CORP ......................... 19,182
1,173,804 [] BAYERISCHE HYPO-UND VEREINSBANK AG. ........... 76,264
1,628,257 BB&T CORP ..................................... 59,737
22,248 o BOK FINANCIAL CORP ............................ 562
687,300 BPI-SGPS S.A. (REGD) .......................... 14,424
309,920 o BPI-SGPS S.A. (REGD) (BABY SHS) ............... 6,401
47,784 BRENTON BANKS, INC ............................ 741
16,200 BSB BANCORP, INC .............................. 437
4,600 BT FINANCIAL CORP ............................. 113
73,900 o CALIFORNIA FEDERAL BANK ....................... 88
134,720 o CALIFORNIA FEDERAL BANK GOODWILL CERT ......... 303
962,857 CANADIAN IMPERIAL BANK OF COMMERCE ............ 22,834
800 CAROLINA FIRST CORP ........................... 20
8,000 CATHAY BANCORP, INC ........................... 340
458,200 CCB FINANCIAL CORP ............................ 24,227
18,920 o CENTENNIAL BANCORP ............................ 261
87,600 xo CENTURA BANKS, INC ............................ 4,938
2,500 CENTURY SOUTH BANKS, INC ...................... 56
11,000 CFSB BANCORP, INC ............................. 271
5,668,477 CHARTER ONE FINANCIAL, INC .................... 157,655
8,405,287 CHASE MANHATTAN CORP .......................... 728,108
4,000 CHEMICAL FINANCIAL CORP ....................... 139
1,278,540 [] CHIBA BANK LTD ................................ 4,722
215,342 CHITTENDEN CORP ............................... 6,729
1,427,900 CHRISTIANIA BANK OG KREDITKASSE ............... 5,133
78,800 CITIZENS BANKING CORP (MICHIGAN) .............. 2,369
6,666 CITY HOLDINGS CO .............................. 193
263,500 CITY NATIONAL CORP ............................ 9,865
70,838 CNB BANCSHARES, INC ........................... 4,038
439,800 COLONIAL BANCGROUP, INC ....................... 6,130
1,592,708 COMERICA, INC ................................. 94,667
855,000 COMMERCE ASSET HOLDINGS BERHAD ................ 1,905
292,291 COMMERCE BANCORP, INC ......................... 12,495
192,708 COMMERCE BANCSHARES, INC ...................... 7,756
22,375 COMMERCIAL FEDERAL CORP ....................... 519
1,000 COMMONWEALTH BANCORP, INC ..................... 18
817,000 COMMONWEALTH BANK OF AUSTRALIA LTD ............ 13,006
48,600 COMMUNITY BANK SYSTEM, INC .................... 1,233
262,600 COMMUNITY FIRST BANKSHARES, INC ............... 6,270
53,210 COMMUNITY TRUST BANCORP, INC .................. 1,244
1,037,300 COMPASS BANCSHARES, INC ....................... 28,266
420,855 o CONCORD EFS, INC .............................. 17,807
31,300 CORUS BANKSHARES, INC ......................... 996
279 [] CREDIT COMMERCIAL DE FRANCE S.A. .............. 30
676,238 CREDIT SUISSE GROUP (REGD) .................... 117,013
1 # CRESTARAN INTERNATIONAL INVESTMENT ............ 0
626,600 CULLEN FROST BANKERS, INC ..................... 17,271
20,795 CVB FINANCIAL CORP ............................ 541
1,017,000 [] DAI-ICHI KANGO BANK LTD ....................... 6,554
169,300 DEN DANSKE BANK AF 1871 ....................... 18,361
2,530,000 DEN NORSKE BANK ASA ........................... 8,356
1,453,888 DEUTSCHE BANK AG. ............................. 88,689
1,458,325 DEVELOPMENT BANK OF SINGAPORE LTD (FR) ........ 17,817
1,484,200 DIME BANCORP, INC ............................. 29,870
124,700 DIME COMMUNITY BANCORP, INC ................... 2,899
61,495 DOWNEY FINANCIAL CORP ......................... 1,349
1,122,260 DRESDNER BANK AG. ............................. 43,865
20,000 EAST WEST BANCORP, INC ........................ 201
15,300 F & M BANCORP, INC (MARYLAND) ................. 514
32,020 F & M BANCORP, INC (WISCONSIN) ................ 1,209
88,600 F & M NATIONAL CORP ........................... 2,940
26,439 F.N.B. CORP ................................... 714
3,000 FARMERS CAPITAL BANK CORP ..................... 107
1,157,528 FIFTH THIRD BANCORP ........................... 77,048
433,639 FIRST AMERICAN CORP ........................... 18,023
157,700 FIRST BANCORP (PUERTO RICO) ................... 3,558
11,200 FIRST CHARTER CORP ............................ 277
20,500 FIRST CITIZENS BANCSHARES, INC (CLASS A) ...... 1,655
500 FIRST COMMERCE BANCSHARES, INC ................ 12
84,171 FIRST COMMONWEALTH FINANCIAL CORP ............. 2,010
48,000 FIRST FEDERAL CAPITAL CORP .................... 708
74,580 o FIRST FINANCIAL BANCORP ....................... 1,687
920 FIRST FINANCIAL BANKSHARES, INC ............... 29
2,800 FIRST FINANCIAL CORP (INDIANA) ................ 106
17,400 FIRST FINANCIAL HOLDINGS, INC ................. 326
29,100 FIRST INDIANA CORP ............................ 622
26,100 FIRST LIBERTY FINANCIAL CORP .................. 819
12,450 FIRST MERCHANTS CORP .......................... 296
370,005 FIRST MIDWEST BANCORP, INC .................... 14,708
59,500 o FIRST REPUBLIC BANK ........................... 1,722
1,513,568 FIRST SECURITY CORP ........................... 41,245
1,700 FIRST SENTINEL BANCORP, INC ................... 15
11,770 FIRST SOURCE CORP ............................. 377
852,747 FIRST TENNESSEE NATIONAL CORP ................. 32,671
6,118,268 FIRST UNION CORP .............................. 287,559
44,800 FIRST UNITED BANCSHARES, INC .................. 834
403,425 FIRST VIRGINIA BANKS, INC ..................... 19,818
41,960 FIRST WASHINGTON BANCORP, INC ................. 842
43,004 FIRST WESTERN BANCORP, INC .................... 1,441
4,738,261 FIRSTAR CORP .................................. 132,671
325,100 o FIRSTFED FINANCIAL CORP ....................... 6,258
423,620 FIRSTMERIT CORP ............................... 11,888
65,600 FLAGSTAR BANCORP, INC ......................... 1,656
8,850,746 FLEET FINANCIAL GROUP, INC .................... 392,752
1,581,500 FORENINGSSPARBANKEN AB ........................ 22,322
400 FRONTIER FINANCIAL CORP ....................... 10
3,362,334 [] FUJI BANK LTD ................................. 23,445
226,675 FULTON FINANCIAL CORP ......................... 4,689
99,600 GBC BANCORP ................................... 2,017
22 See notes to financial statements.
<PAGE>
VALUE
SHARES (000)
---------- ---------
DEPOSITORY INSTITUTIONS--(CONTINUED)
88,000 o GOLD ZACK AG. ................................. $ 13,931
2,178,239 o GOLDEN STATE BANCORP, INC ..................... 47,921
731,200 o GOLDEN STATE BANCORP, INC WTS 01/01/01 ........ 960
504,300 GOLDEN WEST FINANCIAL CORP .................... 49,421
34,540 GRAND PREMIER FINANCIAL, INC .................. 427
100 GREATER BAY BANCORP ........................... 3
588,538 GREENPOINT FINANCIAL CORP ..................... 19,311
906,000 [] GUNMA BANK LTD ................................ 5,689
29,500 o HAMILTON BANCORP, INC ......................... 708
26,000 HANCOCK HOLDINGS CO ........................... 1,167
2,870,259 HANG SENG BANK LTD ............................ 32,092
6,009 HARBOR FLORIDA BANCSHARES, INC ................ 74
5,700 HARLEYSVILLE NATIONAL CORP .................... 204
3,800 HARRIS FINANCIAL, INC ......................... 41
1,022,651 HIBERNIA CORP (CLASS A) ....................... 16,043
497,000 HIGO FAMILY BANK LTD .......................... 2,033
1,729,000 HOKURIKU BANK LTD ............................. 3,428
475,566 HSBC HOLDINGS LTD (U.K.) ...................... 16,844
2,656,620 HSBC HOLDINGS PLC ............................. 94,054
1,329,969 o HSBC HOLDINGS PLC (H.K.) ...................... 48,510
536,157 HUDSON UNITED BANCORP ......................... 16,420
1,234,896 HUNTINGTON BANCSHARES, INC .................... 43,221
1,440,253 o IMPERIAL BANCORP .............................. 28,535
95,100 INDEPENDENCE COMMUNITY BANK CORP .............. 1,284
41,400 INDEPENDENT BANK CORP ......................... 652
6,744,223 [] INDUSTRIAL BANK OF JAPAN LTD .................. 53,490
46,950 INTERNATIONAL BANCSHARES CORP ................. 1,987
30,950 INTERWEST BANCORP, INC ........................ 774
25,400 INVESTEC GROUP LTD ............................ 1,065
30,000 RWIN FINANCIAL CORP ........................... 585
700 JEFFBANKS, INC ................................ 20
6,500 JEFFERSON SAVINGS BANCORP, INC ................ 90
1,495,305 JOYO BANK ..................................... 5,819
26,146 SB FINANCIAL, INC ............................. 1,330
766,170 KBC BANCASSURANCE HOLDINGS NV ................. 45,434
4,699,340 KEYCORP ....................................... 150,966
127,832 KEYSTONE FINANCIAL, INC ....................... 3,779
12,964,455 LLOYDS TSB GROUP PLC .......................... 175,748
87,130 o LOCAL FINANCIAL CORP .......................... 871
35,517 M & T BANK CORP ............................... 19,534
286,600 MAF BANCORP, INC .............................. 6,950
4,000 MAHONING NATIONAL BANCORP, INC ................ 175
1,760,200 MALAYAN BANKING BERHAD ........................ 4,755
547,058 MARSHALL & ILSLEY CORP ........................ 35,217
4,954,914 MBNA CORP ..................................... 151,744
4,008,572 MELLON BANK CORP .............................. 145,812
1,164,260 MERCANTILE BANCORP, INC ....................... 66,508
359,839 MERCANTILE BANKSHARES CORP .................... 12,729
2,600 MERCHANTS NEW YORK BANCORP, INC ............... 87
2,599,265 MERITA LTD .................................... 14,770
30,242 MID-AMERICA BANCORP ........................... 745
10,300 MISSISSIPPI VALLEY BANCSHARES ................. 341
2,332,000 MITSUBISHI TRUST & BANKING CORP ............... 22,657
1,291,000 MITSUI TRUST & BANKING CO LTD ................. 2,059
1,342,869 MORGAN (J.P.) & CO, INC ....................... 188,673
4,586,852 NATIONAL AUSTRALIA BANK LTD ................... 75,901
50,400 NATIONAL BANCORP OF ALASKA, INC ............... 1,336
501,484 NATIONAL BANK OF CANADA ....................... 6,539
9,500 NATIONAL CITY BANCORP ......................... 198
27,930 NATIONAL CITY BANCSHARES, INC ................. 892
2,413,583 NATIONAL CITY CORP ............................ 158,090
13,000 NATIONAL COMMERCE BANCORP ..................... 284
2,300 NATIONAL PENN BANCSHARES, INC ................. 54
88,190 o NATIONAL PROCESSING, INC ...................... 893
2,080,000 NATIONAL WESTMINSTER BANK PLC ................. 44,099
26,914 NBT BANCORP, INC .............................. 552
71,343 [] NEDCOR LTD .................................... 1,608
1,980,520 NORTH FORK BANCORP, INC ....................... 42,210
1,364,343 NORTHERN TRUST CORP ........................... 132,341
24,900 NORTHWEST BANCORP, INC ........................ 249
46,500 OCEAN FINANCIAL CORP .......................... 843
303,913 o OCWEN ASSET INVESTMENT ........................ 1,368
59,100 o OCWEN FINANCIAL CORP .......................... 525
797,848 OLD KENT FINANCIAL CORP ....................... 33,410
165,135 OLD NATIONAL BANCORP .......................... 4,964
3,200 OMEGA FINANCIAL CORP .......................... 111
192,150 ONE VALLEY BANCORP, INC ....................... 7,206
25,466 ORIENTAL FINANCIAL GROUP ...................... 614
2,004,838 OVERSEAS-CHINESE BANKING CORP LTD (FR) ........ 16,722
67,500 PACIFIC CAPITAL BANCORP ....................... 2,126
1,243,200 PACIFIC CENTURY FINANCIAL CORP ................ 26,807
700,000 o PACIFIC CENTURY INSURANCE ..................... 567
399,686 PARIBAS S.A. .................................. 44,806
9,464 PARK NATIONAL CORP ............................ 946
21,906 PEOPLES BANCORP, INC .......................... 218
1,150 PEOPLES BANK OF BRIDGEPORT CO ................. 35
855,086 PEOPLES HERITAGE FINANCIAL GROUP, INC ......... 16,086
8,400 PEOPLES HOLDINGS CO ........................... 273
80,000 o PFF BANCORP, INC .............................. 1,500
2,600 PINNACLE BANC GROUP, INC ...................... 83
2,439,139 PNC BANK CORP ................................. 140,555
899,673 POPULAR, INC .................................. 27,271
1,000 PREMIER BANCSHARES, INC ....................... 18
6,100 PRIME BANCORP, INC ............................ 169
20,100 PRIME BANCSHARES, INC ......................... 359
491,169 PROVIDENT BANKSHARES CORP ..................... 11,420
165,100 PROVIDENT FINANCIAL GROUP ..................... 7,223
1,092,848 PROVIDIAN FINANCIAL CORP ...................... 102,181
1,971,424 PUBLIC BANK BERHAD (FR) ....................... 1,859
972,532 PUBLIC BANK BERHAD (LR) ....................... 666
17,900 QUEENS COUNTY BANCORP, INC .................... 580
1,484,190 REGIONS FINANCIAL CORP ........................ 57,049
1,300 RELIANCE BANCORP, INC ......................... 36
650,974 REPUBLIC BANCORP, INC ......................... 9,887
2,000 o REPUBLIC BANCSHARES, INC ...................... 41
2,000 REPUBLIC BANKING CORP OF FLORIDA .............. 39
1,055,650 REPUBLIC NEW YORK CORP ........................ 71,982
9,974 REPUBLIC SECURITY FINANCIAL CORP .............. 84
1,280,000 o RHB CAPITAL BERHAD ............................ 1,486
88,900 RICHMOND COUNTY FINANCIAL CORP ................ 1,711
106,500 RIGGS NATIONAL CORP ........................... 2,190
519,590 ROSLYN BANCORP, INC ........................... 8,930
700,605 ROYAL BANK OF CANADA .......................... 30,768
2,472,148 ROYAL BANK OF SCOTLAND PLC .................... 50,347
75,400 S & T BANCORP, INC ............................ 1,904
7,222,000 [] SAKURA BANK LTD ............................... 27,387
7,605,496 [] SAN PAOLO-IMI S.P.A. .......................... 103,535
8,700 SANDY SPRING BANCORP, INC ..................... 241
765 SANWA BANK LTD ................................ 8
639,000 [] SEVENTY-SEVEN (77) BANK LTD ................... 5,596
1,547,000 SHIZUOKA BANK LTD ............................. 15,414
4,100 SHORELINE FINANCIAL CORP ...................... 123
230,300 o SILICON VALLEY BANCSHARES ..................... 5,700
6,000 SIMMONS FIRST NATIONAL CORP (CLASS A) ......... 193
1,533,870 SKANDINAVISKA ENSKILDA BANKEN SERIES A ........ 17,861
121,203 SKY FINANCIAL GROUP, INC ...................... 3,303
367,564 [] SOCIETE GENERALE S.A. ......................... 64,783
1,640,815 SOUTHTRUST CORP ............................... 62,966
30,500 o SOUTHWEST BANCORP OF TEXAS, INC ............... 549
993,872 SOVEREIGN BANCORP, INC ........................ 12,051
300,000 SPAREBANKEN NOR-CAP ........................... 5,602
281,200 ST. FRANCIS CAPITAL CORP ...................... 6,046
871,744 [] ST. GEORGE BANK LTD ........................... 6,051
273,637 ST. PAUL BANCORP, INC ......................... 6,978
985,100 STATE STREET CORP ............................. 84,103
62,900 STATEN ISLAND BANCORP, INC .................... 1,132
15,226 STERLING BANCORP .............................. 289
24,800 STERLING BANCSHARES, INC ...................... 332
5,804,550 [] SUMITOMO BANK LTD ............................. 71,981
See notes to financial statements. 23
<PAGE>
VALUE
SHARES (000)
---------- ---------
DEPOSITORY INSTITUTIONS--(CONTINUED)
1,584,359 SUMMIT BANCORP ................................ $ 66,246
348,307 o SUNCORP-METWAY LTD ............................ 2,075
1,799,986 SUNTRUST BANKS, INC ........................... 124,987
86,950 SUSQUEHANNA BANCSHARES, INC ................... 1,538
1,760,400 SVENSKA HANDELSBANKEN SERIES A ................ 21,120
661,500 SVENSKA HANDELSBANKEN SERIES B FREE ........... 7,314
3,730 o SWISS BANK CORP WTS 06/30/00 (REGD) ........... 62
818,994 SYNOVUS FINANCIAL CORP ........................ 16,278
881,600 TCF FINANCIAL CORP ............................ 24,575
89,600 TEXAS REGIONAL BANCSHARES, INC
(CLASS A) ................................... 2,436
3,453,609 [] TOKAI BANK LTD ................................ 19,688
25,100 TORONTO DOMINION BANK ......................... 1,132
88,800 TRIANGLE BANCORP, INC ......................... 1,504
45,300 TRUST CO OF NEW JERSEY ........................ 1,065
66,735 TRUSTCO BANK CORP ............................. 1,794
135,302 TRUSTMARK CORP ................................ 3,095
4,489,310 U.S. BANCORP .................................. 152,637
197,469 U.S. TRUST CORP ............................... 18,266
7,515 U.S.B. HOLDINGS CO, INC ....................... 115
841,577 UBS AG. (REGD) ................................ 251,185
41,365 UMB FINANCIAL CORP ............................ 1,774
12,410,460 UNCREDITO ITALIANO S.P.A. ..................... 54,523
220,600 UNI BANKDANMARK AS (CLASS A) .................. 14,723
1,835,502 UNION PLANTERS CORP ........................... 82,024
500,900 UNIONBANCAL CORP .............................. 18,095
50,700 UNITED BANKSHARES, INC ........................ 1,344
6,040 UNITED NATIONAL BANCORP ....................... 143
6,802,890 UNITED OVERSEAS BANK LTD (FR) ................. 47,550
61,700 USBANCORP, INC ................................ 972
1,347,059 UST CORP ...................................... 40,749
339,751 VALLEY NATIONAL BANCORP ....................... 9,768
1,157,212 WACHOVIA CORP ................................. 99,014
821,900 WASHINGTON FEDERAL, INC ....................... 18,441
3,971,148 WASHINGTON MUTUAL, INC ........................ 140,479
1,000 WASHINGTON TRUST BANCORP, INC ................. 18
311,584 WEBSTER FINANCIAL CORP ........................ 8,452
13,606,416 WELLS FARGO CO ................................ 581,674
32,300 WESBANCO, INC ................................. 969
54,990 WEST COAST BANCORP (OREGON) ................... 962
153,000 WESTAMERICA BANCORP ........................... 5,585
10,700 WESTCORP ...................................... 120
63,200 WESTERN BANCORP ............................... 2,749
63,700 WESTERNBANK PUERTO RICO ....................... 832
7,474,742 [] WESTPAC BANKING CORP .......................... 48,486
155,250 WHITNEY HOLDINGS CORP ......................... 6,171
168,500 WILMINGTON TRUST CORP ......................... 9,668
431,002 WING LUNG BANK LTD ............................ 1,678
5,200 WSFS FINANCIAL CORP ........................... 76
473,000 YAMAGUCHI BANK LTD ............................ 4,279
117,000 o YASUDA TRUST & BANKING CO LTD ................. 146
148,000 ZIONS BANCORP ................................. 9,398
-------------
11,365,971
-------------
EATING AND DRINKING PLACES--0.60%
27,700 o ADVANTICA RESTAURANT GROUP, INC ............... 95
434,457 o APPLEBEES INTERNATIONAL, INC .................. 13,088
294,200 AVADO BRANDS, INC ............................. 2,464
627,682 BOB EVANS FARMS, INC .......................... 12,475
11,800 []xo BOSTON CHICKEN, INC ........................... 8
842,893 o BRINKER INTERNATIONAL, INC .................... 22,916
598,250 o BUFFETS, INC .................................. 6,880
36,625 CBRL GROUP, INC ............................... 634
385,700 o CEC ENTERTAINMENT, INC ........................ 16,296
306,564 CKE RESTAURANTS, INC .......................... 4,982
2,055,069 COMPASS GROUP PLC ............................. 20,376
32,306 o CONSOLIDATED PRODUCTS, INC .................... 582
1,863,400 DARDEN RESTAURANTS, INC ....................... 40,645
31,350 o DAVE & BUSTERS, INC ........................... 909
2,800 []o EINSTEIN/NOAH BAGEL CORP ...................... 3
686,665 o FOODMAKER, INC ................................ 19,484
200,384 FRISCHS RESTAURANTS, INC ...................... 2,079
1,045,889 HOST MARRIOTT CORP (NEW) ...................... 12,420
4,780 o HOST MARRIOTT SERVICES CORP ................... 39
152,000 o IHOP CORP (NEW) ............................... 3,658
591,000 o KENTUCKY FRIED CHICKEN BERHAD ................. 681
82,200 o LANDRYS SEAFOOD RESTAURANTS, INC .............. 658
276,419 o LONE STAR STEAKHOUSE & SALOON, INC ............ 2,686
280,691 LUBYS, INC .................................... 4,210
988,500 MARRIOTT INTERNATIONAL (CLASS A) .............. 36,945
8,495,307 MCDONALD'S CORP ............................... 350,962
8,927 o MELCO INTERNATIONAL DEVELOPMENT LTD ........... 1
1,530 MOEVENPICK HOLDINGS (BR) ...................... 661
276 MORRISON HEALTH CARE, INC ..................... 7
112,700 o NPC INTERNATIONAL, INC ........................ 1,733
232,700 o OUTBACK STEAKHOUSE, INC ....................... 9,148
178,000 OVERSEAS UNION ENTERPRISES LTD ................ 565
169,200 o PAPA JOHNS INTERNATIONAL, INC ................. 7,561
426,185 PICCADILLY CAFETERIAS, INC .................... 3,543
2,900 o PJ AMERICA, INC ............................... 61
598,007 []o PLANET HOLLYWOOD, INC (CLASS A) ............... 411
70,050 o RAINFOREST CAFE, INC .......................... 355
600 o RARE HOSPITALITY INTERNATIONAL, INC ........... 15
2,000 ROYAL CO LTD .................................. 28
400,534 RUBY TUESDAY, INC ............................. 7,610
295,350 o RYANS FAMILY STEAK HOUSES, INC ................ 3,433
112,775 o SBARRO, INC ................................... 3,052
7,878 o SHONEYS, INC .................................. 17
230,924 xo SIZZLER INTERNATIONAL, INC .................... 520
292,000 [] SKYLARK CO LTD ................................ 6,272
95,901 SODEXHO ALLIANCE S.A. ......................... 16,517
101,651 o SODEXHO MARRIOTT SERVICES, INC ................ 1,950
322,475 o SONIC CORP .................................... 10,521
791,100 o TELEPIZZA S.A. ................................ 4,096
26,650 o THE CHEESECAKE FACTORY CO ..................... 813
1,107,000 +o TPI ENTERPRISES, INC .......................... 14
1,145,771 o TRICON GLOBAL RESTAURANTS, INC ................ 62,015
142,648 o U.S. FOODSERVICE, INC ......................... 6,080
12,200 VALORA HOLDINGS AG. (REGD) .................... 2,809
571,000 VIAD CORP ..................................... 17,665
261,200 o VICORP RESTAURANTS, INC ....................... 4,538
243,869 WENDYS INTERNATIONAL, INC ..................... 6,905
------------
755,091
------------
EDUCATIONAL SERVICES--0.02%
60,778 o APOLLO GROUP, INC (CLASS A) ................... 1,614
95,091 o BERLITZ INTERNATIONAL, INC .................... 1,747
47,600 []o COMPUTER LEARNING CENTERS, INC ................ 235
382,029 o DEVRY, INC .................................... 8,548
170,700 o EDUCATION MANAGEMENT CORP ..................... 3,542
3,000 o EDUTREK INTERNATIONAL, INC (CLASS A) .......... 14
6,600 o ITT EDUCATIONAL SERVICES, INC ................. 172
72,700 o LEARNING TREE INTERNATIONAL, INC .............. 795
242,925 []o SYLVAN LEARNING SYSTEMS, INC .................. 6,605
------------
23,272
------------
ELECTRIC, GAS, AND SANITARY SERVICES--3.57%
357,150 o AES CORP ...................................... 20,759
486,800 AGL RESOURCES, INC ............................ 8,975
135,354 AGUAS DE BARCELONA S.A. ....................... 7,049
2,217 o AGUAS DE BARCELONA S.A. (NEW) ................. 114
1,459,174 ALLEGHENY ENERGY, INC ......................... 46,785
294,693 ALLIANT ENERGY CORP ........................... 8,362
1,171,690 o ALLIED WASTE INDUSTRIES, INC .................. 23,141
967,281 AMEREN CORP ................................... 37,119
176,685 o AMERICAN ECOLOGY CORP ......................... 442
1,017,356 AMERICAN ELECTRIC POWER CO, INC ............... 38,214
1,200 AMERICAN STATES WATER CO ...................... 34
170,367 AMERICAN WATER WORKS CO, INC .................. 5,239
24 See notes to financial statements.
<PAGE>
VALUE
SHARES (000)
---------- ---------
ELECTRIC, GAS, AND SANITARY SERVICES--(CONTINUED)
408,567 ANGLIAN WATER PLC ............................. $ 4,518
403,436 o AQUA ALLIANCE, INC ............................ 403
22,034 AQUARION CO ................................... 766
201,377 ATMOS ENERGY CORP ............................. 5,034
1,122,955 AUSTRALIA GAS LIGHT CO ........................ 6,831
388,100 AVISTA CORP ................................... 6,307
163,000 []o AZURIX CORP ................................... 3,260
151,986 BEC ENERGY .................................... 6,269
128,470 o BEWAG AG. ..................................... 1,981
1,800 BEWCKISER WASSER TECHNIK AG. .................. 341
280,269 BLACK HILLS CORP .............................. 6,481
840,000 BRITISH ENERGY PLC ............................ 7,150
1,551,042 BROWNING FERRIS INDUSTRIES, INC ............... 66,695
47,400 CALIFORNIA WATER SERVICE GROUP ................ 1,238
168,100 o CALPINE CORP .................................. 9,077
978,436 CAROLINA POWER & LIGHT CO ..................... 41,889
143,600 o CASELLA WASTE SYSTEMS, INC (CLASS A) .......... 3,734
105,677,660 o CENTRAIS GERADORAS DO SUL (BR) ................ 83
2,101,600 CENTRAL & SOUTH WEST CORP ..................... 49,125
113,500 CENTRAL HUDSON GAS & ELECTRIC CORP ............ 4,767
7,127,533 o CENTRICA PLC .................................. 16,740
165,000 CHILECTRA S.A. ADR ............................ 3,568
4,268,702 CIA PAULISTA DE FORCA & LUZ ................... 274
38,500 CILCORP, INC .................................. 2,406
1,649,098 CINERGY CORP .................................. 52,771
495,541 o CITIZENS UTILITIES CO (CLASS B) ............... 5,513
453,240 o CLEAN HARBORS, INC ............................ 821
309,964 CLECO CORP .................................... 9,415
3,827,420 CLP HOLDINGS LTD .............................. 18,597
211,264 CMP GROUP, INC ................................ 5,532
487,680 CMS ENERGY CORP ............................... 20,422
1,729,674 COASTAL CORP .................................. 69,187
26,128 COLONIAL GAS CO ............................... 967
832,061 COLUMBIA ENERGY GROUP ......................... 52,160
178,100 COMMONWEALTH ENERGY SYSTEM CO ................. 7,480
1,057,475 CONECTIV, INC ................................. 25,842
62,012 [] CONECTIV, INC (CLASS A) ....................... 2,605
27,400 CONNECTICUT ENERGY CORP ....................... 1,057
1,115,200 CONSOLIDATED EDISON CO OF N.Y., INC ........... 50,463
1,005,300 CONSOLIDATED NATURAL GAS CO ................... 61,072
1,775,921 CONSTELLATION ENERGY GROUP .................... 52,612
351,000 o CONTACT ENERGY LTD ............................ 569
1,169 CTG RESOURCES, INC ............................ 43
160 DAISEKI CO LTD ................................ 2
1,658,100 DOMINION RESOURCES, INC ....................... 71,816
855,275 DPL, INC ...................................... 15,716
1,025,493 DQE, INC ...................................... 41,148
1,514,471 DTE ENERGY CO ................................. 60,579
2,199,486 DUKE ENERGY CORP .............................. 119,597
345,398 DYNEGY, INC ................................... 7,037
225,538 EASTERN ENTERPRISES CO ........................ 8,965
150,057 EASTERN UTILITIES ASSOCIATION CO .............. 4,370
2,475,652 EDISON INTERNATIONAL CO ....................... 66,224
957,030 [] EDISON S.P.A. ................................. 8,291
351,950 EDPERBRASCAN CORP (CLASS A) ................... 5,338
1,914 o EL PASO ELECTRIC CO ........................... 17
339,610 EL PASO ENERGY CORP ........................... 11,950
145,307 ELECTRABEL NV ................................. 46,905
2,000 ELECTRABEL S.A. (STRIP VVPR) .................. 0
1,216,494 ELECTRICIDADE DE PORTUGAL S.A. ................ 21,905
105,677,660 ELECTROBRAS S.A. .............................. 1,991
36,181 EMPIRE DISTRICT ELECTRIC CO ................... 943
411,626 EMPRESA NACIONAL DE ELECTRIDAD
S.A. ADR .................................... 4,991
2,699,860 [] ENDESA S.A. ................................... 57,581
306,300 ENERGEN CORP .................................. 5,705
1,458,321 ENERGY EAST CORP .............................. 37,916
116,078 ENERSIS S.A. ADR .............................. 2,655
1,511,145 ENTERGY CORP .................................. 47,223
224,501 EQUITABLE RESOURCES, INC ...................... 8,475
5,237 ETOWN CORP .................................... 240
2,263,027 FIRSTENERGY CORP .............................. 70,154
590,839 FLORIDA PROGRESS CORP ......................... 24,409
964,248 FPL GROUP, INC ................................ 52,672
386,419 GAS NATURAL SDG S.A. .......................... 28,095
150,170 [] GENER S.A. (SPONS ADR) ........................ 2,666
1,466,700 GPU, INC ...................................... 61,876
385 GROUPE BRUXELLES LAMBERT NPV
(STRIP VVPR) .............................. 0
68,235 [] GROUPE BRUXELLES LAMBERT S.A. ................. 11,534
70,510 HAFSLUND AS SERIES A .......................... 470
46,402 HAFSLUND AS SERIES B .......................... 192
316,693 HAWAIIAN ELECTRIC INDUSTRIES, INC ............. 11,243
10,721,712 HONG KONG & CHINA GAS CO LTD .................. 15,546
124,922 o HONG KONG & CHINA GAS CO LTD
WTS 09/30/99 ................................ 20
25 HONG KONG ELECTRIC CO LTD ..................... 0
471,788 HYDER PLC ..................................... 5,570
1,761,597 [] IBERDROLA S.A. ................................ 26,833
328,100 IDACORP, INC .................................. 10,335
57,620 ILLINOVA CORP ................................. 1,570
221,966 INDIANA ENERGY, INC ........................... 4,731
18,134 IPALCO ENTERPRISES, INC ....................... 384
2,405 o IT GROUP, INC ................................. 39
1,031,340 ITALGAS S.P.A. ................................ 4,329
3,410,600 KANSAI ELECTRIC POWER CO, INC ................. 64,808
545,634 KANSAS CITY POWER & LIGHT CO .................. 13,914
130,800 o KELLEY OIL & GAS CORP ......................... 29
1,064,890 KEYSPAN CORP .................................. 28,086
280,250 KN ENERGY, INC ................................ 3,748
157,000 KURITA WATER INDUSTRIES LTD ................... 2,815
135,700 LACLEDE GAS CO ................................ 3,155
856,867 LOUISVILLE GAS & ELECTRIC ENERGY CORP ......... 17,994
35,900 MADISON GAS & ELECTRIC CO ..................... 736
432,104 MCN ENERGY GROUP, INC ......................... 8,966
161,579 MDU RESOURCES GROUP, INC ...................... 3,686
329,300 o MIDAMERICAN ENERGY HOLDINGS CO ................ 11,402
94,810 MINNESOTA POWER, INC .......................... 1,884
200,800 []xo MOLTEN METAL TECHNOLOGY, INC .................. 8
118,306 MONTANA POWER CO .............................. 8,341
966,736 NATIONAL FUEL GAS CO .......................... 46,887
2,011,183 NATIONAL GRID GROUP PLC ....................... 13,997
3,108,824 NATIONAL POWER PLC ............................ 22,640
576,600 NEVADA POWER CO ............................... 14,415
857,360 NEW CENTURY ENERGIES, INC ..................... 33,276
377,443 NEW ENGLAND ELECTRIC SYSTEMS CO ............... 18,919
116,700 NEW JERSEY RESOURCES CORP ..................... 4,369
14,800 o NEWPARK RESOURCES, INC ........................ 131
32,200 o NIAGARA MOHWAK HOLDINGS, INC .................. 517
466,640 NICOR, INC .................................... 17,761
269,458 NISOURCE, INC ................................. 6,955
90,592 NORTH CAROLINA NATURAL GAS CORP ............... 3,086
19,700 o NORTHEAST UTILITIES CO ........................ 348
1,009,068 NORTHERN STATES POWER CO ...................... 24,407
161,600 NORTHWEST NATURAL GAS CO ...................... 3,899
127,192 NORTHWESTERN CORP ............................. 3,076
142,600 NUI CORP ...................................... 3,565
608,044 OGE ENERGY CORP ............................... 14,441
296,300 ONEOK, INC .................................... 9,408
4,572 ORANGE & ROCKLAND UTILITY, INC ................ 267
4,010,000 OSAKA GAS CO LTD .............................. 13,616
31,745 o OESTERREICHISCHE
ELEKTRIZITAETSWIRSCHAFTS AG. ................ 4,623
17,900 OTTER TAIL POWER CO ........................... 690
6,913,300 PACIFICORP .................................... 127,032
1,609,629 PECO ENERGY CO ................................ 67,403
22,100 PENNSYLVANIA ENTERPRISES, INC ................. 678
534,199 PEOPLES ENERGY CORP ........................... 20,133
See notes to financial statements. 25
<PAGE>
VALUE
SHARES (000)
---------- ---------
ELECTRIC, GAS, AND SANITARY SERVICES--(CONTINUED)
635,000 PETRONAS GAS BERHAD ........................... $ 1,354
2,074,313 PG&E CORP ..................................... 67,415
89,133 PHILADELPHIA SUBURBAN CORP .................... 2,056
109,196 o PHILIP SERVICES CORP .......................... 17
93,287 PIEDMONT NATURAL GAS CO, INC .................. 2,904
697,234 PINNACLE WEST CAPITAL CORP .................... 28,064
717,400 POTOMAC ELECTRIC POWER CO ..................... 21,118
285,479 POWERGEN PLC .................................. 3,078
1,752,910 PP&L RESOURCES, INC ........................... 53,902
601,524 PUBLIC SERVICE CO OF NEW MEXICO ............... 11,955
112,202 PUBLIC SERVICE CO OF NORTH CAROLINA ........... 3,282
1,836,128 PUBLIC SERVICE ENTERPRISE GROUP, INC .......... 75,052
506,431 PUGET SOUND ENERGY, INC ....................... 12,154
1,127,880 QUESTAR CORP .................................. 21,571
1,759,215 RELIANT ENERGY, INC ........................... 48,598
3,044,816 o REPUBLIC SERVICES, INC (CLASS A) .............. 75,359
1,190,320 o RHEIN-WESTFALEN ELECTRIC AG. (STAMM) .......... 55,106
567,997 ROCHESTER GAS & ELECTRIC CORP ................. 15,087
694,100 SCANA CORP .................................... 16,225
2,153,839 SCOTTISH & SOUTHERN ENERGY PLC ................ 22,034
3,724,574 SCOTTISH POWER PLC ............................ 32,173
1,505 SEMCO ENERGY, INC ............................. 23
1,633,305 SEMPRA ENERGY ................................. 36,954
9,472,146 SHUN TAK ENTERPRISES CORP LTD ................. 2,533
49,300 SIERRA PACIFIC RESOURCES ...................... 1,793
95,882 SIG CORP, INC ................................. 2,715
158,100 SONAT, INC .................................... 5,237
52,000 SOUTH JERSEY INDUSTRIES, INC .................. 1,472
4,101,296 SOUTHERN CO ................................... 108,684
44,964 o SOUTHERN UNION CO ............................. 978
600 SOUTHWEST GAS CORP ............................ 17
167,500 SOUTHWESTERN ENERGY CO ........................ 1,769
478,835 [] LYONNAISE DES EAUX S.A. ....................... 86,370
7,200 o SUPERIOR SERVICES, INC ........................ 192
841,952 TECO ENERGY, INC .............................. 19,154
804,000 o TENAGA NASIONAL BERHAD ........................ 1,667
2,061,464 TEXAS UTILITIES CO ............................ 85,035
192,714 THAMES WATER PLC .............................. 3,056
2,200 o THERMO ECOTEK CORP ............................ 18
129,700 TNP ENTERPRISES, INC .......................... 4,702
989,000 TOHOKU ELECTRIC POWER CO, INC ................. 14,969
2,503,474 [] TOKYO ELECTRIC POWER CO, INC .................. 52,845
5,292,000 [] TOKYO GAS CO LTD .............................. 13,029
244,357 TRACTEBEL NV .................................. 34,273
6,138 o TRACTEBEL NV PUT WTS 11/15/99 ................. 0
857,504 TRANS CANADA PIPELINES LTD .................... 12,022
140,050 TRANS CANADA PIPELINES LTD (U.S.) ............. 1,961
376,600 TRANSALTA CORP ................................ 5,521
568,500 TRANSPORTADORA DE GAS DEL SUR (CLASS B) ....... 1,069
237,624 UGI CORP ...................................... 4,797
1,627,483 UNICOM CORP ................................... 62,760
1,428,100 [] UNION ELECTRICA FENOSA S.A. ................... 18,675
258,020 o UNISOURCE ENERGY CORP HOLDINGS CO ............. 3,080
64,500 UNITED ILLUMINATING CO ........................ 2,737
1,933,886 UNITED UTILITIES PLC .......................... 23,503
120,100 UNITED WATER RESOURCES, INC ................... 2,725
669,647 UTILICORP UNITED, INC ......................... 16,281
1,282,930 [] VEBA AG. ...................................... 75,416
54,046 VIAG AG. ...................................... 25,528
1,592,410 VIVENDI S.A. .................................. 128,999
48,973 []o VIVENDI S.A. WTS 05/02/01 ..................... 131
577,372 WASHINGTON GAS LIGHT CO ....................... 15,012
6,465,954 o WASTE MANAGEMENT, INC ......................... 347,545
700 o WASTEMASTERS, INC ............................. 0
232,462 WESTCOAST ENERGY, INC ......................... 4,539
53,800 WESTERN GAS RESOURCES, INC .................... 861
178,610 WESTERN RESOURCES, INC ........................ 4,755
127,798 WICOR, INC .................................... 3,570
2,443,474 WILLIAMS COS, INC ............................. 104,000
738,081 [] WISCONSIN ENERGY CORP ......................... 18,498
274,672 WPS RESOURCES CORP ............................ 8,240
416,000 YANKEE ENERGY SYSTEMS, INC .................... 16,510
151,135 o YORK RESEARCH CORP ............................ 935
-------------
4,474,316
-------------
ELECTRONIC AND OTHER ELECTRIC EQUIPMENT--8.10%
30,800 o AAVID THERMAL TECHNOLOGIES, INC ............... 697
508,037 []o ABB LTD ....................................... 47,505
233,748 []o ABB LTD (SWITZERLAND) ......................... 22,028
300 o ACT MANUFACTURING, INC ........................ 4
119,900 o ACTEL CORP .................................... 1,769
43,500 o ADAPTIVE BROADBAND CORP ....................... 952
1,115,698 o ADC TELECOMMUNICATIONS, INC ................... 50,834
91,824 o ADTRAN, INC ................................... 3,340
22,600 o ADVANCED ENERGY INDUSTRIES, INC ............... 917
362,700 o ADVANCED FIBRE COMMUNICATIONS ................. 5,667
160,900 o ADVANCED LIGHTING TECHNOLOGIES, INC ........... 1,448
250,750 o ADVANCED MICRO DEVICES, INC ................... 4,529
141,629 [] ADVANTEST CORP ................................ 15,562
84,000 AIWA CO LTD ................................... 2,776
402,335 ALLEGHENY TELEDYNE, INC ....................... 9,103
4,200 o ALLEN TELECOM, INC ............................ 45
900 o ALLIANCE SEMICONDUCTOR CORP ................... 9
1,244,000 [] ALPS ELECTRIC CO LTD .......................... 29,137
1,431,000 o ALSTOM ........................................ 45,012
6,616,180 o ALTERA CORP ................................... 243,558
1,680,860 o AMERICAN POWER CONVERSION CORP ................ 33,827
284,229 o AMERICAN TOWER SYSTEMS (CLASS A) .............. 6,821
287,200 AMETEK, INC ................................... 6,606
241,000 []o AMKOR TECHNOLOGY, INC ......................... 2,470
6,000 o AMPEX CORP (CLASS A) .......................... 30
55,845 o AMPHENOL CORP (CLASS A) ....................... 2,220
20,992 AMSTRAD PLC ................................... 21
700 o ANADIGICS, INC ................................ 26
1,269,029 o ANALOG DEVICES, INC ........................... 63,689
1,211,118 o ANDREW CORP ................................... 22,936
151,800 []o ANTEC CORP .................................... 4,867
2,369 []o APPLIED MAGNETICS CORP ........................ 7
119,000 o APPLIED MICRO CIRCUITS CORP ................... 9,788
98,781 o ARTESYN TECHNOLOGIES, INC ..................... 2,192
67,300 o ARTISAN COMPONENTS, INC ....................... 782
319,400 o ASPECT TELECOMMUNICATIONS CORP ................ 3,114
1,272,535 o ATMEL CORP .................................... 33,325
16,226 o AURA SYSTEMS, INC ............................. 4
2,200 o AUSTRIA MIKRO SYSTEM
INTERNATIONAL AG .............................. 81
54,000 AVX CORP .................................... 1,316
13,933 BALDOR ELECTRIC CO ............................ 277
57,500 o BANG & OLUFSEN HOLDINGS AS (CLASS B ........... 3,654
41,115 BARCO INDUSTRIES NV ........................... 6,619
66,100 o BENCHMARK ELECTRONICS, INC .................... 2,375
462,200 BMC INDUSTRIES, INC ........................... 4,766
436,096 BOWTHORPE HOLDINGS PLC ........................ 3,812
3,900 o BROADBAND TECHNOLOGIES, INC ................... 10
128,500 o BROADCOM CORP (CLASS A) ....................... 18,576
697,000 BROTHERS INDUSTRIES LTD ....................... 2,401
165,400 o BURR BROWN CORP ............................... 6,058
238,000 C&D TECHNOLOGIES, INC ......................... 7,289
808,700 []o CELLNET DATA SYSTEMS, INC ..................... 7,278
10,500 o CHECKPOINT SYSTEMS, INC ....................... 94
12,400 o CIDCO, INC .................................... 92
884,380 o CIENA CORP .................................... 26,697
279,563 o COMMSCOPE, INC ................................ 8,597
579,297 o COMVERSE TECHNOLOGY, INC ...................... 43,737
610,750 o CONEXANT SYSTEMS, INC ......................... 35,462
1,814,445 COOPER INDUSTRIES, INC ........................ 94,351
254,042 CTS CORP ...................................... 17,783
26 See notes to financial statements.
<PAGE>
VALUE
SHARES (000)
---------- ---------
ELECTRONIC AND OTHER ELECTRIC EQUIPMENT--(Continued)
21,100 o CUSTOMTRACKS CORP ............................. $ 1,180
566,900 o CYPRESS SEMICONDUCTOR CORP .................... 9,354
336,879 []o DAI NIPPON SCREEN
MANUFACTURING CO LTD .......................... 1,739
57,685 DALLAS SEMICONDUCTOR CORP ..................... 2,913
1,200 o DAVOX CORP .................................... 14
396,900 o DIGITAL MICROWAVE CORP ........................ 5,060
247,120 o DII GROUP, INC ................................ 9,221
174,516 o DSP COMMUNICATIONS, INC ....................... 5,039
4,100 []o ECHOSTAR COMMUNICATIONS CORP
CLASS A) .................................... 629
2,024 o EFACEC CAPITAL WTS 12/12/99 ................... 1
21,500 o ELECTRO SCIENTIFIC INDUSTRIES, INC ............ 898
333,058 ELECTROCOMPONENTS PLC ......................... 2,460
968,970 ELECTROLUX AB SERIES B ........................ 20,287
1,255,379 [] EMAIL LTD ..................................... 2,416
2,541,270 EMERSON ELECTRIC CO ........................... 159,782
7,800 EMPRESA FABRIL DE MAQUINAS ELECTRICAS ......... 46
2,578 o EMPRESA FABRIL DE MAQUINAS ELECTRICAS
(BABY SHS) .................................. 15
76,921 o ESS TECHNOLOGY ................................ 1,034
87,500 o EVANS & SUTHERLAND COMPUTER CORP .............. 1,143
1,100 o EXAR CORP ..................................... 27
144,400 o EXCEL SWITCHING CORP .......................... 4,323
6,500 EXIDE CORP .................................... 96
81,000 o FIREARMS TRAINING SYSTEMS, INC ................ 73
497,017 [] FISHER & PAYKEL INDUSTRIES LTD ................ 1,580
10,000 FRANKLIN ELECTRIC CO, INC ..................... 650
5,968,000 [] FUJITSU LTD ................................... 120,060
387,000 FURUKAWA ELECTRIC CO LTD ...................... 1,774
64,000 FUTABA CORP ................................... 2,982
98,357 []o GENERAL DATACOMM INDUSTRIES, INC .............. 258
26,513,257 GENERAL ELECTRIC CO ........................... 2,995,998
4,392,778 GENERAL ELECTRIC CO (U.K.) .................... 44,800
684,500 o GENERAL INSTRUMENT CORP ....................... 29,091
135,900 o GENERAL SEMICONDUCTOR, INC .................... 1,240
41,700 o GENLYTE GROUP, INC ............................ 936
883,000 xo GEOTEK COMMUNICATIONS, INC .................... 23
71,437 o GLENAYRE TECHNOLOGIES, INC .................... 257
13,840 GROUPE SEB S.A ................................ 1,035
23,300 o HADCO CORP .................................... 926
100,380 HARMAN INTERNATIONAL INDUSTRIES, INC .......... 4,417
79,400 HARMON INDUSTRIES, INC ........................ 1,573
1,058,049 HARRIS CORP ................................... 41,462
27,900 HELIX TECHNOLOGY CORP ......................... 668
136,900 [] HIROSE ELECTRIC CO LTD ........................ 14,206
7,585,230 [] HITACHI LTD ................................... 71,127
251,200 o HMT TECHNOLOGY CORP ........................... 628
54,500 o HOLOPHANE CORP ................................ 2,078
65,676 HUBBELL, INC (CLASS B) ........................ 2,980
131,370 o HUTCHINSON TECHNOLOGY, INC .................... 3,646
7,300 NNOVEX, INC ................................... 102
1,150,400 o INTEGRATED DEVICE TECHNOLOGY, INC ............. 12,511
7,500 o INTEGRATED SILICON SOLUTION, INC .............. 44
27,772,386 INTEL CORP .................................... 1,652,457
186,900 INTER-TEL, INC ................................ 3,411
256,900 o INTERDIGITAL COMMUNICATIONS CORP .............. 1,188
7,400 o INTERNATIONAL RECTIFIER CORP .................. 99
185,000 o INTERVOICE, INC ............................... 2,671
10,200 o ITI TECHNOLOGIES, INC ......................... 231
19,800 []o ITRON, INC .................................... 170
339,184 o JABIL CIRCUIT, INC ............................ 15,306
3,513,320 o JOHNSON ELECTRIC HOLDINGS LTD ................. 14,490
3,700 o JPM CO ........................................ 48
177,400 JUNO LIGHTING, INC ............................ 4,346
12,100 o KEMET CORP .................................... 278
727,800 o KOMAG, INC .................................... 2,411
1,720,077 KONINKLIJKE PHILIPS ELECTRONICS NV ............ 169,675
500 o KOPIN CORP .................................... 12
298,100 KYOCERA CORP .................................. 17,486
103,800 o L-3 COMMINUCATIONS HOLDINGS, INC .............. 5,015
162,550 o LATTICE SEMICONDUCTOR CORP .................... 10,119
30,879 LEGRAND S.A ................................... 6,286
208,700 o LEVEL ONE COMMUNICATIONS, INC ................. 10,213
3,123,300 LINEAR TECHNOLOGY CO .......................... 210,042
24,900 o LITTLEFUSE, INC ............................... 479
10,200 o LO-JACK CORP .................................. 85
1,226,100 o LSI LOGIC CORP ................................ 56,554
212,800 MABUCHI MOTOR CO LTD .......................... 19,779
674 o MAGNETEK, INC ................................. 7
637,000 MALAYSIAN PACIFIC INDUSTRIES BERHAD ........... 1,600
5,128,650 [] MATSUSHITA ELECTRIC INDUSTRIAL CO LTD ......... 99,573
60,335 MATSUSHITA ELECTRIC INDUSTRIAL CO LTD
ADR ......................................... 11,965
1,879,124 o MAXIM INTEGRATED PRODUCTS ..................... 124,962
319,203 MAYTAG CO ..................................... 22,244
392,100 o MEMC ELECTRONIC MATERIALS, INC ................ 4,779
196,265 METAL MANUFACTURES LTD ........................ 240
307,850 METHODE ELECTRONICS, INC (CLASS A) ............ 7,042
89,775 o MICREL, INC ................................... 6,643
800 o MICRO LINEAR CORP ............................. 3
436,275 o MICROCHIP TECHNOLOGY, INC ..................... 20,669
865,395 o MICRON TECHNOLOGY, INC ........................ 34,886
3,243,000 MITSUBISHI ELECTRIC CORP ...................... 12,459
793,200 o MMC NETWORKS, INC ............................. 35,496
8,107 MOLEX, INC .................................... 300
167,252 MOLEX, INC (CLASS A) .......................... 5,268
16,000 o MOOG, INC (CLASS A) ........................... 550
4,643,098 MOTOROLA, INC ................................. 439,934
142,130 []o MRV COMMUNICATIONS, INC ....................... 1,865
573,000 MURATA MANUFACTURING CO LTD ................... 37,682
67,700 NATIONAL PRESTO INDUSTRIES, INC ............... 2,590
763,899 o NATIONAL SEMICONDUCTOR CORP ................... 19,336
657,849 NATIONAL SERVICE INDUSTRIES, INC .............. 23,683
9,600 o NATURAL MICROSYSTEMS CORP ..................... 92
292,160 o NEOMAGIC CORP ................................. 2,456
431,644 [] NGK SPARK PLUG CO LTD ......................... 4,440
900 NIHON DEMPA KOGYO CO LTD ...................... 6
2,899,000 [] NIPPON ELECTRIC CORP .......................... 36,046
136,000 [] NITTO DENKO CORP .............................. 2,854
4,424,700 o NOKIA OYJ .............................. ...... 387,871
957,042 NORTEL NETWORKS CORP .......................... 81,472
1,277,913 NORTEL NETWORKS CORP (U.S.) ................... 110,939
13,600 o OAK INDUSTRIES, INC ........................... 594
289,705 o OAK TECHNOLOGY, INC ........................... 1,050
500 o OIS OPTICAL IMAGING SYSTEMS, INC .............. 0
391,900 []o P-COM, INC .................................... 2,051
146,709 o PAIRGAIN TECHNOLOGIES, INC .................... 1,687
61,100 PARK ELECTROCHEMICAL CORP ..................... 1,757
14,800 []o PARKERVISION, INC ............................. 518
77,300 o PHOTRONICS, INC ............................... 1,894
24,600 o PICTURETEL CORP ............................... 197
336,729 PIONEER CORP .................................. 6,552
125,400 PITTWAY CORP .................................. 4,177
229,036 PITTWAY CORP (CLASS A) ........................ 7,830
48,300 o PLANTRONICS, INC .............................. 3,146
251,400 o PLEXUS CORP ................................... 7,573
476,300 o PMC-SIERRA, INC ............................... 28,072
258,200 o POLYCOM, INC .................................. 10,070
74,700 o POWERWAVE TECHNOLOGIES, INC ................... 2,409
161,800 o PREMISYS COMMUNICATIONS, INC .................. 1,183
98,106 o QLOGIC CORP ................................... 12,950
950,847 o QUALCOMM, INC ................................. 136,447
278,314 o RACAL ELECTRONICS PLC ......................... 1,696
4,600 []o RAMBUS, INC ................................... 424
23,800 o RAMTRON INTERNATIONAL CORP .................... 15
839,522 RAYCHEM CORP .................................. 31,062
176,100 o RAYOVAC CORP .................................. 3,995
1,135,050 o READ RITE CORP ................................ 7,041
45,100 []o RECOTON CORP .................................. 410
See notes to financial statements. 27
<PAGE>
VALUE
SHARES (000)
---------- ---------
ELECTRONIC AND OTHER ELECTRIC EQUIPMENT--(Continued)
71,700 o REMEC, INC .................................... $ 1,156
44,000 [] RINNAI CORP ................................... 1,011
526,000 ROHM CO ....................................... 82,350
8,600 o ROYAL APPLIANCE MANUFACTURING CO, INC ......... 60
158,800 o S3, INC ....................................... 1,444
179,200 o SALIENT 3 COMMUNICATIONS (CLASS A) ............ 1,456
302,439 []o SANMINA CORP .................................. 22,948
1,907,000 SANYO ELECTRIC CO LTD ......................... 7,751
312,500 o SAWTEK, INC ................................... 14,336
199,700 o SCI SYSTEMS, INC .............................. 9,486
591,800 SCIENTIFIC-ATLANTA, INC ....................... 21,305
79,100 []o SCM MICROSYSTEMS, INC ......................... 3,668
217,334 o SDL, INC ...................................... 11,098
107,100 o SEMTECH CORP .................................. 5,583
426,850 o SENSORMATIC ELECTRONICS CORP .................. 5,949
1,400 o SGL CARBON AG. ................................ 108
60,000 SGS-THOMSON MICROELECTRONICS NV ............... 3,997
2,127,000 [] SHARP CORP .................................... 25,129
3,000 o SHELDAHL, INC ................................. 20
9,800 o SILICONIX, INC ................................ 336
323,299 o SILICONWARE PRECISION INDUSTRIES GDR .......... 4,373
41,700 o SIPEX CORP .................................... 855
309,420 SIRTI S.P.A. .................................. 1,493
168,250 o SLI, INC ...................................... 4,543
242,400 o SMART MODULAR TECHNOLOGIES, INC ............... 4,212
1,243,951 o SOLECTRON CORP ................................ 82,956
780,298 [] SONY CORP ..................................... 84,128
562,000 SONY MUSIC ENTERTAINMENT, INC ................. 47,824
900 o SPECTRA-PHYSICS LASERS, INC ................... 7
1,000 o SPECTRIAN CORP ................................ 15
433,000 STEWART & STEVENSON SERVICES, INC ............. 6,603
2,235,500 SUMITOMO ELECTRIC INDUSTRIES CO ............... 25,413
327,957 []o SUNBEAM CORP .................................. 2,603
75,200 o SUPERTEX, INC ................................. 865
286,000 o SUWA INTERNATIONAL HOLDINGS LTD ............... 13
57,200 o SUWA INTERNATIONAL HOLDINGS LTD
WTS 10/15/99 ................................ 0
231,200 o SYMMETRICOM, INC .............................. 1,879
8,800 o SZ TESTSYSTEMS AG. ............................ 113
283,000 TAIYO YUDEN CO LTD ............................ 4,643
51,000 o TDK CORP ...................................... 4,664
64,138 TECHNITROL, INC ............................... 2,068
286,000 o TEKELEC ....................................... 3,486
245,600 TELEFLEX, INC ................................. 10,668
2,690,350 o TELLABS, INC .................................. 181,767
2,782,468 TEXAS INSTRUMENTS, INC ........................ 403,458
380 o THERMICEDGE CORP .............................. 0
1,415,808 THOMAS & BETTS CORP ........................... 66,897
163,377 THOMAS INDUSTRIES, INC ........................ 3,349
2,400 o THREE-FIVE SYSTEMS, INC ....................... 33
322,750 TOKYO ELECTRON CO LTD ......................... 21,892
2,630,000 [] TOSHIBA CORP .................................. 18,751
22 TOWA CORP ..................................... 1
23,500 []o TRANSCRYPT INTERNATIONAL, INC ................. 32
5,900 o TRIDENT MICROSYSTEMS, INC ..................... 54
400 o TRIQUINT SEMICONDUCTOR, INC ................... 23
501,700 o UCAR INTERNATIONAL, INC ....................... 12,668
196,000 [] UNIDEN CORP ................................... 1,992
173,000 []o UNIPHASE CORP ................................. 28,718
185,000 o UNISEM (M) BERHAD ............................. 460
207,134 o UNITRODE CORP ................................. 5,942
428 o VARIAN SEMICONDUCTOR
EQUIPMENT ASSOCIATION ......................... 7
402,000 VARITRONIX INTERNATIONAL LTD .................. 837
412,000 VENTURE MANUFACTURING
(SINGAPORE) LTD ............................. 3,170
24,400 o VICOR CORP .................................... 517
700 o VIDEOSERVER, INC .............................. 7
434,125 o VISHAY INTERTECHNOLOGY, INC ................... 9,117
857,660 o VITESSE SEMICONDUCTOR CORP .................... 57,838
8,000,000 o VTECH HOLDINGS LTD ............................ 25,416
256 o VTEL CORP ..................................... 1
66,200 o WESTELL TECHNOLOGIES, INC (CLASS A) ........... 461
558,242 WHIRLPOOL CORP ................................ 41,310
54,192 o WINDMERE-DURABLE HOLDINGS, INC ................ 914
289,200 WOODHEAD INDUSTRIES, INC ...................... 3,543
16,200 WOODWARD GOVERNOR CO .......................... 421
276,651 o WORLD ACCESS, INC ............................. 3,908
3,092,800 o XILINX, INC ................................... 177,063
362,984 YAMAHA CORP ................................... 4,363
472,622 []xo ZENITH ELECTRONICS CORP ....................... 184
2,300 []o ZOLTEK COS, INC ............................... 18
10,200 o ZORAN CORP .................................... 171
------------
10,159,275
------------
ENGINEERING AND MANAGEMENT SERVICES--0.12%
47,100 o AHL SERVICES, INC ............................. 1,175
2,400 o AURORA BIOSCIENCE CORP ........................ 17
32,000 BLOUNT INTERNATIONAL, INC ..................... 870
542,200 o CATALYTICA, INC ............................... 7,591
300 []o DATA TRANSMISSION NETWORK CORP ................ 8
46,100 o DIAMOND TECHNOLOGY PARTNERS, INC
(CLASS A) ................................... 1,031
357,639 DUN & BRADSTREET CORP ......................... 12,674
33,000 EG & G, INC ................................... 1,176
900 o ENTREMED, INC ................................. 20
82,300 o F.Y.I., INC ................................... 2,582
77,930 o FIRST CONSULTING GROUP, INC ................... 828
109,800 o GARTNER GROUP, INC (CLASS A) .................. 2,251
1,200 o HAGLER BAILLY, INC ............................ 12
60,200 o INCYTE PHARMACEUTICALS, INC ................... 1,592
30,000 #o INTERNATIONAL HYDRON
(LIQUIDATING TRUST) ......................... 1
197,497 o JACOBS ENGINEERING GROUP, INC ................. 7,505
47,400 o KENDLE INTERNATIONAL, INC ..................... 758
30,498 LANDAUER, INC ................................. 900
65,300 o LASON, INC .................................... 3,241
60,065 o MAXIMUS, INC .................................. 1,727
5,200 o MEDAPHIS CORP ................................. 30
31,900 o META GROUP, INC ............................... 490
162,900 o METZLER GROUP, INC ............................ 4,500
69,100 o MYRIAD GENETICS, INC .......................... 622
157,400 xo NEUROMEDICAL SYSTEMS, INC ..................... 5
2,400 o NFO WORLDWIDE, INC ............................ 34
50,800 o NICHOLS RESEARCH CORP ......................... 1,111
100,700 OYO CORP ...................................... 1,880
600 o PAREXEL INTERNATIONAL CORP .................... 8
8,912 o PHARMACEUTICAL PRODUCT DEVELOPMENT ............ 244
400 o PROBUSINESS SERVICES, INC ..................... 14
200 o PROFIT RECOVERY GROUP INTERNATIONAL ........... 9
1,361,124 o QUINTILES TRANSNATIONAL CORP .................. 57,167
89,984 o RENAISSANCE WORLDWIDE, INC .................... 717
2,905,804 SEMBCORP INDUSTRIES LTD ....................... 4,608
567,368 SERVICEMASTER CO .............................. 10,638
5,519,000 SINGAPORE TECHNOLOGIES
ENGINEERING LTD .............................. 6,256
34,000 o SM & A CORP ................................... 259
235,600 o STAFF LEASING, INC ............................ 3,033
42,019 STONE & WEBSTER, INC .......................... 1,119
25,000 o SUPERIOR CONSULTANT HOLDINGS CORP ............. 617
22,190 TEJON RANCH CO ................................ 560
5,387 o TETRA TECH, INC ............................... 89
88,000 o URS CORP ...................................... 2,580
55,300 []o VALENCE TECHNOLOGY, INC ....................... 408
139,100 VEDIOR NV-CVA ................................. 2,367
11,600 o WACKENHUT CORRECTIONS CORP .................... 230
262,400 o WESTON (ROY F.), INC (CLASS A) ................ 787
154,700 o WHITTMAN HART, INC ............................ 4,912
------------
151,253
------------
28 See notes to financial statements.
<PAGE>
VALUE
SHARES (000)
---------- ---------
FABRICATED METAL PRODUCTS--0.66%
100 o ALLIANT TECHSYSTEMS, INC ...................... $ 9
121,034 o ALLTRISTA CORP ................................ 3,994
1,400 AMCAST INDUSTRIAL CORP ........................ 23
43,523 BALL CORP ..................................... 1,839
92,300 BARNES GROUP, INC ............................. 2,008
1,344,871 BICC LTD ...................................... 1,919
14,200 BOHLER-UDDEHOLM AG. (BR) ...................... 703
25,700 BUTLER MANUFACTURING CO ....................... 718
26,480 o BWAY CORP ..................................... 377
212,600 CARADON PLC ................................... 501
70,600 CCL INDUSTRIES, INC (CLASS B) ................. 735
105,100 CHART INDUSTRIES, INC ......................... 828
4,500 o COLEMAN CO, INC ............................... 42
8,816 o COLEP-COMPANHIA PORTUGUESA
DE EMBALAGE .................................. 49
489,049 CRANE CO ...................................... 15,374
786,375 CROWN CORK & SEAL CO, INC ..................... 22,412
343,200 o FANSTEEL, INC ................................. 1,888
3,628 FISCHER (GEORGE) LTD (REGD) ................... 1,183
8,531,732 GILLETTE CO ................................... 349,801
942,843 GKN PLC ....................................... 16,096
4,262 o GRIFFON CORP .................................. 33
103,500 o GULF ISLAND FABRICATION, INC .................. 1,236
65,600 HARSCO CORP ................................... 2,099
116,100 INTERNATIONAL ALUMINUM CORP ................... 3,200
150,000 KIAN JOO CAN FACTORY BERHAD ................... 245
91,100 o LADISH CO, INC ................................ 706
901,050 MAGNETI MARELLI ............................... 1,194
851,347 [] MARK IV INDUSTRIES, INC ....................... 17,985
2,095,200 MASCO CORP .................................... 60,499
1,600 o MATERIAL SCIENCES CORP ........................ 24
27,200 o METALS U.S.A., INC ............................ 347
32,700 o NCI BUILDING SYSTEMS, INC ..................... 699
2,800 o NORTEK, INC ................................... 88
962,421 PARKER-HANNIFIN CORP .......................... 44,031
112,660 PRIMEX TECHNOLOGIES, INC ...................... 2,429
2,693,442 ROCKWELL INTERNATIONAL CORP ................... 163,627
4,700 o ROHN INDUSTRIES, INC .......................... 6
201,550 []o SANKYO ALUMINIUM INDUSTRY CO LTD .............. 231
304,000 SANWA SHUTTER CORP ............................ 1,648
38,300 o SHAW GROUP, INC ............................... 608
1,900 o SHILOH INDUSTRIES, INC ........................ 28
36,300 o SILGAN HOLDINGS, INC .......................... 721
30,400 o SIMPSON MANUFACTURING CO, INC ................. 1,444
225,300 [] SMC CORP ...................................... 25,221
558,600 SNAP-ON, INC .................................. 20,214
40,629 o SPS TECHNOLOGIES, INC ......................... 1,524
135,100 STANLEY WORKS CO .............................. 4,349
124,500 STRUM, RUGER & CO, INC ........................ 1,331
376,000 TAKARA STANDARD CO ............................ 2,361
556,000 TOSTEM CORP ................................... 10,680
430,000 o TOWER AUTOMOTIVE, INC ......................... 10,938
585,900 TOYO SEIKAN KAISHA LTD ........................ 13,166
2,977 o U.S. CAN CORP ................................. 66
152,300 UNITED DOMINION INDUSTRIES LTD ................ 3,807
1,100 VALMONT INDUSTRIES ............................ 19
230,900 WATTS INDUSTRIES, INC (CLASS A) ............... 4,430
473 o WHITTAKER CORP ................................ 13
123,500 o WYMAN-GORDON CO ............................... 2,385
--------------
824,131
--------------
FISHING, HUNTING, AND TRAPPING--0.00%
700 o ZAPATA CORP 6
--------------
FOOD AND KINDRED PRODUCTS--3.38%
3,000 AARHUS OLIEFABRIK AS (CLASS A) ................ 79
1,700 AARHUS OLIEFABRIK AS (CLASS B) ................ 46
2,940 []o AGRIBIOTECH, INC .............................. 18
69,919 o AGRIBRANDS INTERNATIONAL, INC ................. 2,766
1,159,600 AJINOMOTO CO LTD .............................. 13,221
21,300 o AMERICAN ITALIAN PASTA CO (CLASS A) ........... 647
3,153,128 ANHEUSER BUSCH COS, INC ....................... 223,675
3,851,030 ARCHER DANIELS MIDLAND CO ..................... 59,450
147,800 ARIAKE JAPAN CO LTD ........................... 6,044
473,000 [] ASAHI BREWERIES LTD ........................... 5,885
10,800 o ASIA FOOD & PROPERTIES LTD WTS 07/12/02 ....... 9
1,761,114 ASSOCIATED BRITISH FOODS PLC .................. 11,646
122,889 AZUCARERA EBRO AGRICOLAS S.A. ................. 1,881
2,306,994 BASS PLC ...................................... 33,474
22,100 o BERINGER WINE ESTATES HOLDINGS, INC
(CLASS B) .................................... 923
1,942,500 BESTFOODS, INC ................................ 96,154
3,668 [] BONGRAIN S.A. ................................. 1,385
140,205 o BOSTON BEER CO, INC (CLASS A) ................. 1,130
12,480 o BRAU UND BRUNNEN AG. .......................... 824
304,947 BROWN FORMAN, INC (CLASS B) ................... 19,879
21,672 o BUSH BOAKE ALLEN, INC ......................... 634
2,378,608 CADBURY SCHWEPPES LTD ......................... 15,148
1,120,600 CAMPBELL SOUP CO .............................. 51,968
126,305 o CANANDAIGUA BRANDS, INC (CLASS A) ............. 6,623
69,809 o CARLSBERG BREWERIES AS (CLASS A) .............. 2,815
11,781 o CARLSBERG BREWERIES AS (CLASS B) .............. 491
327,000 CARLSBERG BREWERIES MALAYSIA BERHAD ........... 837
149,600 CHIQUITA BRANDS INTERNATIONAL, INC ............ 1,346
1,311,758 [] COCA COLA AMATIL LTD .......................... 5,287
264,300 COCA COLA BOTTLING CO CONSOLIDATED ............ 14,801
14,756,593 COCA COLA CO .................................. 922,287
2,023,945 COCA COLA ENTERPRISES, INC .................... 60,212
185,800 COMPANIA CERVECERIAS UNIDAS S.A. ADR .......... 5,319
3,385,588 CONAGRA, INC .................................. 90,141
53,617 COORS (ADOLPH) CO (CLASS B) ................... 2,654
569,225 CORN PRODUCTS INTERNATIONAL, INC .............. 17,326
25,500 o COTT CORP ..................................... 90
203,600 CULTOR OY SERIES 2 ............................ 3,780
21,300 CULTOR OYJ .................................... 395
74,600 o DANISCO AS .................................... 3,371
219,518 DANONE GROUP .................................. 56,597
156,000 DCC PLC ....................................... 1,271
532,299 DEAN FOODS CO ................................. 22,124
811,060 DELTA CORP .................................... 231
7,959,358 DIAGEO PLC (CLASS A) .......................... 83,119
791,957 DOLE FOOD, INC ................................ 23,264
134,344 DREYERS GRAND ICE CREAM, INC .................. 2,032
726,728 EARTHGRAINS CO ................................ 18,759
56,036 o EL AGUILA S.A. ................................ 536
200,000 o EMBOTELLADORA ANDINA ADR (CLASS A) ............ 4,000
40,700 EMBOTELLADORA ANDINA ADR (CLASS B) ............ 621
22,453 []o ERIDANIA BEGHIN-SAY S.A. ...................... 3,219
319,700 [] EZAKI GLICO CO LTD ............................ 1,915
158,825 FLOWERS INDUSTRIES, INC ....................... 3,445
7,143,858 [] FOSTERS BREWING GROUP LTD ..................... 20,134
675,800 FRASER & NEAVE LTD ............................ 2,997
1,010,814 GENERAL MILLS, INC ............................ 81,244
160,300 GOLDEN ENTERPRISES, INC ....................... 601
2,766,644 GOODMAN FIELDER LTD ........................... 2,467
12,600 o HAIN FOOD GROUP, INC .......................... 260
932,931 HEINEKEN NV ................................... 47,770
2,058,339 HEINZ (H.J.) CO ............................... 103,174
187,963 HERSHEY FOODS CORP ............................ 11,160
2,470 HOLSTEN BRAUEREI AG. .......................... 438
648,057 HORMEL FOODS CORP ............................. 26,084
155,000 [] HOUSE FOODS CORP .............................. 2,285
1,538,900 IBP, INC ...................................... 36,549
11,138 IMPERIAL SUGAR CO ............................. 77
619,080 o INTERNATIONAL HOME FOODS, INC ................. 11,414
384,411 INTERSTATE BAKERIES CORP ...................... 8,625
5,312,000 o IOI CORP ...................................... 3,034
472,700 ITOEN LTD ..................................... 31,633
See notes to financial statements. 29
<PAGE>
VALUE
SHARES (000)
---------- ---------
FOOD AND KINDRED PRODUCTS--(Continued)
197,301 ITOHAM FOODS, INC ............................. $ 802
109,200 o J & J SNACK FOODS CORP ........................ 2,621
132,000 KATOKICHI CO LTD ............................. 2,279
415,406 o KEEBLER FOODS CO .............................. 12,618
927,500 KELLOGG CO .................................... 30,608
242,900 KERRY GROUP (CLASS A) ......................... 2,881
65,000 KERRY GROUP (CLASS A) PLC ..................... 781
129,000 []o KIKKOMAN CORP ................................. 1,092
4,386,000 KIRIN BREWERY CO LTD .......................... 52,542
474,729 LANCASTER COLONY CORP ......................... 16,378
229,332 LANCE, INC .................................... 3,583
1,208,880 LION NATHAN LTD ............................... 2,895
245,504 LVMH MOET HENNESSY LOUIS VUITTON .............. 71,880
252,204 o LVMH MOET HENNESSY LOUIS VUITTON RTS .......... 7,374
91,000 MARUHA CORP ................................... 114
770,900 MCCORMICK & CO, INC (NON-VOTE) ................ 24,332
50,000 MEFOS LTD ..................................... 731
165,000 MEIJI MILK PRODUCTS CO LTD .................... 590
476,708 MEIJI SEIKA KAISHA LTD ........................ 2,666
170,675 MICHAEL FOODS, INC ............................ 4,011
102,400 o MIDWEST GRAIN PRODUCTS, INC ................... 1,139
65,997 MOLSON CO LTD (CLASS A) ....................... 1,191
1,000 MOLSON CO LTD (CLASS B) ....................... 18
2,343,596 NABISCO GROUP HOLDINGS ........................ 45,847
2,036,980 [] NABISCO HOLDINGS CORP (CLASS A) ............... 88,099
186,700 NESTLE MALAYSIA BERHAD ........................ 664
101,271 NESTLE S.A. (REGD) ............................ 182,465
783,000 NICHIREI CORP ................................. 2,070
286,000 NIPPON BEET SUGAR
MANUFACTURING CO LTD ......................... 591
547,000 NIPPON MEAT PACKERS, INC ...................... 7,140
678,000 NIPPON OIL & FATS CO LTD ...................... 1,748
732,000 NIPPON SUISAN KAISHA LTD ...................... 1,155
132,000 NISSHIN FLOUR MILLING CO LTD .................. 1,031
321,909 NISSIN FOOD PRODUCTS CO LTD ................... 7,846
325,245 [] NUMICO NV ..................................... 11,522
785,040 ORKLA AS SERIES A ............................. 12,216
43,992 ORKLA AS SERIES B ............................. 598
11,000 OSTERREICHISCHE
BRAU-AKTIENGESELLSCHAF ....................... 488
92,700 OYJ HARTWALL ABP .............................. 1,372
2,095,120 [] PARMALAT FINANZIARIA S.P.A. ................... 2,744
12,300 o PASCUAL HERMANOS S.A. ......................... 7
77,900 PENFORD CORP .................................. 1,266
15,288,201 PEPSICO, INC .................................. 591,462
109,504 PERNOD-RICARD S.A. ............................ 7,341
65,900 PILGRIMS PRIDE CORP (CLASS B) ................. 1,977
350,000 xo POWER PACIFIC LTD ............................. 0
304,681 o Q.P. CORP ..................................... 2,190
800,004 QUAKER OATS CO ................................ 53,100
1,454,700 RAISIO GROUP PLC .............................. 13,502
403,343 o RALCORP HOLDINGS, INC ......................... 6,479
5,116,473 RALSTON PURINA CO ............................. 155,733
20,300 RIVIANA FOODS, INC ............................ 381
5,000 o ROBERT MONDAVI CORP (CLASS A) ................. 182
20,000 SAKATA SEED CORP .............................. 535
145,150 [] SAPPORO BREWERIES LTD ......................... 644
5,587,800 SARA LEE CORP ................................. 126,773
598,886 SCOTTISH & NEWCASTLE PLC ...................... 6,235
10 SEABOARD CORP ................................. 3
571,500 SEAGRAMS CO LTD ............................... 28,322
15,600 SEAGRAMS CO LTD (U.S.) ........................ 786
253,900 o SMITHFIELD FOODS, INC ......................... 8,490
48,508 SMUCKER, (J.M.) CO (CLASS A) .................. 1,079
194,700 SMUCKER, (J.M.) CO (CLASS B) .................. 3,699
456,000 SNOW BRAND MILK PRODUCTS CO ................... 2,226
210,738 [] SOUTH AFRICAN BREWERIES LTD ................... 1,830
10,050 SOUTH AFRICAN BREWERIES LTD (SPONS ADR) ....... 87
1,063,362 [] SOUTHCORP LTD ................................. 4,294
266,950 []o SUIZA FOODS CORP .............................. 11,179
602,000 [] TAKARA SHUZO CO LTD ........................... 4,909
2,368,428 TATE & LYLE PLC ............................... 14,840
219,590 TCBY ENTERPRISES, INC ......................... 1,331
53,700 [] TIGER OATS LTD ................................ 489
378,240 TOOTSIE ROLL INDUSTRIES, INC .................. 14,610
1,767,960 TYSON FOODS, INC .............................. 39,779
26,400 UNICER-UNIAO CERVEIJEIRA S.A. ................. 517
790,841 UNIGATE PLC ................................... 5,024
6,409,754 UNILEVER LTD .................................. 57,035
1,551,400 UNILEVER NV CERT .............................. 104,557
1,373,528 UNITED BISCUITS HOLDINGS PLC .................. 4,130
762,572 UNIVERSAL FOODS CORP .......................... 16,109
58,200 [] VINA CONCHA Y TORO S.A. ADR ................... 2,095
28,286 VISCOFAN S.A. ................................. 321
154,600 o VLASIC FOODS INTERNATIONAL, INC ............... 1,131
394,000 WANT WANT HOLDINGS ............................ 705
278,106 WHITMAN CORP .................................. 5,006
1,666 WORTHINGTON FOODS, INC ........................ 27
5,900 o WRIGLEY (WM) JR CO ............................ 531
373,800 #o WRIGLEY (WM) JR CO (CLASS B) .................. 33,642
241,000 o YAMAZAKI BAKING CO LTD ........................ 2,991
--------------
4,246,043
--------------
FOOD STORES--0.87%
1,038,500 o 7-ELEVEN, INC ................................. 2,304
2,213,953 [] ALBERTSONS, INC ............................... 114,157
4,878 xo BRUNOS, INC ................................... 1
628,762 CARREFOUR SUPERMARCHE S.A. .................... 92,403
195,200 [] CASINO GUICHARD-PERRACHON S.A. ................ 17,111
6,200 o COLRUYT S.A. .................................. 4,079
141,650 DELHAIZE FRERES NV ............................ 12,059
225,400 DISTRIBUCION Y SERVICIO S.A. ADR .............. 4,226
1,084,750 FOOD LION, INC (CLASS A) ...................... 12,881
2,179,550 FOOD LION, INC (CLASS B) ...................... 25,201
388,900 o GENERAL NUTRITION COS, INC .................... 9,066
254,600 GREAT ATLANTIC & PACIFIC TEA CO, INC .......... 8,609
263,927 HANNAFORD BROTHERS, INC ....................... 14,120
1,454,000 ITO-YOKADO CO LTD ............................. 97,301
201,166 JERONIMO MARTINS SGPS S.A. .................... 6,645
175,000 o KAMPS AG. ..................................... 7,129
3,784,715 [] KONINKLIJKE AHOLD NV .......................... 130,366
4,862,256 o KROGER CO ..................................... 135,839
5,000 MARUETSU, INC ................................. 17
118,687 PICKN PAY STORES LTD SERIES N ................. 165
49,939 PROMODES S.A. ................................. 32,781
386,750 [] RINASCENTE S.P.A. ............................. 2,928
78,400 RUDDICK CORP .................................. 1,568
4,296,836 o SAFEWAY, INC .................................. 212,693
3,459,726 o SAFEWAY PLC ................................... 13,866
5,312,515 SAINSBURY (J) PLC ............................. 33,496
164,440 [] SEVEN-ELEVEN JAPAN CO LTD ..................... 16,112
581,130 o STARBUCKS CORP ................................ 21,829
18,964,699 TESCO PLC ..................................... 48,802
282,000 UNY CO LTD .................................... 4,240
106,131 WEIS MARKETS, INC ............................. 4,152
3,600 o WHOLE FOODS MARKET, INC ....................... 173
52,300 o WILD OATS MARKETS, INC ........................ 1,587
38,532 WINN DIXIE STORES, INC ........................ 1,423
1,538,331 [] WOOLWORTHS LTD ................................ 5,117
--------------
1,094,446
--------------
FORESTRY--0.02%
15,700 CORTICEIRA AMORIM S.A. ........................ 156
556,000 GEORGIA-PACIFIC CORP (TIMBER GROUP) ........... 14,039
617,800 KUALA LUMPUR KEPONG BERHAD .................... 761
302,939 RAYONIER, INC ................................. 15,090
---------------
30,046
---------------
30 See notes to financial statements.
<PAGE>
VALUE
SHARES (000)
---------- ---------
FURNITURE AND FIXTURES--0.16%
25,962 BASSETT FURNITURE INDUSTRIES, INC ............. $ 594
20,500 BUSH INDUSTRIES, INC (CLASS A) ................ 341
255,400 ETHAN ALLEN INTERIORS, INC .................... 9,641
540,198 o FURNITURE BRANDS INTERNATIONAL, INC ........... 15,058
370,600 HON INDUSTRIES, INC ........................... 10,817
434,796 KIMBALL INTERNATIONAL, INC (CLASS B) .......... 7,337
262,174 o KNOLL, INC .................................... 6,980
341,900 LA-Z-BOY, INC ................................. 7,864
3,167 o LADD FURNITURE, INC ........................... 67
490,488 o LEAR CORP ..................................... 24,402
490,548 LEGGETT & PLATT, INC .......................... 13,643
763,700 MILLER (HERMAN), INC .......................... 16,038
1,364,989 NEWELL RUBBERMAID, INC ........................ 63,472
115,446 o OSULLIVAN INDUSTRIES HOLDINGS, INC ............ 1,963
336,000 o PROFURN LTD ................................... 258
108,706 STEELCASE, INC ................................ 2,174
1,224,719 U.S. INDUSTRIES, INC .......................... 20,820
10,540 VIRCO MANUFACTURING ........................... 170
--------------
201,639
--------------
FURNITURE AND HOMEFURNISHINGS STORES--0.31%
1,265,800 o BED BATH & BEYOND, INC ........................ 48,733
775,800 o BEST BUY, INC ................................. 52,367
12 o BOMBAY, INC ................................... 0
618,715 []o CDNOW, INC .................................... 10,905
1,502,750 CIRCUIT CITY STORES-CIRCUIT CITY GROUP ........ 139,756
380,886 o COMPUSA, INC .................................. 2,833
332,535 []o EGGHEAD.COM, INC .............................. 3,720
55,800 o GOOD GUYS, INC ................................ 419
88,500 o GUITAR CENTER, INC ............................ 924
76,100 HAVERTY FURNITURE COS, INC .................... 2,683
4,087 HEILIG MEYERS CO .............................. 28
34,782 JD GROUP LTD .................................. 213
3,800 o LECHTERS, INC ................................. 10
144,900 o LINENS N THINGS, INC .......................... 6,339
118,678 o MAXIM GROUP, INC .............................. 1,031
983,892 o MUSICLAND STORES CORP ......................... 8,732
1,700,329 PIER 1 IMPORTS, INC ........................... 19,129
1,787 o REX STORES CORP ............................... 53
136,800 SHIMACHU CO ................................... 3,029
207,800 xo SUN TELEVISION & APPLIANCES, INC .............. 2
1,393,424 TANDY CORP .................................... 68,104
888,165 o TRANS WORLD ENTERTAINMENT CORP ................ 9,992
122,350 o WILLIAMS-SONOMA, INC .......................... 4,259
--------------
383,261
--------------
GENERAL BUILDING CONTRACTORS--0.16%
29,800 AMEC PLC ...................................... 121
577,500 BARRATT DEVELOPMENTS LTD ...................... 3,241
163,636 BERKELEY GROUP PLC ............................ 1,963
924,312 CENTEX CORP ................................... 34,719
29,974,000 CHINA RESOURCES BEIJING LAND .................. 6,876
83,800 o CROSSMAN COMMUNITIES, INC ..................... 2,435
102,138 []o DAIKYO, INC ................................... 363
442,600 DAITO TRUST CONSTRUCTION CO LTD ............... 4,936
1,919,000 DAIWA HOUSE INDUSTRY CO LTD ................... 20,182
801,800 FLETCHER CHALLENGE LTD (BUILDING DIVISION)..... 1,168
1,738,000 []o FUJITA CORP ................................... 1,292
1,000 o HASEKO CORP ................................... 1
159,000 []o HAZAMA-GUMI LTD ............................... 133
206,300 HILLENBRAND INDUSTRIES, INC ................... 8,922
523,066 HORTON (D.R.), INC ............................ 8,696
1,370,000 o IJM CORP BERHAD ............................... 1,071
165,964 JARVIS PLC .................................... 781
363,559 KAUFMAN & BROAD HOME CORP ..................... 9,044
26,000 KOMATSU CONSTRUCTION CO LTD ................... 41
798,885 [] LEIGHTON HOLDINGS LTD ......................... 3,120
691,932 LENNAR CORP ................................... 16,606
268,500 MDC HOLDINGS, INC ............................. 5,773
116,836 [] MISAWA HOMES CO LTD ........................... 491
567,000 [] NISHIMATSU CONSTRUCTION CO LTD ................ 3,251
156,893 o NVR, INC ...................................... 8,188
1,116,000 OBAYASHI CORP ................................. 5,615
337,861 PULTE CORP .................................... 7,792
162,000 RYLAND GROUP, INC ............................. 4,809
1,069,000 [] SHIMIZU CORP .................................. 4,169
171,660 SKANSKA AB SERIES B FREE ...................... 6,471
51,996,000 + SOUTH CHINA INDUSTRIES LTD .................... 4,557
342,151 STANDARD-PACIFIC CORP ........................ 4,427
1,550 o STRABAG BAU AG. ............................... 82
33,000 SUZUNUI INDUSTRY CO LTD ....................... 53
2,518,000 [] TAISEI CORP ................................... 5,534
672,290 TAYLOR WOODROW PLC ............................ 1,939
224,266 o TOLL BROTHERS, INC ............................ 4,808
10,400 o U.S. HOME CORP ................................ 369
10,700 o WALTER INDUSTRIES, INC ........................ 138
170,025 o WEBB (DEL) CORP ............................... 4,059
435,300 WILSON (CONNOLLY) HOLDINGS PLC ................ 1,184
931,000 o YTL CORP BERHAD ............................... 1,765
--------------
201,185
--------------
GENERAL MERCHANDISE STORES--1.99%
2,500 o 99 CENTS ONLY STORES .......................... 125
17,300 o AMES DEPARTMENT STORES, INC ................... 789
934,526 o BJS WHOLESALE CLUB, INC ....................... 28,094
229,500 []xo CALDOR CORP ................................... 4
843,450 CASEYS GENERAL STORES, INC .................... 12,652
2,671,842 [] COLES MYER LTD ................................ 15,545
102,706 o CONSOLIDATED STORES CORP ...................... 2,773
80,711 CORTEFIEL S.A. ................................ 2,123
89,200 o COST PLUS, INC ................................ 4,059
1,251,986 o COSTCO COS, INC ............................... 100,237
393,000 []o DAIEI, INC .................................... 1,344
166,719 [] DAIMARU, INC .................................. 815
1,149,123 [] DAVID JONES LTD ............................... 1,126
3,961,180 DAYTON HUDSON CORP ............................ 257,477
977,300 DILLARDS, INC (CLASS A) ....................... 34,328
1,399,641 DOLLAR GENERAL CORP ........................... 40,590
951,875 o DOLLAR TREE STORES, INC ....................... 41,883
146,680 FAMILY DOLLAR STORES, INC ..................... 3,520
1,778,062 o FEDERATED DEPARTMENT STORES, INC .............. 94,126
94,600 FOSCHINI LTD .................................. 199
125,700 FREDS, INC .................................... 1,964
1,901,000 GIORDANO INTERNATIONAL LTD .................... 1,348
308,100 o GOTTSCHALKS, INC .............................. 2,811
260,571 HAGEMEYER NV .................................. 8,519
199,000 HANKYU DEPARTMENT STORES, INC ................. 1,320
67,364 HARCOURT GENERAL, INC ......................... 3,473
51,450 o HOMEBASE, INC ................................. 325
148,000 HUDSONS BAY CO ................................ 1,650
154,000 ISETAN CO ..................................... 1,327
89,750 o JACOBSON STORES, INC .......................... 651
657,000 JUSCO CO LTD .................................. 11,941
4,170,000 o K MART CORP ................................... 68,544
31,803 []o KARSTADT AG. .................................. 15,284
139,100 KESCO OYJ ..................................... 1,872
4,996,419 KINGFISHER PLC ................................ 57,494
1,064,000 o KOHLS CORP .................................... 82,128
190,490 xo LURIA (L.) & SON, INC ......................... 2
6,140,431 MARKS & SPENCER PLC ........................... 35,523
616,000 [] MARUI CO LTD .................................. 10,178
2,064,982 MAY DEPARTMENT STORES CO ...................... 84,406
130,000 o MEIKLES AFRICA LTD (ZIMBABWE) ................. 115
731,213 o METRO AG. ..................................... 45,397
842,000 []o MITSUKOSHI LTD ................................ 3,659
757,800 [] MYCAL CORP .................................... 4,758
616,649 o NEIMAN-MARCUS GROUP, INC ...................... 15,840
1,303,838 PENNEY, (J.C.) CO, INC ........................ 63,318
98,600 PEPKOR LTD .................................... 397
See notes to financial statements. 31
<PAGE>
VALUE
SHARES (000)
---------- ---------
GENERAL MERCHANDISE STORES--(Continued)
92,312 PICKN PAY STORES LTD .................... $ 136
349,088 o PINAULT-PRINTEMPS-REDOUTE S.A. .......... 59,906
3,250 o RINASCENTE S.P.A. WTS 12/31/99 .......... 4
79,800 ROBINSON & CO LTD ....................... 241
865,380 o SAKS, INC ............................... 24,988
2,741,800 SEARS ROEBUCK & CO ...................... 122,181
34,078 o SEIYU LTD ............................... 189
21,630 xo SERVICE MERCHANDISE, INC ................ 8
351,600 o SHOPKO STORES, INC ...................... 12,746
90,700 SONAE INVESTIMENTOS-SGPS S.A. ........... 3,085
38,150 STOCKMANN AB OY SERIES A ................ 774
42,125 STOCKMANN B FREE ........................ 641
419,000 [] TAKASHIMAYA CO LTD ...................... 4,005
47,193 TRUWORTHS INTERNATIONAL LTD ............. 49
9,700 o VALUE CITY DEPARTMENT STORES, INC ....... 119
45,900 o VENATOR GROUP, INC ...................... 479
173,626 []xo VENTURE STORES, INC ..................... 2
22,877,018 WAL-MART STORES, INC .................... 1,103,816
1,226,079 WATERFORD WEDGWOOD PLC (UNITS) .......... 1,264
109,477 WOOLTRU LTD ............................. 187
61,000 WOOLTRU LTD (CLASS N) (NON-VOTE) ........ 99
--------------
2,500,972
--------------
HEALTH SERVICES--0.36%
17,300 o ADVANCE PARADIGM, INC ................... 1,055
171,300 o AMERICAN HOMEPATIENT, INC ............... 268
5,678 o AMERICAN RETIREMENT CORP ................ 71
53,100 o AMERIPATH, INC .......................... 458
4,200 o APPLIED ANALYTICAL INDUSTRIES, INC ...... 47
678,753 o APRIA HEALTHCARE GROUP, INC ............. 11,539
970,161 o BEVERLY ENTERPRISES, INC ................ 7,822
178,608 o CAREMATRIX CORP ......................... 2,221
106,400 o CENTENNIAL HEALTHCARE CORP .............. 562
7,100 o CLINTRIALS, INC ......................... 36
101,595 o COASTAL PHYSICIAN GROUP, INC ............ 54
4,494,599 COLUMBIA/HCA HEALTHCARE CORP ............ 102,533
558,700 o CONCENTRA MANAGED CARE, INC ............. 8,276
7,832 o CORAM HEALTHCARE CORP ................... 14
207,295 #o CORAM HEALTHCARE CORP WTS 07/11/99 ...... 0
599,816 o COVANCE, INC ............................ 14,358
176,400 o COVENTRY HEALTH CARE, INC ............... 1,929
194,900 o CURATIVE HEALTH SERVICES, INC ........... 1,072
64,982 o ENZO BIOCHEMICAL, INC ................... 642
233,500 o EXPRESS SCRIPTS, INC .................... 14,054
534,200 o EXTENDICARE, INC (CLASS A) .............. 1,678
341,800 []xo FPA MEDICAL MANAGEMENT, INC ............. 3
77,000 o GENESIS HEALTH VENTURES, INC ............ 231
48,752 o HCR MANOR CARE .......................... 1,179
6,931,300 o HEALTH MANAGEMENT ASSOCIATES, INC
(CLASS A) (NEW) ....................... 77,977
16,600 o HEALTHCARE RECOVERIES, INC .............. 79
136,700 HEALTHPLAN SERVICES CORP ................ 931
4,070,168 o HEALTHSOUTH CORP ........................ 60,798
78,900 HOOPER HOLMES, INC ...................... 1,608
255,700 o INNOVATIVE CLINICAL SOLUTION ............ 376
231,863 o INTEGRATED HEALTH SERVICES, INC ......... 1,855
698,780 o LABORATORY CORP OF AMERICA HOLDINGS ..... 2,009
75,098 o LABORATORY CORP OF AMERICA HOLDINGS
WTS 04/28/00 .......................... 0
2,483 o LCA-VISION, INC ......................... 23
224,589 o LIFEPOINT HOSPITALS, INC ................ 3,018
732,950 o LINCARE HOLDINGS, INC ................... 18,324
360 o LTC HEALTHCARE, INC ..................... 1
95,600 o MAGELLAN HEALTH SERVICES, INC ........... 956
1,210,524 o MARINER POST-ACUTE NETWORK, INC ......... 492
12,000 o MATRIA HEALTHCARE, INC .................. 87
142,100 MDS, INC (CLASS B) ...................... 3,072
15,966 []o MEDICAL RESOURCES, INC .................. 26
1,197,981 o MEDPARTNERS, INC ........................ 9,060
20,232 o NATIONAL HEALTHCARE CORP ................ 162
14,150 NICHII GAKKAN CO ........................ 1,543
488,135 o NOVACARE, INC ........................... 732
6,700 o ORTHODONTIC CENTERS OF AMERICA, INC ..... 95
18,356 o PARACELSUS HEALTHCARE CORP .............. 24
85,000 []o PEDIATRIX MEDICAL GROUP, INC ............ 1,806
23,900 []xo PHP HEALTHCARE CORP ..................... 1
642,887 o PHYCOR, INC ............................. 4,761
5,794 o PHYSICIANS RESOURCE GROUP, INC .......... 7
1,900 o PRIME MEDICAL SERVICES, INC ............. 14
97,100 o PROVINCE HEALTHCARE CO .................. 1,893
143,608 o QUEST DIAGNOSTICS, INC .................. 3,931
519,500 o QUORUM HEALTH GROUP, INC ................ 6,526
235,900 o RENAL CARE GROUP, INC ................... 6,104
177,984 o RESPONSE ONCOLOGY, INC .................. 523
368,766 []o SUN HEALTHCARE GROUP, INC ............... 138
1,996,003 o TENET HEALTHCARE CORP ................... 37,051
484,600 o TOTAL RENAL CARE HOLDINGS, INC .......... 7,542
187,289 o TRIAD HOSPITALS, INC .................... 2,528
84,100 o UNITED PAYORS & UNITED PROVIDERS, INC ... 1,950
240,600 o UNIVERSAL HEALTH SERVICES, INC .......... 11,489
554,152 o US ONCOLOGY, INC ........................ 6,650
147,888 o VENCOR, INC ............................. 22
--------------
446,286
--------------
HEAVY CONSTRUCTION, EXCEPT BUILDING--0.08%
45,900 []o ACS ACTIVIDADES CONS Y SERV ............. 1,314
9,555 o ACS ACTIVIDADES CONS Y SERV (NEW) ....... 271
1,579,000 []o AOKI CONSTRUCTION CO LTD ................ 1,004
176,700 xo ATKINSON (G.F.) CO OF CALIFORNIA ........ 0
301,820 [] AUTOPISTAS CONCESIONARIA ESPANOLA S.A. .. 3,533
312,620 o AUTOPISTAS CONCESIONAIRA ESPANOLA S.A.
RTS .................................... 181
17,800 BILFINGER & BERGER AG. .................. 440
30,208 o BOUYGUES S.A. RTS ....................... 80
124,600 BRISA-AUTO ESTRADAS DE PORTUGAL S.A. .... 5,140
168,000 []o CHIYODA CORP ............................ 347
9,928 o COSTAIN GROUP PLC ....................... 3
871,258 DRAGADOS Y CONSTRUCCIONES S.A. .......... 10,216
116,902 o DYCOM INDUSTRIES, INC ................... 6,547
12,306 ENGIL-SGPS .............................. 66
159,500 FLUOR CORP .............................. 6,460
100,648 FOMENTO CONSTRUCCIONES Y
CONTRATAS S.A. ......................... 5,761
327,802 FOSTER WHEELER CORP ..................... 4,630
126,449 GRANITE CONSTRUCTION, INC ............... 3,707
33,870 GROUPE GTM .............................. 3,633
630,000 o GRUPO FERROVIAL ......................... 15,268
131,800 HOCHTIEF AG. ............................ 6,062
46,578 HOLLANDSCHE BETON GROEP NV (H.B.G.) ..... 596
1,516,400 HONG KONG CONSTRUCTION HOLDINGS ......... 977
93,200 o HONG KONG CONSTRUCTION HOLDINGS
WTS 12/31/99 .......................... 16
777,010 o IMPREGILO S.P.A. ........................ 656
278,700 o INSITUFORM TECHNOLOGIES, INC (CLASS A) .. 6,027
668,000 [] JGC CONSTRUCTION CORP ................... 1,772
2,201,000 [] KAJIMA CORP ............................. 8,001
83,000 o KUMAGAI GUMI CO LTD ..................... 93
306,000 MAEDA ROAD CONSTRUCTION CO LTD .......... 2,060
12,950 o MASTEC, INC ............................. 366
1,000 MATSUO BRIDGE CO LTD .................... 2
200 MCDERMOTT INTERNATIONAL, INC ............ 6
30,800 o MORRSION KNUDSEN CORP ................... 318
17,039 o MORRISON KNUDSEN CORP WTS 03/11/03 ...... 60
133,000 o NIIGATA ENGINEERING CO LTD .............. 127
629,000 [] OKUMURA CORP ............................ 2,338
289,000 o PENTA OCEAN CONSTRUCTION CO LTD ......... 504
791,000 []o SATO KOGYO .............................. 660
16,560 SOCIEDADE DE CONSTRUCOES
SOARES DA COS ......................... 52
32 See notes to financial statements.
<PAGE>
VALUE
SHARES (000)
---------- ---------
HEAVY CONSTRUCTION, EXCEPT BUILDING--(Continued)
13,034 o SOMAGUE-SGPS S.A. ....................... $ 39
40,500 SUPERFOS AS ............................. 549
541,000 TOA CORP ................................ 1,006
50,000 o TOMOE ENGINEERING CO LTD ................ 293
631,000 []o TOYO ENGINEERING CO ..................... 714
82,000 TOYO EXTERIOR CORP ...................... 948
1,465,000 UNITED INDUSTRIAL CORP .................. 990
27,000 o UNITED INDUSTRIAL CORP WTS 07/05/99..... 1
3,300 o UNIVERSALE-BAU AG. ...................... 111
14,300 VA TECHNOLOGIE AG. (BR) ................. 1,296
1,000 YOKOGAWA BRIDGE CORP .................... 3
------------
105,244
------------
HOLDING AND OTHER INVESTMENT OFFICES--0.72%
600 o ALEXANDERS, INC ......................... 44
4,948 ALEXANDRIA REAL ESTATE EQUITIES, INC .... 155
3,851,293 ALLIED ZURICH PLC ....................... 48,415
264,000 AMB PROPERTY CORP ....................... 6,204
800 o AMERCO .................................. 18
152,000 AMERICAN HEALTH PROPERTIES, INC ......... 3,059
24,800 AMLI RESIDENTIAL PROPERTIES TRUST ....... 555
63,000 ANGLOVAAL INDUSTRIES LTD ................ 86
2,100 ANTHRACITE CAPITAL, INC ................. 14
405,283 APARTMENT INVESTMENT &
MANAGEMENT CO ......................... 17,326
629,953 ARCHSTONE COMMUNITIES TRUST ............. 13,820
2,000 ASSOCIATED ESTATES REALTY CORP .......... 24
39,500 o ASTRA CIA ARGENTINA S.A. ................ 72
417,341 AVALONBAY COMMUNITIES, INC .............. 15,442
50,617 [] BARLOW LTD .............................. 292
9,155,223 #o BB BIOVENTURES L.P. ..................... 11,108
96,300 BEDFORD PROPERTY INVESTORS, INC ......... 1,721
181,700 BERKSHIRE REALTY CO, INC ................ 2,101
698,000 o BOE LTD ................................. 694
355,200 BOSTON PROPERTIES, INC .................. 12,743
68,127 BOYKIN LODGING CO ....................... 1,047
172,014 BRADLEY REAL ESTATE, INC ................ 3,569
193,700 BRANDYWINE REALTY TRUST ................. 3,838
222,000 BRE PROPERTIES, INC (CLASS A) ........... 5,758
2,354,277 o BRIERLEY INVESTMENTS LTD ................ 661
31,000 BURNHAM PACIFIC PROPERTIES, INC ......... 382
270,572 CAMDEN PROPERTY TRUST ................... 7,508
19,200 CAPITAL AUTOMOTIVE REIT ................. 254
557,777 CAPSTEAD MORTGAGE CORP .................. 3,033
485,200 CARRAMERICA REALTY CORP ................. 12,130
197,400 CBL & ASSOCIATES PROPERTIES, INC ........ 5,206
204,300 CENTERPOINT PROPERTIES CORP ............. 7,482
41,500 CENTERTRUST RETAIL PROPERTIES, INC ...... 488
33,700 CHARLES E. SMITH RESIDENTIAL REALTY ..... 1,144
82,200 CHATEAU PROPERTIES, INC ................. 2,461
72,400 [] CHELSEA GCA REALTY, INC ................. 2,688
648,500 o COAST FEDERAL LITIGATION
CONTINGENT RTS .......................... 689
112,000 COLONIAL PROPERTIES TRUST ............... 3,164
52,949 COMMERCIAL NET LEASE REALTY, INC ........ 682
270,900 CORNERSTONE PROPERTIES, INC ............. 4,301
2,800 CORNERSTONE REALTY INCOME TRUST, INC .... 30
24,800 o CORONATION HOLDINGS LTD (N SHS) ......... 517
118,845 COUSINS PROPERTIES, INC ................. 4,018
807,400 CRESCENT REAL ESTATE EQUITIES CO ........ 19,176
29,910 o CRESECENT OPERATING, INC ................ 204
6,496 xo CRIIMI MAE, INC ......................... 15
241,994 CROWN AMERICAN REALTY TRUST ............. 1,770
363,000 DEVELOPERS DIVERSIFIED REALTY CORP ...... 6,035
330,660 DROTT AB SERIES B ....................... 2,684
620,392 DUKE REALTY INVESTMENTS, INC ............ 13,998
26,793 o DYNEX CAPITAL, INC ...................... 54
76,900 EASTGROUP PROPERTIES, INC ............... 1,543
170,800 ENTERTAINMENT PROPERTIES TRUST .......... 3,010
24,500 EQUITY INNS, INC ........................ 227
2,045,890 EQUITY OFFICE PROPERTIES TRUST .......... 52,426
803,051 EQUITY RESIDENTIAL PROPERTIES TRUST CO .. 36,187
7,900 ESSEX PROPERTY TRUST, INC ............... 279
4,365 o EURAFRANCE S.A. ......................... 2,710
154,100 FEDERAL REALTY INVESTMENT TRUST ......... 3,535
457,715 FELCOR LODGING TRUST, INC ............... 9,498
3,620 o FIRST HUNGARY FUND LTD (CLASS A) ........ 5,336
324,400 FIRST INDUSTRIAL REALTY TRUST, INC ...... 8,901
1,598,400 FIRST NIS REGIONAL FUND (FULLY PD) ...... 10,789
248,893 o FIRST RUSSIAN FRONTIER PLC ORD .......... 1,426
49,778 o FIRST RUSSIAN FRONTIER SERIES A
WTS 06/30/01 ........................... 23
10,360 o FIRST UNION REAL ESTATE INVESTMENTS ..... 47
295,728 FRANCHISE FINANCE CORP OF AMERICA ....... 6,506
600 GABLES RESIDENTIAL TRUST ................ 14
235,700 GENERAL GROWTH PROPERTIES, INC .......... 8,367
342,838 GETTY REALTY HOLDINGS CORP .............. 4,928
29,400 GLENBOROUGH REALTY TRUST, INC ........... 515
83,700 GLIMCHER REALTY TRUST ................... 1,360
43,530 GREAT LAKES REIT, INC ................... 707
2,000,000 o GUOCO GROUP LTD ......................... 5,362
118,800 HEALTH CARE PROPERTY INVESTORS, INC ..... 3,430
84,921 HEALTH CARE REIT, INC ................... 1,974
44,500 HEALTHCARE REALTY TRUST, INC ............ 935
394,600 HIGHWOODS PROPERTIES, INC ............... 10,827
3,878 HOME PROPERTIES OF NEW YORK, INC ........ 107
4,218 o HORIZON GROUP PROPERTIES, INC ........... 14
242,500 HOSPITALITY PROPERTIES TRUST ............ 6,578
876,100 HRPT PROPERTIES TRUST ................... 13,415
8,394,400 HUTCHINSON WHAMPOA LTD .................. 76,004
100 IMPAC MORTGAGE HOLDINGS, INC ............ 1
123,100 IMPERIAL CREDIT COMMERCIAL
MORTGAGE INVESTMENT CORP ............... 1,331
836,469 INDYMAC MORTGAGE HOLDINGS, INC .......... 13,384
182,200 INNKEEPERS U.S.A. TRUST ................. 1,822
105,700 IRT PROPERTY CO ......................... 1,044
70,400 JDN REALTY CORP ......................... 1,575
96,900 JP REALTY, INC .......................... 1,993
109,926 KILROY REALTY CORP ...................... 2,679
350,850 KIMCO REALTY CORP ....................... 13,727
87,600 KOGER EQUITY, INC ....................... 1,615
1,842,252 LAND SECURITIES PLC ..................... 24,771
26,300 LASALLE HOTEL PROPERTIES ................ 403
900 o LASER MORTGAGE MANAGEMENT, INC .......... 3
1,383,738 [] LEND LEASE CORP LTD ..................... 18,998
234,300 LIBERTY PROPERTY TRUST CO ............... 5,828
800 LTC PROPERTIES, INC ..................... 10
67,200 MACERICH CO ............................. 1,764
406,200 MACK-CALI REALTY CORP ................... 12,567
97,400 MANUFACTURED HOME COMMUNITIES, INC ...... 2,532
779,082 MEDITRUST CORP .......................... 10,177
541,381 MERISTAR HOSPITALITY CORP ............... 12,147
21,635 o MERRY LAND PROPERTIES, INC .............. 107
56,100 MGI PROPERTIES, INC ..................... 1,585
2,325 MID-AMERICA APARTMENT
COMMUNITIES, INC ....................... 54
32,109 MILLS CORP .............................. 696
89,000 NATIONAL GOLF PROPERTIES, INC ........... 2,164
102,200 NATIONAL HEALTH INVESTORS, INC .......... 2,331
175,500 NATIONWIDE HEALTH PROPERTIES, INC ....... 3,345
752,276 NEW PLAN EXCEL REALTY TRUST ............. 13,541
55,539 OMEGA HEALTHCARE INVESTORS, INC ......... 1,434
1,097,240 ORIENTAL HOLDINGS ....................... 2,704
91,900 PACIFIC GULF PROPERTIES, INC ............ 2,079
67,000 PAN PACIFIC RETAIL PROPERTIES, INC ...... 1,298
35,246 PARKWAY PROPERTIES, INC ................. 1,168
9,600 PENNSYLVANIA REAL ESTATE
INVESTMENT TRUST ....................... 201
See notes to financial statements. 33
<PAGE>
VALUE
SHARES (000)
---------- ---------
HOLDING AND OTHER INVESTMENT OFFICES--(Continued)
438,824 NOBLEZA-PICCARDO SDAD INDUSTRIAL
COMERCIAL Y FINANCIERA ................ $ 2,703
118,644 POST PROPERTIES, INC .................... 4,864
449,100 POWER CORP OF CANADA .................... 8,557
270,300 PRENTISS PROPERTIES TRUST ............... 6,352
4,575 o PRICESMART, INC ......................... 160
35,200 PRIME GROUP REALTY TRUST ................ 605
39,793 PRIME RETAIL, INC ....................... 346
393,787 PRISON REALTY TRUST, INC ................ 3,864
360,760 PROLOGIS TRUST .......................... 7,305
45,448 PS BUSINESS PARKS, INC .................. 1,108
806,280 PUBLIC STORAGE, INC ..................... 22,576
123,900 REALTY INCOME CORP ...................... 2,943
211,800 RECKSON ASSOCIATES REALTY CORP .......... 4,977
155,311 o RECKSON ASSOCIATES REALTY CORP
(CLASS B) ............................. 3,708
8,729 o REDWOOD TRUST, INC ...................... 145
76,600 REGENCY REALTY CORP ..................... 1,680
156,700 REMBRANDT GROUP LTD ..................... 1,306
208,600 RFS HOTEL INVESTORS, INC ................ 2,621
100 SAUL CENTERS, INC ....................... 2
105,800 SHURGARD STORAGE CENTERS, INC ........... 2,870
769,260 SIMON PROPERTY GROUP, INC ............... 19,520
15,300 SL GREEN REALTY CORP .................... 313
64,700 SOVRAN SELF STORAGE, INC ................ 1,743
401,200 SPIEKER PROPERTIES, INC ................. 15,597
194,801 ST. JAMES PLACE CAPITAL PLC ............. 711
13,600 [] STARWOOD FINANCIAL TRUST ................ 843
206,600 STORAGE U.S.A., INC ..................... 6,585
1,451,000 [] SUMITOMO CORP ........................... 10,609
56,500 SUMMIT PROPERTIES, INC .................. 1,116
64,200 SUN COMMUNITIES, INC .................... 2,279
118,300 SUNSTONE HOTEL INVESTORS, INC ........... 1,006
28,700 TANGER FACTORY OUTLET CENTERS, INC ...... 746
415,080 TAUBMAN CENTERS, INC .................... 5,474
129,420 THORNBURG MORTGAGE ASSET CORP ........... 1,294
35,000 TOWN & COUNTRY TRUST .................... 626
82,600 TRINET CORPORATE REALTY TRUST, INC ...... 2,287
38,800 U.S. RESTAURANT PROPERTIES, INC ......... 825
18,936,860 [] UNIONE IMMOBILIARE S.P.A. ............... 8,398
858,434 UNITED DOMINION REALTY TRUST, INC ....... 10,087
1,206 UNIVERSAL HEALTH REALTY INCOME TRUST .... 24
58,800 URBAN SHOPPING CENTERS, INC ............. 1,852
560,556 VENTAS, INC ............................. 3,013
5,465 o VORNADO OPERATING CO .................... 44
368,100 VORNADO REALTY TRUST .................... 12,999
110,200 WALDEN RESIDENTIAL PROPERTIES, INC ...... 2,369
215,300 WASHINGTON REAL ESTATE
INVESTMENT TRUST ....................... 3,647
57,000 WEEKS CORP .............................. 1,739
350,332 WEINGARTEN REALTY INVESTORS, INC ........ 14,626
59,198 o WELLSFORD REAL PROPERTIES, INC .......... 636
55,300 WESTERN INVESTMENT REAL ESTATE TRUST .... 643
163,400 WESTFIELD AMERICA, INC .................. 2,461
2,751,558 WESTFIELD TRUST (UNITS) ................. 5,569
98,025 o WESTFIELD TRUST (UNITS) (NEW) ........... 197
1,700 WINSTON HOTELS, INC ..................... 18
------------
905,525
------------
HOTELS AND OTHER LODGING PLACES--0.24%
101,736 ACCOR S.A. .............................. 25,548
747,172 o AZTAR CORP .............................. 6,865
9,050 o BRISTOL HOTELS & RESORTS, INC ........... 68
5,815,600 o CENDANT CORP ............................ 119,220
362,178 o CHOICE HOTELS INTERNATIONAL, INC ........ 7,153
39,400 []o CLUB MEDITERRANEE S.A. .................. 4,181
218,560 o CRESTLINE CAPITAL CORP .................. 3,675
2,583,934 o CROWN LTD ............................... 1,539
1,098,000 o EXTENDED STAY AMERICA, INC .............. 13,176
509,500 GENTING BERHAD .......................... 1,751
2,000 HARBOUR CENTRE DEVELOPMENT LTD .......... 2
1,266,331 o HILTON GROUP PLC ........................ 5,020
180,517 HILTON HOTELS CORP ...................... 2,561
46,353 o HOMESTEAD VILLAGE, INC .................. 113
2,586,283 o HONG KONG & SHANGHAI HOTELS LTD ......... 2,200
254,500 o HOTEL PROPERTIES LTD .................... 266
3,570 o INTERSTATE HOTELS CORP .................. 15
77,400 JURYS HOTEL GROUP PLC ................... 615
900,000 o LANDMARKS HOLDINGS BERHAD ............... 322
211,400 []o LODGIAN, INC ............................ 1,387
440,184 o MANDALAY RESORT GROUP ................... 9,299
74,415 MARCUS CORP ............................. 916
132,400 MEIKLES AFRICA LTD ...................... 126
6,400 o MERISTAR HOTELS & RESORTS, INC ........ 22
55,979 []o MGM GRAND, INC .......................... 2,743
1,754,500 o MIRAMAR HOTEL & INVESTMENT CO LTD ....... 2,137
1,415,427 o PARK PLACE ENTERTAINMENT ................ 13,712
335,571 o PRIME HOSPITALITY CORP .................. 4,027
628,450 o PROMUS HOTEL CORP ....................... 19,482
199,288 o RED ROOF INNS, INC ...................... 3,575
1,620,500 o REGAL HOTELS INTERNATIONAL LTD .......... 196
866,100 RESORTS WORLD BERHAD .................... 1,837
3,332,500 SHANGRI-LA ASIA LTD ..................... 4,123
35,000 SHANGRI-LA HOTEL LTD .................... 84
71,600 o SOL MELIA S.A. .......................... 3,024
1,313,237 STARWOOD HOTELS & RESORTS WORLDWIDE ..... 40,136
7,800 o SUBURBAN LODGES OF AMERICA, INC ......... 50
11,786 o SUNBURST HOSPITALITY CORP ............... 69
180,493 o SUNTERRA CORP ........................... 2,516
61,700 o TRENDWEST RESORTS, INC .................. 1,377
37,100 o TRUMP HOTEL & CASINO RESORT, INC ........ 169
2,831 []o VAIL RESORTS, INC ....................... 50
18,600 o VISTANA, INC ............................ 293
107,121 o WYNDHAM INTERNATIONAL, INC .............. 482
1,654,666 ZIMBABWE SUN LTD ........................ 153
------------
306,275
------------
INDUSTRIAL MACHINERY AND EQUIPMENT--7.55%
2,488,379 o 3COM CORP ............................... 66,409
96,000 o 3DFX INTERACTIVE, INC ................... 1,500
2,849,600 o ADAPTEC, INC ............................ 100,627
1,300 o AG-CHEM EQUIPMENT CO, INC ............... 13
530,400 AGCO CORP ............................... 6,000
30,856 [] AGIV AG. ................................ 699
2,700 ALAMO GROUP, INC ........................ 24
10,000 ALLIED PRODUCTS CORP .................... 29
992,000 AMADA CO LTD ............................ 7,007
251,000 AMANO CORP .............................. 2,070
961,700 o AMERICAN STANDARD COS, INC .............. 46,162
101,500 o APEX PC SOLUTIONS, INC .................. 2,081
1,354,794 []o APPLE COMPUTER, INC ..................... 62,744
2,826,600 o APPLIED MATERIALS, INC ................... 208,815
190,849 APPLIED POWER, INC (CLASS A) ............ 5,213
89,000 o ASK PROXIMA ASA ......................... 476
36,000 o ASTEC INDUSTRIES, INC ................... 1,467
19,100 o ASYST TECHNOLOGIES, INC ................. 572
90,500 ATLAS COPCO AB SERIES A FREE ............ 2,464
183,270 [] ATLAS COPCO AB SERIES B FREE ............ 4,915
4,200 o ATMI, INC ............................... 125
92,300 o AUSPEX SYSTEMS, INC ..................... 1,004
266,370 o AUTOTOTE CORP (CLASS A) ................. 633
1,487,231 BAKER HUGHES, INC ....................... 49,822
13,700 o BANCTEC, INC ............................ 246
513,600 o BELL & HOWELL CO ........................ 19,421
326,490 BLACK & DECKER CORP ..................... 20,610
36,600 o BLACK BOX CORP .......................... 1,835
139,865 o BOUYGUES OFFSHORE S.A. .................. 4,399
4,400 o BROWN & SHARPE MANUFACTURING CO
(CLASS A) ............................. 24
34 See notes to financial statements.
<PAGE>
VALUE
SHARES (000)
---------- ---------
INDUSTRIAL MACHINERY AND EQUIPMENT--(Continued)
1,112,615 BRUNSWICK CORP .......................... $ 31,014
4,250 BUDERUS AG. ............................. 1,705
221,400 o C-CUBE MICROSYSTEMS, INC ................ 7,016
488,300 o CABLETRON SYSTEMS, INC .................. 6,348
2,076 CASCADE CORP ............................ 29
717,884 CASE CORP ............................... 34,548
1,000 CATENA CORP ............................. 10
2,046,400 CATERPILLAR, INC ........................ 122,784
570,000 o CIRRUS LOGIC, INC ....................... 5,059
26,585,570 o CISCO SYSTEMS, INC ...................... 1,709,784
1,927,800 o COLTEC INDUSTRIES, INC .................. 41,809
39,100 COLUMBUS MCKINNON CORP .................. 938
10,420,844 COMPAQ COMPUTER CORP .................... 246,844
52,896 o COOPER CAMERON CORP ..................... 1,960
280,400 []o COPYTELE, INC ........................... 482
418,400 CUMMINS ENGINE CO, INC .................. 23,901
9,550 o CUNO, INC ............................... 183
6,900 o CYLINK CORP ............................. 26
132,000 DAIFUKU CO LTD .......................... 922
364,000 DAIKIN INDUSTRIES LTD ................... 4,225
167,900 o DATA GENERAL CORP ....................... 2,445
1,261,573 DEERE & CO 49,990
16,797,119 o DELL COMPUTER CORP ...................... 621,493
494,305 DELTA PLC ............................... 1,141
114,700 DETROIT DIESEL CORP ..................... 2,824
50,850 o DEUTZ AG. ............................... 346
59,000 o DIALOGIC CORP ........................... 2,589
253,200 o DIAMOND MULTIMEDIA SYSTEMS, INC ......... 1,044
1,247,462 DIEBOLD, INC ............................ 35,865
120,805 o DIGI INTERNATIONAL, INC ................. 1,261
242,400 DONALDSON CO, INC ....................... 5,939
828,250 DOVER CORP .............................. 28,989
69,000 []o DREXLER TECHNOLOGY CORP ................ 656
36,600 o DRIL-QUIP, INC .......................... 840
1,200 DT INDUSTRIES, INC ...................... 11
453,000 [] EBARA CORP .............................. 5,386
10,700 o ELECTROGLAS, INC ........................ 214
7,324,978 o EMC CORP ................................ 402,874
3,000 o EMULEX CORP ............................. 334
3,100 o ENCAD, INC .............................. 20
20,400 o EST ASIATIQUE ........................... 211
133,520 o ESTERLINE CORP .......................... 1,919
34,800 o ETEC SYSTEMS, INC ....................... 1,157
4,300 o EXABYTE CORP ............................ 17
149,121 FAG KUGELFISCHER (GEORG) SCHAEFER AG. ... 1,515
441,320 FANUC LTD ............................... 23,699
248,270 FEDDERS CORP ............................ 1,660
153,550 FEDDERS CORP (CLASS A) .................. 940
600 o FEI CO .................................. 5
1,786,995 FKI PLC ................................. 5,521
662,610 FLOWSERVE CORP .......................... 12,548
63,300 FLS INDUSTRIES AS (CLASS B) ............. 1,646
6,900 o FSI INTERNATIONAL, INC .................. 57
2,000 FUJI TEC CO LTD ......................... 19
2,384,251 FUTURIS CORP LTD ........................ 3,472
150,991 o GARDNER DENVER, INC ..................... 2,435
478,138 o GATEWAY, INC ............................ 28,210
14,800 GENERAL BINDING CORP .................... 348
44,200 GLEASON CORP ............................ 743
211,917 o GLOBAL INDUSTRIAL TECHNOLOGIES, INC ..... 2,556
235,981 GRACO, INC .............................. 6,932
6,962 o GRADCO SYSTEMS, INC ..................... 18
61,100 HARDINGE, INC ........................... 1,073
138,200 xo HARNISCHFEGER INDUSTRIES, INC ........... 276
6,592,497 HEWLETT-PACKARD CO ...................... 662,546
1,090,000 HITACHI ZOSEN CORP ...................... 1,315
277,700 o HORIZON OFFSHORE, INC ................... 2,152
765,673 HUSSMANN INTERNATIONAL, INC ............. 12,681
59,100 o HYPERCOM CORP 565
26,230 IDEX CORP ............................... 862
2,500 o IN FOCUS SYSTEMS, INC ................... 38
69,530 o INDUSTRIE-WERKE KARLSRUHE
AUGSBURG AG. ........................... 1,578
1,017,100 INGERSOLL-RAND CO ....................... 65,730
18,438,450 * INTERNATIONAL BUSINESS MACHINES CORP .... 2,383,170
500 o INTEVAC, INC ............................ 3
430,651 IOMEGA CORP ............................. 2,126
400 o IONICS, INC ............................. 15
256,305 o IRI INTERNATIONAL CORP .................. 1,185
576,600 JLG INDUSTRIES, INC ..................... 11,748
96,100 o JTS CORP ................................ 0
202,400 KAYDON CORP ............................. 6,806
80,000 KCI KONESCRANES INTERNATIONAL ........... 2,748
192,290 KENNAMETAL, INC ......................... 5,961
1,645,900 KEPPEL CORP ............................. 5,607
2,483,000 KOMATSU LTD ............................. 15,857
402,000 [] KOMORI CORP ............................. 7,240
10,800 KONE CORP SERIES B ...................... 1,348
470,000 [] KOYO SEIKO CO LTD ....................... 4,097
82,800 o KRONOS, INC ............................. 3,767
2,631,000 [] KUBOTA CORP ............................. 7,869
5,800 o KULICHE & SOFFA INDUSTRIES, INC ......... 156
478,659 o LAM RESEARCH CORP ....................... 22,347
1,099,666 o LEXMARK INTERNATIONAL GROUP (CLASS A) ... 72,647
89,300 LINCOLN ELECTRIC HOLDINGS CO ............ 1,831
25,993 LINDE AG. ............................... 15,575
14,450 LINDSAY MANUFACTURING CO ................ 254
7,100 LUFKIN INDUSTRIES, INC .................. 142
47,000 MAKINO MILLING MACHINE CO LTD ........... 322
397,000 MAKITA CORP ............................. 4,490
169,762 MANITOWOC, INC .......................... 7,066
80,800 METRA CO SERIES B ....................... 1,708
193,400 o MICROS SYSTEMS, INC ..................... 6,576
2,000 o MICROTOUCH SYSTEMS, INC ................. 30
530,052 MILACRON, INC ........................... 9,806
188,000 [] MINEBEA CO LTD .......................... 2,097
9,010,000 MITSUBISHI HEAVY INDUSTRIES LTD ......... 36,549
324,000 MORI SEIKI CO LTD ....................... 4,417
21,100 o MTI TECHNOLOGY CORP ..................... 276
41,057 NACCO INDUSTRIES, INC (CLASS A) ......... 3,018
7,691 o NASHUA CORP ............................. 76
27,030 o NATIONAL INSTRUMENTS CORP ............... 1,091
107,500 o NETWORK COMPUTING DEVICES, INC .......... 517
8,641 o NETWORK EQUIPMENT TECHNOLOGIES, INC ..... 85
5,000 NIKKO CO LTD ............................ 13
1,800 NN BALL & ROLLER, INC ................... 10
100,572 NORDSON CORP ............................ 6,160
128,609 o NOVELLUS SYSTEMS, INC ................... 8,778
1,171,000 NSK LTD ................................. 6,424
693,000 NTN TOYO BEARING CO LTD ................. 2,365
176,487 OKUMA CORP .............................. 819
64,000 OMNIQUIP INTERNATIONAL, INC ............. 504
177,000 OMRON CORP .............................. 3,071
5,716 o OSMONICS, INC ........................... 62
39,326 PALL CORP ............................... 873
430,400 PENTAIR, INC ............................ 19,691
1,471,241 PITNEY BOWES, INC ....................... 94,527
2,000 o POKPHAND (C.P.) CO LTD .................. 0
25,700 o PRESSTEK, INC ........................... 186
9,500 o PRI AUTOMATION, INC ..................... 344
2,200 o PROXIM, INC ............................. 128
274,502 o QMS, INC ................................ 1,510
859,100 []o QUANTUM CORP ............................ 20,726
3,133 RAUMA OY ................................ 37
1,000 ROBBINS & MYERS, INC .................... 22
368,650 ROPER INDUSTRIES, INC ................... 11,797
119,300 o SANDISK CORP ............................ 5,369
262,000 SANDVIK AB SERIES A ..................... 5,716
99,000 SANDVIK AB SERIES B FREE ................ 2,189
See notes to financial statements. 35
<PAGE>
VALUE
SHARES (000)
---------- ---------
INDUSTRIAL MACHINERY AND EQUIPMENT--(Continued)
100,000 SANSO ELECTRIC CO LTD ................... $ 537
120,100 SAUER, INC .............................. 1,291
4,058 SCHINDLER HOLDINGS LTD (PT CERT) ........ 6,213
2,240 SCHINDLER HOLDINGS LTD (REGD) ........... 3,458
39,439 SCOTSMAN INDUSTRIES, INC ................ 850
2,191,135 o SEAGATE TECHNOLOGY, INC ................. 56,148
53,800 o SECURITY DYNAMICS TECHNOLOGIES, INC ..... 1,143
211,500 o SEQUENT COMPUTER SYSTEMS, INC ........... 3,754
327,004 [] SIDEL S.A. .............................. 39,761
1,201,604 o SILICON GRAPHICS, INC ................... 19,676
1,400 o SILICON VALLEY GROUP, INC ............... 24
285,614 o SMITH INTERNATIONAL, INC ................ 12,406
116,200 o SPECIALTY EQUIPMENT COS, INC ............ 3,421
120,361 o SPEEDFAM-IPEC, INC ...................... 1,933
244,300 o SPLASH TECHNOLOGY HOLDINGS, INC ......... 1,718
126,082 STANDEX INTERNATIONAL CORP .............. 3,451
28,435 STARRETT (L.S.) CO (CLASS A) ............ 764
34,000 # STARRETT (L.S.) CO (CLASS B) ............ 914
618,746 o STORAGE TECHNOLOGY CORP ................. 14,076
46,011 STORK NV ................................ 1,049
512,000 xo STREAMLOGIC CORP ........................ 0
2,500 o SULZER WINTERTHUR AG. (REGD) ............ 1,520
20,000 SVENSKA KULLAGERFABRIKEN AB SERIES A
FREE ................................... 353
134,801 SVENSKA KULLAGERFABRIKEN AB SERIES B .... 2,489
554,000 SYMBOL TECHNOLOGIES, INC ................ 20,429
59,000 TAKUMA CO LTD ........................... 544
191,900 TECUMSEH PRODUCTS CO (CLASS A) .......... 11,622
31,300 TECUMSEH PRODUCTS CO (CLASS B) .......... 1,706
77,100 TELXON CORP ............................. 612
190,500 TENNANT CO .............................. 6,096
2,597,646 TENNECO, INC ............................ 62,019
120,800 o TEREX CORP .............................. 3,677
1,500 o THERMO FIBERTEK, INC .................... 11
911,553 TIMKEN CO ............................... 17,775
192,250 TOMRA SYSTEMS AS ........................ 7,228
30,250 TORO CO ................................. 1,191
461,900 [] TOYODA AUTOMATIC LOOM WORKS LTD ......... 7,842
242,500 o TRICORD SYSTEMS, INC .................... 864
67,000 TSUBAKIMOTO CHAIN CO .................... 239
12,383,108 TYCO INTERNATIONAL LTD .................. 1,173,299
4,156 o ULTRATECH STEPPER, INC .................. 63
5,529,000 o UNISYS CORP ............................. 215,285
233,188 o UNOVA, INC .............................. 3,702
109,800 VALMET OY SERIES A ...................... 1,246
593,579 o VARCO INTERNATIONAL, INC ................ 6,492
237,100 o VISUAL NETWORKS, INC .................... 7,587
2,100 WATKINS-JOHNSON CO ...................... 62
706,600 []o WESTERN DIGITAL CORP .................... 4,593
193,400 o XIRCOM, INC ............................. 5,814
762,400 YORK INTERNATIONAL CORP ................. 32,640
64,258 ZARDOYA OTIS S.A. ....................... 1,614
35,300 o ZEBRA TECHNOLOGY CORP ................... 1,357
1,440 #o ZEBRA TECHNOLOGY CORP (CLASS B) ......... 55
------------
9,480,255
------------
INSTRUMENTS AND RELATED PRODUCTS--2.27%
143,000 o ACUSON CORP ............................. 2,458
215,375 o ADAC LABORATORIES, INC .................. 1,561
2,000 o ADE CORP ................................ 24
16,300 o AFFYMETRIX, INC ......................... 805
94,100 o ALARIS MEDICAL, INC ..................... 318
2,600 o ANACOMP, INC ............................ 44
83,100 ANALOGIC CORP ........................... 2,584
195,494 ARROW INTERNATIONAL, INC ................ 5,058
223,200 o AVID TECHNOLOGIES, INC .................. 3,599
49,960 o BABCOCK BORSIG AG. ...................... 2,319
10,673 o BACOU U.S.A., INC ....................... 182
65,333 BALLARD MEDICAL PRODUCTS CO ............. 1,523
314,725 BARD (C.R.), INC ........................ 15,048
220,523 BAUSCH & LOMB, INC ...................... 16,870
1,691,663 BAXTER INTERNATIONAL, INC ............... 102,557
97,100 o BAXTER INTERNATIONAL, INC RTS ........... 9
354,987 BECKMAN COULTER, INC .................... 17,261
1,274,524 BECTON DICKINSON & CO ................... 38,236
83,456 o BIO-RAD LABORATORIES, INC (CLASS A) ..... 2,180
635,800 o BIOMET, INC ............................. 25,273
53,624 o BOLLE, INC .............................. 147
1,909,250 o BOSTON SCIENTIFIC CORP .................. 83,888
1,663,000 CANON, INC .............................. 47,812
806,000 CASIO COMPUTER CO LTD ................... 6,126
1,866 o CHYRON CORP ............................ 3
692,000 CITIZEN WATCH CO LTD .................... 6,003
40,000 []o CLOSURE MEDICAL CORP .................... 1,200
19,700 o CNS, INC ................................ 67
78,000 o COGNEX CORP ............................. 2,462
91,480 o COHERENT, INC ........................... 1,704
108,100 o COHESION TECHNOLOGIES, INC .............. 649
28,000 COHU, INC ............................... 991
22,100 o COLE NATIONAL CORP (CLASS A) ............ 175
3,400 o COLLAGEN AESTHETICS, INC ................ 47
216,000 o CONMED CORP ............................. 6,615
84,875 COOPER COS, INC ......................... 2,117
8,200 xo CPX CORP ................................ 1
90,600 o CREDENCE SYSTEMS CORP ................... 3,364
94,980 CUBIC CORP .............................. 2,339
1,700 o CYBERONICS, INC ......................... 21
180,096 o CYMER, INC .............................. 4,502
75,600 o CYTYC CORP .............................. 1,474
201,000 o DATASCOPE CORP .......................... 6,457
742,500 DENTSPLY INTERNATIONAL, INC ............. 21,440
145,304 o DIONEX CORP ............................. 5,885
139,250 o DYNATECH CORP ........................... 479
2,453,389 EASTMAN KODAK CO ........................ 166,217
1,871 o ESCO ELECTRONICS CORP (TRUST RECEIPT) ... 24
29,684 [] ESSILOR INTERNATIONAL ................... 9,279
134,450 o FOSSIL, INC ............................. 6,504
537 FRESENIUS MEDICAL CARE AG. ADR .......... 11
1,785,500 [] FUJI PHOTO FILM CO LTD .................. 67,561
395,800 o GENRAD, INC ............................. 8,238
106,600 o GENZYME SURGICAL PRODUCTS ............... 470
2,838,995 o GUIDANT CORP ............................ 146,031
145,400 o HAEMONETICS CORP ........................ 2,917
301,800 o HANGER ORTHOPEDIC GROUP, INC ............ 4,282
27,100 o HEARTPORT, INC .......................... 64
63,700 o HIE, INC ................................ 151
800 o HOLOGIC, INC ............................ 5
2,064,300 HONEYWELL, INC .......................... 239,201
29,100 o I-STAT CORP ............................. 266
36,400 o IMATRON, INC ............................ 52
1,099,652 IMI PLC ................................. 4,455
774 o INPUT/OUTPUT, INC ....................... 6
154,300 INVACARE CORP ........................... 4,128
26,008,109 INVENSYS PLC ............................ 123,092
73,400 o ISOLYSER CO, INC ........................ 344
786,028 JOHNSON CONTROLS, INC ................... 54,482
83,430 KEYENCE CORP ............................ 14,599
805,700 o KLA-TENCOR CORP ......................... 52,270
913,000 KONICA CORP ............................. 3,764
1,700 o LECROY CORP ............................. 40
16,300 o LIFECORE BIOMEDICAL, INC ................ 187
359,997 o LITTON INDUSTRIES, INC .................. 25,830
200 o LTX CORP ................................ 3
1,000 o LUNAR CORP .............................. 8
43,000 o LUXOTTICA GROUP S.P.A. ADR .............. 669
86,100 o MAXXIM MEDICAL, INC ..................... 2,007
4,491,303 MEDTRONIC, INC .......................... 349,760
23,600 MENTOR CORP ............................. 440
484,000 o METTLER-TOLEDO INTERNATIONAL, INC ....... 12,009
36 See notes to financial statements.
<PAGE>
VALUE
SHARES (000)
---------- ---------
INSTRUMENTS AND RELATED PRODUCTS--(Continued)%
115,500 MILLIPORE CORP .......................... $ 4,685
96,000 MINE SAFETY APPLIANCE CO ................ 6,144
13,700 o MINIMED, INC ............................ 1,054
77,900 MOVADO GROUP, INC ....................... 2,016
227,400 MTS SYSTEMS CORP ........................ 2,771
7,500 o NEOPATH, INC ............................ 29
154,200 NEWPORT CORP ............................ 2,390
619,000 NIKON CORP .............................. 10,126
35,300 o NOVOSTE CORP ............................ 741
3,100 o OAKLEY, INC ............................. 22
125,103 OCE NV .................................. 3,187
212,300 o OCULAR SCIENCES, INC .................... 3,689
91,800 o OEC MEDICAL SYSTEMS, INC ................ 2,249
1,505,000 OLYMPUS OPTICAL CO LTD .................. 22,244
1,300 OPTICAL COATING LABORATORIES, INC ....... 109
86 o PANAVISION, INC (NEW) ................... 1
59,376 o PE CORP-CELERA GENOMICS GROUP ........... 961
127,353 PE CORP-PE BIOSYSTEMS GROUP ............. 14,614
3,100 o PERCEPTION, INC ......................... 14
43,300 o PERCLOSE, INC ........................... 2,081
285,200 o PINNACLE SYSTEMS, INC ................... 9,590
432,508 POLAROID CORP ........................... 11,948
28,000 []o POSSIS MEDICAL, INC ..................... 329
11,450 o RADIOMETER AS (CLASS B) ................. 557
1,126,998 RAYTHEON CO (CLASS A) ................... 77,622
879,951 RAYTHEON CO (CLASS B) ................... 61,927
265,300 o RESMED, INC ............................. 8,805
233,678 o RESPIRONICS, INC ........................ 3,534
712,923 [] RICOH CO LTD ............................ 9,813
31,400 o ROBOTIC VISION SYSTEMS, INC ............. 118
2,400 o ROFIN-SINAR TECHNOLOGIES, INC ........... 19
62,400 o SABRATEK CORP ........................... 1,365
8,637 o SAGEM S.A. .............................. 5,772
1,900 o SCHICK TECHNOLOGIES, INC ................ 6
59,800 o SCOTT TECHNOLOGIES, INC ................. 1,151
66,800 o SEPRACOR, INC ........................... 5,428
11,349 o SOLA INTERNATIONAL, INC ................. 221
70,956 o SONOSITE, INC ........................... 1,206
2,160 o SPACELABS MEDICAL, INC .................. 41
1,086,658 o ST. JUDE MEDICAL, INC ................... 38,712
2,100 o STAAR SURGICAL CO ....................... 28
446,844 o STERIS CORP ............................. 8,658
96,680 o STRYKER CORP ............................ 5,813
55,100 o SUMMIT TECHNOLOGY, INC .................. 1,212
2,800 o SUNRISE MEDICAL, INC .................... 20
656,000 o SYBRON INTERNATIONAL CORP ............... 18,081
7,000 o TAVA TECHNOLOGIES, INC .................. 54
41,635 o TECH-SYM CORP ........................... 989
1,104,279 TEKTRONIX, INC .......................... 33,335
345,053 o TERADYNE, INC ........................... 24,758
1,000 THE SWATCH GROUP AG. (BR) ............... 673
48,090 [] THE SWATCH GROUP AG. (REGD) ............. 6,867
58,350 o THERMEDICS, INC ......................... 543
100 o THERMO BIOANALYSIS CORP ................. 2
3,100 o THERMO CARDIOSYSTEMS, INC ............... 34
114,922 o THERMO ELECTRON CORP .................... 2,306
4,185 o THERMO INSTRUMENT SYSTEMS, INC .......... 71
3,800 o THERMO OPTEK CORP ....................... 39
1,200 o THERMOQUEST CORP ........................ 16
7,000 o THERMOSPECTRA CORP ...................... 111
36,900 o THERMOTREX CORP ......................... 281
898 o TREX MEDICAL CORP ....................... 5
43,200 o TRIMBLE NAVIGATION LTD .................. 556
428 o VARIAN MEDICAL SYSTEMS, INC ............. 11
428 o VARIAN, INC ............................. 6
48,600 o VEECO INSTRUMENTS, INC .................. 1,652
28,400 []o VENTANA MEDICAL SYSTEMS, INC ............ 543
609,200 o VISX, INC ............................... 48,241
86,500 VITAL SIGNS, INC ........................ 1,725
494,600 []o VIVUS, INC .............................. 1,298
47,020 o WATERS CORP ............................. 2,498
182,118 o WESLEY JESSEN VISIONCARE, INC ........... 5,896
1,897,322 WILLIAMS PLC ............................ 12,531
7,000 o WIRELESS TELECOM GROUP, INC ............. 16
206,100 X RITE, INC ............................. 1,327
10,163,080 XEROX CORP .............................. 600,257
27,400 o XOMED SURGICAL PRODUCTS, INC ............ 1,334
773,000 YOKOGAWA ELECTRIC CORP .................. 4,566
38,900 o ZYGO CORP ............................... 445
------------
2,847,332
------------
INSURANCE AGENTS, BROKERS AND SERVICE--0.17%
21,800 BLANCH (E.W.) HOLDINGS, INC ............. 1,486
44,292 BROWN & BROWN, INC ...................... 1,683
235,100 CRAWFORD & CO (CLASS A) ................. 3,174
162,100 CRAWFORD & CO (CLASS B) ................. 2,634
606,706 o FIRST HEALTH GROUP CORP ................. 13,082
1,929,683 FORTIS B ................................ 60,598
51,968 o FORTIS B CVG ............................ 296
486,027 o FORTIS B NPV (STRIP VVPR) ............... 5
12,100 GALLAGHER (ARTHUR J.) & CO .............. 599
8,180 GENERALI HOLDINGS VIENNA ................ 1,502
34,362 HILB, ROGAL & HAMILTON CO ............... 769
250,684 LAB HOLDINGS, INC ....................... 3,478
20,500 MARSCHOLLEK LAUT UND PARTNER ............ 9,619
1,544,769 MARSH & MCLENNAN COS, INC ............... 116,630
------------
215,555
------------
INSURANCE CARRIERS--4.92%
33,400 20TH CENTURY INDUSTRIES ................. 630
93,095 AACHENER & MUNCHENER BETEIL (BR) ........ 9,457
1,800 o ACCEPTANCE INSURANCE COS, INC ........... 27
65,000 ACE LTD ................................. 1,836
2,253,300 [] AEGON NV ................................ 163,481
23,468 [] AEGON NV ARS ............................ 1,737
1,345,021 AETNA, INC .............................. 120,295
2,051,646 AFLAC, INC .............................. 98,223
3,880 o AGF-ASSUR GEN DE FRANCE CVG ............. 3
105,900 ALFA CORP ............................... 2,118
104,472 o ALLEGHANY CORP (DELAWARE) ............... 19,327
649,517 []o ALLIANZ AG. (REGD) ...................... 180,189
428,631 o ALLMERICA FINANCIAL CORP ................ 26,066
11,175,406 ALLSTATE CORP ........................... 400,918
559,100 AMBAC FINANCIAL GROUP, INC .............. 31,939
183,101 o AMERICAN ANNUITY GROUP, INC ............. 4,440
32,700 AMERICAN BANKERS INSURANCE
GROUP, INC ............................. 1,780
232,508 AMERICAN FINANCIAL GROUP, INC ........... 7,920
1,623,182 AMERICAN GENERAL CORP ................... 122,347
85,699 AMERICAN HERITAGE LIFE
INVESTMENT CORP ......................... 2,100
9,672,359 AMERICAN INTERNATIONAL GROUP, INC ...... 1,132,271
58,700 o AMERICAN MEDICAL SECURITY GROUP ......... 506
230,400 AMERICAN NATIONAL INSURANCE CO .......... 16,416
92,830 AMERUS LIFE HOLDINGS, INC (CLASS A) ..... 2,506
1,820,000 AMP LTD ................................. 19,896
1,124,225 AON CORP ................................ 46,374
238,552 ARGONAUT GROUP, INC ..................... 5,725
146,700 ARM FINANCIAL GROUP, INC (CLASS A) ...... 1,247
4,476,723 ASSICURAZIONI GENERALI S.P.A. ........... 155,126
956,068 AXA ..................................... 116,643
7,672 []o AXA CTF DE VALEUR GARANT ................ 53
234,650 BERKLEY (W.R.) CORP ..................... 5,866
666 o BERKSHIRE HATHAWAY, INC (CLASS A) ....... 45,887
15 o BERKSHIRE HATHAWAY, INC (CLASS B) ....... 34
250,800 CAPITAL RE CORP ......................... 4,028
1,100 CAPITOL TRANSAMERICA CORP ............... 15
1,634,950 CGU PLC ................................. 23,620
See notes to financial statements. 37
<PAGE>
VALUE
SHARES (000)
---------- ---------
INSURANCE CARRIERS--(Continued)
12,000 CHARTWELL RE CORP ....................... $ 224
244,472 CHICAGO TITLE CORP ...................... 8,725
950 CHIYODA FIRE & MARINE INSURANCE CO LTD .. 3
964,710 CHUBB CORP .............................. 67,047
1,244,172 CIGNA CORP .............................. 110,731
946,085 CINCINNATI FINANCIAL CORP ............... 35,537
27,733,790 CITIGROUP, INC .......................... 1,317,355
79,400 o CNA FINANCIAL CORP ...................... 3,201
20,800 CNA SURETY CORP ......................... 319
36,196 COLONIA KONZERN AG. (REGD) .............. 3,472
1,500,658 COLONIAL LTD ............................ 5,314
109,840 COMMERCE GROUP, INC ..................... 2,677
24,900 COMPANHIA DE SEGUROS TRANQUILIDADE ...... 627
2,331,023 CONSECO, INC ............................ 70,951
117,431 CORPORACION MAPFRE S.A. ................. 2,392
22,968 o DELPHI FINANCIAL GROUP, INC ............. 824
178,900 ENHANCE FINANCIAL SERVICES GROUP, INC ... 3,533
697,300 EQUITABLE COS, INC ...................... 46,719
96,600 ERIE INDEMNITY CO (CLASS A) ............. 2,753
477,766 EVEREST REINSURANCE HOLDINGS, INC ....... 15,587
2,900 EXECUTIVE RISK, INC ..................... 247
29,750 o FAIRFAX FINANCIAL HOLDINGS LTD .......... 7,939
209,129 FBL FINANCIAL GROUP, INC (CLASS A) ...... 4,078
48,800 o FEDSURE HOLDINGS LTD .................... 513
285,930 FIDELITY NATIONAL FINANCIAL, INC ........ 6,005
194,621 FINANCIAL SECURITY ASSURANCE
HOLDINGS LTD .......................... 10,120
715,648 FIRST AMERICAN FINANCIAL CORP ........... 12,792
714,000 FOREMOST CORP OF AMERICA ................ 15,708
174,575 o FOUNDATION HEALTH SYSTEMS (CLASS A) ..... 2,619
4,900 o FPIC INSURANCE GROUP, INC ............... 238
416,460 FREMONT GENERAL CORP .................... 7,861
211,740 FRONTIER INSURANCE GROUP, INC ........... 3,256
5,000 GAINSCO, INC ............................ 29
1,717,277 [] GIO AUSTRALIAN HOLDINGS LTD ............. 4,183
29,900 GUARANTEE LIFE COS, INC ................. 751
5,490 xo HAFNIA HOLDINGS ......................... 0
174,400 HARLEYSVILLE GROUP, INC ................. 3,575
1,317,707 HARTFORD FINANCIAL SERVICES GROUP, INC .. 76,839
169,487 HARTFORD LIFE, INC (CLASS A) ............ 8,919
8,700 HCC INSURANCE HOLDINGS, INC ............. 197
2,351 o HIGHLANDS INSURANCE GROUP, INC .......... 25
3,000,389 [] HIH INSURANCE LTD ....................... 3,714
27,632 HORACE MANN EDUCATORS CORP .............. 751
600 HSB GROUP, INC .......................... 25
244,200 o HUMANA, INC ............................. 3,159
10,000 o IFIL FINANZIARIA DI PARTECIPAZIONI ...... 36
19,988,660 o INSTITUTO NAZIONALE DELLE ASSICURAZION .. 46,382
973,426 JEFFERSON-PILOT CORP .................... 64,429
21,700 KANSAS CITY LIFE INSURANCE CO ........... 933
97,840 LANDAMERICA FINANCIAL GROUP, INC ........ 2,813
5,647,172 LEGAL & GENERAL GROUP PLC ............... 14,376
52,714 LIBERTY CORP ............................ 2,873
10,000 LIBERTY FINANCIAL COS, INC .............. 291
40,878 []o LIBERTY INTERNATIONAL PLC ............... 271
87,025 [] LIBERTY LIFE ASSOCIATION OF AFRICA LTD .. 1,115
2,100 LIFE U.S.A. HOLDINGS, INC ............... 43
1,430,000 LINCOLN NATIONAL CORP ................... 74,807
410,800 LOEWS CORP .............................. 32,505
12,500 o MARKEL CORP ............................. 2,338
3,920 o MAXICARE HEALTH PLANS, INC .............. 19
321,287 MBIA, INC ............................... 20,803
12,055 MEADOWBROOK INSURANCE GROUP ............. 164
86,951 o MEDICAL ASSURANCE, INC .................. 2,456
1,300,000 [] MEDIOLANUM S.P.A. ....................... 9,988
53,000 MERCURY GENERAL CORP .................... 1,802
296,600 [] METROPOLITAN LIFE LTD ................... 440
1,171,200 MGIC INVESTMENT CORP .................... 56,950
87,200 o MID ATLANTIC MEDICAL SERVICES, INC ...... 861
10,291 MIDLAND CO .............................. 261
1,062,050 [] MITSUI TAISHO MARINE & FIRE CO LTD ...... 5,221
50,918 MMI COS, INC ............................ 859
241,090 []o MUENCHENER RUECKVER AG. (REGD) .......... 44,630
214,770 o MUENCHENER RUECKVER AG. (REGD) (NEW) .... 39,204
200 o NATIONAL WESTERN LIFE INSURANCE CO ...... 19
96,100 NATIONWIDE FINANCIAL SERVICES, INC
(CLASS A) ............................. 4,349
1,036,000 NICHIDO FIRE & MARINE INSURANCE CO LTD .. 5,332
1,151,000 NIPPON FIRE & MARINE INSURANCE CO LTD ... 3,899
280,600 NISSAN FIRE & MARINE INSURANCE CO LTD ... 881
1,000 NYMAGIC, INC ............................ 16
183,600 [] OHIO CASUALTY CORP ...................... 6,633
1,473,510 OLD REPUBLIC INTERNATIONAL CORP ......... 25,510
16,212 ORION CAPITAL CORP ...................... 582
1,261,428 o OXFORD HEALTH PLANS, INC ................ 19,631
463,548 o PACIFICARE HEALTH SYSTEMS, INC (CLASS A) 33,346
36,100 o PENN TREATY AMERICAN CORP ............... 869
6,800 []o PENNCORP FINANCIAL GROUP, INC ........... 3
1,300 o PHILADELPHIA CONSOLIDATED
HOLDINGS CORP ......................... 32
5,100 PMA CAPITAL CORP (CLASS A) .............. 105
294,034 PMI GROUP, INC .......................... 18,469
61,300 POHJOLA INSURANCE CO LTD SERIES B ....... 3,145
219,400 PRESIDENTIAL LIFE CORP .................. 4,306
149,050 PROGRESSIVE CORP ........................ 21,612
207,000 PROTECTIVE LIFE CORP .................... 6,831
216,050 PROVIDENT COS, INC ...................... 8,642
3,287,004 PRUDENTIAL CORP PLC ..................... 48,393
31,800 PXRE CORP ............................... 576
1,563,624 QBE INSURANCE GROUP LTD ................. 5,951
669,420 RADIAN GROUP, INC ....................... 32,676
847,459 [] RAS S.P.A. .............................. 8,233
756,448 REINSURANCE AUSTRALIA CORP LTD .......... 631
281,675 REINSURANCE GROUP OF AMERICA, INC ....... 9,929
423,678 RELIANCE GROUP HOLDINGS, INC ............ 3,151
542,681 RELIASTAR FINANCIAL CORP ................ 23,742
58,800 o RISK CAPITAL HOLDINGS, INC .............. 794
3,500 RLI CORP ................................ 136
3,520,494 ROYAL & SUN ALLIANCE INSURANCE
GROUP PLC ............................. 31,576
376,300 SAFECO CORP ............................. 16,604
213,200 o SAFEGUARD HEALTH ENTERPRISES, INC ....... 959
247,190 SAI S.P.A. .............................. 2,549
165,500 SAMPO INSURANCE CO SERIES A ............. 4,796
728,000 o SANLAM LTD .............................. 863
40,000 SCOTTISH ANNUITY & LIFE HOLDINGS LTD .... 430
31,567 SCPIE HOLDINGS, INC ..................... 1,030
774,500 SELECTIVE INSURANCE GROUP, INC .......... 14,764
120,150 o SIERRA HEALTH SERVICES, INC ............. 1,735
1,686,665 SKANDIA FORSAKRINGS AB .................. 31,543
918,422 ST. PAUL COS, INC ....................... 29,217
500 STATE AUTO FINANCIAL CORP ............... 7
109,400 STEWART INFORMATION SERVICES CORP ....... 2,311
308,650 o UNI-STOREBRAND AS SERIES A .............. 2,078
1,266,028 SUMITOMO MARINE & FIRE INSURANCE CO ..... 7,635
3,954 o SUN LIFE & PROVINCIAL HOLDINGS .......... 28
37,125 []o SWISS REINSURANCE ....................... 70,687
4,631,000 TOKIO MARINE & FIRE INSURANCE CO LTD .... 50,312
1,508,600 TORCHMARK CORP .......................... 51,481
999,782 TRANSAMERICA CORP ....................... 74,984
3,507 TRANSATLANTIC HOLDINGS, INC ............. 263
900,252 TRAVELERS PROPERTY CASUALTY CORP ........ 35,222
27,000 TRENWICK GROUP, INC ..................... 666
69,400 o TRIAD GUARANTY, INC ..................... 1,245
135,700 o TRIGON HEALTHCARE, INC .................. 4,936
13,000 o UICI .................................... 359
2,630,674 UNITED HEALTHCARE CORP .................. 164,746
38 See notes to financial statements.
<PAGE>
VALUE
SHARES (000)
---------- ---------
INSURANCE CARRIERS--(Continued)
56,600 o UNITED WISCONSIN SERVICES, INC .......... $ 453
302,208 UNITRIN, INC ............................ 12,391
552,610 UNUM CORP ............................... 30,255
129,896 VESTA INSURANCE GROUP, INC .............. 601
382,323 o WELLPOINT HEALTH NETWORKS, INC .......... 32,450
17,040 WHITE MOUNTAINS INSURANCE ............... 2,403
893,385 XL CAPITAL LTD .......................... 50,476
39,642 ZENITH NATIONAL INSURANCE CORP .......... 976
120,372 ZURICH ALLIED AG. ....................... 68,448
------------
6,169,353
------------
LEATHER AND LEATHER PRODUCTS--0.01%
283,730 BROWN SHOE CO, INC ...................... 6,171
125,200 JUSTIN INDUSTRIES, INC .................. 1,745
136,008 []o SAMSONITE CORP .......................... 680
82,800 STRIDE RITE CORP ........................ 854
33,400 o TIMBERLAND CO ........................... 2,273
1,587 WOLVERINE WORLD WIDE, INC ............... 22
------------
11,745
------------
LEGAL SERVICES--0.00%
128,788 o PREPAID LEGAL SERVICES, INC ............. 3,501
------------
LOCAL AND INTERURBAN PASSENGER TRANSIT--0.09%
232,000 o COACH U.S.A., INC ....................... 9,730
13,086 EAST JAPAN RAILWAY CO ................... 70,273
786,992 LAIDLAW, INC ............................ 5,689
58,400 LAIDLAW, INC (U.S.) ..................... 431
21,700 o RURAL/METRO CORP ........................ 209
1,450,000 o SINGAPORE BUS SERVICES LTD .............. 2,317
7,855,613 o STAGECOACH HOLDINGS PLC ................. 28,140
------------
116,789
------------
LUMBER AND WOOD PRODUCTS--0.22%
174,000 o AMERICAN HOMESTAR CORP .................. 1,196
20,000 o AOKAM PERDANA BERHAD .................... 3
3,465,842 CARTER HOLT HARVEY LTD .................. 4,151
354,203 o CHAMPION ENTERPRISES, INC ............... 6,597
623,514 CLAYTON HOMES, INC ...................... 7,131
32,608 DELTIC TIMBER CORP ...................... 878
581,718 o FLETCHER CHALLENGE LTD
(FORESTS DIVISION) .................... 327
811,998 GEORGIA-PACIFIC CORP (PACKAGING GROUP) .. 38,468
17,200 o INTERNATIONAL FOREST PRODUCTS LTD ....... 65
1,016,000 o JAYA TIASA HOLDINGS BERHAD .............. 1,866
600,000 o LAND & GENERAL BERHAD ................... 210
1,302,805 LOUISIANA PACIFIC CORP .................. 30,942
3,962,000 MACMILLAN BLOEDEL LTD ................... 70,535
73,300 MASISA S.A. (SPONS ADR) ................. 770
37,600 OAKWOOD HOMES CORP ...................... 494
66,025 o PALM HARBOR HOMES, INC .................. 1,655
4,334 POPE & TALBOT, INC ...................... 52
1,760,150 [] SEKISUI HOUSE LTD ....................... 18,992
103,618 SKYLINE CORP ............................ 3,037
183,000 SUMITOMO FORESTRY CO LTD ................ 1,424
2,346 TJ INTERNATIONAL, INC ................... 73
82,700 UNIVERSAL FOREST PRODUCTS, INC .......... 1,778
1,186,980 WEYERHAEUSER CO ......................... 81,605
------------
272,249
------------
METAL MINING--0.30%
89,900 o ACINDAR S.A. (CLASS B) .................. 97
5,300 AGNICO EAGLE MINES LTD .................. 33
3,000 []o ALTAIR INTERNATIONAL, INC ............... 16
15,048 ALUSUISSE LONZA HOLDINGS AG. (REGD) ..... 17,540
74,835 ANGLO AMERICAN PLATINUM CORP LTD ........ 1,746
470,528 []o ANGLO AMERICAN PLC ...................... 21,988
15,587 ANGLOGOLD LTD ........................... 672
101,439 o ASTRUIANA DE ZINC, S.A. MINES ........... 1,237
806,079 BARRICK GOLD CORP ....................... 15,467
163,200 BARRICK GOLD CORP (U.S.) ................ 3,162
162,950 []o BATTLE MOUNTAIN GOLD CO ................. 397
187,600 CAMBIOR, INC ............................ 602
156,800 CAMECO CORP ............................. 3,274
190,381 CLEVELAND CLIFFS, INC ................... 6,164
21,866 []o COEUR DALENE MINES CORP ................. 101
200,100 COMINCO LTD ............................. 3,366
1,767,294 CYPRUS AMAX MINERALS CO ................. 26,841
35,000 o DOMINION MINING LTD ..................... 8
166,498 o ECHO BAY MINES LTD ...................... 238
424,800 ELKEM AS ................................ 7,554
154,500 ERAMET .................................. 6,166
74,600 o EUOR-NEVADA MINING CORP ................. 887
15,800 o FRANCO-NEVADA MINING CORP LTD ........... 244
591,428 []o FREEPORT-MCMORAN COPPER &
GOLD, INC (CLASS A) ................... 9,906
1,809,164 o FREEPORT-MCMORAN COPPER &
GOLD, INC (CLASS B) .................... 32,452
4,231 GOLDFIELDS LTD .......................... 3
439,516 GREAT CENTRAL MINES LTD ................. 448
384,100 o HECLA MINING CO ......................... 792
145,224 HOMESTAKE MINING CO ..................... 1,189
36,291 ILUKA RESOURCES LTD ..................... 78
21,700 IMPALA PLATINUM HOLDINGS LTD ............ 546
371,800 INCO LTD CO ............................. 6,607
46,900 o INCO LTD CO (U.S.) ...................... 844
6,460 o JOHNNIES INDUSTRIAL CORP LTD ............ 42
506,176 JOHNSON MATTHEY PLC ..................... 4,935
13,892 o KINROSS GOLD CORP ....................... 23
1,134,485 o LONMIN PLC .............................. 10,551
614,600 o MALAYSIA MINING CORP BERHAD ............. 306
4,046,513 MIM HOLDINGS LTD ........................ 2,866
3,848,000 MITSUBISHI MATERIALS CORP ............... 8,615
1,382,000 [] MITSUI MINING & SMELTING CO LTD ......... 7,136
711,284 o NEWCREST MINING LTD ..................... 1,597
848,558 NEWMONT MINING CORP ..................... 16,865
1,699,000 NIPPON LIGHT METAL CO LTD ............... 2,541
541,500 NORANDA, INC ............................ 7,098
3,441,531 NORMANDY MINING LTD ..................... 2,292
4,886,106 [] NORTH LTD ............................... 9,896
537,700 OUTOKUMPU OY SERIES A ................... 6,044
13,000 #xo PEGASUS GOLD, INC ....................... 0
151,900 PHELPS DODGE CORP ....................... 9,408
590,700 PLACER DOME, INC ........................ 6,825
10,348 o PLACER DOME, INC (U.S.) ................. 122
76,700 RIO ALGOM LTD ........................... 1,083
858,169 [] RIO TINTO LTD ........................... 14,071
150,000 RIO TINTO PLC (BR) ...................... 2,341
2,880,387 RIO TINTO PLC (REGD) .................... 48,287
549,026 SMITH (HOWARD) LTD ...................... 4,197
598,037 SONS OF GWALIA NL ....................... 1,574
132,900 SOUTHERN PERU COPPER CORP ............... 1,919
204,698 o STILLWATER MINING CO .................... 6,691
448,000 o SUMITOMO METAL MINING CO LTD ............ 1,851
518,254 o SUNSHINE MINING & REFINING CO ........... 194
105,700 TECK CORP LTD (CLASS B) ................. 907
42,300 UNION MINIERE GROUP S.A. ................ 1,745
4,389,172 [] WMC LTD ................................. 18,855
------------
371,542
------------
MISCELLANEOUS MANUFACTURING INDUSTRIES--0.33%
32,600 AMER GROUP LTD PLC SERIES A ............. 469
1,336,000 APPLIED INTERNATIONAL HOLDINGS LTD ...... 62
277,200 o APPLIED INTERNATIONAL HOLDINGS LTD
WTS 12/30/99 .......................... 1
1,000 o ASICS CORP .............................. 1
148,400 BIC S.A. ................................ 7,828
392,675 o BLYTH INDUSTRIES, INC ................... 13,498
388,900 BRADY CORP (CLASS A) .................... 12,639
See notes to financial statements. 39
<PAGE>
VALUE
SHARES (000)
---------- ---------
MISCELLANEOUS MANUFACTURING INDUSTRIES--(Continued)
718,900 BULGARI S.P.A. .......................... $ 4,834
359,500 CALLAWAY GOLF CO ........................ 5,258
28,100 xo CML GROUP, INC .......................... 1
2,195 o CROSS (A.T.) CO (CLASS A) ............... 12
1,239,346 HASBRO, INC ............................. 34,624
212,230 []o HEXCEL CORP ............................. 2,149
665,188 INTERNATIONAL GAME TECHNOLOGY CO ........ 12,306
4,063 o JAN BELL MARKETING, INC ................. 14
579,700 JOSTENS, INC ............................ 12,210
109,505 K2, INC ................................. 979
103,500 o LYDALL, INC ............................. 1,190
48,966 []o MARVEL ENTERPRISES ...................... 361
3,819 o MARVEL ENTERPRISES WTS 10/02/02 ......... 4
6,468 o MARVEL ENTERPRISES WTS 10/02/02
(CLASS C) .............................. 2
2,968,159 MATTEL, INC ............................. 78,471
2,371,420 MINNESOTA MINING & MANUFACTURING CO ..... 206,165
12,000 MIZUNO CORP ............................. 45
64,000 NINTENDO CO LTD ......................... 8,994
254,800 xo NU KOTE HOLDINGS, INC (CLASS A) ......... 15
5,200 ONEIDA LTD .............................. 146
17,600 RHI AG. ................................. 476
69,450 RUSS BERRIE & CO, INC ................... 1,719
38,500 [] SEGA ENTERPRISES LTD .................... 509
77,300 o STEINWAY MUSICAL INSTRUMENTS, INC ....... 2,048
36,300 o WMS INDUSTRIES, INC ..................... 617
------------
407,647
------------
MISCELLAN EOUS RETAIL--0.71%
558,989 []o AMAZON.COM, INC ......................... 69,943
294,300 o BARNES & NOBLE, INC ..................... 8,056
142,300 o BARNETT, INC ............................ 1,067
105,000 BLAIR CORP .............................. 2,828
707,630 BOOTS CO LTD ............................ 8,405
421,700 o BORDERS GROUP, INC ...................... 6,668
1,848 CASH AMERICA INTERNATIONAL, INC ......... 24
428,600 o CDW COMPUTER CENTERS, INC ............... 18,858
152,900 o COLDWATER CREEK, INC .................... 2,982
539,900 o CORPORATE EXPRESS, INC .................. 3,779
4,430,701 CVS CORP ................................ 224,858
600 o DELIA*S, INC ............................ 8
104,100 o DUANE READE, INC ........................ 3,188
415,711 o E4L, INC ................................ 2,988
97,127 ENESCO GROUP, INC ....................... 2,246
1,900 o FINLAY ENTERPRISES, INC ................. 25
1,000 FRIEDMANS, INC (CLASS A) ................ 9
167,700 o GARDEN RIDGE CORP ....................... 797
71,100 o GENESIS DIRECT, INC ..................... 133
2,500,618 GREAT UNIVERSAL STORES PLC .............. 27,710
185,978 HANCOCK FABRICS, INC .................... 814
328,474 o HANOVER DIRECT, INC ..................... 924
516,450 o INSIGHT ENTERPRISES, INC ................ 12,782
83,041 o JO-ANN STORES, INC (CLASS A) ............ 1,246
237,100 o JO-ANN STORES, INC (CLASS B) ............ 3,082
236,100 xo JUMBOSPORTS, INC ........................ 24
89,764 []o LANDS END, INC .......................... 4,354
698 LONGS DRUG STORES CORP .................. 24
452,400 o MICHAELS STORES, INC .................... 13,855
187,700 o MICRO WAREHOUSE, INC .................... 3,355
46,200 []o NCS HEALTHCARE, INC (CLASS A) ........... 251
829,579 NEXT PLC ................................ 10,076
48 o NISSEN CO LTD ........................... 0
2,238,347 o OFFICE DEPOT, INC ....................... 49,384
182,600 o OFFICEMAX, INC .......................... 2,191
527,300 OMNICARE, INC ........................... 6,657
11,624 OPSM PROTECTOR LTD ...................... 22
59,400 o PARTY CITY CORP ......................... 228
200,400 o PETCO ANIMAL SUPPLIES, INC .............. 3,156
81,500 o PETSMART, INC ........................... 835
96,000 PLAYMATES TOYS HOLDINGS LTD ............. 7
1,165,243 RITE AID CORP ........................... 28,694
203,900 o SCHEIN (HENRY), INC ..................... 6,461
2,958,728 o STAPLES, INC ............................ 91,536
330,195 o STELUX HOLDINGS INTERNATIONAL LTD ....... 13
43,500 o SUNGLASS HUT INTERNATIONAL, INC ......... 748
215,000 o SYSTEMAX, INC ........................... 2,661
206,000 o THE SPORTS AUTHORITY, INC ............... 914
138,788 TIFFANY & CO ............................ 13,393
1,883,141 o TOYS R US, INC .......................... 38,957
112,989 o U.S. OFFICE PRODUCTS CO ................. 607
6,143,792 WALGREEN CO ............................. 180,474
717,497 o ZALE CORP ............................... 28,700
------------
890,997
------------
MOTION PICTURES--0.77%
27,550 o AMC ENTERTAINMENT, INC .................. 527
6,900 o CARMIKE CINEMAS, INC (CLASS A) .......... 110
14,585,036 o DISNEY (WALT) CO ........................ 449,401
22,731 o GC COS, INC ............................. 813
368,100 o HOLLYWOOD ENTERTAINMENT CORP ............ 7,201
202,300 o KING WORLD PRODUCTIONS, INC ............. 7,043
142,200 o METRO-GOLDWYN-MAYER, INC ................ 2,595
613,800 o METROMEDIA INTERNATIONAL GROUP, INC ..... 4,604
2,400 o MOVIE GALLERY, INC ...................... 13
900 o ON COMMAND CORP ......................... 16
25,694 PATHE S.A. .............................. 3,084
65,300 []o PIXAR, INC .............................. 2,816
1,350,550 RANK GROUP PLC .......................... 5,370
1,480,000 o SHAW BROTHER LTD (H.K.) ................. 1,011
6,476,678 TIME WARNER, INC ........................ 476,036
9,000 TOEI CO ................................. 37
48,540 TOHO CO LTD ............................. 7,098
------------
967,775
------------
NONDEPOSITORY INSTITUTIONS--1.80%
57,800 []o AAMES FINANCIAL CORP .................... 76
580,700 ACOM CO LTD ............................. 50,135
58,944 [] ADVANTA CORP (CLASS A) .................. 1,065
103,397 [] ADVANTA CORP (CLASS B) .................. 1,402
181,000 AIFUL CORP .............................. 22,161
2,340 ALLIED CAPITAL CORP ..................... 56
3,098,217 AMERICAN EXPRESS CO ..................... 403,155
411,020 o AMERICREDIT CORP ........................ 6,576
16,800 o AMRESCO, INC ............................ 108
389,581 []o ARCADIA FINANCIAL LTD ................... 3,019
7,221,394 ASSOCIATES FIRST CAPITAL CORP ........... 319,998
994,463 CAPITAL ONE FINANCIAL CORP .............. 55,379
42,552 CHARTER MUNICIPAL MORTGAGE
ACCEPTANCE ............................ 545
45,500 CIT GROUP, INC (CLASS A) ................ 1,314
99,400 []xo CITYSCAPE FINANCIAL CORP ................ 1
75,900 []o CONTIFINANCIAL CORP ..................... 270
37,300 CORPORACION FINANCIERE ALBA S.A. ........ 6,039
603,424 COUNTRYWIDE CREDIT INDUSTRIES, INC ...... 25,796
282,800 []o CREDIT ACCEPTANCE CORP .................. 1,697
233,043 [] CREDIT SAISON CO LTD .................... 4,871
579 []o DELTA FINANCIAL CORP .................... 4
287,700 DORAL FINANCIAL CORP .................... 4,963
200 o FEDERAL AGRICULTURE MORTGAGE CORP ....... 14
6,498,484 FEDERAL NATIONAL MORTGAGE
ASSOCIATION ........................... 444,334
11,400 o FINANCIAL FEDERAL CORP .................. 251
245,801 FINOVA GROUP, INC ....................... 12,935
3,700 o FIRST SIERRA FINANCIAL, INC ............. 93
365,812 []o FIRSTPLUS FINANCIAL GROUP, INC .......... 114
1,575,850 FIRSTRAND LTD ........................... 1,802
137,000 o FRANCHISE MORTGAGE ACCEPTANCE CO ........ 1,199
4,852,464 FREDDIE MAC ............................. 281,443
40 See notes to financial statements.
<PAGE>
VALUE
SHARES (000)
---------- ---------
NONDEPOSITORY INSTITUTIONS--1.80%
8,263,139 HALIFAX PLC ............................. $ 98,601
700 o HEALTHCARE FINANCIAL PARTNERS, INC ...... 24
1,800 HELLER FINANCIAL, INC ................... 50
236,000 HITACHI CREDIT CORP ..................... 4,670
2,948,796 HOUSEHOLD INTERNATIONAL, INC ............ 139,699
26,400 o IMC MORTGAGE CO ......................... 3
17,300 o IMPERIAL CREDIT INDUSTRIES, INC ......... 123
2,673,662 [] ING GROEP NV ............................ 144,761
376,776 IRISH LIFE & PERMANENT PLC .............. 3,983
109,042 o IRISH LIFE & PERMANENT PLC (U.K.) ....... 1,156
30,000 JACCS CO ................................ 137
257,000 LEUCADIA NATIONAL CORP .................. 6,521
201,400 o LONG BEACH FINANCIAL CORP ............... 2,958
1,100 MEDALLION FINANCIAL CORP ................ 21
1,568,850 o MEDIOBANCA S.P.A. ....................... 16,422
7,056 MERCAPITAL S.A. ......................... 66
938,166 METRIS COS, INC ......................... 38,230
3,555 []o MFN FINANCIAL CORP ...................... 35
4,123 o MFN FINANCIAL CORP WTS 03/23/02 SERIES A 7
4,123 o MFN FINANCIAL CORP WTS 03/23/03 SERIES B 6
4,123 o MFN FINANCIAL CORP WTS 03/23/04 SERIES C 6
785,000 NIPPON SHINPAN CO LTD ................... 2,607
6,702 o OMEGA WORLDWIDE, INC .................... 27
115,500 ORIX CORP ............................... 10,306
2,647 PACIFIC CREST CAPITAL, INC .............. 40
76,000 POWER FINANCIAL CORP .................... 1,438
482,481 PROVIDENT FINANCIAL PLC ................. 6,704
202,100 RESOURCE AMERICA, INC (CLASS A) ......... 2,930
1,325 RESOURCE BANCSHARES MORTGAGE
GROUP, INC ............................ 14
469,840 SCHROEDERS LTD .......................... 9,598
122,850 SHOHKOH FUND & CO ....................... 88,098
543,040 SLM HOLDINGS CORP ....................... 24,878
132,800 []xo SOUTHERN PACIFIC FUNDING CORP ........... 6
12,800 STUDENT LOAN CORP ....................... 570
133,000 o THETA GROUP LTD ......................... 479
693,900 o UNICAPITAL CORP ......................... 4,380
7,800 []xo UNITED COS FINANCIAL CORP ............... 1
64,500 xo WILSHIRE FINANCIAL SERVICES, INC ........ 0
25,300 []o WFS FINANCIAL, INC ...................... 351
------------
2,260,721
------------
NONMETALLIC MINERALS, EXCEPT FUELS--0.06
180,350 AMCOL INTERNATIONAL CORP ................ 2,593
873,592 [] ASHTON MINING LTD ....................... 411
17,600 JOHNS MANVILLE CORP ..................... 229
674,863 MARTIN MARIETTA MATERIALS, INC .......... 39,817
106,200 POTASH CORP OF SASKATCHEWAN, INC ........ 5,464
8,476 POTASH CORP OF SASKATCHEWAN, INC (U.S.) . 39
595,400 VULCAN MATERIALS CO ..................... 28,728
------------
77,681
------------
OIL AND GAS EXTRACTION--0.91%
325,900 ALBERTA ENERGY LTD ...................... 10,415
896,228 ANADARKO PETROLEUM CORP ................. 32,992
340,644 o ANDERSON EXPLORATION LTD ................ 4,453
3,389,588 APACHE CORP ............................. 132,194
34,300 o ATWOOD OCEANICS, INC .................... 1,072
118,664 o BELCO OIL & GAS CORP .................... 823
53,300 o BENTON OIL & GAS CO ..................... 107
72,424 BERRY PETROLEUM CO (CLASS A) ............ 1,009
99,110 o BJ SERVICES CO .......................... 2,918
21,700 o BJ SERVICES CO WTS 04/13/00 ............. 667
30,208 o BOUYGUES S.A. ........................... 7,985
3,504,500 o BRITISH-BORNEO OIL & GAS PLC ............ 10,827
23,600 o BROWN (TOM), INC ........................ 367
4,616,447 BURLINGTON RESOURCES, INC ............... 199,661
146,800 CABOT OIL & GAS CORP (CLASS A) .......... 2,734
81,900 o CAL DIVE INTERNATIONAL, INC ............. 2,447
97,775 o CANADIAN HUNTER EXPLORATION, INC ........ 1,467
232,894 o CANADIAN NATURAL RESOURCES LTD .......... 4,563
190,894 CANADIAN OCCIDENTAL PETROLEUM LTD ....... 3,063
94,200 o CHESAPEAKE ENERGY CORP .................. 277
27,545 o COFLEXIP S.A. ........................... 2,365
77,900 o COHO ENERGY, INC ........................ 41
47,400 o COMSTOCK RESOURCES, INC ................. 157
18,750 o CONSOL ENERGY, INC ...................... 225
520 CORNERSTONE PROPANE PARTNERS L.P. ....... 9
165,450 CROSS TIMBERS OIL CO .................... 2,461
231,600 DEVON ENERGY CORP ....................... 8,280
732,900 DIAMOND OFFSHORE DRILLING, INC .......... 20,796
15,039 o EAGLE GEOPHYSICAL, INC .................. 11
278,161 o EEX CORP ................................ 1,930
456,800 ENRON OIL & GAS CO ...................... 9,250
2,106,735 ENSCO INTERNATIONAL, INC ................ 42,003
469,480 o EQUITY OIL CO ........................... 528
887,523 FLETCHER CHALLENGE LTD
(ENERGY DIVISION) ...................... 2,408
226,200 xo FORCENERGY GAS EXPLORATION, INC ......... 212
354,734 o FOREST OIL CORP ......................... 4,456
102,900 []o FRIEDE GOLDMAN
INTERNATIONAL, INC ..................... 1,428
391,500 o GLOBAL INDUSTRIES LTD ................... 5,016
1,344,000 o GLOBAL MARINE, INC ...................... 20,748
1,593,099 o GREY WOLF, INC .......................... 3,983
229,800 o GULF CANADA RESOURCES LTD ............... 947
2,456,592 HALLIBURTON CO .......................... 111,161
179,800 o HANOVER COMPRESSOR CO ................... 5,776
11,797 []o HARKEN ENERGY CORP ...................... 19
617,549 HELMERICH & PAYNE, INC .................. 14,705
105,637 o HOUSTON EXPLORATION CO .................. 2,001
71,261 o HS RESOURCES, INC ....................... 1,051
208,500 IHC CALAND NV ........................... 8,171
980,364 IMPERIAL OIL LTD ........................ 18,546
351,010 KCS ENERGY, INC ......................... 219
949,943 KERR-MCGEE CORP ......................... 47,675
482,019 o KEY ENERGY SERVICES, INC ................ 1,717
44,891 KONINKLIJKE PAKHOED HOLDINGS NV ......... 1,065
869,782 LONDON & SCOTTISH MARINE OIL PLC ........ 1,988
29,600 o LOUIS DREYFUS NATURAL GAS CORP .......... 638
302,600 o MARINE DRILLING CO, INC ................. 4,142
29,729 o MCMORAN EXPLORATION CO .................. 660
5,000 o MERIDIAN RESOURCE CORP .................. 19
25,011 MITCHELL ENERGY & DEVELOPMENT CORP
(CLASS A) ............................. 483
209,500 MITCHELL ENERGY & DEVELOPMENT CORP
(CLASS B) ............................. 3,850
75,100 o NABORS INDUSTRIES, INC .................. 1,835
244,900 o NEW HORIZONS WORLDWIDE, INC ............. 4,837
1,500 o NEWFIELD EXPLORATION CO ................. 43
43,100 NOBLE AFFILIATES, INC ................... 1,215
417,989 o NOBLE DRILLING CORP ..................... 8,229
521,016 o NOVUS PETROLEUM LTD ..................... 576
167,000 o NUEVO ENERGY CO ......................... 2,213
3,000 o NUMAC ENERGY, INC ....................... 7
1,545,647 OCCIDENTAL PETROLEUM CORP ............... 32,652
217,262 o OCEAN ENERGY, INC (NEW) ................. 2,091
367,600 o OCEANEERING INTERNATIONAL, INC .......... 5,928
500 o OCELOT ENERGY, INC (CLASS B) ............ 1
900 o OMNI ENERGY SERVICES CORP ............... 3
27,800 OMV AKTIENGESELLS AG. ................... 2,480
1,195,086 o PARKER DRILLING CO ...................... 3,959
212,700 o PATTERSON ENERGY, INC ................... 2,100
42,400 PENN VIRGINIA CORP ...................... 837
99,400 o PETROLEUM GEO-SERVICES AS ............... 1,496
1,206,100 o PIONEER NATURAL RESOURCES CO ............ 13,267
319,800 o POCO PETROLEUM LTD ...................... 2,571
18,400 POGO PRODUCING CO ....................... 343
See notes to financial statements. 41
<PAGE>
VALUE
SHARES (000)
---------- ---------
OIL AND GAS EXTRACTION--(Continued)
162,769 o POOL ENERGY SERVICES CO ................. $ 3,306
1,000 o PRIDE INTERNATIONAL, INC ................ 11
6,737 PRIMAGAZ ................................ 591
1,694,378 o R & B FALCON CORP ....................... 15,885
157,900 RANGE RESOURCES CORP .................... 967
266,500 o RANGER OIL LTD .......................... 1,287
193,450 o RENAISSANCE ENERGY LTD .................. 2,588
325,900 o RIGEL ENERGY CORP ....................... 2,477
275,468 o ROWAN COS, INC .......................... 5,079
599,844 RPC, INC ................................ 5,249
15,000 SANTA FE INTERNATIONAL CORP ............. 345
186,245 o SANTA FE SNYDER CORP .................... 1,420
721,622 SCHLUMBERGER LTD ........................ 45,958
216,500 o SEITEL, INC ............................. 3,505
50 o SERVAL GROWTH FUND TRUST (UNITS) ........ 0
1,059,628 SMEDVIG AS SERIES A ..................... 9,826
108,800 ST. MARY LAND & EXPLORATION CO .......... 2,237
24,200 o STONE ENERGY CORP ....................... 1,025
141,200 o SUPERIOR ENERGY SERVICES, INC ........... 719
2,400 o SWIFT ENERGY CO ......................... 26
87,276 o SYNTROLEUM CORP ......................... 780
248,715 o TALISMAN ENERGY, INC .................... 6,730
40,269 TECHNIP S.A. ............................ 4,518
125,400 o TITAN EXPLORATION, INC .................. 627
722,519 o TOTAL FINA S.A. ......................... 93,216
2,050 o TOTAL FINA WTS 08/05/03 ................. 47
153,554 o TRANSMONTAIGNE, INC ..................... 1,929
805,300 TRANSOCEAN OFFSHORE, INC ................ 21,139
6,623 []xo TRANSTEXAS GAS CORP ..................... 4
134,635 o TRITON ENERGY LTD ....................... 1,447
35,900 o TUBOSCOPE, INC .......................... 491
360,000 o TULLOW OIL PLC .......................... 286
1,946,791 UNION PACIFIC RESOURCES GROUP, INC ...... 31,757
4,900 o UNIT CORP ............................... 40
61,000 o UTI ENERGY CORP ......................... 1,010
80,400 VASTAR RESOURCES, INC ................... 4,216
145,500 o VERITAS DGC, INC ........................ 2,664
120,200 o VINTAGE PETROLEUM, INC .................. 1,292
134,650 o WEATHERFORD INTERNATIONAL ............... 4,932
102,338 o WISER OIL CO ............................ 339
------------
1,137,829
------------
PAPER AND ALLIED PRODUCTS--0.76%
268,200 ABITIBI CONSOLIDATED, INC ............... 3,062
111,247 o ACX TECHNOLOGIES, INC ................... 1,808
1,105,383 [] AMCOR LTD ............................... 6,144
14,309 o AMERICAN PAD & PAPER CO ................. 29
1,213,406 ARJO WIGGINS APPLETON PLC ............... 4,217
340,311 AVERY DENNISON CORP ..................... 20,546
140,800 BEMIS, INC .............................. 5,597
316,032 BOISE CASCADE CORP ...................... 13,550
28,596 BOWATER, INC ............................ 1,351
333,927 o BUCKEYE TECHNOLOGIES, INC ............... 5,072
105,580 BUHRMANN NV ............................. 1,704
876,020 BUNZL PLC ............................... 4,343
365,400 CARAUSTAR INDUSTRIES, INC ............... 9,021
185,070 [] CARTIERE BURGO S.P.A. ................... 1,187
506,490 CHAMPION INTERNATIONAL CORP ............. 24,248
136,900 CHESAPEAKE CORP ......................... 5,125
366,564 CONSOLIDATED PAPERS, INC ................ 9,806
3,305 o CROWN VANTAGE, INC ...................... 7
2,699 DE LA RUE CO PLC ........................ 16
344,200 DOMTAR, INC ............................. 3,232
30,580 DOMTAR, INC (U.S.) ...................... 291
58,950 DONOHUE, INC (CLASS A) .................. 866
532,080 []o EARTHSHELL CORP ......................... 3,725
47,130 EMPRESA NATIONAL DE CELULOSAS S.A. ...... 841
1,643,846 FLETCHER CHALLENGE LTD (PAPER DIVISION) . 1,228
1,998,533 FORT JAMES CORP 75,694
1,068,088 o GAYLORD CONTAINER CO .................... 8,478
411,748 GLATFELTER (P.H.) CO .................... 6,022
43,300 GREIF BROTHERS CORP (CLASS A) ........... 1,104
2,363,863 INTERNATIONAL PAPER CO .................. 119,375
40,500 INVESTIMENTOS PARTICIPACOES E GESTAO .... 326
244,600 o IVEX PACKAGING CORP ..................... 5,381
7,483,815 JEFFERSON SMURFIT GROUP PLC ............. 17,559
3,807,548 KIMBERLY-CLARK CORP ..................... 217,030
900 o KORSNAS AB SERIES A ..................... 13
305,300 LONGVIEW FIBRE CO ....................... 4,770
262,361 o MAIL-WELL, INC .......................... 4,247
15,000 [] MAYR-MELNHOF KARTON AG. ................. 681
583,132 MEAD CORP ............................... 24,346
1,083,000 MITSUBISHI PAPER MILLS LTD .............. 2,031
182,100 NAMPAK LTD .............................. 504
5,668 NEXFOR, INC ............................. 35
677,000 [] NGK INSULATORS LTD ...................... 7,070
1,355,000 NIPPON PAPER INDUSTRIES CO .............. 7,064
39,500 NORSKE SKOGINDUSTRIER SERIES A .......... 1,455
2,400 NORSKE SKOGINDUSTRIER SERIES B .......... 73
2,381,334 OJI PAPER CO LTD ........................ 13,772
6,000 o PLAYTEX PRODUCTS, INC ................... 93
117,519 PORTUCEL INDUSTRIA EMPRESA .............. 646
459 POTLATCH CORP ........................... 20
203,004 RENO DE MEDICI S.P.A. ................... 484
7,000 o REPAP ENTERPRISES, INC .................. 0
59,014 REPUBLIC GROUP, INC ..................... 1,062
1,248,111 REXAM PLC ............................... 5,037
86,400 ROCK-TENN CO (CLASS A) .................. 1,442
63,529 []o SAPPI LTD ............................... 465
295,340 SCA AB SERIES B ......................... 7,642
231,356 SCHWEITZER-MAUDUIT INTERNATIONAL, INC ... 3,470
311,214 o SHOREWOOD PACKAGING CORP ................ 5,738
579,079 SMURFIT (JEFFERSON) GROUP PLC ........... 1,351
7,823,647 o SMURFIT-STONE CONTAINER CORP ............ 160,874
669,921 SONOCO PRODUCTS CO ...................... 20,056
236,600 ST. JOE CO .............................. 6,388
303,214 TEMPLE-INLAND, INC ...................... 20,694
123,100 [] UNI CHARM CORP .......................... 5,339
946,800 o UPM-KYMMENE OY .......................... 27,145
616,732 WAUSAU-MOSINEE PAPER CORP ............... 11,101
569,721 WESTVACO CORP ........................... 16,522
267,672 WILLAMETTE INDUSTRIES, INC .............. 12,330
------------
951,945
------------
PERSONAL SERVICES--0.08%
1,195 ANGELICA CORP ........................... 21
1,014,100 BLOCK (H&R), INC ........................ 50,705
25,200 o CARRIAGE SERVICES, INC (CLASS A) ........ 473
260,554 CINTAS CORP ............................. 17,506
3,800 o COINMACH LAUNDRY CORP ................... 48
124,087 CPI CORP ................................ 4,095
122,400 G & K SERVICES, INC (CLASS A) ........... 6,411
123,450 REGIS CORP .............................. 2,369
816,599 SERVICE CORP INTERNATIONAL .............. 15,720
97,361 UNIFIRST CORP ........................... 1,789
------------
99,137
------------
PETROLEUM AND COAL PRODUCTS--3.98%
216,386 AMERADA HESS CORP ....................... 12,875
51,100 ARABIAN OIL CO LTD ...................... 910
814,187 ASHLAND, INC ............................ 32,669
3,977,792 o ATLANTIC RICHFIELD CO ................... 332,394
10,970,393 o BG PLC .................................. 67,009
17,042,086 BP AMOCO PLC ............................ 305,437
733,405 BP AMOCO PLC (SPONS ADR) ................ 79,574
5,019,160 BROKEN HILL PROPRIETARY CO LTD .......... 58,138
18,583 BURMAH CASTROL PLC ...................... 353
4,551,692 CHEVRON CORP ............................ 433,264
1,848,000 COSMO OIL CO LTD ........................ 3,389
42 See notes to financial statements.
<PAGE>
VALUE
SHARES (000)
---------- ---------
PETROLEUM AND COAL PRODUCTS--(Continued)
188,900 ELCOR CORP .............................. $ 8,253
754,332 o ELF AQUITANE S.A. ....................... 110,701
28,552,280 [] ENTE NAZIONALE IDROCARBURI S.P.A. ....... 170,492
19,853,388 EXXON CORP .............................. 1,531,193
1,200,000 FORTUM OYJ .............................. 5,804
89,447 o FRONTIER OIL CORP ....................... 609
857 HOLLY CORP .............................. 11
922,000 JAPAN ENERGY CORP ....................... 1,082
7,798,641 MOBIL CORP .............................. 772,065
407,280 MURPHY OIL CORP ......................... 19,880
3,248,925 [] NIPPON MITSUBISHI OIL CO ................ 13,689
261,478 [] NORSK HYDRO AS .......................... 9,865
251,300 PENNZENERGY CO .......................... 4,194
494,551 PENNZOIL-QUAKER STATE CO ................ 7,418
12,700 PETRO-CANADA (NON-RESIDENT) ............. 172
597,200 PETRO-CANADA (VARIABLE- VOTE) ........... 8,110
36,307 PETROFINA S.A. .......................... 20,856
1,246,117 PHILLIPS PETROLEUM CO ................... 62,695
2,116,722 [] REPSOL S.A. ............................. 43,223
5,532,170 ROYAL DUTCH PETROLEUM CO ................ 324,063
2,734,417 [] SANTOS LTD .............................. 8,959
180,984 SASOL LTD ............................... 1,291
215,000 SHELL REFINERY BERHAD ................... 257
254,600 SUNCOR ENERGY, INC ...................... 10,381
643,542 SUNOCO, INC ............................. 19,427
605,176 TEIKOKU OIL CO LTD ...................... 1,960
1,781 o TESORO PETROLEUM CORP ................... 28
4,898,526 TEXACO, INC ............................ 306,158
1,000 TONEN CORP ............................. 7
2,007,625 TOSCO CORP ............................. 52,073
1,371,799 ULTRAMAR DIAMOND SHAMROCK CORP ......... 29,922
1,413,579 UNOCAL CORP ............................ 56,013
1,505,821 USX-MARATHON GROUP, INC ................ 49,033
322,600 VALERO ENERGY CORP ..................... 6,916
203,000 WD-40 CO ............................... 5,075
293,100 WOODSIDE PETROLEUM LTD ................. 1,985
82,000 YPF SOCIEDAD ANONIMA (CLASS D) ......... 3,231
------------
4,993,103
------------
PIPELINES, EXCEPT NATURAL GAS--0.01%
345,360 ENBRIDGE, INC ........................... 7,875
159,076 ENBRIDGE, INC (U.S.) .................... 3,659
3,500 KINDER MORGAN ENERGY PARTNERS L.P. ...... 130
------------
11,664
------------
78,550 ACERINOX S.A. ........................... 2,297
22,940 o ACME METALS, INC ........................ 6
99,500 o AFC CABLE SYSTEMS, INC .................. 3,514
218,200 AK STEEL HOLDINGS CORP .................. 4,910
453,300 ALCAN ALUMINIUM CO LTD .................. 14,318
67,100 ALCAN ALUMINIUM CO LTD (U.S.) ........... 2,143
4,169,678 ALCOA, INC .............................. 257,999
51,500 o ALPINE GROUP, INC ....................... 827
923,500 o ARMCO, INC .............................. 6,118
668,535 ASARCO, INC ............................. 12,577
3,342 BEKAERT S.A. ............................ 1,430
158,800 BELDEN, INC ............................. 3,801
626,721 o BETHLEHEM STEEL CORP .................... 4,818
391,900 BIRMINGHAM STEEL CORP ................... 1,617
65,881 []o BOLIDEN LTD SDR ......................... 151
1,459,685 BRITISH STEEL PLC ....................... 3,779
42,000 BRUSH WELLMAN, INC ...................... 761
176,976 o CABLE DESIGN TECHNOLOGIES CO ............ 2,732
122,122 CARPENTER TECHNOLOGY CORP ............... 3,488
45,100 CENTURY ALUMINUM CO ..................... 279
45,644 o CHASE INDUSTRIES, INC ................... 385
187,600 o CITATION CORP ........................... 3,013
64,900 CO STEEL, INC ........................... 559
76,600 COMMONWEALTH INDUSTRIES, INC ............ 958
11,500,000 o COMPANIA SIDERURGICA NACIONAL S.A. ...... 300
52,100 CURTISS WRIGHT CORP ..................... 2,025
1,239,000 DAIDO STEEL CO LTD ...................... 1,965
78,500 []o DANIELI & CO ............................ 478
247,204 DOFASCO, INC ............................ 3,983
125,550 o ENCORE WIRE CORP ........................ 1,138
84,866 ENGELHARD CORP .......................... 1,920
282,129 GENERAL CABLE CORP ...................... 4,514
159,500 o GENERAL HOUSEWARES CORP ................. 3,100
90,270 o GERDAU METALURGICA S.A. ................. 2
101,300 GIBRALTAR STEEL CORP .................... 2,507
52,000 GRANGES AB .............................. 881
51,720 [] HOOGOVENS NEN STAALIADRIEREN NV ......... 2,699
36,860 IMCO RECYCLING, INC ..................... 631
300,800 INTERMET CORP ........................... 4,550
1,021,888 o ISCOR LTD ............................... 320
1,000 o IVACO, INC (CLASS A) .................... 3
127,000 o JAPAN METALS & CHEMICALS CO ............. 216
1,117,000 o JAPAN STEEL WORKS LTD ................... 1,393
158,300 o KAISER ALUMINUN CORP .................... 1,405
3,591,000 KAWASAKI STEEL CORP ..................... 6,705
8,859 o LONE STAR TECHNOLOGIES, INC ............. 157
1,526,400 LTV CORP ................................ 10,208
78,600 MADECO S.A. ADR ......................... 796
1,650,420 MANNESMANN AG. .......................... 246,291
61,300 MATTHEWS INTERNATIONAL CORP (CLASS A) ... 1,816
47,300 o MAVERICK TUBE CORP ...................... 659
49,362 o MAXXAM, INC ............................. 3,184
447,300 o MUELLER INDUSTRIES, INC ................. 15,180
671,450 NATIONAL IRON & STEEL MILLS LTD ......... 1,175
123,400 NATIONAL STEEL CORP (CLASS B) ........... 1,033
1,000 o NIPPON DENKO CO LTD ..................... 1
11,883,000 NIPPON STEEL CORP ....................... 27,587
10,388,200 []o NKK CORP ................................ 8,497
9,046 NKT HOLDINGS AS ......................... 704
58,700 o NS GROUP, INC ........................... 543
408,700 NUCOR CORP .............................. 19,388
20,800 []o OPTICAL CABLE CORP ...................... 229
314,500 OREGON STEEL MILLS, INC ................. 4,187
253,459 PECHINEY S.A. ........................... 10,895
155,050 PRECISION CAST PARTS CORP ............... 6,590
479,702 PREUSSAG AKTIEGESELLSCHAFT AG. .......... 25,775
35,000 o PROMET BERHAD ........................... 2
197,829 QUANEX CORP ............................. 5,638
687,900 RAUTARUUKKI SERIES K .................... 4,164
305,590 REYNOLDS METALS CO ...................... 18,030
80,100 ROANOKE ELECTRIC STEEL CORP ............. 1,392
51,483 ROUGE INDUSTRIES, INC (CLASS A) ......... 502
114,700 []o RTI INTERNATIONAL METALS ................ 1,685
149,337 RYERSON TULL, INC ....................... 3,369
643,101 o SIDERCA S.A. (CLASS A) .................. 843
30,520 #o SILVERSTONE BERHAD ...................... 0
37,100 o SPECIAL METALS CORP ..................... 216
2,700 o STEEL DYNAMICS, INC ..................... 42
266,400 STELCO, INC (CLASS A) ................... 1,962
381,000 SUMITOMO HEAVY INDUSTRIES LTD ........... 850
5,888,000 o SUMITOMO METAL INDUSTRIES LTD ........... 7,345
256,606 [] SUPERIOR TELECOM, INC ................... 6,415
437,050 SVENSKT STAL AB SERIES A (SSAB) ......... 5,475
49,350 SVENSKT STAL AB SERIES B ................ 612
107,971 TEXAS INDUSTRIES, INC ................... 4,184
659,300 o THYSSEN KRUPP AG. ....................... 14,503
9,558 TITAN INTERNATIONAL, INC ................ 114
243,200 [] TITANIUM METALS CORP .................... 2,706
494,900 TOKYO STEEL MANUFACTURING CO LTD ........ 2,600
168,580 TRELLEBORG AB SERIES B FREE ............. 1,487
12,000 TREMONT CORP ............................ 258
254,040 []o USINOR .................................. 3,786
687,414 USX-US STEEL GROUP, INC ................. 18,560
See notes to financial statements. 43
<PAGE>
VALUE
SHARES (000)
---------- ---------
PRIMARY METAL INDUSTRIES--(Continued)
72,500 []o VOEST-ALPINE STAHL AG. .................. $ 2,262
96,300 []o WHX CORP ................................ 632
162,300 o WOLVERINE TUBE, INC ..................... 4,078
426,712 WORTHINGTON INDUSTRIES, INC ............. 7,014
------------
878,836
------------
PRINTING AND PUBLISHING--0.90%
156,545 AMERICAN BUSINESS PRODUCTS, INC ......... 2,387
851,400 AMERICAN GREETINGS CORP (CLASS A) ....... 25,648
20,900 o APPLIED GRAPHICS TECHNOLOGIES, INC ...... 264
477,300 BANTA CORP .............................. 10,023
424,500 BELO (A.H.) CORP SERIES A ............... 8,357
351,800 # BELO (A.H.) CORP SERIES B ............... 6,926
230,904 o BIG FLOWER HOLDINGS, INC ................ 7,360
476,340 BOWNE & CO, INC ......................... 6,192
342,300 CENTRAL NEWSPAPERS, INC (CLASS A) ....... 12,879
66,851 CLONDALKIN GROUP PLC (UNITS) ............ 448
179,900 o CONSOLIDATED GRAPHICS, INC .............. 8,995
31,792 o CSS INDUSTRIES, INC ..................... 894
1,561,662 [] DAI NIPPON PRINTING CO LTD .............. 24,965
124,700 o DAY RUNNER, INC ......................... 1,543
1,077,429 DELUXE CORP ............................. 41,952
85,800 DONNELLEY (R.R.) & SONS CO .............. 3,180
406,300 # DOW JONES & CO, INC (CLASS B) ........... 21,559
1,603,968 ELSEVIER UTIGEVERSMIJ NV ................ 18,609
8,604 ENNIS BUSINESS FORMS, INC ............... 74
153,425 o FRANKLIN COVEY CO ....................... 1,132
161,000 o GAKKEN CO LTD ........................... 293
2,108,330 GANNETT CO, INC ......................... 150,482
218,900 o GIBSON GREETINGS, INC ................... 1,389
13,300 xo GOLDEN BOOKS FAMILY
ENTERTAINMENT, INC ..................... 4
476,195 HARLAND (JOHN H.) CO .................... 9,494
412,500 HARTE-HANKS, INC ........................ 11,189
18,800 HOLLINGER INTERNATIONAL, INC ............ 223
43,745 HOUGHTON MIFFLIN CO ..................... 2,059
445,900 INDEPENDENT NEWS & MEDIA PLC ............ 2,138
45,638 o JOURNAL REGISTER CO ..................... 1,027
170,500 [] KNIGHT-RIDDER, INC ...................... 9,367
411,800 LEE ENTERPRISES, INC .................... 12,560
14,400 # LEE ENTERPRISES, INC (CLASS B) .......... 439
15,935 MCCLATCHY CO (CLASS A) .................. 528
1,059,659 MCGRAW HILL COS, INC .................... 57,155
29,400 o MEDIA ARTS GROUP, INC ................... 129
303,513 MEDIA GENERAL, INC (CLASS A) ........... 15,479
175,600 MEREDITH CORP .......................... 6,080
320,900 # MEREDITH CORP (CLASS B) ................. 11,111
54,100 MERRILL CORP ............................ 784
47,300 o METO AG. ................................ 234
180,000 MONDADORI (ARNOLDO) EDITORE S.P.A. ...... 3,119
89,308 MOORE CORP LTD .......................... 751
166,954 MOORE CORP LTD (U.S.) ................... 1,398
20,800 o NASPERS LTD ............................. 125
82,400 NEW ENGLAND BUSINESS SERVICES, INC ...... 2,544
168,000 o NEW STRAITS TIMES PRESS BERHAD .......... 344
960,834 NEW YORK TIMES CO (CLASS A) ............. 35,371
7,007,517 NEWS CORP LTD ........................... 59,787
21,000 o ONE MEDIA CORP LTD ...................... 229
763,800 o ORIENTAL PRESS GROUP .................... 123
7,725 o PAXAR CORP .............................. 70
6,002,140 PEARSON PLC ............................. 121,955
239,519 PENTON MEDIA, INC ....................... 5,808
925,022 o PRIMEDIA, INC ........................... 15,668
500 PULITZER, INC ........................... 24
72,600 QUEBECOR PRINTING, INC .................. 1,562
271,100 QUEBECOR, INC (CLASS B) ................. 6,557
47,527 o R.H. DONNELLEY CORP ..................... 930
297,500 READER'S DIGEST ASSOCIATION, INC
(CLASS A) (NON-VOTE) .................. 11,826
3,301,988 REED INTERNATIONAL PLC .................. 22,030
884,100 REYNOLDS & REYNOLDS CO (CLASS A) ........ 20,611
4,565 RURAL PRESS LTD ......................... 16
4,000 SCHAWK, INC (CLASS A) ................... 36
77,000 SCHIBSTED ASA ........................... 866
700,000 o SCHOLASTIC CORP ......................... 35,438
659 o SCIENTIFIC GAMES HOLDINGS CORP .......... 13
331,765 SCRIPPS (E.W.) CO (CLASS A) ............. 15,780
723,846 SINGAPORE PRESS HOLDINGS LTD ............ 12,330
3,562,000 SOUTH CHINA MORNING POST ................ 1,997
103,500 STANDARD REGISTER, INC .................. 3,183
2,060 THOMAS NELSON, INC ...................... 23
1,373,150 THOMSON CORP ............................ 41,284
200 TIMES MIRROR CO SERIES A ................ 12
742,859 # TIMES MIRROR CO SERIES C ................ 44,014
1,054,000 [] TOPPAN PRINTING CO LTD .................. 11,764
1,600 o TOPPS, INC .............................. 12
932,552 TRIBUNE CO .............................. 81,249
298,800 WALLACE COMPUTER SERVICES, INC .......... 7,470
62,900 WASHINGTON POST CO (CLASS B) ............ 33,824
200,076 WILEY (JOHN) & SONS, INC (CLASS A) ...... 3,526
407,972 [] WOLTERS KLUWER NV ....................... 16,241
5,367 o WORKFLOW MANAGEMENT, INC ................ 76
545,648 o WORLD COLOR PRESS, INC .................. 15,005
------------
1,130,542
------------
RAILROAD TRANSPORTATION--0.38%
603,726 BRAMBLES INDUSTRIES LTD ................. 15,904
3,023,844 BURLINGTON NORTHERN SANTA FE CORP ....... 93,739
53,000 CANADIAN NATIONAL RAILWAY CO ............ 3,541
528 CANADIAN NATIONAL RAILWAY CO (U.S.) ..... 35
685,100 CANADIAN PACIFIC LTD .................... 16,201
131,700 CANADIAN PACIFIC LTD (U.S.) (NEW) ....... 3,136
1,326,272 CSX CORP ................................ 60,097
153,501 FLORIDA EAST COAST INDUSTRIES, INC ...... 6,792
1,929,639 [] HANKYU CORP ............................. 7,652
776,200 KANSAS CITY SOUTHERN INDUSTRIES, INC .... 9,531
797,000 [] KEIHIN ELECTRIC EXPRESS RAILWAY ......... 2,634
3,340,203 [] KINKI NIPPON RAILWAY CO LTD ............. 16,419
395,293 [] MAYNE NICKLESS LTD ...................... 1,353
1,744,875 [] NAGOYA RAILROAD CO LTD .................. 5,737
891,010 [] NANKAI ELECTRIC RAILWAY CO .............. 4,130
1,642,000 NIPPON EXPRESS CO LTD ................... 9,835
1,981,636 NORFOLK SOUTHERN CORP ................... 59,697
976,000 ODAKYU ELECTRIC RAILWAY CO LTD .......... 3,266
166,200 PROVIDENCE AND WORCESTER RAILROAD CO .... 2,348
981,382 o RAILTRACK GROUP PLC ..................... 20,064
1,034,000 TOBU RAILWAY CO LTD ..................... 2,930
82,300 o TRANZ RAIL HOLDINGS LTD ................. 140
1,467,831 UNION PACIFIC CORP ...................... 85,593
336,900 o WISCONSIN CENTRAL TRANSIT CORP .......... 6,359
------------
477,133
------------
REAL ESTATE--0.24%
425,100 ARDEN REALTY GROUP, INC ................. 10,468
101,900 o AVATAR HOLDINGS, INC .................... 1,930
51,072,000 BEIJING NORTH STAR CO LTD SERIES H ...... 9,149
1,579,754 BRITISH LAND PLC ........................ 13,210
75,600 BROOKFIELD PROPERTIES CORP .............. 978
134,425 o CASTLE & COOKE, INC ..................... 2,369
353,650 o CATELLUS DEVELOPMENT CORP ............... 5,482
115,600 o CB RICHARD ELLIS SERVICES GROUP, INC .... 2,876
4,918,508 CHEUNG KONG HOLDINGS LTD ................ 43,740
615,551 o CHINESE ESTATES HOLDINGS WTS 11/24/99 ... 40
615,551 o CHINESE ESTATES HOLDINGS WTS 11/24/00 ... 51
3,444,313 o CHINESE ESTATES LTD ..................... 626
1,476,326 CITY DEVELOPMENT LTD .................... 9,452
444,000 [] DAIWA KOSHO LEASE CO LTD ................ 1,944
1,740,800 DBS LAND LTD ............................ 3,476
88,900 DILIGENTIA AB ........................... 690
44 See notes to financial statements.
<PAGE>
VALUE
SHARES (000)
---------- ---------
REAL ESTATE--(Continued)
989 o ECHELON INTERNATIONAL CORP .............. $ 22
105,273 o EVERGO CHINA HOLDINGS LTD ............... 2
1,600 o EXCEL LEGACY CORP ....................... 8
238,100 o FAIRFIELD COMMUNITIES, INC .............. 3,839
314,000 o FIRST CAPITAL CORP LTD .................. 489
62,400 FOREST CITY ENTERPRISES, INC (CLASS A) .. 1,747
2,360,260 GENERAL PROPERTY TRUST .................. 3,837
95,800 o GENTRA, INC ............................. 1,029
99,156 o GRUBB & ELLIS CO ........................ 496
595,921 HAMMERSON PLC ........................... 4,429
3,751,500 HANG LUNG DEVELOPMENT CO LTD ............ 4,642
240 HONG KONG LAND HOLDINGS LTD ............. 0
1,521,449 HOPEWELL HOLDINGS LTD ................... 1,157
1,119,384 HYSAN DEVELOPMENT CO LTD ................ 1,688
131,944 o INSIGNIA FINANCIAL GROUP, INC ........... 1,385
102,391 IRSA S.A. ............................... 315
137,900 o JONES LANG LA SALLE ...................... 4,111
389,460 LNR PROPERTY CORP ....................... 8,325
917,000 o MALAYSIAN RESOURCES CORP BERHAD ......... 554
225,200 o MEPC PLC ................................ 1,832
103,237 METROVACESA ............................. 2,022
87,337 o METROVACESA RTS ......................... 85
2,338,000 MITSUBISHI ESTATE CO LTD ................ 22,812
1,981,000 MITSUI FUDOSAN CO LTD ................... 16,039
6,410,936 NEW WORLD DEVELOPMENT CO LTD ............ 19,211
739,000 PARKWAY HOLDINGS LTD .................... 1,823
96,000 PRESTIGE PROPERTY HOLDINGS LTD .......... 6
2,369 o PRICE ENTERPRISES, INC .................. 17
89,696 o RECKSON SERVICES INDUSTRIES, INC ........ 1,357
411,700 ROUSE CO ................................ 10,447
1,925,180 SCHRODERS PROPERTY FUND ................. 2,995
17,700 o SECURITY CAPITAL GROUP, INC (CLASS B) ... 258
500,000 SELANGOR PROPERTIES BERHAD .............. 246
17,797 SIMCO (REGD) ............................ 1,505
8,000,412 SINO LAND CO ............................ 4,589
1,085,018 SLOUGH ESTATES PLC ...................... 6,140
91,500 STEWART ENTERPRISES, INC (CLASS A) ...... 1,332
2,012,472 STOCKLAND TRUST GROUP (UNITS) ........... 4,596
58,571 o STOCKLAND TRUST GROUP (UNITS) (NEW) ..... 132
243,000 STRAITS TRADING CO ...................... 323
5,140,217 SUN HUNG KAI PROPERTIES LTD ............. 46,871
2,443,394 TAI CHEUNG HOLDINGS LTD ................. 724
74,400 o TAK WING INVESTMENT HOLDINGS LTD ........ 5
776,000 []o TOKYO TATEMONO CO LTD ................... 1,795
159,380 o TRAMMELL CROW CO ........................ 2,620
637 o TRIZEC HAHN CORP WTS 07/25/99 ........... 1
35,260 UNIBAIL S.A. ............................ 4,513
601,000 UNITED OVERSEAS LAND LTD ................ 678
101,921 o URBIS S.A. .............................. 1,408
511,796 VALLEHERMOSO S.A. ....................... 4,956
------------
305,894
------------
RUBBER AND MISCELLANEOUS PLASTIC PRODUCTS--0.46%
97,900 [] ADIDAS SALOMON AG. ...................... 9,718
4,700 o AEP INDUSTRIES, INC ..................... 142
299,164 APTARGROUP, INC ......................... 8,975
508,084 ARMSTRONG WORLD INDUSTRIES, INC ......... 29,374
300 BANDAG, INC ............................. 10
118,800 BANDAG, INC (CLASS A) ................... 3,341
1,687,895 [] BRIDGESTONE CORP ........................ 51,038
142,900 CARLISLE COS, INC ....................... 6,877
1,929,324 CONTINENTAL AG. ......................... 45,763
13,200 []o CONVERSE, INC ........................... 48
182,600 COOPER TIRE & RUBBER CO ................. 4,314
140,500 o FOAMEX INTERNATIONAL, INC ............... 782
3,780 FORBO HOLDINGS AG. (REGD) ............... 1,503
221,796 FURON CO ................................ 4,214
858,069 GOODYEAR TIRE & RUBBER CO ............... 50,465
1,279,700 ILLINOIS TOOL WORKS, INC ................ 104,935
611,215 MICHELIN S.A. (CLASS B) ................. 25,006
39,750 [] MIRAI INDUSTRY CO LTD ................... 591
131,576 MYERS INDUSTRIES, INC ................... 2,632
844,200 NIKE, INC (CLASS B) ..................... 53,448
132,000 [] OKAMATO INDUSTRIES, INC ................. 338
4,501,549 [] PIRELLI S.P.A. .......................... 12,256
2,000,000 PIRELLI S.P.A. RISP ..................... 3,960
704,223 PREMARK INTERNATIONAL, INC .............. 26,408
710 o REEBOK INTERNATIONAL LTD ................ 13
1,507,564 o SAFESKIN CORP ........................... 18,091
526,792 o SEALED AIR CORP ......................... 34,176
1,272,980 o SOLUTIA, INC ............................ 27,130
94,000 SPARTECH CORP ........................... 2,973
132,900 []o SYNETIC, INC ............................ 9,137
280,869 TREDEGAR CORP ........................... 6,109
1,182,100 TUPPERWARE CORP ......................... 30,144
46,687 WYNNS INTERNATIONAL, INC ................ 861
550 [] YOKOHAMA RUBBER CO LTD .................. 2
------------
574,774
------------
SECURITY AND COMMODITY BROKERS--1.11%
41,075 ADVEST GROUP, INC ....................... 819
231,485 o AFFILIATED MANAGERS GROUP, INC .......... 6,988
92,700 []o AMERITRADE HOLDINGS CORP (CLASS A) ...... 9,826
1,297,864 BEAR STEARNS COS, INC ................... 60,675
34,300 CONNING CORP ............................ 557
4,829 CPR S.A. ................................ 215
14,500 DAIN RAUSCHER CORP ...................... 785
3,271,000 DAIWA SECURITIES GROUP, INC ............. 21,619
10,800 []o DLJDIRECT ............................... 319
27,000 DONALDSON, LUFKIN & JENRETTE, INC ....... 1,627
69,033 DUFF & PHELPS CREDIT RATING CO .......... 4,617
1,210,788 o E TRADE GROUP, INC ...................... 48,356
355,200 EATON VANCE CORP ........................ 12,232
1,644,392 EDWARDS (A.G.), INC ..................... 53,032
84,200 EVEREN CAPITAL CORP ..................... 2,510
387,500 FEDERATED INVESTMENTS, INC .............. 6,951
1,044,600 FRANKLIN RESOURCES, INC ................. 42,437
205,900 FREEDOM SECURITIES CORP ................. 3,526
84,800 []o FRIEDMAN, BILLINGS, RAMSEY GROUP, INC ... 1,007
145,300 o HAMBRECHT & QUIST GROUP ................. 5,394
138,807 INVESTMENT TECHNOLOGY GROUP, INC ........ 4,494
43,878 INVESTORS FINANCIAL SERVICES CORP ....... 1,755
3,146,400 [] ITOCHU CORP ............................. 7,824
34,500 JEFFERIES GROUP, INC .................... 1,035
20,974 JOHN NUVEEN CO (CLASS A) ................ 895
14,732 LEGG MASON, INC ......................... 567
1,065,039 LEHMAN BROTHERS HOLDINGS, INC ........... 66,299
4,680,900 MARUBENI CORP ........................... 9,784
1,933,642 MERRILL LYNCH & CO, INC ................. 154,571
2,773,000 MITSUBISHI CORP ......................... 18,786
2,629,000 MITSUI & CO LTD ......................... 18,332
658,900 MORGAN KEEGAN, INC ...................... 12,478
3,643,773 MORGAN STANLEY, DEAN WITTER, & CO ....... 373,487
4,961,000 NOMURA SECURITIES CO LTD ................ 58,078
113,200 OM GRUPPEN AB ........................... 1,278
1,256,902 PAINE WEBBER GROUP, INC ................. 58,760
517,000 xo PEREGRINE INVESTMENT HOLDINGS LTD ....... 287
193,306 PHOENIX INVESTMENT PARTNERS LTD ......... 1,667
8,118 o PIONEER GROUP, INC ...................... 140
659,900 PRICE (T. ROWE) ASSOCIATES, INC ......... 25,324
959,456 RAYMOND JAMES FINANCIAL CORP ............ 22,967
2,082,623 SCHWAB (CHARLES) CORP ................... 228,828
131,036 SOUTHWEST SECURITIES GROUP, INC ......... 9,402
19,000 [] UNITED ASSET MANAGEMENT CORP ............ 432
270,200 VALUE LINE, INC ......................... 10,538
446,350 WADDELL & REED FINANCIAL, INC (CLASS A) . 12,247
114,893 WADDELL & REED FINANCIAL, INC (CLASS B) . 3,102
1,901,000 xo YAMAICHI SECURITIES CO LTD .............. 31
------------
1,386,880
------------
See notes to financial statements. 45
<PAGE>
VALUE
SHARES (000)
---------- ---------
SOCIAL SERVICES--0.00%
26,500 o BROOKDALE LIVING COMMUNITIES, INC ............ $ 393
64,100 o CAPITAL SENIOR LIVING CORP ................... 641
55,450 []o RES-CARE, INC ................................ 1,261
91,070 []o SUNRISE ASSISTED LIVING, INC ................. 3,176
------------
5,471
------------
SPECIAL TRADE CONTRACTORS--0.03%
249,600 APOGEE ENTERPRISES, INC ...................... 3,354
129,200 o COMFORT SYSTEMS U.S.A., INC .................. 2,326
214,000 o GROUP MAINTENANCE AMERICA CORP ............... 2,769
72,900 o INTEGRATED ELECTRICAL SERVICES, INC .......... 1,176
462,750 KANDENKO CO LTD .............................. 2,837
405,000 KINDEN CORP .................................. 4,367
222,000 KYUNDENKO CO LTD ............................. 1,269
5,600 o LAYNE CHRISTENSEN CO ......................... 36
77,100 o MATRIX SERVICE CO ............................ 318
93,256 NIPPON KANZAI CO LTD ......................... 2,019
3,095 []xo OMEGA ENVIRONMENTAL, INC ..................... 0
261,377 SCHNEIDER ELECTRIC S.A. ...................... 14,677
2,900 o SERVICE EXPERTS, INC ......................... 64
------------
35,212
------------
STONE, CLAY, AND GLASS PRODUCTS--0.47%
13,934 o ADELAIDE BRIGHTON HOLDINGS LTD ............... 9
3,573 AKER RGI ASA ................................. 44
82,480 AKER RGI ASA SERIES A ........................ 1,121
2,200 AMERON INTERNATIONAL CORP .................... 97
2,154,000 [] ASAHI GLASS CO LTD ........................... 13,970
20,000 o ASANO SLATE CO LTD ........................... 21
2,409,885 o BLUE CIRCLE INDUSTRIES PLC ................... 16,031
4,802,393 [] BORAL LTD .................................... 8,137
1,429,288 o BPB PLC ...................................... 8,471
2,700 CARBO CERAMICS, INC .......................... 82
35,900 CBR NV ....................................... 3,303
400,440 CEMENTIR S.P.A. .............................. 425
58,600 CENTEX CONSTRUCTION PRODUCTS, INC ............ 2,000
114,089 CIMENTOS DE PORTUGAL ......................... 2,941
26,116 o CORCEMAR S.A. ................................ 124
1,187,788 CORNING, INC ................................. 83,294
2,457,175 CRH PLC ...................................... 43,438
95 CRISTALERIA ESPANOLA S.A. .................... 5
1,685,663 [] CSR LTD ...................................... 4,820
153,900 o DAL-TILE INTERNATIONAL, INC .................. 1,751
181,113 o DEPARTMENT 56, INC ........................... 4,867
35,331 o DUPONT PHOTOMASKS, INC ....................... 1,691
406 DYCKERHOFF AG. ............................... 119
85,938 FLORIDA ROCK INDUSTRIES, INC ................. 3,910
151,800 o GIANT CEMENT HOLDINGS, INC ................... 3,472
11,088 [] GLAVERBEL S.A. ............................... 1,043
58 GLAVERBEL STRIP NPV (VVPR) ................... 0
8,047,559 o HANSON PLC ................................... 71,482
86,810 HEIDELBERGER ZEMENT AG. ...................... 7,162
688,316 HEPWORTH PLC ................................. 2,137
14,701 o HOLDERBANK FINANCIERE GLARUS AG. (BR) ........ 17,353
1,352 HOLDERBANK FINANCIERE GLARUS AG.
(REGD) ...................................... 430
556,000 HOYA CORP .................................... 31,374
80,719 IMETAL S.A. .................................. 11,987
686,245 [] INAX CORP .................................... 4,190
303,320 [] ITALCEMENTI S.P.A. ........................... 3,848
40,000 ITALCEMENTI S.P.A. (S/S) ..................... 200
1,484,616 JAMES HARDIE INDUSTRIES LTD .................. 3,931
503,318 LAFARGE CORP ................................. 17,836
79,513 LAFARGE S.A. (BR) ............................ 7,561
30,768 # LAFARGE S.A. (REGD) .......................... 2,926
71,000 #o LAFARGE S.A. (REGD) 2001 ..................... 6,751
121,165 LIBBEY, INC .................................. 3,514
3,100 LONE STAR INDUSTRIES, INC .................... 116
672,500 MALAYAN CEMENT BERHAD ........................ 398
1,000 MIKASA, INC .................................. 11
1,013,000 NIPPON SHEET GLASS CO LTD .................... 3,607
169,000 NORITAKE CO LTD .............................. 880
879,658 OWENS CORNING CO ............................. 30,238
702,481 o OWENS ILLINOIS, INC .......................... 22,962
1,569,580 PILKINGTON PLC ............................... 2,152
2,715,346 [] PIONEER INTERNATIONAL LTD .................... 6,920
334,569 PORTLAND HOLDINGS LTD ........................ 74
2,100 PUERTO RICAN CEMENT CO, INC .................. 70
402,426 RMC GROUP PLC ................................ 6,480
29,000 RUGBY GROUP PLC .............................. 52
469 EUROC INDUSTRIA AB SERIES A .................. 21
314,341 SOUTHDOWN, INC ............................... 20,196
238,680 o ST. GOBAIN S.A. .............................. 38,030
1,422,687 SUMITOMO OSAKA CEMENT CO LTD ................. 2,762
873,200 [] TAIHEIYO CEMENT CORP ......................... 2,503
7,460,141 o TARMAC PLC ................................... 13,994
595,500 [] TOTO LTD ..................................... 4,600
516,600 USG CORP ..................................... 28,930
396,000 VIDRALA S.A. ................................. 3,455
74,720 [] WIENERBERGER BAUSTOFF AG. .................... 1,935
------------
588,254
------------
TEXTILE MILL PRODUCTS--0.08%
393,728 o ALBANY INTERNATIONAL CORP
(CLASS A) ................................... 8,170
1,860,426 BBA GROUP PLC ................................ 14,252
6,375 o BURLINGTON INDUSTRIES, INC ................... 58
14,274 o CHARGEURS S.A. ............................... 795
2,996,098 COATS VIYELLA PLC ............................ 2,385
256,349 COLLINS & AIKMAN CORP ........................ 1,955
6,246 o CONE MILLS CORP .............................. 37
226,830 COURTAULDS TEXTILES PLC ...................... 590
1,900 CULP, INC .................................... 20
167,610 o DAN RIVER, INC (CLASS A) ..................... 1,236
107,838 FAB INDUSTRIES, INC .......................... 1,665
15,075 o GALEY & LORD, INC ............................ 66
85,435 GUILFORD MILLS, INC .......................... 886
453,500 INTERFACE, INC (CLASS A) ..................... 3,911
255,000 o KANEBO LTD ................................... 417
883,000 [] KURABO INDUSTRIES LTD ........................ 1,182
3,900 LENZING AG. .................................. 221
121,500 MARZOTTO & FIGLI S.P.A. ...................... 945
384,000 MITSUBISHI RAYON CO LTD ...................... 1,095
530,131 o MOHAWK INDUSTRIES, INC ....................... 16,103
846,000 NISSHINBO INDUSTRY, INC ...................... 3,851
217,100 o POLYMER GROUP, INC ........................... 2,551
1,300 o QUAKER FABRIC CORP ........................... 5
56,900 RUSSELL CORP ................................. 1,110
828,700 o SHAW INDUSTRIES, INC ......................... 13,674
70,673 SPRING INDUSTRIES, INC ....................... 3,083
1,200 ST. JOHN KNITS, INC .......................... 35
419,000 TOYOBO CO LTD ................................ 633
28,300 o TULTEX CORP .................................. 21
152,125 o UNIFI, INC ................................... 3,233
639,100 WESTPOINT STEVENS, INC ....................... 19,053
------------
103,238
------------
TOBACCO PRODUCTS--0.78%
3,862,798 BRITISH AMERICAN TOBACCO PLC ................. 36,320
2,550,000 GALLAHER GROUP PLC ........................... 15,727
62,140 o GENERAL CIGAR HOLDINGS, INC (CLASS A) ........ 485
1,015,200 IMASCO LTD ................................... 27,230
24,928 NOBLEZA-PICCARDO S.A. (CLASS B) .............. 82
18,980,639 PHILIP MORRIS COS, INC ....................... 762,784
781,198 o RJR REYNOLDS TOBACCO HOLDINGS, INC ........... 24,608
213,309 [] ROTHMANS HOLDINGS LTD ........................ 2,030
327,300 o ROTHMANS OF PALL MALL BERHAD ................. 2,230
105,073 SEITA S.A. ................................... 6,068
46
See notes to financial statements.
<PAGE>
VALUE
SHARES (000)
---------- ---------
TOBACCO PRODUCTS--(Continued)
63,878 SOUZA CRUZ S.A. .............................. $ 449
3,332,400 TABACALERA S.A. SERIES A (REGD) .............. 67,359
1,114,217 UST, INC ..................................... 32,591
------------
977,963
------------
TRANSPORTATION BY AIR--0.48%
515,300 o AIR CANADA, INC .............................. 2,159
172,400 AIR NEW ZEALAND LTD (CLASS B) ................ 356
237,300 AIRBORNE FREIGHT CORP ........................ 6,570
5,113 o AIRNET SYSTEMS, INC .......................... 69
76,600 o AIRTRAN HOLDINGS, INC ........................ 440
229,329 o ALASKA AIR GROUP, INC ........................ 9,574
2,247,200 [] ALITALIA S.P.A. .............................. 5,840
1,170 []o ALL NIPPON AIRWAYS CO LTD .................... 4
389,280 o AMERICA WEST HOLDINGS CORP (CLASS B) ......... 7,348
947,663 o AMR CORP ..................................... 64,678
40,500 o ATLANTIC COAST AIRLINES HOLDINGS ............. 770
91,600 o ATLAS AIR, INC ............................... 2,954
30,069 AUSTRIAN AIRLINES/OEST LUFTV AG. ............. 726
114,288 o AVIALL, INC .................................. 2,150
2,654,072 BRITISH AIRPORT AUTHORITIES PLC .............. 25,520
1,763,940 BRITISH AIRWAYS PLC .......................... 12,172
200 o CANADIAN AIRLINES CORP ....................... 0
6,522,800 CATHAY PACIFIC AIRWAYS LTD ................... 10,004
1,370,400 COMAIR HOLDINGS, INC ......................... 28,521
624,400 o CONTINENTAL AIRLINES, INC (CLASS B) .......... 23,493
1,185,786 DELTA AIRLINES, INC .......................... 68,331
1,034,690 DEUTSCHE LUFTHANSA AG. (REGD) ................ 18,759
1,908,862 o FDX CORP ..................................... 103,556
21,907 FLUGHAFEN WIEN AG. ........................... 919
21,800 o HELICOPTER SERVICES GROUP ASA ................ 162
64,900 HONG KONG AIRCRAFT ENGINEERING CO LTD ........ 125
2,998,400 [] JAPAN AIRLINES CO LTD ........................ 9,909
30,800 o KITTY HAWK, INC .............................. 243
105,083 o KLM (ROYAL DUTCH AIRLINES) NV ................ 2,975
210,500 LINEA AEREA NACIONAL CHILE S.A. ADR .......... 1,513
582,000 o MALAYSIAN AIRLINE SYSTEM BERHAD .............. 717
334,100 o MESA AIR GROUP, INC .......................... 2,511
2,700 o MESABA HOLDINGS, INC ......................... 34
89,559 o MIDWEST EXPRESS HOLDINGS, INC ................ 3,045
252,900 o NORTHWEST AIRLINES CORP (CLASS A) ............ 8,219
305,000 o OFFSHORE LOGISTICS, INC ...................... 3,393
240,588 OGDEN CORP ................................... 6,481
315,505 PITTSTON BAX GROUP ........................... 2,997
280,900 o RYANAIR HOLDINGS PLC ......................... 2,911
327,300 o RYANAIR HOLDINGS PLC ADR ..................... 17,347
22,100 SAIRGROUP .................................... 4,627
65,388 [] SAS DANMARK AS ............................... 682
53,000 SAS NORGE ASA SERIES B ....................... 481
2,135,000 o SINGAPORE INTERNATIONAL
AIRLINES LTD (FR) ........................... 20,315
76,200 SKYWEST, INC ................................. 1,900
2,407,435 SOUTHWEST AIRLINES CO ........................ 74,931
2,928,200 SWIRE PACIFIC LTD (CLASS A) .................. 14,492
79,300 []o TRANS WORLD AIRLINES, INC .................... 392
598,200 o U.S. AIRWAYS GROUP, INC ...................... 26,059
57,167 o UAL CORP ..................................... 3,716
------------
605,090
------------
TRANSPORTATION EQUIPMENT--3.61%
4,500 o AFTERMARKET TECHNOLOGY CORP .................. 51
9,400,829 ALLIED SIGNAL, INC ........................... 592,252
260,300 ARCTIC CAT, INC .............................. 2,326
117,700 ARVIN INDUSTRIES, INC ........................ 4,458
779,649 AUTOLIV, INC ................................. 23,584
5,200 o AVONDALE INDUSTRIES, INC ..................... 203
160,798 o BE AEROSPACE, INC ............................ 3,005
6,924,007 BOEING CO .................................... 305,955
24,000 BOMBARDIER, INC (CLASS A) .................... 362
1,562,904 BOMBARDIER, INC (CLASS B) .................... 23,759
283,900 BORG-WARNER AUTOMOTIVE, INC .................. 15,615
13,100 []o BREED TECHNOLOGIES, INC ...................... 29
6,000 xo BREMER VULKAN AG. ............................ 5
4,151,580 BRITISH AEROSPACE PLC ........................ 26,945
7,134 o BRITISH AEROSPACE PLC WTS 11/15/00 ........... 125
269,400 CAE, INC ..................................... 1,602
214,750 CLARCOR, INC ................................. 4,121
8,600 COACHMEN INDUSTRIES, INC ..................... 200
101,600 COBHAM GROUP PLC ............................. 1,609
161,950 COMMERCIAL INTERTECH CORP .................... 2,581
620,684 CORDANT TECHNOLOGIES, INC .................... 28,047
429,000 CYCLE & CARRIAGE LTD ......................... 2,469
1,138,930 DAIMLERCHRYSLER AG. .......................... 98,665
1,389,627 DAIMLERCHRYSLER (U.S.A.) ..................... 123,503
1,035,934 DANA CORP .................................... 47,718
472,678 DANAHER CORP ................................. 27,474
86,822 o DELCO REMY INTERNATIONAL , INC (CLASS A) ..... 955
3,571,834 DELPHI AUTOMOTIVE SYSTEMS CORP ............... 66,302
1,190,400 DENSO CORP ................................... 24,193
105,695 o DUCOMMUN, INC ................................ 1,262
715,734 EATON CORP ................................... 65,848
133,900 EXEDY CORP ................................... 1,228
23,914 FEDERAL SIGNAL CORP .......................... 507
392,323 FEDERAL-MOGUL CORP ........................... 20,401
6,521,918 []o FIAT S.P.A. .................................. 20,649
296,997 o FIAT S.P.A. DI RISP .......................... 507
366,667 []o FIAT S.P.A. (PRIV) ........................... 588
131,500 FLEETWOOD ENTERPRISES, INC ................... 3,477
7,306,893 FORD MOTOR CO ................................ 412,383
551,224 GENCORP, INC ................................. 13,918
1,582,900 GENERAL DYNAMICS CORP ........................ 108,429
4,349,843 GENERAL MOTORS CORP .......................... 287,090
1,941,594 o GENERAL MOTORS CORP (CLASS H) ................ 109,215
5,600 GENTEK, INC .................................. 78
843,300 o GENTEX CORP .................................. 23,612
1,036,050 GOODRICH (B.F.) CO ........................... 44,032
32,327 GREENBRIER COS, INC .......................... 339
739,074 o GULFSTREAM AEROSPACE CORP .................... 49,934
224,935 o HALTER MARINE GROUP, INC ..................... 1,490
1,169,800 HARLEY DAVIDSON, INC ......................... 63,608
81,720 o HAYES LEMMERZ INTERNATIONAL, INC ............. 2,401
1,973 HEICO CORP ................................... 49
5,550 HEICO CORP (CLASS A) ......................... 135
2,715,000 [] HONDA MOTOR CO LTD ........................... 115,069
165,132 o HOWMET INTERNATIONAL, INC .................... 2,838
1,225 HUFFY CORP ................................... 17
226,000 INCHAPE MOTORS ............................... 364
214,636 ITT INDUSTRIES, INC .......................... 8,183
125,300 KAMAN CORP (CLASS A) ......................... 1,966
1,454,000 KAWASAKI HEAVY INDUSTRIES LTD ................ 3,940
79,000 o KELLSTROM INDUSTRIES, INC .................... 1,442
67,669 []o KVAERNER INDUSTRIER AS SERIES A .............. 1,392
5,509 o KVAERNER INDUSTRIER AS SERIES B .............. 87
483,159 LAIRD GROUP PLC .............................. 2,011
1,867,662 LOCKHEED MARTIN CORP ......................... 69,570
193,300 MAGNA INTERNATIONAL, INC ..................... 10,885
432,700 o MAN AG. (STAMM) .............................. 14,771
312,600 MASCOTECH, INC ............................... 5,295
3,061,613 MERITOR AUTOMOTIVE, INC ...................... 78,071
6,450 o MILLER INDUSTRIES, INC ....................... 25
2,832,000 o MITSUI ENGINEERING & SHIP
BUILDING CO LTD ............................. 3,205
115,170 MODINE MANUFACTURING CO ...................... 3,750
189,750 o MONACO COACH CORP ............................ 8,029
49,400 o MOTIVEPOWER INDUSTRIES, INC .................. 889
97,200 o NATIONAL R.V. HOLDINGS, INC .................. 2,357
738,235 o NAVISTAR INTERNATIONAL CORP .................. 36,912
803 NEWPORT NEWS SHIPBUILDING, INC ............... 24
See notes to financial statements. 47
<PAGE>
VALUE
SHARES (000)
---------- ---------
TRANSPORTATION EQUIPMENT--(Continued)
73,000 NIPPON SHARYO LTD ............................ $ 235
45,077,000 [] NISSAN MOTOR CO LTD .......................... 215,255
505,575 NORTHROP GRUMMAN CORP ........................ 33,526
32,800 o OEA, INC ..................................... 291
8,517 o ORBITAL SCIENCES CORP ........................ 201
1,005,000 ORIENT CORP .................................. 2,923
896,800 PACCAR, INC .................................. 47,867
164,406 PEUGEOT S.A. ................................. 25,941
361,993 POLARIS INDUSTRIES, INC ...................... 15,747
265,200 REGAL-BELOIT CORP ............................ 6,265
1,264,900 []o RENAULT S.A. ................................. 55,050
16,900 RHEINMETALL AG. .............................. 366
5,751,438 ROLLS ROYCE LTD .............................. 24,342
413,000 SANDEN CORP .................................. 3,293
13,779 o SEQUA CORP (CLASS A) ......................... 965
233,900 SHIMANO, INC ................................. 5,536
1,093,800 SIEMENS AG. .................................. 84,377
275,475 SIMPSON INDUSTRIES, INC ...................... 2,824
252,050 SMITH (A.O.) CORP ............................ 7,057
357,737 SMITHS INDUSTRIES PLC ........................ 4,725
98,200 o SPAR AEROSPACE LTD ........................... 604
150,350 SPARTAN MOTORS, INC .......................... 865
38,970 o SPX CORP ..................................... 3,254
64,963 STANDARD MOTOR PRODUCTS, INC (CLASS A) ....... 1,592
61,343 STANDARD PRODUCTS CO ......................... 1,572
115,285 o STONERIDGE, INC .............................. 1,556
30,194 o STRATTEC SECURITY CORP ....................... 1,019
22,100 SUPERIOR INDUSTRIES INTERNATIONAL, INC ....... 604
149,000 SUZUKI MOTOR CORP ............................ 2,370
806,397 TEXTRON, INC ................................. 66,377
418,622 o THOMSON-CSF .................................. 14,549
21,056 THOR INDUSTRIES, INC ......................... 597
1,508,131 TI GROUP PLC ................................. 10,103
7,602,880 [] TOYOTA MOTOR CORP ............................ 240,573
121,300 TRANSPRO, INC ................................ 637
694,600 TRINITY INDUSTRIES, INC ...................... 23,269
166,100 o TRISTAR AEROSPACE CO ......................... 1,370
104,130 o TRIUMPH GROUP, INC ........................... 2,655
575,771 TRW, INC ..................................... 31,595
1,223,000 o UMW HOLDINGS BERHAD .......................... 2,478
6,161,578 UNITED TECHNOLOGIES CORP ..................... 441,708
270,370 []o VALEO S.A. ................................... 22,307
273,700 VARLEN CORP .................................. 11,085
755,740 VOLKSWAGEN AG. ............................... 48,400
51,680 VOLVO AB SERIES A ............................ 1,489
972,070 VOLVO AB SERIES B FREE ....................... 28,183
13,050 WABASH NATIONAL CORP ......................... 253
50,500 WESTINGHOUSE AIR BRAKE CO .................... 1,310
133,896 WINNEBAGO INDUSTRIES, INC .................... 3,013
------------
4,532,558
------------
TRANSPORTATION SERVICES--0.07%
8,993 AIR EXPRESS INTERNATIONAL CORP ............... 228
2,200 o AMBASSADORS INTERNATIONAL, INC ............... 33
71,900 o BIDVEST GROUP LTD ............................ 601
56,900 C.H. ROBINSON WORLDWIDE, INC ................. 2,091
84,450 CIRCLE INTERNATIONAL GROUP, INC .............. 1,847
43,800 o EAGLE U.S.A. AIRFREIGHT, INC ................. 1,859
443,800 EXPEDITORS INTERNATIONAL
OF WASHINGTON .............................. 12,094
44,300 o FRITZ COS, INC ............................... 476
784,300 GALILEO INTERNATIONAL, INC ................... 41,911
669,300 GATX CORP .................................... 25,475
208 KUONI REISEN HOLDINGS (CLASS B) (REGD) ....... 802
2,400 o LAURITZEN J. HOLDINGS (CLASS B) .............. 255
5,775 o NAVIGANT INTERNATIONAL, INC .................. 45
1,136 []o NEW WORLD INFRASTUCTURE LTD .................. 2
80,000 o TRAVEL SERVICES INTERNATIONAL, INC ........... 960
108,800 o U.S. EXPRESS ENTERPRISES, INC (CLASS A) ...... 1,163
------------
89,842
------------
TRUCKING AND WAREHOUSING--0.15%
348,700 o AMERICAN FREIGHTWAYS CORP .................... 6,821
333,500 ARNOLD INDUSTRIES, INC ....................... 5,148
164,000 CNF TRANSPORTATION, INC ...................... 6,294
338,050 o CONSOLIDATED FREIGHTWAYS CORP ................ 4,342
169,000 CONTAINER CORP OF INDIA ...................... 729
110,200 o COVENANT TRANSPORT, INC (CLASS A) ............ 1,736
9,100 o DISPATCH MANAGEMENT SERVICES CORP ............ 25
134,207 o HEARTLAND EXPRESS, INC ....................... 2,198
324,950 HUNT (J.B.) TRANSPORT SERVICES, INC .......... 5,280
46,500 o IRON MOUNTAIN, INC ........................... 1,331
94,800 o KNIGHT TRANSPORTATION, INC ................... 2,026
187,894 o LANDSTAR SYSTEM, INC ......................... 6,782
155,700 o M.S. CARRIERS, INC ........................... 4,617
412,000 MITSUBISHI LOGISTICS CORP .................... 4,633
91,000 MITSUI SOKO CO LTD ........................... 302
67,010 o PIERCE LEAHY CORP ............................ 1,654
295,150 ROADWAY EXPRESS, INC ......................... 5,719
453,000 [] SEINO TRANSPORTATION CO LTD .................. 2,695
527,175 o SWIFT TRANSPORTATION CO, INC ................. 11,598
1,357,918 TNT POST GROUP NV ............................ 32,420
467,300 USFREIGHTWAYS CORP ........................... 21,642
152,590 WERNER ENTERPRISES, INC ...................... 3,166
2,919,878 [] YAMATO TRANSPORT CO LTD ...................... 50,900
433,200 o YELLOW CORP .................................. 7,689
------------
189,747
------------
WATER TRANSPORTATION--0.20%
263,134 ALEXANDER & BALDWIN, INC ..................... 5,855
2,200 o AMERICAN CLASSIC VOYAGES CO .................. 53
55,900 ASKO OYJ SERIES A ............................ 911
72,400 BERGESEN AS SERIES A ......................... 1,067
170,200 o BERGESEN D.Y. AS (CLASS B) ................... 2,411
2,010,700 CARNIVAL CORP (CLASS A) ...................... 97,519
15,200 CMB CIE MARITIME BELGE S.A. .................. 643
2,017 o DAMPSKIBSSELSKABET AF 1912 (CLASS B) ......... 17,893
2,208 o DAMPSKIBSSELSKABET SVENDBORG
(CLASS B) .................................. 27,354
26,800 FINNLINES OY ................................. 696
14,800 o GULFMARK OFFSHORE, INC ....................... 281
56,700 [] oHVIDE MARINE, INC (CLASS A) ................. 122
48,000 IRISH CONTINENTAL GROUP PLC .................. 614
584,000 KAMIGUMI CO LTD .............................. 2,996
387,025 KAWASAKI KISEN KAISHA LTD .................... 835
63,972 o KIRBY CORP ................................... 1,355
28,500 KONINKLIJKE NEDLLOYD GROEP NV ................ 705
34,400 LEIF HOEGH & CO .............................. 437
1,788,000 MALAYSIAN INTERNATIONAL
SHIPPING CO (FR) ............................ 2,945
110,800 MALAYSIAN INTERNATIONAL
SHIPPING CO (LR) ........................... 180
63,550 o MARINE TRANSPORT CORP ........................ 226
3,234,526 MITSUI OSK LINES LTD ......................... 6,948
300,168 []o NCL HOLDINGS AS .............................. 1,003
1,585,100 o NEPTUNE ORIENT LINES LTD ..................... 1,937
2,439,800 NIPPON YUSEN KABUSHIKI KAISHA ................ 9,393
204,630 o OCEAN GROUP PLC .............................. 3,371
358,800 o OMI CORP ..................................... 740
286,660 OVERSEAS SHIPHOLDING GROUP, INC .............. 3,691
1,558,663 o PENINSULAR & ORIENTAL STEAM
NAVIGATION CO .............................. 23,402
13,300 o SEACOR SMIT, INC ............................. 712
1,189,900 TIDEWATER, INC ............................... 36,292
211,450 TRANSPORT DEVELOPMENT GROUP PLC .............. 762
3,300 o TRICO MARINE SERVICES, INC ................... 22
20,400 UNITOR AS .................................... 176
------------
253,547
------------
48
See notes to financial statements.
<PAGE>
VALUE
SHARES (000)
---------- ---------
WHOLESALE TRADE-DURABLE GOODS--0.15%
140,325 AAR CORP ..................................... $ 3,184
59,200 []o ACTION PERFORMANCE COS, INC .................. 1,954
102,600 o ANICOM, INC .................................. 1,077
165,246 o ANIXTER INTERNATIONAL, INC ................... 3,016
234,911 APPLIED INDUSTRIAL TECHNOLOGIES, INC ......... 4,463
155,700 []o APS HOLDINGS CORP ............................ 9
595,764 o ARROW ELECTRONICS, INC ....................... 11,320
3,600 o AVIATION SALES CO ............................ 142
8,000 AVNET, INC ................................... 372
14,862 BELL INDUSTRIES, INC ......................... 66
38,533 xo BEN FRANKLIN RETAIL STORES, INC .............. 1
200,191 BRIGGS & STRATTON CORP ....................... 11,561
409,650 o BRIGHTPOINT, INC ............................. 2,484
1,175 CANON SALES CO, INC .......................... 18
48,274 CASTLE (A.M.) & CO ........................... 821
512,900 o CELLSTAR CORP ................................ 4,039
185,500 []o CHS ELECTRONICS, INC ......................... 812
188,321 COMMERCIAL METALS CO ......................... 5,367
7,200 o COMPUCOM SYSTEMS, INC ........................ 30
51,000 o CREAN (JAMES) PLC (UNITS) .................... 60
122,430 DE BEERS CENTENARY AG. (UNITS) ............... 2,934
8,500 DIETEREN S.A. ................................ 3,926
593 o DURA AUTOMOTIVE SYSTEMS, INC ................. 20
100,000 o EDARAN OTOMOBIL NASIONAL BERHAD .............. 336
102 o EKCO GROUP, INC .............................. 0
2,103 o FAIRCHILD CORP (CLASS A) ..................... 27
74,900 o FISHER SCIENTIFIC INTERNATIONAL, INC ......... 1,671
119,800 o FOSTER (LB) CO (CLASS A) ..................... 704
1,050 FUJI DENKI REIKI CO LTD ...................... 5
437,100 GENUINE PARTS CO ............................. 15,299
11,300 o GRAHAM-FIELD HEALTH PRODUCTS, INC ............ 17
93,400 GRAINGER (W.W.), INC ......................... 5,026
9,950 o HA-LO INDUSTRIES, INC ........................ 98
315,484 o HANDLEMAN CO ................................. 3,727
1,500 o HIRSCH INTERNATIONAL CORP (CLASS A) .......... 3
239,900 HUGHES SUPPLY, INC ........................... 7,122
876,400 IKON OFFICE SOLUTIONS, INC ................... 13,146
332,550 o INGRAM MICRO, INC (CLASS A) .................. 8,563
35,590 INSTRUMENTARIUM GROUP SERIES B FREE .......... 1,450
20,100 o JLK DIRECT DISTRIBUTION, INC (CLASS A) ....... 187
1,100 o KENT ELECTRONICS CORP ........................ 22
400 o KEYSTONE AUTOMOTIVE INDUSTRIES, INC .......... 7
96,900 LAWSON PRODUCTS, INC ......................... 2,441
900 o MARSHALL INDUSTRIES, INC ..................... 32
374,400 o MERISEL, INC ................................. 854
26,300 o METAL MANAGEMENT, INC ........................ 39
269,055 METRO CASH & CARRY LTD ....................... 223
360,100 o MICROAGE, INC ................................ 1,373
24,383 o MSC INDUSTRIAL DIRECT CO (CLASS A) ........... 250
245,837 o NATIONAL-OILWELL, INC ........................ 3,442
344,914 OWENS & MINOR, INC ........................... 3,794
4,568,800 PACIFIC DUNLOP LTD ........................... 6,593
175,475 o PATTERSON DENTAL CO .......................... 6,098
77,472 o PEC ISRAEL ECONOMIC CORP ..................... 2,440
900 PIONEER-STANDARD ELECTRONICS, INC ............ 11
35,900 o POMEROY COMPUTER RESOURCES, INC .............. 500
6,975 o PSS WORLD MEDICAL, INC ....................... 78
51,800 RELIANCE STEEL & ALUMINUM CO ................. 2,020
67,397 REUNERT LTD .................................. 95
62,400 []o SAFEGUARD SCIENTIFICS, INC ................... 3,869
151,000 SANRIO CO LTD ................................ 5,140
14,500 o SODAK GAMING, INC ............................ 136
1,176,000 TAN CHONG INTERNATIONAL LTD .................. 288
68,250 o TBC CORP ..................................... 482
165,800 o TECH DATA CORP ............................... 6,342
652,000 TERUMO CORP .................................. 14,517
86,100 o VWR SCIENTIFIC PRODUCTS CORP ................. 3,159
26,200 WATSCO, INC .................................. 429
5,740 WESCO FINANCIAL CORP ......................... 1,779
10,000 o WILMAR INDUSTRIES, INC ....................... 130
------------
181,640
------------
WHOLESALE TRADE-NONDURABLE GOODS--0.76%
2,000 o 800-JR CIGAR, INC ............................ 25
12,600 o AIRGAS, INC .................................. 154
70,000 o AMERICAN DRUG CO ............................. 22
70,000 o AMERICAN DRUG CO WTS 08/05/00 ................ 2
353,200 o AMERISOURCE HEALTH CORP (CLASS A) ............ 9,007
94,000 AUSTRIA TABAKWERKE AG. ....................... 5,477
295,600 o AVATEX CORP .................................. 333
24,260 o BARNETT RESOURCES CORP ....................... 931
1,515,954 BERGEN BRUNSWIG CORP (CLASS A) ............... 26,150
143,820 BINDLEY WESTERN INDUSTRIES, INC .............. 3,317
108,200 o BOISE CASCADE OFFICE PRODUCTS CORP ........... 1,271
5,825,386 CARDINAL HEALTH, INC ......................... 373,512
174,300 o CENTRAL GARDEN & PET CO ...................... 1,787
36,100 CHEMED CORP .................................. 1,200
69,500 o DAISYTEK INTERNATIONAL CORP .................. 1,134
493,328 [] DIMON, INC ................................... 2,559
2,099,683 ENRON CORP ................................... 171,649
550,327 o ERCROS S.A. .................................. 448
190,950 o ERCROS S.A. (NEW) ............................ 156
47,300 ESSELTE AB SERIES B FREE ..................... 490
326,909 F.H. FAULDING & CO LTD ....................... 1,991
660,057 FORTUNE BRANDS, INC .......................... 27,310
477,141 FYFFES PLC ................................... 1,033
434,038 o GETTY PETROLEUM MARKETING, INC ............... 1,302
7,183 HERBALIFE INTERNATIONAL, INC (CLASS A) ....... 79
6,066 [] HERBALIFE INTERNATIONAL, INC (CLASS B) ....... 52
9,950 o HERLITZ AG. .................................. 298
56,600 HUNT CORP .................................... 467
1,400,000 IMPERIAL TOBACCO GROUP PLC ................... 15,271
312,700 INTERNATIONAL MULTIFOODS CORP ................ 7,055
420,000 IWATANI & CO LTD ............................. 999
31,100 o KENNETH COLE PRODUCTIONS, INC ................ 867
161,000 [] KOKUYO CO LTD ................................ 2,594
7,256 LOBLAW COS LTD ............................... 183
2,703,000 MCKESSON HBOC, INC ........................... 86,834
422,000 NAGASE & CO .................................. 2,005
25,000 NASH FINCH CO ................................ 252
206,462 o NU SKIN ENTERPRISES, INC (CLASS A) ........... 4,116
97,600 o PERFORMANCE FOOD GROUP CO .................... 2,654
35,571 o PLAINS RESOURCES, INC ........................ 676
96,207 o PRIORITY HEALTHCARE CORP (CLASS A) ........... 3,319
29,400 o PRIORITY HEALTHCARE CORP (CLASS B) ........... 1,014
418,562 RICHFOOD HOLDINGS, INC ....................... 7,377
6,273 o SCHOOL SPECIALTY, INC ........................ 101
582,750 o SCIOS, INC ................................... 1,894
255,000 o SKW TROSTBERG AG. ............................ 5,812
54,500 o SMART & FINAL, INC ........................... 572
221,823 SOBEYS, INC .................................. 2,585
151,636 STANDARD COMMERCIAL CORP ..................... 891
1,749,619 SUPERVALU, INC ............................... 44,943
3,200,361 SWEDISH MATCH CO ............................. 11,406
13,700 o SYNCOR INTERNATIONAL CORP .................... 493
2,176,700 SYSCO CORP ................................... 64,893
13,000 TERRA INDUSTRIES, INC ........................ 52
122,700 o U.S.A. FLORAL PRODUCTS, INC .................. 928
1,054,900 UNISOURCE WORLDWIDE, INC ..................... 12,725
11,600 o UNITED NATURAL FOODS, INC .................... 287
415,696 o UNITED STATIONERS, INC ....................... 9,145
213,596 UNIVERSAL CORP ............................... 6,074
1,600 URALITA S.A. ................................. 13
33,446 VALHI, INC ................................... 372
110,608 WEIDER NUTRITION INTERNATIONAL, INC .......... 456
419,600 WESTON (GEORGE) LTD .......................... 18,427
1,226 WORLD FUEL SERVICES CORP ..................... 18
------------
949,459
TOTAL COMMON STOCK
(COST $67,667,053) ......................... $123,863,950
------------
See notes to financial statements. 49
<PAGE>
VALUE
PRINCIPAL (000)
---------- ---------
SHORT TERM INVESTMENTS--2.42%
CERTIFICATES OF DEPOSIT--0.04%
BANK OF NOVA SCOTIA
$10,000,000 * 5.590%, 08/24/99 ........................... $ 10,001
CHASE MANHATTAN BANK
10,000,000 * 5.685%, 08/03/99 ........................... 10,002
TORONTO DOMINION BANK
20,000,000 * 5.650%, 07/09/99 ........................... 19,999
WACHOVIA BANK, NATIONAL ASSOCIATION
15,000,000 5.000%, 09/01/99 ........................... 14,991
------------
54,993
------------
COMMERCIAL PAPER--1.96%
ABN AMRO NORTH AMERICA FINANCE, INC
15,600,000 4.990%, 09/02/99 ........................... 15,455
25,000,000 * 4.850%, 12/01/99 ........................... 24,426
AMERICAN EXPRESS CREDIT CORP
11,871,000 4.750%, 07/20/99 ........................... 11,837
AMERICAN HOME PRODUCTS
30,000,000 ~ 4.880%, 07/08/99 ........................... 29,965
ASSET SECURITIZATION COOP CORP
25,000,000 ~ 4.900%, 07/21/99 ........................... 24,924
10,000,000 *~ 4.910%, 07/21/99 ........................... 9,970
45,000,000 *~ 4.920%, 08/02/99 ........................... 44,785
20,400,000 ~ 5.150%, 08/12/99 ........................... 20,273
ASSOCIATES CORP OF NORTH AMERICA
14,932,000 4.850%, 08/10/99 ........................... 14,843
BANC ONE CORP
25,000,000 4.850%, 07/28/99 ........................... 24,899
BEAR STEARNS CO, INC
45,000,000 *~ 4.820%, 07/06/99 ........................... 44,957
BETA FINANCE, INC
13,000,000 ~ 4.880%, 08/23/99 ........................... 12,898
10,000,000 ~ 5.000%, 09/13/99 ........................... 9,891
CARGILL, INC
50,000,000 ~ 5.700%, 07/01/99 ........................... 49,992
CARGILL GLOBAL
50,000,000 ~ 5.700%, 07/01/99 ........................... 49,992
CATERPILLAR FINANCIAL SERVICES CORP
14,000,000 4.790%, 07/08/99 ........................... 13,984
10,800,000 4.940%, 08/26/99 ........................... 10,710
COCA COLA ENTERPRISES, INC
40,000,000 *~ 4.890%, 07/21/99 ........................... 39,875
COLGATE-PALMOLIVE CO
28,400,000 ~ 4.920%, 08/02/99 ........................... 28,264
COOPER INDUSTRIES, INC
75,000,000 5.600%, 07/01/99 ........................... 74,988
CORPORATE ASSET FUNDING CORP, INC
24,888,000 ~ 4.810%, 07/09/99 ........................... 24,855
58,000,000 *~ 4.810%, 07/12/99 ........................... 57,899
10,000,000 ~ 5.120%, 08/09/99 ........................... 9,942
COX COMMUNICATIONS, INC
13,500,000 ~ 5.050%, 07/20/99 ........................... 13,460
32,983,000 *~ 5.100%, 07/27/99 ........................... 32,849
CROWN CORK & SEAL CO, INC
9,000,000 ~ 5.050%, 07/06/99 ........................... 8,991
23,942,000 ~ 5.000%, 07/07/99 ........................... 23,914
14,548,000 ~ 5.050%, 07/09/99 ........................... 14,528
12,945,000 ~ 5.050%, 07/12/99 ........................... 12,921
5,889,000 ~ 5.100%, 07/20/99 ........................... 5,871
9,100,000 ~ 5.100%, 07/27/99 ........................... 9,063
CSX CORP
25,000,000 ~ 5.080%, 07/06/99 ........................... 24,975
17,280,000 ~ 5.220%, 07/12/99 ........................... 17,249
DAIMLERCHRYSLER NORTH AMERICA
HOLDINGS
15,300,000 4.800%, 07/15/99 ........................... 15,267
19,900,000 4.900%, 07/22/99 ........................... 19,837
$15,000,000 4.810%, 07/26/99 ........................... 14,943
DANA CORP
25,000,000 ~ 5.250%, 07/06/99 ........................... 24,975
DANA CREDIT CORP
25,525,000 5.250%, 07/09/99 ........................... 25,490
DEERE & CO
4,996,000 4.780%, 07/09/99 ........................... 4,989
45,000,000 * 4.780%, 07/21/99 ........................... 44,863
DELAWARE FUNDING CORP
15,126,000 ~ 4.850%, 07/20/99 ........................... 15,082
24,400,000 ~ 4.870%, 08/23/99 ........................... 24,208
DEUTSCHE BANK FINANCIAL, INC
40,000,000 * 4.800%, 07/13/99 ........................... 39,924
EASTMAN KODAK CO
18,000,000 5.000%, 10/04/99 ........................... 17,745
ENTERPRISE FUNDING CORP
22,513,000 ~ 5.030%, 07/26/99 ........................... 22,428
8,800,000 ~ 5.000%, 08/19/99 ........................... 8,736
EQUILON ENTERPRISES LLC
20,000,000 5.750%, 07/01/99 ........................... 19,997
15,000,000 5.100%, 08/06/99 ........................... 14,920
20,400,000 4.970%, 08/16/99 ........................... 20,260
30,000,000 * 4.980%, 08/27/99 ........................... 29,747
FORD MOTOR CREDIT CO
38,000,000 4.850%, 07/09/99 ........................... 37,950
25,000,000 * 4.800%, 07/14/99 ........................... 24,949
25,130,000 4.800%, 07/16/99 ........................... 25,072
12,415,000 * 4.890%, 07/23/99 ........................... 12,374
FORTUNE BRANDS, INC
10,000,000 *~ 4.800%, 07/08/99 ........................... 9,988
20,000,000 *~ 4.780%, 07/22/99 ........................... 19,936
GENERAL ELECTRIC CAPITAL CORP
60,000,000 * 4.850%, 07/19/99 ........................... 59,835
40,451,000 * 4.860%, 07/29/99 ........................... 40,281
GENERAL MOTORS ACCEPTANCE CORP
33,614,000 4.970%, 07/16/99 ........................... 33,536
28,581,000 4.870%, 08/11/99 ........................... 28,407
GTE FUNDING, INC
24,000,000 4.930%, 07/06/99 ........................... 23,977
HEINZ (H.J.) CO
11,838,000 4.790%, 07/06/99 ........................... 11,827
HOUSEHOLD FINANCE CORP
5,000,000 * 4.780%, 07/29/99 ........................... 4,979
HOUSTON INDUSTRIES FINANCE CO L.P.
4,065,000 ~ 5.000%, 07/12/99 ........................... 4,058
70,000,000 *~ 5.020%, 07/19/99 ........................... 69,801
JOHN DEERE CAPITAL CORP
28,657,000 4.750%, 07/08/99 ........................... 28,624
30,000,000 * 4.780%, 07/20/99 ........................... 29,913
LOCKHEED MARTIN CORP
13,000,000 ~ 4.950%, 07/13/99 ........................... 12,974
10,000,000 *~ 5.270%, 07/29/99 ........................... 9,957
MCGRAW-HILL COS, INC
21,500,000 4.850%, 08/16/99 ........................... 21,353
MCI WORLDCOM, INC
29,780,000 ~ 4.980%, 07/14/99 ........................... 29,717
20,000,000 ~ 5.000%, 07/15/99 ........................... 19,955
MOTIVA ENTERPRISES LLC
50,000,000 5.570%, 07/01/99 ........................... 49,992
MOTOROLA, INC
20,000,000 4.790%, 07/01/99 ........................... 19,997
22,903,000 4.790%, 07/02/99 ........................... 22,896
NATIONAL RURAL UTILITIES COOP FINANCE
10,000,000 * 4.790%, 07/07/99 ........................... 9,989
6,735,000 4.780%, 07/12/99 ........................... 6,723
26,397,000 4.930%, 09/14/99 ........................... 26,103
NORFOLK SOUTHERN CORP
12,485,000 ~ 5.100%, 07/28/99 ........................... 12,433
20,000,000 ~ 5.250%, 08/03/99 ........................... 19,898
50
See notes to financial statements.
<PAGE>
VALUE
PRINCIPAL (000)
---------- ---------
PACCAR FINANCIAL CORP
$20,000,000 * 4.770%, 07/26/99 ........................... $ 19,925
20,000,000 * 4.790%, 07/26/99 ........................... 19,925
PARK AVENUE RECEIVABLES CORP
13,500,000 ~ 4.910%, 07/14/99 ........................... 13,472
5,648,000 ~ 4.820%, 07/15/99 ........................... 5,636
21,083,000 ~ 4.820%, 07/19/99 ........................... 21,025
21,849,000 ~ 4.930%, 07/22/99 ........................... 21,779
6,870,000 ~ 5.100%, 07/23/99 ........................... 6,847
31,418,000 *~ 4.860%, 07/26/99 ........................... 31,300
RAYTHEON CO
15,000,000 ~ 5.050%, 07/01/99 ........................... 14,997
10,000,000 ~ 5.100%, 07/01/99 ........................... 9,998
RECEIVABLES CAPITAL CORP
15,994,000 ~ 4.920%, 07/13/99 ........................... 15,964
14,826,000 ~ 5.030%, 07/19/99 ........................... 14,785
12,239,000 ~ 4.960%, 08/03/99 ........................... 12,179
19,014,000 ~ 4.963%, 08/03/99 ........................... 18,920
25,461,000 ~ 4.870%, 08/04/99 ........................... 25,332
13,000,000 ~ 4.980%, 08/06/99 ........................... 12,930
SAFEWAY, INC
25,000,000 ~ 4.980%, 07/07/99 ........................... 24,971
SAINT PAUL COS
17,000,000 ~ 5.000%, 07/22/99 ........................... 16,946
SALOMON SMITH BARNEY HOLDINGS, INC
25,138,000 * 4.820%, 07/14/99 ........................... 25,087
18,700,000 4.970%, 08/06/99 ........................... 18,600
SEARS ROEBUCK ACCEPTANCE CORP
46,800,000 4.860%, 07/07/99 ........................... 46,748
28,372,000 4.980%, 07/29/99 ........................... 28,253
SONAT, INC
10,000,000 ~ 4.990%, 07/08/99 ........................... 9,988
TEXAS UTILITIES CO
13,096,000 ~ 5.060%, 07/12/99 ........................... 13,072
20,000,000 *~ 5.000%, 07/16/99 ........................... 19,952
17,100,000 ~ 5.040%, 07/27/99 ........................... 17,031
TYCO INTERNATIONAL
15,000,000 ~ 5.010%, 07/02/99 ........................... 14,995
50,134,000 *~ 5.010%, 07/09/99 ........................... 50,066
10,236,000 ~ 5.120%, 07/20/99 ........................... 10,205
------------
2,465,278
------------
MEDIUM TERM BONDS--0.05%
ASSOCIATES CORP OF NORTH AMERICA
15,000,000 6.680%, 09/17/99 ........................... 15,036
BETA FINANCE, INC
20,000,000 5.100%, 02/22/00 ........................... 19,912
MERRILL LYNCH & CO, INC
7,550,000 * 6.200%, 07/19/99 ........................... 7,553
SOUTHERN CALIFORNIA GAS CO
15,000,000 * 6.210%, 11/08/99 ........................... 15,029
------------
57,530
------------
U.S. GOVERNMENT & AGENCIES--0.28%
FEDERAL HOME LOAN BANK
30,000,000 * 4.750%, 02/04/00 ........................... 29,053
FEDERAL HOME LOAN MORTGAGE CORP
39,800,000 5.000%, 07/09/99 ........................... 39,752
2,890,000 4.850%, 07/26/99 ........................... 2,880
22,000,000 4.790%, 08/05/99 ........................... 21,890
20,000,000 4.890%, 08/11/99 ........................... 19,883
13,000,000 4.900%, 08/23/99 ........................... 12,902
32,232,000 4.860%, 08/24/99 ........................... 31,985
20,044,000 * 4.770%, 09/03/99 ........................... 19,862
24,000,000 4.970%, 09/10/99 ........................... 23,759
6,000,000 4.770%, 09/13/99 ........................... 5,937
50,000,000 * 4.930%, 09/15/99 ........................... 49,463
FEDERAL NATIONAL MORTGAGE ASSOCIATION
45,700,000 5.030%, 07/19/99 ........................... 45,581
1,000,000 4.890%, 08/24/99 ........................... 992
25,000,000 * 4.680%, 12/27/99 ........................... 24,353
20,000,000 4.820%, 02/04/00 ........................... 19,369
------------
347,661
------------
VARIABLE RATE NOTES--0.09%
AIR PRODUCTS & CHEMICALS, INC
$15,000,000 5.101%, 10/25/99 ........................... 14,984
BANK OF MONTREAL
10,000,000 * 4.960%, 07/22/99 ........................... 9,998
BETA FINANCE, INC
15,000,000 4.968%, 02/04/00 ........................... 14,997
CATERPILLAR FINANCIAL SERVICES CORP
19,000,000 4.977%, 02/24/00 ........................... 18,996
GENERAL MOTORS ACCEPTANCE CORP
12,500,000 * 5.070%, 02/03/00 ........................... 12,495
PNC BANK NA
20,000,000 * 5.015%, 07/27/99 ........................... 19,998
15,000,000 * 4.963%, 10/13/99 ........................... 15,000
------------
106,468
------------
TOTAL SHORT TERM INVESTMENTS
(Cost $3,033,254) ........................... 3,031,930
------------
TOTAL PORTFOLIO
(COST $70,896,334) .......................... $127,176,740
============
- -----------
o Non-income producing
+ Affiliated holding
x In bankruptcy
~ Commercial Paper issued under the Private Placement exemption under Section
4(2) of the Securities act of 1933, as amended.
* All or a portion of these securities have been segregated by the Custodian to
cover margin or other requirements on open futures contracts.
[] All or a portion of these securities are out on loan.
# Restricted Securities-Investment in securities not registered under the
Securities Act of 1933 or not publicly traded in foreign markets.At June 30,
1999, the value of these securities amounted to $165,622,134 or 0.13% of net
assets. Additional information on each restricted security is as follows:
ACQUISITION ACQUISITION
SECURITY DATE COST
-------- ----------- -----------
ADVANCED MEDICINE SERIES C 01/25/99 $ 7,999,996
ANTENA 3 DE TELEVISION GDS 12/12/96 5,982,300
BB BIOVENTURES L.P. 05/08/97 9,999,501
BELO (A.H) CORP SERIES B 05/23/88 1,900,588
CARTER WALLACE, INC (CLASS B) 10/29/87 1,075,935
CORAM HEALTHCARE CORP WTS 07/11/99 11/13/97 0
CRESTARAN INTERNATIONAL INVESTMENT BV 09/30/94 0
DOW JONES & CO, INC (CLASS B) 07/31/86 12,068,995
INTERNATIONAL HYDRO LIQUIDATING TRUST 11/13/97 0
LAFARGE S.A. (REGD) 04/03/97 1,843,677
LAFARGE S.A. (REGD) 2001 01/05/99 5,834,868
LEE ENTERPRISES, INC (CLASS B) 03/31/86 60,768
L'AIR LIQUIDE S.A. (REGD) 10/29/96 4,377,677
MEREDITH CORP (CLASS B) 12/30/86 1,893,160
NETGENICS, INC CV SERIES D 03/20/98 5,517,450
NETGENICS, INC STOCK OPTION 03/20/08 06/08/98 0
PEGASUS GOLD, INC 11/30/90 148,513
PHYSICIAN COMPUTER NETWORK, INC 11/13/97 1,211,798
PROCURENET, INC 04/19/99 8,168
SILVERSTONE BERHAD 01/08/98 1,173
STARRETT (L.S.) CO (CLASS B) 10/07/88 798,235
TIMES MIRROR CO SERIES C 02/01/95 17,642,901
WRIGLEY (WM) JR CO (CLASS B) 04/30/86 2,007,603
ZEBRA TECHNOLOGY CORP (CLASS B) 10/29/98 43,233
-----------
$80,416,539
===========
See notes to financial statements. 51
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
TRANSACTIONS WITH AFFILIATED COMPANIES--STOCK ACCOUNT (Unaudited)
JANUARY 1, 1999 - JUNE 30, 1999
<TABLE>
<CAPTION>
VALUE AT REALIZED DIVIDEND SHARES AT VALUE AT
ISSUE DECEMBER 31, 1998 PURCHASE COST SALES PROCEEDS GAIN (LOSS) INCOME JUNE 30, 1999 JUNE 30, 1999
----- ----------------- ------------- -------------- ---------- --------- ------------- -------------
<S> <C> <C> <C> <C> <C> <C> <C>
BAY VIEW CAPITAL CORP ** $ 369,955 -- -- -- 935,702 $19,181,891
MARTEK BIOSCIENCES $10,269,200 -- -- -- -- 1,283,650 10,911,025
OMNIPOINT CORP ** 19,824,109 $24,186,900 $(1,196,510) -- -- *
SOUTH CHINA INDUSTRIES LTD 2,082,565 -- 1,889 (6,792) $33,512 51,996,000 4,556,994
TPI ENTERPRISES, INC 4,428 -- -- -- -- 1,107,000 13,837
----------- ------------ ----------- ----------- ------- -----------
$12,356,193 $20,194,064 $24,188,789 ($ 1,203,302) $33,512 $34,663,747
=========== ============ =========== =========== ======= ===========
</TABLE>
** Not an Affiliate as of December 31, 1998
* Not an Affiliate as of June 30, 1999
52
See notes to financial statements.
<PAGE>
[GRAPHIC OMITTED] COLLEGE RETIREMENT EQUITIES FUND
730 Third Avenue
New York, NY 10017-3206
212/490-9000
[GRAPHIC OMITTED] Printed on recycled paper
CSAR--01S-8/99
<PAGE>
Semi-Annual Report
- --------------------------------------------------------------------------------
COLLEGE RETIREMENT EQUITIES FUND
Financial Statements (Unaudited)
including
Statements of Investments
for these Accounts:
Money Market
Bond Market
Social Choice
Global Equities
Growth
Equity Index
Inflation-Linked Bond
-----------------------
June 30, 1999
[GRAPHIC OMITTED]
As required by the Investment Company Act of 1940, CREF provides its
participants with this semi-annual report of the financial condition and
portfolio holdings of the Money Market, Bond Market, Social Choice, Global
Equities, Growth, Equity Index and Inflation-Linked Bond Accounts. CREF also
provides a semi-annual report to participants in the Stock Account. Annual
reports are also provided each year toward the end of February.
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
MONEY MARKET ACCOUNT GLOBAL EQUITIES ACCOUNT
BOND MARKET ACCOUNT GROWTH ACCOUNT
SOCIAL CHOICE ACCOUNT EQUITY INDEX ACCOUNT
INFLATION-LINKED BOND ACCOUNT
INDEX TO UNAUDITED FINANCIAL STATEMENTS
JUNE 30, 1999
- --------------------------------------------------------------------------------
Page
----
Statements of Assets and Liabilities...................................... 2
Statements of Operations.................................................. 4
Statements of Changes in Net Assets....................................... 6
Notes to Financial Statements............................................. 8
Statements of Investments:
Money Market Account.................................................... 17
Bond Market Account..................................................... 22
Social Choice Account................................................... 28
Global Equities Account................................................. 36
Growth Account.......................................................... 54
Equity Index Account.................................................... 72
Inflation-Linked Bond Account........................................... 98
1
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENTS OF ASSETS AND LIABILITIES (UNAUDITED)
JUNE 30, 1999
(amounts in thousands, except per accumulation unit amounts)
<TABLE>
<CAPTION>
MONEY MARKET BOND MARKET
ACCOUNT ACCOUNT
--------------- ---------------
<S> <C> <C>
ASSETS
Portfolio investments, at cost..................................... $6,372,484 $3,877,391
Net unrealized appreciation (depreciation) of portfolio investments (3,547) (52,845)
---------- ----------
Portfolio investments, at value.................................... 6,368,937 3,824,546
Cash............................................................... 79 8
Dividends and interest receivable.................................. 15,974 33,197
Receivable from securities transactions............................ -- 664,067
Amounts due from TIAA.............................................. 5,517 2,052
---------- ----------
TOTAL ASSETS 6,390,507 4,523,870
---------- ----------
LIABILITIES
Deposits for securities loaned--Note 4............................. -- 318,181
Payable for securities transactions................................ 14,994 1,142,827
---------- ----------
TOTAL LIABILITIES 14,994 1,461,008
---------- ----------
NET ASSETS
Accumulation Fund.................................................. 6,176,895 3,009,338
Annuity Fund....................................................... 198,618 53,524
---------- ----------
TOTAL NET ASSETS $6,375,513 $3,062,862
========== ==========
THOUSANDS OF ACCUMULATION UNITS OUTSTANDING--Notes 5 and 6............ 329,071 58,566
======= ======
NET ASSET VALUE, PER ACCUMULATION UNIT--Note 5........................ $18.77 $51.38
====== ======
</TABLE>
See notes to financial statements.
2
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENTS OF ASSETS AND LIABILITIES (UNAUDITED)
JUNE 30, 1999
(amounts in thousands, except per accumulation unit amounts)
<TABLE>
<CAPTION>
SOCIAL CHOICE GLOBAL EQUITIES
ACCOUNT ACCOUNT
--------------- ---------------
<S> <C> <C>
ASSETS
Portfolio investments, at cost..................................... $3,195,526 $5,399,892
Net unrealized appreciation (depreciation) of portfolio investments 1,128,434 1,296,915
---------- ----------
Portfolio investments, at value.................................... 4,323,960 6,696,807
Cash............................................................... 1,132 40,437
Dividends and interest receivable.................................. 18,979 5,288
Receivable from securities transactions............................ 421,855 105,184
Amounts due from TIAA.............................................. 2,971 4,949
---------- ----------
TOTAL ASSETS 4,768,897 6,852,665
---------- ----------
LIABILITIES
Deposits for securities loaned--Note 4............................. 165,030 115,735
Payable for securities transactions................................ 742,144 76,507
---------- ----------
TOTAL LIABILITIES 907,174 192,242
---------- ----------
NET ASSETS
Accumulation Fund.................................................. 3,719,320 6,417,796
Annuity Fund....................................................... 142,403 242,627
---------- ----------
TOTAL NET ASSETS $3,861,723 $6,660,423
========== ==========
THOUSANDS OF ACCUMULATION UNITS OUTSTANDING--Notes 5 and 6............ 40,412 83,529
====== ======
NET ASSET VALUE, PER ACCUMULATION UNIT--Note 5........................ $92.03 $76.83
====== ======
</TABLE>
See notes to financial statements.
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENTS OF ASSETS AND LIABILITIES (UNAUDITED)
JUNE 30, 1999
(amounts in thousands, except per accumulation unit amounts)
<TABLE>
<CAPTION>
GROWTH EQUITY INDEX INFLATION-LINKED
ACCOUNT ACCOUNT BOND ACCOUNT
--------------- --------------- ------------------
<S> <C> <C> <C>
ASSETS
Portfolio investments, at cost..................................... $ 8,111,889 $3,025,226 $141,549
Net unrealized appreciation (depreciation) of portfolio investments 2,046,578 1,367,858 (2,561)
----------- ---------- --------
Portfolio investments, at value.................................... 10,158,467 4,393,084 138,988
Cash............................................................... 2,304 1,767 6
Dividends and interest receivable.................................. 6,906 3,867 1,903
Receivable from securities transactions............................ 56,208 369 2,062
Amounts due from TIAA.............................................. 10,687 5,183 165
----------- ---------- --------
TOTAL ASSETS 10,234,572 4,404,270 143,124
----------- ---------- --------
LIABILITIES
Deposits for securities loaned--Note 4............................. -- -- --
Payable for securities transactions................................ 24,375 17,340 --
----------- ---------- --------
TOTAL LIABILITIES 24,375 17,340 --
----------- ---------- --------
NET ASSETS
Accumulation Fund.................................................. 9,936,864 4,248,140 136,357
Annuity Fund....................................................... 273,333 138,790 6,767
----------- ---------- --------
TOTAL NET ASSETS $10,210,197 $4,386,930 $143,124
=========== ========== ========
THOUSANDS OF ACCUMULATION UNITS OUTSTANDING--Notes 5 and 6............ 117,531 54,755 4,959
======= ====== =====
NET ASSET VALUE, PER ACCUMULATION UNIT--Note 5........................ $84.55 $77.59 $27.50
====== ====== ======
</TABLE>
See notes to financial statements.
3
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENTS OF OPERATIONS (UNAUDITED)
SIX MONTHS ENDED JUNE 30, 1999
(amounts in thousands)
<TABLE>
<CAPTION>
MONEY MARKET BOND MARKET
ACCOUNT ACCOUNT
------------ -------------
<S> <C> <C>
INVESTMENT INCOME
Income:
Interest........................................................... $153,729 $ 97,238
Dividends.......................................................... -- 160
-------- --------
TOTAL INCOME 153,729 97,398
-------- --------
Expenses--Note 3:
Investment......................................................... 2,536 1,526
Operating.......................................................... 7,436 3,718
-------- --------
TOTAL EXPENSES 9,972 5,244
-------- --------
INVESTMENT INCOME--NET 143,757 92,154
-------- --------
REALIZED AND UNREALIZED GAIN ON TOTAL INVESTMENTS--Note 4
Net realized gain (loss) on:
Portfolio investments............................................ 3 (79,055)
Futures transactions............................................. -- --
Foreign currency transactions.................................... -- --
-------- --------
Net realized gain (loss) 3 (79,055)
-------- --------
Net change in unrealized appreciation (depreciation) on:
Portfolio investments............................................ (3,699) (71,731)
Futures transactions............................................. -- --
Translation of assets (other than portfolio investments)
and liabilities denominated in foreign currencies.............. -- --
-------- --------
Net change in unrealized appreciation (depreciation) (3,699) (71,731)
-------- --------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON TOTAL INVESTMENTS (3,696) (150,786)
-------- --------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $140,061 $ (58,632)
======== ========
</TABLE>
See notes to financial statements.
4
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENTS OF OPERATIONS (UNAUDITED)
SIX MONTHS ENDED JUNE 30, 1999
(amounts in thousands)
<TABLE>
<CAPTION>
SOCIAL CHOICE GLOBAL EQUITIES
ACCOUNT ACCOUNT
------------- ---------------
<S> <C> <C>
INVESTMENT INCOME
Income:
Interest........................................................... $ 43,174 $ 1,832
Dividends.......................................................... 13,942 42,184
-------- --------
TOTAL INCOME 57,116 44,016
-------- --------
Expenses--Note 3:
Investment......................................................... 1,783 4,629
Operating.......................................................... 4,289 7,529
-------- --------
TOTAL EXPENSES 6,072 12,158
-------- --------
INVESTMENT INCOME--NET 51,044 31,858
-------- --------
REALIZED AND UNREALIZED GAIN ON TOTAL INVESTMENTS--Note 4
Net realized gain (loss) on:
Portfolio investments............................................ 49,529 359,646
Futures transactions............................................. -- 695
Foreign currency transactions.................................... -- (4,127)
-------- --------
Net realized gain (loss) 49,529 356,214
-------- --------
Net change in unrealized appreciation (depreciation) on:
Portfolio investments............................................ 118,772 104,752
Futures transactions............................................. -- 966
Translation of assets (other than portfolio investments)
and liabilities denominated in foreign currencies.............. -- 315
-------- --------
Net change in unrealized appreciation (depreciation) 118,772 106,033
-------- --------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON TOTAL INVESTMENTS 168,301 462,247
-------- --------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $219,345 $494,105
======== ========
</TABLE>
See notes to financial statements.
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENTS OF OPERATIONS (UNAUDITED)
SIX MONTHS ENDED JUNE 30, 1999
(amounts in thousands)
<TABLE>
<CAPTION>
GROWTH EQUITY INDEX INFLATION-LINKED
ACCOUNT ACCOUNT BOND ACCOUNT
------------- ------------ ----------------
<S> <C> <C> <C>
INVESTMENT INCOME
Income:
Interest........................................................... $ 7,601 $ 1,190 $4,817
Dividends.......................................................... 24,266 24,711 --
---------- -------- ------
TOTAL INCOME 31,867 25,901 4,817
---------- -------- ------
Expenses--Note 3:
Investment......................................................... 5,812 1,583 75
Operating.......................................................... 10,480 4,586 193
---------- -------- ------
TOTAL EXPENSES 16,292 6,169 268
---------- -------- ------
INVESTMENT INCOME--NET 15,575 19,732 4,549
---------- -------- ------
REALIZED AND UNREALIZED GAIN ON TOTAL INVESTMENTS--Note 4
Net realized gain (loss) on:
Portfolio investments............................................ 656,629 18,693 (490)
Futures transactions............................................. 10,467 1,212 --
Foreign currency transactions.................................... -- -- --
---------- -------- ------
Net realized gain (loss) 667,096 19,905 (490)
---------- -------- ------
Net change in unrealized appreciation (depreciation) on:
Portfolio investments............................................ 321,736 378,600 (1,486)
Futures transactions............................................. 1,347 323 --
Translation of assets (other than portfolio investments)
and liabilities denominated in foreign currencies.............. -- -- --
---------- -------- ------
Net change in unrealized appreciation (depreciation) 323,083 378,923 (1,486)
---------- -------- ------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON TOTAL INVESTMENTS 990,179 398,828 (1,976)
---------- -------- ------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $1,005,754 $418,560 $2,573
========== ======== ======
</TABLE>
See notes to financial statements.
5
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENTS OF CHANGES IN NET ASSETS
(amounts in thousands)
<TABLE>
<CAPTION>
MONEY MARKET ACCOUNT BOND MARKET ACCOUNT SOCIAL CHOICE ACCOUNT
----------------------- ----------------------- -----------------------
Six months Year Six months Year Six months Year
Ended Ended Ended Ended Ended Ended
June 30, December 31, June 30, December 31, June 30, December 31,
1999 1998 1999 1998 1999 1998
--------- --------- --------- --------- --------- ---------
(Unaudited) (Unaudited) (Unaudited)
<S> <C> <C> <C> <C> <C> <C>
FROM OPERATIONS
Investment income--net..... $ 143,757 $ 263,083 $ 92,154 $ 131,383 $ 51,044 $ 84,650
Net realized gain (loss) on
total investments........ 3 (67) (79,055) 45,281 49,529 57,952
Net change in unrealized
appreciation
(depreciation) on total
investments.............. (3,699) 1,203 (71,731) (1,665) 118,772 340,114
---------- ---------- ---------- ---------- ---------- ----------
NET INCREASE (DECREASE)
IN NET ASSETS
RESULTING FROM
OPERATIONS 140,061 264,219 (58,632) 174,999 219,345 482,716
---------- ---------- ---------- ---------- ---------- ----------
FROM PARTICIPANT
TRANSACTIONS
Premiums................... 262,045 433,743 131,102 217,168 217,316 354,892
---------- ---------- ---------- ---------- ---------- ----------
Disbursements and transfers:
Net transfers to (from)
TIAA................... 63,698 76,723 18,775 (27,940) (6,512) (222)
Net transfers to (from)
other CREF Accounts..... (360,069) (1,466,151) (5,413) (1,165,693) (114,907) (245,594)
Annuity payments......... 16,584 29,286 4,950 7,318 6,213 10,469
Withdrawals and
repurchases............ 219,129 337,703 46,057 61,279 32,076 46,245
Death benefits........... 3,316 5,792 1,142 1,665 1,075 1,691
---------- ---------- ---------- ---------- ---------- ----------
TOTAL DISBURSEMENTS
AND TRANSFERS, NET (57,342) (1,016,647) 65,511 (1,123,371) (82,055) (187,411)
---------- ---------- ---------- ---------- ---------- ----------
NET INCREASE (DECREASE)
IN NET ASSETS
RESULTING FROM
PARTICIPANT
TRANSACTIONS 319,387 1,450,390 65,591 1,340,539 299,371 542,303
---------- ---------- ---------- ---------- ---------- ----------
NET INCREASE
IN NET ASSETS 459,448 1,714,609 6,959 1,515,538 518,716 1,025,019
NET ASSETS
Beginning of year.......... 5,916,065 4,201,456 3,055,903 1,540,365 3,343,007 2,317,988
---------- ---------- ---------- ---------- ---------- ----------
End of period.............. $6,375,513 $5,916,065 $3,062,862 $3,055,903 $3,861,723 $3,343,007
========== ========== ========== ========== ========== ==========
</TABLE>
See notes to financial statements.
6
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENTS OF CHANGES IN NET ASSETS
(amounts in thousands)
<TABLE>
<CAPTION>
GLOBAL EQUITIES ACCOUNT GROWTH ACCOUNT
----------------------- -----------------------
Six months Year Six months Year
Ended Ended Ended Ended
June 30, December 31, June 30, December 31,
1999 1998 1999 1998
--------- --------- --------- ---------
(Unaudited) (Unaudited)
<S> <C> <C> <C> <C>
FROMO PERATIONS
Investment income--net..... $ 31,858 $ 55,086 $ 15,575 $ 21,823
Net realized gain (loss) on
total investments........ 356,214 417,277 667,096 823,510
Net change in unrealized
appreciation
(depreciation) on total
investments.............. 106,033 463,253 323,083 876,627
---------- ---------- ----------- ----------
NET INCREASE (DECREASE)
IN NET ASSETS
RESULTING FROM
OPERATIONS 494,105 935,616 1,005,754 1,721,960
---------- ---------- ----------- ----------
FROM PARTICIPANT
TRANSACTIONS
Premiums................... 289,877 559,900 582,498 874,916
---------- ---------- ----------- ----------
Disbursements and transfers:
Net transfers to (from)
TIAA................... (12,181) 54,623 (70,624) (53,572)
Net transfers to (from)
other CREF Accounts..... 110,756 524,020 (997,629) (445,194)
Annuity payments......... 11,332 23,089 11,287 17,186
Withdrawals and
repurchases............ 61,020 103,745 93,297 105,337
Death benefits........... 3,561 5,780 2,697 3,109
---------- ---------- ----------- ----------
TOTAL DISBURSEMENTS
AND TRANSFERS, NET 174,488 711,257 (960,972) (373,134)
---------- ---------- ----------- ----------
NET INCREASE (DECREASE)
IN NET ASSETS
RESULTING FROM
PARTICIPANT
TRANSACTIONS 115,389 (151,357) 1,543,470 1,248,050
---------- ---------- ----------- ----------
NET INCREASE
IN NET ASSETS 609,494 784,259 2,549,224 2,970,010
NET ASSETS
Beginning of year.......... 6,050,929 5,266,670 7,660,973 4,690,963
---------- ---------- ----------- ----------
End of period.............. $6,660,423 $6,050,929 $10,210,197 $7,660,973
========== ========== =========== ==========
</TABLE>
See notes to financial statements.
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENTS OF CHANGES IN NET ASSETS
(amounts in thousands)
<TABLE>
<CAPTION>
EQUITY INDEX ACCOUNT INFLATION-LINKED BOND ACCOUNT
----------------------- -----------------------------
Six months Year Six months Year
Ended Ended Ended Ended
June 30, December 31, June 30, December 31,
1999 1998 1999 1998
--------- --------- --------- ---------
(Unaudited) (Unaudited)
<S> <C> <C> <C> <C>
FROM OPERATIONS
Investment income--net..... $ 19,732 $ 33,751 $ 4,549 $ 5,233
Net realized gain (loss) on
total investments........ 19,905 28,429 (490) (82)
Net change in unrealized
appreciation
(depreciation) on total
investments.............. 378,923 520,266 (1,486) (1,275)
---------- ---------- -------- --------
NET INCREASE (DECREASE)
IN NET ASSETS
RESULTING FROM
OPERATIONS 418,560 582,446 2,573 3,876
---------- ---------- -------- --------
FROM PARTICIPANT
TRANSACTIONS
Premiums................... 275,092 447,088 7,818 10,543
---------- ---------- -------- --------
Disbursements and transfers:
Net transfers to (from)
TIAA................... (35,677) (36,240) 294 (549)
Net transfers to (from)
other CREF Accounts..... (248,848) (404,520) (20,507) (33,075)
Annuity payments......... 5,793 9,740 271 313
Withdrawals and
repurchases............ 36,794 49,838 29,032 1,476
Death benefits........... 642 1,440 1 10
---------- ---------- -------- --------
TOTAL DISBURSEMENTS
AND TRANSFERS, NET (241,296) (379,742) 9,091 (31,825)
---------- ---------- -------- --------
NET INCREASE (DECREASE)
IN NET ASSETS
RESULTING FROM
PARTICIPANT
TRANSACTIONS 516,388 826,830 (1,273) 42,368
---------- ---------- -------- --------
NET INCREASE
IN NET ASSETS 934,948 1,409,276 1,300 46,244
NET ASSETS
Beginning of year.......... 3,451,982 2,042,706 141,824 95,580
---------- ---------- -------- --------
End of period.............. $4,386,930 $3,451,982 $143,124 $141,824
========== ========== ======== ========
</TABLE>
See notes to financial statements.
7
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
NOTE 1--ORGANIZATION
College Retirement Equities Fund ("CREF") was formed to aid and strengthen
nonprofit educational and research organizations by providing their employees
with variable retirement benefits.
CREF is registered with the Securities and Exchange Commission ("Commission")
under the Investment Company Act of 1940 as an open-end, diversified management
investment company. It consists of eight investment portfolios ("Accounts"). The
accompanying financial statements are those of the Money Market Account, which
invests in money market instruments; the Bond Market Account, which invests in a
broad range of fixed-income securities; the Social Choice Account, which invests
in a diversified portfolio of equity and fixed-income securities while giving
special consideration to certain social criteria; the Global Equities Account,
which invests in equity securities of foreign and domestic companies; the Growth
Account, which invests in a diversified portfolio of equity securities that
present opportunities for growth; the Equity Index Account, which invests in a
diversified portfolio of equity securities selected to track the overall United
States stock market; and the Inflation-Linked Bond Account, which invests
primarily in inflation-indexed bonds. The eighth investment portfolio of CREF,
the Stock Account, which invests primarily in equity securities, is not included
in these financial statements.
The Inflation-Linked Bond Account was established on January 13, 1997 with a
$50,000,000 investment by Teachers Insurance and Annuity Association of America
("TIAA"), a companion organization, which purchased 2,000,000 Accumulation Units
at the established $25.00 initial Accumulation Unit Value. On May 1, 1997, the
Inflation-Linked Bond Account was registered with the Commission under the
Securities Act of 1933 and the Investment Company Act of 1940 as an additional
series of CREF. On May 1, 1997, CREF began to offer Accumulation Units of the
Inflation-Linked Bond Account to participants other than TIAA. TIAA's
Accumulation Units shared in the pro rata investment experience and were subject
to the same valuation procedures and expense deductions as all other
Accumulation Units in the Account. During 1999, TIAA withdrew 982,976
Accumulation Units, totalling $27,000,000, from the Inflation-Linked Bond
Account at prevailing net asset values and such withdrawals are reflected in the
accompanying financial statements of the Inflation-Linked Bond Account. At June
30, 1999, TIAA's investment in the Inflation-Linked Bond Account was 1,017,024
Accumulation Units, with a total value of $27,965,109.
TIAA-CREF Investment Management, LLC ("Investment Management"), a subsidiary of
TIAA, is registered with the Commission as an investment adviser and provides
investment advisory services for the CREF Accounts pursuant to an Investment
Management Services Agreement with CREF. TIAA-CREF Individual & Institutional
Services, Inc. ("Services"), a subsidiary of TIAA, which is registered with the
Commission as a broker-dealer and is a member of the National Association of
Securities Dealers, Inc., provides administrative services for the CREF Accounts
and performs distribution functions for CREF's certificates pursuant to a
Principal Underwriting and Administrative Services Agreement with CREF. TIAA
provides guarantees for the CREF Accounts for certain mortality and expense
risks pursuant to an Immediate Annuity Purchase Rate Guarantee Agreement.
NOTE 2--SIGNIFICANT ACCOUNTING POLICIES
The preparation of financial statements may require management to make estimates
and assumptions that affect the reported amounts of assets, liabilities, income,
expenses and related disclosures. Actual results may differ from those
estimates. The following is a summary of the significant accounting policies
consistently followed by the Accounts, which are in conformity with generally
accepted accounting principles.
VALUATION OF INVESTMENTS: Securities listed or traded on any United States
national securities exchange are valued at the last sales price as of the close
of the principal securities exchange on which such securities are traded or, if
there is no sale, at the mean of the last bid and asked prices on such exchange.
Securities traded only in the over-the-counter market and quoted in the NASDAQ
National Market System are valued at the last sales price, or at the mean of the
last bid and asked prices if no sale is reported. All other over-the-counter
securities are valued at the mean of the last bid and asked prices, except for
bonds which are valued at the most recent bid price or the equivalent quoted
yield of such bonds. Short-term money market instruments are stated at market
value or amortized cost, which approximates market value. Foreign investments
are valued at the closing price in the principal market where they are traded;
local currencies are converted into U.S. dollars as described below under
Foreign Currency Transactions and Translation. Stock index futures and options
which are traded on commodities exchanges are valued at the last sale price as
of the close of such commodities exchanges. Portfolio securities for which
market quotations are not readily available are valued at fair value as
determined in good faith under the direction of the Finance Committee of the
Board of Trustees and in accordance with the responsibilities of the Board as a
whole.
8
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)--(CONTINUED)
NOTE 2--SIGNIFICANT ACCOUNTING POLICIES--(CONTINUED)
ACCOUNTING FOR INVESTMENTS: Securities transactions are accounted for as of the
date the securities are purchased or sold (trade date). Interest income is
recorded as earned and, for short-term money market instruments, includes
accrual of discount and amortization of premium. Dividend income is recorded on
the ex-dividend date or, for certain foreign securities, as soon as the Accounts
are informed of the ex-dividend date. Realized gains and losses on security
transactions are accounted for on the average cost basis.
FOREIGN CURRENCY TRANSACTIONS AND TRANSLATION: Foreign investments, bank
deposits and forward 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
translated at the prevailing exchange rate at the end of the period. The
cumulative impact of changes in foreign exchange rates on portfolio investments
sold during the period is reflected in the net realized gain (loss) on portfolio
investments. The cumulative impact of changes in foreign exchange rates on
portfolio investments held at the end of the period is reflected in the net
change in unrealized appreciation (depreciation) on portfolio investments.
Currency gains and losses arising from the settlement of forward foreign
currency contracts, changes in exchange rates between the trade and settlement
dates of portfolio investment transactions, and changes in exchange rates
between the accrual and receipt dates for dividend and interest income are
recorded as net realized gains (losses) on foreign currency transactions. For
assets other than portfolio investments and liabilities, changes in foreign
exchange rates are reflected in the net change in unrealized appreciation
(depreciation) on translation of assets (other than portfolio investments) and
liabilities denominated in foreign currencies.
SECURITIES LENDING: The Accounts may lend portfolio securities to qualified
institutions. Such loans are secured by collateral at least equal to 102% of the
market value of the securities loaned for United States securities and 105% of
the market value of securities loaned for foreign securities. An Account
continues to receive income on the securities loaned and receives additional
income from the lending transaction. Additionally, any change in the market
value of the securities loaned is recognized by the Account. Although each
transaction is fully collateralized, the Account would bear the risk of delay in
recovery of, or loss of rights in, the securities loaned should a borrower fail
to return the securities in a timely manner.
COVERED CALL OPTIONS WRITTEN: The Accounts write (sell) covered call options to
provide protection against adverse movements in the price of securities in the
portfolio. When an option is written, an amount equal to the premium received is
recorded as a liability; the liability is adjusted on a daily basis to the
current market price of the option written and an unrealized gain or loss is
recorded. Premiums received from writing options which expire unexercised are
recognized as realized gains from option transactions on the expiration date.
Premiums received from writing options which are exercised are added to the
proceeds from the sale of the underlying securities in recognizing the net
realized gain or loss on portfolio investments. In writing options, it is
assumed that the option may be exercised at any time prior to the expiration of
an Account's obligation as a writer, and that in such circumstances the net
proceeds of the sale of the underlying securities pursuant to the call option
may be below the prevailing market value.
FUTURES CONTRACTS: The Accounts purchase futures contracts for the purpose of
acquiring a position in a security or group of securities which the Accounts
intend to purchase at a later date, or for cash management purposes to remain
highly invested in the equity markets while minimizing transaction costs. The
Accounts sell futures contracts for the purpose of offsetting changes in market
value while withdrawing from a specific market. A financial futures contract is
an agreement between two parties to buy and sell a financial instrument for a
set price on a future date. Initial margin deposits are made upon entering into
futures contracts and can be either cash or securities. During the period the
futures contract is open, changes in the value of the contract are recognized as
unrealized gains or losses from futures transactions by "marking-to-market" on a
daily basis to reflect the market value of the contract at the end of each day's
trading.
Variation margin payments are received or made, depending upon whether
unrealized gains or losses are incurred. When the contract is closed, a realized
gain or loss from futures transactions is recorded, equal to the net variation
margin received or paid over the period of the contract. The contractual amounts
under futures contracts reflect the extent of an Account's exposure to
off-balance sheet risk. The credit risk to such contracts is limited to the
failure of the exchange or board of trade which acts as the counterparty to the
Account's futures transactions.
9
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)--(CONTINUED)
NOTE 2--SIGNIFICANT ACCOUNTING POLICIES--(CONCLUDED)
FORWARD FOREIGN CURRENCY CONTRACTS: The Accounts may enter into forward foreign
currency contracts to purchase or sell foreign currency to accommodate foreign
investment transactions. Forward foreign currency contracts are
"marked-to-market" at the end of each day's trading. Daily changes in the value
of such contracts are reflected in the net change in unrealized appreciation
(depreciation) on translation of assets and liabilities denominated in foreign
currencies. When the contract is closed, payment is received or made and a
realized gain or loss on foreign currency transactions is recognized, equal to
the difference between the cost of the closing transaction and the basis in the
contract. An Account may also enter into a forward foreign currency contract to
offset an existing contract. Forward foreign currency contracts are entered into
directly with a counterparty and an Account is exposed to the risk of default of
such counterparty. The maximum potential loss from such risk is the aggregate
face value in U.S. dollars at the time the contract is opened. There is no daily
margin requirement for such contracts.
REPURCHASE AGREEMENTS: The Accounts may enter into repurchase agreements with
qualified institutions. Repurchase agreements involve the purchase of securities
from an institution, subject to the seller's agreement to repurchase and the
Accounts' agreement to resell such securities at a mutually-agreed upon price.
Pursuant to the terms of the repurchase agreement, securities purchased subject
to repurchase agreements must have an aggregate market value greater than or
equal to the agreed-upon repurchase price plus accrued interest at all times. If
the value of the underlying securities falls below the value of the repurchase
price plus accrued interest, the Accounts will require the seller to deposit
additional collateral by the next business day. If a request for additional
collateral is not met, or if the seller defaults on its repurchase obligation,
the Accounts maintain the right to sell the underlying securities at market
value and pursue a claim for any remaining loss against the seller.
Securities Purchased on a When-Issued or Delayed Delivery Basis: The Accounts
may purchase securities on a when-issued or delayed delivery basis. In addition
to the normal market risks, this exposes the Accounts to the risk that the
transaction may not be consummated.
RESTRICTED SECURITIES: Restricted securities held by the Accounts may not be
sold except in exempt transactions or in a public offering registered under the
Securities Act of 1933. The risk of investing in such securities is generally
greater than the risk of investing in securities which are widely held and
publicly traded.
FEDERAL INCOME TAXES: CREF is taxed as a life insurance company under Subchapter
L of the Internal Revenue Code ("Code"), not as a regulated investment company
under Subchapter M of the Code. CREF should incur no material federal income tax
liability. Under the rules of taxation applicable to life insurance companies,
CREF's Accumulation and Annuity Funds for participants will generally be treated
as life insurance reserves; therefore, any increase in such reserves will be
deductible.
NOTE 3--MANAGEMENT AGREEMENTS
Services necessary for the operation of the CREF Accounts are provided, at cost,
by Investment Management and Services. Such services are provided in accordance
with an Investment Management Services Agreement between CREF and Investment
Management, and in accordance with a Principal Underwriting and Administrative
Services Agreement between CREF and Services (see Note 1). Investment Management
and Services receive management fee payments from the CREF Accounts on a daily
basis according to formulas established each year with the objective of keeping
the management fees as close as possible to each Account's actual expenses. Any
differences between actual expenses and the management fees are adjusted
quarterly.
NOTE 4--INVESTMENTS
At June 30, 1999, the market value of securities loaned, and collateral received
in connection therewith, was comprised as follow:
<TABLE>
<CAPTION>
COLLATERAL
--------------------------
MARKET VALUE LETTERS
OF SECURITIES LOANED CASH OF CREDIT
-------------------- ------------ --=-------
<S> <C> <C> <C>
Bond Market Account.......................................... $308,068,829 $318,180,954 $ --
Social Choice Account........................................ 159,529,287 165,030,345 --
Global Equities Account...................................... 116,909,760 115,735,476 5,537,122
</TABLE>
10
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)--(CONTINUED)
NOTE 4--INVESTMENTS--(CONCLUDED)
At June 30, 1999, net unrealized appreciation (depreciation) of portfolio
investments, consisting of gross unrealized appreciation and gross unrealized
depreciation, were as follows:
<TABLE>
<CAPTION>
GROSS GROSS NET UNREALIZED
UNREALIZED UNREALIZED APPRECIATION
APPRECIATION OF DEPRECIATION OF (DEPRECIATION) OF
PORTFOLIO PORTFOLIO PORTFOLIO
INVESTMENTS INVESTMENTS INVESTMENTS
-------------- ------------- ---------------
<S> <C> <C> <C>
Money Market Account.........................................$ 14,181 $ 3,560,959 $ (3,546,778)
Bond Market Account.......................................... 5,635,456 58,480,085 (52,844,629)
Social Choice Account........................................ 1,187,662,013 59,228,178 1,128,433,835
Global Equities Account...................................... 1,449,344,124 152,429,295 1,296,914,829
Growth Account............................................... 2,177,361,787 130,783,784 2,046,578,003
Equity Index Account......................................... 1,481,578,961 113,720,505 1,367,858,456
Inflation-Linked Bond Account................................ -- 2,560,577 (2,560,577)
</TABLE>
At June 30, 1999 the Global Equities, Growth and Equity Index Accounts held 293,
766 and 59 open futures contracts, respectively, in the Standard & Poor's 500
Index, expiring in September 1999, with a value of $101,209,525, $264,595,550
and $20,380,075, respectively and an unrealized gain of $965,545, $7,046,863 and
$998,156, respectively.
Companies in which any of the Accounts held 5% or more of the outstanding voting
shares are defined as "affiliated" in the Investment Company Act of 1940. At
June 30, 1999, the total value of the Global Equities Account's investments in
affiliated companies was $64,835,335. For the six months ended June 30, 1999,
total dividend income and net realized gain relating to such investments of the
Global Equities Account were $1,777,208 and $10,950,570, respectively. At June
30, 1999 the total value of the Growth Account's investments in affiliated
companies was $17,749,275. For the six months ended June 30, 1999, net realized
loss relating to such investments of the Growth Account was $50,031,248. For the
periods and CREF Accounts covered by these financial statements, there were no
other investments in affiliated companies.
Purchases and sales of portfolio securities, other than short-term money market
instruments, for the Bond Market, Social Choice, Global Equities, Growth, Equity
Index, and the Inflation-Linked Bond Accounts for the six months ended June 30,
1999, were as follows:
<TABLE>
<CAPTION>
BOND MARKET SOCIAL CHOICE GLOBAL EQUITIES
ACCOUNT ACCOUNT ACCOUNT
--------------- -------------- --------------
Purchases:
<S> <C> <C> <C>
Unaffiliated issuers.................................. $10,931,614,454 $4,648,811,814 $2,835,859,386
Affiliated issuers.................................... -- -- --
--------------- -------------- --------------
TOTAL PURCHASES $10,931,614,454 $4,648,811,814 $2,835,859,386
=============== ============== ==============
Sales:
Unaffiliated issuers.................................. $10,831,792,420 $4,340,422,871 $2,767,116,580
Affiliated issuers.................................... -- -- 26,366,678
--------------- -------------- --------------
TOTAL SALES $10,831,792,420 $4,340,422,871 $2,793,483,258
=============== ============== ==============
GROWTH EQUITY INDEX INFLATION-LINKED
ACCOUNT ACCOUNT BOND ACCOUNT
--------------- -------------- --------------
Purchases:
Unaffiliated issuers.................................. $5,917,385,723 $561,121,308 $40,020,954
Affiliated issuers 33,503,918 -- --
--------------- -------------- --------------
TOTAL PURCHASES $5,950,889,641 $561,121,308 $40,020,954
=============== ============== ==============
Sales:
Unaffiliated issuers.................................. $4,363,040,989 $27,309,734 $43,128,517
Affiliated issuers.................................... 141,668,222 -- --
--------------- -------------- --------------
TOTAL SALES $4,504,709,211 $27,309,734 $43,128,517
=============== ============== ==============
</TABLE>
11
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)--(CONTINUED)
NOTE 5--CONDENSED FINANCIAL INFORMATION
Selected condensed financial information for an Accumulation Unit of each
Account is presented below.
<TABLE>
<CAPTION>
MONEY MARKET ACCOUNT
----------------------------------------------------------------------
SIX MONTHS FOR THE YEARS ENDED DECEMBER 31,
ENDED -------------------------------------------------------
JUNE 30, 1999 (1) 1998 1997 1996 1995 1994
----------------- ------- ------- ------- ------- -------
(Unaudited)
<S> <C> <C> <C> <C> <C> <C>
Per Accumulation Unit Data:
Investment income...................... $ .461 $ .998 $ .953 $ .880 $ .910 $ .631
Expenses............................... .030 .054 .046 .049 .048 .041
------- ------- ------- ------- ------- -------
Investment income--net................. .431 .944 .907 .831 .862 .590
Net realized and unrealized gain (loss)
on total investments................. (.011) .005 .001 (.003) .009 (.012)
------- ------- ------- ------- ------- -------
Net increase in
Accumulation Unit Value.............. .420 .949 .908 .828 .871 .578
Accumulation Unit Value:
Beginning of year.................... 18.351 17.402 16.494 15.666 14.795 14.217
------- ------- ------- ------- ------- -------
End of period........................ $18.771 $18.351 $17.402 $16.494 $15.666 $14.795
======= ======= ======= ======= ======= =======
Total return............................. 2.29% 5.45% 5.51% 5.28% 5.88% 4.07%
Ratios to Average Net Assets:
Expenses............................... 0.16% 0.30% 0.27% 0.30% 0.32% 0.28%
Investment income--net................. 2.32% 5.27% 5.35% 5.16% 5.64% 4.03%
Portfolio turnover rate.................. n/a n/a n/a n/a n/a n/a
Thousands of Accumulation Units
outstanding at end of period........... 329,071 312,358 233,116 218,292 193,181 183,135
</TABLE>
<TABLE>
<CAPTION>
BOND MARKET ACCOUNT
----------------------------------------------------------------------
SIX MONTHS FOR THE YEARS ENDED DECEMBER 31,
ENDED -------------------------------------------------------
JUNE 30, 1999 (1) 1998 1997 1996 1995 1994
----------------- ------- ------- ------- ------- -------
(Unaudited)
<S> <C> <C> <C> <C> <C> <C>
Per Accumulation Unit Data:
Investment income...................... $ 1.621 $ 3.156 $ 3.081 $ 3.039 $ 2.863 $ 2.502
Expenses............................... .087 .158 .134 .126 .123 .108
------- ------- ------- ------- ------- -------
Investment income--net................. 1.534 2.998 2.947 2.913 2.740 2.394
Net realized and unrealized gain (loss)
on total investments................. (2.514) 1.150 1.266 (1.600) 3.722 (3.897)
------- ------- ------- ------- ------- -------
Net increase (decrease) in
Accumulation Unit Value.............. (.980) 4.148 4.213 1.313 6.462 (1.503)
Accumulation Unit Value:
Beginning of year.................... 52.363 48.215 44.002 42.689 36.227 37.730
------- ------- ------- ------- ------- -------
End of period........................ $51.383 $52.363 $48.215 $44.002 $42.689 $36.227
======= ======= ======= ======= ======= =======
Total return............................. (1.87%) 8.60% 9.57% 3.08% 17.84% (3.98%)
Ratios to Average Net Assets:
Expenses............................... 0.17% 0.32% 0.29% 0.30% 0.31% 0.29%
Investment income--net................. 2.95% 5.98% 6.44% 6.86% 6.93% 6.54%
Portfolio turnover rate.................. 363.84% 525.32% 398.77% 145.27% 185.11% 161.46%
Thousands of Accumulation Units
outstanding at end of period........... 58,566 57,481 31,654 22,611 19,522 14,939
</TABLE>
(1) The percentages shown for this period are not annualized.
12
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)--(CONTINUED)
NOTE 5--CONDENSED FINANCIAL INFORMATION--(CONTINUED)
<TABLE>
<CAPTION>
SOCIAL CHOICE ACCOUNT
----------------------------------------------------------------------
SIX MONTHS FOR THE YEARS ENDED DECEMBER 31,
ENDED -------------------------------------------------------
JUNE 30, 1999 (1) 1998 1997 1996 1995 1994
----------------- ------- ------- ------- ------- -------
(Unaudited)
<S> <C> <C> <C> <C> <C> <C>
Per Accumulation Unit Data:
Investment income...................... $ 1.418 $ 2.679 $ 2.396 $ 2.068 $ 1.832 $ 1.621
Expenses............................... .151 .249 .193 .158 .144 .125
------- ------- ------- ------- ------- -------
Investment income--net................. 1.267 2.430 2.203 1.910 1.688 1.496
Net realized and unrealized gain (loss)
on total investments................. 4.163 11.159 12.223 5.968 9.863 (2.015)
------- ------- ------- ------- ------- -------
Net increase (decrease) in
Accumulation Unit Value.............. 5.430 13.589 14.426 7.878 11.551 (.519)
Accumulation Unit Value:
Beginning of year.................... 86.605 73.016 58.590 50.712 39.161 39.680
------- ------- ------- ------- ------- -------
End of period........................ $92.035 $86.605 $73.016 $58.590 $50.712 $39.161
======= ======= ======= ======= ======= =======
Total Return............................. 6.27% 18.61% 24.62% 15.53% 29.49% (1.31%)
Ratios to Average Net Assets:
Expenses............................... 0.17% 0.31% 0.30% 0.30% 0.32% 0.32%
Investment income--net................. 1.42% 3.07% 3.37% 3.58% 3.75% 3.80%
Portfolio turnover rate.................. 122.91% 147.90% 91.87% 40.93% 52.65% 49.06%
Thousands of Accumulation Units
outstanding at end of period......... 40,412 37,211 30,554 25,841 22,196 18,302
</TABLE>
<TABLE>
<CAPTION>
GLOBAL EQUITIES ACCOUNT
----------------------------------------------------------------------
SIX MONTHS FOR THE YEARS ENDED DECEMBER 31,
ENDED -------------------------------------------------------
JUNE 30, 1999 (1) 1998 1997 1996 1995 1994
----------------- ------- ------- ------- ------- -------
(Unaudited)
<S> <C> <C> <C> <C> <C> <C>
Per Accumulation Unit Data:
Investment income...................... $ .516 $ .902 $ .848 $ .751 $ .727 $ .687
Expenses............................... .142 .268 .205 .167 .157 .134
------- ------- ------- ------- ------- -------
Investment income--net................. .374 .634 .643 .584 .570 .553
Net realized and unrealized gain (loss)
on total investments................. 5.344 10.508 8.650 7.138 6.618 (.719)
------- ------- ------- ------- ------- -------
Net increase (decrease) in
Accumulation Unit Value.............. 5.718 11.142 9.293 7.722 7.188 (.166)
Accumulation Unit Value:
Beginning of year.................... 71.115 59.973 50.680 42.958 35.770 35.936
------- ------- ------- ------- ------- -------
End of period........................ $76.833 $71.115 $59.973 $50.680 $42.958 $35.770
======= ======= ======= ======= ======= =======
Total return............................. 8.04% 18.58% 18.34% 17.98% 20.09% (0.46%)
Ratios to Average Net Assets:
Expenses............................... 0.19% 0.41% 0.38% 0.37% 0.40% 0.41%
Investment income--net................. 0.51% 0.97% 1.19% 1.28% 1.47% 1.71%
Portfolio turnover rate.................. 45.45% 103.31% 98.70% 88.84% 67.50% 51.63%
Thousands of Accumulation Units
outstanding at end of period........... 83,529 81,825 84,645 80,016 70,163 70,700
(1) The percentages shown for this period are not annualized.
</TABLE>
13
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)--(CONTINUED)
NOTE 5--CONDENSED FINANCIAL INFORMATION--(CONTINUED)
<TABLE>
<CAPTION>
GROWTH ACCOUNT
----------------------------------------------------------------------
April 4, 1994
SIX MONTHS FOR THE YEARS ENDED DECEMBER 31, (date established)
ENDED ------------------------------------------- to December 31,
JUNE 30, 1999 (1) 1998 1997 1996 1995 1994(1)
----------------- ------- ------- ------- ------- -------
(Unaudited)
<S> <C> <C> <C> <C> <C> <C>
Per Accumulation Unit Data:
Investment income...................... $ .281 $ .482 $ .527 $ .484 $ .417 $ .398
Expenses............................... .144 .244 .155 .119 .114 .084
------- ------- ------- ------- ------- -------
Investment income--net................. .137 .238 .372 .365 .303 .314
Net realized and unrealized gain
on total investments................. 8.793 18.475 12.219 8.638 8.891 .802
------- ------- ------- ------- ------- -------
Net increase in
Accumulation Unit Value.............. 8.930 18.713 12.591 9.003 9.194 1.116
Accumulation Unit Value:
Beginning of period.................. 75.617 56.904 44.313 35.310 26.116 25.000
------- ------- ------- ------- ------- -------
End of period........................ $84.547 $75.617 $56.904 $44.313 $35.310 $26.116
======= ======= ======= ======= ======= =======
Total return............................. 11.81% 32.89% 28.41% 25.50% 35.20% 4.46%
Ratios to Average Net Assets:
Expenses............................... 0.18% 0.38% 0.34% 0.35% 0.43% 0.33%
Investment income--net................. 0.18% 0.37% 0.82% 1.07% 1.13% 1.21%
Portfolio turnover rate.................. 52.70% 97.57% 53.27% 38.51% 24.42% 12.29%
Thousands of Accumulation Units
outstanding at end of period........... 117,531 98,862 80,370 53,201 32,375 10,446
</TABLE>
<TABLE>
<CAPTION>
EQUITY INDEX ACCOUNT
----------------------------------------------------------------------
April 4, 1994
SIX MONTHS FOR THE YEARS ENDED DECEMBER 31, (date established)
ENDED ------------------------------------------- to December 31,
JUNE 30, 1999 (1) 1998 1997 1996 1995 1994(1)
----------------- ------- ------- ------- ------- -------
(Unaudited)
<S> <C> <C> <C> <C> <C> <C>
Per Accumulation Unit Data:
Investment income...................... $ .490 $ .953 $ .826 $ .773 $ .755 $ .552
Expenses............................... .117 .190 .141 .106 .100 .072
------- ------- ------- ------- ------- -------
Investment income--net................. .373 .763 .685 .667 .655 .480
Net realized and unrealized gain
on total investments................. 7.469 12.789 12.672 6.936 8.703 .393
------- ------- ------- ------- ------- -------
Net increase in
Accumulation Unit Value.............. 7.842 13.552 13.357 7.603 9.358 .873
Accumulation Unit Value:
Beginning of period.................. 69.743 56.191 42.834 35.231 25.873 25.000
------- ------- ------- ------- ------- -------
End of period........................ $77.585 $69.743 $56.191 $42.834 $35.231 $25.873
======= ======= ======= ======= ======= =======
Total return............................. 11.24% 24.12% 31.18% 21.58% 36.17% 3.49%
Ratios to Average Net Assets:
Expenses............................... 0.16% 0.31% 0.30% 0.30% 0.34% 0.27%
Investment income--net................. 0.51% 1.24% 1.47% 1.87% 2.22% 1.83%
Portfolio turnover rate.................. 0.72% 3.98% 3.50% 7.85% 8.31% 1.33%
Thousands of Accumulation Units
outstanding at end of period........... 54,755 47,997 35,368 20,725 10,911 2,716
</TABLE>
(1) The percentages shown for this period are not annualized.
14
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)--(CONTINUED)
NOTE 5--CONDENSED FINANCIAL INFORMATION--(CONCLUDED)
<TABLE>
<CAPTION>
INFLATION-LINKED BOND ACCOUNT
--------------------------------------------------------------
SIX MONTHS JANUARY 13, 1997
ENDED FOR THE YEAR ENDED (DATE ESTABLISHED) TO
JUNE 30, 1999(1) DECEMBER 31, 1998 DECEMBER 31, 1997(1)
---------------- ------------------- ---------------------
<S> <C> <C> <C>
Per Accumulation Unit Data:
Investment income...................................... $ .864 $ 1.256 $ 1.031
Expenses............................................... .048 .086 .067
------- ------- -------
Investment income--net................................. .816 1.170 .964
Net realized and unrealized gain (loss)
on total investments (.347) (.260) .154
------- ------- -------
Net increase in
Accumulation Unit Value.............................. .469 .910 1.118
Accumulation Unit Value:
Beginning of period.................................. 27.028 26.118 25.000
------- ------- -------
End of period........................................ $27.497 $27.028 $26.118
======= ======= =======
Total return............................................. 1.74% 3.48% 4.47%
Ratios to Average Net Assets:
Expenses............................................... 0.18% 0.33% 0.25%
Investment income--net................................. 3.00% 4.50% 3.60%
Portfolio turnover rate.................................. 28.19% 40.98% 63.56%
Thousands of Accumulation Units outstanding
at end of period ...................................... 4,959 5,112 3,626
</TABLE>
(1) The percentages shown for this period are not annualized.
15
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)--(CONCLUDED)
NOTE 6--ACCUMULATION UNITS
Changes in the number of Accumulation Units outstanding were as follows:
<TABLE>
<CAPTION>
MONEY MARKET ACCOUNT BOND MARKET ACCOUNT SOCIAL CHOICE ACCOUNT
--------------------------- --------------------------- ---------------------------
SIX MONTHS YEAR ENDED SIX MONTHS YEAR ENDED SIX MONTHS YEAR ENDED
ENDED DECEMBER 31, ENDED DECEMBER 31, ENDED DECEMBER 31,
JUNE 30, 1999 1998 JUNE 30, 1999 1998 JUNE 30, 1999 1998
----------- ----------- ----------- ----------- ----------- -----------
(Unaudited) (Unaudited) (Unaudited)
<S> <C> <C> <C> <C> <C> <C>
Accumulation Units:
Credited for premiums....... 14,104,400 20,309,464 2,526,787 3,510,276 2,483,014 3,943,919
Credited (cancelled) for
transfers, disbursements and
amounts applied to the
Annuity Fund.............. 2,608,359 58,933,328 (1,441,050) 22,316,290 717,745 2,713,496
Outstanding:
Beginning of year........... 312,358,316 233,115,524 57,480,620 31,654,054 37,211,305 30,553,890
----------- ----------- ----------- ----------- ----------- -----------
End of period............... 329,071,075 312,358,316 58,566,357 57,480,620 40,412,064 37,211,305
=========== =========== =========== =========== =========== ==========
GLOBAL EQUITIES ACCOUNT GROWTH ACCOUNT EQUITY INDEX ACCOUNT
--------------------------- --------------------------- ---------------------------
SIX MONTHS YEAR ENDED SIX MONTHS YEAR ENDED SIX MONTHS YEAR ENDED
ENDED DECEMBER 31, ENDED DECEMBER 31, ENDED DECEMBER 31,
JUNE 30, 1999 1998 JUNE 30, 1999 1998 JUNE 30, 1999 1998
----------- ----------- ----------- ----------- ----------- -----------
(Unaudited) (Unaudited) (Unaudited)
Accumulation Units:
Credited for premiums....... 3,948,109 7,906,965 7,346,121 11,782,117 3,667,742 5,725,242
Credited (cancelled) for
transfers, disbursements and
amounts applied to the
Annuity Fund.............. (2,244,392) (10,726,495) 11,322,294 6,710,301 3,090,031 6,903,285
Outstanding:
Beginning of year........... 81,825,334 84,644,864 98,862,241 80,369,823 47,996,880 35,368,353
----------- ----------- ----------- ----------- ----------- -----------
End of period............... 83,529,051 81,825,334 117,530,656 98,862,241 54,754,653 47,996,880
=========== =========== =========== =========== =========== ==========
INFLATION-LINKED BOND ACCOUNT
---------------------------
SIX MONTHS YEAR ENDED
ENDED DECEMBER 31,
JUNE 30, 1999 1998
----------- -----------
(Unaudited)
Accumulation Units:
Credited for premiums....... 286,296 246,599
Credited (cancelled) for
transfers, disbursements and
amounts applied to the
Annuity Fund.............. (439,121) 1,239,193
Outstanding:
Beginning of year........... 5,111,827 3,626,035
---------- ----------
End of period............... 4,959,002 5,111,827
========== ==========
</TABLE>
NOTE 7--LINE OF CREDIT
The Stock, Social Choice, Global Equities, Growth, Equity Index and
Inflation-Linked Bond Accounts share in a $2 billion unsecured revolving credit
facility for temporary or emergency purposes, including, without limitation, the
funding of participant redemptions that otherwise might require the untimely
disposition of securities. An annual commitment fee is charged for this
facility, which is allocated among the participating Accounts. Interest
associated with any borrowing under the credit facility will be charged to the
borrowing Accounts at rates which are based on the Federal Funds Rate in effect
during the time of the borrowing. For the six months ended June 30, 1999, there
were no borrowings under the credit facility.
16
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENT OF INVESTMENTS--MONEY MARKET ACCOUNT (UNAUDITED)
JUNE 30, 1999
SUMMARY BY INDUSTRY
(000)
VALUE %
------ -------
SHORT TERM INVESTMENTS
BANK NOTES ............................ $ 153,513 2.41%
CERTIFICATES OF DEPOSIT ............... 317,508 4.98
COMMERCIAL PAPER ...................... 4,728,270 74.17
MEDIUM TERM BONDS ..................... 205,925 3.23
U.S. GOVERNMENT & AGENCIES ............ 392,324 6.15
VARIABLE RATE NOTES ................... 571,397 8.96
---------- ------
TOTAL SHORT TERM INVESTMENTS
(COST $6,372,484) ...................... 6,368,937 99.90
---------- ------
TOTAL PORTFOLIO
(COST $6,372,484) ...................... 6,368,937 99.90
OTHER ASSETS & LIABILITIES, NET ...... 6,576 0.10
---------- ------
NET ASSETS .............................. $6,375,513 100.00%
========== =======
=======================================================
VALUE
PRINCIPAL (000)
----------- ------
SHORT TERM INVESTMENTS--99.90%
BANK NOTES--2.41%
FCC NATIONAL BANK
$25,400,000 4.940%, 08/24/99 .............. $ 25,387
20,000,000 5.000%, 11/19/99 ............ 19,959
25,000,000 5.240%, 03/02/00 ............ 24,906
FIRST NATIONAL BANK OF CHICAGO
25,000,000 5.180%, 03/15/00 ............ 24,893
KEY BANK
20,000,000 5.650%, 06/26/00 ............ 19,987
NATIONSBANK NA
15,000,000 4.930%, 07/06/99 ............ 15,000
SOUTHTRUST BANK NA
23,500,000 5.160%, 03/27/00 ............ 23,381
--------------
153,513
--------------
CERTIFICATES OF DEPOSIT--4.98%
CANADIAN IMPERIAL BANK OF COMMERCE
20,000,000 5.000%, 01/27/00 ............ 19,907
CHASE MANHATTAN BANK
20,000,000 5.685%, 08/03/99 ............ 20,009
COMMERZBANK AG.
25,000,000 5.090%, 04/12/00 ............ 24,852
DEUTSCHE BANK
8,000,000 4.920%, 08/19/99 ............ 7,998
15,000,000 5.710%, 07/06/00 ............ 14,994
DRESDNER BANK
20,000,000 4.950%, 08/10/99 ............ 19,999
25,000,000 4.900%, 09/07/99 ............ 24,980
FLEET NATIONAL BANK
25,000,000 4.940%, 07/21/99 ............ 24,999
20,000,000 4.880%, 08/11/99 ............ 19,994
MORGAN GUARANTY TRUST CO
5,000,000 4.900%, 10/15/99 ............ 4,991
NATIONAL WESTMINSTER BANK N.Y.
25,000,000 5.175%, 03/15/00 ............ 24,891
RABOBANK
10,000,000 5.290%, 05/19/00 ............ 9,953
TORONTO DOMINION BANK
20,000,000 5.650%, 07/09/99 ............. 20,003
10,000,000 5.270%, 03/02/00 ............ 9,964
WACHOVIA BANK, NATIONAL ASSOCIATION
20,000,000 5.000%, 09/01/99 ............ 19,988
WESTDEUTSCHE LANDESBANK
50,000,000 4.950%, 08/16/99 ............ 49,986
--------------
317,508
--------------
COMMERCIAL PAPER--74.17%
ABN AMRO NORTH AMERICA FINANCE, INC
20,000,000 4.935%, 09/02/99 ............ 19,814
10,000,000 4.960%, 09/02/99 ............ 9,907
20,000,000 4.860%, 12/01/99 ............ 19,541
AIR PRODUCTS & CHEMICALS, INC
25,000,000 4.810%, 07/30/99 ............ 24,899
22,000,000 4.790%, 08/02/99 ............ 21,903
10,500,000 4.940%, 08/18/99 ............ 10,428
5,060,000 4.780%, 10/25/99 ............ 4,973
AMERICAN EXPRESS CREDIT CORP
30,000,000 4.800%, 07/07/99 ............ 29,975
25,000,000 4.780%, 09/07/99 ............ 24,749
AMERICAN HOME PRODUCTS
20,000,000 ~ 4.840%, 07/20/99 ............ 19,948
25,000,000 ~ 4.800%, 07/29/99 ............ 24,903
26,272,000 ~ 4.800%, 08/06/99 ............ 26,140
4,000,000 ~ 4.880%, 09/03/99 ............ 3,962
AMERICAN TELEPHONE & TELEGRAPH CO
50,000,000 4.800%, 07/26/99 ............ 49,828
40,000,000 4.810%, 07/27/99 ............ 39,855
6,000,000 4.830%, 08/06/99 ............ 5,970
30,000,000 4.830%, 08/09/99 ............ 29,837
ASSET SECURITIZATION COOP CORP
50,000,000 ~ 4.860%, 07/19/99 ............ 49,879
25,000,000 ~ 4.920%, 07/28/99 ............ 24,908
19,000,000 ~ 4.900%, 07/29/99 ............ 18,928
25,000,000 ~ 5.060%, 08/10/99 ............ 24,862
3,140,000 ~ 5.170%, 08/30/99 3,112
ASSOCIATES CORP OF NORTH AMERICA
20,000,000 4.900%, 07/06/99 ............ 19,986
10,000,000 4.920%, 08/09/99 ............ 9,946
BANC ONE CORP
50,000,000 4.850%, 07/01/99 ............ 50,000
BEAR STEARNS CO, INC
25,000,000 ~ 4.865%, 07/16/99 ............ 24,949
20,000,000 ~ 4.830%, 07/26/99 ............ 19,931
BELLSOUTH CAPITAL FUNDING CORP
30,000,000 ~ 4.860%, 07/07/99 ............ 29,976
10,465,000 ~ 5.000%, 08/02/99 ............ 10,418
20,000,000 ~ 5.080%, 08/06/99 ............ 19,898
BELLSOUTH TELECOMMUNICATIONS, INC
20,000,000 5.250%, 07/02/99 ............ 19,997
15,000,000 4.900%, 08/11/99 ............ 14,916
BETA FINANCE, INC
5,000,000 ~ 4.860%, 07/15/99 ............ 4,991
1,000,000 ~ 4.870%, 07/29/99 ............ 996
10,000,000 ~ 4.820%, 08/09/99 ............ 9,946
See notes to financial statements.
17
<PAGE>
MONEY MARKET ACCOUNT (CONTINUED)
VALUE
PRINCIPAL (000)
----------- ------
COMMERCIAL PAPER (CONTINUED)
$ 550,000 ~ 4.870%, 08/16/99 ............ $ 546
9,000,000 ~ 4.920%, 09/02/99 ............ 8,916
14,146,000 ~ 4.870%, 09/08/99 ............ 14,002
4,704,000 ~ 4.870%, 09/13/99 ............ 4,653
13,500,000 ~ 4.860%, 09/20/99 ............ 13,338
10,000,000 ~ 4.830%, 10/22/99 ............ 9,832
CAMPBELL SOUP CO
22,600,000 4.720%, 07/23/99 ............ 22,532
25,000,000 4.810%, 12/10/99 ............ 24,392
15,000,000 4.840%, 01/31/00 ............ 14,512
CARGILL GLOBAL FUNDING PLC
25,000,000 ~ 4.820%, 07/08/99 ............ 24,976
CAROLINA POWER & LIGHT CO
9,477,000 4.790%, 07/09/99 ............ 9,467
15,000,000 5.220%, 11/22/99 ............ 14,679
CATERPILLAR FINANCIAL SERVICES CORP
16,000,000 4.810%, 07/09/99 ............ 15,983
16,500,000 4.980%, 10/04/99 ............ 16,266
CIESCO LP
5,000,000 ~ 4.800%, 07/01/99 ............ 5,000
15,000,000 ~ 4.800%, 07/07/99 ............ 14,988
15,000,000 4.830%, 07/12/99 ............ 14,978
9,300,000 4.830%, 07/20/99 ............ 9,276
23,000,000 4.890%, 07/21/99 ............ 22,938
20,000,000 4.900%, 08/02/99 ............ 19,913
50,000,000 5.100%, 08/20/99 ............ 49,646
CIGNA CORP
30,000,000 4.970%, 07/16/99 ............ 29,938
CIT GROUP HOLDINGS, INC
25,000,000 4.850%, 07/14/99 ............ 24,956
CITIGROUP, INC
30,000,000 4.960%, 07/16/99 ............ 29,938
COCA COLA ENTERPRISES, INC
15,000,000 ~ 4.920%, 07/09/99 ............ 14,984
15,000,000 ~ 4.840%, 07/12/99 ............ 14,977
20,000,000 ~ 4.890%, 07/20/99 ............ 19,947
10,000,000 ~ 5.050%, 08/05/99 ............ 9,951
COMMERCIAL CREDIT CO
25,000,000 4.850%, 07/07/99 ............ 24,980
10,000,000 4.890%, 07/16/99 ............ 9,980
10,000,000 4.900%, 07/23/99 ............ 9,970
CORPORATE ASSET FUNDING CORP, INC
50,000,000 ~ 4.810%, 07/12/99 ............ 49,925
10,000,000 ~ 4.810%, 07/16/99 ............ 9,980
20,000,000 ~ 4.890%, 07/28/99 ............ 19,927
30,000,000 ~ 4.950%, 08/12/99 ............ 29,822
40,000,000 ~ 5.070%, 08/24/99 ............ 39,689
DAIMLERCHRYSLER NORTH AMERICA HOLDINGS
10,000,000 4.850%, 07/30/99 ............ 9,960
21,075,000 4.840%, 08/02/99 ............ 20,982
25,000,000 4.940%, 09/14/99 ............ 24,722
5,500,000 5.070%, 09/14/99 ............ 5,439
10,000,000 4.810%, 10/14/99 ............ 9,843
DELAWARE FUNDING CORP
6,265,000 ~ 5.300%, 07/08/99 ............ 6,259
7,168,000 ~ 4.870%, 07/15/99 ............ 7,154
10,000,000 ~ 5.000%, 07/15/99 ............ 9,981
3,244,000 ~ 4.850%, 07/16/99 ............ 3,237
15,000,000 ~ 4.810%, 07/20/99 ............ 14,961
21,491,000 ~ 5.050%, 07/29/99 ............ 21,407
25,000,000 ~ 4.920%, 08/05/99 ............ 24,880
25,000,000 ~ 4.870%, 08/10/99 ............ 24,860
15,000,000 ~ 5.020%, 08/17/99 ............ 14,900
14,364,000 ~ 5.050%, 09/09/99 ............ 14,216
DEUTSCHE BANK FINANCIAL, INC
$53,375,000 4.810%, 07/21/99 ............ $53,228
10,000,000 4.805%, 08/10/99 ............ 9,944
DUPONT (E.I.) DE NEMOURS & CO
15,000,000 4.820%, 10/28/99 ............ 14,734
21,450,000 4.795%, 11/10/99 ............ 21,028
25,000,000 4.815%, 11/23/99 ............ 24,461
EASTMAN KODAK CO
8,650,000 4.800%, 07/13/99 ............ 8,636
14,000,000 4.790%, 07/16/99 ............ 13,971
19,450,000 4.800%, 07/22/99 ............ 19,394
20,000,000 4.790%, 08/03/99 ............ 19,908
10,000,000 4.800%, 08/09/99 ............ 9,946
23,000,000 4.790%, 08/13/99 ............ 22,860
20,000,000 4.800%, 08/19/99 ............ 19,860
15,000,000 4.890%, 09/23/99 ............ 14,813
6,000,000 4.950%, 10/05/99 ............ 5,914
ENTERPRISE FUNDING CORP
25,000,000 ~ 4.840%, 07/15/99 ............ 24,952
13,000,000 ~ 4.940%, 08/12/99 ............ 12,923
15,000,000 ~ 5.000%, 08/19/99 ............ 14,895
7,000,000 ~ 4.875%, 08/26/99 ............ 6,943
EQUILON ENTERPRISES LLC
25,000,000 4.810%, 07/06/99 ............ 24,983
20,000,000 4.840%, 07/13/99 ............ 19,968
20,000,000 4.850%, 07/13/99 ............ 19,968
5,100,000 4.860%, 07/13/99 ............ 5,092
10,000,000 4.900%, 07/22/99 ............ 9,971
20,000,000 4.860%, 08/03/99 ............ 19,908
15,000,000 5.100%, 08/04/99 ............ 14,928
13,800,000 4.970%, 08/23/99 ............ 13,695
FORD MOTOR CREDIT CO
50,000,000 4.800%, 07/08/99 ............ 49,952
20,000,000 4.810%, 07/08/99 ............ 19,981
20,000,000 4.790%, 07/09/99 ............ 19,978
10,000,000 4.830%, 07/12/99 ............ 9,985
11,700,000 4.900%, 07/20/99 ............ 11,670
4,100,000 4.820%, 07/26/99 ............ 4,086
15,000,000 5.030%, 09/03/99 ............ 14,858
FORTUNE BRANDS, INC
9,000,000 ~ 4.800%, 07/08/99 ............ 8,991
30,000,000 ~ 4.880%, 07/08/99 ............ 29,972
10,000,000 ~ 4.900%, 08/04/99 ............ 9,954
15,000,000 ~ 4.790%, 08/09/99 ............ 14,918
12,000,000 ~ 4.790%, 08/12/99 ............ 11,929
10,000,000 ~ 4.840%, 08/26/99 ............ 9,918
16,581,000 ~ 4.850%, 08/26/99 ............ 16,445
14,000,000 ~ 4.850%, 08/30/99 ............ 13,876
GENERAL ELECTRIC CAPITAL CORP
25,000,000 4.830%, 07/13/99 ............ 24,959
7,025,000 4.800%, 08/26/99 ............ 6,967
18,000,000 4.810%, 09/08/99 ............ 17,816
20,000,000 4.800%, 10/06/99 ............ 19,710
GENERAL MILLS
9,525,000 4.970%, 11/29/99 ............ 9,309
8,500,000 4.970%, 12/02/99 ............ 8,303
GENERAL MOTORS ACCEPTANCE CORP
25,000,000 4.810%, 07/14/99 ............ 24,956
13,000,000 4.840%, 07/29/99 ............ 12,950
50,000,000 4.910%, 07/30/99 ............ 49,802
30,000,000 4.860%, 08/06/99 ............ 29,850
10,000,000 4.880%, 08/18/99 ............ 9,932
GEORGIA POWER CO
16,300,000 5.000%, 07/21/99 ............ 16,255
See notes to financial statements.
18
<PAGE>
MONEY MARKET ACCOUNT (CONTINUED)
VALUE
PRINCIPAL (000)
----------- ------
COMMERCIAL PAPER (CONTINUED)
GOLDMAN SACHS GROUP LP
$30,000,000 4.880%, 07/01/99 ............. $30,000
25,950,000 5.050%, 09/21/99 ............ 25,635
20,000,000 5.080%, 09/22/99 ............ 19,754
GTE FUNDING, INC
11,596,000 5.030%, 07/16/99 ............ 11,572
28,300,000 5.100%, 07/19/99 ............ 28,228
HEINZ (H.J.) CO
12,500,000 4.800%, 07/15/99 ............ 12,476
HERSHEY FOODS CORP
44,300,000 5.050%, 09/03/99 ............ 43,881
J.P. MORGAN & CO
10,000,000 5.020%, 08/31/99 ............ 9,910
4,225,000 4.830%, 11/08/99 ............ 4,143
10,000,000 4.820%, 12/10/99 ............ 9,757
JOHNSON & JOHNSON CO
32,500,000 ~ 4.840%, 07/15/99 ............ 32,438
25,425,000 ~ 5.030%, 11/01/99 ............ 24,959
KEYCORP
25,000,000 4.940%, 08/03/99 ............ 24,885
KIMBERLY-CLARK WORLDWIDE, INC
19,725,000 ~ 5.000%, 07/26/99 ............ 19,657
LUCENT TECHNOLOGIES, INC
9,517,000 5.000%, 07/30/99 ............ 9,479
MCCORMICK & CO, INC
10,000,000 4.780%, 08/24/99 ............ 9,922
575,000 4.850%, 09/07/99 ............ 569
6,425,000 4.890%, 10/22/99 ............ 6,317
MCGRAW-HILL COS, INC
36,150,000 4.830%, 07/06/99 ............ 36,125
8,800,000 4.820%, 07/27/99 ............ 8,768
12,960,000 4.790%, 08/10/99 ............ 12,887
9,700,000 4.850%, 08/11/99 ............ 9,644
483,000 4.850%, 08/18/99 ............ 480
15,000,000 5.150%, 08/25/99 ............ 14,882
19,000,000 5.040%, 09/16/99 ............ 18,783
8,373,000 5.050%, 09/27/99 ............ 8,264
15,000,000 5.170%, 09/28/99 ............ 14,802
MERRILL LYNCH & CO, INC
20,000,000 5.020%, 07/20/99 ............ 19,947
MOTIVA ENTERPRISES LLC
10,000,000 4.850%, 07/16/99 ............ 9,980
20,000,000 4.800%, 07/19/99 ............ 19,950
15,000,000 4.860%, 07/23/99 ............ 14,955
20,000,000 4.890%, 07/23/99 ............ 19,940
25,000,000 4.890%, 08/05/99 ............ 24,878
10,000,000 5.020%, 08/11/99 ............ 9,943
15,000,000 5.010%, 08/13/99 ............ 14,910
14,000,000 5.030%, 08/23/99 ............ 13,894
MOTOROLA CREDIT CORP
5,000,000 4.810%, 07/02/99 ............ 4,999
23,750,000 4.830%, 07/02/99 ............ 23,747
30,000,000 4.800%, 07/23/99 ............ 29,909
MOTOROLA, INC
30,000,000 4.800%, 07/29/99 ............ 29,883
NATIONAL FUEL GAS CO
10,600,000 5.850%, 07/01/99 ............ 10,600
5,000,000 5.000%, 07/20/99 ............ 4,987
10,000,000 5.200%, 07/22/99 ............ 9,970
5,200,000 5.220%, 08/04/99 ............ 5,174
5,000,000 5.020%, 08/10/99 ............ 4,971
15,000,000 5.100%, 08/16/99 ............ 14,900
NATIONAL RURAL UTILITIES COOP FINANCE
20,000,000 4.790%, 07/09/99 ............ 19,978
15,000,000 4.830%, 07/21/99 ............ 14,959
31,000,000 4.835%, 07/22/99 ............ 30,911
10,000,000 4.820%, 07/23/99 ............ 9,970
6,500,000 4.810%, 07/27/99 ............ 6,477
30,000,000 4.790%, 08/04/99 ............ 29,858
22,800,000 4.800%, 08/12/99 ............ 22,665
15,000,000 4.850%, 08/20/99 ............ 14,893
NEWELL RUBBERMAID, INC
23,700,000 ~ 4.870%, 07/14/99 ............ 23,658
20,000,000 ~ 5.000%, 07/22/99 ............ 19,942
NORTHERN INDIANA PUBLIC SERVICE CO
25,000,000 5.000%, 07/23/99 ............ 24,924
NORTHERN STATES POWER CO
29,500,000 4.850%, 08/16/99 ............ 29,308
PACCAR FINANCIAL CORP
7,500,000 4.870%, 07/07/99 ............ 7,494
13,000,000 5.000%, 07/09/99 ............ 12,986
6,900,000 5.000%, 07/20/99 ............ 6,882
24,700,000 4.790%, 07/22/99 ............ 24,629
3,000,000 4.800%, 08/11/99 ............ 2,983
15,000,000 4.900%, 08/11/99 ............ 14,913
19,000,000 5.115%, 09/22/99 ............ 18,766
21,000,000 5.115%, 09/24/99 ............ 20,736
10,000,000 4.700%, 10/08/99 ............ 9,852
PACIFICORP
25,000,000 4.800%, 07/07/99 ............ 24,979
25,000,000 4.890%, 07/15/99 ............ 24,952
PARK AVENUE RECEIVABLES CORP
5,000,000 ~ 4.870%, 07/06/99 ............ 4,997
43,000,000 ~ 4.960%, 07/12/99 ............ 42,935
13,000,000 ~ 4.930%, 07/19/99 ............ 12,968
20,272,000 ~ 5.125%, 07/23/99 ............ 20,209
10,184,000 ~ 5.050%, 07/26/99 ............ 10,148
30,000,000 ~ 4.820%, 07/27/99 ............ 29,892
16,500,000 ~ 5.070%, 08/13/99 ............ 16,400
12,000,000 ~ 5.300%, 09/02/99 ............ 11,888
PFIZER, INC
37,900,000 ~ 4.850%, 07/06/99 ............ 37,874
21,700,000 ~ 4.950%, 07/12/99 ............ 21,667
50,000,000 ~ 4.960%, 07/28/99 ............ 49,814
PORTLAND GENERAL ELECTRIC CO
10,000,000 4.910%, 07/09/99 ............ 9,989
10,200,000 4.800%, 07/13/99 ............ 10,183
10,000,000 4.900%, 07/16/99 ............ 9,980
5,000,000 4.900%, 07/20/99 ............ 4,987
10,000,000 4.900%, 07/27/99 ............ 9,965
5,900,000 5.280%, 08/06/99 ............ 5,869
PROCTOR & GAMBLE CO
9,000,000 5.000%, 08/09/99 ............ 8,951
RECEIVABLES CAPITAL CORP
18,088,000 ~ 4.860%, 07/06/99 ............ 18,076
30,000,000 ~ 4.820%, 07/07/99 ............ 29,975
20,000,000 ~ 4.820%, 07/08/99 ............ 19,981
2,993,000 ~ 4.870%, 07/14/99 ............ 2,988
25,101,000 ~ 4.963%, 08/04/99 ............ 24,983
22,000,000 ~ 5.080%, 08/18/99 ............ 21,850
7,000,000 ~ 5.070%, 08/23/99 ............ 6,947
25,000,000 ~ 4.960%, 09/03/99 ............ 24,763
SAINT PAUL COS, INC
20,000,000 ~ 4.870%, 07/02/99 ............ 19,997
20,000,000 ~ 4.930%, 07/12/99 ............ 19,970
20,000,000 ~ 4.870%, 07/14/99 ............ 19,965
11,825,000 ~ 5.000%, 07/29/99 ............ 11,779
SALOMON SMITH BARNEY HOLDINGS, INC
25,000,000 4.890%, 08/02/99 ............ 24,889
SC JOHNSON & SON, INC
9,400,000 ~ 5.000%, 07/07/99 ............ 9,392
8,000,000 ~ 4.810%, 07/12/99 ............ 7,988
See notes to financial statements.
19
<PAGE>
MONEY MARKET ACCOUNT (CONTINUED)
VALUE
PRINCIPAL (000)
----------- ------
COMMERCIAL PAPER (CONTINUED)
$ 8,000,000 ~ 4.860%, 07/13/99 ............ $ 7,987
8,000,000 ~ 4.850%, 07/19/99 ............ 7,980
6,300,000 ~ 4.860%, 07/19/99 ............ 6,285
15,000,000 ~ 5.070%, 07/27/99 ............ 14,945
10,000,000 ~ 5.100%, 08/03/99 ............ 9,953
10,000,000 ~ 5.100%, 08/10/99 ............ 9,943
3,350,000 ~ 5.120%, 08/17/99 ............ 3,328
15,000,000 ~ 5.090%, 08/23/99 ............ 14,886
SCHERING CORP
21,700,000 4.820%, 07/28/99 ............ 21,619
1,500,000 4.880%, 08/10/99 ............ 1,492
17,000,000 5.180%, 10/05/99 ............ 16,756
SEARS ROEBUCK ACCEPTANCE CORP
40,000,000 4.900%, 07/26/99 ............ 39,864
SWEDISH EXPORT CREDIT CORP
20,000,000 4.800%, 09/16/99 ............ 19,772
THE STANLEY WORKS
12,000,000 ~ 4.800%, 07/13/99 ............ 11,980
3,500,000 ~ 4.800%, 07/19/99 ............ 3,491
12,500,000 ~ 4.800%, 08/05/99 ............ 12,439
TORONTO DOMINION HOLDINGS (U.S.)
20,000,000 4.900%, 11/22/99 ............ 19,571
25,000,000 4.850%, 11/30/99 ............ 24,429
25,000,000 5.060%, 12/06/99 ............ 24,407
UBS FINANCE, INC (DELAWARE)
10,000,000 4.800%, 07/08/99 ............ 9,990
10,000,000 4.900%, 10/12/99 ............ 9,846
WALT DISNEY CO
16,000,000 4.830%, 09/24/99 ............ 15,799
8,000,000 4.780%, 10/27/99 ............ 7,859
15,326,000 4.790%, 11/09/99 ............ 15,027
20,000,000 4.870%, 11/17/99 ............ 19,586
22,850,000 4.795%, 11/19/99 ............ 22,371
11,100,000 4.800%, 11/19/99 ............ 10,867
WARNER-LAMBERT CO
40,000,000 ~ 4.830%, 08/17/99 ............ 39,732
XEROX CAPITAL PLC (EUROPE)
40,375,000 5.000%, 07/27/99 ............ 40,224
------------
4,728,270
------------
MEDIUM TERM BONDS--3.23%
ABBEY NATIONAL TREASURY SERVICES
20,000,000 5.050%, 04/17/00 ............ 19,884
AIR PRODUCTS & CHEMICALS, INC
8,000,000 6.010%, 12/15/99 ............ 8,015
BETA FINANCE, INC
10,000,000 5.130%, 01/11/00 ............ 9,965
10,000,000 5.400%, 06/01/00 ............ 9,975
CHASE MANHATTAN CORP
8,000,000 7.580%, 07/23/99 ............ 8,011
CHRYSLER FINANCIAL CORP
6,000,000 6.375%, 01/28/00 ............ 6,021
CIT GROUP HOLDINGS, INC
5,000,000 6.250%, 09/30/99 ............ 5,008
3,105,000 5.875%, 12/09/99 ............ 3,107
4,850,000 6.800%, 04/17/00 ............ 4,884
DUPONT (E.I.) DE NEMOURS CO
10,000,000 5.079%, 04/03/00 ............ 9,953
FLORIDA POWER & LIGHT CO
4,850,000 5.375%, 04/01/00 ............ 4,831
FLORIDA POWER CORP
10,000,000 6.500%, 12/01/99 ............ 10,049
FORD MOTOR CREDIT CO
15,941,000 6.375%, 09/15/99 ............ 15,967
GENERAL MOTORS ACCEPTANCE CORP
5,500,000 6.700%, 04/17/00 ............ 5,535
JOHN DEERE CAPITAL CORP
22,372,000 6.500%, 09/20/99 ............ 22,410
PACCAR FINANCIAL CORP
5,000,000 6.290%, 09/15/99 ............ 5,007
15,000,000 5.540%, 06/15/00 ............ 14,955
PACIFICORP
5,000,000 7.110%, 01/20/00 ............ 5,020
PITNEY BOWES CREDIT CORP
2,500,000 6.540%, 07/15/99 ............ 2,501
XEROX CREDIT CORP
25,000,000 5.113%, 03/21/00 ............ 24,858
10,000,000 5.320%, 03/31/00 ............ 9,969
------------
205,925
------------
U.S. GOVERNMENT & AGENCIES--6.15%
FEDERAL FARM CREDIT BANK
50,000,000 4.875%, 09/01/99 ............ 49,972
4,700,000 4.700%, 11/08/99 ............ 4,611
4,050,000 4.573%, 12/15/99 ............ 3,952
7,400,000 4.610%, 12/15/99 ............ 7,221
200,000 4.700%, 01/28/00 ............ 194
FEDERAL HOME LOAN BANK
10,518,000 4.750%, 09/29/99 ............ 10,380
23,000,000 4.770%, 02/08/00 ............ 22,261
10,000,000 5.125%, 03/16/00 ............ 9,969
995,000 4.800%, 04/28/00 ............ 951
FEDERAL HOME LOAN MORTGAGE CORP
4,740,000 4.770%, 08/27/99 ............ 4,702
1,150,000 4.750%, 09/09/99 ............ 1,139
15,150,000 4.780%, 09/09/99 ............ 15,000
14,850,000 4.900%, 09/10/99 ............ 14,701
7,250,000 4.746%, 09/24/99 ............ 7,163
20,000,000 5.110%, 01/21/00 ............ 19,410
FEDERAL NATIONAL MORTGAGE ASSOCIATION
16,975,000 4.870%, 09/01/99 ............ 16,826
25,000,000 4.810%, 09/07/99 ............ 24,759
4,715,000 4.680%, 10/01/99 ............ 4,652
39,000,000 4.735%, 10/08/99 ............ 38,439
15,600,000 4.910%, 11/19/99 ............ 15,281
50,000,000 4.730%, 12/15/99 ............ 48,791
35,000,000 4.680%, 12/27/99 ............ 34,094
38,000,000 5.050%, 05/12/00 ............ 37,856
------------
392,324
------------
VARIABLE RATE NOTES--8.96%
ABBEY NATIONAL TREASURY SERVICES
25,000,000 4.790%, 07/20/99 ............ 24,999
AIR PRODUCTS & CHEMICALS, INC
23,500,000 5.101%, 10/25/99 ............ 23,500
AMERICAN EXPRESS CENTURION BANK
15,000,000 4.950%, 02/14/00 ............ 14,997
20,000,000 4.960%, 04/17/00 ............ 19,992
20,000,000 4.950%, 05/19/00 ............ 19,994
19,000,000 4.960%, 06/01/00 ............ 18,992
ASSET SECURITIZATION COOP CORP
15,000,000 5.095%, 03/10/00 ............ 14,997
BANK OF MONTREAL
9,000,000 4.960%, 07/22/99 ............ 8,999
25,000,000 5.960%, 07/22/99 ............ 24,998
BETA FINANCE, INC
20,000,000 5.120%, 04/17/00 ............ 19,994
25,000,000 4.960%, 05/25/00 ............ 24,995
CHASE MANHATTAN CORP
10,000,000 4.960%, 01/20/00 ............ 9,998
COLGATE-PALMOLIVE CO
20,000,000 4.888%, 08/25/99 ............ 19,996
See notes to financial statements.
20
<PAGE>
MONEY MARKET ACCOUNT (CONTINUED)
VALUE
PRINCIPAL (000)
----------- ------
VARIABLE RATE NOTES--(CONTINUED)
FIRST UNION NATIONAL BANK NC
$25,000,000 5.150%, 08/20/99 ............ $ 24,996
25,000,000 5.150%, 09/24/99 ............ 24,995
FLEET NATIONAL BANK
21,000,000 5.070%, 04/17/00 ............ 20,996
GENERAL MOTORS ACCEPTANCE CORP
14,000,000 4.913%, 03/02/00 ............ 13,997
HOUSEHOLD FINANCE CORP
25,000,000 5.177%, 07/19/99 ............ 25,000
INTERNATIONAL BUSINESS MACHINES CORP
25,000,000 4.950%, 10/19/99 ............ 24,998
20,000,000 4.965%, 10/21/99 ............ 19,998
J.P. MORGAN & CO
10,000,000 4.842%, 07/07/99 ............ 10,000
PEPSICO, INC
25,000,000 4.837%, 08/19/99 ............ 24,996
PNC BANK NA
20,000,000 5.015%, 07/27/99 ............ 19,999
5,000,000 4.963%, 10/13/99 ............ 5,000
ROYAL BANK OF CANADA
25,000,000 4.795%, 07/06/99 ............ 25,000
25,000,000 4.790%, 09/10/99 ............ 24,993
SOUTHTRUST
10,000,000 4.890%, 05/17/00 ............ 9,990
STUDENT LOAN MARKETING ASSOCIATION
25,000,000 4.910%, 10/20/99 ............ 24,993
U.S. BANCORP
25,000,000 4.885%, 09/13/99 ............ 24,995
-----------
571,397
-----------
TOTAL SHORT TERM INVESTMENTS
(Cost $6,372,484) .............. 6,368,937
-----------
TOTAL PORTFOLIO
(Cost $6,372,484) .............. $6,368,937
===========
- -----------------
~ Commerical Paper issued under the Private Placement exemption under Section
4(2) of the Securities Act of 1933, as amended.
See notes to financial statements.
21
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENT OF INVESTMENTS--BOND MARKET ACCOUNT (Unaudited)
JUNE 30, 1999
SUMMARY BY INDUSTRY
(000)
VALUE %
--------- -------
BONDS
CORPORATE BONDS
ASSET BACKED ............................. $144,444 4.72%
BUSINESS SERVICES ........................ 9,859 0.32
CHEMICALS AND ALLIED PRODUCTS ............ 14,440 0.47
COMMUNICATIONS ........................... 123,105 4.02
DEPOSITORY INSTITUTIONS .................. 62,998 2.06
ELECTRIC, GAS, AND SANITARY SERVICES ..... 136,027 4.44
ELECTRONIC AND OTHER ELECTRIC EQUIPMENT .. 8,890 0.29
FOOD AND KINDRED PRODUCTS ................ 32,555 1.06
FOOD STORES .............................. 12,678 0.41
GENERAL MERCHANDISE STORES ............... 5,007 0.16
INDUSTRIAL MACHINERY AND EQUIPMENT ....... 16,213 0.53
INSTRUMENTS AND RELATED PRODUCTS ......... 4,974 0.16
INSURANCE CARRIERS ....................... 20,434 0.67
MOTION PICTURES .......................... 12,931 0.42
NONDEPOSITORY INSTITUTIONS ............... 108,125 3.53
OIL AND GAS EXTRACTION ................... 10,485 0.34
OTHER MORTGAGE BACKED SECURITIES ......... 64,409 2.10
PAPER AND ALLIED PRODUCTS ................ 4,744 0.16
PETROLEUM AND COAL PRODUCTS .............. 46,462 1.52
PRINTING AND PUBLISHING .................. 30,730 1.00
RAILROAD TRANSPORTATION .................. 10,511 0.34
SECURITY AND COMMODITY BROKERS ........... 15,591 0.51
TOBACCO PRODUCTS ......................... 6,411 0.21
TRANSPORTATION BY AIR .................... 10,006 0.33
TRANSPORTATION EQUIPMENT ................. 4,724 0.16
WHOLESALE TRADE-NONDURABLE GOODS ......... 9,342 0.31
---------- ------
TOTAL CORPORATE BONDS
(COST $951,821) ......................... 926,095 30.24
---------- ------
GOVERNMENT BONDS
AGENCY SECURITIES ........................ 336,728 10.99
FOREIGN GOVERNMENT BONDS ................. 59,566 1.95
GOVERNMENT BONDS ......................... 20 0.00
MORTGAGE BACKED SECURITIES ............... 1,164,838 38.03
OTHER MORTGAGE BACKED SECURITIES ......... 1,963 0.06
U.S. TREASURY SECURITIES ................. 438,081 14.30
---------- ------
TOTAL GOVERNMENT BONDS
(COST $2,028,151) ....................... 2,001,196 65.33
---------- ------
TOTAL BONDS
(COST $2,979,972) ........................ 2,927,291 95.57
---------- ------
SHORT TERM INVESTMENTS
COMMERCIAL PAPER ......................... 579,074 18.91
INVESTMENTS OF CASH COLLATERAL FOR
SECURITIES LOANED ....................... 318,181 10.39
---------- ------
TOTAL SHORT TERM INVESTMENTS
(Cost $897,419) .......................... 897,255 29.30
---------- ------
TOTAL PORTFOLIO
(Cost $3,877,391) ........................ 3,824,546 124.87
OTHER ASSETS & LIABILITIES, NET ......... (761,684) (24.87)
---------- ------
NET ASSETS .................................$3,062,862 100.00%
========== ======
========================================================
VALUE
PRINCIPAL RATINGS+ (000)
----------- --------- -------
BONDS--95.57%
CORPORATE BONDS--30.24%
ASSET BACKED--4.72%
ADVANTA MORTGAGE LOAN TRUST
SERIES 1998-1 (CLASS A3)
$23,000,000 6.270%, 12/25/17 .......... AAA $22,896
AMERICAN EXPRESS CREDIT
ACCOUNT MASTER TRUST
SERIES 1999-1 (CLASS A)
1,000,000 5.600%, 11/15/06 .......... AAA 967
AMRESCO RESIDENTIAL SECURITIES
MORTGAGE LOAN TRUST
SERIES 1997-2 (CLASS A3)
1,549,107 6.795%, 12/25/20 .......... AAA 1,547
BLOCK MORTGAGE FINANCE, INC
SERIES 1997-1 (CLASS A-2)
1,793,227 6.850%, 10/25/11 .......... AAA 1,791
CASE EQUIPMENT LOAN TRUST
SERIES 1999-A (CLASS A4)
17,500,000 5.770%, 08/15/05 .......... AAA 17,171
CHASE CREDIT CARD MASTER TRUST
SERIES 1997-2 (CLASS B)
10,000,000 6.450%, 04/15/03 .......... A2 10,073
CITIBANK CREDIT CARD MASTER
TRUST I SERIES 1999-2 (CLASS A)
4,800,000 5.875%, 03/10/11 .......... AAA 4,470
COMED TRANSITIONAL FUNDING
TRUST SERIES 1998-1 (CLASS A5)
10,000,000 5.440%, 03/25/07 .......... AAA 9,556
FIRST ALLIANCE MORTGAGE LOAN
TRUST SERIES 1997-3 (CLASS A1)
2,471,578 6.935%, 12/20/28 .......... AAA 2,482
GE CAPITAL MORTGAGE SERVICES, INC
SERIES 1999-HE1 (CLASS A3)
20,300,000 6.035%, 06/25/20 .......... AAA 19,995
GREEN TREE HOME EQUITY LOAN
TRUST SERIES 1998-C (CLASS A3)
26,340,000 6.180%, 07/15/29 .......... AAA 26,241
GREEN TREE HOME EQUITY LOAN
TRUST SERIES 1999-A (CLASS A2)
9,000,000 5.780%, 02/15/14 .......... AAA 8,916
HELLER EQUIPMENT ASSET
RECEIVABLES TRUST
SERIES 1999-1 (CLASS A4)
9,845,216 5.620%, 12/13/04 .......... AAA 9,599
MBNA MASTER CREDIT CARD TRUST
SERIES 1999-B (CLASS A)
5,000,000 5.900%, 08/15/11 .......... AAA 4,698
NATIONSBANK AUTO GRANTOR TRUST
SERIES 1995-A (CLASS A)
199,344 5.850%, 06/15/02 .......... AAA 199
TOYOTA AUTO RECEIVABLES GRANTOR
TRUST SERIES 1997-A (CLASS B)
1,299,723 6.600%, 04/15/02 .......... A2 1,303
VANDERBILT MORTGAGE & FINANCE
SERIES 1997-A (CLASS A-2)
2,533,683 6.525%, 12/07/28 .......... AAA 2,540
-----------
144,444
-----------
+AS PROVIDED BY MOODY'S INVESTORS SERVICES (UNAUDITED)
See notes to financial statements.
22
<PAGE>
BOND MARKET ACCOUNT (CONTINUED)
VALUE
PRINCIPAL RATINGS+ (000)
----------- --------- -------
BUSINESS SERVICES--0.32%
COMDISCO, INC (SR NOTE)
$10,000,000 6.000%, 01/30/02 .......... BAA1 $ 9,859
-----------
CHEMICALS AND ALLIED PRODUCTS--0.47%
ABBOTT LABORATORIES NOTE
5,000,000 5.400%, 09/15/08 .......... AA1 4,594
MONSANTO CO NOTE
5,000,000 ! 5.750%, 12/01/05 .......... A2 4,747
ROHM & HAAS CO DEB
5,000,000 ! 7.850%, 07/15/29 .......... A3 5,099
-----------
14,440
-----------
COMMUNICATIONS--4.02%
BELLSOUTH TELECOMMUNICATIONS
NOTE
10,000,000 [] 6.500%, 06/15/05 .......... AAA 9,944
COMCAST CELLULAR HOLDINGS
(SR NOTE)
10,500,000 9.500%, 05/01/07 .......... A2 11,708
CONTINENTAL CABLEVISION
(SR NOTE)
5,000,000 8.300%, 05/15/06 .......... BAA3 5,312
ELECTRIC LIGHTWAVE, INC NOTE
10,000,000 ! 6.050%, 05/15/04 .......... A2 9,756
GTE CORP DEB
10,000,000 6.940%, 04/15/28 .......... BAA1 9,466
JONES INTERCABLE, INC (SR NOTE)
12,500,000 9.625%, 03/15/02 .......... BA1 13,375
LENFEST COMMUNICATIONS NOTE
10,000,000 8.375%, 11/01/05 .......... BA2 10,444
5,000,000 8.250%, 02/15/08 .......... B2 5,169
LIBERTY MEDIA GROUP DEB
5,000,000 ^! 7.875%, 07/15/09 .......... BAA3 5,036
MCI COMMUNICATIONS CORP
(SR NOTE)
10,000,000 6.500%, 04/15/10 .......... BAA2 9,584
QWEST COMMUNICATIONS
INTERNATIONAL, INC (SR NOTE)
11,000,000 7.500%, 11/01/08 .......... BA1 10,999
U.S. WEST CAPITAL FUNDING, INC
7,800,000 6.125%, 07/15/02 .......... BAA1 7,696
8,500,000 6.875%, 07/15/28 .......... BAA1 7,768
WORLDCOM, INC (SR NOTE)
7,000,000 6.400%, 08/15/05 .......... A3 6,848
-----------
123,105
-----------
DEPOSITORY INSTITUTIONS--2.06%
AMSOUTH BANCORP (SUB NOTE)
10,000,000 6.125%, 03/01/09 .......... A3 9,207
AMSOUTH BANK OF ALABAMA
(SUB DEB)
5,000,000 6.450%, 02/01/18 .......... A1 4,744
DIME BANCORP, INC (SR NOTE) (NEW)
11,000,000 6.375%, 01/30/01 .......... BA1 10,986
FIRST UNION CORP NOTE
10,000,000 6.625%, 06/15/04 .......... A1 9,997
FLEET NATIONAL BANK (SUB NOTE)
10,000,000 5.750%, 01/15/09 .......... A2 9,041
HSBC HOLDINGS PLC (SUB NOTE)
9,000,000 ^ 7.500%, 07/15/09 .......... A2 9,082
U.S. BANCORP (SR NOTE)
10,000,000 6.500%, 06/15/04 .......... A1 9,941
-----------
62,998
-----------
ELECTRIC, GAS, AND SANITARY SERVICES--4.44%
CAITHNESS COSO FUND CORP NOTE
10,000,000 ! 6.800%, 12/15/01 .......... BA1 9,913
CLEVELAND ELECTRIC ILLUMINATING
(SR NOTE)
6,000,000 7.430%, 11/01/09 .......... BA1 5,954
CLEVELAND ELECTRIC TOLEDO
EDISON NOTE
5,000,000 7.190%, 07/01/00 .......... BA1 5,016
CMS PANHANDLE HOLDINGS CO
(SR NOTE)
10,000,000 ! 6.125%, 03/15/04 ......... BAA3 9,710
COASTAL CORP (SR NOTE)
11,490,000 10.000%, 02/01/01 ......... BAA2 12,116
CONSUMERS ENERGY CO NOTE
5,000,000 6.200%, 05/01/03 .......... BAA3 4,873
EL PASO ELECTRIC CO
(FIRST MORTGAGE BOND)
5,000,000 8.900%, 02/01/06 .......... BA1 5,429
EL PASO ENERGY CORP (SR NOTE)
10,000,000 12.000%, 12/15/00 ......... BAA3 10,480
GEORGIA POWER CO (SR NOTE)
10,000,000 [] 5.500%, 12/01/05 .......... A2 9,363
KN ENERGY, INC (SR NOTE)
7,000,000 6.450%, 11/30/01 .......... BAA2 6,970
MIDAMERICAN ENERGY
HOLDINGS DEB
12,500,000 8.480%, 09/15/28 .......... BAA3 13,340
MONONGAHELA POWER CO
(FIRST MORTGAGE BOND)
3,000,000 8.625%, 11/01/21 .......... A1 3,169
NATIONAL RURAL UTILITIES TRUST
5,000,000 5.000%, 10/01/02 .......... AA3 4,813
NIAGARA MOHAWK POWER CO NOTE
10,000,000 7.125%, 07/01/01 .......... BAA3 10,053
4,500,000 5.875%, 09/01/02 .......... BAA2 4,434
PUGET SOUND ENERGY, INC
(SR DEB)
5,000,000 7.020%, 12/01/27 .......... BAA1 4,816
TEXAS-NEW MEXICO POWER NOTE
2,000,000 9.250%, 09/15/00 .......... BAA2 2,066
3,000,000 6.250%, 01/15/09 .......... BAA2 2,746
TXU EASTERN HOLDINGS NOTE
6,000,000 ! 6.450%, 05/15/05 .......... BAA1 5,796
U.S.A. WASTE SERVICES, INC NOTE
5,000,000 6.125%, 07/15/01 .......... BAA2 4,970
-----------
136,027
-----------
ELECTRONIC AND OTHER ELECTRIC EQUIPMENT--0.29%
MOTOROLA, INC DEB
10,000,000 6.500%, 11/15/28 .......... AA3 8,890
-----------
FOOD AND KINDRED PRODUCTS--1.06%
COCA COLA (PUTABLE ASSET TRUST)
5,000,000 ! 6.000%, 03/15/01 .......... A3 4,975
DIAGEO CAPITAL PLC NOTE
10,000,000 6.625%, 06/24/04 .......... A1 10,013
SEAGRAM JOSEPH & SONS
(GUARANTEE NOTE)
10,000,000 5.790%, 04/15/01 .......... BAA3 9,816
8,000,000 6.625%, 12/15/05 .......... BAA3 7,751
-----------
32,555
-----------
FOOD STORES--0.41%
SAFEWAY, INC NOTE
12,750,000 5.750%, 11/15/00 .......... BAA2 12,678
-----------
+AS PROVIDED BY MOODY'S INVESTORS SERVICES (UNAUDITED)
See notes to financial statements.
23
<PAGE>
BOND MARKET ACCOUNT (CONTINUED)
VALUE
PRINCIPAL RATINGS+ (000)
----------- --------- -------
GENERAL MERCHANDISE STORES--0.16%
DAYTON HUDSON CO NOTE
$ 5,000,000 5.950%, 06/15/00 .......... A3 $ 5,007
-----------
INDUSTRIAL MACHINERY AND EQUIPMENT--0.53%
CATERPILLAR, INC DEB
6,150,000 9.750%, 06/01/19 .......... A2 6,450
XEROX CAPITAL PLC (EUROPE)
(GUARANTEE NOTE)
10,000,000 5.875%, 05/15/04 .......... A2 9,763
-----------
16,213
-----------
INSTRUMENTS AND RELATED PRODUCTS--0.16%
RAYTHEON CO DEB
5,500,000 6.400%, 12/15/18 .......... BAA1 4,974
-----------
INSURANCE CARRIERS--0.67%
ASSOCIATED P&C HOLDINGS, INC
(SR NOTE)
5,000,000 6.750%, 07/15/03 .......... BAA1 4,866
SAFECO CAPITAL TRUST I
(GUARANTEE DEB)
5,000,000 8.072%, 07/15/37 .......... A3 4,743
SUNAMERICA INSTITUTIONAL
FUND NOTE
10,000,000 5.750%, 02/16/09 .......... AAA 9,344
VESTA INSURANCE GROUP, INC DEB
2,175,000 8.750%, 07/15/25 .......... B2 1,481
-----------
20,434
-----------
MOTION PICTURES--0.42%
TIME WARNER ENTERTAINMENT DEB
10,515,000 10.150%, 05/01/12 ......... BAA2 12,931
-----------
NONDEPOSITORY INSTITUTIONS--3.53%
ARISTAR, INC (SR NOTE)
10,000,000 6.000%, 05/15/02 .......... A3 9,869
9,000,000 [] 7.250%, 06/15/06 .......... A3 9,040
AT & T CAPITAL CORP
(GUARANTEE NOTE)
10,000,000 7.500%, 11/15/00 .......... BAA3 10,074
CAPITAL ONE BANK (SR NOTE)
4,500,000 6.650%, 03/15/04 .......... BAA2 4,407
CATERPILLAR FINANCIAL SERVICES
CORP NOTE
10,000,000 5.600%, 11/20/01 .......... A2 9,807
FINOVA CAPITAL CORP (SR NOTE)
7,000,000 6.750%, 03/09/09 .......... BAA1 6,687
GENERAL ELECTRIC CAPITAL
CORP NOTE
10,000,000 5.650%, 03/31/03 .......... AAA 9,757
GENERAL MOTORS ACCEPTANCE
CORP (MEDIUM TERM NOTE)
5,000,000 [] 6.850%, 06/17/04 .......... A2 5,040
HELLER FINANCIAL, INC (SR NOTE)
5,000,000 5.875%, 11/01/00 .......... A3 4,983
HOUSEHOLD FINANCE CORP NOTE
5,000,000 5.875%, 11/01/02 .......... A2 4,905
5,000,000 6.000%, 05/01/04 .......... A2 4,860
10,000,000 6.400%, 06/17/08 .......... A2 9,502
NEWCOURT CREDIT GROUP NOTE
9,500,000 ! 6.875%, 02/16/05 ........... BAA3 9,297
TEXTRON FINANCIAL CORP NOTE
10,000,000 5.660%, 02/16/01 .......... A2 9,897
-----------
108,125
-----------
OIL AND GAS EXTRACTION--0.34%
APACHE CORP (SR DEB)
5,000,000 7.625%, 07/01/19 .......... BAA1 4,997
BAYARD DRILLING TECHNOLOGIES
(GUARANTEE NOTE)
5,000,000 11.000%, 06/30/05 ......... B2 5,488
-----------
10,485
-----------
OTHER MORTGAGE BACKED SECURITIES--2.10%
CHASE COMMERCIAL MORTGAGE
SECURITIES CORP
SERIES 1998-2 (CLASS A2)
27,330,000 [] 6.390%, 11/18/08 .......... AAA 26,399
CRIIMI MAE CMBS CORP
SERIES 1998-1 (CLASS A1)
7,770,763 ! 5.697%, 10/20/01 . ......... AAA 7,650
FIRST UNION COMMERCIAL
MORTGAGE TRUST
SERIES 1999-C1 (CLASS A2)
20,000,000 [] 6.070%, 10/15/08 .......... AAA 18,902
MORGAN STANLEY CAPITAL I
SERIES 1999-WF1 (CLASS A2)
12,000,000 6.210%, 09/15/08 .......... AAA 11,458
-----------
64,409
-----------
PAPER AND ALLIED PRODUCTS--0.16%
TEMPLE-INLAND, INC NOTE
5,000,000 6.750%, 03/01/09 .......... BAA2 4,744
-----------
PETROLEUM AND COAL PRODUCTS--1.52%
ATLANTIC RICHFIELD NOTE
5,500,000 5.900%, 04/15/09 .......... A2 5,149
CHEVRON CORP (GUARANTEE DEB)
10,000,000 ^ 7.327%, 01/01/14 .. ...... AA2 10,212
MURPHY OIL CORP DEB
9,000,000 7.050%, 05/01/29 .......... A3 8,482
NORSK HYDRO A/S DEB
10,000,000 7.150%, 01/15/29 .......... A2 9,274
PENNZOIL- QUAKER STATE DEB
5,000,000 7.375%, 04/01/29 .......... BAA2 4,736
PHILLIPS PETROLEUM CO NOTE
9,000,000 [] 6.375%, 03/30/09 .......... A3 8,609
-----------
46,462
-----------
PRINTING AND PUBLISHING--1.00%
DONNELLEY (R.R.) & SONS CO DEB
9,000,000 6.625%, 04/15/29 .......... A1 8,230
NEWS AMERICA HOLDINGS DEB
7,500,000 8.250%, 08/10/18 .......... BAA3 7,729
TIME WARNER, INC DEB
5,000,000 7.250%, 10/15/17 .......... BAA3 4,813
TIME WARNER, INC (PASS THRU CERT)
10,000,000 ! 6.100%, 12/30/01 .......... BAA3 9,958
-----------
30,730
-----------
RAILROAD TRANSPORTATION--0.34%
UNION PACIFIC CORP DEB
4,400,000 7.600%, 05/01/05 .......... BAA3 4,540
1,532,000 8.500%, 01/15/17 .......... BAA3 1,586
5,000,000 6.625%, 02/01/29 .......... BAA3 4,385
-----------
10,511
-----------
SECURITY AND COMMODITY BROKERS--0.51%
BEAR STEARNS CO, INC (SR NOTE)
10,000,000 6.700%, 08/01/03 .......... A2 9,964
MERRILL LYNCH & CO DEB
6,000,000 6.875%, 11/15/18 .......... AA3 5,627
-----------
15,591
-----------
+AS PROVIDED BY MOODY'S INVESTORS SERVICES (UNAUDITED)
See notes to financial statements.
24
<PAGE>
BOND MARKET ACCOUNT (CONTINUED)
VALUE
PRINCIPAL RATINGS+ (000)
----------- --------- -------
TOBACCO PRODUCTS--0.21%
RJ REYNOLDS TOBACCO
HOLDINGS NOTE
$ 6,500,000 7.375%, 05/15/03 .......... BAA2 $ 6,411
-----------
TRANSPORTATION BY AIR--0.33%
NORTHWEST AIRLINES, INC
(PASS THRU CERT)
10,000,000 [] 8.304%, 09/01/10 .......... BAA2 10,006
-----------
TRANSPORTATION EQUIPMENT--0.16%
DELPHI AUTO SYSTEMS CORP NOTE
5,000,000 6.500%, 05/01/09 .......... BAA2 4,724
-----------
WHOLESALE TRADE-NONDURABLE GOODS--0.31%
FORTUNE BRANDS, INC DEB
10,400,000 6.625%, 07/15/28 .......... A2 9,342
-----------
TOTAL CORPORATE BONDS
(COST $951,821) 926,095
-----------
GOVERNMENT BONDS--65.33%
AGENCY SECURITIES--10.99%
FEDERAL HOME LOAN MORTGAGE
CORP (FHLMC)
41,000,000 5.375%, 03/01/01 40,712
18,400,000 [] 5.500%, 05/15/02 .......... AAA 18,181
121,700,000 5.000%, 01/15/04 116,147
3,000,000 7.100%, 04/10/07 .......... AAA 3,120
34,700,000 5.750%, 04/15/08 33,057
FEDERAL NATIONAL MORTGAGE
ASSOCIATION (FNMA)
10,000,000 5.650%, 04/28/00 .......... AAA 10,006
10,000,000 5.970%, 10/02/00 .......... AAA 10,039
3,000,000 8.250%, 12/18/00 .......... AAA 3,103
70,400,000 5.250%, 01/15/03 .......... AAA 68,178
5,000,000 6.850%, 09/12/05 .......... AAA 4,973
63,800,000 0.000%, 06/01/17 19,668
TENNESSEE VALLEY AUTHORITY DEB
10,000,000 6.250%, 12/15/17 .......... AAA 9,544
-----------
336,728
-----------
FOREIGN GOVERNMENT BONDS--1.95%
BRITISH COLUMBIA NOTE
13,000,000 [] 5.375%, 10/29/08 .......... AA2 11,821
CANADA GOVERNMENT
5,000,000 [] 5.250%, 11/05/08 .......... AA2 4,588
ONTARIO PROVINCE CANADA
15,000,000 [] 5.500%, 10/01/08 .......... AA3 13,804
PROVINCE OF ONTARIO
10,000,000 7.375%, 01/27/03 .......... AA3 10,358
QUEBEC PROVINCE CANADA
15,000,000 [] 7.000%, 01/30/07 .......... A2 15,101
4,000,000 [] 7.125%, 02/09/24 .......... A2 3,894
-----------
59,566
-----------
GOVERNMENT BONDS--0.00%
NEW YORK CITY TAX LIEN
SERIES 1996-1 (COLLECTABLE BOND)
19,819 ! 6.810%, 05/25/05 .......... AAA 20
-----------
MORTGAGE BACKED SECURITIES--38.03%
FEDERAL HOME LOAN MORTGAGE
CORP (FHLMC)
1,761,254 5.500%, 09/01/00 .......... 1,745
2,789,591 7.000%, 09/01/10 .......... 2,812
4,807,615 6.000%, 04/01/11 .......... 4,664
12,404,820 7.000%, 07/01/13 .......... 12,464
1,947,693 7.000%, 05/01/23 .......... 1,931
$ 483,018 8.500%, 06/01/27 .......... $ 505
949,633 8.500%, 07/01/27 .......... 992
3,319,787 8.500%, 08/01/27 .......... 3,469
FEDERAL HOME LOAN MORTGAGE
CORP GOLD (FGLMC)
36,946,581 6.500%, 02/01/29 .......... 35,678
9,194,154 8.000%, 03/01/29 .......... 9,449
9,579,845 8.000%, 04/01/29 .......... 9,846
82,000,000 ^ 6.500%, 08/25/29 .......... 79,284
58,500,000 ^ 7.500%, 08/25/29 .......... 59,049
FEDERAL NATIONAL MORTGAGE
ASSOCIATION (FNMA)
1,271,203 7.500%, 08/01/01 .......... 1,277
2,547,095 6.000%, 12/01/02 .......... 2,516
1,130,961 6.000%, 12/01/08 .......... 1,100
11,087,050 6.500%, 05/01/09 .......... 10,988
2,475,237 7.500%, 11/01/10 .......... 2,521
1,671,618 8.000%, 06/01/11 .......... 1,718
446,775 8.000%, 07/01/11 .......... 459
54,500,000 ^ 6.000%, 07/25/14 .......... 52,644
1,145,321 6.500%, 02/01/16 .......... 1,114
919,415 6.500%, 03/01/16 .......... 894
1,331,007 6.500%, 04/01/16 .......... 1,300
6,254,316 8.000%, 03/01/23 .......... 6,437
11,673,017 8.000%, 07/01/24 .......... 12,007
5,216,551 8.500%, 12/01/24 .......... 5,454
2,352,947 9.000%, 11/01/25 .......... 2,485
21,834,135 * 8.500%, 02/01/28 .......... 22,820
443,690 8.500%, 08/01/28 .......... 464
14,619,590 6.000%, 10/01/28 .......... 13,737
20,273,740 6.000%, 02/01/29 .......... 19,050
78,281,987 6.500%, 02/01/29 .......... 75,545
14,657,831 6.500%, 03/01/29 .......... 14,145
7,395,150 6.000%, 05/01/29 .......... 6,949
20,000,000 ^ 6.000%, 08/25/29 .......... 18,850
141,000,000 ^ 6.500%, 08/25/29 .......... 136,140
249,000,000 ^ 7.000%, 08/25/29 .......... 246,432
45,000,000 ^ 7.500%, 09/25/29 .......... 45,450
GOVERNMENT NATIONAL
MORTGAGE ASSOCIATION (GNMA)
249,787 8.500%, 10/15/09 .......... 261
805,015 8.500%, 12/15/09 .......... 842
2,787,787 9.000%, 12/15/09 .......... 2,967
734,652 8.500%, 01/15/10 .......... 768
118,198 9.000%, 06/15/16 .......... 126
189,594 9.000%, 08/15/16 .......... 202
365,629 9.000%, 09/15/16 .......... 390
77,672 9.000%, 10/15/16 .......... 83
151,754 9.000%, 11/15/16 .......... 162
487,948 9.000%, 12/15/16 .......... 520
1,983,370 9.500%, 12/15/16 .......... 2,151
203,350 9.000%, 07/15/17 .......... 217
177,082 9.000%, 06/15/20 .......... 189
5,572,428 6.500%, 09/15/23 .......... 5,394
3,367,701 6.500%, 01/15/24 .......... 3,260
2,276,873 6.500%, 03/15/24 .......... 2,204
13,986,623 6.500%, 05/15/24 .......... 13,540
2,208,221 8.000%, 06/15/24 .......... 2,275
4,593,581 6.500%, 09/15/24 .......... 4,447
1,008,912 7.500%, 06/15/28 .......... 1,021
27,269,928 * 7.000%, 07/15/28 .......... 26,927
918,499 7.500%, 07/15/28 .......... 929
+AS PROVIDED BY MOODY'S INVESTORS SERVICES (UNAUDITED)
See notes to financial statements.
25
<PAGE>
BOND MARKET ACCOUNT (CONTINUED)
VALUE
PRINCIPAL RATINGS+ (000)
----------- --------- -------
GOVERNMENT NATIONAL
MORTGAGE ASSOCIATION (GNMA)
$ 2,833,685 7.500%, 08/15/28 .......... $ 2,864
18,124,511 7.500%, 09/15/28 .......... 18,316
89,473,654 * 7.000%, 10/15/28 .......... 88,348
2,435,337 7.500%, 10/15/28 .......... 2,461
9,547,802 7.500%, 11/15/28 .......... 9,649
22,142,876 7.000%, 04/15/29 .......... 21,864
10,000,000 ^ 7.000%, 08/25/29 .......... 9,897
18,000,000 ^ 7.500%, 08/25/29 .......... 18,180
-----------
1,164,838
-----------
OTHER MORTGAGE BACKED SECURITIES--0.06%
FANNIE MAE WHOLE LOAN (FNW)
2,000,000 5.925%, 02/25/29 1,963
-----------
U.S. TREASURY SECURITIES--14.30%
U.S. TREASURY BOND
7,000,000 6.625%, 05/15/07 .......... 7,290
57,740,000 [] 5.500%, 05/15/09 .......... 56,403
35,530,000 12.000%, 08/15/13 .......... 49,886
32,400,000 []11.250%, 02/15/15 .......... 48,499
17,700,000 9.250%, 02/15/16 .......... 23,054
36,300,000 8.750%, 05/15/17 .......... 45,823
99,400,000 *[] 8.875%, 08/15/17 .......... 126,976
12,450,000 [] 5.250%, 11/15/28 .......... 11,036
U.S. TREASURY NOTE
26,000,000 5.750%, 11/15/00 .......... 26,110
7,700,000 5.500%, 12/31/00 .......... 7,705
12,500,000 [] 6.500%, 05/31/01 .......... 12,719
10,000,000 [] 6.625%, 03/31/02 .......... 10,248
5,000,000 [] 5.500%, 05/31/03 .......... 4,962
7,500,000 [] 5.250%, 05/15/04 .......... 7,370
-----------
438,081
-----------
TOTAL GOVERNMENT BONDS
(COST $2,028,151) ......... 2,001,196
-----------
TOTAL BONDS
(COST $2,979,972) ......... 2,927,291
-----------
SHORT TERM INVESTMENTS--29.30%
COMMERCIAL PAPER--18.91%
COCA COLA ENTERPRISES, INC
11,000,000 ~ 5.060%, 08/23/99 .......... 10,911
CONAGRA, INC
23,730,000 6.100%, 07/01/99 .......... 23,726
COX COMMUNICATIONS, INC
25,000,000 *~ 5.050%, 07/08/99 .......... 24,970
20,000,000 *~ 5.200%, 07/14/99 .......... 19,958
CROWN CORK & SEAL CO, INC
20,000,000 *~ 5.050%, 07/08/99 .......... 19,976
14,000,000 *~ 5.000%, 07/14/99 .......... 13,970
16,000,000 *~ 5.030%, 07/27/99 .......... 15,935
CSX CORP
17,000,000 *~ 5.000%, 07/14/99 .......... 16,964
50,000,000 *~ 5.000%, 07/21/99 .......... 49,843
DILLARDS, INC
50,000,000 ~ 6.110%, 07/01/99 .......... 49,992
HOUSTON INDUSTRIES FINANCE CO LP
29,000,000 *~ 5.020%, 07/14/99 .......... 28,939
ICI WILMINGTON, INC
13,010,000 *~ 5.250%, 07/27/99 .......... 12,957
LOCKHEED MARTIN CORP
50,000,000 *~ 4.980%, 07/02/99 .......... 49,984
MCI WORLDCOM, INC
16,500,000 *~ 4.960%, 07/13/99 .......... 16,468
30,000,000 *~ 5.000%, 07/19/99 .......... 29,915
PENNEY (J.C.) FUNDING CORP
20,000,000 *~ 5.260%, 07/23/99 .......... 19,933
PRAXAIR, INC
11,000,000 ~ 5.120%, 07/19/99 .......... 10,969
15,000,000 *~ 4.980%, 07/21/99 .......... 14,953
SONAT, INC
38,000,000 *~ 4.970%, 07/14/99 .......... 37,919
11,099,000 ~ 5.200%, 07/27/99 .......... 11,054
TEXAS UTILITIES CO
50,000,000 *~ 5.000%, 07/19/99 .......... 49,858
TYCO INTERNATIONAL
50,000,000 *~ 5.020%, 07/16/99 .......... 49,880
-----------
579,074
-----------
INVESTMENTS OF CASH COLLATERAL FOR SECURITIES
LOANED--10.39%
CERTIFICATE OF DEPOSIT
DEUTSCHE BANK AG.
25,000,000 4.880%, 08/16/99 .......... 25,050
MEDIUM TERM NOTES
BANKERS TRUST CO
40,000,000 4.940%, 09/14/99 40,093
CREDIT SUISSE-FIRST BOSTON
25,000,000 5.020%, 07/09/99 .......... 25,274
REPURCHASE AGREEMENTS
GOLDMAN SACHS & CO
62,000,000 @ 5.200%, DATED 06/30/99,
DUE 07/01/99 ............. 62,009
MORGAN STANLEY & CO, INC
65,716,000 @ 4.950%, DATED 06/30/99,
DUE 07/01/99 ............. 65,726
PRUDENTIAL SECURITIES, INC
50,000,000 @ 5.100%, DATED 04/23/99,
DUE 12/31/99 ............. 50,021
TIME DEPOSITS
CANADIAN IMPERIAL BANK OF COMMERCE
25,000,000 5.880%, 07/01/99 .......... 25,004
COMMERZBANK LTD (FRANKFURT)
25,000,000 6.060%, 07/01/99 .......... 25,004
-----------
318,181
-----------
TOTAL SHORT TERM INVESTMENTS
(COST $897,419) ........... 897,255
-----------
TOTAL PORTFOLIO
(COST $3,877,391) ......... $3,824,546
===========
See notes to financial statements.
26
<PAGE>
BOND MARKET ACCOUNT (CONTINUED)
- ----------------------
~ Commercial Paper issued under the Private Placement exemption under Section
4(2) of the Securities Act of 1933, as amended.
! Security is exempt from registration under Rule 144A of the Securities Act
of 1933 and may be resold in transactions exempt from registration to
qualified institutional buyers. At June 30, 1999, the value of these
securities amounted to $81,955,577 or 2.68% of net assets.
* All or a portion of these securities have been segregated by the Custodian
to cover securities purchased on a delayed delivery basis.
^ These securities were purchased on a delayed delivery basis.
[] All or a portion of these securities are out on loan.
@ Repurchase agreements are fully collateralized as follows:
MARKET
VALUE COUPON MATURITY
DESCRIPTION PRINCIPAL (000) RATE DATE
------------ ----------- -------- --------- --------
GOLDMAN SACHS & CO:
U.S. Treasury Bond $ 7,845,100 $11,978 11.250% 02/15/15
U.S. Treasury Note 54,494,436 51,262 4.750%- 06/30/01
5.750% 11/15/08
MORGAN STANLEY &
CO, INC:
Government
National Mortgage
Association 172,166,300 67,308 6.000%- 11/15/16-
9.000% 03/15/29
PRUDENTIAL SECURITIES,
INC:
Federal Home Loan 5,894,500 5,924 4.940%- 10/27/00-
Bank 6.005% 01/05/04
Federal Home Loan 5,857,000 5,692 5.150%- 05/16/00-
Mortgage Corp 6.700% 04/29/09
Federal Mortgage Corp 79,600 79 Discount 08/09/99-
Discount Note Notes 09/29/99
Federal National 1,180,000 1,192 5.650%- 04/23/01-
Mortgage Association 6.450% 06/01/01
U.S. Treasury Bond 7,627,600 9,811 8.750%- 08/15/15-
10.625% 05/15/17
U.S. Treasury Note 27,296,700 27,564 4.500%- 01/31/01-
6.250% 02/28/03
U.S. Treasury Strip 2,412,600 738 Zero Coupon 02/15/17-
Bonds 05/15/21
- ------------------
OTHER INFORMATION
The composition of long-term debt holdings as a percentage of total value of
investment in debt securities, is as follows:
MOODY'S RATINGS
AAA, AA, A 24.92%
BAA 10.22%
BA 2.46%
B 0.41%
U.S. Government obligations represent 61.99% of the long term debt portfolio
value and are not reflected in the above ratings.
See notes to financial statements.
27
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENT OF INVESTMENTS--SOCIAL CHOICE ACCOUNT (Unaudited)
JUNE 30, 1999
SUMMARY BY INDUSTRY
(000)
VALUE %
------- ------
BONDS
CORPORATE BONDS
ASSET BACKED ........................... $35,620 0.92%
COMMUNICATIONS ......................... 58,095 1.50
DEPOSITORY INSTITUTIONS ................ 21,392 0.55
EATING AND DRINKING PLACES ............. 22,919 0.59
ELECTRIC, GAS, AND SANITARY SERVICES ... 15,049 0.39
FOOD AND KINDRED PRODUCTS .............. 14,564 0.38
FOOD STORES ............................ 26,187 0.68
GENERAL MERCHANDISE STORES ............. 36,038 0.93
INDUSTRIAL MACHINERY AND EQUIPMENT ..... 9,763 0.25
INSTRUMENTS AND RELATED PRODUCTS ....... 9,212 0.24
INSURANCE CARRIERS ..................... 16,933 0.44
MOTION PICTURES ........................ 12,785 0.33
NONDEPOSITORY INSTITUTIONS ............. 59,030 1.53
OIL AND GAS EXTRACTION ................. 14,871 0.39
OTHER MORTGAGE BACKED SECURITIES ....... 21,598 0.56
PRINTING AND PUBLISHING ................ 5,660 0.15
RAILROAD TRANSPORTATION ................ 12,624 0.33
SECURITY AND COMMODITY BROKERS ......... 14,705 0.38
TRANSPORTATION BY AIR .................. 13,464 0.35
---------- ------
TOTAL CORPORATE BONDS
(COST $435,563) ........................ 420,509 10.89
---------- ------
GOVERNMENT BONDS
AGENCY SECURITIES ...................... 173,272 4.49
FOREIGN GOVERNMENT BONDS ............... 25,139 0.65
MORTGAGE BACKED SECURITIES ............. 572,467 14.82
U.S. TREASURY SECURITIES ............... 252,526 6.54
---------- ------
TOTAL GOVERNMENT BONDS
(COST $1,034,400) ...................... 1,023,404 26.50
---------- ------
TOTAL BONDS
(COST $1,469,963) ...................... 1,443,913 37.39
---------- ------
COMMON STOCK
APPAREL AND ACCESSORY STORES ........... 9,656 0.25
APPAREL AND OTHER TEXTILE PRODUCTS ..... 1,244 0.03
AUTO REPAIR, SERVICES AND PARKING ...... 88 0.00
BUILDING MATERIALS AND GARDEN SUPPLIES . 26,685 0.69
BUSINESS SERVICES ...................... 183,777 4.76
CHEMICALS AND ALLIED PRODUCTS .......... 319,202 8.27
COMMUNICATIONS ......................... 292,296 7.57
DEPOSITORY INSTITUTIONS ................ 185,334 4.80
EATING AND DRINKING PLACES ............. 21,803 0.56
ELECTRIC, GAS, AND SANITARY SERVICES ... 103,201 2.67
ELECTRONIC AND OTHER ELECTRIC EQUIPMENT 89,969 2.33
ENGINEERING AND MANAGEMENT SERVICES .... 2,094 0.05
FABRICATED METAL PRODUCTS .............. 7,030 0.18
FOOD AND KINDRED PRODUCTS .............. 129,136 3.34
FOOD STORES ............................ 13,183 0.34
FURNITURE AND FIXTURES ................. 7,686 0.20
FURNITURE AND HOMEFURNISHINGS STORES ... 1,916 0.05
GENERAL BUILDING CONTRACTORS ........... 1,237 0.03
GENERAL MERCHANDISE STORES ............. 70,828 1.83
HEALTH SERVICES ........................ 8,002 0.21
HOLDING AND OTHER INVESTMENT OFFICES ... 4,449 0.12
INDUSTRIAL MACHINERY AND EQUIPMENT ..... 234,473 6.07
INSTRUMENTS AND RELATED PRODUCTS ....... 50,227 1.30
INSURANCE AGENTS, BROKERS AND SERVICE .. 10,270 0.27
INSURANCE CARRIERS ..................... 140,879 3.65
MISCELLANEOUS MANUFACTURING INDUSTRIES . 28,924 0.75
MISCELLANEOUS RETAIL ................... 13,389 0.35
MOTION PICTURES ........................ 44,336 1.15
NONDEPOSITORY INSTITUTIONS ............. 91,790 2.38
OIL AND GAS EXTRACTION ................. 68,934 1.79
PAPER AND ALLIED PRODUCTS .............. 17,134 0.44
PERSONAL SERVICES ...................... 2,410 0.06
PETROLEUM AND COAL PRODUCTS ............ 8,669 0.22
PRIMARY METAL INDUSTRIES ............... 6,842 0.18
PRINTING AND PUBLISHING ................ 28,065 0.73
RAILROAD TRANSPORTATION ................ 12,689 0.33
REAL ESTATE ............................ 523 0.01
RUBBER AND MISCELLANEOUS
PLASTIC PRODUCTS ...................... 18,128 0.47
SECURITY AND COMMODITY BROKERS ......... 34,474 0.89
STONE, CLAY, AND GLASS PRODUCTS ........ 3,941 0.10
TRANSPORTATION BY AIR .................. 14,120 0.37
TRANSPORTATION EQUIPMENT ............... 2,252 0.06
TRUCKING AND WAREHOUSING ............... 926 0.02
WHOLESALE TRADE-DURABLE GOODS .......... 12,176 0.32
WHOLESALE TRADE-NONDURABLE GOODS ....... 21,121 0.55
---------- ------
TOTAL COMMON STOCK
(Cost $1,190,921) ...................... 2,345,508 60.74
---------- ------
SHORT TERM INVESTMENTS
COMMERCIAL PAPER ...................... 369,509 9.57
INVESTMENTS OF CASH COLLATERAL
FOR SECURITIES LOANED ................ 165,030 4.27
---------- ------
TOTAL SHORT TERM INVESTMENTS
(Cost $534,642) ........................ 534,539 13.84
---------- ------
TOTAL PORTFOLIO
(Cost $3,195,526) ...................... 4,323,960 111.97
OTHER ASSETS & LIABILITIES, NET ....... (462,237) (11.97)
---------- ------
NET ASSETS ............................... $3,861,723 100.00%
========== ======
See notes to financial statements.
28
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENT OF INVESTMENTS--SOCIAL CHOICE ACCOUNT (UNAUDITED)
JUNE 30, 1999
VALUE
PRINCIPAL RATINGS+ (000)
--------- -------- --------
BONDS--37.39%
CORPORATE BONDS--10.89%
ASSET BACKED--0.92%
AMERICAN EXPRESS CREDIT ACCOUNT
MASTER TRUST SERIES 1999-1
(CLASS A)
$10,000,000 5.600%, 11/15/06 .......... AAA $ 9,666
CHASE CREDIT CARD MASTER
TRUST SERIES 1997-2 (CLASS B)
8,000,000 6.450%, 04/15/03 .......... A2 8,058
CITIBANK CREDIT CARD MASTER
TRUST SERIES 1997-2 (CLASS B)
3,000,000 6.700%, 02/15/04 .......... A1 3,014
FLEETWOOD CREDIT GRANTOR
TRUST SERIES 1993-B (CLASS A)
1,819,928 4.950%, 08/15/08 .......... AAA 1,768
NATIONSBANK CREDIT CARD
MASTER TRUST SERIES
1993-2 (CLASS B)
7,000,000 6.250%, 12/15/05 .......... A2 6,873
NATIONSCREDIT GRANTOR
TRUST SERIES 1997-2 (CLASS A1)
2,903,604 6.350%, 04/15/14 .......... AAA 2,901
UCFCM SERIES 1997-2 (CLASS B1)
(SUB DEB)
6,000,000 7.370%, 02/15/18 .......... BA3 3,340
-----------
35,620
-----------
COMMUNICATIONS--1.50%
AMERITECH CAPITAL FUNDING CORP
(GUARANTEE NOTE)
7,000,000 5.650%, 01/15/01 .......... AA3 6,961
AT& T CORP NOTE
7,000,000 [] 5.625%, 03/15/04 .......... A1 6,773
BELLSOUTH TELECOMMUNICATIONS
NOTE
8,000,000 6.000%, 06/15/02 .......... AAA 7,948
COX ENTERPRISES SERIES 1997-1
(PASS THRU CERT)
5,000,000 ! 6.250%, 08/26/99 .......... BAA1 5,006
LUCENT TECHNOLOGIES, INC DEB
5,000,000 [] 6.450%, 03/15/29 .......... A2 4,523
NEW YORK TELEPHONE CO DEB
7,000,000 9.375%, 07/15/31 .......... A2 7,581
TELE-COMMUNICATIONS, INC DEB
5,000,000 7.875%, 08/01/13 .......... A2 5,272
U.S. WEST CAPITAL FUNDING, INC
10,000,000 6.875%, 07/15/28 .......... BAA1 9,139
WORLDCOM, INC (SR NOTE)
5,000,000 6.400%, 08/15/05 .......... A3 4,892
-----------
58,095
-----------
DEPOSITORY INSTITUTIONS--0.55%
FIRST UNION CORP (SUB NOTE)
10,000,000 6.300%, 04/15/08 .......... A2 9,573
NATIONAL CITY CORP (SUB NOTE)
2,000,000 5.750%, 02/01/09 .......... A2 1,820
NATIONSBANK (SUB NOTE)
10,000,000 6.875%, 02/15/05 .......... AA3 9,999
-----------
21,392
-----------
EATING AND DRINKING PLACES--0.59%
MCDONALD'S CORP NOTE
13,000,000 5.900%, 05/11/01 .......... AA2 12,969
10,000,000 6.000%, 06/23/02 .......... AA2 9,950
-----------
22,919
-----------
ELECTRIC, GAS, AND SANITARY SERVICES--0.39%
EL PASO NATURAL GAS CO NOTE
5,000,000 6.750%, 11/15/03 .......... BAA2 4,986
PUGET SOUND POWER & LIGHT CO
(MEDIUM TERM NOTE)
5,000,000 8.060%, 06/19/06 .......... BAA1 5,248
SONAT, INC NOTE
5,000,000 6.750%, 10/01/07 .......... BAA1 4,815
-----------
15,049
-----------
FOOD AND KINDRED PRODUCTS--0.38%
COCA COLA (PUTABLE ASSET TRUST)
10,000,000 ! 6.000%, 03/15/01 .......... A3 9,950
PEPSI BOTTLING HOLDINGS, INC
(GUARANTEE NOTE)
5,000,000 ! 5.625%, 02/17/09 .......... A1 4,614
-----------
14,564
-----------
FOOD STORES--0.68%
KROGER CO NOTE
10,000,000 6.000%, 07/01/00 .......... BAA3 9,979
SAFEWAY, INC NOTE
7,260,000 5.750%, 11/15/00 .......... BAA2 7,219
9,400,000 6.500%, 11/15/08 .......... BAA2 8,989
-----------
26,187
-----------
GENERAL MERCHANDISE STORES--0.93%
DILLARDS, INC NOTE
5,000,000 5.790%, 11/15/01 .......... BAA1 4,909
FEDERATED DEPARTMENT STORES
NOTE
11,000,000 6.300%, 04/01/09 .......... BAA2 10,308
SEARS ROEBUCK ACCEPTANCE CORP
(MEDIUM TERM NOTE)
5,000,000 6.990%, 09/30/02 .......... A2 5,061
WAL-MART STORES, INC NOTE
10,000,000 5.850%, 06/01/00 .......... AA2 10,017
5,500,000 8.625%, 04/01/01 .......... AA2 5,743
-----------
36,038
-----------
INDUSTRIAL MACHINERY AND EQUIPMENT--0.25%
XEROX CAPITAL PLC (EUROPE)
(GUARANTEE NOTE)
10,000,000 5.875%, 05/15/04 .......... A2 9,763
-----------
INSTRUMENTS AND RELATED PRODUCTS--0.24%
BECTON DICKINSON & CO DEB
10,000,000 6.700%, 08/01/28 .......... A1 9,212
-----------
INSURANCE CARRIERS--0.44%
AMERICAN GENERAL FINANCE
(SR NOTE)
10,000,000 5.750%, 11/01/03 .......... A2 9,690
USF&G CORP (SR NOTE)
7,000,000 8.375%, 06/15/01 .......... A2 7,243
-----------
16,933
-----------
MOTION PICTURES--0.33%
TIME WARNER ENTERTAINMENT DEB
6,500,000 10.150%, 05/01/12 ......... BAA2 7,994
WALT DISNEY CO NOTE
5,000,000 5.250%, 11/10/03 .......... A2 4,791
-----------
12,785
-----------
+AS PROVIDED BY MOODY'S INVESTORS SERVICES (UNAUDITED)
See notes to financial statements.
29
<PAGE>
SOCIAL CHOICE ACCOUNT (CONTINUED)
VALUE
PRINCIPAL RATINGS+ (000)
--------- -------- --------
NONDEPOSITORY INSTITUTIONS--1.53%
ARISTAR, INC (SR NOTE)
$ 5,000,000 5.850%, 01/27/04 .......... A3 $ 4,833
ASSOCIATES CORP NA DEB
5,000,000 6.250%, 11/01/08 .......... AA3 4,771
5,000,000 6.950%, 11/01/18 .......... AA3 4,818
CAPITAL ONE BANK (SR NOTE)
3,000,000 7.080%, 10/30/01 .......... BAA3 3,026
5,000,000 6.650%, 03/15/04 .......... BAA2 4,897
FINOVA CAPITAL CORP NOTE
9,500,000 6.125%, 03/15/04 .......... BAA1 9,246
10,000,000 6.375%, 05/15/05 .......... BAA1 9,790
HOUSEHOLD FINANCE CORP NOTE
14,000,000 6.000%, 05/01/04 .......... A2 13,609
MBNA CORP (SR NOTE)
4,030,000 6.500%, 09/15/00 .......... BAA2 4,040
-----------
59,030
-----------
OIL AND GAS EXTRACTION--0.39%
APACHE CORP (SR DEB)
10,000,000 7.625%, 07/01/19 .......... BAA1 9,994
ENRON CORP DEB
5,000,000 7.375%, 05/15/19 .......... BAA2 4,877
-----------
14,871
-----------
OTHER MORTGAGE BACKED SECURITIES--0.56%
FIRST UNION COMMERCIAL
MORTGAGE TRUST SERIES 1999-C1
(CLASS A2)
12,750,000 6.070%, 10/15/08 .......... AAA 12,050
MORGAN STANLEY CAPITAL
SERIES 1999-WF1 (CLASS A2)
10,000,000 6.210%, 09/15/08 .......... AAA 9,548
-----------
21,598
-----------
PRINTING AND PUBLISHING--0.15%
TIME WARNER, INC DEB
5,000,000 9.125%, 01/15/13 .......... BAA3 5,660
-----------
RAILROAD TRANSPORTATION--0.33%
NORFOLK SOUTHERN CORP (SR NOTE)
10,000,000 6.200%, 04/15/09 .......... BAA1 9,403
UNION PACIFIC RESOURCES NOTE
3,440,000 6.750%, 05/15/08 .......... BAA3 3,221
-----------
12,624
-----------
SECURITY AND COMMODITY BROKERS--0.38%
MORGAN STANLEY DEAN WITTER, INC
(SR NOTE)
10,000,000 5.625%, 04/12/02 .......... AA3 9,770
SALOMON SMITH BARNEY HOLDINGS
NOTE
5,000,000 6.375%, 10/01/04 .......... AA3 4,935
-----------
14,705
-----------
TRANSPORTATION BY AIR--0.35%
DELTA AIRLINES, INC DEB
4,906,888 8.950%, 01/12/12 .......... BAA1 5,378
DELTA AIRLINES, INC SERIES 1992-B1
(PASS THRU CERT)
2,264,423 8.270%, 09/23/07 .......... BAA1 2,321
UNITED AIR LINES, INC DEB
4,975,000 [] 9.750%, 08/15/21 .......... BAA3 5,765
-----------
13,464
-----------
TOTAL CORPORATE BONDS
(Cost $435,563).............. 420,509
-----------
GOVERNMENT BONDS--26.50%
AGENCY SECURITIES--4.49%
FEDERAL HOME LOAN MORTGAGE
CORP (FHLMC)
19,000,000 5.375%, 03/01/01 .......... 18,866
47,000,000 [] 5.500%, 05/15/02 .......... AAA 46,442
53,800,000 5.000%, 01/15/04 51,345
FEDERAL NATIONAL MORTGAGE
ASSOCIATION (FNMA)
4,585,000 5.970%, 10/02/00 .......... AAA 4,603
1,000,000 8.250%, 12/18/00 .......... AAA 1,034
38,000,000 5.250%, 01/15/03 .......... AAA 36,801
46,000,000 0.000%, 06/01/17 .......... 14,181
-----------
173,272
-----------
FOREIGN GOVERNMENT BONDS--0.65%
ALBERTA PROVINCE CANADA
10,000,000 4.875%, 10/29/03 .......... AA1 9,464
ONTARIO PROVINCE CANADA
5,000,000 7.625%, 06/22/04 .......... AA3 5,270
QUEBEC PROVINCE CANADA
5,500,000 [] 7.000%, 01/30/07 .......... A2 5,537
5,000,000 [] 7.125%, 02/09/24 .......... A2 4,868
-----------
25,139
-----------
MORTGAGE BACKED SECURITIES--14.82%
FEDERAL HOME LOAN MORTGAGE
CORP (FHLMC)
3,260,272 6.000%, 03/01/11 .......... 3,163
779,538 7.000%, 05/01/23 .......... 773
178,510 8.500%, 05/01/27 .......... 187
472,450 8.500%, 07/01/27 .......... 494
2,879,779 8.500%, 08/01/27 .......... 3,009
FEDERAL HOME LOAN MORTGAGE
CORP GOLD (FGLMC)
40,000,000 ^ 6.500%, 08/25/29 .......... 38,675
39,000,000 ^ 7.500%, 08/25/29 .......... 39,366
FEDERAL NATIONAL MORTGAGE
ASSOCIATION (FNMA)
2,547,095 6.000%, 12/01/02 .......... 2,516
250,733 8.500%, 02/01/05 .......... 259
928,656 7.500%, 06/01/11 .......... 946
637,548 8.000%, 06/01/11 .......... 655
893,548 8.000%, 07/01/11 .......... 918
191,381 7.500%, 08/01/11 .......... 195
326,405 7.500%, 09/01/11 .......... 333
858,131 7.500%, 10/01/11 .......... 874
6,505,785 7.000%, 04/01/12 .......... 6,533
4,183,064 6.500%, 09/01/12 .......... 4,125
24,652,995 ^ 6.000%, 07/25/14 .......... 23,813
148,282 8.500%, 11/01/14 .......... 155
1,715,298 * 8.000%, 03/01/23 .......... 1,765
3,229,534 * 8.000%, 07/01/24 .......... 3,322
154,644 8.500%, 07/01/26 .......... 162
308,309 8.500%, 07/01/27 .......... 322
1,645,183 * 8.500%, 11/01/27 .......... 1,719
384,782 8.500%, 01/01/28 .......... 402
8,298,540 * 8.500%, 02/01/28 .......... 8,673
209,549 8.500%, 06/01/28 .......... 219
455,647 8.500%, 08/01/28 .......... 476
238,884 8.500%, 09/01/28 .......... 250
4,873,196 6.000%, 10/01/28 .......... 4,579
7,911,702 6.000%, 02/01/29 .......... 7,434
+AS PROVIDED BY MOODY'S INVESTORS SERVICES (UNAUDITED)
See notes to financial statements.
30
<PAGE>
SOCIAL CHOICE ACCOUNT (CONTINUED)
VALUE
PRINCIPAL (000)
--------- --------
MORTGAGE-BACKED SECURITIES--(CONTINUED)
FEDERAL NATIONAL MORTGAGE
ASSOCIATION (FNMA)
$ 6,984,947 6.000%, 05/01/29 $ 6,563
15,000,000 ^ 6.000%, 08/25/29 .......... 14,138
136,000,000 ^ 6.500%, 08/25/29 .......... 131,392
175,000,000 ^ 7.000%, 08/25/29 .......... 173,195
GOVERNMENT NATIONAL MORTGAGE
ASSOCIATION (GNMA)
464,791 8.500%, 09/15/09 .......... 485
400,266 8.500%, 10/15/09 .......... 419
206,258 8.500%, 12/15/09 .......... 216
2,695,427 * 9.000%, 12/15/09 .......... 2,869
2,229,153 * 9.000%, 12/15/17 .......... 2,376
136,626 9.000%, 03/15/20 .......... 146
154,066 9.000%, 08/15/20 .......... 164
1,956,387 * 8.000%, 06/15/22 .......... 2,019
778,470 6.500%, 08/15/23 .......... 754
468,263 6.500%, 09/15/23 .......... 453
2,788,685 7.000%, 05/15/28 .......... 2,754
8,283,418 7.500%, 08/15/28 .......... 8,379
16,384,265 7.500%, 09/15/28 .......... 16,558
28,713,933 * 7.000%, 10/15/28 .......... 28,353
10,964,681 6.500%, 12/15/28 .......... 10,553
4,323,792 7.000%, 04/15/29 .......... 4,269
10,000,000 ^ 7.500%, 08/25/29 .......... 10,100
-----------
572,467
-----------
U.S. TREASURY SECURITIES--6.54%
U.S. TREASURY BOND
9,000,000 7.500%, 11/15/01 .......... 9,375
10,500,000 [] 7.000%, 07/15/06 .......... 11,122
30,100,000 [] 5.500%, 05/15/09 .......... 29,404
15,000,000 12.000%, 08/15/13 .......... 21,061
17,800,000 11.250%, 02/15/15 .......... 26,644
17,600,000 9.250%, 02/15/16 .......... 22,924
18,000,000 * 8.750%, 05/15/17 .......... 22,722
54,000,000 * 8.875%, 02/15/19 .......... 69,601
10,000,000 8.125%, 08/15/19 .......... 12,078
4,375,000 [] 5.250%, 11/15/28 .......... 3,878
U.S. TREASURY NOTE
10,000,000 6.250%, 01/31/02 .......... 10,152
5,000,000 [] 4.250%, 11/15/03 .......... 4,721
9,000,000 [] 5.250%, 05/15/04 .......... 8,844
-----------
` 252,526
-----------
TOTAL GOVERNMENT BONDS
(Cost $1,034,400) ............. 1,023,404
-----------
TOTAL BONDS
(Cost $1,469,963) ............. 1,443,913
-----------
SHARES
--------
COMMON STOCK--60.74%
APPAREL AND ACCESSORY STORES--0.25%
9,702 o ABERCROMBIE & FITCH CO (CLASS A) 466
182,430 GAP, INC .................... 9,190
-----------
9,656
-----------
APPAREL AND OTHER TEXTILE PRODUCTS--0.03%
15,800 LIZ CLAIBORNE, INC .......... 577
15,600 VF CORP ..................... 667
-----------
1,244
-----------
AUTO REPAIR, SERVICES AND PARKING--0.00%
3,400 RYDER SYSTEM, INC ........... 88
-----------
BUILDING MATERIALS AND GARDEN SUPPLIES--0.69%
390,100 HOME DEPOT, INC ............. 25,137
27,300 o LOWES COS, INC .............. 1,548
-----------
26,685
-----------
BUSINESS SERVICES--4.76%
223,900 AMERICA ONLINE, INC ......... 24,741
327,800 AUTOMATIC DATA PROCESSING, INC 14,423
120,025 COMPUTER ASSOCIATES
INTERNATIONAL, INC ......... 6,601
56,400 o ELECTRONIC DATA SYSTEMS CORP 3,190
7,840 o IMATION CORP ................ 195
148,000 IMS HEALTH, INC ............. 4,625
1,109,400 o MICROSOFT CORP .............. 100,054
38,566 o NIELSEN MEDIA RESEARCH ...... 1,128
82,200 o NOVELL, INC ................. 2,178
322,293 o ORACLE CORP ................. 11,965
213,100 o SUN MICROSYSTEMS, INC ....... 14,677
-----------
183,777
-----------
CHEMICALS AND ALLIED PRODUCTS--8.27%
189,200 AIR PRODUCTS & CHEMICALS, INC 7,615
41,900 ALLERGAN, INC ............... 4,651
2,235 o ALLERGAN SPECIALTY
THERAPEUTICS, INC (CLASS A) 24
57,200 o ALZA CORP ................... 2,910
6,680 o ALZA CORP WTS 12/31/99 ...... 1
176,500 o AMGEN, INC .................. 10,744
130,400 AVON PRODUCTS, INC .......... 7,237
297,500 BRISTOL MYERS SQUIBB CO ..... 20,955
40,300 CABOT CORP .................. 975
72,700 CLOROX CO ................... 7,765
135,400 COLGATE PALMOLIVE CO ........ 13,371
1,905 o CRESCENDO PHARMACEUTICALS CORP 33
47,700 o FOREST LABORATORIES, INC .... 2,206
19,122 FULLER (H.B.) CO ............ 1,307
27,000 o GENZYME CORP (GENERAL DIVISION) 1,310
3,588 o GENZYME CORP (TISSUE REPAIR DIVISION) 7
58,976 o GENZYME-MOLECULAR ONCOLOGY .. 162
47,750 HANNA (M.A.) CO ............. 785
62,500 INTERNATIONAL FLAVORS &
FRAGRANCES, INC ............ 2,773
23,400 o IVAX CORP ................... 331
492,000 JOHNSON & JOHNSON CO ........ 48,216
172,200 LILLY (ELI) & CO ............ 12,334
54,500 MALLINCKRODT, INC ........... 1,982
693,800 MERCK & CO, INC ............. 51,341
58,200 MYLAN LABORATORIES, INC ..... 1,542
70,700 NALCO CHEMICAL CORP ......... 3,668
8,800 NCH CORP .................... 436
250,000 PFIZER, INC ................. 27,438
115,500 o PPG INDUSTRIES, INC ......... 6,822
143,700 PRAXAIR, INC ................ 7,032
463,000 PROCTER & GAMBLE CO ......... 41,323
506,700 SCHERING-PLOUGH CORP ........ 26,855
77,062 SCHULMAN (A.), INC .......... 1,325
108,200 SIGMA ALDRICH CORP .......... 3,726
-----------
319,202
-----------
COMMUNICATIONS--7.57%
325,400 AMERITECH CORP ................ 23,917
781,298 AT & T CORP ................... 43,606
208,348 o AT & T CORP-LIBERTY MEDIA GROUP
(CLASS A) .................... 7,657
421,764 BELL ATLANTIC CORP ............ 27,573
538,500 BELLSOUTH CORP ................ 25,242
6,300 COMCAST CORP (CLASS A) ........ 226
See notes to financial statements.
31
<PAGE>
SOCIAL CHOICE ACCOUNT (CONTINUED)
VALUE
SHARES (000)
--------- --------
COMMUNICATIONS--(CONTINUED)
152,800 COMCAST CORP (CLASS A) SPECIAL $ 5,873
94,890 o COX COMMUNICATIONS, INC (CLASS A) 3,493
561,900 LUCENT TECHNOLOGIES, INC ...... 37,893
376,942 o MCI WORLDCOM, INC ............. 32,441
161,144 o MEDIA ONE GROUP, INC .......... 11,985
524,878 SBC COMMUNICATIONS, INC ....... 30,443
191,000 SPRINT CORP (FON GROUP) ....... 10,087
51,550 o SPRINT CORP (PCS GROUP) ....... 2,945
166,444 U.S. WEST, INC ................ 9,779
153,862 o VIACOM, INC (CLASS B) ......... 6,770
3,523 o VIACOM, INC (CLASS B)
WTS 07/07/99 ................. 65
62,441 o VODAFONE GROUP PLC ADR ........ 12,301
--------------
292,296
--------------
DEPOSITORY INSTITUTIONS--4.80%
544,448 BANK OF AMERICA CORP .......... 39,915
204,486 BANK OF NEW YORK CO, INC ...... 7,502
323,767 BANK ONE CORP ................. 19,284
251,476 CHASE MANHATTAN CORP .......... 21,784
326,785 FIRST UNION CORP .............. 15,359
143,134 FLEET FINANCIAL GROUP, INC .... 6,352
37,700 KEYCORP ....................... 1,211
245,925 MBNA CORP ..................... 7,531
77,500 MORGAN (J.P.) & CO, INC ....... 10,889
84,358 NATIONAL CITY CORP ............ 5,525
104,600 PNC BANK CORP ................. 6,028
99,000 SUNTRUST BANKS, INC ........... 6,874
203,562 U.S. BANCORP .................. 6,921
60,900 WACHOVIA CORP ................. 5,211
135,516 WASHINGTON MUTUAL, INC ........ 4,794
471,440 WELLS FARGO CO ................ 20,154
--------------
185,334
--------------
EATING AND DRINKING PLACES--0.56%
102,200 DARDEN RESTAURANTS, INC ....... 2,229
473,800 MCDONALD'S CORP ............... 19,574
--------------
21,803
--------------
ELECTRIC, GAS, AND SANITARY SERVICES--2.67%
142,494 COLUMBIA ENERGY GROUP ......... 8,933
229,100 CONSOLIDATED NATURAL GAS CO ... 13,918
107,900 EL PASO ENERGY CORP ........... 3,797
80,693 EQUITABLE RESOURCES, INC ...... 3,046
43,200 IDACORP, INC .................. 1,361
236,657 KEYSPAN CORP .................. 6,242
211,600 LOUISVILLE GAS & ELECTRIC
ENERGY CORP .................. 4,444
88,133 MCN ENERGY GROUP, INC ......... 1,829
87,700 NICOR, INC .................... 3,338
235,100 NISOURCE, INC ................. 6,069
142,100 OGE ENERGY CORP ............... 3,375
499,131 PACIFICORP .................... 9,172
69,300 PEOPLES ENERGY CORP ........... 2,612
266,700 POTOMAC ELECTRIC POWER CO ..... 7,851
121,300 PUGET SOUND ENERGY, INC ....... 2,911
247,700 SONAT, INC .................... 8,205
176,500 TECO ENERGY, INC .............. 4,015
283,900 WILLIAMS COS, INC ............. 12,083
--------------
103,201
--------------
ELECTRONIC AND OTHER ELECTRIC EQUIPMENT--2.33%
132,800 o ADVANCED MICRO DEVICES, INC 2,399
13,800 BALDOR ELECTRIC CO ............ 274
136,600 EMERSON ELECTRIC CO ........... 8,589
17,900 o GLENAYRE TECHNOLOGIES, INC .... 64
804,200 INTEL CORP .................... 47,850
75,200 o MICRON TECHNOLOGY, INC ........ 3,032
36,170 MOLEX, INC .................... 1,338
45,400 o NATIONAL SEMICONDUCTOR CORP ... 1,149
25,400 RAYCHEM CORP .................. 940
39,300 o SENSORMATIC ELECTRONICS CORP .. 548
106,200 o TELLABS, INC .................. 7,175
66,100 TEXAS INSTRUMENTS, INC ........ 9,585
21,300 THOMAS & BETTS CORP ........... 1,006
63,256 o VISHAY INTERTECHNOLOGY, INC ... 1,328
63,400 WHIRLPOOL CORP ................ 4,692
--------------
89,969
--------------
ENGINEERING AND MANAGEMENT SERVICES--0.05%
59,100 DUN & BRADSTREET CORP ......... 2,094
--------------
FABRICATED METAL PRODUCTS--0.18%
169,200 GILLETTE CO ................... 6,937
4,410 MARK IV INDUSTRIES, INC ....... 93
--------------
7,030
--------------
FOOD AND KINDRED PRODUCTS--3.34%
154,300 BESTFOODS, INC ................ 7,638
237,000 CAMPBELL SOUP CO .............. 10,991
690,100 COCA COLA CO .................. 43,131
96,100 COCA COLA ENTERPRISES, INC .... 2,859
110,500 GENERAL MILLS, INC ............ 8,881
214,150 HEINZ (H.J.) CO ............... 10,734
89,200 HERSHEY FOODS CORP ............ 5,296
197,500 KELLOGG CO .................... 6,518
5,800 MCCORMICK & CO, INC (NON-VOTE) 183
418,400 PEPSICO, INC .................. 16,187
105,900 QUAKER OATS CO ................ 7,029
45,714 UNILEVER NV (N.Y.) SHS ........ 3,189
21,790 o VLASIC FOODS INTERNATIONAL, INC 159
72,300 WHITMAN CORP .................. 1,301
56,000 WRIGLEY (WM) JR CO ............ 5,040
--------------
129,136
--------------
FOOD STORES--0.34%
152,658 ALBERTSONS, INC ............... 7,871
137,000 o KROGER CO ..................... 3,827
30,000 o SAFEWAY, INC .................. 1,485
--------------
13,183
--------------
FURNITURE AND FIXTURES--0.20%
165,283 NEWELL RUBBERMAID, INC ........ 7,686
--------------
FURNITURE AND HOMEFURNISHINGS STORES--0.05%
39,194 TANDY CORP .................... 1,916
--------------
GENERAL BUILDING CONTRACTORS--0.03%
28,600 HILLENBRAND INDUSTRIES, INC ... 1,237
--------------
GENERAL MERCHANDISE STORES--1.83%
66,900 DAYTON HUDSON CORP ............ 4,349
1,000 o FEDERATED DEPARTMENT STORES, INC 53
148,600 o K MART CORP ................... 2,443
50,400 MAY DEPARTMENT STORES CO ...... 2,060
60,200 PENNEY, (J.C.) CO, INC ........ 2,923
104,800 SEARS ROEBUCK & CO ............ 4,670
1,126,000 WAL-MART STORES, INC .......... 54,330
--------------
70,828
--------------
HEALTH SERVICES--0.21%
235,755 COLUMBIA/HCA HEALTHCARE CORP .. 5,378
12,408 o LIFEPOINT HOSPITALS, INC ...... 167
123,300 o TENET HEALTHCARE CORP ......... 2,289
12,408 o TRIAD HOSPITALS, INC .......... 168
--------------
8,002
--------------
See notes to financial statements.
32
<PAGE>
SOCIAL CHOICE ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ --------
HOLDING AND OTHER INVESTMENT OFFICES--0.12%
1,000 o AMERCO ........................ $ 23
106,000 WEINGARTEN REALTY INVESTORS, INC 4,426
-------------
4,449
-------------
INDUSTRIAL MACHINERY AND EQUIPMENT--6.07%
48,300 o APPLE COMPUTER, INC ........... 2,237
114,400 o APPLIED MATERIALS, INC ........ 8,451
733,250 o CISCO SYSTEMS, INC ............ 47,150
409,010 COMPAQ COMPUTER CORP .......... 9,688
30,600 CUMMINS ENGINE CO, INC ........ 1,748
106,200 DEERE & CO .................... 4,208
570,600 o DELL COMPUTER CORP ............ 21,112
10,462 DIEBOLD, INC .................. 301
264,400 o EMC CORP ...................... 14,542
50,500 GRACO, INC .................... 1,483
288,500 HEWLETT-PACKARD CO ............ 28,994
473,700 INTERNATIONAL BUSINESS
MACHINES CORP ................ 61,226
19,700 NORDSON CORP .................. 1,207
137,200 PITNEY BOWES, INC ............. 8,815
70,200 o SMITH INTERNATIONAL, INC ...... 3,049
32,438 TIMKEN CO ..................... 633
207,170 TYCO INTERNATIONAL LTD ........ 19,629
-------------
234,473
-------------
INSTRUMENTS AND RELATED PRODUCTS--1.30%
30,800 BAUSCH & LOMB, INC ............ 2,356
152,200 BECTON DICKINSON & CO ......... 4,566
53,500 o BIOMET, INC ................... 2,127
118,800 o BOSTON SCIENTIFIC CORP ........ 5,220
4,833 o GENZYME SURGICAL PRODUCTS ..... 21
126,400 o GUIDANT CORP .................. 6,502
184,300 MEDTRONIC, INC ................ 14,352
9,898 o ST. JUDE MEDICAL, INC ......... 353
249,400 XEROX CORP .................... 14,730
-------------
50,227
-------------
INSURANCE AGENTS, BROKERS AND SERVICE--0.27%
136,020 MARSH & MCLENNAN COS, INC ..... 10,270
-------------
INSURANCE CARRIERS--3.65%
255,306 ALLSTATE CORP ................. 9,159
152,800 AMERICAN GENERAL CORP ......... 11,517
399,917 AMERICAN INTERNATIONAL
GROUP, INC ................... 46,815
202 o BERKSHIRE HATHAWAY, INC
(CLASS A) .................... 13,918
22 o BERKSHIRE HATHAWAY, INC
(CLASS B) .................... 49
49,700 CHUBB CORP .................... 3,454
69,200 CIGNA CORP .................... 6,159
894,978 CITIGROUP, INC ................ 42,511
10,500 o CNA FINANCIAL CORP ............ 423
56,053 CONSECO, INC .................. 1,706
18,200 JEFFERSON-PILOT CORP .......... 1,205
1,400 SAFECO CORP ................... 62
2,400 ST. PAUL COS, INC ............. 76
51,000 TRANSAMERICA CORP ............. 3,825
-------------
140,879
-------------
MISCELLANEOUS MANUFACTURING INDUSTRIES--0.75%
90,150 HASBRO, INC ................... 2,519
126,691 MATTEL, INC ................... 3,349
265,200 MINNESOTA MINING &
MANUFACTURING CO ............. 23,056
-------------
28,924
-------------
MISCELLANEOUS RETAIL--0.35%
84,176 CVS CORP ...................... 4,272
45,950 o TOYS R US, INC ................ 951
278,000 WALGREEN CO ................... 8,166
-------------
13,389
-------------
MOTION PICTURES--1.15%
587,625 o DISNEY (WALT) CO .............. 18,106
356,868 TIME WARNER, INC .............. 26,230
-------------
44,336
-------------
NONDEPOSITORY INSTITUTIONS--2.38%
198,400 AMERICAN EXPRESS CO ........... 25,817
253,400 ASSOCIATES FIRST CAPITAL CORP . 11,229
393,000 FEDERAL NATIONAL MORTGAGE
ASSOCIATION .................. 26,871
231,700 FREDDIE MAC ................... 13,439
232,254 HOUSEHOLD INTERNATIONAL, INC .. 11,003
74,900 SLM HOLDINGS CORP ............. 3,431
-------------
91,790
-------------
OIL AND GAS EXTRACTION--1.79%
220,300 ANADARKO PETROLEUM CORP ....... 8,110
234,200 APACHE CORP ................... 9,134
113,100 o BJ SERVICES CO ................ 3,329
170,300 BURLINGTON RESOURCES, INC ..... 7,365
161,900 HELMERICH & PAYNE, INC ........ 3,855
98,000 MITCHELL ENERGY & DEVELOPMENT
CORP (CLASS A) ............... 1,893
60,200 MITCHELL ENERGY & DEVELOPMENT
CORP (CLASS B) ............... 1,106
150,900 o NABORS INDUSTRIES, INC ........ 3,688
151,947 NOBLE AFFILIATES, INC ......... 4,283
155,866 o NOBLE DRILLING CORP ........... 3,069
155,900 o PARKER DRILLING CO ............ 516
142,600 o ROWAN COS, INC ................ 2,629
451,400 o SANTA FE SNYDER CORP .......... 3,442
126,117 TRANSOCEAN OFFSHORE, INC ...... 3,311
409,815 UNION PACIFIC RESOURCES
GROUP, INC ................... 6,685
59,300 o VASTAR RESOURCES, INC ......... 3,110
93,075 o WEATHERFORD INTERNATIONAL ..... 3,409
-------------
68,934
-------------
PAPER AND ALLIED PRODUCTS--0.44%
155,900 AVERY DENNISON CORP ........... 9,412
143,700 CONSOLIDATED PAPERS, INC ...... 3,844
129,550 SONOCO PRODUCTS CO ............ 3,878
-------------
17,134
-------------
PERSONAL SERVICES--0.06%
125,200 SERVICE CORP INTERNATIONAL .... 2,410
-------------
PETROLEUM AND COAL PRODUCTS--0.22%
156,400 MURPHY OIL CORP ............... 7,634
41,400 WD-40 CO ...................... 1,035
-------------
8,669
-------------
PRIMARY METAL INDUSTRIES--0.18%
76,652 BIRMINGHAM STEEL CORP ......... 316
88,500 NUCOR CORP .................... 4,198
141,650 WORTHINGTON INDUSTRIES, INC ... 2,328
-------------
6,842
-------------
See notes to financial statements.
33
<PAGE>
SOCIAL CHOICE ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ --------
PRINTING AND PUBLISHING--0.73%
24,300 DELUXE CORP ................... $ 946
41,000 DOW JONES & CO, INC ........... 2,176
155,400 GANNETT CO, INC ............... 11,092
11,300 KNIGHT-RIDDER, INC ............ 621
148,200 MCGRAW HILL COS, INC .......... 7,994
38,600 NEW YORK TIMES CO (CLASS A) ... 1,421
20,220 o R.H. DONNELLEY CORP ........... 396
57,700 TIMES MIRROR CO SERIES A ...... 3,419
-------------
28,065
-------------
RAILROAD TRANSPORTATION--0.33%
421,200 NORFOLK SOUTHERN CORP ......... 12,689
-------------
REAL ESTATE--0.01%
20,600 ROUSE CO 523
-------------
RUBBER AND MISCELLANEOUS PLASTIC PRODUCTS--0.47%
24,100 BANDAG, INC ................... 836
117,300 ILLINOIS TOOL WORKS, INC ...... 9,619
121,200 NIKE, INC (CLASS B) ........... 7,673
-------------
18,128
-------------
SECURITY AND COMMODITY BROKERS--0.89%
125,600 MERRILL LYNCH & CO, INC ....... 10,040
167,848 MORGAN STANLEY, DEAN WITTER, & CO 17,204
65,800 SCHWAB (CHARLES) CORP ......... 7,230
-------------
34,474
-------------
STONE, CLAY, AND GLASS PRODUCTS--0.10%
56,200 CORNING, INC .................. 3,941
-------------
TRANSPORTATION BY AIR--0.37%
16,000 o ALASKA AIR GROUP, INC ......... 668
79,900 o AMR CORP ...................... 5,453
37,600 DELTA AIRLINES, INC ........... 2,167
43,100 o FDX CORP ...................... 2,338
99,562 SOUTHWEST AIRLINES CO ......... 3,099
5,618 o U.S. AIRWAYS GROUP, INC ....... 245
2,300 o UAL CORP ...................... 150
-------------
14,120
-------------
TRANSPORTATION EQUIPMENT--0.06%
23,500 FEDERAL-MOGUL CORP ............ 1,222
12,000 FLEETWOOD ENTERPRISES, INC .... 317
21,900 MODINE MANUFACTURING CO ....... 713
-------------
2,252
-------------
TRUCKING AND WAREHOUSING--0.02%
60,000 ARNOLD INDUSTRIES, INC ........ 926
-------------
WHOLESALE TRADE-DURABLE GOODS--0.32%
24,400 AVNET, INC .................... 1,135
191,850 GENUINE PARTS CO .............. 6,715
66,200 GRAINGER (W.W.), INC .......... 3,562
50,900 IKON OFFICE SOLUTIONS, INC .... 764
-------------
12,176
-------------
WHOLESALE TRADE-NONDURABLE GOODS--0.55%
61,180 BERGEN BRUNSWIG CORP (CLASS A) 1,055
83,800 CARDINAL HEALTH, INC .......... 5,374
96,900 ENRON CORP .................... 7,922
66,800 MCKESSON HBOC, INC ............ 2,146
144,800 SYSCO CORP .................... 4,317
25,450 UNISOURCE WORLDWIDE, INC ...... 307
-------------
21,121
-------------
TOTAL COMMON STOCK
(Cost $1,190,921) .............. 2,345,508
-------------
PRINCIPAL
- -----------
SHORT TERM INVESTMENTS--13.84%
COMMERCIAL PAPER--9.57%
AMERICAN STORES CO
$15,000,000 * 5.120%, 07/14/99 ............ 14,968
CONAGRA, INC
20,000,000 * 5.090%, 07/09/99 ............ 19,973
COX COMMUNICATIONS, INC
27,000,000 *~ 5.150%, 07/14/99 ............ 26,943
CVS CORP
4,950,000 *~ 4.900%, 07/07/99 ............ 4,944
25,000,000 *~ 4.940%, 07/12/99 ............ 24,955
14,000,000 *~ 4.940%, 07/14/99 ............ 13,970
DILLARDS, INC
29,595,000 ~ 6.110%, 07/01/99 ............ 29,590
EL PASO NATURAL GAS CO
17,800,000 *~ 5.000%, 07/14/99 ............ 17,762
MCI WORLDCOM, INC
50,000,000 *~ 5.000%, 07/19/99 ............ 49,858
PENNEY (J.C.) FUNDING CORP
30,000,000 *~ 5.260%, 07/22/99 ............ 29,904
PRAXAIR, INC
50,000,000 *~ 4.970%, 07/16/99 ............ 49,880
RYDER SYSTEMS, INC
25,000,000 *~ 4.970%, 07/13/99 ............ 24,951
SONAT, INC
21,900,000 ~ 5.500%, 07/01/99 ............ 21,896
40,000,000 *~ 4.980%, 07/14/99 ............ 39,915
-------------
369,509
-------------
INVESTMENTS OF CASH COLLATERAL FOR SECURITIES
LOANED--4.27%
MEDIUM TERM NOTE
BANKERS TRUST CO
30,000,000 4.940%, 09/14/99 ............ 30,070
REPURCHASE AGREEMENTS
GOLDMAN SACHS & CO
84,927,000 @ 5.200%, DATED 06/30/99,
DUE 07/01/99 ............... 84,939
PRUDENTIAL SECURITIES, INC
50,000,000 @ 5.100%, DATED 04/23/99,
DUE 12/31/99 ............... 50,021
-------------
165,030
-------------
TOTAL SHORT TERM INVESTMENTS
(COST $534,642) ............... 534,539
-------------
TOTAL PORTFOLIO
(COST $3,195,526) ............. $4,323,960
=============
See notes to financial statements.
34
<PAGE>
SOCIAL CHOICE ACCOUNT (CONTINUED)
- -----------------
o Non-income producing
~ Commercial Paper issued under the Private Placement exemption under Section
4(2) of the Securities Act of 1933, as amended.
! Security is exempt from registration under Rule 144A of the Securities Act
of 1933 and may be resold in transactions exempt from registration to
qualified institutional buyers. At June 30, 1999, the value of these
securities amounted to $19,570,600 or 0.51% of net assets.
* All or a portion of these securities have been segregated by the Custodian
to cover securities purchased on a delayed delivery basis.
^ These securities were purchased on a delayed delivery basis.
[] All or a portion of these securities are out on loan.
@ Repurchase agreements are fully collateralized as follows:
MARKET
VALUE COUPON MATURITY
DESCRIPTION PRINCIPAL (000) RATE DATE
------------ ----------- -------- -------- ---------
GOLDMAN SACHS & CO:
U.S. Treasury Bond $10,746,142 $16,408 11.250% 02/15/15
U.S. Treasury Note 74,645,951 70,218 4.750%- 06/30/01-
5.750% 11/15/08
PRUDENTIAL SECURITIES,
INC:
Federal Home Loan 5,894,500 5,924 4.940%- 10/27/00-
Bank 6.005% 01/05/04
Federal Home Loan 5,857,000 5,692 5.150%- 05/16/00-
Mortgage Corp 6.700% 04/29/09
Federal Mortgage Corp 79,600 79 Discount 08/09/99-
Discount Note Notes 09/29/99
Federal National 1,180,000 1,192 5.650%- 04/23/01-
Mortgage Association 6.450% 06/01/01
U.S. Treasury Bond 7,627,600 9,811 8.750%- 08/15/15-
10.625% 05/15/17
U.S. Treasury Note 27,296,700 27,564 4.500%- 01/31/01-
6.250% 02/28/03
U.S. Treasury Strip 2,412,600 738 Zero Coupon 02/15/17-
Bonds 05/15/21
- ------------------
OTHER INFORMATION
The composition of long-term debt holdings as a percentage of total value of
investment in debt securities, is as follows:
MOODY'S RATINGS
AAA, AA, A 25.97%
BAA 10.82%
BA 0.23%
U.S.Government obligations represent 62.98% of the long-term debt portfolio
value and are not reflected in the above ratings.
See notes to financial statements.
35
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENT OF INVESTMENTS--GLOBAL EQUITIES ACCOUNT (UNAUDITED)
JUNE 30, 1999
SUMMARY BY INDUSTRY
(000)
VALUE %
---------- ------
BONDS
CORPORATE BONDS
DEPOSITORY INSTITUTIONS ............... $ 223 0.00%
METAL MINING .......................... 15 0.00
---------- ------
TOTAL CORPORATE BONDS
(Cost $214) ........................... 238 0.00
---------- ------
TOTAL BONDS
(Cost $214) ............................ 238 0.00
---------- ------
PREFERRED STOCK
APPAREL AND OTHER TEXTILE PRODUCTS .... 47 0.00
BUSINESS SERVICES ..................... 2,822 0.04
CHEMICALS AND ALLIED PRODUCTS ......... 5 0.00
ELECTRIC, GAS, AND SANITARY SERVICES .. 1,726 0.03
FABRICATED METAL PRODUCTS ............. 198 0.00
INSURANCE CARRIERS .................... 184 0.00
PRINTING AND PUBLISHING ............... 1,620 0.03
TRANSPORTATION EQUIPMENT .............. 1,749 0.03
---------- ------
TOTAL PREFERRED STOCK
(Cost $5,431) ......................... 8,351 0.13
---------- ------
COMMON STOCK
AGRICULTURAL PRODUCTION-CROPS ......... 362 0.01
AMUSEMENT AND RECREATION SERVICES ..... 8,097 0.12
APPAREL AND ACCESSORY STORES .......... 15,116 0.23
APPAREL AND OTHER TEXTILE PRODUCTS .... 18,582 0.28
AUTO REPAIR, SERVICES AND PARKING ..... 2,714 0.04
AUTOMOTIVE DEALERS AND SERVICE STATIONS 496 0.01
BUILDING MATERIALS AND GARDEN SUPPLIES 54,946 0.82
BUSINESS SERVICES ..................... 426,355 6.40
CHEMICALS AND ALLIED PRODUCTS ......... 656,039 9.85
COMMUNICATIONS ........................ 923,121 13.86
DEPOSITORY INSTITUTIONS ............... 390,092 5.86
EATING AND DRINKING PLACES ............ 57,197 0.86
ELECTRIC, GAS, AND SANITARY SERVICES .. 97,280 1.46
ELECTRONIC AND OTHER ELECTRIC EQUIPMENT 531,451 7.98
ENGINEERING AND MANAGEMENT SERVICES ... 5,297 0.08
FABRICATED METAL PRODUCTS ............. 59,621 0.90
FOOD AND KINDRED PRODUCTS ............. 128,631 1.93
FOOD STORES ........................... 184,406 2.77
FORESTRY .............................. 215 0.00
FURNITURE AND FIXTURES ................ 772 0.01
FURNITURE AND HOMEFURNISHINGS STORES .. 836 0.01
GENERAL BUILDING CONTRACTORS .......... 9,792 0.15
GENERAL MERCHANDISE STORES ............ 155,874 2.34
HEALTH SERVICES ....................... 42,868 0.64
HEAVY CONSTRUCTION, EXCEPT BUILDING ... 19,755 0.30
HOLDING AND OTHER INVESTMENT OFFICES .. 24,113 0.36
HOTELS AND OTHER LODGING PLACES ....... 6,091 0.09
INDUSTRIAL MACHINERY AND EQUIPMENT .... 431,096 6.47
INSTRUMENTS AND RELATED PRODUCTS ...... 237,524 3.56
INSURANCE AGENTS, BROKERS AND SERVICE . 4,078 0.06
INSURANCE CARRIERS .................... 255,813 3.84
LOCAL AND INTERURBAN PASSENGER TRANSIT 30,807 0.46
LUMBER AND WOOD PRODUCTS .............. 70,298 1.05
METAL MINING .......................... 14,261 0.21
MISCELLANEOUS MANUFACTURING INDUSTRIES 4,282 0.06
MISCELLANEOUS RETAIL .................. 32,720 0.49
MOTION PICTURES ....................... 53,940 0.81
NONDEPOSITORY INSTITUTIONS ............ 56,034 0.84
NONMETALLIC MINERALS, EXCEPT FUELS .... 266 0.00
OIL AND GAS EXTRACTION ................ 117,733 1.77
PAPER AND ALLIED PRODUCTS ............. 15,140 0.23
PERSONAL SERVICES ..................... 1,040 0.02
PETROLEUM AND COAL PRODUCTS ........... 257,488 3.87
PIPELINES, EXCEPT NATURAL GAS ......... 400 0.01
PRIMARY METAL INDUSTRIES .............. 182,875 2.75
PRINTING AND PUBLISHING ............... 173,954 2.61
RAILROAD TRANSPORTATION ............... 49,618 0.74
REAL ESTATE ........................... 27,666 0.42
RUBBER AND MISCELLANEOUS PLASTIC PRODUCTS 21,709 0.33
SECURITY AND COMMODITY BROKERS ........ 46,790 0.70
SPECIAL TRADE CONTRACTORS ............. 1,362 0.02
STONE, CLAY, AND GLASS PRODUCTS ....... 124,266 1.87
TEXTILE MILL PRODUCTS ................. 989 0.01
TOBACCO PRODUCTS ...................... 13,676 0.21
TRANSPORTATION BY AIR ................. 23,007 0.35
TRANSPORTATION EQUIPMENT .............. 217,971 3.27
TRANSPORTATION SERVICES ............... 101,477 1.52
TRUCKING AND WAREHOUSING .............. 13,123 0.20
WATER TRANSPORTATION .................. 13,050 0.20
WHOLESALE TRADE-DURABLE GOODS ......... 1,620 0.02
WHOLESALE TRADE-NONDURABLE GOODS ...... 44,305 0.67
---------- ------
TOTAL COMMON STOCK
(COST $5,166,455) ..................... 6,460,497 97.00
---------- ------
SHORT TERM INVESTMENTS
COMMERCIAL PAPER ...................... 46,832 0.70
U.S. GOVERNMENT & AGENCIES ............ 180,889 2.72
---------- ------
TOTAL SHORT TERM INVESTMENTS
(COST $227,792) ....................... 227,721 3.42
---------- ------
TOTAL PORTFOLIO
(Cost $5,399,892) ..................... 6,696,807 100.55
OTHER ASSETS & LIABILITIES, NET ...... (36,384) (0.55)
---------- ------
NET ASSETS .............................. $6,660,423 100.00%
========== ======
See notes to financial statements.
36
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENT OF INVESTMENTS--GLOBAL EQUITIES ACCOUNT (UNAUDITED)
JUNE 30, 1999
SUMMARY BY COUNTRY
VALUE
(000) %
----------- -------
DOMESTIC
UNITED STATES ................... $3,309,767 49.42%
---------- ------
TOTAL DOMESTIC .................... 3,309,767 49.42
---------- ------
FOREIGN
AUSTRALIA ....................... 91,538 1.37
AUSTRIA ......................... 818 0.01
BELGIUM ......................... 12,214 0.18
CANADA .......................... 117,299 1.75
DENMARK ......................... 4,316 0.06
FINLAND ......................... 20,653 0.31
FRANCE .......................... 183,516 2.74
GERMANY ......................... 235,023 3.51
HONG KONG ....................... 70,382 1.05
IRELAND ......................... 14,894 0.22
ITALY ........................... 40,299 0.60
JAPAN ........................... 775,393 11.58
MALAYSIA ........................ 2,103 0.03
NETHERLANDS ..................... 260,452 3.89
NEW ZEALAND ..................... 4,082 0.06
NORWAY .......................... 17,778 0.27
PORTUGAL ........................ 3,468 0.05
SINGAPORE ....................... 31,868 0.48
SOUTH AFRICA .................... 6,027 0.09
SPAIN ........................... 37,278 0.56
SWEDEN .......................... 116,062 1.73
SWITZERLAND ..................... 100,200 1.50
THAILAND ........................ 804 0.01
UNITED KINGDOM .................. 1,012,852 15.13
---------- ------
TOTAL FOREIGN ..................... 3,159,319 47.18
TOTAL SHORT TERM .................. 227,721 3.40
---------- ------
TOTAL PORTFOLIO ................... $6,696,807 100.00%
========== ======
See notes to financial statements.
37
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENT OF INVESTMENTS--GLOBAL EQUITIES ACCOUNT (UNAUDITED)
JUNE 30, 1999
VALUE
PRINCIPAL (000)
--------- ----------
BONDS--0.00%
CORPORATE BONDS--0.00%
DEPOSITORY INSTITUTIONS--0.00%
BANCA INTESA (CV DEB)
$ 35,899(1) 1.600%, 01/01/03 .................... $ 67
MITSU TRUST & BANKING (CV DEB)
32,000,000(2) 0.500%, 10/01/07 .................... 156
-------------
223
-------------
METAL MINING--0.00%
RGC GOLD
37,400 0.000%, 12/31/00 ..................... 15
-------------
TOTAL CORPORATE BONDS
(COST $214) ............................. 238
-------------
TOTAL BONDS
(COST $214) .............................. 238
-------------
- -------------------
(1) Denominated in Italian Lira
(2) Denominated in Japanese Yen
SHARES
------
PREFERRED STOCK--0.13%
APPAREL AND OTHER TEXTILE PRODUCTS--0.00%
350 ESCADA AG. ............................. 47
-------------
BUSINESS SERVICES--0.04%
7,062 [] SAP AG. ................................ 2,822
-------------
CHEMICALS AND ALLIED PRODUCTS--0.00%
213 CIN-CORPARACAO INDUSTRIAL .............. 5
-------------
ELECTRIC, GAS, AND SANITARY SERVICES--0.03%
49,670 o RHEIN-WESTFALEN ELECTRIC AG.
(NON-VOTE) ............................ 1,726
-------------
FABRICATED METAL PRODUCTS--0.00%
700 FRIEDRICH-GROHE AG. .................... 198
-------------
INSURANCE CARRIERS--0.00%
1,014 AETNA, INC SERIES C .................... 75
1,300 AXA COLONIA KONZERN AG. ................ 109
-------------
184
-------------
PRINTING AND PUBLISHING--0.03%
212,691 [] NEWS CORP LTD (LTD-VOTE) ............... 1,620
-------------
TRANSPORTATION EQUIPMENT--0.03%
6,500 o AN AG. ................................. 147
43,330 VOLKSWAGEN AG. ......................... 1,602
-------------
1,749
-------------
TOTAL PREFERRED STOCK
(COST $5,431) ........................... 8,351
-------------
COMMON STOCK--97.00%
AGRICULTURAL PRODUCTION-CROPS--0.01%
51,000 GOLDEN HOPE PLANTATIONS BERHAD ......... 39
8,300 PIONEER-HI-BRED INTERNATIONAL, INC ..... 323
-------------
362
-------------
AMUSEMENT AND RECREATION SERVICES--0.12%
63,052 EMI GROUP PLC .......................... 506
109,029 GRANADA GROUP LTD (CLASS A) ............ 2,023
15,800 o HARRAH'S ENTERTAINMENT, INC............. 348
275,000 HEIWA CORP ............................. 4,953
37,900 TABCORP HOLDINGS LTD ................... 255
2,000 o TOKYO DOME CORP ........................ 12
-------------
8,097
-------------
APPAREL AND ACCESSORY STORES--0.23%
530 DOUGLAS HOLDINGS AG. ................... 24
93,355 GAP, INC ............................... 4,703
76,400 HENNES & MAURITZ AB SERIES B ........... 1,887
187,373 LIMITED, INC ........................... 8,502
-------------
15,116
-------------
APPAREL AND OTHER TEXTILE PRODUCTS--0.28%
5,500 o AOYAMA TRADING CO LTD .................. 174
198,800 BENETTON GROUP S.P.A. .................. 392
90 o DOLLFUS-MIEG & CIE S.A. ................ 1
62,000 GUNZE LTD .............................. 164
140,600 o JONES APPAREL GROUP, INC ............... 4,824
998,000 KURARAY CO LTD ......................... 12,005
2,300 LIZ CLAIBORNE, INC ..................... 84
13,000 ONWARD KASHIYMA CO LTD ................. 143
8,000 o RENOWN, INC ............................ 11
16,000 TOKYO STYLE CO LTD ..................... 172
7,900 VF CORP ................................ 338
26,945 WACOAL CORP ............................ 274
------------
18,582
------------
AUTO REPAIR, SERVICES AND PARKING--0.04%
240,000 o IMPERIAL HOLDINGS LTD .................. 2,386
12,600 RYDER SYSTEM, INC ...................... 328
------------
2,714
------------
AUTOMOTIVE DEALERS AND SERVICE STATIONS--0.01%
1,000 [] AUTOBACS SEVEN CO LTD .................. 49
10,500 CANADIAN TIRE, INC (CLASS A) ........... 305
11,735 LEX SERVICE GROUP LTD .................. 108
44,913 LONHRO AFRICA PLC ...................... 34
------------
496
------------
BUILDING MATERIALS AND GARDEN SUPPLIES--0.82%
43,790 CRH PLC ................................ 777
149,762 HOME DEPOT, INC ........................ 9,650
768,700 LOWES COS, INC ......................... 43,576
3,047 o MEYER INTERNATIONAL PLC ................ 20
2,300 PORTLAND VALDERRIVAS S.A. .............. 72
113,006 WOLSELEY PLC ........................... 851
-------------
54,946
-------------
BUSINESS SERVICES--6.40%
12,494 o ACNEILSEN CORP ......................... 378
1,400 o ADECCO S.A. (REGD) ..................... 750
7,600 ADOBE SYSTEMS, INC ..................... 624
201,436 AMERICA ONLINE, INC .................... 22,259
51,332 AUTOMATIC DATA PROCESSING, INC ......... 2,259
38 See notes to financial statements.
<PAGE>
GLOBAL EQUITIES ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ ----------
BUSINESS SERVICES--(CONTINUED)
20,800 o BMC SOFTWARE, INC ...................... $ 1,123
7,780 [] CAP GEMINI S.A. ........................ 1,223
57,235 COMPUTER ASSOCIATES
INTERNATIONAL, INC .................... 3,148
5,213,000 o CORPORATE SERVICES GROUP PLC ........... 6,985
6,000 CREATIVE TECHNOLOGY LTD ................ 78
3,200 [] CSK CORP ............................... 73
6,667 []oDASSAULT SYSTEMS S.A. .................. 220
150,000 o DATA ADVANTAGE LTD ..................... 379
4,500 o ELECTRONIC ARTS, INC ................... 244
53,392 ELECTRONIC DATA SYSTEMS CORP ........... 3,020
48,762 FIRST DATA CORP ........................ 2,386
10,200 GETRONICS NV ........................... 392
1,000 HAW PAR CORP LTD ....................... 2
8,355,800 HAYS PLC ............................... 88,050
32,200 IMS HEALTH, INC ........................ 1,006
11,100 INTERPUBLIC GROUP OF COS, INC .......... 962
2,300 o ISS INTERNATIONAL SERVICE
SYSTEM AS SERIES B .................... 123
3,588 [] KONAMI CO LTD .......................... 148
11,799 LAGARDERE S.C.A. ....................... 439
3,543,200 LOGICA PLC ............................. 37,141
2,800 MANPOWER, INC .......................... 63
302,000 [] MEITEC CORP ............................ 10,105
6,000 MERKANTILDATA ASA ...................... 58
1,785,640 o MICROSOFT CORP ......................... 161,042
57,130 o MISYS PLC .............................. 489
7,096 NAMCO LTD .............................. 191
28,500 o NET PERCEPTIONS, INC ................... 622
688,900 o NEWBRIDGE NETWORKS CORP ................ 19,549
27,400 o NOVELL, INC ............................ 726
820,280 o ORACLE CORP ............................ 30,453
20,200 o PARAMETRIC TECHNOLOGY CORP ............. 280
15,312 o PEOPLESOFT, INC ........................ 264
2,000 o PITTSTON BRINKS GROUP CO ............... 54
28,350 []o PRICELINE.COM, INC ..................... 3,276
404,500 o PSINET, INC ............................ 17,697
100 RATIN AS (CLASS B) ..................... 12
290,612 RENTOKIL INITIAL PLC ................... 1,134
162,346 RUETERS GROUP PLC ...................... 2,136
3,000 SAP AG. ................................ 1,015
9,700 SECOM CO LTD ........................... 1,010
31,800 SECURITAS AB SERIES B FREE ............. 475
98 o SIEBEL SYSTEMS, INC .................... 6
88,200 SIME DARBY BERHAD ...................... 104
100 SOPHUS BERENDSEN (CLASS B) (NEW) ....... 3
1,020 o SURVEILLANCE S.A. SOCIETE DE ........... 253
6,000 [] TIETO CORP (CLASS B) ................... 250
189,000 TOKYU CORP ............................. 476
3,000 TRANS COSMOS ........................... 218
214,000 WHARF HOLDINGS LTD ..................... 667
10,900 o WHARF HOLDINGS LTD WTS 12/31/99 ........ 10
8,000 WM-DATA AB SERIES B .................... 305
-----------
426,355
-----------
CHEMICALS AND ALLIED PRODUCTS--9.85%
151,775 ABBOTT LABORATORIES CO ................. 6,906
16,720 AGA AB SERIES A FREE ................... 208
8,800 o AGA AB SERIES A RTS .................... 3
7,200 AGA AB SERIES B FREE ................... 89
8,500 AGRIUM, INC ............................ 74
23,600 AIR PRODUCTS & CHEMICALS, INC .......... 950
27,600 AKZO NOBEL NV .......................... 1,161
836,168 AMERICAN HOME PRODUCTS CORP ............ 48,080
133,000 ASAHI CHEMICAL INDUSTRY CO LTD ......... 737
81,492 [] ASTRAZENECA PLC ........................ 3,173
108,724 ASTRAZENECA PLC (U.K.) ................. 4,206
26,400 AVON PRODUCTS, INC ..................... 1,465
63,500 [] BASF AG. ............................... 2,806
74,140 BAYER AG. .............................. 3,089
10,800 BEIERSDORF AG. ......................... 718
45,603 BOC GROUP PLC .......................... 891
753,504 BRISTOL MYERS SQUIBB CO ................ 53,075
32,000 CHUGAI PHARMACEUTICAL CO LTD ........... 345
500 CIN-CORPARACAO INDUSTRIAL DO0
NORTE S.A ............................. 13
13,300 CLOROX CO .............................. 1,421
280,000 COLGATE PALMOLIVE CO ................... 27,650
7,000 o CSL LTD ................................ 60
17,286 DAICEL CHEMICAL INDUSTRIES LTD ......... 64
28,714 DAIICHI PHARMACEUTICAL CO LTD .......... 446
25,000 DAINIPPON INK & CHEMICAL, INC .......... 85
120,000 DENKI KAGKU KOGYO ...................... 263
7,400 DIAL CORP .............................. 275
258,049 DOW CHEMICAL CO ........................ 32,740
498,233 DU PONT (E.I.) DE NEMOURS & CO ......... 34,036
1,600 DYNO ASA ............................... 29
3,175 EASTMAN CHEMICAL CO .................... 164
14,000 EISAI CO LTD ........................... 276
397,400 []o ELAN CORP PLC ADR ...................... 11,028
500 o FABRICA ESP DE PROCUCTO QUIMICO (NEW) .. 6
5,000 FABRICA ESP DE PRODUCTO QUIMICO Y
FARM .................................. 61
30,000 o FANCL CORP ............................. 5,453
6,823 o FMC CORP ............................... 466
331,145 GLAXO WELLCOME PLC ..................... 9,203
25,400 GREENCORE GROUP PLC .................... 79
97,549 IMPERIAL CHEMICAL INDUSTRY PLC ......... 964
129,283 JOHNSON & JOHNSON CO ................... 12,670
12,000 KAKEN PHARMACEUTICAL CO LTD ............ 86
66,000 KANEKA CORP ............................ 622
70,000 KANSAI PAINT CO LTD .................... 215
528,000 KAO CORP ............................... 14,831
13,380 KEMIRA OY .............................. 81
2,657 KISSEI PHARMACEUTICALS CO LTD .......... 53
42,000 KUREHA CHEMICAL INDUSTRY CO LTD ........ 112
44,000 o KYORIN PHARMACEUTICAL CO LTD ........... 1,094
4,877 L'AIR LIQUIDE (REGD) 2001 .............. 767
2,332 o# L'AIR LIQUIDE S.A. (REGD) .............. 367
102,570 LILLY (ELI) & CO ....................... 7,347
35,000 LION CORP .............................. 145
6,364 LOREAL S.A. ............................ 4,302
7,100 LUBRIZOL CORP .......................... 193
500,000 LYONDELL CHEMICAL CO ................... 10,313
15,274 MALLINCKRODT, INC ...................... 556
887,072 * MERCK & CO, INC ........................ 65,643
13,730 MERCK & CO KGAA ........................ 447
142,000 MITSUBISHI CHEMICAL CORP ............... 492
46,000 MITSUBISHI GAS CHEMICAL CO, INC ........ 145
1,000 MITSUI CHEMICAL CORP ................... 6
75,999 MONSANTO CO ............................ 2,997
291,122 MONTEDISON S.P.A. ...................... 474
12,940 NALCO CHEMICAL CORP .................... 671
6,282 NOVARTIS AG. (REGD) .................... 9,173
5,500 NOVO NORDISK AS (CLASS B) .............. 594
11,500 ORICA LTD 63
See notes to financial statements. 39
<PAGE>
GLOBAL EQUITIES ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ ----------
CHEMICALS AND ALLIED PRODUCTS--(CONTINUED)
391,948 [] PFIZER, INC ............................ $ 43,016
18,143 PPG INDUSTRIES, INC .................... 1,072
12,791 PRAXAIR, INC ........................... 626
687,584 PROCTER & GAMBLE CO .................... 61,367
33,250 RHONE-POULENC S.A. (CLASS A) ........... 1,519
50 ROCHE HOLDINGS AG. (BR) ................ 823
2,738 ROCHE HOLDINGS AG. (GENUSSCHEINE) ...... 28,144
17,550 ROHM & HAAS CO ......................... 752
39,100 SANKYO CO LTD .......................... 985
74,288 o SANOFI-SYNTHELABO S.A. ................. 3,153
7,500 SCHERING AG. ........................... 795
821,286 SCHERING-PLOUGH CORP ................... 43,528
1,289,000 SEKISUI CHEMICAL CO LTD ................ 7,476
32,200 SHERWIN-WILLIAMS CO .................... 894
39,255 [] SHIN-ETSU CHEMICAL CO LTD .............. 1,313
68,000 SHIONOGI & CO LTD ...................... 538
512,700 SHISEIDO & CO LTD ...................... 7,684
165,000 o SHOWA DENKO K.K. ....................... 211
500 SIKA FINANZ AG. (BR) ................... 149
507,779 SMITHKLINE BEECHAM/BECKMAN LTD ......... 6,599
67,100 SNIA S.P.A. ............................ 84
8,650 SOLVAY ET CIE S.A. ..................... 574
175,000 [] SUMITOMO CHEMICAL CO LTD ............... 802
281,000 TAISHO PHARMACEUTICAL CO LTD ........... 9,286
452,000 TAKEDA CHEMICAL INDUSTRIES LTD ......... 20,949
2,193,000 TEIJIN LTD ............................. 8,878
144,000 TORAY INDUSTRIES, INC .................. 721
65,000 UBE INDUSTRIES LTD ..................... 140
14,900 UCB S.A. ............................... 638
5,300 UNION CARBIDE CORP ..................... 258
81,081 WARNER-LAMBERT CO ...................... 5,625
21,359 [] WESFARMERS LTD ......................... 192
255,964 [] YAMANOUCHI PHARMACEUTICAL CO LTD ....... 9,791
1,100 o ZODIAC S.A. ............................ 240
------------
656,039
------------
COMMUNICATIONS--13.86%
18,180 []o ALCATEL ................................ 2,559
61 ALLTEL CORP ............................ 4
444,000 o ASIA SATELLITE TELECOMMUNICATIONS
HOLDINGS LTD .......................... 1,044
1,612,560 AT&T CORP .............................. 90,001
87,828 o AT&T CORP-LIBERTY MEDIA GROUP
(CLASS A) ............................. 3,228
58,900 BCE, INC ............................... 2,855
10,318 BCT TELUS COMMUNICATIONS, INC .......... 247
10,139 BCT TELUS COMMunications, INC
(NON-VOTE) ............................ 239
154,863 BELL ATLANTIC CORP ..................... 10,124
209,452 BELLSOUTH CORP ......................... 9,818
112,479 BRITISH SKY BROADCASTING GROUP PLC ..... 1,043
657,983 o BRITISH TELECOMMUNICATIONS PLC ......... 11,025
1,657,817 CABLE & WIRELESS PLC ................... 21,128
2,690 o CANAL PLUS S.A. ........................ 755
2,026 CARLTON COMMUNICATIONS PLC ............. 17
78,684 o CBS CORP ............................... 3,418
233,493 o CLEAR CHANNEL COMMUNICATIONS, INC ...... 16,096
364,000 o COLT TELECOM GROUP PLC ................. 7,637
238,338 [] DEUTSCHE TELEKOM AG. ................... 10,004
405,000 o DIMENSION DATA HOLDINGS LTD ............ 1,792
2,236,300 ERICSSON TELEFON (LM) AB SERIES B ...... 71,676
100,325 FRANCE TELECOM S.A. .................... 7,579
13,000 [] FUJIKURA LTD ........................... 62
122,200 o GLOBAL TELESYSTEMS GROUP, INC .......... 9,898
2,400 [] GN STORE NORD AS-GN GREAT NORDIC ....... 81
3,493,477 HONG KONG TELECOMMUNICATIONS LTD ....... 9,073
588,000 []o IXC COMMUNICATIONS, INC ................ 23,116
46,057 KONINKLIJKE KPN NV ..................... 2,161
75 o LEAP WIRELESS INTERNATIONAL, INC ....... 2
1,713,485 LUCENT TECHNOLOGIES, INC ............... 115,553
924,824 o MCI WORLDCOM, INC ...................... 79,593
115,700 MEDIASET S.P.A. ........................ 1,029
10,100 o NETCOM AB SERIES B ..................... 340
55,600 o NETWORK PLUS CORP ...................... 1,161
353,000 [] NIPPON COMSYS CORP ..................... 5,731
5,216 NIPPON TELEGRAPH & TELEPHONE CORP ...... 60,761
135 [] NTT MOBILE COMMUNICATIONS .............. 1,829
540 o NTT MOBILE COMMUNICATIONS (NEW) ........ 7,227
269,200 []o OLIVETTI GROUP S.P.A. .................. 647
317,200 []o OLIVETTI group S.P.A. RTS .............. 43
1,758,100 o OMNIPOINT CORP ......................... 50,875
14,143 PORTUGAL TELECOM S.A. .................. 575
14,143 o PORTUGAL TELECOM S.A. RTS .............. 0
589,750 o RCN CORP ............................... 24,548
11,300 o ROGERS COMMUNICATIONS, INC (CLASS B) ... 181
1,024,897 SBC COMMUNICATIONS, INC ................ 59,444
456,000 o SINGAPORE TELECOMMUNICATIONS LTD ....... 782
750,500 SMARTONE TELECOMMUNICATIONS
HOLDINGS LTD .......................... 2,670
45,641 SONERA GROUP OYJ ....................... 998
76,548 SPRINT CORP (FON GROUP) ................ 4,043
6,810 SWISSCOM AG. (REGD) .................... 2,563
20 o TCI SATELLITE ENTERTAINMENT (CLASS A) .. 0
797,400 [] TELECOM CORP OF NEW ZEALAND ............ 3,423
413,705 o TELECOM ITALIA ......................... 4,301
742,999 [] TELECOM ITALIA MOBILE S.P.A. ........... 4,437
15,700 TELE DANMARK AS ........................ 773
103,032 o TELEFONICA DE ESPANA S.A. .............. 4,963
174,000 o TELEFONICA PUBLICIDAD E INFORMACION .... 3,472
135,000 TELEKOM MALAYSIA BERHAD ................ 454
495,000 TELEVISION BROADCASTS LTD .............. 2,322
1,329,394 TELSTRA CORP ........................... 7,618
96,400 o TIME WARNER TELECOM, INC ............... 2,796
16,000 o TOKYO BROADCASTING SYSTEMS, INC ........ 231
62,932 o VIACOM, INC (CLASS B) .................. 2,769
1,534 o VIACOM, INC (CLASS B) WTS 07/07/99 ..... 28
367,000 o VIATEL, INC ............................ 20,598
6,159,223 VODAFONE GROUP PLC ..................... 121,360
31,985 o VODAFONE GROUP PLC ADR ................. 6,301
------------
923,121
------------
DEPOSITORY INSTITUTIONS--5.86%
140,331 ABBEY NATIONAL PLC ..................... 2,635
139,194 ABN-AMRO HOLDINGS NV ................... 3,015
97,660 ALLIED IRISH BANK PLC .................. 1,284
45,100 ARGENTARIA, CAJA POSTAL Y BCO HIPOTECA . 1,027
239,514 ASAHI BANK LTD ......................... 1,148
3,000 o ASHIKAGA BANK LTD ...................... 6
398,431 AUSTRALIAN & NEW ZEALAND BANKING
GROUP LTD ............................. 2,930
176,100 BANCA COMMERCIALE ITALIANA S.P.A. ...... 1,286
194,312 [] BANCA INTESA S.P.A. .................... 934
83,600 BANCA INTESA S.P.A. RISP ............... 187
29,000 [] BANCA POPOLARE DI MILANO ............... 224
143,600 o BANCO AMBROSIANO VENETO WTS 05/31/02 ... 153
195,700 BANCO BILBAO VIZCAYA S.A. (REGD) ....... 2,828
19,571 BANCO COMERCIAL PORTUGUES S.A. (REGD) .. 507
40 See notes to financial statements.
<PAGE>
GLOBAL EQUITIES ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ ----------
DEPOSITORY INSTITUTIONS--(CONTINUED)
11,595 BANCO ESPIRITO SANTO E COMERCIAL ....... $ 270
912 BANCO PINTO & SOTTO MAYOR S.A. ......... 16
391,370 BANCO SANTANDER CENTRAL HISPANO S.A. ... 4,077
2,904 BANK AUSTRIA AG. ....................... 153
935,340 BANK OF AMERICA CORP ................... 68,572
157,323 BANK OF EAST ASIA LTD .................. 398
25,000 BANK OF MONTREAL ....................... 904
21,032 BANK OF NEW YORK CO, INC ............... 772
46,992 BANK OF NOVA SCOTIA .................... 1,016
1,186,747 BANK OF TOKYO MITSUBISHI LTD ........... 16,893
130,344 BANK OF YOKOHAMA LTD ................... 335
116,207 BANK ONE CORP .......................... 6,922
277,924 BANKBOSTON CORP ........................ 14,209
22,882 BANQUE NATIONALE DE PARIS .............. 1,907
904,100 BARCLAYS PLC ........................... 26,308
37,650 [] BAYERISCHE HYPO-UND VEREINSBANK AG. .... 2,446
7,100 BPI-SGPS S.A. (REGD) ................... 149
3,192 o BPI-SGPS S.A. (REGD) (BABY SHS) ........ 66
39,560 CANADIAN IMPERIAL BANK OF COMMERCE ..... 938
247,400 CHASE MANHATTAN CORP ................... 21,431
7,460 [] CHIBA BANK LTD ......................... 28
29,000 CHRISTIANIA BANK OG KREDITKASSE ........ 104
29,400 COMERICA, INC .......................... 1,747
50 COMMERZBANK AG. ........................ 2
194,000 COMMONWEALTH BANK OF AUSTRALIA LTD ..... 3,088
24,193 CREDIT SUISSE GROUP (REGD) ............. 4,186
2,000 DAI-ICHI KANGO BANK LTD ................ 13
3,600 DEN DANSKE BANK AF 1871 ................ 390
34,000 DEN NORSKE BANK ASA .................... 112
61,066 DEUTSCHE BANK AG. ...................... 3,725
369,600 DEVELOPMENT BANK OF SINGAPORE
LTD (FR) .............................. 4,516
45,590 DRESDNER BANK AG. ...................... 1,782
87,091 FIRST UNION CORP ....................... 4,093
78,116 FLEET FINANCIAL GROUP, INC ............. 3,466
51,600 FORENINGSSPARBANKEN AB ................. 728
1,604,000 [] FUJI BANK LTD .......................... 11,184
774,500 o GOLDEN STATE BANCORP, INC .............. 17,039
12,044 GOLDEN WEST FINANCIAL CORP ............. 1,180
35,000 GUNMA BANK LTD ......................... 220
196,200 HANG SENG BANK LTD ..................... 2,194
50,000 HIGO FAMILY BANK LTD ................... 204
170,000 [] HOKURIKU BANK LTD ...................... 337
163,144 HSBC HOLDINGS LTD (U.K.) ............... 5,778
29,388 HSBC HOLDINGS PLC ...................... 1,040
69,761 HSBC HOLDINGS PLC (H.K.) ............... 2,544
231,297 [] INDUSTRIAL BANK OF JAPAN LTD ........... 1,834
26,415 JOYO BANK .............................. 103
32,200 KBC BANCASSURANCE HOLDINGS NV .......... 1,909
49,165 KEYCORP ................................ 1,579
497,632 LLOYDS TSB GROUP PLC ................... 6,746
110,800 MALAYAN BANKING BERHAD ................. 299
86,334 MBNA CORP .............................. 2,644
84,800 MERITA LTD ............................. 482
124,000 MITSUBISHI TRUST & BANKING CORP ........ 1,205
61,000 MITSUI TRUST & BANKING CO LTD .......... 97
20,144 MORGAN (J.P.) & CO, INC ................ 2,830
516,900 NATIONAL AUSTRALIA BANK LTD ............ 8,553
15,856 NATIONAL BANK OF CANADA ................ 207
39,984 NATIONAL CITY CORP ..................... 2,619
90,024 OVERSEAS CHINESE BANKING CORP LTD (FR) . 751
248,000 o OVERSEAS UNION BANK LTD (FR) ........... 1,194
16,925 PARIBAS S.A. ........................... 1,897
44,125 PNC BANK CORP .......................... 2,543
26,800 ROYAL BANK OF CANADA ................... 1,177
76,304 ROYAL BANK OF SCOTLAND PLC ............. 1,554
2,539,000 SAKURA BANK LTD ........................ 9,628
475,609 SAN PAOLO-IMI S.P.A. ................... 6,475
4,235 SANWA BANK LTD ......................... 42
45,000 [] SEVENTY-SEVEN (77) BANK LTD ............ 394
69,000 SHIZUOKA BANK LTD ...................... 687
57,100 SKANDINAVISKA ENSKILDA BANKEN
SERIES A .............................. 665
10,758 [] SOCIETE GENERALE S.A. .................. 1,896
9,500 STATE STREET CORP ...................... 811
1,048,200 SUMITOMO BANK LTD ...................... 12,999
12,926 o SUNCORP-METWAY LTD ..................... 77
18,395 SUNTRUST BANKS, INC .................... 1,277
65,700 SVENSKA HANDELSBANKEN SERIES A ......... 788
5,025 o SWISS BANK CORP WTS 06/30/00 (REGD) ... 84
211,000 [] TOKAI BANK LTD ......................... 1,203
56,786 U.S. BANCORP ........................... 1,931
126,574 UBS AG. (REGD) ......................... 37,778
476,200 UNCREDITO ITALIANO S.P.A. .............. 2,092
4,250 UNI BANKDANMARK AS (CLASS A) ........... 284
76,000 UNITED OVERSEAS BANK LTD (FR) .......... 531
6,600 WACHOVIA CORP .......................... 565
43,044 WASHINGTON MUTUAL, INC ................. 1,523
153,773 WELLS FARGO CO ......................... 6,574
843,100 [] WESTPAC BANKING CORP ................... 5,469
34,200 WING LUNG BANK LTD ..................... 133
35,000 YAMAGUCHI BANK LTD ..................... 317
-----------
390,092
-----------
EATING AND DRINKING PLACES--0.86%
600 CBRL GROUP, INC ........................ 10
4,968,710 COMPASS GROUP PLC ...................... 49,264
29,194 DARDEN RESTAURANTS, INC ................ 637
27,830 HOST MARRIOTT CORP (NEW) ............... 330
21,000 o KENTUCKY FRIED CHICKEN BERHAD .......... 24
20,500 MARRIOTT INTERNATIONAL (CLASS A) ....... 766
123,320 MCDONALD'S CORP ........................ 5,095
37,100 o MELCO INTERNATIONAL DEVELOPMENT LTD .... 4
15,000 SKYLARK CO LTD ......................... 322
2,364 SODEXHO ALLIANCE S.A. .................. 407
13,300 o TELEPIZZA S.A. ......................... 69
9 o TRICON GLOBAL RESTAURANTS, INC ......... 0
700 VALORA HOLDINGS AG. (REGD) ............. 161
3,500 VIAD CORP .............................. 108
-----------
57,197
-----------
ELECTRIC, GAS, AND SANITARY SERVICES--1.46%
5,200 AGUAS DE BARCELONA S.A. ................ 271
51 o AGUAS DE BARCELONA S.A. (NEW) .......... 3
24,529 AMERICAN ELECTRIC POWER CO, INC ........ 921
9,000 ANGLIAN WATER PLC ...................... 100
41,588 AUSTRALIA GAS LIGHT CO ................. 253
23,975 BROWNING FERRIS INDUSTRIES, INC ........ 1,031
10,893 CAROLINA POWER & LIGHT CO .............. 466
45,141 CENTRAL & SOUTH WEST CORP .............. 1,055
1 CENTRICA PLC ........................... 0
100 CHUBU ELECTRIC POWER CO, INC ........... 2
1,657,000 CLP HOLDINGS LTD ....................... 8,051
35,763 COASTAL CORP ........................... 1,431
12,376 COLUMBIA ENERGY GROUP .................. 776
18,064 CONSOLIDATED NATURAL GAS CO ............ 1,097
31,733 CONSTELLATION ENERGY GROUP ............. 940
See notes to financial statements. 41
<PAGE>
GLOBAL EQUITIES ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ ----------
ELECTRIC, GAS, AND SANITARY SERVICES--(CONTINUED)
20,818 DOMINION RESOURCES, INC ................ $ 902
31,076 DTE ENERGY CO .......................... 1,243
19,123 DUKE ENERGY CORP ....................... 1,040
62,200 EDISON INTERNATIONAL CO ................ 1,664
63,650 [] EDISON S.P.A. .......................... 551
13,400 EDPERBRASCAN CORP (CLASS A) ............ 203
5,600 ELECTRABEL NV .......................... 1,808
10,950 ELECTRABEL S.A. (STRIP VVPR) ........... 2
44,650 ELECTRICIDADE DE PORTUGAL S.A. ......... 804
93,608 [] ENDESA S.A. ............................ 1,996
1,000 ENTERGY CORP ........................... 31
44,161 FIRSTENERGY CORP ....................... 1,369
9,300 FPL GROUP, INC ......................... 508
13,700 GAS NATURAL SDG S.A. ................... 996
27,163 GPU, INC ............................... 1,146
2,500 GROUPE BRUXELLES LAMBERT S.A. .......... 423
300 HAFSLUND AS SERIES A ................... 2
509,190 HONG KONG & CHINA GAS CO LTD ........... 738
11,949 o HONG KONG & CHINA GAS CO LTD
WTS 09/30/99 .......................... 2
17,565 HYDER PLC .............................. 207
89,274 [] IBERDROLA S.A. ......................... 1,360
2,500 ILLINOVA CORP .......................... 68
76,000 ITALGAS S.P.A. ......................... 319
97,200 KANSAI ELECTRIC POWER CO, INC .......... 1,847
3,000 o KURITA WATER INDUSTRIES LTD ............ 54
203,935 NATIONAL GRID GROUP PLC ................ 1,419
40,160 NATIONAL POWER PLC ..................... 292
6,200 o NIAGARA MOHWAK HOLDINGS, INC ........... 100
32,600 NORTHERN STATES POWER CO ............... 789
208,000 OSAKA GAS CO LTD ....................... 706
1,100 o OESTERREICHISCHE .........
ELEKTRIZITAETSWIRSCHAFTS AG. ......... 160
11,700 PECO ENERGY CO ......................... 490
36,800 PG&E CORP .............................. 1,196
1,100 POTOMAC ELECTRIC POWER CO .............. 32
33,510 PP&L RESOURCES, INC .................... 1,030
3,257 PUBLIC SERVICE ENTERPRISE GROUP, INC ... 133
54,800 RELIANT ENERGY, INC .................... 1,514
942,552 o REPUBLIC SERVICES, INC (CLASS A) ....... 23,328
18,600 o RHEIN-WESTFALEN ELECTRIC AG. (STAMM) ... 861
117,008 SCOTTISH & SOUTHERN ENERGY PLC ......... 1,197
83,889 SCOTTISH POWER PLC ..................... 725
17,700 SEMPRA ENERGY .......................... 400
292,000 SHUN TAK ENTERPRISES CORP LTD .......... 78
23,600 SONAT, INC ............................. 782
35,600 o SOUTHERN CO ............................ 943
15,370 SUEZ LYONNAISE DES EAUX S.A. ........... 2,772
139,000 o TENAGA NASIONAL BERHAD ................. 288
36,493 TEXAS UTILITIES CO ..................... 1,505
72,600 TOHOKU ELECTRIC POWER CO, INC .......... 1,099
128,987 TOKYO ELECTRIC POWER CO, INC ........... 2,723
131,000 TOKYO GAS CO LTD ....................... 323
8,700 TRACTEBEL NV ........................... 1,220
600 o TRACTEBEL NV PUT WTS 11/15/99 .......... 0
37,293 TRANS CANADA PIPELINES LTD ............. 523
11,000 TRANSALTA CORP ......................... 161
26,505 UNICOM CORP ............................ 1,022
32,700 [] UNION ELECTRICA FENOSA S.A. ............ 428
88,705 UNITED UTILITIES PLC ................... 1,078
51,050 [] VEBA AG. ............................... 3,001
2,349 VIAG AG. ............................... 1,110
50,330 VIVENDI S.A. ........................... 4,077
24,394 o VIVENDI S.A. WTS 05/02/01 .............. 65
51,169 o WASTE MANAGEMENT, INC .................. 2,750
8,880 WESTCOAST ENERGY, INC .................. 173
26,000 WILLIAMS COS, INC ...................... 1,107
-----------
97,280
-----------
ELECTRONIC AND OTHER ELECTRIC EQUIPMENT--7.98%
14,889 o ABB LTD ................................ 1,392
15,399 []o ABB LTD (SWITZERLAND) .................. 1,451
5,210 ADVANTEST CORP ......................... 572
5,900 o ALLEGHENY TELEDYNE, INC ................ 133
23,000 ALPS ELECTRIC CO LTD ................... 539
16,400 o AMERICAN POWER CONVERSION CORP ......... 330
10,891 AMSTRAD PLC ............................ 11
900 o BANG & OLUFSEN HOLDINGS AS (CLASS B) ... 57
1,500 BARCO INDUSTRIES NV .................... 241
15,639 BOWTHORPE HOLDINGS PLC ................. 137
41,000 BROTHERS INDUSTRIES LTD ................ 141
7,710 o CONEXANT SYSTEMS, INC .................. 448
5,100 COOPER INDUSTRIES, INC ................. 265
26,121 o DAI NIPPON SCREEN MANUFACTURING
CO LTD ................................ 135
389 o EFACEC CAPITAL WTS 12/12/99 ............ 0
32,419 ELECTROCOMPONENTS PLC .................. 239
34,350 ELECTROLUX AB SERIES B ................. 719
53,000 [] EMAIL LTD .............................. 102
1,500 EMPRESA FABRIL DE MAQUINAS ELECTRICAS .. 9
495 o EMPRESA FABRIL DE MAQUINAS ELECTRICAS
(BABY SHS) ............................ 3
25,300 [] FISHER & PAYKEL INDUSTRIES LTD ......... 80
1,326,000 [] FUJITSU LTD ............................ 26,675
63,000 FURUKAWA ELECTRIC CO LTD ............... 289
1,240,089 GENERAL ELECTRIC CO .................... 140,130
197,939 GENERAL ELECTRIC CO (U.K.) ............. 2,019
347 GROUPE SEB S.A. ........................ 26
12,063 HARRIS CORP ............................ 473
119,700 HIROSE ELECTRIC CO LTD ................. 12,421
2,488,000 [] HITACHI LTD ............................ 23,330
252,000 o HITACHI MAXELL LTD ..................... 5,174
1,208,084 INTEL CORP ............................. 71,881
2,099,700 o JOHNSON ELECTRIC HOLDINGS LTD .......... 8,660
32,743 KONINKLIJKE PHILIPS ELECTRONICS NV ..... 3,230
16,500 KYOCERA CORP ........................... 968
2,083 LEGRAND S.A. ........................... 424
40,000 MALAYSIAN PACIFIC INDUSTRIES BERHAD .... 100
493,000 MATSUSHITA ELECTRIC INDUSTRIAL CO LTD .. 9,572
11,100 MAYTAG CO .............................. 774
18,600 o MICRON TECHNOLOGY, INC ................. 750
176,000 MITSUBISHI ELECTRIC CORP ............... 676
58,837 MOTOROLA, INC .......................... 5,575
292,000 MURATA MANUFACTURING CO LTD ............ 19,203
8,700 NATIONAL SERVICE INDUSTRIES, INC ....... 313
27,356 [] NGK SPARK PLUG CO LTD .................. 281
135,000 [] NIPPON ELECTRIC CORP ................... 1,679
5,000 [] NITTO DENKO CORP ....................... 105
127,500 o NOKIA OYJ .............................. 11,177
845,600 NORTEL NETWORKS CORP ................... 71,985
1,951,000 o OKI ELECTRIC INDUSTRY CO LTD ........... 7,705
338,850 o PERLOS OYJ ............................. 4,962
22,000 PIONEER CORP ........................... 428
14,900 o QUALCOMM, INC .......................... 2,138
37,829 RACAL ELECTRONICS PLC .................. 230
42 See notes to financial statements.
<PAGE>
GLOBAL EQUITIES ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ ----------
ELECTRONIC AND OTHER ELECTRIC EQUIPMENT--(CONTINUED)
11,391 RAYCHEM CORP ........................... $ 421
96,000 ROHM CO ................................ 15,030
208,000 SANYO ELECTRIC CO LTD .................. 845
511,200 SGS-THOMSON MICROELECTRONICS NV ........ 34,057
1,039,000 [] SHARP CORP ............................. 12,275
19,800 SIRTI S.P.A. ........................... 96
111,402 SONY CORP .............................. 12,011
60,000 SUMITOMO ELECTRIC INDUSTRIES CO ........ 682
10,000 TAIYO YUDEN CO LTD ..................... 164
37,918 TEXAS INSTRUMENTS, INC ................. 5,498
131,700 TOKYO ELECTRON CO LTD .................. 8,933
9,000 [] UNIDEN CORP ............................ 91
26,000 VARITRONIX INTERNATIONAL LTD ........... 54
21,000 VENTURE MANUFACTURING LTD (SINGAPORE) .. 162
5,595 WHIRLPOOL CORP ......................... 414
30,016 YAMAHA CORP ............................ 361
-----------
531,451
-----------
ENGINEERING AND MANAGEMENT SERVICES--0.08%
5,828 DUN & BRADSTREET CORP .................. 207
2,400 o EG & G, INC ............................ 86
5,800 OYO CORP ............................... 108
116,000 SEMBCORP INDUSTRIES LTD ................ 184
3,990,000 SINGAPORE TECHNOLOGIES
ENGINEERING LTD ....................... 4,523
11,100 VEDIOR NV-CVA .......................... 189
-----------
5,297
-----------
FABRICATED METAL PRODUCTS--0.90%
2,888,800 [] ASSA ABLOY AB SERIES B ................. 31,260
2,888,800 []o ASSA ABLOY AB SERIES B RTS ............. 612
105,800 BICC LTD ............................... 151
500 BOHLER-UDDEHOLM AG. (BR) ............... 25
6,400 CCL INDUSTRIES, INC (CLASS B) .......... 67
1,673 o COLEP-COMPANHIA PORTUGUESA DE
EMBALAGE .............................. 9
26,000 CROWN CORK & SEAL CO, INC .............. 741
100 FISCHER (GEORGE) LTD (REGD) ............ 33
100,399 GILLETTE CO ............................ 4,116
62,426 GKN PLC ................................ 1,066
51,620 MAGNETI MARELLI ........................ 68
38,900 MASCO CORP ............................. 1,123
8,900 PARKER-HANNIFIN CORP ................... 407
16,400 ROCKWELL INTERNATIONAL CORP ............ 996
38,000 o SANKYO ALUMINIUM INDUSTRY CO LTD ....... 44
9,000 SANWA SHUTTER CORP ..................... 49
148,300 [] SMC CORP ............................... 16,602
12,500 SNAP-ON, INC ........................... 452
7,100 STANLEY WORKS CO ....................... 229
20,000 o TAKARA STANDARD CO ..................... 126
32,000 TOSTEM CORP ............................ 615
29,600 TOYO SEIKAN KAISHA LTD ................. 665
6,600 UNITED DOMINION INDUSTRIES LTD ......... 165
-----------
59,621
-----------
FOOD AND KINDRED PRODUCTS--1.93%
5 o AGRIBRANDS INTERNATIONAL, INC .......... 0
84,000 AJINOMOTO CO LTD ....................... 958
306,512 ANHEUSER BUSCH COS, INC ................ 21,743
42,954 ARCHER DANIELS MIDLAND CO .............. 663
25,000 ASAHI BREWERIES LTD .................... 311
10,900 o ASIA FOOD & PROPERTIES LTD WTS 07/12/02 9
70,025 ASSOCIATED BRITISH FOODS PLC ........... 463
9,103 AZUCARERA EBRO AGRICOLAS S.A. .......... 139
125,366 BASS PLC ............................... 1,819
400 BONGRAIN S.A. .......................... 151
784 o BRAU UND BRUNNEN AG. ................... 52
208,414 CADBURY SCHWEPPES LTD .................. 1,327
21,554 CAMPBELL SOUP CO ....................... 1,000
5,200 o CARLSBERG BREWERIES AS (CLASS A) ....... 210
89,183 COCA COLA AMATIL LTD ................... 359
233,464 COCA COLA CO ........................... 14,592
59,944 CONAGRA, INC ........................... 1,596
10,586 o COTT CORP .............................. 38
4,000 CULTOR OYJ SERIES 1 .................... 74
4,200 CULTOR OYJ SERIES 2 .................... 78
4,900 o DANISCO AS ............................. 221
7,100 DANONE GROUP ........................... 1,831
12,000 DCC PLC ................................ 98
358,309 DIAGEO PLC (CLASS A) ................... 3,742
2,250 o EL AGUILA S.A. ......................... 22
1,637 o ERIDANIA BEGHIN-SAY S.A. ............... 235
28,500 EZAKI GLICO CO LTD ..................... 171
2,036,300 [] FOSTERS BREWING GROUP LTD .............. 5,739
14,000 FRASER & NEAVE LTD ..................... 62
20,156 GENERAL MILLS, INC ..................... 1,620
88,066 GOODMAN FIELDER LTD .................... 79
30,310 HEINEKEN NV ............................ 1,552
44,165 HEINZ (H.J.) CO ........................ 2,214
200 HOLSTEN BRAUEREI AG. ................... 35
17,000 HOUSE FOODS CORP ....................... 251
78,000 o IOI CORP ............................... 45
210,900 ITOEN LTD .............................. 14,113
34,699 o ITOHAM FOODS, INC ...................... 141
12,000 o KATOKICHI CO LTD ....................... 207
19,500 KERRY GROUP (CLASS A) .................. 231
5,000 o KIKKOMAN CORP .......................... 42
92,000 KIRIN BREWERY CO LTD ................... 1,102
56,100 LION NATHAN LTD ........................ 134
8,146 LVMH MOET HENNESSY LOUIS VUITTON ....... 2,385
9,746 o LVMH MOET HENNESSY LOUIS VUITTON RTS ... 285
42,292 MEIJI SEIKA KAISHA LTD ................. 237
5,503 MOLSON CO LTD (CLASS A) ................ 99
13,000 NESTLE MALAYSIA BERHAD ................. 46
3,692 NESTLE S.A. (REGD) ..................... 6,652
59,000 NICHIREI CORP .......................... 156
37,000 NIPPON BEET SUGAR MANUFACTURING
CO LTD ................................ 76
3,000 NIPPON MEAT PACKERS, INC ............... 39
29,000 NIPPON OIL & FATS CO LTD ............... 75
30,000 NIPPON SUISAN KAISHA LTD ............... 47
14,091 NISSIN FOOD PRODUCTS CO LTD ............ 343
9,000 ORKLA AS SERIES A ...................... 140
4,000 ORKLA AS SERIES B ...................... 54
400 OSTERREICHISCHE
BRAU-AKTIENGESELLSCHAF ................ 18
6,900 OYJ HARTWALL ABP ....................... 102
161,900 [] PARMALAT FINANZIARIA S.P.A. ............ 212
476,090 PEPSICO, INC ........................... 18,419
7,736 PERNOD-RICARD S.A. ..................... 519
25,319 o Q.P. CORP .............................. 182
16,673 QUAKER OATS CO ......................... 1,107
21,000 RAISIO GROUP PLC ....................... 195
30,300 RALSTON PURINA CO ...................... 922
850 SAPPORO BREWERIES LTD .................. 4
74,498 SARA LEE CORP .......................... 1,690
See notes to financial statements. 43
<PAGE>
GLOBAL EQUITIES ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ ----------
FOOD AND KINDRED PRODUCTS--(CONTINUED)
36,733 SCOTTISH & NEWCASTLE PLC ............... $ 382
37,000 SEAGRAMS CO LTD ........................ 1,834
2,500 SEAGRAMS CO LTD (U.S.) ................. 126
77,560 SOUTHCORP LTD .......................... 313
34,000 [] TAKARA SHUZO CO LTD .................... 277
14,122 TATE & LYLE PLC ........................ 88
2,800 UNICER-UNIAO CERVEIJEIRA S.A. .......... 55
55,300 UNIGATE PLC ............................ 351
239,000 UNILEVER LTD ........................... 2,127
55,215 UNILEVER NV CERT ....................... 3,721
97,307 UNITED BISCUITS HOLDINGS PLC ........... 293
4,180 VISCOFAN S.A. .......................... 47
2,882,000 WANT WANT HOLDINGS ..................... 5,159
31,000 o YAMAZAKI BAKING CO LTD ................. 385
-----------
128,631
-----------
FOOD STORES--2.77%
44,315 ALBERTSONS, INC ........................ 2,285
21,526 CARREFOUR SUPERMARCHE S.A. ............. 3,163
6,900 [] CASINO GUICHARD-PERRACHON S.A. ......... 605
438 o COLRUYT S.A. ........................... 288
826 DAIRY FARM INTERNATIONAL
HOLDINGS LTD .......................... 1
5,300 DELHAIZE FRERES NV ..................... 451
302,000 ITO-YOKADO CO LTD ...................... 20,210
8,466 JERONIMO MARTINS SGPS S.A. ............. 280
1,921,470 [] KONINKLIJKE AHOLD NV ................... 66,186
73,742 o KROGER CO .............................. 2,060
2,111 PROMODES S.A. .......................... 1,386
28,320 [] RINASCENTE S.P.A. ...................... 214
978,269 o SAFEWAY, INC ........................... 48,424
230,588 SAFEWAY PLC ............................ 924
76,351 SAINSBURY (J) PLC ...................... 481
81,000 SEVEN-ELEVEN JAPAN CO LTD .............. 7,937
11,068,927 TESCO PLC .............................. 28,484
17,000 UNY CO LTD ............................. 256
9,400 WINN DIXIE STORES, INC ................. 347
127,331 [] WOOLWORTHS LTD ......................... 424
-----------
184,406
-----------
FORESTRY--0.00%
2,100 CORTICEIRA AMORIM S.A. ................. 21
7,200 GEORGIA-PACIFIC CORP
(TIMBER GROUP) ........................ 182
10,000 KUALA LUMPUR KEPONG BERHAD ............. 12
-----------
215
-----------
FURNITURE AND FIXTURES--0.01%
16,600 NEWELL RUBBERMAID, INC ................. 772
-----------
FURNITURE AND HO MEFURNISHINGS STORES--0.01%
2,000 SHIMACHU CO ............................ 44
16,200 TANDY CORP ............................. 792
-----------
836
-----------
GENERAL BUILDING CONTRACTORS--0.15%
5,420 AMEC PLC ............................... 22
22,730 BARRATT DEVELOPMENTS LTD ............... 128
6,186 CENTEX CORP ............................ 232
862 []o DAIKYO, INC ............................ 3
23,000 DAITO TRUST CONSTRUCTION CO LTD ........ 257
618,000 DAIWA HOUSE INDUSTRY CO LTD ............ 6,500
34,000 FLETCHER CHALLENGE LTD
(BUILDING DIVISION) ................... 50
148,000 []o FUJITA CORP ............................ 110
38,700 [] LEIGHTON HOLDINGS LTD .................. 151
2,164 [] MISAWA HOMES CO LTD .................... 9
61,000 o OBAYAS HI CORP ......................... 307
55,000 []o SHIMIZU CORP ........................... 214
10,900 SKANSKA AB SERIES B FREE ............... 411
124,000 [] TAISEI CORP ............................ 273
50,700 TAYLOR WOODROW PLC ..................... 146
236,151 o TOLL HOLDINGS LTD ...................... 883
24,071 WILSON (CONNOLLY) HOLDINGS PLC ......... 65
16,500 o YTL CORP BERHAD ........................ 31
-----------
9,792
-----------
GENERAL MERCHANDISE STORES--2.34%
852,700 [] COLES MYER LTD ......................... 4,961
6,216 o CORTEFIEL S.A. ......................... 163
18,900 o COSTCO COS, INC ........................ 1,513
40,281 DAIMARU, INC ........................... 197
76,000 []o DAVID JONES LTD ........................ 74
551,884 DAYTON HUDSON CORP ..................... 35,872
164,000 o GIORDANO INTERNATIONAL LTD ............. 116
10,100 HAGEMEYER NV ........................... 330
2,000 HANKYU DEPARTMENT STORES, INC .......... 13
700 o HUDSONS BAY CO ......................... 8
1,000 ISETAN CO .............................. 9
42,000 JUSCO CO LTD ........................... 763
50,054 o K MART CORP ............................ 823
1,150 o KARSTADT AG. ........................... 553
10,500 KESCO OYJ .............................. 141
170,493 KINGFISHER PLC ......................... 1,962
196,536 MARKS & SPENCER PLC .................... 1,137
47,000 MARUI CO LTD ........................... 777
19,950 MAY DEPARTMENT STORES CO ............... 815
26,000 o METRO AG. .............................. 1,614
50,000 []o MITSUKOSHI LTD ......................... 217
70,200 [] MYCAL CORP ............................. 441
22,510 PENNEY, (J.C.) CO, INC ................. 1,093
12,300 o PINAULT-PRINTEMPS-REDOUTE S.A. ......... 2,111
36,000 RYOHIN KEIKAKU CO LTD .................. 9,056
47,073 SEARS ROEBUCK & CO ..................... 2,098
11,922 o SEIYU LTD .............................. 66
954 SELFRIDGES PLC ......................... 4
3,800 SONAE INVESTIMENTOS-SGPS S.A. .......... 129
6,800 STOCKMANN B FREE ....................... 103
15,000 TAKASHIMAYA CO LTD ..................... 143
3,900 o VENATOR GROUP, INC ..................... 41
1,832,740 WAL-MART STORES, INC ................... 88,430
97,639 WATERFORD WEDGWOOD PLC (UNITS) ......... 101
-----------
155,874
-----------
HEALTH SERVICES--0.64%
59,100 COLUMBIA/HCA HEALTHCARE CORP ........... 1,348
1,600 o HCR MANOR CARE ......................... 39
1,756,100 o HEALTH MANAGEMENT ASSOCIATES, INC
(CLASS A) (NEW) ....................... 19,756
48,051 o HEALTHSOUTH CORP ....................... 718
68 o LIFEPOINT HOSPITALS, INC ............... 1
2,400 MDS, INC (CLASS B) ..................... 52
87 o QUEST DIAGNOSTICS, INC ................. 2
1,128,700 o TENET HEALTHCARE CORP .................. 20,951
68 o TRIAD HOSPITALS, INC ................... 1
-----------
42,868
-----------
HEAVY CONSTRUCTION, EXCEPT BUILDING--0.30%
3,200 []o ACS ACTIVIDADES CONS Y SERV ............ 92
1,065 o ACS ACTIVIDADES CONS Y SERV (NEW) ...... 30
44 See notes to financial statements.
<PAGE>
GLOBAL EQUITIES ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ ----------
HEAVY CONSTRUCTION, EXCEPT BUILDING--(CONTINUED)
82,000 []o AOKI CONSTRUCTION CO LTD ............... $ 52
20,980 [] AUTOPISTAS CONCESIONARIA
ESPANOLA S.A. ......................... 246
20,980 o AUTOPISTAS CONCESIONAIRA
ESPANOLA S.A. RTS ..................... 12
2,086 o BOUYGUES S.A. RTS ...................... 6
5,500 BRISA-AUTO ESTRADAS DE PORTUGAL S.A. ... 227
24,000 DRAGADOS Y CONSTRUCCIONES S.A. ......... 281
2,328 ENGIL-SGPS ............................. 13
5,500 FLUOR CORP ............................. 223
5,400 FOMENTO CONSTRUCCIONES Y
CONTRATAS S.A. ........................ 309
32,000 o GAMUDA BERHAD .......................... 55
2,800 GROUPE GTM ............................. 300
452,100 o GRUPO FERROVIAL ........................ 10,957
10,000 HOCHTIEF AG. ........................... 460
2,753 HOLLANDSCHE BETON GROEP NV (H.B.G.) .... 35
14,000 HONG KONG CONSTRUCTION HOLDINGS ........ 9
2,800 o HONG KONG CONSTRUCTION holdings
WTS 12/31/99 .......................... 0
80,000 o IMPREGILO S.P.A. ....................... 68
39,000 [] JGC CONSTRUCTION CORP .................. 103
78,000 [] KAJIMA CORP ............................ 284
25,000 MAEDA ROAD CONSTRUCTION CO LTD ......... 168
1,900 MCDERMOTT INTERNATIONAL, INC ........... 54
1,146 o MORRISON KNUDSEN CORP WTS 03/11/03 ..... 4
38,000 o NIIGATA ENGINEERING CO LTD ............. 36
47,000 OKUMURA CORP ........................... 175
50,000 []o SATO KOGYO ............................. 42
3,060 SOCIEDADE DE CONSTRUCOES
SOARES DA COS ......................... 10
107,400 o SOCIETE GENERALE DENTERPRISES S.A. ..... 5,206
2,511 o SOMAGUE-SGPS S.A. ...................... 7
2,500 SUPERFOS AS ............................ 34
43,000 []o TOYO ENGINEERING CO .................... 49
4,000 TOYO EXTERIOR CORP ..................... 46
119,000 UNITED INDUSTRIAL CORP ................. 80
900 VA TECHNOLOGIE AG. (BR) ................ 82
-----------
19,755
-----------
HOLDING AND OTHER INVESTMENT OFFICES--0.36%
219,457 ALLIED ZURICH PLC ...................... 2,759
304,200 o BRIERLEY INVESTMENTS LTD ............... 85
100 o CRESCENT REAL ESTATE EQUITIES CO ....... 2
12,900 DROTT AB SERIES B ...................... 105
45,578 EQUITY OFFICE PROPERTIES TRUST ......... 1,168
11,000 EQUITY RESIDENTIAL PROPERTIES
TRUST CO .............................. 496
500 o EURAFRANCE S.A. ........................ 310
1,488,000 HUTCHINSON WHAMPOA LTD ................. 13,473
38,134 LAND SECURITIES PLC .................... 513
265,000 [] LEND LEASE CORP LTD .................... 3,638
36,600 ORIENTAL HOLDINGS ...................... 90
15,600 POWER CORP OF CANADA ................... 297
40,300 o ST. JAMES PLACE CAPITAL PLC ............ 147
65,000 SUMITOMO CORP .......................... 475
556,400 [] UNIONE IMMOBILIARE S.P.A. .............. 247
145,963 WESTFIELD TRUST (UNITS) ................ 295
6,432 o WESTFIELD TRUST (UNITS) (NEW) .......... 13
-----------
24,113
-----------
HOTELS AND OTHER LODGING PLACES--0.09%
4,257 ACCOR S.A. ............................. 1,069
83,400 o CENDANT CORP ........................... 1,710
3,200 []o CLUB MEDITERRANEE S.A.. ................ 340
186,700 o CROWN LTD .............................. 111
3,000 FUJITA KANKO, INC ...................... 29
22,000 GENTING BERHAD ......................... 76
105,407 HILTON GROUP PLC ....................... 418
127,000 o HONG KONG & SHANGHAI HOTELS LTD ........ 108
47,000 o HOTEL PROPERTIES LTD ................... 49
8,000 JURYS HOTEL GROUP PLC .................. 64
118,000 o MIRAMAR HOTEL & INVESTMENT CO LTD ...... 144
36,400 o PARK PLACE ENTERTAINMENT ............... 353
7,859 o PROMUS HOTEL CORP ...................... 244
74,000 o REGAL HOTELS INTERNATIONAL LTD ......... 9
69,000 RESORTS WORLD BERHAD ................... 146
129,200 SHANGRI-LA ASIA LTD .................... 160
13,000 SHANGRI-LA HOTEL LTD ................... 31
5,800 o SOL MELIA S.A. ......................... 245
25,700 STARWOOD HOTELS & RESORTS WORLDWIDE .... 785
-----------
6,091
-----------
INDUSTRIAL MACHINERY AND EQUIPMENT--6.47%
813,600 o 3COM CORP .............................. 21,713
65,000 AMADA CO LTD ........................... 459
18,100 o APPLE COMPUTER, INC .................... 838
40,200 o APPLIED MATERIALS, INC ................. 2,970
18,200 [] ATLAS COPCO AB SERIES B FREE ........... 488
29,142 BAKER HUGHES, INC ...................... 976
6,842 BLACK & DECKER CORP .................... 432
11,100 BRUNSWICK CORP ......................... 309
300 BUDERUS AG. ............................ 120
11,100 CASE CORP .............................. 534
28,300 CATERPILLAR, INC ....................... 1,698
1,457,134 o CISCO SYSTEMS, INC ..................... 93,712
978,000 COMPAQ COMPUTER CORP ................... 23,166
7,741 CUMMINS ENGINE CO, INC ................. 442
22,000 DAIFUKU CO LTD ......................... 154
19,000 o DAIKIN INDUSTRIES LTD .................. 221
14,204 DEERE & CO ............................. 563
18,360 DELTA PLC .............................. 42
13,000 DOVER CORP ............................. 455
6,000 EBARA CORP ............................. 71
534,110 o EMC CORP ............................... 29,376
1,600 o EST ASIATIQUE .......................... 17
13,600 FAG KUGELFISCHER (GEORG) SCHAEFER AG. .. 138
127,200 FANUC LTD .............................. 6,831
137,744 FKI PLC ................................ 426
4,000 FLS INDUSTRIES AS (CLASS B) ............ 104
61,991 FUTURIS CORP LTD ....................... 90
20 o GLOBAL INDUSTRIAL TECHNOLOGIES, INC .... 0
100,064 HEWLETT-PACKARD CO ..................... 10,056
6,000 HITACHI ZOSEN CORP ..................... 7
5,000 o INDUSTRIE-WERKE KARLSRUHE
AUGSBURG AG. .......................... 113
14,613 INGERSOLL-RAND CO ...................... 944
666,698 * INTERNATIONAL BUSINESS MACHINES CORP ... 86,171
62,500 KEPPEL CORP ............................ 213
141,000 KOMATSU LTD ............................ 900
18,000 [] KOMORI CORP ............................ 324
655 KONE CORP SERIES B ..................... 82
44,000 [] KOYO SEIKO CO LTD ...................... 384
131,000 KUBOTA CORP ............................ 392
1,020 LINDE AG. .............................. 611
See notes to financial statements. 45
<PAGE>
GLOBAL EQUITIES ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ ----------
INDUSTRIAL MACHINERY AND EQUIPMENT--6.47%
15,000 MAKITA CORP ............................ $ 170
6,520 METRA CO SERIES B ...................... 138
323,000 [] MINEBEA CO LTD ......................... 3,603
448,000 MITSUBISHI HEAVY INDUSTRIES LTD ........ 1,817
17,000 MORI SEIKI CO LTD ...................... 232
58,600 [] NIDEC CORP ............................. 8,816
55,000 o NSK LTD ................................ 302
309,000 NTN TOYO BEARING CO LTD ................ 1,054
7,513 OKUMA CORP ............................. 35
19,000 OMRON CORP ............................. 330
1,013 RAUMA OY ............................... 12
18,000 SANDVIK AB SERIES A .................... 393
6,100 SANDVIK AB SERIES B FREE ............... 135
190 SCHINDLER HOLDINGS LTD (REGD) .......... 293
27,362 o SEAGATE TECHNOLOGY, INC ................ 701
3,900 SIDEL S.A. ............................. 474
2,674 STORK NV ............................... 61
100 o SULZER WINTERTHUR AG. (REGD) ........... 61
11,600 SVENsKA KULLAGERFABRIKEN AB SERIES B ... 214
293,000 o THK CO LTD ............................. 6,778
3,000 TOMRA SYSTEMS AS ....................... 113
20,100 [] TOYODA AUTOMATIC LOOM WORKS LTD ........ 341
5,000 o TSUGAMI CORP ........................... 12
1,248,030 TYCO INTERNATIONAL LTD ................. 118,251
7,400 VALMET OY SERIES A ..................... 84
36,000 o VAN DER HORST LTD ...................... 18
4,633 ZARDOYA OTIS S.A. ...................... 116
-----------
431,096
-----------
INSTRUMENTS AND RELATED PRODUCTS--3.56%
6,000 ASAHI OPTICAL CO LTD ................... 21
443,941 BAXTER INTERNATIONAL, INC .............. 26,914
19,600 BECTON DICKINSON & CO .................. 588
308,000 CANON, INC ............................. 8,855
5,000 CASIO COMPUTER CO LTD .................. 38
29,000 CITIZEN WATCH CO LTD ................... 252
36,400 EASTMAN KODAK CO ....................... 2,466
712 ESSILOR INTERNATIONAL .................. 223
47,000 FUJI PHOTO FILM CO LTD ................. 1,778
84,500 IMI PLC ................................ 342
23,707,502 INVENSYS PLC ........................... 112,204
14,441 JOHNSON CONTROLS, INC .................. 1,001
79,000 KONICA CORP ............................ 326
1,500 o LITTON INDUSTRIES, INC ................. 108
642,000 NIKON CORP ............................. 10,502
223,000 o NORITSU KOKI CO LTD .................... 9,488
9,410 OCE NV ................................. 240
701,000 OLYMPUS OPTICAL CO LTD ................. 10,361
7,430 OXFORD INSTRUMENTS GROUP PLC ........... 25
1,800 PE CORP-PE BIOSYSTEMS GROUP ............ 207
1,000 o RADIOMETER AS (CLASS B) ................ 49
167,077 RICOH CO LTD ........................... 2,300
687 o SAGEM S.A. ............................. 459
6,300 TEKTRONIX, INC ......................... 190
3,977 [] THE SWATCH GROUP AG. (REGD) ............ 568
71,108 WILLIAMS PLC ........................... 470
799,656 XEROX CORP ............................. 47,230
54,000 YOKOGAWA ELECTRIC CORP ................. 319
-----------
237,524
-----------
INSURANCE AGENTS, BROKERS AND SERVICE--0.06%
76,713 FORTIS B ............................... 2,409
4,662 o FORTIS B CVG ........................... 27
49,446 o FORTIS B NPV (STRIP VVPR) .............. 1
426 GENERALI HOLDING VIENNA ................ 78
20,700 MARSH & MCLENNAN COS, INC .............. 1,563
-----------
4,078
-----------
INSURANCE CARRIERS--3.84%
7,920 o AACHENER & MUNCHENER BETEIL (BR) ....... 805
422,300 [] AEGON NV ............................... 30,639
22 [] AEGON NV ARS ........................... 2
12,700 AETNA, INC ............................. 1,136
34,847 AFLAC, INC ............................. 1,668
29 ALLEANZA ASSICURAZIONI (S/S) ........... 0
24,239 []o ALLIANZ AG. (REGD) ..................... 6,724
437,012 ALLSTATE CORP .......................... 15,678
124,006 AMERICAN INTERNATIONAL GROUP, INC ...... 14,516
534,000 AMP LTD ................................ 5,838
18,150 AON CORP ............................... 749
100,564 ASSICURAZIONI GENERALI S.P.A. .......... 3,485
32,831 AXA .................................... 4,005
666 o AXA CTF DE VALEUR GARANT ............... 5
1,232,330 CAPITAL RE CORP ........................ 19,794
88,854 CGU PLC ................................ 1,284
21,400 CHUBB CORP ............................. 1,487
12,170 CIGNA CORP ............................. 1,083
1,802,185 CITIGROUP, INC ......................... 85,604
1,399 COLONIA KONZERN AG. (REGD) ............. 134
115,046 COLONIAL LTD ........................... 407
1,300 COMPANHIA DE SEGUROS TRANQUILIDADE ..... 33
7,400 CORPORACION MAPFRE S.A. ................ 151
1,000 o FAIRFAX FINANCIAL HOLDINGS LTD ......... 267
45,973 GIO AUSTRALIAN HOLDINGS LTD ............ 112
12,747 HARTFORD FINANCIAL SERVICES
GROUP, INC ............................ 743
393,200 []o INSTITUTO NAZIONALE DELLE
ASSICURAZION .......................... 912
6,700 JEFFERSON-PILOT CORP ................... 443
307,260 LEGAL & GENERAL GROUP PLC .............. 782
33,400 LINCOLN NATIONAL CORP .................. 1,747
3,000 MBIA, INC .............................. 194
1,247,000 METROPOLITAN LIFE LTD .................. 1,849
79,000 MITSUI TAISHO MARINE & FIRE CO LTD ..... 388
7,710 o MUENCHENER RUECKVER AG. (REGD) ......... 1,427
8,710 o MUENCHENER RUECKVER AG. (REGD) (NEW) ... 1,590
68,000 NICHIDO FIRE & MARINE
INSURANCE CO LTD ...................... 350
79,000 NIPPON FIRE & MARINE
INSURANCE CO LTD ...................... 268
16,700 o OXFORD HEALTH PLANS, INC ............... 260
7,300 o PACIFICARE HEALTH SYSTEMS, INC
(CLASS A) ............................. 525
4,200 POHJOLA INSURANCE CO LTD SERIES B ...... 215
218,093 PRUDENTIAL CORP PLC .................... 3,211
444,003 QBE INSURANCE GROUP LTD ................ 1,690
58,400 RAS S.P.A. ............................. 567
82,065 ROYAL & SUN ALLIANCE INSURANCE
GROUP PLC ............................. 736
18,400 SAI S.P.A. ............................. 190
7,200 SAMPO INSURANCE CO SERIES A ............ 209
47,800 SKANDIA FORSAKRINGS AB ................. 894
46 See notes to financial statements.
<PAGE>
GLOBAL EQUITIES ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ ----------
INSURANCE CARRIERS--(CONTINUED)
14,600 ST. PAUL COS, INC ...................... $ 464
18,450 o UNI-STOREBRAND AS SERIES A ............. 124
30,972 SUMITOMO MARINE & FIRE INSURANCE CO .... 187
1,283 o SWISS REINSURANCE ...................... 2,443
1,332,000 TOKIO MARINE & FIRE INSURANCE CO LTD ... 14,471
8,200 TORCHMARK CORP ......................... 280
1,300 o TRANSAMERICA CORP ...................... 98
25,100 UNITED HEALTHCARE CORP ................. 1,572
8,300 UNUM CORP .............................. 454
323,811 XL CAPITAL LTD ......................... 18,295
4,623 ZURICH ALLIED AG. ...................... 2,629
-----------
255,813
-----------
LOCAL AND INTERURBAN PASSENGER TRANSIT--0.46%
1,883 EAST JAPAN RAILWAY CO .................. 10,112
21,986 LAIDLAW, INC ........................... 159
5,732,821 STAGECOACH HOLDINGS PLC ................ 20,536
-----------
30,807
-----------
LUMBER AND WOOD PRODUCTS--1.05%
77,300 CARTER HOLT HARVEY LTD ................. 93
640,000 o CHAMPION ENTERPRISES, INC .............. 11,920
5,900 CLAYTON HOMES, INC ..................... 67
81,060 o FLETCHER CHALLENGE LTD
(FORESTS DIVISION) .................... 46
18,200 GEORGIA-PACIFIC CORP
(PACKAGING GROUP) ..................... 862
18,000 o JAYA TIASA HOLDINGS BERHAD ............. 33
23,000 LOUISIANA PACIFIC CORP ................. 546
2,480,800 o MACMILLAN BLOEDEL LTD .................. 44,165
1,074,900 SEKISUI HOUSE LTD ...................... 11,598
7,000 SUMITOMO FORESTRY CO LTD ............... 54
13,300 WEYERHAEUSER CO ........................ 914
-----------
70,298
-----------
METAL MINING--0.21%
620 ALUSUISSE LONZA HOLDINGS AG. (REGD) .... 723
1,200 BARRICK GOLD CORP ...................... 23
33,900 BARRICK GOLD CORP (U.S.) ............... 657
27,400 []o BATTLE MOUNTAIN GOLD CO ............... 67
2,500 CAMECO CORP ............................ 52
9,000 COMINCO LTD ............................ 151
19,370 CYPRUS AMAX MINERALS CO ................ 294
31,000 o ECHO BAY MINES LTD ..................... 44
3,000 ELKEM AS ............................... 53
4,500 o FREEPORT-MCMORAN COPPER &
GOLD, INC (CLASS A) ................... 75
28,277 o FREEPORT-MCMORAN COPPER &
GOLD, INC (CLASS B) ................... 507
77,109 GREAT CENTRAL MINES LTD ................ 79
25,000 HOMESTAKE MINING CO .................... 205
17,381 INCO LTD CO ............................ 309
3,000 o INCO LTD CO (U.S.) ..................... 54
51,200 JOHNSON MATTHEY PLC .................... 499
42,819 LONMIN PLC ............................. 398
130,658 MIM HOLDINGS LTD ....................... 93
209,000 MITSUBISHI MATERIALS CORP .............. 468
46,000 [] MITSUI MINING & SMELTING CO LTD ........ 238
47,000 o NEWCREST MINING LTD .................... 106
5,800 NEWMONT MINING CORP .................... 115
99,000 NIPPON LIGHT METAL CO LTD .............. 148
17,400 NORANDA, INC ........................... 228
104,880 NORMANDY MINING LTD .................... 70
1,384,306 [] NORTH LTD .............................. 2,804
13,900 OUTOKUMPU OY SERIES A .................. 156
7,800 PHELPS DODGE CORP ...................... 483
26,900 PLACER DOME, INC ....................... 311
59,608 RESOLUTE SAMANTHA LTD .................. 30
10,400 RIO ALGOM LTD .......................... 147
140,900 [] RIO TINTO LTD .......................... 2,310
36,050 RIO TINTO PLC (BR) ..................... 563
49,658 RIO TINTO PLC (REGD) ................... 832
26,390 SMITH (HOWARD) LTD ..................... 202
30,250 SONS OF GWALIA NL ...................... 80
22,000 o SUMITOMO METAL MINING CO LTD ........... 91
6,900 TECK CORP LTD (CLASS B) ................ 59
2,400 UNION MINIERE GROUP S.A. ............... 99
102,000 [] WMC LTD ................................ 438
-----------
14,261
-----------
MISCELLANEOUS MANUFACTURING INDUSTRIES--0.06%
3,000 AMER GROUP LTD PLC SERIES A ............ 43
1,900 o BIC S.A. ............................... 100
32,300 BULGARI S.P.A. ......................... 217
4,200 o CALLAWAY GOLF CO ....................... 61
2,800 INTERNATIONAL GAME TECHNOLOGY CO ....... 52
34,200 MATTEL, INC ............................ 904
32,152 MINNESOTA MINING &
MANUFACTURING CO ...................... 2,795
632 RHI AG. ................................ 17
7,000 [] SEGA ENTERPRISES LTD ................... 93
-----------
4,282
-----------
MISCELLANEOUS RETAIL--0.49%
26,500 []o BARNESANDNOBLE.COM, INC ................ 477
66,527 BOOTS CO LTD ........................... 790
483,605 CVS CORP ............................... 24,543
124,258 GREAT UNIVERSAL STORES PLC ............. 1,377
38,244 NEXT PLC ............................... 464
15,000 o RITE AID CORP .......................... 369
42,275 o STAPLES, INC ........................... 1,308
37,400 o TOYS R US, INC ......................... 774
89,124 WALGREEN CO ............................ 2,618
-----------
32,720
-----------
MOTION PICTURES--0.81%
190,562 o DISNEY (WALT) CO ....................... 5,872
1,272 PATHE S.A. ............................. 153
73,998 RANK GROUP PLC ......................... 294
1,000,000 o SHAW BROTHER LTD (H.K.) ................ 683
630,871 TIME WARNER, INC ....................... 46,369
3,000 TOEI CO ................................ 12
3,810 TOHO CO LTD ............................ 557
-----------
53,940
-----------
NONDEPOSITORY INSTITUTIONS--0.84%
13,000 ACOM CO LTD ............................ 1,122
44,485 AMERICAN EXPRESS CO .................... 5,789
409,212 ASSOCIATES FIRST CAPITAL CORP .......... 18,133
1,300 CORPORACION FINANCIERE ALBA S.A. ....... 210
6,900 COUNTRYWIDE CREDIT INDUSTRIES, INC ..... 295
11,162 CREDIT SAISON CO LTD ................... 233
93,127 FEDERAL NATIONAL MORTGAGE
ASSOCIATION ........................... 6,368
239,531 HALIFAX PLC ............................ 2,858
39,000 HOUSEHOLD INTERNATIONAL, INC ........... 1,848
91,720 [] ING GROEP NV ........................... 4,966
31,637 IRISH LIFE & PERMANENT PLC ............. 334
See notes to financial statements. 47
<PAGE>
GLOBAL EQUITIES ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ ----------
NONDEPOSITORY INSTITUTIONS--(CONTINUED)
57,200 o MEDIOBANCA S.P.A. ...................... $ 599
24,000 NIPPON SHINPAN CO LTD .................. 80
7,000 ORIX CORP .............................. 625
20,972 PROVIDENT FINANCIAL PLC ................ 291
37,861 SCHROEDERS LTD ......................... 773
16,050 SHOHKOH FUND & CO ...................... 11,510
-----------
56,034
-----------
NONMETALLIC MINERALS, EXCEPT FUELS--0.00%
61,100 [] ASHTON MINING LTD ...................... 29
4,600 POTASH CORP OF SASKATCHEWAN, INC ....... 237
-----------
266
-----------
OIL AND GAS EXTRACTION--1.77%
15,300 ALBERTA ENERGY LTD ..................... 489
17,300 o ANDERSON EXPLORATION LTD ............... 226
829,000 APACHE CORP ............................ 32,331
2,086 o BOUYGUES S.A. .......................... 551
6,300 o CANADIAN NATURAL RESOURCES LTD ......... 123
13,490 CANADIAN OCCIDENTAL PETROLEUM LTD ...... 216
34,200 FLETCHER CHALLENGE LTD
(ENERGY DIVISION) ..................... 93
27,700 o GLOBAL MARINE, INC ..................... 428
4,647 GULF CANADA RESOURCES LTD .............. 19
31,669 HALLIBURTON CO ......................... 1,433
10,500 HELMERICH & PAYNE, INC ................. 250
1,654,410 + IHC CALAND NV .......................... 64,835
42,000 IMPERIAL OIL LTD ....................... 795
2,875 KONINKLIJKE PAKHOED HOLDINGS NV ........ 68
59,466 LONDON & SCOTTISH MARINE OIL PLC ....... 136
52,600 OCCIDENTAL PETROLEUM CORP .............. 1,111
700 OMV AKTIENGESELLS AG. .................. 62
680,650 o PETROLEUM GEO-SERVICES AS .............. 10,245
9,500 o POCO PETROLEUM LTD ..................... 76
600 PRIMAGAZ ............................... 53
24,100 o RANGER OIL LTD ......................... 116
9,200 o RENAISSANCE ENERGY LTD ................. 123
3,000 SMEDVIG AS SERIES A .................... 28
13,400 o TALISMAN ENERGY, INC ................... 363
3,200 TECHNIP S.A. ........................... 359
24,740 o TOTAL FINA S.A. ........................ 3,192
15,000 o TULLOW OIL PLC ......................... 12
-----------
117,733
-----------
PAPER AND ALLIED PRODUCTS--0.23%
12,700 ABITIBI CONSOLIDATED, INC .............. 145
235,000 [] AMCOR LTD .............................. 1,306
87,600 o ARJO WIGGINS APPLETON PLC .............. 304
8,700 AVERY DENNISON CORP .................... 525
8,794 BOISE CASCADE CORP ..................... 377
7,040 BUHRMANN NV ............................ 114
87,177 BUNZL PLC .............................. 432
10,800 [] CARTIERE BURGO S.P.A. .................. 69
5,400 CHAMPION INTERNATIONAL CORP ............ 259
16,600 DOMTAR, INC ............................ 156
1,500 EMPRESA NATIONAL DE CELULOSAS S.A. ..... 27
103,900 FLETCHER CHALLENGE LTD (PAPER DIVISION) 78
32,438 FORT JAMES CORP ........................ 1,229
31,629 INTERNATIONAL PAPER CO ................. 1,597
4,500 INVESTIMENTOS PARTICIPACOES E GESTAO ... 36
139,529 JEFFERSON SMURFIT GROUP PLC ............ 327
62,311 KIMBERLY-CLARK CORP .................... 3,552
545 [] MAYR-MELNHOF KARTON AG. ................ 25
4,500 o MEAD CORP .............................. 188
62,000 MITSUBISHI PAPER MILLS LTD ............. 116
43,000 [] NGK INSULATORS LTD ..................... 449
68,000 NIPPON PAPER INDUSTRIES CO ............. 354
2,400 NORSKE SKOGINDUSTRIER SERIES A ......... 88
97,666 OJI PAPER CO LTD ....................... 565
5,944 PORTUCEL INDUSTRIA EMPRESA ............. 33
14,120 RENO DE MEDICI S.P.A. .................. 34
55,600 o REPAP ENTERPRISES, INC ................. 4
68,969 REXAM PLC .............................. 278
18,900 SCA AB SERIES B ........................ 489
8,000 TEMPLE-INLAND, INC ..................... 546
4,100 UNI CHARM CORP ......................... 178
27,000 UPM-KYMMENE OY ......................... 774
5,800 WESTVACO CORP .......................... 168
6,900 WILLAMETTE INDUSTRIES, INC ............. 318
-----------
15,140
-----------
PERSONAL SERVICES--0.02%
17,925 BLOCK (H&R), INC ....................... 896
400 xo LOEWEN GROUP, INC ...................... 0
7,500 o SERVICE CORP INTERNATIONAL ............. 144
-----------
1,040
-----------
PETROLEUM AND COAL PRODUCTS--3.87%
29,501 ATLANTIC RICHFIELD CO .................. 2,465
502,186 BG PLC ................................. 3,067
2,486,327 BP AMOCO PLC ........................... 44,561
51,773 BP AMOCO PLC (SPONS ADR) ............... 5,617
1,033,169 BROKEN HILL PROPRIETARY CO LTD ......... 11,967
63,991 CHEVRON CORP ........................... 6,091
127,000 COSMO OIL CO LTD ....................... 233
27,539 ELF AQUITANE S.A. ...................... 4,041
784,800 [] ENTE NAZIONALE IDROCARBURI S.P.A. ...... 4,686
868,302 EXXON CORP ............................. 66,968
366,496 MOBIL CORP ............................. 36,283
3,400 MURPHY OIL CORP ........................ 166
164,900 NIPPON MITSUBISHI OIL CO ............... 695
12,900 [] NORSK HYDRO AS ......................... 487
21,500 PETRO-CANADA (VARIABLE- Vote) .......... 292
2,400 PETROFINA S.A. ......................... 1,379
84,024 [] REPSOL S.A. ............................ 1,716
728,405 ROYAL DUTCH PETROLEUM CO ............... 42,668
79,775 [] SANTOS LTD ............................. 261
11,000 SUNCOR ENERGY, INC ..................... 449
27,824 TEIKOKU OIL CO LTD ..................... 90
341,000 o TEXACO, INC ............................ 21,313
23,613 UNOCAL CORP ............................ 936
32,465 USX-MARATHON GROUP, INC ................ 1,057
-----------
257,488
-----------
PIPELINES, EXCEPT NATURAL GAS--0.01%
17,562 ENBRIDGE, INC .......................... 400
-----------
PRIMARY METAL INDUSTRIES--2.75%
8,400 ACERINOX S.A. .......................... 246
13,000 ALCAN ALUMINIUM CO LTD ................. 411
6,100 ALCAN ALUMINIUM CO LTD (U.S.) .......... 195
282,090 ALCOA, INC ............................. 17,454
8,492 ASARCO, INC ............................ 160
200 BEKAERT S.A. ........................... 86
2,200 o BETHLEHEM STEEL CORP ................... 17
3,868 o BOLIDEN LTD SDR ........................ 9
187,276 BRITISH STEEL PLC ...................... 485
1,100 CO STEEL, INC .......................... 9
80,000 DAIDO STEEL CO LTD ..................... 127
4,000 o DANIELI & CO ........................... 24
13,396 DOFASCO, INC ........................... 216
48 See notes to financial statements.
<PAGE>
GLOBAL EQUITIES ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ ----------
PRIMARY METAL INDUSTRIES--(CONTINUED)
2,100 ENGELHARD CORP ......................... $ 48
300 FLACK S.P.A. ........................... 2
2,850 GRANGES AB ............................. 48
3,500 HOOGOVENS NEN STAALIADRIEREN NV ........ 183
23,000 o JAPAN METALS & CHEMICALS CO ............ 39
6,000 o JAPAN STEEL WORKS LTD .................. 7
190,000 KAWASAKI STEEL CORP .................... 355
725,040 MANNESMANN AG. ......................... 108,197
625,000 NATIONAL IRON & STEEL MILLS LTD ........ 1,094
599,000 NIPPON STEEL CORP ...................... 1,391
546,000 o NKK CORP ............................... 447
700 NKT HOLDINGS AS ........................ 55
10,519 NUCOR CORP ............................. 499
12,365 PECHINEY S.A. .......................... 532
892,457 PREUSSAG AKTIEGESELLSCHAFT AG. ......... 47,952
13,600 RAUTARUUKKI SERIES K ................... 82
14,280 #o SILVERSTONE BERHAD ..................... 0
18,600 STELCO, INC (CLASS A) .................. 137
361,000 o SUMITOMO METAL INDUSTRIES LTD .......... 450
6,625 SVENSKT STAL AB SERIES A (SSAB) ........ 83
2,450 SVENSKT STAL AB SERIES B ............... 30
43,440 o THYSSEN KRUPP AG. ...................... 956
20,500 TOKYO STEEL MANUFACTURING CO LTD ....... 108
9,900 TRELLEBORG AB SERIES B FREE ............ 87
17,700 []o USINOR ................................. 264
9,800 USX-US STEEL GROUP, INC ................ 265
7,600 WORTHINGTON INDUSTRIES, INC ............ 125
-----------
182,875
-----------
PRINTING AND PUBLISHING--2.61%
7,079 CLONDALKIN GROUP PLC (UNITS) ........... 47
77,000 [] DAI NIPPON PRINTING CO LTD ............. 1,231
17,118 DELUXE CORP ............................ 667
4,900 DONNELLEY (R.R.) & SONS CO ............. 182
13,256 DOW JONES & CO, INC .................... 703
2,780,300 ELSEVIER UTIGEVERSMIJ NV ............... 32,257
38,349 GANNETT CO, INC ........................ 2,737
800 HARLAND (JOHN H.) CO ................... 16
33,144 INDEPENDENT NEWS & MEDIA PLC ........... 159
15,100 MCGRAW HILL COS, INC ................... 814
3,000 o METO AG. ............................... 15
15,000 MONDADORI (ARNOLDO) EDITORE S.P.A. ..... 260
8,100 MOORE CORP LTD ......................... 68
784,803 NEWS CORP LTD .......................... 6,696
190,000 o ORIENTAL PRESS GROUP ................... 31
4,963,180 PEARSON PLC ............................ 100,844
6,500 QUEBECOR, INC (CLASS B) ................ 157
7,700 READER'S DIGEST ASSOCIATION, INC
(CLASS A) (NON-VOTE) .................. 306
116,835 REED INTERNATIONAL PLC ................. 779
4,000 SCHIBSTED ASA .......................... 45
242,977 SINGAPORE PRESS HOLDINGS LTD ........... 4,139
112,000 SOUTH CHINA MORNING POST ............... 63
54,600 THOMSON CORP ........................... 1,642
3,200 TIMES MIRROR CO SERIES A ............... 190
80,000 TOPPAN PRINTING CO LTD ................. 893
205,985 TRIBUNE CO ............................. 17,946
26,792 WOLTERS KLUWER NV ...................... 1,067
-----------
173,954
-----------
RAILROAD TRANSPORTATION--0.74%
182,600 BRAMBLES INDUSTRIES LTD ................ $ 4,810
58,789 BURLINGTON NORTHERN
SANTA FE CORP ......................... 1,822
31,900 CANADIAN PACIFIC LTD ................... 754
9,200 CSX CORP ............................... 417
50,111 HANKYU CORP ............................ 199
66,000 KEIHIN ELECTRIC EXPRESS RAILWAY ........ 218
121,797 [] KINKI NIPPON RAILWAY CO LTD ............ 599
20,185 MAYNE NICKLESS LTD ..................... 69
8,125 [] NAGOYA RAILROAD CO LTD ................. 27
63,990 [] NANKAI ELECTRIC RAILWAY CO ............. 297
67,000 NIPPON EXPRESS CO LTD .................. 401
19,800 o NORFOLK SOUTHERN CORP .................. 596
63,000 [] ODAKYU ELECTRIC RAILWAY CO LTD ......... 211
1,833,073 RAILTRACK GROUP PLC .................... 37,476
15,000 TOBU RAILWAY CO LTD .................... 43
28,800 UNION PACIFIC CORP ..................... 1,679
-----------
49,618
-----------
REAL ESTATE--0.42%
80,937 BRITISH LAND PLC ....................... 677
2,100 o CATELLUS DEVELOPMENT CORP .............. 33
731,000 CHEUNG KONG HOLDINGS LTD ............... 6,501
39,319 o CHINESE ESTATES HOLDINGS
WTS 11/24/99 .......................... 3
39,319 o CHINESE ESTATES HOLDINGS
WTS 11/24/00 .......................... 3
420,000 o CHINESE ESTATES LTD .................... 76
571,225 CITY DEVELOPMENT LTD ................... 3,657
28,000 [] DAIWA KOSHO LEASE CO LTD ............... 123
1,748,000 DBS LAND LTD ........................... 3,491
6,000 DILIGENTIA AB .......................... 47
61,084 o EVERGO CHINA HOLDINGS LTD .............. 1
175,284 GENERAL PROPERTY TRUST ................. 285
64,087 o HAMMERSON PLC .......................... 476
171,000 HANG LUNG DEVELOPMENT CO LTD ........... 212
102,000 o HOPEWELL HOLDINGS LTD .................. 78
102,468 HYSAN DEVELOPMENT CO LTD ............... 155
7,600 METROVACESA ............................ 149
7,600 o METROVACESA RTS ........................ 7
105,000 MITSUBISHI ESTATE CO LTD ............... 1,024
115,000 [] MITSUI FUDOSAN CO LTD .................. 931
763,377 NEW WORLD DEVELOPMENT CO LTD ........... 2,288
35,000 PARKWAY HOLDINGS LTD ................... 86
73,000 SCHRODERS PROPERTY FUND ................ 114
300 SIMCO (REGD) ........................... 25
258,000 SINO LAND CO ........................... 148
89,300 SLOUGH ESTATES PLC ..................... 505
59,001 STOCKLAND TRUST GROUP (UNITS) .......... 135
2,284 o STOCKLAND TRUST GROUP (UNITS) (NEW) .... 5
14,300 STRAITS TRADING CO ..................... 19
658,837 SUN HUNG KAI PROPERTIES LTD ............ 6,008
136,000 TAI CHEUNG HOLDINGS LTD ................ 40
51,000 []o TOKYO TATEMONO CO LTD .................. 118
200 UNIBAIL S.A. ........................... 26
58,200 UNITED OVERSEAS LAND LTD ............... 66
6,900 o URBIS S.A. ............................. 95
6,100 VALLEHERMOSO S.A. ...................... 59
-----------
27,666
-----------
See notes to financial statements. 49
<PAGE>
GLOBAL EQUITIES ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ ----------
RUBBER AND MISCELLANEOUS PLASTIC PRODUCTS--0.33%
2,970 ADIDAS SALOMON AG. ..................... $ 295
3,800 ARMSTRONG WORLD INDUSTRIES, INC ........ 220
484,105 BRIDGESTONE CORP ....................... 14,638
5,720 CONTINENTAL AG. ........................ 136
102 GOODYEAR TIRE & RUBBER CO .............. 6
26,177 ILLINOIS TOOL WORKS, INC ............... 2,147
17,434 MICHELIN S.A. (CLASS B) ................ 713
37,104 NIKE, INC (CLASS B) .................... 2,349
23,000 [] OKAMATO INDUSTRIES, INC ................ 59
197,000 [] PIRELLI S.P.A. ......................... 536
9,400 o SEALED AIR CORP ........................ 610
-----------
21,709
-----------
SECURITY AND COMMODITY BROKERS--0.70%
135,000 DAIWA SECURITIES GROUP, INC ............ 892
46,200 []o DLJDIRECT .............................. 1,363
147,000 ITOCHU CORP ............................ 366
260,000 MARUBENI CORP .......................... 543
26,214 MERRILL LYNCH & CO, INC ................ 2,095
152,000 MITSUBISHI CORP ........................ 1,030
124,000 MITSUI & CO LTD ........................ 865
222,100 MORGAN STANLEY, DEAN WITTER, & CO ...... 22,765
987,000 NOMURA SECURITIES CO LTD ............... 11,555
7,000 OM GRUPPEN AB .......................... 79
18,300 PAINE WEBBER GROUP, INC ................ 856
39,824 SCHWAB (CHARLES) CORP .................. 4,376
275,000 xo YAMAICHI SECURITIES CO LTD ............. 5
-----------
46,790
-----------
SPECIAL TRADE CO NTRACTORS--0.02%
16,250 KANDENKO CO LTD ........................ 100
13,000 KINDEN CORP ............................ 140
19,000 o KYUNDENKO CO LTD ....................... 109
18,046 SCHNEIDER ELECTRIC S.A. ................ 1,013
-----------
1,362
-----------
STONE, CLAY, AND GLASS PRODUCTS--1.87%
4,020 AKER RGI ASA SERIES A .................. 55
100,000 ASAHI GLASS CO LTD ..................... 649
826,176 BORAL LTD .............................. 1,400
106,500 o BPB PLC ................................ 631
2,600 CBR NV ................................. 239
6,000 CEMENTIR S.P.A. ........................ 6
7,708 CIMENTOS DE PORTUGAL ................... 199
20,900 CORNING, INC ........................... 1,466
1,770,600 o CRH PLC ................................ 31,301
117,200 [] CSR LTD ................................ 335
125 DYCKERHOFF AG. ......................... 37
65 EUROC INDUSTRIA AB SERIES A ............ 3
700 GLAVERBEL S.A. ......................... 66
4,822,901 HANSON PLC ............................. 42,839
2,775 HEIDELBERGER ZEMENT AG. ................ 229
56,100 HEPWORTH PLC ........................... 174
821 HOLDERBANK FINANCIERE GLARUS AG. (BR) .. 969
12,000 HOYA CORP .............................. 677
2,600 IMETAL S.A. ............................ 386
53,755 [] INAX CORP .............................. 328
24,100 [] ITALCEMENTI S.P.A. ..................... 306
66,954 JAMES HARDIE INDUSTRIES LTD ............ 177
1,269 LAFARGE S.A. (BR) ...................... 121
7,870 #o LAFARGE S.A. (REGD) 2001 ............... 748
36,000 NIPPON SHEET GLASS CO LTD .............. 128
3,000 NORITAKE CO LTD ........................ 16
11,663 OWENS CORNING CO ....................... 401
146,277 o PILKINGTON PLC ......................... 201
578,300 [] PIONEER INTERNATIONAL LTD .............. 1,474
490,391 RMC GROUP PLC .......................... 7,896
189,518 ST. GOBAIN S.A. ........................ 30,197
96,313 SUMITOMO OSAKA CEMENT CO LTD ........... 187
16,200 TAIHEIYO CEMENT CORP ................... 46
1,154 TARMAC PLC ............................. 2
42,700 [] TOTO LTD ............................... 330
1,800 WIENERBERGER BAUSTOFF AG. .............. 47
-----------
124,266
-----------
TEXTILE MILL PRODUCTS--0.01%
19,951 BBA GROUP PLC .......................... 153
192 o CHARGEURS S.A. ......................... 11
110,053 COATS VIYELLA PLC ...................... 88
19,790 COURTAULDS TEXTILES PLC ................ 51
51,000 KURABO INDUSTRIES LTD .................. 68
7,000 MARZOTTO & FIGLI S.P.A. ................ 54
58,000 NISSHINBO INDUSTRY, INC ................ 264
16,600 o SHAW INDUSTRIES, INC ................... 274
17,000 TOYOBO CO LTD .......................... 26
-----------
989
-----------
TOBACCO PRODUCTS--0.21%
202,777 BRITISH AMERICAN TOBACCO PLC ........... 1,907
38,700 IMASCO LTD ............................. 1,038
239,946 PHILIP MORRIS COS, INC ................. 9,643
50,000 R.J. REYNOLDS BERHAD ................... 53
16,107 [] ROTHMANS HOLDINGS LTD .................. 153
17,000 o ROTHMANS OF PALL MALL BERHAD ........... 116
8,086 SEITA S.A. ............................. 467
14,800 TABACALERA S.A. SERIES A (REGD) ........ 299
-----------
13,676
-----------
TRANSPORTATION BY AIR--0.35%
12,900 o AIR CANADA, INC ........................ 54
155,100 [] ALITALIA S.P.A. ........................ 403
6,580 o ALL NIPPON AIRWAYS CO LTD .............. 20
11,400 o AMR CORP ............................... 778
1,500 AUSTRIAN AIRLINES/OEST LUFTV AG. ....... 36
133,498 BRITISH AIRPORT AUTHORITIES PLC ........ 1,284
15,407 BRITISH AIRWAYS PLC .................... 106
376,000 CATHAY PACIFIC AIRWAYS LTD 577
157,000 o CONTINENTAL AIRLINES, INC (CLASS B) .... 5,907
20,500 DELTA AIRLINES, INC .................... 1,181
46,200 DEUTSCHE LUFTHANSA AG. (REGD) .......... 838
31,772 o FDX CORP ............................... 1,724
1,100 FLUGHAFEN WIEN AG. ..................... 46
3,200 HONG KONG AIRCRAFT ENGINEERING
CO LTD ................................ 6
161,600 [] JAPAN AIRLINES CO LTD .................. 534
8,400 o KLM (ROYAL DUTCH AIRLINES) NV .......... 238
18,600 o RYANAIR HOLDINGS PLC ................... 193
1,500 SAIRGROUP .............................. 314
4,200 [] SAS DANMARK AS ......................... 44
3,000 SAS NORGE ASA SERIES B ................. 27
77,000 o SINGAPORE INTERNATIONAL AIRLINES
LTD (FR) .............................. 733
215,363 SOUTHWEST AIRLINES CO .................. 6,703
166,400 SWIRE PACIFIC LTD (CLASS A) ............ 824
6,895 o U.S. AIRWAYS GROUP, INC ................ 300
2,100 o UAL CORP ............................... 137
-----------
23,007
-----------
50 See notes to financial statements.
<PAGE>
GLOBAL EQUITIES ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ ----------
TRANSPORTATION EQUIPMENT--3.27%
349,200 o ALLIED SIGNAL, INC ..................... $ 22,000
85,277 BOEING CO .............................. 3,768
63,400 BOMBARDIER, INC (CLASS B) .............. 964
18,530 xo BREMER VULKAN AG. ...................... 14
76,920 BRITISH AEROSPACE PLC .................. 499
5,868 o BRITISH AEROSPACE PLC WTS 11/15/00 ..... 103
27,200 CAE, INC ............................... 162
1,500 COBHAM GROUP PLC ....................... 24
16,000 CYCLE & CARRIAGE LTD ................... 92
67,788 DAIMLERCHRYSLER AG. .................... 5,872
263,977 DAIMLERCHRYSLER (U.S.A.) ............... 23,461
66,698 DELPHI AUTOMOTIVE SYSTEMS CORP ......... 1,238
74,600 [] DENSO CORP ............................. 1,516
730,000 o DUCATI MOTOR HOLDING S.P.A. ............ 1,912
9,700 EATON CORP ............................. 892
453,790 []o FIAT S.P.A. ............................ 1,437
15,453 GENERAL DYNAMICS CORP .................. 1,059
62,499 GENERAL MOTORS CORP .................... 4,125
273,400 o GENERAL MOTORS CORP (CLASS H) .......... 15,379
66 o HALTER MARINE GROUP, INC ............... 0
17,651 HARLEY DAVIDSON, INC ................... 960
413,000 HONDA MOTOR CO LTD ..................... 17,504
33,000 INCHAPE MOTORS ......................... 53
6,000 ITT INDUSTRIES, INC .................... 229
141,000 KAWASAKI HEAVY INDUSTRIES LTD .......... 382
6,300 []o KVAERNER INDUSTRIER AS SERIES A 130
30,800 LAIRD GROUP PLC ........................ 128
6,800 MAGNA INTERNATIONAL, INC ............... 383
16,000 o MAN AG. (STAMM) ........................ 546
3,000 o MITSUI ENGINEERING & SHIP
BUILDING CO LTD ....................... 3
7,614 o NAVISTAR INTERNATIONAL CORP ............ 381
1,556,000 NISSAN MOTOR CO LTD .................... 7,430
81,000 ORIENT CORP ............................ 236
6,063 PEUGEOT S.A. ........................... 957
986,000 []o RENAULT S.A. ........................... 42,912
203,109 ROLLS ROYCE LTD ........................ 860
7,000 o SANDEN CORP ............................ 56
7,000 SHIMANO, INC ........................... 166
53,440 SIEMENS AG. ............................ 4,122
213 SMITHS INDUSTRIES PLC .................. 3
1,400 o SPX CORP ............................... 117
19,763 TEXTRON, INC ........................... 1,627
13,158 o THOMSON-CSF ............................ 457
111,080 TI GROUP PLC ........................... 744
1,455,000 TOYOTA MOTOR CORP ...................... 46,040
9,230 TRINITY INDUSTRIES, INC ................ 309
11,559 TRW, INC ............................... 634
51,823 UNITED TECHNOLOGIES CORP ............... 3,715
6,286 []o VALEO S.A. ............................. 519
10,210 VOLKSWAGEN AG. ......................... 654
41,300 VOLVO AB SERIES B FREE ................. 1,197
-----------
217,971
-----------
TRANSPORTATION SERVICES--1.52%
12,722,300 AIRTOURS PLC ........................... 101,474
1,770 o NEW WORLD INFRASTUCTURE LTD ............ 3
-----------
101,477
-----------
TRUCKING AND WAREHOUSING--0.20%
2,000 o CNF TRANSPORTATION, INC ................ 77
12,000 MITSUBISHI LOGISTICS CORP .............. 135
34,000 SEINO TRANSPORTATION CO LTD ............ 202
45,957 TNT POST GROUP NV ...................... 1,097
666,122 [] YAMATO TRANSPORT CO LTD ................ 11,612
-----------
13,123
-----------
WATER TRANSPORTATION--0.20%
3,100 ASKO OYJ SERIES A ...................... 51
6,100 BERGESEN D.Y. AS (CLASS B) ............. 86
472 o BONA SHIPHOLDING LTD ................... 3
67,065 CARNIVAL CORP (CLASS A) ................ 3,253
4,000 CHUAN HUP HOLDINGS LTD ................. 3
1,300 CMB CIE MARITIME BELGE S.A. ............ 55
73 DAMPSKIBSSELSKABET AF 1912
(CLASS B) ............................. 648
50 DAMPSKIBSSELSKABET SVENDBORG
(CLASS B) ............................. 619
2,200 FINNLINES OY ........................... 57
950,000 o FIRST OLSEN TANKERS LTD ................ 5,672
43,200 o HAI SUN HUP WTS 05/10/02 ............... 13
4,500 IRISH CONTINENTAL GROUP PLC ............ 58
33,000 KAMIGUMI CO LTD ........................ 169
22,975 KAWASAKI KISEN KAISHA LTD .............. 50
1,900 KONINKLIJKE NEDLLOYD GROEP NV .......... 47
1,500 LEIF HOEGH & CO ........................ 19
56,000 MALAYSIAN INTERNATIONAL
SHIPPING CO (FR) ...................... 92
123,474 MITSUI OSK LINES LTD ................... 265
29,100 []o NCL HOLDINGS AS ........................ 97
64,200 o NEPTUNE ORIENT LINES LTD ............... 78
131,000 NIPPON YUSEN KABUSHIKI KAISHA .......... 504
56,221 PENINSULAR & ORIENTAL STEAM
NAVIGATION CO ......................... 844
11,800 TIDEWATER, INC ......................... 360
800 UNITOR AS .............................. 7
-----------
13,050
-----------
WHOLESALE TRADE-DURABLE GOODS--0.02%
1,400 o BRIGGS & STRATTON CORP ................. 81
648 DIETEREN S.A. .......................... 299
200 o GENUINE PARTS CO ....................... 7
11,400 GRAINGER (W.W.), INC ................... 613
15,600 IKON OFFICE SOLUTIONS, INC ............. 234
2,630 INSTRUMENTARIUM GROUP SERIES B FREE .... 107
71,000 PACIFIC DUNLOP LTD ..................... 102
4,000 SANRIO CO LTD .......................... 136
4,000 SEIKO CORP ............................. 20
84,000 TAN CHONG INTERNATIONAL LTD ............ 21
-----------
1,620
-----------
WHOLESALE TRADE-NONDURABLE GOODS--0.67%
1,200 AUSTRIA TABAKWERKE AG. ................. 70
589,779 CARDINAL HEALTH, INC ................... 37,816
25,856 ENRON CORP ............................. 2,114
3,000 ESSELTE AB SERIES B FREE ............... 31
25,849 F.H. FAULDING & CO LTD ................. 157
47,500 FYFFES PLC ............................. 103
7,000 IWATANI & CO LTD ....................... 17
26,230 MCKESSON HBOC, INC ..................... 843
29,000 NAGASE & CO ............................ 138
9,750 SOBEYS, INC ............................ 114
25,322 SUPERVALU, INC ......................... 650
43,770 SWEDISH MATCH CO ....................... 156
22,700 SYSCO CORP 677
228,000 THAI UNION FROZEN PRODUCTS (FR) ........ 804
3,700 URALITA S.A. ........................... 31
13,300 WESTON (GEORGE) LTD .................... 584
-----------
44,305
-----------
TOTAL COMMON STOCK
(COST $5,166,455) ........................ 6,460,497
-----------
See notes to financial statements. 51
<PAGE>
GLOBAL EQUITIES ACCOUNT (CONTINUED)
VALUE
PRINCIPAL (000)
--------- ----------
SHORT TERM INVESTMENTS--3.42%
COMMERCIAL PAPER--0.70%
CARGILL GLOBAL FUNDING PLC
$10,000,000 ~ 4.760%, 07/06/99 ...................... $ 9,990
FORD MOTOR CREDIT CO
12,000,000 5.350%, 07/02/99 ...................... 11,996
PFIZER, INC
12,000,000 ~ 5.100%, 07/01/99 ...................... 11,998
TEXAS UTILITIES CO
12,900,000 ~ 5.040%, 07/27/99 ...................... 12,848
----------
46,832
----------
U.S. GOVERNMENT & AGENCIES--2.72%
FEDERAL HOME LOAN BANK
6,000,000 5.010%, 08/25/99 ...................... 5,953
FEDERAL HOME LOAN MORTGAGE CORP
2,150,000 4.780%, 07/09/99 ...................... 2,147
24,000,000 5.000%, 07/09/99 ...................... 23,971
1,500,000 4.720%, 07/13/99 ...................... 1,497
500,000 4.700%, 07/14/99 ...................... 499
4,500,000 4.760%, 07/14/99 ...................... 4,492
2,560,000 4.720%, 07/30/99 ...................... 2,549
14,000,000 * 4.850%, 08/09/99 ...................... 13,922
13,407,000 4.860%, 08/12/99 ...................... 13,327
7,000,000 4.800%, 08/18/99 ...................... 6,952
51,000,000 * 5.070%, 09/09/99 ...................... 50,495
16,850,000 * 4.970%, 09/10/99 ...................... 16,681
13,000,000 * 5.000%, 09/16/99 ...................... 12,859
FEDERAL NATIONAL MORTGAGE ASSOCIATION
1,000,000 4.710%, 07/07/99 ...................... 999
14,000,000 * 4.800%, 08/24/99 ...................... 13,893
11,000,000 * 4.820%, 02/04/00 ...................... 10,653
----------
180,889
----------
TOTAL SHORT TERM INVESTMENTS
(COST $227,792) .......................... 227,721
----------
TOTAL PORTFOLIO
(COST $5,399,892) ........................ $6,696,807
==========
o Non-income producing
+ Affiliated holding
x In bankruptcy
~ Commercial Paper issued under the Private Placement exemption under Section
4(2) of the Securities Act of 1933, as amended.
* All or a portion of these securities have been segregated by the Custodian to
cover securities purchased on a delayed delivery basis.
[]All or a portion of these securities are out on loan.
# Restricted Securities-Investment in securities not registered under the
Securities Act of 1933 or not publicly traded in foreign markets. At June 30,
1999, the value of these securities amounted to $1,115,239 or 0.02% of net
assets.
Additional information on each restricted security is as follows:
ACQUISITION ACQUISITION
SECURITY DATE COST
- -------- ----------- -----------
LAFARGE S.A. (REGD) 2001 01/05/99 $ 690,524
L'AIR LIQUIDE S.A. (REGD) 10/29/96 318,656
SILVERSTONE BERHAD 01/08/98 804
----------
$1,009,984
==========
52 See notes to financial statements.
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
TRANSACTIONS WITH AFFILIATED COMPANIES -- GLOBAL EQUITIES ACCOUNT (UNAUDITED)
JANUARY 1, 1999 -- JUNE 30, 1999
<TABLE>
<CAPTION>
VALUE AT REALIZED DIVIDEND SHARES AT VALUE AT
ISSUE DECEMBER 31, 1998 PURCHASE COST SALES PROCEEDS GAIN (LOSS) INCOME JUNE 30, 1999 JUNE 30, 1999
----- ----------------- ------------- -------------- ----------- ---------- ------------- -------------
<S> <C> <C> <C> <C> <C> <C> <C>
IHC CALAND NV $ 97,814,831 $0 $ 26,366,678 $ 10,950,570 $ 1,777,208 1,654,41 $64,835,335
------------ -- ------------ ------------ ----------- -----------
TOTAL AFFILIATED TRANSACTION $ 97,814,831 $0 $ 26,366,678 $ 10,950,570 $ 1,777,208 $64,835,335
============ == ============ ============ =========== ===========
</TABLE>
See notes to financial statements. 53
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENT OF INVESTMENTS--GROWTH ACCOUNT (UNAUDITED)
JUNE 30, 1999
SUMMARY BY INDUSTRY
(000)
VALUE %
------ ------
BONDS
CORPORATE BONDS
AUTOMOTIVE DEALERS AND SERVICE STATIONS $ 7 0.00%
-------- ----
TOTAL CORPORATE BONDS
(COST $8) ..................................... 7 0.00
-------- ----
TOTAL BONDS
(COST $8) 7 0.00
-------- ----
PREFERRED STOCK
HOLDING AND OTHER INVESTMENT OFFICES .......... 11 0.00
INSTRUMENTS AND RELATED PRODUCTS .............. 0 0.00
INSURANCE CARRIERS ............................ 270 0.01
RUBBER AND MISCELLANEOUS
PLASTIC PRODUCTS ............................. 243 0.00
-------- ----
TOTAL PREFERRED STOCK
(COST $424) ................................... 524 0.01
-------- ----
COMMON STOCK
AGRICULTURAL PRODUCTION-CROPS ................. 2,943 0.03
AGRICULTURAL SERVICES ......................... 264 0.00
AMUSEMENT AND RECREATION SERVICES ............. 244,527 2.39
APPAREL AND ACCESSORY STORES .................. 29,892 0.29
APPAREL AND OTHER TEXTILE PRODUCTS ............ 2,771 0.03
AUTO REPAIR, SERVICES AND PARKING ............. 975 0.01
AUTOMOTIVE DEALERS AND SERVICE STATIONS ....... 3,770 0.04
BUILDING MATERIALS AND GARDEN SUPPLIES ........ 54,840 0.54
BUSINESS SERVICES ............................. 1,307,135 12.80
CHEMICALS AND ALLIED PRODUCTS ................. 1,435,251 14.06
COMMUNICATIONS ................................ 1,627,617 15.95
DEPOSITORY INSTITUTIONS ....................... 72,111 0.71
EATING AND DRINKING PLACES .................... 27,528 0.27
EDUCATIONAL SERVICES .......................... 1,951 0.02
ELECTRIC, GAS, AND SANITARY SERVICES .......... 304,657 2.98
ELECTRONIC AND OTHER ELECTRIC EQUIPMENT ....... 1,240,990 12.15
ENGINEERING AND MANAGEMENT SERVICES ........... 7,471 0.07
FABRICATED METAL PRODUCTS ..................... 37,157 0.36
FOOD AND KINDRED PRODUCTS ..................... 245,641 2.41
FOOD STORES ................................... 114,656 1.12
FURNITURE AND FIXTURES ........................ 7,117 0.07
FURNITURE AND HOMEFURNISHINGS STORES .......... 20,410 0.20
GENERAL BUILDING CONTRACTORS .................. 1,017 0.01
GENERAL MERCHANDISE STORES .................... 96,036 0.94
HEALTH SERVICES ............................... 48,804 0.48
HEAVY CONSTRUCTION, EXCEPT BUILDING ........... 790 0.01
HOLDING AND OTHER INVESTMENT OFFICES .......... 4,387 0.04
HOTELS AND OTHER LODGING PLACES ............... 11,058 0.11
INDUSTRIAL MACHINERY AND EQUIPMENT ............ 1,376,685 13.48
INSTRUMENTS AND RELATED PRODUCTS .............. 252,971 2.48
INSURANCE AGENTS, BROKERS AND SERVICE ......... 1,058 0.01
INSURANCE CARRIERS ............................ 116,931 1.15
LEATHER AND LEATHER PRODUCTS .................. 509 0.01
LEGAL SERVICES ................................ 144 0.00
LOCAL AND INTERURBAN PASSENGER TRANSIT ........ 190 0.00
LUMBER AND WOOD PRODUCTS ...................... 1,419 0.01
METAL MINING .................................. 1,943 0.02
MISCELLANEOUS MANUFACTURING
INDUSTRIES ................................... 14,203 0.14
MISCELLANEOUS RETAIL .......................... 43,965 0.43
MOTION PICTURES ............................... 47,426 0.46
NONDEPOSITORY INSTITUTIONS .................... 141,921 1.39
OIL AND GAS EXTRACTION ........................ 22,625 0.22
PAPER AND ALLIED PRODUCTS ..................... 21,283 0.21
PERSONAL SERVICES ............................. 7,054 0.07
PETROLEUM AND COAL PRODUCTS ................... 173 0.00
PRIMARY METAL INDUSTRIES ...................... 1,977 0.02
PRINTING AND PUBLISHING ....................... 17,836 0.17
RAILROAD TRANSPORTATION ....................... 3,737 0.04
REAL ESTATE 1,075 0.01
RUBBER AND MISCELLANEOUS
PLASTIC PRODUCTS ............................. 84,069 0.82
SECURITY AND COMMODITY BROKERS ................ 28,105 0.28
SOCIAL SERVICES ............................... 327 0.01
SPECIAL TRADE CONTRACTORS ..................... 154 0.00
STONE, CLAY, AND GLASS PRODUCTS ............... 10,034 0.10
TEXTILE MILL PRODUCTS ......................... 1,449 0.01
TOBACCO PRODUCTS .............................. 122,847 1.20
TRANSPORTATION BY AIR ......................... 2,281 0.02
TRANSPORTATION EQUIPMENT ...................... 270,431 2.65
TRANSPORTATION SERVICES ....................... 2,852 0.03
TRUCKING AND WAREHOUSING ...................... 1,312 0.01
WATER TRANSPORTATION .......................... 129,797 1.27
WHOLESALE TRADE-DURABLE GOODS ................. 4,473 0.04
WHOLESALE TRADE-NONDURABLE GOODS .............. 177,366 1.74
----------- -----
TOTAL COMMON STOCK
(Cost $7,815,719) .............................. 9,862,388 96.59
----------- -----
SHORT TERM INVESTMENTS
CERTIFICATES OF DEPOSIT ........................ 11,494 0.11
COMMERCIAL PAPER ............................... 224,960 2.20
U.S. GOVERNMENT & AGENCIES ..................... 59,094 0.58
----------- -----
TOTAL SHORT TERM INVESTMENTS
(Cost $295,738) ................................ 295,548 2.89
----------- -----
TOTAL PORTFOLIO
(Cost $8,111,889) .............................. 10,158,467 99.49
OTHER ASSETS & LIABILITIES, NET ............. 51,730 0.51
----------- ------
NET ASSETS ...................................... $10,210,197 100.00%
=========== ======
54 See notes to financial statements.
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENT OF INVESTMENTS--GROWTH ACCOUNT (UNAUDITED)
JUNE 30, 1999
VALUE
PRINCIPAL (00)
--------- ------
BONDS--0.00%
CORPORATE BONDS--0.00%
AUTOMOTIVE DEALERS AND SERVICE STATIONS--0.00%
$6,500 o UGLY DUCKLING CORP (SUB DEB)
12.000% 10/23/03 .................... $ 7
---------
TOTAL CORPORATE BONDS
(COST $8) .............................. 7
---------
TOTAL BONDS
(COST $8) .............................. 7
---------
SHARES
--------
PREFERRED STOCK--0.01%
HOLDING AND OTHER INVESTMENT OFFICES--0.00%
264 SUPERIOR TRUST I SERIES A ............. 11
---------
INSTRUMENTS AND RELATED PRODUCTS--0.00%
32,800 o FRESENIUS MEDICAL CARE (CLASS D) ...... 0
---------
INSURANCE CARRIERS--0.01%
3,640 AETNA, INC SERIES C ................... 270
---------
RUBBER AND MISCELLANEOUS PLASTIC PRODUCTS--0.00%
3,895 SEALED AIR CORP (CLASS A) ............. 243
---------
TOTAL PREFERRED STOCK
(COST $424) ............................ 524
---------
COMMON STOCK--96.59%
AGRICULTURAL PRODUCTION-CROPS--0.03%
100 o AGRITOPE, INC ......................... 0
7,300 DELTA & PINE LAND CO .................. 230
69,684 PIONEER-HI-BRED INTERNATIONAL, INC .... 2,713
---------
2,943
---------
AGRICULTURAL SERVICES--0.00%
15,100 o CADIZ, INC ............................ 143
8,900 o VETERINARY CENTERS OF AMERICA, INC .... 121
---------
264
---------
AMUSEMENT AND RECREATION SERVICES--2.39%
1,200 o AMERICAN SKIING CO .................... 5
2,395 o ANCHOR GAMING CO ...................... 115
5,300 o BALLY TOTAL FITNESS HOLDINGS CORP ..... 150
3,000 o CHAMPIONSHIP AUTO RACING TEAMS, INC ... 90
2,400 CHURCHILL DOWNS, INC .................. 83
44,400 o HARRAH'S ENTERTAINMENT, INC ........... 977
4,000 o INTERNATIONAL SPEEDWAY CORP (CLASS A) . 190
500 o MALIBU ENTERTAINMENT WORLDWIDE, INC ... 1
100 o PENN NATIONAL GAMING, INC ............. 1
3,300,014 o PREMIER PARKS, INC .................... 121,276
1,890,050 o SFX ENTERTAINMENT, INC (CLASS A) ...... 120,963
1,700 o SPEEDWAY MOTORSPORTS, INC ............. 67
6,600 o STATION CASINOS, INC .................. 134
13,300 o WESTWOOD ONE, INC ..................... 475
---------
244,527
---------
APPAREL AND ACCESSORY STORES--0.29%
46,954 o ABERCROMBIE & FITCH CO (CLASS A) ...... 2,254
12,700 o AMERICAN EAGLE OUTFITTERS, INC ........ 578
2,100 o BUCKLE, INC ........................... 60
5,700 o CHILDRENS PLACE RETAIL STORES ......... 231
18,747 CLAIRES STORES, INC ................... 480
9,400 o FINISH LINE, INC (CLASS A) ............ 106
23,100 o FOOTSTAR, INC ......................... 859
8,000 o GADZOOKS, INC ......................... 128
314,232 GAP, INC .............................. 15,829
34,900 o GENESCO, INC .......................... 508
700 o GOODYS FAMILY CLOTHING, INC ........... 8
1,400 o GYMBOREE CORP ......................... 15
12,075 INTIMATE BRANDS, INC (CLASS A) ........ 572
50 o JUST FOR FEET, INC .................... 0
11,806 LIMITED, INC .......................... 536
2,836 o MENS WAREHOUSE, INC ................... 72
3,500 NORDSTROM, INC ........................ 117
8,287 o PACIFIC SUNWEAR CALIFORNIA, INC ....... 202
8,400 o PAYLESS SHOESOURCE, INC ............... 449
26,200 ROSS STORES, INC ...................... 1,320
1,000 o STAGE STORES, INC ..................... 7
400 o STEIN MART, INC ....................... 4
161,077 TJX COS, INC .......................... 5,366
300 o URBAN OUTFITTERS, INC ................. 8
6,400 o WET SEAL, INC (CLASS A) ............... 183
-----------
29,892
-----------
APPAREL AND OTHER TEXTILE PRODUCTS--0.03%
1,300 o DONNA KARAN INTERNATIONAL, INC ........ 13
2,475 o GUESS ?, INC .......................... 34
46,838 o JONES APPAREL GROUP, INC .............. 1,607
5,300 o NAUTICA ENTERPRISES, INC .............. 89
7,000 OSHKOSH B'GOSH, INC (CLASS A) ......... 148
11,900 o POLO RALPH LAUREN CORP ................ 226
3,219 o QUIKSILVER, INC ....................... 84
21,300 WARNACO GROUP, INC (CLASS A) .......... 570
------------
2,771
------------
AUTO REPAIR, SERVICES AND PARKING--0.01%
6,881 o AVIS RENT A CAR, INC .................. 200
700 CENTRAL PARKING CORP .................. 24
6,900 HERTZ CORP (CLASS A) .................. 428
11,366 MIDAS, INC ............................ 323
-----------
975
-----------
AUTOMOTIVE DEALERS AND SERVICE STATIONS--0.04%
91,300 o AUTONATION, INC ....................... 1,626
51,942 o AUTOZONE, INC ......................... 1,565
13,599 o CSK AUTO CORP ......................... 367
2,400 o GROUP 1 AUTOMOTIVE, INC ............... 51
3,200 o OREILLY AUTOMOTIVE, INC ............... 161
------------
3,770
------------
BUILDING MATERIALS AND GARDEN SUPPLIES--0.54%
11,070 FASTENAL CO ........................... 580
699,170 HOME DEPOT, INC ....................... 45,053
162,425 LOWES COS, INC ........................ 9,207
------------
54,840
------------
BUSINESS SERVICES--12.80%
7,100 AARON RENTS, INC ...................... 158
2,300 o ABACUS DIRECT CORP .................... 210
1,200 o ABM INDUSTRIES, INC ................... 37
29,350 o ACCLAIM ENTERTAINMENT, INC ............ 187
3,100 o ACKERLEY GROUP, INC ................... 56
18,660 o ACXIOM CORP ........................... 465
2,400 o ADMINSTAFF, INC ....................... 38
13,080 ADOBE SYSTEMS, INC .................... 1,075
See notes to financial statements. 55
<PAGE>
GROWTH ACCOUNT (CONTINUED)
VALUE
SHARES (00)
--------- ------
BUSINESS SERVICES--12.80%
4,400 o ADVANTAGE LEARNING SYSTEMS, INC ....... $ 97
1,600 o ADVENT SOFTWARE, INC .................. 107
2,100 o ADVO, INC ............................. 44
20,527 o AFFILIATED COMPUTER SERVICES, INC
(CLASS A) ............................ 1,039
19,500 o ALTERNATIVE RESOURCES CORP ............ 137
800,669 AMERICA ONLINE, INC ................... 88,474
30,575 o AMERICAN MANAGEMENT SYSTEMS, INC ...... 980
6,000 ANALYSTS INTERNATIONAL CORP ........... 86
11,300 o ANSWERTHINK CONSULTING GROUP .......... 285
26,300 o APAC TELESERVICES, INC ................ 85
12,600 o ASPECT DEVELOPMENT, INC ............... 233
7,000 o ASPEN TECHNOLOGY, INC ................. 82
1,420 AUTODESK, INC ......................... 42
257,274 AUTOMATIC DATA PROCESSING, INC ........ 11,320
10,180 o AVANT CORP ............................ 129
4,600 o AVT CORP .............................. 174
5,800 o AXENT TECHNOLOGIES, INC ............... 65
67 o AZTEC TECHNOLOGY PARTNERS, INC ........ 0
700 o BARRA, INC ............................ 18
21,800 o BEA SYSTEMS, INC ...................... 623
3,300 o BILLING CONCEPTS CORP ................. 37
9,650 o BISYS GROUP, INC ...................... 565
1,173,823 o BMC SOFTWARE, INC ..................... 63,386
12,500 o BORG-WARNER SECURITY CORP ............. 254
17,900 o BROADVISION, INC ...................... 1,320
121,700 o CADENCE DESIGN SYSTEMS, INC ........... 1,552
10,700 o CAMBRIDGE TECHNOLOGY PARTNERS, INC .... 188
3,400 o CARIBINER INTERNATIONAL, INC .......... 21
5,000 o CATALINA MARKETING CORP ............... 460
5,700 o CCC INFORMATION SERVICES GROUP, INC ... 73
9,700 o CDI CORP .............................. 330
49,100 o CENTURY BUSINESS SERVICES, INC ........ 712
1,449,500 o CERIDIAN CORP ......................... 47,381
1,300 o CERNER CORP ........................... 27
14,460 o CHECKFREE HOLDINGS CORP ............... 399
7,100 o CHOICEPOINT, INC ...................... 477
17,816 o CIBER, INC ............................ 341
36,440 o CITRIX SYSTEMS, INC ................... 2,059
6,500 o CLARIFY, INC .......................... 268
31,476 o CMGI, INC ............................. 3,590
14,800 o CNET, INC ............................. 853
4,400 o COMDISCO, INC ......................... 113
10,000 o COMPLETE BUSINESS SOLUTIONS, INC ...... 179
217,077 COMPUTER ASSOCIATES
INTERNATIONAL, INC ................... 11,939
8,065 o COMPUTER HORIZONS CORP ................ 111
78,518 o COMPUTER SCIENCES CORP ................ 5,432
8,678 COMPUTER TASK GROUP, INC .............. 148
1,839,140 o COMPUWARE CORP ........................ 58,508
45 o COMSHARE, INC ......................... 0
6,400 o CONCORD COMMUNICATIONS, INC ........... 288
56,820 o CONVERGYS CORP ........................ 1,094
2,300 o CORT BUSINESS SERVICES CORP ........... 55
6,600 o COTELLIGENT, INC ...................... 52
34,700 o CSG SYSTEMS INTERNATIONAL, INC ........ 909
8,100 o DATA PROCESSING RESOURCES CORP ........ 191
14,600 o DATASTREAM SYSTEMS, INC ............... 234
12,000 o DBT ONLINE, INC ....................... 393
1,700 o DELTEK SYSTEMS, INC ................... 17
4,900 o DENDRITE INTERNATIONAL, INC ........... 177
2,800 o DOCUMENTUM, INC ....................... 37
13,102 o DOUBLECLICK, INC ...................... 1,202
10,900 o DST SYSTEMS, INC ...................... 685
7,700 o EARTHLINK NETWORK, INC ................ 473
7,800 o ELECTRO RENT CORP ..................... 84
26,600 o ELECTRONIC ARTS, INC .................. 1,443
875,700 ELECTRONIC DATA SYSTEMS CORP .......... 49,532
23,800 o ELECTRONICS FOR IMAGING, INC .......... 1,223
2,000 o ENGINEERING ANIMATION, INC ............ 42
56,100 EQUIFAX, INC .......................... 2,002
50 o EXCALIBUR TECHNOLOGIES CORP ........... 1
47,930 o EXCITE AT HOME ........................ 2,585
3,948 o FACTSET RESEARCH SYSTEMS, INC ......... 224
10,685 FAIR ISSAC & CO, INC .................. 375
5,397 o FILENET CORP .......................... 62
176,561 FIRST DATA CORP ....................... 8,640
40,412 o FISERV, INC ........................... 1,265
7,000 o GENERAL MAGIC, INC .................... 25
11,700 o GENESYS TELECOMMunications
LABoratories, INC .................... 293
300 o GEOWORKS CORP ......................... 1
2,900 o GERBER SCIENTIFIC, INC ................ 64
5,400 o GETTY IMAGES, INC ..................... 102
2,500 o GREAT PLAINS SOFTWARE, INC ............ 118
9,200 o GT INTERACTIVE SOFTWARE CORP .......... 32
21,900 o GTECH HOLDINGS CORP ................... 516
5,000 o HTE, INC .............................. 17
8,100 o HARBINGER CORP ........................ 101
6,940 o HNC SOFTWARE .......................... 214
6,190 o HYPERION SOLUTIONS CORP ............... 110
6,800 o I2 TECHNOLOGIES, INC .................. 292
1,000 o IDX SYSTEMS CORP ...................... 23
10,200 o IMRGLOBAL CORP ........................ 196
102,412 IMS HEALTH, INC ....................... 3,200
1,800 o INACOM CORP ........................... 23
23,400 o INDUS INTERNATIONAL, INC .............. 101
7,500 o INDUSTRI-MATEMATIK
INTERNATIONAL CORP ................... 18
7,700 o INFORMATION ARCHITECTS CORP ........... 18
54,800 o INFORMIX CORP ......................... 468
10,500 o INFOSEEK CORP ......................... 503
23,900 o INFOUSA, INC (CLASS B) ................ 203
12,000 o INPRISE CORP .......................... 59
3,200 o INSPIRE INSURANCE SOLUTIONS, INC ...... 46
4,000 o INTEGRATED SYSTEMS, INC ............... 47
17,400 o INTERIM SERVICES, INC ................. 359
22,400 o INTERNATIONAL NETWORK SERVICES ........ 904
34,400 o INTERNATIONAL TELECOMMUNICATIONS ...... 550
57,912 INTERPUBLIC GROUP OF COS, INC ......... 5,017
19,650 o INTUIT, INC ........................... 1,771
5,300 o ISS GROUP, INC ........................ 200
2,289,900 o J.D. EDWARDS & CO ..................... 42,363
3,300 o JACK HENRY & ASSOCIATES, INC .......... 130
7,650 o JDA SOFTWARE GROUP, INC ............... 71
15,900 o KEANE, INC ............................ 360
10,680 KELLY SERVICES, INC (CLASS A) ......... 343
15,200 o LABOR READY, INC ...................... 494
21,200 o LAMAR ADVERTISING CO (CLASS A) ........ 868
12,880 o LEGATO SYSTEMS, INC ................... 744
9,200 o LHS GROUP, INC ........................ 305
19,231 o LYCOS, INC ............................ 1,767
16,500 o MACROMEDIA, INC ....................... 582
4,100 o MANHATTAN ASSOCIATES, INC ............. 34
38,401 MANPOWER, INC ......................... 869
8,400 o MANUGISTICS GROUP, INC ................ 122
3,900 o MAPICS, INC ........................... 41
56 See notes to financial statements.
<PAGE>
GROWTH ACCOUNT (CONTINUED)
VALUE
SHARES (00)
--------- ------
BUSINESS SERVICES--(CONTINUED)
14,567 o MASTECH CORP .......................... $ 271
6,400 MCGRATH RENTCORP ...................... 128
2,100 o MEDICAL MANAGER CORP .................. 93
22,300 o MEDQUIST, INC ......................... 976
4,000 o MEMBERWORKS, INC ...................... 116
47 o MERANT PLC ADR ........................ 1
14,000 o MERCURY INTERACTIVE CORP .............. 495
19,100 o METAMOR WORLDWIDE, INC ................ 460
10,000 o METRO INFORMATION SERVICES, INC ....... 166
200 o METRO NETWORKS, INC ................... 11
5,200 o MICROMUSE, INC ........................ 259
5,617,268 o MICROSOFT CORP ........................ 506,607
2,600 o MIDWAY GAMES, INC ..................... 34
15,200 o MINDSPRING ENTERPRISES, INC ........... 674
42,900 o MODIS PROFESSIONAL SERVICES ........... 590
1 o MOMENTUM BUSINESS APPLICANTS, INC ..... 0
4,900 NATIONAL COMPUTER SYSTEMS, INC ........ 165
13,500 NATIONAL DATA CORP .................... 577
8,700 o NCO GROUP, INC ........................ 331
23,600 o NETWORK APPLIANCE, INC ................ 1,319
3,700 o NETWORK SOLUTIONS, INC ................ 293
57,094 o NETWORKS ASSOCIATES, INC .............. 839
5,600 o NEW ERA OF NETWORKS, INC .............. 246
16,200 o NIELSEN MEDIA RESEARCH ................ 474
67 NORRELL CORP .......................... 1
40,900 o NOVA CORP (GEORGIA) ................... 1,023
20,700 o NOVACARE EMPLOYEE SERVICES, INC ....... 57
5,250 o NOVELL, INC ........................... 139
4,000 o OBJECTIVE SYSTEMS INTEGRATORS, INC .... 11
944,289 OMNICOM GROUP, INC .................... 75,543
3,300 o ON ASSIGNMENT, INC .................... 86
2,000 o ONSALE, INC ........................... 38
16,000 o OPEN MARKET, INC ...................... 227
5,277,905 o ORACLE CORP ........................... 195,942
26,900 o OUTDOOR SYSTEMS, INC .................. 982
104,934 o PARAMETRIC TECHNOLOGY CORP ............ 1,456
108,555 PAYCHEX, INC .......................... 3,460
3,400 o PAYMENTECH, INC ....................... 86
3,000 o PEGASUS SYSTEMS, INC .................. 112
60,475 o PEOPLESOFT, INC ....................... 1,043
9,800 o PEREGRINE SYSTEMS, INC ................ 252
4,400 o PERSONNEL GROUP OF AMERICA, INC ....... 44
2,400 #o PHYSICIAN COMPUTER NETWORK, INC ....... 1
13,191 PITTSTON BRINKS GROUP CO .............. 353
11,955 o POLICY MANAGEMENT SYSTEMS CORP ........ 359
8,200 o PREVIEW TRAVEL, INC ................... 180
31,572 #o PROCURENET, INC ....................... 5
26,050 o PROGRESS SOFTWARE CORP ................ 736
2,100 o PROJECT SOFTWARE & DEVELOPMENT, INC ... 66
6,800 o PROTECTION ONE, INC ................... 37
31,900 o PSINET, INC ........................... 1,396
12,100 o QAD, INC .............................. 37
7,200 o QRS CORP .............................. 562
15,300 o QUADRAMED CORP ........................ 124
1,500 o RADIANT SYSTEMS, INC .................. 21
42,529 o RATIONAL SOFTWARE CORP ................ 1,401
7,600 o REALNETWORKS, INC ..................... 523
8,880 o REMEDY CORP ........................... 239
15,700 o RENT WAY, INC ......................... 387
4,600 o RENT-A-CENTER, INC .................... 110
3,600 o RENTAL SERVICE CORP ................... 103
28,842 o ROBERT HALF INTERNATIONAL, INC ........ 750
13,242 ROLLINS, INC .......................... 211
22,586 o ROMAC INTERNATIONAL, INC .............. 200
700 o RWD TECHNOLOGIES, INC ................. 7
10,584 o SABRE GROUP HOLDINGS, INC ............. 728
11,600 o SAGA SYSTEMS, INC ..................... 148
3,200 o SANCHEZ COMPUTER ASSOCIATES, INC ...... 111
5,100 o SAPIENT CORP .......................... 289
11,000 SEI INVESTMENT CO ..................... 971
13,507 SHARED MEDICAL SYSTEMS CORP ........... 881
27,948 o SIEBEL SYSTEMS, INC ................... 1,853
51,353 o SITEL CORP ............................ 151
53,500 o SNYDER COMMUNICATIONS, INC ............ 1,752
3,800 o SOS STAFFING SERVICES, INC ............ 20
9,800 SOTHEBYS HOLDINGS, INC (CLASS A) ...... 374
5,800 o SPORTSLINE U.S.A., INC ................ 208
6,550 o SPR, INC .............................. 35
9,500 o SS&C TECHNOLOGIES, INC ................ 72
44,100 o STERLING COMMERCE, INC ................ 1,610
15,543 o STERLING SOFTWARE, INC ................ 415
15,940 o STRUCTURAL DYNAMICS RESEARCH CORP ..... 296
343,810 o SUN MICROSYSTEMS, INC ................. 23,680
64,400 o SUNGARD DATA SYSTEMS, INC ............. 2,222
11,200 o SYKES ENTERPRISES, INC ................ 374
28,743 o SYMANTEC CORP ......................... 733
24,302 o SYNOPSYS, INC ......................... 1,341
20,900 o SYNTEL, INC ........................... 188
12,700 o SYSTEM SOFTWARE ASSOCIATES, INC ....... 21
13,100 o SYSTEMS & COMPUTER TECHNOLOGY CORP .... 191
200 o TCSI CORP ............................. 1
7,100 o TECHNOLOGY SOLUTIONS CO ............... 77
5,600 o TELETECH HOLDINGS, INC ................ 57
8,600 o TMP WORLDWIDE, INC .................... 546
20,300 TOTAL SYSTEM SERVICES, INC ............ 386
9,720 o TRANSACTION SYSTEM ARCHITECTURE ....... 379
28,504 TRUE NORTH COMMUNICATIONS, INC ........ 855
4,400 o TYLER TECHNOLOGIES, INC ............... 30
39,259 o UNITED RENTALS, INC ................... 1,158
23,350 o USWEB CORP ............................ 518
7,900 o VANTIVE CORP .......................... 90
2,600 o VERIO, INC ............................ 181
1,800 o VERISIGN, INC ......................... 155
22,300 o VERITAS SOFTWARE CORP ................. 2,117
3,020 o VIASOFT, INC .......................... 11
13,000 o VISIO CORP ............................ 495
4,900 o WACKENHUT CORP SERIES A ............... 146
16,200 o WEST TELESERVICES CORP ................ 152
4,500 o WESTAFF, INC .......................... 26
7,975 o WIND RIVER SYSTEMS, INC ............... 128
63,406 o YAHOO, INC ............................ 10,922
36,700 o YOUNG & RUBICAM, INC .................. 1,668
-----------
1,307,135
-----------
CHEMICALS AND ALLIED PRODUCTS--14.06%
1,712,336 ABBOTT LABORATORIES CO ................. 77,911
33,250 o ADVANCED TISSUE SCIENCE CO ............. 108
84 ALBERTO CULVER CO (CLASS B) ............ 2
2,300 o ALGOS PHARMACEUTICAL CORP .............. 51
10,200 o ALKERMES, INC .......................... 236
200 o ALLIANCE PHARMACEUTICAL CORP ........... 1
25,400 o ALZA CORP .............................. 1,292
2,315,563 AMERICAN HOME PRODUCTS CORP ............ 133,145
243,898 o AMGEN, INC ............................. 14,847
350 o AMYLIN PHARMACEUTICALS, INC ............ 0
8,400 o ANDRX CORP ............................. 648
8,800 o AVIRON, INC ............................ 253
119,962 AVON PRODUCTS, INC ..................... 6,658
See notes to financial statements. 57
<PAGE>
GROWTH ACCOUNT (CONTINUED)
VALUE
SHARES (00)
--------- ------
CHEMICALS AND ALLIED PRODUCTS--(CONTINUED)
16,300 o AXYS PHARMACEUTICALS, INC .............. $ 55
500 o BARR LABORATORIES, INC ................. 20
11,300 o BIO-TECHNOLOGY GENERAL CORP ............ 73
58,200 o BIOGEN, INC ............................ 3,743
2,800 o BIOMATRIX, INC ......................... 61
1,978,646 BRISTOL MYERS SQUIBB CO ................ 139,371
8,000 o CABOT CORP ............................. 194
700 o CADUS PHARMACEUTICAL CORP .............. 1
13,300 CAMBREX CORP ........................... 349
2,400 o CARBIDE/GRAPHITE GROUP, INC ............ 34
40,209 o CELL GENESYS, INC ...................... 171
17 o CELL PATHWAYS, INC ..................... 0
33,800 o CENTOCOR, INC .......................... 1,576
20,500 o CEPHALON, INC .......................... 356
2,600 o CHATTEM, INC ........................... 83
7,700 o CHIREX, INC ............................ 247
30,816 o CHIRON CORP ............................ 639
6,200 o CHURCH & DWIGHT CO, INC ................ 270
29,155 CLOROX CO .............................. 3,114
120,802 COLGATE PALMOLIVE CO ................... 11,929
7,200 o COLUMBIA LABORATORIES, INC ............. 62
12,200 o COR THERAPEUTICS, INC .................. 180
10,800 o COULTER PHARMACEUTICAL, INC ............ 244
280 o CREATIVE BIOMOLECULES, INC ............. 1
95 o CRESCENDO PHARMACEUTICALS CORP ......... 2
54,152 o CROMPTON & KNOWLES CORP ................ 1,059
21,060 o CYTEC INDUSTRIES, INC .................. 671
29,400 DIAL CORP .............................. 1,093
124,292 DU PONT (E.I.) DE NEMOURS & CO ......... 8,491
10,150 o DURA PHARMACEUTICALS, INC .............. 121
47,501 ECOLAB, INC ............................ 2,072
3,840,800 o ELAN CORP PLC ADR ...................... 106,582
200 o EPITOPE, INC ........................... 1
15,132 FERRO CORP ............................. 416
21,000 o FOREST LABORATORIES, INC ............... 971
1,900 o FRENCH FRAGRANCES, INC ................. 14
7,900 o FUISZ TECHNOLOGIES LTD ................. 26
6,000 o GELTEX PHARMACEUTICALS, INC ............ 108
19,700 o GENZYME CORP (GENERAL DIVISION) ........ 955
24 o GENZYME CORP (TISSUE REPAIR DIVISION) .. 0
16,400 o GILEAD SCIENCES, INC ................... 857
45,400 o GRACE W.R. & CO ........................ 834
1,392,100 +o GUILFORD PHARMACEUTICALS, INC .......... 17,749
18,846 HERCULES, INC .......................... 741
12,500 o HESKA CORP ............................. 29
11,500 o HUMAN GENOME SCIENCES, INC ............. 454
3 ICN PHARMACEUTICALS, INC ............... 0
23,800 o ICOS CORP .............................. 971
5,800 o IDEC PHARMACEUTICALS CORP .............. 447
7,800 o IDEXX LABORATORIES, INC ................ 182
2,600 o IGEN INTERNATIONAL, INC ................ 76
30 IMC GLOBAL, INC ........................ 1
2,233 o IMC GLOBAL, INC WTS 12/22/00 ........... 1
9,700 o IMCLONE SYSTEMS, INC ................... 246
11,400 o IMMUNE RESPONSE CORP ................... 61
17,500 o IMMUNEX CORP ........................... 2,230
3,700 o INHALE THERAPEUTIC SYSTEMS ............. 88
37,320 o ISIS PHARMACEUTICALS, INC .............. 380
4,533 o IVAX CORP .............................. 64
931,213 JOHNSON & JOHNSON CO ................... 91,259
5,100 JONES PHARMACEUTICAL, INC .............. 201
5,750 o KV PHARMACEUTICAL CO (CLASS B) ......... 91
63,954 LAUDER (ESTEE) CO (CLASS A) ............ 3,206
16,540 o LIGAND PHARMACEUTICALS CO (CLASS A) .... 184
1,462,162 LILLY (ELI) & CO ....................... 104,727
4,719 LILLY INDUSTRIES, INC (CLASS A) ........ 88
27,000 o LIPOSOME CO, INC ....................... 516
66 LYONDELL CHEMICAL CO ................... 1
600 MACDERMID, INC ......................... 28
5,100 o MACROCHEM CORP (DELAWARE) .............. 30
50 o MATRIX PHARMACEUTICALS, INC ............ 0
5,600 o MCWHORTER TECHNOLOGIES, INC ............ 81
11,300 o MEDICIS PHARMACEUTICAL CORP
(CLASS A) ............................. 287
36,700 o MEDIMMUNE, INC ......................... 2,486
3,701,610 * MERCK & CO, INC ........................ 273,919
13,300 o MILLENNIUM PHARMACEUTICALS, INC ........ 479
10,800 o MIRAVANT MEDICAL TECHNOLOGY ............ 77
320,463 MONSANTO CO ............................ 12,638
52,829 MYLAN LABORATORIES, INC ................ 1,400
10,300 NATURES SUNSHINE PRODUCTS, INC ......... 108
5,300 o NBTY, INC .............................. 34
9,200 o NEXSTAR PHARMACEUTICALS, INC ........... 183
80 o NOVEN PHARMACEUTICALS, INC ............. 0
11,000 o ORGANOGENESIS, INC ..................... 103
5,700 o PATHOGENESIS CORP ...................... 81
803,226 PFIZER, INC ............................ 88,154
6,400 o PHARMACYCLICS, INC ..................... 179
3,996 PRAXAIR, INC ........................... 196
872,298 PROCTER & GAMBLE CO .................... 77,853
6,100 o PROTEIN DESIGN LABORATORIES, INC ....... 135
100 o REGENERON PHARMACEUTICALS, INC ......... 1
8,400 o REVLON, INC (CLASS A) .................. 254
17,300 o REXALL SUNDOWN, INC .................... 211
1,100 o ROGERS CORP ............................ 32
30 o ROHM & HAAS CO ......................... 1
62 RPM, INC ............................... 1
6,300 o SANGSTAT MEDICAL CORP .................. 109
7,800 o SCHEIN PHARMACEUTICAL, INC ............. 94
3,002,932 SCHERING-PLOUGH CORP ................... 159,155
6,300 o SCOTTS CO (CLASS A) .................... 300
6,450 o SEROLOGICALS CORP ...................... 52
3,078 o SICOR, INC ............................. 13
1,800 STEPAN CO .............................. 46
19,400 o SUGEN, INC ............................. 572
6,800 o SUPERGEN, INC .......................... 104
6,100 o TECHNE CORP ............................ 155
5,000 o THERAGENICS CORP ....................... 35
14,000 o TRANSKARYOTIC THERAPIES, INC ........... 462
20,800 o TRIANGLE PHARMACEUTICALS, INC .......... 374
8,100 o TWINLAB CORP ........................... 70
8,800 o U.S. BIOSCIENCE, INC ................... 86
14,400 VALSPAR CORP ........................... 547
2,540 o VERTEX PHARMACEUTICALS, INC ............ 61
7,200 o VICAL, INC ............................. 87
16,200 o VIROPHARMA, INC ........................ 125
957,024 WARNER-LAMBERT CO ...................... 66,394
33,000 o WATSON PHARMACEUTICALS, INC ............ 1,157
12,938 o ZILA, INC .............................. 39
7,800 o ZONAGEN, INC ........................... 72
-----------
1,435,251
-----------
COMMUNICATIONS--15.95%
10,100 o @ENTERTAINMENT, INC .................... 189
12,700 o ADELPHIA COMMUNICATIONS CORP
(CLASS A) ............................. 808
14,000 ALIANT COMMUNICATIONS, INC ............. 647
58 See notes to financial statements.
<PAGE>
GROWTH ACCOUNT (CONTINUED)
VALUE
SHARES (00)
--------- ------
COMMUNICATIONS--(CONTINUED)
30,215 ALLTEL CORP ............................ $ 2,160
12,600 o AMERICAN MOBILE SATELLITE CORP ......... 206
42 AMERITECH CORP ......................... 3
66 o ARCH COMMUNICATIONS GROUP, INC ......... 1
50 o ASSOCIATED GROUP, INC (CLASS A) ........ 3
50 o ASSOCIATED GROUP, INC (CLASS B) ........ 3
3,551,648 AT & T CORP ............................ 198,226
394,482 o AT & T CORP-LIBERTY MEDIA GROUP
(CLASS A) ............................. 14,497
69,400 BELL ATLANTIC CORP ..................... 4,537
14,496 o CABLEVISION SYSTEMS CORP group
(CLASS A) ............................. 1,015
12,161 o CAPSTAR BROADCASTING CORP (CLASS A) .... 333
3,419,716 o CBS CORP ............................... 148,544
8,700 o CD RADIO, INC .......................... 265
8,700 o CELLULAR COMMUNICATIONS
OF PUERTO RICO ........................ 248
3,400 CFW COMMUNICATIONS CO .................. 82
3,558,500 o CHANCELLOR MEDIA CORP (CLASS A) ........ 196,162
53,020 CINCINNATI BELL, INC ................... 1,322
2,168,024 o CLEAR CHANNEL COMMUNICATIONS, INC ...... 149,458
5,100 o COM21, INC ............................. 87
18,400 COMCAST CORP (CLASS A) ................. 659
215,566 COMCAST CORP (CLASS A) SPECIAL ......... 8,286
1,500 o COMMNET CELLULAR, INC .................. 39
1,233 o COMMONWEALTH TELEPHONE
ENTERPRISES ........................... 50
20,600 o CONCENTRIC NETWORK CORP ................ 819
11,602 o COX COMMUNICATIONS, INC (CLASS A) ...... 427
7,600 o COX RADIO, INC (CLASS A) ............... 412
20,200 o E.SPIRE COMMUNICATIONS, INC ............ 213
3,900 o ELECTRIC LIGHTWAVE, INC (CLASS A) ...... 51
2,700 o EMMIS COMMUNICATIONS (CLASS A) ......... 133
1,619,000 ERICSSON TELEFON (LM) SERIES B ADR ..... 53,326
7,600 o EXODUS COMMUNICATIONS, INC ............. 912
50,270 FRONTIER CORP .......................... 2,966
27,000 o GLOBAL TELESYSTEMS GROUP, INC .......... 2,187
1,400 GRAY COMMUNICATIONS SYSTEMS, INC ....... 28
77,382 GTE CORP ............................... 5,862
43,600 o HEARST-ARGYLE TELEVISION, INC .......... 1,046
20,700 o HISPANIC BROADCASTING CORP ............. 1,571
18,798 o ICG COMMUNICATIONS, INC ................ 402
8,000 o IDT CORP ............................... 178
15,500 o INTERMEDIA COMMUNICATIONS, INC ......... 465
17,600 o ITC DELTACOM, INC ...................... 493
200 o IXC COMMUNICATIONS, INC ................ 8
5,000 o JACOR COMMUNICATIONS, INC
WTS 09/18/01 .......................... 55
6,800 o JONES INTERCABLE, INC (CLASS A) ........ 333
2,000 o LCC INTERNATIONAL, INC (CLASS A) ....... 9
50 o LEAP WIRELESS INTERNATIONAL, INC ....... 1
13,700 o LEVEL 3 COMMUNICATIONS, INC ............ 823
2,834,635 LUCENT TECHNOLOGIES, INC ............... 191,161
4,876,291 o MCI WORLDCOM, INC ...................... 419,666
4,200 o MCLEODUSA, INC (CLASS A) ............... 231
87,464 o MEDIA ONE GROUP, INC ................... 6,505
18,100 o METROMEDIA FIBER NETWORK (CLASS A) ..... 650
85,600 o NETWORK PLUS CORP ...................... 1,787
22,900 o NEXTLINK COMMUNICATIONS, INC ........... 1,703
5,700 NORTH PITTSBURGH SYSTEMS, INC .......... 97
26,000 o NTL, INC ............................... 2,241
1,307,400 o OMNIPOINT CORP ......................... 37,833
1,200 o PACIFIC GATEWAY EXCHANGE, INC .......... 35
16,200 o PAGEMART WIRELESS, INC (CLASS A) ....... 123
121,500 o PAGING NETWORK, INC .................... 585
5,087 o PANAMSAT CORP .......................... 198
3,500 o PEGASUS COMMUNICATIONS CORP ............ 138
15,800 o PREMIERE TECHNOLOGIES, INC ............. 182
16,900 o PRIMUS TELECOMMUNICATIONS GROUP, INC ... 379
67,336 o QWEST COMMUNICATIONS
INTERNATIONAL , INC ................... 2,226
14,400 o RCN CORP ............................... 599
1,387,595 SBC COMMUNICATIONS, INC ................ 80,481
8,300 o SINCLAIR BROADCASTING
GROUP, INC (CLASS A ) ................. 136
26,900 o SKYTEL COMMUNICATIONS, INC ............. 563
12,800 SPRINT CORP (FON GROUP) ................ 676
73,400 o SPRINT CORP (PCS GROUP) ................ 4,193
7,600 o STAR TELECOMMUNICATIONS, INC ........... 59
21,900 o TALK.COM, INC .......................... 246
12,700 TCA CABLE TV, INC ...................... 705
60 o TCI SATELLITE ENTERTAINMENT (CLASS A) .. 0
7,212 TELEPHONE & DATA SYSTEMS, INC .......... 527
2,400 o TELIGENT, INC .......................... 144
1,100 o TRANSACTION NETWORK SERVICES, INC ...... 32
12,400 o TV GUIDE, INC .......................... 454
6,400 o U.S. CELLULAR CORP ..................... 342
4,400 o U.S. LEC CORP (CLASS A) ................ 99
2,300 o U.S. SATELLITE BROADCASTING, INC
(CLASS A) ............................. 42
67 o U.S.A. NETWORKS, INC ................... 3
15,900 o UNITED INTERNATIONAL HOLDINGS, INC ..... 1,075
4,500 UNITED TELEVISION, INC ................. 472
19,800 o UNIVISION COMMUNICATIONS, INC .......... 1,307
24,392 o VIACOM, INC (CLASS A) .................. 1,076
60,608 o VIACOM, INC (CLASS B) .................. 2,667
123,520 o VODAFONE GROUP PLC ADR ................. 24,333
39,400 o VOICESTREAM WIRELESS CORP .............. 1,120
23,895 o WAVO CORP .............................. 152
33,800 o WESTERN WIRELESS CORP (CLASS A) ........ 913
791,900 o WINSTAR COMMUNICATIONS, INC ............ 38,605
7,200 o YOUNG BROADCASTING, INC (CLASS A) ...... 306
-----------
1,627,617
-----------
DEPOSITORY INSTITUTIONS--0.71%
6,600 ALABAMA NATIONAL BANCORP ............... 165
11,100 ANCHOR BANCORP WISCONSIN, INC .......... 198
1,400 ANDOVER BANCORP, INC ................... 44
1,000 AREA BANCSHARES CORP ................... 27
6 o BANCFIRST CORP ......................... 0
3,000 BANCFIRST OHIO CORP .................... 74
3,700 BANK OF GRANITE CORP ................... 91
38,500 BANK OF NEW YORK CO, INC ............... 1,412
56,241 BANK ONE CORP .......................... 3,350
7,500 BANKNORTH GROUP, INC ................... 248
13,760 BRENTON BANKS, INC ..................... 213
1,900 CATHAY BANCORP, INC .................... 81
8,350 o CENTENNIAL BANCORP ..................... 115
1,400 CENTURY SOUTH BANKS, INC ............... 32
500 CFSB BANCORP, INC ...................... 12
4,137 CHITTENDEN CORP ........................ 129
5,666 CITY HOLDINGS CO ....................... 164
100 o CNB BANCSHARES, INC .................... 6
2,415 o COLUMBIA BANKING SYSTEM, INC ........... 37
22,000 COMMUNITY FIRST BANKSHARES, INC ........ 525
36,852 o CONCORD EFS, INC ....................... 1,559
11,180 CULLEN FROST BANKERS, INC .............. 308
4,585 CVB FINANCIAL CORP ..................... 119
2,580 F & M BANCORP, INC (WISCONSIN) ......... 97
See notes to financial statements. 59
<PAGE>
GROWTH ACCOUNT (CONTINUED)
VALUE
SHARES (00)
--------- ------
DEPOSITORY INSTITUTIONS--(CONTINUED)
6,300 FARMERS CAPITAL BANK CORP .............. $ 224
75,575 FIFTH THIRD BANCORP .................... 5,030
14,117 FIRST BANCORP (PUERTO RICO) ............ 319
3,100 FIRST CHARTER CORP ..................... 77
10,800 o FIRST FINANCIAL BANCORP ................ 244
1,600 FIRST FINANCIAL HOLDINGS, INC .......... 30
11,400 FIRST SENTINEL BANCORP, INC ............ 101
1,700 o FIRST SOURCE CORP ...................... 54
193,804 FIRSTAR CORP ........................... 5,427
82 FLEET FINANCIAL GROUP, INC ............. 4
2,700 FRONTIER FINANCIAL CORP ................ 66
8,200 GBC BANCORP ............................ 166
3,700 GOLD BANC CORP, INC .................... 49
2,500 GREATER BAY BANCORP .................... 83
13,798 GREENPOINT FINANCIAL CORP .............. 453
5,700 o HAMILTON BANCORP, INC .................. 137
100 HARLEYSVILLE NATIONAL CORP ............. 4
2,100 o HARRIS FINANCIAL, INC .................. 23
21,268 HUDSON UNITED BANCORP .................. 651
30,745 o IMPERIAL BANCORP ....................... 609
26,400 INDEPENDENCE COMMUNITY BANK CORP ....... 356
2,000 INTERNATIONAL BANCSHARES CORP .......... 85
3,400 JEFFERSON SAVINGS BANCORP, INC ......... 47
1,800 MAHONING NATIONAL BANCORP, INC ......... 79
321,170 MBNA CORP .............................. 9,836
35,292 MELLON BANK CORP ....................... 1,284
5,600 MERCHANTS NEW YORK BANCORP, INC ........ 188
2,200 MISSISSIPPI ValleY BANCSHARES .......... 73
1,500 NATIONAL BANCORP OF ALASKA, INC ........ 40
5,000 NATIONAL CITY BANCSHARES, INC .......... 160
12,200 NATIONAL COMMERCE BANCORP .............. 267
7,700 NATIONAL PENN BANCSHARES, INC .......... 181
44,000 NORTH FORK BANCORP, INC ................ 938
13,900 NORTHERN TRUST CORP .................... 1,348
5,100 NORTHWEST BANCORP, INC ................. 51
11,880 OLD NATIONAL BANCORP ................... 357
2,100 ORIENTAL FINANCIAL GROUP ............... 51
11,900 PACIFIC CAPITAL BANCORP ................ 375
2,597 PARK NATIONAL CORP ..................... 260
800 PEOPLES BANCORP, INC ................... 8
200 PEOPLES HOLDINGS CO .................... 7
7,700 PREMIER BANCSHARES, INC ................ 141
2,000 PRIME BANCORP, INC ..................... 55
2,200 PRIME BANCSHARES, INC .................. 39
74,902 PROVIDIAN FINANCIAL CORP ............... 7,003
3,950 QUEENS COUNTY BANCORP, INC ............. 128
5,300 REPUBLIC BANCORP, INC .................. 80
3,000 REPUBLIC SECURITY FINANCIAL CORP ....... 25
25,340 ROSLYN BANCORP, INC .................... 436
8,900 S & T BANCORP, INC ..................... 225
5,100 SANDY SPRING BANCORP, INC .............. 142
14,800 o SILICON VALLEY BANCSHARES .............. 366
21,117 SKY FINANCIAL GROUP, INC ............... 575
14,600 o SOUTHWEST BANCORP OF TEXAS, INC ........ 263
80 SOVEREIGN BANCORP, INC ................. 1
55,683 STATE STREET CORP ...................... 4,754
85 STATEN ISLAND BANCORP, INC ............. 2
600 STERLING BANCORP ....................... 11
8,900 STERLING BANCSHARES, INC ............... 119
1,000 STERLING FINANCIAL CORP ................ 34
3,400 SUSQUEHANNA BANCSHARES, INC ............ 60
43,800 SYNOVUS FINANCIAL CORP ................. 871
17,538 TCF FINANCIAL CORP ..................... 489
3,600 TEXAS REGIONAL BANCSHARES, INC
(CLASS A) ............................. 98
7,800 TRIANGLE BANCORP, INC .................. 132
12,600 TRUST CO OF New jersey ................. 296
9,057 TRUSTCO BANK CORP ...................... 243
246,013 U.S. BANCORP ........................... 8,364
2,910 U.S.B. HOLDINGS CO, INC ................ 45
1,400 UNITED BANKSHARES, INC ................. 37
4,000 UST CORP ............................... 121
73,107 WASHINGTON MUTUAL, INC ................. 2,586
3,800 WASHINGTON TRUST BANCORP, INC .......... 68
70,576 WELLS FARGO CO ......................... 3,017
4,290 WEST COAST BANCORP (OREGON) ............ 75
6,000 WESTAMERICA BANCORP .................... 219
8,800 WESTERN BANCORP ........................ 383
25,150 WESTERNBANK PUERTO RICO ................ 329
800 WHITNEY HOLDINGS CORP .................. 32
100 WILMINGTON TRUST CORP .................. 6
900 WSFS FINANCIAL CORP .................... 13
23,300 ZIONS BANCORP .......................... 1,480
-----------
72,111
-----------
EATING AND DRINKING PLACES--0.27%
6,300 o ADVANTICA RESTAURANT GROUP, INC ........ 22
17,140 o APPLEBEES INTERNATIONAL, INC ........... 516
100 AVADO BRANDS, INC ...................... 1
50 xo BOSTON CHICKEN, INC .................... 0
36,096 o BRINKER INTERNATIONAL, INC ............. 981
20 CBRL GROUP, INC ........................ 0
22,222 o CEC ENTERTAINMENT, INC ................. 939
3,700 CKE RESTAURANTS, INC ................... 60
4,562 o CONSOLIDATED PRODUCTS, INC ............. 82
5,300 o DAVE & BUSTERS, INC .................... 154
300 o EINSTEIN/NOAH BAGEL CORP ............... 0
5,800 xo FINE HOST CORP ......................... 2
32,904 o FOODMAKER, INC ......................... 934
1,700 HOST MARRIOTT CORP (NEW) ............... 20
3,189 o LANDRYS SEAFOOD RESTAURANTS, INC ....... 26
50 o LONE STAR STEAKHOUSE & SALOON, INC ..... 0
89,800 MARRIOTT INTERNATIONAL (CLASS A) ....... 3,356
382,512 MCDONALD'S CORP ........................ 15,803
5,100 o NPC INTERNATIONAL, INC ................. 78
27,900 o OUTBACK STEAKHOUSE, INC ................ 1,097
13,330 o PAPA JOHNS INTERNATIONAL, INC .......... 596
59 o SBARRO, INC ............................ 2
1,169 o SODEXHO MARRIOTT SERVICES, INC ......... 22
15,250 o SONIC CORP ............................. 498
9,500 o THE CHEESECAKE FACTORY CO .............. 290
17,115 o TRICON GLOBAL RESTAURANTS, INC ......... 926
3,300 o U.S. FOODSERVICE, INC .................. 141
26,800 VIAD CORP .............................. 829
5,400 o WENDYS INTERNATIONAL, INC .............. 153
-----------
27,528
-----------
EDUCATIONAL SERVICES--0.02%
12,938 o APOLLO GROUP, INC (CLASS A) ............ 344
6,284 o COMPUTER LEARNING CENTERS, INC ......... 31
17,452 o DEVRY, INC ............................. 390
26,000 o EDUCATION MANAGEMENT CORP .............. 540
300 o EDUTREK INTERNATIONAL, INC (CLASS A) ... 1
2,700 o ITT EDUCATIONAL SERVICES, INC .......... 70
1,800 o LEARNING TREE INTERNATIONAL, INC ....... 20
2,700 o STRAYER EDUCATION, INC ................. 83
17,375 o SYLVAN LEARNING SYSTEMS, INC ........... 472
-----------
1,951
-----------
60 See notes to financial statements.
<PAGE>
GROWTH ACCOUNT (CONTINUED)
VALUE
SHARES (00)
--------- ------
ELECTRIC, GAS, AND SANITARY SERVICES--2.98%
43,368 o AES CORP ............................... $ 2,521
72,930 o ALLIED WASTE INDUSTRIES, INC ........... 1,440
72,108 o AQUA ALLIANCE, INC ..................... 72
8,300 BLACK HILLS CORP ....................... 192
733,094 BROWNING FERRIS INDUSTRIES, INC ........ 31,523
14,000 o CASELLA WASTE SYSTEMS, INC (CLASS A) ... 364
12,964 DYNEGY, INC ............................ 264
2,105 INDIANA ENERGY, INC .................... 45
14,171 o MIDAMERICAN ENERGY HOLDINGS CO ......... 491
7,200 xo MOLTEN METAL TECHNOLOGY, INC ........... 0
15,200 o NEWPARK RESOURCES, INC ................. 135
1,974,446 o REPUBLIC SERVICES, INC (CLASS A) ....... 48,868
1,900 SEMCO ENERGY, INC ...................... 29
47,100 SEMPRA ENERGY .......................... 1,066
8,272 SONAT, INC ............................. 274
10,400 o SUPERIOR SERVICES, INC ................. 278
1,100 o THERMO ECOTEK CORP ..................... 9
1,128 o UNISOURCE ENERGY CORP HOLDINGS CO ...... 13
2,200 o WASTE INDUSTRIES, INC .................. 39
4,031,964 o WASTE MANAGEMENT, INC .................. 216,718
7,430 WILLIAMS COS, INC ...................... 316
-----------
304,657
-----------
ELECTRONIC AND OTHER ELECTRIC EQUIPMENT--12.15%
9,700 o AAVID THERMAL TECHNOLOGIES, INC ........ 219
6,020 o ACTEL CORP ............................. 89
1,900 o ADAPTIVE BROADBAND CORP ................ 42
63,060 o ADC TELECOMMUNICATIONS, INC ............ 2,873
5,635 o ADTRAN, INC ............................ 205
8,300 o ADVANCED ENERGY INDUSTRIES, INC ........ 337
14,250 o ADVANCED FIBRE COMMUNICATIONS .......... 223
6,000 o ADVANCED LIGHTING TECHNOLOGIES, INC .... 54
93,100 o ALTERA CORP ............................ 3,427
60,200 o AMERICAN POWER CONVERSION CORP ......... 1,212
5,163,648 o AMERICAN TOWER SYSTEMS (CLASS A) ....... 123,928
25,400 AMETEK, INC ............................ 584
28,400 o AMKOR TECHNOLOGY, INC .................. 291
4,300 o AMPHENOL CORP (CLASS A) ................ 171
1,378,517 o ANALOG DEVICES, INC .................... 69,184
29,675 o ANDREW CORP ............................ 562
7,800 o APPLIED MICRO CIRCUITS CORP ............ 642
12,225 o ARTESYN TECHNOLOGIES, INC .............. 271
2,000 o ARTISAN COMPONENTS, INC ................ 23
13,900 o ASPECT TELECOMMUNICATIONS CORP ......... 136
433,300 o ATMEL CORP ............................. 11,347
200 o AURA SYSTEMS, INC ...................... 0
3,900 AVX CORP ............................... 95
21 o AXIOHM TRANSACTION SOLUTIONS, INC ...... 0
13,900 o BROADCOM CORP (CLASS A) ................ 2,009
5,550 o BURR BROWN CORP ........................ 203
10,403 C&D TECHNOLOGIES, INC .................. 319
30,300 o CELLNET DATA SYSTEMS, INC .............. 273
1,100 o CHECKPOINT SYSTEMS, INC ................ 10
47,500 o CIENA CORP ............................. 1,434
25,733 o COMMSCOPE, INC ......................... 791
33,211 o COMVERSE TECHNOLOGY, INC ............... 2,507
5,000 CTS CORP ............................... 350
4,900 o CYPRESS SEMICONDUCTOR CORP ............. 81
5,000 DALLAS SEMICONDUCTOR CORP .............. 253
1,600 o DAVOX CORP ............................. 19
19,700 o DIGITAL MICROWAVE CORP ................. 251
23,400 o DII GROUP, INC ......................... 873
12,300 o DSP COMMUNICATIONS, INC ................ 355
300 o EIS INTERNATIONAL, INC ................. 1
5,000 o ELECTRO SCIENTIFIC INDUSTRIES, INC ..... 209
6,900 EMERSON ELECTRIC CO .................... 434
50 o ENERGY CONVERSION DEVICES, INC ......... 0
9,400 o EXCEL SWITCHING CORP ................... 281
600 o FIREARMS TRAINING SYSTEMS, INC ......... 1
500 FRANKLIN ELECTRIC CO, INC .............. 33
3,806,227 GENERAL ELECTRIC CO .................... 430,104
25,544 o GENERAL INSTRUMENT CORP ................ 1,086
3,400 o GENLYTE GROUP, INC ..................... 76
9,900 xo GEOTEK COMMUNICATIONS, INC ............. 0
50 o GLENAYRE TECHNOLOGIES, INC ............. 0
1,000 o HADCO CORP ............................. 40
3,500 HARMON INDUSTRIES, INC ................. 69
5,100 o HELIX TECHNOLOGY CORP .................. 122
16,800 o HMT TECHNOLOGY CORP .................... 42
4,800 o HOLOPHANE CORP ......................... 183
1,100 o HUTCHINSON TECHNOLOGY, INC ............. 31
1,500 INNOVEX, INC ........................... 21
200 o INTEGRATED SILICON SOLUTION, INC ....... 1
5,768,800 INTEL CORP ............................. 343,244
4,400 INTER-TEL, INC ......................... 80
14,786 o INTERDIGITAL COMMUNICATIONS CORP ....... 68
700 o ITI TECHNOLOGIES, INC .................. 16
7,100 o ITRON, INC ............................. 61
18,632 o JABIL CIRCUIT, INC ..................... 841
40 o KEMET CORP ............................. 1
9,050 o KOMAG, INC ............................. 30
3,800 o KOPIN CORP ............................. 91
6,400 o L-3 COMMINUCATIONS HOLDINGS, INC ....... 309
6,811 o LATTICE SEMICONDUCTOR CORP ............. 424
12,165 o LEVEL ONE COMMUNICATIONS, INC .......... 595
128,000 LINEAR TECHNOLOGY CO ................... 8,608
11,500 o LITTLEFUSE, INC ........................ 221
5,500 o LO-JACK CORP ........................... 46
379,700 o LSI LOGIC CORP ......................... 17,514
78 o MAGNETEK, INC .......................... 1
44,600 o MAXIM INTEGRATED PRODUCTS .............. 2,966
20,300 MAYTAG CO .............................. 1,415
3,300 o MICREL, INC ............................ 244
100 o MICRO LINEAR CORP ...................... 0
33,170 o MICROCHIP TECHNOLOGY, INC .............. 1,571
17,200 o MICRON TECHNOLOGY, INC ................. 693
17,200 o MMC NETWORKS, INC ...................... 770
7,632 MOLEX, INC ............................. 282
114,283 MOTOROLA, INC .......................... 10,828
2,700 o MRV COMMUNICATIONS, INC ................ 35
60 o MYLEX CORP ............................. 0
23,531 o NATIONAL SEMICONDUCTOR CORP ............ 596
9,800 o NATURAL MICROSYSTEMS CORP .............. 94
40 o NEOMAGIC CORP .......................... 0
454,000 o NOKIA OYJ ADR .......................... 41,569
3,800 o OAK INDUSTRIES, INC .................... 166
200 o OAK TECHNOLOGY, INC .................... 1
2,475 o OIS OPTICAL IMAGING SYSTEMS, INC ....... 0
13,300 o P-COM, INC ............................. 70
17,150 o PAIRGAIN TECHNOLOGIES, INC ............. 197
4 PARK ELECTROCHEMICAL CORP .............. 0
1,800 o PARKERVISION, INC ...................... 63
2,500 o PHOTRONICS, INC ........................ 61
9,100 o PLANTRONICS, INC ....................... 593
9,500 o PLEXUS CORP ............................ 286
29,800 o PMC-SIERRA, INC ........................ 1,756
10,300 o POLYCOM, INC ........................... 402
41,700 o POWERWAVE TECHNOLOGIES, INC ............ 1,345
See notes to financial statements. 61
<PAGE>
GROWTH ACCOUNT (CONTINUED)
VALUE
SHARES (00)
--------- ------
ELECTRONIC AND OTHER ELECTRIC EQUIPMENT--(CONTINUED)
25,900 o PREMISYS COMMUNICATIONS, INC ........... $ 189
6,900 o QLOGIC CORP ............................ 911
46,950 o QUALCOMM, INC .......................... 6,737
4,966 o RAMBUS, INC ............................ 458
800 o RAMTRON INTERNATIONAL CORP ............. 1
18,538 RAYCHEM CORP ........................... 686
14,500 o RAYOVAC CORP ........................... 329
11,280 o READ RITE CORP ......................... 70
31 o RECOTON CORP ........................... 0
6,150 o S3, INC ................................ 56
20,954 o SANMINA CORP ........................... 1,590
8,500 o SAWTEK, INC ............................ 390
18,900 o SCI SYSTEMS, INC ....................... 898
24,900 SCIENTIFIC-ATLANTA, INC ................ 896
3,100 o SCM MICROSYSTEMS, INC .................. 144
12,000 o SDL, INC ............................... 613
7,200 o SEMTECH CORP ........................... 375
9,700 o SENSORMATIC ELECTRONICS CORP ........... 135
4,300 o SIPEX CORP ............................. 88
6,200 o SLI, INC ............................... 167
2,900 o SMART MODULAR TECHNOLOGIES, INC ........ 50
93,798 o SOLECTRON CORP ......................... 6,255
8,000 o SPECTRA-PHYSICS LASERS, INC ............ 66
57,700 o SUNBEAM CORP ........................... 458
20 o SYMMETRICOM, INC ....................... 0
7,000 TECHNITROL, INC ........................ 226
6,100 o TEKELEC ................................ 74
33 TELEFLEX, INC .......................... 1
168,076 o TELLABS, INC ........................... 11,356
50 o TELTREND, INC .......................... 1
566,772 TEXAS INSTRUMENTS, INC ................. 82,182
32,600 THOMAS & BETTS CORP .................... 1,540
31,900 o UCAR INTERNATIONAL, INC ................ 805
15,780 o UNIPHASE CORP .......................... 2,619
1,100 o UNITRODE CORP .......................... 32
8,900 o VICOR CORP ............................. 189
63 o VISHAY INTERTECHNOLOGY, INC ............ 1
29,250 o VITESSE SEMICONDUCTOR CORP ............. 1,973
10,000 o WESTELL TECHNOLOGIES, INC (CLASS A) .... 70
17,600 o WORLD ACCESS, INC ...................... 249
376,300 o XILINX, INC ............................ 21,543
34,800 xo ZENITH ELECTRONICS CORP ................ 14
2,880 o ZOLTEK COS, INC ........................ 23
-----------
1,240,990
-----------
ENGINEERING AND MANAGEMENT SERVICES--0.07%
1,800 o AHL SERVICES, INC ...................... 45
19,900 o CATALYTICA, INC ........................ 279
900 o DATA TRANSMISSION NETWORK CORP ......... 25
3,100 o DIAMOND TECHnology PARTNERS, INC
(CLASS A) ............................. 69
13,200 DUN & BRADSTREET CORP .................. 468
2,800 o ENTREMED, INC .......................... 63
11,200 o F.Y.I., INC ............................ 351
9,600 o FIRST CONSULTING GROUP, INC ............ 102
10,100 o GARTNER GROUP, INC (CLASS A) ........... 207
8,400 o INCYTE PHARMACEUTICALS, INC ............ 222
1,000 o KENDLE INTERNATIONAL, INC .............. 16
2,400 LANDAUER, INC .......................... 71
3,400 o LASON, INC ............................. 169
10,520 o MAXIMUS, INC ........................... 302
200 o MEDAPHIS CORP .......................... 1
1,300 o META GROUP, INC ........................ 20
11,700 o METZLER GROUP, INC ..................... 323
1,200 o NFO WORLDWIDE, INC ..................... 17
4,500 o PAREXEL INTERNATIONAL CORP ............. $ 60
1,718 o PHARMACEUTICAL PRODUCT DEVELOPMENT ..... 47
2,100 o PROBUSINESS SERVICES, INC .............. 75
2,700 o PROFIT RECOVERY GROUP INTERNATIONAL .... 128
35,052 o QUINTILES TRANSNATIONAL CORP ........... 1,472
3,000 o RENAISSANCE WORLDWIDE, INC ............. 24
101,266 SERVICEMASTER CO ....................... 1,899
23,200 o STAFF LEASING, INC ..................... 299
1,000 o SUPERIOR CONSULTANT HOLDINGS CORP ...... 25
4,300 TEJON RANCH CO ......................... 109
6,000 o TETRA TECH, INC ........................ 99
1,500 o WACKENHUT CORRECTIONS CORP ............. 30
14,300 o WHITTMAN HART, INC ..................... 454
-----------
7,471
-----------
FABRICATED METAL PRODUCTS--0.36%
1,400 o BWAY CORP .............................. 20
21,473 CHART INDUSTRIES, INC .................. 169
39,700 CRANE CO ............................... 1,248
19,883 CROWN CORK & SEAL CO, INC .............. 567
775,606 GILLETTE CO ............................ 31,800
700 o GULF ISLAND FABRICATION, INC ........... 8
1,200 HARSCO CORP ............................ 38
3,700 o LADISH CO, INC ......................... 29
73,916 MASCO CORP ............................. 2,134
13,500 o METALS U.S.A., INC ..................... 172
20 o NCI BUILDING SYSTEMS, INC .............. 0
2,300 o ROHN INDUSTRIES, INC ................... 3
18 o SHAW GROUP, INC ........................ 0
6,685 o SIMPSON MANUFACTURING CO, INC .......... 318
900 o SPS TECHNOLOGIES, INC .................. 34
8,900 STANLEY WORKS CO ....................... 286
800 STRUM, RUGER & CO, INC ................. 9
8,845 o TOWER AUTOMOTIVE, INC .................. 225
1,400 VALMONT INDUSTRIES ..................... 24
3,800 o WYMAN-GORDON CO ........................ 73
------------
37,157
------------
FOOD AND KINDRED PRODUCTS--2.41%
10,200 o AGRIBIOTECH, INC ....................... 62
6,300 o AGRIBRANDS INTERNATIONAL, INC .......... 249
1,100 o AMERICAN ITALIAN PASTA CO (CLASS A) .... 33
25,268 ANHEUSER BUSCH COS, INC ................ 1,792
2,800 o BERINGER WINE ESTATES HOLDINGS, INC
(CLASS B) ............................. 117
102,945 BESTFOODS, INC ......................... 5,096
11,000 o BOSTON BEER CO, INC (CLASS A) .......... 89
38 BROWN FORMAN, INC (CLASS B) ............ 2
74,256 CAMPBELL SOUP CO ....................... 3,444
1,421,808 COCA COLA CO ........................... 88,863
127,558 COCA COLA ENTERPRISES, INC ............. 3,795
156,283 CONAGRA, INC ........................... 4,161
19,200 DEAN FOODS CO .......................... 798
32,761 DOLE FOOD, INC ......................... 962
2,400 DREYERS GRAND ICE CREAM, INC ........... 36
18,556 EARTHGRAINS CO ......................... 479
52,100 FLOWERS INDUSTRIES, INC ................ 1,130
36,852 GENERAL MILLS, INC ..................... 2,962
3,700 o HAIN FOOD GROUP, INC ................... 76
61,967 HEINZ (H.J.) CO ........................ 3,106
13,500 HERSHEY FOODS CORP ..................... 802
41,562 o INTERNATIONAL HOME FOODS, INC .......... 766
24,859 INTERSTATE BAKERIES CORP ............... 558
2,545,991 o KEEBLER FOODS CO ....................... 77,334
29,103 KELLOGG CO ............................. 960
22,750 LANCASTER COLONY CORP .................. 785
62 See notes to financial statements.
<PAGE>
GROWTH ACCOUNT (CONTINUED)
VALUE
SHARES (00)
--------- ------
FOOD AND KINDRED PRODUCTS--(CONTINUED)
19,300 LANCE, INC ............................ $ 302
8,000 MCCORMICK & CO, INC (NON-VOTE) ........ 253
50 NABISCO GROUP HOLDINGS ................ 1
1,000 o PENFORD CORP .......................... 16
646,954 PEPSICO, INC .......................... 25,029
4,800 PILGRIMS PRIDE CORP (CLASS B) ......... 144
47,441 QUAKER OATS CO ........................ 3,149
122,512 RALSTON PURINA CO ..................... 3,729
3,300 RIVIANA FOODS, INC .................... 62
385,862 SARA LEE CORP ......................... 8,754
23,900 o SMITHFIELD FOODS, INC ................. 799
18,500o SUIZA FOODS CORP ...................... 775
12,730 TCBY ENTERPRISES, INC ................. 77
22,277 TOOTSIE ROLL INDUSTRIES, INC .......... 860
58,150 TYSON FOODS, INC ...................... 1,308
6,810 o VLASIC FOODS INTERNATIONAL, INC ....... 50
6,300 o WHITMAN CORP .......................... 113
19,585 WRIGLEY (WM) JR CO .................... 1,763
------------
245,641
------------
FOOD STORES--1.12%
18,000 o 7-ELEVEN, INC ......................... 40
6,400 ALBERTSONS, INC ....................... 330
62,480 FOOD LION, INC (CLASS B) .............. 722
16,928 o GENERAL NUTRITION COS, INC ............ 395
16 HANNAFORD BROTHERS, INC ............... 1
186,680 o KROGER CO ............................. 5,215
2,119,338 o SAFEWAY, INC .......................... 104,907
65,200 o STARBUCKS CORP ........................ 2,449
5,600 o WHOLE FOODS MARKET, INC ............... 269
10,800 o WILD OATS MARKETS, INC ................ 328
------------
114,656
------------
FURNITURE AND FIXTURES--0.07%
11,400 ETHAN ALLEN INTERIORS, INC ............ 430
33,590 o FURNITURE BRANDS INTERNATIONAL, INC ... 936
31,800 HON INDUSTRIES, INC ................... 928
12,067 o KNOLL, INC ............................ 321
9,100 o LEAR CORP ............................. 453
36,500 LEGGETT & PLATT, INC .................. 1,015
32,700 MILLER (HERMAN), INC .................. 687
49,400 NEWELL RUBBERMAID, INC ................ 2,297
3,100 VIRCO MANUFACTURING ................... 50
------------
7,117
------------
FURNITURE AND HO MEFURNISHINGS STORES--0.20%
55,720 o BED BATH & BEYOND, INC ................ 2,145
39,000 o BEST BUY, INC ......................... 2,633
7,477 o CDNOW, INC ............................ 132
9,200 CIRCUIT CITY STORES-CIRCUIT CITY GROUP 856
16,400 o COMPUSA, INC .......................... 122
4,800 o GUITAR CENTER, INC .................... 50
14,000 o LINENS N THINGS, INC .................. 613
1,500 o MAXIM GROUP, INC ...................... 13
18,717 o MUSICLAND STORES CORP ................. 166
47,345 PIER 1 IMPORTS, INC ................... 533
253,016 TANDY CORP ............................ 12,366
31,000 o TRANS WORLD ENTERTAINMENT CORP ........ 349
12,417 o WILLIAMS-SONOMA, INC .................. 432
-----------
20,410
-----------
GENERAL BUILDING CONTRACTORS--0.01%
1,100 o CROSSMAN COMMUNITIES, INC ............. 32
3,900 o HILLENBRAND INDUSTRIES, INC ........... 169
1,543 HORTON (D.R.), INC .................... 26
14,353 LENNAR CORP ........................... 344
5,118 o NVR, INC .............................. 267
13,798 STANDARD-PACIFIC CORP ................. 179
------------
1,017
------------
GENERAL MERCHANDISE STORES--0.94%
1,500 o 99 CENTS ONLY STORES .................. 75
23,100 o BJS WHOLESALE CLUB, INC ............... 694
34,541 CASEYS GENERAL STORES, INC ............ 518
33,300 o CONSOLIDATED STORES CORP .............. 899
5,500 o COST PLUS, INC ........................ 250
86,800 o COSTCO COS, INC ....................... 6,949
175,155 DAYTON HUDSON CORP .................... 11,385
109,025 DOLLAR GENERAL CORP ................... 3,162
30,350 o DOLLAR TREE STORES, INC ............... 1,335
39,800 FAMILY DOLLAR STORES, INC ............. 955
12 o FEDERATED DEPARTMENT STORES, INC ...... 1
50 HARCOURT GENERAL, INC ................. 3
66,851 o KOHLS CORP ............................ 5,160
2,232 o NEIMAN-MARCUS GROUP, INC .............. 57
69 PENNEY, (J.C.) CO, INC ................ 3
22,157 o SAKS, INC ............................. 640
39,100 SEARS ROEBUCK & CO .................... 1,742
10,000 o VENATOR GROUP, INC .................... 104
1,287,120 WAL-MART STORES, INC .................. 62,104
------------
96,036
------------
HEALTH SERVICES--0.48%
3,500 o ADVANCE PARADIGM, INC ................. 214
70,720 o AMERICAN HOMEPATIENT, INC ............. 111
53,500 o BEVERLY ENTERPRISES, INC .............. 431
15,023 o CAREMATRIX CORP ....................... 187
3,400 o CENTENNIAL HEALTHCARE CORP ............ 18
91 COLUMBIA/HCA HEALTHCARE CORP .......... 2
11,600 o CONCENTRA MANAGED CARE, INC ........... 172
30,263 o COVANCE, INC .......................... 724
6,600 o COVENTRY HEALTH CARE, INC ............. 72
6,700 o ENZO BIOCHEMICAL, INC ................. 66
36,100 o EXPRESS SCRIPTS, INC .................. 2,173
2,475 xo FPA MEDICAL MANAGEMENT, INC ........... 0
76 o GENESIS HEALTH VENTURES, INC .......... 0
7,500 o HCR MANOR CARE ........................ 181
3,112,400 o HEALTH MANAGEMENT ASSOCIATES, INC
(CLASS A) (NEW) ....................... 35,015
5,000 o HEALTHPLAN SERVICES CORP .............. 34
227,073 o HEALTHSOUTH CORP ...................... 3,392
18,400 HOOPER HOLMES, INC .................... 375
1,300 o IMPATH, INC ........................... 35
4,000 o INNOVATIVE CLINICAL SOLUTION .......... 6
4 o LABORATORY CORP OF AMERICA HOLDINGS ... 0
2,560 o LABORATORY CORP OF AMerica HOLDINGS
WTS 04/28/00 ......................... 0
53 o LCA-VISION, INC ....................... 0
7,504 o LIFEPOINT HOSPITALS, INC .............. 101
27,580 o LINCARE HOLDINGS, INC ................. 690
17,200 o MAGELLAN HEALTH SERVICES, INC ......... 172
29,447 o MARINER POST-ACUTE NETWORK, INC ....... 12
62,806 o MEDPARTNERS, INC ...................... 475
3,100 o NATIONAL HEALTHCARE CORP .............. 25
13,500 o NOVACARE, INC ......................... 20
5,100 o ORTHODONTIC CENTERS OF AMERICA, INC ... 72
6,276 o PEDIATRIX MEDICAL GROUP, INC .......... 133
43,050 o PHYCOR, INC ........................... 319
1,639 o PHYSICIANS RESOURCE GROUP, INC ........ 2
See notes to financial statements. 63
<PAGE>
GROWTH ACCOUNT (CONTINUED)
VALUE
SHARES (00)
--------- ------
HEALTH SERVICES--0.48%
7,900 o PROVINCE HEALTHCARE CO ................ $ 154
49,390 o QUORUM HEALTH GROUP, INC .............. 620
11,650 o RENAL CARE GROUP, INC ................. 301
100 o SUN HEALTHCARE GROUP, INC ............. 0
54,600 o TENET HEALTHCARE CORP ................. 1,014
29,900 o TOTAL RENAL CARE HOLDINGS, INC ........ 465
14,904 o TRIAD HOSPITALS, INC .................. 201
6,900 o UNITED PAYORS & UNITED PROVIDERS, INC . 160
11,000 o UNIVERSAL HEALTH SERVICES, INC ........ 525
11,236 o US ONCOLOGY, INC ...................... 135
242 o VENCOR, INC ........................... 0
----------
48,804
----------
HEAVY CONSTRUCTION, EXCEPT BUILDING--0.01%
9,000 o DYCOM INDUSTRIES, INC ................. 504
11 FLUOR CORP ............................ 0
9,600 o INSITUFORM TECHNOLOGIES, INC (CLASS A) 208
2,750 o MASTEC, INC ........................... 78
----------
790
----------
HOLDING AND OTHER INVESTMENT OFFICES--0.04%
800 o ALEXANDERS, INC ....................... 59
60 APARTMENT INVESTMENT &
MANAGEMENT CO ........................ 3
25,200 BOSTON PROPERTIES, INC ................ 904
4,000 CAPITAL AUTOMOTIVE REIT ............... 53
400 CHARLES E. SMITH RESIDENTIAL REALTY ... 14
99 CORNERSTONE PROPERTIES, INC ........... 2
8,566 COUSINS PROPERTIES, INC ............... 290
16 FEDERAL REALTY INVESTMENT TRUST ....... 0
17,099 FELCOR LODGING TRUST, INC ............. 355
15,300 GENERAL GROWTH PROPERTIES, INC ........ 543
2,100 GETTY REALTY HOLDINGS CORP ............ 30
54 GREAT LAKES REIT, INC ................. 1
1,100 HEALTH CARE PROPERTY INVESTORS, INC ... 32
6,000 IMPERIAL CREDIT COMMERCIAL
MORTGAGE INVESTMENT CORP .............. 65
300 o LASALLE HOTEL PROPERTIES .............. 5
2,400 o LASER Mortgage MANAGEMENT, INC ........ 8
18,900 MEDITRUST CORP ........................ 247
24,245 MERISTAR HOSPITALITY CORP ............. 544
13 POST PROPERTIES, INC .................. 1
78 RECKSON ASSOCIATES REALTY CORP ........ 2
64 SIMON PROPERTY GROUP, INC ............. 2
3,700 STARWOOD FINANCIAL TRUST .............. 229
11,700 TOWN & COUNTRY TRUST .................. 209
6,427 WASHINGTON REAL ESTATE
INVESTMENT TRUST ..................... 109
16,297 WEINGARTEN REALTY INVESTORS, INC ...... 680
---------
4,387
---------
HOTELS AND OTHER LODGING PLACES--0.11%
379,350 o CENDANT CORP .......................... 7,777
7,678 o CHOICE HOTELS INTERNATIONAL, INC ...... 152
40,400 o EXTENDED STAY AMERICA, INC ............ 485
3,900 HILTON HOTELS CORP .................... 55
2 o INTERSTATE HOTELS CORP ................ 0
30,600 o LODGIAN, INC .......................... 201
2,000 o MANDALAY RESORT GROUP ................. 42
9,157 o MGM GRAND, INC ........................ 449
63,100 o PARK PLACE ENTERTAINMENT .............. 611
35,300 o PRIME HOSPITALITY CORP ................ 424
25,120 o PROMUS HOTEL CORP ..................... 779
75 o RED ROOF INNS, INC .................... 1
136 o SUNBURST HOSPITALITY CORP ............. 1
1,800 o SUNTERRA CORP ......................... 25
2,500 o TRENDWEST RESORTS, INC ................ 56
62 o WYNDHAM INTERNATIONAL, INC ............ 0
----------
11,058
----------
INDUSTRIAL MACHINERY AND EQUIPMENT--13.48%
100,127 o 3COM CORP ............................. 2,672
4,400 o 3DFX INTERACTIVE, INC ................. 69
22,400 o ADAPTEC, INC .......................... 791
30 ALLIED PRODUCTS CORP .................. 0
43,390 o AMERICAN STANDARD COS, INC ............ 2,083
5,700 o APEX PC SOLUTIONS, INC ................ 117
171,400 o APPLIED MATERIALS, INC ................ 12,662
4,600 APPLIED POWER, INC (CLASS A) .......... 126
800 o ASTEC INDUSTRIES, INC ................. 33
3,000 o ATMI, INC ............................. 89
61,002 BAKER HUGHES, INC ..................... 2,044
5,264 o BELL & HOWELL CO ...................... 199
1,000 BLACK & DECKER CORP ................... 63
6,740 o BLACK BOX CORP ........................ 338
13,400 o C-CUBE MICROSYSTEMS, INC .............. 425
27,900 o CABLETRON SYSTEMS, INC ................ 363
10,753 o CENTENNIAL TECHNOLOGIES, INC .......... 9
4,841,015 o CISCO SYSTEMS, INC .................... 311,338
8,165 o COLTEC INDUSTRIES, INC ................ 177
2,400 COLUMBUS MCKINNON CORP ................ 58
2,520,196 COMPAQ COMPUTER CORP .................. 59,697
14,615 o COOPER CAMERON CORP ................... 542
3,300 o CUNO, INC ............................. 63
9,000 o CYLINK CORP ........................... 34
3,318,212 o DELL COMPUTER CORP .................... 122,774
1,100 o DIALOGIC CORP ......................... 48
18,682 DIEBOLD, INC .......................... 537
7,700 o DIGI INTERNATIONAL, INC ............... 80
3,857 DONALDSON CO, INC ..................... 94
7,900 DOVER CORP ............................ 277
200 o DRIL-QUIP, INC ........................ 5
300 o ELECTROGLAS, INC ...................... 6
2,817,906 o EMC CORP .............................. 154,985
300 o ETEC SYSTEMS, INC ..................... 10
3,164 FLOWSERVE CORP ........................ 60
3,000 o FSI INTERNATIONAL, INC ................ 25
9,900 o GARDNER DENVER, INC ................... 160
34,900 o GATEWAY, INC .......................... 2,059
700 GENERAL BINDING CORP .................. 16
11,773 GRACO, INC ............................ 346
626,226 HEWLETT-PACKARD CO .................... 62,936
52,300 HUSSMANN INTERNATIONAL, INC ........... 866
8,700 o HYPERCOM CORP ......................... 83
115,486 INTERNATIONAL BUSINESS MACHINES CORP .. 14,927
92 o IOMEGA CORP ........................... 0
23,476 JLG INDUSTRIES, INC ................... 478
800 KAYDON CORP ........................... 27
52 KENNAMETAL, INC ....................... 2
10,000 o KRONOS, INC ........................... 455
500 o KULICHE & SOFFA INDUSTRIES, INC ....... 13
7,400 o LAM RESEARCH CORP ..................... 345
63,402 o LEXMARK INTERNATIONAL GROUP (CLASS A) . 4,188
2,300 LINDSAY MANUFACTURING CO .............. 40
8,472 MANITOWOC, INC ........................ 353
2,700 o MICRON ELECTRONICS, INC ............... 27
7,600 o MICROS SYSTEMS, INC ................... 258
9,700 o MTI TECHNOLOGY CORP ................... 127
2,800 NACCO INDUSTRIES, INC (CLASS A) ....... 206
10,000 o NATIONAL INSTRUMENTS CORP ............. 404
64 See notes to financial statements.
<PAGE>
GROWTH ACCOUNT (CONTINUED)
VALUE
SHARES (00)
--------- ------
INDUSTRIAL MACHINERY AND EQUIPMENT--(CONTINUED)
400 NORDSON CORP .......................... $ 25
12,554 o NOVELLUS SYSTEMS, INC ................. 857
13,500 o PENTAIR, INC .......................... 618
93,503 PITNEY BOWES, INC ..................... 6,008
4,700 o PRESSTEK, INC ......................... 34
4,800 o PRI AUTOMATION, INC ................... 174
44,300 o QUANTUM CORP .......................... 1,069
53 ROBBINS & MYERS, INC .................. 1
16,445 ROPER INDUSTRIES, INC ................. 526
8,000 o SANDISK CORP .......................... 360
5,300 SAUER, INC ............................ 57
86,679 o SEAGATE TECHNOLOGY, INC ............... 2,221
8,600 o SECURITY DYNAMICS TECHNOLOGIES, INC ... 183
2,500 o SEQUENT COMPUTER SYSTEMS, INC ......... 44
4,900 o SILICON VALLEY GROUP, INC ............. 82
19,500 o SMITH INTERNATIONAL, INC .............. 847
3,100 o SPECIALTY EQUIPMENT COS, INC .......... 91
2,300 o SPEEDFAM-IPEC, INC .................... 37
4,100 o SPLASH TECHNOLOGY HOLDINGS, INC ....... 29
2,500 STANDEX INTERNATIONAL CORP ............ 68
28,500 o STORAGE TECHNOLOGY CORP ............... 648
39,498 SYMBOL TECHNOLOGIES, INC .............. 1,456
1,500 o TELXON CORP ........................... 12
9,800 TENNANT CO ............................ 314
10,900 o TEREX CORP ............................ 332
5,900 o THERMO FIBERTEK, INC .................. 42
5,549,700 TYCO INTERNATIONAL LTD ................ 525,834
9,000 o ULTRATECH STEPPER, INC ................ 136
1,844,650 o UNISYS CORP ........................... 71,826
28,200 o VARCO INTERNATIONAL, INC .............. 308
8,600 o VISUAL NETWORKS, INC .................. 275
21,200 o WESTERN DIGITAL CORP .................. 138
15,400 o XIRCOM, INC ........................... 463
30 YORK INTERNATIONAL CORP ............... 1
9,100 o ZEBRA TECHNOLOGY CORP ................. 350
270 #o ZEBRA TECHNOLOGY CORP (CLASS B) ....... 10
----------
1,376,685
----------
INSTRUMENTS AND RELATED PRODUCTS--2.48%
3,500 o ACUSON CORP ........................... 60
9,300 o ADAC LABORATORIES, INC ................ 67
4,200 o AFFYMETRIX, INC ....................... 207
22,500 o ALARIS MEDICAL, INC ................... 76
7,700 o ANACOMP, INC .......................... 131
6,540 ARROW INTERNATIONAL, INC .............. 169
11,750 o AVID TECHNOLOGIES, INC ................ 189
700 o BACOU U.S.A., INC ..................... 12
96,824 BAXTER INTERNATIONAL, INC ............. 5,870
200 o BAXTER INTERNATIONAL, INC RTS ......... 0
21,000 BECKMAN COULTER, INC .................. 1,021
109,484 BECTON DICKINSON & CO ................. 3,285
32,800 o BIOMET, INC ........................... 1,304
146,000 o BOSTON SCIENTIFIC CORP ................ 6,415
400 o CHYRON CORP ........................... 1
2,000 o CLOSURE MEDICAL CORP .................. 60
20 o CNS, INC .............................. 0
14,000 o COGNEX CORP ........................... 442
4,400 o COLE NATIONAL CORP (CLASS A) .......... 35
3,600 COOPER COS, INC ....................... 90
297 xo CPX CORP .............................. 0
5,900 o CREDENCE SYSTEMS CORP ................. 219
12,700 o CYMER, INC ............................ 318
7,400 o CYTYC CORP ............................ 144
47,600 DENTSPLY INTERNATIONAL, INC ........... 1,374
5,800 o DIONEX CORP ........................... 235
42 o DYNATECH CORP ......................... 0
24,200 EASTMAN KODAK CO ...................... 1,640
4,150 o FOSSIL, INC ........................... 201
10 FRESENIUS MEDICAL CARE AG. ADR ........ 0
10,322 o GENRAD, INC ........................... 215
2,935 o GENZYME SURGICAL PRODUCTS ............. 13
449,838 o GUIDANT CORP .......................... 23,139
4,800 o HANGER ORTHOPEDIC GROUP, INC .......... 68
26,000 HONEYWELL, INC ........................ 3,013
10,500 o INPUT/OUTPUT, INC ..................... 79
23,100 o KLA-TENCOR CORP ....................... 1,499
1,600 o LIFECORE BIOMEDICAL, INC .............. 18
873,863 MEDTRONIC, INC ........................ 68,052
2,100 MENTOR CORP ........................... 39
35,309 o METTLER-TOLEDO INTERNATIONAL, INC ..... 876
15,800 MILLIPORE CORP ........................ 641
3,900 o MINIMED, INC .......................... 300
2,000 MOVADO GROUP, INC ..................... 52
1,400 MTS SYSTEMS CORP ...................... 17
8,400 o NOVOSTE CORP .......................... 176
19,300 o OCULAR SCIENCES, INC .................. 335
8,942 o OEC MEDICAL SYSTEMS, INC .............. 219
2,800 o PANAVISION, INC (NEW) ................. 19
13,300 o PE CORP-CELERA GENOMICS GROUP ......... 215
17,000 PE CORP-PE BIOSYSTEMS GROUP ........... 1,951
1,560 o PERCLOSE, INC ......................... 75
8,800 o PINNACLE SYSTEMS, INC ................. 296
9,400 o RESMED, INC ........................... 312
4,300 o RESPIRONICS, INC ...................... 65
50 o ROBOTIC VISION SYSTEMS, INC ........... 0
3,200 o SCOTT TECHNOLOGIES, INC ............... 62
11,200 o SEPRACOR, INC ......................... 910
83 o SONOSITE, INC ......................... 1
32,151 o ST. JUDE MEDICAL, INC ................. 1,145
28,200 o STERIS CORP ........................... 546
24,389 o STRYKER CORP .......................... 1,466
54,200 o SYBRON INTERNATIONAL CORP ............. 1,494
3,000 o TAVA TECHNOLOGIES, INC ................ 23
6,878 TEKTRONIX, INC ........................ 208
13,700 o TERADYNE, INC ......................... 983
200 o THERMO BIOANALYSIS CORP ............... 3
100 o THERMO CARDIOSYSTEMS, INC ............. 1
7,500 o THERMO ELECTRON CORP .................. 150
11,000 o THERMO INSTRUMENT SYSTEMS, INC ........ 186
1,000 o THERMO OPTEK CORP ..................... 10
17,200 o TRIMBLE NAVIGATION LTD ................ 221
300 o UROMED CORP ........................... 0
1,700 o VEECO INSTRUMENTS, INC ................ 58
3,900 o VENTANA MEDICAL SYSTEMS, INC .......... 75
39,500 o VISX, INC ............................. 3,128
3,100 VITAL SIGNS, INC ...................... 62
2,600 o VIVUS, INC ............................ 7
21,800 o WATERS CORP ........................... 1,158
8,900 o WESLEY JESSEN VISIONCARE, INC ......... 288
2,000 o X RITE, INC 13
1,955,134 XEROX CORP ............................ 115,475
1,000 o XOMED SURGICAL PRODUCTS, INC .......... 49
----------
252,971
----------
INSURANCE AGENTS, BROKERS AND SERVICE--0.01%
1,900 o BLANCH (E.W.) HOLDINGS, INC ........... 130
4,100 BROWN & BROWN, INC .................... 156
23,804 CRAWFORD & CO (CLASS B) ............... 387
9,000 o FIRST HEALTH GROUP CORP ............... 194
See notes to financial statements. 65
<PAGE>
GROWTH ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ ------
INSURANCE AGENTS, BROKERS AND SERVICE--(CONTINUED)
3,500 GALLAGHER (ARTHUR J.) & CO ............ $ 173
600 HILB, ROGAL & HAMILTON CO ............. 13
68 MARSH & MCLENNAN COS, INC ............. 5
----------
1,058
----------
INSURANCE CARRIERS--1.15%
28,274 AFLAC, INC ............................ 1,354
116,073 AMERICAN INTERNATIONAL GROUP, INC ..... 13,588
20,550 AON CORP .............................. 848
1,805,097 CITIGROUP, INC ........................ 85,742
57,300 CONSECO, INC .......................... 1,744
16,100 EQUITABLE COS, INC .................... 1,079
1,100 EVEREST REINSURANCE HOLDINGS, INC ..... 36
1,200 EXECUTIVE RISK, INC ................... 102
1,000 FIDELITY NATIONAL FINANCIAL, INC ...... 21
25,240 FIRST AMERICAN FINANCIAL CORP ......... 451
10,800 o FOUNDATION HEALTH SYSTEMS
(CLASS A) ............................ 162
1,200 o FPIC INSURANCE GROUP, INC ............. 58
400 HARTFORD LIFE, INC (CLASS A) .......... 21
300 HCC INSURANCE HOLDINGS, INC ........... 7
50 o HIGHLANDS INSURANCE GROUP, INC ........ 1
18,100 o HUMANA, INC ........................... 234
83 MBIA, INC ............................. 5
71,982 MGIC INVESTMENT CORP .................. 3,500
49,030 o OXFORD HEALTH PLANS, INC .............. 763
10,388 o PACIFICARE HEALTH SYSTEMS, INC
(CLASS A) ............................ 747
1,100 PMA CAPITAL CORP (CLASS A) ............ 23
94 PMI GROUP, INC ........................ 6
12,300 PROGRESSIVE CORP ...................... 1,784
20 PROTECTIVE LIFE CORP .................. 1
11,639 RADIAN GROUP, INC ..................... 568
3,668 REINSURANCE GROUP OF AMERICA, INC ..... 129
25 SCPIE HOLDINGS, INC ................... 1
9,300 o TRIAD GUARANTY, INC ................... 167
1,000 o UICI .................................. 28
52,200 UNITED HEALTHCARE CORP ................ 3,269
5,800 o WELLPOINT HEALTH NETWORKS, INC ........ 492
----------
116,931
----------
LEATHER AND LEATHER PRODUCTS--0.01%
8,585 o SAMSONITE CORP ........................ 43
6,500 STRIDE RITE CORP ...................... 67
5,300 o TIMBERLAND CO ......................... 361
2,700 WOLVERINE WORLD WIDE, INC ............. 38
----------
509
----------
LEGAL SERVICES--0.00%
5,300 o PREPAID LEGAL SERVICES, INC ........... 144
----------
LOCAL AND INTERURBAN PASSENGER TRANSIT--0.00%
4,300 o COACH U.S.A., INC ..................... 180
1,000 o RURAL/METRO CORP ...................... 10
----------
190
----------
LUMBER AND WOOD PRODUCTS--0.01%
600 o AMERICAN HOMESTAR CORP ................ 4
53,700 o CHAMPION ENTERPRISES, INC ............. 1,000
20,260 CLAYTON HOMES, INC .................... 232
1,500 o OAKWOOD HOMES CORP .................... 20
6,500 o PALM HARBOR HOMES, INC ................ 163
----------
1,419
----------
METAL MINING--0.02%
37,200 o BATTLE MOUNTAIN GOLD CO ............... 91
53,104 o FREEPORT-MCMORAN COPPER &
GOLD, INC (CLASS A) .................. 889
34,250 o FREEPORT-MCMORAN COPPER &
GOLD, INC (CLASS B) .................. 614
90 NEWMONT MINING CORP ................... 2
6,950 o PLACER DOME, INC ...................... 82
8,100 o STILLWATER MINING CO .................. 265
----------
1,943
----------
MISCELLANEOUS MANUFACTURING INDUSTRIES--0.14%
20,860 o BLYTH INDUSTRIES, INC ................. 717
10,500 BRADY CORP (CLASS A) .................. 341
3,500 CALLAWAY GOLF CO ...................... 51
9,900 o HEXCEL CORP ........................... 100
18,800 INTERNATIONAL GAME TECHNOLOGY CO ...... 348
41,181 JOSTENS, INC .......................... 867
98 o LYDALL, INC ........................... 1
368 o MARVEL ENTERPRISES WTS 10/02/02 ....... 0
623 o MARVEL ENTERPRISES WTS 10/02/02
(CLASS C) ............................ 0
170,973 MATTEL, INC ........................... 4,520
81,164 MINNESOTA MINING &
MANUFACTURING CO ..................... 7,056
2,900 ONEIDA LTD ............................ 82
4,486 o STEINWAY MUSICAL INSTRUMENTS, INC ..... 119
56 o WMS INDUSTRIES, INC ................... 1
----------
14,203
----------
MISCELLANEOUS RETAIL--0.43%
41,846 o AMAZON.COM, INC ....................... 5,236
25,100 o BARNES & NOBLE, INC ................... 687
4,900 o BARNETT, INC .......................... 37
19,900 o BORDERS GROUP, INC .................... 315
11,060 o CDW COMPUTER CENTERS, INC ............. 487
2,400 o COLDWATER CREEK, INC .................. 47
7,070 o CORPORATE EXPRESS, INC ................ 49
193,639 CVS CORP .............................. 9,827
1,600 o DUANE READE, INC ...................... 49
5,900 o GARDEN RIDGE CORP ..................... 28
2,300 o GENESIS DIRECT, INC ................... 4
44,000 o HANOVER DIRECT, INC ................... 124
12,209 o INSIGHT ENTERPRISES, INC .............. 302
3,800 xo JUMBOSPORTS, INC ...................... 0
1,500 o LANDS END, INC ........................ 73
18,300 o MICHAELS STORES, INC .................. 560
1,300 o NCS HEALTHCARE, INC (CLASS A) ......... 7
129,181 o OFFICE DEPOT, INC ..................... 2,850
17,000 o OFFICEMAX, INC ........................ 204
23,600 OMNICARE, INC ......................... 298
11,300 o PETCO ANIMAL SUPPLIES, INC ............ 178
33,340 o PETSMART, INC ......................... 342
17,100 o RITE AID CORP ......................... 421
17,500 o SCHEIN (HENRY), INC ................... 555
211,665 o STAPLES, INC .......................... 6,548
8,950 o SUNGLASS HUT INTERNATIONAL, INC ....... 154
26,485 o SYSTEMAX, INC ......................... 328
9,800 TIFFANY & CO .......................... 946
85 o TOYS R US, INC ........................ 2
10,658 o U.S. OFFICE PRODUCTS CO ............... 57
451,030 WALGREEN CO ........................... 13,249
30 o ZALE CORP ............................. 1
----------
43,965
----------
66 See notes to financial statements.
<PAGE>
GROWTH ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ ------
MOTION PICTURES--0.46%
927,847 o DISNEY (WALT) CO ...................... $ 28,589
12,000 o HOLLYWOOD ENTERTAINMENT CORP .......... 235
41,800 o METROMEDIA INTERNATIONAL GROUP, INC ... 314
6,600 o PIXAR, INC ............................ 285
244,933 TIME WARNER, INC ...................... 18,003
----------
47,426
----------
NONDEPOSITORY INSTITUTIONS--1.39%
7,900 o AAMES FINANCIAL CORP .................. 10
75 ADVANTA CORP (CLASS A) ................ 1
169,146 AMERICAN EXPRESS CO ................... 22,010
14,900 o AMERICREDIT CORP ...................... 238
1,000 o AMRESCO, INC .......................... 6
1,603,668 ASSOCIATES FIRST CAPITAL CORP ......... 71,063
83,308 CAPITAL ONE FINANCIAL CORP ............ 4,639
6,400 CHARTER MUNICIPAL MORTGAGE
ACCEPTANCE ........................... 82
11,400 xo CITYSCAPE FINANCIAL CORP .............. 0
19,433 o CONTIFINANCIAL CORP ................... 69
6,282 COUNTRYWIDE CREDIT INDUSTRIES, INC .... 269
1,800 DORAL FINANCIAL CORP .................. 31
500 o FEDERAL AGRICULTURE MORTGAGE CORP ..... 34
258,597 FEDERAL NATIONAL MORTGAGE
ASSOCIATION .......................... 17,682
900 o FINANCIAL FEDERAL CORP ................ 20
1,500 FINOVA GROUP, INC ..................... 79
3,700 o FIRST SIERRA FINANCIAL, INC ........... 93
324,652 FREDDIE MAC ........................... 18,830
2,600 o HEALTHCARE FINANCIAL PARTNERS, INC .... 89
56,881 HOUSEHOLD INTERNATIONAL, INC .......... 2,695
600 o IMC MORTGAGE CO ....................... 0
100 o IMPERIAL CREDIT INDUSTRIES, INC ....... 1
2,000 o LONG BEACH FINANCIAL CORP ............. 29
3,600 MEDALLION FINANCIAL CORP .............. 69
31,400 METRIS COS, INC ....................... 1,280
2,200 RESOURCE AMERICA, INC (CLASS A) ....... 32
54,284 SLM HOLDINGS CORP ..................... 2,487
1,881 xo SOUTHERN PACIFIC FUNDING CORP ......... 0
13,200 o UNICAPITAL CORP ....................... 83
100 xo UNITED COS FINANCIAL CORP ............. 0
----------
141,921
----------
OIL AND GAS EXTRACTION--0.22%
26,900 ANADARKO PETROLEUM CORP ............... 990
79 APACHE CORP ........................... 3
2,883 o ATWOOD OCEANICS, INC .................. 90
22 o BELCO OIL & GAS CORP .................. 0
4,800 BERRY PETROLEUM CO (CLASS A) .......... 67
7,600 o BJ SERVICES CO ........................ 224
11,300 o BROWN (TOM), INC ...................... 176
1,400 o CAL DIVE INTERNATIONAL, INC ........... 42
500 o COHO ENERGY, INC ...................... 0
13,500 o COMSTOCK RESOURCES, INC ............... 45
13,100 CROSS TIMBERS OIL CO .................. 195
43,859 DIAMOND OFFSHORE DRILLING, INC ........ 1,244
37,133 o EEX CORP .............................. 258
6,651 ENRON OIL & GAS CO .................... 135
103,739 ENSCO INTERNATIONAL, INC .............. 2,068
5,300 o FRIEDE GOLDMAN INTERNATIONAL, INC ..... 74
24,714 o GLOBAL INDUSTRIES LTD ................. 317
91,500 o GLOBAL MARINE, INC .................... 1,413
211,800 o GREY WOLF, INC ........................ 530
128,948 HALLIBURTON CO ........................ 5,835
3,500 o HANOVER COMPRESSOR CO ................. 112
6,600 o HARKEN ENERGY CORP .................... 11
17,213 KCS ENERGY, INC ....................... 11
39,800 KERR-MCGEE CORP ....................... 1,997
51,900 o KEY ENERGY SERVICES, INC .............. 185
15,700 o MARINE DRILLING CO, INC ............... 215
71 o MCMORAN EXPLORATION CO ................ 2
5,191 MITCHELL ENERGY & DEVELOPMENT
CORP (CLASS A) ....................... 100
14,300 o NABORS INDUSTRIES, INC ................ 349
1,200 o NEWFIELD EXPLORATION CO ............... 34
7,800 NOBLE AFFILIATES, INC ................. 220
46,337 o NOBLE DRILLING CORP ................... 912
43 o OCEAN ENERGY, INC (NEW) ............... 0
6,500 o OCEANEERING INTERNATIONAL, INC ........ 105
2,100 o OMNI ENERGY SERVICES CORP ............. 7
9,300 o PATTERSON ENERGY, INC ................. 92
42 o PIONEER NATURAL RESOURCES CO .......... 0
1,500 POGO PRODUCING CO ..................... 28
88,300 o R & B FALCON CORP ..................... 828
4,100 RANGE RESOURCES CORP .................. 25
7,734 o ROWAN COS, INC ........................ 143
5,700 RPC, INC .............................. 50
4,163 o STONE ENERGY CORP ..................... 176
12,400 o SUPERIOR ENERGY SERVICES, INC ......... 63
8,200 o SYNTROLEUM CORP ....................... 73
11,471 o TRANSMONTAIGNE, INC ................... 144
35,500 TRANSOCEAN OFFSHORE, INC .............. 932
12,235 xo TRANSTEXAS GAS CORP ................... 7
8,800 o TUBOSCOPE, INC ........................ 120
14,994 VASTAR RESOURCES, INC ................. 786
15,100 o VERITAS DGC, INC ...................... 277
900 o VINTAGE PETROLEUM, INC ................ 10
24,700 o WEATHERFORD INTERNATIONAL ............. 905
----------
22,625
----------
PAPER AND ALLIED PRODUCTS--0.21%
388 o AMERICAN PAD & PAPER CO ............... 1
37,200 AVERY DENNISON CORP ................... 2,246
16,900 o EARTHSHELL CORP ....................... 118
109,433 FORT JAMES CORP ....................... 4,145
35,300 o GAYLORD CONTAINER CO .................. 280
12,388 o IVEX PACKAGING CORP ................... 273
230,016 KIMBERLY-CLARK CORP ................... 13,111
22,600 o MAIL-WELL, INC ........................ 366
14,256 o SMURFIT-STONE CONTAINER CORP .......... 293
2,500 SONOCO PRODUCTS CO .................... 75
20,810 WAUSAU-MOSINEE PAPER CORP ............. 375
----------
21,283
----------
PERSONAL SERVICES--0.07%
59,547 BLOCK (H&R), INC ...................... 2,977
7,300 o CARRIAGE SERVICES, INC (CLASS A) ...... 137
32,900 CINTAS CORP ........................... 2,210
9,700 o COINMACH LAUNDRY CORP ................. 123
1,450 G & K SERVICES, INC (CLASS A) ......... 76
2,400 REGIS CORP ............................ 46
75,621 SERVICE CORP INTERNATIONAL ............ 1,456
1,600 UNIFIRST CORP ......................... 29
----------
7,054
----------
PETROLEUM AND COAL PRODUCTS--0.00%
88 CHEVRON CORP .......................... 8
1,200 ELCOR CORP ............................ 52
3,400 o FRONTI ER OIL CORP .................... 23
84 TEXACO, INC ........................... 5
61 TOSCO CORP ............................ 2
See notes to financial statements. 67
<PAGE>
GROWTH ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ ------
PETROLEUM AND COAL PRODUCTS--(CONTINUED)
80 UNOCAL CORP ........................... $ 3
3,200 WD-40 CO .............................. 80
----------
173
----------
PRIMARY METAL INDUSTRIES--0.02%
25 o AFC CABLE SYSTEMS, INC ................ 1
3,100 o ALPINE GROUP, INC ..................... 50
15 o ARMCO, INC ............................ 0
11,700 BELDEN, INC ........................... 280
1,000 o CABLE DESIGN TECHNOLOGIES CO .......... 15
1,700 o CHASE INDUSTRIES, INC ................. 14
1,900 o ENCORE WIRE CORP ...................... 17
4,400 GENERAL CABLE CORP .................... 70
200 GIBRALTAR STEEL CORP .................. 5
700 IMCO RECYCLING, INC ................... 12
2,900 o LONE STAR TECHNOLOGIES, INC ........... 51
4,700 MATTHEWS INTERNATIONAL CORP
(CLASS A) ............................ 139
5,000 o MAVERICK TUBE CORP .................... 70
4,300 o NS GROUP, INC ......................... 40
500 NUCOR CORP ............................ 24
1,500 o OPTICAL CABLE CORP .................... 17
11,800 QUANEX CORP ........................... 336
3,600 o STEEL DYNAMICS, INC ................... 56
9,242 SUPERIOR TELECOM, INC ................. 231
5,900 o TEXAS INDUSTRIES, INC ................. 229
19,480 WORTHINGTON INDUSTRIES, INC ........... 320
----------
1,977
----------
PRINTING AND PUBLISHING--0.17%
54,208 BELO (A.H.) CORP SERIES A ............. 1,067
12,100 o BIG FLOWER HOLDINGS, INC .............. 386
12,012 CENTRAL NEWSPAPERS, INC (CLASS A) ..... 452
6,320 o CONSOLIDATED GRAPHICS, INC ............ 316
88 DELUXE CORP ........................... 3
200 DOW JONES & CO, INC ................... 11
62,889 GANNETT CO, INC ....................... 4,489
40 HARLAND (JOHN H.) CO .................. 1
7,400 HARTE-HANKS, INC ...................... 201
9,600 HOLLINGER INTERNATIONAL, INC .......... 114
6,100 HOUGHTON MIFFLIN CO ................... 287
28,256 LEE ENTERPRISES, INC .................. 862
15,600 MCGRAW HILL COS, INC .................. 841
14,492 MEDIA GENERAL, INC (CLASS A) .......... 739
26,500 MEREDITH CORP ......................... 918
1,400 MERRILL CORP .......................... 20
2,100 NEW ENGLAND BUSINESS SERVICES, INC .... 65
25 o PAXAR CORP ............................ 0
3,200 PENTON MEDIA, INC ..................... 78
16,300 o PLAYBOY ENTERPRISES, INC (CLASS B) .... 433
30,139 o PRIMEDIA, INC ......................... 510
11,656 READER'S DIGEST ASSOCIATION, INC
(CLASS A) (NON-VOTE) ................. 463
34,052 REYNOLDS & REYNOLDS CO (CLASS A) ...... 794
1,000 SCHAWK, INC (CLASS A) ................. 9
21 STANDARD REGISTER, INC ................ 1
100 THOMAS NELSON, INC .................... 1
18,900 TIMES MIRROR CO SERIES A .............. 1,120
36,209 TRIBUNE CO ............................ 3,155
68 WALLACE COMPUTER SERVICES, INC ........ 2
28,200 WILEY (JOHN) & SONS, INC (CLASS A) .... 497
77 o WORKFLOW MANAGEMENT, INC .............. 1
6 o WORLD COLOR PRESS, INC ................ 0
----------
17,836
----------
RAILROAD TRANSPORTATION--0.04%
56,282 KANSAS CITY SOUTHERN INDUSTRIES, INC .. 3,591
7,750 o WISCONSIN CENTRAL TRANSIT CORP ........ 146
----------
3,737
----------
REAL ESTATE--0.01%
4,883 o CATELLUS DEVELOPMENT CORP ............. 76
12,200 o CB RICHARD ELLIS SERVICES GROUP, INC .. 303
5,100 o FAIRFIELD COMMUNITIES, INC ............ 82
4,200 FOREST CITY ENTERPRISES, INC (CLASS A) 118
5,300 o GRUBB & ELLIS CO ...................... 27
1,400 o INSIGNIA FINANCIAL GROUP, INC ......... 15
8,296 o JONES LANG LA SALLE ................... 247
1,230 o RECKSON SERVICES INDUSTRIES, INC ...... 19
5,700 STEWART ENTERPRISES, INC (CLASS A) .... 83
6,400 o TRAMMELL CROW CO ...................... 105
----------
1,075
----------
RUBBER AND MISCELLANEOUS PLASTIC PRODUCTS--0.82%
12,494 APTARGROUP, INC ....................... 375
76 ARMSTRONG WORLD INDUSTRIES, INC ....... 4
13,172 FURON CO .............................. 250
77,925 ILLINOIS TOOL WORKS, INC .............. 6,390
3,735 MYERS INDUSTRIES, INC ................. 75
928,100 NIKE, INC (CLASS B) ................... 58,760
48 o REEBOK INTERNATIONAL LTD .............. 1
24,704 o SAFESKIN CORP ......................... 296
41,195 o SEALED AIR CORP ....................... 2,673
55 o SOLUTIA, INC .......................... 1
8,400 SPARTECH CORP ......................... 266
7,600 o SYNETIC, INC .......................... 523
14,648 TREDEGAR CORP ......................... 319
547,167 TUPPERWARE CORP ....................... 13,953
9,900 WYNNS INTERNATIONAL, INC .............. 183
----------
84,069
----------
SECURITY AND COMMODITY BROKERS--0.28%
15,564 o AFFILIATED MANAGERS GROUP, INC ........ 470
16,800 o AMERITRADE HOLDINGS CORP (CLASS A) .... 1,781
12,600 CONNING CORP .......................... 205
1,000 o DUFF & PHELPS CREDIT RATING CO ........ 67
91,308 o E TRADE GROUP, INC .................... 3,647
18,124 EATON VANCE CORP ...................... 624
5,815 EVEREN CAPITAL CORP ................... 173
24,700 FEDERATED INVESTMENTS, INC ............ 443
71,313 FRANKLIN RESOURCES, INC ............... 2,897
67 FREEDOM SECURITIES CORP ............... 1
1,100 o HAMBRECHT & QUIST GROUP ............... 41
3,600 INVESTMENT TECHNOLOGY GROUP, INC ...... 117
2,100 INVESTORS FINANCIAL SERVICES CORP ..... 84
2,409 JOHN NUVEEN CO (CLASS A) .............. 103
5,800 MORGAN KEEGAN, INC .................... 110
7,100 o PIONEER GROUP, INC .................... 122
29,100 PRICE (T. ROWE) ASSOCIATES, INC ....... 1,117
145,851 SCHWAB (CHARLES) CORP ................. 16,025
2,000 VALUE LINE, INC ....................... 78
----------
28,105
----------
SOCIAL SERVICES--0.01%
2,300 o BROOKDALE LIVING COMMUNITIES, INC ..... 34
3,200 o RES-CARE, INC ......................... 73
6,300 o SUNRISE ASSISTED LIVING, INC .......... 220
----------
327
----------
SPECIAL TRADE CONTRACTORS--0.00%
6,600 xo AMRE, INC ............................. 0
2,200 o COMFORT SYSTEMS U.S.A., INC ........... 40
68 See notes to financial statements.
<PAGE>
GROWTH ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ ------
SPECIAL TRADE CONTRACTORS--(CONTINUED)
7,300 o GROUP MAINTENANCE AMERICA CORP ........ $ 94
900 o SERVICE EXPERTS, INC .................. 20
----------
154
----------
STONE, CLAY, AND GLASS PRODUCTS--0.10%
1,000 o CARBO CERAMICS, INC ................... 30
10,601 CENTEX CONSTRUCTION PRODUCTS, INC ..... 362
100,099 CORNING, INC .......................... 7,019
20,300 o DAL-TILE INTERNATIONAL, INC ........... 231
9,119 o DEPARTMENT 56, INC .................... 245
3,500 o DUPONT PHOTOMASKS, INC ................ 168
3,000 o GIANT CEMENT HOLDINGS, INC ............ 69
12,200 LIBBEY, INC ........................... 354
7,000 o OWENS ILLINOIS, INC ................... 229
7,900 SOUTHDOWN, INC ........................ 508
14,617 USG CORP .............................. 819
----------
10,034
----------
TEXTILE MILL PRODUCTS--0.01%
7,493 o MOHAWK INDUSTRIES, INC ................ 228
23,900 o SHAW INDUSTRIES, INC .................. 394
3,000 ST. JOHN KNITS, INC ................... 88
24,800 WESTPOINT STEVENS, INC ................ 739
----------
1,449
----------
TOBACCO PRODUCTS--1.20%
3,011,673 PHILIP MORRIS COS, INC ................ 121,032
16 o RJR REYNOLDS TOBACCO HOLDINGS, INC .... 1
62,000 UST, INC .............................. 1,814
----------
122,847
----------
TRANSPORTATION BY AIR--0.02%
7,200 o AIRNET SYSTEMS, INC ................... 97
1,600 o AIRTRAN HOLDINGS, INC ................. 9
1,100 o ATLANTIC COAST AIRLINES HOLDINGS ...... 21
1,500 o ATLAS AIR, INC ........................ 48
36,387 COMAIR HOLDINGS, INC .................. 757
11,200 o FDX CORP .............................. 608
50 o MESA AIR GROUP, INC ................... 0
55 o MIDWEST EXPRESS HOLDINGS, INC ......... 2
1,000 SKYWEST, INC 25
16,400 o U.S. AIRWAYS GROUP, INC 714
----------
2,281
----------
TRANSPORTATION EQUIPMENT--2.65%
1,228,486 ALLIED SIGNAL, INC .................... 77,395
1,900 o BE AEROSPACE, INC ..................... 36
330,830 BOEING CO ............................. 14,619
4,700 o BORG-WARNER AUTOMOTIVE, INC ........... 259
10,800 CLARCOR, INC .......................... 207
18,533 CORDANT TECHNOLOGIES, INC ............. 837
32,704 DANAHER CORP .......................... 1,901
13,600 DELPHI AUTOMOTIVE SYSTEMS CORP ........ 252
32,600 FEDERAL-MOGUL CORP .................... 1,695
1,208,500 o GENERAL MOTORS CORP (CLASS H) ......... 67,978
28,600 o GENTEX CORP ........................... 801
27,984 GOODRICH (B.F.) CO .................... 1,189
37,459 o GULFSTREAM AEROSPACE CORP ............. 2,531
7,842 o HALTER MARINE GROUP, INC .............. 52
73,760 HARLEY DAVIDSON, INC .................. 4,011
15,600 o HAYES LEMMERZ INTERNATIONAL, INC ...... 458
1,500 o HEICO CORP ............................ 37
8,300 o HOWMET INTERNATIONAL, INC ............. 143
1,400 o KELLSTROM INDUSTRIES, INC ............. 26
400 o KROLL O GARA CO ....................... 9
22,374 MASCOTECH, INC ........................ 379
81,944 MERITOR AUTOMOTIVE, INC ............... 2,090
2,600 o MONACO COACH CORP ..................... 110
3,200 o MOTIVEPOWER INDUSTRIES, INC ........... 58
4,300 o NATIONAL R.V. HOLDINGS, INC ........... 104
400 o NEWPORT NEWS SHIPBUILDING, INC ........ 12
8,300 o ORBITAL SCIENCES CORP ................. 196
13,555 POLARIS INDUSTRIES, INC ............... 590
3,804 REGAL-BELOIT CORP ..................... 90
1,500 o STONERIDGE, INC ....................... 20
3,324 THOR INDUSTRIES, INC .................. 94
8,755 o TRIUMPH GROUP, INC .................... 223
1,283,753 UNITED TECHNOLOGIES CORP .............. 92,029
----------
270,431
----------
TRANSPORTATION SERVICES--0.03%
50 AIR EXPRESS INTERNATIONAL CORP ........ 1
300 o AMBASSADORS INTERNATIONAL, INC ........ 4
18,500 C.H. ROBINSON WORLDWIDE, INC .......... 680
2,200 o EAGLE U.S.A. AIRFREIGHT, INC .......... 93
12,600 EXPEDITORS INTERNATIONAL OF
WASHINGTON ........................... 343
31,916 GALILEO INTERNATIONAL, INC ............ 1,706
83 o NAVIGANT INTERNATIONAL, INC ........... 1
2,200 o U.S. EXPRESS ENTERPRISES, INC (CLASS A) 24
----------
2,852
----------
TRUCKING AND WAREHOUSING--0.01%
3,000 o DISPATCH MANAGEMENT SERVICES CORP ..... 8
2,000 o HEARTLAND EXPRESS, INC ................ 33
7,500 HUNT (J.B.) TRANSPORT SERVICES, INC ... 122
12,900 o IRON MOUNTAIN, INC .................... 369
2,800 o KNIGHT TRANSPORTATION, INC ............ 60
7,100 o PIERCE LEAHY CORP ..................... 175
24,775 o SWIFT TRANSPORTATION CO, INC .......... 545
----------
1,312
----------
WATER TRANSPORTATION--1.27%
2,646,876 CARNIVAL CORP (CLASS A) ............... 128,373
46,702 TIDEWATER, INC ........................ 1,424
34 o TRICO MARINE SERVICES, INC ............ 0
----------
129,797
----------
WHOLESALE TRADE-DURABLE GOODS--0.04%
4,900 o ACTION PERFORMANCE COS, INC ........... 162
4,700 o ANICOM, INC ........................... 49
56 o ANIXTER INTERNATIONAL, INC ............ 1
273 o ARROW ELECTRONICS, INC ................ 5
1,300 o AVIATION SALES CO ..................... 51
1,900 AVNET, INC ............................ 88
8,400 BRIGGS & STRATTON CORP ................ 485
7,789 o BRIGHTPOINT, INC ...................... 47
73 CASTLE (A.M.) & CO .................... 1
20,456 o CELLSTAR CORP ......................... 161
23,972 o FISHER SCIENTIFIC INTERNATIONAL, INC .. 535
300 o GRAHAM-FIELD HEALTH PRODUCTS, INC ..... 0
9,600 o HA-LO INDUSTRIES, INC ................. 95
12,400 IKON OFFICE SOLUTIONS, INC ............ 186
20,400 o INGRAM MICRO, INC (CLASS A) ........... 525
1,900 o JLK DIRECT DISTRIBUTION, INC (CLASS A) 18
1,900 o KEYSTONE AUTOMOTIVE INDUSTRIES, INC ... 33
6,000 o METAL MANAGEMENT, INC ................. 9
6,400 o MSC INDUSTRIAL DIRECT CO (CLASS A) .... 66
7,400 o NATIONAL-OILWELL, INC ................. 104
22,971 OWENS & MINOR, INC .................... 253
6,200 o PATTERSON DENTAL CO ................... 215
10,725 o PSS WORLD MEDICAL, INC ................ 120
See notes to financial statements. 69
<PAGE>
GROWTH ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ ------
WHOLESALE TRADE-DURABLE GOODS--(CONTINUED)
11,800 o SAFEGUARD SCIENTIFICS, IN $ 732
11,871 o TECH DATA CORP 454
2,043 o VWR SCIENTIFIC PRODUCTS CORP 75
200 o WATSCO, INC 3
----------
4,473
----------
WHOLESALE TRADE-NONDURABLE GOODS--1.74%
9,100 o AIRGAS, INC 111
37,900 o AMERISOURCE HEALTH CORP (CLASS A) ..... 966
6,600 o BARNETT RESOURCES CORP 253
80,011 BERGEN BRUNSWIG CORP (CLASS A) 1,380
32 o BOISE CASCADE OFFICE PRODUCTS CORP 0
2,537,872 CARDINAL HEALTH, INC 162,737
4,500 o CENTRAL GARDEN & PET CO 46
92 DIMON, INC 0
8,933 ENRON CORP 730
8,100 o HERBALIFE INTERNATIONAL, INC (CLASS B) 70
5,500 o HUNT CORP 45
2,552 o KENNETH COLE PRODUCTIONS, INC 71
123,194 MCKESSON HBOC, INC 3,958
14,100 o NU SKIN ENTERPRISES, INC (CLASS A) 281
3,300 o PERFORMANCE FOOD GROUP CO 90
4,000 o PLAINS RESOURCES, INC 76
6,050 o PRIORITY HEALTHCARE CORP (CLASS B) 209
20,332 RICHFOOD HOLDINGS, INC 358
48 o SCHOOL SPECIALTY, INC 1
26,800 o SCIOS, INC 87
167,678 SYSCO CORP 4,999
17,700 o UNITED STATIONERS, INC 389
17,000 UNIVERSAL CORP 483
2,300 VALHI, INC 26
----------
177,366
----------
TOTAL COMMON STOCK
(Cost $7,815,719) ..... 9,862,388
----------
PRINCIPAL
---------
SHORT TERM INVESTMENTS--2.89%
CERTIFICATES OF DEPOSIT--0.11%
FLEET NATIONAL BANK
$11,500,000 * 4.880% 08/11/99 ..................... 11,494
-----------
COMMERCIAL PAPER--2.20%
AMERICAN EXPRESS CREDIT CORP
5,551,000 * 4.780% 07/16/99 ..................... 5,538
ASSOCIATES CORP OF NORTH AMERICA
10,000,000 * 4.920% 08/31/99 ..................... 9,910
BEAR STEARNS CO, INC
11,518,000 * ~ 4.820% 07/19/99 ..................... 11,486
CIESCO LP
11,518,000 * ~ 5.110% 08/09/99 ..................... 11,451
COLGATE-PALMOLIVE CO
9,000,000 * ~ 4.870% 07/28/99 ..................... 8,963
EASTMAN KODAK CO
11,518,000 * 4.780% 07/06/99 ..................... 11,507
ENTERPRISE FUNDING CORP
6,500,000 * ~ 4.870% 07/14/99 ..................... 6,487
5,118,000 * ~ 4.880% 08/19/99 ..................... 5,081
FORD MOTOR CREDIT CO
4,785,000 * 4.890% 07/23/99 ..................... 4,769
FORTUNE BRANDS, INC
5,000,000 * ~ 4.780% 07/13/99 ..................... 4,991
HEINZ (H.J.) CO
8,601,000 * 4.820% 07/22/99 ..................... 8,574
HOUSEHOLD FINANCE CORP
4,500,000 * 4.850% 07/07/99 ..................... 4,495
LOCKHEED MARTIN CORP
2,045,000 * ~ 5.250% 07/12/99 ..................... 2,041
MCGRAW-HILL COS, INC
11,517,000 * 4.850% 08/18/99 ..................... 11,435
MCI WORLDCOM, INC
10,932,000 ~ 6.100% 07/01/99 ..................... 10,930
MORGAN STANLEY DEAN WITTER
11,518,000 5.750% 07/01/99 ..................... 11,516
MOTOROLA, INC
11,518,000 * 4.780% 07/29/99 ..................... 11,470
NATIONAL RURAL UTILITIES COOP FINANCE
11,000,000 * 4.910% 08/26/99 ..................... 10,909
PACCAR FINANCIAL CORP
11,518,000 * 4.770% 07/22/99 ..................... 11,481
PUBLIC SERVICE ELECECTRIC & GAS
11,517,000 * 5.000% 07/15/99 ..................... 11,491
RAYTHEON CO
7,955,000 * ~ 4.980% 07/01/99 ..................... 7,954
3,100,000 * ~ 5.000% 07/07/99 ..................... 3,096
RECEIVABLES CAPITAL CORP
11,517,000 * ~ 4.860% 07/12/99 ..................... 11,497
SALOMON SMITH BARNEY HOLDINGS, INC
11,518,000 * 4.790% 08/10/99 ..................... 11,450
SC JOHNSON & SON, INC
5,017,000 * ~ 5.120% 08/17/99 ..................... 4,982
TYCO INTERNATIONAL
11,518,000 * ~ 5.350% 08/05/99 ..................... 11,456
-----------
224,960
-----------
U.S. GOVERNMENT & AGENCIES--0.58%
FEDERAL HOME LOAN BANK
122,000 * 4.680% 07/16/99 ...................... 122
171,000 * 4.750% 10/08/99 ...................... 169
FEDERAL HOME LOAN MORTGAGE CORP
1,532,000 * 4.700% 07/23/99 ...................... 1,527
28,235,000 * 5.050% 08/05/99 ...................... 28,093
16,640,000 * 4.930% 08/12/99 ...................... 16,540
698,000 * 4.770% 08/13/99 ...................... 694
10,855,000 * 5.050% 08/24/99 ...................... 10,772
FEDERAL NATIONAL MORTGAGE ASSOCIATION
1,183,000 * 4.860% 08/05/99 ...................... 1,177
-----------
59,094
-----------
TOTAL SHORT TERM INVESTMENTS
(Cost $295,738) ....................... 295,548
-----------
TOTAL PORTFOLIO
(Cost $8,111,889)....... ................ $10,158,467
===========
- -------------
o Non-income producing
+ Affiliated holding
x In bankruptcy
~ Commerical Paper issued under the Private Placement exemption under Section
4(2) of the Securities Act of 1933, as amended.
* All or a portion of these securities have been segregated by the Custodian to
cover margin or other requirements on open futures contracts.
# Restricted Securities-Investment in securities not registered under the
Securities Act of 1933 or not publicly traded in foreign markets. At June 30,
1999, the value of these securities amounted to $15,714 or 0.00% of net
assets.
Additional information on each restricted security is as follows:
ACQUISITION ACQUISITION
SECURITY DATE COST
-------- ----------- -----------
PHYSICIAN COMPUTER NETWORK, INC 12/27/95 $ 17,985
PROCURENET, INC 04/19/99 4,068
ZEBRA TECHNOLOGY CORP (CLASS B) 10/29/98 8,133
--------
$ 30,186
========
70 See notes to financial statements.
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
TRANSACTIONS WITH AFFILIATED COMPANIES -- GROWTH ACCOUNT (Unaudited)
JANUARY 1, 1999 -- JUNE 30, 1999
<TABLE>
<CAPTION>
VALUE AT REALIZED DIVIDEND SHARES AT VALUE AT
ISSUE DECEMBER 31, 1998 PURCHASE COST SALES PROCEEDS GAIN (LOSS) INCOME JUNE 30, 1999 JUNE 30, 1999
----- ----------------- ------------- -------------- ----------- ---------- ------------- -------------
<S> <C> <C> <C> <C> <C> <C> <C>
GUILFORD
PHARMACEUTICALS, INC $ 23,499,675 -- $ 2,634,458 $(2,339,489) -- 1,392,100 $ 17,749,275
OCEAN ENERGY, INC (NEW) 36,941,299 $ 26,763 24,170,475 (84,959,237) -- -- []
PREMIER PARKS, INC 162,391,075 33,477,155 114,863,289 37,267,478 -- -- []
TOTAL AFFILIATED
TRANSACTIONS $222,832,049 $33,503,918 $141,668,222 ($50,031,248) $ 0 $ 17,749,275
============ =========== ============ =========== ========= ============
</TABLE>
[] Not an Affiliate as of June 30, 1999
See notes to financial statements. 71
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENT OF INVESTMENTS--EQUITY INDEX ACCOUNT (Unaudited)
JUNE 30, 1999
SUMMARY BY INDUSTRY
(000)
VALUE %
--------- -------
BONDS
CORPORATE BONDS
ELECTRIC, GAS, AND SANITARY SERVICES ... $ 15 0.00%
---------- ------
TOTAL CORPORATE BONDS
(Cost $10) ............................. 15 0.00
---------- ------
TOTAL BONDS
(Cost $10) ............................. 15 0.00
---------- ------
PREFERRED STOCK
HOLDING AND OTHER INVESTMENT OFFICES ... 34 0.00
INSTRUMENTS AND RELATED PRODUCTS ....... 0 0.00
INSURANCE CARRIERS ..................... 95 0.00
RUBBER AND MISCELLANEOUS
PLASTIC PRODUCTS ..................... 552 0.02
WHOLESALE TRADE-DURABLE GOODS .......... 21 0.00
---------- ------
TOTAL PREFERRED STOCK
(Cost $568) ............................ 702 0.02
---------- ------
COMMON STOCK
AGRICULTURAL PRODUCTION-CROPS .......... 3,401 0.08
AGRICULTURAL SERVICES .................. 115 0.00
AMUSEMENT AND RECREATION SERVICES ...... 4,947 0.11
APPAREL AND ACCESSORY STORES ........... 25,680 0.59
APPAREL AND OTHER TEXTILE PRODUCTS ..... 5,235 0.12
AUTO REPAIR, SERVICES AND PARKING ...... 2,528 0.06
AUTOMOTIVE DEALERS AND SERVICE STATIONS 5,186 0.12
BUILDING MATERIALS AND GARDEN SUPPLIES . 40,472 0.92
BUSINESS SERVICES ...................... 342,263 7.80
CHEMICALS AND ALLIED PRODUCTS .......... 521,687 11.89
COAL MINING ............................ 68 0.00
COMMUNICATIONS ......................... 527,401 12.02
DEPOSITORY INSTITUTIONS ................ 347,120 7.91
EATING AND DRINKING PLACES ............. 36,884 0.84
EDUCATIONAL SERVICES ................... 1,566 0.04
ELECTRIC, GAS, AND SANITARY SERVICES ... 153,325 3.50
ELECTRONIC AND OTHER ELECTRIC EQUIPMENT 352,572 8.04
ENGINEERING AND MANAGEMENT SERVICES .... 8,898 0.20
FABRICATED METAL PRODUCTS .............. 30,442 0.69
FISHING, HUNTING, AND TRAPPING ......... 33 0.00
FOOD AND KINDRED PRODUCTS .............. 145,593 3.32
FOOD STORES ............................ 31,435 0.72
FORESTRY ............................... 1,845 0.04
FURNITURE AND FIXTURES ................. 11,693 0.27
FURNITURE AND HOMEFURNISHINGS STORES ... 13,848 0.32
GENERAL BUILDING CONTRACTORS ........... 4,147 0.09
GENERAL MERCHANDISE STORES ............. 100,293 2.29
HEALTH SERVICES ........................ 17,926 0.41
HEAVY CONSTRUCTION, EXCEPT BUILDING .... 2,012 0.05
HOLDING AND OTHER INVESTMENT OFFICES ... 40,361 0.92
HOTELS AND OTHER LODGING PLACES ........ 12,520 0.29
INDUSTRIAL MACHINERY AND EQUIPMENT ..... 340,626 7.76
INSTRUMENTS AND RELATED PRODUCTS ....... 99,993 2.28
INSURANCE AGENTS, BROKERS AND SERVICE .. 8,158 0.19
INSURANCE CARRIERS ..................... 220,933 5.03
LEATHER AND LEATHER PRODUCTS ........... 910 0.02
LEGAL SERVICES ......................... 351 0.01
LOCAL AND INTERURBAN PASSENGER TRANSIT . 361 0.01
LUMBER AND WOOD PRODUCTS ............... 10,405 0.24
METAL MINING ........................... 5,199 0.12
MISCELLANEOUS MANUFACTURING INDUSTRIES . 19,810 0.45
MISCELLANEOUS RETAIL ................... 40,630 0.93
MOTION PICTURES ........................ 49,612 1.13
NONDEPOSITORY INSTITUTIONS ............. 91,383 2.08
NONMETALLIC MINERALS, EXCEPT FUELS ..... 2,277 0.05
OIL AND GAS EXTRACTION ................. 32,728 0.74
PAPER AND ALLIED PRODUCTS .............. 38,560 0.88
PERSONAL SERVICES ...................... 5,888 0.13
PETROLEUM AND COAL PRODUCTS ............ 164,244 3.74
PRIMARY METAL INDUSTRIES ............... 18,252 0.42
PRINTING AND PUBLISHING ................ 35,468 0.81
RAILROAD TRANSPORTATION ................ 18,988 0.43
REAL ESTATE ............................ 4,141 0.09
RUBBER AND MISCELLANEOUS
PLASTIC PRODUCTS ..................... 18,385 0.42
SECURITY AND COMMODITY BROKERS ......... 63,429 1.44
SOCIAL SERVICES ........................ 264 0.01
SPECIAL TRADE CONTRACTORS .............. 650 0.01
STONE, CLAY, AND GLASS PRODUCTS ........ 11,529 0.26
TEXTILE MILL PRODUCTS .................. 4,021 0.09
TOBACCO PRODUCTS ....................... 37,093 0.84
TRANSPORTATION BY AIR .................. 24,196 0.55
TRANSPORTATION EQUIPMENT ............... 130,156 2.97
TRANSPORTATION SERVICES ................ 3,871 0.09
TRUCKING AND WAREHOUSING ............... 3,742 0.09
WATER TRANSPORTATION ................... 2,033 0.05
WHOLESALE TRADE-DURABLE GOODS .......... 12,091 0.28
WHOLESALE TRADE-NONDURABLE GOODS ....... 29,891 0.68
---------- ------
TOTAL COMMON STOCK
(Cost $2,974,038) ...................... 4,341,764 98.97
---------- ------
SHORT TERM INVESTMENTS
U.S. GOVERNMENT & AGENCIES ............. 50,603 1.15
---------- ------
TOTAL SHORT TERM INVESTMENTS
(Cost $50,610) ......................... 50,603 1.15
---------- ------
TOTAL PORTFOLIO
(Cost $3,025,226) ...................... 4,393,084 100.14
OTHER ASSETS & LIABILITIES, NET ....... (6,154) (0.14)
---------- ------
NET ASSETS ............................... $4,386,930 100.00%
---------- ------
72 See notes to financial statements.
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENT OF INVESTMENTS--EQUITY INDEX ACCOUNT (Unaudited)
JUNE 30, 1999
VALUE
PRINCIPAL (000)
--------- ------
BONDS--0.00%
CORPORATE BONDS--0.00%
ELECTRIC, GAS, AND SANITARY SERVICES--0.00%
WMX TECHNOLOGIES, INC (SUB CV NOTE)
$14,000 2.000%, 01/24/05 ..................... $15
-----------
TOTAL CORPORATE BONDS
(COST $10) ............................. 15
-----------
TOTAL BONDS
(COST $10) .............................. 15
-----------
VALUE
SHARES (000)
------ ------
PREFERRED STOCK--0.02%
HOLDING AND OTHER INVESTMENT OFFICES--0.00%
800 SUPERIOR TRUST I SERIES A ............. 34
-----------
INSTRUMENTS AND RELATED PRODUCTS--0.00%
11,200 o FRESENIUS MEDICAL CARE (CLASS D) ...... 0
-----------
INSURANCE CARRIERS--0.00%
1,273 AETNA, INC SERIES C ................... 95
-----------
RUBBER AND MISCELLANEOUS PLASTIC PRODUCTS--0.02%
8,835 SEALED AIR CORP (CLASS A) ............. 552
-----------
WHOLESALE TRADE-DURABLE GOODS--0.00%
1,122 PREMIER FARNELL PLC CV ADR ............ 21
-----------
TOTAL PREFERRED STOCK
(Cost $568) .............................. 702
-----------
COMMON STOCK--98.97%
AGRICULTURAL PRODUCTION-CROPS--0.08%
12,533 DELTA & PINE LAND CO .................. 395
77,200 PIONEER-HI-BRED INTERNATIONAL, INC .... 3,006
-----------
3,401
-----------
AGRICULTURAL SERVICES--0.00%
7,200 o CADIZ, INC ............................ 68
3,500 o VETERINARY CENTERS OF AMERICA, INC .... 47
-----------
115
-----------
AMUSEMENT AND RECREATION SERVICES--0.11%
2,000 o AMERICAN SKIING CO .................... 8
14,400 o AMF BOWLING, INC ...................... 122
2,300 o ANCHOR GAMING CO ...................... 111
17,800 o ARGOSY GAMING CORP .................... 157
8,014 o BALLY TOTAL FITNESS HOLDINGS CORP ..... 227
12,800 o BOYD GAMING CORP ...................... 90
1,800 o CHAMPIONSHIP AUTO RACING TEAMS, INC ... 54
1,500 CHURCHILL DOWNS, INC .................. 52
8,500 o FAMILY GOLF CENTERS, INC .............. 65
6,700 o FLORIDA PANTHERS HOLDINGS, INC ........ 72
39,308 o HARRAH'S ENTERTAINMENT, INC ........... 865
6,900 o HOLLYWOOD PARK, INC ................... 117
5,400 o INTERNATIONAL SPEEDWAY CORP (CLASS A) . 257
3,137 o LAKES GAMING, INC ..................... 34
57,800 o MIRAGE RESORT, INC .................... 968
600 o PENSKE MOTORSPORTS, INC ............... 30
9,750 o PLAYERS INTERNATIONAL, INC ............ 70
12,600 o PREMIER PARKS, INC .................... 463
8,200 o SFX ENTERTAINMENT, INC (CLASS A) ...... 525
5,500 o SPEEDWAY MOTORSPORTS, INC ............. 216
6,700 o STATION CASINOS, INC .................. 137
8,600 o WESTWOOD ONE, INC ..................... 307
-----------
4,947
-----------
APPAREL AND ACCESSORY STORES--0.59%
35,882 o ABERCROMBIE & FITCH CO (CLASS A) ...... 1,722
8,800 o AMERICAN EAGLE OUTFITTERS, INC ........ 400
7,757 o ANN TAYLOR STORES CORP ................ 349
2,600 o BUCKLE, INC ........................... 75
6,120 BURLINGTON COAT FACTORY WAREHOUSE
CORP ................................. 118
8,300 CATO CORP (CLASS A) ................... 96
36,100 o CHARMING SHOPPES, INC ................. 220
3,400 o CHILDRENS PLACE RETAIL STORES ......... 138
14,100 CLAIRES STORES, INC ................... 361
8,100 o DRESS BARN, INC ....................... 130
13 xo EDISON BROTHERS STORES WTS 09/26/05 ... 0
5,800 o FINISH LINE, INC (CLASS A) ............ 65
9,969 o FOOTSTAR, INC ......................... 371
3,800 o GADZOOKS, INC ......................... 61
228,291 GAP, INC .............................. 11,500
6,100 o GENESCO, INC .......................... 89
7,400 o GOODYS FAMILY CLOTHING, INC ........... 85
9,700 o GYMBOREE CORP ......................... 102
18,690 INTIMATE BRANDS, INC (CLASS A) ........ 885
7,900 o JUST FOR FEET, INC .................... 51
33,014 LIMITED, INC .......................... 1,498
8,850 o MENS WAREHOUSE, INC ................... 226
34,600 NORDSTROM, INC ........................ 1,159
1,600 o NORTH FACE, INC ....................... 16
10,650 o PACIFIC SUNWEAR CALIFORNIA, INC ....... 260
11,396 o PAYLESS SHOESOURCE, INC ............... 610
2,900 o PETRIE STORES CORP (LIQUIDATING TRUST) 7
16,200 ROSS STORES, INC ...................... 816
12,700 o STAGE STORES, INC ..................... 83
12,800 o STEIN MART, INC ....................... 120
6,200 TALBOTS, INC .......................... 236
111,200 TJX COS, INC .......................... 3,704
1,500 o URBAN OUTFITTERS, INC ................. 38
3,100 o WET SEAL, INC (CLASS A) ............... 89
-----------
25,680
-----------
APPAREL AND OTHER TEXTILE PRODUCTS--0.12%
9,400 AUTHENTIC FITNESS CORP ................ 165
1,600 o COLUMBIA SPORTSWEAR CO ................ 25
19,500 o FRUIT OF THE LOOM LTD (CLASS A) ....... 190
2,200 o HARTMARX CORP ......................... 9
32,909 o JONES APPAREL GROUP, INC .............. 1,129
9,800 KELLWOOD CO ........................... 266
21,100 LIZ CLAIBORNE, INC .................... 770
13,500 o NAUTICA ENTERPRISES, INC .............. 228
800 OSHKOSH B'GOSH, INC (CLASS A) ......... 17
12,000 PHILLIPS VAN HEUSEN CORP .............. 119
3,745 PILLOWTEX CORP ........................ 61
17,400 o POLO RALPH LAUREN CORP ................ 331
5,700 o QUIKSILVER, INC ....................... 149
30,900 VF CORP ............................... 1,321
17,000 WARNACO GROUP, INC (CLASS A) .......... 455
-----------
5,235
-----------
See notes to financial statements. 73
<PAGE>
EQUITY INDEX ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ ------
AUTO REPAIR, SERVICES AND PARKING--0.06%
8,200 o AVIS RENT A CAR, INC .................. $ 239
8,700 o BUDGET GROUP, INC ..................... 107
7,050 CENTRAL PARKING CORP .................. 241
7,000 o DOLLAR THRIFTY AUTOMOTIVE GROUP, INC .. 163
11,000 HERTZ CORP (CLASS A) .................. 682
9,733 MIDAS, INC ............................ 276
5,460 o NATIONAL AUTO CREDIT, INC ............. 6
25,500 ROLLINS TRUCK LEASING CORP ............ 284
20,400 RYDER SYSTEM, INC ..................... 530
-----------
2,528
-----------
AUTOMOTIVE DEALERS AND SERVICE STATIONS--0.12%
136,116 o AUTONATION, INC ....................... 2,425
54,024 o AUTOZONE, INC ......................... 1,627
843 o CIRCUIT CITY STORES, INC (CARMAX GROUP) 4
2,000 o COPART, INC ........................... 43
7,500 o CSK AUTO CORP ......................... 203
2,700 o DISCOUNT AUTO PARTS, INC .............. 65
1,700 o GROUP 1 AUTOMOTIVE, INC ............... 36
6,500 o OREILLY AUTOMOTIVE, INC ............... 327
17,838 PEP BOYS MANNY, MOE, & JACK CO ........ 386
3,300 o UNITED AUTO GROUP, INC ................ 34
2,500 o WEST MARINE, INC ...................... 36
-----------
5,186
-----------
BUILDING MATERIALS AND GARDEN SUPPLIES--0.92%
9,500 FASTENAL CO ........................... 498
518,900 HOME DEPOT, INC ....................... 33,437
115,316 LOWES COS, INC ........................ 6,537
-----------
40,472
-----------
BUSINESS SERVICES--7.80%
5,400 o 3DO CO ................................ 25
6,325 AARON RENTS, INC ...................... 141
2,700 o ABACUS DIRECT CORP .................... 247
18,043 ABM INDUSTRIES, INC ................... 554
16,100 o ACCLAIM ENTERTAINMENT, INC ............ 103
4,600 o ACKERLEY GROUP, INC ................... 84
55,766 o ACNEILSEN CORP ........................ 1,687
2,800 o ACTIVISION, INC ....................... 41
42,560 o ACXIOM CORP ........................... 1,061
1,824 o ADMINSTAFF, INC ....................... 29
22,272 ADOBE SYSTEMS, INC .................... 1,830
1,600 o ADVANTAGE LEARNING SYSTEMS, INC ....... 35
5,900 o ADVENT SOFTWARE, INC .................. 395
22,200 o ADVO, INC ............................. 461
25,740 o AFFILIATED COMPUTER SERVICES, INC
(CLASS A) ............................ 1,303
9,300 o ALTERNATIVE RESOURCES CORP ............ 65
381,781 AMERICA ONLINE, INC ................... 42,187
25,525 o AMERICAN MANAGEMENT SYSTEMS, INC ...... 818
7,950 ANALYSTS INTERNATIONAL CORP ........... 114
6,000 o APAC TELESERVICES, INC ................ 20
2,000 o ARIS CORP ............................. 17
5,800 o ASPECT DEVELOPMENT, INC ............... 107
8,400 o ASPEN TECHNOLOGY, INC ................. 99
18,900 AUTODESK, INC ......................... 559
206,593 AUTOMATIC DATA PROCESSING, INC ........ 9,090
10,000 o AVANT CORP ............................ 126
7,200 o AVT CORP .............................. 273
6,800 o AXENT TECHNOLOGIES, INC ............... 76
4,905 o AZTEC TECHNOLOGY PARTNERS, INC ........ 9
11,000 o BANYAN SYSTEMS, INC ................... 120
1,500 o BARRA, INC ............................ 38
16,200 o BEA SYSTEMS, INC ...................... 463
13,100 o BILLING CONCEPTS CORP ................. 147
11,200 o BISYS GROUP, INC ...................... 655
81,307 o BMC SOFTWARE, INC ..................... 4,391
5,009 o BORG-WARNER SECURITY CORP ............. 102
2,800 o BORON, LEPORE & ASSOCIATES, INC ...... 23
9,000 o BROADVISION, INC ...................... 664
4,094 o BUILDING ONE SERVICES CORP ............ 57
2,010 o CACI INTERNATIONAL, INC (CLASS A) ..... 45
79,165 o CADENCE DESIGN SYSTEMS, INC ........... 1,009
16,800 o CAMBRIDGE TECHNOLOGY PARTNERS, INC .... 295
8,900 o CARIBINER INTERNATIONAL, INC .......... 55
5,900 o CATALINA MARKETING CORP ............... 543
5,000 o CCC INFORMATION SERVICES GROUP, INC ... 64
6,700 o CDI CORP .............................. 228
450 o CELLULAR TECHNICAL SERVICES CO ........ 2
18,100 o CENTURY BUSINESS SERVICES, INC ........ 262
41,320 o CERIDIAN CORP ......................... 1,351
8,700 o CERNER CORP ........................... 182
13,100 o CHECKFREE HOLDINGS CORP ............... 361
5,287 o CHOICEPOINT, INC ...................... 355
13,000 o CIBER, INC ............................ 249
27,600 o CITRIX SYSTEMS, INC ................... 1,559
6,500 o CLARIFY, INC .......................... 268
24,900 o CMGI, INC ............................. 2,840
11,800 o CNET, INC ............................. 680
39,441 o COMDISCO, INC ........................ 1,011
4,708 o COMPLETE BUSINESS SOLUTIONS, INC ...... 84
145,275 COMPUTER ASSOCIATES
INTERNATIONAL, INC ................... 7,990
12,250 o COMPUTER HORIZONS CORP ................ 169
53,456 o COMPUTER SCIENCES CORP ................ 3,698
7,500 COMPUTER TASK GROUP, INC .............. 128
110,800 o COMPUWARE CORP ........................ 3,525
3,900 o CONCORD COMMUNICATIONS, INC ........... 176
51,137 o CONVERGYS CORP ........................ 984
2,000 o CORT BUSINESS SERVICES CORP ........... 48
5,000 o COTELLIGENT, INC ...................... 39
15,700 o CSG SYSTEMS INTERNATIONAL, INC ........ 411
7,400 o CYBERGUARD CORP ....................... 9
4,200 o DATA DIMENSIONS, INC .................. 14
200 o DATA PROCESSING RESOURCES CORP ........ 5
4,300 o DATASTREAM SYSTEMS, INC ............... 69
1,200 o DBT ONLINE, INC ....................... 39
1,700 o DELTEK SYSTEMS, INC ................... 17
6,500 o DENDRITE INTERNATIONAL, INC ........... 235
4,500 o DOCUMENTUM, INC ....................... 59
11,400 o DOUBLECLICK, INC ...................... 1,046
11,300 o DST SYSTEMS, INC ...................... 710
5,400 o EARTHLINK NETWORK, INC ................ 332
2,310 o ECLIPSYS CORP ......................... 55
1,800 o ELECTRO RENT CORP ..................... 19
20,800 o ELECTRONIC ARTS, INC .................. 1,128
124,519 ELECTRONIC DATA SYSTEMS CORP .......... 7,043
17,700 o ELECTRONICS FOR IMAGING, INC .......... 909
15,900 o EMPLOYEE SOLUTIONS, INC ............... 19
3,000 o ENGINEERING ANIMATION, INC ............ 64
21,024 o EPICOR SOFTWARE CORP .................. 156
48,709 EQUIFAX, INC .......................... 1,738
41,954 o EXCITE AT HOME ........................ 2,263
74 See notes to financial statements.
<PAGE>
EQUITY INDEX ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ ------
BUSINESS SERVICES--(CONTINUED)
2,750 o FACTSET RESEARCH SYSTEMS, INC ......... $ 156
5,400 FAIR ISSAC & CO, INC .................. 189
11,200 o FILENET CORP .......................... 128
149,859 FIRST DATA CORP ....................... 7,334
38,375 o FISERV, INC ........................... 1,202
5,600 o FORTE SOFTWARE, INC ................... 54
7,600 o GENERAL MAGIC, INC .................... 27
3,200 o GENESYS TELECOMMUNICATIONS
LABORATORIES, INC .................... 80
10,200 GERBER SCIENTIFIC, INC ................ 225
6,600 o GETTY IMAGES, INC ..................... 125
3,500 o GREAT PLAINS SOFTWARE, INC ............ 165
100 GREY ADVERTISING, INC ................. 33
8,300 o GT INTERACTIVE SOFTWARE CORP .......... 29
14,700 o GTECH HOLDINGS CORP ................... 346
17,100 o HARBINGER CORP ........................ 214
1,400 o HCIA, INC ............................. 13
3,500 o HEALTH MANAGEMENT SYSTEMS, INC ........ 19
9,500 o HNC SOFTWARE .......................... 293
11,490 o HYPERION SOLUTIONS CORP ............... 205
9,400 o I2 TECHNOLOGIES, INC .................. 404
3,800 o IDX SYSTEMS CORP ...................... 86
1,000 o IKOS SYSTEMS, INC ..................... 10
21,000 o IMATION CORP .......................... 521
4,850 o IMRGLOBAL CORP ........................ 93
109,756 IMS HEALTH, INC ....................... 3,430
15,780 o INACOM CORP ........................... 199
12,200 o INDUS INTERNATIONAL, INC .............. 53
6,600 o INDUSTRI-MATEMATIK
INTERNATIONAL CORP ................... 16
1,000 o INFORMATION ARCHITECTS CORP ........... 2
12,200 o INFORMATION RESOURCES, INC ............ 107
54,800 o INFORMIX CORP ......................... 468
15,500 o INFOSEEK CORP ......................... 743
4,400 o INFOUSA, INC (CLASS A) ................ 39
9,500 o INFOUSA, INC (CLASS B) ................ 81
13,200 o INPRISE CORP .......................... 64
3,000 o INSO CORP ............................. 16
1,900 o INSPIRE INSURANCE SOLUTIONS, INC ...... 28
12,200 o INSURANCE AUTO AUCTIONS, INC .......... 197
3,800 o INTEGRATED SYSTEMS, INC ............... 45
3,400 o INTELLIGROUP, INC ..................... 24
8,400 o INTERGRAPH CORP ....................... 65
17,800 o INTERIM SERVICES, INC ................. 367
12,150 o INTERNATIONAL NETWORK SERVICES ........ 491
5,300 o INTERNATIONAL TELECOMMUNICATIONS ...... 85
46,250 INTERPUBLIC GROUP OF COS, INC ......... 4,006
14,700 o INTUIT, INC ........................... 1,325
2,400 o ISS GROUP, INC ........................ 91
15,400 o J.D. EDWARDS & CO ..................... 285
6,500 JACK HENRY & ASSOCIATES, INC .......... 255
6,500 o JDA SOFTWARE GROUP, INC ............... 61
19,800 o KEANE, INC ............................ 448
11,100 KELLY SERVICES, INC (CLASS A) ......... 357
7,400 o LABOR READY, INC ...................... 241
10,550 o LAMAR ADVERTISING CO (CLASS A) ........ 432
2,800 o LEASING SOLUTIONS, INC ................ 2
12,757 o LEGATO SYSTEMS, INC ................... 737
5,400 o LHS GROUP, INC ........................ 179
14,900 o LYCOS, INC ............................ 1,369
10,500 o MACROMEDIA, INC ....................... 370
800 o MANHATTAN ASSOCIATES, INC ............. 7
22,300 MANPOWER, INC ......................... 505
5,400 o MANUGISTICS GROUP, INC ................ 78
2,300 o MAPICS, INC ........................... 24
7,000 o MASTECH CORP .......................... 130
3,800 o MEDICAL MANAGER CORP .................. 168
10,200 o MEDQUIST, INC ......................... 446
2,300 o MEMBERWORKS, INC ...................... 67
17,500 o MENTOR GRAPHICS CORP .................. 224
2,750 o MERANT PLC ADR ........................ 54
9,700 o MERCURY INTERACTIVE CORP .............. 343
9,950 o METAMOR WORLDWIDE, INC ................ 239
600 o METRO INFORMATION SERVICES, INC ....... 10
2,800 o METRO NETWORKS, INC ................... 149
3,700 o MICROMUSE, INC ........................ 185
1,249,030 o MICROSOFT CORP ........................ 112,647
13,859 o MIDWAY GAMES, INC ..................... 179
11,400 o MINDSPRING ENTERPRISES, INC ........... 505
33,777 o MODIS PROFESSIONAL SERVICES ........... 464
1,014 o MOMENTUM BUSINESS APPLICANTS, INC ..... 7
8,600 NATIONAL COMPUTER SYSTEMS, INC ........ 290
9,500 NATIONAL DATA CORP .................... 406
2,000 o NCO GROUP, INC ........................ 76
4,068 o NCR CORP .............................. 199
64,858 o NETMANAGE, INC ........................ 140
24,000 o NETWORK APPLIANCE, INC ................ 1,341
2,500 o NETWORK SOLUTIONS, INC ................ 198
47,968 o NETWORKS ASSOCIATES, INC .............. 705
7,200 o NEW ERA OF NETWORKS, INC .............. 316
17,342 o NIELSEN MEDIA RESEARCH ................ 507
5,100 NORRELL CORP .......................... 96
1,700 o NORSTAN, INC .......................... 21
21,795 o NOVA CORP (GEORGIA) ................... 545
5,000 o NOVACARE EMPLOYEE SERVICES, INC ....... 14
115,800 o NOVELL, INC ........................... 3,069
3,900 o OBJECTIVE SYSTEMS INTEGRATORS, INC .... 11
5,600 o ODS NETWORKS, INC ..................... 22
20,982 OLSTEN CORP ........................... 132
59,200 OMNICOM GROUP, INC .................... 4,736
2,000 o ON ASSIGNMENT, INC .................... 52
2,300 o ONSALE, INC ........................... 44
10,200 o OPEN MARKET, INC ...................... 145
393,780 o ORACLE CORP ........................... 14,619
23,559 o OUTDOOR SYSTEMS, INC .................. 860
94,132 o PARAMETRIC TECHNOLOGY CORP ............ 1,306
72,977 PAYCHEX, INC .......................... 2,326
4,500 o PAYMENTECH, INC ....................... 114
2,700 o PEGASUS SYSTEMS, INC .................. 101
2,600 o PEGASYSTEMS, INC ...................... 27
58,900 o PEOPLESOFT, INC ....................... 1,016
5,600 o PEREGRINE SYSTEMS, INC ................ 144
14,122 o PERSONNEL GROUP OF AMERICA, INC ....... 141
5,300 o PHOENIX TECHNOLOGIES LTD .............. 95
12,200 #o PHYSICIAN COMPUTER NETWORK, INC ....... 3
14,900 PITTSTON BRINKS GROUP CO .............. 399
11,700 o POLICY MANAGEMENT SYSTEMS CORP ........ 351
3,400 o PREVIEW TRAVEL, INC ................... 75
5,406 o PRIMARK CORP .......................... 152
10,100 #o PROCURENET, INC ....................... 2
9,600 o PROGRESS SOFTWARE CORP ................ 271
3,000 o PROJECT SOFTWARE & DEVELOPMENT, INC ... 94
4,900 o PROTECTION ONE, INC ................... 26
16,900 o PSINET, INC ........................... 739
8,400 o QAD, INC .............................. 26
1,600 o QRS CORP .............................. 125
5,200 o QUADRAMED CORP ........................ 42
See notes to financial statements. 75
<PAGE>
EQUITY INDEX ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ ------
4,100 o RADISYS CORP .......................... $ 159
28,292 o RATIONAL SOFTWARE CORP ................ 932
6,000 o REALNETWORKS, INC ..................... 413
8,400 o REMEDY CORP ........................... 226
600 o REMEDYTEMP, INC (CLASS A) ............. 8
5,657 o RENT WAY, INC ......................... 139
6,100 o RENT-A-CENTER, INC .................... 146
7,080 o RENTAL SERVICE CORP .................. 203
29,250 o ROBERT HALF INTERNATIONAL, INC ........ 761
7,900 ROLLINS, INC .......................... 126
10,300 o ROMAC INTERNATIONAL, INC .............. 91
18,500 o SABRE GROUP HOLDINGS, INC ............. 1,272
15,775 o SAFETY-KLEEN CORP ..................... 286
9,800 o SAGA SYSTEMS, INC ..................... 125
6,200 o SANCHEZ COMPUTER ASSOCIATES, INC ...... 215
3,800 o SAPIENT CORP .......................... 215
3,700 SEI INVESTMENT CO ..................... 327
9,200 SHARED MEDICAL SYSTEMS CORP ........... 600
18,908 o SIEBEL SYSTEMS, INC ................... 1,254
10,100 o SITEL CORP ............................ 30
16,300 o SNYDER COMMUNICATIONS, INC ............ 534
6,600 o SOS STAFFING SERVICES, INC ............ 35
16,000 SOTHEBYS HOLDINGS, INC (CLASS A) ...... 610
4,600 o SPORTSLINE U.S.A., INC ................ 165
400 o SPR, INC .............................. 2
3,600 o SS&C TECHNOLOGIES, INC ................ 27
8,000 o STAFFMARK, INC ........................ 80
32,577 o STERLING COMMERCE, INC ................ 1,189
23,400 o STERLING SOFTWARE, INC ............... 624
12,300 o STRUCTURAL DYNAMICS RESEARCH CORP ..... 228
270,100 o SUN MICROSYSTEMS, INC ................. 18,603
34,700 o SUNGARD DATA SYSTEMS, INC ............. 1,197
24,900 o SYBASE, INC ........................... 274
4,200 o SYKES ENTERPRISES, INC ................ 140
19,400 o SYMANTEC CORP ......................... 495
21,672 o SYNOPSYS, INC ......................... 1,196
7,000 o SYNTEL, INC ........................... 63
9,750 o SYSTEM SOFTWARE ASSOCIATES, INC ....... 16
11,700 o SYSTEMS & COMPUTER
TECHNOLOGY CORP ...................... 170
48,400 xo SYSTEMSOFT CORP ....................... 5
12,200 o TCSI CORP ............................. 31
13,025 o TECHNOLOGY SOLUTIONS CO ............... 141
1,200 o TELESPECTRUM WORLDWIDE, INC ........... 9
6,400 o TELETECH HOLDINGS, INC ................ 65
3,600 o TMP WORLDWIDE, INC .................... 229
9,400 TOTAL SYSTEM SERVICES, INC ............ 179
10,300 o TRANSACTION SYSTEM ARCHITECTURE ....... 402
11,600 TRUE NORTH COMMUNICATIONS, INC ........ 348
5,300 o TYLER TECHNOLOGIES, INC .............. 36
8,211 o UNITED RENTALS, INC ................... 242
21,550 o USWEB CORP ............................ 478
20,700 o VALASSIS COMMUNICATIONS, INC .......... 758
8,300 o VANTIVE CORP .......................... 95
1,400 o VERIO, INC ............................ 97
1,800 o VERISIGN, INC ......................... 155
16,200 o VERITAS SOFTWARE CORP ................. 1,538
5,100 o VIASOFT, INC .......................... 18
8,200 o VISIO CORP ............................ 312
2,100 o VOLT INFORMATION SCIENCES, INC ........ 48
4,800 WACKENHUT CORP SERIES A ............... 143
7,800 o WEST TELESERVICES CORP ................ 73
5,400 o WESTAFF, INC .......................... 32
11,400 o WIND RIVER SYSTEMS, INC ............... 183
4,800 o XTRA CORP ............................. 221
50,300 o YAHOO, INC ............................ 8,664
14,300 o YOUNG & RUBICAM, INC .................. 650
-----------
342,263
-----------
CHEMICALS AND ALLIED PRODUCTS--11.89%
528,969 ABBOTT LABORATORIES CO ................ 24,068
8,000 o ADVANCED TISSUE SCIENCE CO ............ 26
81,211 AIR PRODUCTS & CHEMICALS, INC ......... 3,269
17,200 ALBEMARLE CORP ........................ 398
31,200 ALBERTO CULVER CO (CLASS B) ........... 831
1,600 o ALGOS PHARMACEUTICAL CORP ............. 35
6,500 o ALKERMES, INC ......................... 150
40,157 ALLERGAN, INC ......................... 4,457
7,185 o ALLERGAN SPECIALTY THERAPEUTICS, INC
(CLASS A) ............................ 78
5,300 o ALLIANCE PHARMACEUTICAL CORP .......... 14
14,741 ALPHARMA, INC (CLASS A) ............... 524
29,804 o ALZA CORP ............................. 1,516
457,170 AMERICAN HOME PRODUCTS CORP ........... 26,287
178,500 o AMGEN, INC ............................ 10,866
11,400 o AMYLIN PHARMACEUTICALS, INC ........... 13
4,000 o ANDRX CORP ............................ 309
600 o APHTON CORP ........................... 8
5,250 ARCH CHEMICALS, INC ................... 128
2,100 o ARQULE, INC ........................... 10
2,700 o AVIRON, INC ........................... 78
86,496 AVON PRODUCTS, INC .................... 4,801
3,300 o AXYS PHARMACEUTICALS, INC ............. 11
3,100 o BARR LABORATORIES, INC ................ 124
14,600 o BIO-TECHNOLOGY GENERAL CORP ........... 95
48,200 o BIOGEN, INC ........................... 3,100
5,000 o BIOMATRIX, INC ........................ 108
1,420 BLOCK DRUG, INC (CLASS A) ............. 59
697,852 BRISTOL MYERS SQUIBB CO ............... 49,155
22,100 CABOT CORP ............................ 535
800 o CADUS PHARMACEUTICAL CORP ............. 1
18,100 CALGON CARBON CORP .................... 107
9,982 CAMBREX CORP .......................... 262
1,300 o CARBIDE/GRAPHITE GROUP, INC ........... 19
4,700 CARTER WALLACE, INC ................... 85
3,600 o CELL GENESYS, INC ..................... 15
19,800 o CENTOCOR, INC ......................... 923
7,000 o CEPHALON, INC ......................... 122
2,200 o CHATTEM, INC .......................... 70
15,700 CHEMFIRST, INC ........................ 382
1,900 o CHIREX, INC ........................... 61
35,828 o CHIRON CORP ........................... 743
7,300 CHURCH & DWIGHT CO, INC ............... 318
28,178 CLOROX CO ............................. 3,010
102,342 COLGATE PALMOLIVE CO .................. 10,106
9,100 o COLUMBIA LABORATORIES, INC ............ 78
17,300 o COPLEY PHARMACEUTICAL, INC ............ 177
6,400 o COR THERAPEUTICS, INC ................. 94
3,200 o COULTER PHARMACEUTICAL, INC ........... 72
8,455 o CRESCENDO PHARMACEUTICALS CORP ........ 146
23,490 o CROMPTON & KNOWLES CORP ............... 460
8,700 o CYGNUS, INC ........................... 113
12,200 o CYTEC INDUSTRIES, INC ................. 389
12,800 DEXTER CORP ........................... 522
5,100 DIAGNOSTIC PRODUCTS CORP .............. 141
30,100 DIAL CORP ............................. 1,119
76,114 DOW CHEMICAL CO ....................... 9,657
388,338 DU PONT (E.I.) DE NEMOURS & CO ........ 26,528
76 See notes to financial statements.
<PAGE>
EQUITY INDEX ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ ------
12,900 o DURA PHARMACEUTICALS, INC ............. $ 154
24,400 EASTMAN CHEMICAL CO ................... 1,263
35,300 ECOLAB, INC ........................... 1,540
7,482 o ELAN CORP PLC ADR ..................... 208
29,400 ETHYL CORP ............................ 176
14,500 FERRO CORP ............................ 399
8,700 o FMC CORP .............................. 594
22,700 o FOREST LABORATORIES, INC .............. 1,050
2,700 o FUISZ TECHNOLOGIES LTD ................ 9
4,023 FULLER (H.B.) CO ...................... 275
3,100 o GELTEX PHARMACEUTICALS, INC ........... 56
3,361 GENERAL CHEMICAL GROUP, INC ........... 11
25,300 o GENZYME CORP (GENERAL DIVISION) ....... 1,227
495 o GENZYME CORP (TISSUE REPAIR DIVISION) . 1
2,193 o GENZYME-MOLECULAR ONCOLOGY ............ 6
7,500 GEON CO ............................... 242
10,800 GEORGIA GULF CORP ..................... 182
9,400 o GILEAD SCIENCES, INC .................. 491
18,600 o GRACE W.R. & CO ....................... 342
15,800 GREAT LAKES CHEMICAL CORP ............. 728
15,375 HANNA (M.A.) CO ....................... 253
34,400 HERCULES, INC ......................... 1,352
2,600 o HESKA CORP ............................ 6
10,000 o HUMAN GENOME SCIENCES, INC ............ 395
26,766 ICN PHARMACEUTICALS, INC .............. 862
11,600 o ICOS CORP ............................. 473
6,300 o IDEC PHARMACEUTICALS CORP ............. 485
11,600 o IDEXX LABORATORIES, INC ............... 270
2,300 o IGEN INTERNATIONAL, INC ............... 67
36,524 IMC GLOBAL, INC ....................... 644
1,972 o IMC GLOBAL, INC WTS 12/22/00 .......... 1
6,200 o IMCLONE SYSTEMS, INC .................. 157
5,200 o IMMUNE RESPONSE CORP .................. 28
12,400 o IMMUNEX CORP .......................... 1,580
4,300 o INHALE THERAPEUTIC SYSTEMS ............ 102
5,700 o INTERNATIONAL SPECIALTY
PRODUCTS, INC ......................... 58
7,800 o INTERNEURON PHARMACEUTICALS, INC ...... 21
28,540 INTERNATIONAL FLAVORS &
FRAGRANCES, INC ..................... 1,266
9,500 o ISIS PHARMACEUTICALS, INC ............. 97
41,392 o IVAX CORP ............................. 585
471,455 JOHNSON & JOHNSON CO .................. 46,203
7,400 JONES PHARMACEUTICAL, INC ............. 291
3,922 o KV PHARMACEUTICAL CO (CLASS B) ........ 62
24,020 LAUDER (ESTEE) CO (CLASS A) ........... 1,204
11,400 o LIGAND PHARMACEUTICALS CO (CLASS A) ... 127
320,400 LILLY (ELI) & CO ...................... 22,949
6,100 LILLY INDUSTRIES, INC (CLASS A) ....... 113
10,400 o LIPOSOME CO, INC ...................... 199
17,095 LUBRIZOL CORP ......................... 466
9,400 LYONDELL CHEMICAL CO .................. 194
5,300 MACDERMID, INC ........................ 246
2,800 o MACROCHEM CORP (DELAWARE) ............. 17
22,900 MALLINCKRODT, INC ..................... 833
5,400 o MATRIX PHARMACEUTICALS, INC ........... 22
15,000 o MCWHORTER TECHNOLOGIES, INC ........... 217
9,300 o MEDICIS PHARMACEUTICAL CORP (CLASS A) . 236
16,100 o MEDIMMUNE, INC ........................ 1,091
830,376 MERCK & CO, INC ....................... 61,448
23,100 MILLENNIUM CHEMICAL, INC .............. 544
9,500 o MILLENNIUM PHARMACEUTICALS, INC ....... 342
9,500 MINERALS TECHNOLOGIES, INC ............ 530
1,700 o MIRAVANT MEDICAL TECHNOLOGY ........... 12
7,168 MISSISSIPPI CHEMICAL CORP ............. 70
219,942 MONSANTO CO ........................... 8,674
44,050 MYLAN LABORATORIES, INC ............... 1,167
19,800 o NABI, INC ............................. 56
17,900 NALCO CHEMICAL CORP ................... 929
5,800 NATURES SUNSHINE PRODUCTS, INC ........ 61
22,670 o NBTY, INC ............................. 147
7,000 o NEUROGEN CORP ......................... 102
6,200 o NEXSTAR PHARMACEUTICALS, INC .......... 124
5,900 NL INDUSTRIES, INC .................... 66
3,600 o OCTEL CORP ............................ 45
12,300 OLIN CORP ............................. 162
5,850 OM GROUP, INC ......................... 202
8,550 o ORGANOGENESIS, INC .................... 80
5,500 o PATHOGENESIS CORP ..................... 78
26,000 o PERRIGO CO ............................ 198
455,352 PFIZER, INC ........................... 49,975
173,078 PHARMACIA & UPJOHN, INC ............... 9,833
2,100 o PHARMACYCLICS, INC .................. 59
57,100 PPG INDUSTRIES, INC ................... 3,372
56,250 PRAXAIR, INC .......................... 2,753
470,000 PROCTER & GAMBLE CO ................... 41,948
6,600 o PROTEIN DESIGN LABORATORIES, INC ...... 146
2,200 o REGENERON PHARMACEUTICALS, INC ........ 17
10,000 o REVLON, INC (CLASS A) ................. 303
13,000 o REXALL SUNDOWN, INC ................... 158
10,400 o ROBERTS PHARMACEUTICAL CORP ........... 252
400 o ROGERS CORP ........................... 12
52,948 ROHM & HAAS CO ........................ 2,270
31,437 RPM, INC .............................. 446
4,500 o SANGSTAT MEDICAL CORP ................. 78
515,760 SCHERING-PLOUGH CORP .................. 27,335
18,775 SCHULMAN (A.), INC .................... 323
10,100 o SCOTTS CO (CLASS A) ................... 481
8,550 o SEROLOGICALS CORP ..................... 69
46,831 SHERWIN-WILLIAMS CO ................... 1,300
21,500 o SICOR, INC ............................ 91
32,480 SIGMA ALDRICH CORP .................... 1,119
1,100 o SUGEN, INC ............................ 32
2,300 o SUPERGEN, INC ......................... 35
2,500 o TECHNE CORP ........................... 63
10,600 o THERAGENICS CORP ...................... 74
3,200 o THERMOLASE CORP ....................... 4
5,700 o TRANSKARYOTIC THERAPIES, INC .......... 188
3,000 o TRIANGLE PHARMACEUTICALS, INC ......... 54
10,600 o TWINLAB CORP .......................... 91
13,400 o U.S. BIOSCIENCE, INC .................. 131
1,400 o U.S.A. DETERGENTS, INC ................ 8
43,200 UNION CARBIDE CORP .................... 2,106
10,600 VALSPAR CORP .......................... 403
10,000 o VERTEX PHARMACEUTICALS, INC ........... 241
3,000 o VICAL, INC ............................ 36
2,600 o VIROPHARMA, INC ....................... 20
287,275 WARNER-LAMBERT CO ..................... 19,930
29,976 o WATSON PHARMACEUTICALS, INC ............ 1,051
9,000 WELLMAN, INC .......................... 143
7,924 WEST PHARMACEUTICAL SERVICES .......... 311
18,900 WITCO CORP ............................ 378
13,700 o ZILA, INC ............................. 42
7,600 o ZONAGEN, INC .......................... 70
-----------
521,687
-----------
See notes to financial statements. 77
<PAGE>
EQUITY INDEX ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ ------
COAL MINING--0.00%
4,900 ARCH COAL, INC ........................ $ 68
-----------
COMMUNICATIONS--12.02%
14,100 o ADELPHIA COMMUNICATIONS
CORP (CLASS A) ....................... 897
800 o AERIAL COMMUNICATIONS, INC ............ 11
42,854 o ALCATEL S.A. ADR ...................... 1,216
16,400 ALIANT COMMUNICATIONS, INC ............ 757
129,949 ALLTEL CORP ........................... 9,291
7,900 o AMERICAN MOBILE SATELLITE CORP ........ 129
384,548 AMERITECH CORP ........................ 28,264
1,733 o ARCH COMMUNICATIONS GROUP, INC ........ 15
14,796 o ASCENT ENTERTAINMENT GROUP, INC ....... 209
11,200 o ASSOCIATED GROUP, INC (CLASS A) ....... 729
1,124,457 AT & T CORP ........................... 62,759
400,496 o AT & T CORP-LIBERTY MEDIA GROUP
(CLASS A) ............................ 14,718
544,896 BELL ATLANTIC CORP .................... 35,623
677,258 BELLSOUTH CORP ........................ 31,746
200 o BHC COMMUNICATIONS, INC (CLASS A) ..... 26
38,254 o CABLEVISION SYSTEMS CORP (CLASS A) .... 2,678
9,896 o CAPSTAR BROADCASTING CORP (CLASS A) ... 271
244,219 o CBS CORP .............................. 10,608
4,000 o CD RADIO, INC ......................... 122
4,100 o CELLULAR COMMUNICATIONS OF
PUERTO RICO .......................... 117
9,900 o CENTURY COMMUNICATIONS CORP
(CLASS A) ............................ 455
41,625 CENTURYTEL, INC ....................... 1,655
3,100 CFW COMMUNICATIONS CO ................. 75
38,600 o CHANCELLOR MEDIA CORP (CLASS A) ....... 2,128
7,702 o CHRIS CRAFT INDUSTRIES, INC ........... 363
44,237 CINCINNATI BELL, INC .................. 1,103
80,461 o CLEAR CHANNEL COMMUNICATIONS, INC ..... 5,547
1,200 o COM21, INC ............................ 20
2,800 COMCAST CORP (CLASS A) ................ 100
241,156 COMCAST CORP (CLASS A) SPECIAL ........ 9,269
3,066 o COMMONWEALTH TELEPHONE
ENTERPRISES .......................... 124
16,500 COMSAT CORP SERIES 1 .................. 536
12,600 o CONCENTRIC NETWORK CORP ............... 501
2,800 o CORECOMM LTD .......................... 135
42,168 o COX COMMUNICATIONS, INC (CLASS A) ..... 1,552
2,100 o COX RADIO, INC (CLASS A) .............. 114
15,100 o E.SPIRE COMMUNICATIONS, INC ........... 159
5,500 o EMMIS COMMUNICATIONS (CLASS A) ........ 272
8,700 o EXODUS COMMUNICATIONS, INC ............ 1,043
58,665 FRONTIER CORP ......................... 3,461
12,930 GAYLORD ENTERTAINMENT CO .............. 388
27,900 o GLOBAL TELESYSTEMS GROUP, INC ......... 2,260
750 GRAY COMMUNICATIONS SYSTEMS, INC ...... 15
337,783 GTE CORP .............................. 25,587
24,767 o HEARST-ARGYLE TELEVISION, INC ......... 594
2,900 xo HEARTLAND WIRELESS
COMMUNICATIONS, INC .................. 0
4,400 o HIGHWAYMASTER COMMUNICATIONS, INC ..... 7
13,100 o HISPANIC BROADCASTING CORP ............ 994
16,049 o ICG COMMUNICATIONS, INC ............... 343
5,700 o IDT CORP .............................. 127
14,900 o INTERMEDIA COMMUNICATIONS, INC ........ 447
17,300 o ITC DELTACOM, INC ..................... 484
9,000 o IXC COMMUNICATIONS, INC ............... 354
4,300 o JACOR COMMUNICATIONS, INC
WTS 09/18/01 ......................... 47
3,700 o JONES INTERCABLE, INC (CLASS A) ....... 181
7,000 o LCC INTERNATIONAL, INC (CLASS A) ...... 32
4,050 o LEAP WIRELESS INTERNATIONAL, INC ..... 82
117,600 o LEVEL 3 COMMUNICATIONS, INC ........... 7,063
6,300 o LORAL SPACE & COMMUNICATIONS LTD ...... 113
1,060,776 LUCENT TECHNOLOGIES, INC .............. 71,536
652,622 o MCI WORLDCOM, INC ..................... 56,166
16,300 o MCLEODUSA, INC (CLASS A) .............. 897
205,400 o MEDIA ONE GROUP, INC .................. 15,277
16,000 o METROMEDIA FIBER NETWORK (CLASS A) .... 575
1,100 o MGC COMMUNICATIONS, INC ............... 29
48,200 o NEXTEL COMMUNICATIONS, INC (CLASS A) .. 2,419
20,600 o NEXTLINK COMMUNICATIONS, INC .......... 1,532
3,400 NORTH PITTSBURGH SYSTEMS, INC ......... 58
24,866 o NTL, INC .............................. 2,143
10,100 o OMNIPOINT CORP ........................ 292
4,900 o PACIFIC GATEWAY EXCHANGE, INC ......... 143
4,500 o PAGEMART WIRELESS, INC (CLASS A) ...... 34
31,900 o PAGING NETWORK, INC ................... 154
12,810 o PANAMSAT CORP ......................... 499
7,303 o PAXSON COMMUNICATIONS CORP ............ 99
2,100 o PEGASUS COMMUNICATIONS CORP ........... 83
3,900 o POWERTEL, INC ......................... 117
11,500 o PREMIERE TECHNOLOGIES, INC ............ 132
6,500 o PRIMUS TELECOMMUNICATIONS
GROUP, INC ........................... 146
38,378 o QWEST COMMUNICATIONS
INTERNATIONAL , INC .................. 1,269
12,300 o RCN CORP .............................. 512
689,388 SBC COMMUNICATIONS, INC ............... 39,985
12,900 o SINCLAIR BROADCASTING GROUP, INC
(CLASS A) ............................ 211
22,000 o SKYTEL COMMUNICATIONS, INC ............ 461
1,000 o SMARTALK TELESERVICES, INC ............ 0
238,732 SPRINT CORP (FON GROUP) ............... 12,608
110,233 o SPRINT CORP (PCS GROUP) ............... 6,297
6,500 o STAR TELECOMMUNICATIONS, INC .......... 51
15,500 o TALK.COM, INC ......................... 174
13,400 TCA CABLE TV, INC ..................... 744
16,540 o TCI SATELLITE ENTERTAINMENT (CLASS A) . 49
9,718 TELEGLOBE, INC (U.S.A.) ............... 289
18,409 TELEPHONE & DATA SYSTEMS, INC ......... 1,345
1,800 o TELIGENT, INC ......................... 108
1,900 o TRANSACTION NETWORK SERVICES, INC ..... 56
12,300 o TV GUIDE, INC ......................... 450
5,900 o U.S. CELLULAR CORP .................... 316
4,000 o U.S. LEC CORP (CLASS A) ............... 90
7,700 o U.S. SATELLITE BROADCASTING, INC
(CLASS A) ............................ 141
173,761 U.S. WEST, INC ........................ 10,208
28,130 o U.S.A. NETWORKS, INC .................. 1,129
13,800 o UNITED INTERNATIONAL HOLDINGS, INC .... 933
2,100 UNITED TELEVISION, INC ................ 220
8,900 o UNIVISION COMMUNICATIONS, INC ......... 587
12,920 o VIACOM, INC (CLASS A) ................. 570
160,486 o VIACOM, INC (CLASS B) ................. 7,061
150 o VIACOM, INC (CLASS B) WTS 07/07/99 .... 3
94,460 o VODAFONE GROUP PLC ADR ................ 18,609
24,100 o VOICESTREAM WIRELESS CORP ............. 685
3,600 o WAVO CORP ............................. 23
34,600 o WESTERN WIRELESS CORP (CLASS A) ....... 934
14,700 o WINSTAR COMMUNICATIONS, INC ........... 717
7,500 o YOUNG BROADCASTING, INC (CLASS A) ..... 319
-----------
527,401
-----------
See notes to financial statements. 78
<PAGE>
EQUITY INDEX ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ ------
DEPOSITORY INSTITUTIONS--7.91%
1,000 ALABAMA NATIONAL BANCORP .............. $ 25
27,900 ALLIED IRISH BANK PLC (SPONS ADR) ..... 760
15,200 AMCORE FINANCIAL, INC ................. 351
106,700 AMSOUTH BANCORP ....................... 2,474
5,600 ANCHOR BANCORP WISCONSIN, INC ......... 100
1,900 ANDOVER BANCORP, INC .................. 60
1,200 AREA BANCSHARES CORP .................. 33
40,206 ASSOCIATED BANC-CORP .................. 1,669
40,545 ASTORIA FINANCIAL CORP ................ 1,781
6 BANCFIRST CORP ........................ 0
1,500 BANCFIRST OHIO CORP ................... 37
18,300 BANCORPSOUTH, INC ..................... 332
15,400 BANCWEST CORP ......................... 572
616,298 BANK OF AMERICA CORP .................. 45,182
2,200 BANK OF GRANITE CORP .................. 54
270,520 BANK OF NEW YORK CO, INC .............. 9,925
415,802 BANK ONE CORP ......................... 24,766
3,000 o BANK PLUS CORP ........................ 16
13,900 BANK UNITED CORP (CLASS A) ............ 559
8,000 BANKATLANTIC BANCORP, INC (CLASS B) ... 65
104,169 BANKBOSTON CORP ....................... 5,326
7,810 BANKNORTH GROUP, INC .................. 258
1,000 o BANKUNITED FINANCIAL CORP (CLASS A) ... 10
5,500 BAY VIEW CAPITAL CORP ................. 113
102,817 BB&T CORP ............................. 3,772
3,914 o BOK FINANCIAL CORP .................... 99
1,540 BRENTON BANKS, INC .................... 24
700 BROOKLINE BANCORP, INC ................ 8
600 BSB BANCORP, INC ...................... 16
1,100 BT FINANCIAL CORP ..................... 27
470 o CALIFORNIA FEDERAL BANK
GOODWILL CERT ........................ 1
4,600 CAROLINA FIRST CORP ................... 112
1,300 CATHAY BANCORP, INC ................... 55
12,000 CCB FINANCIAL CORP .................... 635
2,420 o CENTENNIAL BANCORP .................... 33
10,100 xo CENTURA BANKS, INC .................... 569
1,400 CENTURY SOUTH BANKS, INC .............. 32
2,200 CFSB BANCORP, INC ..................... 54
64,980 CHARTER ONE FINANCIAL, INC ............ 1,807
300,138 CHASE MANHATTAN CORP .................. 25,999
1,875 CHEMICAL FINANCIAL CORP ............... 65
4,229 CHITTENDEN CORP ....................... 132
6,900 CITIZENS BANKING CORP (MICHIGAN) ...... 207
2,777 CITY HOLDINGS CO ...................... 81
13,100 CITY NATIONAL CORP .................... 490
12,190 CNB BANCSHARES, INC ................... 695
38,900 COLONIAL BANCGROUP, INC ............... 542
1,260 o COLUMBIA BANKING SYSTEM, INC .......... 19
55,100 COMERICA, INC ......................... 3,275
9,308 COMMERCE BANCORP, INC ................. 398
19,869 COMMERCE BANCSHARES, INC .............. 800
24,200 COMMERCIAL FEDERAL CORP ............... 561
1,000 COMMONWEALTH BANCORP, INC ............. 18
1,200 COMMUNITY BANK SYSTEM, INC ............ 30
18,000 COMMUNITY FIRST BANKSHARES, INC ....... 430
1,760 COMMUNITY TRUST BANCORP, INC .......... 41
41,125 COMPASS BANCSHARES, INC ............... 1,121
42,762 o CONCORD EFS, INC ...................... 1,809
1,200 CORUS BANKSHARES, INC ................. 38
1,200 CPB, INC .............................. 32
20,600 CULLEN FROST BANKERS, INC ............. 568
2,054 CVB FINANCIAL CORP .................... 53
38,700 DIME BANCORP, INC ..................... 779
1,600 DIME COMMUNITY BANCORP, INC ........... 37
5,460 DOWNEY FINANCIAL CORP ................. 120
900 F & M BANCORP, INC (MARYLAND) ......... 30
2,800 F & M BANCORP, INC (WISCONSIN) ........ 106
8,900 F & M NATIONAL CORP ................... 295
6,030 F.N.B. CORP ........................... 163
1,200 FARMERS CAPITAL BANK CORP ............. 43
71,277 FIFTH THIRD BANCORP ................... 4,744
41,652 FIRST AMERICAN CORP ................... 1,731
14,800 FIRST BANCORP (PUERTO RICO) ........... 334
1,600 FIRST CHARTER CORP .................... 40
2,900 FIRST CITIZENS BANCSHARES, INC (CLASS A) 234
1,200 FIRST COMMERCE BANCSHARES, INC ........ 29
12,161 FIRST COMMONWEALTH FINANCIAL CORP ..... 290
1,100 FIRST FEDERAL CAPITAL CORP ............ 16
11,440 o FIRST FINANCIAL BANCORP ............... 259
1,560 FIRST FINANCIAL BANKSHARES, INC ....... 50
700 FIRST FINANCIAL CORP (INDIANA) ........ 26
1,900 FIRST FINANCIAL HOLDINGS, INC ......... 36
1,000 FIRST INDIANA CORP .................... 21
1,300 FIRST LIBERTY FINANCIAL CORP .......... 41
1,500 FIRST MERCHANTS CORP .................. 36
8,600 FIRST MIDWEST BANCORP, INC ............ 342
1,900 o FIRST REPUBLIC BANK ................... 55
59,612 FIRST SECURITY CORP ................... 1,624
8,200 FIRST SENTINEL BANCORP, INC ........... 73
770 FIRST SOURCE CORP ..................... 25
42,300 FIRST TENNESSEE NATIONAL CORP ......... 1,621
319,983 FIRST UNION CORP ...................... 15,039
5,900 FIRST UNITED BANCSHARES, INC .......... 110
17,650 FIRST VIRGINIA BANKS, INC ............. 867
1,700 FIRST WASHINGTON BANCORP, INC ......... 34
1,600 FIRST WESTERN BANCORP, INC ............ 54
228,814 FIRSTAR CORP .......................... 6,407
5,350 o FIRSTFED FINANCIAL CORP ............... 103
27,688 FIRSTMERIT CORP ....................... 777
195,328 FLEET FINANCIAL GROUP, INC ............ 8,668
2,800 FRONTIER FINANCIAL CORP ............... 69
24,880 FULTON FINANCIAL CORP ................. 515
2,300 GBC BANCORP ........................... 47
2,400 GOLD BANC CORP, INC ................... 32
48,200 o GOLDEN STATE BANCORP, INC ............. 1,060
13,600 o GOLDEN STATE BANCORP, INC WTS 01/01/01 18
15,300 GOLDEN WEST FINANCIAL CORP ............ 1,499
1,650 GRAND PREMIER FINANCIAL, INC .......... 20
1,200 GREATER BAY BANCORP ................... 40
28,638 GREENPOINT FINANCIAL CORP ............. 940
1,400 o HAMILTON BANCORP, INC ................. 34
1,800 HANCOCK HOLDINGS CO ................... 81
700 HARLEYSVILLE NATIONAL CORP ............ 25
4,600 HARRIS FINANCIAL, INC ................. 50
54,148 HIBERNIA CORP (CLASS A) ............... 849
15,871 HUDSON UNITED BANCORP ................. 486
69,764 HUNTINGTON BANCSHARES, INC ............ 2,442
12,350 o IMPERIAL BANCORP ...................... 245
22,000 INDEPENDENCE COMMUNITY BANK CORP ...... 297
1,400 INDEPENDENT BANK CORP ................. 22
2,000 INTERNATIONAL BANCSHARES CORP ......... 85
3,100 INTERWEST BANCORP, INC ................ 78
2,600 IRWIN FINANCIAL CORP .................. 51
1,700 JEFFBANKS, INC ........................ 48
900 JEFFERSON SAVINGS BANCORP, INC ........ 12
300 o JSB FINANCIAL, INC .................... 15
See notes to financial statements. 79
<PAGE>
EQUITY INDEX ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ ------
DEPOSITORY INSTITUTIONS--(CONTINUED)
155,639 KEYCORP ............................... 5,000
17,350 KEYSTONE FINANCIAL, INC ............... 513
2,341 M & T BANK CORP ....................... 1,288
19,380 MAF BANCORP, INC ...................... 470
200 MAHONING NATIONAL BANCORP, INC ........ 9
34,356 MARSHALL & ILSLEY CORP ................ 2,212
241,105 MBNA CORP ............................. 7,384
182,904 MELLON BANK CORP ...................... 6,653
49,582 MERCANTILE BANCORP, INC ............... 2,832
21,705 MERCANTILE BANKSHARES CORP ............ 768
1,500 MERCHANTS NEW YORK BANCORP, INC ....... 50
735 MICHIGAN FINANCIAL CORP ............... 24
618 MID-AMERICA BANCORP ................... 15
1,100 MISSISSIPPI ValleY BANCSHARES ......... 36
60,265 MORGAN (J.P.) & CO, INC ............... 8,467
4,400 NATIONAL BANCORP OF ALASKA, INC ....... 117
2,905 NATIONAL CITY BANCSHARES, INC ......... 93
107,922 NATIONAL CITY CORP .................... 7,069
33,000 NATIONAL COMMERCE BANCORP ............. 722
2,900 NATIONAL PENN BANCSHARES, INC ......... 68
2,205 NBT BANCORP, INC ...................... 45
51,968 NORTH FORK BANCORP, INC ............... 1,108
31,960 NORTHERN TRUST CORP ................... 3,100
400 NORTHWEST BANCORP, INC ................ 4
10,200 o OCWEN FINANCIAL CORP .................. 91
30,708 OLD KENT FINANCIAL CORP ............... 1,286
16,098 OLD NATIONAL BANCORP .................. 484
1,500 OMEGA FINANCIAL CORP .................. 52
10,912 ONE VALLEY BANCORP, INC ............... 409
3,533 ORIENTAL FINANCIAL GROUP .............. 85
3,700 PACIFIC CAPITAL BANCORP ............... 117
25,400 PACIFIC CENTURY FINANCIAL CORP ........ 548
2,900 PARK NATIONAL CORP .................... 290
5,400 PEOPLES BANCORP, INC .................. 54
8,600 PEOPLES BANK OF BRIDGEPORT CO ......... 262
38,204 PEOPLES HERITAGE FINANCIAL GROUP, INC . 719
2,100 PEOPLES HOLDINGS CO ................... 68
1,900 o PFF BANCORP, INC ...................... 36
105,139 PNC BANK CORP ......................... 6,059
44,152 POPULAR, INC .......................... 1,338
12,182 PREMIER BANCSHARES, INC ............... 223
2,000 PRIME BANCORP, INC .................... 55
9,989 PROVIDENT BANKSHARES CORP ............. 232
12,200 PROVIDENT FINANCIAL GROUP ............. 534
43,794 PROVIDIAN FINANCIAL CORP .............. 4,095
19,200 QUEENS COUNTY BANCORP, INC ............ 622
75,630 REGIONS FINANCIAL CORP ................ 2,907
700 RELIANCE BANCORP, INC ................. 19
2,600 REPUBLIC BANCORP, INC ................. 39
37,664 REPUBLIC NEW YORK CORP ................ 2,568
9,300 REPUBLIC SECURITY FINANCIAL CORP ...... 78
4,300 RICHMOND COUNTY FINANCIAL CORP ........ 83
15,700 RIGGS NATIONAL CORP ................... 323
37,635 ROSLYN BANCORP, INC ................... 647
9,600 S & T BANCORP, INC .................... 242
2,000 SANDY SPRING BANCORP, INC ............. 56
900 SHORELINE FINANCIAL CORP .............. 27
7,100 o SILICON VALLEY BANCSHARES ............. 176
1,000 SIMMONS FIRST NATIONAL CORP (CLASS A) . 32
15,973 SKY FINANCIAL GROUP, INC .............. 435
56,700 SOUTHTRUST CORP ....................... 2,176
4,300 o SOUTHWEST BANCORP OF TEXAS, INC ....... 77
58,440 SOVEREIGN BANCORP, INC ................ 709
22,625 ST. PAUL BANCORP, INC ................. 577
55,500 STATE STREET CORP ..................... 4,738
11,000 STATEN ISLAND BANCORP, INC ............ 198
3,300 STERLING BANCORP ...................... 63
3,500 STERLING BANCSHARES, INC .............. 47
800 STERLING FINANCIAL CORP ............... 27
60,121 SUMMIT BANCORP ........................ 2,514
110,459 SUNTRUST BANKS, INC ................... 7,670
16,380 SUSQUEHANNA BANCSHARES, INC ........... 290
77,887 SYNOVUS FINANCIAL CORP ................ 1,548
28,900 TCF FINANCIAL CORP .................... 806
2,300 TEXAS REGIONAL BANCSHARES, INC
(CLASS A) ............................ 63
4,309 TRIANGLE BANCORP, INC ................. 73
2,700 TRUST CO OF New Jersey ................ 63
10,235 TRUSTCO BANK CORP ..................... 275
19,800 TRUSTMARK CORP ........................ 453
254,243 U.S. BANCORP .......................... 8,644
7,600 U.S. TRUST CORP ....................... 703
1,320 U.S.B. HOLDINGS CO, INC ............... 20
5,540 UMB FINANCIAL CORP .................... 238
60,043 UNION PLANTERS CORP ................... 2,683
8,800 UNIONBANCAL CORP ...................... 318
14,900 UNITED BANKSHARES, INC ................ 395
1,650 UNITED NATIONAL BANCORP ............... 39
2,200 USBANCORP, INC ........................ 35
13,900 UST CORP .............................. 420
20,360 VALLEY NATIONAL BANCORP ............... 585
68,806 WACHOVIA CORP ......................... 5,887
18,037 WASHINGTON FEDERAL, INC ............... 405
214,739 WASHINGTON MUTUAL, INC ................ 7,596
2,000 WASHINGTON TRUST BANCORP, INC ......... 36
14,800 WEBSTER FINANCIAL CORP ................ 401
585,318 WELLS FARGO CO ........................ 25,022
4,400 WESBANCO, INC ......................... 132
1,920 WEST COAST BANCORP (OREGON) ........... 34
12,600 WESTAMERICA BANCORP ................... 460
8,300 WESTERN BANCORP ....................... 361
18,000 WESTERNBANK PUERTO RICO ............... 235
9,000 WHITNEY HOLDINGS CORP ................. 358
11,200 WILMINGTON TRUST CORP ................. 643
36,700 ZIONS BANCORP ......................... 2,330
-----------
347,120
-----------
EATING AND DRINKING PLACES--0.84%
7,000 o ADVANTICA RESTAURANT GROUP, INC ....... 24
24,400 o APPLEBEES INTERNATIONAL, INC .......... 735
11,800 AVADO BRANDS, INC ..................... 99
29,200 BOB EVANS FARMS, INC .................. 580
11,100 xo BOSTON CHICKEN, INC ................... 7
26,600 o BRINKER INTERNATIONAL, INC ............ 723
14,500 o BUFFETS, INC .......................... 167
19,600 CBRL GROUP, INC ....................... 339
5,700 o CEC ENTERTAINMENT, INC ................ 241
17,718 CKE RESTAURANTS, INC .................. 288
7,225 o CONSOLIDATED PRODUCTS, INC ............ 130
45,800 DARDEN RESTAURANTS, INC ............... 999
1,500 o DAVE & BUSTERS, INC ................... 44
13,600 o FOODMAKER, INC ........................ 386
49,023 HOST MARRIOTT CORP (NEW) .............. 582
14,340 o HOST MARRIOTT SERVICES CORP ........... 117
6,600 o IHOP CORP (NEW) ....................... 159
8,700 o LANDRYS SEAFOOD RESTAURANTS, INC ...... 70
10,600 o LONE STAR STEAKHOUSE & SALOON, INC .... 103
16,700 LUBYS, INC ............................ 251
80 See notes to financial statements.
<PAGE>
EQUITY INDEX ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ ------
EATING AND DRINKING PLACES--(CONTINUED)
83,100 MARRIOTT INTERNATIONAL (CLASS A) ...... $ 3,106
471,500 MCDONALD'S CORP ....................... 19,479
12,000 MORRISON HEALTH CARE, INC ............. 300
22,700 o OUTBACK STEAKHOUSE, INC ............... 892
9,350 o PAPA JOHNS INTERNATIONAL, INC ......... 418
3,400 o PJ AMERICA, INC ....................... 72
7,100 o PLANET HOLLYWOOD, INC (CLASS A) ....... 5
7,250 o RAINFOREST CAFE, INC .................. 37
20,700 RUBY TUESDAY, INC ..................... 393
17,200 o RYANS FAMILY STEAK HOUSES, INC ........ 200
6,200 o SBARRO, INC ........................... 168
17,900 o SHONEYS, INC .......................... 39
10,800 o SODEXHO MARRIOTT SERVICES, INC ........ 207
5,600 o SONIC CORP ............................ 183
4,500 o THE CHEESECAKE FACTORY CO ............. 137
49,390 o TRICON GLOBAL RESTAURANTS, INC ........ 2,673
15,190 o U.S. FOODSERVICE, INC ................. 647
28,600 VIAD CORP. ............................ 885
35,300 WENDYS INTERNATIONAL, INC ............. 999
-----------
36,884
-----------
EDUCATIONAL SERVICES--0.04%
12,487 o APOLLO GROUP, INC (CLASS A) ........... 332
1,400 o BERLITZ INTERNATIONAL, INC ............ 26
4,700 o COMPUTER LEARNING CENTERS, INC ........ 23
27,800 o DEVRY, INC ............................ 622
3,200 o EDUCATION MANAGEMENT CORP ............. 66
3,500 o ITT EDUCATIONAL SERVICES, INC ......... 91
2,800 o LEARNING TREE INTERNATIONAL, INC ...... 31
1,900 STRAYER EDUCATION, INC ................ 58
11,650 o SYLVAN LEARNING SYSTEMS, INC .......... 317
-----------
1,566
-----------
ELECTRIC, GAS, AND SANITARY SERVICES--3.50%
40,800 o AES CORP .............................. 2,372
62,300 AGL RESOURCES, INC .................... 1,149
92,770 ALLEGHENY ENERGY, INC ................. 2,974
32,234 ALLIANT ENERGY CORP ................... 915
53,715 o ALLIED WASTE INDUSTRIES, INC .......... 1,061
67,313 AMEREN CORP ........................... 2,583
85,169 AMERICAN ELECTRIC POWER CO, INC ....... 3,199
32,439 AMERICAN WATER WORKS CO, INC .......... 997
41,400 o AQUA ALLIANCE, INC .................... 41
4,195 AQUARION CO ........................... 146
8,812 ATMOS ENERGY CORP ..................... 220
25,500 AVISTA CORP ........................... 414
18,900 BEC ENERGY ............................ 780
4,728 BLACK HILLS CORP ...................... 109
54,200 BROWNING FERRIS INDUSTRIES, INC ....... 2,331
2,707 CALIFORNIA WATER SERVICE GROUP ........ 71
7,762 o CALPINE CORP .......................... 419
48,787 CAROLINA POWER & LIGHT CO ............. 2,089
900 o CASELLA WASTE SYSTEMS, INC (CLASS A)... 23
68,856 CENTRAL & SOUTH WEST CORP ............. 1,610
8,800 CENTRAL HUDSON GAS & ELECTRIC CORP .... 370
7,800 CILCORP, INC .......................... 488
48,223 CINERGY CORP .......................... 1,543
77,226 o CITIZENS UTILITIES CO (CLASS B) ....... 859
15,600 CLECO CORP ............................ 474
27,411 CMP GROUP, INC ........................ 718
30,400 CMS ENERGY CORP ....................... 1,273
58,700 COASTAL CORP .......................... 2,348
1,700 COLONIAL GAS CO ....................... 63
24,391 COLUMBIA ENERGY GROUP ................. 1,529
16,700 COMMONWEALTH ENERGY SYSTEM CO ......... 701
39,425 CONECTIV, INC ......................... 963
4,287 CONECTIV, INC (CLASS A) ............... 180
1,500 CONNECTICUT ENERGY CORP ............... 58
73,219 CONSOLIDATED EDISON CO OF N.Y., INC ... 3,313
28,300 CONSOLIDATED NATURAL GAS CO ........... 1,719
54,479 CONSTELLATION ENERGY GROUP ............ 1,614
1,230 CTG RESOURCES, INC .................... 45
57,688 DOMINION RESOURCES, INC ............... 2,499
50,100 DPL, INC .............................. 921
23,600 DQE, INC .............................. 947
45,993 DTE ENERGY CO ......................... 1,840
114,651 DUKE ENERGY CORP ...................... 6,234
29,500 DYNEGY, INC ........................... 601
11,000 EASTERN ENTERPRISES CO ................ 437
20,300 EASTERN UTILITIES ASSOCIATION CO ...... 591
112,200 EDISON INTERNATIONAL CO ............... 3,001
15,208 o EL PASO ELECTRIC CO ................... 136
33,896 EL PASO ENERGY CORP ................... 1,193
1,600 EMPIRE DISTRICT ELECTRIC CO ........... 42
6,286 ENERGEN CORP .......................... 117
32,200 ENERGY EAST CORP ...................... 837
73,253 ENTERGY CORP .......................... 2,289
19,400 EQUITABLE RESOURCES, INC .............. 732
1,100 ETOWN CORP ............................ 50
75,536 FIRSTENERGY CORP ...................... 2,342
35,200 FLORIDA PROGRESS CORP ................. 1,454
62,500 FPL GROUP, INC ........................ 3,414
40,421 GPU, INC .............................. 1,705
13,700 HAWAIIAN ELECTRIC INDUSTRIES, INC ..... 486
16,500 IDACORP, INC .......................... 520
20,400 ILLINOVA CORP ......................... 556
10,400 INDIANA ENERGY, INC ................... 222
33,600 IPALCO ENTERPRISES, INC ............... 712
27,700 KANSAS CITY POWER & LIGHT CO .......... 706
20,200 o KELLEY OIL & GAS CORP ................. 4
48,204 KEYSPAN CORP .......................... 1,271
17,700 KN ENERGY, INC ........................ 237
2,300 LACLEDE GAS CO ........................ 53
45,405 LOUISVILLE GAS & ELECTRIC ENERGY CORP.. 954
1,500 MADISON GAS & ELECTRIC CO ............. 31
23,100 MCN ENERGY GROUP, INC ................. 479
15,450 MDU RESOURCES GROUP, INC .............. 352
16,200 o MIDAMERICAN ENERGY HOLDINGS CO ........ 561
32,600 MINNESOTA POWER, INC .................. 648
3,800 xo MOLTEN METAL TECHNOLOGY, INC .......... 0
22,700 MONTANA POWER CO ...................... 1,600
11,500 NATIONAL FUEL GAS CO .................. 558
25,500 NEVADA POWER CO ....................... 638
31,185 NEW CENTURY ENERGIES, INC ............. 1,210
20,200 NEW ENGLAND ELECTRIC SYSTEMS CO ....... 1,013
7,300 NEW JERSEY RESOURCES CORP ............. 273
20,000 o NEWPARK RESOURCES, INC ................ 178
64,100 o NIAGARA MOHWAK HOLDINGS, INC .......... 1,030
14,200 NICOR, INC ............................ 540
33,500 NISOURCE, INC ......................... 865
2,490 NORTH CAROLINA NATURAL GAS CORP ....... 85
51,400 o NORTHEAST UTILITIES CO ................ 909
41,400 NORTHERN STATES POWER CO .............. 1,001
11,900 NORTHWEST NATURAL GAS CO .............. 287
6,000 NORTHWESTERN CORP ..................... 145
1,100 NUI CORP .............................. 28
See notes to financial statements. 81
<PAGE>
EQUITY INDEX ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ ------
ELECTRIC, GAS, AND SANITARY SERVICES--(CONTINUED)
28,200 OGE ENERGY CORP ....................... $ 670
10,080 ONEOK, INC ............................ 320
12,200 ORANGE & ROCKLAND UTILITY, INC ........ 713
500 OTTER TAIL POWER CO ................... 19
84,200 PACIFICORP ............................ 1,547
72,000 PECO ENERGY CO ........................ 3,015
1,500 PENNSYLVANIA ENTERPRISES, INC ......... 46
10,100 PEOPLES ENERGY CORP ................... 381
118,965 PG&E CORP ............................. 3,866
7,000 PHILADELPHIA SUBURBAN CORP ............ 161
10,093 PIEDMONT NATURAL GAS CO, INC .......... 314
27,400 PINNACLE WEST CAPITAL CORP ............ 1,103
38,200 POTOMAC ELECTRIC POWER CO ............. 1,125
47,632 PP&L RESOURCES, INC ................... 1,465
31,500 PUBLIC SERVICE CO OF NEW MEXICO ....... 626
4,100 PUBLIC SERVICE CO OF NORTH CAROLINA ... 120
67,223 PUBLIC SERVICE ENTERPRISE GROUP, INC .. 2,748
32,840 PUGET SOUND ENERGY, INC ............... 788
28,600 QUESTAR CORP .......................... 547
78,549 RELIANT ENERGY, INC ................... 2,170
21,300 ROCHESTER GAS & ELECTRIC CORP ......... 566
28,200 SCANA CORP ............................ 659
3,800 SEMCO ENERGY, INC ..................... 59
66,629 SEMPRA ENERGY ......................... 1,507
18,700 SIERRA PACIFIC RESOURCES .............. 680
6,300 SIG CORP, INC ......................... 178
34,426 SONAT, INC ............................ 1,140
600 SOUTH JERSEY INDUSTRIES, INC .......... 17
231,715 SOUTHERN CO ........................... 6,140
4,360 o SOUTHERN UNION CO ..................... 95
8,000 SOUTHWEST GAS CORP .................... 229
24,900 SOUTHWESTERN ENERGY CO ................ 263
6,400 o SUPERIOR SERVICES, INC ................ 171
41,100 TECO ENERGY, INC ...................... 935
88,082 TEXAS UTILITIES CO .................... 3,633
1,300 TNP ENTERPRISES, INC .................. 47
7,610 UGI CORP .............................. 154
69,000 UNICOM CORP ........................... 2,661
15,240 o UNISOURCE ENERGY CORP HOLDINGS CO ..... 182
11,500 UNITED ILLUMINATING CO ................ 488
8,200 UNITED WATER RESOURCES, INC ........... 186
28,869 UTILICORP UNITED, INC ................. 702
10,800 WASHINGTON GAS LIGHT CO ............... 281
206,091 o WASTE MANAGEMENT, INC ................. 11,077
31,000 o WASTEMASTERS, INC ..................... 2
3,300 WESTERN GAS RESOURCES, INC ............ 53
17,500 WESTERN RESOURCES, INC ................ 466
18,000 WICOR, INC ............................ 503
143,716 WILLIAMS COS, INC ..................... 6,117
30,300 WISCONSIN ENERGY CORP ................. 759
9,200 WPS RESOURCES CORP .................... 276
1,500 YANKEE ENERGY SYSTEMS, INC ............ 60
------------
153,325
------------
ELECTRONIC AND OTHER ELECTRIC EQUIPMENT--8.04%
4,700 o AAVID THERMAL TECHNOLOGIES, INC ....... 106
9,400 o ACTEL CORP ............................ 139
8,800 o ADAPTIVE BROADBAND CORP ............... 193
46,600 o ADC TELECOMMUNICATIONS, INC ........... 2,123
13,900 o ADTRAN, INC ........................... 506
2,000 o ADVANCED ENERGY INDUSTRIES, INC ....... 81
20,400 o ADVANCED FIBRE COMMUNICATIONS ......... 319
2,200 o ADVANCED LIGHTING TECHNOLOGIES, INC ... 20
48,407 o ADVANCED MICRO DEVICES, INC ........... 874
95,420 ALLEGHENY TELEDYNE, INC ............... 2,159
8,085 o ALLEN TELECOM, INC .................... 87
10,900 o ALLIANCE SEMICONDUCTOR CORP ........... 108
68,300 o ALTERA CORP ........................... 2,514
54,800 o AMERICAN POWER CONVERSION CORP ........ 1,103
46,680 o AMERICAN TOWER SYSTEMS (CLASS A) ...... 1,120
15,800 AMETEK, INC ........................... 363
13,300 o AMKOR TECHNOLOGY, INC ................. 136
15,720 o AMPEX CORP (CLASS A) .................. 80
7,900 o AMPHENOL CORP (CLASS A) ............... 314
3,700 o ANADIGICS, INC ........................ 137
57,756 o ANALOG DEVICES, INC ................... 2,899
28,987 o ANDREW CORP ........................... 549
8,200 o ANTEC CORP ............................ 263
6,600 o APPLIED INNOVATION, INC ............... 31
5,400 o APPLIED MAGNETICS CORP ................ 17
7,500 o APPLIED MICRO CIRCUITS CORP ........... 617
11,500 o ARTESYN TECHNOLOGIES, INC ............. 255
2,500 o ARTISAN COMPONENTS, INC ............... 29
17,200 o ASPECT TELECOMMUNICATIONS CORP ........ 168
34,700 o ATMEL CORP ............................ 909
5,700 o AURA SYSTEMS, INC ..................... 1
25,700 AVX CORP .............................. 626
9,866 BALDOR ELECTRIC CO .................... 196
2,241 o BENCHMARK ELECTRONICS, INC ............ 81
8,900 BMC INDUSTRIES, INC ................... 92
2,200 o BROADCOM CORP (CLASS A) ............... 318
11,550 o BURR BROWN CORP ....................... 423
2,572 C&D TECHNOLOGIES, INC ................. 79
8,800 o CELLNET DATA SYSTEMS, INC ............. 79
9,200 o CHECKPOINT SYSTEMS, INC ............... 82
14,800 o CIDCO, INC ............................ 110
35,700 o CIENA CORP ............................ 1,078
11,633 o COMMSCOPE, INC ........................ 358
22,610 o COMVERSE TECHNOLOGY, INC .............. 1,707
23,022 o CONEXANT SYSTEMS, INC ................. 1,337
30,373 COOPER INDUSTRIES, INC ................ 1,579
5,506 CTS CORP .............................. 385
29,300 o CYPRESS SEMICONDUCTOR CORP ............ 483
11,200 DALLAS SEMICONDUCTOR CORP ............. 566
3,700 o DAVOX CORP ............................ 44
19,000 o DIGITAL MICROWAVE CORP ............... 242
10,280 o DII GROUP, INC ........................ 384
12,800 o DSP COMMUNICATIONS, INC ............... 370
4,000 o ECHOSTAR COMMUNICATIONS CORP
(CLASS A) ............................. 614
3,200 o ELECTRO SCIENTIFIC INDUSTRIES, INC .... 134
147,346 EMERSON ELECTRIC CO ................... 9,264
3,900 o ESS TECHNOLOGY ........................ 52
900 o EVANS & SUTHERLAND COMPUTER CORP ...... 12
1,200 o EXCEL SWITCHING CORP .................. 36
4,600 EXIDE CORP ............................ 68
6,400 o GENERAL DATACOMM INDUSTRIES, INC ...... 17
1,156,322 GENERAL ELECTRIC CO ................... 130,664
46,200 o GENERAL INSTRUMENT CORP ............... 1,964
6,800 o GENERAL SEMICONDUCTOR, INC ............ 62
1,100 o GENLYTE GROUP, INC .................... 25
9,900 xo GEOTEK COMMUNICATIONS, INC ........... 0
18,687 o GLENAYRE TECHNOLOGIES, INC ............ 67
4,500 o HADCO CORP ............................ 179
8,350 HARMAN INTERNATIONAL INDUSTRIES, INC .. 367
2,300 HARMON INDUSTRIES, INC ................ 46
82 See notes to financial statements.
<PAGE>
EQUITY INDEX ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ ------
ELECTRONIC AND OTHER EQUIPMENT--(CONTINUED)
27,500 HARRIS CORP ........................... $ 1,078
7,300 HELIX TECHNOLOGY CORP ................. 175
13,000 o HMT TECHNOLOGY CORP ................... 33
1,600 o HOLOPHANE CORP ........................ 61
16,350 HUBBELL, INC (CLASS B) ................ 742
6,400 o HUTCHINSON TECHNOLOGY, INC ............ 178
2,400 INNOVEX, INC .......................... 34
25,100 o INTEGRATED DEVICE TECHNOLOGY, INC ..... 273
2,300 o INTEGRATED SILICON SOLUTION, INC ...... 13
1,174,740 INTEL CORP ............................ 69,897
6,800 INTER-TEL, INC ........................ 124
24,800 o INTERDIGITAL COMMUNICATIONS CORP ...... 115
16,500 o INTERNATIONAL RECTIFIER CORP .......... 220
10,800 o INTERVOICE, INC ....................... 156
700 o ITI TECHNOLOGIES, INC ................. 16
6,500 o ITRON, INC ............................ 56
14,700 o JABIL CIRCUIT, INC .................... 663
12,600 JUNO LIGHTING, INC .................... 309
16,400 o KEMET CORP ............................ 376
16,200 o KOMAG, INC ............................ 54
1,400 o KOPIN CORP ............................ 34
2,000 o L-3 COMMINUCATIONS HOLDINGS, INC ...... 97
8,000 o LATTICE SEMICONDUCTOR CORP ............ 498
13,600 o LEVEL ONE COMMUNICATIONS, INC ......... 666
52,200 LINEAR TECHNOLOGY CO .................. 3,510
9,800 o LITTLEFUSE, INC ....................... 189
2,400 o LO-JACK CORP .......................... 20
48,972 o LSI LOGIC CORP ........................ 2,259
13,000 o MAGNETEK, INC ......................... 137
41,600 o MAXIM INTEGRATED PRODUCTS ............. 2,766
31,300 MAYTAG CO ............................. 2,181
12,900 o MEMC ELECTRONIC MATERIALS, INC ........ 157
14,500 METHODE ELECTRONICS, INC (CLASS A) .... 332
4,700 o MICREL, INC .......................... 348
17,000 o MICROCHIP TECHNOLOGY, INC ............. 805
73,509 o MICRON TECHNOLOGY, INC ................ 2,963
11,600 o MMC NETWORKS, INC ..................... 519
26,032 MOLEX, INC ............................ 963
1,400 o MOOG, INC (CLASS A) ................... 48
211,000 MOTOROLA, INC ......................... 19,992
7,300 o MRV COMMUNICATIONS, INC ............... 96
14,300 o MYLEX CORP ............................ 83
4,000 NATIONAL PRESTO INDUSTRIES, INC ....... 153
53,892 o NATIONAL SEMICONDUCTOR CORP ........... 1,364
16,200 NATIONAL SERVICE INDUSTRIES, INC ...... 583
7,200 o NEOMAGIC CORP ......................... 61
12,607 NORTEL NETWORKS CORP (U.S.) ........... 1,094
6,200 o OAK INDUSTRIES, INC ................... 271
6,800 o OAK TECHNOLOGY, INC ................... 25
49,100 o OIS OPTICAL IMAGING SYSTEMS, INC ...... 1
15,700 o P-COM, INC ............................ 82
22,500 o PAIRGAIN TECHNOLOGIES, INC ............ 259
1,300 PARK ELECTROCHEMICAL CORP ............. 37
8,200 o PHOTRONICS, INC ....................... 201
7,300 o PICTURETEL CORP ....................... 58
9,900 PITTWAY CORP (CLASS A) ................ 338
5,800 o PLANTRONICS, INC ...................... 378
3,000 o PLEXUS CORP ........................... 90
19,800 o PMC-SIERRA, INC ....................... 1,167
4,600 o POLYCOM, INC .......................... 179
2,500 o POWERWAVE TECHNOLOGIES, INC ........... 81
9,100 o PREMISYS COMMUNICATIONS, INC .......... 67
6,600 o QLOGIC CORP ........................... 871
43,700 o QUALCOMM, INC ......................... 6,271
5,000 o RAMBUS, INC ........................... 461
26,300 RAYCHEM CORP .......................... 973
8,200 o RAYOVAC CORP .......................... 186
13,600 o READ RITE CORP ........................ 84
6,300 o RECOTON CORP .......................... 57
11,700 o REMEC, INC ............................ 189
13,300 o S3, INC ............................... 121
18,990 o SANMINA CORP .......................... 1,441
3,900 o SAWTEK, INC ........................... 179
20,577 o SCI SYSTEMS, INC ...................... 977
25,500 SCIENTIFIC-ATLANTA, INC ............... 918
4,200 o SCM MICROSYSTEMS, INC ................. 195
8,600 o SDL, INC .............................. 439
4,800 o SEMTECH CORP .......................... 250
28,200 o SENSORMATIC ELECTRONICS CORP .......... 393
1,100 o SILICONIX, INC ........................ 38
5,600 o SIPEX CORP ............................ 115
6,050 o SLI, INC .............................. 163
9,900 o SMART MODULAR TECHNOLOGIES, INC ....... 172
80,000 o SOLECTRON CORP ........................ 5,335
10,600 STEWART & STEVENSON SERVICES, INC ..... 162
33,526 o SUNBEAM CORP .......................... 266
3,400 TECHNITROL, INC ....................... 110
11,300 o TEKELEC ............................... 138
10,300 TELEFLEX, INC ......................... 447
122,488 o TELLABS, INC .......................... 8,276
137,241 TEXAS INSTRUMENTS, INC ................ 19,900
17,005 THOMAS & BETTS CORP ................... 803
2,000 THOMAS INDUSTRIES, INC ................ 41
13,800 o UCAR INTERNATIONAL, INC ............... 348
13,400 o UNIPHASE CORP ......................... 2,224
12,300 o UNITRODE CORP ......................... 353
10,500 o VARIAN SEMICONDUCTOR EQUIPMENT
ASSOCIATION ......................... 179
8,200 o VICOR CORP ............................ 174
3,800 o VIDEOSERVER, INC ...................... 36
23,671 o VISHAY INTERTECHNOLOGY, INC ........... 497
25,400 o VITESSE SEMICONDUCTOR CORP ............ 1,713
7,300 o WESTELL TECHNOLOGIES, INC (CLASS A) ... 51
25,000 WHIRLPOOL CORP ........................ 1,850
9,633 o WINDMERE-DURABLE HOLDINGS, INC ........ 163
12,600 o WORLD ACCESS, INC .................... 178
46,400 o XILINX, INC ........................... 2,656
4,400 xo ZENITH ELECTRONICS CORP .............. 2
5,300 o ZOLTEK COS, INC ....................... 42
------------
352,572
------------
ENGINEERING AND MANAGEMENT SERVICES--0.20%
3,800 o AHL SERVICES, INC ..................... 95
7,300 BLOUNT INTERNATIONAL, INC ............. 198
13,000 o CATALYTICA, INC ....................... 182
1,700 o DATA TRANSMISSION NETWORK CORP ........ 48
1,400 o DIAMOND TECHNOLOGY PARTNERS, INC
(CLASS A) ............................ 31
54,848 DUN & BRADSTREET CORP ................. 1,944
21,300 EG & G, INC ........................... 759
2,300 o ENTREMED, INC ......................... 52
2,200 o F.Y.I., INC ........................... 69
8,581 o FIRST CONSULTING GROUP, INC ........... 91
15,600 o GARTNER GROUP, INC (CLASS A) .......... 320
3,100 o HAGLER BAILLY, INC .................... 32
7,200 o INCYTE PHARMACEUTICALS, INC ........... 190
6,200 o JACOBS ENGINEERING GROUP, INC ......... 236
1,200 o KENDLE INTERNATIONAL, INC ............. 19
See notes to financial statements. 83
<PAGE>
EQUITY INDEX ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ ------
ENGINEERING AND MANAGEMENT SERVICES--(CONTINUED)
3,400 o LASON, INC ............................ $ 169
2,900 o MAXIMUS, INC .......................... 83
20,500 o MEDAPHIS CORP ......................... 118
2,000 o META GROUP, INC ....................... 31
4,800 o METZLER GROUP, INC .................... 133
15,100 xo NEUROMEDICAL SYSTEMS, INC ............. 0
3,700 o NFO WORLDWIDE, INC .................... 52
1,800 o NICHOLS RESEARCH CORP ................. 39
9,000 o PAREXEL INTERNATIONAL CORP ............ 120
4,700 o PHARMACEUTICAL PRODUCT
DEVELOPMENT ........................... 129
2,500 o PROBUSINESS SERVICES, INC ............. 90
3,300 o PROFIT RECOVERY GROUP
INTERNATIONAL ......................... 156
27,712 o QUINTILES TRANSNATIONAL CORP .......... 1,164
10,600 o RENAISSANCE WORLDWIDE, INC ............ 84
83,050 SERVICEMASTER CO ...................... 1,557
6,500 o STAFF LEASING, INC .................... 84
1,900 o SUPERIOR CONSULTANT HOLDINGS CORP .... 47
1,200 TEJON RANCH CO ........................ 30
10,312 o TETRA TECH, INC ....................... 170
2,500 o URS CORP .............................. 73
3,000 o WACKENHUT CORRECTIONS CORP ............ 59
7,700 o WHITTMAN HART, INC .................... 244
------------
8,898
------------
FABRICATED METAL PRODUCTS--0.69%
600 o ALLIANT TECHSYSTEMS, INC .............. 52
1,676 o ALLTRISTA CORP ........................ 55
2,219 AMCAST INDUSTRIAL CORP ................ 36
12,323 BALL CORP ............................. 521
5,852 BARNES GROUP, INC ..................... 127
900 o BUTLER MANUFACTURING CO ............... 25
745 CHART INDUSTRIES, INC ................. 6
7,400 o COLEMAN CO, INC ....................... 69
16,725 CRANE CO .............................. 526
32,453 CROWN CORK & SEAL CO, INC ............. 925
391,622 GILLETTE CO ........................... 16,057
5,500 o GRIFFON CORP ......................... 43
1,400 o GULF ISLAND FABRICATION, INC .......... 17
12,200 HARSCO CORP ........................... 390
19,413 MARK IV INDUSTRIES, INC ............... 410
112,422 MASCO CORP ............................ 3,246
1,500 o MATERIAL SCIENCES CORP ................ 23
9,800 o METALS U.S.A., INC .................... 125
3,000 o NCI BUILDING SYSTEMS, INC ............. 64
2,300 o NORTEK, INC ........................... 72
34,975 PARKER-HANNIFIN CORP .................. 1,600
7,100 PRIMEX TECHNOLOGIES, INC .............. 153
50,344 ROCKWELL INTERNATIONAL CORP ........... 3,058
40,700 o ROHN INDUSTRIES, INC .................. 56
5,500 o SILGAN HOLDINGS, INC .................. 109
19,250 SNAP-ON, INC .......................... 697
2,900 o SPS TECHNOLOGIES, INC ................. 109
23,600 STANLEY WORKS CO ...................... 760
12,700 STRUM, RUGER & CO, INC ................ 136
21,500 o TOWER AUTOMOTIVE, INC ................. 547
6,700 VALMONT INDUSTRIES .................... 114
5,600 WATTS INDUSTRIES, INC (CLASS A) ....... 107
10,700 o WYMAN-GORDON CO ....................... 207
------------
30,442
------------
FISHING, HUNTING, AND TRAPPING--0.00%
3,900 o ZAPATA CORP 33
------------
FOOD AND KINDRED PRODUCTS--3.32%
14,900 o AGRIBIOTECH, INC .................... 90
11,360 o AGRIBRANDS INTERNATIONAL, INC ....... 449
8,600 o AMERICAN ITALIAN PASTA CO (CLASS A) . 261
155,966 ANHEUSER BUSCH COS, INC ............. 11,064
255,200 ARCHER DANIELS MIDLAND CO ........... 3,940
5,200 o BERINGER WINE ESTATES HOLDINGS, INC
(CLASS B) ......................... 217
94,845 BESTFOODS, INC ...................... 4,695
7,305 o BOSTON BEER CO, INC (CLASS A) ...... 59
14,750 BROWN FORMAN, INC (CLASS B) ......... 962
4,000 o BUSH BOAKE ALLEN, INC ............... 117
73,651 CAMPBELL SOUP CO .................... 3,416
4,600 o CANANDAIGUA BRANDS, INC (CLASS A) ... 241
14,200 CHIQUITA BRANDS INTERNATIONAL, INC .. 128
1,100 COCA COLA BOTTLING CO CONSOLIDATED .. 62
803,794 COCA COLA CO ........................ 50,237
81,900 COCA COLA ENTERPRISES, INC .......... 2,437
164,473 CONAGRA, INC ........................ 4,379
10,000 COORS (ADOLPH) CO (CLASS B) ......... 495
12,675 CORN PRODUCTS INTERNATIONAL, INC .... 386
11,500 DEAN FOODS CO ....................... 478
15,300 DOLE FOOD, INC ...................... 449
9,500 DREYERS GRAND ICE CREAM, INC ........ 144
15,860 EARTHGRAINS CO ...................... 409
100 FARMER BROTHERS CO .................. 20
30,650 FLOWERS INDUSTRIES, INC ............. 665
53,411 GENERAL MILLS, INC .................. 4,293
2,600 o HAIN FOOD GROUP, INC ................ 54
111,909 HEINZ (H.J.) CO ..................... 5,609
28,637 HERSHEY FOODS CORP .................. 1,700
11,800 HORMEL FOODS CORP ................... 475
25,300 IBP, INC ............................ 601
8,800 o INTERNATIONAL HOME FOODS, INC ....... 162
12,100 INTERSTATE BAKERIES CORP .............. 271
5,900 o KEEBLER FOODS CO .................... 179
72,600 KELLOGG CO ............................ 2,396
12,150 LANCASTER COLONY CORP ................. 419
9,400 LANCE, INC ............................ 147
21,100 MCCORMICK & CO, INC (NON-VOTE) ........ 666
7,200 MICHAEL FOODS, INC .................... 169
106,383 NABISCO GROUP HOLDINGS ................ 2,081
17,500 NABISCO HOLDINGS CORP (CLASS A) ....... 757
518,505 PEPSICO, INC .......................... 20,060
43,700 QUAKER OATS CO ........................ 2,901
10,500 o RALCORP HOLDINGS, INC ................. 169
102,000 RALSTON PURINA CO ..................... 3,105
1,200 RIVIANA FOODS, INC .................... 23
2,600 o ROBERT MONDAVI CORP (CLASS A) ......... 95
316,400 SARA LEE CORP ......................... 7,178
10,600 o SMITHFIELD FOODS, INC ................. 354
6,800 SMUCKER, (J.M.) CO (CLASS A) .......... 151
11,100 o SUIZA FOODS CORP ...................... 465
100 TCBY ENTERPRISES, INC ................. 1
8,787 TOOTSIE ROLL INDUSTRIES, INC .......... 339
34,500 TYSON FOODS, INC ...................... 776
714 UNILEVER NV (N.Y.) SHS ................ 50
21,400 UNIVERSAL FOODS CORP .................. 452
6,800 o VLASIC FOODS INTERNATIONAL, INC ....... 50
31,500 WHITMAN CORP ............................ 567
84 See notes to financial statements.
<PAGE>
EQUITY INDEX ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ ------
FOOD AND KINDRED PRODUCTS--(CONTINUED)
7,553 o WLR FOODS, INC ........................ $ 61
1,200 WORTHINGTON FOODS, INC ................ 20
33,300 WRIGLEY (WM) JR CO .................... 2,997
------------
145,593
------------
FOOD STORES--0.72%
53,200 o 7-ELEVEN, INC ........................... 118
147,780 ALBERTSONS, INC ......................... 7,620
111,400 FOOD LION, INC (CLASS B) ................ 1,288
26,300 o GENERAL NUTRITION COS, INC .............. 613
8,000 GREAT ATLANTIC & PACIFIC TEA CO, INC .... 271
13,900 HANNAFORD BROTHERS, INC ................. 744
1,500 INGLES MARKETS, INC (CLASS A) ........... 23
284,154 o KROGER CO ............................... 7,939
15,100 RUDDICK CORP ............................ 302
171,022 o SAFEWAY, INC ............................ 8,466
61,000 o STARBUCKS CORP .......................... 2,291
3,400 WEIS MARKETS, INC ....................... 133
9,000 o WHOLE FOODS MARKET, INC ................. 433
2,900 o WILD OATS MARKETS, INC .................. 88
29,936 WINN DIXIE STORES, INC .................. 1,106
-----------
31,435
-----------
FORESTRY--0.04%
47,600 GEORGIA-PACIFIC CORP
(TIMBER GROUP) ........................ 1,202
12,900 RAYONIER, INC ......................... 643
-----------
1,845
-----------
FURNITURE AND FIXTURES--0.27%
6,100 BASSETT FURNITURE INDUSTRIES, INC ..... 140
3,561 BUSH INDUSTRIES, INC (CLASS A) ........ 59
18,000 ETHAN ALLEN INTERIORS, INC ............ 680
17,900 o FURNITURE BRANDS
INTERNATIONAL, INC .................... 499
20,500 HON INDUSTRIES, INC ................... 598
11,900 KIMBALL INTERNATIONAL, INC (CLASS B) .. 201
9,200 o KNOLL, INC ............................ 245
22,600 LA-Z-BOY, INC ......................... 520
20,152 o LEAR CORP ............................. 1,003
66,420 LEGGETT & PLATT, INC .................. 1,847
32,300 MILLER (HERMAN), INC .................. 678
98,851 NEWELL RUBBERMAID, INC ................ 4,597
6,303 o OSULLIVAN INDUSTRIES HOLDINGS, INC .... 107
2,300 STEELCASE, INC ........................ 46
27,800 U.S. INDUSTRIES, INC .................. 473
------------
11,693
------------
FURNITURE AND HOMEFURNISHINGS STORES--0.32%
34,100 o BED BATH & BEYOND, INC ................ 1,313
54,500 o BEST BUY, INC ......................... 3,679
13,500 o BOMBAY, INC ........................... 104
6,073 o CDNOW, INC ............................ 107
32,015 CIRCUIT CITY STORES-CIRCUIT CITY GROUP 2,977
31,500 o COMPUSA, INC .......................... 234
4,500 o GUITAR CENTER, INC .................... 47
2,000 HAVERTY FURNITURE COS, INC ............ 71
21,100 HEILIG MEYERS CO ...................... 144
18,200 o LINENS N THINGS, INC .................. 796
3,892 o MAXIM GROUP, INC ...................... 34
11,278 o MUSICLAND STORES CORP ................. 100
34,355 PIER 1 IMPORTS, INC ................... 386
67,400 TANDY CORP ............................ 3,294
6,700 o TRANS WORLD ENTERTAINMENT CORP ........ 75
14,000 o WILLIAMS-SONOMA, INC .................. 487
------------
13,848
------------
GENERAL BUILDING CONTRACTORS--0.09%
20,978 CENTEX CORP ........................... 788
3,000 o CROSSMAN COMMUNITIES, INC ............. 87
14,837 HILLENBRAND INDUSTRIES, INC ........... 642
16,700 HORTON (D.R.), INC .................... 278
18,600 KAUFMAN & BROAD HOME CORP ............. 463
17,950 LENNAR CORP ........................... 431
2,900 MDC HOLDINGS, INC ..................... 62
1,700 o NVR, INC .............................. 89
13,600 PULTE CORP ............................ 314
2,300 RYLAND GROUP, INC ..................... 68
7,715 STANDARD-PACIFIC CORP ................. 100
15,800 o TOLL BROTHERS, INC .................... 339
5,413 o U.S. HOME CORP ........................ 192
12,900 o WALTER INDUSTRIES, INC ................ 167
5,333 o WEBB (DEL) CORP ....................... 127
------------
4,147
------------
GENERAL MERCHANDISE STORES--2.29%
5,000 o 99 CENTS ONLY STORES .................. 250
8,000 o AMES DEPARTMENT STORES, INC ........... 365
31,100 o BJS WHOLESALE CLUB, INC ............... 935
1,300 xo CALDOR CORP ........................... 0
24,000 CASEYS GENERAL STORES, INC ............ 360
38,103 o CONSOLIDATED STORES CORP .............. 1,029
3,000 o COST PLUS, INC ........................ 137
75,900 o COSTCO COS, INC ....................... 6,077
154,800 DAYTON HUDSON CORP .................... 10,062
35,300 DILLARDS, INC (CLASS A) ............... 1,240
71,032 DOLLAR GENERAL CORP ................... 2,060
19,025 o DOLLAR TREE STORES, INC ............... 837
9,100 o ELDER BEERMAN STORES CORP ............. 67
47,700 FAMILY DOLLAR STORES, INC ............. 1,145
72,513 o FEDERATED DEPARTMENT STORES, INC ...... 3,839
2,000 FREDS, INC ............................ 31
23,900 HARCOURT GENERAL, INC ................. 1,232
11,700 o HOMEBASE, INC ......................... 74
169,598 o K MART CORP ........................... 2,788
50,100 o KOHLS CORP ............................ 3,867
121,500 MAY DEPARTMENT STORES CO .............. 4,966
16,300 o NEIMAN-MARCUS GROUP, INC .............. 419
76,698 PENNEY, (J.C.) CO, INC ................ 3,725
48,703 o SAKS, INC ............................. 1,406
125,370 SEARS ROEBUCK & CO .................... 5,587
32,100 xo SERVICE MERCHANDISE, INC .............. 12
13,400 o SHOPKO STORES, INC .................... 486
5,600 o VALUE CITY DEPARTMENT STORES, INC ..... 69
42,400 o VENATOR GROUP, INC .................... 443
969,642 WAL-MART STORES, INC .................. 46,785
------------
100,293
------------
HEALTH SERVICES--0.41%
2,200 o ADVANCE PARADIGM, INC ................. 134
5,400 o ALTERRA HEALTHCARE CORP ............... 74
700 o AMERICAN HOMEPATIENT, INC ............. 1
10,500 o AMERICAN RETIREMENT CORP .............. 131
6,500 o AMERIPATH, INC ........................ 56
1,600 o APPLIED ANALYTICAL INDUSTRIES, INC .... 18
14,200 o APRIA HEALTHCARE GROUP, INC ........... 241
4,200 o ASSISTED LIVING CONCEPTS, INC ......... 12
28,272 o BEVERLY ENTERPRISES, INC .............. 228
3,836 o CAREMATRIX CORP ....................... 48
1,700 o CENTENNIAL HEALTHCARE CORP ............ 9
9,400 o CLINTRIALS, INC ....................... 47
35,700 o COASTAL PHYSICIAN GROUP, INC .......... 19
211,062 COLUMBIA/HCA HEALTHCARE CORP .......... 4,815
See notes to financial statements. 85
<PAGE>
EQUITY INDEX ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ ------
HEALTH SERVICES--(CONTINUED)
20,800 o CONCENTRA MANAGED CARE, INC ........... $ 308
26,778 o CORAM HEALTHCARE CORP ................. 47
21,050 o COVANCE, INC .......................... 504
17,900 o COVENTRY HEALTH CARE, INC ............. 196
3,000 o CURATIVE HEALTH SERVICES, INC ......... 17
13,284 o ENZO BIOCHEMICAL, INC ................. 131
10,600 o EXPRESS SCRIPTS, INC .................. 638
5,400 xo FPA MEDICAL MANAGEMENT, INC ........... 0
12,600 o GENESIS HEALTH VENTURES, INC .......... 38
28,850 o HCR MANOR CARE ........................ 698
75,603 o HEALTH MANAGEMENT ASSOCIATES, INC
(CLASS A) (NEW) ...................... 851
146,109 o HEALTHSOUTH CORP ...................... 2,183
5,400 HOOPER HOLMES, INC .................... 110
1,200 o IMPATH, INC ........................... 32
8,300 o INNOVATIVE CLINICAL SOLUTION .......... 12
20,048 o INTEGRATED HEALTH SERVICES, INC ....... 160
20,080 o LABORATORY CORP OF AMERICA
HOLDINGS ............................. 58
244 o LABORATORY CORP OF AMERICA
HOLDINGS WTS 04/28/00 ................ 0
1,222 o LCA-VISION, INC ....................... 11
10,871 o LIFEPOINT HOSPITALS, INC .............. 146
14,600 o LINCARE HOLDINGS, INC ................. 365
190 o LTC HEALTHCARE, INC ................... 0
9,400 o MAGELLAN HEALTH SERVICES, INC ......... 94
33,899 o MARINER POST-ACUTE NETWORK, INC ....... 14
68,119 o MEDPARTNERS, INC ...................... 515
100 o NATIONAL HEALTHCARE CORP .............. 1
16,900 o NOVACARE, INC ......................... 25
10,800 o ORTHODONTIC CENTERS OF AMERICA, INC ... 153
6,000 o PEDIATRIX MEDICAL GROUP, INC .......... 128
26,525 o PHYCOR, INC ........................... 196
12,900 o PHYSICIANS RESOURCE GROUP, INC ........ 15
1,600 o PROVINCE HEALTHCARE CO ................ 31
16,875 o QUEST DIAGNOSTICS, INC ................ 462
23,950 o QUORUM HEALTH GROUP, INC .............. 301
13,400 o RENAL CARE GROUP, INC ................. 347
19,700 o SUN HEALTHCARE GROUP, INC ............. 7
106,573 o TENET HEALTHCARE CORP ................. 1,978
27,410 o TOTAL RENAL CARE HOLDINGS, INC ........ 427
10,871 o TRIAD HOSPITALS, INC .................. 147
2,800 o UNITED PAYORS & UNITED PROVIDERS, INC . 65
10,200 o UNIVERSAL HEALTH SERVICES, INC ........ 487
16,066 o US ONCOLOGY, INC ...................... 193
12,615 o VENCOR, INC ........................... 2
------------
17,926
------------
HEAVY CON STRUCTION, EXCEPT BUILDING--0.05%
4,950 o DYCOM INDUSTRIES, INC ................. 277
24,552 FLUOR CORP ............................ 994
12,600 FOSTER WHEELER CORP ................... 178
6,400 GRANITE CONSTRUCTION, INC ............. 188
7,200 o INSITUFORM TECHNOLOGIES, INC (CLASS A) 156
3,100 o MASTEC, INC ........................... 88
12,684 o MORRSION KNUDSEN CORP ................. 131
------------
2,012
------------
HOLDING AND OTHER INVESTMENT OFFICES--0.92%
700 o ALEXANDERS, INC ....................... 52
6,500 ALEXANDRIA REAL ESTATE EQUITIES, INC... 203
42,400 AMB PROPERTY CORP ..................... 996
2,500 o AMERCO ................................ 56
17,200 AMERICAN HEALTH PROPERTIES, INC ....... 346
9,700 AMLI RESIDENTIAL PROPERTIES TRUST ..... 217
2,900 ANTHRACITE CAPITAL, INC ............... 19
38,164 APARTMENT INVESTMENT &
MANAGEMENT CO ......................... 1,632
63,279 ARCHSTONE COMMUNITIES TRUST ........... 1,388
11,600 ASSOCIATED ESTATES REALTY CORP ........ 137
26,522 AVALONBAY COMMUNITIES, INC ............ 981
1,500 BEDFORD PROPERTY INVESTORS, INC ....... 27
6,600 o BERKSHIRE REALTY CO, INC .............. 76
13,600 BOSTON PROPERTIES, INC ................ 488
7,000 BOYKIN LODGING CO ..................... 108
4,025 BRADLEY REAL ESTATE, INC .............. 84
8,000 BRANDYWINE REALTY TRUST ............... 159
15,000 BRE PROPERTIES, INC (CLASS A) ......... 389
3,200 BURNHAM PACIFIC PROPERTIES, INC ....... 39
23,900 CAMDEN PROPERTY TRUST ................. 663
3,400 CAPITAL AUTOMOTIVE REIT ............... 45
42,272 CAPSTEAD MORTGAGE CORP ................ 230
17,600 CARRAMERICA REALTY CORP ............... 440
9,400 CBL & ASSOCIATES PROPERTIES, INC ...... 248
1,400 CENTERPOINT PROPERTIES CORP ........... 51
1,000 CENTERTRUST RETAIL PROPERTIES, INC .... 12
1,300 CHARLES E. SMITH RESIDENTIAL REALTY ... 44
13,900 CHATEAU PROPERTIES, INC ............... 416
1,600 CHELSEA GCA REALTY, INC ............... 59
6,600 o COAST FEDERAL LITIGATION
CONTINGENT RTS ........................ 7
9,500 COLONIAL PROPERTIES TRUST ............. 268
3,800 o COMMERCIAL NET LEASE REALTY, INC ...... 49
26,900 CORNERSTONE PROPERTIES, INC ........... 427
3,000 CORNERSTONE REALTY INCOME TRUST, INC .. 32
10,343 COUSINS PROPERTIES, INC ............... 350
36,100 CRESCENT REAL ESTATE EQUITIES CO ...... 857
1,040 o CRESECENT OPERATING, INC .............. 7
16,091 o CRIIMI MAE, INC ....................... 36
24,800 DEVELOPERS DIVERSIFIED REALTY CORP .... 412
34,732 DUKE REALTY INVESTMENTS, INC .......... 784
23,553 o DYNEX CAPITAL, INC .................... 47
2,000 ENTERTAINMENT PROPERTIES TRUST ........ 35
6,900 EQUITY INNS, INC ...................... 64
83,409 EQUITY OFFICE PROPERTIES TRUST ........ 2,137
34,868 EQUITY RESIDENTIAL PROPERTIES
TRUST CO ............................ 1,571
13,400 FEDERAL REALTY INVESTMENT TRUST ....... 307
29,604 FELCOR LODGING TRUST, INC ............. 614
17,300 FIRST INDUSTRIAL REALTY TRUST, INC .... 475
4,480 o FIRST UNION REAL ESTATE INVESTMENTS ... 20
23,849 FRANCHISE FINANCE CORP OF AMERICA ..... 525
2,900 GABLES RESIDENTIAL TRUST .............. 70
10,500 GENERAL GROWTH PROPERTIES, INC ........ 373
1,300 GETTY REALTY HOLDINGS CORP ............ 19
10,500 GLENBOROUGH REALTY TRUST, INC ......... 184
12,100 GLIMCHER REALTY TRUST ................. 197
500 GOLF TRUST OF AMERICA, INC ............ 12
3,000 GREAT LAKES REIT, INC ................. 49
10,200 HEALTH CARE PROPERTY INVESTORS, INC ... 295
6,440 HEALTH CARE REIT, INC ................. 150
11,400 HEALTHCARE REALTY TRUST, INC .......... 239
26,000 HIGHWOODS PROPERTIES, INC ............. 713
2,400 HOME PROPERTIES OF NEW YORK, INC ...... 66
15,600 HOSPITALITY PROPERTIES TRUST .......... 423
46,200 HRPT PROPERTIES TRUST ................. 707
1,800 IMPAC MORTGAGE HOLDINGS, INC .......... 9
6,700 IMPERIAL CREDIT COMMERCIAL
MORTGAGE INVESTMENT CORP ............ 72
86 See notes to financial statements.
<PAGE>
EQUITY INDEX ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ ------
HOLDING AND OTHER INVESTMENT OFFICES--(CONTINUED)
48,415 INDYMAC MORTGAGE HOLDINGS, INC .......... $ 775
3,800 INNKEEPERS U.S.A. TRUST ................. 38
2,300 IRT PROPERTY CO ......................... 23
12,150 JDN REALTY CORP ......................... 272
2,200 o JP REALTY, INC ........................ 45
11,200 KILROY REALTY CORP ...................... 273
18,450 KIMCO REALTY CORP ....................... 722
2,700 KOGER EQUITY, INC ....................... 50
2,400 LEXINGTON CORPORATE PROPERTIES TRUST .... 28
29,200 LIBERTY PROPERTY TRUST CO ............... 726
3,300 LTC PROPERTIES, INC ..................... 43
12,800 MACERICH CO ............................. 336
18,700 MACK-CALI REALTY CORP ................... 579
8,800 MANUFACTURED HOME
COMMUNITIES, INC ........................ 229
36,163 MEDITRUST CORP .......................... 472
13,900 MERISTAR HOSPITALITY CORP ............... 312
676 o MERRY LAND PROPERTIES, INC .............. 3
600 MGI PROPERTIES, INC ..................... 17
2,900 o MID-AMERICA APARTMENT
COMMUNITIES, INC ........................ 67
2,498 MILLS CORP .............................. 54
4,400 NATIONAL GOLF PROPERTIES, INC ........... 107
7,400 NATIONAL HEALTH INVESTORS, INC .......... 169
17,100 NATIONWIDE HEALTH PROPERTIES, INC ....... 326
31,566 NEW PLAN EXCEL REALTY TRUST ............. 568
7,734 OMEGA HEALTHCARE INVESTORS, INC ......... 200
700 PARKWAY PROPERTIES, INC ................. 23
3,700 o PENNSYLVANIA REAL ESTATE
INVESTMENT TRUST ........................ 77
14,434 POST PROPERTIES, INC .................... 592
21,600 PRENTISS PROPERTIES TRUST ............... 508
3,100 PRIME RETAIL, INC ....................... 27
40,600 PRISON REALTY TRUST, INC ................ 398
25,993 PROLOGIS TRUST .......................... 526
3,100 PS BUSINESS PARKS, INC .................. 76
36,252 PUBLIC STORAGE, INC ..................... 1,015
20,700 REALTY INCOME CORP ...................... 492
11,700 RECKSON ASSOCIATES REALTY CORP .......... 275
1,013 o RECKSON ASSOCIATES REALTY CORP
(CLASS B) .............................. 24
5,303 o REDWOOD TRUST, INC ...................... 88
11,700 RFS HOTEL INVESTORS, INC ................ 147
10,700 SHURGARD STORAGE CENTERS, INC ........... 290
42,256 SIMON PROPERTY GROUP, INC ............... 1,072
3,800 SL GREEN REALTY CORP .................... 78
1,600 SOVRAN SELF STORAGE, INC ................ 43
25,600 SPIEKER PROPERTIES, INC ................. 995
14,700 STARWOOD FINANCIAL TRUST ................ 911
11,400 STORAGE U.S.A., INC ..................... 363
700 SUMMIT PROPERTIES, INC .................. 14
500 SUN COMMUNITIES, INC .................... 18
7,548 SUNSTONE HOTEL INVESTORS, INC ........... 64
2,500 TANGER FACTORY OUTLET CENTERS, INC ...... 65
17,000 TAUBMAN CENTERS, INC .................... 224
2,624 THORNBURG MORTGAGE ASSET CORP ........... 26
3,500 TOWN & COUNTRY TRUST .................... 63
6,700 TRINET CORPORATE REALTY TRUST, INC ...... 186
4,100 U.S. RESTAURANT PROPERTIES, INC ......... 87
58,873 UNITED DOMINION REALTY TRUST, INC ....... 692
3,600 URBAN SHOPPING CENTERS, INC ............. 113
17,315 VENTAS, INC ............................. 93
975 o VORNADO OPERATING CO .................... 8
19,500 VORNADO REALTY TRUST .................... 689
4,700 WALDEN RESIDENTIAL PROPERTIES, INC ...... 101
21,400 WASHINGTON REAL ESTATE
INVESTMENT TRUST ........................ 362
6,800 WEEKS CORP .............................. 207
8,900 WEINGARTEN REALTY INVESTORS, INC ........ 372
8,100 o WELLSFORD REAL PROPERTIES, INC .......... 87
2,800 WESTERN INVESTMENT REAL ESTATE TRUST .... 33
13,000 WESTFIELD AMERICA, INC .................. 196
--------------
40,361
--------------
HOTELS AND OTHER LODGING PLACES--0.29%
9,300 o AZTAR CORP .............................. 85
4,675 o BRISTOL HOTELS & RESORTS, INC ........... 35
286,067 o CENDANT CORP ............................ 5,864
14,600 o CHOICE HOTELS INTERNATIONAL, INC ........ 288
4,510 o CRESTLINE CAPITAL CORP .................. 76
17,800 o EXTENDED STAY AMERICA, INC .............. 214
65,102 HILTON HOTELS CORP ...................... 924
9,046 o HOMESTEAD VILLAGE, INC .................. 22
1,369 o INTERSTATE HOTELS CORP .................. 6
7,000 o LODGIAN, INC ............................ 46
24,676 o MANDALAY RESORT GROUP ................... 521
1,500 MARCUS CORP ............................. 18
13,900 o MERISTAR HOTELS & RESORTS, INC .......... 48
4,359 o MGM GRAND, INC .......................... 214
70,652 o PARK PLACE ENTERTAINMENT ................ 684
21,300 o PRIME HOSPITALITY CORP .................. 256
24,287 o PROMUS HOTEL CORP ....................... 753
8,500 o RED ROOF INNS, INC ...................... 152
57,406 STARWOOD HOTELS & RESORTS WORLDWIDE ..... 1,754
500 o SUBURBAN LODGES OF AMERICA, INC ......... 3
7,833 o SUNBURST HOSPITALITY CORP ............... 46
7,700 o SUNTERRA CORP ........................... 107
5,100 o TRUMP HOTEL & CASINO RESORT, INC ........ 23
7,700 o VAIL RESORTS, INC ....................... 135
3,900 o VISTANA, INC ............................ 61
41,089 o WYNDHAM INTERNATIONAL, INC .............. 185
--------------
12,520
--------------
INDUSTRIAL MAC HINERY AND EQUIPMENT--7.76%
125,040 o 3COM CORP ............................... 3,337
7,200 o 3DFX INTERACTIVE, INC ................... 113
36,050 o ADAPTEC, INC ............................ 1,273
1,000 o AG-CHEM EQUIPMENT CO, INC ............... 10
21,000 AGCO CORP ............................... 238
2,376 ALAMO GROUP, INC ........................ 21
2,200 ALLIED PRODUCTS CORP .................... 6
43,427 o AMERICAN STANDARD COS, INC .............. 2,084
6,000 o APEX PC SOLUTIONS, INC .................. 123
47,500 o APPLE COMPUTER, INC ..................... 2,200
131,760 o APPLIED MATERIALS, INC .................. 9,734
23,720 APPLIED POWER, INC (CLASS A) ............ 648
4,700 o ASTEC INDUSTRIES, INC ................... 192
2,300 o ASYST TECHNOLOGIES, INC ................. 69
4,700 o ATMI, INC ............................... 140
12,600 o AUSPEX SYSTEMS, INC ..................... 137
10,100 o AUTOTOTE CORP (CLASS A) ................. 24
95,935 BAKER HUGHES, INC ....................... 3,214
10,500 o BANCTEC, INC ............................ 188
7,200 o BELL & HOWELL CO ........................ 272
29,473 BLACK & DECKER CORP ..................... 1,860
6,700 o BLACK BOX CORP .......................... 336
30,393 BRUNSWICK CORP .......................... 847
See notes to financial statements. 87
<PAGE>
EQUITY INDEX ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ ------
INDUSTRIAL MACHINERY AND EQUIPMENT--(CONTINUED)
12,000 o C-CUBE MICROSYSTEMS, INC ................ $ 380
44,776 o CABLETRON SYSTEMS, INC .................. 582
2,238 CASCADE CORP ............................ 31
23,200 CASE CORP ............................... 1,117
122,608 CATERPILLAR, INC ........................ 7,356
18,400 o CIRRUS LOGIC, INC ....................... 163
1,132,863 o CISCO SYSTEMS, INC ...................... 72,857
19,300 o COLTEC INDUSTRIES, INC .................. 419
2,700 COLUMBUS MCKINNON CORP .................. 65
594,710 COMPAQ COMPUTER CORP .................... 14,087
14,414 o COOPER CAMERON CORP ..................... 534
20,500 o COPYTELE, INC ........................... 35
9,800 CUMMINS ENGINE CO, INC .................. 560
2,200 o CUNO, INC ............................... 42
2,500 o CYLINK CORP ............................. 9
16,400 o DATA GENERAL CORP ....................... 239
83,217 DEERE & CO .............................. 3,297
753,360 o DELL COMPUTER CORP ...................... 27,874
5,100 DETROIT DIESEL CORP ..................... 126
4,000 o DIALOGIC CORP ........................... 176
7,500 o DIAMOND MULTIMEDIA SYSTEMS, INC ......... 31
24,975 DIEBOLD, INC ............................ 718
3,000 o DIGI INTERNATIONAL, INC ................. 31
11,800 DONALDSON CO, INC ....................... 289
71,200 DOVER CORP .............................. 2,492
1,400 o DRIL-QUIP, INC .......................... 32
2,600 DT INDUSTRIES, INC ...................... 24
8,500 o ELECTROGLAS, INC ........................ 170
353,976 o EMC CORP ................................ 19,469
6,700 o ENCAD, INC .............................. 44
2,700 o ESTERLINE CORP .......................... 39
7,600 o ETEC SYSTEMS, INC ....................... 253
17,300 o EXABYTE CORP ............................ 67
4,600 FEDDERS CORP ............................ 31
13,705 FLOWSERVE CORP .......................... 260
11,000 o FSI INTERNATIONAL, INC .................. 91
800 o GARDNER DENVER, INC ..................... 13
24,530 o GATEWAY, INC ............................ 1,447
300 GLEASON CORP ............................ 5
15,100 o GLOBAL INDUSTRIAL TECHNOLOGIES, INC ..... 182
6,750 GRACO, INC .............................. 198
15,200 xo HARNISCHFEGER INDUSTRIES, INC ........... 30
301,167 HEWLETT-PACKARD CO ...................... 30,267
3,000 o HORIZON OFFSHORE, INC ................... 23
18,800 HUSSMANN INTERNATIONAL, INC ............. 311
100 o HYPERCOM CORP ........................... 1
10,300 IDEX CORP ............................... 339
11,100 o IN FOCUS SYSTEMS, INC ................... 167
55,500 INGERSOLL-RAND CO ....................... 3,587
648,656 * INTERNATIONAL BUSINESS
MACHINES CORP ......................... 83,839
83,161 o IOMEGA CORP ............................. 411
6,200 o IONICS, INC ............................. 226
12,100 JLG INDUSTRIES, INC ..................... 247
500 o JTS CORP ................................ 0
10,000 KAYDON CORP ............................. 336
10,162 KENNAMETAL, INC ......................... 315
2,550 o KRONOS, INC ............................. 116
7,600 o KULICHE & SOFFA INDUSTRIES, INC ......... 204
12,800 o LAM RESEARCH CORP ....................... 598
42,000 o LEXMARK INTERNATIONAL GROUP (CLASS A) ... 2,775
6,200 LINCOLN ELECTRIC HOLDINGS CO ............ 127
1,600 LINDSAY MANUFACTURING CO ................ 28
7,950 MANITOWOC, INC .......................... 331
9,700 o MICRON ELECTRONICS, INC ................. 98
4,500 o MICROS SYSTEMS, INC ..................... 153
12,000 MILACRON, INC ........................... 222
4,700 o MTI TECHNOLOGY CORP ..................... 61
2,600 NACCO INDUSTRIES, INC (CLASS A) ......... 191
6,600 o NATIONAL INSTRUMENTS CORP ............... 266
7,500 o NETWORK EQUIPMENT
TECHNOLOGIES, INC ....................... 74
4,400 NORDSON CORP ............................ 270
13,300 o NOVELLUS SYSTEMS, INC ................... 908
4,100 OMNIQUIP INTERNATIONAL, INC ............. 32
38,000 PALL CORP ............................... 843
13,300 PENTAIR, INC ............................ 608
93,500 PITNEY BOWES, INC ....................... 6,007
9,700 o PRESSTEK, INC ........................... 70
4,500 o PRI AUTOMATION, INC ..................... 163
56,535 o QUANTUM CORP ............................ 1,364
11,200 ROPER INDUSTRIES, INC ................... 358
7,100 o SANDISK CORP ............................ 320
84,317 o SEAGATE TECHNOLOGY, INC ................. 2,161
11,750 o SECURITY DYNAMICS
TECHNOLOGIES, INC ....................... 250
12,800 o SEQUENT COMPUTER SYSTEMS, INC ........... 227
58,668 o SILICON GRAPHICS, INC ................... 961
8,800 o SILICON VALLEY GROUP, INC ............... 148
16,600 o SMITH INTERNATIONAL, INC ................ 721
1,200 o SPECIALTY EQUIPMENT COS, INC ............ 35
9,089 o SPEEDFAM-IPEC, INC ...................... 146
7,300 o SPLASH TECHNOLOGY HOLDINGS, INC ......... 51
10,900 STANDEX INTERNATIONAL CORP .............. 298
35,300 o STORAGE TECHNOLOGY CORP ................. 803
26,025 SYMBOL TECHNOLOGIES, INC ................ 960
8,400 TECUMSEH PRODUCTS CO (CLASS A) .......... 509
6,800 TELXON CORP ............................. 54
2,000 TENNANT CO .............................. 64
50,530 TENNECO, INC ............................ 1,206
5,460 o TEREX CORP .............................. 166
3,700 o THERMO FIBERTEK, INC .................... 26
14,663 TIMKEN CO ............................... 286
4,500 TORO CO ................................. 177
69,739 TYCO INTERNATIONAL LTD .................. 6,608
3,700 o ULTRATECH STEPPER, INC .................. 56
90,274 o UNISYS CORP ............................. 3,515
19,300 o UNOVA, INC .............................. 306
18,700 o VARCO INTERNATIONAL, INC ................ 205
6,900 o VISUAL NETWORKS, INC .................... 221
30,500 o WESTERN DIGITAL CORP .................... 198
7,600 o XIRCOM, INC ............................. 228
11,500 YORK INTERNATIONAL CORP ................. 492
9,400 o ZEBRA TECHNOLOGY CORP ................... 361
-----------
340,626
-----------
INSTRUMENTS AND RELATED PRODUCTS--2.28%
9,736 o ACUSON CORP ........................... 167
7,500 o ADAC LABORATORIES, INC ................ 54
1,300 o ADE CORP .............................. 16
8,200 o AFFYMETRIX, INC ....................... 405
8,400 o ALARIS MEDICAL, INC ................... 28
700 o ANACOMP, INC .......................... 12
400 ANALOGIC CORP ......................... 12
6,700 ARROW INTERNATIONAL, INC .............. 173
10,200 o AVID TECHNOLOGIES, INC ................ 164
15,200 BALLARD MEDICAL PRODUCTS CO ........... 354
88 See notes to financial statements.
<PAGE>
EQUITY INDEX ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ ------
INSTRUMENTS AND RELATED PRODUCTS--(CONTINUED)
20,313 BARD (C.R.), INC ...................... $ 971
16,900 BAUSCH & LOMB, INC .................... 1,293
98,713 BAXTER INTERNATIONAL, INC ............. 5,984
2,200 o BAXTER INTERNATIONAL, INC RTS ......... 0
12,800 BECKMAN COULTER, INC .................. 622
85,778 BECTON DICKINSON & CO ................. 2,573
633 o BIO-RAD LABORATORIES, INC (CLASS A) ... 17
34,000 o BIOMET, INC ........................... 1,352
84,342 o BOSTON SCIENTIFIC CORP ................ 3,706
24,166 o CHYRON CORP ........................... 41
800 o CLOSURE MEDICAL CORP .................. 24
13,300 o CNS, INC .............................. 45
10,700 o COGNEX CORP ........................... 338
5,600 o COHERENT, INC ......................... 104
2,100 COHU, INC ............................. 74
5,300 o COLE NATIONAL CORP (CLASS A) .......... 42
2,600 o CONMED CORP ........................... 80
7,300 COOPER COS, INC ....................... 182
1,600 xo CPX CORP .............................. 0
6,700 o CREDENCE SYSTEMS CORP ................. 249
8,800 o CYMER, INC ............................ 220
4,500 o CYTYC CORP ............................ 88
9,300 o DATASCOPE CORP ........................ 299
18,400 DENTSPLY INTERNATIONAL, INC ........... 531
9,000 o DIONEX CORP ........................... 365
4,900 o DYNATECH CORP ......................... 17
110,919 EASTMAN KODAK CO ...................... 7,515
2,200 o FOSSIL, INC ........................... 106
6,283 FRESENIUS MEDICAL CARE AG. ADR ........ 126
12,800 o GENRAD, INC ........................... 266
4,528 o GENZYME SURGICAL PRODUCTS ............. 20
103,712 o GUIDANT CORP .......................... 5,335
9,000 o HAEMONETICS CORP ...................... 181
3,300 o HANGER ORTHOPEDIC GROUP, INC .......... 47
1,700 o HOLOGIC, INC .......................... 10
43,300 HONEYWELL, INC ........................ 5,017
15,100 o INPUT/OUTPUT, INC ..................... 114
10,800 INVACARE CORP ......................... 289
3,200 o ISOLYSER CO, INC ...................... 15
24,600 JOHNSON CONTROLS, INC ................. 1,705
30,500 o KLA-TENCOR CORP ....................... 1,979
9,100 o LITTON INDUSTRIES, INC ................ 653
24,500 o LTX CORP .............................. 326
3,000 o MAXXIM MEDICAL, INC ................... 70
204,852 MEDTRONIC, INC ........................ 15,953
7,700 MENTOR CORP ........................... 143
11,588 o METTLER-TOLEDO INTERNATIONAL, INC ..... 288
16,100 MILLIPORE CORP ........................ 653
300 MINE SAFETY APPLIANCE CO ............. 19
4,400 o MINIMED, INC .......................... 339
1,300 MOVADO GROUP, INC ..................... 34
2,000 MTS SYSTEMS CORP ...................... 24
1,200 o NOVOSTE CORP .......................... 25
13,200 o OAKLEY, INC ........................... 94
4,000 o OCULAR SCIENCES, INC .................. 70
2,700 o OEC MEDICAL SYSTEMS, INC .............. 66
8,100 o PE CORP-CELERA GENOMICS GROUP ......... 131
16,700 PE CORP-PE BIOSYSTEMS GROUP ........... 1,916
1,100 o PERCLOSE, INC ......................... 53
6,200 o PINNACLE SYSTEMS, INC ................. 208
12,500 POLAROID CORP ......................... 345
26,588 RAYTHEON CO (CLASS A) ................. 1,831
87,200 RAYTHEON CO (CLASS B) ................. 6,137
4,900 o RESMED, INC ........................... 163
10,000 o RESPIRONICS, INC ...................... 151
2,000 o SABRATEK CORP ......................... 44
2,900 o SCOTT TECHNOLOGIES, INC ............... 56
10,600 o SEPRACOR, INC ......................... 861
9,900 o SOLA INTERNATIONAL, INC ............... 192
7,333 o SONOSITE, INC ......................... 125
29,412 o ST. JUDE MEDICAL, INC ................. 1,048
23,720 o STERIS CORP ........................... 460
24,000 o STRYKER CORP .......................... 1,443
18,950 o SUMMIT TECHNOLOGY, INC ................ 417
12,700 o SUNRISE MEDICAL, INC .................. 90
33,200 o SYBRON INTERNATIONAL CORP ............. 915
12,300 o TAVA TECHNOLOGIES, INC ................ 95
14,750 TEKTRONIX, INC ........................ 445
29,300 o TERADYNE, INC ......................... 2,102
7,500 o THERMEDICS, INC ....................... 70
6,500 o THERMO CARDIOSYSTEMS, INC ............. 71
52,250 o THERMO ELECTRON CORP .................. 1,048
3,968 o THERMO INSTRUMENT SYSTEMS, INC ........ 67
2,300 o THERMO OPTEK CORP ..................... 24
11,422 o THERMO VISION CORP .................... 64
4,100 o THERMOQUEST CORP ...................... 55
2,600 o THERMOTREX CORP ....................... 20
9,400 o TRIMBLE NAVIGATION LTD ................ 121
10,500 o VARIAN MEDICAL SYSTEMS, INC ........... 265
10,500 o VARIAN, INC ........................... 142
3,200 o VEECO INSTRUMENTS, INC ................ 109
2,000 o VENTANA MEDICAL SYSTEMS, INC .......... 38
18,800 o VISX, INC ............................. 1,489
8,500 o VIVUS, INC ............................ 22
20,400 o WATERS CORP ........................... 1,084
6,400 o WESLEY JESSEN VISIONCARE, INC ......... 207
15,600 X RITE, INC ............................. 100
230,100 X EROX CORP .............................. 13,590
1,950 o XOMED SURGICAL PRODUCTS, INC .......... 95
-----------
99,993
-----------
INSURANCE AGENTS, BROKERS AND SERVICE--0.19%
1,100 BALDWIN & LYONS, INC (CLASS B) ........ 26
5,572 BLANCH (E.W.) HOLDINGS, INC ........... 380
2,000 BROWN & BROWN, INC .................... 76
5,859 CRAWFORD & CO (CLASS B) ............... 95
22,900 o FIRST HEALTH GROUP CORP ............... 494
8,900 GALLAGHER (ARTHUR J.) & CO ............ 441
2,200 HILB, ROGAL & HAMILTON CO ............. 49
87,380 MARSH & MCLENNAN COS, INC ............. 6,597
-----------
8,158
-----------
INSURANCE CARRIERS--5.03%
28,400 20TH CENTURY INDUSTRIES 536
8,883 o ACCEPTANCE INSURANCE COS, INC ......... 134
13,126 AEGON NV ARS .......................... 971
46,194 AETNA, INC ............................ 4,131
89,440 AFLAC, INC ............................ 4,282
6,100 ALFA CORP ............................. 122
1,528 o ALLEGHANY CORP (DELAWARE) ............. 283
40,256 o ALLMERICA FINANCIAL CORP .............. 2,448
263,516 ALLSTATE CORP ......................... 9,454
25,763 AMBAC FINANCIAL GROUP, INC ............ 1,472
4,100 o AMERICAN ANNUITY GROUP, INC ........... 99
14,100 AMERICAN BANKERS INSURANCE
GROUP, INC ............................ 768
21,200 AMERICAN FINANCIAL GROUP, INC ......... 722
See notes to financial statements. 89
<PAGE>
EQUITY INDEX ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ ------
INSURANCE CARRIERS--(CONTINUED)
89,332 AMERICAN GENERAL CORP ................. $ 6,733
9,238 AMERICAN HERITAGE LIFE
INVESTMENT CORP ....................... 226
434,015 AMERICAN INTERNATIONAL GROUP, INC ..... 50,807
5,500 o AMERICAN MEDICAL SECURITY GROUP ....... 47
1,600 AMERICAN NATIONAL INSURANCE CO ........ 114
3,800 AMERUS LIFE HOLDINGS, INC (CLASS A) ... 103
111,826 AON CORP .............................. 4,613
6,400 ARGONAUT GROUP, INC ................... 154
10,100 ARM FINANCIAL GROUP, INC (CLASS A) .... 86
9,350 BERKLEY (W.R.) CORP ................... 234
9 o BERKSHIRE HATHAWAY, INC (CLASS A) ..... 620
22 o BERKSHIRE HATHAWAY, INC (CLASS B) ..... 49
7,000 CAPITAL RE CORP ....................... 112
1,277 CHARTWELL RE CORP ..................... 24
6,900 CHICAGO TITLE CORP .................... 246
56,200 CHUBB CORP ............................ 3,906
68,637 CIGNA CORP ............................ 6,109
47,409 CINCINNATI FINANCIAL CORP ............. 1,781
1,193,056 CITIGROUP, INC ........................ 56,670
9,000 o CNA FINANCIAL CORP .................... 363
11,718 CNA SURETY CORP ....................... 179
9,800 COMMERCE GROUP, INC ................... 239
114,577 CONSECO, INC .......................... 3,487
8,277 o DELPHI FINANCIAL GROUP, INC ........... 297
11,000 ENHANCE FINANCIAL SERVICES GROUP, INC . 217
31,100 EQUITABLE COS, INC .................... 2,084
19,000 ERIE INDEMNITY CO (CLASS A) ........... 542
14,500 EVEREST REINSURANCE HOLDINGS, INC ..... 473
3,800 EXECUTIVE RISK, INC ................... 323
10,600 FBL FINANCIAL GROUP, INC (CLASS A) .... 207
10,790 FIDELITY NATIONAL FINANCIAL, INC ...... 227
10,500 FINANCIAL SECURITY ASSURANCE
HOLDINGS LTD .......................... 546
20,900 FIRST AMERICAN FINANCIAL CORP ......... 374
10,200 FOREMOST CORP OF AMERICA .............. 224
36,071 o FOUNDATION HEALTH SYSTEMS (CLASS A) ... 541
1,800 o FPIC INSURANCE GROUP, INC ............. 87
18,400 FREMONT GENERAL CORP .................. 347
11,470 FRONTIER INSURANCE GROUP, INC ......... 176
6,300 HARLEYSVILLE GROUP, INC ............... 129
71,700 HARTFORD FINANCIAL SERVICES
GROUP, INC .......................... 4,181
10,900 HARTFORD LIFE, INC (CLASS A) .......... 574
16,300 HCC INSURANCE HOLDINGS, INC ........... 370
9,150 o HIGHLANDS INSURANCE GROUP, INC ........ 96
19,100 HORACE MANN EDUCATORS CORP ............ 519
15,550 HSB GROUP, INC ........................ 640
55,675 o HUMANA, INC ........................... 720
36,475 JEFFERSON-PILOT CORP .................. 2,414
200 KANSAS CITY LIFE INSURANCE CO ......... 9
7,900 LANDAMERICA FINANCIAL GROUP, INC ...... 227
4,800 LIBERTY CORP .......................... 262
4,800 LIBERTY FINANCIAL COS, INC ............ 140
2,600 LIFE U.S.A. HOLDINGS, INC ............. 53
68,000 LINCOLN NATIONAL CORP ................. 3,557
21,466 LOEWS CORP ............................ 1,698
1,400 o MARKEL CORP ........................... 262
11,800 o MAXICARE HEALTH PLANS, INC ............ 56
33,294 MBIA, INC ............................. 2,156
8,669 o MEDICAL ASSURANCE, INC ................ 245
10,100 MERCURY GENERAL CORP .................. 343
38,300 MGIC INVESTMENT CORP .................. 1,862
14,500 o MID ATLANTIC MEDICAL SERVICES, INC .... 143
2,200 MMI COS, INC .......................... 37
7,300 NATIONWIDE FINANCIAL SERVICES, INC
(CLASS A) ............................ 330
8,600 OHIO CASUALTY CORP .................... 311
45,825 OLD REPUBLIC INTERNATIONAL CORP ....... 793
11,200 ORION CAPITAL CORP .................... 402
27,500 o OXFORD HEALTH PLANS, INC .............. 428
12,303 o PACIFICARE HEALTH SYSTEMS, INC
(CLASS A) ............................ 885
700 o PENN TREATY AMERICAN CORP ............. 17
10,300 o PENNCORP FINANCIAL GROUP, INC ......... 5
1,000 PMA CAPITAL CORP (CLASS A) ............ 21
8,100 PMI GROUP, INC ........................ 509
12,800 PRESIDENTIAL LIFE CORP ................ 251
13,416 PROGRESSIVE CORP ...................... 1,945
20,600 PROTECTIVE LIFE CORP .................. 680
27,408 PROVIDENT COS, INC .................... 1,096
1,700 PXRE CORP ............................. 31
14,586 RADIAN GROUP, INC ..................... 712
13,300 REINSURANCE GROUP OF AMERICA, INC ..... 469
31,100 RELIANCE GROUP HOLDINGS, INC .......... 231
30,481 RELIASTAR FINANCIAL CORP .............. 1,334
2,600 o RISK CAPITAL HOLDINGS, INC ............ 35
1,000 RLI CORP .............................. 39
41,600 SAFECO CORP ........................... 1,836
4,400 SCPIE HOLDINGS, INC ................... 144
11,200 SELECTIVE INSURANCE GROUP, INC ........ 214
9,500 o SIERRA HEALTH SERVICES, INC ........... 137
73,881 ST. PAUL COS, INC ..................... 2,350
2,600 STATE AUTO FINANCIAL CORP ............. 35
3,000 STEWART INFORMATION SERVICES CORP ..... 63
47,800 TORCHMARK CORP ........................ 1,631
39,900 TRANSAMERICA CORP ..................... 2,993
5,550 TRANSATLANTIC HOLDINGS, INC ........... 416
15,200 TRAVELERS PROPERTY CASUALTY CORP ...... 595
2,300 TRENWICK GROUP, INC ................... 57
3,000 o TRIAD GUARANTY, INC ................... 54
12,400 o TRIGON HEALTHCARE, INC ................ 451
10,300 o UICI .................................. 285
600 UNITED FIRE & CASULTY CO .............. 16
54,800 UNITED HEALTHCARE CORP ................ 3,432
5,500 o UNITED WISCONSIN SERVICES, INC ........ 44
17,600 UNITRIN, INC .......................... 722
48,600 UNUM CORP ............................. 2,661
5,400 VESTA INSURANCE GROUP, INC ............ 25
22,934 o WELLPOINT HEALTH NETWORKS, INC ........ 1,947
1,200 WHITE MOUNTAINS INSURANCE ............. 169
7,960 o XL CAPITAL LTD ....................... 450
------------
220,933
------------
LEATHER AND LEATHER PRODUCTS--0.02%
6,000 BROWN SHOE CO, INC .................... 131
19,000 JUSTIN INDUSTRIES, INC ................ 265
2,134 o SAMSONITE CORP ........................ 11
14,600 STRIDE RITE CORP ...................... 151
1,600 o TIMBERLAND CO ......................... 109
17,362 WOLVERINE WORLD WIDE, INC ............. 243
-----------
910
-----------
LEGAL SERVICES--0.01%
12,900 o PREPAID LEGAL SERVICES, INC 351
-----------
90 See notes to financial statements.
<PAGE>
EQUITY INDEX ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ ------
LOCAL AND INTERURBAN PASSENGER TRANSIT--0.01%
LOCAL AND INTERURBAN PASSENGER TRANSIT--0.01%
8,000 o COACH U.S.A., INC $ 336
2,600 o RURAL/METRO CORP 25
-----------
361
-----------
LUMBER AND WOOD PRODUCTS--0.24%
1,700 o AMERICAN HOMESTAR CORP .................. 12
6,233 CAVALIER HOMES, INC ..................... 51
16,100 o CHAMPION ENTERPRISES, INC ............... 300
37,420 CLAYTON HOMES, INC ...................... 428
14,857 DELTIC TIMBER CORP ...................... 400
58,000 GEORGIA-PACIFIC CORP
(PACKAGING GROUP) ...................... 2,748
36,700 LOUISIANA PACIFIC CORP .................. 872
14,500 OAKWOOD HOMES CORP ...................... 190
8,750 o PALM HARBOR HOMES, INC .................. 219
200 o SKYLINE CORP ............................ 6
6,400 TJ INTERNATIONAL, INC ................... 198
2,400 UNIVERSAL FOREST PRODUCTS, INC .......... 52
71,697 WEYERHAEUSER CO ......................... 4,929
-----------
10,405
-----------
METAL MINING--0.12%
67,014 o BATTLE MOUNTAIN GOLD CO ................. 163
7,800 CLEVELAND CLIFFS, INC ................... 253
4,500 o COEUR DALENE MINES CORP ................. 21
38,400 CYPRUS AMAX MINERALS CO ................. 583
17,692 o FREEPORT-MCMORAN COPPER &
GOLD, INC (CLASS A) ..................... 296
29,233 o FREEPORT-MCMORAN COPPER &
GOLD, INC (CLASS B) ..................... 524
21,400 o HECLA MINING CO ......................... 44
55,200 HOMESTAKE MINING CO ..................... 452
39,187 o KINROSS GOLD CORP ....................... 66
51,130 NEWMONT MINING CORP ..................... 1,016
17,500 PHELPS DODGE CORP ....................... 1,084
25,457 o PLACER DOME, INC ........................ 301
10,950 o STILLWATER MINING CO .................... 358
100,000 o SUNSHINE MINING & REFINING CO ........... 38
-----------
5,199
-----------
MISCELLANEOUS MANUFACTURING INDUSTRIES--0.45%
10,000 o BLYTH INDUSTRIES, INC ................... 344
6,600 BRADY CORP (CLASS A) .................... 215
26,094 CALLAWAY GOLF CO ........................ 382
2,600 xo CML GROUP, INC .......................... 0
57,227 HASBRO, INC ............................. 1,599
8,200 o HEXCEL CORP ............................. 83
35,377 INTERNATIONAL GAME TECHNOLOGY CO ........ 654
17,500 JOSTENS, INC ............................ 369
5,500 K2, INC ................................. 49
1,071 o LYDALL, INC ............................. 12
165 o MARVEL ENTERPRISES WTS 10/02/02 ......... 0
280 o MARVEL ENTERPRISES WTS 10/02/02
(CLASS C) ............................. 0
139,692 MATTEL, INC ............................. 3,693
138,500 MINNESOTA MINING & MANUFACTURING CO ..... 12,041
3,500 xo NU KOTE HOLDINGS, INC (CLASS A) ......... 0
2,941 ONEIDA LTD .............................. 83
4,700 RUSS BERRIE & CO, INC ................... 116
700 o STEINWAY MUSICAL INSTRUMENTS, INC ...... 19
8,900 o WMS INDUSTRIES, INC ..................... 151
-----------
19,810
-----------
MISCELLANEOUS RETAIL--0.93%
33,100 o AMAZON.COM, INC ......................... 4,142
18,200 o BARNES & NOBLE, INC ..................... 498
2,500 o BARNETT, INC ............................ 19
900 BLAIR CORP .............................. 24
26,267 o BORDERS GROUP, INC ...................... 415
3,769 CASH AMERICA INTERNATIONAL, INC ......... 49
3,500 o CDW COMPUTER CENTERS, INC ............... 154
2,700 o COLDWATER CREEK, INC .................... 53
32,790 o CORPORATE EXPRESS, INC .................. 230
133,914 CVS CORP ................................ 6,796
8,036 o DUANE READE, INC ........................ 246
4,500 ENESCO GROUP, INC ....................... 104
2,900 o FINLAY ENTERPRISES, INC ................. 39
3,000 FRIEDMANS, INC (CLASS A) ................ 26
4,100 o GARDEN RIDGE CORP ....................... 19
2,300 o GENESIS DIRECT, INC ..................... 4
4,900 HANCOCK FABRICS, INC .................... 21
30,200 o HANOVER DIRECT, INC ..................... 85
7,500 o INSIGHT ENTERPRISES, INC ................ 186
3,500 o JO-ANN STORES, INC (CLASS A) ............ 53
800 xo JUMBO SPORTS, INC ....................... 0
5,400 o LANDS END, INC .......................... 262
12,800 LONGS DRUG STORES CORP .................. 442
10,100 o MICHAELS STORES, INC .................... 309
11,100 o MICRO WAREHOUSE, INC .................... 198
3,600 o NCS HEALTHCARE, INC (CLASS A) ........... 20
130,525 o OFFICE DEPOT, INC ....................... 2,880
44,021 o OFFICEMAX, INC .......................... 528
30,800 OMNICARE, INC ........................... 389
1,300 o PARTY CITY CORP ......................... 5
6,900 o PETCO ANIMAL SUPPLIES, INC .............. 109
40,900 o PETSMART, INC ........................... 419
89,645 RITE AID CORP ........................... 2,208
7,700 o SCHEIN (HENRY), INC ..................... 244
9,600 o SPIEGEL, INC (CLASS A) .................. 85
161,462 o STAPLES, INC ............................ 4,995
14,700 o SUNGLASS HUT INTERNATIONAL, INC ......... 253
4,600 o SYSTEMAX, INC ........................... 57
9,250 o THE SPORTS AUTHORITY, INC ............... 41
10,706 TIFFANY & CO ............................ 1,033
84,701 o TOYS R US, INC .......................... 1,752
9,431 o U.S. OFFICE PRODUCTS CO ................. 51
349,500 WALGREEN CO ............................. 10,267
23,000 o ZALE CORP ............................... 920
-----------
40,630
-----------
MOTION PICTURES--1.13%
1,000 o AMC ENTERTAINMENT, INC ................ 19
1,584 o CARMIKE CINEMAS, INC (CLASS A) ........ 25
725,378 o DISNEY (WALT) CO ...................... 22,351
9,500 o HOLLYWOOD ENTERTAINMENT CORP .......... 186
16,400 o KING WORLD PRODUCTIONS, INC ........... 571
1,300 o METRO-GOLDWYN-MAYER, INC .............. 24
21,100 o METROMEDIA INTERNATIONAL GROUP, INC ... 158
8,800 o MOVIE GALLERY, INC .................... 47
5,600 o PIXAR, INC ............................ 242
353,598 TIME WARNER, INC ...................... 25,989
-----------
49,612
-----------
NONDEPOSITORY INSTITUTIONS--2.08%
6,100 o AAMES FINANCIAL CORP .................. 8
5,299 ADVANTA CORP (CLASS A) ................ 96
158,112 AMERICAN EXPRESS CO ................... 20,574
22,300 o AMERICREDIT CORP ...................... 357
See notes to financial statements. 91
<PAGE>
EQUITY INDEX ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ ------
NONDEPOSITORY INSTITUTIONS--(CONTINUED)
16,550 o AMRESCO, INC .......................... $ 107
14,700 o ARCADIA FINANCIAL LTD ................. 114
253,540 ASSOCIATES FIRST CAPITAL CORP ......... 11,235
68,276 CAPITAL ONE FINANCIAL CORP ............ 3,802
6,000 CHARTER MUNICIPAL MORTGAGE
ACCEPTANCE ............................ 77
14,000 CIT GROUP, INC (CLASS A) .............. 404
2,500 xo CITYSCAPE FINANCIAL CORP .............. 0
2,900 o CONTIFINANCIAL CORP ................... 10
39,028 COUNTRYWIDE CREDIT INDUSTRIES, INC .... 1,668
4,800 o CREDIT ACCEPTANCE CORP ................ 29
13,953 DORAL FINANCIAL CORP .................. 241
700 o DVI, INC .............................. 12
400 o FEDERAL AGRICULTURE
MORTGAGE CORP ......................... 27
363,595 FEDERAL NATIONAL MORTGAGE
ASSOCIATION ........................... 24,861
1,000 o FINANCIAL FEDERAL CORP ................ 22
21,709 FINOVA GROUP, INC ..................... 1,142
3,700 o FIRST SIERRA FINANCIAL, INC ........... 93
6,300 o FIRSTPLUS FINANCIAL GROUP, INC ........ 2
242,141 FREDDIE MAC ........................... 14,044
4,400 o HEALTHCARE FINANCIAL PARTNERS, INC .... 151
10,600 HELLER FINANCIAL, INC ................. 295
169,119 HOUSEHOLD INTERNATIONAL, INC .......... 8,012
5,900 o IMC MORTGAGE CO ....................... 1
9,000 o IMPERIAL CREDIT INDUSTRIES, INC ....... 64
11,200 LEUCADIA NATIONAL CORP ................ 284
3,900 o LONG BEACH FINANCIAL CORP ............. 57
1,200 MEDALLION FINANCIAL CORP .............. 23
14,768 METRIS COS, INC ....................... 602
279 o MFN FINANCIAL CORP .................... 3
324 o MFN FINANCIAL CORP WTS 03/23/02
SERIES A .............................. 1
324 o MFN FINANCIAL CORP WTS 03/23/03
SERIES B .............................. 0
324 o MFN FINANCIAL CORP WTS 03/23/04
SERIES C .............................. 0
3,379 o OMEGA WORLDWIDE, INC .................. 14
6,300 RESOURCE AMERICA, INC (CLASS A) ....... 91
3,000 RESOURCE BANCSHARES MORTGAGE
GROUP, INC ............................ 31
57,891 SLM HOLDINGS CORP ..................... 2,652
2,000 STUDENT LOAN CORP ..................... 89
13,240 o UNICAPITAL CORP ....................... 84
7,280 xo UNITED COS FINANCIAL CORP ............. 1
12,10 o WILSHIRE FINANCIAL SERVICES
GROUP, INC ............................ 3
-----------
91,383
-----------
NONMETALLIC MINERALS, EXCEPT FUELS--0.05%
4,000 AMCOL INTERNATIONAL CORP .............. 58
7,900 JOHNS MANVILLE CORP ................... 103
13,568 MARTIN MARIETTA MATERIALS, INC ........ 801
1,913 POTASH CORP OF SASKATCHEWAN, INC ...... 99
25,200 VULCAN MATERIALS CO ................... 1,216
-----------
2,277
-----------
OIL AND GAS EXTRACTION--0.74%
31,816 ANADARKO PETROLEUM CORP ............... 1,171
27,157 APACHE CORP ........................... 1,059
4,400 o ATWOOD OCEANICS, INC .................. 138
2,300 o BELCO OIL & GAS CORP .................. 16
11,400 o BENTON OIL & GAS CO ................... 23
5,171 BERRY PETROLEUM CO (CLASS A) .......... 72
22,868 o BJ SERVICES CO ........................ 673
160 o BJ SERVICES CO WTS 04/13/00 ........... 5
6,900 o BROWN (TOM), INC ...................... 107
56,708 BURLINGTON RESOURCES, INC ............. 2,453
12,700 CABOT OIL & GAS CORP (CLASS A) ........ 237
100 o CAL DIVE INTERNATIONAL, INC ........... 3
11,000 o CHESAPEAKE ENERGY CORP ................ 32
8,000 o COMSTOCK RESOURCES, INC ............... 27
14,850 CROSS TIMBERS OIL CO .................. 221
6,900 DEVON ENERGY CORP ..................... 247
22,500 DIAMOND OFFSHORE DRILLING, INC ........ 638
282 o EAGLE GEOPHYSICAL, INC ................ 0
17,014 o EEX CORP .............................. 118
20,000 ENRON OIL & GAS CO .................... 405
47,350 ENSCO INTERNATIONAL, INC .............. 944
6,800 xo FORCENERGY GAS EXPLORATION, INC ....... 6
13,500 o FOREST OIL CORP ....................... 170
3,800 o FRIEDE GOLDMAN INTERNATIONAL, INC ..... 53
19,200 o GLOBAL INDUSTRIES LTD ................. 246
52,600 o GLOBAL MARINE, INC .................... 812
49,000 o GREY WOLF, INC ........................ 123
148,757 HALLIBURTON CO ........................ 6,731
7,900 o HANOVER COMPRESSOR CO ................. 254
44,100 o HARKEN ENERGY CORP .................... 72
13,800 HELMERICH & PAYNE, INC ................ 329
2,500 o HS RESOURCES, INC ..................... 37
6,800 KCS ENERGY, INC ....................... 4
26,072 KERR-MCGEE CORP ....................... 1,308
2,700 o KEY ENERGY SERVICES, INC .............. 10
6,100 o LOUIS DREYFUS NATURAL GAS CORP ........ 132
16,900 o MARINE DRILLING CO, INC ............... 231
12,921 o MCMORAN EXPLORATION CO ................ 287
6,900 o MERIDIAN RESOURCE CORP ................ 27
16,400 MITCHELL ENERGY & DEVELOPMENT CORP
(CLASS A) ........................... 317
33,900 o NABORS INDUSTRIES, INC ................ 828
11,000 o NEWFIELD EXPLORATION CO ............... 313
16,300 NOBLE AFFILIATES, INC ................. 459
44,000 o NOBLE DRILLING CORP ................... 866
6,800 o NUEVO ENERGY CO ....................... 90
111,229 OCCIDENTAL PETROLEUM CORP ............. 2,350
42,306 o OCEAN ENERGY, INC (NEW) ............... 407
4,500 o OCEANEERING INTERNATIONAL, INC ........ 73
29,700 o PARKER DRILLING CO .................... 98
10,300 o PATTERSON ENERGY, INC ................. 102
1,300 PENN VIRGINIA CORP .................... 26
32,700 o PIONEER NATURAL RESOURCES CO .......... 360
12,800 POGO PRODUCING CO ..................... 238
5,400 o POOL ENERGY SERVICES CO ............... 110
13,800 o PRIDE INTERNATIONAL, INC .............. 146
59,586 o R & B FALCON CORP ..................... 559
12,700 RANGE RESOURCES CORP .................. 78
24,400 o ROWAN COS, INC ........................ 450
900 ROYAL DUTCH PETROLEUM CO ADR
(N.Y. REGD) .......................... 54
53,265 o SANTA FE SNYDER CORP .................. 406
2,267 SCHLUMBERGER LTD ...................... 144
4,400 o SEITEL, INC ........................... 71
1,900 ST. MARY LAND & EXPLORATION CO ........ 39
3,848 o STONE ENERGY CORP ..................... 163
10,000 o SUPERIOR ENERGY SERVICES, INC ......... 51
4,950 o SWIFT ENERGY CO ....................... 53
3,300 o SYNTROLEUM CORP ....................... 29
92 See notes to financial statements.
<PAGE>
EQUITY INDEX ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ ------
OIL AND GAS EXTRACTION--(CONTINUED)
8,900 o TITAN EXPLORATION, INC ................ 45
1,620 o TOTAL FINA WTS 08/05/03 ............... 37
4,100 o TRANSMONTAIGNE, INC ................... 52
33,000 TRANSOCEAN OFFSHORE, INC .............. 866
6,600 xo TRANSTEXAS GAS CORP ................... 4
2,700 o TRITON ENERGY LTD ..................... 29
20,300 o TUBOSCOPE, INC ........................ 278
81,692 UNION PACIFIC RESOURCES GROUP, INC .... 1,333
3,000 o UTI ENERGY CORP ....................... 50
4,900 VASTAR RESOURCES, INC ................. 257
8,200 o VERITAS DGC, INC ...................... 150
10,900 o VINTAGE PETROLEUM, INC ................ 117
33,015 o WEATHERFORD INTERNATIONAL ............. 1,209
-----------
32,728
-----------
PAPER AND ALLI ED PRODUCTS--0.88%
17,900 o ACX TECHNOLOGIES, INC ................. 291
8,166 o AMERICAN PAD & PAPER CO ............... 16
35,995 AVERY DENNISON CORP ................... 2,173
16,713 BEMIS, INC ............................ 664
16,100 BOISE CASCADE CORP .................... 690
18,869 BOWATER, INC .......................... 892
14,700 o BUCKEYE TECHNOLOGIES, INC ............. 223
14,000 CARAUSTAR INDUSTRIES, INC ............. 346
31,900 CHAMPION INTERNATIONAL CORP ........... 1,527
10,800 CHESAPEAKE CORP ....................... 404
20,000 CONSOLIDATED PAPERS, INC .............. 535
12,170 o CROWN VANTAGE, INC .................... 27
10,300 o EARTHSHELL CORP ....................... 72
76,375 FORT JAMES CORP ....................... 2,893
16,200 o GAYLORD CONTAINER CO .................. 129
14,800 GLATFELTER (P.H.) CO .................. 216
700 GREIF BROTHERS CORP (CLASS A) ......... 18
146,974 INTERNATIONAL PAPER CO ................ 7,422
4,500 o IVEX PACKAGING CORP ................... 99
184,088 KIMBERLY-CLARK CORP ................... 10,493
18,900 LONGVIEW FIBRE CO ..................... 295
21,000 o MAIL-WELL, INC ........................ 340
34,244 MEAD CORP ............................. 1,430
15,600 o PLAYTEX PRODUCTS, INC ................. 243
9,800 POTLATCH CORP ......................... 431
6,500 ROCK-TENN CO (CLASS A) ................ 108
5,760 SCHWEITZER-MAUDUIT INTERNATIONAL, INC . 86
20,550 o SHOREWOOD PACKAGING CORP .............. 379
40,427 o SMURFIT-STONE CONTAINER CORP .......... 831
37,323 SONOCO PRODUCTS CO .................... 1,117
6,800 ST. JOE CO ............................ 184
18,634 TEMPLE-INLAND, INC .................... 1,272
19,025 WAUSAU-MOSINEE PAPER CORP ............. 342
25,250 WESTVACO CORP ......................... 732
35,600 WILLAMETTE INDUSTRIES, INC ............ 1,640
-----------
38,560
-----------
PERSONAL SERVICES--0.13%
32,221 BLOCK (H&R), INC ...................... 1,611
700 o CARRIAGE SERVICES, INC (CLASS A) .... 13
25,600 CINTAS CORP ........................... 1,720
1,100 o COINMACH LAUNDRY CORP ............... 14
1,028 CPI CORP .............................. 34
9,000 G & K SERVICES, INC (CLASS A) ......... 471
6,600 REGIS CORP ............................ 127
97,693 SERVICE CORP INTERNATIONAL ............ 1,881
900 UNIFIRST CORP ......................... 17
-----------
5,888
-----------
PETROLEUM AND COAL PRODUCTS--3.74%
23,200 AMERADA HESS CORP ..................... 1,380
21,472 ASHLAND, INC .......................... 862
106,326 ATLANTIC RICHFIELD CO ................. 8,885
167,077 BP AMOCO PLC (SPONS ADR) .............. 18,128
217,605 CHEVRON CORP .......................... 20,713
2,400 ELCOR CORP ............................ 105
820,900 EXXON CORP ............................ 63,312
2,500 o FRONTIER OIL CORP ..................... 17
1,400 HOLLY CORP ............................ 19
260,800 MOBIL CORP ............................ 25,819
11,600 MURPHY OIL CORP ....................... 566
14,400 PENNZENERGY CO ........................ 240
24,244 PENNZOIL-QUAKER STATE CO .............. 364
66,022 PHILLIPS PETROLEUM CO ................. 3,322
25,600 SUNOCO, INC ........................... 773
9,600 o TESORO PETROLEUM CORP ................. 153
175,725 TEXACO, INC ........................... 10,983
47,147 TOSCO CORP ............................ 1,223
28,194 ULTRAMAR DIAMOND SHAMROCK CORP ........ 615
78,425 UNOCAL CORP ........................... 3,108
100,400 USX-MARATHON GROUP, INC ............... 3,269
13,200 VALERO ENERGY CORP .................... 283
4,200 WD-40 CO .............................. 105
-----------
164,244
-----------
PRIMARY METAL INDUSTRIES--0.42%
2,200 o AFC CABLE SYSTEMS, INC ................ 78
40,500 AK STEEL HOLDINGS CORP ................ 911
124,894 ALCOA, INC ............................ 7,728
4,939 o ALPINE GROUP, INC ..................... 79
30,921 o ARMCO, INC ............................ 205
20,100 ASARCO, INC ........................... 378
14,800 BELDEN, INC ........................... 354
43,786 o BETHLEHEM STEEL CORP .................. 337
9,200 BIRMINGHAM STEEL CORP ................. 38
12,700 BRUSH WELLMAN, INC .................... 230
8,000 o CABLE DESIGN TECHNOLOGIES CO .......... 124
4,800 CARPENTER TECHNOLOGY CORP ............. 137
1,700 CENTURY ALUMINUM CO ................... 11
1,504 o CHASE INDUSTRIES, INC ................. 13
300 CURTISS WRIGHT CORP ................... 12
3,200 o ENCORE WIRE CORP ...................... 29
26,800 ENGELHARD CORP ........................ 606
20,450 GENERAL CABLE CORP .................... 327
1,800 INTERMET CORP ......................... 27
13,500 o KAISER ALUMINUN CORP .................. 120
7,500 o LONE STAR TECHNOLOGIES, INC ........... 133
43,900 LTV CORP .............................. 294
2,200 MATTHEWS INTERNATIONAL CORP (CLASS A) . 65
3,300 o MAVERICK TUBE CORP .................... 46
1,200 o MAXXAM, INC ........................... 77
17,000 o MUELLER INDUSTRIES, INC ............... 577
13,566 NATIONAL STEEL CORP (CLASS B) ......... 114
1,900 o NS GROUP, INC ......................... 18
26,500 NUCOR CORP ............................ 1,257
8,800 OREGON STEEL MILLS, INC ............... 117
8,100 PRECISION CAST PARTS CORP ............. 344
1,400 QUANEX CORP ........................... 40
18,500 REYNOLDS METALS CO .................... 1,092
12,600 ROUGE INDUSTRIES, INC (CLASS A) ....... 123
2,400 o RTI INTERNATIONAL METALS .............. 35
8,990 RYERSON TULL, INC ..................... 203
14,100 o STEEL DYNAMICS, INC ................... 218
3,225 SUPERIOR TELECOM, INC ................. 81
See notes to financial statements. 93
<PAGE>
EQUITY INDEX ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ ------
PRIMARY METAL INDUSTRIES--(CONTINUED)
5,700 TEXAS INDUSTRIES, INC ................. 221
4,800 TITAN INTERNATIONAL, INC .............. 57
5,900 TITANIUM METALS CORP .................. 66
23,900 USX-US STEEL GROUP, INC ............... 645
7,200 o WHX CORP .............................. 47
4,600 o WOLVERINE TUBE, INC ................... 116
31,740 WORTHINGTON INDUSTRIES, INC ........... 522
-----------
18,252
-----------
PRINTING AND PUBLISHING--0.81%
4,100 AMERICAN BUSINESS PRODUCTS, INC ....... 63
18,700 AMERICAN GREETINGS CORP (CLASS A) ..... 563
11,500 o APPLIED GRAPHICS TECHNOLOGIES, INC 145
12,500 BANTA CORP ............................ 263
47,700 BELO (A.H.) CORP SERIES A ............. 939
5,809 o BIG FLOWER HOLDINGS, INC .............. 185
9,200 BOWNE & CO, INC ....................... 120
17,900 CENTRAL NEWSPAPERS, INC (CLASS A) ..... 673
3,400 o CONSOLIDATED GRAPHICS, INC ............ 170
386 o CSS INDUSTRIES, INC ................... 11
25,800 DELUXE CORP ........................... 1,005
53,600 DONNELLEY (R.R.) & SONS CO ............ 1,987
14,500 DOW JONES & CO, INC ................... 769
12,000 o FRANKLIN COVEY CO ..................... 89
93,847 GANNETT CO, INC ....................... 6,698
10,000 o GIBSON GREETINGS, INC ................. 63
12,800 HARLAND (JOHN H.) CO .................. 255
17,600 HARTE-HANKS, INC ...................... 477
14,400 HOLLINGER INTERNATIONAL, INC .......... 171
16,200 HOUGHTON MIFFLIN CO ................... 762
11,600 o JOURNAL REGISTER CO ................... 261
22,300 KNIGHT-RIDDER, INC .................... 1,225
16,800 LEE ENTERPRISES, INC .................. 512
4,200 MCCLATCHY CO (CLASS A) ................ 139
62,698 MCGRAW HILL COS, INC .................. 3,382
4,000 o MEDIA ARTS GROUP, INC ................. 18
8,481 MEDIA GENERAL, INC (CLASS A) .......... 433
13,200 MEREDITH CORP ......................... 457
2,900 MERRILL CORP .......................... 42
4,416 NEW ENGLAND BUSINESS SERVICES, INC .... 136
54,700 NEW YORK TIMES CO (CLASS A) ........... 2,014
27,387 NEWS CORP LTD ......................... 864
8,625 o PAXAR CORP ............................ 78
3,500 PENTON MEDIA, INC .................... 85
41,561 o PRIMEDIA, INC ......................... 704
4,800 PULITZER, INC ........................ 233
14,089 o R.H. DONNELLEY CORP ................... 276
27,510 READER'S DIGEST ASSOCIATION, INC
(CLASS A) (NON-VOTE) .................. 1,094
25,000 REYNOLDS & REYNOLDS CO (CLASS A) ...... 583
3,300 o SCHOLASTIC CORP ....................... 167
11,800 o SCIENTIFIC GAMES HOLDINGS CORP ........ 230
9,700 SCRIPPS (E.W.) CO (CLASS A) ........... 461
2,900 STANDARD REGISTER, INC ................ 89
19,044 TIMES MIRROR CO SERIES A .............. 1,128
34,100 o TOPPS, INC ............................ 248
32,900 TRIBUNE CO ............................ 2,866
12,000 WALLACE COMPUTER SERVICES, INC ........ 300
2,700 WASHINGTON POST CO (CLASS B) .......... 1,452
12,800 WILEY (JOHN) & SONS, INC (CLASS A) .... 226
3,270 o WORKFLOW MANAGEMENT, INC 47
11,286 o WORLD COLOR PRESS, INC 310
-----------
35,468
-----------
RAILROAD TRANSPORTATION--0.43%
150,825 BURLINGTON NORTHERN SANTA FE CORP ..... 4,676
158 CANADIAN NATIONAL RAILWAY CO .......... 11
67,252 CSX CORP .............................. 3,047
4,000 FLORIDA EAST COAST INDUSTRIES, INC .... 177
37,200 KANSAS CITY SOUTHERN INDUSTRIES, INC .. 2,374
125,058 NORFOLK SOUTHERN CORP ................. 3,767
79,985 UNION PACIFIC CORP .................... 4,664
14,400 o WISCONSIN CENTRAL TRANSIT CORP 272
-----------
18,988
-----------
REAL ESTATE--0.09%
33,900 ARDEN REALTY GROUP, INC ............... 835
500 o AVATAR HOLDINGS, INC .................. 9
8,400 o CASTLE & COOKE, INC ................... 148
21,700 o CATELLUS DEVELOPMENT CORP ............. 336
6,797 o CB RICHARD ELLIS SERVICES GROUP, INC .. 169
12,346 o ECHELON INTERNATIONAL CORP ............ 276
1,500 o EXCEL LEGACY CORP ..................... 7
17,900 o FAIRFIELD COMMUNITIES, INC ............ 289
300 FOREST CITY ENTERPRISES, INC (CLASS A). 8
4,116 o GRUBB & ELLIS CO ...................... 21
2,200 o INSIGNIA FINANCIAL GROUP, INC ......... 23
8,100 o JONES LANG LA SALLE ................... 241
10,450 LNR PROPERTY CORP ..................... 223
5,616 o RECKSON SERVICES INDUSTRIES, INC ...... 85
29,800 ROUSE CO .............................. 756
11,200 o SECURITY CAPITAL GROUP, INC (CLASS B) . 163
28,100 STEWART ENTERPRISES, INC (CLASS A) .... 409
8,700 o TRAMMELL CROW CO ...................... 143
-----------
4,141
-----------
RUBBER AND MISCELLANEOUS PLASTIC PRODUCTS--0.42%
500 o AEP INDUSTRIES, INC 15
16,400 APTARGROUP, INC ....................... 492
28,300 ARMSTRONG WORLD INDUSTRIES, INC ....... 1,636
5,900 BANDAG, INC ........................... 205
8,500 CARLISLE COS, INC ..................... 409
19,800 COOPER TIRE & RUBBER CO ............... 468
7,700 o FOAMEX INTERNATIONAL, INC ............. 43
2,700 FURON CO .............................. 51
49,162 GOODYEAR TIRE & RUBBER CO ............. 2,891
69,300 ILLINOIS TOOL WORKS, INC .............. 5,683
2,496 MYERS INDUSTRIES, INC ................. 50
28,847 NIKE, INC (CLASS B) ................... 1,826
16,300 PREMARK INTERNATIONAL, INC ............ 611
14,690 o REEBOK INTERNATIONAL LTD .............. 274
23,700 o SAFESKIN CORP ......................... 284
20,469 o SEALED AIR CORP ....................... 1,328
35,956 o SOLUTIA, INC .......................... 766
1,500 SPARTECH CORP ......................... 47
6,400 o SYNETIC, INC .......................... 440
7,800 TREDEGAR CORP ......................... 170
25,200 TUPPERWARE CORP ....................... 643
2,886 WYNNS INTERNATIONAL, INC .............. 53
-----------
18,385
-----------
SECURITY AND COMMODITY BROKERS--1.44%
2,000 ADVEST GROUP, INC ..................... 40
18,200 o AFFILIATED MANAGERS GROUP, INC ........ 549
6,200 o AMERITRADE HOLDINGS CORP (CLASS A) 657
37,498 BEAR STEARNS COS, INC ................. 1,753
2,700 CONNING CORP .......................... 44
4,100 DAIN RAUSCHER CORP .................... 222
8,900 DONALDSON, LUFKIN & JENRETTE, INC ..... 536
600 DUFF & PHELPS CREDIT RATING CO ........ 40
94 See notes to financial statements.
<PAGE>
EQUITY INDEX ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ ------
SECURITY AND COMMODITY BROKERS--(CONTINUED)
71,200 o E TRADE GROUP, INC .................... 2,844
10,800 EATON VANCE CORP ...................... 372
29,950 EDWARDS (A.G.), INC ................... 966
4,800 EVEREN CAPITAL CORP ................... 143
3,100 FEDERATED INVESTMENTS, INC ............ 56
57,791 FRANKLIN RESOURCES, INC ............... 2,348
5,743 FREEDOM SECURITIES CORP ............... 98
9,701 o FRIEDMAN, BILLINGS, RAMSEY GROUP, INC . 115
5,700 o HAMBRECHT & QUIST GROUP ............... 212
6,057 INVESTMENT TECHNOLOGY GROUP, INC ...... 196
2,600 INVESTORS FINANCIAL SERVICES CORP ..... 104
4,800 JEFFERIES GROUP, INC .................. 144
1,500 o JOHN NUVEEN CO (CLASS A) .............. 64
22,132 LEGG MASON, INC ....................... 852
42,120 LEHMAN BROTHERS HOLDINGS, INC ......... 2,622
116,600 MERRILL LYNCH & CO, INC ............... 9,321
10,600 MORGAN KEEGAN, INC .................... 201
201,926 MORGAN STANLEY, DEAN WITTER, & CO ..... 20,697
37,200 PAINE WEBBER GROUP, INC ............... 1,739
8,394 PHOENIX INVESTMENT PARTNERS LTD ....... 72
10,000 o PIONEER GROUP, INC .................... 173
31,600 PRICE (T. ROWE) ASSOCIATES, INC ....... 1,213
17,700 RAYMOND JAMES FINANCIAL CORP .......... 424
116,462 SCHWAB (CHARLES) CORP ................. 12,796
3,100 SOUTHWEST SECURITIES GROUP, INC ....... 222
24,700 UNITED ASSET MANAGEMENT CORP .......... 562
28,058 WADDELL & REED FINANCIAL, INC
(CLASS A) ........................... 770
9,722 WADDELL & REED FINANCIAL, INC
(CLASS B) ........................... 262
-----------
63,429
-----------
SOCIAL SERVICES--0.01%
2,700 o BROOKDALE LIVING COMMUNITIES, INC ..... 40
400 o CAPITAL SENIOR LIVING CORP ............ 4
1,700 o RES-CARE, INC ......................... 39
5,200 o SUNRISE ASSISTED LIVING, INC .......... 181
-----------
264
------------
SPECIAL TRADE CONTRACTORS--0.01%
9,800 APOGEE ENTERPRISES, INC ............... 132
14,644 o COMFORT SYSTEMS U.S.A., INC ........... 264
3,800 o GROUP MAINTENANCE AMERICA CORP ........ 49
7,400 o INTEGRATED ELECTRICAL SERVICES, INC ... 119
800 xo OMEGA ENVIRONMENTAL, INC .............. 0
3,917 o SERVICE EXPERTS, INC .................. 86
-----------
650
-----------
STONE, CLAY, AND GLASS PRODUCTS--0.26%
400 o AMERON INTERNATIONAL CORP ............. 18
2,600 CENTEX CONSTRUCTION PRODUCTS, INC ..... 89
79,811 CORNING, INC .......................... 5,597
11,100 o DAL-TILE INTERNATIONAL, INC ........... 126
7,400 o DEPARTMENT 56, INC .................... 199
2,100 o DUPONT PHOTOMASKS, INC ................ 101
4,900 FLORIDA ROCK INDUSTRIES, INC .......... 223
2,100 o GIANT CEMENT HOLDINGS, INC ............ 48
10,789 LAFARGE CORP .......................... 382
10,100 LIBBEY, INC ........................... 293
9,200 LONE STAR INDUSTRIES, INC ............. 346
20,600 OWENS CORNING CO ...................... 708
43,800 o OWENS ILLINOIS, INC ................... 1,432
900 PUERTO RICAN CEMENT CO, INC ........... 30
14,192 SOUTHDOWN, INC ........................ 912
18,300 USG CORP .............................. 1,025
-----------
11,529
-----------
TEXTILE MILL PRODUCTS--0.09%
25,965 o ALBANY INTERNATIONAL CORP
(CLASS A) ............................ 539
29,800 o BURLINGTON INDUSTRIES, INC ............ 270
16,700 COLLINS & AIKMAN CORP ................. 127
26,800 o CONE MILLS CORP ....................... 161
2,800 GUILFORD MILLS, INC ................... 29
20,200 INTERFACE, INC (CLASS A) .............. 174
12,600 o MOHAWK INDUSTRIES, INC ................ 383
2,000 o POLYMER GROUP, INC .................... 24
10,300 RUSSELL CORP .......................... 201
40,600 o SHAW INDUSTRIES, INC .................. 670
6,200 SPRING INDUSTRIES, INC ................ 270
9,000 ST. JOHN KNITS, INC ................... 263
18,700 o UNIFI, INC ............................ 397
17,200 WESTPOINT STEVENS, INC ................ 513
----------
4,021
----------
TOBACCO PRODUCTS--0.84%
12,700 o GENERAL CIGAR HOLDINGS, INC (CLASS A).. 99
837,204 PHILIP MORRIS COS, INC ................ 33,645
35,460 o RJR REYNOLDS TOBACCO HOLDINGS, INC .... 1,117
76,300 UST, INC .............................. 2,232
----------
37,093
----------
TRANSPORTATION BY AIR--0.55%
42,900 AIRBORNE FREIGHT CORP 1,188
200 o AIRNET SYSTEMS, INC ................... 3
19,000 o AIRTRAN HOLDINGS, INC ................. 109
27,000 o ALASKA AIR GROUP, INC ................. 1,127
15,600 o AMERICA WEST HOLDINGS CORP
(CLASS B) ............................ 294
62,711 o AMR CORP .............................. 4,280
2,000 o AMTRAN, INC ........................... 49
5,100 o ATLANTIC COAST AIRLINES HOLDINGS ...... 97
3,750 o ATLAS AIR, INC ........................ 121
3,047 o AVIALL, INC ........................... 57
23,305 COMAIR HOLDINGS, INC .................. 485
21,500 o CONTINENTAL AIRLINES, INC (CLASS B) ... 809
47,658 DELTA AIRLINES, INC ................... 2,746
100,600 o FDX CORP .............................. 5,458
5,600 o KITTY HAWK, INC ....................... 44
9,200 o MESA AIR GROUP, INC ................... 69
5,800 o MESABA HOLDINGS, INC .................. 74
11,421 o MIDWEST EXPRESS HOLDINGS, INC ......... 388
12,600 o NORTHWEST AIRLINES CORP (CLASS A) ..... 410
6,000 o OFFSHORE LOGISTICS, INC ............... 67
24,500 OGDEN CORP ............................ 660
6,800 PITTSTON BAX GROUP .................... 65
6,400 SKYWEST, INC .......................... 160
115,726 SOUTHWEST AIRLINES CO ................. 3,602
13,600 o TRANS WORLD AIRLINES, INC ............. 67
30,814 o U.S. AIRWAYS GROUP, INC ............... 1,342
6,535 o UAL CORP .............................. 425
----------
24,196
----------
TRANSPORTATION EQUIPMENT--2.97%
4,100 o AFTERMARKET TECHNOLOGY CORP 47
236,056 ALLIED SIGNAL, INC .................... 14,872
17,200 ARCTIC CAT, INC ....................... 154
16,700 ARVIN INDUSTRIES, INC ................. 633
27,399 AUTOLIV, INC .......................... 829
4,200 o AVONDALE INDUSTRIES, INC .............. 164
7,000 o BE AEROSPACE, INC ..................... 131
338,452 BOEING CO ............................. 14,955
11,261 BORG-WARNER AUTOMOTIVE, INC ........... 619
See notes to financial statements. 95
<PAGE>
EQUITY INDEX ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ ------
TRANSPORTATION EQUIPMENT--(CONTINUED)
5,900 o BREED TECHNOLOGIES, INC ............... $ 13
5,400 CLARCOR, INC .......................... 104
9,400 COACHMEN INDUSTRIES, INC .............. 219
2,400 COMMERCIAL INTERTECH CORP ............. 38
10,500 CORDANT TECHNOLOGIES, INC ............. 474
54,915 DAIMLERCHRYSLER (U.S.A.) .............. 4,881
52,018 DANA CORP ............................. 2,396
26,160 DANAHER CORP .......................... 1,521
4,000 o DELCO REMY INTERNATIONAL , INC
(CLASS A) ........................... 44
182,010 DELPHI AUTOMOTIVE SYSTEMS CORP ........ 3,379
1,300 o DUCOMMUN, INC ......................... 16
23,700 EATON CORP ............................ 2,180
22,900 FEDERAL SIGNAL CORP ................... 485
21,000 FEDERAL-MOGUL CORP .................... 1,092
10,200 FLEETWOOD ENTERPRISES, INC ............ 270
393,542 FORD MOTOR CO ......................... 22,169
9,800 GENCORP, INC .......................... 247
32,600 GENERAL DYNAMICS CORP ................. 2,233
226,700 GENERAL MOTORS CORP ................... 14,962
33,400 o GENERAL MOTORS CORP (CLASS H) ......... 1,879
3,361 GENTEK, INC ........................... 47
27,600 o GENTEX CORP ........................... 773
22,160 GOODRICH (B.F.) CO .................... 942
22,600 o GULFSTREAM AEROSPACE CORP ............. 1,527
8,715 o HALTER MARINE GROUP, INC .............. 58
52,300 HARLEY DAVIDSON, INC .................. 2,844
9,260 o HAYES LEMMERZ INTERNATIONAL, INC ...... 272
1,200 HEICO CORP ............................ 30
8,720 o HOWMET INTERNATIONAL, INC ............. 150
32,200 ITT INDUSTRIES, INC ................... 1,228
3,500 KAMAN CORP (CLASS A) .................. 55
2,400 o KELLSTROM INDUSTRIES, INC ............. 44
700 o KROLL O GARA CO ....................... 15
116,570 LOCKHEED MARTIN CORP .................. 4,342
14,500 MASCOTECH, INC ........................ 246
33,233 MERITOR AUTOMOTIVE, INC ............... 847
7,400 o MILLER INDUSTRIES, INC ................ 29
7,500 MODINE MANUFACTURING CO ............... 244
7,200 o MONACO COACH CORP ..................... 305
6,900 o MOTIVEPOWER INDUSTRIES, INC ........... 124
2,500 o NATIONAL R.V. HOLDINGS, INC ........... 61
21,200 o NAVISTAR INTERNATIONAL CORP ........... 1,060
11,406 NEWPORT NEWS SHIPBUILDING, INC ........ 336
21,640 NORTHROP GRUMMAN CORP ................. 1,435
7,700 o OEA, INC .............................. 68
12,000 o ORBITAL SCIENCES CORP ................. 284
22,100 PACCAR, INC ........................... 1,180
9,900 POLARIS INDUSTRIES, INC ............... 431
10,600 REGAL-BELOIT CORP ..................... 250
1,163 o SEQUA CORP (CLASS A) .................. 81
8,850 SMITH (A.O.) CORP ..................... 248
10,287 o SPX CORP .............................. 859
500 STANDARD MOTOR PRODUCTS, INC
(CLASS A) ........................... 12
10,900 STANDARD PRODUCTS CO .................. 279
1,900 o STONERIDGE, INC ..................... 26
11,600 SUPERIOR INDUSTRIES INTERNATIONAL, INC 317
39,072 TEXTRON, INC .......................... 3,216
17,475 TRANSPRO, INC ......................... 92
11,900 TRINITY INDUSTRIES, INC ............... 399
3,000 o TRISTAR AEROSPACE CO ................ 25
3,187 o TRIUMPH GROUP, INC .................. 81
34,100 TRW, INC .............................. 1,871
166,674 UNITED TECHNOLOGIES CORP .............. 11,948
5,000 VARLEN CORP ........................... 203
5,400 WABASH NATIONAL CORP .................. 105
4,200 WESTINGHOUSE AIR BRAKE CO ............. 109
2,300 WINNEBAGO INDUSTRIES, INC ............. 52
----------
130,156
----------
TRANSPORTATION SERVICES--0.09%
26,050 AIR EXPRESS INTERNATIONAL CORP ........ 661
9,600 C.H. ROBINSON WORLDWIDE, INC .......... 353
3,800 CIRCLE INTERNATIONAL GROUP, INC ....... 83
2,900 o EAGLE U.S.A. AIRFREIGHT, INC .......... 123
18,600 EXPEDITORS INTERNATIONAL OF
WASHINGTON ........................... 507
7,600 o FRITZ COS, INC ........................ 82
21,500 GALILEO INTERNATIONAL, INC ............ 1,149
23,000 GATX CORP ............................. 875
2,452 o NAVIGANT INTERNATIONAL, INC ........... 19
1,000 o TRAVEL SERVICES INTERNATIONAL, INC .... 12
700 o U.S. EXPRESS ENTERPRISES, INC (CLASS A) 7
----------
3,871
----------
TRUCKING AND WAREHOUSING--0.09%
13,300 o AMERICAN FREIGHTWAYS CORP ............. 260
6,500 ARNOLD INDUSTRIES, INC ................ 100
12,227 CNF TRANSPORTATION, INC ............... 469
10,950 o CONSOLIDATED FREIGHTWAYS CORP ......... 141
5,300 o COVENANT TRANSPORT, INC (CLASS A) ..... 83
4,300 o HEARTLAND EXPRESS, INC ................ 70
6,200 HUNT (J.B.) TRANSPORT SERVICES, INC ... 101
4,500 o IRON MOUNTAIN, INC .................... 129
10,100 o LANDSTAR SYSTEM, INC .................. 365
6,200 o M.S. CARRIERS, INC .................... 184
700 o PIERCE LEAHY CORP ..................... 17
6,400 ROADWAY EXPRESS, INC .................. 124
21,375 o SWIFT TRANSPORTATION CO, INC .......... 470
12,300 USFREIGHTWAYS CORP .................... 570
16,875 WERNER ENTERPRISES, INC ............... 350
17,400 o YELLOW CORP ........................... 309
----------
3,742
----------
WATER TRANSPORTATION--0.05%
35,000 ALEXANDER & BALDWIN, INC 779
3,400 o GULFMARK OFFSHORE, INC ................ 65
13,000 o HVIDE MARINE, INC (CLASS A) ........... 28
8,800 o KIRBY CORP ............................ 186
2,270 o MARINE TRANSPORT CORP ................. 8
22,700 o OMI CORP .............................. 47
6,700 OVERSEAS SHIPHOLDING GROUP, INC 86
4,900 o SEACOR SMIT, INC ...................... 262
16,827 TIDEWATER, INC ........................ 513
9,000 o TRICO MARINE SERVICES, INC ............ 59
----------
2,033
----------
WHOLESALE TRADE-DURABLE GOODS--0.28%
12,450 AAR CORP .............................. 282
5,100 o ACTION PERFORMANCE COS, INC ........... 168
2,800 o ANICOM, INC ........................... 29
9,300 o ANIXTER INTERNATIONAL, INC ............ 170
10,330 APPLIED INDUSTRIAL TECHNOLOGIES, INC .. 196
34,471 o ARROW ELECTRONICS, INC ................ 655
2,200 o AVIATION SALES CO ..................... 87
12,210 AVNET, INC ............................ 568
8,500 BRIGGS & STRATTON CORP ................ 491
19,000 o BRIGHTPOINT, INC ...................... 115
17,800 o CELLSTAR CORP ......................... 140
96 See notes to financial statements.
<PAGE>
EQUITY INDEX ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ ------
WHOLESALE TRADE-DURABLE GOODS--(CONTINUED)
11,100 o CHS ELECTRONICS, INC .................. 49
11,900 COMMERCIAL METALS CO .................. 339
8,900 o COMPUCOM SYSTEMS, INC ................. 37
5,400 o FAIRCHILD CORP (CLASS A) .............. 69
10,100 o FISHER SCIENTIFIC INTERNATIONAL, INC .. 225
49,596 GENUINE PARTS CO ...................... 1,736
22,483 GRAINGER (W.W.), INC .................. 1,210
11,850 o HA-LO INDUSTRIES, INC ................. 117
9,400 o HANDLEMAN CO .......................... 111
7,100 HUGHES SUPPLY, INC .................... 211
48,600 IKON OFFICE SOLUTIONS, INC 729
16,800 o INGRAM MICRO, INC (CLASS A) ........... 433
10,500 o KENT ELECTRONICS CORP ................. 208
2,500 o KEYSTONE AUTOMOTIVE INDUSTRIES, INC ... 43
6,200 o MARSHALL INDUSTRIES, INC .............. 223
23,700 o MERISEL, INC .......................... 54
7,300 o MICROAGE, INC ......................... 28
16,100 o MSC INDUSTRIAL DIRECT CO (CLASS A) .... 165
14,800 o NATIONAL-OILWELL, INC ................. 207
11,100 OWENS & MINOR, INC .................... 122
11,050 o PATTERSON DENTAL CO ................... 384
7,000 o PEC ISRAEL ECONOMIC CORP .............. 221
13,650 PIONEER-STANDARD ELECTRONICS, INC ..... 164
1,200 o POMEROY COMPUTER RESOURCES, INC ....... 17
1,392 PREMIER FARNELL PLC ADR ............... 10
24,725 o PSS WORLD MEDICAL, INC ................ 277
2,400 RELIANCE STEEL & ALUMINUM CO .......... 94
9,500 o SAFEGUARD SCIENTIFICS, INC ............ 589
2,000 o SODAK GAMING, INC ..................... 19
13,500 o TBC CORP .............................. 95
18,600 o TECH DATA CORP ........................ 711
2,400 o VWR SCIENTIFIC PRODUCTS CORP .......... 88
4,738 WATSCO, INC ........................... 78
270 WESCO FINANCIAL CORP .................. 84
3,300 o WILMAR INDUSTRIES, INC ................ 43
----------
12,091
----------
WHOLESALE TRADE-NONDURABLE GOODS--0.68%
18,000 o AIRGAS, INC ........................... 221
17,900 o AMERISOURCE HEALTH CORP (CLASS A) ..... 456
34,000 o AVATEX CORP ........................... 38
13,700 o BARNETT RESOURCES CORP ................ 526
44,534 BERGEN BRUNSWIG CORP (CLASS A) ........ 768
5,527 BINDLEY WESTERN INDUSTRIES, INC ....... 127
3,216 o BOISE CASCADE OFFICE PRODUCTS CORP .... 38
92,861 CARDINAL HEALTH, INC .................. 5,955
9,939 o CENTRAL GARDEN & PET CO ............... 102
2,300 CHEMED CORP ........................... 76
1,500 o DAISYTEK INTERNATIONAL CORP ........... 24
27,700 DIMON, INC ............................ 144
115,070 ENRON CORP ............................ 9,407
55,100 FORTUNE BRANDS, INC ................... 2,280
4,100 HERBALIFE INTERNATIONAL, INC (CLASS A) 45
2,000 HERBALIFE INTERNATIONAL, INC (CLASS B) 17
3,000 INTERNATIONAL MULTIFOODS CORP ......... 68
97,057 MCKESSON HBOC, INC .................... 3,118
13,200 o NU SKIN ENTERPRISES, INC (CLASS A) .... 263
2,500 o PERFORMANCE FOOD GROUP CO ............. 68
4,700 o PLAINS RESOURCES, INC ................. 89
2,785 o PRIORITY HEALTHCARE CORP (CLASS A) .... 96
3,900 o PRIORITY HEALTHCARE CORP (CLASS B) .... 135
13,750 RICHFOOD HOLDINGS, INC ................ 242
2,725 o SCHOOL SPECIALTY, INC ................. 44
10,600 o SCIOS, INC ............................ 34
2,200 o SMART & FINAL, INC .................... 23
37,184 SUPERVALU, INC ........................ 955
110,476 SYSCO CORP ............................ 3,294
21,000 TERRA INDUSTRIES, INC ................. 84
1,800 o U.S.A. FLORAL PRODUCTS, INC ........... 14
21,450 UNISOURCE WORLDWIDE, INC .............. 259
15,100 o UNITED STATIONERS, INC ................ 332
17,300 UNIVERSAL CORP ........................ 492
4,600 VALHI, INC ............................ 51
1,400 WEIDER NUTRITION INTERNATIONAL, INC ... 6
----------
29,891
----------
TOTAL COMMON STOCK
(Cost $2,974,038) 4,341,764
-----------
PRINCIPAL
---------
SHORT TERM INVESTMENTS--1.15%
U.S. GOVERNMENT & AGENCIES--1.15%
FEDERAL HOME LOAN BANK
$14,720,000 4.490%, 07/01/99 14,718
FEDERAL HOME LOAN MORTGAGE CORP
9,965,000 4.810%, 07/07/99 9,956
26,000,000 * 4.870%, 07/20/99 25,929
----------
50,603
----------
TOTAL SHORT TERM INVESTMENTS
(Cost $50,610) 50,603
----------
TOTAL PORTFOLIO
(Cost $3,025,226) $4,393,084
==========
- -----------------
o Non-income producing
x In bankruptcy
* All or a portion of these securities have been segregated by the Custodian
to cover margin or other requirements on open futures contracts.
# Restricted Securities-Investment in securities not registered under the
Securities Act of 1933 or not publicly traded on foreign markets. At June 30,
1999, the value of these securities amounted to $4,565 or 0.00% of net assets.
Additional information on each restricted security is as follows:
ACQUISITION ACQUISITION
SECURITY DATE COST
- -------- ----------- -----------
PHYSICIAN COMPUTER NETWORK, INC 01/22/96 $75,341
PROCURENET, INC 04/19/99 973
---------
$76,314
=========
See notes to financial statements. 97
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENT OF INVESTMENTS--INFLATION LINKED BOND ACCOUNT (Unaudited)
JUNE 30, 1999
SUMMARY BY INDUSTRY
(000)
VALUE %
-------- -------
BONDS
GOVERNMENT BONDS
U.S. TREASURY SECURITIES ................ $131,754 92.06%
-------- ------
TOTAL GOVERNMENT BONDS
(Cost $134,314) .......................... 131,754 92.06
-------- ------
TOTAL BONDS
(Cost $134,314) .......................... 131,754 92.06
-------- ------
SHORT TERM INVESTMENTS
COMMERCIAL PAPER ......................... 7,234 5.05
-------- ------
TOTAL SHORT TERM INVESTMENTS
(Cost $7,235) ............................ 7,234 5.05
-------- ------
TOTAL PORTFOLIO
(Cost $141,549) .......................... 138,988 97.11
OTHER ASSETS & LIABILITIES, NET ......... 4,136 2.89
-------- ------
NET ASSETS ................................. $143,124 100.00%
======== ======
PRINCIPAL VALUE
--------- (000)
-------
BONDS--92.06%
GOVERNMENT BONDS--92.06%
U.S. TREASURY SECURITIES--92.06%
U.S. TREASURY INFLATION INDEXED
$27,285,890 3.625%, 07/15/02 ............ $ 26,996
27,477,381 3.375%, 01/15/07 ............ 26,344
27,975,098 3.625%, 01/15/08 ............ 27,179
13,677,806 3.875%, 01/15/09 ............ 13,515
28,354,244 3.625%, 04/15/28 ............ 26,755
11,118,209 3.875%, 04/15/29 ............ 10,965
--------
131,754
--------
TOTAL GOVERNMENT BONDS..
(Cost $134,314) ................... 131,754
--------
TOTAL BONDS
(Cost $134,314) ................... 131,754
--------
SHORT TERM INVESTMENTS--5.05%
COMMERCIAL PAPER--5.05%
ROHM & HAAS CO
5,000,000 ~ 6.250%, 07/01/99 ................ 4,999
SAFEWAY, INC
2,235,000 ~ 6.250%, 07/01/99 ................ 2,235
--------
7,234
--------
TOTAL SHORT TERM INVESTMENTS
(Cost $7,235) ..................... 7,234
--------
TOTAL PORTFOLIO
(Cost $141,549) .................... $138,988
========
~Commercial Paper issued under the Private Placement exemption under Section
4(2) of the Securities Act of 1933, as amended.
98 See notes to financial statements.
<PAGE>
[GRAPHIC OMITTED] | COLLEGE RETIREMENT EQUITIES FUND
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