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Previous: BLACKROCK INSURED MUNICIPAL 2008 TERM TRUST INC, NSAR-A, 1996-08-27 |
Next: COVA VARIABLE ANNUITY ACCOUNT FIVE, N-30D, 1996-08-27 |
<PAGE> 1
A MESSAGE TO SHAREHOLDERS
FELLOW SHAREHOLDER:
Stock and bond market returns diverged during the first half of Vanguard
Balanced Index Fund's 1996 fiscal year, with stocks continuing a remarkable
surge to record heights and bond prices retreating from their peaks reached in
January. The six-month return of Vanguard Balanced Index Fund, as you would
expect, was between the strong positive return provided by common stocks and
the negative return provided by bonds.
In this challenging environment, the Fund not only provided a solid
half-year return of +5.3%, but also continued to track its benchmark with a
high degree of precision. The following table compares Vanguard Balanced Index
Fund's total return (capital change plus reinvested dividends) for the
six-month period, with that of our composite index, which is composed of two
unmanaged benchmarks: the Wilshire 5000 Index (60%) and the Lehman Aggregate
Bond Index (40%). In addition, the Fund marginally outpaced the average
balanced mutual fund, which turned in a gain of +5.1%. The figures follow:
<TABLE>
<CAPTION>
- --------------------------------------------------------------
TOTAL RETURN
----------------
SIX MONTHS ENDED
JUNE 30, 1996
- --------------------------------------------------------------
<S> <C>
VANGUARD BALANCED INDEX FUND + 5.3%
- --------------------------------------------------------------
BALANCED INDEX COMPOSITE* + 5.6%
- --------------------------------------------------------------
AVERAGE BALANCED MUTUAL FUND + 5.1%
- --------------------------------------------------------------
WILSHIRE 5000 STOCK INDEX +10.3%
LEHMAN AGGREGATE BOND INDEX - 1.2
- --------------------------------------------------------------
</TABLE>
* Balanced Index Composite is 60% Wilshire 5000 Index and 40% Lehman Aggregate
Bond Index.
The Fund's total return is based on net asset values of $12.77 per share on
December 31, 1995, and $13.27 on June 30, 1996, adjusted to take into account
the reinvestment of our two quarterly dividends from net investment income
totaling $.16 per share, and a distribution of $.02 per share from realized net
capital gains. At June 30, 1996, our annualized dividend yield was 3.9%.
THE PERIOD IN REVIEW
The U.S. stock market continued its upsurge during the first half of 1996,
albeit below the near-record pace that prevailed in 1995. Even so, the advance
was impressive, occurring as it did in the face of a sharp rise in long-term
interest rates.
While the total U.S. stock market, as measured by the Wilshire 5000
Index, chalked up a +10.3% return from January through June, the bond market
slumped. The price of the benchmark 30-year U.S. Treasury bond fell -12% during
the half year, as its yield rose from 6.0% at the beginning of the period to
7.0% at the end of June. The Lehman Aggregate Bond Index, a benchmark for the
overall bond market, provided a total return of -1.2% in the half year, earning
income of 3.3% combined with a price decline of -4.5%. Short-term interest
rates increased marginally during the same period, with the rate on 90-day
Treasury bills rising from 5.0% to 5.2%.
The primary reason for the divergence of stock and bond returns
appears to be differing responses by equity and bond investors to the
surprising strength of the U.S. economy during the first half of 1996.
Faster-than-expected economic growth led stock investors to focus on
accelerated growth of corporate earnings, but led bond investors to worry about
higher inflation. It remains to be seen whether the bull market in stocks can
continue in the face of higher interest rates, which may provide heightened
competition for investors' dollars at a time when common stocks offer
historically low dividend yields.
As noted at the outset of this letter, the Fund's "tracking" of its
performance benchmark continues to be exemplary. For the first six months of
1996, the return of the Fund, net of costs, came within 0.3% of its composite
index. The composite index, of course, is a theoretical construct, incurring
none of the advisory fees, operating expenses, and portfolio transaction costs
that must be borne--to one extent or another--in the real world in which mutual
funds operate. It should hardly go without saying, therefore, that this
performance benchmark represents a demanding standard for both Vanguard
Balanced Index Fund and our peer group of mutual funds to emulate.
(continued)
1
<PAGE> 2
IN SUMMARY
Six months ago, in our Annual Report, following an extraordinarily bountiful
1995, we cautioned that the financial markets are not a "one-way street" and
that investors should prepare for the occasional rough patch by maintaining a
balanced portfolio of stock funds, bond funds, and money market funds. In the
first half of 1996, the weakness in the bond market was largely offset by the
solid performance of the stock market, but there will be other periods in which
the reverse is true. Therefore, we believe that our caution remains valid
today. So, too, does our comment about the major long-term risks of investing:
(1) failing to hold stocks and bonds at all because of their short-term risks;
and (2) following an erratic and ever-changing course.
We assure you that Vanguard Balanced Index Fund will continue to steer
a steady course, remaining fully invested in stocks and bonds representing
those segments of the financial markets whose returns we emulate. We look
forward to reporting to you on the full 1996 fiscal year in our Annual Report
six months hence.
Sincerely,
/s/ JOHN C. BOGLE
John C. Bogle
Chairman of the Board
/s/ JOHN J. BRENNAN
John J. Brennan
President
July 25, 1996
Note: Mutual fund data from Lipper Analytical Services, Inc.
2
<PAGE> 3
STATEMENT OF NET ASSETS
FINANCIAL STATEMENTS (unaudited)
June 30, 1996
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ---------------------------------------------------------------------------
COMMON STOCKS (58.4%)(1)
- ---------------------------------------------------------------------------
<S> <C> <C>
AAR Corp. 5,200 $ 106
* ABR Information Services, Inc. 1,300 65
* ACC Corp. 1,800 87
* ADC Telecommunications, Inc. 3,400 152
* AER Energy Resources, Inc. 2,800 12
* AES Corp. 3,607 101
AFLAC, Inc. 7,387 221
AGCO Corp. 2,200 61
AGL Resources Inc. 5,000 94
AK Steel Holding Corp. 3,100 121
* AM International, Inc. 4,000 9
* AML Communications, Inc. 2,700 60
* AMR Corp. 4,100 373
* APAC Teleservices, Inc. 2,500 89
* APL Ltd. 2,800 73
ARCO Chemical Co. 5,500 286
AT&T Capital Corp. 2,400 105
AT&T Corp. 86,200 5,344
AVX Corp. 4,700 87
Abbott Laboratories 43,500 1,892
* Acclaim Entertainment Inc. 3,000 29
* Accustaff, Inc. 4,200 115
Ackerley Communications, Inc. 2,300 63
* Action Performance Cos., Inc. 2,532 37
* Active Voice Corp. 2,500 30
* Across Data Systems, Inc. 6,900 83
* Acxiom Corp. 400 14
ADAC Laboratories 4,800 109
* Adaptec, Inc. 2,900 137
Adobe Systems, Inc. 4,000 143
* Adtran, Inc. 2,100 149
* Advanced Micro Devices, Inc. 11,200 153
* Advanced Polymer Systems 8,200 77
* Advanced Technology
Laboratories, Inc. 3,700 136
Advanta Corp. Class A 2,050 104
* Advantage Life Products, Inc. 2,300 1
ADVO, Inc. 4,300 45
* Aerovox, Inc. 900 7
Aetna Life & Casualty Co. 6,100 436
Affiliated Community Bancorp 500 9
H.F. Ahmanson & Co. 6,300 170
* Aid Auto Stores, Inc. 200 1
* Air and Water Technologies Corp.
Class A 1,500 9
Air Express International Corp. 2,700 76
Air Products & Chemicals, Inc. 6,000 346
Airborne Freight Corp. 2,700 70
* Airgas, Inc. 3,400 65
* Airsensors Inc. 300 3
* AirTouch Communications 27,300 771
* Alanco Environmental
Resources Corp. 5,500 13
Albemarle Corp. 3,150 57
Alberto-Culver Co. Class A 1,400 56
Alberto-Culver Co. Class B 2,400 111
Albertson's, Inc. 13,700 567
Alco Standard Corp. 6,800 308
Alex Brown, Inc. 700 40
Alexander & Alexander Services, Inc. 4,800 95
Alexander & Baldwin, Inc. 4,300 104
* Alexander's, Inc. 277 20
Alfa Corp. 5,200 59
* All American Semiconductor, Inc. 1,000 2
* Alleghany Corp. 328 63
Allegheny Ludlum Corp. 3,100 59
Allegheny Power System, Inc. 6,300 195
The Allen Group, Inc. 3,600 78
Allergan, Inc. 3,200 126
* Alliance Entertainment 9,600 66
* Alliance Pharmaceutical Corp. 1,098 18
* Alliance Semiconductor Corp. 1,700 14
Allied Capital Commercial Corp. 3,800 76
Allied Capital Lending Corp. 4,800 64
* Allied Digital Technologies Corp. 1,500 5
* Allied Holdings, Inc. 5,400 56
AlliedSignal Inc. 15,200 868
Allmerica Financial Corp. 2,200 65
Allmerica Property & Casualty Cos. 2,800 76
Allstate Corp. 24,626 1,124
ALLTEL Corp. 10,100 311
* Altera Corp. 2,500 95
* Alumax, Inc. 2,250 68
Aluminum Co. of America 9,500 545
* ALZA Corp. 4,200 115
* Amax Gold, Inc. 10,006 55
* AMBAC, Inc. 1,800 94
Ambar, Inc. 800 12
Amcast Industrial Corp. 604 12
* Amdahl Corp. 6,100 66
Amerada Hess Corp. 5,100 273
* America Online, Inc. 4,500 196
* America West Airlines, Inc. 6,800 150
American Bancorporation 400 8
American Bankers Insurance Group 3,300 144
American Brands, Inc. 9,700 440
* American Business Information, Inc. 5,184 95
* American Coin Merchandising, Inc. 1,700 9
American Electric Power Co., Inc. 10,100 431
* American Exploration Co. 2,000 25
American Express Co. 26,284 1,173
American Financial Group, Inc. 2,800 84
* American Freightways 1,396 15
</TABLE>
3
<PAGE> 4
STATEMENT OF NET ASSETS (continued)
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- -------------------------------------------------------------------------
<S> <C> <C>
American General Corp. 10,700 $ 389
American Greetings Corp. Class A 3,700 101
American Health Properties, Inc. 4,000 89
American Health Properties
Psychiatric Group 300 5
American Heritage Life
Investment Corp. 2,400 52
American Home Products Corp. 33,800 2,032
American International Group, Inc. 25,600 2,525
American List Corp. 632 17
* American Management Systems, Inc. 2,200 65
* American Media Class A 3,400 18
American National Insurance Co. 1,400 91
* American Oncology Resources, Inc. 2,600 56
* American Power Conversion Corp. 4,000 41
American Re Corp. 2,200 99
* American Standard Cos., Inc. 3,900 129
* American States Financial Corp. 1,000 22
American Stores Co. 7,600 313
American Water Works Co., Inc. 3,100 125
Ameritech Corp. 29,900 1,775
Ameron International Corp. 2,200 87
* Ames Department Stores, Inc. 7,000 18
* Amgen, Inc. 14,400 776
Amoco Corp. 26,800 1,940
AMP, Inc. 11,692 469
Ampal-American Israel Corp. 1,000 5
Ampex Corp. 2,200 20
* Amphenol Corp. 2,200 51
AmSouth Bancorp 3,200 116
Amvestors Financial Corp. 3,100 49
Anadarko Petroleum Corp. 3,100 180
* Analog Devices, Inc. 6,050 154
Analogic Corp. 3,900 104
* Anchor Gaming 4,000 241
* Andrea Radio Corp. 100 1
* Andrew Corp. 2,925 158
Angelica Corp. 2,000 47
Anheuser-Busch Co., Inc. 13,600 1,020
* Anixter International Inc. 2,500 37
* AnnTaylor Stores Corp. 1,100 22
Aon Corp. 5,900 299
Apache Corp. 7,700 253
* Apogee, Inc. 1,600 9
* Apollo Group, Inc. Class A 2,700 75
Apple Computer, Inc. 6,200 130
Apple South, Inc. 1,600 43
* Applied Materials, Inc. 9,700 295
* Applied Microbiology, Inc. 4,400 24
* Applied Microsystems Corp. 800 14
Applied Power, Inc. 2,600 73
* Apria Healthcare 4,200 132
Arbor Drugs, Inc. 5,500 114
Archer-Daniels-Midland Co. 28,404 543
Argonaut Group, Inc. 2,800 86
* Argosy Gaming Co. 1,100 8
* Armco, Inc. 17,500 87
Armor All Products Corp. 4,500 68
Armstrong World Industries Inc. 1,900 109
Arnold Industries, Inc. 3,600 51
* Arrhythmia Research
Technology, Inc. 7,000 25
* Arrow Electronics, Inc. 2,737 118
* Artra Group Inc. 16,500 136
* Artisoft, Inc. 4,200 37
Arvin Industries, Inc. 2,800 62
ASARCO, Inc. 2,100 58
* Ascend Communications, Inc. 6,000 337
Ashland Inc. 3,500 139
* Aspect Telecommunications 3,400 169
* Aspen Technologies, Inc. 1,300 72
* Associated Group, Inc. 1,204 36
Astoria Financial Corp. 4,600 125
* Asyst Technologies, Inc. 1,278 23
* Athena Neurosciences, Inc. 5,900 100
Atlantic Energy, Inc. 4,600 84
* Atlantic Gulf Communities Corp. 1,500 9
Atlantic Richfield Co. 8,600 1,019
Atlantic Southeast Airlines Inc. 3,400 96
* Atlas Air, Inc. 800 46
* Atmel Corp. 5,300 160
* Atria Software, Inc. 700 35
* Atwood Oceanics, Inc. 1,133 50
* Auspex Systems, Inc. 1,600 24
Autodesk, Inc. 2,200 66
Automatic Data Processing, Inc. 15,500 599
* AutoZone, Inc. 9,600 334
* Avant! Corp. 2,700 62
* Avatar Holding, Inc. 2,000 69
Avery Dennison Corp. 2,900 159
Aviall Inc. 7,775 72
Avnet, Inc. 2,100 88
Avon Products, Inc. 7,000 316
* BBN Corp. 2,900 63
* BHC Communications, Inc. Class A 1,200 117
* BISYS Group, Inc. 600 23
* BJ Services Co. 1,313 46
* BJ Services Co.
Warrants Exp. 4/13/00 787 10
BMC Industries, Inc. 2,237 64
* BMC Software, Inc. 2,800 167
BRE Properties Inc. Class A 456 9
BSB Bancorp, Inc. 4,154 107
BW/IP Inc. 3,000 57
</TABLE>
4
<PAGE> 5
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- -------------------------------------------------------------------------
<S> <C> <C>
Badger Paper Mills, Inc. 3,200 $ 46
Baker Hughes, Inc. 7,800 256
J. Baker, Inc. 600 5
Ball Corp. 3,500 101
Ballard Medical Products 3,500 67
Baltimore Gas & Electric Co. 7,500 213
Banc One Corp. 25,554 869
Bancorp Hawaii, Inc. 2,250 81
* Banctec, Inc. 1,200 24
Bandag, Inc. 1,400 67
Bank of Boston Corp. 5,720 283
The Bank of New York Co., Inc. 10,900 559
BankAmerica Corp. 19,758 1,497
BankAtlantic Bancorp, Inc. Class B 6,492 90
Bankers Life Holding Corp. 5,000 111
Bankers Trust New York Corp. 4,300 318
* Banner Aerospace 11,100 93
BanPonce Corp. 1,500 68
* Banyan Systems, Inc. 4,100 29
C.R. Bard, Inc. 3,100 105
* Barnes & Noble Inc. 3,324 119
Barnett Banks, Inc. 5,326 325
* Barr Labs Inc. 5,400 139
* Barra Inc. 1,800 46
* Base Ten Systems Class A 8,000 95
Battle Mountain Gold Co. Class A 12,200 88
Bausch & Lomb, Inc. 3,300 140
Baxter International, Inc. 14,900 704
* Bay Networks 9,945 256
BayBanks, Inc. 1,000 108
* BE Avionics Inc. 6,300 83
Bear Stearns Co., Inc. 6,924 164
Beckman Instruments 2,532 96
Becton, Dickinson & Co. 3,400 273
* Bed Bath & Beyond, Inc. 5,548 147
* Bel Fuse, Inc. 6,900 115
Bell Atlantic Corp. 23,700 1,511
* Bell Sports Corp. 700 5
BellSouth Corp. 54,700 2,318
* Belmont Homes, Inc. 3,200 70
A. H. Belo Corp. Class A 2,000 75
Bemis Co., Inc. 2,400 84
* Ben Franklin Retail Stores 900 1
* Benchmarq Microelectronics, Inc. 3,200 28
Beneficial Corp. 2,900 163
* Bentley Pharmaceuticals, Inc. 2,200 7
Bergen Brunswig Corp. Class A 3,440 95
* Berkshire Hathaway Class A 50 1,535
* Berlitz International, Inc. 2,101 45
* Bertucci's Holding Corp. 5,239 28
* Best Buy, Inc. 4,400 101
* Bethlehem Steel Corp. 6,500 77
Betz Laboratories, Inc. 1,500 66
* Beverly Enterprises Inc. 8,600 103
* Biogen, Inc. 1,700 93
* Biomet, Inc. 5,800 83
Birmingham Steel Corp. 1,350 22
* Bitwise Designs, Inc. 2,900 14
* Black & Decker Corp. 4,600 178
Blair Corp. 1,600 38
Block Drug Co. Class A 336 14
H & R Block, Inc. 5,500 179
* Blyth Industries, Inc. 1,700 77
Boatmen's Bancshares, Inc. 8,500 340
Bob Evans Farms, Inc. 2,200 37
The Boeing Co. 18,600 1,621
Boise Cascade Corp. 2,500 92
* Boise Cascade Office Products Corp. 3,000 104
* Borders Group, Inc. 2,000 64
Borg-Warner Automotive, Inc. 2,600 103
* Borland International, Inc. 3,000 27
* Boston Chicken, Inc. 2,900 94
Boston Edison Co. 2,200 56
* Boston Scientific Corp. 9,300 418
Bowater, Inc. 1,900 71
Bowne & Co., Inc. 3,100 64
* Boyds Wheels, Inc. 1,000 13
Breed Technological Inc. 1,600 36
Briggs & Stratton Corp. 1,500 62
* Bright Voice Systems, Inc. 114 2
* Brinker International, Inc. 3,600 54
Bristol-Myers Squibb Co. 27,800 2,502
* Broderbund Software, Inc. 2,512 81
Brooklyn Union Gas Co. 2,450 67
* Brothers Gourmet Coffees, Inc. 500 2
Brown-Forman Corp. Class B 3,500 140
Browning-Ferris Industries, Inc. 11,400 331
Brunswick Corp. 4,800 96
* Buffets Inc. 3,800 46
* Builders Warehouse Assn., Inc. 4,300 64
* Bureau of Electronic Publishing, Inc. 420 1
* Burlington Coat Factory
Warehouse Corp. 1,900 20
* Burlington Industries, Inc. 5,703 81
Burlington Northern Santa Fe Corp. 8,040 650
Burlington Resources, Inc. 6,500 279
CB Bancshares Inc./Hawaii 1,300 41
CCB Financial Corp. 2,100 108
* C-Cube Microsystems, Inc. 1,500 50
* CDW Computer Centers, Inc. 1,800 124
* CFI ProServices, Inc. 1,631 41
CIGNA Corp. 4,100 483
CIPSCO, Inc. 1,600 62
CMAC Investment Corp. 2,287 132
</TABLE>
5
<PAGE> 6
STATEMENT OF NET ASSETS (continued)
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- -------------------------------------------------------------------------
<S> <C> <C>
CML Group, Inc. 2,700 $ 11
CMS Energy Corp. 4,800 148
* CNA Financial Corp. 3,400 350
CPC International, Inc. 7,800 562
CSX Corp. 11,200 540
* CUC International, Inc. 9,475 336
CWM Mortgage Holdings Inc. 5,000 85
* Cabletron Systems, Inc. 3,900 268
Cabot Corp. 3,800 93
Cabot Oil & Gas Corp., Class A 3,900 68
* Cadence Design Systems, Inc. 4,500 152
Cadmus Communications 800 12
* Cal Fed Bancorp Inc. 6,500 119
* Caldor Corp. 800 2
* CalEnergy Inc. 2,700 69
Calgon Carbon Corp. 7,300 99
Caliber System Inc. 2,000 68
* California Culinary Academy Inc. 11,100 85
* California Federal Bank Goodwill
Participation Certificates 200 2
Callaway Golf Co. 4,000 133
CAM Designs, Inc. 9,900 64
* Cambridge Biotech Corp. 4,000 3
* Cambridge Technology Partners 4,200 128
Camco International, Inc. 1,100 37
* Cameron Ashley Building Products 3,392 40
Campbell Soup Co. 13,300 938
* Canandaigua Wine Co., Inc. Class A 2,192 66
Capital One Financial Corp. 3,033 86
* Capital Pacific Holdings, Inc. 700 2
Capital Re Corp. 3,600 132
Capitol American Financial Corp. 800 20
Capitol Bancorp Ltd. 4,800 48
* Capsure Holdings 610 11
Caraustar Industries, Inc. 4,000 107
Cardinal Bancshares, Inc. 496 20
Cardinal Health, Inc. 4,944 357
* Career Horizons Inc. 1,800 63
Caremark International, Inc. 4,400 111
* Carmike Cinemas, Inc. Class A 711 19
Carnival Corp. Class A 15,700 453
Carolina Power & Light Co. 8,400 319
CarrAmerica Realty Corp. 4,500 108
Carter-Wallace, Inc. 2,100 31
* Cascade Communications Corp. 4,500 306
Case Corp. 3,700 178
* Castech Aluminum Group, Inc. 1,400 21
* Castle & Cooke, Inc. 1,366 22
* Catalina Marketing Corp. 1,620 148
* Catellus Development Corp. 3,400 31
Caterpillar, Inc. 10,600 718
* Catherines Stores 2,800 28
Cato Corp. Class A 1,200 7
* Cellpro, Inc. 3,400 60
* Cellular Communications
International Inc. 1,400 47
Centerior Energy Corp. 7,500 55
Centex Corp. 2,500 78
* Centocor, Inc. 3,352 100
Central & South West Corp. 11,300 328
Central Fidelity Banks, Inc. 3,000 67
Central Maine Power Co. 4,200 61
* Century Communications Corp.
Class A 11,897 103
Century Telephone Enterprises, Inc. 3,150 100
* Ceridian Corp. 3,700 187
* Chalone Wine Group Ltd. 1,360 13
Champion International Corp. 5,200 217
* Charming Shoppes, Inc. 9,100 64
Charter One Financial 2,300 80
Chase Manhattan Corp. 23,572 1,665
* Checkers Drive-In Restaurant 5,400 5
* Checkfree Corp. 4,500 90
Chelsea GCA Realty, Inc. 500 16
Chemed Corp. 2,100 78
Chemical Finance 2,111 78
Chesapeake Corp. of Virginia 1,200 31
* Chesapeake Energy Corp. 1,100 99
Chevron Corp. 35,900 2,118
* Cheyenne Software, Inc. 5,050 97
* Chic by H.I.S., Inc. 6,020 32
* Chicago Miniature Lamp, Inc. 600 22
* Children's Discovery Centers of
America, Inc. 400 3
* Chiron Corp. 2,326 228
* Chris-Craft Industries, Inc. 2,680 118
* Christiana Cos., Inc. 2,300 49
* Chromcraft Revington, Inc. 2,500 58
Chrysler Corp. 20,372 1,263
The Chubb Corp. 9,200 459
Church and Dwight, Inc. 2,500 52
Cilcorp, Inc. 2,100 90
Cincinnati Bell, Inc. 3,600 188
Cincinnati Financial Corp. 2,971 171
Cincinnati Milacron, Inc. 3,300 79
CINergy Corp. 8,662 277
Cintas Corp. 2,400 128
Circuit City Stores, Inc. 5,200 188
* Circus Circus Enterprises Inc. 5,400 221
* Cirrus Logic 2,900 51
* Cisco Systems, Inc. 32,700 1,854
Citicorp 26,300 2,173
Citizens Bancorp MD 2,300 68
* Citizens Utilities Co. Class A 10,506 121
</TABLE>
6
<PAGE> 7
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- -------------------------------------------------------------------------
<S> <C> <C>
* Citizens Utilities Co. Class B 2,508 $ 29
* Citrix Systems, Inc. 2,500 95
City Holding Co. 2,541 58
Clayton Homes Inc. 4,706 94
* Clear Channel Communications 1,800 148
* Cliffs Drilling Co. 1,649 55
* Clintrials Research, Inc. 2,600 107
The Clorox Co. 2,800 248
Coachmen Industries, Inc. 1,552 54
* Coast Savings Financial, Inc. 3,300 108
Coastal Corp. 5,500 230
* Coastal Physician Group, Inc. 1,800 12
Coca-Cola Bottling Co. 2,800 98
The Coca-Cola Co. 141,200 6,901
Coca-Cola Enterprises, Inc. 6,700 232
Coeur D'Alene Mines Corp. 2,400 44
* Cognex Corp. 1,000 16
* Coherent Communications
Systems Corp. 4,400 92
* Coin Bill Validator Inc. 100 1
* Coleman Inc. 2,134 90
Colgate-Palmolive Co. 7,900 670
Collective Bancorp, Inc. 4,250 101
* Collins & Aikman Corp. 2,300 14
* Colonial Data Technologies Corp. 3,800 57
* Colorado Casino Resorts, Inc. 3,700 8
* Coltec Inc. 3,500 50
Columbia Gas Systems, Inc. 2,600 136
Columbia/HCA Healthcare Corp. 24,073 1,285
Comair Holdings, Inc. 2,600 71
Comcast Corp. Class A 6,600 122
Comcast Corp. Class A Special 5,600 103
* Comdial Corp. 1,800 16
Comdisco, Inc. 6,300 168
Comerica, Inc. 6,400 286
Commerce Bancshares, Inc. 1,800 62
Commercial Federal Corp. 2,204 84
Commercial Metals Co. 200 7
Commonwealth Energy Systems 2,600 67
Community First Bankshares 4,000 94
* Community Healthcare Systems 1,800 93
* COMPAQ Computer Corp. 14,200 699
Compass Bancshares Inc. 1,900 62
* CompUSA, Inc. 6,600 225
* CompuServe Corp. 4,900 104
Computer Associates
International, Inc. 12,850 916
* Computer Sciences Corp. 3,000 224
Computer Task Group, Inc. 5,000 141
* Compuware Corp. 4,100 161
Comsat Corp. 2,200 57
* Comshare 553 17
ConAgra, Inc. 13,100 594
* Concord EFS, Inc. 4,913 176
* Conmed Corp. 4,406 117
Connecticut Natural Gas Corp. 3,400 76
Conrail, Inc. 4,300 285
Conseco Co., Inc. 1,800 72
* Consolidated Delivery &
Logistics, Inc. 2,800 16
Consolidated Edison Co. of New
York, Inc. 13,000 380
Consolidated Natural Gas Co. 4,800 251
Consolidated Papers 2,500 130
* Consolidated Stores, Inc. 2,400 88
* ContiFinancial Corp. 2,400 71
* Continental Airlines, Inc. Class B 5,800 358
* Continental Information
Systems Corp. 300 1
Continental Mortgage & Equity Trust 150 2
* Continuum Co. 1,300 75
* Control Data Corp. 1,926 41
* Converse Inc. 1,866 8
Cooper Industries, Inc. 5,600 232
Cooper Tire & Rubber Co. 3,900 87
Adolph Coors Co. Class B 1,500 27
* Coram Healthcare Corp. 1,323 5
CoreStates Financial Corp. 11,712 451
Corning, Inc. 13,100 503
* Corporate Express, Inc. 3,700 148
* Corrections Corp. of America 1,700 119
Countrywide Credit Industries, Inc. 5,747 142
* Coventry Corp. 3,345 52
* Cox Communications Class A 13,714 297
Cracker Barrel Old Country
Stores, Inc. 2,700 65
Crane Co. 1,600 66
* Cray Research, Inc. 704 17
* Credit Acceptance Corp. 5,000 106
* Cree Research, Inc. 2,352 35
Crestar Financial Corp. 2,200 117
Crompton & Knowles Corp. 2,600 44
* Crosscom Corp. 400 4
Crown American Realty Trust 6,300 49
* Crown Books Corp. 3,163 40
Crown Cork & Seal Co., Inc. 6,800 306
Crown Crafts, Inc. 5,500 56
* Crown Vantage, Inc. 3,280 47
* Cryomedical Sciences 17,500 40
Cummins Engine Co., Inc. 1,900 77
* Custom Chrome 1,200 32
* Cyberguard Corp. 300 5
* Cybex Corp. 700 12
* Cygnus Inc. 2,588 39
</TABLE>
7
<PAGE> 8
STATEMENT OF NET ASSETS (continued)
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- -------------------------------------------------------------------------
<S> <C> <C>
* Cypress Semiconductor Corp. 4,000 $ 48
* Cypros Pharmaceuticals Corp. 9,750 50
Cyprus Amax Minerals Co. 4,650 105
* Cytec Industries, Inc. 1,114 95
* DII Group Inc. 3,100 80
DPL, Inc. 5,900 144
DQE Inc. 4,250 117
* DSC Communications Corp. 6,100 183
* DSP Group Inc. 1,400 13
* DST Systems, Inc. 2,600 83
DTE Energy Co. 8,100 250
Damen Financial Corp. 3,200 37
Dana Corp. 5,500 170
Danaher Corp. 3,000 130
Darden Restaurants Inc. 8,300 89
* Darling International, Inc. 2,200 55
* Data Broadcasting Corp. 8,214 79
* Data General Corp. 8,500 111
* Data Race, Inc. 6,778 45
* Dataware Technologies, Inc. 200 1
Dauphin Deposit Bank & Trust 1,000 29
* Dave and Busters 1,785 48
* Davel Communications Group, Inc. 2,157 42
* Davidson and Associates, Inc. 3,600 109
Dayton-Hudson Corp. 3,900 402
Dean Foods Corp. 3,800 94
Dean Witter Discover & Co. 9,105 521
Deere & Co. 14,300 572
* Dell Computer 4,900 249
Delmarva Power & Light Co. 3,000 63
Delta & Pine Land Co. 3,349 142
Delta Air Lines, Inc. 2,700 224
Deluxe Corp. 4,200 149
* Dendrite International, Inc. 400 14
Dentsply International 1,400 59
* Department 56 Inc. 3,405 77
* Designs, Inc. 5,750 35
Developers Diversified Realty Corp. 2,500 80
Devon Energy Corp. 3,567 87
Dexter Corp. 3,000 89
Diagnostic Products Corp. 2,800 108
The Dial Corp. 5,000 143
* Diamond Offshore Drilling, Inc. 2,600 149
Diebold, Inc. 2,400 116
* Digital Equipment Corp. 8,300 374
Dillard Department Stores Class A 6,000 219
* Dime Bancorp, Inc. 12,429 162
* Dionex Corp. 3,000 99
The Walt Disney Co. 37,300 2,345
Dole Food Co. 2,800 120
Dollar General Corp. 4,066 119
Dominion Resources, Inc. 9,600 384
Donaldson, Lufkin & Jenrette, Inc. 2,800 87
R.R. Donnelley & Sons Co. 8,300 289
Dover Corp. 5,800 268
Dow Chemical Co. 14,200 1,079
Dow Jones & Co., Inc. 5,100 213
Dresser Industries, Inc. 9,900 292
* Drug Emporium, Inc. 4,128 19
E.I. du Pont de Nemours & Co. 30,000 2,374
Duke Power Co. 11,100 569
The Dun & Bradstreet Corp. 9,000 563
Duracell International, Inc. 6,400 276
Duriron Co., Inc. 4,350 104
* Dynatech Corp. 6,600 215
EG & G, Inc. 7,100 152
* EMC Corp. 11,800 220
* ENSCO International, Inc. 4,112 134
* ESS Technology, Inc. 1,600 29
* Eagle Finance Corp. 3,600 24
* Earthgrains Co. 512 17
Eastern Enterprises 2,900 96
Eastern Utilities Associates 200 4
Eastman Chemical 4,450 271
Eastman Kodak Co. 18,500 1,438
Eaton Corp. 4,000 234
Eaton Vance Corp. 400 14
Echlin, Inc. 3,400 129
Echo Bay Mines Ltd. 7,100 76
* Eckerd Corp. 3,200 72
* Ecogen, Inc. 1,900 9
Ecolab, Inc. 3,700 122
* Edison Brothers Stores, Inc. 15,223 34
Edison International 24,500 432
* Edisto Resources Corp. 11,100 111
* Education Alternatives, Inc. 3,600 13
A.G. Edwards & Sons, Inc. 3,025 82
El Paso Natural Gas 1,600 62
Elcor Corp. 3,800 69
* Electric Fuel Corp. 1,800 12
* Electronic Arts 3,000 80
Electronic Data Systems Corp. 26,100 1,403
* Electronic Retailing Systems
International, Inc. 6,200 12
* Electronics for Imaging, Inc. 1,400 97
Emerson Electric Co. 12,100 1,094
* Emmis Broadcasting Corp. Class A 1,300 65
* Emulex Corp. 300 4
* Energy Conversion Devices, Inc. 2,000 45
Energy West Inc. 5,200 42
Engelhard Corp. 7,600 175
Enova Corp. 5,800 134
Enron Corp. 13,600 556
Enron Oil & Gas Co. 8,700 243
</TABLE>
8
<PAGE> 9
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- -------------------------------------------------------------------------
<S> <C> <C>
ENSERCH Corp. 6,200 $ 135
Entergy Corp. 12,054 342
* Envirometrics, Inc. 3,800 4
* Envirotest Systems Corp. Class A 10,800 28
* Epitope Inc. 600 9
Equifax, Inc. 8,400 220
The Equitable Cos. 10,300 256
Equitable of Iowa Co. 3,000 106
Equitable Resources, Inc. 3,200 90
Equity Residential Properties Trust 2,300 76
* Esmor Correctional Services, Inc. 2,400 36
Essex Property Trust, Inc. 2,366 51
* Ethan Allen Interiors Inc. 220 5
Ethyl Corp. 6,300 61
Everest Re Holdings, Inc. 2,700 70
* Evergreen Media Corp. 800 34
Excel Realty Trust, Inc. 1,800 37
Executive Risk, Inc. 867 33
Exide Corp. 1,500 36
* Exide Electronics Group, Inc. 3,362 32
* Express Scripts 2,700 124
* Extended Stay America, Inc. 700 22
Exxon Corp. 68,900 5,986
* EZCORP, Inc. 300 2
F & M Bancorp 1,433 33
FFY Financial Corp. 4,600 109
* FHP International Corp. 4,800 132
* FLIR Systems, Inc. 1,100 13
* FMC Corp. 1,800 117
FPL Group, Inc. 10,100 465
* FTP Software, Inc. 3,000 24
Factory Stores of America, Inc. 4,300 39
Fair Issac & Co. 1,700 75
* Fairfield Communities, Inc. 9,200 128
* Falcon Building Products, Inc.
Class A 500 6
* Falcon Drilling Co., Inc. 1,900 51
Family Dollar Stores, Inc. 5,900 103
Farrel Corp. 10,800 43
* Fastcomm Communications Corp. 1,100 20
Fastenal Co. 1,800 79
* Faulding Inc. 7,200 34
* Federal Express Corp. 2,900 238
Federal Home Loan Mortgage Corp. 9,800 838
Federal-Mogul Corp. 4,100 75
Federal National Mortgage Assn. 60,000 2,010
Federal Realty Investment Trust 4,300 97
Federal Signal Corp. 5,733 135
* Federated Department Stores 10,800 369
Ferro Corp. 1,400 37
Fifth Third Bancorp 5,500 296
* Filene's Basement Corp. 8,895 44
Fina Inc. 1,600 88
* Financial Industries Corp. 1,000 58
Financial Trust Corp. 2,580 74
Fingerhut Co. 2,400 37
Finova Group, Inc. 1,500 73
* First Alert, Inc. 8,000 32
First American Corp. (Tenn.) 2,200 93
First American Bank Corp. 3,200 143
1st Bancorp (Indiana) 3,045 81
First Bancorp of Ohio 2,100 66
* First Bank of Philadelphia 1,000 3
First Bank System, Inc. 7,885 457
First Brands Corp. 3,800 103
First Chicago NBD Corp. 17,393 681
First Colony Corp. 2,104 65
First Commerce Bancshares Inc.
Class A 1,000 28
First Commerce Bancshares Inc.
Class B 4,000 63
First Commerce Corp. 3,312 118
First Data Corp. 12,033 958
First Empire State Corp. 400 96
* First Federal Financial Corp. 2,166 38
First Hawaiian, Inc. 1,600 46
First Michigan Bank Corp. 4,105 128
First Midwest Bancorp 2,600 73
* First Pacific Networks, Inc. 7,200 16
First Security Corp. 3,450 83
First Source Corp. 4,010 88
First Tennessee National Corp. 3,200 98
First Union Corp. 16,183 985
First USA Inc. 3,200 176
* First USA Paymentech, Inc. 1,700 68
First Virginia Banks, Inc. 1,700 68
Firstar Corp. 4,000 184
* FIserv, Inc. 2,000 61
Fisher Scientific International Inc. 2,000 75
Fleet Financial Group, Inc. 14,402 626
Fleetwood Enterprises, Inc. 4,000 124
Fleming Cos., Inc. 4,600 66
FlightSafety International, Inc. 1,800 98
Florida Progress Corp. 5,000 174
Florida Rock Industries, Inc. 2,900 75
* Florsheim Shoe Co. 933 5
Flowers Industries, Inc. 3,000 48
Fluor Corp. 4,600 301
* Flushing Financial Corp. 2,400 41
* Foamex International, Inc. 2,900 36
Food Lion Inc. Class A 24,500 195
* FoodBrands America, Inc. 5,000 64
* Foothill Independent Bancorp 1,100 10
Ford Motor Co. 63,100 2,043
</TABLE>
9
<PAGE> 10
STATEMENT OF NET ASSETS (continued)
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- -------------------------------------------------------------------------
<S> <C> <C>
* Fore Systems, Inc. 6,000 $ 216
* Foreland Corp. 567 2
Foremost Corp. of America 2,200 125
* Forest Laboratories, Inc. 2,500 97
* Fort Howard Corp. 3,100 62
Fort Thomas Financial Corp. 600 10
* Forte Software, Inc. 1,000 53
Foster Wheeler Corp. 1,900 85
* Foundation Health Co. 2,900 104
* Fourth Shift Corp. 12,600 85
* Fractal Design Corp. 2,400 35
Franchise Finance Corp. of America 4,000 92
FoxMeyer Health Corp. 3,900 58
Franklin Resources Corp. 4,100 250
Freeport-McMoRan, Inc. 1,366 48
Freeport-McMoRan Copper &
Gold Inc. Class A 3,348 100
Freeport-McMoRan Copper &
Gold Inc. Class B 7,654 244
* Fresh Choice, Inc. 5,100 36
* Fritz Cos., Inc. 1,600 52
Frontier Corp. 8,600 263
* Fruit of the Loom, Inc. 4,000 102
H.B. Fuller Co. 1,500 55
Fund American Enterprise
Holding Co. 400 32
* Furniture Brands International Inc. 5,600 62
G & L Realty Corp. 304 4
GATX Corp. 1,000 48
* GC Cos. 2,630 98
* GSE Systems, Inc. 600 9
* GT Interactive Software Corp. 3,200 54
GTE Corp. 55,200 2,470
* Gadzooks, Inc. 1,800 58
Arthur J. Gallagher & Co. 2,000 64
Gannett Co., Inc. 8,000 566
The Gap, Inc. 16,400 527
* Garden Fresh Restaurant Corp. 4,400 47
* Gardner Denver Machinery, Inc. 232 6
* Gartner Group, Inc. Class A 4,400 161
* Gateway 2000 Inc. 3,600 122
Gaylord Entertainment Class A 4,851 137
GenCorp, Inc. 6,100 92
* Genentech, Inc. 6,800 356
General Binding Corp. 728 15
General Dynamics Corp. 3,300 205
General Electric Co. 94,000 8,131
General Growth Properties 2,700 65
* General Instrument 6,500 188
* General Magic, Inc. 3,300 22
General Mills, Inc. 9,100 496
General Motors Corp. 42,801 2,242
General Motors Corp. Class H 5,300 319
* General Nutrition Cos., Inc. 4,000 70
General Physics Corp. 18,400 76
General Public Utilities Corp. 6,900 243
General Re Corp. 4,600 700
General Signal Corp. 2,500 95
* Genesco, Inc. 19,500 151
* Genesis Health Ventures Inc. 1,500 47
* Genetics Institute Inc.
Depository Shares 1,400 88
* Geneva Steel Class A 3,000 17
* Gensia Inc. 1,500 8
* Gentex Corp. 2,976 58
Genuine Parts Co. 6,700 307
* Genzyme Corp. 1,600 81
Geon Co. 3,200 72
Georgia Gulf Corp. 1,800 53
Georgia-Pacific Corp. 5,200 369
* Geoworks 700 25
* Giant Cement Holding, Inc. 1,400 18
Giant Food, Inc. Class A 3,100 111
Giant Industries, Inc. 6,800 99
Gilbert Associates, Inc. Class A 800 10
* Gilead Sciences, Inc. 3,400 85
Gillette Co. 25,200 1,572
P.H. Glatfelter Co. 4,200 77
* Glenayre Technologies, Inc. 3,300 165
* Global DirectMail Corp. 2,100 83
* Global Marine, Inc. 9,500 132
* Global Village Communication 700 6
Golden West Financial Corp. 3,100 174
* Good Guys, Inc. 2,100 19
The BF Goodrich Co. 2,800 105
The Goodyear Tire & Rubber Co. 8,800 425
Goulds Pumps, Inc. 3,100 80
W.R. Grace & Co. 5,600 397
Graco, Inc. 4,800 97
W.W. Grainger, Inc. 2,700 209
* Grancare Inc. 3,100 62
* Grand Casinos, Inc. 4,650 120
Graphic Industries, Inc. 1,100 11
Great Atlantic & Pacific Tea Co., Inc. 5,000 164
Great Lakes Chemical Corp. 3,700 230
Great Western Financial Corp. 7,200 172
Green Point Financial Corp. 2,800 79
Green Tree Financial Corp. 7,800 244
* GTech Holdings Corp. 5,400 160
Guidant Corp. 3,783 186
* Gupta Corp. 600 3
* The Gymboree Corp. 3,400 103
HBO and Co. 4,400 298
HF Financial Corp. 6,000 91
</TABLE>
10
<PAGE> 11
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- -------------------------------------------------------------------------
<S> <C> <C>
* HFS Inc. 6,900 $ 483
* HMN Financial, Inc. 3,000 49
HRE Properties 200 3
* HS Resources Inc. 2,800 33
* Haemonetics Corp. 4,500 82
Halliburton Co. 6,500 361
M.A. Hanna Co. 4,500 94
Hannaford Brothers Co. 2,200 72
* Harbinger Corp. 100 3
Harcourt General, Inc. 3,900 195
John H. Harland Co. 1,600 39
Harley-Davidson, Inc. 4,100 169
Harnischfeger Industries Inc. 2,400 80
* Harrah's Entertainment, Inc. 5,500 155
Harris Corp. 2,000 122
* Harry's Farmers Market, Inc. 200 1
Harsco Corp. 1,300 87
Hartford Steam Boiler Inspection &
Insurance Co. 900 44
* Hartmarx Corp. 12,600 79
Harvey's Casino Resorts 400 8
Hasbro, Inc. 5,000 179
* Hauser Chemical Research 8,800 61
Haven Bancorp, Inc. 1,500 42
Hawaiian Electric Industries Inc. 2,300 82
Hayes Wheels International 3,600 114
Health and Retirement
Properties Trust 6,400 110
Health Care Properties Investors 2,300 78
* Health Management Associates Class A 5,987 121
* Health Management, Inc. 1,000 3
* Health Management Systems, Inc. 1,953 62
* Health Systems 2,600 71
* Healthcare & Retirement Corp. 4,300 102
* HealthCare Compare Corp. 1,800 88
* Healthsource, Inc. 3,500 61
* HEALTHSOUTH Corp. 11,010 396
* Heartland Express, Inc. 4,772 129
Hechinger Co. Class A 2,000 9
Heilig-Meyers Co. 4,500 108
H.J. Heinz Co. 20,900 635
Helmerich & Payne, Inc. 4,000 146
Hercules, Inc. 6,000 332
Hershey Foods Corp. 4,200 308
Hewlett-Packard Co. 28,900 2,879
Hibernia Corp. Class A 5,600 61
* Highlands Insurance Group 2,030 38
Highwood Properties, Inc. 600 17
Hillenbrand Industries, Inc. 3,600 134
* Hills Stores Co. 5,165 46
Hilton Hotels Corp. 2,700 304
Holly Corp. 400 10
* Hollywood Park, Inc. 1,000 9
* Hologic, Inc. 700 31
Home Bancorp 1,400 21
Home Depot, Inc. 27,033 1,460
* Home Health Corp. of America 900 12
* Home Shopping Network, Inc. 9,000 108
Homestake Mining Co. 7,800 134
Honeywell, Inc. 7,200 392
Horace Mann Educators Corp. 3,600 114
* Horizon/CMS Healthcare Corp. 5,377 69
Horizon Financial Corp. 900 12
Hormel Foods Corp. 4,500 120
* Horsehead Resource
Development Co., Inc. 7,900 45
* Host Marriott 11,000 144
* Host Marriott Services 6,120 44
* House of Fabrics, Inc. 10,800 3
Household International, Inc. 5,300 403
Houston Industries, Inc. 14,900 367
* Hovnanian Enterprises Class A 6,100 36
Hubbell Inc. Class B 1,875 124
Hughes Supply, Inc. 3,400 118
* Humana, Inc. 8,300 148
Hunt Manufacturing Co. 700 10
J.B. Hunt Transport Services, Inc. 2,000 42
Huntington Bancshares Inc. 7,487 180
* Hutchinson Technology, Inc. 2,000 71
* Hyperion Software Corp. 3,452 43
IBP, Inc. 5,200 144
* ICH Corp. 11,700 1
ICN Pharmaceuticals, Inc. 1,429 33
IDEX Corp. 100 4
* IDEXX Laboratories 1,700 67
* IEC Electronics Corp. 1,082 8
IES Industries, Inc. 3,300 99
* I-Flow Corp. 2,300 11
* IGI, Inc. 6,710 53
IMC Global Inc. 5,560 209
* ITT Corp. 6,400 424
ITT Hartford Group, Inc. 6,300 335
ITT Industries, Inc. 6,200 156
Idaho Power Co. 4,900 153
* Identix, Inc. 8,400 123
Ideon Group 3,910 53
Illinois Central Corp. 3,300 94
Illinois Tool Works, Inc. 6,800 460
Illinova Corp. 4,300 124
* Imclone Systems, Inc. 7,800 72
* Immucor Inc. 2,754 34
* Immune Response 800 9
* Immunomedics Inc. 7,900 74
</TABLE>
11
<PAGE> 12
STATEMENT OF NET ASSETS (continued)
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- -------------------------------------------------------------------------
<S> <C> <C>
* Imo Industries, Inc. 1,200 $ 7
* Inacom Corp. 6,300 119
* Incyte Pharmaceuticals, Inc. 1,900 74
* Industrial Scientific Corp. 2,700 49
* Infinity Broadcasting Corp. 4,575 137
* Information Resources, Inc. 1,206 15
* Informix Corp. 8,300 186
Ingersoll-Rand Co. 6,200 271
Inland Steel Industries, Inc. 4,300 84
* Input/Output, Inc. 2,300 74
* Insignia Financial Group 3,600 98
* Insilco Corp. 2,600 88
* Inso Corp. 1,700 88
* Instent, Inc. 400 9
* Insurance Auto Auctions, Inc. 3,400 33
* Integrated Device Technology Inc. 7,400 79
Integrated Health Services, Inc. 4,000 95
* Integrated Process Equipment Corp. 1,976 40
Intel Corp. 45,600 3,349
* Interactive Network Inc. 7,000 1
Intercargo Corp. 5,400 48
* Intercel, Inc. 3,900 79
* Intergraph Corp. 7,300 89
* Interim Services, Inc. 3,450 147
* Interleaf, Inc. 7,800 51
* International Assets Holding Corp. 1,800 8
International Business
Machines Corp. 30,700 3,039
* International Cabletel, Inc. 2,667 79
International Flavors &
Fragrances, Inc. 6,300 300
International Game Technology 6,200 105
* International Jensen 8,800 102
* International Lottery & Totalizator
Systems, Inc. 8,800 21
* International Murex
Technologies Corp. 1,000 4
International Paper Co. 16,932 624
* International Rectifier Corp. 3,500 56
International Shipholding Corp. 3,375 59
* International Specialty Products, Inc. 3,200 35
* International Technology 25,100 69
* Interneuron Pharmaceutical, Inc. 1,900 57
Interpublic Group of Cos., Inc. 4,100 192
* Intersolv 4,800 45
Interstate Bakeries 400 11
Intimate Brands, Inc. 14,200 325
* Intuit, Inc. 2,500 118
Investors Financial Services Corp. 280 6
Investors Financial Services Corp.
Class A 54 1
* Invitro International 2,800 3
* Iomega Corp. 16,350 471
* Ionics, Inc. 2,600 122
Ipalco Enterprises, Inc. 2,700 71
Irvine Apartment Communities, Inc. 800 16
Irwin Financial Corp. 2,500 99
* Itron, Inc. 600 17
IVAX Corp. 6,900 110
JLG Industries, Inc. 1,000 74
Jackpot Enterprises, Inc. 5,500 70
* Jacobs Engineering Group Inc. 3,800 100
James River Corp. 4,600 121
* Jan Bell Marketing Inc. 1,200 3
* Jayhawk Acceptance Corp. 900 12
Jefferson Bancorp, Inc. 2,060 27
Jefferson-Pilot Corp. 4,050 209
* Jefferson Savings Bancorp, Inc. 200 5
* Jefferson Smurfit Corp. 5,800 64
Johnson & Johnson 75,406 3,733
Johnson Controls, Inc. 2,200 153
* Johnstown America Industries 5,800 20
* Jones Apparel Group, Inc. 3,400 167
Jostens Inc. 4,900 97
Just Like Home, Inc. 2,400 29
* KLA Instruments Corp. 2,300 53
Kmart Corp. 27,300 338
KN Energy, Inc. 4,128 138
* K-III Communications Corp. 6,200 77
* K2 Inc. 4,564 124
K U Energy Corp. 3,700 111
* K-V Pharmaceutical Co. Class A 6,900 98
* Kaiser Aluminum & Chemical Corp. 6,600 73
Kaneb Pipeline Partners, L.P. 520 12
* Kaneb Services, Inc. 12,384 40
Kansas City Power & Light Co. 3,200 88
Kansas City Southern Industries, Inc. 2,000 86
Kaydon Corp. 2,800 120
Kellogg Co. 12,100 886
Kellwood Co. 3,100 57
Kelly Services, Inc. Class A 3,700 110
* Kennedy-Wilson, Inc. 280 3
* Kensey Nash Corp. 2,200 29
* Kent Electronics Corp. 4,400 137
Kerr-McGee Corp. 2,800 170
KeyCorp 13,184 511
* Keystone Consolidated
Industries, Inc. 3,600 36
Keystone Financial, Inc. 2,803 95
Keystone International, Inc. 1,800 37
Kimberly-Clark Corp. 15,928 1,230
Kimco Realty Corp. 3,100 88
* Kinder Care Learning Centers Inc. 4,000 62
Kinetic Concepts, Inc. 10,000 156
</TABLE>
12
<PAGE> 13
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- -------------------------------------------------------------------------
<S> <C> <C>
* King World Productions, Inc. 2,100 $ 76
* Kleer-Vu Industries Inc. 6,960 12
Knight-Ridder, Inc. 2,600 189
* Koger Equity Inc. 1,700 23
* Kohls Corp. 3,800 139
* Komag, Inc. 2,400 63
* The Kroger Co. 7,100 280
Kuhlman Corp. 4,700 82
* LCI International, Inc. 3,674 115
LG&E Energy Corp. 3,400 78
LSI Industries Inc. 2,264 38
* LSI Logic Corp. 7,300 190
LTV Corp. 4,900 56
* LTX Corp. 9,300 58
La Quinta Inns Inc. 2,400 80
La-Z-Boy Chair Co. 900 27
* Laboratory Corp. of America 13,024 98
Ladd Furniture Inc. 1,266 13
Lafarge Corp. 3,000 61
* LAM Research Corp. 1,400 36
Lancaster Colony Corp. 3,288 123
* Lancer Corp. 1,690 38
Landmark Bancshare, Inc. 4,900 76
* Lands' End, Inc. 4,000 99
Estee Lauder Cos. Class A 3,000 127
Lawter International Inc. 5,300 66
* Layne Christensen Co. 9,500 121
* Lear Corp. 3,200 113
* Lechters Corp. 4,000 26
Lee Enterprises, Inc. 4,400 104
Leggett & Platt, Inc. 5,200 144
Lehman Brothers Holdings, Inc. 5,360 133
Lennar Corp. 1,800 45
* Leslie Fay Co. 11,100 3
Leucadia National Corp. 2,800 69
Leviathan Gas Pipeline Co. 2,500 90
* Lexmark International Group, Inc.
Class A 3,500 70
Liberty Bancorp, Inc. (Oklahoma) 2,400 86
Liberty Corp. 2,800 89
* Liberty Media Group Class A 6,135 163
Liberty Property Trust 300 6
Life Partners Group, Inc. 4,900 111
* Life USA Holding, Inc. 800 7
Lillian Vernon Corp. 500 6
Eli Lilly & Co. 31,178 2,027
Lilly Industries Inc. Class A 4,200 71
The Limited, Inc. 14,881 320
* Lin Television 1,300 46
* Lincare Holdings Inc. 4,500 176
Lincoln National Corp. 5,700 264
Linear Technology Corp. 4,400 132
Litchfield Financial Corp. 6,697 91
* Litton Industries, Inc. 2,600 113
Liz Claiborne, Inc. 3,700 128
* Lockheed Martin Corp. 11,253 945
Loctite Corp. 1,600 74
Loews Corp. 6,700 528
* Logan's Roadhouse, Inc. 2,900 56
* Lone Star Steakhouse & Saloon 1,700 64
Long Island Bancorp, Inc. 3,000 92
Long Island Lighting Co. 6,100 102
* Longhorn Steaks Inc. 4,600 114
Longview Fiber Co. 3,000 51
* Loral Space & Communications Ltd. 10,500 143
* Louis Dreyfus Natural Gas Corp. 3,600 54
Louisiana Land & Exploration Co. 2,000 115
Louisiana-Pacific Corp. 5,900 131
Lowes Cos., Inc. 8,800 318
Lubrizol Corp. 2,900 88
Lucent Technologies, Inc. 6,100 231
Lukens, Inc. 2,900 69
* Lumisys, Inc. 2,900 46
Lyondell Petrochemical Co. 4,500 109
* MAI Systems Corp. 4,100 37
* MAIC Holdings Inc. 1,400 53
MBIA, Inc. 2,200 171
MBNA Corp. 12,600 359
MCI Communications Corp. 37,800 966
MCN Corp. 3,300 80
* MDT Corp. 5,600 25
* MEMC Electronic Materials, Inc. 2,300 89
* MFB Corp. 2,000 28
* MFS Communications Co., Inc. 6,700 252
MGIC Investment Corp. 3,100 174
* MGM Grand Inc. 2,700 108
* MK Gold Co. 10,700 16
MMI Cos., Inc. 400 12
* MTL, Inc. 1,152 20
MTS Systems Corp. 2,010 41
* Macromedia 1,600 35
Madison Gas & Electric Co. 3,900 84
* Magellan Health Services Corp. 3,000 64
Magna Group 4,152 99
* Mail-Well, Inc. 1,900 17
Mainstreet Bankgroup, Inc. 3,000 50
Mallinckrodt Group, Inc. 4,100 159
Manitowoc Co., Inc. 2,200 79
Manor Care Inc. 3,200 126
Manpower Inc. 4,600 181
Mapco Inc. 1,400 79
* Marcam Corp. 3,400 40
Mark IV Industries, Inc. 2,940 67
* Marquette Electronics Class A 1,996 35
</TABLE>
13
<PAGE> 14
STATEMENT OF NET ASSETS (continued)
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- -------------------------------------------------------------------------
<S> <C> <C>
Marriott International 7,300 $ 392
Marsh & McLennan Cos., Inc. 4,000 386
Marshall & Ilsley Corp. 5,144 143
Martin Marietta Materials, Inc. 3,800 92
* Marvel Entertainment Group 7,240 68
Masco Corp. 8,800 266
MascoTech Inc. 2,600 38
* Mathsoft, Inc. 2,000 12
* Matria Healthcare Inc. 12,400 105
Mattel, Inc. 15,310 438
* Mattson Technology, Inc. 4,400 47
* Maxim Integrated Products, Inc. 3,600 98
* Maverick Tube Corp. 400 5
May Department Stores Co. 14,200 621
Maytag Corp. 6,000 125
* McAfee Associates, Inc. 3,271 160
McClatchy Newspapers, Inc. 1,500 41
McCormick & Co., Inc. 4,100 90
McDermott International, Inc. 4,500 94
McDonald's Corp. 39,600 1,851
McDonnell Douglas Corp. 12,200 592
The McGraw-Hill Cos. 5,400 247
McKesson Corp. 2,100 100
* McMoRan Oil and Gas 1,700 5
The Mead Corp. 2,900 150
* Medaphis Corp. 3,200 127
* Medar, Inc. 3,642 37
* Medco Research, Inc. 5,100 50
Media General, Inc. Class A 3,800 142
* Medic Computer Systems, Inc. 1,100 89
* Medicis Pharmaceutical Corp. 600 25
* Medical Graphics Corp. 9,700 79
Meditrust 3,400 113
* MedPartners/Mullikin, Inc. 2,500 52
* Medplus, Inc. 1,800 26
Medtronic, Inc. 13,300 745
Mellon Bank Corp. 7,836 447
Melville Corp. 5,600 227
Mentor Corp. 5,704 145
* Mentor Graphics Corp. 5,900 96
Mercantile Bancorp, Inc. 3,600 160
Mercantile Bankshares Corp. 2,200 56
Mercantile Stores Co., Inc. 2,100 123
Merck & Co., Inc. 69,409 4,486
Mercury Finance Co. 9,399 120
Mercury General Corp. 1,500 66
Meredith Corp. 3,450 144
* Merisel, Inc. 2,400 9
Merrill Lynch & Co., Inc. 9,400 612
* Mesa Airlines, Inc. 1,500 18
Methode Electronics, Inc. Class A 6,849 118
* Metra Biosystems, Inc. 1,900 10
* Metromail Corp. 1,000 22
* Fred Meyer, Inc. 1,400 41
Michael Foods, Inc. 7,900 91
* Micrion Corp. 2,000 29
* Micro Warehouse Inc. 1,800 36
* Micron Electronics, Inc. 5,000 61
Micron Technology Inc. 11,800 305
* Microsoft Corp. 32,100 3,854
* Microwave Power Devices, Inc. 4,700 30
Mid Am Inc. 6,413 118
Mid-America Realty Investments 7,200 63
MidAmerican Energy Co. 4,800 83
* Mid Atlantic Medical Services 4,000 57
Mid Atlantic Realty Trust 3,650 36
Mid-Iowa Financial Corp. 12,000 77
Herman Miller, Inc. 3,100 95
Millipore Corp. 2,100 88
* Milwaukee Land Co. 5,500 37
Minerals Technologies, Inc. 1,200 41
Minnesota Mining &
Manufacturing Co. 23,700 1,635
Minnesota Power & Light Co. 2,500 73
* Mirage Resorts, Inc. 4,950 267
Mississippi Chemical Corp. 1,000 20
Mitchell Energy & Development
Corp. Class A 2,200 42
* Mizar Inc. 1,000 7
Mobil Corp. 22,300 2,500
* Mobile Telecommunications
Technologies Corp. 2,700 39
* MobileMedia Corp. 3,000 36
* Mobley Environmental Services, Inc.
Class A 6,600 6
Modine Manufacturing Co. 2,538 67
* Mohawk Industries, Inc. 3,700 66
* Molecular Biosystems, Inc. 597 5
Molex, Inc. 4,656 149
* Molten Metal Technology 1,000 29
The Money Store 3,000 66
Monsanto Co. 33,400 1,085
Montana Power Co. 2,800 62
J.P. Morgan & Co., Inc. 10,700 905
Morgan Stanley Group, Inc. 8,700 427
Morrison Fresh Cooking Inc. 1,437 8
Morrison Health Care Inc. 3,316 46
* Morrison-Knudsen Co., Inc. 3,700 3
Morton International, Inc. 8,400 313
* Mortons Restaurant Group 2,456 43
Motorola, Inc. 33,500 2,106
* Mueller Industries Inc. 2,100 87
* Multicare Cos., Inc. 1,200 23
Murphy Oil Corp. 2,600 118
</TABLE>
14
<PAGE> 15
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- -------------------------------------------------------------------------
<S> <C> <C>
Mylan Laboratories, Inc. 6,650 $ 115
* NFO Research Inc. 6,097 143
NGC Corp. 6,000 90
* NHP, Inc. 2,300 47
NIPSCO Industries, Inc. 3,500 141
NUI Corp. 400 7
Nabisco Holdings Corp. Class A 2,800 99
* Nabors Industries, Inc. 4,500 73
Nalco Chemical Co. 3,800 120
Nashua Corp. 2,586 33
National City Corp. 15,100 530
National Community Bancorp 2,850 90
* National Education Corp. 8,600 123
National Fuel & Gas Co. 1,900 68
* National Lodging Corp. 260 4
* National Medical Financial
Services Corp. 2,500 18
National Presto Industries, Inc. 2,200 84
National Re Holdings Corp. 2,600 98
* National Semiconductor Corp. 6,800 105
National Service Industries, Inc. 2,800 110
* National Western Life Insurance Co.
Class A 200 14
NationsBank Corp. 17,012 1,406
* Natural Wonders 4,300 25
* Navigators Group, Inc. 2,000 36
* Navistar International Corp. 4,000 39
* Nellcor Puritan Bennett, Inc. 1,304 63
Thomas Nelson, Inc. 2,750 37
* Neoprobe Corp. 6,300 111
* Neostar Retail Group 6,500 33
* Netcom On-line Communication
Services, Inc. 1,600 43
* Netframe Systems Inc. 14,800 65
* Netmanage, Inc. 3,000 33
* Netscape Communications Corp. 4,300 268
* Network Express, Inc. 400 4
* Network General Corp. 4,800 103
* Neurogen Corp. 680 17
Nevada Power Co. 2,300 51
New England Electric System 3,600 131
* New Mexico & Arizona Land Co. 2,292 29
New Plan Realty Trust 5,000 106
New York State Electric & Gas Corp. 3,700 90
New York Times Co. Class A 5,200 170
Newell Co. 9,000 276
Newmont Gold Co. 6,000 302
Newmont Mining Corp. 5,343 264
* Nexstar Pharmaceuticals Inc. 7,912 174
* Nextel Communications 11,163 213
Niagara Mohawk Power Corp. 12,500 97
NICOR, Inc. 2,300 65
Nike, Inc. Class B 8,200 843
* Nine West Group, Inc. 2,100 107
Noble Affiliates, Inc. 2,500 94
* Noble Drilling Corp. 11,200 155
* Noodle Kidoodle Inc. 5,000 38
NorAm Energy Corp. 9,300 101
* Nord Resources Corp. 4,000 19
Nordson Corp. 1,700 97
Nordstrom, Inc. 4,100 182
Norfolk Southern Corp. 7,300 619
North American Mortgage Co. 2,700 47
* North American Vaccine, Inc. 1,739 32
North Side Savings Bank 2,315 80
Northeast Utilities 6,700 90
Northern States Power Co. 3,500 173
Northern Trust Corp. 2,950 171
Northrop Grumman Corp. 3,300 225
* Northwest Airlines Corp. Class A 4,600 181
Northwest Natural Gas Co. 700 25
Northwest Savings Bank 5,800 67
Norwest Corp. 22,080 770
* NovaCare, Inc. 7,100 54
* Novavax, Inc. 6,110 44
* Novell, Inc. 20,000 276
* Novellus Systems, Inc. 2,300 83
Nucor Corp. 4,800 243
* Nu-Kote Holding, Inc. Class A 2,800 46
Numerex Corp. 500 3
* nVIEW Corp. 3,300 17
NYNEX Corp. 24,700 1,173
* OHM Corp. 5,700 40
* OIS Optical Imaging Systems, Inc. 3,000 9
* Oakley, Inc. 1,900 86
Oakwood Homes Corp. 4,100 85
* Objective Systems Integrators, Inc. 1,700 62
Occidental Petroleum Corp. 18,100 448
* Oceaneering International, Inc. 110 2
* Octel Communications Corp. 7,400 145
* Office Depot, Inc. 8,925 182
* Officemax Inc. 3,900 93
* Offshore Logistics, Inc. 4,000 56
Ogden Corp. 4,500 82
Ohio Casualty Corp. 1,600 56
Ohio Edison Co. 8,700 190
Oklahoma Gas & Electric Co. 1,900 75
* Old Dominion Freight Line, Inc. 4,000 40
Old Kent Financial Corp. 2,315 91
Old Republic International Corp. 4,050 87
Olin Corp. 1,400 125
Olsten Corp. 3,950 116
Omnicare, Inc. 3,600 95
Omnicom Group Inc. 3,900 181
</TABLE>
15
<PAGE> 16
STATEMENT OF NET ASSETS (continued)
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
<S> <C> <C>
- -------------------------------------------------------------------------
* Omega Health Systems, Inc. 5,700 $ 36
Omega Healthcare Investors, Inc. 2,400 66
* Omnipoint Corp. 2,000 52
* Oncor Inc. 4,869 27
One Valley Bancorp of
West Virginia Inc. 2,400 83
* Ontrak Systems, Inc. 600 10
* Oracle Corp. 36,225 1,429
Orange & Rockland Utilities, Inc. 2,500 92
Orange-Co Inc. 1,900 15
* OraVax, Inc. 1,400 11
* Oregon Metallurgical Corp. 2,100 61
* Organogenesis, Inc. 4,750 96
* OrNda Healthcorp 2,769 66
* Oryx Energy Co. 6,000 97
Otter Tail Power Co. 2,098 68
* Outback Steakhouse 2,200 76
Overseas Shipholding Group Inc. 1,900 34
* Owens Corning 2,800 120
* Owens-Illinois, Inc. 6,100 98
* Oxford Health Plan 4,000 164
* PDT, Inc. 1,000 33
PECO Energy Corp. 11,800 307
PHH Corp. 1,400 80
* PHP Healthcare Corp. 4,200 132
The PMI Group Inc. 1,600 68
PNC Bank Corp. 19,335 575
PP&L Resources Inc. 9,100 215
PPG Industries, Inc. 10,500 512
* PRI Automation, Inc. 2,200 68
Paccar, Inc. 2,225 109
Pacific Enterprises 4,700 139
Pacific Gas & Electric Co. 23,300 542
Pacific Telesis Group 24,300 820
* Pacificare Health Systems Inc.
Class A 500 33
* Pacificare Health Systems Inc.
Class B 1,200 81
PacifiCorp 15,800 352
* Paging Network Inc. 5,900 140
PaineWebber Group, Inc. 5,600 133
* Pairgain Technologies, Inc. 1,800 112
Pall Corp. 6,066 146
PanEnergy Corp. 8,600 283
* Parametric Technology Corp. 7,200 312
* Parcplace-Digitalk Inc. 400 4
* Park-Ohio Industries, Inc. 4,400 86
Parker & Parsley Petroleum Co. 3,700 103
Parker Hannifin Corp. 4,100 174
* Parkervision, Inc. 400 5
Parkway Co. 6,600 103
Paul Revere Corp. 2,400 66
Paychex, Inc. 3,875 186
* Payless ShoeSource, Inc. 2,080 66
* Pec Israel Economic Corp. 2,800 51
* The Penn Traffic Co. 4,000 34
J.C. Penney Co., Inc. 12,700 667
Pennsylvania Enterprises Inc. 983 39
Pennzoil Co. 2,700 125
Pentair, Inc. 3,600 108
* People's Choice TV Corp. 2,200 40
Peoples Energy Corp. 3,200 107
Peoples First 3,748 85
* Peoplesoft Inc. 2,700 192
Pep Boys (Manny, Moe & Jack) 3,200 109
PepsiCo, Inc. 88,700 3,138
* Performance Food Group Co. 300 8
Perkin-Elmer Corp. 2,200 106
* Perrigo Co. 6,900 78
* Perseptive Biosystems 600 6
* Pete's Brewing Co. 600 9
* Petrie Stores Corp. Litigation Trust
Units of Beneficial Interest 3,500 10
* Petrocorp, Inc. 4,822 47
Petroleum Heat & Power Co. 9,600 73
Petrolite Corp. 1,900 60
* PETsMART, Inc. 2,774 132
Pfizer, Inc. 36,100 2,577
* Pharmaceutical Markets 4,100 40
Phelps Dodge Corp. 3,600 225
* Philadelphia Consolidated
Holding Corp. 1,800 34
Philip Morris Cos., Inc. 47,000 4,888
Phillips Petroleum Co. 14,900 624
Phillips-Van Heusen Corp. 1,200 15
* Phoenix Network, Inc. 600 3
* Phycor, Inc. 2,550 97
* Physician Corp. of America 1,800 24
* Physician Reliance Network, Inc. 2,700 61
* Physician Sales & Service, Inc. 1,600 39
* Physicians Insurance Co. of Ohio 1,400 34
* Physio-Control International Corp. 2,400 42
* PictureTel Corp. 2,800 110
Pier 1 Imports Inc. 8,505 127
* Pinnacle Micro Inc. 3,750 33
Pinnacle West Capital Corp. 4,800 146
Pioneer Group Inc. 3,400 91
Pioneer Hi Bred International 4,800 254
Pioneer Standard Electronics Inc. 7,200 95
Pitney Bowes, Inc. 8,100 387
* Pittencrieff Communication, Inc. 6,331 42
Pittston Brink's Group 3,700 108
Pittston Burlington Group 1,050 23
* Pizza Inn, Inc. 9,200 40
</TABLE>
16
<PAGE> 17
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- -------------------------------------------------------------------------
<S> <C> <C>
* Plains Resources 1,117 $ 15
* Planet Hollywood International, Inc.
Class A 3,600 97
* Planet Polymer Technology, Inc. 5,200 45
* Plantronics, Inc. 1,300 48
* Platinum Software Co. 1,274 9
Plenum Publishing Corp. 500 17
Poe & Brown, Inc. 2,900 71
Pogo Producing Co. 4,700 179
Polaroid Corp. 2,300 105
* Policy Management Systems Corp. 2,900 145
Portland General Electric Co. 2,500 77
Post Properties, Inc. 2,700 96
Potlatch Corp. 1,200 47
Potomac Electric Power Co. 6,700 178
Praxair, Inc. 8,800 372
Premark International, Inc. 3,300 61
* Premier Farnell PLC ADR 1,645 34
* Premier Farnell PLC Cvt. Pfd. ADR 1,326 34
* Premisys Communications, Inc. 2,300 140
* Presstek, Inc. 700 45
* Price/Costco Inc. 11,086 238
T. Rowe Price Associates, Inc. 2,600 80
Price REIT, Inc. 700 23
Procter & Gamble Co. 38,800 3,516
Production Operators Corp. 2,900 99
Progressive Corp. of Ohio 4,000 185
* Project Software & Development, Inc. 400 19
* Promus Hotel Corp. 2,700 80
Protective Life Corp. 3,000 105
* Proteon Inc. 600 2
Provident Cos., Inc. 2,400 89
Providian Corp. 4,900 210
* Proxim, Inc. 1,800 72
Public Service Co. of Colorado 3,500 129
Public Service Enterprise Group Inc. 13,900 381
Public Storage, Inc. 3,986 82
Public Storage Properties XI-Class A 100 2
Public Storage Properties XV-Class A 800 15
* Pudgie's Chicken, Inc. 7,100 31
Puerto Rican Cement Co., Inc. 2,900 90
Puget Sound Power & Light Co. 3,600 87
* QLogic Corp. 1,473 15
The Quaker Oats Co. 7,700 263
* Qualcomm, Inc. 3,500 186
* Quality Systems, Inc. 1,600 29
* Quantum Corp. 2,900 42
Questar Corp. 1,700 58
The Quick & Reilly Group, Inc. 4,634 151
* Quickturn Design Systems, Inc. 5,800 84
* Quiksilver, Inc. 2,900 88
* Quintiles Transnational Corp. 1,100 72
* Quorum Health Group, Inc. 2,600 69
R.L.I. Corp. 2,625 64
RJR Nabisco Holdings Corp. 15,499 480
RPM Inc. (Ohio) 3,625 57
* Racotek, Inc. 7,000 33
* RailTex, Inc. 994 25
* Rainbow Technologies, Inc. 4,000 80
* Ralcorp Holdings Inc. 3,533 73
Ralston-Ralston Purina Group 6,015 386
Raychem Corp. 2,300 165
Rayonier Inc. 3,100 118
Raytheon Co. 13,600 702
* Read-Right Corp. 2,200 31
Reader's Digest Assn., Inc. Class A 6,100 259
* Reading & Bates Corp. 5,100 113
* Recovery Engineering, Inc. 4,600 59
* Reddi Brake Supply Corp. 800 2
Reebok International Ltd. 3,900 131
* Regent Assisted Living, Inc. 1,500 11
Regions Financial Corp. 4,318 202
Regis Corp. 3,300 102
Reinsurance Group of America, Inc. 1,700 64
Reliance Group Holdings 4,000 30
Reliastar Financial Corp. 1,685 73
* Remedy Corp. 1,200 87
* Renaissance Communications 3,200 103
* Republic Industries, Inc. 9,200 269
Republic New York Corp. 3,100 193
* Research Medical, Inc. 3,610 80
* Resound Corp. 5,200 66
* Retirement Care Associates, Inc. 8,268 91
* Revco Drug Stores, Inc. 3,100 74
Reynolds & Reynolds Class A 2,100 112
Reynolds Metals Co. 3,500 182
* Rhodes Inc. 200 2
Rhone-Poulenc Rorer, Inc. 7,700 517
Riggs National Corp. 1,900 23
Rite Aid Corp. 4,600 137
Roadway Express Inc. 1,000 14
* Robert Half International, Inc. 7,000 195
Rochester Gas and Electric Corp. 1,900 41
* Rochester Medical Corp. 2,300 42
Rockwell International Corp. 12,300 704
* Rogers Corp. 4,000 99
Rohm & Haas Co. 3,800 238
* Rohr, Inc. 6,600 138
* Rollins Environmental Services, Inc. 2,800 11
Rollins, Inc. 3,600 85
Rollins Truck Leasing 6,750 70
* Ronson Corp. 2,400 7
Roosevelt Financial Group 4,800 93
Roper Industries Inc. 3,236 155
</TABLE>
17
<PAGE> 18
STATEMENT OF NET ASSETS (continued)
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- -------------------------------------------------------------------------
<S> <C> <C>
* Ross Technology, Inc. 1,000 $ 12
Rouse Co. 4,700 122
* Rowan Cos., Inc. 13,700 202
* Royal Appliance Manufacturing Co. 6,014 35
Rubbermaid, Inc. 8,100 221
Ruby Tuesday, Inc. 2,875 65
Russell Corp. 2,200 61
* Ryan's Family Steak Houses, Inc. 8,000 75
Ryder System, Inc. 4,300 121
SBC Communications Inc. 34,500 1,699
* SCI Systems, Inc. 1,600 65
* SGII International 650 4
S-K-I, Ltd. 2,191 39
* SMC Corp. 1,200 12
* SPS Technologies, Inc. 824 58
* SPS Transaction Services 1,400 25
* S3, Inc. 1,000 12
SAFECO Corp. 7,200 255
* Safeguard Scientifics, Inc. 1,303 102
Safety-Kleen Corp. 8,700 152
* Safeway, Inc. 11,600 383
* Saga Communications, Inc. 6,875 149
St. Joe Corp. 1,600 103
* St. Jude Medical, Inc. 3,900 130
St. Mary Land & Exploration Co. 2,372 39
St. Paul Bancorp, Inc. 3,953 91
St. Paul Cos., Inc. 4,700 251
Salomon, Inc. 5,500 242
* John B. Sanfilippo & Son, Inc. 5,600 35
* Santa Fe Energy Resources, Inc. 7,800 93
Santa Fe Pacific Gold Corp. 7,440 105
Sara Lee Corp. 25,800 835
* Satcon Technology Corp. 3,007 28
Savannah Foods & Industries, Inc. 4,800 62
SCANA Corp. 5,600 158
* R. P. Scherer Corp. 2,200 100
* Scherer Health 3,200 14
Schering-Plough Corp. 19,700 1,236
Schlumberger Ltd. 12,900 1,087
Schnitzer Steel Industries, Inc.
Class A 2,000 53
* Scholastic Corp. 1,900 118
* Schuler Homes Inc. 1,700 12
Schuller Corp. 8,800 91
A. Schulman Inc. 1,900 46
Charles Schwab Corp. 9,900 243
Schweitzer-Mauduit
International, Inc. 850 24
* Sciclone Pharmaceuticals 800 11
Scientific-Atlanta, Inc. 4,000 62
* Scientific Games Holdings Corp. 3,200 92
* Scios, Inc. 2,300 15
* Scopus Technology, Inc. 2,400 38
* The Score Board, Inc. 16,500 77
* Scotts Co. 5,200 91
E.W. Scripps Co. 4,000 186
Seacoast Banking Corp. of Florida
Class A 3,200 70
* Seagate Technology 8,684 391
* Sealed Air Corp. 2,000 67
Sears, Roebuck & Co. 22,200 1,079
* Seattle FilmWorks, Inc. 2,250 37
Security Capital Corp. 1,900 113
Security Capital Industrial Trust 4,083 72
Security Capital Pacific Inc. 3,300 72
* Security Dynamics Technologies, Inc. 1,200 99
* Security First Network Bank 747 25
Sensormatic Electronics Corp. 3,500 57
* Sepracor Inc. 6,900 104
* Sequa Corp. Class A 1,456 63
* Sequent Computer Systems, Inc. 4,100 55
* Sequus Pharmaceuticals, Inc. 4,600 92
Service Corp. International 6,400 368
* Service Merchandise Co., Inc. 4,100 23
Shared Medical Systems Corp. 2,937 189
Shaw Industries, Inc. 7,000 92
Sherwin-Williams Co. 4,400 205
* Shiva Corp. 1,600 128
* Shoe Carnival, Inc. 650 3
* Shoney's Inc. 5,700 62
* Show Biz Pizza Time, Inc. 7,500 116
Showboat, Inc. 3,600 108
* Shuffle Master, Inc. 2,833 42
* Sierra On-line, Inc. 1,800 79
* Sierra Semiconductor 3,466 40
Sigma Aldrich Corp. 2,500 133
* Signal Technology Corp. 4,147 32
Signet Banking Corp. 2,933 68
* Silicon Graphics, Inc. 8,200 197
* Silicon Valley Research, Inc. 3,100 18
* Silver King Communications 2,720 81
Simon Property Group 3,000 73
* Sitel Corp. 2,200 92
Sizzler International 13,700 43
Sizzlers Property Investors, Inc. 4,100 36
* Smith Corona 12,400 2
A.O. Smith Corp. 1,500 38
* Smith International, Inc. 5,200 157
* Smithfield Foods, Inc. 3,600 90
Smiths Food & Drug Centers, Inc.
Class B 1,166 28
Snap-On Inc. 2,100 99
* Sofamor/Danek Group Inc. 1,100 31
* Softdesk, Inc. 1,300 12
</TABLE>
18
<PAGE> 19
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- -------------------------------------------------------------------------
<S> <C> <C>
* Softkey International, Inc. 2,400 $ 46
* Software Spectrum, Inc. 2,400 55
* Solectron Corp. 2,700 102
Somerset Group, Inc. 4,125 67
Sonat, Inc. 4,600 207
Sonat Offshore Drilling Co. 1,400 71
Sonoco Products 5,000 142
Sotheby's Holdings Class A 6,300 91
Southdown, Inc. 4,400 103
Southeastern Michigan Gas &
Electric 2,922 50
Southern Co. 37,000 911
Southern National Corp. 5,600 178
Southern New England
Telecommunications Corp. 3,500 147
* Southern Pacific Rail Corp. 8,100 203
* Southern Union Co. 5,362 118
* Southland Corp. 18,400 56
SouthTrust Corp. 8,348 236
Southwest Airlines Co. 7,850 229
Southwest Bancshares, Inc. 1,184 32
Southwestern Public Service Co. 1,700 55
Sovereign Bancorp, Inc. 2,425 24
Spacetec IMC Corp. 2,400 36
Spartan Motors, Inc. 5,800 44
* Spectran Corp. 4,200 82
* Spectranetics Corp. 2,000 11
* Spectrum Holobyte 2,000 11
* Speedfam International, Inc. 700 11
* Speedway Motorsports, Inc. 2,600 67
* Spelling Entertainment 8,400 64
Spiegel, Inc. Class A 8,500 100
Spieker Properties, Inc. 3,000 82
* Sportmart Inc. 3,650 14
* Sportmart Inc. Class A 3,650 10
Springs Industries Inc. Class A 2,200 111
Sprint Corp. 23,940 1,005
* Spyglass, Inc. 1,800 38
* Stac, Inc. 70 1
* Standard Commercial Tobacco Co. 6,057 73
Standard Federal Bank 3,400 131
Standard Financial, Inc. 800 13
Standard Motor Products, Inc. 1,800 32
Standard Products Co. 3,700 86
The Standard Register Co. 1,100 27
Stanhome, Inc. 2,300 61
The Stanley Works 4,800 143
* Staodynamics Inc. 8,300 13
* Staples, Inc. 8,325 162
Star Banc Corp. 1,400 94
* Starbucks Corp. 4,000 113
* StarSight Telecast, Inc. 2,500 23
* Starter Corp. 8,200 71
State Street Boston Corp. 4,300 219
* Station Casinos, Inc. 5,900 84
* Steris Corp. 3,054 98
* Sterling Chemicals, Inc. 6,500 76
* Sterling Commerce, Inc. 4,000 149
* Sterling Software, Inc. 1,700 131
Stewart & Stevenson Services, Inc. 3,000 67
Stewart Enterprises, Inc. Class A 2,250 71
Stone Container Corp. 5,700 78
* Stop & Shop Cos. Inc. 4,700 157
* Storage Technology Corp. 2,396 92
* StrataCom, Inc. 4,000 226
* Strategic Distribution, Inc. 5,800 45
* Stratosphere Corp. 2,700 16
* Strattec Strategy Corp. 2,100 37
Stride Rite Corp. 6,600 54
Stryker Corp. 5,400 123
Student Loan Marketing Assn. 3,500 259
* Studio Plus Hotels, Inc. 1,300 43
* Styles on Video, Inc. 5,850 3
Sullivan Dental Products, Inc. 1,000 10
Sumitomo Bank of California 2,700 66
Summit Bancorp 6,613 232
* Summit Care Corp. 4,100 92
Sun Co., Inc. 3,537 107
* Sun Healthcare Group, Inc. 2,700 38
* Sun Microsystems, Inc. 9,900 583
SunAmerica Inc. 2,950 167
Sunbeam Corp. 7,600 112
* Sunbelt Nursery Group, Inc. 400 1
Sundstrand Corp. 3,000 110
* SunGard Data Systems, Inc. 2,000 80
* Sunglass Hut International, Inc. 4,800 117
* Sunrise Medical, Inc. 2,100 40
SunTrust Banks, Inc. 12,200 451
* Supercuts, Inc. 1,400 12
Superior Industries International, Inc. 1,400 37
Superior Surgical Manufacturing
Co., Inc. 5,900 70
SuperValu Inc. 3,200 101
* Supreme International Corp. 2,100 37
* Swift Transportation Co., Inc. 1,800 34
* Sybase, Inc. 3,840 91
* Sybron Corp. 6,004 150
* Symantec Corp. 2,400 30
* Symbol Technologies, Inc. 1,300 58
* Synagro Technologies Inc. 4,100 4
* Syncor International Corp. 2,300 30
* Synopsys, Inc. 2,900 116
Synovus Financial Corp. 6,250 135
Sysco Corp. 9,800 336
</TABLE>
19
<PAGE> 20
STATEMENT OF NET ASSETS (continued)
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- -------------------------------------------------------------------------
<S> <C> <C>
* TBC Corp. 7,800 $ 68
TCF Financial Corp. 3,178 106
TECO Energy, Inc. 6,300 159
* TESSCO Technologies, Inc. 300 11
TIG Holdings, Inc. 2,800 81
TJX Cos., Inc. 3,600 122
* T.P.I. Enterprises, Inc. 900 3
* TRO Learning, Inc. 600 10
TRW, Inc. 3,600 324
* TST Impreso, Inc. 200 2
Tab Products 9,100 67
Talbots Inc. 1,800 58
Tambrands, Inc. 1,700 69
* Tandem Computers, Inc. 5,700 71
Tandy Corp. 3,400 161
Tanger Factory Outlet Centers, Inc. 1,289 30
Tappan Zee Financial, Inc. 700 8
* Target Therapeutics, Inc. 3,044 125
* Tatham Offshore, Inc. 6,300 6
Taubman Co. REIT 9,500 106
* Tech Data Corp. 6,800 148
* Techne 3,800 114
* Technical Chemicals and
Products, Inc. 4,200 60
* Technology Solutions Co. 4,400 153
* Tech-Sym Corp. 1,298 39
* Tecnol Medical Products Inc. 5,400 103
Tecumseh Products Co. Class A 2,200 119
Tecumseh Products Co. Class B 1,000 52
* Tejas Gas Corp. 2,475 86
Tektronix, Inc. 1,600 72
* Telco Systems, Inc. 500 9
* Tele-Communications, Inc. Class A 36,442 658
Tele-Communications
International, Inc. Series A 6,500 115
Teledyne Inc. 3,000 108
Teleflex Inc. 1,937 92
Telephone & Data Systems, Inc. 3,000 135
* Tellabs, Inc. 4,800 321
* Telular Corp. 6,400 38
Temple-Inland Inc. 3,100 145
* Tencor Instruments 1,700 32
* Tenet Healthcare Corp. 11,322 242
Tenneco, Inc. 9,300 475
* Teradyne, Inc. 4,800 83
Terra Industries, Inc. 7,500 93
Terra Nitrogen Co., LP 3,089 119
Texaco, Inc. 14,100 1,183
Texas Instruments, Inc. 10,100 504
Texas Utilities Co. 12,093 517
Textron, Inc. 4,600 367
* Theragenics Corp. 3,558 55
* Thermedics, Inc. 5,700 142
* Thermo Cardiosystems Inc. 1,800 81
Thermo Electron Corp. 7,162 298
* Thermo Fibertek, Inc. 5,550 94
* Thermo Instrument Systems, Inc. 4,925 159
* Thermo Voltek 5,700 110
* Thermolase Corp. 2,200 60
* Thermotrex Corp. 2,000 99
Thomas & Betts Corp. 2,000 75
Thornburg Mortgage Asset Corp. 5,900 96
* 3 Com Corp. 9,500 434
* 3DO Co. 4,200 45
* 360 Communications Co. 15,746 378
Tidewater, Inc. 3,400 149
Tiffany & Co. 1,600 117
Timberline Software Corp. 3,517 33
Time Warner, Inc. 20,600 809
Times Mirror Co. Class A 5,800 252
The Timkin Co. 1,600 62
Today's Bancorp 3,300 98
* Todd Shipyards Corp. 4,753 36
* Todhunter International, Inc. 4,200 38
* Toll Brothers, Inc. 6,100 100
Tootsie Roll Industries, Inc. 1,236 44
* The Topps Co., Inc. 9,400 52
Torch Energy Royalty Trust 3,100 29
Torchmark Corp. 3,800 166
The Toro Co. 3,100 103
Tosco Corp. 2,100 106
* Total Containment 2,100 7
Total Petroleum (North America) Ltd. 2,800 27
* Total Renal Care Holdings, Inc. 2,400 101
Total System Services, Inc. 6,400 146
Town & Country Trust 7,300 96
* Toys R Us, Inc. 14,540 414
* Tractor Supply Co. 2,700 62
* Trak Auto Corp. 1,200 20
* Trans World Gaming Corp. 2,200 5
Transamerica Corp. 3,500 283
Transatlantic Holdings 1,200 84
Transpo Inc. 900 6
* Transport Holdings, Inc. Class A 84 4
* TransTexas Gas Corp. 10,000 91
* TransWorld Home Healthcare, Inc. 374 3
Travelers Group Inc. 25,652 1,170
Tredegar Industries Inc. 4,500 136
* Tremont Corp. 442 16
* Triad Guaranty, Inc. 1,200 44
* Triangle Pacific Corp. 2,500 50
* Triarc Cos., Inc. 2,000 23
Tribune Co. 3,300 240
* Trident Microsystems, Inc. 1,800 23
</TABLE>
20
<PAGE> 21
<TABLE>
Market
Value
Shares (000)+
- -------------------------------------------------------------------------
<S> <C> <C>
Trimas Corp. 2,400 $ 56
Trinity Industries, Inc. 2,050 70
* Triquint Semiconductor, Inc. 4,200 87
* Triton Energy Ltd. 1,700 83
True North Communications 3,600 80
Trustmark Corp. 800 17
* Tupperware Corp. 3,300 139
Turner Broadcasting Class B 12,000 330
* 20th Century Industries of CA 5,100 85
Tyco International Ltd. 8,250 336
* Tyler Corp. 12,500 34
Tyson Foods, Inc. 8,000 218
* UAL Corp. 3,000 161
* UCAR International, Inc. 2,100 87
UNR Industries, Inc. 11,100 108
UNUM Corp. 3,800 237
* USA Waste Service 6,800 201
USF&G Corp. 5,200 85
* USG Corp. 3,600 100
UST, Inc. 10,400 356
USX-Delphi Group 4,800 59
USX-Marathon Group 15,900 320
USX-U.S. Steel Group 4,200 119
Ultramar Corp. 2,200 64
Unicom Corp. 11,500 321
Unifi, Inc. 3,200 90
Uniforce Services Inc. 600 12
Union Camp Corp. 3,500 171
Union Carbide Corp. 7,500 298
Union Electric Co. 5,600 225
Union Pacific Corp. 11,000 769
Union Pacific Resources Group, Inc. 1,500 40
Union Planters Corp. 2,600 79
Union Texas Petroleum
Holdings, Inc. 4,100 80
UnionBanCal Corp. 1,800 95
* Uniroyal Technology Corp. 6,900 26
* Unisys Corp. 8,700 62
* Unit Corp. 17,900 119
United Asset Management Corp. 3,200 78
United Dominion Industries Ltd. 4,100 94
United Healthcare Corp. 9,615 486
United Illuminating Co. 2,300 86
* United International Holdings, Inc.
Class A 4,400 62
* United Leisure Corp. 1,800 2
* United States Can Co. 4,291 70
* United States Cellular 4,000 124
* United States Satellite Broadcasting
Co., Inc. Class A 3,400 128
United States Surgical Corp. 2,800 87
United States Trust Corp. 1,049 53
United Technologies Corp. 6,500 747
United Television, Inc. 1,487 144
United Wisconsin 800 21
Unitrin Inc. 1,800 85
* Unitrode Corp. 3,589 70
Universal Corp. 1,800 48
* Universal Electronics, Inc. 1,100 13
Universal Foods Corp. 2,300 85
Unocal Corp. 13,500 456
* Uranium Resources, Inc. 1,000 15
* USDATA Corp., Inc. 1,997 36
USLIFE Corp. 4,200 138
U.S. Bancorp 14,515 523
* U.S. Bioscience 5,050 69
U.S. Healthcare, Inc. 8,300 456
* U.S. Industries, Inc. 4,000 96
* U.S. Robotics Corp. 4,600 393
U S WEST Communications Group 25,400 810
* U S WEST Media Group 25,100 458
Utilicorp United, Inc. 2,200 61
* UUnet Technologies, Inc. 1,900 126
VF Corp. 3,400 203
* Valassis Communication 4,600 85
* Valence Technology 1,000 5
Valero Energy Corp. 5,500 137
Valhi, Inc. 14,500 103
Valley National Bancorp 3,215 82
* ValuJet Inc. 2,000 19
Valspar Corp. 1,100 51
* Value City Department Stores, Inc. 5,200 57
* Value Health, Inc. 2,471 58
Value Line, Inc. 2,600 91
* Vanguard Cellular Systems, Inc.
Class A 4,300 94
Varian Associates, Inc. 1,400 72
* Varity Corp. 1,900 91
Vastar Resources, Inc. 5,200 194
* Vencor, Inc. 4,000 122
* Ventritex Inc. 2,800 48
* Venture Stores, Inc. 5,637 37
* VeriFone, Inc. 2,500 106
Verity, Inc. 1,700 48
* Vertex Industries, Inc. 6,700 12
* Veterinary Centers of America, Inc. 1,740 38
* Viacom International Class A 1,040 40
* Viacom International Class B 20,122 782
* Viasoft, Inc. 1,700 110
* Vicor Corp. 4,800 112
* Video Lottery 500 2
* VideoLan Technologies, Inc. 2,500 52
* Viewlogic Systems, Inc. 2,909 40
* Viking Office Products 4,200 132
</TABLE>
21
<PAGE> 22
STATEMENT OF NET ASSETS (continued)
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- -------------------------------------------------------------------------
<S> <C> <C>
Vintage Petroleum, Inc. 1,100 $ 28
* Vishay Intertechnology, Inc. 2,877 68
* Visix Space Inc. 1,629 55
* Vitesse Semiconductor Corp. 2,200 53
* Vivra, Inc. 3,400 112
* Vmark Software, Inc. 3,602 34
* Volt Information Sciences Inc. 400 18
* Vons Cos., Inc. 3,400 127
Vornado Realty Trust 2,300 94
Vulcan Materials Co. 1,700 101
WCI Steel, Inc. 8,500 45
WD-40 Co. 1,800 84
* WFS Financial, Inc. 1,100 24
* WHX Corp. 6,000 55
* WMS Industries, Inc. 200 5
WMX Technologies Inc. 25,900 848
WPL Holdings, Inc. 1,500 49
WPS Resources Corp. 2,579 82
* Waban, Inc. 6,000 143
Wabash National Corp. 2,550 45
Wachovia Corp. 8,900 389
Wackenhut Corp. 2,008 49
* Wackenhut Corrections Corp. 800 27
* Wainwright Bank & Trust Co. 200 1
Wal-Mart Stores, Inc. 127,200 3,228
Walbro Corp. 2,400 49
Walgreen Co. 12,800 429
* Walker Interactive Systems, Inc. 7,200 73
* Wall Data Inc. 3,404 74
Wallace Computer Services, Inc. 1,000 60
Warnaco Group 2,900 75
Warner-Lambert Co. 14,400 792
Washington Energy Co. 3,000 59
Washington Federal Inc. 4,634 96
Washington Gas Light Corp. 5,600 123
Washington Mutual Inc. 3,600 108
Washington National Corp. 2,100 54
Washington Post Co. Class B 600 194
Washington Real Estate
Investment Trust 4,500 75
Washington Water Power Co. 2,800 52
* Watson Pharmaceuticals, Inc. 1,700 64
Wausau Paper Mills Co. 4,886 98
Waverly, Inc. 4,182 93
* Weatherford Enterra Inc. 2,325 70
* Webco Industries, Inc. 1,400 8
Weingarten Realty Investors 1,500 58
* Weirton Steel 1,900 6
Weis Markets, Inc. 2,400 78
* Wellcare Management Group, Inc. 4,000 37
Wellman, Inc. 1,700 40
Wellpoint Health Networks Inc.
Class A 3,468 108
Wells Fargo & Co. 5,318 1,270
Wellsford Residential Property Trust 2,850 64
Wendy's International, Inc. 6,200 115
Werner Enterprises, Inc. 3,700 96
Wesco Financial Corp. 600 96
* Western Atlas Inc. 2,900 169
Western Investment Real
Estate Trust 7,000 91
Western National Corp. 5,300 97
* Western Pacific Airlines, Inc. 700 10
Western Resources, Inc. 3,100 93
Westinghouse Air Brake Co. 2,200 29
Westinghouse Electric Corp. 22,100 414
Westvaco Corp. 5,350 160
* WetSeal, Inc. Class A 9,800 233
Weyerhaeuser Co. 10,900 463
Wheelabrator Technologies 9,300 142
Whirlpool Corp. 3,800 189
* White River 300 14
Whitman Corp. 5,800 140
Whitney Holdings 3,305 101
* Whole Food Markets, Inc. 3,100 82
Willamette Industries, Inc. 3,000 178
Williams Cos., Inc. 5,205 258
* Clayton Williams Energy, Inc. 5,700 55
* Williams Sonoma, Inc. 2,692 64
Wilmington Trust Corp. 2,900 94
Winn Dixie Stores, Inc. 8,300 294
* Winslow Furniture Co. 6,700 40
* Winter Sports Inc. 3,486 52
* Wireless One, Inc. 2,200 39
* Wisconsin Central
Transportation Corp. 2,700 87
Wisconsin Energy Corp. 5,800 167
Wiser Oil Co. 400 5
Witco Chemical Corp. 2,600 89
Wolohan Lumber Co. 4,222 44
* Wonderware Corp. 1,100 21
* Woolworth Corp. 6,500 146
* WorldCom, Inc. 11,012 609
Worthington Foods 750 13
Worthington Industries, Inc. 5,050 105
Wrigley, (Wm.) Jr. Co. 6,200 313
Wyle Electronics 2,900 96
* Wyman Gordon Corp. 1,800 32
Xerox Corp. 17,400 931
* Xilinx, Inc. 3,600 114
* Xiox Corp. 1,900 6
* Xylan Corp. 2,200 103
</TABLE>
22
<PAGE> 23
<TABLE>
Market
Value
Shares (000)+
- --------------------------------------------------------------------------
<S> <C> <C>
York International Corp. 2,300 $ 119
* York Research Corp. 14,100 150
* Zenith Electronics Corp. 3,400 41
* Zilog Inc. 2,400 58
Zions Bancorp. 1,500 110
Zurich Reinsurance Centre
Holdings, Inc. 3,200 101
- --------------------------------------------------------------------------
TOTAL COMMON STOCKS
(Cost $289,484) 390,618
- --------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Face Market
Amount Value
(000) (000)+
- --------------------------------------------------------------------------
<S> <C> <C>
U.S. GOVERNMENT & AGENCY
OBLIGATIONS (27.4%)
- --------------------------------------------------------------------------
U.S. GOVERNMENT SECURITIES (14.6%)
U.S. Treasury Bonds
8.00%, 11/15/21 $ 950 $ 1,056
8.125%, 8/15/19-8/15/21 10,790 12,121
8.50%, 2/15/20 2,705 3,154
8.75%, 5/15/17-5/15/20 8,205 9,746
8.875%, 8/15/17-2/15/19 3,595 4,320
9.125%, 5/15/18 2,835 3,489
10.375%, 11/15/09-11/15/12 2,950 3,690
13.875%, 5/15/11 200 300
14.00%, 11/15/11 2,865 4,370
U.S. Treasury Notes
5.375%, 11/30/97 750 744
5.625%, 11/30/00 4,200 4,068
5.75%, 8/15/03 3,800 3,619
5.875%, 7/31/97 1,200 1,200
6.25%, 5/31/00-2/15/03 1,450 1,432
6.375%, 3/31/01 2,575 2,564
6.50%, 8/15/97 1,100 1,109
7.00%, 4/15/99 2,900 2,952
7.25%, 2/15/98-8/15/04 5,200 5,363
7.875%, 1/15/98-11/15/04 6,975 7,487
8.00%, 8/15/99 5,335 5,578
8.25%, 7/15/98 5,150 5,354
8.50%, 7/15/97-2/15/00 7,000 7,446
8.625%, 8/15/97 250 257
8.75%, 10/15/97-8/15/00 1,800 1,886
8.875%, 11/15/98 500 529
9.00%, 5/15/98 1,550 1,628
9.125%, 5/15/99 2,050 2,199
-----------
SECTOR TOTAL 97,661
-----------
- --------------------------------------------------------------------------
AGENCY BONDS AND NOTES (.7%)
Federal National Mortgage Assn.
4.95%, 9/30/98 1,250 1,215
5.30%, 3/11/98 1,000 988
5.35%, 8/12/98 1,250 1,228
5.80%, 12/10/03 1,200 1,133
8.625%, 10/18/21 100 104
-----------
SECTOR TOTAL 4,668
-----------
- --------------------------------------------------------------------------
MORTGAGE OBLIGATIONS (12.1%)
Federal Home Loan Mortgage Corp.
5.50%, 9/1/98-1/1/09 417 404
6.00%, 12/1/98-4/1/26 2,779 2,649
6.50%, 1/1/98-3/1/26 6,043 5,777
7.00%, 2/1/97-6/1/26 7,274 7,082
7.50%, 9/1/97-6/1/26 4,466 4,437
8.00%, 7/1/97-3/1/26 2,992 3,029
8.50%, 11/1/06-9/1/25 1,694 1,745
</TABLE>
23
<PAGE> 24
<TABLE>
<CAPTION>
Face Market
Amount Value
(000) (000)+
- --------------------------------------------------------------------------
<S> <C> <C>
9.00%, 1/1/05-5/1/25 $ 993 $ 1,038
9.50%, 8/1/03-2/1/25 623 665
10.00%, 3/1/17-4/1/25 432 468
Federal National Mortgage Assn.
5.50%, 1/1/01-11/1/08 164 156
6.00%, 8/1/00-1/1/26 2,442 2,301
6.50%, 3/1/00-4/1/26 6,422 6,129
7.00%, 5/1/00-5/1/26 8,441 8,196
7.50%, 4/1/99-4/1/26 5,795 5,755
8.00%, 5/1/99-6/1/26 4,181 4,230
8.50%, 10/1/04-6/1/25 1,788 1,840
9.00%, 9/1/04-4/1/25 1,149 1,201
9.50%, 4/1/05-5/1/22 574 615
10.00%, 7/1/05-8/1/21 191 206
10.50%, 8/1/20 49 54
Government National
Mortgage Assn.
6.00%, 3/15/09-1/15/26 772 716
6.50%, 9/15/08-4/15/26 2,587 2,438
7.00%, 5/15/08-3/15/26 4,866 4,691
7.50%, 5/15/08-3/15/26 4,494 4,449
8.00%, 4/15/02-6/15/26 4,042 4,097
8.50%, 7/15/01-6/15/26 1,905 1,965
9.00%, 2/15/04-1/15/26 2,459 2,583
9.50%, 9/15/18-11/15/25 1,059 1,139
10.00%, 10/15/17-2/15/26 753 823
10.50%, 9/15/15-9/15/19 160 176
11.00%, 7/15/13-12/15/15 102 114
12.00%, 2/15/14 74 84
-----------
SECTOR TOTAL 81,252
-----------
- --------------------------------------------------------------------------
TOTAL U.S. GOVERNMENT & AGENCY
OBLIGATIONS (Cost $186,398) 183,581
- --------------------------------------------------------------------------
CORPORATE BONDS (10.8%)
- --------------------------------------------------------------------------
ASSET-BACKED (2.9%)
Banc One Credit Card Master Trust
7.55%, 12/15/99 500 509
Chase Manhattan Credit Card Trust
7.40%, 5/15/00 550 554
8.75%, 8/15/99 275 276
Discover Card Master Trust
5.40%, 11/16/01 3,000 2,933
First Chicago Master Trust
6.25%, 8/15/99 850 849
8.40%, 6/15/98 425 427
First Deposit Master Trust
5.75%, 6/15/01 2,500 2,474
6.05%, 8/15/02 2,500 2,488
MBNA Master Credit Card Trust
6.20%, 8/15/99 850 849
7.75%, 10/15/98 458 461
Sears Credit Account Master Trust
5.90%, 11/15/98 115 115
7.25%, 7/16/01 500 506
7.75%, 9/15/98 550 552
8.10%, 6/15/04 2,500 2,607
Signet Credit Card Master Trust
4.85%, 4/15/00 500 498
Standard Credit Card Master Trust
6.80%, 4/7/01 500 503
7.875%, 1/7/00 2,500 2,571
-----------
SECTOR TOTAL 19,172
-----------
- --------------------------------------------------------------------------
FINANCE (3.8%)
American Express Credit Corp.
8.50%, 6/15/99 175 183
American General Finance Corp.
5.875%, 7/1/00 450 434
8.00%, 2/15/00 1,000 1,036
Associates Corp.
5.875%, 8/15/97 500 498
6.25%, 3/15/99 500 496
7.50%, 4/15/02 350 358
AVCO Financial Services
5.50%, 5/1/98 500 492
BankAmerica Corp.
6.00%, 7/15/97 500 500
7.50%, 10/15/02 200 204
10.00%, 2/1/03 200 230
Bear Stearns Cos., Inc.
6.625%, 1/15/04 300 287
9.125%, 4/15/98 1,000 1,043
Beneficial Corp.
9.125%, 2/15/98 400 416
CIT Group Holdings
6.625%, 6/15/05 350 335
Chase Manhattan Corp.
6.625%, 1/15/98 350 351
7.375%, 6/15/97 500 505
Chrysler Finance Corp.
5.375%, 10/15/98 500 488
5.625%, 1/15/99 425 415
Citicorp
10.15%, 2/15/98 1,600 1,694
Countrywide Funding
7.31%, 8/28/00 400 405
Dean Witter Discover & Co.
6.00%, 3/1/98 2,250 2,237
First Chicago Corp.
11.25%, 2/20/01 400 467
First Union Corp.
8.125%, 6/24/02 500 526
</TABLE>
24
<PAGE> 25
<TABLE>
<CAPTION>
Face Market
Amount Value
(000) (000)+
- --------------------------------------------------------------------------
<S> <C> <C>
Fleet Financial Group
6.875%, 3/1/03 $ 400 $ 393
Ford Motor Credit Corp.
6.25%, 2/26/98 500 499
8.20%, 2/15/02 600 631
General Motors Acceptance Corp.
7.125%, 6/1/99 500 506
9.625%, 12/15/01 600 669
Great Western Finance Corp.
6.375%, 7/1/00 1,000 982
Household Finance Corp.
7.65%, 5/15/07 350 356
Lehman Brothers Holdings, Inc.
5.75%, 2/15/98 750 740
Mellon Financial Corp.
6.50%, 12/1/97 200 200
7.625%, 11/15/99 350 358
Merrill Lynch & Co., Inc.
8.30%, 11/1/02 125 133
9.00%, 5/1/98 250 261
Morgan Stanley Group, Inc.
9.25%, 3/1/98 225 235
NCNB Corp.
9.50%, 6/1/04 275 310
NationsBank Corp.
6.75%, 8/15/00 1,200 1,194
PaineWebber Group Inc.
7.00%, 3/1/00 750 748
Republic Bank of New York
7.75%, 5/15/02 500 519
Sears Roebuck Acceptance Corp.
6.75%, 9/15/05 400 384
Smith Barney Holdings, Inc.
7.98%, 3/1/00 1,300 1,346
Transamerica Financial Corp.
8.375%, 2/15/98 425 437
Travelers/Aetna Property
Casualty Corp.
7.75%, 4/15/26 450 444
U S WEST Financial
8.85%, 9/20/99 500 527
----------
SECTOR TOTAL 25,472
----------
- --------------------------------------------------------------------------
INDUSTRIAL (2.7%)
American Airlines Equipment
Trust Certificates
9.71%, 1/2/07 390 430
American Brands, Inc.
7.875%, 1/15/23 100 101
Anheuser-Busch Co., Inc.
7.375%, 7/1/23 125 120
8.625%, 12/1/16 200 210
Applied Materials, Inc.
8.00%, 9/1/04 125 129
Archer-Daniels-Midland Co.
8.875%, 4/15/11 295 336
Auburn Hills Trust
12.00%, 5/1/20 175 253
BP America, Inc.
8.875%, 12/1/97 1,000 1,035
Burlington Northern
6.875%, 2/15/16 500 454
CSX Corp.
8.625%, 5/15/22 100 109
Conrail Corp.
9.75%, 6/15/20 120 146
Cyprus Minerals
6.625%, 10/15/05 600 562
Deere & Co.
8.50%, 1/9/22 100 110
Delta Airlines Equipment
Trust Certificates
8.54%, 1/2/07 416 433
Eastman Chemical
7.25%, 1/15/24 450 423
Ford Capital BV
9.00%, 8/15/98 600 629
9.375%, 1/1/98 750 781
9.50%, 6/1/10 100 115
General Motors Corp.
9.625%, 12/1/00 950 1,047
W.R. Grace & Co.
7.40%, 2/1/00 600 607
8.00%, 8/15/04 150 156
International Paper Co.
7.625%, 1/15/07 100 101
May Department Stores Co.
9.75%, 2/15/21 120 141
McDonald's Corp.
6.75%, 2/15/03 300 295
Mobil Corp.
7.625%, 2/23/33 175 170
Occidental Petroleum
8.50%, 11/9/01 900 958
J.C. Penney Co., Inc.
6.875%, 6/15/99 750 753
7.125%, 11/15/23 100 92
9.05%, 3/1/01 300 325
PepsiCo, Inc.
6.125%, 1/15/98 250 249
Philip Morris Cos., Inc.
8.25%, 10/15/03 200 211
Phillips Petroleum Co.
9.00%, 6/1/01 1,000 1,081
</TABLE>
25
<PAGE> 26
<TABLE>
<CAPTION>
Face Market
Amount Value
(000) (000)+
- --------------------------------------------------------------------------
<S> <C> <C>
Quaker State
6.625%, 10/15/05 $ 600 $ 569
Sears, Roebuck & Co.
9.25%, 4/15/98 1,250 1,308
Tenneco Inc.
9.875%, 2/1/01 850 939
10.375%, 11/15/00 800 897
Texaco Capital Corp.
7.50%, 3/1/43 150 144
8.875%, 9/1/21 100 114
Union Carbide Corp.
6.75%, 4/1/03 500 489
7.875%, 4/1/23 200 201
Union Oil of California
6.375%, 2/1/04 150 141
9.125%, 2/15/06 160 178
9.25%, 2/1/03 325 358
Union Pacific Corp.
8.625%, 5/15/22 225 239
Whirlpool Corp.
9.00%, 3/1/03 200 220
------------
SECTOR TOTAL 18,359
------------
- --------------------------------------------------------------------------
UTILITIES (1.4%)
Alabama Power Co.
8.75%, 12/1/21 168 179
Arizona Public Service Co.
8.00%, 2/1/25 225 220
Baltimore Gas & Electric
8.375%, 8/15/01 800 850
Carolina Power & Light Co.
6.875%, 8/15/23 275 248
Coastal Corp.
7.75%, 10/15/35 450 435
Connecticut Power and Light Co.
7.625%, 4/1/97 483 484
Consolidated Edison Co.
of New York, Inc.
6.625%, 2/1/02 1,000 983
Enron Corp.
7.125%, 5/15/07 300 294
9.65%, 5/15/01 400 441
GTE Corp.
7.83%, 5/1/23 500 491
Houston Lighting and Power Co.
8.75%, 3/1/22 150 156
MCI Communications Corp.
7.50%, 8/20/04 450 460
7.75%, 3/23/25 350 344
Michigan Bell Telephone Co.
7.50%, 2/15/23 175 170
New York Telephone Co.
7.00%, 8/15/25 200 182
Pacific Bell Corp.
7.25%, 7/1/02 275 279
Southern Bell Corp.
7.625%, 3/15/13 550 544
Southwestern Bell Corp.
7.625%, 10/1/13 175 172
7.625%, 3/1/23 725 710
Texas Utilities Co.
7.125%, 6/1/97 400 403
7.875%, 3/1/23 225 219
8.125%, 2/1/02 400 418
Union Electric Corp.
7.65%, 7/15/03 250 257
Virginia Electric Power Co.
6.625%, 4/1/03 250 243
------------
SECTOR TOTAL 9,182
------------
- --------------------------------------------------------------------------
TOTAL CORPORATE BONDS
(Cost $73,095) 72,185
- --------------------------------------------------------------------------
FOREIGN AND INTERNATIONAL AGENCY BONDS
(DOLLAR DENOMINATED) (1.7%)
- --------------------------------------------------------------------------
Asian Development Bank
9.125%, 6/1/00 500 536
Province of British Columbia
7.00%, 1/15/03 230 231
British Columbia Hydro
12.50%, 9/1/13 500 576
European Investment Bank
8.875%, 3/1/01 275 297
Export Import Bank of Japan
9.00%, 4/15/98 500 522
Grand Metropolitan Investment Corp.
9.00%, 8/15/11 250 290
Hanson Overseas
7.375%, 1/15/03 600 607
Inter-American Development Bank
8.50%, 3/15/11 175 196
International Bank for
Reconstruction & Development
12.375%, 10/15/02 225 287
KFW International Finance, Inc.
7.20%, 3/15/14 300 298
7.625%, 2/15/04 400 413
8.85%, 6/15/99 550 583
Province of Manitoba
7.75%, 2/1/02 825 857
8.75%, 5/15/01 300 323
9.50%, 10/1/00 160 176
</TABLE>
26
<PAGE> 27
<TABLE>
<CAPTION>
Face Market
Amount Value
(000) (000)+
- --------------------------------------------------------------------------
<S> <C> <C>
National Westminster Bancorp Inc.
9.375%, 11/15/03 $ 500 $ 564
New Brunswick
8.75%, 5/1/22 400 455
New Zealand Government
8.75%, 12/15/06 200 223
Noranda Inc.
8.625%, 7/15/02 550 585
Bank of Nova Scotia
6.875%, 5/1/03 250 247
Province of Ontario
7.375%, 1/27/03 175 179
7.75%, 6/4/02 275 287
Philips Electronics NV
8.375%, 9/15/06 300 320
Province of Saskatchewan
8.00%, 7/15/04 1,100 1,152
Kingdom of Thailand
8.25%, 3/15/02 1,200 1,266
- --------------------------------------------------------------------------
TOTAL FOREIGN AND INTERNATIONAL
AGENCY BONDS (Cost $11,643) 11,470
- --------------------------------------------------------------------------
TEMPORARY CASH INVESTMENTS (1.4%)
- --------------------------------------------------------------------------
U.S. TREASURY BILL--NOTE D
5.02%, 7/11/96 900 899
REPURCHASE AGREEMENT
Collateralized by U.S. Government
Obligations in a Pooled
Cash Account 5.35%, 7/1/96 8,406 8,406
- --------------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $9,306) 9,305
- --------------------------------------------------------------------------
TOTAL INVESTMENTS (99.7%)
(Cost $569,926) 667,159
- --------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (.3%)
- --------------------------------------------------------------------------
Other Assets--Notes B and E 9,692
Liabilities--Note E (7,751)
-----------
1,941
- --------------------------------------------------------------------------
NET ASSETS (100%)
- --------------------------------------------------------------------------
Applicable to 50,405,930 outstanding
$.001 par value shares
(authorized 1,000,000,000 shares) $669,100
- --------------------------------------------------------------------------
NET ASSET VALUE PER SHARE $13.27
==========================================================================
</TABLE>
+See Note A to Financial Statements.
*Non-Income Producing Security.
(1)The combined market value of common stocks, Standard & Poor's 500 Index
futures contracts, and Standard & Poor's Midcap 400 Index futures contracts
represents 59.4% of net assets.
ADR--American Depository Receipt.
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------
AT JUNE 30, 1996, NET ASSETS CONSISTED OF:
- ---------------------------------------------------------------------------
AMOUNT PER
(000) SHARE
--------- ------
<S> <C> <C>
PAID IN CAPITAL--NOTE C $560,490 $11.12
UNDISTRIBUTED NET
INVESTMENT INCOME 4,770 .09
ACCUMULATED NET
REALIZED GAINS--NOTE C 6,621 .13
UNREALIZED APPRECIATION
(DEPRECIATION)--NOTE D:
INVESTMENT SECURITIES 97,233 1.93
FUTURES CONTRACTS (14) --
- ---------------------------------------------------------------------------
NET ASSETS $669,100 $13.27
- ---------------------------------------------------------------------------
</TABLE>
27
<PAGE> 28
STATEMENT OF OPERATIONS
<TABLE>
<CAPTION>
Six Months Ended
June 30, 1996
(000)
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INVESTMENT INCOME
INCOME
Dividends . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 3,477
Interest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8,037
- ---------------------------------------------------------------------------------------------------------------------
Total Income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11,514
- ---------------------------------------------------------------------------------------------------------------------
EXPENSES
The Vanguard Group--Note B
Investment Advisory Services . . . . . . . . . . . . . . . . . . . . . . . . $ 29
Management and Administrative . . . . . . . . . . . . . . . . . . . . . . . . 340
Marketing and Distribution . . . . . . . . . . . . . . . . . . . . . . . . . 74 443
Taxes (other than income taxes) . . . . . . . . . . . . . . . . . . . . . . . . 36
Custodian Fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 37
Auditing Fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4
Shareholders' Reports . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 61
Annual Meeting and Proxy Costs . . . . . . . . . . . . . . . . . . . . . . . . . 5
Directors' Fees and Expenses . . . . . . . . . . . . . . . . . . . . . . . . . . 1
- ---------------------------------------------------------------------------------------------------------------------
Total Expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 587
- ---------------------------------------------------------------------------------------------------------------------
Net Investment Income . . . . . . . . . . . . . . . . . . . . . . . . . 10,927
- ---------------------------------------------------------------------------------------------------------------------
REALIZED NET GAIN
Investment Securities Sold . . . . . . . . . . . . . . . . . . . . . . . . . . . 12,222
Futures Contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 858
- ---------------------------------------------------------------------------------------------------------------------
Realized Net Gain . . . . . . . . . . . . . . . . . . . . . . . . . . . 13,080
- ---------------------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Investment Securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,479
Futures Contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26
- ---------------------------------------------------------------------------------------------------------------------
Change in Unrealized Appreciation (Depreciation) . . . . . . . . . . . 6,505
- ---------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets Resulting from Operations . . . . . . . . . $30,512
=====================================================================================================================
</TABLE>
28
<PAGE> 29
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
SIX MONTHS ENDED Year Ended
JUNE 30, 1996 December 31, 1995
(000) (000)
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE IN NET ASSETS
OPERATIONS
Net Investment Income . . . . . . . . . . . . . . . . . . . . . . . . . . $ 10,927 $ 18,643
Realized Net Gain . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13,080 2,980
Change in Unrealized Appreciation (Depreciation) . . . . . . . . . . . . . 6,505 98,148
- -----------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets Resulting from Operations . . . . . . . . 30,512 119,771
- -----------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income . . . . . . . . . . . . . . . . . . . . . . . . . . (7,571) (19,091)
Realized Net Gain . . . . . . . . . . . . . . . . . . . . . . . . . . . . (892) (2,247)
- -----------------------------------------------------------------------------------------------------------------------
Total Distributions . . . . . . . . . . . . . . . . . . . . . . . . . (8,463) (21,338)
- -----------------------------------------------------------------------------------------------------------------------
NET EQUALIZATION CREDITS--Note A . . . . . . . . . . . . . . . . . . . . . . . 849 694
- -----------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS (1)
Issued . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 181,685 172,905
Issued in Lieu of Cash Distributions . . . . . . . . . . . . . . . . . . . 7,776 20,070
Redeemed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (133,374) (104,838)
- -----------------------------------------------------------------------------------------------------------------------
Net Increase from Capital Share Transactions . . . . . . . . . . . . 56,087 88,137
- -----------------------------------------------------------------------------------------------------------------------
Total Increase . . . . . . . . . . . . . . . . . . . . . . . . . . . 78,985 187,264
- -----------------------------------------------------------------------------------------------------------------------
NET ASSETS
Beginning of Period . . . . . . . . . . . . . . . . . . . . . . . . . . . 590,115 402,851
- -----------------------------------------------------------------------------------------------------------------------
End of Period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 669,100 $ 590,115
=======================================================================================================================
(1) Shares Issued and Redeemed
Issued . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13,975 14,759
Issued in Lieu of Cash Distributions . . . . . . . . . . . . . . . . 596 1,647
Redeemed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (10,367) (9,160)
- -----------------------------------------------------------------------------------------------------------------------
4,204 7,246
- -----------------------------------------------------------------------------------------------------------------------
</TABLE>
29
<PAGE> 30
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
Six Months Ended Year Ended December 31,
---------------- ----------------------- September 28 to
For a Share Outstanding Throughout Each Period June 30, 1996 1995 1994 1993 December 31, 1992
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . . . $12.77 $10.34 $10.91 $10.31 $10.00
------- ------- ------- ------- -------
INVESTMENT OPERATIONS
Net Investment Income . . . . . . . . . . . . . .24 .45 .41 .39 .08
Net Realized and Unrealized Gain (Loss)
on Investments . . . . . . . . . . . . . . . .44 2.48 (.58) .63 .31
------- ------- ------- ------- -------
TOTAL FROM INVESTMENT OPERATIONS . . . . .68 2.93 (.17) 1.02 .39
- --------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income . . . . . . (.16) (.45) (.40) (.39) (.08)
Distributions from Realized Capital Gains . . . (.02) (.05) -- (.03) --
------- ------- ------- ------- -------
TOTAL DISTRIBUTIONS . . . . . . . . . . . (.18) (.50) (.40) (.42) (.08)
- --------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . . . $13.27 $12.77 $10.34 $10.91 $10.31
====================================================================================================================
TOTAL RETURN** . . . . . . . . . . . . . . . . . . . +5.35% +28.64% -1.56% +10.00% +3.69%
- --------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- ------------------------
Net Assets, End of Period (Millions) . . . . . . . . $669 $590 $403 $367 $109
Ratio of Total Expenses to Average Net Assets . . . . .19%* .20% .20% .20% .22%*
Ratio of Net Investment Income to
Average Net Assets . . . . . . . . . . . . . . . 3.63%* 3.85% 3.86% 3.53% 3.76%*
Portfolio Turnover Rate . . . . . . . . . . . . . . . 51%*+ 16% 16% 25% 17%
Average Commission Rate Paid . . . . . . . . . . . . $.0210++ N/A N/A N/A N/A
- --------------------------------------------------------------------------------------------------------------------
</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.
+ Fund turnover rate excluding in-kind redemptions was 37%.
++ Represents total commissions paid on portfolio securities divided by the
total number of shares purchased or sold on which commissions were charged.
This disclosure is required by the SEC beginning in 1996.
30
<PAGE> 31
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, and temporary cash investments
acquired over sixty days to maturity, are valued utilizing the latest
quoted 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. Other 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, 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 a 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 redeeming
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
31
<PAGE> 32
STATEMENT OF FINANCIAL STATEMENTS (continued)
(depreciation) related to open futures contracts is required to be treated
as realized gain (loss) for tax purposes.
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 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, 1996, the Fund had contributed capital of $67,000 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, 1996, the Fund made purchases of
$84,604,000 and sales of $75,971,000 of investment securities other than U.S.
Government securities and temporary cash investments. Purchases and sales of
U.S. Government securities were $126,068,000 and $74,045,000, respectively.
During the six months ended June 30, 1996, the Fund realized $6,446,000 of net
capital gains resulting from in-kind redemptions. Such gains are not taxable
income to the Fund and, therefore, will not be distributed to shareholders;
accordingly, such gains have been reclassified from accumulated net realized
gains to paid in capital.
D. At June 30, 1996, unrealized appreciation of investment securities for
financial reporting and Federal income tax purposes was $97,233,000, of which
$113,676,000 related to appreciated securities and $16,443,000 related to
depreciated securities.
At June 30, 1996, the aggregate settlement value of open Standard & Poor's 500
Index and Standard & Poor's Midcap 400 Index futures contracts expiring in
September 1996, the related unrealized depreciation, and the market value of
U.S. Treasury bills deposited as initial margin for those contracts were
$6,751,000, $14,000, and $899,000, respectively.
E. The market value of securities on loan to broker/dealers at June 30, 1996,
was $1,164,000, for which the Fund had received cash collateral of $1,286,000.
32
<PAGE> 33
DIRECTORS AND OFFICERS
JOHN C. BOGLE, Chairman of the Board
Chairman and Director of The Vanguard Group, Inc., and of each of the
investment companies in The Vanguard Group.
JOHN J. BRENNAN, President and Chief Executive Officer
President and Director of The Vanguard Group, Inc., and of each of the
investment companies in The Vanguard Group.
ROBERT E. CAWTHORN, Chairman Emeritus of Rhone-Poulenc Rorer Inc.; Director of
Sun Company, Inc.; Director of Westinghouse Electric Corporation.
BARBARA BARNES HAUPTFUHRER, Director of The Great Atlantic and Pacific Tea Co.,
Alco Standard Corp., Raytheon Co., Knight-Ridder, Inc., and Massachusetts
Mutual Life Insurance Co.
BRUCE K. MACLAURY, President Emeritus of The Brookings Institution; Director of
American Express Bank Ltd., The St. Paul Companies, Inc., and National Steel
Corporation.
BURTON G. MALKIEL, Chemical Bank Chairman's Professor of Economics, Princeton
University; Director of Prudential Insurance Co. of America, Amdahl Corp.,
Baker Fentress & Co., The Jeffrey Co., and Southern New England Communications
Co.
ALFRED M. RANKIN, JR., Chairman, President, and Chief Executive Officer of
NACCO Industries, Inc.; Director of NACCO Industries, The BFGoodrich Co., and
The Standard Products Co.
JOHN C. SAWHILL, President and Chief Executive Officer of The Nature
Conservancy; formerly, Director and Senior Partner of McKinsey & Co. and
President of New York University; Director of Pacific Gas and Electric Co. and
NACCO Industries.
JAMES O. WELCH, JR., Retired Chairman of Nabisco Brands, Inc.; retired Vice
Chairman and Director of RJR Nabisco; Director of TECO Energy, Inc. and Kmart
Corp.
J. LAWRENCE WILSON, Chairman and Chief Executive Officer of Rohm & Haas Co.;
Director of Cummins Engine Co.; Trustee of Vanderbilt University.
33
<PAGE> 34
DIRECTORS AND OFFICERS (continued)
OTHER FUND OFFICERS
RAYMOND J. KLAPINSKY, Secretary; Senior Vice President and Secretary of The
Vanguard Group, Inc.; Secretary of each of the investment companies in The
Vanguard Group.
RICHARD F. HYLAND, Treasurer; Treasurer of The Vanguard Group, Inc., and of
each of the investment companies in The Vanguard Group.
KAREN E. WEST, Controller; Vice President of The Vanguard Group, Inc.;
Controller of each of the investment companies in The Vanguard Group.
OTHER VANGUARD GROUP OFFICERS
<TABLE>
<S> <C>
ROBERT A. DISTEFANO F. WILLIAM MCNABB III
Senior Vice President Senior Vice President
Information Technology Institutional
JAMES H. GATELY RALPH K. PACKARD
Senior Vice President Senior Vice President
Individual Investor Group Chief Financial Officer
IAN A. MACKINNON
Senior Vice President
Fixed Income Group
</TABLE>
34
<PAGE> 35
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 Selected Value Portfolio
Vanguard/Trustees' Equity Fund
U.S. Portfolio
Vanguard/Windsor Fund
Vanguard/Windsor II
BALANCED FUNDS
Vanguard Asset Allocation Fund
Vanguard LifeStrategy Portfolios
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 Horizon Fund
Global Equity Portfolio
Global Asset Allocation Portfolio
Capital Opportunity Portfolio
Aggressive Growth Portfolio
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.
Q022-6/96
VANGUARD
BALANCED
INDEX FUND
SEMI-ANNUAL REPORT
JUNE 30, 1996
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