Annual Report
- --------------------------------------------------------------------------------
COLLEGE RETIREMENT EQUITIES FUND
Audited Financial Statements
including
Statement of Investments
for the
Stock Account
--------------------
December 31, 1998
[CREF LOGO]
As required by the Investment Company Act of 1940, CREF provides its
participants with this annual report of the financial condition and portfolio
holdings of the Stock Account. CREF also provides an annual report to
participants in the seven other CREF Accounts. Semi-annual reports are also
provided each year toward the end of August.
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STOCK ACCOUNT
INDEX TO AUDITED FINANCIAL STATEMENTS
DECEMBER 31, 1998
- --------------------------------------------------------------------------------
Page
-----
Report of Management Responsibility..................................... 2
Report of Independent Auditors.......................................... 3
Audited Financial Statements:
Statement of Assets and Liabilities................................. 4
Statement of Operations............................................. 5
Statements of Changes in Net Assets................................. 6
Notes to Financial Statements....................................... 7
Statement of Investments............................................ 12
Participant Voting Results.............................................. 57
1
<PAGE>
[CREF LOGO]
- --------------------------------------------------------------------------------
REPORT OF MANAGEMENT RESPONSIBILITY
To the Participants of
College Retirement Equities Fund:
The accompanying financial statements of the Stock Account of College Retirement
Equities Fund ("CREF") are the responsibility of management. They have been
prepared in accordance with generally accepted accounting principles and have
been presented fairly and objectively in accordance with such principles.
CREF has established and maintains a strong system of internal controls designed
to provide reasonable assurance that assets are properly safeguarded and
transactions are properly executed in accordance with management's
authorization, and to carry out the ongoing responsibilities of management for
reliable financial statements. In addition, CREF's internal audit personnel
provide a continuing review of the internal controls and operations of the
Accounts, and the internal Auditor regularly reports to the Audit Committee of
the CREF Board of Trustees.
The accompanying financial statements have been audited by the independent
auditing firm of Ernst & Young LLP. The independent auditors' report, which
appears on the following page, expresses an independent opinion on the fairness
of presentation of these financial statements.
The Audit Committee of the CREF Board of Trustees, consisting of trustees who
are not officers of CREF, meets regularly with management, representatives of
Ernst & Young LLP and internal audit personnel to review matters relating to
financial reporting, internal controls and auditing. In addition to the annual
audit of the financial statements of all the CREF Accounts by the independent
auditing firm, the New York State Insurance Department, other state insurance
departments and the Securities and Exchange Commission perform periodic
examinations of the CREF Accounts' operations.
/s/ JOHN H. BIGGS
--------------------------------
Chairman, President and
Chief Executive Officer
/s/ RICHARD L. GIBBS
--------------------------------
Executive Vice President and
Principal Accounting Officer
2
<PAGE>
[LOGO ERNST & YOUNG LLP] [ ] 787 Seventh Avenue [ ] Phone: 212 773 3000
New York, New York 10019
REPORT OF INDEPENDENT AUDITORS
To the Participants and Board of Trustees of
College Retirement Equities Fund:
We have audited the accompanying statement of assets and liabilities, including
the statement of investments, of the Stock Account of College Retirement
Equities Fund ("CREF") as of December 31, 1998, and the related statements of
operations for the year then ended and of changes in net assets for each of the
two years in the period then ended. These financial statements are the
responsibility of CREF's management. Our responsibility is to express an opinion
on these financial statements based on our audits. The condensed financial
information for the year ended December 31, 1996 and the periods prior thereto
were audited by other auditors, whose report dated February 6, 1997 expressed an
unqualified opinion on such condensed financial information.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements. Our procedures included
confirmation of securities owned at December 31, 1998, by correspondence with
the custodians and brokers. An audit also includes assessing the accounting
principles used and significant estimates made by management, as well as
evaluating the overall financial statement presentation. We believe that our
audits provide a reasonable basis for our opinion.
In our opinion, the financial statements referred to above present fairly, in
all material respects, the financial position of the Stock Account of CREF at
December 31, 1998, the results of its operations for the year then ended, and
the changes in its net assets for each of the two years in the period then
ended, in conformity with generally accepted accounting principles.
/s/ ERNST & YOUNG LLP
February 5, 1999
Ernst & Young LLP is a Member of Ernst & Young International, Ltd.
3
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STOCK ACCOUNT
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 1998
(amounts in thousands, except per accumulation unit amount)
<TABLE>
<CAPTION>
ASSETS
<S> <C>
Portfolio investments, at cost ................................................ $ 66,213,200
Net unrealized appreciation of portfolio investments .......................... 51,676,580
------------
Portfolio investments, at value ............................................... 117,889,780
Cash .......................................................................... 127,901
Dividends and interest receivable ............................................. 149,582
Receivable from securities transactions ....................................... 195,667
Amounts due from TIAA ......................................................... 12,683
------------
118,375,613
TOTAL ASSETS ------------
LIABILITIES
Deposits for securities loaned--Note 4 ........................................ 1,783,702
Payable for securities transactions ........................................... 220,601
------------
TOTAL LIABILITIES 2,004,303
------------
NET ASSETS
Accumulation Fund ............................................................ 96,034,279
Annuity Fund ................................................................. 20,337,031
------------
TOTAL NET ASSETS $116,371,310
============
THOUSANDS OF ACCUMULATION UNITS OUTSTANDING--Notes 5 and 6 ...................... 565,999
============
NET ASSET VALUE, PER ACCUMULATION UNIT--Note 5 .................................. $169.67
============
</TABLE>
See notes to financial statements.
4
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STOCK ACCOUNT
STATEMENT OF OPERATIONS
YEAR ENDED DECEMBER 31, 1998
(amounts in thousands)
<TABLE>
<CAPTION>
INVESTMENT INCOME
<S> <C>
Income:
Interest .............................................................................. $ 96,657
Dividends ............................................................................. 1,583,771
-----------
TOTAL INCOME 1,680,428
-----------
Expenses--Note 3:
Investment ............................................................................ 111,046
Operating ............................................................................. 256,595
-----------
TOTAL EXPENSES 367,641
Fees paid indirectly .................................................................. 8
-----------
NET EXPENSES 367,633
-----------
INVESTMENT INCOME-NET 1,312,795
-----------
REALIZED AND UNREALIZED GAIN ON TOTAL
INVESTMENTS--Note 4
Net realized gain (loss) on:
Portfolio investments ................................................................ 11,928,564
Futures transactions ................................................................ 20,499
Foreign currency transactions ........................................................ (9,849)
-----------
Net realized gain 11,939,214
-----------
Net change in unrealized appreciation on:
Portfolio investments ................................................................ 8,777,303
Futures transactions ................................................................. 39,302
Translation of assets (other than portfolio investments)
and liabilities denominated in foreign currencies .................................. 2,109
-----------
Net change in unrealized appreciation 8,818,714
-----------
NET REALIZED AND UNREALIZED GAIN ON TOTAL INVESTMENTS 20,757,928
-----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $22,070,723
===========
</TABLE>
See notes to financial statements.
5
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STOCK ACCOUNT
STATEMENTS OF CHANGES IN NET ASSETS
(amounts in thousands)
<TABLE>
<CAPTION>
Years Ended December 31,
------------------------
1998 1997
----- ----
<S> <C> <C>
FROM OPERATIONS
Investment income--net ............................................. $ 1,312,795 $ 1,417,042
Net realized gain on total investments ............................. 11,939,214 8,253,175
Net change in unrealized appreciation
on total investments ............................................. 8,818,714 11,432,448
------------ -----------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS 22,070,723 21,102,665
------------ -----------
FROM PARTICIPANT TRANSACTIONS
Premiums ........................................................... 2,762,905 2,507,501
------------ -----------
Disbursements and transfers:
Net transfers to TIAA ............................................ 1,261,329 742,005
Net transfers to other CREF Accounts ............................. 3,236,208 1,916,205
Annuity payments ................................................. 1,701,354 1,294,165
Withdrawals and repurchases ...................................... 1,641,765 1,305,554
Death benefits ................................................... 171,064 149,280
------------ -----------
TOTAL DISBURSEMENTS AND TRANSFERS, NET 8,011,720 5,407,209
------------ -----------
NET DECREASE IN NET ASSETS RESULTING
FROM PARTICIPANT TRANSACTIONS (5,248,815) (2,899,708)
------------ -----------
NET INCREASE IN NET ASSETS 16,821,908 18,202,957
NET ASSETS
Beginning of year .................................................. 99,549,402 81,346,445
------------ -----------
End of year ........................................................ $116,371,310 $99,549,402
============ ===========
</TABLE>
See notes to financial statements.
6
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STOCK ACCOUNT
NOTES TO FINANCIAL STATEMENTS
NOTE 1--ORGANIZATION
College Retirement Equities Fund ("CREF") was formed to aid and strengthen
nonprofit educational and research organizations by providing their employees
with variable retirement benefits.
CREF is registered with the Securities and Exchange Commission ("Commission")
under the Investment Company Act of 1940 as an open-end, diversified management
investment company. It consists of 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.
7
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STOCK ACCOUNT
NOTES TO FINANCIAL STATEMENTS--(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 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.
8
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STOCK ACCOUNT
NOTES TO FINANCIAL STATEMENTS--(CONTINUED)
NOTE 2--SIGNIFICANT ACCOUNTING POLICIES--(CONCLUDED)
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
Through management agreements with each company, Investment Management and
Services provide services necessary for the operation of CREF's Accounts. Such
services are provided at cost 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.
Investment Management and Services generally pay directly for all third-party
services provided for the benefit of the CREF Accounts. "Soft-dollar"
arrangements for brokerage and other services are generally not utilized by the
CREF Accounts. However, certain custodial fees are reduced based on the level of
average cash balances on deposit with custodian banks during the period. The
amount by which custodial fees were reduced under these expense offset
agreements, is reflected in the accompanying Statement of Operations as "Fees
paid indirectly".
NOTE 4--INVESTMENTS
At December 31, 1998, the value of securities loaned was $1,896,792,735 and
collateral received in connection therewith was comprised of cash of
$1,783,701,884, letters of credit of $185,730,878 and United States government
securities amounting to $454,461.
At December 31, 1998, net unrealized appreciation of portfolio investments was
$51,676,580,115, consisting of gross unrealized appreciation of $54,403,433,434
and gross unrealized depreciation of $2,726,853,319.
9
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STOCK ACCOUNT
NOTES TO FINANCIAL STATEMENTS--(CONTINUED)
NOTE 4--INVESTMENTS--(CONCLUDED)
At December 31, 1998, the Account held 2,330 open futures contracts in the
Standard & Poor's 500 Index, expiring in March 1999, with a value of
$725,503,750 and an unrealized gain of $39,302,207.
Companies in which the Account held 5% or more of the outstanding voting shares
are defined as "affiliated" in the Investment Company Act of 1940. At December
31, 1998, the total value of investments in affiliated companies was
$12,356,193. For the year ended December 31, 1998, total dividend income and the
net realized gain relating to such investments were $5,931,671 and $12,049,764,
respectively.
Purchases and sales of portfolio securities, other than short-term money market
instruments, for the year ended December 31, 1998, were as follows:
Purchases:
Unaffiliated issuers................................. $36,216,163,507
Affiliated issuers................................... 159,136,989
---------------
TOTAL PURCHASES $36,375,300,496
===============
Sales:
Unaffiliated issuers.................................. $39,725,489,351
Affiliated issuers.................................... 305,683,559
---------------
TOTAL SALES $40,031,172,910
===============
NOTE 5--CONDENSED FINANCIAL INFORMATION
Selected condensed financial information for an Accumulation Unit of the Account
is presented below.
<TABLE>
<CAPTION>
FOR THE YEARS ENDED DECEMBER 31,
------------------------------------------------------------
1998 1997 1996 1995 1994
---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Per Accumulation Unit Data:
Investment income.................... $ 2.381 $ 2.317 $ 2.114 $ 1.885 $ 1.699
Expenses............................. .521 .387 .304 .271 .223
-------- -------- -------- ------- -------
Investment income--net................ 1.860 1.930 1.810 1.614 1.476
Net realized and unrealized
gain (loss) on investments......... 29.795 26.864 15.953 19.984 (1.557)
-------- -------- -------- ------- -------
Net increase (decrease) in
Accumulation Unit Value............ 31.655 28.794 17.763 21.598 (.081)
Accumulation Unit Value:
Beginning of year.................. 138.017 109.223 91.460 69.862 69.943
-------- -------- -------- ------- -------
End of year........................ $169.672 $138.017 $109.223 $91.460 $69.862
======== ======== ======== ======= =======
Total return......................... 22.94% 26.36% 19.42% 30.92% (0.12%)
Ratios to Average Net Assets:
Expenses........................... 0.34% 0.31% 0.31% 0.34% 0.32%
Investment income--net.............. 1.23% 1.55% 1.82% 2.00% 2.11%
Portfolio turnover rate.............. 34.63% 23.25% 19.57% 16.25% 18.77%
Thousands of Accumulation Units
outstanding at end of year......... 565,999 597,531 620,498 632,803 637,435
</TABLE>
10
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STOCK ACCOUNT
NOTES TO FINANCIAL STATEMENTS--(CONCLUDED)
NOTE 6--ACCUMULATION UNITS
Changes in the number of Accumulation Units outstanding were as follows:
<TABLE>
<CAPTION>
Years Ended December 31,
------------------------
1998 1997
---- ----
<S> <C> <C>
Accumulation Units:
Credited for premiums.................................... 17,047,048 20,134,412
Cancelled for transfers, disbursements and
amounts applied to the Annuity Fund.................... (48,579,351) (43,101,543)
Outstanding:
Beginning of year...................................... 597,531,204 620,498,335
----------- -----------
End of year............................................ 565,998,901 597,531,204
=========== ===========
</TABLE>
NOTE 7--LINE OF CREDIT
The Stock, Social Choice, Global Equities, Growth, Equity Index and
Inflation-Linked Bond Accounts share in a $1.95 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 year ended December 31, 1998, there
were no borrowings under the credit facility.
11
<PAGE>
COLLEGE INVESTMENT EQUITIES FUND
STATEMENT OF INVESTMENTS--STOCK ACCOUNT
DECEMBER 31, 1998
SUMMARY BY INDUSTRY
(000)
VALUE %
-------- -----
BONDS
CORPORATE BONDS
AMUSEMENT AND RECREATION SERVICES ....... $ 16 0.00%
AUTOMOTIVE DEALERS AND
SERVICE STATIONS ...................... 413 0.00
COMMUNICATIONS .......................... 8,994 0.01
DEPOSITORY INSTITUTIONS ................. 12,033 0.01
ELECTRIC, GAS, AND SANITARY SERVICES .... 4,861 0.00
ELECTRONIC AND OTHER ELECTRIC EQUIPMENT . 9,988 0.01
HOLDING AND OTHER INVESTMENT OFFICES .... 67 0.00
INSURANCE CARRIERS ...................... 32 0.00
METAL MINING ............................ 480 0.00
SECURITY AND COMMODITY BROKERS .......... 7,499 0.01
TRUCKING AND WAREHOUSING ................ 4,401 0.00
-------- ------
TOTAL CORPORATE BONDS
(Cost $44,411) ......................... 48,784 0.04
-------- ------
GOVERNMENT BOND
GOVERNMENT BOND ........................ 371 0.00
-------- ------
TOTAL GOVERNMENT BOND
(Cost $381) ............................ 371 0.00
--------- ------
TOTAL BONDS
(Cost $44,792) ......................... 49,155 0.04
--------- ------
PREFERRED STOCK
APPAREL AND OTHER TEXTILE PRODUCTS ...... 834 0.00
BUSINESS SERVICES ....................... 43,971 0.04
CHEMICALS AND ALLIED PRODUCTS ........... 10,167 0.01
COMMUNICATIONS .......................... 21,713 0.02
DEPOSITORY INSTITUTIONS ................. 2,317 0.00
ELECTRIC, GAS, AND SANITARY SERVICES .... 4,436 0.00
FABRICATED METAL PRODUCTS ............... 2,633 0.00
GENERAL MERCHANDISE STORES .............. 11,246 0.01
HEALTH SERVICES ......................... 34 0.00
HEAVY CONSTRUCTION, EXCEPT BUILDING ..... 207 0.00
HOLDING AND OTHER INVESTMENT OFFICES .... 3,539 0.00
INSTRUMENTS AND RELATED PRODUCTS ........ 24 0.00
INSURANCE AGENTS, BROKERS AND SERVICE ... 8,555 0.01
INSURANCE CARRIERS ...................... 9,716 0.01
METAL MINING ............................ 841 0.00
NONDEPOSITORY INSTITUTIONS .............. 111 0.00
OIL AND GAS EXTRACTION .................. 1,030 0.00
PAPER AND ALLIED PRODUCTS ............... 7 0.00
PRIMARY METAL INDUSTRIES ................ 125 0.00
PRINTING AND PUBLISHING ................. 24,491 0.02
REAL ESTATE ............................. 253 0.00
RUBBER AND MISCELLANEOUS
PLASTIC PRODUCTS ...................... 6,862 0.01
STONE, CLAY, AND GLASS PRODUCTS ......... 188 0.00
TRANSPORTATION EQUIPMENT ................ 2,829 0.00
-------- ------
TOTAL PREFERRED STOCK
(Cost $92,420) .......................... 156,129 0.13
-------- ------
COMMON STOCK
AGRICULTURAL PRODUCTION-CROPS ........... 19,762 0.02%
AGRICULTURAL SERVICES ................... 2,665 0.00
AMUSEMENT AND RECREATION SERVICES ....... 138,551 0.12
APPAREL AND ACCESSORY STORES ............ 589,264 0.51
APPAREL AND OTHER TEXTILE PRODUCTS ...... 174,405 0.15
AUTO REPAIR, SERVICES AND PARKING ....... 55,703 0.05
AUTOMOTIVE DEALERS AND SERVICE STATIONS . 36,828 0.03
BUILDING MATERIALS AND GARDEN SUPPLIES .. 812,947 0.70
BUSINESS SERVICES ....................... 6,781,914 5.83
CHEMICALS AND ALLIED PRODUCTS ........... 14,541,458 12.50
COAL MINING ............................. 3,018 0.00
COMMUNICATIONS .......................... 14,061,824 12.08
DEPOSITORY INSTITUTIONS ................. 10,990,023 9.44
EATING AND DRINKING PLACES .............. 861,493 0.74
EDUCATIONAL SERVICES .................... 49,685 0.04
ELECTRIC, GAS, AND SANITARY SERVICES .... 4,804,238 4.13
ELECTRONIC AND OTHER ELECTRIC
EQUIPMENT ............................. 8,708,556 7.48
ENGINEERING AND MANAGEMENT SERVICES ..... 170,761 0.15
FABRICATED METAL PRODUCTS ............... 970,292 0.83
FISHING, HUNTING, AND TRAPPING .......... 9 0.00
FOOD AND KINDRED PRODUCTS ............... 4,683,204 4.02
FOOD STORES ............................. 1,121,605 0.96
FORESTRY ................................ 33,721 0.03
FURNITURE AND FIXTURES .................. 142,627 0.12
FURNITURE AND HOMEFURNISHINGS STORES .... 261,917 0.23
GENERAL BUILDING CONTRACTORS ............ 258,526 0.22
GENERAL MERCHANDISE STORES .............. 2,288,114 1.97
HEALTH SERVICES ......................... 504,114 0.43
HEAVY CONSTRUCTION, EXCEPT BUILDING ..... 193,505 0.17
HOLDING AND OTHER INVESTMENT OFFICES .... 843,539 0.72
HOTELS AND OTHER LODGING PLACES ......... 195,202 0.17
INDUSTRIAL MACHINERY AND EQUIPMENT ...... 7,892,601 6.78
INSTRUMENTS AND RELATED PRODUCTS ........ 2,422,036 2.08
INSURANCE AGENTS, BROKERS AND SERVICE ... 186,928 0.16
INSURANCE CARRIERS ...................... 6,216,784 5.34
LEATHER AND LEATHER PRODUCTS ............ 7,485 0.01
LEGAL SERVICES .......................... 36 0.00
LOCAL AND INTERURBAN PASSENGER TRANSIT .. 103,129 0.09
LUMBER AND WOOD PRODUCTS ................ 159,351 0.14
METAL MINING ............................ 276,999 0.24
MISCELLANEOUS MANUFACTURING INDUSTRIES .. 132,254 0.11
MISCELLANEOUS RETAIL .................... 966,128 0.83
MOTION PICTURES ......................... 509,027 0.44
NONDEPOSITORY INSTITUTIONS .............. 2,238,861 1.92
NONMETALLIC MINERALS, EXCEPT FUELS ...... 95,872 0.08
OIL AND GAS EXTRACTION .................. 853,078 0.73
PAPER AND ALLIED PRODUCTS ............... 931,218 0.80
PERSONAL SERVICES ....................... 101,032 0.09
PETROLEUM AND COAL PRODUCTS ............. 4,880,094 4.19
PIPELINES, EXCEPT NATURAL GAS ........... 12,444 0.01
PRIMARY METAL INDUSTRIES ................ 522,178 0.45
12
See notes to financial statements.
<PAGE>
COLLEGE INVESTMENT EQUITIES FUND
STATEMENT OF INVESTMENTS--STOCK ACCOUNT
DECEMBER 31, 1998
SUMMARY BY INDUSTRY (CONTINUED)
(000)
VALUE %
-------- -----
PRINTING AND PUBLISHING ............. $ 1,543,103 1.33%
RAILROAD TRANSPORTATION ............. 502,906 0.43
REAL ESTATE ......................... 299,730 0.26
RUBBER AND MISCELLANEOUS
PLASTIC PRODUCTS .................. 686,432 0.59
SECURITY AND COMMODITY BROKERS ...... 1,056,815 0.91
SOCIAL SERVICES ..................... 4,034 0.00
SPECIAL TRADE CONTRACTORS ........... 42,739 0.04
STONE, CLAY, AND GLASS PRODUCTS ..... 540,520 0.46
TEXTILE MILL PRODUCTS ............... 136,650 0.12
TOBACCO PRODUCTS .................... 1,124,280 0.97
TRANSPORTATION BY AIR ............... 530,255 0.46
TRANSPORTATION EQUIPMENT ............ 3,858,664 3.32
TRANSPORTATION SERVICES ............. 105,591 0.09
TRUCKING AND WAREHOUSING ............ 170,548 0.15
WATER TRANSPORTATION ................ 211,019 0.18
WHOLESALE TRADE-DURABLE GOODS ....... 222,580 0.19
WHOLESALE TRADE-NONDURABLE GOODS .... 748,593 0.64
------------ ------
TOTAL COMMON STOCK
(Cost $62,983,291) .................. 114,591,464 98.47
------------ ------
SHORT TERM INVESTMENTS
BANK NOTES .......................... 63,987 0.05%
CERTIFICATES OF DEPOSIT ............. 289,301 0.25
COMMERCIAL PAPER .................... 1,915,815 1.65
MEDIUM TERM BONDS ................... 47,928 0.04
U.S. GOVERNMENT & AGENCIES .......... 503,172 0.43
VARIABLE RATE NOTES ................. 272,829 0.24
------------- 3 ------
TOTAL SHORT TERM INVESTMENTS
(Cost $ 3,092,697) .................. 3,093,032 2.66
------------- ------
TOTAL PORTFOLIO
(Cost $ 66,213,200) ................. 117,889,780 101.30
OTHER ASSETS & LIABILITIES, NET (1,518,470) (1.30)
------------- ------
NET ASSETS ............................ $ 116,371,310 100.00%
============= ======
13
See notes to financial statements.
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENT OF INVESTMENTS--STOCK ACCOUNT (UNAUDITED)
DECEMBER 31, 1998
SUMMARY BY COUNTRY
Value
(000) %
----------- -------
DOMESTIC
UNITED STATES ..... $ 92,464,965 78.43%
------------ ------
TOTAL DOMESTIC ...... 92,464,965 78.43
------------ ------
FOREIGN
ARGENTINA ......... 15,225 0.01
AUSTRALIA ......... 535,681 0.45
AUSTRIA ........... 36,058 0.03
BELGIUM ........... 380,991 0.32
BRAZIL ............ 13,675 0.01
CANADA ............ 711,774 0.60
CHILE ............. 52,950 0.05
CHINA ............. 16,263 0.01
DENMARK ........... 140,805 0.12
FINLAND ........... 402,633 0.34
FRANCE ............ 1,969,120 1.67
GERMANY ........... 2,202,984 1.87
GREECE ............ 1,010 0.00
HONG KONG ......... 326,908 0.28
HUNGARY ........... 4,929 0.00
INDIA ............. 22,277 0.02
IRELAND ........... 176,522 0.15
ITALY ............. 1,467,588 1.25
JAPAN ............. 4,251,787 3.61
LUXEMBOURG ........ 10,015 0.01
MALAYSIA .......... 35,706 0.03
MEXICO ............ 7,727 0.01
NETHERLANDS ....... 1,566,681 1.33
NEW ZEALAND ....... 54,703 0.05
NORWAY ............ 90,200 0.08
PORTUGAL .......... 151,060 0.13
SINGAPORE ......... 115,286 0.10
SOUTH AFRICA ...... 17,283 0.02
SPAIN ............. 790,006 0.67
SWEDEN ............ 546,841 0.46
SWITZERLAND ....... 1,895,947 1.61
UNITED KINGDOM .... 4,320,591 3.66
ZIMBABWE .......... 557 0.00
------------ ------
TOTAL FOREIGN ....... 22,331,783 18.95
TOTAL SHORT TERM .... 3,093,032 2.62
------------ ------
TOTAL PORTFOLIO ..... $117,889,780 100.00%
============ ======
14
See notes to financial statements.
<PAGE>
COLLEGE INVESTMENT EQUITIES FUND
STATEMENT OF INVESTMENTS--STOCK ACCOUNT
DECEMBER 31, 1998
VALUE
PRINCIPAL (000)
--------- --------
BONDS--0.04%
CORPORATE BONDS--0.04%
AMUSEMENT AND RECREATION SERVICES--0.00%
MULTI PURPOSE ICULS
$ 307,000(1) 3.000%, 12/31/02 .................. $ 16
-------
AUTOMOTIVE DEALERS AND SERVICE STATIONS--0.00%
(degree) UGLY DUCKLING CORP (SUB DEB)
413,400 12.000%, 10/23/03 ................ 413
-------
COMMUNICATIONS--0.01%
8,615,000 VIACOM INTERNATIONAL, INC
(SUB DEB)
8.000%, 07/07/06 ................. 8,994
-------
DEPOSITORY INSTITUTIONS--0.01%
BANCA INTESA
210,884(2) 3.150%, 01/01/03 ................. 448
BANCA INTESA (RISP)
16,220(2) 3.150%, 01/01/03 ................. 48
FUJI BANK
2,580,000,000(3) 0.250%, 02/01/02 ................. 8,082
MITSU TRUST & BANKING
983,000,000(3) 0.500%, 10/01/07 ................. 3,455
-------
12,033
-------
ELECTRIC, GAS, AND SANITARY SERVICES--0.00%
4,979,000 WMX TECHNOLOGIES, INC (SUB CV NOTE)
2.000%, 01/24/05 ................. 4,861
-------
ELECTRONIC AND OTHER ELECTRIC EQUIPMENT--0.01%
SONY CORP
950,000,000(3) 1.400%, 03/31/05 ................. 9,988
-------
HOLDING AND OTHER INVESTMENT OFFICES--0.00%
VALUE REALISATION TRUST DEB
24,621 1.400%, 09/30/06 ................. 67
-------
INSURANCE CARRIERS--0.00%
35,000 LIBLIFE INTERNATIONAL CV
6.500%, 09/30/04 ................. 32
-------
METAL MINING--0.00%
RGC GOLD
791,298 0.000%, 12/31/00 ................. 480
-------
SECURITY AND COMMODITY BROKERS--0.01%
MORGAN STANLEY (CPS)
5,987,000 3.000%, 05/17/00 ................. 7,499
-------
TRUCKING AND WAREHOUSING--0.00%
YAMATO TRANSPORT CV
340,000,000(3) 1.700%, 09/30/02 ................. 4,401
-------
TOTAL CORPORATE BONDS
(Cost $44,411) ..................... 48,784
-------
GOVERNMENT BOND--0.00%
GOVERNMENT BOND--0.00%
U.S. TREASURY BOND
325,000 11.750%, 02/15/01 ................ 371
-------
TOTAL GOVERNMENT BOND
(Cost $381) ........................ 371
-------
TOTAL BONDS
(Cost $44,792) ...................... 49,155
=======
- ----------------
(1) Denominated in Malaysian Ringets
(2) Denominated in Italian Lire
(3) Denominated in Japanese Yen
VALUE
SHARES (000)
------ --------
PREFERRED STOCK--0.13%
APPAREL AND OTHER TEXTILE PRODUCTS--0.00%
5,050 ESCADA AG. ......................... $ 834
-------
BUSINESS SERVICES---0.04%
92,100 SAP AG. ............................ 43,971
-------
CHEMICALS AND ALLIED PRODUCTS--0.01%
1,713(degree)CIN-CORPARACAO INDUSTRIAL ........ 62
43,000 HENKEL KGAA ........................ 3,847
25,000(degree)MONSANTO CO ...................... 1,225
2,500,000#(degree)NETGENICS, INC CV SERIES D ...... 5,000
40 WELLA GROUP AG. .................... 33
-------
10,167
-------
COMMUNICATIONS--0.02%
132,625 AIRTOUCH COMMUNICATIONS, INC
CV SERIES B ....................... 7,891
85,158 AIRTOUCH COMMUNICATIONS, INC
CV SERIES C ....................... 8,771
66,267,124(degree)EMBRATEL PARTICIPACOES S.A. 905
66,267,124 TELEBRAS S.A. ...................... 8
66,267,124(degree)TELECENTRO OESTE CELULAR
PARTICIPACOES S.A. ................ 70
66,267,124(degree)TELECENTRO-SUL PARTICIPACOES S.A. 575
66,267,124(degree)TELELESTE CELULAR PARTICIPACOES S.A. 38
66,267,124(degree)TELEMIG CELULAR PARTICIPCOES S.A. 73
66,267,124(degree)TELENORDESTE CELULAR PART S.A. ... 60
66,267,124(degree)TELENORTE CELULAR PARTICIPACOES S.A. 31
66,267,124(degree)TELENORTE-LESTE PARTICIPACOES S.A. 828
66,267,124(degree)TELESP CELULAR S.A. .............. 488
66,267,124(degree)TELESP PARTICIPACOES S.A. ........ 1,508
550,635 TELESP S.A. ........................ 75
66,267,124(degree)TELESUDESTE CELULAR S.A. ......... 280
66,267,124(degree)TELESUL CELULAR PARTICIPACOES S.A. 112
-------
21,713
-------
DEPOSITORY INSTITUTIONS--0.00%
2,252,000 BANCO ITAU S.A. .................... 1,100
219,454,122 BRADESCO S.A. ...................... 1,217
-------
2,317
-------
ELECTRIC, GAS, AND SANITARY SERVICES--0.00%
38,848,207 CEMIG S.A. ......................... 739
23,122,930(degree)CENTRAIS GERADORAS BRASIL ........ 29
45,614(degree)CIA PAULISTA DE FORCA & LUZ ...... 3
23,122,930 ELECTROBRAS S.A. SERIES B .......... 444
2,200,000 ELETROPAULO METROPOLITANA .......... 102
5,000 HOUSTON INDUSTRIES, INC ACES ....... 532
70,870 RHEIN-WESTFALEN ELECTRIC AG. (NON-VOTE) 2,587
------
4,436
------
FABRICATED METAL PRODUCTS--0.00%
9,968 FRIEDRICH-GROHE AG. ................ 2,633
------
GENERAL MERCHANDISE STORES--0.01%
210,200 HARCOURT GENERAL, INC SERIES A ..... 11,246
------
HEALTH SERVICES--0.00%
8,534(degree)MEDIQ, INC SERIES A .............. 34
------
HEAVY CONSTRUCTION, EXCEPT BUILDING--0.00%
5,500 BAU HOLDING AG. .................... 207
------
HOLDING AND OTHER INVESTMENT OFFICES--0.00%
74,530 APARTMENT INVESTMENT &
MANAGEMENT CO SERIES E ............ 2,758
See notes to financial statements.
15
<PAGE>
VALUE
SHARES (000)
------ --------
HOLDING AND OTHER INVESTMENT OFFICES--(CONTINUED)
18,432 KIMCO REALTY CORP SERIES D ......... $ 477
23,313 PRIME RETAIL, INC .................. 304
-------
3,539
-------
INSTRUMENTS AND RELATED PRODUCTS--0.00%
816,100(degree)FRESENIUS MEDICAL CARE (CLASS D) . 24
-------
INSURANCE AGENTS, BROKERS AND SERVICE--0.01%
15,000 MARSCHOLLER LAUT UND PARTNER ....... 8,555
-------
INSURANCE CARRIERS--0.01%
106,672 AETNA, INC SERIES C ................ 8,114
15,700 AXA COLONIA KONZERN AG. ............ 1,602
-------
9,716
-------
METAL MINING--0.00%
65,532 VALE DO RIO DOCE
NAVEGACAO S.A. SERIES A ........... 841
-------
NONDEPOSITORY INSTITUTIONS--0.00%
23,604 INTERNATIONALE NEDERLANDEN
GROEP NV .......................... 111
-------
OIL AND GAS EXTRACTION--0.00%
9,087,000 PETROBRAS S.A. ..................... 1,030
-------
PAPER AND ALLIED PRODUCTS--0.00%
1,670 KONINKLIJKE NV ..................... 7
-------
PRIMARY METAL INDUSTRIES--0.00%
1,600,000 MET GERDAU S.A. .................... 26
44,800 USINAS SIDERGIACAS DE MINAS GERAIS . 99
-------
125
-------
PRINTING AND PUBLISHING--0.02%
4,020,887 NEWS CORP LTD (LTD-VOTE) ........... 24,491
-------
REAL ESTATE--0.00%
18,300 PRICE ENTERPRISES, INC ............. 253
-------
RUBBER AND MISCELLANEOUS PLASTIC PRODUCTS--0.01%
132,287 SEALED AIR CORP (CLASS A) .......... 6,862
-------
STONE, CLAY, AND GLASS PRODUCTS--0.00%
679 DYCKERHOFF ZEMENTWERKE AG. ......... 188
-------
TRANSPORTATION EQUIPMENT--0.00%
900 MAN AG. (NON-VOTE) ................. 182
53,400 RHEINMETALL AG. .................... 1,003
33,000 VOLKSWAGEN AG. ..................... 1,644
-------
2,829
-------
TOTAL PREFERRED STOCK
(Cost $92,420) ...................... 156,129
-------
COMMON STOCK--98.47%
AGRICULTURAL PRODUCTION- CROPS--0.02%
14,872(degree)AGRITOPE, INC .................... 20
509 DELTA & PINE LAND CO ............... 19
911,000 GOLDEN HOPE PLANTATIONS BERHAD ..... 688
15,900 KORN-OG FODERSTOF KOMPAGNIET AS .... 298
693,963 PIONEER-HI-BRED INTERNATIONAL, INC . 18,737
-------
19,762
-------
AGRICULTURAL SERVICES--0.00%
110,700(degree)CADIZ, INC ....................... 844
65,100 CRESUD SACIFYA ..................... 78
87,400(degree)VETERINARY CENTERS OF AMERICA, INC 1,743
-------
2,665
-------
AMUSEMENT AND RECREATION SERVICES--0.12%
52,576(degree)AMERICAN SKIING CO ............... 404
218,400(degree)AMF BOWLING, INC ................. 1,119
125,500(degree)ANCHOR GAMING CO ................. 7,075
186,500(degree)ARGOSY GAMING CORP ............... 501
10,629(degree)BALLY TOTAL FITNESS HOLDINGS CORP 264
258,645(degree)BOYD GAMING CORP ................. 857
12,600(degree)CHAMPIONSHIP AUTO RACING TEAMS, INC $ 373
4,800 CHURCHILL DOWNS, INC ............... 158
1,800 DOVER DOWNS ENTERTAINMENT, INC ..... 22
1,199,162(degree)EMI GROUP PLC 8,021
2,100(degree)FAMILY GOLF CENTERS, INC ......... 41
85,400(degree)FLORIDA PANTHERS HOLDINGS, INC ... 795
3,283,771 GRANADA GROUP LTD (CLASS A) ........ 58,050
268,000(degree)GRAND CASINOS, INC ............... 2,161
1,591,673(degree)HARRAH'S ENTERTAINMENT, INC ...... 24,969
1,600(degree)HOLLYWOOD PARK, INC .............. 13
2,700(degree)INTERNATIONAL SPEEDWAY CORP (CLASS A) 109
2,750(degree)ISLE OF CAPRI CASINOS, INC ....... 11
1,324,950 MAGNUM CORP BERHAD ................. 398
26,527(degree)MIRAGE RESORT, INC ............... 396
1,217,700(degree)MULTI-PURPOSE HOLDINGS BERHAD .... 229
48,760(degree)PENN NATIONAL GAMING, INC ........ 341
14,000(degree)PLAYERS INTERNATIONAL, INC ....... 87
58,592(degree)PREMIER PARKS, INC ............... 1,772
57,934(degree)PRESIDENT CASINOS, INC ........... 69
268,101(degree)RIO HOTEL & CASINO, INC .......... 4,256
700 SANKYO CO LTD ...................... 12
659(degree)SCIENTIFIC GAMES HOLDINGS CORP ... 12
172,250(degree)SFX ENTERTAINMENT, INC (CLASS A) . 9,452
400(degree)SPEEDWAY MOTORSPORTS, INC ........ 11
1,414,673(degree)STAR CITY HOLDINGS LTD ........... 1,252
144,897(degree)STATION CASINOS, INC ............. 1,186
864,400 TABCORP HOLDINGS LTD ............... 5,302
256,000 TOKYO DOME CORP .................... 1,366
380,000 TOKYO TOKEIBA CO LTD ............... 556
226,600(degree)WESTWOOD ONE, INC ................ 6,911
-------
138,551
-------
APPAREL AND ACCESSORY STORES--0.51%
51,423(degree)ABERCROMBIE & FITCH CO (CLASS A) . 3,638
95,600(degree)AMERICAN EAGLE OUTFITTERS, INC ... 6,369
187,202(degree)ANN TAYLOR STORES CORP ........... 7,383
2,400(degree)BEBE STORES, INC ................. 85
297,330 BROWN GROUP, INC ................... 5,222
112,450(degree)BUCKLE, INC ...................... 2,699
1,024 BURLINGTON COAT FACTORY
WAREHOUSE CORP .................... 17
301,200 CATO CORP (CLASS A) ................ 2,965
8,600(degree)CHARMING SHOPPES, INC ............ 37
68,600(degree)CHILDRENS PLACE RETAIL STORES .... 1,724
700 CLAIRE'S STORES, INC ............... 14
108,618 CLAIRE'S STORES, INC (CLASS A) ..... 2,227
176,100 DEB SHOPS, INC ..................... 2,642
127,401(degree)DOUGLAS HOLDINGS AG. ............. 7,725
10,040(degree)DOUGLAS HOLDINGS AG. NEW ......... 543
114,700(degree)DRESS BARN, INC .................. 1,742
4,184(degree)EDISON BROTHERS STORES WTS 09/26/05 1
400(degree)FINISH LINE, INC (CLASS A) ....... 3
259,169(degree)FOOTSTAR, INC .................... 6,479
600(degree)GADZOOKS, INC .................... 5
3,693,088 GAP, INC ........................... 207,736
435,800(degree)GENESCO, INC ..................... 2,479
250,000(degree)GOODYS FAMILY CLOTHING, INC ...... 2,508
227,300(degree)GYMBOREE CORP .................... 1,449
546,645 HENNES & MAURITZ AB SERIES B ....... 44,644
418,283 INTIMATE BRANDS, INC (CLASS A) ..... 12,496
1,550(degree)JUST FOR FEET, INC ............... 27
3,129,695 LIMITED, INC ....................... 91,152
342,450(degree)MENS WAREHOUSE, INC .............. 10,873
195,022 NORDSTROM, INC ..................... 6,765
53,500(degree)NORTH FACE, INC .................. 696
109,650(degree)PACIFIC SUNWEAR CALIFORNIA, INC .. 1,796
200(degree)PAUL HARRIS STORES, INC .......... 2
334,543(degree)PAYLESS SHOESOURCE, INC .......... 15,849
183,600(degree)PETRIE STORES CORP (LIQUIDATING TRUST) 379
893,800 ROSS STORES, INC ................... 35,193
See notes to financial statements.
16
<PAGE>
VALUE
SHARES (000)
------ --------
APPAREL AND ACCESSORY STORES--(CONTINUED)
3,938 SALAMANDER AG. ..................... $ 709
500 SHIMAMAURA CO LTD .................. 23
800(degree)STAGE STORES, INC ................ 8
248,100(degree)STEIN MART, INC .................. 1,729
95,403(degree)SYMS CORP ........................ 859
1,000 TALBOTS, INC ....................... 31
3,307,566 TJX COS, INC ....................... 95,919
7,800(degree)URBAN OUTFITTERS, INC ............ 132
142,100(degree)WET SEAL, INC (CLASS A) .......... 4,290
-------
589,264
-------
APPAREL AND OTHER TEXTILE PRODUCTS--0.15%
198,000 AOYAMA TRADING CO LTD .............. 5,547
124,768 AUTHENTIC FITNESS CORP ............. 2,277
5,579,300 BENETTON GROUP S.P.A. .............. 11,266
79,240(degree)COLUMBIA SPORTSWEAR CO ........... 1,337
1,900(degree)CYRK, INC ........................ 14
215,400(degree)DONNA KARAN INTERNATIONAL, INC ... 1,642
17 ESCADA AG. (STAMM) ................. 3
982,837(degree)FRUIT OF THE LOOM, INC (CLASS A) . 13,575
201,000 GUNZE LTD .......................... 485
4,430(degree)HARTMARX CORP .................... 25
1,454,703(degree)JONES APPAREL GROUP, INC ......... 32,094
258,390 KELLWOOD CO ........................ 6,460
2,761,000 KURARAY CO LTD ..................... 30,523
745,700 LIZ CLAIBORNE, INC ................. 23,536
555,200(degree)NAUTICA ENTERPRISES, INC ......... 8,328
133,000 ONWARD KASHIYMA CO LTD ............. 1,790
218,600 OSHKOSH B'GOSH, INC (CLASS A) ...... 4,413
97,800 OXFORD INDUSTRIES, INC ............. 2,763
13,193 x(degree)PARAGON TRADE BRANDS, INC ... 28
395,033 PHILLIPS VAN HEUSEN CORP ........... 2,839
4,523 PILLOWTEX CORP ..................... 121
1,000(degree)POLO RALPH LAUREN CORP ........... 19
233,363(degree)QUIKSILVER, INC .................. 7,001
396,100(degree)RENOWN, INC ...................... 246
233,000 TOKYO STYLE CO LTD ................. 2,363
11,400(degree)TOMMY HILFIGER CORP .............. 684
152,869 VF CORP ............................ 7,166
452,000 WACOAL CORP ........................ 5,822
80,699 WARNACO GROUP, INC (CLASS A) ....... 2,038
-------
174,405
-------
AUTO REPAIR, SERVICES AND PARKING--0.05%
596,683(degree)AVIS RENT A CAR, INC ............. 14,432
8,001(degree)BUDGET GROUP, INC ................ 127
1,479,000 COMFORT GROUP LTD .................. 533
396,618(degree)DOLLAR THRIFTY AUTOMOTIVE GROUP, INC 5,106
330,865 HERTZ CORP (CLASS A) ............... 15,096
54,364 IMPERIAL HOLDINGS LTD .............. 333
217,457 MIDAS, INC ......................... 6,768
61,770(degree)NATIONAL AUTO CREDIT, INC ........ 56
710,967 ROLLINS TRUCK LEASING CORP ......... 10,487
106,352 RYDER SYSTEM, INC .................. 2,765
-------
55,703
-------
AUTOMOTIVE DEALERS AND SERVICE STATIONS--0.03%
88,400 AUTOBACS SEVEN CO LTD .............. 2,978
52,200(degree)AUTOZONE, INC .................... 1,719
271,800 CANADIAN TIRE, INC (CLASS A) ....... 7,122
2,300(degree)CIRCUIT CITY STORES, INC (CARMAX GROUP) 13
152,800(degree)COPART, INC ...................... 4,947
244,300(degree)CSK AUTO CORP .................... 6,520
118,198(degree)DISCOUNT AUTO PARTS, INC ......... 2,593
139,100(degree)GROUP 1 AUTOMOTIVE, INC .......... 3,617
389,100 LEX SERVICE GROUP LTD .............. 2,473
323,958 LONHRO AFRICA PLC .................. 299
35,600(degree)OREILLY AUTOMOTIVE, INC .......... 1,682
7,922 PENDRAGON PLC ...................... 20
27,920 PEP BOYS MANNY, MOE, & JACK CO ..... 438
259,100(degree)UNITED AUTO GROUP, INC ........... 2,380
2,700(degree)WEST MARINE, INC ................. 27
-------
36,828
-------
BUILDING MATERIALS AND GARDEN SUPPLIES--0.70%
495,580 CRH PLC ............................ 8,571
110,400(degree)EAGLE HARDWARE & GARDEN, INC ..... 3,588
800 FASTENAL CO ........................ 35
10,806,572 HOME DEPOT, INC .................... 661,227
236,000 HONG LEONG INDUSTRIES BERHAD ....... 104
2,374,254 LOWES COS, INC ..................... 121,532
529,186 MEYER INTERNATIONAL PLC ............ 3,038
72,202 PORTLAND VALDERRIVAS S.A. .......... 2,955
900(degree)TRACTOR SUPPLY CO ................ 22
1,878,189 WOLSELEY PLC ....................... 11,875
-------
812,947
-------
BUSINESS SERVICES--5.83%
100(degree)3DO CO ........................... 0
90,500 AARON RENTS, INC ................... 1,369
136,300(degree)ABACUS DIRECT CORP ............... 6,202
3,100 ABM INDUSTRIES, INC ................ 107
115,300(degree)ABR INFORMATION SERVICES, INC .... 2,263
611,300(degree)ACCLAIM ENTERTAINMENT, INC ....... 7,488
25,454(degree)ACKERLEY GROUP, INC .............. 465
945,879(degree)ACNEILSEN CORP ................... 26,721
1,900(degree)ACTIVISION, INC .................. 21
206,120(degree)ACXIOM CORP ...................... 6,390
218,500 ADECCO S.A. ADR .................... 12,618
56,954(degree)ADECCO S.A. (BR) ................. 25,999
300(degree)ADMINSTAFF, INC .................. 8
465,644 ADOBE SYSTEMS, INC ................. 21,769
12,500(degree)ADVANTAGE LEARNING SYSTEMS, INC .. 822
80,300(degree)ADVENT SOFTWARE, INC ............. 3,784
370,530 (degree)ADVO, INC ................... 9,773
600 (degree)AFFILIATED COMPUTER SERVICES, INC
(CLASS A) ......................... 27
13,700(degree)ALTERNATIVE RESOURCES CORP ....... 146
2,200(degree)ALYDAAR SOFTWARE CORP ............ 18
3,220,000 AMERICA ONLINE, INC ................ 515,200
712,125 (degree)AMERICAN MANAGEMENT SYSTEMS, INC 28,485
17,500 (degree)AMERICAN SOFTWARE, INC (CLASS A) 37
224,400 ANALYSTS INTERNATIONAL CORP ........ 4,320
65,000(degree)ANSWERTHINK CONSULTING GROUP ..... 1,747
78,000 ANTAH HOLDINGS BERHAD .............. 11
168,200(degree)APAC TELESERVICES, INC ........... 636
69,100(degree)ARIS CORP ........................ 825
3,980,087(degree)ASCEND COMMUNICATIONS, INC ....... 261,691
24,200(degree)ASPECT DEVELOPMENT, INC .......... 1,072
2,100(degree)ASPEN TECHNOLOGY, INC ............ 30
4,300(degree)AT HOME CORP SERIES A ............ 319
701,000 AUTODESK, INC ...................... 29,924
1,658,503 AUTOMATIC DATA PROCESSING, INC ..... 132,991
605,800(degree)AVANT CORP ....................... 9,693
75,300(degree)AVT CORP ......................... 2,184
3,000(degree)AWARE, INC ....................... 82
7,900(degree)AXENT TECHNOLOGIES, INC .......... 241
11,051(degree)AZTEC TECHNOLOGY PARTNERS, INC ... 40
20,514(degree)BA MERCHANT SERVICES, INC (CLASS A) 413
4,400(degree)BANYAN SYSTEMS, INC .............. 39
2,500(degree)BEA SYSTEMS, INC ................. 31
199,000(degree)BILLING CONCEPTS CORP ............ 2,189
6,100(degree)BISYS GROUP, INC ................. 315
1,611,100(degree)BMC SOFTWARE, INC ................ 71,795
61,600(degree)BOOLE & BABBAGE, INC ............. 1,813
207,900(degree)BORG-WARNER SECURITY CORP ........ 3,898
64,500(degree)BORON, LEPORE & ASSOCIATES, INC .. 2,225
240(degree)BRC HOLDINGS, INC ................ 5
494,300(degree)BUILDING ONE SERVICE ............. 10,319
2,200(degree)CACI INTERNATIONAL, INC (CLASS A) 37
See notes to financial statements.
17
<PAGE>
VALUE
SHARES (000)
------ --------
BUSINESS SERVICES--(CONTINUED)
269,274(degree)CADENCE DESIGN SYSTEMS, INC ...... $ 8,011
5,100(degree)CAMBRIDGE TECHNOLOGY PARTNERS, INC 113
269,350(degree)CAP GEMINI S.A. .................. 43,251
1,600,000 CAPITA GROUP PLC ................... 14,788
83,400(degree)CARIBINER INTERNATIONAL, INC ..... 761
206,362(degree)CATALINA MARKETING CORP .......... 14,110
200(degree)CCC INFORMATION SERVICES GROUP, INC 3
948(degree)CDI CORP ......................... 19
47,900(degree)CELLULAR TECHNICAL SERVICES CO ... 16
500(degree)CENTURY BUSINESS SERVICES, INC ... 7
607,326(degree)CERIDIAN CORP .................... 42,399
430,000(degree)CERNER CORP ...................... 11,503
209,600(degree)CHECKFREE HOLDINGS CORP .......... 4,899
4,200 CHEMED CORP ........................ 141
180,829(degree)CHOICEPOINT, INC ................. 11,663
404,900(degree)CIBER, INC ....................... 11,312
155,135(degree)CITRIX SYSTEMS, INC .............. 15,058
41,400(degree)CLARIFY, INC ..................... 1,012
150(degree)CMGI, INC ........................ 16
200(degree)CNET, INC ........................ 11
51,574(degree)COMDISCO, INC .................... 870
158,587(degree)COMPLETE BUSINESS SOLUTIONS, INC . 5,372
3,757,805 COMPUTER ASSOCIATES INTERNATIONAL, INC 160,176
632,200(degree)COMPUTER HORIZONS CORP ........... 16,832
40,200 (degree)COMPUTER MANAGEMENT SCIENCES, INC 698
1,778,133 (degree)COMPUTER SCIENCES CORP ...... 114,578
330,919 COMPUTER TASK GROUP, INC ........... 8,976
1,613,600(degree)COMPUWARE CORP ................... 126,063
213,100(degree)CONCORD COMMUNICATIONS, INC ...... 12,093
143,500(degree)COREL CORP ....................... 570
15,300(degree)CORSAIR COMMUNICATIONS, INC ...... 77
163,300(degree)CORT BUSINESS SERVICES CORP ...... 3,960
60,100(degree)COTELLIGENT, INC ................. 1,281
295,000(degree)CREATIVE TECHNOLOGY LTD .......... 4,166
432,600(degree)CSG SYSTEMS INTERNATIONAL, INC ... 34,175
242,000 CSK CORP ........................... 5,578
4,894(degree)CYBERGUARD CORP .................. 10
2,400(degree)DAOU SYSTEMS, INC ................ 15
53,800 DASSAULT SYSTEMS S.A. .............. 2,530
338(degree)DATA BROADCASTING CORP ........... 6
42,900(degree)DATA DIMENSIONS, INC ............. 367
29,000(degree)DATA PROCESSING RESOURCES CORP ... 848
252,900(degree)DATASTREAM SYSTEMS, INC .......... 2,908
1,800(degree)DATAWORKS CORP ................... 19
15,385(degree)DBT ONLINE, INC .................. 384
1,100(degree)DECISIONONE HOLDINGS CORP ........ 5
14,400(degree)DELTEK SYSTEMS, INC .............. 243
218,600(degree)DENDRITE INTERNATIONAL, INC ...... 5,458
3,000(degree)DIGITAL LIGHTWAVE, INC ........... 7
63,300(degree)DOCUMENTUM, INC .................. 3,383
202,738(degree)DST SYSTEMS, INC ................. 11,569
500(degree)EARTHLINK NETWORK, INC ........... 29
2,600(degree)ELECTRO RENT CORP ................ 42
432,200(degree)ELECTRONIC ARTS, INC ............. 24,257
3,413,733 ELECTRONIC DATA SYSTEMS CORP ....... 171,540
427,500(degree)ELECTRONICS FOR IMAGING, INC ..... 17,180
185,000(degree)EMPLOYEE SOLUTIONS, INC .......... 474
99,400(degree)ENGINEERING ANIMATION, INC ....... 5,368
347,429(degree)ENVOY CORP ....................... 20,238
1,709,198 EQUIFAX, INC ....................... 58,433
118,291(degree)EXCITE, INC ...................... 4,976
50,300(degree)FACTSET RESEARCH SYSTEMS, INC .... 3,106
142,342 FAIR ISSAC & CO, INC ............... 6,574
12,000(degree)FILENET CORP ..................... 138
81,000(degree)FIREARMS TRAINING SYSTEMS, INC ... 114
2,574,668 FIRST DATA CORP .................... 81,585
19,762(degree)FISERV, INC ...................... 1,017
136,900(degree)FORE SYSTEMS, INC ................ 2,507
200(degree)FORRESTER RESEARCH, INC .......... 9
4,700(degree)FORTE SOFTWARE, INC .............. 28
328,700(degree)GENERAL MAGIC, INC ............... 1,654
167,600 (degree)GENESYS TELECOMMUNICATIONS
LABORATORIES, INC ................. 3,729
309,700(degree)GEOTEL COMMUNICATIONS CORP ....... 11,536
332,495 GERBER SCIENTIFIC, INC ............. 7,918
460,970 GETRONICS NV ....................... 22,843
1,800(degree)GETTY IMAGES, INC ................ 31
8,472(degree)GRANDE HOLDINGS WTS 10/15/00 ..... 0
12,700(degree)GREAT PLAINS SOFTWARE, INC ....... 613
142,300(degree)GT INTERACTIVE SOFTWARE CORP ..... 712
689,979(degree)GTECH HOLDINGS CORP .............. 17,681
1,150(degree)HARBINGER CORP ................... 9
21,900 HAW PAR CORP LTD ................... 25
4,446,223 HBO & CO ........................... 127,551
6,300(degree)HCIA, INC ........................ 27
5,600(degree)HEALTH MANAGEMENT SYSTEMS, INC ... 44
357,800(degree)HNC SOFTWARE ..................... 14,469
23,975(degree)HYPERION SOLUTIONS CORP .......... 432
4,000(degree)I2 TECHNOLOGIES, INC ............. 122
16,300(degree)ICON CMT CORP .................... 261
24,800(degree)IKOS SYSTEMS, INC ................ 90
783,482(degree)IMATION CORP ..................... 13,711
344,150(degree)IMRGLOBAL CORP ................... 10,131
1,503,119 IMS HEALTH, INC .................... 113,392
76,000(degree)INCHCAPE MARKETING SERVICES ...... 41
45,100(degree)INDUS INTERNATIONAL, INC ......... 316
2,000(degree)INDUSTRI-MATEMATIK INTERNATIONAL CORP 10
3,000 INES CORP .......................... 27
2,900(degree)INFORMATION RESOURCES, INC ....... 30
1,734,900(degree)INFORMIX CORP .................... 17,132
3,000(degree)INFOSEEK CORP .................... 148
47,400(degree)INFOUSA, INC (CLASS A) ........... 231
76,500(degree)INFOUSA, INC (CLASS B) ........... 402
113,537(degree)INPRISE CORP ..................... 624
500(degree)INSO CORP ........................ 13
12,450(degree)INSPIRE INSURANCE SOLUTIONS, INC . 229
3,500(degree)INSURANCE AUTO AUCTIONS, INC ..... 42
500(degree)INTEGRATED SYSTEMS, INC .......... 7
72,300(degree)INTELLIGROUP, INC ................ 1,292
1,265(degree)INTERGRAPH CORP .................. 7
256,100(degree)INTERIM SERVICES, INC ............ 5,986
315,000(degree)INTERNATIONAL NETWORK SERVICES ... 20,948
223,300(degree)INTERNATIONAL TELECOMMUNICATIONS . 3,294
61,900 INTERPOOL, INC ..................... 1,037
1,203,400 INTERPUBLIC GROUP OF COS, INC ...... 95,971
400(degree)INTUIT, INC ...................... 29
2,200(degree)ISS GROUP, INC ................... 121
40,500 ISS INTERNATIONAL SERVICE
SYSTEM AS SERIES B ................ 2,634
658,800(degree)J.D. EDWARDS & CO ................ 18,693
600 JACK HENRY & ASSOCIATES, INC ....... 30
168,600(degree)JDA SOFTWARE GROUP, INC .......... 1,633
935,855(degree)KEANE, INC ....................... 37,376
260,715 KELLY SERVICES, INC (CLASS A) ...... 8,278
44,550(degree)KEPPEL LAND WTS 12/12/00 ......... 11
113,700 KONAMI CO LTD ...................... 3,296
141,050(degree)LABOR READY, INC ................. 2,777
306,188 LAGARDERE S.C.A. ................... 13,018
1,217,409(degree)LEARNING CO, INC ................. 31,577
84,800(degree)LEASING SOLUTIONS, INC ........... 345
18,400(degree)LEGATO SYSTEMS, INC .............. 1,213
164,100(degree)LHS GROUP, INC ................... 8,472
6,676(degree)LYCOS, INC ....................... 371
72,224(degree)M-WEB HOLDINGS LTD ............... 128
110,697(degree)MACNEAL-SCHWENDLER CORP .......... 775
61,200(degree)MACROMEDIA, INC .................. 2,062
63,400(degree)MANHATTAN ASSOCIATES, INC ........ 1,728
See notes to financial statements.
18
<PAGE>
VALUE
SHARES (000)
------ --------
BUSINESS SERVICES--(CONTINUED)
1,280,700 MANPOWER, INC ...................... $32,258
20,676(degree)MANUGISTICS GROUP, INC ........... 258
198,700(degree)MAPICS, INC ...................... 3,279
133,700(degree)MARCAM SOLUTIONS CORP ............ 836
1,200(degree)MASTECH CORP ..................... 34
20,700 MCGRATH RENTCORP ................... 455
1,100(degree)MEDICAL MANAGER CORP ............. 35
377,300(degree)MEDQUIST, INC .................... 14,903
472,800(degree)MEITEC CORP ...................... 11,820
1,037,600(degree)MENTOR GRAPHICS CORP ............. 8,820
14,700(degree)MERCURY INTERACTIVE CORP ......... 930
103,000 MERKANTILDATA ASA .................. 1,014
348,650(degree)METAMOR WORLDWIDE, INC ........... 8,716
141,500(degree)METRO INFORMATION SERVICES, INC .. 4,245
3,730(degree)MICRO FOCUS GROUP PLC ADR ........ 35
193,300(degree)MICROMUSE, INC ................... 3,769
14,446,473(degree)MICROSOFT CORP ................... 2,003,545
878(degree)MIDWAY GAMES, INC ................ 10
18,000(degree)MINDSPRING ENTERPRISES, INC ...... 1,099
518,900 MISYS PLC .......................... 3,779
51,400(degree)MOBIUS MANAGEMENT SYSTEMS, INC ... 765
42,500(degree)MODIS PROFESSIONAL SERVICES ...... 616
40,400 NAMCO LTD .......................... 813
313,100 NATIONAL COMPUTER SYSTEMS, INC ..... 11,585
462,555 NATIONAL DATA CORP ................. 22,521
139,400(degree)NCO GROUP, INC ................... 6,273
337(degree)NCR CORP ......................... 14
58,430(degree)NETMANAGE, INC ................... 108
34,191(degree)NETSCAPE COMMUNICATIONS CORP ..... 2,077
3,600(degree)NETSPEAK CORP .................... 41
486,600(degree)NETWORK APPLIANCE, INC ........... 21,897
64,700 (degree)NETWORK SOLUTIONS, INC (CLASS A) 8,468
972,780 (degree)NETWORKS ASSOCIATES, INC .... 64,447
900(degree)NEW ERA OF NETWORKS, INC ......... 40
191,900(degree)NEWBRIDGE NETWORKS CORP .......... 5,822
406 NIELSEN MEDIA RESEARCH ............. 7
1,100 NORRELL CORP ....................... 16
1,300(degree)NORSTAN, INC ..................... 23
900(degree)NOVA CORP (GEORGIA) .............. 31
73,100(degree)NOVACARE EMPLOYEE SERVICES, INC .. 393
370,600(degree)NOVELL, INC ...................... 6,717
4,980(degree)NTT DATA COMMUNICATIONS SYSTEM CORP 24,767
221,200 (degree)OBJECTIVE SYSTEMS INTEGRATORS, INC 1,023
32,200 (degree)ODS NETWORKS, INC ........... 97
380,194 OLSTEN CORP ........................ 2,804
1,731,700 OMNICOM GROUP, INC ................. 100,439
27,500(degree)ON ASSIGNMENT, INC ............... 949
900(degree)ONSALE, INC ...................... 36
3,500(degree)OPEN MARKET, INC ................. 41
6,197,037(degree)ORACLE CORP ...................... 267,247
35,450(degree)OUTDOOR SYSTEMS, INC ............. 1,064
1,979,346(degree)PARAMETRIC TECHNOLOGY CORP ....... 32,164
715,853 PAYCHEX, INC ....................... 36,822
115,600(degree)PAYMENTECH, INC .................. 2,139
149,400(degree)PEGASUS SYSTEMS, INC ............. 5,378
55,700(degree)PEGASYSTEMS, INC ................. 232
71,100(degree)PEOPLESOFT, INC .................. 1,346
47,300(degree)PEREGRINE SYSTEMS, INC ........... 2,194
11,000(degree)PERITUS SOFTWARE SERVICES, INC ... 7
544,048(degree)PERSONNEL GROUP OF AMERICA, INC .. 9,521
4,500(degree)PHOENIX TECHNOLOGIES LTD ......... 39
111,200 #(degree)PHYSICIAN COMPUTER NETWORK, INC 3
78,815(degree)PINKERTONS, INC .................. 1,680
596,800 PITTSTON BRINKS GROUP CO ........... 19,023
2,200(degree)PLATINUM SOFTWARE CORP ........... 28
637,000(degree)PLATINUM TECHNOLOGY, INC ......... 12,183
482,600(degree)POLICY MANAGEMENT SYSTEMS CORP ... 24,371
100(degree)PRECISION RESPONSE CORP .......... 1
1,300(degree)PREVIEW TRAVEL, INC .............. 24
2,279(degree)PRIMARK CORP ..................... 62
318,400(degree)PROGRESS SOFTWARE CORP ........... 10,746
111,000(degree)PROJECT SOFTWARE & DEVELOPMENT, INC 3,719
103,396 PROSEGUR COMPANIA DE SEGURIDAD S.A. 1,208
800(degree)PSINET, INC ...................... 17
6,200(degree)QAD, INC ......................... 22
47,300(degree)QRS CORP ......................... 2,270
123,200(degree)QUADRAMED CORP ................... 2,526
25,600(degree)QUINTEL COMMUNICATIONS ........... 48
700(degree)RADIANT SYSTEMS, INC ............. 5
3,500(degree)RADISYS CORP ..................... 105
889,023(degree)RATIONAL SOFTWARE CORP ........... 23,559
134,900(degree)REALNETWORKS, INC ................ 4,840
86,800(degree)REMEDY CORP ...................... 1,210
59,800(degree)REMEDYTEMP, INC (CLASS A) ........ 904
86,193(degree)RENT WAY, INC .................... 2,096
226,919(degree)RENTAL SERVICE CORP .............. 3,560
243,800(degree)RENTERS CHOICE, INC .............. 7,741
7,901,020 RENTOKIL INITIAL PLC ............... 59,550
822,850(degree)ROBERT HALF INTERNATIONAL, INC ... 36,771
315,414 ROLLINS, INC ....................... 5,520
642,053(degree)ROMAC INTERNATIONAL, INC ......... 14,286
4,223,145 RUETERS GROUP PLC .................. 44,337
1,023,900(degree)SABRE GROUP HOLDINGS, INC ........ 45,564
499,058(degree)SAFETY-KLEEN CORP ................ 7,049
19,100(degree)SANCHEZ COMPUTER ASSOCIATES, INC . 559
6,100(degree)SANTA CRUZ OPERATION, INC ........ 27
162,200 SAP AG. ............................ 70,115
161,400(degree)SAPIENT CORP ..................... 9,038
2,500(degree)SEATTLE FILMWORKS, INC ........... 12
272,300 SECOM CO LTD ....................... 22,595
471,600 SECURITAS AB SERIES B FREE ......... 7,331
219,412 SEI INVESTMENT CO .................. 21,804
261,200 SHARED MEDICAL SYSTEMS CORP ........ 13,027
928,817(degree)SIEBEL SYSTEMS, INC .............. 31,522
2,243,900 SIME DARBY BERHAD .................. 1,802
478,200(degree)SITEL CORP ....................... 1,166
500(degree)SNYDER COMMUNICATIONS, INC ....... 17
466,700(degree)SOFTWARE AG. SYSTEMS, INC ........ 8,459
29,512(degree)SOFTWARE PUBLISHING CORP HOLDINGS, INC 32
62,200(degree)SOS STAFFING SERVICES, INC ....... 451
597,934 SOTHEBYS HOLDINGS, INC (CLASS A) ... 19,134
118,700 (degree)SPR, INC .................... 2,048
69,100(degree)SS&C TECHNOLOGIES, INC 855
299,700(degree)STAFFMARK, INC ................... 6,706
10,633(degree)STERLING COMMERCE, INC ........... 478
1,159,038(degree)STERLING SOFTWARE, INC ........... 31,366
19,500 (degree)STRUCTURAL DYNAMICS RESEARCH CORP 388
2,379,700 (degree)SUN MICROSYSTEMS, INC ....... 203,762
25,000(degree)SUNGARD DATA SYSTEMS, INC ........ 992
11,700(degree)SUNQUEST INFORMATION SYSTEMS, INC 165
916,355(degree)SYBASE, INC ...................... 6,787
209,700(degree)SYKES ENTERPRISES, INC ........... 6,396
129,600(degree)SYMANTEC CORP .................... 2,819
3,867(degree)SYNOPSYS, INC .................... 210
111,850(degree)SYNTEL, INC ...................... 1,265
5,464 (degree)SYSTEM SOFTWARE ASSOCIATES, INC 38
470,432 (degree)SYSTEMS & COMPUTER TECHNOLOGY CORP 6,468
54,400(degree)SYSTEMSOFT CORP .................. 10
28,400(degree)TCSI CORP ........................ 59
2,450(degree)TECHNOLOGY SOLUTIONS CO .......... 26
1,400(degree)TELESPECTRUM WORLDWIDE, INC ...... 14
55,600(degree)TELETECH HOLDINGS, INC ........... 570
84,000(degree)TIETO CORP (CLASS B) ............. 3,766
190,700(degree)TMP WORLDWIDE, INC ............... 8,009
3,563,000 TOKYU CORP ......................... 9,381
106,199 TOTAL SYSTEM SERVICES, INC ......... 2,496
37,700 TRANS COSMOS ....................... 1,063
See notes to financial statements.
19
<PAGE>
VALUE
SHARES (000)
------ --------
BUSINESS SERVICES--(CONTINUED)
370,800(degree)TRANSACTION SYSTEM ARCHITECTURE .. $18,540
100(degree)TRANSITION SYSTEMS, INC .......... 2
319,300 TRUE NORTH COMMUNICATIONS, INC ..... 8,581
473,117(degree)UNITED RENTALS, INC .............. 15,672
224,050(degree)USWEB CORP ....................... 5,909
630,600(degree)VALASSIS COMMUNICATIONS, INC ..... 32,555
6,003(degree)VANSTAR CORP ..................... 56
65,200(degree)VANTIVE CORP ..................... 522
1,200(degree)VERIO, INC ....................... 27
33,200(degree)VERISIGN, INC .................... 1,963
235,827(degree)VERITAS SOFTWARE CORP ............ 14,135
269,700(degree)VIASOFT, INC ..................... 1,888
47,800 #VIGLEN TECHNOLOGY (LITIGATION NOTE) 0
5,000(degree)VINCAM GROUP, INC ................ 88
78,000(degree)VISIO CORP ....................... 2,852
1,500(degree)VOLT INFORMATION SCIENCES, INC ... 34
100 WACKENHUT CORP SERIES A ............ 3
290,102 WACKENHUT CORP SERIES B ............ 6,364
3,200(degree)WALKER INTERACTIVE SYSTEMS, INC .. 22
12,208(degree)WANG LABORATORIES, INC ........... 339
6,673(degree)WANG LABORATORIES, INC WTS 07/02/01 70
201,500(degree)WEST TELESERVICES CORP ........... 1,965
111,800(degree)WESTAFF, INC ..................... 699
2,617,261 WHARF HOLDINGS LTD ................. 3,817
134,962 #(degree)WHARF HOLDINGS LTD WTS 12/31/99 11
5,800(degree)WIND RIVER SYSTEMS, INC .......... 273
110,000 WM-DATA AB SERIES B ................ 4,695
692,000 WPP GROUP PLC ...................... 4,211
57,200 XTRA CORP .......................... 2,367
552,800(degree)YAHOO, INC ....................... 130,979
195,800(degree)YOUNG & RUBICAM, INC ............. 6,339
---------
6,781,914
---------
CHEMICALS AND ALLIED PRODUCTS--12.50%
11,743,856 ABBOTT LABORATORIES CO ............. 575,449
221,600(degree)ADVANCED TISSUE SCIENCE CO ....... 575
79,647 AFRICAN OXYGEN LTD ................. 95
31,000 AGA AB SERIES A FREE ............... 411
340,300 AGA AB SERIES B FREE ............... 4,471
366,738(degree)AGOURON PHARMACEUTICALS, INC ..... 21,546
192,051 AGRIUM, INC ........................ 1,688
829,446 AIR PRODUCTS & CHEMICALS, INC ...... 33,178
849,480 AKZO NOBEL NV ...................... 38,701
144,806 ALBEMARLE CORP ..................... 3,439
22,700 ALBERTO CULVER CO (CLASS A) ........ 573
260,367 ALBERTO CULVER CO (CLASS B) ........ 6,949
1,000(degree)ALGOS PHARMACEUTICAL CORP ........ 26
85,200(degree)ALKERMES, INC .................... 1,890
30,372 (degree)ALLERGAN SPECIALTY
THERAPEUTICS, INC (CLASS A) ....... 283
880,322 ALLERGAN, INC ...................... 57,001
26,200(degree)ALLIANCE PHARMACEUTICAL CORP ..... 86
22,900(degree)ALPHA BETA TECHNOLOGY, INC ....... 16
23,300 ALPHARMA, INC (CLASS A) ............ 823
600(degree)ALZA CORP ........................ 31
12,255,007 AMERICAN HOME PRODUCTS CORP ........ 690,110
2,078,700(degree)AMGEN, INC ....................... 217,354
77,500(degree)AMYLIN PHARMACEUTICALS, INC ...... 39
500(degree)APHTON CORP ...................... 6
84,349(degree)AQUILA BIOPHARMACEUTICALS, INC ... 327
2,556,000 ASAHI CHEMICAL INDUSTRY CO LTD ..... 12,213
3,989,336 ASTRA AB SERIES A FREE ............. 81,452
385,066 ASTRA AB SERIES B FREE ............. 7,838
205,500(degree)AVIRON, INC ...................... 5,317
1,094,488 AVON PRODUCTS, INC ................. 48,431
159,859(degree)AXYS PHARMACEUTICALS, INC ........ 939
1,000,000(degree)BANYU PHARMACEUTICAL CO LTD ...... 18,617
166,800(degree)BARR LABORATORIES, INC ........... 8,006
1,588,100 BASF AG. ........................... 60,641
1,822,450 BAYER AG. .......................... 76,100
135,200 BEIERSDORF AG. ..................... 9,335
730,200(degree)BIO-TECHNOLOGY GENERAL CORP ...... 5,066
904,700(degree)BIOGEN, INC ...................... 75,090
78,500(degree)BIOMATRIX, INC ................... 4,573
90,648 BLOCK DRUG, INC (CLASS A) .......... 3,932
2,167,918 BOC GROUP PLC ...................... 31,002
8,500(degree)BORDEN CHEMICALS & PLASTICS LTD .. 40
79,050(degree)BOSTON LIFE SCIENCES, INC ........ 257
8,192,822 BRISTOL MYERS SQUIBB CO ............ 1,096,302
712,500 CABOT CORP ......................... 19,905
144,881 CALGON CARBON CORP ................. 1,087
115,600 CAMBREX CORP ....................... 2,774
1,000(degree)CARBIDE/GRAPHITE GROUP, INC ...... 15
240,573 CARTER WALLACE, INC ................ 4,721
82,500 #CARTER WALLACE, INC (CLASS B) ...... 1,619
184,300(degree)CELL GENESYS, INC ................ 1,106
91,799(degree)CELL PATHWAYS, INC ............... 2,020
46,267(degree)CENTOCOR, INC .................... 2,088
208,300(degree)CEPHALON, INC .................... 1,875
60,400(degree)CHATTEM, INC ..................... 2,892
190,900 CHEMFIRST, INC ..................... 3,770
239,968(degree)CHIRON CORP ...................... 6,284
2,416,417(degree)CHIROSCIENCE GROUP PLC ........... 10,091
262,000 CHUGAI PHARMACEUTICAL CO LTD ....... 2,625
219,500 CHURCH & DWIGHT CO, INC ............ 7,888
4,000 CIN-CORPARACAO INDUSTRIAL
DO NORTE S.A ...................... 160
232,174 CLOROX CO .......................... 27,121
1,623,723 COLGATE PALMOLIVE CO ............... 150,803
6,000(degree)COLUMBIA LABORATORIES, INC ....... 18
4,200(degree)COPLEY PHARMACEUTICAL, INC ....... 44
162,300(degree)COR THERAPEUTICS, INC ............ 2,150
11,100(degree)COULTER PHARMACEUTICAL, INC ...... 333
90,800(degree)CREATIVE BIOMOLECULES, INC ....... 335
1,695(degree)CRESCENDO PHARMACEUTICALS CORP ... 23
1,154,000(degree)CROMPTON & KNOWLES CORP .......... 23,873
150,000(degree)CYGNUS, INC ...................... 731
545,557(degree)CYTEC INDUSTRIES, INC ............ 11,593
280,582(degree)CYTOGEN CORP ..................... 237
1,431,000 DAICEL CHEMICAL INDUSTRIES LTD ..... 4,263
544,000 DAIICHI PHARMACEUTICAL CO LTD ...... 9,206
553,000 DAINIPPON INK & CHEMICAL, INC ...... 1,515
387,710(degree)DEGUSSA AG. ...................... 21,311
384,000 DENKI KAGKU KOGYO .................. 626
377,440 DEXTER CORP ........................ 11,866
39,316 DIAGNOSTIC PRODUCTS CORP ........... 1,224
18,507 DIAL CORP .......................... 534
1,466,400 DOW CHEMICAL CO .................... 133,351
9,730,626 DU PONT (E.I.) DE NEMOURS & CO ..... 516,331
1,900(degree)DURA PHARMACEUTICALS, INC ........ 29
27,100 DYNO INDUSTRIER AS ................. 402
176,700(degree)E-Z-EM, INC (CLASS A) ............ 1,082
231,367(degree)E-Z-EM, INC (CLASS B) ............ 1,186
42,548 EASTMAN CHEMICAL CO ................ 1,904
120,360(degree)ECOGEN, INC ...................... 203
1,000,500 ECOLAB, INC ........................ 36,206
188,036 EISAI CO LTD ....................... 3,667
1,027,191(degree)ELAN CORP PLC ADR ................ 71,454
119,049(degree)ELEMENTIS PLC .................... 165
267,029 ELF SANOFI S.A. .................... 43,977
7,700(degree)EMISPHERE TECHNOLOGIES, INC ...... 120
4,396(degree)ENZON, INC ....................... 59
21,563(degree)EPITOPE, INC ..................... 127
19,700 ETHYL CORP ......................... 115
9,000 FABRICA ESP DE PRODUCTO
QUIMICO Y FARM .................... 146
581,171 FERRO CORP ......................... 15,110
750,267(degree)FMC CORP ......................... 42,015
See notes to financial statements.
20
<PAGE>
VALUE
SHARES (000)
------ --------
CHEMICALS AND ALLIED PRODUCTS--(CONTINUED)
192(degree)FOREST LABORATORIES, INC ......... $ 10
6,000(degree)FRENCH FRAGRANCES, INC ........... 44
38,200(degree)FUISZ TECHNOLOGIES LTD ........... 492
21,656 FULLER (H.B.) CO ................... 1,042
300(degree)GELTEX PHARMACEUTICALS, INC ...... 7
100(degree)GENENTECH, INC ................... 8
5,600 GENERAL CHEMICAL GROUP, INC ........ 78
468,681(degree)GENSIA SICOR, INC ................ 2,124
850,800(degree)GENZYME CORP (GENERAL DIVISION) .. 42,327
18,977(degree)GENZYME CORP (TISSUE REPAIR DIVISION) 43
117,612(degree)GENZYME-MOLECULAR ONCOLOGY ....... 382
326,020 GEON CO ............................ 7,498
456,781 GEORGIA GULF CORP .................. 7,337
100(degree)GILEAD SCIENCES, INC ............. 4
11,518,903 GLAXO WELLCOME PLC ................. 396,335
340,040(degree)GRACE W.R. & CO .................. 5,334
327,600 GREAT LAKES CHEMICAL CORP .......... 13,104
339,200 GREENCORE GROUP PLC ................ 1,568
12,300(degree)GUILFORD PHARMACEUTICALS, INC .... 175
737,844 HANNA (M.A.) CO .................... 9,085
1,568,100 HERCULES, INC ...................... 42,927
5,200(degree)HESKA CORP ....................... 23
451,700(degree)HUMAN GENOME SCIENCES, INC ....... 16,064
479 ICN PHARMACEUTICALS, INC ........... 11
1,900(degree)ICOS CORP ........................ 57
49,400(degree)IDEC PHARMACEUTICALS CORP ........ 2,322
87,900(degree)IDEXX LABORATORIES, INC .......... 2,365
1,397,937 IMC GLOBAL, INC .................... 29,881
54,157(degree)IMC GLOBAL, INC WTS 12/22/00 ..... 37
232,000(degree)IMCLONE SYSTEMS, INC ............. 2,103
242,500(degree)IMMUCOR, INC ..................... 2,122
228,600(degree)IMMUNE RESPONSE CORP ............. 2,486
196,100(degree)IMMUNEX CORP ..................... 24,672
339,000(degree)IMMUNOMEDICS, INC ................ 1,398
845,026 IMPERIAL CHEMICAL INDUSTRY PLC ..... 7,325
1,300(degree)INHALE THERAPEUTIC SYSTEMS ....... 43
244,900(degree)INTERNATIONAL SPECIALTY PRODUCTS, INC 3,321
145,600(degree)INTERNEURON PHARMACEUTICALS, INC . 478
1,053,647 INTERNATIONAL FLAVORS &
FRAGRANCES, INC ................... 46,558
158,000(degree)ISHIHARA SANGYO KAISHA LTD ....... 259
35,200(degree)ISIS PHARMACEUTICALS, INC ........ 455
731,259(degree)IVAX CORP ........................ 9,095
10,320,526 JOHNSON & JOHNSON CO ............... 865,634
382,900 JONES PHARMACEUTICAL, INC .......... 13,976
81,000 KAKEN PHARMACEUTICAL CO LTD ........ 289
1,510,000 KANEKA CORP ........................ 11,338
411,000 KANSAI PAINT CO LTD ................ 1,195
4,282,055 KAO CORP ........................... 96,801
208,900 KEMIRA OY .......................... 1,506
75,000(degree)KING PHARMACEUTICALS, INC ........ 1,978
209,490 KISSEI PHARMACEUTICALS CO LTD ...... 3,705
168,900 KONISHI CO LTD ..................... 1,346
3,800(degree)KOS PHARMACEUTICALS, INC ......... 22
550,000 KUREHA CHEMICAL INDUSTRY CO LTD .... 1,438
29,300(degree)KV PHARMACEUTICAL CO (CLASS B) ... 606
1,195,000 KYOWA HAKKO KOGYO .................. 5,911
25,000 LABORATORIO CHILE ADR .............. 359
68,997 L'AIR LIQUIDE ...................... 12,660
26,958 #L'AIR LIQUIDE (REGD) 1996 .......... 4,946
5,693 #L'AIR LIQUIDE (REGD) 1999 .......... 1,045
177,223 LAUDER (ESTEE) CO (CLASS A) ........ 15,153
425,290 LAWTER INTERNATIONAL, INC .......... 4,944
70,655 LEARONAL, INC ...................... 2,393
611,600(degree)LIGAND PHARMACEUTICALS CO (CLASS A) 7,110
7,436,105 LILLY (ELI) & CO ................... 660,884
251,414 LILLY INDUSTRIES, INC (CLASS A) .... 5,013
655,000 LION CORP .......................... 2,735
286,000(degree)LIPOSOME CO, INC ................. 4,415
178,170 LOREAL S.A. ........................ 128,854
941,631 LUBRIZOL CORP ...................... 24,188
680,311 LYONDELL CHEMICAL CO ............... 12,246
55,200 MACDERMID, INC ..................... 2,160
112,000 MALAYSIAN OXYGEN BERHAD ............ 149
1,057,350 MALLINCKRODT, INC .................. 32,580
1,283,650 +(degree)MARTEK BIOSCIENCES CORP ..... 10,269
29,500(degree)MATRIX PHARMACEUTICALS, INC ...... 77
73,566(degree)MCWHORTER TECHNOLOGIES, INC ...... 1,683
403(degree)MEDCO RESEARCH, INC .............. 10
1,668(degree)MEDICIS PHARMACEUTICAL CORP (CLASS A) 99
107,200(degree)MEDIMMUNE, INC ................... 10,660
9,859,559 MERCK & CO, INC .................... 1,456,134
391,300 MERCK & CO KGAA .................... 17,620
95,900(degree)METHANEX CORP .................... 499
1,307,520 MILLENNIUM CHEMICAL, INC ........... 25,987
365,200(degree)MILLENNIUM PHARMACEUTICALS, INC .. 9,450
4,400 MINERALS TECHNOLOGIES, INC ......... 180
91,900(degree)MIRAVANT MEDICAL TECHNOLOGY ...... 1,183
347,477 MISSISSIPPI CHEMICAL CORP .......... 4,865
4,315,000 MITSUBISHI CHEMICAL CORP ........... 9,104
649,000 MITSUBISHI GAS CHEMICAL CO, INC .... 1,801
1,400 MITSUI CHEMICAL CORP ............... 5
1,150(degree)MOLECULAR BIOSYSTEMS, INC ........ 3
6,126,175 MONSANTO CO ........................ 290,993
14,875,050 MONTEDISON S.P.A. .................. 19,799
424,400 MORTON INTERNATIONAL, INC .......... 10,398
2,098,454 MYLAN LABORATORIES, INC ............ 66,101
13,300(degree)NABI, INC ........................ 36
21,100 NALCO CHEMICAL CORP ................ 654
252,400 NATURES SUNSHINE PRODUCTS, INC ..... 3,849
285,730(degree)NBTY, INC ........................ 2,036
22,100 NCH CORP ........................... 1,315
58,400(degree)NEOPROBE CORP .................... 42
50,000#(degree)NETGENICS , INC STOCK OPTIONS 03/20/08 70
48,500(degree)NEUROGEN CORP .................... 849
208,272(degree)NEXSTAR PHARMACEUTICALS, INC ..... 1,927
749,000 NIPPON SHOKUBAI KAGAK KOGYO CO LTD . 4,037
232,500 NL INDUSTRIES, INC ................. 3,299
2,377 NORIT NV ........................... 23
1,138(degree)NORTH AMERICAN VACCINE, INC ...... 10
26,300 NOVARTIS AG. (BR) .................. 51,700
192,848 NOVARTIS AG. (REGD) ................ 379,097
195,120 NOVO NORDISK AS (CLASS B) .......... 25,752
8,375(degree)OCTEL CORP ....................... 116
728,790 OLIN CORP .......................... 20,634
25,690 OM GROUP, INC ...................... 938
55,734(degree)OMEGA PROTEIN CORP ............... 564
427,900(degree)ORGANOGENESIS, INC ............... 4,814
166,883 ORICA LTD .......................... 869
5,400(degree)PATHOGENESIS CORP ................ 313
76,850(degree)PENWEST PHARMACEUTICALS CO ....... 480
243,280(degree)PERRIGO CO ....................... 2,144
10,738,896 PFIZER, INC ........................ 1,347,060
15,342(degree)PHARMACEUTICAL RESOURCES, INC .... 73
3,651,627 PHARMACIA & UPJOHN, INC ............ 206,773
6,400(degree)PHARMACYCLICS, INC ............... 163
1,752,893 PPG INDUSTRIES, INC ................ 102,106
696,780 PRAXAIR, INC ....................... 24,561
12,203,358 PROCTER & GAMBLE CO ................ 1,114,319
286,500(degree)PROTEIN DESIGN LABORATORIES, INC . 6,625
175,800(degree)REGENERON PHARMACEUTICALS, INC ... 1,297
244,300(degree)REPLIGEN CORP .................... 313
88,292(degree)REVLON, INC (CLASS A) ............ 1,451
388,600(degree)REXALL SUNDOWN, INC .............. 5,440
200,000(degree)RHODIA S.A. ...................... 3,043
842,172 RHONE-POULENC S.A. (CLASS A) ....... 43,358
62,700(degree)RIBOZYME PHARMACEUTICALS, INC .... 274
See notes to financial statements.
21
<PAGE>
VALUE
SHARES (000)
------ --------
CHEMICALS AND ALLIED PRODUCTS--(CONTINUED)
8,000 RIKEN VITAMIN CO LTD ............... $ 71
342,800(degree)ROBERTS PHARMACEUTICAL CORP ...... 7,456
1,369 ROCHE HOLDINGS AG. (BR) ............ 24,794
29,265 ROCHE HOLDINGS AG. (GENUSSCHEINE) .. 357,103
87,100 (degree)ROGERS CORP ................. 2,602
1,763,785 ROHM & HAAS CO ..................... 53,134
2,057 RPM, INC ........................... 33
1,500(degree)SANGSTAT MEDICAL CORP ............ 32
1,519,196 SANKYO CO LTD ...................... 33,266
625,500(degree)SANTEN PHARMACEUTICAL CO LTD ..... 12,033
164,000(degree)SANYO CHEMICAL INDUSTRIES LTD .... 1,525
800(degree)SCHEIN PHARMACEUTICAL, INC ....... 12
109,470 SCHERING AG. ....................... 13,753
10,200,312 SCHERING-PLOUGH CORP ............... 563,567
590,577 SCHULMAN (A.), INC ................. 13,399
203,600(degree)SCOTTS CO (CLASS A) .............. 7,826
1,084,000 SEKISUI CHEMICAL CO LTD ............ 7,304
157,800(degree)SEQUUS PHARMACEUTICALS, INC ...... 3,195
6,900(degree)SEROLOGICALS CORP ................ 207
67,800 SHERWIN-WILLIAMS CO ................ 1,992
1,921,745 SHIN-ETSU CHEMICAL CO LTD .......... 46,340
686,000 SHIONOGI & CO LTD .................. 5,029
368,340 SHISEIDO & CO LTD .................. 4,741
430,000 SHOWA DENKO K.K. ................... 377
12,000 SIGMA ALDRICH CORP ................. 353
130 SIKA FINANZ AG. (BR) ............... 39
15,882,244 SMITHKLINE BEECHAM PLC ............. 221,969
9,191,490 SNIA BDP S.P.A. .................... 14,492
72,000 SOCIEDAD QUIMICA Y MINERA DE CHILE ADR 2,426
135,650 SOLVAY ET CIE S.A. ................. 10,227
71,964 SOMMER-ALLIBERT .................... 1,947
700(degree)SONUS PHARMACEUTICALS, INC ....... 5
21,185 STEPAN CO .......................... 564
57,800(degree)SUGEN, INC ....................... 853
3,050,000 SUMITOMO CHEMICAL CO LTD ........... 11,897
800(degree)SUPERGEN, INC .................... 7
26,475 SYNTHELABO S.A. .................... 5,607
517,000 TAISHO PHARMACEUTICAL CO LTD ....... 14,254
2,452,000 TAKEDA CHEMICAL INDUSTRIES LTD ..... 94,558
700(degree)TECHNE CORP ...................... 15
3,640,000(degree)TEIJIN LTD ....................... 13,424
1,000 TEIKOKU HORMONE MANUFACTURING ...... 6
327,200(degree)THERAGENICS CORP ................. 5,501
34,800(degree)THERATECH, INC ................... 566
6,704(degree)THERMOLASE CORP .................. 31
2,719,000 TORAY INDUSTRIES, INC .............. 14,222
298,000 TOSOH CORP ......................... 428
1,700(degree)TRANSKARYOTIC THERAPIES, INC ..... 43
64,300(degree)TRIANGLE PHARMACEUTICALS, INC .... 876
78,400(degree)TWINLAB CORP ..................... 1,029
401,228(degree)U.S. BIOSCIENCE, INC ............. 2,884
72,900(degree)U.S.A. DETERGENTS, INC ........... 529
416,000 UBE INDUSTRIES LTD ................. 631
2,361 UCB S.A. ........................... 14,570
7,888 UNION CARBIDE CORP ................. 335
56,300 VALSPAR CORP ....................... 2,101
6,800(degree)VERTEX PHARMACEUTICALS, INC ...... 202
106,500(degree)VICAL, INC ....................... 1,511
13,900(degree)VIROPHARMA, INC .................. 129
5,515,947 WARNER-LAMBERT CO .................. 414,730
1,158,238(degree)WATSON PHARMACEUTICALS, INC ...... 72,824
116,300 WELLMAN, INC ....................... 1,185
7,209 WITCO CORP ......................... 115
23,103(degree)XOMA CORP ........................ 74
1,648,849 YAMANOUCHI PHARMACEUTICAL CO LTD ... 53,207
1,770,979 ZENECA GROUP PLC ................... 77,111
75,000 ZENECA GROUP PLC ADR ............... 3,366
50,900(degree)ZILA, INC ........................ 503
16,292 ZODIAC S.A. ........................ 3,494
120,900(degree)ZONAGEN, INC ..................... 2,312
----------
14,541,458
----------
COAL MINING--0.00%
161,466 ARCH COAL, INC ..................... 2,765
2,156 HULLAS DEL COTO CORTES S.A. ........ 41
307,374 QCT RESOURCES LTD .................. 185
593,000 WANKIE COLLIERY CO LTD ............. 27
----------
3,018
----------
COMMUNICATIONS--12.08%
111,000(degree)@ENTERTAINMENT, INC .............. 749
183,100(degree)ADELPHIA COMMUNICATIONS
CORP (CLASS A) .................... 8,377
2,900(degree)AERIAL COMMUNICATIONS, INC ....... 17
121,000 AIPHONE CO LTD ..................... 1,073
3,676,815(degree)AIRTOUCH COMMUNICATIONS, INC ..... 265,190
376,190 ALCATEL ............................ 46,062
1,110(degree)ALCATEL S.A. ADR ................. 27
479,400 ALIANT COMMUNICATIONS, INC ......... 19,595
1,530,143 ALLTEL CORP ........................ 91,522
192,600(degree)AMERICAN MOBILE SATELLITE CORP ... 1,011
13,211,753 AMERITECH CORP ..................... 837,295
230 #(degree)ANTENA 3 DE TELEVISION GDS .. 6,733
60,600(degree)ARCH COMMUNICATIONS GROUP, INC ... 87
384,766(degree)ASCENT ENTERTAINMENT GROUP, INC .. 2,838
12,000 ASIA SATELLITE TELECOM HOLDINGS LTD 21
672(degree)ASSOCIATED GROUP, INC (CLASS A) .. 29
462,300(degree)ASSOCIATED GROUP, INC (CLASS B) .. 19,648
25,628,547 AT & T CORP ........................ 1,928,548
1,472,642 BCE, INC ........................... 55,464
13,402,214 BELL ATLANTIC CORP ................. 710,317
13,481,632 BELLSOUTH CORP ..................... 672,396
74,355 BHC COMMUNICATIONS, INC (CLASS A) .. 9,071
3,389,709 BRITISH SKY BROADCASTING GROUP PLC . 25,746
17,689,369 BRITISH TELECOMMUNICATIONS PLC ..... 266,503
5,320,337(degree)CABLE & WIRELESS COMMUNICATIONS PLC 48,597
4,385,985 CABLE & WIRELESS PLC ............... 53,928
1,550,600(degree)CABLEVISION SYSTEMS CORP (CLASS A) 77,821
27,574 CANAL PLUS S.A. .................... 7,528
123,800(degree)CAPSTAR BROADCASTING CORP (CLASS A) 2,832
944,876 CARLTON COMMUNICATIONS PLC ......... 8,694
10,138,007 CBS CORP ........................... 332,020
187,100(degree)CD RADIO, INC .................... 6,408
901 (degree)CELLULAR COMMUNICATIONS
INTERNATIONAL , INC ............... 61
184,783(degree)CELLULAR COMMUNICATIONS OF
PUERTO RICO ....................... 3,418
259,500(degree)CENTENNIAL CELLULAR CORP (CLASS A) 10,640
171,400 (degree)CENTURY COMMUNICATIONS
CORP (CLASS A) .................... 5,437
1,127,100 CENTURY TELEPHONE ENTERPRISES, INC . 76,079
47,000 CFW COMMUNICATIONS CO .............. 1,099
2,199,100(degree)CHANCELLOR MEDIA CORP (CLASS A) .. 105,282
392(degree)CHRIS CRAFT INDUSTRIES, INC ...... 19
1,218,200 CIA DE TELECOMMUNICACIONES CHILE ADR 25,202
1,969,479 CINCINNATI BELL, INC ............... 74,471
2,793,061(degree)CLEAR CHANNEL COMMUNICATIONS, INC 152,222
735,000(degree)COLT TELECOM GROUP PLC ........... 10,963
750,000(degree)COLT TELECOM GROUP PLC ADR ....... 44,906
36,700(degree)COM21, INC ....................... 771
688,900 COMCAST CORP (CLASS A) ............. 39,569
1,921,335 COMCAST CORP (CLASS A) SPECIAL ..... 112,758
70,233(degree)COMMONWEALTH TELEPHONE ENTERPRISES 2,353
1,800 COMSAT CORP SERIES 1 ............... 65
1,000(degree)CONCENTRIC NETWORK CORP .......... 33
86,383(degree)CORECOMM LTD ..................... 1,361
607,589(degree)COX COMMUNICATIONS, INC (CLASS A) 42,000
72,100(degree)COX RADIO, INC (CLASS A) ......... 3,046
See notes to financial statements.
22
<PAGE>
VALUE
SHARES (000)
------ --------
COMMUNICATIONS--(CONTINUED)
12,500(degree)CROWN CASTLE INTERNATIONAL CORP .. $ 294
5,316,400 DEUTSCHE TELEKOM AG. ............... 174,915
166,066(degree)DIMENSION DATA HOLDINGS LTD ...... 706
1,200(degree)E.SPIRE COMMUNICATIONS, INC ...... 8
146,400(degree)ELECTRIC LIGHTWAVE (CLASS A) ..... 1,199
5,230,000(degree)EMBRATEL PARTICIPACOES S.A. ...... 45
12,100(degree)EMMIS COMMUNICATIONS (CLASS A) ... 525
437,000(degree)ENERGIS PLC ...................... 9,779
6,046,217 ERICSSON TELEFON (LM) AB SERIES B .. 143,961
155,000(degree)ESPRIT TELECOM GROUP PLC ADR ..... 7,246
115,000(degree)EXODUS COMMUNICATIONS, INC ....... 7,389
2,157,276 FRANCE TELECOM S.A. ................ 171,464
564,096 FRONTIER CORP ...................... 19,179
744,000 FUJIKURA LTD ....................... 3,997
23,506 GAYLORD ENTERTAINMENT CO ........... 708
148,000(degree)GENERAL COMMUNICATIONS (CLASS A) . 601
600(degree)GLOBAL TELESYSTEMS GROUP, INC .... 33
47,750 GN STORE NORD AS-GN GREAT NORDIC ... 1,688
2,500 GRAY COMMUNICATIONS SYSTEMS, INC ... 46
7,166,962 GTE CORP ........................... 465,853
327,400(degree)HEARST-ARGYLE TELEVISION, INC .... 10,804
51,000(degree)HEFTEL BROADCASTING CORP (CLASS A) 2,512
107,100(degree)HIGHWAYMASTER COMMUNICATIONS, INC 120
16,980,510 HONG KONG TELECOMMUNICATIONS LTD ... 29,699
400,000(degree)HYPERION TELECOMMUNICATIONS, INC
(CLASS A) ......................... 6,050
194,125(degree)ICG COMMUNICATIONS, INC .......... 4,174
163,400(degree)IDT CORP ......................... 2,512
81,789(degree)INTERMEDIA COMMUNICATIONS, INC ... 1,411
93,100(degree)ITC DELTACOM, INC ................ 1,420
6,600(degree)JACOR COMMUNICATIONS, INC ........ 425
214,700(degree)JACOR COMMUNICATIONS, INC
WTS 09/18/01 ...................... 1,718
86,500(degree)JONES INTERCABLE, INC (CLASS A) .. 3,082
1,035,418 KONINKLIJKE KPN NV ................. 51,862
7,000(degree)LCC INTERNATIONAL, INC (CLASS A) . 26
156,067(degree)LEAP WIRELESS INTERNATIONAL, INC . 1,131
1,060,700(degree)LEVEL 3 COMMUNICATIONS, INC ...... 45,743
2,144,194(degree)LIBERTY MEDIA GROUP (CLASS A) .... 98,767
4,900(degree)LIGHTBRIDGE, INC ................. 27
600(degree)LORAL SPACE & COMMUNICATIONS LTD . 11
11,009,126 LUCENT TECHNOLOGIES, INC ........... 1,211,004
350,000 MAHANAGAR TELEPHONE NIGAM LTD GDR .. 4,270
20,505,551(degree)MCI WORLDCOM, INC ................ 1,471,273
34,800(degree)MCLEODUSA, INC (CLASS A) ......... 1,088
3,774,546(degree)MEDIA ONE GROUP, INC ............. 177,404
1,842,830 MEDIASET S.P.A. .................... 14,974
26,200(degree)METROCALL, INC ................... 115
7,100(degree)METROMEDIA FIBER NETWORK (CLASS A) 238
57,200(degree)MGC COMMUNICATIONS, INC .......... 400
723(degree)MILLICOM INTERNATIONAL CELLULAR S.A. 25
4,700(degree)MITEL CORP ....................... 34
254,200(degree)NETCOM AB SERIES B ............... 10,349
8,400(degree)NEXTEL COMMUNICATIONS, INC (CLASS A) 198
68,100(degree)NEXTLINK COMMUNICATIONS, INC ..... 1,932
66,000 NIPPON COMSYS CORP ................. 900
35,621 NIPPON TELEGRAPH & TELEPHONE CORP .. 275,367
18,920 NIPPON TELEVISION NETWORK CORP ..... 5,585
700 NORTH PITTSBURGH SYSTEMS, INC ...... 9
350,022(degree)NTL, INC ......................... 19,754
514(degree)NTT MOBILE COMMUNICATIONS ........ 21,189
1,459,000(degree)OMNIPOINT CORP ................... 13,587
9,600(degree)PACIFIC GATEWAY EXCHANGE, INC .... 461
106,400(degree)PAGEMART WIRELESS, INC (CLASS A) . 592
1,538,600(degree)PAGING NETWORK, INC .............. 7,212
38,000(degree)PANAFON HELLENIC TELECOM GDR ..... 1,010
942(degree)PANAMSAT CORP .................... 37
36,500(degree)PAXSON COMMUNICATIONS CORP ....... 335
2,300(degree)PEGASUS COMMUNICATIONS CORP ...... 58
500(degree)PERPHONICS CORP .................. 7
94,400(degree)PLD TELEKOM, INC ................. 171
332,495 PORTUGAL TELECOM S.A. .............. 15,245
162,700(degree)POWERTEL, INC .................... 2,207
535,516(degree)PREMIERE TECHNOLOGIES, INC ....... 3,949
600,000(degree)PRICE COMMUNICATIONS CORP ........ 7,763
1,900(degree)PRIMUS TELECOMMUNICATIONS GROUP, INC 31
28,313(degree)QWEST COMMUNICATIONS
INTERNATIONAL , INC ............... 1,416
554,500(degree)RCN CORP ......................... 9,808
477,400(degree)ROGERS COMMUNICATIONS, INC (CLASS B) 4,243
125,000(degree)RSL COMMUNICATIONS LTD (CLASS A) . 3,688
23,231,844 SBC COMMUNICATIONS, INC ............ 1,245,808
8,126,200 SINGAPORE TELECOMMUNICATIONS LTD ... 12,411
1,090,600(degree)SKYTEL COMMUNICATIONS, INC ....... 24,130
93,200(degree)SMARTALK TELESERVICES, INC ....... 248
700,000 SMARTONE TELECOMMUNICATIONS
HOLDINGS LTD ...................... 1,943
1,292,059(degree)SONERA GROUP OYJ ................. 22,966
1,886,901 SPRINT CORP (FON GROUP) ............ 158,736
1,124,600(degree)SPRINT CORP (PCS GROUP) .......... 26,006
1,615(degree)STAR TELECOMMUNICATIONS, INC ..... 20
367,600(degree)SWISSCOM AG. (REGD) .............. 153,892
565,200 TCA CABLE TV, INC .................. 20,171
1,070,449(degree)TCI SATELLITE ENTERTAINMENT (CLASS A) 1,539
1,044,000 TECHNOLOGY RESOURCES
INDUSTRIES BERHAD ................. 381
2,000(degree)TEL-SAVE.COM, INC ................ 34
146,300 TELE DANMARK AS .................... 19,746
3,082,930(degree)TELE-COMMUNICATIONS, INC (CLASS A) 170,525
5,230,000 TELEBRAS S.A. ...................... 0
735,000(degree)TELEC DE SAO PAULO S.A. .......... 63
5,230,000(degree)TELECENTRO-SUL PARTICIPACOES S.A. 35
5,230,000(degree)TELECENTROESTE CELULAR PART S.A. . 4
7,824,460 TELECOM CORP OF NEW ZEALAND ........ 34,103
18,118,681 TELECOM ITALIA ..................... 154,919
32,085,696 TELECOM ITALIA MOBILE S.P.A. ....... 225,566
4,226,386 TELECOM ITALIA RISP ................ 26,654
3,212,734(degree)TELECOM-TCI VENTURES GROUP (CLASS A) 75,700
1,191,441 TELEFONICA DE ARGENTINA S.A. (CLASS B) 3,399
2,839,999 TELEFONICA DE ESPANA S.A. .......... 126,471
2,290,000 TELEFONOS DE MEXICO S.A. SERIES L .. 5,650
130,827(degree)TELEGLOBE, INC (U.S.A.) .......... 4,710
108,700(degree)TELEGROUP, INC ................... 143
3,091,500 TELEKOM MALAYSIA BERHAD ............ 5,693
5,230,000(degree)TELELESTE CELULAR PARTICIPACOES S.A. 2
5,230,000(degree)TELEORDESTE CELULAR PARTICIPACOES S.A 3
5,230,000(degree)TELENORTE CELULAR PARTICIPACOES S.A. 2
5,230,000(degree)TELENORTE-LESTE PARTICIPACOES S.A. 43
5,230,000(degree)TELEMIG CELULAR PARTICIPACOES S.A. 4
246 TELEPHONE & DATA SYSTEMS, INC ...... 11
5,230,000(degree)TELESP CELULAR PARTICIPACOES S.A. 23
5,230,000(degree)TELESP PARTICIPACOES S.A. ........ 67
5,230,000(degree)TELESUDESTE CELULAR PARTICIPACOES S.A. 15
5,230,000(degree)TELESUL CELULAR PARTICIPACOES S.A. 5
887,700 TELEVISION BROADCASTS LTD .......... 2,292
6,000(degree)TELIGENT, INC .................... 173
8,077,606(degree)TELSTRA CORP ..................... 37,805
270,600 TELUS CORP ......................... 5,726
223,000 TOKYO BROADCASTING SYSTEMS, INC .... 2,497
107,900(degree)TRANSACTION NETWORK SERVICES, INC 2,165
2,221(degree)U.S. CELLULAR CORP ............... 84
112,500(degree)U.S. LEC CORP (CLASS A) .......... 1,666
110,500(degree)U.S. SATELLITE BROADCASTING, INC
(CLASS A) ......................... 1,519
4,232,967 U.S. WEST, INC ..................... 273,555
688,134(degree)U.S.A. NETWORKS, INC ............. 22,794
41,100(degree)UNITED INTERNATIONAL HOLDINGS, INC 791
See notes to financial statements.
23
<PAGE>
VALUE
SHARES (000)
------ --------
COMMUNICATIONS--(CONTINUED)
332,200 UNITED TELEVISION, INC ............. $ 38,203
299,900(degree)UNITED VIDEO SATELLITE GROUP, INC 7,085
310,935(degree)UNIVISION COMMUNICATIONS, INC .... 11,252
64,500(degree)USN COMMUNICATIONS, INC .......... 12
339,900(degree)VANGUARD CELLULAR SYSTEMS, INC ... 8,774
453,987(degree)VIACOM, INC (CLASS A) ............ 33,396
1,609,809(degree)VIACOM, INC (CLASS B) ............ 119,126
147,686(degree)VIACOM, INC (CLASS B) WTS 07/07/99 1,689
890,300(degree)VIATEL, INC ...................... 20,366
149,750 VIDESH SANCHAR NIGAM LTD (SPONS GDR) 1,834
9,603,674 VODAFONE GROUP PLC ................. 155,951
626,100(degree)WESTERN WIRELESS CORP (CLASS A) .. 13,774
200(degree)WINSTAR COMMUNICATIONS, INC ...... 8
11,600(degree)YOUNG BROADCASTING, INC (CLASS A) 486
----------
14,061,824
----------
DEPOSITORY INSTITUTIONS--9.44%
3,224,052(degree)ABBEY NATIONAL PLC ............... 69,037
3,901,616(degree)ABN-AMRO HOLDINGS NV ............. 82,120
193,799 ABSA GROUP LTD ..................... 919
5,400 ALABAMA NATIONAL BANCORP ........... 144
415,095 ALLIED IRISH BANK .................. 7,390
2,204,300(degree)ALLIED IRISH BANK PLC ............ 39,538
221 ALLIED IRISH BANK PLC (SPONS ADR) .. 24
120,100 AMCORE FINANCIAL, INC .............. 2,749
362,800 AMMB HOLDINGS BERHAD ............... 299
962,105 AMSOUTH BANCORP .................... 43,896
571,900 ANCHOR BANCORP WISCONSIN, INC ...... 13,726
400 ANDOVER BANCORP, INC ............... 14
277,200(degree)APPLIED INTERNATIONAL HOLDINGS
LTD WTS 12/30/99 .................. 0
11,600 AREA BANCSHARES CORP ............... 305
1,708,400 ARGENTARIA, CAJA POSTAL Y BCO HIPOTECA 44,309
4,419,486 ASAHI BANK LTD ..................... 16,220
747,000 ASHIKAGA BANK LTD .................. 1,338
1,236,716 ASSOCIATED BANC-CORP ............... 42,280
795,080 ASTORIA FINANCIAL CORP ............. 36,375
1,653,808 AUSTRALIAN & NEW ZEALAND
BANKING GROUP LTD ................. 10,834
4,909,090(degree)BANCA COMMERCIALE ITALIANA S.P.A. 33,936
2,717,210(degree)BANCA INTESA S.P.A. .............. 16,337
5,840,420(degree)BANCA INTESA S.P.A. RISP ......... 17,850
5,000(degree)BANCA POPOLARE DI BRESCIA ........ 122
2,630,500 BANCA POPOLARE DI MILANO ........... 23,927
1,000 BANCFIRST CORP ..................... 36
5,800 BANCFIRST OHIO CORP ................ 176
64,880(degree)BANCO AMBROSIANO VENETO RISP
WTS 05/31/02 ...................... 44
843,540(degree)BANCO AMBROSIANO VENETO WTS 05/31/02 1,067
4,650,100 BANCO BILBAO VIZCAYA S.A. (REGD) ... 73,019
5,746,641 BANCO CENTRALE HISPANOAMERICANO S.A. 68,337
489,632 BANCO COMERCIAL PORTUGUES S.A. (REGD) 15,053
38,600 BANCO DE A. EDWARDS S.P.A. ADR ..... 425
252,881 BANCO DE GALICIA BUENOS AIRES S.A.
SERIES A .......................... 1,114
5,123 BANCO DE GALICIA Y BUENOS AIRES ADR 90
50,000(degree)BANCO DI NAPOLI .................. 71
290,787 BANCO ESPIRITO SANTO E COMERCIAL ... 9,025
129,261 BANCO FRANCES S.A. ................. 919
5,000(degree)BANCO INTERCONTINENTAL ESPANOLA S.A. 185
12,720(degree)BANCO PINTO & SOTTO MAYOR S.A. ... 241
2,345,296 BANCO SANTANDER S.A. ............... 46,676
175,000 BANCO SANTIAGO ADR ................. 2,603
246,551 BANCORPSOUTH, INC .................. 4,453
330,200 BANCWEST CORP ...................... 15,850
171,570(degree)BANK AUSTRIA AG. ................. 8,729
1,420,990 BANK OF EAST ASIA LTD .............. 2,476
9,200 BANK OF GRANITE CORP ............... 254
609,700 BANK OF MONTREAL ................... 24,491
5,621,672 BANK OF NEW YORK CO, INC ........... 226,272
1,129,744 BANK OF NOVA SCOTIA ................ 24,823
1,900 BANK OF OKINAWA LTD ................ 41
9,947,830 BANK OF TOKYO MITSUBISHI LTD ....... 103,182
3,588,000 BANK OF YOKOHAMA LTD ............... 8,620
11,012,450 BANK ONE CORP ...................... 562,323
3,000(degree)BANK PLUS CORP ................... 13
270,500 BANK UNITED CORP (CLASS A) ......... 10,617
17,365,257 BANKAMERICA CORP ................... 1,044,086
2,850 BANKATLANTIC BANCORP, INC (CLASS A) 18
85,100 BANKATLANTIC BANCORP, INC (CLASS B) 606
2,784,900 BANKBOSTON CORP .................... 108,437
949,718 BANKERS TRUST CORP ................. 81,142
112,700 BANKNORTH GROUP, INC ............... 4,240
698,857(degree)BANQUE NATIONALE DE PARIS ........ 57,573
4,144,344(degree)BARCLAYS PLC ..................... 89,364
825,802 BAY VIEW CAPITAL CORP .............. 17,910
1,789,204(degree)BAYERISCHE HYPO-UND VEREINSBANK AG. 140,184
1,466,301 BB&T CORP .......................... 59,110
954,000(degree)BHF-BANK AG. ..................... 38,375
11,124(degree)BOK FINANCIAL CORP ............... 524
192,400 BPI-SGPS S.A. (REGD) ............... 6,529
9,096,185(degree)BRADESCO S.A. RTS ................ 5
43,440 BRENTON BANKS, INC ................. 728
16,200 BSB BANCORP, INC ................... 533
4,600 BT FINANCIAL CORP .................. 126
73,900(degree)CALIFORNIA FEDERAL BANK .......... 896
134,720 (degree)CALIFORNIA FEDERAL BANK
GOODWILL CERT ..................... 1,667
932,957 CANADIAN IMPERIAL BANK OF
COMMERCE .......................... 23,081
800 CAROLINA FIRST CORP ................ 20
8,000 CATHAY BANCORP, INC ................ 328
389,800 CCB FINANCIAL CORP ................. 22,219
17,200(degree)CENTENNIAL BANCORP ............... 323
86,100 CENTURA BANKS, INC ................. 6,404
2,500 CENTURY SOUTH BANKS, INC ........... 70
10,000 CFSB BANCORP, INC .................. 244
5,565,977 CHARTER ONE FINANCIAL, INC ......... 154,456
7,762,087 CHASE MANHATTAN CORP ............... 528,307
4,000 CHEMICAL FINANCIAL CORP ............ 136
1,574,540 CHIBA BANK LTD ..................... 6,267
92,350 CHITTENDEN CORP .................... 2,955
2,609,900(degree)CHRISTIANIA BANK OG KREDITKASSE .. 9,043
59,700 CITIZENS BANKING CORP (MICHIGAN) ... 2,015
24,300 CITY NATIONAL CORP ................. 1,011
61,738 CNB BANCSHARES, INC ................ 2,879
350,100 COLONIAL BANCGROUP, INC ............ 4,201
1,606,808 COMERICA, INC ...................... 109,564
746,666 COMMERCE ASSET HOLDINGS BERHAD ..... 404
270,182 COMMERCE BANCORP, INC .............. 14,185
160,108 COMMERCE BANCSHARES, INC ........... 6,805
22,375 COMMERCIAL FEDERAL CORP ............ 519
817,000 COMMONWEALTH BANK OF AUSTRALIA LTD . 11,608
48,600 COMMUNITY BANK SYSTEM, INC ......... 1,425
179,900 COMMUNITY FIRST BANKSHARES, INC .... 3,789
48,100 COMMUNITY TRUST BANCORP, INC ....... 1,130
763,300 COMPASS BANCSHARES, INC ............ 29,053
558,055(degree)CONCORD EFS, INC ................. 23,648
31,300 CORUS BANKSHARES, INC .............. 1,009
25,279(degree)CREDIT COMMERCIAL DE FRANCE S.A. . 2,349
696,438 CREDIT SUISSE GROUP (REGD) ......... 109,017
693,307 CRESTAR FINANCIAL CORP ............. 49,918
1 #CRESTARAN INTERNATIONAL
INVESTMENT BV ..................... 0
311,600 CULLEN FROST BANKERS, INC .......... 17,099
20,795 CVB FINANCIAL CORP ................. 468
33,700 D & N FINANCIAL CORP ............... 796
1,645,000 DAO HENG BANK GROUP LTD ............ 5,085
See notes to financial statements.
24
<PAGE>
VALUE
SHARES (000)
------ --------
DEPOSITORY INSTITUTIONS--(CONTINUED)
170,400(degree)DEN DANSKE BANK AF 1871 .......... $22,891
3,512,000 DEN NORSKE BANK ASA ................ 12,123
1,192,930 DEUTSCHE BANK AG. .................. 70,225
814,325 DEVELOPMENT BANK OF
SINGAPORE LTD (FR) ................ 7,354
1,765,500 DIME BANCORP, INC .................. 46,675
124,700 DIME COMMUNITY BANCORP, INC ........ 2,572
38,295 DOWNEY FINANCIAL CORP .............. 974
936,860(degree)DRESDNER BANK AG. ................ 39,373
20,000 #(degree)EAST-WEST BANKING CORP ...... 185
5,000 EVERGREEN BANCORP, INC ............. 161
15,300 F & M BANCORP, INC (MARYLAND) ...... 501
32,020 F & M BANCORP, INC (WISCONSIN) ..... 969
88,600 F & M NATIONAL CORP ................ 2,652
25,180 F.N.B. CORP ........................ 711
3,000 FARMERS CAPITAL BANK CORP .......... 113
976,349 FIFTH THIRD BANCORP ................ 69,626
367,433 FIRST AMERICAN CORP ................ 16,305
172,000 FIRST BANCORP (PUERTO RICO) ........ 5,192
10,200 FIRST CHARTER CORP ................. 176
20,500 FIRST CITIZENS BANCSHARES, INC (CLASS A) 1,845
500 FIRST COMMERCE BANCSHARES, INC ..... 14
84,171 FIRST COMMONWEALTH FINANCIAL CORP .. 2,062
48,000 FIRST FEDERAL CAPITAL CORP ......... 786
74,580(degree)FIRST FINANCIAL BANCORP .......... 2,158
920 FIRST FINANCIAL BANKSHARES, INC .... 32
2,800 FIRST FINANCIAL CORP (INDIANA) ..... 138
17,400 FIRST FINANCIAL HOLDINGS, INC ...... 331
29,100 FIRST INDIANA CORP ................. 582
26,100 FIRST LIBERTY FINANCIAL CORP ....... 548
12,450 FIRST MERCHANTS CORP ............... 325
370,005 FIRST MIDWEST BANCORP, INC ......... 14,083
74,500(degree)FIRST REPUBLIC BANK .............. 1,867
1,830,968 FIRST SECURITY CORP ................ 42,799
1,700 FIRST SENTINEL BANCORP, INC ........ 14
10,700 FIRST SOURCE CORP .................. 358
1,216,200 FIRST TENNESSEE NATIONAL CORP ...... 46,292
6,859,549 FIRST UNION CORP ................... 417,146
44,800 FIRST UNITED BANCSHARES, INC ....... 795
420,925 FIRST VIRGINIA BANKS, INC .......... 19,783
41,960 FIRST WASHINGTON BANCORP, INC ...... 1,007
43,004 FIRST WESTERN BANCORP, INC ......... 1,365
693,285 FIRSTAR CORP ....................... 64,649
333,900(degree)FIRSTFED FINANCIAL CORP .......... 5,968
425,600 FIRSTMERIT CORP .................... 11,438
76,900 FLAGSTAR BANCORP, INC .............. 2,009
9,334,746 FLEET FINANCIAL GROUP, INC ......... 417,146
849,000(degree)FORENINGSSPARBANKEN AB ........... 21,995
7,644,000(degree)FPB BANK HOLDINGS CO LTD ......... 1,845
200(degree)FRONTIER FINANCIAL CORP .......... 9
3,694,334 FUJI BANK LTD ...................... 13,624
197,550 FULTON FINANCIAL CORP .............. 4,445
104,500 GBC BANCORP ........................ 2,691
267,000(degree)GOLD ZACK AG. .................... 42,480
750,000(degree)GOLDEN STATE BANCORP, INC ........ 12,469
731,200(degree)GOLDEN STATE BANCORP, INC WTS 01/01/01 3,336
652,500 GOLDEN WEST FINANCIAL CORP ......... 59,826
34,540 GRAND PREMIER FINANCIAL, INC ....... 423
100 GREATER BAY BANCORP ................ 3
194,400 GREENPOINT FINANCIAL CORP .......... 6,828
159,506(degree)GRUPO FINANCIERO BANAMEX ACCIVAL
S.A. DE CV SERIES L ............... 184
817,000 GUNMA BANK LTD ..................... 6,497
29,200(degree)HAMILTON BANCORP, INC ............ 779
26,000 HANCOCK HOLDINGS CO ................ 1,183
2,689,259 HANG SENG BANK LTD ................. 24,038
6,009 HARBOR FLORIDA BANCSHARES, INC ..... 67
5,700 HARLEYSVILLE NATIONAL CORP ......... 222
3,800 HARRIS FINANCIAL, INC .............. 52
639,011 HIBERNIA CORP (CLASS A) ............ 11,103
460,000 HIGO FAMILY BANK LTD ............... 2,108
2,651,000(degree)HOKURIKU BANK LTD ................ 4,771
6,000 HORIZON BANCORP, INC ............... 204
3,062,774 HSBC HOLDINGS PLC .................. 77,457
1,129,660 HSBC HOLDINGS PLC (H.K.) ........... 28,142
751,549 HSBC HOLDINGS LTD (U.K.) ........... 20,382
411,557 HUBCO, INC ......................... 12,398
1,212,996 HUNTINGTON BANCSHARES, INC ......... 36,466
1,304,116(degree)IMPERIAL BANCORP ................. 21,681
500 INDEPENDENCE COMMUNITY BANK CORP ... 8
40,600 INDEPENDENT BANK CORP .............. 705
4,352,223 INDUSTRIAL BANK OF JAPAN LTD ....... 20,102
37,400 INTERNATIONAL BANCSHARES CORP ...... 1,893
30,950 INTERWEST BANCORP, INC ............. 685
25,400 INVESTEC GROUP LTD ................. 864
29,800 IRWIN FINANCIAL CORP ............... 810
700 JEFFBANKS, INC ..................... 14
6,600 JEFFERSON SAVINGS BANCORP, INC ..... 87
819,305 JOYO BANK .......................... 3,210
23,646 JSB FINANCIAL, INC ................. 1,286
816,025(degree)KBC BANCASSURANCE HOLDINGS NV .... 64,610
5,721,040 KEYCORP ............................ 183,073
121,932 KEYSTONE FINANCIAL, INC ............ 4,511
93,200#(degree)KUMAGI GUMI WTS 12/31/99 ........ 7
2,512,000(degree)KWONG ON BANK LTD ................ 2,967
12,669,029(degree)LLOYDS TSB GROUP PLC ............. 180,223
84,130(degree)LOCAL FINANCIAL CORP ............. 757
32,397 M & T BANK CORP .................... 16,812
292,800 MAF BANCORP, INC ................... 7,759
4,000 MAHONING NATIONAL BANCORP, INC ..... 124
9,200 MAINSTREET FINANCIAL CORP .......... 427
2,238,200 MALAYAN BANKING BERHAD ............. 3,174
539,258 MARSHALL & ILSLEY CORP ............. 31,513
5,912,014 MBNA CORP .......................... 147,431
2,075,736 MELLON BANK CORP ................... 142,707
919,960 MERCANTILE BANCORP, INC ............ 42,433
361,739 MERCANTILE BANKSHARES CORP ......... 13,927
2,600 MERCHANTS NEW YORK BANCORP, INC .... 94
2,808,265(degree)MERITA LTD ....................... 17,859
8,000 MICHINOKU BANK LTD ................. 44
29,742 MID-AMERICA BANCORP ................ 807
10,200 MISSISSIPPI VALLEY BANCSHARES ...... 344
2,290,000 MITSUBISHI TRUST & BANKING CORP .... 14,759
868,000 MITSUI TRUST & BANKING CO LTD ...... 993
1,275,227 MORGAN (J.P.) & CO, INC ............ 133,979
4,751,852 NATIONAL AUSTRALIA BANK LTD ........ 71,704
50,400 NATIONAL BANCORP OF ALASKA, INC .... 1,701
509,668 NATIONAL BANK OF CANADA ............ 8,229
9,500(degree)NATIONAL CITY BANCORP ............ 249
27,930 NATIONAL CITY BANCSHARES, INC ...... 1,042
2,700,904 NATIONAL CITY CORP ................. 195,816
1,400 NATIONAL COMMERCE BANCORP .......... 26
2,300 NATIONAL PENN BANCSHARES, INC ...... 63
88,590(degree)NATIONAL PROCESSING, INC ......... 487
3,980,000 NATIONAL WESTMINSTER BANK PLC ...... 76,748
26,914 NBT BANCORP, INC ................... 629
60,969 NEDCOR LTD ......................... 1,038
1,781,420 NORTH FORK BANCORP, INC ............ 42,643
1,185,843 NORTHERN TRUST CORP ................ 103,539
24,900(degree)NORTHWEST BANCORP, INC ........... 243
40,100 OCEAN FINANCIAL CORP ............... 667
303,913 OCWEN ASSET INVESTMENT ............. 1,463
94,500(degree)OCWEN FINANCIAL CORP ............. 1,164
865,337 OLD KENT FINANCIAL CORP ............ 40,238
103,699 OLD NATIONAL BANCORP ............... 5,781
3,200 OMEGA FINANCIAL CORP ............... 97
191,650 ONE VALLEY BANCORP, INC ............ 6,300
See notes to financial statements.
25
<PAGE>
VALUE
SHARES (000)
------ --------
DEPOSITORY INSTITUTIONS--(CONTINUED)
25,466 ORIENTAL FINANCIAL GROUP ........... $ 797
1,541,838 OVERSEAS-CHINESE BANKING CORP LTD (FR) 10,466
67,600 PACIFIC CAPITAL BANCORP ............ 1,741
1,333,700 PACIFIC CENTURY FINANCIAL CORP ..... 32,509
410,115(degree)PARIBAS S.A. ..................... 35,658
9,464 PARK NATIONAL CORP ................. 975
17,706 PEOPLES BANCORP, INC ............... 193
1,150 PEOPLES BANK OF BRIDGEPORT CO ...... 32
964,186 PEOPLES HERITAGE FINANCIAL GROUP, INC 19,284
8,400 PEOPLES HOLDINGS CO ................ 271
69,600(degree)PFF BANCORP, INC ................. 1,114
2,600 PINNACLE BANC GROUP, INC ........... 74
2,795,912 PNC BANK CORP ...................... 151,329
850,537 POPULAR, INC ....................... 28,918
1,000 PREMIER BANCSHARES, INC ............ 26
6,100 PRIME BANCORP, INC ................. 96
19,600 PRIME BANCSHARES, INC .............. 338
440,076 PROVIDENT BANKSHARES CORP .......... 10,947
162,100 PROVIDENT FINANCIAL GROUP .......... 6,119
1,431,048 PROVIDIAN FINANCIAL CORP ........... 107,329
3,053,424 PUBLIC BANK BERHAD (FR) ............ 1,040
272,532 PUBLIC BANK BERHAD (LR) ............ 100
9,800 QUEENS COUNTY BANCORP, INC ......... 292
1,389,511 REGIONS FINANCIAL CORP ............. 56,015
900 RELIANCE BANCORP, INC .............. 25
528,240 REPUBLIC BANCORP, INC .............. 7,197
2,000(degree)REPUBLIC BANCSHARES, INC ......... 26
2,000 REPUBLIC BANKING CORP OF FLORIDA ... 21
1,323,850 REPUBLIC NEW YORK CORP ............. 60,318
6,974 REPUBLIC SECURITY FINANCIAL CORP ... 85
1,241,600 RHB CAPITAL BERHAD ................. 485
78,000(degree)RHB CAPITAL BERHAD WTS 12/28/99 .. 8
19,500 RHB SAKURA MERCHANT BANKERS BERHAD . 6
3,000 RIGGS NATIONAL CORP ................ 61
336,400 ROSLYN BANCORP, INC ................ 7,233
673,505 ROYAL BANK OF CANADA ............... 33,566
2,949,224(degree)ROYAL BANK OF SCOTLAND PLC ....... 47,106
75,300 S & T BANCORP, INC ................. 2,075
7,867,000 SAKURA BANK LTD .................... 18,063
8,132,736(degree)SAN PAOLO-IMI S.P.A. ............. 144,005
8,700 SANDY SPRING BANCORP, INC .......... 262
394,765 SANWA BANK LTD ..................... 3,048
724,000 SEVENTY-SEVEN (77) BANK LTD ........ 7,253
1,523,000 SHIZUOKA BANK LTD .................. 18,835
4,100 SHORELINE FINANCIAL CORP ........... 108
1,000 SIGNAL CORP ........................ 34
238,700(degree)SILICON VALLEY BANCSHARES ........ 4,065
6,000 SIMMONS FIRST NATIONAL CORP
(CLASS A) ......................... 223
870,870 SKANDINAVISKA ENSKILDA BANKEN SERIES A 9,186
88,203 SKY FINANCIAL GROUP, INC ........... 2,332
314,064(degree)SOCIETE GENERALE S.A. ............ 50,880
1,841,895 SOUTHTRUST CORP .................... 68,035
29,400(degree)SOUTHWEST BANCORP OF TEXAS, INC .. 526
1,169,272 SOVEREIGN BANCORP, INC ............. 16,662
140,600 ST. FRANCIS CAPITAL CORP ........... 5,940
871,744 ST. GEORGE BANK LTD ................ 5,513
515,937 ST. PAUL BANCORP, INC .............. 14,043
245,000(degree)STATE BANK OF INDIA .............. 922
300,000(degree)STATE BANK OF INDIA GDR .......... 2,498
793,100 STATE STREET CORP .................. 55,170
1,100 STATEN ISLAND BANCORP, INC ......... 22
14,126 STERLING BANCORP ................... 322
24,800 STERLING BANCSHARES, INC ........... 369
6,084,550 SUMITOMO BANK LTD .................. 62,571
1,793,459 SUMMIT BANCORP ..................... 78,352
1,172,080 SUNTRUST BANKS, INC ................ 89,664
77,550 SUSQUEHANNA BANCSHARES, INC ........ 1,587
441,800 SVENSKA HANDELSBANKEN SERIES A ..... 18,640
220,500(degree)SVENSKA HANDELSBANKEN SERIES B FREE 8,460
3,730(degree)SWISS BANK CORP (REGD) WTS 06/30/00 60
777,694 SYNOVUS FINANCIAL CORP ............. 18,956
907,400 TCF FINANCIAL CORP ................. 21,948
89,100 TEXAS REGIONAL BANCSHARES, INC (CLASS A) 2,233
3,405,609 TOKAI BANK LTD ..................... 16,122
25,100 TORONTO DOMINION BANK .............. 879
18,900 TR FINANCIAL CORP .................. 744
88,600 TRIANGLE BANCORP, INC .............. 1,401
44,600 TRUST CO OF NEW JERSEY ............. 1,093
66,735 TRUSTCO BANK CORP .................. 2,002
123,800 TRUSTMARK CORP ..................... 2,801
5,256,730 U.S. BANCORP ....................... 186,614
198,069 U.S. TRUST CORP .................... 15,053
7,515 U.S.B. HOLDINGS CO, INC ............ 127
37,665 UMB FINANCIAL CORP ................. 1,728
12,533,860(degree)UNCREDITO ITALIANO S.P.A. ........ 74,447
173,500(degree)UNI BANKDANMARK AS (CLASS A) ..... 15,675
871,126(degree)UNION BANK OF SWITZERLAND AG. (REGD) 267,648
1,757,977 UNION PLANTERS CORP ................ 79,658
429,600 UNIONBANCAL CORP ................... 14,633
49,500 UNITED BANKSHARES, INC ............. 1,312
5,940 UNITED NATIONAL BANCORP ............ 138
1,235,890 UNITED OVERSEAS BANK LTD (FR) ...... 7,940
61,700 USBANCORP, INC ..................... 1,226
1,344,659 UST CORP ........................... 31,684
259,525 VALLEY NATIONAL BANCORP ............ 7,315
116,700(degree)VERMONT FINANCIAL SERVICES CORP .. 3,880
1,081,412 WACHOVIA CORP ...................... 94,556
785,082 WASHINGTON FEDERAL, INC ............ 20,952
4,309,393 WASHINGTON MUTUAL, INC ............. 164,565
1,000 WASHINGTON TRUST BANCORP, INC ...... 22
313,284 WEBSTER FINANCIAL CORP ............. 8,596
15,835,346 WELLS FARGO CO ..................... 632,424
32,300 WESBANCO, INC ...................... 953
53,690 WEST COAST BANCORP (OREGON) ........ 1,127
149,600 WESTAMERICA BANCORP ................ 5,498
800 WESTCORP ........................... 6
63,200 WESTERN BANCORP .................... 1,849
61,900 WESTERNBANK PUERTO RICO ............ 983
7,457,742 WESTPAC BANKING CORP ............... 49,954
144,550 WHITNEY HOLDINGS CORP .............. 5,421
161,300 WILMINGTON TRUST CORP .............. 9,940
940,000(degree)WING HANG BANK LTD ............... 2,342
741,302 WING LUNG BANK LTD ................. 2,574
5,200 WSFS FINANCIAL CORP ................ 88
514,000 YAMAGUCHI BANK LTD ................. 4,857
3,480,000(degree)YASUDA TRUST & BANKING CO LTD .... 2,684
2,600 ZIONS BANCORP ...................... 162
----------
10,990,023
----------
EATING AND DRINKING PLACES--0.74%
27,300(degree)ADVANTICA RESTAURANT GROUP, INC .. 169
439,757 APPLEBEES INTERNATIONAL, INC ....... 9,070
456,000 AVADO BRANDS, INC .................. 3,791
634,682 BOB EVANS FARMS, INC ............... 16,541
11,800x(degree)BOSTON CHICKEN, INC ............. 4
786,793(degree)BRINKER INTERNATIONAL, INC ....... 22,719
766,300(degree)BUFFETS, INC ..................... 9,148
2,262,000(degree)CAFE DE CORAL HOLDINGS LTD ....... 708
283,900(degree)CEC ENTERTAINMENT, INC ........... 7,878
857,564 CKE RESTAURANTS, INC ............... 25,245
2,148,659 COMPASS GROUP PLC .................. 24,613
40,906(degree)CONSOLIDATED PRODUCTS, INC ....... 844
31,425 CRACKER BARREL OLD COUNTRY STORE, INC 733
2,107,800 DARDEN RESTAURANTS, INC ............ 37,940
2,650(degree)DAVE & BUSTERS, INC .............. 61
8,062,714 DIAGEO PLC (CLASS A) ............... 91,757
See notes to financial statements.
26
<PAGE>
VALUE
SHARES (000)
------ --------
EATING AND DRINKING PLACES--(CONTINUED)
2,800(degree)EINSTEIN/NOAH BAGEL CORP ......... $ 4
591,865(degree)FOODMAKER, INC ................... 13,058
200,384 FRISCHS RESTAURANTS, INC ........... 2,117
2,456,600 HOST MARRIOTT CORP (NEW) ........... 33,932
4,780(degree)HOST MARRIOTT SERVICES CORP ...... 50
76,000(degree)IHOP CORP NEW .................... 3,035
3,100(degree)LANDRYS SEAFOOD RESTAURANTS, INC . 23
1,500(degree)LONE STAR STEAKHOUSE & SALOON, INC 14
280,691 LUBYS CAFETERIA, INC ............... 4,333
528,200 MARRIOTT INTERNATIONAL (CLASS A) ... 15,318
4,304,343 MCDONALD'S CORP .................... 329,820
8,927 MELCO INTERNATIONAL DEVELOPMENT LTD 1
276 MORRISON HEALTH CARE, INC .......... 5
129,200(degree)NPC INTERNATIONAL, INC ........... 1,558
17,900(degree)OUTBACK STEAKHOUSE, INC .......... 714
309,000 OVERSEAS UNION ENTERPRISES LTD ..... 614
350,100(degree)PAPA JOHNS INTERNATIONAL, INC .... 15,448
419,922 PICCADILLY CAFETERIAS, INC ......... 4,409
2,500(degree)PJ AMERICA, INC .................. 45
598,007(degree)PLANET HOLLYWOOD, INC (CLASS A) .. 1,383
63,150(degree)RAINFOREST CAFE, INC ............. 383
600(degree)RARE HOSPITALITY INTERNATIONAL, INC 8
2,000 ROYAL CO LTD ....................... 26
395,534 RUBY TUESDAY, INC .................. 8,405
226,950(degree)RYANS FAMILY STEAK HOUSES, INC ... 2,809
115,875(degree)SBARRO, INC ...................... 3,034
3,300(degree)SCOTTS RESTAURANTS, INC .......... 15
7,878(degree)SHONEYS, INC ..................... 10
230,924x(degree)SIZZLER INTERNATIONAL, INC ...... 520
231,000 SKYLARK CO LTD ..................... 3,442
87,701(degree)SODEXHO ALLIANCE S.A. ............ 19,624
122,951(degree)SODEXHO MARRIOTT SERVICES, INC ... 3,404
326,975(degree)SONIC CORP ....................... 8,134
204,100(degree)SPAGHETTI WAREHOUSE, INC ......... 1,556
927,000(degree)TELEPIZZA S.A. ................... 8,832
3,950(degree)THE CHEESECAKE FACTORY CO ........ 117
1,107,000 +(degree)TPI ENTERPRISES, INC ........ 4
1,374,571(degree)TRICON GLOBAL RESTAURANTS, INC ... 68,900
265,248(degree)U.S. FOODSERVICE, INC ............ 12,997
13,767 VALORA HOLDINGS AG. (REGD) ......... 3,724
1,084,400 VIAD CORP .......................... 32,939
261,200(degree)VICORP RESTAURANTS, INC .......... 4,049
66,869 WENDYS INTERNATIONAL, INC .......... 1,459
----------
861,493
----------
EDUCATIONAL SERVICES--0.04%
717,462(degree)APOLLO GROUP, INC (CLASS A) ...... 24,304
95,191(degree)BERLITZ INTERNATIONAL, INC ....... 2,761
47,600(degree)COMPUTER LEARNING CENTERS, INC ... 318
375,829(degree)DEVRY, INC ....................... 11,510
121,400(degree)EDUCATION MANAGEMENT CORP ........ 2,868
3,000(degree)EDUTREK INTERNATIONAL, INC (CLASS A) 17
72,700(degree)LEARNING TREE INTERNATIONAL, INC . 659
237,625(degree)SYLVAN LEARNING SYSTEMS, INC ..... 7,248
----------
49,685
----------
ELECTRIC, GAS, AND SANITARY SERVICES--4.13%
700(degree)AES CORP ......................... 33
508,900 AGL RESOURCES, INC ................. 11,737
222,854 AGUAS DE BARCELONA S.A. ............ 14,941
2,217(degree)AGUAS DE BARCELONA S.A. NEW ...... 148
1,570,774 ALLEGHENY ENERGY, INC .............. 54,192
1,579,390(degree)ALLIED WASTE INDUSTRIES, INC ..... 37,313
901,181 AMEREN CORP ........................ 38,469
176,685(degree)AMERICAN ECOLOGY CORP ............ 221
793,856 AMERICAN ELECTRIC POWER CO, INC .... 37,361
1,200 AMERICAN STATES WATER CO ........... 33
130,367 AMERICAN WATER WORKS CO, INC ....... 4,400
216,667(degree)ANGLIAN WATER PLC ................ 2,992
392,036(degree)AQUA ALLIANCE, INC ............... 809
13,756 AQUARION CO ........................ 564
42,853 AQUILA GAS PIPELINE CORP ........... 367
183,867 ATMOS ENERGY CORP .................. 5,930
703,631 AUSTRALIA GAS LIGHT CO ............. 5,073
1,894,621 BALTIMORE GAS & ELECTRIC CO ........ 58,496
400 BAY STATE GAS CO ................... 16
61,986 BEC ENERGY ......................... 2,553
460,000 BERLINER KRAFT-UND LICHT (BEWAG) AG. 12,428
1,200 BEWCKISER WASSER TECHNIK AG. ....... 266
283,669 BLACK HILLS CORP ................... 7,482
500,000 BRITISH ENERGY PLC ................. 5,719
1,947,842 BROWNING FERRIS INDUSTRIES, INC .... 55,392
393,500(degree)CALENERGY, INC ................... 13,650
45,600 CALIFORNIA WATER SERVICE GROUP ..... 1,428
185,300(degree)CALPINE CORP ..................... 4,679
1,009,036 CAROLINA POWER & LIGHT CO .......... 47,488
80,400(degree)CASELLA WASTE SYSTEMS, INC (CLASS A) 2,985
105,677,660(degree)CENTRAIS GERADORAS DO SUL (BR) ... 138
2,024,500 CENTRAL & SOUTH WEST CORP .......... 55,547
122,800 CENTRAL HUDSON GAS & ELECTRIC CORP . 5,495
6,826,121 (degree)CENTRICA PLC ................ 13,742
165,000 CHILECTRA S.A. ADR ................. 3,609
4,268,702(degree)CIA PAULISTA DE FORCA & LUZ ...... 307
38,500 CILCORP, INC ....................... 2,356
1,913,198 CINERGY CORP ....................... 65,766
488,189(degree)CITIZENS UTILITIES CO (CLASS B) .. 3,967
453,240(degree)CLEAN HARBORS, INC ............... 680
322,964 CLECO CORP ......................... 11,082
3,841,120 CLP HOLDINGS LTD ................... 19,138
219,264 CMP GROUP, INC ..................... 4,139
203,200 CMS ENERGY CORP .................... 9,843
1,919,274 COASTAL CORP ....................... 67,055
26,128 COLONIAL GAS CO .................... 911
1,128,661 COLUMBIA ENERGY GROUP .............. 65,180
239,200 COMMONWEALTH ENERGY SYSTEM CO ...... 9,688
1,077,075 CONECTIV, INC ...................... 26,388
62,012 CONECTIV, INC (CLASS A) ............ 2,449
29,900 CONNECTICUT ENERGY CORP ............ 912
1,076,800 CONSOLIDATED EDISON CO OF N.Y., INC 56,936
1,223,000 CONSOLIDATED NATURAL GAS CO ........ 66,042
1,169 CTG RESOURCES, INC ................. 31
105,600 DAISEKI CO LTD ..................... 637
1,972,500 DOMINION RESOURCES, INC ............ 92,214
845,575 DPL, INC ........................... 18,286
740,593 DQE, INC ........................... 32,540
1,684,071 DTE ENERGY CO ...................... 72,205
1,954,924 DUKE ENERGY CORP ................... 125,237
455,898 DYNEGY, INC ........................ 4,986
315,038 EASTERN ENTERPRISES CO ............. 13,783
15,500(degree)EASTERN ENVIRONMENTAL SERVICES, INC 459
290,457 EASTERN UTILITIES ASSOCIATION CO ... 8,205
1,718,452 EDISON INTERNATIONAL CO ............ 47,902
1,698,130 EDISON S.P.A. ...................... 20,044
360,950 EDPERBRASCAN CORP (CLASS A) ........ 5,005
1,714(degree)EL PASO ELECTRIC CO .............. 15
161,504 EL PASO ENERGY CORP ................ 5,622
178,207 ELECTRABEL NV ...................... 78,330
2,000(degree)ELECTRABEL S.A. (STRIP VVPR) ..... 0
1,134,294 ELECTRICIDADE DE PORTUGAL S.A. ..... 24,974
105,677,660 ELECTROBRAS S.A. ................... 1,819
41,781 EMPIRE DISTRICT ELECTRIC CO ........ 1,034
619,000 EMPRESA NACIONAL DE ELECTRIDAD S.A. ADR 7,041
2,720,960 ENDESA S.A. ........................ 72,203
310,800 ENERGEN CORP ....................... 6,061
994,186 ENERGY EAST CORP ................... 56,172
192,000 ENERSIS S.A. ADR ................... 4,956
1,669,583 ENRON CORP ......................... 95,271
2,592,504 ENTERGY CORP ....................... 80,692
See notes to financial statements.
27
<PAGE>
VALUE
SHARES (000)
------ --------
ELECTRIC, GAS, AND SANITARY SERVICES--(CONTINUED)
32,701 EQUITABLE RESOURCES, INC ........... $ 952
4,337 ETOWN CORP ......................... 205
2,600,027 FIRSTENERGY CORP ................... 84,663
330,339 FLORIDA PROGRESS CORP .............. 14,803
659,748 FPL GROUP, INC ..................... 40,657
478,219 GAS NATURAL SDG S.A. ............... 52,143
57,870 GENER S.A. (SPONS ADR) ............. 926
1,596,400 GPU, INC ........................... 70,541
385 GROUPE BRUXELLES LAMBERT NPV
(STRIP VVPR) ...................... 0
70,135 GROUPE BRUXELLES LAMBERT S.A. ...... 14,291
66,410 HAFSLUND AS SERIES A ............... 418
34,402 HAFSLUND AS SERIES B ............... 146
424,393 HAWAIIAN ELECTRIC INDUSTRIES, INC .. 17,082
6,916,284 HONG KONG & CHINA GAS CO LTD ....... 8,793
124,922(degree)HONG KONG & CHINA GAS CO LTD
WTS 03/30/99 ...................... 8
25 HONG KONG ELECTRIC CO LTD .......... 0
866,415 HOUSTON INDUSTRIES, INC ............ 27,834
323,700(degree)HUANENG POWER INTERNATIONAL, INC
SERIES N ADR ...................... 4,694
144,398 HYDER PLC .......................... 1,820
2,189,297 IBERDROLA S.A. ..................... 41,022
333,400 IDACORP, INC ....................... 12,065
39,220 ILLINOVA CORP ...................... 981
218,166 INDIANA ENERGY, INC ................ 5,372
250,993 INTERSTATE ENERGY CORP ............. 8,095
31,367 IPALCO ENTERPRISES, INC ............ 1,739
2,405(degree)IT GROUP, INC .................... 27
1,093,640 ITALGAS S.P.A. ..................... 5,932
1,938,600 KANSAI ELECTRIC POWER CO, INC ...... 42,536
469,134 KANSAS CITY POWER & LIGHT CO ....... 13,898
138,000(degree)KELLEY OIL & GAS CORP ............ 82
1,697,190 KEYSPAN ENERGY CORP ................ 52,613
8,100 KN ENERGY, INC ..................... 295
135,700 LACLEDE GAS CO ..................... 3,630
730,267 LOUISVILLE GAS & ELECTRIC ENERGY CORP 20,676
35,900 MADISON GAS & ELECTRIC CO .......... 817
192,904 MCN ENERGY GROUP, INC .............. 3,677
93,979 MDU RESOURCES GROUP, INC ........... 2,473
427,400 MIDAMERICAN ENERGY HOLDINGS CO ..... 11,486
31,805 MINNESOTA POWER, INC ............... 1,399
200,800x(degree)MOLTEN METAL TECHNOLOGY, INC .... 4
3,106 MONTANA POWER CO ................... 176
963,936 NATIONAL FUEL GAS CO ............... 43,558
1,852,101 NATIONAL GRID GROUP PLC ............ 14,784
2,454,593 NATIONAL POWER PLC ................. 21,155
668,600 NEVADA POWER CO .................... 17,384
863,660 NEW CENTURY ENERGIES, INC .......... 42,103
553,943 NEW ENGLAND ELECTRIC SYSTEMS CO .... 26,659
115,400 NEW JERSEY RESOURCES CORP .......... 4,558
14,800(degree)NEWPARK RESOURCES, INC ........... 101
12,400(degree)NIAGARA MOHAWK POWER CORP ........ 200
442,540 NICOR, INC ......................... 18,697
243,358 NIPSCO INDUSTRIES, INC ............. 7,407
91,946 NORTH CAROLINA NATURAL GAS CORP .... 3,051
1,500(degree)NORTHEAST UTILITIES CO ........... 24
297,468 NORTHERN STATES POWER CO ........... 8,255
159,100 NORTHWEST NATURAL GAS CO ........... 4,117
80,492 NORTHWESTERN CORP .................. 2,128
89,405 NOVA CORP .......................... 1,164
143,500 NUI CORP ........................... 3,848
116,188 OGDEN CORP ......................... 2,912
325,544 OGE ENERGY CORP .................... 9,441
293,076 ONEOK, INC ......................... 10,587
4,572 ORANGE & ROCKLAND UTILITY, INC ..... 261
4,085,000 OSAKA GAS CO LTD ................... 14,087
33,670 OESTERREICHISCHE
ELEKTRIZITAETSWIRSCHAFTS AG. ...... 5,149
17,800 OTTER TAIL POWER CO ................ 710
8,447,800 PACIFICORP ......................... 177,932
2,236,100 PECO ENERGY CO ..................... 93,078
21,900 PENNSYLVANIA ENTERPRISES, INC ...... 558
561,999 PEOPLES ENERGY CORP ................ 22,410
1,632,213 PG&E CORP .......................... 51,415
65,633 PHILADELPHIA SUBURBAN CORP ......... 1,940
109,196(degree)PHILIP SERVICES CORP ............. 34
84,164 PIEDMONT NATURAL GAS CO, INC ....... 3,040
296,034 PINNACLE WEST CAPITAL CORP ......... 12,544
959,500 POTOMAC ELECTRIC POWER CO .......... 25,247
883,300(degree)POWER TECHNOLOGIES LTD ........... 541
285,479 POWERGEN PLC ....................... 3,752
2,085,910 PP&L RESOURCES, INC ................ 58,145
666,224 PUBLIC SERVICE CO OF NEW MEXICO .... 13,616
112,202 PUBLIC SERVICE CO OF NORTH CAROLINA 2,917
2,308,628 PUBLIC SERVICE ENTERPRISE GROUP, INC 92,345
185,731 PUGET SOUND ENERGY, INC ............ 5,177
1,093,080 QUESTAR CORP ....................... 21,178
277,449(degree)REPUBLIC INDUSTRIES, INC ......... 4,092
1,342,320 RHEIN-WESTFALEN ELECTRIC AG. (STAMM) 73,539
596,497 ROCHESTER GAS & ELECTRIC CORP ...... 18,641
759,900 SCANA CORP ......................... 24,507
992,089(degree)SCOTTISH & SOUTHERN ENERGY PLC ... 11,175
3,516,874 SCOTTISH POWER PLC ................. 36,132
2,304(degree)SEAGULL ENERGY CORP .............. 15
3,305 SEMCO ENERGY, INC .................. 54
1,488,405 SEMPRA ENERGY ...................... 37,768
25,108,146 SHUN TAK ENTERPRISES CORP LTD ...... 4,732
35,100 SIERRA PACIFIC RESOURCES ........... 1,334
87,182 SIG CORP, INC ...................... 3,111
22,300 SONAT, INC ......................... 603
42,000 SOUTH JERSEY INDUSTRIES, INC ....... 1,100
6,059,793 SOUTHERN CO ........................ 176,113
44,964(degree)SOUTHERN UNION CO ................ 1,096
12,300 SOUTHWEST GAS CORP ................. 331
192,200 SOUTHWESTERN ENERGY CO ............. 1,442
498,235 LYONNAISE DES EAUX S.A. ............ 102,391
400(degree)SUPERIOR SERVICES, INC ........... 8
392,152 TECO ENERGY, INC ................... 11,054
3,159,000 TENAGA NASIONAL BERHAD ............. 4,538
1,889,564 TEXAS UTILITIES CO ................. 88,219
805,689 THAMES WATER PLC ................... 15,416
2,200(degree)THERMO ECOTEK CORP ............... 23
131,000 TNP ENTERPRISES, INC ............... 4,970
1,084,800 TOHOKU ELECTRIC POWER CO, INC ...... 19,234
2,344,474 TOKYO ELECTRIC POWER CO, INC ....... 57,988
5,802,000 TOKYO GAS CO LTD ................... 15,276
278,857 TRACTEBEL NV ....................... 54,142
6,138(degree)TRACTEBEL NV PUT WTS 11/15/99 .... 1
896,883 TRANS CANADA PIPELINES LTD ......... 13,109
136,701 TRANS CANADA PIPELINES LTD (U.S.) .. 2,016
397,600 TRANSALTA CORP ..................... 5,850
568,500 TRANSPORTADORA DE GAS DEL SUR (CLASS B) 1,127
3,924 UGI CORP ........................... 93
2,234,783 UNICOM CORP ........................ 86,179
1,670,100(degree)UNION ELECTRICA FENOSA S.A. ...... 28,936
330,320(degree)UNISOURCE ENERGY CORP HOLDINGS CO 4,459
100 UNITED ILLUMINATING CO ............. 5
868,980 UNITED UTILITIES PLC ............... 12,044
128,500 UNITED WATER RESOURCES, INC ........ 3,076
128,203 UTILICORP UNITED, INC .............. 4,703
1,087,130 VEBA AG. ........................... 65,074
70,246 VIAG AG. ........................... 41,205
488,606 VIVENDI S.A. ....................... 126,827
48,973(degree)VIVENDI S.A. WTS 05/02/01 ........ 127
586,272 WASHINGTON GAS LIGHT CO ............ 15,903
See notes to financial statements.
28
<PAGE>
VALUE
SHARES (000)
------ --------
ELECTRIC, GAS, AND SANITARY SERVICES--(CONTINUED)
457,800 WASHINGTON WATER POWER CO .......... $ 8,813
6,377,140 WASTE MANAGEMENT, INC 297,334
700(degree)WASTEMASTERS, INC ................ 0
238,111 WESTCOAST ENERGY, INC .............. 4,728
100 WESTERN GAS RESOURCES, INC ......... 1
2,610 WESTERN RESOURCES, INC ............. 87
64,298 WICOR, INC ......................... 1,403
1,770,574 WILLIAMS COS, INC .................. 55,220
722,481 WISCONSIN ENERGY CORP .............. 22,713
281,272 WPS RESOURCES CORP ................. 9,915
422,200 YANKEE ENERGY SYSTEMS, INC ......... 12,297
151,135(degree)YORK RESEARCH CORP ............... 510
----------
4,804,238
----------
ELECTRONIC AND OTHER ELECTRIC EQUIPMENT--7.48%
22,300(degree)AAVID THERMAL TECHNOLOGIES, INC .. 376
3,867,630 ABB AB SERIES A .................... 41,273
58,000 ABB AB SERIES B .................... 615
300(degree)ACT MANUFACTURING, INC ........... 4
129,800(degree)ACTEL CORP ....................... 2,596
3,850,098(degree)ADC TELECOMMUNICATIONS, INC ...... 133,791
198,024(degree)ADTRAN, INC ...................... 3,626
2,000(degree)ADVANCED ENERGY INDUSTRIES, INC .. 50
47,700(degree)ADVANCED FIBRE COMMUNICATIONS .... 522
164,900(degree)ADVANCED LIGHTING TECHNOLOGIES, INC 1,608
636,850(degree)ADVANCED MICRO DEVICES, INC ...... 18,429
197,929 ADVANTEST CORP ..................... 12,564
159,116 AEROQUIP-VICKERS, INC .............. 4,764
71,000(degree)AIWA CO LTD ...................... 1,876
379,935 ALLEGHENY TELEDYNE, INC ............ 7,765
4,200(degree)ALLEN TELECOM, INC ............... 28
900(degree)ALLIANCE SEMICONDUCTOR CORP ...... 4
1,584,000 ALPS ELECTRIC CO LTD ............... 29,138
1,741,000(degree)ALSTOM ........................... 40,828
2,865,240(degree)ALTERA CORP ...................... 174,421
1,371,580(degree)AMERICAN POWER CONVERSION CORP ... 66,436
13,125 #AMERICAN SATELLITE NETWORK
WTS 06/30/99 ...................... 0
87,100(degree)AMERICAN TOWER SYSTEMS (CLASS A) . 2,575
287,200 AMETEK, INC ........................ 6,408
101,700(degree)AMKOR TECHNOLOGY, INC ............ 1,100
1,091,343 AMP, INC ........................... 56,818
6,000(degree)AMPEX CORP (CLASS A) ............. 7
55,845(degree)AMPHENOL CORP (CLASS A) .......... 1,686
20,992 AMSTRAD PLC ........................ 12
700(degree)ANADIGICS, INC ................... 8
197,729(degree)ANALOG DEVICES, INC .............. 6,204
1,444,918(degree)ANDREW CORP ...................... 23,841
39,900(degree)ANTEC CORP ....................... 803
1,269(degree)APPLIED MAGNETICS CORP ........... 8
267,000(degree)APPLIED MICRO CIRCUITS CORP ...... 9,070
5,649(degree)ARTESYN TECHNOLOGIES, INC ........ 79
86,200(degree)ARTISAN COMPONENTS, INC .......... 458
466,600(degree)ASPECT TELECOMMUNICATIONS CORP ... 8,049
1,713,300(degree)ATMEL CORP ....................... 26,235
16,226(degree)AURA SYSTEMS, INC ................ 16
2,200 AUSTRIA MIKRO SYSTEM INTERNATIONAL AG. 83
31,500 AVX CORP ........................... 534
252,750(degree)AYDIN CORP ....................... 2,575
5,933 BALDOR ELECTRIC CO ................. 120
56,000 BANG & OLUFSEN HOLDINGS AS (CLASS B) 3,414
60,115 BARCO INDUSTRIES NV ................ 16,974
68,800(degree)BENCHMARK ELECTRONICS, INC ....... 2,520
440,600 BMC INDUSTRIES, INC ................ 2,754
356,603 BOWTHORPE HOLDINGS PLC ............. 2,068
3,900(degree)BROADBAND TECHNOLOGIES, INC ...... 11
122,100(degree)BROADCOM CORP (CLASS A) .......... 14,744
398,000 BROTHERS INDUSTRIES LTD ............ 1,242
177,400(degree)BURR BROWN CORP .................. 4,158
216,700 C&D TECHNOLOGIES, INC .............. 5,959
43,500(degree)CALIFORNIA MICROWAVE, INC ........ 408
750,000(degree)CELLNET DATA SYSTEMS, INC ........ 3,750
4,300(degree)CHECKPOINT SYSTEMS, INC .......... 53
17,100(degree)CIDCO, INC ....................... 49
500,630(degree)CIENA CORP ....................... 7,322
963(degree)COMMSCOPE, INC ................... 16
798,165(degree)COMVERSE TECHNOLOGY, INC ......... 56,670
2,176,845 COOPER INDUSTRIES, INC ............. 103,808
192,642 CTS CORP ........................... 8,380
9,700(degree)CUSTOMTRACKS CORP ................ 104
1,371,300(degree)CYPRESS SEMICONDUCTOR CORP ....... 11,399
549,000 DAI NIPPON SCREEN MANUFACTURING
CO LTD ............................ 1,372
13,685 DALLAS SEMICONDUCTOR CORP .......... 558
1,200(degree)DAVOX CORP ....................... 9
750,200(degree)DIGITAL MICROWAVE CORP ........... 5,134
88,920(degree)DII GROUP, INC ................... 2,045
816(degree)DSP COMMUNICATIONS, INC .......... 12
36,100(degree)ECHOSTAR COMMUNICATIONS CORP
(CLASS A) ......................... 1,746
1,180,000(degree)ELEC & ELTEK INTERNATIONAL CO LTD 6,372
1,680,400 ELEC & ELTEK INTERNATIONAL
HOLDNGS LTD ....................... 321
3,600(degree)ELECTRO SCIENTIFIC INDUSTRIES, INC 163
234,558 ELECTROCOMPONENTS PLC .............. 1,573
1,048,670 ELECTROLUX AB SERIES B ............. 18,048
613,154 EMAIL LTD .......................... 877
2,651,970 EMERSON ELECTRIC CO ................ 160,444
7,800 EMPRESA FABRIL DE MAQUINAS
ELECTRICAS ........................ 80
3,900(degree)ESS TECHNOLOGY ................... 20
95,300(degree)EVANS & SUTHERLAND COMPUTER CORP . 1,680
1,100(degree)EXAR CORP ........................ 18
181,600(degree)EXCEL SWITCHING CORP ............. 6,901
100 EXIDE CORP ......................... 2
687,017 FISHER & PAYKEL INDUSTRIES LTD ..... 2,486
10,000 FRANKLIN ELECTRIC CO, INC .......... 675
5,415,000 FUJITSU LTD ........................ 72,248
1,130,000 FURUKAWA ELECTRIC CO LTD ........... 3,857
47,000(degree)FUTABA CORP ...................... 1,846
98,357(degree)GENERAL DATACOMM INDUSTRIES, INC . 227
27,228,257 GENERAL ELECTRIC CO ................ 2,778,984
5,933,078 GENERAL ELECTRIC CO (U.K.) ......... 53,553
843,700(degree)GENERAL INSTRUMENT CORP .......... 28,633
135,900(degree)GENERAL SEMICONDUCTOR, INC ....... 1,113
41,700(degree)GENLYTE GROUP, INC ............... 782
883,000 x(degree)GEOTEK COMMUNICATIONS, INC .. 19
29,437(degree)GLENAYRE TECHNOLOGIES, INC ....... 131
4,100(degree)HADCO CORP ....................... 144
3,880 HARMAN INTERNATIONAL INDUSTRIES, INC 148
80,600 HARMON INDUSTRIES, INC ............. 1,859
1,320,549 HARRIS CORP ........................ 48,365
9,900 HELIX TECHNOLOGY CORP .............. 129
73,900 HIROSE ELECTRIC CO LTD ............. 5,182
7,853,230 HITACHI LTD ........................ 48,734
2,600(degree)HMT TECHNOLOGY CORP .............. 33
53,200(degree)HOLOPHANE CORP ................... 1,367
14,776 HUBBELL, INC (CLASS B) ............. 561
29,270(degree)HUTCHINSON TECHNOLOGY, INC ....... 1,043
1,000 INNOVEX, INC ....................... 14
6,700(degree)INTEGRATED CIRCUIT SYSTEMS, INC .. 118
608,200(degree)INTEGRATED DEVICE TECHNOLOGY, INC 3,725
7,500(degree)INTEGRATED SILICON SOLUTION, INC . 23
14,258,278 INTEL CORP ......................... 1,690,497
324,400 INTER-TEL, INC ..................... 7,583
357,500(degree)INTERDIGITAL COMMUNICATIONS CORP . 1,631
7,400(degree)INTERNATIONAL RECTIFIER CORP ..... 72
1,200(degree)INTERVOICE, INC .................. 41
See notes to financial statements.
29
<PAGE>
VALUE
SHARES (000)
------ --------
ELECTRONIC AND OTHER ELECTRIC EQUIPMENT--(CONTINUED)
10,200(degree)ITI TECHNOLOGIES, INC ............ $ 316
6,000(degree)ITRON, INC ....................... 43
512,492(degree)JABIL CIRCUIT, INC ............... 38,245
2,500,320 JOHNSON ELECTRIC HOLDINGS LTD ...... 6,422
3,700(degree)JPM CO ........................... 52
204,200 JUNO LIGHTING, INC ................. 4,773
12,100(degree)KEMET CORP ....................... 136
546,200(degree)KOMAG, INC ....................... 5,667
2,293,041(degree)KONINKLIJKE PHILIPS ELECTRONICS NV 153,953
500(degree)KOPIN CORP ....................... 11
170,700 KUHLMAN CORP ....................... 6,465
448,100 KYOCERA CORP ....................... 23,716
92,000(degree)L-3 COMMINUCATIONS HOLDINGS, INC . 4,284
7,350(degree)LATTICE SEMICONDUCTOR CORP ....... 337
52,579 LEGRAND S.A. ....................... 13,940
587,500(degree)LEVEL ONE COMMUNICATIONS, INC .... 20,856
1,215,700 LINEAR TECHNOLOGY CO ............... 108,881
1,500(degree)LITTLEFUSE, INC .................. 29
10,200(degree)LO-JACK CORP ..................... 121
400(degree)LSI LOGIC CORP ................... 6
155,000 MABUCHI MOTOR CO LTD ............... 11,886
674(degree)MAGNETEK, INC .................... 8
229,000 MALAYSIAN PACIFIC INDUSTRIES
BERHAD ............................ 219
5,554,650 MATSUSHITA ELECTRIC
INDUSTRIAL CO LTD ................. 98,437
60,335 MATSUSHITA ELECTRIC
INDUSTRIAL CO LTD ADR ............. 10,528
2,064,850(degree)MAXIM INTEGRATED PRODUCTS ........ 90,208
21,003 MAYTAG CO .......................... 1,307
349,800(degree)MEMC ELECTRONIC MATERIALS, INC ... 2,973
208,421 METAL MANUFACTURES LTD ............. 294
408,850 METHODE ELECTRONICS, INC (CLASS A) . 6,388
117,175(degree)MICREL, INC ...................... 6,445
800(degree)MICRO LINEAR CORP ................ 3
840,575(degree)MICROCHIP TECHNOLOGY, INC ........ 31,101
709,695(degree)MICRON TECHNOLOGY, INC ........... 35,884
210,000 MIMASU SEMICONDUCTOR INDUSTRY ...... 2,180
3,811,000(degree)MITSUBISHI ELECTRIC CORP ......... 11,994
560,100(degree)MMC NETWORKS, INC ................ 7,421
20,007 MOLEX, INC ......................... 763
189,452 MOLEX, INC (CLASS A) ............... 6,039
21,000(degree)MOOG, INC (CLASS A) .............. 822
4,274,400 MOTOROLA, INC ...................... 261,006
277,730(degree)MRV COMMUNICATIONS, INC .......... 1,718
614,000 MURATA MANUFACTURING CO LTD ........ 25,529
89,700 NATIONAL PRESTO INDUSTRIES, INC .... 3,823
159,299(degree)NATIONAL SEMICONDUCTOR CORP ...... 2,151
703,749 NATIONAL SERVICE INDUSTRIES, INC ... 26,742
7,100(degree)NATURAL MICROSYSTEMS CORP ........ 52
400,700(degree)NEOMAGIC CORP .................... 8,865
857,000 NGK SPARK PLUG CO LTD .............. 8,745
900 NIHON DEMPA KOGYO CO LTD ........... 8
3,171,000 NIPPON ELECTRIC CORP ............... 29,236
80,000(degree)NIPPON ELECTRIC GLASS CO LTD ..... 1,087
244,000 NITTO DENKO CORP ................... 4,067
598,000 NOKIA AB SERIES K .................. 73,224
1,691,600(degree)NOKIA OYJ SERIES A ............... 207,132
3,000(degree)NOMA INDUSTRIES LTD (CLASS A) .... 19
933,942 NORTHERN TELECOMMUNICATIONS LTD .... 46,575
1,494,855 NORTHERN TELECOMMUNICATIONS LTD (U.S.) 74,930
1,300(degree)OAK INDUSTRIES, INC .............. 46
289,700(degree)OAK TECHNOLOGY, INC .............. 1,014
500(degree)OIS OPTICAL IMAGING SYSTEMS, INC . 0
608,600(degree)P-COM, INC ....................... 2,425
19,609(degree)PAIRGAIN TECHNOLOGIES, INC ....... 151
900 PARK ELECTROCHEMICAL CORP .......... 26
2,400(degree)PARKERVISION, INC ................ 56
28,600(degree)PHOTRONICS, INC .................. 686
5,700(degree)PICTURETEL CORP .................. 38
268,729 PIONEER ELECTRONIC CORP ............ 4,515
125,400 PITTWAY CORP ....................... 4,240
241,436 PITTWAY CORP (CLASS A) ............. 7,982
34,600(degree)PLANTRONICS, INC ................. 2,976
242,900(degree)PLEXUS CORP ...................... 8,228
8,700(degree)PMC-SIERRA, INC .................. 549
302,700(degree)POLYCOM, INC ..................... 6,735
1,800(degree)POWERWAVE TECHNOLOGIES, INC ...... 34
71,100(degree)PREMISYS COMMUNICATIONS, INC ..... 653
94,403(degree)QLOGIC CORP ...................... 12,355
1,141,684(degree)QUALCOMM, INC .................... 59,154
4,600(degree)RAMBUS, INC ...................... 443
23,800(degree)RAMTRON INTERNATIONAL CORP ....... 12
1,502,122 RAYCHEM CORP ....................... 48,537
199,700(degree)RAYOVAC CORP ..................... 5,329
748,150(degree)READ RITE CORP ................... 11,059
102,600(degree)RECOTON CORP ..................... 1,840
162,500(degree)RELTEC CORP ...................... 3,605
14,400(degree)REMEC, INC ....................... 259
80,000(degree)RINNAI CORP ...................... 1,401
434,000 ROHM CO ............................ 39,591
8,600(degree)ROYAL APPLIANCE MANUFACTURING CO, INC 32
700(degree)S3, INC .......................... 5
179,200 SALIENT 3 COMMUNICATIONS (CLASS A) . 1,635
842,014(degree)SANMINA CORP ..................... 52,626
2,102,000 SANYO ELECTRIC CO LTD .............. 6,522
237,500(degree)SAWTEK, INC ...................... 4,156
243,800(degree)SCI SYSTEMS, INC ................. 14,079
18,600 SCIENTIFIC-ATLANTA, INC ............ 424
87,000(degree)SCM MICROSYSTEMS, INC ............ 6,182
300(degree)SDL, INC ......................... 12
95,800(degree)SEMTECH CORP ..................... 3,437
10,950(degree)SENSORMATIC ELECTRONICS CORP ..... 76
49,900 SGL CARBON AG. ..................... 2,996
30,000(degree)SGS-THOMSON MICROELECTRONICS NV .. 2,363
1,931,000 SHARP CORP ......................... 17,444
9,000(degree)SHELDAHL, INC .................... 54
28,000(degree)SHINKO ELECTRIC INDUSTRIES CO LTD 1,117
9,800(degree)SILICONIX, INC ................... 203
323,299(degree)SILICONWARE PRECISION INDUSTRIES GDR 3,395
63,900(degree)SIPEX CORP ....................... 2,244
327,920 SIRTI S.P.A. ....................... 1,983
404,200(degree)SMART MODULAR TECHNOLOGIES, INC .. 11,217
1,158,442(degree)SOLECTRON CORP ................... 107,663
1,207,098 SONY CORP .......................... 88,071
800 SONY MUSIC ENTERTAINMENT, INC ...... 37
900(degree)SPECTRA-PHYSICS LASERS, INC ...... 9
1,000(degree)SPECTRIAN CORP ................... 13
515,400 STEWART & STEVENSON SERVICES, INC .. 5,025
2,400,500 SUMITOMO ELECTRIC INDUSTRIES CO .... 27,048
79,657 SUNBEAM CORP ....................... 558
77,000(degree)SUPERTEX, INC .................... 770
286,000 SUWA INTERNATIONAL HOLDINGS LTD .... 8
57,200(degree)SUWA INTERNATIONAL HOLDINGS LTD
WTS 10/15/99 ...................... 0
231,200(degree)SYMMETRICOM, INC ................. 1,546
85,000 TAIYO YUDEN CO LTD ................. 1,008
48,938 TECHNITROL, INC .................... 1,560
447,200(degree)TEKELEC .......................... 7,407
293,600 TELEFLEX, INC ...................... 13,396
2,839,999(degree)TELEFONICA DE ESPANA S.A. RTS .... 2,525
1,748,125(degree)TELLABS, INC ..................... 119,856
2,879,500 TEXAS INSTRUMENTS, INC ............. 246,377
380(degree)THERMICEDGE CORP ................. 0
1,142,308 THOMAS & BETTS CORP ................ 49,476
164,377 THOMAS INDUSTRIES, INC ............. 3,226
2,800(degree)THREE-FIVE SYSTEMS, INC .......... 38
See notes to financial statements.
30
<PAGE>
VALUE
SHARES (000)
------ --------
ELECTRONIC AND OTHER ELECTRIC EQUIPMENT--(CONTINUED)
215,750 TOKYO ELECTRON CO LTD .............. $ 8,205
2,730,000 TOSHIBA CORP ....................... 16,288
20 TOWA CORP .......................... 1
23,500#(degree)TRANSCRYPT INTERNATIONAL, INC ... 66
5,900(degree)TRIDENT MICROSYSTEMS, INC ........ 24
400(degree)TRIQUINT SEMICONDUCTOR, INC ...... 8
477,000(degree)UCAR INTERNATIONAL, INC .......... 8,497
196,000 UNIDEN CORP ........................ 1,649
246,900(degree)UNIPHASE CORP .................... 17,129
379,534(degree)UNITRODE CORP .................... 6,642
943,000(degree)VENTURE MANUFACTURING (SINGAPORE) LTD 3,601
7,100(degree)VICOR CORP ....................... 64
700(degree)VIDEOSERVER, INC ................. 13
1,670(degree)VISHAY INTERTECHNOLOGY, INC ...... 24
1,164,500(degree)VITESSE SEMICONDUCTOR CORP ....... 53,130
568,000(degree)VLSI TECHNOLOGY, INC ............. 6,213
256(degree)VTEL CORP ........................ 1
2,500(degree)WAVEPHORE, INC ................... 20
29,700(degree)WESTELL TECHNOLOGIES, INC (CLASS A) 145
902,061 WHIRLPOOL CORP ..................... 49,952
54,192(degree)WINDMERE-DURABLE HOLDINGS, INC ... 420
289,500 WOODHEAD INDUSTRIES, INC ........... 3,764
15,800 WOODWARD GOVERNOR CO ............... 350
317,551(degree)WORLD ACCESS, INC ................ 6,788
1,558,800(degree)XILINX, INC ...................... 101,517
92,500(degree)XYLAN CORP ....................... 1,625
581,000 YAMAHA CORP ........................ 6,026
472,622x(degree)ZENITH ELECTRONICS CORP ......... 123
2,300(degree)ZOLTEK COS, INC .................. 21
1,500(degree)ZORAN CORP ....................... 26
----------
8,708,556
----------
ENGINEERING AND MANAGEMENT SERVICES--0.15%
4,000(degree)AHL SERVICES, INC ................ 125
8,400(degree)AURORA BIOSCIENCE CORP ........... 54
32,000 BLOUNT INTERNATIONAL, INC .......... 798
602,400(degree)CATALYTICA, INC .................. 10,843
100(degree)CORRECTIONS CORP OF AMERICA ...... 2
58,100 DAMES & MOORE GROUP ................ 748
1,300(degree)DATA TRANSMISSION NETWORK CORP ... 38
46,800(degree)DIAMOND TECHNOLOGY PARTNERS, INC
(CLASS A) ......................... 895
270,339 DUN & BRADSTREET CORP .............. 8,533
900 EG & G, INC ........................ 25
900(degree)ENTREMED, INC .................... 19
62,100(degree)F.Y.I., INC ...................... 1,987
30,730(degree)FIRST CONSULTING GROUP, INC ...... 630
600(degree)GARTNER GROUP, INC (CLASS A) ..... 13
13,201(degree)GENSET S.A. ...................... 1,016
1,200(degree)HAGLER BAILLY, INC ............... 24
2,100(degree)INCYTE PHARMACEUTICALS, INC ...... 78
30,000#(degree)INTERNATIONAL HYDRON
(LIQUIDATING TRUST) ............... 1
366,997(degree)JACOBS ENGINEERING GROUP, INC .... 14,955
56,200(degree)KENDLE INTERNATIONAL, INC ........ 1,314
30,498 LANDAUER, INC ...................... 987
400(degree)LASON, INC ....................... 23
59,365(degree)MAXIMUS, INC ..................... 2,197
5,200(degree)MEDAPHIS CORP .................... 17
32,300(degree)META GROUP, INC .................. 961
24,700(degree)METZLER GROUP, INC ............... 1,203
129,100(degree)MYRIAD GENETICS, INC ............. 1,291
157,400(degree)NEUROMEDICAL SYSTEMS, INC ........ 39
2,400(degree)NFO WORLDWIDE, INC ............... 28
50,800(degree)NICHOLS RESEARCH CORP ............ 1,060
123,900 OYO CORP ........................... 2,005
600(degree)PAREXEL INTERNATIONAL CORP ....... 15
8,912 (degree)PHARMACEUTICAL PRODUCT
DEVELOPMENT, INC .................. 268
400(degree)PROBUSINESS SERVICES, INC ........ 18
200(degree)PROFIT RECOVERY GROUP INTERNATIONAL 7
1,682,950(degree)QUINTILES TRANSNATIONAL CORP ..... 89,827
201,802(degree)RENAISSANCE WORLDWIDE, INC ....... 1,236
4,059,804(degree)SEMBCORP INDUSTRIES LTD .......... 4,626
233,968 SERVICEMASTER CO ................... 5,162
3,546,000(degree)SINGAPORE TECHNOLOGIES
ENGINEERING LTD .................... 3,310
54,700(degree)SM & A CORP ....................... 1,039
235,600(degree)STAFF LEASING, INC ................ 2,739
97,519 STONE & WEBSTER, INC ................ 3,243
21,690 TEJON RANCH CO ...................... 431
750(degree)TETRA TECH, INC ................... 20
12,836(degree)TETRA TECHNOLOGIES, INC ........... 140
613,500(degree)TIME ENGINEERING BERHAD ........... 100
95,400 TKC CORP ............................ 1,704
666,000 TOYO ENGINEERING CO ................. 709
6,200(degree)URS CORP .......................... 145
12,200(degree)VALENCE TECHNOLOGY, INC ........... 88
139,100(degree)VEDIOR NV-CVA ..................... 2,742
11,600(degree)WACKENHUT CORRECTIONS CORP ........ 332
262,400(degree)WESTON (ROY F.), INC (CLASS A) .... 722
8,300(degree)WHITTMAN HART, INC ................ 229
----------
170,761
----------
FABRICATED METAL PRODUCTS--0.83%
126,934(degree)ALLTRISTA CORP .................... 3,046
1,400 AMCAST INDUSTRIAL CORP .............. 27
2,300(degree)AMERICAN SAFETY RAZOR CO .......... 28
20,210 BALL CORP ........................... 925
123,000 BARNES GROUP, INC ................... 3,582
1,344,871 BICC LTD ............................ 1,578
140,577(degree)BOHLER-UDDEHOLM AG. (BR) .......... 6,546
11,596,793 BTR PLC ............................. 23,925
25,700 BUTLER MANUFACTURING CO ............. 575
26,480(degree)BWAY CORP ......................... 399
512,162 CARADON PLC ......................... 869
106,300 CCL INDUSTRIES, INC (CLASS B) ....... 1,228
72,200 CHART INDUSTRIES, INC ............... 551
4,600(degree)COLEMAN CO, INC ................... 42
8,816 (degree)COLEP-COMPANHIA PORTUGUESA
DE EMBALAGE ........................ 66
499,249 CRANE CO ............................ 15,071
350,875 CROWN CORK & SEAL CO, INC ........... 10,811
343,200(degree)FANSTEEL, INC ..................... 1,973
10,428 FISCHER (GEORGE) LTD (REGD) ......... 3,527
50,000 FUJIMI, INC ......................... 1,738
10,714,432 GILLETTE CO ......................... 517,641
1,158,806 GKN PLC ............................. 15,376
4,262(degree)GRIFFON CORP ...................... 45
108,900(degree)GULF ISLAND FABRICATION, INC ...... 844
33,000 HARSCO CORP ......................... 1,004
117,900 INTERNATIONAL ALUMINUM CORP ......... 3,485
75,000 KIAN JOO CAN FACTORY BERHAD ......... 77
95,200(degree)LADISH CO, INC .................... 797
954,950 MAGNETI MARELLI ..................... 1,656
929,947 MARK IV INDUSTRIES, INC ............. 12,089
1,654,200 MASCO CORP .......................... 47,558
5,000(degree)MATERIAL SCIENCES CORP ............ 43
6,450(degree)MILLER INDUSTRIES, INC ............ 29
37,000(degree)NCI BUILDING SYSTEMS, INC ......... 1,041
2,800(degree)NORTEK, INC ....................... 77
1,914,721 PARKER-HANNIFIN CORP ................ 62,707
56,380 PRIMEX TECHNOLOGIES, INC ............ 2,396
2,884,642 ROCKWELL INTERNATIONAL CORP ......... 140,085
4,700(degree)ROHN INDUSTRIES, INC .............. 16
127,550(degree)SANKYO ALUMINIUM INDUSTRY CO LTD .. 111
242,000 SANWA SHUTTER CORP .................. 1,060
1,200(degree)SHAW GROUP, INC ................... 10
1,900(degree)SHILOH INDUSTRIES, INC ............ 25
See notes to financial statements.
31
<PAGE>
VALUE
SHARES (000)
------ --------
FABRICATED METAL PRODUCTS--(CONTINUED)
36,300(degree)SILGAN HOLDINGS, INC ............. $ 1,009
21,300(degree)SIMPSON MANUFACTURING CO, INC .... 797
277,300(degree)SMC CORP ......................... 22,174
546,200 SNAP-ON, INC ....................... 19,015
329(degree)SPS TECHNOLOGIES, INC ............ 19
100 STANLEY WORKS CO ................... 3
147,100 STRUM, RUGER & CO, INC ............. 1,756
210,000 TAKARA STANDARD CO ................. 1,769
619,000 TOSTEM CORP ........................ 12,292
212,900(degree)TOWER AUTOMOTIVE, INC ............ 5,309
700,900 TOYO SEIKAN KAISHA LTD ............. 11,918
2,977(degree)U.S. CAN CORP .................... 53
75,400 UNITED DOMINION INDUSTRIES LTD ..... 1,590
1,100 VALMONT INDUSTRIES ................. 15
270,300 WATTS INDUSTRIES, INC (CLASS A) .... 4,494
473(degree)WHITTAKER CORP ................... 8
330,900(degree)WYMAN-GORDON CO .................. 3,392
----------
970,292
----------
FISHING, HUNTING, AND TRAPPING--0.00%
700(degree)ZAPATA CORP ...................... 9
----------
FOOD AND KINDRED PRODUCTS--4.02%
3,000 AARHUS OLIEFABRIK AS (CLASS A) ..... 87
1,700 AARHUS OLIEFABRIK AS (CLASS B) ..... 51
67,228(degree)AGRIBIOTECH, INC ................. 870
28,419(degree)AGRIBRANDS INTERNATIONAL, INC .... 853
905,600 AJINOMOTO CO LTD ................... 9,634
35,600(degree)AMERICAN ITALIAN PASTA CO (CLASS A) 939
3,612,869 ANHEUSER BUSCH COS, INC ............ 237,095
6,675,530 ARCHER DANIELS MIDLAND CO .......... 114,736
391,100 ARIAKE JAPAN CO LTD ................ 13,349
648,000 ASAHI BREWERIES LTD ................ 9,565
144,000(degree)ASIA FOOD & PROPERTIES LTD ....... 22
10,800(degree)ASIA FOOD & PROPERTIES LTD WTS 07/12/02 1
1,462,530 ASSOCIATED BRITISH FOODS PLC ....... 13,834
173,061 AZUCARERA EBRO AGRICOLAS S.A. ...... 3,823
2,532,996 BASS PLC ........................... 36,876
5,400(degree)BERINGER WINE ESTATES HOLDINGS, INC
(CLASS B) ......................... 241
1,585,300 BESTFOODS, INC ..................... 84,417
4,158 BONGRAIN S.A. ...................... 1,861
8,500(degree)BOSTON BEER CO, INC (CLASS A) .... 72
15,180(degree)BRAU UND BRUNNEN AG. ............. 1,365
383,847 BROWN FORMAN, INC (CLASS B) ........ 29,052
4,682(degree)BURNS PHILP & CO LTD ............. 0
21,672(degree)BUSH BOAKE ALLEN, INC ............ 764
1,104,276 CADBURY SCHWEPPES LTD .............. 18,832
1,104,800 CAMPBELL SOUP CO ................... 60,764
179,305(degree)CANANDAIGUA BRANDS, INC (CLASS A) 10,366
75,509 CARLSBERG BREWERIES AS (CLASS A) ... 4,390
11,781 CARLSBERG BREWERIES AS (CLASS B) ... 681
88,500 CHIQUITA BRANDS INTERNATIONAL, INC . 846
1,104,393 COCA COLA AMATIL LTD ............... 4,119
265,600 COCA COLA BOTTLING CO CONSOLIDATED . 15,272
16,042,939 COCA COLA CO ....................... 1,072,872
2,111,345 COCA COLA ENTERPRISES, INC ......... 75,481
158,200 COMPANIA CERVECERIAS UNIDAS S.A. ADR 3,045
4,164,788 CONAGRA, INC ....................... 131,191
47,000 COORS (ADOLPH) CO (CLASS B) ........ 2,653
568,825 CORN PRODUCTS INTERNATIONAL, INC ... 17,278
180,300 COTT CORP .......................... 640
43,700(degree)CULTOR OYJ SERIES 1 .............. 449
208,500 CULTOR OYJ SERIES 2 ................ 2,141
83,000 DANISCO AS ......................... 4,499
225,318 DANONE GROUP ....................... 64,536
156,000 DCC PLC ............................ 1,326
693,799 DEAN FOODS CO ...................... 28,316
811,060 DELTA CORP ......................... 177
815,857 DOLE FOOD, INC ..................... 24,476
264,344 DREYERS GRAND ICE CREAM, INC ....... 3,998
752,928 EARTHGRAINS CO ..................... 23,294
40,700 EMBOTELLADORA ANDINA ADR (CLASS B) . 529
49,153 ERIDANIA BEGHIN-SAY S.A. ........... 8,509
428,700 EZAKI GLICO CO LTD ................. 2,459
17,875 FLOWERS INDUSTRIES, INC ............ 428
7,387,858 FOSTERS BREWING GROUP LTD .......... 20,030
369,800 FRASER & NEAVE LTD ................. 1,080
1,248,914 GENERAL MILLS, INC ................. 97,103
160,300 GOLDEN ENTERPRISES, INC ............ 862
1,724,752 GOODMAN FIELDER LTD ................ 1,746
272,000 GRUPO INDUSTRIAL MASECA SERIES B ... 220
389,600 GUINESS ANCHOR BERHAD .............. 274
949,631 HEINEKEN NV ........................ 57,179
1,812,750 HEINZ (H.J.) CO .................... 102,647
125,000 HERDEZ S.A. SERIES B ............... 35
67,763 HERSHEY FOODS CORP ................. 4,214
2,470 HOLSTEN BRAUEREI AG. ............... 512
703,257 HORMEL FOODS CORP .................. 23,032
92,000 HOUSE FOODS CORP ................... 1,558
1,768,600 IBP, INC ........................... 51,510
11,138 IMPERIAL HOLLY CORP ................ 90
510,480(degree)INTERNATIONAL HOME FOODS, INC .... 8,614
753,711 INTERSTATE BAKERIES CORP ........... 19,926
2,565,000 IOI CORP ........................... 1,030
1,049,700 ITOEN LTD .......................... 54,253
58,000 ITOHAM FOODS, INC .................. 247
110,200(degree)J & J SNACK FOODS CORP ........... 2,466
108,000 KATOKICHI CO LTD ................... 1,656
700(degree)KEEBLER FOODS CO ................. 26
917,400 KELLOGG CO ......................... 31,306
148,000(degree)KEMAYAN CORP BERHAD .............. 13
246,400 KERRY GROUP (CLASS A) .............. 3,362
65,000 KERRY GROUP PLC (CLASS A) .......... 868
576,000 KIKKOMAN CORP ...................... 3,666
4,358,000 KIRIN BREWERY CO LTD ............... 55,634
529,329 LANCASTER COLONY CORP .............. 17,005
229,332 LANCE, INC ......................... 4,572
2,029,930 LION NATHAN LTD .................... 5,180
219,104 LVMH MOET HENNESSY LOUIS VUITTON ... 43,380
154,000 MARUHA CORP ........................ 160
909,400 MCCORMICK & CO, INC (NON-VOTE) ..... 30,749
110,000 MEFOS LTD .......................... 809
1,094,000 MEIJI SEIKA KAISHA LTD ............. 4,364
222,575 MICHAEL FOODS, INC ................. 6,677
102,400(degree)MIDWEST GRAIN PRODUCTS, INC ...... 1,395
27,700 MOLSON CO LTD (CLASS A) ............ 397
1,000 MOLSON CO LTD (CLASS B) ............ 14
2,007,850 NABISCO HOLDINGS CORP (CLASS A) .... 83,326
218,700 NESTLE MALAYSIA BERHAD ............. 612
101,011 NESTLE S.A. (REGD) ................. 219,893
510,000 NICHIREI CORP ...................... 1,216
265,000 NIPPON BEET SUGAR
MANUFACTURING CO LTD .............. 413
775,000 NIPPON MEAT PACKERS, INC ........... 12,504
839,000 NIPPON OIL & FATS CO LTD ........... 1,674
892,000(degree)NIPPON SUISAN KAISHA LTD ......... 1,028
114,000(degree)NISSHIN FLOUR MILLING CO LTD ..... 953
214,000 NISSIN FOOD PRODUCTS CO LTD ........ 5,397
322,763 NUMICO NV .......................... 15,393
818,040 ORKLA AS SERIES A .................. 12,186
42,992 ORKLA AS SERIES B .................. 561
8,600 OSTERREICHISCHE BRAU-AKTIENGESELLSCHAF 492
92,700(degree)OYJ HARTWALL ABP ................. 1,510
2,201,520 PARMALAT FINANZIARIA S.P.A. ........ 4,219
12,300(degree)PASCUAL HERMANOS S.A. ............ 6
80,100 PENFORD CORP ....................... 1,282
15,626,801 PEPSICO, INC ....................... 639,722
See notes to financial statements.
32
<PAGE>
VALUE
SHARES (000)
------ --------
FOOD AND KINDRED PRODUCTS--(CONTINUED)
484,750 PERLIS PLANTATIONS BERHAD .......... $ 348
126,204 PERNOD-RICARD S.A. ................. 8,201
142,200 PILGRIMS PRIDE CORP (CLASS B) ...... 2,835
350,000 POWER PACIFIC LTD .................. 0
625 PPB OIL PALMS BERHAD ............... 0
220,000(degree)PULEVA S.A. ...................... 147
480,000(degree)Q.P. CORP ........................ 3,953
399,204 QUAKER OATS CO ..................... 23,753
1,458,000(degree)RAISIO GROUP PLC ................. 16,125
517,243(degree)RALCORP HOLDINGS, INC ............ 9,440
5,104,373 RALSTON PURINA CO .................. 165,254
20,300 RIVIANA FOODS, INC ................. 501
1,180,846 RJR NABISCO HOLDINGS CORP .......... 35,056
20,000(degree)SAKATA SEED CORP ................. 418
29,150 SAPPORO BREWERIES LTD .............. 127
5,392,600 SARA LEE CORP ...................... 152,004
883,129 SCOTTISH & NEWCASTLE PLC ........... 10,256
10 SEABOARD CORP ...................... 4
526,900 SEAGRAMS CO LTD .................... 19,982
220,600 SEAGRAMS CO LTD (U.S.) ............. 8,383
167,100(degree)SMITHFIELD FOODS, INC ............ 5,661
51,308 SMUCKER, (J.M.) CO (CLASS A) ....... 1,270
194,700 SMUCKER, (J.M.) CO (CLASS B) ....... 4,308
645,000 SNOW BRAND MILK PRODUCTS CO ........ 2,951
102,121 SOUTH AFRICAN BREWERIES LTD ........ 1,720
5,102 SOUTH AFRICAN BREWERIES LTD
(SPONS ADR) ....................... 85
1,421,362 SOUTHCORP LTD ...................... 4,538
42,920(degree)SUIZA FOODS CORP ................. 2,186
3,000 TAKARA SHUZO CO LTD ................ 18
2,008,859 TATE & LYLE PLC .................... 11,063
217,490 TCBY ENTERPRISES, INC .............. 1,522
53,700 TIGER OATS LTD ..................... 529
25,025 TONGAAT HULETT GROUP LTD ........... 164
367,556 TOOTSIE ROLL INDUSTRIES, INC ....... 14,381
600(degree)TRIARC COS, INC .................. 10
1,881,760 TYSON FOODS, INC ................... 39,987
26,400 UNICER-UNIAO CERVEIJEIRA S.A. ...... 630
822,541 UNIGATE PLC ........................ 5,912
8,478,969 UNILEVER LTD ....................... 95,083
1,795,569 UNILEVER NV CERT ................... 153,561
49,594 UNITED BISCUITS HOLDINGS PLC ....... 195
851,032 UNIVERSAL FOODS CORP ............... 23,350
38,200 VINA CONCHA Y TORO S.A. ADR ........ 988
81,001 VISCOFAN S.A. ...................... 2,624
154,600(degree)VLASIC FOODS INTERNATIONAL, INC .. 3,681
258,506 WHITMAN CORP ....................... 6,560
1,666 WORTHINGTON FOODS, INC ............. 32
34,100 WRIGLEY (WM) JR CO ................. 3,054
373,800 #WRIGLEY (WM) JR CO (CLASS B) ....... 33,478
119,000 YAMAZAKI BAKING CO LTD ............. 1,554
----------
4,683,204
----------
FOOD STORES--0.96%
1,516,100 ALBERTSONS, INC .................... 96,557
882,532 AMERICAN STORES CO ................. 32,599
4,878x(degree)BRUNOS, INC ..................... 4
103,627 CARREFOUR SUPERMARCHE S.A. ......... 78,265
266,700(degree)CASINO GUICHARD-PERRACHON S.A. ... 27,786
6,500 COLRUYT S.A. ....................... 5,449
132,450(degree)DELHAIZE FRERES NV ............... 11,721
1,084,750 FOOD LION, INC (CLASS A) ........... 11,525
2,061,250 FOOD LION, INC (CLASS B) ........... 20,741
614,300(degree)GENERAL NUTRITION COS, INC ....... 9,982
144,400 GREAT ATLANTIC & PACIFIC TEA CO, INC 4,278
457,527 HANNAFORD BROTHERS, INC ............ 24,249
1,400,000(degree)ITO-YOKADO CO LTD ................ 98,049
174,650(degree)JERONIMO MARTINS SGPS S.A. ....... 9,554
3,479,215 KONINKLIJKE AHOLD NV ............... 128,661
1,718,108(degree)KROGER CO ........................ 103,946
5,000 MARUETSU, INC ...................... 15
203,700 OSHAWA GROUP LTD (CLASS A) ......... 4,841
115,200 PICKN PAY STORES LTD SERIES N ...... 104
55,939(degree)PROMODES S.A. .................... 40,696
407,850 RINASCENTE S.P.A. .................. 4,203
29,300 RUDDICK CORP ....................... 674
918,687 SAFEWAY PLC ........................ 4,616
4,526,036(degree)SAFEWAY, INC ..................... 275,805
5,613,210 SAINSBURY (J) PLC .................. 44,992
164,440(degree)SEVEN-ELEVEN JAPAN CO LTD ........ 13,266
1,042,800(degree)SOUTHLAND CORP ................... 1,988
17,900(degree)STARBUCKS CORP ................... 1,005
18,048,145 TESCO PLC .......................... 51,424
304,000 UNY CO LTD ......................... 5,565
106,631 WEIS MARKETS, INC .................. 4,145
3,600(degree)WHOLE FOODS MARKET, INC .......... 174
36,300(degree)WILD OATS MARKETS, INC ........... 1,143
632 WINN DIXIE STORES, INC ............. 28
326 YOSHINOYA D&C CO LTD ............... 3,555
----------
1,121,605
----------
FORESTRY--0.03%
15,700 CORTICEIRA AMORIM S.A. ............. 225
547,200 GEORGIA-PACIFIC CORP (TIMBER GROUP) 13,030
886,400 HIGHLANDS & LOWLANDS BERHAD ........ 406
772,800 KUALA LUMPUR KEPONG BERHAD ......... 925
416,539 RAYONIER, INC ...................... 19,135
----------
33,721
----------
FURNITURE AND FIXTURES--0.12%
25,862 BASSETT FURNITURE INDUSTRIES, INC .. 624
18,800 BUSH INDUSTRIES, INC (CLASS A) ..... 234
251,400 ETHAN ALLEN INTERIORS, INC ......... 10,307
682,498(degree)FURNITURE BRANDS INTERNATIONAL, INC 18,598
341,400 HON INDUSTRIES, INC ................ 8,172
434,096 KIMBALL INTERNATIONAL, INC (CLASS B) 8,248
243,974(degree)KNOLL, INC ....................... 7,228
402,000 LA-Z-BOY, INC ...................... 7,161
3,167(degree)LADD FURNITURE, INC .............. 51
9,400(degree)LEAR CORP ........................ 362
326,648 LEGGETT & PLATT, INC ............... 7,186
32,859(degree)MEADOWCRAFT, INC ................. 368
559,200 MILLER (HERMAN), INC ............... 15,029
8,046,800(degree)OLIVETTI GROUP S.P.A. ............ 28,058
48,046(degree)OSULLIVAN INDUSTRIES HOLDINGS, INC 504
242,300 SHELBY WILLIAMS INDUSTRIES, INC .... 2,908
199,106 STEELCASE, INC ..................... 3,273
1,295,119 U.S. INDUSTRIES, INC ............... 24,122
10,540 VIRCO MANUFACTURING ................ 194
----------
142,627
----------
FURNITURE AND HOMEFURNISHINGS STORES--0.23%
1,753,800(degree)BED BATH & BEYOND, INC ........... 59,848
136,200(degree)BEST BUY, INC .................... 8,359
12(degree)BOMBAY, INC ...................... 0
112,500(degree)CDNOW, INC ....................... 2,025
986,950 CIRCUIT CITY STORES-CIRCUIT CITY GROUP 49,286
7,200(degree)COMPUCOM SYSTEMS, INC ............ 25
1,228,386(degree)COMPUSA, INC ..................... 16,046
327,500(degree)EGGHEAD.COM, INC ................. 6,816
55,800(degree)GOOD GUYS, INC ................... 359
78,800 HAVERTY FURNITURE COS, INC ......... 1,655
4,087 HEILIG MEYERS CO ................... 27
900(degree)INACOM CORP ...................... 13
28,098 JD GROUP LTD ....................... 124
3,800(degree)LECHTERS, INC .................... 9
1,000(degree)LINENS N THINGS, INC ............. 40
250,978(degree)MAXIM GROUP, INC ................. 6,023
731,692(degree)MUSICLAND STORES CORP ............ 10,930
2,000(degree)N2K, INC ......................... 26
1,548,929 PIER 1 IMPORTS, INC ................ 15,005
3,587(degree)REX STORES CORP .................. 48
See notes to financial statements.
33
<PAGE>
VALUE
SHARES (000)
------ --------
FURNITURE AND HOMEFURNISHINGS STORES--(CONTINUED)
227,800 SHIMACHU CO ........................ $ 4,544
207,800 x(degree)SUN TELEVISION & APPLIANCES, INC 0
1,357,415 TANDY CORP ......................... 55,909
404,650(degree)TRANS WORLD ENTERTAINMENT CORP ... 7,714
423,850(degree)WILLIAMS-SONOMA, INC ............. 17,086
----------
261,917
----------
GENERAL BUILDING CONTRACTORS--0.22%
693,953 AMEC PLC ........................... 2,055
231,620 BERKELEY GROUP PLC ................. 1,692
1,010,612 CENTEX CORP ........................ 45,541
29,974,000(degree)CHINA RESOURCES BEIJING LAND ..... 7,467
84,400(degree)CROSSMAN COMMUNITIES, INC ........ 2,332
54,000(degree)DAIKYO, INC ...................... 65
8,300 DAITO TRUST CONSTRUCTION CO LTD .... 72
2,533,000 DAIWA HOUSE INDUSTRY CO LTD ........ 27,014
833,000(degree)EKRAN BERHAD ..................... 156
1,334,300 FLETCHER CHALLENGE LTD
(BUILDING DIVISION) ............... 2,065
1,729,000(degree)FUJITA CORP ...................... 966
175,000(degree)HASEKO CORP ...................... 88
159,000(degree)HAZAMA-GUMI LTD .................. 104
380,900 HILLENBRAND INDUSTRIES, INC ........ 21,664
582,966 HORTON (D.R.), INC ................. 13,408
210,000 IGB CORP BERHAD .................... 54
11,400 JARVIS PLC ......................... 126
746,359 KAUFMAN & BROAD HOME CORP .......... 21,458
26,000 KOMATSU CONSTRUCTION CO LTD ........ 31
904,885 LEIGHTON HOLDINGS LTD .............. 3,885
795,932 LENNAR CORP ........................ 20,097
278,900 MDC HOLDINGS, INC .................. 5,961
478,836 MISAWA HOMES CO LTD ................ 1,486
533,000 NISHIMATSU CONSTRUCTION CO LTD ..... 3,119
162,493(degree)NVR, INC ......................... 7,749
848,000 OBAYASHI CORP ...................... 4,075
413,861 PULTE CORP ......................... 11,511
138,400 RYLAND GROUP, INC .................. 3,996
1,079,000 SHIMIZU CORP ....................... 3,625
59,000(degree)SHOKUSAN JUTAKO SAGO ............. 23
308,460 SKANSKA AB SERIES B FREE ........... 8,562
7,360(degree)SOCIEDADE DE CONSTR SOARES DA COS BABY 24
52,046,000 +SOUTH CHINA INDUSTRIES LTD ......... 2,083
373,951 STANDARD-PACIFIC CORP .............. 5,282
6,300(degree)STRABAG BAU AG. .................. 390
34,000 SUZUNUI INDUSTRY CO LTD ............ 51
3,490,000 TAISEI CORP ........................ 6,714
1,322,394 TAYLOR WOODROW PLC ................. 3,311
419,266(degree)TOLL BROTHERS, INC ............... 9,460
800(degree)U.S. HOME CORP ................... 27
1,100(degree)WALTER INDUSTRIES, INC ........... 17
237,425 WEBB (DEL) CORP .................... 6,544
607,300 WILSON (CONNOLLY) HOLDINGS PLC ..... 1,086
1,161,524 WIMPEY (GEORGE) LTD ................ 2,097
1,091,000 YTL CORP BERHAD .................... 993
----------
258,526
----------
GENERAL MERCHANDISE STORES--1.97%
17,300(degree)AMES DEPARTMENT STORES, INC ...... 467
586,463(degree)BJS WHOLESALE CLUB, INC .......... 27,161
229,500 x(degree)CALDOR CORP ................. 94
874,350 CASEYS GENERAL STORES, INC ......... 11,394
1,934,660 COLES MYER LTD ..................... 10,146
806(degree)CONSOLIDATED STORES CORP ......... 16
19,761 CORTEFIEL S.A. ..................... 522
36,800(degree)COST PLUS, INC ................... 1,155
986,236(degree)COSTCO COS, INC .................. 71,194
96,000 DAIEI, INC ......................... 261
323,000 DAIMARU, INC ....................... 974
1,380,125 DAVID JONES LTD .................... 1,524
3,647,480 DAYTON HUDSON CORP ................. 197,876
1,549,000 DILLARDS, INC (CLASS A) ............ 43,953
28,593 DOLLAR GENERAL CORP ................ 676
1,086,775(degree)DOLLAR TREE STORES, INC .......... 47,478
31,900 FAMILY DOLLAR STORES, INC .......... 702
2,174,362(degree)FEDERATED DEPARTMENT STORES, INC . 94,721
387,570(degree)FRED MEYER, INC .................. 23,351
147,800 FREDS, INC ......................... 2,217
703,000 GIORDANO INTERNATIONAL LTD ......... 132
310,300(degree)GOTTSCHALKS, INC ................. 2,366
259,300 HAGEMEYER NV ....................... 9,478
156,000 HANKYU DEPARTMENT STORES, INC ...... 1,025
8 HARCOURT GENERAL, INC .............. 0
50,950(degree)HOMEBASE, INC .................... 325
67,300 HUDSONS BAY CO ..................... 848
744,000 ISETAN CO .......................... 7,994
89,750(degree)JACOBSON STORES, INC ............. 628
2,340 JELMOLI HOLDINGS AG. (BR) .......... 2,624
1,143,000(degree)JUSCO CO LTD ..................... 23,154
5,859,800(degree)K MART CORP ...................... 89,728
43,503(degree)KARSTADT AG ...................... 22,723
158,400 KESCO OYJ .......................... 2,378
5,347,281 KINGFISHER PLC ..................... 57,874
811,900(degree)KOHLS CORP ....................... 49,881
190,490 x(degree)LURIA (L.) & SON, INC ....... 1
6,949,151 MARKS & SPENCER PLC ................ 47,664
1,799,000 MARUI CO LTD ....................... 34,688
1,237,755 MAY DEPARTMENT STORES CO ........... 74,729
130,000 MEIKLES AFRICA LTD (ZIMBABWE) ...... 87
862,213 METRO AG ........................... 68,849
45,000 MITSUKOSHI LTD ..................... 120
984,800 MYCAL CORP ......................... 5,884
630,849(degree)NEIMAN-MARCUS GROUP, INC ......... 15,732
1,367,592 PENNEY (J.C.) CO, INC .............. 64,106
74,900 PEPKOR LTD ......................... 312
89,600 PICKN PAY STORES LTD ............... 87
348,452 PINAULT-PRINTEMPS-REDOUTE S.A. ..... 66,619
3,250(degree)RINASCENTE S.P.A. WTS 12/31/99 ... 7
193,800 ROBINSON & CO LTD .................. 435
900,980(degree)SAKS, INC ........................ 28,437
44,022(degree)SEARS PLC ........................ 190
3,165,300 SEARS ROEBUCK & CO ................. 134,525
1,000 SEIYU LTD .......................... 3
16,030(degree)SERVICE MERCHANDISE, INC ......... 5
360,700(degree)SHOPKO STORES, INC ............... 11,993
51,200 SONAE INVESTIMENTOS-SGPS S.A. ...... 2,489
38,150(degree)STOCKMANN AB OY SERIES A ......... 943
50,825 STOCKMANN B FREE ................... 960
445,000 TAKASHIMAYA CO LTD ................. 3,752
46,729 TRUWORTHS INTERNATIONAL LTD ........ 26
9,700(degree)VALUE CITY DEPARTMENT STORES, INC 135
200(degree)VENATOR GROUP, INC ............... 1
173,626x(degree)VENTURE STORES, INC ............. 1
11,259,959 WAL-MART STORES, INC ............... 916,983
1,391,879 WATERFORD WEDGWOOD PLC (UNITS) ..... 1,183
42,000 WOOLTRU LTD ........................ 53
61,000 WOOLTRU LTD (CLASS N) (NON-VOTE) ... 75
----------
2,288,114
----------
HEALTH SERVICES--0.43%
1,400(degree)ADVANCE PARADIGM, INC ............ 49
52,586 ALLEGIANCE CORP .................... 2,452
184,300(degree)AMERICAN HOMEPATIENT, INC ........ 334
900(degree)AMERICAN ONCOLOGY RESOURCES, INC . 13
5,678(degree)AMERICAN RETIREMENT CORP ......... 89
186,700(degree)AMERIPATH, INC ................... 1,669
4,200(degree)APPLIED ANALYTICAL INDUSTRIES, INC 73
647,753(degree)APRIA HEALTHCARE GROUP, INC ...... 5,789
1,130,361(degree)BEVERLY ENTERPRISES, INC ......... 7,630
155,208(degree)CAREMATRIX CORP .................. 4,753
See notes to financial statements.
34
<PAGE>
VALUE
SHARES (000)
------ --------
HEALTH SERVICES--(CONTINUED)
107,800(degree)CENTENNIAL HEALTHCARE CORP ....... $ 1,671
7,100(degree)CLINTRIALS, INC .................. 28
101,595(degree)COASTAL PHYSICIAN GROUP, INC ..... 35
4,370,399 COLUMBIA/HCA HEALTHCARE CORP ....... 108,167
687,100(degree)CONCENTRA MANAGED CARE, INC ...... 7,343
7,832(degree)CORAM HEALTHCARE CORP ............ 15
212,595 #CORAM HEALTHCARE CORP WTS 07/11/99 . 0
639,116(degree)COVANCE, INC ..................... 18,614
212,800(degree)COVENTRY HEALTH CARE, INC ........ 1,875
221,500(degree)CURATIVE HEALTH SERVICES, INC .... 7,420
66,282(degree)ENZO BIOCHEMICAL, INC ............ 684
111,300(degree)EXPRESS SCRIPTS, INC ............. 7,471
86,200(degree)EXTENDICARE, INC (CLASS A) ....... 488
341,800x(degree)FPA MEDICAL MANAGEMENT, INC ..... 0
26,000(degree)GENESIS HEALTH VENTURES, INC ..... 228
444,952(degree)HCR MANOR CARE ................... 13,070
3,184,050(degree)HEALTH MANAGEMENT ASSOCIATES, INC
(CLASS A) NEW ..................... 68,855
23,300(degree)HEALTHCARE RECOVERIES, INC ....... 396
138,000 HEALTHPLAN SERVICES CORP ........... 1,587
4,162,268(degree)HEALTHSOUTH CORP ................. 64,255
377,163(degree)INTEGRATED HEALTH SERVICES, INC .. 5,327
795,980(degree)LABORATORY CORP OF AMERICA HOLDINGS 1,094
75,098(degree)LABORATORY CORP OF AMERICA HOLDINGS
WTS 04/28/00 ...................... 0
2,483(degree)LCA-VISION, INC .................. 3
723,850(degree)LINCARE HOLDINGS, INC ............ 29,361
360(degree)LTC HEALTHCARE, INC .............. 1
95,600(degree)MAGELLAN HEALTH SERVICES, INC .... 801
1,183,324(degree)MARINER POST-ACUTE NETWORK, INC .. 5,399
12,000(degree)MATRIA HEALTHCARE, INC ........... 35
234,200 MDS, INC (CLASS B) ................. 4,498
15,966(degree)MEDICAL RESOURCES, INC ........... 36
2,700,181(degree)MEDPARTNERS, INC ................. 14,176
19,732(degree)NATIONAL HEALTHCARE CORP ......... 306
104,000 NICHII GAKKAN CO ................... 4,333
1,034,935(degree)NOVACARE, INC .................... 2,587
700(degree)ORTHODONTIC CENTERS OF AMERICA, INC 14
18,356(degree)PARACELSUS HEALTHCARE CORP ....... 29
270,100(degree)PEDIATRIX MEDICAL GROUP, INC ..... 16,189
23,900x(degree)PHP HEALTHCARE CORP ............. 1
358,687(degree)PHYCOR, INC ...................... 2,444
255,700(degree)PHYMATRIX CORP ................... 559
449,100(degree)PHYSICIAN RELIANCE NETWORK, INC .. 5,894
5,794(degree)PHYSICIANS RESOURCE GROUP, INC ... 0
1,900(degree)PRIME MEDICAL SERVICES, INC ...... 14
142,800(degree)PROVINCE HEALTHCARE CO ........... 5,123
75(degree)PSS WORLD MEDICAL, INC ........... 2
42,808(degree)QUEST DIAGNOSTICS, INC ........... 763
667,900(degree)QUORUM HEALTH GROUP, INC ......... 8,641
190,100(degree)RENAL CARE GROUP, INC ............ 5,477
177,984(degree)RESPONSE ONCOLOGY, INC ........... 723
966(degree)SUN HEALTHCARE GROUP, INC ........ 6
1,840,303(degree)TENET HEALTHCARE CORP ............ 48,308
84,100(degree)UNITED PAYORS & UNITED PROVIDERS, INC 2,397
273,500(degree)UNIVERSAL HEALTH SERVICES, INC ... 14,188
73,688(degree)VENCOR, INC ...................... 332
----------
504,114
----------
HEAVY CONSTRUCTION, EXCEPT BUILDING--0.17%
207,500(degree)ACS ACTIVIDADES CONS Y SERV ...... 8,201
1,626,000(degree)AOKI CONSTRUCTION CO LTD ......... 778
176,700x(degree)ATKINSON (G.F.) CO OF CALIFORNIA 1
351,920 AUTOPISTAS CONCESIONARIA
ESPANOLA S.A. ..................... 5,861
137,284 BOUYGUES S.A. ...................... 28,311
945,675 BRISA-AUTO ESTRADAS DE PORTUGAL S.A. 55,666
37,000(degree)CHIYODA CORP ..................... 71
9,928(degree)COSTAIN GROUP PLC ................ 3
225,286 DRAGADOS Y CONSTRUCCIONES S.A. ..... 8,315
182,368(degree)DYCOM INDUSTRIES, INC ............ 10,418
12,306 ENGIL-SGPS ......................... 84
144,400 FLUOR CORP ......................... 6,146
207,248 FOMENTO CONSTRUCCIONES Y
CONTRATAS S.A. .................... 15,431
713,202 FOSTER WHEELER CORP ................ 9,405
262,550 GRANITE CONSTRUCTION, INC .......... 8,812
46,270 GROUPE GTM ......................... 4,804
57,200 HOCHTIEF AG. ....................... 2,232
49,378 HOLLANDSCHE BETON GROEP NV (H.B.G.) 610
823,410(degree)IMPREGILO S.P.A. ................. 746
291,300(degree)INSITUFORM TECHNOLOGIES, INC (CLASS A) 4,224
668,000 JGC CONSTRUCTION CORP .............. 1,569
2,274,000 KAJIMA CORP ........................ 5,947
178,000 KUMAGAI GUMI CO LTD ................ 137
294,400 KUMAGAI GUMI CO LTD (H.K.) ......... 125
500,000 LARSEN & TOUBRO GDR ................ 3,838
424,000 MAEDA ROAD CONSTRUCTION CO LTD ..... 2,853
1,150(degree)MASTEC, INC ...................... 24
1,000 MATSUO BRIDGE CO LTD ............... 2
200 MCDERMOTT INTERNATIONAL, INC ....... 5
100(degree)MORRSION KNUDSEN CORP ............ 1
17,039(degree)MORRISON KNUDSEN CORP WTS 03/11/03 53
191,000(degree)NIIGATA ENGINEERING CO LTD ....... 154
485,000 OKUMURA CORP ....................... 2,154
1,200(degree)OMNIAMERICA, INC ................. 38
130,000 PENTA OCEAN CONSTRUCTION CO LTD .... 260
786,000 SATO KOGYO ......................... 599
9,200(degree)SOCIEDADE DE CONSTRUCOES
SOARES DA COS ..................... 31
13,034 SOMAGUE-SGPS S.A. .................. 76
40,500 SUPERFOS AS ........................ 598
364,000 TOA CORP ........................... 671
50,000 TOMOE ENGINEERING CO LTD ........... 332
82,000 TOYO EXTERIOR CORP ................. 800
61,000(degree)TOYO KANETSU K.K. ................ 63
1,002,100#(degree)UNITED ENGINEERING BERHAD ....... 511
2,524,000 UNITED INDUSTRIAL CORP ............. 1,010
27,000(degree)UNITED INDUSTRIAL CORP WTS 07/05/99 1
3,300 UNIVERSALE-BAU AG. ................. 118
16,300 VA TECHNOLOGIE AG. (BR) ............ 1,413
1,000 YOKOGAWA BRIDGE CORP ............... 3
----------
193,505
----------
HOLDING AND OTHER INVESTMENT OFFICES--0.72%
600(degree)ALEXANDERS, INC .................. 47
4,948 ALEXANDRIA REAL ESTATE EQUITIES, INC 153
3,042,373(degree)ALLIED ZURICH PLC ................ 45,380
235,900 AMB PROPERTY CORP .................. 5,190
2,800(degree)AMERCO ........................... 78
182,300 AMERICAN HEALTH PROPERTIES, INC .... 3,760
21,100 AMLI RESIDENTIAL PROPERTIES TRUST .. 469
20,600(degree)ANGLOVAAL INDUSTRIAL HOLDINGS .... 64
63,000 ANGLOVAAL INDUSTRIES LTD ........... 80
20,600 ANGLOVAAL MINING LTD ............... 63
2,100(degree)ANTHRACITE CAPITAL, INC .......... 16
285,453 APARTMENT INVESTMENT &
MANAGEMENT CO ..................... 10,615
1,386,000(degree)APPLIED INTERNATIONAL HOLDINGS LTD 24
662,753 ARCHSTONE COMMUNITIES TRUST ........ 13,421
4,000(degree)ASSOCIATED ESTATES REALTY CORP ... 47
429,841 AVALONBAY COMMUNITIES, INC ......... 14,722
64,917 BARLOW LTD ......................... 249
6,199,690#(degree)BB BIOVENTURES LP ............... 7,971
38,300 BEDFORD PROPERTY INVESTORS, INC .... 646
29,800 BERKSHIRE REALTY CO, INC ........... 283
246,100 BOSTON PROPERTIES, INC ............. 7,506
2,727(degree)BOYKIN LODGING CO ................ 34
175,283 BRADLEY REAL ESTATE, INC ........... 3,593
See notes to financial statements.
35
<PAGE>
VALUE
SHARES (000)
------ --------
HOLDING AND OTHER INVESTMENT OFFICES--(CONTINUED)
6,000 BRANDYWINE REALTY TRUST ............ $ 107
222,000 BRE PROPERTIES, INC (CLASS A) ...... 5,495
6,700,398 BRIERLEY INVESTMENTS LTD ........... 1,522
29,900 BURNHAM PACIFIC PROPERTIES, INC .... 361
134,272 CAMDEN PROPERTY TRUST .............. 3,491
276,477 CAPSTEAD MORTGAGE CORP ............. 1,140
447,000 CARRAMERICA REALTY CORP ............ 10,728
223,900 CBL & ASSOCIATES PROPERTIES, INC ... 5,779
243,400 CCA PRISON REALTY TRUST ............ 4,990
226,600 CENTERPOINT PROPERTIES CORP ........ 7,662
40,800(degree)CENTERTRUST RETAIL PROPERTIES, INC 500
32,600(degree)CHARLES E. SMITH RESIDENTIAL REALTY 1,047
69,900 CHATEAU PROPERTIES, INC ............ 2,049
64,700 CHELSEA GCA REALTY, INC ............ 2,305
648,500(degree)COAST FEDERAL LITIGATION
CONTINGENT RTS .................... 4,296
59,900 COLONIAL PROPERTIES TRUST .......... 1,595
55,829 COMMERCIAL NET LEASE REALTY, INC ... 740
207,600 CORNERSTONE PROPERTIES, INC ........ 3,244
2,800 CORNERSTONE REALTY INCOME TRUST, INC 29
93,877 COUSINS PROPERTIES, INC ............ 3,028
798,600 CRESCENT REAL ESTATE EQUITIES CO ... 18,368
29,910(degree)CRESECENT OPERATING, INC ......... 142
6,496 xCRIIMI MAE, INC .................... 23
241,994 CROWN AMERICAN REALTY TRUST ........ 1,875
453,700 DEVELOPERS DIVERSIFIED REALTY CORP . 8,053
330,660(degree)DROTT AB SERIES B ................ 3,039
749,742 DUKE REALTY INVESTMENTS, INC ....... 17,432
26,793 DYNEX CAPITAL, INC ................. 124
58,900 EASTGROUP PROPERTIES, INC .......... 1,086
170,800 ENTERTAINMENT PROPERTIES TRUST ..... 2,904
23,100 EQUITY INNS, INC ................... 222
1,917,290 EQUITY OFFICE PROPERTIES TRUST ..... 46,015
543,451 EQUITY RESIDENTIAL PROPERTIES TRUST CO 21,976
2,400 ESSEX PROPERTY TRUST, INC .......... 71
12,922 EURAFRANCE S.A. .................... 8,559
102,900 FEDERAL REALTY INVESTMENT TRUST .... 2,431
18,415 FELCOR LODGING TRUST, INC .......... 425
3,620(degree)FIRST HUNGARY FUND LTD (CLASS A) . 4,929
292,500 FIRST INDUSTRIAL REALTY TRUST, INC . 7,843
1,598,400 FIRST NIS REGIONAL FUND (FULLY PD) . 9,990
248,893(degree)FIRST RUSSIAN FRONTIER PLC ORD ... 756
49,778(degree)FIRST RUSSIAN FRONTIER SERIES A
WTS 06/30/01 ...................... 21
3,100(degree)FIRST UNION REAL ESTATE INVESTMENTS 18
291,086 FRANCHISE FINANCE CORP OF AMERICA .. 6,986
235,700 GENERAL GROWTH PROPERTIES, INC ..... 8,927
343,538(degree)GETTY REALTY HOLDINGS CORP ....... 5,024
4,200 GLENBOROUGH REALTY TRUST, INC ...... 86
48,900 GLIMCHER REALTY TRUST .............. 767
33,030 GREAT LAKES REIT, INC .............. 518
110,500 HEALTH CARE PROPERTY INVESTORS, INC 3,398
100,318 HEALTH CARE REIT, INC .............. 2,596
73,000 HEALTHCARE REALTY TRUST, INC ....... 1,629
592,700 HIGHWOODS PROPERTIES, INC .......... 15,262
3,633(degree)HOME PROPERTIES OF NEW YORK, INC . 94
4,219(degree)HORIZON GROUP PROPERTIES, INC .... 16
227,400 HOSPITALITY PROPERTIES TRUST ....... 5,486
781,500 HRPT PROPERTIES TRUST .............. 10,990
8,251,400 HUTCHINSON WHAMPOA LTD ............. 58,312
100(degree)IMPAC MORTGAGE HOLDINGS, INC ..... 0
29,400 IMPERIAL CREDIT COMMERCIAL MORTGAGE
INVESTMENT CORP ................... 276
947,175 INDYMAC MORTGAGE HOLDINGS, INC ..... 10,005
120,900 INNKEEPERS U.S.A. TRUST ............ 1,428
97,300 IRT PROPERTY CO .................... 973
59,200 IRVINE APARTMENT COMMUNITIES, INC .. 1,887
65,400 JDN REALTY CORP .................... 1,410
103,500 JP REALTY, INC ..................... 2,031
1,726 KILROY REALTY CORP ................. 40
483,150 KIMCO REALTY CORP .................. 19,175
87,600 KOGER EQUITY, INC .................. 1,506
1,879,952 LAND SECURITIES PLC ................ 24,210
1,501,738 LEND LEASE CORP LTD ................ 20,266
230,800 LIBERTY PROPERTY TRUST CO .......... 5,683
800 LTC PROPERTIES, INC ................ 13
68,100 MACERICH CO ........................ 1,745
389,500 MACK-CALI REALTY CORP .............. 12,026
97,400 MANUFACTURED HOME COMMUNITIES, INC . 2,441
800,882 MEDITRUST CORP PAIRED .............. 12,113
113,300 MERIDIAN INDUSTRIAL TRUST, INC ..... 2,663
401,781 MERISTAR HOSPITALITY CORP .......... 7,458
21,635(degree)MERRY LAND PROPERTIES, INC ....... 78
54,400 MGI PROPERTIES, INC ................ 1,520
1,025 MID-AMERICA APARTMENT
COMMUNITIES, INC .................. 23
2,445 MILLS CORP ......................... 49
98,800 NATIONAL GOLF PROPERTIES, INC ...... 2,859
18,400 NATIONAL HEALTH INVESTORS, INC ..... 454
194,100 NATIONWIDE HEALTH PROPERTIES, INC .. 4,185
1,011,546 NEW PLAN EXCEL REALTY TRUST ........ 22,444
46,500 OMEGA HEALTHCARE INVESTORS, INC .... 1,404
262,240 ORIENTAL HOLDINGS .................. 283
20,900 PACIFIC GULF PROPERTIES, INC ....... 419
91,900 PAN PACIFIC RETAIL PROPERTIES, INC . 1,832
3,546 PARKWAY PROPERTIES, INC ............ 111
263,825 PATRIOT AMERICAN HOSPITALITY, INC .. 1,583
77,572(degree)PEC ISRAEL ECONOMIC CORP ......... 2,230
438,824 NOBLEZA-PICCARDO SDAD INDUSTRIAL
COMERCIAL Y FINANCIERA ............ 1,858
106,740 POST PROPERTIES, INC ............... 4,103
569,100 POWER CORP OF CANADA ............... 12,301
236,400 PRENTISS PROPERTIES TRUST .......... 5,275
4,575(degree)PRICESMART, INC .................. 80
34,000 PRIME GROUP REALTY TRUST ........... 514
144,300 PROLOGIS TRUST ..................... 2,994
45,448 PS BUSINESS PARKS, INC ............. 1,085
889,200 PUBLIC STORAGE, INC ................ 24,064
102,300 REALTY INCOME CORP ................. 2,545
143,600 RECKSON ASSOCIATES REALTY CORP ..... 3,186
15,229 REDWOOD TRUST, INC ................. 213
76,600 REGENCY REALTY CORP ................ 1,704
156,700 REMBRANDT GROUP LTD ................ 959
317,000 RFS HOTEL INVESTORS, INC ........... 3,883
100 SAUL CENTERS, INC .................. 2
105,300 SHURGARD STORAGE CENTERS, INC ...... 2,718
764,260 SIMON PROPERTY GROUP, INC .......... 21,781
5,500 SL GREEN REALTY CORP ............... 119
54,600(degree)SOVRAN SELF STORAGE, INC ......... 1,372
318,000 SPIEKER PROPERTIES, INC ............ 11,011
32,501 ST. JAMES PLACE CAPITAL PLC ........ 157
13,600 STARWOOD FINANCIAL TRUST ........... 816
978,437 STARWOOD HOTELS & RESORTS TRUST .... 22,198
26,500(degree)STORAGE TRUST REALTY ............. 619
208,900 STORAGE U.S.A., INC ................ 6,750
1,511,000 SUMITOMO CORP ...................... 7,367
48,100(degree)SUMMIT PROPERTIES, INC ........... 830
63,600 SUN COMMUNITIES, INC ............... 2,214
900 SUNSTONE HOTEL INVESTORS, INC ...... 8
900 TANGER FACTORY OUTLET CENTERS, INC . 19
548,680 TAUBMAN CENTERS, INC ............... 7,544
74,009(degree)THORNBURG MORTGAGE ASSET CORP .... 564
275,700 TOWER REALTY TRUST, INC ............ 5,548
1,100 TOWN & COUNTRY TRUST ............... 18
83,400 TRINET CORPORATE REALTY TRUST, INC . 2,231
38,800 U.S. RESTAURANT PROPERTIES, INC .... 943
20,505,060(degree)UNIONE IMMOBILIARE S.P.A. ........ 10,718
See notes to financial statements.
36
<PAGE>
VALUE
SHARES (000)
------ --------
HOLDING AND OTHER INVESTMENTS OFFICE (CONTINUED)
1,070,712 UNITED DOMINION REALTY TRUST, INC .. $11,042
1,206 UNIVERSAL HEALTH REALTY
INCOME TRUST ...................... 24
58,500 URBAN SHOPPING CENTERS, INC ........ 1,916
712,456(degree)VENTAS, INC ...................... 8,683
5,465(degree)VORNADO OPERATING CO ............. 44
189,200 VORNADO REALTY TRUST ............... 6,386
119,300(degree)WALDEN RESIDENTIAL PROPERTIES, INC 2,438
162,900 WASHINGTON REAL ESTATE
INVESTMENT TRUST .................. 3,034
40,600 WEEKS CORP 1,144
374,332 WEINGARTEN REALTY INVESTORS, INC ... 16,705
59,198(degree)WELLSFORD REAL PROPERTIES, INC ... 610
55,300 WESTERN INVESTMENT REAL ESTATE TRUST 653
151,800 WESTFIELD AMERICA, INC ............. 2,619
84,407(degree)WESTFIELD TRUST (UNITS) NEW ...... 181
1,700 WINSTON HOTELS, INC ................ 14
----------
843,539
----------
HOTELS AND OTHER LODGING PLACES--0.17%
84,236(degree)ACCOR S.A. ....................... 18,246
741,072(degree)AZTAR CORP ....................... 3,752
611,000 BERJAYA LAND BERHAD ................ 206
9,050(degree)BRISTOL HOTELS & RESORTS, INC .... 55
4,820,071(degree)CENDANT CORP ..................... 91,883
385,078(degree)CHOICE HOTELS INTERNATIONAL, INC . 5,271
20,184(degree)CIRCUS CIRCUS ENTERPRISES, INC ... 231
48,700(degree)CLUB MEDITERRANEE S.A. ........... 4,376
245,660(degree)CRESTLINE CAPITAL CORP ........... 3,593
1,628,934(degree)CROWN LTD ........................ 610
1,098,600(degree)EXTENDED STAY AMERICA, INC ....... 11,535
70,000(degree)FABER GROUP BERHAD ............... 8
10,000 FUJITA KANKO, INC .................. 89
6,500 GENTING BERHAD ..................... 10
19,100(degree)GENTING INTERNATIONAL PLC ........ 2
2,000 HARBOUR CENTRE DEVELOPMENT LTD ..... 1
30,017 HILTON HOTELS CORP ................. 574
46,353(degree)HOMESTEAD VILLAGE, INC ........... 209
3,137,283 HONG KONG & SHANGHAI HOTELS LTD .... 2,227
34,500 HOTEL PROPERTIES LTD ............... 15
82,000 JURYS HOTEL GROUP PLC .............. 624
19,278 KERSAF INVESTMENTS LTD ............. 59
731,676 LADBROKE GROUP PLC ................. 2,940
440,000 LANDMARKS HOLDINGS BERHAD .......... 82
84,700(degree)LODGIAN, INC ..................... 413
74,415(degree)MARCUS CORP ...................... 1,209
132,400 MEIKLES AFRICA LTD ................. 74
6,400(degree)MERISTAR HOTELS & RESORTS, INC ... 17
7,181(degree)MGM GRAND, INC ................... 195
1,834,500 MIRAMAR HOTEL & INVESTMENT CO LTD .. 1,882
600(degree)PRIMADONNA RESORTS, INC .......... 5
3,471(degree)PRIME HOSPITALITY CORP ........... 37
983,750(degree)PROMUS HOTEL CORP ................ 31,849
199,288(degree)RED ROOF INNS, INC ............... 3,363
384,500 REGAL HOTELS INTERNATIONAL LTD ..... 42
968,100 RESORTS WORLD BERHAD ............... 781
2,832,500 SHANGRI-LA ASIA LTD ................ 2,413
2,703 SHANGRI-LA HOTELS BERHAD ........... 1
42,500 SOL MELIA S.A. ..................... 1,485
7,800(degree)SUBURBAN LODGES OF AMERICA, INC .. 64
11,786(degree)SUNBURST HOSPITALITY CORP ........ 50
233,293(degree)SUNTERRA CORP .................... 3,499
61,700(degree)TRENDWEST RESORTS, INC ........... 771
10,500(degree)TRUMP HOTEL & CASINO RESORT, INC . 39
2,831(degree)VAIL RESORTS, INC ................ 62
18,600(degree)VISTANA, INC ..................... 260
1,654,666 ZIMBABWE SUN LTD ................... 93
----------
195,202
----------
INDUSTRIAL MACHINERY AND EQUIPMENT--6.78%
5,173,949(degree)3COM CORP ........................ $231,858
2,400(degree)3DFX INTERACTIVE, INC ............ 30
13,681 ABB ASEA BROWN BOVERI LTD (BR) ..... 16,037
2,493,300(degree)ADAPTEC, INC ..................... 43,789
1,300(degree)AG-CHEM EQUIPMENT CO, INC ........ 15
190,200 AGCO CORP .......................... 1,498
137,240 AGIV AG. ........................... 3,543
2,700 ALAMO GROUP, INC ................... 31
3,500 ALLIED PRODUCTS CORP ............... 22
219,000 AMADA CO LTD ....................... 1,062
333,000 AMANO CORP ......................... 3,150
1,066,300(degree)AMERICAN STANDARD COS, INC ....... 38,387
53,200(degree)APEX PC SOLUTIONS, INC ........... 1,536
1,502,694(degree)APPLE COMPUTER, INC .............. 61,517
3,116,400(degree)APPLIED MATERIALS, INC ........... 133,031
184,049 APPLIED POWER, INC (CLASS A) ....... 6,948
45,000(degree)ASK ASA .......................... 278
9,600(degree)ASTEC INDUSTRIES, INC ............ 534
5,800(degree)ASYST TECHNOLOGIES, INC .......... 118
284,010 ATLAS COPCO AB SERIES A FREE ....... 6,237
235,270 ATLAS COPCO AB SERIES B FREE ....... 5,108
2,000(degree)ATMI, INC ........................ 51
26,900(degree)AUSPEX SYSTEMS, INC .............. 116
266,370(degree)AUTOTOTE CORP (CLASS A) .......... 516
380,331 BAKER HUGHES, INC .................. 6,727
3,700(degree)BANCTEC, INC ..................... 46
34,200(degree)BELL & HOWELL CO ................. 1,293
107,100 BLACK & DECKER CORP ................ 6,004
500(degree)BLACK BOX CORP ................... 19
5,300(degree)BROWN & SHARPE MANUFACTURING CO
(CLASS A) ......................... 42
1,090,315 BRUNSWICK CORP ..................... 26,985
8,700(degree)BUDERUS AG. ...................... 3,171
476,400(degree)C-CUBE MICROSYSTEMS, INC ......... 12,922
908,400(degree)CABLETRON SYSTEMS, INC ........... 7,608
2,076 CASCADE CORP ....................... 33
102,434 CASE CORP .......................... 2,234
1,000 CATENA CORP ........................ 4
2,040,200 CATERPILLAR, INC ................... 93,849
1,049,000(degree)CIRRUS LOGIC, INC ................ 10,293
14,003,690(degree)CISCO SYSTEMS, INC ............... 1,299,717
1,895,000(degree)COLTEC INDUSTRIES, INC ........... 36,953
39,100 COLUMBUS MCKINNON CORP ............. 704
11,656,726 COMPAQ COMPUTER CORP ............... 488,854
42,296(degree)COOPER CAMERON CORP .............. 1,036
280,400(degree)COPYTELE, INC .................... 359
283,200 CUMMINS ENGINE CO, INC ............. 10,054
9,550(degree)CUNO, INC ........................ 155
6,900(degree)CYLINK CORP ...................... 25
57,000 DAIFUKU CO LTD ..................... 305
988,000 DAIKIN INDUSTRIES LTD .............. 9,810
7,100(degree)DATA GENERAL CORP ................ 117
1,815,873 DEERE & CO ......................... 60,151
7,534,738(degree)DELL COMPUTER CORP ............... 551,449
487,174 DELTA PLC .......................... 908
114,700(degree)DETROIT DIESEL CORP .............. 2,373
181,850(degree)DEUTZ AG. ........................ 1,692
137,600(degree)DIALOGIC CORP .................... 2,705
267,700(degree)DIAMOND MULTIMEDIA SYSTEMS, INC .. 1,707
1,169,762 DIEBOLD, INC ....................... 41,746
200,300(degree)DIGI INTERNATIONAL, INC .......... 2,228
252,100 DONALDSON CO, INC .................. 5,231
427,750 DOVER CORP ......................... 15,666
69,000(degree)DREXLER TECHNOLOGY CORP .......... 828
94,600(degree)DRIL-QUIP, INC ................... 1,679
1,200 DT INDUSTRIES, INC ................. 19
393,000 EBARA CORP ......................... 3,390
See notes to financial statements.
37
<PAGE>
VALUE
SHARES (000)
------ --------
INDUSTRIAL MACHINERY AND EQUIPMENT--(CONTINUED)
8,100(degree)ELECTROGLAS, INC ................. $ 95
3,858,489(degree)EMC CORP ......................... 327,972
3,000(degree)EMULEX CORP ...................... 120
3,100(degree)ENCAD, INC ....................... 11
20,400(degree)EST ASIATIQUE .................... 141
287,620(degree)ESTERLINE CORP ................... 6,256
6,200(degree)ETEC SYSTEMS, INC ................ 248
4,300(degree)EXABYTE CORP ..................... 24
17,900 FAG KUGELFISCHER (GEORG) SCHAEFER AG. 152
570,220 FANUC LTD .......................... 19,563
249,370 FEDDERS CORP ....................... 1,449
153,550 FEDDERS CORP (CLASS A) ............. 806
5,400(degree)FEI CO ........................... 41
1,941,095 FKI PLC ............................ 4,344
656,310 FLOWSERVE CORP ..................... 10,870
63,300 FLS INDUSTRIES AS (CLASS B) ........ 1,293
6,900(degree)FSI INTERNATIONAL, INC ........... 72
2,000 FUJI TEC CO LTD .................... 13
2,823,121 FUTURIS CORP LTD ................... 3,204
170,691(degree)GARDNER DENVER, INC .............. 2,518
14,738(degree)GATEWAY 2000, INC ................ 754
14,800 GENERAL BINDING CORP ............... 551
500,000 GILDEMEISTER S.P.A. ................ 1,822
43,500(degree)GLEASON CORP ..................... 788
211,917(degree)GLOBAL INDUSTRIAL TECHNOLOGIES, INC 2,265
239,881 GRACO, INC ......................... 7,076
6,962(degree)GRADCO SYSTEMS, INC .............. 18
61,100 HARDINGE, INC ...................... 1,127
38,300 HARNISCHFEGER INDUSTRIES, INC ...... 390
6,412,197 HEWLETT-PACKARD CO ................. 438,033
891,000 HITACHI ZOSEN CORP ................. 1,232
294,300(degree)HORIZON OFFSHORE, INC ............ 1,619
783,473 HUSSMANN INTERNATIONAL, INC ........ 15,180
77,200(degree)HYPERCOM CORP .................... 762
24,630 IDEX CORP .......................... 603
2,500(degree)IN FOCUS SYSTEMS, INC ............ 22
70,530 INDUSTRIE-WERKE KARLSRUHE
AUGSBURG AG. ...................... 1,156
1,688,900 INGERSOLL-RAND CO .................. 79,273
250,900(degree)INTEGRATED PROCESS EQUIPMENT CORP 2,697
9,489,225*INTERNATIONAL BUSINESS MACHINES CORP .... 1,753,134
500(degree)INTEVAC, INC ..................... 3
47,551(degree)IOMEGA CORP ...................... 348
400(degree)IONICS, INC ...................... 12
266,605(degree)IRI INTERNATIONAL CORP ........... 1,066
669,000 JLG INDUSTRIES, INC ................ 10,453
96,100(degree)JTS CORP ......................... 1
419,200 KAYDON CORP ........................ 16,794
80,000(degree)KCI KONESCRANES INTERNATIONAL .... 3,634
19 KENNAMETAL, INC .................... 0
2,071,900 KEPPEL CORP ........................ 5,550
1,487,000 KOMATSU LTD ........................ 7,817
310,000 KOMORI CORP ........................ 6,541
11,360 KONE CORP SERIES B ................. 1,324
97,000 KOYO SEIKO CO LTD .................. 538
48,800(degree)KRONOS, INC ...................... 2,162
2,615,000 KUBOTA CORP ........................ 7,813
5,800(degree)KULICHE & SOFFA INDUSTRIES, INC .. 103
379,000 KURITA WATER INDUSTRIES LTD ........ 5,571
107,559(degree)LAM RESEARCH CORP ................ 1,916
819,633(degree)LEXMARK INTERNATIONAL GROUP (CLASS A) 82,373
89,300 LINCOLN ELECTRIC HOLDINGS CO ....... 1,987
6,593 LINDE AG. .......................... 4,057
14,450 LINDSAY MANUFACTURING CO ........... 214
680,000 LUCASVARITY PLC ADR ................ 22,780
7,000 LUFKIN INDUSTRIES, INC ............. 130
322,000 MAKINO MILLING MACHINE CO LTD ...... 1,847
451,000 MAKITA CORP ........................ 5,034
82,675 MANITOWOC, INC ..................... 3,669
91,300 METRA CO SERIES B .................. 1,587
3,900(degree)MICRON ELECTRONICS, INC .......... 68
192,300(degree)MICROS SYSTEMS, INC .............. 6,322
2,000(degree)MICROTOUCH SYSTEMS, INC .......... 26
609,752 MILACRON, INC ...................... 11,738
1,938,000 MINEBEA CO LTD ..................... 22,232
2,522,500 MINNESOTA MINING &
MANUFACTURING CO .................. 179,413
8,016,000 MITSUBISHI HEAVY INDUSTRIES LTD .... 31,268
374,000 MORI SEIKI CO LTD .................. 4,244
5,200(degree)MTI TECHNOLOGY CORP .............. 23
257 NACCO INDUSTRIES, INC (CLASS A) .... 24
7,691(degree)NASHUA CORP ...................... 102
1,650(degree)NATIONAL INSTRUMENTS CORP ........ 56
107,500(degree)NETWORK COMPUTING DEVICES, INC ... 753
8,641(degree)NETWORK EQUIPMENT TECHNOLOGIES, INC 89
302,000(degree)NIDEC CORP ....................... 37,027
5,000 NIKKO CO LTD ....................... 11
1,800 NN BALL & ROLLER, INC .............. 11
135,072 NORDSON CORP ....................... 6,939
882,434(degree)NOVELLUS SYSTEMS, INC ............ 43,680
554,000 NSK LTD ............................ 2,073
240,000 NTN TOYO BEARING CO LTD ............ 774
498,000 OKUMA CORP ......................... 2,596
103,900 OMNIQUIP INTERNATIONAL, INC ........ 1,559
34,000 OMRON CORP ......................... 467
5,916(degree)OSMONICS, INC .................... 50
16,926 PALL CORP .......................... 428
2,925(degree)PAXAR CORP ....................... 26
465,400 PENTAIR, INC ....................... 18,529
1,250,041 PITNEY BOWES, INC .................. 82,581
2,000(degree)POKPHAND (C.P.) CO LTD ........... 0
11,500(degree)PRESSTEK, INC .................... 78
1,800(degree)PRI AUTOMATION, INC .............. 47
2,200(degree)PROXIM, INC ...................... 59
274,502(degree)QMS, INC ......................... 875
52,300(degree)QUANTUM CORP ..................... 1,111
3,133 RAUMA OY ........................... 46
1,000 ROBBINS & MYERS, INC ............... 22
438,450 ROPER INDUSTRIES, INC .............. 8,933
4,200(degree)SANDISK CORP ..................... 59
271,000 SANDVIK AB SERIES A ................ 4,714
99,000 SANDVIK AB SERIES B FREE ........... 1,710
100,000 SANSO ELECTRIC CO LTD .............. 470
120,600 SAUER, INC ......................... 912
4,058 SCHINDLER HOLDINGS LTD (PT CERT) ... 6,500
4,360 SCHINDLER HOLDINGS LTD (REGD) ...... 7,428
38,339 SCOTSMAN INDUSTRIES, INC ........... 788
1,218,035(degree)SEAGATE TECHNOLOGY, INC .......... 36,846
18,500(degree)SECURITY DYNAMICS TECHNOLOGIES, INC 426
78,600(degree)SEQUENT COMPUTER SYSTEMS, INC .... 948
450,200(degree)SHIVA CORP ....................... 2,546
363,835 SIDEL S.A. ......................... 30,872
70,204(degree)SILICON GRAPHICS, INC ............ 904
1,400(degree)SILICON VALLEY GROUP, INC ........ 18
220,250(degree)SLI, INC ......................... 6,112
14,775(degree)SMITH CORONA WTS 02/28/99 ........ 1
15,514(degree)SMITH INTERNATIONAL, INC ......... 391
116,200(degree)SPECIALTY EQUIPMENT COS, INC ..... 3,145
10,400(degree)SPEEDFAM INTERNATIONAL, INC ...... 178
232,800(degree)SPLASH TECHNOLOGY HOLDINGS, INC .. 1,731
126,682 STANDEX INTERNATIONAL CORP ......... 3,325
30,035 STARRETT (L.S.) CO (CLASS A) ....... 1,031
34,000 #STARRETT (L.S.) CO (CLASS B) ....... 1,167
1,610,646(degree)STORAGE TECHNOLOGY CORP .......... 57,279
48,411 STORK NV ........................... 1,107
512,000x(degree)STREAMLOGIC CORP ................ 10
300 SULZER WINTERTHUR AG. (REGD) ....... 183
See notes to financial statements.
38
<PAGE>
VALUE
SHARES (000)
------ --------
INDUSTRIAL MACHINERY AND EQUIPMENT--(CONTINUED)
308,000 SUMITOMO HEAVY INDUSTRIES LTD ...... $ 644
20,000 SVENSKA KULLAGERFABRIKEN AB SERIES A
FREE .............................. 227
134,801 SVENSKA KULLAGERFABRIKEN AB SERIES B 1,572
326,100 SYMBOL TECHNOLOGIES, INC ........... 20,850
329,000 TAKUMA CO LTD ...................... 2,109
181,900 TECUMSEH PRODUCTS CO (CLASS A) ..... 8,481
31,300 TECUMSEH PRODUCTS CO (CLASS B) ..... 1,416
104,700(degree)TELXON CORP ...................... 1,453
190,500 TENNANT CO ......................... 7,644
2,142,846 TENNECO, INC ....................... 72,991
30,700(degree)TEREX CORP ....................... 877
935,653 TIMKEN CO .......................... 17,660
273,250 TOMRA SYSTEMS AS ................... 8,966
76,350 TORO CO ............................ 2,176
349,900 TOYODA AUTOMATIC LOOM WORKS LTD .... 6,201
242,500(degree)TRICORD SYSTEMS, INC ............. 546
626,000 TSUBAKIMOTO CHAIN CO ............... 1,337
32,000(degree)TSUGAMI CORP ..................... 35
9,851,305 TYCO INTERNATIONAL LTD ............. 743,158
385,633(degree)U.S. FILTER CORP ................. 8,821
3,656(degree)ULTRATECH STEPPER, INC ........... 58
4,193,700(degree)UNISYS CORP ...................... 144,421
258,288(degree)UNOVA, INC ....................... 4,681
109,800(degree)VALMET OY SERIES A ............... 1,475
994,979(degree)VARCO INTERNATIONAL, INC ......... 7,711
428 VARIAN ASSOCIATES, INC ............. 16
718,300 VICKERS PLC ........................ 2,163
263,500(degree)VISUAL NETWORKS, INC ............. 9,881
3,893(degree)WESTAIM CORP ..................... 19
19,800(degree)WESTERN DIGITAL CORP ............. 298
18,800(degree)XIRCOM, INC ...................... 639
687,900 YORK INTERNATIONAL CORP ............ 28,075
40,997 ZARDOYA OTIS S.A. .................. 1,282
2,600(degree)ZEBRA TECHNOLOGY CORP ............ 75
1,440#(degree)ZEBRA TECHNOLOGY CORP (CLASS B) . 41
----------
7,892,601
----------
INSTRUMENTS AND RELATED PRODUCTS--2.08%
150,100(degree)ACUSON CORP ...................... 2,233
337,975(degree)ADAC LABORATORIES, INC ........... 6,749
2,000(degree)ADE CORP ......................... 26
823,680(degree)AFFYMETRIX, INC .................. 20,077
94,100(degree)ALARIS MEDICAL, INC .............. 553
1,500(degree)ANACOMP, INC ..................... 28
90,500(degree)ANALOGIC CORP .................... 3,405
198,894 ARROW INTERNATIONAL, INC ........... 6,240
922,850(degree)ARTERIAL VASCULAR ENGINEERING, INC 48,450
41,800(degree)AVID TECHNOLOGIES, INC ........... 977
10,673(degree)BACOU U.S.A., INC ................ 229
188,833 BALLARD MEDICAL PRODUCTS CO ........ 4,591
689,325 BARD (C.R.), INC ................... 34,122
802,123 BAUSCH & LOMB, INC ................. 48,127
1,416,798 BAXTER INTERNATIONAL, INC .......... 91,118
97,100(degree)BAXTER INTERNATIONAL, INC RTS .... 8
96,187 BECKMAN COULTER, INC ............... 5,218
836,524 BECTON DICKINSON & CO .............. 35,709
85,056(degree)BIO-RAD LABORATORIES, INC (CLASS A) 1,786
948,900 BIOMET, INC ........................ 38,193
53,624(degree)BOLLE, INC ....................... 107
320,100(degree)BOSTON SCIENTIFIC CORP ........... 8,583
1,873,000 CANON, INC ......................... 40,100
840,000 CASIO COMPUTER CO LTD .............. 6,211
8,200x(degree)CELLPRO, INC .................... 0
1,866(degree)CHYRON CORP ...................... 3
4,600(degree)CIRCON CORP ...................... 69
98,000 CITIZEN WATCH CO LTD ............... 591
23,400(degree)CLOSURE MEDICAL CORP ............. 698
19,700(degree)CNS, INC ......................... 68
4,480(degree)COHERENT, INC .................... 56
108,100(degree)COHESION TECHNOLOGIES, INC ....... 392
46,200 COHU, INC .......................... 1,016
13,800(degree)COLE NATIONAL CORP (CLASS A) ..... 236
3,400 COLLAGEN AESTHETICS, INC ........... 31
250,400(degree)CONMED CORP ...................... 8,263
160,775(degree)COOPER COS, INC .................. 3,326
6,300(degree)CREDENCE SYSTEMS CORP ............ 117
95,980 CUBIC CORP ......................... 1,800
1,700(degree)CYBERONICS, INC .................. 23
2,696(degree)CYMER, INC ....................... 39
59,400(degree)CYTYC CORP ....................... 1,530
1,550 DANIEL INDUSTRIES, INC ............. 19
213,300(degree)DATASCOPE CORP ................... 4,906
717,600 DENTSPLY INTERNATIONAL, INC ........ 18,478
197,800(degree)DIONEX CORP ...................... 7,244
139,250(degree)DYNATECH CORP .................... 383
2,654,989 EASTMAN KODAK CO ................... 191,159
1,871(degree)ESCO ELECTRONICS CORP (TRUST RECEIPT) 17
47,300 ESSILOR INTERNATIONAL .............. 18,628
141,050(degree)FOSSIL, INC ...................... 4,055
537 FRESENIUS MEDICAL CARE AG. ADR ..... 13
1,493,500 FUJI PHOTO FILM CO LTD ............. 55,609
75,000 GEA AG. ............................ 2,265
317,700(degree)GENRAD, INC ...................... 5,004
1,073,826 GUIDANT CORP ....................... 118,389
214,400(degree)HAEMONETICS CORP ................. 4,878
295,300(degree)HANGER ORTHOPEDIC GROUP, INC ..... 6,644
63,700(degree)HEALTHDYNE INFORMATION ENTERPRISES 326
1,400(degree)HEARTPORT, INC ................... 8
800(degree)HOLOGIC, INC ..................... 10
1,963,700 HONEYWELL, INC ..................... 147,891
200(degree)I-STAT CORP ...................... 2
58,100(degree)IMATRON, INC ..................... 80
1,169,343 IMI PLC ............................ 4,621
774(degree)INPUT/OUTPUT, INC ................ 6
40,420 INSTRUMENTARIUM GROUP SERIES B FREE 1,668
194,700 INVACARE CORP ...................... 4,673
73,400(degree)ISOLYSER CO, INC ................. 78
941,628 JOHNSON CONTROLS, INC 55,556
66,330 KEYENCE CORP ....................... 8,174
21,400(degree)KLA-TENCOR CORP .................. 928
1,064,000 KONICA CORP ........................ 4,858
1,700(degree)LECROY CORP ...................... 28
16,300(degree)LIFECORE BIOMEDICAL, INC ......... 167
545,797(degree)LITTON INDUSTRIES, INC ........... 35,613
200(degree)LTX CORP ......................... 1
1,000(degree)LUNAR CORP ....................... 10
145,300(degree)MAXXIM MEDICAL, INC .............. 4,323
3,306,487 MEDTRONIC, INC ..................... 245,507
21,600 MENTOR CORP ........................ 506
480,200(degree)METTLER-TOLEDO INTERNATIONAL, INC 13,476
800 MILLIPORE CORP ..................... 23
96,000(degree)MINE SAFETY APPLIANCE CO ......... 6,816
2,400(degree)MINIMED, INC ..................... 251
77,900 MOVADO GROUP, INC .................. 2,074
239,400 MTS SYSTEMS CORP ................... 3,232
7,500(degree)NEOPATH, INC ..................... 45
157,500 NEWPORT CORP ....................... 2,658
542,000 NIKON CORP ......................... 5,285
12,500(degree)NOVOSTE CORP ..................... 355
3,100(degree)OAKLEY, INC ...................... 29
127,932 OCE NV ............................. 4,601
199,000(degree)OCULAR SCIENCES, INC ............. 5,323
91,700(degree)OEC MEDICAL SYSTEMS, INC ......... 2,883
1,618,000 OLYMPUS OPTICAL CO LTD ............. 18,633
1,900 OPTICAL COATING LABORATORIES, INC .. 49
See notes to financial statements.
39
<PAGE>
VALUE
SHARES (000)
------ --------
INSTRUMENTS AND RELATED PRODUCTS--(CONTINUED)
86(degree)PANAVISION, INC NEW .............. $ 1
3,100(degree)PERCEPTION, INC .................. 21
45,000(degree)PERCLOSE, INC .................... 1,491
553 PERKIN-ELMER CORP .................. 54
135,200(degree)PINNACLE SYSTEMS, INC ............ 4,833
571,208 POLAROID CORP ...................... 10,674
28,000(degree)POSSIS MEDICAL, INC .............. 189
11,450 RADIOMETER AS (CLASS B) ............ 603
1,133,198 RAYTHEON CO (CLASS A) .............. 58,572
508,251 RAYTHEON CO (CLASS B) .............. 27,064
253,600(degree)RESMED, INC ...................... 11,507
328,688(degree)RESPIRONICS, INC ................. 6,584
712,923(degree)RICOH CO LTD ..................... 6,586
32,900(degree)ROBOTIC VISION SYSTEMS, INC ...... 93
2,400(degree)ROFIN-SINAR TECHNOLOGIES, INC .... 23
100,900(degree)SABRATEK CORP .................... 1,652
14,292 SAGEM S.A. ......................... 9,466
1,900(degree)SCHICK TECHNOLOGIES, INC ......... 19
59,800(degree)SCOTT TECHNOLOGIES, INC .......... 989
66,900(degree)SEPRACOR, INC .................... 5,896
14,692,348 SIEBE PLC .......................... 57,935
68,900(degree)SOFAMOR DANEK GROUP, INC ......... 8,389
11,349(degree)SOLA INTERNATIONAL, INC .......... 196
70,956(degree)SONOSITE, INC .................... 736
2,160(degree)SPACELABS MEDICAL, INC ........... 50
1,075,558(degree)ST. JUDE MEDICAL, INC ............ 29,780
2,100(degree)STAAR SURGICAL CO ................ 16
1,131,244(degree)STERIS CORP ...................... 32,170
600 STRYKER CORP ....................... 33
10,700(degree)SUMMIT TECHNOLOGY, INC ........... 47
2,800(degree)SUNRISE MEDICAL, INC ............. 35
746,800(degree)SYBRON INTERNATIONAL CORP ........ 20,304
1,200(degree)TAVA TECHNOLOGIES, INC ........... 9
41,635(degree)TECH-SYM CORP .................... 926
1,029,479 TEKTRONIX, INC ..................... 30,949
23,954(degree)TERADYNE, INC .................... 1,015
1,100 THE SWATCH GROUP AG. (BR) .......... 681
51,790 THE SWATCH GROUP AG. (REGD) ........ 7,758
58,350(degree)THERMEDICS, INC .................. 631
3,100(degree)THERMO CARDIOSYSTEMS, INC ........ 32
34,722(degree)THERMO ELECTRON CORP ............. 588
4,185(degree)THERMO INSTRUMENT SYSTEMS, INC ... 63
3,600(degree)THERMO OPTEK CORP ................ 31
3,300(degree)THERMOQUEST CORP ................. 43
7,000(degree)THERMOSPECTRA CORP ............... 79
36,900(degree)THERMOTREX CORP .................. 316
898(degree)TREX MEDICAL CORP ................ 8
5,800(degree)TRIMBLE NAVIGATION LTD ........... 42
24,400(degree)VENTANA MEDICAL SYSTEMS, INC ..... 528
292,300(degree)VISX, INC ........................ 25,558
87,200 VITAL SIGNS, INC ................... 1,526
468,200(degree)VIVUS, INC ....................... 1,214
310(degree)WATERS CORP ...................... 27
500 WATKINS-JOHNSON CO ................. 10
178,018(degree)WESLEY JESSEN VISIONCARE, INC .... 4,940
3,294,712 WILLIAMS PLC ....................... 18,706
7,000(degree)WIRELESS TELECOM GROUP, INC ...... 13
225,400 X RITE, INC ........................ 1,747
4,952,690 XEROX CORP ......................... 584,417
5,600(degree)XOMED SURGICAL PRODUCTS, INC ..... 179
801,000 YOKOGAWA ELECTRIC CORP ............. 3,977
53,200(degree)ZYGO CORP ........................ 459
----------
2,422,036
----------
INSURANCE AGENTS, BROKERS AND SERVICE--0.16%
6,100 BLANCH (E.W.) HOLDINGS, INC ........ 289
235,100 CRAWFORD & CO (CLASS A) ............ 3,144
167,800 CRAWFORD & CO (CLASS B) ............ 2,590
1,034,906(degree)FIRST HEALTH GROUP CORP .......... 17,141
218,287(degree)FORTIS AG. ....................... 79,108
51,968(degree)FORTIS AG. CVG ................... 234
54,003(degree)FORTIS AG. NPV (STRIP VVPR). ..... 3
12,100 GALLAGHER (ARTHUR J.) & CO ......... 534
8,200 GENERALI HOLDING VIENNA ............ 2,015
34,362 HILB, ROGAL & HAMILTON CO .......... 683
251,384 LAB HOLDINGS, INC .................. 4,399
20,500 MARSCHOLLEK LAUT UND PARTNER ....... 11,766
1,086,379 MARSH & MCLENNAN COS, INC .......... 63,485
43,992 POE & BROWN, INC ................... 1,537
----------
186,928
----------
INSURANCE CARRIERS--5.34%
27,900 20TH CENTURY INDUSTRIES ............ 647
37,605 AACHENER & MUNCHENER BETEIL (BR) ... 4,427
93,600 AACHENER & MUNCHENER BETEIL (REGD) . 13,768
1,800(degree)ACCEPTANCE INSURANCE COS, INC .... 36
65,000 ACE LTD ............................ 2,238
2,297,000 AEGON NV ........................... 282,244
18,668 AEGON NV ARS ....................... 2,282
960,221 AETNA, INC ......................... 75,497
1,981,146 AFLAC, INC ......................... 87,170
3,880(degree)AGF-ASSUR GEN DE FRANCE CVG ...... 2
105,900 ALFA CORP .......................... 2,568
102,916(degree)ALLEGHANY CORP (DELAWARE) ........ 19,335
642,917 ALLIANZ AG. (REGD) ................. 235,844
398,731 ALLMERICA FINANCIAL CORP ........... 23,077
11,371,506 ALLSTATE CORP ...................... 439,224
638,000 AMBAC FINANCIAL GROUP, INC ......... 38,400
183,201 AMERICAN ANNUITY GROUP, INC ........ 4,214
264,300 AMERICAN BANKERS INSURANCE GROUP, INC 12,786
285,008 AMERICAN FINANCIAL GROUP, INC ...... 12,505
1,580,082 AMERICAN GENERAL CORP .............. 123,246
85,699 AMERICAN HERITAGE LIFE INVESTMENT CORP 2,094
8,164,836 AMERICAN INTERNATIONAL GROUP, INC .. 788,927
59,500 AMERICAN MEDICAL SECURITY GROUP .... 852
232,600 AMERICAN NATIONAL INSURANCE CO ..... 19,248
386,000(degree)AMERIN CORP ...................... 9,119
930 AMERUS LIFE HOLDINGS, INC (CLASS A) 21
1,851,000(degree)AMP LTD .......................... 23,474
572,950 AON CORP ........................... 31,727
242,152 ARGONAUT GROUP, INC ................ 5,933
132,200 ARM FINANCIAL GROUP, INC (CLASS A) . 2,933
3,100 ASR VERZEKERINGSGROEP NV ........... 281
4,554,823 ASSICURAZIONI GENERALI S.P.A. ...... 190,581
960,668 AXA ................................ 139,297
7,673(degree)AXA CTF DE VALEUR GARANT ......... 37
321,050 BERKLEY (W.R.) CORP ................ 10,936
1,406(degree)BERKSHIRE HATHAWAY, INC (CLASS A) 98,420
15(degree)BERKSHIRE HATHAWAY, INC (CLASS B) 35
656,700 CAPITAL RE CORP .................... 13,175
1,100 CAPITOL TRANSAMERICA CORP .......... 21
2,552,107 CGU PLC ............................ 39,957
12,000 CHARTWELL RE CORP .................. 285
258,072 CHICAGO TITLE CORP ................. 12,113
950 CHIYODA FIRE & MARINE INSURANCE CO LTD 3
568,100 CHUBB CORP ......................... 36,855
1,883,395 CIGNA CORP ......................... 145,610
923,841 CINCINNATI FINANCIAL CORP .......... 33,836
18,044,627 CITIGROUP, INC ..................... 893,209
448,600 CMAC INVESTMENT CORP ............... 20,608
300(degree)CNA FINANCIAL CORP ............... 12
19,700 CNA SURETY CORP .................... 310
140,396 COLONIA KONZERN AG. (REGD) ......... 15,931
112,340 COMMERCE GROUP, INC ................ 3,981
24,900 COMPANHIA DE SEGUROS TRANQUILIDADE . 795
47,300(degree)COMPDENT CORP .................... 491
2,414,166 CONSECO, INC ....................... 73,783
22,956 CORPORACION MAPFRE S.A. ............ 624
418(degree)DELPHI FINANCIAL GROUP, INC ...... 22
See notes to financial statements.
40
<PAGE>
VALUE
SHARES (000)
------ --------
INSURANCE CARRIERS--(CONTINUED)
134,700 ENHANCE FINANCIAL SERVICES GROUP, INC $ 4,041
285,400 EQUITABLE COS, INC ................. 16,518
96,600 ERIE INDEMNITY CO (CLASS A) ........ 3,019
758,866 EVEREST REINSURANCE HOLDINGS, INC .. 29,548
1,030,500 EXEL LTD (CLASS A) ................. 77,288
130,039 FAI INSURANCES LTD ................. 59
34,750(degree)FAIRFAX FINANCIAL HOLDINGS LTD ... 12,217
210,729 FBL FINANCIAL GROUP, INC (CLASS A) . 5,110
337,030 FIDELITY NATIONAL FINANCIAL, INC ... 10,279
141,821 FINANCIAL SECURITY ASSURANCE
HOLDINGS LTD ...................... 7,694
755,348 FIRST AMERICAN FINANCIAL CORP ...... 24,266
735,000 FOREMOST CORP OF AMERICA ........... 15,435
452,975(degree)FOUNDATION HEALTH SYSTEMS (CLASS A) 5,407
4,900(degree)FPIC INSURANCE GROUP, INC ........ 234
605,760 FREMONT GENERAL CORP ............... 14,993
540 FRONTIER INSURANCE GROUP, INC ...... 7
5,000 GAINSCO, INC ....................... 31
2,353,047 GIO AUSTRALIAN HOLDINGS LTD ........ 7,736
29,400 GUARANTEE LIFE COS, INC ............ 544
519,475 GUARDIAN ROYAL EXCHANGE PLC ........ 2,908
181,800 HARLEYSVILLE GROUP, INC ............ 4,693
2,076,457 HARTFORD FINANCIAL SERVICES GROUP, INC 113,946
133,787 HARTFORD LIFE, INC (CLASS A) ....... 7,793
1,500 HCC INSURANCE HOLDINGS, INC ........ 26
2,351(degree)HIGHLANDS INSURANCE GROUP, INC ... 31
968,957 HIH INSURANCE LTD .................. 1,284
300,000 HIH INSURANCE LTD (INSTALL RECEIPT) 232
14,332 HORACE MANN EDUCATORS CORP ......... 408
600 HSB GROUP, INC ..................... 25
300(degree)HUMANA, INC ...................... 5
252,000(degree)IDRIS HYDRAULIC BERHAD (MALAYSIA) 39
10,000 IFIL FINANZIARIA DI PARTECIPAZIONI . 42
39,010,360 INSTITUTO NAZIONALE DELLE ASSICURAZION 103,258
432,649 IRISH LIFE ......................... 4,077
179,199 IRISH LIFE PLC ..................... 1,686
1,195,526 JEFFERSON-PILOT CORP ............... 89,664
10,800(degree)KANSAS CITY LIFE INSURANCE CO .... 883
75,440 LANDAMERICA FINANCIAL GROUP, INC ... 4,210
1,513,893 LEGAL & GENERAL GROUP PLC .......... 19,659
41,014 LIBERTY CORP ....................... 2,020
10,000 LIBERTY FINANCIAL COS, INC ......... 270
84,270 LIBERTY LIFE ASSOCIATION OF AFICA LTD 1,160
2,100 LIFE U.S.A. HOLDINGS, INC .......... 27
411,900 LINCOLN NATIONAL CORP .............. 33,699
434,900 LOEWS CORP ......................... 42,729
12,500(degree)MARKEL CORP ...................... 2,263
3,920(degree)MAXICARE HEALTH PLANS, INC ....... 21
310,987 MBIA, INC .......................... 20,389
12,055 MEADOWBROOK INSURANCE GROUP ........ 198
94,251(degree)MEDICAL ASSURANCE, INC ........... 3,116
1,300,000(degree)MEDIOLANUM S.P.A. ................ 9,657
38,100 MERCURY GENERAL CORP ............... 1,669
179,500 METROPOLITAN LIFE LTD .............. 227
1,632,000 MGIC INVESTMENT CORP ............... 64,974
124,000(degree)MID ATLANTIC MEDICAL SERVICES, INC 1,217
10,091 MIDLAND CO ......................... 243
962,050 MITSUI TAISHO MARINE & FIRE CO LTD . 5,075
50,518 MMI COS, INC ....................... 846
214,270 MUENCHENER RUECKVER AG. (REGD) ..... 103,816
9,920 MUENCHENER RUECKVER GESELLSCHAFT
AG. (BR) .......................... 3,264
145,800 NAC RE CORP ........................ 6,843
200(degree)NATIONAL WESTERN LIFE INSURANCE CO 24
17,400 NATIONWIDE FINANCIAL SERVICES, INC
(CLASS A) ......................... 899
1,127,000 NICHIDO FIRE & MARINE INSURANCE CO LTD 5,545
916,000 NIPPON FIRE & MARINE INSURANCE CO LTD 3,378
396,600 NISSAN FIRE & MARINE INSURANCE ..... 1,195
1,000 NYMAGIC, INC ....................... 21
194,200 OHIO CASUALTY CORP ................. 7,986
1,897,485 OLD REPUBLIC INTERNATIONAL CORP .... 42,693
112 ORION CAPITAL CORP ................. 4
619,105(degree)OXFORD HEALTH PLANS, INC ......... 9,209
204,859(degree)PACIFICARE HEALTH SYSTEMS,
INC (CLASS A) ................... 14,903
287,189(degree)PACIFICARE HEALTH SYSTEMS,
INC (CLASS B) ................... 22,832
36,100(degree)PENN TREATY AMERICAN CORP ........ 972
6,800 PENNCORP FINANCIAL GROUP, INC ...... 7
1,300 (degree)PHILADELPHIA CONSOLIDATED
HOLDINGS CORP ..................... 29
5,100 PMA CAPITAL CORP (CLASS A) ......... 100
363,434 PMI GROUP, INC ..................... 17,945
65,900 POHJOLA INSURANCE CO LTD SERIES B .. 3,618
228,600 PRESIDENTIAL LIFE CORP ............. 4,543
231,950 PROGRESSIVE CORP ................... 39,287
208,500 PROTECTIVE LIFE CORP ............... 8,301
314,950 PROVIDENT COS, INC ................. 13,070
3,508,411 PRUDENTIAL CORP PLC ................ 52,973
31,800 PXRE CORP .......................... 797
2,006,876 QBE INSURANCE GROUP LTD ............ 8,309
871,859 RAS S.P.A. ......................... 12,662
735,319 REINSURANCE AUSTRALIA CORP LTD ..... 1,128
180,350 REINSURANCE GROUP OF AMERICA, INC .. 12,625
1,038,778 RELIANCE GROUP HOLDINGS, INC ....... 13,374
1,312,532 RELIASTAR FINANCIAL CORP ........... 60,541
58,800(degree)RISK CAPITAL HOLDINGS, INC ....... 1,279
2,700 RLI CORP ........................... 90
4,820,545 ROYAL & SUN ALLIANCE INSURANCE
GROUP PLC ......................... 39,360
237,300 SAFECO CORP ........................ 10,189
213,200(degree)SAFEGUARD HEALTH ENTERPRISES, INC 706
261,590 SAI S.P.A. ......................... 3,157
669,250 SAI (S/S) (NON-VOTE) CV ............ 4,464
180,000(degree)SAMPO INSURANCE CO SERIES A ...... 6,879
40,645 SCHWEIZERISCHE RUCKVERSICHERUNG
(REGD) ............................ 105,970
40,000(degree)SCOTTISH ANNUITY & LIFE HOLDINGS LTD 550
30,867 SCPIE HOLDINGS, INC ................ 936
794,800 SELECTIVE INSURANCE GROUP, INC ..... 15,995
130,150(degree)SIERRA HEALTH SERVICES, INC ...... 2,741
1,717,665 SKANDIA FORSAKRINGS AB ............. 26,276
837,972 ST. PAUL COS, INC .................. 29,120
58,200 STEWART INFORMATION SERVICES CORP .. 3,376
319,300 UNI-STOREBRAND AS SERIES A ......... 2,410
2,288,028(degree)SUMITOMO MARINE & FIRE INSURANCE CO 14,523
2,584,161 SUNAMERICA, INC .................... 209,640
344,200 TIG HOLDINGS, INC .................. 5,357
5,056,000 TOKIO MARINE & FIRE INSURANCE CO LTD 60,510
1,566,700 TORCHMARK CORP ..................... 55,324
726,041 TRANSAMERICA CORP .................. 83,858
407 TRANSATLANTIC HOLDINGS, INC ........ 31
894,052 TRAVELERS PROPERTY CASUALTY CORP ... 27,716
26,900 TRENWICK GROUP, INC ................ 878
69,400(degree)TRIAD GUARANTY, INC .............. 1,531
154,400(degree)TRIGON HEALTHCARE, INC ........... 5,761
400(degree)UICI ............................. 10
2,583,174 UNITED HEALTHCARE CORP ............. 111,238
56,600 UNITED WISCONSIN SERVICES, INC ..... 492
168,004 UNITRIN, INC ....................... 12,054
341,200 UNUM CORP .......................... 19,918
45,296 VESTA INSURANCE GROUP, INC ......... 272
191,373(degree)WELLPOINT HEALTH NETWORKS, INC ... 16,649
39,642 ZENITH NATIONAL INSURANCE CORP ..... 917
120,972(degree)ZURICH ALLIED AG. ................ 89,573
----------
6,216,784
----------
See notes to financial statements.
41
<PAGE>
VALUE
SHARES (000)
------ --------
LEATHER AND LEATHER PRODUCTS--0.01%
135,000 JUSTIN INDUSTRIES, INC ............. $ 1,772
161,496(degree)NINE WEST GROUP, INC ............. 2,513
136,008(degree)SAMSONITE CORP ................... 757
272,100 STRIDE RITE CORP ................... 2,381
900(degree)TIMBERLAND CO .................... 41
1,587 WOLVERINE WORLD WIDE, INC .......... 21
----------
7,485
----------
LEGAL SERVICES--0.00%
1,088(degree)PREPAID LEGAL SERVICES, INC ...... 36
----------
LOCAL AND INTERURBAN PASSENGER TRANSIT--0.09%
291,000(degree)COACH U.S.A., INC ................ 10,094
11,275 EAST JAPAN RAILWAY CO .............. 63,072
773,100(degree)GREYHOUND LINES, INC ............. 4,590
937,692 LAIDLAW, INC ....................... 9,432
58,400 LAIDLAW, INC (U.S.) ................ 588
21,700(degree)RURAL/METRO CORP ................. 237
3,797,292 STAGECOACH HOLDINGS PLC ............ 15,116
----------
103,129
----------
LUMBER AND WOOD PRODUCTS--0.14%
2,700(degree)ABT BUILDING PRODUCTS CORP ....... 28
206,600(degree)AMERICAN HOMESTAR CORP ........... 3,099
20,000(degree)AOKAM PERDANA BERHAD ............. 2
3,955,942 CARTER HOLT HARVEY LTD ............. 3,553
532,903(degree)CHAMPION ENTERPRISES, INC ........ 14,588
324,621 CLAYTON HOMES, INC ................. 4,484
32,308 DELTIC TIMBER CORP ................. 658
1,641,718 FLETCHER CHALLENGE LTD (FORESTS DIVISION) 546
85,700 GEORGIA-PACIFIC CORP (PACKAGING GROUP) 5,019
226,000 JAYA TIASA HOLDINGS BERHAD ......... 210
435,000(degree)LAND & GENERAL BERHAD ............ 71
1,280,205 LOUISIANA PACIFIC CORP ............. 23,444
4,087,200 MACMILLAN BLOEDEL LTD .............. 40,712
73,300 MASISA S.A. (SPONS ADR) ............ 467
235,800 OAKWOOD HOMES CORP ................. 3,581
66,025(degree)PALM HARBOR HOMES, INC ........... 1,663
4,334 POPE & TALBOT, INC ................. 36
1,658,150 SEKISUI HOUSE LTD .................. 17,566
108,718 SKYLINE CORP ....................... 3,533
92,000 SUMITOMO FORESTRY CO LTD ........... 661
2,346 TJ INTERNATIONAL, INC .............. 60
80,400 UNIVERSAL FOREST PRODUCTS, INC ..... 1,613
664,350 WEYERHAEUSER CO .................... 33,757
----------
159,351
----------
METAL MINING--0.24%
89,900 ACINDAR S.A. (CLASS B) ............. 108
30,000 AGNICO EAGLE MINES LTD ............. 123
3,000(degree)ALTAIR INTERNATIONAL, INC ........ 20
30,248(degree)ALUSUISSE LONZA HOLDINGS AG. (REGD) 35,236
57,235 ANGLO AMERICAN PLATINUM CORP LTD ... 785
15,587 ANGLOGOLD LTD ...................... 607
929,379 BARRICK GOLD CORP .................. 18,031
222,500 BARRICK GOLD CORP (U.S.) ........... 4,339
44,350 BATTLE MOUNTAIN GOLD CO ............ 183
219,600 CAMBIOR, INC ....................... 1,072
176,800 CAMECO CORP ........................ 3,160
199,281 CLEVELAND CLIFFS, INC .............. 8,034
3,466(degree)COEUR DALENE MINES CORP .......... 16
70,700 COMINCO LTD ........................ 799
1,622,594 CYPRUS AMAX MINERALS CO ............ 16,226
642,785 DELTA GOLD NL ...................... 978
35,000 DOMINION MINING LTD ................ 9
340,000(degree)ECHO BAY MINES LTD ............... 587
4,500(degree)ECHO BAY MINES LTD (U.S.) ........ 8
50,500 ELKEM AS ........................... 603
186,831(degree)ERAMET ........................... 5,615
182,000 EUOR-NEVADA MINING CORP ............ 2,962
592,628 FREEPORT-MCMORAN COPPER &
GOLD, INC (CLASS A) ............... 5,741
2,177,864 FREEPORT-MCMORAN COPPER &
GOLD, INC (CLASS B) ............... 22,731
4,400(degree)GETCHELL GOLD CORP ............... 120
6,222 GOLDFIELDS LTD ..................... 5
878,516 GREAT CENTRAL MINES LTD ............ 630
422,500(degree)HECLA MINING CO .................. 1,532
40,424 HOMESTAKE MINING CO ................ 371
19,300 IMPALA PLATINUM HOLDINGS LTD ....... 262
89,500 INCO LTD CO ........................ 944
24,060 INCO LTD CO (U.S.) ................. 254
14,809 JOHNSON MATTHEY PLC ................ 100
6,493(degree)KINROSS GOLD CORP ................ 15
628,512 LONRHO PLC ......................... 3,440
726,600 MALAYSIA MINING CORP BERHAD ........ 292
5,461,100 MIM HOLDINGS LTD ................... 2,412
3,839,000 MITSUBISHI MATERIALS CORP .......... 6,466
2,603,000 MITSUI MINING & SMELTING CO LTD .... 12,853
8,284(degree)NEWCREST MINING LTD .............. 11
1,437,258 NEWMONT MINING CORP ................ 25,960
2,038,000 NIPPON LIGHT METAL CO LTD .......... 2,132
595,200 NORANDA, INC ....................... 5,909
3,398,104 NORMANDY MINING LTD ................ 3,147
1,772,592 NORTH LTD .......................... 2,892
202,100 OUTOKUMPU OY SERIES A .............. 1,868
13,000#x(degree)PEGASUS GOLD, INC .............. 7
12,000 PHELPS DODGE CORP .................. 611
475,400 PLACER DOME, INC ................... 5,416
636,448 PLACER DOME, INC (U.S.) ............ 7,319
729,000(degree)RESOLUTE SAMANTHA LTD ............ 514
237,800 RIO ALGOM LTD ...................... 2,539
1,048,169 RIO TINTO LTD ...................... 12,444
150,000 RIO TINTO PLC (BR) ................. 1,672
1,221,680 RIO TINTO PLC (REGD) ............... 14,208
75,390 SMITH (HOWARD) LTD ................. 499
608,097 SONS OF GWALIA NL .................. 1,731
111,000 SOUTHERN PERU COPPER CORP .......... 1,048
339,599(degree)STILLWATER MINING CO ............. 13,924
666,000 SUMITOMO METAL MINING CO LTD ....... 2,167
518,254(degree)SUNSHINE MINING & REFINING CO .... 259
1,977(degree)SUNSHINE MINING & REFINING CO
WTS 03/03/99 ...................... 0
331,200 TECK CORP LTD (CLASS B) ............ 2,415
42,300 UNION MINIERE GROUP S.A. ........... 1,611
518,794(degree)WESTRALIAN SANDS LTD NEW ......... 1,241
2,571,172 WMC LTD ............................ 7,760
130,680(degree)ZIMBABWE PLATINUM MINES LTD ...... 26
----------
276,999
----------
MISCELLANEOUS MANUFACTURING INDUSTRIES--0.11%
32,600(degree)AMER GROUP LTD PLC SERIES A ...... 339
1,000(degree)ASICS CORP ....................... 1
114,300 BIC S.A. ........................... 6,343
525,375(degree)BLYTH INDUSTRIES, INC ............ 16,418
392,900 BRADY CORP (CLASS A) ............... 10,584
1,299,300(degree)BULGARI S.P.A. ................... 7,761
20,500 CALLAWAY GOLF CO ................... 210
28,100x(degree)CML GROUP, INC .................. 5
2,195 CROSS (A.T.) CO (CLASS A) .......... 12
464 HASBRO, INC ........................ 17
249,930(degree)HEXCEL CORP ...................... 2,093
1,208,088 INTERNATIONAL GAME TECHNOLOGY CO ... 29,372
4,063(degree)JAN BELL MARKETING, INC .......... 26
602,500 JOSTENS, INC ....................... 15,778
180,705 K2, INC ............................ 1,864
82,300(degree)LYDALL, INC ...................... 977
54,266(degree)MARVEL ENTERPRISES ............... 336
1,026,284 MATTEL, INC ........................ 23,412
See notes to financial statements.
42
<PAGE>
VALUE
SHARES (000)
------ --------
MISCELLANEOUS MANUFACTURING INDUSTRIES--(CONTINUED)
12,000 MIZUNO CORP ........................ $ 36
117,000 NINTENDO CO LTD .................... 11,358
254,800(degree)NU KOTE HOLDINGS, INC (CLASS A) .. 10
2,000 ONEIDA LTD ......................... 30
14,300 RHI AG. ............................ 373
36,250 RUSS BERRIE & CO, INC .............. 852
53,500 SEGA ENTERPRISES LTD ............... 1,188
77,600(degree)STEINWAY MUSICAL INSTRUMENTS, INC 2,018
430,000 VARITRONIX INTERNATIONAL LTD ....... 805
4,900(degree)WMS INDUSTRIES, INC .............. 36
----------
132,254
----------
MISCELLANEOUS RETAIL--0.83%
77,529(degree)AMAZON.COM, INC .................. 24,906
3,160 ARTEMIS S.A. ....................... 109
9,600(degree)BARNES & NOBLE, INC .............. 408
147,500(degree)BARNETT, INC ..................... 2,028
122,100 BLAIR CORP ......................... 2,709
2,006,130 BOOTS CO LTD ....................... 34,162
837,300(degree)BORDERS GROUP, INC ............... 20,880
600(degree)BRYLANE, INC ..................... 14
548 CASH AMERICA INTERNATIONAL, INC .... 8
165,800(degree)CDW COMPUTER CENTERS, INC ........ 15,906
151,500(degree)COLDWATER CREEK, INC ............. 2,083
932,800(degree)CORPORATE EXPRESS, INC ........... 4,839
3,699,151 CVS CORP ........................... 203,453
800(degree)DELIA*S, INC ..................... 10
215,700(degree)DUANE READE, INC ................. 8,304
96,827 ENESCO GROUP, INC .................. 2,251
13,335 FINGERHUT COS, INC ................. 206
1,900(degree)FINLAY ENTERPRISES, INC .......... 19
169,100(degree)GARDEN RIDGE CORP ................ 1,532
77,200(degree)GENESIS DIRECT, INC .............. 603
3,200 GENOVESE DRUG STORES, INC (CLASS A) 91
205,100(degree)GLOBAL DIRECTMAIL CORP ........... 4,794
1,955,037 GREAT UNIVERSAL STORES PLC ......... 20,606
228,378 HANCOCK FABRICS, INC ............... 1,913
381,274(degree)HANOVER DIRECT, INC .............. 1,311
298,100(degree)INSIGHT ENTERPRISES, INC ......... 15,166
83,041(degree)JO-ANN STORES, INC (CLASS A) ..... 1,339
237,800(degree)JO-ANN STORES, INC (CLASS B) ..... 3,299
236,100x(degree)JUMBOSPORTS, INC ................ 30
215,764(degree)LANDS END, INC ................... 5,812
698 LONGS DRUG STORES CORP ............. 26
412,200(degree)MICHAELS STORES, INC ............. 7,458
559,600(degree)MICRO WAREHOUSE, INC ............. 18,921
483(degree)MSC INDUSTRIAL DIRECT CO (CLASS A) 11
106,611(degree)NATIONAL MEDIA CORP .............. 1,139
1,029,770 NEXT PLC ........................... 8,464
48(degree)NISSEN CO LTD .................... 0
1,546,698(degree)OFFICE DEPOT, INC ................ 57,131
800(degree)OFFICEMAX, INC ................... 10
1,455,500 OMNICARE, INC ...................... 50,579
11,624 OPSM PROTECTOR LTD ................. 24
74,300(degree)PARTY CITY CORP .................. 1,073
187,600(degree)PETCO ANIMAL SUPPLIES, INC ....... 1,888
299,900(degree)PETSMART, INC .................... 3,299
96,000 PLAYMATES TOYS HOLDINGS LTD ........ 4
1,015,043 RITE AID CORP ...................... 50,308
19,790,000(degree)SA SA INTERNATIONAL HOLDINGS LTD . 1,405
25,800(degree)SCHEIN (HENRY), INC .............. 1,155
2,757,752(degree)STAPLES, INC ..................... 120,479
330,195(degree)STELUX HOLDINGS INTERNATIONAL LTD 10
803,900(degree)SUNGLASS HUT INTERNATIONAL, INC .. 5,627
100,900(degree)THE SPORTS AUTHORITY, INC ........ 530
221,288 TIFFANY & CO ....................... 11,479
3,241,141(degree)TOYS R US, INC ................... 54,694
112,989(degree)U.S. OFFICE PRODUCTS CO .......... 438
2,925,296 WALGREEN CO ........................ 171,313
616,197(degree)ZALE CORP ........................ 19,872
----------
966,128
----------
MOTION PICTURES--0.44%
27,550(degree)AMC ENTERTAINMENT, INC ........... 580
16,164,236 DISNEY (WALT) CO ................... 484,927
22,731(degree)GC COS, INC ...................... 946
194,800(degree)HOLLYWOOD ENTERTAINMENT CORP ..... 5,308
55,200(degree)KING WORLD PRODUCTIONS, INC ...... 1,625
131,200(degree)METRO-GOLDWYN-MAYER, INC ......... 1,730
458,200(degree)METROMEDIA INTERNATIONAL GROUP, INC 2,491
2,400(degree)MOVIE GALLERY, INC ............... 17
800(degree)ON COMMAND CORP .................. 7
180 PATHE S.A. ......................... 50
2,900(degree)PIXAR, INC ....................... 102
368,433 RANK GROUP PLC ..................... 1,419
107,080(degree)SPELLING ENTERTAINMENT GROUP, INC 803
53,000 TOEI CO ............................ 157
64,600 TOHO CO LTD ........................ 8,865
----------
509,027
----------
NONDEPOSITORY INSTITUTIONS--1.92%
4,300 AAMES FINANCIAL CORP ............... 14
643,300 ACOM CO LTD ........................ 41,404
4,444 ADVANTA CORP (CLASS A) ............. 59
105,597 ADVANTA CORP (CLASS B) ............. 1,168
22,700 AIFUL CORP ......................... 1,381
2,340 ALLIED CAPITAL CORP ................ 41
3,391,117 AMERICAN EXPRESS CO ................ 346,742
1,191,620(degree)AMERICREDIT CORP ................. 16,459
16,800(degree)AMRESCO, INC ..................... 147
394,581(degree)ARCADIA FINANCIAL LTD ............ 1,430
7,492,094 ASSOCIATES FIRST CAPITAL CORP ...... 317,477
410,921 CAPITAL ONE FINANCIAL CORP ......... 47,256
38,152 CHARTER MUNICIPAL MORTGAGE
ACCEPTANCE ........................ 463
2,319,500 CIT GROUP, INC (CLASS A) ........... 73,789
99,400x(degree)CITYSCAPE FINANCIAL CORP ........ 1
34,200 CONNING CORP ....................... 710
4,000(degree)CONTIFINANCIAL CORP .............. 29
37,900 CORPORACION FINANCIERE ALBA S.A. ... 6,339
102,566 COUNTRYWIDE CREDIT INDUSTRIES, INC . 5,148
290,500(degree)CREDIT ACCEPTANCE CORP ........... 2,124
174,043 CREDIT SAISON CO LTD ............... 4,297
579(degree)DELTA FINANCIAL CORP ............. 3
10,000 DIAMOND LEASE CO LTD ............... 72
372,700 DORAL FINANCIAL CORP ............... 8,246
7,594,734 FEDERAL NATIONAL MORTGAGE ASSOCIATION 562,010
7,400(degree)FINANCIAL FEDERAL CORP ........... 183
103,900 FINOVA GROUP, INC .................. 5,604
3,700(degree)FIRST SIERRA FINANCIAL, INC ...... 45
400,912(degree)FIRSTPLUS FINANCIAL GROUP, INC ... 1,103
1,175,850 FIRSTRAND LTD ...................... 1,283
179,500(degree)FRANCHISE MORTGAGE ACCEPTANCE CO . 1,391
5,306,664 FREDDIE MAC ........................ 341,948
15,740 FUND AMERICAN ENTERPRISES HOLDINGS, INC 2,205
4,709,430 HALIFAX PLC ........................ 66,837
61,600(degree)HEADLANDS MORTGAGE CO ............ 1,290
700(degree)HEALTHCARE FINANCIAL PARTNERS, INC 28
1,800 HELLER FINANCIAL, INC .............. 53
89,000(degree)HITACHI CREDIT CORP .............. 1,980
2,386,289 HOUSEHOLD INTERNATIONAL, INC ....... 94,557
26,400(degree)IMC MORTGAGE CO .................. 7
17,300(degree)IMPERIAL CREDIT INDUSTRIES, INC .. 145
2,723,029 ING GROEP NV ....................... 166,136
219,000 IRISH PERMANENT PLC ................ 3,298
114,000 JACCS CO ........................... 515
105,300(degree)LEUCADIA NATIONAL CORP ........... 3,317
286,200(degree)LONG BEACH FINANCIAL CORP ........ 2,147
See notes to financial statements.
43
<PAGE>
VALUE
SHARES (000)
------ --------
NONDEPOSITORY INSTITUTIONS--(CONTINUED)
1,100 MEDALLION FINANCIAL CORP ........... $ 16
892,550 MEDIOBANCA S.P.A. .................. 12,422
7,056 MERCAPITAL S.A. .................... 70
1,212,400x(degree)MERCURY FINANCE CO .............. 55
316,033 METRIS COS, INC .................... 15,900
80,400(degree)NICHIEI CO LTD (KYOTO) ........... 6,415
1,025,000 NIPPON SHINPAN CO LTD .............. 2,017
6,702(degree)OMEGA WORLDWIDE, INC ............. 29
88,000 ORIX CORP .......................... 6,584
2,647 PACIFIC CREST CAPITAL, INC ......... 39
76,000 POWER FINANCIAL CORP ............... 1,682
565,754 PROVIDENT FINANCIAL PLC ............ 8,331
359,800 RESOURCE AMERICA, INC (CLASS A) .... 3,261
1,325 RESOURCE BANCSHARES MORTGAGE
GROUP, INC ........................ 22
596,586 SCHROEDERS LTD ..................... 10,889
47,600 SHOHKOH FUND & CO .................. 15,360
4,292 SIRROM CAPITAL CORP ................ 21
388,640 SLM HOLDINGS CORP .................. 18,655
132,800x(degree)SOUTHERN PACIFIC FUNDING CORP ... 11
12,800 STUDENT LOAN CORP .................. 574
738,000(degree)UNICAPITAL CORP .................. 5,443
7,800 UNITED COS FINANCIAL CORP .......... 26
25,300(degree)WFS FINANCIAL, INC ............... 158
----------
2,238,861
----------
NONMETALLIC MINERALS, EXCEPT FUELS--0.08%
142,050 AMCOL INTERNATIONAL CORP ........... 1,403
977,842 ASHTON MINING LTD .................. 492
679 CALMAT CO .......................... 21
42,000(degree)GOLDEN PLUS HOLDINGS BERHAD ...... 9
14,600 JOHNS MANVILLE CORP ................ 240
781,263 MARTIN MARIETTA MATERIALS, INC ..... 48,585
8,476 POTASH CORP OF SASKATCHEWAN, INC ... 541
166,500 POTASH CORP OF SASKATCHEWAN, INC (U.S.) 10,677
257,700 VULCAN MATERIALS CO ................ 33,904
----------
95,872
----------
OIL AND GAS EXTRACTION--0.73%
212,500 ALBERTA ENERGY LTD ................. 4,565
1,335,028 ANADARKO PETROLEUM CORP ............ 41,219
14,444(degree)ANDERSON EXPLORATION LTD ......... 131
3,775,488 APACHE CORP ........................ 95,567
13,200(degree)ATWOOD OCEANICS, INC ............. 224
119,364(degree)BELCO OIL & GAS CORP ............. 664
400(degree)BENTON OIL & GAS CO .............. 1
72,424 BERRY PETROLEUM CO (CLASS A) ....... 1,028
16,270(degree)BJ SERVICES CO ................... 254
21,700(degree)BJ SERVICES CO WTS 04/13/00 ...... 180
3,504,500 BRITISH-BORNEO OIL & GAS PLC ....... 5,831
1,600(degree)BROWN (TOM), INC ................. 16
1,848(degree)BUMI ARMADA BERHAD ............... 1
4,118,347 BURLINGTON RESOURCES, INC .......... 147,488
309,100 CABOT OIL & GAS CORP (CLASS A) ..... 4,637
81,900(degree)CAL DIVE INTERNATIONAL, INC ...... 1,699
148,800(degree)CANADIAN HUNTER EXPLORATION, INC . 969
338,794(degree)CANADIAN NATURAL RESOURCES LTD ... 5,073
182,713 CANADIAN OCCIDENTAL PETROLEUM LTD .. 1,891
16,500 CHESAPEAKE ENERGY CORP ............. 14
49,900 COFLEXIP S.A. ...................... 3,386
64,800(degree)COHO ENERGY, INC ................. 182
520 CORNERSTONE PROPANE PARTNERS LP .... 9
1,250 CROSS TIMBERS OIL CO ............... 9
473,500 DEVON ENERGY CORP .................. 14,531
910,200 DIAMOND OFFSHORE DRILLING, INC ..... 21,560
102,727(degree)EEX CORP ......................... 719
741,100 ENRON OIL & GAS CO ................. 12,784
2,990,735 ENSCO INTERNATIONAL, INC ........... 31,963
469,480(degree)EQUITY OIL CO .................... 455
1,470,523 FLETCHER CHALLENGE LTD (ENERGY DIVISION) 2,797
226,200(degree)FORCENERGY GAS EXPLORATION, INC 594
340,734(degree)FOREST OIL CORP .................. 2,896
204,400(degree)FRIEDE GOLDMAN INTERNATIONAL, INC 2,325
1,580(degree)GEOPHYSIQUE (COMPAGNIE GENERALE DE) 92
433,900(degree)GLOBAL INDUSTRIES LTD ............ 2,658
56,800(degree)GLOBAL MARINE, INC ............... 522
1,455,900(degree)GREY WOLF, INC ................... 1,183
106,600 GULF CANADA RESOURCES LTD .......... 311
2,030,192 HALLIBURTON CO ..................... 60,144
146,000(degree)HANOVER COMPRESSOR CO ............ 3,750
11,797(degree)HARKEN ENERGY CORP ............... 23
864,749 HELMERICH & PAYNE, INC ............. 16,755
136,937(degree)HOUSTON EXPLORATION CO ........... 2,722
65,661(degree)HS RESOURCES, INC ................ 497
308,500 IHC CALAND NV ...................... 12,822
1,123,364 IMPERIAL OIL LTD ................... 17,955
418,510 KCS ENERGY, INC .................... 1,282
1,116,573 KERR-MCGEE CORP .................... 42,709
419(degree)KEY ENERGY SERVICES, INC ......... 2
47,591 KONINKLIJKE PAKHOED HOLDINGS NV .... 1,202
2,128,272 LONDON & SCOTTISH MARINE OIL PLC ... 3,541
1,700(degree)LOUIS DREYFUS NATURAL GAS CORP ... 24
866,700(degree)MARINE DRILLING CO, INC .......... 6,663
29,729(degree)MCMORAN EXPLORATION CO ........... 405
5,000(degree)MERIDIAN RESOURCE CORP ........... 16
25,011 MITCHELL ENERGY & DEVELOPMENT CORP
(CLASS A) ......................... 286
209,500 MITCHELL ENERGY & DEVELOPMENT CORP
(CLASS B) ......................... 2,435
2,100(degree)NABORS INDUSTRIES, INC ........... 28
196,300(degree)NEW HORIZONS WORLDWIDE, INC ...... 4,539
1,500(degree)NEWFIELD EXPLORATION CO .......... 31
11,100 NOBLE AFFILIATES, INC .............. 273
160,779(degree)NOBLE DRILLING CORP .............. 2,080
521,016 NOVUS PETROLEUM LTD ................ 415
300(degree)NUEVO ENERGY CO .................. 3
3,000(degree)NUMAC ENERGY, INC ................ 7
418,747 OCCIDENTAL PETROLEUM CORP .......... 7,066
73,910(degree)OCEAN ENERGY, INC ................ 467
379,900(degree)OCEANEERING INTERNATIONAL, INC ... 5,699
500(degree)OCELOT ENERGY, INC (CLASS B) ..... 1
900(degree)OMNI ENERGY SERVICES CORP ........ 4
29,525 OMV AKTIENGESELLS AG. .............. 2,784
47(degree)ORYX ENERGY CO ................... 1
1,000,886(degree)PARKER DRILLING CO ............... 3,190
183,500(degree)PATTERSON ENERGY, INC ............ 745
46,200 PENN VIRGINIA CORP ................. 849
379,400(degree)PETROLEUM GEO-SERVICES AS ........ 4,830
1,128,300 PIONEER NATURAL RESOURCES CO ....... 9,873
527,400(degree)POCO PETROLEUM LTD ............... 4,395
600 POGO PRODUCING CO .................. 8
347,669(degree)POOL ENERGY SERVICES CO .......... 3,759
1,000(degree)PRIDE INTERNATIONAL, INC ......... 7
71,137 PRIMAGAZ CIE ....................... 6,749
1,492,378(degree)R & B FALCON CORP ................ 11,379
31,100(degree)RANGE RESOURCES CORP ............. 107
26,800(degree)RANGER OIL LTD ................... 119
398,250(degree)RENAISSANCE ENERGY LTD ........... 4,524
325,900(degree)RIGEL ENERGY CORP ................ 2,122
1,398,468(degree)ROWAN COS, INC ................... 13,985
601,244 RPC, INC ........................... 4,434
900(degree)RUTHERFORD-MORAN OIL CORP ........ 3
4,310(degree)SANTA FE ENERGY RESOURCES, INC ... 32
9,800 SANTA FE INTERNATIONAL CORP ........ 143
721,622 SCHLUMBERGER LTD ................... 33,285
172,200(degree)SEITEL, INC ...................... 2,142
50(degree)SERVAL GROWTH FUND TRUST (UNITS) . 0
2,393,828 SMEDVIG AS SERIES A ................ 20,108
See notes to financial statements.
44
<PAGE>
VALUE
SHARES (000)
------ --------
OIL AND GAS EXTRACTION--(CONTINUED)
1,200 SNYDER OIL CORP .................... $ 16
109,100 ST. MARY LAND & EXPLORATION CO 2,018
800(degree)STONE ENERGY CORP ................ 23
123,500(degree)SUPERIOR ENERGY SERVICES, INC .... 351
2,400(degree)SWIFT ENERGY CO .................. 18
87,276(degree)SYNTROLEUM CORP .................. 540
137,815(degree)TALISMAN ENERGY, INC ............. 2,418
6,660 TECHNIP S.A. ....................... 627
123,900(degree)TITAN EXPLORATION, INC ........... 813
642,069 TOTAL S.A. ......................... 65,055
153,554(degree)TRANSMONTAIGNE, INC .............. 2,323
835,700 TRANSOCEAN OFFSHORE, INC ........... 22,407
6,623(degree)TRANSTEXAS GAS CORP .............. 17
635(degree)TRITON ENERGY LTD ................ 5
2,800(degree)TUBOSCOPE, INC ................... 23
360,000(degree)TULLOW OIL PLC ................... 295
1,977,091 UNION PACIFIC RESOURCES GROUP, INC . 17,917
4,900(degree)UNIT CORP ........................ 21
68,300(degree)UTI ENERGY CORP .................. 495
64,700 VASTAR RESOURCES, INC .............. 2,794
800(degree)VERITAS DGC, INC ................. 10
1,800 VINTAGE PETROLEUM, INC ............. 16
42,550(degree)WEATHERFORD INTERNATIONAL ........ 824
102,338 WISER OIL CO ....................... 205
----------
853,078
----------
PAPER AND ALLIED PRODUCTS--0.80%
295,100 ABITIBI CONSOLIDATED, INC .......... 2,728
152,847(degree)ACX TECHNOLOGIES, INC ............ 2,025
704,383 AMCOR LTD .......................... 3,013
14,309(degree)AMERICAN PAD & PAPER CO .......... 22
2,296,579 ARJO WIGGINS APPLETON PLC .......... 4,222
2,540,000(degree)ASIA PULP & PAPER CO LTD ADR ..... 20,796
31,711 AVERY DENNISON CORP ................ 1,429
136,500 BEMIS, INC ......................... 5,178
2,524,000 BERJAYA GROUP BERHAD ............... 377
558,732 BOISE CASCADE CORP ................. 17,321
8,896 BOWATER, INC ....................... 369
342,427(degree)BUCKEYE TECHNOLOGIES, INC ........ 5,115
123,880 BUHRMANN NV ........................ 2,218
369,300 CARAUSTAR INDUSTRIES, INC .......... 10,548
195,370 CARTIERE BURGO S.P.A. .............. 1,259
832,390 CHAMPION INTERNATIONAL CORP ........ 33,712
589,364 CONSOLIDATED PAPERS, INC ........... 16,208
3,305(degree)CROWN VANTAGE, INC ............... 7
568,052 DE LA RUE CO PLC ................... 1,952
316,200 DOMTAR, INC ........................ 1,822
10,580 DOMTAR, INC (U.S.) ................. 62
39,300 DONOHUE, INC (CLASS A) ............. 750
477,680(degree)EARTHSHELL CORP .................. 5,702
2,747,846 FLETCHER CHALLENGE LTD (PAPER DIVISION) 1,844
2,192,596 FORT JAMES CORP .................... 87,704
874,888(degree)GAYLORD CONTAINER CO ............. 5,359
401,548 GLATFELTER (P.H.) CO ............... 4,969
43,300 GREIF BROTHERS CORP (CLASS A) ...... 1,264
1,356,722 INTERNATIONAL PAPER CO ............. 60,798
16,199(degree)INVESTIMENTOS PARTICIPACOES (BABY SHS) 169
24,300 INVESTIMENTOS PARTICIPACOES E GESTAO 256
240,800(degree)IVEX PACKAGING CORP .............. 5,599
2,063,800(degree)JEFFERSON SMURFIT GROUP PLC ...... 3,723
4,291,948 KIMBERLY CLARK CORP ................ 233,911
386,500 KIMBERLY CLARK DE MEXICO S.A. DE
CV SERIES A ....................... 1,233
900(degree)KORSNAS AB SERIES A .............. 12
424,100 LONGVIEW FIBRE CO .................. 4,904
1,761(degree)MAIL-WELL, INC ................... 20
50,800(degree)MAYR-MELNHOF KARTON AG. .......... 2,376
1,650,932 MEAD CORP .......................... 48,393
281,400(degree)METSA SERLA OYJ SERIES B ......... 2,306
1,249,000 MITSUBISHI PAPER MILLS LTD ......... 2,558
151,000 NAMPAK LTD ......................... 230
259,507(degree)NEXFOR, INC ...................... 1,022
992,000 NGK INSULATORS LTD ................. 12,813
1,338,000 NIPPON PAPER INDUSTRIES CO ......... 6,097
38,500 NORSKE SKOGINDUSTRIER SERIES A ..... 1,122
2,400 NORSKE SKOGINDUSTRIER SERIES B ..... 60
2,474,334 OJI PAPER CO LTD ................... 12,876
1,000(degree)PLAYTEX PRODUCTS, INC ............ 16
117,519 PORTUCEL INDUSTRIA EMPRESA ......... 771
459 POTLATCH CORP ...................... 17
345,864(degree)RENO DE MEDICI S.P.A. ............ 1,091
7,000(degree)REPAP ENTERPRISES, INC ........... 0
85,314 REPUBLIC GROUP, INC ................ 1,712
1,368,111 REXAM PLC .......................... 3,858
88,000 ROCK-TENN CO (CLASS A) ............. 1,491
53,879 SAPPI LTD .......................... 208
857,740 SCA AB SERIES B .................... 18,730
238,056 SCHWEITZER-MAUDUIT INTERNATIONAL, INC 3,675
88,000(degree)SETTSU CORP ...................... 37
346,314(degree)SHOREWOOD PACKAGING CORP ......... 7,099
1,979,079 SMURFIT (JEFFERSON) GROUP PLC ...... 3,556
9,524,422(degree)SMURFIT-STONE CONTAINER CORP ..... 150,605
607,921 SONOCO PRODUCTS CO ................. 18,010
228,100 ST. JOE CORP ....................... 5,346
130,000 STORA KOPPARBERG BERGSLAGS
SERIES A FREE ..................... 1,427
335,101 STORA KOPPARBERG BERGSLAGS
SERIES B FREE ..................... 3,721
5,314 TEMPLE-INLAND, INC ................. 315
224,800 UNI CHARM CORP ..................... 10,562
80,400 UNION CAMP CORP .................... 5,427
841,200 UPM-KYMMENE OY ..................... 23,591
621,432 WAUSAU-MOSINEE PAPER CORP .......... 10,992
676,821 WESTVACO CORP ...................... 18,147
70,472 WILLAMETTE INDUSTRIES, INC ......... 2,361
----------
931,218
----------
PERSONAL SERVICES--0.09%
1,195 ANGELICA CORP ...................... 22
1,102,200 BLOCK (H&R), INC ................... 49,599
1,100(degree)CARRIAGE SERVICES, INC (CLASS A) . 31
39,600 CINTAS CORP ........................ 2,789
3,400(degree)COINMACH LAUNDRY CORP ............ 44
125,187 CPI CORP ........................... 3,317
800(degree)EQUITY CORP INTERNATIONAL ........ 21
149,600 G & K SERVICES, INC (CLASS A) ...... 7,966
78,200 REGIS CORP ......................... 3,128
825,731 SERVICE CORP INTERNATIONAL ......... 31,429
98,061 UNIFIRST CORP ...................... 2,237
15,600 UNITOG CO .......................... 449
----------
101,032
----------
PETROLEUM AND COAL PRODUCTS--4.19%
1,053,100 AMERADA HESS CORP .................. 52,392
6,543,622 AMOCO CORP ......................... 386,074
29,200 ARABIAN OIL CO LTD ................. 376
1,142,387 ASHLAND, INC ....................... 55,263
1,757,930 ATLANTIC RICHFIELD CO .............. 114,705
9,857,334 BG PLC ............................. 62,199
16,101,986 BRITISH PETROLEUM CO PLC ........... 240,445
200 BRITISH PETROLEUM CO PLC ADR ....... 19
5,587,164 BROKEN HILL PROPRIETARY CO LTD ..... 41,191
18,031 BURMAH CASTROL PLC ................. 258
4,958,053 CHEVRON CORP ....................... 411,209
2,459,000 COSMO OIL CO LTD ................... 3,728
193,800 ELCOR CORP ......................... 6,262
749,732 ELF AQUITANE S.A. .................. 86,701
See notes to financial statements.
45
<PAGE>
VALUE
SHARES (000)
------ --------
PETROLEUM AND COAL PRODUCTS--(CONTINUED)
29,240,680 ENTE NAZIONALE IDROCARBURI S.P.A. .. $191,501
3,000(degree)ESSO MALAYSIA BERHAD ............. 2
21,099,888 EXXON CORP ......................... 1,542,929
81,647(degree)FRONTIER OIL CORP ................ 403
273,900#(degree)HEIZER CORP (LIQUIDATING TRUST) . 45
857 HOLLY CORP ......................... 14
45,000 JAPAN ENERGY CORP .................. 43
15,000 KANTO NATURAL GAS DEVELOPMENT CO LTD 80
1,714,000(degree)MITSUBISHI OIL CO LTD ............ 3,024
7,781,241 MOBIL CORP ......................... 677,941
488,880 MURPHY OIL CORP .................... 20,166
2,819,200 NIPPON OIL CO LTD .................. 9,847
255,478 NORSK HYDRO AS ..................... 8,618
767,000 PENNZENERGY CO ..................... 12,512
799,651(degree)PENNZOIL-QUAKER STATE CO ......... 11,845
93,000 PETRO-CANADA (NON-RESIDENT) ........ 984
400,800 PETRO-CANADA (VARIABLE-VOTE) ....... 4,240
37,307 PETROFINA S.A. ..................... 17,104
2,532(degree)PETROFINA S.A. WTS 08/05/03 ...... 19
2,175,317 PHILLIPS PETROLEUM CO .............. 92,723
763,174 REPSOL S.A. ........................ 40,772
5,728,870 ROYAL DUTCH PETROLEUM CO ........... 285,421
2,688,017 SANTOS LTD ......................... 7,222
210,884 SASOL LTD .......................... 798
427,000 SHELL REFINERY BERHAD .............. 315
216,900 SUNCOR ENERGY, INC ................. 6,496
1,136,742 SUNOCO, INC ........................ 40,994
132,000 TEIKOKU OIL CO LTD ................. 392
1,781(degree)TESORO PETROLEUM CORP ............ 22
3,910,526 TEXACO, INC ........................ 206,769
1,000 TONEN CORP ......................... 6
2,709,225 TOSCO CORP ......................... 70,101
1,598,999 ULTRAMAR DIAMOND SHAMROCK CORP ..... 38,776
2,415,032 UNOCAL CORP ........................ 70,489
1,230,921 USX-MARATHON GROUP, INC ............ 37,081
335,900 VALERO ENERGY CORP ................. 7,138
204,100 WD-40 CO ........................... 5,842
293,100 WOODSIDE PETROLEUM LTD ............. 1,312
82,000 YPF SOCIEDAD ANONIMA (CLASS D) ..... 2,294
107,100 YPF SOCIEDAD ANONIMA (CLASS D) ADR . 2,992
----------
4,880,094
----------
PIPELINES, EXCEPT NATURAL GAS--0.01%
190,980 ENBRIDGE, INC ...................... 8,766
79,588 ENBRIDGE, INC (U.S.) ............... 3,656
600 KINDER MORGAN ENERGY PARTNERS LP ... 22
----------
12,444
----------
PRIMARY METAL INDUSTRIES--0.45%
12,650 ACERINOX S.A. ...................... 295
22,940(degree)ACME METALS, INC ................. 7
127,000(degree)AFC CABLE SYSTEMS, INC ........... 4,270
104,400 AK STEEL HOLDINGS CORP ............. 2,453
405,900 ALCAN ALUMINIUM CO LTD ............. 10,967
75,900 ALCAN ALUMINIUM CO LTD (U.S.) ...... 2,054
36,100(degree)ALPINE GROUP, INC ................ 542
928,039 ALUMINUM CO OF AMERICA ............. 69,197
1,653,000 AMSTEEL CORP BERHAD ................ 161
84,000(degree)AMSTEEL CORP BERHAD WTS 05/19/00 . 3
20,960 ANGLO AMERICAN INDUSTRIAL CORP ..... 319
1,485,600(degree)ARMCO, INC ....................... 6,500
650,135 ASARCO, INC ........................ 9,793
2,087,072 AUSTRALIAN NATIONAL INDUSTRIES LTD . 1,472
3,342 BEKAERT S.A. ....................... 1,664
1,500 BELDEN, INC ........................ 32
946,521(degree)BETHLEHEM STEEL CORP ............. 7,927
457,200 BIRMINGHAM STEEL CORP .............. 1,915
5,900 BRITISH STEEL PLC .................. 9
41,700 BRUSH WELLMAN, INC ................. 727
188,376(degree)CABLE DESIGN TECHNOLOGIES CO ..... 3,485
71,122 CARPENTER TECHNOLOGY CORP .......... 2,414
45,100 CENTURY ALUMINUM CO ................ 426
45,644(degree)CHASE INDUSTRIES, INC ............ 476
186,000(degree)CITATION CORP .................... 2,348
39,800 CO STEEL, INC ...................... 330
75,100 COMMONWEALTH INDUSTRIES, INC ....... 704
53,500(degree)CURTISS WRIGHT CORP .............. 2,040
1,533,000 DAIDO STEEL CO LTD ................. 2,025
99,400 DANIELI & CO ....................... 723
261,800 DOFASCO, INC ....................... 3,341
215,350(degree)ENCORE WIRE CORP ................. 1,992
50,666 ENGELHARD CORP ..................... 988
11,724(degree)ESSEX INTERNATIONAL, INC ......... 406
9,000 FLACK S.P.A. ....................... 73
72,900(degree)FOSTER (LB) CO (CLASS A) ......... 483
43,000(degree)FRIED. KRUPP AG. HOESCH KRUPP .... 5,809
607,829 GENERAL CABLE CORP ................. 12,460
159,500 GENERAL HOUSEWARES CORP ............ 1,914
90,270 GERDAU METALURGICA S.A. ............ 1
101,200(degree)GIBRALTAR STEEL CORP ............. 2,302
52,000 GRANGES AB ......................... 751
54,820 HOOGOVENS NEN STAALIADRIEREN NV .... 1,519
1,360 IMCO RECYCLING, INC ................ 21
308,237 INLAND STEEL INDUSTRIES, INC ....... 5,201
311,300 INTERMET CORP ...................... 4,066
461,888 ISCOR LTD .......................... 83
1,000 IVACO, INC (CLASS A) ............... 2
432,000(degree)JAPAN METALS & CHEMICALS CO ...... 709
654,000(degree)JAPAN STEEL WORKS LTD ............ 812
73,200(degree)KAISER ALUMINUN CORP ............. 357
5,360,000 KAWASAKI STEEL CORP ................ 8,030
859(degree)LONE STAR TECHNOLOGIES, INC ...... 9
1,666,300 LTV CORP ........................... 9,685
44,600 MADECO S.A. ADR .................... 374
1,068,020 MANNESMANN AG. ..................... 122,473
61,300 MATTHEWS INTERNATIONAL CORP (CLASS A) 1,931
47,300(degree)MAVERICK TUBE CORP ............... 263
49,762(degree)MAXXAM, INC ...................... 2,855
2,500(degree)METALS U.S.A., INC ............... 24
58,000(degree)MITSUBISHI STEEL MANUFACTURING CO LTD 52
447,300(degree)MUELLER INDUSTRIES, INC .......... 9,086
451,450 NATIONAL IRON & STEEL MILLS LTD .... 495
223,600 NATIONAL STEEL CORP (CLASS B) ...... 1,593
47,000 NIPPON DENKO CO LTD ................ 69
12,305,000 NIPPON STEEL CORP .................. 22,363
11,112,200 NKK CORP ........................... 7,585
9,046 NKT HOLDINGS AS .................... 569
16,800(degree)NS GROUP, INC .................... 75
359,300 NUCOR CORP ......................... 15,540
24,700(degree)OPTICAL CABLE CORP ............... 299
359,700 OREGON STEEL MILLS, INC ............ 4,271
263,259 PECHINEY S.A. ...................... 8,601
310,750 PRECISION CAST PARTS CORP .......... 13,751
39,909 PREUSSAG AKTIEGESELLSCHAFT AG. ..... 18,042
35,000(degree)PROMET BERHAD .................... 2
184,829 QUANEX CORP ........................ 4,170
189,400(degree)RAUTARUUKKI SERIES K ............. 1,231
103,490 REYNOLDS METALS CO ................. 5,453
82,000 ROANOKE ELECTRIC STEEL CORP ........ 1,204
76,383 ROUGE INDUSTRIES, INC (CLASS A) .... 668
168,500(degree)RTI INTERNATIONAL METALS ......... 2,359
643,101 SIDERCA S.A. (CLASS A) ............. 734
30,520#(degree)SILVERSTONE BERHAD .............. 0
41,700(degree)SPECIAL METALS CORP .............. 373
7,600(degree)STEEL DYNAMICS, INC .............. 89
36,800 STELCO, INC (CLASS A) .............. 192
5,651,000 SUMITOMO METAL INDUSTRIES LTD ...... 6,463
120,225 SUPERIOR TELECOM, INC .............. 5,681
See notes to financial statements.
46
<PAGE>
VALUE
SHARES (000)
------ --------
PRIMARY METAL INDUSTRIES--(CONTINUED)
118,050 SVENSKT STAL AB SERIES A (SSAB) .... $ 1,129
49,350 SVENSKT STAL AB SERIES B ........... 472
11,171 TEXAS INDUSTRIES, INC .............. 301
140,040(degree)THYSSEN AG. ...................... 25,988
9,558 TITAN INTERNATIONAL, INC ........... 91
304,300 TITANIUM METALS CORP ............... 2,587
513,900 TOKYO STEEL MANUFACTURING CO LTD ... 2,579
168,580 TRELLEBORG AB SERIES B FREE ........ 1,373
12,000 TREMONT CORP ....................... 399
53,340 USINOR ............................. 592
1,075,714 USX-US STEEL GROUP, INC ............ 24,741
163,100(degree)WHX CORP ......................... 1,641
195,700(degree)WOLVERINE TUBE, INC .............. 4,110
76,212 WORTHINGTON INDUSTRIES, INC ........ 953
----------
522,178
----------
PRINTING AND PUBLISHING--1.33%
170,345 AMERICAN BUSINESS PRODUCTS, INC .... 4,003
1,088,000 AMERICAN GREETINGS CORP (CLASS A) .. 44,676
197,597(degree)AMERICAN MEDIA, INC (CLASS A) .... 1,099
1,400(degree)APPLIED GRAPHICS TECHNOLOGIES, INC 23
492,200 BANTA CORP ......................... 13,474
87,300 BELO (A.H.) CORP SERIES A .......... 1,741
351,800 #BELO (A.H.) CORP SERIES B .......... 7,014
266,304(degree)BIG FLOWER HOLDINGS, INC ......... 5,875
583,740 BOWNE & CO, INC .................... 10,434
207,800 CENTRAL NEWSPAPERS, INC (CLASS A) .. 14,845
66,101 CLONDALKIN GROUP PLC (UNITS) ....... 473
185,900(degree)CONSOLIDATED GRAPHICS, INC ....... 12,560
31,692(degree)CSS INDUSTRIES, INC .............. 961
1,757,662 DAI NIPPON PRINTING CO LTD ......... 28,079
125,700(degree)DAY RUNNER, INC .................. 1,823
1,507,929 DELUXE CORP ........................ 55,134
700 DONNELLEY (R.R.) & SONS CO ......... 31
10,600 DOW JONES & CO, INC ................ 510
406,300 #DOW JONES & CO, INC (CLASS B) ...... 19,553
1,587,768(degree)ELSEVIER UTIGEVERSMIJ NV ......... 22,251
8,604 ENNIS BUSINESS FORMS, INC .......... 86
207,925(degree)FRANKLIN COVEY CO ................ 3,483
161,000(degree)GAKKEN CO LTD .................... 186
2,474,700 GANNETT CO, INC .................... 159,618
271,800(degree)GIBSON GREETINGS, INC ............ 3,228
32,300(degree)GOLDEN BOOKS FAMILY ENTERTAINMENT,
INC ............................... 10
492,495 HARLAND (JOHN H.) CO ............... 7,788
593,100 HARTE-HANKS, INC ................... 16,903
1,300 HOLLINGER INTERNATIONAL, INC ....... 18
600 HOUGHTON MIFFLIN CO ................ 28
443,100 INDEPENDENT NEWSPAPERS PLC ......... 1,784
45,638(degree)JOURNAL REGISTER CO .............. 685
2,800 KNIGHT-RIDDER, INC ................. 143
419,900 LEE ENTERPRISES, INC ............... 13,227
14,400 #LEE ENTERPRISES, INC (CLASS B) ..... 454
136,100x(degree)MARVEL ENTERTAINMENT GROUP, INC 20
6,435 MCCLATCHY CO (CLASS A) ............. 228
301,331 MCGRAW HILL COS, INC ............... 30,698
80,600(degree)MEDIA ARTS GROUP, INC ............ 1,133
311,246 MEDIA GENERAL, INC (CLASS A) ....... 16,496
41,400 MEREDITH CORP ...................... 1,568
320,900 #MEREDITH CORP (CLASS B) ............ 12,154
52,600 MERRILL CORP ....................... 1,016
199,900 MONDADORI (ARNOLDO) EDITORE S.P.A. . 2,649
89,308 MOORE CORP LTD ..................... 974
854 MOORE CORP LTD (U.S.) .............. 9
33,400 NASPERS LTD ........................ 131
82,800 NEW ENGLAND BUSINESS SERVICES, INC . 3,240
299,000 NEW STRAITS TIMES PRESS BERHAD ..... 147
948,332 NEW YORK TIMES CO (CLASS A) ........ 32,895
7,581,813 NEWS CORP LTD ...................... 50,134
905,971 NEWS CORP LTD (SPONS ADR) .......... 22,366
657,800 ORIENTAL PRESS GROUP ............... 64
6,477,561 PEARSON PLC ........................ 128,574
245,419 PENTON MEDIA, INC .................. 4,970
188,900(degree)PETERSEN COS, INC (CLASS A) ...... 6,399
1,057,922(degree)PRIMEDIA, INC .................... 12,431
100 PULITZER PUBLISHING CO ............. 9
72,600 QUEBECOR PRINTING, INC ............. 1,581
138,800 QUEBECOR, INC (CLASS B) ............ 2,973
36,627 R.H. DONNELLEY CORP ................ 533
18,000 READER'S DIGEST ASSOCIATION, INC
(CLASS A) (NON-VOTE) .............. 453
2,853,046(degree)REED INTERNATIONAL PLC ........... 22,310
917,500 REYNOLDS & REYNOLDS CO (CLASS A) ... 21,045
4,565 RURAL PRESS LTD .................... 14
1,800 SCHAWK, INC (CLASS A) .............. 25
75,000 SCHIBSTED ASA ...................... 945
701,400(degree)SCHOLASTIC CORP .................. 37,613
329,465 SCRIPPS (E.W.) CO (CLASS A) ........ 16,391
511,846 SINGAPORE PRESS HOLDINGS LTD ....... 5,584
7,190,000 SOUTH CHINA MORNING POST ........... 3,689
292,900 SOUTHAM, INC ....................... 4,453
145,900 STANDARD REGISTER, INC ............. 4,514
2,060 THOMAS NELSON, INC ................. 28
1,343,050 THOMSON CORP ....................... 31,390
6,240,730 TIME WARNER, INC ................... 387,315
20,400 TIMES MIRROR CO SERIES A ........... 1,142
742,859 #TIMES MIRROR CO SERIES C ........... 41,600
1,223,000 TOPPAN PRINTING CO LTD ............. 14,962
7,100(degree)TOPPS, INC ....................... 36
1,194,652 TRIBUNE CO ......................... 78,847
41,000 WALLACE COMPUTER SERVICES, INC ..... 1,081
69,700 WASHINGTON POST CO (CLASS B) ....... 40,282
79,938 WILEY (JOHN) & SONS, INC (CLASS A) . 3,862
107,593 WOLTERS KLUWER NV .................. 23,036
5,367(degree)WORKFLOW MANAGEMENT, INC ......... 36
553,848(degree)WORLD COLOR PRESS, INC ........... 16,858
----------
1,543,103
----------
RAILROAD TRANSPORTATION--0.43%
600,726 BRAMBLES INDUSTRIES LTD ............ 14,647
4,285,694 BURLINGTON NORTHERN SANTA FE CORP .. 144,642
53,000 CANADIAN NATIONAL RAILWAY CO ....... 2,752
528 CANADIAN NATIONAL RAILWAY CO (U.S.) 27
593,700 CANADIAN PACIFIC LTD ............... 11,093
131,700 CANADIAN PACIFIC LTD (U.S.) NEW .... 2,486
2,138,472 CSX CORP ........................... 88,747
153,501 FLORIDA EAST COAST INDUSTRIES, INC . 5,401
2,530,639 HANKYU CORP ........................ 11,128
36,500 KANSAS CITY SOUTHERN INDUSTRIES, INC 1,795
334,000 KEIHIN ELECTRIC EXPRESS RAILWAY .... 1,051
3,337,203 KINKI NIPPON RAILWAY CO LTD ........ 17,899
2,516,875 NAGOYA RAILROAD CO LTD ............. 9,148
841,010 NANKAI ELECTRIC RAILWAY CO ......... 4,242
1,912,000 NIPPON EXPRESS CO LTD .............. 10,780
1,536,436 NORFOLK SOUTHERN CORP .............. 48,686
733,000 ODAKYU ELECTRIC RAILWAY CO LTD ..... 2,567
166,200 PROVIDENCE AND WORCESTER RAILROAD CO 2,078
2,657,215 RAILTRACK GROUP PLC ................ 69,455
854,000 TOBU RAILWAY CO LTD ................ 2,498
983,431 UNION PACIFIC CORP ................. 44,316
434,500(degree)WISCONSIN CENTRAL TRANSIT CORP ... 7,468
----------
502,906
----------
REAL ESTATE--0.26%
422,400 ARDEN REALTY GROUP, INC ............ 9,794
108,700(degree)AVATAR HOLDINGS, INC ............. 1,739
51,072,000(degree)BEIJING NORTH STAR CO LTD SERIES H 8,174
713,300(degree)BRITISH LAND PLC ................. 5,305
See notes to financial statements.
47
<PAGE>
VALUE
SHARES (000)
------ --------
REAL ESTATE--(CONTINUED)
75,600 BROOKFIELD PROPERTIES CORP ......... $ 925
135,925(degree)CASTLE & COOKE, INC .............. 2,005
340,250(degree)CATELLUS DEVELOPMENT CORP ........ 4,870
167,000(degree)CB RICHARD ELLIS SERVICES GROUP, INC 3,027
5,151,508 CHEUNG KONG HOLDINGS LTD ........... 37,071
615,551(degree)CHINESE ESTATES HOLDINGS WTS 11/24/99 27
615,551(degree)CHINESE ESTATES HOLDINGS WTS 11/24/00 33
2,448,313 CHINESE ESTATES LTD ................ 357
1,368,326 CITY DEVELOPMENT LTD ............... 5,929
548,000 DAIWA KOSHO LEASE CO LTD ........... 2,254
1,789,800 DBS LAND LTD ....................... 2,636
88,900 DILIGENTIA AB ...................... 625
2,089(degree)ECHELON INTERNATIONAL CORP ....... 47
105,273(degree)EVERGO CHINA HOLDINGS LTD ........ 2
1,600(degree)EXCEL LEGACY CORP ................ 6
387,600(degree)FAIRFIELD COMMUNITIES, INC ....... 4,288
28,000 FIRST CAPITAL CORP LTD ............. 19
62,400 FOREST CITY ENTERPRISES, INC (CLASS A) 1,638
1,516,523 GENERAL PROPERTY TRUST ............. 2,837
479,000(degree)GENTRA, INC ...................... 842
979,638 GREAT PORTLAND ESTATES PLC ......... 3,195
99,156(degree)GRUBB & ELLIS CO ................. 799
23,175,000 GUANGZHOU INVESTMENT CO LTD. ....... 2,303
911,582 HAMMERSON PLC ...................... 5,225
2,271,500 HANG LUNG DEVELOPMENT CO LTD ....... 2,434
1,153,000 HENDERSON LAND DEVELOPMENT CO LTD .. 5,968
240 HONG KONG LAND HOLDINGS LTD ........ 0
840,000 HONG LEONG PROPERTIES BERHAD ....... 122
590,449 HOPEWELL HOLDINGS NEW LTD .......... 322
2,232,287 HYSAN DEVELOPMENT CO LTD ........... 3,328
196,559(degree)HYSAN DEVELOPMENT CO LTD WTS 04/30/99 4
183,744(degree)INSIGNIA FINANCIAL GROUP, INC .... 2,228
102,391 IRSA S.A. .......................... 281
149,600(degree)LASALLE PARTNERS, INC ............ 4,404
31,500 LION LAND BERHAD ................... 3
413,060 LNR PROPERTY CORP .................. 8,235
1,580,000 MALAYSIAN RESOURCES CORP BERHAD .... 402
138,095 MEPC PLC ........................... 919
1,534,900 METROPLEX BERHAD ................... 199
130,737(degree)METROVACESA ...................... 3,931
2,435,000 MITSUBISHI ESTATE CO LTD ........... 21,867
1,655,000 MITSUI FUDOSAN CO LTD .............. 12,544
889,250 MULPHA INTERNATIONAL BERHAD ........ 99
92,000 MYCOM BERHAD ....................... 9
2,966,074 NEW WORLD DEVELOPMENT CO LTD ....... 7,466
288,000 PARKWAY HOLDINGS LTD ............... 513
72,000 PETALING GARDEN BERHAD ............. 38
96,000 PRESTIGE PROPERTY HOLDINGS LTD ..... 5
2,369 PRICE ENTERPRISES, INC ............. 13
89,696(degree)RECKSON SERVICES INDUSTRIES, INC . 370
593,800 ROUSE CO ........................... 16,330
107,200(degree)ROYAL LEPAGE LTD ................. 269
1,021,800 SCHRODERS PROPERTY FUND ............ 1,667
17,700(degree)SECURITY CAPITAL GROUP, INC (CLASS B) 240
500,000 SELANGOR PROPERTIES BERHAD ......... 153
39,002 SIMCO (REGD) ....................... 3,540
4,700,012 SINO LAND CO ....................... 2,518
1,406,618 SLOUGH ESTATES PLC ................. 6,389
517,300 STEWART ENTERPRISES, INC (CLASS A) . 11,510
1,813,794 STOCKLAND TRUST GROUP (UNITS) ...... 4,517
88,077(degree)STOCKLAND TRUST GROUP (UNITS) NEW 212
5,824,217 SUN HUNG KAI PROPERTIES LTD ........ 42,475
1,924,394 TAI CHEUNG HOLDINGS LTD ............ 472
74,400(degree)TAK WING INVESTMENT HOLDINGS LTD . 4
744,000 TOKYO TATEMONO CO LTD .............. 1,273
203,080(degree)TRAMMELL CROW CO ................. 5,686
637(degree)TRIZEC HAHN CORP WTS 07/25/99 .... 2
32,260(degree)UNIBAIL S.A. ..................... 4,707
1,170,000 UNITED OVERSEAS LAND LTD ........... 794
120,645(degree)URBIS S.A. ....................... 1,877
464,060(degree)VALLEHERMOSO S.A. ................ 6,648
3,066,151 WESTFIELD TRUST (UNITS) ............ 6,771
----------
299,730
----------
RUBBER AND MISCELLANEOUS PLASTIC PRODUCTS--0.59%
80,900 ADIDAS SALOMON AG. ................. 8,791
4,700(degree)AEP INDUSTRIES, INC .............. 102
333,564 APTARGROUP, INC .................... 9,361
604,184 ARMSTRONG WORLD INDUSTRIES, INC .... 36,440
300 BANDAG, INC ........................ 12
119,300 BANDAG, INC (CLASS A) .............. 4,161
2,617,895 BRIDGESTONE CORP ................... 59,529
125,300 CARLISLE COS, INC .................. 6,469
1,685,824(degree)CONTINENTAL AG. .................. 46,559
13,200(degree)CONVERSE, INC .................... 31
300 COOPER TIRE & RUBBER CO ............ 6
590,427 FIRST BRANDS CORP .................. 23,285
154,300 FOAMEX INTERNATIONAL, INC .......... 1,909
2,880 FORBO HOLDINGS AG. (REGD) .......... 1,258
219,596 FURON CO ........................... 3,747
1,319,850 GOODRICH (B.F.) CO ................. 47,350
1,491,452 GOODYEAR TIRE & RUBBER CO .......... 75,225
1,450,200 ILLINOIS TOOL WORKS, INC ........... 84,112
525,716 MICHELIN S.A. (CLASS B) ............ 21,034
89,750 MIRAI INDUSTRY CO LTD .............. 899
129,176 MYERS INDUSTRIES, INC .............. 3,706
1,123,000 NIKE, INC (CLASS B) ................ 45,552
123,000 OKAMATO INDUSTRIES, INC ............ 277
1,736,800 PACIFIC DUNLOP LTD ................. 2,813
4,612,849 PIRELLI S.P.A. ..................... 14,811
2,000,000 PIRELLI S.P.A. RISP ................ 4,936
787,823 PREMARK INTERNATIONAL, INC ......... 27,278
710(degree)REEBOK INTERNATIONAL LTD ......... 11
356,115 RUBBERMAID, INC .................... 11,195
1,368,064(degree)SAFESKIN CORP .................... 33,005
482,292(degree)SEALED AIR CORP .................. 24,627
1,952,045 SOLUTIA, INC ....................... 43,677
92,600 SPARTECH CORP ...................... 2,037
155,100(degree)SYNETIC, INC ..................... 6,824
296,669 TREDEGAR INDUSTRIES, INC ........... 6,675
1,496,700 TUPPERWARE CORP .................... 24,602
83,387 WEST CO, INC ....................... 2,976
46,487 WYNNS INTERNATIONAL, INC ........... 1,029
550 YOKOHAMA RUBBER CO LTD ............. 1
63,000(degree)YUE YUEN INDUSTRIAL HOLDINGS ..... 120
----------
686,432
----------
SECURITY AND COMMODITY BROKERS--0.91%
30,375 ADVEST GROUP, INC .................. 562
173,985(degree)AFFILIATED MANAGERS GROUP, INC ... 5,198
36,200(degree)AMERITRADE HOLDINGS CORP (CLASS A) 1,140
1,140,000(degree)AMVESCAP PLC ..................... 8,844
1,590,628 BEAR STEARNS COS, INC .............. 59,450
400 DAIN RAUSCHER CORP ................. 12
5,535,000 DAIWA SECURITIES CO LTD ............ 18,941
83,600 DONALDSON, LUFKIN, & JENRETTE, INC . 3,428
69,033 DUFF & PHELPS CREDIT RATING CO ..... 3,784
1,900(degree)E TRADE GROUP, INC ............... 89
392,500 EATON VANCE CORP ................... 8,193
2,029,592 EDWARDS (A.G.), INC ................ 75,602
537,692 EVEREN CAPITAL CORP ................ 12,232
106,600 FEDERATED INVESTMENTS, INC ......... 1,932
416,700 FRANKLIN RESOURCES, INC ............ 13,334
213,300 FREEDOM SECURITIES CORP ............ 3,226
84,700(degree)FRIEDMAN, BILLINGS, RAMSEY GROUP, INC 551
31,900(degree)HAMBRECHT & QUIST GROUP .......... 724
37,932 HONG LEONG CREDIT BERHAD ........... 19
1,000(degree)INVESTMENT TECHNOLOGY GROUP, INC . 62
See notes to financial statements.
48
<PAGE>
VALUE
SHARES (000)
------ --------
SECURITY AND COMMODITY BROKERS--(CONTINUED)
21,939 INVESTORS FINANCIAL SERVICES CORP .. $ 1,308
4,342,400 ITOCHU CORP ........................ 8,392
130,100 JEFFERIES GROUP, INC ............... 6,456
474 JOHN NUVEEN CO (CLASS A) ........... 18
1,132 LEGG MASON, INC .................... 36
1,317,339 LEHMAN BROTHERS HOLDINGS, INC ...... 58,045
5,015,900 MARUBENI CORP ...................... 8,627
1,303,000(degree)MBF CAPITAL BERHAD ............... 205
1,654,592 MERRILL LYNCH & CO, INC ............ 110,444
2,916,000 MITSUBISHI CORP .................... 16,803
2,258,000 MITSUI & CO LTD .................... 12,631
696,600 MORGAN KEEGAN, INC ................. 13,105
3,879,873 MORGAN STANLEY, DEAN WITTER, & CO .. 275,471
3,000,000(degree)NIKKO SECURITIES CO LTD .......... 8,378
5,275,000 NOMURA SECURITIES CO LTD ........... 46,062
113,200(degree)OM GRUPPEN AB .................... 1,424
781,702 PAINE WEBBER GROUP, INC ............ 30,193
517,000x(degree)PEREGRINE INVESTMENT HOLDINGS LTD 287
181,406 PHOENIX INVESTMENT PARTNERS LTD .... 1,531
8,118 PIONEER GROUP, INC ................. 160
721,400 PRICE (T. ROWE) ASSOCIATES, INC .... 24,708
433,000(degree)RASHID HUSSAIN BERHAD ............ 215
981,456 RAYMOND JAMES FINANCIAL CORP ....... 20,733
2,928,036 SCHWAB (CHARLES) CORP .............. 164,519
77,436 SOUTHWEST SECURITIES GROUP, INC .... 1,558
390,000 TA ENTERPRISE BERHAD ............... 88
19,000 UNITED ASSET MANAGEMENT CORP ....... 494
270,600 VALUE LINE, INC .................... 10,655
335,029 WADDELL & REED FINANCIAL, INC (CLASS A) 7,936
386,060 WADDELL & REED FINANCIAL, INC (CLASS B) 8,976
1,901,000x(degree)YAMAICHI SECURITIES CO LTD ...... 34
----------
1,056,815
----------
SOCIAL SERVICES--0.00%
26,500(degree)BROOKDALE LIVING COMMUNITIES, INC 517
62,300(degree)CAPITAL SENIOR LIVING CORP ....... 868
38,950(degree)RES-CARE, INC .................... 962
73,200(degree)RWD TECHNOLOGIES, INC ............ 1,583
2,000(degree)SUNRISE ASSISTED LIVING, INC ..... 104
----------
4,034
----------
SPECIAL TRADE CONTRACTORS--0.04%
3,500(degree)AMERICAN RESIDENTIAL SERVICES, INC 11
326,600 APOGEE ENTERPRISES, INC ............ 3,674
129,200(degree)COMFORT SYSTEMS U.S.A., INC ...... 2,309
309,200(degree)GROUP MAINTENANCE AMERICA CORP ... 3,749
72,900(degree)INTEGRATED ELECTRICAL SERVICES, INC 1,622
833,000 KANDENKO CO LTD .................... 5,642
705,000 KINDEN CORP ........................ 10,737
259,000 KYUNDENKO CO LTD ................... 1,754
5,600(degree)LAYNE CHRISTENSEN CO ............. 41
77,100(degree)MATRIX SERVICE CO ................ 366
102,960 NIPPON KANZAI CO LTD ............... 1,561
10,236(degree)NSC CORP ......................... 10
3,095x(degree)OMEGA ENVIRONMENTAL, INC ........ 0
185,217 SCHNEIDER S.A. ..................... 11,240
800(degree)SERVICE EXPERTS, INC ............. 23
----------
42,739
----------
STONE, CLAY, AND GLASS PRODUCTS--0.46%
13,934 ADELAIDE BRIGHTON HOLDINGS LTD ..... 7
3,573 AKER RGI ASA ....................... 32
78,800 AKER RGI ASA SERIES A .............. 827
400 AMERON INTERNATIONAL CORP .......... 15
1,812,000 ASAHI GLASS CO LTD ................. 11,261
20,000 ASANO SLATE CO LTD ................. 15
5,989,055 BLUE CIRCLE INDUSTRIES PLC ......... 30,890
1,833,169 BORAL LTD .......................... 2,609
8,997 BPB PLC ............................ 32
2,700 CARBO CERAMICS, INC ................ 47
37,700 CBR NV ............................. 3,731
353,600 CEMENTIR S.P.A. .................... 407
98,750 CEMEX S.A. (CLASS B) ............... 248
72,720 CEMEX S.A. DE CV-CPO ............... 157
4,900 CENTEX CONSTRUCTION PRODUCTS, INC .. 199
277,389 CIMENTOS DE PORTUGAL ............... 8,855
26,116 CORCEMAR S.A. ...................... 148
751,588 CORNING, INC ....................... 33,821
1,442,998 CRH PLC ............................ 24,561
82 CRISTALERIA ESPANOLA S.A. .......... 6
13(degree)CRISTALERIA ESPANOLA S.A. NEW .... 1
2,021,663 CSR LTD ............................ 4,948
151,200(degree)DAL-TILE INTERNATIONAL, INC ...... 1,569
331,113(degree)DEPARTMENT 56, INC ............... 12,437
10,131(degree)DUPONT PHOTOMASKS, INC ........... 430
836,031 ENGLISH CHINA CLAYS PLC ............ 2,302
99,438 FLORIDA ROCK INDUSTRIES, INC ....... 3,083
152,100(degree)GIANT CEMENT HOLDINGS, INC ....... 3,764
11,088 GLAVERBEL S.A. ..................... 1,469
58 GLAVERBEL STRIP NPV (VVPR) ......... 0
600,000 GUJARAT AMBUJA CEMENTS ............. 3,960
1,931,751 HANSON PLC ......................... 15,339
150,670 HEIDELBERGER ZEMENT AG. ............ 11,760
851,930(degree)HEPWORTH PLC ..................... 2,275
11,621 HOLDERBANK FINANCIERE GLARUS AG. (BR) 13,757
1,300 HOLDERBANK FINANCIERE GLARUS AG. (REGD) 326
439,000(degree)HOYA CORP ........................ 21,405
196,000 HUME INDUSTRIES BERHAD ............. 119
19 IMETAL S.A. ........................ 2
685,000 INAX CORP .......................... 4,433
793,720(degree)ITALCEMENTI S.P.A. ............... 8,760
40,000 ITALCEMENTI S.P.A. (S/S) ........... 204
1,625,715 JAMES HARDIE INDUSTRIES LTD ........ 3,325
203,000 KEDAH CEMENT HOLDINGS BERHAD ....... 84
515,360 LAFARGE CORP ....................... 20,872
379,802 LAFARGE S.A. (BR) .................. 36,102
30,768 #LAFARGE S.A. (REGD) ................ 2,925
611 LAFARGE S.A. (SPANISH CERT) ........ 52
68,265 LIBBEY, INC ........................ 1,975
400 LONE STAR INDUSTRIES, INC .......... 15
307,500 MALAYAN CEMENT BERHAD .............. 78
1,364,000 MALAYAN UNITED INDUSTRIES BERHAD ... 207
239,000 MALAYSIAN MOSAICS BERHAD ........... 57
895,070 MARLEY PLC ......................... 1,832
1,000(degree)MIKASA, INC ...................... 13
116,418 MURRAY & ROBERTS HOLDINGS LTD ...... 61
1,326,406 NEWELL COS, INC .................... 54,714
1,430,000 NIPPON SHEET GLASS CO LTD .......... 4,031
185,000 NORITAKE CO LTD .................... 958
928,158 OWENS CORNING CO ................... 32,892
249,881(degree)OWENS ILLINOIS, INC .............. 7,653
610,000 PAN-MALAYSIA CEMENT WORKS BERHAD ... 127
3,396,305 PILKINGTON PLC ..................... 3,362
3,449,732 PIONEER INTERNATIONAL LTD .......... 7,300
334,569 PORTLAND HOLDINGS LTD .............. 73
2,100 PUERTO RICAN CEMENT CO, INC ........ 73
147,154 RUGBY GROUP PLC .................... 230
469 EUROC INDUSTRIA AB SERIES A ........ 17
445,441 SOUTHDOWN, INC ..................... 26,365
256,880 ST. GOBAIN S.A. .................... 36,282
1,709,000 SUMITOMO OSAKA CEMENT CO LTD ....... 3,197
626,200(degree)SUNGEI WAY HOLDINGS BERHAD ....... 143
2,635,200 TAIHEIYO CEMENT CORP ............... 6,611
9,840,900 TARMAC PLC ......................... 18,420
51,500 TOTO LTD ........................... 414
654,900 USG CORP ........................... 33,359
396,000 VIDRALA S.A. ....................... 4,611
See notes to financial statements.
49
<PAGE>
VALUE
SHARES (000)
------ --------
STONE, CLAY, AND GLASS PRODUCTS--(CONTINUED)
9,440 WIENERBERGER BAUSTOFF AG. .......... $ 1,879
----------
540,520
----------
TEXTILE MILL PRODUCTS--0.12%
300,228 ALBANY INTERNATIONAL CORP
(CLASS A) NEW ..................... 5,686
2,264,606 BBA GROUP PLC ...................... 14,111
1,875(degree)BURLINGTON INDUSTRIES, INC ....... 21
21,866 CHARGEURS S.A. ..................... 1,210
1,453,850 COATS VIYELLA PLC .................. 653
252,949(degree)COLLINS & AIKMAN CORP ............ 1,296
7,246(degree)CONE MILLS CORP .................. 41
331,130 COURTAULDS TEXTILES PLC ............ 865
2,300 CULP, INC .......................... 18
167,610(degree)DAN RIVER, INC (CLASS A) ......... 1,969
107,838 FAB INDUSTRIES, INC ................ 2,319
15,375(degree)GALEY & LORD, INC ................ 133
49,635(degree)GUILFORD MILLS, INC .............. 828
676,400 INTERFACE, INC (CLASS A) ........... 6,278
382,000(degree)KANEBO LTD ....................... 379
979,000 KURABO INDUSTRIES LTD .............. 1,007
2,500(degree)LENZING AG. ...................... 156
121,500 MARZOTTO & FIGLI S.P.A. ............ 1,341
482,000 MITSUBISHI RAYON CO LTD ............ 1,320
585,331(degree)MOHAWK INDUSTRIES, INC ........... 24,620
896,000 NISSHINBO INDUSTRY, INC ............ 3,130
218,000(degree)POLYMER GROUP, INC ............... 2,166
1,300(degree)QUAKER FABRIC CORP ............... 8
15,000 RUSSELL CORP ....................... 305
1,568,200 SHAW INDUSTRIES, INC ............... 38,029
49,173 SPRING INDUSTRIES, INC ............. 2,038
9,400 ST. JOHN KNITS, INC ................ 244
1,085,000 TOYOBO CO LTD ...................... 1,404
28,300(degree)TULTEX CORP ...................... 25
235,225 UNIFI, INC ......................... 4,602
194,000(degree)UNITIKA LTD ...................... 134
643,600(degree)WESTPOINT STEVENS, INC ........... 20,314
----------
136,650
----------
TOBACCO PRODUCTS--0.97%
3,039,696 BRITISH AMERICAN TOBACCO PLC ....... 26,729
173,638(degree)CONSOLIDATED CIGAR HOLDINGS, INC . 3,071
285,357 FORTUNE BRANDS, INC ................ 9,024
2,950,000 GALLAHER GROUP PLC ................. 20,001
93,340(degree)GENERAL CIGAR HOLDINGS, INC (CLASS A) 811
1,174,300 IMASCO LTD ......................... 25,000
24,928 NOBLEZA-PICCARDO S.A. (CLASS B) .... 85
17,301,789 PHILIP MORRIS COS, INC ............. 925,646
215,000 R.J. REYNOLDS BERHAD ............... 170
392,337 ROTHMANS HOLDINGS LTD .............. 2,816
327,300 ROTHMANS OF PALL MALL BERHAD ....... 1,350
149,173 SEITA S.A. ......................... 9,346
63,878 SOUZA CRUZ S.A. .................... 412
3,365,400 TABACALERA S.A. SERIES A (REGD) .... 85,028
424,117 UST, INC ........................... 14,791
----------
1,124,280
----------
TRANSPORTATION BY AIR--0.46%
165,100(degree)AIR CANADA, INC .................. 661
385,900 AIR NEW ZEALAND LTD (CLASS B) ...... 608
337,300 AIRBORNE FREIGHT CORP .............. 12,164
913(degree)AIRNET SYSTEMS, INC .............. 13
76,600(degree)AIRTRAN HOLDINGS, INC ............ 201
4,829(degree)ALASKA AIR GROUP, INC ............ 214
2,293,000(degree)ALITALIA S.P.A. .................. 8,482
1,170(degree)ALL NIPPON AIRWAYS CO LTD ........ 4
1,980(degree)AMERICA WEST HOLDINGS CORP (CLASS B) 34
1,775,663(degree)AMR CORP ......................... 105,430
722,898 ASA HOLDINGS, INC .................. 22,048
1,400(degree)ATLANTIC COAST AIRLINES HOLDINGS . 35
162,700(degree)ATLAS AIR, INC ................... 7,962
25,584 AUSTRIAN AIRLINES/OEST LUFTV AG. ... 917
270,688(degree)AVIALL, INC ...................... 3,181
1,781,328 BRITISH AIRPORT AUTHORITIES PLC .... 20,791
3,933,613 BRITISH AIRWAYS PLC ................ 26,523
200(degree)CANADIAN AIRLINES CORP ........... 0
4,000(degree)CANADIAN AIRLINES CORP WTS 04/22/99 0
3,892,800 CATHAY PACIFIC AIRWAYS LTD ......... 3,869
874,500 COMAIR HOLDINGS, INC ............... 29,514
586,700(degree)CONTINENTAL AIRLINES, INC (CLASS B) 19,654
1,035,686 DELTA AIRLINES, INC ................ 53,856
709,990 DEUTSCHE LUFTHANSA AG. (REGD) ...... 15,687
552,181(degree)FDX CORP ......................... 49,144
22,367 FLUGHAFEN WIEN AG. ................. 1,098
21,800 HELICOPTER SERVICES GROUP ASA ...... 103
52,500 HONG KONG AIRCRAFT ENGINEERING CO LTD 72
2,998,400(degree)JAPAN AIRLINES CO LTD ............ 7,921
30,800(degree)KITTY HAWK, INC .................. 339
116,183 KLM (ROYAL DUTCH AIRLINES) NV ...... 3,516
692,000 MALAYSIAN AIRLINE SYSTEM BERHAD .... 265
424,800(degree)MESA AIR GROUP, INC .............. 3,319
259(degree)MIDWEST EXPRESS HOLDINGS, INC .... 7
110,400 NALURI BERHAD ...................... 16
22,080(degree)MALAYSIAN HELICOPTER WTS 06/11/00 1
600(degree)NORTHWEST AIRLINES CORP (CLASS A) 15
321,900(degree)OFFSHORE LOGISTICS, INC .......... 3,823
330,005 PITTSTON BAX GROUP ................. 3,671
303,000(degree)RYANAIR HOLDINGS PLC ............. 2,169
415,000(degree)RYANAIR HOLDINGS PLC ADR ......... 15,666
167,500 SAFMARINE & RENNIES HOLDINGS LTD ... 145
34,100 SAIRGROUP .......................... 8,466
56,388 SAS DANMARK AS ..................... 638
52,000 SAS NORGE ASA SERIES B ............. 437
1,047,000 SINGAPORE INTERNATIONAL AIRLINES LTD (FR) 7,678
1,800 SKYWEST, INC ....................... 59
1,420,535 SOUTHWEST AIRLINES CO .............. 31,873
2,876,200 SWIRE PACIFIC LTD (CLASS A) ........ 12,882
3,500(degree)TRANS WORLD AIRLINES, INC ........ 17
866,600(degree)U.S. AIRWAYS GROUP, INC .......... 45,063
59(degree)UAL CORP ......................... 4
----------
530,255
----------
TRANSPORTATION EQUIPMENT--3.32%
2,600(degree)AFTERMARKET TECHNOLOGY CORP ...... 20
6,000 AISIN SEIKI CO LTD ................. 66
9,507,429 ALLIED SIGNAL, INC ................. 421,298
287,000 ARCTIC CAT, INC .................... 2,924
845,649 AUTOLIV, INC ....................... 31,448
5,100(degree)AVONDALE INDUSTRIES, INC ......... 148
500(degree)BANNER AEROSPACE, INC ............ 5
388,698(degree)BE AEROSPACE, INC ................ 8,163
8,113,407 BOEING CO .......................... 264,700
24,000 BOMBARDIER, INC (CLASS A) .......... 349
1,729,204 BOMBARDIER, INC (CLASS B) .......... 24,767
264,200 BORG-WARNER AUTOMOTIVE, INC ........ 14,746
400(degree)BREED TECHNOLOGIES, INC .......... 3
6,000x(degree)BREMER VULKAN AG. ............... 3
6,213,844 BRITISH AEROSPACE PLC .............. 52,675
7,134(degree)BRITISH AEROSPACE PLC WTS 11/15/00 176
346,300 CAE, INC ........................... 1,837
216,750 CLARCOR, INC ....................... 4,335
900 COACHMEN INDUSTRIES, INC ........... 24
340,288 COBHAM GROUP PLC ................... 3,887
177,850 COMMERCIAL INTERTECH CORP .......... 2,301
643,984 CORDANT TECHNOLOGIES, INC .......... 24,149
208,000 CYCLE & CARRIAGE LTD ............... 712
1,148,230(degree)DAIMLERCHRYSLER AG. .............. 113,403
1,898,528(degree)DAIMLERCHRYSLER (U.S.A.) ......... 182,377
675,211 DANA CORP .......................... 27,599
582,278 DANAHER CORP ....................... 31,625
See notes to financial statements.
50
<PAGE>
VALUE
SHARES (000)
------ --------
TRANSPORTATION EQUIPMENT--(CONTINUED)
83,722(degree)DELCO REMY INTERNATIONAL,
INC (CLASS A) ................... $ 822
1,720,400 DENSO CORP ......................... 31,876
148,895(degree)DUCOMMUN, INC .................... 2,057
780,434 EATON CORP ......................... 55,167
1,700 EXCEL INDUSTRIES, INC .............. 30
219,700 EXEDY CORP ......................... 869
6,800(degree)FABBRICA ITALIANA APPARECCHIATURE 25
714 FEDERAL SIGNAL CORP ................ 20
244 FEDERAL-MOGUL CORP ................. 15
6,882,918 FIAT S.P.A. ........................ 23,958
1,646,997 FIAT S.P.A. DI RISP ................ 3,296
366,667 FIAT S.P.A. (PRIV) ................. 708
1,800 FLEETWOOD ENTERPRISES, INC ......... 63
7,202,415 FORD MOTOR CO ...................... 422,692
568,624 GENCORP, INC ....................... 14,180
290,100 GENERAL DYNAMICS CORP .............. 17,007
4,899,743 GENERAL MOTORS CORP ................ 350,638
2,059,394(degree)GENERAL MOTORS CORP (CLASS H) .... 81,732
797,000(degree)GENTEX CORP ...................... 15,940
31,827 GREENBRIER COS, INC ................ 450
1,195,474(degree)GULFSTREAM AEROSPACE CORP ........ 63,659
20,435(degree)HALTER MARINE GROUP, INC ......... 100
808,400 HARLEY DAVIDSON, INC ............... 38,298
42,620(degree)HAYES LEMMERZ INTERNATIONAL, INC . 1,287
1,973(degree)HEICO CORP ....................... 62
5,550 HEICO CORP (CLASS A) ............... 128
2,276,000 HONDA MOTOR CO LTD ................. 74,857
190,732(degree)HOWMET INTERNATIONAL, INC ........ 3,076
1,225 HUFFY CORP ......................... 20
407,000 INCHAPE MOTORS ..................... 471
160,536 ITT INDUSTRIES, INC ................ 6,381
125,300 KAMAN CORP (CLASS A) ............... 2,013
4,504,000 KAWASAKI HEAVY INDUSTRIES LTD ...... 10,581
38,100(degree)KELLSTROM INDUSTRIES, INC ........ 1,095
45,335 KVAERNER INDUSTRIER AS SERIES A .... 893
3,935 KVAERNER INDUSTRIER AS SERIES B .... 65
130,994(degree)LAIRD GROUP PLC .................. 359
979,131 LOCKHEED MARTIN CORP ............... 82,981
2,211,543 LUCASVARITY PLC .................... 7,378
227,600 MAGNA INTERNATIONAL, INC ........... 14,136
40,400 MAN AG. (STAMM) .................... 11,885
291,600 MASCOTECH, INC ..................... 4,994
3,082,613 MERITOR AUTOMOTIVE, INC ............ 65,313
481,000(degree)MITSUI ENGINEERING & SHIP BUILDING
CO LTD ............................ 478
118,170 MODINE MANUFACTURING CO ............ 4,284
206,250(degree)MONACO COACH CORP ................ 5,466
200(degree)MOTIVEPOWER INDUSTRIES, INC ...... 6
103,800(degree)NATIONAL R.V. HOLDINGS, INC ...... 2,673
1,194,535(degree)NAVISTAR INTERNATIONAL CORP ...... 34,044
803 NEWPORT NEWS SHIPBUILDING, INC ..... 27
73,000 NIPPON SHARYO LTD .................. 237
4,173,000 NISSAN MOTOR CO LTD ................ 12,800
484,275 NORTHROP GRUMMAN CORP .............. 35,413
30,400 OEA, INC ........................... 359
8,517(degree)ORBITAL SCIENCES CORP ............ 377
1,130,000 ORIENT CORP ........................ 2,524
1,007,800 PACCAR, INC ........................ 41,446
573,000 PERUSAHAAN OTOMOBIL NASIONAL BERHAD 607
190,106 PEUGEOT S.A. ....................... 29,437
350,193 POLARIS INDUSTRIES, INC ............ 13,723
268,600 REGAL-BELOIT CORP .................. 6,178
52,900 RHEINMETALL AG. .................... 1,369
4,133,234 ROLLS ROYCE LTD .................... 17,123
400,000 SANDEN CORP ........................ 3,032
13,779(degree)SEQUA CORP (CLASS A) ............. 825
257,000 SHIMANO, INC ....................... 6,641
794,500 SIEMENS AG. ........................ 51,278
275,475 SIMPSON INDUSTRIES, INC ............ 2,669
232,550 SMITH (A.O.) CORP .................. 5,712
349,800 SMITHS INDUSTRIES PLC .............. 4,991
136,700(degree)SPAR AEROSPACE LTD ............... 823
150,350 SPARTAN MOTORS, INC ................ 865
441,124(degree)SPX CORP ......................... 29,555
68,863 STANDARD MOTOR PRODUCTS, INC (CLASS A) 1,670
49,143 STANDARD PRODUCTS CO ............... 1,001
116,585(degree)STONERIDGE, INC .................. 2,652
30,194(degree)STRATTEC SECURITY CORP ........... 906
952,507 SUNDSTRAND CORP .................... 49,411
400 SUPERIOR INDUSTRIES INTERNATIONAL, INC 11
149,000(degree)SUZUKI MOTOR CORP ................ 1,770
1,000,000(degree)TATA ENGINEERING & LOC GDR ....... 4,000
492,427 TEXTRON, INC ....................... 37,394
341,422 THOMSON-CSF ........................ 14,669
20,956 THOR INDUSTRIES, INC ............... 534
1,678,312 TI GROUP PLC ....................... 9,040
9,422,880 TOYOTA MOTOR CORP .................. 256,455
121,300 TRANSPRO, INC ...................... 591
778,400 TRINITY INDUSTRIES, INC ............ 29,968
221,700(degree)TRISTAR AEROSPACE CO ............. 1,552
104,130(degree)TRIUMPH GROUP, INC ............... 3,332
1,215,571 TRW, INC ........................... 68,300
417,000 UMW HOLDINGS BERHAD ................ 307
2,811,890 UNITED TECHNOLOGIES CORP ........... 305,793
329,870 VALEO S.A. ......................... 26,006
271,500 VARLEN CORP ........................ 6,261
870,540 VOLKSWAGEN AG. ..................... 69,514
51,680 VOLVO AB SERIES A .................. 1,157
992,070 VOLVO AB SERIES B FREE ............. 22,765
1,150 WABASH NATIONAL CORP ............... 23
3,900(degree)WALBRO CORP ...................... 25
35,300 WESTINGHOUSE AIR BRAKE CO .......... 863
159,696 WINNEBAGO INDUSTRIES, INC .......... 2,415
----------
3,858,664
----------
TRANSPORTATION SERVICES--0.09%
8,993 AIR EXPRESS INTERNATIONAL CORP ..... 196
2,800(degree)AMBASSADORS INTERNATIONAL, INC ... 41
31,200 C.H. ROBINSON WORLDWIDE, INC ....... 809
96,450 CIRCLE INTERNATIONAL GROUP, INC .... 1,977
8,660 DANZAS HOLDINGS AG. (REGD) ......... 3,657
1,800(degree)EAGLE U.S.A. AIRFREIGHT, INC ..... 44
354,900 EXPEDITORS INTERNATIONAL OF WASHINGTON 14,906
44,300(degree)FRITZ COS, INC ................... 479
996,400 GALILEO INTERNATIONAL, INC ......... 43,343
837,100 GATX CORP .......................... 31,705
2,400 LAURITZEN J. HOLDINGS (CLASS B) .... 166
5,775(degree)NAVIGANT INTERNATIONAL, INC ...... 44
1,716,136(degree)NEW WORLD INFRASTUCTURE LTD ...... 2,514
125,000(degree)TRAVEL SERVICES INTERNATIONAL, INC 3,813
27,088 TRENCOR LTD ........................ 49
123,200(degree)U.S. EXPRESS ENTERPRISES, INC (CLASS A) 1,848
----------
105,591
----------
TRUCKING AND WAREHOUSING--0.15%
351,600(degree)AMERICAN FREIGHTWAYS CORP ........ 4,054
332,700 ARNOLD INDUSTRIES, INC ............. 5,365
229,800 CNF TRANSPORTATION, INC ............ 8,632
272,550(degree)CONSOLIDATED FREIGHTWAYS CORP .... 4,327
169,000(degree)CONTAINER CORP OF INDIA (DEM) .... 955
110,200(degree)COVENANT TRANSPORT, INC (CLASS A) 1,970
17,900(degree)DISPATCH MANAGEMENT SERVICES CORP 73
162,807(degree)HEARTLAND EXPRESS, INC ........... 2,849
355,550 HUNT (J.B.) TRANSPORT SERVICES, INC 8,178
15,000(degree)IRON MOUNTAIN, INC ............... 541
97,100(degree)KNIGHT TRANSPORTATION, INC ....... 2,591
187,994(degree)LANDSTAR SYSTEM, INC ............. 7,661
155,900(degree)M.S. CARRIERS, INC ............... 5,135
See notes to financial statements.
51
<PAGE>
VALUE
SHARES (000)
------ --------
TRUCKING AND WAREHOUSING--(CONTINUED)
345,000 MITSUBISHI LOGISTICS CORP .......... $ 4,037
145,000 MITSUI SOKO CO LTD ................. 492
124,410(degree)PIERCE LEAHY CORP ................ 3,172
286,550 ROADWAY EXPRESS, INC ............... 4,137
630,000 SEINO TRANSPORTATION CO LTD ........ 3,608
419,550(degree)SWIFT TRANSPORTATION CO, INC ..... 11,761
1,324,418 TNT POST GROUP NV .................. 42,696
407,200 USFREIGHTWAYS CORP ................. 11,860
21,390 WERNER ENTERPRISES, INC ............ 378
2,022,878 YAMATO TRANSPORT CO LTD ............ 28,334
404,800(degree)YELLOW CORP ...................... 7,742
----------
170,548
----------
WATER TRANSPORTATION--0.18%
322,634 ALEXANDER & BALDWIN, INC ........... 7,501
2,200(degree)AMERICAN CLASSIC VOYAGES CO ...... 39
55,900(degree)ASKO OYJ SERIES A ................ 957
72,400 BERGESEN AS SERIES A ............... 865
170,200 BERGESEN D.Y. AS (CLASS B) ......... 1,966
2,030,000 CARNIVAL CORP (CLASS A) ............ 97,440
15,200 CMB CIE MARITIME BELGE S.A. ........ 679
2,094 DAMPSKIBSSELSKABET AF 1912 (CLASS B) 14,641
2,008 DAMPSKIBSSELSKABET SVENDBORG (CLASS B) 20,350
26,800(degree)FINNLINES OY ..................... 1,154
14,800(degree)GULFMARK OFFSHORE, INC ........... 233
153,000 HAI SUN HUP GROUP LTD .............. 38
29,700(degree)HVIDE MARINE, INC (CLASS A) ...... 149
48,000 IRISH CONTINENTAL GROUP PLC ........ 569
537,000 KAMIGUMI CO LTD .................... 2,614
264,000 KAWASAKI KISEN KAISHA LTD .......... 356
63,972(degree)KIRBY CORP ....................... 1,275
28,500 KONINKLIJKE NEDLLOYD GROEP NV ...... 387
34,400 LEIF HOEGH & CO .................... 402
1,788,000 MALAYSIAN INTERNATIONAL SHIPPING CO (FR) 1,646
110,800 MALAYSIAN INTERNATIONAL SHIPPING CO (LR) 137
63,550(degree)MARINE TRANSPORT CORP ............ 143
2,808,000 MITSUI OSK LINES LTD ............... 4,531
245,168(degree)NCL HOLDINGS AS .................. 579
117,000(degree)NEPTUNE ORIENT LINES LTD ......... 38
2,331,800 NIPPON YUSEN KABUSHIKI KAISHA ...... 7,380
9,108 OCEAN GROUP PLC .................... 115
358,800(degree)OMI CORP (NEW) ................... 1,166
295,660 OVERSEAS SHIPHOLDING GROUP, INC .... 4,749
666,675 PENINSULAR & ORIENTAL STEAM
NAVIGATION CO ..................... 7,881
13,300(degree)SEACOR SMIT, INC ................. 658
19,100(degree)STAR CRUISES PUBLIC CO LTD ....... 40
1,258,100 TIDEWATER, INC ..................... 29,172
243,713 TRANSPORT DEVELOPMENT GROUP PLC .... 955
3,300(degree)TRICO MARINE SERVICES, INC ....... 16
20,400 UNITOR AS .......................... 198
----------
211,019
----------
WHOLESALE TRADE-DURABLE GOODS--0.19%
1,125 AAR CORP ........................... 27
234,000(degree)ACTION PERFORMANCE COS, INC ...... 8,278
79,500(degree)ANICOM, INC ...................... 730
443,946(degree)ANIXTER INTERNATIONAL, INC ....... 9,018
265,611 APPLIED INDUSTRIAL TECHNOLOGIES, INC 3,685
155,700x(degree)APS HOLDINGS CORP ............... 12
1,579,064(degree)ARROW ELECTRONICS, INC ........... 42,141
26,600(degree)AVIATION SALES CO ................ 1,081
14,862(degree)BELL INDUSTRIES, INC ............. 169
38,533x(degree)BEN FRANKLIN RETAIL STORES, INC . 0
269,091 BRIGGS & STRATTON CORP ............. 13,421
821,000(degree)BRIGHTPOINT, INC ................. 11,289
1,175 CANON SALES CO, INC ................ 17
47,274 CASTLE (A.M.) & CO ................. 709
542,700(degree)CELLSTAR CORP .................... 3,697
531,600(degree)CHS ELECTRONICS, INC ............. 9,004
196,721 COMMERCIAL METALS CO ............... 5,459
51,000 CREAN (JAMES) PLC (UNITS) .......... 65
98,400 DE BEERS CENTENARY AG. (UNITS) ..... 1,255
151,500 DICKSON CONCEPTS INTERNATIONAL LTD . 117
9,000 DIETEREN S.A. ...................... 4,965
198,000 EDARAN OTOMOBIL NASIONAL BERHAD .... 219
102(degree)EKCO GROUP, INC .................. 0
1,709(degree)FAIRCHILD CORP (CLASS A) ......... 27
76,100(degree)FISHER SCIENTIFIC INTERNATIONAL, INC 1,517
1,050 FUJI DENKI REIKI CO LTD ............ 4
65,500 GENUINE PARTS CO ................... 2,190
11,300(degree)GRAHAM-FIELD HEALTH PRODUCTS, INC 38
11,400 GRAINGER (W.W.), INC ............... 475
23,900(degree)HA-LO INDUSTRIES, INC ............ 899
311,084(degree)HANDLEMAN CO ..................... 4,375
1,500(degree)HIRSCH INTERNATIONAL CORP (CLASS A) 4
273,400 HUGHES SUPPLY, INC ................. 7,997
533,200 IKON OFFICE SOLUTIONS, INC ......... 4,566
138,750(degree)INGRAM MICRO, INC (CLASS A) ...... 4,839
20,000(degree)JLK DIRECT DISTRIBUTION, INC (CLASS A) 204
13,400(degree)KENT ELECTRONICS CORP ............ 171
400(degree)KEYSTONE AUTOMOTIVE INDUSTRIES, INC 8
96,900 LAWSON PRODUCTS, INC ............... 2,229
461,666(degree)LEADER UNIVERSAL HOLDINGS BERHAD . 89
2,000(degree)MARSHALL INDUSTRIES, INC ......... 49
351,800(degree)MERISEL, INC ..................... 836
24,800(degree)METAL MANAGEMENT, INC ............ 87
265,978 METRO CASH & CARRY LTD ............. 176
299,000(degree)MICROAGE, INC .................... 4,597
327,714 OWENS & MINOR, INC ................. 5,161
238,475(degree)PATTERSON DENTAL CO .............. 10,374
900 PIONEER-STANDARD ELECTRONICS, INC .. 8
4,600(degree)POMEROY COMPUTER RESOURCES, INC .. 104
42,800 RELIANCE STEEL & ALUMINUM CO ....... 1,182
67,397 REUNERT LTD ........................ 94
162,700(degree)SAFEGUARD SCIENTIFICS, INC ....... 4,464
253,000(degree)SANRIO CO LTD .................... 3,272
14,500(degree)SODAK GAMING, INC ................ 121
100,000(degree)SOFTBANK CORP .................... 6,028
1,479,000 #TAN CHONG INTERNATIONAL LTD ........ 145
1,063,000 TAN CHONG MOTOR HOLDINGS BERHAD .... 241
68,250(degree)TBC CORP ......................... 486
523,100(degree)TECH DATA CORP ................... 21,055
652,000(degree)TERUMO CORP ...................... 15,375
86,100(degree)VWR SCIENTIFIC PRODUCTS CORP ..... 1,496
5,740 WESCO FINANCIAL CORP ............... 2,036
10,000(degree)WILMAR INDUSTRIES, INC ........... 203
----------
222,580
----------
WHOLESALE TRADE-NONDURABLE GOODS--0.64%
2,000(degree)800-JR CIGAR, INC ................ 47
8,100(degree)AIRGAS, INC ...................... 72
70,000(degree)AMERICAN DRUG CO ................. 27
70,000(degree)AMERICAN DRUG CO WTS 08/05/00 .... 8
19,400(degree)AMERISOURCE HEALTH CORP (CLASS A) 1,261
19,000(degree)AUSTRIA TABAKWERKE AG. ........... 1,458
295,600(degree)AVATEX CORP ...................... 296
23,260(degree)BARNETT RESOURCES CORP ........... 558
1,870,554 BERGEN BRUNSWIG CORP (CLASS A) ..... 65,236
143,166 BINDLEY WESTERN INDUSTRIES, INC 7,051
116,400(degree)BOISE CASCADE OFFICE PRODUCTS CORP 1,571
4,397,727 CARDINAL HEALTH, INC ............... 333,631
376,200(degree)CENTRAL GARDEN & PET CO .......... 5,408
110,400(degree)DAISYTEK INTERNATIONAL CORP ...... 2,098
654,628 DIMON, INC ......................... 4,869
See notes to financial statements.
52
<PAGE>
VALUE
SHARES (000)
------ --------
WHOLESALE TRADE-NONDURABLE GOODS--(CONTINUED)
434,927(degree)ERCROS S.A. ...................... $ 586
47,300 ESSELTE AB SERIES B FREE ........... 776
621,323 F.H. FAULDING & CO LTD ............. 2,935
1,212 FLEMING COS, INC ................... 13
505,641 FYFFES PLC ......................... 1,131
434,038(degree)GETTY PETROLEUM MARKETING, INC ... 1,275
3,000,000(degree)GUANGNAN HOLDINGS ................ 689
7,183 HERBALIFE INTERNATIONAL, INC (CLASS A) 102
6,066 HERBALIFE INTERNATIONAL, INC (CLASS B) 69
7,250(degree)HERLITZ AG. ...................... 239
56,600 HUNT CORP .......................... 601
1,400,000 IMPERIAL TOBACCO GROUP PLC ......... 15,001
282,800 INTERNATIONAL MULTIFOODS CORP ...... 7,300
384,000 IWATANI & CO LTD ................... 783
6,400(degree)KENNETH COLE PRODUCTIONS, INC .... 120
123,000 KOKUYO CO LTD ...................... 1,659
100,174 LOBLAW COS LTD ..................... 2,439
756,250 MCKESSON CORP NEW .................. 59,791
564,000 NAGASE & CO ........................ 1,935
25,000 NASH FINCH CO ...................... 356
608,537(degree)NATIONAL-OILWELL, INC ............ 6,808
1,660,000(degree)NG FUNG HONG LTD ................. 1,489
166,562(degree)NU SKIN ENTERPRISES, INC (CLASS A) 3,935
98,600(degree)PERFORMANCE FOOD GROUP CO ........ 2,773
32,271(degree)PLAINS RESOURCES, INC ............ 454
19,600(degree)PRIORITY HEALTHCARE CORP (CLASS B) 1,017
632,862 RICHFOOD HOLDINGS, INC ............. 13,132
16,000 SAGAMI RUBBER INDUSTRIES CO LTD .... 76
6,273(degree)SCHOOL SPECIALTY, INC ............ 134
650,750(degree)SCIOS, INC ....................... 6,752
255,000 SKW TROSTBERG AG. .................. 6,507
54,500 SMART & FINAL, INC ................. 525
151,636 STANDARD COMMERCIAL CORP ........... 1,298
2,196,219 SUPERVALU, INC ..................... 61,494
3,200,361 SWEDISH MATCH CO ................... 11,647
13,700(degree)SYNCOR INTERNATIONAL CORP ........ 373
2,211,000 SYSCO CORP ......................... 60,664
8,600 TERRA INDUSTRIES, INC .............. 53
157,200(degree)U.S.A. FLORAL PRODUCTS, INC ...... 1,808
1,183,200 UNISOURCE WORLDWIDE, INC ........... 8,578
8,900(degree)UNITED NATURAL FOODS, INC ........ 215
368,096(degree)UNITED STATIONERS, INC ........... 9,570
264,796(degree)UNIVERSAL CORP ................... 9,301
57,200 URALITA S.A. ....................... 638
33,446 VALHI, INC ......................... 380
130,108 WEIDER NUTRITION INTERNATIONAL, INC 829
439,500 WESTON (GEORGE) LTD ................ 16,739
1,226 WORLD FUEL SERVICES CORP ........... 13
----------
748,593
----------
TOTAL COMMON STOCK
(Cost $62,983,291) ................ 114,591,464
-----------
PRINCIPAL
---------
SHORT TERM INVESTMENTS--2.66%
BANK NOTES--0.05%
ABBEY NATIONAL TREASURY SERVICE
$ 3,943,000 5.375%, 01/19/99 ................. 3,943
BANK OF NEW YORK
15,000,000 5.530%, 02/25/99 ................. 15,006
20,000,000 5.750%, 05/14/99 ................. 20,038
WACHOVIA BANK, NATIONAL ASSOCIATION
25,000,000 * 5.070%, 01/22/99 ................. 25,000
----------
63,987
----------
CERTIFICATES OF DEPOSIT--0.25%
BANK OF MONTREAL
40,000,000 * 5.330%, 01/06/99 ................. 40,002
BANK OF NOVA SCOTIA
$10,000,000 5.690%, 03/05/99 ................. 10,007
14,000,000 5.650%, 03/23/99 ................. 14,012
BARCLAYS BANK PLC
25,000,000 5.530%, 02/23/99 ................. 25,009
CREDIT AGRICOLE
25,000,000 * 5.750%, 05/19/99 ................. 25,049
CREDIT SUISSE
25,000,000 5.700%, 03/26/99 ................. 25,025
25,000,000 5.740%, 04/20/99 ................. 25,036
DEUTSCHE BANK
25,000,000 5.700%, 04/16/99 ................. 25,032
RABOBANK
15,000,000 5.630%, 03/24/99 ................. 15,012
ROYAL BANK OF CANADA
50,000,000 * 5.720%, 04/19/99 ................. 50,069
TORONTO DOMINION BANK
20,000,000 * 5.650%, 07/09/99 ................. 20,048
WESTDEUTSCHE LANDESBANK
15,000,000 * 5.160%, 01/05/99 ................. 15,000
----------
289,301
----------
COMMERCIAL PAPER--1.65%
AMERICAN HOME PRODUCTS
12,500,000 ~ 5.150%, 03/02/99 ................. 12,396
15,000,000 *~ 5.150%, 03/19/99 ................. 14,841
ANHEUSER-BUSCH CO
25,000,000 5.050%, 01/13/99 ................. 24,955
ARIZONA PUBLIC SERVICE CO
25,000,000 * 6.000%, 01/04/99 ................. 24,985
ASSET SECURITIZATION COOP CORP
20,000,000 ~ 5.500%, 01/21/99 ................. 19,943
25,000,000 *~ 5.400%, 01/22/99 ................. 24,925
10,450,000 ~ 5.500%, 01/22/99 ................. 10,419
25,000,000 *~ 5.450%, 01/26/99 ................. 24,911
20,000,000 ~ 5.180%, 02/11/99 ................. 19,885
ASSOCIATES CORP OF NORTH AMERICA
25,000,000 5.170%, 02/02/99 ................. 24,887
BELL ATLANTIC FINANCIAL SERVICES, INC
38,000,000 5.500%, 01/04/99 ................. 37,978
25,000,000 * 5.220%, 01/07/99 ................. 24,975
BELLSOUTH CAPITAL FUNDING CORP
7,000,000 ~ 5.100%, 01/21/99 ................. 6,980
BETA FINANCE, INC
15,450,000 ~ 5.480%, 01/25/99 ................. 15,397
27,000,000 ~ 4.870%, 03/22/99 ................. 26,702
CARGILL, INC
24,000,000 5.000%, 04/12/99 ................. 23,670
CASE CORP
25,000,000 ~ 6.200%, 01/05/99 ................. 24,982
CATERPILLAR FINANCIAL SERVICES CORP
20,200,000 5.500%, 01/20/99 ................. 20,145
CIESCO LP
50,000,000 * 5.070%, 01/12/99 ................. 49,917
25,000,000 5.100%, 02/04/99 ................. 24,880
25,000,000 * 5.150%, 02/16/99 ................. 24,840
COCA COLA CO
15,000,000 5.250%, 01/15/99 ................. 14,969
CONAGRA, INC
20,000,000 6.000%, 01/05/99 ................. 19,985
15,000,000 * 5.850%, 01/21/99 ................. 14,955
CORPORATE ASSET FUNDING CORP, INC
15,000,000 ~ 5.370%, 01/06/99 ................. 14,987
20,000,000 ~ 5.200%, 01/08/99 ................. 19,978
25,000,000 *~ 5.130%, 01/20/99 ................. 24,932
20,000,000 *~ 5.350%, 02/09/99 ................. 19,891
20,000,000 *~ 5.125%, 03/03/99 ................. 19,831
See notes to financial statements.
53
<PAGE>
VALUE
PRINCIPAL (000)
--------- --------
COMMERCIAL PAPER--(CONTINUED)
CVS CORP
$ 1,800,000 ~ 6.300%, 01/05/99 ................. $ 1,799
5,000,000 6.250%, 01/07/99 ................. 4,995
5,000,000 6.000%, 01/26/99 ................. 4,981
DELAWARE FUNDING CORP
14,085,000 ~ 5.570%, 01/11/99 ................. 14,063
15,000,000 ~ 5.150%, 01/15/99 ................. 14,969
20,000,000 ~ 5.180%, 01/25/99 ................. 19,932
DETROIT EDISON CO
20,000,000 6.220%, 01/07/99 ................. 19,980
DUPONT (E.I.) DE NEMOURS & CO
35,000,000 * 5.170%, 01/11/99 ................. 34,947
12,800,000 5.210%, 01/28/99 ................. 12,751
27,000,000 4.900%, 02/04/99 ................. 26,871
25,000,000 4.920%, 02/12/99 ................. 24,853
ENTERPRISE FUNDING CORP
20,000,000 ~ 5.380%, 01/29/99 ................. 19,921
FORD MOTOR CREDIT CO
50,000,000 5.030%, 01/20/99 ................. 49,863
230,000 5.250%, 02/19/99 ................. 228
FORTUNE BRANDS
20,500,000 ~ 5.300%, 01/15/99 ................. 20,458
30,000,000 *~ 5.120%, 01/27/99 ................. 29,889
14,500,000 ~ 5.120%, 01/28/99 ................. 14,445
GENERAL ELECTRIC CAPITAL CORP
25,000,000 5.320%, 01/13/99 ................. 24,955
25,000,000 5.030%, 01/20/99 ................. 24,932
GENERAL MOTORS ACCEPTANCE CORP
25,000,000 5.190%, 01/11/99 ................. 24,962
25,000,000 5.180%, 01/13/99 ................. 24,955
25,000,000 5.060%, 01/20/99 ................. 24,932
GTE CORP
20,000,000 ~ 5.220%, 01/29/99 ................. 19,921
GTE FUNDING, INC
25,000,000 5.500%, 01/22/99 ................. 24,925
HOUSEHOLD FINANCE CORP
20,000,000 5.120%, 05/28/99 ................. 19,990
INTERNATIONAL BUSINESS MACHINES
CREDIT CORP
22,000,000 5.300%, 01/05/99 ................. 21,984
INGERSOLL RAND CO
15,000,000 ~ 5.150%, 01/04/99 ................. 14,991
JOHNSON & JOHNSON CO
7,650,000 ~ 5.080%, 01/21/99 ................. 7,628
MCGRAW-HILL COS, INC
12,000,000 * 5.250%, 01/15/99 ................. 11,975
7,000,000 5.200%, 01/29/99 ................. 6,972
27,500,000 5.050%, 02/16/99 ................. 27,324
MOTOROLA, INC
49,000,000 5.125%, 01/19/99 ................. 48,873
15,000,000 5.150%, 01/28/99 ................. 14,943
NATIONAL FUEL GAS CO
10,000,000 5.300%, 01/28/99 ................. 9,960
NATIONAL RURAL UTILITIES COOP FINANCE
25,000,000 5.090%, 01/26/99 ................. 24,911
18,000,000 5.120%, 02/08/99 ................. 17,904
7,000,000 5.090%, 02/09/99 ................. 6,962
9,000,000 5.050%, 02/17/99 ................. 8,941
NORFOLK SOUTHERN CORP
9,955,000 ~ 6.000%, 02/01/99 ................. 9,909
NORTHERN INDIANA PUBLIC SERVICE CO
14,200,000 5.300%, 01/20/99 ................. 14,161
PACCAR FINANCIAL CORP
10,000,000 5.400%, 01/04/99 ................. 9,994
12,000,000 5.340%, 01/19/99 ................. 11,969
PACIFICORP
25,000,000 * 5.050%, 01/21/99 ................. 24,928
PARK AVENUE RECEIVABLES CORP
$25,000,000 *~ 5.600%, 01/04/99 ................. 24,986
15,173,000 ~ 5.580%, 01/11/99 ................. 15,150
25,000,000 *~ 5.320%, 01/21/99 ................. 24,928
25,000,000 ~ 5.800%, 01/29/99 ................. 24,901
PFIZER, INC
30,000,000 ~ 5.200%, 01/04/99 ................. 29,983
PROCTOR & GAMBLE CO
35,000,000 5.250%, 01/27/99 ................. 34,871
RECEIVABLES CAPITAL CORP
13,248,000 ~ 5.420%, 01/29/99 ................. 13,195
25,000,000 ~ 5.400%, 02/03/99 ................. 24,884
SBC COMMUNICATIONS, INC
40,000,000 ~ 5.150%, 01/08/99 ................. 39,956
SC JOHNSON & SON, INC
20,000,000 ~ 5.380%, 01/05/99 ................. 19,986
20,000,000 ~ 5.520%, 01/19/99 ................. 19,948
9,000,000 ~ 5.400%, 02/26/99 ................. 8,930
SONAT, INC
20,000,000 5.830%, 01/22/99 ................. 19,937
TEXAS UTILITIES CO
12,000,000 ~ 6.250%, 01/12/99 ................. 11,979
20,000,000 ~ 5.150%, 03/04/99 ................. 19,822
THE STANLEY WORKS
9,000,000 ~ 5.170%, 01/12/99 ................. 8,985
7,000,000 ~ 5.150%, 01/19/99 ................. 6,982
11,000,000 ~ 5.060%, 01/21/99 ................. 10,968
VOLVO GROUP TREASURY NA, INC
50,000,000 ~ 5.700%, 01/04/99 ................. 49,971
WALT DISNEY CO
10,000,000 5.080%, 01/05/99 ................. 9,993
20,000,000 5.080%, 01/22/99 ................. 19,940
25,000,000 * 5.000%, 02/17/99 ................. 24,837
20,000,000 4.920%, 04/23/99 ................. 19,696
----------
1,915,815
----------
MEDIUM TERM BONDS--0.04%
ASSOCIATES CORP OF NORTH AMERICA
15,000,000 6.680%, 09/17/99 ................. 15,156
CIT GROUP HOLDINGS, INC
10,000,000 * 6.375%, 05/21/99 ................. 10,047
MERRILL LYNCH & CO, INC
7,550,000 6.200%, 07/19/99 ................. 7,592
SOUTHERN CALIFORNIA GAS CO
15,000,000 6.210%, 11/08/99 ................. 15,133
----------
47,928
----------
U.S. GOVERNMENT & AGENCIES--0.43%
FEDERAL HOME LOAN BANK
25,000,000 5.020%, 01/06/99 .................. 24,981
21,000,000 5.040%, 01/08/99 ................. 20,979
25,000,000 4.750%, 01/19/99 ................. 24,939
9,000,000 4.750%, 01/20/99 ................. 8,977
12,000,000 5.025%, 01/26/99 ................. 11,960
13,470,000 5.650%, 04/09/99 ................. 13,506
FEDERAL HOME LOAN MORTGAGE CORP
25,000,000 5.010%, 01/04/99 ................. 24,988
14,641,000 5.040%, 01/04/99 ................. 14,634
5,000,000 4.850%, 01/06/99 ................. 4,996
5,000,000 5.070%, 01/06/99 ................. 4,996
7,500,000 5.050%, 01/08/99 ................. 7,492
50,000,000 4.740%, 01/14/99 ................. 49,911
19,510,000 5.170%, 01/14/99 ................. 19,475
13,500,000 5.000%, 01/15/99 ................. 13,474
25,000,000 4.990%, 02/04/99 ................. 24,885
12,000,000 5.080%, 02/05/99 ................. 11,943
9,500,000 4.965%, 03/09/99 ................. 9,417
See notes to financial statements.
54
<PAGE>
VALUE
PRINCIPAL (000)
--------- --------
U.S. GOVERNMENT & AGENCIES--(CONTINUED)
FEDERAL NATIONAL MORTGAGE ASSOCIATION
$41,000,000 5.050%, 01/07/99 ................. $40,964
25,000,000 5.054%, 01/08/99 ................. 24,974
19,875,000 4.750%, 01/15/99 ................. 19,836
25,000,000 5.350%, 01/20/99 ................. 25,003
30,500,000 4.760%, 01/25/99 ................. 30,402
4,500,000 4.990%, 01/25/99 ................. 4,485
50,000,000 4.840%, 01/27/99 ................. 49,826
10,000,000 4.980%, 02/01/99 ................. 9,958
6,200,000 5.010%, 02/05/99 ................. 6,171
----------
503,172
----------
VARIABLE RATE NOTES--0.24%
AMERICAN EXPRESS CENTURION BANK
20,000,000 5.010%, 06/04/99 ................. 19,992
BANK OF MONTREAL
10,000,000 4.850%, 07/22/99 ................. 9,988
BETA FINANCE, INC
15,000,000 ~ 5.050%, 05/19/99 ................. 14,970
CHRYSLER FINANCIAL CORP
15,000,000 5.536%, 02/10/99 ................. 14,997
5,000,000 5.531%, 03/12/99 ................. 4,999
25,000,000 5.551%, 05/19/99 ................. 24,995
FIRST UNION NATIONAL BANK, NC
25,000,000 4.700%, 04/30/99 ................. 24,983
GOLDMAN SACHS GROUP LP
13,000,000 5.300%, 02/24/99 ................. 12,994
MERRILL LYNCH & CO, INC
25,000,000 4.930%, 01/14/99 ................. 25,000
MORGAN STANLEY DEAN WITTER
25,000,000 5.000%, 01/15/99 ................. 24,998
NATIONSBANK NA
35,000,000 * 4.830%, 04/27/99 ................. 34,958
PNC BANK NA
20,000,000 5.499%, 07/27/99 ................. 19,974
15,000,000 5.543%, 10/13/99 ................. 14,991
SEARS ROEBUCK ACCEPTANCE CORP
25,000,000 5.506%, 03/26/99 ................. 24,990
----------
272,829
----------
TOTAL SHORT TERM INVESTMENTS
(Cost $3,092,697) .............. 3,093,032
----------
TOTAL PORTFOLIO
(Cost $66,213,200) .............. $117,889,780
============
- ------------------------
(degree) 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 this security has 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 December
31, 1998, the value of these securities amounted to $146,751,856 or 0.13% of
net assets.
Additional information on each restricted security is as follows:
ACQUISITION ACQUISITION
SECURITY DATE COST
-------- ----------- -----------
AMERICAN SATELLITE
NETWORK WTS 06/30/99 01/12/94 $ 0
ANTENA 3 DE TELEVISION GDS 12/12/96 5,982,300
BB BIOVENTURES LP 05/08/97 6,199,690
BELO (A.H.) CORP SERIES B 05/23/88 1,900,588
CARTER WALLACE, INC (CLASS B) 10/29/87 1,075,932
CORAM HEALTHCARE CORP WTS 07/11/99 07/24/97 0
CRESTARAN INTERNATIONAL
INVESTMENT BV 09/30/94 0
DOW JONES & CO, INC (CLASS B) 07/31/86 12,068,995
EAST-WEST BANKING CORP 06/23/98 200,000
HEIZER CORP (LIQUIDATING TRUST) 11/19/91 0
INTERNATIONAL HYDRON
(LIQUIDATING TRUST) 12/07/92 0
KUMAGI GUMI WTS 12/31/99 06/29/98 0
LAFARGE S.A. (REGD) 04/03/97 1,843,677
LEE ENTERPRISES, INC (CLASS B) 03/31/86 60,768
L'AIR LIQUIDE (REGD) 1996 10/29/96 3,697,028
L'AIR LIQUIDE (REGD) 1999 09/30/94 680,649
MEREDITH CORP (CLASS B) 12/30/86 1,893,160
NETGENICS, INC STOCK OPTIONS 03/20/08 06/08/98 0
NETGENICS, INC CV SERIES D 03/20/98 5,000,000
PEGASUS GOLD, INC 11/30/90 148,513
PHYSICIAN COMPUTER NETWORK, INC 01/22/96 1,211,798
SILVERSTONE BERHAD 01/08/98 1,173
STARRETT (L.S.) CO (CLASS B) 10/07/88 798,235
TAN CHONG INTERNATIONAL LTD 05/22/98 263,414
TIMES MIRROR CO SERIES C 02/01/95 17,642,901
TRANSCRYPT INTERNATIONAL, INC 02/18/98 420,844
UNITED ENGINEERING BERHAD 08/02/88 2,159,305
VIGLEN TECHNOLOGY (LITIGATION NOTE) 04/30/98 0
WHARF HOLDINGS LTD WTS 12/31/99 06/19/98 0
WRIGLEY (WM) JR CO (CLASS B) 04/30/86 2,007,603
ZEBRA TECHNOLOGY CORP (CLASS B) 10/29/98 43,233
-----------
$65,299,806
===========
See notes to financial statements.
55
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
TRANSACTIONS WITH AFFILIATED COMPANIES--STOCK ACCOUNT
JANUARY 1, 1998--DECEMBER 31, 1998
<TABLE>
<CAPTION>
VALUE AT REALIZED DIVIDEND
ISSUE DECEMBER 31, 1997 PURCHASE COST SALES PROCEEDS GAIN (LOSS) INCOME
----- ----------------- ------------- -------------- ----------- ----------
<S> <C> <C> <C> <C> <C>
~ BAY VIEW CAPITAL CORP 29,935,322 -- -- -- --
CASTELLUM AB ** 40,729,577 29,357,233 (7,615,521) --
FMC CORP 147,795,834 12,904,126 77,086,272 (702,360) --
GENERAL SIGNAL CORP 137,746,406 1,823,141 48,268,265 5,618,110 2,292,265
~ JEFFERSON SMURFIT CORP ** 54,907,680 -- -- --
MALLINCKRODT GROUP, INC 211,091,900 16,249,206 102,846,763 8,071,671 2,694,473
MARTEK BIOSCIENCES 4,761,900 9,781,746 -- -- --
PLENUM PUBLISHING CORP 8,859,187 (129,756) 14,061,915 9,403,012 60,880
SABRE GROUP HOLDINGS ** 22,086,842 28,172,129 5,323,130 --
~ SMEDVIG A/S SERIES A 52,684,750 784,427 97,568 (16,433) 642,995
SOUTH CHINA HOLDINGS LTD 7,517,312 -- 3,323,238 (8,623,171) --
SOUTH CHINA INDUSTRIES LTD 5,642,196 -- -- -- 46,993
TPI ENTERPRISES, INC 3,321 -- -- -- --
YANKEE ENERGY SYSTEM 16,153,943 -- 2,470,176 591,326 194,065
------------ ------------ ------------ ----------- ----------
$622,192,071 $159,136,989 $305,683,559 $12,049,764 $5,931,671
============ ============ ============ =========== ==========
</TABLE>
SHARES AT VALUE AT
ISSUE DECEMBER 31, 1998 DECEMBER 31, 1998
----- ----------------- -----------------
~ BAY VIEW CAPITAL CORP -- *
CASTELLUM AB -- *
FMC CORP -- *
GENERAL SIGNAL CORP -- *
~ JEFFERSON SMURFIT CORP -- *
MALLINCKRODT GROUP, INC -- *
MARTEK BIOSCIENCES 1,283,650 10,269,200
PLENUM PUBLISHING CORP -- *
SABRE GROUP HOLDINGS -- *
~ SMEDVIG A/S SERIES A -- *
SOUTH CHINA HOLDINGS LTD -- *
SOUTH CHINA INDUSTRIES LTD 52,046,000 2,082,565
TPI ENTERPRISES, INC 1,107,700 4,428
YANKEE ENERGY SYSTEM -- *
-----------
$12,356,193
===========
** Not an Affiliate as of December 31, 1997
* Not an Affiliate as of December 31, 1998
~ Shares Outstanding increased
See notes to financial statements.
56
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
Participant Voting Results
December 31, 1998
-----------------
CREF's annual meeting was held on November 11, 1998.
The annual meeting involved the election of trustees. The four trustees elected
to four-year terms at the annual meeting were:
Robert H. Atwell, 26,097,623,351.33 (98.0%) votes were cast in favor, and
540,185,163.69 (2.0%) votes were withheld.
Elizabeth E. Bailey, 26,024,304,647.96 (97.7%) votes were cast in favor, and
613,503,867.06 (2.3%) votes were withheld.
Stuart Tse Kong Ho, 26,155,619,551.44 (98.2%) votes were cast in favor, and
482,188,963.61 (1.8%) votes were withheld.
David K. Storrs, 26,181,620,037.08 (98.3%) votes were cast in favor, and
456,188,477.94 (1.7%) votes were withheld.
The other trustees currently in office are: John H. Biggs, Gary P. Brinson,
Joyce A. Fecske, Edes P. Gilbert, Nancy L. Jacob, Marjorie Fine Knowles, Martin
L. Leibowitz, Jay O. Light, Bevis Longstreth, Robert M. Lovell, Jr., Stephen A.
Ross, Eugene C. Sit, Maceo K. Sloan, and Robert W. Vishny.
One shareholder proposal was submitted to a vote of CREF participants in the
Social Choice Account recommending adoption of an additional screen for the
account.
On this proposal, 177,525,679.36 (35.0%) votes were cast in favor,
299,782,242.12 (59.1%) votes were cast in opposition and 30,086,129.60 (5.9%)
abstained. The proposal was defeated.
One shareholder proposal was submitted to a vote of CREF participants in
accounts with investments in tobacco manufacturers, asking CREF to divest its
investments in those companies.
For the Stock Account, 5,299,030,165.32 (24.6%) votes were cast in favor,
14,644,002,624.49 (68.1%) votes were cast in opposition and 1,569,735,443.59
(7.3%) abstained. The proposal was defeated.
For the Money Market Account, 318,702,925.02 (25.2%) votes were cast in favor,
860,496,439.06 (68.0%) were cast in opposition and 86,184,320.34 (6.8%)
abstained. The proposal was defeated.
For the Bond Account, 148,962,461.37 (25.3%) votes were cast in favor,
401,162,036.14 (68.1%) votes were cast in opposition and 38,613,697.13 (6.6%)
abstained. The proposal was defeated.
For the Global Equities Account, 298,560,776.23 (26.1%) votes were cast in
favor, 781,962,194.03 (68.3%) votes were cast in opposition and 64,101,614.30
(5.6%) abstained. The proposal was defeated.
For the Growth Account, 319,699,090.08 (26.9%) votes were cast in favor,
806,591,848.74 (67.8%) votes were cast in opposition and 63,007,149.20 (5.3%)
abstained. The proposal was defeated.
For the Equity Index Account, 160,645,618.08 (26.9%) votes were cast in favor,
401,540,506.12 (67.2%) votes were in opposition and 35,102,846.60 (5.9%)
abstained. The proposal was defeated.
For the Inflation-Linked Bond Account, 4,749,024.10 (21.2%) votes were cast in
favor, 15,789,200.94 (70.8%) votes were cast in opposition and 1,774,483.08
(8.0%) abstained. The proposal was defeated.
Shareholders also ratified the election of Ernst & Young LLP as the independent
auditors for CREF for the fiscal year ending December 31, 1998,
25,993,354,981.88 (97.6%) votes were cast in favor, 224,298,294.51 (0.8%) votes
were cast in opposition and 420,155,238.63 (1.6%) abstained.
57
<PAGE>
CREF LOGO COLLEGE RETIREMENT EQUITIES FUND
730 Third Avenue
New York, NY 10017-3206 LOGO Printed on recycled paper
212/490-9000
CAR--01S--2/99
<PAGE>
ANNUAL REPORT
- --------------------------------------------------------------------------------
COLLEGE RETIREMENT EQUITIES FUND
AUDITED FINANCIAL STATEMENTS
INCLUDING
STATEMENTS OF INVESTMENTS
for these Accounts:
Money Market
Bond Market
Social Choice
Global Equities
Growth
Equity Index
Inflation-Linked Bond
----------------------
December 31, 1998
CREF
As required by the Investment Company Act of 1940, CREF provides its
participants with this year-end annual report of the financial condition and
portfolio holdings of the Money Market, Bond Market, Social Choice, Global
Equities, Growth, Equity Index and Inflation-Linked Bond Accounts. CREF also
provides an annual report to participants in the Stock Account. Semi-annual
reports are also provided each year toward the end of August.
<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 AUDITED FINANCIAL STATEMENTS
DECEMBER 31, 1998
- --------------------------------------------------------------------------------
Page
----
Report of Management Responsibility ...................................... 2
Report of Independent Auditors ........................................... 3
Audited Financial Statements:
Statements of Assets and Liabilities .................................. 4
Statements of Operations .............................................. 6
Statements of Changes in Net Assets ................................... 8
Notes to Financial Statements ......................................... 10
Statements of Investments:
Money Market Account ................................................ 20
Bond Market Account ................................................. 24
Social Choice Account ............................................... 30
Global Equities Account ............................................. 38
Growth Account ...................................................... 55
Equity Index Account ................................................ 72
Inflation-Linked Bond Account ....................................... 99
Participant Voting Results ............................................... 100
1
<PAGE>
CREF
- --------------------------------------------------------------------------------
REPORT OF MANAGEMENT RESPONSIBILITY
To the Participants of
College Retirement Equities Fund:
The accompanying financial statements of the Money Market, Bond Market, Social
Choice, Global Equities, Growth, Equity Index and Inflation-Linked Bond Accounts
of College Retirement Equities Fund ("CREF") are the responsibility of
management. They have been prepared in accordance with generally accepted
accounting principlas and gave been presented fairly and objectively in
accordance with such principles.
CREF has established and maintains a strong system of internal controls designed
to provide reasonable assurance that assets are properly safeguarded and
transactions are properly executed in accordance with management's
authorization, and to carry out the ongoing responsibilities of managementt for
reliable financial statements. In addition, CREF's internal audit personnel
provide a continuing review of the internal controls and operations of the CREF
Accounts, and the internal Auditor regularly reports to the Audit Committee of
the CREF Board of Trustees.
The accompanying financial statements have been audited by the independent
auditing firm of Ernst & Young LLP. The independent auditors' report, which
appears on the following page, expresses and independent opinion on the fairness
of presentation of these financial statements.
The Audit Committee of the CREF Board of Trustees, consisting of trustees who
are not officers of CREF, meets regularly with management, representatives of
Ernst & Young LLP and internal audit personnel to review matters relating to
financial reporting, internal controls and auditing. In addition to the annual
audit of the financial statements of all the CREF Accounts by the independent
auditing firm, the New York State Insurance Department, other state insurance
departments and the Securities and Exchange Commission perform preiodic
examinations of the CREF Accounts' operations.
/s/ John H. Biggs
----------------------------
Chairman, President and
Chief Executive Officer
/s/ Richard L. Gibbs
----------------------------
Executive Vice President and
Principal Accounting Officer
2
<PAGE>
[LETTERHEAD OF ERNST & YOUNG LLP]
REPORT OF INDEPENDENT AUDITORS
To the Participants and Board of Trustees of
College Retirement Equities Fund:
We have audited the accompanying statements of assets and liabilities, including
the statements of investments, of the Money Market, Bond Market, Social Choice,
Global Equities, Growth, Equity Index and Inflation-Linked Bond Accounts of
College Retirement Equities Fund ("CREF") as of December 31, 1998, and the
related statements of operations for the year then ended and of changes in net
assets for each of the two years in the period then ended. These financial
statements are the responsibility of CREF's management. Our responsibility is to
express an opinion on these financial statements based on our audits. The
condensed financial information for the year ended December 31, 1996 and the
periods prior thereto were audited by other auditors, whose report dated
February 6, 1997 expressed an unqualified opinion on such condensed financial
information.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements. Our procedures included
confirmation of securities owned at December 31, 1998, by correspondence with
the custodians and brokers. An audit also includes assessing the accounting
principles used and significant estimates made by management, as well as
evaluating the overall financial statement presentation. We believe that our
audits provide a reasonable basis for our opinion.
In our opinion, the financial statements referred to above present fairly, in
all material respects, the financial position of the Money Market, Bond Market,
Social Choice, Global Equities, Growth, Equity Index and Inflation-Linked Bond
Accounts of CREF at December 31, 1998, and the results of their operations for
the year then ended and changes in their net assets for each of the two years in
the period then ended, in conformity with generally accepted accounting
principles.
/s/ Ernst & Young LLP
February 5, 1999
Ernst & Young LLP is a member of Ernst & Young International, Ltd.
3
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENTS OF ASSETS AND LIABILITIES
DECEMBER 31, 1998
(amounts in thousands, except per accumulation unit amounts)
<TABLE>
<CAPTION>
Money Market Bond Market Social Choice
Account Account Account
------------ ----------- -------------
<S> <C> <C> <C>
ASSETS
Portfolio investments, at cost..................................... $5,884,687 $3,973,307 $2,682,498
Net unrealized appreciation (depreciation ) of portfolio investments 163 18,886 1,009,662
---------- ---------- ----------
Portfolio investments, at value.................................... 5,884,850 3,992,193 3,692,160
Cash............................................................... 1,127 1,400 591
Dividends and interest receivable.................................. 28,912 30,713 16,101
Receivable from securities transactions............................ 110 401,643 220,434
Amounts due from TIAA.............................................. 1,066 1,372 2,758
---------- ---------- ----------
TOTAL ASSETS 5,916,065 4,427,321 3,932,044
---------- ---------- ----------
LIABILITIES
Deposits for securities loaned--Note 4.............................. -- 552,327 192,646
Payable for securities transactions................................ -- 819,091 396,391
---------- ---------- ----------
TOTAL LIABILITIES -- 1,371,418 589,037
---------- ---------- ----------
NET ASSETS
Accumulation Fund.................................................. 5,731,994 3,009,881 3,222,696
Annuity Fund....................................................... 184,071 46,022 120,311
---------- ---------- ----------
TOTAL NET ASSETS $5,916,065 $3,055,903 $3,343,007
========== ========== ==========
THOUSANDS OF ACCUMULATION UNITS OUTSTANDING--Notes 5 and 6............ 312,358 57,481 37,211
======== ====== ======
NET ASSET VALUE, PER ACCUMULATION UNIT--Note 5........................ $18.35 $52.36 $86.61
====== ====== ======
</TABLE>
4
<PAGE>
Global Equities Growth Equity Index Inflation-Linked
Account Account Account Bond Account
--------------- -------- ------------ ----------------
$4,838,167 $5,952,355 $2,482,463 $140,810
1,192,162 1,724,842 989,259 (1,074)
---------- ---------- ---------- --------
6,030,329 7,677,197 3,471,722 139,736
41,445 2,311 410 17
4,968 4,679 3,762 1,981
42,452 42,471 44 --
3,358 5,754 3,039 90
---------- ---------- ---------- --------
6,122,552 7,732,412 3,478,977 141,824
---------- ---------- ---------- --------
46,964 -- -- --
24,659 71,439 26,995 --
---------- ---------- ---------- --------
71,623 71,439 26,995 --
---------- ---------- ---------- --------
5,819,001 7,475,676 3,347,446 138,161
231,928 185,297 104,536 3,663
---------- ---------- ---------- --------
$6,050,929 $7,660,973 $3,451,982 $141,824
========== ========== ========== ========
81,825 98,862 47,997 5,112
====== ====== ====== =====
$71.12 $75.62 $69.74 $27.03
====== ====== ====== ======
See notes to financial statements.
5
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENTS OF OPERATIONS
(amounts in thousands)
<TABLE>
<CAPTION>
Money Market Bond Market Social Choice
Account Account Account
------------ ------------ -------------
Year Ended December 31, 1998
-----------------------------------------------
<S> <C> <C> <C>
INVESTMENT INCOME
Income:
Interest........................................................... $278,125 $137,370 $ 69,794
Dividends.......................................................... -- 953 23,530
-------- -------- --------
TOTAL INCOME 278,125 138,323 93,324
-------- -------- --------
Expenses--Note 3:
Investment......................................................... 3,080 1,727 2,087
Operating.......................................................... 11,962 5,213 6,588
-------- -------- --------
TOTAL EXPENSES 15,042 6,940 8,675
-------- -------- --------
Fees paid indirectly............................................... -- -- 1
-------- -------- --------
NET EXPENSES 15,042 6,940 8,674
-------- -------- --------
INVESTMENT INCOME--NET 263,083 131,383 84,650
-------- -------- --------
REALIZED AND UNREALIZED GAIN ON TOTAL INVESTMENTS--Note 4
Net realized gain (loss) on:
Portfolio investments............................................ (67) 45,281 57,952
Futures transactions............................................. -- -- --
Foreign currency transactions.................................... -- -- --
-------- -------- --------
Net realized gain (loss) (67) 45,281 57,952
-------- -------- --------
Net change in unrealized appreciation (depreciation) on:
Portfolio investments............................................ 1,203 (1,665) 340,114
Futures transactions............................................. -- -- --
Translation of assets (other than portfolio investments)
and liabilities denominated in foreign currencies.............. -- -- --
-------- -------- --------
Net change in unrealized appreciation (depreciation) 1,203 (1,665) 340,114
-------- -------- --------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON TOTAL INVESTMENTS 1,136 43,616 398,066
-------- -------- --------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $264,219 $174,999 $482,716
======== ======== ========
</TABLE>
6
<PAGE>
Global Equities Growth Equity Index Inflation-Linked
Account Account Account Bond Account
-------------- ------- ------------ ----------------
Year Ended December 31, 1998
--------------------------------------------------------
$ 10,012 $ 11,877 $ 2,035 $ 5,617
68,322 32,344 40,141 --
-------- ---------- -------- -------
78,334 44,221 42,176 5,617
-------- ---------- -------- -------
9,610 8,435 1,921 117
13,647 13,963 6,504 267
-------- ---------- -------- -------
23,257 22,398 8,425 384
-------- ---------- -------- -------
9 -- -- --
-------- ---------- -------- -------
23,248 22,398 8,425 384
-------- ---------- -------- -------
55,086 21,823 33,751 5,233
-------- ---------- -------- -------
402,149 801,309 26,959 (82)
11,050 22,361 1,470 --
4,078 (160) -- --
-------- ---------- -------- -------
417,277 823,510 28,429 (82)
-------- ---------- -------- -------
463,187 870,370 519,533 (1,275)
-- 6,253 733 --
66 4 -- --
-------- ---------- -------- -------
463,253 876,627 520,266 (1,275)
-------- ---------- -------- -------
880,530 1,700,137 548,695 (1,357)
-------- ---------- -------- -------
$935,616 $1,721,960 $582,446 $ 3,876
======== ========== ======== =======
See notes to financial statements.
7
<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
------------------------------- ------------------------------- -----------------------------
Years Ended December 31, Years Ended December 31, Years Ended December 31,
--------------------------- ------------------------------- ------------------------------
1998 1997 1998 1997 1998 1997
------ ------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C> <C>
FROM OPERATIONS
Investment income--net...... $ 263,083 $ 215,013 $ 131,383 $ 75,230 $ 84,650 $ 64,966
Net realized gain (loss) on
total investments........ (67) (17) 45,281 15,277 57,952 34,533
Net change in unrealized
appreciation
(depreciation) on total
investments.............. 1,203 232 (1,665) 19,390 340,114 319,331
----------- ----------- ----------- ----------- ----------- -----------
NET INCREASE
IN NET ASSETS
RESULTING FROM
OPERATIONS 264,219 215,228 174,999 109,897 482,716 418,830
----------- ----------- ----------- ----------- ----------- -----------
FROM PARTICIPANT
TRANSACTIONS
Premiums................... 433,743 347,966 217,168 143,544 354,892 280,886
----------- ----------- ----------- ----------- ----------- -----------
Disbursements and transfers:
Net transfers to (from)
TIAA................... 76,723 139,824 (27,940) (5,786) (222) (7,155)
Net transfers to (from)
other CREF Accounts.... (1,466,151) (344,269) (1,165,693) (320,553) (245,594) (75,436)
Annuity payments......... 29,286 20,937 7,318 3,572 10,469 6,924
Withdrawals and
repurchases............ 337,703 267,929 61,279 33,351 46,245 32,003
Death benefits........... 5,792 7,030 1,665 2,725 1,691 1,132
----------- ----------- ----------- ----------- ----------- -----------
TOTAL DISBURSEMENTS
AND TRANSFERS, NET (1,016,647) 91,451 (1,123,371) (286,691) (187,411) (42,532)
----------- ----------- ----------- ----------- ----------- -----------
NET INCREASE (DECREASE)
IN NET ASSETS
RESULTING FROM
PARTICIPANT
TRANSACTIONS 1,450,390 256,515 1,340,539 430,235 542,303 323,418
----------- ----------- ----------- ----------- ----------- -----------
NET INCREASE
IN NET ASSETS 1,714,609 471,743 1,515,538 540,132 1,025,019 742,248
NET ASSETS
Beginning of period........ 4,201,456 3,729,713 1,540,365 1,000,233 2,317,988 1,575,740
------------ ----------- ----------- ----------- ----------- -----------
End of period.............. $ 5,916,065 $ 4,201,456 $ 3,055,903 $ 1,540,365 $ 3,343,007 $ 2,317,988
============ =========== =========== =========== =========== ===========
</TABLE>
8
<PAGE>
<TABLE>
<CAPTION>
Global Equities Account Growth Account Equity Index Account
------------------------ ------------------------ ------------------------
Years Ended December 31, Years Ended December 31, Years Ended December 31,
------------------------ ------------------------ ------------------------
1998 1997 1998 1997 1998 1997
------ ------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C> <C>
$ 55,086 $ 58,597 $ 21,823 $ 30,174 $ 33,751 $ 20,987
417,277 560,335 823,510 374,778 28,429 27,214
463,253 187,267 876,627 437,711 520,266 318,147
----------- ----------- ----------- ----------- ----------- -----------
935,616 806,199 1,721,960 842,663 582,446 366,348
----------- ----------- ----------- ----------- ----------- -----------
559,900 514,077 874,916 594,289 447,088 245,464
----------- ----------- ----------- ----------- ----------- -----------
54,623 (9,063) (53,572) (110,601) (36,240) (62,402)
524,020 144,157 (445,194) (802,560) (404,520) (478,493)
23,089 15,870 17,186 9,909 9,740 4,618
103,745 88,942 105,337 67,977 49,838 26,448
5,780 6,877 3,109 2,159 1,440 860
----------- ----------- ----------- ----------- ----------- -----------
711,257 246,783 (373,134) (833,116) (379,742) (508,969)
----------- ----------- ----------- ----------- ----------- -----------
(151,357) 267,294 1,248,050 1,427,405 826,830 754,433
----------- ----------- ---------- ----------- ----------- -----------
784,259 1,073,493 2,970,010 2,270,068 1,409,276 1,120,781
5,266,670 4,193,177 4,690,963 2,420,895 2,042,706 921,925
----------- ----------- ----------- ----------- ----------- -----------
$ 6,050,929 $ 5,266,670 $ 7,660,973 $ 4,690,963 $ 3,451,982 $ 2,042,706
=========== =========== =========== =========== =========== ===========
</TABLE>
Inflation-Linked Bond Account
-------------------------------------------
January 13, 1997
Year Ended (date established) to
December 31, 1998 December 31, 1997
----------------- ---------------------
$ 5,233 $ 2,575
(82) 173
(1,275) 201
--------- ---------
3,876 2,949
--------- ---------
10,543 53,466
--------- ---------
(549) (450)
(33,075) (39,051)
313 100
1,476 236
10 --
--------- ---------
(31,825) (39,165)
--------- ---------
42,368 92,631
--------- ---------
46,244 95,580
95,580 --
--------- ---------
$ 141,824 $ 95,580
========= =========
See notes to financial statements.
9
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
NOTES TO FINANCIAL STATEMENTS
NOTE 1--ORGANIZATION
College Retirement Equities Fund ("CREF") was formed to aid and strengthen
nonprofit educational and research organizations by providing their employees
with variable retirement benefits.
CREF is registered with the Securities and Exchange Commission ("Commission")
under the Investment Company Act of 1940 as an open-end, diversified management
investment company. It consists of eight investment portfolios ("Accounts"). The
accompanying financial statements are those of the Money Market Account, which
invests in money market instruments; the Bond Market Account, which invests in a
broad range of fixed-income securities; the Social Choice Account, which invests
in a diversified portfolio of equity and fixed-income securities while giving
special consideration to certain social criteria; the Global Equities Account,
which invests in equity securities of foreign and domestic companies; the Growth
Account, which invests in a diversified portfolio of equity securities that
present opportunities for growth; the Equity Index Account, which invests in a
diversified portfolio of equity securities selected to track the overall United
States stock market; and the Inflation-Linked Bond Account, which invests
primarily in inflation-indexed bonds. The eighth investment portfolio of CREF,
the Stock Account, which invests primarily in equity securities, is not included
in these financial statements.
The Inflation-Linked Bond Account was established on January 13, 1997 with a
$50,000,000 investment by Teachers Insurance and Annuity Association of America
("TIAA"), a companion organization, which purchased 2,000,000 Accumulation Units
at the established $25.00 initial Accumulation Unit Value. On May 1, 1997, the
Inflation-Linked Bond Account was registered with the Commission under the
Securities Act of 1933 and the Investment Company Act of 1940 as an additional
series of CREF. On May 1, 1997, CREF began to offer Accumulation Units of the
Inflation-Linked Bond Account to participants other than TIAA. TIAA's
Accumulation Units shared in the pro rata investment experience and were subject
to the same valuation procedures and expense deductions as all other
Accumulation Units in the Account. At December 31, 1998, TIAA's investment in
the Inflation-Linked Bond Account remained at 2,000,000 Accumulation Units, with
a total value of $54,055,600.
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.
10
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
NOTES TO FINANCIAL STATEMENTS--(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 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.
11
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
NOTES TO FINANCIAL STATEMENTS--(CONTINUED)
NOTE 2--SIGNIFICAANT ACCOUNTING POLICIES--(Continued)
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 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 CREF's Accounts are provided, at cost,
by Investment Management and Services. Such services are provided in accordance
with an Investment Management Services Agreement between CREF and Investment
Management, and in accordance with a Principal Underwriting and Administrative
Services Agreement between CREF and Services (see Note 1). Investment Management
and Services receive management fee payments from the CREF Accounts on a daily
basis according to formulas established each year with the objective of keeping
the management fees as close as possible to each Account's actual expenses. Any
differences between actual expenses and the management fees are adjusted
quarterly.
Investment Management and Services generally pay directly for all third-party
services provided for the benefit of the CREF Accounts. "Soft-dollar"
arrangements for brokerage and other services are generally not utilized by the
CREF Accounts. However, certain custodial fees are reduced based on the level of
average cash balances on deposit with custodian banks during the period. The
amount by which custodial fees were reduced under these expense offset
agreements is reflected in the accompanying Statements of Operations as "Fees
paid indirectly".
12
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
NOTES TO FINANCIAL STATEMENTS--(CONTINUED)
NOTE 4--INVESTMENTS
At December 31, 1998, the market value of securities loaned, and
collateral received in connection therewith, was comprised as follow:
<TABLE>
<CAPTION>
Collateral
------------------------------------------------
Market Value Letters United States
of Securities Loaned Cash of Credit Government Securities
------------------ ----------- --------- -------------------
<S> <C> <C> <C> <C>
Bond Market Account.................... $539,698,300 $552,327,447 $ 4,283,215 $87,433
Social Choice Account.................. 188,101,476 192,645,701 1,537,513 --
Global Equities Account................ 61,260,564 46,964,235 17,687,122 --
</TABLE>
At December 31, 1998, net unrealized appreciation (depreciation) of portfolio
investments, consisting of gross unrealized appreciation and gross unrealized
depreciation, were as follows:
<TABLE>
<CAPTION>
Gross Gross Net Unrealized
Unrealized Unrealized Appreciation
Appreciation of Depreciation of (Depreciation) of
Portfolio Portfolio Portfolio
Investments Investments Investments
------------- ------------- --------------
<S> <C> <C> <C>
Money Market Account..........................................$ 1,335,764 $ 1,172,940 $ 162,824
Bond Market Account........................................... 29,831,808 10, 945,629 18,886,179
Social Choice Account......................................... 1,035,827,948 26,166,349 1,009,661,599
Global Equities Account....................................... 1,375,580,326 183,418,409 1,192,161,917
Growth Account................................................ 1,927,186,802 202,344,764 1,724,842,038
Equity Index Account.......................................... 1,115,888,816 126,629,838 989,258,978
Inflation-Linked Bond Account................................. 106,670 1,180,537 (1,073,867)
</TABLE>
At December 31, 1998 the Growth and Equity Index Accounts held 418 and 40 open
futures contracts, respectively, in the Standard & Poor's 500 Index, expiring in
March 1999, with a value of $130,154,750 and $12,455,000, respectively and an
unrealized gain of $5,699,757 and $674,716, respectively.
13
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
NOTES TO FINANCIAL STATEMENTS--(CONTINUED)
NOTE 4--INVESTMENTS--(Continued)
Companies in which any of the Accounts held 5% or more of the outstanding voting
shares are defined as "affiliated" in the Investment Company Act of 1940. At
December 31, 1998, the total value of the Global Equities Account's investments
in affiliated companies was $97,814,831. For the year ended December 31, 1998,
total dividend income and net realized gain relating to such investments of the
Global Equities Account were $3,158,677 and $9,299,939, respectively. At
December 31, 1998 the total value of the Growth Account's investments in
affiliated companies was $222,832,049. For the year ended December 31, 1998,
total dividend income and net realized gain relating to such investments of the
Growth Account were $120,009 and $19,129,926, respectively. For the other 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 year ended December 31,
1998, were as follows:
<TABLE>
<CAPTION>
Bond Market Social Choice Global Equities
Account Account Account
--------------- -------------- ---------------
Purchases:
<S> <C> <C> <C>
Unaffiliated issuers.................................. $12,592,962,149 $4,634,604,142 $5,681,784,148
Affiliated issuers.................................... -- -- 8,902,969
--------------- -------------- --------------
TOTAL PURCHASES $12,592,962,149 $4,634,604,142 $5,690,687,117
=============== ============== ==============
Sales:
Unaffiliated issuers.................................. $11,133,989,472 $4,013,087,884 $5,763,801,516
Affiliated issuers.................................... -- -- 18,005,438
--------------- -------------- --------------
TOTAL SALES $11,133,989,472 $4,013,087,884 $5,781,806,954
=============== ============== ==============
</TABLE>
<TABLE>
<CAPTION>
Growth Equity Index Inflation-Linked
Account Account Bond Account
----------- ----------- -------------
Purchases:
<S> <C> <C> <C>
Unaffiliated issuers.................................. $6,509,613,728 $955,222,149 $89,910,138
Affiliated issuers.................................... 256,978,587 -- --
-------------- ------------ -----------
TOTAL PURCHASES $6,766,592,315 $955,222,149 $89,910,138
============== ============ ===========
Sales:
Unaffiliated issuers.................................. $5,340,031,280 $106,686,488 $45,439,443
Affiliated issuers.................................... 171,577,342 -- --
-------------- ------------ -----------
TOTAL SALES $5,511,608,622 $106,686,488 $45,439,443
============== ============ ===========
</TABLE>
14
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
NOTES TO FINANCIAL STATEMENTS--(CONTINUED)
NOTE 5--CONDENSED FINANCIAL INFORMATION
Selected condensed financial information for an Accumulation Unit of each
Account is presented below.
<TABLE>
<CAPTION>
Money Market Account
--------------------------------------------------------------------
For the Years Ended December 31,
--------------------------------------------------------------------
1998 1997 1996 1995 1994
------- ------- ------- ------- -------
Per Accumulation Unit Data:
<S> <C> <C> <C> <C> <C>
Investment income..................... $ .998 $ .953 $ .880 $ .910 $ .631
Expenses.............................. .054 .046 .049 .048 .041
-------- -------- -------- -------- --------
Investment income--net................. .944 .907 .831 .862 .590
Net realized and unrealized gain (loss)
on total investments................ .005 .001 (.003) .009 (.012)
-------- -------- -------- -------- --------
Net increase in
Accumulation Unit Value............. .949 .908 .828 .871 .578
Accumulation Unit Value:
Beginning of year................... 17.402 16.494 15.666 14.795 14.217
-------- -------- -------- -------- --------
End of year.......................... $ 18.351 $ 17.402 $ 16.494 $ 15.666 $ 14.795
======== ======== ======== ======== ========
Total return............................. 5.45% 5.51% 5.28% 5.88% 4.07%
Ratios to Average Net Assets:
Expenses.............................. 0.30% 0.27% 0.30% 0.32% 0.28%
Investment income--net.................. 5.27% 5.35% 5.16% 5.64% 4.03%
Portfolio turnover rate.................. n/a n/a n/a n/a n/a
Thousands of Accumulation Units
outstanding at end of year............ 312,358 233,116 218,292 193,181 183,135
</TABLE>
<TABLE>
<CAPTION>
Bond Market Account
----------------------------------------------------------------------
For the Years Ended December 31,
----------------------------------------------------------------------
1998 1997 1996 1995 1994
------- ------- ------- ------- -------
Per Accumulation Unit Data:
<S> <C> <C> <C> <C> <C>
Investment income...................... $ 3.156 $ 3.081 $ 3.039 $ 2.863 $ 2.502
Expenses............................... .158 .134 .126 .123 .108
------- ------- ------- ------- -------
Investment income--net.................. 2.998 2.947 2.913 2.740 2.394
Net realized and unrealized gain (loss)
on total investments................ 1.150 1.266 (1.600) 3.722 (3.897)
------- ------- ------- ------- -------
Net increase (decrease) in
Accumulation Unit Value............. 4.148 4.213 1.313 6.462 (1.503)
Accumulation Unit Value:
Beginning of year................... 48.215 44.002 42.689 36.227 37.730
------- ------- ------- ------- -------
End of year.......................... $52.363 $ 48.215 $ 44.002 $42.689 $36.227
======= ======= ======= ======= =======
Total return............................. 8.60% 9.57% 3.08% 17.84% (3.98%)
Ratios to Average Net Assets:
Expenses.............................. 0.32% 0.29% 0.30% 0.31% 0.29%
Investment income--net.................. 5.98% 6.44% 6.86% 6.93% 6.54%
Portfolio turnover rate.................. 525.32% 398.77% 145.27% 185.11% 161.46%
Thousands of Accumulation Units
outstanding at end of year............ 57,481 31,654 22,611 19,522 14,939
</TABLE>
15
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
NOTES TO FINANCIAL STATEMENTS--(CONTINUED)
NOTE 5--CONDENSED FINANCIAL INFORMATION--(Continued)
<TABLE>
<CAPTION>
Social Choice Account
----------------------------------------------------------------------
For the Years Ended December 31,
----------------------------------------------------------------------
1998 1997 1996 1995 1994
------- ------- ------- ------- -------
Per Accumulation Unit Data:
<S> <C> <C> <C> <C> <C>
Investment income..................... $ 2.679 $ 2.396 $ 2.068 $ 1.832 $ 1.621
Expenses.............................. .249 .193 .158 .144 .125
-------- ------- ------- ------- -------
Investment income--net................. 2.430 2.203 1.910 1.688 1.496
Net realized and unrealized gain (loss)
on total investments................ 11.159 12.223 5.968 9.863 (2.015)
-------- ------- ------- ------- -------
Net increase (decrease) in
Accumulation Unit Value............. 13.589 14.426 7.878 11.551 (.519)
Accumulation Unit Value:
Beginning of year................... 73.016 58.590 50.712 39.161 39.680
-------- ------- ------- ------- -------
End of year.......................... $ 86.605 $73.016 $58.590 $50.712 $39.161
======== ======= ======= ======= =======
Total return............................. 18.61% 24.62% 15.53% 29.49% (1.31%)
Ratios to Average Net Assets:
Expenses.............................. 0.31% 0.30% 0.30% 0.32% 0.32%
Investment income--net.................. 3.07% 3.37% 3.58% 3.75% 3.80%
Portfolio turnover rate.................. 147.90% 91.87% 40.93% 52.65% 49.06%
Thousands of Accumulation Units
outstanding at end of year............ 37,211 30,554 25,841 22,196 18,302
</TABLE>
<TABLE>
<CAPTION>
Global Equities Account
----------------------------------------------------------------------
For the Years Ended December 31,
----------------------------------------------------------------------
1998 1997 1996 1995 1994
------- ------- ------- ------- -------
Per Accumulation Unit Data:
<S> <C> <C> <C> <C> <C>
Investment income..................... $ .902 $ .848 $ .751 $ .727 $ .687
Expenses.............................. .268 .205 .167 .157 .134
-------- ------- ------- ------- -------
Investment income--net................. .634 .643 .584 .570 .553
Net realized and unrealized gain (loss)
on total investments................ 10.508 8.650 7.138 6.618 (.719)
-------- ------- ------- ------- -------
Net increase (decrease) in
Accumulation Unit Value............. 11.142 9.293 7.722 7.188 (.166)
Accumulation Unit Value:
Beginning of year................... 59.973 50.680 42.958 35.770 35.936
-------- ------- ------- ------- -------
End of year......................... $ 71.115 $59.973 $50.680 $42.958 $35.770
======== ======= ======= ======= =======
Total return............................. 18.58% 18.34% 17.98% 20.09% (0.46%)
Ratios to Average Net Assets:
Expenses.............................. 0.41% 0.38% 0.37% 0.40% 0.41%
Investment income--net.................. 0.97% 1.19% 1.28% 1.47% 1.71%
Portfolio turnover rate.................. 103.31% 98.70% 88.84% 67.50% 51.63%
Thousands of Accumulation Units
outstanding at end of year............ 81,825 84,645 80,016 70,163 70,700
</TABLE>
16
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
NOTES TO FINANCIAL STATEMENTS--(CONTINUED)
NOTE 5--CONDENSED FINANCIAL INFORMATION--(Continued)
<TABLE>
<CAPTION>
Growth Account
--------------------------------------------------------------
April 4, 1994
For the Years Ended December 31, (date established)
------------------------------------------- to December 31,
1998 1997 1996 1995 1994(1)
--------- --------- --------- --------- ---------
Per Accumulation Unit Data:
<S> <C> <C> <C> <C> <C>
Investment income............................ $ .482 $ .527 $ .484 $ .417 $ .398
Expenses.................................... .244 .155 .119 .114 .084
------- ------- ------- ------- -------
Investment income--net....................... .238 .372 .365 .303 .314
Net realized and unrealized gain
on total investments...................... 18.475 12.219 8.638 8.891 .802
------- ------- ------- ------- -------
Net increase in
Accumulation Unit Value................... 18.713 12.591 9.003 9.194 1.116
Accumulation Unit Value:
Beginning of period....................... 56.904 44.313 35.310 26.116 25.000
------- ------- ------- ------- -------
End of period.............................. $75.617 $56.904 $44.313 $35.310 $26.116
======= ======= ======= ======= =======
Total return................................... 32.89% 28.41% 25.50% 35.20% 4.46%
Ratios to Average Net Assets:
Expenses.................................... 0.38% 0.34% 0.35% 0.43% 0.33%
Investment income--net....................... 0.37% 0.82% 1.07% 1.13% 1.21%
Portfolio turnover rate........................ 97.57% 53.27% 38.51% 24.42% 12.29%
Thousands of Accumulation Units
outstanding at end of period................ 98,862 80,370 53,201 32,375 10,446
</TABLE>
<TABLE>
<CAPTION>
Equity Index Account
--------------------------------------------------------------
April 4, 1994
For the Years Ended December 31, (date established)
------------------------------------------- to December 31,
1998 1997 1996 1995 1994(1)
--------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C>
Per Accumulation Unit Data:
Investment income............................ $ .953 $ .826 $ .773 $ .755 $ .552
Expenses..................................... .190 .141 .106 .100 .072
------- ------- ------- ------- -------
Investment income--net........................ .763 .685 .667 .655 .480
Net realized and unrealized gain
on total investments...................... 12.789 12.672 6.936 8.703 .393
------- ------- ------- ------- -------
Net increase in
Accumulation Unit Value................... 13.552 13.357 7.603 9.358 .873
Accumulation Unit Value:
Beginning of period....................... 56.191 42.834 35.231 25.873 25.000
------- ------- ------- ------- -------
End of period.............................. $69.743 $56.191 $42.834 $35.231 $25.873
======= ======= ======= ======= =======
Total return................................... 24.12% 31.18% 21.58% 36.17% 3.49%
Ratios to Average Net Assets:
Expenses.................................... 0.31% 0.30% 0.30% 0.34% 0.27%
Investment income--net....................... 1.24% 1.47% 1.87% 2.22% 1.83%
Portfolio turnover rate........................ 3.98% 3.50% 7.85% 8.31% 1.33%
Thousands of Accumulation Units
outstanding at end of period................ 47,997 35,368 20,725 10,911 2,716
(1) The percentages shown for this period are not annualized.
</TABLE>
17
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
NOTES TO FINANCIAL STATEMENTS--(Continued)
NOTE 5--CONDENSED FINANCIAL INFORMATION--(Concluded)
<TABLE>
<CAPTION>
Inflation-Linked Bond Account
---------------------------------------
January 13, 1997
For the Year Ended (date established) to
December 31, 1998 December 31, 1997(1)
------------------ ----------------------
<S> <C> <C>
Per Accumulation Unit Data:
Investment income............................................. $ 1.256 $ 1.031
Expenses...................................................... .086 .067
------- -------
Investment income--net......................................... 1.170 .964
Net realized and unrealized gain (loss) on total investments.. (.260) .154
------- -------
Net increase in Accumulation Unit Value....................... .910 1.118
Accumulation Unit Value:
Beginning of period........................................ 26.118 25.000
------- -------
End of period............................................... $27.028 $26.118
======= =======
Total return.................................................... 3.48% 4.47%
Ratios to Average Net Assets:
Expenses..................................................... 0.33% 0.25%
Investment income--net......................................... 4.50% 3.60%
Portfolio turnover rate......................................... 40.98% 63.56%
Thousands of Accumulation Units outstanding at end of period.... 5,112 3,626
(1) The percentages shown for this period are not annualized.
</TABLE>
18
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
NOTES TO FINANCIAL STATEMENTS--(CONTINUED)
NOTE 6--ACCUMULATION UNITS
Changes in the number of Accumulation Units outstanding were as follows:
<TABLE>
<CAPTION>
Money Market Account Bond Market Account Social Choice Account
--------------------------- --------------------------- ---------------------------
Years Ended December 31, Years Ended December 31, Years Ended December 31,
--------------------------- --------------------------- ---------------------------
1998 1997 1998 1997 1998 1997
----------- ----------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
Accumulation Units:
Credited for premiums...... 20,309,464 20,510,609 3,510,276 3,137,486 3,943,919 4,236,125
Credited (cancelled) for
transfers, disbursements and
amounts applied to the
Annuity Fund............. 58,933,328 (5,686,721) 22,316,290 5,905,434 2,713,496 476,429
Outstanding:
Beginning of year........ 233,115,524 218,291,636 31,654,054 22,611,134 30,553,890 25,841,336
----------- ----------- ---------- ---------- ---------- ----------
End of year.............. 312,358,316 233,115,524 57,480,620 31,654,054 37,211,305 30,553,890
=========== =========== ========== ========== ========== ==========
</TABLE>
<TABLE>
<CAPTION>
Global Equities Account Growth Account Equity Index Account
--------------------------- --------------------------- ---------------------------
Years Ended December 31, Years Ended December 31, Years Ended December 31,
--------------------------- --------------------------- ---------------------------
1998 1997 1998 1997 1998 1997
----------- ----------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
Accumulation Units:
Credited for premiums...... 7,906,965 9,103,302 11,782,117 11,408,929 5,725,242 4,863,305
Credited (cancelled) for
transfers, disbursements and
amounts applied to the
Annuity Fund............. (10,726,495) (4,474,351) 6,710,301 15,760,341 6,903,285 9,780,337
Outstanding:
Beginning of year........ 84,644,864 80,015,913 80,369,823 53,200,553 35,368,353 20,724,711
---------- ---------- ---------- ---------- ---------- ----------
End of year.............. 81,825,334 84,644,864 98,862,241 80,369,823 47,996,880 35,368,353
========== ========== ========== ========== ========== ==========
</TABLE>
Inflation-Linked Bond Account
--------------------------------------
January 13, 1997
Year Ended (date established)
December 31, 1998 December 31, 1997
----------------- -----------------
Accumulation Units:
Credited for premiums....... 246,599 2,133,619
Credited for transfers,
disbursements and
amounts applied to the
Annuity Fund.............. 1,239,193 1,492,416
Outstanding:
Beginning of period....... 3,626,035 --
--------- ---------
End of period............. 5,111,827 3,626,035
========= =========
NOTE 7--LINE OF CREDIT
The Stock, Social Choice, Global Equities, Growth, Equity Index and
Inflation-Linked Bond Accounts share in a $1.95 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 year ended December 31, 1998, there
were no borrowings under the credit facility.
19
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENT OF INVESTMENTS--MONEY MARKET ACCOUNT
DECEMBER 31, 1998
SUMMARY BY INDUSTRY
(000)
VALUE %
----- -----
SHORT TERM INVESTMENTS
BANK NOTES ........................... $ 172,096 2.91%
CERTIFICATES OF DEPOSIT .............. 523,483 8.85
COMMERCIAL PAPER ..................... 4,093,401 69.19
MEDIUM TERM BONDS .................... 31,440 0.53
U.S. GOVERNMENT & AGENCIES ........... 201,767 3.41
VARIABLE RATE NOTES .................. 862,663 14.58
---------- -----
TOTAL SHORT TERM INVESTMENTS
(Cost $5,884,687) ..................... 5,884,850 99.47
---------- -----
TOTAL PORTFOLIO
(Cost $5,884,687) ..................... 5,884,850 99.47
OTHER ASSETS & LIABILITIES, NET ..... 31,215 0.53
---------- -----
NET ASSETS ............................. $5,916,065 100.00%
========== ======
=======================================
VALUE
PRINCIPAL (000)
--------- -----
SHORT TERM INVESTMENTS--99.47%
BANK NOTES--2.91%
BANC ONE (MILWAUKEE) NA
$10,000,000 5.550%, 01/29/99 .............. $ 10,000
BANK OF NEW YORK
24,000,000 5.570%, 03/17/99 .............. 24,015
25,000,000 5.750%, 05/14/99 .............. 25,047
FCC NATIONAL BANK
20,000,000 5.100%, 01/21/99 .............. 19,998
FIRST NATIONAL BANK OF CHICAGO
25,000,000 5.740%, 05/07/99 .............. 25,043
HUNTINGTON NATIONAL BANK
25,000,000 5.625%, 01/12/99 .............. 24,999
WACHOVIA BANK, NATIONAL ASSOCIATION
43,000,000 5.070%, 01/22/99 .............. 42,994
---------
172,096
---------
CERTIFICATES OF DEPOSIT--8.85%
ABBEY NATIONAL TREASURY SERVICES
25,000,000 5.590%, 02/03/99 .............. 25,003
BANK OF AMERICA
20,000,000 5.200%, 02/08/99 .............. 19,999
BANK OF MONTREAL
15,000,000 5.750%, 05/10/99 .............. 15,027
BARCLAYS BANK PLC
25,000,000 5.530%, 02/23/99 .............. 25,001
CANADIAN IMPERIAL BANK OF COMMERCE
25,000,000 5.450%, 01/07/99 .............. 25,000
11,000,000 4.980%, 03/26/99 .............. 10,997
CREDIT AGRICOLE
17,000,000 5.750%, 05/19/99 .............. 17,033
20,000,000 5.750%, 05/21/99 .............. 20,040
CREDIT SUISSE
15,000,000 5.720%, 03/11/99 .............. 15,013
25,000,000 5.700%, 03/26/99 .............. 25,025
10,000,000 5.800%, 04/27/99 .............. 10,018
DEUTSCHE BANK
25,000,000 5.600%, 02/16/99 .............. 25,008
DRESDNER BANK
$23,000,000 5.450%, 01/07/99 ............... $ 23,000
FIRST NATIONAL BANK OF CHICAGO
25,000,000 5.520%, 02/16/99 .............. 25,001
NATIONAL WESTMINSTER BANK PLC
10,000,000 5.737%, 05/07/99 .............. 10,017
RABOBANK
25,000,000 5.630%, 03/24/99 .............. 25,020
10,000,000 5.700%, 04/20/99 .............. 10,013
20,000,000 5.750%, 05/14/99 .............. 20,038
10,000,000 5.740%, 05/19/99 .............. 10,019
REGIONS BANK (ALABAMA)
25,000,000 5.770%, 05/21/99 .............. 25,076
ROYAL BANK OF CANADA
22,000,000 5.645%, 03/09/99 .............. 22,015
SWISS BANK CORP
25,000,000 5.635%, 03/22/99 .............. 25,020
TORONTO DOMINION BANK
25,000,000 5.640%, 06/18/99 .............. 25,050
20,000,000 5.650%, 07/09/99 .............. 20,048
WESTDEUTSCHE LANDESBANK
50,000,000 5.310%, 02/16/99 .............. 50,002
---------
523,483
---------
COMMERCIAL PAPER--69.19%
ABN AMRO NORTH AMERICA FINANCE, INC
22,700,000 5.100%, 03/30/99 .............. 22,425
AMERICAN EXPRESS CREDIT CORP
50,000,000 5.140%, 01/14/99 .............. 49,901
50,000,000 5.140%, 01/15/99 .............. 49,894
50,000,000 5.000%, 01/19/99 .............. 49,869
AMERICAN HOME PRODUCTS
45,000,000 5.250%, 01/04/99 .............. 44,980
20,800,000 5.150%, 03/05/99 .............. 20,619
ANHEUSER-BUSCH CO
22,200,000 5.125%, 01/28/99 .............. 22,113
ASSET SECURITIZATION COOP CORP
50,000,000 ~ 5.250%, 01/20/99 .............. 49,861
25,000,000 ~ 5.400%, 01/21/99 .............. 24,927
25,000,000 ~ 5.180%, 01/28/99 .............. 24,902
50,000,000 ~ 5.180%, 02/18/99 .............. 49,643
ASSOCIATES CORP OF NORTH AMERICA
25,000,000 5.150%, 01/08/99 .............. 24,974
ATLANTIC RICHFIELD CO
50,000,000 ~ 5.050%, 02/25/99 .............. 49,586
19,000,000 5.040%, 03/05/99 .............. 18,834
BETA FINANCE, INC
30,000,000 ~ 5.250%, 01/06/99 .............. 29,978
8,000,000 ~ 5.120%, 01/15/99 .............. 7,983
12,000,000 ~ 5.280%, 01/15/99 .............. 11,975
40,000,000 ~ 5.150%, 01/25/99 .............. 39,861
25,000,000 ~ 4.890%, 05/19/99 .............. 24,950
CANADIAN IMPERIAL HOLDINGS, INC
50,000,000 5.200%, 01/13/99 .............. 49,909
CAROLINA POWER & LIGHT CO
50,000,000 5.250%, 02/04/99 .............. 49,752
See notes to financial statements.
20
<PAGE>
MONEY MARKET ACCOUNT (CONTINUED)
VALUE
PRINCIPAL (000)
--------- -----
COMMERICAL PAPER--(CONTINUED)
CATERPILLAR FINANCIAL SERVICES CORP
$25,000,000 5.020%, 01/12/99 .............. $ 24,958
CHRYSLER FINANCIAL CORP
25,000,000 5.190%, 01/05/99 .............. 24,985
39,000,000 5.100%, 01/20/99 .............. 38,892
CIESCO LP
8,800,000 5.150%, 01/11/99 .............. 8,787
35,000,000 5.130%, 01/13/99 .............. 34,936
35,000,000 ~ 5.350%, 01/14/99 .............. 34,932
5,000,000 5.000%, 01/15/99 .............. 4,989
40,000,000 ~ 5.050%, 01/20/99 .............. 39,889
5,800,000 5.200%, 02/03/99 .............. 5,772
CIGNA CORP
25,000,000 5.150%, 01/04/99 .............. 24,989
25,000,000 5.350%, 01/13/99 .............. 24,955
CIT GROUP HOLDINGS, INC
54,400,000 5.070%, 01/26/99 .............. 54,203
25,000,000 5.160%, 01/29/99 .............. 24,899
CITIGROUP, INC
5,000,000 5.150%, 02/01/99 .............. 4,978
COCA COLA CO
50,000,000 5.030%, 03/19/99 .............. 49,469
COCA COLA ENTERPRISES, INC
37,000,000 5.250%, 01/28/99 .............. 36,823
12,000,000 5.120%, 01/29/99 .............. 11,943
11,400,000 5.240%, 02/08/99 .............. 11,326
15,000,000 5.150%, 03/18/99 .............. 14,840
COMMERCIAL CREDIT CO
25,000,000 5.180%, 01/19/99 .............. 24,934
25,000,000 5.320%, 01/25/99 .............. 24,913
20,000,000 5.100%, 02/01/99 .............. 19,907
COOPER INDUSTRIES, INC
48,000,000 5.250%, 01/04/99 .............. 47,979
23,000,000 5.300%, 01/04/99 .............. 22,990
CORPORATE ASSET FUNDING CORP, INC
8,140,000 ~ 5.450%, 01/04/99 .............. 8,136
32,900,000 ~ 5.200%, 01/06/99 .............. 32,875
8,000,000 ~ 5.150%, 01/12/99 .............. 7,987
25,000,000 ~ 5.270%, 01/21/99 .............. 24,927
25,000,000 ~ 5.230%, 01/25/99 .............. 24,913
25,000,000 ~ 5.150%, 02/12/99 .............. 24,848
9,725,000 ~ 5.080%, 03/08/99 .............. 9,636
DEERE & CO
50,000,000 5.310%, 01/19/99 .............. 49,869
DELAWARE FUNDING CORP
50,000,000 ~ 5.430%, 01/05/99 .............. 49,970
10,000,000 ~ 5.220%, 01/06/99 .............. 9,993
50,000,000 ~ 5.400%, 01/19/99 .............. 49,869
11,700,000 ~ 5.330%, 01/26/99 .............. 11,658
23,000,000 ~ 5.330%, 02/10/99 .............. 22,867
DUKE ENERGY CORP
50,000,000 5.250%, 01/06/99 .............. 49,964
DUPONT (E.I.) DE NEMOURS & CO
25,000,000 5.300%, 01/11/99 .............. 24,963
25,000,000 5.300%, 01/12/99 .............. 24,960
21,000,000 5.100%, 01/14/99 .............. 20,959
50,000,000 5.110%, 02/05/99 .............. 49,744
20,655,000 5.150%, 02/05/99 .............. 20,549
ENTERPRISE FUNDING CORP
17,161,000 ~ 5.500%, 01/14/99 .............. 17,127
26,693,000 ~ 5.550%, 01/15/99 .............. 26,636
3,000,000 ~ 5.380%, 01/29/99 .............. 2,987
FLORIDA POWER & LIGHT CO
20,000,000 ~ 5.220%, 02/05/99 .............. 19,899
FLORIDA POWER CORP
$15,000,000 5.270%, 01/04/99 .............. $ 14,993
15,000,000 5.270%, 01/05/99 .............. 14,991
13,000,000 5.270%, 01/06/99 .............. 12,990
10,000,000 5.270%, 01/08/99 .............. 9,990
FORD MOTOR CREDIT CO
19,700,000 5.110%, 01/05/99 .............. 19,688
10,000,000 5.100%, 01/07/99 .............. 9,991
2,100,000 5.120%, 01/08/99 .............. 2,098
60,000,000 5.140%, 01/21/99 .............. 59,824
20,000,000 5.030%, 01/22/99 .............. 19,939
FORTUNE BRANDS
24,000,000 ~ 5.460%, 01/14/99 .............. 23,953
25,000,000 ~ 5.300%, 01/15/99 .............. 24,947
25,000,000 5.100%, 01/21/99 .............. 24,927
10,000,000 ~ 5.300%, 01/22/99 .............. 9,969
25,000,000 ~ 5.120%, 01/29/99 .............. 24,899
GENERAL ELECTRIC CAPITAL CORP
25,000,000 5.170%, 01/19/99 .............. 24,934
25,000,000 5.330%, 01/21/99 .............. 24,927
GENERAL MOTORS ACCEPTANCE CORP
30,162,000 5.490%, 01/13/99 .............. 30,107
33,000,000 5.180%, 01/15/99 .............. 32,930
24,000,000 5.070%, 01/29/99 .............. 23,903
6,265,000 5.110%, 02/08/99 .............. 6,231
1,700,000 5.210%, 02/09/99 .............. 1,690
50,000,000 5.210%, 02/10/99 .............. 49,711
GOLDMAN SACHS GROUP LP
25,000,000 5.450%, 02/17/99 .............. 24,825
25,000,000 5.450%, 02/26/99 .............. 24,790
GTE CORP
25,000,000 ~ 5.550%, 01/11/99 .............. 24,961
12,000,000 ~ 5.400%, 01/29/99 .............. 11,952
13,300,000 ~ 5.250%, 02/03/99 .............. 13,236
19,000,000 ~ 5.480%, 02/12/99 .............. 18,885
GTE FUNDING, INC
23,710,000 5.500%, 01/22/99 .............. 23,634
12,500,000 5.120%, 02/02/99 .............. 12,443
8,000,000 5.200%, 02/08/99 .............. 7,956
50,000,000 5.250%, 02/12/99 .............. 49,694
HOUSEHOLD FINANCE CORP
50,000,000 5.100%, 01/08/99 .............. 49,948
JOHN DEERE CAPITAL CORP
50,000,000 5.320%, 01/25/99 .............. 49,826
19,150,000 6.500%, 09/20/99 .............. 19,328
JOHNSON & JOHNSON CO
2,350,000 ~ 5.080%, 01/21/99 .............. 2,343
MAY DEPARTMENT STORES CO
11,200,000 5.225%, 01/08/99 .............. 11,189
MCGRAW-HILL COS, INC
7,000,000 5.170%, 02/22/99 .............. 6,945
MONSANTO CO
21,306,000 ~ 5.170%, 01/08/99 .............. 21,279
10,000,000 ~ 5.100%, 02/12/99 .............. 9,939
MORGAN STANLEY DEAN WITTER
22,550,000 5.450%, 01/22/99 .............. 22,481
MOTOROLA CREDIT CORP
25,000,000 5.140%, 02/02/99 .............. 24,883
MOTOROLA, INC
75,000,000 5.125%, 02/02/99 .............. 74,650
NATIONAL RURAL UTILITIES COOP FINANCE
17,000,000 5.120%, 01/14/99 .............. 16,966
40,000,000 5.270%, 01/20/99 .............. 39,889
25,000,000 5.120%, 01/27/99 .............. 24,906
40,000,000 5.010%, 02/09/99 .............. 39,772
See notes to financial statements.
21
<PAGE>
MONEY MARKET ACCOUNT (CONTINUED)
VALUE
PRINCIPAL (000)
--------- -----
COMMERICAL PAPER--(CONTINUED)
PACIFICORP
$30,000,000 5.120%, 01/26/99 .............. $ 29,892
2,700,000 5.100%, 02/11/99 .............. 2,684
PARK AVENUE RECEIVABLES CORP
17,000,000 ~ 5.450%, 01/20/99 .............. 16,952
6,000,000 ~ 5.270%, 01/22/99 .............. 5,982
25,000,000 ~ 5.320%, 01/25/99 .............. 24,913
43,500,000 ~ 5.490%, 02/08/99 .............. 43,258
25,000,000 ~ 5.280%, 02/09/99 .............. 24,857
8,000,000 ~ 5.320%, 02/10/99 .............. 7,954
26,500,000 ~ 5.370%, 02/10/99 .............. 26,347
PENNEY (J.C.) FUNDING CORP
26,000,000 ~ 5.240%, 01/29/99 .............. 25,895
15,000,000 ~ 5.300%, 01/29/99 .............. 14,939
16,950,000 ~ 5.310%, 01/29/99 .............. 16,882
17,000,000 ~ 5.130%, 02/03/99 .............. 16,918
15,700,000 ~ 5.250%, 02/19/99 .............. 15,585
18,000,000 ~ 5.230%, 02/26/99 .............. 17,848
11,000,000 ~ 4.900%, 03/05/99 .............. 10,904
3,400,000 ~ 4.920%, 03/12/99 .............. 3,367
12,030,000 ~ 5.020%, 04/19/99 .............. 11,853
RECEIVABLES CAPITAL CORP
50,000,000 ~ 5.450%, 01/21/99 .............. 49,854
14,364,000 ~ 5.280%, 02/04/99 .............. 14,293
20,000,000 ~ 5.030%, 02/22/99 .............. 19,844
RESEAU FERRE DE FRANCE
60,000,000 5.300%, 01/20/99 .............. 59,833
25,000,000 5.070%, 03/02/99 .............. 24,792
15,000,000 5.060%, 03/10/99 .............. 14,859
SAINT PAUL COS
20,000,000 ~ 5.300%, 01/14/99 .............. 19,961
20,000,000 ~ 5.230%, 01/29/99 .............. 19,919
SC JOHNSON & SON, INC
10,000,000 ~ 5.350%, 01/14/99 .............. 9,980
17,000,000 ~ 5.230%, 01/15/99 .............. 16,964
25,000,000 ~ 5.100%, 01/20/99 .............. 24,931
7,000,000 ~ 5.200%, 01/21/99 .............. 6,980
29,400,000 ~ 5.100%, 01/22/99 .............. 29,310
20,000,000 ~ 5.400%, 01/25/99 .............. 19,931
10,000,000 ~ 5.080%, 01/28/99 .............. 9,961
10,000,000 ~ 5.200%, 01/29/99 .............. 9,960
SEARS ROEBUCK ACCEPTANCE CORP
21,700,000 5.190%, 01/29/99 .............. 21,612
SWEDISH EXPORT CREDIT CORP
25,000,000 5.110%, 01/20/99 .............. 24,931
22,000,000 5.000%, 01/25/99 .............. 21,924
45,610,000 4.760%, 03/22/99 .............. 45,107
THE STANLEY WORKS
25,000,000 ~ 5.100%, 02/01/99 .............. 24,884
16,000,000 ~ 5.090%, 02/11/99 .............. 15,905
28,000,000 ~ 5.230%, 02/19/99 .............. 27,796
23,500,000 ~ 5.100%, 02/22/99 .............. 23,316
19,000,000 ~ 5.030%, 03/10/99 .............. 18,822
4,567,000 ~ 5.050%, 03/18/99 .............. 4,519
TORONTO DOMINION HOLDINGS (U.S.)
27,915,000 5.120%, 03/01/99 .............. 27,687
45,000,000 5.065%, 03/04/99 .............. 44,614
XEROX CAPITAL (EUROPE) PLC
19,200,000 5.010%, 01/22/99 .............. 19,141
11,000,000 5.150%, 01/22/99 .............. 10,966
20,000,000 5.160%, 01/22/99 .............. 19,939
XEROX CREDIT CORP
$50,000,000 5.150%, 01/06/99 .............. $ 49,963
10,000,000 5.100%, 01/28/99 .............. 9,961
----------
4,093,401
----------
MEDIUM TERM BONDS--0.53%
CHASE MANHATTAN CORP
8,000,000 7.580%, 07/23/99 .............. 8,105
FORD MOTOR CREDIT CO
5,205,000 7.250%, 05/15/99 .............. 5,244
8,941,000 6.375%, 09/15/99 .............. 9,016
FORTUNE BRANDS
9,000,000 7.500%, 05/15/99 .............. 9,075
----------
31,440
----------
U.S. GOVERNMENT & AGENCIES--3.41%
FEDERAL FARM CREDIT BANK
22,000,000 5.300%, 02/02/99 .............. 22,005
FEDERAL HOME LOAN MORTGAGE CORP
17,135,000 5.000%, 02/26/99 .............. 17,001
50,000,000 4.980%, 03/09/99 .............. 49,566
FEDERAL NATIONAL MORTGAGE ASSOCIATION
50,000,000 4.990%, 03/11/99 .............. 49,553
64,250,000 4.980%, 03/15/99 .............. 63,642
----------
201,767
----------
VARIABLE RATE NOTES--14.58%
ABBEY NATIONAL TREASURY SERVICES
25,000,000 4.790%, 07/20/99 .............. 24,975
AMERICAN EXPRESS CENTURION BANK
25,000,000 5.520%, 01/04/99 .............. 25,000
15,000,000 5.483%, 05/14/99 .............. 14,993
15,000,000 5.010%, 06/04/99 .............. 14,994
ASSOCIATES CORP OF NORTH AMERICA
50,000,000 4.900%, 01/04/99 .............. 49,999
BANK OF AMERICA
11,000,000 5.902%, 05/17/99 .............. 11,021
BANK OF MONTREAL
34,000,000 4.850%, 07/22/99 .............. 33,950
BETA FINANCE, INC
25,000,000 ~ 5.050%, 05/19/99 .............. 24,838
CATERPILLAR FINANCIAL SERVICES CORP
30,500,000 5.291%, 05/05/99 .............. 30,476
COLGATE-PALMOLIVE CO
20,000,000 5.090%, 08/25/99 .............. 19,970
CORESTATES BANK NA (PHILADELPHIA)
5,000,000 5.574%, 01/29/99 .............. 4,999
FIRST UNION NATIONAL BANK (CHARLOTTE)
25,000,000 4.900%, 05/17/99 .............. 24,978
FIRST UNION NATIONAL BANK, NC
25,000,000 4.700%, 04/30/99 .............. 24,983
25,000,000 4.710%, 08/20/99 .............. 24,968
25,000,000 4.710%, 09/24/99 .............. 24,965
FLEET NATIONAL BANK
20,000,000 4.800%, 05/11/99 .............. 19,978
FEDERAL NATIONAL MORTGAGE ASSOCIATION
8,000,000 4.740%, 05/28/99 .............. 7,994
GENERAL MOTORS ACCEPTANCE CORP
5,000,000 5.149%, 04/28/99 .............. 4,996
GOLDMAN SACHS GROUP LP
13,000,000 5.259%, 02/01/99 .............. 12,997
7,000,000 5.300%, 02/24/99 .............. 6,997
HOUSEHOLD FINANCE CORP
25,000,000 5.162%, 04/29/99 .............. 24,975
25,000,000 5.120%, 05/28/99 .............. 24,988
25,000,000 5.210%, 07/19/99 .............. 24,955
See notes to financial statements.
22
<PAGE>
MONEY MARKET ACCOUNT (CONTINUED)
VALUE
PRINCIPAL (000)
--------- -----
VARIABLE RATE NOTES--(CONTINUED)
INTERNATIONAL BUSINESS MACHINES CORP
$25,000,000 5.050%, 05/21/99 .............. $ 24,970
25,000,000 5.293%, 10/19/99 .............. 24,970
J.P. MORGAN & CO
20,000,000 4.830%, 02/24/99 .............. 19,987
10,000,000 5.481%, 07/07/99 .............. 9,986
KEY BANK
25,000,000 4.870%, 01/14/99 .............. 24,998
18,000,000 4.800%, 02/24/99 .............. 17,990
7,000,000 4.830%, 06/21/99 .............. 6,990
MORGAN STANLEY DEAN WITTER
20,000,000 5.481%, 03/01/99 .............. 19,998
NATIONSBANK NA
15,000,000 4.830%, 04/27/99 .............. 14,982
PEPSICO, INC
25,000,000 5.209%, 08/19/99 .............. 24,963
PNC BANK
25,000,000 4.830%, 05/14/99 .............. 24,968
PNC BANK NA
20,000,000 5.499%, 07/27/99 .............. 19,974
5,000,000 5.543%, 10/13/99 .............. 4,997
ROYAL BANK OF CANADA
25,000,000 4.795%, 07/06/99 .............. 24,975
25,000,000 4.790%, 09/10/99 .............. 24,975
SEARS ROEBUCK ACCEPTANCE CORP
25,000,000 5.506%, 03/26/99 .............. 24,990
STUDENT LOAN MARKETING ASSOCIATION
25,000,000 4.800%, 10/20/99 .............. 24,975
SUNTRUST
15,000,000 5.406%, 06/18/99 .............. 15,008
U.S. BANCORP
25,000,000 5.476%, 09/13/99 .............. 24,978
----------
862,663
----------
TOTAL SHORT TERM INVESTMENTS
(Cost $5,884,687) ................ 5,884,850
----------
TOTAL PORTFOLIO
(Cost $5,884,687) ................ $5,884,850
==========
- ------------------------
~ Commercial Paper issued under the Private Placement exemption under Section
4(2) of the Securities Act of 1933, as amended.
See notes to financial statements.
23
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENT OF INVESTMENTS--BOND MARKET ACCOUNT
DECEMBER 31, 1998
SUMMARY BY INDUSTRY
(000)
VALUE %
----- -----
BONDS
CORPORATE BONDS
ASSET BACKED .......................... $ 120,733 3.95%
AUTO REPAIR, SERVICES AND PARKING ..... 5,196 0.17
BUSINESS SERVICES ..................... 14,956 0.49
CHEMICALS AND ALLIED PRODUCTS ......... 15,029 0.49
COMMUNICATIONS ........................ 100,538 3.29
DEPOSITORY INSTITUTIONS ............... 48,291 1.58
EATING AND DRINKING PLACES ............ 10,001 0.33
ELECTRIC, GAS, AND SANITARY SERVICES .. 78,228 2.56
FOOD AND KINDRED PRODUCTS ............. 35,403 1.16
FOOD STORES ........................... 4,008 0.13
GENERAL MERCHANDISE STORES ............ 5,040 0.16
HEALTH SERVICES ....................... 10,094 0.33
HOLDING AND OTHER INVESTMENT OFFICES .. 18,264 0.60
INDUSTRIAL MACHINERY AND EQUIPMENT .... 39,543 1.29
INSTRUMENTS AND RELATED PRODUCTS ...... 12,908 0.42
INSURANCE CARRIERS .................... 24,978 0.82
MISCELLANEOUS RETAIL .................. 12,954 0.42
MOTION PICTURES ....................... 14,947 0.49
NATIONAL SECURITY AND INTERNATIONAL
AFFAIRS .............................. 10,768 0.35
NONDEPOSITORY INSTITUTIONS ............ 113,179 3.70
OIL AND GAS EXTRACTION ................ 10,828 0.35
PERSONAL SERVICES ..................... 28,417 0.93
PETROLEUM AND COAL PRODUCTS ........... 3,028 0.10
PRINTING AND PUBLISHING ............... 10,523 0.34
RAILROAD TRANSPORTATION ............... 29,277 0.96
SECURITY AND COMMODITY BROKERS ........ 16,290 0.54
TOBACCO PRODUCTS ...................... 19,378 0.64
TRANSPORTATION BY AIR ................. 11,492 0.38
--------- ------
TOTAL CORPORATE BONDS
(Cost $820,908) ........................ 824,291 26.97
--------- ------
GOVERNMENT BONDS
AGENCY SECURITIES ..................... 307,038 10.05
FOREIGN GOVERNMENT BONDS .............. 22,424 0.73
GOVERNMENT BONDS ...................... 295 0.01
MORTGAGE BACKED SECURITIES ............ 851,135 27.85
OTHER MORTGAGE BACKED SECURITIES ...... 5,136 0.17
U.S. TREASURY SECURITIES .............. 959,888 31.41
--------- ------
TOTAL GOVERNMENT BONDS
(Cost $2,130,291) ...................... 2,145,916 70.22
--------- ------
TOTAL BONDS
(Cost $2,951,199) ...................... 2,970,207 97.19
--------- ------
PREFERRED STOCK
HOLDING AND OTHER INVESTMENT OFFICES .. 7,855 0.26
--------- ------
TOTAL PREFERRED STOCK
(Cost $8,000) .......................... 7,855 0.26
--------- ------
SHORT TERM INVESTMENTS
INVESTMENTS OF CASH COLLATERAL FOR
SECURITIES LOANED .................... 552,327 18.08
COMMERCIAL PAPER ...................... 461,804 15.11
--------- ------
TOTAL SHORT TERM INVESTMENTS
(Cost $1,014,108) ...................... 1,014,131 33.19
--------- ------
TOTAL PORTFOLIO
(Cost $3,973,307) ...................... 3,992,193 130.64
OTHER ASSETS & LIABILITIES, NET ...... (936,290) (30.64)
--------- ------
NET ASSETS .............................. $3,055,903 100.00%
========= ======
==============================
MOODY'S VALUE
PRINCIPAL RATINGS (000)
--------- ------- -----
BONDS--97.19%
CORPORATE BONDS--26.97%
ASSET BACKED--3.95%
ADVANTA MORTGAGE LOAN TRUST
SERIES 1998-1 (CLASS A3)
$ 23,000,000 6.270%, 12/25/17 AAA $ 23,054
AMRESCO RESIDENTIAL SECURITIES
MORTGAGE LOAN TRUST
SERIES 1997-2 (CLASS A3)
4,399,190 6.795%, 12/25/20 ..... AAA 4,402
BLOCK MORTGAGE FINANCE, INC
SERIES 1997-1 (CLASS A-2)
3,758,034 6.850%, 10/25/11 ..... AAA 3,760
CHASE CREDIT CARD MASTER TRUST
SERIES 1997-2 (CLASS B)
19,000,000 6.450%, 04/15/03 ..... A2 19,302
COMED TRANSITIONAL FUNDING
TRUST SERIES 1998-1 (CLASS A5)
8,500,000 5.440%, 03/25/07 ..... AAA 8,484
FIRST ALLIANCE MORTGAGE LOAN
TRUST SERIES 1997-3 (CLASS A1)
3,114,764 6.935%, 12/20/28 ..... AAA 3,141
FIRST U.S.A. CREDIT CARD MASTER
TRUST SERIES 1998-9 (CLASS A)
15,000,000 5.280%, 09/18/06 ..... AAA 14,890
GREEN TREE HOME EQUITY LOAN
TRUST SERIES 1998-C (CLASS A3)
20,250,000 6.180%, 07/15/29 ..... AAA 20,364
IMC HOME EQUITY LOAN TRUST
SERIES 1997-2 (CLASS A-2)
2,581,021 6.700%, 11/20/11 ..... AAA 2,576
NATIONSBANK AUTO GRANTOR
TRUST SERIES 1995-A (CLASS A)
352,808 5.850%, 06/15/02 ..... AAA 353
NEWCOURT EQUIPMENT TRUST
SECURITIES SERIES 1998-2 (CLASS A3)
10,000,000 5.450%, 10/15/02 ..... AAA 9,975
STANDARD CREDIT CARD MASTER
TRUST SERIES 1991-6 (CLASS B)
4,225,000 8.350%, 01/07/00 ..... A2 4,225
TOYOTA AUTO RECEIVABLES
GRANTOR TRUST SERIES
1997-A (CLASS B)
1,915,152 6.600%, 04/15/02 ..... A2 1,923
VANDERBILT MORTGAGE & FINANCE
SERIES 1997-A (CLASS A-2)
4,263,538 6.525%, 12/07/28 ..... AAA 4,284
--------
120,733
--------
AUTO REPAIR, SERVICES AND PARKING--0.17%
ERAC U.S.A. FINANCE CO NOTE
5,000,000 ^ 6.950%, 03/01/04 ..... BAA2 5,196
--------
BUSINESS SERVICES--0.49%
COMDISCO, INC NOTE
10,000,000 6.270%, 11/23/00 ..... BAA2 9,994
5,000,000 6.130%, 08/01/01 ..... BAA1 4,962
--------
14,956
--------
See notes to financial statements.
24
<PAGE>
BOND MARKET ACCOUNT (CONTINUED)
MOODY'S VALUE
PRINCIPAL RATINGS (000)
--------- ------- -----
CHEMICALS AND ALLIED PRODUCTS--0.49%
ABBOTT LABORATORIES NOTE
$ 5,000,000 5.400%, 09/15/08 ..... AA1 $ 5,045
MERCK & CO, INC DEB
5,000,000 5.950%, 12/01/28 ..... AAA 4,991
MONSANTO CO DEB
5,000,000 ^ 6.600%, 12/01/28 ..... A2 4,993
--------
15,029
--------
COMMUNICATIONS--3.29%
BELLSOUTH TELECOMMUNICATIONS
NOTE
10,000,000 6.500%, 06/15/05 ..... AAA 10,641
CONTINENTAL CABLEVISION
(SR NOTE)
10,000,000 8.300%, 05/15/06 ..... BAA3 11,096
LUCENT TECHNOLOGIES NOTE
15,000,000 5.500%, 11/15/08 ..... A2 15,170
SPRINT CAPITAL CORP
(GUARANTEE NOTE)
15,000,000 6.875%, 11/15/28 ..... BAA1 15,590
TELE- COMMUNICATIONS, INC DEB
6,000,000 7.875%, 08/01/13 ..... BAA3 7,029
U.S. WEST CAPITAL FUNDING, INC
(GUARANTEE NOTE)
7,800,000 6.125%, 07/15/02 ..... A3 7,963
10,000,000 6.500%, 11/15/18 ..... A3 10,233
MCI WORLDCOM, INC (SR NOTE)
15,000,000 9.375%, 01/15/04 ..... BAA2 15,541
7,000,000 6.400%, 08/15/05 ..... BAA2 7,275
--------
100,538
--------
DEPOSITORY INSTITUTIONS--1.58%
AMSOUTH BANK OF
ALABAMA (SUB NOTE)
5,000,000 6.450%, 02/01/18 ..... A1 5,209
BANK ONE CORP (SUB NOTE)
7,000,000 6.375%, 01/30/09 ..... A1 7,276
BANKAMERICA CORP (SUB NOTE)
5,000,000 7.625%, 06/15/04 ..... A1 5,461
CHASE MANHATTAN CORP (SUB NOTE)
9,500,000 6.000%, 11/01/05 ..... A1 9,617
CITICORP (SUB NOTE)
13,500,000 6.375%, 11/15/08 ..... A1 13,973
SKANDINAVISKA ENSKILDA
BANKEN (SUB NOTE)
7,000,000 ^ 6.500%, 12/29/49 ..... BAA1 6,755
--------
48,291
--------
EATING AND DRINKING PLACES--0.33%
MCDONALD'S CORP (SR NOTE)
10,000,000 5.350%, 09/15/08 ..... AA2 10,001
--------
ELECTRIC, GAS, AND SANITARY SERVICES--2.56%
CALIFORNIA ENERGY CO (SR NOTE)
7,000,000 9.875%, 06/30/03 ..... BA1 7,839
CLEVELAND ELECTRIC TOLEDO
EDISON NOTE
5,000,000 7.190%, 07/01/00 ..... BA1 5,074
COASTAL CORP (SR NOTE)
11,490,000 10.000%, 02/01/01 .... BAA3 12,446
CONSUMERS ENERGY CO DEB
$ 5,000,000 ^ 6.200%, 05/01/03 ..... BAA3 $ 5,116
EL PASO ELECTRIC CO
(FIRST MORTGAGE BOND)
1,000,000 7.250%, 02/01/99 ..... BA2 1,001
5,000,000 8.900%, 02/01/06 ..... BA2 5,544
GEORGIA POWER CO (SR NOTE)
10,000,000 5.500%, 12/01/05 ..... A2 9,965
MONONGAHELA POWER CO
(FIRST MORTGAGE BOND)
3,000,000 8.625%, 11/01/21 ..... A1 3,170
NATIONAL RURAL UTILITIES TRUST
5,000,000 5.000%, 10/01/02 ..... AA3 4,917
NIAGARA MOHAWK POWER CO
(SR NOTE)
10,000,000 7.125%, 07/01/01 ..... BA2 10,163
PACIFICORP (FIRST MORTGAGE BOND)
2,650,000 5.650%, 11/01/06 ..... A2 2,654
PUGET SOUND ENERGY, INC
(SR NOTE)
5,000,000 7.020%, 12/01/27 ..... BAA1 5,308
U.S.A. WASTE SERVICES, INC NOTE
5,000,000 6.125%, 07/15/01 ..... BAA3 5,031
--------
78,228
--------
FOOD AND KINDRED PRODUCTS--1.16%
BESTFOODS DEB
5,000,000 6.625%, 04/15/28 ..... A2 5,255
COCA COLA (PUTABLE ASSET TRUST)
5,000,000 ^ 6.000%, 03/15/01 ..... A3 5,081
HEINZ (H.J.) CO DEB
5,000,000 6.375%, 07/15/28 ..... A1 5,300
NABISCO, INC (PASS THRU CERT)
10,000,000 ^ 6.300%, 08/26/99 ..... BAA2 9,994
RALSTON PURINA CO DEB
7,500,000 9.300%, 05/01/21 ..... BAA1 9,773
--------
35,403
--------
FOOD STORES--0.13%
SAFEWAY, INC NOTE
4,000,000 5.750%, 11/15/00 ..... BAA2 4,008
--------
GENERAL MERCHANDISE STORES--0.16%
DAYTON HUDSON CO NOTE
5,000,000 5.950%, 06/15/00 ..... A3 5,040
--------
HEALTH SERVICES--0.33%
COLUMBIA/HCA HEALTHCARE
CORP NOTE
5,000,000 6.500%, 03/15/99 ..... BA2 4,994
TENET HEALTHCARE CORP (SR NOTE)
5,000,000 7.875%, 01/15/03 ..... BA1 5,100
--------
10,094
--------
HOLDING AND OTHER INVESTMENT OFFICES--0.60%
CRESCENT REAL ESTATE NOTE
10,200,000 6.625%, 09/15/02 ..... BAA3 9,617
CRIIMI MAE CMBS CORP
SERIES 1998-1 (CLASS A1)
8,692,697 ^ 5.697%, 10/20/01 ..... AAA 8,647
--------
18,264
--------
See notes to financial statements.
25
<PAGE>
BOND MARKET ACCOUNT (CONTINUED)
MOODY'S VALUE
PRINCIPAL RATINGS (000)
--------- ------- -----
INDUSTRIAL MACHINERY AND EQUIPMENT--1.29%
INTERNATIONAL BUSINESS
MACHINES CORP NOTE
$10,000,000 5.250%, 12/01/03 ..... A1 $ 10,035
11,150,000 6.500%, 01/15/28 ..... A1 11,703
TYCO INTERNATIONAL GROUP NOTE
5,000,000 ^ 5.875%, 11/01/04 ..... BAA1 4,951
U.S. FILTER CORP NOTE
13,000,000 ^ 6.375%, 05/15/01 ..... BA1 12,854
--------
39,543
--------
INSTRUMENTS AND RELATED PRODUCTS--0.42%
RAYTHEON CO NOTE
7,900,000 5.950%, 03/15/01 ..... BAA1 7,969
RAYTHEON CO DEB
5,000,000 6.400%, 12/15/18 ..... BAA1 4,939
--------
12,908
--------
INSURANCE CARRIERS--0.82%
AMERICAN ANNUITY GROUP
(GUARANTEE NOTE)
10,000,000 6.875%, 06/01/08 ..... BAA3 9,740
ASSOCIATED P & C HOLDINGS, INC
(SR NOTE)
5,000,000 6.750%, 07/15/03 ..... BAA1 5,192
TRANSAMERICA CAPITAL CORP
(GUARANTEE NOTE)
5,000,000 ^ 7.800%, 12/01/26 ..... A2 5,488
VESTA INSURANCE GROUP, INC DEB
5,175,000 8.750%, 07/15/25 ..... BA2 4,558
--------
24,978
--------
MISCELLANEOUS RETAIL--0.42%
RITE AID CORP NOTE
8,000,000 ^ 5.500%, 12/15/00 ..... BAA1 7,960
5,000,000 ^ 6.000%, 10/01/03 ..... BAA1 4,994
--------
12,954
--------
MOTION PICTURES--0.49%
WALT DISNEY CO NOTE
5,000,000 5.600%, 01/13/00 ..... A2 5,026
10,000,000 5.250%, 11/10/03 ..... A2 9,921
--------
14,947
--------
NATIONAL SECURITY AND INTERNATIONAL AFFAIRS--0.35%
PROVINCE OF ONTARIO NOTE
10,000,000 7.375%, 01/27/03 ..... AA3 10,768
--------
NONDEPOSITORY INSTITUTIONS--3.70%
ARISTAR, INC (SR NOTE)
10,000,000 6.750%, 08/15/01 ..... A3 10,211
ASSOCIATES CORP NA (SR NOTE)
6,000,000 5.750%, 11/01/03 ..... AA3 6,054
AT & T CAPITAL CORP
(GUARANTEE NOTE)
3,000,000 7.500%, 11/15/00 ..... BAA3 3,037
AT&T CAPITAL CORP
(MEDIUM TERM NOTE)
$15,000,000 6.230%, 09/24/99 ..... BAA3 $ 15,115
CHRYSLER FINANCIAL CO
(MEDIUM TERM NOTE)
12,000,000 5.250%, 10/19/00 ..... A2 12,002
CIT GROUP, INC (SR NOTE)
5,000,000 5.910%, 11/10/03 ..... AA3 5,048
FORD MOTOR CREDIT CO NOTE
5,000,000 5.125%, 10/15/01 ..... A1 4,966
5,000,000 6.125%, 04/28/03 ..... A1 5,106
GENERAL ELECTRIC CAPITAL
CORP NOTE
10,000,000 5.600%, 01/14/00 ..... AAA 10,050
GENERAL MOTORS ACCEPTANCE
CORP (SR NOTE)
10,000,000 5.750%, 11/10/03 ..... A2 10,078
HELLER FINANCIAL, INC (SR NOTE)
5,000,000 5.875%, 11/01/00 ..... A3 4,999
HOUSEHOLD FINANCE CORP NOTE
5,000,000 5.875%, 11/01/02 ..... A2 5,024
5,000,000 6.500%, 11/15/08 ..... A2 5,203
MONEY STORE, INC
(GUARANTEE NOTE)
10,000,000 8.375%, 04/15/04 ..... A1 11,235
TOYOTA MOTOR CREDIT CORP NOTE
5,000,000 5.625%, 11/13/03 ..... AA1 5,051
--------
113,179
--------
OIL AND GAS EXTRACTION--0.35%
PETROLEUM GEO-SERVICES NOTE
10,460,000 7.500%, 03/31/07 ..... BAA3 10,828
--------
PERSONAL SERVICES--0.93%
LOEWEN GROUP, INC NOTE
25,000,000 ^ 6.700%, 10/01/99 ..... BA3 23,369
SERVICE CORP INTERNATIONAL
(SR NOTE)
5,000,000 6.300%, 03/15/20 ..... BAA1 5,048
--------
28,417
--------
PETROLEUM AND COAL PRODUCTS--0.10%
VALERO ENERGY CORP NOTE
3,000,000 ^ 6.750%, 12/15/02 ..... BAA2 3,028
--------
PRINTING AND PUBLISHING--0.34%
TIME WARNER, INC DEB
5,000,000 7.250%, 10/15/17 ..... BAA3 5,436
5,000,000 6.625%, 05/15/29 ..... BAA3 5,087
--------
10,523
--------
RAILROAD TRANSPORTATION--0.96%
BURLINGTON NORTHERN
SANTA FE CORP NOTE
7,050,000 6.375%, 12/15/05 ..... BAA2 7,268
UNION PACIFIC RAILROAD
CORP NOTE
3,000,000 6.340%, 11/25/03 ..... BAA3 3,043
12,100,000 6.790%, 11/09/07 ..... BAA3 12,543
UNION PACIFIC RAILROAD CORP DEB
6,229,000 8.500%, 01/15/17 ..... BAA3 6,423
--------
29,277
--------
See notes to financial statements.
26
<PAGE>
BOND MARKET ACCOUNT (CONTINUED)
MOODY'S VALUE
PRINCIPAL RATINGS (000)
--------- ------- -----
SECURITY AND COMMODITY BROKERS--0.54%
MERRILL LYNCH & CO NOTE
$ 6,000,000 6.875%, 11/15/18 ..... AA3 $ 6,220
MORGAN STANLEY DEAN WITTER
(SR NOTE)
10,000,000 5.890%, 03/20/00 ..... AA3 10,070
--------
16,290
--------
TOBACCO PRODUCTS--0.64%
FORTUNE BRANDS DEB
8,900,000 6.625%, 07/15/28 ..... A2 9,295
PHILIP MORRIS COS, INC NOTE
10,000,000 6.150%, 03/15/00 ..... A2 10,083
--------
19,378
--------
TRANSPORTATION BY AIR--0.38%
DELTA AIRLINES, INC SERIES 1993-A2
(PASS THRU TRUST)
5,000,000 10.500%, 04/30/16 .... BAA1 6,590
NORTHWEST AIRLINES CORP SERIES
1997-1B (PASS THRU CERT)
4,698,876 7.248%, 07/02/14 ..... BAA2 4,902
--------
11,492
--------
TOTAL CORPORATE BONDS
(Cost $820,908) ......... 824,291
--------
GOVERNMENT BONDS--70.22%
AGENCY SECURITIES--10.05%
FEDERAL HOME LOAN BANK (FHLB)
6,700,000 5.860%, 02/28/01 ..... 6,701
FEDERAL HOME LOAN MORTGAGE
CORP (FHLMC)
22,000,000 4.750%, 12/14/01 ..... 21,911
3,000,000 7.100%, 04/10/07 ..... 3,340
51,300,000 5.125%, 10/15/08 ..... 50,811
FEDERAL NATIONAL MORTGAGE
ASSOCIATION (FNMA)
52,500,000 5.570%, 03/17/00 ..... 52,853
10,000,000 5.650%, 04/28/00 ..... 10,084
10,000,000 5.970%, 10/02/00 ..... 10,163
3,000,000 8.250%, 12/18/00 ..... 3,180
39,000,000 4.750%, 11/14/03 ..... 38,500
5,000,000 6.850%, 09/12/05 ..... 5,101
5,000,000 6.210%, 11/07/07 ..... 5,284
STUDENT LOAN MARKETING
ASSOCATION (SLMA)
62,500,000 * 5.570%, 03/17/00 ..... 62,920
TENNESSEE VALLEY AUTHORITY DEB
25,750,000 5.375%, 11/13/08 ..... 25,818
10,000,000 6.250%, 12/15/17 ..... 10,372
--------
307,038
--------
FOREIGN GOVERNMENT BONDS--0.73%
BRITISH COLUMBIA NOTE
3,000,000 5.375%, 10/29/08 ..... AA2 2,994
CANADA GOVERNMENT
5,000,000 5.250%, 11/05/08 ..... AA1 5,023
ONTARIO PROVINCE
10,000,000 5.500%, 10/01/08 ..... AA3 10,039
QUEBEC PROVINCE
4,000,000 7.125%, 02/09/24 ..... A2 4,368
--------
22,424
--------
GOVERNMENT BONDS--0.01%
NEW YORK CITY TAX LIEN SERIES 1996-1
(COLLECTABLE BOND)
294,652 ^ 6.810%, 05/25/05 ..... AAA 295
--------
VALUE
(000)
-----
MORTGAGE BACKED SECURITIES--27.85%
FEDERAL HOME LOAN
MORTGAGE CORP (FHLMC)
$ 2,107,722 5.500%, 09/01/00 ..... $ 2,103
3,480,072 7.000%, 09/01/10 ..... 3,556
5,292,448 6.000%, 04/01/11 ..... 5,326
14,261,664 7.000%, 07/01/13 ..... 14,570
2,382,620 7.000%, 05/01/23 ..... 2,430
592,543 8.500%, 06/01/27 ..... 620
1,248,556 8.500%, 07/01/27 ..... 1,307
3,901,888 8.500%, 08/01/27 ..... 4,084
FEDERAL NATIONAL MORTGAGE
ASSOCIATION (FNMA)
1,797,149 7.500%, 08/01/01 ..... 1,810
2,967,850 6.000%, 12/01/02 ..... 2,984
10,000,000 5.855%, 12/01/08 ..... 10,062
9,137,000 5.925%, 12/01/08 ..... 9,238
1,280,892 6.000%, 12/01/08 ..... 1,289
12,320,007 6.500%, 05/01/09 ..... 12,503
2,905,275 7.500%, 11/01/10 ..... 2,989
1,963,366 8.000%, 06/01/11 ..... 2,022
527,220 8.000%, 07/01/11 ..... 543
28,094,075 6.500%, 03/01/13 ..... 28,499
35,000,000 @ 6.000%, 02/25/14 ..... 35,044
1,269,116 6.500%, 02/01/16 ..... 1,283
935,179 6.500%, 03/01/16 ..... 945
1,505,310 6.500%, 04/01/16 ..... 1,532
7,491,920 8.000%, 03/01/23 ..... 7,780
15,467,740 @ 8.000%, 07/01/24 ..... 16,023
7,054,451 8.500%, 12/01/24 ..... 7,389
3,158,081 9.000%, 11/01/25 ..... 3,343
32,000,934 8.500%, 02/01/28 ..... 33,511
862,326 8.500%, 08/01/28 ..... 903
14,931,640 6.000%, 10/01/28 ..... 14,738
28,000,000 @ 6.000%, 02/25/29 ..... 27,619
217,000,000 @ 6.500%, 02/25/29 ..... 218,187
60,000,000 @ 7.000%, 02/25/29 ..... 61,153
GOVERNMENT NATIONAL
MORTGAGE ASSOCIATION (GNMA)
455,012 8.500%, 10/15/09 ..... 475
915,889 8.500%, 12/15/09 ..... 957
3,213,168 9.000%, 12/15/09 ..... 3,428
868,678 8.500%, 01/15/10 ..... 908
152,378 9.000%, 06/15/16 ..... 164
306,193 9.000%, 08/15/16 ..... 329
490,894 9.000%, 09/15/16 ..... 527
119,892 9.000%, 10/15/16 ..... 129
153,579 9.000%, 11/15/16 ..... 165
596,899 9.000%, 12/15/16 ..... 641
2,310,037 9.500%, 12/15/16 ..... 2,482
227,763 9.000%, 07/15/17 ..... 245
178,594 9.000%, 06/15/20 ..... 192
3,164,606 6.875%, 03/20/22 ..... 3,215
5,586,573 6.875%, 02/20/23 ..... 5,673
5,916,155 6.500%, 09/15/23 ..... 5,983
8,636,703 7.000%, 12/20/23 ..... 8,762
3,706,075 6.500%, 01/15/24 ..... 3,747
2,398,966 6.500%, 03/15/24 ..... 2,425
14,988,358 6.500%, 05/15/24 ..... 15,158
2,659,518 8.000%, 06/15/24 ..... 2,766
4,800,391 6.500%, 09/15/24 ..... 4,853
13,095,299 7.000%, 04/15/28 ..... 13,405
1,238,000 7.500%, 06/15/28 ..... 1,278
28,733,247 7.000%, 07/15/28 ..... 29,414
1,152,025 7.500%, 07/15/28 ..... 1,189
3,084,387 7.500%, 08/15/28 ..... 3,180
20,039,325 7.500%, 09/15/28 ..... 20,662
See notes to financial statements.
27
<PAGE>
BOND MARKET ACCOUNT (CONTINUED)
MOODY'S VALUE
PRINCIPAL RATINGS (000)
--------- ------- -----
MORTGAGE-BACKED SECURITIES--(CONTINUED)
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
(GNMA)
$104,225,318 7.000%, 10/15/28 ..... $ 106,693
3,029,189 7.500%, 10/15/28 ..... 3,123
9,986,172 7.500%, 11/15/28 ..... 10,296
52,520,000 6.500%, 12/15/28 ..... 53,067
10,000,000 @ 7.000%, 02/25/29 ..... 10,219
--------
851,135
--------
OTHER MORTGAGE BACKED SECURITIES--0.17%
EASTVIEW CREDIT CORP (CLASS A)
(COMMERCIAL MTGE PASS THRU)
5,000,000 6.950%, 06/15/04 ..... N/R 5,136
--------
U.S. TREASURY SECURITIES--31.41%
U.S. TREASURY BOND
36,500,000 10.750%, 05/15/03 .... 45,043
40,000,000 11.875%, 11/15/03 .... 52,206
13,000,000 10.375%, 11/15/09 .... 16,603
52,500,000 14.000%, 11/15/11 .... 83,172
63,030,000 12.000%, 08/15/13 .... 96,229
65,170,000 7.500%, 11/15/16 .... 80,954
88,500,000 8.125%, 05/15/21 .... 119,392
26,150,000 8.000%, 11/15/21 .... 34,963
12,400,000 6.375%, 08/15/27 .... 14,252
11,800,000 5.500%, 08/15/28 .... 12,351
U.S. TREASURY NOTE
84,000,000 5.750%, 11/15/00 .... 85,627
46,450,000 5.375%, 02/15/01 .... 47,161
25,000,000 6.625%, 06/30/01 .... 26,152
9,500,000 6.250%, 06/30/02 .... 9,972
27,000,000 5.750%, 10/31/02 .... 27,970
20,000,000 5.250%, 08/15/03 .... 20,509
6,000,000 5.750%, 08/15/03 .... 6,265
70,000,000 4.250%, 11/15/03 .... 69,103
5,000,000 7.875%, 11/15/04 .... 5,793
17,500,000 6.500%, 05/15/05 .... 19,179
5,000,000 5.875%, 11/15/05 .... 5,334
55,550,000 4.750%, 11/15/08 .... 55,984
19,000,000 8.125%, 08/15/21 .... 25,674
--------
959,888
--------
TOTAL GOVERNMENT BONDS
(Cost $2,130,291) ...... 2,145,916
---------
TOTAL BONDS
(Cost $2,951,199) ....... 2,970,207
---------
SHARES
------
PREFERRED STOCK--0.26%
HOLDING AND OTHER INVESTMENT OFFICES--0.26%
160,000 DUKE REALTY INVESTMENTS, INC 7,855
--------
TOTAL PREFERRED STOCK
(Cost $8,000) ........... 7,855
--------
PRINCIPAL
---------
SHORT TERM INVESTMENTS--33.19%
INVESTMENTS OF CASH COLLATERAL FOR
SECURITIES LOANED--18.08%
CERTIFICATES OF DEPOSIT
BARCLAYS BANK PLC
$23,000,000 4.940%, 06/02/99 ..... 23,097
DEUTSCHE BANK AG.
25,000,000 5.410%, 08/16/99 ..... 25,049
VALUE
PRINCIPAL (000)
--------- -----
SOCIETE GENERALE
$10,000,000 5.510%, 05/07/99 ..... $ 10,036
25,000,000 5.480%, 05/20/99 ..... 25,036
COMMERCIAL PAPER
PARK AVENUE RECEIVABLES
25,000,000 0.000%, 01/28/99 ..... 24,902
MEDIUM TERM NOTE
CREDIT SUISSE-FIRST BOSTON
25,000,000 4.650%, 07/09/99 ..... 25,341
REPURCHASE AGREEMENTS
JP MORGAN SECURITIES
5.100%, DATED 12/31/98, DUE 01/04/99
(FULLY COLLATERALIZED BY $87,108,376,
GOVERNMENT NATIONAL MORTGAGE
ASSOCIATION, DUE 01/15/07-11/15/28,
20,000,000 6.500%-9.500%, VALUE $20,499) .... 20,003
JP MORGAN SECURITIES
5.520%, DATED 12/31/98, DUE 01/04/99
(FULLY COLLATERALIZED BY $426,854,308
GOVERNMENT NATIONAL MORTGAGE
ASSOCIATION, DUE 02/15/15-01/15/28,
70,000,000 9.000%, VALUE $71,400) ........... 70,040
LEHMAN BROTHERS, INC
5.100%, DATED 12/31/98, DUE 01/04/99,
(FULLY COLLATERALIZED BY $168,759,859
GOVERNMENT NATIONAL MORTGAGE
ASSOCIATION, DUE 7/20/24-07/20/27,
80,115,000 6.500%-7.000%, VALUE $80,115) .... 80,126
SALOMON SMITH BARNEY
5.000%, DATED 12/31/98, DUE 01/04/99,
(FULLY COLLATERALIZED BY $38,678,034
U.S. TREASURY NOTES, DUE 05/31/99-11/15/04,
40,000,000 5.375%-7.875%, VALUE $40,712) .... 40,005
TIME DEPOSITS
BANK OF MONTREAL
25,000,000 5.160%, 01/29/99 ................. 25,232
BANK OF NOVA SCOTIA TORONTO
24,060,000 5.630%, 02/01/99 ................. 24,064
CANADIAN IMPERIAL BANK OF COMMERCE
25,000,000 5.160%, 01/29/99 ................. 25,232
TORONTO DOMINION LONDON
13,414,000 8.000%, 01/04/99 ................. 13,417
VARIABLE RATE NOTES
BANKERS TRUST CO
40,000,000 4.980%, 09/14/99 ................. 39,992
MERRILL LYNCH & CO
40,000,000 4.990%, 10/14/99 ................. 40,348
NATIONSBANK OF NC, NA
40,000,000 5.030%, 04/22/99 ................. 40,407
--------
552,327
--------
COMMERCIAL PAPER--15.11%
AIRTOUCH COMMUNICATIONS, INC
24,000,000 * 6.075%, 01/14/99 ................. 23,951
ARIZONA PUBLIC SERVICE CO
9,085,000 6.500%, 01/05/99 ................. 9,078
25,000,000 * 6.200%, 01/14/99 ................. 24,949
COX COMMUNICATIONS, INC
25,000,000 *~ 5.860%, 01/11/99 ................. 24,960
CROWN CORK & SEAL CO, INC
35,000,000 *~ 6.200%, 01/11/99 ................. 34,944
15,000,000 * 5.900%, 01/13/99 ................. 14,972
CSX CORP
See notes to financial statements.
28
<PAGE>
BOND MARKET ACCOUNT (CONTINUED)
VALUE
PRINCIPAL (000)
--------- -----
COMMERCIAL PAPER--(CONTINUED)
$10,000,000 *~ 6.120%, 01/06/99 ................. $ 9,991
15,000,000 *~ 6.180%, 01/13/99 ................. 14,972
CVS CORP
15,000,000 *~ 6.040%, 01/06/99 ................. 14,987
15,500,000 *~ 6.250%, 01/14/99 ................. 15,469
EL PASO NATURAL GAS CO
20,000,000 * 5.750%, 01/08/99 ................. 19,977
20,500,000 * 5.700%, 01/11/99 ................. 20,467
HOUSTON INDUSTRIES FINANCE CO LP
1,090,000 ~ 5.500%, 01/04/99 ................. 1,089
MCI WORLDCOM, INC
9,000,000 *^~5.800%, 01/14/99 ................. 8,982
OCCIDENTAL PETROLEUM CORP
20,000,000 *~ 5.850%, 01/08/99 ................. 19,977
PRAXAIR, INC
5,000,000 5.550%, 01/04/99 ................. 4,997
SAFEWAY, INC
35,000,000 *~ 5.850%, 01/11/99 ................. 34,944
SONAT, INC
13,458,000 * 5.800%, 01/14/99 ................. 13,431
TEXAS UTILITIES CO
50,000,000 *~ 5.850%, 01/14/99 ................. 49,899
TEXTRON, INC
28,000,000 * 5.800%, 01/08/99 ................. 27,968
21,865,000 * 6.130%, 01/11/99 ................. 21,830
VOLVO GROUP TREASURY NA, INC
15,000,000 ~ 5.600%, 01/04/99 ................. 14,991
35,000,000 ~ 6.100%, 01/04/99 ................. 34,979
--------
461,804
--------
TOTAL SHORT TERM INVESTMENTS
(Cost $1,014,108) ................... 1,014,131
----------
TOTAL PORTFOLIO
(Cost $3,973,307) .................. $3,992,193
==========
- ------------------------
~ 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 normally to
qualified institutional buyers. At December 31, 1998, the value of these
securities amounted to $117,702,127 or 3.85% of net assets.
* All or a portion of this security has been segregated by the Custodian to
cover securities purchased on a delayed delivery basis.
@ These securities were purchased on a delayed delivery basis.
- ------------------------
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 16.42%
BAA 9.39%
BA 2.71%
The percentage not rated by Moody's amounts to 0.17%.
U.S. Government obligations represent 71.31% of the long term debt portfolio
value and are not reflected in the above ratings.
Moody's ratings are provided by Moody's Investors Services and are not audited.
See notes to financial statements.
29
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENT OF INVESTMENTS--SOCIAL CHOICE ACCOUNT
DECEMBER 31, 1998
SUMMARY BY INDUSTRY
(000)
VALUE %
-------- -----
BONDS
CORPORATE BONDS
ASSET BACKED ............................ $ 46,831 1.40%
CHEMICALS AND ALLIED PRODUCTS ........... 5,213 0.16
COMMUNICATIONS .......................... 43,208 1.29
DEPOSITORY INSTITUTIONS ................. 29,826 0.89
EATING AND DRINKING PLACES .............. 20,358 0.61
ELECTRIC, GAS, AND SANITARY SERVICES .... 30,362 0.91
FOOD AND KINDRED PRODUCTS ............... 15,463 0.46
FOOD STORES ............................. 12,093 0.36
GENERAL MERCHANDISE STORES .............. 26,158 0.78
HEALTH SERVICES ......................... 3,060 0.09
INDUSTRIAL MACHINERY AND EQUIPMENT ...... 20,122 0.60
INSTRUMENTS AND RELATED PRODUCTS ........ 20,620 0.62
INSURANCE CARRIERS ...................... 19,645 0.59
MOTION PICTURES ......................... 23,744 0.71
NONDEPOSITORY INSTITUTIONS .............. 20,087 0.60
PETROLEUM AND COAL PRODUCTS ............. 5,055 0.15
PRINTING AND PUBLISHING ................. 7,122 0.21
SECURITY AND COMMODITY BROKERS .......... 12,186 0.37
TRANSPORTATION BY AIR ................... 14,161 0.43
--------- -----
TOTAL CORPORATE BONDS
(Cost $370,672) 375,314 11.23
--------- -----
GOVERNMENT BONDS
AGENCY SECURITIES ....................... 129,363 3.87
FOREIGN GOVERNMENT BONDS ................ 5,541 0.16
MORTGAGE BACKED SECURITIES .............. 372,138 11.13
U.S. TREASURY SECURITIES ................ 389,091 11.64
--------- -----
TOTAL GOVERNMENT BONDS
(Cost $880,172) ......................... 896,133 26.80
--------- -----
TOTAL BONDS
(COST $1,250,844) ....................... 1,271,447 38.03
--------- -----
COMMON STOCK
APPAREL AND ACCESSORY STORES ............ 7,602 0.23
APPAREL AND OTHER TEXTILE PRODUCTS ...... 1,230 0.04
AUTO REPAIR, SERVICES AND PARKING ....... 88 0.00
BUILDING MATERIALS AND GARDEN SUPPLIES .. 23,869 0.71
BUSINESS SERVICES ....................... 124,587 3.73
CHEMICALS AND ALLIED PRODUCTS ........... 276,191 8.26
COMMUNICATIONS .......................... 232,820 6.96
DEPOSITORY INSTITUTIONS ................. 172,956 5.17
EATING AND DRINKING PLACES .............. 19,992 0.60
ELECTRIC, GAS, AND SANITARY SERVICES .... 106,313 3.18
ELECTRONIC AND OTHER ELECTRIC EQUIPMENT . 68,151 2.04
ENGINEERING AND MANAGEMENT SERVICES ..... 1,865 0.06
FABRICATED METAL PRODUCTS ............... 57 0.00
FOOD AND KINDRED PRODUCTS ............... 140,198 4.19
FOOD STORES ............................. 13,591 0.41
FURNITURE AND HOMEFURNISHINGS STORES .... 807 0.02
GENERAL BUILDING CONTRACTORS ............ 1,627 0.05
GENERAL MERCHANDISE STORES .............. 61,102 1.83
HEALTH SERVICES ......................... 9,072 0.27
HOLDING AND OTHER INVESTMENT OFFICES .... 5,342 0.16
INDUSTRIAL MACHINERY AND EQUIPMENT ...... 216,815 6.49
INSTRUMENTS AND RELATED PRODUCTS ........ 54,272 1.62
INSURANCE AGENTS, BROKERS AND SERVICE ... 7,949 0.24
INSURANCE CARRIERS ...................... 122,763 3.67
MISCELLANEOUS MANUFACTURING INDUSTRIES .. 5,061 0.15
MISCELLANEOUS RETAIL .................... 13,545 0.41
MOTION PICTURES ......................... 17,845 0.53
NONDEPOSITORY INSTITUTIONS .............. 88,521 2.65
OIL AND GAS EXTRACTION .................. 45,866 1.37
PAPER AND ALLIED PRODUCTS ............... 26,959 0.81
PERSONAL SERVICES ....................... 4,765 0.14
PETROLEUM AND COAL PRODUCTS ............. 12,055 0.36
PRIMARY METAL INDUSTRIES ................ 5,246 0.16
PRINTING AND PUBLISHING ................. 47,991 1.44
RAILROAD TRANSPORTATION ................. 13,347 0.40
REAL ESTATE ............................. 567 0.02
RUBBER AND MISCELLANEOUS
PLASTIC PRODUCTS ....................... 15,520 0.46
SECURITY AND COMMODITY BROKERS .......... 25,007 0.75
STONE, CLAY, AND GLASS PRODUCTS ......... 3,882 0.12
TRANSPORTATION BY AIR ................... 9,522 0.28
TRANSPORTATION EQUIPMENT ................ 6,106 0.18
TRUCKING AND WAREHOUSING ................ 1,093 0.03
WHOLESALE TRADE-DURABLE GOODS ........... 11,083 0.33
WHOLESALE TRADE-NONDURABLE GOODS ........ 17,930 0.54
--------- -----
TOTAL COMMON STOCK
(Cost $1,052,125) ....................... 2,041,170 61.06
--------- -----
SHORT TERM INVESTMENTS
INVESTMENTS OF CASH COLLATERAL FOR
SECURITIES LOANED ..................... 192,646 5.76
COMMERCIAL PAPER ....................... 186,897 5.59
--------- -----
TOTAL SHORT TERM INVESTMENTS
(Cost $379,529) ......................... 379,543 11.35
--------- -----
TOTAL PORTFOLIO
(Cost $2,682,498) ....................... 3,692,160 110.44
OTHER ASSETS & LIABILITIES, NET ........ (349,153) (10.44)
---------- ------
NET ASSETS $3,343,007 100.00%
========== ======
See notes to financial statements.
30
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENT OF INVESTMENTS--SOCIAL CHOICE ACCOUNT
DECEMBER 31, 1998
MOODY'S VALUE
PRINCIPAL RATINGS (000)
--------- ------- -----
BONDS--38.03%
CORPORATE BONDS--11.23%
ASSET BACKED--1.40%
AMERICAN EXPRESS MASTER TRUST
SERIES 1994-2 (CLASS A)
$3,125,000 7.600%, 08/15/02 ..... AAA $ 3,286
CHASE CREDIT CARD MASTER
TRUST SERIES 1997-2 (CLASS B)
8,000,000 6.450%, 04/15/03 ..... A2 8,127
CITIBANK CREDIT CARD MASTER
TRUST SERIES 1997-2 (CLASS B)
3,000,000 6.700%, 02/15/04 ..... A1 3,058
FLEETWOOD CREDIT GRANTOR
TRUST SERIES 1993-B (CLASS A)
2,159,855 4.950%, 08/15/08 ..... AAA 2,120
FIRST U.S.A. CREDIT CARD
MASTER TRUST SERIES 1998-9
(CLASS A)
4,000,000 5.280%, 09/18/06 ..... AAA 3,971
NATIONSCREDIT GRANTOR
TRUST SERIES 1997-2
(CLASS A1)
3,484,865 6.350%, 04/15/14 ..... AAA 3,556
NATIONSBANK CREDIT CARD
MASTER TRUST SERIES
1993-2 (CLASS B)
7,000,000 * 6.250%, 12/15/05 ..... A2 7,079
STANDARD CREDIT CARD MASTER
TRUST SERIES 1991-6 (CLASS B)
2,570,000 8.350%, 01/07/00 ..... A2 2,570
UCFC HOME EQUITY LOAN
SERIES 1998-A (CLASS A3)
7,500,000 6.255%, 01/15/18 ..... AAA 7,512
UCFCM SERIES 1997-2 (CLASS B1)
(SUB DEB)
6,000,000 7.370%, 02/15/18 ..... BAA2 5,552
--------
46,831
--------
CHEMICALS AND ALLIED PRODUCTS--0.16%
MERCK & CO, INC
(MEDUIM TERM NOTE)
5,000,000 5.760%, 05/03/37 ..... AAA 5,213
--------
COMMUNICATIONS--1.29%
AMERITECH CAPITAL FUNDING
CORP (GUARANTEE NOTE)
7,000,000 5.650%, 01/15/01 ..... AA3 7,068
BELLSOUTH
TELECOMMUNICATIONS NOTE
8,000,000 6.000%, 06/15/02 ..... AAA 8,210
COX COMMUNICIATIONS, INC
(CLASS A) NOTE
3,500,000 8.700%, 06/15/99 ..... BAA2 3,551
COX ENTERPRISES SERIES
1997-1 (PASS THRU CERT)
5,000,000 ^ 6.250%, 08/26/99 ..... BAA1 5,028
NEW YORK TELEPHONE CO DEB
3,000,000 7.250%, 02/15/24 ..... A2 3,212
7,000,000 9.375%, 07/15/31 ..... A2 7,998
VIACOM INTERNATIONAL, INC
(SUB DEB)
$ 205,000 8.000%, 07/07/06 ..... BA2 $ 214
MCI WORLDCOM, INC (SR NOTE)
7,651,000 9.375%, 01/15/04 ..... BAA2 7,927
--------
43,208
--------
DEPOSITORY INSTITUTIONS--0.89%
CAPITAL ONE BANK (SR NOTE)
10,000,000 6.260%, 05/07/01 ..... BAA3 9,880
FIRST UNION CORP (SUB NOTE)
10,000,000 6.300%, 04/15/08 ..... A2 10,427
MBNA CORP (SR NOTE)
4,030,000 6.500%, 09/15/00 ..... BAA2 4,040
WACH0VIA CAPITAL TRUST DEB
5,000,000 ^ 7.965%, 06/01/27 ..... AA3 5,479
--------
29,826
--------
EATING AND DRINKING PLACES--0.61%
MCDONALD'S CORP NOTE
13,000,000 5.900%, 05/11/01 ..... AA2 13,203
7,000,000 6.000%, 06/23/02 ..... AA2 7,155
--------
20,358
--------
ELECTRIC, GAS, AND SANITARY SERVICES--0.91%
EL PASO NATURAL GAS CO NOTE
5,000,000 6.750%, 11/15/03 ..... BAA2 5,167
IDAHO POWER CO
(FIRST MORTGAGE BOND)
9,000,000 8.650%, 01/01/00 ..... A2 9,277
PACIFICORP
(FIRST MORTGAGE BOND)
5,000,000 5.650%, 11/01/06 ..... A2 5,007
PUGET SOUND POWER &
LIGHT CO (MEDIUM TERM NOTE)
5,000,000 8.060%, 06/19/06 ..... BAA1 5,677
SONAT, INC NOTE
5,000,000 6.750%, 10/01/07 ..... A3 5,234
--------
30,362
--------
FOOD AND KINDRED PRODUCTS--0.46%
COCA COLA
(PUTABLE ASSET TRUST)
10,000,000 ^ 6.000%, 03/15/01 ..... A3 10,163
HEINZ (H.J.) CO DEB
5,000,000 6.375%, 07/15/28 ..... A1 5,300
--------
15,463
--------
FOOD STORES--0.36%
KROGER CO (NOTE)
2,000,000 10.000%, 05/01/99 .... BA2 2,027
10,000,000 6.000%, 07/01/00 .... BAA3 10,066
--------
12,093
--------
GENERAL MERCHANDISE STORES--0.78%
DILLARDS, INC NOTE
5,000,000 5.790%, 11/15/01 ..... BAA1 4,958
See notes to financial statements.
31
<PAGE>
SOCIAL CHOICE ACCOUNT (CONTINUED)
MOODY'S VALUE
PRINCIPAL RATINGS (000)
--------- ------- -----
GENERAL MERCHANDISE STORES -- (CONTINUED)
SEARS ROEBUCK ACCEPTANCE
CORP (MEDIUM TERM NOTE)
$5,000,000 6.990%, 09/30/02 ..... A2 $ 5,219
WAL-MART STORES, INC NOTE
10,000,000 5.850%, 06/01/00 ..... AA2 10,066
5,500,000 8.625%, 04/01/01 ..... AA2 5,915
--------
26,158
--------
HEALTH SERVICES--0.09%
TENET HEALTHCARE CORP
(SR NOTE)
3,000,000 7.875%, 01/15/03 ..... BA1 3,060
--------
INDUSTRIAL MACHINERY AND EQUIPMENT--0.60%
INTERNATIONAL BUSINESS
MACHINES CORP
10,000,000 5.250%, 12/01/03 ..... A1 10,035
INTERNATIONAL BUSINESS
MACHINES
CREDIT CORP (SR NOTE)
10,000,000 5.790%, 03/20/00 ..... A1 10,087
--------
20,122
--------
INSTRUMENTS AND RELATED PRODUCTS--0.62%
BECTON DICKINSON & CO DEB
10,000,000 6.700%, 08/01/28 ..... A1 10,614
XEROX CORP NOTE
10,000,000 5.500%, 11/15/03 ..... A2 10,006
--------
20,620
--------
INSURANCE CARRIERS--0.59%
AMERICAN GENERAL
FINANCE (SR NOTE)
10,000,000 5.750%, 11/01/03 ..... A 10,027
CITIGROUP CAPITAL DEB
2,000,000 7.750%, 12/01/36 ..... AA3 2,186
USF&G CORP (SR NOTE)
7,000,000 8.375%, 06/15/01 ..... A2 7,432
--------
19,645
--------
MOTION PICTURES--0.71%
WALT DISNEY CO NOTE
10,000,000 5.600%, 01/13/00 ..... A2 10,051
5,000,000 5.250%, 11/10/03 ..... A2 4,960
TIME WARNER
ENTERTAINMENT DEB
6,500,000 10.150%, 05/01/12 .... BAA2 8,733
--------
23,744
--------
NONDEPOSITORY INSTITUTIONS--0.60%
ASSOCIATES CORP NA (SR NOTE)
5,000,000 5.750%, 11/01/03 ..... AA3 5,045
CAPITAL ONE FINANCIAL
CORP NOTE
5,000,000 7.125%, 08/01/08 ..... BA1 4,957
FINOVA CAPITAL CORP NOTE
10,000,000 6.375%, 05/15/05 ..... BAA1 10,085
--------
20,087
--------
PETROLEUM AND COAL PRODUCTS--0.15%
EQUISTAR CHEMICALS NOTE
5,000,000 10.000%, 06/01/99 .... BAA3 5,055
--------
PRINTING AND PUBLISHING--0.21%
TIME WARNER, INC
(GUARANTEE NOTE)
$ 7,000,000 6.625%, 05/15/29 ..... BAA3 $ 7,122
--------
SECURITY AND COMMODITY BROKERS--0.37%
MORGAN STANLEY DEAN WITTER
(SR NOTE)
7,000,000 6.090%, 03/09/11 ..... A1 7,093
SALOMON SMITH BARNEY
HOLDINGS NOTE
5,000,000 6.375%, 10/01/04 ..... AA3 5,093
--------
12,186
--------
TRANSPORTATION BY AIR--0.43%
2,379,889 DELTA AIRLINES, INC SERIES
1992-B1 (PASS THRU CERT)
8.270%, 09/23/07 ..... BAA1 2,554
DELTA AIRLINES, INC DEB
4,906,888 8.950%, 01/12/12 ..... BAA1 5,543
UNITED AIR LINES, INC DEB
4,975,000 9.750%, 08/15/21 ..... BAA3 6,064
--------
14,161
--------
TOTAL CORPORATE BONDS
(Cost $370,672) ......... 375,314
--------
GOVERNMENT BONDS--26.80%
AGENCY SECURITIES--3.87%
FEDERAL HOME LOAN MORTGAGE
CORP (FHLMC)
8,000,000 4.750%, 12/14/01 ..... 7,968
5,000,000 7.090%, 11/24/06 ..... 5,065
25,500,000 5.125%, 10/15/08 ..... 25,257
FEDERAL NATIONAL MORTGAGE
ASSOCIATION (FNMA)
11,000,000 5.570%, 03/17/00 ..... 11,074
4,585,000 5.970%, 10/02/00 ..... 4,660
1,000,000 8.250%, 12/18/00 ..... 1,060
18,500,000 4.750%, 11/14/03 ..... 18,263
1,000,000 7.400%, 07/01/04 ..... 1,102
9,000,000 7.875%, 02/24/05 ..... 10,211
8,000,000 5.800%, 02/22/06 ..... 8,211
5,000,000 6.210%, 11/07/07 ..... 5,284
STUDENT LOAN MARKETING
ASSOCIATION (SLMA)
31,000,000 * 5.570%, 03/17/00 ..... 31,208
--------
129,363
--------
FOREIGN GOVERNMENT BONDS--0.16%
ONTARIO PROVINCE
5,000,000 7.625%, 06/22/04 ..... AA3 5,541
--------
MORTGAGE BACKED SECURITIES--11.13%
FEDERAL HOME LOAN
MORTGAGE CORP (FHLMC)
576,818 6.000%, 10/15/10 ..... 576
3,582,333 6.000%, 03/01/11 ..... 3,605
953,612 7.000%, 05/01/23 ..... 973
234,626 8.500%, 05/01/27 ..... 246
767,873 8.500%, 07/01/27 ..... 804
3,514,013 8.500%, 08/01/27 ..... 3,678
See notes to financial statements.
32
<PAGE>
SOCIAL CHOICE ACCOUNT (CONTINUED)
VALUE
PRINCIPAL (000)
--------- -----
MORTGAGE-BACKED SECURITIES--(CONTINUED)
FEDERAL NATIONAL
MORTGAGE ASSOCIATION (FNMA)
$ 2,967,850 6.000%, 12/01/02 ................. $ 2,984
348,168 8.500%, 02/01/05 ................. 357
10,000,000 5.855%, 12/01/08 ................. 10,062
1,182,484 7.500%, 06/01/11 ................. 1,216
875,573 8.000%, 06/01/11 ................. 901
1,054,437 8.000%, 07/01/11 ................. 1,086
196,425 7.500%, 08/01/11 ................. 202
479,402 7.500%, 09/01/11 ................. 493
1,055,175 7.500%, 10/01/11 ................. 1,085
7,726,817 7.000%, 04/01/12 ................. 7,894
4,773,125 6.500%, 09/01/12 ................. 4,842
13,749,986 6.500%, 03/01/13 ................. 13,948
10,000,000 @ 6.000%, 02/25/14 ................. 10,013
202,132 8.500%, 11/01/14 ................. 212
2,054,722 8.000%, 03/01/23 ................. 2,134
4,279,409 @ 8.000%, 07/01/24 ................. 4,433
219,183 8.500%, 07/01/26 ................. 230
391,306 8.500%, 07/01/27 ................. 410
2,219,832 8.500%, 11/01/27 ................. 2,325
488,847 8.500%, 01/01/28 ................. 512
11,401,392 8.500%, 02/01/28 ................. 11,939
475,372 8.500%, 06/01/28 ................. 498
885,565 8.500%, 08/01/28 ................. 927
456,210 8.500%, 09/01/28 ................. 478
4,977,213 6.000%, 10/01/28 ................. 4,913
13,000,000 @ 6.000%, 02/25/29 ................. 12,823
87,500,000 @ 6.500%, 02/25/29 ................. 87,979
45,000,000 @ 7.000%, 02/25/29 ................. 45,865
GOVERNMENT NATIONAL
MORTGAGE ASSOCIATION (GNMA)
544,755 8.500%, 09/15/09 ................. 569
451,959 8.500%, 10/15/09 ................. 472
315,489 8.500%, 12/15/09 ................. 330
3,106,715 9.000%, 12/15/09 ................. 3,314
2,730,902 9.000%, 12/15/17 ................. 2,933
186,368 9.000%, 03/15/20 ................. 200
183,776 9.000%, 08/15/20 ................. 198
3,164,606 6.875%, 03/20/22 ................. 3,215
2,616,976 8.000%, 06/15/22 ................. 2,727
3,308,266 6.625%, 07/20/22 ................. 3,362
3,293,188 7.000%, 10/20/22 ................. 3,344
3,008,157 6.875%, 02/20/23 ................. 3,055
3,052,284 6.625%, 07/20/23 ................. 3,091
876,907 6.500%, 08/15/23 ................. 887
526,851 6.500%, 09/15/23 ................. 533
4,450,547 7.000%, 12/20/23 ................. 4,515
2,547,556 6.875%, 05/20/24 ................. 2,588
3,627,000 6.500%, 04/20/27 ................. 3,670
4,581,638 7.000%, 04/15/28 ................. 4,690
3,241,769 7.000%, 05/15/28 ................. 3,319
9,654,092 7.500%, 08/15/28 ................. 9,963
17,838,337 7.500%, 09/15/28 ................. 18,393
29,905,791 7.000%, 10/15/28 ................. 30,614
25,250,000 6.500%, 12/15/28 ................. 25,513
--------
372,138
--------
U.S. TREASURY SECURITIES--11.64%
U.S. TREASURY BOND
8,300,000 11.875%, 11/15/03 ................ 10,833
8,100,000 14.000%, 11/15/11 ................ 12,832
20,000,000 12.000%, 08/15/13 ................ 30,534
39,000,000 7.500%, 11/15/16 ................. 48,445
32,600,000 8.125%, 08/15/19 ................. 43,536
14,100,000 8.125%, 05/15/21 ................. 19,022
26,400,000 8.000%, 11/15/21 ................. 35,298
11,600,000 6.375%, 08/15/27 ................. 13,333
U.S. TREASURY NOTE
15,000,000 5.375%, 02/15/01 ................. 15,230
20,000,000 5.625%, 02/28/01 ................. 20,400
6,000,000 6.625%, 06/30/01 ................. 6,277
12,000,000 7.500%, 11/15/01 ................. 12,904
11,700,000 6.250%, 08/31/02 ................. 12,298
35,500,000 5.750%, 10/31/02 ................. 36,776
34,500,000 4.250%, 11/15/03 ................. 34,058
10,000,000 6.500%, 05/15/05 ................. 10,959
10,800,000 7.000%, 07/15/06 ................. 12,297
13,950,000 4.750%, 11/15/08 ................. 14,059
--------
389,091
--------
TOTAL GOVERNMENT BONDS
(Cost $880,172) .................... 896,133
--------
TOTAL BONDS
(Cost $1,250,844) ................... 1,271,447
---------
SHARES
COMMON STOCK--61.06%
APPAREL AND ACCESSORY STORES--0.23%
10,753(degree)ABERCROMBIE & FITCH CO (CLASS A) .. 761
121,620 GAP, INC ........................... 6,841
--------
7,602
--------
APPAREL AND OTHER TEXTILE PRODUCTS--0.04%
15,800 LIZ CLAIBORNE, INC ................. 499
15,600 VF CORP ............................ 731
--------
1,230
--------
AUTO REPAIR, SERVICES AND PARKING--0.00%
3,400 RYDER SYSTEM, INC .................. 88
--------
BUILDING MATERIALS AND GARDEN SUPPLIES--0.71%
390,100 HOME DEPOT, INC .................... 23,869
--------
BUSINESS SERVICES--3.73%
163,900 AUTOMATIC DATA PROCESSING, INC ..... 13,143
120,025 COMPUTER ASSOCIATES
INTERNATIONAL, INC ................ 5,116
7,840(degree)IMATION CORP ...................... 137
98,700 IMS HEALTH, INC .................... 7,446
562,700(degree)MICROSOFT CORP .................... 78,039
38,566 NIELSEN MEDIA RESEARCH ............. 694
82,200(degree)NOVELL, INC ....................... 1,490
214,862(degree)ORACLE CORP ....................... 9,266
108,100(degree)SUN MICROSYSTEMS, INC ............. 9,256
--------
124,587
--------
CHEMICALS AND ALLIED PRODUCTS--8.26%
189,200 AIR PRODUCTS & CHEMICALS, INC ...... 7,568
2,235(degree)ALLERGAN SPECIALTY
THERAPEUTICS, INC (CLASS A) ....... 21
65,100 ALLERGAN, INC ...................... 4,215
57,200(degree)ALZA CORP ......................... 2,989
6,680(degree)ALZA CORP WTS 12/31/99 ............ 4
108,700(degree)AMGEN, INC ........................ 11,366
137,200 AVON PRODUCTS, INC ................. 6,071
See notes to financial statements.
33
<PAGE>
SOCIAL CHOICE ACCOUNT (CONTINUED)
VALUE
SHARES (000)
- ------ -----
CHEMICALS AND ALLIED PRODUCTS--(CONTINUED)
40,300 CABOT CORP ......................... $ 1,126
113,700 CLOROX CO .......................... 13,282
147,800 COLGATE PALMOLIVE CO ............... 13,727
2,405(degree)CRESCENDO PHARMACEUTICALS CORP .... 33
49,200(degree)FOREST LABORATORIES, INC .......... 2,617
18,969 FULLER (H.B.) CO ................... 913
36,800(degree)GENZYME CORP (GENERAL DIVISION) ... 1,831
3,588(degree)GENZYME CORP (TISSUE REPAIR DIVISION) 8
104,976(degree)GENZYME-MOLECULAR ONCOLOGY ........ 341
45,750 HANNA (M.A.) CO .................... 563
62,500 INTERNATIONAL FLAVORS &
FRAGRANCES, INC ................... 2,762
23,400(degree)IVAX CORP ......................... 291
524,600 JOHNSON & JOHNSON CO ............... 44,001
88,200 LYONDELL CHEMICAL CO ............... 1,588
54,500 MALLINCKRODT, INC .................. 1,679
400,400 MERCK & CO, INC .................... 59,134
58,200 MYLAN LABORATORIES, INC ............ 1,833
70,700 NALCO CHEMICAL CORP ................ 2,192
9,000 NCH CORP ........................... 536
148,600 PRAXAIR, INC ....................... 5,238
553,000 PROCTER & GAMBLE CO ................ 50,496
629,200 SCHERING-PLOUGH CORP ............... 34,763
80,462 SCHULMAN (A.), INC ................. 1,825
108,200 SIGMA ALDRICH CORP ................. 3,178
--------
276,191
--------
COMMUNICATIONS--6.96%
124,882(degree)AIRTOUCH COMMUNICATIONS, INC ...... 9,007
82,750(degree)ALCATEL S.A. ADR .................. 2,022
325,400 AMERITECH CORP ..................... 20,622
431,500 AT & T CORP ........................ 32,470
497,164 BELL ATLANTIC CORP ................. 26,350
670,000 BELLSOUTH CORP ..................... 33,416
6,300 COMCAST CORP (CLASS A) ............. 362
73,250 COMCAST CORP (CLASS A) SPECIAL ..... 4,299
55,745(degree)COX COMMUNICATIONS, INC (CLASS A) . 3,853
61,368(degree)LIBERTY MEDIA GROUP (CLASS A) ..... 2,827
376,942(degree)MCI WORLDCOM, INC ................. 27,046
161,144(degree)MEDIA ONE GROUP, INC .............. 7,574
524,878 SBC COMMUNICATIONS, INC ............ 28,147
95,500 SPRINT CORP (FON GROUP) ............ 8,034
47,750(degree)SPRINT CORP (PCS GROUP) ........... 1,104
120,794 (degree)TELE-COMMUNICATIONS, INC (CLASS A) 6,681
106,812 (degree)TELECOM-TCI VENTURES GROUP
(CLASS A) ......................... 2,517
166,444 U.S. WEST, INC ..................... 10,756
76,931(degree)VIACOM, INC (CLASS B) ............. 5,693
3,523(degree)VIACOM, INC (CLASS B) WTS 07/07/99 40
--------
232,820
--------
DEPOSITORY INSTITUTIONS--5.17%
204,486 BANK OF NEW YORK CO, INC ........... 8,231
323,767 BANK ONE CORP ...................... 16,532
544,448 BANKAMERICA CORP ................... 32,735
13,600 BANKERS TRUST CORP ................. 1,162
251,476 CHASE MANHATTAN CORP ............... 17,116
320,485 FIRST UNION CORP ................... 19,489
143,134 FLEET FINANCIAL GROUP, INC ......... 6,396
37,700 KEYCORP ............................ 1,206
245,925 MBNA CORP .......................... 6,133
77,500 MORGAN (J.P.) & CO, INC ............ 8,142
83,100 NATIONAL CITY CORP ................. 6,025
104,600 PNC BANK CORP ...................... 5,661
99,000 SUNTRUST BANKS, INC ................ 7,574
203,562 U.S. BANCORP ....................... 7,226
60,900 WACHOVIA CORP ...................... 5,325
135,516 WASHINGTON MUTUAL, INC ............. 5,175
471,440 WELLS FARGO CO ..................... 18,828
--------
172,956
--------
EATING AND DRINKING PLACES--0.60%
102,200 DARDEN RESTAURANTS, INC ............ 1,840
236,900 MCDONALD'S CORP .................... 18,152
--------
19,992
--------
ELECTRIC, GAS, AND SANITARY SERVICES--3.18%
142,494 COLUMBIA ENERGY GROUP .............. 8,229
229,100 CONSOLIDATED NATURAL GAS CO ........ 12,371
107,900 EL PASO ENERGY CORP ................ 3,756
87,093 EQUITABLE RESOURCES, INC ........... 2,537
43,200 IDACORP, INC ....................... 1,563
253,057 KEYSPAN ENERGY CORP ................ 7,845
216,500 LOUISVILLE GAS & ELECTRIC
ENERGY CORP ....................... 6,130
88,133 MCN ENERGY GROUP, INC .............. 1,680
87,700 NICOR, INC ......................... 3,705
237,400 NIPSCO INDUSTRIES, INC ............. 7,226
182,000 OGE ENERGY CORP .................... 5,278
499,131 PACIFICORP ......................... 10,513
78,300 PEOPLES ENERGY CORP ................ 3,122
279,800 POTOMAC ELECTRIC POWER CO .......... 7,362
146,100 PUGET SOUND ENERGY, INC ............ 4,073
255,900 SONAT, INC ......................... 6,925
176,500 TECO ENERGY, INC ................... 4,975
289,300 WILLIAMS COS, INC .................. 9,023
--------
106,313
--------
ELECTRONIC AND OTHER ELECTRIC EQUIPMENT--2.04%
40,800(degree)ADVANCED MICRO DEVICES, INC ....... 1,181
13,800 BALDOR ELECTRIC CO ................. 279
17,900(degree)GLENAYRE TECHNOLOGIES, INC ........ 79
428,600 INTEL CORP ......................... 50,816
75,900(degree)MICRON TECHNOLOGY, INC ............ 3,838
36,170 MOLEX, INC ......................... 1,379
45,400(degree)NATIONAL SEMICONDUCTOR CORP ....... 613
25,400 RAYCHEM CORP ....................... 821
48,400(degree)SENSORMATIC ELECTRONICS CORP ...... 336
53,100(degree)TELLABS, INC ...................... 3,641
21,300 THOMAS & BETTS CORP ................ 923
50,605(degree)VISHAY INTERTECHNOLOGY, INC ....... 734
63,400 WHIRLPOOL CORP ..................... 3,511
--------
68,151
--------
ENGINEERING AND MANAGEMENT SERVICES--0.06%
59,100 DUN & BRADSTREET CORP .............. 1,865
--------
FABRICATED METAL PRODUCTS--0.00%
4,410 MARK IV INDUSTRIES, INC ............ 57
--------
FOOD AND KINDRED PRODUCTS--4.19%
154,300 BESTFOODS, INC ..................... 8,216
237,000 CAMPBELL SOUP CO ................... 13,035
729,000 COCA COLA CO ....................... 48,752
96,100 COCA COLA ENTERPRISES, INC ......... 3,436
34,700 CONAGRA, INC ....................... 1,093
110,500 GENERAL MILLS, INC ................. 8,591
214,150 HEINZ (H.J.) CO .................... 12,126
105,200 HERSHEY FOODS CORP ................. 6,542
See notes to financial statements.
34
<PAGE>
SOCIAL CHOICE ACCOUNT (CONTINUED)
VALUE
SHARES (000)
- ------ -----
FOOD AND KINDRED PRODUCTS--(CONTINUED)
197,500 KELLOGG CO ......................... $ 6,740
5,800 MCCORMICK & CO, INC (NON-VOTE) ..... 196
418,400 PEPSICO, INC ....................... 17,128
105,900 QUAKER OATS CO ..................... 6,301
21,790(degree)VLASIC FOODS INTERNATIONAL, INC ... 519
98,800 WHITMAN CORP ....................... 2,507
56,000 WRIGLEY (WM) JR CO ................. 5,016
--------
140,198
--------
FOOD STORES--0.41%
98,100 ALBERTSONS, INC .................... 6,248
86,600 AMERICAN STORES CO ................. 3,199
68,500(degree)KROGER CO ......................... 4,144
--------
13,591
--------
FURNITURE AND HOMEFURNISHINGS STORES--0.02%
19,597 TANDY CORP ......................... 807
--------
GENERAL BUILDING CONTRACTORS--0.05%
28,600 HILLENBRAND INDUSTRIES, INC ........ 1,627
--------
GENERAL MERCHANDISE STORES--1.83%
66,900 DAYTON HUDSON CORP ................. 3,629
1,000(degree)FEDERATED DEPARTMENT STORES, INC .. 44
148,600(degree)K MART CORP ....................... 2,275
33,600 MAY DEPARTMENT STORES CO ........... 2,029
60,200 PENNEY (J.C.) CO, INC .............. 2,822
104,800 SEARS ROEBUCK & CO ................. 4,454
563,000 WAL-MART STORES, INC ............... 45,849
--------
61,102
--------
HEALTH SERVICES--0.27%
235,755 COLUMBIA/HCA HEALTHCARE CORP ....... 5,835
123,300(degree)TENET HEALTHCARE CORP ............. 3,237
--------
9,072
--------
HOLDING AND OTHER INVESTMENT OFFICES--0.16%
119,700 WEINGARTEN REALTY INVESTORS, INC ... 5,342
--------
INDUSTRIAL MACHINERY AND EQUIPMENT--6.49%
48,300(degree)APPLE COMPUTER, INC ............... 1,977
116,600(degree)APPLIED MATERIALS, INC ............ 4,977
369,525(degree)CISCO SYSTEMS, INC ................ 34,297
430,510 COMPAQ COMPUTER CORP ............... 18,055
30,600 CUMMINS ENGINE CO, INC ............. 1,086
106,200 DEERE & CO ......................... 3,518
296,400(degree)DELL COMPUTER CORP ................ 21,693
10,462 DIEBOLD, INC ....................... 373
133,200(degree)EMC CORP .......................... 11,322
70,200 GRACO, INC ......................... 2,071
288,500 HEWLETT-PACKARD CO ................. 19,708
271,000 INTERNATIONAL BUSINESS
MACHINES CORP ..................... 50,067
265,200 MINNESOTA MINING &
MANUFACTURING CO .................. 18,862
24,700 NORDSON CORP ....................... 1,269
137,200 PITNEY BOWES, INC .................. 9,064
90,400(degree)SMITH INTERNATIONAL, INC .......... 2,277
30,238 TIMKEN CO .......................... 571
207,170 TYCO INTERNATIONAL LTD ............. 15,628
--------
216,815
--------
INSTRUMENTS AND RELATED PRODUCTS--1.62%
30,800 BAUSCH & LOMB, INC ................. $ 1,848
242,700 BECTON DICKINSON & CO .............. 10,360
53,500 BIOMET, INC ........................ 2,153
118,800(degree)BOSTON SCIENTIFIC CORP ............ 3,185
63,200 GUIDANT CORP ....................... 6,968
184,300 MEDTRONIC, INC ..................... 13,684
9,898(degree)ST. JUDE MEDICAL, INC ............. 274
133,900 XEROX CORP ......................... 15,800
--------
54,272
--------
INSURANCE AGENTS, BROKERS AND SERVICE--0.24%
136,020 MARSH & MCLENNAN COS, INC .......... 7,949
--------
INSURANCE CARRIERS--3.67%
255,306 ALLSTATE CORP ...................... 9,861
152,800 AMERICAN GENERAL CORP .............. 11,918
415,517 AMERICAN INTERNATIONAL GROUP, INC .. 40,149
202 (degree)BERKSHIRE HATHAWAY, INC (CLASS A) 14,140
22 (degree)BERKSHIRE HATHAWAY, INC (CLASS B) 52
49,700 CHUBB CORP ......................... 3,224
69,200 CIGNA CORP ......................... 5,350
635,952 CITIGROUP, INC ..................... 31,480
10,500(degree)CNA FINANCIAL CORP ................ 423
56,053 CONSECO, INC ....................... 1,713
18,200 JEFFERSON-PILOT CORP ............... 1,365
1,400 SAFECO CORP ........................ 60
2,400 ST. PAUL COS, INC .................. 83
25,500 TRANSAMERICA CORP .................. 2,945
--------
122,763
--------
MISCELLANEOUS MANUFACTURING INDUSTRIES--0.15%
60,100 HASBRO, INC ........................ 2,171
126,691 MATTEL, INC ........................ 2,890
--------
5,061
--------
MISCELLANEOUS RETAIL--0.41%
84,176 CVS CORP ........................... 4,630
45,950(degree)TOYS R US, INC .................... 775
139,000 WALGREEN CO ........................ 8,140
--------
13,545
--------
MOTION PICTURES--0.53%
594,825 DISNEY (WALT) CO ................... 17,845
--------
NONDEPOSITORY INSTITUTIONS--2.65%
198,400 AMERICAN EXPRESS CO ................ 20,286
253,400 ASSOCIATES FIRST CAPITAL CORP ...... 10,738
402,300 FEDERAL NATIONAL MORTGAGE
ASSOCIATION ....................... 29,770
231,700 FREDDIE MAC ........................ 14,930
232,226 HOUSEHOLD INTERNATIONAL, INC ....... 9,202
74,900 SLM HOLDINGS CORP .................. 3,595
--------
88,521
--------
OIL AND GAS EXTRACTION--1.37%
220,300 ANADARKO PETROLEUM CORP ............ 6,802
234,200 APACHE CORP ........................ 5,928
126,000(degree)BJ SERVICES CO .................... 1,969
163,400 HELMERICH & PAYNE, INC ............. 3,166
104,600 MITCHELL ENERGY & DEVELOPMENT
CORP (CLASS A) .................... 1,196
See notes to financial statements.
35
<PAGE>
SOCIAL CHOICE ACCOUNT (CONTINUED)
VALUE
SHARES (000)
- ------ -----
OIL AND GAS EXTRACTION--(CONTINUED)
60,200 MITCHELL ENERGY & DEVELOPMENT
CORP (CLASS B) .................... $ 700
150,900(degree)NABORS INDUSTRIES, INC ............ 2,047
151,947 NOBLE AFFILIATES, INC .............. 3,742
163,266(degree)NOBLE DRILLING CORP ............... 2,112
224,594(degree)ORYX ENERGY CO .................... 3,018
155,900(degree)PARKER DRILLING CO ................ 497
142,600(degree)ROWAN COS, INC .................... 1,426
490,700(degree)SANTA FE ENERGY RESOURCES, INC .... 3,619
153,917 TRANSOCEAN OFFSHORE, INC ........... 4,127
409,815 UNION PACIFIC RESOURCES GROUP, INC . 3,714
93,075(degree)WEATHERFORD INTERNATIONAL ......... 1,803
--------
45,866
--------
PAPER AND ALLIED PRODUCTS--0.81%
139,800 AVERY DENNISON CORP ................ 6,300
265,400 CONSOLIDATED PAPERS, INC ........... 7,299
149,050 SONOCO PRODUCTS CO ................. 4,416
132,500 UNION CAMP CORP .................... 8,944
--------
26,959
--------
PERSONAL SERVICES--0.14%
125,200 SERVICE CORP INTERNATIONAL ......... 4,765
--------
PETROLEUM AND COAL PRODUCTS--0.36%
260,600 MURPHY OIL CORP .................... 10,750
45,600 WD-40 CO ........................... 1,305
--------
12,055
--------
PRIMARY METAL INDUSTRIES--0.16%
39,052 BIRMINGHAM STEEL CORP .............. 164
87,200 NUCOR CORP ......................... 3,771
104,850 WORTHINGTON INDUSTRIES, INC ........ 1,311
--------
5,246
--------
PRINTING AND PUBLISHING--1.44%
24,300 DELUXE CORP ........................ 888
41,000 DOW JONES & CO, INC ................ 1,973
155,400 GANNETT CO, INC .................... 10,023
11,300 KNIGHT-RIDDER, INC ................. 578
74,100 MCGRAW HILL COS, INC ............... 7,549
38,600 NEW YORK TIMES CO (CLASS A) ........ 1,339
20,220 R.H. DONNELLEY CORP ................ 294
356,358 TIME WARNER, INC ................... 22,116
57,700 TIMES MIRROR CO SERIES A ........... 3,231
--------
47,991
--------
RAILROAD TRANSPORTATION--0.40%
421,200 NORFOLK SOUTHERN CORP .............. 13,347
--------
REAL ESTATE--0.02%
20,600 ROUSE CO ........................... 567
--------
RUBBER AND MISCELLANEOUS PLASTIC PRODUCTS--0.46%
24,100 BANDAG, INC ........................ $ 962
117,300 ILLINOIS TOOL WORKS, INC ........... 6,803
121,200 NIKE, INC (CLASS B) ................ 4,916
90,300 RUBBERMAID, INC .................... 2,839
--------
15,520
--------
SECURITY AND COMMODITY BROKERS--0.75%
146,000 MERRILL LYNCH & CO, INC ............ 9,746
214,948 MORGAN STANLEY, DEAN WITTER, & CO .. 15,261
--------
25,007
--------
STONE, CLAY, AND GLASS PRODUCTS--0.12%
94,100 NEWELL COS, INC .................... 3,882
--------
TRANSPORTATION BY AIR--0.28%
82,600(degree)AMR CORP .......................... 4,904
37,600 DELTA AIRLINES, INC ................ 1,955
99,562 SOUTHWEST AIRLINES CO .............. 2,234
5,618(degree)U.S. AIRWAYS GROUP, INC ........... 292
2,300(degree)UAL CORP .......................... 137
--------
9,522
--------
TRANSPORTATION EQUIPMENT--0.18%
83,265 DANA CORP .......................... 3,403
23,500 FEDERAL-MOGUL CORP ................. 1,398
12,000 FLEETWOOD ENTERPRISES, INC ......... 417
24,500 MODINE MANUFACTURING CO ............ 888
--------
6,106
--------
TRUCKING AND WAREHOUSING--0.03%
67,800 ARNOLD INDUSTRIES, INC ............. 1,093
--------
WHOLESALE TRADE-DURABLE GOODS--0.33%
24,400 AVNET, INC ......................... 1,476
191,850 GENUINE PARTS CO ................... 6,415
66,200 GRAINGER (W.W.), INC ............... 2,756
50,900 IKON OFFICE SOLUTIONS, INC ......... 436
--------
11,083
--------
WHOLESALE TRADE-NONDURABLE GOODS--0.54%
61,180 BERGEN BRUNSWIG CORP (CLASS A) ..... 2,134
83,800 CARDINAL HEALTH, INC ............... 6,358
66,800 MCKESSON CORP NEW .................. 5,281
144,800 SYSCO CORP ......................... 3,972
25,450 UNISOURCE WORLDWIDE, INC ........... 185
--------
17,930
--------
TOTAL COMMON STOCK
(Cost $1,052,125) ................... 2,041,170
---------
See notes to financial statements.
36
<PAGE>
SOCIAL CHOICE ACCOUNT (CONTINUED)
VALUE
PRINCIPAL (000)
- --------- -----
SHORT TERM INVESTMENTS--11.35%
INVESTMENTS OF CASH COLLATERAL FOR
SECURITIES LOANED--5.76%
REPURCHASE AGREEMENTS
JP MORGAN SECURITIES
5.100%, DATED 12/31/98, DUE 01/04/99
(FULLY COLLATERALIZED BY $391,987,694
GOVERNMENT NATIONAL MORTGAGE
ASSOCIATION, DUE 01/15/07-11/15/28,
$90,000,000 6.500%-9.500%, VALUE $92,246) $ 90,013
LEHMAN BROTHERS, INC
5.100%, DATED 12/31/98, DUE 01/04/99,
(FULLY COLLATERALIZED BY $41,887,159
GOVERNMENT NATIONAL MORTGAGE
ASSOCIATION, DUE 07/15/24-07/15/27,
19,885,000 6.500%-7.000%, VALUE $19,885) 19,888
SALOMON SMITH BARNEY
5.000%, DATED 12/31/98, DUE 01/04/99,
(FULLY COLLATERALIZED BY $2,238,915
U.S. TREASURY NOTES, DUE 05/31/99-11/15/04,
2,310,000 5.375%-7.875%, VALUE $2,352) 2,310
TIME DEPOSITS
BANK OF AMERICAN CAYMAN
10,000,000 5.160%, 01/29/99 ........................... 10,093
VARIABLE RATE NOTES
BANKERS TRUST CO
30,000,000 5.520%, 09/14/99 ........................... 29,994
MERRILL LYNCH & CO
40,000,000 4.990%, 10/14/99 ........................... 40,348
----------
192,646
----------
COMMERCIAL PAPER--5.59%
CONAGRA, INC
20,000,000 5.750%, 01/04/99 ........................... 19,988
COX COMMUNICATIONS, INC
10,000,000 *~ 5.850%, 01/14/99 ........................... 9,980
23,000,000 *~ 5.880%, 01/14/99 ........................... 22,953
CVS CORP
26,000,000 *~ 6.250%, 01/14/99 ........................... 25,947
MCI WORLDCOM, INC
25,000,000 ^*~ 5.750%, 01/14/99 ........................... 24,949
13,000,000 ^*~ 5.800%, 01/14/99 ........................... 12,974
12,000,000 ^*~ 5.820%, 01/14/99 ........................... 11,976
SBC COMMUNICATIONS, INC
8,250,000 5.100%, 01/04/99 ........................... 8,245
SONAT, INC
30,000,000 * 5.650%, 01/14/99 ........................... 29,939
20,000,000 * 6.000%, 01/19/99 ........................... 19,946
----------
186,897
----------
TOTAL SHORT TERM INVESTMENTS
(Cost $379,529) ............................. 379,543
----------
TOTAL PORTFOLIO
(Cost $2,682,498) $3,692,160
===========
- ------------------------
(degree) 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 144(A) of the Securities Act
of 1933 and may be resold in transactions exempt from registration normally to
qualified institutional buyers. At December 31, 1998, the value of these
securities amounted to $70,567,840 or 2.11% of net assets.
* All or a portion of this security has been segregated by the Custodian to
cover securities purchased on a delayed delivery basis.
@ These securities were purchased on a delayed delivery basis.
- ------------------------
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 20.73%
BAA 8.42%
BA 0.81%
U.S. Government obligations represent 70.04% of the long term debt portfolio
value and are not reflected in the above ratings.
Moody's ratings are provided by Moody's Investors Services and are not audited.
See notes to financial statements.
37
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENT OF INVESTMENTS--GLOBAL EQUITIES ACCOUNT
DECEMBER 31, 1998
SUMMARY BY INDUSTRY
(000)
VALUE %
----- -----
BONDS
CORPORATE BONDS
COMMUNICATIONS ........................ $ 93 0.00%
DEPOSITORY INSTITUTIONS ............... 188 0.00
INSURANCE CARRIERS .................... 230 0.00
METAL MINING .......................... 23 0.00
-------- -----
TOTAL CORPORATE BONDS
(Cost $357) ........................... 534 0.00
-------- -----
TOTAL BONDS
(Cost $ 357) ........................... 534 0.00
-------- -----
PREFERRED STOCK
APPAREL AND OTHER TEXTILE PRODUCTS .... 58 0.00
BUSINESS SERVICES ..................... 3,372 0.06
CHEMICALS AND ALLIED PRODUCTS ......... 8 0.00
ELECTRIC, GAS, AND SANITARY SERVICES .. 1,813 0.03
FABRICATED METAL PRODUCTS ............. 185 0.00
INSURANCE CARRIERS .................... 77 0.00
PRINTING AND PUBLISHING ............... 1,291 0.02
TRANSPORTATION EQUIPMENT .............. 2,244 0.04
-------- -----
TOTAL PREFERRED STOCK
(Cost $5,250) ......................... 9,048 0.15
-------- -----
COMMON STOCK
AGRICULTURAL PRODUCTION-CROPS ......... 212 0.00
AMUSEMENT AND RECREATION SERVICES ..... 4,025 0.07
APPAREL AND ACCESSORY STORES .......... 20,958 0.35
APPAREL AND OTHER TEXTILE PRODUCTS .... 12,381 0.20
AUTO REPAIR, SERVICES AND PARKING ..... 218 0.00
AUTOMOTIVE DEALERS AND SERVICE STATIONS 801 0.01
BUILDING MATERIALS AND GARDEN SUPPLIES 14,604 0.24
BUSINESS SERVICES ..................... 352,728 5.83
CHEMICALS AND ALLIED PRODUCTS ......... 693,424 11.46
COAL MINING ........................... 122 0.00
COMMUNICATIONS ........................ 974,564 16.11
DEPOSITORY INSTITUTIONS ............... 386,618 6.39
EATING AND DRINKING PLACES ............ 92,552 1.53
ELECTRIC, GAS, AND SANITARY SERVICES .. 115,260 1.90
ELECTRONIC AND OTHER ELECTRIC EQUIPMENT 475,298 7.85
ENGINEERING AND MANAGEMENT SERVICES ... 886 0.01
FABRICATED METAL PRODUCTS ............. 55,804 0.92
FOOD AND KINDRED PRODUCTS ............. 144,746 2.39
FOOD STORES ........................... 132,474 2.19
FORESTRY .............................. 73 0.00
FURNITURE AND FIXTURES ................ 1,126 0.02
FURNITURE AND HOMEFURNISHINGS STORES .. 1,223 0.02
GENERAL BUILDING CONTRACTORS .......... 3,969 0.07
GENERAL MERCHANDISE STORES ............ 121,278 2.00
HEALTH SERVICES ....................... 20,277 0.34
HEAVY CONSTRUCTION, EXCEPT BUILDING ... 35,405 0.59
HOLDING AND OTHER INVESTMENT OFFICES .. 14,550 0.24
HOTELS AND OTHER LODGING PLACES ....... 3,113 0.05
INDUSTRIAL MACHINERY AND EQUIPMENT .... 426,640 7.05
INSTRUMENTS AND RELATED PRODUCTS ...... 125,725 2.08
INSURANCE AGENTS, BROKERS AND SERVICE . 3,746 0.06
INSURANCE CARRIERS .................... 436,753 7.22
LOCAL AND INTERURBAN PASSENGER TRANSIT 11,022 0.18
LUMBER AND WOOD PRODUCTS .............. 10,959 0.18
METAL MINING .......................... 9,940 0.16
MISCELLANEOUS MANUFACTURING INDUSTRIES 410 0.01
MISCELLANEOUS RETAIL .................. 10,418 0.17
MOTION PICTURES ....................... 8,812 0.15
NONDEPOSITORY INSTITUTIONS ............ 86,396 1.43
NONMETALLIC MINERALS, EXCEPT FUELS .... 753 0.01
OIL AND GAS EXTRACTION ................ 130,395 2.15
PAPER AND ALLIED PRODUCTS ............. 16,252 0.27
PERSONAL SERVICES ..................... 1,108 0.02
PETROLEUM AND COAL PRODUCTS ........... 218,747 3.62
PIPELINES, EXCEPT NATURAL GAS ......... 403 0.01
PRIMARY METAL INDUSTRIES .............. 13,808 0.23
PRINTING AND PUBLISHING ............... 203,847 3.37
RAILROAD TRANSPORTATION ............... 127,193 2.10
REAL ESTATE ........................... 16,343 0.27
RUBBER AND MISCELLANEOUS
PLASTIC PRODUCTS ..................... 35,055 0.58
SECURITY AND COMMODITY BROKERS ........ 17,421 0.29
SPECIAL TRADE CONTRACTORS ............. 1,240 0.02
STONE, CLAY, AND GLASS PRODUCTS ....... 13,742 0.23
TEXTILE MILL PRODUCTS ................. 560 0.01
TOBACCO PRODUCTS ...................... 40,924 0.68
TRANSPORTATION BY AIR ................. 11,070 0.18
TRANSPORTATION EQUIPMENT .............. 134,058 2.22
TRANSPORTATION SERVICES ............... 90,440 1.49
TRUCKING AND WAREHOUSING .............. 11,241 0.19
WATER TRANSPORTATION .................. 12,186 0.20
WHOLESALE TRADE-DURABLE GOODS ......... 5,575 0.09
WHOLESALE TRADE-NONDURABLE GOODS ...... 40,743 0.68
-------- -----
TOTAL COMMON STOCK
(Cost $ 4,764,399) ..................... 5,952,614 98.38
--------- -----
SHORT TERM INVESTMENTS
COMMERCIAL PAPER ...................... 40,227 0.67
U.S. GOVERNMENT & AGENCIES ............ 27,906 0.46
--------- -----
TOTAL SHORT TERM INVESTMENTS
(Cost $ 68,161) ....................... 68,133 1.13
--------- -----
TOTAL PORTFOLIO
(Cost $4,838,167) ..................... 6,030,329 99.66
OTHER ASSETS & LIABILITIES, NET ...... 20,600 0.34
--------- -----
NET ASSETS $6,050,929 100.00%
========== ======
See notes to financial statements.
38
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENT OF INVESTMENTS--GLOBAL EQUITIES ACCOUNT
DECEMBER 31, 1998
SUMMARY BY COUNTRY
VALUE
(000) %
------- -------
DOMESTIC
UNITED STATES $ 3,132,826 51.95%
---------- ------
TOTAL DOMESTIC 3,132,826 51.95
---------- ------
FOREIGN
AUSTRALIA 60,893 1.01
AUSTRIA 1,146 0.02
BELGIUM 18,010 0.30
CANADA 84,687 1.40
DENMARK 64,053 1.06
FINLAND 40,930 0.68
FRANCE 162,303 2.69
GERMANY 88,764 1.47
GREECE 3,402 0.06
HONG KONG 30,176 0.50
IRELAND 16,287 0.27
ITALY 180,964 3.00
JAPAN 491,274 8.15
MALAYSIA 1,318 0.02
NETHERLANDS 299,401 4.96
NEW ZEALAND 3,948 0.07
NORWAY 30,504 0.51
PORTUGAL 35,543 0.59
SINGAPORE 9,681 0.16
SPAIN 52,307 0.87
SWEDEN 114,054 1.89
SWITZERLAND 152,647 2.53
THAILAND 888 0.01
UNITED KINGDOM 886,187 14.70
ZIMBABWE 3 0.00
---------- ------
TOTAL FOREIGN 2,829,370 46.92
TOTAL SHORT TERM 68,133 1.13
---------- ------
TOTAL PORTFOLIO $6,030,329 100.00%
========== ======
See notes to financial statements.
39
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENT OF INVESTMENTS--GLOBAL EQUITIES ACCOUNT
DECEMBER 31, 1998
VALUE
PRINCIPAL (000)
--------- -----
BONDS--0.00%
CORPORATE BONDS--0.00%
COMMUNICATIONS--0.00%
VIACOM INTERNATIONAL, INC (SUB DEB)
$ 89,000 8.000%, 07/07/06 ................. $ 93
------
DEPOSITORY INSTITUTIONS--0.00%
BANCA INTESA
35,900(1) 3.150%, 01/01/03 ................. 76
MITSU TRUST & BANKING
32,000,000(2) 0.500%, 10/01/07 ................. 112
------
188
------
INSURANCE CARRIERS--0.00%
AXA S.A. CV
1,531(3) 4.500%, 01/01/99 ................. 230
------
METAL MINING--0.00%
RGC GOLD
37,400 0.000%, 12/31/00 ................. 23
------
TOTAL CORPORATE BONDS
(Cost $357) ......................... 534
------
TOTAL BONDS
(Cost $357) .......................... 534
------
- ------------------------
(1) Denominated in Italian Lire
(2) Denominated in Japanese Yen
(3) Denominated in French Francs
SHARES
------
PREFERRED STOCK--0.15%
APPAREL AND OTHER TEXTILE PRODUCTS--0.00%
350 ESCADA AG. ......................... 58
------
BUSINESS SERVICES--0.06%
7,062 SAP AG. ............................ 3,372
------
CHEMICALS AND ALLIED PRODUCTS--0.00%
213(degree)CIN-CORPARACAO INDUSTRIAL ......... 8
------
ELECTRIC, GAS, AND SANITARY SERVICES--0.03%
49,670 RHEIN-WESTFALEN ELECTRIC AG.
(NON-VOTE) ........................ 1,813
------
FABRICATED METAL PRODUCTS--0.00%
700 FRIEDRICH-GROHE AG. ................ 185
------
INSURANCE CARRIERS--0.00%
1,014 AETNA, INC SERIES C ................ 77
------
PRINTING AND PUBLISHING--0.02%
212,001 NEWS CORP LTD ( LTD- VOTE) ......... 1,291
------
TRANSPORTATION EQUIPMENT--0.04%
4,500 RHEINMETALL AG. .................... 85
43,330 VOLKSWAGEN AG. ..................... 2,159
------
2,244
------
TOTAL PREFERRED STOCK
(Cost $5,250) ........................ 9,048
------
COMMON STOCK--98.38%
AGRICULTURAL PRODUCTION-CROPS--0.00%
51,000 GOLDEN HOPE PLANTATIONS BERHAD ..... $ 39
6,400 PIONEER-HI-BRED INTERNATIONAL, INC . 173
------
212
------
AMUSEMENT AND RECREATION SERVICES--0.07%
62,047(degree)EMI GROUP PLC ..................... 415
150,537 GRANADA GROUP LTD (CLASS A) ........ 2,661
25,836(degree)HARRAH'S ENTERTAINMENT, INC ....... 405
79,000(degree)MULTI-PURPOSE HOLDINGS BERHAD ..... 15
127,000(degree)STAR CITY HOLDINGS LTD ............ 112
41,900 TABCORP HOLDINGS LTD ............... 257
30,000 TOKYO DOME CORP .................... 160
------
4,025
------
APPAREL AND ACCESSORY STORES--0.35%
7,800(degree)DOUGLAS HOLDINGS AG. .............. 473
730(degree)DOUGLAS HOLDINGS AG. NEW .......... 39
92,987 GAP, INC ........................... 5,231
21,600 HENNES & MAURITZ AB SERIES B ....... 1,764
461,844 LIMITED, INC ....................... 13,451
------
20,958
------
APPAREL AND OTHER TEXTILE PRODUCTS--0.20%
11,000 AOYAMA TRADING CO LTD .............. 308
198,800 BENETTON GROUP S.P.A. .............. 401
90(degree)DOLLFUS-MIEG & CIE S.A. ........... 1
4,015(degree)FRUIT OF THE LOOM, INC (CLASS A) .. 55
4,000 GUNZE LTD .......................... 10
1,005,000 KURARAY CO LTD ..................... 11,110
1,000 ONWARD KASHIYMA CO LTD ............. 13
8,000(degree)RENOWN, INC ....................... 5
2,496 VF CORP ............................ 117
28,000 WACOAL CORP ........................ 361
------
12,381
------
AUTO REPAIR, SERVICES AND PARKING--0.00%
8,400 RYDER SYSTEM, INC .................. 218
------
AUTOMOTIVE DEALERS AND SERVICE STATIONS--0.01%
8,000 AUTOBACS SEVEN CO LTD .............. 270
13,500 CANADIAN TIRE, INC (CLASS A) ....... 354
21,435 LEX SERVICE GROUP LTD .............. 136
44,913 LONHRO AFRICA PLC .................. 41
------
801
------
BUILDING MATERIALS AND GARDEN SUPPLIES--0.24%
63,386 CRH PLC ............................ 1,096
197,662 HOME DEPOT, INC .................... 12,094
41,247 MEYER INTERNATIONAL PLC ............ 237
5,900 PORTLAND VALDERRIVAS S.A. .......... 242
147,843 WOLSELEY PLC ....................... 935
------
14,604
------
BUSINESS SERVICES--5.83%
13,694(degree)ACNEILSEN CORP .................... 387
2,600(degree)ADECCO S.A. (BR) .................. 1,187
See notes to financial statements.
40
<PAGE>
GLOBAL EQUITIES ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ -----
BUSINESS SERVICES--(CONTINUED)
9,400 ADOBE SYSTEMS, INC ................. $ 439
58,768 AMERICA ONLINE, INC ................ 9,403
553,865(degree)ASCEND COMMUNICATIONS, INC ........ 36,417
8,966 AUTOMATIC DATA PROCESSING, INC ..... 719
23,300(degree)BMC SOFTWARE, INC ................. 1,038
5,680(degree)CAP GEMINI S.A. ................... 912
106,635 COMPUTER ASSOCIATES INTERNATIONAL, INC 4,545
10,445,000 CORPORATE SERVICES GROUP PLC ....... 26,328
76,000(degree)CREATIVE TECHNOLOGY LTD ........... 1,073
15,400 CSK CORP ........................... 355
3,967 DASSAULT SYSTEMS S.A. .............. 187
49,992 ELECTRONIC DATA SYSTEMS CORP ....... 2,512
100,262 FIRST DATA CORP .................... 3,177
397,200 GETRONICS NV ....................... 19,683
1,000 HAW PAR CORP LTD ................... 1
5,010,000 HAYS PLC ........................... 43,970
117,900 HBO & CO ........................... 3,382
25,763 IMS HEALTH, INC .................... 1,943
33,000(degree)INCHCAPE MARKETING SERVICES ....... 18
17,500 INTERPUBLIC GROUP OF COS, INC ...... 1,396
2,300 ISS INTERNATIONAL SERVICE SYSTEM
AS SERIES B ....................... 150
8,000 KONAMI CO LTD ...................... 232
12,664 LAGARDERE S.C.A. ................... 538
4,232,600(degree)LOGICA PLC ........................ 36,795
20,680 MANPOWER, INC ...................... 521
275,000 MEITEC CORP ........................ 6,875
6,000 MERKANTILDATA ASA .................. 59
838,610(degree)MICROSOFT CORP .................... 116,305
57,400 MISYS PLC .......................... 418
1,000 NAMCO LTD .......................... 20
490,400(degree)NEWBRIDGE NETWORKS CORP ........... 14,878
17,800(degree)NOVELL, INC ....................... 323
161,187(degree)ORACLE CORP ....................... 6,951
22,400(degree)PARAMETRIC TECHNOLOGY CORP ........ 364
1,912(degree)PEOPLESOFT, INC ................... 36
648 PITTSTON BRINKS GROUP CO ........... 21
6,200 PROSEGUR COMPANIA DE SEGURIDAD S.A. 72
100 RATIN AS (CLASS B) ................. 21
284,000 RENTOKIL INITIAL PLC ............... 2,141
243,306 RUETERS GROUP PLC .................. 2,554
3,200 SAP AG. ............................ 1,383
8,700 SECOM CO LTD ....................... 722
30,800 SECURITAS AB SERIES B FREE ......... 479
98(degree)SIEBEL SYSTEMS, INC ............... 3
88,200 SIME DARBY BERHAD .................. 71
100 SOPHUS BERENDSEN (CLASS B) NEW ..... 3
6,000(degree)TIETO CORP (CLASS B) .............. 269
277,000 TOKYU CORP ......................... 729
24,800 #VIGLEN TECHNOLOGY (LITIGATION NOTE) 0
290,000 WHARF HOLDINGS LTD ................. 423
10,900 #(degree)WHARF HOLDINGS LTD WTS 12/31/99 1
7,000 WM-DATA AB SERIES B ................ 299
-------
352,728
-------
CHEMICALS AND ALLIED PRODUCTS--11.46%
207,575 ABBOTT LABORATORIES CO ............. 10,171
17,600 AGA AB SERIES A FREE ............... 233
8,000 AGA AB SERIES B FREE ............... 105
8,500 AGRIUM, INC ........................ 75
54,100 AIR PRODUCTS & CHEMICALS, INC ...... 2,164
33,900 AKZO NOBEL NV ...................... 1,544
867,368 AMERICAN HOME PRODUCTS CORP ........ 48,844
184,000 ASAHI CHEMICAL INDUSTRY CO LTD ..... $ 879
58,000 ASTRA AB SERIES A FREE ............. 1,184
122,532 ASTRA AB SERIES B FREE ............. 2,494
58,200 BASF AG. ........................... 2,222
71,240 BAYER AG. .......................... 2,975
6,600 BEIERSDORF AG. ..................... 456
116,345 BOC GROUP PLC ...................... 1,664
438,352 BRISTOL MYERS SQUIBB CO ............ 58,657
500 CIN-CORPARACAO INDUSTRIAL DO NORTE S.A 20
25,200 CLOROX CO .......................... 2,944
280,000 COLGATE PALMOLIVE CO ............... 26,005
92,000 DAICEL CHEMICAL INDUSTRIES LTD ..... 274
50,000 DAIICHI PHARMACEUTICAL CO LTD ...... 846
32,000 DAINIPPON INK & CHEMICAL, INC ...... 88
13,540(degree)DEGUSSA AG. ....................... 744
29,022 DOW CHEMICAL CO .................... 2,639
497,733 DU PONT (E.I.) DE NEMOURS & CO ..... 26,411
1,600 DYNO INDUSTRIER AS ................. 24
10,875 EASTMAN CHEMICAL CO ................ 487
9,000 EISAI CO LTD ....................... 176
151,100(degree)ELAN CORP PLC ADR ................. 10,511
34,600(degree)ELEMENTIS PLC ..................... 48
14,722 ELF SANOFI S.A. .................... 2,425
5,000 FABRICA ESP DE PRODUCTO QUIMICO Y FARM 81
8,723(degree)FMC CORP .......................... 488
400,990 GLAXO WELLCOME PLC ................. 13,797
25,400 GREENCORE GROUP PLC ................ 117
45,300 IMPERIAL CHEMICAL INDUSTRY PLC ..... 393
19,756 INTERNATIONAL FLAVORS & FRAGRANCES, INC 873
53,000(degree)ISHIHARA SANGYO KAISHA LTD ........ 87
140,983 JOHNSON & JOHNSON CO ............... 11,825
70,000 KANEKA CORP ........................ 526
24,000 KANSAI PAINT CO LTD ................ 70
591,000 KAO CORP ........................... 13,360
13,380 KEMIRA OY .......................... 96
11,600 KISSEI PHARMACEUTICALS CO LTD ...... 205
42,000 KUREHA CHEMICAL INDUSTRY CO LTD .... 110
91,000 KYOWA HAKKO KOGYO .................. 450
4,877 L'AIR LIQUIDE ...................... 895
2,332 #L'AIR LIQUIDE (REGD) 1996 .......... 428
148,270 LILLY (ELI) & CO ................... 13,177
22,000 LION CORP .......................... 92
7,164 LOREAL S.A. ........................ 5,181
14,207 LUBRIZOL CORP ...................... 365
18,574 MALLINCKRODT, INC .................. 572
22,230 MERCK & CO KGAA .................... 1,001
470,186 MERCK & CO, INC .................... 69,441
230,000 MITSUBISHI CHEMICAL CORP ........... 485
58,000 MITSUBISHI GAS CHEMICAL CO, INC .... 161
1,000 MITSUI CHEMICAL CORP ............... 3
50,599 MONSANTO CO ........................ 2,403
661,450 MONTEDISON S.P.A. .................. 880
9,340 NALCO CHEMICAL CORP ................ 290
34,000 NIPPON SHOKUBAI KAGAK KOGYO CO LTD . 183
26,122 NOVARTIS AG. (REGD) ................ 51,350
6,500 NOVO NORDISK AS (CLASS B) .......... 858
52,500 ORICA LTD .......................... 273
573,848 PFIZER, INC ........................ 71,982
41,243 PPG INDUSTRIES, INC ................ 2,402
40,491 PRAXAIR, INC ....................... 1,427
712,084 PROCTER & GAMBLE CO ................ 65,022
35,550 RHONE-POULENC S.A. (CLASS A) ....... 1,830
50 ROCHE HOLDINGS AG. (BR) ............ 906
1,013 ROCHE HOLDINGS AG. (GENUSSCHEINE) .. 12,361
See notes to financial statements.
41
<PAGE>
GLOBAL EQUITIES ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ -----
CHEMICAL AND ALLIED PRODUCTS -- (CONTINUED)
45,550 ROHM & HAAS CO ..................... $ 1,372
53,100 SANKYO CO LTD ...................... 1,163
4,300 SCHERING AG. ....................... 540
957,986 SCHERING-PLOUGH CORP ............... 52,929
78,000 SEKISUI CHEMICAL CO LTD ............ 526
38,300 SHERWIN-WILLIAMS CO ................ 1,125
38,255 SHIN-ETSU CHEMICAL CO LTD .......... 922
47,000 SHIONOGI & CO LTD .................. 345
317,700 SHISEIDO & CO LTD .................. 4,090
24,000 SHOWA DENKO K.K. ................... 21
706,105 SMITHKLINE BEECHAM PLC ............. 9,868
67,100 SNIA BDP S.P.A. .................... 106
10,350 SOLVAY ET CIE S.A. ................. 780
5,600 SOMMER-ALLIBERT .................... 151
194,000 SUMITOMO CHEMICAL CO LTD ........... 757
217,000 TAISHO PHARMACEUTICAL CO LTD ....... 5,983
333,000 TAKEDA CHEMICAL INDUSTRIES LTD ..... 12,842
1,841,000(degree)TEIJIN LTD ........................ 6,789
225,000 TORAY INDUSTRIES, INC .............. 1,177
29,000 UBE INDUSTRIES LTD ................. 44
187 UCB S.A. ........................... 1,154
1,351,100 USEC, INC .......................... 18,747
100,981 WARNER-LAMBERT CO .................. 7,593
196,964 YAMANOUCHI PHARMACEUTICAL CO LTD ... 6,356
92,594 ZENECA GROUP PLC ................... 4,032
1,200 ZODIAC S.A. ........................ 257
-------
693,424
-------
COAL MINING--0.00%
203,412 QCT RESOURCES LTD .................. 122
-------
COMMUNICATIONS--16.11%
69,471(degree)AIRTOUCH COMMUNICATIONS, INC ...... 5,011
20,080 ALCATEL ............................ 2,459
61 ALLTEL CORP ........................ 4
1,922,101 AT & T CORP ........................ 144,638
65,100 BCE, INC ........................... 2,452
215,963 BELL ATLANTIC CORP ................. 11,446
241,252 BELLSOUTH CORP ..................... 12,032
277,579 BRITISH SKY BROADCASTING GROUP PLC . 2,108
730,350 BRITISH TELECOMMUNICATIONS PLC ..... 11,003
1,895,000(degree)CABLE & WIRELESS COMMUNICATIONS PLC 17,309
219,201 CABLE & WIRELESS PLC ............... 2,695
1,990 CANAL PLUS S.A. .................... 543
80,984 CBS CORP ........................... 2,652
788,925 (degree)CHANCELLOR MEDIA CORP (CLASS A) 37,770
1,000,493 (degree)CLEAR CHANNEL COMMUNICATIONS, INC 54,527
232,450 DEUTSCHE TELEKOM AG. ............... 7,648
203,000(degree)EQUANT NV ......................... 13,766
2,745,100 ERICSSON TELEFON (LM) AB SERIES B .. 65,361
100 (degree)EUROPE 1 COMMUNICATION ...... 23
99,625 FRANCE TELECOM S.A. ................ 7,918
610(degree)FUJI TELEVISION NETWORK, INC ...... 2,774
546,000 FUJIKURA LTD ....................... 2,933
2,400 GN STORE NORD AS-GN GREAT NORDIC ... 85
1,232,877 HONG KONG TELECOMMUNICATIONS LTD ... 2,156
599,430(degree)INFINITY BROADCASTING CORP (CLASS A) 16,409
56,457 KONINKLIJKE KPN NV ................. 2,828
75(degree)LEAP WIRELESS INTERNATIONAL, INC .. 1
550(degree)LIBERTY MEDIA GROUP (CLASS A) ..... 25
659,692 LUCENT TECHNOLOGIES, INC ........... 72,566
947,724(degree)MCI WORLDCOM, INC ................. 67,999
135,900 MEDIASET S.P.A. .................... 1,104
11,100(degree)NETCOM AB SERIES B ................ 452
262,000 NIPPON COMSYS CORP ................. 3,575
3,510 NIPPON TELEGRAPH & TELEPHONE CORP .. 27,134
111 (degree)NTT MOBILE COMMUNICATIONS ... 4,576
128,000(degree)PANAFON HELLENIC TELECOM GDR ...... 3,402
16,143 PORTUGAL TELECOM S.A. .............. 740
34,000(degree)ROGERS COMMUNICATIONS, INC (CLASS B) 302
1,035,797 SBC COMMUNICATIONS, INC ............ 55,545
493,000 SINGAPORE TELECOMMUNICATIONS LTD ... 753
845,000 SMARTONE TELECOMMUNICATIONS
HOLDNGS LTD ....................... 2,345
1,520,941(degree)SONERA GROUP OYJ .................. 27,034
25,124 SPRINT CORP (FON GROUP) ............ 2,114
7,300(degree)SWISSCOM AG. (REGD) ............... 3,056
20(degree)TCI SATELLITE ENTERTAINMENT (CLASS A) 0
31,000 TECHNOLOGY RESOURCES INDUSTRIES
BERHAD ............................ 11
633,400 TELECOM CORP OF NEW ZEALAND ........ 2,761
520,405 TELECOM ITALIA ..................... 4,450
12,750,199 TELECOM ITALIA MOBILE S.P.A. ....... 94,327
41,861 (degree)TELE-COMMUNICATIONS, INC (CLASS A) 2,315
104,578(degree)TELECOM-TCI VENTURES GROUP (CLASS A) 2,464
443,400 TELE DANMARK AS .................... 59,845
119,130 TELEFONICA DE ESPANA S.A. .......... 5,305
135,000 TELEKOM MALAYSIA BERHAD ............ 249
72,000 TELEVISION BROADCASTS LTD .......... 186
1,807,394(degree)TELSTRA CORP ...................... 8,459
8,700 TELUS CORP ......................... 184
38,766(degree)VIACOM, INC (CLASS B) ............. 2,869
1,534 (degree)VIACOM, INC (CLASS B) WTS 07/07/99 18
5,532,978 VODAFONE GROUP PLC ................. 89,848
-------
974,564
-------
DEPOSITORY INSTITUTIONS--6.39%
202,231 ABBEY NATIONAL PLC ................. 4,330
166,894 ABN-AMRO HOLDINGS NV ............... 3,513
141,260(degree)ALLIED IRISH BANK PLC ............. 2,534
16,000 AMKB HOLDINGS BERHAD ............... 13
66,400 ARGENTARIA, CAJA POSTAL Y BCO HIPOTECA 1,722
254,514 ASAHI BANK LTD ..................... 934
431 AUSTRALIAN & NEW ZEALAND BANKING
GROUP LTD ......................... 3
213,000 (degree)BANCA COMMERCIALE ITALIANA S.P.A. 1,472
83,600(degree)BANCA INTESA RISP S.P.A. .......... 256
168,600(degree)BANCA INTESA S.P.A. ............... 1,014
29,000 BANCA POPOLARE DI MILANO ........... 264
143,600(degree)BANCO AMBROSIANO VENETO WTS 05/31/02 182
241,900 BANCO BILBAO VIZCAYA S.A. (REGD) ... 3,798
147,886 BANCO CENTRALE HISPANOAMERICANO S.A. 1,759
18,071 BANCO COMERCIAL PORTUGUES S.A. (REGD) 556
9,095 BANCO ESPIRITO SANTO E COMERCIAL ... 282
912(degree)BANCO PINTO & SOTTO MAYOR S.A. .... 17
135,584 BANCO SANTANDER S.A. ............... 2,698
5,804(degree)BANK AUSTRIA AG. .................. 295
98,000 BANK OF EAST ASIA LTD .............. 171
24,000 BANK OF MONTREAL ................... 964
28,132 BANK OF NEW YORK CO, INC ........... 1,132
61,192 BANK OF NOVA SCOTIA ................ 1,345
1,229,747 BANK OF TOKYO MITSUBISHI LTD ....... 12,755
181,000 BANK OF YOKOHAMA LTD ............... 435
142,807 BANK ONE CORP ...................... 7,292
604,540 BANKAMERICA CORP ................... 36,348
33,124 BANKBOSTON CORP .................... 1,290
24,400 BANKERS TRUST CORP ................. 2,085
21,382(degree)BANQUE NATIONALE DE PARIS ......... 1,761
See notes to financial statements.
42
<PAGE>
GLOBAL EQUITIES ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ -----
DEPOSITORY INSTITUTIONS--(CONTINUED)
191,900(degree)BARCLAYS PLC ...................... $ 4,138
45,850(degree)BAYERISCHE HYPO-UND VEREINSBANK AG. 3,592
7,100 BPI-SGPS S.A. (REGD) ............... 241
50,460 CANADIAN IMPERIAL BANK OF COMMERCE . 1,248
117,460 CHIBA BANK LTD ..................... 468
29,000 CHRISTIANIA BANK OG KREDITKASSE .... 100
31,500 COMERICA, INC ...................... 2,148
50 COMMERZBANK AG. .................... 2
72,000 COMMONWEALTH BANK OF AUSTRALIA LTD . 1,023
31,093 CREDIT SUISSE GROUP (REGD) ......... 4,867
2,000 DAI-ICHI KANGO BANK LTD ............ 11
4,300(degree)DEN DANSKE BANK AF 1871 ........... 578
26,000 DEN NORSKE BANK ASA ................ 90
52,530 DEUTSCHE BANK AG. .................. 3,092
40,600 DEVELOPMENT BANK OF SINGAPORE LTD (FR) 367
47,790 DRESDNER BANK AG. .................. 2,008
139,737 FIRST UNION CORP ................... 8,498
115,816 FLEET FINANCIAL GROUP, INC ......... 5,176
37,400(degree)FORENINGSSPARBANKEN AB ............ 969
356,000 FUJI BANK LTD ...................... 1,313
11,244 GOLDEN WEST FINANCIAL CORP ......... 1,031
1,000 GUNMA BANK LTD ..................... 8
194,200 HANG SENG BANK LTD ................. 1,736
50,000 HIGO FAMILY BANK LTD ............... 229
170,000(degree)HOKURIKU BANK LTD ................. 306
160,263 HSBC HOLDINGS LTD (U.K.) ........... 4,346
80,117 HSBC HOLDINGS PLC .................. 2,026
68,529 HSBC HOLDINGS PLC (H.K.) ........... 1,707
1,023,297 INDUSTRIAL BANK OF JAPAN LTD ....... 4,726
415 JOYO BANK .......................... 2
37,700(degree)KBC BANCASSURANCE HOLDINGS NV ..... 2,985
117,665 KEYCORP ............................ 3,765
2,800 #(degree)KUMAGI GUMI WTS 12/31/99 .... 0
552,014 LLOYDS TSB GROUP PLC ............... 7,853
105,800 MALAYAN BANKING BERHAD ............. 150
151,434 MBNA CORP .......................... 3,776
113,100(degree)MERITA LTD ........................ 719
137,000 MITSUBISHI TRUST & BANKING CORP .... 883
109,000 MITSUI TRUST & BANKING CO LTD ...... 125
7,144 MORGAN (J.P.) & CO, INC ............ 751
560,400 NATIONAL AUSTRALIA BANK LTD ........ 8,456
15,851 NATIONAL BANK OF CANADA ............ 256
47,210 NATIONAL CITY CORP ................. 3,423
367,024 OVERSEAS-CHINESE BANKING CORP LTD (FR) 2,491
14,225(degree)PARIBAS S.A. ...................... 1,237
76,725 PNC BANK CORP ...................... 4,153
30,200 ROYAL BANK OF CANADA ............... 1,505
131,908(degree)ROYAL BANK OF SCOTLAND PLC ........ 2,107
496,000 SAKURA BANK LTD .................... 1,139
1,817,509(degree)SAN PAOLO-IMI S.P.A. .............. 32,182
4,235 SANWA BANK LTD ..................... 33
239,000 SEVENTY-SEVEN (77) BANK LTD ........ 2,394
115,000 SHIZUOKA BANK LTD .................. 1,422
60,100 SKANDINAVISKA ENSKILDA BANKEN SERIES A 634
11,658 SOCIETE GENERALE S.A. .............. 1,889
3,400 STATE STREET CORP .................. 237
920,200 SUMITOMO BANK LTD .................. 9,463
42,395 SUNTRUST BANKS, INC ................ 3,243
24,900 SVENSKA HANDELSBANKEN SERIES A ..... 1,051
5,025(degree)SWISS BANK CORP (REGD) WTS 06/30/00 81
217,000 TOKAI BANK LTD ..................... 1,027
33,086 U.S. BANCORP ....................... 1,175
3,645,100 UNCREDITO ITALIANO S.P.A. .......... 21,651
4,250(degree)UNI BANKDANMARK AS (CLASS A) ...... 384
182,174(degree)UNION BANK OF SWITZERLAND AG. (REGD) 55,972
45,000 UNITED OVERSEAS BANK LTD (FR) ...... 289
1,400 WACHOVIA CORP ...................... 122
55,144 WASHINGTON MUTUAL, INC ............. 2,106
1,344,563 WELLS FARGO CO ..................... 53,698
556,100 WESTPAC BANKING CORP ............... 3,725
54,000 WING LUNG BANK LTD ................. 187
42,000 YAMAGUCHI BANK LTD ................. 397
280,000(degree)YASUDA TRUST & BANKING CO LTD ..... 216
-------
386,618
-------
EATING AND DRINKING PLACES--1.53%
6,827,500 COMPASS GROUP PLC .................. 78,211
33,194 DARDEN RESTAURANTS, INC ............ 597
404,174 DIAGEO PLC (CLASS A) ............... 4,600
52,374 HOST MARRIOTT CORP (NEW) ........... 723
26,400 MARRIOTT INTERNATIONAL (CLASS A) ... 766
79,410 MCDONALD'S CORP .................... 6,085
37,100 MELCO INTERNATIONAL DEVELOPMENT LTD 3
23,000 SKYLARK CO LTD ..................... 343
1,764(degree)SODEXHO ALLIANCE S.A. ............. 395
43,100(degree)TELEPIZZA S.A. .................... 411
9(degree)TRICON GLOBAL RESTAURANTS, INC .... 0
1,000 VALORA HOLDINGS AG. (REGD) ......... 270
4,878 VIAD CORP .......................... 148
-------
92,552
-------
ELECTRIC, GAS, AND SANITARY SERVICES--1.90%
8,000 AGUAS DE BARCELONA S.A. ............ 536
51(degree)AGUAS DE BARCELONA S.A. NEW ....... 3
34,829 AMERICAN ELECTRIC POWER CO, INC .... 1,639
9,300(degree)ANGLIAN WATER PLC ................. 128
54,515 AUSTRALIA GAS LIGHT CO ............. 393
37,933 BALTIMORE GAS & ELECTRIC CO ........ 1,171
32,275 BROWNING FERRIS INDUSTRIES, INC .... 918
10,893 CAROLINA POWER & LIGHT CO .......... 513
54,341 CENTRAL & SOUTH WEST CORP .......... 1,491
531,841(degree)CENTRICA PLC ...................... 1,071
100 CHUBU ELECTRIC POWER CO, INC ....... 2
628,000 CLP HOLDINGS LTD ................... 3,129
54,263 COASTAL CORP ....................... 1,896
17,276 COLUMBIA ENERGY GROUP .............. 998
24,464 CONSOLIDATED NATURAL GAS CO ........ 1,321
25,718 DOMINION RESOURCES, INC ............ 1,202
37,076 DTE ENERGY CO ...................... 1,590
27,523 DUKE ENERGY CORP ................... 1,763
90,300 EDISON INTERNATIONAL CO ............ 2,517
74,550 EDISON S.P.A. ...................... 880
13,400 EDPERBRASCAN CORP (CLASS A) ........ 186
6,900 ELECTRABEL NV ...................... 3,033
10,950(degree)ELECTRABEL S.A. (STRIP VVPR) ...... 3
50,950 ELECTRICIDADE DE PORTUGAL S.A. ..... 1,122
122,008 ENDESA S.A. ........................ 3,238
19,756 ENRON CORP ......................... 1,127
32,037 ENTERGY CORP ....................... 997
56,761 FIRSTENERGY CORP ................... 1,848
5,800 FPL GROUP, INC ..................... 357
19,400 GAS NATURAL SDG S.A. ............... 2,115
31,663 GPU, INC ........................... 1,399
3,100 GROUPE BRUXELLES LAMBERT S.A. ...... 632
504,900 HONG KONG & CHINA GAS CO LTD ....... 642
11,949(degree)HONG KONG & CHINA GAS CO LTD
WTS 03/30/99 ...................... 1
See notes to financial statements.
43
<PAGE>
GLOBAL EQUITIES ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ -----
ELECTRIC GAS, AND SANITARY SERVICES -- (CONTINUED)
8,600 HOUSTON INDUSTRIES, INC ............ $ 276
3,065 HYDER PLC .......................... 39
98,974 IBERDROLA S.A. ..................... 1,855
2,100 ILLINOVA CORP ...................... 53
76,000 ITALGAS S.P.A. ..................... 412
122,200 KANSAI ELECTRIC POWER CO, INC ...... 2,681
71,095 NATIONAL GRID GROUP PLC ............ 567
124,577 NATIONAL POWER PLC ................. 1,074
2,000(degree)NIAGARA MOHAWK POWER CORP ......... 32
34,000 NORTHERN STATES POWER CO ........... 944
7,880 NOVA CORP .......................... 103
12,755 OGDEN CORP ......................... 320
172,000 OSAKA GAS CO LTD ................... 593
1,600 OESTERREICHISCHE
ELEKTRIZITAETSWIRSCHAFTS AG. ...... 245
22,863 PECO ENERGY CO ..................... 952
42,900 PG&E CORP .......................... 1,351
28,802 POTOMAC ELECTRIC POWER CO .......... 758
38,710 PP&L RESOURCES, INC ................ 1,079
28,257 PUBLIC SERVICE ENTERPRISE GROUP, INC 1,130
35,000 RHEIN-WESTFALEN ELECTRIC AG. (STAMM) 1,917
52,300(degree)SCOTTISH & SOUTHERN ENERGY PLC .... 589
219,897 SCOTTISH POWER PLC ................. 2,259
12,800 SEMPRA ENERGY ...................... 325
460,000 SHUN TAK ENTERPRISES CORP LTD ...... 87
25,900 SONAT, INC ......................... 701
3,151 SOUTHERN CO ........................ 92
19,553 LYONNAISE DES EAUX S.A. ............ 4,018
139,000 TENAGA NASIONAL BERHAD ............. 200
36,493 TEXAS UTILITIES CO ................. 1,704
43,514 THAMES WATER PLC ................... 833
66,600 TOHOKU ELECTRIC POWER CO, INC ...... 1,181
309,987 TOKYO ELECTRIC POWER CO, INC ....... 7,667
467,000 TOKYO GAS CO LTD ................... 1,230
10,800 TRACTEBEL NV ....................... 2,097
600(degree)TRACTEBEL NV PUT WTS 11/15/99 ..... 0
40,428 TRANS CANADA PIPELINES LTD ......... 591
26,300 TRANSALTA CORP ..................... 387
41,405 UNICOM CORP ........................ 1,597
35,400(degree)UNION ELECTRICA FENOSA S.A. ....... 613
94,054 UNITED UTILITIES PLC ............... 1,304
47,550 VEBA AG. ........................... 2,846
3,049 VIAG AG. ........................... 1,788
20,115 VIVENDI S.A. ....................... 5,221
24,394(degree)VIVENDI S.A. WTS 05/02/01 ......... 63
462,808 WASTE MANAGEMENT, INC .............. 21,578
2,355 WESTCOAST ENERGY, INC .............. 47
-------
115,260
-------
ELECTRONIC AND OTHER ELECTRIC EQUIPMENT--7.85%
32,000 ABB AB SERIES A .................... 341
68,100 ABB AB SERIES B .................... 723
11,210 ADVANTEST CORP ..................... 712
2,770 ALLEGHENY TELEDYNE, INC ............ 57
44,000 ALPS ELECTRIC CO LTD ............... 809
24,500(degree)AMERICAN POWER CONVERSION CORP .... 1,187
970,050(degree)AMERICAN TOWER SYSTEMS (CLASS A) .. 28,677
17,794 AMP, INC ........................... 926
10,891 AMSTRAD PLC ........................ 6
488,000(degree)ASM LITHOGRAPHY HOLDINGS NV ....... 14,926
900 BANG & OLUFSEN HOLDINGS AS (CLASS B) 55
1,500 BARCO INDUSTRIES NV ................ $ 424
5,267 BOWTHORPE HOLDINGS PLC ............. 31
41,000 BROTHERS INDUSTRIES LTD ............ 128
662,798 COOPER INDUSTRIES, INC ............. 31,607
32,000 DAI NIPPON SCREEN MANUFACTURING
CO LTD ............................ 80
100,000(degree)ELEC & ELTEK INTERNATIONAL CO LTD . 540
13,519 ELECTROCOMPONENTS PLC .............. 91
37,350 ELECTROLUX AB SERIES B ............. 643
1,500 EMPRESA FABRIL DE MAQUINAS ELECTRICAS 15
25,300 FISHER & PAYKEL INDUSTRIES LTD ..... 92
1,095,000 FUJITSU LTD ........................ 14,610
72,000 FURUKAWA ELECTRIC CO LTD ........... 246
1,157,086 GENERAL ELECTRIC CO ................ 118,095
346,681 GENERAL ELECTRIC CO (U.K.) ......... 3,129
15,063 HARRIS CORP ........................ 552
140,700 HIROSE ELECTRIC CO LTD ............. 9,866
444,000 HITACHI LTD ........................ 2,755
869,542 INTEL CORP ......................... 103,095
1,211,700 JOHNSON ELECTRIC HOLDINGS LTD ...... 3,112
43,399(degree)KONINKLIJKE PHILIPS ELECTRONICS NV 2,914
25,500 KYOCERA CORP ....................... 1,350
4,683 LEGRAND S.A. ....................... 1,242
35,000 MABUCHI MOTOR CO LTD ............... 2,684
30,000 MALAYSIAN PACIFIC INDUSTRIES BERHAD 29
745,000 MATSUSHITA ELECTRIC INDUSTRIAL CO LTD 13,203
7,300 MAYTAG CO .......................... 454
10,229(degree)MICRON TECHNOLOGY, INC ............ 517
311,000(degree)MITSUBISHI ELECTRIC CORP .......... 979
91,037 MOTOROLA, INC ...................... 5,559
93,000 MURATA MANUFACTURING CO LTD ........ 3,867
9,872 NATIONAL SERVICE INDUSTRIES, INC ... 375
52,000 NGK SPARK PLUG CO LTD .............. 531
916,000 NIPPON ELECTRIC CORP ............... 8,445
18,000 NITTO DENKO CORP ................... 300
44,200 NOKIA AB SERIES K .................. 5,412
34,800(degree)NOKIA OYJ SERIES A ................ 4,261
853,800 NORTHERN TELECOMMUNICATIONS LTD .... 42,579
21,000 PIONEER ELECTRONIC CORP ............ 353
17,800(degree)QUALCOMM, INC ..................... 922
20,491 RAYCHEM CORP ....................... 662
84,000 ROHM CO ............................ 7,663
123,000 SANYO ELECTRIC CO LTD .............. 382
1,003,000 SHARP CORP ......................... 9,061
61,200 (degree)SHINKO ELECTRIC INDUSTRIES CO LTD 2,441
19,800 SIRTI S.P.A. ....................... 120
117,402 SONY CORP .......................... 8,566
42,000 SUMITOMO ELECTRIC INDUSTRIES CO .... 473
119,130(degree)TELEFONICA DE ESPANA S.A. RTS ..... 106
49,418 TEXAS INSTRUMENTS, INC ............. 4,228
75,700 TOKYO ELECTRON CO LTD .............. 2,879
600,000 TOSHIBA CORP ....................... 3,580
9,000 UNIDEN CORP ........................ 76
166,000(degree)VENTURE MANUFACTURING (SINGAPORE) LTD 634
11,195 WHIRLPOOL CORP ..................... 620
29,000 YAMAHA CORP ........................ 301
-------
475,298
-------
ENGINEERING AND MANAGEMENT SERVICES--0.01%
5,828 DUN & BRADSTREET CORP .............. 184
5,800 OYO CORP ........................... 94
116,000(degree)SEMBCORP INDUSTRIES LTD ........... 132
202,000(degree)SINGAPORE TECHNOLOGIES
ENGINEERING LTD ................... 189
See notes to financial statements.
44
<PAGE>
GLOBAL EQUITIES ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ -----
ENGINEERING AND MANAGEMENT SERIES -- (CONTINUED)
132,000(degree)TIME ENGINEERING BERHAD ........... 22
43,000 TOYO ENGINEERING CO ................ 46
11,100(degree)VEDIOR NV-CVA ..................... 219
-------
886
-------
FABRICATED METAL PRODUCTS--0.92%
855,000 ASSA ABLOY AB SERIES B ............. 32,699
105,800 BICC LTD ........................... 124
500(degree)BOHLER-UDDEHOLM AG. (BR) .......... 23
700,150 BTR PLC ............................ 1,444
6,400 CCL INDUSTRIES, INC (CLASS B) ...... 74
1,673(degree)COLEP-COMPANHIA PORTUGUESA
DE EMBALAGE ....................... 12
11,188 CROWN CORK & SEAL CO, INC .......... 345
716 FISCHER (GEORGE) LTD (REGD) ........ 242
130,199 GILLETTE CO ........................ 6,290
136,880 GKN PLC ............................ 1,816
51,620 MAGNETI MARELLI .................... 90
72,200 MASCO CORP ......................... 2,076
27,948 PARKER-HANNIFIN CORP ............... 915
27,421 ROCKWELL INTERNATIONAL CORP ........ 1,332
38,000(degree)SANKYO ALUMINIUM INDUSTRY CO LTD .. 33
39,000 SANWA SHUTTER CORP ................. 171
75,800(degree)SMC CORP .......................... 6,061
5,100 SNAP-ON, INC ....................... 178
13,800 STANLEY WORKS CO ................... 383
44,000 TOSTEM CORP ........................ 874
36,600 TOYO SEIKAN KAISHA LTD ............. 622
-------
55,804
-------
FOOD AND KINDRED PRODUCTS--2.39%
5(degree)AGRIBRANDS INTERNATIONAL, INC ..... 0
43,000 AJINOMOTO CO LTD ................... 457
2,250 ALLIED DOMECQ PLC .................. 21
58,312 ANHEUSER BUSCH COS, INC ............ 3,827
108,654 ARCHER DANIELS MIDLAND CO .......... 1,867
40,000 ASAHI BREWERIES LTD ................ 590
145,333(degree)ASIA FOOD & PROPERTIES LTD ........ 23
10,900(degree)ASIA FOOD & PROPERTIES LTD WTS 07/12/02 1
111,774 ASSOCIATED BRITISH FOODS PLC ....... 1,057
14,003 AZUCARERA EBRO AGRICOLAS S.A. ...... 309
109,966 BASS PLC ........................... 1,601
300 BONGRAIN S.A. ...................... 134
784(degree)BRAU UND BRUNNEN AG. .............. 71
139,898 CADBURY SCHWEPPES LTD .............. 2,386
19,654 CAMPBELL SOUP CO ................... 1,081
5,200 CARLSBERG BREWERIES AS (CLASS A) ... 302
88,275 COCA COLA AMATIL LTD ............... 329
258,464 COCA COLA CO ....................... 17,285
55,744 CONAGRA, INC ....................... 1,756
12,400 COTT CORP .......................... 44
4,000(degree)CULTOR OYJ SERIES 1 ............... 41
4,200 CULTOR OYJ SERIES 2 ................ 43
4,900 DANISCO AS ......................... 266
7,800 DANONE GROUP ....................... 2,234
12,000 DCC PLC ............................ 102
3,637 ERIDANIA BEGHIN-SAY S.A. ........... 630
35,500 EZAKI GLICO CO LTD ................. 204
948,300 FOSTERS BREWING GROUP LTD .......... 2,571
14,000 FRASER & NEAVE LTD ................. 41
39,156 GENERAL MILLS, INC ................. 3,044
79,612 GOODMAN FIELDER LTD ................ 81
37,250 HEINEKEN NV ........................ $ 2,243
46,565 HEINZ (H.J.) CO .................... 2,637
16,000 HOUSE FOODS CORP ................... 271
179,900 ITOEN LTD .......................... 9,298
27,100 KERRY GROUP (CLASS A) .............. 370
49,000 KIKKOMAN CORP ...................... 312
151,000 KIRIN BREWERY CO LTD ............... 1,928
121,100 LION NATHAN LTD .................... 309
8,346 LVMH MOET HENNESSY LOUIS VUITTON ... 1,652
73,000 MEIJI SEIKA KAISHA LTD ............. 291
2,300 MOLSON CO LTD (CLASS A) ............ 33
13,000 NESTLE MALAYSIA BERHAD ............. 36
4,242 NESTLE S.A. (REGD) ................. 9,234
59,000 NICHIREI CORP ...................... 141
37,000 NIPPON BEET SUGAR MANUFACTURING
CO LTD ............................ 58
37,000 NIPPON MEAT PACKERS, INC ........... 597
29,000 NIPPON OIL & FATS CO LTD ........... 58
93,000(degree)NIPPON SUISAN KAISHA LTD .......... 107
8,000 NISSIN FOOD PRODUCTS CO LTD ........ 202
7,000 ORKLA AS SERIES A .................. 104
400 OSTERREICHISCHE BRAU-AKTIENGESELLSCHAF 23
6,900(degree)OYJ HARTWALL ABP .................. 112
161,900 PARMALAT FINANZIARIA S.P.A. ........ 310
90 PEPSICO, INC ....................... 4
10,536 PERNOD-RICARD S.A. ................. 685
625 PPB OIL PALMS BERHAD ............... 0
36,000(degree)Q.P. CORP ......................... 296
34,873 QUAKER OATS CO ..................... 2,075
21,000(degree)RAISIO GROUP PLC .................. 232
1,483,665 RALSTON PURINA CO .................. 48,034
850 SAPPORO BREWERIES LTD .............. 4
66,698 SARA LEE CORP ...................... 1,880
52,579 SCOTTISH & NEWCASTLE PLC ........... 611
32,800 SEAGRAMS CO LTD .................... 1,244
1,028,000 SNOW BRAND MILK PRODUCTS CO ........ 4,703
98,560 SOUTHCORP LTD ...................... 315
53,100 TATE & LYLE PLC .................... 292
203,000(degree)THAI UNION FROZEN PRODUCTS (FR) ... 888
2,800 UNICER-UNIAO CERVEIJEIRA S.A. ...... 67
61,460 UNIGATE PLC ........................ 442
313,914 UNILEVER LTD ....................... 3,520
74,901 UNILEVER NV CERT ................... 6,406
4,523 UNITED BISCUITS HOLDINGS PLC ....... 18
6,640 VISCOFAN S.A. ...................... 215
7,000 YAMAZAKI BAKING CO LTD ............. 91
-------
144,746
-------
FOOD STORES--2.19%
38,667 ALBERTSONS, INC .................... 2,463
14,811 CARREFOUR SUPERMARCHE S.A. ......... 11,186
13,600(degree)CASINO GUICHARD-PERRACHON S.A. .... 1,417
438 COLRUYT S.A. ....................... 367
826 DAIRY FARM INTERNATIONAL HOLDINGS LTD 1
6,600 DELHAIZE FRERES NV ................. 584
178,000 ITO-YOKADO CO LTD .................. 12,466
6,350(degree)JERONIMO MARTINS SGPS S.A. ........ 347
160,891 KONINKLIJKE AHOLD NV ............... 5,950
52,171(degree)KROGER CO ......................... 3,156
6,700 OSHAWA GROUP LTD (CLASS A) ......... 159
2,811 PROMODES S.A. ...................... 2,045
28,320 RINASCENTE S.P.A. .................. 292
138,700 SAFEWAY PLC ........................ 697
1,433,269(degree)SAFEWAY, INC ...................... 87,340
178,015 SAINSBURY (J) PLC .................. 1,427
See notes to financial statements.
45
<PAGE>
GLOBAL EQUITIES ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ -----
FOOD STORES--(CONTINUED)
820,934 TESCO PLC .......................... $ 2,339
13,000 UNY CO LTD ......................... 238
-------
132,474
-------
FORESTRY--0.00%
2,100 CORTICEIRA AMORIM S.A. ............. 30
1,300 GEORGIA-PACIFIC CORP (TIMBER GROUP) 31
10,000 KUALA LUMPUR KEPONG BERHAD ......... 12
-------
73
-------
FURNITURE AND FIXTURES--0.02%
322,900(degree)OLIVETTI GROUP S.P.A. ............. 1,126
-------
FURNITURE AND HOMEFURNISHINGS STORES--0.02%
10,000 SHIMACHU CO ........................ 199
24,861 TANDY CORP ......................... 1,024
-------
1,223
-------
GENERAL BUILDING CONTRACTORS--0.07%
51,820 AMEC PLC ........................... 153
23,100 BERKELEY GROUP PLC ................. 169
15,186 CENTEX CORP ........................ 684
75,000 DAIWA HOUSE INDUSTRY CO LTD ........ 800
91,000(degree)EKRAN BERHAD ...................... 17
50,000 FLETCHER CHALLENGE LTD
(BUILDING DIVISION) ............... 77
148,000(degree)FUJITA CORP ....................... 83
136,000 IGB CORP BERHAD .................... 35
38,700 LEIGHTON HOLDINGS LTD .............. 166
38,164 MISAWA HOMES CO LTD ................ 118
34,000 NISHIMATSU CONSTRUCTION CO LTD ..... 199
56,000 OBAYASHI CORP ...................... 269
34,000 SHIMIZU CORP ....................... 114
11,900 SKANSKA AB SERIES B FREE ........... 330
1,360(degree)SOCIEDADE DE CONSTR SOARES DA COS BABY 4
188,000 TAISEI CORP ........................ 362
59,300 TAYLOR WOODROW PLC ................. 148
51,371 WILSON (CONNOLLY) HOLDINGS PLC ..... 92
74,100 WIMPEY (GEORGE) LTD ................ 134
16,500 YTL CORP BERHAD .................... 15
-------
3,969
-------
GENERAL MERCHANDISE STORES--2.00%
629,518 COLES MYER LTD ..................... 3,302
39,000 DAIEI, INC ......................... 106
99,000 DAVID JONES LTD .................... 109
519,284 DAYTON HUDSON CORP ................. 28,171
206,000 GIORDANO INTERNATIONAL LTD ......... 39
12,000 HAGEMEYER NV ....................... 439
8,000 HANKYU DEPARTMENT STORES, INC ...... 53
8,000 ISETAN CO .......................... 86
180 JELMOLI HOLDINGS AG. (BR) .......... 202
42,000(degree)JUSCO CO LTD ...................... 851
126,254(degree)K MART CORP ....................... 1,933
1,350(degree)KARSTADT AG. ...................... 705
10,500 KESCO OYJ .......................... 158
244,884 KINGFISHER PLC ..................... 2,650
273,536 MARKS & SPENCER PLC ................ 1,876
313,000 MARUI CO LTD ....................... 6,035
16,186 MAY DEPARTMENT STORES CO ........... 977
37,500 METRO AG. .......................... 2,994
32,000 METRO HOLDINGS LTD ................. 30
70,200 MYCAL CORP ......................... 419
3,410 PENNEY (J.C.) CO, INC .............. 160
11,500 PINAULT-PRINTEMPS-REDOUTE S.A. ..... 2,199
28,454(degree)SEARS PLC ......................... 123
90,273 SEARS ROEBUCK & CO ................. 3,837
954 SELFRIDGES PLC ..................... 3
2,700 SONAE INVESTIMENTOS-SGPS S.A. ...... 131
6,800 STOCKMANN B FREE ................... 128
32,000 TAKASHIMAYA CO LTD ................. 270
776,170 WAL-MART STORES, INC ............... 63,209
97,639 WATERFORD WEDGWOOD PLC (UNITS) ..... 83
-------
121,278
-------
HEALTH SERVICES--0.34%
31,707 COLUMBIA/HCA HEALTHCARE CORP ....... 785
15,700(degree)EXTENDICARE, INC (CLASS A) ........ 89
2,700(degree)HCR MANOR CARE .................... 79
84,151(degree)HEALTHSOUTH CORP .................. 1,299
13,300 MDS, INC (CLASS B) ................. 255
50,800(degree)MEDPARTNERS, INC .................. 267
87(degree)QUEST DIAGNOSTICS, INC ............ 2
666,700(degree)TENET HEALTHCARE CORP ............. 17,501
-------
20,277
-------
HEAVY CONSTRUCTION, EXCEPT BUILDING--0.59%
9,800(degree)ACS ACTIVIDADES CONS Y SERV ....... 387
82,000(degree)AOKI CONSTRUCTION CO LTD .......... 39
20,980 AUTOPISTAS CONCESIONARIA ESPANOLA S.A. 349
1,286 BOUYGUES S.A. ...................... 265
535,800 BRISA-AUTO ESTRADAS DE PORTUGAL S.A. 31,539
30,000(degree)CHIYODA CORP ...................... 57
4,300 DRAGADOS Y CONSTRUCCIONES S.A. ..... 159
2,328 ENGIL-SGPS ......................... 16
9,100 FOMENTO CONSTRUCCIONES Y
CONTRATAS S.A. ..................... 678
18,000 HOCHTIEF AG. ....................... 702
2,753 HOLLANDSCHE BETON GROEP NV (H.B.G.) 34
80,000(degree)IMPREGILO S.P.A. .................. 72
39,000 JGC CONSTRUCTION CORP .............. 92
142,000 KAJIMA CORP ........................ 371
14,000 KUMAGAI GUMI LTD (H.K.) ............ 6
25,000 MAEDA ROAD CONSTRUCTION CO LTD ..... 168
1,146(degree)MORRISON KNUDSEN CORP WTS 03/11/03 4
38,000(degree)NIIGATA ENGINEERING CO LTD ........ 31
25,000 OKUMURA CORP ....................... 111
6,000(degree)RENONG BERHAD ..................... 1
50,000 SATO KOGYO ......................... 38
1,700 (degree)SOCIEDADE DE CONSTRUCOES
SOARES DA COS ..................... 6
2,511 SOMAGUE-SGPS S.A. .................. 15
2,500 SUPERFOS AS ........................ 37
9,000 TOYO EXTERIOR CORP ................. 88
60,000 #(degree)UNITED ENGINEERING BERHAD ... 31
119,000 UNITED INDUSTRIAL CORP ............. 48
700 VA TECHNOLOGIE AG. (BR) ............ 61
-------
35,405
-------
HOLDING AND OTHER INVESTMENT OFFICES--0.24%
207,145(degree)ALLIED ZURICH PLC ................. 3,090
497,200 BRIERLEY INVESTMENTS LTD ........... 113
8,900(degree)DROTT AB SERIES B ................. 82
64,478 EQUITY OFFICE PROPERTIES TRUST ..... 1,547
15,100 EQUITY RESIDENTIAL PROPERTIES TRUST CO 611
945 EURAFRANCE S.A. .................... 626
411,000 HUTCHINSON WHAMPOA LTD ............. 2,905
92,885 LAND SECURITIES PLC ................ 1,196
210,000 LEND LEASE CORP LTD ................ 2,834
See notes to financial statements.
46
<PAGE>
GLOBAL EQUITIES ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ -----
HOLDING AND OTHER INVESTMENT OFFICES--(CONTINUED)
18,600 ORIENTAL HOLDINGS .................. $ 20
28,000 POWER CORP OF CANADA ............... 605
9,530 SIMON PROPERTY GROUP, INC .......... 272
72,000 SUMITOMO CORP ...................... 351
556,400(degree)UNIONE IMMOBILIARE S.P.A. ......... 291
3,249(degree)WESTFIELD TRUST (UNITS) NEW ....... 7
-------
14,550
-------
HOTELS AND OTHER LODGING PLACES--0.05%
5,857 ACCOR S.A. ......................... 1,269
3,900(degree)CLUB MEDITERRANEE S.A. ............ 350
5,237(degree)CRESTLINE CAPITAL CORP ............ 77
102,700(degree)CROWN LTD ......................... 38
5,000 FUJITA KANKO, INC .................. 44
8,000 GENTING BERHAD ..................... 12
206,000 HONG KONG & SHANGHAI HOTELS LTD .... 146
127,000 HOTEL PROPERTIES LTD ............... 54
8,000 JURYS HOTEL GROUP PLC .............. 61
18,572 LADBROKE GROUP PLC ................. 75
122,000 LANDMARKS HOLDINGS BERHAD .......... 23
118,000 MIRAMAR HOTEL & INVESTMENT CO LTD .. 121
14,159(degree)PROMUS HOTEL CORP ................. 458
69,000 RESORTS WORLD BERHAD ............... 56
62,000 SHANGRI-LA ASIA LTD ................ 53
13,000 SHANGRI-LA HOTEL LTD ............... 21
7,300 SOL MELIA S.A. ..................... 255
-------
3,113
-------
INDUSTRIAL MACHINERY AND EQUIPMENT--7.05%
750 ABB ASEA BROWN BOVERI LTD (BR) ..... 879
9,800 AGIV AG. ........................... 253
22,000 AMADA CO LTD ....................... 107
23,000 AMANO CORP ......................... 218
34,000(degree)APPLE COMPUTER, INC ............... 1,392
45,200(degree)APPLIED MATERIALS, INC ............ 1,929
18,200 ATLAS COPCO AB SERIES B FREE ....... 395
39,242 BAKER HUGHES, INC .................. 694
7,342 BLACK & DECKER CORP ................ 412
1,200 BRUNSWICK CORP ..................... 30
650(degree)BUDERUS AG. ....................... 237
7,400 CASE CORP .......................... 161
24,833 CATERPILLAR, INC ................... 1,142
861,617(degree)CISCO SYSTEMS, INC ................ 79,969
6,941 CUMMINS ENGINE CO, INC ............. 246
42,000 DAIKIN INDUSTRIES LTD .............. 417
24,104 DEERE & CO ......................... 798
302,818(degree)DELL COMPUTER CORP ................ 22,162
18,360 DELTA PLC .......................... 34
13,000(degree)DEUTZ AG. ......................... 121
10,000 EBARA CORP ......................... 86
71,105(degree)EMC CORP .......................... 6,044
1,600(degree)EST ASIATIQUE ..................... 11
27,200 FANUC LTD .......................... 933
111,544 FKI PLC ............................ 250
4,000 FLS INDUSTRIES AS (CLASS B) ........ 82
103,991 FUTURIS CORP LTD ................... 118
20(degree)GLOBAL INDUSTRIAL TECHNOLOGIES, INC 0
107,364 HEWLETT-PACKARD CO ................. 7,334
6,000 HITACHI ZOSEN CORP ................. 8
5,000 INDUSTRIE-WERKE KARLSRUHE
AUGSBURG AG. ...................... 82
30,013 INGERSOLL-RAND CO .................. 1,409
416,649 INTERNATIONAL BUSINESS MACHINES CORP 76,976
632,500 KEPPEL CORP ........................ 1,694
57,000 KOMATSU LTD ........................ 300
18,000 KOMORI CORP ........................ 380
655 KONE CORP SERIES B ................. 76
117,000 KUBOTA CORP ........................ 350
11,000 KURITA WATER INDUSTRIES LTD ........ 162
120 LINDE AG. .......................... 74
15,000 MAKINO MILLING MACHINE CO LTD ...... 86
35,000 MAKITA CORP ........................ 391
6,520 METRA CO SERIES B .................. 113
293,000 MINEBEA CO LTD ..................... 3,361
39,452 MINNESOTA MINING & MANUFACTURING CO 2,806
441,000 MITSUBISHI HEAVY INDUSTRIES LTD .... 1,720
17,000 MORI SEIKI CO LTD .................. 193
89,800 NIDEC CORP ......................... 11,010
33,000 OKUMA CORP ......................... 172
4,000 OMRON CORP ......................... 55
1,013 RAUMA OY ........................... 15
20,000 SANDVIK AB SERIES A ................ 348
6,100 SANDVIK AB SERIES B FREE ........... 105
320 SCHINDLER HOLDINGS LTD (REGD) ...... 545
62,662(degree)SEAGATE TECHNOLOGY, INC ........... 1,896
143,700 SIDEL S.A. ......................... 12,193
2,674 STORK NV ........................... 61
100 SULZER WINTERTHUR AG. (REGD) ....... 61
11,600 SVENKA KULLAGERFABRIKEN AB SERIES B 135
12,000 TAKUMA CO LTD ...................... 77
2,000 TOMRA SYSTEMS AS ................... 66
11,100 TOYODA AUTOMATIC LOOM WORKS LTD .... 197
27,000 TSUBAKIMOTO CHAIN CO ............... 58
5,000(degree)TSUGAMI CORP ...................... 5
1,656,730 TYCO INTERNATIONAL LTD ............. 124,980
1,676,165(degree)UNISYS CORP ....................... 57,723
7,400(degree)VALMET OY SERIES A ................ 99
36,000(degree)VAN DER HORST LTD ................. 9
40,500 VICKERS PLC ........................ 122
2,333 ZARDOYA OTIS S.A. .................. 73
-------
426,640
-------
INSTRUMENTS AND RELATED PRODUCTS--2.08%
6,000 ASAHI OPTICAL CO LTD ............... 21
31,041 BAXTER INTERNATIONAL, INC .......... 1,996
10,520 BECTON DICKINSON & CO .............. 449
91,000 CANON, INC ......................... 1,948
35,000 CASIO COMPUTER CO LTD .............. 259
11,000 CITIZEN WATCH CO LTD ............... 66
50,700 EASTMAN KODAK CO ................... 3,650
2,112 ESSILOR INTERNATIONAL .............. 832
54,000 FUJI PHOTO FILM CO LTD ............. 2,011
75,700 IMI PLC ............................ 299
2,630 INSTRUMENTARIUM GROUP SERIES B FREE 109
14,941 JOHNSON CONTROLS, INC .............. 882
90,000 KONICA CORP ........................ 411
3,798(degree)LITTON INDUSTRIES, INC ............ 248
571,000 NIKON CORP ......................... 5,568
9,300 OCE NV ............................. 334
715,000 OLYMPUS OPTICAL CO LTD ............. 8,234
7,430 OXFORD INSTRUMENTS GROUP PLC ....... 25
1,000 RADIOMETER AS (CLASS B) ............ 53
1,077(degree)RICOH CO LTD ...................... 10
1,087 SAGEM S.A. ......................... 720
15,770,740 SIEBE PLC .......................... 62,187
See notes to financial statements.
47
<PAGE>
GLOBAL EQUITIES ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ -----
INSTRUMENTS AND RELATED PRODUCTS--(CONTINUED)
12,200 TEKTRONIX, INC ..................... $ 367
5,577 THE SWATCH GROUP AG. (REGD) ........ 835
166,843 WILLIAMS PLC ....................... 947
279,628 XEROX CORP ......................... 32,996
54,000 YOKOGAWA ELECTRIC CORP ............. 268
-------
125,725
-------
INSURANCE AGENTS, BROKERS AND SERVICE--0.06%
10,057 (degree)FORTIS AG. .................. 3,645
4,662(degree)FORTIS AG. CVG .................... 21
5,494 FORTIS AG. NPV (STRIP VVPR) ........ 0
326 GENERALI HOLDING VIENNA ............ 80
-------
3,746
-------
INSURANCE CARRIERS--7.22%
2,550 AACHENER & MUNCHENER BETEIL (BR) ... 300
7,500 AACHENER & MUNCHENER BETEIL (REGD) . 1,103
1,014,882 ACE LTD ............................ 34,950
591,000 AEGON NV ........................... 72,619
22 AEGON NV ARS ....................... 3
6,343 AETNA, INC ......................... 499
42,647 AFLAC, INC ......................... 1,876
29 ALLEANZA ASSICURAZIONI (S/S) NON CV 0
28,739 ALLIANZ AG. (REGD) ................. 10,542
480,512 ALLSTATE CORP ...................... 18,560
668,122 AMERICAN INTERNATIONAL GROUP, INC .. 64,557
386,000(degree)AMP LTD ........................... 4,895
4,700 AON CORP ........................... 260
120,964 ASSICURAZIONI GENERALI S.P.A. ...... 5,061
466,155 AXA ................................ 67,593
666(degree)AXA CTF DE VALEUR GARANT .......... 3
29(degree)BERKSHIRE HATHAWAY, INC (CLASS A) . 2,030
10(degree)BERKSHIRE HATHAWAY, INC (CLASS B) . 24
153,254 CGU PLC ............................ 2,399
9,200 CHUBB CORP ......................... 597
42,670 CIGNA CORP ......................... 3,299
817,090 CITIGROUP, INC ..................... 40,446
6,599 COLONIA KONZERN AG. (REGD) ......... 749
1,300 COMPANHIA DE SEGUROS TRANQUILIDADE . 41
1,000 CORPORACION MAPFRE S.A. ............ 27
323,811 EXEL LTD (CLASS A) ................. 24,286
1,700(degree)FAIRFAX FINANCIAL HOLDINGS LTD .... 598
39,704 GIO AUSTRALIAN HOLDINGS LTD ........ 131
85,300 GUARDIAN ROYAL EXCHANGE PLC ........ 478
12,547 HARTFORD FINANCIAL SERVICES GROUP, INC 689
461,400 INSTITUTO NAZIONALE DELLE ASSICURAZION 1,221
47,389 IRISH LIFE ......................... 447
23,503 JEFFERSON-PILOT CORP ............... 1,763
205,869 LEGAL & GENERAL GROUP PLC .......... 2,673
7,000 LINCOLN NATIONAL CORP .............. 573
2,500 MBIA, INC .......................... 164
79,000 MITSUI TAISHO MARINE & FIRE CO LTD . 417
8,310 MUENCHENER RUECKVER AG. (REGD) ..... 4,026
700 MUENCHENER RUECKVER GESELLSCHAFT
AG. (BR) .......................... 230
68,000 NICHIDO FIRE & MARINE INSURANCE CO LTD 335
79,000 NIPPON FIRE & MARINE INSURANCE CO LTD 291
20,300(degree)OXFORD HEALTH PLANS, INC .......... 302
2,000(degree)PACIFICARE HEALTH SYSTEMS, INC (CLASS A) 146
8,600(degree)PACIFICARE HEALTH SYSTEMS, INC (CLASS B) 684
5,300 POHJOLA INSURANCE CO LTD SERIES B .. 291
184,876 PRUDENTIAL CORP PLC ................ 2,791
234,526 QBE INSURANCE GROUP LTD ............ 971
65,000 RAS S.P.A. ......................... 944
149,940 ROYAL & SUN ALLIANCE INSURANCE
GROUP PLC ......................... 1,224
18,400 SAI S.P.A. ......................... 222
7,200(degree)SAMPO INSURANCE CO SERIES A ....... 275
1,723 SCHWEIZERISCHE RUCKVERSICHERUNG (REGD) 4,492
52,000 SKANDIA FORSAKRINGS AB ............. 795
11,600 UNI-STOREBRAND AS SERIES A ......... 88
65,972 SUMITOMO MARINE & FIRE INSURANCE CO 419
13,015 SUNAMERICA, INC .................... 1,056
639,000 TOKIO MARINE & FIRE INSURANCE CO LTD 7,648
12,500 TORCHMARK CORP ..................... 441
892,154 UNITED HEALTHCARE CORP ............. 38,418
20,900 UNUM CORP .......................... 1,220
4,823(degree)ZURICH ALLIED AG. ................. 3,571
-------
436,753
-------
LOCAL AND INTERURBAN PASSENGER TRANSIT--0.18%
1,720 EAST JAPAN RAILWAY CO .............. 9,622
50,286 LAIDLAW, INC ....................... 506
224,500 STAGECOACH HOLDINGS PLC ............ 894
-------
11,022
-------
LUMBER AND WOOD PRODUCTS--0.18%
382,300 CARTER HOLT HARVEY LTD ............. 343
207,060 FLETCHER CHALLENGE LTD (FORESTS DIVISION) 69
23,850 GEORGIA-PACIFIC CORP (PACKAGING GROUP) 1,397
18,000 JAYA TIASA HOLDINGS BERHAD ......... 17
400 LOUISIANA PACIFIC CORP ............. 7
26,200 MACMILLAN BLOEDEL LTD .............. 261
808,900 SEKISUI HOUSE LTD .................. 8,569
15,000 SUMITOMO FORESTRY CO LTD ........... 108
3,700 WEYERHAEUSER CO .................... 188
-------
10,959
-------
METAL MINING--0.16%
710(degree)ALUSUISSE LONZA HOLDINGS AG. (REGD) 827
14,100 BARRICK GOLD CORP .................. 274
33,900(degree)BARRICK GOLD CORP (U.S.) .......... 661
16,500 CAMBIOR, INC ....................... 81
5,100 CAMECO CORP ........................ 91
23,970 CYPRUS AMAX MINERALS CO ............ 240
31,000(degree)ECHO BAY MINES LTD ................ 53
3,000 ELKEM AS ........................... 36
4,500 FREEPORT-MCMORAN COPPER & GOLD, INC
(CLASS A) ......................... 44
40,677 FREEPORT-MCMORAN COPPER & GOLD, INC
(CLASS B) ......................... 425
77,109 GREAT CENTRAL MINES LTD ............ 55
19,000 HOMESTAKE MINING CO ................ 175
4,081 INCO LTD CO ........................ 43
3,000 INCO LTD CO (U.S.) ................. 32
42,819 LONRHO PLC ......................... 234
1,584,059 MIM HOLDINGS LTD ................... 700
260,000 MITSUBISHI MATERIALS CORP .......... 438
17,000 MITSUI MINING & SMELTING CO LTD .... 84
11,700 NEWMONT MINING CORP ................ 211
99,000 NIPPON LIGHT METAL CO LTD .......... 104
35,500 NORANDA, INC ....................... 352
243,392 NORMANDY MINING LTD ................ 225
28,680 NORTH LTD .......................... 47
13,900 OUTOKUMPU OY SERIES A .............. 128
26,900 PLACER DOME, INC ................... 306
59,000(degree)RESOLUTE SAMANTHA LTD ............. 42
14,300 RIO ALGOM LTD ...................... 153
156,900 RIO TINTO LTD ...................... 1,863
See notes to financial statements.
48
<PAGE>
GLOBAL EQUITIES ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ -----
METAL MINING--(CONTINUED)
36,050 RIO TINTO PLC (BR) ................. $ 402
61,758 RIO TINTO PLC (REGD) ............... 718
6,300 SMITH (HOWARD) LTD ................. 42
29,392 SONS OF GWALIA NL .................. 84
58,300 STRAITS TRADING CO ................. 38
32,000 SUMITOMO METAL MINING CO LTD ....... 104
22,900 TECK CORP LTD (CLASS B) ............ 167
2,400 UNION MINIERE GROUP S.A. ........... 91
24,520(degree)WESTRALIAN SANDS LTD NEW .......... 59
102,000 WMC LTD ............................ 308
13,000(degree)ZIMBABWE PLATINUM MINES LTD ....... 3
-------
9,940
-------
MISCELLANEOUS MANUFACTURING INDUSTRIES--0.01%
3,000 (degree)AMER GROUP LTD PLC SERIES A . 31
32,300(degree)BULGARI S.P.A. .................... 193
2,925 INTERNATIONAL GAME TECHNOLOGY CO ... 71
1,239 MATTEL, INC ........................ 28
632 RHI AG. ............................ 16
1,000 SEGA ENTERPRISES LTD ............... 22
26,000 VARITRONIX INTERNATIONAL LTD ....... 49
-------
410
-------
MISCELLANEOUS RETAIL--0.17%
51,700 BOOTS CO LTD ....................... 880
32,205 CVS CORP ........................... 1,771
178,720 GREAT UNIVERSAL STORES PLC ......... 1,884
9,942 NEXT PLC ........................... 82
54,150(degree)STAPLES, INC ...................... 2,366
10,713(degree)TOYS R US, INC .................... 181
55,562 WALGREEN CO ........................ 3,254
-------
10,418
-------
MOTION PICTURES--0.15%
272,062 DISNEY (WALT) CO ................... 8,162
2 PATHE S.A. ......................... 1
30,324 RANK GROUP PLC ..................... 117
3,000 TOEI CO ............................ 9
3,810 TOHO CO LTD ........................ 523
-------
8,812
-------
NONDEPOSITORY INSTITUTIONS--1.43%
18,000 ACOM CO LTD ........................ 1,159
70,785 AMERICAN EXPRESS CO ................ 7,238
409,212 ASSOCIATES FIRST CAPITAL CORP ...... 17,340
1,300 CORPORACION FINANCIERE ALBA S.A. ... 217
3,200 COUNTRYWIDE CREDIT INDUSTRIES, INC . 161
11,162 CREDIT SAISON CO LTD ............... 276
584,548 FEDERAL NATIONAL MORTGAGE ASSOCIATION 43,257
227,800 HALIFAX PLC ........................ 3,233
110,082 ING GROEP NV ....................... 6,716
12,000 IRISH PERMANENT PLC ................ 181
67,700 MEDIOBANCA S.P.A. .................. 942
59,000 NIPPON SHINPAN CO LTD .............. 116
3,000 ORIX CORP .......................... 224
28,923 PROVIDENT FINANCIAL PLC ............ 426
26,795 SCHROEDERS LTD ..................... 489
13,700 SHOHKOH FUND & CO .................. 4,421
-------
86,396
-------
NONMETALLIC MINERALS, EXCEPT FUELS--0.01%
234,398 ASHTON MINING LTD .................. 118
49,000(degree)GOLDEN PLUS HOLDINGS BERHAD ....... 10
7,900 POTASH CORP OF SASKATCHEWAN, INC ... 507
900 VULCAN MATERIALS CO ................ 118
-------
753
-------
OIL AND GAS EXTRACTION--2.15%
13,200 ALBERTA ENERGY LTD ................. 284
8,875(degree)CANADIAN HUNTER EXPLORATION, INC .. 58
18,400(degree)CANADIAN NATURAL RESOURCES LTD .... 276
13,367 CANADIAN OCCIDENTAL PETROLEUM LTD .. 138
4,100 COFLEXIP S.A. ...................... 278
60,200 FLETCHER CHALLENGE LTD (ENERGY DIVISION) 114
17,500 GULF CANADA RESOURCES LTD .......... 51
54,669 HALLIBURTON CO ..................... 1,620
4,800 HELMERICH & PAYNE, INC ............. 93
2,353,450 +IHC CALAND NV ...................... 97,815
55,100 IMPERIAL OIL LTD ................... 881
2,875 KONINKLIJKE PAKHOED HOLDINGS NV .... 73
140,366 LONDON & SCOTTISH MARINE OIL PLC ... 234
1,200 OMV AKTIENGESELLS AG. .............. 113
1,903,550(degree)PETROLEUM GEO-SERVICES AS ......... 24,235
28,300(degree)POCO PETROLEUM LTD ................ 236
5,500 PRIMAGAZ ........................... 522
25,600(degree)RENAISSANCE ENERGY LTD ............ 291
3,000 SMEDVIG AS SERIES A ................ 25
4,800(degree)TALISMAN ENERGY, INC .............. 84
4,300 TECHNIP S.A. ....................... 405
25,240 TOTAL S.A. ......................... 2,557
15,000(degree)TULLOW OIL PLC .................... 12
-------
130,395
-------
PAPER AND ALLIED PRODUCTS--0.27%
9,400 ABITIBI CONSOLIDATED, INC .......... 87
210,000 AMCOR LTD .......................... 898
174,700 ARJO WIGGINS APPLETON PLC .......... 321
900 AVERY DENNISON CORP ................ 41
145,000 BERJAYA GROUP BERHAD ............... 22
14,394 BOISE CASCADE CORP ................. 446
7,040 BUHRMANN NV ........................ 126
1,600 BUNZL PLC .......................... 6
10,800 CARTIERE BURGO S.P.A. .............. 70
24,400 CHAMPION INTERNATIONAL CORP ........ 988
16,600 DOMTAR, INC ........................ 96
103,900 FLETCHER CHALLENGE LTD (PAPER DIVISION) 70
56,438 FORT JAMES CORP .................... 2,258
20,279 INTERNATIONAL PAPER CO ............. 909
1,800(degree)INVESTIMENTOS PARTICIPACOES (BABY SHS) 19
2,700 INVESTIMENTOS PARTICIPACOES E GESTAO 28
182,929(degree)JEFFERSON SMURFIT GROUP PLC ....... 330
63,811 KIMBERLY CLARK CORP ................ 3,478
545(degree)MAYR-MELNHOF KARTON AG. ........... 25
62,000 MITSUBISHI PAPER MILLS LTD ......... 127
15,478(degree)NEXFOR, INC ....................... 61
74,000 NGK INSULATORS LTD ................. 956
43,000 NIPPON PAPER INDUSTRIES CO ......... 196
2,400 NORSKE SKOGINDUSTRIER SERIES A ..... 70
144,666 OJI PAPER CO LTD ................... 753
5,944 PORTUCEL INDUSTRIA EMPRESA ......... 39
35,520(degree)RENO DE MEDICI S.P.A. ............. 112
55,600(degree)REPAP ENTERPRISES, INC ............ 3
101,175 REXAM PLC .......................... 285
20,300 SCA AB SERIES B .................... 443
9,600 STORA KOPPARBERG BERGSLAGS
SERIES A FREE ..................... 105
24,400 STORA KOPPARBERG BERGSLAGS
SERIES B FREE ..................... 271
See notes to financial statements.
49
<PAGE>
GLOBAL EQUITIES ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ -----
PAPER AND ALLIED PRODUCTS--(CONTINUED)
5,100 UNI CHARM CORP ..................... $ 240
17,700 UNION CAMP CORP .................... 1,195
37,400 UPM-KYMMENE OY ..................... 1,049
2,698 WESTVACO CORP ...................... 72
1,700 WILLAMETTE INDUSTRIES, INC ......... 57
-------
16,252
-------
PERSONAL SERVICES--0.02%
23,625 BLOCK (H&R), INC ................... 1,063
400(degree)LOEWEN GROUP, INC ................. 3
1,100 SERVICE CORP INTERNATIONAL ......... 42
-------
1,108
-------
PETROLEUM AND COAL PRODUCTS--3.62%
71,461 AMOCO CORP ......................... 4,216
16,201 ATLANTIC RICHFIELD CO .............. 1,057
442,090 BG PLC ............................. 2,790
2,416,741 BRITISH PETROLEUM PLC .............. 36,088
613,755 BROKEN HILL PROPRIETARY CO LTD ..... 4,525
99,891 CHEVRON CORP ....................... 8,285
127,000 COSMO OIL CO LTD ................... 193
32,139 ELF AQUITANE S.A. .................. 3,717
950,300 ENTE NAZIONALE IDROCARBURI S.P.A. .. 6,224
920,902 EXXON CORP ......................... 67,341
84,000(degree)MITSUBISHI OIL CO LTD ............. 148
392,696 MOBIL CORP ......................... 34,214
8,487 MURPHY OIL CORP .................... 350
159,800 NIPPON OIL CO LTD .................. 558
12,900 NORSK HYDRO AS ..................... 435
17,300 PETRO-CANADA (VARIABLE- VOTE) ...... 183
2,900 PETROFINA S.A. ..................... 1,330
33,608 REPSOL S.A. ........................ 1,795
845,705 ROYAL DUTCH PETROLEUM CO ........... 42,134
34,775 SANTOS LTD ......................... 93
7,100 SUNCOR ENERGY, INC ................. 213
24,116 SUNOCO, INC ........................ 870
33,788 UNOCAL CORP ........................ 986
33,265 USX-MARATHON GROUP, INC ............ 1,002
-------
218,747
-------
PIPELINES, EXCEPT NATURAL GAS--0.01%
8,781 ENBRIDGE, INC ...................... 403
-------
PRIMARY METAL INDUSTRIES--0.23%
13,000 ALCAN ALUMINIUM CO LTD ............. 351
6,100 ALCAN ALUMINIUM CO LTD (U.S.) ...... 165
495 ALUMINUM CO OF AMERICA ............. 37
10,192 ASARCO, INC ........................ 154
200 BEKAERT S.A. ....................... 100
1,100 CO STEEL, INC ...................... 9
80,000 DAIDO STEEL CO LTD ................. 106
4,000 DANIELI & CO ....................... 29
20,100 ENGELHARD CORP ..................... 392
10,000 FLACK S.P.A. ....................... 82
2,850 GRANGES AB ......................... 41
3,500 HOOGOVENS NEN STAALIADRIEREN NV .... 97
23,000(degree)JAPAN METALS & CHEMICALS CO ....... 38
62,000(degree)JAPAN STEEL WORKS LTD ............. 77
225,000 KAWASAKI STEEL CORP ................ 337
41,390 MANNESMANN AG. ..................... 4,746
741,000 NIPPON STEEL CORP .................. 1,347
573,000 NKK CORP ........................... 391
700 NKT HOLDINGS AS .................... 44
19,819 NUCOR CORP ......................... 857
20,665 PECHINEY S.A. ...................... 675
1,234 PREUSSAG AKTIEGESELLSCHAFT AG. ..... 558
13,600(degree)RAUTARUUKKI SERIES K .............. 88
17,619 REYNOLDS METALS CO ................. 928
14,280 #(degree)SILVERSTONE BERHAD .......... 0
455,000 SUMITOMO METAL INDUSTRIES LTD ...... 520
6,625 SVENSKT STAL AB SERIES A (SSAB) .... 63
2,450 SVENSKT STAL AB SERIES B ........... 23
5,184(degree)THYSSEN AG. ....................... 962
20,500 TOKYO STEEL MANUFACTURING CO LTD ... 103
9,900 TRELLEBORG AB SERIES B FREE ........ 81
17,700 USX-US STEEL GROUP, INC ............ 407
-------
13,808
-------
PRINTING AND PUBLISHING--3.37%
7,000 CLONDALKIN GROUP PLC (UNITS) ....... 50
94,000 DAI NIPPON PRINTING CO LTD ......... 1,502
20,618 DELUXE CORP ........................ 754
2,427 DONNELLEY (R.R.) & SONS CO ......... 106
23,956 DOW JONES & CO, INC ................ 1,153
79,300 ELSEVIER UTIGEVERSMIJ NV ........... 1,111
65,949 GANNETT CO, INC .................... 4,254
3,100 HARLAND (JOHN H.) CO ............... 49
33,144 INDEPENDENT NEWSPAPERS PLC ......... 133
15,000 MONDADORI (ARNOLDO) EDITORE S.P.A. . 199
8,100 MOORE CORP LTD ..................... 88
57,000 NEW STRAITS TIMES PRESS BERHAD ..... 28
735,269 NEWS CORP LTD ...................... 4,862
190,000 ORIENTAL PRESS GROUP ............... 18
6,535,165 PEARSON PLC ........................ 129,717
12,700 QUEBECOR, INC (CLASS B) ............ 272
173,977(degree)REED INTERNATIONAL PLC ............ 1,360
3,000 SCHIBSTED ASA ...................... 38
28,977 SINGAPORE PRESS HOLDINGS LTD ....... 316
368,000 SOUTH CHINA MORNING POST ........... 189
16,900 SOUTHAM, INC ....................... 257
60,000 THOMSON CORP ....................... 1,402
626,670 TIME WARNER, INC ................... 38,893
67,000 TOPPAN PRINTING CO LTD ............. 820
220,085 TRIBUNE CO ......................... 14,526
8,173 WOLTERS KLUWER NV .................. 1,750
-------
203,847
-------
RAILROAD TRANSPORTATION--2.10%
71,000 BRAMBLES INDUSTRIES LTD ............ 1,731
78,089 BURLINGTON NORTHERN SANTA FE CORP .. 2,636
31,900 CANADIAN PACIFIC LTD ............... 596
10,932 CSX CORP ........................... 454
87,111 HANKYU CORP ........................ 383
66,000 KEIHIN ELECTRIC EXPRESS RAILWAY .... 208
256,797 KINKI NIPPON RAILWAY CO LTD ........ 1,377
109,125 NAGOYA RAILROAD CO LTD ............. 397
63,990 NANKAI ELECTRIC RAILWAY CO ......... 323
140,000 NIPPON EXPRESS CO LTD .............. 789
63,000 ODAKYU ELECTRIC RAILWAY CO LTD ..... 221
4,431,293 RAILTRACK GROUP PLC ................ 115,826
15,000 TOBU RAILWAY CO LTD ................ 44
49,000 UNION PACIFIC CORP ................. 2,208
-------
127,193
-------
REAL ESTATE--0.27%
733,000 CHEUNG KONG HOLDINGS LTD ........... 5,275
39,319(degree)CHINESE ESTATES HOLDINGS WTS 11/24/99 2
39,319(degree)CHINESE ESTATES HOLDINGS WTS 11/24/00 2
59,225 CITY DEVELOPMENT LTD ............... 257
28,000 DAIWA KOSHO LEASE CO LTD ........... 115
69,000 DBS LAND LTD ....................... 102
See notes to financial statements.
50
<PAGE>
GLOBAL EQUITIES ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ -----
REAL ESTATE--(CONTINUED)
6,000 DILIGENTIA AB ...................... $ 42
61,084(degree)EVERGO CHINA HOLDINGS LTD ......... 1
109,517 GENERAL PROPERTY TRUST ............. 205
65,216 HAMMERSON PLC ...................... 374
213,000 HANG LUNG DEVELOPMENT CO LTD ....... 228
165,000 HONG LEONG PROPERTIES BERHAD ....... 24
164,167 HYSAN DEVELOPMENT CO LTD ........... 245
10,400(degree)HYSAN DEVELOPMENT CO LTD WTS 04/30/99 0
5,000 MEPC PLC ........................... 33
175,000 METROPLEX BERHAD ................... 23
10,600(degree)METROVACESA ....................... 319
130,000 MITSUBISHI ESTATE CO LTD ........... 1,167
120,000 MITSUI FUDOSAN CO LTD .............. 910
186,250 MULPHA INTERNATIONAL BERHAD ........ 21
170,005 NEW WORLD DEVELOPMENT CO LTD ....... 428
4,997 SIMCO (REGD) ....................... 454
174,000 SINO LAND CO ....................... 93
101,900 SLOUGH ESTATES PLC ................. 463
65,000 STOCKLAND TRUST GROUP (UNITS) ...... 162
2,276(degree)STOCKLAND TRUST GROUP (UNITS) NEW . 5
454,837 SUN HUNG KAI PROPERTIES LTD ........ 3,317
136,000 TAI CHEUNG HOLDINGS LTD ............ 33
11,000 TOKYO TATEMONO CO LTD .............. 19
58,200 UNITED OVERSEAS LAND LTD ........... 40
11,233(degree)URBIS S.A. ........................ 175
3,900(degree)VALLEHERMOSO S.A. ................. 56
793,714 WESTFIELD TRUST (UNITS) ............ 1,753
-------
16,343
-------
RUBBER AND MISCELLANEOUS PLASTIC PRODUCTS--0.58%
770 ADIDAS SALOMON AG. ................. 84
833 ARMSTRONG WORLD INDUSTRIES, INC .... 50
412,105 BRIDGESTONE CORP ................... 9,371
9,220(degree)CONTINENTAL AG. ................... 255
200 FORBO HOLDINGS AG. (REGD) .......... 87
8,702 GOODYEAR TIRE & RUBBER CO .......... 439
40,077 ILLINOIS TOOL WORKS, INC ........... 2,324
6,134 MICHELIN S.A. (CLASS B) ............ 245
68,104 NIKE, INC (CLASS B) ................ 2,762
23,000 OKAMATO INDUSTRIES, INC ............ 52
157,000 PACIFIC DUNLOP LTD ................. 254
232,200 PIRELLI S.P.A. ..................... 746
3,000(degree)SEALED AIR CORP ................... 153
814,887 SOLUTIA, INC ....................... 18,233
-------
35,055
-------
SECURITY AND COMMODITY BROKERS--0.29%
171 CPR ................................ 8
214,000 DAIWA SECURITIES CO LTD ............ 732
237,000 ITOCHU CORP ........................ 458
270,000 MARUBENI CORP ...................... 464
7,514 MERRILL LYNCH & CO, INC ............ 502
178,000 MITSUBISHI CORP .................... 1,026
170,000 MITSUI & CO LTD .................... 951
886,000 NOMURA SECURITIES CO LTD ........... 7,737
7,000(degree)OM GRUPPEN AB ..................... 88
5,100 PAINE WEBBER GROUP, INC ............ 197
93,024 SCHWAB (CHARLES) CORP .............. 5,227
114,000 TA ENTERPRISE BERHAD ............... 26
275,000 x(degree)YAMAICHI SECURITIES CO LTD .. 5
-------
17,421
-------
SPECIAL TRADE CONTRACTORS--0.02%
30,000 KANDENKO CO LTD .................... 203
13,000 KINDEN CORP ........................ 198
21,000 KYUNDENKO CO LTD ................... 142
11,485 SCHNEIDER S.A. ..................... 697
-------
1,240
-------
STONE, CLAY, AND GLASS PRODUCTS--0.23%
3,400 AKER RGI ASA SERIES A .............. 36
81,000 ASAHI GLASS CO LTD ................. 503
65,847 BLUE CIRCLE INDUSTRIES PLC ......... 340
62,000 BORAL LTD .......................... 88
2,600 CBR NV ............................. 257
5,000 CEMENTIR S.P.A. .................... 6
7,708 CIMENTOS DE PORTUGAL ............... 246
5,600 CORNING, INC ....................... 252
405,200 CSR LTD ............................ 992
120 DYCKERHOFF AG. ..................... 33
55,200 ENGLISH CHINA CLAYS PLC ............ 152
700 GLAVERBEL S.A. ..................... 93
101,800 HANSON PLC ......................... 808
10,775 HEIDELBERGER ZEMENT AG. ............ 841
37,800(degree)HEPWORTH PLC ...................... 101
890 HOLDERBANK FINANCIERE GLARUS AG. (BR) 1,054
17,000(degree)HOYA CORP ......................... 829
41,000 INAX CORP .......................... 265
24,100(degree)ITALCEMENTI S.P.A. ................ 266
16,339 LAFARGE S.A. (BR) .................. 1,553
28,000 MALAYSIAN MOSAICS BERHAD ........... 7
74,314 MARLEY PLC ......................... 152
95,000 NIPPON SHEET GLASS CO LTD .......... 268
31,000 NORITAKE CO LTD .................... 160
13,863 OWENS CORNING CO ................... 491
59,000 PAN-MALAYSIA CEMENT WORKS BERHAD ... 12
178,800 PILKINGTON PLC ..................... 177
656,300 PIONEER INTERNATIONAL LTD .......... 1,389
2,998 RMC GROUP PLC ...................... 41
65 EUROC INDUSTRIA AB SERIES A ........ 2
11,787 ST. GOBAIN S.A. .................... 1,665
89,000 SUMITOMO OSAKA CEMENT CO LTD ....... 166
144,200 TAIHEIYO CEMENT CORP ............... 362
9,147 TARMAC PLC ......................... 17
4,700 TOTO LTD ........................... 38
400 WIENERBERGER BAUSTOFF AG. .......... 80
-------
13,742
-------
TEXTILE MILL PRODUCTS--0.01%
7,259 BBA GROUP PLC ...................... 45
1,962 CHARGEURS S.A. ..................... 109
19,790 COURTAULDS TEXTILES PLC ............ 52
51,000 KURABO INDUSTRIES LTD .............. 52
7,000 MARZOTTO & FIGLI S.P.A. ............ 77
58,000 NISSHINBO INDUSTRY, INC ............ 203
17,000 TOYOBO CO LTD ...................... 22
-------
560
-------
TOBACCO PRODUCTS--0.68%
168,345 BRITISH AMERICAN TOBACCO PLC ....... 1,480
56,900 IMASCO LTD ......................... 1,211
272,046 PHILIP MORRIS COS, INC ............. 14,554
29,000 ROTHMANS HOLDINGS LTD .............. 208
4,000 ROTHMANS OF PALL MALL BERHAD ....... 17
12,986 SEITA S.A. ......................... 814
896,100 TABACALERA S.A. SERIES A (REGD) .... 22,640
-------
40,924
-------
See notes to financial statements.
51
<PAGE>
GLOBAL EQUITIES ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ -----
TRANSPORTATION BY AIR--0.18%
182,000(degree)ALITALIA S.P.A. ................... $ 673
6,580(degree)ALL NIPPON AIRWAYS CO LTD ......... 22
21,920(degree)AMR CORP .......................... 1,302
1,500 AUSTRIAN AIRLINES/OEST LUFTV AG. ... 54
44,134 BRITISH AIRPORT AUTHORITIES PLC .... 515
148,949 BRITISH AIRWAYS PLC ................ 1,004
296,000 CATHAY PACIFIC AIRWAYS LTD ......... 294
23,400 DELTA AIRLINES, INC ................ 1,217
49,300 DEUTSCHE LUFTHANSA AG. (REGD) ...... 1,089
12,286(degree)FDX CORP .......................... 1,093
1,100 FLUGHAFEN WIEN AG. ................. 54
3,200 HONG KONG AIRCRAFT ENGINEERING CO LTD 4
161,600(degree)JAPAN AIRLINES CO LTD ............. 427
8,400 KLM (ROYAL DUTCH AIRLINES) NV ...... 254
21,000(degree)RYANAIR HOLDINGS PLC .............. 150
1,261 SAIRGROUP .......................... 313
4,200 SAS DANMARK AS ..................... 48
3,000 SAS NORGE ASA SERIES B ............. 25
58,000 SINGAPORE INTERNATIONAL AIRLINES LTD (FR) 425
17,663 SOUTHWEST AIRLINES CO .............. 396
182,400 SWIRE PACIFIC LTD (CLASS A) ........ 817
17,195(degree)U.S. AIRWAYS GROUP, INC ........... 894
-------
11,070
-------
TRANSPORTATION EQUIPMENT--2.22%
102,477 BOEING CO .......................... 3,343
86,700 BOMBARDIER, INC (CLASS B) .......... 1,242
18,530 x(degree)BREMER VULKAN AG. ........... 8
290,878 BRITISH AEROSPACE PLC .............. 2,466
5,868 (degree)BRITISH AEROSPACE PLC WTS 11/15/00 145
27,200 CAE, INC ........................... 144
1,500 COBHAM GROUP PLC ................... 17
16,000 CYCLE & CARRIAGE LTD ............... 55
67,788(degree)DAIMLERCHRYSLER AG. ............... 6,695
346,277(degree)DAIMLERCHRYSLER (U.S.A.) .......... 33,264
118,600 DENSO CORP ......................... 2,197
18,200 EATON CORP ......................... 1,287
557,290 FIAT S.P.A. ........................ 1,940
10,253 GENERAL DYNAMICS CORP .............. 601
90,499 GENERAL MOTORS CORP ................ 6,476
66(degree)HALTER MARINE GROUP, INC .......... 0
29,651 HARLEY DAVIDSON, INC ............... 1,405
230,000 HONDA MOTOR CO LTD ................. 7,565
33,000 INCHAPE MOTORS ..................... 38
200,000 KAWASAKI HEAVY INDUSTRIES LTD ...... 470
2,500 KVAERNER INDUSTRIER AS SERIES A .... 49
160,462 LOCKHEED MARTIN CORP ............... 13,599
10,500 MAGNA INTERNATIONAL, INC ........... 652
34L(R)0 MAN AG. (STAMM) .................. 883
59,000(degree)MITSUI ENGINEERING & SHIP BUILDING CO LTD 59
17,114(degree)NAVISTAR INTERNATIONAL CORP ....... 488
301,000 NISSAN MOTOR CO LTD ................ 923
81,000 ORIENT CORP ........................ 181
8,263 PEUGEOT S.A. ....................... 1,279
3,500 RHEINMETALL AG. .................... 91
177,132 ROLLS ROYCE LTD .................... 734
33,000 SANDEN CORP ........................ 250
18,000 SHIMANO, INC ....................... 465
58,340 SIEMENS AG. ........................ 3,765
14,468 SUNDSTRAND CORP .................... 751
20,363 TEXTRON, INC ....................... 1,546
8,758 THOMSON-CSF ........................ 376
128,527 TI GROUP PLC ....................... 692
1,092,000 TOYOTA MOTOR CORP .................. 29,720
11,130 TRINITY INDUSTRIES, INC ............ 429
10,959 TRW, INC ........................... 616
31,384 UNITED TECHNOLOGIES CORP ........... 3,413
14,086 VALEO S.A. ......................... 1,111
19,610 VOLKSWAGEN AG. ..................... 1,566
46,300 VOLVO AB SERIES B FREE ............. 1,062
-------
134,058
-------
TRANSPORTATION SERVICES--1.49%
13,300,100 AIRTOURS PLC ....................... 84,974
600 DANZAS HOLDINGS AG. (REGD) ......... 253
280,600 NATIONAL EXPRESS GROUP PLC ......... 5,210
1,770(degree)NEW WORLD INFRASTUCTURE LTD ....... 3
-------
90,440
-------
TRUCKING AND WAREHOUSING--0.19%
10,700 CNF TRANSPORTATION, INC ............ 402
1,000 MITSUBISHI LOGISTICS CORP .......... 12
34,000 SEINO TRANSPORTATION CO LTD ........ 195
56,457 TNT POST GROUP NV .................. 1,820
629,122 YAMATO TRANSPORT CO LTD ............ 8,812
-------
11,241
-------
WATER TRANSPORTATION--0.20%
3,100(degree)ASKO OYJ SERIES A ................. 53
3,600 BERGESEN D.Y. AS (CLASS B) ......... 42
472(degree)BONA SHIPHOLDING LTD .............. 1
70,765 CARNIVAL CORP (CLASS A) ............ 3,397
4,000 CHUAN HUP HOLDINGS LTD ............. 1
1,300 CMB CIE MARITIME BELGE S.A. ........ 58
88 DAMPSKIBSSELSKABET AF 1912 (CLASS B) 615
61 DAMPSKIBSSELSKABET SVENDBORG (CLASS B) 618
2,200(degree)FINNLINES OY ...................... 95
950,000(degree)FIRST OLSEN TANKERS LTD ........... 4,925
43,200(degree)HAI SUN HUP WTS 05/10/02 .......... 3
4,500 IRISH CONTINENTAL GROUP PLC ........ 53
58,000 KAMIGUMI CO LTD .................... 282
57,000 KAWASAKI KISEN KAISHA LTD .......... 77
1,900 KONINKLIJKE NEDLLOYD GROEP NV ...... 26
1,500 LEIF HOEGH & CO .................... 18
56,000 MALAYSIAN INTERNATIONAL SHIPPING CO (FR) 52
175,000 MITSUI OSK LINES LTD ............... 282
13,100(degree)NCL HOLDINGS AS ................... 31
200(degree)NEPTUNE ORIENT LINES LTD .......... 0
129,000 NIPPON YUSEN KABUSHIKI KAISHA ...... 408
16,830 OCEAN GROUP PLC .................... 212
78,579 PENINSULAR & ORIENTAL STEAM
NAVIGATION CO ..................... 929
800 UNITOR AS .......................... 8
-------
12,186
-------
WHOLESALE TRADE- DURABLE GOODS--0.09%
146,000 CANON SALES CO, INC ................ 2,070
17,000 DICKSON CONCEPTS INTERNATIONAL LTD . 13
648 DIETEREN S.A. ...................... 357
200 GENUINE PARTS CO ................... 7
27,800 IKON OFFICE SOLUTIONS, INC ......... 238
15,000(degree)SANRIO CO LTD ..................... 194
4,000 SEIKO CORP ......................... 17
84,000 #TAN CHONG INTERNATIONAL LTD ........ 8
28,000 TAN CHONG MOTOR HOLDINGS BERHAD .... 6
113,000(degree)TERUMO CORP ....................... 2,665
-------
5,575
-------
See notes to financial statements.
52
<PAGE>
GLOBAL EQUITIES ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ -----
WHOLESALE TRADE- NONDURABLE GOODS--0.68%
1,000(degree)AUSTRIA TABAKWERKE AG. ............ $ 77
490,779 CARDINAL HEALTH, INC ............... 37,230
41,500(degree)ERCROS S.A. ....................... 56
3,000 ESSELTE AB SERIES B FREE ........... 49
38,427 F.H. FAULDING & CO LTD ............. 181
25,000 FYFFES PLC ......................... 56
33,000 IWATANI & CO LTD ................... 67
8,000 KOKUYO CO LTD ...................... 108
7,095 LOBLAW COS LTD ..................... 173
29,000 NAGASE & CO ........................ 99
30,822 SUPERVALU, INC ..................... 863
43,770 SWEDISH MATCH CO ................... 159
30,926 SYSCO CORP ......................... 849
3,700 URALITA S.A. ....................... 41
19,300 WESTON (GEORGE) LTD ................ 735
---------
40,743
---------
TOTAL COMMON STOCK
(Cost $4,764,399) .................... 5,952,614
---------
PRINCIPAL
SHORT TERM INVESTMENTS--1.13%
COMMERCIAL PAPER--0.67%
CIESCO LP
$15,000,000 5.150%, 01/15/99 ................. 14,969
NORFOLK SOUTHERN CORP
2,000,000 ~ 6.050%, 01/05/99 ................. 1,999
341,000 ~ 6.300%, 01/08/99 ................. 341
THE STANLEY WORKS
23,000,000 ~ 5.200%, 01/26/99 ................. 22,918
---------
40,227
---------
U.S. GOVERNMENT & AGENCIES--0.46%
FEDERAL HOME LOAN BANK
$10,000,000 4.800%, 01/22/99 ................. $ 9,972
15,000,000 4.840%, 01/27/99 ................. 14,948
FEDERAL HOME LOAN MORTGAGE CORP
3,000,000 4.990%, 02/04/99 ................. 2,986
---------
27,906
---------
TOTAL SHORT TERM INVESTMENTS
(Cost $68,161) ...................... 68,133
---------
TOTAL PORTFOLIO
(Cost $4,838,167) ................... $6,030,329
==========
- ------------------------
(degree) 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.
# Restricted Securities-Investment in securities not registered under the
Securities Act of 1933 or not publicly traded in foreign markets. At December
31, 1998, the value of these securities amounted to $467,984 or 0.01% of net
assets. Additional information on each restricted security is as follows:
ACQUISITION ACQUISITION
SECURITY DATE COST
- -------- ----------- -----------
KUMAGI GUMI WTS 12/31/99 06/29/98 $ 0
L'AIR LIQUIDE (REGD) 1996 10/29/96 318,656
SILVERSTONE BERHAD 01/08/98 804
TAN CHONG INTERNATIONAL LTD 05/22/98 22,691
UNITED ENGINEERING BERHAD 11/27/96 495,448
VIGLEN TECHNOLOGY LITIGATION NOTE 04/30/98 0
WHARF HOLDINGS LTD WTS 12/31/99 06/19/98 0
--------
$837,599
========
See notes to financial statements.
53
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
TRANSACTIONS WITH AFFILIATED COMPANIES -- GLOBAL EQUITIES
JANUARY 1, 1998 -- DECEMBER 31, 1998
<TABLE>
<CAPTION>
VALUE AT REALIZED DIVIDEND
ISSUE DECEMBER 31, 1997 PURCHASE COST SALES PROCEEDS GAIN (LOSS) INCOME
----- ----------------- ------------- -------------- ---------- -----------
<S> <C> <C> <C> <C> <C>
ADAC LABORATORIES, INC NEW $ 23,706,576 -- $ 10,941,513 $ 7,358,388 --
~CORPORATE SERVICES GROUP PLC 32,915,766 8,802,569 1,324,662 (551,879) 975,775
IHC CALAND NV 122,093,359 100,400 80,077 49,202 2,182,902
WESTWOOD ONE, INC 98,793,337 -- 5,659,186 2,444,228 --
------------ ----------- ------------ ----------- -----------
TOTAL AFFILIATED TRANSACTIONS $277,509,038 $ 8,902,969 $ 18,005,438 $ 9,299,939 $ 3,158,677
============ =========== ============ =========== ===========
</TABLE>
SHARES AT VALUE AT
ISSUE DECEMBER 31, 1998 DECEMBER 31, 1998
----- ------------------ -----------------
ADAC LABORATORIES, INC NEW -- *
~CORPORATE SERVICES GROUP PLC -- *
IHC CALAND NV 2,353,450 97,814,831
WESTWOOD ONE, INC -- *
-----------
TOTAL AFFILIATED TRANSACTIONS $97,814,831
===========
* Not an Affiliate as of December 31, 1998
~ Shares Outstanding Increased
See notes to financial statements.
54
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENT OF INVESTMENTS--GROWTH ACCOUNT
DECEMBER 31, 1998
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 ........ 2 0.00
INSTRUMENTS AND RELATED PRODUCTS ............ 1 0.00
INSURANCE CARRIERS .......................... 277 0.01
RUBBER AND MISCELLANEOUS
PLASTIC PRODUCTS ........................... 202 0.00
-------- -----
TOTAL PREFERRED STOCK
(Cost $417) ................................. 482 0.01
-------- -----
COMMON STOCK
AGRICULTURAL PRODUCTION-CROPS ............... 696 0.01
AGRICULTURAL SERVICES ....................... 55 0.00
AMUSEMENT AND RECREATION SERVICES ........... 236,004 3.08
APPAREL AND ACCESSORY STORES ................ 28,055 0.37
APPAREL AND OTHER TEXTILE PRODUCTS .......... 4,466 0.06
AUTO REPAIR, SERVICES AND PARKING ........... 2,128 0.03
AUTOMOTIVE DEALERS AND SERVICE STATIONS ..... 905 0.01
BUILDING MATERIALS AND GARDEN SUPPLIES ...... 64,163 0.84
BUSINESS SERVICES ........................... 662,561 8.65
CHEMICALS AND ALLIED PRODUCTS ............... 1,117,144 14.58
COMMUNICATIONS .............................. 1,299,189 16.96
DEPOSITORY INSTITUTIONS ..................... 117,240 1.53
EATING AND DRINKING PLACES .................. 33,017 0.43
EDUCATIONAL SERVICES ........................ 4,863 0.06
ELECTRIC, GAS, AND SANITARY SERVICES ........ 285,062 3.72
ELECTRONIC AND OTHER ELECTRIC EQUIPMENT ..... 920,359 12.01
ENGINEERING AND MANAGEMENT SERVICES ......... 9,889 0.13
FABRICATED METAL PRODUCTS ................... 52,740 0.69
FOOD AND KINDRED PRODUCTS ................... 194,013 2.53
FOOD STORES ................................. 24,638 0.32
FURNITURE AND FIXTURES ...................... 6,352 0.08
FURNITURE AND HOMEFURNISHINGS STORES ........ 14,091 0.18
GENERAL BUILDING CONTRACTORS ................ 1,834 0.02
GENERAL MERCHANDISE STORES .................. 95,933 1.25
HEALTH SERVICES ............................. 21,731 0.28
HEAVY CONSTRUCTION, EXCEPT BUILDING ......... 603 0.01
HOLDING AND OTHER INVESTMENT OFFICES ........ 5,461 0.07
HOTELS AND OTHER LODGING PLACES ............. 39,546 0.52
INDUSTRIAL MACHINERY AND EQUIPMENT .......... 826,246 10.79
INSTRUMENTS AND RELATED PRODUCTS ............ 118,564 1.55
INSURANCE AGENTS, BROKERS AND SERVICE ....... 1,594 0.02
INSURANCE CARRIERS .......................... 334,451 4.37
LEATHER AND LEATHER PRODUCTS ................ 48 0.00
LEGAL SERVICES .............................. 9 0.00
LOCAL AND INTERURBAN PASSENGER TRANSIT ...... 1,085 0.01
LUMBER AND WOOD PRODUCTS .................... 86 0.00
METAL MINING ................................ 2,610 0.03
MISCELLANEOUS MANUFACTURING INDUSTRIES ...... 4,874 0.06
MISCELLANEOUS RETAIL ........................ 53,656 0.70
MOTION PICTURES ............................. 37,620 0.49
NONDEPOSITORY INSTITUTIONS .................. 152,381 1.99
OIL AND GAS EXTRACTION ...................... 106,739 1.39
PAPER AND ALLIED PRODUCTS ................... 21,223 0.28
PERSONAL SERVICES ........................... 9,519 0.12
PETROLEUM AND COAL PRODUCTS ................. 1,718 0.02
PRIMARY METAL INDUSTRIES .................... 1,065 0.01
PRINTING AND PUBLISHING ..................... 38,074 0.50
RAILROAD TRANSPORTATION ..................... 2,114 0.03
REAL ESTATE ................................. 2,501 0.03
RUBBER AND MISCELLANEOUS PLASTIC PRODUCTS ... 20,271 0.26
SECURITY AND COMMODITY BROKERS .............. 18,025 0.24
SOCIAL SERVICES ............................. 616 0.01
SPECIAL TRADE CONTRACTORS ................... 416 0.01
STONE, CLAY, AND GLASS PRODUCTS ............. 6,853 0.09
TEXTILE MILL PRODUCTS ....................... 37,181 0.49
TOBACCO PRODUCTS ............................ 72,355 0.95
TRANSPORTATION BY AIR ....................... 3,097 0.04
TRANSPORTATION EQUIPMENT .................... 93,610 1.22
TRANSPORTATION SERVICES ..................... 6,129 0.08
TRUCKING AND WAREHOUSING .................... 1,132 0.02
WATER TRANSPORTATION ........................ 83,529 1.09
WHOLESALE TRADE-DURABLE GOODS ............... 7,811 0.10
WHOLESALE TRADE-NONDURABLE GOODS ............ 127,711 1.67
--------- -----
TOTAL COMMON STOCK
(Cost $5,712,871) ............................ 7,437,651 97.08
--------- -----
SHORT TERM INVESTMENTS
COMMERCIAL PAPER ............................ 173,440 2.26
U.S. GOVERNMENT & AGENCIES .................. 65,617 0.86
--------- -----
TOTAL SHORT TERM INVESTMENTS
(Cost $239,059) .............................. 239,057 3.12
--------- -----
TOTAL PORTFOLIO
(Cost $5,952,355) ........................... 7,677,197 100.21
OTHER ASSETS & LIABILITIES, NET ............ (16,224) (0.21)
---------- ------
NET ASSETS .................................... $7,660,973 100.00%
========== ======
See notes to financial statements.
55
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENT OF INVESTMENTS--GROWTH ACCOUNT
DECEMBER 31, 1998
VALUE
PRINCIPAL (000)
--------- -----
BONDS--0.00%
CORPORATE BONDS--0.00%
AUTOMOTIVE DEALERS AND SERVICE STATIONS--0.00%
(degree)UGLY DUCKLING CORP (SUB DEB)
$6,500 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%
60 APARTMENT INVESTMENT &
MANAGEMENT CO SERIES E ............ 2
----------
INSTRUMENTS AND RELATED PRODUCTS--0.00%
32,800(degree)FRESENIUS MEDICAL CARE (CLASS D) .. 1
----------
INSURANCE CARRIERS--0.01%
3,640 AETNA, INC SERIES C ................ 277
----------
RUBBER AND MISCELLANEOUS PLASTIC PRODUCTS--0.00%
3,895 SEALED AIR CORP (CLASS A) .......... 202
----------
TOTAL PREFERRED STOCK
(Cost $417) .......................... 482
----------
COMMON STOCK--97.08%
AGRICULTURAL PRODUCTION-CROPS--0.01%
2,100(degree)AGRITOPE, INC ..................... 3
25,684 PIONEER-HI-BRED INTERNATIONAL, INC . 693
----------
696
----------
AGRICULTURAL SERVICES--0.00%
5,100(degree)CADIZ, INC ........................ 39
800(degree)VETERINARY CENTERS OF AMERICA, INC 16
----------
55
----------
AMUSEMENT AND RECREATION SERVICES--3.08%
8,995(degree)ANCHOR GAMING CO .................. 507
8,200 CHURCHILL DOWNS, INC ............... 270
42,934(degree)HARRAH'S ENTERTAINMENT, INC ....... 674
1,200(degree)INTERNATIONAL SPEEDWAY CORP (CLASS A ) 49
500(degree)MALIBU ENTERTAINMENT WORLDWIDE, INC 1
40(degree)MIRAGE RESORT, INC ................ 1
200(degree)PENN NATIONAL GAMING, INC ......... 1
300(degree)PLAYERS INTERNATIONAL, INC ........ 2
5,368,300 +(degree)PREMIER PARKS, INC .......... 162,391
1,311,650 (degree)SFX ENTERTAINMENT, INC (CLASS A) 71,977
1,500(degree)SPEEDWAY MOTORSPORTS, INC ......... 43
2,900(degree)WESTWOOD ONE, INC ................. 88
----------
236,004
----------
APPAREL AND ACCESSORY STORES--0.37%
1,177(degree)ABERCROMBIE & FITCH CO (CLASS A) .. 83
1,400(degree)AMERICAN EAGLE OUTFITTERS, INC .... 93
3,200(degree)BUCKLE, INC ....................... 77
35,400(degree)CHILDRENS PLACE RETAIL STORES ..... 889
47 CLAIRES STORES, INC ................ 1
400(degree)DRESS BARN, INC ................... 6
200(degree)GADZOOKS, INC ..................... 2
296,538 GAP, INC ........................... 16,680
50(degree)JUST FOR FEET, INC ................ 1
21,050(degree)MENS WAREHOUSE, INC ............... 668
1,400 NORDSTROM, INC ..................... 49
25(degree)PACIFIC SUNWEAR CALIFORNIA, INC ... 0
80,000 ROSS STORES, INC ................... 3,150
200(degree)STEIN MART, INC ................... 1
375(degree)SYMS CORP ......................... 3
210,277 TJX COS, INC ....................... 6,098
8,400(degree)WET SEAL, INC (CLASS A) ........... 254
----------
28,055
----------
APPAREL AND OTHER TEXTILE PRODUCTS--0.06%
1,600(degree)COLUMBIA SPORTSWEAR CO ............ 27
1,100(degree)DONNA KARAN INTERNATIONAL, INC .... 8
63,470(degree)FRUIT OF THE LOOM, INC (CLASS A) .. 877
2,475(degree)GUESS ?, INC ...................... 12
108,838(degree)JONES APPAREL GROUP, INC .......... 2,401
1,500 LIZ CLAIBORNE, INC ................. 47
58,400(degree)NAUTICA ENTERPRISES, INC .......... 876
200 OSHKOSH B'GOSH, INC (CLASS A) ...... 4
1,900 PILLOWTEX CORP ..................... 51
5,446(degree)QUIKSILVER, INC ................... 163
----------
4,466
----------
AUTO REPAIR, SERVICES AND PARKING--0.03%
32,981(degree)AVIS RENT A CAR, INC .............. 798
26,109 HERTZ CORP (CLASS A) ............... 1,191
4,466 MIDAS, INC ......................... 139
----------
2,128
----------
AUTOMOTIVE DEALERS AND SERVICE STATIONS--0.01%
42 (degree)AUTOZONE, INC ............... 1
22,799(degree)CSK AUTO CORP ..................... 608
11,043(degree)GROUP 1 AUTOMOTIVE, INC ........... 287
200(degree)OREILLY AUTOMOTIVE, INC ........... 9
----------
905
----------
BUILDING MATERIALS AND GARDEN SUPPLIES--0.84%
2,000 (degree)EAGLE HARDWARE & GARDEN, INC 65
70 FASTENAL CO ........................ 3
860,270 HOME DEPOT, INC .................... 52,638
223,825 LOWES COS, INC ..................... 11,457
----------
64,163
----------
BUSINESS SERVICES--8.65%
2,300 AARON RENTS, INC ................... 35
10,000(degree)ABACUS DIRECT CORP ................ 455
52,400(degree)ACCLAIM ENTERTAINMENT, INC ........ 642
200(degree)ACTIVISION, INC ................... 2
16,060(degree)ACXIOM CORP ....................... 498
47,680 ADOBE SYSTEMS, INC ................. 2,229
200(degree)ADVANTAGE LEARNING SYSTEMS, INC ... 13
See notes to financial statements.
56
<PAGE>
GROWTH ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ -----
BUSINESS SERVICES--(CONTINUED)
23,410(degree)ADVO, INC ......................... $ 617
19,627(degree)AFFILIATED COMPUTER SERVICES, INC
(CLASS A) ......................... 883
8,600(degree)ALTERNATIVE RESOURCES CORP ........ 91
261,740 AMERICA ONLINE, INC ................ 41,878
53,875(degree)AMERICAN MANAGEMENT SYSTEMS, INC .. 2,155
14,100 ANALYSTS INTERNATIONAL CORP ........ 271
17,700(degree)ANSWERTHINK CONSULTING GROUP ...... 476
46,600(degree)APAC TELESERVICES, INC ............ 176
300(degree)APPLIX, INC ....................... 1
7,500(degree)ARIS CORP ......................... 90
115,180(degree)ASCEND COMMUNICATIONS, INC ........ 7,573
48,120 AUTODESK, INC ...................... 2,054
123,960 AUTOMATIC DATA PROCESSING, INC ..... 9,940
136,380(degree)AVANT CORP ........................ 2,182
6,800(degree)AXENT TECHNOLOGIES, INC ........... 208
367(degree)AZTEC TECHNOLOGY PARTNERS, INC .... 1
14,900(degree)BA MERCHANT SERVICES, INC (CLASS A) 300
13,400(degree)BILLING CONCEPTS CORP ............. 147
150(degree)BISYS GROUP, INC .................. 8
163,700(degree)BMC SOFTWARE, INC ................. 7,295
1,135(degree)BOOLE & BABBAGE, INC .............. 33
13,400(degree)BORG-WARNER SECURITY CORP ......... 251
33,000(degree)BUILDING ONE SERVICE .............. 689
18,800(degree)CADENCE DESIGN SYSTEMS, INC ....... 559
21,023(degree)CARIBINER INTERNATIONAL, INC ...... 192
306,600(degree)CBT GROUP PLC ADR ................. 4,561
4,700(degree)CENTURY BUSINESS SERVICES, INC .... 68
32,700(degree)CERNER CORP ....................... 875
53,960(degree)CHECKFREE HOLDINGS CORP ........... 1,261
1,701(degree)CHOICEPOINT, INC .................. 110
2,816(degree)CIBER, INC ........................ 79
1,120(degree)CITRIX SYSTEMS, INC ............... 109
13,200(degree)CLARIFY, INC ...................... 323
3,600(degree)CMGI, INC ......................... 383
100(degree)CNET, INC ......................... 5
36,300(degree)COMDISCO, INC ..................... 613
21,200(degree)COMPLETE BUSINESS SOLUTIONS, INC .. 718
305,369 COMPUTER ASSOCIATES INTERNATIONAL, INC 13,016
38,565(degree)COMPUTER HORIZONS CORP ............ 1,027
11,600(degree)COMPUTER MANAGEMENT SCIENCES, INC . 202
81,418(degree)COMPUTER SCIENCES CORP ............ 5,246
66,178 COMPUTER TASK GROUP, INC ........... 1,795
125,220(degree)COMPUWARE CORP .................... 9,783
45(degree)COMSHARE, INC ..................... 0
15,500(degree)CONCORD COMMUNICATIONS, INC ....... 880
3,700(degree)CORT BUSINESS SERVICES CORP ....... 90
26,300(degree)COTELLIGENT, INC .................. 561
39,000(degree)CSG SYSTEMS INTERNATIONAL, INC .... 3,081
4,700(degree)DATA PROCESSING RESOURCES CORP .... 137
7,100(degree)DATASTREAM SYSTEMS, INC ........... 82
3,200(degree)DBT ONLINE, INC ................... 80
700(degree)DELTEK SYSTEMS, INC ............... 12
16,100(degree)DENDRITE INTERNATIONAL, INC ....... 402
2,600(degree)DOCUMENTUM, INC ................... 139
10,788(degree)DST SYSTEMS, INC .................. 616
12,300(degree)ELECTRO RENT CORP ................. 198
38,100(degree)ELECTRONIC ARTS, INC .............. 2,138
55,939 ELECTRONIC DATA SYSTEMS CORP ....... 2,811
65,800(degree)ELECTRONICS FOR IMAGING, INC ...... 2,644
800(degree)EMPLOYEE SOLUTIONS, INC ........... 2
8,800(degree)ENGINEERING ANIMATION, INC ........ 475
26,900(degree)ENVOY CORP ........................ 1,567
10,381 EQUIFAX, INC ....................... $ 355
50(degree)EXCALIBUR TECHNOLOGIES CORP ....... 0
7,299(degree)FACTSET RESEARCH SYSTEMS, INC ..... 451
14,685 FAIR ISSAC & CO, INC ............... 678
97(degree)FILENET CORP ...................... 1
600(degree)FIREARMS TRAINING SYSTEMS, INC .... 1
307,661 FIRST DATA CORP .................... 9,749
75(degree)FISERV, INC ....................... 4
21,600(degree)GENESYS TELECOMMUNICATIONS
LABORATORIES, INC ................. 481
14,100(degree)GEOTEL COMMUNICATIONS CORP ........ 525
300(degree)GEOWORKS CORP ..................... 1
1,400 GERBER SCIENTIFIC, INC ............. 33
6,300(degree)GETTY IMAGES, INC ................. 108
32,900(degree)GT INTERACTIVE SOFTWARE CORP ...... 165
22,468(degree)GTECH HOLDINGS CORP ............... 576
361,400 HBO & CO ........................... 10,368
200(degree)HCIA, INC ......................... 1
29,940(degree)HNC SOFTWARE ...................... 1,211
90(degree)HYPERION SOLUTIONS CORP ........... 2
7,400(degree)ICON CMT CORP ..................... 118
100(degree)IMATION CORP ...................... 2
12,600(degree)IMRGLOBAL CORP .................... 371
35,956 IMS HEALTH, INC .................... 2,712
33,200(degree)INDUS INTERNATIONAL, INC .......... 232
105,600(degree)INFORMIX CORP ..................... 1,043
9,400(degree)INFOUSA, INC (CLASS B) ............ 49
800(degree)INTELIDATA TECHNOLOGIES CORP ...... 1
3,000(degree)INTELLIGROUP, INC ................. 54
19,513(degree)INTERIM SERVICES, INC ............. 456
24,800(degree)INTERNATIONAL NETWORK SERVICES .... 1,649
57,400(degree)INTERNATIONAL TELECOMMUNICATIONS .. 847
34,112 INTERPUBLIC GROUP OF COS, INC ...... 2,720
50(degree)INTUIT, INC ....................... 4
50,200(degree)J.D. EDWARDS & CO ................. 1,424
150(degree)JDA SOFTWARE GROUP, INC ........... 1
73,431(degree)KEANE, INC ........................ 2,933
18,880 KELLY SERVICES, INC (CLASS A) ...... 599
28,700(degree)LABOR READY, INC .................. 565
92,540(degree)LEARNING CO, INC .................. 2,400
80 (degree)LEGATO SYSTEMS, INC ......... 5
204,375 (degree)LERNOUT & HAUSPIE SPEECH PRODUCTS 6,668
10,300(degree)LHS GROUP, INC .................... 532
3,800(degree)LYCOS, INC ........................ 211
400(degree)MACROMEDIA, INC ................... 13
10,700(degree)MANHATTAN ASSOCIATES, INC ......... 292
103,701 MANPOWER, INC ...................... 2,612
19,000(degree)MAPICS, INC ....................... 314
22,700(degree)MASTECH CORP ...................... 650
7,800 MCGRATH RENTCORP ................... 172
29,500(degree)MEDQUIST, INC ..................... 1,165
100(degree)MERCURY INTERACTIVE CORP .......... 6
38,400(degree)METAMOR WORLDWIDE, INC ............ 960
9,800(degree)METRO INFORMATION SERVICES, INC ... 294
47(degree)MICRO FOCUS GROUP PLC ADR ......... 0
5,000(degree)MICROMUSE, INC .................... 98
2,675,634(degree)MICROSOFT CORP .................... 371,077
3,900(degree)MIDWAY GAMES, INC ................. 43
8,300(degree)MINDSPRING ENTERPRISES, INC ....... 507
100 NATIONAL COMPUTER SYSTEMS, INC ..... 4
1,500 NATIONAL DATA CORP ................. 73
4,700(degree)NCO GROUP, INC .................... 212
99(degree)NETSCAPE COMMUNICATIONS CORP ...... 6
19,900(degree)NETWORK APPLIANCE, INC ............ 896
300(degree)NETWORK PERIPHERALS, INC .......... 1
See notes to financial statements.
57
<PAGE>
GROWTH ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ -----
BUSINESS SERVICES--(CONTINUED)
4,800(degree)NETWORK SOLUTIONS, INC (CLASS A) .. $ 628
23,994(degree)NETWORKS ASSOCIATES, INC .......... 1,590
2,380 NIELSEN MEDIA RESEARCH ............. 43
67 NORRELL CORP ....................... 1
33,300(degree)NOVACARE EMPLOYEE SERVICES, INC ... 179
450(degree)NOVELL, INC ....................... 8
1,000(degree)OBJECTIVE SYSTEMS INTEGRATORS, INC 5
700(degree)ODS NETWORKS, INC ................. 2
34,989 OMNICOM GROUP, INC ................. 2,029
487,637(degree)ORACLE CORP ....................... 21,029
122,634(degree)PARAMETRIC TECHNOLOGY CORP ........ 1,993
131,037 PAYCHEX, INC ....................... 6,740
2,600(degree)PAYMENTECH, INC ................... 48
5,500(degree)PEGASUS SYSTEMS, INC .............. 198
400(degree)PEGASYSTEMS, INC .................. 2
75(degree)PEOPLESOFT, INC ................... 1
8,900(degree)PEREGRINE SYSTEMS, INC ............ 413
15,721(degree)PERSONNEL GROUP OF AMERICA, INC ... 275
2,400 #(degree)PHYSICIAN COMPUTER NETWORK, INC 0
22,491 PITTSTON BRINKS GROUP CO ........... 717
88,100(degree)PLATINUM TECHNOLOGY, INC .......... 1,685
56,555(degree)POLICY MANAGEMENT SYSTEMS CORP .... 2,856
21,550(degree)PROGRESS SOFTWARE CORP ............ 727
10,100(degree)PROJECT SOFTWARE & DEVELOPMENT, INC 338
6,200(degree)QRS CORP .......................... 298
400(degree)QUADRAMED CORP .................... 8
110,029(degree)RATIONAL SOFTWARE CORP ............ 2,916
9,200(degree)REALNETWORKS, INC ................. 330
80(degree)REMEDY CORP ....................... 1
2,200(degree)RENT WAY, INC ..................... 53
18,200(degree)RENTERS CHOICE, INC ............... 578
106,942(degree)ROBERT HALF INTERNATIONAL, INC .... 4,779
23,842 ROLLINS, INC ....................... 417
47,986(degree)ROMAC INTERNATIONAL, INC .......... 1,068
17,684(degree)SABRE GROUP HOLDINGS, INC ......... 787
2,600(degree)SANCHEZ COMPUTER ASSOCIATES, INC .. 76
900(degree)SANTA CRUZ OPERATION, INC ......... 4
5,500(degree)SAPIENT CORP ...................... 308
16,800 SEI INVESTMENT CO .................. 1,670
12,707 SHARED MEDICAL SYSTEMS CORP ........ 634
70,048(degree)SIEBEL SYSTEMS, INC ............... 2,377
36,453(degree)SITEL CORP ........................ 89
21,954 SOTHEBYS HOLDINGS, INC (CLASS A) ... 703
15,050(degree)SPR, INC .......................... 260
8,200(degree)SS&C TECHNOLOGIES, INC ............ 101
25,200(degree)STAFFMARK, INC .................... 564
69,643(degree)STERLING SOFTWARE, INC ............ 1,885
5,440 (degree)STRUCTURAL DYNAMICS RESEARCH CORP 108
169,210 (degree)SUN MICROSYSTEMS, INC ....... 14,489
216(degree)SUNGARD DATA SYSTEMS, INC ......... 9
400(degree)SUNQUEST INFORMATION SYSTEMS, INC . 6
20,800(degree)SYKES ENTERPRISES, INC ............ 634
3,243(degree)SYMANTEC CORP ..................... 71
302(degree)SYNOPSYS, INC ..................... 16
75,700(degree)SYNTEL, INC ....................... 856
15,300(degree)SYSTEMS & COMPUTER TECHNOLOGY CORP 210
200(degree)TCSI CORP ......................... 0
25,300(degree)TELETECH HOLDINGS, INC ............ 259
39,900(degree)TMP WORLDWIDE, INC ................ 1,676
47,900 TOTAL SYSTEM SERVICES, INC ......... 1,126
7,120(degree)TRANSACTION SYSTEM ARCHITECTURE ... 356
46,804 TRUE NORTH COMMUNICATIONS, INC ..... 1,258
39,159(degree)UNITED RENTALS, INC ............... 1,297
47,050(degree)USWEB CORP ........................ $ 1,241
4,200(degree)VERISIGN, INC ..................... 248
400(degree)VERITAS SOFTWARE CORP ............. 24
3,020(degree)VIASOFT, INC ...................... 21
900(degree)VINCAM GROUP, INC ................. 16
80(degree)WANG LABORATORIES, INC ............ 2
21,800(degree)WEST TELESERVICES CORP ............ 213
4,500(degree)WESTAFF, INC ...................... 28
250(degree)WIND RIVER SYSTEMS, INC ........... 12
34,398(degree)YAHOO, INC ........................ 8,150
33,600(degree)YOUNG & RUBICAM, INC .............. 1,088
----------
662,561
----------
CHEMICALS AND ALLIED PRODUCTS--14.58%
1,821,036 ABBOTT LABORATORIES CO ............. 89,231
50(degree)ADVANCED TISSUE SCIENCE CO ........ 0
34,400(degree)AGOURON PHARMACEUTICALS, INC ...... 2,021
84 ALBERTO CULVER CO (CLASS B) ........ 2
200(degree)ALLIANCE PHARMACEUTICAL CORP ...... 1
2,467,463 AMERICAN HOME PRODUCTS CORP ........ 138,949
169,199(degree)AMGEN, INC ........................ 17,692
2,350(degree)AMYLIN PHARMACEUTICALS, INC ....... 1
11,400(degree)AVIRON, INC ....................... 295
63,762 AVON PRODUCTS, INC ................. 2,821
42,500(degree)AXYS PHARMACEUTICALS, INC ......... 250
10,800(degree)BARR LABORATORIES, INC ............ 518
33,300(degree)BIO-TECHNOLOGY GENERAL CORP ....... 231
71,100(degree)BIOGEN, INC ....................... 5,901
4,100(degree)BIOMATRIX, INC .................... 239
519,823 BRISTOL MYERS SQUIBB CO ............ 69,559
300 CABOT CORP ......................... 8
700(degree)CADUS PHARMACEUTICAL CORP ......... 1
13,409(degree)CELL GENESYS, INC ................. 80
617(degree)CELL PATHWAYS, INC ................ 14
47,600(degree)CEPHALON, INC ..................... 428
11,900(degree)CHATTEM, INC ...................... 570
3,216(degree)CHIRON CORP ....................... 84
2,003 CHURCH & DWIGHT CO, INC ............ 72
60,655 CLOROX CO .......................... 7,085
125,102 COLGATE PALMOLIVE CO ............... 11,619
13,300(degree)COULTER PHARMACEUTICAL, INC ....... 399
280(degree)CREATIVE BIOMOLECULES, INC ........ 1
95(degree)CRESCENDO PHARMACEUTICALS CORP .... 1
93,752(degree)CROMPTON & KNOWLES CORP ........... 1,939
45,360(degree)CYTEC INDUSTRIES, INC ............. 964
2,600(degree)CYTOGEN CORP ...................... 2
799 DIAGNOSTIC PRODUCTS CORP ........... 25
356 DIAL CORP .......................... 10
152,492 DU PONT (E.I.) DE NEMOURS & CO ..... 8,092
50(degree)DURA PHARMACEUTICALS, INC ......... 1
88,701 ECOLAB, INC ........................ 3,210
1,464,500(degree)ELAN CORP PLC ADR ................. 101,874
200(degree)EPITOPE, INC ...................... 1
10,000 ETHYL CORP ......................... 58
23,432 FERRO CORP ......................... 609
19,300(degree)FUISZ TECHNOLOGIES LTD ............ 248
29,234(degree)GENSIA SICOR, INC ................. 132
500(degree)GENZYME CORP (GENERAL DIVISION) ... 25
24(degree)GENZYME CORP (TISSUE REPAIR DIVISION) 0
20,073 GEORGIA GULF CORP .................. 322
16,100(degree)GRACE W.R. & CO ................... 253
1,649,100 +(degree)GUILFORD PHARMACEUTICALS, INC 23,500
45,346 HERCULES, INC ...................... 1,241
10,800(degree)HUMAN GENOME SCIENCES, INC ........ 384
See notes to financial statements.
58
<PAGE>
GROWTH ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ -----
CHEMICALS AND ALLIED PRODUCTS--(CONTINUED)
3 ICN PHARMACEUTICALS, INC ........... $ 0
700(degree)ICOS CORP ......................... 21
26,700(degree)IDEC PHARMACEUTICALS CORP ......... 1,255
30 IMC GLOBAL, INC .................... 1
2,233(degree)IMC GLOBAL, INC WTS 12/22/00 ...... 2
1,900(degree)IMMUNE RESPONSE CORP .............. 21
36,400(degree)IMMUNEX CORP ...................... 4,580
400(degree)INTERNEURON PHARMACEUTICALS, INC .. 1
6,936 INTERNATIONAL FLAVORS &
FRAGRANCES, INC ................... 306
32,720(degree)ISIS PHARMACEUTICALS, INC ......... 423
30,433(degree)IVAX CORP ......................... 379
697,513 JOHNSON & JOHNSON CO ............... 58,504
27,000 JONES PHARMACEUTICAL, INC .......... 986
450(degree)KV PHARMACEUTICAL CO (CLASS B) .... 9
58,827 LAUDER (ESTEE) CO (CLASS A) ........ 5,030
60 LAWTER INTERNATIONAL, INC .......... 1
11,500 LEARONAL, INC ...................... 390
40(degree)LIGAND PHARMACEUTICALS CO (CLASS A) 0
510,462 LILLY (ELI) & CO ................... 45,367
8,319 LILLY INDUSTRIES, INC (CLASS A) .... 166
47,500(degree)LIPOSOME CO, INC .................. 733
66 LYONDELL CHEMICAL CO ............... 1
7,600 MACDERMID, INC ..................... 297
10,200(degree)MACROCHEM CORP (DELAWARE) ......... 86
250(degree)MATRIX PHARMACEUTICALS, INC ....... 1
9,700(degree)MCWHORTER TECHNOLOGIES, INC ....... 222
200(degree)MEDICIS PHARMACEUTICAL CORP (CLASS A) 12
22,200(degree)MEDIMMUNE, INC .................... 2,208
1,632,055 *MERCK & CO, INC .................... 241,034
4,200(degree)MILLENNIUM PHARMACEUTICALS, INC ... 109
268,963 MONSANTO CO ........................ 12,776
82 MORTON INTERNATIONAL, INC .......... 2
162,029 MYLAN LABORATORIES, INC ............ 5,104
600(degree)NABI, INC ......................... 2
23,600 NATURES SUNSHINE PRODUCTS, INC ..... 360
14,300(degree)NEXSTAR PHARMACEUTICALS, INC ...... 132
80(degree)NOVEN PHARMACEUTICALS, INC ........ 0
4,300(degree)OCTEL CORP ........................ 60
17,382(degree)ORGANOGENESIS, INC ................ 196
1,300(degree)PATHOGENESIS CORP ................. 75
684,826 PFIZER, INC ........................ 85,903
40,996 PRAXAIR, INC ....................... 1,445
762,998 PROCTER & GAMBLE CO ................ 69,671
27,000 (degree)PROTEIN DESIGN LABORATORIES, INC 624
100(degree)REGENERON PHARMACEUTICALS, INC .... 1
4,400(degree)REVLON, INC (CLASS A) ............. 72
800(degree)ROGERS CORP ....................... 24
62 RPM, INC ........................... 1
830,832 SCHERING-PLOUGH CORP ............... 45,903
3,150(degree)SEROLOGICALS CORP ................. 95
2,300 STEPAN CO .......................... 61
6,100(degree)SUGEN, INC ........................ 90
3,000(degree)TECHNE CORP ....................... 63
112,000(degree)THERAGENICS CORP .................. 1,883
800(degree)THERMOLASE CORP ................... 4
30,000(degree)TRIANGLE PHARMACEUTICALS, INC ..... 409
22,700(degree)U.S. BIOSCIENCE, INC .............. 163
100 VALSPAR CORP ....................... 4
11,040(degree)VERTEX PHARMACEUTICALS, INC ....... 328
19,900(degree)VICAL, INC ........................ 282
449,916 WARNER-LAMBERT CO .................. 33,828
68,470(degree)WATSON PHARMACEUTICALS, INC ....... 4,305
10,300 WITCO CORP ......................... 164
300(degree)ZONAGEN, INC ...................... 6
----------
1,117,144
----------
COMMUNICATIONS--16.96%
13,100(degree)@ENTERTAINMENT, INC ............... 88
28,400(degree)ADELPHIA COMMUNICATIONS CORP (CLASS A) 1,299
302,741(degree)AIRTOUCH COMMUNICATIONS, INC ...... 21,835
14,500 ALIANT COMMUNICATIONS, INC ......... 593
97,815 ALLTEL CORP ........................ 5,851
300(degree)AMERICAN MOBILE SATELLITE CORP .... 2
42 AMERITECH CORP ..................... 3
200(degree)ARCH COMMUNICATIONS GROUP, INC .... 0
50(degree)ASSOCIATED GROUP, INC (CLASS A) ... 2
50(degree)ASSOCIATED GROUP, INC (CLASS B) ... 2
1,476,871 AT & T CORP ........................ 111,135
110,100 BELL ATLANTIC CORP ................. 5,835
33,196(degree)CABLEVISION SYSTEMS CORP (CLASS A) 1,666
2,526,161(degree)CAPSTAR BROADCASTING CORP (CLASS A) 57,786
4,247,716 CBS CORP ........................... 139,113
554,400(degree)CD RADIO, INC ..................... 18,988
50(degree)CELLULAR COMMUNICATIONS
INTERNATIONAL , INC ............... 3
6,900(degree)CELLULAR COMMUNICATIONS OF
PUERTO RICO ....................... 128
19,200(degree)CENTENNIAL CELLULAR CORP (CLASS A) 787
1,067,700(degree)CHANCELLOR MEDIA CORP (CLASS A) ... 51,116
157,520 CINCINNATI BELL, INC ............... 5,956
2,008,024(degree)CLEAR CHANNEL COMMUNICATIONS, INC . 109,437
13,000(degree)COM21, INC ........................ 273
18,400 COMCAST CORP (CLASS A) ............. 1,057
109,533 COMCAST CORP (CLASS A) SPECIAL ..... 6,428
1,500(degree)COMMNET CELLULAR, INC ............. 18
3,933(degree)COMMONWEALTH TELEPHONE ENTERPRISES 132
500 (degree)CORECOMM LTD ................ 8
17,501 (degree)COX COMMUNICATIONS, INC (CLASS A) 1,210
386,550(degree)COX RADIO, INC (CLASS A) .......... 16,332
25,100(degree)ELECTRIC LIGHTWAVE (CLASS A) ...... 206
11,100(degree)EMMIS COMMUNICATIONS (CLASS A) .... 481
31,300(degree)EXODUS COMMUNICATIONS, INC ........ 2,011
70 FRONTIER CORP ...................... 2
1,265,200 (degree)GLOBALSTAR TELECOMMUNICATIONS LTD 25,462
135,782 GTE CORP ........................... 8,826
65,800(degree)HEARST-ARGYLE TELEVISION, INC ..... 2,171
39,900(degree)HEFTEL BROADCASTING CORP (CLASS A) 1,965
60,798(degree)ICG COMMUNICATIONS, INC ........... 1,307
14,100(degree)IDT CORP .......................... 217
5,000(degree)JACOR COMMUNICATIONS, INC WTS 09/18/01 40
22,100(degree)JONES INTERCABLE, INC (CLASS A) ... 787
400(degree)LCC INTERNATIONAL, INC (CLASS A) .. 2
50(degree)LEAP WIRELESS INTERNATIONAL, INC .. 0
98,800(degree)LEVEL 3 COMMUNICATIONS, INC ....... 4,261
109,512(degree)LIBERTY MEDIA GROUP (CLASS A) ..... 5,044
1,611,500(degree)LORAL SPACE & COMMUNICATIONS LTD .. 28,705
1,762,034 LUCENT TECHNOLOGIES, INC ........... 193,824
5,279,565(degree)MCI WORLDCOM, INC ................. 378,809
5,100(degree)MCLEODUSA, INC (CLASS A) .......... 159
15,764(degree)MEDIA ONE GROUP, INC .............. 741
4,300(degree)MGC COMMUNICATIONS, INC ........... 30
15,700(degree)NEXTLINK COMMUNICATIONS, INC ...... 445
1,000 NORTH PITTSBURGH SYSTEMS, INC ...... 13
28,900(degree)NTL, INC .......................... 1,631
8,300(degree)PAGEMART WIRELESS, INC (CLASS A) .. 46
107,100(degree)PAGING NETWORK, INC ............... 502
See notes to financial statements.
59
<PAGE>
GROWTH ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ -----
COMMUNICATIONS--(CONTINUED)
87(degree)PANAMSAT CORP ..................... $ 3
1,400(degree)PEGASUS COMMUNICATIONS CORP ....... 35
27,800(degree)PREMIERE TECHNOLOGIES, INC ........ 205
50(degree)QWEST COMMUNICATIONS
INTERNATIONAL , INC ............... 3
231,895 SBC COMMUNICATIONS, INC ............ 12,435
75,000(degree)SKYTEL COMMUNICATIONS, INC ........ 1,659
62,800(degree)SPRINT CORP (PCS GROUP) ........... 1,452
12,700 TCA CABLE TV, INC .................. 453
33,260(degree)TCI SATELLITE ENTERTAINMENT (CLASS A) 48
79(degree)TELE-COMMUNICATIONS, INC (CLASS A) 4
260,142(degree)TELECOM-TCI VENTURES GROUP (CLASS A) 6,130
12,152(degree)TELEGLOBE, INC (U.S.A.) ........... 437
97 TELEPHONE & DATA SYSTEMS, INC ...... 4
400(degree)TRANSACTION NETWORK SERVICES, INC . 8
5,414(degree)U.S. CELLULAR CORP ................ 206
29,000(degree)U.S. LEC CORP (CLASS A) ........... 430
6,900(degree)U.S. SATELLITE BROADCASTING, INC (CLASS A) 95
67(degree)U.S.A. NETWORKS, INC .............. 2
6,800(degree)UNITED INTERNATIONAL HOLDINGS, INC 131
5,200 UNITED TELEVISION, INC ............. 598
20,900 (degree)UNITED VIDEO SATELLITE GROUP, INC 494
28,592 (degree)UNIVISION COMMUNICATIONS, INC 1,035
2,800(degree)USN COMMUNICATIONS, INC ........... 1
12,196(degree)VIACOM, INC (CLASS A) ............. 897
88,804(degree)VIACOM, INC (CLASS B) ............. 6,571
77,700(degree)WESTERN WIRELESS CORP (CLASS A) ... 1,709
1,266,000(degree)WINSTAR COMMUNICATIONS, INC ....... 49,374
----------
1,299,189
----------
DEPOSITORY INSTITUTIONS--1.53%
7,100 ALABAMA NATIONAL BANCORP ........... 189
20,100 ANCHOR BANCORP WISCONSIN, INC ...... 482
2,400 ANDOVER BANCORP, INC ............... 83
100 AREA BANCSHARES CORP ............... 3
3,000 BANCFIRST OHIO CORP ................ 91
3,700 BANK OF GRANITE CORP ............... 102
140,400 BANK OF NEW YORK CO, INC ........... 5,651
100,041 BANK ONE CORP ...................... 5,108
2,100 BANKNORTH GROUP, INC ............... 79
15,800 BRENTON BANKS, INC ................. 265
2,800 BROOKLINE BANCORP, INC ............. 32
2,600 CATHAY BANCORP, INC ................ 107
7,600(degree)CENTENNIAL BANCORP ................ 143
3,637 CHITTENDEN CORP .................... 116
4,800(degree)COLUMBIA BANKING SYSTEM, INC ...... 89
22,000 COMMUNITY FIRST BANKSHARES, INC .... 463
1,352(degree)CONCORD EFS, INC .................. 57
2,490 CULLEN FROST BANKERS, INC .......... 137
6,785 CVB FINANCIAL CORP ................. 153
2,580 F & M BANCORP, INC (WISCONSIN) ..... 78
200 F.N.B. CORP ........................ 6
6,300 FARMERS CAPITAL BANK CORP .......... 236
144,075 FIFTH THIRD BANCORP ................ 10,274
28,917 FIRST BANCORP (PUERTO RICO) ........ 873
3,100 FIRST CHARTER CORP ................. 53
635 FIRST COMMONWEALTH FINANCIAL CORP .. 16
1,800(degree)FIRST FINANCIAL BANCORP ........... 52
900 FIRST WESTERN BANCORP, INC ......... 29
17,868 FIRSTAR CORP ....................... 1,666
1,800 FLAGSTAR BANCORP, INC .............. 47
82 FLEET FINANCIAL GROUP, INC ......... 4
2,200(degree)FRONTIER FINANCIAL CORP ........... 101
75 FULTON FINANCIAL CORP .............. 2
10,900 GBC BANCORP ........................ 281
200 GOLD BANC CORP, INC ................ 3
1,700 GREATER BAY BANCORP ................ 57
7,998 GREENPOINT FINANCIAL CORP .......... 281
9,000(degree)HAMILTON BANCORP, INC ............. 240
6,000 HORIZON BANCORP, INC ............... 204
11,268 HUBCO, INC ......................... 339
42,605(degree)IMPERIAL BANCORP .................. 708
26,400 INDEPENDENCE COMMUNITY BANK CORP ... 421
900 INTERNATIONAL BANCSHARES CORP ...... 46
5,400 JEFFERSON SAVINGS BANCORP, INC ..... 71
700 MAHONING NATIONAL BANCORP, INC ..... 22
491,870 MBNA CORP .......................... 12,266
15,746 MELLON BANK CORP ................... 1,083
5,800 MERCHANTS NEW YORK BANCORP, INC .... 210
1,500 NATIONAL BANCORP OF ALASKA, INC .... 51
8,400 NATIONAL PENN BANCSHARES, INC ...... 229
13,500 NORTH FORK BANCORP, INC ............ 323
11,000 NORTHERN TRUST CORP ................ 960
12,767 OLD NATIONAL BANCORP ............... 712
200 OMEGA FINANCIAL CORP ............... 6
122 ORIENTAL FINANCIAL GROUP ........... 4
14,200 PACIFIC CAPITAL BANCORP ............ 366
97 PARK NATIONAL CORP ................. 10
4,600 PEOPLES BANCORP, INC ............... 50
2,800 PRIME BANCSHARES, INC .............. 48
118,102 PROVIDIAN FINANCIAL CORP ........... 8,858
5,650 QUEENS COUNTY BANCORP, INC ......... 168
5,300 REPUBLIC BANCORP, INC .............. 72
2,500 REPUBLIC BANKING CORP OF FLORIDA ... 27
9,000 REPUBLIC SECURITY FINANCIAL CORP ... 109
4,200 RICHMOND COUNTY FINANCIAL CORP ..... 67
2,200 S & T BANCORP, INC ................. 61
5,100 SANDY SPRING BANCORP, INC .......... 154
45,600(degree)SILICON VALLEY BANCSHARES ......... 777
5,517 SKY FINANCIAL GROUP, INC ........... 146
21,600(degree)SOUTHWEST BANCORP OF TEXAS, INC ... 386
80 SOVEREIGN BANCORP, INC ............. 1
37,583 STATE STREET CORP .................. 2,614
7,285 STATEN ISLAND BANCORP, INC ......... 145
21,100 STERLING BANCSHARES, INC ........... 314
1,000 STERLING FINANCIAL CORP ............ 42
3,400 SUSQUEHANNA BANCSHARES, INC ........ 70
1,200 SYNOVUS FINANCIAL CORP ............. 29
15,838 TCF FINANCIAL CORP ................. 383
2,800 TEXAS REGIONAL BANCSHARES, INC (CLASS A) 70
17,900 TR FINANCIAL CORP .................. 705
700 TRIANGLE BANCORP, INC .............. 11
14,000 TRUST CO OF NEW JERSEY ............. 343
10,057 TRUSTCO BANK CORP .................. 302
401,313 U.S. BANCORP ....................... 14,247
10 U.S.B. HOLDINGS CO, INC ............ 0
4,000 UST CORP ........................... 94
45,407 WASHINGTON MUTUAL, INC ............. 1,734
1,800 WASHINGTON TRUST BANCORP, INC ...... 39
949,026 WELLS FARGO CO ..................... 37,902
4,290 WEST COAST BANCORP (OREGON) ........ 90
6,000 WESTAMERICA BANCORP ................ 221
14,100 WESTERN BANCORP .................... 412
47,850 WESTERNBANK PUERTO RICO ............ 760
1,100 WHITNEY HOLDINGS CORP .............. 41
1,100 WILMINGTON TRUST CORP .............. 68
----------
117,240
----------
See notes to financial statements.
60
<PAGE>
GROWTH ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ -----
EATING AND DRINKING PLACES--0.43%
7,300(degree)ADVANTICA RESTAURANT GROUP, INC ... $ 45
12,240 APPLEBEES INTERNATIONAL, INC ....... 252
11,400 AVADO BRANDS, INC .................. 95
2,750 x(degree)BOSTON CHICKEN, INC ......... 1
9,096(degree)BRINKER INTERNATIONAL, INC ........ 263
15,800(degree)BUFFETS, INC ...................... 189
45,622(degree)CEC ENTERTAINMENT, INC ............ 1,266
37,186 CKE RESTAURANTS, INC ............... 1,095
62(degree)CONSOLIDATED PRODUCTS, INC ........ 1
320 CRACKER BARREL OLD COUNTRY STORE, INC 7
300(degree)EINSTEIN/NOAH BAGEL CORP .......... 0
5,800(degree)FINE HOST CORP .................... 5
60,504(degree)FOODMAKER, INC .................... 1,335
139,447 HOST MARRIOTT CORP (NEW) ........... 1,926
6,800(degree)HOST MARRIOTT SERVICES CORP ....... 71
89(degree)LANDRYS SEAFOOD RESTAURANTS, INC .. 1
50(degree)LONE STAR STEAKHOUSE & SALOON, INC 0
38,800 MARRIOTT INTERNATIONAL (CLASS A) ... 1,125
278,156 MCDONALD'S CORP .................... 21,314
9,400(degree)NPC INTERNATIONAL, INC ............ 113
600(degree)OUTBACK STEAKHOUSE, INC ........... 24
26,130(degree)PAPA JOHNS INTERNATIONAL, INC ..... 1,153
3,900(degree)PJ AMERICA, INC ................... 71
39,545(degree)PLANET HOLLYWOOD, INC (CLASS A) ... 91
59(degree)SBARRO, INC ....................... 2
12,169(degree)SODEXHO MARRIOTT SERVICES, INC .... 337
15,450(degree)SONIC CORP ........................ 384
18,915(degree)TRICON GLOBAL RESTAURANTS, INC .... 948
12,894(degree)U.S. FOODSERVICE, INC ............. 632
2,237 VIAD CORP .......................... 68
9,300 WENDYS INTERNATIONAL, INC .......... 203
----------
33,017
----------
EDUCATIONAL SERVICES--0.06%
40,050(degree)APOLLO GROUP, INC (CLASS A) ....... 1,357
84(degree)COMPUTER LEARNING CENTERS, INC .... 1
9,052(degree)DEVRY, INC ........................ 277
2,200(degree)EDUCATION MANAGEMENT CORP ......... 52
4,200(degree)LEARNING TREE INTERNATIONAL, INC .. 38
102,875(degree)SYLVAN LEARNING SYSTEMS, INC ...... 3,138
----------
4,863
----------
ELECTRIC, GAS, AND SANITARY SERVICES--3.72%
29,968(degree)AES CORP .......................... 1,420
125,130(degree)ALLIED WASTE INDUSTRIES, INC ...... 2,956
62,208(degree)AQUA ALLIANCE, INC ................ 128
3,000 BLACK HILLS CORP ................... 79
94 BROWNING FERRIS INDUSTRIES, INC .... 3
3,471(degree)CALENERGY, INC .................... 120
8,500(degree)CASELLA WASTE SYSTEMS, INC (CLASS A) 316
15,264 DYNEGY, INC ........................ 167
20,900(degree)EASTERN ENVIRONMENTAL SERVICES, INC 619
9,133 ENRON CORP ......................... 521
1,505 INDIANA ENERGY, INC ................ 37
10,313 KEYSPAN ENERGY CORP ................ 320
5,800 KN ENERGY, INC ..................... 211
7,200 x(degree)MOLTEN METAL TECHNOLOGY, INC 0
174(degree)NEWPARK RESOURCES, INC ............ 1
1,900 SEMCO ENERGY, INC .................. 31
26,600 SEMPRA ENERGY ...................... 675
72 SONAT, INC ......................... 2
1,100(degree)THERMO ECOTEK CORP ................ 12
13,828(degree)UNISOURCE ENERGY CORP HOLDINGS CO . 187
400(degree)WASTE INDUSTRIES INC .............. 7
5,946,355 WASTE MANAGEMENT, INC .............. 277,249
30 WILLIAMS COS, INC .................. 1
----------
285,062
----------
ELECTRONIC AND OTHER ELECTRIC EQUIPMENT--12.01%
28,000(degree)AAVID THERMAL TECHNOLOGIES, INC ... 473
200(degree)ACT MANUFACTURING, INC ............ 3
54,920(degree)ACTEL CORP ........................ 1,098
45,260(degree)ADC TELECOMMUNICATIONS, INC ....... 1,573
23,535(degree)ADTRAN, INC ....................... 431
50(degree)ADVANCED FIBRE COMMUNICATIONS ..... 1
22,400(degree)ADVANCED MICRO DEVICES, INC ....... 648
200(degree)ALLIANCE SEMICONDUCTOR CORP ....... 1
1,100(degree)ALTERA CORP ....................... 67
102,900(degree)AMERICAN POWER CONVERSION CORP .... 4,984
3,396,348(degree)AMERICAN TOWER SYSTEMS (CLASS A) .. 100,405
18,700 AMETEK, INC ........................ 417
114 AMP, INC ........................... 6
1,000(degree)AMPHENOL CORP (CLASS A) ........... 30
1,772,017(degree)ANALOG DEVICES, INC ............... 55,597
49,575(degree)ANDREW CORP ....................... 818
325(degree)ARTESYN TECHNOLOGIES, INC ......... 5
300(degree)ARTISAN COMPONENTS, INC ........... 2
79,900(degree)ATMEL CORP ........................ 1,223
200(degree)AURA SYSTEMS, INC ................. 0
521(degree)AXIOHM TRANSACTION SOLUTIONS, INC . 3
1,900(degree)BENCHMARK ELECTRONICS, INC ........ 70
179 BMC INDUSTRIES, INC ................ 1
15,100(degree)BROADCOM CORP (CLASS A) ........... 1,823
50(degree)BURR BROWN CORP ................... 1
9,003 C&D TECHNOLOGIES, INC .............. 248
300(degree)CALIFORNIA AMPLIFIER, INC ......... 1
102,800(degree)CELLNET DATA SYSTEMS, INC ......... 514
695(degree)CHECKPOINT SYSTEMS, INC ........... 9
17,300(degree)CIENA CORP ........................ 253
33(degree)COMMSCOPE, INC .................... 1
54,941(degree)COMVERSE TECHNOLOGY, INC .......... 3,901
1,800 CTS CORP ........................... 78
200(degree)DAVOX CORP ........................ 2
41,100(degree)DIGITAL MICROWAVE CORP ............ 281
900(degree)ECHOSTAR COMMUNICATIONS CORP
(CLASS A) ......................... 44
300(degree)EIS INTERNATIONAL, INC ............ 1
1,409 EMERSON ELECTRIC CO ................ 85
50(degree)ENERGY CONVERSION DEVICES, INC .... 0
13,300(degree)EXCEL SWITCHING CORP .............. 505
100 FRANKLIN ELECTRIC CO, INC .......... 7
1,000(degree)GENERAL DATACOMM INDUSTRIES, INC .. 2
3,330,777 GENERAL ELECTRIC CO ................ 339,947
23,744(degree)GENERAL INSTRUMENT CORP ........... 806
9,900 x(degree)GEOTEK COMMUNICATIONS, INC .. 0
50(degree)GLENAYRE TECHNOLOGIES, INC ........ 0
4,940(degree)HOLOPHANE CORP .................... 127
4,500(degree)IMP, INC .......................... 2
200 (degree)INTEGRATED SILICON SOLUTION, INC 1
1,474,800 INTEL CORP ......................... 174,856
10,100 INTER-TEL, INC ..................... 236
102,386(degree)INTERDIGITAL COMMUNICATIONS CORP .. 467
200(degree)ITI TECHNOLOGIES, INC ............. 6
30,966(degree)JABIL CIRCUIT, INC ................ 2,311
100(degree)JPM CO ............................ 1
40(degree)KEMET CORP ........................ 0
117,450(degree)KOMAG, INC ........................ 1,219
See notes to financial statements.
61
<PAGE>
GROWTH ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ -----
ELECTRONIC AND OTHER ELECTRIC EQUIPMENT--(CONTINUED)
5,500 KUHLMAN CORP ....................... 208
5,200(degree)L-3 COMMINUCATIONS HOLDINGS, INC .. 242
11(degree)LATTICE SEMICONDUCTOR CORP ........ 1
34,665(degree)LEVEL ONE COMMUNICATIONS, INC ..... 1,231
1,103,600 LINEAR TECHNOLOGY CO ............... 98,841
3,500(degree)LO-JACK CORP ...................... 42
78(degree)MAGNETEK, INC ..................... 1
4,200(degree)MICREL, INC ....................... 231
100(degree)MICRO LINEAR CORP ................. 0
63,970(degree)MICROCHIP TECHNOLOGY, INC ......... 2,367
35,171(degree)MICRON TECHNOLOGY, INC ............ 1,778
47,200(degree)MMC NETWORKS, INC ................. 625
3,232 MOLEX, INC ......................... 123
156,683 MOTOROLA, INC ...................... 9,567
27,900(degree)MRV COMMUNICATIONS, INC ........... 173
60(degree)MYLEX CORP ........................ 1
92,031(degree)NATIONAL SEMICONDUCTOR CORP ....... 1,242
57,840(degree)NEOMAGIC CORP ..................... 1,280
867,550 NORTHERN TELECOMMUNICATIONS LTD (U.S.) 43,486
200(degree)OAK TECHNOLOGY, INC ............... 1
2,475(degree)OIS OPTICAL IMAGING SYSTEMS, INC .. 0
51,200(degree)P-COM, INC ........................ 204
50(degree)PAIRGAIN TECHNOLOGIES, INC ........ 0
4 PARK ELECTROCHEMICAL CORP .......... 0
18,100(degree)PLANTRONICS, INC .................. 1,557
18,900(degree)PLEXUS CORP ....................... 640
18,800(degree)POLYCOM, INC ...................... 418
4,500(degree)QLOGIC CORP ....................... 589
82,800(degree)QUALCOMM, INC ..................... 4,290
66(degree)RAMBUS, INC ....................... 6
800(degree)RAMTRON INTERNATIONAL CORP ........ 0
73,338 RAYCHEM CORP ....................... 2,370
30,800(degree)RAYOVAC CORP ...................... 822
14,000(degree)READ RITE CORP .................... 207
31(degree)RECOTON CORP ...................... 1
1,600(degree)RELTEC CORP ....................... 36
1,000(degree)REMEC, INC ........................ 18
50(degree)S3, INC ........................... 0
53,054(degree)SANMINA CORP ...................... 3,316
73,000(degree)SAWTEK, INC ....................... 1,278
1,140(degree)SCI SYSTEMS, INC .................. 66
8,000(degree)SCM MICROSYSTEMS, INC ............. 569
19,400(degree)SEMTECH CORP ...................... 696
29,500(degree)SMART MODULAR TECHNOLOGIES, INC ... 819
96,099(degree)SOLECTRON CORP .................... 8,931
8,000(degree)SPECTRA-PHYSICS LASERS, INC ....... 76
792 SUNBEAM CORP ....................... 6
20(degree)SYMMETRICOM, INC .................. 0
18,639 TECHNITROL, INC .................... 594
124,900(degree)TEKELEC ........................... 2,069
33 TELEFLEX, INC ...................... 2
132,688(degree)TELLABS, INC ...................... 9,097
50(degree)TELTREND, INC ..................... 1
181,072 TEXAS INSTRUMENTS, INC ............. 15,493
1,000 THOMAS INDUSTRIES, INC ............. 20
80(degree)UNIPHASE CORP ..................... 6
100(degree)VICOR CORP ........................ 1
100(degree)VIDEOSERVER, INC .................. 2
51(degree)VISHAY INTERTECHNOLOGY, INC ....... 1
76,650(degree)VITESSE SEMICONDUCTOR CORP ........ 3,497
95(degree)WAVEPHORE, INC .................... 1
12,000(degree)WESTELL TECHNOLOGIES, INC (CLASS A) 59
8,800(degree)WORLD ACCESS, INC ................. 188
80,000(degree)XILINX, INC ....................... 5,210
9,200(degree)XYLAN CORP ........................ 162
34,800 x(degree)ZENITH ELECTRONICS CORP ..... 9
80(degree)ZOLTEK COS, INC ................... 1
----------
920,359
----------
ENGINEERING AND MANAGEMENT SERVICES--0.13%
7,237 BLOUNT INTERNATIONAL, INC .......... 180
106,700(degree)CATALYTICA, INC ................... 1,921
8,100(degree)DIAMOND TECH PARTNERS, INC (CLASS A) 155
14,700 DUN & BRADSTREET CORP .............. 464
11,500(degree)F.Y.I., INC ....................... 368
6,400(degree)KENDLE INTERNATIONAL, INC ......... 150
10,420(degree)MAXIMUS, INC ...................... 386
200(degree)MEDAPHIS CORP ..................... 1
5,300(degree)META GROUP, INC ................... 158
12,800(degree)METZLER GROUP, INC ................ 623
500(degree)MYRIAD GENETICS, INC .............. 5
512(degree)NFO WORLDWIDE, INC ................ 6
2,318 (degree)PHARMACEUTICAL PRODUCT
DEVELOPMENT ....................... 70
88,200(degree)QUINTILES TRANSNATIONAL CORP ...... 4,708
6,166 SERVICEMASTER CO ................... 136
30,900(degree)STAFF LEASING, INC ................ 359
7,200(degree)WHITTMAN HART, INC ................ 199
----------
9,889
----------
FABRICATED METAL PRODUCTS--0.69%
15,217 BARNES GROUP, INC .................. 443
1,400(degree)BWAY CORP ......................... 21
18,873 CHART INDUSTRIES, INC .............. 144
6,100 CRANE CO ........................... 184
1,283 CROWN CORK & SEAL CO, INC .......... 40
940,306 GILLETTE CO ........................ 45,429
7,300(degree)GULF ISLAND FABRICATION, INC ...... 57
1,200 HARSCO CORP ........................ 37
3,700(degree)LADISH CO, INC .................... 31
197,016 MASCO CORP ......................... 5,664
100(degree)MATERIAL SCIENCES CORP ............ 1
7,700(degree)MILLER INDUSTRIES, INC ............ 35
20(degree)NCI BUILDING SYSTEMS, INC ......... 1
18(degree)SHAW GROUP, INC ................... 0
4,185(degree)SIMPSON MANUFACTURING CO, INC ..... 157
24,000 STRUM, RUGER & CO, INC ............. 287
4,045(degree)TOWER AUTOMOTIVE, INC ............. 101
10,500(degree)WYMAN-GORDON CO ................... 108
----------
52,740
----------
FOOD AND KINDRED PRODUCTS--2.53%
2,400(degree)AGRIBRANDS INTERNATIONAL, INC ..... 72
2,900(degree)AMERICAN ITALIAN PASTA CO (CLASS A) 76
48,668 ANHEUSER BUSCH COS, INC ............ 3,194
100 (degree)BERINGER WINE ESTATES HOLDINGS, INC
(CLASS B) ......................... 4
159,945 BESTFOODS, INC ..................... 8,517
17,300(degree)BOSTON BEER CO, INC (CLASS A) ..... 147
138 BROWN FORMAN, INC (CLASS B) ........ 10
63,756 CAMPBELL SOUP CO ................... 3,507
1,294,608 COCA COLA CO ....................... 86,577
209,958 COCA COLA ENTERPRISES, INC ......... 7,506
255,583 CONAGRA, INC ....................... 8,051
45,300 DEAN FOODS CO ...................... 1,849
14,961 DOLE FOOD, INC ..................... 449
3,256 EARTHGRAINS CO ..................... 101
See notes to financial statements.
62
<PAGE>
GROWTH ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ -----
FOOD AND KINDRED PRODUCTS--(CONTINUED)
350 FLOWERS INDUSTRIES, INC ............ $ 8
78,052 GENERAL MILLS, INC ................. 6,069
84,067 HEINZ (H.J.) CO .................... 4,760
400 HERSHEY FOODS CORP ................. 25
52,662(degree)INTERNATIONAL HOME FOODS, INC ..... 889
22,659 INTERSTATE BAKERIES CORP ........... 599
25,800(degree)KEEBLER FOODS CO .................. 971
45,603 KELLOGG CO ......................... 1,556
31,350 LANCASTER COLONY CORP .............. 1,007
25,600 LANCE, INC ......................... 510
7,700 MCCORMICK & CO, INC (NON-VOTE) ..... 260
6,600 MICHAEL FOODS, INC ................. 198
723,354 PEPSICO, INC ....................... 29,612
1,300 PILGRIMS PRIDE CORP (CLASS B) ...... 26
94,541 QUAKER OATS CO ..................... 5,625
203,812 RALSTON PURINA CO .................. 6,598
3,800 RIVIANA FOODS, INC ................. 94
50 RJR NABISCO HOLDINGS CORP .......... 1
388,562 SARA LEE CORP ...................... 10,953
2,500(degree)SMITHFIELD FOODS, INC ............. 85
28,500(degree)SUIZA FOODS CORP .................. 1,452
25,230 TCBY ENTERPRISES, INC .............. 177
38,908 TOOTSIE ROLL INDUSTRIES, INC ....... 1,522
11,650 TYSON FOODS, INC ................... 248
8,310(degree)VLASIC FOODS INTERNATIONAL, INC ... 198
1,800 WHITMAN CORP ....................... 46
5,185 WRIGLEY (WM) JR CO ................. 464
----------
194,013
----------
FOOD STORES--0.32%
10,747 ALBERTSONS, INC .................... 684
66,180 FOOD LION, INC (CLASS B) ........... 666
28(degree)GENERAL NUTRITION COS, INC ........ 0
1,016 HANNAFORD BROTHERS, INC ............ 54
128,940(degree)KROGER CO ......................... 7,801
252,338(degree)SAFEWAY, INC ...................... 15,377
26,000(degree)SOUTHLAND CORP .................... 50
100(degree)STARBUCKS CORP .................... 6
----------
24,638
----------
FURNITURE AND FIXTURES--0.08%
19,300 ETHAN ALLEN INTERIORS, INC ......... 791
35,090(degree)FURNITURE BRANDS INTERNATIONAL, INC 956
72,100 HON INDUSTRIES, INC ................ 1,726
34,967(degree)KNOLL, INC ........................ 1,036
9,981(degree)LEAR CORP ......................... 384
50,300 MILLER (HERMAN), INC ............... 1,352
5,800 VIRCO MANUFACTURING ................ 107
----------
6,352
----------
FURNITURE AND HOME FURNISHINGS STORES--0.18%
125,520 (degree)BED BATH & BEYOND, INC ...... 4,283
200(degree)BOMBAY, INC ....................... 1
600 CIRCUIT CITY STORES-CIRCUIT CITY GROUP 30
500(degree)COMPUCOM SYSTEMS, INC ............. 2
87,027(degree)COMPUSA, INC ...................... 1,137
85,817(degree)MUSICLAND STORES CORP ............. 1,282
60,445 PIER 1 IMPORTS, INC ................ 586
85,908 TANDY CORP ......................... 3,538
169,500(degree)TRANS WORLD ENTERTAINMENT CORP .... 3,231
17(degree)WILLIAMS-SONOMA, INC .............. 1
----------
14,091
----------
GENERAL BUILDING CONTRACTORS--0.02%
200(degree)CROSSMAN COMMUNITIES, INC ......... 6
15,511 HILLENBRAND INDUSTRIES, INC ........ 882
1,543 HORTON (D.R.), INC ................. 35
32,953 LENNAR CORP ........................ 832
1,418(degree)NVR, INC .......................... 68
798 STANDARD-PACIFIC CORP .............. 11
----------
1,834
----------
GENERAL MERCHANDISE STORES--1.25%
67,341 CASEYS GENERAL STORES, INC ......... 878
5,500(degree)COST PLUS, INC .................... 173
65,900(degree)COSTCO COS, INC ................... 4,757
162,663 DAYTON HUDSON CORP ................. 8,824
76,650(degree)DOLLAR TREE STORES, INC ........... 3,349
137,400 FAMILY DOLLAR STORES, INC .......... 3,023
12(degree)FEDERATED DEPARTMENT STORES, INC .. 1
50 HARCOURT GENERAL, INC .............. 3
104,051(degree)KOHLS CORP ........................ 6,393
6,432(degree)NEIMAN-MARCUS GROUP, INC .......... 160
69 PENNEY (J.C.) CO, INC .............. 3
98,457(degree)SAKS, INC 3,108
801,360 WAL-MART STORES, INC ............... 65,261
----------
95,933
----------
HEALTH SERVICES--0.28%
520(degree)AMERICAN HOMEPATIENT, INC ......... 1
650(degree)AMERICAN ONCOLOGY RESOURCES, INC .. 9
500(degree)AMERIPATH, INC .................... 4
7,123(degree)CAREMATRIX CORP ................... 218
7,000(degree)CENTENNIAL HEALTHCARE CORP ........ 109
91 COLUMBIA/HCA HEALTHCARE CORP ....... 2
33,900(degree)CONCENTRA MANAGED CARE, INC ....... 362
800(degree)CORAM HEALTHCARE CORP ............. 2
7,663(degree)COVANCE, INC ...................... 223
33,400(degree)COVENTRY HEALTH CARE, INC ......... 294
18,500(degree)CURATIVE HEALTH SERVICES, INC ..... 620
2,400(degree)EXPRESS SCRIPTS, INC .............. 161
2,475 x(degree)FPA MEDICAL MANAGEMENT, INC . 0
76(degree)GENESIS HEALTH VENTURES, INC ...... 1
240,567(degree)HEALTH MANAGEMENT ASSOCIATES, INC
(CLASS A) NEW ..................... 5,202
1,790 HEALTHPLAN SERVICES CORP ........... 21
332,073(degree)HEALTHSOUTH CORP .................. 5,126
4(degree)LABORATORY CORP OF AMERICA HOLDINGS 0
2,560(degree)LABORATORY CORP OF AMERICA HOLDINGS
WTS 04/28/00 ...................... 0
553(degree)LCA-VISION, INC ................... 1
52,680(degree)LINCARE HOLDINGS, INC ............. 2,137
10,500(degree)MAGELLAN HEALTH SERVICES, INC ..... 88
42,247(degree)MARINER POST-ACUTE NETWORK, INC ... 193
600,506(degree)MEDPARTNERS, INC .................. 3,153
19,076(degree)PEDIATRIX MEDICAL GROUP, INC ...... 1,143
26,950(degree)PHYCOR, INC ....................... 184
14,900(degree)PHYSICIAN RELIANCE NETWORK, INC ... 196
1,639(degree)PHYSICIANS RESOURCE GROUP, INC .... 0
9,300(degree)PROVINCE HEALTHCARE CO ............ 334
225(degree)PSS WORLD MEDICAL, INC ............ 5
12,990(degree)QUORUM HEALTH GROUP, INC .......... 168
20,650(degree)RENAL CARE GROUP, INC ............. 595
100(degree)SUN HEALTHCARE GROUP, INC ......... 1
29,000(degree)TENET HEALTHCARE CORP ............. 761
14,400(degree)UNITED PAYORS & UNITED PROVIDERS, INC 410
118(degree)UNIVERSAL HEALTH SERVICES, INC .... 6
242(degree)VENCOR, INC ....................... 1
----------
21,731
----------
See notes to financial statements.
63
<PAGE>
GROWTH ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ -----
HEAVY CONSTRUCTION, EXCEPT BUILDING--0.01%
9,298(degree)DYCOM INDUSTRIES, INC ............. $ 531
11 FLUOR CORP ......................... 0
4,900(degree)INSITUFORM TECHNOLOGIES, INC (CLASS A) 71
50(degree)MASTEC, INC ....................... 1
----------
603
----------
HOLDING AND OTHER INVESTMENT OFFICES--0.07%
100(degree)ALEXANDERS, INC ................... 8
99 CORNERSTONE PROPERTIES, INC ........ 2
4,315 COUSINS PROPERTIES, INC ............ 139
973 CRESCENT REAL ESTATE EQUITIES CO ... 22
16 FEDERAL REALTY INVESTMENT TRUST .... 0
8,699 FELCOR LODGING TRUST, INC .......... 201
17,200 GENERAL GROWTH PROPERTIES, INC ..... 651
54 GREAT LAKES REIT, INC .............. 1
23,656 HEALTH CARE PROPERTY INVESTORS, INC 727
7,500 IMPERIAL CREDIT COMMERCIAL
MORTGAGE INVESTMENT CORP .......... 70
190 IRVINE APARTMENT COMMUNITIES, INC .. 6
3,378 MACERICH CO ........................ 87
53,200 MEDITRUST CORP PAIRED .............. 805
12,445 MERISTAR HOSPITALITY CORP .......... 231
5,570 MILLS CORP ......................... 111
58 PATRIOT AMERICAN HOSPITALITY, INC .. 0
200 PENNSYLVANIA REAL ESTATE
INVESTMENT TRUST .................. 4
4,900 POST PROPERTIES, INC ............... 188
78 RECKSON ASSOCIATES REALTY CORP ..... 2
64 SIMON PROPERTY GROUP, INC .......... 2
3,000 STARWOOD FINANCIAL TRUST ........... 180
18,700 TOWN & COUNTRY TRUST ............... 300
6,827 WASHINGTON REAL ESTATE
INVESTMENT TRUST .................. 127
35,797 WEINGARTEN REALTY INVESTORS, INC ... 1,597
----------
5,461
----------
HOTELS AND OTHER LODGING PLACES--0.52%
1,954,050 (degree)CENDANT CORP ................ 37,249
78 (degree)CHOICE HOTELS INTERNATIONAL, INC 1
13,944(degree)CRESTLINE CAPITAL CORP ............ 204
51,900(degree)EXTENDED STAY AMERICA, INC ........ 545
800(degree)MERISTAR HOTELS & RESORTS, INC .... 2
457(degree)MGM GRAND, INC .................... 12
33,120(degree)PROMUS HOTEL CORP ................. 1,072
75(degree)RED ROOF INNS, INC ................ 1
136(degree)SUNBURST HOSPITALITY CORP ......... 1
24,054(degree)SUNTERRA CORP ..................... 361
4,500(degree)TRENDWEST RESORTS, INC ............ 56
3,000(degree)VISTANA, INC ...................... 42
----------
39,546
----------
INDUSTRIAL MACHINERY AND EQUIPMENT--10.79%
188,927(degree)3COM CORP ......................... 8,466
63,800(degree)ADAPTEC, INC ...................... 1,120
930 ALLIED PRODUCTS CORP ............... 6
33,990(degree)AMERICAN STANDARD COS, INC ........ 1,224
160,400(degree)APPLIED MATERIALS, INC ............ 6,847
6,728 APPLIED POWER, INC (CLASS A) ....... 254
3,000(degree)ASTEC INDUSTRIES, INC ............. 167
51,902 BAKER HUGHES, INC .................. 918
16,264(degree)BELL & HOWELL CO .................. 615
2,376 BLACK & DECKER CORP ................ 133
40(degree)BLACK BOX CORP .................... 2
8,900(degree)CENTENNIAL TECHNOLOGIES, INC ...... 5
1,969,635(degree)CISCO SYSTEMS, INC ................ 182,807
65(degree)COLTEC INDUSTRIES, INC ............ 1
1,800 COLUMBUS MCKINNON CORP ............. 32
894,996 COMPAQ COMPUTER CORP ............... 37,534
15(degree)COOPER CAMERON CORP ............... 0
620,706(degree)DELL COMPUTER CORP ................ 45,428
50,582 DIEBOLD, INC ....................... 1,805
5,100(degree)DIGI INTERNATIONAL, INC ........... 57
57 DONALDSON CO, INC .................. 1
2,212(degree)DRIL-QUIP, INC .................... 39
292,478(degree)EMC CORP .......................... 24,861
500(degree)FEI CO ............................ 4
3,164 FLOWSERVE CORP ..................... 52
106(degree)GATEWAY 2000, INC ................. 5
300 GENERAL BINDING CORP ............... 11
9,573 GRACO, INC ......................... 282
298,126 HEWLETT-PACKARD CO ................. 20,366
3,000(degree)HORIZON OFFSHORE, INC ............. 17
46,300 HUSSMANN INTERNATIONAL, INC ........ 897
32,600(degree)HYPERCOM CORP ..................... 322
48,743 INTERNATIONAL BUSINESS MACHINES CORP 9,005
92(degree)IOMEGA CORP ....................... 1
4,178(degree)IRI INTERNATIONAL CORP ............ 17
19,300(degree)ITEQ, INC ......................... 41
12,576 JLG INDUSTRIES, INC ................ 197
9,616 KAYDON CORP ........................ 385
52 KENNAMETAL, INC .................... 1
100(degree)KRONOS, INC ....................... 4
63,851(degree)LEXMARK INTERNATIONAL GROUP (CLASS A) 6,417
6,448 MANITOWOC, INC ..................... 286
12,400(degree)MICRON ELECTRONICS, INC ........... 215
400(degree)MICROTOUCH SYSTEMS, INC ........... 5
68,864 MINNESOTA MINING & MANUFACTURING CO 4,898
506(degree)NETWORK EQUIPMENT TECHNOLOGIES, INC 5
45,854(degree)NOVELLUS SYSTEMS, INC ............. 2,270
18,250 PALL CORP .......................... 462
25(degree)PAXAR CORP ........................ 0
82,903 PITNEY BOWES, INC .................. 5,477
1,800(degree)QUANTUM CORP ...................... 38
53 ROBBINS & MYERS, INC ............... 1
45 ROPER INDUSTRIES, INC .............. 1
3,200 SAUER, INC ......................... 24
80,079(degree)SEAGATE TECHNOLOGY, INC ........... 2,422
10,100(degree)SEQUENT COMPUTER SYSTEMS, INC ..... 122
110,500(degree)SHIVA CORP ........................ 625
4,700(degree)SPECIALTY EQUIPMENT COS, INC ...... 127
17,500(degree)SPLASH TECHNOLOGY HOLDINGS, INC ... 130
218 STANDEX INTERNATIONAL CORP ......... 6
116,500(degree)STORAGE TECHNOLOGY CORP ........... 4,143
42,632 SYMBOL TECHNOLOGIES, INC ........... 2,726
10,300 TENNANT CO ......................... 413
5,060,800 TYCO INTERNATIONAL LTD ............. 381,774
29,281(degree)U.S. FILTER CORP .................. 670
1,972,850(degree)UNISYS CORP ....................... 67,940
18,510(degree)VARCO INTERNATIONAL, INC .......... 143
208 VARIAN ASSOCIATES, INC ............. 8
25,600(degree)VISUAL NETWORKS, INC .............. 960
30 YORK INTERNATIONAL CORP ............ 1
270 #(degree)ZEBRA TECHNOLOGY CORP (CLASS B) . 8
----------
826,246
----------
See notes to financial statements.
64
<PAGE>
GROWTH ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ -----
INSTRUMENTS AND RELATED PRODUCTS--1.55%
20,800(degree)ADAC LABORATORIES, INC ............ $ 415
700(degree)AFFYMETRIX, INC ................... 17
9,240 ARROW INTERNATIONAL, INC ........... 290
82,400 (degree)ARTERIAL VASCULAR ENGINEERING, INC 4,326
650(degree)AVID TECHNOLOGIES, INC ............ 15
700(degree)BACOU U.S.A., INC ................. 15
1,321 BALLARD MEDICAL PRODUCTS CO ........ 32
5,400 BAUSCH & LOMB, INC ................. 324
83,924 BAXTER INTERNATIONAL, INC .......... 5,397
200(degree)BAXTER INTERNATIONAL, INC RTS ..... 0
30,200 BECKMAN COULTER, INC ............... 1,638
117,684 BECTON DICKINSON & CO .............. 5,024
26,200 BIOMET, INC ........................ 1,055
22,698(degree)BOSTON SCIENTIFIC CORP ............ 609
297 x(degree)CELLPRO, INC ................ 0
400(degree)CHYRON CORP ....................... 1
7,000(degree)CLOSURE MEDICAL CORP .............. 209
20(degree)CNS, INC .......................... 0
738,900(degree)CYMER, INC ........................ 10,806
23,800(degree)CYTYC CORP ........................ 613
72 DANIEL INDUSTRIES, INC ............. 1
300(degree)DATASCOPE CORP .................... 7
62,800 DENTSPLY INTERNATIONAL, INC ........ 1,617
9,542(degree)DYNATECH CORP ..................... 26
25,608 EASTMAN KODAK CO ................... 1,844
9,550(degree)FOSSIL, INC ....................... 275
10 FRESENIUS MEDICAL CARE AG. ADR ..... 0
41,822(degree)GENRAD, INC ....................... 659
109,819 GUIDANT CORP ....................... 12,108
21,055(degree)HANGER ORTHOPEDIC GROUP, INC ...... 474
700(degree)HEARTPORT, INC .................... 4
55,700 HONEYWELL, INC ..................... 4,195
11,900 INVACARE CORP ...................... 286
326,400(degree)KLA-TENCOR CORP ................... 14,158
4,200(degree)LIFECORE BIOMEDICAL, INC .......... 43
500(degree)LTX CORP .......................... 1
261,090 MEDTRONIC, INC ..................... 19,386
200 MENTOR CORP ........................ 5
49,009 (degree)METTLER-TOLEDO INTERNATIONAL, INC 1,375
2,500 MOVADO GROUP, INC .................. 67
3,000 MTS SYSTEMS CORP ................... 41
4,900(degree)NOVOSTE CORP ...................... 139
29,600(degree)OCULAR SCIENCES, INC .............. 792
13,242(degree)OEC MEDICAL SYSTEMS, INC .......... 416
2,800(degree)PANAVISION, INC NEW ............... 35
60(degree)PERCLOSE, INC ..................... 2
9,300(degree)PINNACLE SYSTEMS, INC ............. 332
100(degree)POSSIS MEDICAL, INC ............... 1
16,800(degree)RESMED, INC ....................... 762
2,800(degree)RESPIRONICS, INC .................. 56
2,250(degree)ROBOTIC VISION SYSTEMS, INC ....... 6
600(degree)SCOTT TECHNOLOGIES, INC ........... 10
83(degree)SONOSITE, INC ..................... 1
57,551(degree)ST. JUDE MEDICAL, INC ............. 1,593
86,000(degree)STERIS CORP ....................... 2,446
89 STRYKER CORP ....................... 5
300(degree)SUMMIT TECHNOLOGY, INC ............ 1
108,033(degree)SYBRON INTERNATIONAL CORP ......... 2,937
39,778 TEKTRONIX, INC ..................... 1,196
100(degree)THERMO CARDIOSYSTEMS, INC ......... 1
414(degree)THERMO ELECTRON CORP .............. 7
1,000(degree)THERMO OPTEK CORP ................. 9
300(degree)UROMED CORP ....................... 0
23,500(degree)VISX, INC ......................... 2,055
3,900 VITAL SIGNS, INC ................... 68
1,700(degree)VIVUS, INC ........................ 4
13,300(degree)WESLEY JESSEN VISIONCARE, INC ..... 369
152,217 XEROX CORP ......................... 17,962
100(degree)ZYGO CORP ......................... 1
----------
118,564
----------
INSURANCE AGENTS, BROKERS AND SERVICE--0.02%
28,804 CRAWFORD & CO (CLASS B) ............ 445
68,900(degree)FIRST HEALTH GROUP CORP ........... 1,141
100 GALLAGHER (ARTHUR J.) & CO ......... 4
68 MARSH & MCLENNAN COS, INC .......... 4
----------
1,594
----------
INSURANCE CARRIERS--4.37%
1,915 AETNA, INC ......................... 151
91,474 AFLAC, INC ......................... 4,025
1,672,300 ALLSTATE CORP ...................... 64,593
633,433 AMERICAN INTERNATIONAL GROUP, INC .. 61,205
3,500(degree)AMERIN CORP ....................... 83
1,004,565 CITIGROUP, INC ..................... 49,726
17,159 CMAC INVESTMENT CORP ............... 788
100(degree)COMPDENT CORP ..................... 1
57,731 CONSECO, INC ....................... 1,764
7,100 EQUITABLE COS, INC ................. 411
3,131 EVEREST REINSURANCE HOLDINGS, INC .. 122
779,500 EXEL LTD (CLASS A) ................. 58,463
25,835 FIDELITY NATIONAL FINANCIAL, INC ... 788
62,240 FIRST AMERICAN FINANCIAL CORP ...... 1,999
100(degree)FOUNDATION HEALTH SYSTEMS (CLASS A) 1
5,917 HARTFORD LIFE, INC (CLASS A) ....... 345
283 HCC INSURANCE HOLDINGS, INC ........ 5
50(degree)HIGHLANDS INSURANCE GROUP, INC .... 1
1,371(degree)HUMANA, INC ....................... 24
83 MBIA, INC .......................... 5
125,582 MGIC INVESTMENT CORP ............... 5,000
100 NATIONWIDE FINANCIAL SERVICES, INC
(CLASS A) ......................... 5
91,730(degree)OXFORD HEALTH PLANS, INC .......... 1,364
3,065(degree)PACIFICARE HEALTH SYSTEMS, INC (CLASS A) 223
6,723(degree)PACIFICARE HEALTH SYSTEMS, INC (CLASS B) 534
94 PMI GROUP, INC ..................... 5
4,091 PROGRESSIVE CORP ................... 693
20 PROTECTIVE LIFE CORP ............... 1
11,300 PROVIDENT COS, INC ................. 469
112 REINSURANCE GROUP OF AMERICA, INC .. 8
25 SCPIE HOLDINGS, INC ................ 1
491,958 SUNAMERICA, INC .................... 39,910
12,000(degree)TRIAD GUARANTY, INC ............... 265
963,100 UNITED HEALTHCARE CORP ............. 41,473
----------
334,451
----------
LEATHER AND LEATHER PRODUCTS--0.00%
8,585(degree)SAMSONITE CORP .................... 48
----------
LEGAL SERVICES--0.00%
266(degree)PREPAID LEGAL SERVICES, INC ....... 9
----------
LOCAL AND INTERURBAN PASSENGER TRANSIT--0.01%
18,700(degree)COACH U.S.A., INC ................. 649
71,240(degree)GREYHOUND LINES, INC .............. 423
1,200(degree)RURAL/METRO CORP .................. 13
----------
1,085
----------
See notes to financial statements.
65
<PAGE>
GROWTH ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ -----
LUMBER AND WOOD PRODUCTS--0.00%
1,300(degree)AMERICAN HOMESTAR CORP ............ $ 20
460 CLAYTON HOMES, INC ................. 6
2,400(degree)PALM HARBOR HOMES, INC ............ 60
----------
86
----------
METAL MINING--0.03%
53,104 FREEPORT-MCMORAN COPPER &
GOLD, INC (CLASS A) ............... 514
139,550 FREEPORT-MCMORAN COPPER &
GOLD, INC (CLASS B) ............... 1,457
90 NEWMONT MINING CORP ................ 2
15,494(degree)STILLWATER MINING CO .............. 635
3,663(degree)SUNSHINE MINING & REFINING CO ..... 2
----------
2,610
----------
MISCELLANEOUS MANUFACTURING INDUSTRIES--0.06%
42,460(degree)BLYTH INDUSTRIES, INC ............. 1,327
24,600 BRADY CORP (CLASS A) ............... 663
97 HASBRO, INC ........................ 4
6,735(degree)HEXCEL CORP ....................... 56
2,300 INTERNATIONAL GAME TECHNOLOGY CO ... 56
47,381 JOSTENS, INC ....................... 1,241
311 K2, INC ............................ 3
98(degree)LYDALL, INC ....................... 1
56,845 MATTEL, INC ........................ 1,297
8,686(degree)STEINWAY MUSICAL INSTRUMENTS, INC . 226
56(degree)WMS INDUSTRIES, INC ............... 0
----------
4,874
----------
MISCELLANEOUS RETAIL--0.70%
7,100(degree)AMAZON.COM, INC ................... 2,281
9,700(degree)BARNETT, INC ...................... 133
47,084(degree)BORDERS GROUP, INC ................ 1,174
16,730(degree)CDW COMPUTER CENTERS, INC ......... 1,605
11,000(degree)COLDWATER CREEK, INC .............. 151
70(degree)CORPORATE EXPRESS, INC ............ 0
156,439 CVS CORP ........................... 8,604
200(degree)GARDEN RIDGE CORP ................. 2
42,885(degree)GLOBAL DIRECTMAIL CORP ............ 1,002
6,861 HANCOCK FABRICS, INC ............... 57
1,100(degree)HANOVER DIRECT, INC ............... 4
20,900(degree)INSIGHT ENTERPRISES, INC .......... 1,063
3,800 x(degree)JUMBOSPORTS, INC ............ 0
65,500(degree)MICHAELS STORES, INC .............. 1,185
190,454(degree)OFFICE DEPOT, INC ................. 7,035
141(degree)OFFICEMAX, INC .................... 2
102,974 OMNICARE, INC ...................... 3,578
11,200(degree)PETCO ANIMAL SUPPLIES, INC ........ 113
40(degree)PETSMART, INC ..................... 0
183 RITE AID CORP ...................... 9
177,510(degree)STAPLES, INC ...................... 7,755
7,550(degree)SUNGLASS HUT INTERNATIONAL, INC ... 53
85(degree)TOYS R US, INC .................... 1
10,658(degree)U.S. OFFICE PRODUCTS CO ........... 41
304,065 WALGREEN CO ........................ 17,807
30(degree)ZALE CORP ......................... 1
----------
53,656
----------
MOTION PICTURES--0.49%
1,800(degree)AMC ENTERTAINMENT, INC ............ 38
1,232,447 DISNEY (WALT) CO ................... 36,973
17,900(degree)HOLLYWOOD ENTERTAINMENT CORP ...... 488
16,100(degree)SPELLING ENTERTAINMENT GROUP, INC . 121
----------
37,620
----------
NONDEPOSITORY INSTITUTIONS--1.99%
75 ADVANTA CORP (CLASS A) ............. $ 1
236,346 AMERICAN EXPRESS CO ................ 24,166
91,814(degree)AMERICREDIT CORP .................. 1,268
1,695,368 ASSOCIATES FIRST CAPITAL CORP ...... 71,841
53,936 CAPITAL ONE FINANCIAL CORP ......... 6,203
4,267 CHARTER MUNICIPAL MORTGAGE
ACCEPTANCE ........................ 52
11,400 x(degree)CITYSCAPE FINANCIAL CORP .... 0
16,500 CONNING CORP ....................... 342
7,733(degree)CONTIFINANCIAL CORP ............... 55
5,568 COUNTRYWIDE CREDIT INDUSTRIES, INC . 279
37,100 DORAL FINANCIAL CORP ............... 821
267,597 FEDERAL NATIONAL MORTGAGE ASSOCIATION 19,802
10,493(degree)FIRSTPLUS FINANCIAL GROUP, INC .... 29
6,400(degree)FRANCHISE MORTGAGE ACCEPTANCE CO .. 50
386,952 FREDDIE MAC ........................ 24,934
5,700(degree)HEADLANDS MORTGAGE CO ............. 119
8,681 HOUSEHOLD INTERNATIONAL, INC ....... 344
600(degree)IMC MORTGAGE CO ................... 0
100(degree)IMPERIAL CREDIT INDUSTRIES, INC ... 1
7,800(degree)LONG BEACH FINANCIAL CORP ......... 59
15,900 METRIS COS, INC .................... 800
23,284 SLM HOLDINGS CORP .................. 1,118
1,881 x(degree)SOUTHERN PACIFIC FUNDING CORP 0
13,200(degree)UNICAPITAL CORP ................... 97
100 UNITED COS FINANCIAL CORP .......... 0
----------
152,381
----------
OIL AND GAS EXTRACTION--1.39%
1,241,079 APACHE CORP ........................ 31,415
83(degree)ATWOOD OCEANICS, INC .............. 1
22(degree)BELCO OIL & GAS CORP .............. 0
1,263(degree)BENTON OIL & GAS CO ............... 4
5,100 BERRY PETROLEUM CO (CLASS A) ....... 72
4,800(degree)BROWN (TOM), INC .................. 48
7,700 CABOT OIL & GAS CORP (CLASS A) ..... 116
5,800(degree)CAL DIVE INTERNATIONAL, INC ....... 120
1,391 CHESAPEAKE ENERGY CORP ............. 1
500(degree)COHO ENERGY, INC .................. 1
15,000(degree)COMSTOCK RESOURCES, INC ........... 46
3,764 CROSS TIMBERS OIL CO ............... 28
1,052,959 DIAMOND OFFSHORE DRILLING, INC ..... 24,942
53,033(degree)EEX CORP .......................... 371
9,251 ENRON OIL & GAS CO ................. 160
136,139 ENSCO INTERNATIONAL, INC ........... 1,455
13,800 (degree)FRIEDE GOLDMAN INTERNATIONAL, INC 157
14(degree)GLOBAL INDUSTRIES LTD ............. 0
107,200(degree)GREY WOLF, INC .................... 87
131,548 HALLIBURTON CO ..................... 3,897
1,246(degree)HANOVER COMPRESSOR CO ............. 32
24,813 KCS ENERGY, INC .................... 76
59,840(degree)MARINE DRILLING CO, INC ........... 460
71(degree)MCMORAN EXPLORATION CO ............ 1
12,491 MITCHELL ENERGY & DEVELOPMENT CORP
(CLASS A) ......................... 143
100(degree)NABORS INDUSTRIES, INC ............ 1
4,600 NOBLE AFFILIATES, INC .............. 113
37(degree)NOBLE DRILLING CORP ............... 0
5,852,087 +(degree)OCEAN ENERGY, INC NEW ....... 36,941
15,646(degree)OCEANEERING INTERNATIONAL, INC .... 235
2,100(degree)OMNI ENERGY SERVICES CORP ......... 9
29,800(degree)PATTERSON ENERGY, INC ............. 121
42 PIONEER NATURAL RESOURCES CO ....... 0
86,934(degree)ROWAN COS, INC .................... 869
See notes to financial statements.
66
<PAGE>
GROWTH ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ -----
OIL AND GAS EXTRACTION--(CONTINUED)
10,300 RPC, INC ........................... $ 76
11,100(degree)RUTHERFORD-MORAN OIL CORP ......... 31
300 ST. MARY LAND & EXPLORATION CO ..... 6
29,663(degree)STONE ENERGY CORP ................. 853
22,600(degree)SUPERIOR ENERGY SERVICES, INC ..... 64
400(degree)SWIFT ENERGY CO ................... 3
14,700(degree)SYNTROLEUM CORP ................... 91
23,971(degree)TRANSMONTAIGNE, INC ............... 363
78,700 TRANSOCEAN OFFSHORE, INC ........... 2,110
12,235(degree)TRANSTEXAS GAS CORP ............... 32
7,800(degree)TUBOSCOPE, INC .................... 63
9,400(degree)UTI ENERGY CORP ................... 68
23,594 VASTAR RESOURCES, INC .............. 1,019
4,349 VINTAGE PETROLEUM, INC ............. 38
----------
106,739
----------
PAPER AND ALLIED PRODUCTS--0.28%
100(degree)ACX TECHNOLOGIES, INC ............. 1
388(degree)AMERICAN PAD & PAPER CO ........... 1
22,643(degree)BUCKEYE TECHNOLOGIES, INC ......... 338
200 CARAUSTAR INDUSTRIES, INC .......... 6
63,200(degree)EARTHSHELL CORP ................... 754
192,933 FORT JAMES CORP .................... 7,717
54,300(degree)GAYLORD CONTAINER CO .............. 333
7,288(degree)IVEX PACKAGING CORP ............... 169
204,736 KIMBERLY CLARK CORP ................ 11,158
2,300 REPUBLIC GROUP, INC ................ 46
5,283 SCHWEITZER-MAUDUIT INTERNATIONAL, INC 82
3,756(degree)SMURFIT-STONE CONTAINER CORP ...... 59
5,549 SONOCO PRODUCTS CO ................. 164
22,310 WAUSAU-MOSINEE PAPER CORP .......... 395
----------
21,223
----------
PERSONAL SERVICES--0.12%
92,747 BLOCK (H&R), INC ................... 4,174
53,600 CINTAS CORP ........................ 3,775
2,100(degree)COINMACH LAUNDRY CORP ............. 27
50 G & K SERVICES, INC (CLASS A) ...... 3
600 REGIS CORP ......................... 24
39,821 SERVICE CORP INTERNATIONAL ......... 1,516
----------
9,519
----------
PETROLEUM AND COAL PRODUCTS--0.02%
6,600 ELCOR CORP ......................... 213
11,808(degree)FRONTIER OIL CORP ................. 58
43,860 PENNZENERGY CO ..................... 715
43,860(degree)PENNZOIL-QUAKER STATE CO .......... 650
84 TEXACO, INC ........................ 4
61 TOSCO CORP ......................... 2
80 UNOCAL CORP ........................ 2
2,600 WD-40 CO ........................... 74
----------
1,718
----------
PRIMARY METAL INDUSTRIES--0.01%
2,425(degree)AFC CABLE SYSTEMS, INC ............ 82
15(degree)ARMCO, INC ........................ 0
542(degree)CABLE DESIGN TECHNOLOGIES CO ...... 10
2,500(degree)CHASE INDUSTRIES, INC ............. 26
414(degree)ESSEX INTERNATIONAL, INC .......... 14
17,894 GENERAL CABLE CORP ................. 367
100(degree)GIBRALTAR STEEL CORP .............. 2
336 IMCO RECYCLING, INC ................ 5
1,100 INTERMET CORP ...................... 14
5,400 MATTHEWS INTERNATIONAL CORP (CLASS A) 170
19,200(degree)NS GROUP, INC ..................... 85
1,000 NUCOR CORP ......................... 43
5,600(degree)OPTICAL CABLE CORP ................ 68
160 PRECISION CAST PARTS CORP .......... 7
7,900(degree)STEEL DYNAMICS, INC ............... 93
1,534 SUPERIOR TELECOM, INC .............. 72
187 TITANIUM METALS CORP ............... 2
380 WORTHINGTON INDUSTRIES, INC ........ 5
----------
1,065
----------
PRINTING AND PUBLISHING--0.50%
5,400(degree)APPLIED GRAPHICS TECHNOLOGIES, INC 89
14,808 BELO (A.H.) CORP SERIES A .......... 295
9,706 CENTRAL NEWSPAPERS, INC (CLASS A) .. 693
8,320(degree)CONSOLIDATED GRAPHICS, INC ........ 562
9,300(degree)DAY RUNNER, INC ................... 135
88 DELUXE CORP ........................ 3
11,100 DOW JONES & CO, INC ................ 534
110,989 GANNETT CO, INC .................... 7,159
5,740 HARLAND (JOHN H.) CO ............... 91
8,200 HARTE-HANKS, INC ................... 234
35,503 HOLLINGER INTERNATIONAL, INC ....... 495
50,456 LEE ENTERPRISES, INC ............... 1,589
13,100 x(degree)MARVEL ENTERTAINMENT GROUP, INC 2
5,400(degree)MEDIA ARTS GROUP, INC ............. 76
25,663 MEDIA GENERAL, INC (CLASS A) ....... 1,360
4,700 MEREDITH CORP ...................... 178
5,000 MERRILL CORP ....................... 97
155 NEW ENGLAND BUSINESS SERVICES, INC . 6
7,600 NEW YORK TIMES CO (CLASS A) ........ 264
1,000 PENTON MEDIA, INC .................. 20
16,492(degree)PETERSEN COS, INC (CLASS A) ....... 559
16,300(degree)PLAYBOY ENTERPRISES, INC (CLASS B) 341
5,339(degree)PRIMEDIA, INC ..................... 63
56 READER'S DIGEST ASSOCIATION, INC
(CLASS A) (NON-VOTE) .............. 1
87,852 REYNOLDS & REYNOLDS CO (CLASS A) ... 2,015
21 STANDARD REGISTER, INC ............. 1
100 THOMAS NELSON, INC ................. 1
257,442 TIME WARNER, INC ................... 15,977
100 TIMES MIRROR CO SERIES A ........... 6
78,809 TRIBUNE CO ......................... 5,201
68 WALLACE COMPUTER SERVICES, INC ..... 2
500 WILEY (JOHN) & SONS, INC (CLASS A) . 24
77(degree)WORKFLOW MANAGEMENT, INC .......... 1
6(degree)WORLD COLOR PRESS, INC ............ 0
----------
38,074
----------
RAILROAD TRANSPORTATION--0.03%
34,682 KANSAS CITY SOUTHERN INDUSTRIES, INC 1,706
23,750(degree)WISCONSIN CENTRAL TRANSIT CORP .... 408
----------
2,114
----------
REAL ESTATE--0.03%
83(degree)CATELLUS DEVELOPMENT CORP ......... 1
6,209(degree)FAIRFIELD COMMUNITIES, INC ........ 69
4,400 FOREST CITY ENTERPRISES, INC (CLASS A) 116
2,700(degree)GRUBB & ELLIS CO .................. 22
1,953(degree)INSIGNIA FINANCIAL GROUP, INC ..... 24
18,796(degree)LASALLE PARTNERS, INC ............. 553
1,230(degree)RECKSON SERVICES INDUSTRIES, INC .. 5
31,800 STEWART ENTERPRISES, INC (CLASS A) . 708
35,838 (degree)TRAMMELL CROW CO ............ 1,003
----------
2,501
----------
See notes to financial statements.
67
<PAGE>
GROWTH ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ -----
RUBBER AND MISCELLANEOUS PLASTIC PRODUCTS--0.26%
16,994 APTARGROUP, INC .................... $ 477
76 ARMSTRONG WORLD INDUSTRIES, INC .... 5
3,400 CARLISLE COS, INC .................. 176
2,397 FIRST BRANDS CORP .................. 95
21,872 FURON CO ........................... 373
33,484 GOODRICH (B.F.) CO ................. 1,201
150,425 ILLINOIS TOOL WORKS, INC ........... 8,725
1,835 MYERS INDUSTRIES, INC .............. 53
74,600 NIKE, INC (CLASS B) ................ 3,026
48(degree)REEBOK INTERNATIONAL LTD .......... 1
159,694(degree)SAFESKIN CORP ..................... 3,853
8,795(degree)SEALED AIR CORP ................... 449
55 SOLUTIA, INC ....................... 1
7,800 SPARTECH CORP ...................... 172
40,248 TREDEGAR INDUSTRIES, INC ........... 906
19,617 TUPPERWARE CORP .................... 322
19,700 WYNNS INTERNATIONAL, INC ........... 436
----------
20,271
----------
SECURITY AND COMMODITY BROKERS--0.24%
4,964(degree)AFFILIATED MANAGERS GROUP, INC .... 148
426 DUFF & PHELPS CREDIT RATING CO ..... 23
14,900(degree)E TRADE GROUP, INC ................ 697
36,224 EATON VANCE CORP ................... 756
6,015 EVEREN CAPITAL CORP ................ 137
57,300 FEDERATED INVESTMENTS, INC ......... 1,039
17,613 FRANKLIN RESOURCES, INC ............ 564
2,067 FREEDOM SECURITIES CORP ............ 31
22,100(degree)FRIEDMAN, BILLINGS, RAMSEY GROUP, INC 144
4,200(degree)INVESTMENT TECHNOLOGY GROUP, INC .. 261
17,200 JEFFERIES GROUP, INC ............... 854
1,509 JOHN NUVEEN CO (CLASS A) ........... 56
5,600 MORGAN KEEGAN, INC ................. 105
3,200 PRICE (T. ROWE) ASSOCIATES, INC .... 110
231,351 SCHWAB (CHARLES) CORP .............. 12,999
500 SOUTHWEST SECURITIES GROUP, INC .... 10
2,300 VALUE LINE, INC .................... 91
----------
18,025
----------
SOCIAL SERVICES--0.01%
13,800(degree)CAPITAL SENIOR LIVING CORP ........ 192
1,400(degree)RWD TECHNOLOGIES, INC ............. 30
7,600(degree)SUNRISE ASSISTED LIVING, INC ...... 394
----------
616
----------
SPECIAL TRADE CONTRACTORS--0.01%
461(degree)AMERICAN RESIDENTIAL SERVICES, INC 1
6,600 x(degree)AMRE, INC ................... 0
34,200(degree)GROUP MAINTENANCE AMERICA CORP .... 415
----------
416
----------
STONE, CLAY, AND GLASS PRODUCTS--0.09%
901 CENTEX CONSTRUCTION PRODUCTS, INC .. 37
54,499 CORNING, INC ....................... 2,452
27,300(degree)DAL-TILE INTERNATIONAL, INC ....... 283
10,119(degree)DEPARTMENT 56, INC ................ 380
7,650 LIBBEY, INC ........................ 221
42,606 NEWELL COS, INC .................... 1,757
6,500(degree)OWENS ILLINOIS, INC ............... 199
29,917 USG CORP ........................... 1,524
----------
6,853
----------
TEXTILE MILL PRODUCTS--0.49%
12,604(degree)COLLINS & AIKMAN CORP ............. 65
29,400 INTERFACE, INC (CLASS A) ........... 273
8,693(degree)MOHAWK INDUSTRIES, INC ............ 366
15,882 SHAW INDUSTRIES, INC ............... 385
1,143,500(degree)WESTPOINT STEVENS, INC ............ 36,092
----------
37,181
----------
TOBACCO PRODUCTS--0.95%
1,352,433 PHILIP MORRIS COS, INC ............. 72,355
----------
TRANSPORTATION BY AIR--0.04%
1,600(degree)AIRTRAN HOLDINGS, INC ............. 4
11,534(degree)ATLAS AIR, INC .................... 564
65,925 COMAIR HOLDINGS, INC ............... 2,225
1,300(degree)FDX CORP .......................... 116
50(degree)MESA AIR GROUP, INC ............... 0
55(degree)MIDWEST EXPRESS HOLDINGS, INC ..... 1
3,600(degree)U.S. AIRWAYS GROUP, INC ........... 187
----------
3,097
----------
TRANSPORTATION EQUIPMENT--1.22%
101,786 ALLIED SIGNAL, INC ................. 4,510
29,400(degree)BE AEROSPACE, INC ................. 617
343,930 BOEING CO .......................... 11,221
389 CLARCOR, INC ....................... 8
2,461 COMMERCIAL INTERTECH CORP .......... 32
1,733 CORDANT TECHNOLOGIES, INC .......... 65
95,704 DANAHER CORP ....................... 5,198
3,200(degree)DUCOMMUN, INC ..................... 44
1,600 FEDERAL-MOGUL CORP ................. 95
988,500(degree)GENERAL MOTORS CORP (CLASS H) ..... 39,231
19,400(degree)GENTEX CORP ....................... 388
90,659(degree)GULFSTREAM AEROSPACE CORP ......... 4,828
42(degree)HALTER MARINE GROUP, INC .......... 0
147,760 HARLEY DAVIDSON, INC ............... 7,000
21,600(degree)HAYES LEMMERZ INTERNATIONAL, INC .. 652
400(degree)HOWMET INTERNATIONAL, INC ......... 6
3,600(degree)KELLSTROM INDUSTRIES, INC ......... 104
25,374 MASCOTECH, INC ..................... 435
122,744 MERITOR AUTOMOTIVE, INC ............ 2,601
6,700 MODINE MANUFACTURING CO ............ 243
13,350(degree)MONACO COACH CORP ................. 354
2,600(degree)MOTIVEPOWER INDUSTRIES, INC ....... 84
12,000(degree)NATIONAL R.V. HOLDINGS, INC ....... 309
31,455 POLARIS INDUSTRIES, INC ............ 1,233
4,604 REGAL-BELOIT CORP .................. 106
14,435(degree)STONERIDGE, INC ................... 328
67,251 SUNDSTRAND CORP .................... 3,489
1,320 SUPERIOR INDUSTRIES INTERNATIONAL, INC 37
5,024 THOR INDUSTRIES, INC ............... 128
13,955(degree)TRIUMPH GROUP, INC ................ 447
89,610 UNITED TECHNOLOGIES CORP ........... 9,745
3,262 WABASH NATIONAL CORP ............... 66
900(degree)WALBRO CORP ....................... 6
----------
93,610
----------
TRANSPORTATION SERVICES--0.08%
50 AIR EXPRESS INTERNATIONAL CORP ..... 1
40,100 C.H. ROBINSON WORLDWIDE, INC ....... 1,040
100 CIRCLE INTERNATIONAL GROUP, INC .... 2
2,600 EXPEDITORS INTERNATIONAL OF
WASHINGTON ........................ 109
112,816 GALILEO INTERNATIONAL, INC ......... 4,907
83(degree)NAVIGANT INTERNATIONAL, INC ....... 1
200(degree)TRAVEL SERVICES INTERNATIONAL, INC 6
4,200(degree)U.S. EXPRESS ENTERPRISES, INC (CLASS A) 63
----------
6,129
----------
See notes to financial statements.
68
<PAGE>
GROWTH ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ -----
TRUCKING AND WAREHOUSING--0.02%
5,216 CNF TRANSPORTATION, INC ............ $ 196
1,500(degree)COVENANT TRANSPORT, INC (CLASS A) . 27
5,500(degree)DISPATCH MANAGEMENT SERVICES CORP . 22
20,900 HUNT (J.B.) TRANSPORT SERVICES, INC 481
4,900(degree)KNIGHT TRANSPORTATION, INC ........ 131
259(degree)PIERCE LEAHY CORP ................. 7
9,550(degree)SWIFT TRANSPORTATION CO, INC ...... 268
----------
1,132
----------
WATER TRANSPORTATION--1.09%
1,684,900 CARNIVAL CORP (CLASS A) ............ 80,875
700(degree)HVIDE MARINE, INC (CLASS A) ....... 4
114,302 TIDEWATER, INC ..................... 2,650
34(degree)TRICO MARINE SERVICES, INC ........ 0
----------
83,529
----------
WHOLESALE TRADE-DURABLE GOODS--0.10%
17,500(degree)ACTION PERFORMANCE COS, INC ....... 619
10,000(degree)ANICOM, INC ....................... 92
56(degree)ANIXTER INTERNATIONAL, INC ........ 1
900 APPLIED INDUSTRIAL TECHNOLOGIES, INC 12
5,973(degree)ARROW ELECTRONICS, INC ............ 159
738 AVNET, INC ......................... 45
2,100 BRIGGS & STRATTON CORP ............. 105
47,989(degree)BRIGHTPOINT, INC .................. 660
73 CASTLE (A.M.) & CO ................. 1
56(degree)CELLSTAR CORP ..................... 0
5,800(degree)CHS ELECTRONICS, INC .............. 98
100(degree)FAIRCHILD CORP (CLASS A) .......... 2
36,572(degree)FISHER SCIENTIFIC INTERNATIONAL, INC 729
300(degree)GRAHAM-FIELD HEALTH PRODUCTS, INC . 1
3,600(degree)HA-LO INDUSTRIES, INC ............. 135
600(degree)HIRSCH INTERNATIONAL CORP (CLASS A) 2
47,519 IKON OFFICE SOLUTIONS, INC ......... 407
56,797(degree)INGRAM MICRO, INC (CLASS A) ....... 1,981
5,800(degree)JLK DIRECT DISTRIBUTION, INC (CLASS A) 59
24,300(degree)METAL MANAGEMENT, INC ............. 85
1,900(degree)MICROAGE, INC ..................... 29
12,971 OWENS & MINOR, INC ................. 204
12,400(degree)PATTERSON DENTAL CO ............... 539
10,700(degree)POMEROY COMPUTER RESOURCES, INC ... 241
14,720(degree)SAFEGUARD SCIENTIFICS, INC ........ 404
28,971(degree)TECH DATA CORP .................... 1,166
2,043(degree)VWR SCIENTIFIC PRODUCTS CORP ...... 35
----------
7,811
----------
WHOLESALE TRADE-NONDURABLE GOODS--1.67%
37,272(degree)BARRETT RESOURCES CORP ............ 895
74,222 BERGEN BRUNSWIG CORP (CLASS A) ..... 2,588
432 (degree)BOISE CASCADE OFFICE PRODUCTS CORP 6
1,454,072 CARDINAL HEALTH, INC ............... 110,328
92 DIMON, INC ......................... 1
52(degree)KENNETH COLE PRODUCTIONS, INC ..... 1
84,717 MCKESSON CORP NEW .................. 6,698
48,373(degree)NATIONAL-OILWELL, INC ............. 541
5,100(degree)NU SKIN ENTERPRISES, INC (CLASS A) 120
600(degree)PERFORMANCE FOOD GROUP CO ......... 17
1,418(degree)PHARMERICA, INC ................... 9
1,000(degree)PLAINS RESOURCES, INC ............. 14
4,200(degree)PRIORITY HEALTHCARE CORP (CLASS B) 218
60,532 RICHFOOD HOLDINGS, INC ............. 1,256
48(degree)SCHOOL SPECIALTY, INC ............. 1
18,200(degree)SCIOS, INC ........................ 189
200 SMART & FINAL, INC ................. 2
97,378 SYSCO CORP ......................... 2,672
3,100(degree)U.S.A. FLORAL PRODUCTS, INC ....... 36
1,600(degree)UNITED NATURAL FOODS, INC ......... 39
49,400(degree)UNITED STATIONERS, INC ............ 1,284
21,600(degree)UNIVERSAL CORP .................... 755
3,500 VALHI, INC ......................... 40
200 WEIDER NUTRITION INTERNATIONAL, INC 1
----------
127,711
----------
TOTAL COMMON STOCK
(Cost $5,712,871) .................... 7,437,651
----------
PRINCIPAL
---------
SHORT TERM INVESTMENTS--3.12%
COMMERCIAL PAPER--2.26%
ABBOT LABORATORIES
$ 6,200,000 * 5.600%, 01/06/99 ................. 6,195
AIR PRODUCTS & CHEMICALS, INC
7,340,000 4.850%, 03/31/99 ................. 7,250
CARGILL GLOBAL FUNDING PLC
5,000,000 ~ 5.720%, 01/04/99 ................. 4,997
CATERPILLAR FINANCIAL SERVICES CORP
4,500,000 4.950%, 01/04/99 ................. 4,497
COCA COLA CO
1,900,000 5.030%, 03/03/99 ................. 1,884
CORPORATE ASSET FUNDING CORP, INC
6,000,000 *~ 5.200%, 01/08/99 ................. 5,993
11,000,000 *~ 5.170%, 01/11/99 ................. 10,983
CSX CORP
2,100,000 ~ 5.600%, 01/04/99 ................. 2,099
CVS CORP
9,000,000 *~ 6.250%, 01/05/99 ................. 8,993
GENERAL ELECTRIC CAPITAL CORP
17,500,000 * 5.320%, 01/12/99 ................. 17,471
GENERAL MOTORS ACCEPTANCE CORP
7,000,000 * 5.070%, 01/26/99 ................. 6,975
GILLETTE CO
15,000,000 *~ 6.000%, 01/05/99 ................. 14,989
HAWAIIAN ELECTRIC CO, INC
3,100,000 5.100%, 02/03/99 ................. 3,085
JOHNSON & JOHNSON CO
10,000,000 *~ 4.950%, 03/22/99 ................. 9,890
MOTOROLA, INC
10,000,000 * 5.050%, 01/29/99 ................. 9,960
PACCAR FINANCIAL CORP
8,900,000 5.450%, 01/21/99 ................. 8,874
PITNEY BOWES, INC
15,000,000 * 5.580%, 01/13/99 ................. 14,973
PUBLIC SERVICE CO OF COLORADO
9,000,000 6.600%, 01/07/99 ................. 8,991
RALSTON PURINA CO
4,400,000 * 6.050%, 01/06/99 ................. 4,396
SAINT PAUL COS
10,000,000 *~ 4.950%, 01/04/99 ................. 9,994
SC JOHNSON & SON, INC
5,000,000 ~ 5.820%, 01/07/99 ................. 4,995
6,000,000 *~ 4.970%, 02/23/99 ................. 5,956
----------
173,440
----------
See notes to financial statements.
69
<PAGE>
GROWTH ACCOUNT (CONTINUED)
VALUE
PRINCIPAL (000)
--------- -----
U.S. GOVERNMENT & AGENCIES--0.86%
FEDERAL HOME LOAN BANK
$17,000,000 * 4.762%, 01/22/99 ................. $ 16,952
171,000 4.750%, 10/08/99 ................. 165
FEDERAL HOME LOAN MORTGAGE CORP
14,750,000 5.170%, 01/14/99 ................. 14,724
18,800,000 5.150%, 01/20/99 ................. 18,751
14,145,000 4.850%, 02/19/99 ................. 14,052
980,000 4.930%, 02/22/99 ................. 973
----------
65,617
----------
TOTAL SHORT TERM INVESTMENTS
(Cost $239,059) .................... 239,057
----------
TOTAL PORTFOLIO
(Cost $5,952,355) .................... $7,677,197
==========
- ------------------------
(degree) 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 this security has 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 December
31, 1998, the value of these securities amounted to $7,838 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
ZEBRA TECHNOLOGY CORP (CLASS B) 10/29/98 8,133
-------
$26,118
=======
See notes to financial statements.
70
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
TRANSACTIONS WITH AFFILIATED COMPANIES--GROWTH ACCOUNT
JANUARY 1, 1998--DECEMBER 31, 1998
<TABLE>
<CAPTION>
VALUE AT REALIZED DIVIDEND
ISSUE DECEMBER 31, 1997 PURCHASE COST SALES PROCEEDS GAIN (LOSS) INCOME
----- ----------------- ------------- ------------- ---------- ---------
<S> <C> <C> <C> <C> <C>
GUILFORD PHARMACEUTICALS, INC. ** $ 15,964,926 -- -- --
LIFE RE CORP ** 14,744,319 90,995,110 18,109,974 120,009
# OCEAN ENERGY, INC ** 38,226,527 69,133,933 3,618 --
OCEAN ENERGY, INC (NEW) ** 110,196,914 991,326 (102,636) --
PREMIER PARKS, INC ** 77,845,901 10,456,973 1,118,970 --
--- ------------ ----------- ----------- --------
TOTAL AFFILIATED TRANSACTIONS $0 $256,978,587 $171,577,342 $19,129,926 $120,009
=== =========== =========== =========== ========
</TABLE>
SHARES AT VALUE AT
ISSUE DECEMBER 31, 1998 DECEMBER 31, 1998
----- ----------------- ------------------
GUILFORD PHARMACEUTICALS, INC. 1,649,100 23,499,675
LIFE RE CORP -- *
# OCEAN ENERGY, INC -- *
OCEAN ENERGY, INC (NEW) 5,852,087 36,941,299
PREMIER PARKS, INC 5,368,300 162,391,075
------------
TOTAL AFFILIATED TRANSACTIONS $222,832,049
============
** Not an Affiliate as of December 31, 1997
* Not an Affiliate as of December 31, 1998
# Exchange of stock
See notes to financial statements.
71
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENT OF INVESTMENTS--EQUITY INDEX FUND ACCOUNT
DECEMBER 31, 1998
SUMMARY BY INDUSTRY
(000)
VALUE %
----- -----
BONDS
CORPORATE BONDS
COMMUNICATIONS .......................... $ 8 0.00%
ELECTRIC, GAS, AND SANITARY SERVICES .... 14 0.00
----------- ------
TOTAL CORPORATE BONDS
(Cost $15) ............................... 22 0.00
----------- ------
TOTAL BONDS
(Cost $15) ............................... 22 0.00
----------- ------
PREFERRED STOCK
ELECTRONIC AND OTHER ELECTRIC EQUIPMENT .. 18 0.00
HOLDING AND OTHER INVESTMENT OFFICES ..... 32 0.00
INSTRUMENTS AND RELATED PRODUCTS ......... 0 0.00
INSURANCE CARRIERS ....................... 97 0.00
RUBBER AND MISCELLANEOUS
PLASTIC PRODUCTS ....................... 458 0.01
----------- ------
TOTAL PREFERRED STOCK
(Cost $577) .............................. 605 0.01
----------- ------
COMMON STOCK
AGRICULTURAL PRODUCTION-CROPS ............ 2,363 0.07
AGRICULTURAL SERVICES .................... 125 0.00
AMUSEMENT AND RECREATION SERVICES ........ 3,888 0.11
APPAREL AND ACCESSORY STORES ............. 18,606 0.54
APPAREL AND OTHER TEXTILE PRODUCTS ....... 4,229 0.12
AUTO REPAIR, SERVICES AND PARKING ........ 2,043 0.06
AUTOMOTIVE DEALERS AND SERVICE STATIONS .. 2,226 0.06
BUILDING MATERIALS AND GARDEN SUPPLIES ... 33,002 0.96
BUSINESS SERVICES ........................ 247,056 7.16
CHEMICALS AND ALLIED PRODUCTS ............ 447,225 12.96
COAL MINING .............................. 72 0.00
COMMUNICATIONS ........................... 368,797 10.68
DEPOSITORY INSTITUTIONS .................. 285,098 8.26
EATING AND DRINKING PLACES ............... 29,161 0.84
EDUCATIONAL SERVICES ..................... 1,958 0.06
ELECTRIC, GAS, AND SANITARY SERVICES ..... 149,437 4.33
ELECTRONIC AND OTHER ELECTRIC
EQUIPMENT .............................. 256,885 7.44
ENGINEERING AND MANAGEMENT SERVICES ...... 8,643 0.25
FABRICATED METAL PRODUCTS ................ 27,958 0.81
FISHING, HUNTING, AND TRAPPING ........... 31 0.00
FOOD AND KINDRED PRODUCTS ................ 136,780 3.96
FOOD STORES .............................. 26,158 0.76
FORESTRY ................................. 1,029 0.03
FURNITURE AND FIXTURES ................... 4,872 0.14
FURNITURE AND HOMEFURNISHINGS STORES ..... 7,778 0.23
GENERAL BUILDING CONTRACTORS ............. 4,132 0.12
GENERAL MERCHANDISE STORES ............... 77,300 2.24
HEALTH SERVICES .......................... 20,947 0.61
HEAVY CONSTRUCTION, EXCEPT BUILDING ...... 1,713 0.05
HOLDING AND OTHER INVESTMENT OFFICES ..... 37,744 1.09
HOTELS AND OTHER LODGING PLACES .......... 8,582 0.25
INDUSTRIAL MACHINERY AND EQUIPMENT ....... 250,311 7.25
INSTRUMENTS AND RELATED PRODUCTS ......... 77,587 2.25
INSURANCE AGENTS, BROKERS AND SERVICE .... 5,255 0.15
INSURANCE CARRIERS ....................... 170,711 4.95
LEATHER AND LEATHER PRODUCTS ............. 760 0.02
LEGAL SERVICES ........................... 426 0.01
LOCAL AND INTERURBAN PASSENGER TRANSIT ... 366 0.01
LUMBER AND WOOD PRODUCTS ................. 6,913 0.20
METAL MINING ............................. 4,451 0.13
MISCELLANEOUS MANUFACTURING
INDUSTRIES ............................. 5,201 0.15
MISCELLANEOUS RETAIL ..................... 37,686 1.09
MOTION PICTURES .......................... 19,819 0.57
NONDEPOSITORY INSTITUTIONS ............... 75,622 2.19
NONMETALLIC MINERALS, EXCEPT FUELS ....... 2,263 0.07
OIL AND GAS EXTRACTION ................... 21,438 0.62
PAPER AND ALLIED PRODUCTS ................ 29,375 0.85
PERSONAL SERVICES ........................ 6,339 0.18
PETROLEUM AND COAL PRODUCTS .............. 137,070 3.97
PRIMARY METAL INDUSTRIES ................. 12,467 0.36
PRINTING AND PUBLISHING .................. 47,432 1.37
RAILROAD TRANSPORTATION .................. 16,052 0.47
REAL ESTATE .............................. 3,166 0.09
RUBBER AND MISCELLANEOUS
PLASTIC PRODUCTS ....................... 15,352 0.44
SECURITY AND COMMODITY BROKERS ........... 37,163 1.08
SOCIAL SERVICES .......................... 529 0.02
SPECIAL TRADE CONTRACTORS ................ 506 0.02
STONE, CLAY, AND GLASS PRODUCTS .......... 9,658 0.28
TEXTILE MILL PRODUCTS .................... 3,813 0.11
TOBACCO PRODUCTS ......................... 43,416 1.26
TRANSPORTATION BY AIR .................... 17,371 0.50
TRANSPORTATION EQUIPMENT ................. 103,615 3.00
TRANSPORTATION SERVICES .................. 2,519 0.07
TRUCKING AND WAREHOUSING ................. 3,253 0.10
WATER TRANSPORTATION ..................... 1,573 0.05
WHOLESALE TRADE-DURABLE GOODS ............ 10,051 0.29
WHOLESALE TRADE-NONDURABLE GOODS ......... 15,383 0.45
----------- ------
TOTAL COMMON STOCK
(Cost $2,421,519) ........................ 3,410,750 98.81
----------- ------
SHORT TERM INVESTMENTS
U.S. GOVERNMENT & AGENCIES ............... 60,345 1.75
----------- ------
TOTAL SHORT TERM INVESTMENTS
(Cost $60,352) ........................... 60,345 1.75
----------- ------
TOTAL PORTFOLIO
(Cost $2,482,463) ........................ 3,471,722 100.57
OTHER ASSETS & LIABILITIES, NET ......... (19,740) (0.57)
----------- ------
NET ASSETS ................................. $ 3,451,982 100.00%
=========== ======
See notes to financial statements.
72
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENT OF INVESTMENTS--EQUITY INDEX FUND ACCOUNT
DECEMBER 31, 1998
VALUE
PRINCIPAL (000)
--------- -----
BONDS--0.00%
CORPORATE BONDS--0.00%
COMMUNICATIONS--0.00%
VIACOM INTERNATIONAL, INC
(SUB DEB)
$ 8,000 8.000%, 07/07/06 ................. $ 8
----------
ELECTRIC, GAS, AND SANITARY SERVICES--0.00%
WMX TECHNOLOGIES, INC
(SUB CV NOTE)
14,000 2.000%, 01/24/05 ................. 14
----------
TOTAL CORPORATE BONDS
(Cost $15) ......................... 22
----------
TOTAL BONDS
(Cost $15) .......................... 22
----------
SHARES
------
PREFERRED STOCK--0.01%
ELECTRONIC AND OTHER ELECTRIC EQUIPMENT--0.00%
1,122 PREMIER FARNELL PLC CV ADR ......... 18
----------
HOLDING AND OTHER INVESTMENT OFFICES--0.00%
864 APARTMENT INVESTMENT &
MANAGEMENT CO SERIES E ............ 32
----------
INSTRUMENTS AND RELATED PRODUCTS--0.00%
11,200(degree)FRESENIUS MEDICAL CARE (CLASS D) .. 0
----------
INSURANCE CARRIERS--0.00%
1,273 AETNA, INC SERIES C ................ 97
----------
RUBBER AND MISCELLANEOUS PLASTIC PRODUCTS--0.01%
8,835 SEALED AIR CORP (CLASS A) .......... 458
----------
TOTAL PREFERRED STOCK
(Cost $577) .......................... 605
----------
COMMON STOCK--98.81%
AGRICULTURAL PRODUCTION-CROPS--0.07%
11,333 DELTA & PINE LAND CO ............... 419
72,000 PIONEER-HI-BRED INTERNATIONAL, INC . 1,944
----------
2,363
----------
AGRICULTURAL SERVICES--0.00%
7,200(degree)CADIZ, INC ........................ 55
3,500(degree)VETERINARY CENTERS OF AMERICA, INC 70
----------
125
----------
AMUSEMENT AND RECREATION SERVICES--0.11%
2,000(degree)AMERICAN SKIING CO ................ 15
14,400(degree)AMF BOWLING, INC .................. 74
2,300(degree)ANCHOR GAMING CO .................. 130
17,800(degree)ARGOSY GAMING CORP ................ 48
7,014(degree)BALLY TOTAL FITNESS HOLDINGS CORP . 174
12,800(degree)BOYD GAMING CORP .................. 42
1,800(degree)CHAMPIONSHIP AUTO RACING TEAMS, INC 53
1,500 CHURCHILL DOWNS, INC ............... 49
7,000(degree)FAMILY GOLF CENTERS, INC .......... 138
6,700(degree)FLORIDA PANTHERS HOLDINGS, INC .... 62
12,550(degree)GRAND CASINOS, INC ................ 101
26,308(degree)HARRAH'S ENTERTAINMENT, INC ....... 413
3,300(degree)HOLLYWOOD PARK, INC ............... 27
4,300(degree)INTERNATIONAL SPEEDWAY CORP (CLASS A ) 174
49,600(degree)MIRAGE RESORT, INC ................ 741
9,750(degree)PLAYERS INTERNATIONAL, INC ........ 60
12,600(degree)PREMIER PARKS, INC ................ 381
3,700(degree)RIO HOTEL & CASINO, INC ........... 59
11,800(degree)SCIENTIFIC GAMES HOLDINGS CORP .... 223
8,200(degree)SFX ENTERTAINMENT, INC (CLASS A) .. 450
5,500(degree)SPEEDWAY MOTORSPORTS, INC ......... 157
6,700(degree)STATION CASINOS, INC .............. 55
8,600(degree)WESTWOOD ONE, INC ................. 262
.................................................... ----------
3,888
----------
APPAREL AND ACCESSORY STORES--0.54%
17,941(degree)ABERCROMBIE & FITCH CO (CLASS A) .. 1,269
3,800(degree)AMERICAN EAGLE OUTFITTERS, INC .... 253
5,557(degree)ANN TAYLOR STORES CORP ............ 219
6,000 BROWN GROUP, INC ................... 105
2,400(degree)BUCKLE, INC ....................... 58
6,120 BURLINGTON COAT FACTORY
WAREHOUSE CORP .................... 100
8,300 CATO CORP (CLASS A) ................ 82
36,100(degree)CHARMING SHOPPES, INC ............. 156
3,400(degree)CHILDRENS PLACE RETAIL STORES ..... 85
13,100 CLAIRES STORES, INC ................ 269
8,100(degree)DRESS BARN, INC ................... 123
13 (degree)EDISON BROTHERS STORES
WTS 09/26/05 ...................... 0
5,800(degree)FINISH LINE, INC (CLASS A) ........ 46
9,969(degree)FOOTSTAR, INC ..................... 249
3,800(degree)GADZOOKS, INC ..................... 29
133,194 GAP, INC ........................... 7,492
6,100(degree)GENESCO, INC ...................... 35
7,400(degree)GOODYS FAMILY CLOTHING, INC ....... 74
8,200(degree)GYMBOREE CORP ..................... 52
17,800 INTIMATE BRANDS, INC (CLASS A) ..... 532
6,700(degree)JUST FOR FEET, INC ................ 116
50,050 LIMITED, INC ....................... 1,458
8,850(degree)MENS WAREHOUSE, INC ............... 281
31,700 NORDSTROM, INC ..................... 1,100
1,600(degree)NORTH FACE, INC ................... 21
6,200(degree)PACIFIC SUNWEAR CALIFORNIA, INC ... 102
10,496(degree)PAYLESS SHOESOURCE, INC ........... 497
2,900(degree)PETRIE STORES CORP (LIQUIDATING TRUST) 6
14,400 ROSS STORES, INC ................... 567
9,200(degree)STAGE STORES, INC ................. 86
12,800(degree)STEIN MART, INC ................... 89
6,200 TALBOTS, INC ....................... 195
94,500 TJX COS, INC ....................... 2,741
1,500(degree)URBAN OUTFITTERS, INC ............. 25
3,100(degree)WET SEAL, INC (CLASS A) ........... 94
----------
18,606
----------
See notes to financial statements.
73
<PAGE>
EQUITY INDEX ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ -----
APPAREL AND OTHER TEXTILE PRODUCTS--0.12%
9,400 AUTHENTIC FITNESS CORP ............. $ 172
19,500(degree)FRUIT OF THE LOOM, INC (CLASS A) .. 269
2,200(degree)HARTMARX CORP ..................... 12
24,500(degree)JONES APPAREL GROUP, INC .......... 541
7,800 KELLWOOD CO ........................ 195
17,100 LIZ CLAIBORNE, INC ................. 540
13,500(degree)NAUTICA ENTERPRISES, INC .......... 203
800 OSHKOSH B'GOSH, INC (CLASS A) ...... 16
12,000 PHILLIPS VAN HEUSEN CORP ........... 86
2,245 PILLOWTEX CORP ..................... 60
14,400(degree)POLO RALPH LAUREN CORP ............ 276
1,900(degree)QUIKSILVER, INC ................... 57
29,300 VF CORP ............................ 1,373
17,000 WARNACO GROUP, INC (CLASS A) ....... 429
----------
4,229
----------
AUTO REPAIR, SERVICES AND PARKING--0.06%
7,800(degree)AVIS RENT A CAR, INC .............. 189
8,700(degree)BUDGET GROUP, INC ................. 138
3,150 CENTRAL PARKING CORP ............... 102
7,000(degree)DOLLAR THRIFTY AUTOMOTIVE GROUP, INC 90
6,800 HERTZ CORP (CLASS A) ............... 310
9,733 MIDAS, INC ......................... 303
5,460(degree)NATIONAL AUTO CREDIT, INC ......... 5
25,500 ROLLINS TRUCK LEASING CORP ......... 376
20,400 RYDER SYSTEM, INC .................. 530
----------
2,043
----------
AUTOMOTIVE DEALERS AND SERVICE STATIONS--0.06%
42,424 (degree)AUTOZONE, INC ............... 1,397
843(degree)CIRCUIT CITY STORES, INC (CARMAX GROUP) 5
1,000(degree)COPART, INC ....................... 32
5,300(degree)CSK AUTO CORP ..................... 141
1,200(degree)DISCOUNT AUTO PARTS, INC .......... 26
1,700(degree)GROUP 1 AUTOMOTIVE, INC ........... 44
3,800(degree)OREILLY AUTOMOTIVE, INC ........... 180
20,045 PEP BOYS MANNY, MOE, & JACK CO ..... 314
5,300(degree)TYLER CORP (DELAWARE) ............. 32
3,300(degree)UNITED AUTO GROUP, INC ............ 30
2,500(degree)WEST MARINE, INC .................. 25
----------
2,226
----------
BUILDING MATERIALS AND GARDEN SUPPLIES--0.96%
11,900(degree)EAGLE HARDWARE & GARDEN, INC ...... 387
8,100 FASTENAL CO ........................ 356
448,000 HOME DEPOT, INC .................... 27,412
94,700 LOWES COS, INC ..................... 4,847
----------
33,002
----------
BUSINESS SERVICES--7.16%
5,400(degree)3DO CO ............................ 26
4,225 AARON RENTS, INC ................... 64
2,200(degree)ABACUS DIRECT CORP ................ 100
8,643 ABM INDUSTRIES, INC ................ 299
8,900(degree)ABR INFORMATION SERVICES, INC ..... 175
16,100(degree)ACCLAIM ENTERTAINMENT, INC ........ 197
4,000(degree)ACKERLEY GROUP, INC ............... 73
20,966(degree)ACNEILSEN CORP .................... 592
2,800(degree)ACTIVISION, INC ................... 31
17,760(degree)ACXIOM CORP ....................... 551
1,824(degree)ADMINSTAFF, INC ................... 46
19,272 ADOBE SYSTEMS, INC ................. 901
800(degree)ADVANTAGE LEARNING SYSTEMS, INC ... 53
5,900(degree)ADVENT SOFTWARE, INC .............. 278
10,700(degree)ADVO, INC ......................... 282
12,140(degree)AFFILIATED COMPUTER SERVICES, INC
(CLASS A) ......................... 546
9,300(degree)ALTERNATIVE RESOURCES CORP ........ 99
1,000(degree)ALYDAAR SOFTWARE CORP ............. 8
139,672 AMERICA ONLINE, INC ................ 22,348
11,425(degree)AMERICAN MANAGEMENT SYSTEMS, INC .. 457
5,250 ANALYSTS INTERNATIONAL CORP ........ 101
6,000(degree)APAC TELESERVICES, INC ............ 23
2,000(degree)ARIS CORP ......................... 24
65,335(degree)ASCEND COMMUNICATIONS, INC ........ 4,296
4,500(degree)ASPECT DEVELOPMENT, INC ........... 199
8,400(degree)ASPEN TECHNOLOGY, INC ............. 122
9,900(degree)AT HOME CORP SERIES A ............. 735
12,400 AUTODESK, INC ...................... 529
90,845 AUTOMATIC DATA PROCESSING, INC ..... 7,285
7,600(degree)AVANT CORP ........................ 122
1,400(degree)AVT CORP .......................... 41
6,800(degree)AXENT TECHNOLOGIES, INC ........... 208
4,905(degree)AZTEC TECHNOLOGY PARTNERS, INC .... 18
3,700(degree)BA MERCHANT SERVICES, INC (CLASS A) 74
11,000(degree)BANYAN SYSTEMS, INC ............... 98
1,500(degree)BARRA, INC ........................ 35
15,200(degree)BEA SYSTEMS, INC .................. 186
11,000(degree)BILLING CONCEPTS CORP ............. 121
11,200(degree)BISYS GROUP, INC .................. 578
65,000(degree)BMC SOFTWARE, INC ................. 2,897
7,600(degree)BOOLE & BABBAGE, INC .............. 224
2,009(degree)BORG-WARNER SECURITY CORP ......... 38
2,800(degree)BORON, LEPORE & ASSOCIATES, INC ... 97
60(degree)BRC HOLDINGS, INC ................. 1
9,000(degree)BROADVISION, INC .................. 288
10,100(degree)BUILDING ONE SERVICE .............. 211
2,010(degree)CACI INTERNATIONAL, INC (CLASS A) . 34
66,165(degree)CADENCE DESIGN SYSTEMS, INC ....... 1,968
14,000(degree)CAMBRIDGE TECHNOLOGY PARTNERS, INC 310
8,300(degree)CARIBINER INTERNATIONAL, INC ...... 76
5,500(degree)CATALINA MARKETING CORP ........... 376
5,000(degree)CCC INFORMATION SERVICES GROUP, INC 86
4,800(degree)CDI CORP .......................... 97
4,500(degree)CELLULAR TECHNICAL SERVICES CO .... 2
15,000(degree)CENTURY BUSINESS SERVICES, INC .... 216
19,460(degree)CERIDIAN CORP ..................... 1,359
7,100(degree)CERNER CORP ....................... 190
11,200(degree)CHECKFREE HOLDINGS CORP ........... 262
4,087(degree)CHOICEPOINT, INC .................. 264
10,800(degree)CIBER, INC ........................ 302
12,000(degree)CITRIX SYSTEMS, INC ............... 1,165
5,500(degree)CLARIFY, INC ...................... 134
5,300(degree)CMGI, INC ......................... 564
2,300(degree)CNET, INC ......................... 126
31,241(degree)COMDISCO, INC ..................... 527
4,708(degree)COMPLETE BUSINESS SOLUTIONS, INC .. 159
128,875 COMPUTER ASSOCIATES INTERNATIONAL, INC 5,493
10,150(degree)COMPUTER HORIZONS CORP ............ 270
46,856(degree)COMPUTER SCIENCES CORP ............ 3,019
7,500 COMPUTER TASK GROUP, INC ........... 203
48,100(degree)COMPUWARE CORP .................... 3,758
3,500(degree)CONCORD COMMUNICATIONS, INC ....... 199
2,000(degree)CORT BUSINESS SERVICES CORP ....... 49
5,000(degree)COTELLIGENT, INC .................. 107
See notes to financial statements.
74
<PAGE>
EQUITY INDEX ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ -----
BUSINESS SERVICES--(CONTINUED)
7,200(degree)CSG SYSTEMS INTERNATIONAL, INC .... $ 569
7,400(degree)CYBERGUARD CORP ................... 15
4,200(degree)DATA DIMENSIONS, INC .............. 36
4,300(degree)DATASTREAM SYSTEMS, INC ........... 49
19,300(degree)DATAWORKS CORP .................... 201
1,200(degree)DBT ONLINE, INC ................... 30
1,700(degree)DELTEK SYSTEMS, INC ............... 29
4,800(degree)DENDRITE INTERNATIONAL, INC ....... 120
4,100(degree)DOCUMENTUM, INC ................... 219
4,500(degree)DOUBLECLICK, INC .................. 205
11,300(degree)DST SYSTEMS, INC .................. 645
3,900(degree)EARTHLINK NETWORK, INC ............ 222
1,800(degree)ELECTRO RENT CORP ................. 29
18,200(degree)ELECTRONIC ARTS, INC .............. 1,021
109,819 ELECTRONIC DATA SYSTEMS CORP ....... 5,518
16,000(degree)ELECTRONICS FOR IMAGING, INC ...... 643
15,900(degree)EMPLOYEE SOLUTIONS, INC ........... 41
2,000(degree)ENGINEERING ANIMATION, INC ........ 108
6,100(degree)ENVOY CORP ........................ 355
43,409 EQUIFAX, INC ....................... 1,484
7,800(degree)EXCITE, INC ....................... 328
1,500(degree)FACTSET RESEARCH SYSTEMS, INC ..... 93
5,400 FAIR ISSAC & CO, INC ............... 249
9,200(degree)FILENET CORP ...................... 106
133,059 FIRST DATA CORP .................... 4,216
23,650(degree)FISERV, INC ....................... 1,216
27,600(degree)FORE SYSTEMS, INC ................. 505
5,600(degree)FORTE SOFTWARE, INC ............... 33
7,600(degree)GENERAL MAGIC, INC ................ 38
1,800 (degree)GENESYS TELECOMMUNICATIONS
LABORATORIES, INC ................ 40
9,200(degree)GEOTEL COMMUNICATIONS CORP ........ 343
4,600 GERBER SCIENTIFIC, INC ............. 110
5,800(degree)GETTY IMAGES, INC ................. 100
1,600(degree)GREAT PLAINS SOFTWARE, INC ........ 77
100 GREY ADVERTISING, INC .............. 36
8,300(degree)GT INTERACTIVE SOFTWARE CORP ...... 42
12,100(degree)GTECH HOLDINGS CORP ............... 310
17,100(degree)HARBINGER CORP .................... 137
136,372 HBO & CO ........................... 3,912
1,400(degree)HCIA, INC ......................... 6
3,500(degree)HEALTH MANAGEMENT SYSTEMS, INC .... 28
7,400(degree)HNC SOFTWARE ...................... 299
8,990(degree)HYPERION SOLUTIONS CORP ........... 162
7,800(degree)I2 TECHNOLOGIES, INC .............. 237
3,800(degree)IDX SYSTEMS CORP .................. 167
1,000(degree)IKOS SYSTEMS, INC ................. 4
21,000(degree)IMATION CORP ...................... 368
2,850(degree)IMRGLOBAL CORP .................... 84
48,828 IMS HEALTH, INC .................... 3,683
12,200(degree)INDUS INTERNATIONAL, INC .......... 85
6,600(degree)INDUSTRI-MATEMATIK INTERNATIONAL CORP 33
12,200(degree)INFORMATION RESOURCES, INC ........ 124
41,900(degree)INFORMIX CORP ..................... 414
7,900(degree)INFOSEEK CORP ..................... 390
4,400(degree)INFOUSA, INC (CLASS A) ............ 21
9,500(degree)INFOUSA, INC (CLASS B) ............ 50
13,200(degree)INPRISE CORP ...................... 73
3,000(degree)INSO CORP ......................... 75
1,900(degree)INSPIRE INSURANCE SOLUTIONS, INC .. 35
12,200(degree)INSURANCE AUTO AUCTIONS, INC ...... 145
3,800(degree)INTEGRATED SYSTEMS, INC ........... 57
8,400(degree)INTERGRAPH CORP ................... 48
17,800(degree)INTERIM SERVICES, INC ............. 416
8,100(degree)INTERNATIONAL NETWORK SERVICES .... 539
5,300(degree)INTERNATIONAL TELECOMMUNICATIONS .. 78
40,450 INTERPUBLIC GROUP OF COS, INC ...... 3,226
12,900(degree)INTUIT, INC ....................... 935
1,200(degree)ISS GROUP, INC .................... 66
11,500(degree)J.D. EDWARDS & CO ................. 326
2,800 JACK HENRY & ASSOCIATES, INC ....... 139
6,500(degree)JDA SOFTWARE GROUP, INC ........... 63
18,600(degree)KEANE, INC ........................ 743
9,000 KELLY SERVICES, INC (CLASS A) ...... 286
7,400(degree)LABOR READY, INC .................. 146
9,150(degree)LAMAR ADVERTISING CO (CLASS A) .... 341
22,280(degree)LEARNING CO, INC .................. 578
2,800(degree)LEASING SOLUTIONS, INC ............ 11
11,057(degree)LEGATO SYSTEMS, INC ............... 729
3,600(degree)LHS GROUP, INC .................... 186
12,500(degree)LYCOS, INC ........................ 695
9,700(degree)MACROMEDIA, INC ................... 327
200(degree)MANHATTAN ASSOCIATES, INC ......... 5
22,200 MANPOWER, INC ...................... 559
5,400(degree)MANUGISTICS GROUP, INC ............ 68
2,300(degree)MAPICS, INC ....................... 38
7,000(degree)MASTECH CORP ...................... 200
2,600(degree)MEDICAL MANAGER CORP .............. 82
7,800(degree)MEDQUIST, INC ..................... 308
2,300(degree)MEMBERWORKS, INC .................. 68
14,300(degree)MENTOR GRAPHICS CORP .............. 122
4,300(degree)MERCURY INTERACTIVE CORP .......... 272
9,950(degree)METAMOR WORLDWIDE, INC ............ 249
600(degree)METRO INFORMATION SERVICES, INC ... 18
2,000(degree)METRO NETWORKS, INC ............... 85
2,750(degree)MICRO FOCUS GROUP PLC ADR ......... 26
3,700(degree)MICROMUSE, INC .................... 72
533,365(degree)MICROSOFT CORP .................... 73,971
13,859(degree)MIDWAY GAMES, INC ................. 152
4,400(degree)MINDSPRING ENTERPRISES, INC ....... 269
33,777(degree)MODIS PROFESSIONAL SERVICES ....... 490
7,100 NATIONAL COMPUTER SYSTEMS, INC ..... 263
9,500 NATIONAL DATA CORP ................. 463
1,900(degree)NCO GROUP, INC .................... 86
4,068(degree)NCR CORP .......................... 170
64,858(degree)NETMANAGE, INC .................... 120
18,630(degree)NETSCAPE COMMUNICATIONS CORP ...... 1,132
24,000(degree)NETWORK APPLIANCE, INC ............ 1,080
1,000(degree)NETWORK SOLUTIONS, INC (CLASS A) .. 131
40,568(degree)NETWORKS ASSOCIATES, INC .......... 2,688
7,200(degree)NEW ERA OF NETWORKS, INC .......... 317
15,142 NIELSEN MEDIA RESEARCH ............. 273
5,100 NORRELL CORP ....................... 75
1,700(degree)NORSTAN, INC ...................... 30
19,695(degree)NOVA CORP (GEORGIA) ............... 683
5,000(degree)NOVACARE EMPLOYEE SERVICES, INC ... 27
105,900(degree)NOVELL, INC ....................... 1,919
3,900(degree)OBJECTIVE SYSTEMS INTEGRATORS, INC 18
5,600(degree)ODS NETWORKS, INC ................. 17
20,982 OLSTEN CORP ........................ 155
50,000 OMNICOM GROUP, INC ................. 2,900
2,000(degree)ON ASSIGNMENT, INC ................ 69
2,300(degree)ONSALE, INC ....................... 92
10,200(degree)OPEN MARKET, INC .................. 119
229,187(degree)ORACLE CORP ....................... 9,884
21,759(degree)OUTDOOR SYSTEMS, INC .............. 653
81,732(degree)PARAMETRIC TECHNOLOGY CORP ........ 1,328
42,418 PAYCHEX, INC ....................... 2,182
See notes to financial statements.
75
<PAGE>
EQUITY INDEX ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ -----
BUSINESS SERVICES--(CONTINUED)
4,500(degree)PAYMENTECH, INC ................... $ 83
2,700(degree)PEGASUS SYSTEMS, INC .............. 97
2,600(degree)PEGASYSTEMS, INC .................. 11
50,700(degree)PEOPLESOFT, INC ................... 960
2,800(degree)PEREGRINE SYSTEMS, INC ............ 130
14,122(degree)PERSONNEL GROUP OF AMERICA, INC ... 247
5,300(degree)PHOENIX TECHNOLOGIES LTD .......... 46
12,200#(degree)PHYSICIAN COMPUTER NETWORK, INC .. 0
12,500 PITTSTON BRINKS GROUP CO ........... 398
5,700(degree)PLATINUM SOFTWARE CORP ............ 73
22,800(degree)PLATINUM TECHNOLOGY, INC .......... 436
11,000(degree)POLICY MANAGEMENT SYSTEMS CORP .... 556
3,400(degree)PREVIEW TRAVEL, INC ............... 63
5,406(degree)PRIMARK CORP ...................... 147
9,600(degree)PROGRESS SOFTWARE CORP ............ 324
3,000(degree)PROJECT SOFTWARE & DEVELOPMENT, INC 101
2,400(degree)PROTECTION ONE, INC ............... 21
12,300(degree)PSINET, INC ....................... 257
8,400(degree)QAD, INC .......................... 30
1,600(degree)QRS CORP .......................... 77
5,200(degree)QUADRAMED CORP .................... 107
4,100(degree)RADISYS CORP ...................... 123
25,192(degree)RATIONAL SOFTWARE CORP ............ 668
2,400(degree)REALNETWORKS, INC ................. 86
8,400(degree)REMEDY CORP ....................... 117
600(degree)REMEDYTEMP, INC (CLASS A) ......... 9
5,657(degree)RENT WAY, INC ..................... 138
5,980(degree)RENTAL SERVICE CORP ............... 94
6,100(degree)RENTERS CHOICE, INC ............... 194
26,150(degree)ROBERT HALF INTERNATIONAL, INC .... 1,169
7,900 ROLLINS, INC ....................... 138
9,900(degree)ROMAC INTERNATIONAL, INC .......... 220
18,500(degree)SABRE GROUP HOLDINGS, INC ......... 823
15,775(degree)SAFETY-KLEEN CORP ................. 223
3,100(degree)SANCHEZ COMPUTER ASSOCIATES, INC .. 91
3,800(degree)SAPIENT CORP ...................... 213
3,400 SEI INVESTMENT CO .................. 338
7,600 SHARED MEDICAL SYSTEMS CORP ........ 379
16,308(degree)SIEBEL SYSTEMS, INC ............... 553
10,100(degree)SITEL CORP ........................ 25
13,200(degree)SNYDER COMMUNICATIONS, INC ........ 446
7,100(degree)SOFTWARE AG. SYSTEMS, INC ......... 129
6,600(degree)SOS STAFFING SERVICES, INC ........ 48
16,000 SOTHEBYS HOLDINGS, INC (CLASS A) ... 512
4,000(degree)SPORTSLINE U.S.A., INC ............ 62
400(degree)SPR, INC .......................... 7
3,600(degree)SS&C TECHNOLOGIES, INC ............ 45
5,200(degree)STAFFMARK, INC .................... 116
27,977(degree)STERLING COMMERCE, INC ............ 1,259
23,400(degree)STERLING SOFTWARE, INC ............ 633
10,800(degree)STRUCTURAL DYNAMICS RESEARCH CORP . 215
115,300(degree)SUN MICROSYSTEMS, INC ............. 9,873
27,300(degree)SUNGARD DATA SYSTEMS, INC ......... 1,083
23,400(degree)SYBASE, INC ....................... 173
4,100(degree)SYKES ENTERPRISES, INC ............ 125
15,500(degree)SYMANTEC CORP ..................... 337
17,872(degree)SYNOPSYS, INC ..................... 970
700(degree)SYNTEL, INC ....................... 8
9,750(degree)SYSTEM SOFTWARE ASSOCIATES, INC ... 69
10,400(degree)SYSTEMS & COMPUTER TECHNOLOGY CORP 143
48,400(degree)SYSTEMSOFT CORP ................... 9
12,200(degree)TCSI CORP ......................... 26
11,625(degree)TECHNOLOGY SOLUTIONS CO ........... 125
1,200(degree)TELESPECTRUM WORLDWIDE, INC ....... 12
5,600(degree)TELETECH HOLDINGS, INC ............ 57
3,200(degree)TMP WORLDWIDE, INC ................ 134
9,400 TOTAL SYSTEM SERVICES, INC ......... 221
7,600(degree)TRANSACTION SYSTEM ARCHITECTURE ... 380
4,400(degree)TRANSITION SYSTEMS, INC ........... 66
9,600 TRUE NORTH COMMUNICATIONS, INC ..... 258
6,811(degree)UNITED RENTALS, INC ............... 226
17,150(degree)USWEB CORP ........................ 452
10,900(degree)VALASSIS COMMUNICATIONS, INC ...... 563
12,000(degree)VANSTAR CORP ...................... 111
7,900(degree)VANTIVE CORP ...................... 63
800(degree)VERIO, INC ........................ 18
700(degree)VERISIGN, INC ..................... 41
14,000(degree)VERITAS SOFTWARE CORP ............. 839
5,100(degree)VIASOFT, INC ...................... 36
1,100(degree)VINCAM GROUP, INC ................. 19
6,900(degree)VISIO CORP ........................ 252
2,100(degree)VOLT INFORMATION SCIENCES, INC .... 47
4,800 WACKENHUT CORP SERIES A ............ 122
14,900(degree)WANG LABORATORIES, INC ............ 413
7,800(degree)WEST TELESERVICES CORP ............ 76
5,400(degree)WESTAFF, INC ...................... 34
6,600(degree)WIND RIVER SYSTEMS, INC ........... 310
3,800 XTRA CORP .......................... 157
21,400(degree)YAHOO, INC ........................ 5,070
4,100(degree)YOUNG & RUBICAM, INC .............. 133
----------
247,056
----------
CHEMICALS AND ALLIED PRODUCTS--12.96%
461,969 ABBOTT LABORATORIES CO ............. 22,636
8,000(degree)ADVANCED TISSUE SCIENCE CO ........ 21
9,100(degree)AGOURON PHARMACEUTICALS, INC ...... 535
67,411 AIR PRODUCTS & CHEMICALS, INC ...... 2,696
7,200 ALBEMARLE CORP ..................... 171
10,200 ALBERTO CULVER CO (CLASS B) ........ 272
1,600(degree)ALGOS PHARMACEUTICAL CORP ......... 42
6,500(degree)ALKERMES, INC ..................... 144
7,185(degree)ALLERGAN SPECIALTY THERAPEUTICS, INC
(CLASS A) ......................... 67
36,857 ALLERGAN, INC ...................... 2,386
5,300(degree)ALLIANCE PHARMACEUTICAL CORP ...... 17
4,741 ALPHARMA, INC (CLASS A) ............ 167
22,024(degree)ALZA CORP ......................... 1,151
399,470 AMERICAN HOME PRODUCTS CORP ........ 22,495
77,100(degree)AMGEN, INC ........................ 8,062
11,400(degree)AMYLIN PHARMACEUTICALS, INC ....... 6
1,600(degree)ANDRX CORP ........................ 82
600(degree)APHTON CORP ....................... 8
2,100(degree)ARQULE, INC ....................... 10
2,700(degree)AVIRON, INC ....................... 70
74,996 AVON PRODUCTS, INC ................. 3,319
3,300(degree)AXYS PHARMACEUTICALS, INC ......... 19
3,100(degree)BARR LABORATORIES, INC ............ 149
14,600(degree)BIO-TECHNOLOGY GENERAL CORP ....... 101
20,800(degree)BIOGEN, INC ....................... 1,726
2,100(degree)BIOMATRIX, INC .................... 122
1,420 BLOCK DRUG, INC (CLASS A) .......... 62
301,476 BRISTOL MYERS SQUIBB CO ............ 40,341
22,100 CABOT CORP ......................... 617
800(degree)CADUS PHARMACEUTICAL CORP ......... 2
18,100 CALGON CARBON CORP ................. 136
5,482 CAMBREX CORP ....................... 132
1,300(degree)CARBIDE/GRAPHITE GROUP, INC ....... 19
See notes to financial statements.
76
<PAGE>
EQUITY INDEX ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ -----
CHEMICALS AND ALLIED PRODUCTS--(CONTINUED)
4,700 CARTER WALLACE, INC ................ $ 92
3,600(degree)CELL GENESYS, INC ................. 22
19,200(degree)CENTOCOR, INC ..................... 866
5,300(degree)CEPHALON, INC ..................... 48
2,200(degree)CHATTEM, INC ...................... 105
15,700 CHEMFIRST, INC ..................... 310
1,500(degree)CHIREX, INC ....................... 32
35,828(degree)CHIRON CORP ....................... 938
6,500 CHURCH & DWIGHT CO, INC ............ 234
21,500 CLOROX CO .......................... 2,511
88,742 COLGATE PALMOLIVE CO ............... 8,242
9,100(degree)COLUMBIA LABORATORIES, INC ........ 28
17,300(degree)COPLEY PHARMACEUTICAL, INC ........ 179
6,400(degree)COR THERAPEUTICS, INC ............. 85
3,200(degree)COULTER PHARMACEUTICAL, INC ....... 96
8,455(degree)CRESCENDO PHARMACEUTICALS CORP .... 115
20,290(degree)CROMPTON & KNOWLES CORP ........... 420
8,700(degree)CYGNUS, INC ....................... 42
12,200(degree)CYTEC INDUSTRIES, INC ............. 259
12,800 DEXTER CORP ........................ 402
5,100 DIAGNOSTIC PRODUCTS CORP ........... 159
28,100 DIAL CORP .......................... 811
66,914 DOW CHEMICAL CO .................... 6,085
338,138 DU PONT (E.I.) DE NEMOURS & CO ..... 17,942
12,900(degree)DURA PHARMACEUTICALS, INC ......... 196
22,000 EASTMAN CHEMICAL CO ................ 985
32,300 ECOLAB, INC ........................ 1,169
3,741(degree)ELAN CORP PLC ADR ................. 260
29,400 ETHYL CORP ......................... 171
14,500 FERRO CORP ......................... 377
8,700(degree)FMC CORP .......................... 487
20,200(degree)FOREST LABORATORIES, INC .......... 1,074
2,700(degree)FUISZ TECHNOLOGIES LTD ............ 35
3,992 FULLER (H.B.) CO ................... 192
3,100(degree)GELTEX PHARMACEUTICALS, INC ....... 70
3,361 GENERAL CHEMICAL GROUP, INC ........ 47
21,500(degree)GENSIA SICOR, INC ................. 97
21,800(degree)GENZYME CORP (GENERAL DIVISION) ... 1,085
495(degree)GENZYME CORP (TISSUE REPAIR DIVISION) 1
2,193(degree)GENZYME-MOLECULAR ONCOLOGY ........ 7
7,500 GEON CO ............................ 173
10,800 GEORGIA GULF CORP .................. 173
9,400(degree)GILEAD SCIENCES, INC .............. 386
18,600(degree)GRACE W.R. & CO ................... 292
15,800 GREAT LAKES CHEMICAL CORP .......... 632
15,375 HANNA (M.A.) CO .................... 189
27,800 HERCULES, INC ...................... 761
2,600(degree)HESKA CORP ........................ 12
10,000(degree)HUMAN GENOME SCIENCES, INC ........ 356
22,066 ICN PHARMACEUTICALS, INC ........... 499
10,400(degree)ICOS CORP ......................... 309
6,300(degree)IDEC PHARMACEUTICALS CORP ......... 296
9,800(degree)IDEXX LABORATORIES, INC ........... 264
2,300(degree)IGEN INTERNATIONAL, INC ........... 70
35,324 IMC GLOBAL, INC .................... 755
1,972(degree)IMC GLOBAL, INC WTS 12/22/00 ...... 1
4,200(degree)IMCLONE SYSTEMS, INC .............. 38
5,200(degree)IMMUNE RESPONSE CORP .............. 57
5,400(degree)IMMUNEX CORP ...................... 679
4,300(degree)INHALE THERAPEUTIC SYSTEMS ........ 142
5,700(degree)INTERNATIONAL SPECIALTY PRODUCTS, INC 77
7,800(degree)INTERNEURON PHARMACEUTICALS, INC .. 26
28,540 INTERNATIONAL FLAVORS & FRAGRANCES, INC 1,261
9,500(degree)ISIS PHARMACEUTICALS, INC ......... 123
41,392(degree)IVAX CORP ......................... 515
407,455 JOHNSON & JOHNSON CO ............... 34,175
6,400 JONES PHARMACEUTICAL, INC .......... 234
3,922(degree)KV PHARMACEUTICAL CO (CLASS B) .... 81
10,710 LAUDER (ESTEE) CO (CLASS A) ........ 916
10,100 LAWTER INTERNATIONAL, INC .......... 117
700 LEARONAL, INC ...................... 24
9,900(degree)LIGAND PHARMACEUTICALS CO (CLASS A) 115
277,900 LILLY (ELI) & CO ................... 24,698
4,100 LILLY INDUSTRIES, INC (CLASS A) .... 82
10,400(degree)LIPOSOME CO, INC .................. 161
14,995 LUBRIZOL CORP ...................... 385
9,400 LYONDELL CHEMICAL CO ............... 169
5,300 MACDERMID, INC ..................... 207
2,800(degree)MACROCHEM CORP (DELAWARE) ......... 24
21,400 MALLINCKRODT, INC .................. 659
5,400(degree)MATRIX PHARMACEUTICALS, INC ....... 14
15,000(degree)MCWHORTER TECHNOLOGIES, INC ....... 343
5,200(degree)MEDICIS PHARMACEUTICAL CORP (CLASS A) 310
6,900(degree)MEDIMMUNE, INC .................... 686
362,438 MERCK & CO, INC .................... 53,528
21,500 MILLENNIUM CHEMICAL, INC ........... 427
8,400(degree)MILLENNIUM PHARMACEUTICALS, INC ... 217
9,500 MINERALS TECHNOLOGIES, INC ......... 389
1,700(degree)MIRAVANT MEDICAL TECHNOLOGY ....... 22
7,168 MISSISSIPPI CHEMICAL CORP .......... 100
189,642 MONSANTO CO ........................ 9,008
35,111 MORTON INTERNATIONAL, INC .......... 860
37,750 MYLAN LABORATORIES, INC ............ 1,189
19,800(degree)NABI, INC ......................... 53
17,900 NALCO CHEMICAL CORP ................ 555
5,800 NATURES SUNSHINE PRODUCTS, INC ..... 88
22,670(degree)NBTY, INC ......................... 162
7,000(degree)NEUROGEN CORP ..................... 123
4,700(degree)NEXSTAR PHARMACEUTICALS, INC ...... 43
5,500 NL INDUSTRIES, INC ................. 78
3,600(degree)OCTEL CORP ........................ 50
10,500 OLIN CORP .......................... 297
5,850 OM GROUP, INC ...................... 214
8,550(degree)ORGANOGENESIS, INC ................ 96
4,600(degree)PATHOGENESIS CORP ................. 267
26,000(degree)PERRIGO CO ........................ 229
395,052 PFIZER, INC ........................ 49,554
152,978 PHARMACIA & UPJOHN, INC ............ 8,662
2,100(degree)PHARMACYCLICS, INC ................ 54
51,200 PPG INDUSTRIES, INC ................ 2,982
45,450 PRAXAIR, INC ....................... 1,602
404,000 PROCTER & GAMBLE CO ................ 36,890
6,600(degree)PROTEIN DESIGN LABORATORIES, INC .. 153
2,200(degree)REGENERON PHARMACEUTICALS, INC .... 16
4,500(degree)REVLON, INC (CLASS A) ............. 74
10,900(degree)REXALL SUNDOWN, INC ............... 153
10,400(degree)ROBERTS PHARMACEUTICAL CORP ....... 226
400(degree)ROGERS CORP ....................... 12
33,600 ROHM & HAAS CO ..................... 1,012
28,437 RPM, INC ........................... 455
4,500(degree)SANGSTAT MEDICAL CORP ............. 96
446,360 SCHERING-PLOUGH CORP ............... 24,661
18,775 SCHULMAN (A.), INC ................. 426
10,100(degree)SCOTTS CO (CLASS A) ............... 388
10,200(degree)SEQUUS PHARMACEUTICALS, INC ....... 207
6,550(degree)SEROLOGICALS CORP ................. 197
See notes to financial statements.
77
<PAGE>
EQUITY INDEX ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ -----
CHEMICALS AND ALLIED PRODUCTS--(CONTINUED)
41,431 SHERWIN-WILLIAMS CO ................ $ 1,217
29,780 SIGMA ALDRICH CORP ................. 875
1,100(degree)SUGEN, INC ........................ 16
2,300(degree)SUPERGEN, INC ..................... 21
2,500(degree)TECHNE CORP ....................... 53
7,500(degree)THERAGENICS CORP .................. 126
3,200(degree)THERMOLASE CORP ................... 15
5,700(degree)TRANSKARYOTIC THERAPIES, INC ...... 145
3,000(degree)TRIANGLE PHARMACEUTICALS, INC ..... 41
8,100(degree)TWINLAB CORP ...................... 106
13,400(degree)U.S. BIOSCIENCE, INC .............. 96
1,400(degree)U.S.A. DETERGENTS, INC ............ 10
35,900 UNION CARBIDE CORP ................. 1,526
10,600 VALSPAR CORP ....................... 396
10,000(degree)VERTEX PHARMACEUTICALS, INC ....... 298
3,000(degree)VICAL, INC ........................ 43
2,600(degree)VIROPHARMA, INC ................... 24
250,399 WARNER-LAMBERT CO .................. 18,827
24,476(degree)WATSON PHARMACEUTICALS, INC ....... 1,539
9,000 WELLMAN, INC ....................... 92
18,900 WITCO CORP ......................... 301
7,000(degree)ZILA, INC ......................... 69
1,500(degree)ZONAGEN, INC ...................... 29
----------
447,225
----------
COAL MINING--0.00%
4,200 ARCH COAL, INC ..................... 72
----------
COMMUNICATIONS--10.68%
4,900(degree)ADELPHIA COMMUNICATIONS CORP (CLASS A) 224
800(degree)AERIAL COMMUNICATIONS, INC ........ 5
170,721(degree)AIRTOUCH COMMUNICATIONS, INC ...... 12,313
5,354(degree)ALCATEL S.A. ADR .................. 131
13,900 ALIANT COMMUNICATIONS, INC ......... 568
79,449 ALLTEL CORP ........................ 4,752
7,900(degree)AMERICAN MOBILE SATELLITE CORP .... 41
334,848 AMERITECH CORP ..................... 21,221
5,200(degree)ARCH COMMUNICATIONS GROUP, INC .... 7
14,796(degree)ASCENT ENTERTAINMENT GROUP, INC ... 109
7,400(degree)ASSOCIATED GROUP, INC (CLASS A) ... 318
540,992 AT & T CORP ........................ 40,710
471,296 BELL ATLANTIC CORP ................. 24,979
595,258 BELLSOUTH CORP ..................... 29,688
34,154(degree)CABLEVISION SYSTEMS CORP (CLASS A) 1,714
9,196(degree)CAPSTAR BROADCASTING CORP (CLASS A) 210
216,019 CBS CORP ........................... 7,075
4,000(degree)CD RADIO, INC ..................... 137
5,250 (degree)CELLULAR COMMUNICATIONS
INTERNATIONAL , INC ............... 357
2,800(degree)CELLULAR COMMUNICATIONS OF
PUERTO RICO ....................... 52
3,000(degree)CENTENNIAL CELLULAR CORP (CLASS A) 123
8,500(degree)CENTURY COMMUNICATIONS CORP (CLASS A) 270
24,350 CENTURY TELEPHONE ENTERPRISES, INC . 1,644
3,100 CFW COMMUNICATIONS CO .............. 72
35,600(degree)CHANCELLOR MEDIA CORP (CLASS A) ... 1,704
7,478(degree)CHRIS CRAFT INDUSTRIES, INC ....... 360
40,537 CINCINNATI BELL, INC ............... 1,533
54,032(degree)CLEAR CHANNEL COMMUNICATIONS, INC . 2,945
2,800 COMCAST CORP (CLASS A) ............. 161
105,928 COMCAST CORP (CLASS A) SPECIAL ..... 6,217
3,066(degree)COMMONWEALTH TELEPHONE ENTERPRISES 103
16,500 COMSAT CORP SERIES 1 ............... 594
3,900(degree)CONCENTRIC NETWORK CORP ........... 130
2,800(degree)CORECOMM LTD ...................... 44
21,084(degree)COX COMMUNICATIONS, INC (CLASS A) . 1,457
2,100(degree)COX RADIO, INC (CLASS A) .......... 89
12,400(degree)E.SPIRE COMMUNICATIONS, INC ....... 79
3,700(degree)EMMIS COMMUNICATIONS (CLASS A) .... 160
3,600(degree)EXODUS COMMUNICATIONS, INC ........ 231
51,365 FRONTIER CORP ...................... 1,746
12,930 GAYLORD ENTERTAINMENT CO ........... 390
17,800(degree)GLOBAL TELESYSTEMS GROUP, INC ..... 992
750 GRAY COMMUNICATIONS SYSTEMS, INC ... 14
289,883 GTE CORP ........................... 18,842
14,500(degree)HEARST-ARGYLE TELEVISION, INC ..... 479
2,900x(degree)HEARTLAND WIRELESS
COMMUNICATIONS, INC ............... 0
11,700(degree)HEFTEL BROADCASTING CORP (CLASS A) 576
4,400(degree)HIGHWAYMASTER COMMUNICATIONS, INC . 5
13,349(degree)ICG COMMUNICATIONS, INC ........... 287
4,100(degree)IDT CORP .......................... 63
12,600(degree)INTERMEDIA COMMUNICATIONS, INC .... 217
14,600(degree)ITC DELTACOM, INC ................. 223
7,600(degree)IXC COMMUNICATIONS, INC ........... 256
12,900(degree)JACOR COMMUNICATIONS, INC ......... 830
4,300(degree)JACOR COMMUNICATIONS, INC WTS 09/18/01 34
3,700(degree)JONES INTERCABLE, INC (CLASS A) ... 132
7,000(degree)LCC INTERNATIONAL, INC (CLASS A) .. 26
4,050(degree)LEAP WIRELESS INTERNATIONAL, INC .. 29
92,600(degree)LEVEL 3 COMMUNICATIONS, INC ....... 3,993
100,981(degree)LIBERTY MEDIA GROUP (CLASS A) ..... 4,651
2,300(degree)LORAL SPACE & COMMUNICATIONS LTD .. 41
400,857 LUCENT TECHNOLOGIES, INC ........... 44,094
558,322(degree)MCI WORLDCOM, INC ................. 40,060
12,700(degree)MCLEODUSA, INC (CLASS A) .......... 397
183,600(degree)MEDIA ONE GROUP, INC .............. 8,629
6,700(degree)METROMEDIA FIBER NETWORK (CLASS A) 224
48,200(degree)NEXTEL COMMUNICATIONS, INC (CLASS A) 1,139
14,800(degree)NEXTLINK COMMUNICATIONS, INC ...... 420
3,400 NORTH PITTSBURGH SYSTEMS, INC ...... 45
12,066(degree)NTL, INC .......................... 681
10,100(degree)OMNIPOINT CORP .................... 94
4,900(degree)PACIFIC GATEWAY EXCHANGE, INC ..... 236
4,500(degree)PAGEMART WIRELESS, INC (CLASS A) .. 25
31,900(degree)PAGING NETWORK, INC ............... 150
11,810(degree)PANAMSAT CORP ..................... 460
7,303(degree)PAXSON COMMUNICATIONS CORP ........ 67
2,100(degree)PEGASUS COMMUNICATIONS CORP ....... 53
3,900(degree)POWERTEL, INC ..................... 53
9,200(degree)PREMIERE TECHNOLOGIES, INC ........ 68
4,700(degree)PRIMUS TELECOMMUNICATIONS GROUP, INC 78
18,789(degree)QWEST COMMUNICATIONS
INTERNATIONAL , INC ............... 939
9,200(degree)RCN CORP .......................... 163
593,788 SBC COMMUNICATIONS, INC ............ 31,842
12,900 (degree)SINCLAIR BROADCASTING GROUP, INC
(CLASS A ) ........................ 252
16,600(degree)SKYTEL COMMUNICATIONS, INC ........ 367
1,000(degree)SMARTALK TELESERVICES, INC ........ 3
104,066 SPRINT CORP (FON GROUP) ............ 8,755
51,433(degree)SPRINT CORP (PCS GROUP) ........... 1,189
6,100(degree)STAR TELECOMMUNICATIONS, INC ...... 74
9,500 TCA CABLE TV, INC .................. 339
14,040(degree)TCI SATELLITE ENTERTAINMENT (CLASS A) 20
9,700(degree)TEL-SAVE.COM, INC ................. 162
158,987(degree)TELE-COMMUNICATIONS, INC (CLASS A) 8,794
See notes to financial statements.
78
<PAGE>
EQUITY INDEX ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ -----
COMMUNICATIONS--(CONTINUED)
109,726(degree)TELECOM-TCI VENTURES GROUP (CLASS A) $ 2,585
9,718(degree)TELEGLOBE, INC (U.S.A.) ........... 350
18,340 TELEPHONE & DATA SYSTEMS, INC ...... 824
100(degree)TELIGENT, INC ..................... 3
1,900(degree)TRANSACTION NETWORK SERVICES, INC . 38
5,900(degree)U.S. CELLULAR CORP ................ 224
4,000(degree)U.S. LEC CORP (CLASS A) ........... 59
7,700(degree)U.S. SATELLITE BROADCASTING, INC (CLASS A) 106
150,461 U.S. WEST, INC ..................... 9,724
24,330(degree)U.S.A. NETWORKS, INC .............. 806
11,300(degree)UNITED INTERNATIONAL HOLDINGS, INC 218
2,100 UNITED TELEVISION, INC ............. 242
7,000(degree)UNITED VIDEO SATELLITE GROUP, INC . 165
7,000(degree)UNIVISION COMMUNICATIONS, INC ..... 253
8,600(degree)VANGUARD CELLULAR SYSTEMS, INC .... 222
6,460(degree)VIACOM, INC (CLASS A) ............. 475
70,293(degree)VIACOM, INC (CLASS B) ............. 5,202
150(degree)VIACOM, INC (CLASS B) WTS 07/07/99 2
20,600(degree)WESTERN WIRELESS CORP (CLASS A) ... 453
12,700(degree)WINSTAR COMMUNICATIONS, INC ....... 495
3,000(degree)YOUNG BROADCASTING, INC (CLASS A) . 126
----------
368,797
----------
DEPOSITORY INSTITUTIONS--8.26%
1,000 ALABAMA NATIONAL BANCORP ........... 27
7,900 ALLIED IRISH BANK PLC (SPONS ADR) .. 872
10,700 AMCORE FINANCIAL, INC .............. 245
57,800 AMSOUTH BANCORP .................... 2,637
4,500 ANCHOR BANCORP WISCONSIN, INC ...... 108
400 ANDOVER BANCORP, INC ............... 14
1,200 AREA BANCSHARES CORP ............... 32
19,106 ASSOCIATED BANC-CORP ............... 653
21,745 ASTORIA FINANCIAL CORP ............. 995
400 BANCFIRST CORP ..................... 14
1,500 BANCFIRST OHIO CORP ................ 46
15,300 BANCORPSOUTH, INC .................. 276
12,500 BANCWEST CORP ...................... 600
2,200 BANK OF GRANITE CORP ............... 61
226,320 BANK OF NEW YORK CO, INC ........... 9,109
356,802 BANK ONE CORP ...................... 18,219
3,000(degree)BANK PLUS CORP .................... 13
9,400 BANK UNITED CORP (CLASS A) ......... 369
527,098 BANKAMERICA CORP ................... 31,692
8,000 BANKATLANTIC BANCORP, INC (CLASS B) 57
88,769 BANKBOSTON CORP .................... 3,456
29,152 BANKERS TRUST CORP ................. 2,491
2,900 BANKNORTH GROUP, INC ............... 109
1,000(degree)BANKUNITED FINANCIAL CORP (CLASS A) 8
5,500 BAY VIEW CAPITAL CORP .............. 119
98,442 BB&T CORP .......................... 3,968
1,957(degree)BOK FINANCIAL CORP ................ 92
1,400 BRENTON BANKS, INC ................. 23
700 BROOKLINE BANCORP, INC ............. 8
600 BSB BANCORP, INC ................... 20
1,100 BT FINANCIAL CORP .................. 30
470(degree)CALIFORNIA FEDERAL BANK GOODWILL CERT 6
4,600 CAROLINA FIRST CORP ................ 116
1,300 CATHAY BANCORP, INC ................ 53
12,000 CCB FINANCIAL CORP ................. 684
2,200(degree)CENTENNIAL BANCORP ................ 41
8,200 CENTURA BANKS, INC ................. 610
1,400 CENTURY SOUTH BANKS, INC ........... 39
2,000 CFSB BANCORP, INC .................. 49
64,980 CHARTER ONE FINANCIAL, INC ......... 1,803
256,038 CHASE MANHATTAN CORP ............... 17,427
1,875 CHEMICAL FINANCIAL CORP ............ 64
2,252 CHITTENDEN CORP .................... 72
6,900 CITIZENS BANKING CORP (MICHIGAN) ... 233
1,000 CITY HOLDINGS CO ................... 33
13,100 CITY NATIONAL CORP ................. 545
9,990 CNB BANCSHARES, INC ................ 466
27,000 COLONIAL BANCGROUP, INC ............ 324
1,200(degree)COLUMBIA BANKING SYSTEM, INC ...... 22
46,100 COMERICA, INC ...................... 3,143
7,056 COMMERCE BANCORP, INC .............. 370
17,669 COMMERCE BANCSHARES, INC ........... 751
19,000 COMMERCIAL FEDERAL CORP ............ 441
1,000 COMMONWEALTH BANCORP, INC .......... 16
1,100 COMMUNITY BANK SYSTEM, INC ......... 32
16,600 COMMUNITY FIRST BANKSHARES, INC .... 350
1,600 COMMUNITY TRUST BANCORP, INC ....... 38
20,350 COMPASS BANCSHARES, INC ............ 775
27,962(degree)CONCORD EFS, INC .................. 1,185
1,200 CORUS BANKSHARES, INC .............. 39
1,200 CPB, INC ........................... 21
33,291 CRESTAR FINANCIAL CORP ............. 2,397
10,300 CULLEN FROST BANKERS, INC .......... 565
2,054 CVB FINANCIAL CORP ................. 46
33,000 DIME BANCORP, INC .................. 872
1,600 DIME COMMUNITY BANCORP, INC ........ 33
5,460 DOWNEY FINANCIAL CORP .............. 139
1,900 EVERGREEN BANCORP, INC ............. 61
900 F & M BANCORP, INC (MARYLAND) ...... 29
2,800 F & M BANCORP, INC (WISCONSIN) ..... 85
6,500 F & M NATIONAL CORP ................ 195
2,900 F.N.B. CORP ........................ 82
1,200 FARMERS CAPITAL BANK CORP .......... 45
64,077 FIFTH THIRD BANCORP ................ 4,569
32,266 FIRST AMERICAN CORP ................ 1,432
14,800 FIRST BANCORP (PUERTO RICO) ........ 447
1,600 FIRST CHARTER CORP ................. 28
2,900 FIRST CITIZENS BANCSHARES, INC (CLASS A) 261
1,200 FIRST COMMERCE BANCSHARES, INC ..... 34
6,761 FIRST COMMONWEALTH FINANCIAL CORP .. 166
1,100 FIRST FEDERAL CAPITAL CORP ......... 18
11,440(degree)FIRST FINANCIAL BANCORP ........... 331
1,560 FIRST FINANCIAL BANKSHARES, INC .... 55
700 FIRST FINANCIAL CORP (INDIANA) ..... 35
1,900 FIRST FINANCIAL HOLDINGS, INC ...... 36
1,000 FIRST INDIANA CORP ................. 20
1,300 FIRST LIBERTY FINANCIAL CORP ....... 27
1,500 FIRST MERCHANTS CORP ............... 39
7,100 FIRST MIDWEST BANCORP, INC ......... 270
1,900(degree)FIRST REPUBLIC BANK ............... 48
50,012 FIRST SECURITY CORP ................ 1,169
8,200 FIRST SENTINEL BANCORP, INC ........ 67
700 FIRST SOURCE CORP .................. 23
37,500 FIRST TENNESSEE NATIONAL CORP ...... 1,427
278,340 FIRST UNION CORP ................... 16,927
5,900 FIRST UNITED BANCSHARES, INC ....... 105
15,050 FIRST VIRGINIA BANKS, INC .......... 707
1,700 FIRST WASHINGTON BANCORP, INC ...... 41
1,600 FIRST WESTERN BANCORP, INC ......... 51
60,638 FIRSTAR CORP ....................... 5,654
5,350(degree)FIRSTFED FINANCIAL CORP ........... 96
18,500 FIRSTMERIT CORP .................... 497
169,728 FLEET FINANCIAL GROUP, INC ......... 7,585
1,400(degree)FRONTIER FINANCIAL CORP ........... 64
See notes to financial statements.
79
<PAGE>
EQUITY INDEX ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ -----
DEPOSITORY INSTITUTIONS--(CONTINUED)
18,600 FULTON FINANCIAL CORP .............. $ 419
2,300 GBC BANCORP ........................ 59
2,400 GOLD BANC CORP, INC ................ 37
38,700(degree)GOLDEN STATE BANCORP, INC ......... 643
13,600(degree)GOLDEN STATE BANCORP, INC WTS 01/01/01 62
14,300 GOLDEN WEST FINANCIAL CORP ......... 1,311
1,650 GRAND PREMIER FINANCIAL, INC ....... 20
1,200 GREATER BAY BANCORP ................ 41
21,700 GREENPOINT FINANCIAL CORP .......... 762
1,400(degree)HAMILTON BANCORP, INC ............. 37
1,800 HANCOCK HOLDINGS CO ................ 82
700 HARLEYSVILLE NATIONAL CORP ......... 27
4,600 HARRIS FINANCIAL, INC .............. 63
45,459 HIBERNIA CORP (CLASS A) ............ 790
1,600 HORIZON BANCORP, INC ............... 54
15,171 HUBCO, INC ......................... 457
62,164 HUNTINGTON BANCSHARES, INC ......... 1,869
11,250(degree)IMPERIAL BANCORP .................. 187
22,000 INDEPENDENCE COMMUNITY BANK CORP ... 351
1,400 INDEPENDENT BANK CORP .............. 24
1,600 INTERNATIONAL BANCSHARES CORP ...... 81
3,100 INTERWEST BANCORP, INC ............. 69
2,600 IRWIN FINANCIAL CORP ............... 71
1,700 JEFFBANKS, INC ..................... 34
900 JEFFERSON SAVINGS BANCORP, INC ..... 12
135,039 KEYCORP ............................ 4,321
15,850 KEYSTONE FINANCIAL, INC ............ 586
2,341 M & T BANK CORP .................... 1,215
19,380 MAF BANCORP, INC ................... 514
200 MAHONING NATIONAL BANCORP, INC ..... 6
3,200 MAINSTREET FINANCIAL CORP .......... 149
31,356 MARSHALL & ILSLEY CORP ............. 1,832
196,605 MBNA CORP .......................... 4,903
78,152 MELLON BANK CORP ................... 5,373
41,882 MERCANTILE BANCORP, INC ............ 1,932
20,705 MERCANTILE BANKSHARES CORP ......... 797
1,500 MERCHANTS NEW YORK BANCORP, INC .... 54
700 MICHIGAN FINANCIAL CORP ............ 24
618 MID-AMERICA BANCORP ................ 17
1,100 MISSISSIPPI VALLEY BANCSHARES ...... 37
53,165 MORGAN (J.P.) & CO, INC ............ 5,586
4,400 NATIONAL BANCORP OF ALASKA, INC .... 149
2,905 NATIONAL CITY BANCSHARES, INC ...... 108
99,191 NATIONAL CITY CORP ................. 7,191
33,000 NATIONAL COMMERCE BANCORP .......... 621
2,900 NATIONAL PENN BANCSHARES, INC ...... 79
2,205 NBT BANCORP, INC ................... 52
42,268 NORTH FORK BANCORP, INC ............ 1,012
31,760 NORTHERN TRUST CORP ................ 2,773
400(degree)NORTHWEST BANCORP, INC ............ 4
10,200(degree)OCWEN FINANCIAL CORP .............. 126
25,846 OLD KENT FINANCIAL CORP ............ 1,202
10,111 OLD NATIONAL BANCORP ............... 564
1,500 OMEGA FINANCIAL CORP ............... 45
10,512 ONE VALLEY BANCORP, INC ............ 346
2,133 ORIENTAL FINANCIAL GROUP ........... 67
1,500 PACIFIC CAPITAL BANCORP ............ 39
24,200 PACIFIC CENTURY FINANCIAL CORP ..... 590
2,900 PARK NATIONAL CORP ................. 299
5,400 PEOPLES BANCORP, INC ............... 59
8,600 PEOPLES BANK OF BRIDGEPORT CO ...... 238
29,604 PEOPLES HERITAGE FINANCIAL GROUP, INC 592
2,100 PEOPLES HOLDING CO ................. 68
1,900(degree)PFF BANCORP, INC .................. 30
89,939 PNC BANK CORP ...................... 4,868
39,427 POPULAR, INC ....................... 1,341
5,282 PREMIER BANCSHARES, INC ............ 138
2,000 PRIME BANCORP, INC ................. 32
8,085 PROVIDENT BANKSHARES CORP .......... 201
12,200 PROVIDENT FINANCIAL GROUP .......... 461
38,494 PROVIDIAN FINANCIAL CORP ........... 2,887
19,200 QUEENS COUNTY BANCORP, INC ......... 571
64,030 REGIONS FINANCIAL CORP ............. 2,581
700 RELIANCE BANCORP, INC .............. 19
2,600 REPUBLIC BANCORP, INC .............. 35
32,264 REPUBLIC NEW YORK CORP ............. 1,470
9,300 REPUBLIC SECURITY FINANCIAL CORP ... 113
2,900 RICHMOND COUNTY FINANCIAL CORP ..... 47
15,700 RIGGS NATIONAL CORP ................ 320
15,700 ROSLYN BANCORP, INC ................ 338
9,600 S & T BANCORP, INC ................. 265
2,000 SANDY SPRING BANCORP, INC .......... 60
900 SHORELINE FINANCIAL CORP ........... 24
900 SIGNAL CORP ........................ 31
6,400(degree)SILICON VALLEY BANCSHARES ......... 109
1,000 SIMMONS FIRST NATIONAL CORP (CLASS A) 37
400 SIS BANCORP ........................ 18
10,673 SKY FINANCIAL GROUP, INC ........... 282
48,500 SOUTHTRUST CORP .................... 1,791
4,300(degree)SOUTHWEST BANCORP OF TEXAS, INC ... 77
47,640 SOVEREIGN BANCORP, INC ............. 679
22,625 ST. PAUL BANCORP, INC .............. 616
48,600 STATE STREET CORP .................. 3,381
11,000 STATEN ISLAND BANCORP, INC ......... 219
1,000 STERLING BANCORP ................... 23
3,500 STERLING BANCSHARES, INC ........... 52
800 STERLING FINANCIAL CORP ............ 33
51,421 SUMMIT BANCORP ..................... 2,246
55,900 SUNTRUST BANKS, INC ................ 4,276
16,380 SUSQUEHANNA BANCSHARES, INC ........ 335
66,187 SYNOVUS FINANCIAL CORP ............. 1,613
25,900 TCF FINANCIAL CORP ................. 626
2,300 TEXAS REGIONAL BANCSHARES, INC (CLASS A) 58
10,700 TR FINANCIAL CORP .................. 421
4,309 TRIANGLE BANCORP, INC .............. 68
2,700 TRUST CO OF NEW JERSEY ............. 66
6,335 TRUSTCO BANK CORP .................. 190
19,800 TRUSTMARK CORP ..................... 448
220,843 U.S. BANCORP ....................... 7,840
6,100 U.S. TRUST CORP .................... 464
1,320 U.S.B. HOLDINGS CO, INC ............ 22
5,540 UMB FINANCIAL CORP ................. 254
40,298 UNION PLANTERS CORP ................ 1,826
7,800 UNIONBANCAL CORP ................... 266
10,400 UNITED BANKSHARES, INC ............. 276
1,650 UNITED NATIONAL BANCORP ............ 38
2,200 USBANCORP, INC ..................... 44
12,900 UST CORP ........................... 304
15,153 VALLEY NATIONAL BANCORP ............ 427
1,100(degree)VERMONT FINANCIAL SERVICES CORP ... 37
62,106 WACHOVIA CORP ...................... 5,430
15,034 WASHINGTON FEDERAL, INC ............ 401
170,939 WASHINGTON MUTUAL, INC ............. 6,528
2,000 WASHINGTON TRUST BANCORP, INC ...... 43
14,800 WEBSTER FINANCIAL CORP ............. 406
490,718 WELLS FARGO CO ..................... 19,598
4,400 WESBANCO, INC ...................... 130
See notes to financial statements.
80
<PAGE>
EQUITY INDEX ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ -----
DEPOSITORY INSTITUTIONS--(CONTINUED)
1,920 WEST COAST BANCORP (OREGON) ........ $ 40
12,600 WESTAMERICA BANCORP ................ 463
6,800 WESTERN BANCORP .................... 199
18,000 WESTERNBANK PUERTO RICO ............ 286
6,400 WHITNEY HOLDINGS CORP .............. 240
10,000 WILMINGTON TRUST CORP .............. 616
22,500 ZIONS BANCORP ...................... 1,403
----------
285,098
----------
EATING AND DRINKING PLACES--0.84%
7,000(degree)ADVANTICA RESTAURANT GROUP, INC ... 43
21,900 APPLEBEES INTERNATIONAL, INC ....... 452
11,800 AVADO BRANDS, INC .................. 98
24,600 BOB EVANS FARMS, INC ............... 641
11,100x(degree)BOSTON CHICKEN, INC .............. 3
23,700(degree)BRINKER INTERNATIONAL, INC ........ 684
10,500(degree)BUFFETS, INC ...................... 125
3,600(degree)CEC ENTERTAINMENT, INC ............ 100
14,918 CKE RESTAURANTS, INC ............... 439
2,125(degree)CONSOLIDATED PRODUCTS, INC ........ 44
16,400 CRACKER BARREL OLD COUNTRY STORE, INC 382
44,400 DARDEN RESTAURANTS, INC ............ 799
1,500(degree)DAVE & BUSTERS, INC ............... 35
12,100(degree)FOODMAKER, INC .................... 267
45,100 HOST MARRIOTT CORP (NEW) ........... 623
9,740(degree)HOST MARRIOTT SERVICES CORP ....... 101
1,500(degree)IHOP CORP NEW ..................... 60
8,700(degree)LANDRYS SEAFOOD RESTAURANTS, INC .. 65
10,600(degree)LONE STAR STEAKHOUSE & SALOON, INC 97
9,500 LUBYS CAFETERIA, INC ............... 147
67,000 MARRIOTT INTERNATIONAL (CLASS A) ... 1,943
203,900 MCDONALD'S CORP .................... 15,624
12,000 MORRISON HEALTH CARE, INC .......... 229
12,800(degree)OUTBACK STEAKHOUSE, INC ........... 510
9,350(degree)PAPA JOHNS INTERNATIONAL, INC ..... 413
1,800(degree)PJ AMERICA, INC ................... 33
7,100(degree)PLANET HOLLYWOOD, INC (CLASS A) ... 16
7,250(degree)RAINFOREST CAFE, INC .............. 44
20,700 RUBY TUESDAY, INC .................. 440
17,200(degree)RYANS FAMILY STEAK HOUSES, INC .... 213
3,500(degree)SBARRO, INC ....................... 92
17,900(degree)SHONEYS, INC ...................... 23
8,700(degree)SODEXHO MARRIOTT SERVICES, INC .... 241
2,700(degree)SONIC CORP ........................ 67
3,400(degree)THE CHEESECAKE FACTORY CO ......... 101
36,490(degree)TRICON GLOBAL RESTAURANTS, INC .... 1,829
15,190(degree)U.S. FOODSERVICE, INC ............. 744
25,700 VIAD CORP .......................... 781
28,100 WENDYS INTERNATIONAL, INC .......... 613
----------
29,161
----------
EDUCATIONAL SERVICES--0.06%
12,487(degree)APOLLO GROUP, INC (CLASS A) ....... 423
1,400(degree)BERLITZ INTERNATIONAL, INC ........ 41
4,700(degree)COMPUTER LEARNING CENTERS, INC .... 31
27,800(degree)DEVRY, INC ........................ 851
3,200(degree)EDUCATION MANAGEMENT CORP ......... 76
3,500(degree)ITT EDUCATIONAL SERVICES, INC ..... 119
2,800(degree)LEARNING TREE INTERNATIONAL, INC .. 25
1,900 STRAYER EDUCATION, INC ............. 67
10,650(degree)SYLVAN LEARNING SYSTEMS, INC ...... 325
----------
1,958
----------
ELECTRIC, GAS, AND SANITARY SERVICES--4.33%
35,500(degree)AES CORP .......................... $ 1,682
39,300 AGL RESOURCES, INC ................. 906
37,570 ALLEGHENY ENERGY, INC .............. 1,296
36,915(degree)ALLIED WASTE INDUSTRIES, INC ...... 872
37,313 AMEREN CORP ........................ 1,593
54,969 AMERICAN ELECTRIC POWER CO, INC .... 2,587
21,439 AMERICAN WATER WORKS CO, INC ....... 724
41,400(degree)AQUA ALLIANCE, INC ................ 85
2,297 AQUARION CO ........................ 94
1,253 AQUILA GAS PIPELINE CORP ........... 11
8,611 ATMOS ENERGY CORP .................. 278
40,879 BALTIMORE GAS & ELECTRIC CO ........ 1,262
3,717 BAY STATE GAS CO ................... 148
14,300 BEC ENERGY ......................... 589
4,728 BLACK HILLS CORP ................... 125
54,200 BROWNING FERRIS INDUSTRIES, INC .... 1,541
16,200(degree)CALENERGY, INC .................... 562
2,707 CALIFORNIA WATER SERVICE GROUP ..... 85
4,562(degree)CALPINE CORP ...................... 115
42,987 CAROLINA POWER & LIGHT CO .......... 2,023
600(degree)CASELLA WASTE SYSTEMS, INC (CLASS A) 22
60,056 CENTRAL & SOUTH WEST CORP .......... 1,648
8,800 CENTRAL HUDSON GAS & ELECTRIC CORP . 394
7,800 CILCORP, INC ....................... 477
39,723 CINERGY CORP ....................... 1,365
75,026(degree)CITIZENS UTILITIES CO (CLASS B) ... 610
10,900 CLECO CORP ......................... 374
27,411 CMP GROUP, INC ..................... 517
30,400 CMS ENERGY CORP .................... 1,473
56,800 COASTAL CORP ....................... 1,984
1,700 COLONIAL GAS CO .................... 59
24,391 COLUMBIA ENERGY GROUP .............. 1,409
16,700 COMMONWEALTH ENERGY SYSTEM CO ...... 676
39,425 CONECTIV, INC ...................... 966
4,287 CONECTIV, INC (CLASS A) ............ 169
1,500 CONNECTICUT ENERGY CORP ............ 46
68,119 CONSOLIDATED EDISON CO OF N.Y., INC 3,602
28,300 CONSOLIDATED NATURAL GAS CO ........ 1,528
1,230 CTG RESOURCES, INC ................. 32
56,288 DOMINION RESOURCES, INC ............ 2,631
43,200 DPL, INC ........................... 934
20,400 DQE, INC ........................... 896
40,893 DTE ENERGY CO ...................... 1,753
113,851 DUKE ENERGY CORP ................... 7,294
29,500 DYNEGY, INC ........................ 323
11,000 EASTERN ENTERPRISES CO ............. 481
8,700(degree)EASTERN ENVIRONMENTAL SERVICES, INC 258
20,300 EASTERN UTILITIES ASSOCIATION CO ... 573
104,100 EDISON INTERNATIONAL CO ............ 2,902
12,008(degree)EL PASO ELECTRIC CO ............... 105
33,196 EL PASO ENERGY CORP ................ 1,156
1,600 EMPIRE DISTRICT ELECTRIC CO ........ 40
6,286 ENERGEN CORP ....................... 123
16,100 ENERGY EAST CORP ................... 910
98,770 ENRON CORP ......................... 5,636
67,053 ENTERGY CORP ....................... 2,087
19,400 EQUITABLE RESOURCES, INC ........... 565
1,100 ETOWN CORP ......................... 52
65,636 FIRSTENERGY CORP ................... 2,137
24,100 FLORIDA PROGRESS CORP .............. 1,080
47,500 FPL GROUP, INC ..................... 2,927
34,921 GPU, INC ........................... 1,543
See notes to financial statements.
81
<PAGE>
EQUITY INDEX ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ -----
ELECTRIC, GAS, AND SANITARY SERVICES--(CONTINUED)
9,000 HAWAIIAN ELECTRIC INDUSTRIES, INC .. $ 362
77,149 HOUSTON INDUSTRIES, INC ............ 2,478
16,000 IDACORP, INC ....................... 579
20,400 ILLINOVA CORP ...................... 510
10,400 INDIANA ENERGY, INC ................ 256
23,134 INTERSTATE ENERGY CORP ............. 746
16,800 IPALCO ENTERPRISES, INC ............ 931
24,100 KANSAS CITY POWER & LIGHT CO ....... 714
20,200(degree)KELLEY OIL & GAS CORP ............. 12
48,204 KEYSPAN ENERGY CORP ................ 1,494
11,800 KN ENERGY, INC ..................... 429
2,300 LACLEDE GAS CO ..................... 62
45,405 LOUISVILLE GAS & ELECTRIC ENERGY CORP 1,286
1,500 MADISON GAS & ELECTRIC CO .......... 34
23,100 MCN ENERGY GROUP, INC .............. 440
15,450 MDU RESOURCES GROUP, INC ........... 407
29,200 MIDAMERICAN ENERGY HOLDINGS CO ..... 785
16,300 MINNESOTA POWER, INC ............... 717
3,800 x(degree)MOLTEN METAL TECHNOLOGY, INC 0
22,700 MONTANA POWER CO ................... 1,284
11,500 NATIONAL FUEL GAS CO ............... 520
25,500 NEVADA POWER CO .................... 663
31,185 NEW CENTURY ENERGIES, INC .......... 1,520
17,600 NEW ENGLAND ELECTRIC SYSTEMS CO .... 847
7,300 NEW JERSEY RESOURCES CORP .......... 288
20,000(degree)NEWPARK RESOURCES, INC ............ 136
64,100(degree)NIAGARA MOHAWK POWER CORP ......... 1,034
14,200 NICOR, INC ......................... 600
33,500 NIPSCO INDUSTRIES, INC ............. 1,020
2,449 NORTH CAROLINA NATURAL GAS CORP .... 81
51,400(degree)NORTHEAST UTILITIES CO ............ 822
41,400 NORTHERN STATES POWER CO ........... 1,149
11,900 NORTHWEST NATURAL GAS CO ........... 308
6,000 NORTHWESTERN CORP .................. 159
1,100 NUI CORP ........................... 29
24,500 OGDEN CORP ......................... 614
28,200 OGE ENERGY CORP .................... 818
9,867 ONEOK, INC ......................... 356
12,200 ORANGE & ROCKLAND UTILITY, INC ..... 695
500 OTTER TAIL POWER CO ................ 20
82,300 PACIFICORP ......................... 1,733
64,100 PECO ENERGY CO ..................... 2,668
1,500 PENNSYLVANIA ENTERPRISES, INC ...... 38
10,100 PEOPLES ENERGY CORP ................ 403
110,865 PG&E CORP .......................... 3,492
7,000 PHILADELPHIA SUBURBAN CORP ......... 207
9,880 PIEDMONT NATURAL GAS CO, INC ....... 357
23,300 PINNACLE WEST CAPITAL CORP ......... 987
31,900 POTOMAC ELECTRIC POWER CO .......... 839
39,832 PP&L RESOURCES, INC ................ 1,110
31,500 PUBLIC SERVICE CO OF NEW MEXICO .... 644
4,100 PUBLIC SERVICE CO OF NORTH CAROLINA 107
67,223 PUBLIC SERVICE ENTERPRISE GROUP, INC 2,689
21,940 PUGET SOUND ENERGY, INC ............ 612
28,600 QUESTAR CORP ....................... 554
122,516(degree)REPUBLIC INDUSTRIES, INC .......... 1,807
21,300 ROCHESTER GAS & ELECTRIC CORP ...... 666
28,200 SCANA CORP ......................... 909
18,892(degree)SEAGULL ENERGY CORP ............... 119
3,800 SEMCO ENERGY, INC .................. 62
66,629 SEMPRA ENERGY ...................... 1,691
18,700 SIERRA PACIFIC RESOURCES ........... 711
6,300 SIG CORP, INC ...................... 225
33,126 SONAT, INC ......................... 896
600 SOUTH JERSEY INDUSTRIES, INC ....... 16
207,215 SOUTHERN CO ........................ 6,022
4,360(degree)SOUTHERN UNION CO ................. 106
8,000 SOUTHWEST GAS CORP ................. 215
24,900 SOUTHWESTERN ENERGY CO ............. 187
6,400(degree)SUPERIOR SERVICES, INC ............ 128
34,300 TECO ENERGY, INC ................... 967
82,482 TEXAS UTILITIES CO ................. 3,851
1,300 TNP ENTERPRISES, INC ............... 49
7,610 UGI CORP ........................... 181
61,000 UNICOM CORP ........................ 2,352
15,240(degree)UNISOURCE ENERGY CORP HOLDINGS CO . 206
11,000 UNITED ILLUMINATING CO ............. 567
8,200 UNITED WATER RESOURCES, INC ........ 196
18,750 UTILICORP UNITED, INC .............. 688
10,800 WASHINGTON GAS LIGHT CO ............ 293
17,600 WASHINGTON WATER POWER CO .......... 339
167,518 WASTE MANAGEMENT, INC .............. 7,811
31,000(degree)WASTEMASTERS, INC ................. 10
3,300 WESTERN GAS RESOURCES, INC ......... 19
15,100 WESTERN RESOURCES, INC ............. 502
18,000 WICOR, INC ......................... 393
126,716 WILLIAMS COS, INC .................. 3,952
30,300 WISCONSIN ENERGY CORP .............. 953
9,200 WPS RESOURCES CORP ................. 324
1,500 YANKEE ENERGY SYSTEMS, INC ......... 44
----------
149,437
----------
ELECTRONIC AND OTHER ELECTRIC EQUIPMENT--7.44%
4,700(degree)AAVID THERMAL TECHNOLOGIES, INC ... 79
9,400(degree)ACTEL CORP ........................ 188
39,800(degree)ADC TELECOMMUNICATIONS, INC ....... 1,383
11,600(degree)ADTRAN, INC ....................... 212
1,900(degree)ADVANCED ENERGY INDUSTRIES, INC ... 48
20,400(degree)ADVANCED FIBRE COMMUNICATIONS ..... 223
2,200(degree)ADVANCED LIGHTING TECHNOLOGIES, INC 21
43,407(degree)ADVANCED MICRO DEVICES, INC ....... 1,256
31,600 AEROQUIP-VICKERS, INC .............. 946
51,020 ALLEGHENY TELEDYNE, INC ............ 1,043
5,885(degree)ALLEN TELECOM, INC ................ 39
10,900(degree)ALLIANCE SEMICONDUCTOR CORP ....... 44
29,400(degree)ALTERA CORP ....................... 1,790
23,000(degree)AMERICAN POWER CONVERSION CORP .... 1,114
40,100(degree)AMERICAN TOWER SYSTEMS (CLASS A) .. 1,185
9,300 AMETEK, INC ........................ 208
11,100(degree)AMKOR TECHNOLOGY, INC ............. 120
53,393 AMP, INC ........................... 2,780
15,720(degree)AMPEX CORP (CLASS A) .............. 18
5,400(degree)AMPHENOL CORP (CLASS A) ........... 163
3,700(degree)ANADIGICS, INC .................... 42
48,556(degree)ANALOG DEVICES, INC ............... 1,523
24,087(degree)ANDREW CORP ....................... 397
8,200(degree)ANTEC CORP ........................ 165
6,600(degree)APPLIED INNOVATION, INC ........... 23
5,400(degree)APPLIED MAGNETICS CORP ............ 33
6,700(degree)APPLIED MICRO CIRCUITS CORP ....... 228
11,500(degree)ARTESYN TECHNOLOGIES, INC ......... 161
17,200(degree)ASPECT TELECOMMUNICATIONS CORP .... 297
29,100(degree)ATMEL CORP ........................ 446
5,700(degree)AURA SYSTEMS, INC ................. 6
19,800 AVX CORP ........................... 335
9,866 BALDOR ELECTRIC CO ................. 200
See notes to financial statements.
82
<PAGE>
EQUITY INDEX ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ -----
ELECTRONIC AND OTHER ELECTRIC EQUIPMENT--(CONTINUED)
1,741(degree)BENCHMARK ELECTRONICS, INC ........ $ 64
7,600 BMC INDUSTRIES, INC ................ 48
900(degree)BROADCOM CORP (CLASS A) ........... 109
11,550(degree)BURR BROWN CORP ................... 271
2,572 C&D TECHNOLOGIES, INC .............. 71
8,800(degree)CALIFORNIA MICROWAVE, INC ......... 83
7,800(degree)CELLNET DATA SYSTEMS, INC ......... 39
9,200(degree)CHECKPOINT SYSTEMS, INC ........... 114
14,800(degree)CIDCO, INC ........................ 43
30,600(degree)CIENA CORP ........................ 448
9,433(degree)COMMSCOPE, INC .................... 159
12,540(degree)COMVERSE TECHNOLOGY, INC .......... 890
30,373 COOPER INDUSTRIES, INC ............. 1,448
1,506 CTS CORP ........................... 66
24,400(degree)CYPRESS SEMICONDUCTOR CORP ........ 203
8,000 DALLAS SEMICONDUCTOR CORP .......... 326
3,700(degree)DAVOX CORP ........................ 28
16,100(degree)DIGITAL MICROWAVE CORP ............ 110
10,080(degree)DII GROUP, INC .................... 232
10,900(degree)DSP COMMUNICATIONS, INC ........... 167
3,900(degree)ECHOSTAR COMMUNICATIONS CORP
(CLASS A) ......................... 189
3,200 (degree)ELECTRO SCIENTIFIC INDUSTRIES, INC 145
131,746 EMERSON ELECTRIC CO ................ 7,971
3,900(degree)ESS TECHNOLOGY .................... 20
900(degree)EVANS & SUTHERLAND COMPUTER CORP .. 16
1,000(degree)EXCEL SWITCHING CORP .............. 38
4,600 EXIDE CORP ......................... 75
6,400(degree)GENERAL DATACOMM INDUSTRIES, INC .. 15
995,822 GENERAL ELECTRIC CO ................ 101,636
36,800(degree)GENERAL INSTRUMENT CORP ........... 1,249
6,800(degree)GENERAL SEMICONDUCTOR, INC ........ 56
1,100(degree)GENLYTE GROUP, INC ................ 21
9,900 x(degree)GEOTEK COMMUNICATIONS, INC .. 0
18,687(degree)GLENAYRE TECHNOLOGIES, INC ........ 83
4,500(degree)HADCO CORP ........................ 158
8,350 HARMAN INTERNATIONAL INDUSTRIES, INC 318
2,300 HARMON INDUSTRIES, INC ............. 53
22,300 HARRIS CORP ........................ 817
7,300 HELIX TECHNOLOGY CORP .............. 95
9,700(degree)HMT TECHNOLOGY CORP ............... 124
1,600(degree)HOLOPHANE CORP .................... 41
16,350 HUBBELL, INC (CLASS B) ............. 621
6,300(degree)HUTCHINSON TECHNOLOGY, INC ........ 224
2,400 INNOVEX, INC ....................... 33
1,300(degree)INTEGRATED CIRCUIT SYSTEMS, INC ... 23
22,700(degree)INTEGRATED DEVICE TECHNOLOGY, INC . 139
2,300(degree)INTEGRATED SILICON SOLUTION, INC .. 7
509,170 INTEL CORP ......................... 60,368
6,800 INTER-TEL, INC ..................... 159
24,800(degree)INTERDIGITAL COMMUNICATIONS CORP .. 113
13,100(degree)INTERNATIONAL RECTIFIER CORP ...... 128
5,400(degree)INTERVOICE, INC ................... 186
700(degree)ITI TECHNOLOGIES, INC ............. 22
6,500(degree)ITRON, INC ........................ 47
6,200(degree)JABIL CIRCUIT, INC ................ 463
12,600 JUNO LIGHTING, INC ................. 295
16,400(degree)KEMET CORP ........................ 185
16,200(degree)KOMAG, INC ........................ 168
1,400(degree)KOPIN CORP ........................ 29
5,800 KUHLMAN CORP ....................... 220
1,000(degree)L-3 COMMINUCATIONS HOLDINGS, INC .. 47
6,800(degree)LATTICE SEMICONDUCTOR CORP ........ 312
10,400(degree)LEVEL ONE COMMUNICATIONS, INC ..... 369
22,600 LINEAR TECHNOLOGY CO ............... 2,024
9,800(degree)LITTLEFUSE, INC ................... 189
400(degree)LO-JACK CORP ...................... 5
41,372(degree)LSI LOGIC CORP .................... 667
13,000(degree)MAGNETEK, INC ..................... 150
34,900(degree)MAXIM INTEGRATED PRODUCTS ......... 1,525
26,000 MAYTAG CO .......................... 1,619
12,900(degree)MEMC ELECTRONIC MATERIALS, INC .... 110
9,600 METHODE ELECTRONICS, INC (CLASS A) . 150
3,700(degree)MICREL, INC ....................... 204
15,200(degree)MICROCHIP TECHNOLOGY, INC ......... 562
63,809(degree)MICRON TECHNOLOGY, INC ............ 3,226
9,900(degree)MMC NETWORKS, INC ................. 131
22,632 MOLEX, INC ......................... 863
1,400(degree)MOOG, INC (CLASS A) ............... 55
181,200 MOTOROLA, INC ...................... 11,065
6,300(degree)MRV COMMUNICATIONS, INC ........... 39
14,300(degree)MYLEX CORP ........................ 172
46,292(degree)NATIONAL SEMICONDUCTOR CORP ....... 625
11,700 NATIONAL SERVICE INDUSTRIES, INC ... 445
7,200(degree)NEOMAGIC CORP ..................... 159
12,607 NORTHERN TELECOMMUNICATIONS LTD (U.S.) 632
4,900(degree)OAK INDUSTRIES, INC ............... 172
6,800(degree)OAK TECHNOLOGY, INC ............... 24
49,100(degree)OIS OPTICAL IMAGING SYSTEMS, INC .. 0
12,100(degree)P-COM, INC ........................ 48
22,500(degree)PAIRGAIN TECHNOLOGIES, INC ........ 173
1,300 PARK ELECTROCHEMICAL CORP .......... 37
6,500(degree)PHOTRONICS, INC ................... 156
7,300(degree)PICTURETEL CORP ................... 48
7,400 PITTWAY CORP (CLASS A) ............. 245
4,100(degree)PLANTRONICS, INC .................. 353
3,000(degree)PLEXUS CORP ....................... 102
9,200(degree)PMC-SIERRA, INC ................... 581
3,000(degree)POLYCOM, INC ...................... 67
2,500(degree)POWERWAVE TECHNOLOGIES, INC ....... 47
1,392 PREMIER FARNELL PLC ADR ............ 7
6,100(degree)PREMISYS COMMUNICATIONS, INC ...... 56
3,300(degree)QLOGIC CORP ....................... 432
17,900(degree)QUALCOMM, INC ..................... 927
5,000(degree)RAMBUS, INC ....................... 481
23,400 RAYCHEM CORP ....................... 756
7,100(degree)RAYOVAC CORP ...................... 189
12,100(degree)READ RITE CORP .................... 179
3,000(degree)RECOTON CORP ...................... 54
15,800(degree)RELTEC CORP ....................... 351
11,700(degree)REMEC, INC ........................ 211
13,000(degree)S3, INC ........................... 96
13,090(degree)SANMINA CORP ...................... 818
3,100(degree)SAWTEK, INC ....................... 54
17,677(degree)SCI SYSTEMS, INC .................. 1,021
21,500 SCIENTIFIC-ATLANTA, INC ............ 490
3,200(degree)SCM MICROSYSTEMS, INC ............. 227
3,100(degree)SDL, INC .......................... 123
4,800(degree)SEMTECH CORP ...................... 172
28,200(degree)SENSORMATIC ELECTRONICS CORP ...... 196
1,100(degree)SILICONIX, INC .................... 23
5,600(degree)SIPEX CORP ........................ 197
8,400(degree)SMART MODULAR TECHNOLOGIES, INC ... 233
32,200(degree)SOLECTRON CORP .................... 2,993
10,600 STEWART & STEVENSON SERVICES, INC .. 103
33,526 SUNBEAM CORP ....................... 235
See notes to financial statements.
83
<PAGE>
EQUITY INDEX ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ -----
ELECTRONIC AND OTHER ELECTRIC EQUIPMENT--(CONTINUED)
3,100 TECHNITROL, INC .................... $ 99
9,600(degree)TEKELEC ........................... 159
10,300 TELEFLEX, INC ...................... 470
52,244(degree)TELLABS, INC ...................... 3,582
118,641 TEXAS INSTRUMENTS, INC ............. 10,151
15,205 THOMAS & BETTS CORP ................ 659
2,000 THOMAS INDUSTRIES, INC ............. 39
12,100(degree)UCAR INTERNATIONAL, INC ........... 216
11,300(degree)UNIPHASE CORP ..................... 784
6,700(degree)UNITRODE CORP ..................... 117
8,200(degree)VICOR CORP ........................ 74
3,800(degree)VIDEOSERVER, INC .................. 70
18,937(degree)VISHAY INTERTECHNOLOGY, INC ....... 275
21,600(degree)VITESSE SEMICONDUCTOR CORP ........ 986
11,900(degree)VLSI TECHNOLOGY, INC .............. 130
3,600(degree)WAVEPHORE, INC .................... 29
7,300(degree)WESTELL TECHNOLOGIES, INC (CLASS A) 36
20,000 WHIRLPOOL CORP ..................... 1,108
5,033(degree)WINDMERE-DURABLE HOLDINGS, INC .... 39
8,000(degree)WORLD ACCESS, INC ................. 171
19,800(degree)XILINX, INC ....................... 1,289
9,800(degree)XYLAN CORP ........................ 172
4,400 x(degree)ZENITH ELECTRONICS CORP ..... 1
2,400(degree)ZOLTEK COS, INC ................... 22
----------
256,885
----------
ENGINEERING AND MANAGEMENT SERVICES--0.25%
700(degree)AHL SERVICES, INC ................. 22
6,300 BLOUNT INTERNATIONAL, INC .......... 157
13,000(degree)CATALYTICA, INC ................... 234
24,800(degree)CORRECTIONS CORP OF AMERICA ....... 437
700 DAMES & MOORE GROUP ................ 9
1,700(degree)DATA TRANSMISSION NETWORK CORP .... 49
1,400(degree)DIAMOND TECH PARTNERS, INC (CLASS A) 27
47,348 DUN & BRADSTREET CORP .............. 1,494
21,300 EG & G, INC ........................ 592
2,300(degree)ENTREMED, INC ..................... 48
2,200(degree)F.Y.I., INC ....................... 70
8,581(degree)FIRST CONSULTING GROUP, INC ....... 176
14,000(degree)GARTNER GROUP, INC (CLASS A) ...... 298
3,100(degree)HAGLER BAILLY, INC ................ 62
6,800(degree)INCYTE PHARMACEUTICALS, INC ....... 254
6,100(degree)JACOBS ENGINEERING GROUP, INC ..... 249
1,200(degree)KENDLE INTERNATIONAL, INC ......... 28
3,000(degree)LASON, INC ........................ 175
1,000(degree)MAXIMUS, INC ...................... 37
19,700(degree)MEDAPHIS CORP ..................... 65
2,000(degree)META GROUP, INC ................... 60
4,200(degree)METZLER GROUP, INC ................ 204
15,100(degree)NEUROMEDICAL SYSTEMS, INC ......... 4
3,700(degree)NFO WORLDWIDE, INC ................ 43
1,800(degree)NICHOLS RESEARCH CORP ............. 38
6,600(degree)PAREXEL INTERNATIONAL CORP ........ 165
4,300(degree)PHARMACEUTICAL PRODUCT DEVELOPMENT 129
2,300(degree)PROBUSINESS SERVICES, INC ......... 105
3,300(degree)PROFIT RECOVERY GROUP INTERNATIONAL 124
16,300(degree)QUINTILES TRANSNATIONAL CORP ...... 870
10,600(degree)RENAISSANCE WORLDWIDE, INC ........ 65
72,550 SERVICEMASTER CO ................... 1,601
6,500(degree)STAFF LEASING, INC ................ 76
1,900(degree)SUPERIOR CONSULTANT HOLDINGS CORP . 83
1,200 TEJON RANCH CO ..................... 24
8,250(degree)TETRA TECH, INC ................... 223
2,500(degree)URS CORP .......................... 58
3,000(degree)WACKENHUT CORRECTIONS CORP ........ 86
7,300(degree)WHITTMAN HART, INC ................ 202
----------
8,643
----------
FABRICATED METAL PRODUCTS--0.81%
1,676(degree)ALLTRISTA CORP .................... 40
219 AMCAST INDUSTRIAL CORP ............. 4
3,500(degree)AMERICAN SAFETY RAZOR CO .......... 42
12,239 BALL CORP .......................... 560
2,652 BARNES GROUP, INC .................. 77
745 CHART INDUSTRIES, INC .............. 6
7,400(degree)COLEMAN CO, INC ................... 68
16,725 CRANE CO ........................... 505
29,853 CROWN CORK & SEAL CO, INC .......... 920
339,922 GILLETTE CO ........................ 16,422
5,500(degree)GRIFFON CORP ...................... 58
1,400(degree)GULF ISLAND FABRICATION, INC ...... 11
12,200 HARSCO CORP ........................ 371
19,413 MARK IV INDUSTRIES, INC ............ 252
100,622 MASCO CORP ......................... 2,893
1,500(degree)MATERIAL SCIENCES CORP ............ 13
7,400(degree)MILLER INDUSTRIES, INC ............ 33
3,000(degree)NCI BUILDING SYSTEMS, INC ......... 84
2,300(degree)NORTEK, INC ....................... 64
30,075 PARKER-HANNIFIN CORP ............... 985
3,550 PRIMEX TECHNOLOGIES, INC ........... 151
46,044 ROCKWELL INTERNATIONAL CORP ........ 2,236
40,700(degree)ROHN INDUSTRIES, INC .............. 140
5,500(degree)SILGAN HOLDINGS, INC .............. 153
15,650 SNAP-ON, INC ....................... 545
2,200(degree)SPS TECHNOLOGIES, INC ............. 125
18,400 STANLEY WORKS CO ................... 511
6,700 STRUM, RUGER & CO, INC ............. 80
13,800(degree)TOWER AUTOMOTIVE, INC ............. 344
6,700 VALMONT INDUSTRIES ................. 93
5,600 WATTS INDUSTRIES, INC (CLASS A) .... 93
7,700(degree)WYMAN-GORDON CO ................... 79
----------
27,958
----------
FISHING, HUNTING, AND TRAPPING--0.00%
2,500(degree)ZAPATA CORP ....................... 31
----------
FOOD AND KINDRED PRODUCTS--3.96%
12,200(degree)AGRIBIOTECH, INC .................. 158
5,160(degree)AGRIBRANDS INTERNATIONAL, INC ..... 155
4,200(degree)AMERICAN ITALIAN PASTA CO (CLASS A) 111
137,666 ANHEUSER BUSCH COS, INC ............ 9,034
174,800 ARCHER DANIELS MIDLAND CO .......... 3,004
5,200 (degree)BERINGER WINE ESTATES HOLDINGS, INC
(CLASS B) ......................... 232
86,245 BESTFOODS, INC ..................... 4,593
4,105(degree)BOSTON BEER CO, INC (CLASS A) ..... 35
14,750 BROWN FORMAN, INC (CLASS B) ........ 1,116
4,000(degree)BUSH BOAKE ALLEN, INC ............. 141
66,551 CAMPBELL SOUP CO ................... 3,660
4,600 (degree)CANANDAIGUA BRANDS, INC (CLASS A) 266
14,200 CHIQUITA BRANDS INTERNATIONAL, INC . 136
1,100 COCA COLA BOTTLING CO CONSOLIDATED . 63
693,794 COCA COLA CO ....................... 46,397
67,400 COCA COLA ENTERPRISES, INC ......... 2,410
146,373 CONAGRA, INC ....................... 4,611
10,000 COORS (ADOLPH) CO (CLASS B) ........ 564
See notes to financial statements.
84
<PAGE>
EQUITY INDEX ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ -----
FOOD AND KINDRED PRODUCTS--(CONTINUED)
12,675 CORN PRODUCTS INTERNATIONAL, INC ... $ 385
11,200 DEAN FOODS CO ...................... 457
14,300 DOLE FOOD, INC ..................... 429
9,500 DREYERS GRAND ICE CREAM, INC ....... 144
15,860 EARTHGRAINS CO ..................... 491
100 FARMER BROTHERS CO ................. 21
28,350 FLOWERS INDUSTRIES, INC ............ 679
46,411 GENERAL MILLS, INC ................. 3,608
2,600(degree)HAIN FOOD GROUP, INC .............. 65
102,709 HEINZ (H.J.) CO .................... 5,816
27,737 HERSHEY FOODS CORP ................. 1,725
11,800 HORMEL FOODS CORP .................. 386
23,500 IBP, INC ........................... 684
6,800(degree)INTERNATIONAL HOME FOODS, INC ..... 115
11,100 INTERSTATE BAKERIES CORP ........... 293
5,900(degree)KEEBLER FOODS CO .................. 222
65,600 KELLOGG CO ......................... 2,239
10,050 LANCASTER COLONY CORP .............. 323
6,300 LANCE, INC ......................... 126
21,100 MCCORMICK & CO, INC (NON-VOTE) ..... 713
7,200 MICHAEL FOODS, INC ................. 216
17,500 NABISCO HOLDINGS CORP (CLASS A) .... 726
446,005 PEPSICO, INC ....................... 18,258
40,200 QUAKER OATS CO ..................... 2,392
10,500(degree)RALCORP HOLDINGS, INC ............. 192
83,000 RALSTON PURINA CO .................. 2,687
1,200 RIVIANA FOODS, INC ................. 30
97,883 RJR NABISCO HOLDINGS CORP .......... 2,906
2,500(degree)ROBERT MONDAVI CORP (CLASS A) ..... 102
276,000 SARA LEE CORP ...................... 7,780
9,100(degree)SMITHFIELD FOODS, INC ............. 308
6,800 SMUCKER (J.M.) CO (CLASS A) ........ 168
10,400(degree)SUIZA FOODS CORP .................. 530
100 TCBY ENTERPRISES, INC .............. 1
8,532 TOOTSIE ROLL INDUSTRIES, INC ....... 334
3,800(degree)TRIARC COS, INC ................... 61
34,500 TYSON FOODS, INC ................... 733
21,400 UNIVERSAL FOODS CORP ............... 587
6,800(degree)VLASIC FOODS INTERNATIONAL, INC ... 162
28,900 WHITMAN CORP ....................... 733
7,553(degree)WLR FOODS, INC .................... 68
1,200 WORTHINGTON FOODS, INC ............. 23
24,300 WRIGLEY (WM) JR CO ................. 2,176
----------
136,780
----------
FOOD STORES--0.76%
64,589 ALBERTSONS, INC 4,114
81,246 AMERICAN STORES CO ................. 3,001
102,500 FOOD LION, INC (CLASS B) ........... 1,031
21,400(degree)GENERAL NUTRITION COS, INC ........ 348
8,000 GREAT ATLANTIC & PACIFIC TEA CO, INC 237
13,900 HANNAFORD BROTHERS, INC ............ 737
68,231(degree)KROGER CO ......................... 4,128
15,100 RUDDICK CORP ....................... 347
146,822(degree)SAFEWAY, INC ...................... 8,947
42,200(degree)SOUTHLAND CORP .................... 80
25,200(degree)STARBUCKS CORP .................... 1,414
3,400 WEIS MARKETS, INC .................. 132
8,000(degree)WHOLE FOODS MARKET, INC ........... 387
2,900(degree)WILD OATS MARKETS, INC ............ 91
25,936 WINN DIXIE STORES, INC ............. 1,164
----------
26,158
----------
FORESTRY--0.03%
27,000 GEORGIA-PACIFIC CORP (TIMBER GROUP) $ 643
8,400 RAYONIER, INC ...................... 386
----------
1,029
----------
FURNITURE AND FIXTURES--0.14%
3,300 BASSETT FURNITURE INDUSTRIES, INC .. 80
1,861 BUSH INDUSTRIES, INC (CLASS A) ..... 23
7,800 ETHAN ALLEN INTERIORS, INC ......... 320
14,600(degree)FURNITURE BRANDS INTERNATIONAL, INC 398
15,100 HON INDUSTRIES, INC ................ 361
10,000 KIMBALL INTERNATIONAL, INC (CLASS B) 190
3,300(degree)KNOLL, INC ........................ 98
13,100 LA-Z-BOY, INC ...................... 233
18,852(degree)LEAR CORP ......................... 726
55,420 LEGGETT & PLATT, INC ............... 1,219
23,800 MILLER (HERMAN), INC ............... 640
4,503(degree)OSULLIVAN INDUSTRIES HOLDINGS, INC 47
2,300 STEELCASE, INC ..................... 38
26,800 U.S. INDUSTRIES, INC ............... 499
----------
4,872
----------
FURNITURE AND HOMEFURNISHINGS STORES--0.23%
29,400(degree)BED BATH & BEYOND, INC ............ 1,003
23,800(degree)BEST BUY, INC ..................... 1,461
13,500(degree)BOMBAY, INC ....................... 75
2,100(degree)CDNOW, INC ........................ 38
27,915 CIRCUIT CITY STORES-CIRCUIT CITY GROUP 1,394
8,900(degree)COMPUCOM SYSTEMS, INC ............. 31
31,500(degree)COMPUSA, INC ...................... 411
4,500(degree)GUITAR CENTER, INC ................ 111
1,000 HAVERTY FURNITURE COS, INC ......... 21
21,100 HEILIG MEYERS CO ................... 141
3,100(degree)INACOM CORP ....................... 46
18,200(degree)LINENS N THINGS, INC .............. 721
3,892(degree)MAXIM GROUP, INC .................. 93
9,078(degree)MUSICLAND STORES CORP ............. 136
3,100(degree)N2K, INC .......................... 40
29,055 PIER 1 IMPORTS, INC ................ 281
29,500 TANDY CORP ......................... 1,215
4,200(degree)TRANS WORLD ENTERTAINMENT CORP .... 80
11,900(degree)WILLIAMS-SONOMA, INC .............. 480
----------
7,778
----------
GENERAL BUILDING CONTRACTORS--0.12%
17,078 CENTEX CORP ........................ 770
3,000(degree)CROSSMAN COMMUNITIES, INC ......... 83
13,337 HILLENBRAND INDUSTRIES, INC ........ 759
9,200 HORTON (D.R.), INC ................. 212
13,700 KAUFMAN & BROAD HOME CORP .......... 394
13,350 LENNAR CORP ........................ 337
2,900 MDC HOLDINGS, INC .................. 62
1,700(degree)NVR, INC .......................... 81
13,600 PULTE CORP ......................... 378
2,300 RYLAND GROUP, INC .................. 66
7,715 STANDARD-PACIFIC CORP .............. 109
15,800(degree)TOLL BROTHERS, INC ................ 356
5,413(degree)U.S. HOME CORP .................... 180
12,900(degree)WALTER INDUSTRIES, INC ............ 198
5,333 WEBB (DEL) CORP .................... 147
----------
4,132
----------
See notes to financial statements.
85
<PAGE>
EQUITY INDEX ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ -----
GENERAL MERCHANDISE STORES--2.24%
5,000(degree)99 CENTS ONLY STORES .............. $ 246
6,800(degree)AMES DEPARTMENT STORES, INC ....... 184
11,000(degree)BJS WHOLESALE CLUB, INC ........... 509
1,300x(degree)CALDOR CORP ...................... 1
24,000 CASEYS GENERAL STORES, INC ......... 313
33,203(degree)CONSOLIDATED STORES CORP .......... 670
2,000(degree)COST PLUS, INC .................... 63
64,900(degree)COSTCO COS, INC ................... 4,685
132,700 DAYTON HUDSON CORP ................. 7,199
29,400 DILLARDS, INC (CLASS A) ............ 834
49,326 DOLLAR GENERAL CORP ................ 1,165
14,925(degree)DOLLAR TREE STORES, INC ........... 652
2,400(degree)ELDER BEERMAN STORES CORP ......... 28
39,800 FAMILY DOLLAR STORES, INC .......... 876
60,813(degree)FEDERATED DEPARTMENT STORES, INC .. 2,649
46,346(degree)FRED MEYER, INC ................... 2,792
2,000 FREDS, INC ......................... 30
15,700 HARCOURT GENERAL, INC .............. 835
11,700(degree)HOMEBASE, INC ..................... 75
146,598(degree)K MART CORP ....................... 2,245
42,500(degree)KOHLS CORP ........................ 2,611
69,200 MAY DEPARTMENT STORES CO ........... 4,178
14,500(degree)NEIMAN-MARCUS GROUP, INC .......... 362
65,898 PENNEY (J.C.) CO, INC .............. 3,089
41,703(degree)SAKS, INC ......................... 1,316
110,070 SEARS ROEBUCK & CO ................. 4,678
32,100(degree)SERVICE MERCHANDISE, INC .......... 9
13,400(degree)SHOPKO STORES, INC ................ 446
2,100(degree)VALUE CITY DEPARTMENT STORES, INC . 29
36,700(degree)VENATOR GROUP, INC ................ 236
421,121 WAL-MART STORES, INC ............... 34,295
----------
77,300
----------
HEALTH SERVICES--0.61%
1,800(degree)ADVANCE PARADIGM, INC ............. 63
38,880 ALLEGIANCE CORP .................... 1,813
700(degree)AMERICAN HOMEPATIENT, INC ......... 1
7,700(degree)AMERICAN ONCOLOGY RESOURCES, INC .. 112
7,100(degree)AMERICAN RETIREMENT CORP .......... 111
6,500(degree)AMERIPATH, INC .................... 58
1,600(degree)APPLIED ANALYTICAL INDUSTRIES, INC 28
14,200(degree)APRIA HEALTHCARE GROUP, INC ....... 127
4,200(degree)ASSISTED LIVING CONCEPTS, INC ..... 55
28,272(degree)BEVERLY ENTERPRISES, INC .......... 191
3,836(degree)CAREMATRIX CORP ................... 117
1,700(degree)CENTENNIAL HEALTHCARE CORP ........ 26
9,400(degree)CLINTRIALS, INC ................... 37
35,700(degree)COASTAL PHYSICIAN GROUP, INC ...... 12
186,962 COLUMBIA/HCA HEALTHCARE CORP ....... 4,627
20,800(degree)CONCENTRA MANAGED CARE, INC ....... 222
26,778(degree)CORAM HEALTHCARE CORP ............. 50
17,550(degree)COVANCE, INC ...................... 511
14,300(degree)COVENTRY HEALTH CARE, INC ......... 126
3,000(degree)CURATIVE HEALTH SERVICES, INC ..... 101
13,284(degree)ENZO BIOCHEMICAL, INC ............. 137
9,700(degree)EXPRESS SCRIPTS, INC .............. 651
5,400x(degree)FPA MEDICAL MANAGEMENT, INC ...... 0
11,000(degree)GENESIS HEALTH VENTURES, INC ...... 96
23,750(degree)HCR MANOR CARE .................... 698
65,703(degree)HEALTH MANAGEMENT ASSOCIATES, INC
(CLASS A) NEW ..................... 1,421
127,309(degree)HEALTHSOUTH CORP .................. 1,965
2,700 HOOPER HOLMES, INC ................. 78
1,200(degree)IMPATH, INC ....................... 32
20,048(degree)INTEGRATED HEALTH SERVICES, INC ... 283
20,080(degree)LABORATORY CORP OF AMERICA HOLDINGS 28
244(degree)LABORATORY CORP OF AMERICA HOLDINGS
WTS 04/28/00 ...................... 0
1,222(degree)LCA-VISION, INC ................... 2
14,600(degree)LINCARE HOLDINGS, INC ............. 592
190(degree)LTC HEALTHCARE, INC ............... 0
9,400(degree)MAGELLAN HEALTH SERVICES, INC ..... 79
33,899(degree)MARINER POST-ACUTE NETWORK, INC ... 155
58,119(degree)MEDPARTNERS, INC .................. 305
100(degree)NATIONAL HEALTHCARE CORP .......... 2
16,900(degree)NOVACARE, INC ..................... 42
9,000(degree)ORTHODONTIC CENTERS OF AMERICA, INC 175
4,200(degree)PEDIATRIX MEDICAL GROUP, INC ...... 252
26,525(degree)PHYCOR, INC ....................... 181
8,300(degree)PHYMATRIX CORP .................... 18
6,400(degree)PHYSICIAN RELIANCE NETWORK, INC ... 84
12,900(degree)PHYSICIANS RESOURCE GROUP, INC .... 1
1,600(degree)PROVINCE HEALTHCARE CO ............ 57
20,925(degree)PSS WORLD MEDICAL, INC ............ 481
16,875(degree)QUEST DIAGNOSTICS, INC ............ 301
21,950(degree)QUORUM HEALTH GROUP, INC .......... 284
12,300(degree)RENAL CARE GROUP, INC ............. 354
19,700(degree)SUN HEALTHCARE GROUP, INC ......... 129
91,473(degree)TENET HEALTHCARE CORP ............. 2,401
20,610(degree)TOTAL RENAL CARE HOLDINGS, INC .... 609
2,800(degree)UNITED PAYORS & UNITED PROVIDERS, INC 80
10,200(degree)UNIVERSAL HEALTH SERVICES, INC .... 529
12,615(degree)VENCOR, INC ....................... 57
----------
20,947
----------
HEAVY CONSTRUCTION, EXCEPT BUILDING--0.05%
2,900(degree)DYCOM INDUSTRIES, INC ............. 166
21,052 FLUOR CORP ......................... 896
12,600 FOSTER WHEELER CORP ................ 166
4,000 GRANITE CONSTRUCTION, INC .......... 134
7,200(degree)INSITUFORM TECHNOLOGIES, INC (CLASS A) 104
2,700(degree)MASTEC, INC ....................... 57
6,984(degree)MORRSION KNUDSEN CORP ............. 68
3,800(degree)OMNIAMERICA, INC .................. 122
----------
1,713
----------
HOLDING AND OTHER INVESTMENT OFFICES--1.09%
700(degree)ALEXANDERS, INC ................... 55
27,500 AMB PROPERTY CORP .................. 605
2,500(degree)AMERCO ............................ 70
11,400 AMERICAN HEALTH PROPERTIES, INC .... 235
2,900(degree)ANTHRACITE CAPITAL, INC ........... 23
29,800 APARTMENT INVESTMENT &
MANAGEMENT CO ..................... 1,108
63,279 ARCHSTONE COMMUNITIES TRUST ........ 1,281
2,200(degree)ASSOCIATED ESTATES REALTY CORP .... 26
26,522 AVALONBAY COMMUNITIES, INC ......... 908
1,500 BEDFORD PROPERTY INVESTORS, INC .... 25
11,600 BOSTON PROPERTIES, INC ............. 354
2,300(degree)BOYKIN LODGING CO ................. 28
3,870 BRADLEY REAL ESTATE, INC ........... 79
8,000 BRANDYWINE REALTY TRUST ............ 143
15,000 BRE PROPERTIES, INC (CLASS A) ...... 371
3,200 BURNHAM PACIFIC PROPERTIES, INC .... 39
23,900 CAMDEN PROPERTY TRUST .............. 621
3,400 CAPITAL AUTOMOTIVE REIT ............ 51
42,272 CAPSTEAD MORTGAGE CORP ............. 174
See notes to financial statements.
86
<PAGE>
EQUITY INDEX ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ -----
HOLDING AND OTHER INVESTMENT OFFICES--(CONTINUED)
17,600 CARRAMERICA REALTY CORP ............ $ 422
9,400 CBL & ASSOCIATES PROPERTIES, INC ... 243
5,000 CCA PRISON REALTY TRUST ............ 103
1,400 CENTERPOINT PROPERTIES CORP ........ 47
1,000(degree)CENTERTRUST RETAIL PROPERTIES, INC 12
1,300(degree)CHARLES E. SMITH RESIDENTIAL REALTY 42
13,900 CHATEAU PROPERTIES, INC ............ 407
1,600 CHELSEA GCA REALTY, INC ............ 57
6,600(degree)COAST FEDERAL LITIGATION
CONTINGENT RTS .................... 44
9,500 COLONIAL PROPERTIES TRUST .......... 253
26,900 CORNERSTONE PROPERTIES, INC ........ 420
10,072 COUSINS PROPERTIES, INC ............ 325
36,100 CRESCENT REAL ESTATE EQUITIES CO ... 830
1,040(degree)CRESECENT OPERATING, INC .......... 5
16,091 xCRIIMI MAE, INC .................... 56
24,800 DEVELOPERS DIVERSIFIED REALTY CORP . 440
33,684 DUKE REALTY INVESTMENTS, INC ....... 783
23,553 DYNEX CAPITAL, INC ................. 109
2,000 ENTERTAINMENT PROPERTIES TRUST ..... 34
3,600 EQUITY INNS, INC ................... 35
67,909 EQUITY OFFICE PROPERTIES TRUST ..... 1,630
31,968 EQUITY RESIDENTIAL PROPERTIES TRUST CO 1,293
13,400 FEDERAL REALTY INVESTMENT TRUST .... 317
29,604 FELCOR LODGING TRUST, INC .......... 683
17,300 FIRST INDUSTRIAL REALTY TRUST, INC . 464
3,200(degree)FIRST UNION REAL ESTATE INVESTMENTS 19
22,852 FRANCHISE FINANCE CORP OF AMERICA .. 548
2,900 GABLES RESIDENTIAL TRUST ........... 67
10,500 GENERAL GROWTH PROPERTIES, INC ..... 398
1,300(degree)GETTY REALTY HOLDINGS CORP ........ 19
10,500 GLENBOROUGH REALTY TRUST, INC ...... 214
12,100 GLIMCHER REALTY TRUST .............. 190
500 GOLF TRUST OF AMERICA, INC ......... 14
900 GREAT LAKES REIT, INC .............. 14
10,200 HEALTH CARE PROPERTY INVESTORS, INC 314
6,142 HEALTH CARE REIT, INC .............. 159
9,200 HEALTHCARE REALTY TRUST, INC ....... 205
26,000 HIGHWOODS PROPERTIES, INC .......... 670
2,400(degree)HOME PROPERTIES OF NEW YORK, INC .. 62
15,600 HOSPITALITY PROPERTIES TRUST ....... 376
46,200 HRPT PROPERTIES TRUST .............. 650
1,800(degree)IMPAC MORTGAGE HOLDINGS, INC ...... 8
6,700 IMPERIAL CREDIT COMMERCIAL
MORTGAGE INVESTMENT CORP .......... 63
45,546 INDYMAC MORTGAGE HOLDINGS, INC ..... 481
3,800 INNKEEPERS U.S.A. TRUST ............ 45
2,300 IRT PROPERTY CO .................... 23
3,800 IRVINE APARTMENT COMMUNITIES, INC .. 121
12,150 JDN REALTY CORP .................... 262
11,200 KILROY REALTY CORP ................. 258
18,450 KIMCO REALTY CORP .................. 732
2,700 KOGER EQUITY, INC .................. 46
2,200 LEXINGTON CORPORATE
PROPERTIES TRUST .................. 28
29,200 LIBERTY PROPERTY TRUST CO .......... 719
3,300 LTC PROPERTIES, INC ................ 55
11,700 MACERICH CO ........................ 300
18,700 MACK-CALI REALTY CORP .............. 577
8,800 MANUFACTURED HOME
COMMUNITIES, INC .................. 221
36,163 MEDITRUST CORP PAIRED .............. 547
4,300 MERIDIAN INDUSTRIAL TRUST, INC ..... 101
13,900 MERISTAR HOSPITALITY CORP .......... 258
676(degree)MERRY LAND PROPERTIES, INC ........ 2
600 MGI PROPERTIES, INC ................ 17
2,400 MILLS CORP ......................... 48
1,900 NATIONAL GOLF PROPERTIES, INC ...... 55
7,400 NATIONAL HEALTH INVESTORS, INC ..... 183
17,100 NATIONWIDE HEALTH PROPERTIES, INC .. 369
30,291 NEW PLAN EXCEL REALTY TRUST ........ 672
7,300 OMEGA HEALTHCARE INVESTORS, INC .... 220
700 PARKWAY PROPERTIES, INC ............ 22
38,282 PATRIOT AMERICAN HOSPITALITY, INC .. 230
7,000(degree)PEC ISRAEL ECONOMIC CORP .......... 201
13,900 POST PROPERTIES, INC ............... 534
21,600 PRENTISS PROPERTIES TRUST .......... 482
2,800 PRIME RETAIL, INC .................. 27
21,263 PROLOGIS TRUST ..................... 441
3,100 PS BUSINESS PARKS, INC ............. 74
33,500 PUBLIC STORAGE, INC ................ 907
20,700 REALTY INCOME CORP ................. 515
11,700 RECKSON ASSOCIATES REALTY CORP ..... 260
5,303 REDWOOD TRUST, INC ................. 74
11,700 RFS HOTEL INVESTORS, INC ........... 143
10,700 SHURGARD STORAGE CENTERS, INC ...... 276
40,356 SIMON PROPERTY GROUP, INC .......... 1,150
3,800 SL GREEN REALTY CORP ............... 82
700(degree)SOVRAN SELF STORAGE, INC .......... 18
22,500 SPIEKER PROPERTIES, INC ............ 779
14,700 STARWOOD FINANCIAL TRUST ........... 882
53,806 STARWOOD HOTELS & RESORTS TRUST .... 1,221
3,200(degree)STORAGE TRUST REALTY .............. 75
11,400 STORAGE U.S.A., INC ................ 368
700(degree)SUMMIT PROPERTIES, INC ............ 12
500 SUN COMMUNITIES, INC ............... 17
7,548 SUNSTONE HOTEL INVESTORS, INC ...... 71
500 TANGER FACTORY OUTLET CENTERS, INC . 11
17,000 TAUBMAN CENTERS, INC ............... 234
2,500(degree)THORNBURG MORTGAGE ASSET CORP ..... 19
1,800 TOWER REALTY TRUST, INC ............ 36
1,000 TOWN & COUNTRY TRUST ............... 16
6,700 TRINET CORPORATE REALTY TRUST, INC . 179
2,100 U.S. RESTAURANT PROPERTIES, INC .... 51
55,918 UNITED DOMINION REALTY TRUST, INC .. 577
1,000 URBAN SHOPPING CENTERS, INC ........ 33
17,315(degree)VENTAS, INC ....................... 211
975(degree)VORNADO OPERATING CO .............. 8
19,500 VORNADO REALTY TRUST ............... 658
1,600(degree)WALDEN RESIDENTIAL PROPERTIES, INC 33
21,400 WASHINGTON REAL ESTATE
INVESTMENT TRUST .................. 399
3,600 WEEKS CORP ......................... 101
8,900 WEINGARTEN REALTY INVESTORS, INC ... 397
8,100(degree)WELLSFORD REAL PROPERTIES, INC .... 84
2,700 WESTERN INVESTMENT REAL
ESTATE TRUST ...................... 32
13,000 WESTFIELD AMERICA, INC ............. 224
----------
37,744
----------
HOTELS AND OTHER LODGING PLACES--0.25%
9,300(degree)AZTAR CORP ........................ 47
4,675(degree)BRISTOL HOTELS & RESORTS, INC ..... 29
258,667(degree)CENDANT CORP ...................... 4,931
14,600(degree)CHOICE HOTELS INTERNATIONAL, INC .. 200
24,676(degree)CIRCUS CIRCUS ENTERPRISES, INC .... 282
4,510(degree)CRESTLINE CAPITAL CORP ............ 66
See notes to financial statements.
87
<PAGE>
EQUITY INDEX ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ -----
HOTELS AND OTHER LODGING PLACES--(CONTINUED)
17,800(degree)EXTENDED STAY AMERICA, INC ........ $ 187
54,302 HILTON HOTELS CORP ................. 1,039
9,046(degree)HOMESTEAD VILLAGE, INC ............ 41
7,000(degree)LODGIAN, INC ...................... 34
1,500(degree)MARCUS CORP ....................... 24
13,900(degree)MERISTAR HOTELS & RESORTS, INC .... 36
3,171(degree)MGM GRAND, INC .................... 86
3,600(degree)PRIMADONNA RESORTS, INC ........... 32
21,300(degree)PRIME HOSPITALITY CORP ............ 225
24,287(degree)PROMUS HOTEL CORP ................. 786
8,500(degree)RED ROOF INNS, INC ................ 143
500(degree)SUBURBAN LODGES OF AMERICA, INC ... 4
7,833(degree)SUNBURST HOSPITALITY CORP ......... 33
7,700(degree)SUNTERRA CORP ..................... 116
5,100(degree)TRUMP HOTEL & CASINO RESORT, INC .. 19
7,600(degree)VAIL RESORTS, INC ................. 167
3,900(degree)VISTANA, INC ...................... 55
----------
8,582
----------
INDUSTRIAL MACHINERY AND EQUIPMENT--7.25%
108,240(degree)3COM CORP ......................... 4,851
7,200(degree)3DFX INTERACTIVE, INC ............. 91
31,450(degree)ADAPTEC, INC ...................... 552
1,000(degree)AG-CHEM EQUIPMENT CO, INC ......... 11
21,000 AGCO CORP .......................... 165
2,376 ALAMO GROUP, INC ................... 27
2,200 ALLIED PRODUCTS CORP ............... 14
19,927(degree)AMERICAN STANDARD COS, INC ........ 717
4,000(degree)APEX PC SOLUTIONS, INC ............ 116
40,100(degree)APPLE COMPUTER, INC ............... 1,642
111,260(degree)APPLIED MATERIALS, INC ............ 4,749
13,820 APPLIED POWER, INC (CLASS A) ....... 522
1,400(degree)ASTEC INDUSTRIES, INC ............. 78
2,300(degree)ASYST TECHNOLOGIES, INC ........... 47
4,700(degree)ATMI, INC ......................... 119
12,600(degree)AUSPEX SYSTEMS, INC ............... 55
10,100(degree)AUTOTOTE CORP (CLASS A) ........... 20
85,135 BAKER HUGHES, INC .................. 1,506
10,500(degree)BANCTEC, INC ...................... 132
3,900(degree)BELL & HOWELL CO .................. 147
26,273 BLACK & DECKER CORP ................ 1,473
5,900(degree)BLACK BOX CORP .................... 223
29,093 BRUNSWICK CORP ..................... 720
10,100(degree)C-CUBE MICROSYSTEMS, INC .......... 274
37,576(degree)CABLETRON SYSTEMS, INC ............ 315
2,238 CASCADE CORP ....................... 35
21,000 CASE CORP .......................... 458
108,808 CATERPILLAR, INC ................... 5,005
18,400(degree)CIRRUS LOGIC, INC ................. 181
477,755(degree)CISCO SYSTEMS, INC ................ 44,342
14,100(degree)COLTEC INDUSTRIES, INC ............ 275
2,700 COLUMBUS MCKINNON CORP ............. 49
517,710 COMPAQ COMPUTER CORP ............... 21,711
14,414(degree)COOPER CAMERON CORP ............... 353
20,500(degree)COPYTELE, INC ..................... 26
9,800 CUMMINS ENGINE CO, INC ............. 348
2,200(degree)CUNO, INC ......................... 36
2,500(degree)CYLINK CORP ....................... 9
16,400(degree)DATA GENERAL CORP ................. 270
71,217 DEERE & CO ......................... 2,359
326,180(degree)DELL COMPUTER CORP ................ 23,872
5,100(degree)DETROIT DIESEL CORP ............... 106
2,100(degree)DIALOGIC CORP ..................... 41
7,500(degree)DIAMOND MULTIMEDIA SYSTEMS, INC ... 48
19,875 DIEBOLD, INC ....................... 709
3,000(degree)DIGI INTERNATIONAL, INC ........... 33
10,000 DONALDSON CO, INC .................. 208
65,500 DOVER CORP ......................... 2,399
400(degree)DRIL-QUIP, INC .................... 7
2,600 DT INDUSTRIES, INC ................. 41
8,500(degree)ELECTROGLAS, INC .................. 100
151,138(degree)EMC CORP .......................... 12,847
6,700(degree)ENCAD, INC ........................ 24
2,700(degree)ESTERLINE CORP .................... 59
6,100(degree)ETEC SYSTEMS, INC ................. 244
17,300(degree)EXABYTE CORP ...................... 95
4,600(degree)FEDDERS CORP ...................... 27
13,705 FLOWSERVE CORP ..................... 227
11,000(degree)FSI INTERNATIONAL, INC ............ 114
800(degree)GARDNER DENVER, INC ............... 12
20,730(degree)GATEWAY 2000, INC ................. 1,061
300(degree)GLEASON CORP ...................... 5
15,100(degree)GLOBAL INDUSTRIAL TECHNOLOGIES, INC 161
5,550 GRACO, INC ......................... 164
15,200 HARNISCHFEGER INDUSTRIES, INC ...... 155
267,267 HEWLETT-PACKARD CO ................. 18,258
3,000(degree)HORIZON OFFSHORE, INC ............. 17
18,800 HUSSMANN INTERNATIONAL, INC ........ 364
100(degree)HYPERCOM CORP ..................... 1
7,900 IDEX CORP .......................... 194
11,100(degree)IN FOCUS SYSTEMS, INC ............. 99
47,800 INGERSOLL-RAND CO .................. 2,244
5,900(degree)INTEGRATED PROCESS EQUIPMENT CORP . 63
282,428 *INTERNATIONAL BUSINESS MACHINES CORP 52,179
82,061(degree)IOMEGA CORP ....................... 600
6,200(degree)IONICS, INC ....................... 186
12,100 JLG INDUSTRIES, INC ................ 189
500(degree)JTS CORP .......................... 0
9,800 KAYDON CORP ........................ 393
10,013 KENNAMETAL, INC .................... 213
1,700(degree)KRONOS, INC ....................... 75
6,600(degree)KULICHE & SOFFA INDUSTRIES, INC ... 117
10,700(degree)LAM RESEARCH CORP ................. 191
18,300(degree)LEXMARK INTERNATIONAL GROUP (CLASS A) 1,839
6,200 LINCOLN ELECTRIC HOLDINGS CO ....... 138
1,600 LINDSAY MANUFACTURING CO ........... 24
4,900 MANITOWOC, INC ..................... 217
9,700(degree)MICRON ELECTRONICS, INC ........... 168
3,900(degree)MICROS SYSTEMS, INC ............... 128
9,900 MILACRON, INC ...................... 191
120,700 MINNESOTA MINING & MANUFACTURING CO 8,585
4,700(degree)MTI TECHNOLOGY CORP ............... 21
2,600 NACCO INDUSTRIES, INC (CLASS A) .... 239
4,200(degree)NATIONAL INSTRUMENTS CORP ......... 143
7,500(degree)NETWORK EQUIPMENT TECHNOLOGIES, INC 77
3,900 NORDSON CORP ....................... 200
10,000(degree)NOVELLUS SYSTEMS, INC ............. 495
4,100 OMNIQUIP INTERNATIONAL, INC ........ 62
35,200 PALL CORP .......................... 891
8,625(degree)PAXAR CORP ........................ 77
10,800 PENTAIR, INC ....................... 430
81,400 PITNEY BOWES, INC .................. 5,377
6,700(degree)PRESSTEK, INC ..................... 46
4,500(degree)PRI AUTOMATION, INC ............... 117
44,735(degree)QUANTUM CORP ...................... 951
See notes to financial statements.
88
<PAGE>
EQUITY INDEX ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ -----
INDUSTRIAL MACHINERY AND EQUIPMENT--(CONTINUED)
8,500 ROPER INDUSTRIES, INC .............. $ 173
6,400(degree)SANDISK CORP ...................... 90
72,917(degree)SEAGATE TECHNOLOGY, INC ........... 2,206
11,750(degree)SECURITY DYNAMICS TECHNOLOGIES, INC 270
12,200(degree)SEQUENT COMPUTER SYSTEMS, INC ..... 147
6,000(degree)SHIVA CORP ........................ 34
53,068(degree)SILICON GRAPHICS, INC ............. 683
8,800(degree)SILICON VALLEY GROUP, INC ......... 112
6,050(degree)SLI, INC .......................... 168
14,600(degree)SMITH INTERNATIONAL, INC .......... 368
1,200(degree)SPECIALTY EQUIPMENT COS, INC ...... 32
2,600(degree)SPEEDFAM INTERNATIONAL, INC ....... 45
7,300(degree)SPLASH TECHNOLOGY HOLDINGS, INC ... 54
10,900 STANDEX INTERNATIONAL CORP ......... 286
29,200(degree)STORAGE TECHNOLOGY CORP ........... 1,038
17,250 SYMBOL TECHNOLOGIES, INC ........... 1,103
8,400 TECUMSEH PRODUCTS CO (CLASS A) ..... 392
6,800(degree)TELXON CORP ....................... 94
2,000 TENNANT CO ......................... 80
46,030 TENNECO, INC ....................... 1,568
5,460(degree)TEREX CORP ........................ 156
3,700(degree)THERMO FIBERTEK, INC .............. 26
12,963 TIMKEN CO .......................... 245
4,400 TORO CO ............................ 125
27,706 TYCO INTERNATIONAL LTD ............. 2,090
48,756(degree)U.S. FILTER CORP .................. 1,115
3,700(degree)ULTRATECH STEPPER, INC ............ 59
77,274(degree)UNISYS CORP ....................... 2,661
19,300(degree)UNOVA, INC ........................ 350
18,700(degree)VARCO INTERNATIONAL, INC .......... 145
7,700 VARIAN ASSOCIATES, INC ............. 292
5,400(degree)VISUAL NETWORKS, INC .............. 203
4,738 WATSCO, INC ........................ 79
25,800(degree)WESTERN DIGITAL CORP .............. 389
6,400(degree)XIRCOM, INC ....................... 218
10,800 YORK INTERNATIONAL CORP ............ 441
6,700(degree)ZEBRA TECHNOLOGY CORP ............. 193
----------
250,311
----------
INSTRUMENTS AND RELATED PRODUCTS--2.25%
4,636(degree)ACUSON CORP ....................... 69
4,800(degree)ADAC LABORATORIES, INC ............ 96
1,300(degree)ADE CORP .......................... 17
8,200(degree)AFFYMETRIX, INC ................... 200
8,400(degree)ALARIS MEDICAL, INC ............... 49
700(degree)ANACOMP, INC ...................... 13
400(degree)ANALOGIC CORP ..................... 15
4,400 ARROW INTERNATIONAL, INC ........... 138
13,100(degree)ARTERIAL VASCULAR ENGINEERING, INC 688
10,200(degree)AVID TECHNOLOGIES, INC ............ 238
7,500 BALLARD MEDICAL PRODUCTS CO ........ 182
16,313 BARD (C.R.), INC ................... 807
15,200 BAUSCH & LOMB, INC ................. 912
85,113 BAXTER INTERNATIONAL, INC .......... 5,474
2,200 BAXTER INTERNATIONAL, INC RTS ...... 0
11,500 BECKMAN COULTER, INC ............... 624
74,078 BECTON DICKINSON & CO .............. 3,162
633(degree)BIO-RAD LABORATORIES, INC (CLASS A) 13
29,400 BIOMET, INC ........................ 1,183
73,942(degree)BOSTON SCIENTIFIC CORP ............ 1,983
1,600 x(degree)CELLPRO, INC ................ 0
24,166(degree)CHYRON CORP ....................... 45
800(degree)CLOSURE MEDICAL CORP .............. 24
13,300(degree)CNS, INC .......................... 46
10,100(degree)COGNEX CORP ....................... 202
5,600(degree)COHERENT, INC ..................... 70
2,100 COHU, INC .......................... 46
5,300(degree)COLE NATIONAL CORP (CLASS A) ...... 91
2,600(degree)CONMED CORP ....................... 86
3,600(degree)COOPER COS, INC ................... 74
6,500(degree)CREDENCE SYSTEMS CORP ............. 120
7,600(degree)CYMER, INC ........................ 111
4,500(degree)CYTYC CORP ........................ 116
9,300(degree)DATASCOPE CORP .................... 214
12,500 DENTSPLY INTERNATIONAL, INC ........ 322
9,000(degree)DIONEX CORP ....................... 330
4,900(degree)DYNATECH CORP ..................... 13
97,919 EASTMAN KODAK CO ................... 7,050
1,800(degree)FOSSIL, INC ....................... 52
6,283 FRESENIUS MEDICAL CARE AG. ADR ..... 148
12,800(degree)GENRAD, INC ....................... 202
45,306 GUIDANT CORP ....................... 4,995
9,000(degree)HAEMONETICS CORP .................. 205
3,300(degree)HANGER ORTHOPEDIC GROUP, INC ...... 74
1,700(degree)HOLOGIC, INC ...................... 21
37,100 HONEYWELL, INC ..................... 2,794
13,800(degree)INPUT/OUTPUT, INC ................. 101
8,800 INVACARE CORP ...................... 211
3,200(degree)ISOLYSER CO, INC .................. 3
22,000 JOHNSON CONTROLS, INC .............. 1,298
26,200(degree)KLA-TENCOR CORP ................... 1,136
9,100(degree)LITTON INDUSTRIES, INC ............ 594
24,500(degree)LTX CORP .......................... 63
3,000(degree)MAXXIM MEDICAL, INC ............... 89
140,763 MEDTRONIC, INC ..................... 10,452
7,700 MENTOR CORP ........................ 180
10,888(degree)METTLER-TOLEDO INTERNATIONAL, INC . 306
16,100 MILLIPORE CORP ..................... 458
300(degree)MINE SAFETY APPLIANCE CO .......... 21
2,000(degree)MINIMED, INC ...................... 210
1,300 MOVADO GROUP, INC .................. 35
2,000 MTS SYSTEMS CORP ................... 27
1,200(degree)NOVOSTE CORP ...................... 34
6,900(degree)OAKLEY, INC ....................... 65
1,800(degree)OCULAR SCIENCES, INC .............. 48
2,700(degree)OEC MEDICAL SYSTEMS, INC .......... 85
1,100(degree)PERCLOSE, INC ..................... 36
14,200 PERKIN-ELMER CORP .................. 1,385
3,100(degree)PINNACLE SYSTEMS, INC ............. 111
10,100 POLAROID CORP ...................... 189
26,588 RAYTHEON CO (CLASS A) .............. 1,374
74,500 RAYTHEON CO (CLASS B) .............. 3,967
3,100(degree)RESMED, INC ....................... 141
8,100(degree)RESPIRONICS, INC .................. 162
1,800(degree)SABRATEK CORP ..................... 29
2,900(degree)SCOTT TECHNOLOGIES, INC ........... 48
9,800(degree)SEPRACOR, INC ..................... 864
7,000(degree)SOFAMOR DANEK GROUP, INC .......... 852
8,500(degree)SOLA INTERNATIONAL, INC ........... 147
7,333(degree)SONOSITE, INC ..................... 76
24,512(degree)ST. JUDE MEDICAL, INC ............. 679
18,420(degree)STERIS CORP ....................... 524
21,200 STRYKER CORP ....................... 1,167
18,950(degree)SUMMIT TECHNOLOGY, INC ............ 83
12,700(degree)SUNRISE MEDICAL, INC .............. 158
28,600(degree)SYBRON INTERNATIONAL CORP ......... 778
See notes to financial statements.
89
<PAGE>
EQUITY INDEX ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ -----
INSTRUMENTS AND RELATED PRODUCTS--(CONTINUED)
12,300(degree)TAVA TECHNOLOGIES, INC ............ $ 94
14,750 TEKTRONIX, INC ..................... 443
25,500(degree)TERADYNE, INC ..................... 1,081
7,500(degree)THERMEDICS, INC ................... 81
5,800(degree)THERMO CARDIOSYSTEMS, INC ......... 61
48,650(degree)THERMO ELECTRON CORP .............. 824
3,968(degree)THERMO INSTRUMENT SYSTEMS, INC .... 60
2,300(degree)THERMO OPTEK CORP ................. 20
11,422(degree)THERMO VISION CORP ................ 36
4,100(degree)THERMOQUEST CORP .................. 53
2,600(degree)THERMOTREX CORP ................... 22
9,400(degree)TRIMBLE NAVIGATION LTD ............ 68
2,900(degree)VEECO INSTRUMENTS, INC ............ 154
2,000(degree)VENTANA MEDICAL SYSTEMS, INC ...... 43
3,800(degree)VISX, INC ......................... 332
7,000(degree)VIVUS, INC ........................ 18
8,800(degree)WATERS CORP ....................... 768
2,300(degree)WESLEY JESSEN VISIONCARE, INC ..... 64
15,600 X RITE, INC ........................ 121
99,000 XEROX CORP ......................... 11,682
1,950(degree)XOMED SURGICAL PRODUCTS, INC ...... 62
----------
77,587
----------
INSURANCE AGENTS, BROKERS AND SERVICE--0.15%
1,100 BALDWIN & LYONS, INC (CLASS B) ..... 27
2,772 BLANCH (E.W.) HOLDINGS, INC ........ 131
5,859 CRAWFORD & CO (CLASS B) ............ 90
17,200(degree)FIRST HEALTH GROUP CORP ........... 285
4,600 GALLAGHER (ARTHUR J.) & CO ......... 203
2,200 HILB, ROGAL & HAMILTON CO .......... 44
75,380 MARSH & MCLENNAN COS, INC .......... 4,405
2,000 POE & BROWN, INC ................... 70
----------
5,255
----------
INSURANCE CARRIERS--4.95%
22,400 20TH CENTURY INDUSTRIES ............ 519
5,983(degree)ACCEPTANCE INSURANCE COS, INC ..... 121
7,226 AEGON NV ARS ....................... 883
41,594 AETNA, INC ......................... 3,270
79,940 AFLAC, INC ......................... 3,517
6,100 ALFA CORP .......................... 148
1,300(degree)ALLEGHANY CORP (DELAWARE) ......... 244
17,356 ALLMERICA FINANCIAL CORP ........... 1,004
232,516 ALLSTATE CORP ...................... 8,981
16,363 AMBAC FINANCIAL GROUP, INC ......... 985
4,100 AMERICAN ANNUITY GROUP, INC ........ 94
12,600 AMERICAN BANKERS INSURANCE
GROUP, INC ........................ 610
14,200 AMERICAN FINANCIAL GROUP, INC ...... 623
79,532 AMERICAN GENERAL CORP .............. 6,203
4,038 AMERICAN HERITAGE LIFE
INVESTMENT CORP ................... 99
317,415 AMERICAN INTERNATIONAL GROUP, INC .. 30,670
5,500 AMERICAN MEDICAL SECURITY GROUP .... 79
1,500 AMERICAN NATIONAL INSURANCE CO ..... 124
10,100(degree)AMERIN CORP ....................... 239
3,800 AMERUS LIFE HOLDINGS, INC (CLASS A) 85
43,851 AON CORP ........................... 2,428
6,400 ARGONAUT GROUP, INC ................ 157
6,000 ARM FINANCIAL GROUP, INC (CLASS A) . 133
9,350 BERKLEY (W.R.) CORP ................ 318
79 (degree)BERKSHIRE HATHAWAY, INC (CLASS A) 5,530
22 (degree)BERKSHIRE HATHAWAY, INC (CLASS B) 52
6,000 CAPITAL RE CORP .................... 120
1,277 CHARTWELL RE CORP .................. 30
3,900 CHICAGO TITLE CORP ................. 183
49,200 CHUBB CORP ......................... 3,192
63,537 CIGNA CORP ......................... 4,912
46,509 CINCINNATI FINANCIAL CORP .......... 1,703
691,771 CITIGROUP, INC ..................... 34,243
6,900 CMAC INVESTMENT CORP ............... 317
9,000(degree)CNA FINANCIAL CORP ................ 362
5,018 CNA SURETY CORP .................... 79
7,900 COMMERCE GROUP, INC ................ 280
93,377 CONSECO, INC ....................... 2,854
8,115(degree)DELPHI FINANCIAL GROUP, INC ....... 426
11,000 ENHANCE FINANCIAL SERVICES GROUP, INC 330
26,700 EQUITABLE COS, INC ................. 1,545
19,000 ERIE INDEMNITY CO (CLASS A) ........ 594
13,200 EVEREST REINSURANCE HOLDINGS, INC .. 514
3,800 EXECUTIVE RISK, INC ................ 209
9,400 FBL FINANCIAL GROUP, INC (CLASS A) . 228
6,490 FIDELITY NATIONAL FINANCIAL, INC ... 198
10,200 FINANCIAL SECURITY ASSURANCE
HOLDINGS LTD ...................... 553
13,800 FIRST AMERICAN FINANCIAL CORP ...... 443
5,300 FOREMOST CORP OF AMERICA ........... 111
31,371(degree)FOUNDATION HEALTH SYSTEMS (CLASS A) 374
1,800(degree)FPIC INSURANCE GROUP, INC ......... 86
14,400 FREMONT GENERAL CORP ............... 356
9,570 FRONTIER INSURANCE GROUP, INC ...... 123
4,700 HARLEYSVILLE GROUP, INC ............ 121
65,900 HARTFORD FINANCIAL SERVICES
GROUP, INC ........................ 3,616
10,900 HARTFORD LIFE, INC (CLASS A) ....... 635
10,700 HCC INSURANCE HOLDINGS, INC ........ 189
9,150(degree)HIGHLANDS INSURANCE GROUP, INC .... 120
14,600 HORACE MANN EDUCATORS CORP ......... 416
8,550 HSB GROUP, INC ..................... 351
46,675(degree)HUMANA, INC ....................... 831
31,175 JEFFERSON-PILOT CORP ............... 2,338
100(degree)KANSAS CITY LIFE INSURANCE CO ..... 8
4,100 LANDAMERICA FINANCIAL GROUP, INC ... 229
4,300 LIBERTY CORP ....................... 212
4,800 LIBERTY FINANCIAL COS, INC ......... 130
2,600 LIFE U.S.A. HOLDINGS, INC .......... 33
29,200 LINCOLN NATIONAL CORP .............. 2,389
21,466 LOEWS CORP ......................... 2,109
1,200(degree)MARKEL CORP ....................... 217
11,800(degree)MAXICARE HEALTH PLANS, INC ........ 63
29,494 MBIA, INC .......................... 1,934
7,569(degree)MEDICAL ASSURANCE, INC ............ 250
7,400 MERCURY GENERAL CORP ............... 324
33,500 MGIC INVESTMENT CORP ............... 1,334
11,900 (degree)MID ATLANTIC MEDICAL SERVICES, INC 117
2,200 MMI COS, INC ....................... 37
8,700 NAC RE CORP ........................ 408
7,300 NATIONWIDE FINANCIAL SERVICES, INC
(CLASS A) ......................... 377
8,600 OHIO CASUALTY CORP ................. 354
40,425 OLD REPUBLIC INTERNATIONAL CORP .... 910
8,800 ORION CAPITAL CORP ................. 350
24,800(degree)OXFORD HEALTH PLANS, INC .......... 369
824(degree)PACIFICARE HEALTH SYSTEMS, INC (CLASS A) 60
10,579(degree)PACIFICARE HEALTH SYSTEMS, INC (CLASS B) 841
300(degree)PENN TREATY AMERICAN CORP ......... 8
See notes to financial statements.
90
<PAGE>
EQUITY INDEX ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ -----
INSURANCE CARRIERS--(CONTINUED)
10,300 PENNCORP FINANCIAL GROUP, INC ...... $ 10
1,000 PMA CAPITAL CORP (CLASS A) ......... 20
6,200 PMI GROUP, INC ..................... 306
12,800 PRESIDENTIAL LIFE CORP ............. 254
12,916 PROGRESSIVE CORP ................... 2,188
16,900 PROTECTIVE LIFE CORP ............... 673
24,708 PROVIDENT COS, INC ................. 1,025
1,700 PXRE CORP .......................... 43
8,800 REINSURANCE GROUP OF AMERICA, INC .. 616
17,700 RELIANCE GROUP HOLDINGS, INC ....... 228
26,301 RELIASTAR FINANCIAL CORP ........... 1,213
2,600(degree)RISK CAPITAL HOLDINGS, INC ........ 57
1,000 RLI CORP ........................... 33
40,800 SAFECO CORP ........................ 1,752
2,600 SCPIE HOLDINGS, INC ................ 79
9,200 SELECTIVE INSURANCE GROUP, INC ..... 185
7,200(degree)SIERRA HEALTH SERVICES, INC ....... 152
68,181 ST. PAUL COS, INC .................. 2,369
2,600 STATE AUTO FINANCIAL CORP .......... 32
1,500 STEWART INFORMATION SERVICES CORP .. 87
45,965 SUNAMERICA, INC .................... 3,729
12,900 TIG HOLDINGS, INC .................. 201
41,600 TORCHMARK CORP ..................... 1,469
17,800 TRANSAMERICA CORP .................. 2,056
5,250 TRANSATLANTIC HOLDINGS, INC ........ 397
15,200 TRAVELERS PROPERTY CASUALTY CORP ... 471
2,300 TRENWICK GROUP, INC ................ 75
3,000(degree)TRIAD GUARANTY, INC ............... 66
12,400(degree)TRIGON HEALTHCARE, INC ............ 463
10,300(degree)UICI .............................. 252
600 UNITED FIRE & CASULTY CO ........... 20
50,900 UNITED HEALTHCARE CORP ............. 2,192
5,500 UNITED WISCONSIN SERVICES, INC ..... 48
8,000 UNITRIN, INC ....................... 574
41,200 UNUM CORP .......................... 2,405
5,400 VESTA INSURANCE GROUP, INC ......... 32
20,434(degree)WELLPOINT HEALTH NETWORKS, INC .... 1,778
----------
170,711
----------
LEATHER AND LEATHER PRODUCTS--0.02%
19,000 JUSTIN INDUSTRIES, INC ............. 249
8,400(degree)NINE WEST GROUP, INC .............. 131
2,134(degree)SAMSONITE CORP .................... 12
10,500 STRIDE RITE CORP ................... 92
1,000(degree)TIMBERLAND CO ..................... 46
17,362 WOLVERINE WORLD WIDE, INC .......... 230
----------
760
----------
LEGAL SERVICES--0.01%
12,900(degree)PREPAID LEGAL SERVICES, INC ....... 426
----------
LOCAL AND INTERURBAN PASSENGER TRANSIT--0.01%
8,000 (degree)COACH U.S.A., INC ........... 278
10,180(degree)GREYHOUND LINES, INC .............. 60
2,600(degree)RURAL/METRO CORP .................. 28
----------
366
----------
LUMBER AND WOOD PRODUCTS--0.20%
1,400(degree)ABT BUILDING PRODUCTS CORP ........ 14
1,700(degree)AMERICAN HOMESTAR CORP ............ 26
6,177 CAVALIER HOMES, INC ................ 70
12,100(degree)CHAMPION ENTERPRISES, INC ......... 331
28,520 CLAYTON HOMES, INC ................. 394
14,857 DELTIC TIMBER CORP ................. 303
27,300 GEORGIA-PACIFIC CORP
(PACKAGING GROUP) ................. 1,599
31,800 LOUISIANA PACIFIC CORP ............. 582
12,200 OAKWOOD HOMES CORP ................. 185
8,750(degree)PALM HARBOR HOMES, INC ............ 220
6,400 TJ INTERNATIONAL, INC .............. 164
2,400 UNIVERSAL FOREST PRODUCTS, INC ..... 48
58,597 WEYERHAEUSER CO .................... 2,977
----------
6,913
----------
METAL MINING--0.13%
67,014 BATTLE MOUNTAIN GOLD CO ............ 276
7,800 CLEVELAND CLIFFS, INC .............. 314
4,500(degree)COEUR DALENE MINES CORP ........... 21
38,400 CYPRUS AMAX MINERALS CO ............ 384
17,692 FREEPORT-MCMORAN COPPER &
GOLD, INC (CLASS A) ............... 171
29,233 FREEPORT-MCMORAN COPPER &
GOLD, INC (CLASS B) ............... 305
10,391(degree)GETCHELL GOLD CORP ................ 283
21,400(degree)HECLA MINING CO ................... 78
55,200 HOMESTAKE MINING CO ................ 507
39,187(degree)KINROSS GOLD CORP ................. 91
49,230 NEWMONT MINING CORP ................ 889
15,400 PHELPS DODGE CORP .................. 783
7,300(degree)STILLWATER MINING CO .............. 299
100,000(degree)SUNSHINE MINING & REFINING CO ..... 50
----------
4,451
----------
MISCELLANEOUS MANUFACTURING INDUSTRIES--0.15%
10,000 (degree)BLYTH INDUSTRIES, INC ....... 313
6,600 BRADY CORP (CLASS A) ............... 178
22,694 CALLAWAY GOLF CO ................... 233
2,600 x(degree)CML GROUP, INC .............. 0
32,685 HASBRO, INC ........................ 1,181
8,200(degree)HEXCEL CORP ....................... 69
30,477 INTERNATIONAL GAME TECHNOLOGY CO ... 741
9,000 JOSTENS, INC ....................... 236
5,500 K2, INC ............................ 57
1,071(degree)LYDALL, INC ....................... 13
86,756 MATTEL, INC ........................ 1,979
3,500(degree)NU KOTE HOLDINGS, INC (CLASS A) ... 0
2,041 ONEIDA LTD ......................... 30
3,700 RUSS BERRIE & CO, INC .............. 87
700(degree)STEINWAY MUSICAL INSTRUMENTS, INC . 18
8,900(degree)WMS INDUSTRIES, INC ............... 66
----------
5,201
----------
MISCELLANEOUS RETAIL--1.09%
9,400(degree)AMAZON.COM, INC ................... 3,020
15,700(degree)BARNES & NOBLE, INC ............... 667
2,500(degree)BARNETT, INC ...................... 34
900 BLAIR CORP ......................... 20
22,767(degree)BORDERS GROUP, INC ................ 568
2,800(degree)BRYLANE, INC ...................... 65
3,769 CASH AMERICA INTERNATIONAL, INC .... 57
1,750(degree)CDW COMPUTER CENTERS, INC ......... 168
2,700(degree)COLDWATER CREEK, INC .............. 37
32,790(degree)CORPORATE EXPRESS, INC ............ 170
117,314 CVS CORP ........................... 6,452
5,136(degree)DUANE READE, INC .................. 198
4,500 ENESCO GROUP, INC .................. 105
14,400 FINGERHUT COS, INC ................. 222
See notes to financial statements.
91
<PAGE>
EQUITY INDEX ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ -----
MISCELLANEOUS RETAIL -- (CONTINUED)
INSURANCE CARRIERS--4.95%
3,000(degree)FRIEDMANS, INC (CLASS A) .......... $ 31
4,100(degree)GARDEN RIDGE CORP ................. 37
2,300(degree)GENESIS DIRECT, INC ............... 18
4,600(degree)GLOBAL DIRECTMAIL CORP ............ 108
4,900 HANCOCK FABRICS, INC ............... 41
25,600(degree)HANOVER DIRECT, INC ............... 88
5,000(degree)INSIGHT ENTERPRISES, INC .......... 254
3,500(degree)JO-ANN STORES, INC (CLASS A) ...... 56
800 x(degree)JUMBOSPORTS, INC ............ 0
4,800(degree)LANDS END, INC .................... 129
11,400 LONGS DRUG STORES CORP ............. 428
10,100(degree)MICHAELS STORES, INC .............. 183
10,500(degree)MICRO WAREHOUSE, INC .............. 355
13,200(degree)MSC INDUSTRIAL DIRECT CO (CLASS A) 299
74,650(degree)OFFICE DEPOT, INC ................. 2,757
37,621(degree)OFFICEMAX, INC .................... 461
25,900 OMNICARE, INC ...................... 900
1,300(degree)PARTY CITY CORP ................... 19
6,900(degree)PETCO ANIMAL SUPPLIES, INC ........ 69
34,900(degree)PETSMART, INC ..................... 384
77,945 RITE AID CORP ...................... 3,863
7,500(degree)SCHEIN (HENRY), INC ............... 336
9,600(degree)SPIEGEL, INC (CLASS A) ............ 55
85,775(degree)STAPLES, INC ...................... 3,747
14,700(degree)SUNGLASS HUT INTERNATIONAL, INC ... 103
9,250(degree)THE SPORTS AUTHORITY, INC ......... 49
9,206 TIFFANY & CO ....................... 478
77,301(degree)TOYS R US, INC .................... 1,304
9,431(degree)U.S. OFFICE PRODUCTS CO ........... 37
151,000 WALGREEN CO ........................ 8,843
14,600(degree)ZALE CORP ......................... 471
----------
37,686
----------
MOTION PICTURES--0.57%
1,000(degree)AMC ENTERTAINMENT, INC ............ 21
1,584(degree)CARMIKE CINEMAS, INC (CLASS A) .... 32
620,278 DISNEY (WALT) CO ................... 18,608
8,300(degree)HOLLYWOOD ENTERTAINMENT CORP ...... 226
16,400(degree)KING WORLD PRODUCTIONS, INC ....... 483
21,100(degree)METROMEDIA INTERNATIONAL GROUP, INC 115
8,800(degree)MOVIE GALLERY, INC ................ 63
5,600(degree)PIXAR, INC ........................ 196
10,000(degree)SPELLING ENTERTAINMENT GROUP, INC . 75
----------
19,819
----------
NONDEPOSITORY INSTITUTIONS--2.19%
6,100 AAMES FINANCIAL CORP ............... 19
5,299 ADVANTA CORP (CLASS A) ............. 70
137,112 AMERICAN EXPRESS CO ................ 14,020
16,400(degree)AMERICREDIT CORP .................. 227
16,550(degree)AMRESCO, INC ...................... 145
14,700(degree)ARCADIA FINANCIAL LTD ............. 53
216,940 ASSOCIATES FIRST CAPITAL CORP ...... 9,193
19,392 CAPITAL ONE FINANCIAL CORP ......... 2,230
6,000 CHARTER MUNICIPAL MORTGAGE
ACCEPTANCE ........................ 73
9,800 CIT GROUP, INC (CLASS A) ........... 312
2,500 x(degree)CITYSCAPE FINANCIAL CORP .... 0
2,700 CONNING CORP ....................... 56
2,900(degree)CONTIFINANCIAL CORP ............... 21
32,188 COUNTRYWIDE CREDIT INDUSTRIES, INC . 1,615
4,800(degree)CREDIT ACCEPTANCE CORP ............ 35
7,000 DORAL FINANCIAL CORP ............... 155
700(degree)DVI, INC .......................... 13
400(degree)FEDERAL AGRICULTURAL
MORTGAGE CORP (CLASS C) ........... 15
313,195 FEDERAL NATIONAL MORTGAGE
ASSOCIATION ....................... 23,176
1,000(degree)FINANCIAL FEDERAL CORP ............ 25
16,013 FINOVA GROUP, INC .................. 864
1,500(degree)FIRST SIERRA FINANCIAL, INC ....... 18
6,300(degree)FIRSTPLUS FINANCIAL GROUP, INC .... 17
204,341 FREDDIE MAC ........................ 13,167
1,200 FUND AMERICAN ENTERPRISES
HOLDINGS, INC ..................... 168
4,900(degree)HEADLANDS MORTGAGE CO ............. 103
3,200(degree)HEALTHCARE FINANCIAL PARTNERS, INC 128
10,300 HELLER FINANCIAL, INC .............. 303
148,201 HOUSEHOLD INTERNATIONAL, INC ....... 5,872
5,900(degree)IMC MORTGAGE CO ................... 2
8,200(degree)IMPERIAL CREDIT INDUSTRIES, INC ... 69
11,200(degree)LEUCADIA NATIONAL CORP ............ 353
3,900(degree)LONG BEACH FINANCIAL CORP ......... 29
1,200 MEDALLION FINANCIAL CORP ........... 17
95,250 x(degree)MERCURY FINANCE CO .......... 4
7,384 METRIS COS, INC .................... 372
3,379(degree)OMEGA WORLDWIDE, INC .............. 15
6,300 RESOURCE AMERICA, INC (CLASS A) .... 57
3,000 RESOURCE BANCSHARES MORTGAGE
GROUP, INC ........................ 50
1,200 SIRROM CAPITAL CORP ................ 6
48,991 SLM HOLDINGS CORP .................. 2,352
2,000 STUDENT LOAN CORP .................. 90
10,840(degree)UNICAPITAL CORP ................... 80
7,280 UNITED COS FINANCIAL CORP .......... 25
12,100(degree)WILSHIRE FINANCIAL SERVICES
GROUP, INC ........................ 8
----------
75,622
----------
NONMETALLIC MINERALS, EXCEPT FUELS--0.07%
3,500 AMCOL INTERNATIONAL CORP ........... 35
3,100 CALMAT CO .......................... 96
7,900 JOHNS MANVILLE CORP ................ 130
12,468 MARTIN MARIETTA MATERIALS, INC ..... 775
1,913 POTASH CORP OF SASKATCHEWAN, INC ... 122
8,400 VULCAN MATERIALS CO ................ 1,105
----------
2,263
----------
OIL AND GAS EXTRACTION--0.62%
30,316 ANADARKO PETROLEUM CORP ............ 936
24,257 APACHE CORP ........................ 614
4,400(degree)ATWOOD OCEANICS, INC .............. 75
2,300(degree)BELCO OIL & GAS CORP .............. 13
11,400(degree)BENTON OIL & GAS CO ............... 34
5,171 BERRY PETROLEUM CO (CLASS A) ....... 73
21,068(degree)BJ SERVICES CO .................... 329
160(degree)BJ SERVICES CO WTS 04/13/00 ....... 1
6,900(degree)BROWN (TOM), INC .................. 69
53,208 BURLINGTON RESOURCES, INC .......... 1,906
12,700 CABOT OIL & GAS CORP (CLASS A) ..... 191
11,000 CHESAPEAKE ENERGY CORP ............. 10
8,000(degree)COMSTOCK RESOURCES, INC ........... 25
14,850 CROSS TIMBERS OIL CO ............... 111
6,900 DEVON ENERGY CORP .................. 212
19,300 DIAMOND OFFSHORE DRILLING, INC ..... 457
17,015(degree)EEX CORP .......................... 119
20,000 ENRON OIL & GAS CO ................. 345
40,750 ENSCO INTERNATIONAL, INC ........... 436
See notes to financial statements.
92
<PAGE>
EQUITY INDEX ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ -----
OIL AND GAS EXTRACTION--(CONTINUED)
6,800(degree)FORCENERGY GAS EXPLORATION, INC ... $ 18
13,500(degree)FOREST OIL CORP ................... 115
3,800(degree)FRIEDE GOLDMAN INTERNATIONAL, INC . 43
19,200(degree)GLOBAL INDUSTRIES LTD ............. 118
45,800(degree)GLOBAL MARINE, INC ................ 421
37,900(degree)GREY WOLF, INC .................... 31
135,457 HALLIBURTON CO ..................... 4,013
7,300(degree)HANOVER COMPRESSOR CO ............. 188
44,100(degree)HARKEN ENERGY CORP ................ 85
13,800 HELMERICH & PAYNE, INC ............. 267
2,500(degree)HS RESOURCES, INC ................. 19
6,800 KCS ENERGY, INC .................... 21
13,600 KERR-MCGEE CORP .................... 520
2,700(degree)KEY ENERGY SERVICES, INC .......... 13
6,100(degree)LOUIS DREYFUS NATURAL GAS CORP .... 87
16,900(degree)MARINE DRILLING CO, INC ........... 130
12,921(degree)MCMORAN EXPLORATION CO ............ 176
6,900(degree)MERIDIAN RESOURCE CORP ............ 22
16,400 MITCHELL ENERGY & DEVELOPMENT CORP
(CLASS A) ......................... 188
28,400(degree)NABORS INDUSTRIES, INC ............ 385
11,000(degree)NEWFIELD EXPLORATION CO ........... 230
16,300 NOBLE AFFILIATES, INC .............. 401
39,200(degree)NOBLE DRILLING CORP ............... 507
6,800(degree)NUEVO ENERGY CO ................... 78
103,329 OCCIDENTAL PETROLEUM CORP .......... 1,744
23,414(degree)OCEAN ENERGY, INC ................. 148
4,500(degree)OCEANEERING INTERNATIONAL, INC .... 68
33,800(degree)ORYX ENERGY CO .................... 454
29,700(degree)PARKER DRILLING CO ................ 95
5,600(degree)PATTERSON ENERGY, INC ............. 23
1,300 PENN VIRGINIA CORP ................. 24
29,100 PIONEER NATURAL RESOURCES CO ....... 255
12,800 POGO PRODUCING CO .................. 166
3,400(degree)POOL ENERGY SERVICES CO ........... 37
13,800(degree)PRIDE INTERNATIONAL, INC .......... 97
59,586(degree)R & B FALCON CORP ................. 454
12,700(degree)RANGE RESOURCES CORP .............. 44
20,300(degree)ROWAN COS, INC .................... 203
900 ROYAL DUTCH PETROLEUM CO
(N.Y. REGD) ADR ................... 43
4,300(degree)RUTHERFORD-MORAN OIL CORP ......... 12
34,200(degree)SANTA FE ENERGY RESOURCES, INC .... 252
2,267 SCHLUMBERGER LTD ................... 105
4,400(degree)SEITEL, INC ....................... 55
9,300 SNYDER OIL CORP .................... 124
1,900 ST. MARY LAND & EXPLORATION CO ..... 35
3,848(degree)STONE ENERGY CORP ................. 111
10,000(degree)SUPERIOR ENERGY SERVICES, INC ..... 28
4,950(degree)SWIFT ENERGY CO ................... 37
3,300(degree)SYNTROLEUM CORP ................... 20
8,900(degree)TITAN EXPLORATION, INC ............ 58
4,100(degree)TRANSMONTAIGNE, INC ............... 62
29,500 TRANSOCEAN OFFSHORE, INC ........... 791
6,600(degree)TRANSTEXAS GAS CORP ............... 17
2,700(degree)TRITON ENERGY LTD ................. 21
20,300(degree)TUBOSCOPE, INC .................... 165
74,692 UNION PACIFIC RESOURCES GROUP, INC . 677
3,000(degree)UTI ENERGY CORP ................... 22
4,900 VASTAR RESOURCES, INC .............. 212
7,000(degree)VERITAS DGC, INC .................. 91
10,900 VINTAGE PETROLEUM, INC ............. 94
29,015(degree)WEATHERFORD INTERNATIONAL ......... 562
----------
21,438
----------
PAPER AND ALLIED PRODUCTS--0.85%
5,500(degree)ACX TECHNOLOGIES, INC ............. $ 73
8,166(degree)AMERICAN PAD & PAPER CO ........... 13
29,295 AVERY DENNISON CORP ................ 1,320
14,613 BEMIS, INC ......................... 554
13,600 BOISE CASCADE CORP ................. 422
15,269 BOWATER, INC ....................... 633
12,000(degree)BUCKEYE TECHNOLOGIES, INC ......... 179
7,300 CARAUSTAR INDUSTRIES, INC .......... 209
27,400 CHAMPION INTERNATIONAL CORP ........ 1,110
8,100 CHESAPEAKE CORP .................... 299
14,800 CONSOLIDATED PAPERS, INC ........... 407
12,170(degree)CROWN VANTAGE, INC ................ 27
6,400(degree)EARTHSHELL CORP ................... 76
65,075 FORT JAMES CORP .................... 2,603
16,200(degree)GAYLORD CONTAINER CO .............. 99
9,100 GLATFELTER (P.H.) CO ............... 113
700 GREIF BROTHERS CORP (CLASS A) ...... 20
90,240 INTERNATIONAL PAPER CO ............. 4,044
4,500(degree)IVEX PACKAGING CORP ............... 105
165,288 KIMBERLY CLARK CORP ................ 9,008
14,100 LONGVIEW FIBRE CO .................. 163
21,000(degree)MAIL-WELL, INC .................... 240
29,244 MEAD CORP .......................... 857
12,200(degree)PLAYTEX PRODUCTS, INC ............. 196
7,000 POTLATCH CORP ...................... 258
6,500 ROCK-TENN CO (CLASS A) ............. 110
5,760 SCHWEITZER-MAUDUIT INTERNATIONAL, INC 89
20,550(degree)SHOREWOOD PACKAGING CORP .......... 421
32,327(degree)SMURFIT-STONE CONTAINER CORP ...... 511
29,523 SONOCO PRODUCTS CO ................. 875
6,800 ST. JOE CORP ....................... 159
15,434 TEMPLE-INLAND, INC ................. 915
19,999 UNION CAMP CORP .................... 1,350
13,825 WAUSAU-MOSINEE PAPER CORP .......... 245
22,750 WESTVACO CORP ...................... 610
31,700 WILLAMETTE INDUSTRIES, INC ......... 1,062
----------
29,375
----------
PERSONAL SERVICES--0.18%
27,821 BLOCK (H&R), INC ................... 1,252
700(degree)CARRIAGE SERVICES, INC (CLASS A) .. 20
19,300 CINTAS CORP ........................ 1,359
1,100(degree)COINMACH LAUNDRY CORP ............. 14
1,028 CPI CORP ........................... 27
6,400(degree)EQUITY CORP INTERNATIONAL ......... 170
6,900 G & K SERVICES, INC (CLASS A) ...... 367
4,400 REGIS CORP ......................... 176
77,046 SERVICE CORP INTERNATIONAL ......... 2,933
900 UNIFIRST CORP ...................... 21
----------
6,339
----------
PETROLEUM AND COAL PRODUCTS--3.97%
23,200 AMERADA HESS CORP .................. 1,154
288,177 AMOCO CORP ......................... 17,002
19,172 ASHLAND, INC ....................... 927
95,626 ATLANTIC RICHFIELD CO .............. 6,240
197,216 CHEVRON CORP ....................... 16,357
2,400 ELCOR CORP ......................... 78
739,600 EXXON CORP ......................... 54,083
2,500(degree)FRONTIER OIL CORP ................. 12
1,400 HOLLY CORP ......................... 24
236,500 MOBIL CORP ......................... 20,605
11,600 MURPHY OIL CORP .................... 479
14,400 PENNZENERGY CO ..................... 235
See notes to financial statements.
93
<PAGE>
EQUITY INDEX ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ -----
PETROLEUM AND COAL PRODUCTS--(CONTINUED)
24,244(degree)PENNZOIL-QUAKER STATE CO .......... $ 359
2,000(degree)PETROFINA S.A. WTS 08/02/03 ....... 15
66,022 PHILLIPS PETROLEUM CO .............. 2,814
25,600 SUNOCO, INC ........................ 923
9,600(degree)TESORO PETROLEUM CORP ............. 116
161,725 TEXACO, INC ........................ 8,551
45,747 TOSCO CORP ......................... 1,184
28,194 ULTRAMAR DIAMOND SHAMROCK CORP ..... 684
71,931 UNOCAL CORP ........................ 2,099
92,200 USX-MARATHON GROUP, INC ............ 2,778
12,200 VALERO ENERGY CORP ................. 259
3,200 WD-40 CO ........................... 92
----------
137,070
----------
PRIMARY METAL INDUSTRIES--0.36%
2,200(degree)AFC CABLE SYSTEMS, INC ............ 74
21,500 AK STEEL HOLDINGS CORP ............. 505
4,939(degree)ALPINE GROUP, INC ................. 74
53,947 ALUMINUM CO OF AMERICA ............. 4,022
20,121(degree)ARMCO, INC ........................ 88
20,100 ASARCO, INC ........................ 303
14,800 BELDEN, INC ........................ 314
43,786(degree)BETHLEHEM STEEL CORP .............. 367
9,200 BIRMINGHAM STEEL CORP .............. 39
12,700 BRUSH WELLMAN, INC ................. 221
8,000(degree)CABLE DESIGN TECHNOLOGIES CO ...... 148
4,800 CARPENTER TECHNOLOGY CORP .......... 163
1,700 CENTURY ALUMINUM CO ................ 16
1,504(degree)CHASE INDUSTRIES, INC ............. 16
300(degree)CURTISS WRIGHT CORP ............... 11
3,200(degree)ENCORE WIRE CORP .................. 30
25,700 ENGELHARD CORP ..................... 501
1,251(degree)ESSEX INTERNATIONAL, INC .......... 43
12,750 GENERAL CABLE CORP ................. 261
8,990 INLAND STEEL INDUSTRIES, INC ....... 152
1,800 INTERMET CORP ...................... 24
13,500(degree)KAISER ALUMINUN CORP .............. 66
7,500(degree)LONE STAR TECHNOLOGIES, INC ....... 76
43,900 LTV CORP ........................... 255
2,200 MATTHEWS INTERNATIONAL CORP (CLASS A) 69
9,800(degree)METALS U.S.A., INC ................ 96
17,000(degree)MUELLER INDUSTRIES, INC ........... 345
13,566 NATIONAL STEEL CORP (CLASS B) ...... 97
700(degree)NS GROUP, INC ..................... 3
24,100 NUCOR CORP ......................... 1,042
8,800 OREGON STEEL MILLS, INC ............ 105
8,100 PRECISION CAST PARTS CORP .......... 358
1,400 QUANEX CORP ........................ 32
18,500 REYNOLDS METALS CO ................. 975
12,600 ROUGE INDUSTRIES, INC (CLASS A) .... 110
2,400(degree)RTI INTERNATIONAL METALS .......... 34
14,100(degree)STEEL DYNAMICS, INC ............... 166
1,700 SUPERIOR TELECOM, INC .............. 80
5,700 TEXAS INDUSTRIES, INC .............. 154
4,800 TITAN INTERNATIONAL, INC ........... 46
5,900 TITANIUM METALS CORP ............... 50
21,000 USX-US STEEL GROUP, INC ............ 483
7,200(degree)WHX CORP .......................... 72
4,600(degree)WOLVERINE TUBE, INC ............... 97
22,740 WORTHINGTON INDUSTRIES, INC ........ 284
----------
12,467
----------
PRINTING AND PUBLISHING--1.37%
2,700 AMERICAN BUSINESS PRODUCTS, INC .... $ 63
17,900 AMERICAN GREETINGS CORP (CLASS A) .. 735
13,725(degree)AMERICAN MEDIA, INC (CLASS A) ..... 76
11,500(degree)APPLIED GRAPHICS TECHNOLOGIES, INC 190
12,500 BANTA CORP ......................... 342
29,500 BELO (A.H.) CORP SERIES A .......... 588
5,809(degree)BIG FLOWER HOLDINGS, INC .......... 128
9,200 BOWNE & CO, INC .................... 164
6,800 CENTRAL NEWSPAPERS, INC (CLASS A) .. 486
3,400(degree)CONSOLIDATED GRAPHICS, INC ........ 230
386(degree)CSS INDUSTRIES, INC ............... 12
22,400 DELUXE CORP ........................ 819
28,000 DONNELLEY (R.R.) & SONS CO ......... 1,227
14,000 DOW JONES & CO, INC ................ 674
12,000(degree)FRANKLIN COVEY CO ................. 201
85,047 GANNETT CO, INC .................... 5,486
10,000(degree)GIBSON GREETINGS, INC ............. 119
8,300 HARLAND (JOHN H.) CO ............... 131
17,600 HARTE-HANKS, INC ................... 502
14,400 HOLLINGER INTERNATIONAL, INC ....... 201
7,800 HOUGHTON MIFFLIN CO ................ 369
11,600(degree)JOURNAL REGISTER CO ............... 174
21,200 KNIGHT-RIDDER, INC ................. 1,084
11,900 LEE ENTERPRISES, INC ............... 375
5,900x(degree)MARVEL ENTERTAINMENT GROUP, INC .. 1
4,200 MCCLATCHY CO (CLASS A) ............. 149
28,399 MCGRAW HILL COS, INC ............... 2,893
4,000(degree)MEDIA ARTS GROUP, INC ............. 56
6,029 MEDIA GENERAL, INC (CLASS A) ....... 320
10,000 MEREDITH CORP ...................... 379
2,900 MERRILL CORP ....................... 56
2,116 NEW ENGLAND BUSINESS SERVICES, INC . 83
46,700 NEW YORK TIMES CO (CLASS A) ........ 1,620
27,387 NEWS CORP LTD ...................... 676
3,500 PENTON MEDIA, INC .................. 71
3,600(degree)PETERSEN COS, INC (CLASS A) ....... 122
41,561(degree)PRIMEDIA, INC ..................... 488
2,000 PULITZER PUBLISHING CO ............. 173
9,190 R.H. DONNELLEY CORP ................ 134
25,110 READER'S DIGEST ASSOCIATION, INC
(CLASS A) (NON-VOTE) .............. 632
21,700 REYNOLDS & REYNOLDS CO (CLASS A) ... 498
3,300(degree)SCHOLASTIC CORP ................... 177
9,700 SCRIPPS (E.W.) CO (CLASS A) ........ 483
2,900 STANDARD REGISTER, INC ............. 90
299,838 TIME WARNER, INC ................... 18,609
19,044 TIMES MIRROR CO SERIES A ........... 1,066
34,100(degree)TOPPS, INC ........................ 171
29,300 TRIBUNE CO ......................... 1,934
12,000 WALLACE COMPUTER SERVICES, INC ..... 317
2,100 WASHINGTON POST CO (CLASS B) ....... 1,214
6,400 WILEY (JOHN) & SONS, INC (CLASS A) . 309
3,270(degree)WORKFLOW MANAGEMENT, INC .......... 22
10,286(degree)WORLD COLOR PRESS, INC ............ 313
----------
47,432
----------
RAILROAD TRANSPORTATION--0.47%
140,025 BURLINGTON NORTHERN SANTA FE CORP .. 4,726
158 CANADIAN NATIONAL RAILWAY CO ....... 8
63,852 CSX CORP ........................... 2,650
4,000 FLORIDA EAST COAST INDUSTRIES, INC . 141
31,500 KANSAS CITY SOUTHERN INDUSTRIES, INC 1,549
See notes to financial statements.
94
<PAGE>
EQUITY INDEX ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ -----
RAILROAD TRANSPORTATION--(CONTINUED)
110,558 NORFOLK SOUTHERN CORP .............. $ 3,503
72,185 UNION PACIFIC CORP ................. 3,253
12,900(degree)WISCONSIN CENTRAL TRANSIT CORP .... 222
----------
16,052
----------
REAL ESTATE--0.09%
23,000 ARDEN REALTY GROUP, INC ............ 533
500(degree)AVATAR HOLDINGS, INC .............. 8
8,400(degree)CASTLE & COOKE, INC ............... 124
13,900(degree)CATELLUS DEVELOPMENT CORP ......... 199
2,797(degree)CB RICHARD ELLIS SERVICES GROUP, INC 51
12,346(degree)ECHELON INTERNATIONAL CORP ........ 275
1,500(degree)EXCEL LEGACY CORP ................. 6
11,600(degree)FAIRFIELD COMMUNITIES, INC ........ 128
300 FOREST CITY ENTERPRISES, INC (CLASS A) 8
4,116(degree)GRUBB & ELLIS CO .................. 33
2,200(degree)INSIGNIA FINANCIAL GROUP, INC ..... 27
6,000(degree)LASALLE PARTNERS, INC ............. 177
10,450 LNR PROPERTY CORP .................. 208
5,616(degree)RECKSON SERVICES INDUSTRIES, INC .. 23
16,400 ROUSE CO ........................... 451
11,200(degree)SECURITY CAPITAL GROUP, INC (CLASS B) 152
25,000 STEWART ENTERPRISES, INC (CLASS A) . 556
7,400(degree)TRAMMELL CROW CO .................. 207
----------
3,166
----------
RUBBER AND MISCELLANEOUS PLASTIC PRODUCTS--0.44%
500 (degree)AEP INDUSTRIES, INC ......... 11
10,600 APTARGROUP, INC .................... 297
9,600 ARMSTRONG WORLD INDUSTRIES, INC .... 579
5,900 BANDAG, INC ........................ 236
8,500 CARLISLE COS, INC .................. 439
19,800 COOPER TIRE & RUBBER CO ............ 405
11,400 FIRST BRANDS CORP .................. 450
7,700 FOAMEX INTERNATIONAL, INC .......... 95
2,700 FURON CO ........................... 46
20,560 GOODRICH (B.F.) CO ................. 738
43,962 GOODYEAR TIRE & RUBBER CO .......... 2,217
59,900 ILLINOIS TOOL WORKS, INC ........... 3,474
2,496 MYERS INDUSTRIES, INC .............. 72
27,347 NIKE, INC (CLASS B) ................ 1,109
14,600 PREMARK INTERNATIONAL, INC ......... 506
10,990(degree)REEBOK INTERNATIONAL LTD .......... 163
44,051 RUBBERMAID, INC .................... 1,385
14,400(degree)SAFESKIN CORP ..................... 347
19,769(degree)SEALED AIR CORP ................... 1,009
33,356 SOLUTIA, INC ....................... 746
1,500 SPARTECH CORP ...................... 33
4,800(degree)SYNETIC, INC ...................... 211
7,800 TREDEGAR INDUSTRIES, INC ........... 176
15,900 TUPPERWARE CORP .................... 261
7,924 WEST CO, INC ....................... 283
2,886 WYNNS INTERNATIONAL, INC ........... 64
----------
15,352
----------
SECURITY AND COMMODITY BROKERS--1.08%
13,200(degree)AFFILIATED MANAGERS GROUP, INC .... 394
2,300(degree)AMERITRADE HOLDINGS CORP (CLASS A) 72
35,713 BEAR STEARNS COS, INC .............. 1,335
3,200 DAIN RAUSCHER CORP ................. 94
8,200 DONALDSON, LUFKIN, & JENRETTE, INC . 336
600 DUFF & PHELPS CREDIT RATING CO ..... 33
10,650(degree)E TRADE GROUP, INC ................ 498
10,800 EATON VANCE CORP ................... 225
26,250 EDWARDS (A.G.), INC ................ 978
2,400 EVEREN CAPITAL CORP ................ 55
3,100 FEDERATED INVESTMENTS, INC ......... 56
48,591 FRANKLIN RESOURCES, INC ............ 1,555
5,743 FREEDOM SECURITIES CORP ............ 87
9,701(degree)FRIEDMAN, BILLINGS, RAMSEY GROUP, INC 63
5,700(degree)HAMBRECHT & QUIST GROUP ........... 129
600(degree)INVESTMENT TECHNOLOGY GROUP, INC .. 37
1,300 INVESTORS FINANCIAL SERVICES CORP .. 78
4,800 JEFFERIES GROUP, INC ............... 238
22,132 LEGG MASON, INC .................... 699
34,120 LEHMAN BROTHERS HOLDINGS, INC ...... 1,503
96,700 MERRILL LYNCH & CO, INC ............ 6,455
7,400 MORGAN KEEGAN, INC ................. 139
174,826 MORGAN STANLEY, DEAN WITTER, & CO .. 12,413
31,100 PAINE WEBBER GROUP, INC ............ 1,201
8,394 PHOENIX INVESTMENT PARTNERS LTD .... 71
10,000 PIONEER GROUP, INC ................. 198
29,600 PRICE (T. ROWE) ASSOCIATES, INC .... 1,014
17,700 RAYMOND JAMES FINANCIAL CORP ....... 374
97,962 SCHWAB (CHARLES) CORP .............. 5,504
24,700 UNITED ASSET MANAGEMENT CORP ....... 642
19,458 WADDELL & REED FINANCIAL, INC (CLASS A) 461
9,722 WADDELL & REED FINANCIAL, INC (CLASS B) 226
----------
37,163
----------
SOCIAL SERVICES--0.02%
4,600(degree)ALTERNATIVE LIVING SERVICES, INC .. 158
2,700(degree)BROOKDALE LIVING COMMUNITIES, INC . 53
400(degree)CAPITAL SENIOR LIVING CORP ........ 6
1,700(degree)RES-CARE, INC ..................... 42
5,200(degree)SUNRISE ASSISTED LIVING, INC ...... 270
----------
529
----------
SPECIAL TRADE CONTRACTORS--0.02%
2,000(degree)AMERICAN RESIDENTIAL SERVICES, INC 7
9,800 APOGEE ENTERPRISES, INC ............ 110
8,844(degree)COMFORT SYSTEMS U.S.A., INC ....... 158
3,800(degree)GROUP MAINTENANCE AMERICA CORP .... 46
4,500(degree)INTEGRATED ELECTRICAL SERVICES, INC 100
800 x(degree)OMEGA ENVIRONMENTAL, INC .... 0
2,917(degree)SERVICE EXPERTS, INC .............. 85
----------
506
----------
STONE, CLAY, AND GLASS PRODUCTS--0.28%
2,600 CENTEX CONSTRUCTION PRODUCTS, INC .. 106
67,811 CORNING, INC ....................... 3,051
10,100(degree)DAL-TILE INTERNATIONAL, INC ....... 105
5,200(degree)DEPARTMENT 56, INC ................ 195
2,100(degree)DUPONT PHOTOMASKS, INC ............ 89
3,500 FLORIDA ROCK INDUSTRIES, INC ....... 109
2,100(degree)GIANT CEMENT HOLDINGS, INC ........ 52
10,688 LAFARGE CORP ....................... 433
6,200 LIBBEY, INC ........................ 179
9,200 LONE STAR INDUSTRIES, INC .......... 339
48,600 NEWELL COS, INC .................... 2,005
15,600 OWENS CORNING CO ................... 553
38,300(degree)OWENS ILLINOIS, INC ............... 1,173
900 PUERTO RICAN CEMENT CO, INC ........ 31
10,592 SOUTHDOWN, INC ..................... 627
12,000 USG CORP ........................... 611
----------
9,658
----------
See notes to financial statements.
95
<PAGE>
EQUITY INDEX ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ -----
TEXTILE MILL PRODUCTS--0.11%
13,365 ALBANY INTERNATIONAL CORP
(CLASS A) NEW ..................... $ 253
29,800(degree)BURLINGTON INDUSTRIES, INC ........ 328
15,800(degree)COLLINS & AIKMAN CORP ............. 81
26,800(degree)CONE MILLS CORP ................... 151
2,700(degree)GUILFORD MILLS, INC ............... 45
11,400 INTERFACE, INC (CLASS A) ........... 106
9,700(degree)MOHAWK INDUSTRIES, INC ............ 408
2,000(degree)POLYMER GROUP, INC ................ 20
10,300 RUSSELL CORP ....................... 209
33,500 SHAW INDUSTRIES, INC ............... 812
6,200 SPRING INDUSTRIES, INC ............. 257
9,000 ST. JOHN KNITS, INC ................ 234
18,700 UNIFI, INC ......................... 366
17,200(degree)WESTPOINT STEVENS, INC ............ 543
----------
3,813
----------
TOBACCO PRODUCTS--1.26%
4,400(degree)CONSOLIDATED CIGAR HOLDINGS, INC .. 78
50,200 FORTUNE BRANDS, INC ................ 1,588
8,900(degree)GENERAL CIGAR HOLDINGS, INC (CLASS A) 77
742,304 PHILIP MORRIS COS, INC ............. 39,713
56,200 UST, INC ........................... 1,960
----------
43,416
----------
TRANSPORTATION BY AIR--0.50%
30,000 AIRBORNE FREIGHT CORP .............. 1,082
200(degree)AIRNET SYSTEMS, INC ............... 3
4,600(degree)AIRTRAN HOLDINGS, INC ............. 12
9,800(degree)ALASKA AIR GROUP, INC ............. 434
15,600(degree)AMERICA WEST HOLDINGS CORP (CLASS B) 265
53,811(degree)AMR CORP .......................... 3,195
7,300 ASA HOLDINGS, INC .................. 223
2,800(degree)ATLANTIC COAST AIRLINES HOLDINGS .. 70
2,500(degree)ATLAS AIR, INC .................... 122
3,047(degree)AVIALL, INC ....................... 36
14,737 COMAIR HOLDINGS, INC ............... 497
17,100(degree)CONTINENTAL AIRLINES, INC (CLASS B) 573
42,658 DELTA AIRLINES, INC ................ 2,218
42,400(degree)FDX CORP .......................... 3,774
4,100(degree)KITTY HAWK, INC ................... 45
4,200(degree)MESA AIR GROUP, INC ............... 33
1,900(degree)MESABA HOLDINGS, INC .............. 39
3,321(degree)MIDWEST EXPRESS HOLDINGS, INC ..... 87
11,800(degree)NORTHWEST AIRLINES CORP (CLASS A) . 302
6,000(degree)OFFSHORE LOGISTICS, INC ........... 71
6,800 PITTSTON BAX GROUP ................. 76
5,100 SKYWEST, INC ....................... 167
99,626 SOUTHWEST AIRLINES CO .............. 2,235
12,300(degree)TRANS WORLD AIRLINES, INC ......... 59
26,214(degree)U.S. AIRWAYS GROUP, INC ........... 1,363
6,535(degree)UAL CORP .......................... 390
----------
17,371
----------
TRANSPORTATION EQUIPMENT--3.00%
4,100(degree)AFTERMARKET TECHNOLOGY CORP ....... 32
236,056 ALLIED SIGNAL, INC ................. 10,460
11,700 ARCTIC CAT, INC .................... 119
12,500 ARVIN INDUSTRIES, INC .............. 521
27,399 AUTOLIV, INC ....................... 1,019
1,700(degree)AVONDALE INDUSTRIES, INC .......... 49
7,000(degree)BE AEROSPACE, INC ................. 147
302,552 BOEING CO .......................... 9,871
6,300 BORG-WARNER AUTOMOTIVE, INC ........ 352
5,900(degree)BREED TECHNOLOGIES, INC ........... 48
3,600 CLARCOR, INC ....................... 72
9,400 COACHMEN INDUSTRIES, INC ........... 247
2,400 COMMERCIAL INTERTECH CORP .......... 31
9,600 CORDANT TECHNOLOGIES, INC .......... 360
60,615(degree)DAIMLERCHRYSLER (U.S.A.) .......... 5,823
47,018 DANA CORP .......................... 1,922
23,260 DANAHER CORP ....................... 1,263
4,000(degree)DELCO REMY INTERNATIONAL, INC (CLASS A) 39
1,300(degree)DUCOMMUN, INC ..................... 18
20,600 EATON CORP ......................... 1,456
22,900 FEDERAL SIGNAL CORP ................ 627
14,700 FEDERAL-MOGUL CORP ................. 875
8,100 FLEETWOOD ENTERPRISES, INC ......... 281
337,442 FORD MOTOR CO ...................... 19,804
9,800 GENCORP, INC ....................... 244
32,000 GENERAL DYNAMICS CORP .............. 1,876
193,800 GENERAL MOTORS CORP ................ 13,869
29,000(degree)GENERAL MOTORS CORP (CLASS H) ..... 1,151
27,600(degree)GENTEX CORP ....................... 552
21,400(degree)GULFSTREAM AEROSPACE CORP ......... 1,140
8,715(degree)HALTER MARINE GROUP, INC .......... 42
45,200 HARLEY DAVIDSON, INC ............... 2,141
9,260(degree)HAYES LEMMERZ INTERNATIONAL, INC .. 280
1,200(degree)HEICO CORP ........................ 38
8,720(degree)HOWMET INTERNATIONAL, INC ......... 141
32,200 ITT INDUSTRIES, INC ................ 1,280
3,500 KAMAN CORP (CLASS A) ............... 56
2,400(degree)KELLSTROM INDUSTRIES, INC ......... 69
700(degree)KROLL O GARA CO ................... 28
51,135 LOCKHEED MARTIN CORP ............... 4,334
14,500 MASCOTECH, INC ..................... 248
18,633 MERITOR AUTOMOTIVE, INC ............ 395
5,100 MODINE MANUFACTURING CO ............ 185
7,200(degree)MONACO COACH CORP ................. 191
4,600(degree)MOTIVEPOWER INDUSTRIES, INC ....... 148
1,600(degree)NATIONAL R.V. HOLDINGS, INC ....... 41
19,900(degree)NAVISTAR INTERNATIONAL CORP ....... 567
11,406 NEWPORT NEWS SHIPBUILDING, INC ..... 381
20,040 NORTHROP GRUMMAN CORP .............. 1,465
7,700 OEA, INC ........................... 91
10,800(degree)ORBITAL SCIENCES CORP ............. 478
19,200 PACCAR, INC ........................ 790
8,600 POLARIS INDUSTRIES, INC ............ 337
10,600 REGAL-BELOIT CORP .................. 244
1,163(degree)SEQUA CORP (CLASS A) .............. 70
8,850 SMITH (A.O.) CORP .................. 217
10,287(degree)SPX CORP .......................... 689
500 STANDARD MOTOR PRODUCTS, INC
(CLASS A) ......................... 12
10,900 STANDARD PRODUCTS CO ............... 222
1,900(degree)STONERIDGE, INC ................... 43
16,100 SUNDSTRAND CORP .................... 835
6,200 SUPERIOR INDUSTRIES
INTERNATIONAL, INC ................ 172
38,672 TEXTRON, INC ....................... 2,937
17,475 TRANSPRO, INC ...................... 85
11,900 TRINITY INDUSTRIES, INC ............ 458
3,000(degree)TRISTAR AEROSPACE CO .............. 21
2,087(degree)TRIUMPH GROUP, INC ................ 67
34,100 TRW, INC ........................... 1,916
67,600 UNITED TECHNOLOGIES CORP ........... 7,352
3,500 VARLEN CORP ........................ 81
5,400 WABASH NATIONAL CORP ............... 110
3,700 WESTINGHOUSE AIR BRAKE CO .......... 90
----------
103,615
----------
See notes to financial statements.
96
<PAGE>
EQUITY INDEX ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ -----
TRANSPORTATION SERVICES--0.07%
14,050 AIR EXPRESS INTERNATIONAL CORP ..... $ 306
9,600 C.H. ROBINSON WORLDWIDE, INC ....... 249
1,500 CIRCLE INTERNATIONAL GROUP, INC .... 31
2,900(degree)EAGLE U.S.A. AIRFREIGHT, INC ...... 71
9,300 EXPEDITORS INTERNATIONAL OF
WASHINGTON ........................ 391
7,600(degree)FRITZ COS, INC .................... 82
18,000 GALILEO INTERNATIONAL, INC ......... 783
14,400 GATX CORP .......................... 545
2,452(degree)NAVIGANT INTERNATIONAL, INC ....... 19
1,000(degree)TRAVEL SERVICES INTERNATIONAL, INC 31
700(degree)U.S. EXPRESS ENTERPRISES, INC (CLASS A) 11
----------
2,519
----------
TRUCKING AND WAREHOUSING--0.10%
10,100(degree)AMERICAN FREIGHTWAYS CORP ......... 116
4,000 ARNOLD INDUSTRIES, INC ............. 65
11,627 CNF TRANSPORTATION, INC ............ 437
10,950(degree)CONSOLIDATED FREIGHTWAYS CORP ..... 174
5,300(degree)COVENANT TRANSPORT, INC (CLASS A) . 95
3,300(degree)HEARTLAND EXPRESS, INC ............ 58
6,200 HUNT (J.B.) TRANSPORT SERVICES, INC 143
4,500(degree)IRON MOUNTAIN, INC ................ 162
10,100(degree)LANDSTAR SYSTEM, INC .............. 412
6,200(degree)M.S. CARRIERS, INC ................ 204
700(degree)PIERCE LEAHY CORP ................. 18
6,400 ROADWAY EXPRESS, INC ............... 92
14,250(degree)SWIFT TRANSPORTATION CO, INC ...... 399
12,300 USFREIGHTWAYS CORP ................. 358
16,875 WERNER ENTERPRISES, INC ............ 298
11,600(degree)YELLOW CORP ....................... 222
----------
3,253
----------
WATER TRANSPORTATION--0.05%
17,900 ALEXANDER & BALDWIN, INC ........... 416
3,400(degree)GULFMARK OFFSHORE, INC ............ 54
13,000(degree)HVIDE MARINE, INC (CLASS A) ....... 65
8,800(degree)KIRBY CORP ........................ 175
2,270(degree)MARINE TRANSPORT CORP ............. 5
22,700(degree)OMI CORP (NEW) .................... 74
6,700 OVERSEAS SHIPHOLDING GROUP, INC .... 108
4,900(degree)SEACOR SMIT, INC .................. 242
16,827 TIDEWATER, INC ..................... 390
9,000(degree)TRICO MARINE SERVICES, INC ........ 44
----------
1,573
----------
WHOLESALE TRADE-DURABLE GOODS--0.29%
12,450 AAR CORP ........................... 297
4,300(degree)ACTION PERFORMANCE COS, INC ....... 152
2,800(degree)ANICOM, INC ....................... 26
9,300(degree)ANIXTER INTERNATIONAL, INC ........ 189
10,330 APPLIED INDUSTRIAL TECHNOLOGIES, INC 143
27,571(degree)ARROW ELECTRONICS, INC ............ 736
1,200(degree)AVIATION SALES CO ................. 49
10,410 AVNET, INC ......................... 630
6,300 BRIGGS & STRATTON CORP ............. 314
15,300(degree)BRIGHTPOINT, INC .................. 210
12,000(degree)CELLSTAR CORP ..................... 82
11,100(degree)CHS ELECTRONICS, INC .............. 188
11,900 COMMERCIAL METALS CO ............... 330
5,400(degree)FAIRCHILD CORP (CLASS A) .......... 85
10,100(degree)FISHER SCIENTIFIC INTERNATIONAL, INC 201
45,696 GENUINE PARTS CO ................... 1,528
22,483 GRAINGER (W.W.), INC ............... 936
6,900(degree)HA-LO INDUSTRIES, INC ............. 260
9,400(degree)HANDLEMAN CO ...................... 132
7,100 HUGHES SUPPLY, INC ................. 208
38,300 IKON OFFICE SOLUTIONS, INC ......... 328
14,800(degree)INGRAM MICRO, INC (CLASS A) ....... 516
10,500(degree)KENT ELECTRONICS CORP ............. 134
2,500(degree)KEYSTONE AUTOMOTIVE INDUSTRIES, INC 52
6,200(degree)MARSHALL INDUSTRIES, INC .......... 152
23,700(degree)MERISEL, INC ...................... 56
7,300(degree)MICROAGE, INC ..................... 112
11,100 OWENS & MINOR, INC ................. 175
11,050(degree)PATTERSON DENTAL CO ............... 481
13,650 PIONEER-STANDARD ELECTRONICS, INC .. 128
1,200(degree)POMEROY COMPUTER RESOURCES, INC ... 27
2,400 RELIANCE STEEL & ALUMINUM CO ....... 66
9,500(degree)SAFEGUARD SCIENTIFICS, INC ........ 261
2,000(degree)SODAK GAMING, INC ................. 17
13,500(degree)TBC CORP .......................... 96
14,800(degree)TECH DATA CORP .................... 596
2,400(degree)VWR SCIENTIFIC PRODUCTS CORP ...... 42
270 WESCO FINANCIAL CORP ............... 96
1,000(degree)WILMAR INDUSTRIES, INC ............ 20
----------
10,051
----------
WHOLESALE TRADE-NONDURABLE GOODS--0.45%
17,800(degree)AIRGAS, INC ....................... 159
7,400(degree)AMERISOURCE HEALTH CORP (CLASS A) . 481
34,000(degree)AVATEX CORP ....................... 34
13,700(degree)BARNETT RESOURCES CORP ............ 329
30,056 BERGEN BRUNSWIG CORP (CLASS A) ..... 1,048
4,146 BINDLEY WESTERN INDUSTRIES, INC .... 204
3,016(degree)BOISE CASCADE OFFICE PRODUCTS CORP 41
59,834 CARDINAL HEALTH, INC ............... 4,540
9,239(degree)CENTRAL GARDEN & PET CO ........... 133
1,500(degree)DAISYTEK INTERNATIONAL CORP ....... 29
15,300 DIMON, INC ......................... 114
15,771 FLEMING COS, INC ................... 164
4,100 HERBALIFE INTERNATIONAL, INC (CLASS A) 58
2,000 HERBALIFE INTERNATIONAL, INC (CLASS B) 23
3,000 INTERNATIONAL MULTIFOODS CORP ...... 77
22,900 MCKESSON CORP NEW .................. 1,811
14,800(degree)NATIONAL-OILWELL, INC ............. 166
3,600(degree)NCS HEALTHCARE, INC (CLASS A) ..... 86
13,200(degree)NU SKIN ENTERPRISES, INC (CLASS A) 312
2,500(degree)PERFORMANCE FOOD GROUP CO ......... 70
12,285(degree)PHARMERICA, INC ................... 74
4,700(degree)PLAINS RESOURCES, INC ............. 66
2,600(degree)PRIORITY HEALTHCARE CORP (CLASS B) 135
13,750 RICHFOOD HOLDINGS, INC ............. 285
2,725(degree)SCHOOL SPECIALTY, INC ............. 58
10,600(degree)SCIOS, INC ........................ 110
2,200 SMART & FINAL, INC ................. 21
34,784 SUPERVALU, INC ..................... 974
99,476 SYSCO CORP ......................... 2,700
21,000 TERRA INDUSTRIES, INC .............. 130
1,200(degree)U.S.A. FLORAL PRODUCTS, INC ....... 14
800 UNILEVER-N.Y. SHS .................. 66
19,050 UNISOURCE WORLDWIDE, INC ........... 138
10,200(degree)UNITED STATIONERS, INC ............ 265
11,600(degree)UNIVERSAL CORP .................... 407
4,600 VALHI, INC ......................... 52
1,400 WEIDER NUTRITION INTERNATIONAL, INC 9
----------
15,383
----------
TOTAL COMMON STOCK
(Cost $2,421,519) .................... 3,410,750
----------
See notes to financial statements.
97
<PAGE>
EQUITY INDEX ACCOUNT (CONTINUED)
VALUE
PRINCIPAL (000)
--------- -----
SHORT TERM INVESTMENTS--1.75%
U.S. GOVERNMENT & AGENCIES--1.75%
FEDERAL HOME LOAN BANK
$17,400,000 * 4.740%, 01/15/99 ................. $ 17,366
FEDERAL HOME LOAN MORTGAGE CORP
43,000,000 4.500%, 01/04/99 ................. 42,979
----------
60,345
----------
TOTAL SHORT TERM INVESTMENTS
(Cost $60,352) ....................... 60,345
----------
TOTAL PORTFOLIO
(Cost $2,482,463) .................... $3,471,722
==========
- ------------------------
(degree) Non-income producing
x In bankruptcy
* All or a portion of this security has been segregated by the Custodian to
cover margin or other requirements on open futures contracts.
# Restricted Securities-Investment in securities not registered under the
Securities Act of 1933 or not publicly traded on foreign markets. At December
31, 1998, the value of these securities amounted to $381 or 0.00% of net
assets.
Additional information on the restricted security is as follows:
Acquisition Acquisition
Security Date Cost
-------- ----------- -----------
PHYSICIAN COMPUTER NETWORK, INC 01/22/96 $75,341
=======
See notes to financial statements.
98
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENT OF INVESTMENTS--INFLATION LINKED BOND ACCOUNT
DECEMBER 31, 1998
SUMMARY BY INDUSTRY
(000)
VALUE %
----- -----
GOVERNMENT BONDS
U.S. TREASURY SECURITIES ................. $136,838 96.49%
TOTAL GOVERNMENT BONDS
(Cost $137,911) ......................... 136,838 96.49
-------- ------
TOTAL BONDS
(COST $137,911) ......................... 136,838 96.49
-------- ------
SHORT TERM INVESTMENT
COMMERCIAL PAPER ........................ 2,898 2.04
-------- ------
TOTAL SHORT TERM INVESTMENT
(COST $2,899) ........................... 2,898 2.04
-------- ------
TOTAL PORTFOLIO
(COST $140,810) ......................... 139,736 98.53
OTHER ASSETS & LIABILITIES, NET ........ 2,088 1.47
-------- ------
NET ASSETS ................................ $141,824 100.00%
======== ======
VALUE
PRINCIPAL (000)
--------- -----
GOVERNMENT BONDS--94.49%
U.S. TREASURY SECURITIES--96.49%
U.S. TREASURY INFLATION INDEXED
$35,325,532 3.625%, 07/15/02 ................. $ 35,061
33,328,296 3.375%, 01/15/07 ................. 32,214
35,222,420 3.625%, 01/15/08 ................. 34,551
36,094,601 3.625%, 04/15/28 ................. 35,012
----------
136,838
----------
TOTAL GOVERNMENT BONDS
(Cost $137,911) .................... 136,838
----------
TOTAL BONDS
(Cost $137,911) .................... 136,838
----------
SHORT TERM INVESTMENT--2.04%
COMMERCIAL PAPER--2.04%
CSX CORP
2,900,000 ~ 5.600%, 01/04/99 ................. 2,898
----------
TOTAL SHORT TERM INVESTMENT
(Cost $2,899) ...................... 2,898
----------
TOTAL PORTFOLIO
(Cost $140,810) .................... $139,736
==========
~ Commercial Paper issued under the Private Placement exemption under Section
4(2) of the Securities Act of 1933, as amended.
99
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
PARTICIPANT VOTING RESULTS
DECEMBER 31, 1998
-----------------
CREF's annual meeting was held on November 11, 1998.
The annual meeting involved the election of trustees. The four trustees elected
to four-year terms at the annual meeting were:
Robert H. Atwell, 26,097,623,351.33 (98.0%) votes were cast in favor, and
540,185,163.69 (2.0%) votes were withheld.
Elizabeth E. Bailey, 26,024,304,647.96 (97.7%) votes were cast in favor, and
613,503,867.06 (2.3%) votes were withheld.
Stuart Tse Kong Ho, 26,155,619,551.44 (98.2%) votes were cast in favor, and
482,188,963.61 (1.8%) votes were withheld.
David K. Storrs, 26,181,620,037.08 (98.3%) votes were cast in favor, and
456,188,477.94 (1.7%) votes were withheld.
The other trustees currently in office are: John H. Biggs, Gary P. Brinson,
Joyce A. Fecske, Edes P. Gilbert, Nancy L. Jacob, Marjorie Fine Knowles, Martin
L. Leibowitz, Jay O. Light, Bevis Longstreth, Robert M. Lovell, Jr., Stephen A.
Ross, Eugene C. Sit,
Maceo K. Sloan, and Robert W. Vishny.
One shareholder proposal was submitted to a vote of CREF participants in the
Social Choice Account recommending adoption of an additional screen for the
account.
On this proposal, 177,525,679.36 (35.0%) votes were cast in favor,
299,782,242.12 (59.1%) votes were cast in opposition and 30,086,129.60 (5.9%)
abstained. The proposal was defeated.
One shareholder proposal was submitted to a vote of CREF participants in
accounts with investments in tobacco manufacturers, asking CREF to divest its
investments in those companies.
For the Stock Account, 5,299,030,165.32 (24.6%) votes were cast in favor,
14,644,002,624.49 (68.1%) votes were cast in opposition and 1,569,735,443.59
(7.3%) abstained. The proposal was defeated.
For the Money Market Account, 318,702,925.02 (25.2%) votes were cast in favor,
860,496,439.06 (68.0%) were cast in opposition and 86,184,320.34 (6.8%)
abstained. The proposal was defeated.
For the Bond Account, 148,962,461.37 (25.3%) votes were cast in favor,
401,162,036.14 (68.1%) votes were cast in opposition and 38,613,697.13 (6.6%)
abstained. The proposal was defeated.
For the Global Equities Account, 298,560,776.23 (26.1%) votes were cast in
favor, 781,962,194.03 (68.3%) votes were cast in opposition and 64,101,614.30
(5.6%) abstained. The proposal was defeated.
For the Growth Account, 319,699,090.08 (26.9%) votes were cast in favor,
806,591,848.74 (67.8%) votes were cast in opposition and 63,007,149.20 (5.3%)
abstained. The proposal was defeated.
For the Equity Index Account, 160,645,618.08 (26.9%) votes were cast in favor,
401,540,506.12 (67.2%) votes were in opposition and 35,102,846.60 (5.9%)
abstained. The proposal was defeated.
For the Inflation-Linked Bond Account, 4,749,024.10 (21.2%) votes were cast in
favor, 15,789,200.94 (70.8%) votes were cast in opposition and 1,774,483.08
(8.0%) abstained. The proposal was defeated.
Shareholders also ratified the election of Ernst & Young LLP as the independent
auditors for CREF for the fiscal year ending December 31, 1998,
25,993,354,981.88 (97.6%) votes were cast in favor, 224,298,294.51 (0.8%) votes
were cast in opposition and 420,155,238.63 (1.6%) abstained.
100
<PAGE>
CREF COLLEGE RETIREMENT EQUITIES FUND
730 Third Avenue
New York, NY 10017-3206 LOGO Printed of recycled paper
212/490-9000
CAAR--02M-2/99
