<PAGE> 1
[VANGUARD BALANCED INDEX FUND LOGO]
ANNUAL REPORT 1995
<PAGE> 2
In this Annual Report, I am delighted to formally introduce you to John J.
Brennan, who, on January 31, 1996, will assume my responsibilities as Chief
Executive Officer of Vanguard Balanced Index Fund and the other Funds in The
Vanguard Group. Mr. Brennan will continue to serve as President of the Funds,
and I will continue to serve as Chairman of the Board.
As a shareholder of the Fund since its inception and as Chairman of
all the Vanguard Funds, I want to tell you that I am enthusiastic and confident
that Jack Brennan is exactly the right person to succeed me as Chief Executive
Officer. To use yet another Vanguard nautical metaphor, he will be the new
captain. He has the qualities of leadership, integrity, intelligence, and
vision that must continue to be Vanguard's hallmark as we move toward, and then
into, the 21st century.
I know that he has these qualities, because Jack Brennan and I have
been working closely together since he joined Vanguard in 1982. He is a
graduate of Dartmouth College and Harvard Business School. He started as
Assistant to the Chairman and, rising like a rocket, became President in 1989.
While, at age 41, he may seem young, he is in fact older than I was when I
became Chief Executive Officer of Vanguard's predecessor organization in 1967,
at the age of 38. Most important of all, Jack is completely dedicated to the
Vanguard character, and believes in our basic mission: serving solely the
shareholder, free of any conflict of interest. He believes in holding our costs
of operation to a minimum, and in retaining our position as the lowest-cost
provider of financial services in the world. He is a true competitor, who
shares Vanguard's dedication to providing highly competitive returns to our
investors relative to the returns provided by other mutual funds with
comparable objectives. He also believes in reporting our results to
shareholders with complete candor. He has the full support of the Board of
Directors and our crew, and is committed to staying the course we have set for
Vanguard. You need have no doubt that the essential elements that drew you to
Vanguard in the first place will remain intact.
[FIGURE 1]
As for me, I expect to fill a useful, if less demanding, role as
Chairman of the Board. I shall keep a watchful eye over the interests of our
shareholders, our crew, and our investment policies. I shall also speak out on
industry affairs, reminding all who will listen of the primacy of the interests
of mutual fund shareholders. I will be readily available to provide Jack
Brennan with whatever wisdom I may have acquired during my lifetime of
experience in this wonderful industry and in my service as captain of Vanguard
since I founded this unique organization more than two decades ago.
In short, I'll still be around. Thank you for all your confidence in
me in the past and, in advance, for your continued confidence in Vanguard under
Jack Brennan's leadership.
/s/ JOHN C. BOGLE
VANGUARD BALANCED INDEX FUND SEEKS TO PROVIDE CONSERVATION OF PRINCIPAL,
REASONABLE CURRENT INCOME, AND PROFITS WITHOUT UNDUE RISK. THE FUND FOLLOWS A
"BALANCED" INVESTMENT STRATEGY, WITH 60% OF ITS ASSETS SEEKING TO REPLICATE THE
PERFORMANCE OF THE UNMANAGED WILSHIRE 5000 INDEX AND 40% OF ITS ASSETS SEEKING
TO REPLICATE THE PERFORMANCE OF THE UNMANAGED LEHMAN AGGREGATE BOND INDEX.
<PAGE> 3
CHAIRMAN'S LETTER
FELLOW SHAREHOLDER:
During the twelve months ended December 31, 1995, Vanguard Balanced Index Fund
provided shareholders with a total return of +28.6%, the best year in our brief
history. Both stocks and bonds enjoyed stupendous bull markets, and our
traditional balanced strategy placed the Fund in an enviable position to
participate in both explosive rallies.
As good as the past year was for Vanguard Balanced Index Fund on an
absolute basis, it was an even better year when measured versus competitive
norms. In particular, we achieved a generous margin over our peer group of
balanced mutual funds, which earned an average return of +25.2% during 1995.
We also did a good job of tracking our target composite balanced
index, falling short by a mere -0.4%. This index, as you know, is composed of
two unmanaged market indexes: for stocks, the Wilshire 5000 Index (60% of the
composite), which reflects the entire U.S. stock market; and for bonds, the
Lehman Aggregate Bond Index (40%), a good measure of the entire U.S. bond
market. This table summarizes our results for the past year:
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------
TOTAL RETURN
--------------------
YEAR ENDED
DECEMBER 31, 1995
- -------------------------------------------------------------------------------
<S> <C>
VANGUARD BALANCED INDEX FUND +28.6%
- -------------------------------------------------------------------------------
BALANCED INDEX COMPOSITE* +29.0%
- -------------------------------------------------------------------------------
WILSHIRE 5000 STOCK INDEX +36.4%
LEHMAN AGGREGATE BOND INDEX +18.5
- -------------------------------------------------------------------------------
</TABLE>
* Balanced Index Composite is 60% Wilshire 5000 Index and 40% Lehman Aggregate
Bond Index.
The total return for the Fund is based on an increase in our net asset value
from $10.34 per share on December 31, 1994, to $12.77 on December 31, 1995,
with the latter figure adjusted to take into account the reinvestment of four
quarterly dividend payments totaling $.45 per share from net investment income
and a distribution of $.05 per share from net realized capital gains. Based on
the Fund's net asset value on December 31, 1995, its dividend yield was 3.6%.
THE FISCAL YEAR IN REVIEW
The great bull markets in stocks and bonds we enjoyed during the past year were
continuous and virtually uninterrupted. The dimension of the increase in both
markets was close to record breaking, delighting the bulls even as it
astonished the bears. In the stock market, when all was said and done, the
Wilshire 5000 Index--a broad market measure including both large and small
capitalization stocks--had generated a remarkable total return of +36.4%. The
large-cap dominated Standard & Poor's 500 Composite Stock Price Index achieved
a total return of +37.6%.
There were, as always, many opinions as to the source of the
surprising strength in the stock market. In my view, it resulted from a
combination of: (1) record-breaking corporate profits; (2) a growing
speculative fever in the marketplace, especially during the final weeks of the
year; and (3) a sharp decline in long-term interest rates. The rise in
corporate profits during the year was particularly striking. For instance, it
is estimated that operating earnings for the companies in the Standard & Poor's
500 Index increased about +15% in 1995, after already rising +16% in 1994.
(Since 1926, earnings growth has averaged less than +7% per year.)
If there is a cautionary signal in this boom in profits, it is that
the two-year cumulative earnings growth of +33% has been accompanied by
dividend growth of only +11%. This subdued dividend growth in the face of
sharply higher stock prices resulted in a decline in the yield on the Index to
2.2%, the lowest level on record. Nonetheless, the Wall Street chorus sings
"this time it's different." Dividend yield and earnings growth--the two
fundamentals of stock returns--are clearly taking a back seat to the market's
high valuation of the long-term fundamentals. This is called "speculation," and
it is hardly an inconsequential component of 1995's high returns on stocks. So,
as 1996 begins, we face an environment that is surely sobering.
(continued)
1
<PAGE> 4
[FIGURE 2]
The huge decline in interest rates during the year not only provided a
major stimulus to the stock market, but also set bond prices afire. The yield
of the Lehman Long-Term Corporate Bond Index declined from 8.9% to 6.9% during
1995, even below its level of 7.1% at the start of 1994. The 1995 decline drove
long-term bond prices upward by fully +19%, resulting in a total return
(including the interest coupon) of +28%--remarkably competitive with the return
on stocks.
Short-term rates also declined during 1995, as the Federal Reserve
reduced the Federal funds rate (the rate at which banks borrow from one
another) on two occasions, once in July and again in December. On balance
during the year, the yield on the U.S. Treasury bill eased from 5.6% to 5.0%.
This improvement in the actual (and expected) interest rate
environment was caused largely by a measurable softening in the growth of the
U.S. economy, perhaps with further weakness to come. A sluggish economy, in
turn, engendered continued optimism about the benign outlook for inflation.
(Indeed, the Consumer Price Index (CPI) was quite well-behaved in 1995, rising
by but +2.6%, its smallest increase since 1986.) Investors should carefully
ponder the extent to which today's high growth rate of corporate earnings is
likely to be sustained in a slowing economy.
THE 1990S SO FAR
During the first five years of the 1990s, as I noted in my letter to you one
year ago, stocks provided an average annual return of +8.8% and bonds a return
of +7.7%. Both of these figures seemed reasonably consistent with long-term
fundamental measures. But the remarkable returns of 1995 have substantially
raised the returns for stocks and bonds. With six years of the 1990s now
history, the average annual returns for stocks and bonds have grown to +13.0%
and +9.4%, respectively. Make no mistake about it, such returns are unlikely to
characterize the remainder of the decade.
In any event, the chart to the left shows how fine the environment has
been for financial assets during this exciting six-year period, using the
results of the Wilshire 5000 Index and the Lehman Aggregate Bond Index.
Interestingly, you can see that bonds have held their own with stocks, rather
than muting the fluctuations of the stock market, as had been customary in an
earlier era. Indeed, as the chart clearly depicts, there has been a tight
correlation of stock and bond returns so far during the 1990s. Under these
circumstances, it is hardly surprising that balanced funds have fared so well
in recent years.
That said, given the decreasing tendency of the stock and bond markets
to fluctuate independently, it would seem that a new element of relative
volatility has been introduced to funds that adhere to a balanced investment
strategy. During the past year, and over the five preceding years, investors
holding a balanced portfolio of bonds and stocks have been handsomely rewarded,
as both of these asset classes climbed steadily higher. Inevitably, this
tighter correlation will be reflected on the minus side of the ledger at some
point in the future. Nonetheless, we remain confident that balanced
portfolios--particularly those adhering to a conservative index strategy--will
continue to provide an optimal combination of current income, growth of
capital, and reasonable risk.
2
<PAGE> 5
VANGUARD BALANCED INDEX FUND IN 1995
As noted at the outset, 1995 was really the best of all worlds for balanced
funds, as both stocks and bonds recorded one of their best years ever. Vanguard
Balanced Index Fund participated fully in the generous rewards of the financial
markets during 1995, providing the highest return (+28.6%) since its inception.
It was an even finer year relative to other balanced mutual funds, which on
average provided a return that was substantially smaller than ours.
The past year was, in fact, a phenomenally successful one for index
funds in general. Indeed, the Wilshire 5000 Index outpaced fully 78% of all
general equity mutual funds during 1995, the highest percentage outperformed
since 1985.(1) This kind of dominance--albeit in but a single year--is no
doubt why, in its August 1995 issue, Money magazine headlined: VANGUARD WINS:
"INDEX FUNDS SHOULD BE THE CORE OF MOST PORTFOLIOS TODAY."
Of course, the success of indexing depends entirely on the ability of
a fund to track its designated target benchmark, a task that was accomplished
quite well in 1995 thanks to the skill of Vanguard's investment professionals.
The +28.6% return of Vanguard Balanced Index Fund fell just -0.4% short of the
+29.0% return of its target benchmark. One-half of this shortfall can be
attributed to our minuscule operating expenses totaling 0.20% of average net
assets, one of the lowest expense ratios of any publicly available balanced
mutual fund. This ratio essentially reflects our costs of doing business,
including statements and reports for shareholder accounts, expenses for
accounting, legal, and marketing services, and our rock bottom advisory costs.
What's more, although our portfolio turnover is low and our trades are
efficiently executed, we nonetheless incur nominal transaction costs.
The remainder of the Fund's modest shortfall can be attributed to
"tracking error." This tracking error arises primarily because we do not own
all of the securities in our target indexes. For instance, there are roughly
6,900 stocks in the Wilshire 5000 Index, but we hold only about 1,700 of these
stocks. In a similar vein, we hold roughly 700 of the more than 5,000
securities included in the Lehman Aggregate Bond Index. To hold every security
in each of these Indexes would involve substantial transaction costs, without
commensurately enhanced diversification. In any event, we expect that our
tracking error will be negative in some years and positive in others, with
largely offsetting differences over time.
As noted earlier, the +28.6% return of Vanguard Balanced Index Fund
was far superior to the +25.2% return of the average balanced mutual fund. The
reasons for our wide margin over this peer group of funds can be easily
captured. First, our Fund maintained a larger percentage of its net assets (60%
for the Fund versus 53% for the average balanced fund) in stocks, during a year
in which stocks were by far the best-performing asset class. Second, we were
100% invested in stocks and bonds during the year, compared to a 7% position in
cash reserves for the typical balanced fund. This was a particularly beneficial
distinction for the Fund in 1995, since the returns on "cash" lagged well
behind those on stocks and bonds. Finally, our competitors held a
less-than-market weighting in the utilities sector (our Fund, of course,
maintained a market weighting), one of the strongest-performing segments of the
stock market.
A LONGER-TERM PERSPECTIVE
Vanguard Balanced Index Fund has now completed three full years of operations,
which is still an awkwardly short period in which to judge the Fund's record.
You can see in the chart at the end of this letter that the Fund's return since
its inception on November 9, 1992, has closely tracked the return of the
composite balanced index and has exceeded the return achieved by the average
balanced fund. (The chart also shows the results of the Wilshire 5000 Index, a
benchmark composed of 100% stocks.)
Given the limitations of such a brief historical record, it is
difficult for shareholders to gauge how effective an index strategy is likely
to be in the balanced fund arena. You may recall that we tried to overcome this
shortcoming in last year's Annual
- -------------------
(1) When we published our booklet The Triumph Of Indexing in early 1995, little
did we know that the year would work out so favorably for index funds.
3
<PAGE> 6
[FIGURE 3]
* Balanced Index Composite Fund is 60% Wilshire 5000 Index and 40% Lehman
Aggregate Bond Index. Performance figures have been adjusted to reflect annual
operating expenses of 0.20%.
Note: Past performance is not predictive of future performance.
Report by showing how a hypothetical balanced index fund might have fared over
the past decade relative to the average balanced mutual fund. The chart above
shows this same comparison through the ten years ended December 31, 1995; the
table that follows summarizes the results assuming a $10,000 investment in each
option:
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------
TOTAL RETURN
---------------------------
DECEMBER 31, 1985, TO
DECEMBER 31, 1995
---------------------------
FINAL VALUE
AVERAGE OF INITIAL
ANNUAL INVESTMENT
RATE OF $10,000
- -------------------------------------------------------------------------------
<S> <C> <C>
BALANCED INDEX COMPOSITE FUND +12.4% $32,270
AVERAGE BALANCED FUND +11.3 29,060
- -------------------------------------------------------------------------------
INDEX ADVANTAGE + 1.1% $ 3,210
- -------------------------------------------------------------------------------
</TABLE>
Note: Returns for the Balanced Index Composite Fund have been adjusted to
reflect annual operating expenses of 0.20%.
It should be clear that the balanced index returns shown in the chart
and the table do not reflect returns actually earned by Vanguard Balanced Index
Fund. There is also no assurance that the future returns from a balanced index
investment will be better or worse than those presented. That said, investors
should be aware that during this ten-year period, the total return from the
balanced index strategy was well above its long-term norm of +8.9% going all
the way back to 1926.
The solid annual margin of the index strategy over the average
balanced fund (+1.1 percentage points) is extremely meaningful when achieved
over a full decade. Indeed, the final value of an initial $10,000 investment in
the index--$32,270--would have exceeded the comparable figure for the average
balanced fund by $3,210, equivalent to 32% of the initial investment. This
large difference shows the substantial asset accumulation that can result from
a combination of seemingly small enhancements in annual return, plus the power
of compounding.
4
<PAGE> 7
THE INDEX ADVANTAGE
Lest there be any mystery about the "secret" of indexing, the basis of its
success is straightforward. It assumes that: (1) all investors (including
professional managers as a group) will earn the same aggregate gross return as
the stock or bond market as a whole (say, +10% per year); and (2) that the net
returns actually received by investors will equal their gross returns less any
sales charges, advisory fees, other operating expenses, and portfolio turnover
costs. That's really all there is to it.
Since the annual expense ratio for the average balanced fund is 1.3%
and its average transaction cost is "guesstimated" at 0.5%, such a fund might
incur total annual costs of 1.8%. In a +10% market, then, its net return would
be +8.2%. A balanced index fund, on the other hand, pays no advisory fees,
incurs only minimal operating expenses, and incurs very small transaction
costs. Vanguard's experience with index funds suggests that total costs can be
held to about 0.2% (less than 20% of the cost of the average balanced fund),
providing a net return of +9.8% in a +10% market.
The record of the balanced index strategy over the past decade, as
reflected in the chart and the table, would seem to affirm the strength of the
index concept. The balanced index strategy outpaced the results of the average
balanced fund by +1.1%, remarkably close, to say the least, to the +1.6%
advantage suggested in the casual example described above.
IN SUMMARY
Indexing has received a great deal of media attention during 1995, with
countless articles in the general media and in academic journals endorsing its
fundamental merits. The good news is that they're right. The bad news is that
too much of this attention has focused on the superior results achieved in a
single year. There will (not "may") be years when the index strategy earns
sub-par returns. When such years occur, you should not be too concerned.
Indexing is not designed to be a year-to-year phenomenon, but a rational and
productive long-range strategy.
In the final analysis, 1995 was an extraordinarily bountiful year for
shareholders of Vanguard Balanced Index Fund. We should all take (only) a
moment to bask in the light of the generous rewards we earned. We should also
recognize, however, that the financial markets are never a "one-way street,"
and the risks that exist today in both the stock and bond markets may well come
home to roost in 1996 and erode our 1995 bounty. Put even more bluntly,
shareholders in the Fund enjoyed an enhancement of nearly +29% in value during
the year. With this gain now behind us, even a significant market decline seems
unlikely to take shareholders back to where we were--presumably with
satisfaction--just one year ago.
Under these circumstances, what course of action should shareholders
of Vanguard Balanced Index Fund follow? In my Annual Report one year ago, under
very different circumstances, I urged you to "stay the course." Today, you
should recognize that, despite the short-term risks of investing, the biggest
long-term risks are: (1) failing to invest in stocks and bonds at all; and (2)
following an erratic and ever-changing course. For our part, we intend to
adhere to the same time-tested and conservative portfolio allocation that we've
followed in the past. "Stay the course" proved wise counsel a year ago; I
reiterate it today.
Sincerely,
/s/ John C. Bogle
- -----------------
John C. Bogle
Chairman of the Board
February 8, 1996
Note: Mutual fund data from Lipper Analytical Services, Inc.
5
<PAGE> 8
CUMULATIVE PERFORMANCE
<TABLE>
<CAPTION>
Average Annual Total Returns--Periods Ended December 31, 1995
- --------------------------------------------------------------------------------
Since
1 Year Inception
- --------------------------------------------------------------------------------
<S> <C> <C>
VANGUARD BALANCED INDEX FUND* +28.59% +12.36%
AVERAGE BALANCED FUND +25.19 +11.34
BALANCED INDEX COMPOSITE ** +29.03 +12.95
WILSHIRE 5000 INDEX +36.45 +15.60
</TABLE>
[FIGURE 4]
* Performance figures are adjusted for the $10 annual account maintenance fee.
** Balanced Index Composite is 60% Wilshire 5000 Index and 40% Lehman Aggregate
Bond Index.
Note: Past performance is not predictive of future performance.
6
<PAGE> 9
AVERAGE ANNUAL TOTAL RETURNS
THE YIELD QUOTED IN THE CHAIRMAN'S LETTER IS CALCULATED IN ACCORDANCE WITH SEC
GUIDELINES. THE AVERAGE ANNUAL TOTAL RETURNS FOR THE FUND (PERIODS ENDED
DECEMBER 31, 1995) ARE AS FOLLOWS:
<TABLE>
<CAPTION>
SINCE INCEPTION
-------------------------------------
INCEPTION TOTAL CAPITAL INCOME
DATE 1 YEAR RETURN RETURN RETURN
--------- ------ ------ ------- ------
<S> <C> <C> <C> <C> <C>
VANGUARD BALANCED INDEX FUND* 11/9/92 +28.59% +12.36% +8.25% +4.11%
</TABLE>
* PERFORMANCE FIGURES ARE ADJUSTED FOR THE $10 ANNUAL ACCOUNT MAINTENANCE FEE.
ALL OF THESE DATA REPRESENT PAST PERFORMANCE. THE INVESTMENT RETURN AND
PRINCIPAL VALUE OF AN INVESTMENT WILL FLUCTUATE SO THAT INVESTORS' SHARES, WHEN
REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST.
7
<PAGE> 10
STATEMENT OF NET ASSETS
FINANCIAL STATEMENTS
December 31, 1995
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- -------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS (58.9%)(1)
- -------------------------------------------------------------------------------
AAR Corp. 5,200 $ 114
* ADC Telecommunications, Inc. 3,400 124
* AER Energy Resources, Inc. 2,800 9
* AES Corp. 3,607 86
AFLAC, Inc. 5,025 218
AGCO Corp. 1,100 56
AK Steel Holding Corp. 3,100 106
* AMR Corp. 4,400 327
* APAC Teleservices, Inc. 700 23
ARCO Chemical Co. 5,500 267
AT&T Corp. 86,500 5,601
AT&T Capital Corp. 2,400 92
Abbott Laboratories, Inc. 43,400 1,812
* Acclaim Entertainment Inc. 3,000 37
* Active Voice Corp. 2,500 67
* Acxiom Corp. 400 11
ADAC Laboratories 4,800 58
* Adaptec, Inc. 2,800 115
Adobe Systems, Inc. 3,000 186
* Adtran, Inc. 3,600 197
* Advanced Micro Devices, Inc. 5,700 94
* Advanced Polymer Systems 8,200 45
* Advanced Technology
Laboratories, Inc. 3,700 91
Advanta Corp. Class A 2,050 78
* Advantage Life Products, Inc. 2,300 5
ADVO, Inc. 4,700 122
Aetna Life & Casualty Co. 5,900 409
Affiliated Community Bancorp 500 9
H.F. Ahmanson & Co. 6,400 170
* AID Auto Stores, Inc. 4,400 17
* Air and Water
Technologies Corp. Class A 6,100 37
Air Express International Corp. 2,700 61
Air Products & Chemicals, Inc. 6,400 338
Airborne Freight Corp. 2,700 72
* Airsensors Inc. 2,500 20
* AirTouch Communications 27,100 766
* Alantec Corp. 1,600 93
Albemarle Corp. 3,150 61
Alberto-Culver Co. Class A 1,400 43
Albertson's, Inc. 13,900 457
Alco Standard Corp. 5,600 256
Alex Brown, Inc. 1,300 55
Alexander & Alexander Services, Inc. 4,800 91
Alexander & Baldwin, Inc. 2,300 53
Alfa Corp. 5,200 89
* All American Semiconductor, Inc. 1,000 2
* Alleghany Corp. 422 84
Allegheny Ludlum Corp. 3,100 57
Allegheny Power System, Inc. 6,500 186
The Allen Group, Inc. 3,600 81
Allergan, Inc. 3,200 104
* Alliance Entertainment 9,600 91
* Alliance Semiconductor Corp. 3,200 37
Allied Capital Commercial Corp. 3,800 75
Allied Capital Lending Corp. 4,000 52
* Allied Digital Technologies Corp. 1,500 6
* Allied Holdings, Inc. 5,400 46
AlliedSignal Inc. 15,400 732
* Allmerica Financial Corp. 2,700 73
Allmerica Property & Casualty Cos. 4,800 130
Allstate Corp. 24,526 1,009
ALLTEL Corp. 10,100 298
* Altera Corp. 7,000 348
* Alumax, Inc. 2,250 69
Aluminum Co. of America 9,400 497
* ALZA Corp. 4,200 104
* Amax Gold, Inc. 10,006 73
AMBAC, Inc. 1,800 84
Amerada Hess Corp. 4,900 260
* Amdahl Corp. 6,100 52
* America Online, Inc. 4,400 164
American Bancorp 400 9
American Bankers Insurance Group 3,900 153
American Brands, Inc. 10,600 473
* American Business Information, Inc. 5,184 99
American Electric Power Co., Inc. 9,800 397
American Express Co. 28,384 1,174
American Financial Group, Inc. 2,800 86
* American Freightways 3,296 34
American General Corp. 10,800 377
American Greetings Corp. Class A 3,700 102
American Health Properties, Inc. 4,000 86
American Health Properties
Psychiatric Group 300 5
American Heritage
Life Investment Corp. 2,400 55
American Home Products Corp. 16,800 1,630
American International Group, Inc. 26,000 2,405
American Media Class A 3,400 14
American National Insurance Co. 1,400 93
* American Oncology Resources, Inc. 900 44
* American Power Conversion Corp. 4,000 38
American President Cos., Ltd. 2,800 64
American Re Corp. 2,200 90
* American Standard Cos., Inc. 3,900 109
American Stores Co. 8,000 214
American Water Works Co., Inc. 3,100 121
Ameron, Inc. 2,200 83
Ameritech Corp. 29,800 1,758
* Ames Department Stores, Inc. 7,000 10
AMFED Financial, Inc. 3,900 132
</TABLE>
8
<PAGE> 11
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- --------------------------------------------------------------------------------
<S> <C> <C>
* Amgen, Inc. 14,500 $ 860
Amoco Corp. 27,700 1,991
AMP, Inc. 12,892 495
Ampal-American Israel Corp. 5,600 29
* Amphenol Corp. 3,300 80
* Amsco International, Inc. 4,900 73
AmSouth Bancorp 3,800 153
Anadarko Petroleum Corp. 3,000 162
* Analog Devices, Inc. 3,900 138
Analogic Corp. 3,900 70
* Anchor Gaming 4,000 92
* Andrea Radio Corp. 1,200 15
* Andrew Corp. 1,950 75
Anheuser-Busch Co., Inc. 13,800 923
* Anixter International Inc. 3,200 60
* AnnTaylor Stores Corp. 3,000 31
Anthony Industries, Inc. 4,564 105
Aon Corp. 5,400 269
Apache Corp. 3,300 97
Apple Computer, Inc. 6,800 216
* Applied Materials, Inc. 9,900 389
Applied Power, Inc. 2,600 78
* Apria Healthcare 4,200 120
Arbor Drugs, Inc. 7,200 150
Archer-Daniels-Midland Co. 28,004 504
Argonaut Group, Inc. 2,800 92
* Argosy Gaming Co. 3,400 26
* Armco, Inc. 17,500 103
Armor All Products Corp. 4,500 81
Armstrong World Industries Inc. 1,900 118
Arnold Industries, Inc. 3,600 63
* Arrhythmia Research
Technology, Inc. 7,000 30
* Arrow Electronics, Inc. 3,137 135
* Artra Group Inc. 16,500 101
Arvin Industries, Inc. 2,800 46
ASARCO, Inc. 2,100 67
* Ascend Communications, Inc. 2,800 227
Ashland Inc. 2,900 102
* Aspect Telecommunications 5,400 180
Astoria Financial Corp. 2,300 105
* Athena Neurosciences, Inc. 5,900 72
Atlanta Gas Light Co. 5,000 99
Atlantic Energy, Inc. 4,600 89
Atlantic Richfield Co. 9,000 997
Atlantic Southeast Airlines Inc. 3,400 74
* Atmel Corp. 4,600 102
* Atria Software, Inc. 700 27
Autodesk, Inc. 4,600 158
Automatic Data Processing, Inc. 8,100 601
* AutoZone, Inc. 7,600 219
* Avatar Holding, Inc. 2,000 69
Avery Dennison Corp. 2,900 145
Aviall Inc. 7,775 73
Avnet, Inc. 2,100 94
Avon Products, Inc. 3,600 271
* BBN Corp. 5,200 214
BHC Communications, Inc. Class A 1,200 113
* BJ Services Co. 2,213 64
* BJ Services Co.
Warrants Exp. 4/13/00 787 6
* BMC Software, Inc. 2,400 102
BSB Bancorp, Inc. 4,454 112
BW/IP Inc. 3,000 49
Badger Paper Mills, Inc. 3,200 50
Baker Hughes, Inc. 7,100 173
J. Baker, Inc. 4,600 26
Ball Corp. 3,500 96
Ballard Medical Products 3,500 63
Baltimore Gas & Electric Co. 8,000 228
Banc One Corp. 22,386 845
Bancorp Hawaii, Inc. 2,250 81
Bandag, Inc. 1,400 76
Bank of Boston Corp. 6,120 283
The Bank of New York Co., Inc. 10,500 512
Bank South Corp. 3,200 98
BankAtlantic Bancorp, Inc. 5,494 101
BankAmerica Corp. 20,358 1,318
Bankers First Corp. 3,196 90
Bankers Life Holding Corp. 2,500 51
Bankers Trust New York Corp. 4,200 279
* Banner Aerospace 11,100 64
BanPonce Corp. 1,900 74
* Banyan Systems, Inc. 4,100 42
C.R. Bard, Inc. 2,500 81
* Barnes & Noble Inc. 2,624 76
Barnett Banks, Inc. 5,226 308
* Barr Labs Inc. 3,600 107
* Base Ten Systems Class A 10,000 111
Battle Mountain Gold Co. Class A 12,200 102
Bausch & Lomb, Inc. 3,000 119
Baxter International, Inc. 15,300 641
* Bay Networks 12,045 495
BayBanks, Inc. 1,000 98
* BE Avionics Inc. 6,300 68
Bear Stearns Co., Inc. 5,738 114
Beckman Instruments 2,532 90
Becton, Dickinson & Co. 3,500 263
* Bed Bath & Beyond, Inc. 2,774 107
* Bel Fuse, Inc. 6,900 73
Bell Atlantic Corp. 23,600 1,578
* Bell Sports Corp. 3,100 25
BellSouth Corp. 54,700 2,379
A. H. Belo Corp. Class A 2,000 70
</TABLE>
9
<PAGE> 12
STATEMENT OF NET ASSETS (continued)
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- --------------------------------------------------------------------------------
<S> <C> <C>
Bemis Co., Inc. 3,600 $ 92
* Ben Franklin Retail Stores 900 3
Beneficial Corp. 2,900 135
Bergen Brunswig Corp. Class A 2,940 73
* Berkshire Hathaway 60 1,926
* Best Buy, Inc. 4,400 72
* Bethlehem Steel Corp. 7,000 98
Betz Laboratories, Inc. 1,500 62
* Beverly Enterprises Inc. 4,400 47
* Biogen, Inc. 1,700 104
* Biomet, Inc. 5,800 103
Birmingham Steel Corp. 2,450 36
Black & Decker Corp. 5,400 190
Blair Corp. 1,600 50
Block Drug Co. Class A 337 12
H & R Block, Inc. 5,300 215
Boatmen's Bancshares, Inc. 6,600 270
Bob Evans Farms, Inc. 2,200 42
The Boeing Co. 19,400 1,520
Boise Cascade Corp. 2,500 87
Borg-Warner Automotive, Inc. 2,600 83
* Borland International, Inc. 3,000 50
Boston Edison Co. 2,200 65
* Boston Market, Inc. 4,300 138
* Boston Scientific Corp. 8,800 431
Bowater, Inc. 1,900 67
Bowne & Co., Inc. 3,100 62
Brandon Systems Corp. 4,621 118
Breed Technological Inc. 1,600 30
Briggs & Stratton Corp. 1,500 65
* Brinker International, Inc. 3,600 54
Bristol-Myers Squibb Co. 27,600 2,370
* Broderbund Software, Inc. 3,212 196
Brooklyn Union Gas Co. 2,450 72
* Brothers Gourmet Coffees, Inc. 5,100 19
Brown-Forman Corp. Class B 3,500 128
Browning-Ferris Industries, Inc. 11,700 345
Brunswick Corp. 4,800 115
* Buffets Inc. 3,800 53
* Builders Warehouse Assn., Inc. 4,300 30
* Bureau of Electronic Publishing, Inc. 400 3
* Burlington Coat Factory
Warehouse Corp. 3,900 40
* Burlington Industries 5,703 75
Burlington Northern Santa Fe Corp. 8,440 658
Burlington Resources, Inc. 6,400 251
CBI Industries, Inc. 4,800 158
CCB Financial Corp. 2,100 117
* C-Cube Microsystems, Inc. 6,000 377
* CFI ProServices, Inc. 1,731 25
CIGNA Corp. 3,800 392
CIPSCO, Inc. 2,600 101
CMAC Investment Corp. 2,887 127
CML Group, Inc. 2,700 14
CMS Energy Corp. 5,600 167
* CNA Financial Corp. 3,300 375
CPC International, Inc. 7,600 522
CSX Corp. 11,000 502
* CUC International, Inc. 9,475 323
CWM Mortgage Holdings Inc. 5,000 85
* Cabletron Systems, Inc. 4,100 332
Cabot Corp. 1,900 102
Cabot Oil & Gas Corp. 3,900 57
* Cadence Design Systems, Inc. 6,900 290
* Cal Fed Bancorp Inc. 6,500 102
* Caldor Corp. 4,100 13
Calgon Carbon Corp. 7,300 88
Caliber System Inc. 2,000 98
* California Culinary Academy Inc. 11,100 85
* California Federal Bank
Goodwill Participation Certificates 200 1
Callaway Golf Co. 5,100 115
* CAM Designs Inc. 9,900 83
* Cambridge Biotech Corp. 4,000 2
* Cambridge Technology Partners 600 34
Camco International, Inc. 2,000 56
Campbell Soup Co. 13,700 822
* Canandaigua Wine Co., Inc. Class A 2,192 72
Capital Cities/ABC, Inc. 8,700 1,073
Capital One Financial Corp. 6,333 151
* Capital Pacific Holdings, Inc. 9,100 29
Capital Re Corp. 3,600 111
Capitol American Financial Corp. 1,600 36
Capitol Bancorp Ltd. 4,800 51
Caraustar Industries, Inc. 4,000 81
Cardinal Health, Inc. 2,700 148
Caremark International, Inc. 3,600 65
Carnival Cruise Lines, Inc. 14,900 363
Carolina Power & Light Co. 8,400 290
Carr Realty Corp. 5,000 122
Carter-Wallace, Inc. 3,600 41
* Cascade Communications Corp. 1,600 136
Case Corp. 7,200 329
* Castle & Cooke, Inc. 1,367 23
* Catalina Marketing Corp. 1,620 102
* Catellus Development Corp. 6,000 36
Caterpillar, Inc. 11,000 646
* Catherines Stores 1,800 15
Cato Corp. Class A 1,200 9
* Cellpro, Inc. 3,400 54
Centerior Energy Corp. 7,500 67
Centex Corp. 2,500 87
* Centocor, Inc. 3,352 104
Central & South West Corp. 9,500 265
</TABLE>
10
<PAGE> 13
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- --------------------------------------------------------------------------------
<S> <C> <C>
Central Fidelity Banks, Inc. 2,000 $ 64
Central Maine Power Co. 4,200 60
* Century Communications
Corp. Class A 11,897 95
Century Telephone Enterprises, Inc. 2,450 78
* Ceridian Corp. 2,300 95
Champion International Corp. 4,700 197
Charming Shoppes, Inc. 9,100 26
The Chase Manhattan Corp. 9,908 601
* Checkers Drive-In Restaurant 5,400 5
* Checkfree Corp. 4,500 96
Chelsea GCA Realty, Inc. 1,300 39
Chemed Corp. 2,100 82
Chemical Banking Corp. 13,800 811
Chemical Finance 2,111 84
Chesapeake Corp. of Virginia 1,200 36
Chevron Corp. 36,300 1,906
* Cheyenne Software, Inc. 6,050 158
* Children's Discovery Centers
of America, Inc. 400 2
* Chiron Corp. 3,026 335
* Chris-Craft Industries, Inc. 2,602 113
* Christiana Cos., Inc. 2,300 52
* Chromcraft Revington, Inc. 2,500 67
Chrysler Corp. 21,572 1,195
The Chubb Corp. 4,700 455
Church and Dwight, Inc. 2,500 46
Cilcorp, Inc. 2,100 89
Cincinnati Bell, Inc. 3,100 108
Cincinnati Financial Corp. 2,730 177
Cincinnati Milacron, Inc. 1,700 45
CINergy Corp. 8,162 250
Cintas Corp. 2,400 107
Circuit City Stores, Inc. 5,100 141
* Circus Circus Enterprises Inc. 5,600 156
* Cirrus Logic 3,400 67
* Cisco Systems, Inc. 14,800 1,105
Citicorp 23,700 1,594
Citizens Bancorp MD 2,300 74
* Citizens Utilities Co. Class A 8,436 108
* Citizens Utilities Co. Class B 2,430 31
City Holding Co. 2,541 61
Clayton Homes Inc. 4,706 101
* Clear Channel Communications 1,800 79
* Clintrials Research, Inc. 2,600 53
The Clorox Co. 2,800 201
* Coast Savings Financial, Inc. 3,300 114
Coastal Corp. 5,300 197
The Coca-Cola Co. 70,300 5,220
Coca-Cola Bottling Co. 2,800 98
Coca-Cola Enterprises, Inc. 6,900 185
* Coherent Communications
Systems Corp. 4,400 84
* Coin Bill Validator Inc. 3,000 19
* Coleman Inc. 2,134 75
Colgate-Palmolive Co. 7,700 541
Collective Bancorporation, Inc. 5,550 142
* Colonial Data Technologies Corp. 3,800 78
* Coltec Inc. 3,500 41
* Columbia Gas Systems, Inc. 2,600 114
Columbia/HCA Healthcare Corp. 24,973 1,267
Comcast Corp. Class A 6,600 116
Comcast Corp. Class A Special 6,500 118
* Comdial Corp. 1,800 17
Comdisco, Inc. 9,300 210
Comerica, Inc. 5,700 229
Commercial Federal Corp. 2,204 83
Commercial Metals Co. 200 5
Commonwealth Energy Systems 1,300 58
Community First Bankshares 4,000 92
* COMPAQ Computer Corp. 14,500 696
* CompUSA, Inc. 8,500 265
Computer Associates
International, Inc. 13,150 748
* Computer Sciences Corp. 2,700 190
Computer Task Group, Inc. 9,000 178
* Compuware Corp. 2,500 47
Comsat Corp. 3,400 63
ConAgra, Inc. 13,000 536
* Concord EFS, Inc. 5,175 216
* Conmed Corp. 4,906 121
Connecticut Natural Gas Corp. 3,400 79
* Conner Peripherals, Inc. 7,700 162
Conrail, Inc. 3,900 273
Conseco Co., Inc. 1,400 88
Consolidated Edison Co.
of New York, Inc. 12,400 397
Consolidated Natural Gas Co. 5,100 231
Consolidated Papers 2,400 135
* Consolidated Stores, Inc. 2,400 52
* Continental Information
Systems Corp. 300 1
* Continental Mortgage & Equity Trust 1,600 24
* Converse Inc. 1,866 8
Cooper Industries, Inc. 5,800 213
Cooper Tire & Rubber Co. 4,500 111
Adolph Coors Co. Class B 1,500 33
* Coram Healthcare Corp. 1,323 6
* Cordis Corp. 800 80
CoreStates Financial Corp. 7,500 284
Corning, Inc. 12,700 406
Countrywide Credit Industries, Inc. 5,647 123
* Coventry Corp. 3,345 69
</TABLE>
11
<PAGE> 14
STATEMENT OF NET ASSETS (continued)
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- --------------------------------------------------------------------------------
<S> <C> <C>
* Cox Communications Class A 13,814 $ 269
Cracker Barrel Old Country
Stores, Inc. 2,700 47
Crane Co. 1,600 59
* Cray Research, Inc. 3,200 79
* Creative Technology 13,400 18
* Credit Acceptance Corp. 5,000 103
Crestar Financial Corp. 1,800 106
Crompton & Knowles Corp. 2,600 34
* Crosscom Corp. 400 5
Crown American Realty Trust 6,300 50
* Crown Cork & Seal Co., Inc. 4,500 188
Crown Crafts, Inc. 5,500 63
* Crown Vantage, Inc. 380 5
* Cryomedical Sciences 17,500 36
Cummins Engine Co., Inc. 2,300 85
* Cypress Semiconductor Corp. 4,000 51
* Cypros Pharmaceuticals Corp. 9,750 46
Cyprus Amax Minerals Co. 4,650 121
* Cytec Industries, Inc. 614 38
DPL, Inc. 5,900 146
DQE Inc. 4,350 134
* DSC Communications Corp. 7,400 274
* DSP Group Inc. 1,400 16
DTE Energy Co. 7,700 266
Dana Corp. 4,800 140
Danaher Corp. 3,000 95
Darden Restaurants Inc. 8,300 99
* Data Broadcasting Corp. 15,414 188
* Data General Corp. 9,400 129
* Dataware Technologies, Inc. 200 2
Dauphin Deposit Bank & Trust 1,000 29
Dayton-Hudson Corp. 3,700 278
Dean Foods Corp. 2,900 80
Dean Witter Discover & Co. 8,905 419
Deere & Co. 13,800 486
* Dell Computer 5,000 174
Delmarva Power & Light Co. 3,000 68
Delta & Pine Land Co. 5,733 211
Delta Air Lines, Inc. 2,600 192
Deluxe Corp. 4,200 122
* Dendrite International, Inc. 400 7
Dentsply International 1,400 56
* Department 56 Inc. 3,905 150
* Designs, Inc. 5,750 41
Developers Diversified Realty Corp. 2,500 75
Devon Energy Corp. 3,567 91
Dexter Corp. 3,000 71
Diagnostic Products Corp. 2,800 106
The Dial Corp. 5,000 148
* Dial Page, Inc. 2,500 39
* Diamond Offshore Drilling, Inc. 1,900 64
Diebold, Inc. 1,600 89
* Digital Equipment Corp. 7,700 494
Dillard Department Stores Class A 5,400 154
* Dime Bancorp, Inc. 27,629 321
* Dionex Corp. 1,500 86
The Walt Disney Co. 28,600 1,687
Dole Food Co. 4,100 144
Dollar General Corp. 3,313 69
Dominion Resources, Inc. 9,400 388
R.R. Donnelley & Sons Co. 7,700 303
* Dovatron International Inc. 4,100 140
Dover Corp. 5,800 214
Dow Chemical Co. 14,700 1,035
Dow Jones & Co., Inc. 5,100 203
Dresser Industries, Inc. 10,800 263
E.I. du Pont de Nemours & Co. 36,700 2,564
Duke Power Co. 11,200 531
The Dun & Bradstreet Corp. 9,400 609
Duracell International, Inc. 6,500 336
Duriron Co., Inc. 4,650 109
* Dynatech Corp. 6,600 113
EG & G, Inc. 7,100 172
* EMC Corp. 10,800 166
* ESS Technology, Inc. 2,000 47
* Eagle Finance Corp. 3,600 50
Eastern Enterprises 2,900 102
Eastern Utilities Associates 200 5
Eastman Chemical 4,450 279
Eastman Kodak Co. 18,600 1,246
Eaton Corp. 3,900 209
Eaton Vance Corp. 1,000 28
Echlin, Inc. 3,300 120
Echo Bay Mines Ltd. 5,600 58
* Eckerd Corp. 2,000 89
* Ecogen, Inc. 9,500 13
Ecolab, Inc. 3,400 102
* Edisto Resources Corp. 11,100 79
* Education Alternatives, Inc. 1,800 8
A.G. Edwards & Sons, Inc. 3,025 72
El Paso Natural Gas 1,600 45
* Elcor Corp. 3,800 83
* Electric Fuel Corp. 1,800 15
* Electronic Arts 2,200 58
Emerson Electric Co. 12,500 1,022
* Emulex Corp. 2,200 23
Energy West Inc. 5,200 47
Engelhard Corp. 7,500 163
Enova Corp. 5,800 138
Enron Corp. 13,800 526
Enron Oil & Gas Co. 7,800 187
* Ensco International, Inc. 2,200 51
ENSERCH Corp. 6,200 101
</TABLE>
12
<PAGE> 15
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- --------------------------------------------------------------------------------
<S> <C> <C>
Entergy Corp. 11,554 $ 338
* Envirometrics, Inc. 3,800 11
* Envirotest Systems Corp. Class A 10,800 29
* Epitope Inc. 2,800 46
Equifax, Inc. 7,400 158
The Equitable Cos. 10,000 240
Equitable of Iowa Co. 3,000 96
Equitable Resources, Inc. 1,800 56
Equity Residential Properties Trust 2,000 61
Ethyl Corp. 6,300 79
* Evergreen Media Corp. 800 26
Excel Realty Trust, Inc. 700 14
* Exide Electronics Group, Inc. 3,362 49
* Express Scripts 4,400 222
Exxon Corp. 68,000 5,449
* EZCORP, Inc. 4,000 19
F & M Bancorp 1,433 42
FFY Financial Corp. 4,600 97
* FHP International Corp. 4,800 136
* FLIR Systems, Inc. 1,800 22
* FMC Corp. 1,800 122
FPL Group, Inc. 9,700 450
* FTP Software, Inc. 3,000 87
* Fairfield Communities, Inc. 9,200 66
* Falcon Drilling Co., Inc. 1,900 28
Family Dollar Stores, Inc. 1,300 18
Farrel Corp. 10,800 35
* Federal Express Corp. 3,100 229
Federal Home Loan Mortgage Corp. 9,900 827
Federal-Mogul Corp. 4,100 80
Federal National Mortgage Assn. 15,200 1,887
Federal Paper Board Co., Inc. 3,200 166
Federal Realty Investment Trust 4,300 98
Federal Signal Corp. 5,733 148
* Federated Department Stores 11,000 303
Ferro Corp. 1,400 33
Fifth Third Bancorp 4,200 306
Fina Inc. 1,600 81
* Financial Industries Corp. 1,000 36
Financial Trust Corp. 2,346 70
Fingerhut Co. 2,400 33
Finova Group, Inc. 1,500 72
* First Alert, Inc. 5,000 44
First American Corp. (Tenn.) 2,200 105
First American Bank Corp. 3,200 142
* First Bank of Philadelphia 1,000 4
1st Bancorp (Indiana) 2,900 92
First Bank System, Inc. 6,885 342
First Brands Corp. 1,900 90
First Chicago NBD Corp. 18,793 742
First Colony Corp. 2,104 53
First Commerce Bancshares Inc.
Class A 1,000 21
First Commerce Bancshares Inc.
Class B 4,000 61
First Commerce Corp. 2,912 93
First Data Corp. 12,033 805
First Empire State Corp. 500 109
First Fidelity Bancorp. 4,200 317
First Hawaiian, Inc. 1,600 48
First Interstate Bancorp. 4,200 573
First Michigan Bank Corp. 4,710 130
First Midwest Bancorp 2,600 76
First National Bank of Gainsville 2,800 89
* First Pacific Networks, Inc. 4,400 6
First Security Corp. 2,900 111
First Source Corp. 3,819 89
First Tennessee National Corp. 3,400 205
First Union Corp. 11,322 630
First USA Inc. 2,800 124
First Virginia Banks, Inc. 1,700 71
Firstar Corp. 4,200 166
* FIserv, Inc. 2,000 60
Fisher Scientific International Inc. 2,000 67
Fleet Financial Group, Inc. 13,424 547
Fleetwood Enterprises, Inc. 2,400 62
Fleming Cos., Inc. 4,600 95
FlightSafety International, Inc. 1,400 70
Florida Progress Corp. 5,000 177
Florida Rock Industries, Inc. 2,900 85
* Florsheim Shoe Co. 933 4
Flowers Industries, Inc. 3,000 36
Fluor Corp. 4,100 271
* Foamex International, Inc. 2,900 22
Food Lion Inc. Class A 23,700 136
* FoodBrands America, Inc. 5,000 59
Ford Motor Co. 58,600 1,699
* Fore Systems, Inc. 2,900 173
* Foreland Corp. 1,700 3
Foremost Corp. of America 2,200 112
* Forest Laboratories, Inc. 2,100 95
Fort Thomas Financial Corp. 600 7
Foster Wheeler Corp. 2,500 106
* Foundation Health Co. 2,900 125
Fourth Financial Corp. 1,900 77
* Fourth Shift Corp. 12,600 49
* FoxMeyer Health Corp. 5,400 144
Franklin Resources Corp. 4,000 202
Freeport-McMoRan, Inc. 1,366 51
Freeport-McMoRan Copper
& Gold Inc. Class A 3,348 94
Freeport-McMoRan Copper
& Gold Inc. Class B 7,754 218
</TABLE>
13
<PAGE> 16
STATEMENT OF NET ASSETS (continued)
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- --------------------------------------------------------------------------------
<S> <C> <C>
* Fresh Choice, Inc. 5,100 $ 33
* Fritz Cos., Inc. 2,400 100
Frontier Corp. 7,900 237
* Fruit of the Loom, Inc. 4,000 98
H.B. Fuller Co. 1,500 53
Fund American Enterprise Holding Co. 600 45
GATX Corp. 1,000 49
* GBC Technologies, Inc. 7,000 65
* GC Cos. 2,630 88
GEICO Corp. 3,400 238
GTE Corp. 53,500 2,354
Arthur J. Gallagher & Co. 2,000 75
Gannett Co., Inc. 7,300 448
The Gap, Inc. 7,400 311
* Garden Fresh Restaurant Corp. 4,400 29
* Gardner Denver Machinery, Inc. 232 4
* Gartner Group, Inc. 2,200 105
* Gateway 2000 Inc. 3,600 88
Gaylord Entertainment Class A 4,620 128
GenCorp, Inc. 6,100 75
* Genentech, Inc. 6,300 334
General Dynamics Corp. 3,800 225
General Electric Co. 93,700 6,746
General Growth Properties 2,700 56
* General Instrument 6,600 154
* General Magic, Inc. 3,300 35
General Mills, Inc. 8,300 479
General Motors Corp. 42,201 2,231
General Motors Corp. Class E 23,600 1,227
General Motors Corp. Class H 5,300 260
* General Nutrition Cos., Inc. 5,600 130
General Physics Corp. 18,400 60
General Public Utilities Corp. 6,900 235
General Re Corp. 4,400 682
General Signal Corp. 2,500 81
* Genesco, Inc. 19,500 68
* Genesis Health Ventures Inc. 1,000 37
* Genetics Institute Inc.
Depository Shares 1,400 75
* Geneva Steel Class A 3,000 21
* Gensia Inc. 4,400 23
Genuine Parts Co. 6,500 267
* Genzyme Corp. 1,300 81
Geon Co. 3,200 78
Georgia Gulf Corp. 2,200 68
Georgia-Pacific Corp. 4,800 329
* Geoworks 700 13
Giant Food, Inc. Class A 3,100 98
Giant Industries, Inc. 6,800 83
* Gilead Sciences, Inc. 3,400 110
Gillette Co. 24,300 1,267
P.H. Glatfelter Co. 4,200 72
* Glenayre Technologies, Inc. 1,800 112
* Global Village Communication 1,400 27
Golden West Financial Corp. 3,400 188
The BF Goodrich Co. 1,100 75
The Goodyear Tire & Rubber Co. 7,700 349
Goulds Pumps, Inc. 3,100 77
W.R. Grace & Co. 4,900 290
Graco, Inc. 3,600 110
W.W. Grainger, Inc. 2,700 179
* Grancare Inc. 3,100 45
* Grand Casinos, Inc. 4,650 108
Great Atlantic & Pacific Tea Co., Inc. 5,000 115
Great Lakes Chemical Corp. 3,400 245
Great Western Financial Corp. 11,000 281
Green Point Financial Corp. 2,800 75
Green Tree Financial Corp. 7,000 185
* Gtech Holdings Corp. 5,400 140
Guidant Corp. 5,479 231
* Gupta Corp. 3,300 17
* Gymboree Inc. 3,400 70
HBO and Co. 2,600 199
HF Financial Corp. 3,200 99
* HFS Inc. 2,600 213
* HMN Financial, Inc. 3,000 48
HRE Properties 200 3
* HS Resources Inc. 2,800 36
* Haemonetics Corp. 4,500 80
Halliburton Co. 6,200 314
M.A. Hanna Co. 3,000 84
Hannaford Brothers Co. 2,200 54
Harcourt General, Inc. 4,000 168
John H. Harland Co. 1,600 33
Harley-Davidson, Inc. 4,000 115
Harnischfeger Industries Inc. 2,400 80
* Harrah's Entertainment, Inc. 5,400 131
Harris Corp. 2,000 109
* Harris Computer Systems 100 1
* Harry's Farmers Market, Inc. 4,200 13
Harsco Corp. 1,300 76
Hartford Steam Boiler Inspection
& Insurance Co. 1,400 70
* Hartmarx Corp. 12,600 55
Harveys Casino Resorts 2,000 36
Hasbro, Inc. 4,400 136
* Hauser Chemical Research 8,800 40
Haven Bancorp, Inc. 1,500 36
Hawaiian Electric Industries Inc. 2,300 89
Hayes Wheels International 3,600 92
Health Care Properties Investors 2,300 81
* Health Management Associates
Class A 3,525 92
Health and Retirement
Properties Trust 6,400 104
</TABLE>
14
<PAGE> 17
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- --------------------------------------------------------------------------------
<S> <C> <C>
* Health Systems 2,600 $ 84
* HealthCare Compare Corp. 1,800 79
* Healthcare & Retirement Corp. 800 28
* Healthsource, Inc. 6,400 230
* HEALTHSOUTH Corp. 5,600 163
* Healthwise of America Inc. 525 20
* Heartland Express, Inc. 4,774 97
Hechinger Co. Class A 7,300 32
Heilig-Meyers Co. 2,500 46
H.J. Heinz Co. 20,000 663
Helmerich & Payne, Inc. 4,000 119
Hercules, Inc. 6,300 355
Hershey Foods Corp. 4,300 280
Hewlett-Packard Co. 28,000 2,345
Hibernia Corp. Class A 5,600 60
Highwood Properties, Inc. 600 17
Hillenbrand Industries, Inc. 3,600 122
* Hills Stores Co. 5,165 51
Hilton Hotels Corp. 2,400 148
Holly Corp. 1,600 36
Home Depot, Inc. 26,633 1,275
Home Federal Financial Corp. 1,600 28
* Home Shopping Network, Inc. 7,200 65
Homestake Mining Co. 6,800 106
Honeywell, Inc. 6,700 326
Horace Mann Educators Corp. 3,600 113
* Horizon/CMS Healthcare Corp. 3,777 95
Hormel Foods Corp. 4,200 103
* Horsehead Resource
Development Co., Inc. 7,900 35
* Host Marriott 7,600 101
* House of Fabrics, Inc. 10,800 4
Household International, Inc. 5,100 302
Houston Industries, Inc. 13,200 320
Hubbell Inc. Class B 1,575 104
Hughes Supply, Inc. 3,700 105
* Humana, Inc. 8,600 235
Hunt Manufacturing Co. 2,300 40
J.B. Hunt Transport Services, Inc. 2,000 34
Huntington Bancshares Inc. 8,287 198
* Hutchinson Technology, Inc. 4,200 176
* Hyperion Software Corp. 3,452 74
IBP, Inc. 2,500 126
ICN Pharmaceuticals 2,430 47
IES Industries, Inc. 3,300 87
* IGI, Inc. 4,110 34
IMC Global Inc. 3,000 123
* ITT Corp. 6,300 334
* ITT Hartford Group, Inc. 6,300 305
ITT Industries, Inc. 6,300 151
Idaho Power Co. 4,900 147
IDEX Corp. 100 4
* IDEXX Laboratories 4,800 224
* Identix, Inc. 14,000 149
Illinois Central Corp. 2,200 84
Illinois Tool Works, Inc. 7,000 413
Illinova Corp. 4,200 126
* Imclone Systems, Inc. 7,800 61
* Immune Response 7,200 41
* Immunomedics Inc. 7,900 46
* Imo Industries, Inc. 1,200 8
* Inacom Corp. 6,300 88
* Industrial Scientific Corp. 2,700 53
* Infinity Broadcasting Corp. 2,550 95
* Information Resources, Inc. 2,600 32
* Informix Corp. 7,300 219
Ingersoll-Rand Co. 5,700 200
Inland Steel Industries, Inc. 2,500 63
* Insignia Financial Group 1,800 69
* Insilco Corp. 2,600 84
* Inso Corp. 1,700 72
* InStent, Inc. 1,900 29
* Insurance Auto Auctions, Inc. 1,700 19
Integra Financial Corp. 1,700 107
* Integrated Device Technology Inc. 3,800 49
Integrated Health Services, Inc. 1,900 48
Intel Corp. 44,900 2,551
Intercargo Corp. 5,400 57
* Intercel, Inc. 3,900 66
* Interco Co. 5,600 50
* Intergraph Corp. 8,000 127
* Interleaf, Inc. 7,800 80
* International Assets Holding Corp. 1,800 5
International Business
Machines Corp. 31,900 2,927
* International Cabletel, Inc. 2,667 65
International Flavors &
Fragrances, Inc. 5,700 274
International Game Technology 6,200 67
* International Jensen 8,800 61
* International Lottery &
Totalizator 8,800 13
International Paper Co. 14,000 530
* International Rectifier Corp. 2,600 65
International Shipholding Corp. 3,375 70
* International Specialty Products, Inc. 3,200 35
* International Technology 25,100 66
Interpublic Group of Cos., Inc. 4,000 174
* Intersolv 4,800 62
* Intuit, Inc. 2,200 172
* Investors Financial Services Corp. 280 6
* Investors Financial Services Corp.
Class A 54 1
* Invitro International 2,800 2
</TABLE>
15
<PAGE> 18
STATEMENT OF NET ASSETS (continued)
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- --------------------------------------------------------------------------------
<S> <C> <C>
* Iomega Corp. 14,625 $ 712
* Ionics, Inc. 3,000 131
Ipalco Enterprises, Inc. 2,100 80
Irvine Apartment Communities, Inc. 2,000 39
Irwin Financial Corp. 3,900 156
* Itron, Inc. 1,200 41
IVAX Corp. 6,100 174
Jackpot Enterprises, Inc. 5,500 64
* Jacobs Engineering Group Inc. 3,800 95
James River Corp. 3,800 92
* Jan Bell Marketing Inc. 8,900 22
* Jayhawk Acceptance Corp. 2,000 19
Jefferson Bancorp, Inc. 2,060 29
Jefferson-Pilot Corp. 4,050 188
* Jefferson Savings Bancorp, Inc. 1,100 31
* Jefferson Smurfit Corp. 5,800 55
Johnson Controls, Inc. 2,200 151
Johnson & Johnson 35,200 3,014
* Johnstown America Industries 3,800 18
* Jones Apparel Group, Inc. 3,400 134
Jostens Inc. 4,900 119
* KLA Instruments Corp. 3,600 94
Kmart Corp. 28,900 210
KN Energy, Inc. 4,128 120
K U Energy Corp. 1,900 57
* K-V Pharmaceutical Co. Class A 6,900 92
* Kaiser Aluminum & Chemical Corp. 2,200 29
Kansas City Power & Light Co. 3,200 84
Kansas City Southern Industries, Inc. 3,600 165
Kaydon Corp. 2,800 85
Kellogg Co. 11,800 912
Kellwood Co. 3,100 63
Kelly Services, Inc. Class A 2,100 59
Kemper Corp. 1,700 84
* Kennedy-Wilson, Inc. 280 1
* Kent Electronics Corp. 2,700 158
Kerr-McGee Corp. 2,700 171
KeyCorp 12,584 456
* Keystone Consolidated Industries, Inc. 3,600 41
Keystone Financial, Inc. 2,803 84
Keystone International, Inc. 1,800 36
Kimberly-Clark Corp. 14,428 1,194
Kimco Realty Corp. 900 25
* Kinder Care Learning Centers Inc. 4,000 51
Kinetic Concepts, Inc. 11,300 136
* King World Productions, Inc. 1,600 62
* Kleer-Vu Industries Inc. 6,960 34
Knight-Ridder, Inc. 2,800 175
* Kohls Corp. 1,900 100
* Komag, Inc. 1,400 64
* The Kroger Co. 6,300 236
Kuhlman Corp. 4,700 59
* LCI International, Inc. 6,974 143
LG&E Energy Corp. 1,700 72
* LSI Logic Corp. 6,400 210
* LTV Corp. 6,700 92
* LTX Corp. 12,100 110
La Quinta Inns Inc. 2,400 66
La-Z-Boy Chair Co. 900 28
* Laboratory Corp. of America 3,024 28
Ladd Furniture Inc. 1,466 19
Lafarge Corp. 3,000 56
* LAM Research Corp. 1,400 64
Lancaster Colony Corp. 3,288 123
Landmark Bancshare, Inc. 4,900 67
* Lands' End, Inc. 4,000 55
Lawter International Inc. 5,300 62
* Layne, Inc. 12,900 137
* Lear Seating Corp. 4,700 136
* Lechters Corp. 4,700 30
Lee Enterprises, Inc. 2,400 55
* Legal Research Center, Inc. 3,500 13
Leggett & Platt, Inc. 4,200 102
Lehman Brothers Holdings, Inc. 5,360 114
Lennar Corp. 1,800 45
* Leslie Fay Co. 11,100 1
Leucadia National Corp. 2,800 70
Leviathan Gas Pipeline Co. 2,500 71
Liberty Bancorp, Inc. (Oklahoma) 2,400 90
Liberty Corp. 2,800 95
* Liberty Media Group Class A 8,235 221
Liberty Property Trust 300 6
Life Partners Group, Inc. 4,900 67
* Life USA Holding, Inc. 800 6
Lillian Vernon Corp. 2,300 31
Eli Lilly & Co. 29,378 1,653
Lilly Industries Inc. Class A 4,200 54
The Limited, Inc. 18,800 327
* Lin Television 1,300 39
* Lincare Holdings Inc. 5,000 124
Lincoln National Corp. 5,600 301
Linear Technology Corp. 3,600 142
Litchfield Financial Corp. 7,497 99
* Litton Industries, Inc. 2,100 93
Liz Claiborne, Inc. 3,700 103
Lockheed Martin Corp. 21,553 1,703
Loctite Corp. 2,000 95
Loews Corp. 6,000 470
* Lone Star Steakhouse & Saloon 5,100 195
Long Island Bancorp, Inc. 3,000 79
Long Island Lighting Co. 5,600 92
* Longhorn Steaks Inc. 4,600 83
Longview Fiber Co. 3,000 49
Loral Corp. 8,400 297
</TABLE>
16
<PAGE> 19
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- --------------------------------------------------------------------------------
<S> <C> <C>
* Louis Dreyfus Natural Gas Corp. 3,600 $ 54
Louisiana Land & Exploration Co. 2,100 90
Louisiana-Pacific Corp. 6,800 165
Lowes Cos., Inc. 8,100 271
Lubrizol Corp. 3,600 100
Lukens, Inc. 2,900 83
Lyondell Petrochemical Co. 5,200 119
MBIA, Inc. 2,200 165
MBNA Corp. 7,500 277
MCI Communications Corp. 41,700 1,092
MCN Corp. 3,300 77
* MEMC Electronic Materials, Inc. 2,300 75
* MFB Corp. 2,000 30
* MFS Communications Co., Inc. 3,400 182
MGIC Investment Corp. 3,000 163
* MGM Grand Inc. 2,100 48
* MK Gold Co. 10,700 25
MMI Cos., Inc. 1,000 24
* Macromedia 2,000 104
Madison Gas & Electric Co. 2,600 91
* Magellan Health Services Corp. 3,000 72
* Magma Copper Co. Class B 6,180 172
Magna Group 4,152 99
Mallinckrodt Group, Inc. 5,400 196
Manitowoc Co., Inc. 2,200 67
Manor Care Inc. 3,200 112
Manpower Inc. 3,900 110
* Manville Corp. 6,300 83
Mapco Inc. 1,400 76
Mark IV Industries, Inc. 2,800 55
* Marquette Electronics Class A 3,296 68
Marsh & McLennan Cos., Inc. 3,800 337
Marriott International 6,400 245
Marshall & Ilsley Corp. 5,544 144
Martin Marietta Materials, Inc. 2,000 41
* Marvel Entertainment Group 4,740 62
Masco Corp. 8,500 267
MascoTech Inc. 4,900 53
Mattel, Inc. 13,068 402
* Mattson Technology, Inc. 4,400 69
* Maverick Tube Corp. 400 3
* Maxim Integrated Products, Inc. 3,200 123
* Maxtor Corp. 8,400 56
May Department Stores Co. 13,000 549
Maytag Corp. 5,900 119
* McAfee Associates, Inc. 2,181 94
McClatchy Newspapers, Inc. 1,500 34
McCormick & Co., Inc. 4,100 99
McDermott International, Inc. 3,800 84
McDonald's Corp. 36,400 1,643
McDonnell Douglas Corp. 6,000 552
The McGraw-Hill Cos. 2,400 209
McKesson Corp. 2,600 132
* McMoRan Oil and Gas 1,700 6
The Mead Corp. 3,100 162
* Medaphis Corp. 3,800 141
* Medco Research, Inc. 5,100 53
Media General, Inc. Class A 1,400 43
* Medical Graphics Corp. 9,700 47
Meditrust 2,700 94
Medtronic, Inc. 12,600 704
Mellon Bank Corp. 7,536 405
Melville Corp. 5,600 172
Mentor Corp. 8,104 187
* Mentor Graphics Corp. 5,900 107
Mercantile Bancorp, Inc. 3,100 143
Mercantile Bankshares Corp. 3,900 108
Mercantile Stores Co., Inc. 2,100 97
Merck & Co., Inc. 67,309 4,426
Mercury Finance Co. 7,999 106
Mercury General Corp. 1,500 71
Meredith Corp. 4,150 174
Meridian Bancorp, Inc. 3,539 165
* Merisel, Inc. 4,300 19
Merrill Lynch & Co., Inc. 9,700 495
* Merry-Go-Round Enterprises, Inc. 8,900 3
* Mesa Airlines, Inc. 4,300 38
Methode Electronics, Inc. Class A 8,649 123
* Metra Biosystems, Inc. 1,200 20
* Fred Meyer, Inc. 1,400 32
Michael Foods, Inc. 7,900 93
* Micrion Corp. 1,700 18
* Microsoft Corp. 33,300 2,924
* Micro Warehouse Inc. 1,200 52
* Microfield Graphics, Inc. 4,500 28
* Micron Electronics, Inc. 5,000 54
Micron Technology Inc. 10,500 416
Mid Am Inc. 6,413 106
Mid-America Realty Investments 7,200 57
* Mid Atlantic Medical Services 4,000 97
Mid-Iowa Financial Corp. 6,000 88
MidAmerican Energy Co. 5,800 97
Midlantic Corp. 2,700 177
Herman Miller, Inc. 3,100 94
Millipore Corp. 3,000 123
* Milwaukee Land Co. 5,500 41
Minerals Technologies, Inc. 1,200 44
* Minnesota Educational
Computing Corp. 2,100 53
Minnesota Mining &
Manufacturing Co. 22,000 1,458
Minnesota Power & Light Co. 2,500 71
* Mirage Resorts, Inc. 4,550 157
Mississippi Chemical Corp. 2,000 47
</TABLE>
17
<PAGE> 20
STATEMENT OF NET ASSETS (continued)
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- --------------------------------------------------------------------------------
<S> <C> <C>
Mitchell Energy &
Development Corp. Class A 2,200 $ 41
Mobil Corp. 21,800 2,442
* Mobile Telecommunications
Technologies Corp. 2,700 58
* Mobilemedia Corp. 3,000 66
* Mobley Environmental
Services, Inc. Class A 6,600 5
Modine Manufacturing Co. 2,538 62
* Mohawk Industries, Inc. 3,700 57
* Molecular Biosystems, Inc. 3,297 23
Molex, Inc. 5,156 165
* Molten Metal Technology 1,000 33
Monsanto Co. 5,900 723
Montana Power Co. 2,800 63
J.P. Morgan & Co., Inc. 10,000 803
Morgan Stanley Group, Inc. 3,800 306
* Morrison-Knudsen Co., Inc. 3,700 16
Morrison Restaurants 5,750 81
Morton International, Inc. 7,200 258
Motorola, Inc. 33,100 1,887
* Mueller Industries Inc. 5,400 158
* Multicare Cos., Inc. 1,400 34
Murphy Oil Corp. 2,500 104
Mylan Laboratories, Inc. 6,450 152
* NFO Research Inc. 4,065 106
NIPSCO Industries, Inc. 3,500 134
NUI Corp. 2,100 37
Nabisco Holdings Corp. Class A 3,800 124
Nalco Chemical Co. 3,600 108
National City Corp. 7,500 248
National Community Bancorp 2,850 75
* National Education Corp. 8,600 70
National Fuel & Gas Co. 1,900 64
* National Gaming Corp. 260 3
National Presto Industries, Inc. 2,200 87
National Re Holdings Corp. 2,600 99
* National Semiconductor Corp. 6,400 142
National Service Industries, Inc. 3,200 104
NationsBank, Inc. 14,424 1,004
* Natural Wonders 4,300 11
* Navigators Group, Inc. 2,000 35
* Navistar International Corp. 4,000 42
* Nellcor Puritan Bennett Inc. 2,904 170
Thomas Nelson, Inc. 2,750 36
* Neoprobe Corp. 15,200 245
* Neostar Retail Group 6,500 48
* Netcom On-line Communication
Services, Inc. 1,600 57
* Netframe Systems Inc. 14,800 78
* Netmanage, Inc. 3,000 69
* Netscape Communications Corp. 2,100 292
* Network Express, Inc. 2,300 12
Nevada Power Co. 2,300 51
New England Electric System 3,400 135
New Plan Realty Trust 5,000 109
New York State Electric & Gas Corp. 3,700 96
New York Times Co. Class A 5,500 163
Newell Co. 8,000 207
Newmont Gold Co. 4,900 214
Newmont Mining Corp. 4,243 192
* NexGen, Inc. 4,000 51
* Nexstar Pharmaceuticals Inc. 10,912 181
* Nextel Communications 12,900 191
Niagara Mohawk Power Corp. 7,100 68
NICOR, Inc. 3,000 83
Nike, Inc. Class B 7,400 515
* Nine West Group, Inc. 1,900 71
Noble Affiliates, Inc. 2,500 75
* Noble Drilling Corp. 11,200 100
* Noodle Kidoodle Inc. 5,000 66
NorAm Energy Corp. 9,300 83
* Nord Resources Corp. 11,200 25
Nordson Corp. 1,700 97
Nordstrom, Inc. 4,100 166
Norfolk Southern Corp. 6,900 548
North American Mortgage 2,700 57
North Side Savings Bank 2,315 70
Northeast Utilities 6,500 158
Northern States Power Co. 3,400 167
Northern Trust Corp. 2,450 136
Northrop Grumman Corp. 2,300 147
* Northwest Airlines Corp. Class A 4,900 250
Northwest Natural Gas Co. 1,100 36
Northwest Savings Bank 2,900 70
Norwest Corp. 19,200 634
* NovaCare, Inc. 5,000 26
* Novavax, Inc. 4,110 15
* Novell, Inc. 19,300 274
* Novellus Systems, Inc. 3,000 162
Nucor Corp. 4,300 246
* Numerex Corp. 3,700 23
* nVIEW Corp. 3,300 12
NYNEX Corp. 23,300 1,258
* OHM Corp. 5,700 42
* OIS Optical Imaging Systems, Inc. 3,000 12
Occidental Petroleum Corp. 17,400 372
* Octel Communications Corp. 4,100 132
* Office Depot, Inc. 8,025 158
* Officemax Inc. 3,900 87
* Offshore Logistics, Inc. 4,000 51
Ogden Corp. 2,500 53
Ohio Casualty Corp. 1,600 62
Ohio Edison Co. 7,600 179
</TABLE>
18
<PAGE> 21
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- --------------------------------------------------------------------------------
<S> <C> <C>
Oklahoma Gas & Electric Co. 2,200 $ 95
* Old Dominion Freight Line, Inc. 4,000 33
Old Kent Financial Corp. 2,205 90
Old Republic International Corp. 2,700 96
Olin Corp. 1,500 111
Olsten Corp. 2,100 83
Omnicom Group Inc. 3,400 127
Omega Healthcare Investors, Inc. 2,400 64
One Valley Bancorp of
West Virginia Inc. 2,400 75
* Oracle Corp. 24,250 1,028
Orange & Rockland Utilities, Inc. 2,500 89
* OraVax, Inc. 700 8
* Organogenesis, Inc. 4,750 87
* OrNda Healthcorp 5,669 131
* Oryx Energy Co. 4,600 62
Otter Tail Power Co. 2,098 75
* Outback Steakhouse 2,200 79
Overseas Shipholding Group Inc. 1,900 36
* Owens-Corning Fiberglas Corp. 2,800 126
* Owens-Illinois, Inc. 6,100 88
* Oxford Health Plan 1,600 118
PECO Energy Corp. 11,700 352
PHH Corp. 1,400 65
* PHP Heathcare Corp. 6,000 150
The PMI Group Inc. 1,900 86
PNC Bank Corp. 12,400 400
PPG Industries, Inc. 10,600 485
PP&L Resources Inc. 8,900 223
* PRI Automation, Inc. 2,200 78
Paccar, Inc. 1,725 73
Pacific Enterprises 4,400 124
Pacific Gas & Electric Co. 23,400 664
Pacific Telesis Group 22,800 767
* Pacificare Health Systems Inc. Class A 500 43
* Pacificare Health Systems Inc. Class B 900 79
PacifiCorp 16,000 340
* Paging Network Inc. 5,000 120
PaineWebber Group, Inc. 5,400 108
Pall Corp. 6,266 168
Panhandle Eastern Corp. 9,000 251
* Parametric Technology Corp. 3,400 226
* Parcplace-Digitalk Inc. 2,900 24
* Park-Ohio Industries, Inc. 4,400 72
Parker & Parsley Petroleum Co. 3,700 81
Parker Hannifin Corp. 3,600 123
* Parkervision, Inc. 3,700 28
Parkway Co. 5,300 103
Paychex, Inc. 2,250 112
* Pec Israel Economic Corp. 2,800 68
* The Penn Traffic Co. 1,800 27
J.C. Penney Co., Inc. 12,100 576
Pennzoil Co. 2,200 93
Pentair, Inc. 1,800 90
* People's Choice TV Corp. 2,200 42
Peoples Energy Corp. 1,800 57
Peoples First 3,570 83
* Peoplesoft Inc. 2,600 111
Pep Boys (Manny, Moe & Jack) 3,200 82
PepsiCo, Inc. 43,800 2,447
* Performance Food Group Co. 1,000 24
Perkin-Elmer Corp. 2,200 83
* Perrigo Co. 3,400 41
* Perseptive Biosystems 2,400 20
* Petrie Stores Corp. 3,500 10
Petroleum Heat & Power Co. 9,600 77
Petrolite Corp. 1,900 53
* Petsmart, Inc. 2,274 70
Pfizer, Inc. 34,000 2,142
Phelps Dodge Corp. 3,500 218
Philip Morris Cos., Inc. 44,800 4,054
Phillips Petroleum Co. 14,400 491
Phillips-Van Heusen Corp. 2,900 29
* Phoenix Network, Inc. 5,000 18
Phoenix Resource Cos., Inc. 4,800 83
* Phycor, Inc. 1,000 51
* Physician Corp. of America 3,000 51
* PictureTel Corp. 400 17
Piedmont Bankgroup, Inc. 1,500 39
Pier 1 Imports Inc. 8,505 97
* Pinnacle Micro Inc. 3,750 55
Pinnacle West Capital Corp. 4,700 135
Pioneer Group Inc. 3,400 91
Pioneer Hi Bred International 4,500 250
Pioneer Standard Electronics Inc. 7,200 95
Pitney Bowes, Inc. 7,800 367
Pittston Services Group 2,100 66
* Pizza Inn, Inc. 9,200 41
* Planet Polymer Technology, Inc. 5,200 41
* Plantronics, Inc. 300 11
* Platinum Software Co. 3,750 21
Poe & Brown, Inc. 2,900 71
Pogo Producing Co. 4,700 133
Polaroid Corp. 2,300 109
* Policy Management Systems Corp. 3,100 148
Portland General Electric Co. 2,500 73
Post Properties, Inc. 2,700 86
Potlatch Corp. 1,200 48
Potomac Electric Power Co. 5,800 152
Praxair, Inc. 8,100 272
Premark International, Inc. 3,200 162
Premier Industrial Corp. 3,900 96
* Price/Costco Inc. 11,486 177
T. Rowe Price Associates, Inc. 2,800 137
</TABLE>
19
<PAGE> 22
STATEMENT OF NET ASSETS (continued)
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- --------------------------------------------------------------------------------
<S> <C> <C>
Procter & Gamble Co. 36,500 $ 3,030
Production Operators Corp. 2,900 96
Progressive Corp. of Ohio 3,500 171
* Project Software & Development, Inc. 1,300 46
* Promus Hotel Corp. 2,700 60
* Provident Cos., Inc. 2,400 81
Providian Corp. 4,900 200
Public Service Co. of Colorado 3,300 117
Public Service Enterprise Group Inc. 12,600 386
Public Storage, Inc. 429 8
Public Storage
Properties IX, Inc., Class A 500 9
Public Storage
Properties XI, Inc., Class A 1,200 21
Public Storage
Properties XV, Inc., Class A 800 14
* Pudgie's Chicken, Inc. 7,100 36
Puerto Rican Cement Co., Inc. 3,300 109
Puget Sound Power & Light Co. 2,700 63
* Purepac Inc. 6,200 33
* Pyxis Corp. 3,800 56
The Quaker Oats Co. 6,800 235
* Qualcomm, Inc. 3,400 146
* Quantum Corp. 900 15
Questar Corp. 1,700 57
The Quick & Reilly Group, Inc. 4,834 99
* Quickturn Design Systems, Inc. 5,800 57
* Quiksilver, Inc. 4,100 140
RJR Nabisco Holdings Corp. 17,699 546
R.L.I. Corp. 2,625 66
RPM Inc. (Ohio) 3,625 59
* Racotek, Inc. 7,000 37
* Rainbow Technologies, Inc. 4,900 107
* Ralcorp Holdings Inc. 3,533 86
Ralston-Purina Group 5,515 344
Raychem Corp. 3,400 193
Rayonier Inc. 3,100 103
Raytheon Co. 13,400 633
* Read-Right Corp. 2,200 51
Reader's Digest Assn., Inc. Class A 6,000 308
* Reading & Bates Corp. 10,500 158
Real Estate Investment Trust
of California 1,700 34
* Recovery Engineering, Inc. 4,600 70
* Reddi Brake Supply Corp. 7,700 18
Reebok International Ltd. 3,900 110
Regions Financial Corp. 2,190 94
Regis Corp. 2,200 52
Reinsurance Group of America, Inc. 1,700 62
Reliance Group Holdings 4,000 35
Reliastar Financial Corp. 2,285 101
* Renaissance Communications 1,800 40
Republic New York Corp. 2,700 168
* Research Medical, Inc. 4,310 116
* Resound Corp. 5,200 38
* Retirement Care Associates, Inc. 7,875 80
* Revco Drug Stores, Inc. 5,300 150
Reynolds & Reynolds Class A 2,100 82
Reynolds Metals Co. 3,100 176
Rhone-Poulenc Rorer, Inc. 7,600 405
* Riggs National Corp. 1,900 25
Rite Aid Corp. 3,900 134
Riverwood International Corp. 5,600 107
* Robert Half International, Inc. 3,800 159
Rochester Gas and Electric Corp. 1,900 43
* Rochester Medical Corp. 2,000 28
Rockwell International Corp. 11,500 608
* Rogers Corp. 5,200 113
Rohm & Haas Co. 3,400 219
* Rohr, Inc. 6,600 95
Rollins, Inc. 3,600 80
* Rollins Environmental Services, Inc. 2,800 8
Rollins Truck Leasing 6,750 75
* Ronson Corp. 2,400 9
Roosevelt Financial Group 4,800 92
Roper Industries Inc. 3,236 121
* Rowan Cos., Inc. 15,900 157
Rubbermaid, Inc. 8,200 209
Russell Corp. 2,200 61
* Ryan's Family Steak Houses, Inc. 8,000 56
Ryder System, Inc. 3,500 87
SBC Communications Inc. 33,100 1,903
SCEcorp 23,400 415
* SPS Transaction Services 1,400 41
* S3, Inc. 1,000 18
SAFECO Corp. 6,400 221
Safety-Kleen Corp. 9,200 144
* Safeway, Inc. 5,400 278
* Saga Communications, Inc. 5,500 89
St. Joe Paper Co. 1,600 88
* St. Jude Medical, Inc. 3,300 141
St. Paul Bancorp, Inc. 3,953 101
St. Paul Cos., Inc. 4,200 234
Salomon, Inc. 5,300 188
* John B. Sanfilippo & Son, Inc. 5,600 53
* Santa Fe Energy Resources, Inc. 7,800 75
Santa Fe Pacific Gold Corp. 8,140 99
Sara Lee Corp. 25,000 797
Savannah Foods & Industries, Inc. 4,800 55
SCANA Corp. 4,800 137
* R.P. Scherer Corp. 1,200 59
* Scherer Health 3,200 10
Schering-Plough Corp. 20,000 1,095
Schlumberger Ltd. 12,600 872
</TABLE>
20
<PAGE> 23
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- --------------------------------------------------------------------------------
<S> <C> <C>
Schnitzer Steel
Industries, Inc. Class A 2,000 $ 61
* Scholastic Corp. 2,800 218
A. Schulman Inc. 1,900 43
Charles Schwab Corp. 8,100 163
* Schweitzer-Mauduit International Inc. 850 20
* Sciclone Pharmaceuticals 4,100 20
Scientific-Atlanta, Inc. 4,000 60
* Scientific Games Holdings Corp. 3,600 137
* The Score Board, Inc. 16,500 74
* Scotts Co. 5,200 100
E.W. Scripps Co. 4,000 157
Seacoast Banking Corp.
of Florida Class A 3,200 71
* Seagate Technology 3,500 166
* Sealed Air Corp. 2,000 56
Sears, Roebuck & Co. 20,700 807
Security Capital Corp. 2,300 139
Security Capital Industrial Trust 4,083 71
Security Capital Pacific Inc. 5,100 101
Sensormatic Electronics Corp. 3,500 61
* Sepracor Inc. 7,500 139
* Sequent Computer Systems, Inc. 4,100 59
* Sequus Pharmaceuticals, Inc. 4,600 65
Service Corp. International 5,300 233
* Service Merchandise Co., Inc. 4,100 20
Shared Medical Systems Corp. 3,437 186
Shaw Industries, Inc. 7,000 103
Sherwin-Williams Co. 4,400 179
* Shoe Carnival, Inc. 5,550 22
* Shoney's Inc. 5,700 58
* Show Biz Pizza Time, Inc. 5,000 60
Showboat, Inc. 3,600 95
Sigma Aldrich Corp. 2,500 124
Signet Banking Corp. 2,933 70
* Silicon Graphics, Inc. 8,400 231
* Silver King Communications 7,120 246
Simon Property Group 3,000 73
Sizzler International 5,600 24
Sizzlers Property Investors, Inc. 4,100 36
Smith Corona 12,400 1
A.O. Smith Corp. 1,500 31
* Smith International, Inc. 5,200 122
* Smithfield Foods, Inc. 4,000 128
Smiths Food & Drug
Centers, Inc. Class B 2,404 61
Snap-On Inc. 2,100 95
* Sofamor/Danek Group Inc. 2,100 59
* Software Spectrum, Inc. 2,400 51
* Softdesk, Inc. 1,000 20
* Solectron Corp. 2,100 93
Somerset Group, Inc. 3,300 59
Sonat, Inc. 4,600 164
Sonoco Products 4,200 110
Sotheby's Holdings Class A 6,300 90
* Southdown, Inc. 4,400 86
Southeastern Michigan
Gas & Electric 2,783 51
Southern Co. 37,100 913
Southern National Corp. 5,400 142
Southern New England
Telecommunications Corp. 3,000 119
* Southern Pacific Rail Corp. 7,900 190
* Southern Union Co. 5,622 142
* Southland Corp. 18,400 59
SouthTrust Corp. 3,950 102
Southwest Airlines Co. 7,050 164
Southwestern Public Service Co. 1,700 56
Sovereign Bancorp, Inc. 2,310 23
Spartan Motors, Inc. 3,300 36
* Spelling Entertainment 8,400 105
Spiegel, Inc. Class A 7,500 52
Spieker Properties, Inc. 3,000 75
* Sportmart Inc. 3,650 17
* Sportmart Inc. Class A 3,650 12
Springs Industries Inc. Class A 2,200 91
Sprint Corp. 19,640 783
* Spyglass, Inc. 1,800 102
* Standard Commercial Tobacco Co. 3,782 37
Standard Federal Bank 3,400 134
* Standard Financial, Inc. 2,500 37
Standard Products Co. 3,700 65
The Standard Register Co. 1,100 22
Stanhome, Inc. 2,300 67
The Stanley Works 2,000 103
* Staodynamics Inc. 8,300 12
* Staples, Inc. 7,050 173
Star Banc Corp. 1,700 101
* Starbucks Corp. 3,000 63
* StarSight Telecast, Inc. 2,500 12
* Starter Corp. 8,200 57
State Street Boston Corp. 4,300 193
* Station Casinos, Inc. 5,900 87
* Steris Corp. 1,500 48
* Sterling Chemicals, Inc. 6,500 53
* Sterling Software, Inc. 2,300 143
Stewart & Stevenson Services, Inc. 1,600 41
Stone Container Corp. 6,000 86
* Stop & Shop Cos. Inc. 4,700 109
* Storage Technology Corp. 3,596 86
* StrataCom, Inc. 1,800 132
* Stratosphere Corp. 3,100 31
* Strattec Strategy Corp. 1,000 18
Stride Rite Corp. 6,600 49
</TABLE>
21
<PAGE> 24
STATEMENT OF NET ASSETS (continued)
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- --------------------------------------------------------------------------------
<S> <C> <C>
Stryker Corp. 2,600 $ 136
Student Loan Marketing Assn. 4,300 283
* Styles on Video, Inc. 5,850 3
Sumitomo Bank of California 2,700 68
* Summit Care Corp. 4,100 93
Summit Bancorp 5,170 162
Sun Co., Inc. 4,337 119
* Sun Microsystems, Inc. 10,600 484
SunAmerica Inc. 2,550 121
Sunbeam Corp. 5,000 76
* Sunbelt Nursery Group, Inc. 5,000 11
Sundstrand Corp. 1,900 134
* SunGard Data Systems 2,000 56
* Sunglass Hut International, Inc. 4,800 113
SunTrust Banks, Inc. 6,900 473
Superior Industries
International, Inc. 1,900 50
Superior Surgical
Manufacturing Co., Inc. 5,900 56
SuperValu Inc. 3,700 116
* Supreme International Corp. 2,100 33
Surgical Care Affiliates, Inc. 3,500 119
* Swift Transportation Co., Inc. 1,800 27
* Sybase, Inc. 4,640 166
* Sybron Corp. 6,504 154
* Symantec Corp. 3,900 90
* Symbol Technologies, Inc. 1,300 51
* Synagro Technologies Inc. 4,100 7
* Synopsys, Inc. 2,800 107
Synovus Financial Corp. 3,500 100
Sysco Corp. 10,400 338
* TBC Corp. 7,800 66
TCF Financial Corp. 3,178 105
TECO Energy, Inc. 5,900 151
TIG Holdings, Inc. 2,800 80
TJX Cos., Inc. 3,600 68
* T.P.I. Enterprises, Inc. 7,500 22
TRW, Inc. 3,200 248
* TST Impreso, Inc. 2,600 18
Tab Products 9,100 59
Talbots Inc. 1,800 52
Tambrands, Inc. 2,000 95
* Tandem Computers, Inc. 5,700 60
Tandy Corp. 3,900 162
* Target Therapeutics, Inc. 4,944 212
* Tatham Offshore, Inc. 6,300 7
Taubman Co. REIT 9,500 95
* Tech Data Corp. 7,200 108
* Techne 3,800 77
* Technical Chemicals
and Products, Inc. 4,200 82
* Technology Solutions Co. 7,000 136
* Tecnol Medical Products Inc. 5,400 96
Tecumseh Products Co. Class A 1,000 52
Tecumseh Products Co. Class B 1,000 51
* Tejas Gas Corp. 1,650 87
Tektronix, Inc. 1,600 79
* Telco Systems, Inc. 2,300 25
* Tele-Communications, Inc. Class A 36,142 720
* Tele-Communications
International, Inc. Series A 6,500 147
Teledyne Inc. 3,000 77
Teleflex Inc. 1,937 79
Telephone & Data Systems, Inc. 3,000 118
* Tellabs, Inc. 4,400 163
* Telular Corp. 6,400 54
Temple-Inland Inc. 2,900 128
* Tencor Instruments 1,700 41
* Tenet Healthcare Corp. 10,322 214
Tenneco, Inc. 9,900 491
* Teradyne, Inc. 3,800 95
Terra Nitrogen Co. LP 3,089 116
Texaco Inc. 13,900 1,091
Texas Instruments, Inc. 9,400 486
Texas Utilities Co. 11,893 489
Textron, Inc. 4,400 297
* Thermedics, Inc. 5,700 158
* Thermo Electron Corp. 4,275 222
* Thermo Fibertek, Inc. 2,300 52
* Thermo Instrument Systems, Inc. 4,500 152
* Thermo Voltek 6,100 93
Thomas & Betts Corp. 1,000 74
Thornburg Mortgage Asset Corp. 5,900 93
* 3 Com Corp. 8,900 415
* 3DO Co. 4,200 42
Tidewater, Inc. 2,700 85
Time Warner, Inc. 21,000 795
Times Mirror Co. Class A 6,200 210
The Timkin Co. 1,600 61
Today's Bancorp 3,300 74
* Tokos Medical 12,400 111
* Toll Brothers, Inc. 7,200 166
Tootsie Roll Industries, Inc. 1,200 47
* The Topps Co., Inc. 9,400 49
Torch Energy Royalty Trust 3,100 39
Torchmark Corp. 3,700 167
The Toro Co. 3,100 102
Tosco Corp. 1,500 57
* Total Containment 2,100 8
Total Petroleum (North America) Ltd. 2,800 27
Total System Services, Inc. 3,200 98
Town & Country Trust 7,300 95
* Toys R Us, Inc. 15,840 345
* Tractor Supply Co. 2,700 55
</TABLE>
22
<PAGE> 25
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- --------------------------------------------------------------------------------
<S> <C> <C>
* Trans World Gaming Corp. 2,200 $ 3
Transamerica Corp. 3,800 277
Transatlantic Holdings 1,200 88
Transpo Inc. 900 9
* Transport Holdings, Inc. Class A 84 3
* TransTexas Gas Corp. 11,700 159
Travelers Group Inc. 16,868 1,060
Tredegar Industries Inc. 4,600 149
* Tremont Corp. 435 7
* Triangle Pacific Corp. 2,500 43
* Triarc Cos., Inc. 2,000 22
Tribune Co. 3,600 220
* Trident Microsystems, Inc. 1,800 42
Trimas Corp. 1,900 36
Trinity Industries, Inc. 2,050 64
* Triquint Semiconductor, Inc. 4,200 57
* Triton Energy Corp. 2,500 143
True North Communications 3,600 67
Trustmark Corp. 800 18
Turner Broadcasting Class B 11,500 299
* 20th Century Industries of CA 5,100 101
Tyco International Ltd. 8,350 297
Tyson Foods, Inc. 7,100 187
* UAL Corp. 1,450 259
* UCAR International, Inc. 2,500 84
UNR Industries, Inc. 11,100 96
UNUM Corp. 3,800 209
* USA Waste Service 6,800 128
USF&G Corp. 6,100 103
* USG Corp. 2,200 66
UST Inc. 10,600 354
USX-Delphi Group 4,800 50
USX-Marathon Group 15,900 310
USX-U.S. Steel Group 3,500 108
Unicom Corp. 11,300 370
Unifi, Inc. 3,200 71
Uniforce Services Inc. 2,500 28
Union Bank of San Francisco 1,800 97
Union Camp Corp. 3,500 167
Union Carbide Corp. 7,500 281
Union Electric Co. 5,000 209
Union Pacific Corp. 11,300 746
Union Pacific Resources Group, Inc. 1,500 38
Union Planters Corp. 2,300 73
Union Texas Petroleum
Holdings, Inc. 5,800 112
* Unisys Corp. 8,700 49
* Unit Corp. 17,900 85
United Healthcare Corp. 9,176 601
United Illuminating Co. 2,300 86
* United International
Holdings, Inc. Class A 4,400 64
United Jersey Bank Financial Corp. 2,500 89
U.S. Bancorp 11,315 380
* U.S. Bioscience 10,100 47
U.S. Healthcare, Inc. 8,100 376
* U.S. Robotics Corp. 2,200 193
U S WEST Communications
Group 24,400 872
* U S WEST Media Group 28,600 543
* United States Can Co. 4,291 58
* United States Cellular 4,000 135
United States Surgical Corp. 2,800 60
United States Trust Corp. 1,049 52
United Technologies Corp. 6,900 655
United Television, Inc. 1,987 177
United Wisconsin 800 18
Unitrin Inc. 2,500 119
* Unitrode Corp. 4,689 132
Universal Corp. 1,800 44
Universal Foods Corp. 2,300 92
Unocal Corp. 12,700 370
* Uranium Resources, Inc. 4,000 22
USLIFE Corp. 4,200 125
Utilicorp United, Inc. 2,200 65
* UUnet Technologies, Inc. 2,500 158
VF Corp. 3,300 174
* Valassis Communication 4,600 80
Valhi, Inc. 14,500 92
* Valence Technology 5,500 25
Valero Energy Corp. 5,800 142
Valley National Bancorp 300 7
* ValuJet Inc. 2,000 49
Valspar Corp. 1,100 49
* Value City Department Stores, Inc. 5,200 35
* Value Health, Inc. 3,771 104
Value Line, Inc. 2,600 98
* Vanguard Cellular
Systems, Inc. Class A 4,300 86
Varian Associates, Inc. 1,800 86
* Varity Corp. 2,200 82
Vastar Resources, Inc. 9,900 314
* Vencor, Inc. 3,300 107
* Ventritex Inc. 2,800 49
* Verity, Inc. 1,700 74
* Vertex Industries, Inc. 6,700 4
* Viacom International Class A 1,040 48
* Viacom International Class B 17,922 849
* Vicor Corp. 4,800 95
Victoria Bank 2,200 75
* Video Lottery 5,100 23
* VideoLan Technologies, Inc. 1,200 40
Vigoro Corp. 1,600 99
* Viking Office Products 2,100 98
</TABLE>
23
<PAGE> 26
STATEMENT OF NET ASSETS (continued)
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- --------------------------------------------------------------------------------
<S> <C> <C>
Vintage Petroleum, Inc. 1,100 $ 25
* Vishay Intertechnology, Inc. 2,740 86
* Volt Information Sciences Inc. 1,400 37
* Vons Cos., Inc. 3,400 96
Vornado Realty Trust 1,100 41
Vulcan Materials Co. 1,700 98
* WCI Steel, Inc. 8,500 37
WD-40 Co. 1,800 73
* WFS Financial, Inc. 2,600 51
* WHX Corp. 6,000 65
* WMS Industries, Inc. 200 3
WMX Technologies Inc. 25,200 753
WPL Holdings, Inc. 1,500 46
WPS Resources Corp. 2,579 88
* Waban, Inc. 6,000 113
Wabash National Corp. 2,550 57
Wachovia Corp. 9,300 425
* Wainwright Bank & Trust Co. 4,800 25
Wal-Mart Stores, Inc. 124,200 2,779
Walbro Corp. 2,400 44
Walgreen Co. 12,600 376
* Walker Interactive Systems, Inc. 7,200 53
* Wall Data Inc. 3,404 56
Wallace Computer Services, Inc. 1,000 55
Warnaco Group 2,200 55
Warner-Lambert Co. 6,900 670
Washington Energy Co. 3,000 56
Washington Federal Inc. 4,213 108
Washington Gas Light Corp. 5,600 115
Washington Mutual Inc. 2,800 80
Washington National Corp. 2,100 58
Washington Post Co. Class B 600 169
Washington Real Estate
Investment Trust 4,500 71
Washington Water Power Co. 2,800 49
* Watson Pharmaceuticals, Inc. 2,000 98
Wausau Paper Mills Co. 3,909 108
Waverly, Inc. 2,091 97
* Weatherford Enterra Inc. 4,225 122
Weingarten Realty Investors 1,300 49
* Weirton Steel 6,600 27
Weis Markets, Inc. 2,400 68
* Wellcare Management Group, Inc. 4,000 85
Wellman, Inc. 1,700 39
* Wellpoint Health
Networks, Inc. Class A 5,000 161
Wells Fargo & Co. 2,818 609
Wellsford Residential Property Trust 2,850 65
Wendy's International, Inc. 5,200 110
Werner Enterprises, Inc. 3,700 74
* Western Atlas Inc. 3,300 167
Western Investment
Real Estate Trust 7,000 75
Western National Corp. 1,700 27
Western Resources, Inc. 3,100 103
Westinghouse Electric Corp. 21,300 351
Westvaco Corp. 5,250 146
* WetSeal, Inc. Class A 9,800 68
Weyerhaeuser Co. 10,700 463
Wheelabrator Technologies 9,300 156
Whirlpool Corp. 4,200 224
* White River 1,100 41
Whitman Corp. 5,000 116
Whitney Holdings 3,305 102
* Whole Food Markets, Inc. 3,100 43
Willamette Industries, Inc. 2,600 146
Williams Cos., Inc. 6,105 268
* Clayton Williams Energy, Inc. 5,700 17
Wilmington Trust Corp. 2,900 90
Winn Dixie Stores, Inc. 7,400 273
* Winslow Furniture Co. 6,700 38
* Winter Sports Inc. 3,486 57
* Wisconsin Central
Transportation Corp. 900 59
Wisconsin Energy Corp. 5,900 181
Wiser Oil Co. 1,500 18
Witco Chemical Corp. 2,600 76
* Wonderware Corp. 1,100 19
Woolworth Corp. 6,500 85
* WorldCom, Inc. 10,112 358
Worthington Foods 750 10
Worthington Industries, Inc. 4,050 83
Wrigley (Wm.) Jr. Co. 6,000 315
Wyle Electronics 4,500 158
* Wyman Gordon Corp. 1,800 25
Xerox Corp. 5,600 767
* Xilinx, Inc. 3,600 109
* Xiox Corp. 1,900 5
York International Corp. 1,900 89
* York Research Corp. 14,100 75
* Zanart Entertainment, Inc. 5,000 20
* Zilog Inc. 2,400 88
Zurich Reinsurance Centre
Holdings, Inc. 3,200 97
- --------------------------------------------------------------------------------
TOTAL COMMON STOCKS
(Cost $264,843) 347,777
- --------------------------------------------------------------------------------
</TABLE>
24
<PAGE> 27
<TABLE>
<CAPTION>
Face Market
Amount Value
(000) (000)+
- --------------------------------------------------------------------------------
<S> <C> <C>
U.S. GOVERNMENT & AGENCY
OBLIGATIONS (24.4%)
- --------------------------------------------------------------------------------
U.S. GOVERNMENT SECURITIES (12.1%)
U.S. Treasury Bonds
8.125%, 8/15/19-5/15/21 $ 8,265 $ 10,393
8.50%, 2/15/20 2,705 3,534
8.75%, 5/15/17 5,170 6,837
8.875%, 8/15/17-2/15/19 7,570 10,145
9.125%, 5/15/18 2,835 3,896
10.375%, 11/15/09-11/15/12 1,700 2,304
10.75%, 8/15/05 1,560 2,143
13.875%, 5/15/11 200 326
14.00%, 11/15/11 2,865 4,752
U.S. Treasury Notes
4.75%, 8/31/98 550 544
5.25%, 7/31/98 750 750
5.875%, 7/31/97 500 505
6.25%, 5/31/00 650 672
6.75%, 6/30/99 2,450 2,562
6.875%, 7/31/99 900 945
7.25%, 8/15/04 2,215 2,463
7.50%, 10/31/99 900 966
7.75%, 11/30/99-1/31/00 2,375 2,577
7.875%, 11/15/04 1,475 1,707
8.00%, 8/15/99 160 174
8.25%, 7/15/98 1,400 1,498
8.50%, 7/15/97-2/15/00 7,255 7,788
8.625%, 8/15/97 250 263
8.75%, 10/15/97 1,300 1,378
8.875%, 11/15/98-2/15/99 1,650 1,816
9.00%, 5/15/98 575 623
---------
GROUP TOTAL 71,561
---------
- --------------------------------------------------------------------------------
AGENCY BONDS AND NOTES (.8%)
Federal National Mortgage Association
4.95%, 9/30/98 1,250 1,231
5.30%, 3/11/98 1,000 993
5.35%, 8/12/98 1,250 1,241
5.80%, 12/10/03 1,200 1,192
8.625%, 10/18/21 100 108
---------
GROUP TOTAL 4,765
---------
- --------------------------------------------------------------------------------
MORTGAGE OBLIGATIONS (11.5%)
Federal Home Loan Mortgage Corp.
5.50%, 9/1/98-1/1/09 441 436
6.00%, 7/1/98-1/1/24 2,064 2,048
6.50%, 1/1/98-9/1/25 4,744 4,738
7.00%, 2/1/97-12/1/25 5,111 5,178
7.50%, 9/1/97-12/1/25 3,764 3,868
8.00%, 7/1/97-9/1/25 2,670 2,768
8.50%, 3/1/96-5/1/25 1,436 1,500
9.00%, 1/1/05-5/1/25 1,035 1,090
9.50%, 8/1/03-2/1/25 700 745
10.00%, 3/1/17-4/1/20 226 248
Federal National
Mortgage Association
5.50%, 1/1/01-11/1/08 173 169
6.00%, 8/1/00-10/1/25 1,606 1,582
6.50%, 3/1/00-9/1/25 4,415 4,396
7.00%, 5/1/00-12/1/25 5,899 5,968
7.50%, 4/1/99-11/1/25 4,397 4,513
8.00%, 5/1/99-12/1/25 3,720 3,857
8.50%, 6/1/06-7/1/25 1,912 1,998
9.00%, 9/1/04-4/1/25 1,068 1,127
9.50%, 4/1/05-5/1/22 649 693
10.00%, 7/1/05-9/1/24 501 548
10.50%, 8/1/20 56 62
Government National
Mortgage Association
6.00%, 3/15/09-1/15/24 283 277
6.50%, 9/15/08-5/15/24 1,629 1,623
7.00%, 5/15/08-12/15/25 3,815 3,869
7.50%, 5/15/08-11/15/25 3,621 3,732
8.00%, 4/15/02-8/15/25 3,668 3,827
8.50%, 7/15/01-12/15/25 1,730 1,818
9.00%, 2/15/04-4/15/25 2,576 2,735
9.50%, 9/15/18-1/15/25 1,042 1,120
10.00%, 10/15/17-12/15/20 563 620
10.50%, 9/15/15-9/15/19 174 193
11.00%, 7/15/13-12/15/15 120 135
12.00%, 2/15/14 92 105
---------
GROUP TOTAL 67,586
---------
- --------------------------------------------------------------------------------
TOTAL U.S. GOVERNMENT & AGENCY
OBLIGATIONS (Cost $138,190) 143,912
- --------------------------------------------------------------------------------
CORPORATE BONDS (13.8%)
- --------------------------------------------------------------------------------
ASSET-BACKED (1.6%)
Banc One Credit Card Master Trust
7.55%, 12/15/99 500 518
Chase Manhattan Credit Card Trust
7.40%, 5/15/00 550 561
8.75%, 8/15/99 550 557
Discover Card Master Trust
5.40%, 11/16/01 500 498
First Chicago Master Trust
6.25%, 8/15/99 850 859
8.40%, 6/15/98 850 860
MBNA Master Credit Card Trust
6.20%, 8/15/99 850 858
7.75%, 10/15/98 550 559
Sears Credit Account Master Trust
5.90%, 11/15/98 252 253
7.25%, 7/16/01 500 514
7.75%, 9/15/98 550 558
</TABLE>
25
<PAGE> 28
STATEMENT OF NET ASSETS (continued)
<TABLE>
<CAPTION>
Face Market
Amount Value
(000) (000)+
- --------------------------------------------------------------------------------
<S> <C> <C>
Signet Credit Card Master Trust
4.85%, 4/15/00 $ 500 $ 497
Standard Credit Card Trust
6.80%, 4/7/01 500 517
8.00%, 10/7/97 850 862
8.50%, 8/7/97 850 860
---------
GROUP TOTAL 9,331
---------
- --------------------------------------------------------------------------------
FINANCE (6.7%)
American Express Credit Corp.
8.50%, 6/15/99 175 190
American General Finance Corp.
5.875%, 7/1/00 450 445
7.45%, 7/1/02 175 188
8.00%, 2/15/00 1,000 1,077
Associates Corp.
5.875%, 8/15/97 500 503
6.25%, 3/15/99 500 508
6.875%, 1/15/97 300 303
7.50%, 4/15/02 750 808
8.75%, 9/4/96 400 403
9.70%, 5/1/97 250 263
AVCO Financial Services
5.50%, 5/1/98 500 499
7.50%, 11/15/96 300 305
8.85%, 2/1/96 500 501
BankAmerica Corp.
6.00%, 7/15/97 500 504
7.50%, 10/15/02 200 215
10.00%, 2/1/03 200 244
Bankers Trust New York Corp.
4.70%, 7/1/96 500 498
8.25%, 7/2/96 600 607
Bear Stearns Cos., Inc.
6.625%, 1/15/04 400 404
9.125%, 4/15/98 1,000 1,072
Beneficial Corp.
9.125%, 2/15/98 400 428
CIT Group Holdings
6.625%, 6/15/05 700 722
Chase Manhattan Corp.
7.875%, 1/15/97 300 306
8.50%, 3/1/96 850 854
Chemical Banking Corp.
6.625%, 1/15/98 350 357
7.25%, 9/15/02 400 419
7.375%, 6/15/97 500 513
Chrysler Finance Corp.
5.375%, 10/15/98 500 493
5.625%, 1/15/99 425 423
Citicorp
10.15%, 2/15/98 1,600 1,742
Commercial Credit Corp.
6.75%, 1/15/97 650 657
7.375%, 11/15/96 500 508
Countrywide Funding
7.31%, 8/28/00 400 419
Dean Witter Discover & Co.
6.00%, 3/1/98 2,250 2,269
First Chicago Corp.
7.625%, 1/15/03 350 380
11.25%, 2/20/01 400 492
First Union Corp.
8.125%, 6/24/02 500 554
Fleet Financial Group
6.875%, 3/1/03 400 416
Ford Motor Credit Corp.
6.25%, 2/26/98 500 507
7.875%, 1/15/97 600 614
8.20%, 2/15/02 600 665
8.25%, 7/15/96 400 405
General Motors Acceptance Corp.
6.625%, 10/1/02 600 616
7.125%, 6/1/99 500 519
9.625%, 12/15/01 600 706
Great Western Finance Corp.
6.375%, 7/1/00 1,600 1,623
Household Finance Corp.
7.65%, 5/15/07 700 771
International Lease Finance
7.90%, 10/1/96 1,150 1,169
Lehman Brothers Holdings, Inc.
5.75%, 2/15/98 750 748
Mellon Financial Corp.
6.50%, 12/1/97 200 203
7.625%, 11/15/99 350 372
Merrill Lynch & Co., Inc.
7.25%, 5/15/97 500 511
8.30%, 11/1/02 125 140
9.00%, 5/1/98 250 267
Morgan Stanley Group, Inc.
7.32%, 1/15/97 750 762
9.25%, 3/1/98 225 241
NCNB Corp.
9.50%, 6/1/04 275 332
NationsBank Corp.
6.75%, 8/15/00 1,200 1,244
8.125%, 6/15/02 700 774
Norwest Financial Inc.
7.10%, 11/15/96 600 608
PaineWebber Group Inc.
7.00%, 3/1/00 1,050 1,072
Republic Bank of New York
7.75%, 5/15/02 500 547
</TABLE>
26
<PAGE> 29
<TABLE>
<CAPTION>
Face Market
Amount Value
(000) (000)+
- --------------------------------------------------------------------------------
<S> <C> <C>
Smith Barney Holdings, Inc.
7.98%, 3/1/00 $ 1,300 $ 1,394
Transamerica Financial Corp.
8.375%, 2/15/98 425 448
U S WEST Financial
8.85%, 9/20/99 500 548
---------
GROUP TOTAL 39,295
---------
- --------------------------------------------------------------------------------
INDUSTRIAL (4.1%)
American Airlines Equipment
Trust Certificates
9.71%, 1/2/07 402 466
American Brands, Inc.
7.875%, 1/15/23 100 113
Anheuser-Busch Co., Inc.
7.375%, 7/1/23 125 132
8.625%, 12/1/16 200 210
Applied Materials, Inc.
8.00%, 9/1/04 125 139
Archer-Daniels-Midland Co.
8.875%, 4/15/11 295 361
Auburn Hills Trust
12.00%, 5/1/20 175 275
BP America, Inc.
7.875%, 5/15/02 250 276
8.875%, 12/1/97 1,000 1,060
Boeing Co.
8.375%, 3/1/96 550 552
CSX Corp.
8.25%, 11/1/96 450 459
8.40%, 8/1/96 525 533
8.625%, 5/15/22 100 122
Conrail Corp.
9.75%, 6/15/20 120 162
Cyprus Minerals
6.625%, 10/15/05 600 607
Deere & Co.
8.50%, 1/9/22 175 212
Delta Airlines Equipment
Trust Certificates
8.54%, 1/2/07 432 473
Eastman Chemical
7.25%, 1/15/24 325 342
Ford Capital BV
9.00%, 6/1/96 275 279
9.00%, 8/15/98 600 648
9.375%, 1/1/98 750 803
9.50%, 6/1/10 100 127
9.875%, 5/15/02 400 478
Ford Motor Corp.
9.95%, 2/15/32 100 140
General Motors Corp.
7.625%, 2/15/97 500 511
9.125%, 7/15/01 250 285
9.625%, 12/1/00 950 1,094
W.R. Grace & Co.
7.40%, 2/1/00 600 626
8.00%, 8/15/04 150 166
International Paper Co.
7.625%, 1/15/07 100 110
May Department Stores Co.
9.75%, 2/15/21 120 153
McDonald's Corp.
6.75%, 2/15/03 300 313
Mobil Corp.
7.625%, 2/23/33 325 354
Occidental Petroleum
8.50%, 11/9/01 900 1,008
J.C. Penney Co., Inc.
6.875%, 6/15/99 750 777
7.125%, 11/15/23 150 157
9.05%, 3/1/01 300 342
PepsiCo, Inc.
5.00%, 2/24/97 1,000 995
6.125%, 1/15/98 250 253
Philip Morris Cos., Inc.
8.25%, 10/15/03 200 223
Phillips Petroleum Co.
9.00%, 6/1/01 1,000 1,133
Quaker State
6.625%, 10/15/05 600 613
Sears, Roebuck & Co.
9.25%, 4/15/98 1,250 1,345
Tenneco Inc.
9.875%, 2/1/01 850 989
10.375%, 11/15/00 800 944
Texaco Capital Corp.
7.50%, 3/1/43 150 161
8.875%, 9/1/21 100 128
Union Carbide Corp.
6.75%, 4/1/03 500 519
7.875%, 4/1/23 150 167
Union Oil of California
6.375%, 2/1/04 150 151
9.125%, 2/15/06 160 193
9.25%, 2/1/03 325 381
Union Pacific Corp.
8.625%, 5/15/22 225 259
Wal-Mart Stores, Inc.
8.00%, 5/1/96 275 277
</TABLE>
27
<PAGE> 30
STATEMENT OF NET ASSETS (continued)
<TABLE>
<CAPTION>
Face Market
Amount Value
(000) (000)+
- --------------------------------------------------------------------------------
<S> <C> <C>
Waste Management Inc.
7.875%, 8/15/96 $ 300 $ 304
Whirlpool Corp.
9.00%, 3/1/03 200 233
---------
GROUP TOTAL 24,133
---------
- --------------------------------------------------------------------------------
UTILITIES (1.4%)
Alabama Power Co.
8.75%, 12/1/21 168 179
Arizona Public Service Co.
8.00%, 2/1/25 225 239
Baltimore Gas & Electric
8.375%, 8/15/01 800 889
Carolina Power & Light Co.
6.875%, 8/15/23 275 279
Connecticut Power and Light Co.
7.625%, 4/1/97 493 503
Consolidated Edison Co.
of New York, Inc.
6.625%, 2/1/02 1,000 1,025
Enron Corp.
7.125%, 5/15/07 300 317
9.65%, 5/15/01 400 465
Houston Lighting and Power Co.
8.75%, 3/1/22 150 181
MCI Communications Corp.
7.50%, 8/20/04 450 491
Michigan Bell Telephone Co.
7.50%, 2/15/23 275 294
New York Telephone Co.
7.00%, 8/15/25 200 199
Pacific Bell Corp.
7.25%, 7/1/02 275 294
Southern Bell Corp.
7.625%, 3/15/13 550 565
Southwestern Bell Corp.
7.625%, 10/1/13 175 180
7.625%, 3/1/23 475 504
Texas Utilities Co.
7.125%, 6/1/97 400 408
7.875%, 3/1/23 325 349
8.125%, 2/1/02 400 440
8.25%, 4/1/04 150 169
Union Electric Corp.
7.65%, 7/15/03 250 274
Virginia Electric Power Co.
6.625%, 4/1/03 250 258
---------
GROUP TOTAL 8,502
---------
- --------------------------------------------------------------------------------
TOTAL CORPORATE BONDS
(Cost $79,632) 81,261
- --------------------------------------------------------------------------------
FOREIGN AND INTERNATIONAL
AGENCY BONDS (2.2%)
- --------------------------------------------------------------------------------
Asian Development Bank
9.125%, 6/1/00 500 564
Province of British Columbia
7.00%, 1/15/03 230 245
British Columbia Hydro
12.50%, 9/1/13 500 601
European Investment Bank
8.875%, 3/1/01 275 314
Export Import Bank of Japan
9.00%, 4/15/98 500 537
Grand Metropolitan Investment Corp.
9.00%, 8/15/11 250 309
Hanson Overseas
7.375%, 1/15/03 600 641
Inter American Development Bank
8.50%, 3/15/11 175 213
International Bank for
Reconstruction & Development
12.375%, 10/15/02 225 307
KFW International Finance, Inc.
7.625%, 2/15/04 800 883
8.85%, 6/15/99 550 605
Province of Manitoba
7.75%, 2/1/02 825 902
8.75%, 5/15/01 300 339
9.25%, 4/1/20 130 171
9.50%, 10/1/00 160 184
National Westminster Bancorp Inc.
9.375%, 11/15/03 500 598
New Zealand Government
8.75%, 12/15/06 200 242
9.875%, 1/15/11 275 367
Noranda Inc.
8.625%, 7/15/02 550 620
Bank of Nova Scotia
6.875%, 5/1/03 500 522
Province of Ontario
7.375%, 1/27/03 175 190
7.75%, 6/4/02 275 299
Province of Saskatchewan
8.00%, 7/15/04 1,100 1,226
Philips Electronics NV
8.375%, 9/15/06 650 749
Kingdom of Thailand
8.25%, 3/15/02 1,200 1,331
- --------------------------------------------------------------------------------
TOTAL FOREIGN AND INTERNATIONAL
AGENCY BONDS (Cost $12,490) 12,959
- --------------------------------------------------------------------------------
</TABLE>
28
<PAGE> 31
<TABLE>
<CAPTION>
Face Market
Amount Value
(000) (000)+
- --------------------------------------------------------------------------------
<S> <C> <C>
TEMPORARY CASH INVESTMENTS (2.0%)
- --------------------------------------------------------------------------------
U.S. TREASURY BILL--Note D
5.33%, 3/21/96 $ 300 $ 297
REPURCHASE AGREEMENT
Collateralized by U.S. Government
Obligations in a Pooled
Cash Account 5.89%, 1/2/96 11,349 11,349
- --------------------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $11,646) 11,646
- --------------------------------------------------------------------------------
TOTAL INVESTMENTS (101.3%)
(Cost $506,801) 597,555
- --------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-1.3%)
- --------------------------------------------------------------------------------
Other Assets--Notes B and E 10,863
Liabilities--Note E (18,303)
---------
(7,440)
- --------------------------------------------------------------------------------
NET ASSETS (100%)
- --------------------------------------------------------------------------------
Applicable to 46,201,841 outstanding
$.001 par value shares
(authorized 1,000,000,000 shares) $590,115
- --------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE $12.77
================================================================================
</TABLE>
+ See Note A to Financial Statements.
* Non-Income Producing Security.
(1)The combined market value of common stocks, Standard & Poor's 500 Index, and
Standard & Poor's Midcap 400 Index Futures Contracts represents 60.7% of net
assets.
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
AT DECEMBER 31, 1995,
NET ASSETS CONSISTED OF:
- --------------------------------------------------------------------------------
Amount Per
(000) Share
--------- ---------
<S> <C> <C>
Paid in Capital $497,957 $10.78
Undistributed Net
Investment Income 565 .01
Accumulated Net
Realized Gains 879 .02
Unrealized Appreciation
(Depreciation)--Note D:
Investment Securities 90,754 1.96
Futures Contracts (40) --
- --------------------------------------------------------------------------------
NET ASSETS $590,115 $12.77
- --------------------------------------------------------------------------------
</TABLE>
29
<PAGE> 32
STATEMENT OF OPERATIONS
<TABLE>
<CAPTION>
Year Ended
December 31, 1995
(000)
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INVESTMENT INCOME
INCOME
Dividends . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 6,517
Interest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13,102
- -------------------------------------------------------------------------------------------------------------------------
Total Income . . . . . . . . . . . . . . . . . . . . . . . . . . . 19,619
- -------------------------------------------------------------------------------------------------------------------------
EXPENSES
The Vanguard Group--Note B
Investment Advisory Services . . . . . . . . . . . . . . . . . . . . $ 71
Management and Administrative . . . . . . . . . . . . . . . . . . . . 598
Marketing and Distribution . . . . . . . . . . . . . . . . . . . . . 118 787
-----
Taxes (other than income taxes) . . . . . . . . . . . . . . . . . . . . 44
Custodian Fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 54
Auditing Fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8
Shareholders' Reports . . . . . . . . . . . . . . . . . . . . . . . . . 67
Annual Meeting and Proxy Costs . . . . . . . . . . . . . . . . . . . . . 14
Directors' Fees and Expenses . . . . . . . . . . . . . . . . . . . . . . 2
- -------------------------------------------------------------------------------------------------------------------------
Total Expenses . . . . . . . . . . . . . . . . . . . . . . . . . . 976
- -------------------------------------------------------------------------------------------------------------------------
Net Investment Income . . . . . . . . . . . . . . . . . . . . . 18,643
- -------------------------------------------------------------------------------------------------------------------------
REALIZED NET GAIN
Investment Securities Sold . . . . . . . . . . . . . . . . . . . . . . . 2,317
Futures Contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . 663
- -------------------------------------------------------------------------------------------------------------------------
Realized Net Gain . . . . . . . . . . . . . . . . . . . . . . . 2,980
- -------------------------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION)
Investment Securities . . . . . . . . . . . . . . . . . . . . . . . . . 98,218
Futures Contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . (70)
- -------------------------------------------------------------------------------------------------------------------------
Change in Unrealized Appreciation (Depreciation) . . . . . . . 98,148
- -------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets Resulting from Operations . . . . . $119,771
=========================================================================================================================
</TABLE>
30
<PAGE> 33
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
YEAR ENDED Year Ended
DECEMBER 31, 1995 December 31, 1994
(000) (000)
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE IN NET ASSETS
OPERATIONS
Net Investment Income . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 18,643 $ 15,125
Realized Net Gain . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,980 129
Change in Unrealized Appreciation
(Depreciation) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 98,148 (21,230)
- -------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
Resulting from Operations . . . . . . . . . . . . . . . . . . . . . . 119,771 (5,976)
- -------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS (1)
Net Investment Income . . . . . . . . . . . . . . . . . . . . . . . . . . . (19,091) (14,998)
Realized Net Gain . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (2,247) --
- -------------------------------------------------------------------------------------------------------------------------
Total Distributions . . . . . . . . . . . . . . . . . . . . . . . . . . (21,338) (14,998)
- -------------------------------------------------------------------------------------------------------------------------
NET EQUALIZATION CREDITS--NOTE A . . . . . . . . . . . . . . . . . . . . . . . 694 172
- -------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS (2)
Issued --Regular . . . . . . . . . . . . . . . . . . . . . . . . . . . 126,184 103,724
--In Lieu of Cash Distributions . . . . . . . . . . . . . . . . 20,070 13,990
--Exchange . . . . . . . . . . . . . . . . . . . . . . . . . . 46,721 41,672
Redeemed --Regular . . . . . . . . . . . . . . . . . . . . . . . . . . . (56,586) (46,359)
--Exchange . . . . . . . . . . . . . . . . . . . . . . . . . . (48,252) (56,431)
- -------------------------------------------------------------------------------------------------------------------------
Net Increase from
Capital Share Transactions . . . . . . . . . . . . . . . . . . . . . 88,137 56,596
- -------------------------------------------------------------------------------------------------------------------------
Total Increase . . . . . . . . . . . . . . . . . . . . . . . . . . . . 187,264 35,794
- -------------------------------------------------------------------------------------------------------------------------
NET ASSETS
Beginning of Year . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 402,851 367,057
- -------------------------------------------------------------------------------------------------------------------------
End of Year (3) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $590,115 $402,851
=========================================================================================================================
(1) Distributions Per Share
Net Investment Income . . . . . . . . . . . . . . . . . . . . . . . . $.45 $.40
Realized Net Gain . . . . . . . . . . . . . . . . . . . . . . . . . . $.05 --
- -------------------------------------------------------------------------------------------------------------------------
(2) Shares Issued and Redeemed
Issued . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14,759 13,701
Issued in Lieu of Cash Distributions . . . . . . . . . . . . . . . . 1,647 1,340
Redeemed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (9,160) (9,743)
- -------------------------------------------------------------------------------------------------------------------------
7,246 5,298
- -------------------------------------------------------------------------------------------------------------------------
(3) Undistributed Net Investment Income . . . . . . . . . . . . . . . . . $ 565 $ 319
- -------------------------------------------------------------------------------------------------------------------------
</TABLE>
31
<PAGE> 34
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
Year Ended December 31,
----------------------------------- September 28 to
For a Share Outstanding Throughout Each Period 1995 1994 1993 December 31, 1992
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . . . $10.34 $10.91 $10.31 $10.00
------ ------ ------ ------
INVESTMENT OPERATIONS
Net Investment Income . . . . . . . . . . . . . .45 .41 .39 .08
Net Realized and Unrealized Gain (Loss)
on Investments . . . . . . . . . . . . . . . . 2.48 (.58) .63 .31
------ ------ ------ ------
TOTAL FROM INVESTMENT OPERATIONS . . . . . 2.93 (.17) 1.02 .39
- -------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income . . . . . . (.45) (.40) (.39) (.08)
Distributions from Realized Capital Gains . . . . (.05) -- (.03) --
------ ------ ------ ------
TOTAL DISTRIBUTIONS . . . . . . . . . . . (.50) (.40) (.42) (.08)
- -------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . . . $12.77 $10.34 $10.91 $10.31
=========================================================================================================================
TOTAL RETURN** . . . . . . . . . . . . . . . . . . . +28.64% -1.56% +10.00% +3.69%
- -------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- ------------------------
Net Assets, End of Period (Millions) . . . . . . . . $590 $403 $367 $109
Ratio of Expenses to Average Net Assets . . . . . . . .20% .20% .20% .22%*
Ratio of Net Investment Income
to Average Net Assets . . . . . . . . . . . . . . 3.85% 3.86% 3.53% 3.76%*
Portfolio Turnover Rate . . . . . . . . . . . . . . . 16% 16% 25% 17%
- -------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Annualized.
** Total return figures do not reflect the annual account maintenance fee of
$10. Subscription period for the Fund was from September 28, 1992, to
November 8, 1992, during which time all assets were held in money market
instruments. Performance measurement begins on November 9, 1992.
32
<PAGE> 35
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 of Investment Companies, transfers uninvested cash balances into a
Pooled Cash Account, the daily aggregate of which is invested in repurchase
agreements secured by U.S. Government obligations. Securities pledged as
collateral for repurchase agreements are held by 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
33
<PAGE> 36
NOTES TO FINANCIAL STATEMENTS (continued)
(losses) are recognized. Unrealized appreciation (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, Inc. furnishes at cost investment advisory, corporate
management, administrative, marketing, and distribution services. The costs of
such services are allocated to the Fund under methods approved by the Board of
Directors. At December 31, 1995, 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 year ended December 31, 1995, the Fund made purchases of
$81,508,000 and sales of $14,853,000 of investment securities other than U.S.
Government securities and temporary cash investments. Purchases and sales of
U.S. Government securities were $93,170,000 and $62,671,000, respectively.
D. At December 31, 1995, unrealized appreciation of investment securities for
financial reporting and Federal income tax purposes was $90,754,000, of which
$104,920,000 related to appreciated securities and $14,166,000 related to
depreciated securities.
At December 31, 1995, the aggregate settlement value of open Standard & Poor's
500 Index and Standard & Poor's Midcap 400 Index futures contracts expiring in
March 1996, the related unrealized depreciation, and the market value of U.S.
Treasury Bills deposited as initial margin for those contracts were
$10,203,000, $40,000, and $297,000, respectively.
E. The market value of securities on loan to broker/dealers at December 31,
1995, was $2,145,000, for which the Fund had received cash collateral of
$2,237,000.
34
<PAGE> 37
REPORT OF INDEPENDENT ACCOUNTANTS
To the Shareholders and Board of Directors
Vanguard Balanced Index Fund
In our opinion, the accompanying statement of net assets and the related
statements of operations and of changes in net assets and the financial
highlights present fairly, in all material respects, the financial position of
Vanguard Balanced Index Fund (the "Fund") at December 31, 1995, and the results
of its operations, the changes in its net assets and the financial highlights
for each of the respective periods presented, in conformity with generally
accepted accounting principles. These financial statements and financial
highlights (hereafter referred to as "financial statements") are the
responsibility of the Fund's management; our responsibility is to express an
opinion on these financial statements based on our audits. We conducted our
audits of these financial statements in accordance with generally accepted
auditing standards which require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of
material misstatement. An audit includes examining, on a test basis, evidence
supporting the amounts and disclosures in the financial statements, assessing
the accounting principles used and significant estimates made by management,
and evaluating the overall financial statement presentation. We believe that
our audits, which included confirmation of securities by correspondence with
the custodian and brokers and the application of alternative auditing
procedures where confirmations from brokers were not received, provide a
reasonable basis for the opinion expressed above.
PRICE WATERHOUSE LLP
Thirty South Seventeenth Street
Philadelphia, Pennsylvania 19103
January 31, 1996
SPECIAL 1995 TAX INFORMATION (UNAUDITED)
FOR VANGUARD BALANCED INDEX FUND
Corporate shareholders should note for the year ended December 31, 1995,
32.9% of the Fund's investment income (i.e., dividend income plus short-term
capital gains, if any) qualifies for the intercorporate dividends received
deduction.
35
<PAGE> 38
DIRECTORS AND OFFICERS
JOHN C. BOGLE, Chairman and Chief Executive Officer
Chairman and Director of The Vanguard Group, Inc.,
and of each of the investment companies in The
Vanguard Group.
JOHN J. BRENNAN, President
President and Director of The Vanguard Group, Inc.,
and of each of the investment companies in The
Vanguard Group.
ROBERT E. CAWTHORN, Chairman of Rhone-Poulenc
Rorer Inc.; Director of Sun Company, Inc.
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 of The Brookings
Institution; Director of American Express Bank Ltd. and
The St. Paul Companies, Inc.
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.
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
ROBERT A. DiSTEFANO IAN A. MacKINNON
Senior Vice President Senior Vice President
Information Technology Fixed Income Group
JEREMY G. DUFFIELD F. WILLIAM McNABB III
Senior Vice President Senior Vice President
Planning & Development Institutional
JAMES H. GATELY RALPH K. PACKARD
Senior Vice President Senior Vice President
Individual Investor Group Chief Financial Officer
36
<PAGE> 39
THE VANGUARD FAMILY OF FUNDS
EQUITY AND BALANCED FUNDS
GROWTH AND INCOME FUNDS
Vanguard/Windsor Fund
Vanguard/Windsor II
Vanguard Equity Income Fund
Vanguard Quantitative Portfolios
Vanguard/Trustees' Equity Fund
U.S. Portfolio
Vanguard Convertible
Securities Fund
BALANCED FUNDS
Vanguard/Wellington Fund
Vanguard/Wellesley Income Fund
Vanguard STAR Portfolio
Vanguard Asset Allocation Fund
Vanguard LIFEStrategy Funds
GROWTH FUNDS
Vanguard/Morgan Growth Fund
Vanguard/PRIMECAP Fund
Vanguard U.S. Growth Portfolio
AGGRESSIVE GROWTH FUNDS
Vanguard Explorer Fund
Vanguard Specialized Portfolios
Vanguard Horizon Fund
Global Equity Portfolio
Global Asset Allocation Portfolio
Capital Opportunity Portfolio
Aggressive Growth Portfolio
INTERNATIONAL FUNDS
Vanguard International
Growth Portfolio
Vanguard/Trustees' Equity Fund
International Portfolio
INDEX FUNDS
Vanguard Index Trust
500 Portfolio
Total Stock Market Portfolio
Extended Market Portfolio
Growth Portfolio
Value Portfolio
Small Capitalization Stock Portfolio
Vanguard Tax-Managed Fund
Vanguard Balanced Index Fund
Vanguard Bond Index Fund
Total Bond Market Portfolio
Short-Term Bond Portfolio
Intermediate-Term Bond Portfolio
Long-Term Bond Portfolio
Vanguard International Equity
Index Fund
European Portfolio
Pacific Portfolio
Emerging Markets Portfolio
FIXED INCOME FUNDS
MONEY MARKET FUNDS
Vanguard Money Market Reserves
Vanguard Admiral Fund
U.S. Treasury Money Market Portfolio
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 Fixed Income
Securities Fund
Vanguard Admiral Fund
Vanguard Preferred Stock Fund
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.
[THE VANGUARD GROUP LOGO]
Vanguard Financial Center
Valley Forge, Pennsylvania 19482
New Account Information:
1 (800) 662-7447
Shareholder Account Services:
1 (800) 662-2739
Q020-12/95
ON OUR COVER: On the evening of August 1, 1798, Lord Horatio Nelson sailed his
flagship, HMS Vanguard, into Egypt's Aboukir Bay. In a night encounter, the
British fleet annihilated Napoleon Bonaparte's ships of the line in what is
still considered to be the most complete victory ever recorded in naval
history. Our Report's cover illustration is Thomas Luny's 1830 painting, The
Battle Of The Nile, in which the French flagship, L'Orient, is shown as it
exploded at 10:00 p.m. under a gibbous moon.
<PAGE> 40
VANGUARD BALANCED INDEX FUND
EDGAR APPENDIX
This appendix describes the components of the printed version of this report
that do not translate into a format acceptable to the EDGAR system.
The cover of the printed version of this report features Thomas Luny's 1830
painting "The Battle Of The Nile".
A photograph of John C. Brennan and John C. Bogle appears on the inside cover
top-center.
A running head featuring a sword, helmet, gloves and battleships in the
background appears at the top of pages one through six.
A line chart of the Indexed Value between Stock Market and Bond Market for the
fiscal years 1990 through 1995 appears at the top of page two.
Line charts illustrating performance between the Balanced Index Composite Fund
(60% Wilshire 5000 Index and 40% Lehman Aggregate Bond Index), and the Average
Balanced Fund for the period December 31, 1985, to December 31, 1995 appears at
the top of page four.
Line charts illustrating cumulative performance between Vanguard Balanced Index
Fund, Wilshire 5000 Index, Balanced Index Composite, and Average Balanced Fund,
average Annual Total Returns for the period November 9, 1992, to December 31,
1995 appears at the top of page six.
A running head featuring an hour glass, compass and telescope, and ships in the
background appears at the top of page seven.
A running head featuring open log book, pen and battleships in the background
appears at the top of pages eight through thirty five.
A running head featuring a sextant, a map, and battleships in the background
appear at the top of page thirty six.
A running head featuring birds flying and ships in the background appears at
the top of the inside back cover.