SPARTAN(REGISTERED TRADEMARK) TOTAL MARKET INDEX
SPARTAN EXTENDED MARKET INDEX
SPARTAN INTERNATIONAL INDEX
FUNDS
SEMIANNUAL REPORT
AUGUST 31, 1999
(2_FIDELITY_LOGOS)(registered trademark)
CONTENTS
PRESIDENT'S MESSAGE 3 NED JOHNSON ON INVESTING
STRATEGIES.
SPARTAN TOTAL MARKET INDEX FUND 4 PERFORMANCE
5 FUND TALK: THE SUB-ADVISER'S
OVERVIEW
6 INVESTMENT CHANGES
7 INVESTMENTS
35 FINANCIAL STATEMENTS
SPARTAN EXTENDED MARKET INDEX 37 PERFORMANCE
FUND
38 FUND TALK: THE SUB-ADVISER'S
OVERVIEW
39 INVESTMENT CHANGES
40 INVESTMENTS
80 FINANCIAL STATEMENTS
SPARTAN INTERNATIONAL INDEX 82 PERFORMANCE
FUND
83 FUND TALK: THE SUB-ADVISER'S
OVERVIEW
84 INVESTMENT CHANGES
85 INVESTMENTS
95 FINANCIAL STATEMENTS
NOTES 97 NOTES TO THE FINANCIAL
STATEMENTS.
PROXY VOTING RESULTS 100
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Fidelity Distributors Corporation.
Other third party marks appearing herein are the property of their
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All other marks appearing herein are registered or unregistered
trademarks or service marks of FMR Corp. or an affiliated company.
(recycle logo) This report is printed on recycled paper using
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THE VIEWS EXPRESSED IN THIS REPORT REFLECT THOSE OF BANKERS TRUST ONLY
THROUGH THE END OF THE PERIOD OF THE REPORT AS STATED ON THE COVER AND
DO NOT NECESSARILY REPRESENT THE VIEWS OF FIDELITY OR ANY OTHER PERSON
IN THE FIDELITY ORGANIZATION. ANY SUCH VIEWS ARE SUBJECT TO CHANGE AT
ANY TIME BASED UPON MARKET OR OTHER CONDITIONS AND FIDELITY DISCLAIMS
ANY RESPONSIBILITY TO UPDATE SUCH VIEWS. THESE VIEWS MAY NOT BE RELIED
ON AS INVESTMENT ADVICE AND, BECAUSE INVESTMENT DECISIONS FOR A
FIDELITY FUND ARE BASED ON NUMEROUS FACTORS, MAY NOT BE RELIED ON AS
AN INDICATION OF TRADING INTENT ON BEHALF OF ANY FIDELITY FUND.
THIS REPORT AND THE FINANCIAL STATEMENTS CONTAINED HEREIN ARE
SUBMITTED FOR THE GENERAL INFORMATION OF THE SHAREHOLDERS OF THE
FUNDS. THIS REPORT IS NOT AUTHORIZED FOR DISTRIBUTION TO PROSPECTIVE
INVESTORS IN THE FUNDS 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 FUNDS NOR FIDELITY DISTRIBUTORS CORPORATION IS A BANK.
FOR MORE INFORMATION ON ANY FIDELITY FUND, INCLUDING CHARGES AND
EXPENSES, CALL 1-800-544-8888 FOR A FREE PROSPECTUS. READ IT CAREFULLY
BEFORE YOU INVEST OR SEND MONEY.
PRESIDENT'S MESSAGE
(Photograph of Edward C. Johnson 3d.)
DEAR SHAREHOLDER:
In late August, just days after making what many market observers felt
would be the final interest-rate hike of 1999, Federal Reserve Board
Chairman Alan Greenspan re-ignited fears of further increases, calling
the continued rise of stocks "inexplicable." He also indicated that
stock movements would play a larger role in future monetary policy
deliberations. In response, equity and bond markets retreated from
solid gains earned earlier in the month.
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 an investment in a money market fund is not insured or
guaranteed by the Federal Deposit Insurance Corporation or any other
government agency. Although money market funds seek to preserve the
value of your investment at $1.00 per share, it is possible to lose
money by investing in these types of funds.
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. Of course, you should
consider your financial ability to continue your purchases through
periods of low price levels before undertaking such a strategy.
If you have questions, please call us at 1-800-544-8888, or visit our
web site at www.fidelity.com. 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
SPARTAN TOTAL MARKET INDEX FUND
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). If Fidelity had not reimbursed certain fund
expenses, the total returns would have been lower.
CUMULATIVE TOTAL RETURNS
PERIODS ENDED AUGUST 31, 1999 PAST 6 MONTHS PAST 1 YEAR LIFE OF FUND
SPARTAN TOTAL MARKET INDEX 7.39% 39.69% 37.21%
Wilshire 5000 7.37% 38.87% 35.27%
Growth & Income Funds Average 7.09% 31.14% n/a
CUMULATIVE TOTAL RETURNS show the fund's performance in percentage
terms over a set period - in this case, six months, one year 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 performance of the Wilshire 5000 Index - a market
capitalization-weighted index of approximately 7,000 U.S. equity
securities. The index contains all actively traded common stocks with
readily available price data traded on the New York Stock Exchange,
American Stock Exchange, and NASDAQ. To measure how the fund's
performance stacked up against its peers, you can compare it to the
Growth & Income Funds Average, which reflects the performance of
mutual funds with similar objectives tracked by Lipper Inc. The past
six months average represents a peer group of 936 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 AUGUST 31, 1999 PAST 1 YEAR LIFE OF FUND
SPARTAN TOTAL MARKET INDEX 39.69% 18.99%
Wilshire 5000 38.87% 18.07%
Growth & Income Funds Average 31.14% 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.
$10,000 OVER LIFE OF FUND
Spartan Total Mkt Index Wilshire 5000
00397 WA006
1997/11/05 10000.00 10000.00
1997/11/30 10128.00 10030.36
1997/12/31 10320.90 10215.72
1998/01/31 10397.14 10271.23
1998/02/28 11147.53 11018.99
1998/03/31 11717.35 11570.45
1998/04/30 11828.92 11707.79
1998/05/31 11509.33 11396.26
1998/06/30 11921.97 11795.86
1998/07/31 11654.97 11537.41
1998/08/31 9822.37 9740.66
1998/09/30 10489.87 10376.94
1998/10/31 11294.92 11148.95
1998/11/30 12006.92 11850.99
1998/12/31 12801.00 12609.36
1999/01/31 13254.10 13072.95
1999/02/28 12776.51 12599.06
1999/03/31 13303.08 13085.27
1999/04/30 13937.51 13712.45
1999/05/31 13634.52 13412.23
1999/06/30 14338.77 14106.56
1999/07/31 13863.81 13654.28
1999/08/31 13720.51 13527.30
IMATRL PRASUN SHR__CHT 19990831 19990913 085459 R00000000000025
$10,000 OVER LIFE OF FUND: Let's say hypothetically that $10,000 was
invested in Spartan Total Market Index Fund on November 5, 1997, when
the fund started. As the chart shows, by August 31, 1999, the value of
the investment would have been $13,721 - a 37.21% increase on the
initial investment. For comparison, look at how the Wilshire 5000
Index did over the same period. With dividends and capital gains, if
any, reinvested, the same $10,000 investment would have been $13,527 -
a 35.27% increase.
(checkmark) 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.
SPARTAN TOTAL MARKET INDEX FUND
FUND TALK: THE SUB-ADVISER'S OVERVIEW
(photograph of Dean Barr)
The following is an interview with Dean Barr, who oversees the Spartan
Total Market Index Fund's investment management personnel as Managing
Director for Bankers Trust, sub-adviser of the fund.
Q. HOW DID THE FUND PERFORM, DEAN?
A. For the six- and 12-month periods that ended August 31, 1999, the
fund returned 7.39% and 39.69%, respectively (figures do not include
the purchase fee, which was discontinued on April, 28, 1999). During
that time, fund performance compared well against the Wilshire 5000
Index, which returned 7.37% and 38.87%, respectively. The fund also
compares its performance against the growth & income funds average, as
tracked by Lipper Inc., which returned 7.09% and 31.14% during the
same six- and 12-month periods.
Q. HOW WOULD YOU CHARACTERIZE THE MARKET ENVIRONMENT DURING THE
SIX-MONTH PERIOD?
A. In early March of this year, encouraging economic conditions in the
U.S., characterized by strong growth, low inflation and a passive
Federal Reserve Board, flashed a green light for investors. However,
after almost three months of strong gains, the green light turned into
a cautionary yellow signal when the Fed shifted its monetary policy to
a tightening bias on May 18. Despite the more hostile monetary
environment and erosion in large-cap growth stock prices, the market
held on to its gains, and broadened out to include cyclical and
value-oriented securities. While the market churned, but generally
rallied back after periods of weakness, fears of inflation were
re-ignited amid an ever-tightening labor market, soaring trade deficit
and richly valued stock prices. As a result, the market posted mixed
results during the last three months of the period. On June 30 the Fed
increased the federal funds rate from 4.75% to 5.00%. The markets were
caught off guard, however, as the Fed shifted its monetary policy
stance from a tightening bias to neutral. While the equity market
rallied in response to this more accommodating monetary stance, the
celebration was short-lived following a larger-than-expected increase
in the employment-cost index. Further weakness followed the Fed's
decision to raise the federal funds rate another quarter percentage
point to 5.25% on August 24.
Q. LET'S TURN TO SOME OF THE FUND'S MARKET SECTORS, STARTING WITH
TECHNOLOGY, THE LARGEST WEIGHTING FOR THE FUND AND THE INDEX . . .
A. In general, technology stocks fared better than the overall market
during the period. However, the sector did experience its share of
setbacks and volatility. Despite intermittent periods of weakness amid
interest-rate worries and concerns about high valuations, shares of
industry leaders such as Microsoft, IBM, Cisco and Intel held up well
during the period.
Q. COMBINED, FINANCE AND UTILITY STOCKS REPRESENTED APPROXIMATELY 26%
OF THE INDEX AND THE FUND. HOW DID THESE SECTORS PERFORM?
A. Financial stocks rebounded in the first and second quarters of 1999
following a global economic crisis in the fall of 1998. As the period
came to a close, however, the sector suffered a sharp drop in its
prices. One factor was the widespread fear that the economy was
growing too fast and that the Federal Reserve would continue to raise
interest rates. On the other hand, most utility stocks provided a
positive contribution to the fund, as the demand for
telecommunications services continued to grow at an impressive rate.
Despite some weakness late in the period, stocks such as MCI WorldCom,
Ameritech and Bell Atlantic turned in solid performances.
Q. YOU MENTIONED SOME STOCKS THAT HELPED THE FUND. WHICH STOCKS HURT
PERFORMANCE?
A. Philip Morris and Compaq were the primary detractors from total
return. Shares of Philip Morris continued to suffer amid investors'
concerns with persistent litigation costs. Investors sold off shares
of Compaq early in the period amid lower earnings estimates and the
company's weak growth outlook. Also, its future earnings growth looked
dim due to intense competition, which slackened demand for its PCs.
Q. WHAT'S YOUR OUTLOOK?
A. I think it is likely that the current monetary squeeze will persist
over the next six months as the global economic recovery gathers
steam, and the Fed acts to rein in domestic growth and potential
inflation. While the bull market is still intact and there are
positive forces at work, most notably the ongoing mergers and
acquisitions boom and productivity gains, there are some near-term
hurdles for the market to overcome. The deteriorating monetary
environment, a cloudy earnings outlook and lofty stock prices are
causes for short-term concern.
THE VIEWS EXPRESSED IN THIS REPORT REFLECT THOSE OF BANKERS TRUST ONLY
THROUGH THE END OF THE PERIOD OF THE REPORT AS STATED ON THE COVER.
ANY SUCH VIEWS ARE SUBJECT TO CHANGE AT ANY TIME BASED ON MARKET OR
OTHER CONDITIONS. FOR MORE INFORMATION, SEE PAGE 2.
NOTE TO SHAREHOLDERS: At a meeting held on September 15, 1999, after
the period covered in this report, shareholders approved a new
sub-advisory agreement among the fund, Fidelity Management & Research
Co., and Bankers Trust.
(checkmark) FUND FACTS
GOAL: total return that corresponds to that
of the Wilshire 5000 Index
FUND NUMBER: 397
TRADING SYMBOL: FSTMX
START DATE: November 5, 1997
SIZE: as of August 31, 1999, more than
$475 million
SUB-ADVISER: Bankers Trust, since inception
SPARTAN TOTAL MARKET INDEX FUND
INVESTMENT CHANGES
<TABLE>
<CAPTION>
<S> <C> <C>
TOP TEN STOCKS AS OF AUGUST
31, 1999
% OF FUND'S NET ASSETS % OF FUND'S NET ASSETS IN
THESE STOCKS 6 MONTHS AGO
Microsoft Corp. 3.5 2.9
General Electric Co. 2.7 2.5
Intel Corp. 2.0 1.5
International Business 1.7 1.2
Machines Corp.
Cisco Systems, Inc. 1.6 1.2
Wal-Mart Stores, Inc. 1.4 1.5
Lucent Technologies, Inc. 1.4 1.0
Exxon Corp. 1.4 1.2
Merck & Co., Inc. 1.2 1.5
Citigroup, Inc. 1.1 1.0
TOP TEN MARKET SECTORS AS OF
AUGUST 31, 1999
% OF FUND'S NET ASSETS % OF FUND'S NET ASSETS IN
THESE MARKET SECTORS 6
MONTHS AGO
TECHNOLOGY 23.7 19.0
FINANCE 15.2 16.2
UTILITIES 10.6 10.6
HEALTH 10.2 11.0
NONDURABLES 6.3 6.6
RETAIL & WHOLESALE 5.6 6.1
MEDIA & LEISURE 5.1 5.6
ENERGY 4.9 3.8
INDUSTRIAL MACHINERY & 4.5 4.3
EQUIPMENT
BASIC INDUSTRIES 3.3 3.3
</TABLE>
PRIOR TO THIS REPORT, CERTAIN INFORMATION RELATED TO PORTFOLIO
HOLDINGS WAS STATED AS A PERCENTAGE OF THE FUND'S INVESTMENTS.
SPARTAN TOTAL MARKET INDEX FUND
INVESTMENTS AUGUST 31, 1999 (UNAUDITED)
Showing Percentage of Net Assets
COMMON STOCKS - 98.0%
SHARES VALUE (NOTE 1)
AEROSPACE & DEFENSE - 1.6%
AEROSPACE & DEFENSE - 1.3%
AAR Corp. 850 $ 18,169
Advanced Aerodynamics & 600 1,388
Structures, Inc. Class A (a)
Alliant Techsystems, Inc. (a) 1,308 95,484
AlliedSignal, Inc. 18,000 1,102,500
Aviall, Inc. (a) 2,800 31,150
BE Aerospace, Inc. (a) 1,500 25,969
Boeing Co. 33,200 1,504,375
Cordant Technologies, Inc. 1,000 41,375
Goodrich (B.F.) Co. 5,162 190,671
Harsco Corp. 1,200 33,225
Kellstrom Industries, Inc. (a) 800 8,212
Lockheed Martin Corp. 17,300 640,100
Northrop Grumman Corp. 3,100 224,750
Orbital Sciences Corp. (a) 1,700 37,719
Precision Castparts Corp. 1,900 67,450
Rockwell International Corp. 5,400 319,275
Textron, Inc. 6,000 484,500
United Technologies Corp. 15,471 1,023,020
Wyman-Gordon Co. (a) 2,100 38,588
5,887,920
DEFENSE ELECTRONICS - 0.2%
Litton Industries, Inc. (a) 2,300 147,200
Raytheon Co. Class B 12,400 844,750
Stanford Telecommunications, 100 2,875
Inc. (a)
994,825
SHIP BUILDING & REPAIR - 0.1%
General Dynamics Corp. 8,300 522,900
Halter Marine Group, Inc. (a) 800 4,250
Newport News Shipbuilding, 3,100 97,456
Inc.
624,606
TOTAL AEROSPACE & DEFENSE 7,507,351
BASIC INDUSTRIES - 3.3%
CHEMICALS & PLASTICS - 1.7%
Air Products & Chemicals, 6,600 224,400
Inc.
Airgas, Inc. (a) 100 1,313
Albemarle Corp. 1,340 23,199
Arch Chemicals, Inc. 100 1,969
Ashland, Inc. 2,200 84,838
Atmi, Inc. (a) 100 3,300
Avery Dennison Corp. 5,100 279,863
Bush Boake Allen, Inc. (a) 500 13,031
Cabot Corp. 1,900 43,819
Crompton & Knowles Corp. 2,000 35,000
Cytec Industries, Inc. (a) 1,300 30,306
Dexter Corp. 2,100 76,519
Dow Chemical Co. 8,000 909,000
E.I. du Pont de Nemours and 32,785 2,077,749
Co.
SHARES VALUE (NOTE 1)
Eastman Chemical Co. 2,200 $ 102,163
Engelhard Corp. 7,300 145,544
Ethyl Corp. 400 2,125
FMC Corp. (a) 1,000 58,250
Fuller (H.B.) Co. 400 24,100
Geon Co. 1,900 56,763
Georgia Gulf Corp. 1,000 18,188
Great Lakes Chemical Corp. 1,800 74,138
Hanna (M.A.) Co. 500 6,844
Hercules, Inc. 5,500 179,094
IMC Global, Inc. 6,800 108,375
International Specialty 1,900 17,931
Products, Inc. (a)
Lubrizol Corp. 3,000 76,125
Lyondell Chemical Co. 2,900 42,231
Medical Manager Corp. (a) 1,637 97,402
Millennium Chemicals, Inc. 4,100 94,300
Minerals Technologies, Inc. 1,400 69,300
Monsanto Co. 21,000 862,313
Nalco Chemical Co. 3,200 164,400
NL Industries, Inc. 900 10,856
OM Group, Inc. 500 19,688
PPG Industries, Inc. 7,200 432,450
Praxair, Inc. 6,200 291,400
Rohm & Haas Co. 8,496 317,538
Schulman (A.), Inc. 1,000 17,938
Scotts Co. Class A (a) 500 19,844
Sealed Air Corp. (a) 3,660 215,025
Solutia, Inc. 3,900 78,000
Terra Industries, Inc. 400 900
Union Carbide Corp. 5,700 324,188
USEC, Inc. 6,500 70,281
Valhi, Inc. 3,400 38,463
Valspar Corp. 1,300 47,206
W.R. Grace & Co. (a) 2,100 40,163
Wellman, Inc. 100 1,681
Witco Corp. 1,700 27,519
7,957,032
IRON & STEEL - 0.1%
AK Steel Holding Corp. 4,700 98,700
Allegheny Teledyne, Inc. 4,829 90,242
Armco, Inc. (a) 3,300 22,688
Bethlehem Steel Corp. (a) 3,904 30,012
Birmingham Steel Corp. 1,100 8,044
Cleveland-Cliffs, Inc. 300 9,619
LTV Corp. 1,500 8,625
Mueller Industries, Inc. (a) 1,000 31,000
National Steel Corp. Class B 1,800 14,625
NS Group, Inc. (a) 800 9,500
Nucor Corp. 3,400 158,313
Oregon Steel Mills, Inc. 700 7,656
Quanex Corp. 400 10,400
Steel Dynamics, Inc. (a) 500 9,000
Titan International, Inc. 600 6,675
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
BASIC INDUSTRIES - CONTINUED
IRON & STEEL - CONTINUED
USX-U.S. Steel Group 3,400 $ 91,800
WHX Corp. (a) 500 4,406
Worthington Industries, Inc. 7,500 112,500
723,805
METALS & MINING - 0.4%
AFC Cable Systems, Inc. (a) 1,700 73,100
Alcoa, Inc. 11,400 736,013
ASARCO, Inc. 1,300 27,138
Belden, Inc. 800 18,750
Brush Wellman, Inc. 100 1,700
Cable Design Technology Corp. 850 17,903
(a)
Commonwealth Industries, Inc. 500 7,188
Commscope, Inc. (a) 3,000 103,313
Cyprus Amax Minerals Co. 5,300 89,769
Encore Wire Corp. (a) 400 3,800
Freeport-McMoRan Copper & 7,000 112,438
Gold, Inc. Class B
General Cable Corp. 1,100 15,950
International FiberCom, Inc. 3,000 22,500
(a)
Kaiser Aluminum Corp. (a) 1,400 12,513
Martin Marietta Materials, 1,400 63,875
Inc.
Olin Corp. 3,000 42,563
Phelps Dodge Corp. 3,800 212,563
Reynolds Metals Co. 3,600 227,925
Ryerson Tull, Inc. 711 13,465
Superior Telecom, Inc. 500 13,156
Titanium Metals Corp. 4,200 35,963
Tremont Corp. 200 4,250
1,855,835
PACKAGING & CONTAINERS - 0.2%
Ball Corp. 2,200 98,863
Bemis Co., Inc. 1,500 56,906
Corning, Inc. 7,600 505,400
Crown Cork & Seal Co., Inc. 7,500 199,219
Owens-Illinois, Inc. (a) 4,500 111,375
Sonoco Products Co. 2,950 70,063
Tupperware Corp. 1,700 38,356
1,080,182
PAPER & FOREST PRODUCTS - 0.9%
American Bank Note 100 225
Holographics, Inc. (a)
American Business Products, 400 6,000
Inc.
American Pad & Paper Co. (a) 100 122
Boise Cascade Corp. 2,400 87,300
Bowater, Inc. 4,700 252,038
Caraustar Industries, Inc. 900 20,419
Champion International Corp. 4,200 231,000
Chesapeake Corp. 300 10,144
Consolidated Papers, Inc. 2,500 66,563
Fort James Corp. 8,000 258,000
SHARES VALUE (NOTE 1)
Georgia-Pacific Corp. 6,700 $ 277,213
Georgia-Pacific Corp. (Timber 5,200 125,125
Group)
International Paper Co. 12,770 600,988
Kimberly-Clark Corp. 19,442 1,106,979
Louisiana-Pacific Corp. 4,500 83,250
Mail-Well, Inc. (a) 1,500 21,375
Mead Corp. 4,800 179,100
Pentair, Inc. 1,300 59,150
Potlatch Corp. 800 30,900
Rayonier, Inc. 900 37,350
Smurfit-Stone Container Corp. 3,698 78,351
(a)
Temple-Inland, Inc. 1,600 99,200
The St. Joe Co. 800 18,700
Trex Co., Inc. (a) 1,400 29,138
Westvaco Corp. 3,000 78,563
Weyerhaeuser Co. 6,100 343,125
Willamette Industries, Inc. 3,200 126,800
Workflow Management, Inc. (a) 3,000 39,750
4,266,868
TOTAL BASIC INDUSTRIES 15,883,722
CONSTRUCTION & REAL ESTATE -
1.8%
BUILDING MATERIALS - 0.5%
American Standard Companies, 3,600 147,600
Inc. (a)
Ameron International Corp. 100 4,575
Armstrong World Industries, 1,200 58,275
Inc.
Centex Construction Products, 700 26,906
Inc.
Crane Co. 1,700 40,906
Dal-Tile International, Inc. 1,800 15,975
(a)
Fastenal Co. 1,500 75,188
Ferro Corp. 1,050 25,200
Flowserve Corp. 1,100 17,394
Fortune Brands, Inc. 4,900 183,750
Hussmann International, Inc. 1,400 23,800
Industrial Holdings, Inc. (a) 100 425
Johns Manville Corp. 4,700 67,563
Lafarge Corp. 1,100 30,250
Lone Star Industries, Inc. 700 24,063
Masco Corp. 14,000 396,375
Mobile Mini, Inc. (a) 2,300 41,975
Owens-Corning 2,100 59,063
ROHN Industries, Inc. (a) 2,300 3,953
RPM, Inc. 3,025 40,270
Sherwin-Williams Co. 8,400 204,750
Southdown, Inc. 1,176 59,388
T.J. International, Inc. 500 14,563
Tecumseh Products Co. Class A 1,800 102,600
Texas Industries, Inc. 600 19,200
USG Corp. 3,100 151,900
Vulcan Materials Co. 5,100 217,388
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
CONSTRUCTION & REAL ESTATE -
CONTINUED
BUILDING MATERIALS - CONTINUED
Watsco, Inc. Class A 850 $ 11,900
York International Corp. 2,800 115,150
2,180,345
CONSTRUCTION - 0.2%
American Homestar Corp. (a) 800 3,800
Avatar Holdings, Inc. (a) 300 6,075
Beazer Homes USA, Inc. (a) 400 8,875
Butler Manufacturing Co. 200 5,563
California Coastal 13,700 113,025
Communities, Inc. (a)
Centex Corp. 1,800 50,625
Clayton Homes, Inc. 4,275 40,613
D.R. Horton, Inc. 4,525 65,895
Del Webb Corp. 500 10,875
Dominion Homes, Inc. (a) 300 1,988
Emcor Group, Inc. (a) 1,900 40,494
Engle Homes, Inc. 300 3,094
Fleetwood Enterprises, Inc. 3,300 67,238
Granite Construction, Inc. 900 22,500
Kaufman & Broad Home Corp. 1,200 24,525
NCI Building Systems, Inc. (a) 500 9,156
NVR, Inc. (a) 1,200 69,300
Oakwood Homes Corp. 1,400 8,488
Pulte Corp. 3,500 80,938
Standard Pacific Corp. 1,400 15,663
Toll Brothers, Inc. (a) 3,100 62,775
Vistana, Inc. (a) 800 12,500
Walter Industries, Inc. (a) 1,800 22,275
746,280
ENGINEERING - 0.1%
Able Telcom Holding Corp. (a) 600 5,288
AdForce, Inc. 2,100 33,994
Apogee Enterprises, Inc. 800 6,600
DSP Group, Inc. (a) 1,400 53,900
EG & G, Inc. 1,300 41,356
Fluor Corp. 2,800 115,850
Foster Wheeler Corp. 1,200 15,525
ICF Kaiser International, 300 150
Inc. (a)
IDM Environmental Corp. (a) 10 50
MasTec, Inc. (a) 100 2,794
Morrison Knudsen Corp. (a) 100 1,075
Probusiness Services, Inc. (a) 400 10,700
Service Experts, Inc. (a) 2,100 23,625
Sylvan Learning Systems (a) 3,900 77,513
388,420
REAL ESTATE - 0.0%
Bluegreen Corp. (a) 900 4,838
BridgeStreet Accomodations, 400 1,775
Inc. (a)
Catellus Development Corp. (a) 6,100 83,494
CB Richard Ellis Services, 800 10,000
Inc. (a)
Fairfield Communities, Inc. 3,200 41,600
(a)
SHARES VALUE (NOTE 1)
Insignia Financial Group, 733 $ 7,284
Inc. (a)
Merry Land Properties, Inc. 50 241
(a)
Pierce Leahy Corp. (a) 100 2,138
Stewart Enterprises, Inc. 13,200 71,362
Class A
Trammell Crow Co. (a) 2,900 41,325
Vornado Operating Co. (a) 60 382
264,439
REAL ESTATE INVESTMENT TRUSTS
- - 1.0%
Alexander's, Inc. (a) 100 8,044
Alexandria Real Estate 200 5,863
Equities, Inc.
AMB Property Corp. 2,600 55,900
American Health Properties, 700 13,825
Inc.
Amli Residential Properties 500 10,375
Trust (SBI)
Apartment Investment & 4,031 165,271
Management Co. Class A
Archstone Communities Trust 4,900 104,738
Arden Realty Group, Inc. 1,700 39,631
Avalonbay Communities, Inc. 2,000 70,500
Boston Properties, Inc. 4,400 146,575
Boykin Lodging Co. 500 6,875
Bradley Real Estate, Inc. 700 13,388
(SBI)
Brandywine Realty Trust 100 1,794
BRE Properties, Inc. Class A 400 10,100
Camden Property Trust (SBI) 1,275 35,381
Capstead Mortgage Corp. 800 3,650
CarrAmerica Realty Corp. 1,500 34,500
Colonial Properties Trust 700 19,031
(SBI)
Cornerstone Properties, Inc. 2,600 41,438
Crescent Real Estate Equities 8,400 174,300
Co.
Developers Diversified Realty 3,000 44,813
Corp.
Duke Realty Investments, Inc. 7,300 163,794
Equity Inns, Inc. 1,400 12,250
Equity Office Properties Trust 12,040 307,773
Equity Residential Properties 6,130 269,720
Trust (SBI)
FelCor Lodging Trust, Inc. 7,368 132,164
First Industrial Realty 1,500 38,438
Trust, Inc.
First Union Real Estate 1,440 7,740
Equity & Mortgage
Investments (a)
Gables Residential Trust (SBI) 200 4,788
General Growth Properties, 3,800 126,350
Inc.
Glenborough Realty Trust, 1,100 19,044
Inc.
Glimcher Realty Trust (SBI) 700 10,675
Highwoods Properties, Inc. 3,800 94,288
Hospitality Properties Trust 2,300 61,813
(SBI)
Host Marriott Corp. 14,500 134,125
HRPT Properties Trust 8,200 113,775
Imperial Credit Commercial 1,100 12,031
Mortgage Investment Corp.
Indymac Mortgage Holdings, 9,700 130,344
Inc.
JDN Realty Corp. 650 13,650
Kilroy Realty Corp. 900 20,644
Kimco Realty Corp. 3,200 119,200
Liberty Property Trust (SBI) 4,900 120,050
Mack-Cali Realty Corp. 4,000 113,500
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
CONSTRUCTION & REAL ESTATE -
CONTINUED
REAL ESTATE INVESTMENT TRUSTS
- - CONTINUED
The Meditrust Companies 13,496 $ 120,620
(paired shares)
MeriStar Hospitality Corp. 1,400 23,625
Mills Corp. 800 15,350
Nationwide Health Properties, 1,900 29,569
Inc.
New Plan Excel Realty Trust 7,400 140,138
Ocwen Asset Investment Corp. 700 3,019
Pinnacle Holdings, Inc. 600 15,113
Post Properties, Inc. 1,200 49,050
Prentiss Properties Trust 1,100 24,956
(SBI)
Price Enterprises, Inc. 784 6,076
Prison Realty Corp. 6,750 88,172
ProLogis Trust 10,100 198,213
Public Storage, Inc. 7,400 192,400
Reckson Associates Realty 1,300 26,975
Corp.
Redwood Trust, Inc. 300 4,219
Rouse Co. (The) 4,400 100,100
Simon Property Group, Inc. 8,800 224,400
Spieker Properties, Inc. 4,400 168,300
Starwood Financial Trust 1,200 33,600
Sunstone Hotel Investors, 100 900
Inc.
Thornburg Mortgage Asset 400 3,675
Corp.
Trinet Corporate Realty 1,400 34,213
Trust, Inc.
United Dominion Realty Trust, 3,100 35,650
Inc.
Ventas, Inc. 1,400 5,338
Vornado Realty Trust 5,300 180,863
Walden Residential 700 13,169
Properties, Inc.
Westfield America, Inc. 400 5,800
Wyndham International, Inc. 5,312 18,924
Class A (a)
4,794,575
TOTAL CONSTRUCTION & REAL 8,374,059
ESTATE
DURABLES - 2.8%
AUTOS, TIRES, & ACCESSORIES -
1.7%
Aftermarket Technology Corp. 700 6,300
(a)
Arvin Industries, Inc. 2,200 78,650
AutoNation, Inc. (a) 27,000 349,313
AutoZone, Inc. (a) 4,400 104,775
Aviation Sales Co. (a) 1,600 49,600
Bandag, Inc. 500 16,625
Barrett Resources Corp. (a) 900 32,456
Borg-Warner Automotive, Inc. 1,600 75,800
Boyds Wheels, Inc. (a) 4,800 1,350
Breed Technologies, Inc. (a) 1,000 688
Casey's General Stores, Inc. 2,500 33,438
Cooper Tire & Rubber Co. 2,200 41,800
Copart, Inc. (a) 800 17,500
CSK Auto Corp. (a) 900 21,375
Cummins Engine Co., Inc. 1,300 77,025
SHARES VALUE (NOTE 1)
Dana Corp. 7,056 $ 307,377
Danaher Corp. 3,671 215,671
Delphi Automotive Systems 22,123 414,806
Corp.
Dura Automotive Systems, Inc. 1,683 43,548
Class A (a)
Eaton Corp. 3,200 313,600
Federal Signal Corp. 1,400 29,313
Federal-Mogul Corp. 5,400 246,375
Ford Motor Co. 40,400 2,105,850
General Motors Corp. 21,400 1,415,075
Gentex Corp. (a) 2,000 38,250
Genuine Parts Co. 5,200 150,150
Getty Petroleum Marketing, 100 338
Inc. (a)
Goodyear Tire & Rubber Co. 5,900 331,138
Intermet Corp. 400 4,612
Johnson Controls, Inc. 3,100 211,963
Kroll-O'Gara Co. (a) 2,100 40,294
Lear Corp. (a) 1,900 76,356
Mascotech, Inc. 1,400 24,150
McLaren Automotive Group, 500 1,563
Inc. (a)
Meritor Automotive, Inc. 3,200 69,800
Miller Industries, Inc. (a) 1,800 4,613
Navistar International Corp. 1,700 82,663
(a)
O'Reilly Automotive, Inc. (a) 2,300 87,975
OmniQuip International, Inc. 2,200 45,513
Oshkosh Truck Co. Class B 2,100 70,613
PACCAR, Inc. 3,600 198,450
Pep Boys-Manny, Moe & Jack 2,400 34,950
Sonic Automotive, Inc. (a) 3,200 38,600
SPX Corp. (a) 1,372 116,277
Standard Products Co. 600 20,775
Tower Automotive, Inc. (a) 3,400 68,000
TRW, Inc. 5,500 299,750
Ugly Duckling Corp. (a) 100 694
United Auto Group, Inc. (a) 200 2,525
Wabash National Corp. 700 14,700
8,033,022
CONSUMER DURABLES - 0.4%
Ballantyne of Omaha, Inc. 100 756
Blyth Industries, Inc. (a) 2,800 79,275
Department 56, Inc. (a) 2,200 61,600
Dupont Photomasks, Inc. (a) 800 42,900
Libbey, Inc. 800 24,500
Minnesota Mining & 14,500 1,370,250
Manufacturing Co.
SAF T LOK, Inc. (a) 4,700 7,931
Samsonite Corp. (a) 446 2,592
Snap-On, Inc. 2,000 67,625
Sola International, Inc. (a) 700 11,113
1,668,542
CONSUMER ELECTRONICS - 0.2%
Black & Decker Corp. 4,200 221,025
Boston Acoustics, Inc. 100 1,800
General Motors Corp. Class H 4,700 242,050
(a)
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
DURABLES - CONTINUED
CONSUMER ELECTRONICS -
CONTINUED
Harman International 600 $ 25,500
Industries, Inc.
Maytag Corp. 3,900 244,238
Movado Group, Inc. 400 10,650
Odetics, Inc. Class B (a) 400 4,550
Recoton Corp. (a) 600 4,725
Sunbeam Corp. 500 3,094
U.S. Industries, Inc. 1,600 25,800
Universal Electronics, Inc. 1,300 31,200
(a)
Whirlpool Corp. 2,600 183,788
998,420
HOME FURNISHINGS - 0.2%
Bassett Furniture Industries, 300 6,113
Inc.
Ethan Allen Interiors, Inc. 2,100 61,294
Furniture Brands 3,600 72,225
International, Inc. (a)
Heilig-Meyers Co. 1,400 7,438
Knoll, Inc. (a) 800 21,400
La-Z-Boy, Inc. 900 19,744
Leggett & Platt, Inc. 5,800 128,325
Linens'n Things, Inc. (a) 2,200 75,350
Miller (Herman), Inc. 3,300 77,756
Newell Rubbermaid, Inc. 11,601 475,641
Restoration Hardware, Inc. (a) 1,000 7,875
Steelcase, Inc. Class A 3,200 46,600
999,761
TEXTILES & APPAREL - 0.3%
Active Apparel Group, Inc. (a) 1,000 2,625
Ashworth, Inc. (a) 400 1,875
BEBE Stores, Inc. (a) 2,100 50,400
Bluefly, Inc. (a) 800 7,300
Brown Shoe Co., Inc. 500 8,688
Burlington Industries, Inc. 500 2,844
(a)
Collins & Aikman Corp. 900 4,781
Columbia Sportswear Co. (a) 600 10,763
Donna Karan International, 700 5,775
Inc. (a)
Global Sports, Inc. (a) 800 16,400
Interface, Inc. Class A 3,100 26,931
Jones Apparel Group, Inc. (a) 8,151 211,417
K-Swiss, Inc. Class A 1,200 37,650
Kellwood Co. 1,200 28,650
Liz Claiborne, Inc. 1,900 69,825
Madden Steven Ltd. (a) 700 8,269
Mohawk Industries, Inc. (a) 400 9,050
Nautica Enterprises, Inc. (a) 2,900 38,969
NIKE, Inc. Class B 8,500 393,125
North Face, Inc. (a) 1,800 15,750
Pacific Sunwear of 900 20,925
California, Inc. (a)
Polo Ralph Lauren Corp. Class 4,000 77,500
A (a)
Reebok International Ltd. (a) 1,700 20,081
Russell Corp. 1,400 23,450
Saucony, Inc. (a) 1,700 28,688
SHARES VALUE (NOTE 1)
Shaw Industries, Inc. 3,688 $ 73,760
Sport-Haley, Inc. (a) 100 494
Springs Industries, Inc. 400 15,025
Class A
Stride Rite Corp. 1,400 12,163
Tarrant Apparel Group (a) 2,700 39,488
Timberland Co. Class A (a) 400 28,750
Unifi, Inc. (a) 1,900 25,650
Vans, Inc. (a) 600 6,975
VF Corp. 6,000 216,000
Warnaco Group, Inc. Class A 1,500 33,000
WestPoint Stevens, Inc. Class 2,200 52,800
A
Wolverine World Wide, Inc. 1,200 13,575
1,639,411
TOTAL DURABLES 13,339,156
ENERGY - 4.9%
ENERGY SERVICES - 0.8%
Atwood Oceanics, Inc. (a) 400 12,600
Baker Hughes, Inc. 9,550 324,700
BJ Services Co. (a) 2,000 68,500
CAL Dive International, Inc. 500 18,813
(a)
Diamond Offshore Drilling, 5,800 221,850
Inc.
ENSCO International, Inc. 3,200 68,200
Global Industries Ltd. (a) 3,700 41,394
Global Marine, Inc. (a) 5,000 88,750
Halliburton Co. 13,900 644,613
Helmerich & Payne, Inc. 1,500 41,344
Key Energy Group, Inc. (a) 9,900 46,406
Marine Drilling Companies, 1,500 23,813
Inc. (a)
Maverick Tube Corp. (a) 2,600 45,988
McDermott International, Inc. 1,800 40,613
Nabors Industries, Inc. (a) 4,800 129,600
Noble Drilling Corp. (a) 3,700 91,113
Oceaneering International, 600 12,038
Inc. (a)
Offshore Logistics, Inc. (a) 700 8,181
Parker Drilling Co. (a) 2,900 14,500
Patterson Energy, Inc. (a) 2,500 33,594
Pool Energy Services Co. (a) 1,200 31,650
Pride International, Inc. (a) 3,000 44,625
R&B Falcon Corp. (a) 9,280 119,480
Rowan Companies, Inc. (a) 2,500 46,563
Schlumberger Ltd. 19,672 1,313,106
SEACOR SMIT, Inc. (a) 900 46,744
Smith International, Inc. (a) 1,400 65,363
Tidewater, Inc. 2,000 65,000
Transocean Offshore, Inc. 4,800 163,200
Tuboscope, Inc. (a) 1,400 20,388
Varco International, Inc. (a) 2,000 24,750
Zapata Corp. 1,100 6,531
3,924,010
OIL & GAS - 4.1%
Amerada Hess Corp. 2,800 173,775
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
ENERGY - CONTINUED
OIL & GAS - CONTINUED
American International 100 $ 88
Petroleum Corp. (a)
Anadarko Petroleum Corp. 4,200 142,800
Apache Corp. 4,900 222,950
Atlantic Richfield Co. 10,200 896,963
Belco Oil & Gas Corp. (a) 1,100 7,563
Bellwether Exploration Co. (a) 100 438
Benton Oil & Gas Co. (a) 1,200 3,075
Buckeye Partners LP 700 19,250
Burlington Resources, Inc. 7,900 330,319
Cabot Oil & Gas Corp. Class A 800 15,250
Chevron Corp. 22,200 2,047,950
Coastal Corp. (The) 6,000 259,875
Comstock Resources, Inc. (a) 1,100 5,088
Conoco, Inc.:
Class A 8,200 219,350
Class B 15,089 405,517
Cooper Cameron Corp. (a) 700 29,138
Devon Energy Corp. 4,039 156,006
EEX Corp. (a) 1,433 6,807
Enron Oil & Gas Co. 6,900 164,738
Evergreen Resources, Inc. (a) 1,900 46,194
Exxon Corp. 83,600 6,593,950
Friede Goldman International, 600 7,350
Inc. (a)
Frontier Oil Corp. (a) 100 800
Gothic Energy Corp. (a) 200 106
Gulf Island Fabrication, Inc. 300 3,863
(a)
Harken Energy Corp. (a) 4,800 8,100
Houston Exploration Co. (a) 700 14,875
IRI International Corp. (a) 1,500 7,031
KCS Energy, Inc. 800 750
Kerr-McGee Corp. 3,570 199,920
Louis Dreyfus Natural Gas 3,100 67,813
Corp. (a)
Mobil Corp. 26,100 2,671,988
Murphy Oil Corp. 3,400 172,550
National Energy Group, Inc. 500 35
(a)
National-Oilwell, Inc. (a) 1,700 28,900
Newfield Exploration Co. (a) 1,300 39,488
Noble Affiliates, Inc. 2,300 71,300
Nuevo Energy Co. (a) 700 12,250
Occidental Petroleum Corp. 9,900 214,706
Panaco, Inc. (a) 100 88
Patina Oil & Gas Corp. 100 894
Pennzoil-Quaker State Co. 4,992 69,264
Phillips Petroleum Co. 9,800 499,800
Pioneer Natural Resources Co. 3,300 37,538
Pogo Producing Co. 1,200 25,050
Range Resources Corp. 1,200 6,600
Resource America, Inc. Class A 2,300 23,000
Santa Fe Snyder Corp. (a) 8,500 82,875
Seven Seas Petroleum, Inc. (a) 1,700 4,675
SHARES VALUE (NOTE 1)
St. Mary Land & Exploration 300 $ 7,950
Co.
Stone Energy Corp. (a) 1,400 74,550
Sunoco, Inc. 4,400 143,275
Swift Energy Co. (a) 600 7,575
Tesoro Petroleum Corp. (a) 3,600 65,025
Texaco, Inc. 19,500 1,238,250
Titan Exploration, Inc. (a) 1,200 6,600
Tom Brown, Inc. (a) 1,100 18,081
Tosco Corp. 4,400 112,200
Ultramar Diamond Shamrock 4,600 120,175
Corp.
UNIFAB International, Inc. (a) 100 863
Union Pacific Resources 7,100 127,356
Group, Inc.
Unocal Corp. 9,700 406,188
USX-Marathon Group 8,900 277,013
Valero Energy Corp. 1,700 36,125
Vastar Resources, Inc. 4,100 273,163
Veritas DGC, Inc. (a) 1,600 28,600
Vintage Petroleum, Inc. 1,700 24,331
Weatherford International, 7,080 252,225
Inc. (a)
19,238,238
TOTAL ENERGY 23,162,248
FINANCE - 15.2%
BANKS - 5.8%
Abigail Adams National 200 2,650
Bancorp, Inc.
Advanta Corp. 2,600 51,188
Allegiant Bancorp, Inc. 100 925
Amcore Financial, Inc. 3,900 85,313
American Pacific Bank of 800 2,800
Oregon Class B (a)
AmSouth Bancorp. 9,175 200,703
Associated Banc-Corp. 3,725 131,306
Atlantic Bank & Trust Co. (a) 1,000 15,125
BancWest Corp. 1,966 82,203
Bank of America Corp. 58,972 3,567,806
Bank of New York Co., Inc. 23,800 850,850
Bank One Corp. 38,367 1,539,476
BankBoston Corp. 11,300 524,744
Banknorth Group, Inc. 2,700 78,300
BB&T Corp. 8,004 268,134
BT Financial Corp. 300 7,050
Capital One Financial Corp. 7,500 283,125
Carolina First Corp. 800 17,500
CCB Financial Corp. 1,100 51,975
Centura Banks, Inc. 900 41,681
Chase Manhattan Corp. 28,300 2,368,356
City National Corp. 3,200 106,200
CNB Bancshares, Inc. 2,413 137,843
Colonial Bancgroup, Inc. 400 4,950
Comerica, Inc. 7,200 374,850
Commerce Bancshares, Inc. 3,040 112,290
Community First Bankshares, 4,100 84,178
Inc.
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
FINANCE - CONTINUED
BANKS - CONTINUED
Compass Bancshares, Inc. 7,050 $ 187,266
Cullen Frost Bankers, Inc. 5,200 135,850
Fifth Third Bancorp 10,601 702,316
First American Corp. 6,117 245,445
First Security Corp. 8,700 188,681
First Tennessee National 5,000 160,000
Corp.
First Union Corp. 34,605 1,436,108
First Virginia Banks, Inc. 1,400 61,950
Firstar Corp. 24,246 650,096
Firstmerit Corp. 5,300 139,291
Fulton Financial Corp. 137 2,629
Hibernia Corp. Class A 5,600 72,450
Hudson United Bancorp 3,885 123,592
Huntington Bancshares, Inc. 6,611 197,917
Imperial Bancorp 1,404 23,868
J.P. Morgan & Co., Inc. 5,400 697,613
KeyCorp 17,000 493,000
Keystone Financial, Inc. 1,800 47,813
M&T Bank Corp. 212 98,368
Marshall & Ilsley Corp. 4,900 286,956
Mellon Bank Corp. 20,500 684,188
Mercantile Bancorp, Inc. 7,100 391,831
Mercantile Bankshares Corp. 4,200 137,550
National City Corp. 23,420 646,978
National Commmerce Bancorp 5,800 122,888
North Fork Bancorp, Inc. 5,278 95,664
Northern Trust Corp. 4,600 390,138
Pacific Century Financial 2,400 44,550
Corp.
Peoples Heritage Financial 7,432 124,951
Group, Inc.
PNC Financial Corp. 12,400 648,675
Popular, Inc. 2,600 71,663
Provident Financial Group, 1,300 54,438
Inc.
R&G Financial Corp. Class B 200 3,250
Regions Financial Corp. 10,158 358,704
Republic of New York Corp. 4,700 326,063
Riggs National Corp. 800 14,900
Seacoast Financial Services 838 9,323
Corp.
Silicon Valley Bancshares (a) 1,400 31,413
SouthTrust Corp. 7,900 278,969
State Street Corp. 4,500 269,438
Summit Bancorp 4,900 163,538
SunTrust Banks, Inc. 12,528 805,707
Synovus Finanical Corp. 5,500 103,813
Trustmark Corp. 600 13,838
U.S. Bancorp 25,580 789,783
Union Planters Corp. 5,287 223,045
UnionBanCal Corp. 5,400 207,225
United Bankshares, Inc. 1,200 30,825
US Trust Corp. 900 74,813
UST Corp. 3,741 113,633
SHARES VALUE (NOTE 1)
Valley National Bancorp 341 $ 8,866
Wachovia Corp. 8,263 647,613
Wells Fargo & Co. 55,200 2,197,650
West Coast Bancorp 200 3,450
Westamerica Bancorp. 3,700 118,169
Western Bancorp 2,200 87,450
Whitney Holding Corp. 100 3,775
Wilmington Trust Corp. 900 45,000
Zions Bancorp 3,768 187,458
27,473,955
CREDIT & OTHER FINANCE - 2.6%
Aames Financial Corp. 3,500 4,375
Actrade International Ltd. 500 6,625
Allied Capital Corp. 4,500 101,672
Allstate Financial Corp. (a) 700 744
American Express Co. 15,100 2,076,250
AmeriCredit Corp. (a) 3,500 44,844
AMRESCO, Inc. 7,100 47,481
Arcadia Financial Ltd. (a) 1,100 6,256
Associates First Capital 24,210 830,706
Corp. Class A
Cash America International, 400 2,875
Inc.
CIT Group, Inc. Class A 4,600 109,538
Citigroup, Inc. 115,553 5,134,886
Coast Federal Litigation 200 263
Contingent Payment Rights
Trust rights 12/31/00 (a)
Concord EFS, Inc. (a) 5,350 198,619
Consumer Portfolio Services, 2,400 2,625
Inc. (a)
ContiFinancial Corp. (a) 1,800 2,363
Countrywide Credit 5,300 170,263
Industries, Inc.
Credit Acceptance Corp. (a) 1,300 7,638
Doral Financial Corp. 1,200 16,650
Equitable Companies (The), 8,100 500,175
Inc.
Finet.Com, Inc. (a) 4,400 11,688
Finova Group, Inc. 3,400 129,200
First Alliance Corp. (a) 400 1,200
First Charter Corp. 3,200 69,600
First Sierra Financial, Inc. 1,700 18,700
(a)
Fleet Financial Group, Inc. 20,730 825,313
Franchise Mortgage Acceptance 1,000 8,563
Co. (a)
Greenpoint Financial Corp. 3,120 80,730
Heller Financial, Inc. Class A 2,864 65,514
Household International, Inc. 17,419 657,567
IMC Mortgage Co. (a) 400 20
Imperial Credit Industries (a) 1,200 6,525
Life Financial Corp. (a) 200 1,100
Long Beach Financial Corp. (a) 3,000 45,188
MBNA Corp. 25,300 624,594
Metris Companies, Inc. 1,090 30,043
MFN Financial Corp. (a) 8 71
MFN Financial Corp.:
warrants 3/23/02 (a) 10 11
warrants 3/23/03 (a) 10 9
warrants 3/23/04 (a) 10 8
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
FINANCE - CONTINUED
CREDIT & OTHER FINANCE -
CONTINUED
NextCard, Inc. (a) 3,100 $ 75,950
Old Kent Financial Corp. 3,087 121,937
Providian Financial Corp. 4,350 337,669
Resource Bancshares Mortgage 905 5,430
Group, Inc.
Rock Financial Corp. 400 7,000
Southern Pacific Funding 600 48
Corp. (a)
12,388,526
FEDERAL SPONSORED CREDIT - 0.8%
Fannie Mae 35,600 2,211,650
Freddie Mac 24,000 1,236,000
SLM Holding Corp. 6,350 280,591
3,728,241
INSURANCE - 4.0%
20th Century Industries, Inc. 1,400 26,250
Aetna, Inc. 5,600 435,400
AFLAC, Inc. 9,600 431,400
Alfa Corp. 100 1,694
Allmerica Financial Corp. 1,700 96,050
Allstate Corp. 27,800 912,188
Ambac Financial Group, Inc. 2,100 110,906
American Annuity Group, Inc. 1,300 28,681
American Financial Group, 1,700 50,150
Inc.
American General Corp. 9,929 704,959
American Heritage Life 3,000 94,125
Investment Corp.
American International Group, 52,682 4,882,963
Inc.
American National Insurance 100 7,000
Co.
Amerus Life Holdings, Inc. 867 20,916
Aon Corp. 11,050 368,794
Argonaut Group, Inc. 600 15,150
ARM Financial Group, Inc. 600 150
Class A
Atlantic American Corp. (a) 100 363
Berkley (W.R.) Corp. 1,100 25,025
Berkshire Hathaway, Inc. 52 3,338,400
Class A (a)
Blanch E.W. Holdings, Inc. 1,400 92,750
Capital Re Corp. 1,200 14,550
Chicago Title Corp. 1,900 86,094
ChoicePoint, Inc. (a) 400 26,325
Chubb Corp. (The) 6,964 398,254
CIGNA Corp. 7,100 637,669
Cincinnati Financial Corp. 4,900 194,163
CNA Financial Corp. (a) 5,200 189,150
Commerce Group, Inc. 600 13,350
Conseco, Inc. 8,940 214,560
Delphi Financial Group, Inc. 1,432 50,836
Class A
Enhance Financial Services 1,100 22,550
Group, Inc.
Erie Indemnity Co. Class A 300 8,100
Everest Reinsurance Holdings, 3,200 88,800
Inc.
Fidelity National Financial, 851 13,084
Inc.
Financial Security Assurance 2,100 105,131
Holdings Ltd.
SHARES VALUE (NOTE 1)
First American Financial 1,200 $ 17,850
Corp.
First Health Group Corp. (a) 4,300 92,719
FPIC Insurance Group, Inc. (a) 3,300 57,338
Fremont General Corp. 2,100 20,869
Frontier Insurance Group, 1,830 22,189
Inc.
Gallagher (Arthur J.) & Co. 200 10,925
Harleysville Group, Inc. 100 1,944
Hartford Financial Services 8,800 399,850
Group, Inc.
Hartford Life, Inc. Class A 2,100 91,219
HCC Insurance Holdings, Inc. 1,500 21,938
Healthcare Recoveries, Inc. 400 1,525
(a)
Healthplan Services Corp. 500 3,125
Horace Mann Educators Corp. 1,700 51,213
HSB Group, Inc. 900 33,469
INSpire Insurance Solutions, 800 7,850
Inc. (a)
Jefferson-Pilot Corp. 4,900 327,075
LandAmerica Financial Group, 400 9,250
Inc.
Lincoln National Corp. 7,900 370,313
Loews Corp. 4,500 353,250
Marsh & McLennan Companies, 10,150 739,047
Inc.
MBIA, Inc. 4,393 227,887
MEDE AMERICA Corp. (a) 2,600 59,475
Medical Assurance, Inc. (a) 300 7,538
Mercury General Corp. 1,600 48,400
MGIC Investment Corp. 4,700 204,156
Nationwide Financial 2,600 94,900
Services, Inc. Class A
Ohio Casualty Corp. 2,400 36,900
Old Republic International 4,050 62,775
Corp.
Orion Capital Corp. 2,300 110,975
Penncorp Financial Group, 2,600 813
Inc. (a)
PMI Group, Inc. 5,250 223,125
Presidential Life Corp. 600 10,800
Progressive Corp. 2,000 204,000
Protective Life Corp. 1,886 56,109
Radian Group, Inc. 2,666 123,469
Reinsurance Group of America, 1,000 32,000
Inc.
Reliance Group Holdings, Inc. 3,400 16,150
Reliastar Financial Corp. 2,600 117,163
SAFECO Corp. 6,400 228,000
Selective Insurance Group, 200 3,563
Inc.
St. Paul Companies, Inc. (The) 9,706 311,199
Stewart Information Services 400 8,325
Corp.
Torchmark Corp. 4,100 116,850
Transatlantic Holdings, Inc. 800 57,700
Travelers Property Casualty 3,600 127,800
Corp. Class A
UICI (a) 1,400 36,838
Unitrin, Inc. 2,000 71,875
UnumProvident Corp. 7,393 266,610
Vesta Insurance Group Corp. 900 4,331
19,208,614
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
FINANCE - CONTINUED
SAVINGS & LOANS - 0.6%
Ambanc Holding Co., Inc. 300 $ 4,781
Astoria Financial Corp. 4,375 143,828
Bank Plus Corp. (a) 1,100 5,019
Bank United Corp. Class A 3,100 106,369
BankUnited Financial Corp. 500 4,781
Class A (a)
Bay View Capital Corp. 500 8,156
Bedford Bancshares, Inc. 300 4,313
BSB Bancorp, Inc. 100 2,494
CFS Bancorp, Inc. 800 8,550
Charter One Financial, Inc. 8,309 194,483
Commercial Federal Corp. 3,750 87,188
Dime Bancorp, Inc. 3,300 60,638
Golden State Bancorp, Inc. (a) 3,836 76,960
Golden West Financial Corp. 2,800 254,275
Independence Community Bank 3,300 40,838
Corp.
Net.B@nk, Inc. (a) 2,800 65,100
Ocwen Financial Corp. (a) 1,900 12,706
People's Bank 300 7,875
Provident Bancshares Corp. 735 17,732
Queens County Bancorp, Inc. 900 24,750
Reliance BanCorp, Inc. 300 10,369
Republic Security Financial 1,800 17,213
Corp.
Roslyn Bancorp, Inc. 7,860 133,620
Sovereign Bancorp, Inc. 11,894 119,312
St. Paul Bancorp, Inc. 3,600 78,300
Sterling Financial Corp. (a) 100 1,575
TCF Financial Corp. 5,000 141,250
USABancShares, Inc. (a) 3,900 37,781
Washington Federal, Inc. 3,921 93,614
Washington Mutual, Inc. 22,840 725,170
Webster Financial Corp. 5,468 147,294
Westernbank Puerto Rico 1,400 16,800
2,653,134
SECURITIES INDUSTRY - 1.4%
4 Kids Entertainment, Inc. (a) 1,050 67,528
Acacia Research Corp. (a) 400 3,000
Affiliated Managers Group, 100 2,669
Inc. (a)
Alliance Capital Management LP 3,300 86,006
American Capital Strategies 300 5,194
Ltd.
Ameritrade Holding Corp. 4,800 97,800
Class A (a)
Bear Stearns Companies, Inc. 5,095 212,079
Donaldson Lufkin & Jenrette, 6,800 325,125
Inc. - DLJdirect
E*Trade Group, Inc. (a) 7,200 180,000
Edwards (A.G.), Inc. 4,900 123,113
Everen Capital Corp. 2,000 60,750
Franklin Resources, Inc. 9,000 323,438
Friedman, Billings, Ramsey 2,500 17,188
Group, Inc. Class A (a)
Goldman Sachs Group, Inc. 3,600 215,325
Hambrecht & Quist Group (a) 1,800 68,738
SHARES VALUE (NOTE 1)
Investment Technology Group, 776 $ 21,146
Inc.
JB Oxford Holdings, Inc. (a) 400 3,425
Jefferies Group, Inc. 1,900 47,025
Kansas City Southern 4,300 199,144
Industries, Inc.
Knight/Trimark Group, Inc. 2,400 78,600
Class A (a)
Leap Wireless International, 2,800 48,650
Inc. (a)
Legg Mason, Inc. 1,600 61,100
Lehman Brothers Holdings, 3,200 172,000
Inc.
Macrovision Corp. (a) 1,600 53,500
Market Guide, Inc. (a) 300 4,950
Merrill Lynch & Co., Inc. 12,100 902,963
Meyerson & Co., Inc. (a) 1,900 7,541
Morgan Stanley Dean Witter & 19,200 1,647,600
Co.
National Discount Brokers 1,200 36,675
Group, Inc. (a)
Nvest LP 100 2,244
PaineWebber Group, Inc. 5,050 198,213
PIMCO Advisors Holdings LP 3,767 132,787
unit
Pioneer Group, Inc. (a) 1,000 15,063
Price (T. Rowe) Associates, 5,500 170,156
Inc.
Raymond James Financial, Inc. 1,450 28,366
Schwab (Charles) Corp. 27,300 1,078,350
Security Capital Group, Inc. 2,000 28,125
Class B (a)
Siebert Financial Corp. 1,500 26,438
Southwest Securities Group, 990 33,413
Inc.
United Asset Management Corp. 2,800 54,775
Waddell & Reed Financial, 1,979 44,899
Inc. Class A
Wit Capital Group, Inc. (a) 2,000 38,750
6,923,851
TOTAL FINANCE 72,376,321
HEALTH - 10.2%
DRUGS & PHARMACEUTICALS - 6.7%
Advanced Tissue Sciences, 1,500 5,531
Inc. (a)
Alexion Pharmaceuticals, Inc. 200 2,675
(a)
Algos Pharmaceutical Corp. (a) 500 4,156
Alkermes, Inc. (a) 900 33,413
Allergan Specialty 15 184
Therapeutics, Inc. Class A
(a)
Allergan, Inc. 2,700 269,663
Alpharma, Inc. Class A 2,300 77,913
ALZA Corp. Class A. (a) 4,420 222,658
American Home Products Corp. 43,700 1,813,550
Amgen, Inc. (a) 17,000 1,414,188
Andrx Corp. (a) 1,100 79,063
Anesta Corp. (a) 1,800 20,700
Arqule, Inc. (a) 400 2,075
Aviron (a) 1,700 47,706
AXYS Pharmaceuticals, Inc. (a) 1,835 7,684
Barr Laboratories, Inc. (a) 800 27,600
Bausch & Lomb, Inc. 1,600 105,700
Bio-Technology General Corp. 1,900 19,356
(a)
Biogen, Inc. (a) 4,500 345,375
Biomatrix, Inc. (a) 1,800 35,325
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
HEALTH - CONTINUED
DRUGS & PHARMACEUTICALS -
CONTINUED
BioTime, Inc. (a) 400 $ 5,125
Bristol-Myers Squibb Co. 67,500 4,750,313
Cambrex Corp. 800 21,500
Catalytica, Inc. (a) 500 7,844
Celgene Corp. (a) 600 10,238
Cell Genesys, Inc. (a) 1,400 12,425
Centocor, Inc. (a) 3,000 179,625
Cephalon, Inc. (a) 200 3,788
Chattem, Inc. (a) 400 9,650
Chirex, Inc. (a) 1,400 42,350
Chiron Corp. (a) 8,100 260,213
Columbia Laboratories, Inc. 1,300 8,288
(a)
COR Therapeutics, Inc. (a) 800 17,450
Coulter Pharmaceutical, Inc. 500 9,969
(a)
Creative Biomolecules, Inc. 100 363
(a)
Curative Health Services, 1,000 5,500
Inc. (a)
Cytyc Corp. (a) 200 6,750
Dura Pharmaceuticals, Inc. (a) 4,000 53,250
Duramed Pharmaceuticals, Inc. 2,000 20,500
(a)
EntreMed, Inc. (a) 500 10,438
Enzo Biochem, Inc. (a) 705 16,259
Enzon, Inc. (a) 1,200 40,500
Forest Laboratories, Inc. (a) 7,600 368,600
GelTex Pharmaceuticals, Inc. 2,000 27,000
(a)
Genzyme Corp. 483 3,140
Genzyme Corp.:
(General Division) 3,600 203,175
(Molecular Oncology) (a) 918 4,131
Geron Corp. (a) 900 9,731
Gilead Sciences, Inc. (a) 1,505 117,296
Gliatech, Inc. (a) 300 6,056
Guilford Pharmaceuticals, 300 4,050
Inc. (a)
Hemispherx Biopharma, Inc. (a) 800 4,900
Herbalife International, Inc. 433 5,196
Class A
Hollis-Eden Pharmaceutcals, 1,300 17,225
Inc. (a)
Human Genome Sciences, Inc. 1,700 115,706
(a)
ICN Pharmaceuticals, Inc. 2,200 45,650
ICOS Corp. (a) 2,300 73,169
IDEC Pharmaceuticals Corp. (a) 1,100 139,769
Idexx Laboratories, Inc. (a) 1,200 20,400
IGEN International, Inc. (a) 400 9,500
Imclone Systems, Inc. (a) 1,100 31,900
Immunex Corp. (a) 4,900 329,831
Incyte Pharmaceuticals, Inc. 1,700 48,238
(a)
Inhale Therapeutic Systems, 1,100 36,231
Inc. (a)
International Isotopes, Inc. 100 750
(a)
Isis Pharmaceuticals Co. (a) 1,000 10,125
Jones Pharma, Inc. 2,850 77,128
King Pharmaceuticals, Inc. (a) 2,500 86,563
Kos Pharmaceuticals, Inc. (a) 900 5,231
Ligand Pharmaceuticals, Inc. 900 6,075
Class B (a)
SHARES VALUE (NOTE 1)
Lilly (Eli) & Co. 37,100 $ 2,768,588
MacroChem Corp. (a) 4,700 32,166
Matrix Pharmaceutical, Inc. 6,200 22,088
(a)
Medicis Pharmaceutical Corp. 750 20,438
Class A (a)
Medimmune, Inc. (a) 2,200 227,013
Merck & Co., Inc. 80,600 5,415,313
Microvision, Inc. (a) 1,300 21,288
Millennium Pharmaceuticals, 2,200 129,663
Inc. (a)
Mylan Laboratories, Inc. 6,000 118,875
Nature's Sunshine Products, 100 975
Inc.
NBTY, Inc. (a) 4,900 39,813
NeoRX Corp. (a) 700 1,378
NeoTherapeutics, Inc. (a) 300 2,794
Organogenesis, Inc. (a) 950 7,600
PAREXEL International Corp. 1,800 17,775
(a)
PathoGenesis Corp. (a) 900 15,750
PE Corp. (Celera Genomics 3,959 113,821
Group) (a)
Pfizer, Inc. 132,700 5,009,425
Pharmaceutical Product 1,900 38,475
Development, Inc. (a)
Pharmacyclics, Inc. (a) 400 11,300
PharmaPrint, Inc. (a) 300 1,444
Protein Design Labs, Inc. 600 15,975
Pure World, Inc. 330 1,196
Quintiles Transnational Corp. 7,466 267,376
(a)
Rexall Sundown, Inc. (a) 5,200 65,000
Roberts Pharmaceutical Corp. 2,500 67,031
(a)
Sangstat Medical Corp. (a) 1,800 37,125
Schering-Plough Corp. 51,600 2,712,225
Scios, Inc. (a) 2,400 8,850
Sepracor, Inc. (a) 1,600 119,800
Serologicals Corp. (a) 3,450 21,994
Sigma-Aldrich Corp. 5,100 164,475
SkyePharma PLC rights 100 0
12/31/99 (a)
SonoSight, Inc. (a) 333 9,241
Sugen, Inc. (a) 1,500 46,875
Technical Chemicals & 100 116
Products, Inc. (a)
Texas Biotechnology Corp. (a) 100 394
Theragenics Corp. (a) 1,300 12,756
Transkaryotic Therapies, Inc. 1,200 47,250
(a)
Trimeris, Inc. (a) 1,200 29,475
Twinlab Corp. (a) 1,200 10,612
Ventana Medical Systems, Inc. 1,700 27,200
(a)
Vertex Pharmaceuticals, Inc. 800 22,200
(a)
Vical, Inc. (a) 400 5,350
ViroPharma, Inc. (a) 2,300 39,963
Vivus, Inc. (a) 4,700 15,128
Warner-Lambert Co. 30,100 1,994,125
Watson Pharmaceuticals, Inc. 4,539 162,837
(a)
XOMA Ltd. (a) 6,500 29,656
Zonagen, Inc. (a) 600 2,400
31,786,226
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
HEALTH - CONTINUED
MEDICAL EQUIPMENT & SUPPLIES
- - 3.0%
Abbott Laboratories 53,900 $ 2,337,913
Acuson Corp. (a) 900 14,175
ADAC Laboratories (a) 1,900 11,163
ALARIS Medical, Inc. (a) 2,200 7,288
AmeriSource Health Corp. 3,500 90,344
Class A (a)
Arthrocare Corp. (a) 700 25,069
Bacou USA, Inc. (a) 600 10,800
Ballard Medical Products 1,200 29,400
Bard (C.R.), Inc. 1,600 74,600
Baxter International, Inc. 11,100 744,394
Becton, Dickinson & Co. 10,200 286,875
Bergen Brunswig Corp. Class A 3,827 59,079
Bindley Western Industries, 888 14,874
Inc.
Bio-Rad Laboratories, Inc. 100 2,663
Class A (a)
Bio-Vascular, Inc. (a) 1,000 2,875
Biomet, Inc. 5,200 185,900
Boston Scientific Corp. (a) 12,300 417,431
BriteSmile, Inc. (a) 2,800 26,250
Cardinal Health, Inc. 9,868 629,085
Closure Medical Corp. (a) 1,400 19,950
Coherent, Inc. (a) 700 13,256
Colorado Medtech, Inc. (a) 2,000 38,250
CONMED Corp. (a) 1,500 42,000
Cooper Companies, Inc. 100 2,394
Cyberonics, Inc. (a) 700 12,994
Cygnus, Inc. (a) 100 1,169
Datascope Corp. 500 15,625
Dentsply International, Inc. 3,700 91,806
Eclipse Surgical Technologies 300 4,313
(a)
Guidant Corp. 9,500 557,531
Haemonetics Corp. (a) 800 15,650
Heartport, Inc. (a) 1,300 3,006
Henry Schein, Inc. (a) 1,300 22,181
Hillenbrand Industries, Inc. 1,900 54,150
Hologic, Inc. (a) 500 2,469
I-Stat Corp. (a) 100 1,063
Imatron, Inc. (a) 1,500 1,875
Interpore International (a) 1,100 7,081
Invacare Corp. 2,800 52,325
Johnson & Johnson 46,700 4,775,075
KeraVision, Inc. (a) 900 14,175
LaserSight, Inc. (a) 1,700 21,038
Mallinckrodt, Inc. 2,100 67,331
McKesson HBOC, Inc. 7,957 247,662
Medtronic, Inc. 19,184 1,501,148
Mentor Corp. 600 14,025
Millipore Corp. 2,600 98,150
MiniMed, Inc. (a) 800 72,750
NCS HealthCare, Inc. (a) 1,000 3,625
Neoprobe Corp. (a) 100 53
Novoste Corp. (a) 500 10,969
SHARES VALUE (NOTE 1)
Oakley, Inc. (a) 2,300 $ 14,088
Ocular Sciences, Inc. (a) 2,600 42,738
OEC Medical Systems, Inc. (a) 2,100 72,450
Omnicare, Inc. 7,200 69,300
Osteotech, Inc. (a) 2,050 42,281
Pall Corp. 3,700 73,538
Patterson Dental Co. (a) 2,600 106,600
Perclose, Inc. (a) 1,100 58,231
Perrigo Co. (a) 3,000 23,813
PLC Systems, Inc. (a) 400 1,225
Priority Healthcare Corp. (a) 1,897 53,353
PSS World Medical, Inc. (a) 3,700 33,069
Quigley Corp. (a) 700 3,456
Resmed, Inc. (a) 1,100 30,525
Respironics, Inc. (a) 500 4,969
Sabratek Corp. (a) 1,500 5,813
Schick Technologies, Inc. (a) 1,800 3,825
Sonus Pharmaceuticals, Inc. 200 738
(a)
Spacelabs Medical, Inc. (a) 500 7,750
St. Jude Medical, Inc. (a) 2,472 89,610
Steris Corp. (a) 2,000 25,125
Stryker Corp. 2,700 155,588
Summit Technology Inc. (a) 900 14,400
Sunrise Technologies, Inc. (a) 6,600 28,050
Sybron International, Inc. (a) 3,000 77,250
Techne Corp. (a) 1,100 34,100
Thermo Cardiosystems, Inc. (a) 1,200 10,050
Uromed Corp. (a) 20 24
Varian Medical Systems, Inc. 1,000 21,625
VISX, Inc. (a) 1,800 162,900
Wesley Jessen Visioncare, 1,600 49,100
Inc. (a)
Xomed Surgical Products, Inc. 1,350 79,397
(a)
Zila, Inc. (a) 4,300 13,572
Zoll Medical Corp. (a) 2,100 52,763
14,216,583
MEDICAL FACILITIES MANAGEMENT
- - 0.5%
Advance Paradigm, Inc. (a) 400 21,200
American Healthcorp, Inc. (a) 100 669
American HomePatient, Inc. (a) 1,300 1,138
AmeriPath, Inc. (a) 900 8,438
Amsurg Corp. Class A (a) 9 66
Apria Healthcare Group, Inc. 1,400 23,625
(a)
ARV Assisted Living, Inc. (a) 100 306
Beverly Enterprises, Inc. (a) 1,000 5,000
Carematrix Corp. (a) 2,800 22,750
Columbia/HCA Healthcare Corp. 18,400 453,100
Covance, Inc. (a) 3,800 61,038
Coventry Health Care, Inc. (a) 300 3,019
Foundation Health Systems, 3,500 44,625
Inc. Class A (a)
Genesis Health Ventures, Inc. 1,700 4,356
(a)
HCR Manor Care, Inc. (a) 3,300 64,556
Health Management Associates, 13,750 110,000
Inc. Class A (a)
HEALTHSOUTH Corp. (a) 10,219 83,668
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
HEALTH - CONTINUED
MEDICAL FACILITIES MANAGEMENT
- - CONTINUED
Humana, Inc. (a) 4,600 $ 41,688
IMPATH, Inc. (a) 300 8,175
Innovative Clinical Solutions 200 244
Ltd. (a)
Integrated Health Services, 2,200 6,738
Inc. (a)
Laser Vision Centers, Inc. (a) 1,600 38,300
LCA-Vision, Inc. (a) 2,700 18,056
Lifepoint Hospitals, Inc. (a) 4,163 28,621
Lincare Holdings, Inc. 3,800 100,225
Mariner Post-Acute Network, 5,100 2,869
Inc. (a)
Medical Resources, Inc. (a) 66 93
Medquist, Inc. (a) 2,200 76,588
Mid-Atlantic Medical 1,600 13,500
Services, Inc. (a)
NovaCare, Inc. (a) 300 338
Orthodontic Centers of 3,900 63,375
America, Inc. (a)
Oxford Health Plans, Inc. (a) 2,300 35,650
PacifiCare Health Systems, 1,100 66,000
Inc. Class A (a)
Pediatrix Medical Group (a) 1,300 19,419
Phycor, Inc. (a) 1,800 7,313
Province Healthcare Co. (a) 600 9,450
Quest Diagnostics, Inc. (a) 900 23,794
Quorum Health Group, Inc. (a) 8,100 71,381
Renal Care Group, Inc. (a) 3,750 71,719
Res-Care, Inc. (a) 2,400 45,300
Sun Healthcare Group, Inc. (a) 2,900 957
Sunrise Assisted Living, Inc. 2,300 57,356
(a)
Tenet Healthcare Corp. (a) 8,700 151,706
Total Renal Care Holdings, 2,267 18,278
Inc. (a)
Triad Hospitals, Inc. (a) 4,763 53,286
Trigon Healthcare, Inc. (a) 3,100 112,569
United HealthCare Corp. 5,600 340,550
Universal Health Services, 2,700 90,113
Inc. Class B (a)
Urologix, Inc. (a) 1,000 3,625
US Oncology, Inc. (a) 482 4,941
Wellpoint Health Networks, 1,900 138,463
Inc. (a)
2,628,234
TOTAL HEALTH 48,631,043
HOLDING COMPANIES - 0.0%
Leucadia National Corp. 1,300 27,544
Triarc Companies, Inc. Class 775 16,275
A (a)
43,819
INDUSTRIAL MACHINERY &
EQUIPMENT - 4.5%
ELECTRICAL EQUIPMENT - 3.4%
Adaptive Broadband Corp. (a) 600 19,125
Adtran, Inc. (a) 2,100 80,063
Advanced Lighting 1,000 8,125
Technologies, Inc. (a)
Allen Telecom, Inc. (a) 900 7,594
SHARES VALUE (NOTE 1)
American Power Conversion 8,000 $ 140,500
Corp. (a)
AMETEK, Inc. 1,000 20,813
Andrea Electronics Corp. (a) 500 3,563
Anicom, Inc. (a) 100 619
ANTEC Corp. (a) 2,300 104,794
Avid Technology, Inc. (a) 1,600 20,200
BMC Industries, Inc. 900 11,081
Cymer, Inc. (a) 2,000 69,875
Emerson Electric Co. 15,943 998,430
General Electric Co. 112,703 12,657,956
General Instrument Corp. (a) 5,000 245,938
Genlyte Group, Inc. (a) 300 7,350
Grainger (W.W.), Inc. 4,400 191,675
Harris Corp. 2,200 57,750
Honeywell, Inc. 4,600 522,100
Hubbell, Inc. Class B 3,100 120,319
Hughes Supply, Inc. 600 13,950
IEC Electronics Corp. (a) 100 313
L-3 Communications Holdings, 1,400 55,563
Inc. (a)
Littelfuse, Inc. (a) 800 15,900
MagneTek, Inc. (a) 1,000 9,250
Oak Industries, Inc. (a) 1,500 47,063
Omnipoint Corp. (a) 1,600 64,800
Ortel Corp. (a) 300 5,531
Pinnacle Systems (a) 1,600 52,200
Powerwave Technologies, Inc. 1,600 67,900
(a)
Rofin Sinar Technologies, 300 1,950
Inc. (a)
Roper Industries, Inc. 800 28,650
Scientific-Atlanta, Inc. 2,200 112,750
Sensormatic Electronics Corp. 9,700 113,369
(a)
SLI, Inc. (a) 350 8,575
Smith (A.O.) Corp. Class B 750 20,344
Spectrian Corp. (a) 800 11,800
Teleflex, Inc. 1,100 51,150
Thomas & Betts Corp. 1,700 76,500
ViewCast.com, Inc. (a) 3,200 21,800
Zoltek Companies, Inc. (a) 800 6,150
16,073,378
INDUSTRIAL MACHINERY &
EQUIPMENT - 0.9%
AGCO Corp. 4,000 41,250
Allied Products Corp. 800 3,700
Applied Industrial 700 10,544
Technologies, Inc.
Applied Power, Inc. Class A 2,500 76,563
Astec Industries, Inc. (a) 600 20,325
BOLDER Technologies Corp. (a) 400 3,675
Briggs & Stratton Corp. 800 48,700
Brooks Automation, Inc. (a) 400 8,700
Case Corp. 3,400 167,875
Caterpillar, Inc. 14,200 804,075
Cooper Industries, Inc. 4,600 238,625
CUNO, Inc. (a) 400 8,250
Deere & Co. 9,300 361,538
Dover Corp. 9,900 383,006
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
INDUSTRIAL MACHINERY &
EQUIPMENT - CONTINUED
INDUSTRIAL MACHINERY &
EQUIPMENT - CONTINUED
DT Industries, Inc. 300 $ 2,138
Exide Corp. 1,000 11,063
Flow International Corp. (a) 600 6,450
FSI International, Inc. (a) 1,000 6,438
Harnischfeger Industries, 14,500 20,844
Inc.
Hirsch International Corp. 900 1,575
Class A (a)
Ibis Technology Corp. (a) 1,000 32,000
Illinois Tool Works, Inc. 7,800 607,913
Ingersoll-Rand Co. 6,500 413,563
Ionics, Inc. (a) 500 14,625
ITT Industries, Inc. 4,000 135,250
JLG Industries, Inc. 2,200 39,050
JLK Direct Distribution, Inc. 300 2,456
Class A (a)
Kaydon Corp. 900 27,619
Kennametal, Inc. 2,300 60,950
Manitowoc Co., Inc. 750 27,797
Mark IV Industries, Inc. 2,500 49,531
Milacron, Inc. 600 10,800
MSC Industrial Direct, Inc. 2,700 25,819
(a)
Nordson Corp. 600 29,494
Parker-Hannifin Corp. 3,100 135,625
Plasma-Therm, Inc. (a) 100 328
PRI Automation, Inc. (a) 1,700 48,663
Robotic Vision Systems, Inc. 100 397
(a)
SpeedFam-IPEC, Inc. (a) 2,442 24,115
The Stanley Works 2,400 63,300
Stewart & Stevenson Services, 1,000 11,875
Inc.
Tenneco, Inc. 6,300 126,788
Terex Corp. (a) 2,300 61,813
Timken Co. 1,300 22,831
Tyco International Ltd. 1 101
UCAR International, Inc. (a) 1,400 34,125
Ultratech Stepper, Inc. (a) 1,000 13,375
Valmont Industries, Inc. 700 11,113
Varian Semiconductor 3,500 79,625
Equipment Associates, Inc.
(a)
Veeco Instruments, Inc. (a) 1,500 50,344
4,386,619
POLLUTION CONTROL - 0.2%
Allied Waste Industries, Inc. 3,325 42,394
(a)
Aquagenix, Inc. (a) 100 22
Casella Waste Systems, Inc. 1,100 18,700
Class A (a)
Flanders Corp. (a) 300 825
Ogden Corp. 1,500 34,125
Republic Services, Inc. Class 5,100 55,463
A (a)
Safety-Kleen Corp. (a) 2,560 32,640
Tetra Tech, Inc. (a) 2,625 42,164
SHARES VALUE (NOTE 1)
Waste Connections, Inc. (a) 1,900 $ 40,969
Waste Management, Inc. 21,252 463,559
730,861
TOTAL INDUSTRIAL MACHINERY & 21,190,858
EQUIPMENT
MEDIA & LEISURE - 5.1%
BROADCASTING - 2.2%
5Th Avenue Channel Corp. (a) 700 1,881
Adelphia Communications Corp. 1,200 74,400
Class A (a)
American Tower Corp. Class A 4,300 97,825
(a)
AMFM, Inc. (a) 8,489 418,083
BHC Communications, Inc. 600 78,900
Class A
Cablevision Systems Corp. 3,100 217,000
Class A (a)
CAIS Internet, Inc. 3,700 44,863
CBS Corp. (a) 23,200 1,090,400
CD Radio, Inc. (a) 700 22,706
Century Communications Corp. 2,100 97,913
Class A (a)
Chris-Craft Industries, Inc. 1,030 52,144
Citadel Communications Corp. 2,200 81,675
(a)
Clear Channel Communications, 11,639 815,457
Inc. (a)
Comcast Corp. Class A 23,800 776,475
(special)
Cox Communications, Inc. 19,701 732,631
Class A (a)
Cox Radio, Inc. Class A (a) 800 42,400
Cumulus Media, Inc. (a) 400 11,150
E.W. Scripps Co. Class A 2,100 100,800
EchoStar Communications Corp. 1,000 83,625
Class A (a)
Emmis Broadcasting 1,400 79,100
Communications Corp. Class A
(a)
Hearst-Argyle Television, 1,527 38,652
Inc. (a)
Hispanic Broadcasting Corp. 2,200 164,450
(a)
Infinity Broadcasting Corp. 5,200 140,725
Class A
Jones Intercable, Inc. Class 1,900 83,363
A (a)
MediaOne Group, Inc. 21,500 1,413,625
Metro One Telecommunications, 1,000 14,000
Inc. (a)
Metromedia International 2,200 13,750
Group, Inc. (a)
NorthPoint Communication 4,300 113,681
Holdings, Inc.
NTL, Inc. (a) 2,900 284,744
PanAmSat Corp. (a) 500 18,469
Paxson Communications Corp. 1,700 24,438
(a)
Pegasus Communications Corp. 500 21,000
(a)
Radio One, Inc. (a) 1,400 58,363
Sinclair Broadcast Group, 3,500 56,875
Inc. Class A (a)
TCI Satellite Entertainment, 6,000 21,375
Inc. Class A (a)
Time Warner, Inc. 40,000 2,372,500
TV Guide, Inc. (a) 2,200 61,050
UnitedGlobalCom, Inc. (a) 900 65,925
Univision Communications, 2,400 177,000
Inc. Class A (a)
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
MEDIA & LEISURE - CONTINUED
BROADCASTING - CONTINUED
USA Networks, Inc. (a) 3,712 $ 166,576
ValueVision International, 2,300 54,913
Inc. (a)
Westwood One, Inc. (a) 1,000 38,375
Young Broadcasting, Inc. 1,200 72,225
Class A (a)
10,395,502
ENTERTAINMENT - 1.1%
Alliance Gaming Corp. (a) 28 179
American Bingo & Gaming Corp. 2,100 2,231
(a)
American Classic Voyages Co. 500 10,188
(a)
American Coin Merchandising, 100 406
Inc. (a)
AMF Bowling, Inc. (a) 2,000 8,000
Bally Total Fitness Holding 700 22,444
Corp. (a)
Brilliant Digital 500 1,813
Entertainment, Inc. (a)
Carmike Cinemas, Inc. Class A 200 2,700
(a)
Carnival Corp. 22,500 1,005,469
Cedar Fair LP (depository 100 2,181
unit)
Disney (Walt) Co. 69,200 1,920,300
Family Golf Centers, Inc. (a) 2,700 3,375
Fox Entertainment Group, Inc. 9,600 221,400
Hollywood Entertainment Corp. 1,300 17,631
(a)
Image Entertainment, Inc. (a) 700 3,194
International Speedway Corp. 1,300 66,219
Class A
K-Tel International, Inc. (a) 500 2,766
King World Productions, Inc. 4,100 156,313
(a)
Kushner Locke Co. (a) 1,500 6,375
Mandalay Resort Group (a) 5,000 102,500
MGM Grand, Inc. (a) 1,101 54,087
Park Place Entertainment 11,500 130,094
Corp.
Pixar (a) 1,300 44,281
Platinum Entertainment, Inc. 500 2,406
(a)
Premier Parks, Inc. (a) 2,200 72,050
Rentrak Corp. (a) 600 3,131
SFX Entertainment, Inc. Class 1,500 61,781
A (a)
Speedway Motorsports, Inc. (a) 1,200 44,775
Ticketmaster Online 1,800 46,125
CitySearch, Inc.
Viacom, Inc. Class B 22,500 946,406
(non-vtg.) (a)
Visual Data Corp. (a) 100 913
Zomax, Inc. (a) 2,000 45,625
5,007,358
LEISURE DURABLES & TOYS - 0.2%
Adams Golf, Inc. (a) 400 1,188
Arctic Cat, Inc. 1,000 9,438
Authentic Fitness Corp. 100 1,731
Brunswick Corp. 2,700 69,019
Callaway Golf Co. 3,900 38,756
Champion Enterprises, Inc. (a) 1,500 12,750
Coachmen Industries, Inc. 300 4,744
Coleman, Inc. (a) 300 2,756
Harley-Davidson, Inc. 4,300 234,350
SHARES VALUE (NOTE 1)
Hasbro, Inc. 9,750 $ 238,266
JAKKS Pacific, Inc. (a) 1,300 39,325
K2, Inc. 700 6,388
Mattel, Inc. 14,416 307,241
National R.V. Holdings, Inc. 300 7,238
(a)
Polaris Industries, Inc. 900 32,344
Silicon Gaming, Inc. (a) 100 29
T-HQ, Inc. (a) 300 9,488
West Marine, Inc. (a) 600 5,363
1,020,414
LODGING & GAMING - 0.2%
Anchor Gaming (a) 800 38,875
Aztar Corp. (a) 400 3,675
Boyd Gaming Corp. (a) 300 1,613
Championship Auto Racing 1,900 63,056
Teams, Inc. (a)
Extended Stay America, Inc. 2,800 25,200
(a)
Florida Panthers Holdings, 100 994
Inc. Class A (a)
Gtech Holdings Corp. (a) 1,200 30,300
Harrah's Entertainment, Inc. 1,900 42,750
(a)
Hilton Hotels Corp. 7,500 91,875
International Game Technology 4,300 75,250
Interstate Hotels Corp. (a) 127 460
Lodgian, Inc. (a) 300 1,313
Marriott International, Inc. 6,900 236,325
Class A
Mirage Resorts, Inc. (a) 8,800 114,950
Prime Hospitality Corp. (a) 1,900 17,694
Promus Hotel Corp. (a) 4,800 139,500
Starwood Hotels & Resorts 7,583 180,570
Worldwide, Inc.
Station Casinos, Inc. (a) 300 6,075
Suburban Lodges of America, 200 1,238
Inc. (a)
Sunterra Corp. (a) 500 6,594
Trump Hotels & Casino 700 3,456
Resorts, Inc. (a)
WMS Industries, Inc. (a) 1,300 14,138
1,095,901
PUBLISHING - 0.7%
American Greetings Corp. 3,100 85,831
Class A
Applied Graphics 860 7,740
Technologies, Inc. (a)
Banta Corp. 1,200 28,200
Belo (A.H.) Corp. Class A 3,200 60,600
Central Newspapers, Inc. 800 33,850
Class A
Dow Jones & Co., Inc. 2,700 135,675
Gannet, Inc. 10,600 720,138
Gibson Greetings, Inc. (a) 400 1,575
Harcourt General, Inc. 2,100 92,006
Harte Hanks Communications, 1,200 26,925
Inc.
Hollinger International, Inc. 6,900 74,175
Class A
Houghton Mifflin Co. 900 42,975
Journal Register Co. (a) 300 4,613
Knight-Ridder, Inc. 4,000 215,750
Lee Enterprises, Inc. 1,300 37,294
The McClatchy Co. Class A 1,300 44,931
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
MEDIA & LEISURE - CONTINUED
PUBLISHING - CONTINUED
McGraw-Hill Companies, Inc. 8,600 $ 444,513
Meredith Corp. 1,500 52,031
New York Times Co. (The) 5,400 210,938
Class A
Penton Media, Inc. 3,000 41,250
PRIMEDIA, Inc. (a) 3,200 44,200
Reader's Digest Association, 3,000 93,750
Inc. Class A (non-vtg.)
Scholastic Corp. (a) 500 19,813
Times Mirror Co. Class A 3,800 219,450
Tribune Co. 4,900 457,231
Washington Post Co. Class B 300 161,700
John Wiley & Sons, Inc. Class 1,800 29,250
A
Ziff-Davis, Inc. (a) 3,000 46,313
3,432,717
RESTAURANTS - 0.7%
Applebee's International, 2,500 77,656
Inc.
Avado Brands, Inc. 800 5,500
Bob Evans Farms, Inc. 4,800 97,800
Boston Chicken, Inc. (a) 400 140
Brinker International, Inc. 5,900 141,600
(a)
Buca, Inc. 300 3,525
Buffets, Inc. (a) 4,700 52,581
CBRL Group, Inc. 6,400 84,000
CEC Entertainment, Inc. (a) 750 20,906
Cheesecake Factory, Inc. (a) 1,250 37,813
CKE Restaurants, Inc. 1,711 13,795
Darden Restaurants, Inc. 4,000 62,500
Dave & Busters, Inc. (a) 1,700 19,975
Einstein/Noah Bagel Corp. (a) 100 72
Fine Host Corp. (a) 500 150
Foodmaker, Inc. (a) 1,200 27,675
Landry's Seafood Restaurants, 1,500 12,750
Inc. (a)
Lone Star Steakhouse Saloon 7,800 59,475
(a)
McDonald's Corp. 45,100 1,866,013
O Charleys, Inc. (a) 150 2,306
Outback Steakhouse, Inc. (a) 2,200 65,175
Papa John's International, 2,500 99,375
Inc. (a)
Planet Hollywood 500 125
International, Inc. Class A
(a)
Prandium, Inc. (a) 1,100 451
Rainforest Cafe, Inc. (a) 1,350 8,859
Rare Hospitality 1,700 33,469
International, Inc. (a)
Ryan's Family Steak Houses, 1,200 11,625
Inc. (a)
Schlotzskys, Inc. (a) 100 956
Sodexho Marriott Services, 3,800 53,675
Inc. (a)
Sonic Corp. (a) 550 16,844
Starbucks Corp. (a) 8,200 187,575
SHARES VALUE (NOTE 1)
Tricon Global Restaurants, 5,900 $ 239,688
Inc. (a)
Wendy's International, Inc. 5,000 140,000
3,444,049
TOTAL MEDIA & LEISURE 24,395,941
NONDURABLES - 6.3%
AGRICULTURE - 0.1%
Delta & Pine Land Co. 1,100 31,144
Northland Cranberries, Inc. 200 1,344
Class A
Pioneer Hi-Bred 9,000 352,125
International, Inc.
384,613
BEVERAGES - 1.9%
Anheuser-Busch Companies, 17,200 1,324,400
Inc.
Beringer Wine Estates 1,300 54,113
Holdings, Inc. Class B (a)
Brown-Forman Corp. Class B 1,100 64,625
Canandaigua Wine, Inc. Class 1,500 86,813
A (a)
Celestial Seasonings, Inc. (a) 200 3,975
Coca-Cola Co. (The) 85,300 5,102,006
Coca-Cola Enterprises, Inc. 12,400 352,625
Coors (Adolph) Co. Class B 1,000 57,063
M & F Worldwide Corp. (a) 100 856
Mondavi (Robert) Corp. Class 500 17,281
A (a)
Pepsi Bottling Group, Inc. 4,500 85,219
PepsiCo, Inc. 52,500 1,791,563
Whitman Corp. 2,300 38,381
8,978,920
FOODS - 1.6%
Agribrands International, 240 11,670
Inc. (a)
American Italian Pasta Co. 500 14,000
Class A (a)
Archer-Daniels-Midland Co. 25,861 336,193
Balance Bar Co. (a) 100 544
Bestfoods 11,400 560,025
Campbell Soup Co. 16,200 715,838
Chiquita Brands 800 5,300
International, Inc.
ConAgra, Inc. 13,900 340,550
Corn Products International, 2,600 84,663
Inc.
Dean Foods Co. 2,600 104,650
Dole Food Co., Inc. 1,900 47,856
Earthgrains Co. 3,100 74,788
Flowers Industries, Inc. 7,200 113,850
Gardenburger, Inc. (a) 400 2,800
General Mills, Inc. 6,400 536,000
Heinz (H.J.) Co. 12,800 597,600
Hershey Foods Corp. 4,100 219,606
Hormel Foods Corp. 2,100 84,525
IBP, Inc. 5,800 133,038
International Home Foods, 2,200 44,000
Inc. (a)
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
NONDURABLES - CONTINUED
FOODS - CONTINUED
International Multifoods 600 $ 13,613
Corp.
Interstate Bakeries Corp. 5,100 122,081
Keebler Foods Co. (a) 4,800 143,100
Kellogg Co. 12,900 458,756
Lancaster Colony Corp. 3,850 126,569
Lance, Inc. 800 10,400
McCormick & Co., Inc. 4,100 131,200
(non-vtg.)
Michael Foods, Inc. 700 19,381
Nabisco Group Holdings Corp. 13,700 243,175
Nabisco Holdings Corp. Class A 3,800 149,388
Quaker Oats Co. 5,800 387,513
Ralcorp Holdings, Inc. 880 14,410
Ralston Purina Co. 9,500 261,250
Sara Lee Corp. 31,600 701,125
Smithfield Foods, Inc. (a) 1,400 41,125
Suiza Foods Corp. (a) 2,500 79,688
Sysco Corp. 9,500 309,938
Tyson Foods, Inc. 6,600 106,013
Universal Foods Corp. 4,000 84,500
Vlasic Foods International, 1,550 11,431
Inc. (a)
Wrigley (Wm.) Jr. Co. 4,500 352,406
7,794,558
HOUSEHOLD PRODUCTS - 1.9%
Alberto-Culver Co. Class B 300 7,631
Aptargroup, Inc. 1,000 25,750
Avon Products, Inc. 10,000 438,750
BioShield Technologies, Inc. 2,000 22,125
(a)
Block Drug Co., Inc. Class A 600 24,113
Brady (W.H.) Co. Class A 700 21,000
Clorox Co. 9,558 432,500
Colgate-Palmolive Co. 21,500 1,150,250
Dial Corp. 3,100 86,025
Enamelon, Inc. (a) 200 213
Estee Lauder Companies, Inc. 5,200 238,875
French Fragrances, Inc. (a) 400 3,050
Gillette Co. 37,300 1,739,113
International Flavors & 3,900 158,925
Fragrances, Inc.
Premark International, Inc. 1,800 59,850
Procter & Gamble Co. 45,000 4,466,250
Racing Champions Corp. (a) 4,500 28,828
Revlon, Inc. Class A (a) 600 12,188
Safeskin Corp. (a) 1,500 11,906
Ultralife Batteries, Inc. (a) 600 2,813
USA Detergents, Inc. (a) 300 1,463
Windmere-Durable Holdings, 700 10,194
Inc. (a)
York Group, Inc. 400 2,400
8,944,212
TOBACCO - 0.8%
Dimon, Inc. 1,100 4,744
General Cigar Holdings, Inc. 300 1,931
Class A (a)
SHARES VALUE (NOTE 1)
Philip Morris Companies, Inc. 81,100 $ 3,036,181
RJ Reynolds Tobacco Holdings, 6,400 175,600
Inc.
Schweitzer-Mauduit 500 6,781
International, Inc.
Universal Corp. 3,200 90,800
UST, Inc. 8,700 275,681
3,591,718
TOTAL NONDURABLES 29,694,021
PRECIOUS METALS - 0.1%
Battle Mountain Gold Co. 5,300 9,275
Coeur d'Alene Mines Corp. (a) 900 4,106
Echo Bay Mines Ltd. (a) 5,300 7,102
Homestake Mining Co. 14,400 122,400
Newmont Mining Corp. 8,845 180,770
Royal Oak Mines, Inc. (a) 900 9
Stillwater Mining Co. (a) 1,100 24,269
347,931
RETAIL & WHOLESALE - 5.6%
APPAREL STORES - 0.5%
Abercrombie & Fitch Co. Class 4,374 152,543
A (a)
American Eagle Outfitters, 2,500 98,125
Inc. (a)
AnnTaylor Stores Corp. (a) 600 19,875
Cato Corp. Class A 800 10,750
Charming Shoppes, Inc. (a) 9,300 51,731
Chicos Fas, Inc. (a) 300 6,656
Childrens Place Retail 1,100 34,788
Stores, Inc. (The) (a)
Claire's Stores, Inc. 3,900 73,369
Dress Barn, Inc. (a) 1,000 15,063
Filene's Basement Corp. (a) 300 272
Footstar, Inc. (a) 900 29,250
Gap, Inc. 28,125 1,100,391
Goody's Family Clothing (a) 1,100 10,141
Gymboree Corp. (a) 900 4,669
iTurf, Inc. (a) 2,000 24,500
Just for Feet, Inc. (a) 6,200 25,188
Limited, Inc. (The) 5,776 218,766
Men's Wearhouse, Inc. (The) 3,300 68,063
(a)
Paul Harris Stores, Inc. (a) 100 494
Payless ShoeSource, Inc. (a) 1,800 89,775
Ross Stores, Inc. 1,300 54,113
Stage Stores, Inc. (a) 700 5,863
Talbots, Inc. 900 27,844
TJX Companies, Inc. 9,100 262,763
Too, Inc. (a) 825 14,489
United Stationers, Inc. (a) 2,600 58,825
Venator Group, Inc. (a) 4,100 29,213
Wet Seal, Inc. Class A (a) 1,700 25,925
2,513,444
APPLIANCE STORES - 0.0%
Cellstar Corp. (a) 1,500 7,969
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
RETAIL & WHOLESALE - CONTINUED
DRUG STORES - 0.4%
CVS Corp. 14,886 $ 620,560
Duane Reade, Inc. (a) 600 18,900
Longs Drug Stores Corp. 1,100 34,581
Perfumania, Inc. (a) 1,300 4,144
Rite Aid Corp. 11,200 207,200
Walgreen Co. 35,800 830,113
1,715,498
GENERAL MERCHANDISE STORES -
2.3%
99 Cents Only Stores (a) 656 23,616
Ames Department Stores, Inc. 1,700 49,938
(a)
BJ's Wholesale Club, Inc. (a) 2,900 81,925
Consolidated Stores Corp. (a) 3,094 49,891
Cost Plus, Inc. (a) 1,350 60,075
Dayton Hudson Corp. 14,000 812,000
Dillards, Inc. Class A 3,100 72,850
Dollar General Corp. 6,381 165,906
Dollar Tree Stores, Inc. (a) 3,150 103,950
Elder Beerman Stores Corp. (a) 500 3,625
Family Dollar Stores, Inc. 4,900 96,469
Federated Department Stores, 8,000 368,000
Inc. (a)
Hot Topic, Inc. (a) 1,200 32,775
K mart Corp. (a) 20,000 251,250
Kohls Corp. (a) 4,800 342,000
May Department Stores Co. 13,400 523,438
(The)
Michaels Stores, Inc. (a) 800 24,550
Neiman-Marcus Group, Inc. (a) 1,400 31,150
Nordstrom, Inc. 4,000 113,250
Party City Corp. (a) 450 1,294
Penney (J.C.) Co., Inc. 7,469 270,751
Saks, Inc. (a) 4,031 67,771
Sears, Roebuck & Co. 14,900 558,750
Shopko Stores, Inc. (a) 2,700 77,288
Stein Mart, Inc. (a) 1,300 9,019
Wal-Mart Stores, Inc. 152,800 6,770,950
10,962,481
GROCERY STORES - 0.7%
Albertson's, Inc. 16,059 769,828
Central Garden & Pet Co. (a) 5,600 43,400
Fleming Companies, Inc. 4,800 57,900
Food Lion, Inc. Class A 25,800 203,981
Great Atlantic & Pacific Tea, 1,200 42,150
Inc.
Hain Food Group, Inc. (a) 100 2,625
Hannaford Brothers Co. 2,700 193,725
Kroger Co. (a) 29,280 677,100
Performance Food Group Co. (a) 2,200 57,269
Richfood Holdings, Inc. Class 4,900 89,731
A
Safeway, Inc. (a) 17,500 814,844
SUPERVALU, Inc. 7,900 177,750
U.S. Foodservice (a) 2,954 61,480
United Natural Foods, Inc. (a) 4,700 54,050
SHARES VALUE (NOTE 1)
Whole Foods Market, Inc. (a) 2,000 $ 71,875
Wild Oats Markets, Inc. (a) 550 20,006
Winn-Dixie Stores, Inc. 3,000 102,000
3,439,714
RETAIL & WHOLESALE,
MISCELLANEOUS - 1.7%
Action Performance Companies, 1,500 37,031
Inc. (a)
AgriBioTech, Inc. (a) 1,000 3,906
Alloy Online, Inc. 4,100 54,069
Audio Book Club, Inc. (a) 800 7,750
Barnes & Noble, Inc. (a) 1,300 30,794
Bed Bath & Beyond, Inc. (a) 5,800 159,500
Best Buy Co., Inc. (a) 6,600 463,650
Beyond.com Corp. (a) 900 15,188
Big Entertainment, Inc. (a) 1,200 20,850
Boise Cascade Office Products 1,800 17,325
Corp.
Books-A-Million, Inc. (a) 2,700 25,313
Borders Group, Inc. (a) 2,300 30,619
Cannondale Corp. (a) 100 963
CDnow, Inc. (a) 864 12,204
Circuit City Stores, Inc. - 6,100 262,300
Circuit City Group
Cole National Corp. Class A 500 3,969
(a)
Corporate Express, Inc. (a) 3,834 34,147
Costco Wholesale Corp. 7,900 590,525
Creative Computers, Inc. (a) 500 2,875
Cyberian Outpost, Inc. (a) 800 6,550
CyberShop International, Inc. 2,100 14,700
(a)
Daisytek International Corp. 900 10,463
(a)
dELiA*s, Inc. (a) 600 4,875
E4L, Inc. (a) 100 438
Egghead.com, Inc. (a) 900 6,806
Elcom International, Inc. (a) 5,300 19,875
eToys, Inc. 4,000 174,000
Finish Line, Inc. Class A (a) 1,500 13,406
Friedmans, Inc. Class A 600 5,231
Gadzooks, Inc. (a) 500 3,078
Genesis Direct, Inc. (a) 3,000 1,219
Good Guys, Inc. (a) 4,600 27,313
Guitar Center, Inc. (a) 2,300 17,825
Handleman Co. (a) 1,200 15,900
Home Depot, Inc. 50,000 3,056,250
IKON Office Solutions, Inc. 3,200 35,600
ImaginOn, Inc. (a) 1,500 3,938
Intimate Brands, Inc. Class A 10,160 391,795
J Jill Group, Inc. (The) (a) 300 5,025
Lets Talk Cellular & 200 788
Wireless, Inc. (a)
Lowe's Companies, Inc. 11,532 521,823
Micro Warehouse, Inc. (a) 1,100 13,475
Multiple Zones International, 1,100 5,913
Inc. (a)
Navarre Corp. (a) 900 8,466
Newpark Resources, Inc. (a) 2,100 18,900
Office Depot, Inc. (a) 14,900 155,519
Officemax, Inc. (a) 7,000 52,938
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
RETAIL & WHOLESALE - CONTINUED
RETAIL & WHOLESALE,
MISCELLANEOUS - CONTINUED
ONSALE, Inc. (a) 400 $ 6,100
PC Connection, Inc. (a) 1,500 19,031
PEAPOD, Inc. (a) 1,500 10,125
Petco Animal Supplies, Inc. 700 8,750
(a)
PETsMART, Inc. (a) 3,400 16,363
Pier 1 Imports, Inc. 2,750 14,953
RoweCom, Inc. (a) 2,400 43,200
School Specialty, Inc. (a) 1,200 14,850
Sharper Image Corp. (a) 1,100 10,313
Shop At Home, Inc. (a) 700 6,081
SkyMall, Inc. (a) 700 5,338
Spiegel, Inc. Class A (a) 4,100 36,644
Sports Authority, Inc. (The) 1,300 4,713
(a)
Staples, Inc. (a) 16,875 367,031
Sunglass Hut International, 1,400 17,675
Inc. (a)
Tandy Corp. 5,640 266,490
Tiffany & Co., Inc. 2,000 105,750
Toys R Us, Inc. (a) 11,800 162,988
Tweeter Home Entertainment 1,300 43,713
Group, Inc. (a)
U.S. Office Products Co. (a) 1,363 5,282
U.S.A. Floral Products, Inc. 1,000 4,188
(a)
UBid, Inc. (a) 1,753 37,032
Valley Media, Inc. (a) 1,700 20,825
Value America, Inc. (a) 3,100 32,744
Williams-Sonoma, Inc. (a) 1,600 62,400
Wilmar Industries, Inc. (a) 2,900 39,150
Zale Corp. (a) 2,800 97,125
7,823,941
TOTAL RETAIL & WHOLESALE 26,463,047
SERVICES - 1.4%
ADVERTISING - 0.3%
Ackerley Group, Inc. 700 10,675
ADVO, Inc. (a) 4,100 80,463
DoubleClick, Inc. (a) 1,100 109,863
Getty Images, Inc. (a) 1,000 20,625
HA-LO Industries, Inc. (a) 1,250 7,578
Interpublic Group of 11,600 459,650
Companies, Inc.
Lamar Advertising Co. Class A 2,650 110,638
(a)
Network Event Theater, Inc. 1,300 32,825
(a)
Newgen Results Corp. (a) 3,400 33,575
Omnicom Group, Inc. 5,300 399,488
Outdoor Systems, Inc. (a) 3,275 105,823
TMP Worldwide, Inc. (a) 1,000 55,375
Young & Rubicam, Inc. 3,600 160,650
1,587,228
EDUCATIONAL SERVICES - 0.1%
Apollo Group, Inc. Class A (a) 4,350 95,428
SHARES VALUE (NOTE 1)
Devry, Inc. (a) 2,000 $ 41,750
Education Management Corp. (a) 2,600 33,638
ITT Educational Services, 2,900 45,313
Inc. (a)
Strayer Education, Inc. 1,700 39,844
255,973
LEASING & RENTAL - 0.1%
AMERCO (a) 700 17,588
Avis Rent A Car, Inc. (a) 900 19,800
Budget Group, Inc. Class A (a) 1,400 12,338
Caribiner International, Inc. 900 7,819
(a)
Central Parking Corp. 2,200 70,675
Crown Castle International 7,000 105,875
Corp. (a)
Dollar Thrifty Automotive 700 13,169
Group, Inc. (a)
GATX Corp. 1,400 46,725
Hertz Corp. Class A 1,100 44,344
Mitcham Industries, Inc. (a) 700 3,041
Neff Corp. (a) 2,100 26,250
Rent-A-Center, Inc. (a) 3,000 66,563
Rent-Way, Inc. (a) 770 15,881
Ryder Systems, Inc. 2,100 46,331
Superior Energy Services, 1,200 7,500
Inc. (a)
United Rentals, Inc. (a) 2,100 51,319
555,218
PRINTING - 0.1%
Big Flower Holdings, Inc. (a) 700 20,213
Bowne & Co., Inc. 1,100 15,263
Consolidated Graphics, Inc. 500 21,125
(a)
Cyrk, Inc. (a) 600 2,963
Deluxe Corp. 3,200 109,000
Donnelley (R.R.) & Sons Co. 3,800 119,225
Harland (John H.) Co. 800 15,900
Paxar Corp. (a) 1,500 13,031
Reynolds & Reynolds Co. Class 2,300 50,313
A
Valassis Communications, Inc. 2,500 109,375
(a)
Wallace Computer Services, 1,200 25,650
Inc.
World Color Press, Inc. (a) 1,064 39,102
541,160
SERVICES - 0.8%
Abacus Direct Corp. (a) 900 91,744
ABM Industries, Inc. 600 13,800
ACNielsen Corp. (a) 2,200 55,000
Alterra Healthcare Corp. (a) 500 5,000
Analytical Surveys, Inc. (a) 200 4,013
APAC Teleservices, Inc. (a) 1,600 3,800
Assisted Living Concepts, 400 1,125
Inc. (a)
Billing Information Concepts 1,200 6,300
Corp. (a)
Block (H&R), Inc. 4,600 255,875
Blount International, Inc. 43 457
Boron LePore & Associates, 600 3,656
Inc. (a)
Bright Horizons Family 500 8,875
Solutions, Inc. (a)
Brookdale Living Communities, 100 1,294
Inc. (a)
Building One Services Corp. 933 12,129
(a)
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
SERVICES - CONTINUED
SERVICES - CONTINUED
Cadiz, Inc. (a) 200 $ 2,000
Catalina Marketing Corp. (a) 1,200 108,900
CDI Corp. (a) 600 18,075
Cendant Corp. (a) 21,610 387,629
Century Business Services, 2,300 29,756
Inc. (a)
CheckFree Holdings Corp. (a) 1,400 40,950
Cintas Corp. 2,741 140,819
Coinmach Laundry Corp. (a) 300 3,563
Comps.Com, Inc. (a) 4,600 27,600
Computer Horizons Corp. (a) 900 11,700
Convergys Corp. (a) 4,300 88,688
Correctional Services Corp. 27 201
(a)
Crestline Capital Corp. (a) 830 15,718
Day Runner, Inc. (a) 300 3,263
Dun & Bradstreet Corp. 4,700 123,081
Ecolab, Inc. 6,400 240,400
Fonar Corp. 200 206
FYI, Inc. (a) 400 13,075
G & K Services, Inc. Class A 500 20,781
Gartner Group, Inc. Class A 2,300 48,156
Greg Manning Auctions, Inc. 700 10,063
(a)
HCIA, Inc. (a) 100 1,013
Headway Corporate Resources 300 1,556
(a)
Interim Services, Inc. (a) 3,820 70,431
International Telecom Data 700 5,513
Systems, Inc. (a)
Iron Mountain, Inc. (a) 950 29,925
iXL Enterprises, Inc. (a) 3,400 83,725
Jostens, Inc. 100 2,013
Kelly Services, Inc. Class A 1,000 28,125
Labor Ready, Inc. (a) 1,200 19,275
Lason, Inc. (a) 1,400 63,263
Learning Tree International, 700 8,925
Inc. (a)
Mace Security Intl., Inc. (a) 2,200 19,113
Manpower, Inc. 3,400 91,800
MapQuest.com, Inc. (a) 3,100 37,394
Marketing Services Group, 500 5,969
Inc. (a)
Media Arts Group, Inc. (a) 200 900
Media Metrix, Inc. (a) 1,300 62,359
Medpartners, Inc. (a) 6,000 42,000
MemberWorks, Inc. (a) 500 17,156
Metamor Worldwide, Inc. (a) 3,000 48,094
Modem Media . Poppe Tyson, 1,500 48,000
Inc. (a)
Modis Professional Services, 2,500 39,531
Inc. (a)
National Processing, Inc. (a) 1,600 13,800
National Service Industries, 1,200 38,400
Inc.
Navigant Consulting, Inc. (a) 1,150 50,456
NCO Group, Inc. (a) 1,900 86,450
NewsEdge Corp. (a) 500 3,813
NOVA Corp. (a) 3,357 87,282
Olsten Corp. 2,500 25,625
SHARES VALUE (NOTE 1)
Per-Se Technologies, Inc. (a) 2,800 $ 9,975
Personnel Group of America, 900 7,538
Inc. (a)
Pre-Paid Legal Services, Inc. 600 19,238
(a)
Precision Response Corp. (a) 100 881
Premiere Technologies, Inc. 3,716 24,270
(a)
Profit Recovery Group 1,350 51,384
International, Inc. (a)
Protection One, Inc. (a) 100 350
RCM Technologies, Inc. (a) 200 2,788
Regis Corp. 1,100 21,038
RemedyTemp, Inc. Class A (a) 200 3,275
Renaissance Worldwide, Inc. 2,000 9,750
(a)
Robert Half International, 2,600 68,250
Inc. (a)
Romac International, Inc. (a) 1,127 8,171
Rural/Metro Corp. (a) 500 3,938
Service Corp. International 8,952 123,650
ServiceMaster Co. 11,050 182,325
Snyder Communications, Inc. 1,900 38,713
(a)
SOS Staffing Services, Inc. 300 1,781
(a)
Sotheby's Holdings, Inc. 1,500 43,688
Class A
Staffmark, Inc. (a) 900 8,747
Streamline.com, Inc. 5,500 40,219
Superior Consultant Holdings 1,300 29,738
Corp. (a)
Teletech Holdings, Inc. (a) 2,100 23,363
True North Communications 3,500 115,281
Veterinary Centers of 2,200 24,475
America, Inc. (a)
Viad Corp. 2,800 83,825
Vision Twenty-One, Inc. (a) 3,700 18,963
Wackenhut Corrections Corp. 200 3,788
3,799,000
TOTAL SERVICES 6,738,579
TECHNOLOGY - 23.7%
COMMUNICATIONS EQUIPMENT - 3.5%
3Com Corp. (a) 10,800 267,975
ACT Networks, Inc. (a) 300 2,888
ADC Telecommunications, Inc. 3,800 140,838
(a)
Advanced Fibre 800 13,050
Communications, Inc. (a)
Andrew Corp. (a) 4,700 82,250
Applied Signal Technology, 100 925
Inc.
Aspect Telecommunications 1,400 15,488
Corp. (a)
Brooktrout Technology, Inc. 1,700 26,775
(a)
C-Phone Corp. (a) 500 688
Cabletron Systems, Inc. (a) 5,100 85,744
Carrier Access Corp. (a) 1,800 87,300
Centigram Communications 100 1,050
Corp. (a)
Checkpoint Systems, Inc. (a) 900 7,650
Ciena Corp. (a) 3,500 122,938
Cisco Systems, Inc. (a) 109,936 7,455,035
Com21, Inc. (a) 2,100 37,800
Comdial Corp. (a) 100 850
Davox Corp. (a) 600 8,363
DSP Communications, Inc. (a) 1,100 25,850
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
TECHNOLOGY - CONTINUED
COMMUNICATIONS EQUIPMENT -
CONTINUED
Dycom Industries, Inc. (a) 1,800 $ 55,575
Executone Information 6,000 21,750
Systems, Inc. (a)
General DataComm Industries 100 244
(a)
InterVoice, Inc. (a) 1,087 14,946
Jabil Circuit, Inc. (a) 2,300 103,069
Lo Jack Corp. (a) 600 5,438
Lucent Technologies, Inc. 104,317 6,682,808
Metricom, Inc. (a) 2,200 52,800
Natural MicroSystems Corp. (a) 500 5,938
Network Equipment 800 7,000
Technologies, Inc. (a)
Osicom Technologies, Inc. (a) 400 3,575
P-Com, Inc. (a) 1,900 9,144
Pairgain Technologies, Inc. 700 7,306
(a)
Periphonics Corp. (a) 1,700 45,900
PictureTel Corp. (a) 1,300 7,191
Plantronics, Inc. (a) 1,300 65,813
Symmetricom, Inc. (a) 600 5,363
Tekelec (a) 4,300 69,338
Tellabs, Inc. (a) 12,788 761,685
Terayon Communication 1,700 61,200
Systems, Inc. (a)
Tut Systems, Inc. (a) 2,000 49,500
Ultrak, Inc. (a) 100 700
VTEL Corp. (a) 1,000 4,000
Westell Technologies, Inc. 900 6,806
Class A (a)
Xircom, Inc. (a) 1,900 75,644
16,506,190
COMPUTER SERVICES & SOFTWARE
- - 10.7%
24/7 Media, Inc. (a) 2,300 78,775
4Front Software 100 1,219
International, Inc. (a)
A.D.A.M. Software, Inc. (a) 1,800 20,925
About.com, Inc. (a) 1,100 33,894
AboveNet Communications, Inc. 2,500 84,844
(a)
Acceler8 Technology Corp. (a) 200 350
Acclaim Entertainment, Inc. 1,800 12,713
(a)
Activision, Inc. (a) 3,300 47,850
ACTV, Inc. (a) 2,300 25,156
Acxiom Corp. (a) 3,500 61,469
Adept Technology, Inc. (a) 100 850
Adobe Systems, Inc. 1,700 169,363
Advantage Learning Systems, 800 17,950
Inc. (a)
Advent Software, Inc. (a) 450 22,106
Affiliated Computer Services, 1,400 59,850
Inc. Class A (a)
Affymetrix, Inc. (a) 1,400 119,875
AHT Corp. (a) 1,000 3,625
Allaire Corp. (a) 1,300 65,000
AlphaNet Solutions, Inc. (a) 400 1,875
Alternative Resources Corp. 700 4,244
(a)
Amazon.com, Inc. (a) 5,300 659,188
America Online, Inc. (a) 37,350 3,410,522
American Management Systems, 2,200 62,975
Inc. (a)
SHARES VALUE (NOTE 1)
American Software, Inc. Class 100 $ 344
A (a)
Ansoft Corp. (a) 500 3,531
AppliedTheory Corp. (a) 800 10,750
Ardent Software, Inc. (a) 800 19,000
Ariba, Inc. 1,100 152,900
ARIS Corp. (a) 700 4,222
Aspect Development, Inc. (a) 1,000 15,688
Aspen Technology, Inc. (a) 900 7,706
At Home Corp. Series A (a) 10,600 425,325
At Plan, Inc. 2,900 29,725
audiohighway.com (a) 3,100 33,325
Autodesk, Inc. 1,600 36,800
Automatic Data Processing, 23,100 908,119
Inc.
Autoweb.Com, Inc. 3,300 30,422
Avant! Corp. (a) 1,200 16,950
AVT Corp. (a) 300 8,475
Aware, Inc. (a) 700 23,450
Axent Technolgies, Inc. (a) 780 9,848
Aztec Technology Partners, 10,800 16,538
Inc. (a)
Banyan Systems, Inc. (a) 600 4,650
barnesandnoble.com, Inc. 3,300 56,306
Class A
Base Ten Systems, Inc. Class 200 106
A (a)
BEA Systems, Inc. (a) 2,200 53,075
Bell & Howell Co. (a) 900 30,150
Bell Industries, Inc. (a) 800 4,350
BindView Development Corp. (a) 1,300 27,788
Bisys Group, Inc. (The) (a) 2,000 95,000
Black Box Corp. (a) 1,500 68,813
BMC Software, Inc. (a) 7,145 384,490
Bottomline Technologies, Inc. 1,100 30,525
(a)
Brio Technology, Inc. (a) 700 9,888
BroadVision, Inc. (a) 700 69,694
CACI International, Inc. 100 2,250
Class A (a)
Cadence Design Systems, Inc. 13,452 183,284
(a)
Cambridge Technology 1,700 23,269
Partners, Inc. (a)
Careerbuilder, Inc. 3,600 26,550
CE Software Holdings, Inc. (a) 400 2,075
Ceridian Corp. (a) 4,200 117,600
Ciber, Inc. (a) 4,300 78,744
Citrix Systems, Inc. (a) 2,500 142,500
Clarify, Inc. (a) 700 30,800
CMGI, Inc. (a) 3,000 251,813
CNET, Inc. (a) 1,900 71,369
Command Systems, Inc. (a) 1,300 2,519
Complete Business Solutions, 1,255 19,374
Inc. (a)
CompuCom Systems, Inc. (a) 200 725
CompUSA, Inc. (a) 2,600 15,763
Computer Associates 17,600 994,400
International, Inc.
Computer Concepts Corp. (a) 600 975
Computer Learning Centers, 400 1,675
Inc. (a)
Computer Sciences Corp. (a) 6,500 449,719
Compuware Corp. (a) 11,200 338,100
Concentric Network Corp. (a) 800 17,550
Concord Communications, Inc. 900 33,216
(a)
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
TECHNOLOGY - CONTINUED
COMPUTER SERVICES & SOFTWARE
- - CONTINUED
Concur Technologies, Inc. (a) 2,200 $ 55,000
ConnectInc.com Co. (a) 2,700 5,484
Corsair Communictions, Inc. 200 1,013
(a)
CoStar Group, Inc. (a) 1,400 40,163
Critical Path, Inc. 2,400 80,400
Crosswalk.com, Inc. (a) 300 2,325
CSG Systems International, 3,100 69,944
Inc. (a)
CustomTracks Corp. (a) 500 19,188
Cybercash, Inc. (a) 800 7,000
CyberOptics Corp. (a) 100 1,606
CyberSource Corp. 2,400 76,950
Cylink Corp. (a) 100 750
DAOU Systems, Inc. (a) 200 950
Data Broadcasting Corp. (a) 1,000 7,500
Data Dimensions, Inc. (a) 200 656
Data Transmission Network 400 10,200
Corp. (a)
Datastream Systems, Inc. (a) 700 8,488
Datatec Systems, Inc. (a) 1,300 4,306
Dendrite International, Inc. 1,500 62,438
(a)
Diamond Multimedia Systems, 1,400 6,913
Inc. (a)
Digi International, Inc. (a) 100 1,138
DocuCorp International, Inc. 20 124
(a)
Documentum, Inc. (a) 700 10,588
drkoop.com, Inc. 3,100 52,700
DSET Corp. (a) 400 4,800
DST Systems, Inc. (a) 3,110 206,815
Earthlink Network, Inc. (a) 900 44,100
EarthWeb, Inc. (a) 1,500 54,750
eBay, Inc. 3,900 489,694
Eclipsys Corp. (a) 4,205 60,710
Edify Corp. (a) 2,100 23,888
eFax.com, Inc. (a) 400 4,050
Electric Lightwave, Inc. 200 2,575
Class A (a)
Electronic Arts, Inc. (a) 1,700 116,663
Electronic Data Systems Corp. 15,800 886,775
Electronics for Imaging, Inc. 1,500 87,938
(a)
Engineering Animation, Inc. 700 11,900
(a)
Epicor Software Corp. (a) 438 1,643
Equifax, Inc. 7,200 219,600
ESPS, Inc. (a) 4,100 37,413
Exchange Applications, Inc. 1,700 50,788
(a)
Exodus Communications, Inc. 2,500 200,938
(a)
First Data Corp. 13,200 580,800
Fiserv, Inc. (a) 6,000 184,875
FlashNet Communications, Inc. 2,100 26,775
(a)
Forte Software, Inc. (a) 100 2,269
Frontline Communications 1,600 11,200
Corp. (a)
Galileo International, Inc. 4,500 218,250
General Magic, Inc. (a) 1,100 2,681
Genesys Telecommunications 2,200 64,350
Laboratories, Inc. (a)
SHARES VALUE (NOTE 1)
Go2Net, Inc. (a) 800 $ 52,000
GoTo.com, Inc. (a) 2,800 101,500
Great Plains Software, Inc. 1,200 55,875
(a)
GT Interactive Software Corp. 3,000 8,813
(a)
Harbinger Corp. (a) 950 11,400
Health Management Systems, 400 2,000
Inc. (a)
Healtheon Corp. (a) 3,600 121,725
Henry (Jack) & Associates, 2,000 65,000
Inc.
HIE, Inc. (a) 1,800 3,600
High Speed Access Corp. 3,300 86,625
HNC Software, Inc. (a) 1,800 65,475
Hyperion Solutions Corp. (a) 2,195 33,611
i2 Technologies, Inc. (a) 1,600 50,800
IDT Corp. (a) 2,000 59,250
IDX Systems Corp. (a) 900 18,225
IMR Global Corp. (a) 950 16,209
IMS Health, Inc. 9,100 251,388
InfoCure Corp. (a) 2,000 38,500
Infonautics, Inc. (a) 2,000 12,000
Information Architects Corp. 1,400 3,019
(a)
Informix Corp. (a) 1,360 9,903
Infoseek Corp. (a) 1,800 54,788
InfoSpace.com, Inc. (a) 2,700 124,369
Inktomi Corp. (a) 1,400 158,725
Inprise Corp. (a) 1,700 7,172
Inso Corp. (a) 1,000 7,031
Intelligroup, Inc. (a) 3,300 21,038
International Business 62,300 7,760,244
Machines Corp.
International Integration, 1,400 32,200
Inc. (a)
International Network 1,650 87,759
Services (a)
Internet America, Inc. (a) 1,300 16,088
Internet Capital Group, Inc. 110 8,250
(a)
InterVU, Inc. (a) 300 9,731
Intuit, Inc. (a) 1,600 143,300
ISS Group, Inc. (a) 2,500 61,719
iVillage, Inc. (a) 2,200 79,888
J.D. Edwards & Co. (a) 3,100 56,963
JDA Software Group, Inc. (a) 1,300 11,619
Keane, Inc. (a) 2,000 43,375
Latitude Communications, Inc. 800 11,150
(a)
Launch Media, Inc. (a) 2,600 32,013
Learn2.com, Inc. (a) 2,100 6,563
Legato Systems, Inc. (a) 2,400 103,350
Level 8 Systems, Inc. (a) 200 2,163
LHS Group, Inc. (a) 1,400 46,463
Log On America, Inc. (a) 3,000 58,313
Lycos, Inc. (a) 2,400 97,500
Macromedia, Inc. (a) 1,200 47,550
Manugistics Group, Inc. (a) 900 11,250
Mapics, Inc. (a) 700 6,038
Marimba, Inc. (a) 2,300 63,106
Mentor Graphics Corp. (a) 2,800 25,113
Mercury Interactive Corp. (a) 2,100 100,275
Meta Group, Inc. (a) 2,450 39,813
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
TECHNOLOGY - CONTINUED
COMPUTER SERVICES & SOFTWARE
- - CONTINUED
MetaCreations Corp. (a) 100 $ 625
MicroAge, Inc. (a) 700 2,209
Micromuse, Inc. (a) 400 22,850
Microsoft Corp. (a) 176,400 16,327,752
MicroStrategy, Inc. Class A 1,200 47,700
(a)
Midway Games, Inc. (a) 239 3,137
Momentum Business 52 400
Applications Inc (a)
Multex.com, Inc. (a) 1,200 19,950
National Computer Systems, 2,300 89,700
Inc.
National Data Corp. 1,000 38,250
National Instrument Corp. (a) 3,150 94,303
Navidec, Inc. (a) 900 9,563
NCR Corp. (a) 2,800 122,500
NEON Systems, Inc. (a) 900 29,588
Net Perceptions, Inc. (a) 2,200 36,300
Netegrity, Inc. (a) 800 17,800
NetGravity, Inc. (a) 1,900 51,300
NetObjects, Inc. (a) 5,200 27,950
NetSpeak Corp. 300 3,788
Network Peripherals, Inc. (a) 1,400 27,650
Network Solutions, Inc. Class 200 11,525
A (a)
Networks Associates, Inc. (a) 3,761 63,467
New Era of Networks, Inc. (a) 900 15,075
Novell, Inc. (a) 9,600 227,400
Oak Technology, Inc. (a) 7,200 34,200
Object Design, Inc. (a) 500 1,422
Omega Research, Inc. (a) 1,200 7,425
OneMain.com, Inc. (a) 2,500 41,875
OneSource Information 3,500 28,219
Services, Inc. (a)
OnHealth Network Co. (a) 1,100 7,425
ONYX Software Corp. (a) 1,600 25,800
Open Market, Inc. (a) 1,100 13,338
Oracle Corp. (a) 48,650 1,775,725
Parametric Technology Corp. 7,700 107,800
(a)
Paychex, Inc. 7,050 207,534
pcOrder.com, Inc. (a) 1,100 35,269
Peerless Systems Corp. (a) 200 2,875
Pegasus Systems, Inc. (a) 700 25,288
Pegasystems, Inc. (a) 100 838
PeopleSoft, Inc. 8,000 113,000
Peregrine Systems, Inc. (a) 2,800 92,400
Peritus Software Services, 900 197
Inc. (a)
Pharmacopeia, Inc. (a) 100 1,225
Phone.com, Inc. 1,700 200,813
Pilot Network Services, Inc. 3,700 31,219
(a)
Policy Management Systems 1,700 51,956
Corp. (a)
Polycom, Inc. (a) 1,700 62,156
Portal Software, Inc. (a) 1,700 80,006
Priceline.Com, Inc. (a) 4,300 292,938
Prodigy Communications Corp. 1,800 33,413
(a)
Progress Software Corp. (a) 1,600 49,000
SHARES VALUE (NOTE 1)
Proxicom, Inc. (a) 2,400 $ 109,200
PSINet, Inc. (a) 1,600 76,600
QRS Corp. (a) 1,050 50,531
Quadramed Corp. (a) 1,300 11,578
Rainbow Technologies, Inc. (a) 150 1,800
Rare Medium Group, Inc. (a) 2,300 21,850
Rational Software Corp. (a) 2,500 67,656
Razorfish, Inc. (a) 1,700 47,600
RealNetworks, Inc. (a) 2,200 179,850
Redback Networks, Inc. 1,100 118,250
Remedy Corp. (a) 1,500 36,750
Sabre Group Holdings, Inc. 1,700 95,200
Class A (a)
Sagent Technology, Inc. (a) 5,000 56,875
Sanchez Computer Associates, 1,300 58,175
Inc. (a)
Sapient Corp. (a) 700 51,100
Secure Computing Corp. (a) 900 2,700
Security Dynamics 3,100 73,238
Technologies, Inc. (a)
Security First Technologies 1,300 48,100
Corp. (a)
SEI Investments Co. 500 45,969
Shared Medical Systems Corp. 700 39,331
Siebel Systems, Inc. (a) 2,645 181,678
Silknet Software, Inc. (a) 1,400 47,425
Software.com, Inc. 2,800 127,225
Sportsline USA, Inc. (a) 600 14,475
SPR, Inc. (a) 300 1,313
SPSS, Inc. (a) 100 2,369
Spyglass, Inc. (a) 700 8,313
Stac Software, Inc. 25 119
Sterling Software, Inc. (a) 2,600 52,325
Structural Dynamics Research 1,100 17,738
Corp. (a)
Summit Design, Inc. (a) 1,600 4,750
SunGard Data Systems, Inc. (a) 5,968 149,200
Sybase, Inc. (a) 2,700 33,750
Sykes Enterprises, Inc. (a) 1,300 31,200
Symantec Corp. (a) 1,700 51,000
Synopsys, Inc. (a) 3,165 177,042
Syntel, Inc. (a) 1,400 13,081
Systems & Computer Technology 900 13,163
Corp. (a)
TCSI Corp. (a) 2,000 3,250
Technology Solutions, Inc. (a) 1,850 22,200
Telescan, Inc. (a) 1,100 16,088
Telesciences, Inc. (a) 2,300 2,013
theglobe.com, Inc. (a) 700 7,700
TheStreet.Com, Inc. (a) 2,000 35,250
THINK New Ideas, Inc. (a) 200 2,450
ThrustMaster, Inc. (a) 1,000 16,125
Tier Technologies, Inc. (a) 3,500 26,250
Timberline Software Corp. 266 4,323
Titan Corp. (a) 4,600 46,863
Total System Services, Inc. 3,200 49,600
Transaction Systems 2,800 82,425
Architects, Inc. Class A (a)
TSI International Software 2,000 38,000
Ltd. (a)
TSR, Inc. (a) 100 850
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
TECHNOLOGY - CONTINUED
COMPUTER SERVICES & SOFTWARE
- - CONTINUED
Unicomp, Inc. (a) 500 $ 2,125
Unify Corp. (a) 1,200 15,600
Unisys Corp. (a) 8,200 352,600
Usinternetworking, Inc. (a) 2,200 33,000
USWEB Corp. (a) 2,250 43,875
Vantive Corp. (a) 900 7,481
Verio, Inc. (a) 2,000 74,375
VeriSign, Inc. (a) 1,400 151,638
Veritas Software Corp. (a) 5,000 296,250
Verity, Inc. (a) 400 19,500
Vertel Corp. (a) 100 234
VerticalNet, Inc. (a) 2,600 89,700
Viasoft, Inc. (a) 1,400 11,988
Vignette Corp. (a) 1,700 115,281
Visio Corp. (a) 2,500 70,625
Visual Networks, Inc. (a) 1,500 62,250
Walker Interactive Systems, 400 1,100
Inc. (a)
Wave Systems Corp. Class A (a) 800 7,750
Wavo Corp. (a) 1,300 5,200
WebTrends Corp. (a) 1,900 58,425
Whittman-Hart, Inc. (a) 3,200 84,200
Wind River Systems, Inc. (a) 3,950 62,953
WorldGate Communications, 1,900 54,744
Inc. (a)
Xybernaut Corp. (a) 800 1,150
Yahoo!, Inc. (a) 8,567 1,263,633
Zitel Corp. (a) 200 313
50,852,776
COMPUTERS & OFFICE EQUIPMENT
- - 4.2%
Adaptec, Inc. (a) 3,100 120,900
Advanced Digital Information 2,000 64,500
Corp. (a)
Alpha Microsystems (a) 500 1,391
Ancor Communications, Inc. (a) 1,500 39,750
Apex, Inc. (a) 2,800 92,925
Apple Computer, Inc. (a) 6,300 411,075
Applied Digital Solutions, 200 363
Inc. (a)
Applied Magnetics Corp. (a) 200 188
Auspex Systems, Inc. (a) 800 8,850
CDW Computer Centers, Inc. (a) 1,300 57,688
CHS Electronics, Inc. (a) 1,900 4,513
Comdisco, Inc. 4,300 90,569
Compaq Computer Corp. 57,261 1,327,739
Computer Network Technology 800 12,650
Corp. (a)
Comverse Technology, Inc. (a) 2,847 222,066
Concurrent Computer Corp. (a) 3,700 26,709
Copper Mountain Networks, 1,200 140,400
Inc.
Cybex Corp. (a) 1,600 43,800
Data General Corp. (a) 900 16,594
Dell Computer Corp. (a) 87,000 4,246,688
Diebold, Inc. 3,300 87,863
Digital Lightwave, Inc. (a) 200 1,388
Digital River, Inc. (a) 2,600 62,563
SHARES VALUE (NOTE 1)
Dot Hill Systems Corp. (a) 300 $ 1,688
Echelon Corp. (a) 3,100 22,281
EMC Corp. (a) 34,200 2,052,000
Emulex Corp. (a) 400 27,575
Encad, Inc. (a) 300 2,063
Exabyte Corp. (a) 100 375
Extreme Networks, Inc. (a) 1,400 89,513
FileNET Corp. (a) 1,000 10,375
FOCUS Enhancements, Inc. (a) 100 100
FVC.com, Inc. (a) 1,000 8,750
Gateway, Inc. (a) 4,900 474,994
Genicom Corp. (a) 100 106
Globix Corp. (a) 300 14,419
Hauppauge Digital, Inc. (a) 1,200 32,175
Hewlett-Packard Co. 34,552 3,640,917
HMT Technology Corp. (a) 1,200 4,350
Hutchinson Technology, Inc. 1,600 43,200
(a)
Imaging Technologies Corp. (a) 3,700 1,503
Inacom Corp. (a) 1,400 13,650
Ingram Micro, Inc. Class A (a) 3,800 95,950
Insight Enterprises, Inc. (a) 2,450 74,113
Intergraph Corp. (a) 1,500 8,344
Interphase Corp. (a) 1,700 35,700
Intraware, Inc. (a) 1,200 21,600
Iomega Corp. (a) 8,100 27,338
Itron, Inc. (a) 600 4,050
Komag, Inc. (a) 1,500 4,781
Kronos, Inc. (a) 1,400 70,219
Lexmark International Group, 4,900 385,875
Inc. Class A (a)
Micron Electronics, Inc. (a) 1,900 18,406
MICROS Systems, Inc. (a) 600 20,250
MMC Networks, Inc. (a) 1,600 49,400
MRV Communications, Inc. (a) 800 14,750
MTI Technology Corp. (a) 2,100 46,856
Netopia, Inc. (a) 400 11,050
Network Appliance, Inc. (a) 3,000 197,063
ObjectSoft Corp. (a) 3,500 3,063
Performance Technologies, 1,400 45,238
Inc. (a)
Pitney Bowes, Inc. 10,600 625,400
Planar Systems, Inc. (a) 600 3,938
Pomeroy Computer Resources, 200 2,663
Inc. (a)
Programmer's Paradise, Inc. 1,200 11,400
(a)
Proxim, Inc. (a) 300 14,625
Quantum Corp.:
DLT & Storage Systems (a) 3,826 70,064
Hard Disk Drive (a) 9,413 67,068
Radisys Corp. (a) 200 7,700
Read-Rite Corp. (a) 1,000 5,625
Safeguard Scientifics, Inc. 900 60,525
(a)
SanDisk Corp. (a) 1,300 109,688
Scan-Optics, Inc. (a) 300 919
ScanSource, Inc. (a) 2,200 65,175
SCI Systems, Inc. (a) 2,000 99,625
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
TECHNOLOGY - CONTINUED
COMPUTERS & OFFICE EQUIPMENT
- - CONTINUED
SCM Microsystems, Inc. (a) 600 $ 25,200
Seagate Technology, Inc. (a) 7,000 232,313
SED International Holdings, 100 263
Inc. (a)
Sequent Computer Systems, 3,800 66,975
Inc. (a)
Silicon Graphics, Inc. (a) 5,400 61,763
Splash Technology Holdings, 500 3,125
Inc. (a)
Sun Microsystems, Inc. (a) 26,100 2,074,950
Symbol Technologies, Inc. 2,650 92,253
Syquest Technology, Inc. (a) 1,100 33
Take-Two Interactive 1,700 15,459
Software, Inc. (a)
Tech Data Corp. (a) 2,600 96,363
Telxon Corp. 1,200 10,050
Tidel Technologies, Inc. (a) 600 1,163
Trident Microsystems, Inc. (a) 500 4,563
UniView Technologies Corp. (a) 6,700 9,213
UNOVA, Inc. (a) 300 4,519
Western Digital Corp. (a) 15,800 96,775
Xerox Corp. 24,100 1,150,775
Zebra Technologies Corp. (a) 180 8,460
Zebra Technologies Corp. 2,000 94,000
Class A (a)
19,847,882
ELECTRONIC INSTRUMENTS - 0.5%
Anadigics, Inc. (a) 500 17,875
Analogic Corp. 400 13,400
Applied Materials, Inc. (a) 12,200 866,963
Barringer Technologies, Inc. 300 1,678
(a)
Beckman Coulter, Inc. 2,500 118,438
Cerprobe Corp. (a) 100 669
Cholestech Corp. (a) 100 588
Chromatics Color Sciences 500 3,969
International, Inc. (a)
Cohu, Inc. 300 12,825
Credence Systems Corp. (a) 600 25,800
Electro Scientific 400 16,000
Industries, Inc. (a)
Helix Technology, Inc. 200 5,650
KLA-Tencor Corp. (a) 3,300 207,281
Kulicke & Soffa Industries, 700 14,394
Inc. (a)
LAM Research Corp. (a) 1,100 62,081
LTX Corp. (a) 3,800 49,400
Optical Coating Laboratories, 800 61,400
Inc.
PE Corp. (Biosystems Group) 3,338 229,696
Reliability, Inc. (a) 100 375
Sawtek, Inc. (a) 1,200 39,675
Silicon Valley Group, Inc. (a) 600 7,125
Smart Modular Technologies, 2,900 60,356
Inc. (a)
Tektronix, Inc. 1,200 39,900
Teradyne, Inc. (a) 2,400 163,350
Thermo Electron Corp. (a) 4,600 73,025
Thermo Instrument Systems, 800 8,900
Inc. (a)
Trimble Navigation Ltd. (a) 700 7,919
Varian, Inc. (a) 1,500 23,813
SHARES VALUE (NOTE 1)
Waters Corp. (a) 2,400 $ 158,250
Zygo Corp. (a) 200 2,150
2,292,945
ELECTRONICS - 4.6%
3Dfx Interactive, Inc. (a) 1,992 22,161
8X8, Inc. (a) 1,100 4,469
Aavid Thermal Technologies, 300 6,825
Inc. (a)
Act Manufacturing, Inc. (a) 100 2,044
Actel Corp. (a) 1,500 23,531
Advanced Micro Devices, Inc. 4,200 86,888
(a)
Alliance Semiconductor Corp. 4,000 44,750
(a)
Alpine Group, Inc. (a) 600 9,825
Altera Corp. (a) 5,900 248,538
American Xtal Technology, 1,500 37,313
Inc. (a)
Amkor Technology, Inc. (a) 6,900 121,613
Analog Devices, Inc. (a) 4,600 236,900
Anaren Microwave, Inc. (a) 100 2,688
Applied Micro Circuits Corp. 1,100 101,475
(a)
Arrow Electronics, Inc. (a) 2,800 55,650
Artesyn Technologies, Inc. (a) 2,400 52,650
Atmel Corp. (a) 2,900 114,006
Avnet, Inc. 2,300 101,775
AVX Corp. 2,000 59,875
Bel Fuse, Inc. Class A (a) 100 3,363
Brightpoint, Inc. (a) 1,500 5,297
Broadcom Corp. Class A (a) 1,500 193,125
Burr-Brown Corp. (a) 1,000 38,125
C-Cube Microsystems, Inc. (a) 1,400 38,938
Cidco, Inc. (a) 700 9,713
Cirrus Logic, Inc. (a) 1,300 14,544
Conexant Systems, Inc. 3,950 283,906
Cree Research, Inc. (a) 800 27,050
CTS Corp. 2,400 114,300
Cypress Semiconductor Corp. 5,300 122,563
(a)
Dallas Semiconductor Corp. 1,800 90,900
Digital Microwave Corp. (a) 1,715 23,474
DII Group, Inc. (a) 1,900 67,331
E Tek Dynamics, Inc. (a) 2,800 158,725
Electroglas, Inc. (a) 600 11,550
ESS Technology, Inc. (a) 1,300 16,413
Etec Systems, Inc. (a) 1,600 70,400
Exar Corp. (a) 100 3,650
Gatefield Corp. (a) 20 129
General Semiconductor, Inc. 800 7,850
(a)
GlobeSpan, Inc. (a) 1,500 90,750
Hadco Corp. (a) 400 16,625
Harmonic, Inc. (a) 900 113,400
hi/fn, Inc. 925 111,636
Innovex, Inc. 600 8,325
Integrated Device Technology, 2,700 52,650
Inc. (a)
Integrated Silicon Solution 100 1,081
(a)
Intel Corp. 114,489 9,409,565
International Rectifier Corp. 1,600 25,800
(a)
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
TECHNOLOGY - CONTINUED
ELECTRONICS - CONTINUED
JDS Uniphase Corp. (a) 2,400 $ 254,550
KEMET Corp. (a) 1,100 28,394
Kent Electronics Corp. (a) 900 15,244
Lattice Semiconductor Corp. 1,400 86,275
(a)
Linear Technology Corp. 5,100 320,981
LSI Logic Corp. (a) 4,207 238,747
Maker Communications, Inc. 1,600 37,800
Marshall Industries (a) 500 18,344
Maxim Integrated Products, 11,300 760,631
Inc. (a)
Methode Electronics, Inc. 1,100 19,800
Class A
Micrel, Inc. (a) 600 45,975
Micro Linear Corp. (a) 100 500
Microchip Technology, Inc. (a) 1,400 76,650
Micron Technology, Inc. (a) 8,200 611,413
Microsemi Corp. (a) 100 725
MIPS Technologies, Inc. (a) 1,800 61,650
Molex, Inc. 3,850 123,441
Motorola, Inc. 20,200 1,863,450
National Semiconductor Corp. 4,900 138,119
(a)
NeoMagic Corp. (a) 1,000 8,125
NVIDIA Corp. (a) 3,300 92,813
Photronics, Inc. (a) 700 16,713
Pioneer Standard Electronics, 1,300 18,363
Inc.
Power Integrations, Inc. (a) 900 61,144
QLogic Corp. (a) 1,800 156,713
Rambus, Inc. (a) 1,100 106,700
Reptron Electronics, Inc. (a) 100 466
RF Micro Devices, Inc. (a) 3,400 149,388
S3, Inc. (a) 4,500 45,000
Sanmina Corp. (a) 1,618 121,350
SDL, Inc. (a) 1,500 122,813
Semtech Corp. (a) 1,000 70,063
Sipex Corp. (a) 1,500 26,531
Solectron Corp. (a) 8,500 665,125
Standard Microsystems Corp. 500 4,125
(a)
Sterling Commerce, Inc. (a) 2,800 53,550
Storage Technology Corp. (a) 4,100 86,100
Telcom Semiconductor, Inc. (a) 700 9,538
Texas Instruments, Inc. 26,500 2,174,656
Transwitch Corp. (a) 1,350 67,078
Triquint Semiconductor, Inc. 1,200 63,450
(a)
Videoserver, Inc. (a) 200 1,600
Vishay Intertechnology, Inc. 4,412 94,582
(a)
Vitesse Semiconductor Corp. 2,100 142,800
(a)
World Access, Inc. (a) 3,634 45,198
Xilinx, Inc. (a) 4,400 307,725
Zoran Corp. (a) 400 13,300
21,891,852
PHOTOGRAPHIC EQUIPMENT - 0.2%
Eastman Kodak Co. 12,100 888,594
Imation Corp. (a) 2,700 76,106
SHARES VALUE (NOTE 1)
In Focus Systems, Inc. (a) 2,600 $ 41,600
Polaroid Corp. 3,700 100,363
1,106,663
TOTAL TECHNOLOGY 112,498,308
TRANSPORTATION - 0.9%
AIR TRANSPORTATION - 0.3%
AHI Services, Inc. (a) 600 17,475
AirTran Holdings, Inc. (a) 1,900 10,509
Alaska Air Group, Inc. (a) 2,500 108,125
America West Holding Corp. 2,200 42,900
Class B (a)
AMR Corp. (a) 5,200 304,850
Atlantic Coast Airlines 2,500 49,688
Holdings (a)
Atlas Air, Inc. (a) 950 25,888
Cheap Tickets, Inc. (a) 1,700 62,900
Comair Holdings, Inc. 4,725 99,816
Continental Airlines, Inc. 1,800 73,463
Class B (a)
Delta Air Lines, Inc. 5,800 294,713
Great Lakes Aviation Ltd. (a) 200 550
Mesa Air Group, Inc. (a) 200 1,375
Midway Airlines Corp. (a) 100 700
Midwest Express Holdings, 400 10,800
Inc. (a)
Navigant International, Inc. 700 5,513
(a)
Northwest Airlines Corp. 2,300 67,850
Class A (a)
Preview Travel, Inc. (a) 400 6,650
SkyWest, Inc. 1,500 30,188
Southwest Airlines Co. 14,062 234,660
Transportation World 2,700 10,631
Airlines, Inc. (a)
Travel Services 1,000 12,938
International, Inc. (a)
UAL Corp. (a) 2,800 181,475
US Airways Group, Inc. (a) 1,900 58,544
1,712,201
RAILROADS - 0.4%
ABC Rail Products Corp. (a) 100 1,419
Burlington Northern Santa Fe 18,600 539,400
Corp.
CSX Corp. 6,200 270,863
Norfolk Southern Corp. 14,300 374,481
Transportation Technologies 200 3,100
Industries, Inc. (a)
Trinity Industries, Inc. 2,800 87,850
Union Pacific Corp. 8,300 404,106
Wisconsin Central 3,800 60,563
Transportation Corp. (a)
1,741,782
SHIPPING - 0.0%
Alexander & Baldwin, Inc. 1,300 31,444
Hvide Marine, Inc. (a) 300 159
Marine Transport Corp. (a) 10 35
OMI Corp. (a) 100 206
Trico Marine Services, Inc. 600 4,800
(a)
36,644
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
TRANSPORTATION - CONTINUED
TRUCKING & FREIGHT - 0.2%
Air Express International 2,200 $ 53,763
Corp.
Airborne Freight Corp. 1,500 37,781
American Freightways Corp. (a) 300 6,300
Arkansas Best Corp. (a) 300 3,750
Asche Transportation 500 2,063
Services, Inc. (a)
C.H. Robinson Worldwide, Inc. 3,000 94,500
CNF Transportation, Inc. 1,400 54,513
Consolidated Freightways 800 8,650
Corp. (a)
Eagle USA Airfreight, Inc. (a) 1,200 33,600
Expeditors International of 2,600 84,013
Washington, Inc.
FDX Corp. (a) 8,460 359,021
Fritz Companies, Inc. (a) 1,000 11,375
Hunt (J.B.) Transport 1,200 17,775
Services, Inc.
Landstar System, Inc. (a) 300 11,100
M.S. Carriers, Inc. (a) 400 11,400
Roadway Express, Inc. 500 10,531
Swift Transportation Co., 1,850 38,503
Inc. (a)
US Xpress Enterprises, Inc. 600 6,375
(a)
USFreightways Corp. 2,200 106,700
Werner Enterprises, Inc. 1,400 29,619
XTRA Corp. (a) 300 13,594
Yellow Corp. (a) 700 11,113
1,006,039
TOTAL TRANSPORTATION 4,496,666
UTILITIES - 10.6%
CELLULAR - 0.8%
Advanced Radio Telecom Corp. 200 2,188
(a)
Aerial Communications, Inc. 1,000 15,750
(a)
ALLTEL Corp. 11,565 782,083
Associated Group, Inc. Class 1,500 84,188
A (a)
Cellnet Data Systems, Inc. (a) 400 2,788
CoreComm Ltd. (a) 300 15,375
Geotek Communications, Inc. 1,200 22
(a)
LCC International, Inc. (a) 200 1,550
Nextel Communications, Inc. 9,300 537,656
Class A (a)
Paging Network, Inc. (a) 3,500 10,828
Powertel, Inc. (a) 1,700 62,900
Price Communications Corp. 3,465 71,249
QUALCOMM, Inc. 5,000 960,938
SkyTel Communications, Inc. 3,800 75,288
(a)
Sprint Corp. Series 1 (PCS 14,200 848,450
Group)
Telephone & Data Systems, 2,200 153,175
Inc.
United States Cellular Corp. 2,100 118,256
(a)
VoiceStream Wireless Corp. (a) 2,800 115,500
Western Wireless Corp. Class A 2,500 96,719
3,954,903
ELECTRIC UTILITY - 2.5%
AES Corp. (a) 7,600 461,225
SHARES VALUE (NOTE 1)
Allegheny Energy, Inc. 4,000 $ 135,000
Alliant Energy Corp. 5,200 150,475
Ameren Corp. 3,300 132,206
American Electric Power Co., 9,400 341,338
Inc.
Avista Corp. 7,200 124,200
Bangor Hydro-Electric Co. 200 3,288
BEC Energy 1,400 60,463
Black Hills Corp. 400 9,900
Calpine Corp. (a) 1,200 108,750
Carolina Power & Light Co. 2,700 98,213
Central & South West Corp. 11,000 248,875
Cinergy Corp. 4,900 148,838
Citizens Utilities Co. Class B 11,725 128,975
CMP Group, Inc. 3,900 103,594
CMS Energy Corp. 3,400 134,513
Conectiv, Inc. 6,750 144,703
Consolidated Edison, Inc. 6,700 294,800
Constellation Energy Corp. 4,400 130,350
Dominion Resources, Inc. 8,600 397,750
DPL, Inc. 9,350 177,066
DQE, Inc. 2,200 85,113
DTE Energy Co. 4,100 161,694
Duke Energy Corp. 14,300 822,250
Eastern Utilities Associates 1,700 50,894
Edison International 10,200 258,825
Energy East Corp. 5,900 147,500
Entergy Corp. 10,000 298,125
FirstEnergy Corp. 6,857 195,853
Florida Progress Corp. 5,900 276,563
FPL Group, Inc. 7,400 399,600
GPU, Inc. 3,700 126,263
Illinova Corp. 4,600 146,625
IPALCO Enterprises, Inc. 2,600 54,438
Kansas City Power & Light Co. 1,700 40,906
KTI, Inc. (a) 300 2,438
LG&E Energy Corp. 3,800 87,400
MidAmerican Energy Holdings 1,800 51,525
Co. (a)
Minnesota Power, Inc. 2,800 49,875
Montana Power Co. 3,900 120,656
New Century Energies, Inc. 5,300 191,463
New England Electric System 1,800 93,938
Niagara Mohawk Holdings, Inc. 5,700 86,213
(a)
NiSource, Inc. 4,000 95,000
Northeast Utilities (a) 11,900 208,994
Northern States Power Co. 4,400 103,675
Northwestern Corp. 400 9,900
OGE Energy Corp. 2,400 56,400
PacifiCorp 12,900 263,644
PECO Energy Co. 6,400 260,000
PG&E Corp. 15,000 454,688
Pinnacle West Capital Corp. 2,900 110,200
Potomac Electric Power Co. 3,300 87,450
PP&L Resources, Inc. 4,510 126,280
Public Service Co. of New 6,300 118,519
Mexico
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
UTILITIES - CONTINUED
ELECTRIC UTILITY - CONTINUED
Public Service Enterprise 6,300 $ 258,300
Group, Inc.
Puget Sound Power & Light Co. 2,500 59,219
Reliant Energy, Inc. 7,100 196,581
SCANA Corp. 3,100 77,500
Sierra Pacific Resources 1,253 30,542
Southern Co. 27,500 744,219
TECO Energy, Inc. 4,000 84,000
Texas Utilities Co. 12,000 485,250
Unicom Corp. 9,200 355,350
Utilicorp United, Inc. 2,700 62,606
Wisconsin Energy Corp. 3,400 83,088
11,614,084
GAS - 0.9%
AGL Resources, Inc. 200 3,613
Columbia Energy Group 3,800 224,438
Consolidated Natural Gas Co. 4,500 286,594
Contour Energy Co. (a) 660 1,114
CTG Resources, Inc. 300 10,744
Dynegy, Inc. 4,400 103,400
Eastern Enterprises Co. 2,600 116,838
El Paso Energy Corp. 3,400 124,313
Energen Corp. 900 16,988
Enron Corp. 22,600 946,375
Equitable Resources, Inc. 2,100 77,175
K N Energy, Inc. 5,900 120,213
KeySpan Corp. 6,792 200,364
MCN Energy Group, Inc. 3,000 53,625
Midcoast Energy Resources, 3,100 54,638
Inc.
National Fuel Gas Co. 500 23,531
NICOR, Inc. 1,500 58,031
Northwest Natural Gas Co. 3,400 85,000
Ocean Energy, Inc. (a) 4,728 47,871
ONEOK, Inc. 1,200 37,275
Questar Corp. 7,500 141,563
Sempra Energy 11,102 247,713
Sonat, Inc. 3,200 115,600
Southwest Gas Corp. 500 13,938
Southwestern Energy Co. 800 7,150
UGI Corp. 4,300 98,631
Washington Gas Light Co. 1,300 34,694
Western Resources, Inc. 2,000 47,750
WICOR, Inc. 4,000 117,000
Williams Companies, Inc. 13,399 552,709
Yankee Energy System, Inc. 1,800 73,800
4,042,688
TELEPHONE SERVICES - 6.4%
Allegiance Telecom, Inc. (a) 3,000 180,375
Ameritech Corp. 38,500 2,430,313
SHARES VALUE (NOTE 1)
AT&T Corp. 108,725 $ 4,892,625
Bell Atlantic Corp. 52,300 3,203,375
BellSouth Corp. 66,100 2,991,025
Caprock Communications Corp. 1,900 46,788
(a)
CenturyTel, Inc. 6,275 246,686
Cincinnati Bell, Inc. 3,900 72,150
Commonwealth Telephone 500 21,313
Enterprises, Inc. (a)
COMSAT Corp. Series 1 1,500 52,125
Covad Communications Group, 1,650 76,106
Inc.
CTC Communications Corp. (a) 1,400 21,088
Destia Communications, Inc. 3,800 60,800
e.spire Communications, Inc. 1,400 11,200
(a)
Frontier Corp. 4,900 205,494
Global TeleSystems Group, 6,400 206,800
Inc. (a)
GST Telecommunications, Inc. 4,000 55,000
(a)
GTE Corp. 34,300 2,353,838
Hyperion Telecommunications, 900 16,931
Inc. Class A (a)
ICG Communications, Inc. (a) 1,500 31,125
Intermedia Communications, 3,600 93,600
Inc. (a)
ITC DeltaCom, Inc. (a) 1,600 42,200
IXC Communications, Inc. (a) 1,000 35,125
Level 3 Communications, Inc. 11,200 669,200
(a)
Mastech Corp. (a) 3,500 60,594
MCI WorldCom, Inc. (a) 63,642 4,820,882
McLeodUSA, Inc. Class A (a) 5,800 193,575
Metromedia Fiber Network, 4,400 129,525
Inc. Class A (a)
MGC Communications, Inc. (a) 600 13,800
NetMoves Corp. (a) 1,300 8,450
Network Access Solutions 6,600 94,050
Corp. (a)
NEXTLINK Communications, Inc. 1,800 90,675
Class A (a)
NorthEast Optic Network, Inc. 2,600 93,600
(a)
Pacific Gateway Exchange, 1,800 36,675
Inc. (a)
Primus Telecommunications 961 22,584
Group, Inc. (a)
Qwest Communications 23,740 682,525
International, Inc. (a)
RCN Corp. (a) 2,700 113,400
Rhythms NetConnections, Inc. 2,000 76,500
(a)
SBC Communications, Inc. 66,105 3,173,040
Source Media, Inc. (a) 400 3,287
Sprint Corp. (FON Group) 30,300 1,344,563
STAR Telecommunications, Inc. 1,905 10,954
(a)
TALK.com, Inc. (a) 3,800 39,188
TALK.com, Inc. rights 2/28/00 85 0
(a)
Teligent, Inc. Class A (a) 900 56,756
Time Warner Telecom, Inc. 2,400 64,800
Transaction Network Services, 1,500 65,813
Inc. (a)
U.S. WEST, Inc. 18,979 991,653
U.S. LEC Corp. Class A (a) 400 13,000
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
UTILITIES - CONTINUED
TELEPHONE SERVICES - CONTINUED
Viatel, Inc. (a) 700 $ 27,081
WinStar Communications, Inc. 1,300 66,056
(a)
30,308,308
WATER - 0.0%
American Water Works, Inc. 2,300 66,988
United Water Resources, Inc. 3,900 130,650
197,638
TOTAL UTILITIES 50,117,621
TOTAL COMMON STOCKS 465,260,691
(Cost $438,497,053)
PREFERRED STOCKS - 0.0%
CONVERTIBLE PREFERRED STOCKS
- - 0.0%
CONSTRUCTION & REAL ESTATE -
0.0%
REAL ESTATE INVESTMENT TRUSTS
- - 0.0%
Kimco Realty Corp. Series D 36 871
$1.875
DURABLES - 0.0%
AUTOS, TIRES, & ACCESSORIES -
0.0%
Automatic Common Exchange 1,800 24,750
Security Trust II (Republic
Industries, Inc.) $1.55
TRACES
TOTAL CONVERTIBLE PREFERRED 25,621
STOCKS
NONCONVERTIBLE PREFERRED
STOCKS - 0.0%
CONSTRUCTION & REAL ESTATE -
0.0%
REAL ESTATE INVESTMENT TRUSTS
- - 0.0%
Price Enterprises, Inc. 100 1,488
Series A $1.40
TOTAL PREFERRED STOCKS 27,109
(Cost $28,902)
U.S. TREASURY OBLIGATIONS -
3.2%
PRINCIPAL AMOUNT
U.S. Treasury Bills, yield at $ 15,436,000 15,289,052
date of purchase 4.55% to
4.86% 9/9/99 to 12/9/99 (c)
(Cost $15,290,205)
CASH EQUIVALENTS - 3.0%
SHARES VALUE (NOTE 1)
Bankers Trust Institutional 14,416,762 $ 14,416,762
Daily Asset Fund, 5.28% (b)
(Cost $14,416,762)
TOTAL INVESTMENT PORTFOLIO - 494,993,614
104.2% (Cost $468,232,922)
NET OTHER ASSETS - (4.2%) (19,990,542)
NET ASSETS - 100% $ 475,003,072
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C>
FUTURES CONTRACTS
EXPIRATION DATE UNDERLYING FACE AMOUNT UNREALIZED GAIN/(LOSS)
PURCHASED
28 S&P 500 Stock Index Sept. 1999 $ 9,238,600 $ 67,232
Contracts
</TABLE>
THE FACE VALUE OF FUTURES PURCHASED AS A PERCENTAGE OF NET ASSETS -
1.9%
SECURITY TYPE ABBREVIATIONS
TRACES - Trust Automatic Common
Exchange Securities
LEGEND
(a) Non-income producing
(b) The rate quoted is the annualized daily yield of the fund at
period end.
(c) 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 $2,235,000.
OTHER INFORMATION
Purchases and sales of securities, other than short-term securities,
aggregated $277,714,115 and $26,628,567, respectively.
The market value of futures contracts opened and closed during the
period amounted to $255,467,080 and $256,379,047, respectively.
The fund placed a portion of its portfolio transactions with brokerage
firms which are affiliates of Bankers Trust. The commissions paid to
these affiliated firms were $5,753 for the period.
The fund participated in the security lending program. At period end,
the value of securities loaned amounted to $13,937,536. The fund
received cash collateral of $14,416,762 which was invested in the
Bankers Trust Institutional Daily Asset Fund. The fund also received
non-cash collateral of $55,954 which represents U.S. Treasury
obligations.
INCOME TAX INFORMATION
At August 31, 1999, the aggregate cost of investment securities for
income tax purposes was $469,310,031. Net unrealized appreciation
aggregated $25,683,583, of which $58,435,962 related to appreciated
investment securities and $32,752,379 related to depreciated
investment securities.
SPARTAN TOTAL MARKET INDEX FUND
FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
AUGUST 31, 1999 (UNAUDITED)
ASSETS
Investment in securities, at $ 494,993,614
value (cost $468,232,922) -
See accompanying schedule
Cash 245
Receivable for investments 244,209
sold
Receivable for fund shares 2,593,989
sold
Dividends receivable 507,737
Interest receivable 7,297
Receivable from investment 14,922
adviser for expense
reductions
TOTAL ASSETS 498,362,013
LIABILITIES
Payable for investments $ 7,946,950
purchased
Payable for fund shares 809,314
redeemed
Payable for daily variation 39,418
on futures contracts
Other payables and accrued 146,497
expenses
Collateral on securities 14,416,762
loaned, at value
TOTAL LIABILITIES 23,358,941
NET ASSETS $ 475,003,072
Net Assets consist of:
Paid in capital $ 445,700,688
Undistributed net investment 2,092,094
income
Accumulated undistributed net 382,366
realized gain (loss) on
investments
Net unrealized appreciation 26,827,924
(depreciation) on investments
NET ASSETS, for 14,175,072 $ 475,003,072
shares outstanding
NET ASSET VALUE, offering $33.51
price and redemption price
per share ($475,003,072
(divided by) 14,175,072
shares)
STATEMENT OF OPERATIONS
SIX MONTHS ENDED AUGUST 31,
1999 (UNAUDITED)
INVESTMENT INCOME $ 2,079,876
Dividends
Interest 420,995
Security lending 77,649
TOTAL INCOME 2,578,520
EXPENSES
Management fee and $ 467,924
sub-advisory fees
Transfer agent fees 235,722
Accounting fees 81,384
Non-interested trustees' 444
compensation
Registration fees 153,070
Audit 9,739
Legal 212
Miscellaneous 79
Total expenses before 948,574
reductions
Expense reductions (463,255) 485,319
NET INVESTMENT INCOME 2,093,201
REALIZED AND UNREALIZED GAIN
(LOSS)
Net realized gain (loss) on:
Investment securities 273,084
Futures contracts 271,462 544,546
Change in net unrealized
appreciation (depreciation)
on:
Investment securities 10,856,225
Futures contracts (4,895) 10,851,330
NET GAIN (LOSS) 11,395,876
NET INCREASE (DECREASE) IN $ 13,489,077
NET ASSETS RESULTING FROM
OPERATIONS
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
<S> <C> <C>
INCREASE (DECREASE) IN NET SIX MONTHS ENDED AUGUST 31, YEAR ENDED FEBRUARY 28, 1999
ASSETS 1999 (UNAUDITED)
Operations Net investment $ 2,093,201 $ 1,386,745
income
Net realized gain (loss) 544,546 943,115
Change in net unrealized 10,851,330 13,636,635
appreciation (depreciation)
NET INCREASE (DECREASE) IN 13,489,077 15,966,495
NET ASSETS RESULTING FROM
OPERATIONS
Distributions to shareholders (409,383) (994,904)
From net investment income
From net realized gain (409,284) (762,761)
TOTAL DISTRIBUTIONS (818,667) (1,757,665)
Share transactions Net 295,377,271 199,132,653
proceeds from sales of shares
Reinvestment of distributions 787,117 1,689,270
Cost of shares redeemed (47,547,924) (41,593,739)
NET INCREASE (DECREASE) IN 248,616,464 159,228,184
NET ASSETS RESULTING FROM
SHARE TRANSACTIONS
Trading fees 431,060 1,006,563
TOTAL INCREASE (DECREASE) 261,717,934 174,443,577
IN NET ASSETS
NET ASSETS
Beginning of period 213,285,138 38,841,561
End of period (including $ 475,003,072 $ 213,285,138
undistributed net investment
income of $2,092,094 and
$472,562, respectively)
OTHER INFORMATION
Shares
Sold 8,745,184 6,798,202
Issued in reinvestment of 24,101 56,636
distributions
Redeemed (1,408,839) (1,438,525)
Net increase (decrease) 7,360,446 5,416,313
</TABLE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
<S> <C> <C> <C>
SIX MONTHS ENDED AUGUST 31, YEARS ENDED FEBRUARY 28,
1999
SELECTED PER-SHARE DATA (UNAUDITED) 1999 1998 E
Net asset value, beginning of $ 31.30 $ 27.78 $ 25.00
period
Income from Investment
Operations
Net investment income D .20 .41 .15
Net realized and unrealized 2.07 3.33 2.45
gain (loss)
Total from investment 2.27 3.74 2.60
operations
Less Distributions
From net investment income (.05) (.23) (.08)
From net realized gain (.05) (.28) -
Total distributions (.10) (.51) (.08)
Trading fees added to paid in .04 .29 .26
capital
Net asset value, end of period $ 33.51 $ 31.30 $ 27.78
TOTAL RETURN B, C 7.39% 14.61% 11.48%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period $ 475,003 $ 213,285 $ 38,842
(000 omitted)
Ratio of expenses to average .27% A, F .27% F .25% A, F
net assets
Ratio of net investment 1.15% A 1.40% 1.91% A
income to average net assets
Portfolio turnover rate 15% A 4% 7% A
</TABLE>
A ANNUALIZED B TOTAL RETURNS
FOR PERIODS OF LESS THAN ONE
YEAR ARE NOT ANNUALIZED. C
THE TOTAL RETURNS WOULD HAVE
BEEN LOWER HAD CERTAIN
EXPENSES NOT BEEN REDUCED
DURING THE PERIODS SHOWN. D
NET INVESTMENT INCOME PER
SHARE HAS BEEN CALCULATED
BASED ON AVERAGE SHARES
OUTSTANDING DURING THE
PERIOD. E FOR THE PERIOD
NOVEMBER 5, 1997
(COMMENCEMENT OF OPERATIONS)
TO FEBRUARY 28, 1998. F 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.
SPARTAN EXTENDED MARKET INDEX FUND
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). If Fidelity had not reimbursed certain fund
expenses, the total returns would have been lower.
CUMULATIVE TOTAL RETURNS
PERIODS ENDED AUGUST 31, 1999 PAST 6 MONTHS PAST 1 YEAR LIFE OF FUND
SPARTAN EXTENDED MARKET INDEX 10.27% 39.70% 16.85%
Wilshire 4500 9.58% 37.44% 14.07%
Growth & Income Funds Average 7.09% 31.14% n/a
CUMULATIVE TOTAL RETURNS show the fund's performance in percentage
terms over a set period - in this case, six months, one year 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 performance of the Wilshire 4500 Index - a market
capitalization-weighted index of approximately 6,500 U.S. equity
securities. The Wilshire 4500 includes all the stocks in the Wilshire
5000 except for stocks included in the S&P 500. To measure how the
fund's performance stacked up against its peers, you can compare it to
the Growth & Income Funds Average, which reflects the performance of
mutual funds with similar objectives tracked by Lipper Inc. The past
six months average represents a peer group of 936 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 AUGUST 31, 1999 PAST 1 YEAR LIFE OF FUND
SPARTAN EXTENDED MARKET INDEX 39.70% 8.94%
Wilshire 4500 37.44% 7.51%
Growth & Income Funds Average 31.14% 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.
$10,000 OVER LIFE OF FUND
Spartan Ext Mkt Index Wilshire 4500
00398 WA008
1997/11/05 10000.00 10000.00
1997/11/30 9860.00 9736.03
1997/12/31 10105.01 9974.27
1998/01/31 9984.67 9831.84
1998/02/28 10738.83 10583.68
1998/03/31 11276.38 11130.96
1998/04/30 11396.50 11271.99
1998/05/31 10862.86 10745.37
1998/06/30 11044.78 10912.78
1998/07/31 10414.12 10294.57
1998/08/31 8364.44 8299.79
1998/09/30 9003.20 8898.95
1998/10/31 9532.80 9404.68
1998/11/30 10163.47 9989.75
1998/12/31 11046.24 10835.18
1999/01/31 11190.71 11009.19
1999/02/28 10596.30 10410.18
1999/03/31 11004.96 10816.49
1999/04/30 11906.15 11679.10
1999/05/31 11833.76 11577.85
1999/06/30 12353.27 12064.46
1999/07/31 11961.51 11699.39
1999/08/31 11684.72 11408.08
IMATRL PRASUN SHR__CHT 19990831 19990913 085129 R00000000000025
$10,000 OVER LIFE OF FUND: Let's say hypothetically that $10,000 was
invested in Spartan Extended Market Index Fund on November 5, 1997,
when the fund started. As the chart shows, by August 31, 1999, the
value of the investment would have been $11,685 - a 16.85% increase on
the initial investment. For comparison, look at how the Wilshire 4500
Index did over the same period. With dividends and capital gains, if
any, reinvested, the same $10,000 investment would have been $11,407 -
a 14.07% increase.
(checkmark) 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.
SPARTAN EXTENDED MARKET INDEX FUND
FUND TALK: THE SUB-ADVISER'S OVERVIEW
(photograph of Dean Barr)
The following is an interview with Dean Barr, who oversees the Spartan
Extended Market Index Fund's investment management personnel as
Managing Director for Bankers Trust, sub-adviser of the fund.
Q. HOW DID THE FUND PERFORM, DEAN?
A. For the six- and 12-month periods that ended August 31, 1999, the
fund returned 10.27% and 39.70%, respectively (figures do not include
the purchase fee, which was discontinued on April, 28, 1999). During
that time, fund performance compared well against the Wilshire 4500
Index, which returned 9.58% and 37.44%, respectively. The fund also
compares its performance against the growth & income funds average, as
tracked by Lipper Inc., which returned 7.09% and 31.14% during the
same six- and 12-month periods, respectively.
Q. HOW WOULD YOU CHARACTERIZE THE MARKET ENVIRONMENT DURING THE
SIX-MONTH PERIOD?
A. At the beginning of March, blissful economic conditions in the
U.S., characterized by strong growth, low inflation and a passive
Federal Reserve Board, flashed a green light for investors. However,
after three months of strong gains, the green light became a
cautionary yellow signal when the Fed shifted its monetary policy to a
tightening bias on May 18. Despite the more hostile monetary
environment, investors shifted assets into smaller-cap stocks, which
helped the fund and the Wilshire 4500 Index hold on to earlier gains.
During the last three months of the period, the market posted mixed
results as all eyes were again on the Fed amid concerns about
inflation. On June 30, the Fed increased the federal funds rate from
4.75% to 5.00%. The markets were caught off guard, however, as the Fed
shifted its monetary policy stance from a tightening bias to neutral.
While the equity market rallied in response to this more accommodating
monetary stance, the celebration was short-lived following a
larger-than-expected increase in the employment-cost index. Additional
market weakness followed the Fed's decision to raise the federal funds
rate another quarter percentage point to 5.25% on August 24.
Q. LET'S TURN TO SOME OF THE FUND'S MARKET SECTORS, STARTING WITH
TECHNOLOGY, THE LARGEST WEIGHTING FOR THE FUND AND THE INDEX . . .
A. In general, technology stocks fared better than the overall market
during the period. However, the sector did experience its share of
setbacks and volatility. Despite intermittent periods of weakness due
to interest-rate worries and concerns about high stock valuations,
shares of Internet companies such as CMGI, Yahoo! and eBay, which
represent a large component of the Wilshire 4500 Index, held up well
during the period.
Q. FINANCE AND UTILITY STOCKS REPRESENT APPROXIMATELY 25% OF THE INDEX
AND THE FUND. HOW DID THESE SECTORS PERFORM?
A. Financial stocks rebounded in the first and second quarters of 1999
following a global economic crisis in the fall of 1998. As the period
came to a close, however, the sector suffered a sharp drop during July
and August. One factor was the widespread fear that the economy was
growing too fast and that the Federal Reserve would continue to raise
interest rates. On the other hand, most utility stocks provided a
positive contribution to the fund as the demand for telecommunications
services continued to grow at an impressive rate. Despite some
weakness late in the period, stocks such as Qwest Communications,
Level 3 Communications and Cox Communications turned in positive
results.
Q. YOU MENTIONED SOME STOCKS THAT HELPED THE FUND. WHICH STOCKS HURT
PERFORMANCE?
A. Berkshire Hathaway, the fund's largest holding, detracted from
total return. Investors generally shunned shares of this stock due to
the company's large exposure to property and casualty insurance, which
was not viewed as a favorable growth sector. Despite encouraging sales
results and a strong fundamental business model, shares of
Priceline.com also hurt fund performance. Investors grew concerned
about its prospects in the increasingly competitive Internet
e-commerce environment.
Q. WHAT'S YOUR OUTLOOK?
A. I think it is likely that the monetary squeeze will persist over
the next six months as the global economic recovery gathers steam and
the Fed acts to rein in domestic growth and potential inflation. While
the bull market is still intact and there are positive forces at work,
most notably the ongoing mergers and acquisitions boom and
productivity gains, there are some near-term hurdles for the market to
overcome. The deteriorating monetary environment, a cloudy earnings
outlook and lofty stock prices are causes for short-term concern.
THE VIEWS EXPRESSED IN THIS REPORT REFLECT THOSE OF BANKERS TRUST ONLY
THROUGH THE END OF THE PERIOD OF THE REPORT AS STATED ON THE COVER.
ANY SUCH VIEWS ARE SUBJECT TO CHANGE AT ANY TIME BASED ON MARKET OR
OTHER CONDITIONS. FOR MORE INFORMATION, SEE PAGE 2.
NOTE TO SHAREHOLDERS: At a meeting held on September 15, 1999, after
the period covered in this report, shareholders approved a new
sub-advisory agreement among the fund, Fidelity Management & Research
Co., and Bankers Trust.
(checkmark) FUND FACTS
GOAL: total return that corresponds to that of
the Wilshire 4500 Index
FUND NUMBER: 398
TRADING SYMBOL: FSEMX
START DATE: November 5, 1997
SIZE: as of August 31, 1999, more than
$136 million
SUB-ADVISER: Bankers Trust, since inception
SPARTAN EXTENDED MARKET INDEX FUND
INVESTMENT CHANGES
<TABLE>
<CAPTION>
<S> <C> <C>
TOP TEN STOCKS AS OF AUGUST
31, 1999
% OF FUND'S NET ASSETS % OF FUND'S NET ASSETS IN
THESE STOCKS 6 MONTHS AGO
Berkshire Hathaway, Inc. 3.1 3.8
Class A
Yahoo!, Inc. 1.2 1.1
Level 3 Communications, Inc. 0.7 0.6
Qwest Communications 0.7 0.8
International, Inc.
Amazon.com, Inc. 0.7 0.7
Cox Communications, Inc. 0.6 0.7
Class A
eBay, Inc. 0.5 0.5
Equitable Companies (The), Inc. 0.4 0.5
At Home Corp. Series A 0.4 0.5
Biogen, Inc. 0.4 0.3
TOP TEN MARKET SECTORS AS OF
AUGUST 31, 1999
% OF FUND'S NET ASSETS % OF FUND'S NET ASSETS IN
THESE MARKET SECTORS 6
MONTHS AGO
TECHNOLOGY 23.2 19.4
FINANCE 16.2 19.1
UTILITIES 8.5 8.6
MEDIA & LEISURE 7.7 8.0
HEALTH 7.2 7.6
CONSTRUCTION & REAL ESTATE 6.5 7.3
SERVICES 4.3 4.7
RETAIL & WHOLESALE 3.8 4.9
ENERGY 3.6 2.4
DURABLES 3.4 3.7
</TABLE>
PRIOR TO THIS REPORT, CERTAIN INFORMATION RELATED TO PORTFOLIO
HOLDINGS WAS STATED AS A PERCENTAGE OF THE FUND'S INVESTMENTS.
SPARTAN EXTENDED MARKET INDEX FUND
INVESTMENTS AUGUST 31, 1999 (UNAUDITED)
Showing Percentage of Net Assets
COMMON STOCKS - 94.8%
SHARES VALUE (NOTE 1)
AEROSPACE & DEFENSE - 0.7%
AEROSPACE & DEFENSE - 0.4%
AAR Corp. 850 $ 18,169
Advanced Aerodynamics & 600 1,388
Structures, Inc. Class A (a)
Alliant Techsystems, Inc. (a) 808 58,984
Aviall, Inc. (a) 2,500 27,813
BE Aerospace, Inc. (a) 2,100 36,356
Cordant Technologies, Inc. 1,700 70,338
Curtiss-Wright Corp. 300 9,919
Fairchild Corp. Class A (a) 450 4,106
GenCorp, Inc. 1,300 27,950
Harsco Corp. 2,500 69,219
Howmet International, Inc. (a) 3,400 60,775
Kellstrom Industries, Inc. (a) 1,900 19,505
Moog, Inc. Class A (a) 200 6,575
OEA, Inc. 900 6,300
Orbital Sciences Corp. (a) 1,100 24,406
Precision Castparts Corp. 1,900 67,450
Primex Technologies, Inc. 1,500 31,313
Sequa Corp. Class A (a) 300 20,288
Simula, Inc. (a) 100 538
Sturm Ruger & Co., Inc. 800 7,700
United Industrial Corp. 100 931
Wyman-Gordon Co. (a) 1,100 20,213
590,236
DEFENSE ELECTRONICS - 0.2%
Alpha Industries, Inc. (a) 600 34,163
Ashton Technology Group, Inc. 400 3,688
(a)
Cubic Corp. 200 4,800
Ducommun, Inc. (a) 150 1,800
Flir Systems, Inc. (a) 600 9,900
Frequency Electronics, Inc. 150 1,500
Galileo Corp. (a) 1,200 20,325
Litton Industries, Inc. (a) 2,400 153,600
Nichols Research Corp. (a) 600 12,750
REMEC, Inc. (a) 1,700 21,144
Stanford Telecommunications, 1,000 28,750
Inc. (a)
292,420
SHIP BUILDING & REPAIR - 0.1%
Dril-Quip, Inc. (a) 400 11,175
Halter Marine Group, Inc. (a) 2,400 12,750
Newport News Shipbuilding, 2,400 75,450
Inc.
99,375
TOTAL AEROSPACE & DEFENSE 982,031
BASIC INDUSTRIES - 3.0%
CHEMICALS & PLASTICS - 1.3%
Airgas, Inc. (a) 1,600 21,000
Albemarle Corp. 1,440 24,930
Arch Chemicals, Inc. 650 12,797
SHARES VALUE (NOTE 1)
Atmi, Inc. (a) 1,400 $ 46,200
Bush Boake Allen, Inc. (a) 700 18,244
Cabot Corp. 2,100 48,431
Carbide/Graphite Group, Inc. 200 2,650
(The) (a)
ChemFirst, Inc. 600 15,300
Crompton & Knowles Corp. 4,300 75,250
Cytec Industries, Inc. (a) 1,400 32,638
Dexter Corp. 1,700 61,944
Ethyl Corp. 1,200 6,375
First Years, Inc. (The) 200 2,163
Foamex International, Inc. (a) 800 6,575
Fuller (H.B.) Co. 700 42,175
Furon Co. 600 9,600
General Chemical Group, Inc. 1,000 3,438
GenTek, Inc. 400 4,775
Geon Co. 1,600 47,800
Georgia Gulf Corp. 2,500 45,469
Gundle/SLT Environmental, 100 413
Inc. (a)
Hanna (M.A.) Co. 1,700 23,269
Hawkins Chemicals, Inc. 100 784
IMC Global, Inc. 6,280 100,088
International Specialty 2,200 20,763
Products, Inc. (a)
Isolyser, Inc. (a) 1,000 3,906
Ivex Packaging Corp. (a) 500 7,750
Lamson & Sessions Co. (a) 100 531
Lubrizol Corp. 3,100 78,663
Lydall, Inc. (a) 500 5,406
Lyondell Chemical Co. 6,300 91,744
MacDermid, Inc. 1,700 56,313
McWhorter Technologies, Inc. 200 3,375
(a)
Medical Manager Corp. (a) 1,237 73,602
Millennium Chemicals, Inc. 4,300 98,900
Minerals Technologies, Inc. 1,000 49,500
Mississippi Chemical Corp. 800 6,050
Myers Industries, Inc. 550 11,275
NL Industries, Inc. 1,700 20,506
Oil-Dri Corp. of America 100 1,500
OM Group, Inc. 1,600 63,000
Park Electrochemical Corp. 300 8,719
Schulman (A.), Inc. 2,600 46,638
Scotts Co. Class A (a) 1,300 51,594
Solutia, Inc. 6,000 120,000
Spartech Corp. 800 22,250
Stepan Co. 300 7,369
Synalloy Corp. 100 725
Synthetech, Inc. (a) 100 463
Terra Industries, Inc. 1,900 4,275
Tredegar Industries, Inc. 1,155 25,121
Tuscarora Plastics, Inc. 100 1,225
Uniroyal Technology Corp. (a) 100 1,006
USEC, Inc. 6,000 64,875
Valhi, Inc. 3,600 40,725
Valspar Corp. 1,300 47,206
Viskase Companies, Inc. (a) 100 363
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
BASIC INDUSTRIES - CONTINUED
CHEMICALS & PLASTICS -
CONTINUED
Wellman, Inc. 2,300 $ 38,669
Witco Corp. 2,700 43,706
1,770,021
IRON & STEEL - 0.4%
Advanced Technical Products, 100 1,113
Inc. (a)
AK Steel Holding Corp. 1,900 39,900
Ampco-Pittsburgh Corp. 100 1,275
Armco, Inc. (a) 3,500 24,063
Atchison Casting Corp. (a) 100 888
Barnes Group, Inc. 200 3,963
Birmingham Steel Corp. 3,300 24,131
Carpenter Technology Corp. 1,100 25,163
Citation Corp. (a) 600 9,488
Cleveland-Cliffs, Inc. 1,400 44,888
Cold Metal Products, Inc. (a) 100 363
Commercial Metals Co. 700 21,438
Gibraltar Steel Corp. 300 7,388
Huntco, Inc. Class A 100 325
Insteel Industries, Inc. 400 3,575
Keystone Consolidated 100 538
Industries, Inc. (a)
LTV Corp. 6,200 35,650
Material Sciences Corp. (a) 600 8,025
Mueller Industries, Inc. (a) 1,400 43,400
National Steel Corp. Class B 1,400 11,375
Northwest Pipe Co. (a) 100 1,700
NS Group, Inc. (a) 700 8,313
Oregon Steel Mills, Inc. 1,000 10,938
Quanex Corp. 600 15,600
Roanoke Electric Steel Corp. 350 5,950
Rouge Industries, Inc. Class A 500 3,625
Schnitzer Steel Industries, 100 1,775
Inc. Class A
SEMX Corp. (a) 100 494
Shiloh Industries, Inc. (a) 400 4,800
SPS Technologies, Inc. (a) 1,000 39,188
Steel Dynamics, Inc. (a) 3,200 57,600
Steel Technologies, Inc. 300 3,488
Sun Hydraulics Corp. 100 750
Titan International, Inc. 700 7,788
Webco Industries, Inc. (a) 100 438
WHX Corp. (a) 3,100 27,319
496,715
METALS & MINING - 0.5%
AFC Cable Systems, Inc. (a) 900 38,700
Amcol International Corp. 450 6,525
Belden, Inc. 1,000 23,438
Brush Wellman, Inc. 600 10,200
Cable Design Technology Corp. 850 17,903
(a)
Castle A.M. & Co. 400 5,900
Century Aluminum Co. 2,000 19,500
Commonwealth Industries, Inc. 1,600 23,000
SHARES VALUE (NOTE 1)
Commscope, Inc. (a) 1,800 $ 61,988
Encore Wire Corp. (a) 450 4,275
General Cable Corp. 2,550 36,975
IMCO Recycling, Inc. 500 7,875
International FiberCom, Inc. 2,400 18,000
(a)
Kaiser Aluminum Corp. (a) 2,400 21,450
Martin Marietta Materials, 2,600 118,625
Inc.
Matthews International Corp. 500 13,563
Class A
MAXXAM, Inc. (a) 200 11,425
McMoRan Exploration Co. (a) 88 1,777
Metals USA, Inc. (a) 1,200 12,750
Olin Corp. 3,300 46,819
Olympic Steel, Inc. (a) 500 2,984
Optical Cable Corp. (a) 1,200 11,850
Reliance Steel & Aluminum Co. 600 19,875
RTI International Metals, 300 2,794
Inc. (a)
Ryerson Tull, Inc. 764 14,468
Special Metals Corp. (a) 200 900
Superior Telecom, Inc. 1,331 35,022
Titanium Metals Corp. 2,900 24,831
Tremont Corp. 200 4,250
Wolverine Tube, Inc. (a) 700 10,763
628,425
PACKAGING & CONTAINERS - 0.1%
Alltrista Corp. (a) 100 2,500
BWAY Corp. (a) 100 863
EarthShell Corp. (a) 3,100 15,016
Gaylord Container Corp. Class 1,700 13,919
A (a)
Greif Brothers Corp. Class A 700 16,975
Shorewood Packaging Corp. (a) 900 13,275
Silgan Holdings, Inc. (a) 500 9,000
Sonoco Products Co. 5,750 136,563
U.S. Can Corp. (a) 200 4,850
212,961
PAPER & FOREST PRODUCTS - 0.7%
Albany International Corp. 1,025 16,977
Class A
American Bank Note 600 1,350
Holographics, Inc. (a)
American Business Products, 500 7,500
Inc.
American Pad & Paper Co. (a) 400 488
Bowater, Inc. 2,800 150,150
Buckeye Technologies, Inc. (a) 500 7,938
Caraustar Industries, Inc. 800 18,150
Chesapeake Corp. 1,600 54,100
Consolidated Papers, Inc. 3,400 90,525
Georgia-Pacific Corp. (Timber 5,100 122,719
Group)
Glatfelter (P.H.) Co. 1,300 17,144
Longview Fibre Co. 1,600 20,700
Mail-Well, Inc. (a) 1,300 18,525
PalEx, Inc. (a) 100 588
Pentair, Inc. 2,400 109,200
Pope & Talbot, Inc. 400 4,875
Precept Business Services, 600 2,250
Inc. (a)
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
BASIC INDUSTRIES - CONTINUED
PAPER & FOREST PRODUCTS -
CONTINUED
Rayonier, Inc. 1,200 $ 49,800
Rock-Tenn Co. Class A 700 9,888
Smurfit-Stone Container Corp. 4,500 95,344
(a)
The St. Joe Co. 2,700 63,113
Trex Co., Inc. (a) 1,100 22,894
U.S. Timberlands Co. L P 1,100 14,025
Wausau-Mosinee Paper Corp. 1,740 23,925
Workflow Management, Inc. (a) 1,601 21,213
943,381
TOTAL BASIC INDUSTRIES 4,051,503
CONSTRUCTION & REAL ESTATE -
6.5%
BUILDING MATERIALS - 1.1%
Aaon, Inc. (a) 100 1,188
ACX Technologies, Inc. (a) 900 11,138
Alyn Corp. (a) 100 284
American Standard Companies, 3,600 147,600
Inc. (a)
American Woodmark Corp. 100 2,713
Ameron International Corp. 100 4,575
Barnett, Inc. (a) 600 4,950
C3, Inc. (a) 600 7,388
Carlisle Companies, Inc. 2,000 80,000
Centex Construction Products, 700 26,906
Inc.
Continental Materials Corp. 500 10,250
(a)
Dal-Tile International, Inc. 3,600 31,950
(a)
Drew Industries, Inc. (a) 100 1,150
Elcor Corp. 825 15,881
Fastenal Co. 1,700 85,213
Ferro Corp. 1,300 31,200
Florida Rock Industries, Inc. 600 23,963
Flowserve Corp. 1,200 18,975
Giant Cement Holding, Inc. (a) 400 8,850
Hexcel Corp. (a) 1,100 9,213
Hussmann International, Inc. 3,600 61,200
Industrial Holdings, Inc. (a) 100 425
ITEQ, Inc. (a) 300 675
Johns Manville Corp. 5,400 77,625
Justin Industries, Inc. 900 12,853
Lafarge Corp. 2,200 60,500
Lilly Industries, Inc. Class A 700 11,113
Lone Star Industries, Inc. 1,600 55,000
Mestek, Inc. (a) 100 2,100
Mobile Mini, Inc. (a) 1,300 23,725
Nortek, Inc. (a) 100 3,563
Park-Ohio Holdings Corp. (a) 100 1,550
Penn Engineering & 100 2,350
Manufacturing Corp.
(non-vtg.)
Republic Group, Inc. 400 6,375
Robbins & Myers, Inc. 200 4,700
Rock of Ages Corp. Class A (a) 600 4,650
SHARES VALUE (NOTE 1)
ROHN Industries, Inc. (a) 2,000 $ 3,438
RPM, Inc. 6,225 82,870
Selas Corp. of America 100 619
Shaw Group (a) 100 2,050
Southdown, Inc. 1,764 89,082
T.J. International, Inc. 500 14,563
Tecumseh Products Co. Class A 1,300 74,100
Texas Industries, Inc. 1,200 38,400
Thermo TerraTech, Inc. (a) 200 1,075
United Dominion Industries 1,479 34,882
Ltd.
Universal Forest Products, 600 10,313
Inc.
USG Corp. 2,800 137,200
Watsco, Inc. Class A 900 12,600
West Pharmaceutical Services, 479 18,022
Inc.
White Cap Industries, Inc. (a) 1,500 22,313
York International Corp. 2,400 98,700
1,492,018
CONSTRUCTION - 0.6%
American Homestar Corp. (a) 500 2,375
Avatar Holdings, Inc. (a) 1,100 22,275
Beazer Homes USA, Inc. (a) 300 6,656
Butler Manufacturing Co. 200 5,563
California Coastal 13,700 113,025
Communities, Inc. (a)
Castle & Cooke, Inc. (a) 610 8,693
Cavalier Homes, Inc. 600 3,150
Clayton Homes, Inc. 8,875 84,313
Crossman Communities, Inc. (a) 600 15,150
D.R. Horton, Inc. 4,150 60,434
Del Webb Corp. 1,200 26,100
Dominion Homes, Inc. (a) 200 1,325
Emcor Group, Inc. (a) 1,100 23,444
Engle Homes, Inc. 500 5,156
Granite Construction, Inc. 900 22,500
Jacobs Engineering Group, 900 29,700
Inc. (a)
Lennar Corp. 3,700 70,300
M.D.C. Holdings, Inc. 1,700 31,981
M/I Schottenstein Homes, Inc. 200 3,825
Modtech Holdings, Inc. (a) 425 3,666
NCI Building Systems, Inc. (a) 1,100 20,144
NVR, Inc. (a) 800 46,200
Oakwood Homes Corp. 1,500 9,094
Palm Harbor Homes, Inc. (a) 750 11,484
Robertson Ceco Corp. (a) 100 875
Ryland Group, Inc. 700 16,844
Schuler Homes, Inc. (a) 100 684
Skyline Corp. 200 5,550
Southern Energy Homes, Inc. 400 850
(a)
Standard Pacific Corp. 1,600 17,900
Toll Brothers, Inc. (a) 2,500 50,625
U.S. Home Corp. (a) 700 21,000
Vistana, Inc. (a) 1,900 29,688
Walter Industries, Inc. (a) 1,600 19,800
790,369
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
CONSTRUCTION & REAL ESTATE -
CONTINUED
ENGINEERING - 0.2%
Able Telcom Holding Corp. (a) 1,700 $ 14,981
AdForce, Inc. 1,900 30,756
Anthony & Sylvan Pools Corp. 30 236
(a)
Apogee Enterprises, Inc. 800 6,600
Arguss Holdings, Inc. (a) 100 1,575
Comfort Systems USA, Inc. (a) 1,200 16,950
DSP Group, Inc. (a) 900 34,650
DualStar Technologies Corp. 1,500 7,688
(a)
Harding Lawson Associates 100 844
Group, Inc. (a)
ICF Kaiser International, 400 200
Inc. (a)
IDM Environmental Corp. (a) 70 350
MasTec, Inc. (a) 700 19,556
Morrison Knudsen Corp. (a) 1,000 10,750
Primark Corp. (a) 94 2,362
Probusiness Services, Inc. (a) 450 12,038
Quanta Services, Inc. (a) 1,900 42,631
Service Experts, Inc. (a) 1,900 21,375
Stone & Webster, Inc. 400 10,275
Sylvan Learning Systems (a) 3,350 66,581
TransCoastal Marine Services, 1,000 5,875
Inc. (a)
URS Corp. (a) 500 12,375
VSI Holdings, Inc. (a) 100 413
Xceed, Inc. (a) 500 8,906
327,967
REAL ESTATE - 0.3%
American Realty Trust, Inc. 100 1,569
Bluegreen Corp. (a) 800 4,300
BridgeStreet Accomodations, 300 1,331
Inc. (a)
Catellus Development Corp. (a) 6,500 88,969
CB Richard Ellis Services, 1,500 18,750
Inc. (a)
Fairfield Communities, Inc. 3,100 40,300
(a)
Forest City Enterprises, Inc. 900 21,938
Class A
Getty Realty Corp. 400 5,625
Grubb & Ellis Co. (a) 700 3,500
Homestead Village, Inc. (a) 600 1,463
Hovnanian Enterprises, Inc. 100 863
Class A (a)
Insignia Financial Group, 866 8,606
Inc. (a)
Jones Lang LaSalle, Inc. (a) 2,200 28,050
Kaiser Ventures, Inc. (a) 100 1,306
LNR Property Corp. 800 14,900
Merry Land Properties, Inc. 65 313
(a)
Newhall Land & Farming Co. 1,400 31,763
Pierce Leahy Corp. (a) 200 4,275
ResortQuest International, 1,600 14,600
Inc. (a)
Silverleaf Resorts, Inc. (a) 100 669
Stewart Enterprises, Inc. 8,600 46,494
Class A
Stratus Properties, Inc. (a) 100 394
Trammell Crow Co. (a) 2,200 31,350
Trendwest Resorts, Inc. (a) 1,000 24,750
SHARES VALUE (NOTE 1)
Vornado Operating Co. (a) 81 $ 516
Wellsford Real Properties, 625 5,742
Inc. (a)
402,336
REAL ESTATE INVESTMENT TRUSTS
- - 4.3%
Alexander's, Inc. (a) 100 8,044
Alexandria Real Estate 400 11,725
Equities, Inc.
AMB Property Corp. 3,600 77,400
American Health Properties, 800 15,800
Inc.
American Real Estate Partners 200 1,588
L.P. (a)
Amli Residential Properties 500 10,375
Trust (SBI)
Annaly Mortgage Management, 100 956
Inc.
Apartment Investment & 3,417 140,097
Management Co. Class A
Archstone Communities Trust 7,100 151,763
Arden Realty Group, Inc. 4,200 97,913
Associated Estates Realty 700 6,519
Corp.
Avalonbay Communities, Inc. 3,614 127,394
Banyan Strategic Realty Trust 100 538
(SBI)
Bedford Property Investors, 100 1,775
Inc.
Boston Properties, Inc. 3,700 123,256
Boykin Lodging Co. 500 6,875
Bradley Real Estate, Inc. 700 13,388
(SBI)
Brandywine Realty Trust 900 16,144
BRE Properties, Inc. Class A 1,200 30,300
Burnham Pacific Properties, 400 4,575
Inc.
Camden Property Trust (SBI) 3,151 87,440
Capital Automotive 800 10,000
Capstead Mortgage Corp. 1,600 7,300
CarrAmerica Realty Corp. 3,600 82,800
CBL & Associates Properties, 900 22,388
Inc.
Center Trust, Inc. 800 8,700
CenterPoint Properties Trust 600 20,138
Chateau Communities, Inc. 900 26,213
Chelsea GCA Realty, Inc. 500 17,000
Colonial Properties Trust 2,600 70,688
(SBI)
Commercial Net Lease Realty, 1,000 11,563
Inc.
Cornerstone Properties, Inc. 3,800 60,563
Cousins Properties, Inc. 1,000 35,875
Crescent Real Estate Equities 6,600 136,950
Co.
Criimi Mae, Inc. 1,800 4,050
Crown America Realty Trust 900 6,638
Developers Diversified Realty 2,900 43,319
Corp.
Duke Realty Investments, Inc. 6,328 141,985
Dynex Capital, Inc. 375 4,641
Eastgroup Properties, Inc. 500 9,313
Equity Inns, Inc. 1,200 10,500
Equity Office Properties Trust 12,762 326,229
Equity Residential Properties 6,189 272,316
Trust (SBI)
Essex Property Trust, Inc. 600 21,075
Federal Realty Investment 1,300 28,438
Trust (SBI)
FelCor Lodging Trust, Inc. 5,005 89,777
First Industrial Realty 1,500 38,438
Trust, Inc.
First Union Real Estate 1,480 7,955
Equity & Mortgage
Investments (a)
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
CONSTRUCTION & REAL ESTATE -
CONTINUED
REAL ESTATE INVESTMENT TRUSTS
- - CONTINUED
Franchise Finance Corp. of 3,600 $ 78,075
America
Gables Residential Trust (SBI) 1,000 23,938
General Growth Properties, 2,400 79,800
Inc.
Glenborough Realty Trust, 1,400 24,238
Inc.
Glimcher Realty Trust (SBI) 800 12,200
Great Lakes REIT, Inc. 200 3,125
Health Care Property 2,600 67,600
Investors, Inc.
Health Care REIT, Inc. 400 8,050
Healthcare Realty Trust, Inc. 1,266 25,716
Highwoods Properties, Inc. 4,200 104,213
Home Properties of N.Y., Inc. 600 16,200
Hospitality Properties Trust 4,000 107,500
(SBI)
Host Marriott Corp. 7,200 66,600
HRPT Properties Trust 7,900 109,613
Impac Mortgage Holdings, Inc. 700 2,975
Imperial Credit Commercial 1,400 15,313
Mortgage Investment Corp.
Indymac Mortgage Holdings, 2,500 33,594
Inc.
Innkeepers USA Trust 300 2,719
IRT Property Co. 1,000 9,813
Jameson Inns, Inc. 100 900
JDN Realty Corp. 1,100 23,100
JP Realty, Inc. 500 9,688
Kilroy Realty Corp. 900 20,644
Kimco Realty Corp. 3,000 111,750
Koger Equity, Inc. 200 3,450
Konover Property Trust, Inc. 100 650
Kranzco Realty Trust 100 1,188
Lexington Corporate 100 1,119
Properties Trust
Liberty Property Trust (SBI) 3,800 93,100
LTC Properties, Inc. 200 2,225
Macerich Co. 1,500 37,594
Mack-Cali Realty Corp. 3,300 93,638
Manufactured Home 800 19,500
Communities, Inc.
The Meditrust Companies 9,534 85,210
(paired shares)
MeriStar Hospitality Corp. 1,454 24,536
MGI Properties, Inc. 400 3,700
Mid-America Apartment 700 15,269
Communities, Inc.
Mills Corp. 800 15,350
National Golf Properties, 400 8,950
Inc.
National Health Investors, 200 3,550
Inc.
Nationwide Health Properties, 1,400 21,788
Inc.
New Plan Excel Realty Trust 5,740 108,701
Ocwen Asset Investment Corp. 600 2,588
Omega Healthcare Investors, 600 11,963
Inc.
Pacific Gulf Properties, Inc. 300 6,563
Pan Pacific Retail 600 11,138
Properties, Inc.
Parkway Properties, Inc. 100 3,300
Pennsylvania Real Estate 400 7,975
Investment Trust
Pinnacle Holdings, Inc. 2,100 52,894
SHARES VALUE (NOTE 1)
Post Properties, Inc. 2,200 $ 89,925
Prentiss Properties Trust 2,800 63,525
(SBI)
Price Enterprises, Inc. 757 5,867
Prime Retail, Inc. 479 3,593
Prison Realty Corp. 3,925 51,270
ProLogis Trust 8,220 161,318
Public Storage, Inc. 6,572 170,872
Realty Income Corp. 800 19,000
Reckson Associates Realty 3,000 62,250
Corp.
Redwood Trust, Inc. 300 4,219
Regency Realty Corp. 1,900 39,900
RFS Hotel Investors, Inc. 900 10,294
Rouse Co. (The) 4,200 95,550
Saul Centers, Inc. 100 1,544
Shurgard Storage Centers, 900 22,725
Inc. Class A
Simon Property Group, Inc. 9,100 232,050
SL Green Realty Corp. 200 4,163
Smith (Charles E.) 200 6,863
Residential Realty, Inc.
Sovran Self Storage, Inc. 400 9,150
Spieker Properties, Inc. 3,800 145,350
Starwood Financial Trust 2,000 56,000
Storage USA, Inc. 900 26,044
Summit Properties, Inc. 1,100 21,863
Sun Communities, Inc. 500 17,875
Sunstone Hotel Investors, 1,300 11,700
Inc.
Tanger Factory Outlet 100 2,431
Centers, Inc.
Taubman Centers, Inc. 1,700 21,675
Thornburg Mortgage Asset 600 5,513
Corp.
Town & Country Trust 500 8,688
Trinet Corporate Realty 2,000 48,875
Trust, Inc.
United Dominion Realty Trust, 6,700 77,050
Inc.
Universal Health Realty 100 1,888
Income Trust
Urban Shopping Centers, Inc. 500 15,344
Ventas, Inc. 2,000 7,625
Vornado Realty Trust 4,724 161,207
Walden Residential 800 15,050
Properties, Inc.
Washington (SBI) 700 11,288
Weingarten Realty Investors 800 31,750
(SBI)
Western Properties Trust 500 5,531
Westfield America, Inc. 1,000 14,500
Winston Hotels, Inc. 500 4,469
Wyndham International, Inc. 7,215 25,703
Class A (a)
5,833,517
TOTAL CONSTRUCTION & REAL 8,846,207
ESTATE
DURABLES - 3.4%
AUTOS, TIRES, & ACCESSORIES -
1.4%
Aftermarket Technology Corp. 700 6,300
(a)
Amcast Industrial Corp. 1,000 15,875
Arvin Industries, Inc. 1,700 60,775
AutoNation, Inc. (a) 19,500 252,281
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
DURABLES - CONTINUED
AUTOS, TIRES, & ACCESSORIES -
CONTINUED
Aviation Sales Co. (a) 1,300 $ 40,300
Bandag, Inc. 800 26,600
Barrett Resources Corp. (a) 2,000 72,125
Borg-Warner Automotive, Inc. 1,600 75,800
Boyds Wheels, Inc. (a) 800 225
Breed Technologies, Inc. (a) 2,500 1,719
Casey's General Stores, Inc. 1,700 22,738
CLARCOR, Inc. 750 13,453
Colonels International, Inc. 200 1,400
(a)
Copart, Inc. (a) 1,400 30,625
CSK Auto Corp. (a) 600 14,250
Discount Auto Parts, Inc. (a) 500 9,563
Donnelly Corp. Class A 100 1,625
Dura Automotive Systems, Inc. 1,244 32,189
Class A (a)
Evans Systems, Inc. (a) 2,200 4,056
Federal Signal Corp. 3,100 64,906
Federal-Mogul Corp. 3,700 168,813
Gentex Corp. (a) 2,300 43,988
Getty Petroleum Marketing, 100 338
Inc. (a)
Giant Industries, Inc. 100 1,194
Hayes Lemmerz International, 900 25,369
Inc. (a)
IMPCO Technologies, Inc. (a) 100 1,069
Intermet Corp. 900 10,378
Keystone Automotive 900 13,050
Industries, Inc. (a)
Kroll-O'Gara Co. (a) 1,900 36,456
Lear Corp. (a) 3,500 140,656
Lithia Motors, Inc. (a) 900 18,225
Lufkin Industries, Inc. 200 3,175
Mascotech, Inc. 1,400 24,150
McLaren Automotive Group, 300 938
Inc. (a)
Meritor Automotive, Inc. 4,000 87,250
Miller Industries, Inc. (a) 1,500 3,844
Modine Manufacturing Co. 900 26,775
Monaco Coach Corp. (a) 600 17,400
Monro Muffler Brake, Inc. (a) 1,105 7,528
O'Reilly Automotive, Inc. (a) 1,700 65,025
OmniQuip International, Inc. 1,700 35,169
Oshkosh Truck Co. Class B 1,150 38,669
Raytech Corp. (a) 100 425
Simpson Industries, Inc. 600 7,500
Sonic Automotive, Inc. (a) 2,400 28,950
Spartan Motors, Inc. 100 588
SPX Corp. (a) 1,600 135,600
Standard Motor Products, Inc. 1,000 22,500
Standard Products Co. 1,200 41,550
Strattec Security Corp. (a) 100 3,494
Superior Industries 1,000 28,000
International, Inc.
Supreme Industries, Inc. 92 759
Class A
TBC Corp. (a) 700 5,031
Tower Automotive, Inc. (a) 3,100 62,000
SHARES VALUE (NOTE 1)
Ugly Duckling Corp. (a) 200 $ 1,388
United Auto Group, Inc. (a) 300 3,788
Wabash National Corp. 700 14,700
Wynn's International, Inc. 550 9,900
1,882,437
CONSUMER DURABLES - 0.3%
Ballantyne of Omaha, Inc. 530 4,008
Blyth Industries, Inc. (a) 2,800 79,275
Boyds Collection, Ltd. 3,000 40,313
Department 56, Inc. (a) 1,400 39,200
Dupont Photomasks, Inc. (a) 1,000 53,625
Libbey, Inc. 700 21,438
Lifetime Hoan Corp. 100 825
Mikasa, Inc. 500 6,063
Mikohn Gaming Corp. (a) 100 425
Oneida Ltd. 450 10,744
Printrak International, Inc. 100 706
(a)
SAF T LOK, Inc. (a) 2,100 3,544
Samsonite Corp. (a) 243 1,412
Shuffle Master, Inc. (a) 800 6,900
Simpson Manufacturing Co. 400 20,600
Ltd. (a)
Sola International, Inc. (a) 1,600 25,400
314,478
CONSUMER ELECTRONICS - 0.4%
Boston Acoustics, Inc. 200 3,600
Fossil, Inc. (a) 1,725 53,798
General Motors Corp. Class H 5,300 272,950
(a)
Harman International 600 25,500
Industries, Inc.
Movado Group, Inc. 400 10,650
National Presto Industries, 400 15,650
Inc.
Odetics, Inc. Class B (a) 400 4,550
Parkervision, Inc. (a) 1,100 30,456
Recoton Corp. (a) 400 3,150
Royal Appliance Manufacturing 600 3,600
Co. (a)
Salton, Inc. (a) 850 23,694
SRS Labs, Inc. (a) 100 319
Sunbeam Corp. 3,300 20,419
U.S. Industries, Inc. 5,660 91,268
Universal Electronics, Inc. 700 16,800
(a)
576,404
HOME FURNISHINGS - 0.5%
Bassett Furniture Industries, 400 8,150
Inc.
Bombay Co., Inc. (The) (a) 1,200 7,425
Bush Industries, Inc. Class 100 1,306
A.
Ethan Allen Interiors, Inc. 1,300 37,944
Falcon Products, Inc. 100 831
Furniture Brands 3,300 66,206
International, Inc. (a)
Garden Ridge Corp. (a) 2,400 15,900
Haverty Furniture Companies, 600 9,713
Inc.
Heilig-Meyers Co. 1,800 9,563
HON Industries, Inc. 1,900 44,769
Kimball International, Inc. 1,300 25,106
Class B
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
DURABLES - CONTINUED
HOME FURNISHINGS - CONTINUED
Knoll, Inc. (a) 1,200 $ 32,100
La-Z-Boy, Inc. 1,500 32,906
Ladd Furniture, Inc. (a) 300 5,963
Leggett & Platt, Inc. 8,900 196,913
Linens'n Things, Inc. (a) 1,400 47,950
Maxim Group, Inc. (a) 600 3,150
Miller (Herman), Inc. 4,400 103,675
O'Sullivan Industries 500 7,875
Holdings, Inc. (a)
Restoration Hardware, Inc. (a) 1,500 11,813
Rowe Furniture Corp. 100 900
Select Comfort Corp. (a) 700 5,119
Steelcase, Inc. Class A 1,800 26,213
Virco Manufacturing Co. 310 4,805
706,295
TEXTILES & APPAREL - 0.8%
Active Apparel Group, Inc. (a) 200 525
Ashworth, Inc. (a) 600 2,813
Barry (R G) Corp. (a) 100 638
BEBE Stores, Inc. (a) 1,300 31,200
Bluefly, Inc. (a) 400 3,650
Brown Shoe Co., Inc. 1,400 24,325
Burlington Industries, Inc. 2,000 11,375
(a)
Candies, Inc. (a) 700 2,144
Chemfab Corp. (a) 100 1,700
Chic By H I S, Inc. (a) 100 200
Collins & Aikman Corp. 1,800 9,563
Columbia Sportswear Co. (a) 800 14,350
Cone Mills Corp. (a) 800 4,700
Conso International Corp. (a) 100 563
Converse, Inc. (a) 200 438
Crown Crafts, Inc. 100 375
Culp, Inc. 100 906
Cutter & Buck, Inc. (a) 1,400 18,200
Deckers Outdoor Corp. (a) 100 288
Delta Woodside Industries 800 2,900
Dixie Group, Inc. 400 3,400
Donna Karan International, 700 5,775
Inc. (a)
Dyersburg Corp. 100 47
Florsheim Group, Inc. (a) 100 463
G-III Apparel Group Ltd. (a) 1,200 3,450
Galey & Lord, Inc. (a) 400 1,650
Global Sports, Inc. (a) 800 16,400
Guilford Mills, Inc. 700 6,606
Haggar Corp. 300 3,713
Hartmarx Corp. (a) 1,100 4,538
Interface, Inc. Class A 3,100 26,931
Jason, Inc. (a) 100 700
Johnston Industries, Inc. (a) 400 975
Jones Apparel Group, Inc. (a) 4,601 119,338
Jos. A. Bank Clothiers, Inc. 100 500
(a)
K-Swiss, Inc. Class A 900 28,238
SHARES VALUE (NOTE 1)
Kellwood Co. 1,000 $ 23,875
Madden Steven Ltd. (a) 1,500 17,719
Maxwell Shoe, Inc. Class A (a) 500 4,281
McNaughton Apparel Group, 100 900
Inc. (a)
Mohawk Industries, Inc. (a) 1,800 40,725
Mossimo, Inc. (a) 800 6,400
Nautica Enterprises, Inc. (a) 2,900 38,969
North Face, Inc. (a) 500 4,375
Oshkosh B'Gosh, Inc. Class A 800 12,900
Oxford Industries, Inc. 100 2,163
Pacific Sunwear of 900 20,925
California, Inc. (a)
Phillips-Van Heusen Corp. 900 7,650
Pillowtex Corp. 526 5,753
Pluma, Inc. (a) 100 4
Polo Ralph Lauren Corp. Class 2,700 52,313
A (a)
Polymer Group, Inc. (a) 1,000 14,000
Quaker Fabric Corp. (a) 850 4,038
Quiksilver, Inc. (a) 1,250 21,563
Rocky Shoes Boots, Inc. (a) 100 725
Saucony, Inc. (a) 1,100 18,563
Shaw Industries, Inc. 5,180 103,600
Sport-Haley, Inc. (a) 100 494
Stride Rite Corp. 4,400 38,225
Superior Uniform Group, Inc. 100 1,113
Synthetic Industries, Inc. (a) 100 2,550
Tarrant Apparel Group (a) 1,600 23,400
Timberland Co. Class A (a) 700 50,313
Tropical Sportswear 900 17,775
International Corp. (a)
U.S. Home & Garden, Inc. (a) 2,900 8,338
Unifi, Inc. (a) 1,900 25,650
Vans, Inc. (a) 1,900 22,088
Warnaco Group, Inc. Class A 3,664 80,608
WestPoint Stevens, Inc. Class 3,300 79,200
A
Wolverine World Wide, Inc. 1,300 14,706
Worldtex, Inc. (a) 100 238
1,119,716
TOTAL DURABLES 4,599,330
ENERGY - 3.6%
COAL - 0.1%
Arch Coal, Inc. 1,300 17,388
CONSOL Energy, Inc. 5,300 71,219
88,607
ENERGY SERVICES - 1.3%
Atwood Oceanics, Inc. (a) 500 15,750
Aztec Manufacturing Co. 100 1,138
BJ Services Co. (a) 2,600 89,050
CAL Dive International, Inc. 500 18,813
(a)
Carbo Ceramics, Inc. 300 8,025
Dawson Geophysical Co. (a) 200 1,950
Diamond Offshore Drilling, 6,000 229,500
Inc.
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
ENERGY - CONTINUED
ENERGY SERVICES - CONTINUED
Eagle Geophysical, Inc. (a) 639 $ 399
ENSCO International, Inc. 5,200 110,825
Global Industries Ltd. (a) 5,500 61,531
Global Marine, Inc. (a) 6,500 115,375
Input/Output, Inc. (a) 1,600 11,800
Kaneb Services, Inc. (a) 200 875
Key Energy Group, Inc. (a) 5,400 25,313
Layne Christensen Co. (a) 100 950
Lone Star Technologies, Inc. 700 14,000
(a)
Marine Drilling Companies, 1,700 26,988
Inc. (a)
Maverick Tube Corp. (a) 1,500 26,531
Nabors Industries, Inc. (a) 4,046 109,242
Noble Drilling Corp. (a) 5,000 123,125
Oceaneering International, 1,900 38,119
Inc. (a)
Offshore Logistics, Inc. (a) 2,400 28,050
Parker Drilling Co. (a) 6,900 34,500
Patterson Energy, Inc. (a) 2,400 32,250
Pool Energy Services Co. (a) 1,600 42,200
Powell Industries, Inc. (a) 100 850
Pride International, Inc. (a) 3,300 49,088
R&B Falcon Corp. (a) 7,340 94,503
RPC Energy Services, Inc. 900 6,863
SEACOR SMIT, Inc. (a) 1,000 51,938
Seitel, Inc. 1,000 9,750
Smith International, Inc. (a) 1,800 84,038
Tidewater, Inc. 3,100 100,750
Transocean Offshore, Inc. 4,900 166,600
Tuboscope, Inc. (a) 1,400 20,388
Unit Corp. (a) 400 3,075
UTI Energy Corp. (a) 1,400 28,000
Varco International, Inc. (a) 2,400 29,700
Zapata Corp. 800 4,750
1,816,592
INDEPENDENT POWER - 0.0%
Trigen Energy Corp. 100 1,738
OIL & GAS - 2.2%
American International 100 88
Petroleum Corp. (a)
APCO Argentina, Inc. 100 1,900
Basin Exploration, Inc. (a) 1,400 31,850
Belco Oil & Gas Corp. (a) 1,000 6,875
Bellwether Exploration Co. (a) 400 1,750
Benton Oil & Gas Co. (a) 1,100 2,819
Berry Petroleum Co. Class A 300 3,938
Bp Prudhoe Bay Royalty Trust 200 1,888
Brigham Exploration Co. (a) 100 250
Buckeye Partners LP 800 22,000
Cabot Oil & Gas Corp. Class A 2,000 38,125
Carrizo Oil & Gas, Inc. (a) 100 203
Castle Energy Corp. 300 5,044
Chesapeake Energy Corp. (a) 2,698 8,769
SHARES VALUE (NOTE 1)
Comstock Resources, Inc. (a) 1,000 $ 4,625
Conoco, Inc. Class A 9,200 246,100
Cooper Cameron Corp. (a) 2,800 116,550
Costilla Energy, Inc. (a) 100 22
Cross Timbers Oil Co. 3,050 37,744
Crown Central Petroleum Corp. 100 775
Class B (a)
Dailey International, Inc. (a) 100 98
Denbury Resources, Inc. (a) 400 1,688
Devon Energy Corp. 3,887 150,135
Edge Petroleum Corp. (a) 1,200 7,050
EEX Corp. (a) 1,400 6,650
Enron Oil & Gas Co. 7,800 186,225
Enterprise Products Partners 800 15,800
LP
Evergreen Resources, Inc. (a) 1,300 31,606
Forcenergy, Inc. (a) 3,800 2,850
Forest Oil Corp. (a) 3,000 44,813
Friede Goldman International, 1,800 22,050
Inc. (a)
Frontier Oil Corp. (a) 500 4,000
FX Energy, Inc. (a) 500 3,531
Gothic Energy Corp. (a) 300 159
Greka Energy Corp. (a) 16 200
Gulf Island Fabrication, Inc. 800 10,300
(a)
Hallwood Energy Corp. 74 463
Harken Energy Corp. (a) 4,400 7,425
Holly Corp. 300 4,238
Houston Exploration Co. (a) 700 14,875
HS Resources, Inc. (a) 600 10,275
Inland Resources, Inc. (a) 100 75
IRI International Corp. (a) 1,300 6,094
KCS Energy, Inc. 700 656
Key Production Co., Inc. (a) 100 1,000
Louis Dreyfus Natural Gas 2,700 59,063
Corp. (a)
Magnum Hunter Resources, Inc. 900 3,431
Magnum Hunter Resources, Inc. 300 131
warrants 7/1/02 (a)
Mallon Resources Corp. (a) 500 4,031
Markwest Hydrocarbon, Inc. (a) 100 788
Meridian Resource Corp. (a) 1,500 7,125
Miller Exploration Co. (a) 600 1,350
Murphy Oil Corp. 2,500 126,875
National Energy Group, Inc. 900 63
(a)
National-Oilwell, Inc. (a) 3,400 57,800
Newfield Exploration Co. (a) 2,500 75,938
Noble Affiliates, Inc. 3,200 99,200
Nuevo Energy Co. (a) 1,800 31,500
Panaco, Inc. (a) 300 263
Parallel Petroleum Corp. (a) 100 200
Patina Oil & Gas Corp. 200 1,788
Penn Virginia Corp. 200 4,363
Pennzoil-Quaker State Co. 4,866 67,516
Petroleum Development Corp. 100 438
(a)
Pioneer Natural Resources Co. 3,300 37,538
Plains Resources, Inc. (a) 500 9,563
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
ENERGY - CONTINUED
OIL & GAS - CONTINUED
Pogo Producing Co. 2,700 $ 56,363
Range Resources Corp. 1,120 6,160
Remington Oil & Gas Corp. 400 2,075
Resource America, Inc. Class A 1,600 16,000
Santa Fe Snyder Corp. (a) 9,475 92,381
Seven Seas Petroleum, Inc. (a) 1,200 3,300
St. Mary Land & Exploration 500 13,250
Co.
Stone Energy Corp. (a) 1,200 63,900
Swift Energy Co. (a) 1,900 23,988
TEPPCO Partners LP 800 20,500
Tesoro Petroleum Corp. (a) 2,400 43,350
Titan Exploration, Inc. (a) 4,100 22,550
Tom Brown, Inc. (a) 2,300 37,806
Tosco Corp. 6,900 175,950
TransMontaigne, Inc. (a) 1,000 11,875
Ultramar Diamond Shamrock 4,700 122,788
Corp.
UNIFAB International, Inc. (a) 300 2,588
Valero Energy Corp. 3,400 72,250
Vastar Resources, Inc. 4,600 306,475
Veritas DGC, Inc. (a) 700 12,513
Vintage Petroleum, Inc. 2,700 38,644
WD-40 Co. 700 17,150
Weatherford International, 3,760 133,950
Inc. (a)
Western Gas Resources, Inc. 1,700 29,006
Williams Clayton Energy, Inc. 100 900
(a)
Wiser Oil Co. 100 294
XCL Ltd. (a) 500 313
2,978,854
TOTAL ENERGY 4,885,791
FINANCE - 16.2%
BANKS - 4.7%
1st Source Corp. 531 15,665
Abigail Adams National 100 1,325
Bancorp, Inc.
Advanta Corp. 2,000 39,375
Alabama National 100 2,663
BanCorporation Delaware
Allegiant Bancorp, Inc. 260 2,405
Amcore Financial, Inc. 2,600 56,875
American Pacific Bank of 300 1,050
Oregon Class B (a)
Area Bankshares Corp. 200 5,000
Associated Banc-Corp. 3,525 124,256
Atlantic Bank & Trust Co. (a) 1,200 18,150
BancorpSouth, Inc. 800 12,400
BancWest Corp. 2,110 88,224
Bank of Granite Corp. 325 7,028
BankAtlantic Bancorp, Inc. 431 2,721
(non-vtg.) Class A
Banknorth Group, Inc. 1,490 43,210
SHARES VALUE (NOTE 1)
BOK Financial Corp. 1,424 $ 30,705
Boston Private Financial 100 800
Holdings, Inc. (a)
Brenton Banks, Inc. 242 3,343
BT Financial Corp. 400 9,400
Carolina First Corp. 800 17,500
Cathay Bancorp, Inc. 100 3,988
CCB Financial Corp. 2,300 108,675
Centura Banks, Inc. 2,000 92,625
Century South Banks, Inc. 300 7,031
Chemical Financial Corp. 231 7,219
Chittenden Corp. 767 20,805
Citizens Banking Corp. 2,200 58,300
City Holding Co. 111 2,553
City National Corp. 2,800 92,925
CNB Bancshares, Inc. 2,050 117,106
Colonial Bancgroup, Inc. 5,400 66,825
Commerce Bancorp, Inc. 1,810 77,830
Commerce Bancshares, Inc. 3,228 119,234
Community First Bankshares, 3,100 63,647
Inc.
Community Trust Bancorp, Inc. 310 6,975
Compass Bancshares, Inc. 5,750 152,734
Corus Bankshares, Inc. 500 14,313
CPB, Inc. 100 2,306
Cullen Frost Bankers, Inc. 3,400 88,825
CVB Financial Corp. 165 4,290
F & M Bancorp., Inc. 410 13,991
F & M National Corp. 700 22,050
Fidelity National Corp. 500 4,188
Georgia
First American Corp. 6,319 253,550
First BanCorp PR 900 18,563
First Citizen Bancshares, 300 23,475
Inc.
First Commerce Bancshares 100 2,200
First Commonwealth Financial 590 14,197
Corp.
First Financial Bancorp Ohio 1,140 23,584
First Financial Bankshares, 110 3,355
Inc.
First Midwest Bancorp, Inc. 1,976 78,793
First Security Corp. 9,626 208,764
First Tennessee National 6,700 214,400
Corp.
First United Bancshares, Inc. 200 3,138
First Virginia Banks, Inc. 2,900 128,325
Firstmerit Corp. 5,392 141,709
FNB Corp. Pennsylvania 215 5,805
Fulton Financial Corp. 1,545 29,645
GBC Bancorp 595 11,677
Gold Banc Corp., Inc. 500 6,000
Grand Premier Financial, Inc. 110 1,403
Greater Bay Bancorp 700 23,975
Hamilton Bancorp, Inc. (a) 1,100 26,813
Hancock Holding Co. 100 3,813
Hibernia Corp. Class A 8,800 113,850
Hudson United Bancorp 2,557 81,345
Imperial Bancorp 1,804 30,668
Independent Bank Corp. 500 6,750
International Bancshares 425 18,753
Corp.
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
FINANCE - CONTINUED
BANKS - CONTINUED
Irwin Financial Corp. 700 $ 16,800
JeffBanks, Inc. 1,100 32,725
Jefferson Savings Bancorp, 100 1,181
Inc.
Keystone Financial, Inc. 3,300 87,656
M&T Bank Corp. 324 150,336
Mahoning National Bancorp, 700 27,650
Inc.
Marshall & Ilsley Corp. 5,200 304,525
Mercantile Bankshares Corp. 4,200 137,550
Merchants New York Bancorp, 100 3,606
Inc.
MidAmerica Bancorp 103 2,382
Mississippi Valley 300 9,300
Bancshares, Inc.
National Bancorp of Alaska, 900 23,569
Inc.
National City Bancorp. 110 2,186
National City Bancshares, 505 12,909
Inc.
National Commmerce Bancorp 5,900 125,006
National Penn Bancshares, 325 7,109
Inc.
NBT Bancorp, Inc. 339 6,399
New England Community 1,000 27,438
Bancorp, Inc.
North Fork Bancorp, Inc. 6,657 120,658
Old National Bancorp 2,932 87,960
Omega Financial Corp. 200 6,438
One Valley Bancorp West 1,205 46,091
Virginia, Inc.
Oriental Financial Group, 433 10,230
Inc.
Pacific Bank NA 500 9,313
Pacific Capital Bancorp 1,500 46,125
Pacific Century Financial 5,100 94,669
Corp.
Park National Corp. 300 28,800
Peoples Bank Corp. 500 35,438
Indianapolis
Peoples Heritage Financial 5,807 97,630
Group, Inc.
Pinnacle Banc Group, Inc. 200 6,000
Popular, Inc. 7,300 201,206
Premier Bancshares Corp. 2,500 41,719
Prime Bancshares, Inc. 1,300 28,600
Provident Financial Group, 2,400 100,500
Inc.
R&G Financial Corp. Class B 600 9,750
Republic Bancorp, Inc. 3,032 40,932
Republic Bancshares, Inc. (a) 1,100 16,363
Riggs National Corp. 2,300 42,838
S & T Bancorp, Inc. 880 20,405
Seacoast Financial Services 1,077 11,982
Corp.
Silicon Valley Bancshares (a) 1,800 40,388
Sky Financial Group, Inc. 3,341 81,228
Southwest Bancorp Texas, Inc. 2,000 34,500
(a)
Sterling Bancshares, Inc. 850 10,200
Susquehanna Bancshares, Inc. 1,100 18,288
Texas Regional Bancshares, 700 17,894
Inc. Class A
TF Financial Corp. 100 1,750
Triangle Bancorp, Inc. 800 16,250
Trust Co. of New Jersey 600 13,313
Trustco Bank Corp. 805 23,949
SHARES VALUE (NOTE 1)
Trustmark Corp. 2,400 $ 55,350
UAB Financial Corp. 505 21,463
UnionBanCal Corp. 6,500 249,438
United Bankshares, Inc. 1,870 48,036
United National Bancorp 110 2,406
US Trust Corp. 1,000 83,125
USBANCORP, Inc. Pennsylvania 600 8,831
UST Corp. 2,798 84,989
Valley National Bancorp 2,814 73,164
WesBanco, Inc. 600 17,100
West Coast Bancorp 1,610 27,773
Westamerica Bancorp. 2,600 83,038
Western Bancorp 1,500 59,625
Whitney Holding Corp. 300 11,325
Wilmington Trust Corp. 1,100 55,000
Zions Bancorp 4,068 202,383
6,527,860
CREDIT & OTHER FINANCE - 1.6%
Aames Financial Corp. 2,200 2,750
Ace Cash Express, Inc. (a) 100 1,463
Actrade International Ltd. 1,300 17,225
Allied Capital Corp. 3,320 75,011
Allstate Financial Corp. (a) 400 425
AmeriCredit Corp. (a) 3,900 49,969
Ampal-American Israel Corp. 100 538
Class A (a)
AMRESCO, Inc. 4,000 26,750
Arcadia Financial Ltd. (a) 2,400 13,650
Cash America International, 700 5,031
Inc.
CIT Group, Inc. Class A 7,800 185,738
Coast Federal Litigation 300 394
Contingent Payment Rights
Trust rights 12/31/00 (a)
CompuCredit Corp. (a) 900 16,650
Concord EFS, Inc. (a) 5,200 193,050
Consumer Portfolio Services, 600 656
Inc. (a)
ContiFinancial Corp. (a) 1,500 1,969
Credit Acceptance Corp. (a) 1,500 8,813
Delta Financial Corp. (a) 500 3,000
Doral Financial Corp. 1,300 18,038
Equitable Companies (The), 9,500 586,625
Inc.
Financial Federal Corp. (a) 500 9,406
Finet.Com, Inc. (a) 5,400 14,344
Finova Group, Inc. 3,000 114,000
First Alliance Corp. (a) 700 2,100
First Charter Corp. 1,584 34,452
First Sierra Financial, Inc. 1,500 16,500
(a)
Franchise Mortgage Acceptance 1,300 11,131
Co. (a)
Greenpoint Financial Corp. 6,200 160,425
Heller Financial, Inc. Class A 2,764 63,227
Home Gold Financial, Inc. (a) 100 119
IMC Mortgage Co. (a) 1,800 90
Imperial Credit Industries (a) 1,500 8,156
InterCept Group, Inc. (a) 800 18,800
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
FINANCE - CONTINUED
CREDIT & OTHER FINANCE -
CONTINUED
Investors Financial Services 1,000 $ 36,625
Corp.
Life Financial Corp. (a) 300 1,650
Long Beach Financial Corp. (a) 1,700 25,606
Medallion Financial Corp. 500 9,906
Metris Companies, Inc. 1,744 48,069
New Century Financial Corp. 100 1,688
(a)
NextCard, Inc. (a) 2,400 58,800
Old Kent Financial Corp. 5,805 229,298
PMC Capital, Inc. 100 863
Resource Bancshares Mortgage 810 4,860
Group, Inc.
Rock Financial Corp. 1,200 21,000
Southern Pacific Funding 700 56
Corp. (a)
Student Loan Corp. 500 20,000
T&W Financial Corp. (a) 600 4,163
Triad Guaranty, Inc. (a) 100 1,950
UniCapital Corp. (a) 1,700 6,269
WFS Financial, Inc. 500 10,438
Willis Lease Finance Corp. (a) 100 1,475
WMF Group Ltd. (The) (a) 33 128
World Acceptance Corp. (a) 100 575
WSFS Financial Corp. 300 4,388
2,148,302
INSURANCE - 6.3%
20th Century Industries, Inc. 2,500 46,875
Acceptance Insurance Co., 400 5,300
Inc. (a)
Acmat Corp. Class A (a) 100 1,025
Alfa Corp. 500 8,469
Allcity Insurance Co. (a) 300 2,119
Allmerica Financial Corp. 3,000 169,500
Ambac Financial Group, Inc. 3,700 195,406
American Annuity Group, Inc. 1,300 28,681
American Financial Group, 3,800 112,100
Inc.
American Heritage Life 1,900 59,613
Investment Corp.
American National Insurance 700 49,000
Co.
Amerus Life Holdings, Inc. 834 20,120
Argonaut Group, Inc. 2,500 63,125
ARM Financial Group, Inc. 700 175
Class A
Atlantic American Corp. (a) 400 1,450
Baldwin & Lyons, Inc. Class B 200 4,250
Berkley (W.R.) Corp. 2,300 52,325
Berkshire Hathaway, Inc. 66 4,237,200
Class A (a)
Blanch E.W. Holdings, Inc. 900 59,625
Brown & Brown, Inc. 350 12,513
Capital Re Corp. 2,200 26,675
Capitol Transamerica Corp. 300 4,200
Centris Group, Inc. 200 1,588
Ceres Group, Inc. (a) 300 2,363
Chartwell Re Corp. 1,200 19,200
Chicago Title Corp. 1,400 63,438
SHARES VALUE (NOTE 1)
ChoicePoint, Inc. (a) 400 $ 26,325
Citizens, Inc. Class A (a) 100 538
CNA Financial Corp. (a) 7,200 261,900
CNA Surety Corp. 1,300 16,819
Commerce Group, Inc. 1,000 22,250
Core, Inc. (a) 400 3,400
Crawford & Co. Class B 1,500 18,656
Danielson Holding Corp. (a) 400 2,625
Delphi Financial Group, Inc. 828 29,394
Class A
Donegal Group, Inc. 133 1,297
EMC Insurance Group 200 2,050
Enhance Financial Services 2,800 57,400
Group, Inc.
Erie Indemnity Co. Class A 2,000 54,000
Everest Reinsurance Holdings, 3,100 86,025
Inc.
Farm Family Holdings, Inc. (a) 100 3,988
FBL Financial Group, Inc. 1,000 19,813
Class A
Fidelity National Financial, 852 13,100
Inc.
Financial Security Assurance 1,900 95,119
Holdings Ltd.
First American Financial 4,250 63,219
Corp.
First Health Group Corp. (a) 3,300 71,156
Foremost Corp. of America 800 19,000
FPIC Insurance Group, Inc. (a) 1,600 27,800
Fremont General Corp. 3,600 35,775
Frontier Insurance Group, 2,150 26,069
Inc.
Gainsco, Inc. 400 2,525
Gallagher (Arthur J.) & Co. 500 27,313
Guarantee Life Companies, 300 7,538
Inc.
Harleysville Group, Inc. 400 7,775
Hartford Life, Inc. Class A 1,600 69,500
HCC Insurance Holdings, Inc. 1,500 21,938
Healthcare Recoveries, Inc. 1,300 4,956
(a)
Healthplan Services Corp. 2,200 13,750
Highlands Insurance Group, 500 4,250
Inc. (a)
Hilb, Rogal & Hamilton Co. 400 9,650
Horace Mann Educators Corp. 2,600 78,325
HSB Group, Inc. 2,250 83,672
Independence Holding Co. 200 2,250
INSpire Insurance Solutions, 2,100 20,606
Inc. (a)
Interstate National Dealer 100 600
Services, Inc. (a)
Investors Title Co. 100 1,700
LandAmerica Financial Group, 1,500 34,688
Inc.
Liberty Corp. (The) 592 28,453
Liberty Financial Companies, 1,500 38,625
Inc.
Life USA Holding, Inc. 800 16,450
Markel Corp. (a) 400 70,250
MEDE AMERICA Corp. (a) 1,400 32,025
Medical Assurance, Inc. (a) 541 13,593
Merchants Group, Inc. 100 2,325
Mercury General Corp. 3,300 99,825
Meridian Insurance Group, 120 2,040
Inc.
MMI Companies, Inc. 500 6,656
Mobile America Corp. 200 663
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
FINANCE - CONTINUED
INSURANCE - CONTINUED
MONY Group, Inc. 2,900 $ 81,200
Motor Club of America (a) 200 2,425
National Security Group, Inc. 100 1,225
Nationwide Financial 1,900 69,350
Services, Inc. Class A
Navigators Group, Inc. (a) 200 2,800
Nymagic, Inc. 300 4,144
Ohio Casualty Corp. 4,400 67,650
Old Guard Group, Inc. 100 1,394
Old Republic International 7,800 120,900
Corp.
Orion Capital Corp. 1,600 77,200
Penn Treaty American Corp. (a) 200 4,725
Penn-America Group, Inc. 200 1,875
Penncorp Financial Group, 1,100 344
Inc. (a)
Philadelphia Consolidated 400 7,400
Holding Corp. (a)
PICO Holdings, Inc. (a) 100 2,000
PMA Capital Corp. 100 1,981
PMI Group, Inc. 2,600 110,500
Point West Capital Corp. (a) 400 2,050
Presidential Life Corp. 900 16,200
Protective Life Corp. 3,815 113,496
Provident American Corp. (a) 800 14,000
PXRE Corp. 300 5,081
Radian Group, Inc. 2,186 101,239
Reinsurance Group of America, 2,500 80,000
Inc.
Reinsurance Group of America, 200 6,050
Inc. (non-vtg.)
Reliance Group Holdings, Inc. 8,900 42,275
Reliastar Financial Corp. 3,200 144,200
Risk Capital Holdings, Inc. 500 7,500
(a)
RLI Corp. 325 10,908
SCPIE Holding, Inc. 100 3,031
Selective Insurance Group, 600 10,688
Inc.
StanCorp Financial Group, 1,300 30,794
Inc.
State Auto Financial Corp. 900 11,250
Stewart Information Services 400 8,325
Corp.
Symons International Group, 200 1,300
Inc. (a)
Transatlantic Holdings, Inc. 1,700 122,613
Travelers Property Casualty 3,500 124,250
Corp. Class A
Trenwick Group, Inc. 300 6,581
UICI (a) 1,400 36,838
Unico American Corp. 200 1,825
United Fire & Casualty Co. 100 2,306
Unitrin, Inc. 3,800 136,563
Vesta Insurance Group Corp. 600 2,888
Wesco Financial Corp. 200 58,000
White Mountains Insurance 70 9,118
Group, Inc.
Zenith National Insurance 500 10,781
Corp.
8,583,257
SHARES VALUE (NOTE 1)
SAVINGS & LOANS - 1.7%
Alliance Bancorp 100 $ 2,150
Ambanc Holding Co., Inc. 200 3,188
Anchor Bancorp Wisconsin, 800 13,300
Inc.
Andover Bancorp, Inc. 300 9,450
Astoria Financial Corp. 3,290 108,159
Bank Plus Corp. (a) 4,000 18,250
Bank United Corp. Class A 2,100 72,056
BankUnited Financial Corp. 2,100 20,081
Class A (a)
Bay View Capital Corp. 700 11,419
BSB Bancorp, Inc. 200 4,988
Capitol Federal Financial 2,000 20,250
CFS Bancorp, Inc. 800 8,550
Charter One Financial, Inc. 8,822 206,490
Commercial Federal Corp. 3,695 85,909
Commonwealth Bancorp, Inc. 2,100 37,669
Community Savings Bankshares, 700 8,794
Inc.
Dime Bancorp, Inc. 5,600 102,900
Dime Community Bancorp, Inc. 948 20,619
Downey Financial Corp. 510 10,838
Eagle Bancshares, Inc. 400 7,650
First Federal Capital Corp. 600 9,413
First Indiana Corp. 420 9,660
First Republic Bank (a) 300 7,706
First Sentinel Bancorp, Inc. 1,391 12,345
First Washington Bancorp, 410 7,688
Inc.
Firstfed America Bancorp, 100 1,363
Inc.
FirstFed Financial Corp. (a) 600 9,150
Flagstar Bancorp, Inc. 1,000 19,750
Flushing Financial Corp. 750 12,469
Golden State Bancorp, Inc. (a) 7,624 152,957
Harbor Florida Bancshares, 1,000 12,313
Inc.
Harris Financial, Inc. 1,100 11,206
Haven Bancorp, Inc. 400 6,600
Independence Community Bank 4,800 59,400
Corp.
Interwest Bancorp, Inc. 1,850 40,700
ISB Financial Corp. 600 11,475
JSB Financial, Inc. 1,000 53,125
Klamath First Bancorp, Inc. 248 3,457
MAF Bancorp., Inc. 1,100 23,375
MetroWest Bank 100 700
Net.B@nk, Inc. (a) 1,800 41,850
Niagara Bancorp, Inc. 600 6,225
Northwest Bancorp, Inc. 1,500 12,469
Ocean Financial Corp. 2,500 44,688
Ocwen Financial Corp. (a) 1,900 12,706
People's Bank 3,200 84,000
PFF Bancorp, Inc. (a) 2,000 39,750
Provident Bancshares Corp. 2,461 59,372
Queens County Bancorp, Inc. 900 24,750
Reliance BanCorp, Inc. 500 17,281
Republic Security Financial 4,658 44,542
Corp.
Roslyn Bancorp, Inc. 5,035 85,595
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
FINANCE - CONTINUED
SAVINGS & LOANS - CONTINUED
SFS Bancorp, Inc. 200 $ 5,000
Sovereign Bancorp, Inc. 10,313 103,452
St. Paul Bancorp, Inc. 3,500 76,125
Staten Island Bancorp, Inc. 1,300 23,319
Sterling Financial Corp. (a) 100 1,575
TCF Financial Corp. 4,500 127,125
Telebanc Financial Corp. (a) 900 21,263
Timberland Bancorp, Inc. 500 6,313
USABancShares, Inc. (a) 1,500 14,531
Washington Federal, Inc. 4,057 96,861
Webster Financial Corp. 3,068 82,644
Westcorp, Inc. 800 11,200
Westernbank Puerto Rico 1,300 15,600
York Financial Corp. 105 1,516
2,297,314
SECURITIES INDUSTRY - 1.9%
4 Kids Entertainment, Inc. (a) 550 35,372
Acacia Research Corp. (a) 1,400 10,500
Advest Group, Inc. (The) 300 5,738
Affiliated Managers Group, 1,600 42,700
Inc. (a)
Alleghany Corp. 200 36,150
Alliance Capital Management LP 6,400 166,800
American Capital Strategies 1,500 25,969
Ltd.
American Insured Mortgage
Investors:
Series 86 100 569
Series 88 100 788
Ameritrade Holding Corp. 6,600 134,475
Class A (a)
Atalanta Sosnoff Capital 100 975
Corp.
Dain Rauscher Corp. 900 44,663
Donaldson Lufkin & Jenrette, 5,100 243,844
Inc. - DLJdirect
Duff & Phelps Credit Rating 300 22,838
Co.
E*Trade Group, Inc. (a) 9,900 247,500
Eaton Vance Corp. 1,100 33,550
Edwards (A.G.), Inc. 4,700 118,088
Everen Capital Corp. 1,700 51,638
Federated Investors, Inc. 2,600 47,775
Class B
Friedman, Billings, Ramsey 1,200 8,250
Group, Inc. Class A (a)
Gilman & Ciocia, Inc. (a) 200 2,500
Goldman Sachs Group, Inc. 2,700 161,494
Hambrecht & Quist Group (a) 1,500 57,281
Internet Financial Services, 1,100 11,000
Inc. (a)
Investment Technology Group, 897 24,443
Inc.
JB Oxford Holdings, Inc. (a) 900 7,706
Jefferies Group, Inc. 1,300 32,175
John Nuveen Co. Class A 1,500 58,594
JWGenesis Financial Corp. (a) 900 14,794
Knight/Trimark Group, Inc. 4,100 134,275
Class A (a)
Leap Wireless International, 1,950 33,881
Inc. (a)
Legg Mason, Inc. 2,200 84,013
SHARES VALUE (NOTE 1)
Macrovision Corp. (a) 1,200 $ 40,125
Market Guide, Inc. (a) 400 6,600
Meyerson & Co., Inc. (a) 1,100 4,366
Morgan Keegan, Inc. 1,000 16,938
National Discount Brokers 600 18,338
Group, Inc. (a)
Nvest LP 700 15,706
Olympic Cascade Financial 1,000 3,438
Corp. (a)
Omega Worldwide, Inc. (a) 66 289
Phoenix Investment Partners 1,600 13,800
Ltd.
Pilgrim Capital Corp. (a) 500 16,188
PIMCO Advisors Holdings LP 2,667 94,012
Unit
Pioneer Group, Inc. (a) 1,000 15,063
Price (T. Rowe) Associates, 5,700 176,344
Inc.
Raymond James Financial, Inc. 2,800 54,775
Security Capital Group, Inc. 3,600 50,625
Class B (a)
Siebert Financial Corp. 1,400 24,675
Southwest Securities Group, 745 25,144
Inc.
Stifel Financial Corp. 110 1,031
United Asset Management Corp. 3,600 70,425
Value Line, Inc. 300 11,175
Waddell & Reed Financial, 3,100 70,331
Inc. Class A
Wit Capital Group, Inc. (a) 1,100 21,313
2,651,039
TOTAL FINANCE 22,207,772
HEALTH - 7.2%
DRUGS & PHARMACEUTICALS - 4.2%
Aastrom Biosciences, Inc. (a) 100 166
Abgenix, Inc. (a) 1,300 41,763
Abiomed, Inc. (a) 100 1,425
Accredo Health, Inc. (a) 1,000 34,688
Advanced Polymer Systems, 200 963
Inc. (a)
Advanced Tissue Sciences, 3,000 11,063
Inc. (a)
Alexion Pharmaceuticals, Inc. 400 5,350
(a)
Algos Pharmaceutical Corp. (a) 600 4,988
Alkermes, Inc. (a) 1,500 55,688
Allergan Specialty 400 4,900
Therapeutics, Inc. Class A
(a)
Alliance Pharmaceutical Corp. 500 1,563
(a)
Alpharma, Inc. Class A 1,800 60,975
Alteon, Inc. (a) 400 262
Amylin Pharmaceuticals, Inc. 500 1,953
(a)
Andrx Corp. (a) 1,300 93,438
Anesta Corp. (a) 900 10,350
Anika Therapeutics, Inc. (a) 1,100 6,875
Aphton Corp. (a) 200 2,800
Aronex Pharmaceuticals, Inc. 3,200 18,600
(a)
Arqule, Inc. (a) 500 2,594
Atrix Laboratories, Inc. (a) 100 925
AVI BioPharma, Inc. (a) 100 319
Aviron (a) 1,200 33,675
AXYS Pharmaceuticals, Inc. (a) 1,335 5,590
Barr Laboratories, Inc. (a) 1,600 55,200
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
HEALTH - CONTINUED
DRUGS & PHARMACEUTICALS -
CONTINUED
Bio-Technology General Corp. 3,700 $ 37,694
(a)
BioCryst Pharmaceuticals, 1,200 33,000
Inc. (a)
Biogen, Inc. (a) 6,300 483,525
Biomatrix, Inc. (a) 1,700 33,363
BioReliance Corp. (a) 100 675
Biosite Diagnostics, Inc. (a) 500 4,563
BioSource International, Inc. 200 888
(a)
BioTime, Inc. (a) 500 6,406
Biotransplant, Inc. (a) 100 531
Bone Care International, Inc. 100 1,000
(a)
Cadus Pharmaceutical Corp. (a) 100 41
Calypte Biomedical Corp. (a) 1,000 1,469
Cambrex Corp. 800 21,500
Carter-Wallace, Inc. 1,400 25,025
Catalytica, Inc. (a) 1,000 15,688
Cel-Sci Corp. (a) 100 275
Celgene Corp. (a) 600 10,238
Cell Genesys, Inc. (a) 3,000 26,625
Cell Therapeutics, Inc. (a) 100 275
Cellegy Pharmaceuticals, Inc. 200 1,613
(a)
Centocor, Inc. (a) 3,100 185,613
Cephalon, Inc. (a) 800 15,150
Cerus Corp. (a) 900 23,738
Chattem, Inc. (a) 400 9,650
Chirex, Inc. (a) 1,200 36,300
Chiron Corp. (a) 8,600 276,275
Collagen Corp. 1,400 22,750
Collagenex Pharmaceuticals, 500 5,500
Inc. (a)
Columbia Laboratories, Inc. 1,000 6,375
(a)
Copley Pharmaceutical, Inc. 800 8,700
(a)
COR Therapeutics, Inc. (a) 1,600 34,900
Corixa Corp. (a) 100 1,350
Coulter Pharmaceutical, Inc. 1,200 23,925
(a)
Creative Biomolecules, Inc. 500 1,813
(a)
Crescendo Pharmaceuticals 1,100 19,250
Corp. (a)
Cubist Pharmaceuticals, Inc. 1,900 17,931
(a)
Curative Health Services, 800 4,400
Inc. (a)
CV Therapeutics, Inc. (a) 1,500 23,813
Cypros Pharmaceutical Corp. 200 450
(a)
Cytotherapeutics, Inc. (a) 200 231
Cytyc Corp. (a) 500 16,875
Diacrin, Inc. (a) 100 541
Diagnostic Products Corp. 500 13,000
Diatide, Inc. (a) 100 806
Dura Pharmaceuticals, Inc. (a) 3,100 41,269
Duramed Pharmaceuticals, Inc. 1,200 12,300
(a)
Embrex, Inc. (a) 100 838
Emisphere Technologies, Inc. 100 1,250
(a)
EntreMed, Inc. (a) 500 10,438
Enzo Biochem, Inc. (a) 1,810 41,743
Enzon, Inc. (a) 1,300 43,875
SHARES VALUE (NOTE 1)
Epitope, Inc. (a) 100 $ 738
Epix Medical, Inc. (a) 100 513
Ergo Science Corp. (a) 100 125
Forest Laboratories, Inc. (a) 4,100 198,850
Fuisz Technologies Ltd. (a) 2,300 15,669
GelTex Pharmaceuticals, Inc. 1,800 24,300
(a)
Genome Therapeutics Corp. (a) 200 913
Genzyme Corp. 519 3,374
Genzyme Corp.:
(General Division) 3,300 186,244
(Molecular Oncology) (a) 483 2,174
Genzyme Transgenics Corp. (a) 100 663
Geron Corp. (a) 1,300 14,056
Gilead Sciences, Inc. (a) 1,605 125,090
Gliatech, Inc. (a) 1,100 22,206
Guilford Pharmaceuticals, 1,600 21,600
Inc. (a)
Hauser, Inc. (a) 25 138
Hemispherx Biopharma, Inc. (a) 1,100 6,738
Herbalife International, Inc. 466 5,592
Class A
Heska Corp. (a) 600 1,425
Hollis-Eden Pharmaceutcals, 1,100 14,575
Inc. (a)
Human Genome Sciences, Inc. 1,200 81,675
(a)
Hyseq, Inc. (a) 100 344
ICN Pharmaceuticals, Inc. 2,500 51,875
ICOS Corp. (a) 1,500 47,719
IDEC Pharmaceuticals Corp. (a) 800 101,650
Idexx Laboratories, Inc. (a) 2,700 45,900
IGEN International, Inc. (a) 1,000 23,750
Ilex Oncology, Inc. (a) 1,400 24,500
Imclone Systems, Inc. (a) 1,500 43,500
Immucor, Inc. (a) 1,300 18,688
Immune Response Corp. (a) 2,000 11,187
Immunex Corp. (a) 6,800 457,725
Incyte Pharmaceuticals, Inc. 900 25,538
(a)
Inhale Therapeutic Systems, 1,300 42,819
Inc. (a)
Interferon Sciences, Inc. (a) 20 6
International Isotopes, Inc. 200 1,500
(a)
Interneuron Pharmaceuticals, 600 900
Inc. (a)
Isis Pharmaceuticals Co. (a) 2,500 25,313
IVAX Corp. (a) 5,300 87,450
Jones Pharma, Inc. 2,100 56,831
K V Pharmaceutical Co. Class 350 5,972
A (a)
Kendle International, Inc. (a) 1,200 12,525
King Pharmaceuticals, Inc. (a) 1,900 65,788
Kos Pharmaceuticals, Inc. (a) 600 3,488
KRUG International Corp. (a) 100 163
LeukoSite, Inc. (a) 1,000 25,875
Ligand Pharmaceuticals, Inc. 3,500 23,625
Class B (a)
Liposome, Inc. (a) 1,200 23,663
Lynx Therapeutics, Inc. (a) 700 9,056
MacroChem Corp. (a) 700 4,791
Magainin Pharmaceuticals, 200 275
Inc. (a)
Martek Biosciences (a) 200 1,713
Matritech, Inc. (a) 100 84
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
HEALTH - CONTINUED
DRUGS & PHARMACEUTICALS -
CONTINUED
Matrix Pharmaceutical, Inc. 2,700 $ 9,619
(a)
Maxim Pharmaceuticals, Inc. 100 788
(a)
Medarex, Inc. (a) 500 2,531
Medco Research, Inc. (a) 100 2,288
Medicis Pharmaceutical Corp. 900 24,525
Class A (a)
Medimmune, Inc. (a) 2,400 247,650
Meridian Diagnostics, Inc. 100 763
MGI Pharma, Inc. (a) 800 9,500
Microcide Pharmaceuticals, 600 2,963
Inc. (a)
Microvision, Inc. (a) 1,000 16,375
Millennium Pharmaceuticals, 1,600 94,300
Inc. (a)
Miravant Medical Technologies 500 4,625
(a)
Molecular Biosystems, Inc. (a) 600 1,275
Mylan Laboratories, Inc. 4,668 92,485
Myriad Genetics, Inc. (a) 300 3,525
NaPro BioTherapeutics, Inc. 1,700 3,931
(a)
Nature's Sunshine Products, 300 2,925
Inc.
NBTY, Inc. (a) 5,200 42,250
Neopath, Inc. (a) 800 2,600
NeoRX Corp. (a) 900 1,772
Neose Technologies, Inc. (a) 100 1,425
NeoTherapeutics, Inc. (a) 300 2,794
Neurogen Corp. (a) 500 8,063
North American Vaccine, Inc. 700 4,900
(a)
Northfield Laboratories, Inc. 500 6,125
(a)
Novavax, Inc. (a) 100 394
Noven Pharmaceuticals, Inc. 700 4,463
(a)
NPS Pharmaceuticals, Inc. (a) 100 675
Nutraceutical International 600 2,775
Corp. (a)
Omni Nutraceuticals, Inc. (a) 800 1,650
ONYX Pharmaceuticals, Inc. (a) 700 5,688
Organogenesis, Inc. (a) 931 7,448
Ortec International, Inc. (a) 200 1,800
OSI Pharmaceuticals, Inc. (a) 200 1,125
OXiGENE, Inc. (a) 800 6,950
PAREXEL International Corp. 2,400 23,700
(a)
PathoGenesis Corp. (a) 500 8,750
PE Corp. (Celera Genomics 1,700 48,875
Group) (a)
Pharmaceutical Product 2,100 42,525
Development, Inc. (a)
Pharmacyclics, Inc. (a) 1,000 28,250
PharmaPrint, Inc. (a) 2,300 11,069
Polymedica Industries, Inc. 100 2,638
(a)
Protein Design Labs, Inc. 1,400 37,275
Pure World, Inc. 440 1,595
Quintiles Transnational Corp. 4,181 149,732
(a)
Regeneron Pharmaceuticals, 1,000 9,500
Inc. (a)
Rexall Sundown, Inc. (a) 3,200 40,000
Ribozyme Pharmaceuticals, 300 1,556
Inc. (a)
Roberts Pharmaceutical Corp. 2,000 53,625
(a)
SafeScience, Inc. (a) 1,200 25,350
SHARES VALUE (NOTE 1)
Sangstat Medical Corp. (a) 1,400 $ 28,875
Schein Pharmaceutical, Inc. 1,100 15,263
(a)
Scios, Inc. (a) 1,500 5,531
Sepracor, Inc. (a) 1,600 119,800
Serologicals Corp. (a) 1,750 11,156
Shaman Pharmaceuticals, Inc. 5 1
(a)
SICOR, Inc. (a) 2,700 10,800
SkyePharma PLC rights 200 0
12/31/99 (a)
SonoSight, Inc. (a) 1,000 27,750
Spectrx, Inc. (a) 100 813
Sugen, Inc. (a) 1,000 31,250
SuperGen, Inc. (a) 1,400 28,000
Synaptic Pharmaceutical Corp. 500 3,656
(a)
Technical Chemicals & 100 116
Products, Inc. (a)
Texas Biotechnology Corp. (a) 300 1,181
Theragenics Corp. (a) 1,000 9,813
Thermotrex Corp. (a) 600 4,538
Titan Pharmaceuticals, Inc. 100 850
(a)
Transkaryotic Therapies, Inc. 1,200 47,250
(a)
Triangle Pharmaceuticals, 1,100 20,213
Inc. (a)
Trimeris, Inc. (a) 1,000 24,563
Twinlab Corp. (a) 2,200 19,456
U.S. Bioscience, Inc. (a) 300 3,469
V.I. Technologies, Inc. (a) 800 4,300
Valentis, Inc. (a) 157 854
Ventana Medical Systems, Inc. 1,500 24,000
(a)
Vertex Pharmaceuticals, Inc. 1,700 47,175
(a)
Vical, Inc. (a) 500 6,688
ViroPharma, Inc. (a) 1,100 19,113
Vivus, Inc. (a) 1,100 3,541
Weider Nutrition 400 1,700
International, Inc. Class A
XOMA Ltd. (a) 4,500 20,531
Zonagen, Inc. (a) 1,100 4,400
5,686,478
MEDICAL EQUIPMENT & SUPPLIES
- - 1.9%
Acuson Corp. (a) 800 12,600
ADAC Laboratories (a) 1,100 6,463
Advanced Neuromodulation 100 869
Systems, Inc. (a)
Aksys Ltd. (a) 100 588
ALARIS Medical, Inc. (a) 1,900 6,294
Allied Healthcare Products, 100 288
Inc. (a)
American Dental Technologies, 100 288
Inc. (a)
AmeriSource Health Corp. 2,900 74,856
Class A (a)
Angeion Corp. (a) 40 129
Aradigm Corp. (a) 100 909
Arrow International, Inc. 700 20,300
Arthrocare Corp. (a) 800 28,650
ATS Medical, Inc. (a) 100 963
Avitar, Inc. (a) 2,400 7,500
Bacou USA, Inc. (a) 600 10,800
Ballard Medical Products 2,500 61,250
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
HEALTH - CONTINUED
MEDICAL EQUIPMENT & SUPPLIES
- - CONTINUED
Baxter International, Inc. 100 $ 8
rights 12/31/07 (a)
Bergen Brunswig Corp. Class A 4,925 76,030
Bindley Western Industries, 810 13,568
Inc.
Bio-Plexus, Inc. (a) 100 400
Bio-Rad Laboratories, Inc. 300 7,988
Class A (a)
Bio-Vascular, Inc. (a) 400 1,150
Bionx Implants, Inc. (a) 100 425
Bolle, Inc. (a) 100 263
Bradley Pharmaceuticals, Inc. 1,200 1,350
Class A (a)
BriteSmile, Inc. (a) 1,400 13,125
Candela Corp. (a) 900 12,600
Cardiac Pathways Corp. (a) 20 73
Cardima, Inc. (a) 900 1,575
CardioThoracic Systems, Inc. 1,300 23,644
(a)
Cell Tech International, Inc. 10 51
(a)
Chad Therapeutics, Inc. (a) 100 106
Closure Medical Corp. (a) 1,300 18,525
CNS., Inc. (a) 300 1,088
Coherent, Inc. (a) 800 15,150
Cohesion Technologies, Inc. 100 588
(a)
Colorado Medtech, Inc. (a) 1,300 24,863
Computer Motion, Inc. (a) 400 4,425
Conceptus, Inc. (a) 100 147
CONMED Corp. (a) 1,400 39,200
Cooper Companies, Inc. 200 4,788
Cyberonics, Inc. (a) 1,500 27,844
Cygnus, Inc. (a) 300 3,506
Datascope Corp. 600 18,750
Dentsply International, Inc. 3,400 84,363
Diametrics Medical, Inc. (a) 2,500 14,063
Dianon Systems, Inc. (a) 100 1,075
Digene Corp. (a) 100 1,275
Dionex Corp. (a) 800 31,850
E-Z-EM, Inc. Class A (a) 100 525
Eclipse Surgical Technologies 2,180 31,338
(a)
EMPI, Inc. (a) 100 2,644
Endocardial Solutions, Inc. 100 963
(a)
Endosonics Corp. (a) 400 3,325
Fischer Imaging Corp. (a) 100 131
General Surgical Innovations, 200 1,406
Inc. (a)
Graham-Field Health Products, 400 525
Inc. (a)
Guardian Technologies 1,400 1,663
International, Inc. (a)
Haemonetics Corp. (a) 1,000 19,563
Heartport, Inc. (a) 800 1,850
Henry Schein, Inc. (a) 2,800 47,775
Hillenbrand Industries, Inc. 3,900 111,150
Hologic, Inc. (a) 600 2,963
Horizon Medical Products, 600 1,950
Inc. (a)
I-Stat Corp. (a) 100 1,063
SHARES VALUE (NOTE 1)
ICU Medical, Inc. (a) 100 $ 1,613
Imatron, Inc. (a) 2,400 3,000
Innovasive Devices, Inc. (a) 1,700 11,900
Integrated Surgial Systems, 3,500 10,719
Inc. (a)
Intermagnetics General Corp. 402 2,462
Interpore International (a) 500 3,219
Invacare Corp. 1,900 35,506
Iridex Corp. (a) 100 463
Kensey Nash Corp. (a) 100 1,081
KeraVision, Inc. (a) 1,200 18,900
Laserscope, Inc. (a) 100 109
LaserSight, Inc. (a) 1,100 13,613
Lifecore Biomedical, Inc. (a) 100 1,081
Lunar Corp. (a) 100 800
Maxxim Medical, Inc. (a) 400 9,850
Mentor Corp. 700 16,363
Merit Medical Systems, Inc. 100 650
(a)
Micro Therapeutics, Inc. (a) 100 1,025
Milestone Scientific, Inc. (a) 200 150
MiniMed, Inc. (a) 1,200 109,125
Minntech Corp. 100 1,113
NCS HealthCare, Inc. (a) 2,500 9,063
Neoprobe Corp. (a) 400 213
Nexell Therapeutics, Inc. (a) 500 719
NMT Medical, Inc. (a) 100 228
Novametrix Medical Systems, 200 800
Inc. (a)
Novoste Corp. (a) 1,300 28,519
Oakley, Inc. (a) 2,300 14,088
Ocular Sciences, Inc. (a) 1,700 27,944
OEC Medical Systems, Inc. (a) 1,200 41,400
Omnicare, Inc. 5,600 53,900
Optical Sensors, Inc. (a) 100 103
Osteotech, Inc. (a) 1,400 28,875
Owens & Minor, Inc. 1,100 12,169
Palomar Medical Technologies, 185 445
Inc. (a)
Patterson Dental Co. (a) 2,050 84,050
Perclose, Inc. (a) 800 42,350
Perrigo Co. (a) 2,800 22,225
PharmaNetics, Inc. (a) 100 650
Photoelectron Corp. (a) 100 256
PLC Systems, Inc. (a) 600 1,838
Possis Medical, Inc. (a) 100 1,031
Premier Laser Systems, Inc. 400 700
Class A (a)
Priority Healthcare Corp. (a) 1,606 45,169
Protocol Systems, Inc. (a) 100 725
PSS World Medical, Inc. (a) 4,675 41,783
Q-Medical, Inc. (a) 100 438
Quigley Corp. (a) 600 2,963
Radiance Medical Systems, 100 525
Inc. (a)
Resmed, Inc. (a) 1,100 30,525
Respironics, Inc. (a) 1,092 10,852
Sabratek Corp. (a) 1,200 4,650
Schick Technologies, Inc. (a) 1,100 2,338
Scott Technologies, Inc. 1,000 18,969
Class A (a)
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
HEALTH - CONTINUED
MEDICAL EQUIPMENT & SUPPLIES
- - CONTINUED
Sonus Pharmaceuticals, Inc. 700 $ 2,581
(a)
Spacelabs Medical, Inc. (a) 800 12,400
Staar Surgical Co. (a) 100 1,188
Steris Corp. (a) 2,200 27,638
Stryker Corp. 4,200 242,025
Summit Technology, Inc. 1,081 17,296
Sunrise Medical, Inc. (a) 800 5,600
Sunrise Technologies, Inc. (a) 3,700 15,725
Sybron International, Inc. (a) 5,600 144,200
Techne Corp. (a) 900 27,900
Thermedics, Inc. (a) 1,300 8,694
Thermo Cardiosystems, Inc. (a) 1,300 10,888
Thoratec Laboratories Corp. 200 1,800
(a)
Trex Medical Corp. (a) 1,000 4,375
Uromed Corp. (a) 120 143
Vallen Corp. (a) 100 1,413
Varian Medical Systems, Inc. 2,300 49,738
Vasomedical, Inc. (a) 400 488
Vidamed, Inc. (a) 100 200
Vista Medical Technologies, 100 56
Inc. (a)
VISX, Inc. (a) 2,600 235,300
Vital Signs, Inc. 300 6,019
Vivid Technologies, Inc. (a) 400 1,475
Voxel (a) 100 0
Wesley Jessen Visioncare, 1,300 39,894
Inc. (a)
Xomed Surgical Products, Inc. 850 49,991
(a)
Zila, Inc. (a) 1,800 5,681
Zoll Medical Corp. (a) 1,000 25,125
2,616,515
MEDICAL FACILITIES MANAGEMENT
- - 1.1%
Advance Paradigm, Inc. (a) 300 15,900
American Healthcorp, Inc. (a) 100 669
American HomePatient, Inc. (a) 500 438
American Medical Securities 500 4,375
Group, Inc.
AmeriPath, Inc. (a) 700 6,563
Amsurg Corp. Class A (a) 9 66
Apria Healthcare Group, Inc. 1,600 27,000
(a)
ARV Assisted Living, Inc. (a) 100 306
Beverly Enterprises, Inc. (a) 5,600 28,000
Cambridge Heart, Inc. (a) 1,200 4,650
Carematrix Corp. (a) 2,500 20,313
Centennial Healthcare Corp. 500 2,000
(a)
Chronimed, Inc. (a) 100 763
Clintrials Research, Inc. (a) 200 1,200
Comprehensive Care Corp. (a) 300 122
Covance, Inc. (a) 3,800 61,038
Coventry Health Care, Inc. (a) 1,200 12,075
Cryolife, Inc. (a) 100 1,419
Diagnostic Health Services, 600 225
Inc. (a)
Emeritus Corp. (a) 100 763
Express Scripts, Inc. Class A 1,400 94,325
(a)
SHARES VALUE (NOTE 1)
Foundation Health Systems, 4,200 $ 53,550
Inc. Class A (a)
Genesis Health Ventures, Inc. 1,200 3,075
(a)
Global Unilabs Clinical 100 0
Trials Ltd.
Hanger Orthopedic Group, Inc. 200 2,750
(a)
Health Management Associates, 9,000 72,000
Inc. Class A (a)
Health Power, Inc. (a) 400 900
Health Risk Management, Inc. 100 875
(a)
Home Health Corp. of America, 100 6
Inc. (a)
Hooper Holmes, Inc. 400 9,200
IMPATH, Inc. (a) 400 10,900
Innovative Clinical Solutions 1,100 1,341
Ltd. (a)
Integrated Health Services, 1,700 5,206
Inc. (a)
Laboratory Corp. of America 4,100 11,788
Holdings (a)
Laser Vision Centers, Inc. (a) 1,600 38,300
LCA-Vision, Inc. (a) 2,300 15,381
Lifepoint Hospitals, Inc. (a) 3,500 24,063
Lincare Holdings, Inc. 1,900 50,113
LTC Healthcare, Inc. (a) 20 33
Mariner Post-Acute Network, 3,100 1,744
Inc. (a)
Matria Healthcare, Inc. (a) 3,000 17,813
Maxicare Health Plans, Inc. 600 2,925
(a)
Medical Resources, Inc. (a) 133 187
MedicalControl, Inc. (a) 400 3,200
Medquist, Inc. (a) 2,100 73,106
Mid-Atlantic Medical 1,600 13,500
Services, Inc. (a)
Monarch Dental Corp. (a) 400 1,238
Neurocrine Biosciences, Inc. 800 3,350
(a)
NovaCare, Inc. (a) 1,000 1,125
Orthodontic Centers of 2,500 40,625
America, Inc. (a)
Orthologic Corp. (a) 900 2,250
Oxford Health Plans, Inc. (a) 2,800 43,400
PacifiCare Health Systems, 2,300 138,000
Inc. Class A (a)
Paracelsus Healthcare Corp. 300 375
(a)
Pediatric Services of 100 144
America, Inc. (a)
Pediatrix Medical Group (a) 500 7,469
PHP Healthcare Corp. (a) 200 18
Phycor, Inc. (a) 4,000 16,250
PMR Corp. (a) 300 863
Province Healthcare Co. (a) 1,500 23,625
Psychemedics Corp. 300 1,406
Quest Diagnostics, Inc. (a) 1,300 34,369
Quorum Health Group, Inc. (a) 4,700 41,419
Raytel Medical Corp. (a) 100 281
RehabCare Group, Inc. (a) 300 6,281
Renal Care Group, Inc. (a) 3,000 57,375
Renex Corp. (a) 100 531
Res-Care, Inc. (a) 650 12,269
Response Oncology, Inc. (a) 200 200
RightCHOICE Managed Care, 200 2,163
Inc. Class A (a)
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
HEALTH - CONTINUED
MEDICAL FACILITIES MANAGEMENT
- - CONTINUED
Safeguard Health Enterprises, 200 $ 750
Inc. (a)
SIBIA Neurosciences, Inc. (a) 100 856
Sierra Health Services, Inc. 800 9,500
(a)
Specialty Care Network, Inc. 100 369
(a)
Sun Healthcare Group, Inc. (a) 3,950 1,304
Sunrise Assisted Living, Inc. 1,700 42,394
(a)
Syncor International Corp. (a) 1,000 36,000
Total Renal Care Holdings, 5,100 41,119
Inc. (a)
TransWorld Healthcare, Inc. 100 200
(a)
Triad Hospitals, Inc. (a) 3,000 33,563
Trigon Healthcare, Inc. (a) 2,500 90,781
UniHolding Corp. (a) 100 250
United Payors & United 650 13,041
Providers, Inc. (a)
United Wisconsin Services, 200 1,413
Inc.
Universal Health Services, 2,200 73,425
Inc. Class B (a)
Urocor, Inc. (a) 100 450
Urologix, Inc. (a) 600 2,175
US Oncology, Inc. (a) 3,258 33,395
Vencor, Inc. (a) 2,400 192
VisionAmerica, Inc. (a) 1,800 12,600
1,522,969
TOTAL HEALTH 9,825,962
HOLDING COMPANIES - 0.1%
Leucadia National Corp. 3,000 63,563
Triarc Companies, Inc. Class 775 16,275
A (a)
79,838
INDUSTRIAL MACHINERY &
EQUIPMENT - 2.4%
ELECTRICAL EQUIPMENT - 1.1%
Acme Electric Corp. (a) 100 488
Adaptive Broadband Corp. (a) 1,100 35,063
Adtran, Inc. (a) 1,800 68,625
Advanced Lighting 900 7,313
Technologies, Inc. (a)
Allen Telecom, Inc. (a) 900 7,594
American Power Conversion 7,600 133,475
Corp. (a)
American Precision 100 975
Industries, Inc. (a)
American Superconductor Corp. 600 7,275
(a)
AMETEK, Inc. 1,000 20,813
Andrea Electronics Corp. (a) 400 2,850
Anicom, Inc. (a) 2,700 16,706
Anixter International, Inc. 1,500 31,594
(a)
ANTEC Corp. (a) 1,300 59,231
Avid Technology, Inc. (a) 2,000 25,250
Baldor Electric Co. 1,266 22,472
BMC Industries, Inc. 900 11,081
California Amplifier, Inc. (a) 1,500 18,750
Comtech Telecommunications 1,200 11,100
Corp. (a)
Cymer, Inc. (a) 1,600 55,900
SHARES VALUE (NOTE 1)
Detection Systems, Inc. (a) 100 $ 1,000
Electric Fuel Corp. (a) 100 125
Electro Rent Corp. (a) 800 9,700
Energy Conversion Devices, 100 1,400
Inc.
Excel Technology, Inc. (a) 400 5,375
Faroudja, Inc. (a) 600 1,875
Franklin Electric Co., Inc. 200 14,100
Genlyte Group, Inc. (a) 400 9,800
Glenayre Technologies, Inc. 6,000 18,750
(a)
Globecomm Systems, Inc. (a) 400 3,650
Hubbell, Inc. Class B 3,700 143,606
Hughes Supply, Inc. 700 16,275
IEC Electronics Corp. (a) 100 313
Information Resources 600 14,325
Engineering, Inc. (a)
L-3 Communications Holdings, 1,000 39,688
Inc. (a)
Littelfuse, Inc. (a) 1,800 35,775
LSI, Industries, Inc. 100 2,369
MagneTek, Inc. (a) 1,300 12,025
Oak Industries, Inc. (a) 1,400 43,925
Omnipoint Corp. (a) 2,000 81,000
Ortel Corp. (a) 500 9,219
Owosso Corp. 100 525
Pinnacle Systems (a) 1,400 45,675
Pittway Corp. Class A 1,100 36,231
Powerwave Technologies, Inc. 1,100 46,681
(a)
Rayovac Corp. (a) 2,000 47,000
Rofin Sinar Technologies, 400 2,600
Inc. (a)
Roper Industries, Inc. 900 32,231
Satcon Technology Corp. (a) 100 850
Sensormatic Electronics Corp. 4,700 54,931
(a)
SLI, Inc. (a) 2,150 52,675
Smith (A.O.) Corp. Class B 700 18,988
Spectrian Corp. (a) 1,100 16,225
STM Wireless, Inc. Class A (a) 100 294
Technitrol, Inc. 500 17,500
Teleflex, Inc. 2,300 106,950
Telular Corp. (a) 75 192
ThermoSpectra Corp. (a) 100 1,556
Transcrypt International, 400 950
Inc. (a)
ViaSat, Inc. (a) 1,100 16,294
Vicor Corp. (a) 1,300 25,106
ViewCast.com, Inc. (a) 2,000 13,625
Watkins-Johnson Co. 300 9,938
Woodhead Industries, Inc. 100 1,094
Woodward Governor Co. 300 7,463
Zenith Electronics Corp. (a) 900 144
Zoltek Companies, Inc. (a) 500 3,844
1,560,412
INDUSTRIAL MACHINERY &
EQUIPMENT - 1.0%
Ag-Chem Equipment, Inc. (a) 100 988
AGCO Corp. 4,100 42,281
Alamo Group, Inc. 100 925
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
INDUSTRIAL MACHINERY &
EQUIPMENT - CONTINUED
INDUSTRIAL MACHINERY &
EQUIPMENT - CONTINUED
Allied Products Corp. 300 $ 1,388
Applied Industrial 700 10,544
Technologies, Inc.
Applied Power, Inc. Class A 2,355 72,122
Astec Industries, Inc. (a) 800 27,100
Asyst Technologies, Inc. (a) 400 12,500
Autologic Information 100 375
International, Inc. (a)
Baldwin Technology Co., Inc. 100 238
Class A (a)
BOLDER Technologies Corp. (a) 2,100 19,294
Brooks Automation, Inc. (a) 800 17,400
Brown & Sharpe Manufacturing 100 313
Co. Class A (a)
Cascade Corp. 100 1,075
Chart Industries, Inc. 150 638
CMI Corp. Class A 200 1,600
Columbus McKinnon Corp. 500 8,750
Commercial Intertech Corp. 400 5,000
CTB International Corp. (a) 100 775
CUNO, Inc. (a) 800 16,500
Detroit Diesel Corp. 500 10,219
Donaldson Co., Inc. 1,300 25,513
DT Industries, Inc. 400 2,850
Eco Soil Systems, Inc. (a) 500 3,469
EMCORE Corp. (a) 900 15,975
ESCO Electronics Corp. (trust 100 1,244
receipt) (a)
Exide Corp. 800 8,850
Fansteel, Inc. (a) 100 488
Farr Co. (a) 150 1,425
Fedders Corp. 1,200 7,800
Flow International Corp. (a) 800 8,600
FSI International, Inc. (a) 700 4,506
Gardner Denver Machinery, 750 14,391
Inc. (a)
Gasonics International Corp. 100 1,575
(a)
Gehl Co. (a) 100 2,019
Gencor Industries, Inc. 100 631
Gleason Corp. 500 9,375
Global Industrial 800 8,900
Technologies, Inc. (a)
Gorman-Rupp Co. 100 1,575
Graco, Inc. 650 21,897
Greenbrier Companies, Inc. 100 1,063
Hardinge, Inc. 250 3,813
Harnischfeger Industries, 6,400 9,200
Inc.
Hirsch International Corp. 600 1,050
Class A (a)
Ibis Technology Corp. (a) 700 22,400
IDEX Corp. 2,100 62,081
Industrial Distribution 100 488
Group, Inc. (a)
Ionics, Inc. (a) 500 14,625
JLG Industries, Inc. 2,300 40,825
JLK Direct Distributions, 300 2,456
Inc. Class A (a)
Kaman Corp. Class A 800 10,450
Kaydon Corp. 2,200 67,513
SHARES VALUE (NOTE 1)
Kennametal, Inc. 2,000 $ 53,000
Key Technology, Inc. (a) 100 900
Lancer Corp. (a) 100 631
Lawson Products, Inc. 300 6,900
Lincoln Electric Holdings, 1,400 28,350
Inc.
Lindsay Manufacturing Co. 350 5,994
Manitowoc Co., Inc. 1,200 44,475
Mark IV Industries, Inc. 3,100 61,419
Mattson Technology, Inc. (a) 200 2,388
Middleby Corp. (a) 100 575
MSC Industrial Direct, Inc. 2,800 26,775
(a)
MTS Systems Corp. 600 6,600
NN Ball & Roller, Inc. 200 1,375
Nordson Corp. 600 29,494
Osmonics, Inc. (a) 200 1,838
PEC Israel Economic Corp. (a) 200 6,838
Plasma-Therm, Inc. (a) 100 328
Presstek, Inc. (a) 900 5,513
PRI Automation, Inc. (a) 1,100 31,488
Recovery Engineering, Inc. (a) 300 10,444
Regal-Beloit Corp. 600 13,388
Robotic Vision Systems, Inc. 300 1,191
(a)
Semitool, Inc. (a) 100 1,025
Specialty Equipment 600 13,838
Companies, Inc. (a)
SpeedFam-IPEC, Inc. (a) 2,442 24,115
Speizman Industries, Inc. (a) 100 588
Stewart & Stevenson Services, 2,200 26,125
Inc.
Strategic Distribution, Inc. 200 450
(a)
Tennant Co. 400 13,525
Terex Corp. (a) 1,800 48,375
Thermo Fibertek, Inc. (a) 1,900 12,825
Thermo Sentron, Inc. (a) 100 1,550
Thomas Industries, Inc. 450 8,747
Tokheim Corp. (a) 100 1,075
Toro Co. 700 25,725
Turbochef, Inc. (a) 500 4,250
UCAR International, Inc. (a) 2,500 60,938
Ultratech Stepper, Inc. (a) 2,100 28,088
Valmont Industries, Inc. 900 14,288
Varian Semiconductor 2,200 50,050
Equipment Associates, Inc.
(a)
Veeco Instruments, Inc. (a) 1,100 36,919
Waterlink, Inc. (a) 100 269
Watts Industries, Inc. Class A 800 17,600
Western Power & Equipment 100 238
Corp. (a)
YieldUP International Corp. 1,300 1,788
(a)
1,359,367
POLLUTION CONTROL - 0.3%
Aquagenix, Inc. (a) 100 22
BHA Group Holdings, Inc. 110 1,004
Class A
Calgon Carbon Corp. 1,300 8,694
Casella Waste Systems, Inc. 1,600 27,200
Class A (a)
CET Environmental Services, 100 56
Inc. (a)
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
INDUSTRIAL MACHINERY &
EQUIPMENT - CONTINUED
POLLUTION CONTROL - CONTINUED
Earth Sciences, Inc. (a) 800 $ 200
Flanders Corp. (a) 200 550
GTS Duratek, Inc. (a) 100 638
Insituform Technologies, Inc. 1,600 33,200
Class A (a)
IT Group, Inc. (The) (a) 316 3,772
Met-Pro Corp. 100 1,213
Ogden Corp. 3,300 75,075
Recycling Industries, Inc. (a) 200 10
Republic Services, Inc. Class 6,500 70,688
A (a)
Safety-Kleen Corp. (a) 3,950 50,363
Stericycle, Inc. (a) 1,700 27,094
Tetra Tech, Inc. (a) 2,807 45,087
TETRA Technologies, Inc. (a) 400 4,150
ThermoRetec Corp. 100 488
U.S. Liquids, Inc. (a) 500 3,750
U.S. Plastic Lumber Co. (a) 2,500 26,563
Waste Connections, Inc. (a) 1,700 36,656
Waste Industries, Inc. (a) 800 12,000
428,473
TOTAL INDUSTRIAL MACHINERY & 3,348,252
EQUIPMENT
MEDIA & LEISURE - 7.7%
BROADCASTING - 3.6%
5Th Avenue Channel Corp. (a) 500 1,344
Adelphia Communications Corp. 1,900 117,800
Class A (a)
Advanced Communication 400 5,125
Systems, Inc. (a)
American Tower Corp. Class A 5,720 130,130
(a)
AMFM, Inc. (a) 8,241 405,869
Ascent Entertainment Group, 2,200 29,975
Inc. (a)
BHC Communications, Inc. 700 92,050
Class A
Cablevision Systems Corp. 4,538 317,660
Class A (a)
CAIS Internet, Inc. 1,900 23,038
CD Radio, Inc. (a) 1,300 42,169
Century Communications Corp. 3,700 172,513
Class A. (a)
Chris-Craft Industries, Inc. 2,042 103,376
Citadel Communications Corp. 1,800 66,825
(a)
Cox Communications, Inc. 22,631 841,590
Class A (a)
Cox Radio, Inc. Class A (a) 800 42,400
Cumulus Media, Inc. (a) 900 25,088
E.W. Scripps Co. Class A 2,800 134,400
EchoStar Communications Corp. 1,300 108,713
Class A (a)
Emmis Broadcasting 1,000 56,500
Communications Corp. Class A
(a)
Entercom Communications Corp. 400 14,600
Gaylord Entertainment Co. 1,000 30,500
Granite Broadcasting Corp. (a) 1,900 21,375
Hearst-Argyle Television, 2,383 60,320
Inc. (a)
SHARES VALUE (NOTE 1)
HighwayMaster Communications, 400 $ 587
Inc. (a)
Hispanic Broadcasting Corp. 1,900 142,025
(a)
Infinity Broadcasting Corp. 3,600 97,425
Class A
Jones Intercable, Inc. Class 2,000 87,750
A (a)
LodgeNet Entertainment Corp. 1,200 17,250
(a)
Metro One Telecommunications, 700 9,800
Inc. (a)
Metromedia International 2,200 13,750
Group, Inc. (a)
Nielsen Media Research, Inc. 3,100 113,731
(a)
NorthPoint Communication 5,800 153,338
Holdings, Inc.
NTL, Inc. (a) 3,500 343,656
PanAmSat Corp. (a) 1,100 40,631
Paxson Communications Corp. 6,200 89,125
(a)
Pegasus Communications Corp. 1,000 42,000
(a)
Radio One, Inc. (a) 1,000 41,688
Sinclair Broadcast Group, 2,500 40,625
Inc. Class A (a)
SpeedUs.com (a) 1,800 7,313
TCI Satellite Entertainment,
Inc.:
Class A (a) 3,800 13,538
Class B (a) 100 350
Telscape International, Inc. 200 1,450
(a)
TV Guide, Inc. (a) 2,700 74,925
United Television, Inc. 300 32,400
UnitedGlobalCom, Inc. (a) 1,200 87,900
Univision Communications, 4,400 324,500
Inc. Class A (a)
US Wireless Corp. (a) 1,900 5,997
USA Networks, Inc. (a) 5,363 240,665
ValueVision International, 800 19,100
Inc. (a)
Westwood One, Inc. (a) 1,000 38,375
Young Broadcasting, Inc. 800 48,150
Class A (a)
4,971,404
ENTERTAINMENT - 1.0%
Alliance Gaming Corp. (a) 200 1,275
AMC Entertainment, Inc. (a) 1,400 19,600
American Bingo & Gaming Corp. 500 531
(a)
American Classic Voyages Co. 1,200 24,450
(a)
American Coin Merchandising, 300 1,219
Inc. (a)
Ameristar Casinos, Inc. (a) 100 400
AMF Bowling, Inc. (a) 1,900 7,600
Bally Total Fitness Holding 700 22,444
Corp. (a)
Brilliant Digital 300 1,088
Entertainment, Inc. (a)
Carmike Cinemas, Inc. Class A 500 6,750
(a)
Cedar Fair LP (depository 600 13,088
unit)
Family Golf Centers, Inc. (a) 1,350 1,688
Fox Entertainment Group, Inc. 6,500 149,906
Hollywood Entertainment Corp. 1,400 18,988
(a)
Hollywood Park, Inc. (a) 1,000 16,938
Image Entertainment, Inc. (a) 800 3,650
International Speedway Corp. 1,510 76,916
Class A
Isle Capri Casinos, Inc. (a) 3,400 32,725
J2 Communications (a) 600 10,725
K-Tel International, Inc. (a) 500 2,766
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
MEDIA & LEISURE - CONTINUED
ENTERTAINMENT - CONTINUED
Kushner Locke Co. (a) 1,000 $ 4,250
Lakes Gaming, Inc. 350 3,959
Mandalay Resort Group (a) 5,000 102,500
Metro-Goldwyn-Mayer, Inc. (a) 5,800 116,000
MGM Grand, Inc. (a) 1,203 59,097
Multimedia Games, Inc. (a) 300 1,650
New Frontier Media, Inc. (a) 1,300 8,816
On Command Corp. (a) 1,100 19,800
Park Place Entertainment 15,200 171,950
Corp.
Pixar (a) 2,300 78,344
Platinum Entertainment, Inc. 500 2,406
(a)
Premier Parks, Inc. (a) 3,800 124,450
Quintel Communications, Inc. 200 300
(a)
Rentrak Corp. (a) 400 2,088
Scientific Games Holdings 700 14,219
Corp. (a)
SFX Entertainment, Inc. Class 2,250 92,672
A (a)
Speedway Motorsports, Inc. (a) 1,300 48,506
Sports Club Co., Inc. (The) 100 588
(a)
Ticketmaster Online 1,100 28,188
CitySearch, Inc.
Todd-AO Corp. Class A 1,300 18,444
Trimark Holdings, Inc. (a) 100 369
Vail Resorts, Inc. (a) 1,100 19,456
Visual Data Corp. (a) 200 1,825
Zomax, Inc. (a) 1,000 22,813
1,355,437
LEISURE DURABLES & TOYS - 0.5%
Adams Golf, Inc. (a) 900 2,672
Aldila, Inc. (a) 900 1,181
Arctic Cat, Inc. 900 8,494
Authentic Fitness Corp. 800 13,850
Callaway Golf Co. 4,900 48,694
Champion Enterprises, Inc. (a) 1,500 12,750
Coachmen Industries, Inc. 600 9,488
Coastcast Corp. (a) 300 3,750
Coleman, Inc. (a) 1,600 14,700
Excelsior Henderson 100 331
Motorcycle Manufacturing Co.
(a)
Harley-Davidson, Inc. 6,300 343,350
Huffy Corp. 400 4,400
JAKKS Pacific, Inc. (a) 1,000 30,250
K2, Inc. 500 4,563
Knickerbocker (L. L.) Co. (a) 200 10
Marvel Enterprises, Inc. (a) 1,000 5,438
National R.V. Holdings, Inc. 300 7,238
(a)
Play By Play Toys & 200 263
Novelties, Inc. (a)
Polaris Industries, Inc. 1,700 61,094
PTI Holding, Inc. (a) 100 184
Rawlings Sporting Goods, Inc. 500 4,656
(a)
RockShox, Inc. (a) 100 94
Russ Berrie & Co., Inc. 700 16,406
Silicon Gaming, Inc. (a) 800 232
SHARES VALUE (NOTE 1)
Steinway Musical Instruments, 200 $ 4,175
Inc. (a)
T-HQ, Inc. (a) 800 25,300
Thor Industries, Inc. 350 9,406
Toymax International, Inc. (a) 2,300 20,413
West Marine, Inc. (a) 500 4,469
Winnebago Industries, Inc. 1,600 38,300
696,151
LODGING & GAMING - 0.6%
Anchor Gaming (a) 400 19,437
Argosy Gaming Co. (a) 2,100 28,481
Aztar Corp. (a) 1,300 11,944
Boyd Gaming Corp. (a) 1,600 8,600
Buckhead America Corp. (a) 100 600
Championship Auto Racing 1,200 39,825
Teams, Inc. (a)
Choice Hotels International, 2,100 34,125
Inc. (a)
Churchill Downs, Inc. 1,200 31,200
Crescent Operating, Inc. (a) 100 475
Dover Downs Entertainment, 1,300 19,013
Inc.
Extended Stay America, Inc. 3,100 27,900
(a)
Florida Panthers Holdings, 500 4,969
Inc. Class A (a)
Gtech Holdings Corp. (a) 2,700 68,175
Hammons (John Q) Hotels, Inc. 100 425
Class A (a)
Hospitality Worldwide 100 263
Services, Inc. (a)
International Game Technology 5,600 98,000
Interstate Hotels Corp. (a) 170 616
Lodgian, Inc. (a) 1,000 4,375
Marcus Corp. 950 11,341
Penn National Gaming, Inc. (a) 200 1,825
Players International, Inc. 1,200 9,113
(a)
Prime Hospitality Corp. (a) 1,660 15,459
Promus Hotel Corp. (a) 4,400 127,875
ShoLodge, Inc. (a) 100 525
Starwood Hotels & Resorts 6,900 164,306
Worldwide, Inc.
Station Casinos, Inc. (a) 800 16,200
Suburban Lodges of America, 300 1,856
Inc. (a)
Sunburst Hospitality Corp. (a) 300 1,819
Sunterra Corp. (a) 2,400 31,650
Supertel Hospitality, Inc. (a) 100 1,300
Trump Hotels & Casino 2,900 14,319
Resorts, Inc. (a)
U.S. Franchise Systems, Inc. 1,200 19,950
Class A (a)
WMS Industries, Inc. (a) 1,800 19,575
835,536
PUBLISHING - 1.1%
Applied Graphics 760 6,840
Technologies, Inc. (a)
Banta Corp. 1,000 23,500
Belo (A.H.) Corp. Class A 6,800 128,775
Central Newspapers, Inc. 2,100 88,856
Class A
Franklin Covey Co. (a) 900 6,975
Gibson Greetings, Inc. (a) 2,100 8,269
Harte Hanks Communications, 3,400 76,288
Inc.
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
MEDIA & LEISURE - CONTINUED
PUBLISHING - CONTINUED
Hollinger International, Inc. 6,600 $ 70,950
Class A
Houghton Mifflin Co. 1,900 90,725
IDG Books Worldwide, Inc. (a) 700 12,031
Individual Investor Group, 900 2,278
Inc. (a)
Journal Register Co. (a) 1,000 15,375
Lee Enterprises, Inc. 1,400 40,163
The McClatchy Co., Class A 2,300 79,494
Media General, Inc. Class A 1,600 78,400
Nelson Thomas, Inc. 200 2,013
Pacific Chemical, Inc. (a) 100 0
Penton Media, Inc. 1,700 23,375
Playboy Enterprises, Inc. 1,200 25,275
Class B (a)
PRIMEDIA, Inc. (a) 4,500 62,156
Reader's Digest Association, 5,500 171,875
Inc. Class A (non-vtg.)
Scholastic Corp. (a) 600 23,775
Standex International Corp. 400 9,150
Topps Co., Inc. (a) 3,800 33,725
Washington Post Co. Class B 500 269,500
John Wiley & Sons, Inc. Class 2,000 32,500
A
Ziff-Davis, Inc. (a) 3,700 57,119
1,439,382
RESTAURANTS - 0.9%
Applebee's International, 1,900 59,019
Inc.
ARK Restaurants Corp. (a) 100 1,075
Avado Brands, Inc. 1,700 11,688
Benihana, Inc. Class A (a) 100 1,600
Big Buck Brew & Steakhouse, 100 163
Inc. (a)
Bob Evans Farms, Inc. 2,800 57,050
Boston Chicken, Inc. (a) 1,100 385
Brinker International, Inc. 3,800 91,200
(a)
Buca, Inc. 300 3,525
Buffets, Inc. (a) 3,500 39,156
CBRL Group, Inc. 4,300 56,438
CEC Entertainment, Inc. (a) 1,900 52,963
Champps Entertainment, Inc. 100 250
Delaware (a)
Chart House Enterprises, Inc. 100 556
(a)
Cheesecake Factory, Inc. (a) 1,600 48,400
CKE Restaurants, Inc. 4,143 33,403
Consolidated Products, Inc. 881 12,775
(a)
Cooker Restaurant Corp. 60 334
Dave & Busters, Inc. (a) 900 10,575
Einstein/Noah Bagel Corp. (a) 500 359
Elxsi Corp. (a) 100 1,206
Fine Host Corp. (a) 700 210
Foodmaker, Inc. (a) 2,800 64,575
Friendly Ice Cream Corp. (a) 900 5,428
Frisch's Restaurants, Inc. 100 1,025
Garden Fresh Restaurant Corp. 100 1,913
(a)
IHOP Corp. (a) 600 13,500
SHARES VALUE (NOTE 1)
Il Fornaio America Corp. (a) 100 $ 1,000
J. Alexanders Corp. (a) 100 325
Landry's Seafood Restaurants, 1,100 9,350
Inc. (a)
Lone Star Steakhouse Saloon 4,100 31,263
(a)
Luby's, Inc. 800 10,700
Max & Ermas Restaurants, Inc. 100 713
(a)
Morrison Management 100 2,350
Specialists, Inc.
Morton's Restaurant Group, 100 1,900
Inc. (a)
New World Coffee-Manhattan 150 253
Bagel, Inc. (a)
NPC International, Inc. (a) 700 7,919
O Charleys, Inc. (a) 150 2,306
Outback Steakhouse, Inc. (a) 3,400 100,725
P. F. Chang's China Bistro, 1,400 30,800
Inc. (a)
Panera Bread Co. (a) 100 638
Papa John's International, 1,900 75,525
Inc. (a)
Piccadilly Cafeterias, Inc. 100 725
PJ America, Inc. (a) 500 9,563
Planet Hollywood 1,800 450
International, Inc. Class A
(a)
Prandium, Inc. (a) 2,800 1,148
Rainforest Cafe, Inc. (a) 3,050 20,016
Rare Hospitality 1,300 25,594
International, Inc. (a)
Ruby Tuesday, Inc. 1,200 21,750
Ryan's Family Steak Houses, 2,700 26,156
Inc. (a)
Santa Barbara Restaurant 500 1,031
Group, Inc. (a)
Sbarro, Inc. (a) 700 19,250
Schlotzskys, Inc. (a) 300 2,869
Shells Seafood Restaurants, 100 294
Inc. (a)
Sodexho Marriott Services, 3,500 49,438
Inc. (a)
Sonic Corp. (a) 1,150 35,219
Star Buffet, Inc. (a) 100 488
Starbucks Corp. (a) 7,200 164,700
Taco Cabana, Inc. Class A (a) 1,800 16,650
Total Entertainment 100 150
Restaurant Corp. (a)
Uno Restaurant Corp. (a) 100 1,200
VICORP Restaurants, Inc. (a) 100 1,738
1,242,967
TOTAL MEDIA & LEISURE 10,540,877
NONDURABLES - 2.6%
AGRICULTURE - 0.1%
Andersons, Inc. 100 1,044
Delta & Pine Land Co. 2,366 66,987
Fresh America Corp. (a) 500 5,031
Northland Cranberries, Inc. 700 4,703
Class A
Tejon Ranch Co. 400 12,250
90,015
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
NONDURABLES - CONTINUED
BEVERAGES - 0.3%
Beringer Wine Estates 1,300 $ 54,113
Holdings, Inc. Class B (a)
Boston Beer Co., Inc. Class A 500 3,906
(a)
Buenos Aires Embotelladora SA 26 0
sponsored ADR Class B (a)
Canandaigua Wine, Inc. Class 1,100 63,663
A (a)
Celestial Seasonings, Inc. (a) 500 9,938
Coca-Cola Bottling Co. 200 11,525
Consolidated
Golden State Vinters, Inc. 500 3,000
Class B (a)
M & F Worldwide Corp. (a) 300 2,569
Mondavi (Robert) Corp. Class 900 31,106
A (a)
National Beverage Corp. (a) 200 1,675
Pepsi Bottling Group, Inc. 5,600 106,050
Pepsi-Cola Puerto Rico 100 569
Bottling Co. Class B (a)
Whitman Corp. 5,500 91,781
379,895
FOODS - 1.4%
Agribrands International, 600 29,175
Inc. (a)
American Italian Pasta Co. 700 19,600
Class A (a)
Aurora Foods, Inc. (a) 1,800 30,375
Balance Bar Co. (a) 500 2,719
Ben & Jerry's Homemade, Inc. 100 1,950
Class A (a)
Bridgford Foods Corp. 110 1,114
Chiquita Brands 3,800 25,175
International, Inc.
Chock Full-O-Nuts Corp. (a) 100 1,044
Corn Products International, 2,300 74,894
Inc.
Darling International, Inc. 100 150
(a)
Dean Foods Co. 2,400 96,600
Del Monte Foods Co. (a) 3,300 49,913
Dole Food Co., Inc. 3,400 85,638
Dreyer's Grand Ice Cream, 1,200 20,400
Inc.
Earthgrains Co. 2,600 62,725
Flowers Industries, Inc. 5,900 93,294
Fresh Foods, Inc. (a) 38 333
Gardenburger, Inc. (a) 700 4,900
Golden Enterprises 100 306
Horizon Organic Holding Corp. 700 8,356
(a)
Hormel Foods Corp. 2,500 100,625
IBP, Inc. 5,100 116,981
Imperial Sugar Co. 262 1,588
International Home Foods, 4,200 84,000
Inc. (a)
International Multifoods 700 15,881
Corp.
Interstate Bakeries Corp. 4,100 98,144
J & J Snack Food Corp. (a) 100 2,100
Keebler Foods Co. (a) 4,400 131,175
Lancaster Colony Corp. 2,650 87,119
Lance, Inc. 2,300 29,900
SHARES VALUE (NOTE 1)
McCormick & Co., Inc. 3,500 $ 112,000
(non-vtg.)
Michael Foods, Inc. 1,600 44,300
Midwest Grain Products, Inc. 100 1,000
(a)
Nabisco Holdings Corp. Class A 2,800 110,075
Opta Food Ingredients, Inc. 100 334
(a)
Orange-Co., Inc. (a) 100 606
Pilgrims Pride Corp. 900 9,563
Pilgrims Pride Corp. Class A 450 3,656
Ralcorp Holdings, Inc. 1,150 18,831
Riviana Foods, Inc. 400 7,650
Sanderson Farms, Inc. 200 2,125
Smithfield Foods, Inc. (a) 2,500 73,438
Smucker (J.M.) Co. 500 11,500
Suiza Foods Corp. (a) 1,947 62,061
Tasty Baking Co. 100 1,188
TCBY Enterprises, Inc. 700 3,588
Thorn Apple Valley, Inc. (a) 400 100
Tootsie Roll Industries, Inc. 1,027 35,111
Tyson Foods, Inc. 9,720 156,128
Universal Foods Corp. 2,500 52,813
Vlasic Foods International, 1,700 12,538
Inc. (a)
WLR Foods, Inc. (a) 100 725
Worthington Foods, Inc. 800 10,500
2,006,004
HOUSEHOLD PRODUCTS - 0.6%
Aptargroup, Inc. 2,400 61,800
BioShield Technologies, Inc. 900 9,956
(a)
Block Drug Co., Inc. Class A 712 28,613
Brady (W.H.) Co. Class A 800 24,000
Church & Dwight Co., Inc. 1,300 60,450
Cyclopss Corp. (a) 400 60
Dial Corp. 4,600 127,650
Ekco Group, Inc. (a) 100 681
Enamelon, Inc. (a) 800 850
Estee Lauder Companies, Inc. 6,000 275,625
French Fragrances, Inc. (a) 500 3,813
Nu Skin Enterprises, Inc. 1,000 10,688
Class A (a)
Paragon Trade Brands, Inc. (a) 100 31
Playtex Products, Inc. (a) 1,900 27,669
Premark International, Inc. 3,200 106,400
Racing Champions Corp. (a) 2,600 16,656
Revlon, Inc. Class A (a) 1,300 26,406
Safeskin Corp. (a) 1,700 13,494
Tristar Corp. (a) 100 569
Ultralife Batteries, Inc. (a) 700 3,281
USA Detergents, Inc. (a) 500 2,438
Windmere-Durable Holdings, 700 10,194
Inc. (a)
York Group, Inc. 500 3,000
814,324
TOBACCO - 0.2%
Dimon, Inc. 1,500 6,469
General Cigar Holdings, Inc. 700 4,506
Class A (a)
RJ Reynolds Tobacco Holdings, 5,900 161,881
Inc.
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
NONDURABLES - CONTINUED
TOBACCO - CONTINUED
Schweitzer-Mauduit 1,000 $ 13,563
International, Inc.
Standard Commercial Corp. 100 406
Universal Corp. 2,200 62,425
249,250
TOTAL NONDURABLES 3,539,488
PRECIOUS METALS - 0.0%
Coeur d'Alene Mines Corp. (a) 900 4,106
Echo Bay Mines Ltd. (a) 6,800 9,112
Hecla Mining Co. (a) 7,400 18,500
Royal Oak Mines, Inc. (a) 2,100 21
Stillwater Mining Co. (a) 1,050 23,166
54,905
RETAIL & WHOLESALE - 3.8%
APPAREL STORES - 0.8%
Abercrombie & Fitch Co. Class 4,000 139,500
A (a)
American Eagle Outfitters, 2,250 88,313
Inc. (a)
AnnTaylor Stores Corp. (a) 800 26,500
Baker (J.), Inc. 600 4,500
Big Dog Holdings, Inc. 100 563
Bon-Ton Stores, Inc. (a) 600 3,038
Braun's Fashions Corp. (a) 1,000 15,000
Buckle, Inc. (The) (a) 650 10,969
Burlington Coat Factory 1,500 24,750
Warehouse Corp.
Catherines Stores Corp. (a) 100 1,338
Cato Corp. Class A 900 12,094
Charming Shoppes, Inc. (a) 7,100 39,494
Chicos Fas, Inc. (a) 800 17,750
Childrens Place Retail 800 25,300
Stores, Inc. (The) (a)
Claire's Stores, Inc. 3,200 60,200
Deb Shops, Inc. 100 1,563
Dress Barn, Inc. (a) 900 13,556
Ellet Brothers, Inc. 100 697
Factory 2-U Stores, Inc. (a) 200 5,713
Filene's Basement Corp. (a) 500 453
Footstar, Inc. (a) 800 26,000
Genesco, Inc. (a) 700 8,313
Global Imaging Systems, Inc. 300 5,700
(a)
Goody's Family Clothing (a) 1,100 10,141
Guess, Inc. (a) 1,900 25,056
Gymboree Corp. (a) 700 3,631
Hibbett Sporting Goods, Inc. 400 6,250
(a)
iTurf, Inc. (a) 1,400 17,150
Just for Feet, Inc. (a) 4,100 16,656
Kenneth Cole Productions, 400 13,675
Inc. Class A (a)
Men's Wearhouse, Inc. (The) 2,565 52,903
(a)
SHARES VALUE (NOTE 1)
Paul Harris Stores, Inc. (a) 200 $ 988
Payless ShoeSource, Inc. (a) 1,900 94,763
Ross Stores, Inc. 1,900 79,088
Shoe Carnival, Inc. (a) 100 1,163
Stage Stores, Inc. (a) 800 6,700
Syms Corp. (a) 300 2,438
Talbots, Inc. 1,000 30,938
Track n Trail, Inc. (a) 100 238
United Retail Group, Inc. (a) 500 6,313
United Stationers, Inc. (a) 2,300 52,038
Urban Outfitters, Inc. (a) 1,400 39,988
Venator Group, Inc. (a) 4,400 31,350
Wet Seal, Inc. Class A (a) 1,500 22,875
Wilsons Leather Experts, Inc. 100 1,663
(a)
1,047,309
APPLIANCE STORES - 0.0%
Cellstar Corp. (a) 900 4,781
DRUG STORES - 0.1%
Drug Emporium, Inc. (a) 1,700 12,750
Duane Reade, Inc. (a) 1,400 44,100
Perfumania, Inc. (a) 800 2,550
59,400
GENERAL MERCHANDISE STORES -
0.6%
7-Eleven, Inc. (a) 13,600 28,050
99 Cents Only Stores (a) 1,681 60,516
Ames Department Stores, Inc. 800 23,500
(a)
BJ's Wholesale Club, Inc. (a) 3,900 110,175
Bradlees, Inc. (a) 1,400 26,338
Cost Plus, Inc. (a) 950 42,275
Dollar Tree Stores, Inc. (a) 3,300 108,900
Elder Beerman Stores Corp. (a) 2,400 17,400
EZCORP, Inc. Class A 100 525
Factory Card Outlet Corp. (a) 100 113
Family Dollar Stores, Inc. 6,400 126,000
Freds, Inc. Class A 325 4,713
Gottschalks, Inc. (a) 300 2,663
Hot Topic, Inc. (a) 700 19,119
Jo-Ann Stores, Inc. Class A 600 8,213
(a)
Lechters, Inc. (a) 700 1,531
Mazel Stores, Inc. (a) 100 888
Michaels Stores, Inc. (a) 1,000 30,688
Neiman-Marcus Group, Inc. (a) 1,500 33,375
Party City Corp. (a) 1,450 4,169
Phar-Mor, Inc. (a) 100 538
Saks, Inc. (a) 7,613 127,994
Service Merchandise, Inc. (a) 2,700 759
Shopko Stores, Inc. (a) 2,200 62,975
Stein Mart, Inc. (a) 4,300 29,831
Value City Department Stores, 700 8,750
Inc. (a)
879,998
GROCERY STORES - 0.6%
Central Garden & Pet Co. (a) 3,000 23,250
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
RETAIL & WHOLESALE - CONTINUED
GROCERY STORES - CONTINUED
Fleming Companies, Inc. 3,100 $ 37,394
Food Lion, Inc. Class A 24,700 195,284
Hain Food Group, Inc. (a) 1,300 34,125
Hannaford Brothers Co. 2,200 157,850
Hawaiian Natural Water Co., 100 59
Inc. (a)
Ingles Markets, Inc. Class A 600 8,063
Marsh Supermarkets, Inc. 100 1,300
Class B
Nash-Finch Co. 400 3,625
Performance Food Group Co. (a) 1,300 33,841
Pizza Inn, Inc. 100 313
Richfood Holdings, Inc. Class 3,100 56,769
A
Ruddick Corp. 1,500 27,844
Schultz Sav-O Stores, Inc. 100 1,600
Smart & Final, Inc. 700 6,781
Synergy Brands, Inc. (a) 1,100 1,134
U.S. Foodservice (a) 5,610 116,758
United Natural Foods, Inc. (a) 2,300 26,450
Weis Markets, Inc. 1,300 46,069
Whole Foods Market, Inc. (a) 1,700 61,094
Wild Oats Markets, Inc. (a) 1,050 38,194
877,797
RETAIL & WHOLESALE,
MISCELLANEOUS - 1.7%
1-800 CONTACTS, Inc. (a) 300 6,525
800-JR Cigar, Inc. (a) 200 2,100
AC Moore Arts & Crafts, Inc. 100 503
(a)
Action Performance Companies, 1,500 37,031
Inc. (a)
AgriBioTech, Inc. (a) 1,400 5,469
Alloy Online, Inc. 1,800 23,738
Audio Book Club, Inc. (a) 500 4,844
Barnes & Noble, Inc. (a) 2,100 49,744
Bed Bath & Beyond, Inc. (a) 5,300 145,750
Beyond.com Corp. (a) 1,000 16,875
Big Entertainment, Inc. (a) 800 13,900
Blair Corp. 200 4,100
Blue Rhino Corp. (a) 1,100 8,663
Boise Cascade Office Products 2,100 20,213
Corp.
Books-A-Million, Inc. (a) 400 3,750
Borders Group, Inc. (a) 4,800 63,900
Brookstone, Inc. (a) 700 11,725
Building Material Holding 400 4,450
Corp. (a)
Cameron Ashley Building 100 969
Products, Inc. (a)
Cannondale Corp. (a) 300 2,888
CDnow, Inc. (a) 913 12,896
Coldwater Creek, Inc. (a) 300 5,288
Cole National Corp. Class A 500 3,969
(a)
Corporate Express, Inc. (a) 1,491 13,279
Creative Computers, Inc. (a) 200 1,150
Cyberian Outpost, Inc. (a) 2,100 17,194
CyberShop International, Inc. 200 1,400
(a)
Daisytek International Corp. 1,200 13,950
(a)
SHARES VALUE (NOTE 1)
Damark International, Inc. 200 $ 1,600
Class A (a)
dELiA*s, Inc. (a) 500 4,063
E4L, Inc. (a) 300 1,313
Egghead.com, Inc. (a) 1,000 7,563
Elcom International, Inc. (a) 2,600 9,750
Enesco Group, Inc. 500 8,625
eToys, Inc. 4,100 178,350
Fatbrain.com, Inc. (a) 400 9,625
Finish Line, Inc. Class A (a) 1,400 12,513
Finlay Enterprises, Inc. (a) 700 9,625
Friedmans, Inc. Class A 400 3,487
Gadzooks, Inc. (a) 300 1,847
Genesis Direct, Inc. (a) 1,700 691
Good Guys, Inc. (a) 2,500 14,844
Guitar Center, Inc. (a) 2,500 19,375
Hancock Fabrics, Inc. 700 3,500
Handleman Co. (a) 1,000 13,250
HomeBase, Inc. (a) 1,200 5,250
InterTAN, Inc. (a) 1,300 24,050
Intimate Brands, Inc. Class A 11,530 444,626
J Jill Group, Inc. (The) (a) 900 15,075
Land's End, Inc. (a) 1,700 85,638
Lets Talk Cellular & 400 1,575
Wireless, Inc. (a)
Lillian Vernon Corp. 300 3,806
Little Switzerland, Inc. (a) 100 50
Metal Management, Inc. (a) 600 900
Micro Warehouse, Inc. (a) 1,100 13,475
Multiple Zones International, 400 2,150
Inc. (a)
Musicland Stores Corp. (a) 1,100 9,350
National Record Mart, Inc. (a) 600 2,100
Natural Wonders, Inc. (a) 100 256
Navarre Corp. (a) 700 6,584
Newpark Resources, Inc. (a) 2,200 19,800
Officemax, Inc. (a) 7,500 56,719
ONSALE, Inc. (a) 400 6,100
PC Connection, Inc. (a) 800 10,150
PEAPOD, Inc. (a) 800 5,400
Petco Animal Supplies, Inc. 900 11,250
(a)
PETsMART, Inc. (a) 8,900 42,831
Pier 1 Imports, Inc. 3,450 18,759
Rex Stores Corp. (a) 700 28,000
RoweCom, Inc. (a) 1,500 27,000
School Specialty, Inc. (a) 2,101 26,000
SCP Pool Corp. (a) 1,150 26,450
Sharper Image Corp. (a) 700 6,563
Shop At Home, Inc. (a) 800 6,950
SkyMall, Inc. (a) 500 3,813
Sodak Gaming, Inc. (a) 300 2,925
Spiegel, Inc. Class A (a) 5,600 50,050
Sport Supply Group, Inc. (a) 100 975
Sports Authority, Inc. (The) 5,300 19,213
(a)
Sterling Vision, Inc. (a) 100 331
Sunglass Hut International, 2,200 27,775
Inc. (a)
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
RETAIL & WHOLESALE - CONTINUED
RETAIL & WHOLESALE,
MISCELLANEOUS - CONTINUED
Systemax, Inc. (a) 1,100 $ 10,244
Tiffany & Co., Inc. 2,700 142,763
Tractor Supply Co. (a) 1,300 26,813
Transmedia Network, Inc. (a) 100 350
Transportation World 3,450 41,400
Entertainment Corp. (a)
Tweeter Home Entertainment 800 26,900
Group, Inc. (a)
U.S. Office Products Co. (a) 1,271 4,925
U.S.A. Floral Products, Inc. 1,000 4,188
(a)
UBid, Inc. (a) 1,240 26,195
Ultimate Electronics, Inc. (a) 800 14,500
Valley Media, Inc. (a) 1,400 17,150
Value America, Inc. (a) 3,400 35,913
Vista Eyecare, Inc. (a) 900 2,756
Whitehall Jewellers, Inc. (a) 900 25,313
Williams-Sonoma, Inc. (a) 2,000 78,000
Wilmar Industries, Inc. (a) 1,400 18,900
Wolohan Lumber Co. 100 1,275
Zale Corp. (a) 2,300 79,781
2,365,589
TOTAL RETAIL & WHOLESALE 5,234,874
SERVICES - 4.3%
ADVERTISING - 0.6%
Ackerley Group, Inc. 700 10,675
ADVO, Inc. (a) 2,100 41,213
DoubleClick, Inc. (a) 1,600 159,800
Getty Images, Inc. (a) 1,600 33,000
HA-LO Industries, Inc. (a) 1,400 8,487
Lamar Advertising Co. Class A 2,300 96,025
(a)
Leapnet, Inc. (a) 900 1,969
Network Event Theater, Inc. 1,200 30,300
(a)
Newgen Results Corp. (a) 1,600 15,800
Outdoor Systems, Inc. (a) 4,075 131,673
R.H. Donnelley Corp. 2,300 39,819
TMP Worldwide, Inc. (a) 1,200 66,450
Young & Rubicam, Inc. 3,100 138,338
773,549
EDUCATIONAL SERVICES - 0.2%
Apollo Group, Inc. Class A (a) 3,500 76,781
Career Education Corp. (a) 1,000 26,000
Childrens Comprehensive 100 688
Services, Inc. (a)
Devry, Inc. (a) 2,200 45,925
Education Management Corp. (a) 2,600 33,638
GP Strategies Corp. (a) 100 781
ITT Educational Services, 1,800 28,125
Inc. (a)
Prosoft Training.Com (a) 100 281
SHARES VALUE (NOTE 1)
Quest Education Corp. (a) 900 $ 8,269
Strayer Education, Inc. 1,500 35,156
Whitman Education Group, Inc. 100 300
(a)
255,944
LEASING & RENTAL - 0.5%
Aaron Rents, Inc. Class A 100 1,688
AMERCO (a) 700 17,588
Avis Rent A Car, Inc. (a) 900 19,800
Budget Group, Inc. Class A (a) 3,200 28,200
Caribiner International, Inc. 700 6,081
(a)
Central Parking Corp. 1,150 36,944
Cort Business Services Corp. 200 5,013
(a)
Crown Castle International 6,500 98,313
Corp. (a)
Dollar Thrifty Automotive 1,400 26,338
Group, Inc. (a)
DVI, Inc. (a) 100 1,681
GATX Corp. 2,900 96,788
Globe Business Resources, 100 1,325
Inc. (a)
Hanover Compressor Co. (a) 900 32,344
Hertz Corp. Class A 2,300 92,719
Interpool, Inc. 900 8,550
Leasing Solutions, Inc. (a) 100 75
McGrath RentCorp. 400 7,437
Mitcham Industries, Inc. (a) 400 1,737
National Auto Credit, Inc. (a) 400 360
Neff Corp. (a) 1,800 22,500
Rent-A-Center, Inc. (a) 1,900 42,156
Rent-Way, Inc. (a) 711 14,664
Superior Energy Services, 3,400 21,250
Inc. (a)
United Rentals, Inc. (a) 3,885 94,940
United Road Services, Inc. (a) 600 2,175
Vari-Lite International, Inc. 100 113
(a)
680,779
PRINTING - 0.4%
American Banknote Corp. (a) 300 38
Big Flower Holdings, Inc. (a) 700 20,213
Bowne & Co., Inc. 2,100 29,138
Cadmus Communications Corp. 100 1,038
Champion Industries, Inc. 100 600
Consolidated Graphics, Inc. 1,000 42,250
(a)
CSS Industries, Inc. (a) 500 10,375
Cunningham Graphics 400 5,900
International, Inc. (a)
Cyrk, Inc. (a) 500 2,469
Ennis Business Forms, Inc. 100 888
Harland (John H.) Co. 1,000 19,875
Merrill Corp. 1,700 34,638
Nashua Corp. (a) 300 2,944
New England Business Service, 400 11,300
Inc.
Paxar Corp. (a) 1,500 13,031
Reynolds & Reynolds Co. Class 2,500 54,688
A
Standard Register Co. 800 21,650
Valassis Communications, Inc. 3,050 133,438
(a)
Vestcom International, Inc. 500 1,656
(a)
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
SERVICES - CONTINUED
PRINTING - CONTINUED
Wallace Computer Services, 3,000 $ 64,125
Inc.
World Color Press, Inc. (a) 1,060 38,955
509,209
SERVICES - 2.6%
Abacus Direct Corp. (a) 600 61,163
ABM Industries, Inc. 600 13,800
ACNielsen Corp. (a) 3,500 87,500
Administaff, Inc. (a) 100 1,581
Alterra Healthcare Corp. (a) 600 6,000
American Retirement Corp. (a) 600 7,013
Analytical Surveys, Inc. (a) 200 4,013
Angelica Corp. 100 1,238
APAC Teleservices, Inc. (a) 1,600 3,800
Applied Analytical 100 738
Industries, Inc. (a)
Assisted Living Concepts, 700 1,969
Inc. (a)
Berlitz International, Inc. 300 5,475
(a)
Billing Information Concepts 4,000 21,000
Corp. (a)
Blount International, Inc. 43 457
Boron LePore & Associates, 500 3,047
Inc. (a)
Bright Horizons Family 1,400 24,850
Solutions, Inc. (a)
Brookdale Living Communities, 300 3,881
Inc. (a)
Building One Services Corp. 325 4,225
(a)
Burns International Services 700 10,981
Corp. (a)
Cadiz, Inc. (a) 500 5,000
Capital Senior Living Corp. 600 4,725
(a)
Carriage Services, Inc. Class 1,700 19,019
A (a)
Castle Dental Centers, Inc. 100 375
(a)
Catalina Marketing Corp. (a) 600 54,450
CDI Corp. (a) 600 18,075
Century Business Services, 2,500 32,344
Inc. (a)
CheckFree Holdings Corp. (a) 2,000 58,500
Chemed Corp. 400 12,150
Cintas Corp. 4,275 219,628
Coast Dental Services, Inc. 100 388
(a)
Coinmach Laundry Corp. (a) 800 9,500
COMFORCE Corp. (a) 100 244
Comps.Com, Inc. (a) 1,900 11,400
Computer Horizons Corp. (a) 1,000 13,000
Convergys Corp. (a) 6,100 125,813
Cornell Corrections, Inc. (a) 100 1,588
Correctional Services Corp. 165 1,227
(a)
CPI Corp. 260 8,450
Craig (Jenny), Inc. (a) 100 263
Creditrust Corp. (a) 1,000 26,000
Crestline Capital Corp. (a) 2,170 41,094
Day Runner, Inc. (a) 400 4,350
Diamond Technology Partners, 1,000 33,125
Inc. Class A (a)
Employee Solutions, Inc. (a) 400 475
Fonar Corp. 500 516
Food Technology Service, Inc. 900 3,488
(a)
SHARES VALUE (NOTE 1)
Forrester Research, Inc. (a) 900 $ 30,150
FYI, Inc. (a) 1,400 45,763
G & K Services, Inc. Class A 1,500 62,344
Gartner Group, Inc. Class A 3,600 75,375
General Magnaplate Corp. 100 319
Gerald Stevens, Inc. (a) 2,700 31,725
Greg Manning Auctions, Inc. 700 10,063
(a)
Grow Biz International, Inc. 500 3,000
(a)
Hagler Bailly, Inc. (a) 900 6,131
Hall Kinion & Associates, 800 6,100
Inc. (a)
HCIA, Inc. (a) 100 1,013
Headway Corporate Resources 400 2,075
(a)
Insurance Auto Auctions, Inc. 200 3,575
(a)
Interim Services, Inc. (a) 4,020 74,119
International Telecom Data 1,950 15,356
Systems, Inc. (a)
Iron Mountain, Inc. (a) 2,050 64,575
iXL Enterprises, Inc. (a) 2,000 49,250
Judge Group, Inc. (The) (a) 100 119
Kelly Services, Inc. Class A 1,100 30,938
Labor Ready, Inc. (a) 1,275 20,480
Landauer, Inc. 200 5,000
Lason, Inc. (a) 1,300 58,744
Learning Tree International, 700 8,925
Inc. (a)
Mac-Gray Corp. (a) 100 731
Mace Security Intl., Inc. (a) 800 6,950
Magellan Health Services, 1,100 10,038
Inc. (a)
Manpower, Inc. 4,400 118,800
MapQuest.com, Inc. (a) 2,800 33,775
Marketing Services Group, 700 8,356
Inc. (a)
Maximus, Inc. (a) 600 20,775
Media Arts Group, Inc. (a) 600 2,700
Media Metrix, Inc. (a) 600 28,781
Medialink Worldwide, Inc. (a) 200 2,925
Medpartners, Inc. (a) 6,700 46,900
MemberWorks, Inc. (a) 900 30,881
Metamor Worldwide, Inc. (a) 1,700 27,253
Modem Media . Poppe Tyson, 900 28,800
Inc. (a)
Modis Professional Services, 3,400 53,763
Inc. (a)
National Processing, Inc. (a) 1,700 14,663
Navigant Consulting, Inc. (a) 1,850 81,169
NCO Group, Inc. (a) 1,848 84,084
NewsEdge Corp. (a) 600 4,575
NFO Worldwide, Inc. (a) 700 9,188
NOVA Corp. (a) 3,543 92,118
Olsten Corp. 5,300 54,325
On Assignment, Inc. (a) 1,100 32,863
Orthalliance, Inc. Class A (a) 100 631
Per-Se Technologies, Inc. (a) 2,600 9,263
Personnel Group of America, 1,000 8,375
Inc. (a)
Pittston Co. (Brinks Group) 2,200 52,388
Pre-Paid Legal Services, Inc. 1,500 48,094
(a)
Precision Response Corp. (a) 400 3,525
Premiere Technologies, Inc. 3,533 23,075
(a)
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
SERVICES - CONTINUED
SERVICES - CONTINUED
Prime Medical Services, Inc. 500 $ 4,469
(a)
Profit Recovery Group 2,300 87,544
International, Inc. (a)
Promedco Management Co. (a) 100 381
Protection One, Inc. (a) 2,800 9,800
RCM Technologies, Inc. (a) 1,300 18,119
Regis Corp. 2,800 53,550
RemedyTemp, Inc. Class A (a) 900 14,738
Renaissance Worldwide, Inc. 800 3,900
(a)
Robert Half International, 3,300 86,625
Inc. (a)
Rollins, Inc. 1,400 21,963
Romac International, Inc. (a) 1,440 10,440
RTW, Inc. (a) 400 2,225
Rural/Metro Corp. (a) 2,000 15,750
SCB Computer Technology, Inc. 800 4,600
(a)
Seattle FilmWorks, Inc. (a) 700 2,188
ServiceMaster Co. 15,950 263,175
SITEL Corp. (a) 2,500 9,844
Snyder Communications, Inc. 2,900 59,088
(a)
SOS Staffing Services, Inc. 500 2,969
(a)
Sotheby's Holdings, Inc. 1,800 52,425
Class A
Source Information Management 1,800 24,975
Co. (a)
Staff Leasing, Inc. (a) 400 3,700
Staffmark, Inc. (a) 900 8,747
StarTek, Inc. (a) 1,000 36,750
Streamline.com, Inc. 2,500 18,281
Superior Consultant Holdings 1,200 27,450
Corp. (a)
Teletech Holdings, Inc. (a) 1,900 21,138
Thermolase Corp. (a) 1,300 2,519
True North Communications 1,400 46,113
Unifirst Corp. 400 6,050
Veterinary Centers of 2,500 27,813
America, Inc. (a)
Viad Corp. 3,500 104,781
Vision Twenty-One, Inc. (a) 2,000 10,250
Volt Information Sciences, 400 9,625
Inc. (a)
Wackenhut Corp. 600 14,513
Wackenhut Corrections Corp. 600 11,363
Warrantech Corp. (a) 100 197
Westaff, Inc. (a) 550 3,369
York Research Corp. (a) 200 1,000
3,615,248
TOTAL SERVICES 5,834,729
TECHNOLOGY - 23.2%
COMMUNICATIONS EQUIPMENT - 0.9%
Ace Communication Corp. (a) 100 438
ACT Networks, Inc. (a) 400 3,850
Advanced Fibre 2,700 44,044
Communications, Inc. (a)
Applied Innovation, Inc. (a) 100 400
SHARES VALUE (NOTE 1)
Applied Signal Technology, 100 $ 925
Inc.
Aspect Telecommunications 2,700 29,869
Corp. (a)
Broadband Technologies, Inc. 500 1,063
(a)
Brooktrout Technology, Inc. 900 14,175
(a)
C-Phone Corp. (a) 600 825
Carrier Access Corp. (a) 1,200 58,200
Centigram Communications 300 3,150
Corp. (a)
Checkpoint Systems, Inc. (a) 1,100 9,350
Ciena Corp. (a) 5,100 179,138
Com21, Inc. (a) 1,400 25,200
Comdial Corp. (a) 100 850
Coyote Network Systems, Inc. 105 715
(a)
Data Race, Inc. (a) 700 1,772
Davox Corp. (a) 400 5,575
Digital Link Corp. (a) 100 913
DSP Communications, Inc. (a) 2,100 49,350
Dycom Industries, Inc. (a) 750 23,156
Elcotel, Inc. (a) 500 813
Excel Switching Corp. (a) 1,900 66,263
Executone Information 3,900 14,138
Systems, Inc. (a)
General DataComm Industries 600 1,463
(a)
Harmon Industries, Inc. 400 6,950
IFR Systems, Inc. (a) 150 628
Inter-Tel, Inc. 800 17,100
InterDigital Communication 1,700 10,306
Corp. (a)
InterVoice, Inc. (a) 2,296 31,570
ITI Technologies, Inc. (a) 300 6,938
Jabil Circuit, Inc. (a) 3,300 147,881
Larscom, Inc. Class A (a) 1,300 3,006
Lo Jack Corp. (a) 1,700 15,406
Metricom, Inc. (a) 1,400 33,600
Microlog Corp. (a) 100 178
Natural MicroSystems Corp. (a) 1,700 20,188
Network Equipment 2,000 17,500
Technologies, Inc. (a)
Norstan, Inc. (a) 100 900
Objective Communications, 42 117
Inc. (a)
OSI Systems, Inc. (a) 900 4,050
Osicom Technologies, Inc. (a) 566 5,059
P-Com, Inc. (a) 4,900 23,581
Pairgain Technologies, Inc. 2,200 22,963
(a)
Perceptron, Inc. (a) 200 844
Periphonics Corp. (a) 1,000 27,000
PictureTel Corp. (a) 3,900 21,572
Plantronics, Inc. (a) 1,100 55,688
Premisys Communications, Inc. 2,300 16,819
(a)
Symmetricom, Inc. (a) 500 4,469
Tekelec (a) 3,300 53,213
Teltrend, Inc. (a) 400 9,400
Terayon Communication 1,300 46,800
Systems, Inc. (a)
Thermo Power Corp. (a) 100 1,175
Tollgrade Communications, 500 11,688
Inc. (a)
Tut Systems, Inc. (a) 1,100 27,225
Ultrak, Inc. (a) 100 700
Veramark Technologies, Inc. 100 1,088
(a)
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
TECHNOLOGY - CONTINUED
COMMUNICATIONS EQUIPMENT -
CONTINUED
VTEL Corp. (a) 1,400 $ 5,600
Westell Technologies, Inc. 2,100 15,881
Class A (a)
XETA Corp. (a) 800 11,200
Xircom, Inc. (a) 800 31,850
Zoom Telephonics, Inc. (a) 100 403
1,246,171
COMPUTER SERVICES & SOFTWARE
- - 13.3%
24/7 Media, Inc. (a) 1,400 47,950
3DO Co. (The) (a) 2,700 21,769
4Front Software 400 4,875
International, Inc. (a)
A.D.A.M. Software, Inc. (a) 700 8,138
About.com, Inc. (a) 1,000 30,813
AboveNet Communications, Inc. 1,100 37,331
(a)
Acceler8 Technology Corp. (a) 400 700
Acclaim Entertainment, Inc. 3,800 26,838
(a)
Activision, Inc. (a) 2,100 30,450
Actuate Software Corp. (a) 1,000 33,000
ACTV, Inc. (a) 2,600 28,438
Acxiom Corp. (a) 4,460 78,329
Adept Technology, Inc. (a) 300 2,550
Advantage Learning Systems, 2,000 44,875
Inc. (a)
Advent Software, Inc. (a) 900 44,213
Affiliated Computer Services, 2,700 115,425
Inc. Class A (a)
Affymetrix, Inc. (a) 1,000 85,625
AHT Corp. (a) 1,200 4,350
Allaire Corp. (a) 900 45,000
AlphaNet Solutions, Inc. (a) 300 1,406
Alternative Resources Corp. 600 3,638
(a)
Amazon.com, Inc. (a) 7,000 870,625
American Management Systems, 2,600 74,425
Inc. (a)
American Software, Inc. Class 200 688
A (a)
AMX Corp. (a) 1,000 17,625
Anacomp, Inc. (a) 400 6,700
Analysts International Corp. 550 7,356
Ansoft Corp. (a) 400 2,825
AnswerThink Consulting Group, 700 12,950
Inc. (a)
Ansys, Inc. (a) 100 944
AppliedTheory Corp. (a) 2,200 29,563
Applix, Inc. (a) 1,600 23,500
Ardent Software, Inc. (a) 1,500 35,625
AremisSoft Corp. (a) 2,500 23,750
Ariba, Inc. 1,700 236,300
ARIS Corp. (a) 500 3,016
Aspect Development, Inc. (a) 1,900 29,806
Aspen Technology, Inc. (a) 800 6,850
Asymetrix Learning Systems, 2,500 15,547
Inc. (a)
At Home Corp. Series A (a) 14,200 569,775
At Plan, Inc. 1,300 13,325
audiohighway.com (a) 1,600 17,200
Autoweb.Com, Inc. 2,500 23,047
SHARES VALUE (NOTE 1)
Avant! Corp. (a) 2,400 $ 33,900
AVT Corp. (a) 500 14,125
Aware, Inc. (a) 600 20,100
Axent Technolgies, Inc. (a) 880 11,110
Aztec Technology Partners, 5,000 7,656
Inc. (a)
Banyan Systems, Inc. (a) 900 6,975
barnesandnoble.com, Inc. 2,200 37,538
Class A
Barra, Inc. (a) 800 16,400
Base Ten Systems, Inc. Class 800 425
A (a)
BEA Systems, Inc. (a) 2,400 57,900
Bell & Howell Co. (a) 1,800 60,300
Bell Industries, Inc. (a) 1,100 5,981
Best Software, Inc. (a) 1,300 21,450
BindView Development Corp. (a) 1,500 32,063
Bisys Group, Inc. (The) (a) 1,700 80,750
Black Box Corp. (a) 1,100 50,463
Bottomline Technologies, Inc. 1,000 27,750
(a)
Brio Technology, Inc. (a) 500 7,063
BroadVision, Inc. (a) 1,000 99,563
BTG, Inc. (a) 100 713
CACI International, Inc. 1,300 29,250
Class A (a)
Cadence Design Systems, Inc. 9,444 128,675
(a)
Cambridge Technology 1,900 26,006
Partners, Inc. (a)
Careerbuilder, Inc. 1,800 13,275
CareInsite, Inc. 2,700 128,925
CCC Information Services 1,000 9,625
Group, Inc. (a)
CE Software Holdings, Inc. (a) 100 519
Cerner Corp. (a) 800 13,300
Ciber, Inc. (a) 3,400 62,263
Citrix Systems, Inc. (a) 3,600 205,200
Clarify, Inc. (a) 700 30,800
Clarus Corp. (a) 1,100 13,063
CMGI, Inc. (a) 4,100 344,144
CNET, Inc. (a) 2,800 105,175
Cognizant Technology 600 14,475
Solutions Corp. (a)
Command Systems, Inc. (a) 500 969
Complete Business Solutions, 1,132 17,475
Inc. (a)
CompuCom Systems, Inc. (a) 700 2,538
CompUSA, Inc. (a) 4,500 27,281
Computer Concepts Corp. (a) 800 1,300
Computer Learning Centers, 600 2,513
Inc. (a)
Computer Task Group, Inc. 700 11,725
Comshare, Inc. (a) 100 300
Concentric Network Corp. (a) 1,200 26,325
Concord Communications, Inc. 1,000 36,906
(a)
Concur Technologies, Inc. (a) 1,600 40,000
ConnectInc.com Co. (a) 1,300 2,641
Corsair Communictions, Inc. 400 2,025
(a)
CoStar Group, Inc. (a) 800 22,950
Cotelligent, Inc. (a) 600 2,888
Critical Path, Inc. 2,200 73,700
Crosswalk.com, Inc. (a) 300 2,325
CSG Systems International, 3,000 67,688
Inc. (a)
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
TECHNOLOGY - CONTINUED
COMPUTER SERVICES & SOFTWARE
- - CONTINUED
CustomTracks Corp. 400 $ 15,350
Cybercash, Inc. (a) 200 1,750
CyberOptics Corp. (a) 200 3,213
CyberSource Corp. 1,500 48,094
Cylink Corp. (a) 3,100 23,250
DAOU Systems, Inc. (a) 200 950
Data Broadcasting Corp. (a) 1,100 8,250
Data Dimensions, Inc. (a) 400 1,312
Data Transmission Network 500 12,750
Corp. (a)
Datastream Systems, Inc. (a) 1,300 15,763
Datatec Systems, Inc. (a) 1,100 3,644
DecisionOne Holdings Corp. (a) 500 297
Deltek Systems, Inc. (a) 200 3,025
Dendrite International, Inc. 1,400 58,275
(a)
Diamond Multimedia Systems, 3,400 16,788
Inc. (a)
Digi International, Inc. (a) 200 2,275
Digital Courier Technologies, 900 5,063
Inc. (a)
DocuCorp International, Inc. 180 1,114
(a)
Documentum, Inc. (a) 1,000 15,125
drkoop.com, Inc. 1,900 32,300
DSET Corp. (a) 600 7,200
DST Systems, Inc. (a) 3,186 211,869
e-Net, Inc. (a) 900 2,925
Earthlink Network, Inc. (a) 1,200 58,800
EarthWeb, Inc. (a) 900 32,850
eBay, Inc. 5,300 665,481
Eclipsys Corp. (a) 2,610 37,682
Edify Corp. (a) 1,300 14,788
eFax.com, Inc. (a) 400 4,050
EIS International, Inc. (a) 200 563
Electric Lightwave, Inc. 1,200 15,450
Class A (a)
Electronic Arts, Inc. (a) 2,300 157,838
Electronic Retailing Systems 100 175
International (a)
Electronics for Imaging, Inc. 2,100 123,113
(a)
Elite Information Group, Inc. 100 600
(a)
Engineering Animation, Inc. 400 6,800
(a)
Epicor Software Corp. (a) 1,035 3,881
ESPS, Inc. (a) 2,100 19,163
Evolving Systems, Inc. (a) 600 3,075
Excalibur Technologies Corp. 600 5,550
(a)
Exchange Applications, Inc. 1,100 32,863
(a)
Exodus Communications, Inc. 3,500 281,313
(a)
FactSet Research Systems, 450 20,841
Inc.
Fair, Isaac & Co., Inc. 300 8,475
Fashionmall.com, Inc. 2,100 12,469
Firearms Training Systems, 200 138
Inc. Class A (a)
First Consulting Group, Inc. 900 11,531
(a)
Firstwave Technologies, Inc. 600 2,175
(a)
Fiserv, Inc. (a) 4,650 143,278
FlashNet Communications, Inc. 1,400 17,850
(a)
SHARES VALUE (NOTE 1)
Flycast Communications Corp. 1,400 $ 32,375
fonix corp (a) 1,600 700
Forte Software, Inc. (a) 1,500 34,031
Franklin Electronic 100 525
Publishers (a)
Frontline Communications 600 4,200
Corp. (a)
Galileo International, Inc. 5,200 252,200
General Magic, Inc. (a) 1,100 2,681
Genesys Telecommunications 1,500 43,875
Laboratories, Inc. (a)
GeoScience Corp. (a) 400 2,700
Geoworks Corp. (a) 100 253
Gerber Scientific, Inc. 900 18,394
Go2Net, Inc. (a) 1,000 65,000
GoTo.com, Inc. (a) 2,200 79,750
Great Plains Software, Inc. 1,000 46,563
(a)
GT Interactive Software Corp. 2,400 7,050
(a)
H.T.E., Inc. (a) 700 1,794
Harbinger Corp. (a) 2,167 26,004
Health Management Systems, 500 2,500
Inc. (a)
Healtheon Corp. (a) 3,600 121,725
Henry (Jack) & Associates, 1,500 48,750
Inc.
High Speed Access Corp. 2,700 70,875
HNC Software, Inc. (a) 1,300 47,288
Hybrid Networks, Inc. (a) 800 4,000
Hyperion Solutions Corp. (a) 1,890 28,941
i2 Technologies, Inc. (a) 2,800 88,900
IDT Corp. (a) 1,500 44,438
IDX Systems Corp. (a) 900 18,225
Ikos Systems, Inc. (a) 100 800
ImageMax, Inc. (a) 700 1,531
iMALL, Inc. (a) 1,500 25,969
IMR Global Corp. (a) 1,150 19,622
Indus International, Inc. (a) 200 1,025
Infinium Software, Inc. (a) 300 1,463
InfoCure Corp. (a) 1,400 26,950
Infonautics, Inc. (a) 900 5,400
Informatica Corp. (a) 1,000 56,125
Information Architects Corp. 900 1,941
(a)
Information Management 1,800 13,275
Association, Inc. (a)
Information Resources, Inc. 1,000 10,875
(a)
Informix Corp. (a) 6,520 47,474
Infoseek Corp. (a) 2,400 73,050
InfoSpace.com, Inc. (a) 1,700 78,306
Inktomi Corp. (a) 2,000 226,750
Innodata Corp. (a) 400 13,350
Inprise Corp. (a) 4,381 18,482
Inso Corp. (a) 600 4,219
Integrated Systems, Inc. (a) 700 6,956
InteliData Technologies Corp. 2,900 8,156
(a)
Intelligroup, Inc. (a) 1,700 10,838
IntelliQuest Information 100 994
Group, Inc. (a)
International Integration, 1,300 29,900
Inc. (a)
International Network 2,200 117,013
Services (a)
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
TECHNOLOGY - CONTINUED
COMPUTER SERVICES & SOFTWARE
- - CONTINUED
Internet America, Inc. (a) 1,400 $ 17,325
Internet Capital Group, Inc. 80 6,000
(a)
InterVU, Inc. (a) 400 12,975
IntraNet Solutions, Inc. (a) 1,500 11,813
Intuit, Inc. (a) 2,500 223,906
ISOCOR (a) 800 5,500
ISS Group, Inc. (a) 2,000 49,375
iVillage, Inc. (a) 1,500 54,469
J.D. Edwards & Co. (a) 4,000 73,500
JDA Software Group, Inc. (a) 700 6,256
Keane, Inc. (a) 2,500 54,219
Latitude Communications, Inc. 2,000 27,875
(a)
Launch Media, Inc. (a) 1,800 22,163
Learn2.com, Inc. (a) 1,000 3,125
Legato Systems, Inc. (a) 3,252 140,039
Level 8 Systems, Inc. (a) 400 4,325
LHS Group, Inc. (a) 2,600 86,288
Log On America, Inc. (a) 1,200 23,325
Logility, Inc. (a) 100 475
Lycos, Inc. (a) 3,600 146,250
Macromedia, Inc. (a) 1,400 55,475
Manhattan Associates, Inc. (a) 1,300 8,369
Manugistics Group, Inc. (a) 800 10,000
Mapics, Inc. (a) 700 6,038
MapInfo Corp. (a) 600 11,625
Marimba, Inc. (a) 1,500 41,156
Marketwatch.Com, Inc. (a) 200 6,100
Melita International Corp. (a) 400 3,600
Mentor Graphics Corp. (a) 4,600 41,256
Mercury Computer Systems, 600 15,600
Inc. (a)
Mercury Interactive Corp. (a) 1,300 62,075
Meridian Data, Inc. (a) 1,100 10,381
MessageMedia, Inc. (a) 1,400 18,638
Meta Group, Inc. (a) 1,200 19,500
MetaCreations Corp. (a) 300 1,875
Metro Information Services, 600 9,638
Inc. (a)
MicroAge, Inc. (a) 2,200 6,944
Micrografx, Inc. (a) 200 925
Micromuse, Inc. (a) 500 28,563
MicroStrategy, Inc. Class A 700 27,825
(a)
Microware Systems Corp. (a) 100 144
Midway Games, Inc. (a) 898 11,786
MindSpring Enterprises, Inc. 2,300 67,131
(a)
Mpath Interactive, Inc. (a) 2,200 25,988
MSC Software Corp. (a) 100 525
Multex.com, Inc. (a) 1,800 29,925
Mustang Software, Inc. (a) 500 2,625
Mysoftware Co. (a) 400 5,425
National Computer Systems, 1,900 74,100
Inc.
National Data Corp. 2,043 78,145
National Instrument Corp. (a) 2,625 78,586
SHARES VALUE (NOTE 1)
National Techteam, Inc. (a) 200 $ 1,075
Navidec, Inc. (a) 400 4,250
NCR Corp. (a) 3,900 170,625
NEON Systems, Inc. (a) 600 19,725
Net Perceptions, Inc. (a) 1,300 21,450
Netegrity, Inc. (a) 700 15,575
NetGravity, Inc. (a) 1,200 32,400
NetManage, Inc. (a) 727 1,727
NetObjects, Inc. (a) 3,700 19,888
Netplex Group, Inc. (a) 1,700 4,250
NetSpeak Corp. 500 6,313
Network Peripherals, Inc. (a) 1,100 21,725
Network Solutions, Inc. Class 600 34,575
A (a)
Networks Associates, Inc. (a) 5,218 88,054
New Era of Networks, Inc. (a) 2,200 36,850
Novadigm, Inc. (a) 900 9,506
Oak Technology, Inc. (a) 4,400 20,900
Object Design, Inc. (a) 1,000 2,844
Objective Systems 500 1,375
Integrators, Inc. (a)
Omega Research, Inc. (a) 900 5,569
Omtool Ltd. (a) 700 1,575
OneMain.com, Inc. (a) 1,900 31,825
OneSource Information 1,700 13,706
Services, Inc. (a)
OnHealth Network Co. (a) 1,200 8,100
Online System Services, Inc. 400 3,600
(a)
Ontrack Data International, 300 1,294
Inc. (a)
Open Market, Inc. (a) 700 8,488
pcOrder.com, Inc. (a) 700 22,444
Peerless Systems Corp. (a) 400 5,750
Pegasus Systems, Inc. (a) 700 25,288
Pegasystems, Inc. (a) 1,000 8,375
Peregrine Systems, Inc. (a) 2,200 72,600
Peritus Software Services, 1,100 241
Inc. (a)
Perot Systems Corp. 2,800 58,100
Pervasive Software, Inc. (a) 1,100 23,375
Pharmacopeia, Inc. (a) 100 1,225
Phoenix International, Inc. 150 638
(a)
Phoenix Technologies Ltd. (a) 2,090 23,382
Phone.com, Inc. 1,200 141,750
Physician Computer Network, 200 25
Inc. (a)
Pilot Network Services, Inc. 1,600 13,500
(a)
Policy Management Systems 2,100 64,181
Corp. (a)
Polycom, Inc. (a) 1,200 43,875
Portal Software, Inc. (a) 2,900 136,481
Priceline.Com, Inc. (a) 6,000 408,750
ProcureNet, Inc. (a) 800 120
Prodigy Communications Corp. 1,900 35,269
(a)
Progress Software Corp. (a) 950 29,094
Project Software & 700 30,756
Development, Inc. (a)
Proxicom, Inc. (a) 1,600 72,800
ProxyMed, Inc. (a) 400 5,375
PSINet, Inc. (a) 2,600 124,475
PSW Technologies, Inc. (a) 100 450
Puma Technology, Inc. (a) 100 613
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
TECHNOLOGY - CONTINUED
COMPUTER SERVICES & SOFTWARE
- - CONTINUED
QAD, Inc. (a) 1,000 $ 3,625
QRS Corp. (a) 450 21,656
Quadramed Corp. (a) 600 5,344
Radiant Systems, Inc. (a) 1,400 27,563
Rainbow Technologies, Inc. (a) 150 1,800
Rare Medium Group, Inc. (a) 1,600 15,200
Rational Software Corp. (a) 3,300 89,306
Razorfish, Inc. (a) 1,700 47,600
RealNetworks, Inc. (a) 3,000 245,250
Redback Networks, Inc. 1,700 182,750
Registry Magic, Inc. (a) 1,000 2,250
Remedy Corp. (a) 900 22,050
Rogue Wave Software, Inc. (a) 500 2,969
Ross Systems, Inc. (a) 1,000 2,031
RWD Technologies, Inc. (a) 400 3,175
Sabre Group Holdings, Inc. 1,400 78,400
Class A (a)
SAGA Systems, Inc. (a) 900 10,575
Sagent Technology, Inc. (a) 2,700 30,713
Sanchez Computer Associates, 1,100 49,225
Inc. (a)
Santa Cruz Operation, Inc. (a) 3,200 29,000
Sapient Corp. (a) 1,400 102,200
Scient Corp. 1,200 75,750
SeaChange International, Inc. 1,000 17,750
(a)
Secure Computing Corp. (a) 600 1,800
Security Dynamics 1,300 30,713
Technologies, Inc. (a)
Security First Technologies 900 33,300
Corp. (a)
Segue Software, Inc. (a) 400 3,475
SEI Investments Co. 500 45,969
SERENA Software, Inc. (a) 1,700 23,906
Siebel Systems, Inc. (a) 3,791 260,394
Silknet Software, Inc. (a) 1,100 37,263
Simione Central Holdings, 100 194
Inc. (a)
Smith-Gardner & Assocs, Inc. 2,700 21,600
(a)
Socrates Technologies Corp. 100 69
(a)
Software Spectrum, Inc. (a) 300 5,419
Software.com, Inc. 2,200 99,963
SOFTWORKS, Inc. (a) 3,100 20,150
Sportsline USA, Inc. (a) 700 16,888
SPR, Inc. (a) 450 1,969
SPSS, Inc. (a) 100 2,369
Spyglass, Inc. (a) 500 5,938
SS&C Technologies, Inc. (a) 600 3,525
Stac Software, Inc. 75 356
Sterling Software, Inc. (a) 3,700 74,463
Structural Dynamics Research 1,100 17,738
Corp. (a)
Styleclick.com, Inc. (a) 300 2,747
Summit Design, Inc. (a) 700 2,078
SunGard Data Systems, Inc. (a) 6,036 150,900
Sunquest Information Systems, 200 3,200
Inc. (a)
Sybase, Inc. (a) 4,100 51,250
Sykes Enterprises, Inc. (a) 1,800 43,200
SHARES VALUE (NOTE 1)
Symantec Corp. (a) 1,900 $ 57,000
Symix Systems, Inc. (a) 1,000 10,063
Synopsys, Inc. (a) 2,765 154,667
Syntel, Inc. (a) 1,200 11,212
System Software Associates, 1,600 1,750
Inc. (a)
Systems & Computer Technology 1,000 14,625
Corp. (a)
Systemsoft Corp. (a) 400 44
Tangram Enterprise Solutions, 100 163
Inc. (a)
TCSI Corp. (a) 800 1,300
Technology Solutions, Inc. (a) 1,300 15,600
Telescan, Inc. (a) 800 11,700
Telesciences, Inc. (a) 700 613
TenFold Corp. (a) 2,000 54,625
Tera Computer Co. (a) 2,300 12,075
theglobe.com, Inc. (a) 700 7,700
TheStreet.Com, Inc. (a) 2,000 35,250
THINK New Ideas, Inc. (a) 300 3,675
Thinking Tools, Inc. (a) 100 48
ThrustMaster, Inc. (a) 400 6,450
Tier Technologies, Inc. (a) 1,600 12,000
Timberline Software Corp. 400 6,500
Titan Corp. (a) 3,173 32,325
Total System Services, Inc. 7,150 110,825
Towne Services, Inc. (a) 2,600 12,025
Track Data Corp. (a) 600 5,850
Transaction Systems 2,100 61,819
Architects, Inc. Class A (a)
TSI International Software 1,800 34,200
Ltd. (a)
TSR, Inc. (a) 300 2,550
Tyler Technologies, Inc. (a) 300 1,725
Unicomp, Inc. (a) 300 1,275
Unify Corp. (a) 800 10,400
Unigraphics Solutions, Inc. 600 20,363
Class A (a)
Usinternetworking, Inc. (a) 2,700 40,500
USWEB Corp. (a) 2,750 53,625
Vantive Corp. (a) 1,500 12,469
Verilink Corp. (a) 100 213
Verio, Inc. (a) 3,000 111,563
VeriSign, Inc. (a) 2,100 227,456
Veritas Software Corp. (a) 7,000 414,750
Verity, Inc. (a) 400 19,500
Versant Corp. (a) 300 825
Vertel Corp. (a) 300 703
VerticalNet, Inc. (a) 2,000 69,000
Viant Corp. (a) 1,400 53,200
Viasoft, Inc. (a) 1,900 16,269
Vignette Corp. (a) 900 61,031
Visio Corp. (a) 1,800 50,850
Visual Networks, Inc. (a) 1,100 45,650
Walker Interactive Systems, 500 1,375
Inc. (a)
Wall Data, Inc. (a) 600 4,350
Wave Systems Corp. Class A (a) 1,300 12,594
Wavo Corp. (a) 900 3,600
Webhire, Inc. (a) 1,300 12,838
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
TECHNOLOGY - CONTINUED
COMPUTER SERVICES & SOFTWARE
- - CONTINUED
WebTrends Corp. (a) 1,100 $ 33,825
White Pine Software, Inc. (a) 200 1,150
Whittman-Hart, Inc. (a) 2,600 68,413
Wind River Systems, Inc. (a) 2,700 43,031
WorldGate Communications, 1,400 40,338
Inc. (a)
Xionics Document 800 5,050
Technologies, Inc. (a)
Xybernaut Corp. (a) 900 1,294
Yahoo!, Inc. (a) 11,122 1,640,495
Zitel Corp. (a) 200 313
18,290,266
COMPUTERS & OFFICE EQUIPMENT
- - 2.2%
Adaptec, Inc. (a) 4,200 163,800
Advanced Digital Information 1,400 45,150
Corp. (a)
Alpha Microsystems (a) 1,500 4,172
Amplicon, Inc. 200 2,400
Ancor Communications, Inc. (a) 900 23,850
Apex, Inc. (a) 1,300 43,144
Applied Digital Solutions, 5,400 9,788
Inc. (a)
Applied Magnetics Corp. (a) 300 281
ATEC Group, Inc. (a) 300 797
Auspex Systems, Inc. (a) 900 9,956
Boca Research, Inc. (a) 1,300 8,450
Boundless Corp. (a) 400 1,650
Caere Corp. (a) 500 4,031
CDW Computer Centers, Inc. (a) 1,600 71,000
CHS Electronics, Inc. (a) 1,900 4,513
Coinstar, Inc. (a) 1,400 32,375
Comdisco, Inc. 5,700 120,056
Computer Network Technology 600 9,488
Corp. (a)
Comverse Technology, Inc. (a) 2,795 218,010
Concurrent Computer Corp. (a) 3,700 26,709
Copper Mountain Networks, 1,100 128,700
Inc.
Cross (A.T.) Co. 200 1,000
Cybex Corp. (a) 1,025 28,059
Diebold, Inc. 2,700 71,888
Digital Lightwave, Inc. (a) 400 2,775
Digital River, Inc. (a) 1,600 38,500
Dot Hill Systems Corp. (a) 500 2,813
Drexler Technology Corp. (a) 100 763
Dunn Computer Corp. (a) 1,200 2,288
ECCS, Inc. (a) 800 2,950
Echelon Corp. (a) 1,600 11,500
Emulex Corp. (a) 600 41,363
En Pointe Technologies, Inc. 1,400 14,875
(a)
Encad, Inc. (a) 400 2,750
Equinox Systems, Inc. (a) 1,350 17,213
Evans & Sutherland Computer 600 7,988
Corp. (a)
Exabyte Corp. (a) 700 2,625
Extreme Networks, Inc. (a) 1,900 121,481
FileNET Corp. (a) 1,000 10,375
FOCUS Enhancements, Inc. (a) 200 200
SHARES VALUE (NOTE 1)
FVC.com, Inc. (a) 400 $ 3,500
General Binding Corp. 400 6,000
Genicom Corp. (a) 100 106
Globix Corp. (a) 500 24,031
Hauppauge Digital, Inc. (a) 700 18,769
HMT Technology Corp. (a) 1,400 5,075
Hunt Corp. 300 2,456
Hutchinson Technology, Inc. 900 24,300
(a)
Identix, Inc. (a) 900 7,200
Inacom Corp. (a) 1,484 14,469
Ingram Micro, Inc. Class A (a) 3,700 93,425
Insight Enterprises, Inc. (a) 1,650 49,913
Intergraph Corp. (a) 4,400 24,475
Interlink Electronics, Inc. 1,100 9,625
(a)
Interphase Corp. (a) 800 16,800
Intraware, Inc. (a) 1,300 23,400
Iomega Corp. (a) 8,800 29,700
Itron, Inc. (a) 500 3,375
Javelin Systems, Inc. (a) 1,300 13,975
Kofax Image Products, Inc. (a) 1,300 16,331
Komag, Inc. (a) 1,800 5,738
Kronos, Inc. (a) 900 45,141
Manchester Equipment Co., 1,900 5,463
Inc. (a)
Miami Computer Supply Corp. 600 10,650
(a)
Micron Electronics, Inc. (a) 3,000 29,063
MICROS Systems, Inc. (a) 600 20,250
Micros-To-Mainframes, Inc. (a) 1,200 3,300
Microtouch Systems, Inc. (a) 100 1,713
MMC Networks, Inc. (a) 1,100 33,963
MRV Communications, Inc. (a) 800 14,750
MTI Technology Corp. (a) 1,500 33,469
Neoware Systems, Inc. (a) 900 1,533
Netopia, Inc. (a) 400 11,050
Network Computing Devices, 400 2,000
Inc. (a)
ObjectSoft Corp. (a) 1,900 1,663
ODS Networks, Inc. (a) 200 913
Overland Data, Inc. (a) 900 5,400
Par Technology Corp. (a) 100 806
Performance Technologies, 1,000 32,313
Inc. (a)
Planar Systems, Inc. (a) 400 2,625
Pomeroy Computer Resources, 300 3,994
Inc. (a)
Printronix, Inc. (a) 100 1,869
Procom Technology, Inc. (a) 100 663
Proxim, Inc. (a) 600 29,250
PSC, Inc. (a) 200 1,888
Quantum Corp.:
DLT & Storage Systems (a) 6,326 115,845
Hard Disk Drive (a) 5,963 42,486
Radisys Corp. (a) 903 34,766
Read-Rite Corp. (a) 1,800 10,125
Safeguard Scientifics, Inc. 1,200 80,700
(a)
SanDisk Corp. (a) 1,000 84,375
Scan-Optics, Inc. (a) 300 919
ScanSoft, Inc. (a) 125 363
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
TECHNOLOGY - CONTINUED
COMPUTERS & OFFICE EQUIPMENT
- - CONTINUED
ScanSource, Inc. (a) 1,000 $ 29,625
SCI Systems, Inc. (a) 2,800 139,475
SCM Microsystems, Inc. (a) 400 16,800
SED International Holdings, 100 263
Inc. (a)
Sequent Computer Systems, 1,500 26,438
Inc. (a)
SoftNet Systems, Inc. (a) 300 6,113
Splash Technology Holdings, 500 3,125
Inc. (a)
Storage Computer Corp. (a) 100 106
Symbol Technologies, Inc. 4,525 157,527
Syquest Technology, Inc. (a) 1,700 51
Take-Two Interactive 2,600 23,644
Software, Inc. (a)
Tech Data Corp. (a) 1,800 66,713
Telxon Corp. 600 5,025
Tidel Technologies, Inc. (a) 700 1,356
Transact Technologies, Inc. 100 650
(a)
Trident Microsystems, Inc. (a) 1,400 12,775
Trinitech Systems, Inc. (a) 900 21,600
UniView Technologies Corp. (a) 2,800 3,850
UNOVA, Inc. (a) 3,800 57,238
Valence Technology, Inc. (a) 300 1,313
Vitech America, Inc. 110 770
Western Digital Corp. (a) 5,500 33,688
Zebra Technologies Corp. (a) 270 12,690
Zebra Technologies Corp. 1,800 84,600
Class A (a)
3,071,132
ELECTRONIC INSTRUMENTS - 1.1%
ADE Corp. (a) 400 5,400
Aeroflex, Inc. (a) 500 8,188
Aetrium, Inc. (a) 100 700
Anadigics, Inc. (a) 800 28,600
Analogic Corp. 400 13,400
Aurora Biosciences Corp. (a) 200 2,088
Autocyte, Inc. (a) 100 425
Barringer Technologies, Inc. 300 1,678
(a)
Beckman Coulter, Inc. 1,900 90,013
BTU International, Inc. (a) 100 494
Catapult Communications Corp. 1,500 23,063
(a)
Cerprobe Corp. (a) 200 1,338
Cholestech Corp. (a) 100 588
Chromatics Color Sciences 1,050 8,334
International, Inc. (a)
Chromavision Medical Systems, 1,700 25,288
Inc. (a)
Cognex Corp. (a) 1,700 51,319
Cohu, Inc. 800 34,200
Credence Systems Corp. (a) 1,200 51,600
DBT Online, Inc. (a) 600 18,038
Electro Scientific 400 16,000
Industries, Inc. (a)
FARO Technologies, Inc. (a) 100 463
FEI Co. (a) 100 750
Fisher Scientific 1,200 21,600
International, Inc.
GenRad, Inc. (a) 1,100 20,763
SHARES VALUE (NOTE 1)
Helix Technology, Inc. 1,500 $ 42,375
Hurco Companies, Inc. (a) 100 388
Integral Vision, Inc. (a) 100 181
Isco, Inc. 100 475
Kollmorgen Corp. 100 1,138
Kulicke & Soffa Industries, 700 14,394
Inc. (a)
LAM Research Corp. (a) 1,500 84,656
LeCroy Corp. (a) 500 7,875
LTX Corp. (a) 2,200 28,600
Meade Instruments Corp. (a) 1,100 22,413
Mechanical Technology, Inc. 600 18,000
(a)
Mesa Laboratories, Inc. (a) 100 494
Metrika Systems Corp. (a) 100 725
Molecular Devices Corp. (a) 100 2,863
Newport Corp. 100 1,888
Novellus Systems, Inc. (a) 1,400 75,513
Optical Coating Laboratories, 800 61,400
Inc.
PPT Vision, Inc. (a) 100 413
Quad Systems Corp. (a) 100 159
Sawtek, Inc. (a) 1,500 49,594
SBS Technologies, Inc. (a) 500 11,813
Schmitt Industries, Inc. (a) 100 275
Silicon Valley Group, Inc. (a) 1,100 13,063
Smart Modular Technologies, 2,700 56,194
Inc. (a)
Teradyne, Inc. (a) 3,500 238,219
Thermedics Detection, Inc. (a) 100 931
Thermo Bioanalysis Corp. (a) 800 14,600
Thermo Instrument Systems, 3,500 38,938
Inc. (a)
Thermo Optek Corp. (a) 1,600 13,000
Thermo Vision Corp. (a) 42 276
Thermoquest Corp. (a) 1,600 16,600
Trimble Navigation Ltd. (a) 1,200 13,575
TSI, Inc. 100 1,413
Varian, Inc. (a) 2,600 41,275
Waters Corp. (a) 3,000 197,813
Wireless Telecom Group, Inc. 200 375
(a)
X-Rite, Inc. 700 4,769
Zygo Corp. (a) 400 4,300
1,505,303
ELECTRONICS - 5.6%
3Dfx Interactive, Inc. (a) 2,185 24,308
8X8, Inc. (a) 1,000 4,063
Aavid Thermal Technologies, 400 9,100
Inc. (a)
Act Manufacturing, Inc. (a) 1,050 21,459
Actel Corp. (a) 900 14,119
Advanced Energy Industries, 800 27,500
Inc. (a)
Align-Rite International, 100 1,388
Inc. (a)
Alliance Semiconductor Corp. 2,800 31,325
(a)
Alpine Group, Inc. (a) 500 8,188
Altera Corp. (a) 8,300 349,638
American Xtal Technology, 1,200 29,850
Inc. (a)
Amkor Technology, Inc. (a) 4,500 79,313
Amphenol Corp. Class A (a) 1,200 56,175
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
TECHNOLOGY - CONTINUED
ELECTRONICS - CONTINUED
Analog Devices, Inc. (a) 6,700 $ 345,050
Anaren Microwave, Inc. (a) 200 5,375
Applied Digital Access, Inc. 100 481
(a)
Applied Micro Circuits Corp. 1,000 92,250
(a)
Applied Science & Technology, 150 2,888
Inc. (a)
Arrow Electronics, Inc. (a) 5,200 103,350
Artesyn Technologies, Inc. (a) 2,400 52,650
Artisan Components, Inc. (a) 1,500 14,625
ASPEC Technology, Inc. (a) 500 469
Atmel Corp. (a) 4,000 157,250
Audiovox Corp. Class A (a) 1,800 25,538
Avnet, Inc. 2,100 92,925
AVX Corp. 4,400 131,725
Bel Fuse, Inc. Class A (a) 200 6,725
Benchmark Electronics, Inc. 1,200 44,175
(a)
Brightpoint, Inc. (a) 5,300 18,716
Broadcom Corp. Class A (a) 1,600 206,000
Burr-Brown Corp. (a) 1,200 45,750
C-Cube Microsystems, Inc. (a) 1,600 44,500
C.P. Clare Corp. (a) 1,800 11,475
CFM Technologies, Inc. (a) 100 850
Cidco, Inc. (a) 1,500 20,813
Cirrus Logic, Inc. (a) 1,800 20,138
Conexant Systems, Inc. 3,900 280,313
Cree Research, Inc. (a) 900 30,431
CTS Corp. 1,700 80,963
Cypress Semiconductor Corp. 3,900 90,188
(a)
Dallas Semiconductor Corp. 1,000 50,500
Digital Microwave Corp. (a) 1,930 26,417
DII Group, Inc. (a) 1,700 60,244
E Tek Dynamics, Inc. (a) 3,000 170,063
EFTC Corp. (a) 1,500 5,438
Elantec Semiconductor, Inc. 1,000 18,000
(a)
Electroglas, Inc. (a) 1,600 30,800
EMS Technologies, Inc. (a) 100 1,313
ESS Technology, Inc. (a) 1,400 17,675
Esterline Technologies Corp. 500 8,188
(a)
Etec Systems, Inc. (a) 1,000 44,000
Exar Corp. (a) 900 32,850
Ferrofluidics Corp. (a) 100 350
Gatefield Corp. (a) 30 193
General Semiconductor, Inc. 1,200 11,775
(a)
GlobeSpan, Inc. (a) 1,100 66,550
Griffon Corp. (a) 1,000 7,125
Hadco Corp. (a) 1,000 41,563
Harmonic, Inc. (a) 600 75,600
hi/fn, Inc. 576 69,516
Illinois Superconductor Corp. 1,100 1,100
(a)
Innotrac Corp. (a) 1,200 19,350
Innovex, Inc. 400 5,550
Integrated Device Technology, 3,237 63,122
Inc. (a)
SHARES VALUE (NOTE 1)
Integrated Silicon Solution 2,600 $ 28,113
(a)
International Rectifier Corp. 1,700 27,413
(a)
Intevac, Inc. (a) 100 500
Invision Technologies, Inc. 1,300 5,525
(a)
JDS Uniphase Corp. (a) 3,400 360,613
Katy Industries, Inc. 100 1,188
KEMET Corp. (a) 2,400 61,950
Kent Electronics Corp. (a) 1,000 16,938
Kopin Corp. (a) 1,000 36,063
Lattice Semiconductor Corp. 700 43,138
(a)
Linear Technology Corp. 6,400 402,800
Maker Communications, Inc. 1,500 35,438
Marshall Industries (a) 1,000 36,688
Maxim Integrated Products, 5,600 376,950
Inc. (a)
Maxwell Technologies, Inc. (a) 400 8,850
MEMC Electronic Materials, 2,500 49,688
Inc. (a)
Merix Corp. (a) 400 4,000
Methode Electronics, Inc. 2,600 46,800
Class A
Micrel, Inc. (a) 700 53,638
Micro Linear Corp. (a) 100 500
Microchip Technology, Inc. (a) 1,900 104,025
Microsemi Corp. (a) 400 2,900
MIPS Technologies, Inc. (a) 1,800 61,650
Molex, Inc. 6,075 194,780
Mylex Corp. (a) 2,200 25,438
NeoMagic Corp. (a) 2,700 21,938
NVIDIA Corp. (a) 2,100 59,063
Opti, Inc. (a) 200 1,325
Pacific Aerospace & 700 1,006
Electronics, Inc. (a)
Panda Project, Inc. (a) 100 14
Parlex Corp. (a) 100 1,763
Pericom Semiconductor Corp. 1,300 20,800
(a)
Photronics, Inc. (a) 700 16,713
Pioneer Standard Electronics, 2,300 32,488
Inc.
Plexus Corp. (a) 1,360 40,460
PLX Technology, Inc. (a) 1,600 38,400
Power Integrations, Inc. (a) 600 40,763
Power-One, Inc. (a) 1,200 31,725
Praegitzer Industries, Inc. 100 400
(a)
QLogic Corp. (a) 1,600 139,300
Rambus, Inc. (a) 1,000 97,000
Ramtron International Corp. 660 1,629
(a)
Reptron Electronics, Inc. (a) 100 466
Research Frontiers, Inc. (a) 100 1,263
RF Micro Devices, Inc. (a) 3,200 140,600
S3, Inc. (a) 1,600 16,000
Sanmina Corp. (a) 2,272 170,400
SDL, Inc. (a) 1,200 98,250
Semtech Corp. (a) 700 49,044
Sheldahl, Inc. (a) 200 1,288
Silicon Storage Technology, 2,100 32,813
Inc. (a)
Siliconix, Inc. (a) 300 13,050
Sipex Corp. (a) 800 14,150
Spire Corp. (a) 100 325
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
TECHNOLOGY - CONTINUED
ELECTRONICS - CONTINUED
Standard Microsystems Corp. 400 $ 3,300
(a)
Sterling Commerce, Inc. (a) 3,286 62,845
Storage Technology Corp. (a) 3,500 73,500
Supertex, Inc. (a) 100 1,350
Tech-Sym Corp. (a) 600 11,738
Tegal Corp. (a) 100 406
Telcom Semiconductor, Inc. (a) 1,600 21,800
TII Industries, Inc. (a) 200 313
Transwitch Corp. (a) 850 42,234
Triquint Semiconductor, Inc. 550 29,081
(a)
Triumph Group, Inc. (a) 200 4,950
Unique Mobility, Inc. (a) 100 431
Unitrode Corp. (a) 1,800 73,575
Universal Display Corp. (a) 100 406
Vari-L, Inc. (a) 1,500 14,344
Videoserver, Inc. (a) 500 4,000
Vishay Intertechnology, Inc. 4,675 100,220
(a)
Vitesse Semiconductor Corp. 3,100 210,800
(a)
Voxware, Inc. (a) 200 200
World Access, Inc. (a) 2,955 36,753
Xicor, Inc. (a) 2,800 19,600
Xilinx, Inc. (a) 6,100 426,619
Zoran Corp. (a) 800 26,600
7,642,408
PHOTOGRAPHIC EQUIPMENT - 0.1%
3D Systems Corp. (a) 500 2,344
Imation Corp. (a) 2,300 64,831
In Focus Systems, Inc. (a) 1,700 27,200
Panavision, Inc. (a) 205 1,409
VirtualFund.com, Inc. (a) 100 144
95,928
TOTAL TECHNOLOGY 31,851,208
TRANSPORTATION - 1.6%
AIR TRANSPORTATION - 0.7%
800 Travel Systems, Inc. (a) 900 3,038
AHI Services, Inc. (a) 1,400 40,775
AirTran Holdings, Inc. (a) 5,400 29,869
Alaska Air Group, Inc. (a) 800 34,600
America West Holding Corp. 2,000 39,000
Class B (a)
Atlantic Coast Airlines 1,600 31,800
Holdings (a)
Atlas Air, Inc. (a) 1,900 51,775
Cheap Tickets, Inc. (a) 1,400 51,800
Comair Holdings, Inc. 5,350 113,019
Continental Airlines, Inc. 3,600 146,925
Class B (a)
Frontier Airlines, Inc. (a) 1,800 22,613
Mercury Air Group, Inc. (a) 100 694
Mesa Air Group, Inc. (a) 600 4,125
Mesaba Holdings, Inc. (a) 700 8,663
Midway Airlines Corp. (a) 300 2,100
SHARES VALUE (NOTE 1)
Midwest Express Holdings, 1,550 $ 41,850
Inc. (a)
Navigant International, Inc. 2,200 17,325
(a)
Northwest Airlines Corp. 2,900 85,550
Class A (a)
Preview Travel, Inc. (a) 1,000 16,625
SkyWest, Inc. 1,500 30,188
Transportation World 5,000 19,688
Airlines, Inc. (a)
Travel Services 600 7,763
International, Inc. (a)
UAL Corp. (a) 2,100 136,106
World Airways, Inc. (a) 800 1,100
World Fuel Services Corp. 150 1,650
938,641
RAILROADS - 0.1%
ABC Rail Products Corp. (a) 100 1,419
Florida East Coast Industries 1,000 36,000
MotivePower Industries, Inc. 2,550 31,556
(a)
Railtex, Inc. (a) 300 4,425
Transportation Technologies 1,000 15,500
Industries, Inc. (a)
Trinity Industries, Inc. 2,800 87,850
Westinghouse Air Brake Co. 600 12,113
Wisconsin Central 1,600 25,500
Transportation Corp. (a)
214,363
SHIPPING - 0.1%
Alexander & Baldwin, Inc. 2,600 62,888
Gulfmark Offshore, Inc. (a) 100 1,875
Hvide Marine, Inc. (a) 1,000 531
International Shipholding 100 1,169
Corp.
Kirby Corp. (a) 1,175 23,500
Marine Transport Corp. (a) 30 105
OMI Corp. (a) 300 619
Trico Marine Services, Inc. 2,900 23,200
(a)
113,887
TRUCKING & FREIGHT - 0.7%
Air Express International 2,400 58,650
Corp.
Airborne Freight Corp. 2,100 52,894
AirNet Systems, Inc. (a) 400 3,950
American Freightways Corp. (a) 800 16,800
Arkansas Best Corp. (a) 2,400 30,000
Arnold Industries, Inc. 800 11,400
Asche Transportation 100 413
Services, Inc. (a)
C.H. Robinson Worldwide, Inc. 2,400 75,600
Carey International, Inc. (a) 400 8,700
Celadon Group, Inc. (a) 700 6,038
Circle International Group, 1,500 37,125
Inc.
CNF Transportation, Inc. 2,900 112,919
Consolidated Freightways 1,000 10,813
Corp. (a)
Covenant Transport, Inc. 600 10,125
Class A (a)
Dynamex, Inc. (a) 1,500 4,406
Eagle USA Airfreight, Inc. (a) 1,800 50,400
Expeditors International of 2,800 90,475
Washington, Inc.
Forward Air Corp. 1,300 29,250
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
TRANSPORTATION - CONTINUED
TRUCKING & FREIGHT - CONTINUED
Fritz Companies, Inc. (a) 1,100 $ 12,513
Frozen Food Express 100 681
Industries, Inc.
Heartland Express, Inc. (a) 900 13,388
Hub Group, Inc. Class A (a) 200 4,625
Hunt (J.B.) Transport 1,100 16,294
Services, Inc.
Knights Transportation, Inc. 150 2,250
(a)
Landstar System, Inc. (a) 300 11,100
M.S. Carriers, Inc. (a) 400 11,400
Old Dominion Freight Lines, 100 1,400
Inc. (a)
Pittston Co. (Burlington 600 5,363
Group)
Roadway Express, Inc. 600 12,638
Rollins Truck Leasing Corp. 1,750 18,156
Simon Transportation 500 2,625
Services, Inc. Class A (a)
Swift Transportation Co., 2,050 42,666
Inc. (a)
Trailer Bridge, Inc. (a) 100 194
Transit Group, Inc. (a) 100 475
US Xpress Enterprises, Inc. 600 6,375
(a)
USA Truck, Inc. (a) 100 925
USFreightways Corp. 1,600 77,600
Werner Enterprises, Inc. 1,475 31,205
XTRA Corp. (a) 600 27,188
Yellow Corp. (a) 800 12,700
921,719
TOTAL TRANSPORTATION 2,188,610
UTILITIES - 8.5%
CELLULAR - 0.8%
Advanced Radio Telecom Corp. 900 9,844
(a)
Aerial Communications, Inc. 2,100 33,075
(a)
American Mobile Satellite 1,100 21,450
Corp. (a)
Arch Communications Group, 33 182
Inc. (a)
Arch Communications Group, 172 0
Inc. warrants 9/1/03
Associated Group, Inc. Class 1,200 67,350
A (a)
Boston Communications Group, 100 769
Inc. (a)
Cellnet Data Systems, Inc. (a) 1,500 10,453
Centennial Cellular Corp. (a) 1,100 43,038
CoreComm Ltd. (a) 500 25,625
General Communications, Inc. 1,600 9,750
Class A (a)
Geotek Communications, Inc. 2,000 36
(a)
LCC International, Inc. (a) 1,900 14,725
Lightbridge, Inc. (a) 100 1,350
Metrocall, Inc. (a) 1,700 4,303
PageMart Wireless, Inc. Class 1,100 7,013
A (a)
Paging Network, Inc. (a) 3,400 10,519
Powertel, Inc. (a) 1,600 59,200
Price Communications Corp. 2,415 49,658
Rural Cellular Corp. Class A 900 27,563
(a)
SHARES VALUE (NOTE 1)
SkyTel Communications, Inc. 3,600 $ 71,325
(a)
SpectraLink Corp. (a) 2,200 13,750
Telephone & Data Systems, 2,300 160,138
Inc.
United States Cellular Corp. 4,400 247,775
(a)
USCI, Inc. (a) 100 29
VoiceStream Wireless Corp. (a) 3,800 156,750
Western Wireless Corp. Class A 2,300 88,981
1,134,651
ELECTRIC UTILITY - 2.9%
Allegheny Energy, Inc. 6,300 212,625
Alliant Energy Corp. 4,039 116,879
Avista Corp. 4,100 70,725
Bangor Hydro-Electric Co. 200 3,288
BEC Energy 2,700 116,606
Black Hills Corp. 650 16,088
Calpine Corp. (a) 1,400 126,875
Central Hudson Gas & Electric 500 21,125
Corp.
Central Vermont Public 300 4,200
Service Corp.
CILCORP, Inc. 500 32,219
Citizens Utilities Co. Class B 12,466 137,126
Cleco Corp. 700 23,275
CMP Group, Inc. 2,100 55,781
Commonwealth Energy System 600 27,208
Conectiv, Inc. 5,100 109,331
DPL, Inc. 8,200 155,288
DQE, Inc. 2,400 92,850
Eastern Utilities Associates 1,100 32,931
El Paso Electric Co. (a) 2,000 18,375
Empire District Electric Co. 500 12,750
Energy East Corp. 3,800 95,000
Hawaiian Electric Industries, 2,200 78,238
Inc.
IDACORP, Inc. 1,200 37,575
Illinova Corp. 3,200 102,000
IPALCO Enterprises, Inc. 2,800 58,625
Kansas City Power & Light Co. 3,900 93,844
KTI, Inc. (a) 2,300 18,688
LG&E Energy Corp. 6,702 154,146
Madison Gas & Electric Co. 500 9,875
MidAmerican Energy Holdings 3,600 103,050
Co. (a)
Minnesota Power, Inc. 5,500 97,969
Montana Power Co. 3,600 111,375
New England Electric System 2,400 125,250
NiSource, Inc. 5,800 137,750
Northeast Utilities (a) 4,200 73,763
Northwestern Corp. 800 19,800
OGE Energy Corp. 2,800 65,800
Otter Tail Power Co. 100 3,981
Pinnacle West Capital Corp. 3,800 144,400
Potomac Electric Power Co. 4,300 113,950
Public Service Co. of New 3,700 69,606
Mexico
Puget Sound Power & Light Co. 4,900 116,069
RGS Energy Group, Inc. 1,200 31,050
SCANA Corp. 7,100 177,500
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
UTILITIES - CONTINUED
ELECTRIC UTILITY - CONTINUED
Sierra Pacific Resources 2,354 $ 57,379
SIGCORP, Inc. 800 21,450
TECO Energy, Inc. 6,800 142,800
Thermo Ecotek Corp. (a) 1,100 8,525
TNP Enterprises, Inc. 500 18,688
Unisource Energy Corp. (a) 1,000 11,938
United Illuminating Co. 600 30,000
Utilicorp United, Inc. 5,450 126,372
Wisconsin Energy Corp. 6,000 146,625
WPS Resources Corp. 800 23,300
4,011,926
GAS - 1.4%
AGL Resources, Inc. 3,700 66,831
Atmos Energy Corp. 1,000 25,063
Cascade Natural Gas Corp. 100 1,831
Colonial Gas Co. 200 7,525
Connecticut Energy Corp. 300 11,213
Contour Energy Co. (a) 500 844
CTG Resources, Inc. 200 7,163
Dynegy, Inc. 6,000 141,000
El Paso Energy Corp. 4,600 168,188
Energen Corp. 900 16,988
Equitable Resources, Inc. 2,100 77,175
Indiana Energy, Inc. 766 16,230
K N Energy, Inc. 3,550 72,331
KeySpan Corp. 7,460 220,070
Laclede Gas Co. 500 10,844
MCN Energy Group, Inc. 4,600 82,225
MDU Resources Group, Inc. 3,150 74,025
Midcoast Energy Resources, 1,300 22,913
Inc.
Mitchell Energy & Development 1,500 30,563
Corp. Class A
National Fuel Gas Co. 1,300 61,181
New Jersey Resources Corp. 900 34,875
Northwest Natural Gas Co. 2,100 52,500
NUI Corp. 100 2,563
Ocean Energy, Inc. (a) 5,852 59,252
Piedmont Natural Gas Co., 1,000 33,563
Inc.
Public Service Co. of North 700 21,350
Carolina, Inc.
Questar Corp. 4,900 92,488
SEMCO Energy, Inc. 105 1,523
South Jersey Industries, Inc. 300 8,550
Southern Union Co. 960 20,100
Southwest Gas Corp. 2,500 69,688
Southwestern Energy Co. 800 7,150
UGI Corp. 2,600 59,638
Washington Gas Light Co. 2,700 72,056
Western Resources, Inc. 4,500 107,438
SHARES VALUE (NOTE 1)
WICOR, Inc. 2,800 $ 81,900
Yankee Energy System, Inc. 900 36,900
1,875,737
TELEPHONE SERVICES - 3.2%
Allegiance Telecom, Inc. (a) 2,400 144,300
Atlantic Tele-Network, Inc. 140 1,383
Caprock Communications Corp. 1,900 46,788
(a)
CFW Communications Co. 400 8,475
Cincinnati Bell, Inc. 5,300 98,050
Commonwealth Telephone 600 25,575
Enterprises, Inc. (a)
COMSAT Corp. Series 1 1,700 59,075
Covad Communications Group, 2,800 129,150
Inc.
CTC Communications Corp. (a) 1,400 21,088
Destia Communications, Inc. 2,900 46,400
e.spire Communications, Inc. 1,600 12,800
(a)
FirstCom Corp. (a) 2,100 16,800
Global TeleSystems Group, 7,900 255,269
Inc. (a)
GST Telecommunications, Inc. 2,800 38,500
(a)
Hyperion Telecommunications, 1,500 28,219
Inc. Class A (a)
I-Link Corp. (a) 2,500 8,750
ICG Communications, Inc. (a) 1,500 31,125
Intermedia Communications, 2,700 70,200
Inc. (a)
ITC DeltaCom, Inc. (a) 3,100 81,763
IXC Communications, Inc. (a) 2,029 71,269
Level 3 Communications, Inc. 14,700 878,325
(a)
Mastech Corp. (a) 2,800 48,475
McLeodUSA, Inc. Class A (a) 6,700 223,613
Metromedia Fiber Network, 6,400 188,400
Inc. Class A (a)
MGC Communications, Inc. (a) 700 16,100
NetMoves Corp. (a) 2,200 14,300
Network Access Solutions 3,700 52,725
Corp. (a)
NEXTLINK Communications, Inc. 2,700 136,013
Class A (a)
North Pittsburgh Systems, 100 1,306
Inc.
NorthEast Optic Network, Inc. 1,400 50,400
(a)
Pacific Gateway Exchange, 1,500 30,563
Inc. (a)
PLD Telekom, Inc. (a) 1,000 2,848
Primus Telecommunications 1,861 43,734
Group, Inc. (a)
Qwest Communications 30,320 871,700
International, Inc. (a)
RCN Corp. (a) 3,100 130,200
Rhythms NetConnections, Inc. 2,700 103,275
(a)
Source Media, Inc. (a) 1,600 13,150
STAR Telecommunications, Inc. 4,215 24,236
(a)
Startec Global Communications 1,400 17,850
Corp. (a)
TALK.com, Inc. (a) 4,100 42,281
TALK.com, Inc. rights 2/28/00 90 0
(a)
Teligent, Inc. Class A (a) 600 37,838
Time Warner Telecom, Inc. 1,700 45,900
Transaction Network Services, 1,000 43,875
Inc. (a)
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
UTILITIES - CONTINUED
TELEPHONE SERVICES - CONTINUED
U.S. LEC Corp. Class A (a) 1,000 $ 32,500
USN Communications, Inc. (a) 700 7
Viatel, Inc. (a) 1,200 46,425
West Teleservices Corp. (a) 2,000 21,250
WinStar Communications, Inc. 1,800 91,463
(a)
4,403,731
WATER - 0.2%
American States Water Co. 200 7,050
American Water Works, Inc. 3,100 90,288
Aquarion Co. 1,150 41,400
E Town Corp. 300 15,225
Pennsylvania Enterprises, 300 9,375
Inc.
Philadelphia Suburban Corp. 1,276 29,587
United Water Resources, Inc. 2,500 83,751
276,676
TOTAL UTILITIES 11,702,721
TOTAL COMMON STOCKS 129,774,098
(Cost $128,924,203)
PREFERRED STOCKS - 0.0%
CONVERTIBLE PREFERRED STOCKS
- - 0.0%
CONSTRUCTION & REAL ESTATE -
0.0%
REAL ESTATE INVESTMENT TRUSTS
- - 0.0%
Kimco Realty Corp. Series D 108 2,612
$1.875
Prime Retail, Inc. Series B, 60 900
$2.13
3,512
DURABLES - 0.0%
AUTOS, TIRES, & ACCESSORIES -
0.0%
Automatic Common Exchangeable 500 6,875
Securities Trust II
(Republic Industries, Inc.)
$1.55 TRACES
TOTAL CONVERTIBLE PREFERRED 10,387
STOCKS
NONCONVERTIBLE PREFERRED
STOCKS - 0.0%
CONSTRUCTION & REAL ESTATE -
0.0%
REAL ESTATE INVESTMENT TRUSTS
- - 0.0%
Price Enterprises, Inc. 900 13,388
Series A $1.40
HEALTH - 0.0%
MEDICAL EQUIPMENT & SUPPLIES
- - 0.0%
Mediq, Inc. Series A, $1.30 7 32
(a)
TOTAL NONCONVERTIBLE 13,420
PREFERRED STOCKS
TOTAL PREFERRED STOCKS 23,807
(Cost $24,521)
U.S. TREASURY OBLIGATIONS -
10.6%
PRINCIPAL AMOUNT VALUE (NOTE 1)
U.S. Treasury Bills, yield at $ 14,651,000 $ 14,521,139
date of purchase 4.22% to
4.86% 9/9/99 to 12/9/99 (c)
(Cost $14,521,657)
CASH EQUIVALENTS - 10.9%
SHARES
Bankers Trust Institutional 14,948,413 14,948,413
Daily Asset Fund, 5.28% (b)
(Cost $14,948,413)
TOTAL INVESTMENT PORTFOLIO - 159,267,457
116.3%
(Cost $158,418,794)
NET OTHER ASSETS - (16.3%) (22,370,651)
NET ASSETS - 100% $ 136,896,806
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C>
FUTURES CONTRACTS
EXPIRATION DATE UNDERLYING FACE AMOUNT UNREALIZED GAIN/(LOSS)
PURCHASED
22 S&P 500 Stock Index Sept. 1999 $ 7,258,900 $ 75,307
Contracts
</TABLE>
THE FACE VALUE OF FUTURES PURCHASED AS A PERCENTAGE OF NET ASSETS -
5.3%
SECURITY TYPE ABBREVIATIONS
TRACES - Trust Automatic
Common Exchange Securities
LEGEND
(a) Non-income producing
(b) The rate quoted is the annualized daily yield of the fund at
period end.
(c) 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 $1,102,000.
OTHER INFORMATION
Purchases and sales of securities, other than short-term securities,
aggregated $84,392,506 and $19,898,698, respectively.
The market value of futures contracts opened and closed during the
period amounted to $72,469,780 and $66,234,442, respectively.
The fund placed a portion of its portfolio transactions with brokerage
firms which are affiliates of Bankers Trust. The commissions paid to
these affiliated firms were $1,549 for the period.
The fund participated in the security lending program. At period end,
the value of securities loaned amounted to $14,447,615. The fund
received cash collateral of $14,948,413 which was invested in Bankers
Trust Institutional Daily Asset Fund. The fund also received non-cash
collateral of $92,327 which represents U.S. Treasury obligations.
INCOME TAX INFORMATION
At August 31, 1999, the aggregate cost of investment securities for
income tax purposes was $159,503,977. Net unrealized depreciation
aggregated $236,520, of which $16,709,985 related to appreciated
investment securities and $16,946,505 related to depreciated
investment securities.
SPARTAN EXTENDED MARKET PORTFOLIO
FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
AUGUST 31, 1999 (UNAUDITED)
ASSETS
Investment in securities, at $ 159,267,457
value (cost $158,418,794) -
See accompanying schedule
Cash 54,349
Receivable for investments 57,737
sold
Receivable for fund shares 428,874
sold
Dividends receivable 72,080
Interest receivable 7,096
Redemption fees receivable 30
TOTAL ASSETS 159,887,623
LIABILITIES
Payable for investments $ 7,825,270
purchased
Payable for fund shares 132,739
redeemed
Accrued management fee 854
Payable for daily variation 32,481
on futures contracts
Other payables and accrued 51,060
expenses
Collateral on securities 14,948,413
loaned, at value
TOTAL LIABILITIES 22,990,817
NET ASSETS $ 136,896,806
Net Assets consist of:
Paid in capital $ 134,897,315
Undistributed net investment 592,845
income
Accumulated undistributed net 482,676
realized gain (loss) on
investments and foreign
currency transactions
Net unrealized appreciation 923,970
(depreciation) on investments
NET ASSETS, for 4,988,235 $ 136,896,806
shares outstanding
NET ASSET VALUE, offering $27.44
price and redemption price
per share ($136,896,806
(divided by) 4,988,235
shares)
STATEMENT OF OPERATIONS
SIX MONTHS ENDED AUGUST 31,
1999 (UNAUDITED)
INVESTMENT INCOME $ 500,261
Dividends
Interest 142,024
Security lending 68,668
TOTAL INCOME 710,953
EXPENSES
Management fee and $ 137,485
sub-advisory fees
Transfer agent fees 66,927
Accounting fees 30,396
Non-interested trustees' 112
compensation
Registration fees 44,210
Audit 9,409
Legal 52
Miscellaneous 4
Total expenses before 288,595
reductions
Expense reductions (146,618) 141,977
NET INVESTMENT INCOME 568,976
REALIZED AND UNREALIZED GAIN
(LOSS)
Net realized gain (loss) on:
Investment securities 1,256,482
Futures contracts (600,849) 655,633
Change in net unrealized
appreciation (depreciation)
on:
Investment securities 3,002,008
Futures contracts 70,036 3,072,044
NET GAIN (LOSS) 3,727,677
NET INCREASE (DECREASE) IN $ 4,296,653
NET ASSETS RESULTING FROM
OPERATIONS
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
<S> <C> <C>
INCREASE (DECREASE) IN NET SIX MONTHS ENDED AUGUST 31, YEAR ENDED FEBRUARY 28, 1999
ASSETS 1999 (UNAUDITED)
Operations Net investment $ 568,976 $ 615,135
income
Net realized gain (loss) 655,633 3,074,918
Change in net unrealized 3,072,044 (3,771,841)
appreciation (depreciation)
NET INCREASE (DECREASE) IN 4,296,653 (81,788)
NET ASSETS RESULTING FROM
OPERATIONS
Distributions to shareholders (118,711) (480,843)
From net investment income
From net realized gain (1,828,586) (1,053,874)
TOTAL DISTRIBUTIONS (1,947,297) (1,534,717)
Share transactions Net 91,574,560 60,271,075
proceeds from sales of shares
Reinvestment of distributions 1,833,945 1,464,744
Cost of shares redeemed (21,437,993) (33,355,405)
NET INCREASE (DECREASE) IN 71,970,512 28,380,414
NET ASSETS RESULTING FROM
SHARE TRANSACTIONS
Trading fees 102,240 456,042
TOTAL INCREASE (DECREASE) 74,422,108 27,219,951
IN NET ASSETS
NET ASSETS
Beginning of period 62,474,698 35,254,747
End of period (including $ 136,896,806 $ 62,474,698
undistributed net investment
income of $592,845 and
$177,510, respectively)
OTHER INFORMATION
Shares
Sold 3,266,882 2,346,010
Issued in reinvestment of 70,644 57,682
distributions
Redeemed (783,128) (1,287,002)
Net increase (decrease) 2,554,398 1,116,690
</TABLE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
<S> <C> <C> <C>
SIX MONTHS ENDED AUGUST 31, YEARS ENDED FEBRUARY 28,
1999
SELECTED PER-SHARE DATA (UNAUDITED) 1999 1998 E
Net asset value, beginning of $ 25.67 $ 26.77 $ 25.00
period
Income from Investment
Operations
Net investment income D .17 .32 .11
Net realized and unrealized 2.39 (.92) 1.43
gain (loss)
Total from investment 2.56 (.60) 1.54
operations
Less Distributions
From net investment income (.05) (.22) (.07)
From net realized gain (.77) (.52) -
Total distributions (.82) (.74) (.07)
Trading fees added to paid in .03 .24 .30
capital
Net asset value, end of period $ 27.44 $ 25.67 $ 26.77
TOTAL RETURN B, C 10.27% (1.33)% 7.39%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period $ 136,897 $ 62,475 $ 35,255
(000 omitted)
Ratio of expenses to average .31% A, F .31% F .26% A, F
net assets
Ratio of net investment 1.24% A 1.25% 1.44% A
income to average net assets
Portfolio turnover rate 45% A 29% 40% A
</TABLE>
A ANNUALIZED B TOTAL RETURNS
FOR PERIODS OF LESS THAN ONE
YEAR ARE NOT ANNUALIZED. C
THE TOTAL RETURNS WOULD HAVE
BEEN LOWER HAD CERTAIN
EXPENSES NOT BEEN REDUCED
DURING THE PERIODS SHOWN. D
NET INVESTMENT INCOME PER
SHARE HAS BEEN CALCULATED
BASED ON AVERAGE SHARES
OUTSTANDING DURING THE
PERIOD. E FOR THE PERIOD
NOVEMBER 5, 1997
(COMMENCEMENT OF OPERATIONS)
TO FEBRUARY 28,1998. F 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.
SPARTAN INTERNATIONAL INDEX FUND
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). If Fidelity had not reimbursed certain fund
expenses, the total returns would have been lower.
CUMULATIVE TOTAL RETURNS
PERIODS ENDED AUGUST 31, 1999 PAST 6 MONTHS PAST 1 YEAR LIFE OF FUND
SPARTAN INTERNATIONAL INDEX 10.99% 31.69% 31.11%
MSCI EAFE 10.51% 25.95% 27.83%
International Funds Average 13.08% 24.80% n/a
CUMULATIVE TOTAL RETURNS show the fund's performance in percentage
terms over a set period - in this case, six months, one year 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 returns to
the performance of the Morgan Stanley Capital International Europe,
Australasia, Far East (MSCI EAFE) Index - a market
capitalization-weighted index that is designed to represent the
performance of developed stock markets outside the United States and
Canada. To measure how the fund's performance stacked up against its
peers, you can compare it to the International Funds Average, which
reflects the performance of mutual funds with similar objectives
tracked by Lipper Inc. The past six months average represents a peer
group of 630 mutual funds. These benchmarks include reinvested
dividends and capital gains, if any, and excludes the effect of sales
charges.
AVERAGE ANNUAL TOTAL RETURNS
PERIODS ENDED AUGUST 31, 1999 PAST 1 YEAR LIFE OF FUND
SPARTAN INTERNATIONAL INDEX 31.69% 16.05%
MSCI EAFE 25.95% 14.45%
International Funds Average 24.80% 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.
$10,000 OVER LIFE OF FUND
Spartan Intl Index MS EAFE (Net MA tax)
00399 MS001
1997/11/05 10000.00 10000.00
1997/11/30 9904.00 9790.87
1997/12/31 9972.48 9878.11
1998/01/31 10441.63 10331.71
1998/02/28 11083.21 10996.56
1998/03/31 11359.89 11337.23
1998/04/30 11569.05 11428.83
1998/05/31 11516.61 11375.46
1998/06/30 11613.42 11463.62
1998/07/31 11754.60 11581.92
1998/08/31 9955.51 10149.13
1998/09/30 9943.41 9840.18
1998/10/31 11125.33 10868.19
1998/11/30 11657.79 11427.14
1998/12/31 12082.32 11880.11
1999/01/31 12115.09 11847.20
1999/02/28 11812.01 11567.02
1999/03/31 12278.92 12052.14
1999/04/30 12811.51 12542.42
1999/05/31 12127.30 11898.62
1999/06/30 12700.89 12364.58
1999/07/31 12991.78 12734.28
1999/08/31 13110.59 12782.92
IMATRL PRASUN SHR__CHT 19990831 19990913 085239 R00000000000025
$10,000 OVER LIFE OF FUND: Let's say hypothetically that $10,000 was
invested in Spartan International Index Fund on November 5, 1997, when
the fund started. As the chart shows, by August 31, 1999, the value of
the investment would have been $13,111 - a 31.11% increase on the
initial investment. For comparison, look at how the Morgan Stanley
Capital International Europe, Australasia, Far East (MSCI EAFE) Index
did over the same period. With dividends and capital gains, if any,
reinvested, the same $10,000 investment would have grown to $12,783 -
a 27.83% increase.
(checkmark) 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.
SPARTAN INTERNATIONAL INDEX FUND
FUND TALK: THE SUB-ADVISER'S OVERVIEW
(photograph of Dean Barr)
The following is an interview with Dean Barr, who oversees the Spartan
International Index Fund's investment management personnel as Managing
Director for Bankers Trust, sub-adviser of the fund.
Q. HOW DID THE FUND PERFORM, DEAN?
A. For the six-month period ending August 31, 1999, the fund returned
10.99% (figure does not include the purchase fee, which was
discontinued on April 28, 1999). In comparison, the Morgan Stanley
Capital International Europe, Australasia and Far East (MSCI EAFE)
Index returned 10.51%. The international funds average returned 13.08%
during the same period, according to Lipper Inc. For the 12 months
that ended August 31, 1999, the fund returned 31.69%, compared to
25.95% for the EAFE index and 24.80% for the Lipper average.
Q. HOW WOULD YOU DESCRIBE THE INVESTMENT CLIMATE DURING THE PERIOD?
A. Strengthening economies, lower interest rates and widespread
corporate restructuring activity helped many foreign stock markets
post positive performances over the past six months. Europe, a major
component of the index, saw generally mixed performance despite
overall signs of sustained improvement on the economic and corporate
fronts, as investors seemed to find more attractive opportunities in
other regions. Concerns over inflationary pressures and rising
interest rates in the U.S. kept the U.K. equity market off balance
during the period as well. Conversely, the previously faltering
Japanese stock market forged ahead, taking the next steps toward
recovery. Reforms, most notably in the banking sector, and government
economic intervention helped to get that market back on its feet.
Q. WHAT DROVE THE EAFE INDEX'S SIX-MONTH RETURNS?
A. The Japanese market, a major component of the index, had the
largest impact on performance during the period. Renewed optimism
about Japan's economic recovery, fueled by strong gross domestic
product data, lured overseas investors back to Japan's markets. The
Japanese government launched a number of initiatives aimed at
jump-starting the nation's deteriorating economy and bolstering its
troubled banking system. In recent months, there have been encouraging
signs that these programs are working. The TOPIX Index - a broad
measure of the Japanese stock market performance - surged 41.31%
during the six-month period.
Q. WHAT OTHER FACTORS INFLUENCED PERFORMANCE?
A. Energy-related stocks aided performance as the price of oil
rebounded on improving supply/demand fundamentals. Among the
beneficiaries were Royal Dutch Petroleum and BP Amoco. In addition,
industry merger and acquisition activity continued unabated as
integrated international energy companies sought to expand their
global competitiveness and improve their bottom lines. France-based
Total Fina and Elf Aquitaine, for example, each launched a takeover
strike against the other during the period. In the automotive sector,
world markets applauded signs of accelerating economic growth
throughout Europe and many Asian economies. Toyota's strong stock
performance was an excellent case in point.
Q. WHAT MARKETS DETRACTED?
A. Italy registered the poorest performance of the period. Export
growth was subdued and domestic demand remained weak as low interest
rates failed to stimulate private borrowing on a large scale. Banks
and insurers were hit particularly hard. Interest-rate concerns also
played a role in the financial sector's poor performance. Spain, too,
suffered on expectations of higher interest rates, fueled by the pace
of economic growth in the U.S. and elsewhere in Europe. Utilities
there fell victim to these concerns as well, with companies such as
Gas Natural SDG and Endesa each experiencing precipitous declines.
Other European detractors included DaimlerChrysler and France Telecom.
Q. WHAT'S YOUR OUTLOOK, DEAN?
A. The prospects for European companies remain favorable. Europe's
stock markets have lagged other regions over recent months and appear
poised for a turnaround. Whatever happens, it'll be in no small part
influenced by events in the U.S. The Japanese stock market, on the
other hand, is likely to remain sensitive to the relative strength of
the yen, as well as to the overall direction of U.S. markets. Japan
may require further government intervention to sustain its economic
recovery. I expect merger, acquisition and restructuring activity to
continue to remain a positive theme throughout the world.
THE VIEWS EXPRESSED IN THIS REPORT REFLECT THOSE OF BANKERS TRUST ONLY
THROUGH THE END OF THE PERIOD OF THE REPORT AS STATED ON THE COVER.
ANY SUCH VIEWS ARE SUBJECT TO CHANGE AT ANY TIME BASED ON MARKET OR
OTHER CONDITIONS. FOR MORE INFORMATION, SEE PAGE 2.
NOTE TO SHAREHOLDERS: At a meeting held on September 15, 1999, after
the period covered in this report, shareholders approved a new
sub-advisory agreement among the fund, Fidelity Management & Research
Co., and Bankers Trust.
(checkmark) FUND FACTS
GOAL: total return that corresponds to that
of the MSCI EAFE Index
FUND NUMBER: 399
TRADING SYMBOL: FSIIX
START DATE: November 5, 1997
SIZE: as of August 31, 1999, more than
$89 million
SUB-ADVISER: Bankers Trust, since inception
SPARTAN INTERNATIONAL INDEX FUND
INVESTMENT CHANGES
<TABLE>
<CAPTION>
<S> <C> <C>
TOP TEN STOCKS AS OF AUGUST
31, 1999
% OF FUND'S NET ASSETS % OF FUND'S NET ASSETS IN
THESE STOCKS 6 MONTHS AGO
Nippon Telegraph & Telephone 1.6 1.3
Corp. (Japan, Telephone
Services)
Royal Dutch Petroleum Co. 1.6 1.3
(Hague Registry)
(Netherlands, Oil & Gas)
BP Amoco PLC (United 1.5 1.0
Kingdom, Oil & Gas)
Toyota Motor Corp. (Japan, 1.4 1.2
Autos, Tires, & Accessories)
Nokia AB (Finland, 1.3 1.1
Communications Equipment)
Novartis AG (Reg.) 1.2 1.5
(Switzerland, Drugs &
Pharmaceuticals)
HSBC Holdings PLC (United 1.1 0.6
Kingdom) (Reg.) (United
Kingdom, Banks)
Deutsche Telekom AG 1.1 1.3
(Germany, Telephone Services)
British Telecommunications 1.0 1.3
PLC (United Kingdom,
Telephone Services)
Glaxo Wellcome PLC (United 1.0 1.3
Kingdom, Drugs &
Pharmaceuticals)
</TABLE>
GEOGRAPHIC DIVERSIFICATION (% OF NET ASSETS)
AS OF AUGUST 31, 1999
Australia 2.6%
France 9.3%
United Kingdom 20.8%
Germany 9.6%
Italy 4.0%
Switzerland 6.5%
Spain 2.8%
Japan 26.1%
Other 12.5%
Netherlands 5.8%
Row: 1, Col: 1, Value: 2.6
Row: 1, Col: 2, Value: 9.300000000000001
Row: 1, Col: 3, Value: 9.6
Row: 1, Col: 4, Value: 4.0
Row: 1, Col: 5, Value: 26.1
Row: 1, Col: 6, Value: 5.8
Row: 1, Col: 7, Value: 12.5
Row: 1, Col: 8, Value: 2.8
Row: 1, Col: 9, Value: 6.5
Row: 1, Col: 10, Value: 20.8
PERCENTAGES ARE ADJUSTED FOR THE EFFECT OF FUTURES CONTRACTS, IF
APPLICABLE.
AS OF FEBRUARY 28, 1999
Australia 2.8%
France 9.7%
Germany 10.4%
United Kingdom 22.9%
Switzerland 7.5%
Italy 5.3%
Spain 3.5%
Other 11.0%
Japan 20.9%
Netherlands 6.0%
Row: 1, Col: 1, Value: 2.8
Row: 1, Col: 2, Value: 9.699999999999999
Row: 1, Col: 3, Value: 10.4
Row: 1, Col: 4, Value: 5.3
Row: 1, Col: 5, Value: 20.9
Row: 1, Col: 6, Value: 6.0
Row: 1, Col: 7, Value: 11.0
Row: 1, Col: 8, Value: 3.5
Row: 1, Col: 9, Value: 7.5
Row: 1, Col: 10, Value: 22.9
PERCENTAGES ARE ADJUSTED FOR THE EFFECT OF FUTURES CONTRACTS, IF
APPLICABLE.
PRIOR TO THIS REPORT, CERTAIN INFORMATION RELATED TO PORTFOLIO
HOLDINGS WAS STATED AS A PERCENTAGE OF THE FUND'S INVESTMENTS.
SPARTAN INTERNATIONAL INDEX FUND
INVESTMENTS AUGUST 31, 1999 (UNAUDITED)
Showing Percentage of Net Assets
COMMON STOCKS - 84.6%
SHARES VALUE (NOTE 1)
AUSTRALIA - 1.6%
Amcor Ltd. 5,543 $ 28,954
AMP Ltd. 8,355 83,432
Australian Gas Light Co. 3,167 20,626
Boral Ltd. 11,148 17,117
Brambles Industries Ltd. 1,829 51,073
Broken Hill Proprietary Co. 13,127 141,506
Ltd. (The)
Coca-Cola Amatil Ltd. 8,612 31,167
Coles Myer Ltd. 9,298 51,995
Colonial Ltd. 7,418 27,947
CSL Ltd. 1,021 12,186
CSR Ltd. 9,549 24,436
Fosters Brewing Group Ltd. 14,632 42,966
General Property Trust 11,458 19,498
Gio Australia Holdings Ltd. 2,266 3,669
Goodman Fielder Ltd. 5,290 4,873
James Hardie Industries Ltd. 1,000 2,667
Lend Lease Corp. Ltd. 4,044 49,523
M.I.M. Holdings Ltd. 4,957 3,901
National Australia Bank Ltd. 11,059 167,607
News Corp. Ltd. 14,962 109,599
Normandy Mining Ltd. 16,126 11,555
North Ltd. 6,769 14,983
Orica Ltd. 1,178 6,127
Pacific Dunlop Ltd. 4,100 6,112
Pioneer International Ltd. 6,858 17,550
QBE Insurance Group Ltd. 1,057 3,787
Rio Tinto Ltd. 2,388 41,096
Santos Ltd. 4,924 14,743
Smith (Howard) Ltd. 507 4,054
Southcorp Holdings Ltd. 5,707 21,527
Tabcorp Holdings Ltd. 2,851 19,516
Telstra Corp. Ltd. 38,566 201,082
Wesfarmers Ltd. 2,300 20,747
Westfield Trust 398 829
Westfield Trust Unit 11,639 23,753
Westpac Banking Corp. 14,728 89,511
WMC Ltd. 8,363 36,954
Woolworths Ltd. 9,317 32,652
1,461,320
AUSTRIA - 0.2%
Austria Tabak AG (a) 270 14,734
Bank Austria AG 1,139 60,529
Boehler-Uddeholm AG 50 2,405
Flughafen Wien AG 90 3,564
Generali Holding Vienna AG 90 15,419
Mayr Melnhof Karton AG 60 2,881
Oesterreichische 320 48,055
Elektrizitaetswirtschafts AG
(verbund) (a)
OMV AG 300 30,124
SHARES VALUE (NOTE 1)
VA Technologie AG 180 $ 15,895
Wienerberger Baustoffind AG 820 19,503
213,109
BELGIUM - 1.3%
Barco Industries NV (a) 76 10,529
Bekaert SA (a) 8 3,711
Cimenteries Bedrijven (CBR) 186 16,936
(a)
Colruyt NV 32 21,354
D'ieteren SA (a) 51 23,731
Delhaize Freres & Compagnie 636 54,144
Le Lion
Electrabel SA 609 203,712
Fortis B (a) 7,716 265,202
Fortis B:
CVG rights 7/20/01 (a) 196 1,047
VVPR STRIP (a) 1,764 19
Groupe Bruxelles Lambert SA 286 54,715
KBC Bancassurance Holding NV 3,233 181,210
Solvay Et Compagnie SA 961 67,737
Tractebel 860 157,251
Ucb Corp. 1,659 70,354
Union Miniere SA 100 4,009
1,135,661
DENMARK - 0.7%
Carlsberg AS:
Class A 400 15,371
Class B 100 3,948
D/S 1912 Class B 12 116,140
D/S Svenborg 7 95,744
Danisco AS 679 28,992
Den Danske Bank Group AS 600 68,488
Fls Industries 217 5,559
GN Store Nordic AS 169 5,725
International Service Systems 435 24,022
AS Class B (a)
Novo-Nordisk AS Class B 808 95,451
Tele Danmark AS Class B 2,230 126,322
Unidanmark AS Class A 500 32,878
618,640
FINLAND - 1.8%
Instrumentarium OY:
Class A 100 3,754
Class B 19 693
Kemira OY 500 2,855
Kesko OY (a) 900 11,060
Merita Ltd. Series A 9,700 51,291
Metra OY Series B 200 3,596
Metso Oyj (a) 2,200 27,919
Nokia AB 13,600 1,133,900
Outokumpu OY Class A 2,600 34,013
Pohjola Group Insurance Corp.:
Class A 100 4,759
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
FINLAND - CONTINUED
Pohjola Group Insurance
Corp.: - continued
Class B 100 $ 4,875
Raisio Group PLC 2,900 29,320
Sampo Insurance Co. Ltd. 800 26,227
Sonera Group PLC 5,000 121,354
Tietoenator Oyj Abp 1,100 37,226
UPM-Kymmene Corp. 3,400 117,758
1,610,600
FRANCE - 6.6%
Accor SA (a) 329 79,259
Alcatel Alsthom Compagnie 1,589 245,798
Generale d'Electricite SA
(RFD) (a)
AXA SA de CV 2,754 343,092
Banque Nationale de Paris (a) 3,485 266,835
Banque Nationale de Paris 754 6,626
warrants 7/1/02 (a)
BIC Ste (a) 200 10,491
Bouygues (a) 266 73,421
Canal Plus SA (a) 1,144 78,881
Cap Gemini SA 614 105,517
Carrefour Supermarche SA (a) 1,846 300,645
Casino Guichard Perrachon et 673 70,960
Compagnie (a)
Coflexip SA (a) 35 3,118
Compagnie de St. Gobain 694 134,311
Dassault Systemes SA 326 12,411
Elf Aquitaine 2,159 380,254
Eridania Beghin Say Group (a) 100 13,241
Essilor International SA (a) 50 16,709
Eurafrance (Societe) 10 6,144
France Telecom SA 7,852 611,996
Groupe Danone 597 147,864
L'Air Liquide 710 109,025
L'Oreal SA 528 341,453
Lafarge SA 924 99,379
Lagardere S.C.A. (Reg.) (a) 943 38,295
Legrand SA (a) 171 40,689
LVMH (Louis Vuitton Moet 725 220,893
Hennessy)
LVMH (Louis Vuitton Moet 562 16,969
Hennessy) rights 9/21/99 (a)
Michelin SA (Compagnie 1,073 46,536
Generale des Etablissements)
Class B (a)
Pechiney SA Class A 207 12,062
Pernod-Ricard 393 30,174
Peugeot SA 464 85,382
Pinault Printemps SA (a) 963 167,021
Promodes 122 115,216
Rhone-Poulenc SA Class A 2,729 132,527
Sagem SA 15 3,894
Sanofi-Synthelabo SA (a) 5,814 242,255
Schneider SA (a) 1,421 95,426
SHARES VALUE (NOTE 1)
Seita 135 $ 7,367
Sidel SA 175 19,377
Simco SA (Reg.) 124 10,917
Societe Generale, France 857 167,941
Class A
Sodexho Alliance SA 220 36,179
Suez Lyonnaise des Eaux 1,209 201,887
Technip SA (a) 53 5,863
Thomson CSF 1,657 60,632
Total Fina SA (a) 774 8
Total Fina SA:
Class B 1,870 243,334
Class B 774 100,026
Usinor Sacilor (a) 900 13,944
Valeo SA 444 35,921
Vivendi SA (a) 4,173 322,602
5,930,767
GERMANY - 6.2%
Aachener & Muenchener 200 16,921
Beteiligungs AG
Adidas-Salomon AG 250 23,028
Allianz AG (Reg.) 1,823 476,195
Axa Colonia Konzern AG 100 9,793
BASF AG 4,500 199,877
Bayer AG 5,600 240,918
Bayerische Hypo-und 3,025 175,950
Vereinsbank AG
Beiersdorf AG 350 23,874
Continental Gummi-Werke AG 350 7,773
DaimlerChrysler AG (Reg.) 7,392 555,786
Deutsche Bank AG 4,661 317,640
Deutsche Lufthansa AG (Reg.) 3,250 61,867
Deutsche Telekom AG 21,556 962,014
Dresdner Bank AG 3,650 166,098
Heidelberger Zement AG 400 40,187
Hochtief AG 250 11,102
Karstadt AG 50 23,530
Linde AG 1,000 60,069
MAN AG 500 16,815
Mannesmann AG 2,800 423,443
Merck Kgaa 1,500 50,762
Metro AG 2,180 122,581
Munich Reinsurance AG:
warrants 7/1/02 (a) 16 533
(Reg.) 1,282 241,342
Preussag AG 1,393 78,593
RWE AG 3,250 137,653
SAP AG (Systeme Anwendungen 450 154,191
Produkte)
Schering AG 400 44,337
SGL Carbon AG (a) 50 3,667
Siemens AG 4,300 357,476
Thyssen Krupp AG (a) 4,350 99,367
Veba AG 3,850 240,711
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
GERMANY - CONTINUED
Viag AG 5,200 $ 109,105
Volkswagen AG 2,250 134,441
5,587,639
HONG KONG - 1.7%
Bank of East Asia Ltd. 7,727 17,813
Cable & Wireless HKT Ltd. 98,028 222,821
Cathay Pacific Airways Ltd. 32,000 54,398
Cheung Kong Holdings Ltd. 19,000 165,165
CLP Holdings Ltd. 20,500 97,155
Hang Lung Development Co. 5,000 5,763
Ltd.
Hang Seng Bank Ltd. 15,800 178,552
Hong Kong & China Gas Co. 36,846 51,722
Ltd.
Hong Kong & Shanghai Hotels 5,000 3,960
Ltd. (The)
Hopewell Holdings Ltd. 2,200 1,530
Hutchison Whampoa Ltd. 31,000 302,417
Hysan Development Ltd. 4,139 5,384
Johnson Electric Holdings 9,000 40,567
Ltd.
New World Development Co. 19,697 47,435
Ltd.
Shangri-La Asia Ltd. 14,000 15,866
Sino Land Co. 13,006 6,532
South China Morning Post 8,000 5,074
Holdings
Sun Hung Kai Properties Ltd. 20,215 173,124
Swire Pacific Ltd. Class A 13,000 67,135
Television Broadcasts Ltd. 2,000 8,912
Wharf Holdings Ltd. 21,228 57,684
Wharf Holdings Ltd. warrants 400 247
12/31/99 (a)
1,529,256
IRELAND - 0.6%
Allied Irish Banks PLC 10,574 136,762
Bord Telecom Eirann PLC (a) 27,075 123,409
CRH PLC 4,767 107,431
Fyffes PLC (Ireland) 2,866 5,456
Independent Newspapers PLC 2,235 10,920
(Ireland)
Irish Life & Permanent PLC 3,612 37,435
Jefferson Smurfit Group PLC 13,845 40,265
Kerry Group PLC Class A 2,282 27,995
Ryanair Holdings PLC (a) 2,235 20,800
510,473
ITALY - 2.9%
Alitalia Linee Aeree Ital 15,523 41,615
Class A
Assicurazioni Generali Spa 8,504 288,419
Banca Commerciale Italiana Spa 14,553 99,592
Banca Intesa Spa 20,076 85,223
Benetton Group Spa 21,255 40,933
Bulgari Spa 1,231 8,055
Edison Spa 5,796 48,534
Eni Spa sponsored ADR 65,570 395,258
Fiat Spa 3,031 98,535
SHARES VALUE (NOTE 1)
Istituto Nazionale Delle 33,848 $ 82,259
Assicurazioni Spa
Italcementi Spa 721 9,927
Italgas Spa 7,103 29,732
La Rinascente Spa 879 7,021
Mediaset Spa 9,893 87,842
Mediobanca Spa 5,267 54,593
Mediobanca Spa warrants 334 687
12/31/00 (a)
Montedison Spa 28,883 43,649
Olivetti & Co. Spa 48,028 111,946
Parmalat Finanziaria Spa 5,994 7,772
Pirelli Spa 19,836 49,864
Riunione Adriatica di Sicurta 4,136 38,964
(RSA) Spa
San Paolo-IMI Spa 12,088 163,005
Sirti Spa 981 5,085
Telecom Italia Mobile Spa 54,815 318,659
Telecom Italia Spa 28,822 291,102
Unicredito Italiano Spa 41,597 192,680
Unione Immobiliare Spa 20,657 9,857
2,610,808
JAPAN - 24.5%
77 Bank Ltd. 3,000 29,330
Acom Co. Ltd. 1,600 162,271
Advantest Corp. 1,100 149,117
Ajinomoto Co., Inc. 8,000 91,360
Alps Electric Co. Ltd. 2,000 58,058
Amada Co. Ltd. 4,000 33,594
Aoyama Trading Co. Ltd. 1,000 37,336
Asahi Bank Ltd. 30,000 183,486
Asahi Breweries Ltd. 6,000 91,141
Asahi Chemical Industry Co. 17,000 90,785
Ltd.
Asahi Glass Co. Ltd. 14,000 88,439
Bank of Fukuoka Ltd. 2,000 11,495
Bank of Tokyo-Mitsubishi Ltd. 48,000 716,418
Bank of Yokohama Ltd. 5,000 15,519
Bridgestone Corp. 9,000 254,690
Canon, Inc. 9,000 268,875
Casio Computer Co. Ltd. 1,000 6,956
Central Japan Railway Co. 14 92,684
Chiba Bank 1,000 3,752
Chugai Pharmaceutical Co. 2,000 22,091
Ltd.
Citizen Watch Co. Ltd. (a) 3,000 25,798
Cosmo Oil Co. Ltd. 3,000 5,477
Credit Saison Co. Ltd. 1,700 38,331
Dai Ei, Inc. (a) 10,000 42,631
Dai Nippon Printing Co. Ltd. 8,000 130,723
Daiichi Pharmaceutical Co. 3,000 46,310
Ltd.
Daikin Industries Ltd. 3,000 32,863
Dainippon Ink & Chemicals, 7,000 27,158
Inc.
Daiwa Bank Ltd. 6,000 18,482
Daiwa House Industry Co. Ltd. 6,000 60,249
Daiwa Securities Co. Ltd. 15,000 135,698
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
JAPAN - CONTINUED
Denso Corp. 10,000 $ 222,740
East Japan Railway Co. 42 254,197
Ebara Corp. 3,000 36,971
Eisai Co. Ltd. 3,000 69,287
Fanuc Ltd. 2,600 156,648
Fuji Bank Ltd. 36,000 371,354
Fuji Photo Film Co. Ltd. 6,000 219,088
Fujikura Ltd. (a) 3,000 19,225
Fujitsu Ltd. 20,000 586,061
Furukawa Electric Co. Ltd. 9,000 50,938
Gunma Bank Ltd. 4,000 25,925
Hankyu Corp. (a) 3,000 10,653
Hitachi Ltd. 35,000 354,813
Hitachi Zosen Corp. (a) 5,000 5,888
Honda Motor Co. Ltd. 10,000 401,661
House Foods Corp. 1,000 15,108
Hoya Corp. 1,000 59,884
Industrial Bank of Japan Ltd. 28,000 284,997
(The)
Isetan Co. Ltd. (a) 2,000 17,801
Ishikawajima-Harima Heavy 10,000 19,519
Industries Co. Ltd.
Ito-Yokado Co. Ltd. 4,000 294,308
Itochu Corp. (a) 15,000 45,872
Japan Airlines Co. Ltd. 21,000 80,707
Japan Energy Corp. 6,000 7,668
Japan Tobacco, Inc. 12 166,507
Joyo Bank Ltd. 7,000 28,116
Jusco Co. Ltd. 4,000 77,046
Kajima Corp. 12,000 51,814
Kandenko Co. Ltd. (a) 1,000 5,925
Kaneka Corp. (a) 3,000 34,233
Kansai Electric Power Co., 10,500 201,287
Inc.
Kao Corp. 7,000 198,731
Kawasaki Heavy Industries 19,000 43,361
Ltd. (a)
Kawasaki Steel Corp. 38,000 86,722
Keihin Electric Express 1,000 3,588
Railway Co. Ltd.
Kikkoman Corp. 2,000 16,413
Kinden Corp. 3,000 30,125
Kinki Nippon Railway Co. Ltd. 19,000 95,048
(a)
Kirin Brewery Co. Ltd. 11,000 133,552
Kokuyo Co. Ltd. (a) 1,000 17,801
Komatsu Ltd. 12,000 76,681
Komori Corp. 1,000 21,452
Konami Co. Ltd. 1,000 87,544
Konica Corp. 1,000 4,026
Kubota Corp. 18,000 56,853
Kuraray Co. Ltd. 5,000 60,067
Kurita Water Industries Ltd. 2,000 36,259
Kyocera Corp. 1,700 111,735
Kyowa Hakko Kogyo Co. Ltd. 3,000 22,730
Makita Corp. 1,000 11,867
Marubeni Corp. 11,000 26,008
SHARES VALUE (NOTE 1)
Marui Co. Ltd. 4,000 $ 66,822
Matsushita Electric 22,000 442,338
Industrial Co. Ltd.
Meiji Seika Kaisha Ltd. 5,000 37,428
Minebea Co. Ltd. 5,000 60,249
Mitsubishi Chemical Corp. 24,000 80,624
Mitsubishi Corp. 17,000 141,376
Mitsubishi Electric Corp. 24,000 121,375
Mitsubishi Estate Co. Ltd. 14,000 144,671
Mitsubishi Gas Chemical Co., 3,000 8,627
Inc.
Mitsubishi Heavy Industries 37,000 161,112
Ltd.
Mitsubishi Logistics Corp. 1,000 11,228
Mitsubishi Materials Corp. (a) 15,000 42,311
Mitsubishi Rayon Co. Ltd. 3,000 8,462
Mitsubishi Trust & Banking 14,000 146,972
Corp.
Mitsui & Co. Ltd. 18,000 126,688
Mitsui Fudosan Co. Ltd. 10,000 81,336
Mitsui Marine & Fire 10,000 54,863
Insurance Co. Ltd.
Mitsui Mining & Smelting Co. 4,000 23,625
Ltd.
Mitsui OSK Lines Ltd. 3,000 5,751
Mitsui Trust & Banking Co. 3,000 6,189
Ltd.
Mitsukoshi Ltd. (a) 5,000 29,668
Murata Manufacturing Co. Ltd. 3,000 240,997
Mycal Corp. 3,000 18,075
Nagoya Railroad Co. Ltd. 2,000 5,970
Nankai Electric Railway Co. 2,000 8,216
Ltd.
NEC Corp. 17,000 276,234
NGK Insulators Ltd. 3,000 31,494
NGK Spark Plug Co. Ltd. 1,000 10,261
Nichido Fire & Marine 1,000 4,793
Insurance Co. Ltd.
Nichiei Co. Ltd. 400 36,880
Nidec Corp. 200 39,418
Nikon Corp. 5,000 84,714
Nintendo Co. Ltd. 800 138,756
Nippon Computer Systems Corp. 2,000 35,821
Nippon Express Co. Ltd. 12,000 91,688
Nippon Fire & Marine 1,000 3,286
Insurance Co.
Nippon Meat Packers, Inc. 2,000 27,386
Nippon Mitsubishi Oil Corp. 17,000 75,266
Nippon Paper Industries Co. 11,000 72,299
Ltd.
Nippon Steel Corp. 73,000 191,255
Nippon Telegraph & Telephone 131 1,470,902
Corp.
Nippon Yusen Kabushiki Kaisha 15,000 54,772
Nishimatsu Construction 2,000 11,593
Nissan Motor Co. Ltd. (a) 26,000 151,426
Nisshinbo Industries, Inc. 1,000 5,212
Nissin Food Products Co. Ltd. 1,000 26,473
Nitto Denko Corp. 2,000 55,320
NKK Corp. (a) 5,000 4,656
Nomura Securities Co. Ltd. 21,000 307,682
NSK Ltd. 6,000 38,560
Obayashi Corp. 10,000 53,950
Odakyu Electric Railway Co. 1,000 3,213
Ltd.
Oji Paper Co. Ltd. 12,000 83,253
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
JAPAN - CONTINUED
Olympus Optical Co. Ltd. 2,000 $ 29,778
Omron Corp. 3,000 61,208
Onward Kashiyama Co. Ltd. 2,000 30,563
Oriental Land Co. Ltd. 600 42,181
Orix Corp. 1,000 96,216
Osaka Gas Co. Ltd. 27,000 86,266
Pioneer Corp. 1,000 17,750
Promise Co. Ltd. 600 49,843
Rohm Co. Ltd. 1,000 199,005
Sakura Bank Ltd. 44,000 232,964
Sankyo Co. Ltd. 5,000 139,212
Sanrio Co. Ltd. 1,000 47,378
Sanwa Shutter Corp. 1,000 4,893
Sanyo Electric Co. Ltd. 22,000 95,395
Sapporo Breweries Ltd. 1,000 4,199
Secom Ltd. 1,000 136,474
Sega Enterprises 200 3,651
Sekisui Chemical Co. Ltd. 6,000 33,411
Sekisui House Ltd. 8,000 85,956
Sharp Corp. 12,000 182,939
Shimamura Corp. 200 26,473
Shimano, Inc. 2,000 47,834
Shimizu Construction Co. Ltd. 6,000 26,784
Shin-Etsu Chemical Co. Ltd. 5,000 203,569
Shionogi & Co. Ltd. 3,000 25,743
Shiseido Co. Ltd. 5,000 69,834
Shizuoka Bank Ltd. 9,000 98,590
Showa Denko KK 2,000 2,739
Showa Shell Sekiyu K.K. Co. 2,000 13,474
Skylark Co. Ltd. 2,000 52,581
SMC Corp. 1,000 152,449
Snow Brand Milk Products Co. 2,000 9,147
Ltd.
Softbank Corp. 600 205,943
Sony Corp. 4,300 547,444
Sumitomo Bank Ltd. Japan 33,000 451,869
Sumitomo Chemical Co. Ltd. 19,000 97,476
Sumitomo Corp. 12,000 85,444
Sumitomo Electric Industries 8,000 108,814
Ltd.
Sumitomo Heavy Industries 3,000 10,078
Ltd. (a)
Sumitomo Marine and Fire 7,000 45,369
Insurance Co. Ltd.
Sumitomo Metal Industries 28,000 37,574
Ltd. (a)
Sumitomo Metal Mining Co. 3,000 11,666
Ltd.
Taiheiyo Cement Corp. 14,000 36,679
Taisei Corp. 11,000 24,602
Taisho Pharmaceutical Co. 4,000 168,333
Ltd.
Taiyo Yuden Co. Ltd. 1,000 21,452
Takara Shuzo Co. Ltd. 2,000 29,741
Takashimaya Co. Ltd. 3,000 26,838
Takeda Chemical Industries 9,000 451,869
Ltd.
Takefuji Corp. 800 128,605
SHARES VALUE (NOTE 1)
Teijin Ltd. 12,000 $ 50,938
Tobu Railway Co. Ltd. 2,000 6,189
Toho Co. Ltd. 200 30,855
Tohoku Electric Power Co., 5,800 92,127
Inc.
Tokai Bank Ltd. 25,000 158,839
Tokio Marine & Fire Insurance 17,000 200,192
Co. Ltd. (The)
Tokyo Broadcasting System, 1,000 16,203
Inc.
Tokyo Dome Corp. (a) 1,000 5,623
Tokyo Electric Power Co. 14,200 330,549
Tokyo Electron Ltd. 2,000 140,582
Tokyo Gas Co. Ltd. 25,000 61,619
Tokyo Style Co. Ltd. 1,000 10,772
Tokyu Corp. 9,000 23,662
Toppan Printing Co. Ltd. 8,000 102,241
Toray Industries, Inc. 16,000 82,085
Toshiba Corp. 18,000 159,880
Tosoh Corp. 8,000 25,195
Tostem Corp. 3,000 61,619
Toto Ltd. 4,000 29,577
Toyo Seikan Kaisha Ltd. 3,000 69,834
Toyoda Automatic Loom Works 1,000 16,359
Ltd.
Toyota Motor Corp. 39,000 1,227,281
Uni-Charm Corp 1,000 51,942
Uny Co. Ltd. 2,000 27,386
Wacoal Corp. 2,000 21,179
Yamaguchi Bank Ltd. (The) 1,000 7,805
Yamaha Corp. 1,000 10,954
Yamaichi Securities Co. Ltd. 3,000 5,562
(a)
Yamanouchi Pharmaceutical Co. 4,000 178,192
Ltd.
Yamato Transport Co. Ltd. 5,000 120,955
Yamazaki Baking Co. 3,000 39,710
21,913,658
NETHERLANDS - 5.8%
ABN AMRO Holding NV 15,736 383,589
Aegon NV 7,346 643,254
Akzo Nobel NV 3,395 158,156
Buhrmann NV 244 4,309
Elsevier NV 8,603 99,169
Getronics NV 1,414 69,311
Hagemeyer NV 885 21,994
Heineken NV 3,470 173,210
IHC Caland NV 109 5,135
ING Groep NV 10,516 577,190
KLM Royal Dutch Airlines NV 226 6,144
Koninklijke Ahold NV 6,950 249,164
Koninklijke Hoogovens NV 106 6,137
Koninklijke KPN NV 5,480 245,724
Koninklijke Philips 3,653 376,858
Electronics NV
Oce NV, Venio 456 9,693
Royal Dutch Petroleum Co. 23,334 1,443,791
(Hague Registry)
Stork NV 82 1,773
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
NETHERLANDS - CONTINUED
TNT Post Group NV 4,953 $ 122,308
Unilever NV 6,377 444,092
Unilever NV 3,945 21,361
Wolters Kluwer NV 2,446 91,054
5,153,416
NEW ZEALAND - 0.1%
Brierley Investments Ltd. (a) 9,835 2,341
Carter Holt Harvey Ltd. 17,298 20,501
Contact Energy Ltd. 6,812 11,352
Fletcher Challenge Ltd. 3,817 9,779
(Energy Division)
Lion Nathan Ltd. 3,755 8,357
Telecom Corp. of New Zealand 15,711 70,498
Ltd.
122,828
NORWAY - 0.4%
Aker RGI ASA Series A 300 4,612
Bergesen d y AS Class A 600 8,994
Christiania Bank Og 5,650 24,002
Kreditkasse
Den Norske Bank ASA Class A 5,050 20,165
Free shares
Elkem A/S 600 10,716
Kvaerner AS (a) 860 19,090
Merkantildata (c) 1,300 13,765
Norsk Hydro AS 3,050 127,233
Norske Skogindustrier AS 300 12,553
Class A
Orkla-Borregaard AS 1,550 24,124
Orkla-Borregaard AS Series B 200 2,756
(non-vtg.)
Petroleum Geo-Services ASA (a) 1,000 20,029
Schibsted AS Series B 1,300 13,267
Storebrand ASA (a) 2,950 19,569
Tomra Systems AS 450 15,816
336,691
PORTUGAL - 0.5%
Banco Comercial Portuges SA 2,487 66,121
Banco Espirito Santo e 1,470 37,326
Comercial de Lisboa SA
BPI-SGPS SA (Reg.) 808 16,244
Brisa Auto-Estradas de 400 15,504
Portugal Sarl
Cimpor-Cimentos de Portugal 1,492 25,514
SGPS SA
Cimpor-Cimentos de Portugal 513 8,773
SGPS SA (a)
Electricidade de Portugal SA 7,052 119,325
Jeronimo Martins, SGPS SA 1,294 37,783
Portugal Telecom SA 2,480 103,834
SONAE Industria e 200 6,665
Investimentos SA
437,089
SINGAPORE - 1.0%
City Developments Ltd. 8,000 48,447
Cycle & Carriage Ltd. 1,000 5,640
DBS Land Ltd. 20,000 45,598
SHARES VALUE (NOTE 1)
Development Bank of Singapore 12,327 $ 141,252
Ltd. (For. Reg.)
Fraser & Neave Ltd. 1,000 3,800
Keppel Corp. Ltd. 8,000 25,886
Oversea-Chinese Banking Corp. 13,071 91,574
Ltd. (For. Reg.)
Parkway Holdings Ltd. 2,000 4,204
Sembcorp Industries Ltd. 23,969 31,877
Singapore Airlines Ltd. (For. 15,000 140,711
Reg.)
Singapore Press Holdings Ltd. 5,048 83,919
Singapore Technologies 26,000 31,336
Engineering Ltd.
Singapore Telecommunications 75,000 133,141
Ltd.
United Industrial Corp. Ltd. 7,000 4,011
United Overseas Bank Ltd. 7,000 51,950
(For. Reg.)
843,346
SPAIN - 1.9%
Acerinox SA (Reg.) 479 15,886
Aguas de Barcelon SA 1,725 28,459
Argentaria Caja Postal y 3,955 90,135
Banco Hipotecario de Espana
SA
Autopistas Concesionaria 2,265 25,367
Espanola SA
Banco Bilbao Vizcaya SA (Reg.) 16,516 220,427
Banco Santander Central 26,087 262,365
Hispano SA
Corporacion Financiera Alba SA 1,272 37,464
Corporacion Mapfre Compania 138 2,605
Internacional de Reaseguros
SA (Reg.)
Endesa SA 7,111 142,885
FOCSA (Fomento Construcciones 530 31,472
y Contratas SA)
Gas Natural SDG SA Series E 3,999 94,183
Grupo Dragados SA 1,998 24,574
Iberdrola SA 7,137 102,649
Repsol SA 8,334 174,774
Tabacalera SA Series A 1,450 27,863
Telefonica SA (a) 24,633 393,365
Union Electrica Fenosa SA 1,280 18,274
Vallehermoso SA 600 5,616
Zardoya Otis SA 210 5,443
1,703,806
SWEDEN - 2.3%
ABB AB Series B 500 8,206
ABB Ltd. (Sweden) (a) 1,006 103,232
AGA AB Series A 1,600 27,073
Atlas Copco AB:
Series A 1,300 37,529
Series B 600 17,139
Drott AB Series B 600 5,204
Electrolux AB 4,000 80,540
Ericsson (L.M.) Telefon AB 20,900 680,556
Class B
ForeningsSparbanken AB Series 5,750 86,484
A
Hennes & Mauritz AB Class B 9,100 230,141
Netcom AB Series B (a) 1,300 43,994
OM Gruppen AB 300 3,402
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
SWEDEN - CONTINUED
Sandvik AB:
Series A 2,200 $ 60,041
Series B 200 5,495
Securitas AB Class B 3,700 52,958
Skandia Foersaekrings AB 5,500 112,077
Skandinaviska Enskilda Banken 6,500 67,410
Class A
Skanska AB Class B 1,200 47,014
SKF AB 800 18,243
SSAB Swedish Steel Series A 300 4,185
Svenska Cellulosa AB (SCA) 2,400 69,866
Class B
Svenska Handelsbanken AB 7,600 105,552
Swedish Match Co. 5,000 20,196
Trelleborg AB Class B 300 2,693
Volvo AB:
Class A 1,700 47,942
Class B 3,300 91,781
WM-Data AB Series B 1,000 37,177
2,066,130
SWITZERLAND - 6.5%
ABB Ltd. (Reg) (Switzerland) 2,372 242,137
(a)
Adecco SA 200 110,340
Alusuisse Lonza Holding Ltd. 70 83,251
(Reg.)
Credit Suisse Group (Reg.) 2,890 546,112
Georg Fischer AG (Reg.) 20 6,145
Holderbank Financiere Glarus
AG:
(Bearer) 61 75,167
(Reg.) 82 27,577
Kuoni Reisen Holding AG Class 2 8,001
B (Reg.)
Nestle SA (Reg.) 435 859,366
Novartis AG (Reg.) 745 1,073,076
Roche Holding AG 18 321,110
Roche Holding AG 75 868,186
participation certificates
SAirGroup (Reg.) 50 10,522
Sulzer AG (Reg.) 40 25,134
Surveillance, Soc Gen Sgs (a) 5 5,692
Swatch Group AG (The):
(Bearer) 25 18,401
(Reg.) 100 15,973
Swiss Reinsurance Co. (Reg.) 160 312,388
Swisscom AG 790 260,723
UBS AG 2,301 649,936
Valora Holding AG 20 5,048
Zurich Allied AG (Reg.) 550 323,059
5,847,344
UNITED KINGDOM - 18.0%
Abbey National PLC 14,334 245,812
Allied Zurich PLC 16,333 199,448
Anglian Water PLC 960 11,407
Arjo Wiggins Appleton PLC 3,168 10,937
Associated British Foods PLC 6,392 43,774
SHARES VALUE (NOTE 1)
AstraZeneca Group PLC:
(Sweden) 4,994 $ 195,658
(United Kingdom) (Reg.) 10,609 417,729
BAA PLC 12,086 126,142
Barclays PLC 14,550 432,214
Barratt Developments PLC 1,067 5,534
Bass PLC 8,935 120,012
BBA Group PLC 1,607 13,108
Berkeley Group PLC 1,883 23,750
BG PLC 40,081 240,860
Blue Circle Industries PLC 10,513 72,334
BOC Group PLC 5,636 118,551
Boots Co. PLC 10,333 127,424
BP Amoco PLC 70,674 1,320,721
BP Amoco PLC sponsored ADR 3,188 357,455
BPB Industries PLC 2,861 17,342
British Aerospace PLC 19,835 144,674
British Airways PLC 13,664 89,352
British American Tobacco PLC 22,723 191,006
British Land Co. PLC 5,212 43,602
British Sky Broadcasting 18,272 172,809
Group PLC
British Steel PLC 20,146 52,254
British Telecommunications PLC 59,951 923,995
BTR Siebe PLC 39,325 200,483
Bunzl PLC 1,940 10,077
Burmah Castrol PLC 649 12,328
Cable & Wireless PLC 23,857 273,513
Cadbury Schweppes PLC 14,865 93,744
Caradon PLC 2,172 6,051
Carillion PLC (a) 817 1,823
Carlton Communications PLC 8,554 64,761
Centrica PLC 47,111 125,383
CGU PLC 13,687 203,619
Coats Viyella PLC 2,748 2,294
Compass Group PLC 8,527 79,549
Diageo PLC 33,604 339,935
Electrocomponents PLC 1,584 12,870
EMI Group PLC 10,045 85,324
FKI PLC 2,190 7,473
General Electric Co. PLC 27,244 272,098
GKN PLC Class L 7,901 120,904
Glaxo Wellcome PLC 33,914 897,661
Granada Group PLC 19,153 170,838
Great Universal Stores PLC 11,542 116,202
Class A
Halifax Group PLC 18,340 204,520
Hammerson PLC 827 6,573
Hanson PLC 8,662 73,410
Hilton Group PLC 14,014 53,499
HSBC Holdings PLC (United 78,714 979,990
Kingdom) (Reg.)
Hyder PLC 596 5,378
IMI PLC 1,347 6,618
Imperial Chemical Industries 3,656 41,815
PLC Class L
Jarvis PLC 1,041 4,931
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
UNITED KINGDOM - CONTINUED
Johnson Matthey PLC 851 $ 8,335
Kingfisher PLC 14,573 175,148
Land Securities PLC 6,900 96,889
Lasmo PLC 2,944 7,233
Legal & General Group Ltd. 56,732 155,544
Lloyds TSB Group PLC 49,620 685,602
Marks & Spencer PLC 30,131 201,024
MEPC PLC 1,272 10,692
Misys PLC 7,985 70,582
National Grid Group PLC 17,096 113,990
National Power PLC (c) 11,847 84,176
Next PLC 1,139 13,461
Pearson PLC 6,756 139,290
Peninsular & Oriental Steam 7,364 120,668
Navigation Co.
Pilkington PLC 4,213 7,374
Provident Financial Group PLC 1,579 20,283
Prudential Corp. PLC 16,153 240,824
Railtrack PLC Class L 4,150 79,364
Rank Group PLC Class L 2,483 10,296
Reed International PLC 5,789 38,460
Rentokil Initial PLC 32,382 129,859
Reuters Group PLC 14,679 214,841
Rexam PLC 2,874 13,475
Rio Tinto PLC (Reg.) 10,939 196,725
Rmc Group PLC 1,538 25,177
Rolls-Royce PLC 8,529 33,861
Royal & Sun Alliance 10,023 83,367
Insurance Group PLC
Royal Bank of Scotland Group 6,899 143,124
PLC
Safeway PLC 5,278 21,865
Sainsbury (J.) PLC 13,524 93,159
Schroders PLC 2,755 59,455
Scottish & Newcastle PLC 2,947 29,031
Scottish Power UK plc 13,829 126,903
Slough Estates PLC 1,512 8,813
SmithKline Beecham PLC 52,942 675,010
Smiths Industries PLC 1,099 16,438
Stagecoach Holdings PLC 6,474 22,454
Tarmac PLC 817 6,638
Tate & Lyle PLC 1,628 10,535
Taylor Woodrow PLC 1,796 5,277
Tesco PLC 57,932 171,392
Thames Water PLC 3,404 48,864
TI Group PLC 3,623 29,189
Unigate PLC 800 4,894
Unilever PLC 29,082 279,460
SHARES VALUE (NOTE 1)
United Utilities PLC 2,898 $ 34,365
Vickers PLC 678 1,943
Vodafone AirTouch PLC 34,940 700,765
Vodafone AirTouch PLC 1,900 381,069
sponsored ADR
Williams PLC Class L 4,176 23,670
Wolseley PLC 4,255 33,888
16,096,309
TOTAL COMMON STOCKS 75,728,890
(Cost $68,796,968)
NONCONVERTIBLE PREFERRED
STOCKS - 0.4%
AUSTRALIA - 0.1%
News Corp. Ltd. (ltd. vtg.) 13,408 88,951
GERMANY - 0.2%
RWE AG (non-vtg.) 700 22,416
SAP AG (Systeme Anwendungen 350 138,433
Produkte)
Volkswagen AG 500 17,714
178,563
ITALY - 0.1%
Fiat Spa (savings share) 185 2,976
Fiat Spa 432 6,810
Telecom Italia Mobile Spa 13,406 46,644
Telecom Italia Spa Risp 4,291 24,528
80,958
TOTAL NONCONVERTIBLE 348,472
PREFERRED STOCKS
(Cost $334,332)
GOVERNMENT OBLIGATIONS - 15.4%
PRINCIPAL AMOUNT
UNITED STATES OF AMERICA -
15.4%
U.S. Treasury Bills, yield at $ 13,930,000 13,807,626
date of purchase 4.52% to
4.86% 9/16/99 to 12/9/99
(d) (Cost $13,808,787)
CASH EQUIVALENTS - 1.8%
SHARES VALUE (NOTE 1)
Bankers Trust Institutional 1,594,785 $ 1,594,785
Daily Asset Fund, 5.28% (b)
(Cost $1,594,785)
TOTAL INVESTMENT PORTFOLIO - 91,479,773
102.2%
(Cost $84,534,872)
NET OTHER ASSETS - (2.2%) (1,938,869)
NET ASSETS - 100% $ 89,540,904
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C>
FUTURES CONTRACTS
EXPIRATION DATE UNDERLYING FACE AMOUNT UNREALIZED GAIN/(LOSS)
PURCHASED
17 All Ordinary Index Sept. 1999 $ 816,968 $ (23,562)
Contracts (Australia)
51 CAC 40 Index Contracts Sept. 1999 2,454,268 50,310
(France)
21 DAX 30 Index Contracts Sept. 1999 2,898,179 (36,434)
(Germany)
25 FTSE 100 Index Contracts Sept. 1999 2,500,722 8,565
(United Kingdom)
8 Hang Seng Stock Index Sept. 1999 701,179 (6,548)
Contracts (Hong Kong)
8 Ibex 35 Index Contracts Sept. 1999 834,524 20,817
(Spain)
5 Mib 30 Index Contracts Sept. 1999 879,969 (13,760)
(Italy)
9 Nikkei 225 Index Contracts Sept. 1999 788,625 (6,481)
(Japan)
4 Nikkei 300 Index Contracts Sept. 1999 95,453 3,816
(Japan)
4 Topix Index Contracts (Japan) Sept. 1999 496,131 48,016
$ 12,466,018 $ 44,739
</TABLE>
THE FACE VALUE OF FUTURES PURCHASED AS A PERCENTAGE OF NET ASSETS -
13.9%
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C>
FORWARD FOREIGN CURRENCY
CONTRACTS
SETTLEMENT DATES VALUE UNREALIZED GAIN/(LOSS)
CONTRACTS TO BUY
6,197,115 EUR Sept. 1999 $ 6,564,433 $ 29,525
1,541,593 GBP Sept. 1999 2,475,899 7,856
461,303,000 JPY Sept. 1999 4,224,129 88,198
</TABLE>
TOTAL CONTRACTS TO BUY $ 13,264,461 $ 125,579
(Payable amount $13,138,882)
THE VALUE OF CONTRACTS TO BUY AS A PERCENTAGE OF NET ASSESTS - 14.8%
SETTLEMENT DATES VALUE UNREALIZED GAIN/(LOSS)
CONTRACTS TO SELL
357,418,519 JPY Sept. 1999 $ 3,272,878 $ (58,682)
(Receivable amount $3,214,196) $ 66,897
THE VALUE OF CONTRACTS TO SELL AS A PERCENTAGE OF NET ASSETS - 3.7%
CURRENCY ABBREVIATIONS
EUR - Euro
GBP - British pound
JPY - Japanese yen
LEGEND
(a) Non-income producing
(b) The rate quoted is the annualized daily yield of the fund at
period end.
(c) 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 $97,941
or 0.1% of net assets.
(d) 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 $973,750.
MARKET SECTOR DIVERSIFICATION (UNAUDITED)
As a Percentage of Net Assets
AEROSPACE & DEFENSE 0.3%
BASIC INDUSTRIES 3.7
CASH EQUIVALENTS 1.8
CONSTRUCTION & REAL ESTATE 3.1
DURABLES 6.0
ENERGY 5.1
FINANCE 19.8
GOVERNMENT OBLIGATIONS 15.4
HEALTH 7.3
HOLDING COMPANIES 0.0
INDUSTRIAL MACHINERY & 4.9
EQUIPMENT
MEDIA & LEISURE 2.4
NONDURABLES 5.1
PRECIOUS METALS 0.1
RETAIL & WHOLESALE 4.0
SERVICES 1.4
TECHNOLOGY 6.1
TRANSPORTATION 2.4
UTILITIES 13.3
OTHER INFORMATION
Purchases and sales of securities, other than short-term securities,
aggregated $35,182,097 and $929,940, respectively.
The market value of futures contracts opened and closed during the
period amounted to $33,287,502 and $26,673,416, respectively.
The fund participated in the security lending program. At period end,
the value of securities loaned amounted to $1,644,575. The fund
received cash collateral of $1,594,785 which was invested in Bankers
Trust Institutional Daily Asset Fund. The fund also received non-cash
collateral of $159,035 which represents U.S. Treasury obligations.
INCOME TAX INFORMATION
At August 31, 1999, the aggregate cost of investment securities for
income tax purposes was $84,575,539. Net unrealized appreciation
aggregated $6,904,234, of which $10,393,855 related to appreciated
investment securities and $3,489,621 related to depreciated investment
securities.
At February 28, 1999, the fund had a capital loss carryforward of
approximately $491,000 all of which will expire on February 29, 2007.
SPARTAN INTERNATIONAL INDEX PORTFOLIO
FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
AUGUST 31, 1999 (UNAUDITED)
ASSETS
Investment in securities, at $ 91,479,773
value (cost $84,534,872) -
See accompanying schedule
Cash 2,695
Foreign currency held at 4,395,541
value (cost $4,398,847)
Receivable for investments 113,571
sold
Unrealized appreciation on 125,579
foreign currency contracts
Receivable for fund shares 656,542
sold
Dividends receivable 186,293
Interest receivable 2,223
Redemption fees receivable 7
Receivable from investment 6,523
adviser for expense
reductions
TOTAL ASSETS 96,968,747
LIABILITIES
Payable for investments $ 5,412,165
purchased
Unrealized depreciation on 58,682
foreign currency contracts
Payable for fund shares 71,699
redeemed
Payable for daily variation 236,128
on futures contracts
Other payables and accrued 54,384
expenses
Collateral on securities 1,594,785
loaned, at value
TOTAL LIABILITIES 7,427,843
NET ASSETS $ 89,540,904
Net Assets consist of:
Paid in capital $ 81,374,296
Undistributed net investment 821,675
income
Accumulated undistributed net 368,213
realized gain (loss) on
investments and foreign
currency transactions
Net unrealized appreciation 6,976,720
(depreciation) on
investments and assets and
liabilities in foreign
currencies
NET ASSETS, for 2,797,905 $ 89,540,904
shares outstanding
NET ASSET VALUE, offering $32.00
price and redemption price
per share ($89,540,904
(divided by) 2,797,905
shares)
STATEMENT OF OPERATIONS
SIX MONTHS ENDED AUGUST 31,
1999 (UNAUDITED)
INVESTMENT INCOME $ 773,218
Dividends
Interest 144,010
Security lending 10,145
927,373
Less foreign taxes withheld (82,597)
TOTAL INCOME 844,776
EXPENSES
Management fee and $ 102,261
sub-advisory fees
Transfer agent fees 44,045
Accounting fees 30,511
Non-interested trustees' 72
compensation
Registration fees 46,303
Audit 10,866
Legal 34
Miscellaneous 2
Total expenses before 234,094
reductions
Expense reductions (127,312) 106,782
NET INVESTMENT INCOME 737,994
REALIZED AND UNREALIZED GAIN
(LOSS)
Net realized gain (loss) on:
Investment securities 12,095
Foreign currency transactions 263,139
Futures contracts 677,897 953,131
Change in net unrealized
appreciation (depreciation)
on:
Investment securities 3,804,125
Assets and liabilities in 101,725
foreign currencies
Futures contracts (103,380) 3,802,470
NET GAIN (LOSS) 4,755,601
NET INCREASE (DECREASE) IN $ 5,493,595
NET ASSETS RESULTING FROM
OPERATIONS
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
<S> <C> <C>
INCREASE (DECREASE) IN NET SIX MONTHS ENDED AUGUST 31, YEAR ENDED FEBRUARY 28, 1999
ASSETS 1999 (UNAUDITED)
Operations Net investment $ 737,994 $ 550,810
income
Net realized gain (loss) 953,131 (395,381)
Change in net unrealized 3,802,470 1,261,011
appreciation (depreciation)
NET INCREASE (DECREASE) IN 5,493,595 1,416,440
NET ASSETS RESULTING FROM
OPERATIONS
Distributions to shareholders (15,043) (612,100)
From net investment income
From net realized gain - (88,646)
In excess of net realized - (44,030)
gain
TOTAL DISTRIBUTIONS (15,043) (744,776)
Share transactions Net 60,345,563 31,517,056
proceeds from sales of shares
Reinvestment of distributions 14,225 714,996
Cost of shares redeemed (19,588,708) (14,735,826)
NET INCREASE (DECREASE) IN 40,771,080 17,496,226
NET ASSETS RESULTING FROM
SHARE TRANSACTIONS
Trading fees 115,220 321,951
TOTAL INCREASE (DECREASE) 46,364,852 18,489,841
IN NET ASSETS
NET ASSETS
Beginning of period 43,176,052 24,686,211
End of period (including $ 89,540,904 $ 43,176,052
undistributed net investment
income of $821,675 and
$135,758, respectively)
OTHER INFORMATION
Shares
Sold 1,939,190 1,096,066
Issued in reinvestment of 471 24,926
distributions
Redeemed (638,993) (516,971)
Net increase (decrease) 1,300,668 604,021
</TABLE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
<S> <C> <C> <C>
SIX MONTHS ENDED AUGUST 31, YEARS ENDED FEBRUARY 28,
1999
SELECTED PER-SHARE DATA (UNAUDITED) 1999 1998 E
Net asset value, beginning of $ 28.84 $ 27.64 $ 25.00
period
Income from Investment
Operations
Net investment income D .39 .46 .11
Net realized and unrealized 2.72 1.08 2.29
gain (loss)
Total from investment 3.11 1.54 2.40
operations
Less Distributions
From net investment income (.01) (.48) (.06)
From net realized gain - (.09) -
In excess of net realized gain - (.04) -
Total distributions (.01) (.61) (.06)
Trading fees added to paid in .06 .27 .30
capital
Net asset value, end of period $ 32.00 $ 28.84 $ 27.64
TOTAL RETURN B, C 10.99% 6.58% 10.83%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period $ 89,541 $ 43,176 $ 24,686
(000 omitted)
Ratio of expenses to average .36% A, F .36% f .35% a, f
net assets
Ratio of net investment 2.51% a 1.62% 1.43% a
income to average net assets
Portfolio turnover rate 3% a 2% 2% a
</TABLE>
A ANNUALIZED B TOTAL RETURNS
FOR PERIODS OF LESS THAN ONE
YEAR ARE NOT ANNUALIZED. C
THE TOTAL RETURNS WOULD HAVE
BEEN LOWER HAD CERTAIN
EXPENSES NOT BEEN REDUCED
DURING THE PERIODS SHOWN. D
NET INVESTMENT INCOME PER
SHARE HAS BEEN CALCULATED
BASED ON AVERAGE SHARES
OUTSTANDING DURING THE
PERIOD. E FOR THE PERIOD
NOVEMBER 5, 1997
(COMMENCEMENT OF OPERATIONS)
TO FEBRUARY 28,1998. F 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.
NOTES TO FINANCIAL STATEMENTS
For the period ended August 31, 1999 (Unaudited)
1. SIGNIFICANT ACCOUNTING POLICIES.
The Spartan Total Market Index Fund, Spartan Extended Market Index
Fund and Spartan International Index Fund (the funds) are funds of
Fidelity Concord Street Trust (the trust). The trust is registered
under the Investment Company Act of 1940, as amended, as an open-end
management investment company organized as a Massachusetts business
trust. Each fund is authorized to issue an unlimited number of shares.
The financial statements have been prepared in conformity with
generally accepted accounting principles which require management to
make certain estimates and assumptions at the date of the financial
statements. The following summarizes the significant accounting
policies of the funds:
SECURITY VALUATION:
SPARTAN TOTAL MARKET INDEX AND SPARTAN EXTENDED MARKET INDEX FUNDS.
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.
SPARTAN INTERNATIONAL INDEX FUND. 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 are 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 (including restricted
securities) for which 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 funds 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
and settlement date 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, each fund is not subject to
income taxes to the extent that it distributes substantially all of
its taxable income for the fiscal year. The schedules of investments
include 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 funds
are 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.
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, foreign currency transactions,
passive foreign investment companies (PFIC), market discount,
partnerships, capital loss carryforwards and losses deferred due to
wash sales. Certain funds 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.
SHORT-TERM TRADING (REDEMPTION) FEES. Shares held in the funds less
than 90 days are subject to a short-term trading fee equal to 0.50%,
0.75% and 1.00% of the amount invested in Spartan Total Market Index,
Spartan Extended Market Index and Spartan International Index,
respectively. This fee, which is retained by the fund, is accounted
for as an addition to paid in capital. Shares purchased through April
28, 1999 were subject to a purchase fee, but were not subject to a
short-term trading fee.
1. SIGNIFICANT ACCOUNTING POLICIES - CONTINUED
SHORT-TERM TRADING (REDEMPTION) FEES - CONTINUED
Spartan Extended Market Index and Spartan International Index also
receive their allocable share of short-term trading fees attributable
to redemptions from the Fidelity Four-in-One Index Fund. For the
period these fees total $1,626 and $2,168, respectively.
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 Spartan International Index
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 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. Contracts
that have been offset with different counterparties are reflected as
both a contract to buy and a contract to sell in the schedule of
investments under the caption "Forward Foreign Currency Contracts".
FUTURES CONTRACTS. The funds may use futures contracts to manage their
exposure to the stock market and to fluctuations in currency values.
Buying futures tends to increase a fund's exposure to the underlying
instrument, while selling futures tends to decrease a 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.
RESTRICTED SECURITIES. Certain funds are 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 Information regarding restricted securities is included
under the caption "Other Information" at the end of each applicable
fund's schedule of investments.
3. PURCHASES AND SALES OF INVESTMENTS.
Information regarding purchases and sales of securities (other than
short-term securities) and the market value of future contracts opened
and closed, is included under the caption "Other Information" at the
end of each applicable fund's schedule of investments.
4. FEES AND OTHER TRANSACTIONS WITH AFFILIATES.
MANAGEMENT FEE. As each fund's investment adviser, Fidelity Management
& Research Company (FMR) receives a fee that is computed daily at an
annualized rate of .24%, .24% and .34% of the Spartan Total Market
Index, Spartan Extended Market Index and Spartan International Index
funds' average net assets, respectively.
SUB-ADVISER FEE. FMR and each of the funds 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 each of the
funds. For providing these services to Spartan Total Market Index and
Spartan Extended Market Index, FMR pays Bankers Trust fees at an
annual rate of 0.0125% of the average net assets of each fund. For
providing these services to Spartan International Index, FMR pays
Bankers Trust fees at an annual rate of 0.0650% of the average net
assets of the fund, plus fees of up to $200,000 annually.
In addition, each fund pays Bankers Trust fees equal to 40% of net
income from each fund's securities lending program. For the period,
the funds paid Bankers Trust the following amounts:
ANNUALIZED %
OF AVERAGE
AMOUNT NET ASSETS
Spartan Total Market Index $30,829 0.02%
Spartan Extended Market Index 27,245 0.06%
Spartan International Index 4,059 0.01%
On March 11, 1999, Bankers Trust announced that it had reached an
agreement with the United States Attorney's Office in the Southern
District of New York to resolve an investigation concerning
inappropriate transfers of unclaimed funds and related recordkeeping
problems that occurred between 1994 and early 1996.
4. FEES AND OTHER TRANSACTIONS WITH AFFILIATES - CONTINUED
SUB-ADVISER FEE - CONTINUED
Pursuant to its agreement with the U.S. Attorney's Office, Bankers
Trust pleaded guilty to misstating entries in the bank's books and
records and agreed to pay a $60 million fine to federal authorities.
On July 26, 1999, Bankers Trust was formally sentenced in United
States District Court to pay the $60 million fine. Separately, Bankers
Trust has agreed to pay a $3.5 million fine to the State of New York.
The events leading up to the guilty plea and formal sentence did not
arise out of the investment advisory or mutual fund management
activities of Bankers Trust or its affiliates.
As a result of the plea and subsequent sentence, absent an order from
the Securities and Exchange Commission (SEC), Bankers Trust would not
be able to continue to provide investment advisory services to the
funds. The SEC has granted a temporary order to permit Bankers Trust
and its affiliates to continue to provide investment advisory services
to registered investment companies. There is no assurance that the SEC
will grant a permanent order.
At a shareholder meeting held on September 15, 1999, shareholders
approved both an interim sub-advisory agreement with Bankers Trust
(required due to Bankers Trust's merger with Deutsche Bank) and a new
sub-advisory agreement with Bankers Trust (one that no longer includes
securities lending administration). The new sub-advisory agreement
replaced the interim sub-advisory agreement and took effect on October
1, 1999. Bankers Trust and the trust, on behalf of Spartan Total
Market Index, Spartan Extended Market Index and Spartan International
Index entered into a new securities lending agreement. Shareholders
also approved a "manager-of-managers" arrangement, which will allow
the Board to hire, terminate, or replace sub-advisers, and to modify
material terms and conditions of a sub-advisory agreement (including
the fees payable thereunder) for each fund without shareholders
approval. The implementation of this "manager-of-managers" structure,
however, is pending an exemptive order from the SEC.
TRANSFER AGENT FEES. Fidelity Service Company, Inc. (FSC), an
affiliate of FMR, is the funds' 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 .13%, .15% and .15% of the average
net assets of Spartan Total Market Index, Spartan Extended Market
Index and Spartan International Index, respectively.
ACCOUNTING FEES. FSC maintains the funds' accounting records. The fee
is based on the level of average net assets for the month plus
out-of-pocket expenses.
BROKERAGE COMMISSIONS. Spartan Total Market Index and Spartan
Extended Market Index placed a portion of their portfolio transactions
with brokerage firms which are affiliates of Bankers Trust. The
commissions paid to these affiliated firms are shown under the caption
"Other Information" at the end of each applicable fund's schedule of
investments.
5. SECURITY LENDING.
The funds lend portfolio securities from time to time in order to earn
additional income. Each applicable fund receives collateral (in the
form of U.S. Treasury obligations, letters of credit and/or cash)
against the loaned securities and maintains collateral in an amount
not less than 100% of the market value of the loaned securities during
the period of the loan. The market value of the loaned securities is
determined at the close of business of the funds and any additional
required collateral is delivered to the funds on the next business
day. If the borrower defaults on its obligation to return the
securities loaned because of insolvency or other reasons, a fund could
experience delays and costs in recovering the securities loaned or in
gaining access to the collateral. Information regarding the value of
securities loaned and the value of collateral at period end is
included under the caption "Other Information" at the end of each
applicable fund's schedule of investments.
6. EXPENSE REDUCTIONS.
FMR voluntarily agreed to reimburse each fund's operating expenses
(excluding interest, taxes, brokerage commissions, extraordinary
expenses and sub-advisory fees paid by the fund associated with
securities lending) above the following annual rates of average net
assets for each of the following funds:
FMR
EXPENSE
LIMITATIONS REIMBURSEMENT
Spartan Total Market Index .25% $462,437
Spartan Extended Market Index .25% 146,516
Spartan International Index .35% 127,312
In addition, the funds, or FMR on behalf of the funds have entered
into an arrangement with their custodian whereby credits realized as a
result of uninvested cash balances were used to reduce a portion of
the fund's expenses. During the period, fees were reduced by $818 and
$102, by the custodian for Spartan Total Market Index and Spartan
Extended Market Index, respectively, under this arrangement.
PROXY VOTING RESULTS
A special meeting of Spartan Total Market Index Fund, Spartan Extended
Market Index Fund, and Spartan International Index Fund's
shareholders was held on September 15, 1999. The results of votes
taken among shareholders on proposals before them are reported below.
Each vote reported represents one dollar of net asset value held on
the record date for the meeting.
PROPOSAL 1
To approve an interim sub-advisory agreement with Bankers Trust
Company for Spartan Total Market Index Fund.
# OF % OF
VOTES CAST VOTES CAST
Affirmative 220,354,122.68 91.554
Against 5,894,566.02 2.449
Abstain 14,434,137.12 5.997
TOTAL 240,682,825.82 100.000
PROPOSAL 2
To approve a new sub-advisory agreement with Bankers Trust Company for
Spartan Total Market Index Fund.
# OF % OF
VOTES CAST VOTES CAST
Affirmative 219,566,294.10 91.226
Against 6,204,191.58 2.578
Abstain 14,912,340.14 6.196
TOTAL 240,682,825.82 100.000
PROPOSAL 3
To approve a new "manager-of-managers" arrangement for Spartan Total
Market Index Fund.
# OF % OF
VOTES CAST VOTES CAST
Affirmative 214,490,453.82 89.117
Against 9,617,369.14 3.996
Abstain 16,575,002.86 6.887
TOTAL 240,682,825.82 100.000
PROPOSAL 4
To approve an interim sub-advisory agreement with Bankers Trust
Company for Spartan Extended Market Index Fund.
# OF % OF
VOTES CAST VOTES CAST
Affirmative 53,242,221.54 84.248
Against 1,741,336.71 2.755
Abstain 8,213,636.97 12.997
TOTAL 63,197,195.22 100.000
PROPOSAL 5
To approve a new sub-advisory agreement with Bankers Trust Company for
Spartan Extended Market Index Fund.
# OF % OF
VOTES CAST VOTES CAST
Affirmative 52,849,082.01 83.626
Against 2,036,236.07 3.222
Abstain 8,311,877.14 13.152
TOTAL 63,197,195.22 100.000
PROPOSAL 6
To approve a new "manager-of-managers" arrangement for Spartan
Extended Market Index Fund.
# OF % OF
VOTES CAST VOTES CAST
Affirmative 52,035,515.11 82.338
Against 2,679,587.20 4.240
Abstain 8,482,092.91 13.422
TOTAL 63,197,195.22 100.000
PROPOSAL 7
To approve an interim sub-advisory agreement with Bankers Trust
Company for Spartan International Index Fund.
# OF % OF
VOTES CAST VOTES CAST
Affirmative 34,627,463.07 92.634
Against 828,064.61 2.215
Abstain 1,925,578.11 5.151
TOTAL 37,381,105.79 100.000
PROPOSAL 8
To approve a new sub-advisory agreement with Bankers Trust Company for
Spartan International Index Fund.
# OF % OF
VOTES CAST VOTES CAST
Affirmative 34,485,359.21 92.253
Against 957,570.45 2.562
Abstain 1,938,176.13 5.185
TOTAL 37,381,105.79 100.000
PROPOSAL 9
To approve a new "manager-of-managers" arrangement for Spartan
International Index Fund.
# OF % OF
VOTES CAST VOTES CAST
Affirmative 32,900,140.68 88.013
Against 2,287,298.68 6.119
Abstain 2,193,666.43 5.868
TOTAL 37,381,105.79 100.000
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 Automated Service Telephone provides 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.
(PHONE_GRAPHIC)FIDELITY AUTOMATED SERVICE TELEPHONE (FAST SM)
1-800-544-5555
PRESS
1 For mutual fund and brokerage trading.
2 For quotes.*
3 For account balances and holdings.
4 To review orders and mutual fund activity.
5 To change your PIN.
*0 To speak to a Fidelity representative.
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.
(COMPUTER_GRAPHIC) FIDELITY'S WEB SITE
WWW.FIDELITY.COM
If you are not currently on the Internet, call EarthLink Sprint at
1-800-288-2967, and be sure to ask for registration number SMD004 to
receive a special Fidelity package that includes 30 days of free
Internet access. EarthLink is North America's #1 independent Internet
access provider.
(COMPUTER_GRAPHIC) FIDELITY ON-LINE XPRESS+X(registered trademark)
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 75039-5587
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 75039-5587
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
19200 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
8880 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
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
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
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
Matthew N. Karstetter, DEPUTY TREASURER
John H. Costello, 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
Abigail P. Johnson
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
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FIDELITY (REGISTERED TRADEMARK)
U.S. BOND INDEX
FUND
SEMIANNUAL REPORT
AUGUST 31, 1999
(Fidelity logo graphic)(registered trademark)
CONTENTS
PRESIDENT'S MESSAGE 3 Ned Johnson on investing
strategies.
PERFORMANCE 4 How the fund has done over
time.
FUND TALK 7 The manager's review of fund
performance, strategy and
outlook.
INVESTMENT CHANGES 10 A summary of the major shifts
in the fund's investments
over the past six months.
INVESTMENTS 11 A complete list of the fund's
investments with their
market values.
FINANCIAL STATEMENTS 23 Statements of assets and
liabilities, operations, and
changes in net assets, as
well as financial highlights.
NOTES 27 Notes to the financial
statements.
Standard & Poor's, S&P and S&P 500 are registered service marks of The
McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity
Distributors Corporation.
Other third party marks appearing herein are the property of their
respective owners.
All other marks appearing herein are registered or unregistered
trademarks or service marks of FMR Corp. or an affiliated company.
(recycle logo) This report is printed on recycled paper using
soy-based inks.
If additional copies of financial reports, prospectuses or historical
account information are needed, or for more information on any
Fidelity fund including charges and expenses, please call the
appropriate number listed below or the number provided to your
institutional or employer-sponsored retirement plan. Read the
prospectus carefully before you invest or send money.
Retirement Plan Level Accounts
Corporate Clients (800) 962-1375
"Not For Profit" Clients (800) 343-0860
Financial and Other Institutions
Nationwide (800) 843-3001
Other Investors (800) 544-8888
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 DISTRIBUTIONS CORPORATION IS A
BANK.
PRESIDENT'S MESSAGE
(PHOTO_OF_EDWARD_C_JOHNSON_3D)
DEAR SHAREHOLDER:
In late August, just days after making what many market observers felt
would be the final interest-rate hike of 1999, Federal Reserve Board
Chairman Alan Greenspan re-ignited fears of further increases, calling
the continued rise of stocks "inexplicable." He also indicated that
stock movements would play a larger role in future monetary policy
deliberations. In response, equity and bond markets retreated from
solid gains earned earlier in the month.
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.
The longer your investment time frame, the less likely it is that you
will be affected by short-term market volatility. A 10-year investment
horizon appropriate for saving for a college education, for example,
enables you to weather market cycles in a long-term fund, which may
have a higher risk potential, but also has a higher potential rate of
return.
An intermediate-length fund could make sense if your investment
horizon is two to four years, while a short-term bond fund could be
the right choice if you need your money in one or two years.
If your time horizon is less than a year, you might want to consider
moving some of your bond investment into a money market fund. These
funds seek income and a stable share price by investing in
high-quality, short-term investments. Of course, it's important to
remember that an investment in a money market fund is not insured or
guaranteed by the Federal Deposit Insurance Corporation or any other
government agency. Although money market funds seek to preserve the
value of your investment at $1.00 per share, it is possible to lose
money by investing in these types of funds.
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. Of course, you should
consider your financial ability to continue your purchases through
periods of low price levels before undertaking such a strategy.
If you have questions, please call us at the appropriate phone number
on the previous page.
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 $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). 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 and dividends
would have been lower.
CUMULATIVE TOTAL RETURNS
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C>
PERIODS ENDED AUGUST 31, 1999 PAST 6 MONTHS PAST 1 YEAR PAST 5 YEARS LIFE OF FUND
Fidelity US Bond Index -0.84% 0.79% 41.49% 111.79%
LB Aggregate Bond -0.80% 0.80% 42.05% 109.83%
Intermediate US Government -0.96% -0.23% 33.72% n/a
Funds
</TABLE>
CUMULATIVE TOTAL RETURNS show the fund's performance in percentage
terms over a set period - in this case, six months, 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 index of investment-grade
fixed-rate debt issues, including government, corporate, asset-backed,
and mortgage-backed securities, with maturities of one year or more.
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 Inc. The past six months average represents a peer
group of 126 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 AUGUST 31, 1999 PAST 1 YEAR PAST 5 YEARS LIFE OF FUND
Fidelity US Bond Index 0.79% 7.19% 8.23%
LB Aggregate Bond 0.80% 7.27% 8.12%
Intermediate US Government -0.23% 5.97% n/a
Funds
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 different figure than that
obtained by averaging the cumulative total returns and annualizing the
result.)
$100,000 OVER LIFE OF FUND
U.S. Bond Index Fund LB Aggregate Bond
00651 LB001
1990/03/08 100000.00 100000.00
1990/03/31 100334.13 100200.26
1990/04/30 99232.62 99278.42
1990/05/31 102189.26 102217.06
1990/06/30 103637.46 103862.75
1990/07/31 105211.59 105296.06
1990/08/31 103898.15 103885.09
1990/09/30 104751.63 104747.34
1990/10/31 106143.01 106077.63
1990/11/30 108273.07 108358.30
1990/12/31 110005.55 110048.69
1991/01/31 111316.41 111413.29
1991/02/28 112055.04 112360.31
1991/03/31 112952.27 113135.59
1991/04/30 114289.10 114357.46
1991/05/31 115089.04 115020.73
1991/06/30 114998.91 114963.22
1991/07/31 116575.94 116561.21
1991/08/31 119079.57 119078.93
1991/09/30 121585.25 121496.23
1991/10/31 122981.96 122844.84
1991/11/30 124257.93 123975.01
1991/12/31 128015.40 127657.07
1992/01/31 126511.27 125920.93
1992/02/29 127201.55 126739.42
1992/03/31 126754.56 126029.68
1992/04/30 127580.12 126937.09
1992/05/31 129996.05 129336.20
1992/06/30 131918.90 131121.04
1992/07/31 134833.17 133795.91
1992/08/31 136292.03 135147.25
1992/09/30 137967.69 136755.50
1992/10/31 136317.08 134936.66
1992/11/30 136256.71 134963.64
1992/12/31 138217.87 137109.57
1993/01/31 140967.33 139742.07
1993/02/28 143813.29 142187.56
1993/03/31 144409.44 142784.74
1993/04/30 145487.25 143784.24
1993/05/31 145670.64 143971.16
1993/06/30 148202.15 146577.03
1993/07/31 149308.26 147412.52
1993/08/31 151733.88 149992.24
1993/09/30 152252.00 150397.22
1993/10/31 152763.63 150953.69
1993/11/30 151516.01 149670.58
1993/12/31 152335.03 150478.81
1994/01/31 154246.91 152510.27
1994/02/28 151546.54 149856.59
1994/03/31 148345.96 146155.13
1994/04/30 147082.69 144985.89
1994/05/31 146961.57 144971.39
1994/06/30 146846.42 144652.46
1994/07/31 149481.52 147531.04
1994/08/31 149682.61 147708.08
1994/09/30 147691.69 145536.77
1994/10/31 147616.35 145405.79
1994/11/30 147378.55 145085.89
1994/12/31 148355.28 146086.99
1995/01/31 151119.14 148979.51
1995/02/28 154420.52 152525.22
1995/03/31 155258.79 153455.62
1995/04/30 157445.95 155604.00
1995/05/31 163459.44 161625.88
1995/06/30 164724.05 162805.75
1995/07/31 164468.64 162447.57
1995/08/31 166233.98 164413.19
1995/09/30 167825.55 166008.00
1995/10/31 170226.02 168166.10
1995/11/30 172626.38 170688.59
1995/12/31 175058.06 173078.23
1996/01/31 176222.54 174220.55
1996/02/29 173149.98 171189.11
1996/03/31 171911.37 169990.79
1996/04/30 170786.38 169038.84
1996/05/31 170482.12 168700.76
1996/06/30 172616.98 170961.35
1996/07/31 173139.90 171422.95
1996/08/31 172842.80 171131.53
1996/09/30 175690.27 174109.22
1996/10/31 179590.05 177974.44
1996/11/30 182646.39 181017.80
1996/12/31 180984.46 179334.34
1997/01/31 181371.40 179890.28
1997/02/28 181682.83 180340.00
1997/03/31 179823.39 178338.23
1997/04/30 182635.09 181013.30
1997/05/31 184088.01 182732.93
1997/06/30 186396.97 184907.45
1997/07/31 191235.46 189899.95
1997/08/31 189667.54 188285.80
1997/09/30 192553.43 191072.43
1997/10/31 195298.01 193842.98
1997/11/30 196212.75 194734.66
1997/12/31 198262.66 196701.48
1998/01/31 200838.35 199219.26
1998/02/28 200587.29 199059.88
1998/03/31 201355.50 199736.69
1998/04/30 202263.39 200775.32
1998/05/31 204148.52 202682.68
1998/06/30 206019.11 204402.09
1998/07/31 206558.77 204835.85
1998/08/31 210134.26 208169.87
1998/09/30 215043.74 213043.46
1998/10/31 213813.38 211919.47
1998/11/30 215057.71 213119.68
1998/12/31 215841.89 213760.54
1999/01/31 217504.75 215287.39
1999/02/28 213584.65 211528.49
1999/03/31 214877.84 212702.13
1999/04/30 215751.44 213376.36
1999/05/31 213653.01 211498.65
1999/06/30 212739.67 210823.21
1999/07/31 211852.84 209937.75
1999/08/31 211786.10 209831.12
IMATRL PRASUN SHR__CHT 19990831 19990914 102448 R00000000000117
$100,000 OVER LIFE OF FUND: Let's say hypothetically that $100,000 was
invested in Fidelity U.S. Bond Index Fund on March 8, 1990, when the
fund started. As the chart shows, by August 31, 1999, the value of the
investment would have grown to $211,786 - a 111.79% 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 $209,831 - a 109.83% increase.
(checkmark)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.
DIVIDENDS AND YIELD
PERIODS ENDED AUGUST 31, 1999 PAST 1 MONTH PAST 6 MONTHS PAST 1 YEAR
Dividends per share 5.67(cents) 33.23(cents) 66.45(cents)
Annualized dividend rate 6.45% 6.22% 6.16%
30-day annualized yield 6.47% - -
DIVIDENDS per share show the income paid by the fund for a set period.
If you annualize this number, based on an average share price of
$10.35 over the past one month, $10.59 over the past six months and
$10.79 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 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 6.30%.
FUND TALK: THE MANAGER'S OVERVIEW
(photograph of Thomas Silvia)
An interview with Thomas Silvia, Portfolio Manager of Fidelity
U.S. Bond Index Fund
Q. HOW DID THE FUND PERFORM, TOM?
A. For the six-month period that ended August 31, 1999, the fund had a
total return of -0.84%, while the Lehman Brothers Aggregate Bond Index
returned -0.80%. For another comparison, the intermediate U.S.
government funds average, as tracked by Lipper Inc., returned -0.96%
for the same six-month period. For the 12-month period that ended
August 31, 1999, the fund had a total return of 0.79%, while the
Lehman Brothers index returned 0.80%. The intermediate U.S. government
funds average returned -0.23% for the same one-year period.
Q. HOW WOULD YOU CHARACTERIZE THE INVESTING ENVIRONMENT FOR BONDS OVER
THE PAST SIX MONTHS?
A. Expanding inflation fears and higher interest rates made the past
six months increasingly more difficult for bonds. At the beginning of
the period, investors favored high-yielding segments of the bond
market, which helped boost agency, corporate and mortgage securities
at the expense of Treasuries. But Treasuries resumed their dominance
once again in the spring and summer, outperforming spread sectors.
Much of investors' distaste for agency, corporate and mortgage
securities had to do with an unfavorable supply and demand backdrop.
To fund their growth initiatives, many large agency issuers -
particularly Fannie Mae and Freddie Mac - dramatically increased their
issuance. Likewise, many corporations moved much of their issuance
into the summer to avoid having to issue debt during what some thought
would be a less liquid period for the bond market due to Y2K-related
concerns in the final quarter of 1999.
Q. WAS OVERSUPPLY A PROBLEM FOR THE MORTGAGE MARKET?
A. It was early on when homeowners were refinancing mortgages at
near-record levels. More recently, however, the reverse was true. The
MBA Refinancing Index - one of the most widely watched barometers of
prepayment activity - rose to a record high of 4400 in October 1998,
44 times the base reading of 100 in 1990. When rising rates
dramatically curtailed prepayment activity, MBA refinancing activity
dropped to 458, a level almost 10 times off its peak the year before.
Although the supply of new mortgage securities declined dramatically
in response, the mortgage sector continued to suffer in sympathy with
its agency and corporate counterparts.
Q. WHAT WERE THE FINAL TALLIES FOR EACH OF THE SEGMENTS THAT MAKE UP
THE LEHMAN BROTHERS AGGREGATE BOND INDEX OVER THE PAST SIX MONTHS?
A. For the six-month period that ended August 31, 1999, here's how
individual sectors within the index performed: mortgage-backed
securities, at about 33.5% of the index, returned -0.47%; corporate
securities, which accounted for nearly 20.9% of the index, returned
- -1.66%; agency securities, at about 8.4% of the index, returned 0.71%;
and asset-backed securities, at less than 1.3% of the index, returned
0.57%. Those returns compared to the -0.59% return of U.S. Treasury
securities, which made up about 34.6% of the index.
Q. TURNING TO THE FUND, WHAT WAS YOUR STRATEGY?
A. As always, my goal was to manage the fund so that its performance
tracked that of the Lehman Brothers Aggregate Bond Index, which is
made up of more than 5,000 individual securities. Rather than buy each
security, I use an investment process known as stratified sampling,
which allows me to assemble a portfolio that replicates the
characteristics of the index - such as maturity, sector, credit
quality and others - by investing in representative securities.
Q. CAN YOU GIVE US AN EXAMPLE OF HOW THAT PROCESS WORKS?
A. Sure. I manage the duration of the fund - a measure of its
interest-rate sensitivity - and the distribution of duration to
approximate the index. First, I determine what portion of securities
in the index falls within a duration of zero to one year, one to two
years and so on. After that, I identify securities that will give the
fund the same duration breakdown as the index. I repeat that procedure
for other security characteristics including sector, maturity, credit
quality and others. With the help of Fidelity's quantitative research
team, I choose securities that have the characteristics I'm looking
for and that also offer the potential to perform better than other
securities with similar characteristics.
Q. WHICH HOLDINGS BENEFITED THE FUND'S PERFORMANCE? WHICH DETRACTED?
A. Some of the fund's best-performing holdings were companies that
benefited from the growth of the Internet and the convergence of
various media channels, such as Time Warner, MCI WorldCom, Seagram and
Sprint. In addition, the fund was helped by its moderate overweighting
in 30-year mortgages, which outpaced 15-year mortgages. On the flip
side, the fund's modest overweighting in long-duration agency
securities detracted from performance. Duration measures how sensitive
a bond's price is to changes in interest rates, and the longer the
duration, the more the bonds' prices fell when rates rose.
Q. WHAT'S YOUR OUTLOOK?
A. The problems that agencies, corporates and mortgages experienced
over the past year were mostly the result of too much supply. As a
reflection of the supply glut, there was a historically large
difference in yield between agency and Treasury securities and between
mortgage and Treasury securities. To the extent that those spread
relationships return to more normal levels, spread sectors are poised
to benefit. But whatever happens, I'll continue to attempt to keep the
fund's performance on track with the Lehman Brothers Aggregate Bond
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 AND DO NOT NECESSARILY REPRESENT THE VIEWS OF FIDELITY OR
ANY OTHER PERSON IN THE FIDELITY ORGANIZATION. ANY SUCH VIEWS ARE
SUBJECT TO CHANGE AT ANY TIME BASED UPON MARKET OR OTHER CONDITIONS
AND FIDELITY DISCLAIMS ANY RESPONSIBILITY TO UPDATE SUCH VIEWS. THESE
VIEWS MAY NOT BE RELIED ON AS INVESTMENT ADVICE AND, BECAUSE
INVESTMENT DECISIONS FOR A FIDELITY FUND ARE BASED ON NUMEROUS
FACTORS, MAY NOT BE RELIED ON AS AN INDICATION OF TRADING INTENT ON
BEHALF OF ANY FIDELITY FUND.
(checkmark) FUND FACTS
GOAL: to provide investment
results that correspond to the
total return of the bonds in
the Lehman Brothers
Aggregate Bond Index
START DATE: March 8, 1990
SIZE: as of August 31, 1999,
more than $1.4 billion
MANAGER: Thomas Silvia,
since 1998; manager, other
Fidelity and Spartan bond
funds; joined Fidelity in
1993
TOM SILVIA ON TECHNICAL
FACTORS SHAPING THE
GOVERNMENT SECURITIES
MARKET:
"While higher interest rates have
been the primary factor
contributing to the performance
of various fixed-income securities
so far in 1999, supply also has
played a critical role. The supply
of Treasuries diminished, thanks
ultimately to the near decade-long
economic expansion in this country.
Tax collections have risen
substantially, reducing the
government's borrowing needs. In
fact, the Treasury abandoned its
traditional November auction of
30-year bonds and will hold
auctions for them only in February
and August. More recently, the
government announced that it was
considering buying back
government debt, something that
hasn't been done for at least a
century.
"In contrast, government agencies
such as Fannie Mae and Freddie
Mac have dramatically stepped up
their issuance as part of their growth
plans. At the same time,
corporations looking to sidestep any
market liquidity problems that
might exist in advance of the year
2000 turnover moved ahead much
of their issuance into the second
and third calendar quarters of this
year."
INVESTMENT CHANGES
<TABLE>
<CAPTION>
<S> <C> <C>
QUALITY DIVERSIFICATION AS OF
AUGUST 31, 1999
(MOODY'S RATINGS) % OF FUND'S INVESTMENTS % OF FUND'S INVESTMENTS 6
MONTHS AGO
Aaa 70.5 69.3
Aa 1.1 1.2
A 10.0 10.3
Baa 12.9 13.9
Not Rated 0.9 0.2
</TABLE>
TABLE EXCLUDES SHORT-TERM INVESTMENTS. WHERE MOODY'S RATINGS ARE NOT
AVAILABLE, WE HAVE USED S&P (registered trademark) 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 AUGUST 31, 1999
6 MONTHS AGO
Years 8.7 7.8
AVERAGE YEARS TO MATURITY IS BASED ON THE AVERAGE TIME REMAINING UNTIL
PRINCIPAL PAYMENTS ARE EXPECTED FROM EACH OF THE FUND'S BONDS,
WEIGHTED BY DOLLAR AMOUNT.
DURATION AS OF AUGUST 31, 1999
6 MONTHS AGO
Years 5.2 4.8
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
NET ASSETS)
AS OF AUGUST 31, 1999*
U.S. government and agency obligations 39.6%
Mortgage-backed securities 34.6%
Corporate bonds 21.9%
Foreign government obligations 1.4%
Other investments 1.1%
Short-term investments and Net Other Assets 1.4%
Row: 1, Col: 1, Value: 39.6
Row: 1, Col: 2, Value: 34.6
Row: 1, Col: 3, Value: 21.9
Row: 1, Col: 4, Value: 1.4
Row: 1, Col: 5, Value: 1.1
Row: 1, Col: 6, Value: 1.4
* FOREIGN INVESTMENTS 5.3%
AS OF FEBRUARY 28, 1999**
U.S. government and agency obligations 42.3%
Mortgage-backed securities 30.0%
Corporate bonds 22.8%
Foreign government obligations 1.6%
Other investments 1.8%
Short-term investments and Net Other Assets 1.5%
Row: 1, Col: 1, Value: 42.3
Row: 1, Col: 2, Value: 30.0
Row: 1, Col: 3, Value: 22.8
Row: 1, Col: 4, Value: 1.6
Row: 1, Col: 5, Value: 1.8
Row: 1, Col: 6, Value: 1.5
** FOREIGN INVESTMENTS 5.4%
PRIOR TO THIS REPORT, CERTAIN INFORMATION RELATED TO PORTFOLIO
HOLDINGS WAS STATED AS A PERCENTAGE OF THE FUND'S INVESTMENTS.
INVESTMENTS AUGUST 31, 1999 (UNAUDITED)
Showing Percentage of Net Assets
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C>
NONCONVERTIBLE BONDS - 21.9%
MOODY'S RATINGS (A) PRINCIPAL AMOUNT (000S) VALUE (NOTE 1) (000S)
AEROSPACE & DEFENSE - 0.5%
DEFENSE ELECTRONICS - 0.5%
Raytheon Co.:
5.95% 3/15/01 Baa1 $ 3,300 $ 3,271
6.45% 8/15/02 Baa1 3,470 3,425
6,696
BASIC INDUSTRIES - 0.5%
PACKAGING & CONTAINERS - 0.1%
Corning, Inc. 6.85% 3/1/29 A3 2,330 2,068
PAPER & FOREST PRODUCTS - 0.4%
Fort James Corp. 6.625% Baa2 5,791 5,658
9/15/04
TOTAL BASIC INDUSTRIES 7,726
CONSTRUCTION & REAL ESTATE -
0.6%
REAL ESTATE - 0.3%
Duke-Weeks Realty LP 6.875% Baa2 4,000 3,744
3/15/05
REAL ESTATE INVESTMENT TRUSTS
- - 0.3%
CenterPoint Properties Trust Baa2 1,600 1,493
6.75% 4/1/05
Equity Office Properties Baa1 2,550 2,491
Trust 6.376% 2/15/02
3,984
TOTAL CONSTRUCTION & REAL 7,728
ESTATE
DURABLES - 0.3%
AUTOS, TIRES, & ACCESSORIES -
0.3%
TRW, Inc. 7.125% 6/1/09 (b) Baa1 5,000 4,835
ENERGY - 1.3%
ENERGY SERVICES - 0.3%
Baker Hughes, Inc. 5.8% A2 5,000 4,811
2/15/03 (b)
OIL & GAS - 1.0%
Occidental Petroleum Corp. Baa3 390 390
6.09% 11/29/99
Oryx Energy Co. 8.125% Baa1 3,935 4,042
10/15/05
Petro-Canada 7% 11/15/28 A3 3,960 3,507
Vastar Resources, Inc. 6.5% Baa1 5,900 5,526
4/1/09
13,465
TOTAL ENERGY 18,276
NONCONVERTIBLE BONDS -
CONTINUED
MOODY'S RATINGS (A) PRINCIPAL AMOUNT (000S) VALUE (NOTE 1) (000S)
FINANCE - 8.2%
BANKS - 3.6%
Banc One Corp. 7.625% 10/15/26 A1 $ 6,000 $ 5,791
Banco Latinoamericano Baa2 1,000 997
Exportaciones SA euro 6.9%
12/4/99 (b)
BankBoston NA 6.375% 3/25/08 A2 1,700 1,584
Barclays Bank PLC yankee:
5.875% 7/15/00 A1 5,400 5,378
5.95% 7/15/01 A1 5,950 5,822
Barnett Banks, Inc. 10.875% Aa3 1,020 1,151
3/15/03
Den Danske Bank AS 6.375% A1 7,770 7,236
6/15/08 (b)(d)
First Chicago Corp. 7% A1 5,385 5,346
10/16/06
First Tennessee National Baa1 1,540 1,497
Corp. 6.75% 11/15/05
Kansallis-Osake-Pankki (NY A2 3,110 3,333
Branch) yankee 10% 5/1/02
Merita Bank Ltd. yankee 6.5% A2 2,100 1,994
1/15/06
Popular, Inc.:
6.2% 4/30/01 A3 1,325 1,309
6.4% 8/25/00 A3 2,540 2,529
Providian National Bank:
6.25% 5/7/01 Baa3 3,390 3,327
6.75% 3/15/02 Baa3 1,310 1,298
Union Planters Corp. 6.75% Baa2 1,500 1,473
11/1/05
50,065
CREDIT & OTHER FINANCE - 2.6%
Ahmanson Capital Trust I A3 4,800 4,714
8.36% 12/1/26 (b)
Aristar, Inc. 6% 5/15/02 A3 1,600 1,562
AT&T Capital Corp. 6.25% Baa3 4,350 4,287
5/15/01
Countrywide Funding Corp. A3 5,000 4,902
6.45% 2/27/03
Edison Mission Energy Funding Baa1 3,922 3,874
Corp. 6.77% 9/15/03 (b)
First Security Capital I A3 3,000 2,960
8.41% 12/15/26
Ford Motor Credit Co. 5.75% A1 3,000 2,851
2/23/04
Heller Financial, Inc. 5.875% A3 2,000 1,981
11/1/00
Sprint Capital Corp. 6.875% Baa1 4,700 4,209
11/15/28
Trizec Finance Ltd. yankee Baa3 1,470 1,569
10.875% 10/15/05
NONCONVERTIBLE BONDS -
CONTINUED
MOODY'S RATINGS (A) PRINCIPAL AMOUNT (000S) VALUE (NOTE 1) (000S)
FINANCE - CONTINUED
CREDIT & OTHER FINANCE -
CONTINUED
U.S. West Capital Funding, Baa1 $ 2,485 $ 2,150
Inc. 6.875% 7/15/28
Yorkshire Power Finance Ltd. Baa2 1,200 1,090
yankee 6.496% 2/25/08
36,149
INSURANCE - 1.1%
Farmers Insurance Exchange A2 9,000 9,237
8.625% 5/1/24 (b)
Metropolitan Life Insurance A1 3,560 3,430
Co. 6.3% 11/1/03 (b)
Nationwide Mutual Insurance A1 2,690 2,616
Co. 6.5% 2/15/04 (b)
15,283
SAVINGS & LOANS - 0.1%
Home Savings of America FSB A3 2,000 1,928
6.5% 8/15/04
SECURITIES INDUSTRY - 0.8%
Amvescap PLC yankee 6.375% A3 4,835 4,686
5/15/03
Lehman Brothers Holdings 7% A3 7,000 6,895
5/15/03
11,581
TOTAL FINANCE 115,006
INDUSTRIAL MACHINERY &
EQUIPMENT - 0.8%
Tyco International Group SA:
6.125% 11/1/08 Baa1 10,000 9,088
yankee 6.375% 6/15/05 Baa1 2,920 2,791
11,879
MEDIA & LEISURE - 2.5%
BROADCASTING - 1.7%
Continental Cablevision, Inc. Baa3 5,000 5,225
8.3% 5/15/06
Cox Communications, Inc. Baa2 3,225 3,262
7.75% 8/15/06
Nielsen Media Research, Inc. Baa2 2,270 2,245
7.6% 6/15/09
TCI Communications, Inc. A2 12,000 13,387
8.75% 8/1/15
24,119
NONCONVERTIBLE BONDS -
CONTINUED
MOODY'S RATINGS (A) PRINCIPAL AMOUNT (000S) VALUE (NOTE 1) (000S)
MEDIA & LEISURE - CONTINUED
PUBLISHING - 0.8%
Time Warner Entertainment Co. Baa2 $ 11,000 $ 11,421
LP 8.375% 7/15/33
TOTAL MEDIA & LEISURE 35,540
NONDURABLES - 1.1%
BEVERAGES - 0.8%
Seagram Co. Ltd. 8.35% 1/15/22 Baa3 1,020 1,035
Seagram JE & Sons, Inc. Baa3 10,000 9,483
6.625% 12/15/05
10,518
FOODS - 0.2%
ConAgra, Inc. 5.5% 10/15/02 Baa1 2,400 2,298
TOBACCO - 0.1%
Philip Morris Companies, Inc. A2 2,000 1,963
7% 7/15/05
TOTAL NONDURABLES 14,779
RETAIL & WHOLESALE - 0.8%
DRUG STORES - 0.7%
Rite Aid Corp.:
5.5% 12/15/00 (b) Baa1 5,000 4,906
6% 12/15/05 (b) Baa1 5,000 4,513
9,419
GENERAL MERCHANDISE STORES -
0.1%
Federated Department Stores, Baa2 1,800 1,757
Inc. 6.79% 7/15/27
TOTAL RETAIL & WHOLESALE 11,176
SERVICES - 0.3%
LEASING & RENTAL - 0.3%
Hertz Corp. 7.625% 8/15/07 A3 4,605 4,620
TECHNOLOGY - 0.5%
COMPUTERS & OFFICE EQUIPMENT
- - 0.5%
Comdisco, Inc.:
7.25% 9/1/02 Baa1 1,600 1,590
9.25% 7/6/00 Baa2 375 385
NONCONVERTIBLE BONDS -
CONTINUED
MOODY'S RATINGS A) PRINCIPAL AMOUNT (000S) VALUE (NOTE 1) (000S)
TECHNOLOGY - CONTINUED
COMPUTERS & OFFICE EQUIPMENT
- - CONTINUED
Comdisco, Inc.: - continued
9.3% 6/27/00 Baa2 $ 1,250 $ 1,281
Sun Microsystems, Inc. 7.5% Baa1 3,300 3,284
8/15/06
6,540
TRANSPORTATION - 0.9%
AIR TRANSPORTATION - 0.3%
Continental Airlines, Inc. Baa1 1,413 1,395
Pass Through Trust
Certificates 7.42% 10/1/08
Delta Air Lines, Inc. 9.875% Baa3 3,000 3,065
5/15/00
4,460
RAILROADS - 0.6%
Canadian National Railway Co. Baa2 3,150 2,765
6.9% 7/15/28
CSX Corp. 6.46% 6/22/05 Baa2 2,000 1,921
Wisconsin Central Baa2 3,150 2,905
Transportation Corp. 6.625%
4/15/08
7,591
TOTAL TRANSPORTATION 12,051
UTILITIES - 3.6%
CELLULAR - 0.5%
Cable & Wireless Baa1 7,100 7,074
Communications PLC 6.375%
3/6/03
ELECTRIC UTILITY - 1.0%
Avon Energy Partners Holdings:
6.46% 3/4/08 (b) Baa2 5,000 4,726
6.73% 12/11/02 (b) Baa2 4,450 4,409
Israel Electric Corp. Ltd. A3 3,000 2,764
7.1% 12/15/07 (b)
Massachusetts Electric Co. A1 2,000 1,943
6.78% 11/20/06
13,842
GAS - 1.3%
CMS Panhandle Holding Co. Baa3 6,700 6,640
6.125% 3/15/04 (b)
Columbia Gas System, Inc.:
6.39% 11/28/00 A3 3,000 2,983
6.61% 11/28/02 A3 1,000 981
NONCONVERTIBLE BONDS -
CONTINUED
MOODY'S RATINGS (A) PRINCIPAL AMOUNT (000S) VALUE (NOTE 1) (000S)
UTILITIES - CONTINUED
GAS - CONTINUED
Enserch Corp. 6.25% 1/1/03 Baa2 $ 4,375 $ 4,257
Southwest Gas Corp. 9.75% Baa2 3,020 3,206
6/15/02
18,067
TELEPHONE SERVICES - 0.8%
MCI WorldCom, Inc.:
6.4% 8/15/05 A3 1,775 1,705
8.875% 1/15/06 A3 2,014 2,126
Pacific Bell 8.7% 6/15/01 A1 3,850 3,993
Telecomunicaciones de Puerto Baa2 1,990 1,891
Rico, Inc. 6.65% 5/15/06 (b)
Teleglobe Canada, Inc. 7.7% Baa1 1,366 1,267
7/20/29
10,982
TOTAL UTILITIES 49,965
TOTAL NONCONVERTIBLE BONDS 306,817
(Cost $321,950)
U.S. GOVERNMENT AND
GOVERNMENT AGENCY
OBLIGATIONS - 39.6%
U.S. GOVERNMENT AGENCY
OBLIGATIONS - 8.6%
Fannie Mae:
coupon STRIPS 0% 4/8/03 Aaa 1,000 794
coupon STRIPS 0% 10/8/04 Aaa 1,000 712
5.25% 1/15/09 Aaa 18,000 16,003
6.25% 5/15/29 Aaa 24,000 21,701
Federal Agricultural Mortgage
Corp.:
6.92% 8/10/02 Aaa 1,040 1,051
7.44% 5/25/00 Aaa 500 505
Federal Farm Credit Bank:
5.97% 3/11/05 Aaa 5,000 4,818
6.22% 10/12/04 Aaa 18,110 17,694
Federal Home Loan Bank:
5.125% 2/26/02 Aaa 3,000 2,921
7.31% 6/16/04 Aaa 2,040 2,091
U.S. GOVERNMENT AND
GOVERNMENT AGENCY
OBLIGATIONS - CONTINUED
MOODY'S RATINGS (A) PRINCIPAL AMOUNT (000S) VALUE (NOTE 1) (000S)
U.S. GOVERNMENT AGENCY
OBLIGATIONS - CONTINUED
Government Loan Trusts Aaa $ 2,509 $ 2,653
(assets of Trust guaranteed
by U.S. Government through
Agency for International
Development) 8.5% 4/1/06
Government Trust Certificates
(assets of Trust guaranteed
by U.S. Government through
Defense Security Assistance
Agency):
Class 1-C, 9.25% 11/15/01 Aaa 404 418
Class 2-E 9.4% 5/15/02 Aaa 1,004 1,037
Class T-3, 9.625% 5/15/02 Aaa 1,242 1,284
Guaranteed Export Trust
Certificates (assets of
Trust guaranteed by U.S.
Government through
Export-Import Bank):
Series 1993 C, 5.2% 10/15/04 Aaa 987 955
Series 1993 D, 5.23% 5/15/05 Aaa 460 443
Series 1994 C, 6.61% 9/15/99 Aaa 13 13
Series 1995-A, 6.28% 6/15/04 Aaa 7,976 7,939
Series 1995-B, 6.13% 6/15/04 Aaa 10,000 9,918
Guaranteed Trade Trust Aaa 3,333 3,324
Certificates (assets of
Trust guaranteed by U.S.
Government through
Export-Import Bank) Series
1997-A, 6.104% 7/15/03
Overseas Private Investment
Corp. U.S. Government
guaranteed participation
certificate:
Series 1994 195, 6.08% Aaa 1,264 1,263
8/15/04 (callable)
Series 1998-196A, 5.926% - 2,590 2,574
6/15/05
Private Export Funding Corp.:
secured 5.48% 9/15/03 Aaa 1,463 1,444
secured 5.65% 3/15/03 Aaa 1,274 1,262
secured 5.8% 2/1/04 Aaa 1,710 1,694
secured 6.86% 4/30/04 Aaa 683 688
5.31% 11/15/03 (b) Aaa 5,000 4,734
U.S. Department of Housing
and Urban Development
government guaranteed
participation certificates:
Series 99-A, 5.96% 8/1/09 - 3,600 3,376
5.75% 8/1/06 - 7,500 7,091
TOTAL U.S. GOVERNMENT AGENCY 120,400
OBLIGATIONS
U.S. GOVERNMENT AND
GOVERNMENT AGENCY
OBLIGATIONS - CONTINUED
MOODY'S RATINGS (A) PRINCIPAL AMOUNT (000S) VALUE (NOTE 1) (000S)
U.S. TREASURY OBLIGATIONS -
31.0%
U.S. Treasury Bonds:
6.5% 11/15/26 Aaa $ 11,500 $ 11,671
8% 11/15/21 Aaa 4,610 5,431
8.125% 5/15/21 Aaa 7,000 8,327
8.75% 5/15/17 Aaa 16,745 20,690
8.875% 8/15/17 Aaa 40,866 51,083
12% 8/15/13 Aaa 25,300 34,819
14% 11/15/11 Aaa 37,480 53,784
U.S. Treasury Notes:
5.5% 7/31/01 Aaa 8,000 7,962
5.5% 5/15/09 Aaa 5,000 4,802
5.75% 11/15/00 Aaa 168,000 168,205
7% 7/15/06 Aaa 34,000 35,525
U.S. Treasury Notes - coupon Aaa 72,000 32,868
STRIPS 0% 11/15/11
TOTAL U.S. TREASURY 435,167
OBLIGATIONS
TOTAL U.S. GOVERNMENT AND 555,567
GOVERNMENT AGENCY OBLIGATIONS
(Cost $574,775)
U.S. GOVERNMENT AGENCY -
MORTGAGE SECURITIES - 31.6%
FANNIE MAE - 20.2%
5.5% 1/1/09 to 4/1/11 Aaa 7,668 7,222
6% 3/1/11 to 2/1/29 Aaa 51,629 47,653
6.5% 12/1/08 to 8/1/29 Aaa 92,784 87,947
7% 12/1/16 to 7/1/29 Aaa 79,446 77,232
7% 9/1/29 (c) Aaa 31,531 30,634
7.5% 11/1/07 to 10/1/09 Aaa 832 838
8% 12/1/17 to 11/1/28 Aaa 24,757 25,094
8.5% 6/1/17 to 8/1/23 Aaa 4,010 4,144
9.5% 12/1/09 to 9/1/21 Aaa 2,276 2,420
10.75% 9/1/10 to 5/1/14 Aaa 161 175
11.25% 5/1/14 Aaa 25 28
11.5% 8/1/14 Aaa 82 91
12.5% 1/1/15 Aaa 38 43
U.S. GOVERNMENT AGENCY -
MORTGAGE SECURITIES -
CONTINUED
MOODY'S RATINGS (A) PRINCIPAL AMOUNT (000S) VALUE (NOTE 1) (000S)
FANNIE MAE - CONTINUED
13.5% 11/1/14 Aaa $ 12 $ 14
14% 3/1/12 to 9/1/13 Aaa 115 131
283,666
FREDDIE MAC - 0.9%
6.5% 10/1/07 Aaa 451 442
7.5% 9/15/29 Aaa 5,819 5,784
8% 7/1/16 to 2/1/28 Aaa 2,126 2,157
8.5% 9/1/19 Aaa 13 14
9% 11/1/01 to 10/1/16 Aaa 270 279
9.5% 10/1/08 to 9/1/18 Aaa 551 575
10% 6/1/20 Aaa 61 65
10.5% 1/1/01 to 2/1/19 Aaa 281 301
11% 1/1/06 to 9/1/20 Aaa 1,643 1,794
11.5% 8/1/13 to 10/1/15 Aaa 115 127
11.75% 9/1/13 Aaa 36 40
12% 2/1/13 to 7/1/15 Aaa 39 43
12.75% 8/1/12 to 10/1/13 Aaa 39 44
13.5% 12/1/14 Aaa 272 313
11,978
GOVERNMENT NATIONAL MORTGAGE
ASSOCIATION - 10.5%
6% 12/15/08 to 4/15/09 Aaa 1,597 1,535
6.5% 6/15/23 to 4/15/29 Aaa 26,709 25,244
7% 12/15/22 to 12/15/28 Aaa 33,172 32,153
7.5% 2/15/17 to 9/15/28 Aaa 53,569 53,172
7.5% 9/15/29 (c) Aaa 8,711 8,635
8% 11/15/16 to 9/15/29 Aaa 16,287 16,497
9% 7/15/18 Aaa 18 19
9.5% 1/15/18 to 3/15/23 Aaa 2,459 2,619
10% 6/15/13 to 9/15/25 Aaa 1,980 2,162
10.5% 5/20/16 to 1/20/18 Aaa 1,580 1,720
11% 2/15/10 to 8/15/19 Aaa 2,153 2,393
U.S. GOVERNMENT AGENCY -
MORTGAGE SECURITIES -
CONTINUED
MOODY'S RATINGS (A) PRINCIPAL AMOUNT (000S) VALUE (NOTE 1) (000S)
GOVERNMENT NATIONAL MORTGAGE
ASSOCIATION - CONTINUED
11.5% 2/15/13 to 8/15/13 Aaa $ 2 $ 2
12% 2/15/16 Aaa 673 764
146,915
TOTAL U.S. GOVERNMENT AGENCY 442,559
- - MORTGAGE SECURITIES
(Cost $455,153)
ASSET-BACKED SECURITIES - 1.1%
BankAmerica Manufacturing Aaa 2,390 2,348
Housing Contract 6.2% 4/10/09
CIT Marine Trust 5.8% 4/15/10 Aaa 5,000 4,920
CS First Boston Mortgage Aaa 5,000 5,020
Securities Corp. 7% 3/15/27
Key Auto Finance Trust 6.65% Baa3 355 356
10/15/03
Olympic Automobile Aaa 596 593
Receivables Trust 6.125%
11/15/04
Union Acceptance Corp. 7.075% Baa2 59 59
7/10/02
WFS Financial Owner Trust Aaa 2,370 2,377
6.9% 12/20/03
TOTAL ASSET-BACKED SECURITIES 15,673
(Cost $15,839)
COMMERCIAL MORTGAGE
SECURITIES - 3.0%
Allied Capital Commercial Aaa 2,398 2,372
Mortgage Trust sequential
pay Series 1998-1 Class A,
6.31% 1/25/28 (b)
Equitable Life Assurance Aaa 16,000 16,049
Society of the United States
(The) sequential pay Series
174 Class A1, 7.24% 5/15/06
(b)
First Union-Lehman Brothers Aa2 15,000 14,196
Commercial MortgageTrust
sequential pay Series
1997-C2 Class B, 6.79%
11/18/29
GS Mortgage Securities Corp.
II:
Series 1997-GL Class A2-B, Aaa 3,000 2,980
6.86% 7/13/30
Series 1999-GSFL II Class E, Baa2 6,000 5,978
7.2771% 11/13/13 (b)(d)
TOTAL COMMERCIAL MORTGAGE 41,575
SECURITIES
(Cost $43,347)
FOREIGN GOVERNMENT AND
GOVERNMENT AGENCY
OBLIGATIONS (E) - 1.4%
MOODY'S RATINGS (A) PRINCIPAL AMOUNT (000S) VALUE (NOTE 1) (000S)
Korean Republic yankee 8.875% Baa3 $ 4,240 $ 4,373
4/15/08
Newfoundland Province yankee Baa1 4,000 5,076
11.625% 10/15/07
Quebec Province yankee 7.5% A2 10,000 9,971
7/15/23
TOTAL FOREIGN GOVERNMENT AND 19,420
GOVERNMENT AGENCY OBLIGATIONS
(Cost $21,057)
</TABLE>
CASH EQUIVALENTS - 4.7%
MATURITY AMOUNT (000S)
Investments in repurchase $ 66,796 66,786
agreements (U.S. Treasury
obligations), in a joint
trading account at 5.51%,
dated 8/31/99 due 9/1/99
TOTAL INVESTMENT PORTFOLIO - 1,448,397
103.3% (Cost $1,498,907)
NET OTHER ASSETS - (3.3%) (46,497)
NET ASSETS - 100% $ 1,401,900
LEGEND
(a) Standard & Poor's (registered trademark) credit ratings are used
in the absence of a rating by Moody's Investors Service, Inc.
(b) 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 $100,732,000 or 7.2% of net assets.
(c) Security purchased on a delayed delivery or when-issued basis.
(d) The coupon rate shown on floating or adjustable rate securities
represents the rate at period end.
(e) For foreign government obligations not individually rated by S&P
or Moody's, the ratings listed have been assigned by FMR, the fund's
investment adviser, based principally on S&P and Moody's ratings of
the sovereign credit of the issuing government.
OTHER INFORMATION
The composition of long-term debt holdings as a percentage of total
value of investments in securities, is as follows (ratings are
unaudited):
MOODY'S RATINGS S&P RATINGS
Aaa, Aa, A 81.6% AAA, AA, A 76.2%
Baa 12.9% BBB 12.5%
Ba 0.0% BB 0.1%
B 0.0% B 0.0%
Caa 0.0% CCC 0.0%
Ca, C 0.0% CC, C 0.0%
D 0.0%
The percentage not rated by Moody's or S&P amounted to 0.9%. FMR has
determined that unrated debt securities that are lower quality account
for 0.0% of the total value of investment in securities.
INCOME TAX INFORMATION
At August 31, 1999, the aggregate cost of investment securities for
income tax purposes was $1,498,911,000. Net unrealized depreciation
aggregated $50,514,000, of which $1,558,000 related to appreciated
investment securities and $52,072,000 related to depreciated
investment securities.
FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
AMOUNTS IN THOUSANDS (EXCEPT
PER-SHARE AMOUNT) AUGUST 31,
1999 (UNAUDITED)
ASSETS
Investment in securities, at $ 1,448,397
value (including repurchase
agreements of $66,786) (cost
$1,498,907) - See
accompanying schedule
Cash 1
Receivable for investments 15,845
sold
Receivable for fund shares 1,677
sold
Interest receivable 16,648
TOTAL ASSETS 1,482,568
LIABILITIES
Payable for investments $ 37,858
purchased Regular delivery
Delayed delivery 39,112
Payable for fund shares 2,724
redeemed
Distributions payable 249
Accrued management fee 180
Other payables and accrued 545
expenses
TOTAL LIABILITIES 80,668
NET ASSETS $ 1,401,900
Net Assets consist of:
Paid in capital $ 1,471,856
Undistributed net investment 1,153
income
Accumulated undistributed net (20,599)
realized gain (loss) on
investments
Net unrealized appreciation (50,510)
(depreciation) on investments
NET ASSETS, for 135,884 $ 1,401,900
shares outstanding
NET ASSET VALUE, offering $10.32
price and redemption price
per share ($1,401,900
(divided by) 135,884 shares)
STATEMENT OF OPERATIONS
AMOUNTS IN THOUSANDS SIX
MONTHS ENDED AUGUST 31, 1999
(UNAUDITED)
INVESTMENT INCOME $ 45,808
Interest
EXPENSES
Management fee $ 2,197
Transfer agent fees 947
Accounting fees and expenses 156
Non-interested trustees' 2
compensation
Custodian fees and expenses 53
Registration fees 101
Audit 23
Legal 1
Total expenses before 3,480
reductions
Expense reductions (1,336) 2,144
NET INVESTMENT INCOME 43,664
REALIZED AND UNREALIZED GAIN (19,837)
(LOSS)
Net realized gain (loss) on
investment securities
Change in net unrealized (36,385)
appreciation (depreciation)
on investment securities
NET GAIN (LOSS) (56,222)
NET INCREASE (DECREASE) IN $ (12,558)
NET ASSETS RESULTING FROM
OPERATIONS
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
<S> <C> <C>
AMOUNTS IN THOUSANDS SIX MONTHS ENDED AUGUST 31, YEAR ENDED FEBRUARY 28, 1999
1999 (UNAUDITED)
INCREASE (DECREASE) IN NET
ASSETS
Operations Net investment $ 43,664 $ 67,276
income
Net realized gain (loss) (19,837) 21,138
Change in net unrealized (36,385) (28,341)
appreciation (depreciation)
NET INCREASE (DECREASE) IN (12,558) 60,073
NET ASSETS RESULTING FROM
OPERATIONS
Distributions to shareholders (43,182) (66,592)
From net investment income
From net realized gain (6,645) -
In excess of net realized (762) -
gain
TOTAL DISTRIBUTIONS (50,589) (66,592)
Share transactions Net 487,418 932,427
proceeds from sales of shares
Reinvestment of distributions 48,650 63,155
Cost of shares redeemed (365,541) (509,619)
NET INCREASE (DECREASE) IN 170,527 485,963
NET ASSETS RESULTING FROM
SHARE TRANSACTIONS
TOTAL INCREASE (DECREASE) 107,380 479,444
IN NET ASSETS
NET ASSETS
Beginning of period 1,294,520 815,076
End of period (including $ 1,401,900 $ 1,294,520
undistributed net investment
income of $1,153 and $671,
respectively)
OTHER INFORMATION
Shares
Sold 45,952 85,262
Issued in reinvestment of 4,604 5,779
distributions
Redeemed (34,568) (46,605)
Net increase (decrease) 15,988 44,436
</TABLE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C>
SIX MONTHS ENDED AUGUST 31, YEARS ENDED FEBRUARY 28,
1999
(UNAUDITED) 1999 1998 1997 1996 G 1995
SELECTED PER-SHARE DATA
Net asset value, beginning
of $ 10.800 $ 10.800 $ 10.480 $ 10.710 $ 10.250 $ 10.830
period
Income from Invest- ment .336 D .690 D .738 D .739 D .755 .718
Operations Net investment
income
Net realized and unrealized (.424) (.003) .316 (.235) .460 (.542)
gain (loss)
Total from investment (.088) .687 1.054 .504 1.215 .176
operations
Less Distributions
From net investment income (.332) (.687) (.734) (.734) (.755) (.756)
From net realized gain (.054) - - - - -
In excess of net realized
gain (.006) - - - - -
Total distributions (.392) (.687) (.734) (.734) (.755) (.756)
Net asset value, end of $ 10.320 $ 10.800 $ 10.800 $ 10.480 $ 10.710 $ 10.250
period
TOTAL RETURN B, C (0.84)% 6.48% 10.41% 4.93% 12.13% 1.90%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period
(in $ 1,402 $ 1,295 $ 815 $ 568 $ 476 $ 355
millions)
Ratio of expenses to average .32% A, E .32% E .32% E .32% E .32% E .32% E
net assets
Ratio of expenses to average .31% A, F .31% F .31% F .31% F .31% F .32%
net assets after expense
reductions
Ratio of net invest- ment 6.33% A 6.35% 6.98% 7.05% 7.11% 7.58%
income to average net assets
Portfolio turnover rate 158% A 184% 97% 65% 128% 73%
</TABLE>
A ANNUALIZED
B TOTAL RETURNS FOR PERIODS OF LESS THAN ONE YEAR ARE NOT ANNUALIZED.
C THE TOTAL RETURNS WOULD HAVE BEEN LOWER HAD CERTAIN EXPENSES NOT
BEEN REDUCED DURING THE PERIODS SHOWN.
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.
F FMR OR THE FUND HAS ENTERED INTO VARYING ARRANGEMENTS WITH THIRD
PARTIES WHO EITHER PAID OR REDUCED A PORTION OF THE FUND'S EXPENSES.
G FOR THE YEAR ENDED FEBRUARY 29
NOTES TO FINANCIAL STATEMENTS
For the period ended August 31, 1999 (Unaudited)
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, 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 require 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 and losses deferred due to wash sales and excise tax
regulations. 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.
1. SIGNIFICANT ACCOUNTING POLICIES - CONTINUED
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 after the customary settlement period for that security. 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 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 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 $1,227,749,000 and $1,064,962,000, respectively, of which
U.S. government and government agency obligations aggregated
$1,071,637,000 and $935,014,000, 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.
SUB-ADVISER FEE. FMR, on behalf of the fund, has entered into a
sub-advisory agreement (effective January 1, 1999) with Fidelity
Investments Money Management, Inc. (FIMM), a wholly owned subsidiary
of FMR. For its services, FIMM receives a fee from FMR of 50% of the
management fee payable to FMR. The fee is paid prior to any voluntary
expense reimbursements which may be in effect.
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 annualized rate of .14%
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, certain securities lending fees, brokerage
commissions and extraordinary expenses, if any) above an annual rate
of .32% of average net assets. For the period, the reimbursement
reduced the expenses by $1,271,000.
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 $11,000 and $54,000, respectively, under these
arrangements.
INVESTMENT ADVISER
Fidelity Management & Research Company
Boston, MA
INVESTMENT SUB-ADVISER
Fidelity Investments
Money Management, Inc.
Merrimack, NH
OFFICERS
Edward C. Johnson 3d, PRESIDENT
Robert C. Pozen, SENIOR VICE PRESIDENT
Fred L. Henning, Jr., VICE PRESIDENT
Dwight D. Churchill, VICE PRESIDENT
Thomas J. Silvia, VICE PRESIDENT
Eric D. Roiter, SECRETARY
Richard A. Silver, TREASURER
Matthew N. Karstetter, DEPUTY TREASURER
Stanley N. Griffith, ASSISTANT
VICE PRESIDENT
John H. Costello, ASSISTANT TREASURER
Thomas J. Simpson, 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
Abigail P. Johnson
* INDEPENDENT TRUSTEES
GENERAL DISTRIBUTOR
Fidelity Distributors Corporation
Boston, MA
TRANSFER AND SHAREHOLDER SERVICING AGENT
Fidelity Investments Institutional Operations Company, Inc.
Boston, MA
CUSTODIAN
The Bank of New York
New York, NY
UBI-SANN-1099 85849
1.536707.102
(Fidelity Logo Graphic)(registered trademark)
Corporate Headquarters
82 Devonshire St., Boston, MA 02109
www.fidelity.com
SPARTAN(registered trademark)
U.S. EQUITY INDEX
FUND
SEMIANNUAL REPORT
AUGUST 31, 1999
(Fidelity logo Graphic)(registered trademark)
CONTENTS
PRESIDENT'S MESSAGE 3 Ned Johnson on investing
strategies.
PERFORMANCE 4 How the fund has done over
time.
FUND TALK 6 The Sub-Adviser's review of
fund performance, strategy
and outlook.
INVESTMENT CHANGES 9 A summary of the major shifts
in the fund's investments
over the past six months.
INVESTMENTS 10 A complete list of the fund's
investments with their
market values.
FINANCIAL STATEMENTS 30 Statements of assets and
liabilities, operations, and
changes in net assets, as
well as financial highlights.
NOTES 34 Notes to the financial
statements.
PROXY VOTING RESULTS 39
Standard & Poor's, S&P and S&P 500 are registered service marks of The
McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity
Distributors Corporation.
Other third party marks appearing herein are the property of their
respective owners.
All other marks appearing herein are registered or unregistered
trademarks or service marks of FMR Corp. or an affiliated company.
(recycle logo) This report is printed on recycled paper using
soy-based inks.
If additional copies of financial reports, prospectuses or historical
account information are needed, or for more information on any
Fidelity fund including charges and expenses, please call the
appropriate number listed below or the number provided to your
institutional or employer-sponsored retirement plan. Read the
prospectus carefully before you invest or send money.
Retirement Plan Level Accounts
Corporate Clients (800) 962-1375
"Not For Profit" Clients (800) 343-0860
Financial and Other Institutions
Nationwide (800) 843-3001
Other Investors (800) 544-8888
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 DISTRIBUTIONS CORPORATION IS A
BANK.
PRESIDENT'S MESSAGE
(PHOTO_OF_EDWARD_C_JOHNSON_3D)
DEAR SHAREHOLDER:
In late August, just days after making what many market observers felt
would be the final interest-rate hike of 1999, Federal Reserve Board
Chairman Alan Greenspan re-ignited fears of further increases, calling
the continued rise of stocks "inexplicable." He also indicated that
stock movements would play a larger role in future monetary policy
deliberations. In response, equity and bond markets retreated from
solid gains earned earlier in the month.
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.
The longer your investment time frame, the less likely it is that you
will be affected by short-term market volatility. A 10-year investment
horizon appropriate for saving for a college education, for example,
enables you to weather market cycles in a long-term fund, which may
have a higher risk potential, but also has a higher potential rate of
return.
An intermediate-length fund could make sense if your investment
horizon is two to four years, while a short-term bond fund could be
the right choice if you need your money in one or two years.
If your time horizon is less than a year, you might want to consider
moving some of your bond investment into a money market fund. These
funds seek income and a stable share price by investing in
high-quality, short-term investments. Of course, it's important to
remember that an investment in a money market fund is not insured or
guaranteed by the Federal Deposit Insurance Corporation or any other
government agency. Although money market funds seek to preserve the
value of your investment at $1.00 per share, it is possible to lose
money by investing in these types of funds.
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. Of course, you should
consider your financial ability to continue your purchases through
periods of low price levels before undertaking such a strategy.
If you have questions, please call us at the appropriate phone number
on the previous page.
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 $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
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C>
PERIODS ENDED AUGUST 31, 1999 PAST 6 MONTHS PAST 1 YEAR PAST 5 YEARS PAST 10 YEARS
Spartan US Equity Index 7.22% 39.54% 203.26% 371.97%
S&P 500 (registered trademark) 7.32% 39.82% 206.52% 384.79%
S&P 500 Index Objective Funds 6.98% 39.08% 199.73% 362.06%
</TABLE>
CUMULATIVE TOTAL RETURNS show the fund's performance in percentage
terms over a set period - in this case, six months, one year, five
years 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 market capitalization-weighted
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 Inc. The past six
months average represents a peer group of 113 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 AUGUST 31, 1999 PAST 1 YEAR PAST 5 YEARS PAST 10 YEARS
Spartan US Equity Index 39.54% 24.84% 16.79%
S&P 500 39.82% 25.11% 17.10%
S&P 500 Index Objective Funds 39.08% 24.55% 16.53%
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 different figure than that
obtained by averaging the cumulative total returns and annualizing the
result.)
$100,000 OVER 10 YEARS
Spartan U.S. Equity Index S&P 500
00650 SP001
1989/08/31 100000.00 100000.00
1989/09/30 99564.44 99590.00
1989/10/31 97284.90 97279.51
1989/11/30 99270.31 99264.01
1989/12/31 101551.99 101646.35
1990/01/31 94696.48 94825.88
1990/02/28 95901.84 96049.13
1990/03/31 98393.17 98594.44
1990/04/30 95963.71 96129.58
1990/05/31 105301.95 105502.21
1990/06/30 104542.19 104784.79
1990/07/31 104159.81 104449.48
1990/08/31 94600.36 95007.25
1990/09/30 89909.98 90380.40
1990/10/31 89524.43 89991.76
1990/11/30 95307.66 95805.23
1990/12/31 97861.83 98478.19
1991/01/31 102150.60 102771.84
1991/02/28 109402.51 110120.03
1991/03/31 112058.14 112784.93
1991/04/30 112293.72 113055.62
1991/05/31 117083.88 117939.62
1991/06/30 111728.24 112537.99
1991/07/31 116867.90 117782.26
1991/08/31 119635.41 120573.70
1991/09/30 117589.30 118560.12
1991/10/31 119181.57 120148.82
1991/11/30 114325.14 115306.82
1991/12/31 127378.19 128497.92
1992/01/31 124941.11 126107.86
1992/02/29 126565.83 127747.27
1992/03/31 124043.78 125256.19
1992/04/30 127641.62 128938.73
1992/05/31 128295.78 129570.53
1992/06/30 126330.66 127639.92
1992/07/31 131515.57 132860.40
1992/08/31 128799.67 130136.76
1992/09/30 130278.98 131672.37
1992/10/31 130610.27 132133.23
1992/11/30 135082.66 136638.97
1992/12/31 136745.71 138319.63
1993/01/31 137830.99 139481.51
1993/02/28 139667.63 141378.46
1993/03/31 142601.01 144361.55
1993/04/30 139071.74 140868.00
1993/05/31 142789.33 144643.26
1993/06/30 143132.85 145062.73
1993/07/31 142537.88 144482.48
1993/08/31 147977.60 149958.36
1993/09/30 146788.66 148803.68
1993/10/31 149780.85 151883.92
1993/11/30 148327.50 150441.02
1993/12/31 150140.17 152261.36
1994/01/31 155182.51 157438.24
1994/02/28 150922.60 153171.67
1994/03/31 144277.59 146493.38
1994/04/30 146118.62 148368.50
1994/05/31 148488.11 150801.74
1994/06/30 144863.54 147107.10
1994/07/31 149630.53 151932.21
1994/08/31 155633.41 158161.43
1994/09/30 151822.75 154286.48
1994/10/31 155196.59 157757.92
1994/11/30 149514.33 152012.38
1994/12/31 151780.65 154266.72
1995/01/31 155640.25 158266.86
1995/02/28 161743.78 164434.52
1995/03/31 166432.12 169286.98
1995/04/30 171309.04 174272.48
1995/05/31 178085.51 181238.15
1995/06/30 182181.16 185448.32
1995/07/31 188175.16 191597.78
1995/08/31 188629.25 192078.69
1995/09/30 196532.54 200184.41
1995/10/31 195802.61 199469.75
1995/11/30 204379.24 208226.48
1995/12/31 208210.34 212236.92
1996/01/31 215313.66 219461.46
1996/02/29 217343.19 221495.87
1996/03/31 219484.03 223628.88
1996/04/30 222539.89 226925.17
1996/05/31 228210.28 232777.57
1996/06/30 229146.72 233664.45
1996/07/31 218964.50 223341.15
1996/08/31 223541.83 228051.42
1996/09/30 236071.13 240886.15
1996/10/31 242547.84 247529.79
1996/11/30 260851.56 266240.57
1996/12/31 255544.28 260966.34
1997/01/31 271474.31 277271.52
1997/02/28 273560.39 279445.33
1997/03/31 262225.32 267962.92
1997/04/30 277800.65 283960.31
1997/05/31 294715.24 301247.81
1997/06/30 307794.48 314743.71
1997/07/31 332275.95 339787.87
1997/08/31 313650.83 320752.95
1997/09/30 330675.94 338320.59
1997/10/31 319688.74 327020.68
1997/11/30 334338.33 342158.47
1997/12/31 339978.74 348033.33
1998/01/31 343769.24 351882.58
1998/02/28 368358.90 377260.35
1998/03/31 387075.32 396579.86
1998/04/30 390946.55 400569.45
1998/05/31 384061.96 393683.66
1998/06/30 399627.10 409675.09
1998/07/31 395383.10 405312.05
1998/08/31 338237.11 346712.04
1998/09/30 359862.96 368922.41
1998/10/31 389083.87 398930.56
1998/11/30 412658.71 423109.74
1998/12/31 436800.23 447489.32
1999/01/31 454486.87 466203.32
1999/02/28 440178.58 451713.72
1999/03/31 457857.39 469786.79
1999/04/30 475436.64 487981.63
1999/05/31 464045.34 476460.39
1999/06/30 489711.16 502903.94
1999/07/31 474476.59 487203.28
1999/08/31 471970.90 484791.62
IMATRL PRASUN SHR__CHT 19990831 19990914 102457 R00000000000123
$100,000 OVER 10 YEARS: Let's say hypothetically that $100,000 was
invested in Spartan US Equity Index Fund on August 31, 1989. As the
chart shows, by August 31, 1999, the value of the investment would
have grown to $471,971 - a 371.97% increase on the initial investment.
For comparison, look at how the Standard & Poor's 500 Index did over
the same period. With dividends and capital gains, if any, reinvested,
the same $100,000 would have grown to $484,792 - a 384.79% increase.
(checkmark)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.
FUND TALK: THE SUB-ADVISER'S OVERVIEW
(photograph of Dean Barr)
The following is an interview with Dean Barr, who oversees the Spartan
U.S. Equity Index Fund's investment management personnel as Managing
Director for Bankers Trust, sub-adviser of the fund.
Q. HOW DID THE FUND PERFORM, DEAN?
A. For the six-month period that ended August 31, 1999, the fund
posted a total return of 7.22%. Fund performance fell in line with the
Standard & Poor's 500 Index, which returned 7.32%, and the S&P 500
index objective funds average, as tracked by Lipper Inc., which posted
a total return of 6.98%. For the 12-month period that ended August 31,
1999, the fund returned 39.54%, while the S&P 500 index and the Lipper
S&P 500 index objective funds average returned 39.82% and 39.08%,
respectively.
Q. HOW WOULD YOU CHARACTERIZE THE MARKET ENVIRONMENT DURING THE
PERIOD?
A. At the beginning of March, encouraging economic conditions in the
U.S., characterized by strong growth, low inflation and a passive
Federal Reserve Board, flashed a green light for investors. However,
after almost three months of strong gains, the green light became a
cautionary yellow signal when the Fed shifted its monetary policy to a
tightening bias on May 18, 1999. In response, the general equity
market churned and rotated into cyclical and value-oriented
securities. Despite the more hostile monetary environment and erosion
in large-cap growth stock prices, the overall market held on to its
gains, as it broadened out to encompass smaller-capitalization stocks.
During the last three months of the period, all eyes were again on the
Fed as signs of an improving global economy and a persistently buoyant
domestic economy caused investors to worry about inflation. On June
30, 1999, the Fed increased the federal funds rate from 4.75% to
5.00%; however, the markets were caught off-guard as the Fed shifted
its monetary policy stance from a tightening bias to neutral. While
the equity market rallied in response to the more accommodating
monetary stance, the celebration was short-lived following a
larger-than-expected increase in the employment-cost index.
Q. WHAT FACTORS INFLUENCED PERFORMANCE LATE IN THE PERIOD?
A. Investors have wondered for some time now just how long the
so-called "goldilocks economy" - not too hot, given relatively benign
inflation reports, and not too cold, in light of strong growth - can
continue. While the market was reluctant to give up its gains from
earlier in the year, fears of inflation were re-ignited amid an
ever-tightening labor market, soaring trade deficit and richly valued
stock prices. As a result, the market posted mixed results during the
last two months of the period. Further weakness followed the Fed's
decision to raise the federal funds rate another quarter percentage
point to 5.25% on August 24, 1999.
Q. LET'S TURN TO SOME OF THE FUND'S MARKET SECTORS, STARTING WITH
TECHNOLOGY, THE LARGEST WEIGHTING FOR THE FUND AND THE INDEX . . .
A. In general, technology stocks fared better than the overall market
during the period, although the sector did experience its share of
setbacks and volatility. Despite intermittent periods of weakness amid
interest-rate worries and concerns about high valuations, shares of
industry leaders such as Microsoft, IBM, Cisco and Intel, which are
all significant components of the index, held up well during the
period.
Q. BESIDES TECHNOLOGY, FINANCE AND UTILITIES ARE TWO OF THE LARGER
SECTORS FOR THE FUND AND THE INDEX. HOW DID THESE SECTORS PERFORM?
A. Financial stocks rebounded in the first and second quarters of 1999
following a global economic crisis in the fall of 1998. As the period
came to a close, however, the sector suffered a sharp drop in its
prices. One contributing factor was the widespread fear that the
economy was growing too fast and that the Federal Reserve would
continue to raise interest rates. In general, utility stocks provided
a positive contribution to the fund and the index. Most notably, the
demand for telecommunications services continued to grow at an
impressive rate. Bell Atlantic enjoyed a strong six months, and
despite some weakness late in the period, MCI WorldCom also
contributed to performance.
Q. YOU MENTIONED SOME STOCKS THAT HELPED THE FUND, WHICH STOCKS HURT
PERFORMANCE?
A. Large-cap health care stocks, such as Merck, Pfizer, American Home
Products and Eli Lilly, hurt fund performance. Shares of these
companies faltered in the second quarter and late in the period due to
nervousness over high valuations, a weakening product pipeline outlook
and the possibility that Medicare reform could lead to
government-sanctioned price controls. While most telephone utility
stocks held on to slight gains from earlier in the year, shares of
AT&T detracted from fund performance. Investors felt that the
company's recent acquisition binge could dilute future earnings.
Q. WHAT'S YOUR OUTLOOK?
A. I think it's likely that the current monetary squeeze will persist
over the next six months as the global economic recovery gathers steam
and the Fed acts to rein in domestic growth and potential inflation.
While the bull market is still intact and there are positive forces at
work - most notably the ongoing merger and acquisition boom and
productivity gains - there are some near-term hurdles for the market
to overcome. The deteriorating monetary environment, a cloudy earnings
outlook and lofty stock prices are causes for short-term concern.
THE VIEWS EXPRESSED IN THIS REPORT REFLECT THOSE OF BANKERS TRUST ONLY
THROUGH THE END OF THE PERIOD OF THE REPORT AS STATED ON THE COVER AND
DO NOT NECESSARILY REPRESENT THE VIEWS OF FIDELITY OR ANY OTHER PERSON
IN THE FIDELITY ORGANIZATION. ANY SUCH VIEWS ARE SUBJECT TO CHANGE AT
ANY TIME BASED UPON MARKET OR OTHER CONDITIONS AND FIDELITY DISCLAIMS
ANY RESPONSIBILITY TO UPDATE SUCH VIEWS. THESE VIEWS MAY NOT BE RELIED
ON AS INVESTMENT ADVICE AND, BECAUSE INVESTMENT DECISIONS FOR A
FIDELITY FUND ARE BASED ON NUMEROUS FACTORS, MAY NOT BE RELIED ON AS
AN INDICATION OF TRADING INTENT ON BEHALF OF ANY FIDELITY FUND.
NOTE TO SHAREHOLDERS: At a meeting held on September 15, 1999, and
re-convened on September 30, 1999, after the period covered in this
report, shareholders approved a new sub-advisory agreement among the
fund, Fidelity Management & Research Co., and Bankers Trust.
(checkmark) FUND FACTS
GOAL: total return that
corresponds to that of the
Standard & Poor's 500 Index
START DATE: February 17, 1988
SIZE: as of August 31, 1999,
more than $18.1 billion
SUB-ADVISER: Bankers Trust,
since 1997
DEAN BARR ON CHANGES TO
THE S&P 500:
"The S&P 500 is an index of 500
stocks chosen to be a representation
of the broader market. Periodically,
companies will be added or deleted
from the index. Usually, this is based
on such events as acquisitions,
spin-offs or shifts in asset size."
Here are some of the changes to
the index during the past
six months involving some
well-known companies:
(solid bullet) April 9, 1999: Aeroquip-Vickers,
Inc. was removed after it was
acquired by Eaton Corp., already a
component of the S&P 500, and
Aeroquip-Vickers was replaced
by Watson Pharmaceuticals.
(solid bullet) June 4, 1999: PaineWebber
Group, Inc. replaced Bankers Trust
Corp. in the index following the
acquisition of Bankers Trust by
Deutsche Bank.
(solid bullet) June 23, 1999: American Stores
was deleted from the index after
merging with S&P 500 component
Albertson's Inc. Office Depot, Inc.
replaced American Stores.
(solid bullet) July 21, 1999: QUALCOMM, Inc.
replaced Transamerica Corp. in
the index after Transamerica was
acquired by Aegon N.V.
(solid bullet) August 12, 1999: Raychem Corp.
was removed and replaced by
Lexmark International Group,
Inc. following the acquisition of
Raychem by S&P 500 component
Tyco International, LTD.
INVESTMENT CHANGES
<TABLE>
<CAPTION>
<S> <C> <C>
TOP TEN STOCKS AS OF AUGUST
31, 1999
% OF FUND'S NET ASSETS % OF FUND'S NET ASSETS IN
THESE STOCKS 6 MONTHS AGO
Microsoft Corp. 4.3 3.6
General Electric Co. 3.3 3.2
Intel Corp. 2.4 2.0
International Business 2.0 1.5
Machines Corp.
Cisco Systems, Inc. 2.0 1.5
Lucent Technologies, Inc. 1.8 1.3
Wal-Mart Stores, Inc. 1.8 1.9
Exxon Corp. 1.7 1.6
Merck & Co., Inc. 1.4 1.9
Citigroup, Inc. 1.4 1.3
TOP TEN MARKET SECTORS AS OF
AUGUST 31, 1999
% OF FUND'S NET ASSETS % OF FUND'S NET ASSETS IN
THESE MARKET SECTORS 6
MONTHS AGO
TECHNOLOGY 23.2 19.4
FINANCE 14.5 15.9
HEALTH 10.9 12.3
UTILITIES 10.6 11.1
NONDURABLES 7.5 8.3
ENERGY 6.4 5.0
RETAIL & WHOLESALE 5.8 6.5
INDUSTRIAL MACHINERY & 5.7 5.2
EQUIPMENT
MEDIA & LEISURE 4.3 4.8
BASIC INDUSTRIES 3.3 3.3
</TABLE>
PRIOR TO THIS REPORT, CERTAIN INFORMATION RELATED TO PORTFOLIO
HOLDINGS WAS STATED AS A PERCENTAGE OF THE FUND'S INVESTMENTS.
INVESTMENTS AUGUST 31, 1999 (UNAUDITED)
Showing Percentage of Net Assets
<TABLE>
<CAPTION>
<S> <C> <C> <C>
COMMON STOCKS - 98.3%
SHARES VALUE (NOTE 1) (000S)
AEROSPACE & DEFENSE - 1.8%
AEROSPACE & DEFENSE - 1.5%
AlliedSignal, Inc. 937,508 $ 57,422
Boeing Co. 1,616,904 73,266
Goodrich (B.F.) Co. 172,990 6,390
Lockheed Martin Corp. 663,834 24,562
Northrop Grumman Corp. 117,826 8,542
Rockwell International Corp. 306,897 18,145
Textron, Inc. 255,435 20,626
United Technologies Corp. 825,461 54,584
263,537
DEFENSE ELECTRONICS - 0.2%
Raytheon Co. Class B 546,907 37,258
SHIP BUILDING & REPAIR - 0.1%
General Dynamics Corp. 321,634 20,263
TOTAL AEROSPACE & DEFENSE 321,058
BASIC INDUSTRIES - 3.3%
CHEMICALS & PLASTICS - 1.6%
Air Products & Chemicals, 371,266 12,623
Inc.
Ashland, Inc. 96,692 3,729
Avery Dennison Corp. 188,552 10,347
Dow Chemical Co. 373,755 42,468
E.I. du Pont de Nemours and 1,555,429 98,575
Co.
Eastman Chemical Co. 128,306 5,958
Engelhard Corp. 212,480 4,236
FMC Corp. (a) 52,745 3,072
Great Lakes Chemical Corp. 95,645 3,939
Hercules, Inc. 177,602 5,783
Monsanto Co. 1,013,500 41,617
PPG Industries, Inc. 283,821 17,047
Praxair, Inc. 255,271 11,998
Rohm & Haas Co. 340,773 12,736
Sealed Air Corp. (a) 135,096 7,937
Union Carbide Corp. 228,707 13,008
W.R. Grace & Co. (a) 119,416 2,284
297,357
IRON & STEEL - 0.1%
Allegheny Teledyne, Inc. 302,482 5,653
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1) (000S)
BASIC INDUSTRIES - CONTINUED
IRON & STEEL - CONTINUED
Bethlehem Steel Corp. (a) 199,825 $ 1,536
Nucor Corp. 144,511 6,729
USX-U.S. Steel Group 162,428 4,386
Worthington Industries, Inc. 144,517 2,168
20,472
METALS & MINING - 0.4%
Alcan Aluminium Ltd. 382,650 12,588
Alcoa, Inc. 599,265 38,690
ASARCO, Inc. 67,802 1,415
Cyprus Amax Minerals Co. 209,677 3,551
Freeport-McMoRan Copper & 203,640 3,271
Gold, Inc. Class B
Inco Ltd. 224,607 4,613
Phelps Dodge Corp. 93,756 5,244
Reynolds Metals Co. 104,180 6,596
75,968
PACKAGING & CONTAINERS - 0.3%
Ball Corp. 47,777 2,147
Bemis Co., Inc. 71,154 2,699
Corning, Inc. 394,844 26,257
Crown Cork & Seal Co., Inc. 205,599 5,461
Owens-Illinois, Inc. (a) 241,848 5,986
Tupperware Corp. 93,114 2,101
44,651
PAPER & FOREST PRODUCTS - 0.9%
Boise Cascade Corp. 96,556 3,512
Champion International Corp. 161,764 8,897
Fort James Corp. 370,471 11,948
Georgia-Pacific Corp. 290,611 12,024
International Paper Co. 668,453 31,459
Kimberly-Clark Corp. 906,560 51,617
Louisiana-Pacific Corp. 203,030 3,756
Mead Corp. 166,077 6,197
Potlatch Corp. 47,582 1,838
Temple-Inland, Inc. 90,699 5,623
Westvaco Corp. 148,050 3,877
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1) (000S)
BASIC INDUSTRIES - CONTINUED
PAPER & FOREST PRODUCTS -
CONTINUED
Weyerhaeuser Co. 324,926 $ 18,277
Willamette Industries, Inc. 167,456 6,635
165,660
TOTAL BASIC INDUSTRIES 604,108
CONSTRUCTION & REAL ESTATE -
0.3%
BUILDING MATERIALS - 0.3%
Armstrong World Industries, 65,499 3,181
Inc.
Crane Co. 105,542 2,540
Fortune Brands, Inc. 285,472 10,705
Masco Corp. 550,276 15,580
Owens-Corning 88,900 2,500
Sherwin-Williams Co. 279,760 6,819
Vulcan Materials Co. 166,800 7,110
48,435
CONSTRUCTION - 0.0%
Centex Corp. 97,492 2,742
Fleetwood Enterprises, Inc. 56,332 1,148
Kaufman & Broad Home Corp. 74,288 1,518
Pulte Corp. 70,825 1,638
7,046
ENGINEERING - 0.0%
EG & G, Inc. 73,362 2,334
Fluor Corp. 121,803 5,040
Foster Wheeler Corp. 74,279 961
8,335
TOTAL CONSTRUCTION & REAL 63,816
ESTATE
DURABLES - 2.4%
AUTOS, TIRES, & ACCESSORIES -
1.6%
AutoZone, Inc. (a) 241,578 5,753
Cooper Tire & Rubber Co. 144,878 2,753
Cummins Engine Co., Inc. 62,722 3,716
Dana Corp. 274,601 11,962
Danaher Corp. 213,210 12,526
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1) (000S)
DURABLES - CONTINUED
AUTOS, TIRES, & ACCESSORIES -
CONTINUED
Delphi Automotive Systems 949,377 $ 17,801
Corp.
Eaton Corp. 121,428 11,900
Ford Motor Co. 2,029,908 105,809
General Motors Corp. 1,058,370 69,985
Genuine Parts Co. 291,070 8,405
Goodyear Tire & Rubber Co. 252,350 14,163
Johnson Controls, Inc. 133,163 9,105
NACCO Industries, Inc. Class A 10,033 781
Navistar International Corp. 102,808 4,999
(a)
PACCAR, Inc. 127,326 7,019
Pep Boys-Manny, Moe & Jack 86,521 1,260
TRW, Inc. 204,788 11,161
299,098
CONSUMER DURABLES - 0.4%
Minnesota Mining & 656,097 62,001
Manufacturing Co.
Snap-On, Inc. 102,791 3,476
65,477
CONSUMER ELECTRONICS - 0.1%
Black & Decker Corp. 150,651 7,928
Maytag Corp. 148,160 9,279
Whirlpool Corp. 113,211 8,003
25,210
HOME FURNISHINGS - 0.1%
Newell Rubbermaid, Inc. 464,470 19,043
TEXTILES & APPAREL - 0.2%
Fruit of The Loom Ltd. Class 116,397 815
A (a)
Liz Claiborne, Inc. 100,569 3,696
NIKE, Inc. Class B 461,183 21,330
Reebok International Ltd. (a) 89,655 1,059
Russell Corp. 58,411 978
Springs Industries, Inc. 18,171 683
Class A
VF Corp. 190,031 6,841
35,402
TOTAL DURABLES 444,230
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1) (000S)
ENERGY - 6.4%
ENERGY SERVICES - 0.7%
Baker Hughes, Inc. 528,757 $ 17,978
Halliburton Co. 712,189 33,028
Helmerich & Payne, Inc. 80,833 2,228
McDermott International, Inc. 92,010 2,076
Rowan Companies, Inc. (a) 135,209 2,518
Schlumberger Ltd. 938,854 62,669
120,497
OIL & GAS - 5.7%
Amerada Hess Corp. 162,474 10,084
Anadarko Petroleum Corp. 205,785 6,997
Apache Corp. 162,173 7,379
Atlantic Richfield Co. 527,802 46,414
Burlington Resources, Inc. 304,412 12,728
Chevron Corp. 1,056,317 97,445
Coastal Corp. (The) 351,017 15,203
Conoco, Inc. Class B 1,096,147 29,459
Exxon Corp. 3,962,147 312,514
Kerr-McGee Corp. 141,406 7,919
Mobil Corp. 1,299,539 133,040
Occidental Petroleum Corp. 564,940 12,252
Phillips Petroleum Co. 411,439 20,983
Royal Dutch Petroleum Co. (NY 3,598,654 222,667
Registry Gilder 1.25)
Sunoco, Inc. 132,458 4,313
Texaco, Inc. 910,128 57,793
Union Pacific Resources 408,541 7,328
Group, Inc.
Unocal Corp. 393,858 16,493
USX-Marathon Group 516,693 16,082
1,037,093
TOTAL ENERGY 1,157,590
FINANCE - 14.5%
BANKS - 5.9%
AmSouth Bancorp. 288,454 6,310
Bank of America Corp. 2,880,603 174,276
Bank of New York Co., Inc. 1,242,303 44,412
Bank One Corp. 1,971,731 79,116
BankBoston Corp. 479,380 22,261
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1) (000S)
FINANCE - CONTINUED
BANKS - CONTINUED
BB&T Corp. 440,121 $ 14,744
Capital One Financial Corp. 352,753 13,316
Chase Manhattan Corp. 1,367,796 114,467
Comerica, Inc. 253,989 13,223
Fifth Third Bancorp 473,305 31,356
First Union Corp. 1,636,402 67,911
Firstar Corp. 1,161,416 31,140
Huntington Bancshares, Inc. 374,788 11,220
J.P. Morgan & Co., Inc. 283,297 36,598
KeyCorp 736,043 21,345
Mellon Bank Corp. 856,982 28,602
Mercantile Bancorp, Inc. 235,162 12,978
National City Corp. 1,055,450 29,157
Northern Trust Corp. 179,556 15,229
PNC Financial Corp. 495,111 25,900
Regions Financial Corp. 348,014 12,289
Republic of New York Corp. 173,467 12,034
SouthTrust Corp. 306,084 10,809
State Street Corp. 259,132 15,516
Summit Bancorp 280,693 9,368
SunTrust Banks, Inc. 519,568 33,415
Synovus Finanical Corp. 382,771 7,225
U.S. Bancorp 1,267,262 39,127
Union Planters Corp. 212,527 8,966
Wachovia Corp. 323,100 25,323
Wells Fargo & Co. 2,802,893 111,590
1,079,223
CREDIT & OTHER FINANCE - 2.8%
American Express Co. 731,852 100,630
Associates First Capital 1,229,653 42,192
Corp. Class A
Citigroup, Inc. 5,557,552 246,964
Countrywide Credit 180,501 5,799
Industries, Inc.
Fleet Financial Group, Inc. 918,984 36,587
Household International, Inc. 842,361 31,799
MBNA Corp. 1,296,582 32,009
Providian Financial Corp. 240,781 18,691
514,671
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1) (000S)
FINANCE - CONTINUED
FEDERAL SPONSORED CREDIT - 1.0%
Fannie Mae 1,700,985 $ 105,674
Freddie Mac 1,107,969 57,060
SLM Holding Corp. 317,273 14,020
176,754
INSURANCE - 3.3%
Aetna, Inc. 240,555 18,703
AFLAC, Inc. 453,613 20,384
Allstate Corp. 1,377,794 45,209
American General Corp. 408,769 29,023
American International Group, 2,525,055 234,041
Inc.
Aon Corp. 412,566 13,769
Chubb Corp. (The) 334,047 19,103
CIGNA Corp. 350,949 31,520
Cincinnati Financial Corp. 250,978 9,945
Conseco, Inc. 518,116 12,435
Hartford Financial Services 374,478 17,015
Group, Inc.
Jefferson-Pilot Corp. 172,302 11,501
Lincoln National Corp. 332,383 15,580
Loews Corp. 173,060 13,585
Marsh & McLennan Companies, 423,077 30,805
Inc.
MBIA, Inc. 160,633 8,333
MGIC Investment Corp. 177,088 7,692
Progressive Corp. 120,438 12,285
SAFECO Corp. 220,421 7,852
St. Paul Companies, Inc. (The) 380,297 12,193
Torchmark Corp. 215,883 6,153
UnumProvident Corp. 374,000 13,487
590,613
SAVINGS & LOANS - 0.2%
Golden West Financial Corp. 92,507 8,401
Washington Mutual, Inc. 986,595 31,324
39,725
SECURITIES INDUSTRY - 1.3%
Bear Stearns Companies, Inc. 181,332 7,548
Franklin Resources, Inc. 417,578 15,007
Kansas City Southern 182,953 8,473
Industries, Inc.
Lehman Brothers Holdings, 194,172 10,437
Inc.
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1) (000S)
FINANCE - CONTINUED
SECURITIES INDUSTRY - CONTINUED
Merrill Lynch & Co., Inc. 584,928 $ 43,650
Morgan Stanley Dean Witter & 934,088 80,156
Co.
PaineWebber Group, Inc. 234,935 9,221
Schwab (Charles) Corp. 1,312,566 51,846
226,338
TOTAL FINANCE 2,627,324
HEALTH - 10.9%
DRUGS & PHARMACEUTICALS - 7.3%
Allergan, Inc. 114,130 11,399
ALZA Corp. Class A. (a) 163,082 8,215
American Home Products Corp. 2,153,638 89,376
Amgen, Inc. (a) 882,466 73,410
Bausch & Lomb, Inc. 86,300 5,701
Bristol-Myers Squibb Co. 3,233,442 227,553
Lilly (Eli) & Co. 1,778,376 132,711
Merck & Co., Inc. 3,852,505 258,840
Pfizer, Inc. 6,435,042 242,923
Pharmacia & Upjohn, Inc. 860,038 44,937
Schering-Plough Corp. 2,461,179 129,366
Sigma-Aldrich Corp. 162,946 5,255
Warner-Lambert Co. 1,374,608 91,069
Watson Pharmaceuticals, Inc. 150,519 5,401
(a)
1,326,156
MEDICAL EQUIPMENT & SUPPLIES
- - 3.2%
Abbott Laboratories 2,556,123 110,872
Bard (C.R.), Inc. 86,992 4,056
Baxter International, Inc. 463,780 31,102
Becton, Dickinson & Co. 417,584 11,745
Biomet, Inc. 181,889 6,503
Boston Scientific Corp. (a) 635,637 21,572
Cardinal Health, Inc. 473,853 30,208
Guidant Corp. 511,187 30,000
Johnson & Johnson 2,219,905 226,985
Mallinckrodt, Inc. 115,673 3,709
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1) (000S)
HEALTH - CONTINUED
MEDICAL EQUIPMENT & SUPPLIES
- - CONTINUED
McKesson HBOC, Inc. 457,509 $ 14,240
Medtronic, Inc. 955,287 74,751
Millipore Corp. 70,344 2,655
Pall Corp. 201,399 4,003
St. Jude Medical, Inc. (a) 121,387 4,400
U.S. Surgical Corp. rights 289 0
6/30/00 (a)
576,801
MEDICAL FACILITIES MANAGEMENT
- - 0.4%
Columbia/HCA Healthcare Corp. 983,835 24,227
HCR Manor Care, Inc. (a) 175,855 3,440
HEALTHSOUTH Corp. (a) 684,678 5,606
Humana, Inc. (a) 269,690 2,444
Tenet Healthcare Corp. (a) 495,660 8,643
United HealthCare Corp. 309,918 18,847
Wellpoint Health Networks, 108,555 7,911
Inc. (a)
71,118
TOTAL HEALTH 1,974,075
INDUSTRIAL MACHINERY &
EQUIPMENT - 5.7%
ELECTRICAL EQUIPMENT - 3.9%
Emerson Electric Co. 723,363 45,301
General Electric Co. 5,379,450 604,179
General Instrument Corp. (a) 259,280 12,753
Grainger (W.W.), Inc. 153,864 6,703
Harris Corp. 143,965 3,779
Honeywell, Inc. 223,677 25,387
Scientific-Atlanta, Inc. 122,194 6,262
Thomas & Betts Corp. 90,728 4,083
708,447
INDUSTRIAL MACHINERY &
EQUIPMENT - 1.7%
Briggs & Stratton Corp. 38,199 2,325
Case Corp. 138,474 6,837
Caterpillar, Inc. 580,372 32,864
Cooper Industries, Inc. 152,684 7,920
Deere & Co. 383,964 14,927
Dover Corp. 405,193 15,676
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1) (000S)
INDUSTRIAL MACHINERY &
EQUIPMENT - CONTINUED
INDUSTRIAL MACHINERY &
EQUIPMENT - CONTINUED
Illinois Tool Works, Inc. 423,132 $ 32,978
Ingersoll-Rand Co. 266,684 16,968
ITT Industries, Inc. 147,586 4,990
Milacron, Inc. 50,755 914
Parker-Hannifin Corp. 177,770 7,777
The Stanley Works 139,988 3,692
Tenneco, Inc. 275,871 5,552
Timken Co. 90,477 1,589
Tyco International Ltd. 1,431,706 145,050
300,059
POLLUTION CONTROL - 0.1%
Allied Waste Industries, Inc. 285,400 3,639
(a)
Waste Management, Inc. 967,015 21,093
24,732
TOTAL INDUSTRIAL MACHINERY & 1,033,238
EQUIPMENT
MEDIA & LEISURE - 4.3%
BROADCASTING - 1.7%
CBS Corp. (a) 1,142,802 53,712
Clear Channel Communications, 570,103 39,943
Inc. (a)
Comcast Corp. Class A 1,197,235 39,060
(special)
MediaOne Group, Inc. 1,008,437 66,305
Time Warner, Inc. 1,975,530 117,174
316,194
ENTERTAINMENT - 1.1%
Carnival Corp. 1,005,906 44,951
Disney (Walt) Co. 3,389,200 94,050
King World Productions, Inc. 156,328 5,960
(a)
Viacom, Inc. Class B 1,125,649 47,348
(non-vtg.) (a)
192,309
LEISURE DURABLES & TOYS - 0.2%
Brunswick Corp. 148,527 3,797
Hasbro, Inc. 362,109 8,849
Mattel, Inc. 673,785 14,360
27,006
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1) (000S)
MEDIA & LEISURE - CONTINUED
LODGING & GAMING - 0.1%
Harrah's Entertainment, Inc. 195,563 $ 4,400
(a)
Hilton Hotels Corp. 421,680 5,166
Marriott International, Inc. 392,630 13,448
Class A
Mirage Resorts, Inc. (a) 304,665 3,980
26,994
PUBLISHING - 0.6%
American Greetings Corp. 114,689 3,175
Class A
Dow Jones & Co., Inc. 122,958 6,179
Gannet, Inc. 455,980 30,978
Harcourt General, Inc. 99,146 4,344
Knight-Ridder, Inc. 140,525 7,580
McGraw-Hill Companies, Inc. 319,177 16,497
Meredith Corp. 85,168 2,954
New York Times Co. (The) 301,689 11,785
Class A
Times Mirror Co. Class A 134,675 7,777
Tribune Co. 193,110 18,020
109,289
RESTAURANTS - 0.6%
Darden Restaurants, Inc. 222,702 3,480
McDonald's Corp. 2,266,077 93,759
Tricon Global Restaurants, 246,597 10,018
Inc. (a)
Wendy's International, Inc. 201,164 5,633
112,890
TOTAL MEDIA & LEISURE 784,682
NONDURABLES - 7.5%
AGRICULTURE - 0.1%
Pioneer Hi-Bred 387,236 15,151
International, Inc.
BEVERAGES - 2.5%
Anheuser-Busch Companies, 816,564 62,875
Inc.
Brown-Forman Corp. Class B 77,909 4,577
Coca-Cola Co. (The) 4,097,174 245,062
Coca-Cola Enterprises, Inc. 636,673 18,105
Coors (Adolph) Co. Class B 59,165 3,376
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1) (000S)
NONDURABLES - CONTINUED
BEVERAGES - CONTINUED
PepsiCo, Inc. 2,377,939 $ 81,147
Seagram Co. Ltd. 713,704 37,897
453,039
FOODS - 1.5%
Archer-Daniels-Midland Co. 1,090,582 14,178
Bestfoods 493,841 24,260
Campbell Soup Co. 721,372 31,876
ConAgra, Inc. 786,707 19,274
General Mills, Inc. 255,838 21,426
Heinz (H.J.) Co. 607,408 28,358
Hershey Foods Corp. 211,891 11,349
Kellogg Co. 681,775 24,246
Nabisco Group Holdings Corp. 614,645 10,910
Quaker Oats Co. 223,080 14,905
Ralston Purina Co. 480,177 13,205
Sara Lee Corp. 1,473,659 32,697
Sysco Corp. 538,355 17,564
Wrigley (Wm.) Jr. Co. 201,185 15,755
280,003
HOUSEHOLD PRODUCTS - 2.5%
Alberto-Culver Co. Class B 69,041 1,756
Avon Products, Inc. 454,710 19,950
Clorox Co. 433,722 19,626
Colgate-Palmolive Co. 990,356 52,984
Gillette Co. 1,854,191 86,452
International Flavors & 165,782 6,756
Fragrances, Inc.
Procter & Gamble Co. 2,157,747 214,156
Unilever NV NY Shares 900,202 62,001
463,681
TOBACCO - 0.9%
Philip Morris Companies, Inc. 3,975,378 148,828
UST, Inc. 328,948 10,424
159,252
TOTAL NONDURABLES 1,371,126
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1) (000S)
PRECIOUS METALS - 0.2%
Barrick Gold Corp. 685,543 $ 13,229
Homestake Mining Co. 379,736 3,228
Newmont Mining Corp. 303,062 6,194
Placer Dome, Inc. 545,819 5,668
28,319
RETAIL & WHOLESALE - 5.8%
APPAREL STORES - 0.5%
Gap, Inc. 1,384,191 54,156
Limited, Inc. (The) 360,875 13,668
TJX Companies, Inc. 515,467 14,884
82,708
DRUG STORES - 0.4%
CVS Corp. 629,192 26,229
Longs Drug Stores Corp. 65,870 2,071
Rite Aid Corp. 556,889 10,302
Walgreen Co. 1,601,352 37,131
75,733
GENERAL MERCHANDISE STORES -
2.7%
Consolidated Stores Corp. (a) 183,251 2,955
Dayton Hudson Corp. 720,009 41,761
Dillards, Inc. Class A 167,545 3,937
Dollar General Corp. 424,257 11,031
Federated Department Stores, 338,996 15,594
Inc. (a)
K mart Corp. (a) 796,588 10,007
Kohls Corp. (a) 255,973 18,238
May Department Stores Co. 554,734 21,669
(The)
Nordstrom, Inc. 238,086 6,741
Penney (J.C.) Co., Inc. 429,614 15,574
Sears, Roebuck & Co. 619,537 23,233
Wal-Mart Stores, Inc. 7,278,427 322,525
493,265
GROCERY STORES - 0.6%
Albertson's, Inc. 725,679 34,787
Great Atlantic & Pacific Tea, 61,833 2,172
Inc.
Kroger Co. (a) 1,329,733 30,750
Safeway, Inc. (a) 843,538 39,277
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1) (000S)
RETAIL & WHOLESALE - CONTINUED
GROCERY STORES - CONTINUED
SUPERVALU, Inc. 188,329 $ 4,237
Winn-Dixie Stores, Inc. 217,299 7,388
118,611
RETAIL & WHOLESALE,
MISCELLANEOUS - 1.6%
Best Buy Co., Inc. (a) 332,569 23,363
Circuit City Stores, Inc. - 346,714 14,909
Circuit City Group
Costco Wholesale Corp. 379,120 28,339
Home Depot, Inc. 2,468,293 150,874
IKON Office Solutions, Inc. 207,753 2,311
Lowe's Companies, Inc. 620,371 28,072
Office Depot, Inc. (a) 602,058 6,284
Staples, Inc. (a) 812,616 17,674
Tandy Corp. 320,076 15,124
Toys R Us, Inc. (a) 419,242 5,791
292,741
TOTAL RETAIL & WHOLESALE 1,063,058
SERVICES - 0.6%
ADVERTISING - 0.2%
Interpublic Group of 426,024 16,881
Companies, Inc.
Omnicom Group, Inc. 272,810 20,563
37,444
LEASING & RENTAL - 0.0%
Ryder Systems, Inc. 130,160 2,872
PRINTING - 0.1%
Deluxe Corp. 133,504 4,547
Donnelley (R.R.) & Sons Co. 218,525 6,856
11,403
SERVICES - 0.3%
Block (H&R), Inc. 186,206 10,358
Cendant Corp. (a) 1,130,221 20,273
Dun & Bradstreet Corp. 276,574 7,243
Ecolab, Inc. 188,897 7,095
Jostens, Inc. 49,204 990
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1) (000S)
SERVICES - CONTINUED
SERVICES - CONTINUED
National Service Industries, 79,814 $ 2,554
Inc.
Service Corp. International 478,464 6,609
55,122
TOTAL SERVICES 106,841
TECHNOLOGY - 23.2%
COMMUNICATIONS EQUIPMENT - 4.6%
3Com Corp. (a) 577,774 14,336
ADC Telecommunications, Inc. 220,400 8,169
(a)
Andrew Corp. (a) 134,421 2,352
Cabletron Systems, Inc. (a) 336,481 5,657
Cisco Systems, Inc. (a) 5,238,455 355,233
Lucent Technologies, Inc. 5,035,611 322,594
Northern Telecom Ltd. 2,196,272 90,500
Tellabs, Inc. (a) 648,178 38,607
837,448
COMPUTER SERVICES & SOFTWARE
- - 9.5%
Adobe Systems, Inc. 98,422 9,805
America Online, Inc. (a) 1,778,791 162,426
Autodesk, Inc. 95,036 2,186
Automatic Data Processing, 996,196 39,163
Inc.
BMC Software, Inc. (a) 412,941 22,221
Ceridian Corp. (a) 219,471 6,145
Computer Associates 868,095 49,047
International, Inc.
Computer Sciences Corp. (a) 256,842 17,770
Compuware Corp. (a) 594,242 17,939
Electronic Data Systems Corp. 833,628 46,787
Equifax, Inc. 231,764 7,069
First Data Corp. 725,426 31,919
IMS Health, Inc. 543,552 15,016
International Business 2,975,776 370,670
Machines Corp.
Microsoft Corp. (a) 8,395,672 777,124
Novell, Inc. (a) 583,248 13,816
Oracle Corp. (a) 2,398,200 87,534
Parametric Technology Corp. 467,053 6,539
(a)
Paychex, Inc. 437,264 12,872
PeopleSoft, Inc. 425,252 6,007
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1) (000S)
TECHNOLOGY - CONTINUED
COMPUTER SERVICES & SOFTWARE
- - CONTINUED
Shared Medical Systems Corp. 43,049 $ 2,419
Unisys Corp. (a) 411,026 17,674
1,722,148
COMPUTERS & OFFICE EQUIPMENT
- - 4.5%
Apple Computer, Inc. (a) 225,234 14,697
Compaq Computer Corp. 2,722,799 63,135
Data General Corp. (a) 73,404 1,353
Dell Computer Corp. (a) 4,201,670 205,094
EMC Corp. (a) 1,673,817 100,429
Gateway, Inc. (a) 246,959 23,940
Hewlett-Packard Co. 1,673,707 176,367
Lexmark International Group, 214,500 16,892
Inc. Class A (a)
Network Appliance, Inc. (a) 119,500 7,850
Pitney Bowes, Inc. 440,958 26,017
Seagate Technology, Inc. (a) 394,306 13,086
Silicon Graphics, Inc. (a) 302,288 3,457
Sun Microsystems, Inc. (a) 1,283,434 102,033
Xerox Corp. 1,135,866 54,238
808,588
ELECTRONIC INSTRUMENTS - 0.4%
Applied Materials, Inc. (a) 597,119 42,433
KLA-Tencor Corp. (a) 170,630 10,718
PE Corp. (Biosystems Group) 176,730 12,161
Tektronix, Inc. 73,724 2,451
Thermo Electron Corp. (a) 232,386 3,689
71,452
ELECTRONICS - 4.0%
Advanced Micro Devices, Inc. 232,537 4,811
(a)
Intel Corp. 5,439,104 447,026
LSI Logic Corp. (a) 208,841 11,852
Micron Technology, Inc. (a) 395,038 29,455
Motorola, Inc. 999,409 92,195
National Semiconductor Corp. 269,761 7,604
(a)
Solectron Corp. (a) 435,578 34,084
Texas Instruments, Inc. 1,274,018 104,549
731,576
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1) (000S)
TECHNOLOGY - CONTINUED
PHOTOGRAPHIC EQUIPMENT - 0.2%
Eastman Kodak Co. 526,989 $ 38,701
Polaroid Corp. 84,153 2,283
40,984
TOTAL TECHNOLOGY 4,212,196
TRANSPORTATION - 0.8%
AIR TRANSPORTATION - 0.3%
AMR Corp. (a) 248,238 14,553
Delta Air Lines, Inc. 237,062 12,046
Southwest Airlines Co. 811,165 13,536
US Airways Group, Inc. (a) 137,555 4,238
44,373
RAILROADS - 0.4%
Burlington Northern Santa Fe 830,891 24,096
Corp.
CSX Corp. 351,923 15,375
Norfolk Southern Corp. 595,690 15,600
Union Pacific Corp. 427,219 20,800
75,871
TRUCKING & FREIGHT - 0.1%
FDX Corp. (a) 481,598 20,438
Laidlaw, Inc. 475,151 2,993
23,431
TOTAL TRANSPORTATION 143,675
UTILITIES - 10.6%
CELLULAR - 0.8%
ALLTEL Corp. 473,550 32,024
Nextel Communications, Inc. 507,378 29,333
Class A (a)
QUALCOMM, Inc. 255,000 49,008
Sprint Corp. Series 1 (PCS 708,195 42,315
Group)
152,680
ELECTRIC UTILITY - 2.1%
AES Corp. (a) 356,337 21,625
Ameren Corp. 206,739 8,282
American Electric Power Co., 313,636 11,389
Inc.
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1) (000S)
UTILITIES - CONTINUED
ELECTRIC UTILITY - CONTINUED
Carolina Power & Light Co. 206,275 $ 7,503
Central & South West Corp. 344,180 7,787
Cinergy Corp. 247,915 7,530
CMS Energy Corp. 189,769 7,508
Consolidated Edison, Inc. 378,157 16,639
Constellation Energy Corp. 226,931 6,723
Dominion Resources, Inc. 349,574 16,168
DTE Energy Co. 234,742 9,258
Duke Energy Corp. 586,919 33,748
Edison International 570,626 14,480
Entergy Corp. 430,507 12,834
FirstEnergy Corp. 342,466 9,782
Florida Progress Corp. 167,024 7,829
FPL Group, Inc. 296,544 16,013
GPU, Inc. 170,957 5,834
New Century Energies, Inc. 167,263 6,042
Niagara Mohawk Holdings, Inc. 208,078 3,147
(a)
Northern States Power Co. 185,468 4,370
PacifiCorp 529,073 10,813
PECO Energy Co. 366,096 14,873
PG&E Corp. 703,524 21,326
PP&L Resources, Inc. 214,148 5,996
Public Service Enterprise 362,024 14,843
Group, Inc.
Reliant Energy, Inc. 539,734 14,944
Southern Co. 1,215,767 32,902
Texas Utilities Co. 457,242 18,490
Unicom Corp. 351,312 13,569
382,247
GAS - 0.7%
Columbia Energy Group 135,641 8,011
Consolidated Natural Gas Co. 160,722 10,236
Eastern Enterprises Co. 46,386 2,084
Enron Corp. 1,142,678 47,850
NICOR, Inc. 97,517 3,773
ONEOK, Inc. 48,207 1,497
Peoples Energy Corp. 63,062 2,298
Sempra Energy 349,813 7,805
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1) (000S)
UTILITIES - CONTINUED
GAS - CONTINUED
Sonat, Inc. 176,127 $ 6,363
Williams Companies, Inc. 720,093 29,704
119,621
TELEPHONE SERVICES - 7.0%
Ameritech Corp. 1,777,335 112,194
AT&T Corp. 5,273,443 237,305
Bell Atlantic Corp. 2,510,916 153,794
BellSouth Corp. 3,064,140 138,652
CenturyTel, Inc. 223,169 8,773
Frontier Corp. 309,908 12,997
GTE Corp. 1,560,876 107,115
MCI WorldCom, Inc. (a) 3,090,723 234,122
SBC Communications, Inc. 3,274,614 157,181
Sprint Corp. (FON Group) 1,480,433 65,694
U.S. WEST, Inc. 850,535 44,440
1,272,267
TOTAL UTILITIES 1,926,815
TOTAL COMMON STOCKS 17,862,151
(Cost $10,454,537)
U.S. TREASURY OBLIGATIONS -
1.5%
PRINCIPAL AMOUNT (000S)
U.S. Treasury Bills, yield at $ 279,366 276,780
date of purchase 4.37% to
4.94% 9/9/99 to 12/9/99 (c)
(Cost $276,777)
CASH EQUIVALENTS - 7.8%
SHARES VALUE (NOTE 1) (000S)
Bankers Trust Institutional 1,409,409,585 $ 1,409,410
Daily Asset Fund, 5.28% (b)
(Cost $1,409,410)
TOTAL INVESTMENT PORTFOLIO - 19,548,341
107.6% (Cost $12,140,724)
NET OTHER ASSETS - (7.6%) (1,379,773)
NET ASSETS - 100% $ 18,168,568
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C>
FUTURES CONTRACTS
EXPIRATION DATE UNDERLYING FACE AMOUNT (000S) UNREALIZED GAIN/(LOSS) (000S)
PURCHASED
904 S&P 500 Stock Index Sept. 1999 $ 298,275 $ (1,316)
Contracts
</TABLE>
THE FACE VALUE OF FUTURES PURCHASED AS A PERCENTAGE OF NET ASSETS -
1.6%
LEGEND
(a) Non-income producing
(b) The rate quoted is the annualized daily yield of the fund at
period end.
(c) 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 $21,005,000.
INCOME TAX INFORMATION
At August 31, 1999, the aggregate cost of investment securities for
income tax purposes was $12,176,215,000. Net unrealized appreciation
aggregated $7,372,126,000, of which $7,941,361,000 related to
appreciated investment securities and $569,235,000 related to
depreciated investment securities.
FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
AMOUNTS IN THOUSANDS (EXCEPT
PER-SHARE AMOUNTS) AUGUST
31, 1999 (UNAUDITED)
ASSETS
Investment in securities, at $ 19,548,341
value (cost $12,140,724) -
See accompanying schedule
Receivable for investments 953
sold
Receivable for fund shares 28,170
sold
Dividends receivable 25,345
Interest receivable 256
Other receivables 30
TOTAL ASSETS 19,603,095
LIABILITIES
Payable to custodian bank $ 519
Payable for fund shares 19,635
redeemed
Accrued management fee 736
Payable for daily variation 1,416
on futures contracts
Other payables and accrued 2,811
expenses
Collateral on securities 1,409,410
loaned, at value
TOTAL LIABILITIES 1,434,527
NET ASSETS $ 18,168,568
Net Assets consist of:
Paid in capital $ 10,666,912
Undistributed net investment 41,700
income
Accumulated undistributed net 53,656
realized gain (loss) on
investments and foreign
currency transactions
Net unrealized appreciation 7,406,300
(depreciation) on
investments and assets and
liabilities in foreign
currencies
NET ASSETS, for 385,788 $ 18,168,568
shares outstanding
NET ASSET VALUE, offering $47.09
price and redemption price
per share ($18,168,568
(divided by) 385,788 shares)
STATEMENT OF OPERATIONS
AMOUNTS IN THOUSANDS SIX
MONTHS ENDED AUGUST 31, 1999
(UNAUDITED)
INVESTMENT INCOME $ 117,288
Dividends
Interest 5,651
Security lending 1,491
TOTAL INCOME 124,430
EXPENSES
Management fee and $ 22,052
sub-advisory fee
Transfer agent fees 12,290
Accounting fees 530
Non-interested trustees' 33
compensation
Registration fees 551
Audit 68
Legal 11
Interest 34
Total expenses before 35,569
reductions
Expense reductions (18,791) 16,778
NET INVESTMENT INCOME 107,652
REALIZED AND UNREALIZED GAIN
(LOSS)
Net realized gain (loss) on:
Investment securities 75,817
Futures contracts 22,880 98,697
Change in net unrealized
appreciation (depreciation)
on:
Investment securities 935,625
Assets and liabilities in (1)
foreign currencies
Futures contracts (9,506) 926,118
NET GAIN (LOSS) 1,024,815
NET INCREASE (DECREASE) IN $ 1,132,467
NET ASSETS RESULTING FROM
OPERATIONS
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
<S> <C> <C>
AMOUNTS IN THOUSANDS SIX MONTHS ENDED AUGUST 31, YEAR ENDED FEBRUARY 28, 1999
1999 (UNAUDITED)
INCREASE (DECREASE) IN NET
ASSETS
Operations Net investment $ 107,652 $ 173,810
income
Net realized gain (loss) 98,697 21,390
Change in net unrealized 926,118 2,116,567
appreciation (depreciation)
NET INCREASE (DECREASE) IN 1,132,467 2,311,767
NET ASSETS RESULTING FROM
OPERATIONS
Distributions to shareholders (98,554) (168,721)
From net investment income
From net realized gain (46,966) (103,340)
TOTAL DISTRIBUTIONS (145,520) (272,061)
Share transactions Net 4,074,978 7,293,000
proceeds from sales of shares
Reinvestment of distributions 143,513 268,490
Cost of shares redeemed (2,802,558) (5,012,488)
NET INCREASE (DECREASE) IN 1,415,933 2,549,002
NET ASSETS RESULTING FROM
SHARE TRANSACTIONS
TOTAL INCREASE (DECREASE) 2,402,880 4,588,708
IN NET ASSETS
NET ASSETS
Beginning of period 15,765,688 11,176,980
End of period (including $ 18,168,568 $ 15,765,688
undistributed net investment
income of $41,700 and
$32,602, respectively)
OTHER INFORMATION
Shares
Sold 86,011 179,538
Issued in reinvestment of 3,112 6,834
distributions
Redeemed (59,187) (125,415)
Net increase (decrease) 29,936 60,957
</TABLE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C>
SIX MONTHS ENDED AUGUST 31, YEARS ENDED FEBRUARY 28,
1999
(UNAUDITED) 1999 1998 1997 1996 G 1995
SELECTED PER-SHARE DATA
Net asset value, beginning of $ 44.30 $ 37.90 $ 28.85 $ 23.56 $ 18.02 $ 17.36
period
Income from Invest- ment
Operations
Net investment income .29 D .53 D .55 D .51 D .48 .43
Net realized and unrealized 2.90 6.74 9.29 5.47 5.63 .77
gain (loss)
Total from invest- ment 3.19 7.27 9.84 5.98 6.11 1.20
operations
Less Distributions
From net investment income (.27) (.53) (.54) (.49) (.46) (.43)
From net realized gain (.13) (.34) (.25) (.20) (.11) (.07)
In excess of net realized gain - - - - - (.04)
Total distributions (.40) (.87) (.79) (.69) (.57) (.54)
Net asset value, end of $ 47.09 $ 44.30 $ 37.90 $ 28.85 $ 23.56 $ 18.02
period
TOTAL RETURN B, C 7.22% 19.50% 34.65% 25.87% 34.37% 7.17%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period $ 18,169 $ 15,766 $ 11,177 $ 6,487 $ 4,113 $ 2,235
(in millions)
Ratio of expenses to average .20% A, E .19% E .20% E .28% E .28% E .28% E
net assets
Ratio of expenses to average .19% A, F .18% F .19% F .26% F .25% F .28%
net assets after expense
reductions
Ratio of net invest- ment 1.20% A 1.33% 1.66% 2.00% 2.34% 2.65%
income to average net assets
Portfolio turnover rate 3% A 4% 2% 3% 1% 11%
</TABLE>
A ANNUALIZED
B TOTAL RETURNS FOR PERIODS OF LESS THAN ONE YEAR ARE NOT ANNUALIZED.
C THE TOTAL RETURNS WOULD HAVE BEEN LOWER HAD CERTAIN EXPENSES NOT
BEEN REDUCED DURING THE PERIODS SHOWN.
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.
F FMR OR THE FUND HAS ENTERED INTO VARYING ARRANGEMENTS WITH THIRD
PARTIES WHO EITHER PAID OR REDUCED A PORTION OF THE FUND'S EXPENSES.
G FOR THE YEAR ENDED FEBRUARY 29
NOTES TO FINANCIAL STATEMENTS
For the period ended August 31, 1999 (Unaudited)
1. SIGNIFICANT ACCOUNTING POLICIES.
Spartan U.S. Equity Index (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, 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 require 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
and settlement date 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
1. SIGNIFICANT ACCOUNTING POLICIES - CONTINUED
INVESTMENT INCOME - CONTINUED
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.
DEFERRED TRUSTEE COMPENSATION. Under a Deferred Compensation Plan (the
Plan) non-interested Trustees must defer receipt of a portion of, and
may elect to defer receipt of an additional portion of, their annual
compensation. Deferred amounts are treated as though equivalent dollar
amounts had been invested in shares of the fund or are invested in a
cross-section of other Fidelity funds. Deferred amounts remain in the
fund until distributed in accordance with the Plan.
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.
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
2. OPERATING POLICIES - CONTINUED
FUTURES CONTRACTS - CONTINUED
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 of securities, other than short-term securities, aggregated
$1,696,541,000, of which $121,530,000 represents the current value of
securities delivered in exchange for fund shares.
Sales of securities, other than short-term securities, aggregated
$254,360,000.
The market value of futures contracts opened and closed during the
period amounted to $1,954,330,000 and $2,012,589,000, respectively.
4. FEES AND OTHER TRANSACTIONS WITH AFFILIATES.
MANAGEMENT FEE. As the fund's investment adviser, Fidelity Management
& Research Company (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 0.006% 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 securities
lending program. For the period, the fund paid Bankers Trust $596,000.
On March 11, 1999, Bankers Trust announced that it had reached an
agreement with the United States Attorney's Office in the Southern
District of New York to resolve an investigation concerning
inappropriate transfers of unclaimed funds and related recordkeeping
problems that occurred between 1994 and early 1996. Pursuant to its
agreement with the U.S. Attorney's Office, Bankers Trust pleaded
guilty to misstating entries in the bank's books and records and
agreed to pay a $60 million fine to federal authorities. On July 26,
1999, Bankers Trust was formally sentenced in United States District
Court to pay the $60 million fine. Separately, Bankers Trust has
agreed to pay a $3.5 million fine to the State of New York. The events
leading up to the guilty
4. FEES AND OTHER TRANSACTIONS WITH AFFILIATES - CONTINUED
SUB-ADVISER FEE - CONTINUED
plea and formal sentence did not arise out of the investment advisory
or mutual fund management activities of Bankers Trust or its
affiliates.
As a result of the plea and subsequent sentence, absent an order from
the Securities and Exchange Commission (SEC), Bankers Trust would not
be able to continue to provide investment advisory services to the
funds. The SEC has granted a temporary order to permit Bankers Trust
and its affiliates to continue to provide investment advisory services
to registered investment companies. There is no assurance that the SEC
will grant a permanent order.
At a shareholder meeting held on September 15, 1999, and re-convened
on September 30, 1999, shareholders approved both an interim
sub-advisory agreement with Bankers Trust (required due to Bankers
Trust's merger with Deutsche Bank) and a new sub-advisory agreement
with Bankers Trust (one that no longer includes securities lending
administration). The new sub-advisory agreement replaced the interim
sub-advisory agreement and took effect on October 1, 1999. Bankers
Trust and the trust, on behalf of Spartan U.S. Equity Index Fund,
entered into a new securities lending agreement. Shareholders also
approved a "manager-of-managers" arrangement, which will allow the
Board to hire, terminate, or replace sub-advisers, and to modify
material terms and conditions of a sub-advisory agreement (including
the fees payable thereunder) for the fund without shareholders
approval. The implementation of this "manager-of-managers" structure,
however, is pending an exemptive order from the SEC.
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 annualized rate of .14%
of average net assets.
ACCOUNTING FEES. Fidelity Service Company, Inc. (FSC), 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.
BROKERAGE COMMISSIONS. The fund placed a portion of its portfolio
transactions with brokerage firms which are affiliates of Bankers
Trust. The commissions paid to these affiliated firms were $47,000 for
the period.
5. SECURITY LENDING.
The fund lends portfolio securities from time to time in order to earn
additional income. The fund receives collateral in the form of U.S.
Treasury obligations, letters of credit, and/or cash against the
loaned securities, and maintains
5. SECURITY LENDING - CONTINUED
collateral in an amount not less than 100% of the market value of the
loaned securities during the period of the loan. The market value of
the loaned securities is determined at the close of business of the
fund and any additional required collateral is delivered to the fund
on the next business day. If the borrower defaults on its obligation
to return the securities loaned because of insolvency or other
reasons, the fund could experience delays and costs in recovering the
securities loaned or in gaining access to the collateral. At period
end, the value of the securities loaned amounted to $1,365,726,000.
The fund received cash collateral of $1,409,410,000 which was invested
in the Bankers Trust Institutional Daily Asset Fund and U.S. Treasury
obligations valued at $130,000.
6. BANK BORROWINGS.
The fund is permitted to have bank borrowings for temporary or
emergency purposes to fund shareholder redemptions. The fund has
established borrowing arrangements with certain banks. The interest
rate on the borrowings is the bank's base rate, as revised from time
to time. The average daily loan balances during the period for which
loans were outstanding amounted to $39,203,000. The weighted average
interest rate was 5.28%.
7. EXPENSE REDUCTIONS.
FMR voluntarily agreed to reimburse the fund's operating expenses
(excluding interest, taxes, brokerage commissions, extraordinary
expenses and sub-advisory fees paid by the fund associated with
securities lending) above an annual rate of .19% of average net
assets. For the period, the reimbursement reduced expenses by
$17,953,000.
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 $32,000 and $806,000, respectively, under these
arrangements.
PROXY VOTING RESULTS
A special meeting of the fund's shareholders was held on September 15,
1999, and re-convened on September 30, 1999. The results of votes
taken among shareholders on proposals before them are reported below.
Each vote reported represents one dollar of net asset value held on
the record date for the meeting.
PROPOSAL 1(A)
To approve an interim sub-advisory agreement with Bankers Trust
Company for the fund.
# OF % OF
VOTES CAST VOTES CAST
Affirmative 7,963,698,466.64 84.031
Against 369,927,233.97 3.904
Abstain 1,143,418,423.32 12.065
TOTAL 9,477,044,123.93 100.000
PROPOSAL 1(B)
To approve a new sub-advisory agreement with Bankers Trust Company for
the fund.
# OF % OF
VOTES CAST VOTES CAST
Affirmative 7,846,090,852.49 82.790
Against 469,386,010.62 4.953
Abstain 1,161,567,260.82 12.257
TOTAL 9,477,044,123.93 100.000
PROPOSAL 2
To approve a new "manager-of-managers" arrangement for the fund.
# OF % OF
VOTES CAST VOTES CAST
Affirmative 7,507,345,048.09 79.216
Against 761,344,154.46 8.034
Abstain 1,208,354,921.38 12.750
TOTAL 9,477,044,123.93 100.000
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
Matthew N. Karstetter, DEPUTY TREASURER
John H. Costello, 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
Abigail P. Johnson
GENERAL DISTRIBUTOR
Fidelity Distributors Corporation
Boston, MA
* INDEPENDENT TRUSTEES
TRANSFER AND SHAREHOLDER SERVICING AGENT
Fidelity Investments Institutional
Operations Company, Inc.
Boston, MA
CUSTODIAN
Bankers Trust Company
New York, NY
UEI-SANN-1099 85848
1.536672.102
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Corporate Headquarters
82 Devonshire St., Boston, MA 02109
www.fidelity.com
