(2_FIDELITY_LOGOS)
SPARTAN(registered trademark)
INTERNATIONAL INDEX
FUND
ANNUAL REPORT
FEBRUARY 28, 1998
CONTENTS
<TABLE>
<CAPTION>
<S> <C> <C>
PRESIDENT'S MESSAGE 3 NED JOHNSON ON INVESTING STRATEGIES.
PERFORMANCE 4 HOW THE FUND HAS DONE OVER TIME.
FUND TALK 5 THE MANAGER'S REVIEW OF FUND PERFORMANCE, STRATEGY
AND OUTLOOK.
INVESTMENT SUMMARY 6 A SUMMARY OF THE FUND'S INVESTMENTS.
INVESTMENTS 7 A COMPLETE LIST OF THE FUND'S INVESTMENTS WITH THEIR
MARKET VALUES.
FINANCIAL STATEMENTS 14 STATEMENTS OF ASSETS AND LIABILITIES, OPERATIONS, AND
CHANGES IN NET ASSETS, AS WELL AS FINANCIAL HIGHLIGHTS.
NOTES 16 NOTES TO THE FINANCIAL STATEMENTS.
REPORT OF INDEPENDENT ACCOUNTANTS 18 THE AUDITORS' OPINION.
DISTRIBUTIONS 19
</TABLE>
THIS REPORT AND THE FINANCIAL STATEMENTS CONTAINED HEREIN ARE
SUBMITTED FOR THE GENERAL INFORMATION OF THE SHAREHOLDERS OF THE FUND.
THIS REPORT IS NOT AUTHORIZED FOR
DISTRIBUTION TO PROSPECTIVE INVESTORS IN THE FUND UNLESS PRECEDED OR
ACCOMPANIED BY AN EFFECTIVE PROSPECTUS.
MUTUAL FUND SHARES ARE NOT DEPOSITS OR OBLIGATIONS OF, OR GUARANTEED
BY, ANY DEPOSITORY INSTITUTION. SHARES ARE NOT
INSURED BY THE FDIC, FEDERAL RESERVE BOARD OR ANY OTHER AGENCY, AND
ARE SUBJECT TO INVESTMENT RISKS, INCLUDING
POSSIBLE LOSS OF PRINCIPAL AMOUNT INVESTED.
NEITHER THE FUND NOR FIDELITY DISTRIBUTORS CORPORATION IS A BANK.
PRESIDENT'S MESSAGE
DEAR SHAREHOLDER:
Through the first two months of 1998, investors were still trying to
discern what effects ongoing troubles in Southeast Asia might have on
global economies and markets. The U.S. stock market continued to do
well despite these ongoing uncertainties, paced by sustained corporate
profits and signs of recovery in the Asian markets. Bonds, on the
other hand, struggled somewhat in February as the pace of stock
investors' "flight to quality" slowed in the face of this positive
news, and issuers flooded the market with new debt to take advantage
of lower interest rates. Nonetheless, these lower rates, subdued
inflation and moderate growth created a generally favorable climate
for bond investors.
While it's impossible to predict the future direction of the markets
with any degree of certainty, there are certain basic principles that
can help investors plan for their future needs.
First, investors are encouraged to take a long-term view of their
portfolios. If you can afford to leave your money invested through the
inevitable up and down cycles of the financial markets, you will
greatly reduce your vulnerability to any single decline. We know from
experience, for example, that stock prices have gone up over longer
periods of time, have significantly outperformed other types of
investments and have stayed ahead of inflation.
Second, you can further manage your investing risk through
diversification. A stock mutual fund, for instance, is already
diversified, because it invests in many different companies. You can
increase your diversification further by investing in a number of
different stock funds, or in such other investment categories as
bonds. If you have a short investment time horizon, you might want to
consider moving some of your investment into a money market fund,
which seeks income and a stable share price by investing in
high-quality, short-term investments. Of course, it's important to
remember that there is no assurance that a money market fund will
achieve its goal of maintaining a stable net asset value of $1.00 per
share, and that these types of funds are neither insured nor
guaranteed by any agency of the U.S. government.
Finally, no matter what your time horizon or portfolio diversity, it
makes good sense to follow a regular investment plan, investing a
certain amount of money in a fund at the same time each month or
quarter and periodically reviewing your overall portfolio. By doing
so, you won't get caught up in the excitement of a rapidly rising
market, nor will you buy all your shares at market highs. While this
strategy - known as dollar cost averaging - won't assure a profit or
protect you from a loss in a declining market, it should help you
lower the average cost of your purchases.
If you have questions, please call us at 1-800-544-8888. We are
available 24 hours a day, seven days a week to provide you the
information you need to make the investments that are right for you.
Best regards,
Edward C. Johnson 3d
PERFORMANCE
PERFORMANCE
There are several ways to evaluate a fund's historical performance.
You can look at the total percentage change in value, the average
annual percentage change or the growth of a hypothetical $10,000
investment. Total return reflects the change in the value of an
investment, assuming reinvestment of the fund's dividend income and
capital gains (the profits earned upon the sale of securities that
have grown in value) and the effect of the 1.00% purchase fee. If
Fidelity had not reimbursed certain fund expenses, the total returns
would have been lower.
CUMULATIVE TOTAL RETURNS
PERIOD ENDED LIFE OF
FEBRUARY 28, 1998 FUND
SPARTAN INTERNATIONAL INDEX 10.83%
SPARTAN INTERNATIONAL INDEX 9.72%
(INCL. 1.00% PURCHASE FEE)
MSCI EAFE 9.97%
CUMULATIVE TOTAL RETURNS show the fund's performance in percentage
terms over a set period - in this case, since the fund started on
November 5, 1997. For example, if you had invested $1,000 in a fund
that had a 5% return over the past year, the value of your investment
would be $1,050. You can compare the fund's returns to the performance
of the Morgan Stanley Capital International Europe, Australasia, Far
East (MSCI EAFE) Index - a market capitalization weighted, unmanaged
index of over 1,000 foreign stocks. This benchmark includes reinvested
dividends and capital gains, if any, and excludes the effect of sales
charges.
AVERAGE ANNUAL TOTAL RETURNS
AVERAGE ANNUAL TOTAL RETURNS take the fund's cumulative return and
show you what would have happened if the fund had performed at a
constant rate each year. These numbers will be reported once the fund
is a year old. In addition, the growth of the hypothetical $10,000
investment in the fund will appear in the fund's next report six
months from now.
UNDERSTANDING PERFORMANCE
How a fund did yesterday is no guarantee of how
it will do tomorrow. The stock market, for example,
has a history of long-term growth and short-term
volatility. In turn, the share price and return of a
fund that invests in stocks will vary. That means if
you sell your shares during a market downturn,
you might lose money. But if you can ride out the
market's ups and downs, you may have a gain.
(checkmark)
FUND TALK: THE MANAGER'S OVERVIEW
An interview with Richard Vella, Portfolio Manager of Spartan
International Index Fund for Bankers Trust, sub-adviser of the fund
Q. HOW DID THE FUND PERFORM, RICK?
A. From its inception on November 5, 1997, through February 28, 1998,
the fund posted a total return of 10.83%, while the Morgan Stanley
Capital International Europe, Australasia and Far East (MSCI EAFE)
Index returned 9.97%.
Q. WHAT WAS THE INVESTING ENVIRONMENT LIKE OVER THE PAST FOUR MONTHS?
A. Although it's very difficult to draw conclusions from such a short
period, the fund's and the index's returns seemed to indicate that
many of the foreign markets were rebounding from the fallout caused by
currency devaluations and economic upheaval in Southeast Asia. While
signs of economic deterioration in that region had been evident as far
back as June, it wasn't until late October 1997 that several larger
markets - most notably Hong Kong - started to stumble. That incited a
"flight to quality" mentality among global investors through the end
of the year. Many turned to stocks of companies with minimal
international business exposure or other characteristics such as
steady earnings growth that seemed to immunize the companies from the
negative influence of changes in Southeast Asian. Specifically,
investors shied away from stocks of multinational companies they felt
would suffer from decreased demand for their products and services
brought on by economic slowdowns in the Asia region. In Europe,
corporate restructuring remained a dominant theme. In addition, the
U.S. dollar generally was strong compared to other currencies, helping
non-U.S. based exporters gain an upper hand due to lower prices for
their products.
Q. JAPAN IS A MAJOR COMPONENT OF THE MSCI EAFE INDEX. HOW DID THAT
MARKET FARE?
A. Japan posted a mixed performance. On the negative side, most
stocks, including financials, struggled during the last two months of
1997 for several reasons. First off, the economy showed little sign of
emerging from recession, consumer confidence was very low and
questions remained about the country's overall loan exposure to the
struggling economies of Southeast Asia. Second, corporate bankruptcies
were increasing. For example, Yamaichi Securities, the country's
fourth-largest brokerage firm, closed near the end of 1997. Further,
there was a scandal involving finance ministry officials that led to
the resignation of the finance minister. On the positive side, much of
the Japanese market rebounded smartly through the first two months of
1998 on the strength of improving news from Southeast Asia. In
addition, the government announced an economic stimulus package that
helped bolster stocks of banks and cyclical companies - those whose
prospects rise and fall with the economy. Non-Japanese investors
attracted by low stock valuations were the major buyers of equities
during this rally.
Q. LET'S TURN TO EUROPE. WHAT WERE THE MARKETS LIKE THERE?
A. Stock markets in Europe progressed steadily upward, reaching record
highs in many countries in February. Domestic economic growth overall
was healthy, although uncertainty remained about the effect of an
Asian slowdown on corporate earnings-growth prospects. Specifically,
cyclicals such as papers, metals and chemicals were hurt. Banks, on
the other hand, thrived on the heels of low interest rates and muted
inflation. Britain's Lloyds TSB Group and Barclays, along with Spain's
Banco Bilbao Vizcaya, were among the market leaders in this sector.
Consolidation activity within the financial, pharmaceutical and
telecommunications industries supported stock prices, as did
restructuring programs and a move toward shareholder-friendly
management by many companies. SmithKline Beecham, Glaxo Wellcome and
Novartis were three pharmaceutical firms that posted strong gains due
to these trends, as well as the flight to quality I mentioned earlier.
As in Japan, foreign investors were attracted to European shares
because many European equities were perceived to be undervalued
compared to alternatives in the U.S.
Q. WHAT'S YOUR OUTLOOK?
A. While many variables come into play in the performance of foreign
stock markets, economic growth should be a key going forward. The
strength of the economic recovery in Europe - along with companies'
successful restructuring programs and shareholder-friendly management
teams - will help dictate stock performance in that region. In Japan,
market watchers will most probably focus on whether or not the
government's attempts to stimulate the economy and deal with the
banking crisis succeed. And, of course, all eyes will be on Southeast
Asia, looking to see whether or not economies there can recover enough
to help contribute to the earnings of companies with business in that
region.
THE VIEWS EXPRESSED IN THIS REPORT REFLECT THOSE OF THE PORTFOLIO
MANAGER ONLY THROUGH THE END OF THE PERIOD OF THE REPORT AS STATED ON
THE COVER. THE MANAGER'S VIEWS ARE SUBJECT TO CHANGE AT ANY TIME BASED
ON MARKET AND OTHER CONDITIONS.
FUND FACTS
GOAL: total return that corresponds to that of the
Morgan Stanley Capital International Europe,
Australasia and Far East (MSCI EAFE) Index
FUND NUMBER: 399
TRADING SYMBOL: FSIIF
START DATE: November 5, 1997
SIZE: as of February 28, 1998, more than
$24 million
MANAGER: Richard Vella, since inception
(checkmark)
INVESTMENT SUMMARY
TOP TEN STOCKS AS OF FEBRUARY 28, 1998
% OF FUND'S INVESTMENTS
ROYAL DUTCH PETROLEUM CO. ORD. 1.9
(NETHERLANDS, OIL & GAS)
NOVARTIS AG (REG.) 1.8
(SWITZERLAND, DRUGS & PHARMACEUTICALS)
NIPPON TELEGRAPH & TELEPHONE CORP. ORD. 1.6
(JAPAN, TELEPHONE SERVICES)
TOYOTA MOTOR CORP. 1.5
(JAPAN, AUTO, TIRES & ACCESSORIES)
GLAXO WELLCOME PLC 1.3
(UNITED KINGDOM, DRUGS & PHARMACEUTICALS)
ROCHE HOLDING AG 1.3
(SWITZERLAND, DRUGS & PHARMACEUTICALS)
NESTLE SA (REG.) 1.1
(SWITZERLAND, FOODS)
LLOYDS TSB GROUP PLC 1.1
(UNITED KINGDOM, BANKS)
BRITISH PETROLEUM PLC ORD. 1.1
(UNITED KINGDOM, OIL & GAS)
ALLIANZ AKTIENGESELLSCHAFT HOLDINGS (REG.) 1.0
(GERMANY, INSURANCE)
GEOGRAPHIC DIVERSIFICATION (% OF FUND'S INVESTMENTS)
AS OF FEBRUARY 28, 1998
FRANCE 7.8%
GERMANY 10.0%
ROW: 1, COL: 1, VALUE: 10.0
ROW: 1, COL: 2, VALUE: 3.0
ROW: 1, COL: 3, VALUE: 4.4
ROW: 1, COL: 4, VALUE: 24.5
ROW: 1, COL: 5, VALUE: 5.8
ROW: 1, COL: 6, VALUE: 15.0
ROW: 1, COL: 7, VALUE: 8.199999999999999
ROW: 1, COL: 8, VALUE: 21.3
ROW: 1, COL: 9, VALUE: 7.8
HONG KONG 3.0%
UNITED KINGDOM 21.3%
ITALY 4.4%
JAPAN 24.5%
SWITZERLAND 8.2%
OTHER 15.0%
NETHERLANDS 5.8%
PERCENTAGES ARE ADJUSTED FOR THE EFFECT OF FUTURES CONTRACTS, IF
APPLICABLE.
INVESTMENTS FEBRUARY 28, 1998
SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENT IN SECURITIES
COMMON STOCKS - 91.7%
SHARES VALUE (NOTE 1)
AUSTRALIA - 2.3%
Amcor Ltd. 2,400 $ 10,454
Australian Gas Light Co. 1,200 9,541
Boral Ltd. Ord. 4,300 10,403
Brambles Industries Ltd. 800 16,744
Broken Hill Proprietary Co. Ltd. (The) 6,900 70,824
CSR Ltd. 3,700 12,245
Coca-Cola Amatil Ltd. 3,000 25,789
Coles Myer Ltd. 4,100 21,231
Fosters Brewing Group Ltd. (a) 6,400 14,135
General Property Trust 4,881 9,553
GIO Australia Holdings Ltd. 2,100 5,945
Goodman Fielder Ltd. Ord. 5,000 8,630
Howard Smith 500 4,084
James Hardie Industries Ltd. Ord. 1,000 3,099
Lend Lease Corp. Ltd. (a) 900 22,598
MIM Holdings 4,700 2,619
National Australia Bank Ltd. (a) 4,819 66,477
News Corp. Ltd. 6,500 41,300
Normandy Mining Ltd. 6,600 6,548
North Ltd. 2,900 7,859
Orica Ltd. 1,100 7,475
Pacific Dunlop PLC (a) 4,100 7,244
Pioneer International Ltd. 3,000 8,664
QBE Insurance Group Ltd. Ord. 1,000 4,132
Rio Tinto Ltd. 1,200 15,722
Santos Ltd. 2,300 8,823
Southcorp Holdings Ltd. (a) 2,400 8,872
Tabcorp Holdings Ltd. 1,300 6,901
Telstra Corp. Ltd. (Installment Receipt) 18,400 48,890
Western Mining Holdings Ltd. 4,100 13,875
Westfield Trust 4,854 10,490
Westpac Banking Corp. 6,200 42,890
554,056
AUSTRIA - 0.3%
Bank Austria AG 210 14,216
Boehler - Uddeholm AG 50 3,197
Creditanstalt Bankverein (CABV) 110 9,642
Erste Allgemeine 30 9,819
Mayr Melnhof Karton AG 60 3,475
OMV AG 100 12,107
Verbund Gesellschaft 110 11,557
Vienna Airport (Flughafen Wien) (a) 90 3,627
VA Technologie AG 60 8,279
Wienerberger Baustoffind AG 30 5,788
81,707
BELGIUM - 1.3%
Barco Industries NV 50 10,653
Cimenteries CBR Cementbedrijven 50 4,392
Colruyt SA 13 8,261
Delhaize Freres & Cie Le Lion SA 150 9,131
D'ieteren Trading SA 18 5,719
Electrabel SA 200 48,539
Fortis AG (a) 150 38,367
Generale de Banque SA 62 29,341
Group Bruxelles Lambert 100 15,672
Kredietbank NV (a) 50 23,095
Petrofina SA 100 34,108
Royale Belge SA 50 15,853
Solvay & Cie SA 300 18,823
Tractebel SA (a) 300 30,797
UCB Group 5 20,091
Union Miniere SA (a) 100 7,396
320,238
SHARES VALUE (NOTE 1)
DENMARK - 1.0%
Carlsberg AS Class A 200 $ 11,531
A/S D/S Svendborg Class B 1 65,024
D/S 1912 Class B 1 44,884
Danisco AS 226 14,155
Den Danske Bank Group AS 200 25,721
Novo-Nordisk AS Class B 264 39,483
Tele Danmark AS Class B 462 29,908
Unidanmark AS Class A 200 14,508
245,214
FINLAND - 0.8%
Instrumentarium OY Class A 100 5,625
Kemira OY 500 4,963
Kesko OY 400 6,547
Merita Ltd., Series A 2,900 16,945
Metra 'B' 200 5,067
Nokia Corp. AB:
Series A 800 80,062
Series K 300 29,942
Outokumpu OY Class A 500 6,533
Pohjola Insurance Co. Ltd.:
Class A 100 4,718
Class B 100 4,718
Sampo Insurance Co. Ltd. 200 7,658
UPM-Kymmene Corp. 900 23,355
196,133
FRANCE - 7.3%
Accor SA 150 34,628
Alcatel Alsthom Compagnie Generale
d'Electricite SA 550 71,521
Axa SA 1,150 111,214
BQE National Paris Ord. 750 45,316
BIC (a) 200 15,848
Canal Plus SA 100 21,066
Carrefour Supermarche SA 150 89,993
Casino Guichard Perrachon Ord. 250 15,229
Compagnie de Saint Gobain 300 42,016
Essilor International SA 50 15,344
Eridania Beghin Say Group Ord. 100 17,831
Elf Sanofi SA 350 39,652
France Telecom SA 2,700 130,822
Groupe Danone 250 50,488
Generale des Eaux, Cie 450 70,782
Havas SA 300 23,392
L'Oreal Co. Ord. 250 112,552
LVMH (Moet-Hennessy Louis Vuitton)
sponsored ADR (a) 300 60,291
Lafarge SA 300 22,131
Lagardere S.C.A. (Reg.) 450 16,329
Legrand SA 100 23,085
L'Air Liquide 250 40,391
Michelin SA (Compagnie Generale
des Etablissements) Class B 500 30,950
Nationale Elf Aquitaine 950 108,095
Pernod-Ricard 250 16,337
Peugeot SA Ord. 200 28,471
Pinault Printemps SA 100 65,545
Paribas SA (Cie Financiere) Class A 600 57,040
Promodes 50 22,289
Rhone Poulenc SA Class A 1,150 52,983
Schneider SA 500 31,114
Societe Generale Class A 350 52,754
Sodexho Allience SA (RFD) 5 3,158
Sodexho Allience SA 50 32,214
Suez Lyonnaise des Eaux 450 59,330
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
FRANCE - CONTINUED
Thomson C.S.F. 450 $ 15,516
Total SA Class B 800 87,743
Usinor Sacilor 900 13,499
Valeo SA 250 21,386
1,768,345
GERMANY - 8.4%
Adidas AG 150 23,345
Allianz Aktiengesellschaft
Holdings (Reg.) 800 248,974
BASF AG 2,050 74,188
Bayer AG 2,450 103,306
Bayerische Hypotheken-und
Wechselbank AG 900 42,560
Bayerische Vereinsbank AG Ord. 950 59,655
Beiersdorf AG 250 11,774
Daimler-Benz AG Ord. 1,750 142,520
Degussa AG 350 17,833
Deutsche Bank AG 1,800 121,309
Deutsche Lufthansa AG (Reg.) 1,350 25,878
Deutsche Telekom AG 7,350 148,016
Dresdner Bank AG Ord. 1,600 72,974
Heidelberger Zement AG (a) 200 14,817
Hochtief AG 250 8,703
Karstadt AG 50 17,516
Linde AG 50 33,146
Man AG Ord. 50 15,258
Mannesmann AG Ord. 150 90,308
Merck KGAA (a) 600 22,309
Metro AG 800 35,760
Munich Reinsurance AG (Reg.) 300 135,735
Preussag AG 50 16,112
Rhein West Electric 1,150 63,250
SAP AG (Systeme Anwendungen
Produkte) 200 75,684
Schering AG 250 27,817
Siemens AG 1,900 117,059
Thyssen AG Ord. 150 32,678
Veba AG Ord. 1,700 114,101
Viag AG 100 54,146
Volkswagen AG 100 65,989
2,032,720
HONG KONG - 2.4%
Bank of East Asia 5,000 10,494
Cathay Pacific Airways Ltd. 13,000 11,166
Cheung Kong Holdings Ltd. (a) 8,000 56,054
CLP Holdings Ltd. 8,500 44,133
Hang Seng Bank Ltd. 6,600 62,441
Hang Lung Development Corp. 5,000 7,330
Hong Kong & China Gas Co. Ltd. 12,000 21,543
Hong Kong Telecommunications Ltd. 41,383 86,904
Hong Kong & Shanghai Hotels 5,000 4,294
Hopewell Holdings Ltd. 11,000 2,429
Hutchison Whampoa Ltd. Ord. 13,000 91,928
Hysan Development Co. Ltd. 4,000 7,620
Johnson Electric Holdings Ltd. 2,000 7,104
New World Development Co. Ltd. 7,325 27,010
Sino Land Co. Ltd. 12,394 5,923
South China Morning Post Holdings 8,000 5,786
Shangri-La Asia Ltd. 6,000 5,386
Sun Hung Kai Properties Ltd. 8,000 59,929
Swire Pacific Ltd. Class A (a) 5,500 33,103
Television Broadcast Ltd. Ord. 2,000 5,812
Wharf Holdings Ltd. 8,000 16,687
573,076
SHARES VALUE (NOTE 1)
IRELAND - 0.4%
Allied Irish Banks PLC (a) 2,926 $ 37,519
CRH PLC 1,336 16,584
Independent Newspapers Ltd. 961 6,096
Irish Life PLC 901 6,981
Kerry Group PLC Class A 611 7,585
Smurfit (Jefferson) Group PLC 3,875 9,885
84,650
ITALY - 3.5%
Assicurazioni Generali Spa 3,006 85,849
Banca Commerciale Italiana Spa (a) 6,500 29,783
Banca Ambrosiano Veneto Spa 5,634 25,733
Banca Intesa Spa warrants 5/31/02 (a) 3,756 3,654
Benetton Group Spa (a) 704 13,115
Bulgari Spa 1,231 7,130
Credito Italiano Ord. 8,036 30,971
Eni Spa 26,930 157,613
Edison Spa 2,115 14,411
Fiat Spa 12,717 44,733
Generali Spa (Assicurazioni) rights
3/10/98 (a) 3,006 6,178
Istituto Bancario San Paolo 2,912 34,102
Istituto Mobiliare Italiano 2,156 30,110
Istituto Nazionale Delle
Assicurazioni Spa 14,239 38,687
Italcementi Fabbriche Ruinite
Cemento Spa, Bergamo 721 6,827
Italgas Spa (a) 2,725 10,429
Mediobanca Spa (a) 1,671 17,251
Mediaset Spa 4,234 23,831
Montedison Spa Ord. 18,443 19,105
Olivetti & Co. Spa Ord. 10,225 10,089
Parmalat Finanziaria Spa (a) 5,994 9,919
Pirelli Spa Ord. (a) 5,998 16,689
RAS (Riunione Adriat di Sicur) 1,267 14,853
Rinascente per l'Esercizio di Grandi
Magazzini Spa 879 8,080
Sirti Spa 981 5,711
Telecom Italia Spa 12,537 85,346
Telecom Italia Mobile Spa 22,532 103,770
853,969
JAPAN - 22.5%
Acom Co. Ltd. 600 33,598
Ajinomoto Co., Inc. 3,000 29,743
Amada Ltd. (a) 2,000 9,391
Aoyama Trading Co. Ord. 200 4,346
Asahi Bank Ltd. ADR 8,000 42,259
Asahi Chemical Industry Co. Ltd. 6,000 26,840
Asahi Glass Co. Ltd. 4,000 24,080
Asahi Breweries Ltd. 2,000 26,808
Bank of Tokyo-Mitsubishi Ltd. 16,000 227,157
Bank of Yokohama 5,000 15,546
Bridgestone Corp. 3,000 69,242
Canon, Inc. 3,000 68,766
Casio Computer Co. Ltd. Ord. 1,000 8,249
Chiba Bank 2,000 7,456
Chichibu Onoda Cement Co. 3,000 6,520
Chugai Pharmaceutical 1,000 6,377
Citizen Watch Co. Ltd. Ord. 1,000 7,257
Cosmo Oil Company Ltd. 3,000 6,900
Credit Saison Co. Ltd. 700 16,378
Daiei Finance Inc. (a) 3,000 14,158
Dai Nippon Printing Co. Ltd. 3,000 51,158
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
JAPAN - CONTINUED
Daiichi Pharmaceutical Co. Ltd. 1,000 $ 13,721
Daiwa House Industry Co. Ltd. 2,000 15,673
Daiwa Securities Co. Ltd. 5,000 24,707
Daikin Kogyo 1,000 5,036
Dainippon Ink & Chemicals, Inc. 3,000 9,042
Denso Corp. 3,000 61,390
East Japan Railway Co. Ord. 14 66,291
Ebara Corp. 1,000 11,659
Eisai Co. Ltd. (a) 1,000 17,529
Fanuc Ltd. 900 32,836
Fuji Bank Ltd. 10,000 77,649
Fuji Photo Film Co. Ltd. 2,000 78,522
Fujikura Ltd. 1,000 7,051
Fujitsu Ltd. (a) 6,000 67,576
Furukawa Electric Co. Ltd. 3,000 13,277
Gunma Bank Ltd. (a) 2,000 15,086
Hankyu Corporation 4,000 18,687
Hitachi Ltd. 12,000 90,228
Hitachi Zosen Corp. 5,000 11,421
Honda Motor Co. Ltd. 3,000 103,982
Industrial Bank of Japan 9,000 74,239
Ito-Yokado Co. Ltd. 2,000 109,454
Japan Airlines Co. Ltd. (a) 7,000 27,094
Japan Energy Corp. (a) 6,000 8,328
Joyo Bank Ltd. (a) 2,000 8,677
Jusco Co. Ltd. 1,000 16,260
Kajima Corp. 4,000 14,753
Kansai Electric Power Co., Inc. 3,400 58,518
Kandenko Co. Ltd. 1,000 6,980
Kaneka Corp. 1,000 5,711
Kao Corp. 2,000 27,126
Kawasaki Steel Corp. 13,000 21,859
Kawasaki Heavy Industries Ltd. 6,000 15,609
Keihin Electric Express Railway (a) 1,000 3,569
Kinki Nippon Railway (a) 6,000 33,074
Kirin Brewery Co. Ltd. 4,000 34,898
Kinden Corporation 1,000 13,246
Kokuyo Co. Ltd. 1,000 17,529
Komatsu Ltd. Ord. 4,000 19,131
Konica Corp. 1,000 5,243
Kubota Corp. (a) 6,000 17,322
Kyocera Corp. 700 37,754
Kurita Water Industries (a) 1,000 14,594
Kuraray Co. Ltd. 2,000 17,608
Kyowa Hakko Kogyo Co. Ltd. 1,000 4,910
Marubeni Corp. 4,000 11,072
Marui Co. Ltd. 1,000 16,418
Matsushita Electric Industrial Co. Ltd. 7,000 102,157
Minebea Co. Ltd. 2,000 22,208
Mitsubishi Electric Co. Ord. 7,000 21,320
Mitsubishi Corp. 6,000 45,733
Mitsubishi Estate Co. Ltd. 5,000 55,917
Mitsubishi Gas Chemical 3,000 9,851
Mitsubishi Heavy Industries Ltd. 12,000 52,348
Mitsubishi Materials Corp. 5,000 11,421
Mitsubishi Rayon Co. Ltd. 3,000 9,137
Mitsubishi Trust & Banking Corp. 5,000 59,089
Mitsui and Co. Ltd. 6,000 38,595
Mitsui Marine & Fire Insurance Co. 3,000 16,751
Mitsui Mining & Smelting Co. Ltd. 1,000 4,180
Mitsui Trust and Banking Co. Ltd. 3,000 10,017
Mitsukoshi Ltd. 1,000 3,609
Mitsubishi Chemical Industries Ltd. 9,000 16,846
SHARES VALUE (NOTE 1)
Mitsui OSK Lines Ltd. (a) 2,000 $ 3,696
Mitsui Fudosan Co. Ltd. 3,000 32,360
Mycal Corp. 1,000 7,765
Murata Manufacturing Co. Ltd. 1,000 31,567
NKK Corp. 13,000 15,363
NEC Corp. 6,000 67,100
Nagoya Railroad Co. Ltd. 2,000 7,043
Nankai Electric Railway Co. Ltd. (a) 1,000 4,521
NSK Ltd. 1,000 3,926
NGK Insulators Ltd. 2,000 19,036
Nishimatsu Construction 2,000 10,327
Nichido Fire & Marine
Insurance Co. Ltd. 1,000 6,115
Nippon Fire and Marine
Insurance Co. Ltd. 1,000 3,966
Nippon Express 4,000 25,032
Nippon Oil Co. Ltd. 5,000 18,084
Nippon Telegraph &
Telephone Corp. Ord. 43 395,622
Nippon Yusen Kabushiki Kaisha 5,000 16,220
Nippon Steel (a) 24,000 45,114
Nippon Meat Packers, Inc. 1,000 13,166
Nippon Paper Industries Co. Ltd. 4,000 20,400
Nissin Food Products Co. Ltd. (a) 1,000 20,860
Nisshinbo Industries 1,000 5,830
Nissan Motor Co. Ltd. Ord. 8,000 34,835
Nitto Denko Corp. 1,000 15,863
Nomura Securities Co. Ltd. 7,000 96,605
Obayashi Corp. 3,000 16,347
Odakyu Electric Railway (a) 3,000 12,968
Oji Paper Co. Ltd. (a) 4,000 21,574
Omron Corp. 1,000 16,180
Onward Kashiyama & Co. Ltd. 1,000 14,277
Osaka Gas Co. Ltd. (a) 8,000 17,830
Pioneer Electronic Corp. 1,000 17,687
Rohm Co. Ltd. 1,000 99,143
Sakura Bank Ltd. 12,000 50,254
Sankyo Co. Ltd. 2,000 53,775
Sanwa Shutter Corp. 1,000 6,147
Sanyo Electric Co. Ltd. 7,000 18,877
Sapporo Brewery 1,000 4,521
Sega Enterprises 200 3,839
Sekisui House Ltd. 3,000 23,675
Sekisui Chemical Co. Ltd. 2,000 12,738
Sharp Corp. (a) 4,000 31,345
Shionogi & Co. Ltd. 1,000 5,187
Shiseido Co. Ltd. 2,000 25,222
Shimizu Construction Co. Ltd. 3,000 11,945
Shin-Etsu Chemical Co. Ltd. 1,000 22,049
Shizuoka Bank Ltd. (a) 3,000 33,550
Showa Denko K.K 2,000 2,697
Snow Brand Milk Products 2,000 6,964
Sony Corp. 1,400 126,586
Sumitomo Bank Ltd. 11,000 130,869
Sumitomo Corp. 3,000 20,891
Sumitomo Electric Industries Ltd. 3,000 43,782
Sumitomo Metal Mining Co. Ltd. (a) 3,000 13,063
Sumitomo Chemical Co. Ltd. 6,000 18,607
Sumitomo Marine and Fire
Insurance Co. Ltd. 3,000 18,917
Sumitomo Metal Industries Ltd. 12,000 21,320
Sumitomo Heavy Industries Co. Ltd. 3,000 10,707
Taisei Corp. 4,000 12,056
Takashimaya Co. Ltd. 1,000 8,566
Taisho Pharmaceutical 1,000 23,556
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
JAPAN - CONTINUED
Takeda Chemical Industries Ltd. 3,000 $ 83,280
Teijin (a) 4,000 12,278
Tobu Railway 2,000 7,075
Tokyo Broadcasting System 1,000 12,928
Toho Co. Ltd. 100 12,532
Tohoku Electric Power Inc. 1,500 21,891
Tokai Bank Ltd. (a) 7,000 49,635
Tokio Marine & Fire Insurance Co.
Ltd. (The) 6,000 68,052
Tokyo Dome Corp. 1,000 8,169
Tokyo Electric Power Co., Inc. 4,700 88,721
Tokyo Gas Co. Ltd. 11,000 24,254
Toyo Seikan 1,000 16,418
Toppan Printing Co. Ltd. 3,000 35,454
Toray Industries, Inc. (a) 5,000 26,967
Toto 2,000 15,070
Toyoda Automatic Loom Works Ltd. 1,000 18,639
Toyota Motor Corp. 13,000 359,851
Tostem Corp. 1,000 13,959
Tokyu Corp. (Tokyo) 4,000 17,640
Tokyo Electron Ltd. 1,000 36,009
Uny Co. Ltd. 1,000 15,308
Wacoal Corp. 1,000 10,470
Yamazaki Baking Co. Ltd. 1,000 11,263
Yamanouchi Pharmaceutical Co. Ltd. 1,000 24,350
Yamaichi Securities Co. Ltd. 3,000 95
Yamaha Corp. 1,000 11,104
Yamato Transport Co. Ltd. 2,000 25,222
5,488,508
MALAYSIA - 0.8%
AMMB Holdings BHD 2,000 2,457
EON (Edaran Otomobil Nasional)
BHD (a) 1,000 2,165
Golden Hope Plantation BHD 4,000 5,304
Industrial Oxygen, Inc. BHD 4,000 3,378
Kuala Lumpur Kepong BHD Ord. 3,000 7,267
Magnum Corp. BHD 6,000 5,034
Malaysian Airlines Systems BHD 3,000 3,442
Malayan United Industries BHD 8,000 2,165
Malaysia International Shipping BHD
(For. Reg.) 4,000 7,361
Malaysian Pacific Industries Ord. 1,000 2,977
Malaysian Resources Corp. BHD 5,000 3,369
Malayan Banking BHD 4,000 15,480
Nestle Malaysia BHD 1,000 5,359
Perusahaan Otomobil Nasional BHD 2,000 3,762
Public Bank BHD (For. Reg.) 8,400 5,001
Rashid Hussain BHD 2,000 3,139
RHB Capital BHD 6,000 5,651
Resorts World BHD 4,000 8,660
Rothmans of Pall Mall Malaysia BHD 1,000 8,863
Shell Refining Co. Federation of
Malaysia BHD 2,000 3,572
Sime Darby BHD 8,000 10,392
Technology Resources Industries BHD (a) 3,000 3,101
Tenega Nasional BHD 11,000 28,877
Telekom Malaysia BHD 12,000 40,595
United Engineers BHD 3,000 3,621
YTL Corp. BHD 5,000 8,593
199,585
SHARES VALUE (NOTE 1)
NETHERLANDS - 5.8%
ABN-AMRO Holdings NV 5,572 $ 123,626
AKZO Nobel NV 294 59,669
ASR Verzekeringsgroep NV 96 6,850
Ahold NV 1,765 53,996
Elsevier NV sponsored ADR 2,328 43,801
Getronics NV 253 10,052
Heineken NV 214 39,720
ING Groep NV 3,643 192,810
IHC Caland NV 106 6,149
KLM Royal Dutch Air Lines NV 214 7,749
Koninklijke Hoogovens NV 100 4,872
Koninklijke KNP BT NV 297 7,925
Oce Van der Grinten NV (a) 57 7,680
Philips Electronics NV (Bearer) 1,401 108,862
Royal Dutch Petroleum Co. Ord. 8,260 451,701
Royal Ptt Nederland NV 1,894 95,336
Stork NV 76 2,971
Unilever NV Ord. 2,509 161,483
Wolters Kluwer NV 223 34,449
1,419,701
NEW ZEALAND - 0.2%
Brierley Investments Ltd. (a) 9,835 6,671
Carter Holt Harvey Ltd. 6,149 9,385
Fletcher Challenge Ltd.
(Energy Division) 1,251 4,572
Lion Nathan Ltd. 1,899 4,686
Telecom Corp. 6,071 29,110
54,424
NORWAY - 0.5%
Aker Norcem A/S 300 4,651
Bergesen Group Class A 200 4,143
Christiania Bank Free shares Ord. (a) 2,150 9,163
Den Norske Bank AS Class A
Free shares 2,350 12,930
Elkem ASA 200 2,560
Kvaerner Industrier AS (Oslo) 150 5,443
Norsk Hydro AS 800 34,940
Norske Skogindustrier AS Class A (a) 100 3,048
Orkla AS:
Class A Free shares (a) 150 14,508
Class B (non-vtg.) 50 4,315
Petroleum Geo Services AS (a) 150 8,491
UNI Storebrand AS (a) 1,100 8,563
112,755
PORTUGAL - 0.6%
Banco Commercial Portugues SA (Reg.) 600 19,893
Banco Totta & Acores
Nationalisiert (Reg.) 200 5,547
Banco Espirito Santo e Commercial
de Lisboa (Reg.) 300 12,186
BPI-SGPS SA (Reg.) 300 10,767
Brisa-Auto Estradas de Portugal
SA (Privatization) 200 9,416
Cimpor-Cimentos de Portugal SA 300 8,684
Electricidade de Portugal SA 1,300 27,560
Jeronimo Martins SA SGPS 300 10,358
Portugal Telecom SA 700 36,723
Sonae Investmentos-Sociedade Gestora
de Particpacoes Sociais SA 200 9,002
150,136
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
SINGAPORE - 0.7%
City Developments Ltd. 3,000 $ 13,607
Cycle & Carriage Ltd. 1,000 4,443
DBS Land Ltd. 4,000 6,196
Development Bank of Singapore Ltd.
(For. Reg.) 2,000 15,674
Fraser & Neave Ltd. (a) 1,000 4,381
Keppel Corp. Ltd. 3,000 8,627
Overseas Chinese Banking Corp. 3,000 17,865
Parkway Holdings Ltd. 2,000 4,295
Sembawang Shipyard Ltd. 1,000 2,098
Singapore International Airlines Ltd. 3,000 22,215
Singapore Press Holdings Ltd.
(For. Reg.) (a) 1,000 14,317
Singapore Telecommunications Ltd. 21,000 43,024
Singapore Technologies Industrial
Corp. Ltd. 3,000 2,647
United Industrial Corp. Ltd. 7,000 2,829
United Overseas Bank Ltd. (For. Reg.) 2,000 10,861
173,079
SPAIN - 2.6%
Acerinox SA (Reg.) 49 7,372
Autopistas Concesionaria Espanola
SA (Reg.) 914 13,732
Aguas de Barcelon SA 185 8,543
Argentaria Corporacion Bancaria
de Espana SA (a) 409 30,485
Banco Bilbao Vizcaya SA Ord. (Reg.) (a) 2,310 105,621
Banco Central SA (Reg.) 1,014 31,558
Banco de Santander SA Ord. (Reg.) (a) 1,651 76,456
Corporacion Financiera Alba SA (a) 61 7,935
Corporacion Mapfre Compania
Internacional de Reaseguros SA (Reg.) 138 4,030
Endesa SA 3,548 78,460
FOCSA (Fomento Construcciones y
Contratas SA) 242 10,388
Gas Natural SDG SA Series E 498 22,155
Iberdrola SA 3,130 45,296
Repsol SA Ord. 1,035 46,180
Tabacalera SA, Series A 143 14,463
Telefonica de Espana SA Ord. 3,187 109,654
Union Electrica Fenosa SA 862 10,708
Vallehermoso SA 200 6,348
Zardoya Otis Sa 180 4,999
634,383
SWEDEN - 2.7%
AGA AB, Series A 600 8,245
ABB AB:
Series A 2,400 30,131
Series B 800 9,944
Astra AB:
Class A Free shares 4,600 92,804
Class B Free shares 1,000 19,550
Atlas Copco AB:
Class A Free shares 500 13,929
Class B Free shares 200 5,559
Electrolux AB 300 22,861
Ericsson (L.M.) Telephone Co. Class B 3,300 150,056
ForeningsSparbanken AB, Series A 1,200 36,877
Hennes & Mauritz AB Class B 700 33,054
Netcom Systems AB, Class B 300 7,439
SKF AB Ord. 400 8,270
SHARES VALUE (NOTE 1)
Sandvik AB:
Series A 700 $ 19,763
Series B 200 5,597
Securitas AB Class B 300 9,088
Skandinaviska Enskilda Banken
Class A Free shares 1,900 27,177
Skandia Foersaekrings AB 400 22,586
SSAB Swedish Steel Class A 300 5,621
Stora Kopparbergs Bergslags AB
Class A Free shares 1,000 14,553
Svenska Cellulosa AB (SCA) Class B
Ord. 700 15,915
Svenska Handelsbanken 800 34,229
Swedish Match Co. 1,100 3,532
Trelleborg Class B Free shares (a) 300 4,235
Volvo AB:
Series A 400 10,643
Class B 1,100 29,750
Skanska Class B 400 18,089
659,497
SWITZERLAND - 8.2%
Adecco SA (Bearer) 50 16,189
Alusuisse-Lonza Holding AG (Reg.) 20 23,132
Alusuisse Lonza (Bearer) 10 11,491
ABB AG (Bearer) 30 40,942
Credit Suisse Group (Reg.) 1,020 184,442
Holderbank Financiere Glarus AG:
(Bearer) 20 19,516
(Reg.) 50 9,792
Kuoni Reisen Holding AG Class B (Reg.) 2 8,175
Nestle SA (Reg.) 155 271,818
Novartis AG:
(Bearer) (a) 25 45,650
(Reg.) 235 429,270
Roche Holding AG 27 316,520
Roche Holding AG (Bearer) 6 106,448
Sairgroup (Reg.) (a) 10 13,374
SMH AG:
(Reg.) 100 14,381
(Bearer) (a) 25 15,728
Sulzer AG (Reg.) 20 15,558
SGS Societe Generale de Surveillance
Holding SA (Bearer) 5 9,212
Swiss Bank Corp. (Reg.) 280 93,811
Swiss Reinsurance Corp. (Reg.) (a) 55 116,080
Union Bank of Switzerland:
(Reg.) 70 21,757
(Bearer) 80 124,790
Zurich Versicherungs AG (Reg.) (a) 170 92,801
2,000,877
UNITED KINGDOM - 19.4%
Abbey National PLC Ord. 4,771 97,652
Anglian Water PLC Ord. 996 13,754
Argos PLC Ord. 838 8,404
Arjo Wiggins Appleton PLC 3,168 8,541
Associated British Foods Ltd. Ord. 3,157 32,905
BAT Industries PLC Ord. 10,485 104,458
BG PLC 13,247 66,369
BOC Group PLC 1,692 26,426
BPB Industries PLC 1,940 10,493
BTR PLC Ord. 13,984 37,071
BBA Group PLC 1,573 11,172
FKI PLC 2,190 6,463
Barclays PLC Ord. 5,144 152,560
Barratt Developments PLC 1,067 4,929
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
UNITED KINGDOM - CONTINUED
Bass PLC Ord. 2,714 $ 45,421
Blue Circle Industries PLC 2,675 15,623
Boots Co. PLC Class L (The) 3,122 46,835
British Airways PLC Ord. 3,584 33,585
British Aerospace PLC 1,483 46,518
British Petroleum PLC Ord. 19,133 263,590
British Land Co. PLC, (The) Ord. 1,694 20,469
British Sky Broadcasting Group 5,915 38,216
British Steel PLC Ord. (a) 7,267 17,413
British Telecommunications PLC Ord. 21,362 215,456
Burmah Oil 779 13,396
Cable & Wireless PLC Ord. 7,712 84,185
Cadbury-Schweppes PLC Ord. 3,339 42,405
Caradon PLC 2,172 7,088
Carlton Communications PLC 2,091 14,679
Centrica PLC (a) 15,589 27,679
Coats Viyella PLC (a) 2,748 3,750
Commercial Union PLC (a) 2,374 42,853
Diageo PLC 11,865 121,230
Electrocomponents PLC 1,584 12,109
EMI Group PLC (a) 2,772 23,606
GKN PLC Class L 1,235 29,826
Guardian Royal Exchange Assurance 3,282 24,631
General Electric PLC Class L 9,486 61,912
Glaxo Wellcome PLC 11,884 322,676
Granada Group PLC 3,027 47,226
Great Universal Stores PLC Ord.
Class A 3,460 44,084
HSBC Holdings PLC:
Ord. 2,979 91,387
(Reg.) 6,037 173,784
Hammerson Property Investment &
Development Corp. PLC Ord. 827 6,839
Hanson Trust PLC Ord. 2,417 12,199
Hyder PLC 565 8,713
IMI PLC 1,347 9,301
ICI (Imperial Chemical Industries) PLC
Class L 2,502 45,596
Johnson Matthey PLC 851 7,397
Kingfisher PLC 2,330 40,125
Lasmo PLC 2,944 13,370
Ladbroke Group PLC Ord. 3,633 18,276
Land Securities 1,811 33,867
Legal & General Group Ltd. Ord. 4,318 48,343
Lloyds TSB Group PLC 17,794 267,375
LucasVarity PLC 5,099 19,616
Marks & Spencer Ltd. Ord. (a) 9,605 91,665
MEPC PLC 1,540 15,140
National Grid Co. PLC 4,867 27,365
National Power PLC 3,892 40,278
Next PLC 1,139 15,514
Pearson PLC 1,809 26,915
Peninsular & Orental Steam
Navigation Co. 2,140 27,530
Pilkington PLC Ord. 3,960 7,422
Provident Financial Group 963 15,594
Prudential Corp. PLC 6,533 97,468
RMC Industries, Inc. 946 14,401
Railtrack PLC Class L 1,758 26,734
SHARES VALUE (NOTE 1)
Rank Group PLC Class L 2,428 $ 13,292
Reed International 3,940 46,281
Reuters Group PLC 4,980 50,064
Rexam PLC 1,921 8,764
Rio Tinto PLC (Reg.) 3,669 49,461
Rolls Royce PLC Ord. 5,273 20,155
Royal Bank of Scotland Group PLC Ord. 2,713 41,926
Royal & Sun Alliance Insurance
Group PLC 5,232 66,532
Safeway PLC 3,825 22,512
Sainsbury (J.) PLC Ord. 6,471 50,107
Schroders PLC Ord. 1,000 37,730
Scottish & Newcastle Brewers PLC 2,167 31,137
Scottish Power PLC ADR 4,098 34,898
Slough Estates PLC 1,512 10,005
Smiths Industries PLC Ord. 1,099 16,423
SmithKline Beecham PLC Ord. 18,485 230,959
Southern Electric PLC 1,428 12,032
T & N PLC 2,076 8,635
TI Group PLC Ord. 1,730 14,932
Tarmac 3,753 6,232
Tate & Lyle PLC 1,628 14,051
Taylor Woodrow PLC 1,720 5,712
Tesco PLC Ord. 7,426 63,056
Thames Water PLC Ord. 1,349 19,605
Unigate PLC 800 8,588
Unilever PLC Ord. 11,084 102,512
Vickers PLC Ord. Unit 1,018 3,548
Vodafone Group PLC 10,007 88,838
United Utilities PLC 1,895 25,422
Williams Holdings PLC Class L 2,735 15,962
Wolseley PLC Ord. 2,040 16,769
Zeneca Group PLC Ord. 3,119 136,139
4,722,151
TOTAL COMMON STOCKS
(Cost $20,513,243) 22,325,204
NONCONVERTIBLE PREFERRED STOCKS - 0.8%
AUSTRALIA - 0.1%
News Corp. Ltd. (ltd. vtg.) 6,100 33,369
AUSTRIA - 0.0%
Bank Austria AG 93 6,099
GERMANY - 0.5%
RWE AG 700 32,774
SAP AG (Systeme Anwendungen
Produkte) 150 61,563
Volkswagen AG 50 24,512
118,849
ITALY - 0.2%
Fiat SPA 4,324 8,436
Fiat SPA de Risp 1,857 3,880
Telecom Italia:
Spa 2,675 12,948
Mobile Spa de Risp 5,220 15,458
40,722
TOTAL NONCONVERTIBLE PREFERRED STOCKS
(Cost $159,831) 199,039
U.S. TREASURY OBLIGATIONS - 7.5%
PRINCIPAL VALUE
AMOUNT (NOTE 1)
U.S. Treasury Bills, yields at dates of
purchase 4.93% to 5.04%, 3/12/98 to
6/4/98 (b) (Cost $1,824,217) $ 1,845,000 $ 1,824,373
TOTAL INVESTMENT IN SECURITIES - 100%
(Cost $22,497,291) $ 24,348,616
FORWARD FOREIGN CURRENCY CONTRACTS
SETTLEMENT VALUE UNREALIZED
DATE GAIN/(LOSS)
CONTRACTS TO BUY
1,208,933 DEM 3/25/98 $ 666,975 $ 109
45,459,480 JPY 3/25/98 361,920 169
221,932 GBP 3/25/98 364,364 1,858
TOTAL CONTRACTS TO BUY
(Payable amount $1,391,123) $ 1,393,259 $ 2,136
THE VALUE OF CONTRACTS TO BUY AS A PERCENTAGE OF TOTAL INVESTMENT IN
SECURITIES - 5.7%
FUTURES CONTRACTS
EXPIRATION UNDERLYING FACE UNREALIZED
DATE AMOUNT AT VALUE GAIN/(LOSS)
PURCHASED
2 All Ordinary Index Contracts
(Australia) Mar. 98 $ 91,739 $ 2,283
1 CAC 40 Index Contract
(France) Mar. 98 $ 112,700 4,704
1 DAX 30 Index Contract
(Germany) Mar. 98 $ 259,247 5,309
2 Hang Seng Index Contracts
(Hong Kong) Mar. 98 $ 149,177 6,057
1 MIB 30 Index Contract
(Italy) Mar. 98 $ 162,382 11,201
20 Nikkei 300 Index Contracts
(Japan) Mar. 98 $ 403,236 2,855
1 TOPIX Index Contract
(Japan) Mar. 98 $ 101,206 (1,983)
1 IBEX Index Contract
(Spain) Mar. 98 $ 58,211 2,821
1 OMX Stolkholm Index Contracts
(Sweden) Mar. 98 $ 34,329 755
2 FTSE Index Contracts
(United Kindom) Mar. 98 $ 475,198 25,706
$ 59,708
THE FACE VALUE OF FUTURES PURCHASED AS A PERCENTAGE OF TOTAL
INVESTMENT IN
SECURITIES - 7.5%
CURRENCY ABBREVIATIONS
GBP - British pound
DEM - German deutsche mark
JPY - Japanese yen
LEGEND
1. Non-income producing
2. Security or a portion of the security was pledged to cover margin
requirements for futures contracts. At the period end, the value of
securities pledged amounted to $232,852
AS A PERCENTAGE OF TOTAL VALUE OF INVESTMENT
IN SECURITIES
Aerospace & Defense 0.5%
Basic Industries 4.9
Construction & Real Estate 4.1
Durables 7.5
Energy 5.3
Finance 22.5
Government Obligations 7.5
Health 8.9
Holding Companies 0.5
Industrial Machinery & Equipment 4.0
Media & Leisure 2.4
Nondurables 6.4
Precious Metals 0.1
Retail & Wholesale 4.7
Services 1.2
Technology 4.7
Transportation 2.5
Utilities 12.3
100.0%
INCOME TAX INFORMATION
At February 28, 1998, the aggregate cost of investment securities for
income tax purposes was $22,497,291. Net unrealized appreciation
aggregated $1,851,325, of which $2,387,452 related to appreciated
investment securities and $536,127 related to depreciated investment
securities.
FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
<TABLE>
<CAPTION>
<S> <C> <C>
FEBRUARY 28, 1998
ASSETS
INVESTMENT IN SECURITIES, AT VALUE $ 24,348,616
(COST $22,497,291) -
SEE ACCOMPANYING SCHEDULE
CASH 210
FOREIGN CURRENCY HELD AT VALUE 102,334
(COST $102,043)
RECEIVABLE FOR INVESTMENTS SOLD 7,911
UNREALIZED APPRECIATION ON 2,136
FOREIGN CURRENCY CONTRACTS
RECEIVABLE FOR FUND SHARES SOLD 351,282
DIVIDENDS RECEIVABLE 19,196
INTEREST RECEIVABLE 31
PURCHASE FEES RECEIVABLE 3,554
RECEIVABLE FOR DAILY VARIATION ON FUTURES CONTRACTS 15,885
PREPAID EXPENSES 7,132
RECEIVABLE FROM INVESTMENT ADVISER FOR EXPENSE REDUCTIONS 23,057
TOTAL ASSETS 24,881,344
LIABILITIES
PAYABLE FOR INVESTMENTS PURCHASED $ 153,451
PAYABLE FOR CLOSED FOREIGN 384
CURRENCY CONTRACTS
PAYABLE FOR FUND SHARES REDEEMED 6,105
OTHER PAYABLES AND ACCRUED EXPENSES 35,193
TOTAL LIABILITIES 195,133
NET ASSETS $ 24,686,211
NET ASSETS CONSIST OF:
PAID IN CAPITAL $ 22,632,783
UNDISTRIBUTED NET INVESTMENT INCOME 51,543
ACCUMULATED UNDISTRIBUTED NET REALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS 88,646
NET UNREALIZED APPRECIATION (DEPRECIATION) ON INVESTMENTS 1,913,239
AND ASSETS AND LIABILITIES IN
FOREIGN CURRENCIES
NET ASSETS, FOR 893,216 SHARES OUTSTANDING $ 24,686,211
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE ($24,686,211 (DIVIDED BY) 893,216 SHARES) A $27.64
</TABLE>
A OFFERING PRICE PER SHARE DOES NOT INCLUDE THE EFFECT OF THE PURCHASE
FEE.
STATEMENT OF OPERATIONS
<TABLE>
<CAPTION>
<S> <C> <C>
NOVEMBER 5, 1997 (COMMENCEMENT OF OPERATIONS) TO FEBRUARY 28, 1998
INVESTMENT INCOME $ 89,136
DIVIDENDS
INTEREST (INCLUDING INCOME ON SECURITIES LOANED OF $189) 35,674
124,810
LESS FOREIGN TAXES WITHHELD (7,542)
TOTAL INCOME 117,268
EXPENSES
MANAGEMENT AND SUB-ADVISORY FEES $ 23,476
TRANSFER AGENT FEES 6,990
ACCOUNTING FEES 19,211
REGISTRATION FEES 37,773
AUDIT 21,989
MISCELLANEOUS 251
TOTAL EXPENSES BEFORE REDUCTIONS 109,690
EXPENSE REDUCTIONS (86,573) 23,117
NET INVESTMENT INCOME 94,151
REALIZED AND UNREALIZED GAIN (LOSS)
NET REALIZED GAIN (LOSS) ON:
INVESTMENT SECURITIES 10,299
FOREIGN CURRENCY TRANSACTIONS (35,908)
FUTURES CONTRACTS 122,261 96,652
CHANGE IN NET UNREALIZED APPRECIATION (DEPRECIATION) ON:
INVESTMENT SECURITIES 1,851,325
ASSETS AND LIABILITIES IN 2,206
FOREIGN CURRENCIES
FUTURES CONTRACTS 59,708 1,913,239
NET GAIN (LOSS) 2,009,891
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 2,104,042
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
INCREASE (DECREASE) IN NET ASSETS NOVEMBER 5, 1997
(COMMENCEMENT
OF OPERATIONS) TO
FEBRUARY 28, 1998
<TABLE>
<CAPTION>
<S> <C>
OPERATIONS $ 94,151
NET INVESTMENT INCOME
NET REALIZED GAIN (LOSS) 96,652
CHANGE IN NET UNREALIZED APPRECIATION (DEPRECIATION) 1,913,239
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS 2,104,042
DISTRIBUTIONS TO SHAREHOLDERS FROM NET INVESTMENT INCOME (50,614)
SHARE TRANSACTIONS 25,688,131
NET PROCEEDS FROM SALES OF SHARES
REINVESTMENT OF DISTRIBUTIONS 50,614
COST OF SHARES REDEEMED (3,363,303)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS 22,375,442
PURCHASE FEES 257,341
TOTAL INCREASE (DECREASE) IN NET ASSETS 24,686,211
NET ASSETS
BEGINNING OF PERIOD -
END OF PERIOD (INCLUDING UNDISTRIBUTED NET INVESTMENT INCOME OF $51,543) $ 24,686,211
OTHER INFORMATION
SHARES
SOLD 1,022,450
ISSUED IN REINVESTMENT OF DISTRIBUTIONS 2,076
REDEEMED (131,310)
NET INCREASE (DECREASE) 893,216
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C>
SEE ACCOMPANYING NOTES WHICH ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
</TABLE>
FINANCIAL HIGHLIGHTS
SELECTED PER-SHARE DATA NOVEMBER 5, 1997
(COMMENCEMENT
OF OPERATIONS) TO
FEBRUARY 28, 1998
NET ASSET VALUE, BEGINNING OF PERIOD $ 25.00
INCOME FROM INVESTMENT OPERATIONS
NET INVESTMENT INCOME D .11
NET REALIZED AND UNREALIZED GAIN (LOSS) 2.29
TOTAL FROM INVESTMENT OPERATIONS 2.40
LESS DISTRIBUTIONS
FROM NET INVESTMENT INCOME (.06)
PURCHASE FEES ADDED TO PAID IN CAPITAL .30
NET ASSET VALUE, END OF PERIOD $ 27.64
TOTAL RETURN B, C 10.83%
RATIOS AND SUPPLEMENTAL DATA
NET ASSETS, END OF PERIOD (000 OMITTED) $ 24,686
RATIO OF EXPENSES TO AVERAGE NET ASSETS .35% A, E
RATIO OF NET INVESTMENT INCOME TO AVERAGE NET ASSETS 1.43% A
PORTFOLIO TURNOVER RATE 2% A
AVERAGE COMMISSION RATE F $ .0081
A ANNUALIZED
B TOTAL RETURNS FOR PERIODS OF LESS THAN ONE YEAR ARE NOT ANNUALIZED.
C THE TOTAL RETURN WOULD HAVE BEEN LOWER HAD CERTAIN EXPENSES NOT BEEN
REDUCED DURING THE PERIOD SHOWN (SEE NOTE 6 OF NOTES TO FINANCIAL
STATEMENTS).
D NET INVESTMENT INCOME PER SHARE HAS BEEN CALCULATED BASED ON AVERAGE
SHARES OUTSTANDING DURING THE PERIOD.
E FMR AGREED TO REIMBURSE A PORTION OF THE FUND'S EXPENSES DURING THE
PERIOD. WITHOUT THIS REIMBURSEMENT, THE FUND'S EXPENSE RATIO WOULD
HAVE BEEN HIGHER (SEE NOTE 6 OF NOTES TO FINANCIAL STATEMENTS).
F A FUND IS REQUIRED TO DISCLOSE ITS AVERAGE COMMISSION RATE PER SHARE
FOR SECURITY TRADES ON WHICH COMMISSIONS ARE CHARGED. THIS AMOUNT MAY
VARY FROM PERIOD TO PERIOD AND FUND TO FUND DEPENDING ON THE MIX OF
TRADES EXECUTED IN VARIOUS MARKETS WHERE TRADING PRACTICES AND
COMMISSION RATE STRUCTURES MAY DIFFER.
NOTES TO FINANCIAL STATEMENTS
For the period ended February 28, 1998
1. SIGNIFICANT ACCOUNTING POLICIES.
Spartan International Index Fund (the fund) is a fund of Fidelity
Concord Street Trust (the trust) and is authorized to issue an
unlimited number of shares. The trust is registered under the
Investment Company Act of 1940, as amended (the 1940 Act), as an
open-end management investment company organized as a Massachusetts
business trust. The financial statements have been prepared in
conformity with generally accepted accounting principles which permit
management to make certain estimates and assumptions at the date of
the financial statements. The following summarizes the significant
accounting policies of the fund:
SECURITY VALUATION. Securities for which quotations are readily
available are valued at the last sale price, or if no sale price, at
the closing bid price in the principal market in which such securities
are normally traded. If trading or events occurring in other markets
after the close of the principal market in which securities are traded
is expected to materially affect the value of those securities, then
they are valued at their fair value taking this trading or these
events into account. Fair value is determined in good faith under
consistently applied procedures under the general supervision of the
Board of Trustees. Securities for which exchange quotations are not
readily available are valued primarily using dealer-supplied
valuations or at their fair value. Short-term securities with
remaining maturities of sixty days or less for which quotations are
not readily available are valued at amortized cost or original cost
plus accrued interest, both of which approximate current value.
FOREIGN CURRENCY TRANSLATION. The accounting records of the fund are
maintained in U.S. dollars. Investment securities and other assets and
liabilities denominated in a foreign currency are translated into U.S.
dollars at the prevailing rates of exchange at period end. Purchases
and sales of securities, income receipts and expense payments are
translated into U.S. dollars at the prevailing exchange rate on the
respective dates of the transactions.
Net realized gains and losses on foreign currency transactions
represent net gains and losses from sales and maturities of foreign
currency contracts, disposition of foreign currencies, the difference
between the amount of net investment income accrued and the U.S.
dollar amount actually received, and gains and losses between trade
date and settlement on purchases and sales of securities. The effects
of changes in foreign currency exchange rates on investments in
securities are included with the net realized and unrealized gain or
loss on investment securities.
INCOME TAXES. The fund intends to qualify as a regulated investment
company under Subchapter M of the Internal Revenue Code. By so
qualifying, the fund will not be subject to income taxes to the extent
that it distributes substantially all of its taxable income for its
fiscal year. The schedule of investments includes information
regarding income taxes under the caption "Income Tax Information."
INVESTMENT INCOME. Dividend income is recorded on the ex-dividend
date, except certain dividends from foreign securities where the
ex-dividend date may have passed, are recorded as soon as the fund is
informed of the ex-dividend date. Non-cash dividends included in
dividend income, if any, are recorded at the fair market value of the
securities received. Interest income, which includes accretion of
original issue discount, is accrued as earned. Investment income is
recorded net of foreign taxes withheld where recovery of such taxes is
uncertain.
EXPENSES. Most expenses of the trust can be directly attributed to a
fund. Expenses which cannot be directly attributed are apportioned
among the funds in the trust.
PREPAID EXPENSES. Fidelity Management & Research Company (FMR) bears
all organizational expenses except for registering and qualifying the
fund and shares of the fund for distribution under federal and state
securities law. These expenses are borne by the fund and amortized
over one year.
DISTRIBUTIONS TO SHAREHOLDERS. Distributions are recorded on the
ex-dividend date.
Income and capital gain distributions are determined in accordance
with income tax regulations which may differ from generally accepted
accounting principles. These differences, which may result in
distribution reclassifications, are primarily due to differing
treatments for futures and options transactions, foreign currency
transactions and passive foreign investment companies (PFIC).
Permanent book and tax basis differences relating to shareholder
distributions will result in reclassifications to paid in capital.
Undistributed net investment income and accumulated undistributed net
realized gain (loss) on investments and foreign currency transactions
may include temporary book and tax basis differences which will
reverse in a subsequent period. Any taxable income or gain remaining
at fiscal year end is distributed in the following year.
PURCHASE FEES. Shares purchased in the fund are subject to a purchase
fee equal to 1.00% of the amount invested. This fee, which is retained
by the fund, is accounted for as an addition to paid in capital.
SECURITY TRANSACTIONS. Security transactions are accounted for as of
trade date. Gains and losses on securities sold are determined on the
basis of identified cost.
2. OPERATING POLICIES.
FORWARD FOREIGN CURRENCY CONTRACTS. The fund generally uses foreign
currency contracts to facilitate transactions in foreign-denominated
securities and to manage the fund's currency exposure. Contracts to
sell generally are used to hedge the fund's investments against
currency fluctuations, while contracts to buy generally are used to
offset a previous contract to sell. Also, a contract to buy can be
used to acquire exposure to foreign currencies and a contract to sell
can be used to offset a previous contract to buy. These contracts
involve market risk in excess of the unrealized gain or loss reflected
in the fund's Statement of Assets and Liabilities. The U.S. dollar
value of the currencies the
2. OPERATING POLICIES - CONTINUED
FORWARD FOREIGN CURRENCY CONTRACTS - CONTINUED
fund has committed to buy or sell is shown in the schedule of
investments under the caption "Forward Foreign Currency Contracts."
This amount represents the aggregate exposure to each currency the
fund has acquired or hedged through currency contracts at period end.
Losses may arise from changes in the value of foreign currency or if
the counterparties do not perform under the contracts' terms.
The U.S. dollar value of forward foreign currency contracts is
determined using forward currency exchange rates supplied by a
quotation service. Purchases and sales of forward foreign currency
contracts having the same settlement date and broker are offset and
any realized gain (loss) is recognized on the date of offset;
otherwise, gain (loss) is recognized on settlement date.
FUTURES CONTRACTS. The fund may use futures contracts to manage its
exposure to the fluctuations in currency values. Buying futures tends
to increase the fund's exposure to the underlying instrument, while
selling futures tends to decrease the fund's exposure to the
underlying instrument or hedge other fund investments. Futures
contracts involve, to varying degrees, risk of loss in excess of the
futures variation margin reflected in the Statement of Assets and
Liabilities. The underlying face amount at value of any open futures
contracts at period end is shown in the schedule of investments under
the caption "Futures Contracts." This amount reflects each contract's
exposure to the underlying instrument at period end. Losses may arise
from changes in the value of the underlying instruments or if the
counterparties do not perform under the contracts' terms. Gains
(losses) are realized upon the expiration or closing of the futures
contracts. Futures contracts are valued at the settlement price
established each day by the board of trade or exchange on which they
are traded.
3. PURCHASES AND SALES OF INVESTMENTS.
Purchases and sales of securities, other than short-term securities,
aggregated $20,751,721 and $88,227, respectively.
The market value of futures contracts opened and closed during the
period amounted to $6,144,832 and $4,478,502, respectively.
4. FEES AND OTHER TRANSACTIONS WITH AFFILIATES.
MANAGEMENT FEE. As the fund's investment adviser, FMR receives a fee
that is computed daily at an annual rate of 0.34% of the fund's
average net assets.
SUB-ADVISER FEE. FMR and the fund have entered into a sub-advisory
agreement with Bankers Trust Company (Bankers Trust). Bankers Trust
receives a sub-advisory fee for providing investment management,
securities lending and custodial services to the fund. For these
services, FMR pays Bankers Trust fees at an annual rate of 0.0650% of
the fund's average net assets. In addition, the fund pays Bankers
Trust fees equal to 40% of net income from the fund's security lending
program. For the period, the fund paid Bankers Trust $76.
TRANSFER AGENT FEES. Fidelity Service Company, Inc. (FSC), an
affiliate of FMR, is the fund's transfer, dividend disbursing and
shareholder servicing agent. FSC receives account fees and asset-based
fees that vary according to account size and type of account. FSC pays
for typesetting, printing and mailing of all shareholder reports,
except proxy statements. For the period, the transfer agent fees were
equivalent to an annualized rate of .11% of average net assets.
ACCOUNTING FEES. FSC maintains the fund's accounting records. The fee
is based on the level of average net assets for the month plus
out-of-pocket expenses.
5. SECURITY LENDING.
The fund loaned securities to certain brokers who paid the fund
negotiated lenders' fees. These fees are included in interest income.
The fund receives U.S. Treasury obligations and/or cash as collateral
against the loaned securities, in an amount at least equal to 102% of
the market value of the loaned securities at the inception of each
loan. This collateral must be maintained at not less than 100% of the
market value of the loaned securities during the period of the loan.
At period end, the value of the securities loaned and the value of
collateral amounted to $117,407 and $131,200.
6. EXPENSE REDUCTIONS.
FMR voluntarily agreed to reimburse the fund's operating expenses
(excluding sub-advisory fees associated with securities lending,
interest, taxes, brokerage commissions and extraordinary expenses)
above an annual rate of 0.35% of average net assets. For the period,
the reimbursement reduced the expenses by $86,573.
7. BENEFICIAL INTEREST
At the end of the period, FMR was record owner of approximately 80% of
the total outstanding shares of the fund.
REPORT OF INDEPENDENT ACCOUNTANTS
To the Trustees of Fidelity Concord Street Trust and the Shareholders
of Spartan International Index Fund:
In our opinion, the accompanying statement of assets and liabilities,
including the schedule of investments, and the related statements of
operations and of changes in net assets and the financial highlights
present fairly, in all material respects, the financial position of
Spartan International Index Fund (a fund of Fidelity Concord Street
Trust) at February 28, 1998, the results of its operations, the
changes in its net assets and financial highlights for the period
November 5, 1997 (commencement of operations) through February 28,
1998, in conformity with generally accepted accounting principles.
These financial statements and financial highlights (hereafter
referred to as "financial statements") are the responsibility of the
Spartan International Index Fund's management; our responsibility is
to express an opinion on these financial statements based on our
audit. We conducted our audit of these financial statements in
accordance with generally accepted auditing standards which 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,
assessing the accounting principles used and significant estimates
made by management, and evaluating the overall financial statement
presentation. We believe that our audit, which included confirmation
of securities at February 28, 1998 by correspondence with the
custodian and the application of alternative auditing procedures where
securities purchased were not yet received by the custodian, provides
a reasonable basis for the opinion expressed above.
/s/Price Waterhouse LLP
Price Waterhouse LLP
Boston, Massachusetts
April 8, 1998
DISTRIBUTIONS
The Board of Trustees of Spartan International Index Fund voted to pay
to shareholders of record at the opening of business on record date,
the following distributions derived from capital gains realized from
sales of portfolio securities, and dividends derived from net
investment income:
PAY DATE 4/6/98
RECORD DATE 4/3/98
DIVIDENDS $.04
SHORT-TERM
CAPITAL GAINS $.13
A total of 44.39% of the dividends distributed during the fiscal year
was derived from interest on U.S. Government securities which is
generally exempt from state income tax.
The amounts per share which represent income derived from sources
within, and taxes paid to, foreign countries or possessions of the
United States are $.029 and $.003, respectively, for the dividend paid
December 22, 1997.
The fund will notify shareholders in January 1999 of the percentages
for use in preparing 1998 income tax returns.
MANAGING YOUR INVESTMENTS
Fidelity offers several ways to conveniently manage your personal
investments via your telephone or PC. You can access your account
information, conduct trades and research your investments 24 hours a
day.
BY PHONE
Fidelity TouchTone Xpressprovides a single toll-free number to access
account balances, positions, quotes and trading. It's easy to navigate
the service, and on your first call, the system will help you create a
personal identification number (PIN) for security.
SM
(PHONE_GRAPHIC)TOUCHTONE XPRESS
1-800-544-5555
PRESS
For mutual fund and brokerage trading.
For quotes.*
For account balances and holdings.
To review orders and mutual
fund activity.
To change your PIN.
To speak to a Fidelity representative.
0
*
BY PC
Fidelity's Web site on the Internet provides a wide range of
information, including daily financial news, fund performance,
interactive planning tools and news about Fidelity products and
services.
(PHONE_GRAPHIC)FIDELITY'S WEB SITE
WWW.FIDELITY.COM
If you are not currently on the Internet, call Fidelity
at 1-800-544-7272 for significant savings on Web access from
internetMCI.
SM
(PHONE_GRAPHIC)
FIDELITY ON-LINE XPRESS+
TM
Fidelity On-line Xpress+ software for Windows combines comprehensive
portfolio management capabilities, securities trading and access to
research and analysis tools . . . all on your desktop. Call Fidelity
at 1-800-544-7272 or visit our Web site for more information on how to
manage your investments via your PC.
* WHEN YOU CALL THE QUOTES LINE, PLEASE REMEMBER THAT A FUND'S YIELD
AND RETURN WILL VARY AND, EXCEPT FOR MONEY MARKET FUNDS, SHARE PRICE
WILL ALSO VARY. THIS MEANS
THAT YOU MAY HAVE A GAIN OR LOSS WHEN YOU SELL YOUR SHARES. THERE IS
NO ASSURANCE THAT MONEY MARKET FUNDS WILL BE ABLE TO MAINTAIN A STABLE
$1 SHARE PRICE; AN
INVESTMENT IN A MONEY MARKET FUND IS NOT INSURED OR GUARANTEED BY THE
U.S. GOVERNMENT. TOTAL RETURNS ARE HISTORICAL AND INCLUDE CHANGES IN
SHARE PRICE,
REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS, AND THE EFFECTS OF ANY
SALES CHARGES.
TO WRITE FIDELITY
If more than one address is listed, please locate the address that is
closest to you. We'll give your correspondence immediate attention and
send you written confirmation upon completion of your request.
(LETTER_GRAPHIC)MAKING CHANGES
TO YOUR ACCOUNT
(such as changing name, address, bank, etc.)
Fidelity Investments
P.O. Box 770001
Cincinnati, OH 45277-0002
(LETTER_GRAPHIC)FOR NON-RETIREMENT
ACCOUNTS
BUYING SHARES
Fidelity Investments
P.O. Box 770001
Cincinnati, OH 45277-0003
OVERNIGHT EXPRESS
Fidelity Investments
2300 Litton Lane - KH1A
Hebron, KY 41048
SELLING SHARES
Fidelity Investments
P.O. Box 660602
Dallas, TX 75266-0602
OVERNIGHT EXPRESS
Fidelity Investments
Attn: Redemptions - CP61
400 East Las Colinas Blvd.
Irving, TX 75309-5517
GENERAL CORRESPONDENCE
Fidelity Investments
P.O. Box 500
Merrimack, NH 03054-0500
(LETTER_GRAPHIC)FOR RETIREMENT
ACCOUNTS
BUYING SHARES
Fidelity Investments
P.O. Box 770001
Cincinnati, OH 45277-0003
SELLING SHARES
Fidelity Investments
P.O. Box 660602
Dallas, TX 75266-0602
OVERNIGHT EXPRESS
Fidelity Investments
Attn: Redemptions - CP6R
400 East Las Colinas Blvd.
Irving, TX 75309-5517
GENERAL CORRESPONDENCE
Fidelity Investments
P.O. Box 500
Merrimack, NH 03054-0500
TO VISIT FIDELITY
For directions and hours,
please call 1-800-544-9797.
ARIZONA
7373 N. Scottsdale Road
Scottsdale, AZ
CALIFORNIA
815 East Birch Street
Brea, CA
851 East Hamilton Avenue
Campbell, CA
527 North Brand Boulevard
Glendale, CA
19100 Von Karman Avenue
Irvine, CA
10100 Santa Monica Blvd.
Los Angeles, CA
251 University Avenue
Palo Alto, CA
1760 Challenge Way
Sacramento, CA
7676 Hazard Center Drive
San Diego, CA
950 Northgate Drive
San Rafael, CA
455 Market Street
San Francisco, CA
1400 Civic Drive
Walnut Creek, CA
6300 Canoga Ave.
Woodland Hills, CA
COLORADO
1625 Broadway
Denver, CO
CONNECTICUT
48 West Putnam Avenue
Greenwich, CT
265 Church Street
New Haven, CT
300 Atlantic Street
Stamford, CT
29 South Main Street
West Hartford, CT
DELAWARE
222 Delaware Avenue
Wilmington, DE
FLORIDA
4400 N. Federal Highway
Boca Raton, FL
90 Alhambra Plaza
Coral Gables, FL
4090 N. Ocean Boulevard
Ft. Lauderdale, FL
1907 West State Road 434
Longwood, FL
4001 Tamiami Trail, North
Naples, FL
2401 PGA Boulevard
Palm Beach Gardens, FL
8065 Beneva Road
Sarasota, FL
1502 N. Westshore Blvd.
Tampa, FL
GEORGIA
3445 Peachtree Road, N.E.
Atlanta, GA
1000 Abernathy Road
Atlanta, GA
HAWAII
700 Bishop Street
Honolulu, HI
ILLINOIS
One North Franklin Street
Chicago, IL
1415 West 22nd Street
Oak Brook, IL
1700 East Golf Road
Schaumburg, IL
3232 Lake Avenue
Wilmette, IL
INDIANA
4729 East 82nd Street
Indianapolis, IN
LOUISIANA
201 St. Charles Avenue
New Orleans, LA
MAINE
3 Canal Plaza
Portland, ME
MARYLAND
7401 Wisconsin Avenue
Bethesda, MD
1 West Pennsylvania Ave.
Towson, MD
MASSACHUSETTS
470 Boylston Street
Boston, MA
155 Congress Street
Boston, MA
25 State Street
Boston, MA
300 Granite Street
Braintree, MA
44 Mall Road
Burlington, MA
416 Belmont Street
Worcester, MA
MICHIGAN
280 North Woodward Ave.
Birmingham, MI
29115 Northwestern Hwy.
Southfield, MI
MINNESOTA
7600 France Avenue South
Edina, MN
MISSOURI
700 West 47th Street
Kansas City, MO
8885 Ladue Road
Ladue, MO
200 North Broadway
St. Louis, MO
NEW JERSEY
150 Essex Street
Millburn, NJ
56 South Street
Morristown, NJ
501 Route 17, South
Paramus, NJ
NEW YORK
1055 Franklin Avenue
Garden City, NY
999 Walt Whitman Road
Melville, L.I., NY
1271 Avenue of the Americas
New York, NY
71 Broadway
New York, NY
350 Park Avenue
New York, NY
NORTH CAROLINA
4611 Sharon Road
Charlotte, NC
2200 West Main Street
Durham, NC
OHIO
600 Vine Street
Cincinnati, OH
28699 Chagrin Boulevard
Woodmere Village, OH
OREGON
16850 SW 72 Avenue
Tigard, OR
PENNSYLVANIA
1735 Market Street
Philadelphia, PA
439 Fifth Avenue
Pittsburgh, PA
TENNESSEE
6150 Poplar Road
Memphis, TN
TEXAS
10000 Research Boulevard
Austin, TX
4017 Northwest Parkway
Dallas, TX
1155 Dairy Ashford Street
Houston, TX
2701 Drexel Drive
Houston, TX
400 East Las Colinas Blvd.
Irving, TX
14100 San Pedro
San Antonio, TX
19740 IH 45 North
Spring, TX
UTAH
215 South State Street
Salt Lake City, UT
VIRGINIA
8180 Greensboro Drive
McLean, VA
WASHINGTON
411 108th Avenue, N.E.
Bellevue, WA
511 Pine Street
Seattle, WA
WASHINGTON, DC
1900 K Street, N.W.
Washington, DC
WISCONSIN
595 North Barker Road
Brookfield, WI
INVESTMENT ADVISER
Fidelity Management & Research Company
Boston, MA
INVESTMENT SUB-ADVISER
Bankers Trust Company
New York, NY
OFFICERS
Edward C. Johnson 3d, PRESIDENT
Robert C. Pozen, SENIOR VICE PRESIDENT
Robert A. Lawrence, VICE PRESIDENT
Eric D. Roiter, SECRETARY
Richard A. Silver, TREASURER
John H. Costello, ASSISTANT TREASURER
Leonard M. Rush, ASSISTANT TREASURER
BOARD OF TRUSTEES
Ralph F. Cox *
Phyllis Burke Davis *
Robert M. Gates *
Edward C. Johnson 3d
E. Bradley Jones *
Donald J. Kirk *
Peter S. Lynch
Marvin L. Mann *
William O. McCoy *
Gerald C. McDonough *
Robert C. Pozen
Thomas R. Williams *
ADVISORY BOARD
J. Gary Burkhead
GENERAL DISTRIBUTOR
Fidelity Distributors Corporation
Boston, MA
TRANSFER AND SHAREHOLDER SERVICING AGENT
Fidelity Service Company, Inc.
Boston, MA
CUSTODIAN
Bankers Trust Company
New York, NY
* INDEPENDENT TRUSTEES
PERFORMANCE: THE BOTTOM LINE
There are several ways to evaluate a fund's historical performance.
You can look at the total percentage change in value, the average
annual percentage change or the growth of a hypothetical $100,000
investment. Total return reflects the change in the value of an
investment, assuming reinvestment of the fund's dividend income and
capital gains (the profits earned upon the sale of securities that
have grown in value). If Fidelity had not reimbursed certain fund
expenses, the total returns would have been lower.
CUMULATIVE TOTAL RETURNS
PERIODS ENDED FEBRUARY 28, 1998 PAST 1 PAST 5 PAST 10
YEAR YEARS YEARS
SPARTAN US EQUITY INDEX 34.65% 163.74% 407.70%
S&P 500 (REGISTERED TRADEMARK) 35.01% 166.84% 422.55%
S&P 500 INDEX OBJECTIVE 34.20% 161.19% 393.92%
FUNDS AVERAGE
CUMULATIVE TOTAL RETURNS show the fund's performance in percentage
terms over a set period - in this case, one year, five year, or 10
years. For example, if you had invested $1,000 in a fund that had a 5%
return over the past year, the value of your investment would be
$1,050. You can compare the fund's returns to the performance of the
Standard & Poor's 500 Index - a widely recognized, unmanaged index of
common stocks. To measure how the fund's performance stacked up
against its peers, you can compare it to the S&P 500 index objective
funds average, which reflects the performance of mutual funds with
similar objectives tracked by Lipper Analytical Services, Inc. The
past one year average represents a peer group of 70 mutual funds.
These benchmarks reflect reinvestment of dividends and capital gains,
if any, and exclude the effect of sales charges.
AVERAGE ANNUAL TOTAL RETURNS
PERIODS ENDED FEBRUARY 28, 1998 PAST 1 PAST 5 PAST 10
YEAR YEARS YEARS
SPARTAN US EQUITY INDEX 34.65% 21.40% 17.64%
S&P 500 35.01% 21.69% 17.98%
S&P 500 INDEX OBJECTIVE FUNDS AVERAGE 34.20% 21.17% 17.31%
AVERAGE ANNUAL TOTAL RETURNS take the fund's cumulative return and
show you what would have happened if the fund had performed at a
constant rate each year. (Note: Lipper calculates average annual total
returns by annualizing each fund's total return, then taking an
arithmetic average. This may produce a slightly different figure than
that obtained by averaging the cumulative total returns and
annualizing the result.)
$100,000 OVER 10 YEARS
REPORT TYPE: ANNUAL REPORT
CHART PAGE
FOR PERIOD ENDING: 02/28/98
FUND NAME: Spartan U.S. Equity Index FUND NUMBER: 650
COMMENCEMENT DATE: Feb 17 1988 4:00 PM
START DATE: 02/29/88
END DATE: 02/28/98
LOAD/FEE: no-load/fee
INITIAL INVESTMENT: $100,000
_________END VALUE
______________PERCENT CHANGE
($) (%)
Spartan U.S. Equity Index 507,700 407.70
S&P 500 522,550 422.55
03-Mar-98
1:47 PM
Page 00650_CHART_SUM_1
$100,000 OVER 10 YEARS: Let's say hypothetically that $100,000 was
invested in Spartan U.S. Equity Index Fund on February 29, 1988. As
the chart shows, by February 28, 1998, the value of the investment
would have grown to $507,700 - a 407.70% increase on the initial
investment. For comparison, look at how the S&P 500 did over the same
period. With dividends and capital gains, if any, reinvested, the same
$100,000 investment in the S&P 500 would have grown to $522,550 - a
422.55% increase.
UNDERSTANDING
PERFORMANCE
How a fund did yesterday is
no guarantee of how it will do
tomorrow. The stock market,
for example, has a history of
long-term growth and
short-term volatility. In turn, the
share price and return of a
fund that invests in stocks or
bonds will vary. That means if
you sell your shares during a
market downturn, you might
lose money. But if you can ride
out the market's ups and
downs, you may have a gain.
(checkmark)
FUND TALK: THE MANAGER'S OVERVIEW
NOTE TO SHAREHOLDERS: Frank Salerno became Portfolio Manager of
Spartan U.S. Equity Index Fund in December 1997 when Bankers Trust was
appointed sub-adviser of the fund.
Q. HOW DID THE FUND PERFORM, FRANK?
A. For the 12 months that ended February 28, 1998, the fund had a
total return of 34.65% - in line with the 35.01% return of the
Standard & Poor's 500 Index. Of course, the fund's return was slightly
lower than the index due to expenses. In addition, the fund beat the
34.20% return of the S&P 500 index objective funds average tracked by
Lipper Analytical Services.
Q. HOW WOULD YOU CHARACTERIZE THE MARKET ENVIRONMENT DURING THE PAST
12 MONTHS?
A. Overall, the U.S. stock market generated healthy gains. At times,
however, investors may have felt as if they were riding a roller
coaster, experiencing rapid, tumultuous turns and dips along the way.
The economy chugged along at an impressive clip at the beginning of
the period. As a matter of fact, first-quarter 1997 real GDP - gross
domestic product adjusted for inflation - grew at a rate of 4.9%. In
an effort to slow the economy and stymie inflationary pressures, the
Federal Reserve Board raised the federal funds rate - the rate banks
charge each other for overnight loans - to 5.50% from 5.25% at the
end of March 1997. The stock market declined shortly before and after
the rate hike. Following that, economic growth moderated and inflation
fears calmed. The market rallied, primarily led by record gains among
large-capitalization stocks. Smaller-cap stocks enjoyed a run-up from
August through October, when investors sought the opportunity to buy
mid- and small-cap companies that hadn't yet reached peak valuations
relative to their earnings growth.
Q. THAT ENVIRONMENT SOUNDED RELATIVELY STABLE, IF NOT STRONG. WHEN DID
THE MARKET BEGIN TO HIT SOME BUMPS?
A. The market began losing steam at the beginning of October after Fed
Chairman Alan Greenspan said a low jobless rate could lead to wage
increases and inflationary pressures. On top of that, Southeast Asian
economies began a freefall after several countries in the region
experienced currency difficulties. As fears about the global effects
of the Asian turmoil began surfacing, the U.S. stock market took a big
hit. In fact, on October 27, the Dow Jones Industrial Average
experienced its biggest one-day point drop in history. The Dow
rebounded significantly the next day, but the two-day turbulence paved
the way for the market's ups and downs over the next several months.
Investors began a "flight to quality" at the end of 1997 and into the
first months of 1998 - meaning they sought out the more liquid,
large-cap stocks. For the most part, this drove the market higher -
especially in early 1998 - but left many smaller-cap companies in the
dust. At the end of February 1998, Greenspan cautioned that the Asian
financial turmoil created "storm clouds" over the U.S. economy, while
warning about the inflation threats caused by an unusually tight labor
market.
Q. FINANCE WAS THE LARGEST SECTOR IN THE S&P 500 INDEX AT THE END OF
THE PERIOD. HOW DID THESE STOCKS PERFORM?
A. Most banks and brokerage stocks performed well during the period as
a result of low interest rates, additional fee-based revenues,
increased merger and acquisition activity and robust capital markets.
Many finance stocks - especially those with sizeable exposures to
international markets - suffered a correction in late 1997, but
rebounded in early 1998.
Q. TECHNOLOGY HAS BEEN A STRONG DRIVER OF THE MARKET'S RETURNS OVER
THE PAST FEW YEARS. HOW DID THAT SECTOR FARE?
A. Among technology stocks, personal computer (PC) manufacturers such
as Compaq and Dell Computer enjoyed the strongest growth as falling PC
prices helped spur demand in both the consumer and commercial markets.
However, the technology sector as a whole fell victim to the Asian
financial crisis in the fourth quarter of 1997 and into early 1998.
Technology companies, especially semiconductor and component makers,
export many of their products to the Far East, so their stocks took a
hit in anticipation of reduced future earnings. Software makers that
primarily have domestic revenue exposure continued to perform well and
large-cap names such as Microsoft benefited from the flight to quality
at the end of the period.
Q. WHAT ABOUT HEALTH CARE STOCKS?
A. Although large-cap health care stocks suffered a correction at the
beginning of the period because they were considered to be highly
overvalued, these stocks performed well for the remainder of the year.
Pharmaceutical stocks led the sector's gains, fueled by solid
earnings, the recent flight to quality and accelerated reviews by the
Food and Drug Administration (FDA).
Q. WERE THERE ANY SECTORS OF THE MARKET THAT PROVED TO BE
DISAPPOINTING?
A. Shares of large multinational companies suffered at the end of 1997
because the dollar strengthened versus major currencies, causing
concern about the future profits of firms that operate globally. In
addition, energy stocks were injured by the Asian crisis because Asia
is responsible for a large portion of the growth in demand for most
energy commodities.
Q. WHAT'S YOUR OUTLOOK?
A. At the end of the period, Greenspan warned about the possibility of
inflation caused by unusually tight labor markets, despite the "storm
clouds" created by the turbulence in Asia. I believe these competing
interests signal steady monetary policy in the near future. In
addition, the U.S. economy continues to grow at a moderate rate, which
bodes well for long-term gains in the stock market.
THE VIEWS EXPRESSED IN THIS REPORT REFLECT THOSE OF THE PORTFOLIO
MANAGER ONLY THROUGH THE END OF THE PERIOD OF THE REPORT AS STATED ON
THE COVER. THE MANAGER'S VIEWS ARE SUBJECT TO CHANGE AT ANY TIME BASED
ON MARKET AND OTHER CONDITIONS.
FUND FACTS
START DATE:
FUND NUMBER:
TRADING SYMBOL:
SIZE:
MANAGER:
(checkmark)
INVESTMENT CHANGES
TOP TEN STOCKS AS OF FEBRUARY 28, 1998
% OF FUND'S % OF FUND'S INVESTMENTS
INVESTMENTS IN THESE STOCKS
6 MONTHS AGO
GENERAL ELECTRIC CO. 3.0 2.8
MICROSOFT CORP. 2.4 2.2
COCA-COLA CO. (THE) 2.0 2.0
EXXON CORP. 1.9 2.1
MERCK & CO., INC. 1.8 1.5
INTEL CORP. 1.7 2.1
ROYAL DUTCH PETROLEUM CO. 1.4 1.5
PFIZER, INC. 1.4 1.0
PROCTER & GAMBLE CO. 1.4 1.2
PHILIP MORRIS COMPANIES, INC. 1.2 1.5
TOP TEN MARKET SECTORS AS OF FEBRUARY 28, 1998
% OF FUND'S % OF FUND'S INVESTMENTS
INVESTMENTS IN THESE MARKET SECTORS
6 MONTHS AGO
FINANCE 16.8 15.3
TECHNOLOGY 14.3 15.2
HEALTH 11.4 10.1
NONDURABLES 10.1 10.3
UTILITIES 9.5 8.5
ENERGY 7.8 8.8
INDUSTRIAL MACHINERY & EQUIPMENT 5.5 6.0
RETAIL & WHOLESALE 4.9 4.7
BASIC INDUSTRIES 4.7 5.4
MEDIA & LEISURE 4.4 3.5
INVESTMENTS FEBRUARY 28, 1998
SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENT IN SECURITIES
COMMON STOCKS - 97.8%
SHARES VALUE (NOTE 1)
AEROSPACE & DEFENSE - 2.1%
AEROSPACE & DEFENSE - 1.8%
AlliedSignal, Inc. 733,041 $ 31,200
Boeing Co. 1,348,871 73,247
Lockheed Martin Corp. 257,680 30,068
Rockwell International Corp. 290,961 17,603
Textron, Inc. 234,889 17,602
United Technologies Corp. 312,178 27,881
197,601
DEFENSE ELECTRONICS - 0.3%
Northrop Grumman Corp. 85,968 11,950
Raytheon Co. Class B 348,136 20,474
32,424
SHIP BUILDING & REPAIR - 0.0%
General Dynamics Corp. 81,821 7,098
TOTAL AEROSPACE & DEFENSE 237,123
BASIC INDUSTRIES - 4.7%
CHEMICALS & PLASTICS - 2.5%
Air Products & Chemicals, Inc. 143,720 12,063
Avery Dennison Corp. 135,691 6,852
Dow Chemical Co. 314,751 28,800
du Pont (E.I.) de Nemours & Co. 1,526,315 93,512
Eastman Chemical Co. 102,427 6,709
Engelhard Corp. 189,293 3,431
FMC Corp. (a) 48,772 3,530
Goodrich (B.F.) Co. 66,619 3,302
Great Lakes Chemical Corp. 73,911 3,594
Hercules, Inc. 123,771 5,980
Monsanto Co. 784,652 39,919
Morton International, Inc. 172,757 5,712
Nalco Chemical Co. 87,557 3,524
PPG Industries, Inc. 229,723 14,889
Praxair, Inc. 220,010 10,519
Raychem Corp. 145,912 6,338
Rohm & Haas Co. 81,461 8,304
Union Carbide Corp. 194,602 9,037
W.R. Grace & Co. 110,458 9,272
275,287
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
BASIC INDUSTRIES - CONTINUED
IRON & STEEL - 0.2%
Aeroquip Vickers, Inc. 34,533 $ 2,005
Allegheny Teledyne, Inc. 230,440 6,251
Armco, Inc. (a) 131,947 701
Bethlehem Steel Corp. (a) 146,926 1,561
Inland Steel Industries, Inc. 60,244 1,243
Nucor Corp. 115,111 5,928
USX-U.S. Steel Group 135,725 4,767
Worthington Industries, Inc. 125,906 2,156
24,612
METALS & MINING - 0.5%
Alcan Aluminium Ltd. 279,832 8,658
Aluminum Co. of America 246,509 18,088
ASARCO, Inc. 56,311 1,246
Cyprus Amax Minerals Co. 123,470 2,022
Freeport-McMoRan Copper & Gold, Inc. Class B 247,265 3,724
Inco Ltd. 205,367 3,570
Phelps Dodge Corp. 81,323 5,164
Reynolds Metals Co. 95,032 5,922
48,394
PACKAGING & CONTAINERS - 0.3%
Ball Corp. 37,407 1,220
Bemis Co., Inc. 65,434 2,949
Corning, Inc. 312,885 12,711
Crown Cork & Seal Co., Inc. 182,319 9,845
Owens-Illinois, Inc. (a) 170,091 6,527
Tupperware Corp. 75,882 2,039
35,291
PAPER & FOREST PRODUCTS - 1.2%
Boise Cascade Corp. (a) 72,826 2,426
Champion International Corp. 125,145 6,390
Fort James Corp. 286,165 12,985
Georgia-Pacific Corp. 119,809 7,031
International Paper Co. 423,402 19,741
Kimberly-Clark Corp. 765,440 42,626
Louisiana-Pacific Corp. 144,184 3,163
Mead Corp. 135,544 4,634
Potlatch Corp. 35,716 1,547
Stone Container Corp. (a) 122,418 1,377
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
BASIC INDUSTRIES - CONTINUED
PAPER & FOREST PRODUCTS - CONTINUED
Temple-Inland, Inc. 72,771 $ 4,339
Union Camp Corp. 90,723 5,421
Westvaco Corp. 133,520 4,339
Weyerhaeuser Co. 260,066 12,987
Willamette Industries, Inc. 144,001 5,319
134,325
TOTAL BASIC INDUSTRIES 517,909
CONSTRUCTION & REAL ESTATE - 0.5%
BUILDING MATERIALS - 0.2%
Armstrong World Industries, Inc. (a) 53,907 4,232
Crane Co. 56,424 2,765
Masco Corp. 225,752 12,275
Owens-Corning 70,074 2,164
Sherwin-Williams Co. 225,470 7,539
28,975
CONSTRUCTION - 0.1%
Centex Corp. 38,528 2,815
Fleetwood Enterprises, Inc. 43,952 2,060
Kaufman & Broad Home Corp. 47,978 1,241
Pulte Corp. 28,113 1,279
7,395
ENGINEERING - 0.1%
EG & G, Inc. 57,458 1,548
Fluor Corp. 110,329 5,193
Foster Wheeler Corp. 50,186 1,342
8,083
REAL ESTATE INVESTMENT TRUSTS - 0.1%
Starwood Hotels & Resorts Trust 137,111 7,755
TOTAL CONSTRUCTION & REAL ESTATE 52,208
DURABLES - 3.5%
AUTOS, TIRES, & ACCESSORIES - 2.5%
AutoZone, Inc. (a) 185,935 5,625
Chrysler Corp. 887,727 34,566
Cooper Tire & Rubber Co. 97,104 2,239
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
DURABLES - CONTINUED
AUTOS, TIRES, & ACCESSORIES - CONTINUED
Cummins Engine Co., Inc. 50,125 $ 2,901
Dana Corp. 127,124 6,936
Eaton Corp. 109,863 10,554
Echlin, Inc. 76,960 3,891
Ford Motor Co. 1,526,632 86,350
General Motors Corp. 925,684 63,814
Genuine Parts Co. 236,160 8,738
Goodyear Tire & Rubber Co. 204,392 14,129
ITT Industries, Inc. 155,184 5,315
Johnson Controls, Inc. 109,568 6,088
NACCO Industries, Inc. Class A 10,214 1,328
Navistar International Corp. (a) 90,456 2,748
PACCAR, Inc. 95,847 6,068
Pep Boys-Manny, Moe & Jack 75,200 1,927
Snap-On Tools Corp. 79,741 3,389
TRW, Inc. 163,712 8,973
275,579
CONSUMER DURABLES - 0.4%
Minnesota Mining & Manufacturing Co. 552,474 47,133
CONSUMER ELECTRONICS - 0.3%
Black & Decker Corp. 122,952 6,194
Maytag Co. 128,057 5,763
Newell Co. 207,274 9,509
Whirlpool Corp. 97,438 6,510
27,976
TEXTILES & APPAREL - 0.3%
Fruit of the Loom, Inc. Class A (a) 100,247 3,220
Liz Claiborne, Inc. 92,625 4,631
NIKE, Inc. Class B 355,938 15,616
Reebok International Ltd. (a) 69,327 2,162
Russell Corp. 45,033 1,222
Springs Industries, Inc. Class A 24,930 1,395
VF Corp. 159,156 7,590
35,836
TOTAL DURABLES 386,524
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
ENERGY - 7.8%
ENERGY SERVICES - 0.9%
Baker Hughes, Inc. 250,196 $ 10,242
Dresser Industries, Inc. 241,919 10,811
Halliburton Co. 355,260 16,520
Helmerich & Payne, Inc. 65,320 1,890
McDermott International, Inc. 68,675 2,704
Rowan Companies, Inc. (a) 123,319 3,476
Schlumberger Ltd. 651,100 49,076
Western Atlas, Inc. 70,541 5,357
100,076
OIL & GAS - 6.9%
Amerada Hess Corp. (a) 114,367 6,783
Amoco Corp. (a) 665,912 56,603
Anadarko Petroleum Corp. 73,604 4,747
Apache Corp. 148,317 5,043
Ashland, Inc. 91,524 5,097
Atlantic Richfield Co. (a) 444,464 34,557
Burlington Resources, Inc. 219,805 9,836
Chevron Corp. (a) 858,415 69,639
Coastal Corp. (The) 138,814 8,832
Exxon Corp. 3,265,582 208,589
Kerr-McGee Corp. 59,009 3,990
Mobil Corp. 1,053,745 76,331
Occidental Petroleum Corp. 494,142 12,632
Oryx Energy Co. (a) 129,829 3,303
Pennzoil Co. 57,839 3,872
Phillips Petroleum Co. 367,060 17,986
Royal Dutch Petroleum Co. 2,853,538 154,983
Sun Co., Inc. 95,551 3,816
Texaco, Inc. 756,898 42,244
USX-Marathon Group 411,385 14,218
Union Pacific Resources Group, Inc. 312,863 7,000
Unocal Corp. 362,303 13,654
763,755
TOTAL ENERGY 863,831
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
FINANCE - 16.8%
BANKS - 7.9%
BB&T Corp. 164,600 $ 10,215
Banc One Corp. 883,305 49,907
Bank of New York Co., Inc. 507,979 29,749
BankBoston Corp. 206,350 20,571
BankAmerica Corp. 908,566 70,410
Bankers Trust New York Corp. 90,237 10,671
Chase Manhattan Corp. 573,179 71,110
Citicorp 601,205 79,660
Comerica, Inc. 138,621 13,975
CoreStates Financial Corp. 263,882 22,282
Fifth Third Bancorp 195,826 15,470
First Union Corp. 868,531 45,761
Huntington Bancshares, Inc. 216,942 7,783
KeyCorp. 283,658 19,874
Mellon Bank Corp. 351,244 21,887
Mercantile Bancorp., Inc. 172,200 9,579
Morgan (J.P.) & Co., Inc. 250,190 29,898
National City Corp. 304,804 19,888
NationsBank Corp. 1,238,142 84,813
Northern Trust Corp. 163,600 12,444
Norwest Corp. 1,007,554 41,247
PNC Financial Corp. 406,314 22,550
Providian Financial Corp. 115,570 6,559
Republic New York Corp. 67,163 8,127
State Street Corp. 214,263 13,244
Summit Bancorp 242,600 12,054
SunTrust Banks, Inc. 288,831 21,301
Synovus Financial Corp. 216,500 7,605
U.S. Bancorp 339,532 39,067
Wachovia Corp. 262,235 20,848
Wells Fargo & Co. 119,915 38,613
877,162
CREDIT & OTHER FINANCE - 1.7%
American Express Co. 631,619 56,884
Beneficial Corp. 83,066 9,802
Countrywide Credit Industries, Inc. 136,843 6,081
First Chicago NBD Corp. 403,780 33,186
Fleet Financial Group, Inc. 308,138 24,285
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
FINANCE - CONTINUED
CREDIT & OTHER FINANCE - CONTINUED
Green Tree Financial Corp. 197,230 $ 4,524
Household International, Inc. 149,979 19,479
MBNA Corp. 688,296 24,650
Transamerica Corp. 82,069 9,556
188,447
FEDERAL SPONSORED CREDIT - 1.2%
Freddie Mac 879,075 41,536
Fannie Mae 1,444,435 92,173
133,709
INSURANCE - 4.7%
Aetna, Inc. 191,732 16,753
Allstate Corp. 568,222 52,987
American General Corp. 297,694 17,303
American International Group, Inc. 947,915 113,928
Aon Corp. 217,653 13,018
CIGNA Corp. 102,461 19,570
Chubb Corp. (The) 234,676 18,730
Cincinnati Financial Corp. 74,600 10,071
Conseco, Inc. 268,131 12,585
General Re Corp. 104,227 22,200
Hartford Financial Services Group, Inc. 153,679 15,099
Jefferson Pilot Corp. 92,573 7,765
Lincoln National Corp. 135,612 11,358
Loews Corp. 141,710 14,215
MBIA, Inc. 113,404 8,300
MGIC Investment Corp. 157,538 11,609
Marsh & McLennan Companies, Inc. 227,916 19,757
Progressive Corp. 88,271 10,228
SAFECO Corp. 168,009 8,810
St. Paul Companies, Inc. (The) 109,582 9,712
SunAmerica, Inc. 241,429 10,940
Torchmark Corp. 183,177 8,529
Travelers Group, Inc. (The) 1,508,492 84,098
UNUM Corp. 183,132 9,420
USF&G Corp. 146,215 3,573
530,558
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
FINANCE - CONTINUED
SAVINGS & LOANS - 0.3%
Ahmanson (H.F.) & Co. 123,948 $ 7,739
Golden West Financial Corp. 74,578 6,656
Washington Mutual, Inc. 348,741 23,409
37,804
SECURITIES INDUSTRY - 1.0%
Lehman Brothers Holdings, Inc. 150,600 9,497
Merrill Lynch & Co., Inc. 440,685 31,537
Morgan Stanley, Dean Witter, Discover and Co. 761,580 53,073
Schwab (Charles) Corp. 344,265 12,996
107,103
TOTAL FINANCE 1,874,783
HEALTH - 11.4%
DRUGS & PHARMACEUTICALS - 7.6%
Allergan, Inc. 80,677 2,824
ALZA Corp. Class A 104,851 3,919
American Home Products Corp. 878,768 82,383
Amgen, Inc. 365,146 19,398
Bristol-Myers Squibb Co. 1,313,545 131,601
Lilly (Eli) & Co. (a) 1,464,152 96,360
Merck & Co., Inc. 1,593,897 203,321
Pharmacia & Upjohn, Inc. 699,976 27,693
Pfizer, Inc. 1,713,147 151,614
Schering-Plough Corp. 990,102 75,310
Sigma Aldrich Corp. 123,415 4,875
Warner-Lambert Co. 369,186 53,993
853,291
MEDICAL EQUIPMENT & SUPPLIES - 3.1%
Abbott Laboratories 1,039,019 77,732
Bard (C.R.), Inc. 70,374 2,454
Bausch & Lomb, Inc. 68,369 3,064
Baxter International, Inc. 370,412 20,975
Becton, Dickinson & Co. 177,256 11,278
Biomet, Inc. 137,131 4,088
Boston Scientific Corp. (a) 260,265 15,551
Cardinal Health, Inc. 154,663 12,663
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
HEALTH - CONTINUED
MEDICAL EQUIPMENT & SUPPLIES - CONTINUED
Guidant Corp. 210,797 $ 15,375
Johnson & Johnson 1,773,521 133,901
Mallinckrodt, Inc. 96,810 3,757
Medtronic, Inc. 623,848 33,142
Millipore Corp. 53,643 2,028
Pall Corp. 155,913 3,264
St. Jude Medical, Inc. (a) 112,809 4,118
U.S. Surgical Corp. 90,107 2,760
346,150
MEDICAL FACILITIES MANAGEMENT - 0.7%
Columbia/HCA Healthcare Corp. 823,233 22,330
HEALTHSOUTH Corp. (a) 554,627 14,975
Humana, Inc. (a) 213,506 5,431
Manor Care, Inc. 83,896 3,151
Tenet Healthcare Corp. 389,948 14,550
United HealthCare Corp. 244,021 14,809
75,246
TOTAL HEALTH 1,274,687
HOLDING COMPANIES - 0.2%
CINergy Corp. 194,351 6,766
Norfolk Southern Corp. 493,019 16,978
23,744
INDUSTRIAL MACHINERY & EQUIPMENT - 5.5%
ELECTRICAL EQUIPMENT - 3.7%
Emerson Electric Co. 607,965 38,796
General Electric Co. 4,341,850 337,578
General Instrument Corp. (a) 180,684 3,015
General Signal Corp. 65,774 2,672
Grainger (W.W.), Inc. 67,475 6,532
Harris Corp. 103,982 5,271
Honeywell, Inc. 184,488 14,621
Scientific-Atlanta, Inc. 95,523 1,672
410,157
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
INDUSTRIAL MACHINERY & EQUIPMENT - CONTINUED
INDUSTRIAL MACHINERY & EQUIPMENT - 1.5%
Briggs & Stratton Corp. 34,346 $ 1,522
Case Corp. 112,704 7,333
Caterpillar, Inc. 513,356 28,040
Cincinnati Milacron, Inc. 49,070 1,515
Cooper Industries, Inc. 153,968 8,641
Deere & Co. 336,833 18,905
Dover Corp. 294,104 11,360
Harnischfeger Industries, Inc. 60,967 2,157
Illinois Tool Works, Inc. 326,358 19,561
Ingersoll-Rand Co. 213,304 10,159
Parker-Hannifin Corp. 146,421 6,827
Stanley Works 98,885 4,728
Tenneco, Inc. 211,081 8,681
Timken Co. 77,335 2,494
Tyco International Ltd. 751,952 38,162
170,085
POLLUTION CONTROL - 0.3%
Browning-Ferris Industries, Inc. 262,089 8,731
Safety Kleen Corp. 90,240 2,420
Waste Management, Inc. 594,261 14,856
26,007
TOTAL INDUSTRIAL MACHINERY & EQUIPMENT 606,249
MEDIA & LEISURE - 4.4%
BROADCASTING - 1.1%
CBS Corp. 914,570 28,295
Clear Channel Communications, Inc. (a) 109,821 9,953
Comcast Corp. Class A special 431,819 15,114
Tele-Communications, Inc. (TCI Group), Series A (a) 647,748 18,825
Time Warner, Inc. 690,548 46,612
118,799
ENTERTAINMENT - 1.1%
Disney (Walt) Co. 909,093 101,761
King World Productions, Inc. 92,166 2,460
Viacom, Inc. Class B (non-vtg.) (a) 434,833 20,872
125,093
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
MEDIA & LEISURE - CONTINUED
LEISURE DURABLES & TOYS - 0.2%
Brunswick Corp. 130,016 $ 4,128
Hasbro, Inc. 159,974 5,809
Mattel, Inc. 387,430 16,393
26,330
LODGING & GAMING - 0.3%
Harrah's Entertainment, Inc. (a) 126,570 2,666
Hilton Hotels Corp. 342,588 10,213
Marriott International, Inc. 176,179 13,346
Mirage Resorts, Inc. (a) 220,409 5,042
31,267
PUBLISHING - 1.1%
U S WEST Media Group 781,649 25,159
American Greetings Corp. Class A 92,535 4,222
Cognizant Corp. 234,913 11,731
Dow Jones & Co., Inc. 118,150 6,070
Dun & Bradstreet Corp. 224,198 7,511
Gannett Co., Inc. 364,340 23,521
Harcourt General, Inc. 87,183 4,708
Knight-Ridder, Inc. 112,344 6,319
McGraw-Hill, Inc. 130,962 9,904
Meredith Corp. 65,949 2,832
New York Times Co. (The) Class A 118,092 7,728
Times Mirror Co. Class A 117,810 7,253
Tribune Co. 160,738 10,378
127,336
RESTAURANTS - 0.6%
Darden Restaurants, Inc. 205,595 2,776
McDonald's Corp. 913,682 50,023
Tricon Global Restaurants, Inc. 210,245 5,966
Wendy's International, Inc. 161,881 3,511
62,276
TOTAL MEDIA & LEISURE 491,101
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
NONDURABLES - 10.1%
AGRICULTURE - 0.1%
Pioneer Hi-Bred International, Inc. 86,269 $ 8,950
BEVERAGES - 3.2%
Anheuser-Busch Companies, Inc. (a) 647,874 30,369
Brown-Forman Corp. Class B 85,152 4,726
Coca-Cola Co. (The) 3,319,717 228,023
Coors (Adolph) Co. Class B 46,180 1,443
PepsiCo, Inc. 2,004,353 73,284
Seagram Co. Ltd. 457,123 17,338
355,183
FOODS - 2.2%
Archer-Daniels-Midland Co. 717,488 16,099
Bestfoods 185,550 19,552
Campbell Soup Co. 607,572 35,277
ConAgra, Inc. 611,888 18,357
General Mills, Inc. 227,088 16,336
Heinz (H.J.) Co. 491,884 27,699
Hershey Foods Corp. 184,171 12,282
Kellogg Co. 524,546 22,359
Quaker Oats Co. 178,971 9,642
Ralston Purina Co. 147,310 14,943
Sara Lee Corp. 620,444 35,055
Sysco Corp. 221,148 10,408
Wrigley (Wm.) Jr. Co. 143,219 10,938
248,947
HOUSEHOLD PRODUCTS - 3.2%
Alberto Culver Co. Class B 69,012 2,101
Avon Products, Inc. 191,855 13,514
Clorox Co. 137,591 12,074
Colgate-Palmolive Co. 408,808 33,190
Gillette Co. 744,924 80,359
International Flavors & Fragrances, Inc. 143,239 6,589
Procter & Gamble Co. 1,775,002 150,763
Rubbermaid, Inc. 196,238 5,691
Unilever NV ADR 835,716 53,747
358,028
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
NONDURABLES - CONTINUED
TOBACCO - 1.4%
Fortune Brands, Inc. 212,089 $ 8,417
Philip Morris Companies, Inc. 3,204,847 139,211
UST, Inc. 278,144 9,857
157,485
TOTAL NONDURABLES 1,128,593
PRECIOUS METALS - 0.2%
Barrick Gold Corp. 459,549 8,813
Battle Mountain Gold Co. 283,195 1,699
Homestake Mining Co. 192,540 1,925
Newmont Mining Corp. 203,578 5,891
Placer Dome, Inc. 295,273 3,743
22,071
RETAIL & WHOLESALE - 4.9%
APPAREL STORES - 0.4%
Charming Shoppes, Inc. (a) 130,034 581
Gap, Inc. 524,454 23,437
Limited, Inc. (The) 355,337 10,305
TJX Companies, Inc. 191,865 7,411
41,734
DRUG STORES - 0.5%
CVS Corp. 233,698 17,308
Long Drug Stores, Inc. 47,980 1,520
Rite Aid Corp. 350,696 11,354
Walgreen Co. 644,628 23,650
53,832
GENERAL MERCHANDISE STORES - 2.6%
Consolidated Stores Corp. (a) 153,100 6,296
Costco Companies, Inc. (a) 303,416 14,829
Dayton Hudson Corp. 293,997 22,730
Dillards, Inc. Class A 140,100 4,991
Federated Department Stores, Inc. (a) 299,818 14,054
K mart Corp. (a) 635,053 8,494
May Department Stores Co. (The) 321,179 19,512
Mercantile Stores Co., Inc. 45,503 2,995
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
RETAIL & WHOLESALE - CONTINUED
GENERAL MERCHANDISE STORES - CONTINUED
Nordstrom, Inc. 114,930 $ 6,591
Penney (J.C.) Co., Inc. 329,210 23,271
Sears, Roebuck & Co. 503,764 26,731
Wal-Mart Stores, Inc. 2,971,713 137,627
Woolworth Corp. (a) 176,883 4,201
292,322
GROCERY STORES - 0.5%
Albertson's, Inc. 317,524 14,864
American Stores Co. 382,299 9,629
Giant Food, Inc. Class A 73,761 2,678
Great Atlantic & Pacific Tea Co., Inc. 47,245 1,438
Kroger Co. (The) (a) 363,393 15,353
Supervalu, Inc. 83,928 3,997
Winn-Dixie Stores, Inc. 195,258 10,532
58,491
RETAIL & WHOLESALE, MISCELLANEOUS - 0.9%
Circuit City Stores, Inc. - Circuit City Group 118,227 4,567
Home Depot, Inc. 977,198 62,357
IKON Office Solutions, Inc. 174,512 5,704
Lowe's Companies, Inc. 247,810 14,481
Tandy Corp. 143,316 6,378
Toys "R" Us, Inc. (a) 396,072 10,397
103,884
TOTAL RETAIL & WHOLESALE 550,263
SERVICES - 0.9%
ADVERTISING - 0.2%
Interpublic Group of Companies, Inc. 161,090 8,779
Omnicom Group, Inc. 183,700 8,405
17,184
LEASING & RENTAL - 0.0%
Ryder Systems, Inc. 101,198 3,713
PRINTING - 0.1%
Deluxe Corp. 107,725 3,669
Donnelley (R.R.) & Sons Co. 192,225 7,617
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
SERVICES - CONTINUED
PRINTING - CONTINUED
Harland (John H.) Co. 38,045 $ 578
Moore Corporation Ltd. 108,458 1,691
13,555
SERVICES - 0.6%
Block (H & R), Inc. 136,483 6,423
Cendant Corp. (a) 1,077,958 40,423
Ecolab, Inc. 159,800 4,604
Jostens, Inc. 47,825 1,124
National Service Industries, Inc. 59,920 3,322
Service Corp. International 326,541 12,368
68,264
TOTAL SERVICES 102,716
TECHNOLOGY - 14.3%
COMMUNICATIONS EQUIPMENT - 2.3%
Andrew Corp. (a) 112,232 3,100
Cabletron Systems, Inc. (a) 237,586 3,683
Cisco Systems, Inc. (a) 1,365,144 89,929
DSC Communications Corp. (a) 180,789 3,548
Lucent Technologies, Inc. 857,578 92,940
Northern Telecom Ltd. 682,248 36,323
Tellabs, Inc. (a) 253,340 15,295
3Com Corp. (a) 458,044 16,375
261,193
COMPUTER SERVICES & SOFTWARE - 4.0%
Adobe Systems, Inc. 110,982 4,904
Autodesk, Inc. 73,501 3,482
Automatic Data Processing, Inc. 408,939 24,971
Ceridian Corp. (a) 99,020 4,611
Computer Associates International, Inc. 716,566 33,768
Computer Sciences Corp. (a) 113,789 11,912
Equifax, Inc. 186,233 6,693
First Data Corp. 557,736 18,963
HBO & Co. 296,000 16,021
Microsoft Corp. (a) 3,214,836 272,457
Novell, Inc. (a) 454,477 4,779
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
TECHNOLOGY - CONTINUED
COMPUTER SERVICES & SOFTWARE - CONTINUED
Oracle Corp. (a) 1,285,467 $ 31,655
Parametric Technology Corp. (a) 189,016 11,447
Shared Medical Systems Corp. 30,588 2,338
448,001
COMPUTERS & OFFICE EQUIPMENT - 4.5%
Apple Computer, Inc. (a) 194,869 4,604
Bay Networks, Inc. (a) 259,679 8,797
Compaq Computer Corp. 2,013,278 64,551
Data General Corp. (a) 57,888 1,194
Dell Computer Corp. (a) 440,257 61,581
Digital Equipment Corp. (a) 200,661 11,425
EMC Corp. (a) 678,748 25,962
Hewlett-Packard Co. 1,370,680 91,836
International Business Machines Corp. 1,286,858 134,396
Pitney Bowes, Inc. 387,042 18,143
Seagate Technology (a) 320,195 7,785
Silicon Graphics, Inc. (a) 218,355 3,289
Sun Microsystems, Inc. (a) 513,830 24,471
Unisys Corp. (a) 264,708 4,732
Xerox Corp. 447,225 39,662
502,428
ELECTRONIC INSTRUMENTS - 0.4%
Applied Materials, Inc. (a) 503,964 18,552
KLA-Tencor Corp. (a) 118,028 5,448
Perkin-Elmer Corp. 57,248 4,190
Tektronix, Inc. 66,017 2,946
Thermo Electron Corp. (a) 185,224 7,594
38,730
ELECTRONICS - 2.8%
Advanced Micro Devices, Inc. (a) 173,101 4,057
AMP, Inc. 300,146 13,263
Intel Corp. 2,168,399 194,478
LSI Logic Corp. (a) 174,613 4,136
Micron Technology, Inc. (a) 282,264 9,368
Motorola, Inc. 785,827 43,810
National Semiconductor Corp. (a) 226,876 5,417
Texas Instruments, Inc. 518,910 30,032
Thomas & Betts Corp. 66,698 3,781
308,342
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
TECHNOLOGY - CONTINUED
PHOTOGRAPHIC EQUIPMENT - 0.3%
Eastman Kodak Co. 442,352 $ 29,029
Polaroid Corp. 55,452 2,540
31,569
TOTAL TECHNOLOGY 1,590,263
TRANSPORTATION - 1.0%
AIR TRANSPORTATION - 0.4%
AMR Corp. (a) 119,643 15,142
Delta Air Lines, Inc. 96,020 10,856
Southwest Airlines Co. 314,172 9,013
US Airways Group, Inc. (a) 123,386 7,812
42,823
RAILROADS - 0.5%
Burlington Northern Santa Fe Corp. 220,638 21,982
CSX Corp. 284,825 15,932
Union Pacific Corp. 333,651 17,016
54,930
TRUCKING & FREIGHT - 0.1%
FDX Corp. (a) 188,158 11,984
Laidlaw, Inc. 405,194 5,905
17,889
TOTAL TRANSPORTATION 115,642
UTILITIES - 9.5%
CELLULAR - 0.3%
AirTouch Communications, Inc. (a) 695,058 31,234
ELECTRIC UTILITY - 2.3%
Ameren Corp. 159,024 6,112
American Electric Power Co., Inc. 247,094 11,861
Baltimore Gas & Electric Co. 193,388 6,104
Carolina Power & Light Co. 197,828 8,259
Central & South West Corp. 278,093 7,456
Consolidated Edison, Inc. 307,636 13,075
DTE Energy Co. 190,310 6,994
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
UTILITIES - CONTINUED
ELECTRIC UTILITY - CONTINUED
Dominion Resources, Inc. 241,234 $ 9,619
Duke Energy Corp. 506,384 28,136
Edison International 516,530 14,269
Entergy Corp. 310,141 8,975
FPL Group, Inc. 234,831 13,635
FirstEnergy Corp. 298,028 8,624
GPU, Inc. 157,769 6,340
Houston Industries, Inc. 363,955 9,417
Niagara Mohawk Power Corp. (a) 180,749 2,316
Northern States Power Co. 90,158 4,953
PECO Energy Co. 291,656 5,760
PG&E Corp. 547,445 16,527
PP&L Resources, Inc. 214,924 4,809
PacifiCorp. 435,691 10,538
Public Service Enterprise Group, Inc. 303,821 9,798
Southern Co. 930,069 22,961
Texas Utilities Co. 335,799 13,579
Unicom Corp. 312,114 10,007
260,124
GAS - 0.6%
Columbia Gas System, Inc. (The) (a) 72,501 5,533
Consolidated Natural Gas Co. 124,303 7,147
Eastern Enterprises Co. 25,034 1,109
Enron Corp. 411,928 19,362
NICOR, Inc. 60,208 2,476
ONEOK, Inc. 34,234 1,198
Pacific Enterprises 108,998 3,958
Peoples Energy Corp. 43,081 1,556
Sonat, Inc. 158,775 6,847
Williams Companies, Inc. 415,302 13,575
62,761
TELEPHONE SERVICES - 6.3%
AT&T Corp. 2,148,551 130,793
ALLTEL Corp. 230,105 10,513
Ameritech Corp. 1,429,916 59,610
Bell Atlantic Corp. 1,021,329 91,664
BellSouth Corp. 1,303,799 79,532
Frontier Corp. 202,311 5,601
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
UTILITIES - CONTINUED
TELEPHONE SERVICES - CONTINUED
GTE Corp. 1,304,748 $ 70,619
MCI Communications Corp. 933,746 44,645
SBC Communications, Inc. 1,204,906 91,121
Sprint Corp. 530,875 35,038
U S WEST Communications Group 628,737 32,734
WorldCom, Inc. (a) 1,356,353 51,796
703,666
TOTAL UTILITIES 1,057,785
TOTAL COMMON STOCKS
(Cost $6,541,325) 10,895,492
U.S. TREASURY OBLIGATIONS (B) - 2.2%
PRINCIPAL
AMOUNT (000S)
U.S. Treasury Bills, yields at dates of purchase
5.1145% to 5.2996%, 4/23/98 to 6/18/98
(Cost $247,905) $ 251,463 248,044
TOTAL INVESTMENT IN SECURITIES - 100%
(Cost $6,789,230) $ 11,143,536
FUTURES CONTRACTS
DOLLAR AMOUNTS
IN THOUSANDS EXPIRATION UNDERLYING FACE UNREALIZED
DATE AMOUNT AT VALUE GAIN/(LOSS)
PURCHASED
930 S&P 500 Stock
Index Contracts March 1998 $ 244,253 $ 9,309
THE FACE VALUE OF FUTURES PURCHASED AS A PERCENTAGE OF TOTAL
INVESTMENT IN SECURITIES - 2.2%
LEGEND
1. Non-income producing
2. Security or a portion of the security was pledged to cover margin
requirements for futures contracts. At the period end, the value of
securities pledged amounted to $18,763,000.
INCOME TAX INFORMATION
At February 28, 1998, the aggregate cost of investment securities for
income tax purposes was $6,793,227,000. Net unrealized appreciation
aggregated $4,350,309,000, of which $4,463,674,000 related to
appreciated investment securities and $113,365,000 related to
depreciated investment securities.
The fund hereby designates approximately $63,569,000 as a capital gain
dividend for the purpose of the dividend paid deduction.
FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
<TABLE>
<CAPTION>
<S> <C> <C>
(EXCEPT PER-SHARE AMOUNT) FEBRUARY 28, 1998
ASSETS
INVESTMENT IN SECURITIES, AT VALUE (COST $6,789,230) - $ 11,143,536
SEE ACCOMPANYING SCHEDULE
RECEIVABLE FOR FUND SHARES SOLD 34,705
DIVIDENDS RECEIVABLE 16,927
INTEREST RECEIVABLE 6
OTHER RECEIVABLES 81
RECEIVABLE FROM INVESTMENT ADVISER FOR EXPENSE REDUCTIONS 186
TOTAL ASSETS 11,195,441
LIABILITIES
PAYABLE TO CUSTODIAN BANK $ 2
PAYABLE FOR FUND SHARES REDEEMED 15,691
PAYABLE FOR DAILY VARIATION ON FUTURES CONTRACTS 356
OTHER PAYABLES AND ACCRUED EXPENSES 2,412
TOTAL LIABILITIES 18,461
NET ASSETS $ 11,176,980
NET ASSETS CONSIST OF:
PAID IN CAPITAL $ 6,675,271
UNDISTRIBUTED NET INVESTMENT INCOME 27,227
ACCUMULATED UNDISTRIBUTED NET REALIZED GAIN (LOSS) ON 110,867
INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS
NET UNREALIZED APPRECIATION (DEPRECIATION) ON INVESTMENTS 4,363,615
AND ASSETS AND LIABILITIES IN FOREIGN CURRENCIES
NET ASSETS, FOR 294,895 SHARES OUTSTANDING $ 11,176,980
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE $37.90
PER SHARE ($11,176,980 (DIVIDED BY) 294,895 SHARES)
</TABLE>
STATEMENT OF OPERATIONS
<TABLE>
<CAPTION>
<S> <C> <C>
YEAR ENDED FEBRUARY 28, 1998
INVESTMENT INCOME $ 141,083
DIVIDENDS
INTEREST (INCLUDING INCOME ON SECURITIES LOANED OF $242) 17,431
TOTAL INCOME 158,514
EXPENSES
MANAGEMENT FEE AND SUB-ADVISORY FEE $ 23,058
TRANSFER AGENT FEES 17,376
ACCOUNTING AND SECURITY LENDING FEES 828
NON-INTERESTED TRUSTEES' COMPENSATION 40
CUSTODIAN FEES AND EXPENSES 109
REGISTRATION FEES 812
AUDIT 118
LEGAL 134
REPORTS TO SHAREHOLDERS 723
MISCELLANEOUS 32
TOTAL EXPENSES BEFORE REDUCTIONS 43,230
EXPENSE REDUCTIONS (27,241) 15,989
NET INVESTMENT INCOME 142,525
REALIZED AND UNREALIZED GAIN (LOSS)
NET REALIZED GAIN (LOSS) ON:
INVESTMENT SECURITIES 106,493
FOREIGN CURRENCY TRANSACTIONS (1)
FUTURES CONTRACTS 47,870 154,362
CHANGE IN NET UNREALIZED APPRECIATION (DEPRECIATION) ON:
INVESTMENT SECURITIES 2,253,760
FUTURES CONTRACTS 12,954 2,266,714
NET GAIN (LOSS) 2,421,076
NET INCREASE (DECREASE) IN NET ASSETS RESULTING $ 2,563,601
FROM OPERATIONS
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
<S> <C> <C>
YEAR ENDED YEAR ENDED
FEBRUARY 28, FEBRUARY 28,
1998 1997
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS $ 142,525 $ 100,614
NET INVESTMENT INCOME
NET REALIZED GAIN (LOSS) 154,362 104,584
CHANGE IN NET UNREALIZED APPRECIATION (DEPRECIATION) 2,266,714 1,006,122
NET INCREASE (DECREASE) IN NET ASSETS RESULTING 2,563,601 1,211,320
FROM OPERATIONS
DISTRIBUTIONS TO SHAREHOLDERS (136,471) (95,107)
FROM NET INVESTMENT INCOME
FROM NET REALIZED GAIN (64,494) (39,757)
TOTAL DISTRIBUTIONS (200,965) (134,864)
SHARE TRANSACTIONS 5,531,225 2,905,735
NET PROCEEDS FROM SALES OF SHARES
REINVESTMENT OF DISTRIBUTIONS 197,180 131,170
COST OF SHARES REDEEMED (3,401,121) (1,739,466)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING 2,327,284 1,297,439
FROM SHARE TRANSACTIONS
TOTAL INCREASE (DECREASE) IN NET ASSETS 4,689,920 2,373,895
NET ASSETS
BEGINNING OF PERIOD 6,487,060 4,113,165
END OF PERIOD (INCLUDING UNDISTRIBUTED NET INVESTMENT $ 11,176,980 $ 6,487,060
INCOME OF $27,227 AND $19,890, RESPECTIVELY)
OTHER INFORMATION
SHARES
SOLD 167,395 113,005
ISSUED IN REINVESTMENT OF DISTRIBUTIONS 6,139 5,223
REDEEMED (103,521) (67,942)
NET INCREASE (DECREASE) 70,013 50,286
</TABLE>
FINANCIAL HIGHLIGHTS
YEARS ENDED YEAR ENDED YEARS ENDED
FEBRUARY 28, FEBRUARY 29, FEBRUARY 28,
1998 1997 1996 1995 1994
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C>
SELECTED PER-SHARE DATA
NET ASSET VALUE, BEGINNING $ 28.85 $ 23.56 $ 18.02 $ 17.36 $ 16.73
OF PERIOD
INCOME FROM INVESTMENT
OPERATIONS
NET INVESTMENT INCOME .55 B .51 B .48 .43 .44
NET REALIZED AND UNREALIZED 9.29 5.47 5.63 .77 .88
GAIN (LOSS)
TOTAL FROM INVESTMENT OPERATIONS 9.84 5.98 6.11 1.20 1.32
LESS DISTRIBUTIONS
FROM NET INVESTMENT INCOME (.54) (.49) (.46) (.43) (.44)
FROM NET REALIZED GAIN (.25) (.20) (.11) (.07) (.25)
IN EXCESS OF NET REALIZED GAIN - - - (.04) -
TOTAL DISTRIBUTIONS (.79) (.69) (.57) (.54) (.69)
NET ASSET VALUE, END OF PERIOD $ 37.90 $ 28.85 $ 23.56 $ 18.02 $ 17.36
TOTAL RETURN A 34.65% 25.87% 34.37% 7.17% 8.06%
RATIOS AND SUPPLEMENTAL DATA
NET ASSETS, END OF PERIOD $ 11,177 $ 6,487 $ 4,113 $ 2,235 $ 1,892
(IN MILLIONS)
RATIO OF EXPENSES TO AVERAGE .20% .28% .28% .28% .28%
NET ASSETS C
RATIO OF EXPENSES TO AVERAGE .19% D .26% D .25% D .28% .28%
NET ASSETS AFTER EXPENSE
REDUCTIONS
RATIO OF NET INVESTMENT INCOME 1.66% 2.00% 2.34% 2.65% 2.59%
TO AVERAGE NET ASSETS
PORTFOLIO TURNOVER RATE 2% 3% 1% 11% 4%
AVERAGE COMMISSION RATE E $ .0245 $ .0237
</TABLE>
G THE TOTAL RETURNS WOULD HAVE BEEN LOWER HAD CERTAIN EXPENSES NOT
BEEN REDUCED DURING THE PERIODS SHOWN (SEE NOTE 6 OF NOTES TO
FINANCIAL STATEMENTS).
H NET INVESTMENT INCOME PER SHARE HAS BEEN CALCULATED BASED ON AVERAGE
SHARES OUTSTANDING DURING THE PERIOD.
I FMR AGREED TO REIMBURSE A PORTION OF THE FUND'S EXPENSES DURING THE
PERIOD. WITHOUT THIS REIMBURSEMENT, THE FUND'S EXPENSE RATIO WOULD
HAVE BEEN HIGHER (SEE NOTE 6 OF NOTES TO FINANCIAL STATEMENTS).
J FMR OR THE FUND HAS ENTERED INTO VARYING ARRANGEMENTS WITH THIRD
PARTIES WHO EITHER PAID OR REDUCED A PORTION OF THE FUND'S EXPENSES
(SEE NOTE 6 OF NOTES TO FINANCIAL STATEMENTS).
K FOR FISCAL YEARS BEGINNING ON OR AFTER SEPTEMBER 1, 1995, A FUND IS
REQUIRED TO DISCLOSE ITS AVERAGE COMMISSION RATE PER SHARE FOR
SECURITY TRADES ON WHICH COMMISSIONS ARE CHARGED. THIS AMOUNT MAY VARY
FROM PERIOD TO PERIOD AND FUND TO FUND DEPENDING ON THE MIX OF TRADES
EXECUTED IN VARIOUS MARKETS WHERE TRADING PRACTICES AND COMMISSION
RATE STRUCTURES MAY DIFFER.
NOTES TO FINANCIAL STATEMENTS
For the period ended February 28, 1998
3. SIGNIFICANT ACCOUNTING POLICIES.
Spartan U.S. Equity Index Fund (the fund) is a fund of Fidelity
Concord Street Trust (the trust) and is authorized to issue an
unlimited number of shares. The trust is registered under the
Investment Company Act of 1940, as amended (the 1940 Act), as an
open-end management investment company organized as a Massachusetts
business trust. The financial statements have been prepared in
conformity with generally accepted accounting principles which permit
management to make certain estimates and assumptions at the date of
the financial statements. The following summarizes the significant
accounting policies of the fund:
SECURITY VALUATION. Securities for which exchange quotations are
readily available are valued at the last sale price, or if no sale
price, at the closing bid price. Securities for which exchange
quotations are not readily available (and in certain cases debt
securities which trade on an exchange) are valued primarily using
dealer-supplied valuations or at their fair value as determined in
good faith under consistently applied procedures under the general
supervision of the Board of Trustees. Short-term securities with
remaining maturities of sixty days or less for which quotations are
not readily available are valued at amortized cost or original cost
plus accrued interest, both of which approximate current value.
FOREIGN CURRENCY TRANSLATION. The accounting records of the fund are
maintained in U.S. dollars. Investment securities and other assets and
liabilities denominated in a foreign currency are translated into U.S.
dollars at the prevailing rates of exchange at period end. Purchases
and sales of securities, income receipts and expense payments are
translated into U.S. dollars at the prevailing exchange rate on the
respective dates of the transactions.
Net realized gains and losses on foreign currency transactions
represent net gains and losses from sales and maturities of foreign
currency contracts, disposition of foreign currencies, the difference
between the amount of net investment income accrued and the U.S.
dollar amount actually received, and gains and losses between trade
date and settlement on purchases and sales of securities. The effects
of changes in foreign currency exchange rates on investments in
securities are included with the net realized and unrealized gain or
loss on investment securities.
INCOME TAXES. As a qualified regulated investment company under
Subchapter M of the Internal Revenue Code, the fund is not subject to
income taxes to the extent that it distributes substantially all of
its taxable income for its fiscal year. The schedule of investments
includes information regarding income taxes under the caption "Income
Tax Information."
INVESTMENT INCOME. Dividend income is recorded on the ex-dividend
date, except certain dividends from foreign securities where the
ex-dividend date may have passed, are recorded as soon as the fund is
informed of the ex-dividend date. Non-cash dividends included in
dividend income, if any, are recorded at the fair market value
1. SIGNIFICANT ACCOUNTING POLICIES - CONTINUED
INVESTMENT INCOME - CONTINUED
of the securities received. Interest income, which includes accretion
of original issue discount, is accrued as earned. Investment income is
recorded net of foreign taxes withheld where recovery of such taxes is
uncertain.
EXPENSES. Most expenses of the trust can be directly attributed to a
fund. Expenses which cannot be directly attributed are apportioned
among the funds in the trust.
DISTRIBUTIONS TO SHAREHOLDERS. Distributions are recorded on the
ex-dividend date.
Income and capital gain distributions are determined in accordance
with income tax regulations which may differ from generally accepted
accounting principles. These differences, which may result in
distribution reclassifications, are primarily due to differing
treatments for futures transactions, market discount and losses
deferred due to wash sales. The fund also utilized earnings and
profits distributed to shareholders on redemption of shares as a part
of the dividends paid deduction for income tax purposes.
Permanent book and tax basis differences relating to shareholder
distributions will result in reclassifications to paid in capital.
Undistributed net investment income and accumulated undistributed net
realized gain (loss) on investments and foreign currency transactions
may include temporary book and tax basis differences which will
reverse in a subsequent period. Any taxable income or gain remaining
at fiscal year end is distributed in the following year.
SECURITY TRANSACTIONS. Security transactions are accounted for as of
trade date. Gains and losses on securities sold are determined on the
basis of identified cost.
4. OPERATING POLICIES.
JOINT TRADING ACCOUNT. Pursuant to an Exemptive Order issued by the
Securities and Exchange Commission, the fund, along with other
affiliated entities of Fidelity Management & Research Company (FMR),
may transfer uninvested cash balances into one or more joint trading
accounts. These balances are invested in one or more repurchase
agreements for U.S. Treasury or Federal Agency obligations.
REPURCHASE AGREEMENTS. The underlying U.S. Treasury or Federal Agency
securities are transferred to an account of the fund, or to the Joint
Trading Account, at a bank custodian. The securities are
marked-to-market daily and maintained at a value at least equal to the
principal amount of the repurchase agreement (including accrued
interest). FMR, the fund's investment adviser, is responsible for
determining that the value of the underlying securities remains in
accordance with the market value requirements stated above.
TAXABLE CENTRAL CASH FUND. Pursuant to an Exemptive Order issued by
the SEC, the fund may invest in the Taxable Central Cash Fund (the
Cash Fund) managed by Fidelity Investments Money Management, Inc.,
(formerly FMR Texas, Inc.) an affiliate of
2. OPERATING POLICIES - CONTINUED
TAXABLE CENTRAL CASH FUND - CONTINUED
FMR. The Cash Fund is an open-end money market fund available only to
investment companies and other accounts managed by FMR and its
affiliates. The Cash Fund seeks preservation of capital, liquidity,
and current income by investing in U.S. Treasury securities and
repurchase agreements for these securities. Income distributions from
the Cash Fund are declared daily and paid monthly from net interest
income. Income distributions earned by the fund are recorded as
interest income in the accompanying financial statements.
FUTURES CONTRACTS. The fund may use futures contracts to manage its
exposure to the stock market. Buying futures tends to increase the
fund's exposure to the underlying instrument, while selling futures
tends to decrease the fund's exposure to the underlying instrument or
hedge other fund investments. Futures contracts involve, to varying
degrees, risk of loss in excess of the futures variation margin
reflected in the Statement of Assets and Liabilities. The underlying
face amount at value of any open futures contracts at period end is
shown in the schedule of investments under the caption "Futures
Contracts." This amount reflects each contract's exposure to the
underlying instrument at period end. Losses may arise from changes in
the value of the underlying instruments or if the counterparties do
not perform under the contracts' terms. Gains (losses) are realized
upon the expiration or closing of the futures contracts. Futures
contracts are valued at the settlement price established each day by
the board of trade or exchange on which they are traded.
5. PURCHASES AND SALES OF INVESTMENTS.
Purchases of securities, other than short-term securities, aggregated
$2,428,632,000, of which $144,564,000 represents the current value of
securities delivered in exchange for fund shares.
Sales of securities, other than short-term securities, aggregated
$199,226,000.
The market value of futures contracts opened and closed during the
period amounted to $3,021,267,000 and $3,010,145,000, respectively.
6. FEES AND OTHER TRANSACTIONS WITH AFFILIATES.
MANAGEMENT FEE. As the fund's investment adviser, FMR receives a fee
that is computed daily at an annual rate of .28% of the fund's average
net assets. Effective December 5, 1997, FMR reduced the management fee
from .28% to .24%. For the period, the management fee was equivalent
to an annual rate of .27% of average net assets.
SUB-ADVISER FEE. Effective December 5, 1997, FMR and the fund entered
into a sub-advisory agreement with Bankers Trust Company (Bankers
Trust). Bankers Trust receives a sub-advisory fee for providing
investment management, securities lending and custodial services to
the fund. For these services, FMR pays Bankers Trust fees at an annual
rate of 0.006% of the fund's average net assets. In addition,
4. FEES AND OTHER TRANSACTIONS WITH AFFILIATES - CONTINUED
SUB-ADVISER FEE - CONTINUED
the fund pays Bankers Trust fees equal to 40% of net income from the
fund's securities lending program. For the period, the fund paid
Bankers Trust $4,000.
TRANSFER AGENT FEES. Fidelity Investments Institutional Operations
Company, Inc. (FIIOC), an affiliate of FMR, is the fund's transfer,
dividend disbursing and shareholder servicing agent. FIIOC receives
account fees and asset-based fees that vary according to account size
and type of account. FIIOC pays for typesetting, printing and mailing
of all shareholder reports, except proxy statements. For the period,
the transfer agent fees were equivalent to an annual rate of .20% of
average net assets.
ACCOUNTING AND SECURITY LENDING FEES. Fidelity Service Company, Inc.,
an affiliate of FMR, maintains the fund's accounting records and prior
to December 5, 1997, administered the security lending program. The
security lending fee is based on the number and duration of lending
transactions. The accounting fee is based on the level of average net
assets for the month plus out-of-pocket expenses.
BROKERAGE COMMISSIONS. The fund placed a portion of its portfolio
transactions with brokerage firms which are affiliates of FMR. The
commissions paid to these affiliated firms were $27,000 for the
period.
7. SECURITY LENDING.
The fund loaned securities to certain brokers who paid the fund
negotiated lenders' fees. These fees are included in interest income.
The fund receives U.S. Treasury obligations and/or cash as collateral
against the loaned securities, in an amount at least equal to 102% of
the market value of the loaned securities at the inception of each
loan. This collateral must be maintained at not less than 100% of the
market value of the loaned securities during the period of the loan.
At period end, the value of the securities loaned and the value of
collateral amounted to $25,615,000 and $26,055,000, respectively.
8. EXPENSE REDUCTIONS.
FMR voluntarily agreed to reimburse the fund's operating expenses
(excluding sub-advisory fees associated with securities lending,
interest, taxes, brokerage commissions and extraordinary expenses)
above a specified percentage of average net assets. During the period,
this expense limitation ranged from .28% to .19% of average net assets
and the reimbursement reduced expenses by $26,256,000. In addition,
through December 31, 1999, FMR has agreed to limit the fund's total
operating expenses to an annual rate of .19%.
FMR has directed certain portfolio trades to brokers who paid a
portion of the fund's expenses. For the period, the fund's expenses
were reduced by $22,000 under this arrangement.
6. EXPENSE REDUCTIONS - CONTINUED
In addition, the fund has entered into arrangements with its custodian
and transfer agent whereby credits realized as a result of uninvested
cash balances were used to reduce a portion of the fund's expenses.
During the period, the fund's custodian and transfer agent fees were
reduced by $4,000 and $959,000, respectively, under these
arrangements.
REPORT OF INDEPENDENT ACCOUNTANTS
To the Trustees of Fidelity Concord Street Trust and the Shareholders
of Spartan U.S. Equity Index Fund:
In our opinion, the accompanying statement of assets and liabilities,
including the schedule of investments, and the related statements of
operations and of changes in net assets and the financial highlights
present fairly, in all material respects, the financial position of
Spartan U.S. Equity Index Fund (a fund of Fidelity Concord Street
Trust) at February 28, 1998, the results of its operations for the
year then ended, and the changes in its net assets and the financial
highlights for the periods indicated, in conformity with generally
accepted accounting principles. These financial statements and
financial highlights (hereafter referred to as "financial statements")
are the responsibility of the Spartan U.S. Equity Index Fund's
management; our responsibility is to express an opinion on these
financial statements based on our audits. We conducted our audits of
these financial statements in accordance with generally accepted
auditing standards which 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, assessing the accounting principles used and
significant estimates made by management, and evaluating the overall
financial statement presentation. We believe that our audits, which
included confirmation of securities at February 28, 1998 by
correspondence with the custodian and the application of alternative
auditing procedures where securities purchased were not yet received
by the custodian, provide a reasonable basis for the opinion expressed
above.
/s/Price Waterhouse LLP
Price Waterhouse LLP
Boston, Massachusetts
April 8, 1998
DISTRIBUTIONS
The Board of Trustees of Spartan U.S. Equity Index Fund voted to pay
to shareholders of record at the opening of business on record date,
the following distributions derived from capital gains realized from
sales of portfolio securities, and dividends derived from net
investment income:
PAY DATE 4/7/97 12/15/97 4/6/98
RECORD DATE 4/4/97 12/12/97 4/3/98
DIVIDENDS - $.14 -
SHORT-TERM
CAPITAL GAINS $.03 $.05 $.04
LONG-TERM
CAPITAL GAINS $.07 $.10 $.30
LONG-TERM
CAPITAL GAIN BREAKDOWN
28% rate 100% 2.14% 1.00%
20% rate 0% 97.86% 99.00%
A total of 2.89% of the dividends distributed during the fiscal year
was derived from interest on U.S. Government securities which is
generally exempt from state income tax.
A total of 82.21% of the dividends distributed during the fiscal year
qualifies for the dividends-received deduction for corporate
shareholders.
The fund will notify shareholders in January 1999 of these percentages
for use in preparing 1998 income tax returns.
PROXY VOTING RESULTS
A special meeting of the fund's shareholders was held on November 19,
1997. The results of votes taken among shareholders on proposals
before them are listed below.
PROPOSAL 1(A)
To approve an amended management contract for the fund.
# OF % OF
SHARES VOTED SHARES VOTED
AFFIRMATIVE 116,840,814.252 85.056
AGAINST 9,616,237.012 7.000
ABSTAIN 10,912,424.456 7.944
TOTAL 137,369,475.720 100.000
PROPOSAL 1(B)
To approve a new sub-advisory agreement for the fund.
# OF % OF
SHARES VOTED SHARES VOTED
AFFIRMATIVE 115,950,391.218 84.408
AGAINST 10,151,817.933 7.390
ABSTAIN 11,267,266.569 8.202
TOTAL 137,369,475.720 100.000
INVESTMENT ADVISER
Fidelity Management & Research Company
Boston, MA
INVESTMENT SUB-ADVISER
Bankers Trust Company
New York, NY
OFFICERS
Edward C. Johnson 3d, PRESIDENT
Robert C. Pozen, SENIOR VICE PRESIDENT
Robert A. Lawrence, VICE PRESIDENT
Eric D. Roiter, SECRETARY
Richard A. Silver, TREASURER
John H. Costello, ASSISTANT TREASURER
Leonard M. Rush, ASSISTANT TREASURER
BOARD OF TRUSTEES
Ralph F. Cox *
Phyllis Burke Davis *
Robert M. Gates *
Edward C. Johnson 3d
E. Bradley Jones *
Donald J. Kirk *
Peter S. Lynch
Marvin L. Mann *
William O. McCoy *
Gerald C. McDonough *
Robert C. Pozen
Thomas R. Williams *
ADVISORY BOARD
J. Gary Burkhead
GENERAL DISTRIBUTOR
Fidelity Distributors Corporation
Boston, MA
* INDEPENDENT TRUSTEES
(REGISTERED TRADEMARK)
TRANSFER AND SHAREHOLDER SERVICING AGENT
Fidelity Investments Institutional
Operations Company, Inc.
Boston, MA
CUSTODIAN
Bankers Trust Company
New York, NY
(2_FIDELITY_LOGOS)
SPARTAN(registered trademark)
EXTENDED MARKET INDEX
FUND
ANNUAL REPORT
FEBRUARY 28, 1998
CONTENTS
<TABLE>
<CAPTION>
<S> <C> <C>
PRESIDENT'S MESSAGE 3 NED JOHNSON ON INVESTING STRATEGIES.
PERFORMANCE 4 HOW THE FUND HAS DONE OVER TIME.
FUND TALK 5 THE MANAGER'S REVIEW OF FUND PERFORMANCE, STRATEGY
AND OUTLOOK.
INVESTMENT SUMMARY 6 A SUMMARY OF THE FUND'S INVESTMENTS.
INVESTMENTS 7 A COMPLETE LIST OF THE FUND'S INVESTMENTS WITH THEIR
MARKET VALUES.
FINANCIAL STATEMENTS 39 STATEMENTS OF ASSETS AND LIABILITIES, OPERATIONS, AND
CHANGES IN NET ASSETS, AS WELL AS FINANCIAL HIGHLIGHTS.
NOTES 41 NOTES TO THE FINANCIAL STATEMENTS.
REPORT OF INDEPENDENT ACCOUNTANTS 43 THE AUDITORS' OPINION.
DISTRIBUTIONS 44
</TABLE>
THIS REPORT AND THE FINANCIAL STATEMENTS CONTAINED HEREIN ARE
SUBMITTED FOR THE GENERAL INFORMATION OF THE SHAREHOLDERS OF THE FUND.
THIS REPORT IS NOT AUTHORIZED FOR
DISTRIBUTION TO PROSPECTIVE INVESTORS IN THE FUND UNLESS PRECEDED OR
ACCOMPANIED BY AN EFFECTIVE PROSPECTUS.
MUTUAL FUND SHARES ARE NOT DEPOSITS OR OBLIGATIONS OF, OR GUARANTEED
BY, ANY DEPOSITORY INSTITUTION. SHARES ARE NOT
INSURED BY THE FDIC, FEDERAL RESERVE BOARD OR ANY OTHER AGENCY, AND
ARE SUBJECT TO INVESTMENT RISKS, INCLUDING
POSSIBLE LOSS OF PRINCIPAL AMOUNT INVESTED.
NEITHER THE FUND NOR FIDELITY DISTRIBUTORS CORPORATION IS A BANK.
PRESIDENT'S MESSAGE
DEAR SHAREHOLDER:
Through the first two months of 1998, investors were still trying to
discern what effects ongoing troubles in Southeast Asia might have on
global economies and markets. The U.S. stock market continued to do
well despite these ongoing uncertainties, paced by sustained corporate
profits and signs of recovery in the Asian markets. Bonds, on the
other hand, struggled somewhat in February as the pace of stock
investors' "flight to quality" slowed in the face of this positive
news, and issuers flooded the market with new debt to take advantage
of lower interest rates. Nonetheless, these lower rates, subdued
inflation and moderate growth created a generally favorable climate
for bond investors.
While it's impossible to predict the future direction of the markets
with any degree of certainty, there are certain basic principles that
can help investors plan for their future needs.
First, investors are encouraged to take a long-term view of their
portfolios. If you can afford to leave your money invested through the
inevitable up and down cycles of the financial markets, you will
greatly reduce your vulnerability to any single decline. We know from
experience, for example, that stock prices have gone up over longer
periods of time, have significantly outperformed other types of
investments and have stayed ahead of inflation.
Second, you can further manage your investing risk through
diversification. A stock mutual fund, for instance, is already
diversified, because it invests in many different companies. You can
increase your diversification further by investing in a number of
different stock funds, or in such other investment categories as
bonds. If you have a short investment time horizon, you might want to
consider moving some of your investment into a money market fund,
which seeks income and a stable share price by investing in
high-quality, short-term investments. Of course, it's important to
remember that there is no assurance that a money market fund will
achieve its goal of maintaining a stable net asset value of $1.00 per
share, and that these types of funds are neither insured nor
guaranteed by any agency of the U.S. government.
Finally, no matter what your time horizon or portfolio diversity, it
makes good sense to follow a regular investment plan, investing a
certain amount of money in a fund at the same time each month or
quarter and periodically reviewing your overall portfolio. By doing
so, you won't get caught up in the excitement of a rapidly rising
market, nor will you buy all your shares at market highs. While this
strategy - known as dollar cost averaging - won't assure a profit or
protect you from a loss in a declining market, it should help you
lower the average cost of your purchases.
If you have questions, please call us at 1-800-544-8888. We are
available 24 hours a day, seven days a week to provide you the
information you need to make the investments that are right for you.
Best regards,
Edward C. Johnson 3d
PERFORMANCE: THE BOTTOM LINE
There are several ways to evaluate a fund's historical performance.
You can look at the total percentage change in value, the average
annual percentage change or the growth of a hypothetical $10,000
investment. Total return reflects the change in the value of an
investment, assuming reinvestment of the fund's dividend income and
capital gains (the profits earned upon the sale of securities that
have grown in value) and the effect of the 0.75% purchase fee. If
Fidelity had not reimbursed certain fund expenses, the total returns
would have been lower.
CUMULATIVE TOTAL RETURNS
PERIODS ENDED FEBRUARY 28, 1998 PAST 3 LIFE OF
MONTHS FUND
SPARTAN EXTENDED MARKET INDEX 8.91% 7.39%
SPARTAN EXTENDED MARKET INDEX 8.10% 6.58%
(INCL. 0.75% PURCHASE FEE)
WILSHIRE 4500 8.71% 5.83%
CUMULATIVE TOTAL RETURNS show the fund's performance in percentage
terms over a set period - in this case, three months, or since the
fund started on November 5, 1997. For example, if you had invested
$1,000 in a fund that had a 5% return over the past year, the value of
your investment would be $1,050. You can compare the fund's return to
the Wilshire 4500 Index - an unmanaged index of approximately 6,900
U.S. equity securities. This benchmark includes reinvested dividends
and capital gains, if any, and excludes the effect of sales charges.
AVERAGE ANNUAL TOTAL RETURNS
AVERAGE ANNUAL TOTAL RETURNS take the fund's cumulative return and
show you what would have happened if the fund had performed at a
constant rate each year. These numbers will be reported once the fund
is a year old. In addition, the growth of the hypothetical $10,000
investment in the fund will appear in the fund's next report six
months from now.
UNDERSTANDING PERFORMANCE
How a fund did yesterday is no guarantee of how
it will do tomorrow. The stock market, for example,
has a history of long-term growth and short-term
volatility. In turn, the share price and return of a
fund that invests in stocks will vary. That means if
you sell your shares during a market downturn,
you might lose money. But if you can ride out the
market's ups and downs, you may have a gain.
(checkmark)
FUND TALK: THE MANAGER'S OVERVIEW
An interview with
Frank Salerno, Portfolio Manager of Spartan Extended Market Index Fund
for Bankers Trust, sub-adviser of the fund
Q. HOW DID THE FUND PERFORM, FRANK?
A. From its inception on November 5, 1997, through February 28, 1998,
the fund posted a total return of 7.39% (not counting the purchase
fee), compared to a 5.83% return for the Wilshire 4500 Index. Most of
the difference in the performance between the fund and the index took
place in the fund's first few weeks. For the three months from
November 30, 1997, through February 28, 1998, the fund returned 8.91%,
much closer to the index's return of 8.71% for the same period.
Q. HOW WOULD YOU CHARACTERIZE THE MARKET ENVIRONMENT DURING THE PAST
FOUR MONTHS?
A. After posting strong gains from the start of 1997 through the
beginning of October, the U.S. stock market experienced some
volatility from that point on through to the end of the period. There
were a couple of reasons behind this volatility. First, Federal
Reserve Board Chairman Alan Greenspan said the low jobless rate in the
U.S. could lead to wage increases and inflationary pressures -
conditions that could have tempted the Fed to raise short-term
interest rates. On top of that, Southeast Asian economies began a
freefall after several countries in the region experienced currency
difficulties. As fears about the global effects of the Asian turmoil
began surfacing, the U.S. stock market took a big hit on October 27,
just before the fund commenced operations, with the Dow Jones
Industrial Average experiencing its biggest one-day point drop in
history. The Dow rebounded significantly the next day, but the two-day
turbulence paved the way for the market's ups and downs over the next
several months. Investors began a "flight to quality" at the end of
1997 and into the first months of 1998 - meaning they sought out the
more liquid, large-capitalization stocks, as well as U.S. Treasury
bonds and utility stocks. For the most part, this drove the market
higher - especially in early 1998 - but at times left many of the
smaller-cap companies that make up a significant proportion of the
Wilshire 4500 in the dust. At other times over the past two months,
small-caps rebounded because many of them tend to have domestically
oriented business and little exposure to Asia. At the end of February
1998, Greenspan cautioned that the Asian financial turmoil created
"storm clouds" over the U.S. economy, while warning about the
inflation threats caused by an unusually tight labor market.
Q. FINANCE STOCKS HAVE PERFORMED WELL OVER THE PAST FEW YEARS. HOW DID
THIS SECTOR PERFORM MORE RECENTLY?
A. Most banks and brokerage stocks have performed well as a result of
low interest rates, additional fee-based revenues, increased merger
and acquisition activity and robust capital markets. Many finance
stocks - especially those with sizeable exposures to international
markets - suffered a correction in late 1997, but rebounded in early
1998. In addition, many small-cap finance stocks in the Wilshire 4500
that do business domestically sustained solid performance.
Q. TECHNOLOGY ALSO HAS BEEN A STRONG DRIVER OF THE MARKET'S RETURNS
OVER THE PAST FEW YEARS. HOW DID THAT SECTOR FARE MORE RECENTLY?
A. The technology sector as a whole fell victim to the Asian financial
crisis in the fourth quarter of 1997 and into early 1998. Technology
companies, especially semiconductor and component makers, export many
of their products to the Far East, so their stocks took a hit in
anticipation of reduced future earnings. Software makers that
primarily earn their revenues through domestic business continued to
perform well, while large-cap names outside of the Wilshire 4500 such
as Microsoft benefited from the flight to quality at the end of the
period.
Q. WHAT ABOUT HEALTH CARE STOCKS?
A. Large-cap health care stocks outside of the Wilshire 4500 generally
performed well. That was one of the reasons the Wilshire 4500 didn't
perform as well as broader indexes such as the Wilshire 5000, or
large-cap-oriented indexes like the Standard & Poor's 500.
Pharmaceutical stocks led the sector's gains, fueled by solid
earnings, the flight to quality and accelerated reviews by the Food
and Drug Administration (FDA).
Q. WERE THERE ANY SECTORS OF THE MARKET THAT PROVED TO BE
DISAPPOINTING?
A. Energy stocks were injured by the Asian crisis because Asia is
responsible for a large portion of the growth in demand for most
energy commodities.
Q. WHAT'S YOUR OUTLOOK?
A. At the end of the period, Greenspan warned about the possibility of
inflation caused by unusually tight labor markets, despite the "storm
clouds" created by the turbulence in Asia. These competing interests
seem to signal steady monetary policy in the near future. In addition,
the U.S. economy continues to grow at a moderate rate, which bodes
well for long-term gains in the stock market.
THE VIEWS EXPRESSED IN THIS REPORT REFLECT THOSE OF THE PORTFOLIO
MANAGER ONLY THROUGH THE END OF THE PERIOD OF THE REPORT AS STATED ON
THE COVER. THE MANAGER'S VIEWS ARE SUBJECT TO CHANGE AT ANY TIME BASED
ON MARKET AND OTHER CONDITIONS.
FUND FACTS
START DATE:
FUND NUMBER:
TRADING SYMBOL:
SIZE:
MANAGER:
(checkmark)
INVESTMENT SUMMARY
TOP TEN STOCKS AS OF FEBRUARY 28, 1998
% OF FUND'S INVESTMENTS
BERKSHIRE HATHAWAY, INC. CLASS A 1.5
ELECTRONIC DATA SYSTEMS CORP. 0.6
CARNIVAL CRUISE LINES, INC. CLASS A 0.5
SAFEWAY, INC. 0.5
FRANKLIN RESOURCES, INC. 0.4
COCA-COLA ENTERPRISES, INC. 0.4
AMERICA ONLINE, INC. 0.4
EQUITABLE COMPANIES, INC. 0.3
RJR NABISCO HOLDINGS CORP. 0.3
REPUBLIC INDUSTRIES, INC. 0.3
TOP TEN MARKET SECTORS AS OF FEBRUARY 28, 1998
% OF FUND'S INVESTMENTS
FINANCE 17.7
TECHNOLOGY 14.5
HEALTH 7.3
UTILITIES 7.0
MEDIA & LEISURE 6.5
CONSTRUCTION & REAL ESTATE 6.5
RETAIL & WHOLESALE 4.7
SERVICES 4.1
ENERGY 3.9
BASIC INDUSTRIES 3.9
INVESTMENTS FEBRUARY 28, 1998
SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENT IN SECURITIES
COMMON STOCKS - 89.5%
SHARES VALUE (NOTE 1)
AEROSPACE & DEFENSE - 1.0%
AEROSPACE & DEFENSE - 0.7%
AAR Corp. 450 $ 13,669
Alliant Techsystems, Inc. (a) 200 12,563
Aviall, Inc. (a) 200 2,875
Banner Aerospace, Inc. (a) 200 2,350
BE Aerospace, Inc. (a) 400 11,775
Curtiss Wright Corporation 100 3,744
Fairchild Corp. Class A (a) 300 7,388
GenCorp, Inc. 300 8,175
Gulfstream Aerospace Corp. (a) 800 31,931
Harsco Corp. 700 29,313
Kellstrom Industries, Inc. (a) 200 4,800
Moog, Inc. Class A 100 3,525
OEA, Inc. 400 8,475
Orbital Sciences Corp. (a) 400 15,250
Precision Castparts Corp. 300 16,631
Sequa Corp. Class A (a) 100 7,519
Simula, Inc. (a) 100 1,663
Sturm Ruger & Co., Inc. 200 4,038
Sundstrand Corp. 700 42,350
Thiokol Corp. 200 19,125
United Industrial Corp. 100 1,100
Wyman-Gordon Co. (a) 600 12,000
260,259
DEFENSE ELECTRONICS - 0.2%
Alpha Industries, Inc. (a) 100 1,631
Anaren Microwave Inc. (a) 200 4,250
Base Ten Systems, Inc. Class A (a) 100 613
Cubic Corp. 100 2,763
DBA Systems, Inc. (a) 200 1,638
Ducommun, Inc. (a) 100 3,219
Figgie International Holdings, Inc.
Class A (a) 200 2,550
Frequency Electronics, Inc. 150 2,344
Litton Industries, Inc. (a) 400 24,900
Nichols Research Corp. (a) 100 2,663
Remec, Inc. (a) 100 2,744
Stanford Telecommunications, Inc. (a) 100 1,863
Tracor, Inc. (a) 400 12,250
Whittaker Corp. (a) 100 1,325
64,753
SHIP BUILDING & REPAIR - 0.1%
Avondale Industries, Inc. (a) 100 2,875
Dril-Quip, Inc. 300 9,113
Halter Marine Group, Inc. (a) 200 3,925
Newport News Shipbuilding, Inc. 300 8,175
24,088
TOTAL AEROSPACE & DEFENSE 349,100
BASIC INDUSTRIES - 3.9%
CHEMICALS & PLASTICS - 1.9%
ARCO Chemical Co. 800 37,850
Airgas, Inc. (a) 900 16,144
Albemarle Corp. 400 9,750
Betz Dearborn, Inc. 400 25,675
Blessings Corp. (a) 100 1,688
Bush Boake Allen, Inc. (a) 100 3,225
Cabot Corp. 900 31,725
Cambrex Corp. 100 4,950
SHARES VALUE (NOTE 1)
Carbide/Graphite Group, Inc. (The) (a) 100 $ 3,056
Catalytica, Inc. (a) 400 4,725
ChemFirst, Inc. 100 2,644
Crompton & Knowles Corp. 900 27,113
Cytec Industries, Inc. (a) 500 24,438
Envirodyne Industries, Inc. (a) 100 850
Ethyl Corp. 600 4,950
Ferro Corp. 300 8,081
Foamex International, Inc. 200 2,875
Fuller (H.B.) Co. 100 5,688
Furon Co. 100 2,106
General Chemical Group, Inc. 100 2,863
Geon Co. 200 4,000
Georgia Gulf Corp. 500 16,469
Gundle/SLT Environmental, Inc. (a) 100 600
Hanna (M.A.) Co. 800 18,550
Hawkins Chemicals, Inc. 100 1,031
IMC Global, Inc. 1,080 41,243
IMC Global, Inc. warrants 12/22/00 (a) 66 417
International Specialty Products, Inc. (a) 700 11,156
Isolyser, Inc. (a) 1,000 3,813
Ivex Packaging Corp. 100 2,513
Lamson & Sessions Co. (a) 100 675
Lawter International, Inc. 300 3,506
Leading Edge Packaging, Inc. (a) 100 559
LeaRonal, Inc. 100 2,831
Lubrizol Corp. 700 26,994
Lydall, Inc. (a) 200 3,513
Lyondell Petrochemical Co. 1,000 27,250
MacDermid, Inc. 300 10,463
McWhorter Technologies, Inc. (a) 100 2,581
Millennium Chemicals, Inc. 1,000 25,813
Minerals Technologies, Inc. 300 14,325
Mississippi Chemical Corp. 200 3,700
Myers Industries, Inc. 100 2,050
NL Industries, Inc. (a) 400 5,950
OM Group, Inc. 400 17,775
Oil Dri Corp. of America 100 1,513
Olin Corp. 400 18,325
O'Sullivan Corp. 100 963
Park Electrochemical Corp. 100 3,213
Quaker State Corp. 700 10,588
Schulman (A.), Inc. 300 7,650
Scotts Co. Class A (a) 200 6,800
Sealed Air Corp. (a) 500 33,656
Solutia, Inc. 1,000 27,313
Spartech Corp. 200 3,750
Stepan Co. 100 2,788
Synalloy Corp. (a) 100 1,400
Synetic, Inc. (a) 200 9,850
Synthetech, Inc. (a) 100 500
Terra Industries, Inc. 500 5,938
Tredegar Industries, Inc. 85 5,950
Tuscarora Plastics, Inc. 100 1,538
Uniroyal Technology Corp. (a) 100 713
Valhi, Inc. 800 7,700
Valspar Corp. 300 10,519
Wellman, Inc. 200 4,300
Witco Corp. 700 27,869
661,009
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
BASIC INDUSTRIES - CONTINUED
IRON & STEEL - 0.4%
AK Steel Holding Corp. 800 $ 14,950
Acme Metals, Inc. (a) 100 963
Advanced Technical Products, Inc. (a) 100 1,213
Ampco-Pittsburg Corp. 100 1,856
Atchison Casting Corp. (a) 100 1,594
Barnes Group, Inc. 200 5,900
Birmingham Steel Corp. 200 3,513
Carpenter Technology Corp. 100 4,731
Citation Corp. (a) 100 1,938
Cleveland Cliffs, Inc. 200 10,275
Cold Metal Products, Inc. (a) 100 475
Gibraltar Steel Corp. (a) 100 2,438
Huntco, Inc. Class A 100 1,475
ICO, Inc. 300 1,425
Insteel Industries, Inc. 100 706
J & L Specialty Steel, Inc. 300 2,756
Keystone Consolidated Industries, Inc. (a) 100 1,144
LTV Corp. 700 8,444
Lukens, Inc. 300 9,000
Material Sciences Corp. (a) 100 1,219
Mueller Industries, Inc. (a) 200 11,025
NS Group, Inc. (a) 200 2,850
National Steel Corp. Class B 700 10,850
Northwest Pipe Co. (a) 100 2,175
Oregon Steel Mills, Inc. 400 8,050
Quanex Corp. 100 3,313
Roanoke Electric Steel Corp. 100 2,875
Rouge Industries, Inc. Class A 100 1,475
SPS Technologies, Inc. (a) 100 4,738
Schnitzer Steel, Inc. Class A 100 2,713
Semiconductor Parkage
Meterials Corp. (a) 100 838
Shiloh Industries, Inc. (a) 100 2,088
Steel Dynamics, Inc. (a) 300 5,700
Steel Technologies, Inc. 100 1,188
Sun Hydraulics Corp. 100 1,150
Titan International, Inc. 200 3,750
WHX Corp. (a) 400 5,450
Webco Industries, Inc. (a) 100 775
147,018
METALS & MINING - 0.7%
AFC Cable Systems, Inc. (a) 100 3,556
Alumax, Inc. (a) 700 25,944
Amcol International Corp. 150 2,138
Belden, Inc. 400 15,575
Brush Wellman, Inc. 200 5,400
Cable Design Technology Corp. (a) 150 4,359
Castle A.M. & Co. 100 2,413
Century Aluminum Co. 100 1,663
Commercial Metals Co. 100 3,200
Commonwealth Industries, Inc. 500 7,281
Commscope, Inc. 700 9,363
Encore Wire Corp. (a) 100 3,075
Essex International, Inc. 400 15,550
FREEPORT MCMORan SULPHUR, Inc. (a) 42 588
General Cable Corp. 300 12,431
Handy & Harman 200 7,288
IMCO Recycling, Inc. 100 1,731
International FiberCom, Inc. (a) 100 600
Kaiser Aluminum Corp. (a) 500 4,906
Martin Marietta Materials, Inc. 600 22,838
SHARES VALUE (NOTE 1)
Matthews International Corp. Class A 100 $ 4,200
MAXXAM, Inc. (a) 100 5,325
Olympic Steel, Inc. (a) 300 4,988
Optical Cable Corp. (a) 200 2,550
Oregon Metallurgical Corp. (a) 300 10,350
RMI Titanium Co. (a) 300 7,125
Reliance Steel & Aluminum Co. 100 3,525
Special Metals Corp. 100 1,650
Superior Telecom, Inc. 125 4,883
Titanium Metals Corp. (a) 500 15,063
Wolverine Tube, Inc. 300 11,588
221,146
PACKAGING & CONTAINERS - 0.2%
Alltrista Corp. (a) 100 2,694
BWAY Corp. (a) 100 2,313
Continental Can, Inc. (a) 100 4,056
Gaylord Container Corp. Class A (a) 300 1,988
Greif Brothers Corp. Class A 200 7,250
Sealright Co., Inc. (a) 100 1,125
Shorewood Packaging Corp. (a) 200 4,900
Silgan Holdings, Inc. 200 7,050
Sonoco Products Co. 1,100 42,556
U.S. Can Corp. (a) 200 3,425
77,357
PAPER & FOREST PRODUCTS - 0.7%
ABT Building Products Corp. (a) 100 1,600
Albany International Corp. Class A 200 4,763
American Pad & Paper Co. (a) 200 1,663
BT Office Products International, Inc. (a) 200 2,313
Bowater, Inc. 500 24,750
Buckeye Technolgies, Inc. (a) 200 4,263
Caraustar Industries, Inc. 400 13,500
Chesapeake Corp. 400 13,575
Consolidated Papers, Inc. 300 17,419
Crown Pacific Partners LP unit 200 5,213
Georgia Pacific Corp. (Timber Group) 900 20,531
Glatfelter (P.H.) Co. 300 5,269
IP Timberlands, Ltd. Class A 300 3,075
Jefferson Smurfit Corp. (a) 900 13,444
Longview Fibre Co. 300 4,631
Mail-Well, Inc. (a) 100 3,988
PalEx, Inc. (a) 100 1,488
Pentair, Inc. 300 12,356
Pope & Talbot, Inc. 100 1,375
Rayonier, Inc. 400 16,950
Rock-Tenn Co. CLass A 100 1,894
St. Joe Corp. 700 23,888
Triangle Pacific Corp. (a) 100 3,600
Unisource Worldwide, Inc. 1,000 13,625
Wausau-Mosinee Paper Corp. 440 9,515
224,688
TOTAL BASIC INDUSTRIES 1,331,218
CONSTRUCTION & REAL ESTATE - 6.5%
BUILDING MATERIALS - 1.2%
Aaon, Inc. (a) 100 913
Aavid Thermal Technologies, Inc. (a) 200 6,875
ACX Technologies, Inc. (a) 200 4,775
American Residential Services, Inc. (a) 200 2,175
American Precision Industries, Inc. (a) 100 1,900
American Standard Companies, Inc. (a) 800 35,600
American Woodmark Corp. 100 2,288
Barnett, Inc. (a) 200 4,950
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
CONSTRUCTION & REAL ESTATE - CONTINUED
BUILDING MATERIALS - CONTINUED
CalMat Co. 200 $ 5,750
Carlisle Companies, Inc. 200 9,688
Centex Construction Products, Inc. 200 6,350
Chart Industries, Inc. 100 2,475
Coltec Industries, Inc. (a) 700 18,244
Dal-Tile International, Inc. (a) 400 4,525
Dravo Corp. (a) 200 2,113
Drew Industries, Inc. (a) 100 1,294
Elcor Corp. 150 4,022
Fastenal Co. 300 13,163
Florida Rock Industries, Inc. 100 2,613
Giant Cement Holding, Inc. (a) 100 2,600
Hexcel Corp. (a) 500 13,156
Industrial Holdings, Inc. (a) 100 1,200
Johns-Manville Corp. 1,200 14,475
Justin Industries, Inc. 200 2,600
Lafarge Corp. 500 16,781
Lilly Industrial Coatings, Inc. Class A 200 4,025
Lone Star Industries, Inc. 100 6,025
Mark IV Industries, Inc. 900 20,925
Medusa Corp. 300 14,194
Mestek, Inc. (a) 100 2,025
Mobile Mini, Inc. (a) 100 831
Nortek, Inc. (a) 100 3,113
Penn England & Manufacturing
Corp. (non-vtg.) 100 2,600
Puretec Corp. (a) 400 1,375
RPM, Inc. 1,425 24,225
Raytech Corp. (a) 100 519
Republic Gypsum Co. 100 2,063
ROHN Industries, Inc. 300 1,734
Selas Corp. of America 100 1,150
Shaw Group (a) 100 2,400
Southdown, Inc. 200 12,800
T.J. International, Inc. 300 9,000
Tecumseh Products Co. Class A 400 20,050
Texas Industries, Inc. 300 16,950
Thermo Power Corp. (a) 100 1,150
Thermo Remediation 100 650
Thermo TerraTech, Inc. (a) 200 1,375
USG Corp. (a) 400 21,850
United Dominion Industries Ltd. 279 7,995
Universal Forest Products, Inc. 100 1,588
Vulcan Materials Co. 200 20,125
Watsco, Inc. Class A 100 2,738
York International Corp. 600 26,363
410,363
CONSTRUCTION - 0.7%
American Homestar Corp. (a) 400 8,275
Castle & Cooke, Inc. (a) 100 1,563
Cavalier Homes, Inc. (a) 100 1,125
Clayton Homes, Inc. 1,500 29,813
Continental Homes Holding Corp. 200 9,613
Crossman Communities, Inc. (a) 200 5,200
D.R. Horton, Inc. 600 13,988
Emcor Group, Inc. (a) 100 2,200
Engle Homes, Inc. 300 5,100
Granite Construction, Inc. 100 2,650
Hospitality Worldwide Services, Inc. (a) 100 1,263
Jacobs Engineering Group, Inc. (a) 400 11,975
Lennar Corp. 700 19,556
SHARES VALUE (NOTE 1)
M.D.C. Holdings, Inc. 400 $ 7,500
M/I Schottenstein Homes, Inc. (a) 200 4,438
Modtech, Inc. (a) 200 5,000
Monaco Coach Corp. (a) 200 7,900
Morrison Knudsen Corp. (a) 400 4,875
NCI Building Systems, Inc. (a) 200 7,900
NVR, Inc. (a) 100 3,238
Oakwood Homes Corp. 600 23,775
Palm Harbor Homes, Inc. (a) 100 3,600
Robertson Ceco Corp. (a) 100 969
Ryland Group, Inc. 300 8,381
Schuler Homes, Inc. (a) 100 763
Skyline Corp. 100 3,194
Southern Energy Homes, Inc. (a) 100 988
Standard Pacific Corp. 500 8,656
Toll Brothers, Inc. (a) 500 15,000
U.S. Home Corp. (a) 100 4,381
Vistana, Inc. (a) 100 2,575
Walter Industries, Inc. (a) 400 7,625
Webb (Del E.) Corp. 400 12,800
Willbros Group, Inc. (a) 100 1,606
247,485
ENGINEERING - 0.3%
Able Telcom Holdings Corp. (a) 200 1,750
AmeriLink Corp. (a) 100 2,300
Apogee Enterprises, Inc. 500 6,469
Billing Information Concepts Corp. (a) 800 23,200
Comfort Systems USA, Inc. 200 3,875
DSP Group, Inc. (a) 200 4,925
Forrester Research, Inc. (a) 100 2,488
Harding Lawson Associates Group,
Inc. (a) 100 950
IDM Environmental Corp. (a) 700 3,369
Market Facts, Inc. (a) 100 1,963
MasTec, Inc. (a) 200 5,600
NFO Worldwide, Inc. 200 3,750
Profit Recovery Group International,
Inc. (a) 200 4,000
Service Experts, Inc. (a) 100 2,700
Stone & Webster, Inc. 100 4,131
Sylvan Learning Systems (a) 400 18,325
URS Corp. (a) 100 1,406
91,201
REAL ESTATE - 0.5%
American International Petroleum
Corp. (a) 100 356
American Realty Trust, Inc. 100 1,469
Avatar Holdings, Inc. (a) 300 7,275
BridgeStreet Accomodations, Inc. 100 1,125
CB Commercial Real Estate Services
Group, Inc. (a) 300 11,250
Cadiz Land Inc. (a) 700 5,731
Catellus Development Corp. (a) 1,300 23,563
Execustay Corp. (a) 100 1,075
Fairfield Communities, Inc. (a) 600 13,425
Forest City Enterprises, Inc. Class A 100 5,525
Grubb & Ellis Co. (a) 100 1,188
Homestead Village, Inc. 200 2,838
Hovnanian Enterprises, Inc. Class A (a) 100 950
Kaiser Ventures, Inc. (a) 100 1,088
Kapson Senior Quarters Corp. (a) 100 1,419
LNR Property Corp. 300 8,006
Lasalle Partners, Inc. 100 3,588
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
CONSTRUCTION & REAL ESTATE - CONTINUED
REAL ESTATE - CONTINUED
Newhall Land & Farming Co. 500 $ 16,156
Parkway Properties, Inc. 100 3,263
Pierce Leahy Corp. 200 5,113
Price Enterprises, Inc. 200 3,975
Rouse Co. (The) 800 26,600
Silverleaf Resorts, Inc. (a) 100 2,675
Stewart Enterprises, Inc. Class A 600 28,275
Trammell Crow Co. 200 5,850
Trendwest Resorts, Inc. 100 2,025
Wellsford Real Properties, Inc. 100 1,463
185,266
REAL ESTATE INVESTMENT TRUSTS - 3.8%
Amli Residential Properties Trust (SBI) 100 2,250
Alexandria Real Estate Equities, Inc. 100 3,413
Ambassador Apartments, Inc. 100 2,025
American Health Properties, Inc. 200 5,463
American Real Estate Partners, L.P. (a) 200 2,250
Annaly Mortgage Management, Inc. 100 1,088
Apartment Investment & Management
Co. Class A 474 17,271
Arden Realty Group, Inc. 300 8,569
Associated Estates Realty Corp. 200 4,100
Avalon Properties, Inc. 300 8,625
BRE Properties, Inc. Class A 300 8,138
Banyan Strategic Land Trust (SBI) 100 625
Bay Apartment Communities, Inc. 200 7,563
Bedford Property Investors, Inc. 100 1,963
Boston Properties, Inc. 700 23,800
Boykin Lodging Co. 100 2,481
Bradley Real Estate Trust (SBI) 200 4,288
Brandywine Realty Trust 200 4,725
Burnham Pacific Properties, Inc. 200 2,975
CBL & Associates Properties, Inc. 200 4,975
CCA Prison Realty Trust 200 8,800
Camden Property Trust (SBI) 400 11,575
Capstead Mortgage Corp. 900 17,100
CarrAmerica Realty Corp. 600 17,850
CenterPoint Properties Corp. 100 3,394
Chateau Communities, Inc. 200 6,000
Chelsea GCA Realty, Inc. 100 3,738
Colonial Properties Trust (SBI) 200 6,075
Commercial Net Lease Realty, Inc. 200 3,488
Cornerstone Properties, Inc. 700 12,513
Cousins Properties, Inc. 200 5,850
Crescent Real Estate Equities, Inc. 1,400 47,688
Criimi Mae, Inc. 300 4,688
Crown American Realty Trust (SBI) 200 1,850
Developers Diversified Realty Corp. 400 16,325
Duke Realty Investors, Inc. 800 18,350
Dynex Capital, Inc. 300 3,713
Eastgroup Properties, Inc. 100 2,025
Equity Inns, Inc. 300 4,763
Equity Office Properties Trust 2,562 75,579
Equity Residential Properties
Trust (SBI) 1,100 52,731
Essex Property Trust, Inc. 100 3,238
Excel Realty Trust, Inc. 200 6,425
FAC Realty, Inc. (a) 100 938
Federal Realty Investment Trust (SBI) 300 7,425
Felcor Suite Hotels, Inc. 500 17,938
First Industrial Realty Trust, Inc. 300 10,838
SHARES VALUE (NOTE 1)
First Union Real Estate Equity &
Mortgage Investmemts 200 $ 2,363
Franchise Finance Corp. of America 300 8,025
Gables Residential Trust (SBI) 400 10,575
General Growth Properties, Inc. 300 10,950
Glenborough Realty Trust, Inc. 200 5,700
Glimcher Realty Trust (SBI) 200 4,500
Great Lakes, Inc. 100 1,894
Haagen Alexander Properties, Inc. 100 1,719
Health Care Property Investors, Inc. 200 7,425
Healthcare Realty Trust, Inc. 100 2,863
Health and Retirement Properties Trust 1,100 22,000
Health Care REIT, Inc. 200 5,388
Highwoods Properties, Inc. 700 24,369
Home Properties of NY, Inc. 100 2,663
Horizon Group, Inc. 300 3,600
Hospitality Properties Trust (SBI) 600 21,000
INMC Mortgage Holdings, Inc. 800 21,050
IRT Property Co. 200 2,325
Imperial Credit Mortgage Holdings, Inc. 100 1,638
Imperial Credit Commercial Mortgage
Investment Corp. 700 10,763
Innkeepers USA Trust 300 4,444
Irvine Apartment Communities, Inc. 100 3,050
JDN Realty Corp. 100 3,325
JP Realty, Inc. 200 5,025
Jameson Co. 100 1,163
Kilroy Realty Corp. 200 5,263
Kimco Realty Corp. 300 10,538
Koger Equity, Inc. 200 4,450
Kranzco Realty Trust (SBI) 100 1,856
LTC Properties, Inc. 200 4,150
Lexington Corp. Properties Trust 100 1,463
Liberty Property Trust (SBI) 600 15,938
MGI Properties, Inc. 100 2,394
Macerich Co. 200 5,650
Mack-Cali Realty Corp. 700 26,425
Manufactured Home Communities, Inc. 200 5,150
Meridian Industrial Trust, Inc. 200 4,963
Merry Land & Investment Co., Inc. 300 6,956
Mid-America Apartment
Communities, Inc. 200 5,663
Mills Corp. 400 10,675
National Golf Properties, Inc. 100 3,050
National Health Investors, Inc. 200 8,200
Nationwide Health Properties, Inc. 300 7,931
New Plan Realty Trust (SBI) 700 17,456
Oasis Residential, Inc. 200 4,288
Ocwen Asset Investment Corp. 200 3,938
Omega Healthcare Investors, Inc. 200 7,763
Pacific Gulf Properties, Inc. 200 4,638
Pan Pacific Reatil Properties, Inc. 100 2,225
Patriot American Hospitality, Inc. 1,137 28,425
Pennsylvania Real Estate Investment
Trust (SBI) 100 2,475
Post Properties, Inc. 200 7,800
Prentiss Properties Trust (SBI) 200 5,338
Price, Inc. Class B 300 13,369
Prime Retail, Inc. 200 2,913
Public Storage, Inc. 1,300 40,056
RFS Hotel Investors, Inc. 200 3,625
Realty Income Corp. 200 5,163
Reckson Associates Realty Corp. 300 7,556
Redwood Trust, Inc. 100 1,950
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
CONSTRUCTION & REAL ESTATE - CONTINUED
REAL ESTATE INVESTMENT TRUSTS - CONTINUED
Regency Realty Group 200 $ 5,238
SL Green Realty Corp. 100 2,656
Saul Centers, Inc. 100 1,756
Security Capital Atlantic, Inc. 300 6,375
Security Capital Industrial Trust, Inc. 1,100 26,675
Security Capital Pacific Trust (SBI) 800 18,350
Shurgard Storage Centers, Inc. 200 5,575
Simon Debartolo Group, Inc. 1,300 40,138
Smith (Charles E.) Residential Realty, Inc. 100 3,300
Sovran Self Storage, Inc. 200 5,900
Spieker Properties, Inc. 800 31,750
Starwood Hotels & Resorts Trust 600 33,938
Storage USA, Inc. 200 7,988
Storage Trust Realty 200 5,000
Summit Property Trust 200 4,050
Sun Communities, Inc. 100 3,488
Sunstone Hotel Investors, Inc. 200 3,200
Tanger Factory Outlet Centers, Inc. 100 3,025
Taubman Centers, Inc. 400 5,225
Thornburg Mortgage Asset Corp. 200 3,100
Town & Country Trust 100 1,688
Trinet Corporate Realty Trust, Inc. 100 3,875
United Dominion Realty Trust, Inc. 1,000 14,000
Universal Health Realty Income
Trust (SBI) 100 2,169
Urban Shopping Centers, Inc. 200 6,675
Value Property Trust (a) 100 1,594
Vornado Realty Trust 824 34,969
Walden Residential Properties, Inc. 200 4,950
Washington Real Estate Investment
Trust (SBI) 200 3,363
Weeks Corp. 200 6,600
Weingarten Realty Investors (SBI) 100 4,463
Western Investment Real Estate
Trust (SBI) 100 1,456
Westfield America, Inc. 600 10,725
Winston Hotels, Inc. 100 1,319
1,279,567
TOTAL CONSTRUCTION & REAL ESTATE 2,213,882
DURABLES - 3.7%
AUTOS, TIRES, & ACCESSORIES - 1.3%
APS Holding Corp. Class A (a) 200 350
Aftermarket Technology Corp. (a) 100 2,394
Amcast Industrial Corp. 100 2,213
Arvin Industries, Inc. 400 15,850
Aviation Sales Co. (a) 100 3,813
Bandag, Inc. 400 22,425
Borg-Warner Automotive, Inc. 300 17,588
Breed Technologies, Inc. 200 4,350
Casey's General Stores, Inc. 1,000 15,063
CLARCOR, Inc. 100 3,013
Colonels International, Inc. (a) 200 1,650
Copart, Inc. (a) 100 1,806
Cross-Continent Auto Retailers, Inc. (a) 200 1,425
Danaher Corp. 500 35,969
Discount Auto Parts, Inc. (a) 100 2,231
Donnelly Corp. Class A 100 1,856
Durakon Industries, Inc. (a) 100 725
SHARES VALUE (NOTE 1)
Excel Industries, Inc. 100 $ 1,988
Federal-Mogul Corp. 500 24,531
Federal Signal Co. 700 16,450
Forest Oil Corp. (a) 300 4,219
General Motors Corp. Class H 1,200 49,725
Gentex Corp. (a) 500 16,125
Genesis Energy L.P. 100 1,913
Getty Petroleum Marketing, Inc. (a) 100 675
Getty Realty Corp. (a) 100 2,388
Intermet Corp. 200 3,950
Jason, Inc. (a) 100 938
Keystone Automotive Industries, Inc. (a) 100 2,119
Lear Corp. (a) 800 42,300
Mascotech, Inc. 700 14,525
Mercury Air Group 100 763
Meritor Automotive, Inc. 900 22,500
Miller Industries, Inc. (a) 300 2,175
Modine Manufacturing Co. 200 7,000
Monro Muffler Brake, Inc. 100 1,475
NGC Corp. 1,200 18,600
OmniQuip International, Inc. 300 7,500
O'Reilly Automotive, Inc. (a) 400 11,875
Oshkosh Truck Corp. Class B 100 1,913
SPX Corp. 200 14,938
Simpson Industries, Inc. 200 2,613
Spartan Motors, Inc. (a) 100 800
Standard Motor Products, Inc. 100 2,063
Standard Products Co. 200 6,525
Superior Industries International, Inc. 200 6,213
Supreme Industries, Inc. Class A 100 1,156
TBC Corp. (a) 200 1,825
Tower Automotive, Inc. (a) 300 13,631
Tyler Corp. (a) 100 813
Ugly Duckling Corp. (a) 200 2,000
United Auto Group, Inc. (a) 400 6,575
Wabash National Corp. 100 2,969
Walbro Corp. 100 1,300
World Fuel Services Corp. 150 2,906
Wynn's International, Inc. 150 3,806
458,501
CONSUMER DURABLES - 0.3%
Ballantyne of Omaha, Inc. (a) 100 1,613
Blount International, Inc. Class A 300 8,344
Blyth Industries, Inc. (a) 600 18,038
Department 56, Inc. (a) 200 6,588
Dupont Photomasks, Inc. (a) 200 8,800
Libbey, Inc. 300 11,063
Lifetime Hoan Corp. 100 1,019
MiKohn Gaming Corp. (a) 100 725
Mikasa, Inc. 100 1,431
Oneida Ltd. 150 4,013
Printrak International, Inc. (a) 100 1,006
SAF T LOK, Inc. (a) 500 1,891
Samsonite Corp. (a) 300 9,900
Shuffle Master, Inc. (a) 100 950
Simpson Manufacturing, Inc. (a) 100 4,113
Sola Group Ltd. (a) 400 15,175
94,669
CONSUMER ELECTRONICS - 0.2%
Fossil, Inc. (a) 100 2,688
Harman International Industries, Inc. 300 13,950
Movado Group, Inc. 100 2,150
ParkerVision, Inc. (a) 100 1,869
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
DURABLES - CONTINUED
CONSUMER ELECTRONICS - CONTINUED
Recoton Corp. (a) 100 $ 1,700
Rival Co. (The) 100 1,450
Royal Appliance Manufacturing Co. (a) 100 613
SRS Labs, Inc. (a) 100 800
Salton/Maxim Housewares, Inc. (a) 100 888
Sunbeam-Oster, Inc. 1,000 41,375
67,483
HOME FURNISHINGS - 0.6%
Bassett Furniture Industries, Inc. 100 3,100
Bombay Company, Inc. (The) (a) 200 1,025
Bush Industries, Inc. Class A 100 2,513
Ethan Allen Interiors, Inc. 200 11,150
Falcon Products, Inc. 100 1,381
Furniture Brands International, Inc. (a) 700 19,163
Garden Ridge Corp. (a) 100 1,738
Guitar Center, Inc. 100 2,069
Haverty Furniture Companies, Inc. 100 1,931
Heilig-Meyers Co. 900 13,950
HON Industries, Inc. 200 13,150
Kimball International, Inc. Class B 700 14,613
Knoll, Inc. 300 10,688
La-Z Boy Chair Co. 100 4,794
Leggett & Platt, Inc. 1,100 55,206
Linens'n Things, Inc. (a) 300 15,113
Maxim Group, Inc. (a) 200 3,775
Miller (Herman), Inc. 400 24,500
O'Sullivan Industries Holdings, Inc. (a) 200 2,288
Rowe Furniture Corp. 100 950
Shelby Williams Industries, Inc. 100 1,613
Virco Manufacturing Corp. 100 3,025
207,735
TEXTILES & APPAREL - 1.3%
Ashworth, Inc. (a) 400 5,575
Barry (R.G.) Corp. (a) 100 1,350
Bibb Co. (a) 100 800
Burlington Industries, Inc. (a) 900 14,906
Candies, Inc. (a) 200 1,400
ChemFab Corp. (a) 100 2,000
Chic By H I S, Inc. (a) 100 775
Collins & Aikman Corp. (a) 500 3,938
Cone Mills Corp. (a) 300 2,456
Conso Products Co. (a) 100 775
Converse, Inc. (a) 100 675
Crown Crafts, Inc. 100 2,119
Culp, Inc. 100 2,069
Cutter & Buck, Inc. (a) 100 2,425
Deckers Outdoor Corp. (a) 100 788
Delta Woodside Industries, Inc. 100 444
Dexter Corp. 400 16,250
Dixie Group, Inc. 100 1,263
Donna Karan International, Inc. (a) 300 3,506
Dyersburg Corp. 100 1,000
Farah, Inc. (a) 100 575
Florsheim Group, Inc. (a) 100 963
G-III Apparel Group Ltd. (a) 100 634
Galey & Lord, Inc. (a) 100 1,981
Guilford Mills, Inc. 200 5,675
Haggar Corp. 100 1,494
Hartmarx Corp. (a) 200 1,625
Interface, Inc. Class A 400 15,300
SHARES VALUE (NOTE 1)
Intimate Brands, Inc. Class A 2,700 $ 73,238
Johnston Industries, Inc. 100 581
Jones Apparel Group, Inc. (a) 500 27,500
Kellwood Co. 400 12,975
Madden Steven Ltd. (a) 100 913
Mohawk Industries, Inc. (a) 400 10,500
Nautica Enterprises, Inc. (a) 600 17,288
Nine West Group, Inc. (a) 500 13,750
North Face, Inc. (a) 200 5,500
Oshkosh B'Gosh, Inc. Class A 100 3,925
Oxford Industries, Inc. 100 3,150
Pacific Sunwear of California, Inc. (a) 200 6,925
Phillips-Van Heusen Corp. 200 2,600
Pillowtex Corp. 126 4,946
Pluma, Inc. (a) 100 700
Polo Ralph Lauren Corp. Class A 500 14,125
Polymer Group, Inc. (a) 200 2,600
Quaker Fabric Corp. (a) 100 1,931
Quiksilver (a) 100 2,950
Rocky Shoes Boots, Inc. (a) 100 1,850
St. John Knits, Inc. 300 12,675
Shaw Industries, Inc. 1,800 21,375
Sport-Haley, Inc. (a) 100 1,181
Stride Rite Corp. 300 3,675
Superior Surgical Manufacturing, Inc. 100 1,700
Synthetic Industries, Inc. (a) 100 2,500
Timberland Co. Class A (a) 200 14,500
U.S. Home & Garden, Inc. (a) 100 588
Unifi, Inc. 600 22,050
Unitog Co. 100 2,013
Vans, Inc. (a) 100 963
Warnaco Group, Inc. Class A 764 28,364
Westpoint Stevens, Inc. Class A (a) 400 21,350
Wolverine World Wide, Inc. 600 16,875
Worldtex Corp. (a) 100 775
451,292
TOTAL DURABLES 1,279,680
ENERGY - 3.9%
COAL - 0.1%
Arch Coal, Inc. 300 7,875
MAPCO, Inc. 400 21,525
Zeigler Coal Holding Co. 200 3,213
32,613
ENERGY SERVICES - 1.5%
American Oilfield Divers, Inc. (a) 100 1,188
Atwood Oceanics, Inc. (a) 200 9,825
Aztec Manufacturing Co. 100 1,388
BJ Services Co. (a) 1,000 34,375
Bayard Drilling Technologies, Inc. 500 6,438
CAL Dive International, Inc. 100 2,700
Carbo Ceramics, Inc. 100 2,900
Cliffs Drilling Co. (a) 100 3,875
Daniel Industries, Inc. 200 3,750
Dawson Geophysical Co. (a) 200 3,425
Dawson Production Services, Inc. (a) 100 1,206
Diamond Offshore Drilling, Inc. 1,300 58,906
ENSCO International, Inc. 1,300 37,863
Global Industries Ltd. (a) 1,100 18,975
Global Marine, Inc. (a) 1,500 34,781
Input/Output, Inc. (a) 300 6,469
Kaneb Services, Inc. (a) 200 1,063
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
ENERGY - CONTINUED
ENERGY SERVICES - CONTINUED
Key Energy Group, Inc. (a) 400 $ 7,075
Layne Christensen Co. (a) 100 1,525
Lone Star Technologies, Inc. (a) 200 6,200
Lufkin Industries, Inc. 100 2,900
Marine Drilling Companies, Inc. (a) 400 7,175
Maverick Tube Corp. (a) 100 1,944
Nabors Industries, Inc. (a) 900 20,588
Newpark Resources, Inc. (a) 500 9,625
Noble Drilling Corp. (a) 1,200 34,050
Oceaneering International, Inc. (a) 200 3,313
Offshore Logistics, Inc. (a) 500 8,813
Parker Drilling Co. (a) 1,100 12,100
Patterson Energy, Inc. (a) 500 5,000
Pool Energy Services Co. (a) 300 7,088
Powell Industries, Inc. (a) 100 1,238
Pride International, Inc. (a) 300 6,844
RPC Energy Services, Inc. 200 2,263
SEACOR SMIT, Inc. (a) 300 16,781
Seitel, Inc. (a) 200 3,225
Smith International, Inc. (a) 300 15,975
Superior Energy Services, Inc. (a) 200 1,775
Tidewater, Inc. 500 22,250
Transcoastal Marine Services, Inc. 400 5,350
Transocean Offshore, Inc. 1,100 47,300
Tuboscope, Inc. (a) 300 5,869
UTI Energy Corp. (a) 300 4,088
Varco International, Inc. (a) 500 12,438
Weatherford Enterra, Inc. (a) 600 20,775
Zapata Corp. 200 2,063
524,757
INDEPENDENT POWER - 0.0%
Trigen Energy Corp. 100 1,975
OIL & GAS - 2.3%
APCO Argentina, Inc. 100 3,300
BP Prudhoe Bay Royalty Trust (UBI) 100 1,538
Barrett Resources Corp. (a) 500 15,156
Basin Exploration, Inc. (a) 100 1,644
Belco Oil & Gas Corp. (a) 200 3,625
Bellwether Exploration Co. (a) 400 3,650
Benton Oil & Gas Co. (a) 600 7,463
Berry Petroleum Co. Class A 100 1,538
Brigham Exploration Co. 100 1,063
Brown (Tom), Inc. (a) 500 9,906
Buckeye Partners, L..P. 200 5,788
Burlington Resources, Inc. 600 5,588
Cabot Oil & Gas Corp. Class A 200 4,200
Camco International, Inc. 500 29,250
Carrizo Oil & Gas, Inc. (a) 100 763
Chesapeake Energy Corp. 1,100 7,769
Coho Resources, Inc. (a) 600 4,763
Comstock Resources, Inc. (a) 300 2,831
Cooper Cameron Corp. (a) 500 26,813
Costilla Energy, Inc. (a) 100 1,025
Cross Timbers Oil Co. 750 12,000
Crown Central Petroleum Corp.
Class B (a) 100 1,850
DLB Oil & Gas, Inc. (a) 100 950
Dailey Petroleum Services Corp. (a) 100 769
DeepTech International, Inc. (a) 400 5,150
Denbury Resources, Inc. (a) 100 1,679
SHARES VALUE (NOTE 1)
Devon Energy Corp. 200 $ 6,813
Domain Energy Corp. (a) 100 1,313
EEX Corp. (a) 1,400 11,988
EVI, Inc. (a) 400 19,625
Eagle Geophysical, Inc. (a) 300 4,088
Enron Oil & Gas Co. 1,800 38,475
Evergreen Resources, Inc. (a) 100 1,638
FM Properties, Inc. (a) 100 656
FX Energy, Inc. (a) 100 831
FINA, Inc. Class A 200 12,650
Forcenergy, Inc. (a) 400 8,925
Friede Goldman International, Inc. 400 12,150
Giant Industries, Inc. 100 1,819
Gothic Energy Corp. (a) 300 666
Gulf Island Fabrication, Inc. 200 4,225
HS Resources, Inc. (a) 100 1,400
Hallwood Energy Partners L.P.
(depositary unit) 100 713
Harken Energy Corp. (a) 1,700 11,475
Holly Corp. 100 2,706
Hondo Oil & Gas Co. (a) 200 1,350
Houston Exploration Co. (a) 200 3,600
Hugoton Energy Corp. (a) 200 1,775
Inland Resources, Inc. (a) 100 919
KCS Group, Inc. 200 3,550
Kelley Oil & Gas Corp. (a) 600 1,350
Key Production Co., Inc. (a) 100 1,006
Kinder Morgan Energy Partners L.P. 100 3,650
Lomak Petroleum, Inc. 200 3,313
Louis Dreyfus Natural Gas Corp. (a) 300 5,419
Magnum Hunter Resources, Inc. (a) 200 950
Markwest Hydrocarbon, Inc. (a) 100 2,150
Meridian Resource Corp. (a) 200 1,663
Murphy Oil Corp. 600 29,963
National Energy Group, Inc. (a) 900 2,672
National-Oilwell, Inc. (a) 400 11,200
Newfield Exploration Co. (a) 500 12,000
Noble Affiliates, Inc. 700 27,300
Nuevo Energy Corp. (a) 300 10,763
Ocean Energy, Inc. (a) 300 14,025
Panaco, Inc. (a) 300 1,125
Parallel Petroleum Corp. (a) 100 588
Patina Oil & Gas Corp. 200 1,450
Penn Virginia Corp. 100 2,806
Petroleum Development Corp. (a) 100 544
Pioneer Natural Resources Co. 900 21,319
Plains Resources, Inc. (a) 100 1,581
Pogo Producing Co. 500 14,031
Remington Oil & Gas Corp. Class B
(non-vtg.) (a) 100 563
Rutherford-Moran Oil Corp. (a) 200 3,650
Sabs Petroleum Co. (a) 100 650
St. Mary Land & Exploration Co. 100 3,625
Santa Fe Energy Resources, Inc. 1,500 16,781
Seagull Energy Corp. (a) 500 8,438
Snyder Oil Corp. 500 9,313
Stone Energy Corp. (a) 100 3,463
Swift Energy Co. (a) 400 7,175
Teppco Partners L.P. 100 5,700
Tesoro Petroleum Corp. (a) 200 3,313
3-D Geophysical, Inc. (a) 200 1,700
Titan Exploration, Inc. (a) 300 2,175
Tosco Corp. 1,400 51,975
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
ENERGY - CONTINUED
OIL & GAS - CONTINUED
TransTexas Gas Corp. (a) 400 $ 6,600
TransMontaigne Oil Co. (a) 200 2,800
Ultramar Diamond Shamrock Corp. 1,000 35,688
UNIFAB International, Inc. 300 5,475
Union Texas Petroleum Holdings, Inc. 1,100 22,206
Unit Corp. (a) 200 1,588
United Meridian Corp. (a) 500 13,656
Valero Energy Corp. 700 24,850
Vastar Resources, Inc. 800 29,750
Veritas DGC, Inc. (a) 300 12,394
Vintage Petroleum, Inc. 400 8,025
WD 40 Co. 100 2,900
Wainoco Oil Corp. (a) 200 1,700
Western Gas Resources, Inc. 200 3,425
Williams Clayton Energy, Inc. (a) 100 900
Wiser Oil Co. (The) 100 1,275
XCL Ltd. (a) 500 2,813
778,855
TOTAL ENERGY 1,338,200
FINANCE - 17.7%
BANKS - 6.2%
Amcore Financial, Inc. 200 5,125
AmSouth Bancorporation 1,000 56,188
Area Bancshares Corp. 100 2,600
Associated Bancorporation 600 31,425
Bok Financial (a) 103 5,060
Bancorpsouth, Inc. 200 8,725
Bank of Commerce San Diego
California 300 4,331
Bank of Granite Corp. 100 3,100
Bankatlantic Bancorp, Inc.
Class A (non-vtg.) 375 4,898
Banknorth Group, Inc., 100 6,413
Boston Private Bancorp, Inc. (a) 100 894
Brenton Banks, Inc. 200 4,250
CBT Corp. 100 3,550
CCB Financial Corp. 100 10,863
CPB, Inc. 100 1,950
CNB Bancshares, Inc. 400 18,550
CVB Financial Corp. 150 4,050
Capital One Financial Corp. 700 47,031
Carolina First Corp. 200 4,813
Cathay Bancorp, Inc. 100 3,588
Centura Banks, Inc. 200 14,175
Century South Banks, Inc. 100 2,463
Chemical Financial Corp. 105 4,620
Chittenden Corp. 125 4,781
Citizens Banking Corp 300 10,088
City National Corp. 600 22,313
Colonial Bancgroup, Inc. 300 10,200
Commerce Bancorp, Inc. 105 5,001
Commerce Bancshares, Inc. 510 36,465
Community First Bankshares, Inc. 300 15,900
Community Trust Bancorp, Inc. 100 2,925
Compass Bancshares, Inc. 800 36,800
Corus Bankshares, Inc. 100 4,400
Crestar Financial Corp. 1,000 55,250
Cullen Frost Bankers, Inc. 200 11,388
Deposit Guaranty Corp. 400 22,175
Evergreen Bancorp, Inc. 100 2,400
SHARES VALUE (NOTE 1)
F & M Bancorporation, Inc. 100 $ 4,000
F & M National Corp. 100 3,525
FNB Corp. 100 3,700
Fidelity Natural Corp. (a) 400 5,500
First American Corp. 700 33,513
First Citizens Bancshares, Inc. 100 11,600
First Commerce Bancshares, Inc. 100 2,963
First Commerce Corp. 500 39,500
First Commercial Corp. 510 33,692
First Commonwealth Financial Corp. 200 5,925
First Empire State Corp. 100 47,200
First Financial Bankshares, Inc. 100 4,000
First Financial Bancorp. 100 5,463
First Hawaiian, Inc. 500 19,813
First Midwest Bankcorp, Inc. 100 4,413
First Savings Bank of Washington
Bancorp, Inc. 100 2,550
First Security Corp. 1,500 34,781
1st Source Corp. 110 3,630
First Tennessee National Corp. 1,400 44,625
First United Bancshares Inc. 100 4,800
First Virginia Banks, Inc. 700 35,438
First Western Bancorp 100 2,913
Firstar Corp. 1,300 54,356
Firstbank Puerto Rico 100 3,956
Firstbank of Illinois Co. 100 4,531
Firstmerit Corp. 400 11,775
Fort Wayne National Corp. 300 14,578
Fulton Financial Corp. 300 9,656
George Mason Bankshares, Inc. 100 4,338
Grand Premier Financial, Inc. 100 1,750
HUBCO, Inc. 403 14,710
Hamilton Bancorp, Inc. (a) 100 3,200
Hancock Holding Co. 100 6,150
Heritage Financial Services Inc. 100 3,294
Hibernia Corp. Class A 1,800 36,000
Horizon Bancorp, Inc. 100 2,913
Imperial Bancorp (a) 300 9,900
Independent Bank Corp. 200 3,525
Irwin Financial Corp. 100 4,725
Jefferson Savings Bancorp, Inc. 100 2,700
Keystone Financial, Inc. 700 29,313
Magna Group, Inc. 500 29,094
MainStreet BankGroup, Inc. 100 2,875
Marshall & Ilsley Corp. 1,100 64,488
Mercantile Bancorp., Inc. 1,100 61,188
Mercantile Bankshares Corp. 900 31,528
Merchants New York Bancorp, Inc. 100 3,875
Mid Am, Inc. 400 10,500
Mid-America Bancorp 100 3,350
Mississippi Valley Bancshares, Inc. 100 4,413
NBT Bancorp, Inc. 100 2,650
National Bancorp of Alaska, Inc. 100 12,100
National City Bancorporation (a) 100 3,200
National City Bancshares, Inc. 100 3,975
National Commerce Bancorp (a) 700 26,338
National Penn Bancshares, Inc. 100 3,500
North Fork Bancorp., Inc. 800 27,350
Old National Bancorp 210 9,818
Omega Financial Corp. 100 3,713
ONBANCorp, Inc. 200 14,525
One Valley Bancorp West Virginia, Inc. 200 7,375
Oriental Financial Group, Inc. 100 3,363
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
FINANCE - CONTINUED
BANKS - CONTINUED
Pacific Century Financial Corp. 1,200 $ 25,875
Park National Corp. 100 8,688
Peoples First Corporation 100 3,594
Peoples Heritage Financial Group, Inc. 400 18,625
Pinnacle Banc Group, Inc. 100 3,413
Pinnacle Financial Services, Inc. 200 9,488
Popular, Inc. 800 41,825
Provident Financial Group, Inc. 500 25,625
R&G Financial Corp. Class B 200 5,450
Regions Financial Corp. 1,670 66,383
Republic Bancorp 200 3,875
Riggs National Corp. 500 13,250
S & T Bancorp, Inc. 90 4,748
Santa Barbara Bancorp 100 5,150
Silicon Valley Bancshares (a) 200 11,400
SouthTrust Corp. 1,650 67,444
Southwest Bancorporation Texas, Inc. (a) 300 10,800
Star Banc Corp. 1,136 66,882
Sterling Bancshares, Inc. 150 2,250
Sumitomo Bank California 100 4,675
Susquehana Bancshares, Inc. 200 7,300
TF Financial Corp. 100 2,600
T R Financial Corp. 300 9,891
Texas Regional Bancshares, Inc.
Class A (vtg.) 100 3,463
Trans Financial, Inc. 100 4,100
Triangle Bancorp, Inc. 100 3,019
Trust Co. of New Jersey 200 5,475
Trustco Bank Corp. 200 5,500
Trustmark Corp. 500 21,938
UAB Financial Corp. 105 5,985
UST Corp. 200 5,475
Union Planters Corp. 900 55,631
UnionBanCal Corp. 500 46,563
United Bankshares, Inc. 100 5,081
United National Bancorp 100 2,700
US Trust Corp. 300 19,181
Valley National Bancorp 300 11,288
Vermont Financial Services Corp. 400 10,975
WesBanco, Inc. 100 2,856
West Coast Bancorp. 100 2,700
Westamerica Bancorporation 600 20,475
Western Bancorp 100 3,900
Whitney Holding Corp. 200 12,625
Wilmington Trust Corp. 200 12,375
Zions Bancorp 868 37,324
2,110,740
CREDIT & OTHER FINANCE - 2.0%
Aames Financial Corp. 200 2,675
ACE Cash Express, Inc. (a) 100 1,294
Allied Capital Corp. 420 9,870
American Insured Mortgage
Investments L.P. 100 925
AmeriCredit Corp. (a) 400 10,925
Arcadia Financial Ltd. (a) 800 6,100
Associates First Capital Corp. 1,000 80,000
CFX Corp. 400 12,175
CIT Group, Inc. Class A 1,700 56,100
Capital Factors Holding, Inc. (a) 100 1,763
SHARES VALUE (NOTE 1)
Cash America Investments, Inc. 200 $ 2,400
Concord EFS, Inc. (a) 800 24,900
Consumer Portfolio Services, Inc. (a) 400 4,200
ContiFinancial Corp. (a) 600 16,275
Credit Acceptance Corp. (a) 700 5,731
Delta Financial Corp. (a) 100 1,381
Doral Financial Corp. 100 2,700
Emergent Group, Inc. (a) 100 981
Equitable Companies, Inc. 2,100 109,856
Euronet Services, Inc. (a) 100 875
Financial Federal Corp. 100 2,188
Finova Group, Inc. 500 27,500
First Alliance Mortgage Co. (a) 300 5,250
First of America Bank Corp. (a) 800 62,150
First Sierra Financial, Inc. (a) 300 5,438
FIRSTPLUS Financial Group, Inc. (a) 400 13,200
Fleet Financial Group, Inc. 173 13,635
Fund America Companies, Inc. 70 9,153
Greenpoint Financial Corp. 600 44,550
HealthCare Financial Partners, Inc. (a) 200 8,225
IBS Financial Corp. 100 1,775
IMC Mortgage Co. (a) 500 5,875
Imperial Credit Industries (a) 300 6,338
Insignia Financial Group, Inc. Class A (a) 500 11,688
Life Bancorp, Inc. 300 10,763
Long Beach Financial Corp. 500 5,938
Medallion Financial Corp. 100 2,488
Metris Companies, Inc. 300 13,500
Moneygram Payment Systems, Inc. (a) 200 2,475
Money Store, Inc. (The) 600 14,963
New Century Financial Corp. 100 906
Old Kent Financial Corp. 1,100 42,419
PMC Capital, Inc. 100 1,400
Phoenix Duff & Phelps Corp. 300 2,438
Prime Bancshares, Inc. 100 2,138
Resource Bancshares Mortgage
Group, Inc. 510 7,937
Southern Pacific Funding Corp. (a) 400 6,175
Student Loan Corp. 100 4,825
Triad Guaranty, Inc. (a) 100 3,750
United Companies Financial Corp. 300 4,706
WFS Financial, Inc. (a) 200 2,400
WMF Group Ltd. (a) 33 623
WSFS Financial Corp. (a) 100 2,075
Willis Lease Finance Corp. (a) 100 2,050
World Acceptance Corp. (a) 100 500
702,560
FEDERAL SPONSORED CREDIT - 0.2%
SLM Holding Corp. 1,600 66,100
INSURANCE - 5.7%
American General Corp. 292 16,973
AFLAC, Inc. 1,200 73,725
ARM Financial Group, Inc. Class A 100 2,275
Acceptance Insurance Co., Inc. (a) 200 4,863
Acmat Corp. Class A (a) 100 1,650
Alfa Corp. 400 7,200
Allcity Insurance Co. (a) 300 2,119
Allied Group, Inc. 300 9,450
Allmerica Financial Corp. 700 43,050
AMBAC, Inc. 800 42,600
American Annuity Group, Inc. 300 6,675
American Bankers Insurance Group, Inc. 500 28,125
American Financial Group, Inc. 500 20,219
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
FINANCE - CONTINUED
INSURANCE - CONTINUED
American Heritage Life Investment Corp. 100 $ 4,056
American Indemnity Financial Corp. 100 1,038
American National Insurance Co. 200 19,400
Amerin Corp. (a) 400 11,700
Amerus Life Holdings, Inc. 234 7,634
Argonaut Group, Inc. 400 14,400
Atlantic American Corp. (a) 500 2,500
Baldwin & Lyons Inc. Class B 200 4,800
Berkley (W.R.) Corp. 400 18,250
Berkshire Hathaway, Inc. Class A (a) 9 502,200
Blanch E.W. Holdings, Inc. 100 3,594
CMAC Investments 300 20,100
CNA Financial Corp. (a) 500 71,969
CNA Surety Corp. (a) 200 3,150
Capital Re Corp. 100 6,194
Capital Transamerica Corp. 200 4,150
Central Reserve Life Corp. (a) 300 1,950
Centris Group, Inc. 100 2,513
Century Business Services, Inc. (a) 500 7,563
Citizens Corp. 300 10,013
Citizens, Inc. Class A (a) 100 650
Commerce Group, Inc. 300 10,500
Core, Inc. (a) 400 5,350
Crawford & Co., Class B 400 7,600
Danielson Holding Corp. (a) 400 2,875
Delphi Financial Group, Inc. Class A 200 8,800
Donegal Group Inc. 100 2,138
EMC Insurance Group, Inc. 200 2,625
Enhance Financial Services Group Corp. 300 18,619
Envoy Corp. (a) 200 8,125
Erie Indemnity Co. Class A 500 14,813
Everest Reinsurance Holdings, Inc. 700 25,813
Executive Risk, Inc. 200 13,638
FBL Financial Group, Inc. Class A 100 4,650
FPIC Insurance Group, Inc. (a) 100 2,900
Farm Family Holdings, Inc. (a) 100 3,594
Fidelity National Financial, Inc. 220 6,435
Financial Security Assurance
Holdings Ltd. 400 21,025
First American Financial Corp. (a) 150 8,944
First Health Group Corp. (a) 300 14,944
Foremost Corp of America 300 6,844
Fremont General Corp. 300 17,606
Frontier Insurance Group, Inc. 500 11,781
Gainsco, Inc. 400 3,275
Gallagher (Arthur J.) & Co. 100 4,131
Gryphon Holdings, Inc. (a) 200 3,075
Guarantee Life Companies, Inc. 100 2,675
HCC Insurance Holdings Inc. 700 14,350
HSB Group, Inc. 300 18,938
Harleysville Group Inc. 300 7,313
Hartford Life, Inc. Class A 300 12,919
HealthPlan Services Corp. 200 4,988
Healthcare Recoveries, Inc. 100 2,125
Highlands Insurance Group, Inc. (a) 200 4,913
Hilb, Rogal & Hamilton Co. 100 1,869
Horace Mann Educators Corp. 700 24,850
Independence Holding Co. 200 2,450
INSpire Insurance Solutions, Inc. 200 5,600
Intercargo Corp. 200 2,400
SHARES VALUE (NOTE 1)
Interstate National Dealer Services,
Inc. (a) 100 $ 931
Investors Title Co. 100 2,550
John Alden Financial Corp. 400 8,975
Liberty Corp. (The) 100 5,156
Liberty Financial Companies, Inc. 300 10,875
Life USA Holding, Inc. (a) 100 1,538
Life RE Corp. 100 6,363
MBIA, Inc. 139 10,173
MMI Companies, Inc. 200 4,750
Medical Assurance, Inc. 210 6,116
Merchants Group, Inc. 100 2,163
Mercury General Corp. 400 22,700
Meridian Insurance Group, Inc. 200 3,300
Mobile America Corp. 200 2,675
Motor Club America (a) 200 3,375
Mountbatten, Inc. (a) 200 2,800
NAC Re Corp. 300 15,431
NY Magic, Inc. 100 3,000
National Security Group, Inc. 100 1,775
Nationwide Financial Services, Inc.
Class A 300 13,200
Navigators Group, Inc. (a) 200 3,475
Ohio Casualty Corp. 300 14,025
Old Guard Group, Inc. 100 1,775
Old Republic International Corp. 1,000 42,188
Orion Capital Corp. 200 9,763
PICO Holdings, Inc. (a) 500 3,188
PMI Group, Inc. 400 29,100
PXRE Corp. 100 3,100
Penn-America Group, Inc. 200 4,575
Penn Treaty American Corp. (a) 100 3,125
Penncorp. Financial Group, Inc. 500 17,375
Philadelphia Consolidated Holding
Corp. (a) 200 4,050
Poe & Associates, Inc. 50 5,231
Presidential Life Corp. 200 4,350
Protective Life Corp. 400 27,650
Provident Companies, Inc. 1,200 43,200
RLI Corp. 100 5,213
Reinsurance Group of America, Inc. 200 9,163
Reliance Group Holdings, Inc. 1,000 17,000
Reliastar Financial Corp. 800 38,050
Risk Capital Holdings, Inc. (a) 400 9,350
SCPIE Holding, Inc. 100 2,938
Selective Insurance Group, Inc. 300 8,231
State Auto Financial Corp. 200 6,600
Stewart Information Services Corp. 100 3,138
Symons International Group, Inc. (a) 200 3,875
TIG Holdings, Inc. 700 18,594
Transatlantic Holdings, Inc. 300 22,688
Travelers Property Casualty Corp. Class A 800 32,800
Trenwick Group, Inc. 100 3,650
20th Century Industries 400 10,700
UICI (a) 400 12,850
USF&G Corp. 112 2,737
Unico America Corporation 200 2,600
United Fire & Casualty Co. 100 4,350
United Wisconsin Services, Inc. 200 6,200
Unitrin, Inc. 500 34,563
Vesta Insurance Group Corp. 300 17,194
Walshire Assurance Co. 200 2,050
Zenith National Insurance Corp. 200 5,463
1,936,251
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
FINANCE - CONTINUED
SAVINGS & LOANS - 1.9%
Affiliated Community Bancorp., Inc. 200 $ 7,475
Ahmanson (H.F.) & Co. 242 15,110
Albank Financial Corp. 300 14,588
Alliance Bancorp 100 2,750
Anchor Bancorp, Wisconsin, Inc. 100 4,300
Astoria Financial Corp. 400 22,350
BSB Bancorp, Inc. 100 3,100
Bank Plus Corp. (a) 100 1,475
Bank United Corp. Class A 500 23,563
BankUnited Financial Corp. Class A (a) 500 7,344
Bay View Capital, Inc. 300 10,425
CenFed Financial Corp. 100 4,250
Charter One Financial Corp. 700 42,416
CitFed Bancorp, Inc. 250 13,094
Coast Federal Litigation Contingent
Payment Rights Trust 300 4,575
Commercial Federal Corp. 300 10,613
Commonwealth Bancorp, Inc. 200 4,075
D & N Financial Corp. 100 2,625
Dime Community Bancorp, Inc. 200 5,025
Dime Bancorp., Inc. 1,200 36,600
Downey Financial Corp. 200 5,850
Eagle Financial Corp. 100 5,281
FFVA Financial Corp. 100 3,750
First Colorado Bancorp., Inc. 100 2,525
First Federal Capital Corp. 100 3,188
First Indiana Corp. 120 3,510
First Mutual Bancorp., Inc. 100 2,013
First Palm Beach Bancorp, Inc. 100 3,788
First Republic Bank (a) 100 3,738
First Savings Bank 100 4,575
FirstFed Financial Corp. (a) 300 12,113
Firstfed America Bancorp., Inc. (a) 100 1,988
Flagstar Bancorp, Inc. 100 2,263
Flushing Financial Corp. 100 2,550
Golden State Bancorp (a) 700 24,938
HFNC Financial Corp. 200 2,725
Harris Financial, Inc. 300 6,150
Haven Bancorp., Inc. 100 2,450
Interwest Bancorp., Inc. 100 4,150
JSB Financial Corp. 100 5,381
Klamath First Bancorp, Inc. 300 6,750
Long Island Bancorp., Inc. 400 24,075
MAF Bancorp., Inc. 200 7,450
ML Bancorp, Inc. 200 6,250
MetroWest Bank 100 791
New York Bancorp., Inc. 200 8,100
Northwest Bancorp, Inc. 300 4,763
Ocean Financial Corp. 100 3,525
Ocwen Financial Corp. (a) 600 18,000
PFF Bancorp, Inc. (a) 600 11,625
Peoples Bancorp, Inc. 100 4,325
People Bank Bridgeport 400 15,075
Poughkeepsie Financial Corp. 200 2,125
Provident Bancshares Corp. 400 13,750
Queens County Bancorp., Inc. 100 3,975
RedFed Bancorp, Inc. (a) 300 5,944
Reliance BanCorp, Inc. 300 10,650
Republic Security Financial Corp. 100 1,100
Roslyn Bancorp, Inc. 800 18,250
SHARES VALUE (NOTE 1)
SIS Bancorp., Inc. 100 $ 3,763
St. Paul Bancorp, Inc. 700 18,550
Security First Network Bank (a) 100 1,088
Somerset Savings Bank (a) 300 1,444
Sovereign Bancorp., Inc. 1,300 25,188
Sterling Financial Corp. (a) 100 2,413
TCF Financial Corp. 1,100 36,369
Washington Federal, Inc. 770 21,271
Webster Financial Corp. 200 12,850
Westcorp, Inc. 200 3,413
Westernbank 400 12,250
York Financial Corp. 100 2,550
646,351
SECURITIES INDUSTRY - 1.7%
Advest Group, Inc. (The) 100 2,494
Alliance Capital Management L.P. 800 40,100
American Capital Strategies Ltd. 100 2,100
American Insured Mortgage
Investments L.P. 100 1,394
Ameritrade Holding Corp. Class A 200 5,525
Atalanta/Sosnoff Capital Corp. 100 950
Bear Stearns Companies, Inc. 1,100 51,288
Charles JW Financial Services, Inc. (a) 100 1,188
Choice Hotels International, Inc. (a) 400 6,000
Dain Rauscher Corp. 100 5,863
Donaldson Lufkin & Jenrette, Inc. 500 40,938
Earth Sciences, Inc. (a) 800 1,150
Eaton Vance Corp. 100 4,156
Edwards (A.G.), Inc. 1,000 42,063
Everen Capital Corp. 100 4,263
Franklin Resources, Inc. 2,400 122,400
Hambrecht & Quist Group (a) 300 9,638
Jefferies Group, Inc. 200 8,863
John Nuveen Co. Class A 200 7,063
Legg Mason, Inc. 300 17,925
McDonald & Co. Investments, Inc. 100 2,500
Morgan Keegan, Inc. 200 4,300
National Discount Brokers Group, Inc. (a) 100 1,163
New England Investment Companies L.P. 300 10,500
PIMCO Advisors Holdings L.P. units 467 16,608
PaineWebber Group, Inc. 1,200 50,400
Pioneer Group, Inc. 200 5,975
Piper Jaffray Inc. 300 11,025
Price (T. Rowe) Associates, Inc. 600 39,825
Rambus, Inc. 300 13,425
Raymond James Financial, Inc. 300 11,963
Security Capital Group, Inc. Class B (a) 300 9,281
Southwest Securities Group, Inc. 100 2,688
Stifel Financial Corp. 105 1,404
Sunburst Hospitality Corp. (a) 100 875
United Asset Management Corp. 1,000 26,563
Value Line, Inc. 100 4,200
Zitel Corp. (a) 100 1,388
589,444
TOTAL FINANCE 6,051,446
HEALTH - 7.3%
DRUGS & PHARMACEUTICALS - 3.0%
Abiomed, Inc. (a) 100 1,356
Advanced Polymer Systems, Inc. (a) 200 1,388
Advanced Tissue Sciences Corp.
Class A (a) 600 6,525
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
HEALTH - CONTINUED
DRUGS & PHARMACEUTICALS - CONTINUED
Agouron Pharmaceuticals, Inc. (a) 300 $ 11,063
Alexion Pharmaceuticals, Inc. (a) 100 1,338
Algos Pharmaceutical Corp. (a) 100 3,350
Alkermes, Inc. (a) 200 4,638
Alliance Pharmaceutical Corp. (a) 200 1,875
Alpharma, Inc. Class A 200 4,625
Alteon, Inc. (a) 300 3,638
Amylin Pharmaceuticals, Inc. (a) 200 1,050
Andrx Corp. (a) 100 3,106
Anesta Corp. (a) 200 4,013
Anika Research, Inc. (a) 100 856
ANTIVIRALS, Inc. 100 731
Aphton Corp. (a) 100 1,200
Arqule, Inc. (a) 300 6,638
Atrix Laboratories, Inc. (a) 100 1,588
Aviron (a) 100 2,513
AXYS Pharmaceuticals, Inc. (a) 635 5,398
Barr Laboratories, Inc. (a) 200 6,800
Bio-Technology General Corp. (a) 800 6,750
BioCryst Pharmaceuticals, Inc. (a) 100 769
Biogen, Inc. (a) 600 26,475
Biomatrix, Inc. (a) 100 3,263
BioSource International, Inc. (a) 100 600
BioTime, Inc. (a) 300 4,388
Biotransplant, Inc. (a) 100 488
Biosite Diagnostics, Inc. 100 1,050
BioReliance Corp. 100 2,325
Bone Care International, Inc. (a) 100 981
CV Therapeutics, Inc. (a) 100 869
Cadus Pharmaceutical Corp. (a) 100 675
Carter-Wallace, Inc. 300 5,363
Cel-Sci Corp. (a) 100 481
Cell Genesys, Inc. (a) 200 1,363
Cell Therapeutics, Inc. (a) 100 1,500
Celgene Corp. (a) 300 2,663
Cellegy Pharmaceuticals, Inc. (a) 200 1,600
Centocor, Inc. (a) 600 21,675
Cephalon, Inc. (a) 400 4,800
Cerus Corp. (a) 100 1,613
Chattem Inc. (a) 100 2,063
Chirex, Inc. (a) 300 4,613
Chiron Corp. (a) 2,000 38,375
Collagenex Pharmaceuticals, Inc. (a) 100 625
Collagen Corp. 100 1,913
Columbia Laboratories, Inc. (a) 200 2,375
Copley Pharmaceutical, Inc. (a) 100 650
COR Therapeutics, Inc. (a) 300 3,788
Corixa Corp. (a) 100 838
Coulter Pharmeceutical, Inc. (a) 300 6,975
Creative Biomolecules, Inc. (a) 300 2,888
Cubist Pharmaceuticals, Inc. (a) 100 525
Curative Technologies, Inc. (a) 100 3,688
Cypros Pharmaceutical Corp. (a) 200 750
Cytotheraputics, Inc. (a) 200 700
Cytyc Corp. (a) 300 6,900
Depotech Corp. (a) 200 900
Diacrin, Inc. (a) 100 1,000
Diagnostic Products Corp. 100 2,838
Diatide, Inc. (a) 100 988
Dura Pharmaceuticals, Inc. (a) 500 12,563
Duramed (a) 500 2,797
SHARES VALUE (NOTE 1)
EPIX Medical, Inc. (a) 100 $ 1,350
EPL Technologies, Inc. (a) 200 1,438
Emisphere Technologies, Inc. (a) 100 1,931
EntreMed, Inc. (a) 100 1,256
ENZON, Inc. (a) 300 1,688
Enzo Biochem, Inc. 210 2,796
Epitope, Inc. (a) 100 675
Ergo Science Corp. (a) 100 1,688
Forest Laboratories, Inc. (a) 500 31,281
4Health, Inc. (a) 100 506
Fuisz Technologies Ltd. (a) 200 2,400
GelTex Pharmaceuticals, Inc. (a) 300 8,663
GeneMedicine, Inc. (a) 100 325
Genentech, Inc. special (a) 1,300 87,831
Genome Therapeutics Corp. (a) 200 1,550
Gensia Pharmaceuticals, Inc. (a) 500 2,828
Genzyme Transgenics Corp. (a) 100 1,213
Genzyme Corp. 900 26,606
Geron Corp. (a) 300 3,309
Gilead Sciences, Inc. (a) 400 14,325
Gliatech, Inc. (a) 100 850
Guilford Pharmaceuticals, Inc. (a) 300 6,600
Hauser Chemical Research, Inc. (a) 100 738
Hemispherex BioPharma, Inc. (a) 200 738
Herbalife International, Inc.:
Class A 66 1,584
Class B (non-vtg.) 133 3,092
Heska Corp. 100 1,263
Human Genome Sciences, Inc. (a) 300 12,750
ICN Pharmaceuticals, Inc. 300 17,325
Hyseq, Inc. 100 1,325
ICOS Corporation (a) 400 5,625
IDEC Pharmaceuticals Corp. (a) 100 4,538
Igen, Inc. (a) 300 6,188
Idexx Laboratories, Inc. (a) 300 4,706
Ilex Oncology, Inc. 100 763
Imclone Systems, Inc. (a) 400 2,675
Immune Response Corp. (a) 400 3,800
Immucor, Inc. (a) 100 925
Immunex Corp. (a) 300 17,738
INCYTE Pharmaceuticals, Inc. (a) 300 13,650
Inhale Therapeutic Systems (a) 300 8,963
Integrated Process Equipment Corp. (a) 200 3,700
Interferon Sciences, Inc. 100 675
International Murex Technologies Corp. (a) 100 988
Interneuron Pharmaceuticals, Inc. (a) 500 3,969
Isis Pharmaceuticals Co. (a) 500 6,719
IVAX Corp. (a) 1,600 13,500
Jones Medical Industries, Inc. 200 7,425
KV Pharmaceutical Co. Class A (a) 100 2,381
Kos Pharmaceuticals, Inc. (a) 500 5,063
KRUG International Corp. (a) 100 525
LeukoSite, Inc. (a) 100 900
Life Technologies, Inc. 200 6,100
Ligand Pharmaceuticals, Inc. Class B (a) 500 7,500
Liposome Co., Inc. (a) 600 3,488
MacroChem Corp. (a) 100 1,150
Magainin Pharmaceuticals, Inc. (a) 200 1,463
Martek Biosciences (a) 100 1,550
Matritech, Inc. (a) 100 513
Maxim Pharmaceuticals, Inc. (a) 100 1,569
Medarex, Inc. (a) 100 522
Medco Research, Inc. (a) 100 1,563
Medicis Pharmaceutical Corp. Class A 100 4,294
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
HEALTH - CONTINUED
DRUGS & PHARMACEUTICALS - CONTINUED
Medimmune, Inc. (a) 200 $ 10,375
Megabios Corp. (a) 100 1,331
Meridian Diagnostics, Inc. 100 1,038
Microvision, Inc. (a) 100 1,313
Microcide Pharmaceuticals, Inc. (a) 100 838
Millennium Pharmaceuticals, Inc. (a) 500 10,063
Molecular Biosystems, Inc. (a) 100 863
Mycogen Corp. (a) 200 3,400
Mylan Laboratories, Inc. 1,000 20,375
Myriad Genetics (a) 100 1,925
NBTY, Inc. (a) 100 4,656
NPS Pharmaceuticals, Inc. (a) 100 813
NaPro BioTherapeutics, Inc. (a) 100 119
Nature's Sunshine Products, Inc. 300 7,725
Neopath, Inc. (a) 400 5,225
NeoRx Corp. (a) 200 1,013
Neose Technologies, Inc. (a) 100 1,450
Neurex Corp. (a) 300 5,963
Neurogen Corp. (a) 100 1,650
NeXstar Pharmaceuticals, Inc. (a) 200 2,350
North American Vaccine, Inc. (a) 200 4,050
Northfield Laboratories, Inc. (a) 200 2,100
Novavax, Inc. (a) 100 444
Noven Pharmaceuticals, Inc. (a) 100 669
OSI Pharmaceuticals, Inc. (a) 200 1,288
ONYX Pharmaceuticals, Inc. (a) 100 688
Organogenesis, Inc. 325 7,455
Ortec International, Inc. (a) 100 1,400
OXiGENE, Inc. (a) 100 1,663
Parexel International Corp. (a) 300 11,325
PathoGenesis Corp. (a) 300 10,800
Penederm, Inc. (a) 100 1,125
Pharmacyclics, Inc. (a) 200 5,225
PharmaPrint, Inc. (a) 100 1,000
Pharmaceutical Product
Development, Inc. (a) 400 8,400
Pharmacopeia, Inc. (a) 100 1,900
Polymedica Industries, Inc. (a) 100 1,213
Protein Design Labs, Inc. (a) 200 8,600
Quintiles Transnational Corp. (a) 800 39,100
Regeneron Pharmaceuticals, Inc. (a) 200 1,625
Rexall Sundown, Inc. (a) 600 22,200
Ribozyme Pharmaceuticals, Inc. (a) 100 650
Roberts Pharmaceutical Corp. (a) 500 6,281
Sangstat Medical Corp. (a) 300 9,188
Sano Corp. (a) 100 3,700
Scherer R.P. Corp. (a) 300 18,244
Scios, Inc. (a) 500 5,000
Sepracor, Inc. (a) 400 16,100
Sequus Pharmaceuticals, Inc. (a) 600 5,850
Serologicals Corp. (a) 300 8,025
Shaman Pharmaceuticals (a) 100 500
Somatogen, Inc. (a) 100 869
Spire Corp. (a) 100 1,450
Sugen, Inc. (a) 100 1,375
SuperGen, Inc. (a) 100 1,256
Synaptic Pharmaceutical Corp. (a) 100 1,350
Technical Chemicals & Products (a) 100 963
Texas Biotechnology Corp. (a) 300 2,250
Theragenics Corp. (a) 100 5,938
Theratech, Inc. (a) 100 888
SHARES VALUE (NOTE 1)
Thermotrex Corp. (a) 100 $ 1,775
Titan Pharmaceuticals, Inc. (a) 100 556
Transkaryotic Therapies, Inc. (a) 100 3,175
Triangle Pharmaceuticals, Inc. (a) 100 1,650
Trimeris, Inc. 100 950
Twinlab Corp. (a) 400 13,000
Unimed Pharmaceuticals, Inc. (a) 100 725
U.S. Bioscience, Inc. (a) 200 2,263
Vertex Pharmaceuticals, Inc. (a) 400 14,950
Vical, Inc. (a) 300 4,819
VIMRX Pharmaceuticals, Inc. (a) 500 828
ViroPharma, Inc. (a) 100 1,975
Vivus, Inc. (a) 400 4,650
Watson Pharmaceuticals, Inc. (a) 800 28,700
Weider Nutrition International, Inc.
Class A 100 1,375
XOMA Corp. (a) 600 2,981
Zonagen, Inc. (a) 300 5,531
1,041,719
MEDICAL EQUIPMENT & SUPPLIES - 2.2%
ATL Ultrasound, Inc. (a) 300 13,650
ATS Medical, Inc. (a) 100 588
Aastrom Biosciences, Inc. 100 638
Acuson Corp. (a) 200 3,675
ADAC Laboratories (a) 300 7,988
Aksys Ltd. (a) 100 688
ALARIS Medical, Inc. (a) 400 2,175
Allegiance Corp. 700 24,413
Allied Healthcare Products, Inc. (a) 100 700
American Dental Technologies, Inc. (a) 100 500
AmeriSource Health Corp. Class A (a) 200 11,700
Angeion Corp. (a) 400 1,013
Aradigm Corp. (a) 100 1,025
Arrow International, Inc. 200 7,825
Arterial Vascular Engineering, Inc. (a) 300 24,563
ArthroCare Corp. (a) 100 1,406
Autonomous Technologies Corp. (a) 100 588
AVECOR Cardiovascular, Inc. (a) 100 713
BEC Group, Inc. (a) 300 1,931
Bacou USA, Inc. (a) 100 1,713
Ballard Medical Products 200 5,025
Beckman Instruments, Inc. 400 19,350
Bergen Brunswig Corp. Class A 400 18,000
Bindley Western Industries, Inc. 100 3,313
Bio-Plexus, Inc. (a) 100 369
Bio-Rad Laboratories, Inc. Class A (a) 100 2,563
Bionx Implants, Inc. 100 2,425
CNS, Inc. (a) 100 638
Cardiac Pathways Corp. (a) 100 663
Cardiogenesis Corp. (a) 100 675
Cardiovascular Diagnostics, Inc. (a) 100 763
Cardiovascular Dynamics, Inc. (a) 100 481
CardioThoracic Systems, Inc. (a) 100 688
Chad Therapeutics, Inc. (a) 100 675
Closure Medical Corp. (a) 100 1,988
Coherent, Inc. (a) 200 9,350
Colorado Medtech, Inc. (a) 100 888
Computer Motion, Inc. 100 913
Conceptus, Inc. (a) 100 406
Conmed Corp. (a) 100 2,194
Cooper Companies, Inc. (a) 200 9,350
Cyberonics Inc. (a) 300 7,238
Cygnus, Inc. (a) 300 5,344
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
HEALTH - CONTINUED
MEDICAL EQUIPMENT & SUPPLIES - CONTINUED
Datascope Corp. (a) 200 $ 5,025
Dentsply International, Inc. 700 21,700
Depuy, Inc. 800 21,550
Diametrics Medical, Inc. (a) 200 1,325
Dianon Systems, Inc. (a) 100 975
Digene Corp. (a) 100 775
Dionex Corp. (a) 100 5,838
E-Z-EM, Inc. Class A (a) 103 734
Eclipse Surgical Technologies, Inc. (a) 100 675
EMPI, Inc. (a) 100 1,800
Endosonics Corp. (a) 400 4,100
Endocardial Solutions, Inc. 100 1,363
Fischer Imaging Corp. (a) 100 419
FONAR Corp. (a) 500 1,328
General Surgical Innovations, Inc. (a) 200 900
Graham-Field Health Products, Inc. (a) 200 3,450
Haemonetics Corp. (a) 500 8,344
Heartstream, Inc. (a) 400 4,300
Heartport, Inc. (a) 500 7,250
Hillenbrand Industries, Inc. 500 28,094
Hologic, Inc. (a) 300 6,863
HumaScan, Inc. (a) 100 1,225
ICU Medical, Inc. (a) 100 1,413
I-Stat Corp. (a) 100 1,613
Imatron, Inc. (a) 600 1,538
InControl, Inc. (a) 100 500
Innovasive Devices, Inc. (a) 100 1,000
Intermagnetics General Corp. 100 919
Interpore International (a) 100 575
Invacare Corp. 500 11,469
IRIDEX Corp. (a) 100 875
kensey Nash Corp. (a) 100 2,300
KeraVision, Inc. (a) 200 1,213
Lasercope, Inc. (a) 100 306
Lifecore Biomedical, Inc. (a) 100 1,913
Lunar Corp. (a) 100 2,363
Marquette Medical Systems, Inc. (a) 100 2,750
Maxxim Medical, Inc. (a) 100 2,269
McKesson Corp. 800 41,700
MEDIQ, Inc. 100 1,350
Mentor Corp. 400 11,675
Merit Medical Systems, Inc. (a) 100 650
Micro Therapeutics, Inc. 100 1,125
Milestone Scientific, Inc. (a) 200 4,550
MiniMed, Inc. 100 4,200
Minntech Corp. 100 1,250
Miravant Medical Technologies (a) 100 3,500
Molecular Dynamics, Inc. (a) 300 3,656
NCS Healthcare, Inc. (a) 300 8,756
Neoprobe Corp. (a) 200 925
Nitinol Medical Technologies, Inc. (a) 100 963
Norland Medical Systems, Inc. (a) 100 944
Novametrix Medical Systems, Inc. (a) 200 1,200
Novoste Corp. (a) 200 5,925
OEC Medical Systems, Inc. (a) 100 2,206
Oakley, Inc. (a) 500 6,031
Ocular Sciences, Inc. (a) 200 4,525
Omnicare, Inc. 1,000 37,000
Optical Sensors, Inc. (a) 100 575
Osteotech, Inc. (a) 100 2,338
Owens and Minor, Inc. 300 5,325
SHARES VALUE (NOTE 1)
PLC Systems, Inc. (a) 100 $ 1,419
Patterson Dental Co. (a) 450 13,613
Perclose, Inc. (a) 300 7,575
Perrigo Co. (a) 600 6,450
PharMerica, Inc. (a) 600 7,800
Photoelectron Corp. (a) 100 713
Physician Sales & Service, Inc. (a) 200 4,175
Physio-Control International Corp. (a) 100 1,888
Possis Medical, Inc. (a) 100 1,488
Premier Laser Systems, Inc. Class A (a) 100 1,069
Protocol Systems, Inc. (a) 100 963
Q Med Inc. (a) 100 638
Quest Medical, Inc. (a) 100 875
Quigley Corp. (a) 300 3,844
Resmed, Inc. (a) 100 3,400
Resound Corp. (a) 200 1,138
Respironics, Inc. (a) 292 7,921
Sabratek Corp. (a) 200 6,725
Schick Technologies, Inc. 200 4,675
Sofamor/Danek Group, Inc. (a) 200 15,050
Sonus Pharmaceuticals, Inc. (a) 200 5,050
Spacelabs Medical, Inc. (a) 100 2,175
SpectRx, Inc. (a) 100 838
Staar Surgical Co. (a) 100 1,625
Steris Corp. (a) 300 17,756
Stryker Corp. 800 32,750
Summit Technology, Inc. 300 1,631
Sunrise Medical, Inc. (a) 100 1,494
Sybron International Corp. (a) 600 16,388
Techne Corp. (a) 200 3,763
Teleflex, Inc. 300 12,169
Thermo Cardiosystems, Inc. (a) 300 7,500
Thermospectra Corp. (a) 100 975
Thermedics, Inc. (a) 300 4,913
Thoratec Laboratories Corp. (a) 200 1,400
Trex Medical Corp. (a) 200 3,113
Uromed Corp. (a) 600 1,406
Utah Medical Products, Inc. (a) 100 725
Vallen Corp. (a) 100 2,050
Vasomedical, Inc. (a) 400 738
Ventana Medical Systems, Inc. (a) 100 2,188
VidaMed, Inc. (a) 100 375
Vista Medical Technologies, Inc. 100 1,038
VISX, Inc. (a) 100 2,350
Vital Signs, Inc. 100 2,113
Vivid Technologies, Inc. (a) 100 1,625
VOXEL (a) 100 575
Wesley Jessen Visioncare, Inc. 200 6,775
Xomed Surgical Products, Inc. (a) 100 2,825
Zila, Inc. (a) 300 2,306
Zoll Medical Corp. (a) 100 663
744,920
MEDICAL FACILITIES MANAGEMENT - 2.1%
ARV Assisted Living, Inc. (a) 100 1,313
Advance Paradigm, Inc. (a) 100 3,063
Alternative Living Services, Inc. (a) 400 13,700
American Healthcorp, Inc. (a) 100 844
American HomePatient, Inc. (a) 100 2,300
American Oncology Resources, Inc. (a) 200 3,050
AmeriPath, Inc. 100 1,725
Amsurg Corp. Class A (a) 9 84
Apria Healthcare Group, Inc. (a) 800 10,900
Atria Communities, Inc. (a) 500 10,188
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
HEALTH - CONTINUED
MEDICAL FACILITIES MANAGEMENT - CONTINUED
Beverly Enterprises, Inc. (a) 1,400 $ 21,263
Cambridge Heart, Inc. (a) 200 1,525
Carematrix Corp. (a) 300 7,500
Centennial HealthCare Corp. (a) 100 2,250
Chronimed, Inc. (a) 100 1,163
Clintrails Research, Inc. (a) 100 800
Cohr, Inc. (a) 100 1,156
Compdent Corp. (a) 300 4,163
Comprehensive Care Corp. (a) 300 3,113
Concentra Managed Care, Inc. (a) 600 20,588
Continucare Corp. (a) 100 494
Covance, Inc. (a) 400 8,600
Coventry Corp. (a) 500 8,094
Cryolife, Inc. (a) 100 1,388
Diagnostic Health Services, Inc. (a) 100 1,150
Emeritus Corp. (a) 100 1,075
Express Scripts, Inc. Class A (a) 100 7,800
FPA Medical Management, Inc. (a) 500 11,563
First Commonwealth, Inc. 200 2,925
Foundation Health Systems, Inc.
Class A (a) 1,000 27,688
Genesis Health Ventures, Inc. (a) 500 14,500
Hanger Orthopedic Group, Inc. (a) 100 1,350
Harborside Healthcare Corp. (a) 100 2,244
Health Management Associates, Inc.
Class A (a) 1,400 38,938
Health Risk Management, Inc. (a) 100 1,488
Health Care & Retirement Corp. (a) 300 13,163
Health Power, Inc. (a) 400 2,300
Home Health Corp. of America, Inc. (a) 100 400
Hooper Holmes, Inc. 200 3,700
I-Link Corp. (a) 200 1,125
IMPATH, Inc. (a) 200 6,913
Integrated Health Services, Inc. 300 10,181
Intensiva Healthcare Corp. (a) 100 788
LabOne, Inc. 100 1,675
Laboratory Corp. of America
Holdings (a) 1,000 1,938
Laser Vision Centers, Inc. (a) 200 1,700
Lincare Holdings, Inc. (a) 400 25,963
Magellan Health Services, Inc. (a) 200 4,500
Mariner Health Group, Inc. (a) 200 3,038
Matria Healthcare, Inc. (a) 300 1,631
Maxicare Health Plans, Inc. (a) 300 3,450
MedCath, Inc. (a) 100 1,550
Medical Resources, Inc. (a) 400 3,500
MedicalControl, Inc. (a) 400 2,100
Medquist, Inc. (a) 200 6,975
Mid-Atlantic Medical Services, Inc. (a) 400 4,700
Monarch Dental Corp. 100 1,550
National Healthcare Corp. (a) 100 3,500
National Surgery Centers, Inc. (a) 400 10,050
Neurocrine Biosciences, Inc. (a) 200 1,650
NovaCare, Inc. (a) 400 5,600
OMEGA Health Systems, Inc. (a) 100 738
OncorMed, Inc. (a) 100 650
Orthologic Corp. (a) 200 1,228
Orthodontic Centers of America, Inc. (a) 300 5,794
Oxford Health Plans, Inc. (a) 700 12,031
PHP Healthcare Corp. (a) 200 3,063
SHARES VALUE (NOTE 1)
PMR Corp. (a) 100 $ 1,150
PacifiCare Health Systems, Inc.
Class B (a) 500 31,250
Paracelsus Healthcare Corp. (a) 300 938
Paragon Health Network, Inc. 300 5,588
Pediatric Services of America, Inc. (a) 100 2,000
Pediatrix Medical Group (a) 300 12,375
PhyMatrix Corp. (a) 200 2,613
Phycor, Inc. (a) 800 20,575
Physician Reliance Network, Inc. (a) 400 4,775
Physicians Resource Group, Inc. (a) 200 763
ProMedCo Management Co. (a) 100 1,263
Psychemedics Corp. 200 1,125
Quest Diagnostics, Inc. (a) 200 3,100
Quorum Health Group, Inc. (a) 900 24,947
Raytel Medical Corp. (a) 100 888
Renex Corp. (a) 100 700
Renal Care Group, Inc. (a) 300 11,288
Res-Care, Inc. (a) 300 10,050
Response Oncology, Inc. (a) 200 1,550
Retirement Care Associates, Inc. (a) 100 850
RightCHOICE Managed Care, Inc.
Class A (a) 200 2,150
Safeguard Health Enterprises, Inc. (a) 200 1,850
Sheridan Healthcare, Inc. (a) 100 1,475
SIBIA Neurosciences, Inc. (a) 100 591
Sierra Health Services, Inc. (a) 200 7,325
SteriGenics International, Inc. (a) 100 1,850
Summit Care Corp. (a) 200 4,113
Sun Healthcare Group (a) 700 13,781
Sunrise Assisted Living, Inc. (a) 300 12,675
Syncor International Corp. (a) 100 1,513
Total Renal Care Holdings, Inc. (a) 1,000 32,188
TransWorld HealthCare, Inc. (a) 100 613
Trigon Healthcare, Inc. (a) 600 18,600
UniHolding Corp. 100 700
United Payors & United
Providers, Inc. (a) 100 2,700
Universal Health Services, Inc. Class B (a) 300 15,675
Urocor, Inc. (a) 100 688
Urologix, Inc. (a) 400 5,525
Vencor, Inc. (a) 800 22,950
Wellpoint Health Networks, Inc. (a) 600 35,063
706,942
TOTAL HEALTH 2,493,581
HOLDING COMPANIES - 0.2%
Leucadia National Corp. 500 18,875
Triarc Companies, Inc. Class A (a) 400 10,050
U.S. Industries, Inc. 1,000 27,875
56,800
INDUSTRIAL MACHINERY & EQUIPMENT - 3.2%
ELECTRICAL EQUIPMENT - 1.1%
Acme Electric Corp. (a) 100 538
Adflex Solutions (a) 200 3,550
Adtran, Inc. (a) 500 14,938
Advanced Lighting Technologies, Inc. (a) 300 8,063
Allen Telecom, Inc. (a) 200 3,488
American Power Conversion Corp. (a) 800 23,200
Alarmguard Holdings, Inc. (a) 100 962
American Superconductor Corp. (a) 100 1,450
AMETEK, Inc. 200 5,375
Andrea Radio Corp. (a) 100 1,488
Anicom, Inc. (a) 200 2,875
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
INDUSTRIAL MACHINERY & EQUIPMENT - CONTINUED
ELECTRICAL EQUIPMENT - CONTINUED
Anixter International, Inc. (a) 300 $ 5,175
Antec Corp. (a) 600 7,088
Applied Cellular Technology, Inc. (a) 500 2,375
Avid Technology, Inc. (a) 300 10,369
BMC Industries, Inc. 400 7,775
Baldor Electric Co. 266 6,883
California Microwave Corp. (a) 200 4,088
Cherry Corp. Class A (a) 100 1,650
Chicago Miniature Lamp, Inc. (a) 200 9,350
Computer Products, Inc. (a) 100 2,494
Cyberoptics Corp. (a) 200 5,350
Cymer, Inc. (a) 200 4,513
Detection Systems, Inc. (a) 100 1,019
Echostar Communications Corp.
Class A (a) 300 6,300
Electric Fuel Corp. (a) 100 275
Electro Rent Corp. (a) 100 4,050
Energy Conversion Devices, Inc. (a) 100 1,356
Excel Technology, Inc. (a) 400 4,350
Genlyte Group, Inc. (a) 100 1,913
Glenayre Technologies, Inc. (a) 400 4,625
Holophane Corp. (a) 100 2,425
Home Security, International, Inc. (a) 100 1,050
Hubbell, Inc. Class B 800 40,300
Hughes Supply, Inc. 300 10,406
IEC Electronics Corp. (a) 100 950
Innova Corp. 100 1,663
Juno Lighting, Inc. 200 3,900
Kuhlman Corp. 100 4,413
LSI Lighting Systems, Inc. 100 2,013
Littelfuse, Inc. (a) 300 8,475
MagneTek, Inc. (a) 400 7,100
Oak Industries, Inc. (a) 100 3,069
Omnipoint Corp. (a) 400 11,200
Ortel Corp. (a) 300 3,788
Owosso Corp. (a) 100 775
Pacific Scientific Co. 200 6,013
Pinnacle Systems (a) 200 6,025
Pittway Corp. Class A 100 7,100
Powerwave Technologies, Inc. (a) 300 4,838
Rofin Sinar Technologies, Inc. (a) 200 2,725
Roper Industries, Inc. 200 5,813
STM Wireless, Inc. Class A (a) 100 900
Satcon Technology Corp. (a) 100 1,288
Sensormatic Electronics Corp. 900 16,763
Smith (A.O.) Corp. Class B 100 4,350
Spectrain Corp. (a) 100 1,800
Telular Corp. (a) 300 928
Thomas Industries, Inc. 150 3,544
Titan Corp. (a) 100 606
Transcrypt International, Inc. (a) 200 3,350
Unique Mobility, Inc. (a) 100 863
VWR Corp. (a) 200 6,900
Viasat, Inc. (a) 300 4,894
Vicor Corp. (a) 300 8,475
Woodhead Industries, Inc. 100 1,900
Woodward Governor Co. 100 2,800
Zenith Electronics Corp. (a) 900 5,963
Zoltek Cos. Inc. (a) 300 10,950
367,240
SHARES VALUE (NOTE 1)
INDUSTRIAL MACHINERY & EQUIPMENT - 1.4%
AGCO Corp. 800 $ 22,500
ATMI, Inc. (a) 300 8,325
Alamo Group, Inc. 100 1,813
Allied Products Corp. 100 2,294
Alyn Corp. (a) 100 1,000
Applied Industrial Technologies, Inc. 200 5,200
Applied Power, Inc. Class A 400 14,400
Arguss Holdings, Inc. (a) 100 1,769
Astec Industries, Inc. (a) 100 1,813
Asyst Technologies, Inc. (a) 100 2,725
Autologic Information International,
Inc. (a) 100 850
Baldwin Technology, Inc. Class A (a) 100 550
BOLDER Technologies Corp. (a) 100 800
Bridgeport Machines, Inc. (a) 100 1,075
Brooks Automation, Inc. (a) 100 1,769
Brown & Sharpe Manufacturing Co.
Class A (a) 100 1,000
CMI Corp. Oklahoma Class A 200 988
CTB International Corp. (a) 100 1,425
CUNO, Inc. (a) 200 3,850
Cascade Corp. 100 1,556
Columbus McKinnon Corp. 100 2,325
Commercial Intertech Corp. (a) 100 1,956
Control Devices, Inc. (a) 100 1,700
Crescent Operating, Inc. 100 1,988
Culligan Water Technologies, Inc. (a) 300 17,288
DT Industries, Inc. 100 3,525
Detroit Diesel Corp. (a) 200 4,300
Donaldson Co., Inc. (a) 400 9,525
ESCO Electronics Corp. (trust receipt) (a) 100 1,725
ESSEF Industries Inc. (a) 110 1,774
EMCORE Corp. (a) 100 1,325
Exide Corp. 300 6,656
FEI Co. (a) 100 1,300
FSI International, Inc. (a) 200 2,700
Fansteel Inc. 100 713
Farr Co. (a) 100 1,588
Fedders Corp. 200 1,175
Ferrofluidics Corp. (a) 100 575
Flow International Corp. (a) 100 975
Flowserve Corp. 300 9,506
Gardner Denver Machinery, Inc. (a) 150 4,022
Gasonics International Corp. (a) 100 1,463
Gehl Co. (a) 100 2,113
Gleason Corp. 100 3,338
Global Industrial Technologies, Inc. (a) 200 3,138
Gorman Rupp Co. 100 1,963
Graco, Inc. 150 4,425
Geadall Industries, Inc. (a) 100 1,700
Greenbrier Companies, Inc. 100 1,588
Hardinge, Inc. 100 3,375
IDEX Corp. 200 6,838
Imo Industries, Inc. (a) 100 613
Industrial Distribution Group, Inc. 100 1,813
Ionics, Inc. (a) 200 8,600
JLK Direct Distribution, Inc. Class A (a) 100 3,750
JLG Industries, Inc. 300 4,688
Kaman Corp. Class A 300 5,175
Kaydon Corp. 300 11,156
Kennametal, Inc. 300 15,788
Key Technology, Inc. (a) 100 1,100
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
INDUSTRIAL MACHINERY & EQUIPMENT - CONTINUED
INDUSTRIAL MACHINERY & EQUIPMENT - CONTINUED
Lancer Corp. (a) 100 $ 1,125
Lawson Products, Inc. 100 2,775
Lincoln Electric Class A (non-vtg.) 200 7,600
Lindsay Manufacturing Co. 100 4,188
MSC Industrial Direct, Inc. (a) 300 14,344
MTS Systems Corp. 200 3,263
Manitowoc Co., Inc. 300 11,831
Mattson Technology, Inc. (a) 200 1,875
Middleby Corp. (a) 100 706
NN Ball & Roller, Inc. 100 1,063
Nordson Corp. 100 4,863
Osmonics, Inc. (a) 100 1,656
PRI Automation, Inc. 200 6,956
Park Ohio Industries, Inc. (a) 100 1,775
PEC Israel Economic Corp. (a) 100 2,019
Plasma-Therm, Inc. (a) 100 838
PressTek, Inc. (a) 200 5,075
Recovery Engineering, Inc. (a) 100 2,700
Regal-Beloit Corp. 200 6,500
Robbins & Myers, Inc. 200 7,925
Robotic Vision Systems, Inc. (a) 200 2,638
Scottsman Industries, Inc. 100 2,938
Semitool, Inc. (a) 100 1,375
Specialty Equipment Companies, Inc. (a) 100 1,788
Speizman Industries, Inc. (a) 100 669
Stewart & Stevenson Services, Inc. 500 12,219
Strategic Distribution, Inc. (a) 200 1,100
Tennant Co. 100 3,638
Terex Corp. (a) 300 7,163
Thermadyne Holdings Corp. (a) 100 3,394
Thermo Fibertek, Inc. (a) 500 6,281
Thermo Sentron, Inc. (a) 100 1,081
Tokheim Corporation (a) 100 1,825
Toro Co. 100 4,013
Trident International, Inc. (a) 100 1,625
Trikon Technologies, Inc. (a) 300 375
TurboChef, Inc. (a) 100 963
UCAR International, Inc. (a) 600 20,663
Ultratech Stepper, Inc. (a) 300 6,825
Unit Instruments, Inc. (a) 100 975
United States Filter Corp. (a) 1,100 37,331
UNOVA, Inc. 700 13,388
Valmont Industries, Inc. 200 4,475
Varlen Corp. 150 4,744
Veeco Instruments, Inc. (a) 200 6,925
Waterlink, Inc. (a) 100 1,563
Watkins-Johnson Co. 100 2,706
Watts Industries, Inc. Class A 200 6,013
Western Power & Equipment Corp. (a) 100 613
483,350
POLLUTION CONTROL - 0.7%
Allied Waste Industries, Inc. (a) 800 17,200
American Disposal Services, Inc. (a) 300 11,138
American Waste Services, Inc. Class A (a) 1,300 4,875
Aquagenix, Inc. (a) 100 613
BHA Group, Inc. Class A (a) 100 1,900
CET Environmental Services, Inc. (a) 100 638
Calgon Carbon Corp. 300 3,900
Dames & Moore, Inc. 100 1,288
Eastern Environmental Services, Inc. (a) 400 9,450
Flanders Corp. (a) 200 1,350
SHARES VALUE (NOTE 1)
GNI Group, Inc. (a) 100 $ 656
GTS Duratek, Inc. (a) 100 1,250
Instituform Technologies, Inc. (a) 200 1,850
International Technology Corp. (a) 100 994
Laidlaw Environmental Services, Inc. (a) 1,000 4,813
Med/Waste, Inc. (a) 100 519
Met-Pro Corp. 100 1,538
OHM Corp. (a) 200 2,575
Ogden Corp. 700 19,250
Recycling Industries, Inc. (a) 200 1,225
Stericycle, Inc. (a) 100 1,300
Superior Services, Inc. (a) 200 5,288
TETRA Technologies, Inc. (a) 100 2,413
TETRA Tech, Inc. (a) 125 2,781
Thermo Instrument Systems, Inc. (a) 1,000 35,125
USA Waste Services, Inc. (a) 2,000 83,250
Waste Industries, Inc. 100 1,763
Wheelabrator Technologies, Inc. 1,600 26,100
Zurn Industries, Inc. 100 4,388
249,430
TOTAL INDUSTRIAL MACHINERY & EQUIPMENT 1,100,020
MEDIA & LEISURE - 6.5%
BROADCASTING - 1.9%
Ackerley Communications, Inc. 100 1,906
Adelphia Communications Class A (a) 100 2,575
American Mobile Satellite Corp. (a) 100 847
American Radio Systems Corp.
Class A (a) 300 17,925
Ascent Entertainment Group, Inc. (a) 500 5,375
@ Entertainment, Inc. 200 2,200
BHC Communications, Inc. Class A 200 27,600
BET Holdings, Inc. Class A (a) 100 5,456
CD Radio, Inc. (a) 300 4,763
Cablevision Systems Corp. Class A (a) 100 9,775
CellularVision USA, Inc. (a) 100 556
Century Communications Corp.
Class A (a) 500 5,094
Chancellor Media Corp. (a) 1,100 49,225
Chris-Craft Industries, Inc. 400 22,325
Cox Communications, Inc. Class A (a) 2,400 92,550
Cox Radio, Inc. Class A (a) 100 4,300
Emmis Broadcasting Corp. Class A (a) 200 9,900
Gaylord Entertainment Co. 200 6,800
Granite Broadcasting Corp. (a) 100 1,181
Hearst-Argyle Television, Inc. (a) 200 7,025
Heftel Broadcasting Corp. Class A (a) 400 18,950
HighwayMaster Communications, Inc. (a) 200 1,363
Jacor Communications, Inc. Class A (a) 500 28,938
Jones Intercable, Inc. Class A (a) 500 8,500
Lin Television Corp. (a) 400 22,050
Lodgenet Entertainment Corp. (a) 100 1,100
Metromedia International Group, Inc. (a) 800 9,100
NTL, Inc. (a) 400 13,300
Orion Network Systems, Inc. (a) 100 1,800
PanAmSat Corp. (a) 200 10,625
Paxson Communications Corp. (a) 300 2,681
SFX Broadcasting, Inc. (a) 100 9,200
Scripps E.W. Co. Class A 700 37,144
Smartalk Teleservices, Inc. (a) 300 10,088
TCA Cable TV, Inc. 400 19,700
TCI Music, Inc. Class A (a) 100 775
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
MEDIA & LEISURE - CONTINUED
BROADCASTING - CONTINUED
TCI Satellite Entertainment, Inc.:
Class A (a) 1,100 $ 7,356
Class B (a) 100 600
Tele-Communications International, Inc.,
Series A (a) 1,300 23,075
Tele-Communications, Inc. (TCI Ventures
Group), Series A (a) 3,900 60,206
Telemundo Group, Inc. Class A (a) 200 8,400
USA Networks, Inc. (a) 500 25,750
United International Holdings, Inc.
Class A (a) 200 2,913
U.S. Satellite Broadcasting Co., Inc.
Class A (a) 1,000 8,563
United Television Inc. 100 10,688
United Video Satellite Group A (a) 200 7,400
Univision Communications, Inc.
Class A (a) 400 15,350
Westwood One, Inc. (a) 200 6,200
Young Broadcasting, Inc. Class A (a) 200 8,850
658,043
ENTERTAINMENT - 0.9%
AMC Entertainment, Inc. (a) 100 2,575
American Classic Voyages Co. (a) 200 4,600
Ameristar Casinos, Inc. (a) 100 550
AMF Bowling, Inc. 500 12,000
Bally Total Fitness Holding Corp. (a) 100 2,738
Carmike Cinemas, Inc. Class A (a) 300 9,169
Carnival Cruise Lines, Inc. Class A 2,800 164,850
Cedar Fair L.P. (depositary unit) 300 7,838
Family Golf Centers, Inc. (a) 200 6,725
Florida Panthers Holdings, Inc.
Class A (a) 200 4,300
Harveys Casino Resorts 200 5,775
MGM Grand, Inc. (a) 700 25,288
Multimedia Games, Inc. (a) 300 3,000
On Command Corp. (a) 200 2,675
Pixar (a) 500 18,500
Powerhouse Technologies, Inc. 100 1,313
Premier Parks, Inc. (a) 100 5,238
Quintel Entertainment, Inc. (a) 100 613
Regal Cinemas, Inc. (a) 500 14,781
Scientific Games Holdings Corp. (a) 100 2,050
Spelling Entertainment Group, Inc. (a) 600 5,400
Sports Club, Inc. (a) 100 919
Ticketmaster Group, Inc. (a) 200 5,275
Vail Resorts, Inc. 200 5,400
Zomax Optical Media, Inc. (a) 100 1,375
312,947
LEISURE DURABLES & TOYS - 0.5%
Ag-Chem Equipment, Inc. (a) 100 1,550
Aldila, Inc. (a) 300 1,406
Arctic Cat, Inc. 300 3,000
Authentic Fitness Corp. 200 4,200
Bell Sports Corp. (a) 200 1,750
Callaway Golf Co. 900 29,025
Champion Enterprises, Inc. (a) 300 7,538
Coachmen Industries, Inc. 300 8,569
Coastcast Corp. (a) 100 2,075
Coleman, Inc. (a) 400 8,250
SHARES VALUE (NOTE 1)
Excelsior-Henderson Motorcycle
Manufacturing Co. (a) 100 $ 563
Galoob (Lewis) Toys, Inc. (a) 100 869
Harley-Davidson, Inc. 1,300 37,700
Huffy Corp. 100 1,519
JAKKS Pacific, Inc. (a) 100 938
K2, Inc. 100 2,013
Knickerbocker (LL), Inc. (a) 100 594
National R V Holdings, Inc. (a) 200 7,325
PTI Holdings, Inc. (a) 100 906
Play-By-Play Toys & Novelties, Inc. (a) 200 4,025
Polaris Industries, Inc. 500 16,438
Rawlings Sporting Goods, Inc. (a) 200 2,375
RockShox, Inc. (a) 100 725
Russ Berrie & Co., Inc. 200 5,575
Silicon Gaming, Inc. (a) 100 963
Steinway Musical Instruments, Inc. (a) 100 2,706
T-HQ, Inc. (a) 200 5,625
Thor Industries, Inc. 100 3,988
Toy Biz, Inc. Class A (a) 200 1,800
Toymax International, Inc. (a) 100 769
West Marine, Inc. (a) 300 8,231
Winnebago Industries, Inc. 200 2,400
175,410
LODGING & GAMING - 1.2%
American General Hospitality Corp. 100 2,700
Ampal-American Israel Corp. Class A (a) 100 500
Anchor Gaming (a) 100 6,800
Aztar Corp. (a) 900 7,650
Bally's Grand, Inc. (a) 100 5,094
Boyd Gaming Corp. (a) 400 3,175
Bristol Hotel Co. (a) 300 7,538
Buckhead America Corp. (a) 100 700
CapStar Hotel Co. (a) 400 13,500
Chartwell Leisure, Inc. (a) 100 1,800
Circus Circus Enterprises, Inc. (a) 1,000 22,000
Dover Downs Entertainment, Inc. 200 5,400
Extended Stay America, Inc. (a) 1,000 14,000
Grand Casinos, Inc. (a) 300 4,575
Gtech Holdings Corp. (a) 600 21,188
Hammons (John Q.) Hotels, Inc.
Class A (a) 100 788
Hollywood Park, Inc. (a) 200 2,975
Host Marriott Corp. (a) 2,300 45,569
International Game Technology Corp. 1,000 24,250
International Speedway Corp. Class A 200 5,600
Interstate Hotels Co. (a) 400 13,700
La Quinta Motor Inns, Inc. 1,000 21,250
Marcus Corp. 250 4,266
Meditrust Corp. 1,160 35,670
Penn National Gaming, Inc. (a) 100 1,006
Penske Motorsports, Inc. (a) 100 3,013
Players International, Inc. (a) 500 2,219
Primadonna Resorts, Inc. (a) 500 7,500
Prime Hospitality Corp. (a) 360 6,840
Promus Hotel Corp. (a) 800 38,600
Red Roof Inns, Inc. (a) 200 3,588
Rio Hotel & Casino, Inc. (a) 400 11,375
Servico, Inc. (a) 200 3,425
Sholodge, Inc. (a) 100 1,263
Showboat, Inc. 200 5,938
Speedway Motorsports (a) 300 8,063
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
MEDIA & LEISURE - CONTINUED
LODGING & GAMING - CONTINUED
Station Casinos, Inc. (a) 600 $ 8,475
Suburban Lodges of America, Inc. (a) 300 5,325
Supertel Hospitality, Inc. (a) 100 1,075
Trump Hotels & Casino Resorts, Inc. (a) 500 5,188
US Franchise Systems, Inc. Class A (a) 100 1,175
WMS Industries, Inc. 400 10,650
395,406
PUBLISHING - 1.1%
ACNielsen Corp. (a) 800 20,000
American Media, Inc. Class A (a) 100 750
Applied Graphics Technologies, Inc. (a) 200 11,825
Banta Corp. 500 14,875
Belo (A.H.) Corp. Class A 500 27,375
Central Newspapers, Inc. Class A 300 21,431
Franklin Covey Co. (a) 200 4,875
Gibson Greetings, Inc. (a) 400 8,800
Golden Books Family Entertainment,
Inc. (a) 400 4,700
Harte Hanks Communicatons, Inc. 300 13,031
Hollinger International, Inc. Class A 1,200 19,275
Houghton Mifflin Co. 500 15,875
Journal Register Co. 400 7,925
Lee Enterprises, Inc. 300 9,300
McClatchy Newspapers, Inc. Class A 300 8,231
Media General, Inc. Class A 200 9,400
Nelson Thomas, Inc. 100 1,250
Pacific Chemical, Inc. (a) 100 900
Playboy Enterprises, Inc. Class B (a) 100 1,600
PRIMEDIA, Inc. (a) 1,400 19,338
Pulitzer Publishing Co. 200 16,800
Reader's Digest Association, Inc. (The)
Class A (non-vtg.) 1,300 34,531
Scholastic Corp. (a) 300 11,888
Standex International Corp. 100 3,106
Washington Post Co. Class B 100 49,350
Waverly, Inc. 100 3,875
Wiley (John) & Sons, Inc. Class A 100 4,956
World Color Press, Inc. (a) 300 9,694
354,956
RESTAURANTS - 0.9%
Apple South, Inc. 700 9,538
Applebee's International, Inc. 500 11,500
ARK Restaurants Corp. (a) 100 1,175
Au Bon Pain, Inc. Class A (a) 100 838
Back Bay Restaurant Group, Inc. (a) 100 625
Benihana, Inc. Class A (a) 100 1,194
Bertucci's, Inc. (a) 100 769
Big Buck Brewery & Steakhouse, Inc. (a) 100 575
Bob Evans Farms, Inc. 700 14,394
Boston Chicken, Inc. (a) 900 6,244
Brinker International, Inc. (a) 500 10,438
Buffets, Inc. (a) 300 3,169
CKE Restaurants, Inc. 430 18,248
Chart House Enterprises, Inc. (a) 100 688
Cheesecake Factory, Inc. (a) 100 3,225
Consolidated Products, Inc. (a) 125 2,156
Cooker Restaurant Corp. 100 906
Cracker Barrel Old Country Store, Inc. 800 32,350
Dave & Busters, Inc. (a) 300 7,350
DavCo Restaurants, Inc. (a) 100 1,975
SHARES VALUE (NOTE 1)
Elxsi Corp. (a) 100 $ 1,350
Einstein / Noah Bagel Corp. (a) 200 988
Fine Host Corp. (a) 100 200
Foodmaker, Inc. (a) 300 5,456
Frisch's Restaurants, Inc. 100 1,225
GB Foods Corp. (a) 100 913
Garden Fresh Restaurant Corp. (a) 100 1,700
Host Marriott Services Corp. (a) 200 2,675
IHOP Corp. (a) 100 3,588
Il Fornaio America Corp. 100 1,363
J. Alexander's Corp. (a) 100 500
Koo Koo Roo, Inc. (a) 900 1,378
Landry's Seafood Restaurants, Inc. (a) 400 10,600
Logan's Roadhouse, Inc. (a) 200 4,250
Lone Star Steakhouse Saloon (a) 600 12,638
Luby's Cafeterias, Inc. 200 3,475
Max & Erma's Restaurants, Inc. (a) 100 600
Morrison Health Care, Inc. 100 2,000
Morton's Restaurant Group, Inc. (a) 100 2,175
NPC International, Inc. (a) 200 2,300
New World Coffee, Inc. (a) 300 394
O Charleys, Inc. (a) 100 1,938
Outback Steakhouse, Inc. (a) 300 10,725
Papa John's International, Inc. (a) 400 14,850
Piccadilly Cafeterias, Inc. 100 1,238
PJ America, Inc. (a) 100 1,713
Planet Hollywood International, Inc.
Class A (a) 700 7,044
Pollo Tropical, Inc. (a) 100 875
Rainforest Cafe, Inc. (a) 450 7,425
Rare Hospitality International, Inc. (a) 200 1,975
Rock Bottom Restaurants, Inc. (a) 100 647
Ruby Tuesday, Inc. 100 2,613
Ryan's Family Steak Houses, Inc. (a) 1,100 9,109
Sbarro, Inc. 400 11,800
Scholtzsky's, Inc. (a) 300 5,625
Shells Seafood Restaurants, Inc. (a) 100 900
ShowBiz Pizza Time, Inc. (a) 300 8,700
Skyline Chili, Inc. (a) 100 656
Sonic Corp. (a) 100 2,925
Spaghetti Wareshouse, Inc. (a) 100 613
Star Buffet, Inc. 100 1,475
Starbucks Corp. (a) 900 35,606
Total Entertainment Restaurant Corp. (a) 100 625
Unique Casual Restaurants, Inc. (a) 100 613
Uno Restaurant Corp. (a) 100 650
VICORP Restaurants, Inc. (a) 100 1,725
319,190
TOTAL MEDIA & LEISURE 2,215,952
NONDURABLES - 3.0%
AGRICULTURE - 0.1%
Andersons, Inc. 100 888
DEKALB Genetics Corp. Class B 400 26,875
Delta & Pine Land Co. 266 10,091
Michael Foods, Inc. 200 5,075
Northland Cranberries, Inc. Class A 400 5,250
Tejon Ranch Co. 100 2,994
51,173
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
NONDURABLES - CONTINUED
BEVERAGES - 0.6%
Beringer Wine Estates Holdings, Inc.
Class B (a) 200 $ 8,125
Boston Beer, Inc. (a) 200 1,888
Canadaigua Wine Co. Class A (a) 200 11,150
Celestial Seasonings, Inc. (a) 100 3,725
Coca-Cola Bottling Co. Consolidated 100 5,975
Coca-Cola Enterprises, Inc. 3,700 122,331
M & F Worldwide Corp. (a) 300 2,531
Midwest Grain Products, Inc. (a) 100 1,350
Mondavi (Robert) Corp. Class A (a) 200 8,300
National Beverage Corp. (a) 100 988
Pepsi-Cola Puerto Rico Bottling Co.
Class B (a) 100 638
Pete's Brewing Co. (a) 200 875
Whitman Corp. 1,300 23,156
191,032
FOODS - 1.2%
American Italian Pasta Co. Series A 300 8,981
Ben & Jerry's Homemade, Inc. Class A (a) 100 1,794
Bridgford Foods Corp. 100 1,250
Chiquita Brands International, Inc. 900 12,094
Chock Full-O-Nuts Corp. (a) 100 719
Darling International, Inc. (a) 100 813
Dean Foods Co. 500 27,500
Dole Food, Inc. (a) 700 38,019
Dreyer's Grand Ice Cream, Inc. 200 4,525
Earthgrains Co. 200 8,663
Flowers Industries, Inc. 1,100 27,981
Gardenburger, Inc. (a) 100 931
Golden Enterprises, Inc. 100 663
Hormel (George A) & Co. 600 22,275
IBP, Inc. 1,200 26,775
Imperial Holly Corp. 262 2,293
International Multifoods Corp. 200 5,588
Interstate Bakeries Corp. 700 23,450
J & J Snack Foods Corp. (a) 100 1,563
Lancaster Colony Corp. 550 24,200
Lance, Inc. 200 4,650
McCormick & Co., Inc. (non-vtg.) 1,000 28,688
Nabisco Holdings Corp. Class A 600 28,313
Opta Foods Ingredients, Inc. (a) 100 481
Orange-Co, Inc. 100 688
Pilgrims Pride Corp. 200 2,150
Ralcorp Holdings, Inc. (a) 200 3,388
Riviana Foods, Inc. 100 2,188
Sanderson Farms, Inc. 100 1,088
Smithfield Foods, Inc. (a) 500 15,813
Smucker (J.M.) Co. 200 5,325
Suiza Foods Corp. (a) 185 11,990
TCBY Enterprises, Inc. 200 1,775
Tasty Baking Co. 100 1,956
Tootsie Roll Industries, Inc. 100 7,463
Tyson Foods, Inc. 2,020 39,390
U.S. Liquids, Inc. (a) 100 1,800
Universal Foods Corp. 400 18,000
WLR Foods, Inc. 100 700
WSMP, Inc. (a) 38 684
Worthington Foods, Inc. 100 1,363
417,970
SHARES VALUE (NOTE 1)
HOUSEHOLD PRODUCTS - 0.6%
Alliance Gaming Corp. (a) 700 $ 4,113
American Safety Razor Co. (a) 300 6,863
Aptargroup, Inc. 300 17,306
Block Drug, Inc. Class A (non-vtg.) 203 8,551
Brady (W.H.) Co. Class A 200 6,600
Church & Dwight Co., Inc. 100 2,869
CyclOPSS Corp. (a) 400 813
Dial Corp. 1,300 30,794
Ekco Group, Inc. (a) 100 738
Enamelon, Inc. (a) 300 4,163
First Brands Corp. 300 7,725
French Fragrances, Inc. (a) 400 5,000
Estee Lauder Companies, Inc. 700 40,950
Nu Skin Asia Pacific, Inc. Class A (a) 300 6,806
Paragon Trade Brands, Inc. (a) 100 506
Playtex Products, Inc. (a) 400 5,650
Premark International, Inc. 500 15,563
Racing Champions Corp. 100 1,088
Revlon, Inc. Class A (a) 100 4,694
Safeskin Corp. (a) 200 12,275
Stanhome, Inc. 400 11,550
Tristar Corp. (a) 100 1,025
USA Detergents, Inc. (a) 100 1,288
Ultralife Batteries, Inc. (a) 100 1,538
West, Inc. 100 3,169
Windmere-Durable Holdings, Inc. 100 2,750
York Group, Inc. 500 8,250
212,637
TOBACCO - 0.5%
Consolidated Cigar Holdings, Inc.
Class A (a) 500 11,594
Dimon, Inc. 300 5,250
General Cigar Holdings, Inc. Class A 500 8,313
RJR Nabisco Holdings Corp. 3,000 103,688
Schweitzer-Mauduit International, Inc. 300 9,975
Standard Commercial Corp. 100 1,550
Swisher International Group, Inc.
Class A (a) 100 1,431
Universal Corp. 500 23,750
165,551
TOTAL NONDURABLES 1,038,363
PRECIOUS METALS - 0.3%
Amax Gold, Inc. (a) 1,800 4,950
Coeur d'Alene Mines Corp. (a) 600 6,825
Echo Bay Mines Ltd. (a) 2,600 5,296
Getchell Gold Corp. (a) 400 7,450
Golden Cycle Gold Corp. (a) 100 500
Hecla Mining Co. (a) 1,100 6,600
Newmont Gold Co. 1,900 55,575
Pegasus Gold, Inc. (a) 500 253
Royal Oak Mines, Inc. (a) 1,000 1,299
Stillwater Mining Co. (a) 200 4,300
93,048
RETAIL & WHOLESALE - 4.7%
APPAREL STORES - 0.6%
Abercrombie & Fitch Co. (a) 200 6,900
American Eagle Outfitters, Inc. (a) 150 4,444
AnnTaylor Stores Corp. (a) 400 5,675
Baker (J.), Inc. (a) 100 606
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
RETAIL & WHOLESALE - CONTINUED
APPAREL STORES - CONTINUED
Big Dog Holdings, Inc. 100 $ 625
BON-TON Stores, Inc. (a) 100 1,425
Brown Group, Inc. 200 2,975
Buckle, Inc. (The) (a) 100 4,113
Burlington Coat Factory Warehouse
Corp. (a) 400 6,075
Catherines Stores Corp. (a) 100 719
Cato Corp. Class A 200 2,650
Chicos Fas, Inc. (a) 100 706
Children's Place Retail Stores, Inc. 200 1,438
Claire's Stores, Inc. 700 12,600
Kenneth Cole Productions, Inc.
Class A (a) 100 1,800
Deb Shops, Inc. 100 738
Dress Barn, Inc. (a) 200 5,838
Ellett Brothers, Inc. 100 613
Filene's Basement Corp. (a) 100 531
Footstar, Inc. (a) 400 12,000
Genesco, Inc. (a) 200 2,750
Goody's Family Clothing (a) 100 3,750
Guess, Inc. (a) 300 1,631
Gymboree Corp. (a) 400 10,750
Hibbett Sporting Goods, Inc. (a) 200 5,700
Jos A Bank Clothiers, Inc. (a) 100 675
Just for Feet, Inc. (a) 200 3,388
K&G Men's Center, Inc. (a) 100 2,000
Loehmanns, Inc. (a) 100 353
Men's Wearhouse, Inc. (The) (a) 300 10,838
Norton McNaughton, Inc. (a) 100 569
Paul Harris Stores, Inc. (a) 300 2,644
Payless ShoeSource, Inc. (a) 300 20,175
Ross Stores, Inc. 400 15,750
Saks Holdings, Inc. (a) 800 20,900
Shoe Carnival, Inc. (a) 100 1,063
Stage Stores, Inc. (a) 200 8,400
Syms Corp. (a) 100 1,363
Talbots, Inc. 200 3,563
Track 'n Trail, Inc. (a) 100 600
Urban Outfitters, Inc. (a) 100 1,913
VSI Holdings, Inc. (a) 100 631
Wet Seal, Inc. Class A (a) 300 9,206
Wilsons Leather Experts, Inc. (a) 100 925
202,008
APPLIANCE STORES - 0.0%
Cellstar Corp. (a) 200 6,463
Hirsch International Corp. Class A (a) 100 1,038
7,501
DRUG STORES - 0.2%
Arbor Drugs, Inc. 850 19,975
Buttrey Food & Drug Stores Co. (a) 100 1,525
General Nutrition Companies, Inc. (a) 900 35,775
Genovese Drug Stores, Inc. Class A 110 1,987
Vitalink Pharmacy Services, Inc. (a) 200 4,200
63,462
GENERAL MERCHANDISE STORES - 0.9%
Ames Department Stores (a) 200 3,125
BJ'S Wholesale Club, Inc. 500 16,938
Cost Plus, Inc. (a) 200 4,913
Dollar General Corp. 1,000 46,125
SHARES VALUE (NOTE 1)
Dollar Tree Stores (a) 500 $ 21,688
Ezcorp, Inc. Class A (non-vtg.) (a) 100 1,025
Factory Card Outlet Corp. (a) 100 850
Family Dollar Stores, Inc. 700 24,938
Freds, Inc. Class A 125 3,195
Gottschalks, Inc. (a) 100 819
Homebase, Inc. 300 2,100
Hot Topic, Inc. (a) 100 2,500
Kohls Corp. (a) 700 56,131
Lechters, Inc. (a) 300 1,463
Mazel Stores, Inc. (a) 100 1,706
Meyer (Fred), Inc. (a) 700 31,106
Michaels Stores, Inc. (a) 400 13,600
Neiman-Marcus Group, Inc. (a) 500 18,594
99 Cents Only Stores (a) 125 4,813
Party City Corp. 250 6,813
Phar-Mor, Inc. (a) 100 1,038
Proffitts, Inc. (a) 775 26,253
Service Merchandise Co., Inc. (a) 2,300 5,319
Shopko Stores, Inc. (a) 200 5,263
Southland Corp. (a) 2,200 4,263
Stein Mart, Inc. (a) 400 12,925
Value City Department Stores, Inc. (a) 200 2,225
319,728
GROCERY STORES - 1.1%
Central Garden & Pet Co. (a) 400 13,900
Dominick's Supermarkets, Inc. (a) 300 13,650
Fleming Companies, Inc. 700 12,469
Food Lion, Inc. Class A 5,300 53,497
Hain Food Group, Inc. (a) 300 4,275
Hannaford Brothers Co. 600 25,313
Ingles Markets, Inc. Class A 100 1,250
JP Foodservice, Inc. (a) 455 15,043
Marsh Supermarkets, Inc. Class B 100 1,556
Nash Finch Co. 100 1,938
Penn Traffic Co. (a) 100 506
Performance Food Group Co. (a) 100 1,850
Pizza Inn, Inc. 100 531
Quality Food Centers, Inc. (a) 300 25,088
Richfood Holdings, Inc. Class A 300 8,531
Ruddick Corp. 300 5,438
Safeway, Inc. (a) 4,600 160,425
Schultz Sav-O Stores, Inc. 100 1,525
Smart & Final, Inc. 200 3,888
United National Foods, Inc. (a) 100 2,719
Weis Markets, Inc. 300 10,556
Whole Foods Market, Inc. (a) 300 18,356
Wild Oats Markets, Inc. (a) 250 8,422
390,726
RETAIL & WHOLESALE, MISCELLANEOUS - 1.9%
AC Moore Arts & Crafts, Inc. 100 1,425
Action Performance Companies, Inc. (a) 300 11,063
AgriBioTech, Inc. (a) 200 2,888
Amazon Com, Inc. 300 23,100
AmeriGas Partners L P 100 2,606
Barnes & Noble, Inc. (a) 600 21,075
Bed Bath & Beyond, Inc. (a) 600 25,913
Best Buy Co., Inc. (a) 400 23,850
Big Entertainment, Inc. (a) 100 516
Blair Co. 100 2,138
Boise Cascade Office Products Corp. (a) 500 9,031
Books-A-Million, Inc. (a) 100 625
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
RETAIL & WHOLESALE - CONTINUED
RETAIL & WHOLESALE, MISCELLANEOUS - CONTINUED
Borders Group, Inc. (a) 600 $ 19,988
Brookstone, Inc. (a) 100 1,188
Brylane, Inc. 200 10,725
Building Material Holdings Corp. (a) 200 2,550
Cameron Ashley, Inc. (a) 100 1,600
Cannondale Corp. (a) 300 6,169
Coldwater Creek, Inc. (a) 100 4,150
Cole National Corp. Class A (a) 200 6,713
Cornerstone Propane Partners L.P. 100 2,144
Corporate Express, Inc. (a) 1,310 13,264
Creative Computers, Inc. (a) 100 1,200
DM Management (a) 200 3,775
Daisytek International Corp. (a) 200 9,500
Damark International, Inc. Class A (a) 100 1,250
dELiA*s, Inc. (a) 300 7,950
Eagle Hardware & Garden, Inc. (a) 500 9,469
800-JR Cigar, Inc. 200 4,550
Elcom International, Inc. (a) 200 1,175
Fabri-Centers of America, Inc.
Class A (a) 100 3,025
Ferrellgas Partners L.P. 200 4,375
Fingerhut Companies, Inc. 700 17,369
Finlay Enterprises, Inc. (a) 100 2,363
Finish Line, Inc. Class A (a) 400 6,550
Friedmans, Inc. Class A (a) 200 3,563
Gadzooks, Inc. (a) 200 5,600
Global Directmail Corp. (a) 300 6,488
Good Guys, Inc. (a) 100 750
Gulf South Medical Supply, Inc. (a) 100 3,613
Hancock Fabrics, Inc. 200 3,263
Handleman Co. (a) 300 2,025
Henry Schein, Inc. (a) 500 20,375
InterTan, Inc. (a) 100 506
Land's End, Inc. (a) 200 7,875
Lillian Vernon Corp. 100 1,738
Little Switzerland, Inc. (a) 100 772
Marks Brothers Jewelers, Inc. (a) 100 1,750
Metal Management, Inc. (a) 300 3,881
Metals USA, Inc. (a) 200 3,150
Micro Warehouse, Inc. (a) 600 8,250
Musicland Stores Corp. (a) 200 1,875
N2K, Inc. 300 7,688
National Media Corp. (a) 300 788
National Vision Associates Ltd. (a) 200 1,088
Natural Wonders, Inc. (a) 100 513
Officemax, Inc. (a) 1,500 25,031
Office Depot, Inc. (a) 1,400 38,588
ONSALE, Inc. (a) 300 8,606
PEAPOD, Inc. 100 488
Petco Animal Supplies, Inc. (a) 300 4,294
PETsMART, Inc. (a) 1,200 9,150
Pier 1 Imports, Inc. 800 21,400
SCP Pool Corp. 100 2,288
Sodak Gaming, Inc. (a) 200 1,525
Spiegel, Inc. Class A (a) 800 3,600
Sport Supply Group, Inc. 100 806
Sports Authority, Inc. (a) 600 7,988
Staples, Inc. (a) 2,200 46,475
Star Gas Partners L.P. 200 4,400
Sterling Vision, Inc. (a) 100 675
Sunglass Hut International, Inc. (a) 1,000 7,125
SHARES VALUE (NOTE 1)
Tiffany & Co., Inc. 500 $ 23,500
Tractor Supply Co. (a) 100 1,850
Trans World Entertainment Corp. (a) 200 5,513
Transmedia Network, Inc. 100 563
U.S.A. Floral Products, Inc. 200 4,775
U.S. Office Products Co. (a) 1,534 28,379
Viking Office Products, Inc. (a) 600 13,200
Williams-Sonoma, Inc. (a) 300 15,450
Wilmar Industries, Inc. (a) 100 2,281
Wolohan Lumber Co. 100 1,200
Zale Corp. (a) 400 11,125
641,098
TOTAL RETAIL & WHOLESALE 1,624,523
SERVICES - 4.1%
ADVERTISING - 0.2%
ADVO, Inc. (a) 500 12,219
CKS Group, Inc. (a) 200 3,800
CMG Information Services, Inc. (a) 100 4,788
HA-LO Industries, Inc. (a) 100 2,956
Lamar Advertising Co. Class A (a) 200 10,088
Metromail Corp. (a) 300 8,100
Outdoor Systems, Inc. (a) 1,350 40,247
Pharmaceutical Marketing Services
Corp. (a) 100 1,000
TMP Worldwide, Inc. (a) 200 4,800
87,998
EDUCATIONAL SERVICES - 0.1%
Apollo Group, Inc. Class A (a) 400 16,950
Childrens Comprehensive Services, Inc. (a) 100 1,863
Education Management Corp. (a) 300 9,675
ITT Educational Services, Inc. (a) 200 5,663
Mastering, Inc. (a) 100 1,088
Strayer Education, Inc. 100 3,300
Whitman Education Group, Inc. (a) 100 575
39,114
LEASING & RENTAL - 0.7%
Aaron Rents, Inc. Class A 100 1,950
Alrenco, Inc. (a) 100 1,700
AMERCO (a) 200 5,600
Avis Rent A Car, Inc. (a) 400 11,450
Budget Group, Inc. Class A (a) 400 12,475
Central Parking Corp. 150 6,525
Cort Business Services Corp. (a) 100 4,019
DVI Financial, Inc. (a) 100 1,919
GATX Corp. 200 15,500
Globe Business Resources, Inc. (a) 100 1,381
Hanover Compressor Co. 400 7,750
Hertz Corp. Class A 400 15,850
Hollywood Entertainment Corp. (a) 700 7,700
Interpool, Inc. (a) 200 2,850
Leasing Solutions, Inc. (a) 100 2,613
McGrath RentCorp. 100 2,188
Mitcham Industries, Inc. (a) 200 3,550
National Auto Credit, Inc. (a) 200 325
Rent-Way, Inc. (a) 300 7,350
Rental Service Corp. (a) 100 2,350
Renters Choice, Inc. (a) 200 5,000
Republic Industries, Inc. (a) 4,200 99,225
U.S. Rentals, Inc. 200 5,500
Vari-Lite International, Inc. (a) 100 1,225
225,995
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
SERVICES - CONTINUED
PRINTING - 0.4%
American Banknote Corp. (a) 100 $ 381
American Business Products, Inc. 100 2,275
Big Flower Holdings, Inc. (a) 200 5,375
Bowne & Co., Inc. 100 4,238
CSS Industries, Inc. (a) 100 3,525
Cadmus Communications Corp. 100 2,288
Champion Industries, Inc. 100 1,550
Consolidated Graphics, Inc. (a) 200 10,638
Cyrk, Inc. (a) 200 2,600
Devon Group, Inc. (a) 100 6,400
Ennis Business Forms, Inc. 100 1,063
Merrill Corp. 100 1,963
New England Business Service, Inc. 100 3,188
Paxar Corp. (a) 300 4,200
Reynolds & Reynolds Co. Class A 1,000 21,250
Standard Register Co. 200 6,825
United Stationers, Inc. (a) 200 11,975
Valassis Communications, Inc. (a) 500 19,063
Vestcom International, Inc. 100 1,000
Wallace Computer Services, Inc. 300 10,913
120,710
SERVICES - 2.7%
ABR Information Services, Inc. (a) 400 11,350
ABM Industries, Inc. 100 3,600
APAC Teleservices, Inc. (a) 400 5,900
Abacus Direct Corp. (a) 200 9,425
AccuStaff, Inc. (a) 900 25,425
Actrade International Ltd. (a) 300 3,506
Administaff, Inc. (a) 100 4,113
Advanced Health Corp. (a) 200 2,950
American ECO Corp. (a) 100 1,124
American Retirement Corp. 100 2,225
AMRESCO, Inc. (a) 300 10,125
Analytical Surveys, Inc. (a) 100 4,075
Angelica Corp. 100 2,306
Applied Analytical Industries, Inc. (a) 100 1,450
Assisted Living Concepts, Inc. (a) 100 1,863
Automobile Protection Corp. (a) 200 1,650
BA Merchant Services, Inc. Class A (a) 100 1,906
Berlitz International, Inc. (a) 100 2,594
Borg Warner Security Corp. (a) 200 3,650
Boron LePore & Associates, Inc. 100 3,350
Brookdale Living Communities, Inc. 300 6,300
CDI Corp. (a) 100 4,625
CPI Corp. 60 1,444
Capital Senior Living Corp. (a) 100 1,281
Caribiner International, Inc. (a) 400 13,450
Castle Dental Centers, Inc. 100 1,100
Catalina Marketing Corp. (a) 300 14,494
Chemed Corp. 100 3,950
Cintas Corp. 900 38,250
Coach USA, Inc. (a) 200 7,450
Coast Dental Services, Inc. (a) 100 2,475
Coinmach Laundry Corp. (a) 300 7,144
COMFORCE Corp. (a) 100 856
Complete Management, Inc. (a) 100 1,106
Computer Horizons Corp. (a) 300 15,656
Corestaff, Inc. (a) 400 12,475
Cornell Corrections, Inc. (a) 100 2,100
CorporateFamily Solutions, Inc. 200 4,550
SHARES VALUE (NOTE 1)
Corrections Corp. of America (a) 700 $ 26,775
Craig (Jenny), Inc. (a) 100 594
Data Processing Resources Corp. (a) 100 3,225
Day Runner, Inc. (a) 100 4,525
Devry, Inc. (a) 200 6,800
Embrex, Inc. (a) 100 550
Employee Solutions, Inc. (a) 100 525
Equity Corp. International (a) 400 8,400
FYI, Inc. (a) 100 2,438
Fluor Daniel GTI, Inc. (a) 100 944
Food Technology Services, Inc. (a) 100 309
G & K Services Inc. Class A 100 4,400
Gartner Group, Inc. Class A (a) 900 35,888
General Magnaplate Corp. 100 750
HCIA, Inc. (a) 100 1,369
Hagler Bailly, Inc. 100 2,463
Hall Kinion & Associates, Inc. 300 4,163
Insurance Auto Auctions, Inc. (a) 100 1,025
Interim Services, Inc. (a) 600 17,400
Iron Mountain, Inc. (a) 200 6,800
Judge Group, Inc. (a) 100 450
Kelly Services, Inc. Class A 300 10,688
Labor Ready, Inc. 300 8,138
Landauer, Inc. 100 2,894
Lason, Inc. (a) 100 3,388
Learning Tree International, Inc. (a) 200 4,375
Mac-Gray Corp. 100 1,700
Manpower, Inc. 1,000 42,188
Marketing Services Group, Inc. (a) 100 394
Maximus, Inc. 100 2,450
Mecklermedia Corp. (a) 100 2,725
Medaphis Corp. (a) 1,000 10,375
Media Arts Group, Inc. (a) 100 1,388
Medpartners, Inc. (a) 1,900 22,800
MemberWorks, Inc. (a) 300 9,000
Metzler Group, Inc. (a) 100 4,275
NCO Group, Inc. (a) 150 3,788
National Patent Development Corp. (a) 100 1,313
National Processing, Inc. (a) 300 3,488
Norrell Corp. 400 9,350
Nova Corp. (a) 200 5,400
Olsten Corp. 1,200 19,350
On Assignment, Inc. (a) 100 2,938
OrthAlliance, Inc. Class A (a) 100 1,288
PCA International, Inc. 100 2,200
PMT Services, Inc. (a) 700 12,425
Paymentech, Inc. (a) 300 4,950
Personnel Group of America, Inc. (a) 200 8,125
Pinkertons, Inc. (a) 100 2,300
Pittston Co. (Brinks Group) 300 11,588
Pre-Paid Legal Services, Inc. (a) 200 8,425
Precision Response Corp. (a) 400 3,675
Premier Technologies, Inc. (a) 400 12,550
Prime Medical Services, Inc. (a) 200 2,500
ProBusiness Services, Inc. 100 2,700
ProSoft I-Net Solutions, Inc. (a) 100 838
Protection One, Inc. 1,100 13,750
RTW, Inc. (a) 400 3,475
Regis Corp. 400 10,800
Renaissance Worldwide, Inc. (a) 300 17,813
Robert Half International, Inc. (a) 1,000 45,250
Rollins, Inc. 300 6,188
Romac International, Inc. (a) 200 4,925
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
SERVICES - CONTINUED
SERVICES - CONTINUED
Rural/Metro Corp. (a) 300 $ 10,238
SCB Computer Technology, Inc. (a) 100 1,975
SOS Staffing Services, Inc. (a) 400 8,200
Seattle FilmWorks, Inc. (a) 200 1,900
ServiceMaster Co. 1,600 43,400
Signature Resorts, Inc. (a) 500 10,375
Sitel Corp. (a) 400 4,050
Snyder Communications, Inc. (a) 600 24,638
Sotheby's Holdings, Inc. Class A 400 8,125
Source Services Corp. 300 7,913
Specialty Care Network, Inc. (a) 100 1,250
Staff Leasing, Inc. (a) 200 5,550
Staffmark, Inc. (a) 300 10,050
StarTek, Inc. (a) 100 925
Superior Consultant, Inc. (a) 100 3,688
Syntel, Inc. 200 5,400
Teletech Holdings, Inc. (a) 400 3,825
Thermolase Corp. WI (a) 300 2,438
True North Communications 300 7,744
Unifirst Corp. Massachusetts 100 2,713
Union Corp. (a) 200 6,275
Veterinary Centers of America, Inc. (a) 500 7,781
Vincam Group, Inc. (a) 150 3,900
Vision Twenty-One, Inc. (a) 100 950
Volt Informations Sciences, Inc. (a) 100 5,256
Wackenhut Corp. 100 2,344
Wackenhut Corrections Corp. (a) 200 5,700
Warrantech Corp. (a) 100 763
Western Staff Services, Inc. (a) 100 2,050
York Research Corp. 200 1,550
Youth Services International, Inc. (a) 100 1,525
Zebra Technologies Corp. Class A (a) 200 5,775
927,522
TOTAL SERVICES 1,401,339
TECHNOLOGY - 14.5%
COMMUNICATIONS EQUIPMENT - 1.3%
ADC Telecommunications, Inc. (a) 1,200 30,975
ACT Networks, Inc. (a) 100 988
ACE Commerce Corp. (a) 100 850
Advanced Fibre Communication, Inc. (a) 600 17,963
Applied Innovation, Inc. (a) 100 700
Applied Signal Technology, Inc. (a) 100 1,538
Applied Voice Technology, Inc. (a) 100 3,475
Ascend Communications, Inc. (a) 1,800 67,388
Aspect Telecommunications Corp. (a) 600 15,825
Brite Voice Systems, Inc. (a) 100 888
Broadband Technologies, Inc. (a) 500 3,219
Brooktrout Technology, Inc. (a) 100 1,575
CMC Industries (a) 100 988
C-Phone Corp. (a) 100 459
Centigram Communications Corp. (a) 100 1,344
Checkpoint Systems, Inc. 600 11,138
Ciena Corp. 1,000 41,938
Coherent Communications Systems
Corp. (a) 300 12,675
Comdial Corp. (a) 100 1,100
Coyote Network Systems, Inc. (a) 100 456
DSP Communications, Inc. (a) 300 5,306
Davox Corp. (a) 200 6,400
SHARES VALUE (NOTE 1)
Dialogic Corp. (a) 100 $ 4,338
Digital Link Corp. (a) 100 1,238
Dycom Industries, Inc. (a) 100 2,550
Dynatech Corp. (a) 200 9,575
Elcotel Inc. (a) 100 525
Excel Switching Corp. 500 10,625
General DataComm Industries, Inc. (a) 600 2,438
IAT Multimedia, Inc. (a) 100 425
IFR Systems, Inc. 150 3,038
IPC Information Systems, Inc. (a) 100 2,025
ITI Technologies, Inc. (a) 100 2,500
Inter-Tel, Inc. 200 4,425
InterDigital Communications Corp. (a) 400 1,600
Intermedia Communications, Inc. (a) 200 15,275
InterVoice, Inc. (a) 200 1,800
Jabil Circuit, Inc. (a) 300 15,788
Larscom, Inc. Class A (a) 100 863
Level One Communications, Inc. (a) 100 4,494
Lo Jack Corp. (a) 400 4,875
Metricom, Inc. (a) 100 1,075
Microdyne Corp. (a) 100 638
Microlog Corp. (a) 100 519
Mosaix, Inc. (a) 200 1,963
MOSCOM Corp. (a) 100 650
NACT Telecommunications, Inc. (a) 100 1,650
Natural Microsystems (a) 200 8,625
Network Equipment Technologies (a) 200 2,788
NewCom, Inc. (a) 300 4,238
Norstan, Inc. (a) 100 2,788
OSI Systems, Inc. 100 1,525
Objective Communications, Inc. (a) 200 3,800
Osicom Technologies, Inc. (a) 500 2,813
P-COM, Inc. (a) 600 12,150
Pairgain Technologies, Inc. (a) 600 12,075
Perceptron, Inc. (a) 200 3,975
Periphonics Corp. (a) 100 1,238
PictureTel Corp. (a) 700 5,031
Plantronics, Inc. (a) 100 4,075
Positron Fiber Systems Corp. Class A 100 825
Premisys Communications, Inc. (a) 200 4,750
Shiva Corp. (a) 500 6,813
SoftNet Systems, Inc. (a) 100 650
Summa Four, Inc. (a) 100 1,013
Symmetricom, Inc. (a) 200 1,863
Telco Systems, Inc. (a) 300 3,450
Tekelec (a) 200 8,175
Teltrend, Inc. (a) 100 1,256
Ultrak, Inc. (a) 100 944
VTel Corp. (a) 200 1,200
Westell Technologies, Inc. Class A (a) 300 3,600
Xircom, Inc. (a) 200 2,575
Xylan Corp. (a) 500 12,063
Yurie Systems, Inc. 400 8,350
Zoom Telephonics, Inc. (a) 100 859
445,587
COMPUTER SERVICES & SOFTWARE - 7.4%
Accelr8 Technology Corp. (a) 100 2,294
Access Health Marketing, Inc. (a) 100 3,625
Acclaim Entertainment, Inc. (a) 400 2,075
Acxiom Corp. (a) 800 16,800
Adept Technology, Inc. (a) 300 4,463
Advantage Learning Systems, Inc. 100 2,675
Advent Software, Inc. (a) 100 3,663
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
TECHNOLOGY - CONTINUED
COMPUTER SERVICES & SOFTWARE - CONTINUED
Affiliated Computer Services, Inc.
Class A (a) 500 $ 16,094
Affymetrix, Inc. (a) 200 6,275
Alternative Resources Corp. (a) 300 7,013
America Online, Inc. (a) 1,000 121,125
American Management Systems, Inc. (a) 600 15,675
American Software, Inc. Class A (a) 200 1,588
Anacomp, Inc. (a) 100 1,606
Analysts International Corp. 150 5,306
Ansoft Corp. (a) 100 1,188
ANSYS, Inc. (a) 100 825
Applix, Inc. (a) 100 563
Arbor Software Corp. (a) 200 9,000
Aris Corp. (WA) 100 2,800
Aspect Development, Inc. (a) 200 9,550
Aspen Technology, Inc. (a) 300 11,925
At Home Corp., Series A 1,000 34,125
Avant! Corp. (a) 400 5,600
Aware, Inc. (a) 400 4,950
Axent Technologies, Inc. (a) 380 7,933
Bisys Group, Inc. (The) (a) 400 14,850
BTG, Inc. (a) 100 913
BMC Software, Inc. (a) 900 68,850
BancTec, Inc. (a) 200 5,138
Barra, Inc. (a) 100 2,494
BEA Systems, Inc. 800 21,500
Best Software, Inc. 100 1,544
Black Box Corp. (a) 300 10,725
Boole & Babbage, Inc. 300 10,050
Borland International, Inc. (a) 700 6,519
BroadVision, Inc. (a) 400 5,050
Broadway & Seymour, Inc. (a) 100 775
Broderbund Software, Inc. (a) 300 7,425
CCC Information Services Group, Inc. (a) 200 4,900
CNET, Inc. (a) 200 7,250
CSG Systems International, Inc. (a) 400 15,500
CACI International, Inc. Class A (a) 100 2,138
Cadence Design Systems, Inc. (a) 2,000 69,875
Cambridge Technology Partners
Massachusetts, Inc. (a) 600 27,300
Cerner Corp. (a) 200 4,125
CheckFree Holdings Corp. (a) 500 10,750
ChoicePoint, Inc. (a) 200 9,575
Ciber, Inc. (a) 200 13,350
Citrix Systems, Inc. (a) 300 12,619
Claremont Technology Group, Inc. (a) 100 1,350
Clarify, Inc. (a) 100 1,500
Complete Business Solutions, Inc. 200 13,600
CompuCom Systems, Inc. (a) 300 2,644
CompUSA, Inc. (a) 800 28,000
Computer Learning Centers, Inc. (a) 200 7,363
Computer Management Sciences, Inc. (a) 100 2,600
Computer Task Group, Inc. 100 4,081
Compuware Corp. (a) 1,600 67,400
Concentric Network Corp. 100 1,450
Comshare, Inc. (a) 100 803
Concord Communications, Inc. 300 8,625
Corsair Communications, Inc. 300 6,150
Cotelligent Group, Inc. (a) 100 2,200
Cybercash, Inc. (a) 300 4,088
Cybermedia, Inc. (a) 100 925
SHARES VALUE (NOTE 1)
Cylink Corp. (a) 200 $ 2,700
DST Systems, Inc. (a) 600 31,725
DAOU Systems, Inc. (a) 200 5,275
Data Broadcasting Corp. (a) 200 975
Data Dimensions, Inc. (a) 300 4,088
Dataworks Corp. (a) 200 5,050
Data Transmission Network Corp. (a) 100 2,819
Datastream Systems, Inc. (a) 200 3,775
Datatec Systems, Inc. (a) 200 831
DecisionOne Holdings Corp. (a) 100 2,050
Deltek Systems, Inc. (a) 100 2,025
Dendrite International, Inc. (a) 200 5,475
Diamond Multimedia Systems, Inc. (a) 600 8,588
Digi International, Inc. (a) 200 4,850
DocuCorp International, Inc.
rights 3/31/98 (a) 80 310
EIS International, Inc. (a) 200 1,788
E Trade Group, Inc. (a) 300 8,025
EarthLink Network, Inc. (a) 200 9,800
Edify Corp. (a) 100 1,538
J.D. Edwards & Co. 900 29,700
Egghead Inc. (a) 600 5,775
Electronic Arts, Inc. (a) 500 22,063
Electronic Data Systems Corp. 4,700 205,919
Electronic Retailing Systems (a) 100 350
Electronics for Imaging, Inc. (a) 400 8,825
Excalibur Technologies Corp. (a) 100 1,163
Excite, Inc. (a) 100 4,725
FTP Software, Inc. (a) 1,000 2,000
FactSet Research Systems, Inc. (a) 100 2,988
Fair, Isaac & Co., Inc. 100 3,538
Firearms Training Systems, Inc.
Class A (a) 200 1,900
Fiserv, Inc. (a) 500 27,375
fonix Corp. (a) 300 1,200
Forefront Group, Inc. (a) 100 1,025
Forte Software, Inc. (a) 500 3,000
4Front Software International, Inc. (a) 100 906
Franklin Electronic Publishers Corp. (a) 100 1,263
GT Interactive Software, Inc. (a) 500 3,875
Galileo International, Inc. 1,000 39,500
Genesys Telecommunications
Laboratories, Inc. (a) 200 5,825
GeoScience Corp. (a) 100 1,125
GeoTel Communications Corp. (a) 300 6,863
Geoworks (a) 100 681
Gerber Scientific, Inc. 200 3,963
Great Plains Software, Inc. 100 3,325
H.T.E., Inc. (a) 100 2,100
HNC Software, Inc. (a) 300 10,688
Harbinger Corp. 345 11,385
Health Management Systems, Inc. (a) 100 1,081
Henry (Jack) & Associates, Inc. 200 6,900
IDT Corp. (a) 200 6,925
Hyperion Software, Inc. (a) 100 4,113
ICG Communications, Inc. (a) 200 6,725
IDX Systems Corp. (a) 400 16,550
Ikos Systems, Inc. (a) 100 813
IMNET Systems, Inc. (a) 200 4,188
Inacom Corp. (a) 100 3,275
Indus International, Inc. (a) 200 1,950
Industrial-Matematik International
Corp. (a) 300 8,288
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
TECHNOLOGY - CONTINUED
COMPUTER SERVICES & SOFTWARE - CONTINUED
Infinium Software, Inc. (a) 100 $ 1,688
Information Management Resources, Inc. 100 4,788
Informix Corp. (a) 1,500 11,719
Infoseek Corp. (a) 200 3,288
Information Resources, Inc. (a) 600 8,400
Information Management Associates,
Inc. (a) 100 1,025
Inso Corp. (a) 300 4,200
Integrated Systems, Inc. (a) 200 3,413
Intelligent Electronics, Inc. (a) 900 6,047
Intelligroup, Inc. (a) 100 1,913
IntelliQuest Information Group, Inc. (a) 100 1,288
International Network Services (a) 500 13,938
International Telecommunications Data
Systems, Inc. 100 4,050
Intersolv, Inc. (a) 200 3,113
Intuit, Inc. (a) 400 18,600
Investment Technology Group, Inc. (a) 100 2,900
i2 Technologies, Inc. (a) 300 16,969
JDA Software Group, Inc. (a) 200 9,675
JetFax, Inc. 100 406
Keane, Inc. (a) 600 27,900
LHS Group, Inc. 300 22,538
Learning Co., Inc. (The) (a) 500 8,500
Legato Systems, Inc. (a) 100 4,900
Logic Works, Inc. (a) 200 2,025
Logility, Inc. 100 875
Lycos, Inc. (a) 100 4,125
MVSI, Inc. (a) 100 613
MacNeal-Schwendler Corp. (a) 100 919
Macromedia, Inc. (a) 700 8,750
Mapix, Inc. 400 6,200
Manugistics Group, Inc. (a) 200 7,975
May & Speh, Inc. (a) 200 2,463
Medical Manager Corp. (a) 100 2,500
Melita International Corp. 100 1,263
Mentor Graphics Corp. (a) 1,100 11,481
Mercury Interactive Group Corp. (a) 200 7,450
Meta Group, Inc. (a) 100 3,000
MetaCreations Corp. (a) 200 1,706
Metro Information Services, Inc. (a) 100 3,300
MicroAge, Inc. (a) 400 5,150
Micrografx, Inc. (a) 200 2,250
MicroProse, Inc. (a) 300 591
Microware Systems Corp. (a) 100 475
Midway Games, Inc. (a) 300 6,600
MindSpring Enterprises, Inc. (a) 100 4,838
NCR Corp. (a) 1,200 37,650
National Computer System, Inc. 100 3,988
National Data Corp. 343 15,092
National Instrument Corp. (a) 250 7,531
National Techteam, Inc. (a) 100 1,031
Networks Associates, Inc. (a) 583 37,676
Netscape Communications Corp. (a) 800 15,500
NetSpeak Corp. (a) 300 7,238
NetVantage, Inc. Class A (a) 200 1,525
Network Solutions, Inc. Class A (a) 200 4,050
Network Peripherals, Inc. (a) 400 3,200
New Era of Networks, Inc. 300 5,625
Oak Technology, Inc. (a) 800 5,600
SHARES VALUE (NOTE 1)
Object Design, Inc. (a) 200 $ 1,213
Objective Systems Integrators, Inc. (a) 200 2,625
Omtool Ltd. 100 1,150
Omega Research, Inc. 100 350
Ontrack Data International, Inc. (a) 100 1,663
Open Market, Inc. (a) 200 3,300
Orcad, Inc. (a) 100 913
PSW Technologies, Inc. (a) 100 800
Paychex, Inc. 1,000 51,625
Peerless Systems Corp. (a) 100 1,538
Pegasystems, Inc. (a) 200 4,250
Pegasus Systems, Inc. 100 2,225
PeopleSoft, Inc. (a) 2,100 93,844
Peregrine Systems, Inc. (a) 200 3,413
Peritus Software Services, Inc. 100 1,600
Pervasive Software, Inc. 100 1,113
Phoenix International, Inc. (a) 100 1,875
Phoenix Technologies Ltd. (a) 500 6,625
Physician Computer Network, Inc. (a) 200 850
Platinum Software Corp. (a) 400 7,600
Platinum Technology, Inc. (a) 600 15,225
Policy Management Systems Corp. (a) 100 7,238
Polycom, Inc. (a) 200 1,575
Primark Corp. (a) 100 4,294
Progress Software Corp. (a) 100 2,538
Project Software & Development, Inc. 200 4,450
ProxyMed, Inc. (a) 200 1,513
PsiNet, Inc. (a) 700 5,403
Puma Technology, Inc. (a) 100 600
QAD, Inc. 200 3,100
Quadramed Corp. (a) 200 6,375
Quickresponse Services, Inc. (a) 100 4,338
Quickturn Design Systems, Inc. (a) 100 1,381
RWD Technologies, Inc. 100 2,200
Radiant Systems, Inc. 400 7,525
Rainbow Technologies, Inc. (a) 100 2,450
Rational Software Corp. (a) 700 9,450
Red Brick Systems, Inc. (a) 200 1,150
Remedy Corp. (a) 200 3,838
Rogue Wave Software, Inc. (a) 300 3,900
SEI Corp. 100 5,900
SPSS, Inc. (a) 100 2,150
SPS Transaction Services, Inc. (a) 200 5,838
STB Systems, Inc. (a) 300 6,863
SPR, Inc. 100 2,550
Sabre Group Holdings, Inc. Class A (a) 400 13,200
Sanchez Computer Associates, Inc. (a) 200 4,000
Santa Cruz Operation, Inc. (a) 200 925
Sapient Corp. 200 15,875
Scopus Technology, Inc. (a) 400 5,650
SeaChange International, Inc. (a) 100 694
Secure Computing Corp. (a) 100 1,150
Security Dynamics Technologies, Inc. (a) 300 10,688
Siebel Systems, Inc. (a) 300 18,450
Simione Central Holdings, Inc. 100 1,081
Simulation Sciences, Inc. (a) 500 5,125
SportsLine USA, Inc. 300 7,050
Spyglass, Inc. (a) 200 1,675
SS&C Technologies, Inc. (a) 100 1,750
Stac Electronics (a) 300 1,500
State of The Art, Inc. (a) 100 2,188
Sterling Software, Inc. (a) 500 26,344
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
TECHNOLOGY - CONTINUED
COMPUTER SERVICES & SOFTWARE - CONTINUED
Structural Dynamics Research Corp. (a) 400 $ 11,500
Summit Design, Inc. (a) 100 1,400
SunGard Data Systems, Inc. (a) 836 28,581
Sunquest Information Systems, Inc. (a) 100 1,175
Sybase, Inc. (a) 1,100 11,550
Sykes Enterprises, Inc. (a) 600 11,063
Symantec Corp. (a) 400 10,075
Symix Systems, Inc. (a) 100 1,888
Synopsys, Inc. (a) 565 19,740
Systems Software Associates, Inc. (a) 600 4,463
Systems & Computer Technology
Corp. (a) 100 4,375
SystemSoft Corp. (a) 200 913
TCSI Corp. (a) 200 1,525
TSI International Software Ltd. 100 1,525
TSR, Inc. (a) 200 5,388
Tangram Enterprise Solutions, Inc. (a) 100 925
Technology Solutions, Inc. (a) 400 13,000
Telescan, Inc. (a) 100 781
Tera Computer Co. (a) 100 1,344
Thinking Tools, Inc. (a) 100 209
3Dfx Interactive, Inc. 300 6,919
Total Systems Services, Inc. 1,100 28,875
Transaction Systems Architects (a) 400 17,400
Transition Systems, Inc. (a) 100 1,950
Trusted Information Systems, Inc. (a) 100 2,075
USCS International, Inc. (a) 200 4,250
Unicomp, Inc. (a) 100 675
Vanstar Corp. (a) 300 4,144
Vantive Corp. (a) 400 10,950
Verilink Corp. (a) 100 788
Veritas Software Corp. (a) 300 17,063
Versant Object Technology Corp. (a) 300 2,222
Viasoft, Inc. (a) 200 5,400
Visio Corp. (a) 400 14,400
Visigenic Software, Inc. (a) 100 763
Visioneer, Inc. (a) 300 694
Walker Interactive Systems, Inc. (a) 200 3,388
Wall Data, Inc. (a) 100 1,525
Walsh International, Inc. (a) 100 1,100
WavePhore, Inc. (a) 200 1,825
White Pine Software, Inc. (a) 200 475
Whittman-Hart, Inc. (a) 300 9,900
Wind River Systems, Inc. (a) 400 15,650
Wonderware Corp. (a) 100 2,363
Xcellenet, Inc. (a) 100 1,950
Xpedite Systems, Inc. (a) 200 7,325
XLConnect Solutions, Inc. (a) 200 3,550
Xionics Document Technologies, Inc. (a) 100 356
Yahoo, Inc. (a) 400 29,275
2,518,214
COMPUTERS & OFFICE EQUIPMENT - 2.0%
ATL Products, Inc. Class A 100 1,488
Adaptec, Inc. (a) 1,000 26,438
Advanced Digital Information Corp. (a) 200 3,150
Amplicon, Inc. 100 1,950
Ancor Communications, Inc. (a) 100 725
Apex PC Solutions, Inc. 300 8,250
Applied Magnetics Corp. (a) 200 2,388
Aura Systems, Inc. (a) 1,200 3,750
SHARES VALUE (NOTE 1)
Auspex Systems, Inc. (a) 600 $ 5,738
Bell & Howell Co. (a) 200 5,375
Boca Research, Inc. (a) 100 469
Box Hill Systems Corp. 400 4,550
CDW Computer Centers, Inc. (a) 300 20,550
CHS Electronics, Inc. (a) 500 10,313
Caere Corp. (a) 100 1,231
Coinstar, Inc. (a) 100 844
Comdisco, Inc. 600 25,013
Comverse Technology, Inc. (a) 530 24,778
Concurrent Computer Corp. (a) 400 813
Cross (A.T.) Co. 100 1,094
Diebold, Inc. 600 30,825
Digital Lightwave, Inc. 400 1,500
Drexler Technology Corp. (a) 100 1,663
ECCS, Inc. (a) 100 400
Eltron International, Inc. (a) 100 2,150
En Pointe Technologies, Inc. (a) 100 1,100
Encad, Inc. (a) 200 4,925
Evans & Sutherland Computer Corp. (a) 100 3,125
Exabyte Corp. (a) 600 4,800
FileNet Corp. (a) 200 6,675
FOCUS Enhancements, Inc. (a) 200 744
Fore Systems, Inc. (a) 800 12,850
GateField Corp. (a) 300 356
Gateway 2000, Inc. (a) 1,400 61,600
General Binding Corp. 100 3,163
General Scanning, Inc. (a) 200 4,213
Genicom Corp. (a) 100 1,156
HMT Technology Corp. (a) 600 6,600
Hunt Corp. 100 2,325
Hutchinson Technology, Inc. (a) 300 6,938
Identix, Inc. (a) 200 1,863
In Focus Systems, Inc. (a) 200 7,988
Ingram Micro, Inc. Class A (a) 500 19,313
Insight Enterprises, Inc. (a) 200 7,950
Intergraph Corp. (a) 600 5,850
Iomega Corp. (a) 2,300 20,988
Itron, Inc. (a) 100 2,113
Komag, Inc. (a) 700 10,063
Kronos, Inc. (a) 100 3,450
LaserMaster Technologies, Inc. (a) 100 475
Lexmark International Group, Inc. (a) 700 29,925
MTI Technology Corp. (a) 200 2,600
MICROS Systems, Inc. (a) 100 5,525
Micron Electronics, Inc. (a) 800 10,300
Microtouch Systems, Inc. (a) 100 1,600
Netopia, Inc. (a) 100 450
Network Appliance, Inc. 500 14,750
Network Computing Devices, Inc. (a) 100 1,263
Nimbus CD International, Inc. (a) 100 1,156
ODS Networks, Inc. 100 675
Overland Data, Inc. 100 563
PSC, Inc. (a) 200 2,088
Palomar Medical Technologies, Inc. (a) 1,300 2,316
Par Technology Corp. (a) 100 700
Performance Technologies, Inc. (a) 100 1,538
Plannar Systems, Inc. (a) 200 2,475
Pomeroy Computer Resources, Inc. (a) 300 7,050
Printronix, Inc. (a) 100 1,588
Procom Technology, Inc. (a) 100 938
Proxim, Inc. (a) 100 1,325
Quantum Corp. (a) 1,200 30,150
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
TECHNOLOGY - CONTINUED
COMPUTERS & OFFICE EQUIPMENT - CONTINUED
Radisys Corp. (a) 100 $ 3,500
Read-Rite Corp. (a) 300 4,275
Retix (a) 300 1,613
SCI Systems, Inc. (a) 500 22,500
SCM Microsystems, Inc. 200 11,500
SED International Holdings, Inc. (a) 100 1,388
Safeguard Scientifics, Inc. (a) 400 14,400
SanDisk Corp. (a) 200 5,088
Scan-Optics, Inc. (a) 100 706
ScanSource, Inc. (a) 100 2,163
SEEQ Technology Corp. (a) 300 713
Sequent Computer Systems, Inc. (a) 600 12,713
Splash Technology Holdings, Inc. (a) 300 5,250
Storage Computer Corp. (a) 100 650
Stratus Computer, Inc. (a) 200 10,038
Symbol Technologies, Inc. 500 25,531
Syquest Technology, Inc. (a) 1,700 4,808
Tech Data Corp. (a) 400 18,600
Telxon Corp. 300 7,013
Texas Micro, Inc. (a) 100 400
TransAct Technologies, Inc. (a) 100 1,000
Trident Microsystems, Inc. (a) 100 800
Trinitech Systems, Inc. (a) 100 700
Valence Technology, Inc. (a) 200 1,075
Vitech America, Inc. (a) 100 1,700
Wang Laboratories, Inc. (a) 500 13,938
Western Digital Corp. (a) 700 12,775
689,880
ELECTRONIC INSTRUMENTS - 0.9%
ADE Corp. (a) 300 5,550
Aeroflex, Inc. (a) 400 4,575
Aetrium, Inc. (a) 100 1,850
Anadigics, Inc. (a) 100 1,563
Analogic Corp. 100 3,700
Aurora Biosciences Corp. (a) 200 2,113
Autocyte, Inc. 100 650
BTU International, Inc. (a) 100 513
Barringer Technologies, Inc. (a) 200 2,988
Berg Electronics Corp. (a) 600 16,950
Cerprobe Corp. (a) 200 4,338
Cholestech Corp. (a) 100 1,363
ChromaVision Medical Systems, Inc. (a) 100 1,025
Chromatics Color Sciences
International, Inc. (a) 150 2,100
Cognex Corp. (a) 300 7,219
Cohu, Inc. 200 9,250
Credence Systems Corp. (a) 200 6,675
DBT Online, Inc. (a) 100 2,863
Electro Scientific Industries, Inc. (a) 200 7,600
FARO Technologies, Inc. 100 1,275
Fluke Corp. 200 4,863
GenRad, Inc. (a) 200 5,688
HACH Co. Class A (non-vtg.) 100 900
Helix Technology Corp. 400 9,100
Hurco Companies, Inc. (a) 100 700
Isco, Inc. 100 913
Kollmorgen Corp. 100 1,938
Kulicke & Soffa Industries, Inc. (a) 200 5,550
LTX Corp. (a) 300 1,650
Lam Research Corp. (a) 300 8,475
SHARES VALUE (NOTE 1)
LeCroy Corp. (a) 200 $ 4,700
Medar, Inc. (a) 100 338
Mesa Laboratories, Inc. (a) 100 613
Metrika Systems Corp. (a) 100 1,513
Molecular Devices Corp. (a) 100 1,663
Newport Corp. 100 1,888
Novellus Systems, Inc. (a) 200 9,588
Optical Coating Laboratory, Inc. 100 1,375
PPT Vision, Inc. (a) 100 800
Quad Systems Corp. (a) 100 481
SBS Technologies, Inc. (a) 100 2,700
Sawtek, Inc. (a) 400 10,250
Schmitt Industries, Inc. (a) 100 800
Silicon Valley Group, Inc. (a) 400 10,900
Smart Modular Technologies, Inc. (a) 400 11,200
TAVA Technologies, Inc. (a) 400 3,375
TSI, Inc. 100 900
Teradyne, Inc. (a) 700 33,031
Thermedics Detection, Inc. (a) 100 1,100
Thermo BioAnalysis Corp. (a) 100 1,825
Thermo Optek Corp. 300 4,444
Thermo Vision Corp. 42 284
Thermoquest Corp. (a) 400 5,850
Total Control Products, Inc. (a) 100 1,225
Trimble Navigation Ltd. (a) 400 8,000
Varian Associates, Inc. 400 23,200
Waters Corp. (a) 400 19,775
Wireless Telecom Group, Inc. 200 1,675
X-Rite, Inc. 100 1,456
Zygo Corporation (a) 100 1,688
290,574
ELECTRONICS - 2.9%
Act Manufacturing, Inc. (a) 100 1,206
AVX Corp. 700 15,794
Actel Corp. (a) 400 6,250
Advanced Energy Industries, Inc. (a) 100 1,688
Align Rite International, Inc. (a) 100 1,713
Alliance Semiconductor Corp. (a) 600 3,938
Alpine Group, Inc. (a) 100 1,994
Altera Corp. (a) 800 34,500
Altron Inc. (a) 200 3,075
Amphenol Corp. Class A (a) 200 12,513
Analog Devices, Inc. (a) 1,400 45,150
Applied Digital Access, Inc. (a) 100 763
Applied Science & Technology, Inc. (a) 150 2,250
Arrow Electronics, Inc. (a) 1,100 36,644
Atmel Corp. (a) 800 13,000
Audiovox Corp. Class A (a) 200 1,388
Avnet, Inc. 500 31,875
Bell Industries, Inc. (a) 100 1,375
Benchmark Electronics, Inc. (a) 100 2,688
Brightpoint, Inc. (a) 400 8,200
Burr-Brown Corp. (a) 300 12,338
C-Cube Microsystems, Inc. (a) 400 8,300
CFM Technologies, Inc. (a) 100 1,750
C.P. Clare Corp. (a) 100 1,438
CTS Corp. 300 9,656
CIDCO, Inc. (a) 100 1,675
Cirrus Logic, Inc. (a) 900 9,956
Cree Research, Inc. (a) 100 1,625
Cypress Semiconductor Corp. (a) 1,000 9,438
DII Group, Inc. (a) 200 5,300
Dallas Semiconductor Corp. 200 9,500
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
TECHNOLOGY - CONTINUED
ELECTRONICS - CONTINUED
Digital Microwave Corp. (a) 500 $ 9,188
EFTC Corp. (a) 100 1,431
ESS Technology, Inc. (a) 300 2,288
Etec Systems, Inc. (a) 200 10,488
Electroglas, Inc. (a) 400 7,400
Electromagnetic Sciences, Inc. (a) 100 1,988
Esterline Technologies Corp. (a) 100 3,938
Exar Corp. (a) 100 2,200
General Semiconductor, Inc. (a) 300 4,181
Griffon Corp. (a) 200 3,288
Hadco Corp. (a) 200 10,225
Ibis Technology Corp. (a) 100 1,000
Innovex, Inc. 300 6,975
Integrated Circuit Systems, Inc. (a) 200 7,000
Integrated Device Technology, Inc. (a) 1,000 15,063
Integrated Silicon Solution (a) 400 4,200
International Rectifier Corp. (a) 800 11,650
Intevac, Inc. (a) 100 863
Invision Technologies, Inc. 100 963
Katy Industries, Inc. 100 1,888
KEMET Corp. (a) 300 6,375
Kent Electronics Corp. (a) 400 8,925
Kopin Corp. (a) 100 1,563
Lattice Semiconductor Corp. (a) 300 16,069
Linear Technology Corp. 700 53,025
MEMC Electronic Materials, Inc. (a) 600 10,125
MRV Communications, Inc. (a) 400 9,300
Marshall Industries (a) 300 8,794
Maxim Integrated Products, Inc. (a) 1,200 48,450
Maxwell Technologies, Inc. (a) 200 5,650
Merix Corporation (a) 100 1,675
Methode Electronics, Inc. Class A 200 2,825
Micrel, Inc. (a) 100 3,669
Micro Linear Corp. (a) 100 744
Microchip Technology, Inc. (a) 400 9,675
Microsemi Corp. (a) 200 3,900
Molex, Inc. 1,575 47,644
Mylex Corp. (a) 200 1,775
NeoMagic Corp. (a) 400 7,400
Opti, Inc. (a) 200 1,425
PMC-Sierra, Inc. (a) 200 7,200
Pacific Aerospace & Electronics, Inc. (a) 200 1,250
Panda Project, Inc. (a) 100 500
Parlex Corp. 100 1,675
Photronics, Inc. (a) 200 5,875
Pioneer Standard Electronics, Inc. 200 3,300
Plexus Corp. (a) 100 2,188
Power-One, Inc. 100 1,725
Praegitzer Industries, Inc. (a) 100 1,038
QLogic Corp. (a) 200 8,025
Quality Semiconductor, Inc. (a) 200 1,000
RF Micro Devices, Inc. 200 2,963
Ramtron International Corp. (a) 300 1,519
Reptron Electronics, Inc. (a) 100 1,225
Research Frontiers, Inc. (a) 100 925
SDL, Inc. (a) 100 2,075
S3, Inc. (a) 900 5,513
Sanmina Corp. (a) 100 7,969
Semtech Corp. (a) 200 5,750
Sheldahl, Inc. 100 1,688
Siliconix, Inc. (a) 100 4,213
SHARES VALUE (NOTE 1)
Sipex Corp. (a) 300 $ 10,331
Solectron Corp. (a) 1,000 48,375
Standard Microsystems Corp. (a) 400 3,800
Sterling Commerce, Inc. (a) 1,000 45,625
Storage Technology Corp. (a) 500 34,125
Supertex, Inc. (a) 100 1,063
TII Industries, Inc. (a) 200 925
Technitrol, Inc. 100 3,656
Tegal Corp. (a) 100 538
Telcom Semiconductor, Inc. (a) 200 2,250
Transwitch Corp. (a) 100 1,113
Triquint Semiconductor, Inc. (a) 200 4,825
Uniphase Corp. (a) 300 12,019
Unitrode Corp. (a) 400 7,525
Universal Display Corp. (a) 100 475
VLSI Technology, Inc. (a) 400 7,725
Vari-L, Inc. (a) 100 863
Videoserver, Inc. (a) 200 3,025
Vishay Intertechnology, Inc. 800 16,300
Vitesse Semiconductor Corp. (a) 300 15,234
Voxware, Inc. (a) 200 488
World Access, Inc. (a) 200 4,500
Xilinx, Inc. (a) 700 30,713
Zero Corp. 100 2,650
Zilog, Inc. (a) 200 3,988
Zoran Corp. (a) 200 3,475
985,427
PHOTOGRAPHIC EQUIPMENT - 0.0%
Imation Corp. (a) 600 10,088
Panavision, Inc. (a) 100 2,600
3D Systems Corp. (a) 100 775
13,463
TOTAL TECHNOLOGY 4,943,145
TRANSPORTATION - 2.0%
AIR TRANSPORTATION - 0.8%
AirTran Holdings, Inc. (a) 1,200 6,975
Alaska Air Group, Inc. (a) 300 16,519
America West Holding Corp. Class B (a) 600 14,888
ASA Holdings, Inc. 400 16,100
Atlantic Coast Airlines, Inc. (a) 300 13,013
Atlas Air, Inc. (a) 300 8,925
Comair Holdings, Inc. 600 15,975
Continental Airlines, Inc. Class B (a) 500 25,125
Frontier Airlines, Inc. (a) 700 2,013
Mesa Air Group, Inc. (a) 1,200 9,863
Mesaba Holdings, Inc. (a) 400 11,600
Midwest Express Holdings, Inc. (a) 300 14,588
Midway Airlines Corp. (a) 300 5,850
Reno Air, Inc. (a) 900 7,059
SkyWest, Inc. 300 11,700
Trans World Airlines, Inc. (a) 1,000 13,000
Travel Services International, Inc. 100 2,813
UAL Corp. (a) 500 42,563
Viad Corp. 1,300 31,444
World Airways, Inc. (a) 800 4,450
274,463
RAILROADS - 0.4%
ABC Rail Products Corp. (a) 100 1,900
Florida East Coast Industries, Inc. 100 10,900
Illinois Central Corp., Series A 800 31,050
Johnstown America Industries, Inc. (a) 200 2,400
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
TRANSPORTATION - CONTINUED
RAILROADS - CONTINUED
Kansas City Southern Industries, Inc. 900 $ 33,469
MotivePower Industries, Inc. (a) 100 2,669
Railtex, Inc. (a) 100 1,625
Trinity Industries, Inc. 300 15,075
Westinghouse Air Brake Co. 100 2,525
Wisconsin Central Transportation
Corp. (a) 700 18,988
120,601
SHIPPING - 0.1%
Alexander & Baldwin, Inc. 700 19,775
Gulfmark Offshore, Inc. (a) 100 2,450
Hvide Marine, Inc. (a) 300 5,700
International Shipholding Corp. 100 1,694
Kirby Corp. (a) 200 4,688
OMI Corp. (a) 300 2,606
Trico Marine Services, Inc. (a) 300 5,588
42,501
TRUCKING & FREIGHT - 0.7%
Air Express International Corp. 500 14,000
Airborne Freight Corp. 400 14,475
AirNet Systems, Inc. (a) 400 10,700
American Freightways Corp. (a) 700 7,219
Arkansas Best Corp. (a) 500 5,625
Arnold Industries, Inc. 200 3,188
C.H. Robinson Worldwide, Inc. 400 9,100
CNF Transportation, Inc. 500 19,563
Circle International Group, Inc. 300 8,475
Consolidated Freightways Corp. (a) 400 6,000
Covenant Transport, Inc. Class A (a) 100 2,088
Eagle USA Airfreight, Inc. (a) 300 8,588
Expeditors International of
Washington, Inc. 300 12,150
Fritz Companies, Inc. (a) 500 6,938
Frozen Food Express Industries, Inc. 100 975
Heartland Express, Inc. (a) 200 5,050
Hub Group, Inc. Class A (a) 100 2,813
Hunt (J.B.) Transport Services, Inc. 500 13,375
Knight Transportation, Inc. (a) 100 2,900
Landstar System, Inc. (a) 300 8,925
M.S. Carriers, Inc. (a) 100 2,638
Mark VII, Inc. 100 1,800
Old Dominion Freight Lines, Inc. (a) 100 1,700
Pittston Co. (Burlington Group) 100 2,206
Roadway Express, Inc. 400 9,200
Rollins Truck Leasing Corp. 300 5,981
Swift Transportation Co., Inc. (a) 400 13,050
Trailer Bridge, Inc. (a) 100 725
Transit Group, Inc. (a) 100 513
USA Truck, Inc. (a) 100 1,450
US Xpress Enterprises, Inc. (a) 100 2,019
USFreightways Corp. 400 13,975
Werner Enterprises, Inc. 600 14,925
XTRA Corp. 100 6,150
Yellow Corp. (a) 500 10,531
249,010
TOTAL TRANSPORTATION 686,575
SHARES VALUE (NOTE 1)
UTILITIES - 7.0%
CELLULAR - 1.1%
Advanced Radio Telecom Corp. (a) 400 $ 5,125
Aerial Communications, Inc. (a) 600 5,100
Arch Communications Group, Inc. (a) 100 438
Associated Group, Inc. Class A (a) 500 19,938
Boston Communications Group, Inc. (a) 100 888
Cellular Communications International,
Inc. (a) 200 9,550
Cellnet Data Systems, Inc. (a) 300 2,625
Centennial Cellular Corp. Class A (a) 200 3,725
Century Telephone Enterprises, Inc. 500 30,500
CoreComm, Inc. (a) 100 1,413
General Communications, Inc.
Class A (a) 400 2,850
Geotek Industries, Inc. (a) 600 1,031
LCC International, Inc. (a) 300 3,788
Lightbridge, Inc. (a) 100 1,400
Metrocall, Inc. (a) 200 1,425
Metromedia Fiber Network, Inc. Class A 300 11,025
Microcell Telecommunications, Inc.
Class B (non-vtg.) (a) 400 2,894
Mobile Telecommunications
Technologies, Inc. (a) 600 13,500
Nextel Communications, Inc. Class A (a) 2,500 73,906
Pagemart Wireless, Inc. Class A (a) 300 2,681
Paging Network, Inc. (a) 1,300 18,850
Powertel, Inc. (a) 500 11,250
Pricellular Corp. Class A 200 2,438
QUALCOMM, Inc. (a) 600 30,600
Rural Cellular Corp. Class A (a) 100 1,475
Telephone & Data Systems, Inc. 800 34,850
360 Degrees Communications Co. (a) 1,500 39,750
USCI, Inc. (a) 100 675
United States Cellular Corp. (a) 800 24,150
Vanguard Cellular Systems, Inc.
Class A (a) 800 10,400
Western Wireless Corp. Class A (a) 400 7,550
375,790
ELECTRIC UTILITY - 3.4%
AES Corp. (a) 1,600 70,400
Allegheny Energy, Inc. 1,200 36,675
Atlantic Energy, Inc. 800 16,300
Black Hills Corp. 100 3,275
Boston Edison Co. 600 23,288
CMS Energy Corp. 700 30,975
Calenergy, Inc. (a) 1,100 29,494
Calpine Corp. (a) 100 1,588
Central Hudson Gas & Electric Corp. 300 12,188
Central Louisiana Electric Co., Inc. 200 6,500
Central Maine Power Co. 200 3,338
Central Vermont Public Service Corp. 100 1,419
CILCORP, Inc. 100 4,638
Citizens Utilities Co. Class B 3,136 29,400
Commonwealth Energy Systems (SBI) 100 3,606
DQE, Inc. 600 19,913
DPL, Inc. 2,100 38,194
Delmarva Power & Light Co. 400 8,625
Eastern Utilities Associates 500 11,969
El Paso Electric Co. (a) 400 2,725
Empire District Electric Co. 100 2,050
Enova Corp. 800 20,400
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
UTILITIES - CONTINUED
ELECTRIC UTILITY - CONTINUED
Florida Progress Corp. 700 $ 27,081
Hawaiian Electric Industries, Inc. 200 8,100
IES Industries, Inc. 200 7,238
Idaho Power Co. 600 20,963
Illinova Corp. 900 24,975
Interstate Power Co. 100 3,563
IPALCO Enterprises, Inc. 300 12,806
KTI, Inc. 300 4,575
KU Energy Corp. 300 11,625
Kansas City Power & Light Co. 800 24,100
LG&E Energy Corp. 1,000 23,938
Long Island Lighting Co. 1,200 37,200
Madison Gas & Electric Co. 100 2,238
Midamerican Energy Holdings Co. 700 14,525
Minnesota Power & Light Co. 200 8,088
Montana Power Co. 700 22,400
NIPSCO Industries, Inc. 1,600 41,100
Nevada Power Co. 800 19,850
New Century Energies, Inc. 900 41,963
New England Electric System 900 37,913
New York State Electric & Gas Corp. 500 18,781
Northeast Utilities 1,300 16,250
Northwestern Public Service Co. 100 2,313
OGE Energy Corp. 300 16,200
Orange & Rockland Utilities, Inc. 300 13,181
Otter Tail Power Co. 100 3,788
Pinnacle West Capital Corp. 600 24,488
Potomac Electric Power Co. 800 20,100
Public Service Co. of New Mexico 800 18,650
Puget Sound Power & Light Co. 1,200 32,550
Rochester Gas & Electric Corp. 600 18,713
SCANA Corp. 1,400 40,250
Sierra Pacific Resources 500 17,938
SIGCORP, Inc. 200 5,775
TECO Energy, Inc. 1,700 44,731
TNP Enterprises, Inc. 100 3,213
Thermo Ecotek (a) 200 3,888
Unisource Energy Corp. (a) 200 3,413
United Illuminating Co. 100 4,606
Utilicorp United, Inc. 700 25,200
WPL Holdings, Inc. 500 15,938
WPS Resources Corp. 200 6,500
Washington Water Power Co. 400 9,150
Wisconsin Energy Corp. 1,500 40,875
1,177,692
GAS - 1.0%
AGL Resources, Inc. 400 8,125
Aquila Gas Pipeline Corp. 200 2,413
Atmos Energy Corp. 200 5,738
Bay State Gas Co. 100 3,788
CTG Resources, Inc. 200 5,200
Cascade Natural Gas Corp. 100 1,675
Colonial Gas Co. 100 2,831
Connecticut Energy Corp. 100 2,950
El Paso Natural Gas Co. 700 46,463
Energen Corp. 100 3,881
Equitable Resources, Inc. 600 18,900
Indiana Energy, Inc. 200 5,975
K N Energy, Inc. 500 25,969
Keyspan Energy Corp. 400 14,225
SHARES VALUE (NOTE 1)
Laclede Gas Co. 100 $ 2,481
Leviathan Gas Pipeline Partners L.P. unit 100 2,913
MCN Corp. 1,000 36,813
MDU Resources Group, Inc. 200 6,188
Mitchell Energy & Development Corp.
Class A 400 10,900
NUI Corp. 100 2,644
National Fuel Gas Co. 500 23,313
New Jersey Resources Corp. 100 3,650
Northwest Natural Gas Co. 200 5,638
Piedmont Natural Gas, Inc. 200 6,200
Public Service Co. of North Carolina, Inc. 100 2,156
Questar Corp. 600 25,500
SEMCO Energy, Inc. 100 1,675
South Jersey Industries, Inc. 100 3,000
Southern Union Co. 100 2,388
Southwest Gas Corp. 200 4,050
Southwestern Energy Co. 200 2,200
UGI Corp. 200 5,725
WICOR, Inc. 200 9,563
Washington Gas Light Co. 300 8,081
Western Resources, Inc. 500 20,500
Yankee Energy System, Inc. 100 2,519
336,230
TELEPHONE SERVICES - 1.4%
ACC Corp. (a) 200 10,000
Aliant Communications, Inc. 500 13,125
American Communication Services,
Inc. (a) 300 4,200
Atlantic Tele-Network, Inc. (a) 140 2,056
CFW Communications Co. 100 2,400
CTC Communications Corp. (a) 100 691
Cincinnati Bell, Inc. 1,200 38,400
Commonwealth Telephone
Enterprises, Inc. (a) 100 2,800
Comsat Corp., Series 1 700 23,406
Emerging Communications, Inc. (a) 100 763
EXCEL Communications, Inc. (a) 1,200 25,275
GST Telecommunications, Inc. (a) 600 8,580
IXC Communications, Inc. (a) 400 23,175
LCI International, Inc. (a) 875 28,875
Mastech Corp. (a) 300 15,788
McLeodUSA, Inc. Class A (a) 500 19,484
Network Long Distance, Inc. (a) 100 1,500
NEXTLINK Communications, Inc.
Class A (a) 300 9,038
North Pittsburgh Systems, Inc. 100 1,650
Pacific Gateway Exchange, Inc. (a) 200 8,663
Primus Telecommunications Group, Inc. (a) 300 7,800
Qwest Communications International, Inc. 2,000 70,250
Shared Technologies Fairchild, Inc. (a) 75 1,106
Source Media, Inc. (a) 100 1,275
Southern New England
Telecommunications Corp. 700 44,188
STAR Telecommunications, Inc. 200 7,475
Startec Global Communications Corp. 100 2,481
Tel-Save Holdings, Inc. (a) 800 22,150
Telegroup, Inc. (a) 200 3,500
Teleport Communications Group, Inc.
Class A (a) 600 32,775
Transaction Network Services, Inc. (a) 100 1,975
Trescom International, Inc. (a) 100 894
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
UTILITIES - CONTINUED
TELEPHONE SERVICES - CONTINUED
Viatel, Inc. (a) 200 $ 1,800
West TeleServices Corp. (a) 500 7,250
Winstar Communications, Inc. (a) 400 16,825
461,613
WATER - 0.1%
American Water Works, Inc. 600 18,000
Aquarion Co. 100 3,513
Consumers Water Co. 100 1,963
E Town Corp. 100 3,625
Pennsylvania Enterprises, Inc. 100 2,513
Philadelphia Suburban Corp. 133 2,918
Southern California Water Co. 100 2,531
United Water Resources, Inc. 300 5,888
40,951
TOTAL UTILITIES 2,392,276
TOTAL COMMON STOCKS
(Cost $29,040,019) 30,609,148
U.S. TREASURY OBLIGATIONS - 10.5%
PRINCIPAL VALUE
AMOUNT (NOTE 1)
U.S. Treasury Bills, yields at dates of
purchase 4.99% to 5.43%,
4/16/98 to 6/4/98 (b)
(Cost $3,572,453) $ 3,616,000 3,573,206
TOTAL INVESTMENT IN SECURITIES - 100%
(Cost $32,612,472) $ 34,182,354
FUTURES CONTRACTS
EXPIRATION UNDERLYING FACE UNREALIZED
PURCHASED DATE AMOUNT AT VALUE GAIN/(LOSS)
14 S&P 500 Index Contracts Mar. 98 $ 3,676,750 $ 53,885
THE FACE VALUE OF FUTURES PURCHASED AS A PERCENTAGE OF TOTAL
INVESTMENT IN
SECURITIES - 10.8%
LEGEND
1. Non-income producing
2. Security or a portion of the security was pledged to cover margin
requirements for futures contracts. At the period end, the value of
securities pledged amounted to $166,250.
INCOME TAX INFORMATION
At February 28, 1998, the aggregate cost of investment securities for
income tax purposes was $32,612,815. Net unrealized appreciation
aggregated $1,569,539, of which $2,716,767 related to appreciated
investment securities and $1,147,228 related to depreciated investment
securities.
The fund hereby designates approximately $2,000 as a capital gain
dividend for the purpose of the dividend paid deduction.
FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
<TABLE>
<CAPTION>
<S> <C> <C>
FEBRUARY 28, 1998
ASSETS
INVESTMENT IN SECURITIES, AT VALUE $
34,182,354
(COST $32,612,472) -
SEE ACCOMPANYING SCHEDULE
CASH 19,613
RECEIVABLE FOR INVESTMENTS SOLD 39,279
RECEIVABLE FOR FUND SHARES SOLD 1,053,491
DIVIDENDS RECEIVABLE 17,475
INTEREST RECEIVABLE 1,389
PURCHASE FEES RECEIVABLE 7,921
OTHER RECEIVABLES 792
PREPAID EXPENSES 7,216
RECEIVABLE FROM INVESTMENT ADVISER FOR EXPENSE REDUCTIONS 14,177
TOTAL ASSETS
35,343,707
LIABILITIES
PAYABLE FOR INVESTMENTS PURCHASED $ 33,259
PAYABLE FOR FUND SHARES REDEEMED 10,910
PAYABLE FOR DAILY VARIATION ON 5,206
FUTURES CONTRACTS
OTHER PAYABLES AND 39,585
ACCRUED EXPENSES
TOTAL LIABILITIES 88,960
NET ASSETS $
35,254,747
NET ASSETS CONSIST OF:
PAID IN CAPITAL $
33,392,656
UNDISTRIBUTED NET INVESTMENT INCOME 48,883
ACCUMULATED UNDISTRIBUTED NET REALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS 189,441
NET UNREALIZED APPRECIATION (DEPRECIATION) ON INVESTMENTS 1,623,767
NET ASSETS, FOR 1,317,147 SHARES OUTSTANDING $
35,254,747
NET ASSET VALUE, OFFERING PRICE $26.77
AND REDEMPTION PRICE PER SHARE ($35,254,747 (DIVIDED BY) 1,317,147 SHARES) A
A OFFERING PRICE PER SHARE DOES NOT INCLUDE THE EFFECT OF THE PURCHASE FEE.
</TABLE>
STATEMENT OF OPERATIONS
<TABLE>
<CAPTION>
<S> <C> <C>
NOVEMBER 5, 1997 (COMMENCEMENT OF OPERATIONS) TO
FEBRUARY 28, 1998
INVESTMENT INCOME $ 74,171
DIVIDENDS
INTEREST (INCLUDING INCOME ON SECURITIES LOANED OF $2,306) 42,416
TOTAL INCOME 116,587
EXPENSES
MANAGEMENT AND SUB-ADVISORY FEES $ 18,182
TRANSFER AGENT FEES 9,369
ACCOUNTING FEES 19,211
NON-INTERESTED TRUSTEES' COMPENSATION 18
REGISTRATION FEES 42,939
AUDIT 22,300
MISCELLANEOUS 251
TOTAL EXPENSES BEFORE REDUCTIONS 112,270
EXPENSE REDUCTIONS (94,202) 18,068
NET INVESTMENT INCOME 98,519
REALIZED AND UNREALIZED GAIN (LOSS)
NET REALIZED GAIN (LOSS) ON:
INVESTMENT SECURITIES 75,597
FOREIGN CURRENCY TRANSACTIONS 5
FUTURES CONTRACTS 121,558 197,160
CHANGE IN NET UNREALIZED APPRECIATION (DEPRECIATION) ON:
INVESTMENT SECURITIES 1,569,882
FUTURES CONTRACTS 53,885 1,623,767
NET GAIN (LOSS) 1,820,927
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 1,919,446
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
INCREASE (DECREASE) IN NET ASSETS NOVEMBER 5, 1997
(COMMENCEMENT
OF OPERATIONS) TO
FEBRUARY 28, 1998
<TABLE>
<CAPTION>
<S> <C>
OPERATIONS $ 98,519
NET INVESTMENT INCOME
NET REALIZED GAIN (LOSS) 197,160
CHANGE IN NET UNREALIZED APPRECIATION (DEPRECIATION) 1,623,767
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS 1,919,446
DISTRIBUTIONS TO SHAREHOLDERS FROM NET INVESTMENT INCOME (57,356)
SHARE TRANSACTIONS 36,182,093
NET PROCEEDS FROM SALES OF SHARES
REINVESTMENT OF DISTRIBUTIONS 57,314
COST OF SHARES REDEEMED (3,121,662)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS 33,117,745
PURCHASE FEES 274,912
TOTAL INCREASE (DECREASE) IN NET ASSETS 35,254,747
NET ASSETS
BEGINNING OF PERIOD -
END OF PERIOD (INCLUDING UNDISTRIBUTED NET INVESTMENT INCOME OF $48,883) $ 35,254,747
OTHER INFORMATION
SHARES
SOLD 1,440,826
ISSUED IN REINVESTMENT OF DISTRIBUTIONS 2,358
REDEEMED (126,037)
NET INCREASE (DECREASE) 1,317,147
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C>
SEE ACCOMPANYING NOTES WHICH ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
</TABLE>
FINANCIAL HIGHLIGHTS
SELECTED PER-SHARE DATA NOVEMBER 5, 1997
(COMMENCEMENT
OF OPERATIONS) TO
FEBRUARY 28, 1998
<TABLE>
<CAPTION>
<S> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 25.00
INCOME FROM INVESTMENT OPERATIONS
NET INVESTMENT INCOME D .11
NET REALIZED AND UNREALIZED GAIN (LOSS) 1.43
TOTAL FROM INVESTMENT OPERATIONS 1.54
LESS DISTRIBUTIONS
FROM NET INVESTMENT INCOME (.07)
PURCHASE FEES ADDED TO PAID IN CAPITAL .30
NET ASSET VALUE, END OF PERIOD $ 26.77
TOTAL RETURN B, C 7.39%
RATIOS AND SUPPLEMENTAL DATA
NET ASSETS, END OF PERIOD (000 OMITTED) $ 35,255
RATIO OF EXPENSES TO AVERAGE NET ASSETS .26% A, E
RATIO OF NET INVESTMENT INCOME TO AVERAGE NET ASSETS 1.44% A
PORTFOLIO TURNOVER RATE 40% A
AVERAGE COMMISSION RATE F $ .0203
A ANNUALIZED
B TOTAL RETURNS FOR PERIODS OF LESS THAN ONE YEAR ARE NOT ANNUALIZED.
C THE TOTAL RETURN WOULD HAVE BEEN LOWER HAD CERTAIN EXPENSES NOT BEEN REDUCED DURING
THE PERIOD SHOWN (SEE NOTE 6 OF NOTES TO FINANCIAL STATEMENTS).
D NET INVESTMENT INCOME PER SHARE HAS BEEN CALCULATED BASED ON AVERAGE SHARES
OUTSTANDING DURING THE PERIOD.
E FMR AGREED TO REIMBURSE A PORTION OF THE FUND'S EXPENSES DURING THE PERIOD.
WITHOUT THIS REIMBURSEMENT, THE FUND'S EXPENSE RATIO WOULD HAVE BEEN HIGHER
(SEE NOTE 6 OF NOTES TO FINANCIAL STATEMENTS).
F A FUND IS REQUIRED TO DISCLOSE ITS AVERAGE COMMISSION RATE PER SHARE FOR SECURITY
TRADES ON WHICH COMMISSIONS ARE CHARGED. THIS AMOUNT MAY VARY FROM PERIOD TO
PERIOD AND FUND TO FUND DEPENDING ON THE MIX OF TRADES EXECUTED IN VARIOUS
MARKETS WHERE
TRADING PRACTICES AND COMMISSION RATE STRUCTURES MAY DIFFER.
</TABLE>
NOTES TO FINANCIAL STATEMENTS
FOR THE PERIOD ENDED FEBRUARY 28, 1998
1. SIGNIFICANT ACCOUNTING POLICIES.
Spartan Extended Market Index Fund (the fund) is a fund of Fidelity
Concord Street Trust (the trust) and is authorized to issue an
unlimited number of shares. The trust is registered under the
Investment Company Act of 1940, as amended (the 1940 Act), as an
open-end management investment company organized as a Massachusetts
business trust. The financial statements have been prepared in
conformity with generally accepted accounting principles which permit
management to make certain estimates and assumptions at the date of
the financial statements. The following summarizes the significant
accounting policies of the fund:
SECURITY VALUATION. Securities for which exchange quotations are
readily available are valued at the last sale price, or if no sale
price, at the closing bid price. Securities for which exchange
quotations are not readily available (and in certain cases debt
securities which trade on an exchange) are valued primarily using
dealer-supplied valuations or at their fair value as determined in
good faith under consistently applied procedures under the general
supervision of the Board of Trustees. Short-term securities with
remaining maturities of sixty days or less for which quotations are
not readily available are valued at amortized cost or original cost
plus accrued interest, both of which approximate current value.
FOREIGN CURRENCY TRANSLATION. The accounting records of the fund are
maintained in U.S. dollars. Investment securities and other assets and
liabilities denominated in a foreign currency are translated into U.S.
dollars at the prevailing rates of exchange at period end. Purchases
and sales of securities, income receipts and expense payments are
translated into U.S. dollars at the prevailing exchange rate on the
respective dates of the transactions.
Net realized gains and losses on foreign currency transactions
represent net gains and losses from sales and maturities of foreign
currency contracts, disposition of foreign currencies, the difference
between the amount of net investment income accrued and the U.S.
dollar amount actually received, and gains and losses between trade
date and settlement on purchases and sales of securities. The effects
of changes in foreign currency exchange rates on investments in
securities are included with the net realized and unrealized gain or
loss on investment securities.
INCOME TAXES. The fund intends to qualify as a regulated investment
company under Subchapter M of the Internal Revenue Code. By so
qualifying, the fund will not be subject to income taxes to the extent
that it distributes substantially all of its taxable income for its
fiscal year. The schedule of investments includes information
regarding income taxes under the caption "Income Tax Information."
INVESTMENT INCOME. Dividend income is recorded on the ex-dividend
date, except certain dividends from foreign securities where the
ex-dividend date may have passed, are recorded as soon as the fund is
informed of the ex-dividend date. Non-cash dividends included in
dividend income, if any, are recorded at the fair market value of the
securities received. Interest income, which includes accretion of
original issue discount, is accrued as earned. Investment income is
recorded net of foreign taxes withheld where recovery of such taxes is
uncertain.
EXPENSES. Most expenses of the trust can be directly attributed to a
fund. Expenses which cannot be directly attributed are apportioned
among the funds in the trust.
PREPAID EXPENSES. Fidelity Management & Research Company (FMR) bears
all organizational expenses except for registering and qualifying the
fund and shares of the fund for distribution under federal and state
securities law. These expenses are borne by the fund and amortized
over one year.
DISTRIBUTIONS TO SHAREHOLDERS. Distributions are recorded on the
ex-dividend date.
Income and capital gain distributions are determined in accordance
with income tax regulations which may differ from generally accepted
accounting principles. These differences, which may result in
distribution reclassifications, are primarily due to differing
treatments for futures transactions, market discount, partnerships and
losses deferred due to wash sales. The fund also utilized earnings and
profits distributed to shareholders on redemption of shares as a part
of the dividends paid deduction for income tax purposes.
Permanent book and tax basis differences relating to shareholder
distributions will result in reclassifications to paid in capital.
Undistributed net investment income and accumulated undistributed net
realized gain (loss) on investments and foreign currency transactions
may include temporary book and tax basis differences which will
reverse in a subsequent period. Any taxable income or gain remaining
at fiscal year end is distributed in the following year.
PURCHASE FEES. Shares purchased in the fund are subject to a purchase
fee equal to 0.75% of the amount invested. This fee, which is retained
by the fund, is accounted for as an addition to paid in capital.
SECURITY TRANSACTIONS. Security transactions are accounted for as of
trade date. Gains and losses on securities sold are determined on the
basis of identified cost.
2. OPERATING POLICIES.
FOREIGN CURRENCY CONTRACTS. The fund generally uses foreign currency
contracts to facilitate transactions in foreign-denominated
securities. Losses may arise from changes in the value of the foreign
currency or if the counterparties do not perform under the contracts'
terms. The U.S. dollar value of foreign currency contracts is
determined using contractual currency exchange rates established at
the time of each trade.
FUTURES CONTRACTS. The fund may use futures contracts to manage its
exposure to the stock market. Buying futures tends to increase the
fund's exposure to the underlying instrument, while selling futures
tends to decrease the fund's exposure to the
2. OPERATING POLICIES - CONTINUED
FUTURES CONTRACTS - CONTINUED
underlying instrument or hedge other fund investments. Futures
contracts involve, to varying degrees, risk of loss in excess of the
futures variation margin reflected in the Statement of Assets and
Liabilities. The underlying face amount at value of any open futures
contracts at period end is shown in the schedule of investments under
the caption "Futures Contracts." This amount reflects each contract's
exposure to the underlying instrument at period end. Losses may arise
from changes in the value of the underlying instruments or if the
counterparties do not perform under the contracts' terms. Gains
(losses) are realized upon the expiration or closing of the futures
contracts. Futures contracts are valued at the settlement price
established each day by the board of trade or exchange on which they
are traded.
3. PURCHASES AND SALES OF INVESTMENTS.
Purchases and sales of securities, other than short-term securities,
aggregated $31,091,750 and $2,120,869, respectively.
The market value of futures contracts opened and closed during the
period amounted to $20,164,545 and $16,663,238, respectively.
4. FEES AND OTHER TRANSACTIONS WITH AFFILIATES.
MANAGEMENT FEE. As the fund's investment adviser, FMR receives a fee
that is computed daily at an annual rate of .24% of the fund's average
net assets.
SUB-ADVISER FEE. FMR and the fund have entered into a sub-advisory
agreement with Bankers Trust Company (Bankers Trust). Bankers Trust
receives a sub-advisory fee for providing investment management,
securities lending and custodial services to the fund. For these
services, FMR pays Bankers Trust fees at an annual rate of 0.0125% of
the fund's average net assets. In addition, the fund pays Bankers
Trust fees equal to 40% of net income from the fund's security lending
program. For the period, the fund paid Bankers Trust $917.
TRANSFER AGENT FEES. Fidelity Service Company, Inc. (FSC), an
affiliate of FMR, is the fund's transfer, dividend disbursing and
shareholder servicing agent. FSC receives account fees and asset-based
fees that vary according to account size and type of account. FSC pays
for typesetting, printing and mailing of all shareholder reports,
except proxy statements. For the period, the transfer agent fees were
equivalent to an annualized rate of .14% of average net assets.
ACCOUNTING FEES. FSC maintains the fund's accounting records. The fee
is based on the level of average net assets for the month plus
out-of-pocket expenses.
5. SECURITY LENDING.
The fund loaned securities to certain brokers who paid the fund
negotiated lenders' fees. These fees are included in interest income.
The fund receives U.S. Treasury obligations and/or cash as collateral
against the loaned securities, in an amount at least equal to 102% of
the market value of the loaned securities at the inception of each
loan. This collateral must be maintained at not less than 100% of the
market value of the loaned securities during the period of the loan.
At period end, the value of the securities loaned and the value of
collateral amounted to $345,878 and $349,722.
6. EXPENSE REDUCTIONS.
FMR voluntarily agreed to reimburse the fund's operating expenses
(excluding sub-advisory fees associated with securities lending,
interest, taxes, brokerage commissions and extraordinary expenses)
above an annual rate of 0.25% of average net assets. For the period,
the reimbursement reduced the expenses by $94,202.
7. BENEFICIAL INTEREST.
At the end of the period, FMR was record owner of approximately 38% of
the total outstanding shares of the fund.
REPORT OF INDEPENDENT ACCOUNTANTS
To the Trustees of Fidelity Concord Street Trust and the Shareholders
of Spartan Extended Market Index Fund:
We have audited the accompanying statement of assets and liabilities
of Fidelity Concord Street Trust: Spartan Extended Market Index Fund,
including the schedule of portfolio investments, as of February 28,
1998, and the related statement of operations, the statement of
changes in net assets and the financial highlights for the period
November 5, 1997 (commencement of operations) to February 28, 1998.
These financial statements and financial highlights are the
responsibility of the fund's management. Our responsibility is to
express an opinion on these financial statements and financial
highlights based on our audit.
We conducted our audit 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
and financial highlights 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 as of February 28, 1998 by
correspondence with the custodian 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 audit provides a
reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights
referred to above present fairly, in all material respects, the
financial position of Fidelity Concord Street Trust: Spartan Extended
Market Index Fund as of February 28, 1998, the results of its
operations, the changes in its net assets, and the financial
highlights for the period November 5, 1997 (commencement of
operations) to February 28, 1998, in conformity with generally
accepted accounting principles.
/s/Coopers & Lybrand L.L.P.
COOPERS & LYBRAND L.L.P.
Boston, Massachusetts
April 3, 1998
DISTRIBUTIONS
The Board of Trustees of Spartan Extended Market Index Fund voted to
pay to shareholders of record at the opening of business on record
date, the following distribution derived from capital gains realized
from sales of portfolio securities, and dividends derived from net
investment income:
PAY DATE 4/6/98
RECORD DATE 4/3/98
DIVIDENDS $.04
SHORT-TERM
CAPITAL GAIN $.10
LONG-TERM
CAPITAL GAINS $.08
LONG-TERM
CAPITAL GAIN BREAKDOWN:
28% rate -
20% rate 100%
A total of 44.56% of the dividends distributed during the fiscal year
was derived from interest on U.S. Government securities which is
generally exempt from state income tax.
A total of 43.29% of the dividends distributed during the fiscal year
qualifies for the dividends-received deduction for corporate
shareholders.
The fund will notify shareholders in January 1999 of these percentages
for use in preparing 1998 income tax returns.
MANAGING YOUR INVESTMENTS
Fidelity offers several ways to conveniently manage your personal
investments via your telephone or PC. You can access your account
information, conduct trades and research your investments 24 hours a
day.
BY PHONE
Fidelity TouchTone Xpressprovides a single toll-free number to access
account balances, positions, quotes and trading. It's easy to navigate
the service, and on your first call, the system will help you create a
personal identification number (PIN) for security.
SM
(PHONE_GRAPHIC)TOUCHTONE XPRESS
1-800-544-5555
PRESS
For mutual fund and brokerage trading.
For quotes.*
For account balances and holdings.
To review orders and mutual
fund activity.
To change your PIN.
To speak to a Fidelity representative.
0
*
BY PC
Fidelity's Web site on the Internet provides a wide range of
information, including daily financial news, fund performance,
interactive planning tools and news about Fidelity products and
services.
(PHONE_GRAPHIC)FIDELITY'S WEB SITE
WWW.FIDELITY.COM
If you are not currently on the Internet, call Fidelity
at 1-800-544-7272 for significant savings on Web access from
internetMCI.
SM
(PHONE_GRAPHIC)
FIDELITY ON-LINE XPRESS+
TM
Fidelity On-line Xpress+ software for Windows combines comprehensive
portfolio management capabilities, securities trading and access to
research and analysis tools . . . all on your desktop. Call Fidelity
at 1-800-544-7272 or visit our Web site for more information on how to
manage your investments via your PC.
* WHEN YOU CALL THE QUOTES LINE, PLEASE REMEMBER THAT A FUND'S YIELD
AND RETURN WILL VARY AND, EXCEPT FOR MONEY MARKET FUNDS, SHARE PRICE
WILL ALSO VARY. THIS MEANS
THAT YOU MAY HAVE A GAIN OR LOSS WHEN YOU SELL YOUR SHARES. THERE IS
NO ASSURANCE THAT MONEY MARKET FUNDS WILL BE ABLE TO MAINTAIN A STABLE
$1 SHARE PRICE; AN
INVESTMENT IN A MONEY MARKET FUND IS NOT INSURED OR GUARANTEED BY THE
U.S. GOVERNMENT. TOTAL RETURNS ARE HISTORICAL AND INCLUDE CHANGES IN
SHARE PRICE,
REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS, AND THE EFFECTS OF ANY
SALES CHARGES.
TO WRITE FIDELITY
If more than one address is listed, please locate the address that is
closest to you. We'll give your correspondence immediate attention and
send you written confirmation upon completion of your request.
(LETTER_GRAPHIC)MAKING CHANGES
TO YOUR ACCOUNT
(such as changing name, address, bank, etc.)
Fidelity Investments
P.O. Box 770001
Cincinnati, OH 45277-0002
(LETTER_GRAPHIC)FOR NON-RETIREMENT
ACCOUNTS
BUYING SHARES
Fidelity Investments
P.O. Box 770001
Cincinnati, OH 45277-0003
OVERNIGHT EXPRESS
Fidelity Investments
2300 Litton Lane - KH1A
Hebron, KY 41048
SELLING SHARES
Fidelity Investments
P.O. Box 660602
Dallas, TX 75266-0602
OVERNIGHT EXPRESS
Fidelity Investments
Attn: Redemptions - CP61
400 East Las Colinas Blvd.
Irving, TX 75309-5517
GENERAL CORRESPONDENCE
Fidelity Investments
P.O. Box 500
Merrimack, NH 03054-0500
(LETTER_GRAPHIC)FOR RETIREMENT
ACCOUNTS
BUYING SHARES
Fidelity Investments
P.O. Box 770001
Cincinnati, OH 45277-0003
SELLING SHARES
Fidelity Investments
P.O. Box 660602
Dallas, TX 75266-0602
OVERNIGHT EXPRESS
Fidelity Investments
Attn: Redemptions - CP6R
400 East Las Colinas Blvd.
Irving, TX 75309-5517
GENERAL CORRESPONDENCE
Fidelity Investments
P.O. Box 500
Merrimack, NH 03054-0500
INVESTMENT ADVISER
Fidelity Management & Research Company
Boston, MA
INVESTMENT SUB-ADVISER
Bankers Trust Company
New York, NY
OFFICERS
Edward C. Johnson 3d, PRESIDENT
Robert C. Pozen, SENIOR VICE PRESIDENT
Robert A. Lawrence, VICE PRESIDENT
Eric D. Roiter, SECRETARY
Richard A. Silver, TREASURER
John H. Costello, ASSISTANT TREASURER
Leonard M. Rush, ASSISTANT TREASURER
BOARD OF TRUSTEES
Ralph F. Cox *
Phyllis Burke Davis *
Robert M. Gates *
Edward C. Johnson 3d
E. Bradley Jones *
Donald J. Kirk *
Peter S. Lynch
Marvin L. Mann *
William O. McCoy *
Gerald C. McDonough *
Robert C. Pozen
Thomas R. Williams *
ADVISORY BOARD
J. Gary Burkhead
GENERAL DISTRIBUTOR
Fidelity Distributors Corporation
Boston, MA
TRANSFER AND SHAREHOLDER SERVICING AGENT
Fidelity Service Company, Inc.
Boston, MA
CUSTODIAN
Bankers Trust Company
New York, NY
* INDEPENDENT TRUSTEES
(2_FIDELITY_LOGOS)
SPARTAN(registered trademark)
TOTAL MARKET INDEX
FUND
ANNUAL REPORT
FEBRUARY 28, 1998
CONTENTS
<TABLE>
<CAPTION>
<S> <C> <C>
PRESIDENT'S MESSAGE 3 NED JOHNSON ON INVESTING STRATEGIES.
PERFORMANCE 4 HOW THE FUND HAS DONE OVER TIME.
FUND TALK 5 THE MANAGER'S REVIEW OF FUND PERFORMANCE, STRATEGY
AND OUTLOOK.
INVESTMENT SUMMARY 6 A SUMMARY OF THE FUND'S INVESTMENTS.
INVESTMENTS 7 A COMPLETE LIST OF THE FUND'S INVESTMENTS WITH THEIR
MARKET VALUES.
FINANCIAL STATEMENTS 25 STATEMENTS OF ASSETS AND LIABILITIES, OPERATIONS, AND
CHANGES IN NET ASSETS, AS WELL AS FINANCIAL HIGHLIGHTS.
NOTES 27 NOTES TO THE FINANCIAL STATEMENTS.
REPORT OF INDEPENDENT ACCOUNTANTS 29 THE AUDITORS' OPINION.
DISTRIBUTIONS 30
</TABLE>
THIS REPORT AND THE FINANCIAL STATEMENTS CONTAINED HEREIN ARE
SUBMITTED FOR THE GENERAL INFORMATION OF THE SHAREHOLDERS OF THE FUND.
THIS REPORT IS NOT AUTHORIZED FOR
DISTRIBUTION TO PROSPECTIVE INVESTORS IN THE FUND UNLESS PRECEDED OR
ACCOMPANIED BY AN EFFECTIVE PROSPECTUS.
MUTUAL FUND SHARES ARE NOT DEPOSITS OR OBLIGATIONS OF, OR GUARANTEED
BY, ANY DEPOSITORY INSTITUTION. SHARES ARE NOT
INSURED BY THE FDIC, FEDERAL RESERVE BOARD OR ANY OTHER AGENCY, AND
ARE SUBJECT TO INVESTMENT RISKS, INCLUDING
POSSIBLE LOSS OF PRINCIPAL AMOUNT INVESTED.
NEITHER THE FUND NOR FIDELITY DISTRIBUTORS CORPORATION IS A BANK.
PRESIDENT'S MESSAGE
DEAR SHAREHOLDER:
Through the first two months of 1998, investors were still trying to
discern what effects ongoing troubles in Southeast Asia might have on
global economies and markets. The U.S. stock market continued to do
well despite these ongoing uncertainties, paced by sustained corporate
profits and signs of recovery in the Asian markets. Bonds, on the
other hand, struggled somewhat in February as the pace of stock
investors' "flight to quality" slowed in the face of this positive
news, and issuers flooded the market with new debt to take advantage
of lower interest rates. Nonetheless, these lower rates, subdued
inflation and moderate growth created a generally favorable climate
for bond investors.
While it's impossible to predict the future direction of the markets
with any degree of certainty, there are certain basic principles that
can help investors plan for their future needs.
First, investors are encouraged to take a long-term view of their
portfolios. If you can afford to leave your money invested through the
inevitable up and down cycles of the financial markets, you will
greatly reduce your vulnerability to any single decline. We know from
experience, for example, that stock prices have gone up over longer
periods of time, have significantly outperformed other types of
investments and have stayed ahead of inflation.
Second, you can further manage your investing risk through
diversification. A stock mutual fund, for instance, is already
diversified, because it invests in many different companies. You can
increase your diversification further by investing in a number of
different stock funds, or in such other investment categories as
bonds. If you have a short investment time horizon, you might want to
consider moving some of your investment into a money market fund,
which seeks income and a stable share price by investing in
high-quality, short-term investments. Of course, it's important to
remember that there is no assurance that a money market fund will
achieve its goal of maintaining a stable net asset value of $1.00 per
share, and that these types of funds are neither insured nor
guaranteed by any agency of the U.S. government.
Finally, no matter what your time horizon or portfolio diversity, it
makes good sense to follow a regular investment plan, investing a
certain amount of money in a fund at the same time each month or
quarter and periodically reviewing your overall portfolio. By doing
so, you won't get caught up in the excitement of a rapidly rising
market, nor will you buy all your shares at market highs. While this
strategy - known as dollar cost averaging - won't assure a profit or
protect you from a loss in a declining market, it should help you
lower the average cost of your purchases.
If you have questions, please call us at 1-800-544-8888. We are
available 24 hours a day, seven days a week to provide you the
information you need to make the investments that are right for you.
Best regards,
Edward C. Johnson 3d
PERFORMANCE: THE BOTTOM LINE
There are several ways to evaluate a fund's historical performance.
You can look at the total percentage change in value, the average
annual percentage change or the growth of a hypothetical $10,000
investment. Total return reflects the change in the value of an
investment, assuming reinvestment of the fund's dividend income and
capital gains (the profits earned upon the sale of securities that
have grown in value) and the effect of the 0.50% purchase fee. If
Fidelity had not reimbursed certain fund expenses, the total returns
would have been lower.
CUMULATIVE TOTAL RETURNS
PERIOD ENDED PAST 3 LIFE OF
FEBRUARY 28, 1998 MONTHS FUND
SPARTAN TOTAL MARKET INDEX 10.07% 11.48%
SPARTAN TOTAL MARKET INDEX 9.52% 10.92%
(INCL. 0.50% PURCHASE FEE)
WILSHIRE 5000 9.86% 10.19%
CUMULATIVE TOTAL RETURNS show the fund's performance in percentage
terms over a set period - in this case, three months, or since the
fund started on November 5, 1997. For example, if you had invested
$1,000 in a fund that had a 5% return over the past year, the value of
your investment would be $1,050. You can compare the fund's return to
the Wilshire 5000 Index - an unmanaged index of approximately 7,400
U.S. equity securities. This benchmark includes reinvested dividends
and capital gains, if any, and excludes the effect of sales charges.
AVERAGE ANNUAL TOTAL RETURNS
AVERAGE ANNUAL TOTAL RETURNS take the fund's cumulative return and
show you what would have happened if the fund had performed at a
constant rate each year. These numbers will be reported once the fund
is a year old. In addition, the growth of the hypothetical $10,000
investment in the fund will appear in the fund's next report six
months from now.
UNDERSTANDING PERFORMANCE
How a fund did yesterday is no guarantee of how
it will do tomorrow. The stock market, for example,
has a history of long-term growth and short-term
volatility. In turn, the share price and return of a
fund that invests in stocks will vary. That means if
you sell your shares during a market downturn,
you might lose money. But if you can ride out the
market's ups and downs, you may have a gain.
(checkmark)
FUND TALK: THE MANAGER'S OVERVIEW
An interview with
Frank Salerno, Portfolio Manager of Spartan
Total Market Index Fund for Bankers Trust, sub-adviser of the fund
Q. HOW DID THE FUND PERFORM, FRANK?
A. From its inception on November 5, 1997, through February 28, 1998,
the fund posted a total return of 11.48% (not counting the purchase
fee), while the Wilshire 5000 Index returned 10.19%. Most of the
difference in the performance between the fund and the index took
place in the fund's first few weeks. For the three months from
November 30, 1997, through February 28, 1998, the fund returned
10.07%, or much closer to the index's return of 9.86% for the same
period.
Q. HOW WOULD YOU CHARACTERIZE THE MARKET ENVIRONMENT DURING THE PAST
FOUR MONTHS?
A. After posting strong gains from the start of 1997 through the
beginning of October, the U.S. stock market experienced some
volatility from that point on through to the end of February. There
were a couple of reasons behind this volatility. First, Federal
Reserve Board Chairman Alan Greenspan said the low jobless rate in the
U.S. could lead to wage increases and inflationary pressures -
conditions that could have tempted the Fed to raise short-term
interest rates. On top of that, Southeast Asian economies began a
freefall after several countries in the region experienced currency
difficulties. As fears about the global effects of the Asian turmoil
began surfacing, the U.S. stock market took a big hit on October 27,
just before the fund commenced operations, with the Dow Jones
Industrial Average experiencing its biggest one-day point drop in
history. The Dow rebounded significantly the next day, but the two-day
turbulence paved the way for the market's ups and downs over the next
several months. Investors began a "flight to quality" at the end of
1997 and into the first months of 1998 - meaning they sought out the
more liquid, large-cap stocks, as well as U.S. Treasury bonds and
utility stocks. For the most part, this drove the market higher -
especially in early 1998 - but at times left many smaller-cap
companies in the dust. At other times over the past few months,
small-caps rebounded because many of them tend to have domestically
oriented business and little exposure to Asia. At the end of February
1998, Greenspan cautioned that the Asian financial turmoil created
"storm clouds" over the U.S. economy, while warning about the
inflation threats caused by an unusually tight labor market.
Q. FINANCE STOCKS HAVE PERFORMED WELL OVER THE PAST FEW YEARS. HOW DID
THIS SECTOR PERFORM MORE RECENTLY?
A. Most banks and brokerage stocks have performed well as a result of
low interest rates, additional fee-based revenues, increased merger
and acquisition activity and robust capital markets. Many finance
stocks - especially those with sizeable exposures to international
markets - suffered a correction in late 1997, but rebounded in early
1998.
Q. TECHNOLOGY ALSO HAS BEEN A STRONG DRIVER OF THE MARKET'S RETURNS
OVER THE PAST FEW YEARS. HOW DID THAT SECTOR FARE MORE RECENTLY?
A. The technology sector as a whole fell victim to the Asian
financial crisis in the fourth quarter of 1997 and into early 1998.
Technology companies, especially semiconductor and component makers,
export many of their products to the Far East, so their stocks took a
hit in anticipation of reduced future earnings. Software makers that
primarily earn their revenues through domestic business continued to
perform well, and large-cap names such as Microsoft benefited from the
flight to quality at the end of the period.
Q. WHAT ABOUT HEALTH CARE STOCKS?
A. These stocks generally performed well since the fund began.
Pharmaceutical stocks led the sector's gains, fueled by solid
earnings, the recent flight to quality and accelerated reviews by the
Food and Drug Administration (FDA).
Q. WERE THERE ANY SECTORS OF THE MARKET THAT PROVED TO BE
DISAPPOINTING?
A. Energy stocks were hurt by the Asian crisis because Asia is
responsible for a large portion of the growth in demand for most
energy commodities.
Q. WHAT'S YOUR OUTLOOK?
A. At the end of the period, Greenspan warned about the possibility of
inflation caused by unusually tight labor markets, despite the "storm
clouds" created by the turbulence in Asia. These competing interests
seem to signal steady monetary policy in the near future. In addition,
the U.S. economy continues to grow at a moderate rate, which bodes
well for long-term gains in the stock market.
FUND FACTS
START DATE:
FUND NUMBER:
TRADING SYMBOL:
SIZE:
MANAGER:
(checkmark)
INVESTMENT SUMMARY
TOP TEN STOCKS AS OF FEBRUARY 28, 1998
% OF FUND'S INVESTMENTS
GENERAL ELECTRIC CO. 2.0
MICROSOFT CORP. 1.6
COCA-COLA CO. (THE) 1.3
EXXON CORP. 1.2
MERCK & CO., INC. 1.2
INTEL CORP. 1.1
PROCTER & GAMBLE CO. 0.9
PFIZER, INC. 0.9
PHILIP MORRIS COMPANIES, INC. 0.8
WAL-MART STORES, INC. 0.8
TOP TEN MARKET SECTORS AS OF FEBRUARY 28, 1998
% OF FUND'S INVESTMENTS
FINANCE 15.3
TECHNOLOGY 13.0
HEALTH 9.4
UTILITIES 8.2
NONDURABLES 7.0
ENERGY 5.3
MEDIA & LEISURE 4.6
RETAIL & WHOLESALE 4.4
INDUSTRIAL MACHINERY & EQUIPMENT 4.3
BASIC INDUSTRIES 4.2
INVESTMENTS FEBRUARY 28, 1998
SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENT IN SECURITIES
COMMON STOCKS - 86.0%
SHARES VALUE (NOTE 1)
AEROSPACE & DEFENSE - 1.6%
AEROSPACE & DEFENSE - 1.3%
AAR Corp. 150 $ 4,556
AlliedSignal, Inc. 1,500 63,844
BE Aerospace, Inc. (a) 200 5,888
Boeing Co. 2,700 146,475
Gulfstream Aerospace Corp. (a) 300 12,150
Harsco Corp. 100 4,188
Lockheed Martin Corp. 500 58,344
Orbital Sciences Corp. (a) 200 7,625
Precision Castparts Corp. 200 11,088
Rockwell International Corp. 700 42,350
Sundstrand Corp. 300 18,150
Textron, Inc. 600 44,963
Thiokol Corp. 100 9,563
United Technologies Corp. 600 53,588
Wyman-Gordon Co. (a) 300 6,000
488,772
DEFENSE ELECTRONICS - 0.2%
Litton Industries, Inc. (a) 100 6,225
Northrop Grumman Corp. 200 27,800
Raytheon Co. Class B 800 47,050
Stanford Telecommunications, Inc. (a) 100 1,863
Tracor, Inc. (a) 100 3,063
86,001
SHIP BUILDING & REPAIR - 0.1%
General Dynamics Corp. 200 17,350
Halter Marine Group, Inc. (a) 200 3,925
Newport News Shipbuilding, Inc. 100 2,725
24,000
TOTAL AEROSPACE & DEFENSE 598,773
BASIC INDUSTRIES - 4.2%
CHEMICALS & PLASTICS - 2.2%
ARCO Chemical Co. 200 9,463
Air Products & Chemicals, Inc. 300 25,181
Airgas, Inc. (a) 100 1,794
Albemarle Corp. 100 2,438
Avery Dennison Corp. 400 20,200
Betz Dearborn, Inc. 200 12,838
Cabot Corp. 100 3,525
Crompton & Knowles Corp. 300 9,038
Cytec Industries, Inc. (a) 200 9,775
Dow Chemical Co. 600 54,900
du Pont (E.I.) de Nemours & Co. 3,200 196,200
Eastman Chemical Co. 300 19,650
Engelhard Corp. 600 10,875
Ethyl Corp. 200 1,650
FMC Corp. (a) 100 7,238
Ferro Corp. 150 4,041
Geon Co. 100 2,000
Georgia Gulf Corp. 200 6,588
Goodrich (B.F.) Co. 270 13,382
Great Lakes Chemical Corp. 300 14,588
Hanna (M.A.) Co. 100 2,319
Hercules, Inc. 400 19,325
IMC Global, Inc. 400 15,275
International Specialty Products, Inc. (a) 100 1,594
Lubrizol Corp. 300 11,569
Lyondell Petrochemical Co. 100 2,725
Millennium Chemicals, Inc. 400 10,325
Minerals Technologies, Inc. 100 4,775
Monsanto Co. 1,600 81,400
SHARES VALUE (NOTE 1)
Morton International, Inc. 500 $ 16,531
NL Industries, Inc. (a) 100 1,488
Nalco Chemical Co. 300 12,075
Olin Corp. 100 4,581
PPG Industries, Inc. 600 38,888
Praxair, Inc. 500 23,906
Quaker State Corp. 100 1,513
Raychem Corp. 400 17,375
Rohm & Haas Co. 200 20,388
Schulman (A.), Inc. 200 5,100
Scotts Co. Class A (a) 100 3,400
Sealed Air Corp. (a) 200 13,463
Solutia, Inc. 200 5,463
Terra Industries, Inc. 100 1,188
Union Carbide Corp. 500 23,219
Valhi, Inc. 100 963
Valspar Corp. 100 3,506
Wellman, Inc. 100 2,150
Witco Corp. 100 3,981
W.R. Grace & Co. 300 25,181
799,030
IRON & STEEL - 0.3%
AK Steel Holding Corp. 400 7,475
Aeroquip Vickers, Inc. 100 5,806
Allegheny Teledyne, Inc. 700 18,988
Bethlehem Steel Corp. (a) 500 5,313
Birmingham Steel Corp. 100 1,756
Cleveland Cliffs, Inc. 100 5,138
ICO, Inc. 100 475
Inland Steel Industries, Inc. 300 6,188
LTV Corp. 500 6,031
Lukens, Inc. 100 3,000
Mueller Industries, Inc. (a) 100 5,513
NS Group, Inc. (a) 200 2,850
National Steel Corp. Class B 100 1,550
Nucor Corp. 300 15,450
Oregon Steel Mills, Inc. 100 2,013
Quanex Corp. 100 3,313
Steel Dynamics, Inc. (a) 300 5,700
Titan International, Inc. 100 1,875
USX-U.S. Steel Group 400 14,050
WHX Corp. (a) 100 1,363
Worthington Industries, Inc. 500 8,563
122,410
METALS & MINING - 0.4%
Alumax, Inc. (a) 300 11,119
Aluminum Co. of America 600 44,025
ASARCO, Inc. 300 6,638
Cable Design Technology Corp. (a) 150 4,359
Commonwealth Industries, Inc. 100 1,456
Commscope, Inc. 200 2,675
Cyprus Amax Minerals Co. 500 8,188
Essex International, Inc. 200 7,775
Freeport-McMoRan Copper
& Gold, Inc. Class B 800 12,050
General Cable Corp. 100 4,144
Handy & Harman 100 3,644
International FiberCom, Inc. (a) 100 600
Kaiser Aluminum Corp. (a) 100 981
Martin Marietta Materials, Inc. 300 11,419
Oregon Metallurgical Corp. (a) 100 3,450
Phelps Dodge Corp. 200 12,700
Reynolds Metals Co. 300 18,694
Titanium Metals Corp. (a) 200 6,025
159,942
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
BASIC INDUSTRIES - CONTINUED
PACKAGING & CONTAINERS - 0.3%
Ball Corp. 200 $ 6,525
Bemis Co., Inc. 100 4,506
Corning, Inc. 800 32,500
Crown Cork & Seal Co., Inc. 500 27,000
Owens-Illinois, Inc. (a) 300 11,513
Sonoco Products Co. 300 11,606
Tupperware Corp. 100 2,688
96,338
PAPER & FOREST PRODUCTS - 1.0%
American Pad & Paper Co. (a) 100 831
Boise Cascade Corp. 300 9,994
Bowater, Inc. 200 9,900
Caraustar Industries, Inc. 100 3,375
Champion International Corp. 300 15,319
Chesapeake Corp. 100 3,394
Consolidated Papers, Inc. 100 5,806
Fort James Corp. 500 22,688
Georgia-Pacific Corp. 300 17,606
Georgia-Pacific Corp. (Timber Group) 400 9,125
International Paper Co. 800 37,300
Jefferson Smurfit Corp. (a) 200 2,988
Kimberly-Clark Corp. 1,742 97,008
Louisiana-Pacific Corp. 500 10,969
Mail-Well, Inc. (a) 100 3,988
Mead Corp. 400 13,675
Pentair, Inc. 100 4,119
Potlatch Corp. 100 4,331
St. Joe Corp. 100 3,413
Stone Container Corp. (a) 100 1,125
Temple-Inland, Inc. 200 11,925
Union Camp Corp. 300 17,925
Unisource Worldwide, Inc. 300 4,088
Westvaco Corp. 200 6,500
Weyerhaeuser Co. 700 34,956
Willamette Industries, Inc. 200 7,388
359,736
TOTAL BASIC INDUSTRIES 1,537,456
CONSTRUCTION & REAL ESTATE - 2.0%
BUILDING MATERIALS - 0.4%
Aavid Thermal Technologies, Inc. (a) 100 3,438
American Residential Services, Inc. (a) 100 1,088
American Standard Companies, Inc. (a) 300 13,350
Armstrong World Industries, Inc. 200 15,700
CalMat Co. 100 2,875
Coltec Industries, Inc. (a) 100 2,606
Crane Co. 100 4,900
Dal-Tile International, Inc. (a) 100 1,131
Industrial Holdings, Inc. (a) 100 1,200
Johns-Manville Corp. 200 2,413
Lafarge Corp. 100 3,356
Mark IV Industries, Inc. 300 6,975
Masco Corp. 600 32,625
Medusa Corp. 200 9,463
Owens-Corning 100 3,088
RPM, Inc. 525 8,925
ROHN Industries, Inc. 100 578
Sherwin-Williams Co. 700 23,406
Tecumseh Products Co. Class A 200 10,025
USG Corp. (a) 100 5,463
Watsco, Inc. Class A 100 2,738
York International Corp. 300 13,181
168,524
SHARES VALUE (NOTE 1)
CONSTRUCTION - 0.2%
American Homestar Corp. (a) 200 $ 4,138
Centex Corp. 100 7,306
Clayton Homes, Inc. 200 3,975
Continental Homes Holding Corp. 100 4,806
D.R. Horton, Inc. 300 6,994
Engle Homes, Inc. 200 3,400
Fleetwood Enterprises, Inc. 200 9,375
Kaufman & Broad Home Corp. 100 2,588
Morrison Knudsen Corp. (a) 100 1,219
Oakwood Homes Corp. 200 7,925
Toll Brothers, Inc. (a) 200 6,000
Walter Industries, Inc. (a) 100 1,906
59,632
ENGINEERING - 0.2%
Apogee Enterprises, Inc. 300 3,881
Billing Information Concepts Corp. (a) 300 8,700
DSP Group, Inc. (a) 100 2,463
EG & G, Inc. 300 8,081
Fluor Corp. 400 18,825
Foster Wheeler Corp. 200 5,350
IDM Environmental Corp. (a) 100 481
MasTec, Inc. (a) 100 2,800
Sylvan Learning Systems (a) 200 9,163
59,744
REAL ESTATE - 0.1%
American International Petroleum Corp. (a) 100 356
Cadiz Land Inc. (a) 200 1,638
Catellus Development Corp. (a) 100 1,813
Fairfield Communities, Inc. (a) 300 6,713
Kapson Senior Quarters Corp. (a) 100 1,419
Pierce Leahy Corp. 100 2,556
Price Enterprises, Inc. 100 1,988
Rouse Co. (The) 300 9,975
Stewart Enterprises, Inc. Class A 300 14,138
40,596
REAL ESTATE INVESTMENT TRUSTS - 1.1%
Apartment Investment & Management
Co. Class A 200 7,288
Arden Realty Group, Inc. 200 5,713
Bay Apartment Communities, Inc. 100 3,781
Boston Properties, Inc. 200 6,800
Brandywine Realty Trust 100 2,363
Camden Property Trust (SBI) 300 8,681
Capstead Mortgage Corp. 400 7,600
CarrAmerica Realty Corp. 300 8,925
Colonial Properties Trust (SBI) 100 3,038
Cornerstone Properties, Inc. 100 1,788
Crescent Real Estate Equities, Inc. 500 17,031
Developers Diversified Realty Corp. 200 8,163
Duke Realty Investors, Inc. 400 9,175
Equity Inns, Inc. 100 1,588
Equity Office Properties Trust 740 21,830
Equity Residential Properties Trust (SBI) 400 19,175
Felcor Suite Hotels, Inc. 200 7,175
First Industrial Realty Trust, Inc. 200 7,225
First Union Real Estate Equity &
Mortgage Investments 100 1,181
Gables Residential Trust (SBI) 100 2,644
Glenborough Realty Trust, Inc. 100 2,850
Glimcher Realty Trust (SBI) 100 2,250
Health and Retirement Properties Trust 400 8,000
Highwoods Properties, Inc. 300 10,444
Hospitality Properties Trust (SBI) 300 10,500
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
CONSTRUCTION & REAL ESTATE - CONTINUED
REAL ESTATE INVESTMENT TRUSTS - CONTINUED
INMC Mortgage Holdings, Inc. 300 $ 7,894
JDN Realty Corp. 100 3,325
Kilroy Realty Corp. 100 2,631
Kimco Realty Corp. 100 3,513
Liberty Property Trust (SBI) 300 7,969
Mack-Cali Realty Corp. 300 11,325
Merry Land & Investment Co., Inc. 100 2,319
Mills Corp. 200 5,338
Nationwide Health Properties, Inc. 100 2,644
New Plan Realty Trust (SBI) 300 7,481
Oasis Residential, Inc. 100 2,144
Ocwen Asset Investment Corp. 200 3,938
Patriot American Hospitality, Inc. 400 10,000
Post Properties, Inc. 200 7,800
Prentiss Properties Trust (SBI) 200 5,338
Price, Inc. CL B 100 4,456
Public Storage, Inc. 500 15,406
Reckson Associates Realty Corp. 300 7,556
Redwood Trust, Inc. 100 1,950
Security Capital Atlantic, Inc. 100 2,125
Security Capital Industrial Trust, Inc. 200 4,850
Security Capital Pacific Trust (SBI) 200 4,588
Simon Debartolo Group, Inc. 600 18,525
Spieker Properties, Inc. 300 11,906
Starwood Hotels & Resorts Trust 383 21,663
Sunstone Hotel Investors, Inc. 100 1,600
Thornburg Mortgage Asset Corp. 100 1,550
Trinet Corporate Realty Trust, Inc. 100 3,875
United Dominion Realty Trust, Inc. 500 7,000
Vornado Realty Trust 300 12,731
Walden Residential Properties, Inc. 100 2,475
Westfield America, Inc. 100 1,788
392,911
TOTAL CONSTRUCTION & REAL ESTATE 721,407
DURABLES - 3.4%
AUTOS, TIRES, & ACCESSORIES - 2.1%
AutoZone, Inc. (a) 600 18,150
Bandag, Inc. 200 11,213
Borg-Warner Automotive, Inc. 100 5,863
Breed Technologies, Inc. 200 4,350
Casey's General Stores, Inc. 400 6,025
Chrysler Corp. 1,800 70,088
Cooper Tire & Rubber Co. 200 4,613
Cummins Engine Co., Inc. 200 11,575
Dana Corp. 400 21,825
Danaher Corp. 100 7,194
Eaton Corp. 300 28,819
Echlin, Inc. 300 15,169
Federal-Mogul Corp. 100 4,906
Federal Signal Co. 300 7,050
Ford Motor Co. 3,300 186,656
General Motors Corp. 1,900 130,981
Gentex Corp. (a) 200 6,450
Genuine Parts Co. 700 25,900
Getty Petroleum Marketing, Inc. (a) 100 675
Goodyear Tire & Rubber Co. 400 27,650
ITT Industries, Inc. 300 10,275
Intermet Corp. 100 1,975
Johnson Controls, Inc. 400 22,225
Lear Corp. (a) 300 15,863
SHARES VALUE (NOTE 1)
Mascotech, Inc. 100 $ 2,075
Meritor Automotive, Inc. 300 7,500
Miller Industries, Inc. (a) 100 725
NGC Corp. 200 3,100
Navistar International Corp. (a) 100 3,038
OmniQuip International, Inc. 100 2,500
O'Reilly Automotive, Inc. (a) 200 5,938
PACCAR, Inc. 300 18,994
Pep Boys-Manny, Moe & Jack 400 10,250
SPX Corp. 100 7,469
Snap-On Tools Corp. 300 12,750
Standard Products Co. 100 3,263
TRW, Inc. 500 27,406
Tower Automotive, Inc. (a) 100 4,544
Ugly Duckling Corp. (a) 100 1,000
United Auto Group, Inc. (a) 200 3,288
Wabash National Corp. 100 2,969
762,299
CONSUMER DURABLES - 0.3%
Blyth Industries, Inc. (a) 200 6,013
Dupont Photomasks, Inc. (a) 100 4,400
Minnesota Mining & Manufacturing Co. 1,100 93,844
SAF T LOK, Inc. (a) 100 378
Samsonite Corp. (a) 200 6,600
Sola Group Ltd. (a) 100 3,794
115,029
CONSUMER ELECTRONICS - 0.3%
Black & Decker Corp. 300 15,113
General Motors Corp. Class H 400 16,575
Harman International Industries, Inc. 100 4,650
Maytag Co. 400 18,000
Movado Group, Inc. 100 2,150
Newell Co. 500 22,938
Sunbeam-Oster, Inc. 400 16,550
Whirlpool Corp. 300 20,044
116,020
HOME FURNISHINGS - 0.1%
Ethan Allen Interiors, Inc. 200 11,150
Furniture Brands International, Inc. (a) 300 8,213
Heilig-Meyers Co. 300 4,650
Knoll, Inc. 100 3,563
Leggett & Platt, Inc. 200 10,038
Linens'n Things, Inc. (a) 100 5,038
Miller (Herman), Inc. 100 6,125
48,777
TEXTILES & APPAREL - 0.6%
Ashworth, Inc. (a) 200 2,788
Burlington Industries, Inc. (a) 100 1,656
Collins & Aikman Corp. (a) 100 788
Donna Karan International, Inc. (a) 100 1,169
Fruit of the Loom, Inc. Class A (a) 300 9,638
Interface, Inc. Class A 200 7,650
Intimate Brands, Inc. Class A 900 24,413
Jones Apparel Group, Inc. (a) 200 11,000
Kellwood Co. 200 6,488
Liz Claiborne, Inc. 300 15,000
Mohawk Industries, Inc. (a) 100 2,625
Nautica Enterprises, Inc. (a) 200 5,763
NIKE, Inc. Class B 700 30,713
Nine West Group, Inc. (a) 200 5,500
North Face, Inc. (a) 100 2,750
Pacific Sunwear of California, Inc. (a) 100 3,463
Polo Ralph Lauren Corp. Class A 200 5,650
Reebok International Ltd. (a) 300 9,356
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
DURABLES - CONTINUED
TEXTILES & APPAREL - CONTINUED
St. John Knits, Inc. 100 $ 4,225
Shaw Industries, Inc. 200 2,375
Sport-Haley, Inc. (a) 100 1,181
Springs Industries, Inc. Class A 100 5,594
Stride Rite Corp. 100 1,225
Timberland Co. Class A (a) 100 7,250
Unifi, Inc. 200 7,350
VF Corp. 300 14,306
Vans, Inc. (a) 200 1,925
Warnaco Group, Inc. Class A 300 11,138
Westpoint Stevens, Inc. Class A (a) 100 5,338
Wolverine World Wide, Inc. 300 8,438
216,755
TOTAL DURABLES 1,258,880
ENERGY - 5.3%
COAL - 0.0%
MAPCO, Inc. 200 10,763
Zeigler Coal Holding Co. 100 1,606
12,369
ENERGY SERVICES - 1.0%
American Oilfield Divers, Inc. (a) 100 1,188
BJ Services Co. (a) 400 13,750
Baker Hughes, Inc. 400 16,375
Cliffs Drilling Co. (a) 100 3,875
Dawson Production Services, Inc. (a) 100 1,206
Diamond Offshore Drilling, Inc. 400 18,125
Dresser Industries, Inc. 500 22,344
ENSCO International, Inc. 300 8,738
Global Industries Ltd. (a) 400 6,900
Global Marine, Inc. (a) 400 9,275
Halliburton Co. 600 27,900
Helmerich & Payne, Inc. 300 8,681
Key Energy Group, Inc. (a) 200 3,538
Marine Drilling Companies, Inc. (a) 300 5,381
Maverick Tube Corp. (a) 100 1,944
McDermott International, Inc. 200 7,875
Nabors Industries, Inc. (a) 200 4,575
Newpark Resources, Inc. (a) 400 7,700
Noble Drilling Corp. (a) 300 8,513
Oceaneering International, Inc. (a) 100 1,656
Offshore Logistics, Inc. (a) 100 1,763
Parker Drilling Co. (a) 100 1,100
Patterson Energy, Inc. (a) 200 2,000
Pool Energy Services Co. (a) 200 4,725
Pride International, Inc. (a) 300 6,844
Rowan Companies, Inc. (a) 200 5,638
Schlumberger Ltd. 1,300 97,988
SEACOR SMIT, Inc. (a) 100 5,594
Smith International, Inc. (a) 100 5,325
Superior Energy Services, Inc. (a) 100 888
Tidewater, Inc. 100 4,450
Transocean Offshore, Inc. 400 17,200
Tuboscope, Inc. (a) 100 1,956
Varco International, Inc. (a) 200 4,975
Weatherford Enterra, Inc. (a) 100 3,463
Western Atlas, Inc. 200 15,188
358,636
OIL & GAS - 4.3%
Amerada Hess Corp. 300 17,794
Amoco Corp. 1,300 110,500
SHARES VALUE (NOTE 1)
Anadarko Petroleum Corp. 300 $ 19,350
Apache Corp. 400 13,600
Ashland, Inc. 300 16,706
Atlantic Richfield Co. (a) 800 62,200
Barrett Resources Corp. (a) 200 6,063
Bellwether Exploration Co. (a) 100 913
Benton Oil & Gas Co. (a) 100 1,244
Brown (Tom), Inc. (a) 200 3,963
Burlington Resources, Inc. 600 26,850
Camco International, Inc. 200 11,700
Chevron Corp. 1,800 146,025
Coastal Corp. (The) 400 25,450
Coho Resources, Inc. (a) 300 2,381
Comstock Resources, Inc. (a) 100 944
Cooper Cameron Corp. (a) 200 10,725
Devon Energy Corp. 100 3,406
EEX Corp. (a) 500 4,281
EVI, Inc. (a) 100 4,906
Enron Oil & Gas Co. 500 10,688
Evergreen Resources, Inc. (a) 100 1,638
Exxon Corp. 6,900 440,738
Forcenergy, Inc. (a) 200 4,463
Friede Goldman International, Inc. 200 6,075
Gothic Energy Corp. (a) 200 444
Gulf Island Fabrication, Inc. 100 2,113
Harken Energy Corp. (a) 400 2,700
Hondo Oil & Gas Co. (a) 200 1,350
Houston Exploration Co. (a) 100 1,800
KCS Group, Inc. 100 1,775
Kelley Oil & Gas Corp. (a) 200 450
Kerr-McGee Corp. 200 13,525
Lomak Petroleum, Inc. 100 1,656
Louis Dreyfus Natural Gas Corp. (a) 100 1,806
Mobil Corp. 2,200 159,363
Murphy Oil Corp. 200 9,988
National Energy Group, Inc. (a) 500 1,484
National-Oilwell, Inc. (a) 200 5,600
Newfield Exploration Co. (a) 100 2,400
Noble Affiliates, Inc. 300 11,700
Nuevo Energy Corp. (a) 200 7,175
Occidental Petroleum Corp. 1,200 30,675
Ocean Energy, Inc. (a) 100 4,675
Oryx Energy Co. (a) 500 12,719
Panaco, Inc. (a) 100 375
Patina Oil & Gas Corp. 100 725
Pennzoil Co. 200 13,388
Phillips Petroleum Co. 900 44,100
Pioneer Natural Resources Co. 400 9,475
Pogo Producing Co. 200 5,613
Santa Fe Energy Resources, Inc. 200 2,238
Snyder Oil Corp. 100 1,863
Sun Co., Inc. 300 11,981
Tesoro Petroleum Corp. (a) 100 1,656
Texaco, Inc. 1,700 94,881
3-D Geophysical, Inc. (a) 100 850
Titan Exploration, Inc. (a) 100 725
Tosco Corp. 400 14,850
USX-Marathon Group 700 24,194
Ultramar Diamond Shamrock Corp. 300 10,706
UNIFAB International, Inc. 100 1,825
Union Pacific Resources Group, Inc. 1,000 22,375
Union Texas Petroleum Holdings, Inc. 400 8,075
United Meridian Corp. (a) 200 5,463
Unocal Corp. 900 33,919
Vastar Resources, Inc. 200 7,438
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
ENERGY - CONTINUED
OIL & GAS - CONTINUED
Veritas DGC, Inc. (a) 100 $ 4,131
Vintage Petroleum, Inc. 300 6,019
Wainoco Oil Corp. (a) 100 850
1,553,716
TOTAL ENERGY 1,924,721
FINANCE - 15.3%
BANKS - 6.7%
AmSouth Bancorporation 400 22,475
Associated Bancorporation 300 15,713
BB&T Corp. 300 18,619
Banc One Corp. 1,740 98,310
Bank of Commerce San Diego California 200 2,888
Bank of New York Co., Inc. 900 52,706
BankBoston Corp. 400 39,875
BankAmerica Corp. 1,900 147,250
CNB Bancshares, Inc. 100 4,638
Capital One Financial Corp. 200 13,438
Chase Manhattan Corp. 1,100 136,469
Citicorp 1,300 172,250
City National Corp. 200 7,438
Colonial Bancgroup, Inc. 100 3,400
Comerica, Inc. 300 30,244
Commerce Bancshares, Inc. 200 14,300
Community First Bankshares, Inc. 200 10,600
Compass Bancshares, Inc. 300 13,800
CoreStates Financial Corp. 500 42,219
Crestar Financial Corp. 400 22,100
Cullen Frost Bankers, Inc. 100 5,694
Deposit Guaranty Corp. 100 5,544
Fifth Third Bancorp 500 39,500
First American Corp. 300 14,363
First Commerce Corp. 200 15,800
First Commercial Corp. 205 13,543
First Hawaiian, Inc. 300 11,888
First Security Corp. 600 13,913
First Tennessee National Corp. 600 19,125
First Union Corp. 1,910 100,633
First Virginia Banks, Inc. 300 15,188
Firstar Corp. 600 25,088
Firstmerit Corp. 100 2,944
Fort Wayne National Corp. 200 9,719
Fulton Financial Corp. 100 3,219
HUBCO, Inc. 203 7,410
Hibernia Corp. Class A 700 14,000
Huntington Bancshares, Inc. 700 25,113
KeyCorp. 700 49,044
Keystone Financial, Inc. 100 4,188
Magna Group, Inc. 200 11,638
Marshall & Ilsley Corp. 400 23,450
Mellon Bank Corp. 700 43,619
Mercantile Bancorp., Inc. 500 27,813
Mercantile Bankshares Corp. 400 14,013
Morgan (J.P.) & Co., Inc. 600 71,700
National City Corp. 700 45,675
National Commerce Bancorp (a) 300 11,288
NationsBank Corp. 2,575 176,388
North Fork Bancorp., Inc. 400 13,675
Northern Trust Corp. 400 30,425
Norwest Corp. 2,000 81,875
ONBANCorp, Inc. 100 7,263
PNC Financial Corp. 800 44,400
SHARES VALUE (NOTE 1)
Pacific Century Financial Corp. 500 $ 10,781
Peoples Heritage Financial Group, Inc. 200 9,313
Pinnacle Financial Services, Inc. 100 4,744
Popular, Inc. 300 15,684
Provident Financial Group, Inc. 300 15,375
Providian Financial Corp. 300 17,025
Regions Financial Corp. 670 26,633
Republic New York Corp. 200 24,200
Riggs National Corp. 100 2,650
Silicon Valley Bancshares (a) 100 5,700
SouthTrust Corp. 600 24,525
Star Banc Corp. 468 27,554
State Street Corp. 400 24,725
Summit Bancorp 600 29,813
SunTrust Banks, Inc. 600 44,250
Synovus Financial Corp. 500 17,563
T R Financial Corp. 100 3,297
Trans Financial, Inc. 100 4,100
Trustmark Corp. 200 8,775
UST Corp. 200 5,475
U.S. Bancorp 700 80,544
Union Planters Corp. 300 18,544
UnionBanCal Corp. 100 9,313
US Trust Corp. 100 6,394
Valley National Bancorp 100 3,763
Wachovia Corp. 663 52,709
Wells Fargo & Co. 200 64,400
Westamerica Bancorporation 300 10,238
Whitney Holding Corp. 100 6,313
Wilmington Trust Corp. 100 6,188
Zions Bancorp 368 15,824
2,464,282
CREDIT & OTHER FINANCE - 1.5%
Aames Financial Corp. 300 4,013
Allied Capital Corp. 200 4,700
American Express Co. 1,300 117,081
AmeriCredit Corp. (a) 200 5,463
Arcadia Financial Ltd. (a) 400 3,050
Associates First Capital Corp. 300 24,000
Beneficial Corp. 200 23,600
CFX Corp. 100 3,044
CIT Group, Inc. Class A 500 16,500
Concord EFS, Inc. (a) 300 9,338
Consumer Portfolio Services, Inc. (a) 100 1,050
ContiFinancial Corp. (a) 100 2,713
Countrywide Credit Industries,Inc. 200 8,888
Credit Acceptance Corp. (a) 200 1,638
Equitable Companies, Inc. 500 26,156
Finova Group, Inc. 100 5,500
First Alliance Mortgage Co. (a) 200 3,500
First of America Bank Corp. (a) 300 23,306
First Chicago NBD Corp. 800 65,750
FIRSTPLUS Financial Group, Inc. (a) 100 3,300
Fleet Financial Group, Inc. 115 9,063
Green Tree Financial Corp. 300 6,881
Greenpoint Financial Corp. 200 14,850
HealthCare Financial Partners, Inc. (a) 100 4,113
Household International, Inc. 300 38,963
Imperial Credit Industries (a) 100 2,113
Life Bancorp, Inc. 200 7,175
Long Beach Financial Corp. 300 3,563
MBNA Corp. 1,300 46,556
Mercury Finance Co. (a) 100 56
Moneygram Payment Systems, Inc. (a) 100 1,238
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
FINANCE - CONTINUED
CREDIT & OTHER FINANCE - CONTINUED
Money Store, Inc. (The) 300 $ 7,481
Old Kent Financial Corp. 400 15,425
Resource Bancshares Mortgage Group, Inc. 305 4,747
Southern Pacific Funding Corp. (a) 200 3,088
Transamerica Corp. 200 23,288
United Companies Financial Corp. 300 4,706
545,896
FEDERAL SPONSORED CREDIT - 0.8%
Fannie Mae 2,900 185,056
Freddie Mac 1,900 89,775
SLM Holding Corp. 450 18,591
293,422
INSURANCE - 4.6%
American General Corp. 829 48,186
AFLAC, Inc. 400 24,575
Aetna, Inc. 500 43,688
Alfa Corp. 100 1,800
Allmerica Financial Corp. 300 18,450
Allstate Corp. 1,100 102,575
AMBAC, Inc. 300 15,975
American Annuity Group, Inc. 100 2,225
American Bankers Insurance Group, Inc. 200 11,250
American Financial Group, Inc. 100 4,044
American International Group, Inc. 1,900 228,356
Amerin Corp. (a) 200 5,850
Amerus Life Holdings, Inc. 67 2,186
Aon Corp. 500 29,906
Argonaut Group, Inc. 200 7,200
Berkley (W.R.) Corp. 200 9,125
Berkshire Hathaway, Inc. Class A (a) 3 167,400
CIGNA Corp. 200 38,200
CMAC Investments 100 6,700
CNA Financial Corp. (a) 100 14,394
Century Business Services, Inc. (a) 200 3,025
Chubb Corp. (The) 500 39,906
Cincinnati Financial Corp. 100 13,500
Citizens Corp. 100 3,338
Commerce Group, Inc. 100 3,500
Conseco, Inc. 400 18,775
Enhance Financial Services Group Corp. 100 6,206
Envoy Corp. (a) 100 4,063
Erie Indemnity Co. Class A 100 2,963
Everest Reinsurance Holdings, Inc. 200 7,375
Fidelity National Financial, Inc. 110 3,218
Financial Security Assurance Holdings Ltd. 100 5,256
First Health Group Corp. (a) 100 4,981
Fremont General Corp. 200 11,738
Frontier Insurance Group, Inc. 200 4,713
General Re Corp. 200 42,600
HCC Insurance Holdings Inc. 300 6,150
Harleysville Group Inc. 100 2,438
Hartford Financial Services Group, Inc. 400 39,300
Hartford Life, Inc. Class A 100 4,306
HealthPlan Services Corp. 100 2,494
INSpire Insurance Solutions, Inc. 100 2,800
Jefferson Pilot Corp. 300 25,163
John Alden Financial Corp. 200 4,488
Lincoln National Corp. 300 25,125
Loews Corp. 300 30,094
MBIA, Inc. 393 28,763
MGIC Investment Corp. 300 22,106
Marsh & McLennan Companies, Inc. 500 43,344
SHARES VALUE (NOTE 1)
Mercury General Corp. 100 $ 5,675
NAC Re Corp. 100 5,144
Nationwide Financial Services, Inc. Class A 100 4,400
Ohio Casualty Corp. 100 4,675
Old Republic International Corp. 300 12,656
Orion Capital Corp. 100 4,881
PMI Group, Inc. 200 14,550
Penncorp. Financial Group, Inc. 200 6,950
Presidential Life Corp. 100 2,175
Progressive Corp. 100 11,588
Protective Life Corp. 100 6,913
Provident Companies, Inc. 400 14,400
Reliance Group Holdings, Inc. 200 3,400
Reliastar Financial Corp. 400 19,025
SAFECO Corp. 500 26,219
St. Paul Companies, Inc. (The) 300 26,588
Selective Insurance Group, Inc. 200 5,488
SunAmerica, Inc. 500 22,656
TIG Holdings, Inc. 300 7,969
Torchmark Corp. 300 13,969
Transatlantic Holdings, Inc. 100 7,563
Travelers Property Casualty Corp. Class A 300 12,300
Travelers Group, Inc. (The) 3,169 176,672
20th Century Industries 100 2,675
UICI (a) 100 3,213
UNUM Corp. 500 25,719
USF&G Corp. 500 12,219
Unitrin, Inc. 200 13,825
Vesta Insurance Group Corp. 100 5,731
1,673,051
SAVINGS & LOANS - 0.7%
Affiliated Community Bancorp., Inc. 100 3,738
Ahmanson (H.F.) & Co. 261 16,296
Astoria Financial Corp. 200 11,175
Bank United Corp. Class A 200 9,425
BankUnited Financial Corp. Class A (a) 100 1,469
Bay View Capital, Inc. 200 6,950
Charter One Financial Corp. 300 18,178
CitFed Bancorp, Inc. 100 5,238
Coast Federal Litigation Contingent
Payment Rights Trust 200 3,050
Commercial Federal Corp. 150 5,306
Dime Bancorp., Inc. 200 6,100
Eagle Financial Corp. 100 5,281
Golden State Bancorp (a) 300 10,688
Golden West Financial Corp. 100 8,925
Long Island Bancorp., Inc. 200 12,038
ML Bancorp, Inc. 100 3,125
New York Bancorp., Inc. 100 4,050
Ocwen Financial Corp. (a) 100 3,000
People Bank Bridgeport 100 3,769
Poughkeepsie Financial Corp. 100 1,063
Provident Bancshares Corp. 200 6,875
RedFed Bancorp, Inc. (a) 200 3,963
Reliance BanCorp, Inc. 100 3,550
Roslyn Bancorp, Inc. 400 9,125
St. Paul Bancorp, Inc. 300 7,950
Sovereign Bancorp., Inc. 500 9,688
Sterling Financial Corp. (a) 100 2,413
TCF Financial Corp. 400 13,225
Washington Federal, Inc. 410 11,326
Washington Mutual, Inc. 600 40,275
Webster Financial Corp. 100 6,425
253,679
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
FINANCE - CONTINUED
SECURITIES INDUSTRY - 1.0%
Alliance Capital Management LP 100 $ 5,013
Ameritrade Holding Corp. Class A 100 2,763
Bear Stearns Companies, Inc. 200 9,325
Donaldson Lufkin & Jenrette, Inc. 100 8,188
Edwards (A.G.), Inc. 400 16,825
Franklin Resources, Inc. 700 35,700
Hambrecht & Quist Group (a) 200 6,425
Legg Mason, Inc. 100 5,975
Lehman Brothers Holdings, Inc. 200 12,613
Merrill Lynch & Co., Inc. 900 64,406
Morgan Stanley, Dean Witter,
Discover and Co. 1,600 111,500
New England Investment Companies LP 100 3,500
PIMCO Advisors Holdings L/P units 267 9,495
PaineWebber Group, Inc. 250 10,500
Pioneer Group, Inc. 100 2,988
Piper Jaffray Inc. 100 3,675
Price (T. Rowe) Associates, Inc. 200 13,275
Rambus, Inc. 100 4,475
Raymond James Financial, Inc. 100 3,988
Schwab (Charles) Corp. 700 26,425
Security Capital Group, Inc. Class B (a) 100 3,094
United Asset Management Corp. 400 10,625
370,773
TOTAL FINANCE 5,601,103
HEALTH - 9.4%
DRUGS & PHARMACEUTICALS - 5.7%
Advanced Tissue Sciences Corp. Class A (a) 300 3,263
Agouron Pharmaceuticals, Inc. (a) 200 7,375
Allergan, Inc. 300 10,500
Alpharma, Inc. Class A 100 2,313
ALZA Corp. Class A 300 11,213
American Home Products Corp. 1,800 168,750
Amgen, Inc. 700 37,188
Andrx Corp. (a) 100 3,106
Anesta Corp. (a) 100 2,006
Arqule, Inc. (a) 100 2,213
AXYS Pharmaceuticals, Inc. (a) 335 2,848
Bio-Technology General Corp. (a) 400 3,375
Biogen, Inc. (a) 300 13,238
BioTime, Inc. (a) 200 2,925
Bristol-Myers Squibb Co. 2,800 280,525
Cell Genesys, Inc. (a) 100 681
Celgene Corp. (a) 100 888
Centocor, Inc. (a) 200 7,225
Cephalon, Inc. (a) 200 2,400
Chiron Corp. (a) 700 13,431
Columbia Laboratories, Inc. (a) 100 1,188
COR Therapeutics, Inc. (a) 100 1,263
Coulter Pharmeceutical, Inc. (a) 100 2,325
Creative Biomolecules, Inc. (a) 100 963
Cytyc Corp. (a) 200 4,600
Depotech Corp. (a) 100 450
Dura Pharmaceuticals, Inc. (a) 200 5,025
EPL Technologies, Inc. (a) 100 719
ENZON, Inc. (a) 100 563
Enzo Biochem, Inc. 105 1,398
Forest Laboratories, Inc. (a) 200 12,513
Genentech, Inc. special (a) 500 33,781
Genzyme Corp. 300 8,869
Geron Corp. (a) 200 2,206
SHARES VALUE (NOTE 1)
Gilead Sciences, Inc. (a) 100 $ 3,581
Guilford Pharmaceuticals, Inc. (a) 100 2,200
Herbalife International, Inc.:
Class A 33 792
Class B (non-vtg.) 66 1,535
Human Genome Sciences, Inc. (a) 100 4,250
ICN Pharmaceuticals, Inc. 200 11,550
ICOS Corporation (a) 200 2,813
IDEC Pharmaceuticals Corp. (a) 100 4,538
Igen, Inc. (a) 100 2,063
Idexx Laboratories, Inc. (a) 100 1,569
INCYTE Pharmaceuticals, Inc. (a) 100 4,550
Inhale Therapeutic Systems (a) 100 2,988
Integrated Process Equipment Corp. (a) 100 1,850
Isis Pharmaceuticals Co. (a) 300 4,031
Jones Medical Industries, Inc. 100 3,713
Kos Pharmaceuticals, Inc. (a) 300 3,038
Ligand Pharmaceuticals, Inc. Class B (a) 300 4,500
Lilly (Eli) & Co. (a) 3,100 204,019
Medicis Pharmaceutical Corp. Class A 100 4,294
Medimmune, Inc. (a) 100 5,188
Merck & Co., Inc. 3,400 433,713
Microvision, Inc. (a) 100 1,313
Millennium Pharmaceuticals, Inc. (a) 200 4,025
Mylan Laboratories, Inc. 500 10,188
NBTY, Inc. (a) 100 4,656
Nature's Sunshine Products, Inc. 100 2,575
Neurex Corp. (a) 200 3,975
NeXstar Pharmaceuticals, Inc. (a) 100 1,175
Organogenesis, Inc. 200 4,588
Parexel International Corp. (a) 100 3,775
PathoGenesis Corp. (a) 100 3,600
PharmaPrint, Inc. (a) 100 1,000
Pfizer, Inc. 3,600 318,600
Pharmaceutical Product Development,
Inc. (a) 200 4,200
Pharmacopeia, Inc. (a) 100 1,900
Protein Design Labs, Inc. (a) 100 4,300
Quintiles Transnational Corp. (a) 300 14,663
Rexall Sundown, Inc. (a) 200 7,400
Sangstat Medical Corp. (a) 100 3,063
Sano Corp. (a) 100 3,700
Scherer R.P. Corp. (a) 100 6,081
Schering-Plough Corp. 2,000 152,125
Sepracor, Inc. (a) 200 8,050
Serologicals Corp. (a) 100 2,675
Sigma Aldrich Corp. 400 15,800
Technical Chemicals & Products (a) 100 963
Texas Biotechnology Corp. (a) 100 750
Twinlab Corp. (a) 200 6,500
Vertex Pharmaceuticals, Inc. (a) 200 7,475
Vivus, Inc. (a) 200 2,325
Warner-Lambert Co. 800 117,000
Watson Pharmaceuticals, Inc. (a) 200 7,175
Zonagen, Inc. (a) 100 1,844
2,085,560
MEDICAL EQUIPMENT & SUPPLIES - 2.6%
ATL Ultrasound, Inc. (a) 100 4,550
Abbott Laboratories 2,100 157,106
ADAC Laboratories (a) 200 5,325
Allegiance Corp. 100 3,488
AmeriSource Health Corp. Class A (a) 100 5,850
Bard (C.R.), Inc. 300 10,463
Bausch & Lomb, Inc. 100 4,481
Baxter International, Inc. 700 39,638
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
HEALTH - CONTINUED
MEDICAL EQUIPMENT & SUPPLIES - CONTINUED
Beckman Instruments, Inc. 200 $ 9,675
Becton, Dickinson & Co. 400 25,450
Bergen Brunswig Corp. Class A 200 9,000
Bindley Western Industries, Inc. 100 3,313
Biomet, Inc. 500 14,906
Boston Scientific Corp. (a) 500 29,875
Cardinal Health, Inc. 400 32,750
Coherent, Inc. (a) 100 4,675
Conmed Corp. (a) 100 2,194
Cooper Companies, Inc. (a) 100 4,675
Cyberonics Inc. (a) 100 2,413
Cygnus, Inc. (a) 100 1,781
Dentsply International, Inc. 300 9,300
Depuy, Inc. 200 5,388
FONAR Corp. (a) 200 531
Guidant Corp. 400 29,175
Haemonetics Corp. (a) 100 1,669
Heartstream, Inc. (a) 300 3,225
Heartport, Inc. (a) 200 2,900
Hillenbrand Industries, Inc. 100 5,619
Hologic, Inc. (a) 100 2,288
I-Stat Corp. (a) 100 1,613
Imatron, Inc. (a) 200 513
Interpore International (a) 100 575
Invacare Corp. 200 4,588
Johnson & Johnson 3,700 279,350
Mallinckrodt, Inc. 400 15,525
Marquette Medical Systems, Inc. (a) 100 2,750
McKesson Corp. 300 15,638
Medtronic, Inc. 1,300 69,063
Mentor Corp. 200 5,838
Millipore Corp. 200 7,563
NCS Healthcare, Inc. (a) 100 2,919
Neoprobe Corp. (a) 100 463
Novoste Corp. (a) 100 2,963
Oakley, Inc. (a) 100 1,206
Omnicare, Inc. 400 14,800
Osteotech, Inc. (a) 100 2,338
Pall Corp. 600 12,563
Patterson Dental Co. (a) 300 9,075
Perclose, Inc. (a) 100 2,525
PharMerica, Inc. (a) 336 4,368
Physician Sales & Service, Inc. (a) 100 2,088
Quigley Corp. (a) 100 1,281
Respironics, Inc. (a) 200 5,425
St. Jude Medical, Inc. (a) 400 14,600
Sonus Pharmaceuticals, Inc. (a) 100 2,525
Steris Corp. (a) 100 5,919
Stryker Corp. 200 8,188
Summit Technology, Inc. 100 544
Sybron International Corp. (a) 200 5,463
Teleflex, Inc. 100 4,056
Thermo Cardiosystems, Inc. (a) 100 2,500
U.S. Surgical Corp. 200 6,125
Uromed Corp. (a) 100 234
Wesley Jessen Visioncare, Inc. 100 3,388
950,275
MEDICAL FACILITIES MANAGEMENT - 1.1%
ARV Assisted Living, Inc. (a) 100 1,313
Alternative Living Services, Inc. (a) 200 6,850
American Healthcorp, Inc. (a) 100 844
American Oncology Resources, Inc. (a) 200 3,050
SHARES VALUE (NOTE 1)
Amsurg Corp. Class A (a) 9 $ 84
Apria Healthcare Group, Inc. (a) 300 4,088
Atria Communities, Inc. (a) 100 2,038
Beverly Enterprises, Inc. (a) 500 7,594
Columbia/HCA Healthcare Corp. 1,800 48,825
Concentra Managed Care, Inc. (a) 300 10,294
Covance, Inc. (a) 100 2,150
Coventry Corp. (a) 200 3,238
FPA Medical Management, Inc. (a) 200 4,625
Foundation Health Systems, Inc. Class A (a) 300 8,306
Genesis Health Ventures, Inc. (a) 200 5,800
HEALTHSOUTH Corp. (a) 1,000 27,000
Health Management Associates, Inc.
Class A (a) 300 8,344
Health Care & Retirement Corp. (a) 100 4,388
Humana, Inc. (a) 600 15,263
IMPATH, Inc. (a) 100 3,456
Integrated Health Services, Inc. 200 6,788
Lincare Holdings, Inc. (a) 200 12,981
Manor Care, Inc. 100 3,756
Mariner Health Group, Inc. (a) 100 1,519
Medical Resources, Inc. (a) 200 1,750
Medquist, Inc. (a) 100 3,488
Mid-Atlantic Medical Services, Inc. (a) 100 1,175
National Surgery Centers, Inc. (a) 100 2,513
NovaCare, Inc. (a) 100 1,400
Orthodontic Centers of America, Inc. (a) 100 1,931
Oxford Health Plans, Inc. (a) 100 1,719
PacifiCare Health Systems, Inc. Class B (a) 200 12,500
Pediatrix Medical Group (a) 100 4,125
PhyMatrix Corp. (a) 200 2,613
Phycor, Inc. (a) 300 7,716
Physician Reliance Network, Inc. (a) 100 1,194
Quest Diagnostics, Inc. (a) 100 1,550
Quorum Health Group, Inc. (a) 400 11,088
Renal Care Group, Inc. (a) 200 7,525
Res-Care, Inc. (a) 100 3,350
Summit Care Corp. (a) 200 4,113
Sun Healthcare Group (a) 300 5,906
Sunrise Assisted Living, Inc. (a) 100 4,225
Tenet Healthcare Corp. (a) 800 29,850
Total Renal Care Holdings, Inc. (a) 467 15,032
Trigon Healthcare, Inc. (a) 300 9,300
United Dental Care, Inc. (a) 100 1,313
United HealthCare Corp. 500 30,344
Universal Health Services, Inc. Class B (a) 200 10,450
Urologix, Inc. (a) 200 2,763
Vencor, Inc. (a) 300 8,606
Wellpoint Health Networks, Inc. (a) 200 11,688
391,821
TOTAL HEALTH 3,427,656
HOLDING COMPANIES - 0.2%
CINergy Corp. 600 20,888
Leucadia National Corp. 100 3,775
Norfolk Southern Corp. 1,200 41,325
Triarc Companies, Inc. Class A (a) 100 2,513
U.S. Industries, Inc. 400 11,150
79,651
INDUSTRIAL MACHINERY & EQUIPMENT - 4.3%
ELECTRICAL EQUIPMENT - 2.8%
Adtran, Inc. (a) 100 2,988
Advanced Lighting Technologies, Inc. (a) 100 2,688
American Power Conversion Corp. (a) 300 8,700
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
INDUSTRIAL MACHINERY & EQUIPMENT - CONTINUED
ELECTRICAL EQUIPMENT - CONTINUED
Anicom, Inc. (a) 100 $ 1,438
Antec Corp. (a) 200 2,363
Applied Cellular Technology, Inc. (a) 100 475
Avid Technology, Inc. (a) 200 6,913
BMC Industries, Inc. 200 3,888
California Microwave Corp. (a) 100 2,044
Chicago Miniature Lamp, Inc. (a) 100 4,675
Computer Products, Inc. (a) 200 4,988
Cymer, Inc. (a) 200 4,513
Echostar Communications Corp.
Class A (a) 200 4,200
Emerson Electric Co. 1,143 72,938
General Electric Co. 9,300 722,796
General Instrument Corp (a). 600 10,013
General Signal Corp. 300 12,188
Grainger (W.W.), Inc. 200 19,363
Harris Corp. 400 20,275
Honeywell, Inc. 500 39,625
Hubbell, Inc. Class B 300 15,113
Hughes Supply, Inc. 100 3,469
IEC Electronics Corp. (a) 100 950
Littelfuse, Inc. (a) 100 2,825
MagneTek, Inc. (a) 100 1,775
Omnipoint Corp. (a) 200 5,600
Ortel Corp. (a) 100 1,263
Pacific Scientific Co. 100 3,006
Pinnacle Systems 100 3,013
Powerwave Technologies, Inc. (a) 200 3,225
Roper Industries, Inc. 100 2,906
Scientific-Atlanta, Inc. 400 7,000
Sensormatic Electronics Corp. 400 7,450
Smith (A.O.) Corp. Class B 100 4,350
Transcrypt International, Inc. (a) 200 3,350
Zoltek Cos. Inc. (a) 100 3,650
1,016,016
INDUSTRIAL MACHINERY & EQUIPMENT - 1.1%
AGCO Corp. 300 8,438
ATMI, Inc. (a) 100 2,775
Applied Power, Inc. Class A 200 7,200
Briggs & Stratton Corp. 100 4,431
Case Corp. 300 19,519
Caterpillar, Inc. 1,000 54,625
Cincinnati Milacron, Inc. 200 6,175
Cooper Industries, Inc. 500 28,063
Culligan Water Technologies, Inc. (a) 100 5,763
DT Industries, Inc. 100 3,525
Deere & Co. 800 44,900
Dover Corp. 700 27,038
Exide Corp. 100 2,219
FSI International, Inc. (a) 100 1,350
Flowserve Corp. 200 6,338
Harnischfeger Industries, Inc. 300 10,613
Illinois Tool Works, Inc. 700 41,956
Ingersoll-Rand Co. 400 19,050
Ionics, Inc. (a) 100 4,300
JLG Industries, Inc. 100 1,563
Kennametal, Inc. 200 10,525
Manitowoc Co., Inc. 100 3,944
PRI Automation, Inc. 100 3,478
Parker-Hannifin Corp. 300 13,988
Plasma-Therm, Inc. (a) 100 838
Robotic Vision Systems, Inc. (a) 100 1,319
SHARES VALUE (NOTE 1)
Stanley Works 400 $ 19,125
Stewart & Stevenson Services, Inc. 200 4,888
Tenneco, Inc. 600 24,675
Timken Co. 100 3,225
UCAR International, Inc. (a) 200 6,888
Ultratech Stepper, Inc. (a) 200 4,550
United States Filter Corp. (a) 300 10,181
UNOVA, Inc. 300 5,738
Veeco Instruments, Inc. (a) 100 3,463
416,666
POLLUTION CONTROL - 0.4%
Allied Waste Industries, Inc. (a) 100 2,150
American Disposal Services, Inc. (a) 100 3,713
Browning-Ferris Industries, Inc. 500 16,656
Eastern Environmental Services Inc. (a) 200 4,725
Flanders Corp. (a) 300 2,025
Ogden Corp. 100 2,750
Safety Kleen Corp. 300 8,044
Superior Services, Inc. (a) 200 5,288
Thermo Instrument Systems, Inc. (a) 200 7,025
USA Waste Services, Inc. (a) 800 33,300
Waste Management, Inc. 1,100 27,500
Wheelabrator Technologies, Inc. 600 9,788
122,964
TOTAL INDUSTRIAL MACHINERY & EQUIPMENT 1,555,646
MEDIA & LEISURE - 4.6%
BROADCASTING - 1.1%
American Radio Systems Corp.
Class A (a) 100 5,975
CBS Corp. 1,900 58,781
CD Radio, Inc. (a) 100 1,588
Chancellor Media Corp. (a) 400 17,900
Comcast Corp. Class A special 1,000 35,000
Cox Communications, Inc. Class A (a) 700 26,994
Hearst-Argyle Television, Inc. (a) 100 3,513
Heftel Broadcasting Corp. Class A (a) 200 9,475
Jacor Communications, Inc. Class A (a) 200 11,575
Lin Television Corp. (a) 200 11,025
Metromedia International Group, Inc. (a) 100 1,138
NTL, Inc. (a) 200 6,650
Scripps E.W. Co. Class A 100 5,306
Smartalk Teleservices, Inc. (a) 100 3,363
TCA Cable TV, Inc. 200 9,850
TCI Satellite Entertainment, Inc. Class A (a) 400 2,675
Tele-Communications International, Inc.,
Series A (a) 300 5,325
Tele-Communications, Inc. (a):
(TCI Group), Series A 1,400 40,688
(TCI Ventures Group), Series A 1,300 20,069
Telemundo Group, Inc. Class A (a) 100 4,200
Time Warner, Inc. 1,500 101,250
USA Networks, Inc. (a) 200 10,300
U.S. Satellite Broadcasting Co., Inc.
Class A (a) 100 856
United Video Satellite Group A (a) 100 3,700
Univision Communications, Inc.
Class A (a) 100 3,838
Young Broadcasting, Inc. Class A (a) 100 4,425
405,459
ENTERTAINMENT - 1.0%
American Classic Voyages Co. (a) 100 2,300
Carmike Cinemas, Inc. Class A (a) 200 6,113
Carnival Cruise Lines, Inc. Class A 800 47,100
Cedar Fair LP (depositary unit) 100 2,613
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
MEDIA & LEISURE - CONTINUED
ENTERTAINMENT - CONTINUED
Disney (Walt) Co. 1,900 $ 212,681
Family Golf Centers, Inc. (a) 100 3,363
Florida Panthers Holdings, Inc. Class A (a) 100 2,150
Harveys Casino Resorts 200 5,775
King World Productions, Inc. 400 10,675
MGM Grand, Inc. (a) 100 3,613
Pixar (a) 200 7,400
Regal Cinemas, Inc. (a) 200 5,913
Spelling Entertainment Group, Inc. (a) 100 900
Ticketmaster Group, Inc. (a) 100 2,638
Viacom, Inc. Class B (non-vtg.) (a) 1,100 52,800
366,034
LEISURE DURABLES & TOYS - 0.3%
Authentic Fitness Corp. 100 2,100
Brunswick Corp. 400 12,700
Callaway Golf Co. 300 9,675
Champion Enterprises, Inc. (a) 300 7,538
Coachmen Industries, Inc. 100 2,856
Coleman, Inc. (a) 100 2,063
Galoob (Lewis) Toys, Inc. (a) 100 869
Harley-Davidson, Inc. 300 8,700
Hasbro, Inc. 500 18,156
K2, Inc. 100 2,013
Mattel, Inc. 900 38,081
National R V Holdings, Inc. (a) 100 3,663
Polaris Industries, Inc. 200 6,575
Silicon Gaming, Inc. (a) 100 963
West Marine, Inc. (a) 200 5,488
121,440
LODGING & GAMING - 0.5%
Anchor Gaming (a) 100 6,800
Aztar Corp. (a) 500 4,250
Boyd Gaming Corp. (a) 100 794
Bristol Hotel Co. (a) 100 2,513
CapStar Hotel Co. (a) 200 6,750
Circus Circus Enterprises, Inc. (a) 400 8,800
Extended Stay America, Inc. (a) 100 1,400
Gtech Holdings Corp. (a) 300 10,594
Harrah's Entertainment, Inc. (a) 100 2,106
Hilton Hotels Corp. 800 23,850
Host Marriott Corp. (a) 400 7,925
International Game Technology Corp. 400 9,700
Interstate Hotels Co. (a) 200 6,850
La Quinta Motor Inns, Inc. 400 8,500
Marriott International, Inc. 400 30,300
Meditrust Corp. 420 12,915
Mirage Resorts, Inc. (a) 400 9,150
Prime Hospitality Corp. (a) 200 3,800
Promus Hotel Corp. (a) 200 9,650
Rio Hotel & Casino, Inc. (a) 200 5,688
Speedway Motorsports (a) 100 2,688
Station Casinos, Inc. (a) 300 4,238
Suburban Lodges of America, Inc. (a) 200 3,550
Trump Hotels & Casino Resorts, Inc. (a) 300 3,113
WMS Industries, Inc. 200 5,325
191,249
PUBLISHING - 1.1%
ACNielsen Corp. (a) 300 7,500
American Greetings Corp. Class A 300 13,688
Applied Graphics Technologies, Inc. (a) 100 5,913
Banta Corp. 100 2,975
SHARES VALUE (NOTE 1)
Belo (A.H.) Corp. Class A 100 $ 5,475
Central Newspapers, Inc. Class A 100 7,144
Cognizant Corp. 600 29,963
Dow Jones & Co., Inc. 400 20,550
Dun & Bradstreet Corp. 700 23,450
Gannett Co., Inc. 700 45,194
Harcourt General, Inc. 200 10,800
Hollinger International, Inc. Class A 500 8,031
Houghton Mifflin Co. 200 6,350
Journal Register Co. 100 1,981
Knight-Ridder, Inc. 200 11,250
Lee Enterprises, Inc. 100 3,100
McClatchy Newspapers, Inc. Class A 100 2,744
McGraw-Hill, Inc. 400 30,250
Meredith Corp. 100 4,294
New York Times Co. (The) Class A 300 19,631
PRIMEDIA, Inc. (a) 200 2,763
Reader's Digest Association, Inc. (The)
Class A (non-vtg.) 500 13,281
Scholastic Corp. (a) 100 3,963
Times Mirror Co. Class A 200 12,313
Tribune Co. 400 25,825
U S WEST Media Group (a) 1,900 61,156
World Color Press, Inc. (a) 100 3,231
382,815
RESTAURANTS - 0.6%
Apple South, Inc. 300 4,088
Applebee's International, Inc. 200 4,600
Bob Evans Farms, Inc. 300 6,169
Boston Chicken, Inc. (a) 400 2,775
Brinker International, Inc. (a) 100 2,088
Buffets, Inc. (a) 100 1,056
CKE Restaurants, Inc. 110 4,668
Cheesecake Factory, Inc. (a) 100 3,225
Cracker Barrel Old Country Store, Inc. 300 12,131
Darden Restaurants, Inc. 200 2,700
Dave & Busters, Inc. (a) 100 2,450
Einstein / Noah Bagel Corp. (a) 100 494
Foodmaker, Inc. (a) 100 1,819
Landry's Seafood Restaurants, Inc. (a) 200 5,300
Logan's Roadhouse, Inc. (a) 100 2,125
Lone Star Steakhouse Saloon (a) 200 4,213
McDonald's Corp. 1,900 104,025
O Charleys, Inc. (a) 100 1,938
Outback Steakhouse, Inc. (a) 100 3,575
Papa John's International, Inc. (a) 200 7,425
Planet Hollywood International, Inc.
Class A (a) 100 1,006
Rainforest Cafe, Inc. (a) 250 4,125
Rock Bottom Restaurants, Inc. (a) 100 647
Ryan's Family Steak Houses, Inc. (a) 100 828
ShowBiz Pizza Time, Inc. (a) 100 2,900
Sonic Corp. (a) 100 2,925
Starbucks Corp. (a) 300 11,869
Tricon Global Restaurants, Inc. 500 14,188
Wendy's International, Inc. 600 13,013
228,365
TOTAL MEDIA & LEISURE 1,695,362
NONDURABLES - 7.0%
AGRICULTURE - 0.1%
DEKALB Genetics Corp. Class B 200 13,438
Michael Foods, Inc. 100 2,538
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
NONDURABLES - CONTINUED
AGRICULTURE - CONTINUED
Northland Cranberries, Inc. Class A 100 $ 1,313
Pioneer Hi-Bred International, Inc. 200 20,750
38,039
BEVERAGES - 2.1%
Anheuser-Busch Companies, Inc. 1,500 70,313
Beringer Wine Estates Holdings, Inc.
Class B (a) 100 4,063
Brown-Forman Corp. Class B 100 5,550
Canadaigua Wine Co. Class A (a) 100 5,575
Coca-Cola Co. (The) 7,000 480,813
Coca-Cola Enterprises, Inc. 1,000 33,063
Coors (Adolph) Co. Class B 100 3,125
M & F Worldwide Corp. (a) 100 844
Mondavi (Robert) Corp. Class A (a) 100 4,150
PepsiCo, Inc. 4,200 153,563
Whitman Corp. 600 10,688
771,747
FOODS - 1.8%
Archer-Daniels-Midland Co. 1,800 40,388
Bestfoods 400 42,150
Campbell Soup Co. 1,200 69,675
Chiquita Brands International, Inc. 100 1,344
ConAgra, Inc. 1,200 36,000
Dean Foods Co. 200 11,000
Dole Food, Inc. (a) 300 16,294
Earthgrains Co. 100 4,331
Flowers Industries, Inc. 100 2,544
General Mills, Inc. 500 35,969
Heinz (H.J.) Co. 900 50,681
Hershey Foods Corp. 300 20,006
Hormel (George A) & Co. 100 3,713
IBP, Inc. 400 8,925
International Multifoods Corp. 100 2,794
Interstate Bakeries Corp. 200 6,700
Kellogg Co. 1,300 55,413
Lancaster Colony Corp. 150 6,600
Lance, Inc. 100 2,325
McCormick & Co., Inc. (non-vtg.) 400 11,475
Nabisco Holdings Corp. Class A 200 9,438
Quaker Oats Co. 500 26,938
Ralston Purina Co. 300 30,431
Sara Lee Corp. 1,300 73,450
Smithfield Foods, Inc. (a) 200 6,325
Suiza Foods Corp. (a) 100 6,481
Sysco Corp. 600 28,238
Tyson Foods, Inc. 600 11,700
Universal Foods Corp. 100 4,500
Wrigley (Wm.) Jr. Co. 400 30,550
656,378
HOUSEHOLD PRODUCTS - 2.0%
Alberto Culver Co. Class B 100 3,044
Alliance Gaming Corp. (a) 100 588
American Safety Razor Co. (a) 200 4,575
Aptargroup, Inc. 100 5,769
Avon Products, Inc. 400 28,175
Clorox Co. 400 35,100
Colgate-Palmolive Co. 800 64,950
Dial Corp. 500 11,844
Enamelon, Inc. (a) 200 2,775
First Brands Corp. 100 2,575
SHARES VALUE (NOTE 1)
French Fragrances, Inc. (a) 100 $ 1,250
Gillette Co. 1,500 161,813
International Flavors & Fragrances, Inc. 500 23,000
Estee Lauder Companies, Inc. 300 17,550
Premark International, Inc. 200 6,225
Procter & Gamble Co. 3,800 322,763
Revlon, Inc. Class A (a) 100 4,694
Rubbermaid, Inc. 600 17,400
Safeskin Corp. (a) 100 6,138
Windmere-Durable Holdings, Inc. 100 2,750
722,978
TOBACCO - 1.0%
Consolidated Cigar Holdings, Inc.
Class A (a) 200 4,638
Dimon, Inc. 100 1,750
Fortune Brands, Inc. 600 23,813
General Cigar Holdings, Inc. Class A 100 1,663
Philip Morris Companies, Inc. 6,800 295,375
RJR Nabisco Holdings Corp. 800 27,650
UST, Inc. 700 24,806
Universal Corp. 200 9,500
389,195
TOTAL NONDURABLES 2,578,337
PRECIOUS METALS - 0.2%
Battle Mountain Gold Co. 1,100 6,600
Coeur d'Alene Mines Corp. (a) 300 3,413
Echo Bay Mines Ltd. (a) 900 1,833
Getchell Gold Corp. (a) 200 3,725
Homestake Mining Co. 800 8,000
Newmont Gold Co. 500 14,625
Newmont Mining Corp. 600 17,363
Pegasus Gold, Inc. (a) 200 101
Royal Oak Mines, Inc. (a) 300 390
Stillwater Mining Co. (a) 100 2,150
58,200
RETAIL & WHOLESALE - 4.4%
APPAREL STORES - 0.4%
Abercrombie & Fitch Co. (a) 100 3,450
AnnTaylor Stores Corp. (a) 100 1,419
Charming Shoppes, Inc. (a) 200 894
Claire's Stores, Inc. 300 5,400
Dress Barn, Inc. (a) 100 2,919
Footstar, Inc. (a) 200 6,000
Gap, Inc. 1,100 49,156
Goody's Family Clothing (a) 100 3,750
Gymboree Corp. (a) 200 5,375
Just for Feet, Inc. (a) 100 1,694
Limited, Inc. (The) 900 26,100
Men's Wearhouse, Inc. (The) (a) 100 3,613
Paul Harris Stores, Inc. (a) 100 881
Payless ShoeSource, Inc. (a) 100 6,725
Ross Stores, Inc. 200 7,875
Saks Holdings, Inc. (a) 300 7,838
Stage Stores, Inc. (a) 100 4,200
TJX Companies, Inc. 400 15,450
Talbots, Inc. 100 1,781
Wet Seal, Inc. Class A (a) 100 3,069
157,589
APPLIANCE STORES - 0.0%
Hirsch International Corp. Class A (a) 100 1,038
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
RETAIL & WHOLESALE - CONTINUED
DRUG STORES - 0.4%
Arbor Drugs, Inc. 350 $ 8,225
CVS Corp. 500 37,031
General Nutrition Companies, Inc. (a) 300 11,925
Rite Aid Corp. 800 25,900
Walgreen Co. 1,300 47,694
130,775
GENERAL MERCHANDISE STORES - 1.9%
BJ'S Wholesale Club, Inc. 200 6,775
Consolidated Stores Corp. (a) 194 7,978
Costco Companies, Inc. (a) 500 24,438
Dayton Hudson Corp. 500 38,656
Dillards, Inc. Class A 400 14,250
Dollar General Corp. 300 13,838
Dollar Tree Stores (a) 200 8,675
Family Dollar Stores, Inc. 200 7,125
Federated Department Stores, Inc. (a) 500 23,438
K mart Corp. (a) 1,700 22,738
Kohls Corp. (a) 200 16,038
May Department Stores Co. (The) 700 42,525
Meyer (Fred), Inc. (a) 200 8,888
Michaels Stores, Inc. (a) 200 6,800
Neiman-Marcus Group, Inc. (a) 100 3,719
99 Cents Only Stores (a) 125 4,813
Nordstrom, Inc. 200 11,469
Party City Corp. 150 4,088
Penney (J.C.) Co., Inc. 700 49,481
Proffitts, Inc. (a) 375 12,703
Sears, Roebuck & Co. 1,000 53,063
Shopko Stores, Inc. (a) 100 2,631
Stein Mart, Inc. (a) 200 6,463
Wal-Mart Stores, Inc. 6,300 291,769
Woolworth Corp. (a) 300 7,125
689,486
GROCERY STORES - 0.6%
Albertson's, Inc. 700 32,769
American Stores Co. 1,000 25,188
Central Garden & Pet Co. (a) 100 3,475
Dominick's Supermarkets, Inc. (a) 100 4,550
Fleming Companies, Inc. 300 5,344
Food Lion, Inc. Class A 1,800 18,169
Giant Food, Inc. Class A 100 3,631
Great Atlantic & Pacific Tea Co., Inc. 100 3,044
JP Foodservice, Inc. (a) 177 5,852
Kroger Co. (The) (a) 600 25,350
Performance Food Group Co. (a) 100 1,850
Quality Food Centers, Inc. (a) 100 8,363
Safeway, Inc. (a) 1,200 41,850
Supervalu, Inc. 300 14,288
Whole Foods Market, Inc. (a) 100 6,119
Wild Oats Markets, Inc. (a) 150 5,053
Winn-Dixie Stores, Inc. 400 21,575
226,470
RETAIL & WHOLESALE, MISCELLANEOUS - 1.1%
Action Performance Companies, Inc. (a) 100 3,688
Amazon Com, Inc. 100 7,700
Barnes & Noble, Inc. (a) 100 3,513
Bed Bath & Beyond, Inc. (a) 100 4,319
Best Buy Co., Inc. (a) 100 5,963
Boise Cascade Office Products Corp. (a) 100 1,806
Borders Group, Inc. (a) 100 3,331
Brylane, Inc. 100 5,363
SHARES VALUE (NOTE 1)
Cannondale Corp. (a) 100 $ 2,056
Circuit City Stores, Inc. -
Circuit City Group 400 15,450
Cole National Corp. Class A (a) 100 3,356
Corporate Express, Inc. (a) 310 3,139
Daisytek International Corp. (a) 100 4,750
dELiA*s, Inc. (a) 100 2,650
Eagle Hardware & Garden, Inc. (a) 300 5,681
Elcom International, Inc. (a) 100 588
Fingerhut Companies, Inc. 100 2,481
Finish Line, Inc. Class A (a) 200 3,275
Friedmans, Inc. Class A (a) 200 3,563
Gadzooks, Inc. (a) 100 2,800
Henry Schein, Inc. (a) 200 8,150
Home Depot, Inc. 2,000 127,625
IKON Office Solutions, Inc. 400 13,075
Lowe's Companies, Inc. 400 23,375
Micro Warehouse, Inc. (a) 100 1,375
N2K, Inc. 100 2,563
National Media Corp. (a) 100 263
Officemax, Inc. (a) 600 10,013
Office Depot, Inc. (a) 300 8,269
ONSALE, Inc. (a) 100 2,869
Petco Animal Supplies, Inc. (a) 100 1,431
PETsMART, Inc. (a) 200 1,525
Pier 1 Imports, Inc. 300 8,025
Spiegel, Inc. Class A (a) 100 450
Sports Authority, Inc. (a) 300 3,994
Staples, Inc. (a) 550 11,619
Sunglass Hut International, Inc. (a) 500 3,563
Tandy Corp. 400 17,800
Tiffany & Co., Inc. 200 9,400
Toys "R" Us, Inc. (a) 1,000 26,250
U.S.A. Floral Products, Inc. 200 4,775
U.S. Office Products Co. (a) 550 10,175
Viking Office Products, Inc. (a) 100 2,200
Williams-Sonoma, Inc. (a) 100 5,150
Wilmar Industries, Inc. (a) 100 2,281
Zale Corp. (a) 200 5,563
397,250
TOTAL RETAIL & WHOLESALE 1,602,608
SERVICES - 1.7%
ADVERTISING - 0.2%
ADVO, Inc. (a) 100 2,444
CKS Group, Inc. (a) 100 1,900
HA-LO Industries, Inc. (a) 100 2,956
Interpublic Group of Companies, Inc. 400 21,800
Lamar Advertising Co. Class A (a) 100 5,044
Metromail Corp. (a) 100 2,700
Omnicom Group, Inc. 300 13,725
Outdoor Systems, Inc. (a) 350 10,434
61,003
EDUCATIONAL SERVICES - 0.0%
Apollo Group, Inc. Class A (a) 100 4,238
LEASING & RENTAL - 0.2%
Alrenco, Inc. (a) 100 1,700
Avis Rent A Car, Inc. (a) 200 5,725
Budget Group, Inc. Class A (a) 200 6,238
GATX Corp. 100 7,750
Hollywood Entertainment Corp. (a) 300 3,300
Mitcham Industries, Inc. (a) 100 1,775
Rent-Way, Inc. (a) 200 4,900
Renters Choice, Inc. (a) 100 2,500
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
SERVICES - CONTINUED
LEASING & RENTAL - CONTINUED
Republic Industries, Inc. (a) 1,200 $ 28,350
Ryder Systems, Inc. 400 14,675
76,913
PRINTING - 0.2%
Consolidated Graphics, Inc. (a) 100 5,319
Cyrk, Inc. (a) 100 1,300
Deluxe Corp. 400 13,625
Donnelley (R.R.) & Sons Co. 600 23,775
Harland (John H.) Co. 100 1,519
Paxar Corp. (a) 100 1,400
Reynolds & Reynolds Co. Class A 100 2,125
United Stationers, Inc. (a) 100 5,988
Valassis Communications, Inc. (a) 200 7,625
Wallace Computer Services, Inc. 100 3,638
66,314
SERVICES - 1.1%
ABR Information Services, Inc. (a) 200 5,675
AccuStaff, Inc. (a) 200 5,650
Actrade International Ltd. (a) 200 2,338
Advanced Health Corp. (a) 200 2,950
AMRESCO, Inc. (a) 200 6,750
Analytical Surveys, Inc. (a) 100 4,075
Assisted Living Concepts, Inc. (a) 100 1,863
Block (H&R), Inc. 400 18,825
CDI Corp. (a) 100 4,625
Caribiner International, Inc. (a) 200 6,725
Catalina Marketing Corp. (a) 100 4,831
Cendant Corp. (a) 2,180 81,750
Cintas Corp. 200 8,500
Coinmach Laundry Corp. (a) 200 4,763
Complete Management, Inc. (a) 100 1,106
Computer Horizons Corp. (a) 100 5,219
Corestaff, Inc. (a) 200 6,238
Corrections Corp. of America (a) 100 3,825
Devry, Inc. (a) 100 3,400
Ecolab, Inc. 200 5,763
Gartner Group, Inc. Class A (a) 300 11,963
HCIA, Inc. (a) 100 1,369
Interim Services, Inc. (a) 300 8,700
Jostens, Inc. 100 2,350
Kelly Services, Inc. Class A 100 3,563
Labor Ready, Inc. 100 2,713
Learning Tree International, Inc. (a) 100 2,188
Manpower, Inc. 400 16,875
Medaphis Corp. (a) 400 4,150
Medpartners, Inc. (a) 700 8,400
MemberWorks, Inc. (a) 100 3,000
National Processing, Inc. (a) 100 1,163
National Service Industries, Inc. 200 11,088
Norrell Corp. 200 4,675
Olsten Corp. 400 6,450
PMT Services, Inc. (a) 300 5,325
Paymentech, Inc. (a) 100 1,650
Pre-Paid Legal Services, Inc. (a) 100 4,213
Precision Response Corp. (a) 100 919
Premier Technologies, Inc. (a) 200 6,275
Protection One, Inc. 100 1,250
Renaissance Worldwide, Inc. (a) 100 5,938
Robert Half International, Inc. (a) 300 13,575
Rural/Metro Corp. (a) 100 3,413
SOS Staffing Services, Inc. (a) 200 4,100
Service Corp. International 800 30,300
SHARES VALUE (NOTE 1)
ServiceMaster Co. 400 $ 10,850
Signature Resorts, Inc. (a) 200 4,150
Snyder Communications, Inc. (a) 200 8,213
Source Services Corp. 200 5,275
Staffmark, Inc. (a) 100 3,350
Teletech Holdings, Inc. (a) 100 956
True North Communications 200 5,163
Union Corp. (a) 100 3,138
Wackenhut Corrections Corp. (a) 100 2,850
Youth Services International, Inc. (a) 100 1,525
395,946
TOTAL SERVICES 604,414
TECHNOLOGY - 13.0%
COMMUNICATIONS EQUIPMENT - 1.6%
ADC Telecommunications, Inc. (a) 300 7,744
ACT Networks, Inc. (a) 100 988
Advanced Fibre Communication, Inc. (a) 100 2,994
Andrew Corp. (a) 400 11,050
Applied Signal Technology, Inc. (a) 100 1,538
Ascend Communications, Inc. (a) 500 18,719
Aspect Telecommunications Corp. (a) 200 5,275
Brooktrout Technology, Inc. (a) 100 1,575
Cabletron Systems, Inc. (a) 300 4,650
Centigram Communications Corp. (a) 100 1,344
Checkpoint Systems, Inc. 300 5,569
Ciena Corp. 300 12,581
Cisco Systems, Inc. (a) 2,800 184,450
Comdial Corp. (a) 100 1,100
DSC Communications Corp. (a) 300 5,888
DSP Communications, Inc. (a) 100 1,769
Davox Corp. (a) 100 3,200
Dynatech Corp. (a) 100 4,788
General DataComm Industries, Inc. (a) 100 406
Intermedia Communications, Inc. (a) 100 7,638
InterVoice, Inc. (a) 100 900
Level One Communications, Inc. (a) 100 4,494
Lo Jack Corp. (a) 100 1,219
Lucent Technologies, Inc. 1,800 195,075
Metricom, Inc. (a) 100 1,075
Mosaix, Inc. (a) 100 981
Natural Microsystems (a) 100 4,313
Network Equipment Technologies (a) 100 1,394
Osicom Technologies, Inc. (a) 300 1,688
P-COM, Inc. (a) 300 6,075
Pairgain Technologies, Inc. (a) 100 2,013
Periphonics Corp. (a) 100 1,238
PictureTel Corp. (a) 300 2,156
Shiva Corp. (a) 300 4,088
Symmetricom, Inc. (a) 100 931
Telco Systems, Inc. (a) 100 1,150
Tellabs, Inc. (a) 400 24,150
3Com Corp. (a) 900 32,175
Ultrak, Inc. (a) 100 944
VTel Corp. (a) 100 600
Westell Technologies, Inc. Class A (a) 200 2,400
Xircom, Inc. (a) 100 1,288
Xylan Corp. (a) 200 4,825
Yurie Systems, Inc. 200 4,175
582,613
COMPUTER SERVICES & SOFTWARE - 4.6%
Access Health Marketing, Inc. (a) 100 3,625
Acxiom Corp. (a) 300 6,300
Adept Technology, Inc. (a) 100 1,488
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
TECHNOLOGY - CONTINUED
COMPUTER SERVICES & SOFTWARE - CONTINUED
Adobe Systems, Inc. 100 $ 4,419
Affiliated Computer Services, Inc.
Class A (a) 200 6,438
Affymetrix, Inc. (a) 200 6,275
Alternative Resources Corp. (a) 100 2,338
America Online, Inc. (a) 300 36,338
American Software, Inc. Class A (a) 100 794
Ansoft Corp. (a) 100 1,188
Arbor Software Corp. (a) 100 4,500
Aspect Development, Inc. (a) 100 4,775
Aspen Technology, Inc. (a) 200 7,950
At Home Corp., Series A 400 13,650
Autodesk, Inc. 100 4,738
Automatic Data Processing, Inc. 800 48,850
Avant! Corp. (a) 200 2,800
Aware, Inc. (a) 200 2,475
Axent Technologies, Inc. (a) 280 5,845
Bisys Group, Inc. (The) (a) 200 7,425
BMC Software, Inc. (a) 300 22,950
BEA Systems, Inc. 300 8,063
Black Box Corp. (a) 100 3,575
Broderbund Software, Inc. (a) 100 2,475
CNET, Inc. (a) 100 3,625
CSG Systems International, Inc. (a) 100 3,875
CACI International, Inc. Class A (a) 100 2,138
Cadence Design Systems, Inc. (a) 500 17,469
Cambridge Technology Partners
Massachusetts, Inc. (a) 200 9,100
Camelot Corp. (a) 100 69
Ceridian Corp. (a) 100 4,656
CheckFree Holdings Corp. (a) 200 4,300
ChoicePoint, Inc. (a) 100 4,788
Ciber, Inc. (a) 100 6,675
Complete Business Solutions, Inc. 100 6,800
CompuCom Systems, Inc. (a) 100 881
Computer Associates International, Inc. 1,500 70,688
CompUSA, Inc. (a) 200 7,000
Computer Learning Centers, Inc. (a) 200 7,363
Computer Sciences Corp. (a) 200 20,938
Compuware Corp. (a) 400 16,850
Corsair Communications, Inc. 200 4,100
Cylink Corp. (a) 100 1,350
DST Systems, Inc. (a) 200 10,575
DAOU Systems, Inc. (a) 100 2,638
Data Dimensions, Inc. (a) 100 1,363
Dataworks Corp. (a) 100 2,525
Datatec Systems, Inc. (a) 100 416
Diamond Multimedia Systems, Inc. (a) 300 4,294
Digi International, Inc. (a) 100 2,425
DocuCorp International, Inc.
rights 3/31/98 (a) 20 78
Documentum, Inc. (a) 100 4,638
E Trade Group, Inc. (a) 100 2,675
EarthLink Network, Inc. (a) 100 4,900
Edify Corp. (a) 100 1,538
J.D. Edwards & Co. 300 9,900
Egghead Inc. (a) 100 963
Electronic Arts, Inc. (a) 100 4,413
Electronic Data Systems Corp. 1,300 56,956
Electronics for Imaging, Inc. (a) 300 6,619
Equifax, Inc. 600 21,563
First Data Corp. 1,100 37,400
Fiserv, Inc. (a) 200 10,950
SHARES VALUE (NOTE 1)
Forte Software, Inc. (a) 100 $ 600
4Front Software International, Inc. (a) 100 906
GT Interactive Software, Inc. (a) 100 775
Galileo International, Inc. 300 11,850
GeoTel Communications Corp. (a) 200 4,575
HBO & Co. 500 27,063
HNC Software, Inc. (a) 100 3,563
Harbinger Corp. 100 3,300
Hyperion Software, Inc. (a) 100 4,113
IDX Systems Corp. (a) 200 8,275
Inacom Corp. (a) 100 3,275
Industrial-Matematik International Corp. (a) 100 2,763
Information Management Resources, Inc. 100 4,788
Informix Corp. (a) 200 1,563
Infoseek Corp. (a) 200 3,288
Inso Corp. (a) 200 2,800
International Network Services (a) 200 5,575
Intuit, Inc. (a) 100 4,650
i2 Technologies, Inc. (a) 200 11,313
JDA Software Group, Inc. (a) 100 4,838
Keane, Inc. (a) 100 4,650
LHS Group, Inc. 100 7,513
Learning Co., Inc. (The) (a) 100 1,700
Legato Systems, Inc. (a) 100 4,900
Logic Works, Inc. (a) 100 1,013
Lycos, Inc. (a) 100 4,125
Macromedia, Inc. (a) 100 1,250
Manugistics Group, Inc. (a) 100 3,988
Mentor Graphics Corp. (a) 100 1,044
Mercury Interactive Group Corp. (a) 100 3,725
Meta Group, Inc. (a) 100 3,000
MetaCreations Corp. (a) 100 853
Microsoft Corp. (a) 6,800 576,300
MicroAge, Inc. (a) 200 2,575
MicroProse, Inc. (a) 100 197
NCR Corp. (a) 400 12,550
National Data Corp. 200 8,800
Networks Associates, Inc. (a) 141 9,112
Netscape Communications Corp. (a) 200 3,875
NetSpeak Corp. (a) 100 2,413
Network Solutions, Inc. Class A (a) 100 2,025
Novell, Inc. (a) 700 7,361
Oak Technology, Inc. (a) 300 2,100
Object Design, Inc. (a) 100 606
Oracle Corp. (a) 2,700 66,488
Orcad, Inc. (a) 100 913
Parametric Technology Corp. (a) 300 18,169
Paychex, Inc. 400 20,650
Pegasystems, Inc. (a) 100 2,125
PeopleSoft, Inc. (a) 600 26,813
Peritus Software Services, Inc. 100 1,600
Platinum Technology, Inc. (a) 300 7,613
Progress Software Corp. (a) 100 2,538
PsiNet, Inc. (a) 300 2,316
Quadramed Corp. (a) 100 3,188
Quickturn Design Systems, Inc. (a) 100 1,381
Rainbow Technologies, Inc. (a) 100 2,450
Rational Software Corp. (a) 100 1,350
Red Brick Systems, Inc. (a) 100 575
Remedy Corp. (a) 200 3,838
SPSS, Inc. (a) 100 2,150
STB Systems, Inc. (a) 150 3,431
Sabre Group Holdings, Inc. Class A (a) 200 6,600
Sapient Corp. 100 7,938
Scopus Technology, Inc. (a) 200 2,825
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
TECHNOLOGY - CONTINUED
COMPUTER SERVICES & SOFTWARE - CONTINUED
Secure Computing Corp. (a) 100 $ 1,150
Security Dynamics Technologies, Inc. (a) 200 7,125
Shared Medical Systems Corp. 100 7,644
Siebel Systems, Inc. (a) 100 6,150
SportsLine USA, Inc. 200 4,700
Stac Electronics (a) 100 500
Sterling Software, Inc. (a) 200 10,538
Structural Dynamics Research Corp. (a) 200 5,750
Summit Design, Inc. (a) 100 1,400
SunGard Data Systems, Inc. (a) 368 12,581
Sybase, Inc. (a) 500 5,250
Sykes Enterprises, Inc. (a) 300 5,531
Symantec Corp. (a) 100 2,519
Synopsys, Inc. (a) 165 5,765
Systems & Computer Technology Corp. (a) 100 4,375
TCSI Corp. (a) 100 763
TSR, Inc. (a) 100 2,694
Technology Solutions, Inc. (a) 200 6,500
3Dfx Interactive, Inc. 200 4,613
Total Systems Services, Inc. 300 7,875
Transaction Systems Architects (a) 200 8,700
Transition Systems, Inc. (a) 100 1,950
Unicomp, Inc. (a) 100 675
Vantive Corp. (a) 200 5,475
Veritas Software Corp. (a) 100 5,688
Viasoft, Inc. (a) 100 2,700
Visio Corp. (a) 200 7,200
WavePhore, Inc. (a) 100 913
Whittman-Hart, Inc. (a) 100 3,300
Wind River Systems, Inc. (a) 200 7,825
Wonderware Corp. (a) 100 2,363
Xpedite Systems, Inc. (a) 100 3,663
Yahoo, Inc. (a) 100 7,319
1,710,461
COMPUTERS & OFFICE EQUIPMENT - 3.5%
Adaptec, Inc. (a) 200 5,288
Advanced Digital Information Corp. (a) 100 1,575
Apple Computer, Inc. (a) 500 11,813
Apex PC Solutions, Inc. 100 2,750
Applied Magnetics Corp. (a) 200 2,388
Aura Systems, Inc. (a) 200 625
Auspex Systems, Inc. (a) 100 956
Bay Networks, Inc. (a) 500 16,938
Bell & Howell Co. (a) 100 2,688
CDW Computer Centers, Inc. (a) 100 6,850
CHS Electronics, Inc. (a) 200 4,125
Comdisco, Inc. 100 4,169
Compaq Computer Corp. 4,300 137,869
Comverse Technology, Inc. (a) 265 12,389
Concurrent Computer Corp. (a) 200 406
Data General Corp. (a) 300 6,188
Dell Computer Corp. (a) 900 125,888
Diebold, Inc. 300 15,413
Digital Equipment Corp. (a) 400 22,775
Digital Lightwave, Inc. 200 750
EMC Corp. (a) 1,400 53,550
Encad, Inc. (a) 100 2,463
Exabyte Corp. (a) 100 800
FileNet Corp. (a) 100 3,338
FOCUS Enhancements, Inc. (a) 100 372
Fore Systems, Inc. (a) 400 6,425
GateField Corp. (a) 200 238
SHARES VALUE (NOTE 1)
Gateway 2000, Inc. (a) 400 $ 17,600
Genicom Corp. (a) 100 1,156
HMT Technology Corp. (a) 300 3,300
Hewlett-Packard Co. 2,900 194,300
Hutchinson Technology, Inc. (a) 100 2,313
In Focus Systems, Inc. (a) 100 3,994
Ingram Micro, Inc. Class A (a) 200 7,725
Insight Enterprises, Inc. (a) 100 3,975
Intergraph Corp. (a) 100 975
International Business Machines Corp. 2,700 281,981
Iomega Corp. (a) 600 5,475
Itron, Inc. (a) 100 2,113
Komag, Inc. (a) 100 1,438
Lexmark International Group, Inc. (a) 300 12,825
MTI Technology Corp. (a) 100 1,300
MICROS Systems, Inc. (a) 100 5,525
Micron Electronics, Inc. (a) 100 1,288
Network Appliance, Inc. 200 5,900
Pitney Bowes, Inc. 900 42,188
Plannar Systems, Inc. (a) 100 1,238
Quantum Corp. (a) 300 7,538
Radisys Corp. (a) 100 3,500
Retix (a) 100 538
SCI Systems, Inc. (a) 100 4,500
SCM Microsystems, Inc. 100 5,750
SED International Holdings, Inc. (a) 100 1,388
Safeguard Scientifics, Inc. (a) 100 3,600
Scan-Optics, Inc. (a) 100 706
Seagate Technology (a) 600 14,588
SEEQ Technology Corp. (a) 100 238
Sequent Computer Systems, Inc. (a) 300 6,356
Silicon Graphics, Inc. (a) 400 6,025
Splash Technology Holdings, Inc. (a) 100 1,750
Stratus Computer, Inc. (a) 100 5,019
Sun Microsystems, Inc. (a) 1,000 47,625
Symbol Technologies, Inc. 200 10,213
Syquest Technology, Inc. (a) 900 2,545
Tech Data Corp. (a) 200 9,300
Telxon Corp. 100 2,338
Trident Microsystems, Inc. (a) 100 800
Unisys Corp. (a) 400 7,150
Wang Laboratories, Inc. (a) 200 5,575
Western Digital Corp. (a) 200 3,650
Xerox Corp. 900 79,819
1,276,149
ELECTRONIC INSTRUMENTS - 0.5%
Anadigics, Inc. (a) 100 1,563
Applied Materials, Inc. (a) 1,000 36,813
Barringer Technologies, Inc. (a) 100 1,494
Berg Electronics Corp. (a) 300 8,475
Cerprobe Corp. (a) 100 2,169
Cholestech Corp. (a) 100 1,363
Cohu, Inc. 100 4,625
Credence Systems Corp. (a) 100 3,338
Electro Scientific Industries, Inc. (a) 100 3,800
Helix Technology Corp. 200 4,550
KLA-Tencor Corp. (a) 200 9,231
Kulicke & Soffa Industries, Inc. (a) 100 2,775
Perkin-Elmer Corp. 219 16,028
Reliability, Inc. (a) 100 1,294
Sawtek, Inc. (a) 200 5,125
Silicon Valley Group, Inc. (a) 200 5,450
TAVA Technologies, Inc. (a) 100 844
Tektronix, Inc. 200 8,925
Teradyne, Inc. (a) 200 9,438
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
TECHNOLOGY - CONTINUED
ELECTRONIC INSTRUMENTS - CONTINUED
Thermo Electron Corp. (a) 600 $ 24,600
Trimble Navigation Ltd. (a) 100 2,000
Varian Associates, Inc. 200 11,600
Waters Corp. (a) 200 9,888
175,388
ELECTRONICS - 2.6%
Act Manufacturing, Inc. (a) 100 1,206
AVX Corp. 100 2,256
Actel Corp. (a) 200 3,125
Advanced Micro Devices, Inc. (a) 300 7,031
Altera Corp. (a) 200 8,625
Altron Inc. (a) 100 1,538
AMP, Inc. 700 30,931
Analog Devices, Inc. (a) 400 12,900
Arrow Electronics, Inc. (a) 400 13,325
Atmel Corp. (a) 100 1,625
Avnet, Inc. 200 12,750
Brightpoint, Inc. (a) 200 4,100
Burr-Brown Corp. (a) 200 8,225
C-Cube Microsystems, Inc. (a) 100 2,075
CIDCO, Inc. (a) 100 1,675
Cirrus Logic, Inc. (a) 200 2,213
Cypress Semiconductor Corp. (a) 200 1,888
DII Group, Inc. (a) 100 2,650
Dallas Semiconductor Corp. 100 4,750
Digital Microwave Corp. (a) 200 3,675
ESS Technology, Inc. (a) 100 763
Etec Systems, Inc. (a) 100 5,244
Electroglas, Inc. (a) 200 3,700
Exar Corp. (a) 100 2,200
General Semiconductor, Inc. (a) 100 1,394
Hadco Corp. (a) 100 5,113
Harmonic Lightwaves, Inc. (a) 100 1,256
Innovex, Inc. 100 2,325
Integrated Circuit Systems, Inc. (a) 100 3,500
Integrated Device Technology, Inc. (a) 400 6,025
Integrated Silicon Solution (a) 100 1,050
Intel Corp. 4,600 412,563
International Rectifier Corp. (a) 100 1,456
KEMET Corp. (a) 100 2,125
Kent Electronics Corp. (a) 200 4,463
LSI Logic Corp. (a) 300 7,106
Lattice Semiconductor Corp. (a) 100 5,356
Linear Technology Corp. 200 15,150
MRV Communications, Inc. (a) 200 4,650
Marshall Industries (a) 200 5,863
Maxim Integrated Products, Inc. (a) 500 20,188
Methode Electronics, Inc. Class A 100 1,413
Micrel, Inc. (a) 100 3,669
Micro Linear Corp. (a) 100 744
Microchip Technology, Inc. (a) 200 4,838
Micron Technology, Inc. (a) 600 19,913
Microsemi Corp. (a) 100 1,950
Molex, Inc. 550 16,638
Motorola, Inc. 1,600 89,200
National Semiconductor Corp. (a) 400 9,550
NeoMagic Corp. (a) 200 3,700
PMC-Sierra, Inc. (a) 200 7,200
Photronics, Inc. (a) 200 5,875
QLogic Corp. (a) 100 4,013
Reptron Electronics, Inc. (a) 100 1,225
S3, Inc. (a) 500 3,063
SHARES VALUE (NOTE 1)
Sanmina Corp. (a) 100 $ 7,969
Semtech Corp. (a) 100 2,875
Sipex Corp. (a) 100 3,444
Solectron Corp. (a) 200 9,675
Standard Microsystems Corp. (a) 100 950
Sterling Commerce, Inc. (a) 300 13,688
Storage Technology Corp. (a) 200 13,650
Telcom Semiconductor, Inc. (a) 100 1,125
Texas Instruments, Inc. 1,000 57,875
Thomas & Betts Corp. 200 11,338
Transwitch Corp. (a) 100 1,113
Triquint Semiconductor, Inc. (a) 100 2,413
Uniphase Corp. (a) 100 4,006
Videoserver, Inc. (a) 100 1,513
Vishay Intertechnology, Inc. 300 6,113
World Access, Inc. (a) 100 2,250
Xilinx, Inc. (a) 200 8,775
Zoran Corp. (a) 100 1,738
961,554
PHOTOGRAPHIC EQUIPMENT - 0.2%
Eastman Kodak Co. 800 52,500
Imation Corp. (a) 300 5,044
Polaroid Corp. 200 9,163
66,707
TOTAL TECHNOLOGY 4,772,872
TRANSPORTATION - 1.2%
AIR TRANSPORTATION - 0.5%
AMR Corp. (a) 200 25,313
AirTran Holdings, Inc. (a) 500 2,906
Alaska Air Group, Inc. (a) 100 5,506
America West Holdings Corp.
Class B (a) 300 7,444
ASA Holdings, Inc. 200 8,050
Atlantic Coast Airlines, Inc. (a) 100 4,338
Atlas Air, Inc. (a) 100 2,975
Comair Holdings, Inc. 350 9,319
Continental Airlines, Inc. Class B (a) 200 10,050
Delta Air Lines, Inc. 200 22,613
Great Lakes Aviation (a) 200 725
Mesa Air Group, Inc. (a) 400 3,288
Midwest Express Holdings, Inc. (a) 100 4,863
Midway Airlines Corp. (a) 100 1,950
SkyWest, Inc. 100 3,900
Southwest Airlines Co. 450 12,909
Trans World Airlines, Inc. (a) 300 3,900
UAL Corp. (a) 100 8,513
US Airways Group, Inc. (a) 200 12,663
Viad Corp. 500 12,094
Western Pacific Airlines, Inc. (a) 200 12
WorldCorp, Inc. (a) 100 138
163,469
RAILROADS - 0.4%
ABC Rail Products Corp. (a) 100 1,900
Burlington Northern Santa Fe Corp. 400 39,850
CSX Corp. 700 39,156
Illinois Central Corp., Series A 300 11,644
Johnstown America Industries, Inc. (a) 100 1,200
Kansas City Southern Industries, Inc. 200 7,438
Trinity Industries, Inc. 200 10,050
Union Pacific Corp. 600 30,600
Wisconsin Central Transportation Corp. (a) 300 8,138
149,976
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
TRANSPORTATION - CONTINUED
SHIPPING - 0.0%
Alexander & Baldwin, Inc. 300 $ 8,475
Hvide Marine, Inc. (a) 200 3,800
OMI Corp. (a) 100 869
Trico Marine Services, Inc. (a) 200 3,725
16,869
TRUCKING & FREIGHT - 0.3%
Air Express International Corp. 200 5,600
Airborne Freight Corp. 200 7,238
American Freightways Corp. (a) 300 3,094
Arkansas Best Corp. (a) 200 2,250
C.H. Robinson Worldwide, Inc. 200 4,550
CNF Transportation, Inc. 200 7,825
Consolidated Freightways Corp. (a) 200 3,000
Eagle USA Airfreight, Inc. (a) 100 2,863
Expeditors International of Washington, Inc. 200 8,100
FDX Corp. (a) 480 30,570
Fritz Companies, Inc. (a) 100 1,388
Hunt (J.B.) Transport Services, Inc. 300 8,025
Landstar System, Inc. (a) 100 2,975
M.S. Carriers, Inc. (a) 100 2,638
Roadway Express, Inc. 200 4,600
Swift Transportation Co., Inc. (a) 200 6,525
US Xpress Enterprises, Inc. (a) 100 2,019
USFreightways Corp. 200 6,988
Werner Enterprises, Inc. 300 7,463
Yellow Corp. (a) 200 4,213
121,924
TOTAL TRANSPORTATION 452,238
UTILITIES - 8.2%
CELLULAR - 0.5%
AirTouch Communications, Inc. (a) 1,400 62,913
Associated Group, Inc. Class A (a) 200 7,975
Cellular Communications International,
Inc. (a) 100 4,775
Centennial Cellular Corp. Class A (a) 100 1,863
Century Telephone Enterprises, Inc. 200 12,200
Geotek Industries, Inc. (a) 200 344
LCC International, Inc. (a) 200 2,525
Metromedia Fiber Network, Inc. Class A 200 7,350
Mobile Telecommunications
Technologies, Inc. (a) 200 4,500
Nextel Communications, Inc. Class A (a) 700 20,694
Paging Network, Inc. (a) 500 7,250
Powertel, Inc. (a) 100 2,250
QUALCOMM, Inc. (a) 200 10,200
Telephone & Data Systems, Inc. 300 13,069
360 Degrees Communications Co. (a) 500 13,250
United States Cellular Corp. (a) 100 3,019
Vanguard Cellular Systems, Inc. Class A (a) 100 1,300
Western Wireless Corp. Class A (a) 200 3,775
179,252
ELECTRIC UTILITY - 2.6%
AES Corp. (a) 400 17,600
Allegheny Energy, Inc. 400 12,225
Ameren Corp. 500 19,219
American Electric Power Co., Inc. 700 33,600
Baltimore Gas & Electric Co. 700 22,094
Boston Edison Co. 100 3,881
CMS Energy Corp. 400 17,700
Calenergy, Inc. (a) 400 10,725
SHARES VALUE (NOTE 1)
Carolina Power & Light Co. 600 $ 25,050
Central & South West Corp. 900 24,131
Citizens Utilities Co. Class B 1,211 11,353
Consolidated Edison, Inc. 800 34,000
DQE, Inc. 100 3,319
DPL, Inc. 150 2,728
DTE Energy Co. 600 22,050
Delmarva Power & Light Co. 100 2,156
Dominion Resources, Inc. 700 27,913
Duke Energy Corp. 1,200 66,675
Eastern Utilities Associates 100 2,394
Edison International 1,200 33,150
Enova Corp. 100 2,550
Entergy Corp. 400 11,575
FPL Group, Inc. 600 34,838
FirstEnergy Corp. 557 16,118
Florida Progress Corp. 400 15,475
GPU, Inc. 600 24,113
Houston Industries, Inc. 500 12,938
Illinova Corp. 400 11,100
KTI, Inc. 100 1,525
Kansas City Power & Light Co. 100 3,013
LG&E Energy Corp. 200 4,788
Long Island Lighting Co. 300 9,300
Midamerican Energy Holdings Co. 100 2,075
Montana Power Co. 300 9,600
NIPSCO Industries, Inc. 600 15,413
New Century Energies, Inc. 200 9,325
New England Electric System 300 12,638
New York State Electric & Gas Corp. 300 11,269
Niagara Mohawk Power Corp. (a) 900 11,531
Northeast Utilities 400 5,000
Northern States Power Co. 300 16,481
OGE Energy Corp. 100 5,400
PECO Energy Co. 1,000 19,750
PG&E Corp. 1,000 30,188
PP&L Resources, Inc. 200 4,475
PacifiCorp. 1,200 29,025
Pinnacle West Capital Corp. (a) 400 16,325
Potomac Electric Power Co. 200 5,025
Public Service Co. of New Mexico 200 4,663
Public Service Enterprise Group, Inc. 900 29,025
Puget Sound Power & Light Co. 200 5,425
SCANA Corp. 300 8,625
Southern Co. 2,000 49,375
TECO Energy, Inc. 700 18,419
Texas Utilities Co. 900 36,394
Unicom Corp. 400 12,825
Utilicorp United, Inc. 300 10,800
Wisconsin Energy Corp. 500 13,625
931,992
GAS - 0.6%
AGL Resources, Inc. 100 2,031
Aquila Gas Pipeline Corp. 100 1,206
CTG Resources, Inc. 100 2,600
Columbia Gas System, Inc. (The) 200 15,263
Consolidated Natural Gas Co. 400 23,000
Eastern Enterprises Co. 100 4,431
El Paso Natural Gas Co. 200 13,275
Enron Corp. 1,000 47,000
Equitable Resources, Inc. 100 3,150
K N Energy, Inc. 200 10,388
Keyspan Energy Corp. 100 3,556
MCN Corp. 400 14,725
National Fuel Gas Co. 100 4,663
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
UTILITIES - CONTINUED
GAS - CONTINUED
NICOR, Inc. 100 $ 4,113
Pacific Enterprises 300 10,894
Questar Corp. 200 8,500
Sonat, Inc. 400 17,250
Washington Gas Light Co. 100 2,694
Western Resources, Inc. 200 8,200
Williams Companies, Inc. 1,100 35,956
232,895
TELEPHONE SERVICES - 4.5%
ACC Corp. (a) 100 5,000
AT&T Corp. 4,500 273,938
ALLTEL Corp. 700 31,981
American Communication
Services, Inc. (a) 100 1,400
Ameritech Corp. 3,000 125,063
Bell Atlantic Corp. 2,100 188,475
BellSouth Corp. 2,700 164,700
Cincinnati Bell, Inc. 600 19,200
Commonwealth Telephone Enterprises,
Inc. (a) 100 2,800
Comsat Corp., Series 1 300 10,031
EXCEL Communications, Inc. (a) 300 6,319
Frontier Corp. 700 19,381
GTE Corp. 2,600 140,725
IXC Communications, Inc. (a) 200 11,588
LCI International, Inc. (a) 375 12,375
MCI Communications Corp. 1,900 90,844
Mastech Corp. (a) 100 5,263
McLeodUSA, Inc. Class A (a) 200 7,794
NEXTLINK Communications, Inc.
Class A (a) 200 6,025
Pacific Gateway Exchange, Inc. (a) 100 4,331
Primus Telecommunications Group, Inc. (a) 200 5,200
Qwest Communications International, Inc. 600 21,075
SBC Communications, Inc. 2,500 189,063
Southern New England
Telecommunications Corp. 300 18,938
Sprint Corp. 1,200 79,200
STAR Telecommunications, Inc. 100 3,738
Tel-Save Holdings, Inc. (a) 300 8,306
Teleport Communications Group, Inc.
Class A (a) 200 10,925
Trescom International, Inc. (a) 100 894
U S WEST Communications Group 1,500 78,094
Winstar Communications, Inc. (a) 100 4,206
WorldCom, Inc. (a) 2,825 107,880
1,654,752
WATER - 0.0%
American Water Works, Inc. 100 3,000
United Water Resources, Inc. 100 1,963
4,963
TOTAL UTILITIES 3,003,854
TOTAL COMMON STOCKS
(Cost $29,220,446) 31,473,178
U.S. TREASURY OBLIGATIONS - 14.0%
PRINCIPAL VALUE
AMOUNT (NOTE 1)
U.S. Treasury Bills, yields at dates of
purchase 4.99% to 5.43%,
4/16/98 to 6/4/98 (b)
(Cost $5,105,319) $ 5,161,000 $ 5,106,717
TOTAL INVESTMENT IN SECURITIES - 100%
(Cost $34,325,765) $ 36,579,895
FUTURES CONTRACTS
EXPIRATION UNDERLYING FACE UNREALIZED
PURCHASED DATE AMOUNT AT VALUE GAIN/(LOSS)
22 S&P 500 Index Contracts Mar. 98 $ 5,777,750 $ 85,829
THE FACE VALUE OF FUTURES PURCHASED AS A PERCENTAGE OF TOTAL
INVESTMENT IN
SECURITIES - 15.8%
LEGEND
1. Non-income producing
2. Security or a portion of the security was pledged to cover margin
requirements for futures contracts. At the period end, the value of
securities pledged amounted to $242,250.
INCOME TAX INFORMATION
At February 28, 1998, the aggregate cost of investment securities for
income tax purposes was $34,325,976. Net unrealized appreciation
aggregated $2,253,919 of which $2,759,733 related to appreciated
investment securities and $505,814 related to depreciated investment
securities.
The fund hereby designates approximately $7,000 as a capital gain
dividend for the purpose of the dividend paid deduction.
FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
<TABLE>
<CAPTION>
<S> <C> <C>
FEBRUARY 28, 1998
ASSETS
INVESTMENT IN SECURITIES, AT VALUE $ 36,579,895
(COST $34,325,765) - SEE ACCOMPANYING SCHEDULE
CASH 1,692
RECEIVABLE FOR INVESTMENTS SOLD 12,707
RECEIVABLE FOR FUND SHARES SOLD 2,242,332
DIVIDENDS RECEIVABLE 37,494
INTEREST RECEIVABLE 433
PURCHASE FEES RECEIVABLE 11,315
OTHER RECEIVABLES 215
PREPAID EXPENSES 8,628
RECEIVABLE FROM INVESTMENT ADVISER FOR EXPENSE REDUCTIONS 11,877
TOTAL ASSETS 38,906,588
LIABILITIES
PAYABLE FOR INVESTMENTS PURCHASED $ 9,188
PAYABLE FOR FUND SHARES REDEEMED 7,800
PAYABLE FOR DAILY VARIATION ON 7,349
FUTURES CONTRACTS
OTHER PAYABLES AND 40,690
ACCRUED EXPENSES
TOTAL LIABILITIES 65,027
NET ASSETS $ 38,841,561
NET ASSETS CONSIST OF:
PAID IN CAPITAL $ 36,202,589
UNDISTRIBUTED NET INVESTMENT INCOME 75,013
ACCUMULATED UNDISTRIBUTED NET REALIZED GAIN (LOSS) ON INVESTMENTS 224,000
NET UNREALIZED APPRECIATION (DEPRECIATION) ON INVESTMENTS 2,339,959
NET ASSETS, FOR 1,398,313 $ 38,841,561
SHARES OUTSTANDING
NET ASSET VALUE, OFFERING PRICE $27.78
AND REDEMPTION PRICE PER SHARE ($38,841,561 (DIVIDED BY) 1,398,313 SHARES) A
A OFFERING PRICE PER SHARE DOES NOT INCLUDE THE EFFECT OF THE PURCHASE FEE.
</TABLE>
STATEMENT OF OPERATIONS
<TABLE>
<CAPTION>
<S> <C> <C>
NOVEMBER 5, 1997 (COMMENCEMENT OF OPERATIONS) TO
FEBRUARY 28, 1998
INVESTMENT INCOME $ 88,701
DIVIDENDS
INTEREST (INCLUDING INCOME ON SECURITIES LOANED OF $716) 53,125
TOTAL INCOME 141,826
EXPENSES
MANAGEMENT AND SUB-ADVISORY FEES $ 16,771
TRANSFER AGENT FEES 10,015
ACCOUNTING FEES 19,211
NON-INTERESTED TRUSTEES' COMPENSATION 16
REGISTRATION FEES 40,431
AUDIT 22,298
MISCELLANEOUS 251
TOTAL EXPENSES BEFORE REDUCTIONS 108,993
EXPENSE REDUCTIONS (92,363) 16,630
NET INVESTMENT INCOME 125,196
REALIZED AND UNREALIZED GAIN (LOSS)
NET REALIZED GAIN (LOSS) ON:
INVESTMENT SECURITIES 10,130
FUTURES CONTRACTS 220,241 230,371
CHANGE IN NET UNREALIZED APPRECIATION (DEPRECIATION) ON:
INVESTMENT SECURITIES 2,254,130
FUTURES CONTRACTS 85,829 2,339,959
NET GAIN (LOSS) 2,570,330
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 2,695,526
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
INCREASE (DECREASE) IN NET ASSETS NOVEMBER 5, 1997
(COMMENCEMENT
OF OPERATIONS) TO
FEBRUARY 28,
1998
<TABLE>
<CAPTION>
<S> <C>
OPERATIONS $ 125,196
NET INVESTMENT INCOME
NET REALIZED GAIN (LOSS) 230,371
CHANGE IN NET UNREALIZED APPRECIATION (DEPRECIATION) 2,339,959
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS 2,695,526
DISTRIBUTIONS TO SHAREHOLDERS FROM NET INVESTMENT INCOME (56,554)
SHARE TRANSACTIONS 42,880,647
NET PROCEEDS FROM SALES OF SHARES
REINVESTMENT OF DISTRIBUTIONS 56,508
COST OF SHARES REDEEMED (6,952,594)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS 35,984,561
PURCHASE FEES 218,028
TOTAL INCREASE (DECREASE) IN NET ASSETS 38,841,561
NET ASSETS
BEGINNING OF PERIOD -
END OF PERIOD (INCLUDING UNDISTRIBUTED NET INVESTMENT INCOME OF $75,013) $ 38,841,561
OTHER INFORMATION
SHARES
SOLD 1,666,819
ISSUED IN REINVESTMENT OF DISTRIBUTIONS 2,259
REDEEMED (270,765)
NET INCREASE (DECREASE) 1,398,313
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C>
SEE ACCOMPANYING NOTES WHICH ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
</TABLE>
FINANCIAL HIGHLIGHTS
NOVEMBER 5, 1997
(COMMENCEMENT
OF OPERATIONS) TO
FEBRUARY 28,
SELECTED PER-SHARE DATA 1998
<TABLE>
<CAPTION>
<S> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 25.00
INCOME FROM INVESTMENT OPERATIONS
NET INVESTMENT INCOME D .15
NET REALIZED AND UNREALIZED GAIN (LOSS) 2.45
TOTAL FROM INVESTMENT OPERATIONS 2.60
LESS DISTRIBUTIONS
FROM NET INVESTMENT INCOME (.08)
PURCHASE FEES ADDED TO PAID IN CAPITAL .26
NET ASSET VALUE, END OF PERIOD $ 27.78
TOTAL RETURN B, C 11.48%
RATIOS AND SUPPLEMENTAL DATA
NET ASSETS, END OF PERIOD (000 OMITTED) $ 38,842
RATIO OF EXPENSES TO AVERAGE NET ASSETS .25% A, E
RATIO OF NET INVESTMENT INCOME TO AVERAGE NET ASSETS 1.91% A
PORTFOLIO TURNOVER RATE 7% A
AVERAGE COMMISSION RATE F $ .0186
A ANNUALIZED
B TOTAL RETURNS FOR PERIODS OF LESS THAN ONE YEAR ARE NOT ANNUALIZED.
C THE TOTAL RETURN WOULD HAVE BEEN LOWER HAD CERTAIN EXPENSES NOT BEEN REDUCED
DURING THE PERIOD SHOWN (SEE NOTE 6 OF NOTES TO FINANCIAL STATEMENTS).
D NET INVESTMENT INCOME PER SHARE HAS BEEN CALCULATED BASED ON AVERAGE SHARES
OUTSTANDING DURING THE PERIOD.
E FMR AGREED TO REIMBURSE A PORTION OF THE FUND'S EXPENSES DURING THE PERIOD.
WITHOUT THIS REIMBURSEMENT, THE FUND'S EXPENSE RATIO WOULD HAVE BEEN HIGHER
(SEE NOTE 6 OF NOTES TO FINANCIAL STATEMENTS).
F A FUND IS REQUIRED TO DISCLOSE ITS AVERAGE COMMISSION RATE PER SHARE FOR
SECURITY TRADES ON WHICH COMMISSIONS ARE CHARGED. THIS AMOUNT MAY VARY FROM
PERIOD TO PERIOD AND FUND TO FUND DEPENDING ON THE MIX OF TRADES EXECUTED IN
VARIOUS MARKETS
WHERE TRADING PRACTICES AND COMMISSION RATE STRUCTURES MAY DIFFER.
</TABLE>
NOTES TO FINANCIAL STATEMENTS
FOR THE PERIOD ENDED FEBRUARY 28, 1998
1. SIGNIFICANT ACCOUNTING POLICIES.
Spartan Total Market Index Fund (the fund) is a fund of Fidelity
Concord Street Trust (the trust) and is authorized to issue an
unlimited number of shares. The trust is registered under the
Investment Company Act of 1940, as amended (the 1940 Act), as an
open-end management investment company organized as a Massachusetts
business trust. The financial statements have been prepared in
conformity with generally accepted accounting principles which permit
management to make certain estimates and assumptions at the date of
the financial statements. The following summarizes the significant
accounting policies of the fund:
SECURITY VALUATION. Securities for which exchange quotations are
readily available are valued at the last sale price, or if no sale
price, at the closing bid price. Securities for which exchange
quotations are not readily available (and in certain cases debt
securities which trade on an exchange) are valued primarily using
dealer-supplied valuations or at their fair value as determined in
good faith under consistently applied procedures under the general
supervision of the Board of Trustees. Short-term securities with
remaining maturities of sixty days or less for which quotations are
not readily available are valued at amortized cost or original cost
plus accrued interest, both of which approximate current value.
FOREIGN CURRENCY TRANSLATION. The accounting records of the fund are
maintained in U.S. dollars. Investment securities and other assets and
liabilities denominated in a foreign currency are translated into U.S.
dollars at the prevailing rates of exchange at period end. Purchases
and sales of securities, income receipts and expense payments are
translated into U.S. dollars at the prevailing exchange rate on the
respective dates of the transactions.
Net realized gains and losses on foreign currency transactions
represent net gains and losses from sales and maturities of foreign
currency contracts, disposition of foreign currencies, the difference
between the amount of net investment income accrued and the U.S.
dollar amount actually received, and gains and losses between trade
date and settlement on purchases and sales of securities. The effects
of changes in foreign currency exchange rates on investments in
securities are included with the net realized and unrealized gain or
loss on investment securities.
INCOME TAXES. The fund intends to qualify as a regulated investment
company under Subchapter M of the Internal Revenue Code. By so
qualifying, the fund will not be subject to income taxes to the extent
that it distributes substantially all of its taxable income for its
fiscal year. The schedule of investments includes information
regarding income taxes under the caption "Income Tax Information."
INVESTMENT INCOME. Dividend income is recorded on the ex-dividend
date, except certain dividends from foreign securities where the
ex-dividend date may have passed, are recorded as soon as the fund is
informed of the ex-dividend date. Non-cash dividends included in
dividend income, if any, are recorded at the fair market value of the
securities received. Interest income,
which includes accretion of original issue discount, is accrued as
earned. Investment income is recorded net of foreign taxes withheld
where recovery of such taxes is uncertain.
EXPENSES. Most expenses of the trust can be directly attributed to a
fund. Expenses which cannot be directly attributed are apportioned
among the funds in the trust.
PREPAID EXPENSES. Fidelity Management & Research Company (FMR) bears
all organizational expenses except for registering and qualifying the
fund and shares of the fund for distribution under federal and state
securities law. These expenses are borne by the fund and amortized
over one year.
DISTRIBUTIONS TO SHAREHOLDERS. Distributions are recorded on the
ex-dividend date.
Income and capital gain distributions are determined in accordance
with income tax regulations which may differ from generally accepted
accounting principles. These differences, which may result in
distribution reclassifications, are primarily due to differing
treatments for futures transactions, market discount and losses
deferred due to wash sales. The fund also utilized earnings and
profits distributed to shareholders on redemption of shares as a part
of the dividends paid deduction for income tax purposes.
Permanent book and tax basis differences relating to shareholder
distributions will result in reclassifications to paid in capital.
Undistributed net investment income and accumulated undistributed net
realized gain (loss) on investments may include temporary book and tax
basis differences which will reverse in a subsequent period. Any
taxable income or gain remaining at fiscal year end is distributed in
the following year.
PURCHASE FEES. Shares purchased in the fund are subject to a purchase
fee equal to 0.50% of the amount invested. This fee, which is retained
by the fund, is accounted for as an addition to paid in capital.
SECURITY TRANSACTIONS. Security transactions are accounted for as of
trade date. Gains and losses on securities sold are determined on the
basis of identified cost.
2. OPERATING POLICIES.
FOREIGN CURRENCY CONTRACTS. The fund generally uses foreign currency
contracts to facilitate transactions in foreign-denominated
securities. Losses may arise from changes in the value of the foreign
currency or if the counterparties do not perform under the contracts'
terms. The U.S. dollar value of foreign currency contracts is
determined using contractual currency exchange rates established at
the time of each trade.
FUTURES CONTRACTS. The fund may use futures contracts to manage its
exposure to the stock market. Buying futures tends to increase the
fund's exposure to the underlying instrument, while selling futures
tends to decrease the fund's exposure to the underlying instrument or
hedge other fund investments. Futures contracts
2. OPERATING POLICIES - CONTINUED
FUTURES CONTRACTS - CONTINUED
involve, to varying degrees, risk of loss in excess of the futures
variation margin reflected in the Statement of Assets and Liabilities.
The underlying face amount at value of any open futures contracts at
period end is shown in the schedule of investments under the caption
"Futures Contracts." This amount reflects each contract's exposure to
the underlying instrument at period end. Losses may arise from changes
in the value of the underlying instruments or if the counterparties do
not perform under the contracts' terms. Gains (losses) are realized
upon the expiration or closing of the futures contracts. Futures
contracts are valued at the settlement price established each day by
the board of trade or exchange on which they are traded.
3. PURCHASES AND SALES OF INVESTMENTS.
Purchases and sales of securities, other than short-term securities,
aggregated $29,558,181 and $343,282, respectively.
The market value of futures contracts opened and closed during the
period amounted to $28,000,755 and $22,529,075, respectively.
4. FEES AND OTHER TRANSACTIONS WITH AFFILIATES.
MANAGEMENT FEE. As the fund's investment adviser, FMR receives a fee
that is computed daily at an annual rate of .24% of the fund's average
net assets.
SUB-ADVISER FEE. FMR and the fund have entered into a sub-advisory
agreement with Bankers Trust Company (Bankers Trust). Bankers Trust
receives a sub-advisory fee for providing investment management,
securities lending and custodial services to the fund. For these
services, FMR pays Bankers Trust fees at an annual rate of 0.0125% of
the fund's average net assets. In addition, the fund pays Bankers
Trust fees equal to 40% of net income from the fund's security lending
program. For the period, the fund paid Bankers Trust $283.
TRANSFER AGENT FEES. Fidelity Service Company, Inc. (FSC), an
affiliate of FMR, is the fund's transfer, dividend disbursing and
shareholder servicing agent. FSC receives account fees and asset-based
fees that vary according to account size and type of account. FSC pays
for typesetting, printing and mailing of all shareholder reports,
except proxy statements. For the period, the transfer agent fees were
equivalent to an annualized rate of .15% of average net assets.
ACCOUNTING FEES. FSC maintains the fund's accounting records. The fee
is based on the level of average net assets for the month plus
out-of-pocket expenses.
5. SECURITY LENDING.
The fund loaned securities to certain brokers who paid the fund
negotiated lenders' fees. These fees are included in interest income.
The fund receives U.S. Treasury obligations and/or cash as collateral
against the loaned securities, in an amount at least equal to 102% of
the market value of the loaned securities at the inception of each
loan. This collateral must be maintained at not less than 100% of the
market value of the loaned securities during the period of the loan.
At period end, the value of the securities loaned and the value of
collateral amounted to $139,462 and $142,359.
6. EXPENSE REDUCTIONS.
FMR voluntarily agreed to reimburse the fund's operating expenses
(excluding sub-advisory fees associated with securities lending,
interest, taxes, brokerage commissions and extraordinary expenses)
above an annual rate of 0.25% of average net assets. For the period,
the reimbursement reduced the expenses by $92,363.
7. BENEFICIAL INTEREST.
At the end of the period, FMR was record owner of approximately 15% of
the total outstanding shares of the fund.
REPORT OF INDEPENDENT ACCOUNTANTS
To the Trustees of Fidelity Concord Street Trust and the Shareholders
of Spartan Total Market Index Fund:
We have audited the accompanying statement of assets and liabilities
of Fidelity Concord Street Trust: Spartan Total Market Index Fund,
including the schedule of portfolio investments, as of February 28,
1998, and the related statement of operations, the statement of
changes in net assets and the financial highlights for the period
November 5, 1997 (commencement of operations) to February 28, 1998.
These financial statements and financial highlights are the
responsibility of the fund's management. Our responsibility is to
express an opinion on these financial statements and financial
highlights based on our audit.
We conducted our audit 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
and financial highlights 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 as of February 28, 1998 by
correspondence with the custodian 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 audit provides a
reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights
referred to above present fairly, in all material respects, the
financial position of Fidelity Concord Street Trust: Spartan Total
Market Index Fund as of February 28, 1998, the results of its
operations, the changes in its net assets, and the financial
highlights for the period November 5, 1997 (commencement of
operations) to February 28, 1998, in conformity with generally
accepted accounting principles.
/s/Coopers & Lybrand L.L.P.
COOPERS & LYBRAND L.L.P.
Boston, Massachusetts
April 3, 1998
DISTRIBUTIONS
The Board of Trustees of Spartan Total Market Index Fund voted to pay
to shareholders of record at the opening of business on record date,
the following distribution derived from capital gains realized from
sales of portfolio securities, and dividends derived from net
investment income:
PAY DATE 4/6/98
RECORD DATE 4/3/98
DIVIDENDS $.05
SHORT-TERM
CAPITAL GAINS $.08
LONG-TERM
CAPITAL GAINS $.11
LONG-TERM
CAPITAL GAIN BREAKDOWN:
28% rate -
20% rate 100%
A total of 43.54% of the dividends distributed during the fiscal year
was derived from interest on U.S. Government securities which is
generally exempt from state income tax.
A total of 54.32% of the dividends distributed during the fiscal year
qualifies for the dividends-received deduction for corporate
shareholders.
The fund will notify shareholders in January 1999 of these percentages
for use in preparing 1998 income tax returns.
MANAGING YOUR INVESTMENTS
Fidelity offers several ways to conveniently manage your personal
investments via your telephone or PC. You can access your account
information, conduct trades and research your investments 24 hours a
day.
BY PHONE
Fidelity TouchTone Xpressprovides a single toll-free number to access
account balances, positions, quotes and trading. It's easy to navigate
the service, and on your first call, the system will help you create a
personal identification number (PIN) for security.
SM
(PHONE_GRAPHIC)TOUCHTONE XPRESS
1-800-544-5555
PRESS
For mutual fund and brokerage trading.
For quotes.*
For account balances and holdings.
To review orders and mutual
fund activity.
To change your PIN.
To speak to a Fidelity representative.
0
*
BY PC
Fidelity's Web site on the Internet provides a wide range of
information, including daily financial news, fund performance,
interactive planning tools and news about Fidelity products and
services.
(PHONE_GRAPHIC)FIDELITY'S WEB SITE
WWW.FIDELITY.COM
If you are not currently on the Internet, call Fidelity
at 1-800-544-7272 for significant savings on Web access from
internetMCI.
SM
(PHONE_GRAPHIC)
FIDELITY ON-LINE XPRESS+
TM
Fidelity On-line Xpress+ software for Windows combines comprehensive
portfolio management capabilities, securities trading and access to
research and analysis tools . . . all on your desktop. Call Fidelity
at 1-800-544-7272 or visit our Web site for more information on how to
manage your investments via your PC.
* WHEN YOU CALL THE QUOTES LINE, PLEASE REMEMBER THAT A FUND'S YIELD
AND RETURN WILL VARY AND, EXCEPT FOR MONEY MARKET FUNDS, SHARE PRICE
WILL ALSO VARY. THIS MEANS
THAT YOU MAY HAVE A GAIN OR LOSS WHEN YOU SELL YOUR SHARES. THERE IS
NO ASSURANCE THAT MONEY MARKET FUNDS WILL BE ABLE TO MAINTAIN A STABLE
$1 SHARE PRICE; AN
INVESTMENT IN A MONEY MARKET FUND IS NOT INSURED OR GUARANTEED BY THE
U.S. GOVERNMENT. TOTAL RETURNS ARE HISTORICAL AND INCLUDE CHANGES IN
SHARE PRICE,
REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS, AND THE EFFECTS OF ANY
SALES CHARGES.
INVESTMENT ADVISER
Fidelity Management & Research Company
Boston, MA
INVESTMENT SUB-ADVISER
Bankers Trust Company
New York, NY
OFFICERS
Edward C. Johnson 3d, PRESIDENT
Robert C. Pozen, SENIOR VICE PRESIDENT
Robert A. Lawrence, VICE PRESIDENT
Eric D. Roiter, SECRETARY
Richard A. Silver, TREASURER
John H. Costello, ASSISTANT TREASURER
Leonard M. Rush, ASSISTANT TREASURER
BOARD OF TRUSTEES
Ralph F. Cox *
Phyllis Burke Davis *
Robert M. Gates *
Edward C. Johnson 3d
E. Bradley Jones *
Donald J. Kirk *
Peter S. Lynch
Marvin L. Mann *
William O. McCoy *
Gerald C. McDonough *
Robert C. Pozen
Thomas R. Williams *
ADVISORY BOARD
J. Gary Burkhead
GENERAL DISTRIBUTOR
Fidelity Distributors Corporation
Boston, MA
TRANSFER AND SHAREHOLDER SERVICING AGENT
Fidelity Service Company, Inc.
Boston, MA
CUSTODIAN
Bankers Trust Company
New York, NY
* INDEPENDENT TRUSTEES
PERFORMANCE: THE BOTTOM LINE
There are several ways to evaluate historical performance. You can
look at the total percentage change in value, the average annual
percentage change or the growth of a hypothetical $100,000 investment.
Total return reflects the change in the value of an investment,
assuming reinvestment of dividend income and capital gains (the
profits earned upon the sale of securities that have grown in value).
You can also look at the fund's income, as reflected in the fund's
yield, to measure performance. If Fidelity had not reimbursed certain
fund expenses, the total returns would have been lower.
CUMULATIVE TOTAL RETURNS
PERIODS ENDED FEBRUARY 28, 1998 PAST 1 PAST 5 LIFE OF
YEAR YEARS FUND
FIDELITY US BOND INDEX 10.41% 39.48% 100.59%
LB AGGREGATE BOND 10.37% 40.00% N/A
INTERMEDIATE US GOVERNMENT FUNDS AVERAGE 8.86% 31.37% N/A
CUMULATIVE TOTAL RETURNS show the fund's performance in percentage
terms over a set period - in this case, one year, five years or since
the fund started on March 8, 1990. For example, if you had invested
$1,000 in a fund that had a 5% return over the past year, the value of
your investment would be $1,050. You can compare the fund's returns to
the performance of the Lehman Brothers Aggregate Bond Index - a market
value weighted performance benchmark for investment-grade fixed-rate
debt issues, including government, corporate, asset-backed, and
mortgage-backed securities, with maturities of at least one year. To
measure how the fund's performance stacked up against its peers, you
can compare it to the intermediate U.S. government funds average,
which reflects the performance of mutual funds with similar objectives
tracked by Lipper Analytical Services, Inc. The past one year average
represents a peer group of 116 mutual funds. These benchmarks include
reinvested dividends and capital gains, if any, and exclude the effect
of sales charges.
AVERAGE ANNUAL TOTAL RETURNS
PERIODS ENDED FEBRUARY 28, 1998 PAST 1 PAST 5 LIFE OF
YEAR YEARS FUND
FIDELITY US BOND INDEX 10.41% 6.88% 9.11%
LB AGGREGATE BOND 10.37% 6.96% N/A
INTERMEDIATE US GOVERNMENT FUNDS AVERAGE 8.86% 5.59% N/A
AVERAGE ANNUAL TOTAL RETURNS take the fund's cumulative return and
show you what would have happened if the fund had performed at a
constant rate each year. (Note: Lipper calculates average annual total
returns by annualizing each fund's total return, then taking an
arithmetic average. This may produce a slightly different figure than
that obtained by averaging the cumulative total returns and
annualizing the result.)
$100,000 OVER LIFE OF FUND
IMAHDR PRASUN SHR__CHT 19980228 19980303 134741 S00000000000001
U.S. Bond Index Fund LB Aggregate Bond
00651 LB001
1990/03/31 100000.00 100000.00
1990/04/30 98902.15 99083.85
1990/05/31 101848.95 102017.56
1990/06/30 103292.33 103654.45
1990/07/31 104861.22 105088.32
1990/08/31 103552.16 103684.91
1990/09/30 104402.79 104542.69
1990/10/31 105789.54 105869.96
1990/11/30 107912.50 108148.92
1990/12/31 109639.21 109834.03
1991/01/31 110945.71 111191.76
1991/02/28 111681.88 112140.90
1991/03/31 112576.12 112912.39
1991/04/30 113908.49 114135.62
1991/05/31 114705.78 114803.07
1991/06/30 114615.95 114744.70
1991/07/31 116187.72 116335.90
1991/08/31 118683.01 118853.42
1991/09/30 121180.35 121261.80
1991/10/31 122572.41 122611.92
1991/11/30 123844.13 123736.17
1991/12/31 127589.08 127410.92
1992/01/31 126089.97 125677.60
1992/02/29 126777.95 126494.77
1992/03/31 126332.45 125781.65
1992/04/30 127155.26 126690.18
1992/05/31 129563.14 129080.80
1992/06/30 131479.59 130857.27
1992/07/31 134384.15 133527.05
1992/08/31 135838.15 134879.71
1992/09/30 137508.23 136478.53
1992/10/31 135863.12 134669.07
1992/11/30 135802.95 134699.52
1992/12/31 137757.58 136841.44
1993/01/31 140497.88 139465.54
1993/02/28 143334.37 141906.91
1993/03/31 143928.53 142498.22
1993/04/30 145002.76 143490.51
1993/05/31 145185.54 143673.23
1993/06/30 147708.62 146277.03
1993/07/31 148811.04 147104.35
1993/08/31 151228.58 149682.77
1993/09/30 151744.97 150093.90
1993/10/31 152254.90 150654.76
1993/11/30 151011.43 149373.16
1993/12/31 151827.73 150182.72
1994/01/31 153733.24 152210.44
1994/02/28 151041.86 149566.03
1994/03/31 147851.94 145878.59
1994/04/30 146592.88 144713.73
1994/05/31 146472.17 144693.43
1994/06/30 146357.40 144373.67
1994/07/31 148983.72 147241.40
1994/08/31 149184.14 147424.12
1994/09/30 147199.85 145254.29
1994/10/31 147124.76 145124.86
1994/11/30 146887.75 144802.56
1994/12/31 147861.23 145802.46
1995/01/31 150615.89 148687.95
1995/02/28 153906.27 152223.12
1995/03/31 154741.75 153157.04
1995/04/30 156921.63 155296.42
1995/05/31 162915.09 161305.96
1995/06/30 164175.49 162488.58
1995/07/31 163920.93 162125.67
1995/08/31 165680.40 164082.33
1995/09/30 167266.66 165678.61
1995/10/31 169659.14 167833.21
1995/11/30 172051.51 170348.19
1995/12/31 174475.09 172738.81
1996/01/31 175635.69 173885.90
1996/02/29 172573.36 170863.36
1996/03/31 171338.87 169675.67
1996/04/30 170217.63 168721.45
1996/05/31 169914.39 168378.84
1996/06/30 172042.14 170640.04
1996/07/31 172563.31 171106.99
1996/08/31 172267.20 170820.22
1996/09/30 175105.19 173797.08
1996/10/31 178991.99 177646.94
1996/11/30 182038.14 180689.78
1996/12/31 180381.75 179009.75
1997/01/31 180767.40 179557.91
1997/02/28 181077.80 180004.57
1997/03/31 179224.55 178009.85
1997/04/30 182026.88 180674.55
1997/05/31 183474.97 182382.50
1997/06/30 185776.23 184547.25
1997/07/31 190598.61 189523.91
1997/08/31 189035.92 187907.32
1997/09/30 191912.20 190678.61
1997/10/31 194647.63 193444.83
1997/11/30 195559.32 194335.60
1997/12/31 197602.41 196292.25
1998/01/31 200169.52 198812.30
1998/02/27 199919.30 198662.57
IMATRL PRASUN SHR__CHT 19980228 19980303 134745 R00000000000098
$100,000 OVER LIFE OF FUND: Let's say hypothetically that $100,000 was
invested in Fidelity U.S. Bond Index Fund on March 31, 1990, shortly
after the fund started. As the chart shows, by February 28, 1998, the
value of the investment would have grown to $199,919 - a 99.92%
increase on the initial investment. For comparison, look at how the
Lehman Brothers Aggregate Bond Index did over the same period. With
dividends and capital gains, if any, reinvested, the same $100,000
would have grown to $198,663 - a 98.66% increase.
UNDERSTANDING
PERFORMANCE
HOW A FUND DID YESTERDAY IS
NO GUARANTEE OF HOW IT WILL DO
TOMORROW. BOND PRICES, FOR
EXAMPLE, GENERALLY MOVE IN
THE OPPOSITE DIRECTION OF
INTEREST RATES. IN TURN, THE SHARE
PRICE, RETURN AND YIELD OF A
FUND THAT INVESTS IN BONDS WILL
VARY. THAT MEANS IF YOU SELL
YOUR SHARES DURING A MARKET
DOWNTURN, YOU MIGHT LOSE
MONEY. BUT IF YOU CAN RIDE OUT
THE MARKET'S UPS AND DOWNS,
YOU MAY HAVE A GAIN.
(CHECKMARK)
DIVIDENDS AND YIELD
PERIODS ENDED FEBRUARY 28, 1998 PAST 1 PAST 6 PAST 1
MONTH MONTHS YEAR
DIVIDENDS PER SHARE 5.64(CENTS) 36.18(CENTS) 73.41(CENTS)
ANNUALIZED DIVIDEND RATE 6.79% 6.79% 6.92%
30-DAY ANNUALIZED YIELD 5.88% - -
DIVIDENDS per share show the income paid by the fund for a set period
and do not reflect any tax reclassifications. If you annualize this
number, based on an average share price of $10.83 over the past one
month, $10.75 over the past six months and $10.61 over the past one
year, you can compare the fund's income over these three periods. The
30-day annualized YIELD is a standard formula for all bond funds based
on the yields of the bonds in the fund, averaged over the past 30
days. This figure shows you the yield characteristics of the fund's
investments at the end of the period. It also helps you compare funds
from different companies on an equal basis. If Fidelity had not
reimbursed certain fund expenses during the period shown, the yield
would have been 5.64%.
FUND TALK: THE MANAGER'S OVERVIEW
An interview with Christine Thompson, Portfolio Manager of Fidelity
U.S. Bond Index Fund
Q. HOW HAS THE FUND PERFORMED, CHRISTINE?
A. As it is designed to do, the fund's performance closely tracked the
Lehman Brothers Aggregate Bond Index. For the 12 months that ended
February 28, 1998, the fund had a total return of 10.41%, while the
Lehman Brothers Aggregate Bond Index returned 10.37%. The fund's total
return is slightly higher than the index despite operating expenses.
For another comparison, the intermediate U.S. government funds average
returned 8.86% for the same 12-month period, as tracked by Lipper
Analytical Services.
Q. HOW WOULD YOU CHARACTERIZE THE INVESTING ENVIRONMENT FOR BONDS OVER
THE PAST YEAR?
A. It was a pretty good environment overall, although the second half
of the year proved to be far more favorable than the first half.
Shortly after the period began, the Federal Reserve Board raised
short-term interest rates as a pre-emptive strike against inflation.
In response, the yield on the 10-year U.S. Treasury bond - which we'll
use as a barometer of the market's overall performance - hit a peak of
6.98% in April and bond prices declined. But in the ensuing months,
the yield on the 10-year Treasury fell in tandem with waning fears of
inflation. In the fall, bonds got an added boost from economic and
currency problems in Southeast Asia. With the crisis brewing in that
region, volatility returned to the global markets. As an antidote to
increased volatility, investors sought a safe haven in U.S.
Treasuries. The combination of new money flowing into the U.S. bond
market and the potential for slower U.S. economic growth as a result
of a slowdown in Asia essentially removed the threat of higher
inflation over the near term. In light of that more favorable
inflationary sentiment, investors pushed the yield on the 10-year
Treasury down to 5.62% at the end of the period.
Q. WHAT WAS YOUR STRATEGY?
A. Because the Lehman Brothers Aggregate Bond Index is made up of
roughly 4,000 individual securities, it's impractical for the fund to
own each security in that index. In choosing the fund's investments, I
use a technique known as statistical sampling. This process entails
assembling a portfolio that replicates the characteristics of the
index - which can include duration, sector maturity, credit quality
and others - by investing in representative issues. One example is
duration, which is a measure of a security's price sensitivity to
changes in interest rates. The duration of the fund and the
distribution of duration are always set to approximate the index. I
identify securities that will give the fund the same duration
breakdown as the index. The next step is to pick individual securities
using Fidelity's research resources. I choose securities that have the
characteristics I need and also offer the potential for performing
better than other securities. I also consider relative prices in a
historical context and how valuations have differed at various points
in an economic cycle.
Q. WHICH BONDS PERFORMED PARTICULARLY WELL IN THIS ENVIRONMENT?
A. After lagging corporate, mortgage-backed and agency securities in
the first half of the period, U.S. Treasuries gathered steam.
Initially, the non-government sectors outpaced Treasuries in part
because the yield advantage they offered over government securities
made them attractive to investors. But in the fourth quarter of 1997,
conditions were reversed. Treasuries outperformed the non-government
sectors of the market largely because the corporate market came under
pressure from near-record new issuance, and the mortgage market
struggled with increased prepayment activity as interest rates fell.
For the 12-month period that ended February 28, 1998, here's how
individual sectors within the Lehman Brothers Aggregate Bond Index
performed: Treasury securities, which made up about 42% of the index,
returned 10.67%; mortgage-backed securities, at about 30% of the
index, returned 9.63%; corporate securities, which accounted for
nearly 20% of the index, returned 10.88%; agency securities, at about
7% of the index, returned 10.49%; and asset-backed securities at less
than 1% of the index, returned 8.11%.
Q. FALLING INTEREST RATES PROMPTED A WAVE OF MORTGAGE REFINANCING
ACTIVITY AS HOMEOWNERS TOOK ADVANTAGE OF LOWER INTEREST RATES. HOW DID
YOU DEAL WITH PREPAYMENT RISK - THE RISK THAT MORTGAGE SECURITIES
COULD BE REDEEMED, POTENTIALLY FORCING BOND HOLDERS TO RE-INVEST AT
LOWER RATES?
A. I tried to make the fund less vulnerable to prepayment risk in a
couple of ways. First, I kept a smaller weighting - relative to the
Lehman Brothers Aggregate Bond Index - in securities backed by
mortgage loans underwritten recently , which historically have proven
to be the most likely to be refinanced when rates fall. Instead, I
focused on "seasoned" mortgages - those that have been outstanding
for some period of time. These securities are less susceptible to
increases in refinancing that occur when interest rates decline, as
indicated by the fact that previous opportunities to refinance were
not acted upon. In addition, I continued to emphasize mortgage
securities with coupons - the interest rate the borrower promises to
pay - that were much higher or much lower than current coupon
mortgages. Again, the level of refinancing for these securities is
less likely to be affected by changing interest rates.
Q. WHICH TREASURY SECURITIES WERE ATTRACTIVE DURING THE YEAR?
A. I emphasized older Treasury securities and generally avoided the
more-recently issued securities. Newly issued Treasuries have a higher
amount of liquidity, meaning they are more easily traded. Because of
that attractive liquidity, the prices of newly issued Treasuries tend
to be expensive relative to comparable older securities.
Q. WHAT'S AHEAD FOR THE FUND?
A. Currently, the market presents more opportunities to exploit price
inefficiencies that may result from a bond's maturity, credit quality
or other structural factors than it did six months ago. With the help
of Fidelity's research team, I'll work to identify those attractively
priced opportunities as they pop up. But, as always, I will attempt to
keep the fund's performance on track with its benchmark index.
THE VIEWS EXPRESSED IN THIS REPORT REFLECT THOSE OF THE PORTFOLIO
MANAGER ONLY THROUGH THE END OF THE PERIOD OF THE REPORT AS STATED ON
THE COVER. THE MANAGER'S VIEWS ARE SUBJECT TO CHANGE AT ANY TIME BASED
ON MARKET AND OTHER CONDITIONS.
CHRISTINE THOMPSON ON
QUANTITATIVE RESEARCH:
"Quantitative research allows me
to understand how the fund is
likely to perform relative to the
market in a variety of interest-rate
environments and market
scenarios. My research draws on
historical performance to model
how individual securities react
and allows me to combine certain
groupings of securities to examine
their performance together under
various circumstances.
"Quantitative research also allows
me to analyze issues such as: How
do the payment patterns of the bonds
in a portfolio come together? How
would I expect these valuation
measures to adjust and to offset
one another in different market
environments? If we re-lived in the
future some of the extreme
environments that we've seen in
the past, what kind of returns
would I expect this portfolio to
have relative to the overall
market?
"Being able to model a portfolio
that contains securities with many
different cash-flow characteristics
to find out how the portfolio is likely
to perform in an extreme
interest-rate environment, for
example, is very useful in
controlling risks and positioning the
fund relative to the Lehman
Brothers Aggregated Bond Index."
FUND FACTS
GOAL: to provide returns
consistent with those of the
Lehman Brothers Aggregate
Bond Index
START DATE: March 8, 1990
SIZE: as of February 28, 1998,
more than $815 million
MANAGER: Christine Thompson,
since 1990; manager, Fidelity
Intermediate Bond Fund, since
1995; co-manager, Fidelity
Global Bond Fund, 1996-
February 1998; Fidelity Target
Timeline Funds, since 1996;
joined Fidelity in 1985
(checkmark)
INVESTMENT CHANGES
QUALITY DIVERSIFICATION AS OF FEBRUARY 28, 1998
(MOODY'S RATINGS) % % OF FUND'S INVESTMENTS
O 6 MONTHS AGO
F
F
U
N
D
'
S
I
N
V
E
S
T
M
E
N
T
S
AAA 6 70.1
9
.
8
AA 1 0.9
.
5
A 7 11.1
.
9
BAA 1 10.7
1
.
4
BA 2 2.7
.
0
TABLE EXCLUDES SHORT-TERM INVESTMENTS. WHERE MOODY'S RATINGS ARE NOT
AVAILABLE, WE HAVE USED S&P RATINGS. SECURITIES RATED AS "BA" OR BELOW
WERE RATED INVESTMENT GRADE BY OTHER NATIONALLY RECOGNIZED RATING
AGENCIES OR ASSIGNED AN INVESTMENT GRADE RATING AT THE TIME OF
ACQUISITION BY FIDELITY.
AVERAGE YEARS TO MATURITY AS OF FEBRUARY 28, 1998
6 MONTHS AGO
YEARS 7.5 8.1
AVERAGE YEARS TO MATURITY IS BASED ON THE AVERAGE TIME UNTIL PRINCIPAL
PAYMENTS ARE EXPECTED FROM EACH OF THE FUND'S BONDS, WEIGHTED BY
DOLLAR AMOUNT.
DURATION AS OF FEBRUARY 28, 1998
6 MONTHS AGO
YEARS 4.5 4.6
DURATION SHOWS HOW MUCH A BOND FUND'S PRICE FLUCTUATES WITH CHANGES IN
COMPARABLE INTEREST RATES. IF RATES RISE 1%, FOR EXAMPLE, A FUND WITH
A FIVE-YEAR DURATION IS LIKELY TO LOSE ABOUT 5% OF ITS VALUE. OTHER
FACTORS ALSO CAN INFLUENCE A BOND FUND'S PERFORMANCE AND SHARE PRICE.
ACCORDINGLY, A BOND FUND'S ACTUAL PERFORMANCE MAY DIFFER FROM THIS
EXAMPLE.
ASSET ALLOCATION (% OF FUND'S INVESTMENTS)
AS OF FEBRUARY 28, 1998 * AS OF AUGUST 31, 1997 **
U.S. GOVERNMENT
AND AGENCY
OBLIGATIONS 41.2%
MORTGAGE-BACKED
SECURITIES 27.2%
CORPORATE BONDS 23.0%
FOREIGN GOVERNMENT
OBLIGATIONS 1.0%
OTHER 0.2%
SHORT-TERM
INVESTMENTS 7.4%
U.S. GOVERNMENT
AND AGENCY
OBLIGATIONS 40.2%
MORTGAGE-BACKED
SECURITIES 27.7%
CORPORATE BONDS 27.1%
FOREIGN GOVERNMENT
OBLIGATIONS 0.3%
OTHER 0.2%
SHORT-TERM
INVESTMENTS 4.5%
ROW: 1, COL: 1, VALUE: 7.4
ROW: 1, COL: 2, VALUE: 1.0
ROW: 1, COL: 3, VALUE: 2.0
ROW: 1, COL: 4, VALUE: 23.0
ROW: 1, COL: 5, VALUE: 27.2
ROW: 1, COL: 6, VALUE: 41.2
ROW: 1, COL: 1, VALUE: 4.5
ROW: 1, COL: 2, VALUE: 1.0
ROW: 1, COL: 3, VALUE: 2.0
ROW: 1, COL: 4, VALUE: 27.1
ROW: 1, COL: 5, VALUE: 27.7
ROW: 1, COL: 6, VALUE: 40.2
* FOREIGN
INVESTMENTS 4.1%
** FOREIGN
INVESTMENTS 3.8%
INVESTMENTS FEBRUARY 28, 1998
SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENT IN SECURITIES
NONCONVERTIBLE BONDS - 23.0%
MOODY'S RATINGS PRINCIPAL VALUE
(UNAUDITED) (A) AMOUNT (NOTE 1)
AEROSPACE & DEFENSE - 0.8%
DEFENSE ELECTRONICS - 0.8%
Raytheon Co.:
6.30%, 8/15/00 Baa1 $ 3,000,000 $ 3,012,330
6.45%, 8/15/04 Baa1 3,470,000 3,508,135
6,520,465
BASIC INDUSTRIES - 0.3%
CHEMICALS & PLASTICS - 0.3%
Methanex Corp. yankee 8 7/8%, 11/15/01 A2 2,820,000 2,958,829
DURABLES - 0.6%
TEXTILES & APPAREL - 0.6%
Levi Strauss & Co. 7%, 11/1/06 (c) Baa2 5,000,000 5,046,875
ENERGY - 0.5%
OIL & GAS - 0.5%
Nationale Elf Aquitaine yankee 7 3/4%, 5/1/99 Aa3 250,000 254,915
Occidental Petroleum Corp.:
6 3/4%, 9/16/99 Baa3 810,000 818,983
6.09%, 11/29/99 Baa3 390,000 390,472
Phillips 66 Capital II 8%, 1/15/07 Baa1 3,000,000 3,124,800
4,589,170
FINANCE - 11.5%
ASSET-BACKED SECURITIES - 1.7%
Boatmens Auto Trust 6.35%, 10/15/01 A2 430,000 431,545
Case Equipment Loan Trust 6.45%, 9/15/02 A3 1,000,000 992,500
Caterpillar Financial Asset Trust 6.55%, 5/22/02 A3 500,000 505,156
Ford Credit Grantor Trust 5.90%, 10/15/00 Aaa 1,407,465 1,408,125
Green Tree Financial Corp.:
6.45%, 5/15/27 Aaa 1,358,437 1,361,197
6.65%, 7/15/27 Aaa 1,180,346 1,183,665
Key Auto Finance Trust Class C 6.65%, 10/15/03 Baa3 700,000 700,602
KeyCorp Auto Grantor Trust 5.80%, 7/15/00 A3 62,003 61,848
MBNA Master Credit Card Trust II Class A
6.55%, 1/15/07 Aaa 3,000,000 3,075,540
Olympic Automobile Receivables Trust
6 1/8%, 11/15/04 Aaa 1,223,566 1,246,009
NONCONVERTIBLE BONDS - CONTINUED
MOODY'S RATINGS PRINCIPAL VALUE
(UNAUDITED) (A) AMOUNT (NOTE 1)
FINANCE - CONTINUED
ASSET-BACKED SECURITIES - CONTINUED
Premier Auto Trust:
6.80%, 12/2/98 Aa3 $ 180,585 $ 180,585
6%, 5/6/00 Aaa 1,230,000 1,230,763
Union Federal Savings Bank Grantor Trust
6.975%, 7/10/00 Baa2 331,367 331,471
WFS Financial Owner Trust 6.90%, 12/20/03 Aaa 2,370,000 2,442,089
15,151,095
BANKS - 5.1%
Banco Latinoamericano Exportaciones
SA euro 6.90%, 12/4/99 (c) Baa2 1,000,000 1,015,318
BanPonce Corp. 6.488%, 3/3/00 A3 1,440,000 1,449,014
Barnett Banks, Inc. 10 7/8%, 3/15/03 A1 1,020,000 1,207,680
Capital One Bank:
6.42%, 11/12/99 Baa3 1,000,000 1,004,380
6.55%, 2/4/00 Baa3 2,000,000 2,009,640
6 3/8%, 2/15/03 Baa3 2,500,000 2,467,725
Citicorp 9%, 4/15/99 A1 1,053,000 1,086,212
Comerica, Inc. 9 3/4%, 5/1/99 A3 1,000,000 1,041,690
First Hawaiian, Inc. 6 1/4%, 8/15/00 Baa1 1,000,000 999,450
First Interstate Bancorp 8 5/8%, 4/1/99 A2 1,042,000 1,069,790
First Maryland Bancorp 10 3/8%, 8/1/99 A3 750,000 793,635
First Tennessee National Corp.
6 3/4%, 11/15/05 Baa1 1,000,000 1,022,860
Firstar Corp. 7.15%, 9/1/00 A3 1,300,000 1,306,370
Fleet/Norstar Financial Group, Inc.
9.90%, 6/15/01 A3 1,390,000 1,538,355
Kansallis-Osake-Pankki 10%, 5/1/02 A3 2,600,000 2,945,020
Merchants National Corp. 9 7/8%, 10/1/99 A2 1,650,000 1,743,918
Merita Bank Ltd. yankee 6 1/2%, 1/15/06 A3 2,100,000 2,084,565
Midland American Capital Corp. gtd.
12 3/4%, 11/15/03 Aa3 330,000 344,441
Midland Bank PLC yankee 7 5/8%, 6/15/06 Aa3 2,000,000 2,122,380
Midlantic Corp.:
9 7/8%, 12/1/99 A3 1,000,000 1,060,980
9.20%, 8/1/01 A3 1,337,000 1,457,370
NCNB Corp. 10.20%, 7/15/15 A1 2,000,000 2,673,360
Popular, Inc. 6.40%, 8/25/00 A3 2,540,000 2,550,592
NONCONVERTIBLE BONDS - CONTINUED
MOODY'S RATINGS PRINCIPAL VALUE
(UNAUDITED) (A) AMOUNT (NOTE 1)
FINANCE - CONTINUED
BANKS - CONTINUED
Provident Bank:
6 1/8%, 12/15/00 A3 $ 1,800,000 $ 1,797,678
6 3/8%, 1/15/04 Baa2 1,500,000 1,506,660
Shawmut National Corp. 8 5/8%, 12/15/99 A3 1,190,000 1,239,599
Signet Bank 7.80%, 9/15/06 Baa1 1,500,000 1,640,730
Signet Banking Corp. 9 5/8%, 6/1/99 A2 1,264,000 1,315,407
Union Planters Corp. 6 3/4%, 11/1/05 Baa2 1,500,000 1,520,580
44,015,399
CREDIT & OTHER FINANCE - 3.4%
AT&T Capital Corp. 6.65%, 4/30/99 Baa3 4,100,000 4,132,964
Chase Capital I 7.67%, 12/1/26 A1 3,000,000 3,069,330
Countrywide Funding Corp. 6.45%, 2/27/03 A3 4,000,000 4,000,000
EOP Operating LP 6 3/8%, 2/15/03 (c) Baa1 3,250,000 3,222,538
Edison Mission Energy Funding Corp.
6.77%, 9/15/03 (c) Baa1 3,329,987 3,372,577
Finova Capital Corp. 6.38%, 4/15/99 Baa1 3,000,000 3,019,620
First Security Capital I 8.41%, 12/15/26 A3 3,000,000 3,266,100
Fleet Mortgage Group, Inc. 6 1/2%, 6/15/00 A2 800,000 807,304
Ford Motor Credit 7.05%, 6/6/01 A1 1,000,000 1,026,870
MCN Investment Corp.:
5.84%, 2/1/99 Baa2 1,460,000 1,457,503
6.03%, 2/1/01 Baa2 1,940,000 1,941,436
Union Acceptance Corp. 7.075%, 7/10/02 Baa2 171,164 171,912
29,488,154
INSURANCE - 0.6%
Metropolitan Life Insurance Co.
6.30%, 11/1/03 (c) A1 2,560,000 2,544,358
Nationwide Mutual Insurance Co.
6 1/2%, 2/15/04 (c) A1 2,690,000 2,709,449
5,253,807
SAVINGS & LOANS - 0.7%
Great Western Financial Corp.
6 3/8%, 7/1/00 A3 1,000,000 1,003,210
Home Savings of America FSB:
6%, 11/1/00 A3 1,000,000 994,740
6 1/2%, 8/15/04 A3 2,000,000 2,006,120
Long Island Savings Bank FSB 7%, 6/13/02 Baa3 2,120,000 2,164,096
6,168,166
TOTAL FINANCE 100,076,621
NONCONVERTIBLE BONDS - CONTINUED
MOODY'S RATINGS PRINCIPAL VALUE
(UNAUDITED) (A) AMOUNT (NOTE 1)
MEDIA & LEISURE - 2.5%
BROADCASTING - 2.0%
Hearst-Argyle Television, Inc. 7%, 11/15/07 Baa3 $ 5,000,000 $
5,036,000
TCI Communications, Inc. 6 3/8%, 9/15/99 Ba1 2,000,000 2,004,540
Tele Communications, Inc. 8 1/4%, 1/15/03 Ba1 5,000,000 5,353,450
Time Warner, Inc.:
7.95%, 2/1/00 Ba1 2,400,000 2,473,728
8.18%, 8/15/07 Ba1 2,500,000 2,714,500
17,582,218
PUBLISHING - 0.5%
News America, Inc. 6 5/8%, 1/9/08 (c) Baa3 4,000,000 3,940,000
TOTAL MEDIA & LEISURE 21,522,218
NONDURABLES - 0.6%
TOBACCO - 0.6%
Philip Morris Companies, Inc.:
7 1/4%, 9/15/01 A2 2,400,000 2,459,880
7%, 7/15/05 A2 2,500,000 2,548,825
5,008,705
RETAIL & WHOLESALE - 2.2%
GENERAL MERCHANDISE STORES - 1.7%
Dayton Hudson Corp.:
10%, 12/1/00 Baa1 3,000,000 3,285,750
6 3/4%, 1/1/28 Baa1 2,090,000 2,052,108
Federated Department Stores, Inc.:
10%, 2/15/01 Baa2 3,500,000 3,840,935
8 1/8%, 10/15/02 Baa2 4,000,000 4,270,120
6.79%, 7/15/27 Baa2 1,800,000 1,832,256
15,281,169
GROCERY STORES - 0.5%
Kroger Co. 6 3/8%, 3/1/08 Baa3 4,000,000 3,978,860
TOTAL RETAIL & WHOLESALE 19,260,029
NONCONVERTIBLE BONDS - CONTINUED
MOODY'S RATINGS PRINCIPAL VALUE
(UNAUDITED) (A) AMOUNT (NOTE 1)
TECHNOLOGY - 0.5%
COMPUTERS & OFFICE EQUIPMENT - 0.5%
Comdisco, Inc.:
6.55%, 2/4/00 Baa1 $ 1,500,000 $ 1,513,905
9.30%, 6/27/00 Baa2 1,250,000 1,336,400
9 1/4%, 7/6/00 Baa2 375,000 401,434
5 3/4%, 2/15/01 Baa1 1,500,000 1,483,065
4,734,804
TRANSPORTATION - 0.2%
AIR TRANSPORTATION - 0.2%
Continental Airlines Pass Through Trust
pass through certificate 7.42%, 10/1/08 Baa1 1,500,000 1,555,650
UTILITIES - 3.3%
CELLULAR - 0.2%
Airtouch Communications, Inc.
7 1/2%, 7/15/06 Baa2 1,000,000 1,063,650
360 Degrees Communications Co.
7 1/8%, 3/1/03 Ba1 440,000 454,137
1,517,787
ELECTRIC UTILITY - 1.2%
Avon Energy Partners Holdings
6.73%, 12/11/02 (c) Baa2 3,000,000 3,044,910
British Columbia Hydro & Power Authority
yankee 12 1/2%, 1/15/14 Aa2 930,000 1,016,072
DR Investment yankee 7.10%, 5/15/02 (c) Baa1 1,200,000 1,224,975
Israel Electric Corp. 7.10%, 12/17/07 (c) A3 3,000,000 3,019,830
Massachusetts Electric Co. 6.78%, 11/20/06 A1 2,000,000 2,071,080
10,376,867
GAS - 1.2%
Columbia Gas System, Inc.:
6.39%, 11/28/00 Baa1 3,000,000 3,023,370
6.61%, 11/28/02 Baa1 1,000,000 1,016,160
Sonat, Inc. 9 1/2%, 8/15/99 A3 3,238,000 3,394,460
Southwest Gas Corp. 9 3/4%, 6/15/02 Baa2 3,020,000 3,397,047
10,831,037
NONCONVERTIBLE BONDS - CONTINUED
MOODY'S RATINGS PRINCIPAL VALUE
(UNAUDITED) (A) AMOUNT (NOTE 1)
UTILITIES - CONTINUED
TELEPHONE SERVICES - 0.7%
Teleport Communications Group, Inc.
0%, 7/1/07 (b) Baa3 $ 2,000,000 $ 1,720,000
WorldCom, Inc.:
9 3/8%, 1/15/04 Ba1 1,891,000 2,004,668
8 7/8%, 1/15/06 Ba1 2,014,000 2,196,186
5,920,854
TOTAL UTILITIES 28,646,545
TOTAL NONCONVERTIBLE BONDS
(Cost $198,656,506) 199,919,911
U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS - 41.2%
U.S. TREASURY OBLIGATIONS - 36.2%
8 7/8%, 2/15/99 Aaa 630,000 649,291
8%, 8/15/99 Aaa 3,850,000 3,979,938
7 3/4%, 12/31/99 Aaa 12,253,000 12,710,527
8 1/2%, 2/15/00 Aaa 35,000,000 36,875,650
5 3/4%, 10/31/00 Aaa 45,220,000 45,410,828
7 7/8%, 8/15/01 Aaa 17,335,000 18,556,597
10 3/4%, 2/15/03 Aaa 1,300,000 1,584,986
10 3/4%, 5/15/03 Aaa 16,093,000 19,766,710
11 5/8%, 11/15/04 Aaa 14,100,000 18,706,752
12 3/4%, 11/15/10 (callable) Aaa 5,150,000 7,351,625
13 7/8%, 5/15/11 (callable) Aaa 300,000 456,561
12%, 8/15/13 (callable) Aaa 30,770,000 45,400,212
9 7/8%, 11/15/15 Aaa 18,300,000 26,114,649
9%, 11/15/18 Aaa 32,790,000 44,435,696
71/4%, 2/ 15/23 Aaa 28,400,000 32,487,044
314,487,066
U.S. GOVERNMENT AGENCY OBLIGATIONS - 5.0%
Federal Agricultural Mortgage Corporation:
7.44%, 5/25/00 Aaa 500,000 517,890
6.92%, 8/10/02 Aaa 1,040,000 1,084,689
U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS - CONTINUED
MOODY'S RATINGS PRINCIPAL VALUE
(UNAUDITED) (A) AMOUNT (NOTE 1)
U.S. GOVERNMENT AGENCY OBLIGATIONS - CONTINUED
Federal Farm Credit Bank 9.55%, 5/09/05 Aaa $ 2,250,000 $ 2,717,235
Federal Home Loan Bank:
6.37%, 6/30/03 Aaa 510,000 522,668
7.31%, 6/16/04 Aaa 2,040,000 2,190,776
7.38%, 8/5/04 Aaa 460,000 496,874
Freddie Mac 8%, 1/26/05 Aaa 1,000,000 1,113,910
Fannie Mae:
7.49%, 3/2/05 Aaa 1,050,000 1,142,043
7.65%, 3/10/05 Aaa 2,000,000 2,194,060
7 3/8%, 3/28/05 Aaa 4,000,000 4,326,880
Guaranteed Export Trust Certificates
(assets of Trust guaranteed by U.S.
Government through Export-Import Bank):
Series 1993-C, 5.20%, 10/15/04 Aaa 1,268,400 1,240,257
Series 1993-D, 5.23%, 5/15/05 Aaa 580,000 566,565
Series 1994-C, 6.61%, 9/15/99 Aaa 116,430 117,100
Guaranteed Trade Trust Certificates
(assets of Trust guaranteed by
U.S. Government through Export-Import Bank)
Series 1997-A, 6.104%, 7/15/03 Aaa 4,583,333 4,599,833
Government Loan Trusts (assets
of Trust guaranteed by U.S.
Government through Agency
for International Development)
8 1/2%, 4/1/06 Aaa 2,705,000 2,990,729
Government Trust Certificates:
(assets of Trust guaranteed by U.S.
Government through Export-Import Bank):
Series 1995-A, 6.28%, 6/15/04 Aaa 3,823,529 3,874,841
(assets of Trust guaranteed by
U.S. Government through
Defense Security Assistance Agency):
Class 1-C, 9 1/4%, 11/15/01 Aaa 641,391 680,740
Class 2-E, 9.40%, 5/15/02 Aaa 1,662,100 1,760,879
Class T-3, 9 5/8%, 5/15/02 Aaa 2,244,320 2,376,354
Overseas Private Investment Corp.
U.S. Government guaranteed
participation certificate
Series 1994-195, 6.08%, 8/15/04
(callable) Aaa 1,526,400 1,534,307
U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS - CONTINUED
MOODY'S RATINGS PRINCIPAL VALUE
(UNAUDITED) (A) AMOUNT (NOTE 1)
U.S. GOVERNMENT AGENCY OBLIGATIONS - CONTINUED
Private Export Funding Corp. secured:
5.65%, 3/15/03 Aaa $ 1,752,300 $ 1,743,065
5.48%, 9/15/03 Aaa 1,950,000 1,930,793
5.80%, 2/1/04 Aaa 1,900,000 1,899,563
6.86%, 4/30/04 Aaa 887,250 910,075
U.S. Department of Housing and Urban
Development Government guaranteed
participation certificates Series 1995-A,
8.27%,8/1/03 Aaa 1,000,000 1,107,250
43,639,376
TOTAL U.S. GOVERNMENT AND
GOVERNMENT AGENCY OBLIGATIONS
(Cost $348,156,376) 358,126,442
U.S. GOVERNMENT AGENCY - MORTGAGE-BACKED SECURITIES - 26.2%
FREDDIE MAC - 2.8%
6 1/2%, 10/1/07 Aaa 704,368 708,742
7%, 6/1/99 to 7/1/26 Aaa 2,130,379 2,153,289
7 1/2%, 7/1/26 to 11/1/27 Aaa 9,429,411 9,676,792
8%, 7/1/16 to 2/1/28 Aaa 4,419,344 4,584,806
8 1/2%, 9/1/19 Aaa 28,992 30,654
9%, 11/1/01 to 10/1/16 Aaa 631,280 664,519
9 1/2%, 10/1/08 to 9/1/18 Aaa 944,875 1,007,435
10%, 6/1/20 Aaa 119,303 130,674
10 1/2%, 1/1/01 to 2/1/19 Aaa 554,878 611,118
11%, 1/1/06 to 9/1/20 Aaa 2,926,655 3,297,080
11 1/2%, 8/1/13 to 10/1/15 Aaa 176,837 200,014
11 3/4%, 9/1/13 Aaa 74,820 85,234
12%, 2/1/13 to 7/1/15 Aaa 61,068 70,468
12 3/4%, 8/1/12 to 10/1/13 Aaa 152,814 178,960
13 1/2%, 1/1/23 Aaa 363,673 436,211
23,835,996
FANNIE MAE - 17.5%
5 1/2%, 9/1/00 to 4/1/11 Aaa 12,326,229 12,045,147
6%, 1/1/01 to 4/1/28 (d) Aaa 47,384,822 46,413,467
6 1/2%, 12/1/08 to 3/1/28 Aaa 40,095,255 40,012,620
7%, 12/1/11 to 3/1/28 Aaa 33,919,013 34,351,754
U.S. GOVERNMENT AGENCY - MORTGAGE-BACKED SECURITIES - CONTINUED
MOODY'S RATINGS PRINCIPAL VALUE
(UNAUDITED) (A) AMOUNT (NOTE 1)
FANNIE MAE - CONTINUED
7 1/2%, 11/1/07 to 4/1/28 Aaa $ 5,876,531 $ 6,036,480
7 1/2%, 4/1/28 (d) Aaa 379,200 389,628
8%, 2/1/25 to 3/1/28 Aaa 7,000,001 7,258,126
8 1/2%, 6/1/17 to 7/1/24 Aaa 2,781,911 2,925,553
9 1/2%, 9/1/21 Aaa 1,516,591 1,636,962
10 3/4%, 9/1/10 to 5/1/14 Aaa 278,257 309,454
11 1/4%, 5/1/14 Aaa 46,135 52,253
11 1/2%, 8/1/14 Aaa 155,932 176,843
12 1/2%, 1/1/15 Aaa 42,577 49,525
13%, 12/1/14 to 1/1/15 Aaa 104,095 124,654
13 1/2%, 8/1/14 to 11/1/14 Aaa 46,218 55,881
14%, 3/1/12 to 9/1/13 Aaa 173,159 206,091
152,044,438
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION - 5.9%
6%, 12/15/08 to 4/15/09 Aaa 2,194,822 2,189,337
6 1/2%, 6/15/23 to 6/15/24 Aaa 7,205,534 7,159,972
7%, 12/15/22 to 9/15/23 Aaa 2,586,067 2,621,736
7 1/2%, 2/15/17 to 10/15/27 Aaa 8,224,244 8,454,327
8%, 11/15/16 to 1/15/28 Aaa 16,122,699 16,738,585
9%, 7/15/18 Aaa 28,032 30,424
9 1/2%, 1/15/19 to 11/15/24 Aaa 406,569 442,189
10%, 6/15/13 to 9/15/25 Aaa 3,910,379 4,362,286
10 1/2%, 5/15/16 to 1/15/18 Aaa 2,619,580 2,942,294
11%, 2/15/10 to 8/15/19 Aaa 4,371,338 4,983,232
11 1/2%, 7/15/10 to 8/15/13 Aaa 2,673 3,077
12%, 2/15/16 Aaa 1,161,032 1,360,439
51,287,898
TOTAL U.S. GOVERNMENT AGENCY -
MORTGAGE-BACKED SECURITIES
(Cost $224,223,664) 227,168,332
COMMERCIAL MORTGAGE SECURITIES - 1.0%
Allied Capital Commercial Mortgage Trust
sequential pay Series 1998-1 Class A,
6.31%, 5/25/03 (c) Aaa 5,700,000 5,659,031
GS Mortgage Securities Corp. II Series 1997- GL
Class A2-B, 6.86%, 7/13/30 Aaa 3,000,000 3,095,310
Oregon Commercial Mortgage, Inc. Series 1995-1
Class A, 7.15%, 6/25/26 (c)(f) AAA 247,003 246,733
TOTAL COMMERCIAL MORTGAGE
SECURITIES (Cost $8,962,715) 9,001,074
FOREIGN GOVERNMENT OBLIGATIONS (E) - 1.0%
MOODY'S RATINGS PRINCIPAL VALUE
(UNAUDITED) (A) AMOUNT (NOTE 1)
British Columbia Province 5 1/2%, 10/30/00 Aa2 $ 2,500,000 $
2,465,300
Canadian Government 6 1/8%, 7/15/02 Aa2 3,000,000 3,036,300
Manitoba Province yankee 7.93%, 2/15/00 A1 850,000 880,303
Ontario Province euro 8 1/2%, 2/28/01 Aa3 2,150,000 2,296,523
TOTAL FOREIGN GOVERNMENT
OBLIGATIONS (Cost $8,695,762) 8,678,426
SUPRANATIONAL OBLIGATIONS - 0.2%
African Development Bank 7 3/4%, 12/15/01
(Cost $1,382,934) Aa1 1,325,000 1,399,929
CASH EQUIVALENTS - 7.4%
MATURITY
AMOUNT
Investments in repurchase agreements
(U.S. Treasury obligations), in a joint
trading account at 5.62%, dated
2/27/98 due 3/2/98 $ 64,248,075 64,218,000
TOTAL INVESTMENT IN SECURITIES - 100%
(Cost $854,295,957) $ 868,512,114
LEGEND
1. Standard & Poor's credit ratings are used in the absence of a
rating by Moody's Investors Service, Inc.
2. Debt obligation initially issued in zero coupon form which converts
to coupon form at a specified rate and date. The rate shown is the
rate at period end.
3. Security exempt from registration under Rule 144A of the Securities
Act of 1933. These securities may be resold in transactions exempt
from registration, normally to qualified institutional buyers. At the
period end, the value of these securities amounted to $35,046,594 or
4.3% of net assets.
4. Security purchased on a delayed delivery or when-issued basis (see
Note 2 of Notes to Financial Statements).
5. For foreign government obligations not individually rated by S&P or
Moody's, the ratings listed are assigned to securities by FMR, the
fund's investment adviser, based principally on S&P and Moody's
ratings of the sovereign credit of the issuing government.
6. The coupon rate shown on floating or adjustable rate securities
represents the rate at period end.
OTHER INFORMATION
The composition of long-term debt holdings as a percentage of total
value of investment in securities, is as follows (ratings are
unaudited):
MOODY'S RATINGS S&P RATINGS
Aaa, Aa, A 79.2% AAA, AA, A 76.8%
Baa 11.4% BBB 15.6%
Ba 2.0% BB 0.0%
B 0.0% B 0.2%
Caa 0.0% CCC 0.0%
Ca, C 0.0% CC, C 0.0%
D 0.0%
For some foreign government obligations, FMR has assigned the ratings
of the sovereign credit of the issuing government.
INCOME TAX INFORMATION
At February 28, 1998, the aggregate cost of investment securities for
income tax purposes was $854,920,888. Net unrealized appreciation
aggregated $13,591,226, of which $16,468,299 related to appreciated
investment securities and $2,877,073 related to depreciated investment
securities.
At February 28, 1998, the fund had a capital loss carryforward of
approximately $10,222,000 of which $4,314,000, $3,769,000 and
$2,139,000 will expire on February 28, 2003, February 29, 2004 and
February 28, 2005, respectively.
FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
<TABLE>
<CAPTION>
<S> <C> <C>
FEBRUARY 28, 1998
ASSETS
INVESTMENT IN SECURITIES, AT VALUE (INCLUDING REPURCHASE $ 868,512,114
AGREEMENTS OF $64,218,000) (COST $854,295,957) -
SEE ACCOMPANYING SCHEDULE
CASH 509
RECEIVABLE FOR INVESTMENTS SOLD 28,555,960
INTEREST RECEIVABLE 8,942,677
RECEIVABLE FROM INVESTMENT ADVISER FOR EXPENSE REDUCTIONS 43,272
TOTAL ASSETS 906,054,532
LIABILITIES
PAYABLE FOR INVESTMENTS PURCHASED $ 42,403,079
REGULAR DELIVERY
DELAYED DELIVERY 47,949,216
PAYABLE FOR FUND SHARES REDEEMED 77,553
DISTRIBUTIONS PAYABLE 249,502
OTHER PAYABLES AND ACCRUED EXPENSES 298,892
TOTAL LIABILITIES 90,978,242
NET ASSETS $ 815,076,290
NET ASSETS CONSIST OF:
PAID IN CAPITAL $ 811,921,323
DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME (2,972)
ACCUMULATED UNDISTRIBUTED NET REALIZED GAIN (LOSS) (11,058,218)
ON INVESTMENTS
NET UNREALIZED APPRECIATION (DEPRECIATION) ON INVESTMENTS 14,216,157
NET ASSETS, FOR 75,460,468 SHARES OUTSTANDING $ 815,076,290
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE $10.80
PER SHARE ($815,076,290 (DIVIDED BY) 75,460,468 SHARES)
</TABLE>
STATEMENT OF OPERATIONS
<TABLE>
<CAPTION>
<S> <C> <C>
YEAR ENDED FEBRUARY 28, 1998
INVESTMENT INCOME $ 46,108,153
INTEREST
EXPENSES
MANAGEMENT FEE $ 2,028,373
TRANSFER AGENT FEES 1,394,085
ACCOUNTING FEES AND EXPENSES 229,593
NON-INTERESTED TRUSTEES' COMPENSATION 2,673
CUSTODIAN FEES AND EXPENSES 51,858
REGISTRATION FEES 121,811
AUDIT 48,518
LEGAL 10,825
MISCELLANEOUS 12,319
TOTAL EXPENSES BEFORE REDUCTIONS 3,900,055
EXPENSE REDUCTIONS (1,932,758) 1,967,297
NET INVESTMENT INCOME 44,140,856
REALIZED AND UNREALIZED GAIN (LOSS) 1,098,669
NET REALIZED GAIN (LOSS) ON INVESTMENT SECURITIES
CHANGE IN NET UNREALIZED APPRECIATION (DEPRECIATION) ON 16,816,828
INVESTMENT SECURITIES
NET GAIN (LOSS) 17,915,497
NET INCREASE (DECREASE) IN NET ASSETS RESULTING $ 62,056,353
FROM OPERATIONS
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
<S> <C> <C>
YEAR ENDED YEAR ENDED
FEBRUARY 28, FEBRUARY 28,
1998 1997
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS $ 44,140,856 $ 36,315,771
NET INVESTMENT INCOME
NET REALIZED GAIN (LOSS) 1,098,669 (2,760,808)
CHANGE IN NET UNREALIZED APPRECIATION (DEPRECIATION) 16,816,828 (7,661,971)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING 62,056,353 25,892,992
FROM OPERATIONS
DISTRIBUTIONS TO SHAREHOLDERS FROM NET INVESTMENT INCOME (43,795,995) (36,038,592)
SHARE TRANSACTIONS 449,415,394 199,504,433
NET PROCEEDS FROM SALES OF SHARES
REINVESTMENT OF DISTRIBUTIONS 40,059,028 32,500,246
COST OF SHARES REDEEMED (261,038,455) (129,124,771)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING 228,435,967 102,879,908
FROM SHARE TRANSACTIONS
TOTAL INCREASE (DECREASE) IN NET ASSETS 246,696,325 92,734,308
NET ASSETS
BEGINNING OF PERIOD 568,379,965 475,645,657
END OF PERIOD (INCLUDING DISTRIBUTIONS IN EXCESS OF $ 815,076,290 $ 568,379,965
NET INVESTMENT INCOME OF $2,972 AND $390,731,
RESPECTIVELY)
OTHER INFORMATION
SHARES
SOLD 41,971,450 18,991,542
ISSUED IN REINVESTMENT OF DISTRIBUTIONS 3,766,217 3,099,083
REDEEMED (24,486,211) (12,298,032)
NET INCREASE (DECREASE) 21,251,456 9,792,593
</TABLE>
FINANCIAL HIGHLIGHTS
YEARS ENDED YEAR ENDED YEARS ENDED
FEBRUARY 28, FEBRUARY 29, FEBRUARY 28,
1998 1997 1996 1995 1994
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C>
SELECTED PER-SHARE DATA
NET ASSET VALUE, BEGINNING $ 10.480 $ 10.710 $ 10.250 $ 10.830 $ 11.070
OF PERIOD
INCOME FROM INVESTMENT .738 B .739 B .755 .718 .697
OPERATIONS
NET INVESTMENT INCOME
NET REALIZED AND UNREALIZED .316 (.235) .460 (.542) (.110)
GAIN (LOSS)
TOTAL FROM INVESTMENT OPERATIONS 1.054 .504 1.215 .176 .587
LESS DISTRIBUTIONS
FROM NET INVESTMENT INCOME (.734) (.734) (.755) (.756) (.727)
FROM NET REALIZED GAIN - - - - (.070)
IN EXCESS OF NET REALIZED GAIN - - - - (.030)
TOTAL DISTRIBUTIONS (.734) (.734) (.755) (.756) (.827)
NET ASSET VALUE, END OF PERIOD $ 10.800 $ 10.480 $ 10.710 $ 10.250 $ 10.830
TOTAL RETURN A 10.41% 4.93% 12.13% 1.90% 5.38%
RATIOS AND SUPPLEMENTAL DATA
NET ASSETS, END OF PERIOD $ 815,076 $ 568,380 $ 475,646 $ 354,682 $ 288,504
(000 OMITTED)
RATIO OF EXPENSES TO AVERAGE .32% .32% .32% .32% .32%
NET ASSETS C
RATIO OF EXPENSES TO AVERAGE NET .31% D .31% D .31% D .32% .32%
ASSETS AFTER EXPENSE REDUCTIONS
RATIO OF NET INVESTMENT INCOME 6.98% 7.05% 7.11% 7.58% 6.93%
TO AVERAGE NET ASSETS
PORTFOLIO TURNOVER RATE 97% 65% 128% 73% 160%
</TABLE>
A THE TOTAL RETURNS WOULD HAVE BEEN LOWER HAD CERTAIN EXPENSES NOT
BEEN REDUCED DURING THE PERIODS SHOWN (SEE NOTE 5 OF NOTES TO
FINANCIAL STATEMENTS).
B NET INVESTMENT INCOME PER SHARE HAS BEEN CALCULATED BASED ON AVERAGE
SHARES OUTSTANDING DURING THE PERIOD.
C FMR AGREED TO REIMBURSE A PORTION OF THE FUND'S EXPENSES DURING THE
PERIOD. WITHOUT THIS REIMBURSEMENT, THE FUND'S EXPENSE RATIO WOULD
HAVE BEEN HIGHER (SEE NOTE 5 OF NOTES TO FINANCIAL STATEMENTS).
D FMR OR THE FUND HAS ENTERED INTO VARYING ARRANGEMENTS WITH THIRD
PARTIES WHO EITHER PAID OR REDUCED A PORTION OF THE FUND'S EXPENSES
(SEE NOTE 5 OF NOTES TO FINANCIAL STATEMENTS).
NOTES TO FINANCIAL STATEMENTS
For the period ended February 28, 1998
1. SIGNIFICANT ACCOUNTING POLICIES.
Fidelity U.S. Bond Index Fund (the fund) is a fund of Fidelity Concord
Street Trust (the trust) and is authorized to issue an unlimited
number of shares. The trust is registered under the Investment Company
Act of 1940, as amended (the 1940 Act), as an open-end management
investment company organized as a Massachusetts business trust. The
financial statements have been prepared in conformity with generally
accepted accounting principles which permit management to make certain
estimates and assumptions at the date of the financial statements. The
following summarizes the significant accounting policies of the fund:
SECURITY VALUATION. Securities are valued based upon a computerized
matrix system and/or appraisals by a pricing service, both of which
consider market transactions and dealer-supplied valuations.
Securities (including restricted securities) for which market
quotations are not readily available are valued at their fair value as
determined in good faith under consistently applied procedures under
the general supervision of the Board of Trustees. Short-term
securities with remaining maturities of sixty days or less for which
quotations are not readily available are valued at amortized cost or
original cost plus accrued interest, both of which approximate current
value.
INCOME TAXES. As a qualified regulated investment company under
Subchapter M of the Internal Revenue Code, the fund is not subject to
income taxes to the extent that it distributes substantially all of
its taxable income for its fiscal year. The schedule of investments
includes information regarding income taxes under the caption "Income
Tax Information."
INVESTMENT INCOME. Interest income, which includes accretion of
original issue discount, is accrued as earned.
EXPENSES. Most expenses of the trust can be directly attributed to a
fund. Expenses which cannot be directly attributed are apportioned
among the funds in the trust.
DISTRIBUTIONS TO SHAREHOLDERS. Distributions are declared daily and
paid monthly from net investment income. Distributions from realized
gains, if any, are recorded on the ex-dividend date.
Income and capital gain distributions are determined in accordance
with income tax regulations which may differ from generally accepted
accounting principles. These differences, which may result in
distribution reclassifications, are primarily due to differing
treatments for paydown gains/losses on certain securities, market
discount, capital loss carryforwards and losses deferred due to wash
sales and excise tax regulations.
Permanent book and tax basis differences relating to shareholder
distributions will result in reclassifications to paid in capital
Distributions in excess of net investment income and accumulated
undistributed net realized gain (loss) on investments may include
temporary book and tax basis differences that will reverse in a
subsequent period. Any taxable income or gain remaining at fiscal year
end is distributed in the following year.
SECURITY TRANSACTIONS. Security transactions are accounted for as of
trade date. Gains and losses on securities sold are determined on the
basis of identified cost.
2. OPERATING POLICIES.
JOINT TRADING ACCOUNT. Pursuant to an Exemptive Order issued by the
Securities and Exchange Commission, the fund, along with other
affiliated entities of Fidelity Management & Research Company (FMR),
may transfer uninvested cash balances into one or more joint trading
accounts. These balances are invested in one or more repurchase
agreements for U.S. Treasury or Federal Agency obligations.
REPURCHASE AGREEMENTS. The underlying U.S. Treasury or Federal Agency
securities are transferred to an account of the fund, or to the Joint
Trading Account, at a bank custodian. The securities are
marked-to-market daily and maintained at a value at least equal to the
principal amount of the repurchase agreement (including accrued
interest). FMR, the fund's investment adviser, is responsible for
determining that the value of the underlying securities remains in
accordance with the market value requirements stated above.
DELAYED DELIVERY TRANSACTIONS. The fund may purchase or sell
securities on a delayed delivery basis. Payment and delivery may take
place a month or more after the date of the transaction. The price of
the underlying securities and the date when the securities will be
delivered and paid for are fixed at the time the transaction is
negotiated. The market values of the securities purchased or sold on a
delayed delivery basis are identified as such in the fund's schedule
of investments. The fund may receive compensation for interest forgone
in the purchase of a delayed delivery security. With respect to
purchase commitments, the fund identifies securities as segregated in
its custodial records with a value at least equal to the amount of the
commitment. Losses may arise due to changes in the market value of the
underlying securities or if the counterparty does not perform under
the contract.
RESTRICTED SECURITIES. The fund is permitted to invest in securities
that are subject to legal or contractual restrictions on resale. These
securities generally may be resold in transactions exempt from
registration or to the public if the securities are registered.
Disposal of these securities may involve time-consuming negotiations
and expense, and prompt sale at an acceptable price may be difficult.
At the end of the period, the fund had no investments in restricted
securities (excluding 144A issues).
3. PURCHASES AND SALES OF INVESTMENTS.
Purchases and sales of securities, other than short-term securities,
aggregated $834,971,454 and $607,794,698, respectively, of which U.S.
government and government agency obligations aggregated $685,573,826
and $509,401,529, respectively.
4. FEES AND OTHER TRANSACTIONS WITH AFFILIATES.
MANAGEMENT FEE. As the fund's investment adviser, FMR receives a fee
that is computed daily at an annual rate of .32% of the fund's average
net assets.
TRANSFER AGENT FEES. Fidelity Investments Institutional Operations
Company, Inc. (FIIOC), an affiliate of FMR, is the fund's transfer,
dividend disbursing and shareholder servicing agent. FIIOC receives
4. FEES AND OTHER TRANSACTIONS WITH AFFILIATES - CONTINUED
TRANSFER AGENT FEES - CONTINUED
account fees and asset-based fees that vary according to account size
and type of account. FIIOC pays for typesetting, printing and mailing
of all shareholder reports, except proxy statements. For the period,
the transfer agent fees were equivalent to an annual rate of .22% of
average net assets.
ACCOUNTING FEES. Fidelity Service Company, Inc., an affiliate of FMR,
maintains the fund's accounting records. The fee is based on the level
of average net assets for the month plus out-of-pocket expenses.
5. EXPENSE REDUCTIONS.
FMR voluntarily agreed to reimburse the fund's operating expenses
(excluding interest, taxes, brokerage commissions and extraordinary
expenses) above an annual rate of .32% of average net assets. For the
period, the reimbursement reduced the expenses by $1,875,186.
In addition, the fund has entered into arrangements with its custodian
and transfer agent whereby credits realized as a result of uninvested
cash balances were used to reduce a portion of the fund's expenses.
During the period, the fund's custodian and transfer agent fees were
reduced by $14,555 and $43,017, respectively, under these
arrangements.
6. BENEFICIAL INTEREST.
At the end of the period, two unaffiliated shareholders were record
owner of more than 10% of the total outstanding shares of the fund.
REPORT OF INDEPENDENT ACCOUNTANTS
To the Trustees of Fidelity Concord Street Trust and the Shareholders
of Fidelity U.S. Bond Index Fund:
In our opinion, the accompanying statement of assets and liabilities,
including the schedule of investments (except for Moody's and Standard
& Poor's ratings), and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in
all material respects, the financial position of Fidelity U.S. Bond
Index Fund (a fund of Fidelity Concord Street Trust) at February 28,
1998, the results of its operations for the year then ended, and the
changes in its net assets and the financial highlights for the periods
indicated, in conformity with generally accepted accounting
principles. These financial statements and financial highlights
(hereafter referred to as "financial statements") are the
responsibility of the Fidelity U.S. Bond Index Fund's management; our
responsibility is to express an opinion on these financial statements
based on our audits. We conducted our audits of these financial
statements in accordance with generally accepted auditing standards
which 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,
assessing the accounting principles used and significant estimates
made by management, and evaluating the overall financial statement
presentation. We believe that our audits, which included confirmation
of securities at February 28, 1998 by correspondence with the
custodian and the application of alternative auditing procedures where
securities purchased were not yet received by the custodian, provide a
reasonable basis for the opinion expressed above.
/s/Price Waterhouse, LLP
Price Waterhouse LLP
Boston, Massachusetts
April 8, 1998
DISTRIBUTIONS
A total of 40.72% of the dividends distributed during the fiscal year
was derived from interest on U.S. Government securities which is
generally exempt from state income tax.
The fund will notify shareholders in January 1999 of the applicable
percentage for use in preparing 1998 income tax returns.
INVESTMENT ADVISER
Fidelity Management & Research Company
Boston, MA
OFFICERS
Edward C. Johnson 3d, PRESIDENT
Robert C. Pozen, SENIOR VICE PRESIDENT
Fred L. Henning, Jr., VICE PRESIDENT
Dwight D. Churchill, VICE PRESIDENT
Christine J. Thompson, VICE PRESIDENT
Eric D. Roiter, SECRETARY
Richard A. Silver, TREASURER
John H. Costello, ASSISTANT TREASURER
Leonard M. Rush, ASSISTANT TREASURER
BOARD OF TRUSTEES
Ralph F. Cox *
Phyllis Burke Davis *
Robert M. Gates *
Edward C. Johnson 3d
E. Bradley Jones *
Donald J. Kirk *
Peter S. Lynch
Marvin L. Mann *
William O. McCoy *
Gerald C. McDonough *
Robert C. Pozen
Thomas R. Williams *
ADVISORY BOARD
J. Gary Burkhead
GENERAL DISTRIBUTOR
Fidelity Distributors Corporation
Boston, MA
* INDEPENDENT TRUSTEES
(REGISTERED TRADEMARK)
TRANSFER AND SHAREHOLDER SERVICING AGENT
Fidelity Investments Institutional Operations Company, Inc.
Boston, MA
CUSTODIAN
The Bank of New York
New York, NY
