SPARTAN(REGISTERED TRADEMARK) TOTAL MARKET INDEX
SPARTAN EXTENDED MARKET INDEX
SPARTAN INTERNATIONAL INDEX
FUNDS
ANNUAL REPORT
FOR THE YEAR ENDING
FEBRUARY 29, 2000
AND
PROSPECTUS
DATED APRIL 26, 2000
(2_FIDELITY_LOGOS)(registered trademark)
CONTENTS
PRESIDENT'S MESSAGE A-3 NED JOHNSON ON INVESTING
STRATEGIES.
SPARTAN TOTAL MARKET INDEX FUND A-4 PERFORMANCE
A-5 FUND TALK: THE MANAGER'S
OVERVIEW
A-6 INVESTMENT CHANGES
A-7 INVESTMENTS
A-39 FINANCIAL STATEMENTS
SPARTAN EXTENDED MARKET INDEX A-41 PERFORMANCE
FUND
A-42 FUND TALK: THE MANAGER'S
OVERVIEW
A-43 INVESTMENT CHANGES
A-44 INVESTMENTS
A-87 FINANCIAL STATEMENTS
SPARTAN INTERNATIONAL INDEX A-89 PERFORMANCE
FUND
A-90 FUND TALK: THE MANAGER'S
OVERVIEW
A-91 INVESTMENT CHANGES
A-92 INVESTMENTS
A-102 FINANCIAL STATEMENTS
NOTES A-104 NOTES TO THE FINANCIAL
STATEMENTS.
REPORT OF INDEPENDENT A-107 THE AUDITORS' OPINION
ACCOUNTANTS
DISTRIBUTIONS A-108
PROSPECTUS P-1
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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 1-800-544-6666 FOR A FREE PROSPECTUS. READ IT CAREFULLY
BEFORE YOU INVEST OR SEND MONEY.
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.
PRESIDENT'S MESSAGE
DEAR SHAREHOLDER:
In February, the Dow Jones Industrial Average closed below 10,000 for
the first time in 10 months - 16% below its high set in January. A
deeper drop was avoided by a rally late in the period. Meanwhile, the
technology-focused NASDAQ Index continued its record-setting ascent,
while the bellwether 30-year Treasury benefited slightly as a haven
from volatile blue chips and the U.S. Treasury's decision to reduce
long bond supply.
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 1-800-544-6666, 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 FEBRUARY 28, PAST 1 YEAR LIFE OF FUND
1999
SPARTAN TOTAL MARKET INDEX 21.13% 54.76%
Wilshire 5000 Total Market 21.18% 52.68%
Growth & Income Funds Average 8.76% n/a
CUMULATIVE TOTAL RETURNS show the fund's performance in percentage
terms over a set period - in this case, 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 Total Market Index (Wilshire 5000) -
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
one year average represents a peer group of 934 mutual funds. These
benchmarks include reinvested dividends and capital gains, if any, and
exclude the effect of sales charges. Lipper has created new comparison
categories that group funds according to portfolio characteristics and
capitalization, as well as by capitalization only. These averages are
listed on the bottom of this page.*
AVERAGE ANNUAL TOTAL RETURNS
PERIODS ENDED FEBRUARY 28, PAST 1 YEAR LIFE OF FUND
1999
SPARTAN TOTAL MARKET INDEX 21.13% 20.73%
Wilshire 5000 Total Market 21.18% 20.03%
Growth & Income Funds Average 8.76% 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.
* THE LIPPER MULTI-CAP CORE FUNDS AVERAGE REFLECTS THE PERFORMANCE
(EXCLUDING SALES CHARGES) OF MUTUAL FUNDS WITH SIMILAR PORTFOLIO
CHARACTERISTICS AND CAPITALIZATION. THE LIPPER MULTI-CAP SUPERGROUP
AVERAGE REFLECTS THE PERFORMANCE (EXCLUDING SALES CHARGES) OF MUTUAL
FUNDS WITH SIMILAR CAPITALIZATION. AS OF FEBRUARY 29, 2000, THE ONE
YEAR CUMULATIVE AND AVERAGE ANNUAL TOTAL RETURNS FOR THE MULTI-CAP
CORE FUNDS AVERAGE WAS 23.43%. THE ONE YEAR CUMULATIVE AND AVERAGE
ANNUAL TOTAL RETURNS FOR THE LIPPER MULTI-CAP SUPERGROUP WAS, 30.19%.
$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
1999/09/30 13376.57 13174.24
1999/10/31 14224.12 14012.12
1999/11/30 14694.98 14481.52
1999/12/31 15774.28 15580.04
2000/01/31 15124.77 14933.36
2000/02/29 15476.42 15267.81
IMATRL PRASUN SHR__CHT 20000229 20000313 144957 R00000000000031
$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 February 29, 2000, the value
of the investment would have been $15,476 - a 54.76% increase on the
initial investment. For comparison, look at how the Wilshire 5000 did
over the same period. With dividends and capital gains, if any,
reinvested, the same $10,000 investment would have been $15,268 - a
52.68% 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 MANAGER'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 12 months that ended February 29, 2000, the fund posted a
return of 21.13% (figure does not include the purchase fee, which was
discontinued on April 28, 1999). During this same time frame, the
Wilshire 5000 Total Market Index returned 21.18%. The fund also
compares its performance against the growth & income funds average, as
tracked by Lipper Inc., which returned 8.76% during the same 12-month
period.
Q. WHAT WAS THE INVESTMENT CLIMATE LIKE FOR DOMESTIC STOCKS DURING THE
PAST 12 MONTHS?
A. It was a tale of two periods, and two markets, for that matter.
Productivity gains set the stage for a high-growth, low-inflationary
environment for stocks, which kept the Federal Reserve Board on the
sidelines and interest rates relatively steady for the first two
months of the period. These conditions allowed for strong gains shared
among the market's biggest stocks. It was, however, a short-lived
period of prosperity for many of these leading companies, as an
inflation-wary Fed sparked a sea change with its shift in monetary
policy to a tightening bias in May. This move spelled the beginning of
an extended period of actual tightening, which culminated in four
quarter-point rate hikes levied during the last nine months of the
period. Persistent fears about inflation, Fed tightening and rising
energy prices consumed investors, inducing a wholesale shift to
smaller-cap technology, biotechnology and communications stocks, a
group seemingly more resilient to interest-rate activity. Investors
flocked to the stocks expected to power the new economy, focusing on
those with superior earnings-growth potential, and specifically those
engaged in building Internet infrastructure and pioneering genetic
research. The performance disparity created between old economy
stocks, such as Coca-Cola, and the tech names donning the new economy
label, such as Web-hosting services provider Exodus, widened over the
course of the period. The Wilshire 5000 - reflecting the broader
market and home to many of the period's top performers - benefited
from this phenomenon, posting a respectable 12-month return.
Q. HOW DID FUND PERFORMANCE RESPOND TO WEAKNESS IN TRADITIONAL
BLUE-CHIP NAMES?
A. Not surprisingly, it tempered the fund's advances. The Wilshire
5000 Index comprises all of the stocks found in the Wilshire 4500
Completion Index, which returned 60.97% for the past 12 months, and
the Standard & Poor's 500SM Index - a proxy for large-cap stock
performance - which could only muster an 11.73% return for this same
period. The gains offered by a handful of winners emerging from the
blue-chip universe, namely tech leaders Cisco, Intel and Oracle, were
virtually offset by the poor performance of pharmaceutical giants
Merck, Eli Lilly and Pfizer, and lagging financial stocks Bank of
America and Bank One.
Q. WHAT OTHER STOCKS HELPED? WHICH HURT?
A. The fund got a lift from leading communications equipment and
Internet infrastructure names such as JDS Uniphase, Texas Instruments
and Juniper Networks, as well as from top data storage provider EMC.
Having a stake in high-flying biotech stocks Immunex and Celera
Genomics also added meaningfully to performance. On the downside, the
growth prospects found in auto parts manufacturer Federal-Mogul,
Berkshire Hathaway - a big player in the property and casualty
insurance business - and Gillette were not exciting enough to hold the
attention of tech-minded investors.
Q. WHAT'S YOUR OUTLOOK?
A. The Fed remains concerned about current economic conditions and is
poised to silence any sign of inflation, or anything else for that
matter that threatens to disturb this extended period of prosperity.
Valuation levels, for one thing, are extremely high for new economy
stocks and are only justifiable to the extent of their expected
earnings growth. There is the concern that productivity, the one
element that has held inflation at bay and enabled the economy's
advances up to this point, could, in turn, have a negative effect on
the economy, fueling price pressures by boosting demand. Time will
tell as to how all of this will ultimately play out.
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 A-2.
(checkmark)FUND FACTS
GOAL: seeks to provide investment results that
correspond to the total return of a broad
range of United States stocks
FUND NUMBER: 397
TRADING SYMBOL: FSTMX
START DATE: November 5, 1997
SIZE: as of February 29, 2000, more than
$858 million
SUB-ADVISER: Bankers Trust, since inception
SPARTAN TOTAL MARKET INDEX FUND
INVESTMENT CHANGES
<TABLE>
<CAPTION>
<S> <C> <C>
TOP TEN STOCKS AS OF FEBRUARY
29, 2000
% OF FUND'S NET ASSETS % OF FUND'S NET ASSETS 6
MONTHS AGO
Microsoft Corp. 2.9 3.5
Cisco Systems, Inc. 2.7 1.6
General Electric Co. 2.7 2.7
Intel Corp. 2.4 2.0
Exxon Mobil Corp. 1.7 2.0
Wal-Mart Stores, Inc. 1.4 1.4
Oracle Corp. 1.3 0.4
Lucent Technologies, Inc. 1.2 1.4
International Business 1.2 1.7
Machines Corp.
Citigroup, Inc. 1.1 1.1
18.6 17.8
TOP TEN MARKET SECTORS AS OF
FEBRUARY 29, 2000
% OF FUND'S NET ASSETS % OF FUND'S NET ASSETS 6
MONTHS AGO
TECHNOLOGY 35.8 23.7
FINANCE 11.5 15.2
UTILITIES 10.5 10.6
HEALTH 9.4 10.2
MEDIA & LEISURE 5.5 5.1
RETAIL & WHOLESALE 4.9 5.6
INDUSTRIAL MACHINERY & 4.2 4.5
EQUIPMENT
NONDURABLES 4.1 6.3
ENERGY 4.1 4.9
BASIC INDUSTRIES 2.8 3.3
</TABLE>
SPARTAN TOTAL MARKET INDEX FUND
INVESTMENTS FEBRUARY 29, 2000
Showing Percentage of Net Assets
COMMON STOCKS - 99.0%
SHARES VALUE (NOTE 1)
AEROSPACE & DEFENSE - 1.0%
AEROSPACE & DEFENSE - 0.9%
AAR Corp. 850 $ 20,188
Advanced Aerodynamics & 600 2,156
Structures, Inc. Class A (a)
Alliant Techsystems, Inc. (a) 2,108 114,096
Aviall, Inc. (a) 2,800 22,925
BE Aerospace, Inc. (a) 6,100 54,138
BFGoodrich Co. 6,862 164,259
Boeing Co. 45,600 1,681,500
Cordant Technologies, Inc. 1,000 32,375
Harsco Corp. 1,200 29,775
Honeywell International, Inc. 40,175 1,933,422
Kellstrom Industries, Inc. (a) 800 5,550
Lockheed Martin Corp. 17,000 296,438
Northrop Grumman Corp. 6,200 281,713
Orbital Sciences Corp. (a) 1,700 29,750
Precision Castparts Corp. 1,900 49,044
Rockwell International Corp. 14,000 633,500
Textron, Inc. 10,700 652,700
United Technologies Corp. 29,471 1,501,179
7,504,708
DEFENSE ELECTRONICS - 0.0%
Anaren Microwave, Inc. (a) 100 7,588
Ashton Technology Group, Inc. 4,800 48,900
(a)
Herley Industries, Inc. (a) 3,600 58,275
Raytheon Co. Class B 22,900 423,650
REMEC, Inc. (a) 2,300 84,813
623,226
SHIP BUILDING & REPAIR - 0.1%
General Dynamics Corp. 12,900 557,925
Newport News Shipbuilding, 3,100 87,769
Inc.
645,694
TOTAL AEROSPACE & DEFENSE 8,773,628
BASIC INDUSTRIES - 2.8%
CHEMICALS & PLASTICS - 1.3%
A. Schulman, Inc. 1,000 13,250
Air Products & Chemicals, 6,600 169,950
Inc.
Airgas, Inc. (a) 100 694
Albemarle Corp. 1,340 20,184
Arch Chemicals, Inc. 100 1,906
Ashland, Inc. 7,800 242,775
Atmi, Inc. (a) 3,100 146,281
Avery Dennison Corp. 7,600 461,225
Bush Boake Allen, Inc. (a) 500 14,000
Cabot Corp. 1,900 42,038
Carbide/Graphite Group, Inc. 5,100 27,731
(a)
CK Witco Corp. 3,571 37,942
Cytec Industries, Inc. (a) 1,300 31,525
Dexter Corp. 2,100 96,863
SHARES VALUE (NOTE 1)
Dow Chemical Co. 13,800 $ 1,497,300
E.I. du Pont de Nemours and 59,385 2,998,943
Co.
Eastman Chemical Co. 6,500 233,594
Engelhard Corp. 7,300 99,463
Ethyl Corp. 400 1,275
FMC Corp. (a) 3,600 173,925
Geon Co. 1,900 39,663
Georgia Gulf Corp. 1,000 22,750
Great Lakes Chemical Corp. 1,800 52,313
H.B. Fuller Co. 400 24,550
Hercules, Inc. 5,500 90,750
IMC Global, Inc. 6,800 91,800
International Specialty 1,900 12,588
Products, Inc. (a)
LESCO, Inc. 3,100 49,988
Lubrizol Corp. 3,000 74,438
Lyondell Chemical Co. 2,900 24,831
M.A. Hanna Co. 500 5,719
Medical Manager Corp. (a) 2,937 247,259
Millennium Chemicals, Inc. 4,100 57,400
Minerals Technologies, Inc. 1,400 56,788
Monsanto Co. 36,400 1,412,775
NL Industries, Inc. 900 12,994
Olin Corp. 3,000 46,500
OM Group, Inc. 500 18,625
Pactiv Corp. (a) 15,900 132,169
PPG Industries, Inc. 12,400 612,250
Praxair, Inc. 11,800 398,250
Rohm & Haas Co. 12,096 488,376
Scotts Co. Class A (a) 500 16,250
Sealed Air Corp. (a) 6,660 330,919
Solutia, Inc. 11,600 160,225
Terra Industries, Inc. 400 925
Union Carbide Corp. 7,700 413,394
USEC, Inc. 15,300 54,506
Valhi, Inc. 3,400 37,825
Valspar Corp. 1,300 42,656
W.R. Grace & Co. (a) 2,100 21,131
Wellman, Inc. 100 1,863
11,363,334
IRON & STEEL - 0.1%
AK Steel Holding Corp. 8,263 68,686
Allegheny Technologies, Inc. 9,614 162,837
Bethlehem Steel Corp. (a) 3,904 22,204
Birmingham Steel Corp. 1,100 5,088
Cleveland-Cliffs, Inc. 3,000 74,813
LTV Corp. 1,500 4,969
Mueller Industries, Inc. (a) 1,000 28,625
National Steel Corp. Class B 1,800 12,600
NS Group, Inc. (a) 800 9,350
Nucor Corp. 7,900 392,531
Oregon Steel Mills, Inc. 700 2,888
Steel Dynamics, Inc. (a) 500 7,688
Titan International, Inc. 600 4,425
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
BASIC INDUSTRIES - CONTINUED
IRON & STEEL - CONTINUED
USX - U.S. Steel Group 9,000 $ 196,875
WHX Corp. (a) 500 4,063
Worthington Industries, Inc. 11,900 157,675
1,155,317
METALS & MINING - 0.3%
Alcoa, Inc. 20,500 1,404,250
Belden, Inc. 800 18,100
Brush Wellman, Inc. 100 1,675
Cable Design Technology Corp. 850 19,656
(a)
Commonwealth Industries, Inc. 500 4,781
CommScope, Inc. (a) 4,600 179,113
Encore Wire Corp. (a) 400 2,675
Freeport-McMoRan Copper & 14,700 202,125
Gold, Inc. Class B (a)
General Cable Corp. 1,100 11,000
Hecla Mining Co. (a) 18,600 26,738
Kaiser Aluminum Corp. (a) 1,400 7,963
Martin Marietta Materials, 5,400 191,700
Inc.
Phelps Dodge Corp. 4,172 196,606
Quanex Corp. 400 8,525
Reynolds Metals Co. 4,100 260,350
Ryerson Tull, Inc. 711 9,421
Superior Telecom, Inc. 515 6,438
Titanium Metals Corp. 4,200 19,163
Tremont Corp. 200 2,738
2,573,017
PACKAGING & CONTAINERS - 0.4%
Ball Corp. 2,200 59,263
Bemis Co., Inc. 1,500 44,625
Corning, Inc. 14,130 2,656,440
Crown Cork & Seal Co., Inc. 12,100 169,400
Owens-Illinois, Inc. (a) 4,500 62,156
Packaging Corp. of America 9,300 101,138
Sonoco Products Co. 2,950 54,391
Tupperware Corp. 1,700 29,219
3,176,632
PAPER & FOREST PRODUCTS - 0.7%
American Pad & Paper Co. (a) 100 26
Boise Cascade Corp. 5,600 166,950
Bowater, Inc. 4,600 226,263
Caraustar Industries, Inc. 900 14,963
Champion International Corp. 5,000 258,750
Chesapeake Corp. 300 6,656
Consolidated Papers, Inc. 2,500 94,844
Fort James Corp. 8,000 150,500
Georgia-Pacific Corp. 8,500 294,844
Georgia-Pacific Corp. - 5,200 114,725
Timber Group
International Paper Co. 21,170 779,321
Kimberly-Clark Corp. 32,738 1,692,145
Louisiana-Pacific Corp. 10,800 127,575
SHARES VALUE (NOTE 1)
Mail-Well, Inc. (a) 1,500 $ 13,031
Mead Corp. 6,300 188,606
Pentair, Inc. 1,300 44,688
Potlatch Corp. 800 30,400
Rayonier, Inc. 900 35,775
Smurfit-Stone Container Corp. 17,698 241,135
(a)
Temple-Inland, Inc. 4,600 235,175
The St. Joe Co. 800 19,350
Trex Co., Inc. 1,400 34,650
Westvaco Corp. 3,000 82,688
Weyerhaeuser Co. 16,000 821,000
Willamette Industries, Inc. 3,200 108,600
Workflow Management, Inc. (a) 2,300 52,325
5,834,985
TOTAL BASIC INDUSTRIES 24,103,285
CONSTRUCTION & REAL ESTATE -
1.2%
BUILDING MATERIALS - 0.3%
American Standard Companies, 3,600 125,550
Inc. (a)
Ameron International Corp. 100 3,488
Armstrong World Industries, 6,900 131,100
Inc.
Centex Construction Products, 700 16,275
Inc.
Crane Co. 1,700 33,788
Dal-Tile International, Inc. 1,800 12,600
(a)
Fastenal Co. 3,700 163,494
Ferro Corp. 1,050 19,819
Flowserve Corp. 1,100 12,650
Fortune Brands, Inc. 8,700 190,313
Hussmann International, Inc. 1,400 20,213
Huttig Building Products, 1,077 4,577
Inc. (a)
Industrial Holdings, Inc. (a) 100 213
Johns Manville Corp. 4,700 38,188
Lafarge Corp. 1,100 21,656
Lennox International, Inc. 1,407 13,367
Masco Corp. 31,300 559,488
Mobile Mini, Inc. (a) 2,300 38,813
Owens Corning 2,100 30,450
ROHN Industries, Inc. (a) 2,300 11,356
RPM, Inc. 3,025 30,250
Sherwin-Williams Co. 15,800 302,175
Southdown, Inc. 1,876 93,097
Tecumseh Products Co. Class A 1,800 77,625
Texas Industries, Inc. 600 18,000
USG Corp. 6,300 204,750
Vulcan Materials Co. 5,100 204,000
Water Pik Technologies, Inc. 741 5,002
(a)
Watsco, Inc. Class A 850 7,119
York International Corp. 4,600 83,375
2,472,791
CONSTRUCTION - 0.1%
American Homestar Corp. (a) 800 1,700
Avatar Holdings, Inc. (a) 300 5,063
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
CONSTRUCTION & REAL ESTATE -
CONTINUED
CONSTRUCTION - CONTINUED
Beazer Homes USA, Inc. (a) 400 $ 7,400
Butler Manufacturing Co. 200 5,063
California Coastal 6,400 39,200
Communities, Inc. (a)
Centex Corp. 7,100 139,781
Clayton Homes, Inc. 4,275 34,734
D.R. Horton, Inc. 4,525 50,906
Del Webb Corp. (a) 500 7,500
Dominion Homes, Inc. (a) 300 1,838
Emcor Group, Inc. (a) 2,800 63,000
Engle Homes, Inc. 300 3,131
Fleetwood Enterprises, Inc. 3,300 50,944
Granite Construction, Inc. 900 22,444
Jacobs Engineering Group, 400 11,225
Inc. (a)
Kaufman & Broad Home Corp. 1,200 22,950
NCI Building Systems, Inc. (a) 500 7,563
NVR, Inc. (a) 1,400 61,775
Oakwood Homes Corp. 1,400 3,588
Pulte Corp. 3,500 58,844
Standard Pacific Corp. 1,400 14,875
Toll Brothers, Inc. (a) 3,100 51,538
Walter Industries, Inc. 1,800 15,300
680,362
ENGINEERING - 0.1%
Able Telcom Holding Corp. (a) 4,700 22,031
Apogee Enterprises, Inc. 800 3,700
DSP Group, Inc. (a) 1,300 114,156
DualStar Technologies Corp. 4,400 42,900
(a)
Dycom Industries, Inc. (a) 4,050 202,500
Encompass Services Corp. (a) 1,166 8,381
Fluor Corp. 7,400 210,438
Foster Wheeler Corp. 1,200 6,750
Harris Interactive, Inc. 4,600 44,850
IDM Environmental Corp. (a) 2,910 48,924
MasTec, Inc. (a) 100 5,763
Morrison Knudsen Corp. (a) 100 688
NetRatings, Inc. 2,200 78,788
PerkinElmer, Inc. 1,300 84,013
Sylvan Learning Systems (a) 6,800 101,150
Xceed, Inc. (a) 1,800 56,475
1,031,507
REAL ESTATE - 0.0%
Bluegreen Corp. (a) 900 3,094
BridgeStreet Accomodations, 400 775
Inc. (a)
Catellus Development Corp. (a) 6,100 75,106
CB Richard Ellis Services, 800 8,300
Inc. (a)
Consolidated-Tomoka Land Co. 3,900 44,606
Fairfield Communities, Inc. 3,200 28,200
(a)
Insignia Financial Group, 733 8,704
Inc. (a)
Iron Mountain, Inc. (a) 1,060 32,330
Merry Land Properties, Inc. 50 281
(a)
SHARES VALUE (NOTE 1)
Stewart Enterprises, Inc. 11,300 $ 48,025
Class A
Trammell Crow Co. (a) 2,900 34,800
Vornado Operating Co. (a) 60 668
284,889
REAL ESTATE INVESTMENT TRUSTS
- - 0.7%
Alexander's, Inc. (a) 100 7,569
Alexandria Real Estate 200 6,113
Equities, Inc.
AMB Property Corp. 2,600 52,488
AMLI Residential Properties 500 10,219
Trust (SBI)
Apartment Investment & 4,031 149,147
Management Co. Class A
Archstone Communities Trust 4,900 95,856
Arden Realty Group, Inc. 1,700 35,381
Avalonbay Communities, Inc. 6,000 202,500
Boston Properties, Inc. 5,900 178,844
Boykin Lodging Co. 500 5,938
Bradley Real Estate, Inc. 700 12,206
(SBI)
Brandywine Realty Trust 100 1,600
BRE Properties, Inc. Class A 400 9,450
Camden Property Trust (SBI) 1,275 34,186
Capstead Mortgage Corp. 698 2,923
CarrAmerica Realty Corp. 1,500 31,875
Colonial Properties Trust 700 17,456
(SBI)
Cornerstone Properties, Inc. 2,600 43,875
Crescent Real Estate Equities 10,400 177,450
Co.
Developers Diversified Realty 3,000 34,500
Corp.
Duke-Weeks Realty Corp. 10,300 189,263
Equity Inns, Inc. 1,400 9,100
Equity Office Properties Trust 20,540 491,676
Equity Residential Properties 10,130 404,567
Trust (SBI)
FelCor Lodging Trust, Inc. 7,368 126,177
First Industrial Realty 1,500 39,000
Trust, Inc.
First Union Real Estate 1,440 6,390
Equity & Mortgage Investments
Gables Residential Trust (SBI) 200 4,400
General Growth Properties, 3,800 109,963
Inc.
Glenborough Realty Trust, 8,900 132,944
Inc.
Glimcher Realty Trust (SBI) 700 8,663
Health Care Property 546 13,582
Investors, Inc.
Highwoods Properties, Inc. 3,800 79,563
Hospitality Properties Trust 2,300 44,563
(SBI)
Host Marriott Corp. 21,400 189,925
HRPT Properties Trust 21,600 172,800
Imperial Credit Commercial 1,100 12,581
Mortgage Investment Corp.
Indymac Mortgage Holdings, 7,600 96,425
Inc.
JDN Realty Corp. 650 6,988
Kilroy Realty Corp. 900 19,238
Kimco Realty Corp. 3,200 110,200
Liberty Property Trust (SBI) 4,900 111,169
Mack-Cali Realty Corp. 4,000 95,000
Meditrust Corp. unit 18,096 50,895
MeriStar Hospitality Corp. 1,400 22,313
Mills Corp. 800 13,550
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
CONSTRUCTION & REAL ESTATE -
CONTINUED
REAL ESTATE INVESTMENT TRUSTS
- - CONTINUED
Nationwide Health Properties, 1,900 $ 21,731
Inc.
New Plan Excel Realty Trust 7,400 103,138
Pinnacle Holdings, Inc. 3,500 204,750
Post Properties, Inc. 1,200 45,150
Prentiss Properties Trust 1,100 22,619
(SBI)
Prison Realty Corp. 6,750 34,594
ProLogis Trust 10,100 182,431
Public Storage, Inc. 7,400 163,263
Reckson Associates Realty 1,300 24,050
Corp.
Redwood Trust, Inc. 300 3,619
Senior Housing Properties 820 7,073
Trust (REIT)
Simon Property Group, Inc. 11,500 270,250
Spieker Properties, Inc. 6,800 272,850
Starwood Financial, Inc. 2,832 47,790
The Rouse Co. 4,400 96,250
Thornburg Mortgage Asset 400 3,225
Corp.
United Dominion Realty Trust, 3,100 31,000
Inc.
Ventas, Inc. 1,400 4,725
Vornado Realty Trust 9,400 287,288
Walden Residential 700 16,144
Properties, Inc.
Westfield America, Inc. 400 5,650
Wyndham International, Inc. 5,312 12,616
Class A (a)
5,530,717
TOTAL CONSTRUCTION & REAL 10,000,266
ESTATE
DURABLES - 1.9%
AUTOS, TIRES, & ACCESSORIES -
1.1%
Aftermarket Technology Corp. 700 8,225
(a)
Arvin Industries, Inc. 2,200 40,425
AutoNation, Inc. (a) 30,200 228,388
AutoZone, Inc. (a) 4,400 108,075
Aviation Sales Co. (a) 2,900 21,569
Bandag, Inc. 500 11,750
Barrett Resources Corp. (a) 900 26,213
Borg-Warner Automotive, Inc. 1,600 51,200
Boyds Wheels, Inc. (a) 4,800 192
Breed Technologies, Inc. (a) 1,000 720
Casey's General Stores, Inc. 9,800 82,075
Cooper Tire & Rubber Co. 2,200 23,788
Copart, Inc. (a) 1,600 33,650
CSK Auto Corp. (a) 900 10,350
Cummins Engine Co., Inc. 1,300 43,306
Dana Corp. 9,456 201,531
Danaher Corp. 5,071 206,960
Delphi Automotive Systems 26,323 439,265
Corp.
Dura Automotive Systems, Inc. 1,683 21,984
Class A (a)
Eaton Corp. 5,300 397,169
Federal Signal Corp. 1,400 20,913
SHARES VALUE (NOTE 1)
Federal-Mogul Corp. 5,100 $ 69,488
Fidelity Holdings, Inc. (a) 4,350 66,338
Ford Motor Co. 67,000 2,788,875
General Motors Corp. 35,600 2,707,825
Gentex Corp. (a) 6,000 175,313
Genuine Parts Co. 5,200 117,325
Getty Petroleum Marketing, 100 200
Inc. (a)
Goodyear Tire & Rubber Co. 6,800 154,275
IMPCO Technologies, Inc. (a) 2,400 122,850
Intermet Corp. 400 4,500
Johnson Controls, Inc. 5,900 314,913
Kroll-O'Gara Co. (a) 3,800 63,175
Lear Corp. (a) 1,900 40,138
Mascotech, Inc. 1,400 19,600
McLaren Automotive Group, 500 1,188
Inc. (a)
Meritor Automotive, Inc. 3,200 44,800
Miller Industries, Inc. (a) 1,800 6,638
Navistar International Corp. 1,700 55,675
(a)
O'Reilly Automotive, Inc. (a) 5,000 70,000
Oshkosh Truck Co. 2,100 55,650
PACCAR, Inc. 6,800 292,825
Pep Boys-Manny, Moe & Jack 2,400 14,850
Sonic Automotive, Inc. (a) 3,200 27,400
SPX Corp. (a) 1,572 136,862
Strattec Security Corp. (a) 1,800 59,850
Tower Automotive, Inc. (a) 3,400 40,375
TRW, Inc. 5,500 264,000
Ugly Duckling Corp. (a) 100 788
United Auto Group, Inc. (a) 200 1,675
Wabash National Corp. 700 9,800
9,704,939
CONSUMER DURABLES - 0.3%
Ballantyne of Omaha, Inc. 100 656
Blyth Industries, Inc. (a) 2,800 62,825
Department 56, Inc. (a) 2,200 31,075
Dupont Photomasks, Inc. (a) 2,100 122,850
Libbey, Inc. 800 21,500
Minnesota Mining & 23,500 2,070,938
Manufacturing Co.
SAF T LOK, Inc. (a) 4,700 7,344
Snap-On, Inc. 5,400 117,788
Sola International, Inc. (a) 700 3,500
2,438,476
CONSUMER ELECTRONICS - 0.2%
Audible, Inc. 4,000 51,000
Black & Decker Corp. 4,200 138,338
Boston Acoustics, Inc. 100 1,444
General Motors Corp. Class H 6,000 723,000
(a)
Harman International 600 37,163
Industries, Inc.
Maytag Corp. 3,900 103,106
Movado Group, Inc. 400 7,200
Odetics, Inc. Class B (a) 400 10,425
Recoton Corp. (a) 600 8,363
Salton, Inc. (a) 1,800 84,825
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
DURABLES - CONTINUED
CONSUMER ELECTRONICS -
CONTINUED
Sunbeam Corp. (a) 670 $ 2,764
Sunbeam Corp. warrants 114 0
8/24/03 (a)
U.S. Industries, Inc. 1,600 18,300
Universal Electronics, Inc. 3,400 67,150
(a)
Whirlpool Corp. 6,700 363,894
1,616,972
HOME FURNISHINGS - 0.1%
Bassett Furniture Industries, 300 4,050
Inc.
Ethan Allen Interiors, Inc. 2,100 48,956
Furniture Brands 3,600 57,825
International, Inc. (a)
Heilig-Meyers Co. 1,400 4,550
Herman Miller, Inc. 3,300 67,650
Hillenbrand Industries, Inc. 1,900 57,713
La-Z-Boy, Inc. 3,850 64,006
Leggett & Platt, Inc. 5,800 97,513
Linens'n Things, Inc. (a) 4,200 82,688
Newell Rubbermaid, Inc. 12,101 279,836
Restoration Hardware, Inc. (a) 1,000 5,750
Steelcase, Inc. Class A 3,200 39,200
809,737
TEXTILES & APPAREL - 0.2%
Active Apparel Group, Inc. (a) 1,000 3,125
Ashworth, Inc. (a) 400 1,975
BEBE Stores, Inc. (a) 2,100 22,181
Bluefly, Inc. (a) 2,800 30,450
Brown Shoe Co., Inc. 500 5,250
Burlington Industries, Inc. 500 1,406
(a)
Collins & Aikman Corp. 900 4,556
Columbia Sportswear Co. (a) 600 12,488
Donna Karan International, 700 5,031
Inc. (a)
Global Sports, Inc. (a) 800 14,400
Interface, Inc. Class A 9,900 44,550
Jones Apparel Group, Inc. (a) 6,551 148,216
K-Swiss, Inc. Class A 3,300 36,713
Kellwood Co. 1,200 20,250
Liz Claiborne, Inc. 6,100 228,369
Madden Steven Ltd. (a) 2,900 39,150
Mohawk Industries, Inc. (a) 400 8,875
Nautica Enterprises, Inc. (a) 2,900 30,631
NIKE, Inc. Class B 15,400 437,938
North Face, Inc. (a) 1,800 9,000
Oshkosh B'Gosh, Inc. Class A 3,000 57,000
Pacific Sunwear of 4,000 101,750
California, Inc. (a)
Polo Ralph Lauren Corp. Class 4,000 67,000
A (a)
Reebok International Ltd. (a) 1,700 13,600
Russell Corp. 1,400 19,338
Samsonite Corp. (a) 446 2,467
Saucony, Inc. (a) 2,100 19,031
Shaw Industries, Inc. 10,188 129,260
Sport-Haley, Inc. (a) 100 444
SHARES VALUE (NOTE 1)
Springs Industries, Inc. 400 $ 14,175
Class A
Stride Rite Corp. 1,400 7,700
Tarrant Apparel Group (a) 2,700 19,913
Timberland Co. Class A (a) 800 34,300
Unifi, Inc. (a) 1,900 18,169
Vans, Inc. (a) 3,600 55,800
VF Corp. 6,000 148,125
Warnaco Group, Inc. Class A 9,500 103,313
WestPoint Stevens, Inc. Class 2,900 48,213
A
Wolverine World Wide, Inc. 1,200 13,800
1,977,952
TOTAL DURABLES 16,548,076
ENERGY - 4.1%
ENERGY SERVICES - 0.9%
Atwood Oceanics, Inc. (a) 400 21,250
Baker Hughes, Inc. 12,350 319,556
BJ Services Co. (a) 2,000 114,125
Cal Dive International, Inc. 500 18,000
(a)
Diamond Offshore Drilling, 12,100 384,175
Inc.
ENSCO International, Inc. 3,200 96,800
Global Industries Ltd. (a) 12,600 129,150
Global Marine, Inc. (a) 15,200 341,050
Halliburton Co. 28,700 1,095,981
Helmerich & Payne, Inc. 7,500 199,688
Key Energy Group, Inc. (a) 9,900 98,381
Lone Star Technologies, Inc. 3,400 127,500
(a)
Marine Drilling Companies, 1,500 34,219
Inc. (a)
Maverick Tube Corp. (a) 2,600 58,500
McDermott International, Inc. 9,400 88,125
Nabors Industries, Inc. (a) 6,030 216,326
Noble Drilling Corp. (a) 8,900 320,400
Oceaneering International, 600 11,400
Inc. (a)
Offshore Logistics, Inc. (a) 700 6,956
Parker Drilling Co. (a) 2,900 11,600
Patterson Energy, Inc. (a) 3,800 86,688
Pride International, Inc. (a) 5,100 75,544
R&B Falcon Corp. (a) 9,280 143,260
Rowan Companies, Inc. (a) 2,500 62,813
Schlumberger Ltd. 32,672 2,413,644
SEACOR SMIT, Inc. (a) 900 43,650
Smith International, Inc. (a) 1,400 87,763
Superior Energy Services, 1,200 8,850
Inc. (a)
Tidewater, Inc. 4,300 121,744
Transocean Sedco Forex, Inc. 10,357 408,454
Tuboscope, Inc. (a) 1,400 23,363
Varco International, Inc. (a) 2,000 22,125
Weatherford International, 8,480 381,600
Inc. (a)
Zapata Corp. 1,100 5,500
7,578,180
OIL & GAS - 3.2%
Amerada Hess Corp. 7,100 358,994
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
ENERGY - CONTINUED
OIL & GAS - CONTINUED
American International 100 $ 80
Petroleum Corp. (a)
Anadarko Petroleum Corp. 10,000 307,500
Apache Corp. 5,900 215,350
Atlantic Richfield Co. 19,500 1,384,500
Basin Exploration, Inc. (a) 3,600 38,025
Belco Oil & Gas Corp. (a) 1,100 7,838
Bellwether Exploration Co. (a) 5,600 38,500
Benton Oil & Gas Co. (a) 1,200 2,400
Bp Prudhoe Bay Royalty Trust 4,900 47,775
Buckeye Partners LP 700 18,638
Burlington Resources, Inc. 13,600 375,700
Cabot Oil & Gas Corp. Class A 800 12,650
Chevron Corp. 38,300 2,860,531
Comstock Resources, Inc. (a) 1,100 4,606
Conoco, Inc. Class B 33,189 653,408
Cooper Cameron Corp. (a) 2,000 110,500
Devon Energy Corp. 7,239 269,653
EEX Corp. (a) 1,433 3,493
EOG Resources, Inc. 13,700 208,925
Evergreen Resources, Inc. (a) 1,900 42,275
Exxon Mobil Corp. 190,656 14,358,780
Forcenergy, Inc. (a) 12,400 9,176
Friede Goldman Halter, Inc. 1,056 5,544
(a)
Frontier Oil Corp. (a) 100 625
Gothic Energy Corp. (a) 200 60
Gulf Island Fabrication, Inc. 300 3,075
(a)
Harken Energy Corp. (a) 4,800 4,200
Houston Exploration Co. (a) 700 10,631
IRI International Corp. (a) 1,500 7,313
Kerr-McGee Corp. 3,570 159,758
Louis Dreyfus Natural Gas 3,100 63,938
Corp. (a)
Murphy Oil Corp. 4,600 232,875
National Energy Group, Inc. 500 78
(a)
National-Oilwell, Inc. (a) 1,700 41,225
Newfield Exploration Co. (a) 1,300 40,300
Noble Affiliates, Inc. 2,300 51,750
Nuevo Energy Co. (a) 700 12,425
Occidental Petroleum Corp. 16,000 257,000
Ocean Energy, Inc. (a) 4,728 50,531
Patina Oil & Gas Corp. 100 900
Pennzoil-Quaker State Co. 4,992 43,680
Phillips Petroleum Co. 18,000 688,500
Pioneer Natural Resources Co. 3,300 27,431
Pogo Producing Co. 1,200 27,750
Range Resources Corp. 1,200 2,325
Resource America, Inc. Class A 2,300 16,244
Santa Fe Snyder Corp. (a) 8,500 63,750
Seven Seas Petroleum, Inc. (a) 1,700 3,294
St. Mary Land & Exploration 300 8,344
Co.
Stone Energy Corp. (a) 1,400 56,875
SHARES VALUE (NOTE 1)
Sunoco, Inc. 4,400 $ 108,625
Swift Energy Co. (a) 600 7,088
Tesoro Petroleum Corp. (a) 3,600 33,300
Texaco, Inc. 31,200 1,480,050
The Coastal Corp. 15,300 643,556
Titan Exploration, Inc. (a) 1,200 5,100
Tom Brown, Inc. (a) 1,100 14,575
Tosco Corp. 11,300 302,275
Ultramar Diamond Shamrock 4,600 99,763
Corp.
UNIFAB International, Inc. (a) 100 663
Union Pacific Resources 7,100 63,456
Group, Inc.
Unocal Corp. 16,300 436,025
USX - Marathon Group 18,700 404,388
Valero Energy Corp. 1,700 43,350
Vastar Resources, Inc. 6,000 318,375
Veritas DGC, Inc. (a) 1,600 32,000
Vintage Petroleum, Inc. 1,700 24,650
Williams Clayton Energy, Inc. 2,400 33,600
(a)
27,260,557
TOTAL ENERGY 34,838,737
FINANCE - 11.5%
BANKS - 4.1%
Abigail Adams National 200 1,775
Bancorp, Inc.
Advanta Corp. 2,600 48,425
Allegiant Bancorp, Inc. 100 1,075
Amcore Financial, Inc. 3,900 81,656
American Bancshares, Inc. (a) 3,200 36,400
American Pacific Bank of 800 2,800
Oregon Class B (a)
AmSouth Bancorp. 20,619 298,976
Associated Banc-Corp. 3,725 94,289
BancWest Corp. 3,932 59,717
Bank of America Corp. 98,172 4,522,048
Bank of New York Co., Inc. 43,100 1,435,769
Bank One Corp. 70,667 1,824,092
Banknorth Group, Inc. 2,700 51,131
BB&T Corp. 11,404 267,994
BT Financial Corp. 315 5,513
Capital Crossing Bank (a) 1,000 11,375
Capital One Financial Corp. 7,700 283,456
Carolina First Corp. 800 12,700
CCB Financial Corp. 1,100 40,838
Centura Banks, Inc. 900 30,375
Chase Manhattan Corp. 44,700 3,559,238
City National Corp. 3,200 88,200
Colonial Bancgroup, Inc. 400 3,550
Comerica, Inc. 11,600 428,475
Commerce Bancshares, Inc. 3,192 91,770
Community First Bankshares, 4,100 57,400
Inc.
Compass Bancshares, Inc. 7,050 114,122
Cullen Frost Bankers, Inc. 5,200 111,800
East West Bancorp, Inc. 5,100 64,069
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
FINANCE - CONTINUED
BANKS - CONTINUED
Fifth Third Bancorp 20,202 $ 1,051,767
First Security Corp. 15,300 354,769
First Tennessee National 5,000 86,250
Corp.
First Union Corp. 60,662 1,789,529
First Virginia Banks, Inc. 1,400 44,100
Firstar Corp. 58,692 1,045,451
Firstmerit Corp. 5,300 75,194
FleetBoston Financial Corp. 55,413 1,510,004
Fulton Financial Corp. 137 2,261
Hamilton Bancorp, Inc. (a) 3,000 50,063
Hibernia Corp. Class A 5,600 50,750
Hudson United Bancorp 4,001 80,770
Huntington Bancshares, Inc. 6,611 138,005
Imperial Bancorp 1,516 39,037
J.P. Morgan & Co., Inc. 10,300 1,143,300
KeyCorp 32,100 543,694
Keystone Financial, Inc. 1,800 28,125
M&T Bank Corp. 212 78,228
Marshall & Ilsley Corp. 4,900 225,094
Mellon Financial Corp. 33,400 1,006,175
Mercantile Bankshares Corp. 4,200 105,525
National City Corp. 40,320 776,160
National Commmerce Bancorp 5,800 98,600
North Fork Bancorp, Inc. 10,078 165,027
Northern Trust Corp. 15,100 853,150
Pacific Bank NA 2,100 54,600
Pacific Century Financial 2,400 36,450
Corp.
Peoples Heritage Financial 16,332 173,528
Group, Inc.
PNC Financial Corp. 21,000 812,438
Popular, Inc. 2,600 58,013
Provident Financial Group, 1,300 36,563
Inc.
R&G Financial Corp. Class B 200 1,700
Regions Financial Corp. 18,258 369,725
Republic Bancorp, Inc. 7,480 59,840
Riggs National Corp. 800 7,975
Seacoast Financial Services 838 8,275
Corp.
Silicon Valley Bancshares (a) 2,900 229,825
SouthTrust Corp. 13,800 316,538
State Street Corp. 6,500 473,688
Summit Bancorp 9,700 232,194
Sun Bancorp, Inc. 3,900 26,447
SunTrust Banks, Inc. 21,528 1,093,892
Synovus Finanical Corp. 6,700 109,713
Trustmark Corp. 600 10,163
U.S. Bancorp 49,621 908,685
U.S. Trust Corp. 2,000 277,000
Union Planters Corp. 5,287 144,732
UnionBanCal Corp. 5,400 173,475
United Bankshares, Inc. 1,200 21,975
Valley National Bancorp 341 7,907
SHARES VALUE (NOTE 1)
Wachovia Corp. 13,863 $ 792,790
Wells Fargo & Co. 94,200 3,114,488
West Coast Bancorp 220 2,296
Westamerica Bancorp. 3,700 83,944
Whitney Holding Corp. 100 3,263
Wilmington Trust Corp. 900 42,244
Zions Bancorp 6,868 364,433
35,018,855
CREDIT & OTHER FINANCE - 2.0%
Aames Financial Corp. (a) 3,500 2,188
Actrade International Ltd. (a) 2,900 46,038
Allied Capital Corp. 6,500 112,938
Allstate Financial Corp. (a) 700 634
American Express Co. 24,100 3,233,919
AmeriCredit Corp. (a) 3,500 48,563
AMRESCO, Inc. (a) 12,400 17,050
Arcadia Financial Ltd. (a) 1,100 5,294
Associates First Capital 45,910 912,461
Corp. Class A
Cash America International, 400 4,500
Inc.
CIT Group, Inc. Class A 7,700 107,800
Citigroup, Inc. 180,253 9,316,827
Coast Federal Litigation 200 350
Contingent Payment Rights
Trust rights 12/31/00 (a)
Concord EFS, Inc. (a) 15,925 311,533
Consumer Portfolio Services, 2,400 3,900
Inc. (a)
ContiFinancial Corp. (a) 1,800 126
Countrywide Credit 10,300 256,856
Industries, Inc.
Credit Acceptance Corp. (a) 1,300 7,150
Doral Financial Corp. 1,200 11,775
E-Loan, Inc. 4,000 35,750
ePlus, Inc. (a) 1,200 54,300
Finet.Com, Inc. (a) 4,400 6,050
Finova Group, Inc. 3,400 97,325
First Alliance Corp. (a) 400 1,050
First Charter Corp. 3,200 43,600
Greenpoint Financial Corp. 3,120 49,725
Heller Financial, Inc. Class A 7,664 144,179
Household International, Inc. 31,119 993,863
IMC Mortgage Co. (a) 400 44
Imperial Credit Industries (a) 1,200 6,900
LendingTree, Inc. 950 11,163
MBNA Corp. 36,100 821,275
Metris Companies, Inc. 1,090 28,204
MFN Financial Corp.:
warrants 3/23/02 (a) 10 6
warrants 3/23/03 (a) 10 3
warrants 3/23/04 (a) 10 1
New Century Financial Corp. 3,100 27,900
(a)
NextCard, Inc. 2,000 45,250
Old Kent Financial Corp. 3,087 80,841
Providian Financial Corp. 6,150 398,597
Resource Bancshares Mortgage 905 3,337
Group, Inc.
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
FINANCE - CONTINUED
CREDIT & OTHER FINANCE -
CONTINUED
SierraCities.com, Inc. (a) 1,700 $ 35,913
Southern Pacific Funding 600 54
Corp. (a)
17,285,232
FEDERAL SPONSORED CREDIT - 0.6%
Fannie Mae 59,700 3,164,100
Freddie Mac 41,400 1,728,450
SLM Holding Corp. 11,350 355,397
5,247,947
INSURANCE - 2.8%
21st Century Insurance Group 1,400 24,675
Aetna, Inc. 8,500 349,563
AFLAC, Inc. 18,200 665,438
Alfa Corp. 100 1,638
Allmerica Financial Corp. 3,700 154,475
Allstate Corp. 51,649 1,007,156
Ambac Financial Group, Inc. 6,100 268,019
American Annuity Group, Inc. 1,300 20,313
American Financial Group, 1,700 35,700
Inc.
American General Corp. 15,529 810,420
American International Group, 86,582 7,657,096
Inc.
American National Insurance 100 5,850
Co.
Amerus Life Holdings, Inc. 867 17,611
Aon Corp. 13,050 273,234
Argonaut Group, Inc. 600 11,400
Arthur J. Gallagher & Co. 200 10,225
Atlantic American Corp. (a) 100 250
Berkshire Hathaway, Inc. 82 3,608,000
Class A (a)
Chicago Title Corp. 1,900 88,350
ChoicePoint, Inc. (a) 800 30,150
CIGNA Corp. 11,900 878,369
Cincinnati Financial Corp. 13,900 415,263
Claimsnet.com, Inc. 3,100 27,900
CNA Financial Corp. (a) 5,200 140,400
Commerce Group, Inc. 600 17,925
Conseco, Inc. 10,840 158,535
Delphi Financial Group, Inc. 1,460 38,508
Class A
E.W. Blanch Holdings, Inc. 1,400 65,800
Enhance Financial Services 1,100 12,925
Group, Inc.
Erie Indemnity Co. Class A 300 9,300
Everest Re Group Ltd. (a) 7,000 171,938
Fidelity National Financial, 851 10,691
Inc.
Financial Security Assurance 2,100 94,500
Holdings Ltd.
First American Financial 1,200 13,950
Corp.
First Health Group Corp. (a) 4,300 103,738
FPIC Insurance Group, Inc. (a) 3,300 54,038
Fremont General Corp. 10,500 76,125
Frontier Insurance Group, 13,330 24,994
Inc.
Harleysville Group, Inc. 100 1,306
Hartford Financial Services 14,400 450,000
Group, Inc.
SHARES VALUE (NOTE 1)
Hartford Life, Inc. Class A 3,900 $ 137,963
HCC Insurance Holdings, Inc. 1,500 19,125
Healthcare Recoveries, Inc. 400 1,800
(a)
HealthExtras, Inc. 1,400 9,538
Healthplan Services Corp. 500 2,656
Horace Mann Educators Corp. 1,700 26,350
HSB Group, Inc. 900 22,275
INSpire Insurance Solutions, 4,600 17,825
Inc. (a)
Jefferson-Pilot Corp. 5,800 301,962
LandAmerica Financial Group, 400 7,200
Inc.
Lincoln National Corp. 13,300 369,906
Loews Corp. 8,400 373,800
Marsh & McLennan Companies, 16,950 1,311,506
Inc.
MBIA, Inc. 7,493 287,544
Medical Assurance, Inc. 315 6,182
Mercury General Corp. 1,600 36,300
MGIC Investment Corp. 5,800 216,775
Nationwide Financial 4,700 108,394
Services, Inc. Class A
Ohio Casualty Corp. 2,400 29,700
Old Republic International 4,050 47,334
Corp.
Penncorp Financial Group, 2,600 81
Inc. (a)
PMI Group, Inc. 3,650 132,541
Point West Capital Corp. (a) 2,800 32,200
Presidential Life Corp. 600 9,375
Progressive Corp. 2,300 136,850
Protective Life Corp. 1,886 41,492
Radian Group, Inc. 3,066 106,352
Reinsurance Group of America, 1,000 17,062
Inc.
Reliance Group Holdings, Inc. 13,300 59,019
Reliastar Financial Corp. 5,300 148,069
SAFECO Corp. 12,100 254,100
Selective Insurance Group, 200 3,088
Inc.
Stewart Information Services 400 5,475
Corp.
The Chubb Corp. 11,464 563,885
The St. Paul Companies, Inc. 15,806 353,659
Torchmark Corp. 4,100 81,231
Transatlantic Holdings, Inc. 800 56,350
Travelers Property Casualty 6,800 215,050
Corp. Class A
UICI (a) 1,400 12,250
Unitrin, Inc. 2,000 67,875
UnumProvident Corp. 8,293 110,919
Vesta Insurance Group Corp. 900 4,331
W.R. Berkley Corp. 1,100 17,669
23,568,826
INVESTMENT COMPANIES - 0.0%
THCG, Inc. (a) 1,400 26,075
Winfield Capital Corp. (a) 1,500 45,750
71,825
SAVINGS & LOANS - 0.4%
Ambanc Holding Co., Inc. 300 3,900
Astoria Financial Corp. 7,675 182,761
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
FINANCE - CONTINUED
SAVINGS & LOANS - CONTINUED
Bank Plus Corp. (a) 1,100 $ 2,475
Bank United Corp. Class A 6,900 180,694
BankUnited Financial Corp. 500 3,484
Class A (a)
Bay View Capital Corp. 4,712 41,230
Bedford Bancshares, Inc. 300 2,813
BSB Bancorp, Inc. 100 1,794
CFS Bancorp, Inc. 800 7,050
Charter One Financial, Inc. 18,096 285,012
Commercial Federal Corp. 3,750 48,516
Dime Bancorp, Inc. 7,000 85,313
Golden State Bancorp, Inc. (a) 3,836 49,389
Golden West Financial Corp. 9,900 282,150
HomeFed Corp. (a) 79 46
Independence Community Bank 3,300 36,506
Corp.
Life Financial Corp. (a) 200 750
Net.B@nk, Inc. (a) 3,300 49,913
Ocwen Financial Corp. (a) 2,397 14,232
People's Bank 300 5,986
Provident Bancshares Corp. 735 11,852
Queens County Bancorp, Inc. 900 17,100
Republic Security Financial 1,800 13,275
Corp.
Roslyn Bancorp, Inc. 7,860 120,847
Sovereign Bancorp, Inc. 26,994 195,707
Sterling Financial Corp. (a) 100 1,113
TCF Financial Corp. 5,000 99,063
United Community Financial 7,200 50,400
Corp.
USABancShares, Inc. (a) 3,900 33,881
W Holding Co., Inc. 1,400 11,900
Washington Federal, Inc. 3,921 60,040
Washington Mutual, Inc. 40,710 900,709
Webster Financial Corp. 8,668 183,112
2,983,013
SECURITIES INDUSTRY - 1.6%
4 Kids Entertainment, Inc. (a) 2,000 56,250
A.G. Edwards, Inc. 6,200 196,463
Acacia Research Corp. (a) 1,400 68,163
Affiliated Managers Group, 100 3,931
Inc. (a)
Alliance Capital Management 4,500 168,469
Holding LP
American Capital Strategies 300 7,200
Ltd.
Ameritrade Holding Corp. 5,400 100,913
Class A (a)
AXA Financial, Inc. 27,600 826,275
Charles Schwab Corp. 41,200 1,722,675
DLJ, Inc. 5,400 234,563
Duff & Phelps Credit Rating 900 71,888
Co.
E*Trade Group, Inc. (a) 14,295 352,014
Equitex, Inc. (a) 3,100 31,969
eSpeed, Inc. Class A 1,400 86,713
Franklin Resources, Inc. 11,900 323,531
Friedman, Billings, Ramsey 2,500 40,000
Group, Inc. Class A (a)
GlobalNet Financial.com, Inc. 1,400 60,725
(a)
SHARES VALUE (NOTE 1)
Goldman Sachs Group, Inc. 5,600 $ 518,000
Investment Technology Group, 776 30,070
Inc.
JB Oxford Holdings, Inc. (a) 4,900 38,588
Jefferies Group, Inc. 1,900 44,413
Kansas City Southern 4,300 338,625
Industries, Inc.
Knight/Trimark Group, Inc. 4,700 220,313
Class A (a)
Legg Mason, Inc. 1,600 62,800
Lehman Brothers Holdings, 4,700 340,750
Inc.
Macrovision Corp. (a) 1,800 179,550
Merrill Lynch & Co., Inc. 18,100 1,855,250
Meyerson & Co., Inc. (a) 1,900 9,975
Morgan Stanley Dean Witter & 62,500 4,402,344
Co.
National Discount Brokers 2,500 112,656
Group, Inc. (a)
Nvest LP 100 1,656
PaineWebber Group, Inc. 5,350 204,638
PIMCO Advisors Holdings LP 3,767 143,381
unit
Pioneer Group, Inc. (a) 1,000 20,063
Raymond James Financial, Inc. 1,450 28,638
Reckson Service Industries, 2,200 118,388
Inc. (a)
Security Capital Group, Inc. 2,000 25,875
Class B (a)
Siebert Financial Corp. 1,500 23,063
Southwest Securities Group, 1,990 91,291
Inc.
T. Rowe Price Associates, 6,900 227,269
Inc.
TD Waterhouse Group, Inc. 1,800 32,963
The Bear Stearns Companies, 9,814 385,200
Inc.
United Asset Management Corp. 2,800 41,825
Waddell & Reed Financial, 1,979 57,267
Inc. Class A
Web Street, Inc. 4,500 29,531
Wit Capital Group, Inc. 4,200 67,988
14,004,112
TOTAL FINANCE 98,179,810
HEALTH - 9.4%
DRUGS & PHARMACEUTICALS - 6.8%
Aastrom Biosciences, Inc. (a) 7,200 22,725
Abgenix, Inc. (a) 800 257,700
Advanced Photonix, Inc. Class 5,600 68,250
A (a)
Advanced Tissue Sciences, 1,500 11,438
Inc. (a)
Alexion Pharmaceuticals, Inc. 200 17,050
(a)
Algos Pharmaceutical Corp. (a) 500 9,969
Alkermes, Inc. (a) 2,100 402,938
Allergan Specialty 15 225
Therapeutics, Inc. Class A
(a)
Allergan, Inc. 6,600 332,063
Alpharma, Inc. Class A 2,900 100,413
ALZA Corp. Class A. (a) 4,420 162,159
American Home Products Corp. 67,600 2,940,600
Amgen, Inc. (a) 53,600 3,654,850
Andrx Corp. (a) 3,100 297,794
Anesta Corp. (a) 1,800 40,050
Antigenics, Inc. 1,300 58,500
Ariad Pharmaceuticals, Inc. 4,000 105,000
(a)
Arqule, Inc. (a) 2,100 74,550
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
HEALTH - CONTINUED
DRUGS & PHARMACEUTICALS -
CONTINUED
AVI BioPharma, Inc. (a) 2,700 $ 70,200
Aviron (a) 2,900 117,631
AXYS Pharmaceuticals, Inc. (a) 7,135 114,160
Barr Laboratories, Inc. (a) 800 38,100
Bausch & Lomb, Inc. 2,900 152,975
Bio-Technology General Corp. 6,300 121,078
(a)
BioCryst Pharmaceuticals, 1,700 45,900
Inc. (a)
Biogen, Inc. (a) 7,200 777,150
Biomatrix, Inc. (a) 1,800 52,875
BioSource International, Inc. 3,400 81,600
(a)
BioTime, Inc. (a) 400 6,425
Bristol-Myers Squibb Co. 107,400 6,101,663
Cambrex Corp. 800 32,100
Catalytica, Inc. (a) 500 6,438
Celgene Corp. (a) 1,500 248,250
Cell Genesys, Inc. (a) 4,600 178,825
Cell Pathways, Inc. (a) 300 14,100
Cell Therapeutics, Inc. (a) 3,400 134,300
Cephalon, Inc. (a) 200 13,294
Chattem, Inc. (a) 400 7,200
Chirex, Inc. (a) 3,900 97,013
Chiron Corp. (a) 8,200 410,000
Collagenex Pharmaceuticals, 2,200 43,450
Inc. (a)
Columbia Laboratories, Inc. 1,300 16,413
(a)
COR Therapeutics, Inc. (a) 800 71,700
Coulter Pharmaceutical, Inc. 500 19,375
(a)
Creative Biomolecules, Inc. 5,600 107,800
(a)
Cubist Pharmaceuticals, Inc. 3,100 181,931
(a)
CuraGen Corp. (a) 1,300 297,050
Curative Health Services, 1,000 6,000
Inc. (a)
CV Therapeutics, Inc. (a) 2,400 154,800
CYTOGEN Corp. (a) 11,700 204,750
Cytotherapeutics, Inc. (a) 4,500 37,125
Cytyc Corp. (a) 400 18,400
Diversa Corp. 1,800 240,300
Dura Pharmaceuticals, Inc. (a) 6,700 92,963
Duramed Pharmaceuticals, Inc. 2,000 24,000
(a)
Eli Lilly & Co. 60,800 3,613,800
EntreMed, Inc. (a) 500 49,250
Enzo Biochem, Inc. (a) 1,305 103,421
Enzon, Inc. (a) 3,300 191,400
Forest Laboratories, Inc. (a) 3,600 245,925
GelTex Pharmaceuticals, Inc. 3,900 85,556
(a)
Gene Logic, Inc. (a) 1,100 131,313
Genelabs Technologies, Inc. 9,400 101,050
(a)
Genentech, Inc. 5,300 1,022,238
Genome Therapeutics Corp. (a) 3,000 148,500
Genta, Inc. (a) 6,800 73,950
Genzyme Corp.:
- - General Division 3,600 206,775
- - Molecular Oncology (a) 918 24,499
SHARES VALUE (NOTE 1)
Genzyme Transgenics Corp. (a) 2,000 $ 89,000
Geron Corp. (a) 2,800 153,475
Gliatech, Inc. (a) 3,100 63,550
Guilford Pharmaceuticals, 300 9,938
Inc. (a)
Hemispherx Biopharma, Inc. (a) 800 13,300
Herbalife International, Inc. 433 6,495
Class A
Hollis-Eden Pharmaceutcals, 1,300 24,863
Inc. (a)
Human Genome Sciences, Inc. 2,100 458,325
(a)
Hyseq, Inc. (a) 1,400 141,750
ICN Pharmaceuticals, Inc. 2,200 43,725
ICOS Corp. (a) 3,100 162,363
IDEC Pharmaceuticals Corp. (a) 1,800 253,575
IDEXX Laboratories, Inc. (a) 1,200 35,475
IGEN International, Inc. (a) 1,900 52,725
Imclone Systems, Inc. (a) 1,500 196,594
Immtech International, Inc. 1,200 30,000
(a)
Immunex Corp. (a) 8,400 1,658,475
Immunomedics, Inc. (a) 4,400 128,150
Incyte Pharmaceuticals, Inc. 1,400 385,788
(a)
Inhale Therapeutic Systems, 1,900 192,375
Inc. (a)
InKine Pharmaceutical, Inc. 4,200 33,600
(a)
International Isotopes, Inc. 100 663
(a)
Invitrogen Corp. 1,900 160,550
Irvine Sensors Corp. (a) 7,300 83,494
Isis Pharmaceuticals Co. (a) 6,900 97,463
Jones Pharma, Inc. 3,650 261,888
King Pharmaceuticals, Inc. (a) 3,450 164,522
Kos Pharmaceuticals, Inc. (a) 900 17,100
Ligand Pharmaceuticals, Inc. 900 19,575
Class B (a)
Lynx Therapeutics, Inc. (a) 1,500 144,000
Matrix Pharmaceutical, Inc. 6,200 107,725
(a)
Maxygen, Inc. 1,300 190,613
Medarex, Inc. (a) 1,700 276,250
Medicis Pharmaceutical Corp. 750 37,828
Class A (a)
Medimmune, Inc. (a) 3,100 615,350
Merck & Co., Inc. 127,300 7,836,906
Microvision, Inc. (a) 2,100 134,531
Millennium Pharmaceuticals, 2,100 546,263
Inc. (a)
Mylan Laboratories, Inc. 6,000 138,000
Myriad Genetics, Inc. (a) 1,100 169,950
Nanogen, Inc. (a) 2,000 157,000
Nature's Sunshine Products, 100 1,050
Inc.
NBTY, Inc. (a) 7,600 106,875
NeoRX Corp. (a) 700 12,425
NeoTherapeutics, Inc. (a) 300 5,175
Noven Pharmaceuticals, Inc. 4,300 62,081
(a)
Organogenesis, Inc. (a) 950 14,250
OSI Pharmaceuticals, Inc. (a) 3,400 95,413
PAREXEL International Corp. 1,800 24,525
(a)
PathoGenesis Corp. (a) 900 27,788
PE Corp. - Celera Genomics 2,518 614,392
Group (a)
Pfizer, Inc. 204,700 6,575,988
Pharmaceutical Product 5,000 121,250
Development, Inc. (a)
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
HEALTH - CONTINUED
DRUGS & PHARMACEUTICALS -
CONTINUED
Pharmacyclics, Inc. (a) 1,600 $ 127,700
PharmaPrint, Inc. (a) 15,400 32,725
Protein Design Labs, Inc. (a) 1,700 425,319
Pure World, Inc. (a) 330 1,310
Quintiles Transnational Corp. 6,566 194,928
(a)
Repligen Corp. (a) 10,100 132,563
Rexall Sundown, Inc. (a) 9,400 141,000
Sangstat Medical Corp. (a) 1,800 77,850
Schering-Plough Corp. 76,900 2,681,888
Scios, Inc. (a) 2,400 19,200
Sepracor, Inc. (a) 4,400 446,050
Serologicals Corp. (a) 3,450 38,813
Sigma-Aldrich Corp. 10,700 254,125
SkyePharma PLC rights 100 0
12/31/99 (a)
SonoSight, Inc. (a) 333 11,031
SuperGen, Inc. (a) 2,800 172,375
Targeted Genetics Corp. (a) 2,100 44,888
Technical Chemicals & 100 275
Products, Inc. (a)
Techniclone Corp. (a) 12,200 105,606
Texas Biotechnology Corp. (a) 100 2,238
Theragenics Corp. (a) 1,300 17,956
Titan Pharmaceuticals, Inc. 2,800 140,700
(a)
Transkaryotic Therapies, Inc. 2,900 145,363
(a)
Trimeris, Inc. (a) 1,200 74,400
Tularik, Inc. 2,000 157,750
Twinlab Corp. (a) 1,200 7,425
VaxGen, Inc. 2,900 50,025
Ventana Medical Systems, Inc. 1,700 95,838
(a)
Vertex Pharmaceuticals, Inc. 2,300 167,038
(a)
Vical, Inc. (a) 400 23,625
ViroPharma, Inc. (a) 1,200 112,350
Vivus, Inc. (a) 9,800 56,350
Warner-Lambert Co. 45,900 3,927,319
Watson Pharmaceuticals, Inc. 5,539 221,560
(a)
XOMA Ltd. (a) 10,000 92,500
Zila, Inc. (a) 4,300 23,113
Zonagen, Inc. (a) 600 5,100
58,074,005
MEDICAL EQUIPMENT & SUPPLIES
- - 2.2%
Abbott Laboratories 86,385 2,829,109
Acuson Corp. (a) 900 12,038
ADAC Laboratories (a) 1,900 23,631
ALARIS Medical, Inc. (a) 2,200 5,088
Allscripts, Inc. 2,200 151,800
AmeriSource Health Corp. 3,500 50,969
Class A (a)
Arthrocare Corp. (a) 1,300 160,550
Bacou USA, Inc. (a) 600 9,038
Baxter International, Inc. 17,800 970,100
Becton, Dickinson & Co. 10,200 316,838
Bergen Brunswig Corp. Class A 3,827 18,896
Bindley Western Industries, 888 15,263
Inc.
SHARES VALUE (NOTE 1)
Bio-Rad Laboratories, Inc. 100 $ 3,288
Class A (a)
Bio-Vascular, Inc. (a) 1,000 4,781
Biomet, Inc. 8,700 287,100
Boston Scientific Corp. (a) 17,300 315,725
BriteSmile, Inc. (a) 2,800 36,925
C.R. Bard, Inc. 3,400 134,300
Candela Corp. (a) 3,750 56,250
Cardinal Health, Inc. 12,668 522,555
Closure Medical Corp. (a) 1,400 30,800
Coherent, Inc. (a) 2,700 286,200
Colorado Medtech, Inc. (a) 3,200 40,000
CONMED Corp. (a) 3,600 99,000
Cooper Companies, Inc. 100 2,744
Cyberonics, Inc. (a) 700 17,850
Cygnus, Inc. (a) 3,700 68,219
Datascope Corp. 2,100 83,738
DENTSPLY International, Inc. 5,400 138,375
Eclipse Surgical Technologies 300 2,588
(a)
Fusion Medical Technologies, 600 10,500
Inc. (a)
Genzyme Corp. - Surgical 483 6,098
Products
Guidant Corp. (a) 14,700 990,413
Haemonetics Corp. (a) 800 19,050
Heartport, Inc. (a) 1,300 7,800
Henry Schein, Inc. (a) 1,300 24,375
Hologic, Inc. (a) 5,800 39,875
I-Stat Corp. (a) 100 1,694
Imatron, Inc. (a) 15,500 51,828
Implant Sciences Corp. (a) 200 2,025
INAMED Corp. (a) 2,300 87,113
Interpore International, Inc. 5,700 76,950
(a)
Invacare Corp. 2,800 68,250
Johnson & Johnson 78,044 5,599,657
KeraVision, Inc. (a) 5,500 41,594
LaserSight, Inc. (a) 1,700 16,363
LightPath Technologies, Inc. 1,600 75,200
(a)
Mallinckrodt, Inc. 2,100 51,713
McKesson HBOC, Inc. 10,357 200,667
Medtronic, Inc. 61,426 2,975,322
Mentor Corp. 600 16,650
Micro Therapeutics, Inc. (a) 5,800 45,313
Millipore Corp. 2,600 138,938
MiniMed, Inc. (a) 2,400 239,700
NCS HealthCare, Inc. (a) 1,000 2,281
Neoprobe Corp. (a) 100 184
Novoste Corp. (a) 2,800 102,200
Oakley, Inc. (a) 2,300 19,838
Ocular Sciences, Inc. (a) 2,600 39,000
Omnicare, Inc. 7,200 66,150
Osteotech, Inc. (a) 3,150 50,597
Patterson Dental Co. (a) 2,800 100,888
Perrigo Co. (a) 3,000 22,031
PLC Systems, Inc. (a) 400 1,100
Priority Healthcare Corp. (a) 1,897 91,056
PSS World Medical, Inc. (a) 9,500 61,156
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
HEALTH - CONTINUED
MEDICAL EQUIPMENT & SUPPLIES
- - CONTINUED
Resmed, Inc. (a) 1,100 $ 82,088
Respironics, Inc. (a) 500 7,031
Sabratek Corp. (a) 1,500 435
Sonus Pharmaceuticals, Inc. 200 1,250
(a)
Spacelabs Medical, Inc. (a) 500 7,875
St. Jude Medical, Inc. (a) 2,472 64,581
Steris Corp. (a) 2,000 19,375
Stryker Corp. 4,100 239,850
Summit Technology, Inc. (a) 900 6,750
Sunrise Technologies, Inc. (a) 4,400 36,300
Sybron International, Inc. (a) 3,000 84,000
Techne Corp. (a) 2,400 205,875
Thermo Cardiosystems, Inc. (a) 1,200 17,550
Uromed Corp. (a) 20 138
Varian Medical Systems, Inc. 1,000 39,938
Ventiv Health, Inc. (a) 4,833 38,664
VISX, Inc. (a) 2,200 37,263
Wesley Jessen Visioncare, 2,300 66,125
Inc. (a)
Zoll Medical Corp. (a) 1,300 67,600
19,060,015
MEDICAL FACILITIES MANAGEMENT
- - 0.4%
Advance Paradigm, Inc. (a) 3,500 82,797
American Healthcorp, Inc. (a) 100 459
American HomePatient, Inc. (a) 1,300 813
AmeriPath, Inc. (a) 900 8,888
Amsurg Corp. Class A (a) 9 56
Apria Healthcare Group, Inc. 1,400 19,950
(a)
ARV Assisted Living, Inc. (a) 100 138
Beverly Enterprises, Inc. (a) 1,000 2,625
Carematrix Corp. (a) 2,800 5,075
Columbia/HCA Healthcare Corp. 36,500 704,906
Covance, Inc. (a) 3,800 54,150
Coventry Health Care, Inc. (a) 300 2,456
Express Scripts, Inc. Class A 2,900 133,581
(a)
Foundation Health Systems, 3,500 29,094
Inc. Class A (a)
Genesis Health Ventures, Inc. 1,700 2,550
(a)
Health Management Associates, 10,850 116,638
Inc. Class A (a)
HEALTHSOUTH Corp. (a) 21,719 105,880
Humana, Inc. (a) 4,600 31,338
IMPATH, Inc. (a) 2,600 85,150
Innovative Clinical Solutions 200 66
Ltd. (a)
Integrated Health Services, 2,200 286
Inc. (a)
LCA-Vision, Inc. (a) 6,500 32,297
Lifepoint Hospitals, Inc. (a) 4,163 62,705
Lincare Holdings, Inc. (a) 3,800 89,063
Manor Care, Inc. (a) 3,300 28,669
Medical Resources, Inc. (a) 66 25
Medquist, Inc. (a) 4,700 121,025
Mid-Atlantic Medical 1,600 13,100
Services, Inc. (a)
SHARES VALUE (NOTE 1)
Neurocrine Biosciences, Inc. 2,500 $ 92,500
(a)
NovaCare, Inc. (a) 300 53
Orthodontic Centers of 3,900 67,519
America, Inc. (a)
Oxford Health Plans, Inc. (a) 2,300 35,506
PacifiCare Health Systems, 3,900 177,206
Inc. Class A (a)
Pediatrix Medical Group (a) 1,300 10,238
Phycor, Inc. (a) 1,800 2,081
Province Healthcare Co. (a) 600 12,075
Quest Diagnostics, Inc. (a) 900 30,881
Quorum Health Group, Inc. (a) 8,100 72,141
Renal Care Group, Inc. (a) 5,150 90,447
Res-Care, Inc. (a) 2,400 23,850
Sunrise Assisted Living, Inc. 4,500 56,813
(a)
Tenet Healthcare Corp. (a) 15,900 278,250
Total Renal Care Holdings, 2,267 6,801
Inc. (a)
Triad Hospitals, Inc. (a) 4,763 76,208
Trigon Healthcare, Inc. (a) 4,000 127,750
United HealthCare Corp. 7,000 357,875
Universal Health Services, 3,500 136,063
Inc. Class B (a)
Urologix, Inc. (a) 1,000 8,875
US Oncology, Inc. (a) 482 1,988
Wellpoint Health Networks, 2,800 189,000
Inc. (a)
3,587,900
TOTAL HEALTH 80,721,920
HOLDING COMPANIES - 0.0%
Leucadia National Corp. 1,300 27,788
Triarc Companies, Inc. Class 775 14,677
A (a)
42,465
INDUSTRIAL MACHINERY &
EQUIPMENT - 4.2%
ELECTRICAL EQUIPMENT - 3.4%
A.O. Smith Corp. Class B 750 12,938
Adaptive Broadband Corp. (a) 800 92,025
Adtran, Inc. (a) 3,300 242,756
Advanced Lighting 1,000 6,500
Technologies, Inc. (a)
Airnet Communications Corp. 2,600 152,100
Allen Telecom, Inc. (a) 900 12,375
American Power Conversion 10,800 366,525
Corp. (a)
AMETEK, Inc. 1,000 16,938
Amplidyne, Inc. (a) 3,300 26,813
Andrea Electronics Corp. (a) 500 6,531
Anicom, Inc. (a) 100 819
ANTEC Corp. (a) 1,600 84,700
Avid Technology, Inc. (a) 1,600 28,100
BMC Industries, Inc. 900 4,950
C-COR.net Corp. (a) 2,800 125,213
California Amplifier, Inc. (a) 1,800 81,225
Comtech Telecommunications 2,300 51,750
Corp. (a)
Cymer, Inc. (a) 2,800 153,650
Data Critical Corp. 2,500 98,750
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
INDUSTRIAL MACHINERY &
EQUIPMENT - CONTINUED
ELECTRICAL EQUIPMENT -
CONTINUED
Electric Fuel Corp. (a) 4,300 $ 86,000
Emerson Electric Co. 27,843 1,268,597
Energy Conversion Devices, 3,000 67,125
Inc. (a)
FuelCell Energy, Inc. 600 44,850
General Electric Co. 176,328 23,308,358
Genlyte Group, Inc. (a) 300 6,000
Gentner Communications Corp. 2,600 60,938
(a)
Glenayre Technologies, Inc. 7,900 157,013
(a)
Global Technologies Ltd. (a) 2,200 41,800
Harris Corp. 6,600 210,375
Hubbell, Inc. Class B 3,100 75,369
IEC Electronics Corp. (a) 100 313
L-3 Communications Holdings, 2,900 123,431
Inc. (a)
Littelfuse, Inc. (a) 800 23,900
Loral Space & Communications 8,700 131,044
Ltd. (a)
MagneTek, Inc. (a) 6,100 52,613
Ortel Corp. (a) 500 90,500
Pinnacle Systems (a) 2,500 125,313
Plug Power, Inc. 3,000 352,313
Powerwave Technologies, Inc. 800 127,900
(a)
Rofin Sinar Technologies, 300 4,088
Inc. (a)
Roper Industries, Inc. 800 21,800
Satcon Technology Corp. (a) 2,300 75,325
Scientific-Atlanta, Inc. 3,500 359,406
Sensormatic Electronics Corp. 6,400 121,600
(a)
SLI, Inc. 5,250 63,984
Socket Communications, Inc. 2,900 92,438
(a)
SonicWALL, Inc. 2,300 208,150
Spectra Physics Lasers, Inc. 1,900 132,050
(a)
Spectrian Corp. (a) 800 18,400
Spectrum Control, Inc. (a) 4,600 71,588
Teledyne Technologies, Inc. 6,300 54,731
(a)
Teleflex, Inc. 1,100 31,075
Telular Corp. (a) 2,500 68,125
Thomas & Betts Corp. 4,400 98,725
TrueTime, Inc. 3,100 40,300
ViaSat, Inc. (a) 1,300 101,400
ViewCast.com, Inc. (a) 3,200 18,200
W.W. Grainger, Inc. 7,600 325,375
Zoltek Companies, Inc. (a) 800 8,500
29,833,670
INDUSTRIAL MACHINERY &
EQUIPMENT - 0.7%
AGCO Corp. 4,000 44,000
Allied Products Corp. 800 2,650
Applied Industrial 700 12,688
Technologies, Inc.
Applied Power, Inc. Class A 2,500 60,469
Astec Industries, Inc. (a) 1,000 26,625
Asyst Technologies, Inc. (a) 2,800 128,450
BOLDER Technologies Corp. (a) 400 4,025
Briggs & Stratton Corp. 800 26,750
Brooks Automation, Inc. (a) 400 28,900
SHARES VALUE (NOTE 1)
Caterpillar, Inc. 23,200 $ 813,450
Cooper Industries, Inc. 5,900 178,475
CUNO, Inc. (a) 400 9,750
Deere & Co. 12,100 432,575
Dover Corp. 14,000 539,875
DT Industries, Inc. 300 3,863
Exide Corp. 1,000 10,125
Flow International Corp. (a) 600 7,088
FSI International, Inc. (a) 4,300 84,119
Harnischfeger Industries, 14,500 10,875
Inc.
Hirsch International Corp. 900 1,125
Class A (a)
Hughes Supply, Inc. 600 10,725
Ibis Technology Corp. (a) 1,000 77,000
Illinois Tool Works, Inc. 18,828 973,172
Ingersoll-Rand Co. 12,100 463,581
Ionics, Inc. (a) 500 14,250
ITT Industries, Inc. 4,000 97,000
JLG Industries, Inc. 2,200 19,800
JLK Direct Distrution, Inc. 300 3,281
Class A (a)
Kaydon Corp. 900 20,700
Kennametal, Inc. 2,300 53,475
Manitowoc Co., Inc. 750 20,203
Mark IV Industries, Inc. 2,500 50,000
Mattson Technology, Inc. (a) 2,600 106,600
Milacron, Inc. 600 8,325
MSC Industrial Direct, Inc. 2,700 42,188
(a)
Nordson Corp. 600 23,250
Pall Corp. 3,700 73,075
Parker-Hannifin Corp. 9,000 326,250
PRI Automation, Inc. (a) 1,700 135,788
Robotic Vision Systems, Inc. 5,700 99,750
(a)
Semitool, Inc. (a) 2,800 117,600
SpeedFam-IPEC, Inc. (a) 3,942 113,579
Stewart & Stevenson Services, 1,000 9,813
Inc.
Tenneco Automotive, Inc. 6,460 47,643
Terex Corp. (a) 2,300 27,313
The Stanley Works 2,400 55,200
Timken Co. 1,300 18,606
UCAR International, Inc. (a) 2,400 36,600
Ultratech Stepper, Inc. (a) 1,000 17,500
Valmont Industries, Inc. 700 10,588
Varian Semiconductor 3,500 203,438
Equipment Associates, Inc.
(a)
Veeco Instruments, Inc. (a) 1,900 156,038
5,858,208
POLLUTION CONTROL - 0.1%
Allied Waste Industries, Inc. 3,325 18,703
(a)
Aquagenix, Inc. (a) 100 1
Casella Waste Systems, Inc. 1,253 8,575
Class A (a)
Flanders Corp. (a) 300 975
Kaiser Group International, 300 169
Inc. (a)
Ogden Corp. 1,500 17,063
Republic Services, Inc. Class 7,100 77,213
A (a)
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
INDUSTRIAL MACHINERY &
EQUIPMENT - CONTINUED
POLLUTION CONTROL - CONTINUED
Safety-Kleen Corp. (a) 2,560 $ 12,480
Tetra Tech, Inc. (a) 6,325 158,520
U.S. Plastic Lumber Co. (a) 6,700 53,600
Waste Connections, Inc. (a) 5,100 54,188
Waste Management, Inc. 42,252 633,780
1,035,267
TOTAL INDUSTRIAL MACHINERY & 36,727,145
EQUIPMENT
MEDIA & LEISURE - 5.5%
BROADCASTING - 2.9%
5th Avenue Channel Corp. (a) 700 5,250
Adelphia Communications Corp. 4,402 241,835
Class A (a)
American Tower Corp. Class A 6,100 300,425
(a)
AMFM, Inc. (a) 8,189 502,600
Ascent Entertainment Group, 4,500 68,344
Inc. (a)
BHC Communications, Inc. 600 95,700
Class A
Cablevision Systems Corp. 8,600 552,013
Class A (a)
CAIS Internet, Inc. 2,400 91,800
CBS Corp. (a) 41,121 2,449,270
Charter Communications, Inc. 8,400 147,525
Chris-Craft Industries, Inc. 2,730 179,668
Citadel Communications Corp. 2,200 74,525
(a)
Classic Communications, Inc. 2,400 51,600
Class A
Clear Channel Communications, 15,939 1,061,936
Inc. (a)
Comcast Corp. Class A 46,600 1,980,500
(special)
Cox Communications, Inc. 34,101 1,549,464
Class A (a)
Cox Radio, Inc. Class A (a) 800 64,000
CTC Communications Group, 2,000 150,000
Inc. (a)
Cumulus Media, Inc. (a) 2,300 68,713
E.W. Scripps Co. Class A 2,100 90,563
EchoStar Communications Corp. 5,000 570,000
Class A (a)
Emmis Communications Corp. 3,600 131,400
Class A (a)
Hearst-Argyle Television, 1,527 31,781
Inc. (a)
Hispanic Broadcasting Corp. 3,900 364,406
(a)
Impsat Fiber Networks, Inc. 5,020 184,171
Infinity Broadcasting Corp. 16,793 536,326
Class A (a)
Insight Communications, Inc. 4,700 98,113
Jones Intercable, Inc. Class 3,900 228,394
A (a)
Mediacom Communications Corp. 3,350 57,159
MediaOne Group, Inc. (a) 34,300 2,692,550
Metro One Telecommunications, 3,500 52,500
Inc. (a)
Metromedia International 2,200 15,125
Group, Inc. (a)
Netro Corp. 3,600 153,450
New Frontier Media, Inc. (a) 5,100 42,394
NorthPoint Communication 4,300 97,556
Holdings, Inc.
NTL, Inc. (a) 7,750 709,125
PanAmSat Corp. (a) 3,400 165,963
SHARES VALUE (NOTE 1)
Paxson Communications Corp. 2,900 $ 29,725
(a)
Pegasus Communications Corp. 1,600 198,400
(a)
Radio One, Inc. 1,800 118,350
Radio Unica Communications 2,900 40,781
Corp.
Sinclair Broadcast Group, 7,100 67,450
Inc. Class A (a)
Sirius Satellite Radio, Inc. 2,200 134,200
(a)
Spanish Broadcasting System, 3,500 66,938
Inc. Class A
Spectrasite Holdings, Inc. (a) 3,800 95,238
SpeedUs.com (a) 5,900 121,319
TCI Satellite Entertainment, 5,500 69,438
Inc. Class A (a)
Telscape International, Inc. 3,700 52,725
(a)
Time Warner, Inc. 68,800 5,882,400
TV Guide, Inc. (a) 6,400 301,600
UnitedGlobalCom, Inc. (a) 3,400 355,300
Univision Communications, 6,500 662,188
Inc. Class A (a)
US Wireless Corp. (a) 2,200 67,375
USA Networks, Inc. (a) 18,624 417,876
ValueVision International, 3,100 155,000
Inc. (a)
Westwood One, Inc. (a) 1,500 100,219
Xm Satellite Radio Holdings, 3,000 119,813
Inc. Class A
Young Broadcasting, Inc. 2,200 53,075
Class A (a)
YouthStream Media Networks, 1,300 24,863
Inc. (a)
24,990,417
ENTERTAINMENT - 1.1%
Alliance Gaming Corp. (a) 28 80
American Bingo & Gaming Corp. 2,100 2,100
(a)
American Classic Voyages Co. 500 11,875
(a)
American Coin Merchandising, 100 281
Inc. (a)
AMF Bowling, Inc. (a) 2,000 6,500
Bally Total Fitness Holding 700 18,813
Corp. (a)
Brilliant Digital 500 3,500
Entertainment, Inc. (a)
Carmike Cinemas, Inc. Class A 200 1,563
(a)
Carnival Corp. 36,000 1,037,250
Cedar Fair LP (depository 100 1,844
unit)
Family Golf Centers, Inc. (a) 2,700 3,375
Fox Entertainment Group, Inc. 14,600 384,163
Class A
Hollywood Entertainment Corp. 5,900 60,106
(a)
Image Entertainment, Inc. (a) 700 3,456
International Speedway Corp. 1,300 57,525
Class A
Kushner Locke Co. (a) 6,400 29,000
Laser-Pacific Media Corp. (a) 2,700 32,400
Mandalay Resort Group (a) 5,000 70,313
Metro-Goldwyn-Mayer, Inc. (a) 6,600 157,575
MGM Grand, Inc. 9,602 190,840
Park Place Entertainment 27,800 314,488
Corp. (a)
Pixar (a) 4,500 157,500
Platinum Entertainment, Inc. 500 1,625
(a)
Premier Parks, Inc. (a) 4,300 87,075
Rentrak Corp. (a) 600 3,375
SFX Entertainment, Inc. Class 1,500 57,750
A (a)
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
MEDIA & LEISURE - CONTINUED
ENTERTAINMENT - CONTINUED
Speedway Motorsports, Inc. (a) 1,200 $ 36,750
Ticketmaster Online 2,000 69,781
CitySearch, Inc. (a)
Venture Catalyst, Inc. (a) 2,700 34,425
Viacom, Inc. Class B 41,000 2,285,750
(non-vtg.) (a)
Walt Disney Co. 113,300 3,795,550
World Wrestling Federation 3,400 44,200
Entertainment, Inc. Class A
Zomax, Inc. (a) 1,800 88,088
9,048,916
LEISURE DURABLES & TOYS - 0.2%
Adams Golf, Inc. (a) 400 725
Arctic Cat, Inc. 1,000 10,125
Brunswick Corp. 2,700 47,756
Callaway Golf Co. 3,900 46,800
Champion Enterprises, Inc. (a) 1,500 9,469
Coachmen Industries, Inc. 300 3,600
Equity Marketing, Inc. (a) 2,400 24,300
Harley-Davidson, Inc. 10,000 681,250
Hasbro, Inc. 11,050 174,038
JAKKS Pacific, Inc. (a) 3,450 56,925
K2, Inc. 700 4,944
Mattel, Inc. 18,016 173,404
National R.V. Holdings, Inc. 300 3,900
(a)
Play By Play Toys & 6,500 15,438
Novelties, Inc. (a)
Polaris Industries, Inc. 900 27,563
Rawlings Sporting Goods, Inc. 4,400 26,400
(a)
Silicon Gaming, Inc. (a) 100 38
T-HQ, Inc. (a) 2,400 48,450
Toymax International, Inc. (a) 4,000 15,000
West Marine, Inc. (a) 600 5,175
Winnebago Industries, Inc. 3,100 66,263
1,441,563
LODGING & GAMING - 0.2%
Anchor Gaming (a) 800 33,300
Aztar Corp. (a) 400 3,800
Boca Resorts, Inc. Class A (a) 100 900
Boyd Gaming Corp. (a) 300 1,556
Championship Auto Racing 1,900 38,000
Teams, Inc. (a)
Churchill Downs, Inc. 2,200 48,813
Extended Stay America, Inc. 2,800 18,200
(a)
Gtech Holdings Corp. (a) 1,200 24,000
Harrah's Entertainment, Inc. 1,900 36,338
(a)
Hilton Hotels Corp. 18,237 127,659
International Game Technology 4,050 72,141
Interstate Hotels Corp. (a) 127 397
Lodgian, Inc. (a) 300 1,200
Marriott International, Inc. 17,500 482,344
Class A
Mirage Resorts, Inc. (a) 18,900 300,038
Prime Hospitality Corp. (a) 1,900 16,150
SHARES VALUE (NOTE 1)
Starwood Hotels & Resorts 15,356 $ 344,550
Worldwide, Inc. unit
Station Casinos, Inc. (a) 1,000 19,625
Suburban Lodges of America, 200 1,100
Inc. (a)
Sunterra Corp. (a) 500 1,313
Trump Hotels & Casino 700 2,188
Resorts, Inc. (a)
U.S. Franchise Systems, Inc. 6,700 34,756
Class A (a)
WMS Industries, Inc. (a) 1,300 14,788
1,623,156
PUBLISHING - 0.6%
A.H. Belo Corp. Class A 3,200 41,200
American Greetings Corp. 3,100 53,475
Class A
Applied Graphics 860 3,655
Technologies, Inc. (a)
Banta Corp. 1,200 21,900
Central Newspapers, Inc. 800 22,850
Class A
Dow Jones & Co., Inc. 5,400 336,825
Gannet Co., Inc. 17,800 1,160,338
Gibson Greetings, Inc. (a) 4,000 32,250
Harcourt General, Inc. 6,700 230,731
Harte Hanks Communications, 1,200 26,175
Inc.
Hollinger International, Inc. 6,900 83,231
Class A
Houghton Mifflin Co. 900 35,831
John Wiley & Sons, Inc. Class 1,800 25,650
A
Journal Register Co. (a) 300 4,125
Knight-Ridder, Inc. 8,000 375,000
Lee Enterprises, Inc. 1,300 27,056
Martha Stewart Living 2,300 59,081
Omnimedia, Inc. Class A
McGraw-Hill Companies, Inc. 14,200 722,425
Meredith Corp. 1,500 42,938
Penton Media, Inc. 3,000 78,750
PRIMEDIA, Inc. (a) 3,200 59,400
Reader's Digest Association, 3,000 103,125
Inc. Class A (non-vtg.)
Scholastic Corp. (a) 2,300 119,169
The McClatchy Co. Class A 1,300 44,931
The New York Times Co. Class A 12,300 519,675
Times Mirror Co. Class A 4,100 209,100
Topps Co., Inc. (a) 6,000 45,000
Tribune Co. 16,500 642,469
Washington Post Co. Class B 487 237,534
Ziff-Davis, Inc. - ZD (a) 3,000 57,000
5,420,889
RESTAURANTS - 0.5%
Applebee's International, 4,400 123,887
Inc.
Avado Brands, Inc. 800 3,475
Bob Evans Farms, Inc. 4,800 65,100
Boston Chicken, Inc. (a) 400 44
Brinker International, Inc. 5,000 108,750
(a)
Buca, Inc. 4,700 66,388
Buffets, Inc. (a) 4,700 40,831
CBRL Group, Inc. 9,500 87,875
CEC Entertainment, Inc. (a) 750 17,063
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
MEDIA & LEISURE - CONTINUED
RESTAURANTS - CONTINUED
Cheesecake Factory, Inc. (a) 1,250 $ 37,188
CKE Restaurants, Inc. 1,711 10,908
Darden Restaurants, Inc. 4,000 52,750
Dave & Busters, Inc. (a) 1,700 10,944
Einstein/Noah Bagel Corp. (a) 100 53
Fine Host Corp. (a) 500 150
Garden Fresh Restaurant Corp. 2,900 32,988
(a)
Jack in the Box, Inc. (a) 1,200 24,075
Landry's Seafood Restaurants, 1,500 10,594
Inc. (a)
Lone Star Steakhouse & 7,800 69,225
Saloon, Inc. (a)
McDonald's Corp. 77,500 2,446,094
Morrison Management 2,800 62,650
Specialists, Inc.
O'Charleys, Inc. (a) 150 1,688
Outback Steakhouse, Inc. (a) 2,200 57,475
P.F. Chang's China Bistro, 3,700 111,231
Inc. (a)
Papa John's International, 4,700 112,800
Inc. (a)
Planet Hollywood 500 35
International, Inc. Class A
(a)
PopMail.com, Inc. (a) 7,200 35,550
Prandium, Inc. (a) 1,100 369
Rainforest Cafe, Inc. (a) 1,350 5,400
Rare Hospitality 1,700 32,088
International, Inc. (a)
Rubio's Restaurants, Inc. 7,800 54,478
Ryan's Family Steak Houses, 1,200 11,475
Inc. (a)
Schlotzskys, Inc. (a) 100 738
Sodexho Marriott Services, 3,800 42,275
Inc.
Sonic Corp. (a) 3,150 76,388
Starbucks Corp. (a) 7,800 273,975
Taco Cabana, Inc. Class A (a) 5,200 31,200
Tricon Global Restaurants, 11,600 308,850
Inc. (a)
Wendy's International, Inc. 5,000 78,750
4,505,797
TOTAL MEDIA & LEISURE 47,030,738
NONDURABLES - 4.1%
AGRICULTURE - 0.0%
Delta & Pine Land Co. 1,100 19,731
Northland Cranberries, Inc. 200 1,306
Class A
21,037
BEVERAGES - 1.3%
Adolph Coors Co. Class B 1,000 43,875
Anheuser-Busch Companies, 28,100 1,801,913
Inc.
Beringer Wine Estates 1,300 46,881
Holdings, Inc. Class B (a)
Brown-Forman Corp. Class B 1,400 66,675
Canandaigua Brands, Inc. 2,000 98,000
Class A (a)
Celestial Seasonings, Inc. (a) 200 5,200
Coca-Cola Enterprises, Inc. 18,700 437,113
M&F Worldwide Corp. (a) 100 488
Pepsi Bottling Group, Inc. 9,700 162,475
SHARES VALUE (NOTE 1)
PepsiCo, Inc. 79,300 $ 2,557,425
Robert Mondavi Corp. Class A 500 18,313
(a)
The Coca-Cola Co. 132,100 6,398,594
Whitman Corp. 2,300 28,750
11,665,702
FOODS - 1.1%
Agribrands International, 240 8,775
Inc. (a)
American Italian Pasta Co. 500 11,406
Class A (a)
Archer-Daniels-Midland Co. 31,161 313,558
Ben & Jerry's Homemade, Inc. 2,000 52,500
Class A (a)
Bestfoods 18,700 784,231
Campbell Soup Co. 17,700 502,238
Chiquita Brands 800 3,550
International, Inc.
ConAgra, Inc. 24,300 397,913
Corn Products International, 2,600 61,263
Inc.
Dean Foods Co. 2,600 70,525
Dole Food Co., Inc. 1,900 29,213
Earthgrains Co. 3,100 46,500
Flowers Industries, Inc. 7,200 93,150
Gardenburger, Inc. (a) 400 2,250
General Mills, Inc. 20,600 678,513
Gum Tech International, Inc. 3,500 77,219
(a)
H.J. Heinz Co. 20,900 667,494
Hershey Foods Corp. 11,300 496,494
Hormel Foods Corp. 4,200 70,088
IBP, Inc. 5,800 72,500
International Home Foods, 9,200 155,825
Inc. (a)
International Multifoods 600 6,563
Corp.
Interstate Bakeries Corp. 5,100 58,331
Keebler Foods Co. (a) 4,800 121,800
Kellogg Co. 16,300 412,594
Lancaster Colony Corp. 3,850 114,538
Lance, Inc. 800 8,200
McCormick & Co., Inc. 4,100 112,238
(non-vtg.)
Michael Foods, Inc. 700 15,313
Nabisco Group Holdings Corp. 30,400 262,200
Nabisco Holdings Corp. Class A 4,800 140,400
Quaker Oats Co. 7,000 377,563
Ralcorp Holdings, Inc. 880 13,145
Ralston Purina Co. 21,300 603,056
Sara Lee Corp. 59,200 888,000
Smithfield Foods, Inc. (a) 1,400 21,700
Suiza Foods Corp. (a) 3,600 140,850
Sysco Corp. 18,900 620,156
Tyson Foods, Inc. 6,600 68,063
Universal Foods Corp. 4,000 72,250
Vlasic Foods International, 1,550 4,359
Inc. (a)
Wm. Wrigley Jr. Co. 8,400 568,050
9,224,574
HOUSEHOLD PRODUCTS - 1.4%
Aptargroup, Inc. 1,000 23,938
Avon Products, Inc. 11,200 303,100
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
NONDURABLES - CONTINUED
HOUSEHOLD PRODUCTS - CONTINUED
BioShield Technologies, Inc. 2,000 $ 46,000
(a)
Block Drug Co., Inc. Class A 618 20,317
Brady Corp. Class A 700 18,988
Clorox Co. 10,158 410,764
Colgate-Palmolive Co. 33,300 1,737,844
Dial Corp. 3,100 44,563
Enamelon, Inc. (a) 200 325
Estee Lauder Companies, Inc. 6,100 264,588
French Fragrances, Inc. (a) 400 3,350
Gillette Co. 59,300 2,090,325
International Flavors & 3,900 117,000
Fragrances, Inc.
Procter & Gamble Co. 73,900 6,503,200
Racing Champions Corp. (a) 4,500 14,625
Revlon, Inc. Class A (a) 7,700 60,156
Ultralife Batteries, Inc. (a) 600 7,838
USA Detergents, Inc. (a) 5,500 12,719
Windmere-Durable Holdings, 700 10,500
Inc. (a)
York Group, Inc. 400 1,750
11,691,890
TOBACCO - 0.3%
DIMON, Inc. 1,100 2,681
General Cigar Holdings, Inc. 300 4,444
Class A (a)
Philip Morris Companies, Inc. 118,700 2,381,419
RJ Reynolds Tobacco Holdings, 12,600 226,800
Inc.
Schweitzer-Mauduit 500 6,813
International, Inc.
Universal Corp. 3,200 52,400
UST, Inc. 11,700 225,956
2,900,513
TOTAL NONDURABLES 35,503,716
PRECIOUS METALS - 0.1%
Battle Mountain Gold Co. (a) 18,000 38,250
Coeur d'Alene Mines Corp. (a) 9,400 31,725
Echo Bay Mines Ltd. (a) 5,300 7,130
Homestake Mining Co. 31,100 202,150
Meridian Gold, Inc. (a) 10,100 61,662
Newmont Mining Corp. 14,645 324,021
Stillwater Mining Co. (a) 1,100 40,838
705,776
RETAIL & WHOLESALE - 4.9%
APPAREL STORES - 0.5%
Abercrombie & Fitch Co. Class 4,374 64,243
A (a)
American Eagle Outfitters, 2,000 51,000
Inc. (a)
AnnTaylor Stores Corp. (a) 3,600 68,625
Cato Corp. Class A 800 8,000
Charming Shoppes, Inc. (a) 9,300 55,800
Chicos Fas, Inc. (a) 600 7,575
Claire's Stores, Inc. 4,900 85,444
SHARES VALUE (NOTE 1)
Dress Barn, Inc. (a) 1,000 $ 14,500
Factory 2-U Stores, Inc. (a) 1,500 36,375
Footstar, Inc. (a) 900 22,219
Gap, Inc. 46,525 2,247,739
Goody's Family Clothing (a) 1,100 7,700
Gymboree Corp. (a) 900 4,219
Hibbett Sporting Goods, Inc. 2,200 35,063
(a)
iTurf, Inc. 3,600 39,600
Just for Feet, Inc. (a) 6,200 581
Paul Harris Stores, Inc. (a) 100 431
Payless ShoeSource, Inc. (a) 1,800 71,100
Ross Stores, Inc. 11,100 160,950
Stage Stores, Inc. (a) 700 875
Talbots, Inc. 900 32,569
The Childrens Place Retail 3,500 41,344
Stores, Inc. (a)
The Limited, Inc. 10,976 373,184
The Men's Wearhouse, Inc. (a) 3,300 76,622
TJX Companies, Inc. 13,800 219,938
Too, Inc. (a) 825 19,800
United Stationers, Inc. (a) 4,000 107,500
Venator Group, Inc. (a) 4,100 23,319
Wet Seal, Inc. Class A (a) 1,700 17,531
3,893,846
APPLIANCE STORES - 0.0%
Cellstar Corp. (a) 8,600 82,506
DRUG STORES - 0.3%
CVS Corp. 18,086 633,010
Duane Reade, Inc. (a) 3,300 78,994
E Com Ventures, Inc. (a) 1,300 8,734
Longs Drug Stores Corp. 1,100 20,419
Rite Aid Corp. 15,500 106,563
Walgreen Co. 59,700 1,541,006
2,388,726
GENERAL MERCHANDISE STORES -
2.1%
99 Cents Only Stores (a) 874 21,905
Ames Department Stores, Inc. 3,600 50,850
(a)
BJ's Wholesale Club, Inc. (a) 6,600 204,600
Bradlees, Inc. (a) 2,500 18,125
Consolidated Stores Corp. (a) 3,094 34,808
Cost Plus, Inc. (a) 2,925 54,295
Costco Wholesale Corp. (a) 21,000 1,042,125
Dillards, Inc. Class A 10,600 184,175
Dollar General Corp. 9,881 206,883
Dollar Tree Stores, Inc. (a) 5,850 227,053
Elder Beerman Stores Corp. (a) 500 3,188
Family Dollar Stores, Inc. 4,900 85,138
Federated Department Stores, 13,800 506,288
Inc. (a)
Hot Topic, Inc. (a) 2,400 40,800
JCPenney Co., Inc. 18,269 287,737
Kmart Corp. (a) 24,400 215,025
Kohls Corp. (a) 10,100 765,706
Michaels Stores, Inc. (a) 3,700 100,363
Neiman Marcus Group, Inc. (a) 1,400 29,838
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
RETAIL & WHOLESALE - CONTINUED
GENERAL MERCHANDISE STORES -
CONTINUED
Nordstrom, Inc. 4,000 $ 85,250
Party City Corp. (a) 450 1,115
Saks, Inc. (a) 8,831 101,557
Sears, Roebuck & Co. 18,800 518,175
Shopko Stores, Inc. (a) 2,700 44,888
Stein Mart, Inc. (a) 1,300 5,606
Target Corp. 23,100 1,362,900
The May Department Stores Co. 24,800 649,450
Wal-Mart Stores, Inc. 238,500 11,611,969
18,459,812
GROCERY STORES - 0.4%
Albertson's, Inc. 27,859 682,546
Central Garden & Pet Co. (a) 5,600 53,900
Delhaize America, Inc. 5,800 97,150
Fleming Companies, Inc. 4,800 74,100
Great Atlantic & Pacific Tea, 1,200 28,125
Inc.
Hain Food Group, Inc. (a) 100 3,675
Hannaford Brothers Co. 4,300 306,375
Kroger Co. (a) 48,180 716,678
Performance Food Group Co. (a) 2,200 52,250
Safeway, Inc. (a) 30,900 1,191,581
SUPERVALU, Inc. 7,944 136,538
U.S. Foodservice (a) 2,954 52,249
United Natural Foods, Inc. (a) 4,700 48,469
VitaminShoppe.com, Inc. 5,200 32,175
Whole Foods Market, Inc. (a) 3,100 117,703
Wild Oats Markets, Inc. (a) 3,775 70,781
Winn-Dixie Stores, Inc. 8,700 140,288
3,804,583
RETAIL & WHOLESALE,
MISCELLANEOUS - 1.6%
1-800-FLOWERS.COM, Inc. Class 4,700 43,181
A
Action Performance Companies, 4,700 42,594
Inc. (a)
AgriBioTech, Inc. (a) 1,000 211
Alberto-Culver Co. Class B 300 6,413
Alloy Online, Inc. 3,300 64,350
Ashford.com, Inc. 4,000 30,500
Barnes & Noble, Inc. (a) 1,300 22,425
Bed Bath & Beyond, Inc. (a) 6,000 170,250
Best Buy Co., Inc. (a) 9,500 516,563
Beyond.com Corp. (a) 5,100 26,616
Blue Rhino Corp. (a) 5,100 66,938
Boise Cascade Office Products 1,800 26,775
Corp. (a)
Books-A-Million, Inc. (a) 4,400 30,938
Borders Group, Inc. (a) 2,300 28,319
Cannondale Corp. (a) 100 763
CDnow, Inc. (a) 864 6,912
Chemdex Corp. 1,400 314,825
Circuit City Stores, Inc. - 8,600 347,225
Circuit City Group
Cole National Corp. Class A 500 3,156
SHARES VALUE (NOTE 1)
Creative Computers, Inc. (a) 500 $ 5,875
Cyberian Outpost, Inc. (a) 4,000 35,250
CyberShop International, Inc. 4,900 19,294
(a)
Daisytek International Corp. 3,200 73,400
(a)
dELiA*s, Inc. (a) 4,500 28,688
Drugstore.com, Inc. 2,900 55,100
E4L, Inc. (a) 100 225
Egghead.com, Inc. (a) 4,708 43,255
Elcom International, Inc. (a) 2,200 51,563
eToys, Inc. 4,000 56,250
Fatbrain.com, Inc. (a) 1,900 33,725
Finish Line, Inc. Class A (a) 1,500 9,000
Friedmans, Inc. Class A 600 3,488
FTD.com, Inc. Class A 9,400 36,425
Gadzooks, Inc. (a) 500 7,969
Genesis Direct, Inc. (a) 3,000 45
Good Guys, Inc. (a) 4,600 26,450
Guitar Center, Inc. (a) 2,300 21,275
Handleman Co. (a) 1,200 12,450
Hollywood.com, Inc. (a) 1,200 18,600
Home Depot, Inc. 122,400 7,076,250
IKON Office Solutions, Inc. 3,200 22,400
ImaginOn, Inc. (a) 1,500 4,547
Intimate Brands, Inc. Class A 11,260 368,061
J. Jill Group, Inc. (a) 5,100 17,850
K-Tel International, Inc. (a) 4,100 22,550
Lowe's Companies, Inc. 23,432 1,115,949
MediaBay, Inc. (a) 800 8,600
MotherNature.com, Inc. 7,900 42,956
Multiple Zones International, 4,100 26,650
Inc. (a)
Navarre Corp. (a) 5,900 30,791
Newpark Resources, Inc. (a) 2,100 16,406
Office Depot, Inc. (a) 18,900 230,344
Officemax, Inc. (a) 7,000 49,438
PC Connection, Inc. 1,500 39,469
PEAPOD, Inc. (a) 3,600 29,925
PETCO Animal Supplies, Inc. 700 7,525
(a)
Pets.com, Inc. 1,450 10,150
PETsMART, Inc. (a) 14,700 48,694
Pier 1 Imports, Inc. 2,750 24,063
Rex Stores Corp. (a) 1,500 25,781
RoweCom, Inc. 1,500 37,688
School Specialty, Inc. (a) 1,200 20,700
Sharper Image Corp. (a) 1,100 9,900
Shop At Home, Inc. (a) 5,200 57,200
SkyMall, Inc. (a) 700 5,644
Spiegel, Inc. Class A (a) 12,000 86,250
Staples, Inc. (a) 20,775 560,925
Sterling Vision, Inc. (a) 6,500 77,797
Streamline.com, Inc. 4,200 32,288
Sunglass Hut International, 1,400 11,988
Inc. (a)
Tandy Corp. 8,440 321,248
The Sports Authority, Inc. (a) 1,300 2,681
Tiffany & Co., Inc. 4,600 295,263
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
RETAIL & WHOLESALE - CONTINUED
RETAIL & WHOLESALE,
MISCELLANEOUS - CONTINUED
Toys 'R' Us, Inc. (a) 21,100 $ 261,113
Tweeter Home Entertainment 2,600 79,625
Group, Inc. (a)
U.S. Office Products Co. (a) 1,363 3,748
U.S.A. Floral Products, Inc. 1,000 1,688
(a)
UBid, Inc. (a) 2,353 77,796
Valley Media, Inc. 3,000 18,000
Value America, Inc. 8,000 33,000
Williams-Sonoma, Inc. (a) 1,600 49,500
Wilmar Industries, Inc. (a) 2,900 48,938
Zale Corp. (a) 4,300 161,788
13,760,448
TOTAL RETAIL & WHOLESALE 42,389,921
SERVICES - 1.3%
ADVERTISING - 0.5%
Ackerley Group, Inc. 700 8,969
ADVO, Inc. (a) 4,100 113,775
Andover.Net, Inc. 1,900 75,763
Cybergold, Inc. 3,400 68,000
DoubleClick, Inc. (a) 5,432 482,429
Egreetings Network, Inc. 5,800 32,806
Fogdog, Inc. 6,400 58,800
Getty Images, Inc. (a) 3,600 185,175
HA-LO Industries, Inc. (a) 1,250 13,281
Interep National Radio Sales, 2,900 29,000
Inc. Class A
Internet Capital Group, Inc. 700 74,025
Interpublic Group of 18,500 743,469
Companies, Inc.
Lamar Advertising Co. Class A 5,650 246,128
(a)
Leapnet, Inc. (a) 6,000 42,750
Lifeminders.com, Inc. 1,900 100,938
Mediaplex, Inc. 1,500 125,250
Newgen Results Corp. 3,400 51,000
Omnicom Group, Inc. 11,700 1,101,994
TMP Worldwide, Inc. (a) 1,500 203,906
Young & Rubicam, Inc. 5,600 282,800
4,040,258
EDUCATIONAL SERVICES - 0.1%
Apollo Group, Inc. Class A (a) 7,950 181,359
Devry, Inc. (a) 2,000 36,125
Edison Schools, Inc. 5,000 65,000
Education Management Corp. (a) 2,600 33,800
Educational Video 2,100 64,050
Conferencing, Inc.
ITT Educational Services, 2,900 34,800
Inc. (a)
Prosoft Training.Com (a) 4,200 71,400
SkillSoft Corp. (a) 690 12,291
Strayer Education, Inc. 1,700 44,944
543,769
SHARES VALUE (NOTE 1)
LEASING & RENTAL - 0.0%
AMERCO (a) 700 $ 11,988
Avis Rent A Car, Inc. (a) 4,100 59,706
Blockbuster, Inc. Class A 6,200 84,863
Budget Group, Inc. Class A (a) 1,400 8,225
Central Parking Corp. 2,200 32,588
Dollar Thrifty Automotive 700 9,188
Group, Inc. (a)
GATX Corp. 1,400 43,575
Hertz Corp. Class A 3,500 125,344
Laser Vision Centers, Inc. (a) 4,800 49,800
Mitcham Industries, Inc. (a) 700 3,063
Neff Corp. (a) 2,100 15,094
Rent-A-Center, Inc. (a) 3,000 45,000
Rent-Way, Inc. (a) 770 13,090
Ryder System, Inc. 8,100 150,863
United Rentals, Inc. (a) 5,100 79,688
732,075
PRINTING - 0.0%
Bowne & Co., Inc. 1,100 13,131
Consolidated Graphics, Inc. 2,700 36,956
(a)
Cyrk, Inc. (a) 5,700 55,219
Deluxe Corp. 3,200 75,000
John H. Harland Co. 800 12,350
Paxar Corp. (a) 1,500 14,906
R.R. Donnelley & Sons Co. 3,800 72,675
Reynolds & Reynolds Co. Class 2,300 63,538
A
Valassis Communications, Inc. 5,700 157,819
(a)
Wallace Computer Services, 1,200 12,525
Inc.
514,119
SERVICES - 0.7%
ABM Industries, Inc. 600 15,113
ACNielsen Corp. (a) 2,200 37,263
ALPNET, Inc. (a) 9,400 79,019
Alterra Healthcare Corp. (a) 500 3,000
Analytical Surveys, Inc. (a) 200 1,625
APAC Teleservices, Inc. 4,400 34,925
Assisted Living Concepts, 400 725
Inc. (a)
Billing Information Concepts 1,200 7,050
Corp. (a)
Boron LePore & Associates, 600 5,138
Inc. (a)
Braun Consulting, Inc. 1,700 98,600
Bright Horizons Family 2,800 47,250
Solutions, Inc. (a)
Brookdale Living Communities, 100 1,338
Inc. (a)
Burns International Services 2,600 28,438
Corp. (a)
Cadiz, Inc. (a) 200 2,438
Caremark Rx, Inc. (a) 6,000 27,000
Caribiner International, Inc. 900 2,813
(a)
Cash Technologies, Inc. (a) 3,400 67,150
Catalina Marketing Corp. (a) 1,500 127,688
CDI Corp. (a) 600 10,950
Cendant Corp. (a) 35,110 625,397
Century Business Services, 2,300 7,834
Inc. (a)
CheckFree Holdings Corp. (a) 2,400 211,050
Cintas Corp. 8,941 357,081
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
SERVICES - CONTINUED
SERVICES - CONTINUED
Coinmach Laundry Corp. (a) 300 $ 2,381
Computer Horizons Corp. (a) 900 20,025
Convergys Corp. (a) 10,700 411,950
Correctional Services Corp. 27 108
(a)
CPI Corp. 2,000 49,250
Creditrust Corp. (a) 6,700 52,553
Crestline Capital Corp. (a) 830 15,044
Day Runner, Inc. (a) 300 506
Diamond Technology Partners, 1,500 102,563
Inc. Class A (a)
Dun & Bradstreet Corp. 4,700 123,081
Ecolab, Inc. 9,600 271,200
eGlobe, Inc. (a) 6,600 90,338
eLoyalty Corp. 3,950 120,722
Fonar Corp. 200 550
FreeMarkets, Inc. 1,500 261,281
FYI, Inc. (a) 400 11,900
G&K Services, Inc. Class A 4,500 76,500
Gartner Group, Inc. Class B 900 10,631
(a)
Greg Manning Auctions, Inc. 700 12,906
(a)
H&R Block, Inc. 4,600 201,825
Headway Corporate Resources 300 1,181
(a)
Interim Services, Inc. (a) 3,820 95,261
Jostens, Inc. 100 2,406
Kelly Services, Inc. Class A 1,000 24,063
Labor Ready, Inc. (a) 1,200 9,975
Lason, Inc. (a) 6,700 57,159
Learning Tree International, 700 18,638
Inc. (a)
Mace Security International, 2,200 12,238
Inc. (a)
Manpower, Inc. 3,400 111,138
MapQuest.com, Inc. 3,800 68,875
Marketing Services Group, 500 13,250
Inc. (a)
Media Arts Group, Inc. (a) 200 1,675
Media Metrix, Inc. 2,100 73,763
MemberWorks, Inc. (a) 2,400 194,100
Metamor Worldwide, Inc. (a) 3,800 77,900
Modem Media . Poppe Tyson, 900 71,438
Inc.
Modis Professional Services, 5,700 89,775
Inc. (a)
National Processing, Inc. (a) 1,600 14,100
National Service Industries, 1,200 24,600
Inc.
Navigant Consulting, Inc. (a) 6,050 58,231
NCO Group, Inc. (a) 3,400 79,475
NewsEdge Corp. (a) 500 3,281
Nextera Enterprises, Inc. 5,100 51,000
NOVA Corp. (a) 4,357 100,483
Olsten Corp. 2,500 29,844
Per-Se Technologies, Inc. (a) 933 7,347
Personnel Group of America, 900 6,863
Inc. (a)
Plastic Surgery Co. 300 1,163
Pre-Paid Legal Services, Inc. 600 16,875
(a)
Precision Response Corp. (a) 100 2,363
SHARES VALUE (NOTE 1)
Probusiness Services, Inc. (a) 400 $ 10,850
Profit Recovery Group 4,650 86,025
International, Inc. (a)
Promotions.com, Inc. 2,400 35,550
Protection One, Inc. (a) 100 163
PTEK Holdings, Inc. (a) 8,316 87,838
RCM Technologies, Inc. (a) 200 3,025
Regis Corp. 5,400 83,700
RemedyTemp, Inc. Class A (a) 200 4,450
Renaissance Worldwide, Inc. 2,000 10,500
(a)
Robert Half International, 2,800 118,300
Inc. (a)
Romac International, Inc. (a) 1,127 15,215
Rural/Metro Corp. (a) 500 1,125
Service Corp. International 16,652 61,404
ServiceMaster Co. 11,050 121,550
Snyder Communications, Inc. 1,900 46,075
(SNC)
SOS Staffing Services, Inc. 300 1,500
(a)
Sotheby's Holdings, Inc. 1,500 29,531
Class A
Source Information Management 4,400 91,025
Co. (a)
Staff Leasing, Inc. (a) 4,800 27,600
Staffmark, Inc. (a) 900 10,125
StarTek, Inc. (a) 1,900 78,613
Superior Consultant Holdings 1,300 20,150
Corp. (a)
Teletech Holdings, Inc. (a) 2,100 79,538
True North Communications 3,500 129,500
Veterinary Centers of 2,200 24,338
America, Inc. (a)
Viad Corp. 2,800 65,625
Vision Twenty-One, Inc. (a) 3,700 4,972
Wackenhut Corrections Corp. 200 1,963
6,202,909
TOTAL SERVICES 12,033,130
TECHNOLOGY - 35.8%
COMMUNICATIONS EQUIPMENT - 5.5%
3Com Corp. (a) 17,500 1,715,000
Ace Communication Corp. (a) 3,000 44,250
ACT Networks, Inc. (a) 4,200 58,800
Active Voice Corp. (a) 1,600 87,800
ADC Telecommunications, Inc. 14,000 628,250
(a)
Advanced Fibre 3,000 204,375
Communications, Inc. (a)
AltiGen Communications, Inc. 3,200 63,800
Andrew Corp. (a) 7,200 178,200
Applied Signal Technology, 100 2,613
Inc.
Aspect Communications Corp. 2,600 167,538
(a)
Avanex Corp. 3,430 714,726
Brooktrout, Inc. (a) 2,300 110,400
C-Phone Corp. (a) 500 1,281
Cabletron Systems, Inc. (a) 7,800 382,200
Carrier Access Corp. (a) 1,400 79,450
Centigram Communications 100 2,063
Corp. (a)
Checkpoint Systems, Inc. (a) 900 7,650
Ciena Corp. (a) 6,900 1,102,706
Cisco Systems, Inc. (a) 176,436 23,322,634
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
TECHNOLOGY - CONTINUED
COMMUNICATIONS EQUIPMENT -
CONTINUED
Com21, Inc. (a) 2,600 $ 182,000
Comdial Corp. (a) 100 1,906
Comverse Technology, Inc. (a) 3,347 658,941
Coyote Network Systems, Inc. 4,300 33,594
(a)
Davox Corp. (a) 2,500 95,625
Digital Island, Inc. 1,400 162,575
Ditech Communications Corp. 2,200 240,350
Efficient Networks, Inc. 1,600 258,000
eLOT, Inc. (a) 10,800 64,800
eOn Communications Corp. 620 14,411
General Datacomm Industries, 100 1,400
Inc. (a)
Intelect Communications, Inc. 10,900 78,344
(a)
InterDigital Communication 2,400 76,650
Corp. (a)
InterVoice, Inc. (a) 4,187 151,255
ITI Technologies, Inc. (a) 1,700 49,406
Jabil Circuit, Inc. (a) 3,600 249,975
LoJack Corp. (a) 600 4,238
Lucent Technologies, Inc. 167,740 9,980,530
MCK Communications, Inc. 2,200 159,225
Metricom, Inc. (a) 900 70,088
Microtest, Inc. (a) 4,500 60,750
Natural MicroSystems Corp. (a) 1,500 95,625
Network Equipment 800 8,400
Technologies, Inc. (a)
Next Level Communications, 3,500 470,750
Inc.
Osicom Technologies, Inc. (a) 1,100 159,431
P-Com, Inc. (a) 6,000 109,500
Pairgain Technologies, Inc. 700 12,513
(a)
PictureTel Corp. (a) 1,300 9,831
Plantronics, Inc. (a) 1,300 103,269
Pliant Systems, Inc. (a) 3,900 40,463
Sycamore Networks, Inc. 11,900 1,761,200
Symmetricom, Inc. (a) 600 8,250
Tekelec (a) 4,800 247,200
Telaxis Communications Corp. 840 65,573
Tellabs, Inc. (a) 20,088 964,224
Teltrend, Inc. (a) 1,800 190,688
Terayon Communication 900 231,413
Systems, Inc. (a)
Tollgrade Communications, 1,300 131,625
Inc. (a)
Turnstone Systems, Inc. 1,610 309,221
Tut Systems, Inc. 1,400 58,625
Ultrak, Inc. (a) 100 1,100
Veramark Technologies, Inc. 2,300 18,113
(a)
VTEL Corp. (a) 1,000 6,688
Westell Technologies, Inc. 3,800 130,150
Class A (a)
XETA Corp. (a) 1,200 74,100
Xircom, Inc. (a) 1,900 78,909
ZixIt Corp. (a) 1,800 96,806
46,851,466
COMPUTER SERVICES & SOFTWARE
- - 14.3%
24/7 Media, Inc. (a) 900 41,850
4Front Technologies, Inc. (a) 3,200 93,200
SHARES VALUE (NOTE 1)
About.com, Inc. 1,300 $ 91,325
Acceler8 Technology Corp. (a) 200 263
Acclaim Entertainment, Inc. 1,800 8,944
(a)
Activision, Inc. (a) 4,500 57,094
ACTV, Inc. (a) 3,400 102,213
Acxiom Corp. (a) 7,400 213,675
Adam.com, Inc. (a) 1,800 27,225
Adept Technology, Inc. (a) 100 1,150
Adobe Systems, Inc. 5,600 571,200
Advantage Learning Systems, 800 12,300
Inc. (a)
Advent Software, Inc. (a) 1,750 158,703
Aether Systems, Inc. 1,100 284,213
Affiliated Computer Services, 1,400 44,100
Inc. Class A (a)
Affymetrix, Inc. (a) 1,100 318,588
AGENCY.COM Ltd. 1,500 52,500
Agile Software Corp. 900 128,756
AHT Corp. (a) 1,000 4,094
Allaire Corp. 1,100 142,313
AlphaNet Solutions, Inc. (a) 400 3,450
Alternative Resources Corp. 700 2,363
(a)
Amazon.com, Inc. (a) 17,600 1,212,200
America Online, Inc. (a) 119,500 7,050,500
American Management Systems, 3,900 124,069
Inc. (a)
American Software, Inc. Class 100 1,438
A (a)
Ansoft Corp. (a) 500 5,188
AnswerThink Consulting Group, 140 2,853
Inc. (a)
AppliedTheory Corp. 800 22,650
Applix, Inc. (a) 2,600 39,650
AppNet Systems, Inc. 2,500 112,188
Apropos Technology, Inc. 750 35,906
Ardent Software, Inc. (a) 2,200 122,375
AremisSoft Corp. 2,000 79,500
ARI Network Services, Inc. (a) 2,800 23,275
Ariba, Inc. 4,600 1,216,700
ARIS Corp. (a) 700 10,500
Art Technology Group, Inc. 1,300 187,850
Artisoft, Inc. (a) 3,200 53,600
Ask Jeeves, Inc. 1,100 88,481
Aspect Development, Inc. (a) 1,000 148,875
Aspen Technology, Inc. (a) 2,800 125,300
At Home Corp. Series A (a) 16,500 566,156
At Plan, Inc. 2,900 29,000
Audiohighway.com (a) 5,400 37,463
Autobytel.com, Inc. 3,000 32,063
Autodesk, Inc. 1,600 71,500
Automatic Data Processing, 37,600 1,637,950
Inc.
Autoweb.Com, Inc. 5,100 30,600
Avant! Corp. (a) 1,200 17,775
AVT Corp. (a) 4,000 105,750
Aware, Inc. (a) 2,500 157,500
Axent Technolgies, Inc. (a) 4,080 110,670
Aztec Technology Partners, 7,700 55,825
Inc. (a)
Banyan Systems, Inc. (a) 600 19,950
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
TECHNOLOGY - CONTINUED
COMPUTER SERVICES & SOFTWARE
- - CONTINUED
barnesandnoble.com, Inc. 4,300 $ 34,400
Class A
Base Ten Systems, Inc. Class 40 185
A (a)
BEA Systems, Inc. (a) 6,200 784,688
Bell & Howell Co. (a) 3,800 124,450
Bell Industries, Inc. 7,300 26,919
BindView Development Corp. (a) 4,200 141,750
Bitstream, Inc. (a) 6,500 52,000
Bitwise Designs, Inc. (a) 1,900 28,500
Black Box Corp. (a) 2,400 179,550
Bluestone Software, Inc. 300 23,363
BMC Software, Inc. (a) 11,445 526,470
Bottomline Technologies, Inc. 1,400 54,688
Brio Technology, Inc. (a) 1,200 48,075
BroadVision, Inc. (a) 4,000 1,010,250
BUY.com, Inc. 7,090 99,260
C-bridge Internet Solutions, 700 36,838
Inc.
CACI International, Inc. 700 19,906
Class A (a)
Cadence Design Systems, Inc. 10,452 208,387
(a)
Calico Commerce, Inc. 526 22,651
CAM Data Systems, Inc. (a) 2,300 40,825
Cambridge Technology 5,000 75,000
Partners, Inc. (a)
Careerbuilder, Inc. 3,600 21,150
CareInsite, Inc. 2,700 183,600
CE Software Holdings, Inc. (a) 400 4,775
Centra Software, Inc. 1,280 47,200
Centura Software Corp. (a) 6,100 93,025
Ceridian Corp. (a) 4,200 83,213
Cerner Corp. (a) 3,400 120,488
Chordiant Software, Inc. 1,910 66,850
Ciber, Inc. (a) 4,300 99,975
Citrix Systems, Inc. (a) 8,800 927,850
Clarent Corp. 1,600 174,800
Clarify, Inc. (a) 900 129,881
CMGI, Inc. (a) 13,543 1,754,665
CNET, Inc. (a) 2,900 193,938
Cognizant Technology 600 65,475
Solutions Corp. (a)
Command Systems, Inc. (a) 1,300 4,063
Commerce One, Inc. 3,600 751,950
Complete Business Solutions, 1,255 24,943
Inc. (a)
CompuCom Systems, Inc. (a) 200 900
CompUSA, Inc. (a) 2,600 26,000
Computer Associates 30,900 1,987,256
International, Inc.
Computer Concepts Corp. 600 1,200
Computer Learning Centers, 400 1,012
Inc. (a)
Computer Sciences Corp. (a) 10,799 851,096
Compuware Corp. (a) 16,400 362,850
Concentric Network Corp. (a) 800 42,900
Concord Communications, Inc. 2,000 89,500
(a)
Concur Technologies, Inc. (a) 3,000 72,375
Cornerstone Internet 5,000 30,156
Solutions Co. (a)
Corsair Communictions, Inc. 3,600 102,600
(a)
SHARES VALUE (NOTE 1)
CoStar Group, Inc. (a) 2,189 $ 79,625
Covad Communications Group, 4,350 392,588
Inc.
Critical Path, Inc. 2,358 203,083
Crosswalk.com, Inc. (a) 300 1,725
CSG Systems International, 4,400 226,050
Inc. (a)
CSP, Inc. (a) 4,900 69,825
Cybercash, Inc. (a) 800 8,400
CyberOptics Corp. (a) 100 3,675
CyberSource Corp. 2,800 77,700
Cylink Corp. (a) 100 1,863
DAOU Systems, Inc. (a) 200 775
Data Broadcasting Corp. (a) 1,000 9,875
Data Dimensions, Inc. (a) 200 1,000
Data Transmission Network 400 10,200
Corp. (a)
Datalink Corp. 2,200 45,650
Datastream Systems, Inc. (a) 2,700 60,413
Datatec Systems, Inc. (a) 5,200 76,375
Dataware Technologies, Inc. 3,100 37,200
(a)
Delano Technology Corp. 1,560 74,588
Dendrite International, Inc. 3,950 97,269
(a)
Digex, Inc. Class A 1,200 194,400
Digi International, Inc. (a) 3,900 43,875
DigitalThink, Inc. 1,820 74,165
DocuCorp International, Inc. 20 120
(a)
Documentum, Inc. (a) 1,600 120,700
drkoop.com, Inc. 4,400 33,825
DSET Corp. (a) 2,000 50,000
DST Systems, Inc. (a) 5,010 281,186
E.piphany, Inc. 2,300 505,713
EarthLink, Inc. (a) 3,953 98,331
EarthWeb, Inc. (a) 1,500 40,125
eBay, Inc. (a) 6,500 931,938
ebenX, Inc. 1,900 106,638
Eclipsys Corp. (a) 3,105 74,520
eCollege.com 4,000 35,750
eFax.com, Inc. (a) 3,800 25,175
eGain Communications Corp. 2,200 124,025
Electric Lightwave, Inc. 200 4,550
Class A (a)
Electronic Arts, Inc. (a) 2,500 250,000
Electronic Data Systems Corp. 28,000 1,813,000
Electronics for Imaging, Inc. 1,500 89,063
(a)
Eloquent, Inc. 930 31,271
eMerge Interactive, Inc. 1,830 97,219
Class A
Engage Technologies, Inc. 2,900 420,500
Engineering Animation, Inc. 3,300 58,575
(a)
Enlighten Software Solutions, 4,000 34,250
Inc. (a)
Entrade, Inc. (a) 1,600 71,400
Epicor Software Corp. (a) 438 3,915
Equifax, Inc. 7,200 152,550
eShare Technologies, Inc. (a) 2,500 37,656
eSoft, Inc. (a) 1,800 36,422
ESPS, Inc. 4,100 23,063
EuroWeb International Corp. 3,000 25,688
(a)
eXcelon Corp. (a) 4,500 99,000
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
TECHNOLOGY - CONTINUED
COMPUTER SERVICES & SOFTWARE
- - CONTINUED
Exchange Applications, Inc. 1,200 $ 130,350
(a)
Exodus Communications, Inc. 8,700 1,238,663
(a)
FirePond, Inc. 1,800 175,388
First Data Corp. 25,400 1,143,000
Fiserv, Inc. (a) 10,700 291,575
FlashNet Communications, Inc. 5,200 35,750
Foundry Networks, Inc. 5,600 782,250
Frontline Communications 1,600 6,200
Corp. (a)
Galileo International, Inc. 6,000 102,000
General Magic, Inc. (a) 6,600 68,888
Geoworks Corp. (a) 2,200 109,038
Go2Net, Inc. (a) 1,100 95,700
GoTo.com, Inc. 1,900 120,888
GraphOn Corp. (a) 2,600 47,125
Great Plains Software, Inc. 1,700 118,256
(a)
GRIC Communications, Inc. 2,000 140,250
GT Interactive Software Corp. 3,000 12,188
(a)
Harbinger Corp. (a) 3,250 104,203
Health Management Systems, 400 1,988
Inc. (a)
HealthCentral.com 4,800 27,900
Healtheon/Web Maryland Corp. 3,048 168,593
HearMe, Inc. 2,300 47,869
HIE, Inc. (a) 1,800 9,675
High Speed Access Corp. 5,200 97,175
HNC Software, Inc. (a) 1,200 118,050
Homeseekers.com, Inc. (a) 3,700 62,900
Homestore.com, Inc. 3,400 232,263
Hotel Reservations Network, 940 24,440
Inc.
Hyperion Solutions Corp. (a) 2,995 147,878
i2 Technologies, Inc. (a) 7,800 1,275,300
IDT Corp. (a) 2,900 107,345
IDX Systems Corp. (a) 900 32,625
IMR Global Corp. (a) 950 11,578
IMS Health, Inc. 12,200 245,525
InfoCure Corp. (a) 2,800 52,850
Infonautics, Inc. (a) 2,000 19,500
Infonet Services Corp. Class B 14,800 408,850
Informatica Corp. 1,100 188,650
Information Architects Corp. 3,300 70,950
(a)
Information Management 5,000 27,813
Association, Inc. (a)
Informix Corp. (a) 6,060 96,960
Inforte Corp. 640 51,480
InfoSpace.com, Inc. (a) 4,900 1,063,300
Innodata Corp. (a) 2,300 26,163
Inprise Corp. (a) 2,800 28,350
Input Software, Inc. (a) 2,000 36,000
insci-statements.com Corp. (a) 8,200 60,475
Inso Corp. (a) 1,800 21,938
InteliData Technologies Corp. 7,000 89,250
(a)
IntelliCorp, Inc. (a) 6,100 49,563
SHARES VALUE (NOTE 1)
Intelligroup, Inc. (a) 2,600 $ 109,200
Interactive Intelligence, 2,100 75,600
Inc.
InterCept Group, Inc. (a) 2,500 60,625
Interleaf, Inc. (a) 1,600 137,600
Interliant, Inc. 3,200 137,200
Internap Network Services 6,300 611,100
Corp.
Internet America, Inc. (a) 4,300 40,313
Internet Commerce Corp. (a) 900 50,175
Internet Pictures Corp. 4,159 137,247
Intertrust Technologies Corp. 3,600 305,775
InterVU, Inc. (a) 300 44,381
IntraNet Solutions, Inc. (a) 2,000 81,500
Intuit, Inc. (a) 9,331 489,878
ISS Group, Inc. (a) 1,500 157,500
iVillage, Inc. (a) 4,000 75,000
iXL Enterprises, Inc. 3,400 123,250
J.D. Edwards & Co. (a) 7,600 308,750
Jack Henry & Associates, Inc. 2,400 167,700
JDA Software Group, Inc. (a) 3,400 68,850
Juno Online Services, Inc. 1,700 39,313
Kana Communications, Inc. 2,600 370,500
Keane, Inc. (a) 2,000 48,000
Keynote Systems, Inc. 2,000 327,500
Lante Corp. 2,060 164,285
Latitude Communications, Inc. 2,400 50,700
Launch Media, Inc. 2,600 50,700
Learn2.com, Inc. (a) 2,100 12,797
Legato Systems, Inc. (a) 3,200 114,000
Level 8 Systems, Inc. (a) 1,500 47,063
LHS Group, Inc. (a) 1,400 63,350
Liberate Technologies 4,100 417,688
Lightspan Partnership, Inc. 2,380 26,180
Lionbridge Technologies, Inc. 3,100 55,994
Liquid Audio, Inc. 1,900 48,450
Litronic, Inc. 2,900 68,875
Litton Industries, Inc. (a) 2,300 68,856
Log On America, Inc. 2,300 37,950
LookSmart Ltd. (a) 3,600 159,300
Loronix Information Systems, 1,700 52,063
Inc. (a)
Lycos, Inc. (a) 4,300 256,388
Macromedia, Inc. (a) 1,800 155,588
Mail.com, Inc. Class A 500 7,500
Manugistics Group, Inc. (a) 2,600 147,713
Mapics, Inc. (a) 700 10,850
MapInfo Corp. (a) 2,550 87,975
Marimba, Inc. 2,500 152,344
McAfee.com Corp. 1,600 54,600
Media 100, Inc. (a) 1,800 80,325
MedicaLogic, Inc. 3,300 122,513
Mentor Graphics Corp. (a) 2,800 47,950
Mercury Computer Systems, 2,200 106,013
Inc. (a)
Mercury Interactive Corp. (a) 3,200 308,400
Meta Group, Inc. (a) 2,450 75,950
MetaCreations Corp. (a) 5,300 116,600
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
TECHNOLOGY - CONTINUED
COMPUTER SERVICES & SOFTWARE
- - CONTINUED
MicroAge, Inc. (a) 11,000 $ 37,813
Micromuse, Inc. (a) 1,400 198,538
Microsoft Corp. (a) 278,605 24,900,029
MicroStrategy, Inc. Class A 1,000 139,063
(a)
Microware Systems Corp. (a) 6,800 39,100
Midway Games, Inc. (a) 239 3,540
Mission Critical Software, 1,400 85,750
Inc.
Momentum Business 52 384
Applications Inc (a)
Multex.com, Inc. 2,900 88,450
Mustang.com, Inc. (a) 2,700 77,288
MyTurn.com, Inc. (a) 2,900 94,613
National Computer Systems, 3,800 151,050
Inc.
National Data Corp. 1,000 31,000
National Information 3,500 183,313
Consortium, Inc.
National Instrument Corp. (a) 3,150 141,455
Navidec, Inc. (a) 3,100 60,256
NCR Corp. (a) 6,800 257,975
NEON Systems, Inc. 900 30,150
Net Perceptions, Inc. 2,200 107,525
Netegrity, Inc. (a) 1,400 119,700
NetManage, Inc. (a) 8,200 53,813
NetObjects, Inc. 3,600 134,100
Netplex Group, Inc. (a) 3,800 50,350
NETRIX Corp. (a) 2,700 67,163
NetSolve, Inc. 1,900 78,375
NetSpeak Corp. (a) 3,000 64,500
Network Peripherals, Inc. (a) 1,400 86,538
Network Solutions, Inc. Class 1,600 515,900
A (a)
Networks Associates, Inc. (a) 5,061 154,044
NetZero, Inc. 6,400 150,400
New Era of Networks, Inc. (a) 1,300 119,113
Novell, Inc. (a) 16,200 535,613
Objective Systems 5,400 103,950
Integrators, Inc. (a)
Omega Research, Inc. (a) 1,200 6,600
ON Technology Corp. (a) 3,000 33,000
OnDisplay, Inc. 1,700 153,000
OneMain.com, Inc. 4,000 51,250
OneSource Information 3,500 30,188
Services, Inc.
OnHealth Network Co. (a) 1,100 10,313
ONYX Software Corp. 1,900 151,525
Open Market, Inc. (a) 1,400 70,175
Optika, Inc. (a) 1,900 65,075
Optio Software, Inc. 3,000 54,375
Oracle Corp. (a) 153,100 11,367,675
Organic, Inc. 4,330 147,761
Parametric Technology Corp. 10,700 324,344
(a)
Paychex, Inc. 16,250 813,516
PC-Tel, Inc. 1,900 129,200
pcOrder.com, Inc. 1,100 29,150
Peerless Systems Corp. (a) 200 1,138
Pegasus Systems, Inc. (a) 2,850 57,000
SHARES VALUE (NOTE 1)
Pegasystems, Inc. (a) 100 $ 2,350
PeopleSoft, Inc. (a) 11,040 228,390
Peregrine Systems, Inc. (a) 7,000 382,375
Peritus Software Services, 900 288
Inc. (a)
Pervasive Software, Inc. (a) 2,800 29,925
Pfsweb, Inc. 2,400 82,200
Pharmacopeia, Inc. (a) 2,800 190,575
Phoenix Technologies Ltd. (a) 3,000 85,688
Phone.com, Inc. 3,000 418,875
Pilot Network Services, Inc. 2,300 92,000
(a)
Policy Management Systems 1,700 15,088
Corp. (a)
Polycom, Inc. (a) 1,300 151,206
Portal Software, Inc. 9,400 706,175
PowerCerv Corp. (a) 6,100 29,738
Preview Systems, Inc. 700 37,100
Priceline.com, Inc. 6,400 358,000
Primix Solutions, Inc. (a) 3,500 44,625
Prodigy Communications Corp. 1,800 36,113
Progress Software Corp. (a) 4,000 99,750
Proxicom, Inc. 3,200 134,000
PSINet, Inc. (a) 5,886 272,963
PSW Technologies, Inc. (a) 1,900 74,100
Puma Technology, Inc. (a) 500 88,281
QRS Corp. (a) 1,350 127,406
Quadramed Corp. (a) 6,500 58,500
quepasa.com, Inc. 4,700 35,250
Quest Software, Inc. 2,200 256,575
Radiant Systems, Inc. (a) 1,800 92,025
Rainbow Technologies, Inc. (a) 2,550 110,606
Rare Medium Group, Inc. (a) 1,600 96,000
Rational Software Corp. (a) 4,500 320,063
Razorfish, Inc. 3,650 122,275
RealNetworks, Inc. (a) 7,400 520,313
Red Hat, Inc. 7,200 436,950
Redback Networks, Inc. 2,000 597,000
Remedy Corp. (a) 2,200 124,713
Research Engineers, Inc. (a) 2,200 105,600
Rogue Wave Software, Inc. (a) 4,700 39,509
S1 Corp. (a) 2,095 210,809
Sabre Holdings Corp. Class A 2,600 104,325
Sagent Technology, Inc. 2,700 47,081
Salon.com, Inc. 5,600 36,400
Sanchez Computer Associates, 1,300 63,050
Inc. (a)
Santa Cruz Operation, Inc. (a) 4,300 74,175
Sapient Corp. (a) 2,400 171,600
Savvis Communications Corp. 5,080 101,600
Scient Corp. 4,800 339,600
SeaChange International, Inc. 2,550 104,231
(a)
Secure Computing Corp. (a) 4,000 70,000
Segue Software, Inc. (a) 1,900 26,838
SEI Investments Co. 1,900 169,694
Shared Medical Systems Corp. 700 27,256
ShowCase Corp. 5,000 40,625
Siebel Systems, Inc. (a) 9,690 1,343,882
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
TECHNOLOGY - CONTINUED
COMPUTER SERVICES & SOFTWARE
- - CONTINUED
Silknet Software, Inc. 800 $ 179,250
SilverStream Software, Inc. 1,300 111,475
SmarterKids.com, Inc. 5,000 28,125
SmartServ Online, Inc. (a) 400 58,000
Smith Micro Software, Inc. (a) 8,000 29,500
Smith-Gardner & Assocs, Inc. 2,900 52,019
Software Spectrum, Inc. (a) 2,900 48,938
Software.com, Inc. 2,200 211,750
Sonic Foundry, Inc. (a) 900 64,800
Sportsline USA, Inc. (a) 600 27,675
SPR, Inc. (a) 300 2,119
SPSS, Inc. (a) 100 3,113
Spyglass, Inc. (a) 700 40,950
Stac Software, Inc. (a) 25 300
StarBase Corp. (a) 4,200 56,175
Sterling Software, Inc. (a) 7,200 258,300
Structural Dynamics Research 5,900 84,075
Corp. (a)
Styleclick.com, Inc. (a) 2,400 28,500
Summit Design, Inc. (a) 1,600 12,300
SunGard Data Systems, Inc. (a) 7,568 227,040
Sybase, Inc. (a) 7,900 197,994
Sykes Enterprises, Inc. (a) 6,200 101,138
Symantec Corp. (a) 1,900 135,731
Synopsys, Inc. (a) 5,765 230,240
Syntel, Inc. (a) 1,400 22,925
Systems & Computer 3,800 90,725
Technology Corp. (a)
TCSI Corp. (a) 10,500 64,313
Technology Solutions, Inc. 3,950 28,638
Telescan, Inc. (a) 1,100 22,413
Tera Computer Co. (a) 6,700 52,344
The Bisys Group (a) 3,400 175,313
The Cobalt Group, Inc. 2,800 33,600
The viaLink Co. (a) 1,400 77,700
theglobe.com, Inc. (a) 6,500 50,375
TheStreet.Com, Inc. 3,700 42,781
TIBCO Software, Inc. 9,000 1,179,000
Tier Technologies, Inc. (a) 7,500 49,219
Timberline Software Corp. 354 3,983
Titan Corp. (a) 5,174 194,025
Total System Services, Inc. 4,800 76,200
Track Data Corp. (a) 8,300 52,913
Transaction Systems 4,400 198,550
Architects, Inc. Class A (a)
TREEV, Inc. (a) 7,700 46,681
TSI International Software 2,100 178,106
Ltd. (a)
TSR, Inc. (a) 100 606
Tumbleweed Communications 858 65,208
Corp.
Unicomp, Inc. (a) 4,900 28,941
Unify Corp. (a) 2,000 38,250
Unisys Corp. (a) 14,000 419,125
SHARES VALUE (NOTE 1)
US Interactive, Inc. 1,900 $ 86,450
Usinternetworking, Inc. 2,550 170,213
USSEARCH.com, Inc. 4,800 21,900
USWeb Corp. (a) 3,150 122,456
V-One Corp. (a) 5,900 33,925
VA Linux Systems, Inc. 2,000 211,250
Verio, Inc. (a) 3,200 240,200
VeriSign, Inc. (a) 5,300 1,340,900
VERITAS Software Corp. (a) 13,550 2,681,206
Verity, Inc. (a) 800 42,700
Versant Corp. (a) 3,200 43,800
Vertel Corp. (a) 4,400 114,125
VerticalNet, Inc. 1,600 352,000
Via Net.Works, Inc. 3,130 206,580
Viant Corp. 3,000 113,813
Viasoft, Inc. (a) 5,400 30,038
Vicinity Corp. 1,410 57,105
Vignette Corp. 2,800 645,400
VirtualFund.com, Inc. (a) 4,900 30,013
Visual Data Corp. (a) 3,100 37,200
Visual Networks, Inc. (a) 2,400 157,800
Vitria Technology, Inc. 3,000 565,875
Walker Interactive Systems, 4,600 35,363
Inc. (a)
Wave Systems Corp. Class A (a) 4,700 214,438
Wavo Corp. (a) 1,300 9,669
Webb Interactive Services, 1,400 83,475
Inc. (a)
Webmethods, Inc. 1,650 508,303
WebTrends Corp. 1,100 104,500
White Pine Software, Inc. (a) 1,700 55,463
Whittman-Hart, Inc. (a) 2,800 127,050
Wind River Systems, Inc. (a) 3,750 217,734
Witness Systems, Inc. 1,170 42,998
WorldGate Communications, 2,300 79,350
Inc.
Xcare.net, Inc. 840 15,960
Xpedior, Inc. 2,200 39,600
Xybernaut Corp. (a) 4,300 59,394
Yahoo!, Inc. (a) 28,134 4,492,648
Zamba Corp. (a) 3,800 63,413
ZapMe! Corp. 5,700 37,050
ZeroPlus.com, Inc. (a) 3,800 37,050
Zitel Corp. (a) 13,400 62,813
122,838,525
COMPUTERS & OFFICE EQUIPMENT
- - 6.6%
Adaptec, Inc. (a) 6,100 250,100
Advanced Digital Information 2,200 199,375
Corp. (a)
Alpha Microsystems (a) 5,500 42,969
Alteon Websystems, Inc. 1,600 143,600
Ancor Communications, Inc. (a) 1,200 71,850
Apex, Inc. (a) 2,500 112,188
Apple Computer, Inc. (a) 7,800 894,075
Applied Digital Solutions, 6,800 86,275
Inc. (a)
Ariel Corp. (a) 4,200 37,275
Aspeon, Inc. (a) 3,900 86,775
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
TECHNOLOGY - CONTINUED
COMPUTERS & OFFICE EQUIPMENT
- - CONTINUED
Auspex Systems, Inc. 800 $ 10,350
CacheFlow, Inc. 1,400 170,450
Caere Corp. (a) 4,900 50,225
CDW Computer Centers, Inc. (a) 2,800 153,650
CenterSpan Communications 1,300 33,638
Corp. (a)
CHS Electronics, Inc. (a) 1,900 1,663
Comdisco, Inc. 6,300 242,156
Communication Intelligence 3,900 39,244
Corp. (a)
Compaq Computer Corp. 88,361 2,197,980
Computer Network Technology 1,300 32,581
Corp. (a)
Concurrent Computer Corp. (a) 3,700 66,138
Copper Mountain Networks, 2,500 217,344
Inc.
Crossroads Systems, Inc. 900 128,475
Cybex Corp. (a) 2,400 111,600
Data Race, Inc. (a) 11,900 46,856
Dataram Corp. (a) 3,150 60,638
Dell Computer Corp. (a) 135,300 5,521,931
Diebold, Inc. 6,900 169,050
Digital Lightwave, Inc. (a) 800 66,600
Digital River, Inc. (a) 2,100 75,600
Dot Hill Systems Corp. (a) 300 3,019
ECCS, Inc. (a) 2,600 45,500
Echelon Corp. (a) 3,000 243,375
EMC Corp. (a) 54,175 6,446,825
Emulex Corp. (a) 1,600 256,000
En Pointe Technologies, Inc. 1,400 61,600
(a)
Encad, Inc. (a) 300 1,931
Equinox Systems, Inc. (a) 3,300 29,906
Exabyte Corp. (a) 100 800
Extended Systems, Inc. (a) 1,400 142,450
Extreme Networks, Inc. 2,200 244,750
FileNET Corp. (a) 1,000 42,813
Finisar Corp. 2,200 310,750
FOCUS Enhancements, Inc. (a) 5,600 34,825
FVC.com, Inc. (a) 1,000 19,375
Gadzoox Networks, Inc. 1,100 72,875
Gateway, Inc. (a) 15,500 1,065,625
Genicom Corp. (a) 100 239
Globix Corp. (a) 2,400 125,850
Hauppauge Digital, Inc. (a) 1,100 53,350
Hewlett-Packard Co. 54,752 7,364,144
HMT Technology Corp. (a) 1,200 3,225
Hutchinson Technology, Inc. 3,600 65,025
(a)
Imaging Technologies Corp. (a) 3,700 10,869
Inacom Corp. (a) 7,900 26,663
Ingram Micro, Inc. Class A (a) 5,200 56,225
Insight Enterprises, Inc. (a) 3,050 95,694
Intergraph Corp. (a) 1,500 9,000
Interlink Electronics, Inc. 1,000 86,125
(a)
International Business 96,400 9,832,800
Machines Corp.
Interphase Corp. (a) 2,300 52,756
SHARES VALUE (NOTE 1)
Intraware, Inc. 1,200 $ 91,725
Iomega Corp. (a) 8,100 30,375
ION Networks, Inc. (a) 2,400 78,300
Itron, Inc. (a) 600 4,500
Juniper Networks, Inc. 8,100 2,221,931
Komag, Inc. (a) 1,500 3,328
Kronos, Inc. (a) 1,400 88,900
Lexmark International Group, 5,900 703,575
Inc. Class A (a)
Miami Computer Supply Corp. 1,900 62,225
(a)
Micron Electronics, Inc. (a) 10,500 112,875
MICROS Systems, Inc. (a) 1,800 99,675
MMC Networks, Inc. (a) 2,700 107,156
MRV Communications, Inc. (a) 1,300 203,856
MTI Technology Corp. (a) 3,200 167,800
Netopia, Inc. (a) 1,500 129,375
Network Appliance, Inc. (a) 7,700 1,453,375
Oak Technology, Inc. (a) 6,500 118,625
ObjectSoft Corp. (a) 4,483 23,536
ODS Networks, Inc. (a) 4,600 92,575
Paradyne Networks, Inc. 3,300 147,675
Performance Technologies, 2,900 58,906
Inc. (a)
Pitney Bowes, Inc. 17,000 841,500
Planar Systems, Inc. (a) 600 9,675
Pomeroy Computer Resources, 200 3,275
Inc. (a)
Procom Technology, Inc. (a) 1,200 50,100
Programmer's Paradise, Inc. 1,200 7,950
(a)
Proxim, Inc. (a) 1,200 172,200
Quantum Corp.:
- - DLT & Storage Systems Group 4,426 45,920
(a)
- - Hard Disk Drive Group (a) 9,413 74,127
RadiSys Corp. (a) 2,200 107,800
Read-Rite Corp. (a) 1,000 3,781
RSA Security, Inc. (a) 1,900 127,181
Safeguard Scientifics, Inc. 1,400 244,913
(a)
SanDisk Corp. (a) 2,600 231,400
Scan-Optics, Inc. (a) 300 675
ScanSoft, Inc. (a) 7,800 39,244
ScanSource, Inc. (a) 1,500 57,000
SCI Systems, Inc. (a) 5,800 233,450
SCM Microsystems, Inc. (a) 600 71,400
Seagate Technology, Inc. (a) 9,500 473,813
SED International Holdings, 100 300
Inc. (a)
Silicon Graphics, Inc. (a) 5,400 52,988
SoftNet Systems, Inc. (a) 2,400 88,800
Splash Technology Holdings, 5,100 84,150
Inc. (a)
Sun Microsystems, Inc. (a) 83,620 7,964,805
Symbol Technologies, Inc. 6,050 575,506
Syquest Technology, Inc. (a) 1,100 50
Take-Two Interactive 4,700 58,456
Software, Inc. (a)
Tech Data Corp. (a) 2,600 56,388
Telxon Corp. 2,000 43,000
Tidel Technologies, Inc. (a) 600 3,413
Trident Microsystems, Inc. (a) 500 6,781
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
TECHNOLOGY - CONTINUED
COMPUTERS & OFFICE EQUIPMENT
- - CONTINUED
UniView Technologies Corp. (a) 6,700 $ 32,872
UNOVA, Inc. (a) 300 3,469
Valence Technology, Inc. (a) 3,400 115,919
Western Digital Corp. (a) 10,700 48,150
Xerox Corp. 31,100 674,481
Zebra Technologies Corp. (a) 180 11,981
Zebra Technologies Corp. 3,000 199,688
Class A (a)
56,941,924
ELECTRONIC INSTRUMENTS - 1.3%
Aeroflex, Inc. (a) 3,600 163,800
Agilent Technologies, Inc. 2,800 290,325
Anadigics, Inc. (a) 1,700 229,500
Analogic Corp. 400 19,400
APA Optics, Inc. (a) 1,200 60,300
Applied Materials, Inc. (a) 19,800 3,622,163
Aurora Biosciences Corp. (a) 1,900 203,300
Barringer Technologies, Inc. 300 1,575
(a)
Beckman Coulter, Inc. 4,200 202,125
Caliper Technologies Corp. 1,100 195,594
Cerprobe Corp. (a) 100 1,381
Cholestech Corp. (a) 100 850
Chromatics Color Sciences 500 3,281
International, Inc. (a)
Cognex Corp. (a) 4,200 184,538
Cohu, Inc. 2,600 146,575
Credence Systems Corp. (a) 1,800 239,850
Electro Scientific 3,200 181,400
Industries, Inc. (a)
Helix Technology, Inc. 2,700 192,038
KLA-Tencor Corp. (a) 8,600 670,263
Kulicke & Soffa Industries, 2,400 190,800
Inc. (a)
LAM Research Corp. (a) 1,600 249,800
LTX Corp. (a) 3,800 160,313
Mechanical Technology, Inc. 1,500 102,750
(a)
NetOptix Corp. (a) 1,100 179,919
Newport Corp. 1,100 176,000
Novellus Systems, Inc. (a) 5,000 296,563
PE Corp. - Biosystems Group 9,876 1,041,918
Photon Dynamics, Inc. (a) 1,600 104,000
Precision Optics, Inc. (a) 2,700 97,538
Reliability, Inc. (a) 100 500
Rudolph Technologies, Inc. 2,100 94,763
Sawtek, Inc. (a) 2,500 120,000
Sensar Corp. (a) 1,400 54,513
Sequenom, Inc. 1,240 155,000
Silicon Valley Group, Inc. (a) 600 15,188
Tektronix, Inc. 1,200 69,600
Teradyne, Inc. (a) 8,200 713,400
Therma-Wave, Inc. 1,200 48,300
Thermo Electron Corp. (a) 4,600 71,875
Thermo Instrument Systems, 800 12,850
Inc. (a)
Trimble Navigation Ltd. (a) 700 16,800
SHARES VALUE (NOTE 1)
Varian, Inc. (a) 3,700 $ 147,538
Waters Corp. (a) 3,400 333,413
Zygo Corp. (a) 200 7,325
11,068,924
ELECTRONICS - 7.9%
3Dfx Interactive, Inc. (a) 7,092 65,601
8X8, Inc. (a) 4,800 144,600
Act Manufacturing, Inc. (a) 1,800 69,525
Actel Corp. (a) 3,200 104,200
Advanced Micro Devices, Inc. 6,100 238,663
(a)
Align-Rite International, 700 22,663
Inc. (a)
Alliance Semiconductor Corp. 4,000 99,875
(a)
Alpine Group, Inc. (a) 600 5,925
Altera Corp. (a) 9,500 757,625
American Xtal Technology, 3,000 130,875
Inc. (a)
Amkor Technology, Inc. (a) 6,200 322,013
Amphenol Corp. Class A (a) 2,100 167,869
Analog Devices, Inc. (a) 8,600 1,350,200
Applied Micro Circuits Corp. 2,800 770,175
(a)
Arrow Electronics, Inc. (a) 2,800 84,700
Artesyn Technologies, Inc. (a) 5,000 99,063
Atmel Corp. (a) 8,700 430,650
Avnet, Inc. 2,969 198,552
AVX Corp. 3,300 209,550
Bel Fuse, Inc. Class A (a) 100 1,925
Blue Wave Systems, Inc. (a) 4,700 87,244
Brightpoint, Inc. (a) 5,600 72,100
Broadcom Corp. Class A (a) 5,200 1,026,350
Brocade Communications 2,600 751,725
Systems, Inc.
Burr-Brown Corp. (a) 5,000 293,438
C-Cube Microsystems, Inc. (a) 1,700 158,525
California Micro Devices 3,000 66,938
Corp. (a)
Celeritek, Inc. (a) 1,700 77,775
Cidco, Inc. (a) 6,700 37,688
Cirrus Logic, Inc. (a) 1,300 27,056
Conductus, Inc. (a) 2,200 147,400
Conexant Systems, Inc. (a) 9,900 972,675
Cree Research, Inc. (a) 1,400 263,025
CTS Corp. 2,500 161,250
Cypress Semiconductor Corp. 4,500 205,313
(a)
Dallas Semiconductor Corp. 4,600 185,725
Dense-Pac Microsystems, Inc 4,600 37,806
(a)
Digital Microwave Corp. (a) 5,415 180,726
DII Group, Inc. (a) 1,800 174,038
E Tek Dynamics, Inc. (a) 3,300 901,725
Elantec Semiconductor, Inc. 1,600 100,700
(a)
Electroglas, Inc. (a) 600 23,250
ESS Technology, Inc. (a) 1,300 20,231
Etec Systems, Inc. (a) 2,000 235,563
Exar Corp. (a) 2,100 145,819
Ezenia!, Inc. (a) 200 1,975
Gatefield Corp. (a) 20 109
General Semiconductor, Inc. 800 13,350
(a)
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
TECHNOLOGY - CONTINUED
ELECTRONICS - CONTINUED
GlobeSpan, Inc. 4,200 $ 317,100
Hadco Corp. (a) 400 22,150
Harmonic, Inc. (a) 1,300 178,019
Hi/fn, Inc. (a) 1,325 99,872
Illinois Superconductor Corp. 7,300 179,763
(a)
Inktomi Corp. (a) 5,200 713,050
Innovex, Inc. 600 5,663
Integrated Device Technology, 2,700 99,563
Inc. (a)
Integrated Silicon Solution 3,600 100,125
(a)
Intel Corp. 179,789 20,316,157
International Rectifier Corp. 1,600 67,000
(a)
Intersil Holding Corp. 2,240 133,000
JDS Uniphase Corp. (a) 16,599 4,375,911
KEMET Corp. (a) 3,300 202,744
Kent Electronics Corp. (a) 900 30,488
Kopin Corp. (a) 2,400 177,900
Lattice Semiconductor Corp. 2,100 147,525
(a)
Linear Technology Corp. 9,100 954,931
LSI Logic Corp. (a) 14,014 897,772
Maker Communications, Inc. 2,300 148,638
Maxim Integrated Products, 15,900 1,062,319
Inc. (a)
Maxwell Technologies, Inc. (a) 3,100 51,925
Merix Corp. (a) 2,700 54,000
Methode Electronics, Inc. 3,800 220,875
Class A
Micrel, Inc. (a) 3,300 380,325
Micro Linear Corp. (a) 100 750
Microchip Technology, Inc. (a) 2,100 131,119
Micron Technology, Inc. (a) 13,300 1,304,231
Micronetics Wireless, Inc. (a) 2,600 84,013
Microsemi Corp. (a) 100 2,888
MIPS Technologies, Inc. (a) 1,700 99,450
Molex, Inc. 9,950 555,956
Motorola, Inc. 37,512 6,395,796
National Semiconductor Corp. 7,700 578,463
(a)
NeoMagic Corp. (a) 1,000 5,406
NETsilicon, Inc. 1,500 51,188
Network Access Solutions 3,900 118,950
Corp.
NVIDIA Corp. (a) 1,300 83,200
Pericom Semiconductor Corp. 2,100 86,625
(a)
Photronics, Inc. (a) 3,500 148,969
Pioneer Standard Electronics, 1,300 23,888
Inc.
Plexus Corp. (a) 2,000 112,938
Power Integrations, Inc. (a) 1,000 51,938
Power-One, Inc. (a) 2,700 132,638
QLogic Corp. (a) 3,200 499,200
Quantum Effect Devices, Inc. 1,420 136,853
Rambus, Inc. (a) 2,000 603,250
Ramtron International Corp. 4,300 75,250
(a)
Reptron Electronics, Inc. (a) 100 969
RF Micro Devices, Inc. (a) 3,500 484,094
S3, Inc. (a) 7,728 123,165
SHARES VALUE (NOTE 1)
Sage, Inc. 1,900 $ 60,800
Sanmina Corp. (a) 2,318 271,351
SDL, Inc. (a) 1,700 697,000
Semtech Corp. (a) 1,200 75,000
Sigma Designs, Inc. (a) 4,100 36,388
Silicon Storage Technology, 2,300 145,188
Inc. (a)
Sipex Corp. (a) 3,300 147,881
Solectron Corp. (a) 14,418 944,379
Standard Microsystems Corp. 500 7,516
(a)
Sterling Commerce, Inc. (a) 2,800 122,675
Storage Technology Corp. (a) 4,100 52,275
Superconductor Technologies, 4,900 434,263
Inc. (a)
Tegal Corp. (a) 6,200 55,219
Telcom Semiconductor, Inc. (a) 3,200 70,800
Texas Instruments, Inc. 42,354 7,051,941
Transwitch Corp. (a) 1,575 185,063
Triquint Semiconductor, Inc. 1,400 166,250
Universal Display Corp. (a) 2,700 52,819
Vari-L, Inc. (a) 1,700 45,794
Virata Corp. 1,900 280,250
Vishay Intertechnology, Inc. 4,412 189,716
(a)
Vitesse Semiconductor Corp. 7,100 737,069
(a)
Vixel Corp. 1,300 39,000
World Access, Inc. (a) 3,634 69,046
Xicor, Inc. (a) 3,700 90,650
Xilinx, Inc. (a) 15,600 1,244,100
Zoran Corp. (a) 400 20,400
67,764,603
PHOTOGRAPHIC EQUIPMENT - 0.2%
Concord Camera Corp. (a) 2,700 101,925
Eastman Kodak Co. 19,100 1,094,669
Imation Corp. (a) 3,000 92,813
In Focus Systems, Inc. (a) 3,200 107,200
Lanier Worldwide, Inc. (a) 15,400 43,313
Polaroid Corp. 6,200 155,388
1,595,308
TOTAL TECHNOLOGY 307,060,750
TRANSPORTATION - 0.7%
AIR TRANSPORTATION - 0.3%
AHL Services, Inc. (a) 2,600 26,488
AirTran Holdings, Inc. (a) 1,900 7,778
Alaska Air Group, Inc. (a) 2,500 66,250
America West Holding Corp. 2,200 29,425
Class B (a)
AMR Corp. (a) 6,600 348,975
Atlantic Coast Airlines 2,500 44,688
Holdings, Inc. (a)
Atlas Air, Inc. (a) 950 22,978
Cheap Tickets, Inc. 3,700 58,506
Continental Airlines, Inc. 4,700 148,638
Class B (a)
Cyber-Care, Inc. (a) 4,200 112,088
Delta Air Lines, Inc. 7,800 355,875
GetThere.com, Inc. 2,900 72,681
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
TRANSPORTATION - CONTINUED
AIR TRANSPORTATION - CONTINUED
Great Lakes Aviation Ltd. (a) 200 $ 425
Mesa Air Group, Inc. (a) 200 1,188
Midway Airlines Corp. (a) 100 525
Midwest Express Holdings, 400 10,325
Inc. (a)
Navigant International, Inc. 700 7,000
(a)
Northwest Airlines Corp. 9,100 156,975
Class A (a)
Preview Travel, Inc. (a) 1,300 59,881
SkyWest, Inc. 3,700 109,844
Southwest Airlines Co. 19,162 353,299
Transportation World 2,700 6,581
Airlines, Inc. (a)
Travel Services 1,000 25,688
International, Inc. (a)
UAL Corp. (a) 4,700 229,125
US Airways Group, Inc. (a) 1,900 35,506
2,290,732
RAILROADS - 0.2%
ABC Rail Products Corp. (a) 100 1,256
Burlington Northern Santa Fe 25,800 507,938
Corp.
CSX Corp. 8,300 184,156
Norfolk Southern Corp. 24,600 333,638
RailAmerica, Inc. (a) 10,900 81,750
Transportation Technologies 200 4,250
Industries, Inc. (a)
Trinity Industries, Inc. 2,800 61,950
Union Pacific Corp. 16,900 642,200
Wisconsin Central 3,800 47,025
Transportation Corp. (a)
1,864,163
SHIPPING - 0.0%
Alexander & Baldwin, Inc. 1,300 26,609
Marine Transport Corp. (a) 10 30
OMI Corp. (a) 100 381
Trico Marine Services, Inc. 600 3,506
(a)
30,526
TRUCKING & FREIGHT - 0.2%
Airborne Freight Corp. 1,500 27,750
American Freightways Corp. (a) 300 3,263
Arkansas Best Corp. (a) 4,000 37,750
Asche Transportation 500 969
Services, Inc. (a)
C. H. Robinson Worldwide, 3,000 153,000
Inc.
CNF Transportation, Inc. 1,400 44,888
Consolidated Freightways 800 5,300
Corp. (a)
EGL, Inc. (a) 3,100 87,188
Expeditors International of 2,600 98,150
Washington, Inc.
FedEx Corp. (a) 13,460 470,259
Forward Air Corp. (a) 2,700 62,100
Fritz Companies, Inc. (a) 1,000 8,375
J.B. Hunt Transport Services, 1,200 13,800
Inc.
Knights Transportation, Inc. 3,500 57,313
(a)
Landstar System, Inc. (a) 2,300 129,231
SHARES VALUE (NOTE 1)
M.S. Carriers, Inc. (a) 400 $ 8,850
Roadway Express, Inc. 3,300 68,063
Swift Transportation Co., 1,850 27,403
Inc. (a)
United Parcel Service, Inc. 7,900 431,538
Class B
US Xpress Enterprises, Inc. 600 4,200
(a)
USFreightways Corp. 3,400 113,050
Werner Enterprises, Inc. 1,400 18,725
XTRA Corp. (a) 300 11,944
Yellow Corp. (a) 700 11,200
1,894,309
TOTAL TRANSPORTATION 6,079,730
UTILITIES - 10.5%
CELLULAR - 1.9%
Advanced Radio Telecom Corp. 200 7,650
(a)
Aerial Communications, Inc. 1,200 71,925
(a)
AirGate PCS, Inc. 1,100 107,800
Alamosa PCS Holdings, Inc. 3,250 117,813
ALLTEL Corp. 19,465 1,128,970
Cellnet Data Systems, Inc. (a) 11,900 17,106
CoreComm Ltd. (a) 675 26,831
Crown Castle International 10,200 328,950
Corp. (a)
Dobson Communications Corp. 1,450 27,550
Class A
LCC International, Inc. (a) 2,700 75,431
Leap Wireless International, 700 61,381
Inc. (a)
Lightbridge, Inc. (a) 2,000 47,250
Metrocall, Inc. (a) 7,100 83,869
Nextel Communications, Inc. 18,600 2,543,550
Class A (a)
Nextel Partners, Inc. 8,730 279,360
Omnipoint Corp. (a) 2,500 294,441
Paging Network, Inc. (a) 17,100 49,697
Powertel, Inc. (a) 2,400 224,700
Price Communications Corp. 5,265 125,702
QUALCOMM, Inc. (a) 35,300 5,028,044
Rural Cellular Corp. Class A 1,600 88,400
(a)
SBA Communications Corp. 3,600 145,800
SpectraLink Corp. (a) 3,700 107,763
Sprint Corp. - PCS Group 43,600 2,256,300
Series 1 (a)
Telephone & Data Systems, 4,600 485,300
Inc.
Tritel, Inc. Class A 4,500 142,875
United States Cellular Corp. 6,500 435,094
(a)
VoiceStream Wireless Corp. (a) 4,700 625,394
WebLink Wireless, Inc. Class 4,300 77,400
A (a)
Western Wireless Corp. Class A 3,800 184,300
15,196,646
ELECTRIC UTILITY - 1.8%
AES Corp. (a) 10,100 846,506
Allegheny Energy, Inc. 4,000 103,750
Alliant Energy Corp. 5,200 146,250
Ameren Corp. 12,700 381,000
American Electric Power Co., 9,400 264,375
Inc.
Avista Corp. 5,800 174,363
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
UTILITIES - CONTINUED
ELECTRIC UTILITY - CONTINUED
Bangor Hydro-Electric Co. 200 $ 3,050
Black Hills Corp. 400 8,800
Calpine Corp. (a) 2,400 219,600
Carolina Power & Light Co. 9,000 267,750
Central & South West Corp. 11,000 184,938
Cinergy Corp. 4,900 104,738
Citizens Utilities Co. Class 16,625 253,531
B (a)
CMP Group, Inc. 3,900 110,175
CMS Energy Corp. 12,600 211,050
Conectiv, Inc. 6,750 96,188
Consolidated Edison, Inc. 15,000 413,438
Constellation Energy Corp. 4,400 130,900
Dominion Resources, Inc. 17,143 628,934
DPL, Inc. 9,350 201,025
DQE, Inc. 2,200 102,300
DTE Energy Co. 12,600 380,363
Duke Energy Corp. 22,900 1,110,650
Eastern Utilities Associates 1,700 52,806
Edison International 21,200 557,825
Energy East Corp. 5,900 123,900
Entergy Corp. 17,900 362,475
FirstEnergy Corp. 14,257 266,428
Florida Progress Corp. 5,900 251,488
FPL Group, Inc. 12,200 471,225
GPU, Inc. 8,000 199,000
IDACORP, Inc. 3,900 124,313
IPALCO Enterprises, Inc. 7,300 123,644
Kansas City Power & Light Co. 1,700 39,100
LG&E Energy Corp. 3,800 84,313
MidAmerican Energy Holdings, 7,200 249,300
Inc.
Minnesota Power, Inc. 2,800 42,875
Montana Power Co. 3,900 153,563
New Century Energies, Inc. 5,300 143,431
New England Electric System 1,800 97,200
(NEES)
Niagara Mohawk Holdings, Inc. 5,700 66,975
(a)
NiSource, Inc. 4,000 51,750
Northeast Utilities 10,700 201,294
Northern States Power Co. 4,400 77,275
Northwestern Corp. 400 9,050
NSTAR Companies 1,034 42,329
OGE Energy Corp. 2,400 41,250
PECO Energy Co. 6,400 238,800
PG&E Corp. 27,700 571,313
Pinnacle West Capital Corp. 6,800 187,850
Potomac Electric Power Co. 3,300 67,031
PPL Corp. 4,510 90,764
Public Service Co. of New 6,300 96,863
Mexico
Public Service Enterprise 15,600 452,400
Group, Inc.
Puget Sound Power & Light Co. 2,500 50,781
Reliant Energy, Inc. 19,800 407,138
SCANA Corp. 1,956 46,577
SHARES VALUE (NOTE 1)
Sierra Pacific Resources 1,152 $ 15,696
Southern Co. 45,000 998,438
TECO Energy, Inc. 4,000 72,000
Texas Utilities Co. 19,200 626,400
TNP Enterprises, Inc. 2,900 125,244
Unicom Corp. 15,100 570,969
Unisource Energy Corp. 3,000 40,500
Utilicorp United, Inc. 2,700 44,213
Wisconsin Energy Corp. 3,400 60,138
14,939,598
GAS - 0.9%
AGL Resources, Inc. 200 3,413
Columbia Energy Group 6,600 389,400
Contour Energy Co. (a) 660 502
CTG Resources, Inc. 300 11,100
Dynegy, Inc. Class A 10,936 512,625
Eastern Enterprises Co. 3,800 219,925
El Paso Energy Corp. 15,500 574,469
Energen Corp. 900 14,625
Enron Corp. 38,200 2,635,800
Equitable Resources, Inc. 2,100 79,275
KeySpan Corp. 14,892 303,425
Kinder Morgan, Inc. 4,700 131,013
MCN Energy Group, Inc. 6,500 156,406
Midcoast Energy Resources, 3,100 48,825
Inc.
National Fuel Gas Co. 500 20,469
NICOR, Inc. 8,000 243,000
Northwest Natural Gas Co. 3,400 66,300
ONEOK, Inc. 1,200 27,225
Peoples Energy Corp. 3,000 86,813
Questar Corp. 7,500 104,531
Sempra Energy 20,954 377,172
Southwest Gas Corp. 500 9,250
Southwestern Energy Co. 800 5,600
UGI Corp. 4,300 80,625
Washington Gas Light Co. 1,300 31,038
Western Resources, Inc. 12,300 189,881
WICOR, Inc. 4,000 120,250
Williams Companies, Inc. 19,799 827,846
Yankee Energy System, Inc. 1,800 79,200
7,350,003
TELEPHONE SERVICES - 5.9%
Adelphia Business Solution, 900 46,238
Inc. Class A (a)
Alaska Communication Systems 4,600 64,400
Group, Inc.
Allegiance Telecom, Inc. (a) 5,100 504,263
AT&T Corp. 169,468 8,378,074
Bell Atlantic Corp. 88,300 4,321,181
BellSouth Corp. 108,000 4,401,000
BroadWing, Inc. 8,998 267,128
Caprock Communications Corp. 2,600 114,563
(a)
Carrier1 International SA ADR 11,140 361,354
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
UTILITIES - CONTINUED
TELEPHONE SERVICES - CONTINUED
CenturyTel, Inc. 10,775 $ 362,309
Choice One Communications, 1,640 98,400
Inc.
Commonwealth Telephone 500 21,813
Enterprises, Inc. (a)
COMSAT Corp. Series 1 677 11,382
Cypress Communications, Inc. 2,520 58,748
Deltathree.com, Inc. 1,500 62,813
e.spire Communications, Inc. 7,700 96,250
(a)
FirstCom Corp. (a) 2,500 92,344
Flag Telecom Holdings Ltd. 7,270 208,104
Focal Communications Corp. 4,000 211,250
Global TeleSystems Group, 7,700 192,500
Inc. (a)
GST Telecommunications, Inc. 6,100 44,606
(a)
GTE Corp. 56,400 3,327,600
I-Link Corp. (a) 6,300 55,125
iBasis, Inc. 2,500 201,250
ICG Communications, Inc. (a) 2,500 78,438
Intermedia Communications, 2,400 151,950
Inc. (a)
ITC DeltaCom, Inc. (a) 5,500 208,656
Level 3 Communications, Inc. 17,800 2,026,975
(a)
Mastech Corp. (a) 3,500 115,938
MCI WorldCom, Inc. (a) 151,725 6,770,728
McLeodUSA, Inc. Class A (a) 9,600 844,800
Metromedia Fiber Network, 9,637 692,810
Inc. Class A (a)
MGC Communications, Inc. (a) 600 41,400
Net2Phone, Inc. 2,400 138,900
NEXTLINK Communications, Inc. 3,400 374,638
Class A (a)
NorthEast Optic Network, Inc. 1,300 145,925
(a)
Pac-West Telecomm, Inc. 90 3,150
Pacific Gateway Exchange, 3,600 72,900
Inc. (a)
PNV, Inc. 700 2,888
Primus Telecommunications 961 42,164
Group, Inc. (a)
Qwest Communications 38,240 1,773,380
International, Inc. (a)
RCN Corp. (a) 2,700 161,663
Rhythms NetConnections, Inc. 2,600 92,788
SBC Communications, Inc. 190,665 7,245,270
Source Media, Inc. (a) 2,500 37,188
Splitrock Services, Inc. 4,600 215,050
Sprint Corp. - FON Group 49,200 3,001,200
STAR Telecommunications, Inc. 7,605 45,630
(a)
TALK.com, Inc. (a) 6,500 109,688
Teligent, Inc. Class A (a) 1,500 123,188
Time Warner Telecom, Inc. 2,500 192,500
U.S. WEST, Inc. 30,079 2,184,487
U.S. LEC Corp. Class A (a) 1,600 69,600
Ursus Telecom Corp. (a) 1,300 22,994
Viatel, Inc. (a) 1,491 83,962
SHARES VALUE (NOTE 1)
WinStar Communications, Inc. 2,000 $ 154,750
(a)
WorldQuest Networks, Inc. 310 10,540
Z-Tel Technologies, Inc. 1,100 38,913
50,777,746
WATER - 0.0%
American Water Works, Inc. 6,200 124,000
United Water Resources, Inc. 3,900 135,769
259,769
TOTAL UTILITIES 88,523,762
TOTAL COMMON STOCKS 849,262,855
(Cost $757,862,017)
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 36 801
$1.875
DURABLES - 0.0%
AUTOS, TIRES, & ACCESSORIES -
0.0%
Automatic Common Exchangeable 1,800 13,613
Securities Trust II
(Republic Industries, Inc.)
$1.55 TRACES
TOTAL CONVERTIBLE PREFERRED 14,414
STOCKS
NONCONVERTIBLE PREFERRED
STOCKS - 0.0%
CONSTRUCTION & REAL ESTATE -
0.0%
REAL ESTATE INVESTMENT TRUSTS
- - 0.0%
Price Enterprises, Inc. 100 1,400
Series A $1.40
TOTAL PREFERRED STOCKS 15,814
(Cost $28,902)
CORPORATE BONDS - 0.0%
MOODY'S RATINGS (UNAUDITED) PRINCIPAL AMOUNT
CONVERTIBLE BONDS - 0.0%
CONSTRUCTION & REAL ESTATE -
0.0%
REAL ESTATE - 0.0%
Excel Legacy Corp. 9% 11/4/04 - $ 2,000 1,764
NONCONVERTIBLE BONDS - 0.0%
CONSTRUCTION & REAL ESTATE -
0.0%
REAL ESTATE - 0.0%
Excel Legacy Corp. 10% 11/4/04 - 1,000 882
TOTAL CORPORATE BONDS 2,646
(Cost $2,646)
U.S. TREASURY OBLIGATIONS -
1.2%
MOODY'S RATINGS (UNAUDITED) PRINCIPAL AMOUNT VALUE (NOTE 1)
U.S. Treasury Bills, yield at - $ 10,680,000 $ 10,586,116
date of purchase 5.29% to
5.68% 4/13/00 to 5/25/00 (c)
(Cost $10,585,776)
CASH EQUIVALENTS - 6.7%
SHARES
Bankers Trust Institutional 57,883,176 57,883,176
Daily Asset Fund, 5.9247%
(b) (Cost $57,883,176)
TOTAL INVESTMENT PORTFOLIO - 917,750,607
106.9%
(Cost $826,362,517)
NET OTHER ASSETS - (6.9)% (59,557,442)
NET ASSETS - 100% $ 858,193,165
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C>
FUTURES CONTRACTS
EXPIRATION DATE UNDERLYING FACE AMOUNT AT VALUE UNREALIZED GAIN/(LOSS)
PURCHASED
24 S&P 500 Stock Index March 2000 $ 8,232,000 $ 78,056
Contracts
</TABLE>
THE FACE VALUE OF FUTURES PURCHASED AS A PERCENTAGE OF NET ASSETS -
1.0%
SECURITY TYPE ABBREVIATIONS
TRACES - Trust Automatic Common
Exchange Securities
LEGEND
(a) Non-income producing
(b) The rate quoted is the annualized seven-day 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 $1,178,280.
OTHER INFORMATION
Purchases and sales of securities, other than short-term securities,
aggregated $616,631,190 and $51,523,291.
The market value of futures contracts opened and closed during the
period amounted to $626,676,164 and $628,752,444, 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 $21,915 for the period.
The fund participated in the security lending program. At period end,
the value of securities loaned amounted to $58,013,549. The fund
received
cash collateral of $57,883,176 which was invested in the Bankers Trust
Institutional Daily Asset Fund. The fund also received non-cash
collateral
of $182,002 which represents U.S. Treasury obligations.
INCOME TAX INFORMATION
At February 29, 2000, the aggregate cost of investment securities for
income tax purposes was $827,938,176. Net unrealized appreciation
aggregated $89,812,431, of which $192,656,103 related to appreciated
investment securities and $102,843,672 related to depreciated
investment securities.
The fund hereby designates approximately $1,076,000 as a capital gain
dividend for the purpose of the dividend paid deduction.
A total of 59% of the dividends distributed during the fiscal year
qualifies for the dividends-received deductions for corporate
shareholders (unaudited).
The fund will notify shareholders in January 2001 of the applicable
percentage for use in preparing 2000 income tax returns.
SPARTAN TOTAL MARKET INDEX FUND
FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
FEBRUARY 29, 2000
ASSETS
Investment in securities, at $ 917,750,607
value (cost $826,362,517) -
See accompanying schedule
Receivable for investments 283,817
sold
Receivable for fund shares 5,700,489
sold
Dividends receivable 864,108
Redemption fees receivable 1,473
Receivable for daily 207,071
variation on futures
contracts
Other receivables 36,498
TOTAL ASSETS 924,844,063
LIABILITIES
Payable to custodian bank $ 177,280
Payable for investments 5,346,896
purchased
Payable for fund shares 2,934,874
redeemed
Accrued management fee 45,899
Other payables and accrued 262,773
expenses
Collateral on securities 57,883,176
loaned, at value
TOTAL LIABILITIES 66,650,898
NET ASSETS $ 858,193,165
Net Assets consist of:
Paid in capital $ 762,137,999
Undistributed net investment 1,392,866
income
Accumulated undistributed net 3,196,155
realized gain (loss) on
investments
Net unrealized appreciation 91,466,145
(depreciation) on investments
NET ASSETS, for 22,938,668 $ 858,193,165
shares outstanding
NET ASSET VALUE, offering $37.41
price and redemption price
per share ($858,193,165
(divided by) 22,938,668
shares)
STATEMENT OF OPERATIONS
YEAR ENDED FEBRUARY 29, 2000
INVESTMENT INCOME $ 5,724,096
Dividends
Interest 1,241,860
Security lending 208,314
TOTAL INCOME 7,174,270
EXPENSES
Management fee and $ 1,253,033
sub-advisory fees
Transfer agent fees 629,720
Accounting fees 202,088
Non-interested trustees' 1,319
compensation
Registration fees 245,809
Audit 24,934
Legal 2,509
Miscellaneous 965
Total expenses before 2,360,377
reductions
Expense reductions (1,071,487) 1,288,890
NET INVESTMENT INCOME 5,885,380
REALIZED AND UNREALIZED GAIN
(LOSS)
Net realized gain (loss) on:
Investment securities 5,576,339
Futures contracts 418,351 5,994,690
Change in net unrealized
appreciation (depreciation)
on:
Investment securities 75,483,623
Futures contracts 5,928 75,489,551
NET GAIN (LOSS) 81,484,241
NET INCREASE (DECREASE) IN $ 87,369,621
NET ASSETS RESULTING FROM
OPERATIONS
<TABLE>
<CAPTION>
<S> <C> <C>
STATEMENT OF CHANGES IN NET ASSETS
INCREASE (DECREASE) IN NET YEAR ENDED FEBRUARY 29, 2000 YEAR ENDED FEBRUARY 28, 1999
ASSETS
Operations Net investment $ 5,885,380 $ 1,386,745
income
Net realized gain (loss) 5,994,690 943,115
Change in net unrealized 75,489,551 13,636,635
appreciation (depreciation)
NET INCREASE (DECREASE) IN 87,369,621 15,966,495
NET ASSETS RESULTING FROM
OPERATIONS
Distributions to shareholders (4,911,129) (994,904)
From net investment income
From net realized gain (3,035,302) (762,761)
TOTAL DISTRIBUTIONS (7,946,431) (1,757,665)
Share transactions Net 749,760,374 199,132,653
proceeds from sales of shares
Reinvestment of distributions 7,501,210 1,689,270
Cost of shares redeemed (192,357,117) (41,593,739)
NET INCREASE (DECREASE) IN 564,904,467 159,228,184
NET ASSETS RESULTING FROM
SHARE TRANSACTIONS
Trading fees 580,370 1,006,563
TOTAL INCREASE (DECREASE) 644,908,027 174,443,577
IN NET ASSETS
NET ASSETS
Beginning of period 213,285,138 38,841,561
End of period (including $ 858,193,165 $ 213,285,138
undistributed net investment
income of $1,392,866 and
$472,562, respectively)
OTHER INFORMATION
Shares
Sold 21,285,032 6,798,202
Issued in reinvestment of 207,596 56,636
distributions
Redeemed (5,368,586) (1,438,525)
Net increase (decrease) 16,124,042 5,416,313
</TABLE>
FINANCIAL HIGHLIGHTS
YEARS ENDED FEBRUARY 28, 2000 G 1999 1998 E
SELECTED PER-SHARE DATA
Net asset value, beginning of $ 31.30 $ 27.78 $ 25.00
period
Income from Investment
Operations
Net investment income D .41 .41 .15
Net realized and unrealized 6.14 3.33 2.45
gain (loss)
Total from investment 6.55 3.74 2.60
operations
Less Distributions
From net investment income (.29) (.23) (.08)
From net realized gain (.19) (.28) -
Total distributions (.48) (.51) (.08)
Trading fees added to paid in .04 .29 .26
capital
Net asset value, end of period $ 37.41 $ 31.30 $ 27.78
TOTAL RETURN B, C 21.13% 14.61% 11.48%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period $ 858,193 $ 213,285 $ 38,842
(000 omitted)
Ratio of expenses to average .26% F .27% F .25% A, F
net assets
Ratio of net investment 1.17% 1.40% 1.91% A
income to average net assets
Portfolio turnover rate 11% 4% 7% A
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.
G FOR THE YEAR ENDED FEBRUARY 29
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 FEBRUARY 29, PAST 1 YEAR LIFE OF FUND
2000
SPARTAN EXTENDED MARKET INDEX 57.35% 66.73%
Wilshire 4500 Completion 60.97% 67.58%
Growth & Income Funds Average 8.76% n/a
CUMULATIVE TOTAL RETURNS show the fund's performance in percentage
terms over a set period - in this case, 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 Completion Index (Wilshire 4500) - 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(registered
trademark). 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 one year average represents a peer
group of 934 mutual funds. These benchmarks include reinvested
dividends and capital gains, if any, and exclude the effect of sales
charges. Lipper has created new comparison categories that group funds
according to portfolio characteristics and capitalization, as well as
by capitalization only. These averages are listed on the bottom of
this page. *
AVERAGE ANNUAL TOTAL RETURNS
PERIODS ENDED FEBRUARY 29, PAST 1 YEAR LIFE OF FUND
2000
SPARTAN EXTENDED MARKET INDEX 57.35% 24.68%
Wilshire 4500 Completion 60.97% 24.95%
Growth & Income Funds Average 8.76% 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.
* THE LIPPER MID-CAP CORE FUNDS AVERAGE REFLECTS THE PERFORMANCE
(EXCLUDING SALES CHARGES) OF MUTUAL FUNDS WITH SIMILAR PORTFOLIO
CHARACTERISTICS AND CAPITALIZATION. THE LIPPER MID-CAP SUPERGROUP
AVERAGE REFLECTS THE PERFORMANCE (EXCLUDING SALES CHARGES) OF MUTUAL
FUNDS WITH SIMILAR CAPITALIZATION. AS OF FEBRUARY 29, 2000, THE ONE
YEAR CUMULATIVE AND AVERAGE ANNUAL TOTAL RETURNS FOR THE MID-CAP CORE
FUNDS AVERAGE WAS 66.42%. THE ONE YEAR CUMULATIVE AND AVERAGE ANNUAL
TOTAL RETURNS FOR THE MID-CAP SUPERGROUP WAS 73.94%.
$10,000 OVER LIFE OF FUND
SPARTAN EXT MKT INDEX WILSHIRE 4500 COMPLETION
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 12064.12
1999/07/31 11961.51 11698.57
1999/08/31 11684.72 11407.28
1999/09/30 11548.46 11318.30
1999/10/31 12144.61 11896.67
1999/11/30 13098.47 12900.39
1999/12/31 14707.15 14678.06
2000/01/31 14525.26 14502.51
2000/02/29 16673.30 16757.65
IMATRL PRASUN SHR__CHT 20000229 20000323 100909 R00000000000031
$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 February 29, 2000, the
value of the investment would have been $16,673 - a 66.73% 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 $16,758 -
a 67.58% 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 MANAGER'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 12 months that ended February 29, 2000, the fund delivered
a return of 57.35% (figure does not include the purchase fee, which
was discontinued on April 28, 1999). During this time frame, the
Wilshire 4500 Completion Index returned 60.97%. The fund also compares
its performance against the growth & income funds average, as tracked
by Lipper Inc., which returned 8.76% during the same 12-month period.
Q. IT'S UNUSUAL FOR THE FUND TO DEVIATE FROM THE WILSHIRE INDEX TO
SUCH A DEGREE. WHY THE DISPARITY?
A. The biggest contributor was the fund's rapid growth, especially
over the last four months of the period. New cash coming in has to be
invested as quickly as possible, which leads to transaction costs that
create a drag on returns. To mitigate transaction costs, we invest
cash temporarily using highly liquid stock index futures contracts,
which cost much less than individual stocks to trade. Unfortunately,
the most liquid stock index futures are based on large-cap indexes
like the S&P 500, and these don't track the fund's index very well at
times. Finally, the fund normally holds a selection of the stocks in
the index, because it is inefficient to invest in thousands of stocks
at a time. This worked against the fund over the period, because the
smallest-capitalization stocks in the index - which the fund generally
did not own - were among the best performers.
Q. WHAT WAS THE INVESTMENT CLIMATE LIKE FOR DOMESTIC STOCKS DURING THE
PAST 12 MONTHS?
A. It was a tale of two periods, and two markets, for that matter.
Productivity gains set the stage for a high-growth, low-inflationary
environment for stocks, which kept the Federal Reserve Board on the
sidelines and interest rates relatively steady for the first two
months of the period. These conditions allowed for strong gains shared
among the market's biggest stocks. It was, however, a short-lived
period of prosperity for many of these leading companies, as an
inflation-wary Fed sparked a sea change with its shift in monetary
policy to a tightening bias in May. This move spelled the beginning of
an extended period of actual tightening, which culminated in four
quarter-point rate hikes levied during the last nine months of the
period. Persistent fears about inflation, Fed tightening and rising
energy prices consumed investors, inducing a wholesale shift to
smaller-cap issues within the technology, biotechnology and
communications sectors, which were seemingly more resilient to
interest-rate activity. Investors flocked to the stocks expected to
power the new economy, those with superior earnings-growth potential,
and specifically focused on those engaged in building Internet
infrastructure and pioneering genetic research. The performance
disparity created between old economy stocks, such as auto parts
manufacturer Federal-Mogul, and the tech names representing the new
economy, such as Juniper Networks, widened over the course of the
period. The broader market, as reflected in the Wilshire 4500 - home
to many of the period's top performers - benefited from this
phenomenon, posting an outstanding 12-month return.
Q. WHAT STOCKS HELPED? WHICH HURT?
A. The fund benefited the most from its exposure to leading
communications equipment and Internet infrastructure names such as JDS
Uniphase, Juniper Networks, Veritas Software and i2 Technologies. Its
stake in high-flying biotech stocks Immunex and Celera Genomics also
added meaningfully to performance. On the downside, the growth
prospects found in auto parts manufacturer Federal-Mogul, Berkshire
Hathaway - a big player in the property and casualty insurance
business - and Pepsi were not exciting enough to hold the attention of
tech-minded investors.
Q. WHAT'S YOUR OUTLOOK?
A. The Fed remains concerned about current economic conditions and is
poised to silence any sign of inflation, or anything else for that
matter that threatens to disturb this extended period of prosperity.
Valuation levels, for one thing, are extremely high for new economy
stocks and are only justifiable to the extent of their expected
earnings growth. There is the concern that productivity, the one
element that has held inflation at bay and enabled the economy's
advances up to this point, could, in turn, have a negative effect on
the economy, fueling price pressures by boosting demand. Time will
tell as to how all of this will ultimately play out.
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 A-2.
(checkmark)FUND FACTS
GOAL: seeks to provide investment results that
correspond to the total return of stocks of mid-
to small-capitalization United States
companies
FUND NUMBER: 398
TRADING SYMBOL: FSEMX
START DATE: November 5, 1997
SIZE: as of February 29, 2000, more than
$458 million
SUB-ADVISER: Bankers Trust, since inception
SPARTAN EXTENDED MARKET INDEX FUND
INVESTMENT CHANGES
<TABLE>
<CAPTION>
<S> <C> <C>
TOP TEN STOCKS AS OF FEBRUARY
29, 2000
% OF FUND'S NET ASSETS % OF FUND'S NET ASSETS 6
MONTHS AGO
JDS Uniphase Corp. 1.7 0.3
Berkshire Hathaway, Inc. 1.4 3.1
Class A
VERITAS Software Corp. 1.1 0.3
Juniper Networks, Inc. 0.9 0.0
Level 3 Communications, Inc. 0.8 0.7
Qwest Communications 0.8 0.7
International, Inc.
Sycamore Networks, Inc. 0.8 0.0
CMGI, Inc. 0.7 0.3
Immunex Corp. 0.7 0.4
Cox Communications, Inc. 0.6 0.6
Class A
9.5 6.4
TOP TEN MARKET SECTORS AS OF
FEBRUARY 29, 2000
% OF FUND'S NET ASSETS % OF FUND'S NET ASSETS 6
MONTHS AGO
TECHNOLOGY 43.0 23.2
HEALTH 9.1 7.2
UTILITIES 9.0 8.5
FINANCE 8.5 16.2
MEDIA & LEISURE 6.8 7.7
CONSTRUCTION & REAL ESTATE 3.8 6.5
SERVICES 3.4 4.3
INDUSTRIAL MACHINERY & 2.4 2.4
EQUIPMENT
RETAIL & WHOLESALE 2.3 3.8
ENERGY 2.3 3.6
</TABLE>
SPARTAN EXTENDED MARKET INDEX FUND
INVESTMENTS FEBRUARY 29, 2000
Showing Percentage of Net Assets
COMMON STOCKS - 97.1%
SHARES VALUE (NOTE 1)
AEROSPACE & DEFENSE - 0.4%
AEROSPACE & DEFENSE - 0.2%
AAR Corp. 5,550 $ 131,813
Advanced Aerodynamics & 600 2,156
Structures, Inc. Class A (a)
Alliant Techsystems, Inc. (a) 2,308 124,921
Aviall, Inc. (a) 2,500 20,469
BE Aerospace, Inc. (a) 6,000 53,250
Cordant Technologies, Inc. 5,800 187,775
Curtiss-Wright Corp. 300 11,100
Datron Systems, Inc. (a) 2,800 48,300
Fairchild Corp. Class A (a) 450 2,756
GenCorp, Inc. 1,300 10,156
Harsco Corp. 2,500 62,031
Howmet International, Inc. (a) 5,200 95,225
Kellstrom Industries, Inc. (a) 5,700 39,544
Moog, Inc. Class A (a) 200 3,575
OEA, Inc. (a) 900 6,131
Orbital Sciences Corp. (a) 1,100 19,250
Precision Castparts Corp. 5,600 144,550
Primex Technologies, Inc. 1,500 31,500
Sequa Corp. Class A (a) 300 11,119
Simula, Inc. (a) 100 450
Standex International Corp. 400 6,325
Sturm Ruger & Co., Inc. 800 7,800
United Industrial Corp. 100 856
Woodward Governor Co. 300 6,900
1,027,952
DEFENSE ELECTRONICS - 0.1%
Alpha Industries, Inc. (a) 1,500 217,781
Anaren Microwave, Inc. (a) 1,200 91,050
Ashton Technology Group, Inc. 4,500 45,844
(a)
Cubic Corp. 200 5,075
Datum, Inc. (a) 2,900 61,625
Ducommun, Inc. (a) 150 1,397
Flir Systems, Inc. 600 9,525
Frequency Electronics, Inc. 150 3,450
Herley Industries, Inc. (a) 1,900 30,756
REMEC, Inc. (a) 1,900 70,063
536,566
SHIP BUILDING & REPAIR - 0.1%
Dril-Quip, Inc. (a) 400 13,575
Newport News Shipbuilding, 4,800 135,900
Inc.
149,475
TOTAL AEROSPACE & DEFENSE 1,713,993
BASIC INDUSTRIES - 1.8%
CHEMICALS & PLASTICS - 0.8%
A. Schulman, Inc. 2,600 34,450
Airgas, Inc. (a) 1,600 11,100
Albemarle Corp. 1,440 21,690
SHARES VALUE (NOTE 1)
Arch Chemicals, Inc. 2,750 $ 52,422
Atmi, Inc. (a) 3,800 179,313
Bush Boake Allen, Inc. (a) 700 19,600
Cabot Corp. 10,300 227,888
Carbide/Graphite Group, Inc. 2,600 14,138
(a)
ChemFirst, Inc. 600 11,700
CK Witco Corp. 6,795 72,197
Cytec Industries, Inc. (a) 6,800 164,900
Dexter Corp. 4,000 184,500
Ethyl Corp. 1,200 3,825
First Years, Inc. 200 1,625
Foamex International, Inc. (a) 800 6,800
General Chemical Group, Inc. 1,000 2,250
GenTek, Inc. 400 5,400
Geon Co. 1,600 33,400
Georgia Gulf Corp. 5,600 127,400
Gundle/SLT Environmental, 100 338
Inc. (a)
H.B. Fuller Co. 2,700 165,713
Hawkins Chemicals, Inc. 100 813
IMC Global, Inc. 16,380 221,130
International Specialty 2,200 14,575
Products, Inc. (a)
Isolyser, Inc. (a) 1,000 4,625
Ivex Packaging Corp. (a) 2,300 17,394
Lamson & Sessions Co. (a) 100 763
LESCO, Inc. 1,700 27,413
Lubrizol Corp. 6,400 158,800
Lydall, Inc. (a) 500 3,531
Lyondell Chemical Co. 18,000 154,125
M.A. Hanna Co. 1,700 19,444
MacDermid, Inc. 1,700 58,119
McWhorter Technologies, Inc. 200 2,775
(a)
Medical Manager Corp. (a) 4,137 348,284
Millennium Chemicals, Inc. 5,700 79,800
Minerals Technologies, Inc. 4,100 166,306
Mississippi Chemical Corp. 800 6,000
Myers Industries, Inc. 550 7,803
NL Industries, Inc. 1,700 24,544
North American Scientific, 2,600 81,900
Inc. (a)
NuCo2, Inc. (a) 2,200 32,725
Oil-Dri Corp. of America 100 863
Olin Corp. 9,100 141,050
OM Group, Inc. 1,600 59,600
Park Electrochemical Corp. 300 6,825
Scotts Co. Class A (a) 1,300 42,250
Solutia, Inc. 17,100 236,194
Spartech Corp. 2,000 51,000
Stepan Co. 300 6,150
Synalloy Corp. 100 750
Synthetech, Inc. (a) 100 575
Terra Industries, Inc. 1,900 4,394
Tredegar Industries, Inc. 1,155 32,629
Tuscarora Plastics, Inc. 100 1,113
Uniroyal Technology Corp. (a) 1,900 104,738
USEC, Inc. 25,400 90,488
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
BASIC INDUSTRIES - CONTINUED
CHEMICALS & PLASTICS -
CONTINUED
Valhi, Inc. 3,600 $ 40,050
Valspar Corp. 4,500 147,656
Viskase Companies, Inc. (a) 100 119
Wellman, Inc. 4,200 78,225
3,816,187
IRON & STEEL - 0.2%
Advanced Technical Products, 100 875
Inc. (a)
AK Steel Holding Corp. 17,040 141,645
Ampco-Pittsburgh Corp. 100 1,213
Atchison Casting Corp. (a) 100 825
Barnes Group, Inc. 200 2,838
Birmingham Steel Corp. 3,300 15,263
Carpenter Technology Corp. 2,800 62,300
Cleveland-Cliffs, Inc. 2,400 59,850
Cold Metal Products, Inc. 100 388
Commercial Metals Co. 700 19,338
Gibraltar Steel Corp. 300 5,063
Huntco, Inc. Class A 100 438
Insteel Industries, Inc. 400 3,075
Keystone Consolidated 100 519
Industries, Inc. (a)
KRUG International Corp. (a) 100 175
LTV Corp. 8,200 27,163
Material Sciences Corp. (a) 600 8,663
Mueller Industries, Inc. (a) 4,900 140,263
National Steel Corp. Class B 1,400 9,800
Northwest Pipe Co. (a) 400 5,300
NS Group, Inc. (a) 700 8,181
Oregon Steel Mills, Inc. 1,000 4,125
Roanoke Electric Steel Corp. 350 5,950
Rouge Industries, Inc. Class A 500 3,844
Schnitzer Steel Industries, 100 1,550
Inc. Class A
SEMX Corp. (a) 100 1,125
Shiloh Industries, Inc. (a) 400 4,175
SPS Technologies, Inc. (a) 1,000 32,688
Steel Dynamics, Inc. (a) 8,400 129,150
Steel Technologies, Inc. 4,900 45,938
Sun Hydraulics Corp. 100 694
Titan International, Inc. 700 5,163
Watts Industries, Inc. Class A 800 11,600
Webco Industries, Inc. (a) 100 388
Weirton Steel Corp. (a) 9,000 85,500
WHX Corp. (a) 3,100 25,188
870,253
METALS & MINING - 0.2%
Amcol International Corp. 450 7,088
Belden, Inc. 1,000 22,625
Brush Wellman, Inc. 600 10,050
Cable Design Technology Corp. 850 19,656
(a)
Castle A.M. & Co. 400 5,100
Century Aluminum Co. 2,000 27,250
SHARES VALUE (NOTE 1)
Commonwealth Industries, Inc. 2,300 $ 21,994
CommScope, Inc. (a) 5,600 218,050
Encore Wire Corp. (a) 450 3,009
General Cable Corp. 2,550 25,500
Hecla Mining Co. (a) 10,800 15,525
IMCO Recycling, Inc. 500 4,969
Kaiser Aluminum Corp. (a) 2,400 13,650
Martin Marietta Materials, 6,900 244,950
Inc.
Matthews International Corp. 500 12,094
Class A
MAXXAM, Inc. (a) 200 5,875
McMoRan Exploration Co. (a) 88 1,760
Metals USA, Inc. 1,200 9,300
Olympic Steel, Inc. (a) 500 2,250
Optical Cable Corp. (a) 4,400 234,300
Quanex Corp. 600 12,788
Reliance Steel & Aluminum Co. 900 17,438
RTI International Metals, 2,400 16,950
Inc. (a)
Ryerson Tull, Inc. 764 10,123
Special Metals Corp. (a) 200 600
Superior Telecom, Inc. 4,460 55,750
Titanium Metals Corp. 2,900 13,231
Tremont Corp. 200 2,738
Wolverine Tube, Inc. (a) 2,100 27,169
1,061,782
PACKAGING & CONTAINERS - 0.1%
Alltrista Corp. (a) 100 2,338
BWAY Corp. (a) 100 675
EarthShell Corp. (a) 3,100 18,794
Gaylord Container Corp. Class 1,700 9,138
A (a)
Greif Brothers Corp. Class A 700 22,050
Longview Fibre Co. 1,600 21,800
Packaging Corp. of America 16,700 181,613
Shorewood Packaging Corp. (a) 900 18,675
Silgan Holdings, Inc. (a) 500 6,313
Sonoco Products Co. 11,050 203,734
U.S. Can Corp. (a) 200 2,550
487,680
PAPER & FOREST PRODUCTS - 0.5%
Albany International Corp. 1,045 15,153
Class A
American Pad & Paper Co. (a) 400 104
Bowater, Inc. 5,900 290,206
Buckeye Technologies, Inc. (a) 500 7,969
Caraustar Industries, Inc. 800 13,300
Chesapeake Corp. 3,100 68,781
Consolidated Papers, Inc. 12,800 485,600
Georgia-Pacific Corp. - 11,600 255,925
Timber Group
Mail-Well, Inc. (a) 1,300 11,294
P.H. Glatfelter Co. 1,300 15,925
PalEx, Inc. (a) 100 1,000
Pentair, Inc. 6,900 237,188
Pope & Talbot, Inc. 400 7,650
Precept Business Services, 600 1,763
Inc. (a)
Rayonier, Inc. 2,800 111,300
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
BASIC INDUSTRIES - CONTINUED
PAPER & FOREST PRODUCTS -
CONTINUED
Rock-Tenn Co. Class A 700 $ 7,875
Smurfit-Stone Container Corp. 25,000 340,625
(a)
The St. Joe Co. 3,900 94,331
Trex Co., Inc. 1,100 27,225
U.S. Timberlands Co. LP 6,000 60,750
Wausau-Mosinee Paper Corp. 1,740 22,729
Workflow Management, Inc. (a) 2,801 63,723
2,140,416
TOTAL BASIC INDUSTRIES 8,376,318
CONSTRUCTION & REAL ESTATE -
3.8%
BUILDING MATERIALS - 0.6%
ACX Technologies, Inc. 900 2,869
Alyn Corp. (a) 100 169
American Access Technologies, 3,100 49,988
Inc. (a)
American Standard Companies, 9,200 320,850
Inc. (a)
American Woodmark Corp. 100 1,650
Ameron International Corp. 100 3,488
Barnett, Inc. (a) 600 6,563
C3, Inc. (a) 600 4,200
Carlisle Companies, Inc. 4,200 139,125
Centex Construction Products, 700 16,275
Inc.
Continental Materials Corp. 500 11,000
(a)
Dal-Tile International, Inc. 3,600 25,200
(a)
Drew Industries, Inc. (a) 100 813
Elcor Corp. 825 27,638
Fastenal Co. 5,300 234,194
Ferro Corp. 1,300 24,538
Florida Rock Industries, Inc. 3,100 103,269
Flowserve Corp. 1,200 13,800
Hexcel Corp. (a) 1,100 5,363
Hussmann International, Inc. 6,400 92,400
Huttig Building Products, 7,400 31,450
Inc. (a)
Industrial Holdings, Inc. (a) 100 213
ITEQ, Inc. (a) 300 413
Johns Manville Corp. 6,200 50,375
Justin Industries, Inc. 900 16,256
Lafarge Corp. 8,000 157,500
Lennox International, Inc. 3,216 30,552
Lilly Industries, Inc. Class A 700 9,931
Mestek, Inc. (a) 100 1,669
Mobile Mini, Inc. (a) 2,000 33,750
Nanophase Technologies Corp. 3,800 46,966
(a)
Nortek, Inc. (a) 100 2,188
Park-Ohio Holdings Corp. (a) 2,400 20,100
Penn Engineering & 100 2,388
Manufacturing Corp.
(non-vtg.)
Questron Technology, Inc. (a) 3,900 38,634
Republic Group, Inc. 400 4,350
SHARES VALUE (NOTE 1)
Robbins & Myers, Inc. 200 $ 3,775
Rock of Ages Corp. Class A (a) 600 3,150
ROHN Industries, Inc. (a) 2,000 9,875
RPM, Inc. 20,025 200,250
Selas Corp. of America 100 631
Shaw Group (a) 100 2,450
Southdown, Inc. 5,264 261,226
Tecumseh Products Co. Class A 3,500 150,938
Texas Industries, Inc. 2,600 78,000
Thermo TerraTech, Inc. (a) 200 1,363
United Dominion Industries 1,479 27,803
Ltd.
Universal Forest Products, 2,500 29,688
Inc.
USG Corp. 7,300 237,250
Water Pik Technologies, Inc. 4,400 29,700
(a)
Watsco, Inc. Class A 900 7,538
West Pharmaceutical Services, 479 14,101
Inc.
White Cap Industries, Inc. (a) 4,400 69,300
York International Corp. 5,800 105,125
2,762,290
CONSTRUCTION - 0.2%
American Homestar Corp. (a) 500 1,063
Avatar Holdings, Inc. (a) 1,100 18,563
Beazer Homes USA, Inc. (a) 300 5,550
Butler Manufacturing Co. 200 5,063
California Coastal 2,900 17,763
Communities, Inc. (a)
Calton, Inc. (a)(d) 10,400 49,400
Castle & Cooke, Inc. (a) 610 8,197
Cavalier Homes, Inc. 600 2,213
Clayton Homes, Inc. 10,075 81,859
Crossman Communities, Inc. (a) 1,700 26,563
D.R. Horton, Inc. 10,250 115,313
Del Webb Corp. (a) 1,900 28,500
Dominion Homes, Inc. (a) 200 1,225
Emcor Group, Inc. (a) 1,600 36,000
Engle Homes, Inc. 500 5,219
Fleetwood Enterprises, Inc. 7,200 111,150
Granite Construction, Inc. 900 22,444
Jacobs Engineering Group, 3,900 109,444
Inc. (a)
Lennar Corp. 9,600 158,400
M. D. C. Holdings, Inc. 1,700 25,819
M/I Schottenstein Homes, Inc. 200 2,888
Modtech Holdings, Inc. (a) 425 3,931
NCI Building Systems, Inc. (a) 1,100 16,638
NVR, Inc. (a) 1,000 44,125
Oakwood Homes Corp. 9,000 23,063
Palm Harbor Homes, Inc. (a) 750 12,188
Robertson Ceco Corp. (a) 100 981
Ryland Group, Inc. 1,900 33,725
Schuler Homes, Inc. (a) 100 606
Skyline Corp. 200 4,300
Southern Energy Homes, Inc. 400 575
(a)
Standard Pacific Corp. 3,000 31,875
Toll Brothers, Inc. (a) 4,700 78,138
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
CONSTRUCTION & REAL ESTATE -
CONTINUED
CONSTRUCTION - CONTINUED
U.S. Home Corp. (a) 1,800 $ 61,650
Walter Industries, Inc. 1,600 13,600
1,158,031
ENGINEERING - 0.2%
Able Telcom Holding Corp. (a) 3,800 17,813
Anthony & Sylvan Pools Corp. 30 221
(a)
Apogee Enterprises, Inc. 800 3,700
Arguss Holdings, Inc. (a) 100 1,706
Biospherics, Inc. (a) 400 4,775
Comfort Systems USA, Inc. (a) 1,200 9,450
DSP Group, Inc. (a) 700 61,469
DualStar Technologies Corp. 4,500 43,875
(a)
Dycom Industries, Inc. (a) 3,825 191,250
Encompass Services Corp. (a) 406 2,918
Harding Lawson Associates 100 813
Group, Inc. (a)
Harris Interactive, Inc. 4,200 40,950
IDM Environmental Corp. (a) 2,270 38,164
MasTec, Inc. (a) 3,100 178,638
Morrison Knudsen Corp. (a) 1,000 6,875
NetRatings, Inc. 2,100 75,206
Noble International Ltd. (a) 2,600 36,400
Primark Corp. (a) 94 2,074
Quanta Services, Inc. (a) 1,900 76,950
Stone & Webster, Inc. 2,100 26,775
Sylvan Learning Systems (a) 6,350 94,456
ThermoRetec Corp. 100 688
TransCoastal Marine Services, 1,000 2,781
Inc. (a)
URS Corp. (a) 500 6,813
VSI Holdings, Inc. (a) 100 350
Xceed, Inc. (a) 1,800 56,475
981,585
REAL ESTATE - 0.2%
American Realty Trust, Inc. 100 1,694
Bluegreen Corp. (a) 800 2,750
BridgeStreet Accomodations, 300 581
Inc. (a)
Catellus Development Corp. (a) 7,700 94,806
CB Richard Ellis Services, 1,500 15,563
Inc. (a)
Consolidated-Tomoka Land Co. 2,000 22,875
Fairfield Communities, Inc. 7,600 66,975
(a)
FlightServ.com (a) 2,400 19,800
Forest City Enterprises, Inc. 900 24,525
Class A
Getty Realty Corp. 400 4,825
Globe Business Resources, 100 1,225
Inc. (a)
Grubb & Ellis Co. (a) 700 3,456
Homestead Village, Inc. (a) 600 1,313
Hovnanian Enterprises, Inc. 100 588
Class A (a)
Insignia Financial Group, 866 10,284
Inc. (a)
Iron Mountain, Inc. (a) 6,930 211,365
Jones Lang LaSalle, Inc. (a) 2,400 29,400
SHARES VALUE (NOTE 1)
Kaiser Ventures, Inc. (a) 100 $ 1,500
Kennedy-Wilson, Inc. (a) 2,000 12,000
LNR Property Corp. 800 15,600
Merry Land Properties, Inc. 65 366
(a)
Newhall Land & Farming Co. 2,700 76,106
Plains All American Pipeline 4,900 72,581
LP
ResortQuest International, 1,600 8,000
Inc. (a)
Silverleaf Resorts, Inc. (a) 100 663
Stewart Enterprises, Inc. 23,000 97,750
Class A
Stratus Properties, Inc. (a) 100 406
Syntroleum Corp. (a) 4,400 97,350
Trammell Crow Co. (a) 3,000 36,000
Trendwest Resorts, Inc. (a) 1,000 24,375
Vornado Operating Co. (a) 81 901
Wellsford Real Properties, 625 4,766
Inc. (a)
960,389
REAL ESTATE INVESTMENT TRUSTS
- - 2.6%
Alexander's, Inc. (a) 100 7,569
Alexandria Real Estate 400 12,225
Equities, Inc.
AMB Property Corp. 7,800 157,463
American Real Estate Partners 200 1,538
LP (a)
AMLI Residential Properties 500 10,219
Trust (SBI)
Annaly Mortgage Management, 3,500 28,000
Inc.
Apartment Investment & 9,517 352,129
Management Co. Class A
Archstone Communities Trust 19,700 385,381
Arden Realty Group, Inc. 9,300 193,556
Associated Estates Realty 700 6,213
Corp.
Avalonbay Communities, Inc. 9,814 331,223
Banyan Strategic Realty Trust 100 538
(SBI)
Bedford Property Investors, 100 1,675
Inc.
Boston Properties, Inc. 10,400 315,250
Boykin Lodging Co. 500 5,938
Bradley Real Estate, Inc. 700 12,206
(SBI)
Brandywine Realty Trust 900 14,400
BRE Properties, Inc. Class A 1,200 28,350
Burnham Pacific Properties, 400 3,975
Inc.
Camden Property Trust (SBI) 3,151 84,486
Capital Automotive 10,200 127,500
Capstead Mortgage Corp. 1,396 5,846
Captec Net Lease Realty, Inc. 7,200 59,400
CarrAmerica Realty Corp. 3,600 76,500
CBL & Associates Properties, 900 20,138
Inc.
Center Trust, Inc. 800 6,100
CenterPoint Properties Trust 600 21,788
Charles E. Smith Residential 200 6,988
Realty, Inc.
Chateau Communities, Inc. 900 22,275
Chelsea GCA Realty, Inc. 500 13,250
Colonial Properties Trust 2,600 64,838
(SBI)
Commercial Net Lease Realty, 1,000 10,188
Inc.
Cornerstone Properties, Inc. 14,600 246,375
Cousins Properties, Inc. 1,000 35,500
Crescent Real Estate Equities 19,000 324,188
Co.
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
CONSTRUCTION & REAL ESTATE -
CONTINUED
REAL ESTATE INVESTMENT TRUSTS
- - CONTINUED
Criimi Mae, Inc. 2,260 $ 2,401
Crown American Realty Trust 900 5,231
Developers Diversified Realty 5,900 67,850
Corp.
Duke-Weeks Realty Corp. 18,228 334,940
Dynex Capital, Inc. (a) 375 2,672
Eastgroup Properties, Inc. 500 9,844
Entertainment Properties Trust 3,200 44,400
Equity Inns, Inc. 11,300 73,450
Equity Office Properties Trust 29,662 710,034
Equity Residential Properties 15,389 614,598
Trust (SBI)
Essex Property Trust, Inc. 600 21,150
Federal Realty Investment 1,300 25,025
Trust (SBI)
FelCor Lodging Trust, Inc. 10,105 173,048
First Industrial Realty 7,000 182,000
Trust, Inc.
First Union Real Estate 1,480 6,568
Equity & Mortgage Investments
Franchise Finance Corp. of 3,600 81,000
America
Gables Residential Trust (SBI) 1,000 22,000
General Growth Properties, 7,400 214,138
Inc.
Glenborough Realty Trust, 7,500 112,031
Inc.
Glimcher Realty Trust (SBI) 800 9,900
Great Lakes REIT, Inc. 200 3,025
Health Care Property 3,224 80,197
Investors, Inc.
Health Care REIT, Inc. 6,700 104,269
Healthcare Realty Trust, Inc. 10,066 163,573
Highwoods Properties, Inc. 9,700 203,094
Home Properties of New York, 600 16,050
Inc.
Hospitality Properties Trust 8,600 166,625
(SBI)
Host Marriott Corp. 31,400 278,675
HRPT Properties Trust 26,100 208,800
Humphrey Hospitality Trust 130 845
(REIT)
Impac Mortgage Holdings, Inc. 700 2,406
Imperial Credit Commercial 4,900 56,044
Mortgage Investment Corp.
Indymac Mortgage Holdings, 14,700 186,506
Inc.
Innkeepers USA Trust 7,100 55,913
IRT Property Co. 1,000 7,875
Jameson Inns, Inc. 100 700
JDN Realty Corp. 3,600 38,700
JP Realty, Inc. 500 9,031
Kilroy Realty Corp. 900 19,238
Kimco Realty Corp. 7,200 247,950
Koger Equity, Inc. 200 3,538
Konover Property Trust, Inc. 100 563
Kranzco Realty Trust 100 844
Lexington Corporate 100 1,038
Properties Trust
Liberty Property Trust (SBI) 7,500 170,156
LTC Properties, Inc. 200 1,175
Macerich Co. 1,500 30,188
SHARES VALUE (NOTE 1)
Mack-Cali Realty Corp. 8,400 $ 199,500
Manufactured Home 800 18,300
Communities, Inc.
Meditrust Corp. unit 30,134 84,752
MeriStar Hospitality Corp. 8,854 141,111
MGI Properties, Inc. 400 2,075
Mid-America Apartment 700 16,013
Communities, Inc.
Mills Corp. 4,900 82,994
National Golf Properties, 400 8,625
Inc.
National Health Investors, 200 2,663
Inc.
Nationwide Health Properties, 1,400 16,013
Inc.
New Plan Excel Realty Trust 18,240 254,220
Omega Healthcare Investors, 600 3,600
Inc.
Pacific Gulf Properties, Inc. 300 6,056
Pan Pacific Retail 600 10,763
Properties, Inc.
Parkway Properties, Inc. 100 2,963
Pennsylvania Real Estate 400 6,625
Investment Trust
Pinnacle Holdings, Inc. 2,600 152,100
Post Properties, Inc. 5,600 210,700
Prentiss Properties Trust 2,800 57,575
(SBI)
Prime Retail, Inc. 479 1,108
Prison Realty Corp. 3,925 20,116
ProLogis Trust 21,820 394,124
Public Storage, Inc. 14,472 319,289
Realty Income Corp. 800 16,650
Reckson Associates Realty 4,000 74,000
Corp.
Redwood Trust, Inc. 300 3,619
Regency Realty Corp. 1,900 35,981
RFS Hotel Investors, Inc. 900 9,563
Saul Centers, Inc. 100 1,431
Senior Housing Properties 940 8,108
Trust (REIT)
Shurgard Storage Centers, 900 21,263
Inc. Class A
Simon Property Group, Inc. 19,600 460,600
SL Green Realty Corp. 200 4,650
Sovran Self Storage, Inc. 400 7,575
Spieker Properties, Inc. 8,000 321,000
Starwood Financial, Inc. 5,258 88,729
Storage USA, Inc. 900 28,294
Summit Properties, Inc. 1,100 20,900
Sun Communities, Inc. 500 14,750
Tanger Factory Outlet 100 1,944
Centers, Inc.
Taubman Centers, Inc. 1,700 17,638
The Rouse Co. 10,000 218,750
Thornburg Mortgage Asset 600 4,838
Corp.
Town & Country Trust 500 8,781
United Dominion Realty Trust, 8,300 83,000
Inc.
Universal Health Realty 100 1,519
Income Trust
Urban Shopping Centers, Inc. 500 13,875
Ventas, Inc. 2,000 6,750
Vornado Realty Trust 11,024 336,921
Walden Residential 5,500 126,844
Properties, Inc.
Washington (SBI) 700 10,763
Weingarten Realty Investors 800 30,000
(SBI)
Western Properties Trust 500 5,313
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
CONSTRUCTION & REAL ESTATE -
CONTINUED
REAL ESTATE INVESTMENT TRUSTS
- - CONTINUED
Westfield America, Inc. 1,000 $ 14,125
Winston Hotels, Inc. 500 3,750
Wyndham International, Inc. 7,215 17,136
Class A (a)
11,792,851
TOTAL CONSTRUCTION & REAL 17,655,146
ESTATE
DURABLES - 1.9%
AUTOS, TIRES, & ACCESSORIES -
0.7%
Aftermarket Technology Corp. 700 8,225
(a)
Amcast Industrial Corp. 1,000 11,938
Arvin Industries, Inc. 3,700 67,988
AutoNation, Inc. (a) 45,800 346,363
Aviation Sales Co. (a) 2,600 19,338
Bandag, Inc. 800 18,800
Barrett Resources Corp. (a) 5,900 171,838
Borg-Warner Automotive, Inc. 5,200 166,400
Boyds Wheels, Inc. (a) 800 32
Breed Technologies, Inc. (a) 2,500 1,800
Casey's General Stores, Inc. 13,300 111,388
CLARCOR, Inc. 750 14,578
Colonels International, Inc. 200 1,325
(a)
Copart, Inc. (a) 5,400 113,569
CSK Auto Corp. (a) 600 6,900
Discount Auto Parts, Inc. (a) 500 5,438
Donnelly Corp. Class A 100 1,213
Dura Automotive Systems, Inc. 2,144 28,006
Class A (a)
Evans Systems, Inc. (a) 3,400 11,900
Federal Signal Corp. 8,600 128,463
Federal-Mogul Corp. 11,400 155,325
Fidelity Holdings, Inc. (a) 5,900 89,975
Gentex Corp. (a) 6,500 189,922
Getty Petroleum Marketing, 100 200
Inc. (a)
Giant Industries, Inc. (a) 87 701
Hayes Lemmerz International, 900 17,888
Inc. (a)
IMPCO Technologies, Inc. (a) 2,100 107,494
Intermet Corp. 3,100 34,875
Keystone Automotive 3,200 17,000
Industries, Inc. (a)
Kroll-O'Gara Co. (a) 4,600 76,475
Lear Corp. (a) 9,900 209,138
Lithia Motors, Inc. (a) 900 13,444
Lufkin Industries, Inc. 200 3,000
Mascotech, Inc. 1,400 19,600
McLaren Automotive Group, 300 713
Inc. (a)
Meritor Automotive, Inc. 6,800 95,200
Miller Industries, Inc. (a) 1,500 5,531
Modine Manufacturing Co. 900 20,531
Monaco Coach Corp. (a) 600 10,800
Monro Muffler Brake, Inc. (a) 1,105 9,393
O'Reilly Automotive, Inc. (a) 9,200 128,800
SHARES VALUE (NOTE 1)
Oshkosh Truck Co. 1,750 $ 46,375
Raytech Corp. (a) 100 356
Simpson Industries, Inc. 600 6,038
Sonic Automotive, Inc. (a) 2,700 23,119
Spartan Motors, Inc. 100 406
SPX Corp. (a) 4,000 348,250
Standard Motor Products, Inc. 1,000 13,563
Strattec Security Corp. (a) 1,000 33,250
Superior Industries 2,400 57,300
International, Inc.
Supreme Industries, Inc. 96 522
Class A
TBC Corp. (a) 700 3,675
Tower Automotive, Inc. (a) 3,800 45,125
Ugly Duckling Corp. (a) 200 1,575
United Auto Group, Inc. (a) 300 2,513
Wabash National Corp. 700 9,800
Wynn's International, Inc. 550 7,322
3,040,696
CONSUMER DURABLES - 0.1%
Ballantyne of Omaha, Inc. 530 3,478
Blyth Industries, Inc. (a) 6,800 152,575
Boyds Collection, Ltd. 3,000 19,125
Daktronics, Inc. (a) 3,200 32,800
Department 56, Inc. (a) 2,600 36,725
Dupont Photomasks, Inc. (a) 2,500 146,250
Libbey, Inc. 800 21,500
Lifetime Hoan Corp. 100 638
Mikasa, Inc. 500 4,563
Oneida Ltd. 450 7,988
Printrak International, Inc. 100 1,069
(a)
SAF T LOK, Inc. (a) 2,100 3,281
Shuffle Master, Inc. (a) 800 8,500
Simpson Manufacturing Co. 400 16,950
Ltd. (a)
Sola International, Inc. (a) 1,600 8,000
463,442
CONSUMER ELECTRONICS - 0.5%
Audible, Inc. 4,200 53,550
Boston Acoustics, Inc. 200 2,888
Digital Video Systems, Inc. 1,400 15,488
(a)
Fossil, Inc. (a) 5,825 132,155
General Motors Corp. Class H 13,900 1,674,950
(a)
Harman International 2,900 179,619
Industries, Inc.
Movado Group, Inc. 2,600 46,800
National Presto Industries, 400 12,650
Inc.
Odetics, Inc. Class B (a) 400 10,425
Parkervision, Inc. (a) 1,200 39,000
Recoton Corp. (a) 4,300 59,931
Royal Appliance Manufacturing 600 3,188
Co. (a)
Salton, Inc. (a) 2,050 96,606
SRS Labs, Inc. (a) 3,600 76,500
Sunbeam Corp. (a) 4,208 17,358
Sunbeam Corp. warrants 610 0
8/24/03 (a)
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
DURABLES - CONTINUED
CONSUMER ELECTRONICS -
CONTINUED
U.S. Industries, Inc. 9,560 $ 109,343
Universal Electronics, Inc. 2,600 51,350
(a)
2,581,801
HOME FURNISHINGS - 0.2%
Bassett Furniture Industries, 400 5,400
Inc.
Bush Industries, Inc. Class 100 1,319
A.
Ethan Allen Interiors, Inc. 5,900 137,544
Falcon Products, Inc. 100 1,125
Flooring America, Inc. (a) 600 3,225
Furniture Brands 8,600 138,138
International, Inc. (a)
Haverty Furniture Companies, 600 6,488
Inc.
Heilig-Meyers Co. 1,800 5,850
Herman Miller, Inc. 10,900 223,450
Hillenbrand Industries, Inc. 3,900 118,463
HON Industries, Inc. 2,100 38,719
Kimball International, Inc. 1,300 19,744
Class B
La-Z-Boy, Inc. 3,506 58,287
Linens'n Things, Inc. (a) 2,500 49,219
Restoration Hardware, Inc. (a) 6,200 35,650
Rowe Furniture Corp. 110 784
Select Comfort Corp. (a) 700 3,850
Steelcase, Inc. Class A 8,000 98,000
The Bombay Company, Inc. (a) 1,200 4,350
Virco Manufacturing Co. 341 4,305
953,910
TEXTILES & APPAREL - 0.4%
Active Apparel Group, Inc. (a) 200 625
Ashworth, Inc. (a) 600 2,963
BEBE Stores, Inc. (a) 4,200 44,363
Bluefly, Inc. (a) 1,900 20,663
Brown Shoe Co., Inc. 1,400 14,700
Burlington Industries, Inc. 2,000 5,625
(a)
Candies, Inc. (a) 700 744
Chemfab Corp. (a) 100 1,438
Chic By H. I. S., Inc. (a) 100 50
Collins & Aikman Corp. 1,800 9,113
Columbia Sportswear Co. (a) 800 16,650
Cone Mills Corp. (a) 800 3,150
Conso International Corp. (a) 100 888
Converse, Inc. (a) 200 213
Crown Crafts, Inc. 100 163
Culp, Inc. 100 613
Cutter & Buck, Inc. (a) 3,900 37,538
Deckers Outdoor Corp. (a) 100 350
Delta Woodside Industries 800 1,300
Dixie Group, Inc. (a) 400 2,300
Donna Karan International, 700 5,031
Inc. (a)
Dyersburg Corp. 100 63
Florsheim Group, Inc. (a) 100 450
SHARES VALUE (NOTE 1)
G-III Apparel Group Ltd. (a) 1,200 $ 3,900
Galey & Lord, Inc. (a) 400 775
Global Sports, Inc. (a) 800 14,400
Guilford Mills, Inc. 700 6,475
Haggar Corp. 300 4,069
Hartmarx Corp. (a) 1,100 3,506
Interface, Inc. Class A 8,100 36,450
Jason, Inc. (a) 100 1,031
Johnston Industries, Inc. (a) 400 650
Jones Apparel Group, Inc. (a) 15,201 343,923
Jos. A. Bank Clothiers, Inc. 100 413
(a)
K-Swiss, Inc. Class A 4,500 50,063
Kellwood Co. 1,000 16,875
Madden Steven Ltd. (a) 2,700 36,450
Maxwell Shoe, Inc. Class A (a) 2,500 20,938
McNaughton Apparel Group, 100 869
Inc. (a)
Mohawk Industries, Inc. (a) 2,600 57,688
Mossimo, Inc. (a) 800 4,850
Nautica Enterprises, Inc. (a) 7,000 73,938
North Face, Inc. (a) 5,000 25,000
Oshkosh B'Gosh, Inc. Class A 1,330 25,270
Oxford Industries, Inc. 100 1,663
Pacific Sunwear of 1,700 43,244
California, Inc. (a)
Phillips-Van Heusen Corp. 900 6,244
Pillowtex Corp. 4,926 21,551
Polo Ralph Lauren Corp. Class 7,400 123,950
A (a)
Polymer Group, Inc. 1,000 14,938
Quaker Fabric Corp. (a) 850 4,197
Quiksilver, Inc. (a) 1,250 16,094
R.G. Barry Corp. (a) 100 300
Rocky Shoes Boots, Inc. (a) 100 650
Samsonite Corp. (a) 243 1,344
Saucony, Inc. (a) 1,400 12,688
Shaw Industries, Inc. 19,680 249,690
Sport-Haley, Inc. (a) 100 444
Stride Rite Corp. 4,400 24,200
Superior Uniform Group, Inc. 100 975
Tarrant Apparel Group (a) 1,600 11,800
Timberland Co. Class A (a) 1,500 64,313
Tropical Sportswear 900 10,463
International Corp. (a)
U.S. Home & Garden, Inc. (a) 2,900 12,869
Unifi, Inc. (a) 1,900 18,169
Vans, Inc. (a) 2,100 32,550
Warnaco Group, Inc. Class A 10,264 111,621
WestPoint Stevens, Inc. Class 9,000 149,625
A
Wolverine World Wide, Inc. 1,300 14,950
Worldtex, Inc. (a) 100 200
1,845,258
TOTAL DURABLES 8,885,107
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
ENERGY - 2.3%
COAL - 0.0%
Arch Coal, Inc. 1,300 $ 11,538
CONSOL Energy, Inc. 5,300 61,613
73,151
ENERGY SERVICES - 1.2%
Atwood Oceanics, Inc. (a) 2,500 132,813
Aztec Manufacturing Co. 100 1,025
BJ Services Co. (a) 5,100 291,019
Cal Dive International, Inc. 2,000 72,000
(a)
Carbo Ceramics, Inc. 300 6,525
Dawson Geophysical Co. (a) 200 1,850
Diamond Offshore Drilling, 15,600 495,300
Inc.
Eagle Geophysical, Inc. (a) 639 30
ENSCO International, Inc. 15,700 474,925
Global Industries Ltd. (a) 15,300 156,825
Global Marine, Inc. (a) 12,100 271,494
Hanover Compressor Co. (a) 4,300 201,831
Helmerich & Payne, Inc. 8,900 236,963
Input/Output, Inc. (a) 1,600 9,700
Kaneb Services, Inc. (a) 200 1,038
Key Energy Group, Inc. (a) 11,800 117,263
Layne Christensen Co. (a) 100 513
Lone Star Technologies, Inc. 2,300 86,250
(a)
Marine Drilling Companies, 3,400 77,563
Inc. (a)
Maverick Tube Corp. (a) 3,900 87,750
Nabors Industries, Inc. (a) 10,696 383,719
Noble Drilling Corp. (a) 9,900 356,400
Oceaneering International, 3,800 72,200
Inc. (a)
Offshore Logistics, Inc. (a) 3,600 35,775
Parker Drilling Co. (a) 6,900 27,600
Patterson Energy, Inc. (a) 4,700 107,219
Powell Industries, Inc. (a) 100 800
Pride International, Inc. (a) 9,300 137,756
R&B Falcon Corp. (a) 13,440 207,480
RPC, Inc. 900 6,863
Santa Fe International Corp. 14,000 401,625
SEACOR SMIT, Inc. (a) 1,700 82,450
Seitel, Inc. 6,000 49,125
Smith International, Inc. (a) 3,200 200,600
Superior Energy Services, 5,200 38,350
Inc. (a)
Tidewater, Inc. 8,800 249,150
Tuboscope, Inc. (a) 1,400 23,363
Unit Corp. (a) 4,300 37,356
UTI Energy Corp. (a) 1,400 44,888
Varco International, Inc. (a) 2,400 26,550
Weatherford International, 12,162 547,290
Inc. (a)
Zapata Corp. 800 4,000
5,763,236
INDEPENDENT POWER - 0.0%
Trigen Energy Corp. 100 2,331
SHARES VALUE (NOTE 1)
OIL & GAS - 1.1%
American International 100 $ 80
Petroleum Corp. (a)
APCO Argentina, Inc. 100 2,750
Basin Exploration, Inc. (a) 3,100 32,744
Belco Oil & Gas Corp. (a) 1,000 7,125
Bellwether Exploration Co. (a) 3,300 22,688
Benton Oil & Gas Co. (a) 1,100 2,200
Berry Petroleum Co. Class A 300 5,363
Bp Prudhoe Bay Royalty Trust 200 1,950
Brigham Exploration Co. (a) 100 202
Buckeye Partners LP 800 21,300
Cabot Oil & Gas Corp. Class A 2,400 37,950
Carrizo Oil & Gas, Inc. (a) 100 297
Castle Energy Corp. 900 5,316
Chesapeake Energy Corp. (a) 2,698 7,925
Comstock Resources, Inc. (a) 1,000 4,188
Cooper Cameron Corp. (a) 3,400 187,850
Costilla Energy, Inc. (a) 100 6
Cross Timbers Oil Co. 5,350 46,144
Crown Central Petroleum Corp. 100 619
Class B (a)
Denbury Resources, Inc. (a) 400 1,476
Devon Energy Corp. 10,387 386,916
Edge Petroleum Corp. (a) 1,200 3,750
EEX Corp. (a) 1,400 3,413
Enterprise Products Partners 800 15,800
LP
EOG Resources, Inc. 15,900 242,475
Evergreen Resources, Inc. (a) 3,400 75,650
Forcenergy, Inc. (a) 11,400 8,436
Forest Oil Corp. (a) 3,500 28,656
Friede Goldman Halter, Inc. 3,168 16,632
(a)
Frontier Oil Corp. (a) 500 3,125
FX Energy, Inc. (a) 500 3,313
Gothic Energy Corp. (a) 300 90
Greka Energy Corp. (a) 16 145
Gulf Island Fabrication, Inc. 1,300 13,325
(a)
Hallwood Energy Corp. 74 333
Harken Energy Corp. (a) 4,400 3,850
Holly Corp. 300 3,975
Houston Exploration Co. (a) 700 10,631
HS Resources, Inc. (a) 600 9,900
Inland Resources, Inc. (a) 10 55
IRI International Corp. (a) 1,300 6,338
Key Production Co., Inc. (a) 100 1,069
Louis Dreyfus Natural Gas 4,700 96,938
Corp. (a)
Magnum Hunter Resources, Inc. 900 2,981
Magnum Hunter Resources, Inc. 300 131
warrants 7/1/02
Mallon Resources Corp. (a) 500 2,094
Markwest Hydrocarbon, Inc. (a) 100 738
Meridian Resource Corp. (a) 1,500 5,156
Miller Exploration Co. (a) 600 694
Murphy Oil Corp. 5,900 298,688
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
ENERGY - CONTINUED
OIL & GAS - CONTINUED
National Energy Group, Inc. 900 $ 140
(a)
National-Oilwell, Inc. (a) 8,400 203,700
Newfield Exploration Co. (a) 6,400 198,400
Noble Affiliates, Inc. 9,000 202,500
Nuevo Energy Co. (a) 1,800 31,950
Ocean Energy, Inc. (a) 23,652 252,781
Parallel Petroleum Corp. (a) 100 178
Patina Oil & Gas Corp. 900 8,100
Penn Virginia Corp. 200 3,275
Pennzoil-Quaker State Co. 18,166 158,953
Petroleum Development Corp. 100 406
(a)
Pioneer Natural Resources Co. 3,500 29,094
Plains Resources, Inc. (a) 4,300 59,663
Pogo Producing Co. 6,200 143,375
Range Resources Corp. 1,120 2,170
Remington Oil & Gas Corp. (a) 400 1,275
Resource America, Inc. Class A 5,200 36,725
Santa Fe Snyder Corp. (a) 28,975 217,313
Seven Seas Petroleum, Inc. (a) 1,200 2,325
St. Mary Land & Exploration 500 13,906
Co.
Stone Energy Corp. (a) 3,000 121,875
Swift Energy Co. (a) 1,900 22,444
TEPPCO Partners LP 1,500 32,063
Tesoro Petroleum Corp. (a) 6,900 63,825
Titan Exploration, Inc. (a) 7,800 33,150
Tom Brown, Inc. (a) 2,300 30,475
TransMontaigne, Inc. (a) 1,000 6,500
Ultramar Diamond Shamrock 11,200 242,900
Corp.
UNIFAB International, Inc. (a) 300 1,988
Valero Energy Corp. 9,000 229,500
Vastar Resources, Inc. 11,600 615,525
Veritas DGC, Inc. (a) 4,400 88,000
Vintage Petroleum, Inc. 7,400 107,300
WD-4O Co. 700 12,950
Western Gas Resources, Inc. 1,700 23,375
Williams Clayton Energy, Inc. 1,400 19,600
(a)
Wiser Oil Co. (a) 100 263
XCL Ltd. (a) 500 125
4,851,557
TOTAL ENERGY 10,690,275
FINANCE - 8.5%
BANKS - 2.3%
1st Source Corp. 531 10,886
Abigail Adams National 100 888
Bancorp, Inc.
Advanta Corp. 3,200 59,600
Alabama National Bancorp 100 1,825
Allegiant Bancorp, Inc. 260 2,795
Amcore Financial, Inc. 5,600 117,250
American Bancshares, Inc. (a) 1,700 19,338
SHARES VALUE (NOTE 1)
American Pacific Bank of 300 $ 1,050
Oregon Class B (a)
ANB Corp. 400 12,950
Area Bankshares Corp. 200 4,025
Associated Banc-Corp. 10,725 271,477
BancorpSouth, Inc. 800 12,850
BancWest Corp. 5,220 79,279
Bank of Granite Corp. 325 6,175
BankAtlantic Bancorp, Inc. 431 1,805
Class A (non-vtg.)
Banknorth Group, Inc. 4,990 94,498
BOK Financial Corp. 1,466 22,723
Boston Private Financial 100 825
Holdings, Inc.
Brenton Banks, Inc. 242 2,329
BT Financial Corp. 420 7,350
Capital Crossing Bank (a) 1,200 13,650
Carolina First Corp. 800 12,700
Cathay Bancorp, Inc. 100 4,300
CCB Financial Corp. 6,000 222,750
Centura Banks, Inc. 3,960 133,650
Century South Banks, Inc. 300 7,350
Chemical Financial Corp. 242 6,413
Chittenden Corp. 767 19,511
Citizens Banking Corp. 2,734 45,965
City Holding Co. 111 1,388
City National Corp. 6,400 176,400
Colonial Bancgroup, Inc. 5,400 47,925
Commerce Bancorp, Inc. 4,100 137,863
Commerce Bancshares, Inc. 6,024 173,190
Community First Bankshares, 9,300 130,200
Inc.
Community Trust Bancorp, Inc. 310 5,851
Compass Bancshares, Inc. 16,450 266,284
Corus Bankshares, Inc. 500 12,313
CPB, Inc. 100 2,250
Cullen Frost Bankers, Inc. 6,000 129,000
CVB Financial Corp. 206 2,910
East West Bancorp, Inc. 4,000 50,250
F&M National Corp. 721 16,313
Fidelity National Corp., 500 3,484
Georgia
First BanCorp P R 900 15,300
First Citizen Bancshares, 300 19,350
Inc.
First Commerce Bancshares 100 3,438
First Commonwealth Financial 1,104 11,040
Corp.
First Financial Bancorp Ohio 1,254 23,983
First Financial Bankshares, 110 2,860
Inc.
First Midwest Bancorp, Inc. 4,464 111,321
First Security Corp. 23,526 545,509
First Tennessee National 16,100 277,725
Corp.
First United Bancshares, Inc. 200 2,400
First Virginia Banks, Inc. 7,300 229,950
Firstmerit Corp. 15,892 225,468
FNB Corp. Pennsylvania 215 4,676
Fulton Financial Corp. 1,545 25,493
GBC Bancorp 595 16,065
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
FINANCE - CONTINUED
BANKS - CONTINUED
Gold Banc Corp., Inc. 500 $ 3,938
Grand Premier Financial, Inc. 110 1,210
Greater Bay Bancorp 2,200 86,350
Hamilton Bancorp, Inc. (a) 1,100 18,356
Hancock Holding Co. 100 3,725
Hibernia Corp. Class A 19,300 174,906
Hudson United Bancorp 10,326 208,456
Imperial Bancorp 4,864 125,248
Independent Bank Corp. 500 5,250
International Bancshares 425 16,442
Corp.
Irwin Financial Corp. 700 11,813
Jefferson Savings Bancorp, 100 1,131
Inc.
Keystone Financial, Inc. 7,800 121,875
M&T Bank Corp. 999 368,631
Marshall & Ilsley Corp. 12,600 578,813
Mercantile Bankshares Corp. 11,700 293,963
Merchants New York Bancorp, 200 3,275
Inc.
MidAmerica Bancorp 106 2,531
Mississippi Valley 300 7,069
Bancshares, Inc.
National Bancorp of Alaska, 900 26,550
Inc.
National City Bancorp. 110 1,678
National City Bancshares, 530 13,184
Inc.
National Commmerce Bancorp 15,400 261,800
National Penn Bancshares, 341 7,417
Inc.
NBT Bancorp, Inc. 355 4,615
North Fork Bancorp, Inc. 22,657 371,008
Old National Bancorp 8,178 204,450
Omega Financial Corp. 200 4,875
One Valley Bancorp West 1,205 36,075
Virginia, Inc.
Oriental Financial Group, 433 8,227
Inc.
Pacific Bank NA 1,200 31,200
Pacific Capital Bancorp 1,500 42,938
Pacific Century Financial 12,200 185,288
Corp.
Park National Corp. 315 30,870
Peoples Heritage Financial 15,307 162,637
Group, Inc.
Popular, Inc. 16,100 359,231
Provident Financial Group, 6,900 194,063
Inc.
R&G Financial Corp. Class B 600 5,100
Republic Bancorp, Inc. 3,335 26,680
Republic Bancshares, Inc. (a) 1,100 13,406
Riggs National Corp. 2,300 22,928
S&T Bancorp, Inc. 880 16,225
Seacoast Financial Services 2,777 27,423
Corp.
Silicon Valley Bancshares (a) 3,300 261,525
Sky Financial Group, Inc. 12,353 189,155
Southwest Bancorp Texas, Inc. 2,000 36,500
(a)
State Financial Services 2,200 22,275
Corp.
Sterling Bancshares, Inc. 850 8,075
Sun Bancorp, Inc. 2,800 18,988
Susquehanna Bancshares, Inc. 1,100 16,088
Texas Regional Bancshares, 700 17,106
Inc. Class A
SHARES VALUE (NOTE 1)
TF Financial Corp. 100 $ 1,525
Trust Co. of New Jersey 600 11,513
Trustco Bank Corp. 5,010 55,580
Trustmark Corp. 2,400 40,650
U.S. Trust Corp. 2,400 332,400
UAB Financial Corp. 555 18,662
UCBH Holdings, Inc. (a) 1,900 37,525
UnionBanCal Corp. 19,100 613,588
United Bankshares, Inc. 1,870 34,244
United National Bancorp 116 1,914
USBANCORP, Inc. Pennsylvania 600 5,888
Valley National Bancorp 2,814 65,250
WesBanco, Inc. 600 12,600
West Coast Bancorp 1,771 18,485
Westamerica Bancorp. 6,200 140,663
Whitney Holding Corp. 300 9,788
Wilmington Trust Corp. 4,800 225,300
Zions Bancorp 9,668 513,008
10,665,551
CREDIT & OTHER FINANCE - 0.6%
Aames Financial Corp. (a) 2,200 1,375
Ace Cash Express, Inc. (a) 100 1,713
Actrade International Ltd. (a) 2,800 44,450
Allied Capital Corp. 9,720 168,885
Allstate Financial Corp. (a) 400 363
AmeriCredit Corp. (a) 5,000 69,375
Ampal-American Israel Corp. 4,800 106,800
Class A (a)
AMRESCO, Inc. (a) 7,300 10,038
Arcadia Financial Ltd. (a) 2,400 11,550
Cash America International, 700 7,875
Inc.
CIT Group, Inc. Class A 30,200 422,800
Coast Federal Litigation 300 525
Contingent Payment Rights
Trust rights 12/31/00 (a)
CompuCredit Corp. 1,900 62,700
Concord EFS, Inc. (a) 23,900 467,544
Consumer Portfolio Services, 600 975
Inc. (a)
ContiFinancial Corp. (a) 1,500 105
Credit Acceptance Corp. (a) 1,500 8,250
Delta Financial Corp. (a) 500 1,875
Doral Financial Corp. 5,200 51,025
E-Loan, Inc. 7,700 68,819
Electronic Clearing House, 8,500 35,859
Inc. (a)
ePlus, Inc. (a) 1,800 81,450
Financial Federal Corp. (a) 500 8,563
Finet.Com, Inc. (a) 5,400 7,425
Finova Group, Inc. 8,200 234,725
First Alliance Corp. (a) 700 1,838
First Charter Corp. 1,584 21,582
Greenpoint Financial Corp. 6,000 95,625
Heller Financial, Inc. Class A 7,864 147,942
Home Gold Financial, Inc. (a) 100 125
IMC Mortgage Co. (a) 1,800 198
SHARES VALUE (NOTE 1)
TF Financial Corp. 100 $ 1,525
Trust Co. of New Jersey 600 11,513
Trustco Bank Corp. 5,010 55,580
Trustmark Corp. 2,400 40,650
U.S. Trust Corp. 2,400 332,400
UAB Financial Corp. 555 18,662
UCBH Holdings, Inc. (a) 1,900 37,525
UnionBanCal Corp. 19,100 613,588
United Bankshares, Inc. 1,870 34,244
United National Bancorp 116 1,914
USBANCORP, Inc. Pennsylvania 600 5,888
Valley National Bancorp 2,814 65,250
WesBanco, Inc. 600 12,600
West Coast Bancorp 1,771 18,485
Westamerica Bancorp. 6,200 140,663
Whitney Holding Corp. 300 9,788
Wilmington Trust Corp. 4,800 225,300
Zions Bancorp 9,668 513,008
10,665,551
CREDIT & OTHER FINANCE - 0.6%
Aames Financial Corp. (a) 2,200 1,375
Ace Cash Express, Inc. (a) 100 1,713
Actrade International Ltd. (a) 2,800 44,450
Allied Capital Corp. 9,720 168,885
Allstate Financial Corp. (a) 400 363
AmeriCredit Corp. (a) 5,000 69,375
Ampal-American Israel Corp. 4,800 106,800
Class A (a)
AMRESCO, Inc. (a) 7,300 10,038
Arcadia Financial Ltd. (a) 2,400 11,550
Cash America International, 700 7,875
Inc.
CIT Group, Inc. Class A 30,200 422,800
Coast Federal Litigation 300 525
Contingent Payment Rights
Trust rights 12/31/00 (a)
CompuCredit Corp. 1,900 62,700
Concord EFS, Inc. (a) 23,900 467,544
Consumer Portfolio Services, 600 975
Inc. (a)
ContiFinancial Corp. (a) 1,500 105
Credit Acceptance Corp. (a) 1,500 8,250
Delta Financial Corp. (a) 500 1,875
Doral Financial Corp. 5,200 51,025
E-Loan, Inc. 7,700 68,819
Electronic Clearing House, 8,500 35,859
Inc. (a)
ePlus, Inc. (a) 1,800 81,450
Financial Federal Corp. (a) 500 8,563
Finet.Com, Inc. (a) 5,400 7,425
Finova Group, Inc. 8,200 234,725
First Alliance Corp. (a) 700 1,838
First Charter Corp. 1,584 21,582
Greenpoint Financial Corp. 6,000 95,625
Heller Financial, Inc. Class A 7,864 147,942
Home Gold Financial, Inc. (a) 100 125
IMC Mortgage Co. (a) 1,800 198
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
FINANCE - CONTINUED
CREDIT & OTHER FINANCE -
CONTINUED
Imperial Credit Industries (a) 1,500 $ 8,625
Investors Financial Services 1,600 64,800
Corp.
LendingTree, Inc. 1,710 20,093
Medallion Financial Corp. 500 9,125
Metris Companies, Inc. 2,044 52,889
New Century Financial Corp. 1,900 17,100
(a)
NextCard, Inc. 2,900 65,613
PMC Capital, Inc. 100 813
Prism Financial Corp. 5,500 27,672
Resource Bancshares Mortgage 810 2,987
Group, Inc.
SierraCities.com, Inc. (a) 2,800 59,150
Southern Pacific Funding 700 63
Corp. (a)
Student Loan Corp. 500 19,438
T&W Financial Corp. (a) 600 563
Triad Guaranty, Inc. (a) 100 2,100
UniCapital Corp. (a) 9,400 23,500
WFS Financial, Inc. 500 7,500
Willis Lease Finance Corp. (a) 2,100 11,025
WMF Group Ltd. (a) 33 256
World Acceptance Corp. (a) 100 588
WSFS Financial Corp. 4,000 46,250
2,582,524
INSURANCE - 3.0%
21st Century Insurance Group 2,700 47,588
Acceptance Insurance Co., 400 1,650
Inc.
ACMAT Corp. Class A (a) 100 763
Alfa Corp. 500 8,188
Allcity Insurance Co. (a) 300 1,781
Allmerica Financial Corp. 6,800 283,900
Ambac Financial Group, Inc. 8,400 369,075
American Annuity Group, Inc. 1,300 20,313
American Financial Group, 3,800 79,800
Inc.
American National Insurance 700 40,950
Co.
Amerus Life Holdings, Inc. 834 16,941
Argonaut Group, Inc. 2,500 47,500
Arthur J. Gallagher & Co. 2,900 148,263
Atlantic American Corp. (a) 400 1,000
Baldwin & Lyons, Inc. Class B 200 3,625
Berkshire Hathaway, Inc. 146 6,424,000
Class A (a)
Brown & Brown, Inc. 350 11,550
Capitol Transamerica Corp. 300 3,600
Ceres Group, Inc. (a) 300 1,894
Chicago Title Corp. 3,800 176,700
ChoicePoint, Inc. (a) 2,200 82,913
Citizens, Inc. Class A 107 736
Claimsnet.com, Inc. 2,700 24,300
CNA Financial Corp. (a) 19,400 523,800
CNA Surety Corp. 1,300 14,788
Commerce Group, Inc. 1,000 29,875
Core, Inc. (a) 7,300 54,294
SHARES VALUE (NOTE 1)
Crawford & Co. Class B 1,500 $ 19,875
Danielson Holding Corp. (a) 400 2,300
Delphi Financial Group, Inc. 844 22,261
Class A
Donegal Group, Inc. 133 881
E.W. Blanch Holdings, Inc. 2,500 117,500
EMC Insurance Group 200 1,875
Enhance Financial Services 2,800 32,900
Group, Inc.
Erie Indemnity Co. Class A 3,100 96,100
Everest Re Group Ltd. (a) 8,500 208,781
Farm Family Holdings, Inc. (a) 100 3,525
FBL Financial Group, Inc. 1,000 16,125
Class A
Fidelity National Financial, 852 10,703
Inc.
Financial Security Assurance 4,800 216,000
Holdings Ltd.
First American Financial 5,150 59,869
Corp.
First Health Group Corp. (a) 6,200 149,575
Foremost Corp. of America 4,500 130,781
FPIC Insurance Group, Inc. (a) 3,000 49,125
Fremont General Corp. 10,800 78,300
Frontier Insurance Group, 8,950 16,781
Inc.
Gainsco, Inc. 400 2,300
Harleysville Group, Inc. 400 5,225
Hartford Life, Inc. Class A 4,800 169,800
HCC Insurance Holdings, Inc. 5,100 65,025
HealthAxis, Inc. (a) 1,900 55,338
Healthcare Recoveries, Inc. 1,300 5,850
(a)
HealthExtras, Inc. 2,000 13,625
Healthplan Services Corp. 2,200 11,688
Highlands Insurance Group, 500 4,063
Inc. (a)
Hilb, Rogal & Hamilton Co. 400 11,375
Horace Mann Educators Corp. 5,000 77,500
HSB Group, Inc. 5,850 144,788
Independence Holding Co. 200 2,325
INSpire Insurance Solutions, 4,100 15,888
Inc. (a)
Interstate National Dealer 100 688
Services, Inc. (a)
Investors Title Co. 100 1,175
LandAmerica Financial Group, 1,500 27,000
Inc.
Liberty Corp. (The) 592 19,906
Liberty Financial Companies, 1,500 28,969
Inc.
Markel Corp. (a) 1,000 130,750
Medical Assurance, Inc. 568 11,147
MedicalControl, Inc. (a) 400 3,050
Merchants Group, Inc. 100 1,838
Mercury General Corp. 3,300 74,869
Meridian Insurance Group, 132 1,790
Inc.
MMI Companies, Inc. 4,200 39,638
Mobile America Corp. 200 400
MONY Group, Inc. 3,100 88,738
Motor Club of America (a) 200 1,650
National Security Group, Inc. 100 1,250
Nationwide Financial 5,300 122,231
Services, Inc. Class A
Navigators Group, Inc. (a) 200 1,925
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
FINANCE - CONTINUED
INSURANCE - CONTINUED
Nymagic, Inc. 300 $ 4,313
Ohio Casualty Corp. 12,000 148,500
Old Guard Group, Inc. 100 1,300
Old Republic International 19,600 229,075
Corp.
Penn Treaty American Corp. (a) 200 2,650
Penn-America Group, Inc. 200 1,588
Penncorp Financial Group, 1,100 34
Inc. (a)
Philadelphia Consolidated 3,200 47,000
Holding Corp. (a)
PICO Holdings, Inc. (a) 100 1,325
PMA Capital Corp. 100 1,850
PMI Group, Inc. 6,800 246,925
Point West Capital Corp. (a) 2,100 24,150
Presidential Life Corp. 900 14,063
Protective Life Corp. 8,415 185,130
PXRE Group Ltd. 300 4,219
Quotesmith.com, Inc. 2,500 17,813
Radian Group, Inc. 6,386 221,514
Reinsurance Group of America, 4,894 83,504
Inc.
Reliance Group Holdings, Inc. 21,400 94,963
Reliastar Financial Corp. 11,250 314,297
Risk Capital Holdings, Inc. 500 7,625
(a)
RLI Corp. 325 9,689
SCPIE Holding, Inc. 1,400 44,188
Selective Insurance Group, 5,700 87,994
Inc.
StanCorp Financial Group, 1,300 32,013
Inc.
State Auto Financial Corp. 900 7,088
Stewart Information Services 400 5,475
Corp.
Superior National Insurance 4,600 16,388
Group, Inc. (a)
Symons International Group, 200 213
Inc. (a)
Transatlantic Holdings, Inc. 1,700 119,744
Travelers Property Casualty 8,600 271,975
Corp. Class A
Trenwick Group, Inc. 1,290 17,012
UICI (a) 1,400 12,250
Unico American Corp. 200 1,400
United Fire & Casualty Co. 100 2,000
Unitrin, Inc. 9,700 329,194
Vesta Insurance Group Corp. 600 2,888
W.R. Berkley Corp. 5,300 85,131
Wesco Financial Corp. 200 44,950
White Mountains Insurance 70 7,718
Group Ltd.
Zenith National Insurance 500 10,563
Corp.
13,554,559
INVESTMENT COMPANIES - 0.0%
Harris & Harris Group, Inc. 5,400 115,763
THCG, Inc. (a) 1,300 24,213
Winfield Capital Corp. (a) 1,100 33,550
173,526
SHARES VALUE (NOTE 1)
SAVINGS & LOANS - 0.9%
Alliance Bancorp 100 $ 1,831
Ambanc Holding Co., Inc. 200 2,600
Anchor Bancorp Wisconsin, 800 10,750
Inc.
Andover Bancorp, Inc. 300 8,025
Astoria Financial Corp. 9,790 233,124
Bank Plus Corp. (a) 4,000 9,000
Bank United Corp. Class A 7,000 183,313
BankUnited Financial Corp. 2,100 14,634
Class A (a)
Bay View Capital Corp. 3,636 31,815
BSB Bancorp, Inc. 200 3,588
Capitol Federal Financial 2,000 19,125
CFS Bancorp, Inc. 800 7,050
Charter One Financial, Inc. 25,235 397,451
CNY Financial Corp. 4,400 78,375
Commercial Federal Corp. 8,995 116,373
Commonwealth Bancorp, Inc. 2,100 32,944
Community Savings Bankshares, 700 8,138
Inc.
Dime Bancorp, Inc. 20,400 248,625
Dime Community Bancorp, Inc. 948 14,042
Downey Financial Corp. 510 10,041
Eagle Bancshares, Inc. 400 5,900
First Federal Capital Corp. 600 6,450
First Indiana Corp. 420 8,505
First Place Financial Corp. 5,200 59,150
First Republic Bank (a) 300 4,575
First Sentinel Bancorp, Inc. 4,891 40,351
First Washington Bancorp, 410 5,740
Inc.
Firstfed America Bancorp, 100 1,088
Inc.
FirstFed Financial Corp. (a) 600 7,650
Flagstar Bancorp, Inc. 2,300 29,613
Flushing Financial Corp. 750 10,500
Golden State Bancorp, Inc. (a) 17,324 223,047
Harbor Florida Bancshares, 1,000 10,500
Inc.
Harris Financial, Inc. 1,100 6,875
Haven Bancorp, Inc. 400 4,800
HomeFed Corp. (a) 792 459
Hudson City Bancorp, Inc. 9,400 135,125
Independence Community Bank 15,600 172,575
Corp.
Interwest Bancorp, Inc. 1,850 32,375
ISB Financial Corp. 600 8,325
JSB Financial, Inc. 1,000 48,313
Klamath First Bancorp, Inc. 3,548 38,806
Life Financial Corp. (a) 300 1,125
MAF Bancorp., Inc. 1,100 18,700
Mech Financial, Inc. 1,900 58,900
MetroWest Bank 100 556
Net.B@nk, Inc. (a) 3,500 52,938
Niagara Bancorp, Inc. 600 5,400
Northwest Bancorp, Inc. 1,500 10,313
OceanFirst Financial Corp. 2,500 39,844
Ocwen Financial Corp. (a) 2,326 13,811
People's Bank 3,200 63,850
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
FINANCE - CONTINUED
SAVINGS & LOANS - CONTINUED
PFF Bancorp, Inc. 2,000 $ 30,250
Provident Bancshares Corp. 8,161 131,596
Queens County Bancorp, Inc. 900 17,100
Republic Security Financial 6,558 48,365
Corp.
Richmond County Financial 8,200 136,838
Corp.
Roslyn Bancorp, Inc. 11,335 174,276
Sovereign Bancorp, Inc. 32,013 232,094
Staten Island Bancorp, Inc. 1,300 21,613
Sterling Financial Corp. (a) 100 1,113
TCF Financial Corp. 14,200 281,338
Timberland Bancorp, Inc. 500 5,063
Troy Financial Corp. 5,000 47,188
United Community Financial 5,000 35,000
Corp.
USABancShares, Inc. (a) 3,700 32,144
W Holding Co., Inc. 1,300 11,050
Washington Federal, Inc. 9,257 141,748
Webster Financial Corp. 7,528 159,029
Westcorp, Inc. 800 10,250
York Financial Corp. 110 1,238
4,074,296
SECURITIES INDUSTRY - 1.7%
4 Kids Entertainment, Inc. (a) 2,300 64,688
A.B. Watley Group, Inc. 1,100 18,150
A.G. Edwards, Inc. 12,900 408,769
Acacia Research Corp. (a) 1,000 48,688
Advest Group, Inc. 300 4,988
Affiliated Managers Group, 1,700 66,831
Inc. (a)
Alleghany Corp. 200 37,188
Alliance Capital Management 18,800 703,825
Holding LP
American Capital Strategies 3,900 93,600
Ltd.
American Insured Mortgage
Investors:
Series 86 100 381
Series 88 100 644
Ameritrade Holding Corp. 12,500 233,594
Class A (a)
Atalanta Sosnoff Capital 100 988
Corp. (a)
AXA Financial, Inc. 46,700 1,398,081
Dain Rauscher Corp. 900 50,738
DLJ, Inc. 11,500 499,531
Duff & Phelps Credit Rating 500 39,938
Co.
E*Trade Group, Inc. (a) 24,860 612,178
Eaton Vance Corp. 2,000 82,875
eSpeed, Inc. Class A 800 49,550
eVision USA.com, Inc. (a) 7,000 19,250
Federated Investors, Inc. 3,700 86,256
Class B
Friedman, Billings, Ramsey 3,900 62,400
Group, Inc. Class A (a)
Gilman & Ciocia, Inc. (a) 200 1,575
GlobalNet Financial.com, Inc. 1,700 73,738
(a)
Goldman Sachs Group, Inc. 8,000 740,000
Investment Technology Group, 1,897 73,509
Inc.
JB Oxford Holdings, Inc. (a) 4,600 36,225
SHARES VALUE (NOTE 1)
Jefferies Group, Inc. 1,300 $ 30,388
John Nuveen Co. Class A 2,600 89,700
JWGenesis Financial Corp. (a) 694 17,393
Knight/Trimark Group, Inc. 9,800 459,375
Class A (a)
LaBranche & Co., Inc. 1,200 14,550
Legg Mason, Inc. 2,700 105,975
Macrovision Corp. (a) 2,300 229,425
Meyerson & Co., Inc. (a) 1,100 5,775
Morgan Keegan, Inc. 1,000 14,250
National Discount Brokers 600 27,038
Group, Inc. (a)
Neuberger Berman, Inc. 2,100 54,075
Nvest LP 700 11,594
Olympic Cascade Financial 1,000 8,313
Corp. (a)
Omega Worldwide, Inc. (a) 66 330
Phoenix Investment Partners 1,600 11,500
Ltd.
PIMCO Advisors Holdings LP 7,867 299,438
unit
Pioneer Group, Inc. (a) 3,100 62,194
Raymond James Financial, Inc. 2,800 55,300
Reckson Service Industries, 3,300 177,581
Inc. (a)
Security Capital Group, Inc. 12,000 155,250
Class B (a)
Siebert Financial Corp. 1,400 21,525
Southwest Securities Group, 745 34,177
Inc.
Spatializer Audio Labs, Inc. 12,700 25,797
(a)
Stifel Financial Corp. 110 1,224
TD Waterhouse Group, Inc. 2,400 43,950
United Asset Management Corp. 10,500 156,844
Value Line, Inc. 300 10,763
Waddell & Reed Financial, 3,100 89,706
Inc. Class A
Web Street, Inc. 4,900 32,156
Wit Capital Group, Inc. 3,700 59,894
7,813,658
TOTAL FINANCE 38,864,114
HEALTH - 9.1%
DRUGS & PHARMACEUTICALS - 7.0%
Aastrom Biosciences, Inc. (a) 8,400 26,513
Abgenix, Inc. (a) 1,300 418,763
Abiomed, Inc. (a) 1,400 103,513
Accredo Health, Inc. 3,450 101,775
Advanced Photonix, Inc. Class 5,900 71,906
A (a)
Advanced Polymer Systems, 200 825
Inc. (a)
Advanced Tissue Sciences, 10,100 77,013
Inc. (a)
Albany Molecular Research, 1,400 67,550
Inc.
Alexion Pharmaceuticals, Inc. 1,700 144,925
(a)
Algos Pharmaceutical Corp. (a) 600 11,963
Alkermes, Inc. (a) 2,200 422,125
Allergan Specialty 400 6,000
Therapeutics, Inc. Class A
(a)
Alliance Pharmaceutical Corp. 6,300 113,400
(a)
Alpharma, Inc. Class A 2,200 76,175
Alteon, Inc. (a) 400 1,100
Amylin Pharmaceuticals, Inc. 7,800 111,150
(a)
Andrx Corp. (a) 3,800 365,038
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
HEALTH - CONTINUED
DRUGS & PHARMACEUTICALS -
CONTINUED
Anesta Corp. (a) 3,200 $ 71,200
Anika Therapeutics, Inc. (a) 1,100 10,519
Antigenics, Inc. 2,350 105,750
Aphton Corp. (a) 200 7,838
Ariad Pharmaceuticals, Inc. 3,900 102,375
(a)
Aronex Pharmaceuticals, Inc. 8,200 25,625
(a)
Arqule, Inc. (a) 2,600 92,300
Atrix Laboratories, Inc. (a) 100 1,488
AutoImmune, Inc. (a) 8,100 28,856
AVANIR Pharmaceuticals Class 8,200 19,475
A (a)
Avant Immunotherapeutics, 8,700 96,244
Inc. (a)
AVAX Technologies, Inc. (a) 3,800 39,663
AVI BioPharma, Inc. (a) 2,600 67,600
Avigen, Inc. (a) 1,300 96,200
Aviron (a) 2,600 105,463
AXYS Pharmaceuticals, Inc. (a) 6,235 99,760
Barr Laboratories, Inc. (a) 1,900 90,488
Bio-Technology General Corp. 4,700 90,328
(a)
BioCryst Pharmaceuticals, 2,400 64,800
Inc. (a)
Biomatrix, Inc. (a) 1,900 55,813
Biopure Corp. 900 35,550
BioReliance Corp. (a) 100 875
Biosite Diagnostics, Inc. (a) 2,800 98,000
BioSource International, Inc. 2,700 64,800
(a)
BioTime, Inc. (a) 500 8,031
Biotransplant, Inc. (a) 100 1,900
Bone Care International, Inc. 100 1,938
(a)
Boston Life Sciences, Inc. (a) 5,200 57,850
Cadus Pharmaceutical Corp. (a) 100 300
Calypte Biomedical Corp. (a) 1,000 2,625
Cambrex Corp. 800 32,100
Carter-Wallace, Inc. 1,400 25,288
Catalytica, Inc. (a) 3,800 48,925
Cel-Sci Corp. (a) 5,700 44,888
Celgene Corp. (a) 1,400 231,700
Cell Genesys, Inc. (a) 2,400 93,300
Cell Pathways, Inc. (a) 2,300 108,100
Cell Therapeutics, Inc. (a) 3,000 118,500
Cellegy Pharmaceuticals, Inc. 200 1,388
(a)
Celtrix Pharmaceuticals, Inc. 5,900 56,050
(a)
Cephalon, Inc. (a) 2,400 159,525
Cerus Corp. (a) 900 43,425
Chattem, Inc. (a) 2,100 37,800
Chirex, Inc. (a) 3,100 77,113
Chiron Corp. (a) 17,700 885,000
CIMA Labs, Inc. (a) 2,600 57,850
Collagenex Pharmaceuticals, 1,800 35,550
Inc. (a)
Columbia Laboratories, Inc. 1,000 12,625
(a)
COR Therapeutics, Inc. (a) 1,600 143,400
Corixa Corp. (a) 2,600 180,538
Corvas International, Inc. (a) 4,700 59,044
SHARES VALUE (NOTE 1)
Coulter Pharmaceutical, Inc. 900 $ 34,875
(a)
Creative Biomolecules, Inc. 5,800 111,650
(a)
Crescendo Pharmaceuticals 1,100 19,800
Corp. (a)
Cubist Pharmaceuticals, Inc. 2,700 158,456
(a)
CuraGen Corp. (a) 1,700 388,450
Curative Health Services, 3,200 19,200
Inc. (a)
CV Therapeutics, Inc. (a) 2,000 129,000
Cytoclonal Pharmaceuticals, 3,400 56,525
Inc. (a)
CYTOGEN Corp. (a) 9,500 166,250
Cytotherapeutics, Inc. (a) 5,900 48,675
Cytyc Corp. (a) 2,200 101,200
Diacrin, Inc. (a) 100 1,694
Diagnostic Products Corp. 500 11,500
Diversa Corp. 3,250 433,875
Dura Pharmaceuticals, Inc. (a) 7,800 108,225
Duramed Pharmaceuticals, Inc. 1,200 14,400
(a)
Embrex, Inc. (a) 100 1,525
Emisphere Technologies, Inc. 800 44,850
(a)
Energy BioSystems Corp. (a) 2,000 56,125
EntreMed, Inc. (a) 900 88,650
Enzo Biochem, Inc. (a) 2,210 175,143
Enzon, Inc. (a) 3,800 220,400
Epitope, Inc. (a) 4,900 58,188
Epix Medical, Inc. (a) 100 1,688
Ergo Science Corp. (a) 100 244
Forest Laboratories, Inc. (a) 6,600 450,863
GelTex Pharmaceuticals, Inc. 2,800 61,425
(a)
Gene Logic, Inc. (a) 1,700 202,938
Genelabs Technologies, Inc. 8,000 86,000
(a)
Genentech, Inc. 8,700 1,678,013
Genome Therapeutics Corp. (a) 1,700 84,150
Genta, Inc. (a) 4,500 48,938
Genzyme Corp.:
- - General Division 6,900 396,319
- - Molecular Oncology (a) 3,083 82,278
Genzyme Transgenics Corp. (a) 3,100 137,950
Geron Corp. (a) 1,500 82,219
Gilead Sciences, Inc. (a) 3,600 275,400
Gliatech, Inc. (a) 2,400 49,200
Guilford Pharmaceuticals, 2,000 66,250
Inc. (a)
Hauser, Inc. (a) 25 100
Hemispherx Biopharma, Inc. (a) 1,100 18,288
Herbalife International, Inc. 466 6,990
Class A
Heska Corp. (a) 600 2,175
Hollis-Eden Pharmaceutcals, 2,500 47,813
Inc. (a)
Human Genome Sciences, Inc. 4,200 916,650
(a)
Hyseq, Inc. (a) 1,200 121,500
ICN Pharmaceuticals, Inc. 4,800 95,400
ICOS Corp. (a) 2,700 141,413
IDEC Pharmaceuticals Corp. (a) 3,700 521,238
IDEXX Laboratories, Inc. (a) 6,100 180,331
IGEN International, Inc. (a) 2,300 63,825
Ilex Oncology, Inc. (a) 1,900 91,913
Imclone Systems, Inc. (a) 2,200 288,338
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
HEALTH - CONTINUED
DRUGS & PHARMACEUTICALS -
CONTINUED
Immtech International, Inc. 700 $ 17,500
(a)
Immucor, Inc. (a) 1,300 17,956
Immune Response Corp. (a) 5,100 79,050
Immunex Corp. (a) 15,600 3,080,025
ImmunoGen, Inc. (a) 5,200 77,350
Immunomedics, Inc. (a) 3,000 87,375
Incyte Pharmaceuticals, Inc. 2,600 716,463
(a)
Inhale Therapeutic Systems, 2,000 202,500
Inc. (a)
InKine Pharmaceutical, Inc. 6,400 51,200
(a)
Interferon Sciences, Inc. (a) 20 66
International Isotopes, Inc. 200 1,325
(a)
Interneuron Pharmaceuticals, 8,900 36,156
Inc. (a)
Invitrogen Corp. 2,200 185,900
Irvine Sensors Corp. (a) 9,800 112,088
Isis Pharmaceuticals Co. (a) 4,700 66,388
IVAX Corp. (a) 14,700 334,425
Jones Pharma, Inc. 3,800 272,650
Kendle International, Inc. (a) 3,600 48,600
King Pharmaceuticals, Inc. (a) 5,598 266,955
Kos Pharmaceuticals, Inc. (a) 3,800 72,200
KV Pharmaceutical Co. Class A 350 10,063
(a)
La Jolla Pharmaceutical Co. 6,400 49,200
(a)
LifeCell Corp. (a) 5,000 59,375
Ligand Pharmaceuticals, Inc. 3,900 84,825
Class B (a)
Liposome, Inc. (a) 1,200 16,125
Lynx Therapeutics, Inc. (a) 1,000 96,000
Magainin Pharmaceuticals, 6,100 43,844
Inc. (a)
Martek Biosciences (a) 200 2,250
Matritech, Inc. (a) 5,200 55,250
Matrix Pharmaceutical, Inc. 4,800 83,400
(a)
Maxim Pharmaceuticals, Inc. 1,700 127,925
(a)
Maxygen, Inc. 2,400 351,900
Medarex, Inc. (a) 2,700 438,750
Medicis Pharmaceutical Corp. 1,800 90,788
Class A (a)
Medimmune, Inc. (a) 6,145 1,219,783
Meridian Diagnostics, Inc. 100 963
MGI Pharma, Inc. (a) 2,900 138,838
Microcide Pharmaceuticals, 3,100 69,750
Inc. (a)
Microvision, Inc. (a) 1,800 115,313
Millennium Pharmaceuticals, 4,058 1,055,587
Inc. (a)
Miravant Medical Technologies 3,200 89,200
(a)
Molecular Biosystems, Inc. (a) 600 2,250
Mylan Laboratories, Inc. 9,068 208,564
Myriad Genetics, Inc. (a) 1,300 200,850
Nabi (a) 8,200 90,200
Nanogen, Inc. (a) 2,300 180,550
NaPro BioTherapeutics, Inc. 1,700 11,050
(a)
Nature's Sunshine Products, 300 3,150
Inc.
NBTY, Inc. (a) 8,400 118,125
NeoRX Corp. (a) 5,500 97,625
Neose Technologies, Inc. (a) 100 3,500
SHARES VALUE (NOTE 1)
NeoTherapeutics, Inc. (a) 300 $ 5,175
Neurogen Corp. (a) 2,600 109,850
North American Vaccine, Inc. 700 3,894
(a)
Northfield Laboratories, Inc. 500 11,125
(a)
Novavax, Inc. (a) 100 875
Noven Pharmaceuticals, Inc. 4,300 62,081
(a)
NPS Pharmaceuticals, Inc. (a) 3,000 81,563
Nutraceutical International 600 2,175
Corp. (a)
Omni Nutraceuticals, Inc. (a) 800 5,400
ONYX Pharmaceuticals, Inc. (a) 3,000 75,000
Organogenesis, Inc. (a) 931 13,965
Ortec International, Inc. (a) 200 2,000
OSI Pharmaceuticals, Inc. (a) 4,600 129,088
OXiGENE, Inc. (a) 2,400 55,950
PAREXEL International Corp. 4,400 59,950
(a)
PathoGenesis Corp. (a) 3,000 92,625
PE Corp. - Celera Genomics 4,700 1,146,800
Group (a)
Penwest Pharmaceuticals Co. 1,700 26,881
(a)
Pharmaceutical Product 4,700 113,975
Development, Inc. (a)
Pharmacyclics, Inc. (a) 1,100 87,794
PharmaPrint, Inc. (a) 11,100 23,588
Pharmos Corp. (a) 10,100 70,700
Polymedica Industries, Inc. 100 4,631
(a)
Progenics Pharmaceuticals, 1,600 148,800
Inc. (a)
Protein Design Labs, Inc. (a) 1,500 375,281
Pure World, Inc. (a) 440 1,746
Questcor Pharmaceuticals, 200 650
Inc. (a)
Quidel Corp. (a) 7,400 69,838
Regeneron Pharmaceuticals, 1,000 56,500
Inc. (a)
Repligen Corp. (a) 6,600 86,625
Rexall Sundown, Inc. (a) 8,800 132,000
Ribozyme Pharmaceuticals, 2,000 86,000
Inc. (a)
SafeScience, Inc. (a) 1,200 19,350
Sangstat Medical Corp. (a) 1,400 60,550
Schein Pharmaceutical, Inc. 1,100 14,094
(a)
SciClone Pharmaceuticals, 5,600 82,250
Inc. (a)
Scios, Inc. (a) 1,500 12,000
Sepracor, Inc. (a) 5,600 567,700
Serologicals Corp. (a) 6,450 72,563
Shaman Pharmaceuticals, Inc. 1 1
(a)
SICOR, Inc. (a) 4,200 41,738
SkyePharma PLC rights 200 0
12/31/99 (a)
SonoSight, Inc. (a) 1,400 46,375
Spectrx, Inc. (a) 100 1,769
SuperGen, Inc. (a) 2,700 166,219
Symyx Technologies, Inc. 1,900 104,500
Synaptic Pharmaceutical Corp. 4,200 54,600
(a)
Targeted Genetics Corp. (a) 5,200 111,150
Technical Chemicals & 7,500 20,625
Products, Inc. (a)
Techniclone Corp. (a) 11,600 100,412
Texas Biotechnology Corp. (a) 5,800 129,775
Theragenics Corp. (a) 1,000 13,813
Thermotrex Corp. (a) 600 4,875
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
HEALTH - CONTINUED
DRUGS & PHARMACEUTICALS -
CONTINUED
Titan Pharmaceuticals, Inc. 2,200 $ 110,550
(a)
Transkaryotic Therapies, Inc. 3,300 165,413
(a)
Trega Biosciences, Inc. (a) 5,200 54,600
Triangle Pharmaceuticals, 5,500 125,813
Inc. (a)
Trimeris, Inc. (a) 1,800 111,600
Tularik, Inc. 3,600 283,950
Twinlab Corp. (a) 2,200 13,613
United Therapeutics Corp. 1,200 117,000
V.I. Technologies, Inc. (a) 800 7,100
Valentis, Inc. (a) 4,457 77,440
VaxGen, Inc. 2,100 36,225
Ventana Medical Systems, Inc. 2,400 135,300
(a)
Vertex Pharmaceuticals, Inc. 2,700 196,088
(a)
Vical, Inc. (a) 2,200 129,938
Vion Pharmaceuticals, Inc. (a) 4,300 91,644
ViroPharma, Inc. (a) 1,100 102,988
Vivus, Inc. (a) 7,900 45,425
Vysis, Inc. (a) 2,700 48,600
Weider Nutrition 400 1,500
International, Inc. Class A
XOMA Ltd. (a) 9,800 90,650
Zila, Inc. (a) 12,400 66,650
Zonagen, Inc. (a) 4,300 36,550
32,420,688
MEDICAL EQUIPMENT & SUPPLIES
- - 1.4%
Acuson Corp. (a) 800 10,700
ADAC Laboratories (a) 4,800 59,700
Advanced Neuromodulation 3,100 54,056
Systems, Inc. (a)
Aksys Ltd. (a) 100 913
ALARIS Medical, Inc. (a) 1,900 4,394
Allied Healthcare Products, 100 331
Inc. (a)
Allscripts, Inc. 1,500 103,500
American Dental Technologies, 100 256
Inc. (a)
AmeriSource Health Corp. 2,500 36,406
Class A (a)
Angeion Corp. (a) 40 120
Aradigm Corp. (a) 2,900 95,700
Arrow International, Inc. 1,600 63,200
Arthrocare Corp. (a) 1,100 135,850
ATS Medical, Inc. (a) 100 913
Avitar, Inc. (a) 2,400 8,550
Bacou USA, Inc. (a) 600 9,038
Baxter International, Inc. 100 20
rights 12/31/07 (a)
Bergen Brunswig Corp. Class A 6,325 31,230
Bindley Western Industries, 810 13,922
Inc.
Bio-Plexus, Inc. (a) 100 388
Bio-Rad Laboratories, Inc. 300 9,863
Class A (a)
Bio-Vascular, Inc. (a) 400 1,913
BioLase Technology, Inc. (a) 2,100 11,419
Bionx Implants, Inc. (a) 100 400
SHARES VALUE (NOTE 1)
Boston Biomedica, Inc. (a) 3,700 $ 48,100
Bradley Pharmaceuticals, Inc. 1,200 4,050
Class A (a)
BriteSmile, Inc. (a) 1,400 18,463
Candela Corp. (a) 3,000 45,000
Cardiac Pathways Corp. (a) 20 123
Cardima, Inc. (a) 900 2,475
Cell Tech International, Inc. 9 25
(a)
Chad Therapeutics, Inc. (a) 100 144
Closure Medical Corp. (a) 1,300 28,600
CNS., Inc. (a) 4,000 17,000
Coherent, Inc. (a) 3,000 318,000
Cohesion Technologies, Inc. 3,300 34,856
(a)
Colorado Medtech, Inc. (a) 3,100 38,750
Computer Motion, Inc. (a) 1,900 19,950
Conceptus, Inc. (a) 100 594
CONMED Corp. (a) 3,500 96,250
Cooper Companies, Inc. 1,300 35,669
Cyberonics, Inc. (a) 2,800 71,400
Cygnus, Inc. (a) 1,900 35,031
Cypress Bioscience, Inc. (a) 12,300 52,659
Datascope Corp. 1,400 55,825
DENTSPLY International, Inc. 7,900 202,438
Diametrics Medical, Inc. (a) 4,600 49,450
Dianon Systems, Inc. (a) 100 1,825
Digene Corp. (a) 2,500 112,813
Dionex Corp. (a) 3,700 116,781
E-Z-EM, Inc. Class A (a) 100 1,038
Eclipse Surgical Technologies 2,780 23,978
(a)
Endocardial Solutions, Inc. 100 769
(a)
Endosonics Corp. (a) 400 2,300
Fischer Imaging Corp. (a) 100 381
Fusion Medical Technologies, 3,500 61,250
Inc. (a)
Genzyme Corp. - Surgical 5,019 63,365
Products
Graham-Field Health Products, 400 88
Inc. (a)
Guardian Technologies 1,400 9,975
International, Inc. (a)
Haemonetics Corp. (a) 1,000 23,813
Heartport, Inc. (a) 6,100 36,600
Henry Schein, Inc. (a) 6,500 121,875
Hologic, Inc. (a) 4,700 32,313
Horizon Medical Products, 600 1,800
Inc. (a)
I-Flow Corp. (a) 4,000 14,500
I-Stat Corp. (a) 100 1,694
ICU Medical, Inc. (a) 100 1,550
Imatron, Inc. (a) 12,700 42,466
Implant Sciences Corp. (a) 300 3,038
INAMED Corp. (a) 3,200 121,200
Integrated Surgial Systems, 3,500 8,969
Inc. (a)
Intermagnetics General Corp. 402 10,301
(a)
Interpore International, Inc. 5,000 67,500
(a)
Invacare Corp. 1,900 46,313
Iridex Corp. (a) 100 1,025
JMAR Industries, Inc. (a) 5,000 99,063
Kensey Nash Corp. (a) 1,300 24,050
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
HEALTH - CONTINUED
MEDICAL EQUIPMENT & SUPPLIES
- - CONTINUED
KeraVision, Inc. (a) 3,600 $ 27,225
Laserscope, Inc. (a) 100 325
LaserSight, Inc. (a) 2,800 26,950
Lifecore Biomedical, Inc. (a) 1,700 18,594
LightPath Technologies, Inc. 1,500 70,500
(a)
LJL Biosystems, Inc. (a) 2,800 105,700
Lunar Corp. (a) 100 1,000
Medical-Design Corp. (a) 2,300 39,675
Mentor Corp. 700 19,425
Merit Medical Systems, Inc. 100 800
(a)
Micro Therapeutics, Inc. (a) 1,700 13,281
Milestone Scientific, Inc. (a) 200 625
MiniMed, Inc. (a) 2,400 239,700
Minntech Corp. 100 900
NCS HealthCare, Inc. (a) 5,800 13,231
Neoprobe Corp. (a) 400 738
Nexell Therapeutics, Inc. (a) 13,000 89,375
NMT Medical, Inc. (a) 100 438
Novametrix Medical Systems, 200 1,213
Inc. (a)
Novoste Corp. (a) 1,800 65,700
Oakley, Inc. (a) 2,300 19,838
Ocular Sciences, Inc. (a) 2,700 40,500
Omnicare, Inc. 4,600 42,263
Optical Sensors, Inc. (a) 100 334
Osteotech, Inc. (a) 2,600 41,763
Owens & Minor, Inc. 1,100 12,100
Palomar Medical Technologies, 185 983
Inc. (a)
Paradigm Medical Industries, 3,600 34,650
Inc. (a)
Patterson Dental Co. (a) 4,150 149,530
Perrigo Co. (a) 13,700 100,609
PharmaNetics, Inc. (a) 100 1,088
Photoelectron Corp. (a) 100 275
PLC Systems, Inc. (a) 600 1,650
Possis Medical, Inc. (a) 4,400 57,200
Premier Laser Systems, Inc. 400 475
Class A (a)
Priority Healthcare Corp. (a) 3,406 163,488
Protocol Systems, Inc. (a) 100 1,138
PSS World Medical, Inc. (a) 4,675 30,095
Q-Medical, Inc. (a) 100 900
Radiance Medical Systems, 100 900
Inc. (a)
Resmed, Inc. (a) 1,100 82,088
Respironics, Inc. (a) 1,092 15,356
Sabratek Corp. (a) 1,200 348
Scott Technologies, Inc. 1,000 19,250
Class A (a)
Sonus Pharmaceuticals, Inc. 700 4,375
(a)
Spacelabs Medical, Inc. (a) 2,500 39,375
Staar Surgical Co. (a) 2,100 25,200
Steris Corp. (a) 2,200 21,313
Stryker Corp. 10,800 631,800
Summit Technology, Inc. (a) 1,581 11,858
Sunrise Medical, Inc. (a) 800 3,450
SHARES VALUE (NOTE 1)
Sunrise Technologies, Inc. (a) 2,600 $ 21,450
Swissray International, Inc. 3,700 20,813
(a)
Sybron International, Inc. (a) 13,200 369,600
Techne Corp. (a) 2,900 248,766
Thermedics, Inc. (a) 1,300 11,538
Thermo Cardiosystems, Inc. (a) 1,300 19,013
Thoratec Laboratories Corp. 200 3,200
(a)
Trex Medical Corp. (a) 1,000 3,125
Uromed Corp. (a) 3,820 26,263
Varian Medical Systems, Inc. 3,200 127,800
Vasomedical, Inc. (a) 18,300 53,184
Ventiv Health, Inc. (a) 3,465 27,720
Vidamed, Inc. (a) 100 456
Vista Medical Technologies, 100 156
Inc. (a)
VISX, Inc. (a) 4,600 77,913
Vital Signs, Inc. 300 6,956
Voxel (a) 100 1
Wesley Jessen Visioncare, 2,900 83,375
Inc. (a)
Zoll Medical Corp. (a) 900 46,800
6,317,983
MEDICAL FACILITIES MANAGEMENT
- - 0.7%
Advance Paradigm, Inc. (a) 3,900 92,259
American Healthcorp, Inc. (a) 100 459
American HomePatient, Inc. (a) 500 313
American Medical Securities 500 3,594
Group, Inc. (a)
AmeriPath, Inc. (a) 700 6,913
Amsurg Corp. Class A (a) 9 56
Apria Healthcare Group, Inc. 1,900 27,075
(a)
ARV Assisted Living, Inc. (a) 100 138
Beverly Enterprises, Inc. (a) 9,700 25,463
Cambridge Heart, Inc. (a) 1,200 6,038
Carematrix Corp. (a) 2,500 4,531
Centennial Healthcare Corp. 500 2,563
(a)
Chronimed, Inc. (a) 100 881
Clintrials Research, Inc. (a) 200 813
Comprehensive Care Corp. (a) 300 135
Covance, Inc. (a) 4,800 68,400
Coventry Health Care, Inc. (a) 1,200 9,825
Cryolife, Inc. (a) 100 1,988
Diagnostic Health Services, 600 120
Inc. (a)
Emeritus Corp. (a) 100 475
Express Scripts, Inc. Class A 5,300 244,131
(a)
Foundation Health Systems, 6,000 49,875
Inc. Class A (a)
Genesis Health Ventures, Inc. 1,200 1,800
(a)
Global Unilabs Clinical 100 0
Trials Ltd.
Hanger Orthopedic Group, Inc. 200 963
(a)
Health Management Associates, 18,200 195,650
Inc. Class A (a)
Health Power, Inc. (a) 400 875
Health Risk Management, Inc. 100 769
(a)
HealthCare Integrated 5,000 30,625
Services, Inc. (a)
HealthGrades.com, Inc. (a) 100 300
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
HEALTH - CONTINUED
MEDICAL FACILITIES MANAGEMENT
- - CONTINUED
Hooper Holmes, Inc. 600 $ 18,450
IMPATH, Inc. (a) 2,400 78,600
Innovative Clinical Solutions 1,100 363
Ltd. (a)
Integrated Health Services, 1,700 221
Inc. (a)
Laboratory Corp. of America 4,100 16,400
Holdings (a)
LCA-Vision, Inc. (a) 5,800 28,819
Lifepoint Hospitals, Inc. (a) 5,100 76,819
Lincare Holdings, Inc. (a) 8,700 203,906
LTC Healthcare, Inc. (a) 20 26
Matria Healthcare, Inc. (a) 3,000 18,375
Maxicare Health Plans, Inc. 600 1,725
(a)
Medical Resources, Inc. (a) 133 50
Medquist, Inc. (a) 5,100 131,325
Mid-Atlantic Medical 1,600 13,100
Services, Inc. (a)
MIM Corp. (a) 7,200 42,300
Monarch Dental Corp. (a) 400 1,025
Neurocrine Biosciences, Inc. 1,400 51,800
(a)
NovaCare, Inc. (a) 1,000 178
Orthodontic Centers of 2,500 43,281
America, Inc. (a)
Orthologic Corp. (a) 10,400 80,600
Oxford Health Plans, Inc. (a) 4,500 69,469
PacifiCare Health Systems, 5,900 268,081
Inc. Class A (a)
Paracelsus Healthcare Corp. 300 75
(a)
Pediatric Services of 100 175
America, Inc. (a)
Pediatrix Medical Group (a) 5,100 40,163
Phycor, Inc. (a) 20,900 24,166
PMR Corp. 300 1,125
Province Healthcare Co. (a) 3,400 68,425
Psychemedics Corp. 300 1,688
Quest Diagnostics, Inc. (a) 1,600 54,900
Quorum Health Group, Inc. (a) 11,600 103,312
Raytel Medical Corp. (a) 100 375
RehabCare Group, Inc. (a) 300 8,063
Renal Care Group, Inc. (a) 7,600 133,475
Res-Care, Inc. (a) 4,550 45,216
Response Oncology, Inc. (a) 200 450
RightCHOICE Managed Care, 200 2,963
Inc. Class A (a)
Safeguard Health Enterprises, 200 175
Inc. (a)
Sierra Health Services, Inc. 6,800 41,650
(a)
Sunrise Assisted Living, Inc. 4,800 60,600
(a)
Syncor International Corp. (a) 2,400 58,800
Total Renal Care Holdings, 4,100 12,300
Inc. (a)
TransWorld Healthcare, Inc. 100 300
(a)
Triad Hospitals, Inc. (a) 5,300 84,800
Trigon Healthcare, Inc. (a) 6,100 194,819
UniHolding Corp. (a) 100 259
United Payors & United 3,950 102,947
Providers, Inc. (a)
United Wisconsin Services, 200 1,163
Inc.
SHARES VALUE (NOTE 1)
Universal Health Services, 2,800 $ 108,850
Inc. Class B (a)
Urocor, Inc. (a) 100 494
Urologix, Inc. (a) 600 5,325
US Oncology, Inc. (a) 13,458 55,514
Vencor, Inc. (a) 2,400 432
VisionAmerica, Inc. (a) 1,800 6,356
3,141,295
TOTAL HEALTH 41,879,966
HOLDING COMPANIES - 0.0%
Leucadia National Corp. 4,400 94,050
Triarc Companies, Inc. Class 775 14,677
A (a)
108,727
INDUSTRIAL MACHINERY &
EQUIPMENT - 2.4%
ELECTRICAL EQUIPMENT - 1.5%
A.O. Smith Corp. Class B 700 12,075
Acme Electric Corp. (a) 100 556
Adaptive Broadband Corp. (a) 1,100 126,534
Adtran, Inc. (a) 4,700 345,744
Advanced Lighting 900 5,850
Technologies, Inc. (a)
Airnet Communications Corp. 2,900 169,650
Allen Telecom, Inc. (a) 900 12,375
American Power Conversion 21,000 712,688
Corp. (a)
American Precision 100 1,900
Industries, Inc. (a)
American Superconductor Corp. 2,400 165,750
(a)
AMETEK, Inc. 1,000 16,938
Amplidyne, Inc. (a) 2,500 20,313
Andersen Group, Inc. (a) 2,200 37,675
Andrea Electronics Corp. (a) 3,700 48,331
Anicom, Inc. (a) 6,900 56,494
Anixter International, Inc. 2,700 50,456
(a)
ANTEC Corp. (a) 2,200 116,463
Avid Technology, Inc. (a) 5,100 89,569
Baldor Electric Co. 1,266 20,493
BMC Industries, Inc. 900 4,950
C-COR.net Corp. (a) 1,800 80,494
California Amplifier, Inc. (a) 1,500 67,688
Communications Systems, Inc. 2,900 52,200
Comtech Telecommunications 1,600 36,000
Corp. (a)
Cymer, Inc. (a) 1,700 93,288
Data Critical Corp. 2,100 82,950
Detection Systems, Inc. (a) 100 1,050
Electric Fuel Corp. (a) 3,900 78,000
Electro Rent Corp. (a) 800 8,700
Electrosource, Inc. (a) 3,500 55,563
Emcee Broadcast Products, 3,000 30,375
Inc. (a)
Energy Conversion Devices, 2,800 62,650
Inc. (a)
Excel Technology, Inc. (a) 2,900 80,838
Faroudja, Inc. (a) 600 5,063
Franklin Electric Co., Inc. 200 13,325
FuelCell Energy, Inc. 1,400 104,650
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
INDUSTRIAL MACHINERY &
EQUIPMENT - CONTINUED
ELECTRICAL EQUIPMENT -
CONTINUED
Genlyte Group, Inc. (a) 400 $ 8,000
Gentner Communications Corp. 1,800 42,188
(a)
Glenayre Technologies, Inc. 4,700 93,413
(a)
Global Technologies Ltd. (a) 1,700 32,300
Globecomm Systems, Inc. (a) 1,700 55,250
Harris Corp. 5,300 168,938
Hubbell, Inc. Class B 4,100 99,681
IEC Electronics Corp. (a) 100 313
iGo Corp. 4,700 42,300
Information Resources 1,500 45,938
Engineering, Inc. (a)
L-3 Communications Holdings, 4,300 183,019
Inc. (a)
Laser Power Corp. (a) 5,500 58,094
Littelfuse, Inc. (a) 3,600 107,550
Loral Space & Communications 19,000 286,188
Ltd. (a)
LSI, Industries, Inc. 100 1,619
MagneTek, Inc. (a) 1,900 16,388
Metretek Technologies, Inc. 2,400 30,000
(a)
Optelecom, Inc. (a) 1,700 33,363
Ortel Corp. (a) 1,000 181,000
Owosso Corp. 100 325
Pinnacle Systems (a) 1,400 70,175
Plug Power, Inc. 3,800 446,263
Powerwave Technologies, Inc. 1,600 255,800
(a)
Rayovac Corp. (a) 2,000 41,500
Rofin Sinar Technologies, 400 5,450
Inc. (a)
Roper Industries, Inc. 1,000 27,250
Satcon Technology Corp. (a) 2,600 85,150
Sensormatic Electronics Corp. 5,000 95,000
(a)
SLI, Inc. 2,150 26,203
Socket Communications, Inc. 2,600 82,875
(a)
SonicWALL, Inc. 2,600 235,300
Spectra Physics Lasers, Inc. 2,500 173,750
(a)
Spectrian Corp. (a) 900 20,700
Spectrum Control, Inc. (a) 3,300 51,356
STM Wireless, Inc. Class A (a) 3,600 39,375
Technitrol, Inc. 500 23,438
Teledyne Technologies, Inc. 5,200 45,175
(a)
Teleflex, Inc. 5,200 146,900
Telular Corp. (a) 2,475 67,444
Transcrypt International, 400 2,500
Inc. (a)
TrueTime, Inc. 3,000 39,000
ViaSat, Inc. (a) 1,100 85,800
Vicor Corp. (a) 4,300 97,825
ViewCast.com, Inc. (a) 6,700 38,106
Wegener Corp. (a) 5,800 41,325
WESCO International, Inc. 5,100 43,031
Zoltek Companies, Inc. (a) 2,700 28,688
6,668,884
INDUSTRIAL MACHINERY &
EQUIPMENT - 0.7%
Ag-Chem Equipment, Inc. (a) 100 944
SHARES VALUE (NOTE 1)
AGCO Corp. 7,400 $ 81,400
Alamo Group, Inc. 100 1,200
Allied Products Corp. 300 994
Applied Industrial 700 12,688
Technologies, Inc.
Applied Power, Inc. Class A 6,455 156,130
Astec Industries, Inc. (a) 3,900 103,838
Asyst Technologies, Inc. (a) 1,500 68,813
Autologic Information 100 400
International, Inc. (a)
Baldwin Technology Co., Inc. 100 188
Class A (a)
BioSphere Medical, Inc. (a) 2,400 100,800
BOLDER Technologies Corp. (a) 3,300 33,206
Brooks Automation, Inc. (a) 1,100 79,475
Brown & Sharpe Manufacturing 100 225
Co. Class A (a)
Cascade Corp. 100 844
Chart Industries, Inc. 150 609
CMI Corp. Class A 200 1,200
Columbus McKinnon Corp. 500 7,500
Commercial Intertech Corp. 4,000 72,000
CTB International Corp. (a) 100 700
CUNO, Inc. (a) 800 19,500
CVC, Inc. 2,300 77,625
Cyclopss Corp. (a) 400 288
Detroit Diesel Corp. 500 8,375
Donaldson Co., Inc. 1,300 29,575
DT Industries, Inc. 3,500 45,063
Eco Soil Systems, Inc. (a) 500 2,000
EMCORE Corp. (a) 1,700 221,000
ESCO Electronics Corp. (a) 100 1,500
Exide Corp. 800 8,100
Fansteel, Inc. (a) 100 338
Farr Co. (a) 150 1,519
Fedders Corp. 1,200 6,300
Flow International Corp. (a) 800 9,450
FSI International, Inc. (a) 4,803 93,959
Gardner Denver Machinery, 750 14,250
Inc. (a)
Gasonics International Corp. 2,700 88,594
(a)
Gehl Co. (a) 100 1,813
Gencor Industries, Inc. 100 631
Gorman-Rupp Co. 100 1,538
Graco, Inc. 650 19,622
Greenbrier Companies, Inc. 100 825
Hardinge, Inc. 250 2,578
Harnischfeger Industries, 6,400 4,800
Inc.
Hirsch International Corp. 600 750
Class A (a)
Hughes Supply, Inc. 700 12,513
Ibis Technology Corp. (a) 1,100 84,700
IDEX Corp. 2,100 51,975
Industrial Distribution 100 300
Group, Inc. (a)
Ionics, Inc. (a) 500 14,250
JLG Industries, Inc. 4,200 37,800
JLK Direct Distrution, Inc. 300 3,281
Class A (a)
Kaman Corp. Class A 800 7,950
SHARES VALUE (NOTE 1)
Earth Sciences, Inc. (a) 800 $ 216
Flanders Corp. (a) 200 650
GTS Duratek, Inc. (a) 100 863
Insituform Technologies, Inc. 2,200 62,150
Class A (a)
IT Group, Inc. (a) 3,716 28,335
Kaiser Group International, 400 225
Inc. (a)
Met-Pro Corp. 100 969
Ogden Corp. 4,600 52,325
Recycling Industries, Inc. (a) 200 8
Republic Services, Inc. Class 11,700 127,238
A (a)
Safety-Kleen Corp. (a) 12,550 61,181
Stericycle, Inc. (a) 4,200 77,569
Tetra Tech, Inc. (a) 6,907 173,107
TETRA Technologies, Inc. (a) 400 3,600
U.S. Liquids, Inc. (a) 500 3,125
U.S. Plastic Lumber Co. (a) 6,200 49,600
Waste Connections, Inc. (a) 4,100 43,563
Waste Industries, Inc. (a) 800 8,450
742,527
TOTAL INDUSTRIAL MACHINERY & 10,756,652
EQUIPMENT
MEDIA & LEISURE - 6.8%
BROADCASTING - 4.3%
5th Avenue Channel Corp. (a) 500 3,750
ACT Teleconferencing, Inc. (a) 2,700 40,500
Adelphia Communications Corp. 10,171 558,769
Class A (a)
American Tower Corp. Class A 12,520 616,610
(a)
AMFM, Inc. (a) 18,540 1,137,893
Ascent Entertainment Group, 3,900 59,231
Inc. (a)
BHC Communications, Inc. 1,400 223,300
Class A
Cablevision Systems Corp. 13,738 881,808
Class A (a)
CAIS Internet, Inc. 1,700 65,025
Charter Communications, Inc. 15,200 266,950
Chris-Craft Industries, Inc. 4,842 318,664
Citadel Communications Corp. 4,600 155,825
(a)
Classic Communications, Inc. 2,600 55,900
Class A
Cox Communications, Inc. 58,331 2,650,415
Class A (a)
Cox Radio, Inc. Class A (a) 800 64,000
CTC Communications Group, 2,200 165,000
Inc. (a)
Cumulus Media, Inc. (a) 2,000 59,750
Digital Generation Systems, 5,100 40,641
Inc. (a)
E.W. Scripps Co. Class A 9,100 392,438
EchoStar Communications Corp. 9,900 1,128,600
Class A (a)
Emmis Communications Corp. 5,400 197,100
Class A (a)
Entercom Communications Corp. 1,900 79,919
Gaylord Entertainment Co. 1,000 27,563
Granite Broadcasting Corp. (a) 3,800 30,400
Hearst-Argyle Television, 2,383 49,596
Inc. (a)
HighwayMaster Communications, 5,800 48,938
Inc. (a)
Hispanic Broadcasting Corp. 6,200 579,313
(a)
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
MEDIA & LEISURE - CONTINUED
BROADCASTING - CONTINUED
Impsat Fiber Networks, Inc. 9,070 $ 332,756
Infinity Broadcasting Corp. 33,893 1,082,458
Class A (a)
Insight Communications, Inc. 5,800 121,075
Jones Intercable, Inc. Class 5,300 310,381
A (a)
Liberty Digital, Inc. (a) 1,800 98,775
LodgeNet Entertainment Corp. 2,900 76,488
(a)
Mediacom Communications Corp. 6,050 103,228
Metro One Telecommunications, 2,500 37,500
Inc. (a)
Metromedia International 2,835 19,491
Group, Inc. (a)
Netro Corp. 3,100 132,138
New Frontier Media, Inc. (a) 4,200 34,913
NorthPoint Communication 13,400 304,013
Holdings, Inc.
NTL, Inc. (a) 13,843 1,266,635
NTN Communications, Inc. (a) 5,300 20,869
Nucentrix Broadband Netwks, 1,300 37,700
Inc. (a)
PanAmSat Corp. (a) 3,600 175,725
Paxson Communications Corp. 4,600 47,150
(a)
Pegasus Communications Corp. 1,900 235,600
(a)
Radio One, Inc. 2,300 151,225
Radio Unica Communications 1,600 22,500
Corp.
RnetHealth.com, Inc. (a) 8,400 26,250
Sinclair Broadcast Group, 8,900 84,550
Inc. Class A (a)
Sirius Satellite Radio, Inc. 1,800 109,800
(a)
Spanish Broadcasting System, 5,200 99,450
Inc. Class A
Spectrasite Holdings, Inc. (a) 4,200 105,263
SpeedUs.com (a) 3,800 78,138
TCI Satellite Entertainment,
Inc.:
Class A (a) 4,700 59,338
Class B (a) 100 1,300
Telscape International, Inc. 3,100 44,175
(a)
TiVo, Inc. 2,400 80,550
TV Guide, Inc. (a) 16,600 782,275
United Television, Inc. 300 39,825
UnitedGlobalCom, Inc. (a) 7,000 731,500
Univision Communications, 10,700 1,090,063
Inc. Class A (a)
US Wireless Corp. (a) 2,400 73,500
USA Networks, Inc. (a) 29,726 666,977
ValueVision International, 4,600 230,000
Inc. (a)
Westwood One, Inc. (a) 6,400 427,600
Wireless Facilities, Inc. 3,200 396,800
Xm Satellite Radio Holdings, 3,900 155,756
Inc. Class A
Young Broadcasting, Inc. 2,100 50,663
Class A (a)
YouthStream Media Networks, 1,300 24,863
Inc. (a)
19,867,154
ENTERTAINMENT - 0.9%
Alliance Gaming Corp. (a) 200 569
AMC Entertainment, Inc. (a) 1,400 10,325
SHARES VALUE (NOTE 1)
American Bingo & Gaming Corp. 500 $ 500
(a)
American Champion 4,600 18,688
Entertainment, Inc. (a)
American Classic Voyages Co. 1,200 28,500
(a)
American Coin Merchandising, 300 844
Inc. (a)
American Wagering, Inc. (a) 4,100 57,400
Ameristar Casinos, Inc. (a) 100 394
AMF Bowling, Inc. (a) 1,900 6,175
Bally Total Fitness Holding 2,700 72,563
Corp. (a)
Brilliant Digital 300 2,100
Entertainment, Inc. (a)
Carmike Cinemas, Inc. Class A 2,200 17,188
(a)
Cedar Fair LP (depository 600 11,063
unit)
Family Golf Centers, Inc. (a) 1,350 1,688
Fox Entertainment Group, Inc. 20,800 547,300
Class A
Hollywood Entertainment Corp. 4,100 41,769
(a)
Image Entertainment, Inc. (a) 800 3,950
International Speedway Corp. 6,310 279,218
Class A
Isle Capri Casinos, Inc. (a) 6,800 73,950
J2 Communications (a) 600 5,775
Kushner Locke Co. (a) 5,900 26,734
Lakes Gaming, Inc. (a) 350 2,756
Laser-Pacific Media Corp. (a) 1,800 21,600
Mandalay Resort Group (a) 13,200 185,625
Metro-Goldwyn-Mayer, Inc. (a) 16,000 382,000
MGM Grand, Inc. 27,006 536,744
Multimedia Games, Inc. (a) 300 881
NetCurrents, Inc. (a) 6,500 62,359
On Command Corp. (a) 1,100 18,700
Park Place Entertainment 37,300 421,956
Corp. (a)
Pinnacle Entertainment, Inc. 3,600 62,100
(a)
Pixar (a) 6,300 220,500
Platinum Entertainment, Inc. 500 1,625
(a)
Premier Parks, Inc. (a) 10,200 206,550
Quintel Communications, Inc. 3,100 18,600
(a)
Rentrak Corp. (a) 400 2,250
Scientific Games Holdings 700 11,638
Corp. (a)
SFX Entertainment, Inc. Class 4,150 159,775
A (a)
Speedway Motorsports, Inc. (a) 3,800 116,375
The Sports Club Co., Inc. (a) 100 406
Ticketmaster Online 1,500 52,336
CitySearch, Inc. (a)
Tickets.com, Inc. 6,400 87,200
Todd-AO Corp. Class A 1,400 42,700
Trimark Holdings, Inc. (a) 100 600
United Leisure Corp. (a) 3,600 34,875
Vail Resorts, Inc. (a) 1,100 17,600
VDI MultiMedia (a) 2,600 34,613
Venture Catalyst, Inc. (a) 3,100 39,525
World Wrestling Federation 4,500 58,500
Entertainment, Inc. Class A
Zomax, Inc. (a) 2,000 97,875
4,104,957
LEISURE DURABLES & TOYS - 0.1%
Adams Golf, Inc. (a) 900 1,631
Aldila, Inc. (a) 900 1,519
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
MEDIA & LEISURE - CONTINUED
LEISURE DURABLES & TOYS -
CONTINUED
Arctic Cat, Inc. 900 $ 9,113
Callaway Golf Co. 4,900 58,800
Champion Enterprises, Inc. (a) 1,500 9,469
Coachmen Industries, Inc. 600 7,200
Coastcast Corp. (a) 300 4,294
Equity Marketing, Inc. (a) 2,300 23,288
Excelsior Henderson 100 72
Motorcycle Manufacturing Co.
(a)
Huffy Corp. 400 2,350
JAKKS Pacific, Inc. (a) 4,400 72,600
K2, Inc. 500 3,531
L.L. Knickerbocker Co. (a) 200 52
Marvel Enterprises, Inc. (a) 1,000 6,188
National R.V. Holdings, Inc. 1,500 19,500
(a)
Play By Play Toys & 3,400 8,075
Novelties, Inc. (a)
Polaris Industries, Inc. 2,100 64,313
PTI Holding, Inc. (a) 100 131
Rawlings Sporting Goods, Inc. 5,800 34,800
(a)
RockShox, Inc. (a) 100 106
Russ Berrie & Co., Inc. 700 12,863
Silicon Gaming, Inc. (a) 800 300
Steinway Musical Instruments, 200 3,713
Inc. (a)
T-HQ, Inc. (a) 3,800 76,713
Thor Industries, Inc. 350 8,947
Toymax International, Inc. (a) 3,100 11,625
West Marine, Inc. (a) 500 4,313
Winnebago Industries, Inc. 2,200 47,025
492,531
LODGING & GAMING - 0.3%
Anchor Gaming (a) 2,500 104,063
Argosy Gaming Co. (a) 4,600 52,038
Aztar Corp. (a) 1,300 12,350
Boca Resorts, Inc. Class A (a) 500 4,500
Boyd Gaming Corp. (a) 6,300 32,681
Buckhead America Corp. (a) 100 538
Championship Auto Racing 1,400 28,000
Teams, Inc. (a)
Choice Hotels International, 2,100 34,913
Inc. (a)
Churchill Downs, Inc. 1,600 35,500
Crescent Operating, Inc. (a) 100 225
Dover Downs Entertainment, 1,300 18,444
Inc.
Extended Stay America, Inc. 3,100 20,150
(a)
Gtech Holdings Corp. (a) 3,100 62,000
Hotelworks.com, Inc. (a) 100 325
International Game Technology 11,841 210,918
Interstate Hotels Corp. (a) 170 531
Jackpot Enterprises, Inc. (a) 4,800 57,300
John Q. Hammons Hotels, Inc. 100 475
Class A (a)
Lodgian, Inc. (a) 1,000 4,000
Marcus Corp. 950 9,916
SHARES VALUE (NOTE 1)
Penn National Gaming, Inc. (a) 200 $ 1,494
Players International, Inc. 1,200 9,863
(a)
Prime Hospitality Corp. (a) 1,660 14,110
ShoLodge, Inc. (a) 100 388
Starwood Hotels & Resorts 22,580 506,639
Worldwide, Inc. unit
Station Casinos, Inc. (a) 5,800 113,825
Suburban Lodges of America, 4,200 23,100
Inc. (a)
Sunburst Hospitality Corp. (a) 300 1,463
Sunterra Corp. (a) 2,400 6,300
Trump Hotels & Casino 2,900 9,063
Resorts, Inc. (a)
U.S. Franchise Systems, Inc. 3,700 19,194
Class A (a)
WMS Industries, Inc. (a) 1,800 20,475
1,414,781
PUBLISHING - 0.6%
A.H. Belo Corp. Class A 15,800 203,425
Applied Graphics 760 3,230
Technologies, Inc. (a)
Banta Corp. 1,000 18,250
Central Newspapers, Inc. 2,300 65,694
Class A
Franklin Covey Co. (a) 900 7,369
Gibson Greetings, Inc. (a) 2,700 21,769
Harte Hanks Communications, 3,400 74,163
Inc.
Hollinger International, Inc. 7,800 94,088
Class A
Houghton Mifflin Co. 4,800 191,100
IDG Books Worldwide, Inc. (a) 700 9,625
Individual Investor Group, 900 3,713
Inc. (a)
John Wiley & Sons, Inc. Class 2,000 28,500
A
Journal Register Co. (a) 1,000 13,750
Lee Enterprises, Inc. 1,400 29,138
Martha Stewart Living 2,400 61,650
Omnimedia, Inc. Class A
Media General, Inc. Class A 3,200 165,400
Nelson Thomas, Inc. 200 1,600
Pacific Chemical, Inc. (a) 100 0
Penton Media, Inc. 1,700 44,625
Playboy Enterprises, Inc. 1,200 26,475
Class B (a)
PRIMEDIA, Inc. (a) 9,500 176,344
Pulitzer, Inc. 1,000 38,813
Reader's Digest Association, 13,200 453,750
Inc. Class A (non-vtg.)
Scholastic Corp. (a) 3,000 155,438
The McClatchy Co. Class A 2,300 79,494
Topps Co., Inc. (a) 10,500 78,750
Washington Post Co. Class B 1,074 523,844
Wave Technologies 5,200 39,000
International, Inc. (a)
Ziff-Davis, Inc. - ZD (a) 6,600 125,400
2,734,397
RESTAURANTS - 0.6%
Applebee's International, 5,200 146,412
Inc.
ARK Restaurants Corp. (a) 100 744
Avado Brands, Inc. 5,700 24,759
Benihana, Inc. Class A (a) 100 1,463
Big Buck Brew & Steakhouse, 100 200
Inc. (a)
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
MEDIA & LEISURE - CONTINUED
RESTAURANTS - CONTINUED
Bob Evans Farms, Inc. 7,000 $ 94,938
Boston Chicken, Inc. (a) 1,100 121
Brinker International, Inc. 9,700 210,975
(a)
Buca, Inc. 1,700 24,013
Buffets, Inc. (a) 5,400 46,913
CBRL Group, Inc. 11,300 104,525
CEC Entertainment, Inc. (a) 1,900 43,225
Champps Entertainment, Inc. 100 413
(a)
Chart House Enterprises, Inc. 100 563
(a)
Cheesecake Factory, Inc. (a) 4,100 121,975
CKE Restaurants, Inc. 8,643 55,099
Consolidated Products, Inc. 969 9,751
(a)
Cooker Restaurant Corp. 60 165
Dave & Busters, Inc. (a) 900 5,794
Einstein/Noah Bagel Corp. (a) 500 266
Elxsi Corp. (a) 100 1,400
Fine Host Corp. (a) 700 210
Friendly Ice Cream Corp. (a) 900 3,206
Frisch's Restaurants, Inc. 100 975
Garden Fresh Restaurant Corp. 100 1,138
(a)
IHOP Corp. (a) 600 9,263
Il Fornaio America Corp. (a) 100 975
J. Alexanders Corp. (a) 100 338
Jack in the Box, Inc. (a) 4,400 88,275
Landry's Seafood Restaurants, 4,200 29,663
Inc. (a)
Lone Star Steakhouse & 9,000 79,875
Saloon, Inc. (a)
Luby's, Inc. 4,500 46,969
Max & Ermas Restaurants, Inc. 100 863
(a)
Morrison Management 100 2,238
Specialists, Inc.
Morton's Restaurant Group, 100 1,738
Inc. (a)
New World Coffee-Manhattan 150 488
Bagel, Inc. (a)
NPC International, Inc. (a) 700 5,775
O'Charleys, Inc. (a) 150 1,688
Outback Steakhouse, Inc. (a) 10,700 279,538
P.F. Chang's China Bistro, 3,100 93,194
Inc. (a)
Panera Bread Co. (a) 100 688
Papa John's International, 6,000 144,000
Inc. (a)
Piccadilly Cafeterias, Inc. 100 300
PJ America, Inc. (a) 2,400 26,100
Planet Hollywood 1,800 126
International, Inc. Class A
(a)
PopMail.com, Inc. (a) 6,100 30,119
Prandium, Inc. (a) 2,800 938
Rainforest Cafe, Inc. (a) 9,050 36,200
Rare Hospitality 1,300 24,538
International, Inc. (a)
Rubio's Restaurants, Inc. 4,200 29,334
Ruby Tuesday, Inc. 1,200 20,325
Ryan's Family Steak Houses, 4,200 40,163
Inc. (a)
Santa Barbara Restaurant 500 719
Group, Inc. (a)
Schlotzskys, Inc. (a) 300 2,213
SHARES VALUE (NOTE 1)
Shells Seafood Restaurants, 100 $ 188
Inc. (a)
Sodexho Marriott Services, 3,500 38,938
Inc.
Sonic Corp. (a) 3,850 93,363
Star Buffet, Inc. (a) 100 331
Starbucks Corp. (a) 15,200 533,900
Taco Cabana, Inc. Class A (a) 3,700 22,200
Total Entertainment 100 175
Restaurant Corp. (a)
Uno Restaurant Corp. (a) 110 1,114
VICORP Restaurants, Inc. (a) 91 1,763
2,587,858
TOTAL MEDIA & LEISURE 31,201,678
NONDURABLES - 1.2%
AGRICULTURE - 0.0%
Andersons, Inc. 100 763
Delta & Pine Land Co. 2,266 40,646
Fresh America Corp. (a) 500 2,031
Northland Cranberries, Inc. 700 4,572
Class A
Seminis, Inc. 9,300 59,869
Tejon Ranch Co. 400 10,050
117,931
BEVERAGES - 0.2%
Beringer Wine Estates 4,200 151,463
Holdings, Inc. Class B (a)
Boston Beer Co., Inc. Class A 500 3,656
(a)
Canandaigua Brands, Inc. 2,700 132,300
Class A (a)
Celestial Seasonings, Inc. (a) 2,100 54,600
Coca-Cola Bottling Co. 200 10,094
Consolidated
Golden State Vintners, Inc. 500 2,234
Class B (a)
M&F Worldwide Corp. (a) 300 1,463
National Beverage Corp. (a) 200 1,475
Pepsi Bottling Group, Inc. 15,200 254,600
PepsiAmericas, Inc. (a) 100 325
Robert Mondavi Corp. Class A 1,700 62,263
(a)
Whitman Corp. 9,200 115,000
789,473
FOODS - 0.7%
Agribrands International, 900 32,906
Inc. (a)
American Italian Pasta Co. 700 15,969
Class A (a)
Aurora Foods, Inc. (a) 2,500 7,031
Ben & Jerry's Homemade, Inc. 1,800 47,250
Class A (a)
Bridgford Foods Corp. 110 997
Chiquita Brands 3,800 16,863
International, Inc.
Corn Products International, 6,400 150,800
Inc.
Darling International, Inc. 100 175
(a)
Dean Foods Co. 5,900 160,038
Del Monte Foods Co. 3,300 41,250
Dole Food Co., Inc. 8,500 130,688
Dreyer's Grand Ice Cream, 1,200 21,825
Inc.
Earthgrains Co. 2,600 39,000
Flowers Industries, Inc. 6,400 82,800
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
NONDURABLES - CONTINUED
FOODS - CONTINUED
Fresh Foods, Inc. (a) 38 $ 128
Gardenburger, Inc. (a) 700 3,938
Golden Enterprises Ltd. 100 288
Gum Tech International, Inc. 2,600 57,363
(a)
Horizon Organic Holding Corp. 700 6,956
(a)
Hormel Foods Corp. 18,000 300,375
IBP, Inc. 14,600 182,500
Imperial Sugar Co. 262 704
International Home Foods, 11,100 188,006
Inc. (a)
International Multifoods 700 7,656
Corp.
Interstate Bakeries Corp. 10,000 114,375
J&J Snack Food Corp. (a) 100 1,844
J.M. Smucker Co. Class A 500 8,563
Keebler Foods Co. (a) 10,500 266,438
Lancaster Colony Corp. 6,950 206,763
Lance, Inc. 8,500 87,125
McCormick & Co., Inc. 4,100 112,238
(non-vtg.)
Michael Foods, Inc. 4,900 107,188
Midwest Grain Products, Inc. 100 750
(a)
Nabisco Holdings Corp. Class A 4,300 125,775
Opta Food Ingredients, Inc. 100 281
(a)
Pilgrims Pride Corp. 900 7,200
Ralcorp Holdings, Inc. 1,650 24,647
Riviana Foods, Inc. 400 6,650
Sanderson Farms, Inc. 200 1,388
Smithfield Foods, Inc. (a) 6,800 105,400
Suiza Foods Corp. (a) 4,647 181,814
Tasty Baking Co. 100 1,038
TCBY Enterprises, Inc. 700 3,850
Thorn Apple Valley, Inc. (a) 400 24
Tootsie Roll Industries, Inc. 2,127 63,145
Tyson Foods, Inc. 17,620 181,706
Universal Foods Corp. 3,700 66,831
Vlasic Foods International, 1,700 4,781
Inc. (a)
WLR Foods, Inc. (a) 100 600
3,175,920
HOUSEHOLD PRODUCTS - 0.2%
Aptargroup, Inc. 2,800 67,025
BioShield Technologies, Inc. 900 20,700
(a)
Block Drug Co., Inc. Class A 733 24,097
Brady Corp. Class A 800 21,700
Church & Dwight Co., Inc. 3,100 52,894
Dial Corp. 8,600 123,625
Enamelon, Inc. (a) 800 1,300
Estee Lauder Companies, Inc. 13,800 598,575
French Fragrances, Inc. (a) 500 4,188
Helen of Troy Corp. (a) 6,500 45,500
Mikohn Gaming Corp. (a) 100 813
Nu Skin Enterprises, Inc. 1,000 8,938
Class A (a)
Paragon Trade Brands, Inc. (a) 100 50
Playtex Products, Inc. (a) 1,900 26,006
SHARES VALUE (NOTE 1)
Racing Champions Corp. (a) 2,600 $ 8,450
Revlon, Inc. Class A (a) 2,200 17,188
Tristar Corp. (a) 100 600
Ultralife Batteries, Inc. (a) 4,100 53,556
USA Detergents, Inc. (a) 2,800 6,475
Windmere-Durable Holdings, 700 10,500
Inc. (a)
York Group, Inc. 500 2,188
1,094,368
TOBACCO - 0.1%
DIMON, Inc. 1,500 3,656
General Cigar Holdings, Inc. 3,500 51,844
Class A (a)
RJ Reynolds Tobacco Holdings, 14,300 257,400
Inc.
Schweitzer-Mauduit 1,000 13,625
International, Inc.
Standard Commercial Corp. 100 375
Universal Corp. 4,800 78,600
405,500
TOTAL NONDURABLES 5,583,192
PRECIOUS METALS - 0.1%
Battle Mountain Gold Co. (a) 29,200 62,050
Coeur d'Alene Mines Corp. (a) 10,500 35,438
Echo Bay Mines Ltd. (a) 6,800 9,147
Meridian Gold, Inc. (a) 7,100 43,346
Stillwater Mining Co. (a) 5,250 194,906
344,887
RETAIL & WHOLESALE - 2.3%
APPAREL STORES - 0.4%
Abercrombie & Fitch Co. Class 6,800 99,875
A (a)
American Eagle Outfitters, 2,650 67,575
Inc. (a)
AnnTaylor Stores Corp. (a) 1,100 20,969
Big Dog Holdings, Inc. 100 425
Bon-Ton Stores, Inc. (a) 3,600 13,275
Braun's Fashions Corp. (a) 1,200 18,000
Burlington Coat Factory 1,500 17,156
Warehouse Corp.
Cato Corp. Class A 900 9,000
Charming Shoppes, Inc. (a) 14,800 88,800
Chicos Fas, Inc. (a) 2,200 27,775
Claire's Stores, Inc. 2,900 50,569
Deb Shops, Inc. 1,300 20,150
Dress Barn, Inc. (a) 900 13,050
Ellet Brothers, Inc. 100 719
Factory 2-U Stores, Inc. (a) 900 21,825
Fashionmall.com, Inc. 2,900 10,875
Footstar, Inc. (a) 800 19,750
Genesco, Inc. (a) 700 7,175
Global Imaging Systems, Inc. 300 2,250
(a)
Goody's Family Clothing (a) 1,100 7,700
Guess, Inc. (a) 1,900 40,494
Gymboree Corp. (a) 3,000 14,063
Hibbett Sporting Goods, Inc. 1,600 25,500
(a)
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
RETAIL & WHOLESALE - CONTINUED
APPAREL STORES - CONTINUED
iTurf, Inc. 2,900 $ 31,900
J. Baker, Inc. 600 3,375
Just for Feet, Inc. (a) 4,100 384
Kenneth Cole Productions, 2,300 117,300
Inc. Class A (a)
Paul Harris Stores, Inc. (a) 200 863
Payless ShoeSource, Inc. (a) 4,200 165,900
Right Start, Inc. (a) 1,400 20,650
Ross Stores, Inc. 13,300 192,850
Shoe Carnival, Inc. (a) 100 863
Stage Stores, Inc. (a) 800 1,000
Syms Corp. (a) 300 1,219
Talbots, Inc. 4,800 173,700
The Buckle, Inc. (a) 650 9,506
The Childrens Place Retail 800 9,450
Stores, Inc. (a)
The Men's Wearhouse, Inc. (a) 3,965 92,062
Too, Inc. (a) 2,600 62,400
Track n Trail, Inc. (a) 100 106
United Retail Group, Inc. (a) 500 6,281
United Stationers, Inc. (a) 5,800 155,875
Urban Outfitters, Inc. (a) 1,400 16,188
Venator Group, Inc. (a) 4,700 26,731
Wet Seal, Inc. Class A (a) 2,500 25,781
Wilsons Leather Experts, Inc. 100 2,550
(a)
1,713,904
APPLIANCE STORES - 0.0%
Cellstar Corp. (a) 1,700 16,309
DRUG STORES - 0.0%
Drug Emporium, Inc. (a) 5,900 26,181
Duane Reade, Inc. (a) 3,700 88,569
E Com Ventures, Inc. (a) 800 5,375
120,125
GENERAL MERCHANDISE STORES -
0.4%
7-Eleven, Inc. (a) 19,300 50,059
99 Cents Only Stores (a) 3,574 89,573
Ames Department Stores, Inc. 2,900 40,963
(a)
BJ's Wholesale Club, Inc. (a) 9,600 297,600
Bradlees, Inc. (a) 3,100 22,475
Cost Plus, Inc. (a) 4,475 83,067
Dollar Tree Stores, Inc. (a) 8,300 322,144
Elder Beerman Stores Corp. (a) 2,700 17,213
EZCORP, Inc. Class A 100 400
Family Dollar Stores, Inc. 14,100 244,988
Freds, Inc. Class A 2,325 34,584
Gottschalks, Inc. (a) 300 1,875
Hot Topic, Inc. (a) 2,900 49,300
Jo-Ann Stores, Inc. Class A 600 5,400
(a)
Lechters, Inc. (a) 700 1,094
Mazel Stores, Inc. (a) 100 963
Michaels Stores, Inc. (a) 4,900 132,913
SHARES VALUE (NOTE 1)
Neiman Marcus Group, Inc. (a) 4,500 $ 95,906
Party City Corp. (a) 1,450 3,591
Phar-Mor, Inc. (a) 100 313
Saks, Inc. (a) 19,913 229,000
Service Merchandise, Inc. (a) 2,700 432
Shopko Stores, Inc. (a) 3,800 63,175
Stein Mart, Inc. (a) 4,300 18,544
Tuesday Morning Corp. (a) 1,200 15,600
Value City Department Stores, 700 9,231
Inc. (a)
1,830,403
GROCERY STORES - 0.4%
Central Garden & Pet Co. (a) 3,600 34,650
Delhaize America, Inc. 19,933 333,878
Fleming Companies, Inc. 4,200 64,838
Grand Union Co. (a) 7,700 38,500
Hain Food Group, Inc. (a) 2,500 91,875
Hannaford Brothers Co. 5,600 399,000
Hawaiian Natural Water Co., 100 67
Inc. (a)
Ingles Markets, Inc. Class A 600 6,563
Marsh Supermarkets, Inc. 100 1,063
Class B
Nash-Finch Co. 400 3,150
Performance Food Group Co. (a) 1,300 30,875
Pizza Inn, Inc. 100 350
Ruddick Corp. 4,100 55,094
Schultz Sav-O Stores, Inc. 100 1,150
Seaway Food Town, Inc. 2,500 52,500
Smart & Final, Inc. 700 4,025
Synergy Brands, Inc. (a) 4,900 15,925
U.S. Foodservice (a) 16,710 295,558
United Natural Foods, Inc. (a) 3,600 37,125
VitaminShoppe.com, Inc. 3,400 21,038
Weis Markets, Inc. 1,500 63,469
Whole Foods Market, Inc. (a) 4,200 159,469
Wild Oats Markets, Inc. (a) 4,975 93,281
1,803,443
RETAIL & WHOLESALE,
MISCELLANEOUS - 1.1%
1-800 CONTACTS, Inc. (a) 300 8,438
1-800-FLOWERS.COM, Inc. Class 5,000 45,938
A
800-JR Cigar, Inc. (a) 200 1,875
AC Moore Arts & Crafts, Inc. 100 550
(a)
Action Performance Companies, 5,800 52,563
Inc. (a)
AgriBioTech, Inc. (a) 1,400 295
Alloy Online, Inc. 2,800 54,600
Ashford.com, Inc. 2,100 16,013
Barnes & Noble, Inc. (a) 3,800 65,550
Beyond.com Corp. (a) 1,000 5,219
Blair Corp. 200 3,475
Blue Rhino Corp. (a) 3,000 39,375
Boise Cascade Office Products 2,100 31,238
Corp. (a)
Books-A-Million, Inc. (a) 2,700 18,984
Borders Group, Inc. (a) 4,400 54,175
Brookstone, Inc. (a) 700 11,200
Building Material Holding 400 4,013
Corp. (a)
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
RETAIL & WHOLESALE - CONTINUED
RETAIL & WHOLESALE,
MISCELLANEOUS - CONTINUED
Cameron Ashley Building 100 $ 1,594
Products, Inc. (a)
Cannondale Corp. (a) 300 2,288
CDnow, Inc. (a) 913 7,304
Chemdex Corp. 2,800 629,650
Coldwater Creek, Inc. (a) 1,100 19,938
Cole National Corp. Class A 500 3,156
Creative Computers, Inc. (a) 3,000 35,250
Cyberian Outpost, Inc. (a) 2,100 18,506
CyberShop International, Inc. 3,500 13,781
(a)
Daisytek International Corp. 3,000 68,813
(a)
Damark International, Inc. 1,600 77,600
Class A (a)
dELiA*s, Inc. (a) 3,200 20,400
Drugstore.com, Inc. 2,400 45,600
E-Stamp Corp. 1,300 12,431
E4L, Inc. (a) 300 675
Egghead.com, Inc. (a) 1,565 14,378
Elcom International, Inc. (a) 2,100 49,219
Electronics Boutique Holding 3,200 46,800
Corp. (a)
Enesco Group, Inc. 500 3,625
Envision Development Corp. 2,400 119,850
eToys, Inc. 8,600 120,938
Fatbrain.com, Inc. (a) 600 10,650
Finish Line, Inc. Class A (a) 5,300 31,800
Finlay Enterprises, Inc. (a) 700 7,000
Friedmans, Inc. Class A 3,200 18,600
FTD.com, Inc. Class A 400 1,550
Gadzooks, Inc. (a) 3,100 49,406
Garden.com, Inc. 3,600 27,000
Genesis Direct, Inc. (a) 1,700 26
GenesisIntermedia.com, Inc. 2,400 54,750
Gerald Stevens, Inc. (a) 2,700 17,213
Good Guys, Inc. (a) 4,600 26,450
Guitar Center, Inc. (a) 2,500 23,125
Hancock Fabrics, Inc. 700 1,969
Handleman Co. (a) 1,000 10,375
Hollywood.com, Inc. (a) 1,200 18,600
HomeBase, Inc. (a) 1,200 3,075
ImaginOn, Inc. (a) 5,900 17,884
InterTAN, Inc. (a) 1,950 17,428
Intimate Brands, Inc. Class A 22,030 720,106
J. Jill Group, Inc. (a) 2,700 9,450
K-Tel International, Inc. (a) 3,900 21,450
Land's End, Inc. (a) 1,700 56,419
Lillian Vernon Corp. 300 3,075
Little Switzerland, Inc. (a) 100 69
MediaBay, Inc. (a) 500 5,375
Metal Management, Inc. (a) 9,800 20,825
MotherNature.com, Inc. 6,400 34,800
Multiple Zones International, 3,500 22,750
Inc. (a)
Musicland Stores Corp. (a) 1,100 7,494
SHARES VALUE (NOTE 1)
National Record Mart, Inc. (a) 600 $ 1,838
Natural Wonders, Inc. (a) 100 144
Navarre Corp. (a) 3,500 18,266
Newpark Resources, Inc. (a) 9,900 77,344
Officemax, Inc. (a) 12,600 88,988
PC Connection, Inc. 800 21,050
PEAPOD, Inc. (a) 4,400 36,575
PETCO Animal Supplies, Inc. 5,300 56,975
(a)
Pets.com, Inc. 2,620 18,340
PETsMART, Inc. (a) 6,700 22,194
Pier 1 Imports, Inc. 3,450 30,188
PlanetRx.com, Inc. 2,200 25,575
Rex Stores Corp. (a) 2,900 49,844
RoweCom, Inc. 600 15,075
School Specialty, Inc. (a) 4,201 72,467
SCP Pool Corp. (a) 1,450 35,978
Sharper Image Corp. (a) 1,300 11,700
Shop At Home, Inc. (a) 4,700 51,700
ShopNow.com, Inc. 4,000 56,000
SkyMall, Inc. (a) 2,600 20,963
Spiegel, Inc. Class A (a) 17,600 126,500
Sport Supply Group, Inc. (a) 100 825
Stamps.com, Inc. 2,600 73,613
Sterling Vision, Inc. (a) 4,000 47,875
Streamline.com, Inc. 3,500 26,906
Sunglass Hut International, 2,700 23,119
Inc. (a)
Systemax, Inc. (a) 1,100 10,863
The Sports Authority, Inc. (a) 6,800 14,025
Tiffany & Co., Inc. 6,600 423,638
Tractor Supply Co. (a) 1,300 23,400
Transmedia Network, Inc. (a) 100 481
Transportation World 7,050 74,906
Entertainment Corp. (a)
Tweeter Home Entertainment 2,800 85,750
Group, Inc. (a)
U.S. Office Products Co. (a) 1,271 3,495
U.S.A. Floral Products, Inc. 1,000 1,688
(a)
UBid, Inc. (a) 2,240 74,060
Ultimate Electronics, Inc. (a) 2,000 32,750
Valley Media, Inc. 4,300 25,800
Value America, Inc. 9,800 40,425
Vista Eyecare, Inc. (a) 900 1,125
Webvan Group, Inc. 7,200 81,900
Whitehall Jewellers, Inc. 1,650 32,278
Williams-Sonoma, Inc. (a) 3,400 105,188
Wilmar Industries, Inc. (a) 2,500 42,188
Wolohan Lumber Co. 100 1,138
Zale Corp. (a) 5,200 195,650
5,244,801
TOTAL RETAIL & WHOLESALE 10,728,985
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
SERVICES - 3.4%
ADVERTISING - 0.8%
Ackerley Group, Inc. 700 $ 8,969
ADVO, Inc. (a) 3,400 94,350
Andover.Net, Inc. 2,300 91,713
Cybergold, Inc. 3,000 60,000
Digital Impact, Inc. 1,200 34,200
DoubleClick, Inc. (a) 10,232 908,729
Egreetings Network, Inc. 7,300 41,291
Fogdog, Inc. 5,800 53,288
Getty Images, Inc. (a) 5,300 272,619
HA-LO Industries, Inc. (a) 4,700 49,938
InfoUSA, Inc. (a) 6,300 78,750
Interep National Radio Sales, 3,100 31,000
Inc. Class A
Internet Capital Group, Inc. 1,400 148,050
Lamar Advertising Co. Class A 8,500 370,281
(a)
Leapnet, Inc. (a) 5,300 37,763
Lifeminders.com, Inc. 1,500 79,688
Mediaplex, Inc. 2,400 200,400
MyPoints.com, Inc. 1,600 75,000
Newgen Results Corp. 1,600 24,000
Princeton Video Image, Inc. 3,000 27,750
(a)
R.H. Donnelley Corp. (a) 5,300 89,438
TMP Worldwide, Inc. (a) 4,000 543,750
Women.com Networks, Inc. 7,900 78,506
3,399,473
EDUCATIONAL SERVICES - 0.1%
Apollo Group, Inc. Class A (a) 10,600 241,812
Career Education Corp. (a) 1,100 41,250
Childrens Comprehensive 100 625
Services, Inc. (a)
Devry, Inc. (a) 3,000 54,188
Education Management Corp. (a) 3,800 49,400
Educational Video 1,100 33,550
Conferencing, Inc.
GP Strategies Corp. (a) 100 513
ITT Educational Services, 4,300 51,600
Inc. (a)
Prosoft Training.Com (a) 3,700 62,900
Quest Education Corp. (a) 900 7,200
SkillSoft Corp. (a) 1,250 22,266
Strayer Education, Inc. 2,000 52,875
Whitman Education Group, Inc. 100 156
(a)
618,335
LEASING & RENTAL - 0.2%
Aaron Rents, Inc. Class A 100 1,750
AMERCO (a) 700 11,988
Avis Rent A Car, Inc. (a) 3,600 52,425
Blockbuster, Inc. Class A 6,400 87,600
Budget Group, Inc. Class A (a) 3,200 18,800
Central Parking Corp. 4,850 71,841
Dollar Thrifty Automotive 1,400 18,375
Group, Inc. (a)
DVI, Inc. (a) 100 1,475
GATX Corp. 7,900 245,888
SHARES VALUE (NOTE 1)
Hertz Corp. Class A 6,200 $ 222,038
Interpool, Inc. 900 5,963
Laser Vision Centers, Inc. (a) 2,000 20,750
McGrath RentCorp. 400 6,750
Mitcham Industries, Inc. (a) 400 1,750
National Auto Credit, Inc. (a) 400 419
Neff Corp. (a) 1,800 12,938
Rent-A-Center, Inc. (a) 3,300 49,500
Rent-Way, Inc. (a) 711 12,087
United Rentals, Inc. (a) 8,285 129,453
United Road Services, Inc. (a) 600 1,125
Vari-Lite International, Inc. 100 144
(a)
973,059
PRINTING - 0.2%
Bowne & Co., Inc. 2,100 25,069
Cadmus Communications Corp. 100 850
Champion Industries, Inc. 100 369
Consolidated Graphics, Inc. 4,000 54,750
(a)
CSS Industries, Inc. (a) 500 9,531
Cunningham Graphics 1,900 41,800
International, Inc. (a)
Cyrk, Inc. (a) 3,600 34,875
Ennis Business Forms, Inc. 100 731
John H. Harland Co. 1,000 15,438
Nashua Corp. (a) 300 2,288
New England Business Service, 400 7,575
Inc.
Paxar Corp. (a) 1,500 14,906
Reynolds & Reynolds Co. Class 10,900 301,113
A
Standard Register Co. 800 10,900
Valassis Communications, Inc. 8,050 222,884
(a)
Vestcom International, Inc. 500 2,688
(a)
Wallace Computer Services, 7,700 80,369
Inc.
826,136
SERVICES - 2.1%
ABM Industries, Inc. 4,900 123,419
ACNielsen Corp. (a) 9,400 159,213
Administaff, Inc. (a) 100 4,125
ALPNET, Inc. (a) 7,100 59,684
Alterra Healthcare Corp. (a) 600 3,600
American Retirement Corp. (a) 600 4,950
Analytical Surveys, Inc. (a) 2,400 19,500
Angelica Corp. 100 900
APAC Teleservices, Inc. 6,300 50,006
Applied Analytical 100 1,144
Industries, Inc. (a)
Assisted Living Concepts, 700 1,269
Inc. (a)
Berlitz International, Inc. 300 4,613
(a)
Billing Information Concepts 5,500 32,313
Corp. (a)
Boron LePore & Associates, 500 4,281
Inc. (a)
Braun Consulting, Inc. 2,300 133,400
Bright Horizons Family 1,800 30,375
Solutions, Inc. (a)
Brookdale Living Communities, 300 4,013
Inc. (a)
Burns International Services 700 7,656
Corp. (a)
Cadiz, Inc. (a) 500 6,094
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
SERVICES - CONTINUED
SERVICES - CONTINUED
Capital Senior Living Corp. 600 $ 2,513
(a)
Caremark Rx, Inc. (a) 8,500 38,250
Caribiner International, Inc. 700 2,188
(a)
Carriage Services, Inc. Class 2,100 9,056
A (a)
Cash Technologies, Inc. (a) 2,300 45,425
Castle Dental Centers, Inc. 100 338
(a)
Catalina Marketing Corp. (a) 2,600 221,325
CDI Corp. (a) 600 10,950
Century Business Services, 12,100 41,216
Inc. (a)
Charles River Associates, 1,200 32,850
Inc. (a)
CheckFree Holdings Corp. (a) 4,800 422,100
Chemed Corp. 2,400 70,650
Cintas Corp. 12,675 506,208
Coast Dental Services, Inc. 100 225
(a)
Coinmach Laundry Corp. (a) 800 6,350
Collectors Universe, Inc. 5,300 41,406
COMFORCE Corp. (a) 100 294
Computer Horizons Corp. (a) 3,400 75,650
Convergys Corp. (a) 17,000 654,500
Cornell Corrections, Inc. (a) 100 813
Correctional Services Corp. 165 660
(a)
CPI Corp. 1,360 33,490
Creditrust Corp. (a) 5,100 40,003
Crestline Capital Corp. (a) 2,170 39,331
Day Runner, Inc. (a) 400 675
Diamond Technology Partners, 1,850 126,494
Inc. Class A (a)
eGlobe, Inc. (a) 6,200 84,863
eLoyalty Corp. 5,300 161,981
Employee Solutions, Inc. (a) 400 425
Expedia, Inc. Class A 2,300 46,000
First Priority Group, Inc. (a) 3,900 16,331
Fonar Corp. 9,900 27,225
Food Technology Service, Inc. 900 5,288
(a)
Forrester Research, Inc. (a) 1,800 72,000
FreeMarkets, Inc. 3,000 522,563
FYI, Inc. (a) 2,900 86,275
G&K Services, Inc. Class A 4,300 73,100
Gartner Group, Inc. Class B 3,800 44,888
(a)
General Magnaplate Corp. 85 250
Greg Manning Auctions, Inc. 1,900 35,031
(a)
Grow Biz International, Inc. 500 2,063
(a)
Hagler Bailly, Inc. (a) 900 3,488
Hall Kinion & Associates, 2,000 36,000
Inc. (a)
Headway Corporate Resources 400 1,575
(a)
Insurance Auto Auctions, Inc. 200 3,150
(a)
Interim Services, Inc. (a) 8,420 209,974
Jenny Craig, Inc. (a) 100 219
Kelly Services, Inc. Class A 1,100 26,469
Korn/Ferry International 1,700 63,750
Labor Ready, Inc. (a) 1,275 10,598
SHARES VALUE (NOTE 1)
Landauer, Inc. 200 $ 3,988
Lason, Inc. (a) 6,400 54,600
Learning Tree International, 2,300 61,238
Inc. (a)
Mac-Gray Corp. (a) 100 344
Mace Security International, 800 4,450
Inc. (a)
Magellan Health Services, 1,100 6,463
Inc. (a)
Manpower, Inc. 9,500 310,531
MapQuest.com, Inc. 2,900 52,563
Marketing Services Group, 1,400 37,100
Inc. (a)
Maximus, Inc. (a) 600 20,513
Media Arts Group, Inc. (a) 600 5,025
Media Metrix, Inc. 3,100 108,888
Medialink Worldwide, Inc. (a) 200 2,550
MemberWorks, Inc. (a) 2,400 194,100
Metamor Worldwide, Inc. (a) 2,000 41,000
Modem Media . Poppe Tyson, 1,000 79,375
Inc.
Modis Professional Services, 6,000 94,500
Inc. (a)
National Processing, Inc. (a) 1,700 14,981
Navigant Consulting, Inc. (a) 1,850 17,806
NCO Group, Inc. (a) 4,348 101,635
Netcentives, Inc. 2,200 100,100
NewsEdge Corp. (a) 5,200 34,125
Nextera Enterprises, Inc. 3,600 36,000
NFO Worldwide, Inc. (a) 2,900 51,475
NOVA Corp. (a) 10,143 233,923
NovaMed Eyecare, Inc. 5,200 74,750
Olsten Corp. 13,500 161,156
On Assignment, Inc. (a) 1,500 56,063
Orthalliance, Inc. Class A (a) 100 613
Per-Se Technologies, Inc. (a) 5,066 39,895
Personnel Group of America, 1,000 7,625
Inc. (a)
Photoworks, Inc. (a) 7,000 52,063
Pittston Co. - Brinks Group 5,890 105,284
Plastic Surgery Co. 400 1,550
Pre-Paid Legal Services, Inc. 1,500 42,188
(a)
Precision Response Corp. (a) 3,700 87,413
Prime Medical Services, Inc. 500 4,250
(a)
Probusiness Services, Inc. (a) 3,550 96,294
Profit Recovery Group 7,400 136,900
International, Inc. (a)
Promedco Management Co. (a) 6,200 16,275
Promotions.com, Inc. 2,500 37,031
Protection One, Inc. (a) 2,800 4,550
PRT Group, Inc. (a) 8,200 32,800
PTEK Holdings, Inc. (a) 7,833 82,736
RCM Technologies, Inc. (a) 1,800 27,225
Regis Corp. 8,400 130,200
RemedyTemp, Inc. Class A (a) 1,700 37,825
Renaissance Worldwide, Inc. 800 4,200
(a)
ReSourcePhoenix.com, Inc. 1,400 25,988
Robert Half International, 6,700 283,075
Inc. (a)
Rollins, Inc. 1,400 22,663
Romac International, Inc. (a) 6,040 81,540
RTW, Inc. (a) 400 2,050
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
SERVICES - CONTINUED
SERVICES - CONTINUED
Rural/Metro Corp. (a) 2,000 $ 4,500
SCB Computer Technology, Inc. 800 2,200
(a)
ServiceMaster Co. 37,850 416,350
SITEL Corp. (a) 2,500 21,563
Snyder Communications, Inc. 2,900 70,325
(SNC)
SOS Staffing Services, Inc. 500 2,500
(a)
Sotheby's Holdings, Inc. 2,600 51,188
Class A
Source Information Management 4,300 88,956
Co. (a)
Staff Leasing, Inc. (a) 400 2,300
Staffmark, Inc. (a) 900 10,125
StarTek, Inc. (a) 1,500 62,063
Superior Consultant Holdings 2,800 43,400
Corp. (a)
Telespectrum Worldwide, Inc. 5,300 42,069
(a)
Teletech Holdings, Inc. (a) 7,200 272,700
The Judge Group, Inc. (a) 100 225
Thermolase Corp. (a) 1,300 2,519
True North Communications 6,200 229,400
Unifirst Corp. 400 4,025
Veterinary Centers of 2,500 27,656
America, Inc. (a)
Viad Corp. 13,100 307,031
Vision Twenty-One, Inc. (a) 2,000 2,687
Volt Information Sciences, 400 10,600
Inc. (a)
Wackenhut Corp. 600 7,875
Wackenhut Corrections Corp. 600 5,888
Westaff, Inc. (a) 550 4,263
York Research Corp. (a) 200 600
9,621,504
TOTAL SERVICES 15,438,507
TECHNOLOGY - 43.0%
COMMUNICATIONS EQUIPMENT - 3.3%
Ace Communication Corp. (a) 2,600 38,350
ACT Networks, Inc. (a) 4,000 56,000
Active Voice Corp. (a) 1,200 65,850
Advanced Fibre 6,600 449,625
Communications, Inc. (a)
AltiGen Communications, Inc. 2,100 41,869
Applied Innovation, Inc. (a) 4,300 51,600
Applied Signal Technology, 2,900 75,763
Inc.
Aspect Communications Corp. 3,900 251,306
(a)
Avanex Corp. 6,200 1,291,925
Brooktrout, Inc. (a) 2,200 105,600
C-Phone Corp. (a) 600 1,538
Carrier Access Corp. (a) 1,700 96,475
Centigram Communications 2,000 41,250
Corp. (a)
Checkpoint Systems, Inc. (a) 1,100 9,350
Ciena Corp. (a) 12,900 2,061,581
Com21, Inc. (a) 1,300 91,000
Comdial Corp. (a) 4,000 76,250
Coyote Network Systems, Inc. 3,805 29,727
(a)
Davox Corp. (a) 2,300 87,975
SHARES VALUE (NOTE 1)
Digital Island, Inc. 3,100 $ 359,988
Ditech Communications Corp. 2,100 229,425
Efficient Networks, Inc. 3,200 516,000
Elcotel, Inc. (a) 8,000 55,500
eLOT, Inc. (a) 5,600 33,600
eOn Communications Corp. 1,120 26,058
General Datacomm Industries, 3,800 53,200
Inc. (a)
Harmon Industries, Inc. 400 5,600
IFR Systems, Inc. (a) 150 1,331
Intelect Communications, Inc. 5,500 39,531
(a)
Inter-Tel, Inc. 3,600 141,300
InterDigital Communication 3,900 124,556
Corp. (a)
InterVoice, Inc. (a) 1,896 68,493
IPC Information Systems, Inc. 1,000 239,000
(a)
ITI Technologies, Inc. (a) 1,100 31,969
Jabil Circuit, Inc. (a) 7,600 527,725
Larscom, Inc. Class A (a) 3,000 27,000
LoJack Corp. (a) 1,700 12,006
Metricom, Inc. (a) 1,600 124,600
Microlog Corp. (a) 100 175
Microtest, Inc. (a) 3,500 47,250
Microwave Power Devices, Inc. 2,900 27,097
(a)
Natural MicroSystems Corp. (a) 800 51,000
Network Equipment 2,000 21,000
Technologies, Inc. (a)
Next Level Communications, 7,100 954,950
Inc.
Norstan, Inc. (a) 4,500 31,781
OSI Systems, Inc. (a) 4,100 57,656
Osicom Technologies, Inc. (a) 766 111,022
P-Com, Inc. (a) 5,300 96,725
Pairgain Technologies, Inc. 4,000 71,500
(a)
Panja, Inc. (a) 2,500 74,063
Perceptron, Inc. (a) 200 900
PictureTel Corp. (a) 4,900 37,056
Plantronics, Inc. (a) 2,300 182,706
Pliant Systems, Inc. (a) 2,900 30,088
Science Dynamics Corp. (a) 3,000 59,250
SSE Telecom, Inc. (a) 2,400 31,200
Sycamore Networks, Inc. 23,000 3,404,000
Symmetricom, Inc. (a) 3,500 48,125
Tekelec (a) 4,100 211,150
Telaxis Communications Corp. 1,520 118,655
Teltrend, Inc. (a) 1,400 148,313
Terayon Communication 2,000 514,250
Systems, Inc. (a)
Tollgrade Communications, 1,200 121,500
Inc. (a)
Turnstone Systems, Inc. 2,910 558,902
Tut Systems, Inc. 700 29,313
Ultrak, Inc. (a) 4,300 47,300
Veramark Technologies, Inc. 1,700 13,388
(a)
Video Network Communication, 42 314
Inc. (a)
VTEL Corp. (a) 1,400 9,363
Westell Technologies, Inc. 3,500 119,875
Class A (a)
XETA Corp. (a) 1,200 74,100
Xircom, Inc. (a) 1,900 78,909
SHARES VALUE (NOTE 1)
Artificial Life, Inc. (a) 1,000 $ 36,750
Artisoft, Inc. (a) 3,500 58,625
ASD Systems, Inc. 3,800 28,025
Ask Jeeves, Inc. 2,000 160,875
Aspect Development, Inc. (a) 2,400 357,300
Aspen Technology, Inc. (a) 3,500 156,625
At Home Corp. Series A (a) 32,090 1,101,088
At Plan, Inc. 2,300 23,000
Audiohighway.com (a) 4,000 27,750
Autobytel.com, Inc. 4,700 50,231
Autoweb.Com, Inc. 3,400 20,400
Avant! Corp. (a) 7,300 108,131
AVT Corp. (a) 1,000 26,438
Aware, Inc. (a) 1,400 88,200
Axent Technolgies, Inc. (a) 1,080 29,295
Aztec Technology Partners, 5,900 42,775
Inc. (a)
Banyan Systems, Inc. (a) 1,200 39,900
barnesandnoble.com, Inc. 5,500 44,000
Class A
Barra, Inc. (a) 1,700 59,553
Base Ten Systems, Inc. Class 160 740
A (a)
Be Free, Inc. 3,300 298,238
BEA Systems, Inc. (a) 11,600 1,468,125
Bell & Howell Co. (a) 3,200 104,800
Bell Industries, Inc. 7,800 28,763
BindView Development Corp. (a) 4,200 141,750
Bitstream, Inc. (a) 4,800 38,400
Bitwise Designs, Inc. (a) 2,300 34,500
Black Box Corp. (a) 2,800 209,475
Bluestone Software, Inc. 1,300 101,238
Bottomline Technologies, Inc. 1,400 54,688
Breakaway Solutions, Inc. 1,600 200,000
BrightStar Information 3,400 31,025
Technology Group, Inc. (a)
Brio Technology, Inc. (a) 1,600 64,100
Broadbase Software, Inc. 1,400 212,013
BroadVision, Inc. (a) 7,500 1,894,219
BSQUARE Corp. 1,800 71,775
BTG, Inc. (a) 100 863
BUY.com, Inc. 12,810 179,340
C-bridge Internet Solutions, 2,600 136,825
Inc.
CACI International, Inc. 3,000 85,313
Class A (a)
Cadence Design Systems, Inc. 20,244 403,615
(a)
Calico Commerce, Inc. 2,288 98,527
CAM Data Systems, Inc. (a) 1,800 31,950
Cambridge Technology 3,300 49,500
Partners, Inc. (a)
Careerbuilder, Inc. 4,800 28,200
CareInsite, Inc. 6,200 421,600
Carreker-Antinori, Inc. (a) 5,200 62,075
Casino Data Systems (a) 4,100 20,244
CCC Information Services 4,100 94,813
Group, Inc. (a)
CE Software Holdings, Inc. (a) 100 1,194
Centra Software, Inc. 2,310 85,181
Centura Software Corp. (a) 5,500 83,875
Cerner Corp. (a) 5,100 180,731
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
TECHNOLOGY - CONTINUED
COMPUTER SERVICES & SOFTWARE
- - CONTINUED
Chequemate International, 2,400 $ 30,750
Inc. (a)
Chordiant Software, Inc. 3,450 120,750
Ciber, Inc. (a) 3,400 79,050
Clarent Corp. 2,600 284,050
Clarify, Inc. (a) 1,900 274,194
Clarus Corp. (a) 800 93,300
Click2learn.com, Inc. (a) 3,300 54,863
ClickAction, Inc. (a) 1,500 63,375
CMGI, Inc. (a) 24,655 3,194,363
CNET, Inc. (a) 6,300 421,313
Cobalt Networks, Inc. 2,200 210,650
Cognizant Technology 600 65,475
Solutions Corp. (a)
Command Systems, Inc. (a) 500 1,563
Commerce One, Inc. 6,800 1,420,350
Complete Business Solutions, 1,732 34,424
Inc. (a)
Comptek Research, Inc. (a) 2,000 29,000
CompuCom Systems, Inc. (a) 10,300 46,350
CompUSA, Inc. (a) 4,500 45,000
Computer Concepts Corp. 800 1,600
Computer Learning Centers, 600 1,519
Inc. (a)
Computer Outsourcing 1,200 45,000
Services, Inc. (a)
Computer Task Group, Inc. 700 8,969
Comshare, Inc. (a) 100 488
Concentric Network Corp. (a) 3,100 166,238
Concord Communications, Inc. 1,800 80,550
(a)
Concur Technologies, Inc. (a) 1,700 41,013
Continuus Software Corp. 3,500 34,344
Convergent Communications, 3,800 35,863
Inc.
Cornerstone Internet 4,700 28,347
Solutions Co. (a)
Corsair Communictions, Inc. 3,100 88,350
(a)
CoStar Group, Inc. (a) 1,969 71,622
Cotelligent, Inc. (a) 600 3,600
Covad Communications Group, 8,700 785,175
Inc.
Critical Path, Inc. 3,476 299,371
Crosswalk.com, Inc. (a) 300 1,725
CSG Systems International, 6,400 328,800
Inc. (a)
CSP, Inc. (a) 3,600 51,300
CyBear, Inc. (a) 3,700 32,838
Cybercash, Inc. (a) 4,900 51,450
CyberOptics Corp. (a) 200 7,350
CyberSource Corp. 3,200 88,800
Cylink Corp. (a) 5,000 93,125
DAOU Systems, Inc. (a) 200 775
Data Broadcasting Corp. (a) 1,100 10,863
Data Dimensions, Inc. (a) 4,600 23,000
Data Return Corp. 2,700 173,138
Data Transmission Network 2,600 66,300
Corp. (a)
Datalink Corp. 1,600 33,200
Datastream Systems, Inc. (a) 2,200 49,225
Datatec Systems, Inc. (a) 5,200 76,375
Dataware Technologies, Inc. 2,700 32,400
(a)
SHARES VALUE (NOTE 1)
DecisionOne Holdings Corp. (a) 500 $ 203
Delano Technology Corp. 2,820 134,831
Deltek Systems, Inc. (a) 3,000 39,750
Dendrite International, Inc. 2,900 71,413
(a)
Digex, Inc. Class A 900 145,800
Digi International, Inc. (a) 3,300 37,125
Digital Courier Technologies, 2,800 28,350
Inc. (a)
Digital Insight Corp. 2,000 126,000
DigitalThink, Inc. 3,290 134,068
DocuCorp International, Inc. 180 1,080
(a)
Documentum, Inc. (a) 900 67,894
drkoop.com, Inc. 3,800 29,213
DSET Corp. (a) 2,000 50,000
DSL.net, Inc. 4,300 120,400
DST Systems, Inc. (a) 7,486 420,152
E.piphany, Inc. 3,000 659,625
EarthLink, Inc. (a) 8,968 223,079
EarthWeb, Inc. (a) 700 18,725
eBay, Inc. (a) 12,200 1,749,175
ebenX, Inc. 2,200 123,475
ebix.com, Inc. (a) 3,600 46,350
Eclipsys Corp. (a) 2,510 60,240
eCollege.com 4,200 37,538
EDGAR Online, Inc. 4,100 46,125
eFax.com, Inc. (a) 3,800 25,175
eGain Communications Corp. 1,900 107,113
Electric Lightwave, Inc. 2,700 61,425
Class A (a)
Electronic Arts, Inc. (a) 5,400 540,000
Electronic Retailing Systems 100 97
International (a)
Electronics for Imaging, Inc. 4,200 249,375
(a)
Elite Information Group, Inc. 100 925
(a)
Eloquent, Inc. 1,680 56,490
eMerge Interactive, Inc. 3,290 174,781
Class A
Engage Technologies, Inc. 4,400 638,000
Engineering Animation, Inc. 3,200 56,800
(a)
Enlighten Software Solutions, 3,000 25,688
Inc. (a)
Entrade, Inc. (a) 1,300 58,013
Entrust Technologies, Inc. (a) 3,700 326,525
Epicor Software Corp. (a) 6,635 59,300
eShare Technologies, Inc. (a) 2,700 40,669
eSoft, Inc. (a) 2,400 48,563
ESPS, Inc. 4,400 24,750
EuroWeb International Corp. 2,900 24,831
(a)
Evolving Systems, Inc. (a) 2,100 29,138
Excalibur Technologies Corp. 2,600 96,200
(a)
eXcelon Corp. (a) 2,500 55,000
Exchange Applications, Inc. 1,500 162,938
(a)
Exodus Communications, Inc. 16,100 2,292,238
(a)
F5 Networks, Inc. 1,600 144,000
FactSet Research Systems, 1,300 39,163
Inc.
Fair, Isaac & Co., Inc. 300 14,644
Firearms Training Systems, 200 194
Inc. Class A (a)
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
TECHNOLOGY - CONTINUED
COMPUTER SERVICES & SOFTWARE
- - CONTINUED
FirePond, Inc. 3,250 $ 316,672
First Consulting Group, Inc. 2,700 40,331
(a)
Firstwave Technologies, Inc. 600 10,913
(a)
Fiserv, Inc. (a) 15,450 421,013
FlashNet Communications, Inc. 5,000 34,375
Fonix corp (a) 1,600 4,000
Foundry Networks, Inc. 11,100 1,550,531
Franklin Electronic 2,500 14,375
Publishers (a)
Frontline Communications 600 2,325
Corp. (a)
Galileo International, Inc. 5,700 96,900
General Magic, Inc. (a) 3,700 38,619
Geoworks Corp. (a) 1,600 79,300
Gerber Scientific, Inc. 900 15,075
Go2Net, Inc. (a) 2,500 217,500
GoTo.com, Inc. 4,200 267,225
Government Technology 6,400 28,800
Services, Inc. (a)
GraphOn Corp. (a) 2,900 52,563
Great Plains Software, Inc. 2,300 159,994
(a)
GRIC Communications, Inc. 2,200 154,275
GT Interactive Software Corp. 11,000 44,688
(a)
H.T.E., Inc. (a) 7,500 25,781
Harbinger Corp. (a) 2,867 91,923
Headhunter.net, Inc. 3,200 50,400
Health Management Systems, 6,600 32,794
Inc. (a)
HealthCentral.com 5,700 33,131
Healtheon/Web Maryland Corp. 6,049 334,585
HearMe, Inc. 1,800 37,463
HIE, Inc. (a) 6,300 33,863
High Speed Access Corp. 5,700 106,519
HNC Software, Inc. (a) 1,800 177,075
Homeseekers.com, Inc. (a) 3,600 61,200
Homestore.com, Inc. 7,300 498,681
Hoover's, Inc. 4,500 50,625
Hotel Reservations Network, 1,700 44,200
Inc.
HotJobs.com Ltd. 1,500 37,688
Hybrid Networks, Inc. (a) 800 13,250
Hyperion Solutions Corp. (a) 2,790 137,756
i2 Technologies, Inc. (a) 14,700 2,403,450
IDT Corp. (a) 3,600 133,256
IDX Systems Corp. (a) 3,600 130,500
Ikos Systems, Inc. (a) 4,100 44,588
ImageMax, Inc. (a) 700 1,181
IMR Global Corp. (a) 1,150 14,016
Indus International, Inc. (a) 4,400 38,500
Industri-Matematik 5,200 52,000
International Corp. (a)
Inet Technologies, Inc. 3,600 156,150
Infinium Software, Inc. (a) 3,400 18,488
InfoCure Corp. (a) 2,200 41,525
Infonautics, Inc. (a) 3,300 32,175
Infonet Services Corp. Class B 26,400 729,300
SHARES VALUE (NOTE 1)
Informatica Corp. 1,100 $ 188,650
Information Architects Corp. 3,000 64,500
(a)
Information Management 3,900 21,694
Association, Inc. (a)
Information Resources, Inc. 1,000 7,813
(a)
Informix Corp. (a) 15,720 251,520
Inforte Corp. 1,160 93,308
InfoSpace.com, Inc. (a) 9,100 1,974,700
Innodata Corp. (a) 1,800 20,475
Inprise Corp. (a) 3,281 33,220
Input Software, Inc. (a) 2,200 39,600
insci-statements.com Corp. (a) 6,100 44,988
Inso Corp. (a) 900 10,969
InsWeb Corp. 1,200 17,850
Integral Systems, Inc. (a) 1,800 94,500
InteliData Technologies Corp. 6,000 76,500
(a)
IntelliCorp, Inc. (a) 6,100 49,563
Intelligroup, Inc. (a) 2,300 96,600
Interactive Intelligence, 1,300 46,800
Inc.
InterCept Group, Inc. (a) 2,200 53,350
Intercontinental Telecom 110 0
Corp. warrants 4/30/02 (a)
Interface Systems, Inc. (a) 1,400 46,200
Interleaf, Inc. (a) 1,700 146,200
Interliant, Inc. 3,300 141,488
Internap Network Services 13,100 1,270,700
Corp.
Internet America, Inc. (a) 3,700 34,688
Internet Commerce Corp. (a) 800 44,600
Internet Pictures Corp. 4,011 132,363
Internet.com Corp. 1,800 80,100
Intertrust Technologies Corp. 7,000 594,563
InterVU, Inc. (a) 1,200 177,525
InterWorld Corp. 1,800 97,650
Interwoven, Inc. 1,800 269,100
IntraNet Solutions, Inc. (a) 1,300 52,975
Intuit, Inc. (a) 18,011 945,578
ISS Group, Inc. (a) 3,400 357,000
iVillage, Inc. (a) 1,400 26,250
iXL Enterprises, Inc. 4,900 177,625
J.D. Edwards & Co. (a) 8,700 353,438
Jack Henry & Associates, Inc. 3,000 209,625
JDA Software Group, Inc. (a) 3,500 70,875
Juno Online Services, Inc. 2,600 60,125
Kana Communications, Inc. 5,100 726,750
Keane, Inc. (a) 4,000 96,000
Keynote Systems, Inc. 2,700 442,125
Lante Corp. 3,730 297,468
Latitude Communications, Inc. 1,700 35,913
Launch Media, Inc. 2,100 40,950
Learn2.com, Inc. (a) 7,700 46,922
Legato Systems, Inc. (a) 7,152 254,790
Level 8 Systems, Inc. (a) 1,882 59,048
LHS Group, Inc. (a) 4,600 208,150
Liberate Technologies 7,700 784,438
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
TECHNOLOGY - CONTINUED
COMPUTER SERVICES & SOFTWARE
- - CONTINUED
Lightspan Partnership, Inc. 4,290 $ 47,190
Lionbridge Technologies, Inc. 2,600 46,963
Liquid Audio, Inc. 2,900 73,950
Litronic, Inc. 2,200 52,250
Litton Industries, Inc. (a) 7,000 209,563
Log On America, Inc. 2,000 33,000
Logility, Inc. (a) 1,700 27,200
LookSmart Ltd. (a) 6,900 305,325
Loronix Information Systems, 1,400 42,875
Inc. (a)
Lycos, Inc. (a) 8,600 512,775
Macromedia, Inc. (a) 4,000 345,750
Mail.com, Inc. Class A 6,879 103,185
Manhattan Associates, Inc. (a) 1,300 22,019
Manugistics Group, Inc. (a) 2,100 119,306
Mapics, Inc. (a) 3,900 60,450
MapInfo Corp. (a) 2,150 74,175
Marimba, Inc. 1,300 79,219
Marketwatch.Com, Inc. (a) 2,200 94,325
McAfee.com Corp. 1,400 47,775
MedCom USA, Inc. (a) 7,500 37,266
Media 100, Inc. (a) 2,100 93,713
MedicaLogic, Inc. 3,800 141,075
Mentor Graphics Corp. (a) 9,600 164,400
Mercury Computer Systems, 3,400 163,838
Inc. (a)
Mercury Interactive Corp. (a) 6,800 655,350
MessageMedia, Inc. (a) 2,800 39,200
Meta Group, Inc. (a) 2,400 74,400
MetaCreations Corp. (a) 4,800 105,600
Metasolv Software, Inc. 2,500 220,313
Metro Information Services, 600 12,600
Inc. (a)
MicroAge, Inc. (a) 7,500 25,781
Micrografx, Inc. (a) 200 1,075
Micromuse, Inc. (a) 2,800 397,075
MicroStrategy, Inc. Class A 1,600 222,500
(a)
Microware Systems Corp. (a) 4,600 26,450
Midway Games, Inc. (a) 1,598 23,670
Mission Critical Software, 2,200 134,750
Inc.
MP3.com, Inc. 4,400 75,900
MSC Software Corp. (a) 100 1,163
Multex.com, Inc. 1,500 45,750
Mustang.com, Inc. (a) 1,900 54,388
MyTurn.com, Inc. (a) 3,700 120,713
National Computer Systems, 5,000 198,750
Inc.
National Data Corp. 2,543 78,833
National Information 4,200 219,975
Consortium, Inc.
National Instrument Corp. (a) 6,125 275,051
National Techteam, Inc. (a) 200 1,200
Navidec, Inc. (a) 2,200 42,763
NaviSite, Inc. 2,300 433,550
Neoforma.com, Inc. 4,700 279,650
NEON Systems, Inc. 1,200 40,200
SHARES VALUE (NOTE 1)
Net Perceptions, Inc. 1,400 $ 68,425
Netegrity, Inc. (a) 1,000 85,500
NetIQ Corp. 1,000 67,125
NetManage, Inc. (a) 9,427 61,865
NetObjects, Inc. 3,300 122,925
Netplex Group, Inc. (a) 3,800 50,350
NETRIX Corp. (a) 2,100 52,238
NetSolve, Inc. 1,700 70,125
NetSpeak Corp. (a) 3,100 66,650
Network Peripherals, Inc. (a) 900 55,631
Network Solutions, Inc. Class 3,100 999,556
A (a)
Network-1 Security Solutions, 1,900 28,975
Inc. (a)
Networks Associates, Inc. (a) 11,518 350,579
Netzee, Inc. 3,600 92,250
NetZero, Inc. 8,200 192,700
New Era of Networks, Inc. (a) 2,700 247,388
NHancement Technologies, Inc. 2,600 29,900
(a)
Novadigm, Inc. (a) 2,600 60,450
nStor Technologies, Inc. (a) 7,000 25,813
NYFIX, Inc. (a) 1,350 53,916
OAO Technology Solutions, 4,000 34,000
Inc. (a)
Objective Systems 5,400 103,950
Integrators, Inc. (a)
Omega Research, Inc. (a) 900 4,950
Omtool Ltd. (a) 700 2,538
ON Technology Corp. (a) 2,100 23,100
OnDisplay, Inc. 2,400 216,000
OneMain.com, Inc. 3,700 47,406
OneSource Information 2,700 23,288
Services, Inc.
OnHealth Network Co. (a) 2,400 22,500
Ontrack Data International, 4,000 47,000
Inc. (a)
ONYX Software Corp. 2,300 183,425
Open Market, Inc. (a) 3,500 175,438
Optika, Inc. (a) 1,700 58,225
Optio Software, Inc. 3,200 58,000
Organic, Inc. 7,820 266,858
Osage Systems Group, Inc. (a) 3,000 23,813
Packeteer, Inc. 1,700 87,763
pcOrder.com, Inc. 1,100 29,150
Peerless Systems Corp. (a) 3,400 19,338
Pegasus Systems, Inc. (a) 2,400 48,000
Pegasystems, Inc. (a) 1,000 23,500
Peregrine Systems, Inc. (a) 8,700 475,238
Peritus Software Services, 1,100 352
Inc. (a)
Perot Systems Corp. 7,000 178,063
Pervasive Software, Inc. (a) 2,700 28,856
Pfsweb, Inc. 2,500 85,625
Pharmacopeia, Inc. (a) 2,800 190,575
Phoenix International, Inc. 150 863
(a)
Phoenix Technologies Ltd. (a) 3,990 113,964
Phone.com, Inc. 5,900 823,788
Physician Computer Network, 200 12
Inc. (a)
Pilot Network Services, Inc. 2,300 92,000
(a)
Pivotal Corp. 2,900 147,900
Policy Management Systems 5,300 47,038
Corp. (a)
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
TECHNOLOGY - CONTINUED
COMPUTER SERVICES & SOFTWARE
- - CONTINUED
Polycom, Inc. (a) 2,500 $ 290,781
Portal Software, Inc. 16,000 1,202,000
PowerCerv Corp. (a) 4,700 22,913
Predictive Systems, Inc. 1,400 85,050
Preview Systems, Inc. 1,000 53,000
Priceline.com, Inc. 12,800 716,000
Primix Solutions, Inc. (a) 2,700 34,425
Primus Knowledge Solutions, 1,700 204,000
Inc.
Private Business, Inc. 4,700 19,388
ProcureNet, Inc. 800 120
Prodigy Communications Corp. 3,900 78,244
Progress Software Corp. (a) 4,700 117,206
Project Software & 2,600 201,338
Development, Inc. (a)
Proxicom, Inc. 4,000 167,500
ProxyMed, Inc. (a) 4,500 44,438
PSINet, Inc. (a) 11,224 520,513
PSW Technologies, Inc. (a) 1,800 70,200
Puma Technology, Inc. (a) 1,200 211,875
PurchasePro.com, Inc. 2,400 292,650
QAD, Inc. (a) 3,600 35,325
QRS Corp. (a) 1,850 174,594
Quadramed Corp. (a) 5,700 51,300
quepasa.com, Inc. 4,800 36,000
Quest Software, Inc. 3,000 349,875
Quintus Corp. 2,300 90,419
Radiant Systems, Inc. (a) 2,400 122,700
Rainbow Technologies, Inc. (a) 2,550 110,606
Ramp Networks, Inc. 3,800 69,825
Rare Medium Group, Inc. (a) 3,400 204,000
Rational Software Corp. (a) 8,900 633,013
RAVISENT Technologies, Inc. 1,100 15,400
Razorfish, Inc. 6,874 230,279
RealNetworks, Inc. (a) 13,900 977,344
Red Hat, Inc. 14,300 867,831
Redback Networks, Inc. 3,900 1,164,150
Registry Magic, Inc. (a) 1,000 4,875
Remedy Corp. (a) 2,000 113,375
Research Engineers, Inc. (a) 1,800 86,400
Retek, Inc. 3,600 218,250
RMI.NET, Inc. (a) 2,800 28,350
Rogue Wave Software, Inc. (a) 3,400 28,581
Ross Systems, Inc. (a) 11,900 32,725
RWD Technologies, Inc. (a) 400 3,575
S1 Corp. (a) 4,230 425,644
Sabre Holdings Corp. Class A 3,500 140,438
SAGA Systems, Inc. (a) 1,400 47,513
Sagent Technology, Inc. 1,400 24,413
SalesLogix Corp. 1,400 39,025
Salon.com, Inc. 4,600 29,900
Sanchez Computer Associates, 3,100 150,350
Inc. (a)
Santa Cruz Operation, Inc. (a) 2,600 44,850
SHARES VALUE (NOTE 1)
Sapient Corp. (a) 5,100 $ 364,650
Savvis Communications Corp. 9,180 183,600
SCC Communications Corp. (a) 4,800 37,200
Scient Corp. 7,400 523,550
SciQuest.com, Inc. 1,800 134,775
SeaChange International, Inc. 2,750 112,406
(a)
Secure Computing Corp. (a) 2,900 50,750
Segue Software, Inc. (a) 1,700 24,013
SEI Investments Co. 2,700 241,144
SERENA Software, Inc. 2,000 84,375
ShowCase Corp. 3,200 26,000
Siebel Systems, Inc. (a) 18,182 2,521,616
Silknet Software, Inc. 1,400 313,688
SilverStream Software, Inc. 1,200 102,900
Simione Central Holdings, 100 131
Inc. (a)
SmarterKids.com, Inc. 5,800 32,625
SmartServ Online, Inc. (a) 300 43,500
Smith Micro Software, Inc. (a) 6,200 22,863
Smith-Gardner & Assocs, Inc. 3,100 55,606
Socrates Technologies Corp. 6,300 16,931
(a)
Software Spectrum, Inc. (a) 2,200 37,125
Software.com, Inc. 4,500 433,125
Sonic Foundry, Inc. (a) 700 50,400
Sonic Solutions, Inc. (a) 3,900 37,050
Sportsline USA, Inc. (a) 1,300 59,963
SPR, Inc. (a) 450 3,178
SPSS, Inc. (a) 1,300 40,463
Spyglass, Inc. (a) 800 46,800
SS&C Technologies, Inc. (a) 600 3,375
Stac Software, Inc. (a) 75 900
StarBase Corp. (a) 3,000 40,125
StarMedia Network, Inc. 4,600 216,200
Sterling Software, Inc. (a) 10,000 358,750
Structural Dynamics Research 6,700 95,475
Corp. (a)
Styleclick.com, Inc. (a) 2,600 30,875
Summit Design, Inc. (a) 6,700 51,506
SunGard Data Systems, Inc. (a) 14,836 445,080
Sunquest Information Systems, 200 2,200
Inc. (a)
Sybase, Inc. (a) 7,300 182,956
Sykes Enterprises, Inc. (a) 7,200 117,450
Symantec Corp. (a) 4,700 335,756
Symix Systems, Inc. (a) 2,600 62,400
Synopsys, Inc. (a) 6,765 270,177
Syntel, Inc. (a) 1,400 22,925
System Software Associates, 400 500
Inc. (a)
Systems & Computer 5,100 121,763
Technology Corp. (a)
Systemsoft Corp. (a) 400 72
Talk City, Inc. 1,800 19,238
TALX Corp. (a) 2,300 33,063
Tangram Enterprise Solutions, 2,900 32,263
Inc. (a)
Tanning Technology Corp. 1,300 56,063
TCSI Corp. (a) 8,600 52,675
Technology Solutions, Inc. 5,300 38,425
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
TECHNOLOGY - CONTINUED
COMPUTER SERVICES & SOFTWARE
- - CONTINUED
Telescan, Inc. (a) 800 $ 16,300
TenFold Corp. 2,500 125,469
Tera Computer Co. (a) 6,200 48,438
The 3DO Co. (a) 6,500 97,500
The Bisys Group (a) 4,300 221,719
The Cobalt Group, Inc. 3,400 40,800
The TriZetto Group, Inc. 1,400 114,100
The viaLink Co. (a) 1,500 83,250
theglobe.com, Inc. (a) 5,800 44,950
TheStreet.Com, Inc. 3,400 39,313
Thinking Tools, Inc. (a) 100 750
TIBCO Software, Inc. 16,900 2,213,900
Tier Technologies, Inc. (a) 5,700 37,406
Timberline Software Corp. 2,800 31,500
Titan Corp. (a) 4,933 184,988
Total System Services, Inc. 13,050 207,169
Towne Services, Inc. (a) 2,600 5,200
Track Data Corp. (a) 4,700 29,963
Transaction Systems 2,300 103,788
Architects, Inc. Class A (a)
TREEV, Inc. (a) 6,000 36,375
Troy Group, Inc. 2,300 70,150
TSI International Software 1,900 161,144
Ltd. (a)
TSR, Inc. (a) 300 1,819
Tumbleweed Communications 2,376 180,576
Corp.
Tyler Technologies, Inc. (a) 300 1,613
UBICS, Inc. (a) 4,000 27,500
Ultimate Software Group, Inc. 2,500 30,000
(a)
Unicomp, Inc. (a) 4,400 25,988
Unify Corp. (a) 1,000 19,125
Unigraphics Solutions, Inc. 700 19,381
Class A (a)
US Interactive, Inc. 2,400 109,200
USDATA Corp. (a) 1,100 18,150
Usinternetworking, Inc. 5,200 347,100
USSEARCH.com, Inc. 4,300 19,619
USWeb Corp. (a) 6,750 262,406
V-One Corp. (a) 5,600 32,200
VA Linux Systems, Inc. 3,500 369,688
Verilink Corp. (a) 3,800 43,225
Verio, Inc. (a) 6,800 510,425
VeriSign, Inc. (a) 9,800 2,479,400
VERITAS Software Corp. (a) 25,600 5,065,600
Verity, Inc. (a) 2,000 106,750
Versant Corp. (a) 3,300 45,169
Vertel Corp. (a) 4,400 114,125
VerticalNet, Inc. 3,200 704,000
Via Net.Works, Inc. 5,660 373,560
Viador, Inc. 3,400 90,950
Viant Corp. 3,400 128,988
Viasoft, Inc. (a) 6,700 37,269
Vicinity Corp. 2,550 103,275
SHARES VALUE (NOTE 1)
Vignette Corp. 5,400 $ 1,244,700
Viisage Technology, Inc. (a) 2,900 24,650
VirtualFund.com, Inc. (a) 5,600 34,300
Visual Data Corp. (a) 2,300 27,600
Visual Networks, Inc. (a) 1,600 105,200
Vitria Technology, Inc. 5,800 1,094,025
Voyager.net, Inc. 5,100 54,825
Walker Interactive Systems, 5,100 39,206
Inc. (a)
WatchGuard Technologies, Inc. 2,500 147,500
Wave Systems Corp. Class A (a) 2,800 127,750
Wavo Corp. (a) 7,500 55,781
Webb Interactive Services, 1,400 83,475
Inc. (a)
Webhire, Inc. (a) 2,200 27,088
Webmethods, Inc. 2,990 921,107
WebTrends Corp. 800 76,000
White Pine Software, Inc. (a) 2,000 65,250
Whittman-Hart, Inc. (a) 4,300 195,113
Wind River Systems, Inc. (a) 3,820 221,799
Wink Communications, Inc. 1,900 110,200
Witness Systems, Inc. 2,110 77,543
WorldGate Communications, 1,600 55,200
Inc.
Xcare.net, Inc. 1,520 28,880
Xpedior, Inc. 3,100 55,800
Xybernaut Corp. (a) 2,500 34,531
Youbet.com, Inc. (a) 6,300 32,681
Zamba Corp. (a) 2,200 36,713
ZapMe! Corp. 3,500 22,750
ZeroPlus.com, Inc. (a) 2,600 25,350
ZipLink, Inc. 2,500 46,719
Zitel Corp. (a) 9,900 46,406
111,282,556
COMPUTERS & OFFICE EQUIPMENT
- - 3.9%
A.T. Cross & Co. Class A (a) 200 1,025
Advanced Digital Information 1,800 163,125
Corp. (a)
Alpha Microsystems (a) 3,900 30,469
Alteon Websystems, Inc. 3,200 287,200
Amplicon, Inc. 200 2,400
Ancor Communications, Inc. (a) 2,100 125,738
Apex, Inc. (a) 1,800 80,775
Applied Digital Solutions, 6,800 86,275
Inc. (a)
Ariel Corp. (a) 3,800 33,725
Aspeon, Inc. (a) 2,700 60,075
ATEC Group, Inc. (a) 300 1,313
Auspex Systems, Inc. 5,100 65,981
Boca Research, Inc. (a) 1,300 8,125
Boundless Corp. (a) 400 5,700
CacheFlow, Inc. 3,000 365,250
Caere Corp. (a) 4,500 46,125
CDW Computer Centers, Inc. (a) 5,300 290,838
CenterSpan Communications 1,200 31,050
Corp. (a)
CHS Electronics, Inc. (a) 1,900 1,663
Coinstar, Inc. (a) 2,500 35,000
Comdisco, Inc. 16,900 649,594
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
TECHNOLOGY - CONTINUED
COMPUTERS & OFFICE EQUIPMENT
- - CONTINUED
Communication Intelligence 8,900 $ 89,556
Corp. (a)
Computer Network Technology 3,500 87,719
Corp. (a)
Concurrent Computer Corp. (a) 3,000 53,625
Copper Mountain Networks, 3,900 339,056
Inc.
CopyTele, Inc. (a) 17,800 39,494
Crossroads Systems, Inc. 2,500 356,875
Cybex Corp. (a) 2,737 127,271
Data Race, Inc. (a) 6,800 26,775
Dataram Corp. (a) 1,800 34,650
Datawatch Corp. (a) 6,200 40,300
Diebold, Inc. 9,600 235,200
Digital Lightwave, Inc. (a) 2,200 183,150
Digital Origin, Inc. (a) 2,200 44,000
Digital River, Inc. (a) 1,000 36,000
Dot Hill Systems Corp. (a) 500 5,031
Drexler Technology Corp. (a) 100 1,519
Dunn Computer Corp. (a) 5,100 13,706
ECCS, Inc. (a) 3,000 52,500
Echelon Corp. (a) 3,000 243,375
Eltrax Systems, Inc. (a) 4,300 62,888
Emulex Corp. (a) 3,100 496,000
En Pointe Technologies, Inc. 1,300 57,200
(a)
Encad, Inc. (a) 400 2,575
Equinox Systems, Inc. (a) 3,050 27,641
Evans & Sutherland Computer 600 6,638
Corp. (a)
Exabyte Corp. (a) 3,900 31,200
Extended Systems, Inc. (a) 1,200 122,100
Extreme Networks, Inc. 4,600 511,750
FileNET Corp. (a) 3,800 162,688
Finisar Corp. 4,400 621,500
FOCUS Enhancements, Inc. (a) 5,600 34,825
FVC.com, Inc. (a) 400 7,750
Gadzoox Networks, Inc. 1,700 112,625
General Binding Corp. 400 2,700
Genicom Corp. (a) 100 239
Globix Corp. (a) 2,600 136,338
Hauppauge Digital, Inc. (a) 1,100 53,350
HMT Technology Corp. (a) 1,400 3,763
Hunt Corp. 300 2,906
Hutchinson Technology, Inc. 900 16,256
(a)
Identix, Inc. (a) 5,600 106,400
Inacom Corp. (a) 6,284 21,209
Ingram Micro, Inc. Class A (a) 11,100 120,019
Insight Enterprises, Inc. (a) 1,950 61,181
Intergraph Corp. (a) 5,100 30,600
Interlink Electronics, Inc. 900 77,513
(a)
Interphase Corp. (a) 1,900 43,581
Interspeed, Inc. 3,100 111,988
Intraware, Inc. 1,800 137,588
Iomega Corp. (a) 16,600 62,250
ION Networks, Inc. (a) 1,200 39,150
SHARES VALUE (NOTE 1)
Itron, Inc. (a) 500 $ 3,750
JNI Corp. 1,300 106,113
Juniper Networks, Inc. 14,800 4,059,825
Komag, Inc. (a) 8,400 18,638
Kronos, Inc. (a) 1,800 114,300
Manchester Equipment Co., 1,900 12,113
Inc. (a)
Miami Computer Supply Corp. 2,000 65,500
(a)
Micron Electronics, Inc. (a) 14,000 150,500
MICROS Systems, Inc. (a) 2,600 143,975
Micros-To-Mainframes, Inc. (a) 1,200 10,050
Microtouch Systems, Inc. (a) 100 1,350
Mitek Systems, Inc. (a) 3,600 40,050
MMC Networks, Inc. (a) 2,100 83,344
MRV Communications, Inc. (a) 2,300 360,669
MTI Technology Corp. (a) 1,800 94,388
Neoware Systems, Inc. (a) 900 4,725
Netopia, Inc. (a) 1,100 94,875
Network Computing Devices, 4,500 35,438
Inc. (a)
Oak Technology, Inc. (a) 6,348 115,851
ObjectSoft Corp. (a) 316 1,659
ODS Networks, Inc. (a) 3,800 76,475
Overland Data, Inc. (a) 900 9,956
Par Technology Corp. (a) 100 563
Paradyne Networks, Inc. 1,500 67,125
Performance Technologies, 2,500 50,781
Inc. (a)
Planar Systems, Inc. (a) 4,000 64,500
Pomeroy Computer Resources, 2,900 47,488
Inc. (a)
Printronix, Inc. (a) 100 1,838
Procom Technology, Inc. (a) 1,500 62,625
Proxim, Inc. (a) 800 114,800
PSC, Inc. (a) 200 1,000
Quantum Corp.:
- - DLT & Storage Systems Group 11,512 119,437
(a)
- - Hard Disk Drive Group (a) 4,906 38,635
RadiSys Corp. (a) 2,653 129,997
Read-Rite Corp. (a) 10,700 40,459
RSA Security, Inc. (a) 3,000 200,813
Safeguard Scientifics, Inc. 3,000 524,813
(a)
SanDisk Corp. (a) 5,500 489,500
SBS Technologies, Inc. (a) 1,600 87,100
Scan-Optics, Inc. (a) 300 675
ScanSoft, Inc. (a) 5,225 26,288
ScanSource, Inc. (a) 1,600 60,800
SCI Systems, Inc. (a) 12,200 491,050
SCM Microsystems, Inc. (a) 1,800 214,200
SED International Holdings, 100 300
Inc. (a)
SoftNet Systems, Inc. (a) 800 29,600
Splash Technology Holdings, 3,700 61,050
Inc. (a)
Storage Computer Corp. (a) 100 1,050
Symbol Technologies, Inc. 9,525 906,066
Syquest Technology, Inc. (a) 1,700 77
Take-Two Interactive 4,900 60,944
Software, Inc. (a)
Tech Data Corp. (a) 6,300 136,631
Telxon Corp. 2,000 43,000
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
TECHNOLOGY - CONTINUED
COMPUTERS & OFFICE EQUIPMENT
- - CONTINUED
The Sedona Corp. (a) 8,300 $ 33,200
Tidel Technologies, Inc. (a) 7,200 40,950
Transact Technologies, Inc. 100 825
(a)
Tricord Systems, Inc. (a) 4,800 67,200
Trident Microsystems, Inc. (a) 4,100 55,606
UniView Technologies Corp. (a) 6,700 32,872
UNOVA, Inc. (a) 3,800 43,938
Valence Technology, Inc. (a) 2,400 81,825
Vitech America, Inc. 110 694
Western Digital Corp. (a) 5,500 24,750
Zebra Technologies Corp. (a) 270 17,972
Zebra Technologies Corp. 4,200 279,563
Class A (a)
18,021,803
ELECTRONIC INSTRUMENTS - 1.7%
ADE Corp. (a) 1,400 33,688
Aeroflex, Inc. (a) 3,100 141,050
Aetrium, Inc. (a) 100 813
Agilent Technologies, Inc. 6,500 673,969
Anadigics, Inc. (a) 1,400 189,000
Analogic Corp. 1,200 58,200
APA Optics, Inc. (a) 1,600 80,400
Aurora Biosciences Corp. (a) 1,300 139,100
Barringer Technologies, Inc. 300 1,575
(a)
Beckman Coulter, Inc. 4,800 231,000
BTU International, Inc. (a) 100 1,500
Caliper Technologies Corp. 1,700 302,281
Catapult Communications Corp. 1,600 20,800
Cerprobe Corp. (a) 900 12,431
Cholestech Corp. (a) 100 850
Chromatics Color Sciences 1,050 6,891
International, Inc. (a)
Chromavision Medical Systems, 1,700 34,956
Inc. (a)
Cognex Corp. (a) 5,200 228,475
Cohu, Inc. 2,900 163,488
Credence Systems Corp. (a) 1,600 213,200
DBT Online, Inc. (a) 600 11,475
Electro Scientific 3,800 215,413
Industries, Inc. (a)
FARO Technologies, Inc. (a) 100 375
FEI Co. (a) 100 2,013
Fisher Scientific 2,500 108,750
International, Inc.
GenRad, Inc. (a) 1,100 16,225
Hathaway Corp. (a) 3,600 54,000
Helix Technology, Inc. 3,200 227,600
Hurco Companies, Inc. (a) 100 456
II-VI, Inc. (a) 2,000 68,750
Integral Vision, Inc. (a) 100 481
Isco, Inc. 100 475
Keithley Instruments, Inc. 1,500 87,656
Kollmorgen Corp. 100 1,288
Kulicke & Soffa Industries, 1,600 127,200
Inc. (a)
LAM Research Corp. (a) 3,400 530,825
SHARES VALUE (NOTE 1)
LeCroy Corp. (a) 500 $ 7,500
LTX Corp. (a) 2,900 122,344
Meade Instruments Corp. (a) 1,200 28,350
Measurement Specialties, Inc. 1,600 39,600
(a)
Mechanical Technology, Inc. 1,600 109,600
(a)
Mesa Laboratories, Inc. (a) 100 475
Metrika Systems Corp. (a) 100 863
Micro Component Technology, 4,300 39,775
Inc. (a)
Molecular Devices Corp. (a) 1,500 123,000
Nanometrics, Inc. (a) 1,500 57,375
NetOptix Corp. (a) 1,300 212,631
Newport Corp. 1,200 192,000
Novellus Systems, Inc. (a) 10,300 610,919
Photon Dynamics, Inc. (a) 1,300 84,500
PPT Vision, Inc. (a) 100 525
Precision Optics, Inc. (a) 1,700 61,413
Quad Systems Corp. (a) 100 244
Rudolph Technologies, Inc. 2,000 90,250
Sawtek, Inc. (a) 3,400 163,200
Schmitt Industries, Inc. (a) 100 344
Sensar Corp. (a) 1,000 38,938
Sequenom, Inc. 2,230 278,750
Silicon Valley Group, Inc. (a) 5,700 144,281
Stocker & Yale, Inc. (a) 1,100 35,475
Strategic Diagnostics, Inc. 4,000 31,750
(a)
Therma-Wave, Inc. 2,170 87,343
Thermedics Detection, Inc. (a) 100 775
Thermo Bioanalysis Corp. (a) 800 21,500
Thermo Instrument Systems, 7,900 126,894
Inc. (a)
Thermo Optek Corp. (a) 1,600 23,200
Thermoquest Corp. (a) 1,600 26,400
Trimble Navigation Ltd. (a) 3,600 86,400
Tripath Imaging, Inc. (a) 732 6,588
TSI, Inc. 100 1,456
Varian, Inc. (a) 4,100 163,488
Waters Corp. (a) 5,600 549,150
Wireless Telecom Group, Inc. 200 1,800
(a)
X-Rite, Inc. 700 8,400
Zygo Corp. (a) 1,300 47,613
7,611,758
ELECTRONICS - 9.8%
3Dfx Interactive, Inc. (a) 6,085 56,286
8X8, Inc. (a) 3,900 117,488
Act Manufacturing, Inc. (a) 1,150 44,419
Actel Corp. (a) 4,100 133,506
Advanced Energy Industries, 1,900 138,225
Inc. (a)
Align-Rite International, 1,100 35,613
Inc. (a)
Alliance Semiconductor Corp. 2,400 59,925
(a)
Alpine Group, Inc. (a) 500 4,938
Altera Corp. (a) 18,300 1,459,425
American Xtal Technology, 3,000 130,875
Inc. (a)
Amkor Technology, Inc. (a) 9,200 477,825
Amphenol Corp. Class A (a) 2,600 207,838
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
TECHNOLOGY - CONTINUED
ELECTRONICS - CONTINUED
Applied Micro Circuits Corp. 5,500 $ 1,512,844
(a)
Applied Science & Technology, 1,550 53,572
Inc. (a)
Arrow Electronics, Inc. (a) 12,400 375,100
Artesyn Technologies, Inc. (a) 6,300 124,819
Artisan Components, Inc. (a) 1,900 48,213
ASPEC Technology, Inc. (a) 5,000 25,000
AstroPower, Inc. (a) 2,600 72,800
Atmel Corp. (a) 18,000 891,000
Audiovox Corp. Class A (a) 3,000 194,109
Avnet, Inc. 5,738 383,729
AVX Corp. 9,700 615,950
Bel Fuse, Inc. Class A (a) 200 3,850
Bell Microproducts, Inc. (a) 4,400 59,675
Benchmark Electronics, Inc. 1,300 41,113
(a)
Blue Wave Systems, Inc. (a) 3,600 66,825
Brightpoint, Inc. (a) 2,700 34,763
Broadcom Corp. Class A (a) 9,800 1,934,275
Brocade Communications 4,900 1,416,713
Systems, Inc.
Burr-Brown Corp. (a) 6,700 393,206
C-Cube Microsystems, Inc. (a) 3,300 307,725
C.P. Clare Corp. (a) 2,300 21,131
California Micro Devices 2,900 64,706
Corp. (a)
Catalyst Semiconductor, Inc. 4,600 43,413
(a)
Celeritek, Inc. (a) 1,600 73,200
CFM Technologies, Inc. (a) 100 1,400
Cidco, Inc. (a) 5,600 31,500
Cirrus Logic, Inc. (a) 7,800 162,338
Conductus, Inc. (a) 2,000 134,000
Conolog Corp. (a) 5,600 33,775
Cree Research, Inc. (a) 2,800 526,050
CTS Corp. 2,100 135,450
Cypress Semiconductor Corp. 8,800 401,500
(a)
Dallas Semiconductor Corp. 8,000 323,000
Dense-Pac Microsystems, Inc 3,900 32,053
(a)
Digital Microwave Corp. (a) 5,230 174,551
DII Group, Inc. (a) 2,900 280,394
Diodes, Inc. (a) 1,200 30,450
E Tek Dynamics, Inc. (a) 6,300 1,721,475
EFTC Corp. (a) 1,500 3,563
Elantec Semiconductor, Inc. 1,600 100,700
(a)
Electroglas, Inc. (a) 3,200 124,000
EMS Technologies, Inc. (a) 100 2,450
ESS Technology, Inc. (a) 1,800 28,013
Esterline Technologies Corp. 500 5,563
(a)
Etec Systems, Inc. (a) 2,000 235,563
Exar Corp. (a) 2,600 180,537
Ezenia!, Inc. (a) 2,900 28,638
Fairchild Semiconduct 4,700 177,425
International, Inc. Class A
Gatefield Corp. (a) 30 164
General Semiconductor, Inc. 6,900 115,144
(a)
SHARES VALUE (NOTE 1)
Genus, Inc. (a) 4,700 $ 63,450
GlobeSpan, Inc. 5,100 385,050
Griffon Corp. (a) 1,000 8,375
Hadco Corp. (a) 1,100 60,913
Harmonic, Inc. (a) 2,500 342,344
Hi/fn, Inc. (a) 1,476 111,254
Illinois Superconductor Corp. 4,400 108,350
(a)
Inktomi Corp. (a) 10,000 1,371,250
Innotrac Corp. (a) 3,400 38,675
Innovex, Inc. 2,400 22,650
Integrated Device Technology, 7,237 266,864
Inc. (a)
Integrated Silicon Solution 3,600 100,125
(a)
International Rectifier Corp. 3,300 138,188
(a)
Intersil Holding Corp. 4,040 239,875
Intevac, Inc. (a) 100 600
Invision Technologies, Inc. 1,300 5,688
(a)
JDS Uniphase Corp. (a) 30,041 7,919,559
Katy Industries, Inc. 100 938
KEMET Corp. (a) 4,300 264,181
Kent Electronics Corp. (a) 1,000 33,875
Kopin Corp. (a) 2,400 177,900
Lattice Semiconductor Corp. 3,500 245,875
(a)
Linear Technology Corp. 15,800 1,658,013
Maker Communications, Inc. 1,600 103,400
Maxim Integrated Products, 25,500 1,703,719
Inc. (a)
Maxwell Technologies, Inc. (a) 3,400 56,950
MEMC Electronic Materials, 3,900 68,006
Inc. (a)
Merix Corp. (a) 2,500 50,000
Methode Electronics, Inc. 4,600 267,375
Class A
Micrel, Inc. (a) 4,700 541,675
Micro Linear Corp. (a) 4,700 35,250
Microchip Technology, Inc. (a) 5,900 368,381
Micronetics Wireless, Inc. (a) 2,700 87,244
Microsemi Corp. (a) 3,300 95,288
MIPS Technologies, Inc. (a) 1,800 105,300
NeoMagic Corp. (a) 3,500 18,922
NETsilicon, Inc. 1,600 54,600
Network Access Solutions 3,400 103,700
Corp.
NU Horizons Electronics Corp. 2,900 49,481
NVIDIA Corp. (a) 2,300 147,200
Opti, Inc. 3,000 15,000
Pacific Aerospace & 12,200 41,556
Electronics, Inc. (a)
Panda Project, Inc. (a) 100 49
Parlex Corp. (a) 1,600 57,600
Pericom Semiconductor Corp. 1,800 74,250
(a)
Photronics, Inc. (a) 3,800 161,738
Pioneer Standard Electronics, 4,700 86,363
Inc.
Plexus Corp. (a) 2,660 150,207
PLX Technology, Inc. 3,100 88,738
Power Integrations, Inc. (a) 1,600 83,100
Power-One, Inc. (a) 1,500 73,688
QLogic Corp. (a) 6,600 1,029,600
Quantum Effect Devices, Inc. 2,570 247,684
Rambus, Inc. (a) 2,000 603,250
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
TECHNOLOGY - CONTINUED
ELECTRONICS - CONTINUED
Ramtron International Corp. 3,960 $ 69,300
(a)
Reptron Electronics, Inc. (a) 100 969
Research Frontiers, Inc. (a) 2,400 83,850
RF Micro Devices, Inc. (a) 7,100 982,019
S3, Inc. (a) 4,268 68,021
Sage, Inc. 1,700 54,400
Sanmina Corp. (a) 5,072 593,741
SDL, Inc. (a) 3,300 1,353,000
Semtech Corp. (a) 2,200 137,500
Sheldahl, Inc. (a) 200 1,488
Sigma Designs, Inc. (a) 3,600 31,950
Silicon Image, Inc. 3,000 294,000
Silicon Storage Technology, 2,200 138,875
Inc. (a)
Siliconix, Inc. (a) 3,600 291,600
Sipex Corp. (a) 1,400 62,738
Spire Corp. (a) 100 750
Standard Microsystems Corp. 2,700 40,584
(a)
Sterling Commerce, Inc. (a) 7,286 319,218
Storage Technology Corp. (a) 5,600 71,400
Superconductor Technologies, 1,900 168,388
Inc. (a)
Supertex, Inc. (a) 100 2,606
Tech-Sym Corp. (a) 600 10,500
Tegal Corp. (a) 4,600 40,969
Telcom Semiconductor, Inc. (a) 2,400 53,100
Three-Five Systems, Inc. (a) 899 55,176
TII Industries, Inc. (a) 200 525
Transwitch Corp. (a) 3,025 355,438
Triquint Semiconductor, Inc. 3,100 368,125
Triumph Group, Inc. (a) 1,400 40,950
Unique Mobility, Inc. (a) 100 844
Universal Display Corp. (a) 2,700 52,819
Vari-L, Inc. (a) 1,700 45,794
View Tech, Inc. (a) 4,800 28,800
Virata Corp. 1,400 206,500
Vishay Intertechnology, Inc. 8,475 364,425
(a)
Vitesse Semiconductor Corp. 13,900 1,442,994
(a)
Voxware, Inc. (a) 7,500 28,828
White Electronic Designs 4,700 46,706
Corp. (a)
Woodhead Industries, Inc. 100 1,625
World Access, Inc. (a) 2,555 48,545
Xicor, Inc. (a) 3,300 80,850
Zoran Corp. (a) 700 35,700
44,822,706
PHOTOGRAPHIC EQUIPMENT - 0.1%
3D Systems Corp. (a) 500 5,828
Concord Camera Corp. (a) 2,200 83,050
Imation Corp. (a) 5,700 176,344
In Focus Systems, Inc. (a) 3,300 110,550
SHARES VALUE (NOTE 1)
Lanier Worldwide, Inc. (a) 15,900 $ 44,719
Panavision, Inc. (a) 205 1,486
421,977
TOTAL TECHNOLOGY 197,165,561
TRANSPORTATION - 1.1%
AIR TRANSPORTATION - 0.4%
800 Travel Systems, Inc. (a) 900 2,306
AHL Services, Inc. (a) 3,600 36,675
AirTran Holdings, Inc. (a) 11,500 47,078
Alaska Air Group, Inc. (a) 3,900 103,350
America West Holding Corp. 4,400 58,850
Class B (a)
Atlantic Coast Airlines 4,000 71,500
Holdings, Inc. (a)
Atlas Air, Inc. (a) 1,900 45,956
Cheap Tickets, Inc. 3,600 56,925
Continental Airlines, Inc. 8,800 278,300
Class B (a)
Cyber-Care, Inc. (a) 3,500 93,406
Frontier Airlines, Inc. (a) 4,800 53,400
GetThere.com, Inc. 2,400 60,150
Mercury Air Group, Inc. (a) 100 850
Mesa Air Group, Inc. (a) 9,500 56,406
Mesaba Holdings, Inc. (a) 2,600 29,737
Midway Airlines Corp. (a) 300 1,575
Midwest Express Holdings, 1,550 40,009
Inc. (a)
Navigant International, Inc. 3,600 36,000
(a)
Northwest Airlines Corp. 12,500 215,625
Class A (a)
Preview Travel, Inc. (a) 800 36,850
SkyWest, Inc. 4,800 142,500
Transportation World 6,600 16,088
Airlines, Inc. (a)
Travel Services 600 15,413
International, Inc. (a)
UAL Corp. (a) 6,700 326,625
World Airways, Inc. (a) 800 875
World Fuel Services Corp. 150 1,069
1,827,518
RAILROADS - 0.1%
ABC Rail Products Corp. (a) 100 1,256
Florida East Coast Industries 1,300 52,975
RailAmerica, Inc. (a) 9,500 71,250
Transportation Technologies 3,400 72,250
Industries, Inc. (a)
Trinity Industries, Inc. 6,900 152,663
Westinghouse Air Brake Co. 2,283 21,689
Wisconsin Central 9,800 121,275
Transportation Corp. (a)
493,358
SHIPPING - 0.1%
Alexander & Baldwin, Inc. 6,800 139,188
Gulfmark Offshore, Inc. (a) 100 1,331
International Shipholding 100 956
Corp.
Kirby Corp. (a) 1,175 22,766
Marine Transport Corp. (a) 30 90
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
TRANSPORTATION - CONTINUED
SHIPPING - CONTINUED
OMI Corp. (a) 300 $ 1,144
Trico Marine Services, Inc. 3,200 18,700
(a)
184,175
TRUCKING & FREIGHT - 0.5%
Airborne Freight Corp. 2,100 38,850
AirNet Systems, Inc. (a) 400 2,050
American Freightways Corp. (a) 4,800 52,200
Arkansas Best Corp. (a) 3,300 31,144
Arnold Industries, Inc. 800 9,450
Asche Transportation 100 194
Services, Inc. (a)
C. H. Robinson Worldwide, 5,600 285,600
Inc.
Carey International, Inc. (a) 400 6,700
Celadon Group, Inc. (a) 700 9,800
Circle International Group, 3,900 95,306
Inc.
CNF Transportation, Inc. 3,100 99,394
Consolidated Freightways 3,100 20,538
Corp. (a)
Covenant Transport, Inc. 600 6,900
Class A (a)
Dynamex, Inc. (a) 1,500 3,281
EGL, Inc. (a) 3,100 87,188
Expeditors International of 4,600 173,650
Washington, Inc.
Forward Air Corp. (a) 3,000 69,000
Fritz Companies, Inc. (a) 1,100 9,213
Frozen Food Express 100 381
Industries, Inc.
Heartland Express, Inc. (a) 900 12,853
Hub Group, Inc. Class A (a) 200 3,575
J.B. Hunt Transport Services, 1,100 12,650
Inc.
Knights Transportation, Inc. 2,150 35,206
(a)
Landstar System, Inc. (a) 2,000 112,375
M.S. Carriers, Inc. (a) 400 8,850
Old Dominion Freight Lines, 100 1,225
Inc. (a)
Roadway Express, Inc. 2,200 45,375
Rollins Truck Leasing Corp. 1,750 14,656
Simon Transportation 3,300 16,088
Services, Inc. Class A (a)
Swift Transportation Co., 6,850 101,466
Inc. (a)
Trailer Bridge, Inc. (a) 100 138
Transit Group, Inc. (a) 100 200
United Parcel Service, Inc. 12,300 671,888
Class B
United Shipping & Technology, 2,400 42,450
Inc. (a)
US Xpress Enterprises, Inc. 2,100 14,700
(a)
USA Truck, Inc. (a) 100 800
USFreightways Corp. 4,600 152,950
Werner Enterprises, Inc. 1,475 19,728
XTRA Corp. (a) 600 23,888
Yellow Corp. (a) 5,600 89,600
2,381,500
TOTAL TRANSPORTATION 4,886,551
SHARES VALUE (NOTE 1)
UTILITIES - 9.0%
CELLULAR - 1.7%
Advanced Radio Telecom Corp. 1,400 $ 53,550
(a)
Aerial Communications, Inc. 2,500 149,844
(a)
AirGate PCS, Inc. 1,800 176,400
Alamosa PCS Holdings, Inc. 5,870 212,788
American Mobile Satellite 3,200 92,800
Corp. (a)
Aquis Communication Group, 7,300 42,431
Inc. (a)
Arch Communications Group, 8,533 118,395
Inc. (a)
Arch Communications Group, 172 409
Inc. warrants 9/1/03 (a)
Boston Communications Group, 3,900 42,169
Inc. (a)
Cellnet Data Systems, Inc. (a) 6,800 9,775
Centennial Cellular Corp. (a) 6,100 148,116
CoreComm Ltd. (a) 1,125 44,719
Crown Castle International 12,400 399,900
Corp. (a)
Dobson Communications Corp. 2,620 49,780
Class A
General Communications, Inc. 9,400 62,275
Class A (a)
LCC International, Inc. (a) 1,900 53,081
Leap Wireless International, 1,550 135,916
Inc. (a)
Lightbridge, Inc. (a) 2,200 51,975
Metrocall, Inc. (a) 8,400 99,225
Nextel Partners, Inc. 15,760 504,320
Omnipoint Corp. (a) 4,900 577,105
Paging Network, Inc. (a) 19,200 55,800
Powertel, Inc. (a) 3,500 327,688
Price Communications Corp. 8,215 196,133
Rural Cellular Corp. Class A 1,600 88,400
(a)
SBA Communications Corp. 3,800 153,900
SpectraLink Corp. (a) 3,600 104,850
TeleCorp PCS, Inc. 6,600 303,188
Telephone & Data Systems, 7,000 738,500
Inc.
Tritel, Inc. Class A 6,600 209,550
Triton PCS Holdings, Inc. 3,400 204,000
Class A
United States Cellular Corp. 9,900 662,681
(a)
USCI, Inc. (a) 100 37
VoiceStream Wireless Corp. (a) 8,900 1,184,256
WebLink Wireless, Inc. Class 5,700 102,600
A (a)
Western Wireless Corp. Class A 5,200 252,200
7,608,756
ELECTRIC UTILITY - 1.8%
Allegheny Energy, Inc. 13,900 360,531
Alliant Energy Corp. 10,539 296,409
Avista Corp. 3,200 96,200
Bangor Hydro-Electric Co. 200 3,050
Black Hills Corp. 650 14,300
Calpine Corp. (a) 5,100 466,650
Central Vermont Public 300 3,113
Service Corp.
CH Energy Group, Inc. 500 14,281
Citizens Utilities Co. Class 31,566 481,382
B (a)
Cleco Corp. 700 22,400
CMP Group, Inc. 2,100 59,325
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
UTILITIES - CONTINUED
ELECTRIC UTILITY - CONTINUED
Conectiv, Inc. 16,700 $ 237,975
DPL, Inc. 12,900 277,350
DQE, Inc. 9,900 460,350
Eastern Utilities Associates 1,100 34,169
El Paso Electric Co. (a) 2,000 19,125
Empire District Electric Co. 500 10,406
Energy East Corp. 15,161 318,381
Hawaiian Electric Industries, 7,200 207,450
Inc.
IDACORP, Inc. 6,900 219,938
IPALCO Enterprises, Inc. 2,800 47,425
Kansas City Power & Light Co. 3,900 89,700
LG&E Energy Corp. 20,302 450,451
Madison Gas & Electric Co. 500 8,688
MidAmerican Energy Holdings, 8,000 277,000
Inc.
Minnesota Power, Inc. 5,500 84,219
Montana Power Co. 12,500 492,188
New England Electric System 6,500 351,000
(NEES)
NiSource, Inc. 16,000 207,000
Northeast Utilities 11,400 214,463
Northwestern Corp. 800 18,100
NSTAR Companies 3,124 127,889
OGE Energy Corp. 5,700 97,969
Otter Tail Power Co. 100 3,700
Potomac Electric Power Co. 17,100 347,344
Public Service Co. of New 9,600 147,600
Mexico
Puget Sound Power & Light Co. 12,500 253,906
RGS Energy Group, Inc. 7,000 137,813
SCANA Corp. 9,735 231,815
Sierra Pacific Resources 8,854 120,636
SIGCORP, Inc. 800 17,300
TECO Energy, Inc. 16,200 291,600
Thermo Ecotek Corp. (a) 1,100 6,875
TNP Enterprises, Inc. 500 21,594
Unisource Energy Corp. 1,000 13,500
United Illuminating Co. 600 24,375
Utilicorp United, Inc. 12,550 205,506
Wisconsin Energy Corp. 17,600 311,300
WPS Resources Corp. 800 18,850
8,222,591
GAS - 0.8%
AGL Resources, Inc. 12,200 208,163
Atmos Energy Corp. 1,000 17,125
Berkshire Energy Resources 1,200 42,600
Cascade Natural Gas Corp. 100 1,444
Contour Energy Co. (a) 500 380
CTG Resources, Inc. 200 7,400
Dynegy, Inc. Class A 16,052 752,437
Energen Corp. 900 14,625
Equitable Resources, Inc. 5,400 203,850
Indiana Energy, Inc. 766 12,495
KeySpan Corp. 16,460 335,373
SHARES VALUE (NOTE 1)
Kinder Morgan, Inc. 13,350 $ 372,131
Laclede Gas Co. 500 10,000
MCN Energy Group, Inc. 12,600 303,188
MDU Resources Group, Inc. 3,150 60,047
Midcoast Energy Resources, 1,300 20,475
Inc.
Mitchell Energy & Development 1,700 36,763
Corp. Class A
National Fuel Gas Co. 6,200 253,813
New Jersey Resources Corp. 900 33,413
Northwest Natural Gas Co. 5,000 97,500
NUI Corp. 100 2,375
Piedmont Natural Gas Co., 2,300 56,925
Inc.
Providence Energy Corp. 1,300 47,856
Questar Corp. 13,100 182,581
SEMCO Energy, Inc. 105 1,260
South Jersey Industries, Inc. 300 8,775
Southern Union Co. 1,437 22,094
Southwest Gas Corp. 3,100 57,350
Southwestern Energy Co. 800 5,600
UGI Corp. 2,600 48,750
Washington Gas Light Co. 7,300 174,288
Western Resources, Inc. 11,400 175,988
WICOR, Inc. 2,800 84,175
Yankee Energy System, Inc. 900 39,600
3,690,839
TELEPHONE SERVICES - 4.6%
Adelphia Business Solution, 2,700 138,713
Inc. Class A (a)
Alaska Communication Systems 4,300 60,200
Group, Inc.
Allegiance Telecom, Inc. (a) 10,050 993,694
Allied Riser Communications 3,600 93,600
Corp.
Atlantic Tele-Network, Inc. 140 1,593
BroadWing, Inc. 23,156 687,444
Caprock Communications Corp. 4,300 189,469
(a)
Carrier1 International SA ADR 20,130 652,967
CFW Communications Co. 1,800 77,400
Choice One Communications, 2,970 178,200
Inc.
Commonwealth Telephone 3,100 135,238
Enterprises, Inc. (a)
COMSAT Corp. Series 1 2,067 34,751
Cypress Communications, Inc. 4,550 106,072
Deltathree.com, Inc. 1,700 71,188
e.spire Communications, Inc. 4,600 57,500
(a)
eLECTRIC Communications Corp. 4,800 19,500
(a)
FirstCom Corp. (a) 3,400 125,588
Flag Telecom Holdings Ltd. 13,120 375,560
Focal Communications Corp. 4,700 248,219
Global TeleSystems Group, 15,300 382,500
Inc. (a)
GST Telecommunications, Inc. 5,100 37,294
(a)
I-Link Corp. (a) 5,900 51,625
iBasis, Inc. 2,700 217,350
ICG Communications, Inc. (a) 3,600 112,950
Illuminet Holdings, Inc. 1,800 133,200
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
UTILITIES - CONTINUED
TELEPHONE SERVICES - CONTINUED
Intermedia Communications, 4,100 $ 259,581
Inc. (a)
ITC DeltaCom, Inc. (a) 7,400 280,738
ITXC Corp. 3,300 270,600
IXnet, Inc. 5,800 308,850
Level 3 Communications, Inc. 33,900 3,860,363
(a)
Mastech Corp. (a) 5,700 188,813
McLeodUSA, Inc. Class A (a) 15,900 1,399,200
Metromedia Fiber Network, 18,592 1,336,591
Inc. Class A (a)
MGC Communications, Inc. (a) 1,700 117,300
Net2Phone, Inc. 2,600 150,475
Network Plus Corp. 6,900 266,081
NEXTLINK Communications, Inc. 6,700 738,256
Class A (a)
North Pittsburgh Systems, 100 1,263
Inc.
NorthEast Optic Network, Inc. 2,000 224,500
(a)
Pac-West Telecomm, Inc. 5,120 179,200
Pacific Gateway Exchange, 3,600 72,900
Inc. (a)
PNV, Inc. 1,000 4,125
Primus Telecommunications 4,561 200,114
Group, Inc. (a)
Qwest Communications 74,520 3,455,865
International, Inc. (a)
RCN Corp. (a) 7,300 437,088
Rhythms NetConnections, Inc. 6,300 224,831
Source Media, Inc. (a) 2,800 41,650
Splitrock Services, Inc. 5,800 271,150
STAR Telecommunications, Inc. 5,815 34,890
(a)
Startec Global Communications 1,600 42,400
Corp. (a)
TALK.com, Inc. (a) 9,500 160,313
Teligent, Inc. Class A (a) 1,100 90,338
Time Warner Telecom, Inc. 3,000 231,000
U.S. LEC Corp. Class A (a) 1,800 78,300
Ursus Telecom Corp. (a) 2,400 42,450
USN Communications, Inc. (a) 700 28
Viatel, Inc. (a) 2,590 145,849
West Teleservices Corp. (a) 3,600 71,100
Williams Communications 4,800 213,600
Group, Inc.
WinStar Communications, Inc. 4,600 355,925
(a)
WorldPort Communications, 11,100 30,525
Inc. (a)
WorldQuest Networks, Inc. 560 19,040
Z-Tel Technologies, Inc. 2,900 102,588
21,089,695
WATER - 0.1%
American States Water Co. 200 5,388
American Water Works, Inc. 15,200 304,000
Azurix Corp. 19,100 143,250
E Town Corp. 1,300 83,769
SHARES VALUE (NOTE 1)
Philadelphia Suburban Corp. 1,276 $ 23,606
United Water Resources, Inc. 2,500 87,031
647,044
TOTAL UTILITIES 41,258,925
TOTAL COMMON STOCKS 445,538,584
(Cost $361,126,406)
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 2,403
$1.875
Prime Retail, Inc. Series B, 60 484
$2.13
2,887
DURABLES - 0.0%
AUTOS, TIRES, & ACCESSORIES -
0.0%
Automatic Common Exchangeable 500 3,781
Securities Trust II
(Republic Industries, Inc.)
$1.55 TRACES
TOTAL CONVERTIBLE PREFERRED 6,668
STOCKS
NONCONVERTIBLE PREFERRED
STOCKS - 0.0%
CONSTRUCTION & REAL ESTATE -
0.0%
REAL ESTATE INVESTMENT TRUSTS
- - 0.0%
Price Enterprises, Inc. 900 12,600
Series A $1.40
HEALTH - 0.0%
MEDICAL EQUIPMENT & SUPPLIES
- - 0.0%
Mediq, Inc. Series A, $1.30 7 2
(a)
TOTAL NONCONVERTIBLE 12,602
PREFERRED STOCKS
TOTAL PREFERRED STOCKS 19,270
(Cost $24,521)
<TABLE>
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CORPORATE BONDS - 0.0%
MOODY'S RATINGS (UNAUDITED) PRINCIPAL AMOUNT
CONVERTIBLE BONDS - 0.0%
CONSTRUCTION & REAL ESTATE -
0.0%
REAL ESTATE - 0.0%
Excel Legacy Corp. 9% 11/4/04 - $ 2,000 1,764
CORPORATE BONDS - CONTINUED
MOODY'S RATINGS (UNAUDITED) PRINCIPAL AMOUNT VALUE (NOTE 1)
NONCONVERTIBLE BONDS - 0.0%
CONSTRUCTION & REAL ESTATE -
0.0%
REAL ESTATE - 0.0%
Excel Legacy Corp. 10% - $ 1,000 $ 882
11/4/04
TOTAL CORPORATE BONDS 2,646
(Cost $2,646)
U.S. TREASURY OBLIGATIONS -
3.2%
U.S. Treasury Bills, yield - 14,665,000 14,507,613
at date of purchase 5.31%
to 5.68% 3/23/00 to 5/25/00
(c) (Cost $14,504,995)
CASH EQUIVALENTS - 18.7%
SHARES
Bankers Trust Institutional 85,883,361 85,883,361
Daily Asset Fund, 5.9247%
(b) (Cost $85,883,361)
TOTAL INVESTMENT PORTFOLIO - 545,951,474
119.0%
(Cost $461,541,929)
NET OTHER ASSETS - (19.0)% (87,169,858)
NET ASSETS - 100% $ 458,781,616
</TABLE>
<TABLE>
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FUTURES CONTRACTS
EXPIRATION DATE UNDERLYING FACE AMOUNT AT VALUE UNREALIZED GAIN/(LOSS)
PURCHASED
27 Russell 2000 Index Contracts March 2000 $ 7,826,625 $ 424,213
16 S&P 400 Midcap Index March 2000 3,721,200 175,354
Contracts
$ 11,547,825 $ 599,567
</TABLE>
THE FACE VALUE OF FUTURES PURCHASED AS A PERCENTAGE OF NET ASSETS -
2.5%
SECURITY TYPE ABBREVIATIONS
TRACES - Trust Automatic Common
Exchange Securities
LEGEND
(a) Non-income producing
(b) The rate quoted is the annualized seven-day 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 $1,480,276.
(d) Restricted securities - Investment in securities not registered
under the Securities Act of 1933.
Additional information on each holding is as follows:
SECURITY ACQUISITION DATE ACQUISITION COST
Calton, Inc. 2/17/00 $ 56,166
OTHER INFORMATION
Purchases and sales of securities, other than short-term securities,
aggregated $340,242,540 and $52,714,355, respectively.
The market value of futures contracts opened and closed during the
period amounted to $336,770,911 and $327,389,867, 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 $11,690 for the period.
The fund invested in securities that are not registered under the
Securities Act of 1933. These securities are subject to legal or
contractual restrictions on resale. At the end of the period,
restricted securities (excluding Rule 144A issues) amounted to $49,400
or 0% of net assets.
The fund participated in the security lending program. At period end,
the value of securities loaned amounted to $86,551,257. The fund
received cash collateral of $85,883,361 which was invested in the
Bankers Trust Institutional Daily Asset Fund. The fund also received
non-cash collateral of $397,912 which represents U.S. Treasury
obligations.
INCOME TAX INFORMATION
At February 29, 2000, the aggregate cost of investment securities for
income tax purposes was $463,207,687. Net unrealized appreciation
aggregated $82,743,787, of which $126,436,077 related to appreciated
investment securities and $43,692,290 related to depreciated
investment securities.
The fund hereby designates approximately $2,176,000 as a capital gain
dividend for the purpose of the dividend paid deduction.
A total of 17% of the dividends distributed during the fiscal year
qualifies for the dividends-received deductions for corporate
shareholders (unaudited).
A total of 9.44% of the dividends distributed during the fiscal year
was derived from interest on U.S. Government securities which is
generally exempt from state income tax (unaudited).
The fund will notify shareholders in January 2001 of the applicable
percentages for use in preparing 2000 income tax returns.
SPARTAN EXTENDED MARKET INDEX FUND
FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
FEBRUARY 29, 2000
ASSETS
Investment in securities, at $ 545,951,474
value (cost $461,541,929) -
See accompanying schedule
Receivable for investments 159,902
sold
Receivable for fund shares 7,839,110
sold
Dividends receivable 160,778
Redemption fees receivable 1,624
Receivable for daily 660,409
variation on futures
contracts
Other receivables 60,593
Receivable from investment 11,191
adviser for expense
reductions
TOTAL ASSETS 554,845,081
LIABILITIES
Payable to custodian bank $ 6,322
Payable for investments 9,673,402
purchased
Payable for fund shares 353,048
redeemed
Other payables and accrued 147,332
expenses
Collateral on securities 85,883,361
loaned, at value
TOTAL LIABILITIES 96,063,465
NET ASSETS $ 458,781,616
Net Assets consist of:
Paid in capital $ 365,388,612
Undistributed net investment 615,835
income
Accumulated undistributed net 7,768,057
realized gain (loss) on
investments and foreign
currency transactions
Net unrealized appreciation 85,009,112
(depreciation) on investments
NET ASSETS, for 11,916,351 $ 458,781,616
shares outstanding
NET ASSET VALUE, offering $38.50
price and redemption price
per share ($458,781,616
(divided by) 11,916,351
shares)
STATEMENT OF OPERATIONS
YEAR ENDED FEBRUARY 29, 2000
INVESTMENT INCOME $ 1,556,705
Dividends
Interest 617,765
Security lending 228,673
TOTAL INCOME 2,403,143
EXPENSES
Management fee and $ 416,635
sub-advisory fees
Transfer agent fees 218,560
Accounting fees 78,130
Non-interested trustees' 392
compensation
Registration fees 140,453
Audit 24,050
Legal 677
Miscellaneous 242
Total expenses before 879,139
reductions
Expense reductions (448,263) 430,876
NET INVESTMENT INCOME 1,972,267
REALIZED AND UNREALIZED GAIN
(LOSS)
Net realized gain (loss) on:
Investment securities 10,398,868
Foreign currency transactions 3
Futures contracts 28,110 10,426,981
Change in net unrealized
appreciation (depreciation)
on:
Investment securities 86,562,890
Futures contracts 594,296 87,157,186
NET GAIN (LOSS) 97,584,167
NET INCREASE (DECREASE) IN $ 99,556,434
NET ASSETS RESULTING FROM
OPERATIONS
<TABLE>
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STATEMENT OF CHANGES IN NET ASSETS
INCREASE (DECREASE) IN NET YEAR ENDED FEBRUARY 29, 2000 YEAR ENDED FEBRUARY 28, 1999
ASSETS
Operations Net investment $ 1,972,267 $ 615,135
income
Net realized gain (loss) 10,426,981 3,074,918
Change in net unrealized 87,157,186 (3,771,841)
appreciation (depreciation)
NET INCREASE (DECREASE) IN 99,556,434 (81,788)
NET ASSETS RESULTING FROM
OPERATIONS
Distributions to shareholders (1,479,202) (480,843)
From net investment income
From net realized gain (4,334,759) (1,053,874)
TOTAL DISTRIBUTIONS (5,813,961) (1,534,717)
Share transactions Net 351,204,809 60,271,075
proceeds from sales of shares
Reinvestment of distributions 5,500,037 1,464,744
Cost of shares redeemed (54,328,544) (33,355,405)
NET INCREASE (DECREASE) IN 302,376,302 28,380,414
NET ASSETS RESULTING FROM
SHARE TRANSACTIONS
Trading fees 188,143 456,042
TOTAL INCREASE (DECREASE) 396,306,918 27,219,951
IN NET ASSETS
NET ASSETS
Beginning of period 62,474,698 35,254,747
End of period (including $ 458,781,616 $ 62,474,698
undistributed net investment
income of $615,835 and
$177,510, respectively)
OTHER INFORMATION
Shares
Sold 11,106,135 2,346,010
Issued in reinvestment of 186,148 57,682
distributions
Redeemed (1,809,769) (1,287,002)
Net increase (decrease) 9,482,514 1,116,690
</TABLE>
FINANCIAL HIGHLIGHTS
YEARS ENDED FEBRUARY 28, 2000 G 1999 1998 E
SELECTED PER-SHARE DATA
Net asset value, beginning of $ 25.67 $ 26.77 $ 25.00
period
Income from Investment
Operations
Net investment income D .37 .32 .11
Net realized and unrealized 13.78 (.92) 1.43
gain (loss)
Total from investment 14.15 (.60) 1.54
operations
Less Distributions
From net investment income (.24) (.22) (.07)
From net realized gain (1.12) (.52) -
Total distributions (1.36) (.74) (.07)
Trading fees added to paid in .04 .24 .30
capital
Net asset value, end of period $ 38.50 $ 25.67 $ 26.77
TOTAL RETURN B, C 57.35% (1.33)% 7.39%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period $ 458,782 $ 62,475 $ 35,255
(000 omitted)
Ratio of expenses to average .27% F .31% F .26% A, F
net assets
Ratio of net investment 1.24% 1.25% 1.44% A
income to average net assets
Portfolio turnover rate 33% 29% 40% A
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.
G FOR THE YEAR ENDED FEBRUARY 29
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 FEBRUARY 29, PAST 1 YEAR LIFE OF FUND
2000
SPARTAN INTERNATIONAL INDEX 27.08% 50.10%
MSCI EAFE(registered trademark) 25.70% 45.39%
International Funds Average 44.18% n/a
CUMULATIVE TOTAL RETURNS show the fund's performance in percentage
terms over a set period - in this case, 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. As of February 29, 2000, the index included over 963 equity
securities of companies domiciled in 20 countries. 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
one year average represents a peer group of 636 mutual funds. These
benchmarks include reinvested dividends and capital gains, if any, and
exclude the effect of sales charges.
AVERAGE ANNUAL TOTAL RETURNS
PERIODS ENDED FEBRUARY 29, PAST 1 YEAR LIFE OF FUND
2000
SPARTAN INTERNATIONAL INDEX 27.08% 19.15%
MSCI EAFE 25.70% 17.52%
International Funds Average 44.18% 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
1999/09/30 13258.09 12913.82
1999/10/31 13774.31 13399.64
1999/11/30 14253.67 13867.28
1999/12/31 15594.07 15113.95
2000/01/31 14513.63 14155.73
2000/02/29 15010.38 14539.21
IMATRL PRASUN SHR__CHT 20000229 20000323 104309 R00000000000031
$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 February 29, 2000, the value
of the investment would have been $15,010 - a 50.10% increase on the
initial investment. For comparison, look at how the 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 $14,539 -
a 45.39% 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 MANAGER'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 12 months that ended February 29, 2000, the fund returned
27.08% (figure does not include the purchase fee, which was
discontinued on April 28, 1999). During this same time frame, the
Morgan Stanley Capital International Europe, Australasia and Far East
(MSCI EAFE) Index returned 25.70%. The international funds average
tracked by Lipper Inc. returned 44.18% for the same 12-month period.
Q. HOW WOULD YOU DESCRIBE THE INVESTMENT CLIMATE OVERSEAS DURING THE
PAST 12 MONTHS?
A. Not unlike what transpired in the U.S. during the period, market
performance overseas was highly polarized with technology, media,
telecommunications and select biotechnology stocks rising and most
other sectors declining. Overall, the performance disparity between
growth stocks and value stocks widened significantly over the course
of the period. New economy stocks, also known as "New Japan" stocks,
led the way in that nation - a major component of the index - with top
holdings Sony, Fujitsu and Softbank - an Internet venture-
capital firm - each contributing appreciably to performance. Japan
continued to forge ahead with its economic recovery, as corporate
restructuring remained a key theme in the stock market. The theme was
similar in Europe and the United Kingdom, each beneficiaries of
markedly improved economies, the continued emergence of the Internet
and the worldwide wireless communications boom.
Q. WHAT FUELED THE MSCI EAFE INDEX'S ADVANCES?
A. Finland and Sweden were the top contributors behind the strength of
wireless leaders Nokia and Ericsson, respectively. Heavy global demand
for cellular phones and bullish expectations for the release of
Internet-enabled handsets and other Web appliances spurred the rally
in these stocks. Traditional telephone companies also were big winners
on the wireless front. Over the past 12 months, industry consolidation
activity in the sector abounded, as companies sought to defend their
market share at home and expand beyond their borders through merger,
acquisition or strategic alliance. Take the fund's largest holding,
Vodafone AirTouch - one of the period's best stocks - as an example.
The company benefited from its strong presence in the U.K. market, as
well as from its announcement that it would merge its mobile
communications business with U.S.-based Bell Atlantic. Vodafone, in an
effort to expand its wireless reach, later launched a hostile takeover
bid for Germany's top wireless service provider, Mannesmann.
Mannesmann's shares rose sharply as Vodafone sweetened its initial
offer, which boosted fund returns.
Q. WHAT FACTORS DRAGGED ON FUND PERFORMANCE?
A. Financial stocks in the U.K. and Europe wilted in response to
concerns about rising interest rates. Banks and insurers were the
hardest hit, with Lloyds and Aegon experiencing precipitous declines
during the period. European health care stocks also suffered, as
investors worried that upcoming elections in the U.S. and Japan would
increase the risk of government intervention into the delivery and
pricing of drugs and medical services. AstraZeneca and Glaxo Wellcome
were notable laggards here. The situation wasn't much better among the
fund's holdings in consumer nondurables. Food, beverage, tobacco and
household product companies with global operations stumbled on
disappointing sales related to weakness in emerging markets. Consumers
also were slow to spend in some of the developed markets, such as
Japan, where economic recovery was unsteady. Anglo-Dutch household
products firm Unilever is an example of a stock that was hurt by
slackened consumer demand.
Q. WHAT'S YOUR OUTLOOK?
A. Not surprisingly, our outlook for smaller- and medium-sized
companies, or those leading the tech and telecom bonanza, remains
particularly bullish. European markets are the most attractive on a
global scale, as economic recovery continues to take hold, supported
in large part by structural reforms in Germany and Italy, low interest
rates, a weak euro and widespread merger and acquisition activity.
There is growing concern that market volatility could escalate later
in the year, as interest rates appear poised to rise. In Japan,
economic recovery remains fragile. Although corporate restructuring
may limit growth there in the short term, it remains an essential
ingredient in the sustainability of its longer-term recovery.
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 A-2.
(checkmark)FUND FACTS
GOAL: seeks to provide investment results
that correspond to the total return of foreign
stock markets
FUND NUMBER: 399
TRADING SYMBOL: FSIIX
START DATE: November 5, 1997
SIZE: as of February 29, 2000, more than
$254 million
SUB-ADVISER: Bankers Trust, since inception
SPARTAN INTERNATIONAL INDEX FUND
INVESTMENT CHANGES
<TABLE>
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TOP TEN STOCKS AS OF FEBRUARY
29, 2000
% OF FUND'S NET ASSETS % OF FUND'S NET ASSETS 6
MONTHS AGO
Vodafone AirTouch PLC 3.0 0.8
(United Kingdom, Cellular)
Nokia AB (Finland, 2.4 1.3
Communications Equipment)
Deutsche Telekom AG 2.0 1.1
(Germany, Telephone Services)
Telefonaktiebolaget LM 1.9 0.8
Ericsson (B Shares)
(Sweden, Communications
Equipment)
Nippon Telegraph & Telephone 1.6 1.6
Corp. (Japan, Telephone
Services)
France Telecom SA (France, 1.5 0.7
Telephone Services)
Softbank Corp. (Japan, 1.4 0.2
Computers & Office Equipment)
BP Amoco PLC (United Kingdom, 1.4 1.5
Oil & Gas)
Toyota Motor Corp. (Japan, 1.4 1.4
Autos, Tires, & Accessories)
Sony Corp. (Japan, Consumer 1.3 0.6
Electronics)
17.9 10.0
TOP TEN MARKET SECTORS AS OF
FEBRUARY 29, 2000
% OF FUND'S NET ASSETS % OF FUND'S NET ASSETS 6
MONTHS AGO
UTILITIES 17.4 13.3
FINANCE 16.0 19.8
TECHNOLOGY 13.1 6.1
DURABLES 5.9 6.0
HEALTH 6.0 7.3
INDUSTRIAL MACHINERY & 4.8 4.9
EQUIPMENT
ENERGY 4.0 5.1
NONDURABLES 3.9 5.1
BASIC INDUSTRIES 3.3 3.7
MEDIA & LEISURE 3.2 2.4
</TABLE>
GEOGRAPHIC DIVERSIFICATION (% OF NET ASSETS)
AS OF FEBRUARY 29, 2000
Finland 3.3%
France 10.4%
United Kingdom 19.1%
Germany 10.2%
Switzerland 5.0%
Sweden 3.4%
Italy 4.7%
Other 12.0%
Japan 26.4%
Netherlands 5.5%
Row: 1, Col: 1, Value: 3.3
Row: 1, Col: 2, Value: 10.4
Row: 1, Col: 3, Value: 10.2
Row: 1, Col: 4, Value: 4.7
Row: 1, Col: 5, Value: 26.4
Row: 1, Col: 6, Value: 5.5
Row: 1, Col: 7, Value: 12.0
Row: 1, Col: 8, Value: 3.4
Row: 1, Col: 9, Value: 5.0
Row: 1, Col: 10, Value: 19.1
PERCENTAGES ARE ADJUSTED FOR THE EFFECT OF FUTURES CONTRACTS, IF
APPLICABLE.
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.
SPARTAN INTERNATIONAL INDEX FUND
INVESTMENTS FEBRUARY 29, 2000
Showing Percentage of Net Assets
COMMON STOCKS - 86.4%
SHARES VALUE (NOTE 1)
AUSTRALIA - 1.5%
Amcor Ltd. 13,433 $ 49,862
AMP Ltd. 21,303 194,932
Australian Gas Light Co. 7,833 39,009
Boral Ltd. New 14,665 21,139
Brambles Industries Ltd. 4,308 109,004
British American Tobacco 1,051 7,867
Australasia Ltd.
Coca-Cola Amatil Ltd. 22,265 44,491
Coles Myer Ltd. 22,055 93,054
Colonial Ltd. 18,680 71,418
CSL Ltd. 3,144 42,402
CSR Ltd. 22,664 49,775
Fosters Brewing Group Ltd. 33,584 88,883
Futuris Corp. Ltd. 4,251 4,418
General Property Trust 34,151 54,086
Goodman Fielder Ltd. 5,441 3,938
Howard Smith Ltd. 518 2,644
James Hardie Industries Ltd. 1,000 2,258
Lend Lease Corp. Ltd. 9,459 125,229
M.I.M. Holdings Ltd. 43,516 27,729
National Australia Bank Ltd. 27,586 365,214
News Corp. Ltd. 37,631 552,537
Normandy Mining Ltd. 42,725 22,996
North Ltd. 12,879 21,911
Orica Ltd. 4,277 17,622
Origin Energy Ltd. 14,665 11,332
Pacific Dunlop Ltd. 10,198 10,157
Pioneer International Ltd. 18,245 48,987
QBE Insurance Group Ltd. 8,158 37,347
Rio Tinto Ltd. 5,485 79,064
Santos Ltd. 12,674 30,030
Southcorp Holdings Ltd. 14,025 38,350
Tabcorp Holdings Ltd. 8,132 48,799
Telstra Corp. Ltd. 144,454 682,939
The Broken Hill Proprietary 32,908 327,610
Co. Ltd.
Wesfarmers Ltd. 5,693 43,651
Westfield Trust:
Unit 32,412 61,759
Unit 1,232 2,361
Westpac Banking Corp. 36,135 232,491
WMC Ltd. 21,641 81,936
Woolworths Ltd. 22,636 69,879
3,819,110
AUSTRIA - 0.2%
Austria Tabak AG 690 27,559
Bank Austria AG 2,719 118,567
Boehler-Uddeholm AG 50 1,866
Flughafen Wien AG 580 20,927
Generali Holding Vienna AG 230 35,833
Mayr Melnhof Karton AG 200 11,014
Oesterreichische 770 91,000
Elektrizitaetswirtschafts AG
(verbund)
SHARES VALUE (NOTE 1)
OMV AG 610 $ 47,851
RHI AG 250 6,785
VA Technologie AG 420 24,879
Wienerberger Baustoffind AG 1,740 32,230
418,511
BELGIUM - 0.7%
Barco Industries NV 209 25,507
Bekaert SA 313 13,845
Colruyt NV 800 32,416
D'ieteren SA 133 38,494
Delhaize Freres & Compagnie 1,288 73,810
Le Lion
Dolmen Computer Applications 56 1,291
NV (a)
Electrabel SA 1,398 378,586
Fortis B 18,284 458,627
Fortis B (strip VVRP) (a) 1,764 17
Groupe Bruxelles Lambert SA 654 142,152
KBC Bancassurance Holding NV 7,651 293,038
Solvay Et Compagnie SA 2,242 156,383
Ucb Corp. 3,905 133,553
Union Miniere SA 238 7,807
1,755,526
DENMARK - 0.7%
Carlsberg AS:
Series A 800 25,357
Series B 300 10,132
D/S 1912 Series B 27 281,287
D/S Svenborg Series B 18 264,218
Danisco AS 1,668 50,918
Den Danske Bank Group AS 1,300 124,458
Falck AS 358 39,296
Fls Industries 759 12,817
International Service Systems 1,028 68,772
AS Series B (a)
Navision Software (a) 574 59,650
Novo-Nordisk AS Series B 1,876 237,601
Tele Danmark AS Class B 5,270 434,021
Topdanmark AS (a) 237 3,879
Unidanmark AS Class A 1,800 102,881
Vestas Wind Systems AS (a) 286 80,805
William Demant Holding AS 297 42,438
1,838,530
FINLAND - 3.3%
Hartwall Oyj Abp Series A 2,000 29,714
Instrumentarium Oyj 819 26,746
Kemira Oyj 500 3,135
Kesko OY (a) 2,800 37,143
Kone Corp. 700 34,442
Metra OY Series B 1,100 22,604
Metso Oyj 3,600 47,234
Nokia AB 31,000 6,147,687
Outokumpu Oyj (A Shares) 3,200 35,812
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
FINLAND - CONTINUED
Pohjola Group Insurance Corp.:
Class A 500 $ 30,631
Class B 700 39,439
Raisio Group PLC 2,900 7,918
Rautaruukki Oyj (K Shares) 4,100 22,546
Sampo Insurance Co. Ltd. 1,700 58,223
Sonera Corp. 18,600 1,437,342
Stockmann Oyj Series A 300 4,747
Tietoenator Oyj Abp 2,000 137,959
UPM-Kymmene Corp. 7,000 194,494
8,317,816
FRANCE - 9.2%
Accor SA 4,502 164,177
Alcatel Alsthom Compagnie 4,888 1,154,790
Generale d'Electricite SA
(RFD)
Aventis SA (France) 18,412 957,424
AXA SA de CV 8,514 1,071,912
Banque Nationale de Paris 10,686 845,364
BIC Ste 334 14,613
Bouygues 737 615,033
Canal Plus SA 3,044 860,453
Cap Gemini SA 1,893 522,314
Carrefour SA 7,496 1,139,003
Casino Guichard Perrachon et 1,765 157,252
Compagnie
Club Mediterranee SA (a) 72 8,294
Coflexip SA 164 14,588
Compagnie de St. Gobain 2,160 301,118
Dassault Systemes SA 2,303 253,287
Eridania Beghin Say Group 100 8,413
Essilor International SA 165 42,343
Eurafrance (Societe) 76 35,634
France Telecom SA 23,845 3,853,248
Gecina SA 459 46,275
Groupe Danone 1,818 366,218
Groupe GTM 71 5,446
IMETAL SA 264 31,327
L'Air Liquide 2,064 279,172
L'Oreal SA 1,597 1,063,087
Lafarge SA 2,419 180,864
Lafarge SA rights 4/15/00 (a) 2,419 70
Lagardere S.C.A. (Reg.) 3,115 293,608
Louis Vuitton Moet Hennessy 2,318 862,090
(LVMH)
Michelin SA (Compagnie 3,113 97,396
Generale des Etablissements)
Class B (a)
Pechiney SA Class A 2,051 119,909
Pernod-Ricard 881 44,622
Peugeot SA 1,151 237,742
Pinault Printemps SA 2,861 577,147
Promodes 113 102,476
Publicis SA 156 79,615
Sagem SA 216 243,812
SHARES VALUE (NOTE 1)
Sanofi-Synthelabo SA 16,893 $ 651,738
Schneider SA 4,038 261,009
SEB SA 79 5,716
Sidel SA 907 74,377
Simco SA (Reg.) 124 9,331
Societe Generale Class A 2,402 498,921
Sodexho Alliance SA 606 81,265
Suez Lyonnaise des Eaux:
(Belgium) 998 166,761
(France) 3,753 619,141
Technip SA 53 5,809
Thomson CSF 3,870 153,077
Total Fina SA (a) 774 7
Total Fina SA:
Class B 16,559 2,223,046
Series B 774 102,674
Unibail 351 44,394
Usinor Sacilor 4,247 62,074
Valeo SA 1,591 77,513
Vivendi SA 13,875 1,633,081
23,320,070
GERMANY - 7.6%
Adidas-Salomon AG 750 39,796
Allianz AG (Reg.) 5,073 1,757,009
BASF AG 12,700 586,886
Bayer AG 15,300 646,370
Bayerische Hypo-und 8,725 473,902
Vereinsbank AG
Beiersdorf AG 1,800 109,142
Buderus AG 600 9,262
Continental Gummi-Werke AG 2,200 36,273
DaimlerChrysler AG (Reg.) 20,742 1,405,271
Deutsche Bank AG 12,761 1,083,383
Deutsche Lufthansa AG (Reg.) 8,450 188,804
Deutsche Telekom AG 62,406 5,183,753
Dresdner Bank AG 10,450 499,142
EM.TV & Merchandising AG 2,700 269,599
Fresenius Medical Care AG 1,500 106,074
Heidelberger Zement AG:
(strip VVRP) (a) 230 2
(Brussels) (a) 230 12,981
(Frankfurt) 1,265 71,394
Hochtief AG 1,200 28,943
Kamps AG 550 43,776
Kamps AG rights 3/31/00 (a) 550 212
Karstadt Quelle AG 2,600 81,521
Linde AG 2,533 102,880
MAN AG 2,300 74,600
Merck Kgaa 4,050 104,714
Metro AG 5,830 222,167
Munich Reinsurance AG (Reg.) 3,632 995,478
Preussag AG 3,693 169,270
RWE AG 10,100 339,285
SAP AG 1,300 825,247
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
GERMANY - CONTINUED
Schering AG 1,500 $ 179,415
SGL Carbon AG (a) 50 4,848
Siemens AG 12,300 2,188,169
Thyssen Krupp AG 11,000 269,127
Veba AG 10,600 479,616
Viag AG 14,950 266,826
Volkswagen AG 6,650 265,926
WCM Beteiligungs-und 3,850 130,000
Grundbesitz AG
19,251,063
HONG KONG - 1.3%
Bank of East Asia Ltd. 21,791 51,238
Cable & Wireless Hkt Ltd. 181,348 563,312
Cathay Pacific Airways Ltd. 55,000 76,322
Cheung Kong Holdings Ltd. 35,000 465,449
CLP Holdings Ltd. 32,500 143,650
Hang Lung Development Co. 21,000 16,324
Ltd.
Hang Seng Bank Ltd. 28,900 260,860
Hong Kong & China Gas Co. 68,846 80,498
Ltd.
Hong Kong & Shanghai Hotels 5,000 2,200
Ltd. (The) (a)
Hopewell Holdings Ltd. 2,200 1,152
Hutchison Whampoa Ltd. 58,000 909,184
Hysan Development Ltd. 4,181 4,351
Johnson Electric Holdings 14,000 92,190
Ltd.
New World Development Co. 35,992 51,795
Ltd.
Shangri-La Asia Ltd. 36,000 28,910
Sino Land Co. 37,167 17,431
South China Morning Post 8,000 7,966
(Holdings) Ltd.
Sun Hung Kai Properties Ltd. 36,215 326,888
Swire Pacific Ltd. Class A 24,000 115,023
Television Broadcasts Ltd. 7,000 57,563
Wharf Holdings Ltd. 39,228 67,289
3,339,595
IRELAND - 0.3%
Allied Irish Banks PLC 19,111 157,086
CRH PLC 8,564 148,553
DCC PLC (Ireland) 1,275 14,207
Eircom PLC 48,811 214,261
Fyffes PLC (Ireland) 4,891 16,043
Greencore Group PLC 2,322 6,720
Independent Newspapers PLC 5,576 58,636
(Ireland)
Irish Life & Permanent PLC 6,734 52,428
Jefferson Smurfit Group PLC 24,831 56,296
Jurys Doyle Hotel Group PLC 701 4,599
(Ireland)
Kerry Group PLC Class A 4,100 46,872
Ryanair Holdings PLC (a) 7,888 51,367
Waterford Wedgwood PLC unit 10,715 9,717
836,785
SHARES VALUE (NOTE 1)
ITALY - 2.8%
Alitalia Linee Aeree Ital 25,283 $ 49,027
Class A
Assicurazioni Generali Spa 21,967 604,203
Autogrill Spa 5,233 53,913
Banca Commerciale Italiana Spa 4,218 17,836
Banca di Roma 97,658 111,080
Banca Intesa Spa 71,592 263,151
Banca Popolare di Milano 1,551 11,486
Benetton Group Spa 32,101 62,992
Bulgari Spa 4,848 44,657
Cartiere Burgo Spa 1,010 5,948
Enel S.p.A. 120,822 477,209
Eni Spa 131,204 616,693
Fiat Spa 6,453 197,225
Italcementi Spa 2,450 21,223
Italgas Spa 10,434 55,253
La Rinascente Spa 2,228 11,381
Magneti Marelli Spa 1,476 5,684
Mediaset Spa 20,175 492,630
Mediobanca Spa 8,522 76,346
Mondadori Spa 1,937 81,009
Montedison Spa 43,522 76,418
Olivetti & Co. Spa (a) 84,896 333,511
Parmalat Finanziaria Spa 19,586 21,352
Pirelli Spa 31,671 81,275
Riunione Adriatica di Sicurta 10,476 91,011
(RAS) Spa
San Paolo Imi Spa 23,760 374,072
Sirti Spa 2,097 4,934
Telecom Italia Mobile Spa 108,854 1,496,386
Telecom Italia Spa 60,553 1,102,065
Unicredito Italiano Spa 83,529 310,895
7,150,865
JAPAN - 23.6%
77 Bank Ltd. 9,000 66,310
Acom Co. Ltd. 3,500 370,293
Advantest Corp. 2,400 433,790
Ajinomoto Co., Inc. 16,000 175,665
Alps Electric Co. Ltd. 2,000 18,129
Amada Co. Ltd. 7,000 47,065
Aoyama Trading Co. Ltd. 2,000 28,146
Asahi Bank Ltd. 68,000 286,907
Asahi Breweries Ltd. 13,000 125,860
Asahi Chemical Industry Co. 36,000 211,995
Ltd. (a)
Asahi Glass Co. Ltd. 29,000 197,351
Asatsu-DK, Inc. 1,000 58,525
Autobacs Seven Co. Ltd. 1,000 23,954
Bank of Fukuoka Ltd. 13,000 72,307
Bank of Tokyo-Mitsubishi Ltd. 110,000 1,342,437
Bank of Yokohama Ltd. 26,000 92,478
Benesse Corp. 1,300 259,505
Bridgestone Corp. 21,000 467,789
Canon, Inc. 21,000 892,500
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
JAPAN - CONTINUED
Casio Computer Co. Ltd. 8,000 $ 79,412
Central Japan Railway Co. 54 330,242
Chugai Pharmaceutical Co. 7,000 106,705
Ltd.
Citizen Watch Co. Ltd. 7,000 51,384
Cosmo Oil Co. Ltd. 3,000 3,266
Credit Saison Co. Ltd. 3,900 60,901
CSK Corp. 1,600 166,083
Dai Ei, Inc. 16,000 56,038
Dai Nippon Printing Co. Ltd. 19,000 283,595
Daiichi Pharmaceutical Co. 7,000 90,509
Ltd.
Daikin Industries Ltd. 7,000 104,355
Dainippon Ink & Chemicals, 20,000 70,955
Inc.
Daito Trust Construction Co. 4,000 51,901
Daiwa Bank Ltd. 49,000 121,377
Daiwa House Industry Co. Ltd. 12,000 81,771
Daiwa Securities Co. Ltd. 32,000 506,669
Denki Kagaku Kogyo Kabushiki 9,000 24,417
Kaisha
Denso Corp. 22,000 410,217
East Japan Railway Co. 96 432,048
Ebara Corp. 8,000 105,108
Eisai Co. Ltd. 7,000 164,822
Fanuc Ltd. 5,700 553,398
Fuji Bank Ltd. 82,000 636,893
Fuji Machine Manufacturing 1,300 85,754
Co. Ltd.
Fuji Photo Film Co. Ltd. 12,000 525,905
Fuji Soft ABC, Inc. 1,000 70,411
Fujikura Ltd. 3,000 11,759
Fujitsu Ltd. 45,000 1,490,337
Furukawa Electric Co. Ltd. 16,000 243,753
Gunma Bank Ltd. 9,000 49,242
Hirose Electric Co. Ltd. 1,000 133,472
Hitachi Ltd. 78,000 1,081,763
Hitachi Zosen Corp. (a) 5,000 2,994
Honda Motor Co. Ltd. (a) 23,000 776,250
House Foods Corp. 2,000 29,035
Hoya Corp. 3,000 244,170
Inax Corp. 8,000 40,577
Industrial Bank of Japan Ltd. 63,000 491,035
(IBJ) (a)
Isetan Co. Ltd. 2,000 14,699
Ishikawajima-Harima Heavy 35,000 35,568
Industries Co. Ltd.
Ito-Yokado Co. Ltd. 10,000 580,710
Itochu Corp. (a) 32,000 174,213
Japan Airlines Co. Ltd. 46,000 109,772
Japan Energy Corp. 35,000 27,312
Japan Tobacco, Inc. 48 341,893
Joyo Bank Ltd. 14,000 48,526
Jusco Co. Ltd. 7,000 98,258
Kadokawa Shoten Publishing 300 114,055
Co. Ltd.
Kajima Corp. (a) 23,000 58,434
Kaneka Corp. 9,000 97,750
Kansai Electric Power Co., 23,500 343,299
Inc.
SHARES VALUE (NOTE 1)
Kao Corp. 15,000 $ 396,743
Kawasaki Heavy Industries 36,000 37,565
Ltd.
Kawasaki Steel Corp. (a) 84,000 117,376
Keihin Electric Express 1,000 3,475
Railway Co. Ltd.
Kikkoman Corp. 5,000 29,126
Kinden Corp. 5,000 30,896
Kinki Nippon Railway Co. Ltd. 41,000 153,271
Kirin Brewery Co. Ltd. 25,000 297,387
Kokuyo Co. Ltd. 2,000 21,686
Komatsu Ltd. 25,000 110,244
Komori Corp. 2,000 25,406
Konami Co. Ltd. 1,200 210,689
Konica Corp. (a) 1,000 4,464
Kubota Corp. 37,000 107,431
Kuraray Co. Ltd. 8,000 66,491
Kurita Water Industries Ltd. 4,000 79,303
Kyocera Corp. 4,500 827,719
Kyowa Hakko Kogyo Co. Ltd. 10,000 129,752
Makita Corp. 1,000 8,212
Marubeni Corp. 29,000 117,621
Marui Co. Ltd. 10,000 130,660
Matsushita Electric 48,000 1,410,900
Industrial Co. Ltd.
Meiji Milk Products Co. Ltd. 7,000 43,825
Meiji Seika Kaisha Ltd. (a) 9,000 59,613
Minebea Co. Ltd. 10,000 114,781
Mitsubishi Chemical Corp. 52,000 178,350
Mitsubishi Corp. 38,000 279,630
Mitsubishi Electric Corp. 51,000 450,259
Mitsubishi Estate Co. Ltd. 31,000 270,592
Mitsubishi Gas Chemical Co., 3,000 5,499
Inc.
Mitsubishi Heavy Industries 83,000 226,685
Ltd.
Mitsubishi Logistics Corp. 1,000 6,497
Mitsubishi Materials Corp. 30,000 99,356
Mitsubishi Rayon Co. Ltd. 12,000 25,370
Mitsubishi Trust & Banking 32,000 217,766
Corp.
Mitsui & Co. Ltd. 39,000 240,632
Mitsui Fudosan Co. Ltd. 20,000 160,058
Mitsui Marine & Fire 18,000 75,129
Insurance Co. Ltd.
Mitsui Mining & Smelting Co. 12,000 62,390
Ltd.
Mitsui Trust & Banking Co. 24,000 37,020
Ltd.
Mitsukoshi Ltd. (a) 13,000 40,223
Mori Seiki Co. Ltd. 3,000 39,062
Murata Manufacturing Co. Ltd. 5,000 949,097
Mycal Corp. 3,000 10,834
Namco Ltd. 1,300 97,432
NEC Corp. 38,000 846,475
NGK Insulators Ltd. 9,000 70,801
NGK Spark Plug Co. Ltd. 4,000 38,327
Nichiei Co. Ltd. 700 14,100
Nidec Corp. 800 150,984
Nikon Corp. 9,000 302,967
Nintendo Co. Ltd. 3,300 718,329
Nippon Computer Systems Corp. 3,000 47,092
Nippon Express Co. Ltd. 24,000 159,840
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
JAPAN - CONTINUED
Nippon Meat Packers, Inc. 6,000 $ 54,986
Nippon Mitsubishi Oil Corp. 38,000 133,091
Nippon Paper Industries Co. 24,000 123,473
Ltd.
Nippon Sheet Glass Co. Ltd. 12,000 108,339
Nippon Steel Corp. 164,000 345,232
Nippon Telegraph & Telephone 296 4,082,388
Corp.
Nippon Yusen Kabushiki Kaisha 31,000 101,261
Nishimatsu Construction 7,000 21,214
Nissan Motor Co. Ltd. (a) 95,000 357,726
Nisshin Flour Milling Co. 7,000 49,034
Ltd.
Nisshinbo Industries, Inc. 7,000 26,232
Nissin Food Products Co. Ltd. 4,000 85,292
Nitto Denko Corp. 4,000 155,340
Nomura Securities Co. Ltd. 46,000 1,293,894
NSK Ltd. 12,000 82,751
Obayashi Corp. 18,000 50,957
Oji Paper Co. Ltd. (a) 23,000 109,981
Olympus Optical Co. Ltd. 5,000 66,464
Omron Corp. 6,000 164,958
Onward Kashiyama Co. Ltd. 4,000 38,508
Oriental Land Co. Ltd. 2,300 244,170
ORIX Corp. 1,600 275,837
Osaka Gas Co. Ltd. 49,000 91,589
Pioneer Corp. Japan 5,000 158,334
Promise Co. Ltd. 2,900 213,402
Rohm Co. Ltd. 2,800 905,725
Sakura Bank Ltd. 97,000 551,846
Sankyo Co. Ltd. 11,000 227,067
Sanrio Co. Ltd. 2,000 79,848
Sanwa Shutter Corp. 1,000 2,559
Sanyo Electric Co. Ltd. 41,000 166,664
Sapporo Breweries Ltd. 1,000 3,076
Secom Co. Ltd. 6,000 535,705
Sega Enterprises 2,400 78,396
Sekisui Chemical Co. Ltd. 14,000 43,698
Sekisui House Ltd. 16,000 119,045
Sharp Corp. 27,000 563,470
Shimamura Corp. 1,200 144,706
SHIMANO, INC. 2,000 38,109
Shimizu Construction Co. Ltd. 18,000 43,281
Shin-Etsu Chemical Co. Ltd. 10,000 539,878
Shionogi & Co. Ltd. 6,000 85,473
Shiseido Co. Ltd. 9,000 107,958
Shizuoka Bank Ltd. 20,000 158,425
Showa Denko KK 2,000 2,541
Showa Shell Sekiyu K.K. Co. 8,000 27,003
Skylark Co. Ltd. 3,000 70,910
SMC Corp. 1,600 296,162
Snow Brand Milk Products Co. 2,000 8,366
Ltd.
Softbank Corp. 2,500 3,629,435
Sony Corp. 10,300 3,227,763
Sumitomo Bank Ltd. 74,000 870,865
SHARES VALUE (NOTE 1)
Sumitomo Chemical Co. Ltd. 40,000 $ 150,622
Sumitomo Corp. 26,000 287,342
Sumitomo Electric Industries 18,000 236,494
Ltd.
Sumitomo Heavy Industries 11,000 23,056
Ltd.
Sumitomo Marine and Fire 13,000 54,968
Insurance Co. Ltd.
Sumitomo Metal Industries 44,000 23,954
Ltd.
Sumitomo Metal Mining Co. 3,000 7,077
Ltd.
Taiheiyo Cement Corp. 25,000 37,655
Taisei Corp. 21,000 30,678
Taisho Pharmaceutical Co. 9,000 253,153
Ltd.
Taiyo Yuden Co. Ltd. 3,000 159,241
Takara Shuzo Co. Ltd. 5,000 139,733
Takashimaya Co. Ltd. 8,000 53,716
Takeda Chemical Industries 21,000 1,181,381
Ltd. (a)
Takefuji Corp. 3,500 455,721
Teijin Ltd. 21,000 82,125
Terumo Corp. 5,000 129,752
Tobu Railway Co. Ltd. 21,000 57,926
Toda Corp. 4,000 12,122
Toho Co. Ltd. 500 94,365
Tohoku Electric Power Co., 12,700 149,805
Inc.
Tokai Bank Ltd. (a) 55,000 251,021
Tokio Marine & Fire Insurance 37,000 336,730
Co. Ltd.
Tokyo Broadcasting System, 4,000 181,835
Inc.
Tokyo Dome Corp. (a) 1,000 4,392
Tokyo Electric Power Co. 31,900 694,674
Tokyo Electron Ltd. 4,000 607,930
Tokyo Gas Co. Ltd. 61,000 111,805
Tokyo Style Co. Ltd. 1,000 8,166
Tokyu Corp. 9,000 24,254
Toppan Printing Co. Ltd. 18,000 176,880
Toray Industries, Inc. 36,000 114,327
Toshiba Corp. 76,000 618,565
Tosoh Corp. 15,000 68,052
Tostem Corp. 6,000 82,479
Toto Ltd. 9,000 43,608
Toyo Information System Co. 1,000 79,031
Ltd.
Toyo Seikan Kaisha Ltd. 4,000 52,082
Toyobo Co. Ltd. 21,000 27,629
Toyota Motor Corp. 87,000 3,465,475
Trans Cosmos, Inc. 600 278,741
Ube Industries Ltd. 11,000 15,470
Uni-Charm Corp 1,500 95,000
Uny Co. Ltd. 4,000 29,035
Wacoal Corp. 4,000 28,673
World Co. Ltd. 800 86,671
Yakult Honsha Co. Ltd. 3,000 25,070
Yamaha Corp. 1,000 6,832
Yamaichi Securities Co. Ltd. 3,000 0
(a)
Yamanouchi Pharmaceutical Co. 9,000 428,727
Ltd.
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
JAPAN - CONTINUED
Yamato Transport Co. Ltd. 11,000 $ 291,444
Yamazaki Baking Co. 5,000 41,557
60,198,918
NETHERLANDS - 5.5%
ABN AMRO Holding NV 36,974 766,919
Aegon NV 17,264 1,192,530
Akzo Nobel NV 7,381 284,904
ASM Lithography Holding NV (a) 3,657 466,590
Baan Co. NV (a) 4,192 22,648
Buhrmann NV 2,560 67,548
Elsevier NV 17,409 184,749
Getronics NV 2,896 243,071
Hagemeyer NV 2,469 41,613
Heineken NV 8,283 419,129
IHC Caland NV 567 19,145
ING Groep NV 24,970 1,265,197
KLM Royal Dutch Airlines NV 637 11,891
Koninklijke Ahold NV 17,085 397,564
Koninklijke KPN NV 12,306 1,567,726
Koninklijke Philips 8,752 1,623,261
Electronics NV
Oce NV 946 11,545
Royal Dutch Petroleum Co. 55,070 2,891,175
(Hague Registry)
STMicroelectronics NV 6,806 1,352,614
Stork NV 82 1,009
TNT Post Group NV 12,524 311,004
Unilever NV 14,908 679,573
Vedior NV 800 7,564
Vopak NV (a) 750 17,691
Wolters Kluwer NV 7,169 255,972
14,102,632
NEW ZEALAND - 0.1%
Brierley Investments Ltd. 65,616 11,893
Carter Holt Harvey Ltd. 44,449 43,329
Contact Energy Ltd. 17,545 24,408
Fletcher Challenge Ltd. - 6,249 13,622
Energy Division
Lion Nathan Ltd. 15,034 27,322
Telecom Corp. of New Zealand 40,788 169,830
Ltd.
290,404
NORWAY - 0.3%
Bergesen d.y. ASA (A Shares) 1,500 25,116
Christiania Bank Og 19,500 99,117
Kreditkasse
DNB Holding ASA 16,800 61,081
Elkem A/S 1,100 19,076
Kvaerner ASA (a) 860 14,914
Merkantildata (c) 2,850 33,063
Norsk Hydro AS 6,200 231,721
Norske Skogindustrier AS 700 27,041
Class A
Orkla-Borregaard AS 4,771 73,037
Petroleum Geo-Services ASA (a) 2,550 40,104
SHARES VALUE (NOTE 1)
Schibsted AS Series B 1,950 $ 57,138
Storebrand ASA (A Shares) (a) 7,100 43,306
Tomra Systems AS 2,350 44,688
769,402
PORTUGAL - 0.5%
Banco Comercial Portuges SA 27,973 146,539
Banco Espirito Santo e 2,859 74,389
Comercial de Lisboa SA
BPI-SGPS SA 9,772 36,390
Brisa Auto-Estradas de 8,867 69,890
Portugal Sarl
Cimpor-Cimentos de Portugal 3,471 52,775
SGPS SA
Electricidade de Portugal SA 16,472 329,428
Jeronimo Martins, SGPS SA 2,047 41,472
Portucel Industrial Empresa 2,285 18,032
Produtora de Celulosa SA
Portugal Telecom SA 29,683 422,964
SONAE Industria e 2,065 130,191
Investimentos SA
1,322,070
SINGAPORE - 0.8%
City Developments Ltd. 22,000 89,327
Creative Technology Ltd. 3,000 65,255
Cycle & Carriage Ltd. 1,000 2,204
DBS Group Holdings Ltd. 34,327 424,110
DBS Land Ltd. 36,000 47,610
Fraser & Neave Ltd. 9,000 25,058
Keppel Corp. Ltd. 19,000 42,541
Neptune Orient Lines Ltd. (a) 34,000 27,807
Oversea-Chinese Banking Corp. 32,824 207,530
Ltd.
Overseas Union Enterprises 4,000 10,255
Ltd.
Parkway Holdings Ltd. 11,000 30,371
Sembcorp Industries Ltd. 42,969 40,128
Singapore Airlines Ltd. 31,000 287,703
Singapore Press Holdings Ltd. 9,048 173,193
Singapore Technologies 77,000 94,240
Engineering Ltd.
Singapore Telecommunications 160,000 259,861
Ltd.
United Industrial Corp. Ltd. 29,000 12,616
United Overseas Bank Ltd. 26,616 168,280
Venture Manufacturing 6,000 90,139
Singapore Ltd.
2,098,228
SPAIN - 2.7%
Acerinox SA (Reg.) 1,741 62,818
Actividades de Construccion y 995 20,974
Servicios SA (ACS)
Aguas de Barcelona SA 3,049 44,770
Aguas de Barcelona SA (a) 17 249
Altadis SA 9,354 104,682
Altadis SA 418 4,593
Autopistas Concesionaria 5,625 46,236
Espanola SA
Azucarera Ebro Agricolas SA 1,077 13,196
Banco Bilbao Vizcaya 73,806 1,075,185
Argentaria SA
Banco Santander Central 92,567 973,414
Hispano SA
Corporacion Financiera Alba SA 2,422 75,940
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
SPAIN - CONTINUED
Corporacion Mapfre Compania 484 $ 6,659
Internacional de Reaseguros
SA (Reg.)
Cortefiel SA 611 13,086
Endesa SA 27,288 578,384
Fomento Construcciones y 3,626 63,492
Contratas SA (FOCSA)
Gas Natural SDG SA Series E 10,737 216,390
Grupo Dragados SA 4,032 35,476
Iberdrola SA 23,648 297,272
Metrovacesa SA 1,900 29,677
Portland Valderrivas SA 265 5,624
Repsol SA 30,499 578,180
Sol Melia SA (a) 3,923 45,795
Telefonica SA (a) 82,697 2,381,491
TelePizza SA (a) 4,000 22,807
Union Electrica Fenosa SA 7,689 159,486
Vallehermoso SA 1,549 9,594
Zardoya Otis SA 4,767 41,207
6,906,677
SWEDEN - 3.4%
ABB Ltd. (Sweden) (a) 1,006 106,948
Assi Doman AB Free Shares 2,200 32,442
Atlas Copco AB:
Series A 3,885 89,931
Series B 1,885 41,803
Drott AB Series B 3,000 29,492
Electrolux AB 9,700 182,956
ForeningsSparbanken AB Series 14,050 178,275
A
Gambro AB Series A 7,000 48,811
Hennes & Mauritz AB (H&M) 21,600 714,815
Series B
Netcom AB Series B (a) 2,800 267,261
OM Gruppen AB 2,400 121,811
Sandvik AB:
Series A 5,300 143,890
Series B 1,200 32,236
SAPA AB 900 16,975
Securitas AB Series B 9,300 249,297
Skandia Foersaekrings AB 13,200 541,701
Skandinaviska Enskilda Banken 18,280 183,887
Class A
Skanska AB Series B 3,300 113,923
SKF AB:
Series A 400 7,499
Series B 2,000 39,781
SSAB Swedish Steel Series A 1,700 20,696
Svenska Cellulosa AB (SCA) 6,400 156,196
Series B
Svenska Handelsbanken AB 17,100 200,360
Series A
Swedish Match Co. 8,300 27,135
Telefonaktiebolaget LM 50,200 4,819,200
Ericsson (B Shares)
Trelleborg AB Series B 1,200 8,436
Volvo AB:
Series A 3,800 84,271
Series B 7,800 184,122
SHARES VALUE (NOTE 1)
WM-Data AB Series B 2,000 $ 132,602
8,776,752
SWITZERLAND - 5.0%
ABB Ltd. (Switzerland) (Reg.) 6,772 722,374
Adecco SA 470 372,837
Alusuisse Lonza Holding Ltd. 180 110,337
(Reg.)
Credit Suisse Group (Reg.) 7,040 1,123,269
Georg Fischer AG (Reg.) 100 29,928
Holderbank Financiere Glarus
AG:
(Bearer) 141 155,066
(Reg.) 302 85,300
Jelmoli Holding AG 10 12,800
Kuoni Reisen Holding AG Class 5 22,837
B (Reg.)
Lonza Group AG (a) 170 86,737
Nestle SA (Reg.) 1,020 1,724,315
Novartis AG (Reg.) 1,850 2,361,418
Roche Holding AG 41 492,788
Roche Holding AG 181 1,955,757
participation certificates
SAirGroup (Reg.) 200 38,101
Schindler Holding AG 20 28,846
Sulzer AG (Reg.) (a) 100 65,325
Surveillance, Soc Gen Sgs (a) 25 46,424
Swiss Reinsurance Co. (Reg.) 375 604,417
Swisscom AG 1,920 627,692
The Swatch Group AG:
(Bearer) 75 80,859
(Reg.) 380 82,668
UBS AG 5,501 1,340,538
Valora Holding AG 100 28,846
Zurich Allied AG (Reg.) 1,250 531,100
12,730,579
UNITED KINGDOM - 16.9%
3i Group PLC 14,779 263,156
Abbey National PLC 34,014 381,756
Airtours PLC 4,300 19,226
Allied Zurich PLC 38,066 323,580
Amec PLC 2,760 6,775
Amvescap PLC 17,035 193,478
Anglian Water PLC 960 6,751
Arjo Wiggins Appleton PLC 13,992 34,898
ARM Holdings PLC (a) 4,690 353,512
AstraZeneca Group PLC:
(Sweden) 4,994 165,839
(United Kingdom) 36,592 1,212,110
BAA PLC 27,352 162,667
Barclays PLC 34,945 841,779
Barratt Developments PLC 5,780 15,693
Bass PLC 21,930 232,457
BBA Group PLC 9,251 56,806
Berkeley Group PLC 3,731 26,356
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
UNITED KINGDOM - CONTINUED
BG Group PLC 77,905 $ 339,724
Blue Circle Industries PLC 21,647 145,824
BOC Group PLC 12,066 243,608
Boots Co. PLC 19,303 140,318
BP Amoco PLC 452,115 3,541,568
British Aerospace PLC 70,446 348,620
British Airways PLC 27,989 132,104
British American Tobacco PLC 46,529 191,333
British Land Co. PLC 12,134 66,561
British Sky Broadcasting 40,729 1,046,043
Group PLC
British Telecommunications PLC 151,112 2,693,572
Bunzl PLC 11,097 50,362
Burmah Castrol PLC 2,156 34,612
Cadbury Schweppes PLC 50,106 297,397
Canary Wharf Group PLC 18,570 91,605
Capita Group PLC 4,615 116,378
Caradon PLC 2,172 4,543
Carillion PLC 7 10
Carlton Communications PLC 16,047 181,370
Celltech Group PLC (a) 5,803 122,382
Centrica PLC 97,667 329,543
CGU PLC 31,457 375,154
Coats Viyella PLC 2,748 1,768
Compass Group PLC 16,929 202,162
Corus Group PLC 79,840 132,333
Diageo PLC 81,214 619,849
Dixons Group PLC 10,883 233,639
Electrocomponents PLC 10,290 116,870
EMI Group PLC 19,465 207,250
FKI PLC 13,575 58,072
GKN PLC 17,732 228,405
Glaxo Wellcome PLC 84,129 2,050,645
Granada Group PLC 44,259 445,739
Great Universal Stores PLC 19,867 112,429
Class A
Halifax Group PLC 51,866 465,039
Hammerson PLC 8,612 43,774
Hanson PLC 17,401 110,931
Hays PLC 42,242 280,727
Hilton Group PLC 37,665 137,789
HSBC Holdings PLC (United 195,947 2,331,768
Kingdom) (Reg.)
IMI plc 1,347 4,619
Imperial Chemical Industries 16,801 130,208
PLC
Invensys PLC 88,724 406,861
J. Sainsbury PLC 41,336 169,979
Jarvis PLC 1,041 2,777
Johnson Matthey PLC 6,278 71,551
Kingfisher PLC 33,571 253,044
Land Securities PLC 14,447 157,471
Lasmo PLC 32,123 48,046
Legal & General Group PLC 118,195 288,261
Lloyds TSB Group PLC 124,100 1,142,086
SHARES VALUE (NOTE 1)
Logica PLC 10,002 $ 426,610
Marconi PLC 63,001 785,160
Marks & Spencer PLC 69,878 250,946
MEPC PLC 8,579 45,638
Misys PLC 14,291 214,311
National Grid Group PLC 36,490 282,822
National Power PLC (c) 24,724 146,063
Nycomed Amersham PLC 16,956 134,699
Pearson PLC 14,548 482,719
Peninsular & Oriental Steam 15,946 179,599
Navigation Co.
Pilkington PLC 4,298 4,512
Provident Financial Group PLC 1,579 12,837
Prudential Corp. PLC 44,172 651,257
Psion PLC 1,745 146,323
Railtrack PLC Class L 13,212 134,520
Rank Group PLC Class L 2,483 6,193
Reed International PLC 24,306 178,316
Rentokil Initial PLC 70,607 230,158
Reuters Group PLC 33,781 730,019
Rexam PLC 11,531 33,356
Rio Tinto PLC (Reg.) 24,961 369,593
Rmc Group PLC 7,380 85,043
Rolls-Royce PLC 119 387
Royal & Sun Alliance 211 1,152
Insurance Group PLC
Royal Bank of Scotland Group 19,862 261,172
PLC
Sage Group PLC 31,051 390,899
Schroders PLC 7,540 145,327
Scottish Power UK plc 44,540 338,184
Sema Group PLC 11,476 245,645
Slough Estates PLC 1,512 6,671
Smith & Nephew PLC 25,045 75,017
SmithKline Beecham PLC 130,735 1,469,134
Smiths Industries PLC 6,462 78,647
Stagecoach Holdings PLC 31,532 45,917
Tarmac PLC 827 7,598
Tate & Lyle PLC 7,760 31,420
Taylor Woodrow PLC 9,621 20,579
Tesco PLC 162,837 440,835
Thames Water PLC 9,405 103,182
TI Group PLC 9,365 49,782
Unigate PLC 800 3,681
Unilever PLC 69,841 427,776
United Utilities PLC 12,462 128,753
Vodafone AirTouch PLC 1,313,977 7,580,002
Williams PLC Class L 4,176 17,304
Wolseley PLC 16,438 79,466
WPP Group PLC 18,650 359,609
43,082,395
TOTAL COMMON STOCKS 220,325,928
(Cost $198,511,832)
NONCONVERTIBLE PREFERRED
STOCKS - 0.6%
SHARES VALUE (NOTE 1)
AUSTRALIA - 0.2%
News Corp. Ltd. (ltd. vtg.) 40,779 $ 514,070
GERMANY - 0.3%
RWE AG (non-vtg.) 700 19,145
SAP AG 900 749,321
Volkswagen AG 1,700 38,575
807,041
ITALY - 0.1%
Fiat Spa 754 12,748
Fiat Spa (savings share) 185 2,677
Telecom Italia Mobile Spa 21,165 112,243
Telecom Italia Spa Risp 11,562 91,243
218,911
TOTAL NONCONVERTIBLE 1,540,022
PREFERRED STOCKS
(Cost $964,744)
NONCONVERTIBLE BONDS - 0.0%
MOODY'S RATINGS (UNAUDITED) PRINCIPAL AMOUNT (F)
AUSTRALIA - 0.0%
AMP Insurance Investment - AUD 2,266 0
Holdings Pty Ltd. 7% 9/30/02
UNITED KINGDOM - 0.0%
BG Transco Holdings PLC:
4.1875% 12/14/22 (e) - GBP 6,000 9,289
7% 12/16/24 - GBP 6,000 9,313
7.0573% 12/14/09 (e) A- GBP 6,000 9,577
28,179
TOTAL NONCONVERTIBLE BONDS 28,179
(Cost $30,959)
GOVERNMENT OBLIGATIONS - 12.2%
UNITED STATES OF AMERICA -
12.2%
U.S. Treasury Bills, yield at - 31,228,000 30,968,011
date of purchase 5.14% to
5.69% 3/23/00 to 5/25/00 (d)
(Cost $30,969,640)
CASH EQUIVALENTS - 2.9%
SHARES VALUE (NOTE 1)
Bankers Trust Institutional 7,361,159 $ 7,361,159
Daily Asset Fund, 5.9247%
(b) (Cost $7,361,159)
TOTAL INVESTMENT PORTFOLIO - 260,223,299
102.1%
(Cost $237,838,334)
NET OTHER ASSETS - (2.1)% (5,256,324)
NET ASSETS - 100% $ 254,966,975
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C>
FUTURES CONTRACTS
EXPIRATION DATE UNDERLYING FACE AMOUNT AT VALUE UNREALIZED GAIN/(LOSS)
PURCHASED
38 All Ordinary Index March 2000 $ 1,769,439 $ 13,353
Contracts (Australia)
53 CAC 40 Index Contracts March 2000 3,112,080 36,389
(France)
33 DAX 30 Index Contracts March 2000 5,952,095 435,972
(Germany)
58 FTSE 100 Index Contracts March 2000 5,644,284 77,008
(United Kingdom)
25 Hang Seng Stock Index March 2000 2,730,339 (6,843)
Contracts (Hong Kong)
4 IBEX 35 Index Contracts March 2000 477,679 4,243
(Spain)
20 MIB 30 Index Contracts March 2000 4,629,338 720,838
(Italy)
47 Nikkei 225 Index Contracts March 2000 4,712,925 200,693
(Japan)
23 Nikkei 300 Index Contracts March 2000 630,102 (11,396)
(Japan)
13 Topix Index Contracts March 2000 2,009,163 85,837
(Japan)
$31,667,444 $1,556,094
</TABLE>
THE FACE VALUE OF FUTURES PURCHASED AS A PERCENTAGE OF NET ASSETS -
12.3%
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C>
FORWARD FOREIGN CURRENCY
CONTRACTS
SETTLEMENT DATES VALUE (NOTE 1)
CONTRACTS TO BUY
11,195,367 EUR March 2000 $ 10,817,745 (219,019)
3,490,483 GBP March 2000 5,509,450 (85,275)
743,557,976 JPY March 2000 6,771,696 319
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C> <C>
TOTAL CONTRACTS TO BUY $ 23,098,891 $ (303,975)
(Payable amount $23,402,866)
</TABLE>
THE VALUE OF CONTRACTS TO BUY AS A PERCENTAGE OF NET ASSETS - 9.1%
CURRENCY ABBREVIATIONS
AUD - Australian dollar
EUR - European Monetary Unit
GBP - British pound
JPY - Japanese yen
LEGEND
(a) Non-income producing
(b) The rate quoted is the annualized seven-day 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 $179,126 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 $2,009,072.
(e) The coupon rate shown on floating or adjustable rate securities
represents the rate at period end.
(f) Principal amount is stated in United States dollars unless
otherwise noted.
OTHER INFORMATION
Purchases and sales of securities, other than short-term securities,
aggregated $167,758,381 and $3,230,775.
The market value of futures contracts opened and closed during the
period amounted to $162,491,527 and $137,791,327, respectively.
The fund participated in the security lending program. At period end,
the value of securities loaned amounted to $8,615,973. The fund
received cash collateral of $7,361,159 which was invested in the
Bankers Trust Institutional Daily Asset Fund. The fund also received
non-cash collateral of $1,722,245 which represents U.S. Treasury
obligations.
INCOME TAX INFORMATION
At February 29, 2000, the aggregate cost of investment securities for
income tax purposes was $237,882,016. Net unrealized appreciation
aggregated $22,341,283, of which $41,679,027 related to appreciated
investment securities and $19,337,744 related to depreciated
investment securities.
The fund hereby designates approximately $29,000 as a capital gain
dividend for the purpose of the dividend paid deduction.
The amounts per share which represent income derived from sources
within, and taxes paid to, foreign countries or possessions of the
United States are $.213 and $.021, respectively, for the dividend paid
December 20, 1999.
SPARTAN INTERNATIONAL INDEX FUND
FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
FEBRUARY 29, 2000
ASSETS
Investment in securities, at $ 260,223,299
value (cost $237,838,334) -
See accompanying schedule
Cash 1,489
Foreign currency held at 1,189,025
value (cost $1,207,660)
Receivable for investments 55,441
sold
Unrealized appreciation on 7,534
foreign currency contracts
Receivable for fund shares 1,112,367
sold
Dividends receivable 215,988
Interest receivable 379
Redemption fees receivable 371
Receivable for daily 427,979
variation on futures
contracts
Other receivables 1,368
TOTAL ASSETS 263,235,240
LIABILITIES
Payable for investments $ 2,361
purchased
Unrealized depreciation on 311,509
foreign currency contracts
Payable for closed foreign 52,940
currency contracts
Payable for fund shares 430,197
redeemed
Accrued management fee 7,710
Other payables and accrued 102,389
expenses
Collateral on securities 7,361,159
loaned, at value
TOTAL LIABILITIES 8,268,265
NET ASSETS $ 254,966,975
Net Assets consist of:
Paid in capital $ 230,853,025
Undistributed net investment 75,303
income
Accumulated undistributed net 427,137
realized gain (loss) on
investments and foreign
currency transactions
Net unrealized appreciation 23,611,510
(depreciation) on
investments and assets and
liabilities in foreign
currencies
NET ASSETS, for 7,031,575 $ 254,966,975
shares outstanding
NET ASSET VALUE, offering $36.26
price and redemption price
per share ($254,966,975
(divided by) 7,031,575
shares)
STATEMENT OF OPERATIONS
YEAR ENDED FEBRUARY 29, 2000
INVESTMENT INCOME $ 1,327,817
Dividends
Interest 718,593
Security lending 18,809
2,065,219
Less foreign taxes withheld (127,593)
TOTAL INCOME 1,937,626
EXPENSES
Management fee and $ 368,913
sub-advisory fees
Transfer agent fees 147,549
Accounting fees 76,388
Non-interested trustees' 265
compensation
Registration fees 105,108
Audit 25,747
Legal 468
Total expenses before 724,438
reductions
Expense reductions (349,481) 374,957
NET INVESTMENT INCOME 1,562,669
REALIZED AND UNREALIZED GAIN
(LOSS)
Net realized gain (loss) on:
Investment securities 102,076
Foreign currency transactions (958,396)
Futures contracts 1,996,456 1,140,136
Change in net unrealized
appreciation (depreciation)
on:
Investment securities 19,244,189
Assets and liabilities in (214,904)
foreign currencies
Futures contracts 1,407,975 20,437,260
NET GAIN (LOSS) 21,577,396
NET INCREASE (DECREASE) IN $ 23,140,065
NET ASSETS RESULTING FROM
OPERATIONS
<TABLE>
<CAPTION>
<S> <C> <C>
STATEMENT OF CHANGES IN NET ASSETS
INCREASE (DECREASE) IN NET YEAR ENDED FEBRUARY 29, 2000 YEAR ENDED FEBRUARY 28, 1999
ASSETS
Operations Net investment $ 1,562,669 $ 550,810
income
Net realized gain (loss) 1,140,136 (395,381)
Change in net unrealized 20,437,260 1,261,011
appreciation (depreciation)
NET INCREASE (DECREASE) IN 23,140,065 1,416,440
NET ASSETS RESULTING FROM
OPERATIONS
Distributions to shareholders (535,652) (612,100)
From net investment income
From net realized gain (1,178,572) (88,646)
In excess of net realized - (44,030)
gain
TOTAL DISTRIBUTIONS (1,714,224) (744,776)
Share transactions Net 226,314,449 31,517,056
proceeds from sales of shares
Reinvestment of distributions 1,602,355 714,996
Cost of shares redeemed (37,729,643) (14,735,826)
NET INCREASE (DECREASE) IN 190,187,161 17,496,226
NET ASSETS RESULTING FROM
SHARE TRANSACTIONS
Trading fees 177,921 321,951
TOTAL INCREASE (DECREASE) 211,790,923 18,489,841
IN NET ASSETS
NET ASSETS
Beginning of period 43,176,052 24,686,211
End of period (including $ 254,966,975 $ 43,176,052
undistributed net investment
income of $75,303 and
$135,758, respectively)
OTHER INFORMATION
Shares
Sold 6,643,083 1,096,066
Issued in reinvestment of 45,094 24,926
distributions
Redeemed (1,153,839) (516,971)
Net increase (decrease) 5,534,338 604,021
</TABLE>
FINANCIAL HIGHLIGHTS
YEARS ENDED FEBRUARY 28, 2000 H 1999 1998 E
SELECTED PER-SHARE DATA
Net asset value, beginning of $ 28.84 $ 27.64 $ 25.00
period
Income from Investment
Operations
Net investment income D .49 .46 .11
Net realized and unrealized 7.25 1.08 2.29
gain (loss)
Total from investment 7.74 1.54 2.40
operations
Less Distributions
From net investment income (.12) G (.48) (.06)
From net realized gain (.26) G (.09) -
In excess of net realized gain - (.04) -
Total distributions (.38) (.61) (.06)
Trading fees added to paid in .06 .27 .30
capital
Net asset value, end of period $ 36.26 $ 28.84 $ 27.64
TOTAL RETURN B, C 27.08% 6.58% 10.83%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period $ 254,967 $ 43,176 $ 24,686
(000 omitted)
Ratio of expenses to average .35% F .36% F .35% A, F
net assets
Ratio of net investment 1.48% 1.62% 1.43% A
income to average net assets
Portfolio turnover rate 3% 2% 2% A
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.
G THE AMOUNTS SHOWN REFLECT CERTAIN RECLASSIFICATIONS
RELATED TO BOOK-TO-TAX DIFFERENCES.
H FOR THE YEAR ENDED FEBRUARY 29
NOTES TO FINANCIAL STATEMENTS
For the period ended February 29, 2000
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. Foreign securities are valued based on quotations from 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 foreign securities are traded, and before
the close of the business of the fund, 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 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. 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 using the official closing price or the
last sale price in the principal market in which they are traded. If
the last sale price (on the local exchange) is unavailable, the last
evaluated quote or closing bid price normally is used. 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. Spartan International Index
may be subject to foreign taxes on income and gains on investments
which are accrued based upon the fund's understanding of the tax rules
and regulations that exist in the markets in which it invests. Foreign
governments may also impose taxes on other payments or transactions
with respect to foreign securities. Spartan International Index
accrues such taxes as applicable.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, non-taxable dividends 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.
1. SIGNIFICANT ACCOUNTING POLICIES - CONTINUED
DISTRIBUTIONS TO SHAREHOLDERS - CONTINUED
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 will not be subject to a
short-term trading fee.
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 $16,007 and $21,342, 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. Certain 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 each
applicable fund's Statement of Assets and Liabilities. The underlying
face amount at value of any open futures contracts at period end is
shown in each applicable fund's 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 futures 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
annual 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 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. Prior to October 1, 1999, the
sub-advisory fee included fees for securities lending. Under these
arrangements, each fund paid Bankers Trust fees equal to 40% of net
income from each fund's securities lending
4. FEES AND OTHER TRANSACTIONS WITH AFFILIATES - CONTINUED
SUB-ADVISER FEE - CONTINUED
program. For the period, the funds paid Bankers Trust the following
amounts:
ANNUALIZED %
OF AVERAGE
AMOUNT NET ASSETS
Spartan Total Market Index $36,100 0.01%
Spartan Extended Market Index 33,466 0.01%
Spartan International Index 4,464 0.00%
Effective October 1, 1999, the funds entered into a separate
securities lending agreement with Bankers Trust. Under the new
securities lending agreement each fund receives at least 70% of net
income from its securities lending program. Bankers Trust will retain
no more than 30% of net income under the agreement. For the period,
Bankers Trust retained the following amounts:.
AMOUNT
Spartan Total Market Index $49,938
Spartan Extended Market Index 61,461
Spartan International Index 3,298
In addition, shareholders approved a "manager-of-managers"
arrangement, which will allow FMR, with the approval of the Board of
Trustees to hire, terminate, or replace sub-advisers, and to modify
material terms and conditions of the sub-advisory agreement (including
the fees payable thereunder) for the funds without shareholders
approval. The implementation of this "manager-of-managers" structure,
however, is pending an exemptive order from the Securities and
Exchange Commission (SEC).
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 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 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.
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 annual rate of .13%, .14% and .14% of the average net
assets of Spartan Total Market Index, Spartan Extended Market Index
and Spartan International Index, respectively.
ACCOUNTING FEES. FSC, an affiliate of FMR, maintains each 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. 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.
Certain 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 the funds' 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 rate of average net
assets for each of the following funds:
FMR
EXPENSE
LIMITATIONS REIMBURSEMENT
Spartan Total Market Index .25% $1,066,116
Spartan Extended Market Index .25% 446,540
Spartan International Index .35% 349,481
In addition, through arrangements with the funds' custodian, credits
realized as a result of uninvested cash balances were used to reduce a
portion of the funds' expenses. During the period, fees were reduced
by $5,371 and $1,723, by the custodian for Spartan Total Market Index
and Spartan Extended Market Index, respectively, under this
arrangement.
REPORT OF INDEPENDENT ACCOUNTANTS
To the Trustees of Fidelity Concord Street Trust and the Shareholders
of Spartan Total Market Index, Spartan Extended Market Index, and
Spartan International Index:
In our opinion, the accompanying statements of assets and liabilities,
including the schedules of investments, and the related statements of
operations and of changes in net assets and the financial highlights
present fairly, in all material respects, the financial position of
Spartan Total Market Index, Spartan Extended Market Index and Spartan
International Index (funds of Fidelity Concord Street Trust) at
February 29, 2000, and the results of their operations, the changes in
their net assets and the financial highlights for the periods
indicated, in conformity with accounting principles generally accepted
in the United States. These financial statements and financial
highlights (hereafter referred to as "financial statements") are the
responsibility of the Fidelity Concord Street Trust's management; our
responsibility is to express an opinion on these financial statements
based on our audits. We conducted our audits of these financial
statements in accordance with auditing standards generally accepted in
the United States which require that we plan and perform the audit to
obtain reasonable assurance about whether the financial statements are
free of material misstatement. An audit includes examining, on a test
basis, evidence supporting the amounts and disclosures in the
financial statements, assessing the accounting principles used and
significant estimates made by management, and evaluating the overall
financial statement presentation. We believe that our audits, which
included confirmation of securities at February 29, 2000 by
correspondence with the custodian and brokers, provide a reasonable
basis for the opinion expressed above.
/s/PricewaterhouseCoopers LLP
PricewaterhouseCoopers LLP
Boston, Massachusetts
April 13, 2000
DISTRIBUTIONS
The Board of Trustees of each fund voted to pay to shareholders of
record at the opening of business on record date, the following
distributions per share derived from capital gains realized from sales
of portfolio securities, and dividends derived from net investment
income:
FUND PAY DATE RECORD DATE DIVIDENDS CAPITAL GAINS
Spartan Total
Market Index 04/10/00 04/07/00 $.05 $.17
Spartan Extended
Market Index 04/10/00 04/07/00 $.03 $.68
Spartan
International Index 04/10/00 04/07/00 $.00 $.08
Each fund hereby designates 100% of the long-term capital gain
dividends distributed during the fiscal year as 20%-rate capital gain
dividends.
INVESTMENT ADVISER
Fidelity Management & Research Company
Boston, MA
INVESTMENT SUB-ADVISER
Bankers Trust Company
OFFICERS
Edward C. Johnson 3d, PRESIDENT
Robert C. Pozen, SENIOR VICE PRESIDENT
Robert A. Lawrence, VICE PRESIDENT
Eric D. Roiter, SECRETARY
Robert A. Dwight, TREASURER
Matthew N. Karstetter, DEPUTY TREASURER
Maria F. Dwyer, DEPUTY TREASURER
John H. Costello, ASSISTANT TREASURER
BOARD OF TRUSTEES
Ralph F. Cox *
Phyllis Burke Davis *
Robert M. Gates *
Edward C. Johnson 3d
Donald J. Kirk *
Ned C. Lautenbach *
Peter S. Lynch
Marvin L. Mann *
William O. McCoy *
Gerald C. McDonough *
Robert C. Pozen
Thomas R. Williams *
ADVISORY BOARD
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
* INDEPENDENT TRUSTEES
SIF-ANN-0400 99610
1.717190.101
FIDELITY'S INDEX FUNDS
Spartan Extended Market Index Fund
Spartan International Index Fund
Spartan 500 Index Fund
Spartan Total Market Index Fund
THE FIDELITY TELEPHONE CONNECTION
MUTUAL FUND 24-HOUR SERVICE
Exchanges/Redemptions
and Account Assistance 1-800-544-6666
Product Information 1-800-544-6666
Retirement Accounts 1-800-544-4774
(8 a.m. - 9 p.m.)
TDD Service 1-800-544-0118
for the deaf and hearing impaired
(9 a.m. - 9 p.m. Eastern time)
Fidelity Automated Service
Telephone (FASTSM) 1-800-544-5555
AUTOMATED LINE FOR QUICKEST SERVICE
(2_FIDELITY_LOGOS)(registered trademark)
Corporate Headquarters
82 Devonshire St., Boston, MA 02109
www.fidelity.com
CONTENTS
PERFORMANCE A-2 How the fund has done over
time.
FUND TALK A-5 The manager's review of fund
performance, strategy and
outlook.
INVESTMENT CHANGES A-8 A summary of major shifts in
the fund's investments over
the past six months.
INVESTMENTS A-9 A complete list of the fund's
investments with their
market values.
FINANCIAL STATEMENTS A-21 Statements of assets and
liabilities, operations, and
changes in net assets, as
well as financial highlights.
NOTES A-25 Notes to the financial
statements.
REPORT OF INDEPENDENT A-29 The auditors' opinion.
ACCOUNTANTS
DISTRIBUTIONS A-30
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
PERIODS ENDED FEBRUARY 29, 2000 PAST 1 YEAR PAST 5 YEARS LIFE OF FUND
Fidelity US Bond Index 1.03% 39.74% 115.79%
LB Aggregate Bond 1.11% 40.22% 113.87%
Intermediate US Government 0.37% 32.14% n/a
Funds
CUMULATIVE TOTAL RETURNS show the fund's performance in percentage
terms over a set period - in this case, one year, five years or since
the fund started on March 8, 1990. For example, if you had invested
$1,000 in a fund that had a 5% return over the past year, the value of
your investment would be $1,050. You can compare the fund's returns to
the performance of the Lehman Brothers Aggregate Bond Index - a market
value-weighted 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 one year average represents a peer group of 127 mutual
funds. These benchmarks reflect reinvestment of dividends and capital
gains, if any, and exclude the effect of sales charges.
AVERAGE ANNUAL TOTAL RETURNS
PERIODS ENDED FEBRUARY 29, 2000 PAST 1 YEAR PAST 5 YEARS LIFE OF FUND
Fidelity US Bond Index 1.03% 6.92% 8.01%
LB Aggregate Bond 1.11% 6.99% 7.91%
Intermediate US Government 0.37% 5.72% 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
1999/09/30 214163.94 212266.05
1999/10/31 214529.42 213049.17
1999/11/30 214666.95 213034.37
1999/12/31 213793.81 212007.18
2000/01/31 213119.53 211313.59
2000/02/29 215785.67 213868.83
IMATRL PRASUN SHR__CHT 20000229 20000313 103352 R00000000000123
$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 February 29, 2000, the value of
the investment would have grown to $215,786 - a 115.79% 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 $213,869 - a 113.87% 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 FEBRUARY 29, 2000 PAST 1 MONTH PAST 6 MONTHS PAST 1 YEAR
Dividends per share 5.64(cents) 34.26(cents) 67.49(cents)
Annualized dividend rate 7.00% 6.70% 6.48%
30-day annualized yield 7.05% - -
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
$10.14 over the past one month, $10.25 over the past six months and
$10.42 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 6.84%.
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 12-month period that ended February 29, 2000, the fund had
a total return of 1.03%. To get a sense of how the fund did relative
to its competitors, the intermediate U.S. government funds average, as
tracked by Lipper Inc., returned 0.37% for the same 12-month period.
For another comparison, the Lehman Brothers Aggregate Bond Index
returned 1.11%.
Q. WHAT FACTORS SHAPED THE INVESTMENT ENVIRONMENT OVER THE PAST 12
MONTHS?
A. Rising interest rates, inflation worries and concerns about
Y2K-related computer glitches caused bonds to suffer one of their
worst 12-month periods since the 1970s. Better-than-expected economic
growth in the U.S. and rebounding economies overseas sparked anxiety
that inflation would take root after remaining dormant for most of the
1990s. Bond investors, of course, dislike inflation because it eats
into the returns of fixed-income investments. Those inflationary fears
persisted throughout the year, despite the fact that inflation
remained virtually non-existent. The lack of any meaningful
inflationary signs didn't stop the Federal Reserve from raising rates
four times in pre-emptive efforts designed to squash any future
inflationary pressures. In response, investors favored the
higher-yielding segments of the market, helping to boost agency,
corporate and mortgage securities at the expense of Treasuries in the
early months of the period.
Q. SUPPLY AND DEMAND ALSO PLAYED A KEY ROLE IN THE PERFORMANCE OF
VARIOUS TYPES OF BONDS . . .
A. That's true. The comparatively high yields offered by agency and
corporate securities helped them outperform Treasury securities in the
early months of the period when inflationary worries began to take
hold. But in the summer and fall, agencies and corporate securities
suffered from a supply glut. Many large agency issuers - particularly
Fannie Mae and Freddie Mac - increased their issuance. Corporations
accelerated much of their issuance into the summer to sidestep what
some predicted would be a less liquid period for the bond market due
to Y2K-related concerns in the final quarter of 1999. As supply
mushroomed, corporate and agency securities languished. The
nervousness about Y2K subsided in the final quarter of 1999, supply
abated and corporate and agency securities rallied into year-end.
Mortgages, on the other hand, suffered from oversupply early on when
home loan refinancing activity was at a fevered pace. But by summer,
refinancing activity had all but stopped in response to higher
interest rates; supply dwindled and mortgages performed reasonably
well compared to Treasuries. So far in 2000, the dwindling supply of
long-term Treasuries has been the main story. Despite continually
rising interest rates, the prices for 30-year Treasury bonds soared as
investors rushed to buy them ahead of the Treasury Department's
reduction of outstanding debt. All other types of bonds - shorter-term
Treasuries, agencies, corporates and mortgages - suffered in
comparison.
Q. GIVEN THAT MIXED AND CHANGING BACKDROP, HOW DID EACH OF THE
SEGMENTS THAT MAKE UP THE LEHMAN BROTHERS AGGREGATE BOND INDEX PERFORM
OVER THE PAST 12 MONTHS?
A. For the 12-month period that ended February 29, 2000, here's how
individual sectors within the index performed: mortgage-backed
securities, at about 34.1% of the index, returned 1.82%; corporate
securities, which accounted for nearly 21.8% of the index, returned
0.01%; agency securities, at about 9.5% of the index, returned 1.18%;
and asset-backed securities, at about 1.3% of the index, returned
2.59%. Those returns compared to the 1.11% return of U.S. Treasury
securities, which made up about 31.9% of the index.
Q. HOW DID YOU MANAGE THE FUND?
A. I managed the fund so that its performance tracked that of the
Lehman Brothers Aggregate Bond Index, using a process known as
stratified sampling. Instead of buying each security in the index,
which is made up of more than 5,000 individual securities, I put
together a portfolio that replicates the characteristics of the index
- - including credit quality, maturity, sector and others - by investing
in representative securities. As an example, I managed the credit
quality of the fund and the distribution of credit quality to
approximate the index. I start by determining what portion of
securities in the index have a credit rating of Aaa, Aa, A and so on.
After that, I identify bonds that give the fund the same credit
quality breakdown as the index. I use the same process with other
characteristics. I chose securities, based on Fidelity's research,
which have the characteristics I'm looking for with the potential to
outperform other securities with similar characteristics.
Q. WHICH HOLDINGS BENEFITED THE FUND'S PERFORMANCE?
A. Some of the fund's best-performing holdings were corporate bonds
from the utilities and REIT (real estate investment trust) sectors. In
addition, the fund was helped by some of its holdings in Yankee bonds,
which are bonds issued by foreign governments and companies but
denominated in U.S. dollars. In that area, some of our biggest gainers
came from Mexico, which enjoyed an economic rebound and a credit
upgrade. In the mortgage sector, the fund was helped by its moderate
overweighting in 30-year mortgage securities, which outpaced 15-year
mortgages.
Q. WHICH HOLDINGS PROVED DISAPPOINTING DURING THE PERIOD?
A. The fund's modest overweighting in long-duration agency securities
detracted from performance. They were hurt by the oversupply of
agencies and the fact that their long maturity made them especially
sensitive to rising interest rates.
Q. WHAT'S YOUR OUTLOOK?
A. At the end of the period, the Federal Reserve Board appeared to be
leaning toward continuing to raise interest rates in response to
continued strong economic growth here and abroad. That being said,
other signals point to a slower economy by year-end. But no matter
what the direction of interest rates, 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 returns
consistent with those of the
Lehman Brothers Aggregate
Bond Index
START DATE: March 8, 1990
SIZE: as of February 29,
2000, more than $1.5
billion
MANAGER: Thomas Silvia,
since 1998; manager,
various other Fidelity and
Spartan bond funds; joined
Fidelity in 1993
TOM SILVIA ON THE REDUCED
SUPPLY OF U.S. TREASURY
SECURITIES AND ITS EFFECT
ON OTHER TYPES OF BONDS:
"Despite the fact that interest
rates were on the upswing, 30-year
Treasury bonds posted strong
gains from late January through
February 2000. Intense buying of
the 30-year Treasury bond was
sparked by the U.S. Treasury
Department's plan to trim
outstanding government debt by
purchasing back some older
Treasury securities. In addition,
the Treasury also announced
plans to cut its sales of new
30-year bonds. Those two pieces of
news sent investors rushing to sell
shorter-maturity Treasury
securities and other types of
bonds, including so-called `spread
products' including mortgage,
agency and corporate securities.
As their prices moved lower, yields
on the spread products moved
higher. Given their yield advantage
at the end of February 2000, I
believe that agency and mortgage
securities can outpace their
Treasury counterparts once
investors become more
comfortable with the reduction in
Treasury supply."
INVESTMENT CHANGES
<TABLE>
<CAPTION>
<S> <C> <C>
QUALITY DIVERSIFICATION AS OF
FEBRUARY 29, 2000
(MOODY'S RATINGS) % OF FUND'S INVESTMENTS % OF FUND'S INVESTMENTS 6
MONTHS AGO
Aaa 70.6 70.5
Aa 1.8 1.1
A 10.9 10.0
Baa 12.0 12.9
Ba and Below 0.5 0.0
Not Rated 0.8 0.9
</TABLE>
TABLE EXCLUDES SHORT-TERM INVESTMENTS. WHERE MOODY'S RATINGS ARE NOT
AVAILABLE, WE HAVE USED S&P RATINGS. SECURITIES RATED AS BA OR BELOW
WERE RATED INVESTMENT GRADE BY OTHER NATIONALLY RECOGNIZED RATING
AGENCIES OR ASSIGNED AN INVESTMENT GRADE RATING AT THE TIME OF
ACQUISITION BY FIDELITY
AVERAGE YEARS TO MATURITY AS
OF FEBRUARY 29, 2000
6 MONTHS AGO
Years 8.9 8.7
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 FEBRUARY 29,
2000
6 MONTHS AGO
Years 5.2 5.2
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 FEBRUARY 29, 2000 *
Corporate Bonds 23.2%
U.S. Government and
Government Agency
Obligations 36.4%
U.S. Government
Mortgage
Securities 33.9%
CMOs and Other
Mortgage Related
Securities 2.7%
Other Investments 2.8%
Short-Term Investments
and Net Other Assets 1.0%
* FOREIGN
INVESTMENTS 5.7%
Row: 1, Col: 1, Value: 23.2
Row: 1, Col: 2, Value: 36.4
Row: 1, Col: 3, Value: 33.9
Row: 1, Col: 4, Value: 2.7
Row: 1, Col: 5, Value: 2.8
Row: 1, Col: 6, Value: 1.0
AS OF AUGUST 31, 1999 **
Corporate Bonds 21.9%
U.S. Government and
Government Agency
Obligations 39.6%
U.S. Government
Mortgage
Securities 31.6%
CMOs and Other
Mortgage Related
Securities 3.0%
Other Investments 2.5%
Short-Term Investments
and Net Other Assets 1.4%
** FOREIGN
INVESTMENTS 5.3%
Row: 1, Col: 1, Value: 21.9
Row: 1, Col: 2, Value: 39.6
Row: 1, Col: 3, Value: 31.6
Row: 1, Col: 4, Value: 3.0
Row: 1, Col: 5, Value: 2.5
Row: 1, Col: 6, Value: 1.4
INVESTMENTS FEBRUARY 29, 2000
Showing Percentage of Net Assets
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C>
NONCONVERTIBLE BONDS - 23.2%
MOODY'S RATINGS (UNAUDITED) (A) PRINCIPAL AMOUNT (000S) VALUE (NOTE 1) (000S)
AEROSPACE & DEFENSE - 0.4%
DEFENSE ELECTRONICS - 0.4%
Raytheon Co.:
5.95% 3/15/01 Baa2 $ 3,300 $ 3,245
6.45% 8/15/02 Baa2 3,470 3,362
6,607
BASIC INDUSTRIES - 1.0%
PACKAGING & CONTAINERS - 0.2%
Corning, Inc. 6.85% 3/1/29 A2 2,330 2,071
PAPER & FOREST PRODUCTS - 0.8%
Fort James Corp. 6.625% Baa2 5,791 5,530
9/15/04
Westvaco Corp. 8.2% 1/15/30 A3 7,000 7,142
12,672
TOTAL BASIC INDUSTRIES 14,743
CONSTRUCTION & REAL ESTATE -
0.5%
REAL ESTATE - 0.3%
Duke-Weeks Realty LP 6.875% Baa2 4,000 3,766
3/15/05
REAL ESTATE INVESTMENT TRUSTS
- - 0.2%
Avalonbay Communities, Inc. Baa1 2,000 1,915
6.58% 2/15/04
CenterPoint Properties Trust Baa2 1,600 1,477
6.75% 4/1/05
3,392
TOTAL CONSTRUCTION & REAL 7,158
ESTATE
ENERGY - 1.3%
OIL & GAS - 1.3%
Amerada Hess Corp. 7.375% Baa1 5,000 4,806
10/1/09
Oryx Energy Co. 8.125% Baa1 7,935 8,014
10/15/05
Petro-Canada 7% 11/15/28 A3 2,940 2,573
Vastar Resources, Inc. 6.5% Baa1 5,900 5,411
4/1/09
20,804
FINANCE - 10.9%
BANKS - 3.6%
Bank of America Corp. 7.8% Aa3 1,700 1,691
2/15/10
Bank of Tokyo-Mitsubishi Ltd. A3 2,800 2,820
8.4% 4/15/10
Barnett Banks, Inc. 10.875% Aa3 1,020 1,114
3/15/03
NONCONVERTIBLE BONDS -
CONTINUED
MOODY'S RATINGS (UNAUDITED) (A) PRINCIPAL AMOUNT (000S) VALUE (NOTE 1) (000S)
FINANCE - CONTINUED
BANKS - CONTINUED
Den Danske Bank AS 6.375% A1 $ 7,770 $ 7,095
6/15/08 (b)(d)
First Chicago Corp. 7% A1 5,385 5,128
10/16/06
First Tennessee National Baa1 1,540 1,462
Corp. 6.75% 11/15/05
Kansallis-Osake-Pankki (NY A2 3,110 3,255
Branch) yankee 10% 5/1/02
Korea Development Bank 7.375% Baa2 4,500 4,320
9/17/04
Mellon Financial Co. 6.7% A3 5,000 4,673
3/1/08
Merita Bank Ltd. yankee 6.5% A2 2,100 1,957
1/15/06
National Westminster Bank PLC Aa3 5,000 4,793
7.375% 10/1/09
Nordbanken AB 7.25% 11/12/09 A2 10,000 9,657
(d)
Popular, Inc. 6.2% 4/30/01 A3 1,325 1,308
Providian National Bank:
6.25% 5/7/01 Baa3 3,390 3,328
6.75% 3/15/02 Baa3 1,310 1,274
Union Planters Corp. 6.75% Baa2 1,500 1,401
11/1/05
55,276
CREDIT & OTHER FINANCE - 4.9%
Ahmanson Capital Trust I A3 4,800 4,712
8.36% 12/1/26 (b)
Aristar, Inc. 6% 5/15/02 A3 1,600 1,553
AT&T Capital Corp. 6.25% A1 4,350 4,305
5/15/01
Bellsouth Capital Funding Aa3 7,000 6,996
Corp. 7.875% 2/15/30
Countrywide Funding Corp. A3 5,000 4,845
6.45% 2/27/03
Duke Capital Corp. 7.5% A3 5,000 4,877
10/1/09
Edison Mission Energy Funding Baa1 3,592 3,530
Corp. 6.77% 9/15/03 (b)
First Security Capital I A3 3,000 2,851
8.41% 12/15/26
Ford Motor Credit Co. 5.75% A1 3,000 2,821
2/23/04
General Motors Acceptance A2 10,000 8,750
Corp. 5.85% 1/14/09
Pemex Finance Ltd. 9.03% Baa1 6,800 6,943
2/15/11 (b)
PNC Funding Corp. 7.5% 11/1/09 A3 7,000 6,827
Popular North America, Inc. A3 2,540 2,510
7.375% 9/15/01
Sprint Capital Corp. 5.7% Baa1 4,000 3,781
11/15/03
Textron Financial Corp. A2 7,000 6,849
7.125% 12/9/04
NONCONVERTIBLE BONDS -
CONTINUED
MOODY'S RATINGS (UNAUDITED) (A) PRINCIPAL AMOUNT (000S) VALUE (NOTE 1) (000S)
FINANCE - CONTINUED
CREDIT & OTHER FINANCE -
CONTINUED
Trizec Finance Ltd. yankee Baa3 $ 1,470 $ 1,525
10.875% 10/15/05
TXU Eastern Funding 6.75% Baa1 1,200 1,095
5/15/09
74,770
INSURANCE - 1.1%
Allstate Corp. 7.2% 12/1/09 A1 5,000 4,745
Farmers Insurance Exchange A2 9,000 9,408
8.625% 5/1/24 (b)
Metropolitan Life Insurance A1 3,560 3,414
Co. 6.3% 11/1/03 (b)
17,567
SECURITIES INDUSTRY - 1.3%
Amvescap PLC yankee 6.375% A3 4,835 4,608
5/15/03
DLJ, Inc. 8% 3/1/05 A3 5,000 5,012
Goldman Sachs Group, Inc. A1 4,000 3,978
7.5% 1/28/05
Lehman Brothers Holdings 7% A3 7,000 6,838
5/15/03
20,436
TOTAL FINANCE 168,049
INDUSTRIAL MACHINERY &
EQUIPMENT - 0.5%
Tyco International Group SA:
6.875% 9/5/02 (b) Baa1 5,150 5,061
yankee 6.375% 6/15/05 Baa1 2,255 2,110
7,171
MEDIA & LEISURE - 2.6%
BROADCASTING - 1.6%
Continental Cablevision, Inc. Baa2 5,000 5,126
8.3% 5/15/06
Cox Communications, Inc. Baa2 3,225 3,178
7.75% 8/15/06
Nielsen Media Research, Inc. Baa2 2,270 2,183
7.6% 6/15/09
TCI Communications, Inc.:
8.75% 8/1/15 A2 5,535 6,002
9.8% 2/1/12 A2 6,465 7,446
23,935
NONCONVERTIBLE BONDS -
CONTINUED
MOODY'S RATINGS (UNAUDITED) (A) PRINCIPAL AMOUNT (000S) VALUE (NOTE 1) (000S)
MEDIA & LEISURE - CONTINUED
PUBLISHING - 1.0%
News America, Inc. 7.3% Baa3 $ 5,000 $ 4,386
4/30/28
Time Warner Entertainment Co. Baa2 11,000 11,219
LP 8.375% 7/15/33
15,605
TOTAL MEDIA & LEISURE 39,540
NONDURABLES - 0.2%
FOODS - 0.1%
ConAgra, Inc. 5.5% 10/15/02 Baa1 2,400 2,279
TOBACCO - 0.1%
Philip Morris Companies, Inc. A2 1,015 944
7% 7/15/05
TOTAL NONDURABLES 3,223
RETAIL & WHOLESALE - 0.9%
DRUG STORES - 0.4%
Rite Aid Corp.:
6% 12/15/00 (b) B1 5,000 4,200
6.5% 12/15/05 (b) B1 4,740 2,939
7,139
GENERAL MERCHANDISE STORES -
0.1%
Federated Department Stores, Baa1 1,800 1,727
Inc. 6.79% 7/15/27
GROCERY STORES - 0.4%
Safeway, Inc. 7.5% 9/15/09 Baa2 6,000 5,872
TOTAL RETAIL & WHOLESALE 14,738
SERVICES - 0.3%
LEASING & RENTAL - 0.3%
Hertz Corp. 7.625% 8/15/07 A3 4,605 4,535
TECHNOLOGY - 0.2%
COMPUTERS & OFFICE EQUIPMENT
- - 0.2%
Comdisco, Inc.:
7.25% 9/1/02 Baa1 1,600 1,582
NONCONVERTIBLE BONDS -
CONTINUED
MOODY'S RATINGS (UNAUDITED) (A) PRINCIPAL AMOUNT (000S) VALUE (NOTE 1) (000S)
TECHNOLOGY - CONTINUED
COMPUTERS & OFFICE EQUIPMENT
- - CONTINUED
Comdisco, Inc.: - continued
9.25% 7/6/00 Baa2 $ 375 $ 379
9.3% 6/27/00 Baa2 1,250 1,260
3,221
TRANSPORTATION - 1.2%
AIR TRANSPORTATION - 0.7%
Continental Airlines, Inc. Baa1 1,410 1,370
pass thru trust certificates
7.42% 10/1/08
Delta Air Lines, Inc.:
7.9% 12/15/09 (b) Baa3 7,000 6,657
9.875% 5/15/00 Baa3 3,000 3,014
11,041
RAILROADS - 0.5%
Canadian National Railway Co. Baa2 3,150 2,780
6.9% 7/15/28
CSX Corp. 6.46% 6/22/05 Baa2 2,000 1,883
Wisconsin Central Baa2 3,150 2,883
Transportation Corp. 6.625%
4/15/08
7,546
TOTAL TRANSPORTATION 18,587
UTILITIES - 3.2%
CELLULAR - 0.4%
Cable & Wireless Baa1 7,100 6,929
Communications PLC 6.375%
3/6/03
ELECTRIC UTILITY - 0.9%
Avon Energy Partners Holdings:
6.46% 3/4/08 (b) Baa2 5,000 4,500
6.73% 12/11/02 (b) Baa2 4,450 4,354
Israel Electric Corp. Ltd. A3 3,000 2,824
7.1% 12/15/07 (b)
Massachusetts Electric Co. A1 2,000 1,897
6.78% 11/20/06
13,575
GAS - 1.3%
CMS Panhandle Holding Co. Baa3 6,700 6,322
6.125% 3/15/04
Enron Corp. 6.95% 7/15/28 Baa2 7,000 6,126
NONCONVERTIBLE BONDS -
CONTINUED
MOODY'S RATINGS (UNAUDITED) (A) PRINCIPAL AMOUNT (000S) VALUE (NOTE 1) (000S)
UTILITIES - CONTINUED
GAS - CONTINUED
Enserch Corp. 6.25% 1/1/03 Baa2 $ 4,375 $ 4,216
Southwest Gas Corp. 9.75% Baa2 3,020 3,126
6/15/02
19,790
TELEPHONE SERVICES - 0.6%
MCI WorldCom, Inc. 8.875% A3 2,014 2,095
1/15/06
Telecomunicaciones de Puerto Baa2 1,990 1,844
Rico, Inc. 6.65% 5/15/06
Teleglobe Canada, Inc. 7.7% Baa1 5,000 4,775
7/20/29
8,714
TOTAL UTILITIES 49,008
TOTAL NONCONVERTIBLE BONDS 357,384
(Cost $375,359)
U.S. GOVERNMENT AND
GOVERNMENT AGENCY
OBLIGATIONS - 36.4%
U.S. GOVERNMENT AGENCY
OBLIGATIONS - 8.8%
Fannie Mae:
5.125% 2/13/04 Aaa 6,200 5,782
5.25% 1/15/09 Aaa 5,000 4,351
6.5% 8/15/04 Aaa 11,500 11,227
6.5% 4/29/09 Aaa 20,200 18,669
7.125% 1/15/30 Aaa 24,000 24,131
Federal Agricultural Mortgage
Corp.:
6.92% 8/10/02 Aaa 1,040 1,039
7.44% 5/25/00 Aaa 500 501
Federal Farm Credit Bank Aaa 5,000 4,755
5.97% 3/11/05
Federal Home Loan Bank 6% Aaa 3,000 2,935
8/15/02
Federal National Mortgage
Association:
0% 4/8/03 Aaa 1,000 808
0% 10/8/04 Aaa 1,000 723
Freddie Mac:
6.25% 7/15/04 Aaa 11,000 10,637
7.625% 9/9/09 Aaa 2,930 2,882
U.S. GOVERNMENT AND
GOVERNMENT AGENCY
OBLIGATIONS - CONTINUED
MOODY'S RATINGS (UNAUDITED) (A) PRINCIPAL AMOUNT (000S) VALUE (NOTE 1) (000S)
U.S. GOVERNMENT AGENCY
OBLIGATIONS - CONTINUED
Government Loan Trusts Aaa $ 2,405 $ 2,482
(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 325 331
Class 2-E, 9.4% 5/15/02 Aaa 784 800
Class T-3, 9.625% 5/15/02 Aaa 908 927
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 893 854
Series 1993-D, 5.23% 5/15/05 Aaa 420 399
Series 1995-A, 6.28% 6/15/04 Aaa 7,179 7,035
Series 1995-B, 6.13% 6/15/04 Aaa 9,000 8,792
Guaranteed Trade Trust Aaa 2,917 2,862
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 1,165 1,143
8/15/04 (callable)
Series 1998-196A, 5.926% - 2,385 2,326
6/15/05
Private Export Funding Corp.:
secured:
5.48% 9/15/03 Aaa 1,300 1,262
5.65% 3/15/03 Aaa 1,115 1,096
5.8% 2/1/04 Aaa 1,520 1,488
6.86% 4/30/04 Aaa 614 609
5.31% 11/15/03 (b) Aaa 5,000 4,687
U.S. Department of Housing
and Urban Development
government guaranteed
participation certificates:
Series 1999-A, 5.75% 8/1/06 - 7,500 6,894
Series 99-A, 5.96% 8/1/09 - 3,600 3,340
TOTAL U.S. GOVERNMENT AGENCY 135,767
OBLIGATIONS
U.S. GOVERNMENT AND
GOVERNMENT AGENCY
OBLIGATIONS - CONTINUED
MOODY'S RATINGS (UNAUDITED) (A) PRINCIPAL AMOUNT (000S) VALUE (NOTE 1) (000S)
U.S. TREASURY OBLIGATIONS -
27.6%
U.S. Treasury Bonds:
6.5% 11/15/26 Aaa $ 2,000 $ 2,047
8% 11/15/21 Aaa 4,610 5,453
8.125% 5/15/21 Aaa 7,000 8,355
8.75% 5/15/17 Aaa 45,790 56,400
8.875% 8/15/17 Aaa 35,000 43,635
12% 8/15/13 Aaa 25,300 33,621
14% 11/15/11 Aaa 50,480 69,670
U.S. Treasury Notes:
4.75% 11/15/08 Aaa 2,000 1,758
4.875% 3/31/01 Aaa 116,000 114,187
5.5% 7/31/01 Aaa 8,000 7,895
5.875% 11/15/04 Aaa 49,000 47,576
U.S. Treasury Notes - coupon Aaa 72,000 33,553
STRIPS 0% 11/15/11
TOTAL U.S. TREASURY 424,150
OBLIGATIONS
TOTAL U.S. GOVERNMENT AND 559,917
GOVERNMENT AGENCY OBLIGATIONS
(Cost $580,901)
U.S. GOVERNMENT AGENCY -
MORTGAGE SECURITIES - 33.9%
FANNIE MAE - 19.9%
5.5% 1/1/09 to 4/1/11 Aaa 6,899 6,459
6% 3/1/11 to 2/1/29 Aaa 52,111 48,054
6.5% 12/1/08 to 8/1/29 Aaa 81,558 76,558
7% 12/1/16 to 10/1/29 Aaa 116,066 111,381
7.5% 11/1/07 to 2/1/30 Aaa 16,066 15,782
8% 12/1/17 to 12/1/29 Aaa 29,691 29,791
8% 3/1/30 (c) Aaa 4,000 4,004
8% 4/1/30 (c) Aaa 7,100 7,086
8.5% 6/1/17 to 8/1/23 Aaa 3,770 3,868
9.5% 12/1/09 to 9/1/21 Aaa 1,993 2,114
10.75% 9/1/10 to 5/1/14 Aaa 141 152
11.25% 5/1/14 Aaa 22 24
U.S. GOVERNMENT AGENCY -
MORTGAGE SECURITIES -
CONTINUED
MOODY'S RATINGS (UNAUDITED) (A) PRINCIPAL AMOUNT (000S) VALUE (NOTE 1) (000S)
FANNIE MAE - CONTINUED
11.5% 8/1/14 Aaa $ 68 $ 75
12.5% 1/1/15 Aaa 37 41
13.5% 11/1/14 Aaa 12 14
14% 3/1/12 to 9/1/13 Aaa 111 126
TOTAL FANNIE MAE 305,529
FREDDIE MAC - 5.1%
6.5% 10/1/07 Aaa 403 393
7.5% 9/1/15 to 10/1/29 Aaa 5,407 5,323
8% 7/1/16 to 2/1/28 Aaa 1,933 1,943
8.5% 9/1/19 to 3/1/30 Aaa 50,992 52,177
8.5% 3/1/30 (c) Aaa 15,000 15,347
9% 11/1/01 to 10/1/16 Aaa 234 240
9.5% 10/1/08 to 9/1/18 Aaa 497 513
10% 6/1/20 Aaa 60 64
10.5% 5/1/09 to 2/1/19 Aaa 249 261
11% 5/1/15 to 9/1/20 Aaa 1,499 1,607
11.5% 8/1/13 to 10/1/15 Aaa 59 64
11.75% 9/1/13 Aaa 35 38
12% 2/1/13 to 7/1/15 Aaa 35 38
12.75% 8/1/12 to 10/1/13 Aaa 38 43
13.5% 12/1/14 Aaa 194 219
TOTAL FREDDIE MAC 78,270
GOVERNMENT NATIONAL MORTGAGE
ASSOCIATION - 8.9%
6% 12/15/08 to 4/15/09 Aaa 1,454 1,383
6.5% 6/15/23 to 12/15/28 Aaa 20,068 18,758
7% 12/15/22 to 12/15/28 Aaa 31,548 30,245
7.5% 2/15/17 to 3/15/30 Aaa 58,715 57,797
8% 11/15/16 to 11/15/29 Aaa 16,335 16,459
8% 3/1/30 (c) Aaa 9,100 9,126
8.5% 3/15/30 (c) Aaa 2,000 2,046
U.S. GOVERNMENT AGENCY -
MORTGAGE SECURITIES -
CONTINUED
MOODY'S RATINGS (UNAUDITED) (A) PRINCIPAL AMOUNT (000S) VALUE (NOTE 1) (000S)
GOVERNMENT NATIONAL MORTGAGE
ASSOCIATION - CONTINUED
9.5% 3/15/23 Aaa $ 90 $ 96
10.5% 5/20/16 to 1/20/18 Aaa 1,396 1,519
TOTAL GOVERNMENT NATIONAL 137,429
MORTGAGE ASSOCIATION
TOTAL U.S. GOVERNMENT AGENCY 521,228
- - MORTGAGE SECURITIES
(Cost $536,092)
ASSET-BACKED SECURITIES - 1.5%
BankAmerica Manufacturing Aaa 2,390 2,329
Housing Contract 6.2% 4/10/09
CIT Marine Trust 5.8% 4/15/10 Aaa 5,000 4,713
CS First Boston Mortgage Aaa 3,646 3,645
Securities Corp. 7% 3/15/27
Key Auto Finance Trust 6.65% Baa3 244 243
10/15/03
MBNA Master Credit Card Trust Aaa 5,000 5,002
II 7.35% 7/16/07
Olympic Automobile Aaa 452 447
Receivables Trust 6.125%
11/15/04
West Penn Funding LLC 6.63% Aaa 5,000 4,929
12/26/05
WFS Financial Owner Trust Aaa 1,442 1,442
6.9% 12/20/03
TOTAL ASSET-BACKED SECURITIES 22,750
(Cost $23,222)
COMMERCIAL MORTGAGE
SECURITIES - 2.7%
Allied Capital Commercial Aaa 1,502 1,470
Mortgage Trust sequential
pay Series 1998-1 Class A,
6.31% 1/25/28 (b)
Equitable Life Assurance Aaa 16,000 15,627
Society of the United States
sequential pay Series 174
Class A1, 7.24% 5/15/06 (b)
First Union-Lehman Brothers Aa2 15,000 14,118
Commercial Mortgage Trust
sequential pay Series
1997-C2 Class B, 6.79%
11/18/29
COMMERCIAL MORTGAGE
SECURITIES - CONTINUED
MOODY'S RATINGS (UNAUDITED) (A) PRINCIPAL AMOUNT (000S) VALUE (NOTE 1) (000S)
GS Mortgage Securities Corp. Baa2 $ 6,000 $ 5,970
II Series 1999-GSFL II Class
E, 7.8549% 11/13/13 (b)(d)
Heller Financial Commercial Aaa 5,000 5,033
Mortgage Asset Corp.
sequential pay Series
2000-PH1 Class A1, 7.715%
9/15/08
TOTAL COMMERCIAL MORTGAGE 42,218
SECURITIES
(Cost $44,411)
FOREIGN GOVERNMENT AND
GOVERNMENT AGENCY
OBLIGATIONS (E) - 1.3%
Korean Republic yankee 8.875% Baa2 4,240 4,450
4/15/08
Newfoundland Province yankee Baa1 4,000 4,900
11.625% 10/15/07
Quebec Province yankee 7.5% A2 10,000 9,824
7/15/23
TOTAL FOREIGN GOVERNMENT AND 19,174
GOVERNMENT AGENCY OBLIGATIONS
(Cost $21,057)
CASH EQUIVALENTS - 3.6%
MATURITY AMOUNT (000S)
Investments in repurchase $ 54,674 54,665
agreements (U.S. Government
obligations), in a joint
trading account at 5.86%,
dated 2/29/00 due 3/1/00
(Cost $54,665)
TOTAL INVESTMENT PORTFOLIO - 1,577,336
102.6%
(Cost $1,635,707)
NET OTHER ASSETS - (2.6)% (39,814)
NET ASSETS - 100% $ 1,537,522
</TABLE>
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 $93,391,000 or 6.1% 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 83.3% AAA, AA, A 75.8%
Baa 12.0% BBB 12.6%
Ba 0.0% BB 0.1%
B 0.5% B 0.5%
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 0.8%.
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 February 29, 2000, the aggregate cost of investment securities for
income tax purposes was $1,635,964,000. Net unrealized depreciation
aggregated $58,628,000, of which $1,498,000 related to appreciated
investment securities and $60,126,000 related to depreciated
investment securities.
The fund hereby designates approximately $4,989,000 as a capital gain
dividend for the purpose of the dividend paid deduction.
At February 29, 2000, the fund had a capital loss carryforward of
approximately $22,625,000 all of which will expire on February 29,
2008.
FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
AMOUNTS IN THOUSANDS (EXCEPT
PER-SHARE AMOUNT)
FEBRUARY 29, 2000
ASSETS
Investment in securities, at $ 1,577,336
value (including repurchase
agreements of $54,665) (cost
$1,635,707) - See
accompanying schedule
Cash 1
Receivable for investments 16,881
sold
Receivable for fund shares 1,878
sold
Interest receivable 19,444
TOTAL ASSETS 1,615,540
LIABILITIES
Payable for investments 37,728
purchased Regular delivery
Delayed delivery 37,518
Payable for fund shares 2,032
redeemed
Distributions payable 234
Accrued management fee 165
Other payables and accrued 341
expenses
TOTAL LIABILITIES 78,018
NET ASSETS $ 1,537,522
Net Assets consist of:
Paid in capital $ 1,629,395
Undistributed net investment 820
income
Accumulated undistributed net (34,322)
realized gain (loss) on
investments
Net unrealized appreciation (58,371)
(depreciation) on investments
NET ASSETS, for 151,167 $ 1,537,522
shares outstanding
NET ASSET VALUE, offering $10.17
price and redemption price
per share ($1,537,522
(divided by) 151,167 shares)
STATEMENT OF OPERATIONS
AMOUNTS IN THOUSANDS YEAR
ENDED FEBRUARY 29, 2000
INVESTMENT INCOME $ 98,026
Interest
Security lending 127
Total Income 98,153
EXPENSES
Management fee $ 4,596
Transfer agent fees 1,887
Accounting and security 326
lending fees
Non-interested trustees' 4
compensation
Custodian fees and expenses 108
Registration fees 189
Audit 44
Legal 9
Miscellaneous 2
Total expenses before 7,165
reductions
Expense reductions (2,711) 4,454
NET INVESTMENT INCOME 93,699
REALIZED AND UNREALIZED GAIN (33,761)
(LOSS)
Net realized gain (loss) on
investment securities
Change in net unrealized (44,246)
appreciation (depreciation)
on investment securities
NET GAIN (LOSS) (78,007)
NET INCREASE (DECREASE) IN $ 15,692
NET ASSETS RESULTING FROM
OPERATIONS
<TABLE>
<CAPTION>
<S> <C> <C>
STATEMENT OF CHANGES IN NET ASSETS
AMOUNTS IN THOUSANDS YEAR ENDED FEBRUARY 29, 2000 YEAR ENDED FEBRUARY 28, 1999
INCREASE (DECREASE) IN NET
ASSETS
Operations Net investment $ 93,699 $ 67,276
income
Net realized gain (loss) (33,761) 21,138
Change in net unrealized (44,246) (28,341)
appreciation (depreciation)
NET INCREASE (DECREASE) IN 15,692 60,073
NET ASSETS RESULTING FROM
OPERATIONS
Distributions to shareholders (93,349) (66,592)
From net investment income
From net realized gain (6,645) -
In excess of net realized (762) -
gain
TOTAL DISTRIBUTIONS (100,756) (66,592)
Share transactions Net 940,208 932,427
proceeds from sales of shares
Reinvestment of distributions 97,054 63,155
Cost of shares redeemed (709,196) (509,619)
NET INCREASE (DECREASE) IN 328,066 485,963
NET ASSETS RESULTING FROM
SHARE TRANSACTIONS
TOTAL INCREASE (DECREASE) 243,002 479,444
IN NET ASSETS
NET ASSETS
Beginning of period 1,294,520 815,076
End of period (including $ 1,537,522 $ 1,294,520
undistributed net investment
income of $820 and $671,
respectively)
OTHER INFORMATION
Shares
Sold 90,129 85,262
Issued in reinvestment of 9,331 5,779
distributions
Redeemed (68,189) (46,605)
Net increase (decrease) 31,271 44,436
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C>
FINANCIAL HIGHLIGHTS
YEAR ENDED FEBRUARY 28,
2000 E 1999 1998 1997 1996 E
SELECTED PER-SHARE DATA
Net asset value, beginning $ 10.800 $ 10.800 $ 10.480 $ 10.710 $ 10.250
of period
Income from Investment .678 B .690 B .738 B .739 B .755
Operations Net investment
income
Net realized and unrealized (.573) (.003) .316 (.235) .460
gain (loss)
Total from investment .105 .687 1.054 .504 1.215
operations
Less Distributions
From net investment income (.675) (.687) (.734) (.734) (.755)
From net realized gain (.054) - - - -
In excess of net realized gain (.006) - - - -
Total distributions (.735) (.687) (.734) (.734) (.755)
Net asset value, end of period $ 10.170 $ 10.800 $ 10.800 $ 10.480 $ 10.710
TOTAL RETURN A 1.03% 6.48% 10.41% 4.93% 12.13%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period $ 1,538 $ 1,295 $ 815 $ 568 $ 476
(in millions)
Ratio of expenses to average .32% C .32% C .32% C .32% C .32% C
net assets
Ratio of expenses to average .31% D .31% D .31% D .31% D .31% D
net assets after expense
reductions
Ratio of net investment 6.53% 6.35% 6.98% 7.05% 7.11%
income to average net assets
Portfolio turnover rate 133% 184% 97% 65% 128%
</TABLE>
A THE TOTAL RETURNS WOULD HAVE BEEN LOWER HAD CERTAIN EXPENSES NOT
BEEN REDUCED DURING THE PERIODS SHOWN.
B NET INVESTMENT INCOME PER SHARE HAS BEEN CALCULATED BASED ON AVERAGE
SHARES OUTSTANDING DURING THE PERIOD.
C FMR AGREED TO REIMBURSE A PORTION OF THE FUND'S EXPENSES DURING THE
PERIOD. WITHOUT THIS REIMBURSEMENT, THE FUND'S EXPENSE RATIO WOULD
HAVE BEEN HIGHER.
D FMR OR THE FUND HAS ENTERED INTO VARYING ARRANGEMENTS WITH THIRD
PARTIES WHO EITHER PAID OR REDUCED A PORTION OF THE FUND'S EXPENSES.
E FOR THE YEAR ENDED FEBRUARY 29
NOTES TO FINANCIAL STATEMENTS
For the period ended February 29, 2000
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.
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 SEC), 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, Federal Agency,
and other obligations found satisfactory by FMR 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.
INTERFUND LENDING PROGRAM. Pursuant to an Exemptive Order issued by
the SEC, the fund, along with other registered investment companies
having management contracts with FMR, may participate in an interfund
lending program. This program provides an alternative credit facility
allowing the fund to borrow from, or lend money to, other
participating funds.
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 $2,185,495,000 and $1,860,918,000, respectively, of which
U.S. government and government agency obligations aggregated
$1,819,616,000 and $1,580,592,000, 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 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 annual rate of .13% of
average net assets.
ACCOUNTING AND SECURITY LENDING FEES. Fidelity Service Company, Inc.,
an affiliate of FMR, maintains the fund's accounting records and
administers the security lending program. The security lending fee is
based on the number and duration of lending transactions. The
accounting fee is based on the level of average net assets for the
month plus out-of-pocket expenses.
5. INTERFUND LENDING PROGRAM.
The fund participated in the interfund lending program as a lender.
The average daily loan balance during the period for which loans were
outstanding amounted to $ 11,303,000. The weighted average interest
rate was 5.66%. Interest earned from the interfund lending program
amounted to $ 11,000 and is included in interest income on the
Statement of Operations. At period end there were no interfund loans
outstanding.
6. 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 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
6. SECURITY LENDING - CONTINUED
delays and costs in recovering the securities loaned or in gaining
access to the collateral. At period end there were no security loans
outstanding.
7. 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 $2,570,000.
In addition, through arrangements with the fund's custodian and
transfer agent, 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 $16,000 and $125,000, respectively, under these arrangements.
REPORT OF INDEPENDENT ACCOUNTANTS
To the Trustees of Fidelity Concord Street Trust and the Shareholders
of Fidelity U.S. Bond Index Fund:
In our opinion, the accompanying statement of assets and liabilities,
including the schedule of investments, and the related statements of
operations and of changes in net assets and the financial highlights
present fairly, in all material respects, the financial position of
Fidelity U.S. Bond Index Fund (a fund of Fidelity Concord Street
Trust) at February 29, 2000, and the results of its operations, the
changes in its net assets and the financial highlights for the periods
indicated, in conformity with accounting principles generally accepted
in the United States. These financial statements and financial
highlights (hereafter referred to as "financial statements") are the
responsibility of the Fidelity U.S. Bond Index Fund's management; our
responsibility is to express an opinion on these financial statements
based on our audits. We conducted our audits of these financial
statements in accordance with auditing standards generally accepted in
the United States which require that we plan and perform the audit to
obtain reasonable assurance about whether the financial statements are
free of material misstatement. An audit includes examining, on a test
basis, evidence supporting the amounts and disclosures in the
financial statements, assessing the accounting principles used and
significant estimates made by management, and evaluating the overall
financial statement presentation. We believe that our audits, which
included confirmation of securities at February 29, 2000 by
correspondence with the custodian and brokers, provide a reasonable
basis for the opinion expressed above.
/s/PricewaterhouseCoopers LLP
PricewaterhouseCoopers LLP
Boston, Massachusetts
April 13, 2000
DISTRIBUTIONS
The fund hereby designates 100% of the long-term capital gain
dividends distributed during the fiscal year as 20%-rate capital gain
dividends.
A total of 29.83% of the dividends distributed during the fiscal year
was derived from interest on U.S. Government securities which is
generally exempt from state income tax.
The fund will notify shareholders in January 2001 of the applicable
percentage for use in preparing 2000 income tax returns.
INVESTMENT ADVISER
Fidelity Management & Research Company
Boston, MA
INVESTMENT SUB-ADVISER
Fidelity Investments
Money Management, Inc.
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
Robert A. Dwight, TREASURER
Matthew N. Karstetter, DEPUTY TREASURER
Maria F. Dwyer, 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
Donald J. Kirk *
Ned C. Lautenbach *
Peter S. Lynch
Marvin L. Mann *
William O. McCoy *
Gerald C. McDonough *
Robert C. Pozen
Thomas R. Williams *
ADVISORY BOARD
Abigail P. Johnson
* INDEPENDENT TRUSTEES
UBI-PRO-0400 98781
1.701176.102
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
(2_FIDELITY_LOGOS)(registered trademark)
Corporate Headquarters
82 Devonshire St., Boston, MA 02109
www.fidelity.com
CONTENTS
PERFORMANCE A-2 How the fund has done over
time.
FUND TALK A-4 The manager's review of fund
performance, strategy and
outlook.
INVESTMENT CHANGES A-7 A summary of the major shifts
in the fund's investments
over the past six months.
INVESTMENTS A-8 A complete list of the fund's
investments with their
market values.
FINANCIAL STATEMENTS A-28 Statements of assets and
liabilities, operations, and
changes in net assets, as
well as financial highlights.
NOTES A-32 Notes to the financial
statements.
REPORT OF INDEPENDENT A-37 The auditors' opinion.
ACCOUNTANTS
DISTRIBUTIONS A-38
PERFORMANCE: THE BOTTOM LINE
There are several ways to evaluate a fund's historical performance.
You can look at the total percentage change in value, the average
annual percentage change or the growth of a hypothetical $100,000
investment. Total return reflects the change in the value of an
investment, assuming reinvestment of the fund's dividend income and
capital gains (the profits earned upon the sale of securities that
have grown in value). If Fidelity had not reimbursed certain fund
expenses, the total returns would have been lower.
CUMULATIVE TOTAL RETURNS
PERIODS ENDED FEBRUARY 29, 2000 PAST 1 YEAR PAST 5 YEARS PAST 10 YEARS
Spartan US Equity Index 11.53% 203.52% 411.90%
S&P 500 (registered trademark) 11.73% 206.94% 425.47%
S&P 500 Index Objective Funds 11.03% 199.84% 402.84%
CUMULATIVE TOTAL RETURNS show the fund's performance in percentage
terms over a set period - in this case, 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 500SM 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 one year average
represents a peer group of 115 mutual funds. These benchmarks include
reinvested dividends and capital gains, if any, and exclude the effect
of sales charges. Lipper has created new comparison categories that
group funds according to portfolio characteristics and capitalization,
as well as by capitalization only. These averages are listed on page
A-3 of this report.*
AVERAGE ANNUAL TOTAL RETURNS
PERIODS ENDED FEBRUARY 29, 2000 PAST 1 YEAR PAST 5 YEARS PAST 10 YEARS
Spartan US Equity Index 11.53% 24.86% 17.74%
S&P 500 11.73% 25.14% 18.05%
S&P 500 Index Objective Funds 11.03% 24.56% 17.52%
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
1990/02/28 100000.00 100000.00
1990/03/31 102597.79 102650.00
1990/04/30 100064.52 100083.75
1990/05/31 109801.81 109841.92
1990/06/30 109009.58 109094.99
1990/07/31 108610.86 108745.89
1990/08/31 98642.90 98915.26
1990/09/30 93752.09 94098.09
1990/10/31 93350.07 93693.46
1990/11/30 99380.43 99746.06
1990/12/31 102043.75 102528.98
1991/01/31 106515.78 106999.24
1991/02/28 114077.59 114649.69
1991/03/31 116846.71 117424.21
1991/04/30 117092.36 117706.03
1991/05/31 122087.20 122790.93
1991/06/30 116502.71 117167.10
1991/07/31 121862.00 122627.09
1991/08/31 124747.77 125533.35
1991/09/30 122614.23 123436.94
1991/10/31 124274.54 125091.00
1991/11/30 119210.58 120049.83
1991/12/31 132821.43 133783.53
1992/01/31 130280.20 131295.16
1992/02/29 131974.35 133002.00
1992/03/31 129344.53 130408.46
1992/04/30 133096.11 134242.47
1992/05/31 133778.22 134900.25
1992/06/30 131729.13 132890.24
1992/07/31 137135.61 138325.45
1992/08/31 134303.64 135489.78
1992/09/30 135846.17 137088.56
1992/10/31 136191.62 137568.37
1992/11/30 140855.12 142259.45
1992/12/31 142589.24 144009.24
1993/01/31 143720.90 145218.92
1993/02/28 145636.02 147193.90
1993/03/31 148694.75 150299.69
1993/04/30 145014.67 146662.43
1993/05/31 148891.12 150592.99
1993/06/30 149249.32 151029.71
1993/07/31 148628.93 150425.59
1993/08/31 154301.11 156126.72
1993/09/30 153061.35 154924.54
1993/10/31 156181.42 158131.48
1993/11/30 154665.96 156629.23
1993/12/31 156556.08 158524.45
1994/01/31 161813.90 163914.28
1994/02/28 157371.95 159472.20
1994/03/31 150442.98 152519.21
1994/04/30 152362.68 154471.46
1994/05/31 154833.43 157004.79
1994/06/30 151053.97 153158.17
1994/07/31 156024.67 158181.76
1994/08/31 162284.07 164667.21
1994/09/30 158310.57 160632.87
1994/10/31 161828.58 164247.11
1994/11/30 155903.51 158265.23
1994/12/31 158266.68 160612.30
1995/01/31 162291.20 164776.98
1995/02/28 168655.56 171198.33
1995/03/31 173544.24 176250.40
1995/04/30 178629.57 181440.97
1995/05/31 185695.61 188693.17
1995/06/30 189966.28 193076.51
1995/07/31 196216.42 199478.93
1995/08/31 196689.92 199979.62
1995/09/30 204930.94 208418.76
1995/10/31 204169.82 207674.70
1995/11/30 213112.95 216791.62
1995/12/31 217107.77 220967.03
1996/01/31 224514.63 228488.75
1996/02/29 226630.88 230606.84
1996/03/31 228863.21 232827.58
1996/04/30 232049.65 236259.46
1996/05/31 237962.36 242352.59
1996/06/30 238938.82 243275.96
1996/07/31 228321.48 232528.02
1996/08/31 233094.41 237432.04
1996/09/30 246159.13 250794.71
1996/10/31 252912.60 257711.63
1996/11/30 271998.49 277192.06
1996/12/31 266464.41 271700.88
1997/01/31 283075.18 288676.75
1997/02/28 285250.40 290939.98
1997/03/31 273430.96 278985.25
1997/04/30 289671.87 295640.67
1997/05/31 307309.27 313639.28
1997/06/30 320947.41 327690.32
1997/07/31 346475.05 353764.64
1997/08/31 327054.02 333946.74
1997/09/30 344806.66 352237.00
1997/10/31 333349.96 340472.29
1997/11/30 348625.56 356232.75
1997/12/31 354507.00 362349.27
1998/01/31 358459.48 366356.85
1998/02/28 384099.93 392778.51
1998/03/31 403616.16 412892.69
1998/04/30 407652.81 417046.39
1998/05/31 400474.02 409877.37
1998/06/30 416704.31 426526.58
1998/07/31 412278.95 421984.08
1998/08/31 352690.95 360973.62
1998/09/30 375240.93 384097.59
1998/10/31 405710.53 415340.09
1998/11/30 430292.79 440513.85
1998/12/31 455465.95 465896.26
1999/01/31 473908.39 485380.04
1999/02/28 458988.66 470294.43
1999/03/31 477422.94 489110.91
1999/04/30 495753.40 508054.17
1999/05/31 483875.33 496059.01
1999/06/30 510637.91 523590.29
1999/07/31 494752.33 507243.80
1999/08/31 492139.57 504732.94
1999/09/30 478583.79 490898.21
1999/10/31 508665.60 521962.25
1999/11/30 518937.44 532573.74
1999/12/31 549568.02 563942.34
2000/01/31 521820.58 535609.87
2000/02/29 511903.25 525470.78
IMATRL PRASUN SHR__CHT 20000229 20000313 145026 R00000000000123
$100,000 OVER 10 YEARS: Let's say hypothetically that $100,000 was
invested in Spartan US Equity Index Fund on February 28, 1990. As the
chart shows, by February 29, 2000, the value of the investment would
have grown to $511,903 - a 411.90% 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 $525,471 - a 425.47% 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.
* THE LIPPER S&P 500 FUNDS AVERAGE REFLECTS THE PERFORMANCE (EXCLUDING
SALES CHARGES) OF MUTUAL FUNDS WITH SIMILAR PORTFOLIO CHARACTERISTICS
AND CAPITALIZATION. AS OF FEBRUARY 29, 2000, THE ONE YEAR, FIVE YEAR,
AND 10 YEAR CUMULATIVE AND AVERAGE ANNUAL TOTAL RETURNS FOR THE S&P
500 FUNDS AVERAGE WERE, 11.03%, 199.84%, 402.84%, AND 11.03%, 24.56%,
17.52%, RESPECTIVELY.
FUND TALK: THE MANAGER'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 12 months that ended February 29, 2000, the fund delivered
a total return of 11.53%. Fund performance was in line with the
Standard & Poor's 500 Index, which returned 11.73%, and the S&P 500
index objective funds average tracked by Lipper Inc., which returned
11.03% during the same period.
Q. WHAT WAS THE INVESTMENT CLIMATE LIKE FOR DOMESTIC STOCKS DURING THE
PAST 12 MONTHS?
A. It was a tale of two periods, and two markets, for that matter.
Productivity gains set the stage for a high-growth, low-inflationary
environment for stocks, which kept the Federal Reserve Board on the
sidelines and interest rates relatively steady for the first two
months of the period. These conditions allowed for strong gains shared
among the market's biggest stocks. It was, however, a short-lived
period of prosperity for many of these leading companies, as an
inflation-wary Fed sparked a sea change with its shift in monetary
policy to a tightening bias in May. This move spelled the beginning of
an extended period of actual tightening, which culminated in four
quarter-point rate hikes levied during the last nine months of the
period. Persistent fears about inflation, Fed tightening and rising
energy prices consumed investors, inducing a wholesale shift to
smaller-cap issues within the technology, biotechnology and
communications sectors, which were seemingly more resilient to
interest-rate activity. Investors flocked to the stocks expected to
power the new economy, those with superior earnings-growth potential,
and specifically those engaged in building Internet infrastructure and
pioneering genetic research. The performance disparity created between
old economy stocks, such as Coca-Cola, and the tech names donning the
new economy label, such as data storage concern Network Appliance,
widened over the course of the period. The broader market, reflecting
stocks of all sizes - and home to some of the period's strongest
performers - benefited the most from this phenomenon, garnering it a
respectable advantage over the large-cap oriented S&P 500 index.
Q. EXACTLY HOW WIDE WAS THE GAP BETWEEN TECHNOLOGY AND EVERYTHING
ELSE?
A. It was nothing short of extreme. Tech stocks accounted for a
whopping 129% of the S&P 500's total return during the past 12 months.
In fact, if you were to remove technology from the index, its return
would have plummeted to -3.5%. The handful of sectors that were able
to post positive returns, namely energy - which benefited from rising
oil prices - and utilities - which rose on the back of
telecommunications stocks - paled in comparison to technology. The
returns of these other sectors, in aggregate, laid claim to just under
3.5% of the index's performance for the period, a figure dwarfed by
the worst-performing sectors in finance and health care, which had a
cumulative return of -33.7% for the 12-month period.
Q. HOW DID FUND PERFORMANCE RESPOND TO WEAKNESS IN TRADITIONAL
BLUE-CHIP NAMES?
A. Not surprisingly, it limited the fund's advances. The gains offered
by a handful of winners emerging from the blue-chip universe, namely
tech leaders Cisco, Intel and Oracle, were virtually offset by ailing
pharmaceutical giants Merck, Pfizer and Eli Lilly, and lagging
financial stocks Bank of America and Bank One.
Q. WHAT WERE SOME OF THE FACTORS THAT LED TO THE DOWNTURN IN OTHER
SECTORS OF THE MARKET?
A. After a brief moment in the sun early in the period, economically
sensitive cyclical stocks and value-oriented names yielded to growth
stocks, retreating into a bear market. Rising interest rates tortured
financial stocks, sending share prices markedly lower. The story
wasn't much better among consumer non-durables, a group generally
troubled by deteriorating pricing power. Big drug companies suffered
from an anticipation of election-year jitters surrounding government
regulation.
Q. WHAT OTHER STOCKS HELPED? WHICH HURT?
A. Leading communications equipment and Internet infrastructure names
such as Nortel Networks, Texas Instruments and LSI Logic helped, as
did top data-storage provider EMC. Additionally, having exposure to
the high-flying biotech sector in Biogen, and in device manufacturer
PE Biosystems, added meaningfully to performance. GE also helped,
benefiting from strong earnings growth related to the robustness of
its underlying businesses. On the downside, the growth prospects found
in auto parts and service provider Pep Boys, as well as Waste
Management and Gillette, were not exciting enough to hold the
attention of tech-minded investors.
Q. WHAT'S YOUR OUTLOOK?
A. The Fed remains concerned about current economic conditions and is
poised to silence any sign of inflation, or anything else for that
matter that threatens to disturb this extended period of prosperity.
Valuation levels, for one thing, are extremely high for new economy
stocks and are only justifiable to the extent of their expected
earnings growth. There is the concern that productivity, the one
element that has held inflation at bay and enabled the economy's
advances up to this point, could, in turn, have a negative effect on
the economy, fueling price pressures by boosting demand. Time will
tell as to how all of this will ultimately play out.
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.
(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 February 29,
2000, more than $18.6
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 recent changes
to the index involving some
well-known companies:
(solid bullet) October 11, 1999: Ameritech was
removed and replaced by Analog
Devices following the acquisition of
Ameritech by S&P 500 component
SBC Communications.
(solid bullet) October 12, 1999: T. Rowe Price
Associates replaced Data General
in the index after Data General was
acquired by S&P 500 component
EMC Corp.
(solid bullet) November 30, 1999: Mobil Corp.
was deleted from the index after
merging with S&P 500 component
Exxon Corp. Citrix Systems
replaced Mobil Corp.
(solid bullet) December 7, 1999: Yahoo! was
added to the index, replacing
Laidlaw, Inc., which was removed
for inadequate representation of
its sector.
(solid bullet) January 28, 2000: Biogen, Inc. and
Harley-Davidson replaced Foster
Wheeler and Fleetwood Enterprises,
respectively. Foster Wheeler and
Fleetwood Enterprises were
removed for inadequate
representation of their respective
sectors.
INVESTMENT CHANGES
<TABLE>
<CAPTION>
<S> <C> <C>
TOP TEN STOCKS AS OF FEBRUARY
29, 2000
% OF FUND'S NET ASSETS % OF FUND'S NET ASSETS 6
MONTHS AGO
Microsoft Corp. 4.0 4.3
Cisco Systems, Inc. 3.9 2.0
General Electric Co. 3.7 3.3
Intel Corp. 3.3 2.4
Exxon Mobil Corp. 2.2 2.4
Wal-Mart Stores, Inc. 1.9 1.8
Oracle Corp. 1.8 0.5
Lucent Technologies, Inc. 1.6 1.8
International Business 1.6 2.0
Machines Corp.
Citigroup, Inc. 1.5 1.4
25.5 21.9
TOP TEN MARKET SECTORS AS OF
FEBRUARY 29, 2000
% OF FUND'S NET ASSETS % OF FUND'S NET ASSETS 6
MONTHS AGO
TECHNOLOGY 33.4 23.2
FINANCE 12.1 14.5
UTILITIES 10.8 10.6
HEALTH 9.3 10.9
RETAIL & WHOLESALE 5.8 5.8
NONDURABLES 5.5 7.5
ENERGY 5.4 6.4
INDUSTRIAL MACHINERY & 4.7 5.7
EQUIPMENT
MEDIA & LEISURE 4.6 4.3
BASIC INDUSTRIES 3.1 3.3
</TABLE>
INVESTMENTS FEBRUARY 29, 2000
Showing Percentage of Net Assets
<TABLE>
<CAPTION>
<S> <C> <C> <C>
COMMON STOCKS - 99.4%
SHARES VALUE (NOTE 1) (000S)
AEROSPACE & DEFENSE - 1.2%
AEROSPACE & DEFENSE - 1.1%
BFGoodrich Co. 169,747 $ 4,063
Boeing Co. 1,502,298 55,397
Honeywell International, Inc. 1,311,324 63,107
Lockheed Martin Corp. 636,499 11,099
Northrop Grumman Corp. 111,707 5,076
Rockwell International Corp. 301,064 13,623
Textron, Inc. 239,122 14,586
United Technologies Corp. 769,612 39,202
206,153
DEFENSE ELECTRONICS - 0.0%
Raytheon Co. Class B 544,042 10,065
SHIP BUILDING & REPAIR - 0.1%
General Dynamics Corp. 315,622 13,651
TOTAL AEROSPACE & DEFENSE 229,869
BASIC INDUSTRIES - 3.1%
CHEMICALS & PLASTICS - 1.4%
Air Products & Chemicals, 364,272 9,380
Inc.
Ashland, Inc. 95,239 2,964
Avery Dennison Corp. 191,061 11,595
Dow Chemical Co. 356,752 38,708
E.I. du Pont de Nemours and 1,689,437 85,317
Co.
Eastman Chemical Co. 125,875 4,524
Engelhard Corp. 208,371 2,839
FMC Corp. (a) 51,701 2,498
Great Lakes Chemical Corp. 93,774 2,725
Hercules, Inc. 174,074 2,872
Monsanto Co. 1,034,868 40,166
Pactiv Corp. (a) 323,930 2,693
PPG Industries, Inc. 278,431 13,748
Praxair, Inc. 250,471 8,453
Rohm & Haas Co. 334,643 13,511
Sealed Air Corp. (a) 132,484 6,583
Union Carbide Corp. 216,964 11,648
W.R. Grace & Co. (a) 117,146 1,179
261,403
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1) (000S)
BASIC INDUSTRIES - CONTINUED
IRON & STEEL - 0.1%
Allegheny Technologies, Inc. 148,048 $ 2,508
Bethlehem Steel Corp. (a) 196,226 1,116
Nucor Corp. 141,781 7,045
USX - U.S. Steel Group 159,218 3,483
Worthington Industries, Inc. 141,839 1,879
16,031
METALS & MINING - 0.4%
Alcan Aluminium Ltd. 370,364 12,174
Alcoa, Inc. 588,002 40,278
Freeport-McMoRan Copper & 200,636 2,759
Gold, Inc. Class B (a)
Inco Ltd. (a) 289,513 5,063
Phelps Dodge Corp. 116,838 5,506
Reynolds Metals Co. 102,226 6,491
72,271
PACKAGING & CONTAINERS - 0.5%
Ball Corp. 46,927 1,264
Bemis Co., Inc. 70,076 2,085
Corning, Inc. 434,941 81,769
Crown Cork & Seal Co., Inc. 201,703 2,824
Owens-Illinois, Inc. (a) 237,379 3,279
Tupperware Corp. 91,346 1,570
92,791
PAPER & FOREST PRODUCTS - 0.7%
Boise Cascade Corp. 94,679 2,823
Champion International Corp. 155,916 8,069
Fort James Corp. 367,919 6,921
Georgia-Pacific Corp. 284,973 9,885
International Paper Co. 655,903 24,145
Kimberly-Clark Corp. 877,847 45,374
Louisiana-Pacific Corp. 210,014 2,481
Mead Corp. 162,967 4,879
Potlatch Corp. 46,700 1,775
Temple-Inland, Inc. 88,991 4,550
Westvaco Corp. 145,491 4,010
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1) (000S)
BASIC INDUSTRIES - CONTINUED
PAPER & FOREST PRODUCTS -
CONTINUED
Weyerhaeuser Co. 346,195 $ 17,764
Willamette Industries, Inc. 164,437 5,581
138,257
TOTAL BASIC INDUSTRIES 580,753
CONSTRUCTION & REAL ESTATE -
0.3%
BUILDING MATERIALS - 0.2%
Armstrong World Industries, 64,254 1,221
Inc.
Crane Co. 103,663 2,060
Fortune Brands, Inc. 279,888 6,123
Masco Corp. 722,411 12,913
Owens Corning 87,274 1,265
Sherwin-Williams Co. 274,326 5,246
Vulcan Materials Co. 163,537 6,541
35,369
CONSTRUCTION - 0.0%
Centex Corp. 95,561 1,881
Kaufman & Broad Home Corp. 73,012 1,396
Pulte Corp. 69,554 1,169
4,446
ENGINEERING - 0.1%
Fluor Corp. 119,524 3,399
PerkinElmer, Inc. 72,050 4,656
8,055
TOTAL CONSTRUCTION & REAL 47,870
ESTATE
DURABLES - 1.9%
AUTOS, TIRES, & ACCESSORIES -
1.3%
AutoZone, Inc. (a) 236,981 5,821
Cooper Tire & Rubber Co. 139,097 1,504
Cummins Engine Co., Inc. 61,710 2,056
Dana Corp. 269,424 5,742
Danaher Corp. 209,450 8,548
Delphi Automotive Systems 923,762 15,415
Corp.
Eaton Corp. 119,099 8,925
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1) (000S)
DURABLES - CONTINUED
AUTOS, TIRES, & ACCESSORIES -
CONTINUED
Ford Motor Co. 1,946,540 $ 81,025
General Motors Corp. 1,031,873 78,487
Genuine Parts Co. 285,477 6,441
Goodyear Tire & Rubber Co. 247,595 5,617
Johnson Controls, Inc. 130,791 6,981
NACCO Industries, Inc. Class A 9,810 426
Navistar International Corp. 100,980 3,307
(a)
PACCAR, Inc. 124,896 5,378
Pep Boys-Manny, Moe & Jack 84,848 525
TRW, Inc. 195,488 9,383
245,581
CONSUMER DURABLES - 0.3%
Minnesota Mining & 651,683 57,430
Manufacturing Co.
Snap-On, Inc. 94,077 2,052
59,482
CONSUMER ELECTRONICS - 0.1%
Black & Decker Corp. 148,705 4,898
Maytag Corp. 145,183 3,838
Whirlpool Corp. 111,206 6,040
14,776
HOME FURNISHINGS - 0.1%
Leggett & Platt, Inc. 318,509 5,355
Newell Rubbermaid, Inc. 455,605 10,536
15,891
TEXTILES & APPAREL - 0.1%
Liz Claiborne, Inc. 98,646 3,693
NIKE, Inc. Class B 453,874 12,907
Reebok International Ltd. (a) 87,953 704
Russell Corp. 57,218 790
Springs Industries, Inc. 17,953 636
Class A
VF Corp. 186,562 4,606
23,336
TOTAL DURABLES 359,066
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1) (000S)
ENERGY - 5.4%
ENERGY SERVICES - 0.7%
Baker Hughes, Inc. 531,997 $ 13,765
Halliburton Co. 698,836 26,687
McDermott International, Inc. 90,384 847
Rowan Companies, Inc. (a) 132,593 3,331
Schlumberger Ltd. 889,203 65,690
Transocean Sedco Forex, Inc. 334,188 13,180
123,500
OIL & GAS - 4.7%
Amerada Hess Corp. 150,413 7,605
Anadarko Petroleum Corp. 201,915 6,209
Apache Corp. 190,216 6,943
Atlantic Richfield Co. 517,903 36,771
Burlington Resources, Inc. 331,878 9,168
Chevron Corp. 1,051,150 78,508
Conoco, Inc. Class B 1,008,744 19,860
Exxon Mobil Corp. 5,550,488 418,021
Kerr-McGee Corp. 138,654 6,205
Occidental Petroleum Corp. 600,817 9,651
Phillips Petroleum Co. 403,659 15,440
Royal Dutch Petroleum Co. (NY 3,448,802 181,062
Shares)
Sunoco, Inc. 130,289 3,217
Texaco, Inc. 909,951 43,166
The Coastal Corp. 344,288 14,482
Tosco Corp. 240,116 6,423
Union Pacific Resources 400,830 3,582
Group, Inc.
Unocal Corp. 386,445 10,337
USX - Marathon Group 501,431 10,843
887,493
TOTAL ENERGY 1,010,993
FINANCE - 12.1%
BANKS - 4.5%
AmSouth Bancorp. 585,947 8,496
Bank of America Corp. 2,748,392 126,598
Bank of New York Co., Inc. 1,191,047 39,677
Bank One Corp. 1,853,465 47,843
BB&T Corp. 560,218 13,165
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1) (000S)
FINANCE - CONTINUED
BANKS - CONTINUED
Capital One Financial Corp. 321,867 $ 11,849
Chase Manhattan Corp. 1,328,460 105,779
Comerica, Inc. 249,235 9,206
Fifth Third Bancorp 497,839 25,919
First Union Corp. 1,559,683 46,011
Firstar Corp. 1,583,813 28,212
FleetBoston Financial Corp. 1,458,762 39,751
Huntington Bancshares, Inc. 367,701 7,676
J.P. Morgan & Co., Inc. 280,706 31,158
KeyCorp 722,114 12,231
Mellon Financial Corp. 826,287 24,892
National City Corp. 1,005,244 19,351
Northern Trust Corp. 362,464 20,479
PNC Financial Corp. 479,547 18,552
Regions Financial Corp. 341,610 6,918
SouthTrust Corp. 281,673 6,461
State Street Corp. 254,259 18,529
Summit Bancorp 275,439 6,593
SunTrust Banks, Inc. 519,522 26,398
Synovus Finanical Corp. 376,618 6,167
U.S. Bancorp 1,173,439 21,489
Union Planters Corp. 208,854 5,717
Wachovia Corp. 317,138 18,136
Wells Fargo & Co. 2,646,339 87,495
840,748
CREDIT & OTHER FINANCE - 2.6%
American Express Co. 721,329 96,793
Associates First Capital 1,180,620 23,465
Corp. Class A
Citigroup, Inc. 5,421,571 280,227
Countrywide Credit 177,119 4,417
Industries, Inc.
Household International, Inc. 763,047 24,370
MBNA Corp. 1,272,228 28,943
Old Kent Financial Corp. 198,485 5,198
Providian Financial Corp. 231,314 14,992
478,405
FEDERAL SPONSORED CREDIT - 0.8%
Fannie Mae 1,652,104 87,562
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1) (000S)
FINANCE - CONTINUED
FEDERAL SPONSORED CREDIT -
CONTINUED
Freddie Mac 1,123,228 $ 46,895
SLM Holding Corp. 257,785 8,072
142,529
INSURANCE - 2.5%
Aetna, Inc. 243,718 10,023
AFLAC, Inc. 430,899 15,755
Allstate Corp. 1,298,981 25,330
American General Corp. 399,465 20,847
American International Group, 2,489,255 220,143
Inc.
Aon Corp. 404,852 8,477
CIGNA Corp. 300,384 22,172
Cincinnati Financial Corp. 246,395 7,361
Conseco, Inc. 508,511 7,437
Hartford Financial Services 358,534 11,204
Group, Inc.
Jefferson-Pilot Corp. 169,047 8,801
Lincoln National Corp. 318,578 8,860
Loews Corp. 172,238 7,665
Marsh & McLennan Companies, 433,865 33,570
Inc.
MBIA, Inc. 157,662 6,050
MGIC Investment Corp. 171,660 6,416
Progressive Corp. 118,200 7,033
SAFECO Corp. 213,313 4,480
The Chubb Corp. 284,713 14,004
The St. Paul Companies, Inc. 368,448 8,244
Torchmark Corp. 211,800 4,196
UnumProvident Corp. 367,226 4,912
462,980
SAVINGS & LOANS - 0.1%
Golden West Financial Corp. 259,595 7,398
Washington Mutual, Inc. 927,347 20,518
27,916
SECURITIES INDUSTRY - 1.6%
Charles Schwab Corp. 1,320,289 55,205
Franklin Resources, Inc. 405,868 11,035
Kansas City Southern 179,416 14,129
Industries, Inc.
Lehman Brothers Holdings, 190,535 13,814
Inc.
Merrill Lynch & Co., Inc. 588,047 60,275
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1) (000S)
FINANCE - CONTINUED
SECURITIES INDUSTRY - CONTINUED
Morgan Stanley Dean Witter & 1,791,014 $ 126,155
Co.
PaineWebber Group, Inc. 229,801 8,790
T. Rowe Price Associates, 192,817 6,351
Inc.
The Bear Stearns Companies, 186,849 7,334
Inc.
303,088
TOTAL FINANCE 2,255,666
HEALTH - 9.3%
DRUGS & PHARMACEUTICALS - 6.5%
Allergan, Inc. 213,377 10,736
ALZA Corp. Class A. (a) 160,064 5,872
American Home Products Corp. 2,099,760 91,340
Amgen, Inc. (a) 1,642,373 111,989
Bausch & Lomb, Inc. 84,733 4,470
Biogen, Inc. (a) 242,333 26,157
Bristol-Myers Squibb Co. 3,188,263 181,133
Eli Lilly & Co. 1,753,600 104,230
Merck & Co., Inc. 3,756,219 231,242
Pfizer, Inc. 6,221,533 199,867
Pharmacia & Upjohn, Inc. 835,169 39,775
Quintiles Transnational Corp. 188,538 5,597
(a)
Schering-Plough Corp. 2,362,784 82,402
Sigma-Aldrich Corp. 163,007 3,871
Warner-Lambert Co. 1,377,453 117,858
Watson Pharmaceuticals, Inc. 147,767 5,911
(a)
1,222,450
MEDICAL EQUIPMENT & SUPPLIES
- - 2.5%
Abbott Laboratories 2,474,119 81,027
Baxter International, Inc. 470,204 25,626
Becton, Dickinson & Co. 407,234 12,650
Biomet, Inc. 181,901 6,003
Boston Scientific Corp. (a) 624,198 11,392
C.R. Bard, Inc. 85,285 3,369
Cardinal Health, Inc. 444,207 18,324
Guidant Corp. (a) 496,038 33,421
Johnson & Johnson 2,235,727 160,413
Mallinckrodt, Inc. 113,466 2,794
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1) (000S)
HEALTH - CONTINUED
MEDICAL EQUIPMENT & SUPPLIES
- - CONTINUED
McKesson HBOC, Inc. 448,926 $ 8,698
Medtronic, Inc. 1,922,634 93,128
Millipore Corp. 69,107 3,693
St. Jude Medical, Inc. (a) 119,286 3,116
463,654
MEDICAL FACILITIES MANAGEMENT
- - 0.3%
Columbia/HCA Healthcare Corp. 905,881 17,495
HEALTHSOUTH Corp. (a) 624,769 3,046
Humana, Inc. (a) 264,674 1,803
Manor Care, Inc. (a) 167,972 1,459
Tenet Healthcare Corp. (a) 486,409 8,512
United HealthCare Corp. 273,060 13,960
Wellpoint Health Networks, 102,528 6,921
Inc. (a)
53,196
TOTAL HEALTH 1,739,300
INDUSTRIAL MACHINERY &
EQUIPMENT - 4.7%
ELECTRICAL EQUIPMENT - 4.0%
Emerson Electric Co. 700,658 31,924
General Electric Co. 5,273,301 697,064
Scientific-Atlanta, Inc. 119,968 12,319
Thomas & Betts Corp. 89,063 1,998
W.W. Grainger, Inc. 150,958 6,463
749,768
INDUSTRIAL MACHINERY &
EQUIPMENT - 0.6%
Briggs & Stratton Corp. 37,189 1,244
Caterpillar, Inc. 585,476 20,528
Cooper Industries, Inc. 149,801 4,531
Deere & Co. 376,663 13,466
Dover Corp. 347,466 13,399
Illinois Tool Works, Inc. 459,627 23,757
Ingersoll-Rand Co. 276,492 10,593
ITT Industries, Inc. 141,368 3,428
Milacron, Inc. 49,849 692
Pall Corp. 197,652 3,904
Parker-Hannifin Corp. 174,348 6,320
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1) (000S)
INDUSTRIAL MACHINERY &
EQUIPMENT - CONTINUED
INDUSTRIAL MACHINERY &
EQUIPMENT - CONTINUED
The Stanley Works 137,395 $ 3,160
Timken Co. 88,901 1,272
106,294
POLLUTION CONTROL - 0.1%
Allied Waste Industries, Inc. 280,334 1,577
(a)
Waste Management, Inc. 1,060,061 15,901
17,478
TOTAL INDUSTRIAL MACHINERY & 873,540
EQUIPMENT
MEDIA & LEISURE - 4.6%
BROADCASTING - 2.3%
CBS Corp. (a) 1,224,554 72,937
Clear Channel Communications, 559,039 37,246
Inc. (a)
Comcast Corp. Class A 1,393,752 59,234
(special)
MediaOne Group, Inc. (a) 982,994 77,165
Time Warner, Inc. 2,066,468 176,683
423,265
ENTERTAINMENT - 1.1%
Carnival Corp. 986,876 28,434
Viacom, Inc. Class B 1,119,549 62,415
(non-vtg.) (a)
Walt Disney Co. 3,312,596 110,972
201,821
LEISURE DURABLES & TOYS - 0.2%
Brunswick Corp. 145,795 2,579
Harley-Davidson, Inc. 243,951 16,619
Hasbro, Inc. 315,355 4,967
Mattel, Inc. 661,378 6,366
30,531
LODGING & GAMING - 0.1%
Harrah's Entertainment, Inc. 192,011 3,672
(a)
Hilton Hotels Corp. 585,647 4,100
Marriott International, Inc. 385,444 10,624
Class A
Mirage Resorts, Inc. (a) 313,122 4,971
23,367
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1) (000S)
MEDIA & LEISURE - CONTINUED
PUBLISHING - 0.5%
American Greetings Corp. 112,477 $ 1,940
Class A
Dow Jones & Co., Inc. 120,876 7,540
Gannet Co., Inc. 450,939 29,396
Harcourt General, Inc. 97,566 3,360
Knight-Ridder, Inc. 137,810 6,460
McGraw-Hill Companies, Inc. 313,273 15,938
Meredith Corp. 82,878 2,372
The New York Times Co. Class A 279,866 11,824
Times Mirror Co. Class A 99,216 5,060
Tribune Co. 381,696 14,862
98,752
RESTAURANTS - 0.4%
Darden Restaurants, Inc. 211,117 2,784
McDonald's Corp. 2,174,933 68,646
Tricon Global Restaurants, 242,085 6,446
Inc. (a)
Wendy's International, Inc. 192,030 3,024
80,900
TOTAL MEDIA & LEISURE 858,636
NONDURABLES - 5.5%
BEVERAGES - 2.0%
Adolph Coors Co. Class B 58,056 2,547
Anheuser-Busch Companies, 752,518 48,255
Inc.
Brown-Forman Corp. Class B 76,974 3,666
Coca-Cola Enterprises, Inc. 625,466 14,620
PepsiCo, Inc. 2,353,689 75,906
Seagram Co. Ltd. 700,472 39,358
The Coca-Cola Co. 3,983,383 192,945
377,297
FOODS - 1.1%
Archer-Daniels-Midland Co. 985,928 9,921
Bestfoods 457,703 19,195
Campbell Soup Co. 700,144 19,867
ConAgra, Inc. 772,115 12,643
General Mills, Inc. 501,778 16,527
H.J. Heinz Co. 588,169 18,785
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1) (000S)
NONDURABLES - CONTINUED
FOODS - CONTINUED
Hershey Foods Corp. 208,054 $ 9,141
Kellogg Co. 667,139 16,887
Nabisco Group Holdings Corp. 568,723 4,905
Quaker Oats Co. 218,735 11,798
Ralston Purina Co. 471,889 13,360
Sara Lee Corp. 1,445,968 21,690
Sysco Corp. 528,208 17,332
Wm. Wrigley Jr. Co. 192,167 12,995
205,046
HOUSEHOLD PRODUCTS - 2.0%
Avon Products, Inc. 391,475 10,594
Clorox Co. 381,977 15,446
Colgate-Palmolive Co. 944,117 49,271
Gillette Co. 1,736,984 61,229
International Flavors & 162,734 4,882
Fragrances, Inc.
Procter & Gamble Co. 2,116,711 186,271
Unilever NV (NY Shares) 896,928 40,810
368,503
TOBACCO - 0.4%
Philip Morris Companies, Inc. 3,800,576 76,249
UST, Inc. 274,822 5,307
81,556
TOTAL NONDURABLES 1,032,402
PRECIOUS METALS - 0.1%
Barrick Gold Corp. 655,350 10,692
Homestake Mining Co. 373,303 2,426
Newmont Mining Corp. 285,647 6,320
Placer Dome, Inc. 535,378 4,654
24,092
RETAIL & WHOLESALE - 5.8%
APPAREL STORES - 0.5%
Gap, Inc. 1,379,305 66,638
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1) (000S)
RETAIL & WHOLESALE - CONTINUED
APPAREL STORES - CONTINUED
The Limited, Inc. 347,965 $ 11,831
TJX Companies, Inc. 510,434 8,135
86,604
DRUG STORES - 0.3%
CVS Corp. 633,768 22,182
Longs Drug Stores Corp. 64,612 1,199
Rite Aid Corp. 421,924 2,901
Walgreen Co. 1,571,609 40,567
66,849
GENERAL MERCHANDISE STORES -
2.8%
Consolidated Stores Corp. (a) 179,717 2,022
Costco Wholesale Corp. (a) 714,719 35,468
Dillards, Inc. Class A 164,435 2,857
Dollar General Corp. 416,061 8,711
Federated Department Stores, 332,575 12,201
Inc. (a)
JCPenney Co., Inc. 421,391 6,637
Kmart Corp. (a) 804,741 7,092
Kohls Corp. (a) 263,160 19,951
Nordstrom, Inc. 231,562 4,935
Sears, Roebuck & Co. 607,728 16,751
Target Corp. 709,537 41,863
The May Department Stores Co. 540,677 14,159
Wal-Mart Stores, Inc. 7,150,277 348,129
520,776
GROCERY STORES - 0.4%
Albertson's, Inc. 682,019 16,709
Great Atlantic & Pacific Tea, 60,750 1,424
Inc.
Kroger Co. (a) 1,339,108 19,919
Safeway, Inc. (a) 818,325 31,557
SUPERVALU, Inc. 185,312 3,185
Winn-Dixie Stores, Inc. 213,575 3,444
76,238
RETAIL & WHOLESALE,
MISCELLANEOUS - 1.8%
Alberto-Culver Co. Class B 68,031 1,454
Bed Bath & Beyond, Inc. (a) 230,587 6,543
Best Buy Co., Inc. (a) 326,349 17,745
Circuit City Stores, Inc. - 330,952 13,362
Circuit City Group
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1) (000S)
RETAIL & WHOLESALE - CONTINUED
RETAIL & WHOLESALE,
MISCELLANEOUS - CONTINUED
Home Depot, Inc. 3,700,917 $ 213,959
IKON Office Solutions, Inc. 204,347 1,430
Lowe's Companies, Inc. 617,243 29,396
Office Depot, Inc. (a) 541,707 6,602
Staples, Inc. (a) 752,246 20,311
Tandy Corp. 313,905 11,948
Toys 'R' Us, Inc. (a) 406,188 5,027
327,777
TOTAL RETAIL & WHOLESALE 1,078,244
SERVICES - 0.6%
ADVERTISING - 0.3%
Interpublic Group of 453,035 18,206
Companies, Inc.
Omnicom Group, Inc. 286,201 26,957
Young & Rubicam, Inc. 113,973 5,756
50,919
LEASING & RENTAL - 0.0%
Ryder System, Inc. 127,363 2,372
PRINTING - 0.1%
Deluxe Corp. 126,481 2,964
R.R. Donnelley & Sons Co. 213,036 4,074
7,038
SERVICES - 0.2%
Cendant Corp. (a) 1,109,367 19,761
Dun & Bradstreet Corp. 259,916 6,807
Ecolab, Inc. 185,671 5,245
H&R Block, Inc. 159,296 6,989
Jostens, Inc. 48,416 1,165
National Service Industries, 78,080 1,601
Inc.
Service Corp. International 442,580 1,632
43,200
TOTAL SERVICES 103,529
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1) (000S)
TECHNOLOGY - 33.4%
COMMUNICATIONS EQUIPMENT - 7.5%
3Com Corp. (a) 558,010 $ 54,685
ADC Telecommunications, Inc. 478,064 21,453
(a)
Andrew Corp. (a) 131,874 3,264
Cabletron Systems, Inc. (a) 283,915 13,912
Cisco Systems, Inc. (a) 5,497,597 726,714
Comverse Technology, Inc. (a) 117,302 23,094
Lucent Technologies, Inc. 5,045,488 300,207
Nortel Networks Corp. 2,152,088 238,280
Tellabs, Inc. (a) 635,929 30,525
1,412,134
COMPUTER SERVICES & SOFTWARE
- - 9.7%
Adobe Systems, Inc. 193,030 19,689
America Online, Inc. (a) 3,592,588 211,963
Autodesk, Inc. 97,934 4,376
Automatic Data Processing, 1,006,634 43,851
Inc.
BMC Software, Inc. (a) 389,306 17,908
Ceridian Corp. (a) 215,669 4,273
Citrix Systems, Inc. (a) 287,922 30,358
Computer Associates 865,812 55,683
International, Inc.
Computer Sciences Corp. (a) 252,169 19,874
Compuware Corp. (a) 574,795 12,717
Electronic Data Systems Corp. 757,894 49,074
Equifax, Inc. 227,498 4,820
First Data Corp. 675,731 30,408
IMS Health, Inc. 499,963 10,062
Microsoft Corp. (a) 8,288,249 740,756
NCR Corp. (a) 155,128 5,885
Novell, Inc. (a) 534,983 17,688
Oracle Corp. (a) 4,573,520 339,584
Parametric Technology Corp. 432,512 13,111
(a)
Paychex, Inc. 398,331 19,941
PeopleSoft, Inc. (a) 404,778 8,374
Shared Medical Systems Corp. 42,222 1,644
Unisys Corp. (a) 475,230 14,227
Yahoo!, Inc. (a) 846,376 135,156
1,811,422
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1) (000S)
TECHNOLOGY - CONTINUED
COMPUTERS & OFFICE EQUIPMENT
- - 7.5%
Adaptec, Inc. (a) 168,391 $ 6,904
Apple Computer, Inc. (a) 243,276 27,886
Compaq Computer Corp. 2,708,147 67,365
Dell Computer Corp. (a) 4,088,694 166,870
EMC Corp. (a) 1,636,929 194,795
Gateway, Inc. (a) 498,874 34,298
Hewlett-Packard Co. 1,639,065 220,454
International Business 2,895,444 295,335
Machines Corp.
Lexmark International Group, 207,633 24,760
Inc. Class A (a)
Network Appliance, Inc. (a) 241,477 45,579
Pitney Bowes, Inc. 432,140 21,391
Seagate Technology, Inc. (a) 339,528 16,934
Silicon Graphics, Inc. (a) 296,636 2,911
Sun Microsystems, Inc. (a) 2,512,402 239,306
Xerox Corp. 1,081,564 23,456
1,388,244
ELECTRONIC INSTRUMENTS - 1.1%
Applied Materials, Inc. (a) 603,898 110,476
KLA-Tencor Corp. (a) 290,093 22,609
PE Corp. - Biosystems Group 338,556 35,718
Tektronix, Inc. 72,430 4,201
Teradyne, Inc. (a) 277,883 24,176
Thermo Electron Corp. (a) 228,364 3,568
200,748
ELECTRONICS - 7.4%
Advanced Micro Devices, Inc. 251,689 9,847
(a)
Analog Devices, Inc. (a) 281,341 44,171
Conexant Systems, Inc. (a) 317,211 31,166
Intel Corp. 5,371,586 606,989
LSI Logic Corp. (a) 451,436 28,920
Micron Technology, Inc. (a) 424,217 41,600
Molex, Inc. 253,343 14,156
Motorola, Inc. 1,143,018 194,885
National Semiconductor Corp. 276,912 20,803
(a)
Solectron Corp. (a) 459,137 30,073
Texas Instruments, Inc. 1,291,888 215,099
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1) (000S)
TECHNOLOGY - CONTINUED
ELECTRONICS - CONTINUED
Tyco International Ltd. 2,723,340 $ 103,317
Xilinx, Inc. (a) 520,375 41,500
1,382,526
PHOTOGRAPHIC EQUIPMENT - 0.2%
Eastman Kodak Co. 508,039 29,117
Polaroid Corp. 74,204 1,860
30,977
TOTAL TECHNOLOGY 6,226,051
TRANSPORTATION - 0.6%
AIR TRANSPORTATION - 0.2%
AMR Corp. (a) 237,814 12,574
Delta Air Lines, Inc. 213,442 9,738
Southwest Airlines Co. 796,049 14,677
US Airways Group, Inc. (a) 114,780 2,145
39,134
RAILROADS - 0.3%
Burlington Northern Santa Fe 741,394 14,596
Corp.
CSX Corp. 345,384 7,663
Norfolk Southern Corp. 584,827 7,932
Union Pacific Corp. 403,129 15,319
45,510
TRUCKING & FREIGHT - 0.1%
FedEx Corp. (a) 472,571 16,510
TOTAL TRANSPORTATION 101,154
UTILITIES - 10.8%
CELLULAR - 1.9%
ALLTEL Corp. 481,022 27,899
Nextel Communications, Inc. 584,205 79,890
Class A (a)
QUALCOMM, Inc. (a) 1,142,943 162,798
Sprint Corp. - PCS Group 1,403,500 72,631
Series 1 (a)
343,218
ELECTRIC UTILITY - 1.6%
AES Corp. (a) 356,086 29,844
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1) (000S)
UTILITIES - CONTINUED
ELECTRIC UTILITY - CONTINUED
Ameren Corp. 202,972 $ 6,089
American Electric Power Co., 307,788 8,657
Inc.
Carolina Power & Light Co. 203,185 6,045
Central & South West Corp. 337,725 5,678
Cinergy Corp. 243,414 5,203
CMS Energy Corp. 186,251 3,120
Consolidated Edison, Inc. 370,783 10,220
Constellation Energy Corp. 222,932 6,632
Dominion Resources, Inc. 397,166 14,571
DTE Energy Co. 230,347 6,954
Duke Energy Corp. 599,934 29,097
Edison International 559,849 14,731
Entergy Corp. 421,988 8,545
FirstEnergy Corp. 336,554 6,289
Florida Progress Corp. 163,719 6,979
FPL Group, Inc. 290,876 11,235
GPU, Inc. 168,208 4,184
New Century Energies, Inc. 164,431 4,450
Niagara Mohawk Holdings, Inc. 205,585 2,416
(a)
Northern States Power Co. 182,978 3,214
PECO Energy Co. 301,068 11,234
PG&E Corp. 622,337 12,836
Pinnacle West Capital Corp. 143,128 3,954
PPL Corp. 210,480 4,236
Public Service Enterprise 355,099 10,298
Group, Inc.
Reliant Energy, Inc. 528,558 10,868
Southern Co. 1,090,804 24,202
Texas Utilities Co. 460,152 15,012
Unicom Corp. 404,459 15,294
302,087
GAS - 0.8%
Columbia Energy Group 132,981 7,846
Eastern Enterprises Co. 45,461 2,631
El Paso Energy Corp. 375,176 13,905
Enron Corp. 1,151,572 79,458
NICOR, Inc. 87,620 2,661
ONEOK, Inc. 47,380 1,075
Peoples Energy Corp. 61,820 1,789
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1) (000S)
UTILITIES - CONTINUED
GAS - CONTINUED
Sempra Energy 298,931 $ 5,381
Williams Companies, Inc. 700,482 29,289
144,035
TELEPHONE SERVICES - 6.5%
AT&T Corp. 5,135,870 253,905
Bell Atlantic Corp. 2,497,213 122,207
BellSouth Corp. 3,027,502 123,371
CenturyTel, Inc. 219,054 7,366
Global Crossing Ltd. (a) 1,222,284 56,989
GTE Corp. 1,563,498 92,246
MCI WorldCom, Inc. (a) 4,562,537 203,603
SBC Communications, Inc. 5,483,631 208,378
Sprint Corp. - FON Group 1,402,344 85,543
U.S. WEST, Inc. 813,733 59,097
1,212,705
TOTAL UTILITIES 2,002,045
TOTAL COMMON STOCKS 18,523,210
(Cost $10,907,068)
</TABLE>
U.S. TREASURY OBLIGATIONS -
0.2%
MOODY'S RATINGS (UNAUDITED) PRINCIPAL AMOUNT (000S)
U.S. Treasury Bills, yield at - $ 27,901 27,662
date of purchase 5.28% to
5.72% 3/23/00 to 5/25/00 (c)
(Cost $27,661)
<TABLE>
<CAPTION>
<S> <C> <C> <C>
CASH EQUIVALENTS - 2.3%
SHARES VALUE (NOTE 1) (000S)
Bankers Trust Institutional 433,532,946 $ 433,533
Daily Asset Fund, 5.9247%
(b) (Cost $433,533)
TOTAL INVESTMENT PORTFOLIO - 18,984,405
101.9%
(Cost $11,368,262)
NET OTHER ASSETS - (1.9)% (347,930)
NET ASSETS - 100% $ 18,636,475
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C>
FUTURES CONTRACTS
EXPIRATION DATE UNDERLYING FACE AMOUNT AT UNREALIZED GAIN/(LOSS) (000S)
VALUE (000S)
PURCHASED
285 S&P 500 Stock Index March 2000 $ 97,755 $ (47)
Contracts
</TABLE>
THE FACE VALUE OF FUTURES PURCHASED AS A PERCENTAGE OF NET ASSETS -
0.5%
LEGEND
(a) Non-income producing
(b) The rate quoted is the annualized seven-day 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 $10,023,000.
INCOME TAX INFORMATION
At February 29, 2000, the aggregate
cost of investment securities for income
tax purposes was $11,403,991,000.
Net unrealized appreciation aggregated $7,580,414,000, of which
$8,828,265,000 related to appreciated investment securities and
$1,247,851,000 related to depreciated investment securities.
The fund hereby designates approximately $130,164,000 as a capital
gain dividend for the purpose of the dividend paid deduction.
FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
AMOUNTS IN THOUSANDS (EXCEPT
PER-SHARE AMOUNTS)
FEBRUARY 29, 2000
ASSETS
Investment in securities, at $ 18,984,405
value (cost $11,368,262) -
See accompanying schedule
Cash 1
Receivable for investments 77,135
sold
Receivable for fund shares 41,705
sold
Dividends receivable 22,388
Receivable for daily 931
variation on futures
contracts
Other receivables 108
TOTAL ASSETS 19,126,673
LIABILITIES
Payable for fund shares $ 53,205
redeemed
Accrued management fee 605
Other payables and accrued 2,855
expenses
Collateral on securities 433,533
loaned, at value
TOTAL LIABILITIES 490,198
NET ASSETS $ 18,636,475
Net Assets consist of:
Paid in capital $ 11,054,509
Undistributed net investment 33,947
income
Accumulated undistributed net (68,077)
realized gain (loss) on
investments and foreign
currency transactions
Net unrealized appreciation 7,616,096
(depreciation) on
investments and assets and
liabilities in foreign
currencies
NET ASSETS, for 384,063 $ 18,636,475
shares outstanding
NET ASSET VALUE, offering $48.52
price and redemption price
per share ($18,636,475
(divided by) 384,063 shares)
STATEMENT OF OPERATIONS
AMOUNTS IN THOUSANDS YEAR
ENDED FEBRUARY 29, 2000
INVESTMENT INCOME $ 228,322
Dividends
Interest 10,274
Security lending 1,986
TOTAL INCOME 240,582
EXPENSES
Management fee and $ 43,418
sub-advisory fee
Transfer agent fees 25,244
Accounting fees 1,105
Non-interested trustees' 67
compensation
Registration fees 736
Audit 131
Legal 123
Interest 38
Miscellaneous 41
Total expenses before 70,903
reductions
Expense reductions (37,964) 32,939
NET INVESTMENT INCOME 207,643
REALIZED AND UNREALIZED GAIN
(LOSS)
Net realized gain (loss) on:
Investment securities 475,404
Foreign currency transactions 8
Futures contracts 13,383 488,795
Change in net unrealized
appreciation (depreciation)
on:
Investment securities 1,144,151
Futures contracts (8,237) 1,135,914
NET GAIN (LOSS) 1,624,709
NET INCREASE (DECREASE) IN $ 1,832,352
NET ASSETS RESULTING FROM
OPERATIONS
<TABLE>
<CAPTION>
<S> <C> <C>
STATEMENT OF CHANGES IN NET ASSETS
AMOUNTS IN THOUSANDS YEAR ENDED FEBRUARY 29, 2000 YEAR ENDED FEBRUARY 28, 1999
INCREASE (DECREASE) IN NET
ASSETS
Operations Net investment $ 207,643 $ 173,810
income
Net realized gain (loss) 488,795 21,390
Change in net unrealized 1,135,914 2,116,567
appreciation (depreciation)
NET INCREASE (DECREASE) IN 1,832,352 2,311,767
NET ASSETS RESULTING FROM
OPERATIONS
Distributions to shareholders (205,943) (168,721)
From net investment income
From net realized gain (119,245) (103,340)
TOTAL DISTRIBUTIONS (325,188) (272,061)
Share transactions Net 8,777,752 7,293,000
proceeds from sales of shares
Reinvestment of distributions 320,772 268,490
Cost of shares redeemed (7,734,901) (5,012,488)
NET INCREASE (DECREASE) IN 1,363,623 2,549,002
NET ASSETS RESULTING FROM
SHARE TRANSACTIONS
TOTAL INCREASE (DECREASE) 2,870,787 4,588,708
IN NET ASSETS
NET ASSETS
Beginning of period 15,765,688 11,176,980
End of period (including $ 18,636,475 $ 15,765,688
undistributed net investment
income of $33,947 and
$32,602, respectively)
OTHER INFORMATION
Shares
Sold 182,069 179,538
Issued in reinvestment of 6,689 6,834
distributions
Redeemed (160,547) (125,415)
Net increase (decrease) 28,211 60,957
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C>
FINANCIAL HIGHLIGHTS
YEARS ENDED FEBRUARY 28, 2000 E 1999 1998 1997 1996 E
SELECTED PER-SHARE DATA
Net asset value, beginning $ 44.30 $ 37.90 $ 28.85 $ 23.56 $ 18.02
of period
Income from Investment
Operations
Net investment income .55 B .53 B .55 B .51 B .48
Net realized and unrealized 4.54 6.74 9.29 5.47 5.63
gain (loss)
Total from investment 5.09 7.27 9.84 5.98 6.11
operations
Less Distributions
From net investment income (.55) (.53) (.54) (.49) (.46)
From net realized gain (.32) (.34) (.25) (.20) (.11)
Total distributions (.87) (.87) (.79) (.69) (.57)
Net asset value, end of period $ 48.52 $ 44.30 $ 37.90 $ 28.85 $ 23.56
TOTAL RETURN A 11.53% 19.50% 34.65% 25.87% 34.37%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period $ 18,636 $ 15,766 $ 11,177 $ 6,487 $ 4,113
(in millions)
Ratio of expenses to average .19% C .19% C .20% C .28% C .28% C
net assets
Ratio of expenses to average .18% D .18% D .19% D .26% D .25% D
net assets after expense
reductions
Ratio of net investment 1.14% 1.33% 1.66% 2.00% 2.34%
income to average net assets
Portfolio turnover rate 8% 4% 2% 3% 1%
</TABLE>
A THE TOTAL RETURNS WOULD HAVE BEEN LOWER HAD CERTAIN EXPENSES NOT
BEEN REDUCED DURING THE PERIODS SHOWN.
B NET INVESTMENT INCOME PER SHARE HAS BEEN CALCULATED BASED ON AVERAGE
SHARES OUTSTANDING DURING THE PERIOD.
C FMR AGREED TO REIMBURSE A PORTION OF THE FUND'S EXPENSES DURING THE
PERIOD. WITHOUT THIS REIMBURSEMENT, THE FUND'S EXPENSE RATIO WOULD
HAVE BEEN HIGHER.
D FMR OR THE FUND HAS ENTERED INTO VARYING ARRANGEMENTS WITH THIRD
PARTIES WHO EITHER PAID OR REDUCED A PORTION OF THE FUND'S EXPENSES.
FOR THE YEAR ENDED FEBRUARY 29
NOTES TO FINANCIAL STATEMENTS
For the period ended February 29, 2000
1. SIGNIFICANT ACCOUNTING POLICIES.
Spartan U.S. Equity Index Fund (the fund) is a fund of Fidelity
Concord Street Trust (the trust) and is authorized to issue an
unlimited number of shares. The trust is registered under the
Investment Company Act of 1940, as amended, 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. Foreign securities are valued based
on quotations from 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 foreign securities are
traded, and before the close of the business of the fund, 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 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. 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."
1. SIGNIFICANT ACCOUNTING POLICIES - CONTINUED
INVESTMENT INCOME. Dividend income is recorded on the ex-dividend
date, except certain dividends from foreign securities where the
ex-dividend date may have passed, are recorded as soon as the fund is
informed of the ex-dividend date. Non-cash dividends included in
dividend income, if any, are recorded at the fair market value of the
securities received. Interest income, which includes accretion of
original issue discount, is accrued as earned. Investment income is
recorded net of foreign taxes withheld where recovery of such taxes is
uncertain.
EXPENSES. Most expenses of the trust can be directly attributed to a
fund. Expenses which cannot be directly attributed are apportioned
among the funds in the trust.
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 litigation proceeds, futures transactions, market
discount, redemptions in kind 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 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.
2. OPERATING POLICIES - CONTINUED
FUTURES CONTRACTS. The fund may use futures contracts to manage its
exposure to the stock market. Buying futures tends to increase the
fund's exposure to the underlying instrument, while selling futures
tends to decrease the fund's exposure to the underlying instrument or
hedge other fund investments. Futures contracts involve, to varying
degrees, risk of loss in excess of the futures variation margin
reflected in the Statement of Assets and Liabilities. The underlying
face amount at value of any open futures contracts at period end is
shown in the schedule of investments under the caption "Futures
Contracts." This amount reflects each contract's exposure to the
underlying instrument at period end. Losses may arise from changes in
the value of the underlying instruments or if the counterparties do
not perform under the contracts' terms. Gains (losses) are realized
upon the expiration or closing of the futures contracts. Futures
contracts are valued at the settlement price established each day by
the board of trade or exchange on which they are traded.
3. PURCHASES AND SALES OF INVESTMENTS.
Purchases of securities, other than short-term securities, aggregated
$3,008,309,000, of which $413,862,000 represents the value of
securities delivered in exchange for fund shares. Sales of securities,
other than short-term securities, aggregated $1,513,366,000, of which
$610,612,000 represents the value of securities delivered in
redemption of fund shares. The realized gain of $439,907,000 on
securities delivered in redemption of fund shares is not taxable to
the fund.
The market value of futures contracts opened and closed during the
period amounted to $4,048,747,000, and $4,299,298,000, 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 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. Prior to October 1, 1999, the sub-advisory fee included fees
for securities lending. Under this arrangement the fund paid Bankers
Trust fees equal to 40% of net income from the fund's securities
lending program. For the period, the fund paid Bankers Trust $641,000
under this arrangement.
Effective October 1, 1999 the fund entered into a separate securities
lending agreement with Bankers Trust. Under the new securities lending
agreement the fund receives at least 70% of net income from the
securities lending program. Bankers Trust will retain no more than 30%
of net income under this agreement. For the period, Bankers Trust
retained $164,000.
4. FEES AND OTHER TRANSACTIONS WITH AFFILIATES - CONTINUED
SUB-ADVISOR FEE - CONTINUED
In addition, shareholders approved a "manager-of-managers"
arrangement, which will allow FMR, with the approval of the Board of
Trustees to hire, terminate, or replace sub-advisers, and to modify
material terms and conditions of the 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 Securities and
Exchange Commission (SEC).
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 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 SEC, Bankers Trust would not be able to continue to provide
investment advisory services to the fund. 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.
TRANSFER AGENT FEES. Fidelity Investments Institutional Operations
Company, Inc. (FIIOC), an affiliate of FMR, is the fund's transfer,
dividend disbursing and shareholder servicing agent. FIIOC receives
account fees and asset-based fees that vary according to account size
and type of account. FIIOC pays for typesetting, printing and mailing
of all shareholder reports, except proxy statements. For the period,
the transfer agent fees were equivalent to an annual rate of .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.
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 $148,000
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 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 $447,123,000. The fund received cash collateral of
$433,533,000 which was invested in the Bankers Trust Institutional
Daily Asset Fund, and U.S. Treasury obligations valued at $17,639,000.
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 balance during the period for which
loans were outstanding amounted to $36,618,000. The weighted average
interest rate was 5.4%.
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
$35,721,000.
In addition, through arrangements with the fund's custodian and
transfer agent, 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 $117,000 and $2,126,000, respectively, under these arrangements.
REPORT OF INDEPENDENT ACCOUNTANTS
To the Trustees of Fidelity Concord Street Trust and the Shareholders
of Spartan U.S. Equity Index Fund:
In our opinion, the accompanying statement of assets and liabilities,
including the schedule of investments, and the related statements of
operations and of changes in net assets and the financial highlights
present fairly, in all material respects, the financial position of
Spartan U.S. Equity Index Fund (a fund of Fidelity Concord Street
Trust) at February 29, 2000, and the results of its operations, the
changes in its net assets and the financial highlights for the periods
indicated, in conformity with accounting principles generally accepted
in the United States. These financial statements and financial
highlights (hereafter referred to as "financial statements") are the
responsibility of the Spartan U.S. Equity Index Fund's management; our
responsibility is to express an opinion on these financial statements
based on our audits. We conducted our audits of these financial
statements in accordance with auditing standards generally accepted in
the United States which require that we plan and perform the audit to
obtain reasonable assurance about whether the financial statements are
free of material misstatement. An audit includes examining, on a test
basis, evidence supporting the amounts and disclosures in the
financial statements, assessing the accounting principles used and
significant estimates made by management, and evaluating the overall
financial statement presentation. We believe that our audits, which
included confirmation of securities at February 29, 2000 by
correspondence with the custodian and brokers, provide a reasonable
basis for the opinion expressed above.
/s/PricewaterhouseCoopers LLP
PricewaterhouseCoopers LLP
Boston, Massachusetts
April 13, 2000
DISTRIBUTIONS
The fund hereby designates 100% of the long-term capital gain
dividends distributed during the fiscal year as 20%-rate capital gain
dividends.
A total of 93% of the dividends distributed during the fiscal year
qualifies for the dividends-received deduction for corporate
shareholders.
The fund will notify shareholders in January 2001 of amounts for use
in preparing 2000 income tax returns.
INVESTMENT ADVISER
Fidelity Management & Research Company
Boston, MA
INVESTMENT SUB-ADVISER
Bankers Trust Company
OFFICERS
Edward C. Johnson 3d, PRESIDENT
Robert C. Pozen, SENIOR VICE PRESIDENT
Robert A. Lawrence, VICE PRESIDENT
Eric D. Roiter, SECRETARY
Robert A. Dwight, TREASURER
Matthew N. Karstetter, DEPUTY TREASURER
Maria F. Dwyer, DEPUTY TREASURER
John H. Costello, ASSISTANT TREASURER
BOARD OF TRUSTEES
Ralph F. Cox *
Phyllis Burke Davis *
Robert M. Gates *
Edward C. Johnson 3d
Donald J. Kirk *
Ned C. Lautenbach *
Peter S. Lynch
Marvin L. Mann *
William O. McCoy *
Gerald C. McDonough *
Robert C. Pozen
Thomas R. Williams *
ADVISORY BOARD
Abigail P. Johnson
GENERAL DISTRIBUTOR
Fidelity Distributors Corporation
Boston, MA
* INDEPENDENT TRUSTEES
UEI-PRO-0400 98782
1.701012.102
TRANSFER AND SHAREHOLDER SERVICING AGENT
Fidelity Investments Institutional
Operations Company, Inc.
Boston, MA
CUSTODIAN
Bankers Trust Company
New York, NY
(2_FIDLEITY_LOGOS)(registered trademark)
Corporate Headquarters
82 Devonshire St., Boston, MA 02109
www.fidelity.com
