<PAGE> 1
CHAIRMAN'S LETTER
FELLOW SHAREHOLDER:
The six months ended June 30, the first half of Balanced Index Fund's 1995
fiscal year, was a highly favorable period for stocks and bonds. The stock
market, led by the blue-chip stocks, leaped upward to post one of the strongest
six-month rallies on record. And bonds, rebounding from a tough 1994, performed
in like fashion.
In this auspicious environment, Vanguard Balanced Index Fund gave a good
accounting of itself. The Fund not only provided a high absolute return of
+15.8% for the past six months, but tracked its benchmark with a high degree of
precision. In addition, the Fund's return compared favorably against the
average (actively managed) balanced fund, which returned +13.7%. The following
table provides our customary presentation of the Fund's total return (capital
change plus income) compared to its standard benchmarks:
<TABLE>
<CAPTION>
- ------------------------------------------------------------
Total Return
----------------
Six Months Ended
June 30, 1995
- ------------------------------------------------------------
<S> <C>
VANGUARD BALANCED INDEX FUND +15.8%
- ------------------------------------------------------------
COMPOSITE BALANCED INDEX* +16.1%
- ------------------------------------------------------------
AVERAGE BALANCED FUND +13.7%
- ------------------------------------------------------------
</TABLE>
* Weighted 60% Wilshire 5000 Stock Index (return of +19.2% for the period);
40% Lehman Aggregate Bond Index (return of +11.4%).
The Fund's total return is based on net asset values of $10.34 per share on
December 31, 1994, and $11.81 on June 30, 1995, with the latter figure adjusted
to take into account the reinvestment of two dividends totaling $.16 per share
from net investment income.
THE PERIOD IN REVIEW
After a moderately disappointing 1994, the stock market sprung to life as 1995
began. During the past six months, the market has moved upward, week after
week, in virtually straight-line fashion, delighting the bulls and astonishing
the bears. On balance, the Dow Jones Industrial Average rose from 3834 as the
year began to 4556 on June 30.
As usual, there were many opinions as to the source of the market's
surprising strength. In my view, it resulted from a combination of: (1) the
sharp decline in interest rates (the yield on the long-term U.S. Treasury bond
fell from 7.8% to 6.6% during the period, a dip of 120 basis points); (2) the
diminishing threat of additional increases in short-term interest rates by the
Federal Reserve Board; (3) a slight softening in U.S. economic growth,
resulting in continued optimism about the outlook for inflation; (4)
record-breaking corporate profits; and (5) a hint of speculative fever in the
marketplace.
The market rally was led by large capitalization stocks, the so-called
blue chips. The Standard & Poor's 500 Index, which emphasizes larger stocks,
returned +20.2% over the six-month period. The stock portfolio of Vanguard
Balanced Index Fund, representing 60% of our assets, tracks the Wilshire 5000
Index, which covers all U.S. publicly traded companies. The Wilshire 5000's
return of +19.2% reflects the fact that it is dominated by the results of the
larger stocks in the universe, yet still has a meaningful participation in
medium and smaller company stocks.
The bond market has also performed splendidly thus far in 1995,
illustrating just how quickly and unpredictably financial markets can change.
Bond prices fell completely apart during 1994, with the yield on the long-term
U.S. Treasury bond rising from 6.4% to 7.8% on balance. This rise of 140 basis
points engendered a -16% decline in the price of the bond.
This year, of course, the story is precisely the opposite. The yield on
the long-term U.S. Treasury bond has fallen to 6.6% (not so far from its level
when 1994 began). Virtually none of the "experts" expected this decline.
Indeed, The Wall Street Journal survey of prominent economists and professional
money managers last December reflected a consensus yield prediction of 7.9% for
the long Treasury on June 30, 1995 (i.e., a small increase in rates). So much
for predictions!
The surprise rally of the past six months has been importantly based on
the market's perception that the Federal Reserve Board seems to have completed
its program to drive interest rates upward.
(continued)
1
<PAGE> 2
After raising the Fed funds rate (at which banks lend to one another) fully six
times during 1994, the Fed boosted rates on but one occasion during the first
half of 1995.*
The Fed's actions were apparently based largely on the perception that the
threat of inflation had diminished and that U.S. economic growth was
softening. Bond market participants are saying, in effect, that we are in "the
best of all possible worlds": steady economic growth without significant
inflation. The idea that these two often-warring factors have finally made
peace, however, is not something one should take for granted.
The bond component of Vanguard Balanced Index Fund is designed, as you
know, to track the Lehman Brothers Aggregate Bond Index, which covers the
entire investment-grade fixed-income universe and tends to have an
intermediate-term maturity. Clearly, given the strength of the bond market
rally, it would have been preferable to have a longer maturity during the past
six months, as the long-term Treasury bond returned +18.0%. However, such a
maturity stance involves substantially more risk, so evident in 1994 when the
long-term bond fell -7.6%. We, therefore, think the intermediate-term maturity
is appropriate for a portfolio seeking balanced risk and reward.
SUMMING UP
In our last Annual Report, reflecting on a trying 1994, I urged the long-term
investor to "stay the course." After a rewarding first half of 1995, you should
be fully aware of how abruptly markets can change, and be mindful of the risks
entailed with stock markets that are at historical highs and bond markets
offering significantly lower yields than six months before. Nevertheless, we
reiterate our recommendation that long-term investors holding a balanced
investment program are well advised to stay the course.
Sincerely,
/s/ JOHN C. BOGLE
- -----------------
John C. Bogle
Chairman of the Board
July 17, 1995
Note: Mutual fund data from Lipper Analytical Services, Inc.
- ----------------------
* After the conclusion of the period covered by this Semi-Annual Report, the
Fed actually reduced the short-term rate by 14 of 1%, bringing this key
rate to 534% versus 3% one and one-half years ago.
AVERAGE ANNUAL TOTAL RETURNS--THE AVERAGE ANNUAL TOTAL RETURNS FOR THE FUND
(PERIODS ENDED JUNE 30, 1995) ARE AS FOLLOWS:
<TABLE>
<CAPTION>
SINCE INCEPTION
-------------------------------------
INCEPTION TOTAL CAPITAL INCOME
DATE 1 YEAR RETURN RETURN RETURN
--------- ------ ------ ------- ------
<S> <C> <C> <C> <C> <C>
VANGUARD BALANCED INDEX FUND* 11/9/92 +19.28% +10.41% +6.54% +3.87%
</TABLE>
ALL OF THESE DATA REPRESENT PAST PERFORMANCE. THE INVESTMENT RETURN AND
PRINCIPAL VALUE OF AN INVESTMENT WILL FLUCTUATE SO THAT INVESTORS' SHARES, WHEN
REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST.
* PERFORMANCE FIGURES ARE ADJUSTED FOR THE ANNUAL ACCOUNT MAINTENANCE FEE OF
$10.
2
<PAGE> 3
FINANCIAL STATEMENTS
(unaudited)
June 30, 1995
STATEMENT OF NET ASSETS
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- --------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS (60.1%)
- --------------------------------------------------------------------------------
* AAR Corp. 5,200 $ 93
* ADC Telecommunications, Inc. 1,400 50
* Adesa Corp. 5,595 94
* AER Energy Resources, Inc. 2,800 15
* AES Corp. 3,607 69
AFLAC, Inc. 5,025 220
AGCO Corp. 1,100 41
* AK Steel Holding Corp. 3,100 84
* ALC Communications 1,800 81
* AMR Corp. 4,000 298
ARCO Chemical Co. 5,000 227
AT&T Corp. 81,700 4,340
AT&T Capital Corp. 2,400 64
Abbott Laboratories, Inc. 42,400 1,717
* Acclaim Entertainment Inc. 3,000 55
* Active Voice Corp. 2,500 70
ADAC Laboratories 4,800 59
* Adaptec, Inc. 1,600 59
Adobe Systems, Inc. 3,000 175
* Adtran, Inc. 3,600 119
Advanced Micro Devices, Inc. 5,700 207
* Advanced Polymer Systems 8,200 45
* Advanced Technology Laboratories, Inc. 3,700 58
Advanta Corp. Class A 2,050 85
ADVO, Inc. 4,700 89
Aetna Life & Casualty Co. 5,900 371
H.F. Ahmanson & Co. 6,400 141
* Aid Auto Stores, Inc. 4,400 22
* Air and Water Technologies Corp. Class A 6,100 34
Air Express International Corp. 2,700 64
Air Products & Chemicals, Inc. 5,900 329
Airborne Freight Corp. 2,700 55
* Airsensors Inc. 2,500 24
* AirTouch Communications Inc. 25,700 732
* Alantec Corp. 1,600 56
Albemarle Corp. 3,150 49
Alberto-Culver Co. Class A 1,400 36
Albertson's, Inc. 13,200 393
Alco Standard Corp. 2,800 224
Alexander & Alexander Services, Inc. 4,800 115
Alexander & Baldwin, Inc. 2,300 52
Alfa Corp. 5,200 62
* All American Semiconductor, Inc. 1,000 2
* Alleghany Corp. 422 67
Allegheny Ludlum Corp. 3,100 61
Allegheny Power System, Inc. 6,500 153
The Allen Group, Inc. 3,600 107
Allergan, Inc. 3,200 87
* Alliance Entertainment 9,600 90
Allied Capital Commercial Corp. 3,800 66
* Allied Digital Technologies Corp. 1,500 9
* Allied Holdings, Inc. 5,400 48
Allied-Signal, Inc. 14,600 650
Allmerica Property & Casualty Cos. 4,800 106
Allstate Corp. 4,600 136
ALLTEL Corp. 10,100 256
* Altera Corp. 7,000 304
* Alumax, Inc. 2,250 70
Aluminum Co. of America 9,400 471
* ALZA Corp. 4,200 98
* Amax Gold, Inc. 10,006 55
AMBAC, Inc. 1,800 72
* Amdahl Corp. 6,100 68
Amerada Hess Corp. 4,900 239
* America Online, Inc. 900 39
American Bancorp (West Virginia) 400 8
American Bankers Insurance Group 3,900 123
American Brands, Inc. 10,600 421
* American Business Information, Inc. 3,456 95
American Electric Power Co., Inc. 9,800 344
American Express Co. 26,283 923
American Financial Group, Inc. 2,800 73
* American Freightways 3,296 67
American General Corp. 10,800 364
American Greetings Corp. Class A 3,700 108
American Health Properties, Inc. 3,000 64
American Heritage Life Investment Corp. 2,400 51
American Home Products Corp. 16,000 1,238
American International Group, Inc. 16,800 1,915
American Media Class A 3,400 23
American National Insurance Co. 1,400 85
* American Power Conversion Corp. 4,000 92
American President Cos., Ltd. 2,800 66
American Re Corp. 2,200 82
* American Standard Cos., Inc. 3,900 107
American Stores Co. 8,000 225
American Water Works Co., Inc. 3,100 98
Ameritech Corp. 29,200 1,285
Ameron, Inc. 2,200 80
* Ames Department Stores, Inc. 7,000 18
Amfed Financial, Inc. 3,900 94
* Amgen, Inc. 6,800 547
Amoco Corp. 26,300 1,752
AMP, Inc. 11,100 469
* Ampal-American Israel Corp. 5,600 37
* Amphenol Corp. 3,300 96
AmSouth Bancorp 3,100 101
Anadarko Petroleum Corp. 3,000 129
* Analog Devices, Inc. 3,900 133
</TABLE>
3
<PAGE> 4
STATEMENT OF NET ASSETS (continued)
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- --------------------------------------------------------------------------------
<S> <C> <C>
Analogic Corp. 3,900 $ 66
* Anchor Gaming 4,000 89
* Andrea Radio Corp. 1,200 26
* Andrew Corp. 1,950 113
Anheuser-Busch Co., Inc. 13,800 785
* AnnTaylor Stores Corp. 3,000 70
Anthony Industries, Inc. 4,564 84
Aon Corp. 5,400 201
Apache Corp. 3,300 90
Apple Computer, Inc. 6,200 288
* Applied Materials, Inc. 4,400 381
Applied Power, Inc. 2,600 75
* Apria Healthcare 4,200 118
Arbor Drugs, Inc. 7,200 117
Archer-Daniels-Midland Co. 26,671 497
Argonaut Group, Inc. 2,800 89
* Argosy Gaming Co. 3,400 43
* Armco, Inc. 17,500 118
Armor All Products Corp. 4,500 76
Armstrong World Industries Inc. 1,900 95
Arnold Industries, Inc. 3,600 64
* Arrhythmia Research Technology, Inc. 7,000 26
* Arrow Electronics, Inc. 2,337 116
* Artra Group Inc. 16,500 80
Arvin Industries, Inc. 2,800 63
ASARCO, Inc. 2,100 64
Ashland Inc. 2,900 102
* Aspect Telecommunications 2,700 122
Astoria Financial Corp. 2,300 83
* Athena Neurosciences, Inc. 5,900 53
Atlanta Gas Light Co. 2,500 87
Atlantic Energy, Inc. 4,600 87
Atlantic Richfield Co. 8,400 922
Atlantic Southeast Airlines Inc. 3,400 103
* Atmel Corp. 2,300 128
Autodesk, Inc. 2,500 107
Automatic Data Processing, Inc. 7,500 472
* AutoZone, Inc. 7,600 191
* Avatar Holding, Inc. 2,000 72
Avery Dennison Corp. 2,900 116
Aviall Inc. 5,675 48
Avnet, Inc. 2,100 102
Avon Products, Inc. 3,600 241
BHC Communications, Inc. Class A 1,200 96
* BJ Services Co. 2,213 50
BJ Services Co. Warrants Exp. 4/13/00 787 3
* BMC Software, Inc. 1,200 92
BSB Bancorp, Inc. 2,969 90
BW/IP Inc. 3,000 55
* Badger Paper Mills, Inc. 3,200 48
Baker Hughes, Inc. 7,100 146
J. Baker, Inc. 4,600 46
Ball Corp. 3,500 122
Ballard Medical Products 3,500 45
Baltimore Gas & Electric Co. 8,000 200
Banc One Corp. 20,686 667
Bancorp Hawaii, Inc. 2,250 67
Bandag, Inc. 1,400 87
Bank of Boston Corp. 5,420 203
The Bank of New York Co., Inc. 9,600 388
BankAtlantic Bancorp 4,395 78
BankAmerica Corp. 19,558 1,029
Bankers First Corp. 3,196 94
Bankers Life Holding Corp. 2,500 47
Bankers Trust New York Corp. 4,200 260
* Banner Aerospace 11,100 55
BanPonce Corp. 1,000 36
* Banyan Systems, Inc. 4,100 56
C.R. Bard, Inc. 2,500 75
* Barnes & Noble Inc. 2,624 89
Barnett Banks, Inc. 5,226 268
* Barr Labs Inc. 3,600 78
* Base Ten Systems Class A 10,000 96
Battle Mountain Gold Co. Class A 12,200 117
Bausch & Lomb, Inc. 3,000 124
Baxter International, Inc. 14,500 527
* Bay Networks 5,730 236
BayBanks, Inc. 1,000 79
* BE Avionics Inc. 6,300 56
Bear Stearns Co., Inc. 5,738 123
Beckman Instruments 2,532 71
Becton, Dickinson & Co. 3,500 204
* Bed Bath and Beyond 2,774 67
* Bel Fuse, Inc. 6,900 78
Bell Atlantic Corp. 23,100 1,294
* Bell Sports Corp. 3,100 36
BellSouth Corp. 26,300 1,670
A. H. Belo Corp. Class A 2,000 61
Bemis Co., Inc. 3,600 94
Beneficial Corp. 2,900 128
Bergen Brunswig Corp. Class A 2,940 67
* Berkshire Hathaway 60 1,407
* Best Buy, Inc. 2,200 59
* Bethlehem Steel Corp. 5,900 96
Betz Laboratories, Inc. 1,500 68
* Beverly Enterprises Inc. 4,400 54
BIC Corp. 2,055 81
* Biogen, Inc. 1,700 76
* Biomet, Inc. 5,800 90
Birmingham Steel Corp. 2,450 45
Black & Decker Corp. 4,500 139
Blair Corp. 1,600 55
Block Drug Co. Class A 327 11
</TABLE>
4
<PAGE> 5
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- --------------------------------------------------------------------------------
<S> <C> <C>
H & R Block, Inc. 5,300 $ 218
Boatmen's Bancshares, Inc. 6,600 232
Bob Evans Farms, Inc. 2,200 45
The Boeing Co. 17,800 1,115
Boise Cascade Corp. 2,500 101
* Bolt Beranek and Newman, Inc. 5,200 142
Borg-Warner Automotive, Inc. 2,600 74
* Borland International, Inc. 3,000 39
Boston Edison Co. 2,200 57
* Boston Scientific Corp. 7,800 249
Bowater, Inc. 1,900 85
Bowne & Co., Inc. 3,100 53
Brandon Systems Corp. 4,621 99
Breed Technological Inc. 1,600 38
Briggs & Stratton Corp. 1,500 52
* Brinker International, Inc. 3,600 62
Bristol-Myers Squibb Co. 27,100 1,846
* Broadcast International Inc. 15,200 120
* Broderbund Software 3,212 204
Brooklyn Union Gas Co. 2,450 64
* Brothers Gourmet Coffees, Inc. 5,100 38
Brown-Forman Corp. Class B 3,500 117
Browning-Ferris Industries, Inc. 10,300 372
Brunswick Corp. 4,800 82
* Buffets Inc. 3,800 52
* Burlington Coat Factory Warehouse Corp. 3,900 40
* Burlington Industries 5,703 66
Burlington Northern, Inc. 4,700 298
Burlington Resources, Inc. 6,400 236
CBI Industries, Inc. 3,800 95
CBS, Inc. 3,300 221
CCB Financial Corp. 2,100 88
CCP Insurance, Inc. 2,000 45
* C-Cube Microsystems, Inc. 3,000 82
* CFI ProServices, Inc. 1,731 24
CIGNA Corp. 3,800 295
CIPSCO, Inc. 2,600 78
CMAC Investment Corp. 2,887 125
CML Group, Inc. 2,700 21
CMS Energy Corp. 4,600 113
* CNA Financial Corp. 3,300 285
CPC International, Inc. 7,600 469
CSX Corp. 5,500 413
* CUC International, Inc. 5,850 246
* Cabletron Systems, Inc. 3,500 186
Cabot Corp. 1,900 100
Cabot Oil & Gas Corp. 3,900 54
* Cadence Design Systems, Inc. 4,600 149
* Caldor Corp. 4,100 73
Calgon Carbon Corp. 7,300 89
* California Culinary Academy Inc. 11,100 87
* California Federal Bank Class A 2,000 26
Callaway Golf Co. 3,600 54
* Cambridge Biotech Corp. 4,000 1
Camco International, Inc. 2,000 47
Campbell Soup Co. 13,000 637
* Canandaigua Wine Co., Inc. Class A 2,192 98
Capital Cities/ABC, Inc. 8,100 875
Capital One Financial Corp. 6,333 123
Capital Re Corp. 3,600 94
Capitol Bancorp Ltd. 4,800 43
Caraustar Industries, Inc. 4,000 73
Cardinal Health, Inc. 2,100 99
Caremark International, Inc. 3,600 72
Carnival Cruise Lines, Inc. 14,900 348
Carolina Power & Light Co. 8,400 254
Carr Realty Corp. 5,000 86
Carter-Wallace, Inc. 3,600 41
Case Corp. 3,600 107
* Catalina Marketing Corp. 1,620 87
* Catellus Development Corp. 6,000 38
Caterpillar, Inc. 10,400 668
* Catherines Stores 1,800 19
Cato Corp. Class A 1,200 10
Centerior Energy Corp. 7,500 72
Centex Corp. 2,500 71
* Centocor, Inc. 3,352 48
Central & South West Corp. 9,500 249
Central Fidelity Banks, Inc. 2,000 60
Central Maine Power Co. 4,200 50
* Century Communications Corp. Class A 11,897 113
Century Telephone Enterprises, Inc. 2,450 70
* Ceridian Corp. 2,300 85
Champion International Corp. 4,700 245
Charming Shoppes, Inc. 9,100 48
* Charter Medical Corp. 3,000 49
The Chase Manhattan Corp. 9,196 432
* Checkers Drive-In Restaurant 5,400 10
Chemed Corp. 2,100 73
Chemical Banking Corp. 13,000 614
Chemical Finance 2,110 62
Chesapeake Corp. of Virginia 1,200 37
Chevron Corp. 34,500 1,609
* Cheyenne Software, Inc. 6,050 112
* Children's Discovery Centers of America, Inc. 400 7
* Chiron Corp. 2,126 138
* Chris-Craft Industries, Inc. 2,602 91
* Christiana Cos., Inc. 2,300 62
* Chromcraft Revington, Inc. 2,500 52
Chrysler Corp. 18,600 890
The Chubb Corp. 4,700 377
</TABLE>
5
<PAGE> 6
STATEMENT OF NET ASSETS (continued)
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- --------------------------------------------------------------------------------
<S> <C> <C>
Church and Dwight, Inc. 2,500 $ 52
Cilcorp, Inc. 2,100 76
Cincinnati Bell, Inc. 3,100 78
Cincinnati Financial Corp. 2,730 152
Cincinnati Milacron, Inc. 1,700 46
CINergy Corp. 8,162 214
Cintas Corp. 2,400 86
Circuit City Stores, Inc. 5,100 161
* Circus Circus Enterprises Inc. 4,300 152
* Cirrus Logic 1,400 88
* Cisco Systems, Inc. 14,000 708
Citicorp 20,500 1,186
Citizens Bancorp MD 2,300 68
* Citizens Utilities Co. Class A 8,176 97
* Citizens Utilities Co. Class B 2,356 28
City Holding Co. 2,310 64
Clayton Homes Inc. 3,765 62
* Clear Channel Communications 900 58
Clorox Co. 2,800 183
Coastal Corp. 5,300 161
Coca-Cola Bottling Co. 2,800 88
The Coca-Cola Co. 68,000 4,335
Coca-Cola Enterprises, Inc. 6,900 151
* Coherent Communications Systems Corp. 4,400 75
* Coin Bill Validator Inc. 3,000 37
* Coleman Inc. 2,134 76
Colgate-Palmolive Co. 7,700 563
Collective Bancorp Inc. 5,550 112
* Colonial Data Technologies Corp. 3,800 72
* Coltec Inc. 3,500 60
* Columbia Gas Systems, Inc. 2,600 83
Columbia/HCA Healthcare Corp. 23,073 998
* Columbia First Federal Savings and Loan Assn. 1,300 75
Comcast Corp. Class A 6,600 120
Comcast Corp. Class A Special 5,100 95
Comdisco, Inc. 6,200 188
Comerica, Inc. 5,700 183
Commonwealth Energy Systems 1,300 49
Community First Bankshares 4,000 68
* COMPAQ Computer Corp. 13,700 622
* CompUSA, Inc. 5,800 193
Computer Associates International, Inc. 8,300 562
* Computer Sciences Corp. 2,700 154
Computer Task Group, Inc. 9,000 126
* Compuware Corp. 1,900 59
Comsat Corp. 3,400 67
ConAgra, Inc. 13,000 453
* Concord EFS, Inc. 5,175 137
* Conmed Corp. 3,271 80
Connecticut Natural Gas Corp. 3,400 75
* Conner Peripherals, Inc. 7,700 95
Conrail, Inc. 3,900 217
Conseco, Inc. 1,400 64
Consolidated Edison Co. of New York, Inc. 12,400 366
Consolidated Natural Gas Co. 5,100 193
Consolidated Papers 2,400 138
* Consolidated Stores, Inc. 2,400 50
* Continental Medical Systems, Inc. 7,000 67
Continental Mortgage & Equity Trust 1,600 24
* Converse Inc. 1,866 14
Cooper Industries, Inc. 5,800 229
Cooper Tire & Rubber Co. 4,500 110
Adolph Coors Co. Class B 1,500 24
* Coram Healthcare Corp. 1,323 19
* Cordis Corp. 800 54
CoreStates Financial Corp. 7,500 262
Corning, Inc. 12,000 393
Countrywide Credit Industries, Inc. 4,147 87
* Coventry Corp. 3,345 47
* Cox Communications Class A 7,014 136
Cracker Barrel Old Country Stores, Inc. 2,700 56
Crane Co. 1,600 58
* Cray Research, Inc. 3,200 78
* Creative Technology 13,400 35
* Credit Acceptance Corp. 5,000 104
Crestar Financial Corp. 1,800 88
Crompton & Knowles Corp. 2,600 37
Crown American Realty Trust 6,300 80
* Crown Cork & Seal Co., Inc. 4,500 226
Crown Crafts, Inc. 5,500 91
* Cryomedical Sciences 17,500 38
Cummins Engine Co., Inc. 2,300 100
* Cypress Semiconductor Corp. 2,000 81
* Cypros Pharmaceuticals Corp. 9,750 85
Cyprus Amax Minerals Co. 4,650 133
* Cytec Industries, Inc. 614 25
DPL, Inc. 5,900 131
DQE Inc. 4,350 102
* DSC Communications Corp. 5,800 270
* DSP Group Inc. 1,400 35
Dana Corp. 4,800 137
Danaher Corp. 3,000 91
* Darden Restaurants Inc. 8,300 90
* Data General Corp. 9,400 90
Dauphin Deposit Bank & Trust 1,000 25
Dayton-Hudson Corp. 3,700 265
Dean Foods Corp. 2,900 81
Dean Witter Discover & Co. 8,905 419
Deere & Co. 4,600 394
</TABLE>
6
<PAGE> 7
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- --------------------------------------------------------------------------------
<S> <C> <C>
* Dell Computer 1,900 $ 114
Delmarva Power & Light Co. 3,000 61
Delta & Pine Land Co. 4,300 124
Delta Air Lines, Inc. 2,600 192
Deluxe Corp. 4,200 139
Dentsply International 1,400 50
* Department 56 Inc. 3,905 149
* Designs, Inc. 5,750 51
Detroit Edison Co. 7,700 227
Developers Diversified Realty Corp. 2,500 72
Devon Energy Corp. 3,567 77
Dexter Corp. 3,000 71
* Diagnostek, Inc. 3,600 58
Diagnostic Products Corp. 1,300 47
The Dial Corp. 5,000 124
* Dial Page, Inc. 2,500 36
Diebold, Inc. 1,600 70
* Digital Equipment Corp. 7,700 314
Dillard Department Stores Class A 5,400 159
* Dime Bancorp Inc. 27,629 276
* Dionex Corp. 1,500 68
The Walt Disney Co. 27,500 1,530
Dole Food Co. 3,300 96
Dollar General Corp. 3,313 105
Dominion Resources, Inc. 8,800 321
R.R. Donnelley & Sons Co. 7,700 277
* Doskocil Cos. 5,000 65
* Dovatron International Inc. 4,100 99
Dover Corp. 2,900 211
Dow Chemical Co. 14,500 1,042
Dow Jones & Co., Inc. 5,100 188
Dresser Industries, Inc. 9,700 216
E.I. du Pont de Nemours & Co. 35,500 2,441
Duke Power Co. 10,700 444
The Dun & Bradstreet Corp. 8,800 462
Duracell International, Inc. 5,900 255
Duriron Co., Inc. 4,650 105
* Dynatech Corp. 6,600 125
EG & G, Inc. 7,100 119
* EMC Corp. 9,700 235
* Eagle Finance Corp. 3,600 66
Eastern Enterprises 2,900 87
Eastman Chemical 4,450 265
Eastman Kodak Co. 18,100 1,097
Eaton Corp. 3,900 227
Eaton Vance Corp. 1,000 33
Echlin, Inc. 3,300 115
Echo Bay Mines Ltd. 5,600 50
* Ecogen Inc. 9,500 19
Ecolab, Inc. 3,400 83
* Edisto Resources Corp. 11,100 80
A.G. Edwards & Sons, Inc. 3,025 68
El Paso Natural Gas 1,600 46
Elco Industries Inc. 3,500 66
Elcor Corp. 3,800 85
* Electric Fuel Corp. 1,800 20
* Electronic Arts 2,200 60
Emerson Electric Co. 11,900 851
* Emulex Corp. 2,200 53
Energy West Inc. 5,200 42
Engelhard Corp. 5,000 214
Enron Corp. 13,000 457
Enron Oil & Gas Co. 7,800 170
ENSERCH Corp. 6,200 106
Entergy Corp. 11,554 279
* Enterra Corp. 5,000 105
* Envirotest Systems Corp. Class A 10,800 53
* Epitope Inc. 2,800 47
Equifax, Inc. 3,700 123
The Equitable Cos. 7,700 161
Equitable of Iowa Co. 3,000 99
Equitable Resources, Inc. 1,800 52
Equity Residential Properties Trust 2,000 56
Ethyl Corp. 6,300 67
* Evergreen Healthcare, Inc. 4,000 50
* Exide Electronics Group, Inc. 3,362 76
* Express Scripts 4,400 153
Exxon Corp. 64,600 4,562
* Ezcorp, Inc. 4,000 19
F & M Bancorp 1,433 38
FFY Financial Corp. 4,600 89
* FHP International Corp. 2,000 46
* FLIR Systems, Inc. 1,800 25
* FMC Corp. 1,800 121
FPL Group, Inc. 9,700 375
* FTP Software, Inc. 3,000 91
* Fairfield Communities, Inc. 9,200 52
Family Dollar Stores, Inc. 1,300 19
Farrel Corp. 10,800 65
* Federal Express Corp. 3,100 188
Federal Home Loan Mortgage Corp. 9,400 646
Federal-Mogul Corp. 4,100 75
Federal National Mortgage Assn. 14,300 1,350
Federal Paper Board Co., Inc. 2,200 78
Federal Realty Investment Trust 4,300 93
Federal Signal Corp. 5,733 124
* Federated Department Stores 9,500 245
Ferro Corp. 1,400 37
Fifth Third Bancorp 3,400 192
Fina Inc. 1,600 75
* Financial Industries Corp. 1,000 39
Financial Trust Corp. 2,346 65
Fingerhut Co. 2,400 37
Finova Group, Inc. 1,500 52
</TABLE>
7
<PAGE> 8
STATEMENT OF NET ASSETS (continued)
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- --------------------------------------------------------------------------------
<S> <C> <C>
* First Alert, Inc. 5,000 $ 73
1st Bancorp (Indiana) 2,900 96
First American Corp. (Tenn.) 2,200 79
First American Bank Corp. 3,200 119
First Bank System, Inc. 6,884 282
First Brands Corp. 1,900 81
First Chicago Corp. 4,700 281
First Colony Corp. 2,104 50
First Commerce Bancshares Class A 1,000 17
First Commerce Bancshares Class B 4,000 48
First Commerce Corp. 2,912 86
First Data Corp. 6,300 358
First Empire State Corp. 500 86
First Fidelity Bancorp. 4,200 248
First Financial Management 3,300 282
First Hawaiian, Inc. 1,600 42
First Interstate Bancorp. 4,200 337
First Michigan Bank Corp. 4,710 115
First Midwest Bancorp 2,600 64
First National Bank of Gainsville 2,800 60
* First Pacific Networks, Inc. 4,400 13
First Security Corp. 2,900 82
First Source Corp. 2,547 75
First Tennessee National Corp. 1,700 79
First Union Corp. 9,200 416
First USA Inc. 2,800 124
First Virginia Banks, Inc. 1,700 64
Firstar Corp. 3,400 114
* FIserv, Inc. 2,000 56
Fisher Scientific International Inc. 2,000 66
Fleet Financial Group, Inc. 7,300 271
Fleetwood Enterprises, Inc. 2,400 47
Fleming Cos., Inc. 4,600 122
FlightSafety International, Inc. 1,400 68
Florida Progress Corp. 5,000 156
Florida Rock Industries, Inc. 2,900 82
* Florsheim Shoe Co. 934 4
Flowers Industries, Inc. 2,000 40
Fluor Corp. 4,100 213
* Foamex International, Inc. 2,900 21
Food Lion Inc. Class A 23,700 141
Ford Motor Co. 54,200 1,612
* Fore Systems, Inc. 2,900 87
* Foreland Corp. 1,700 3
Foremost Corp. of America 2,200 85
* Forest Laboratories, Inc. 2,100 93
Foster Wheeler Corp. 2,500 88
* Foundation Health Co. 2,900 78
Fourth Financial Corp. 1,900 63
* Fourth Shift Corp. 12,600 44
* FoxMeyer Health Corp. 5,400 97
Franklin Resources Corp. 4,000 178
Freeport McMoRan, Inc. 8,200 145
Freeport McMoRan Copper & Gold Inc. Class A 3,349 69
* Fritz Cos., Inc. 1,200 71
Frontier Corp. 4,300 103
* Fruit of the Loom, Inc. 4,000 85
H.B. Fuller Co. 1,500 55
* Fund American Enterprise Holding Co. 600 43
GATX Corp. 1,000 47
* GBC Technologies, Inc. 7,000 55
* GC Cos. 2,630 86
GEICO Corp. 3,400 193
GTE Corp. 50,900 1,737
Arthur J. Gallagher & Co. 2,000 73
Gannett Co., Inc. 7,300 396
The Gap, Inc. 7,400 258
* Gardner Denver Machinery, Inc. 232 4
* Gateway 2000 Inc. 3,600 82
Gaylord Entertainment Class A 4,620 117
GenCorp, Inc. 6,100 66
* Genentech Inc. 6,300 306
General Dynamics Corp. 3,300 146
General Electric Co. 90,400 5,096
General Growth Properties 2,700 55
General Instrument 6,600 253
General Mills, Inc. 8,300 426
General Motors Corp. 39,900 1,870
General Motors Corp. Class E 15,900 692
General Motors Corp. Class H 4,500 178
* General Nutrition Cos., Inc. 2,800 98
General Physics Corp. 18,400 48
General Public Utilities Corp. 6,100 181
General Re Corp. 4,400 589
General Signal Corp. 2,500 99
* Genesco, Inc. 19,500 61
* Genetics Institute Inc. Depository Shares 1,400 48
* Geneva Steel Class A 3,000 25
* Gensia Inc. 4,400 16
Genuine Parts Co. 6,500 246
* Genzyme Corp. 1,300 52
Geon Co. 3,200 92
Georgia Gulf Corp. 2,200 72
Georgia-Pacific Corp. 4,800 416
Giant Food, Inc. Class A 3,100 88
* Gilead Sciences, Inc. 3,400 60
Gillette Co. 23,200 1,035
P.H. Glatfelter Co. 4,200 85
Golden West Financial Corp. 3,400 160
The BF Goodrich Co. 1,100 59
The Goodyear Tire & Rubber Co. 7,700 318
</TABLE>
8
<PAGE> 9
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- --------------------------------------------------------------------------------
<S> <C> <C>
Goulds Pumps, Inc. 3,100 $ 68
W.R. Grace & Co. 4,900 301
Graco, Inc. 3,600 97
W.W. Grainger, Inc. 2,700 159
* Grand Casinos, Inc. 3,100 110
Great Atlantic & Pacific Tea Co., Inc. 5,000 132
Great Lakes Chemical Corp. 3,400 205
Great Western Financial Corp. 7,200 149
Green Point Financial Corp. 2,800 66
Green Tree Financial Corp. 3,500 155
* Greenman Brothers, Inc. 5,000 45
* Gtech Holdings Corp. 5,400 158
Guidant Corp. 3,700 89
* Gymboree Inc. 3,400 99
HBO and Co. 1,600 87
HF Financial Corp. 3,200 99
* HMN Financial, Inc. 3,000 41
HRE Properties 200 3
* HS Resources Inc. 2,800 39
* Haemonetics Corp. 4,500 87
Halliburton Co. 6,200 222
M.A. Hanna Co. 3,000 78
Hannaford Brothers Co. 2,200 63
Harcourt General, Inc. 4,000 170
John H. Harland Co. 1,600 37
Harley-Davidson, Inc. 4,000 98
Harnischfeger Industries Inc. 2,400 83
Harris Corp. 2,000 103
* Harris Computer Systems 100 1
* Harry's Farmers Market, Inc. 4,200 36
Harsco Corp. 1,300 69
Hartford Steam Boiler Inspection & Insurance Co. 1,400 62
* Hartmarx Corp. 12,600 63
Harveys Casino Resorts 2,000 38
Hasbro, Inc. 4,400 140
* Hauser Chemical Research 8,800 47
Hawaiian Electric Industries Inc. 2,300 84
Hayes Wheels International 3,600 77
Health Care Properties Investors 1,500 48
* HealthCare Compare Corp. 1,800 54
* HEALTHSOUTH Corp. 5,600 97
Health and Retirement Properties Trust 6,400 96
* Health Management Associates Class A 2,350 69
* Health Systems 2,600 75
* Healthcare & Retirement Corp. 800 23
* Healthsource, Inc. 1,600 56
* Healthwise of America Inc. 525 14
* Heartland Express, Inc. 3,100 81
Hechinger Co. Class A 7,300 52
Heilig-Meyers Co. 2,500 64
H.J. Heinz Co. 12,600 559
Helmerich & Payne, Inc. 4,000 118
Hercules, Inc. 6,300 307
Hershey Foods Corp. 4,300 238
Hewlett-Packard Co. 27,000 2,012
Hibernia Corp. Class A 5,600 50
Highwood Properties, Inc. 600 15
Hillenbrand Industries, Inc. 3,600 112
* Hills Stores Co. 2,265 54
Hilton Hotels Corp. 2,400 169
Holly Corp. 1,600 37
Home Depot, Inc. 23,633 960
Home Federal Financial Corp. 1,600 22
* Home Shopping Network, Inc. 7,200 61
Homestake Mining Co. 6,800 112
Honeywell, Inc. 6,700 289
Horace Mann Educators Corp. 3,600 83
Hormel Foods Corp. 4,200 110
* Horsehead Resource Development Co., Inc. 7,900 37
* Hospitality Franchise Systems, Inc. 2,600 90
* Host Marriott 7,600 81
* House of Fabrics, Inc. 10,800 12
Household International, Inc. 5,100 252
Houston Industries, Inc. 6,600 278
Hubbell Inc. Class B 1,575 89
Hughes Supply, Inc. 3,700 81
* Humana, Inc. 8,600 152
Hunt Manufacturing Co. 2,300 35
J.B. Hunt Transport Services, Inc. 2,000 37
Huntington Bancshares Inc. 6,750 141
* Hutchinson Technology, Inc. 2,000 85
* Hyperion Software Corp. 726 33
IBP, Inc. 2,500 109
IES Industries, Inc. 3,300 73
* IGI, Inc. 4,110 63
IMC Global Inc. 1,500 81
ITT Corp. 5,600 658
Idaho Power Co. 4,900 124
IDEX Corp. 100 3
* IDEXX Laboratories 4,800 126
* Identix, Inc. 14,000 88
Illinois Central Corp. 2,200 76
Illinois Tool Works, Inc. 6,000 330
Illinova Corp. 4,200 107
* Imclone Systems, Inc. 7,800 15
* Immune Response 7,200 31
* Immunomedics Inc. 7,900 18
* Inacom Corp. 6,300 82
* Industrial Scientific Corp. 2,700 50
* Infinity Broadcasting Corp. 2,550 85
</TABLE>
9
<PAGE> 10
STATEMENT OF NET ASSETS (continued)
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- --------------------------------------------------------------------------------
<S> <C> <C>
* Information Resources, Inc. 2,600 $ 36
* Informix Corp. 6,200 157
Ingersoll-Rand Co. 5,700 218
* Inland Steel Industries, Inc. 2,500 76
* Insignia Financial Group 1,800 47
* Insilco Corp. 2,600 91
Integra Financial Corp. 1,700 83
* Integrated Device Technology Inc. 1,900 88
Integrated Health Services, Inc. 1,900 57
Intel Corp. 43,200 2,735
* Interactive Network Inc. 7,000 1
Intercargo Corp. 5,400 60
* Intercel, Inc. 3,900 60
Interco Co. 5,600 33
* Intergraph Corp. 8,000 91
* Interleaf, Inc. 7,800 58
* International Assets Holding Corp. 1,800 4
International Business Machines Corp. 31,100 2,986
* International Cabletel, Inc. 2,000 65
International Flavors & Fragrances, Inc. 5,700 284
International Game Technology 6,200 95
* International Lottery & Totalizator 8,800 28
International Paper Co. 6,700 575
* International Rectifier Corp. 1,300 42
International Shipholding Corp. 2,700 56
International Specialty Products, Inc. 3,200 27
* International Technology 25,100 75
Interpublic Group of Cos., Inc. 4,000 150
* Intersolv 4,800 112
* Intuit, Inc. 1,100 84
* Invitro International 2,800 3
* Iomega Corp. 14,625 324
* Ionics, Inc. 3,000 104
Ipalco Enterprises, Inc. 2,100 67
Irvine Apartment Communities, Inc. 2,000 35
Irwin Financial Corp. 3,900 136
* Itel Corp. 1,600 62
IVAX Corp. 6,100 150
Jackpot Enterprises, Inc. 5,500 56
James River Corp. 3,800 105
* Jan Bell Marketing Inc. 8,900 21
Jefferson Bancorp, Inc. 2,060 29
Jefferson-Pilot Corp. 2,700 148
* Jefferson Smurfit Corp. 5,800 76
Johnson & Johnson 34,000 2,299
Johnson Controls, Inc. 2,200 124
* Johnstown America Industries 3,800 40
* Jones Apparel Group, Inc. 3,400 102
Jostens Inc. 4,900 104
* KLA Instruments Corp. 1,800 139
Kmart Corp. 23,100 338
KN Energy, Inc. 4,128 105
K U Energy Corp. 1,900 53
* K-V Pharmaceutical Co. Class A 6,900 57
Kansas City Power & Light Co. 3,200 73
Kansas City Southern Industries, Inc. 2,300 86
Kellogg Co. 11,800 842
Kellwood Co. 3,100 53
Kelly Services, Inc. Class A 2,100 54
Kemper Corp. 1,700 79
* Kennedy-Wilson, Inc. 2,800 3
* Kent Electronics Corp. 2,700 102
Kerr-McGee Corp. 2,700 145
KeyCorp 12,584 395
* Keystone Consolidated Industries, Inc. 3,600 49
Keystone Financial, Inc. 2,803 79
Keystone International, Inc. 1,800 35
Kimberly-Clark Corp. 8,500 509
Kimco Realty Corp. 600 23
* Kinder Care Learning Centers Inc. 4,000 54
Kinetic Concepts, Inc. 11,300 79
* King World Productions, Inc. 1,600 65
* Kleer-Vu Industries Inc. 6,960 48
Knight-Ridder, Inc. 2,800 159
* Kohls Corp. 1,900 87
* The Kroger Co. 6,300 169
Kuhlman Corp. 4,700 53
* LCI International, Inc. 2,937 90
* LDDS Communications, Inc. 8,812 237
LG&E Energy Corp. 1,700 66
* LSI Logic Corp. 6,400 250
* LTV Corp. 5,400 79
* LTX Corp. 12,100 108
La Quinta Inns Inc. 2,400 65
La-Z-Boy Chair Co. 900 24
* Laboratory Corp. of America 3,024 40
* Laboratory Corp. of America Warrants Exp. 4/28/00 684 1
Ladd Furniture Inc. 1,467 19
Lafarge Corp. 3,000 56
* LAM Research Corp. 1,400 89
Lancaster Colony Corp. 3,288 117
Landmark Bancshare, Inc. 4,900 60
* Lands' End, Inc. 4,000 65
Lawter International Inc. 5,300 64
* Layne, Inc. 12,900 94
* Lear Seating Corp. 4,700 108
* Lechters Corp. 4,700 74
Lee Enterprises, Inc. 1,200 46
* Legent Corp. 1,900 83
Leggett & Platt, Inc. 2,100 92
Lehman Brothers Holdings, Inc. 5,360 117
</TABLE>
10
<PAGE> 11
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- --------------------------------------------------------------------------------
<S> <C> <C>
Lennar Corp. 1,800 $ 34
* Leslie Fay Co. 11,100 3
Leucadia National Corp. 1,400 71
Leviathan Gas Pipeline Co. 2,500 59
* Lexington Savings Bank 500 8
Liberty Bancorp 2,400 78
Liberty Corp. 2,800 76
Life Partners Group, Inc. 4,900 98
Lillian Vernon Corp. 2,300 42
Eli Lilly & Co. 15,200 1,193
Lilly Industries Inc. Class A 4,200 50
The Limited, Inc. 18,800 414
* Lin Broadcasting Corp. 2,600 329
* Lin Television 1,300 44
* Lincare Holdings Inc. 5,000 133
Lincoln National Corp. 5,000 219
Linear Technology Corp. 1,800 118
Litchfield Financial Corp. 7,497 99
* Litton Industries, Inc. 2,100 77
Liz Claiborne, Inc. 3,700 79
Lockheed Martin Corp. 21,553 1,361
Loctite Corp. 2,000 91
Loews Corp. 3,000 363
* Lomas Financial Corp. 6,900 4
* Lone Star Steakhouse & Saloon 5,100 154
Long Island Lighting Co. 5,600 87
* Longhorn Steaks Inc. 4,600 64
Longview Fiber Co. 3,000 51
Loral Corp. 4,200 217
* Lotus Development Corp. 2,200 140
* Louis Dreyfus Natural Gas Corp. 3,600 53
Louisiana Land & Exploration Co. 2,100 84
Louisiana-Pacific Corp. 6,000 158
Lowes Cos., Inc. 8,100 242
Lubrizol Corp. 3,600 127
Lukens, Inc. 2,900 94
Lyondell Petrochemical Co. 4,400 113
* M/A-Com, Inc. 6,400 75
* MBF Corp. 2,000 27
MBIA, Inc. 2,200 146
MBNA Corp. 7,500 253
MCI Communications Corp. 35,400 777
MCN Corp. 3,300 65
* MFS Communications Co., Inc. 3,400 109
MGIC Investment Corp. 3,000 141
* MGM Grand Inc. 2,100 57
* MK Gold Co. 10,700 39
MMI Cos., Inc. 1,000 20
Madison Gas & Electric Co. 2,600 80
Magma Copper Co. Class B 6,180 100
Magna Group 4,152 92
Mallinckrodt Group, Inc. 4,000 142
Manitowoc Co., Inc. 2,200 64
* Manor Care Inc. 3,200 93
Manpower Inc. 3,900 99
* Manville Corp. 6,300 87
Mapco Inc. 1,400 81
Marion Merrell Dow, Inc. 13,800 352
Mark IV Industries, Inc. 2,800 60
* Marquette Electronics Class A 3,296 53
Marriott International 6,400 230
Marsh & McLennan Cos., Inc. 3,800 308
Marshall & Ilsley Corp. 5,544 126
Martin Marietta Materials, Inc. 2,000 40
* Marvel Entertainment Group 4,740 73
Masco Corp. 8,500 230
MascoTech Inc. 4,900 61
Mattel, Inc. 11,468 298
* Mattson Technology, Inc. 2,200 103
* Maxtor Corp. 8,400 53
May Department Stores Co. 13,000 541
Maytag Corp. 5,900 94
* McAfee Associates, Inc. 1,454 44
McClatchy Newspapers, Inc. 1,500 33
McCormick & Co., Inc. 4,100 89
McDermott International, Inc. 3,000 72
McDonald's Corp. 36,400 1,424
McDonnell Douglas Corp. 6,000 461
The McGraw-Hill Cos. 2,400 182
McKesson Corp. 2,300 108
* McMoRan Oil and Gas 700 2
The Mead Corp. 3,100 184
* Medaphis Corp. 2,000 43
* Medco Research, Inc. 5,100 70
Media General, Inc. Class A 1,400 43
* Medical Graphics Corp. 9,700 55
Meditrust 2,700 92
Medtronic, Inc. 5,800 447
Mellon Bank Corp. 7,536 314
Melville Corp. 5,600 192
Mentor Corp. 4,052 112
* Mentor Graphics Corp. 5,900 103
Mercantile Bancorp, Inc. 2,200 99
Mercantile Bankshares Corp. 3,900 88
Mercantile Stores Co., Inc. 2,100 98
Merck & Co., Inc. 65,509 3,210
Mercury Finance Co. 5,333 103
Meredith Corp. 4,150 105
Meridian Bancorp, Inc. 3,539 121
* Merisel, Inc. 4,300 32
Merrill Lynch & Co., Inc. 9,700 509
* Merry-Go-Round Enterprises, Inc. 8,900 8
* Mesa Airlines, Inc. 4,300 40
Methode Electronics, Inc. Class A 5,766 112
</TABLE>
11
<PAGE> 12
STATEMENT OF NET ASSETS (continued)
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- --------------------------------------------------------------------------------
<S> <C> <C>
* Fred Meyer, Inc. 1,400 $ 38
Michael Foods, Inc. 7,900 85
Michigan National Corp. 800 85
* Micrion Corp. 1,700 23
* Microsoft Corp. 30,300 2,740
* Micro Warehouse Inc. 1,200 55
Micron Technology Inc. 10,500 576
Mid Am Inc. 6,413 98
Mid-America Realty Investments 7,200 60
* Mid Atlantic Medical Services 4,000 74
Mid-Iowa Financial Corp. 6,000 63
Midlantic Corp. 2,700 108
Midwest Resources Inc. 5,800 86
Herman Miller, Inc. 3,100 76
Millipore Corp. 1,500 101
* Milwaukee Land Co. 5,500 45
Minerals Technologies, Inc. 1,200 43
* Minnesota Educational Computing Corp. 1,400 50
Minnesota Mining & Manufacturing Co. 21,900 1,254
Minnesota Power & Light Co. 2,500 68
* Mirage Resorts, Inc. 4,550 139
Mitchell Energy & Development Corp. Class A 2,200 40
Mobil Corp. 20,600 1,978
* Mobley Environmental Services, Inc. Class A 6,600 12
Modine Manufacturing Co. 2,538 94
* Mohawk Industries, Inc. 3,700 55
* Molecular Biosystems, Inc. 3,297 21
Molex, Inc. 4,125 159
Monsanto Co. 5,900 532
Montana Power Co. 2,800 64
J.P. Morgan & Co., Inc. 10,000 701
Morgan Stanley Group, Inc. 3,800 308
Morrison-Knudsen Co., Inc. 3,700 25
Morrison Restaurants 1,950 47
* Morton International, Inc. 7,200 211
Motorola, Inc. 30,500 2,047
* Mueller Industries Inc. 2,700 133
* Multicare Cos., Inc. 1,400 24
* Multimedia, Inc. 1,900 74
Murphy Oil Corp. 2,000 82
Mylan Laboratories, Inc. 4,300 132
NBD Bancorp, Inc. 8,400 269
* NFO Research Inc. 4,065 81
NIPSCO Industries, Inc. 3,500 119
NUI Corp. 2,100 35
Nabisco Holdings Corp. Class A 3,800 103
Nalco Chemical Co. 3,600 131
National City Corp. 7,500 220
National Community Bancorp 2,850 73
* National Education Corp. 8,600 47
National Fuel & Gas Co. 1,900 54
* National Gaming Corp. 260 2
* National Gypsum Co. 2,277 119
National Presto Industries, Inc. 2,200 100
National Re Holdings Corp. 2,600 87
* National Semiconductor Corp. 6,400 178
National Service Industries, Inc. 3,200 92
NationsBank, Inc. 14,423 773
* Natural Wonders 4,300 13
* Navigators Group, Inc. 2,000 31
* Navistar International Corp. 4,000 61
Thomas Nelson, Inc. 2,750 53
* Neoprobe Corp. 15,200 85
* Neostar Retail Group 6,500 101
* Netcom On-line Communication Services, Inc. 1,600 41
* Netframe Systems Inc. 14,800 77
* Network Express, Inc. 2,300 31
Nevada Power Co. 2,300 47
New England Electric System 3,400 117
New Plan Realty Trust 3,100 69
New York State Electric & Gas Corp. 3,700 86
New York Times Co. Class A 5,500 129
Newell Co. 8,000 196
Newmont Gold Co. 4,900 197
Newmont Mining Corp. 4,243 178
* Nexstar Pharmaceuticals Inc. 10,912 95
* Nextel Communications 5,500 77
Niagara Mohawk Power Corp. 7,100 105
NICOR, Inc. 3,000 81
Nike, Inc. Class B 3,700 311
Noble Affiliates, Inc. 2,500 64
* Noble Drilling Corp. 11,200 81
NorAm Energy Corp. 9,300 60
* Nord Resources Corp. 11,200 38
Nordson Corp. 1,700 94
Nordstrom, Inc. 4,100 169
Norfolk Southern Corp. 6,900 465
North American Mortgage 2,700 62
North Side Savings Bank 2,315 57
Northeast Utilities 6,500 146
Northern States Power Co. of Minnesota 3,400 157
Northern Trust Corp. 2,450 98
Northrop Grumman Corp. 2,300 120
* Northwest Airlines Corp. Class A 4,000 141
Northwest Savings Bank 2,900 56
Norwest Corp. 16,400 472
* NovaCare, Inc. 5,000 41
* Novell, Inc. 19,300 385
</TABLE>
12
<PAGE> 13
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- --------------------------------------------------------------------------------
<S> <C> <C>
* Novellus Systems, Inc. 3,000 $ 203
Nucor Corp. 4,300 230
* Numerex Corp. 3,700 43
* nVIEW Corp. 3,300 19
NYNEX Corp. 21,600 869
* OHM Corp. 5,700 69
* OIS Optical Imaging Systems, Inc. 3,000 15
Occidental Petroleum Corp. 16,300 373
* Octel Communications Corp. 4,100 120
* Office Depot, Inc. 8,025 226
* Officemax Inc. 2,600 72
* Offshore Logistics, Inc. 4,000 56
Ogden Corp. 2,500 55
Ohio Casualty Corp. 1,600 51
Ohio Edison Co. 7,600 172
Oklahoma Gas & Electric Co. 2,200 77
* Old Dominion Freight Line, Inc. 4,000 50
Old Kent Financial Corp. 2,100 72
Old Republic International Corp. 2,700 71
Olin Corp. 1,500 77
Olsten Corp. 2,100 69
Omnicom Group Inc. 1,700 103
One Valley Bancorp of West Virginia Inc. 2,400 74
* Oracle Corp. 22,350 862
Orange & Rockland Utilities, Inc. 2,500 84
* Orbitron Capital Corp. 1,000 1
* Organogenesis, Inc. 3,800 54
* OrNda Healthcorp 4,669 80
* Oryx Energy Co. 4,600 63
Otter Tail Power Co. 2,098 70
* Outback Steakhouse 2,200 64
Overseas Shipholding Group Inc. 1,900 39
* Owens-Corning Fiberglas Corp. 1,900 70
* Owens-Illinois, Inc. 6,100 79
* Oxford Health Plan 1,600 75
PECO Energy Corp. 11,700 323
PHH Corp. 1,400 62
* PHP Heathcare Corp. 3,000 60
PNC Bank Corp. 12,400 327
PP&L Resources Inc. 8,200 159
PPG Industries, Inc. 10,600 456
* PRI Automation, Inc. 2,200 73
Paccar, Inc. 1,725 81
Pacific Enterprises 4,400 108
Pacific Gas & Electric Co. 22,500 653
Pacific Telecom, Inc. 2,000 60
Pacific Telesis Group 22,100 591
* Pacificare Health Systems Inc. Class A 500 25
* Pacificare Health Systems Inc. Class B 900 46
PacifiCorp 14,900 279
* Paging Network Inc. 2,500 85
PaineWebber Group, Inc. 3,600 68
Pall Corp. 6,266 139
Panhandle Eastern Corp. 9,000 219
* Parametric Technology Corp. 2,600 129
* Parcplace Systems, Inc. 2,900 24
Parker & Parsley Petroleum Co. 3,700 73
Parker Hannifin Corp. 3,600 131
* Parkervision, Inc. 3,700 25
Parkway Co. 5,300 84
Paychex, Inc. 2,250 82
* Pec Israel Economic Corp. 2,800 75
* The Penn Traffic Co. 1,800 64
J.C. Penney Co., Inc. 12,100 581
Pennzoil Co. 2,200 104
Pentair, Inc. 1,800 79
Peoples Energy Corp. 1,800 47
Peoples First 3,570 67
Pep Boys (Manny, Moe & Jack) 3,200 86
PepsiCo, Inc. 41,200 1,880
Perkin-Elmer Corp. 2,200 78
* Perrigo Co. 3,400 37
* Perseptive Biosystems 2,400 26
Petrie Stores Corp. 2,400 16
Petroleum Heat & Power Co. 9,600 77
Petrolite Corp. 1,900 57
* Petsmart, Inc. 2,274 66
Pfizer, Inc. 16,400 1,515
Phelps Dodge Corp. 3,500 207
Philip Morris Cos., Inc. 44,400 3,302
Phillips Petroleum Co. 13,700 457
Phillips-Van Heusen Corp. 2,900 45
* Phoenix Network, Inc. 5,000 14
Phoenix Resource Cos., Inc. 2,400 76
* PictureTel Corp. 200 10
Piedmont Bankgroup, Inc. 1,500 38
Pier 1 Imports Inc. 8,505 79
* Pinnacle Micro Inc. 2,500 31
Pinnacle West Capital Corp. 4,700 115
Pioneer Group Inc. 2,400 65
Pioneer Hi Bred International 4,500 188
Pioneer Standard Electronics Inc. 4,800 119
Pitney Bowes, Inc. 7,800 299
Pittston Services Group 2,100 50
* Pizza Inn, Inc. 9,200 32
* Platinum Software Co. 3,750 54
Poe & Brown, Inc. 2,900 69
Pogo Producing Co. 4,700 108
Polaroid Corp. 2,300 94
* Policy Management Systems Corp. 3,100 143
Portland General Electric Co. 2,500 55
</TABLE>
13
<PAGE> 14
STATEMENT OF NET ASSETS (continued)
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- --------------------------------------------------------------------------------
<S> <C> <C>
Post Properties, Inc. 2,700 $ 82
Potlatch Corp. 1,200 50
Potomac Electric Power Co. 5,800 125
Praxair, Inc. 7,200 180
Premark International, Inc. 3,200 166
Premier Industrial Corp. 3,900 92
* Price/Costco Inc. 11,486 187
T. Rowe Price 2,800 108
Procter & Gamble Co. 35,800 2,573
Production Operators Corp. 2,900 92
Progressive Corp. of Ohio 3,500 134
* Promus Co. Inc. 5,400 211
Provident Life & Accident
Insurance Co. of America 2,400 56
Providian Corp. 4,900 178
Public Service Co. of Colorado 3,300 107
Public Service Enterprise Group Inc. 12,600 350
Public Storage Properties IX, Class A 500 9
Public Storage Properties XI, Class A 1,200 19
Public Storage Properties XV, Class A 800 13
Puerto Rican Cement Co., Inc. 3,300 101
Puget Sound Power & Light Co. 2,700 62
* Purepac Inc. 6,200 63
Puritan-Bennett Corp. 3,300 127
* Pyxis Corp. 3,800 86
Quaker Oats Co. 6,800 224
* Qualcomm, Inc. 2,600 90
Questar Corp. 1,700 49
The Quick & Reilly Group, Inc. 3,223 117
* Quiksilver, Inc. 4,100 107
R.L.I. Corp. 2,625 60
RJR Nabisco Holdings Corp. 14,199 396
RPM Inc. (Ohio) 2,900 58
* Racotek, Inc. 2,300 14
* Railroad Financial Corp. 3,450 59
* Rainbow Technologies, Inc. 4,900 107
* Ralcorp Holdings Inc. 1,733 40
Ralston-Purina Group 5,515 281
Raychem Corp. 2,300 88
Rayonier Inc. 3,100 110
Raytheon Co. 6,700 520
Reader's Digest Assn., Inc. Class A 6,000 265
* Reading & Bates Corp. 10,500 97
Real Estate Investment Trust of California 1,700 28
* Reddi Brake Supply Corp. 7,700 30
Reebok International Ltd. 3,900 133
Regions Financial Corp. 2,190 81
* Regis Corp. 2,200 42
Reinsurance Group of America, Inc. 1,700 49
Reliance Group Holdings 4,000 26
Reliastar Financial Corp. 2,285 87
* Renaissance Communications 1,200 40
Republic New York Corp. 2,700 151
* Research Industries Corp. 4,310 98
* Resound Corp. 5,200 42
* Retirement Care Associates, Inc. 7,875 94
* Revco Drug Stores, Inc. 5,300 127
Reynolds & Reynolds Class A 2,100 62
Reynolds Metals Co. 3,100 160
Rhone-Poulenc Rorer, Inc. 6,900 282
Rite Aid Corp. 3,900 100
Riverwood International Corp. 5,600 130
Roadway Services, Inc. 2,000 94
* Robert Half International, Inc. 2,600 67
Rochester Gas and Electric Corp. 1,900 40
Rockwell International Corp. 11,500 526
* Rogers Corp. 2,600 144
Rohm & Haas Co. 3,400 187
* Rohr, Inc. 6,600 95
* Rollins Environmental Services, Inc. 2,800 13
Rollins, Inc. 3,600 86
Rollins Truck Leasing 6,750 73
Roper Industries Inc. 3,236 115
* Rowan Cos., Inc. 15,900 129
Rubbermaid, Inc. 8,200 228
Russell Corp. 2,200 63
* Rust International, Inc. 5,800 95
* Ryan's Family Steak Houses, Inc. 8,000 63
Ryder System, Inc. 3,500 84
SBC Communications Inc. 31,200 1,486
SCEcorp 23,400 401
SCOR U.S. Corp. 4,900 44
* SGI International 650 1
* SPS Transaction Services 1,400 48
Safeco Corp. 3,200 183
Safety-Kleen Corp. 7,700 124
* Safeway, Inc. 5,400 202
* Saga Communications, Inc. 4,400 91
St. Joe Paper Co. 1,600 102
St. Jude Medical, Inc. 2,200 110
St. Paul Bancorp, Inc. 3,953 89
St. Paul Cos., Inc. 4,200 207
Salomon, Inc. 5,300 213
San Diego Gas & Electric Co. 5,800 120
* John B. Sanfilippo & Son, Inc. 5,600 57
* Santa Fe Energy Resources Inc. 4,600 44
Santa Fe Pacific Corp. 7,875 201
Santa Fe Pacific Gold Corp. 6,840 83
Sara Lee Corp. 25,000 713
Savannah Foods & Industries, Inc. 4,800 53
SCANA Corp. 4,800 107
* R. P. Scherer Corp. 1,200 51
* Scherer Health 3,200 15
</TABLE>
14
<PAGE> 15
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- --------------------------------------------------------------------------------
<S> <C> <C>
Schering-Plough Corp. 19,200 $ 847
Schlumberger Ltd. 12,600 783
Schnitzer Steel Industries, Inc. Class A 2,000 46
* Scholastic Corp. 2,800 153
A. Schulman Inc. 1,900 55
Charles Schwab Corp. 4,050 176
* Sciclone Pharmaceuticals 4,100 26
Scientific-Atlanta, Inc. 4,000 88
* Scientific Games Holdings Corp. 3,600 99
* The Score Board, Inc. 16,500 97
Scott Paper Co. 7,600 376
* Scotts Co. 5,200 113
E.W. Scripps Co. 4,000 129
Seacoast Banking Corp. of Florida Class A 3,200 59
* Seagate Technology 3,500 137
Sealed Air Corp. 1,000 44
Sears, Roebuck & Co. 20,200 1,209
* Security Capital Corp. 2,300 113
Security Capital Industrial Trust 3,500 57
Security Capital Pacific Inc. 5,100 89
Sensormatic Electronics Corp. 3,500 124
* Sepracor Inc. 7,500 101
* Sequent Computer Systems, Inc. 4,100 73
* SEQUUS Pharmaceuticals 4,600 47
Service Corp. International 4,500 142
* Service Merchandise Co., Inc. 4,100 22
Shared Medical Systems Corp. 3,437 138
Shaw Industries, Inc. 7,000 119
Shawmut National Corp. 6,100 194
Sherwin-Williams Co. 4,400 157
* Shoe Carnival, Inc. 5,550 31
* Shoney's Inc. 5,700 67
* Show Biz Pizza Time, Inc. 5,000 58
Showboat, Inc. 3,600 67
Sigma Aldrich Corp. 2,500 123
Signet Banking Corp. 2,933 64
* Silicon Graphics, Inc. 7,200 287
* Silver King Communications 7,120 117
Simon Property Group 3,000 75
Sizzler International 5,600 36
Sizzlers Property Investors, Inc. 4,100 39
Smith Corona 12,400 17
* Smith International, Inc. 5,200 87
* Smithfield Foods, Inc. 4,000 86
Smiths Food & Drug Centers, Inc. Class B 2,404 47
Snap-On Inc. 2,100 81
* Sofamor/Danek Group Inc. 2,100 48
* Software Spectrum, Inc. 2,400 50
* Solectron Corp. 2,100 72
Somerset Group, Inc. 3,300 45
Sonat, Inc. 4,600 140
Sonoco Products 4,200 104
Sotheby's Holdings Class A 6,300 86
* Southdown, Inc. 4,400 84
Southeastern Michigan Gas & Electric 2,783 54
Southern Co. 34,000 761
Southern National Corp. 2,300 55
Southern New England Telecom Corp. 3,000 106
* Southern Pacific Rail Corp. 7,900 124
* Southern Union Co. 5,355 97
* Southland Corp. 18,400 64
SouthTrust Corp. 3,950 92
Southwest Airlines Co. 7,050 168
* Southwestern Life Corp. 11,700 12
Southwestern Public Service Co. 1,700 50
Sovereign Bancorp, Inc. 2,310 22
Spartan Motors, Inc. 3,300 29
Spelling Entertainment 8,400 82
Spiegel, Inc. Class A 7,500 96
Speiker Properties, Inc. 3,000 67
* Sportmart Inc. 3,650 36
* Sportmart Inc. Class A 3,650 26
* Sports Town 6,300 1
Springs Industries Inc. Class A 2,200 82
Sprint Corp. 18,140 610
* Standard Commercial Tobacco Co. 3,708 55
Standard Federal Bank 3,400 114
The Standard Register Co. 1,100 21
Stanhome, Inc. 2,300 76
The Stanley Works 2,000 76
* Staodynamics Inc. 8,300 15
* Staples, Inc. 3,300 95
Star Banc Corp. 1,700 78
* StarSight Telecast, Inc. 2,500 13
* Starter Corp. 8,200 67
State Street Boston Corp. 4,300 159
* Station Casinos, Inc. 5,900 101
* Sterling Chemicals, Inc. 6,500 76
* Sterling Software, Inc. 2,300 89
Stewart & Stevenson Services, Inc. 1,600 58
* Stone Container Corp. 4,900 104
* Stop & Shop Cos. Inc. 2,600 67
Storage Equities, Inc. 429 7
* Storage Technology Corp. 3,596 89
* StrataCom, Inc. 1,800 88
Stride Rite Corp. 6,600 68
Stryker Corp. 2,600 99
Student Loan Marketing Assn. 4,300 202
* Styles on Video, Inc. 5,850 16
* Summit Care Corp. 4,100 75
</TABLE>
15
<PAGE> 16
STATEMENT OF NET ASSETS (continued)
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- --------------------------------------------------------------------------------
<S> <C> <C>
Summit Bancorp 5,170 $ 111
Sun Co., Inc. 5,300 145
* Sun Microsystems, Inc. 5,300 257
SunAmerica Inc. 1,700 87
Sunbeam Corp. 4,200 58
* Sunbelt Nursery Group, Inc. 5,000 9
Sundstrand Corp. 1,900 114
* SunGard Data Systems 1,000 53
* Sunglass Hut International, Inc. 2,400 84
SunTrust Banks, Inc. 6,400 373
Superior Industries International, Inc. 1,900 59
Superior Surgical Manufacturing Co., Inc. 5,900 62
SuperValu, Inc. 3,700 108
* Supreme International Corp. 2,100 35
Surgical Care Affiliates, Inc. 3,500 67
* Swift Transportation Co., Inc. 1,800 31
* Sybase, Inc. 4,640 135
* Sybron Corp. 3,252 130
* Symantec Corp. 3,900 112
* Symbol Technologies, Inc. 1,300 50
* Synopsys, Inc. 900 56
Synovus Financial Corp. 3,500 80
Sysco Corp. 9,600 283
* TBC Corp. 7,800 84
TCF Financial Corp. 1,590 76
TECO Energy, Inc. 5,900 129
TIG Holdings, Inc. 2,800 64
TJX Cos., Inc. 3,600 48
* T.P.I. Enterprises, Inc. 7,500 31
TRW, Inc. 3,200 256
Tab Products 9,100 55
Talbots Inc. 1,800 72
Tambrands, Inc. 2,000 86
* Tandem Computers, Inc. 5,700 92
Tandy Corp. 3,900 202
* Target Therapeutics, Inc. 2,472 109
* Tatham Offshore, Inc. 6,300 23
Taubman Co. REIT 9,500 90
* Tech Data Corp. 7,200 83
* Techne 3,800 52
* Technical Chemicals and Products, Inc. 2,100 27
* Technology Solutions Co. 7,000 66
* Tecnol Medical Products Inc. 5,400 119
Tecumseh Products Co. Class A 1,000 44
Tecumseh Products Co. Class B 1,000 43
* Telco Systems, Inc. 2,300 23
* Tejas Gas Corp. 1,500 74
Tektronix, Inc. 1,600 79
* Tele-Communications Inc. Class A 32,942 772
Teledyne Inc. 3,000 74
Teleflex Inc. 1,937 83
Telephone & Data Systems, Inc. 2,500 91
* Tellabs, Inc. 4,400 211
* Telular Corp. 6,400 110
Temple-Inland Inc. 2,900 138
* Tenet Healthcare Corp. 10,322 148
Tenneco, Inc. 9,900 455
* Teradyne, Inc. 1,900 124
Terra Nitrogen Co. LP 3,089 94
Texaco, Inc. 13,500 886
Texas Instruments, Inc. 4,700 629
Texas Utilities Co. 11,893 409
Textron, Inc. 4,400 256
* Thermedics, Inc. 5,700 111
* Thermo Electron Corp. 4,275 172
* Thermo Instrument Systems, Inc. 4,500 110
* Thermo Voltek 6,100 88
Thomas & Betts Corp. 1,000 68
Thornburg Mortgage Asset Corp. 5,900 80
* 3 Com Corp. 3,200 214
* The 3 DO Co. 4,200 51
Tidewater, Inc. 2,700 68
Time Warner, Inc. 19,800 814
Times Mirror Co. Class A 6,200 148
The Timkin Co. 1,600 74
Today's Bancorp 3,300 57
* Tokos Medical 12,400 92
* Toll Brothers, Inc. 7,200 116
Tootsie Roll Industries, Inc. 600 42
* The Topps Co., Inc. 7,800 49
Torch Energy Royalty Trust 3,100 50
Torchmark Corp. 3,700 140
The Toro Co. 3,100 87
Tosco Corp. 1,500 48
* Total Containment 2,100 22
Total System Services, Inc. 3,200 47
Town & Country Trust 4,500 65
* Toys R Us, Inc. 15,600 456
Tractor Supply Co. 2,700 53
* Trans World Gaming Corp. 2,200 8
Transamerica Corp. 3,800 221
Transatlantic Holdings 1,200 78
* TransTexas Gas Corp. 7,800 117
Travelers Group Inc. 16,868 738
Tredegar Industries Inc. 4,600 114
* Tremont Corp. 435 7
* Triangle Pacific Corp. 2,500 41
* Triarc Cos., Inc. 2,000 31
Tribune Co. 3,600 221
Trimas Corp. 1,900 44
Trinity Industries, Inc. 2,050 68
* Triquint Semiconductor, Inc. 4,200 68
</TABLE>
16
<PAGE> 17
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- --------------------------------------------------------------------------------
<S> <C> <C>
Triton Energy Corp. 2,500 $ 116
True North Communications 3,600 68
Turner Broadcasting Class B 10,400 213
* 20th Century Industries 2,600 33
Tyco International Ltd. 3,625 196
Tyson Foods, Inc. 7,100 164
* UAL Corp. 1,450 203
Unicom Corp. 11,300 301
Unifi, Inc. 3,200 77
Uniforce Temp Personnel 2,500 23
Union Bank of San Francisco 1,800 75
Union Camp Corp. 3,500 203
Union Carbide Corp. 7,500 250
Union Electric Corp. 5,000 186
Union Pacific Corp. 10,800 598
Union Texas Petroleum Holdings Inc. 4,700 99
* Unisys Corp. 8,700 95
* Unit Corp. 17,900 65
United Healthcare Corp. 8,776 363
United Illuminating Co. 2,300 76
* United International Holdings, Inc. Class A 4,400 72
United Jersey Bank Financial Corp. 2,500 76
* United States Can Co. 4,291 67
* United States Cellular 4,000 121
United States Surgical Corp. 2,800 58
United States Trust Corp. 1,049 75
United Technologies Corp. 6,500 508
United Television, Inc. 1,987 142
United Wisconsin 800 16
Unitrin Inc. 2,500 119
* Unitrode Corp. 4,689 132
Universal Corp. 1,800 38
Universal Foods Corp. 2,300 74
Unocal Corp. 12,700 351
UNR Industries, Inc. 11,100 81
UNUM Corp. 3,800 178
Upjohn Co. 8,900 337
* Uranium Resources, Inc. 4,000 20
* USA Waste Service 6,800 105
USF&G Corp. 4,000 65
* USG Corp. 2,200 52
USLIFE Corp. 2,800 113
UST, Inc. 10,600 315
USX Delphi Group 4,800 55
USX-Marathon Group 14,700 290
USX-U.S. Steel Group 3,500 120
Utilicorp United, Inc. 2,200 62
U.S. Bancorp 4,700 113
* U.S. Bioscience 10,100 44
U.S. Healthcare, Inc. 8,100 249
* U.S. Robotics Corp. 900 98
US WEST Inc. 23,800 991
VF Corp. 3,300 177
* Valassis Communication 4,600 77
Valhi, Inc. 14,500 102
* Valence Technology 5,500 20
Valero Energy Corp. 5,800 117
Valspar Corp. 1,100 42
* Value City Department Stores, Inc. 5,200 40
* Value Health, Inc. 1,980 64
Value Line, Inc. 2,600 81
* Vanguard Cellular Systems, Inc. Class A 3,600 87
Varian Associates, Inc. 1,800 99
* Varity Corp. 2,200 97
Vastar Resources, Inc. 4,900 151
* Vencor, Inc. 3,300 104
* Ventritex Inc. 2,800 47
* Vertex Industries, Inc. 6,700 8
* Viacom International Class A 1,040 48
* Viacom International Class B 17,628 817
* Viacom Variable Rate Rights Exp. 9/29/95 13,000 20
* Vicor Corp. 2,400 108
Victoria Bank 2,200 57
* Video Lottery 5,100 33
Vigoro Corp. 1,600 66
* Viking Office Products 2,100 77
* Vishay Intertechnology, Inc. 2,740 99
* Volt Information Sciences Inc. 700 21
* Vons Cos., Inc. 3,400 68
Vornado Realty Trust 1,100 38
Vulcan Materials Co. 1,700 93
WD-40 Co. 1,800 75
* WCI Steel, Inc. 6,400 40
* WHX Corp. 6,000 71
WMX Technologies Inc. 25,200 715
WPL Holdings, Inc. 1,500 43
WPS Resources Corp. 2,579 75
* Waban, Inc. 6,000 89
Wabash National Corp. 2,550 79
Wachovia Corp. 8,600 307
* Wainwright Bank & Trust Co. 4,800 23
Wal-Mart Stores, Inc. 119,600 3,199
Walbro Corp. 2,400 44
Walgreen Co. 6,300 316
* Walker Interactive Systems, Inc. 7,200 43
* Wall Data Inc. 1,504 23
Wallace Computer Services, Inc. 1,000 38
Warnaco Group 2,200 44
Warner-Lambert Co. 6,900 596
Washington Federal Inc. 4,213 92
Washington Gas Light Corp. 5,600 106
</TABLE>
17
<PAGE> 18
STATEMENT OF NET ASSETS (continued)
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- --------------------------------------------------------------------------------
<S> <C> <C>
Washington Mutual Inc. 2,800 $ 66
Washington National Corp. 2,100 43
Washington Post Co. Class B 600 157
Washington Real Estate Investment Trust 4,500 71
Washington Water Power Co. 2,800 45
Wausau Paper Mills Co. 3,909 90
Waverly, Inc. 2,091 74
Weingarten Realty Investors 1,300 49
* Weirton Steel 6,600 46
Weis Markets, Inc. 2,400 67
Wellman, Inc. 1,700 47
* Wellpoint Health Networks, Inc. Class A 5,000 141
Wells Fargo & Co. 2,800 505
Wellsford Residential Property Trust 2,850 65
Wendy's International, Inc. 5,200 93
Werner Enterprises, Inc. 3,700 73
West One Bancorp 4,500 150
* Western Atlas Inc. 2,700 120
Western Investment Real Estate Trust 5,200 62
Western National Corp. 1,700 21
Western Resources, Inc. 3,100 96
Westinghouse Electric Corp. 17,800 260
Westvaco Corp. 3,500 155
* WetSeal, Inc. Class A 9,800 47
Weyerhaeuser Co. 10,700 504
Wheelabrator Technologies 9,300 143
Whirlpool Corp. 3,800 209
* White River 1,100 37
Whitman Corp. 5,000 97
Whitney Holdings 3,305 88
* Whole Food Markets, Inc. 3,100 47
Willamette Industries, Inc. 2,600 144
Williams Cos., Inc. 6,095 213
* Clayton Williams Energy, Inc. 5,700 18
Wilmington Trust Corp. 2,900 83
Winn Dixie Stores, Inc. 3,700 214
* Winslow Furniture Co. 6,700 32
* Winter Sports Inc. 3,352 54
* Wisconsin Central Transportation Corp. 900 44
Wisconsin Energy Corp. 5,900 165
Wiser Oil Co. 1,500 20
Witco Chemical Corp. 2,600 84
Woolworth Corp. 6,500 98
Worthington Foods 600 9
Worthington Industries, Inc. 4,050 83
Wm. Wrigley, Jr. Co. 6,000 278
Wyle Electronics 4,500 127
Xerox Corp. 5,600 657
Xilinx, Inc. 1,200 113
York International Corp. 1,900 86
* York Research Corp. 14,100 86
* Zilog Inc. 2,400 120
- --------------------------------------------------------------------------------
TOTAL COMMON STOCKS
(Cost $245,946) 290,915
- --------------------------------------------------------------------------------
<CAPTION>
U.S. GOVERNMENT & AGENCY
OBLIGATIONS (25.6%)
- --------------------------------------------------------------------------------
Face
Amount
(000)
------
<S> <C> <C>
U.S. GOVERNMENT SECURITIES (12.9%)
U.S. Treasury Bonds
8.125%, 8/15/19-5/15/21 $8,540 9,937
8.50%, 2/15/20 2,705 3,271
8.75%, 5/15/17 2,370 2,914
8.875%, 8/15/17-2/15/19 6,490 8,084
10.375%, 11/15/12 975 1,290
10.75%, 8/15/05 1,650 2,191
13.875%, 5/15/11 200 315
14.00%, 11/15/11 3,965 6,365
U.S. Treasury Notes 5.25%, 7/31/98 750 736
5.75%, 8/15/03 1,350 1,309
5.875%, 2/15/04 200 195
6.375%, 7/15/99-1/15/00 1,300 1,318
6.50%, 5/15/97 650 657
6.75%, 2/28/97-6/30/99 4,000 4,085
6.875%, 2/28/97-3/31/00 2,125 2,182
7.00%, 4/15/99 1,205 1,247
7.50%, 10/31/99 1,400 1,478
7.75%, 11/30/99-1/31/00 4,425 4,725
7.875%, 4/15/98 1,545 1,623
8.00%, 8/15/99-5/15/01 460 500
8.25%, 7/15/98 1,400 1,490
8.50%, 5/15/97-7/15/97 1,905 1,999
8.625%, 8/15/97 1,250 1,318
8.75%, 10/15/97 1,000 1,061
8.875%, 2/15/99 1,525 1,668
9.00%, 5/15/98 575 621
-----------
GROUP TOTAL 62,579
-----------
- --------------------------------------------------------------------------------
AGENCY BONDS AND NOTES (1.4%)
Federal National Mortgage Association
4.95%, 9/30/98 1,250 1,201
5.30%, 3/11/98 1,000 975
5.35%, 8/12/98 1,250 1,220
5.80%, 12/10/03 1,200 1,145
8.625%, 9/10/96-10/18/21 2,100 2,171
-----------
GROUP TOTAL 6,712
-----------
- --------------------------------------------------------------------------------
</TABLE>
18
<PAGE> 19
<TABLE>
<CAPTION>
Face Market
Amount Value
(000) (000)+
- --------------------------------------------------------------------------------
<S> <C> <C>
MORTGAGE OBLIGATIONS (11.3%)
Federal Home Loan Mortgage Corp.
5.50%, 9/1/98-1/1/09 $ 465 $ 455
6.00%, 7/1/98-1/1/24 1,686 1,639
6.50%, 1/1/98-5/1/24 3,745 3,661
7.00%, 2/1/97-6/1/24 4,144 4,112
7.50%, 9/1/97-9/1/24 2,498 2,517
8.00%, 7/1/97-5/1/25 2,343 2,392
8.50%, 3/1/96-5/1/25 1,373 1,416
9.00%, 1/1/05-5/1/25 907 943
9.50%, 8/1/03-12/1/22 523 546
10.00%, 3/1/17-4/1/20 268 289
Federal National Mortgage Association
5.50%, 1/1/01-11/1/08 182 176
6.00%, 8/1/00-1/1/24 1,426 1,380
6.50%, 3/1/00-5/1/24 3,723 3,629
7.00%, 5/1/00-9/1/24 4,072 4,030
7.50%, 4/1/99-5/1/25 3,311 3,336
8.00%, 5/1/99-1/15/25 2,704 2,758
8.50%, 12/1/00-6/1/25 1,686 1,740
9.00%, 9/1/04-4/1/25 1,233 1,284
9.50%, 4/1/05-5/1/22 691 723
10.00%, 7/1/05-8/1/21 301 324
10.50%, 8/1/20 63 69
Government National Mortgage Association
6.00%, 3/15/09-1/15/24 293 278
6.50%, 9/15/08-5/15/24 1,422 1,378
7.00%, 5/15/08-6/15/24 3,185 3,147
7.50%, 5/15/08-7/15/24 2,710 2,730
8.00%, 4/15/02-11/1/24 2,988 3,061
8.50%, 7/15/01-12/15/24 1,634 1,696
9.00%, 2/15/04-2/1/25 2,240 2,349
9.50%, 9/15/18-1/15/25 1,181 1,248
10.00%, 10/15/17-12/15/20 639 692
10.50%, 9/15/15-9/15/19 182 199
11.00%, 7/15/13-12/15/15 126 139
12.00%, 2/15/14 112 124
-----------
GROUP TOTAL 54,460
-----------
- --------------------------------------------------------------------------------
TOTAL U.S. GOVERNMENT & AGENCY
OBLIGATIONS (Cost $122,314) 123,751
- --------------------------------------------------------------------------------
CORPORATE BONDS (11.7%)
- --------------------------------------------------------------------------------
ASSET-BACKED (1.9%)
Banc One Credit Card Master Trust
7.55%, 12/15/99 500 513
Chase Manhattan Credit Card Trust
7.40%, 5/15/00 550 559
8.75%, 8/15/99 550 562
Discover Card Master Trust
5.40%, 11/16/01 500 486
First Chicago Master Trust
6.25%, 8/15/99 850 849
8.40%, 6/15/98 850 866
MBNA Master Credit Card Trust
6.20%, 8/15/97 850 848
7.75%, 10/15/98 550 559
Sears Credit Account Master Trust
5.90%, 11/15/98 390 389
7.25%, 7/16/01 500 510
7.75%, 9/15/98 550 559
Signet Credit Card Master Trust
4.85%, 4/15/00 500 491
Standard Credit Card Trust
6.80%, 4/7/01 500 505
8.00%, 10/7/97 850 865
8.50%, 8/7/97 850 868
-----------
GROUP TOTAL 9,429
-----------
- --------------------------------------------------------------------------------
FINANCE (5.3%)
American Express Credit Corp.
8.50%, 6/15/99 175 187
American General Finance Corp.
5.875%, 7/1/00 450 437
7.45%, 7/1/02 175 181
Associates Corp.
5.875%, 8/15/97 500 496
6.875%, 1/15/97 300 303
8.75%, 9/4/96 400 408
9.70%, 5/1/97 250 264
AVCO Financial Services
5.50%, 5/1/98 500 489
7.50%, 11/15/96 300 305
8.85%, 2/1/96 500 507
BankAmerica Corp.
6.00%, 7/15/97 500 497
7.50%, 10/15/02 200 206
10.00%, 2/1/03 200 234
Bankers Trust New York Corp.
4.70%, 7/1/96 500 493
8.25%, 7/2/96 600 612
Bear Stearns Cos., Inc.
6.625%, 1/15/04 400 385
Beneficial Corp.
9.125%, 2/15/98 400 426
CIT Group Holdings
5.65%, 11/15/95 525 524
The Chase Manhattan Corp.
7.875%, 1/15/97 300 307
8.50%, 3/1/96 850 863
</TABLE>
19
<PAGE> 20
STATEMENT OF NET ASSETS (continued)
<TABLE>
<CAPTION>
Face Market
Amount Value
(000) (000)+
- --------------------------------------------------------------------------------
<S> <C> <C>
Chemical Banking Corp.
6.625%, 1/15/98 $ 350 $ 351
7.25%, 9/15/02 400 408
7.375%, 6/15/97 500 510
Chrysler Finance Corp.
5.375%, 10/15/98 500 481
5.625%, 1/15/99 425 410
Commercial Credit Corp.
6.75%, 1/15/97 650 654
7.375%, 11/15/96 500 507
Countrywide Funding
7.31%, 8/28/00 400 409
Dean Witter Discover & Co.
6.00%, 3/1/98 1,250 1,240
First Chicago Corp.
7.625%, 1/15/03 350 363
First Union Corp.
8.125%, 6/24/02 500 536
Fleet Financial Group
6.875%, 3/1/03 400 398
Ford Motor Credit Corp.
6.25%, 2/26/98 500 499
7.875%, 1/15/97 600 614
8.20%, 2/15/02 600 644
8.25%, 7/15/96 400 408
General Motors Acceptance Corp.
9.625%, 12/15/01 600 683
International Lease Finance
7.90%, 10/1/96 1,150 1,172
Mellon Financial Corp.
6.125%, 11/15/95 600 600
6.50%, 12/1/97 200 201
7.625%, 11/15/99 350 364
Merrill Lynch & Co., Inc.
7.25%, 5/15/97 500 508
8.30%, 11/1/02 125 134
9.00%, 5/1/98 250 266
Morgan Stanley Group, Inc.
7.32%, 1/15/97 750 760
9.25%, 3/1/98 225 240
NCNB Corp.
9.50%, 6/1/04 275 320
NationsBank Corp.
5.375%, 12/1/95 500 499
8.125%, 6/15/02 700 749
Norwest Financial Inc.
7.10%, 11/15/96 600 607
PaineWebber Group Inc.
7.00%, 3/1/00 550 544
Republic Bank of New York
7.75%, 5/15/02 500 528
Transamerica Financial Corp.
8.375%, 2/15/98 425 445
U.S. West Financial
8.85%, 9/20/99 500 541
-----------
GROUP TOTAL 25,717
-----------
- --------------------------------------------------------------------------------
INDUSTRIAL (3.1%)
American Brands, Inc.
7.875%, 1/15/23 100 102
Anheuser-Busch Co., Inc.
7.375%, 7/1/23 125 123
8.625%, 12/1/16 200 211
Applied Materials, Inc.
8.00%, 9/1/04 125 133
Archer-Daniels-Midland Co.
8.875%, 4/15/11 295 344
Auburn Hills Trust
12.00%, 5/1/20 175 256
BP America, Inc.
7.875%, 5/15/02 250 269
The Boeing Co.
8.375%, 3/1/96 550 558
CSX Corp.
8.25%, 11/1/96 450 461
8.40%, 8/1/96 525 536
8.625%, 5/15/22 100 112
Conrail Corp.
9.75%, 6/15/20 120 151
Deere & Co.
8.50%, 1/9/22 175 198
Eastman Chemical
7.25%, 1/15/24 325 317
Ford Capital BV
9.00%, 6/1/96 275 282
9.00%, 8/15/98 600 642
9.375%, 1/1/98 750 801
9.50%, 6/1/10 100 119
9.875%, 5/15/02 400 465
Ford Motor Corp.
9.95%, 2/15/32 100 129
General Motors Corp.
9.125%, 7/15/01 250 277
9.625%, 12/1/00 700 787
W.R. Grace & Co.
7.40%, 2/1/00 600 612
ITT Corp.
7.25%, 11/15/96 600 611
8.875%, 2/1/08 100 119
International Paper Co.
7.625%, 1/15/07 100 106
May Department Stores Co.
9.75%, 2/15/21 120 145
</TABLE>
20
<PAGE> 21
<TABLE>
<CAPTION>
Face Market
Amount Value
(000) (000)+
- --------------------------------------------------------------------------------
<S> <C> <C>
McDonald's Corp.
6.75%, 2/15/03 $ 300 $ 301
Mobil Corp.
7.625%, 2/23/33 325 329
J.C. Penney Co., Inc.
7.125%, 11/15/23 150 146
9.05%, 3/1/01 300 335
PepsiCo, Inc.
5.00%, 2/24/97 1,000 983
6.125%, 1/15/98 250 249
Philip Morris Cos., Inc.
8.25%, 10/15/03 200 215
Phillips Petroleum Co.
9.00%, 6/1/01 500 554
Tenneco Inc.
9.875%, 2/1/01 400 456
Texaco Capital Corp.
7.50%, 3/1/43 150 149
8.875%, 9/1/21 100 118
Union Carbide Corp.
7.875%, 4/1/23 150 151
Union Oil of California
9.125%, 2/15/06 160 185
9.25%, 2/1/03 325 368
Union Pacific Corp.
8.625%, 5/15/22 225 239
Wal-Mart Stores, Inc.
8.00%, 5/1/96 275 279
Waste Management Inc.
7.875%, 8/15/96 300 305
Whirlpool Corp.
9.00%, 3/1/03 200 226
Xerox Corp.
9.625%, 10/15/00 350 353
-----------
GROUP TOTAL 14,807
-----------
- --------------------------------------------------------------------------------
UTILITIES (1.4%)
Alabama Power Co.
8.75%, 12/1/21 168 180
Arizona Public Service Co.
8.00%, 2/1/25 225 228
Carolina Power & Light Co.
6.875%, 8/15/23 275 258
Connecticut Power and Light Co.
7.625%, 4/1/97 493 502
Consolidated Edison Co. of New York, Inc.
6.625%, 2/1/02 1,000 997
Enron Corp.
9.65%, 5/15/01 400 456
Houston Lighting and Power Co.
8.75%, 3/1/22 150 168
MCI Communications Corp.
7.50%, 8/20/04 450 472
Michigan Bell Telephone Co.
7.50%, 2/15/23 275 277
New York Telephone Co.
7.00%, 8/15/25 200 188
Pacific Bell Corp.
7.25%, 7/1/02 275 286
Southern Bell Corp.
7.625%, 3/15/13 550 564
Southwestern Bell Corp.
7.625%, 10/1/13 175 176
7.625%, 3/1/23 475 478
Texas Utilities Co.
7.125%, 6/1/97 400 406
7.875%, 3/1/23 325 325
8.125%, 2/1/02 400 427
Union Electric Corp.
7.65%, 7/15/03 250 263
Virginia Electric Power Co.
6.625%, 4/1/03 250 248
-----------
GROUP TOTAL 6,899
-----------
- --------------------------------------------------------------------------------
TOTAL CORPORATE BONDS
(Cost $56,950) 56,852
- --------------------------------------------------------------------------------
FOREIGN AND INTERNATIONAL
AGENCY BONDS (1.7%)
- --------------------------------------------------------------------------------
Asian Development Bank
9.125%, 6/1/00 500 559
Province of British Columbia
7.00%, 1/15/03 230 237
British Columbia Hydro
12.50%, 9/1/13 500 603
European Investment Bank
8.875%, 3/1/01 275 306
Export Import Bank of Japan
9.00%, 4/15/98 500 535
Grand Metropolitan Investment Corp.
9.00%, 8/15/11 250 290
Inter American Development Bank
8.50%, 3/15/11 175 198
International Bank for Reconstruction
& Development
12.375%, 10/15/02 225 300
KFW International Finance, Inc.
8.85%, 6/15/99 550 598
Province of Manitoba
7.75%, 2/1/02 625 665
8.75%, 5/15/01 300 332
9.25%, 4/1/20 130 157
9.50%, 10/1/00 160 181
</TABLE>
21
<PAGE> 22
STATEMENT OF NET ASSETS (continued)
<TABLE>
<CAPTION>
Face Market
Amount Value
(000) (000)+
- --------------------------------------------------------------------------------
<S> <C> <C>
National Westminster Bancorp Inc.
9.375%, 11/15/03 $ 500 $ 574
New Zealand Government
8.75%, 12/15/06 200 233
9.875%, 1/15/11 275 349
Noranda Inc.
8.625%, 7/15/02 550 599
Bank of Nova Scotia
6.875%, 5/1/03 500 502
Province of Ontario-Global
7.375%, 1/27/03 175 181
7.75%, 6/4/02 275 292
Philips Electronics NV
8.375%, 9/15/06 450 497
- --------------------------------------------------------------------------------
TOTAL FOREIGN AND INTERNATIONAL
AGENCY BONDS (Cost $8,103) 8,188
- --------------------------------------------------------------------------------
TEMPORARY CASH INVESTMENTS (.3%)
- --------------------------------------------------------------------------------
U.S. TREASURY BILL--NOTE D
5.68%, 9/21/95 300 296
REPURCHASE AGREEMENT
Collateralized by U.S. Government
Obligations in a Pooled
Cash Account 6.13%, 7/3/95 973 973
- --------------------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $1,269) 1,269
- --------------------------------------------------------------------------------
TOTAL INVESTMENTS (99.4%)
(Cost $434,582) 480,975
- --------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (.6%)
- --------------------------------------------------------------------------------
Other Assets--Notes B and E 6,273
Liabilities--Note E (3,423)
-----------
2,850
- --------------------------------------------------------------------------------
NET ASSETS (100%)
- --------------------------------------------------------------------------------
Applicable to 40,960,293 outstanding
$.001 par value shares
(authorized 1,000,000,000 shares) $ 483,825
- --------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE $ 11.81
================================================================================
</TABLE>
+ See Note A to Financial Statements.
* Non-Income Producing Security.
(1) The combined market value of common stocks and Standard & Poor's 500 Index
Futures Contracts represents 60.2% of net assets.
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
AT JUNE 30, 1995, NET ASSETS CONSISTED OF:
- --------------------------------------------------------------------------------
Amount Per
(000) Share
-------- ------
<S> <C> <C>
Paid in Capital $432,909 $10.57
Undistributed Net Investment Income 2,842 .07
Accumulated Net Realized Gains 1,681 .04
Unrealized Appreciation of Investments--Note D 46,393 1.13
- --------------------------------------------------------------------------------
NET ASSETS $483,825 $11.81
- --------------------------------------------------------------------------------
</TABLE>
22
<PAGE> 23
STATEMENT OF OPERATIONS
<TABLE>
<CAPTION>
Six Months Ended
June 30, 1995
(000)
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INVESTMENT INCOME
INCOME
Dividends . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 3,117
Interest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,969
- -------------------------------------------------------------------------------------------------------------------------
Total Income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,086
- -------------------------------------------------------------------------------------------------------------------------
EXPENSES
The Vanguard Group--Note B
Investment Advisory Services . . . . . . . . . . . . . . . . . . . . . . . . . $ 34
Management and Administrative . . . . . . . . . . . . . . . . . . . . . . . . 258
Marketing and Distribution . . . . . . . . . . . . . . . . . . . . . . . . . . 55 347
Taxes (other than income taxes) . . . . . . . . . . . . . . . . . . . . . . . . . ----- 24
Custodian's Fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26
Auditing Fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4
Shareholders' Reports . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28
Annual Meeting and Proxy Costs . . . . . . . . . . . . . . . . . . . . . . . . . 6
Directors' Fees and Expenses . . . . . . . . . . . . . . . . . . . . . . . . . . 1
- -------------------------------------------------------------------------------------------------------------------------
Total Expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 436
- -------------------------------------------------------------------------------------------------------------------------
Net Investment Income . . . . . . . . . . . . . . . . . . . . . . . . . 8,650
- -------------------------------------------------------------------------------------------------------------------------
REALIZED NET GAIN
Investment Securities Sold . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,204
Futures Contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 331
- -------------------------------------------------------------------------------------------------------------------------
Realized Net Gain . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,535
- -------------------------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION)
Investment Securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 53,857
Futures Contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (30)
- -------------------------------------------------------------------------------------------------------------------------
Change in Unrealized Appreciation (Depreciation) . . . . . . . . . . . 53,827
- -------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets Resulting from Operations . . . . . . . . . $64,012
=========================================================================================================================
</TABLE>
23
<PAGE> 24
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
SIX MONTHS ENDED Year Ended
JUNE 30, 1995 December 31, 1994
(000) (000)
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE IN NET ASSETS
OPERATIONS
Net Investment Income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 8,650 $ 15,125
Realized Net Gain . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,535 129
Change in Unrealized Appreciation
(Depreciation) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 53,827 (21,230)
- -------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
Resulting from Operations . . . . . . . . . . . . . . . . . . . . . . . . . . 64,012 (5,976)
- -------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS (1)
Net Investment Income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (6,272) (14,998)
Realized Net Gain . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -- --
- -------------------------------------------------------------------------------------------------------------------------
Total Distributions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (6,272) (14,998)
- -------------------------------------------------------------------------------------------------------------------------
NET EQUALIZATION CREDITS--Note A . . . . . . . . . . . . . . . . . . . . . . . . . . . 145 172
- -------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS (2)
Issued -- Regular . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 63,491 103,724
-- In Lieu of Cash Distributions . . . . . . . . . . . . . . . . . . . . 5,820 13,990
-- Exchange . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17,246 41,672
Redeemed -- Regular . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (30,834) (46,359)
-- Exchange . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (32,634) (56,431)
- -------------------------------------------------------------------------------------------------------------------------
Net Increase from
Capital Share Transactions . . . . . . . . . . . . . . . . . . . . . . . . . . 23,089 56,596
- -------------------------------------------------------------------------------------------------------------------------
Total Increase . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 80,974 35,794
- -------------------------------------------------------------------------------------------------------------------------
NET ASSETS
Beginning of Period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 402,851 367,057
- -------------------------------------------------------------------------------------------------------------------------
End of Period (3) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $483,825 $402,851
=========================================================================================================================
(1) Distributions Per Share
Net Investment Income . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ .16 $ .40
Realized Net Gain . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -- --
- -------------------------------------------------------------------------------------------------------------------------
(2) Shares Issued and Redeemed
Issued . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,279 13,701
Issued in Lieu of Cash Distributions . . . . . . . . . . . . . . . . . . . . . 514 1,340
Redeemed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (5,789) (9,743)
- -------------------------------------------------------------------------------------------------------------------------
2,004 5,298
- -------------------------------------------------------------------------------------------------------------------------
(3) Undistributed Net Investment Income . . . . . . . . . . . . . . . . . . . . . $ 2,842 $ 319
- -------------------------------------------------------------------------------------------------------------------------
</TABLE>
24
<PAGE> 25
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION> Year Ended December 31,
SIX MONTHS ENDED ----------------------- September 28 -
For a Share Outstanding Throughout Each Period JUNE 30, 1995 1994 1993 December 31, 1992
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . . . . . . $10.34 $10.91 $10.31 $10.00
------ ------ ------ ------
INVESTMENT OPERATIONS
Net Investment Income . . . . . . . . . . . . . . . . . .22 .41 .39 .08
Net Realized and Unrealized Gain (Loss)
on Investments . . . . . . . . . . . . . . . . . . . 1.41 (.58) .63 .31
------ ------ ------ ------
TOTAL FROM INVESTMENT OPERATIONS . . . . . . . . 1.63 (.17) 1.02 .39
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income . . . . . . . . . . (.16) (.40) (.39) (.08)
Distributions from Realized Capital Gains . . . . . . . -- -- (.03) --
------ ------ ------ ------
TOTAL DISTRIBUTIONS . . . . . . . . . . . . . . . (.16) (.40) (.42) (.08)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . . . . . . $11.81 $10.34 $10.91 $10.31
==============================================================================================================================
TOTAL RETURN** . . . . . . . . . . . . . . . . . . . . . . +15.83% - 1.56% +10.00% + 3.69%
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- ------------------------
Net Assets, End of Period (Millions) . . . . . . . . . . . $484 $403 $367 $109
Ratio of Expenses to Average Net Assets . . . . . . . . . . .20%* .20% .20% .22%*
Ratio of Net Investment Income to Average Net Assets . . . 3.96%* 3.86% 3.53% 3.76%*
Portfolio Turnover Rate . . . . . . . . . . . . . . . . . . 14%* 16% 25% 17%
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Annualized.
** Total return figures do not reflect the annual account maintenance fee of
$10. Subscription period for the Fund was from September 28, 1992, to
November 8, 1992, during which time all assets were held in money market
instruments. Performance measurement begins on November 9, 1992.
25
<PAGE> 26
NOTES TO FINANCIAL STATEMENTS
Vanguard Balanced Index Fund is registered under the Investment Company Act of
1940 as a diversified open-end investment company. Certain of the Fund's
investments are in long-term corporate debt instruments. The issuers' abilities
to meet these obligations may be affected by economic developments in their
respective industries.
A. The following significant accounting policies are in conformity with
generally accepted accounting principles for investment companies. Such
policies are consistently followed by the Fund in the preparation of financial
statements.
1. SECURITY VALUATION: Securities listed on an exchange are valued at the
latest quoted sales prices as of the close of the New York Stock Exchange
(generally 4:00 PM) on the valuation date; securities not traded on the
valuation date and securities not listed are valued at the mean of the
latest quoted bid and asked prices. Bonds are valued utilizing the latest
bid prices and on the basis of a matrix system (which considers such
factors as security prices, yields, maturities and ratings), both as
furnished by independent pricing services. Temporary cash investments are
valued at amortized cost which approximates market value.
2. FEDERAL INCOME TAXES: The Fund intends to continue to qualify as a
regulated investment company and distribute all of its taxable income.
Accordingly, no provision for Federal income taxes is required in the
financial statements.
3. EQUALIZATION: The Fund follows the accounting practice known as
"equalization," under which a portion of the price of capital shares
issued and redeemed, equivalent to undistributed net investment income per
share on the date of the transaction, is credited or charged to
undistributed income. As a result, undistributed income per share is
unaffected by Fund share sales or redemptions.
4. REPURCHASE AGREEMENTS: The Fund, along with other members of The Vanguard
Group of Investment Companies, transfers uninvested cash balances into a
Pooled Cash Account, the daily aggregate of which is invested in
repurchase agreements secured by U.S. Government obligations. Securities
pledged as collateral for repurchase agreements are held by the Fund's
custodian bank until maturity of each repurchase agreement. Provisions of
the agreement require that the market value of this collateral is
sufficient in the event of default; however, in the event of default or
bankruptcy by the other party to the agreement, realization and/or
retention of the collateral may be subject to legal proceedings.
5. FUTURES: The Fund utilizes Standard & Poor's 500 Index futures contracts
and Standard & Poor's Midcap 400 Index futures contracts to a limited
extent, with the objectives of maintaining full exposure to the stock
market, enhancing returns, maintaining liquidity and minimizing
transaction costs. The Fund may purchase futures contracts to immediately
position incoming cash in the market, thereby simulating a fully invested
position in the underlying index while maintaining a cash balance for
liquidity. In the event of redemptions, the Fund may pay departing
shareholders from its cash balance and reduce its futures position
accordingly. Returns may be enhanced by using futures contracts instead of
the underlying securities when futures are believed to be priced more
attractively than the underlying securities.
The primary risks associated with the use of futures contracts are
imperfect correlation between the change in market value of the securities
contained in the underlying indexes and the prices of futures contracts,
and the possibility of an illiquid market. Futures contracts are valued
based upon their quoted daily settlement prices. Fluctuations in the value
of futures contracts are recorded as unrealized appreciation
(depreciation) until terminated, at which time realized gains (losses) are
recognized. Unrealized appreciation (depreciation) related to open futures
contracts is required to be treated as realized gain (loss) for tax
purposes.
26
<PAGE> 27
6. OTHER: Security transactions are accounted for on the date the securities
are purchased or sold. Costs used in determining realized gains and losses
on the sale of investment securities are those of specific securities
sold. Dividend income and distributions to shareholders are recorded on
the ex-dividend date. Discounts and premiums on debt securities purchased
are amortized to interest income over the lives of the respective
securities.
B. The Vanguard Group, Inc. furnishes at cost investment advisory, corporate
management, administrative, marketing and distribution services. The costs of
such services are allocated to the Fund under methods approved by the Board of
Directors. At June 30, 1995, the Fund had contributed capital of $64,000 to
Vanguard (included in Other Assets), representing .3% of Vanguard's
capitalization. The Fund's directors and officers are also directors and
officers of Vanguard.
C. During the six months ended June 30, 1995, the Fund made purchases of
$30,125,000 and sales of $9,116,000 of investment securities other than U.S.
Government securities and temporary cash investments. Purchases and sales of
U.S. Government securities were $33,182,000 and $22,073,000, respectively.
D. At June 30, 1995, unrealized appreciation of investment securities for
financial reporting and Federal income tax purposes was $46,393,000, of which
$60,271,000 related to appreciated securities and $13,878,000 related to
depreciated securities.
At June 30, 1995, the aggregate settlement value of open Standard & Poor's 500
Index futures contracts expiring in September 1995, the related unrealized
appreciation, and the market value of securities deposited as initial margin
for those contracts were $274,000, $0, and $296,000, respectively.
E. The market value of securities on loan to broker/dealers at June 30, 1995,
was $499,000, for which the Fund had received cash collateral of $653,000.
27
<PAGE> 28
THE VANGUARD FAMILY OF FUNDS
FIXED INCOME FUNDS
MONEY MARKET FUNDS
Vanguard Admiral Funds
U.S. Treasury Money
Market Portfolio
Vanguard Money Market Reserves
TAX-EXEMPT MONEY MARKET FUNDS
Vanguard Municipal Bond Fund
Money Market Portfolio
Vanguard State Tax-Free Funds
Money Market Portfolios
(CA, NJ, OH, PA)
TAX-EXEMPT INCOME FUNDS
Vanguard Municipal Bond Fund
Vanguard State Tax-Free Funds
Insured Longer-Term Portfolios
(CA, FL, NJ, NY, OH, PA)
INCOME FUNDS
Vanguard Admiral Funds
Vanguard Fixed Income Securities Fund
Vanguard Preferred Stock Fund
EQUITY AND BALANCED FUNDS
GROWTH AND INCOME FUNDS
Vanguard Convertible
Securities Fund
Vanguard Equity Income Fund
Vanguard Quantitative Portfolios
Vanguard/Trustees' Equity Fund
U.S. Portfolio
Vanguard/Windsor Fund
Vanguard/Windsor II
BALANCED FUNDS
Vanguard Asset Allocation Fund
Vanguard LifeStrategy Funds
Income Portfolio
Conservative Growth Portfolio
Moderate Growth Portfolio
Growth Portfolio
Vanguard STAR Portfolio
Vanguard/Wellesley Income Fund
Vanguard/Wellington Fund
GROWTH FUNDS
Vanguard/Morgan Growth Fund
Vanguard/PRIMECAP Fund
Vanguard U.S. Growth Portfolio
AGGRESSIVE GROWTH FUNDS
Vanguard Explorer Fund
Vanguard Specialized Portfolios
INTERNATIONAL FUNDS
Vanguard International
Growth Portfolio
Vanguard/Trustees' Equity Fund
International Portfolio
INDEX FUNDS
Vanguard Index Trust
Total Stock Market Portfolio
500 Portfolio
Extended Market Portfolio
Growth Portfolio
Value Portfolio
Small Capitalization Stock Portfolio
Vanguard International Equity Index Fund
European Portfolio
Pacific Portfolio
Emerging Markets Portfolio
Vanguard Bond Index Fund
Vanguard Tax-Managed Fund
Vanguard Balanced Index Fund
[THE VANGUARD GROUP LOGO]
Vanguard Financial Center Valley Forge, Pennsylvania 19482
New Account Information: Shareholder Account Services:
1-(800) 662-7447 1-(800) 662-2739
This Report has been prepared for shareholders and may be distributed to
others only if preceded or accompanied by a current prospectus. All Funds in
the Vanguard Family are offered by prospectus only.
Q022-6/95
[VANGUARD BALANCED INDEX FUND LOGO]
SEMI-ANNUAL REPORT
JUNE 30, 1995