<PAGE> 1
[PHOTO]
VANGUARD
BALANCED INDEX
FUND
Annual Report
December 31, 1996
THE VANGUARD GROUP:
LINKING TRADITION
AND INNOVATION
At Vanguard, we treasure our rich nautical heritage--even as we steer our course
toward the twenty-first century. Our Report cover reflects that blending of
tradition and innovation, of past, present, and future. The montage includes a
bronze medallion with a likeness of our namesake, HMS Vanguard (Lord Nelson's
flagship at The Battle of the Nile); a clock built circa 1816 in Scotland,
featuring a portrait of Nelson (who is also shown, accepting a surrender, in a
detail from a nineteenth-century engraving); and several views of our recently
completed campus, which is steeped in nautical imagery--from our buildings named
after Nelson's warships (Victory, Majestic, and Goliath are three shown), to our
artwork and ornamental compass rose.
<PAGE> 2
[PHOTO]
VANGUARD HAS ALWAYS STRIVED TO BE THE STANDARD-BEARER for mutual fund
disclosure, going well beyond the "letter of the law" in our shareholder
communications. During the past year, we raised the standard once again by
rewriting and reformatting our Fund prospectuses. They are designed to ensure
that prospective investors fully understand, before they make an investment,
each Fund's investment strategies, risks, and costs. In that spirit, we have
redesigned our Annual Reports to shareholders, which provide a comprehensive
discussion and analysis of the year's results in the context of each Fund's
investment objectives and policies. Since Vanguard has long been recognized for
the quality and content of these Fund Reports, our overriding objective was to
maintain the character of the previous Reports, while adding information to
assist shareholders in understanding the investment characteristics of their
Fund.
THE NEW FUND REPORTS INCLUDE A MESSAGE TO SHAREHOLDERS from Chairman John C.
Bogle and President John J. Brennan. This Message continues to provide a candid
assessment of the Fund's performance relative to an appropriate unmanaged market
benchmark and a peer group of mutual funds with similar investment policies. It
also reviews the principal factors contributing to--and detracting from--the
returns earned by the Fund. To help you evaluate your Fund's current-year
performance, the Message includes a discussion of the Fund's long-term
investment results, as well as a look ahead to the prospects for the coming
year. A recap of the financial markets, which had been included as part of the
Chairman's letter, now appears in The Markets In Perspective. This overview
covers the world's financial markets, putting the results of the Fund's strategy
in a global perspective.
THE PORTFOLIO PROFILE REPRESENTS AN ADDITION TO OUR FUND REPORTS. In this day
and age, many investors use detailed statistical information to evaluate their
mutual fund holdings, and our new Portfolio Profile furnishes shareholders with
comprehensive data on key characteristics--sector diversification, volatility,
top-ten holdings, among others--that ultimately define how a Fund is likely to
perform in various market environments. For this information to be used
effectively, we include a brief description of the profiled characteristics. The
Report From The Adviser (for our traditionally managed Funds) now covers
specific topics that we have defined as being the important ones for the adviser
to address--and we do our best to ensure that this Report is written in the same
simple and candid manner that characterizes all Vanguard communications.
Finally, each Adviser's Report will include an inset reminder of the adviser's
basic investment philosophy.
WE TRUST THAT THIS REDESIGNED FUND REPORT will continue to meet your need for a
fair, candid, and clear presentation of your Fund's investment results and a
thorough portfolio review. We welcome any comments that you might have at any
time regarding these Reports.
CONTENTS
A Message To
Our Shareholders
1
The Markets
In Perspective
4
Portfolio
Profile
6
Performance
Summary
10
Financial
Statements
11
Report Of
Independent
Accountants
42
Directors And
Officers
INSIDE BACK COVER
<PAGE> 3
[PHOTO]
JOHN C. BOGLE
[PHOTO]
JOHN J. BRENNAN
FELLOW SHAREHOLDER,
Bolstered by the U.S. stock market's continued surge--yet restrained by the
lackluster performance of bonds--Vanguard Balanced Index Fund provided a solid
total return of +13.9% in the year ended December 31, 1996.
Our Fund's return bettered that of the average balanced fund by the
smallest of margins and trailed that of our target composite index by the same
tiny gap. Our target index is composed of two unmanaged market indexes in a
60%/40% ratio of stocks to bonds. Those indexes are the Wilshire 5000 Index,
which reflects the entire U.S. stock market; and the Lehman Aggregate Bond
Index, a good measure of the entire U.S. bond market. The table at right
summarizes our results.
Our Fund's return is based on an increase in net asset value from $12.77
per share on December 31, 1995, to $13.92 per share on December 31, 1996, with
the latter figure adjusted for dividends totaling $0.49 per share paid from net
investment income and distributions of $0.12 per share paid from net realized
capital gains. Based on the Fund's net asset value on December 31, 1996, its
dividend yield was 3.6%.
<TABLE>
<CAPTION>
- --------------------------------------------------------
TOTAL RETURN
YEAR ENDED
DECEMBER 31, 1996
- --------------------------------------------------------
<S> <C>
Vanguard Balanced Index Fund +13.9%
- --------------------------------------------------------
Average Balanced Fund +13.8%
- --------------------------------------------------------
Composite Balanced Index* +14.0%
- --------------------------------------------------------
Wilshire 5000 Index +21.2%
Lehman Aggregate Bond Index + 3.6
- --------------------------------------------------------
</TABLE>
*60% Wilshire 5000 Index, 40% Lehman Aggregate
Bond Index.
1996 PERFORMANCE OVERVIEW
In a nearly ideal environment of moderate economic growth, rising corporate
profits, and continued low inflation, the U.S. stock market flourished in 1996.
Interest rates fluctuated substantially, rising early in the year along with
estimates of the economy's strength, then declining in the autumn as estimates
of economic growth abated--and with them, inflation anxieties. However, interest
rates closed the year with a sharp upward spike in December. The yield on the
benchmark 30-year U.S. Treasury bond finished the year at 6.6%--up about
six-tenths of a percentage point from 6.0% at the end of 1995--driving the price
of the long bond down by nearly -8%.
In contrast, the price trend for common stocks was virtually one-way: up.
The Standard & Poor's 500 Composite Stock Price Index provided positive returns
in all but two months (July and December), as both growth stocks and value
stocks turned in strong performances. Because of the market's overwhelming bias
toward stocks of large-capitalization companies, the benchmark for the stock
portion of our Fund, the Wilshire 5000 Index, did not keep pace with the S&P 500
Index during the year. Even so, the Wilshire 5000 Index's +21.2% return in 1996
was excellent, a full 6.5 percentage points above the Index's annualized return
of +14.7% over the past decade.
On the bond side, the rise in interest rates during the year dampened
returns. The Lehman Aggregate Bond Index achieved a total return of +3.6%,
consisting of an income return of +6.8%, reduced by a -3.2% capital return. The
Lehman Aggregate Bond Index's
1
<PAGE> 4
return for the year was well below the annual average of +8.5% it achieved for
the period 1986 through 1996.
We once again--for the third consecutive year--outpaced the average return
earned by comparable balanced funds. In 1996, however, our margin of superiority
was modest to a fault (+13.9% versus +13.8%). We were somewhat handicapped on
the bond side: The quality of our bonds was higher than our peers' and the
maturity longer. Over the long term, we believe this combination will redound to
the benefit of our shareholders.
LIFETIME PERFORMANCE OVERVIEW
During its brief life span, Vanguard Balanced Index Fund has achieved an average
annualized return of +12.8%, providing an annual margin of +0.9% over the
average balanced fund while trailing our target composite index by -0.4%. The
table below presents average annual returns since our inception date, along with
the growth of hypothetical $10,000 investments in our Fund, the average balanced
mutual fund, and the composite balanced index.
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------
TOTAL RETURN
NOV. 9, 1992, TO DEC. 31, 1996
--------------------------------
AVERAGE FINAL VALUE OF
ANNUAL A $10,000
RATE INITIAL INVESTMENT
- ----------------------------------------------------------------------
<S> <C> <C>
Vanguard Balanced Index Fund +12.8% $16,460
- ----------------------------------------------------------------------
Average Balanced Fund +11.9% $15,944
- ----------------------------------------------------------------------
Composite Balanced Index +13.2% $16,716
- ----------------------------------------------------------------------
</TABLE>
Our lifetime performance has earned the Fund a place among the top third of
all balanced mutual funds. Our edge over our average competitor has been
accounted for--and then some--by our low expense ratio, which is 0.20% of
average net assets, well below the expense ratio of 1.26% charged by the average
balanced mutual fund. What is more, this higher lifetime return has come hand in
hand with a record of lower risk (volatility) than our peers. In all, our record
during the more than four years since the Fund's founding reaffirms our
confidence that our consistent investment strategy, steady implementation, low
portfolio turnover, and exceptionally low costs will carry the day.
Low as they are, our expenses account for part of our shortfall against the
composite index. As a theoretical construct, this index incurs none of the
operating, administrative, or investment advisory expenses that are borne by all
mutual funds, even index funds. The balance of our modest shortfall was the
result of "tracking error," which arises because we own a representative sample
of the securities in the Wilshire 5000 and Lehman Aggregate Bond Indexes, rather
than every stock or bond in each Index. Consequently, our performance may differ
slightly from that of our target from time to time--sometimes positively,
sometimes negatively but variations we expect to be offsetting over longer
periods.
We should emphasize that future returns from the financial markets may be
lower than those of the past four years, which by historical standards was an
unusually bountiful period for stocks. A +13% average annual return on a
stock-bond portfolio, we would suggest, is well above the reward investors
should expect over the long term from any mutual fund, to say nothing of one
that takes a conservative approach.
We also remind investors to take note of the divergence of the returns of
stocks and bonds in 1996, which followed a year when both types of investments
enjoyed explosive rallies. The fact that stocks and bonds will rise and
fall--sometimes in tandem, sometimes not--is reason enough for investors to
always view the future with caution. Not
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<PAGE> 5
coincidentally, the recognition that the stock and bond markets will not only
fluctuate, but diverge unpredictably is also the foundation of the investment
policy of Vanguard Balanced Index Fund.
IN SUMMARY
Most mutual fund investors understand that volatility risk is a measure of how
much an investment may fluctuate in value over a given period. But many equity
investors today have experienced only "upside volatility." The U.S. stock market
has been rising--with only a few, relatively brief setbacks--for nearly 15
years. The bond market has provided extraordinarily high returns over the same
period.
Against this backdrop, it seems appropriate to step back and assess the
outlook for the financial markets. While no one can accurately predict what will
happen over the next decade--or even the next year--it seems unlikely that
stocks or bonds will enjoy a repeat of the exceptional returns of this
remarkable era. Indeed, there are sure to be some rough seas ahead. Nonetheless,
we believe that investors who maintain a balanced portfolio of stock funds, bond
funds, and money market funds will withstand the volatility of the financial
markets and be rewarded. "Stay the course" has proved wise counsel in the past,
and we see no reason why it should not continue to be in the future.
/s/ JOHN C. BOGLE /s/ JOHN J. BRENNAN
Chairman of the Board President
January 20, 1997
3
<PAGE> 6
THE MARKETS IN PERSPECTIVE: YEAR ENDED DECEMBER 31, 1996
[PHOTO]
U.S. EQUITY MARKETS
The stock market in 1996 could not match its astonishing 37.6% return of the
previous year--but it made a good run, with the Standard & Poor's 500 Composite
Stock Price Index up by 23.0%. When the two years are considered cumulatively,
the S&P 500 Index has risen 69.2%. Not surprisingly, many of the factors that
drove the market higher in 1995 were still at work: Once again, steady economic
growth, low inflation, and solid earnings growth were powerful motivators.
The market's gains, however, were far from evenly distributed. Investors
strongly favored larger companies, such as those that dominate the S&P 500
Index. In fact, even within the Index, it was the largest companies that
prevailed: The 50 biggest (which account for roughly half the Index's market
value) gained 26.7% in 1996, compared with an increase of 23.0% for the entire
Index. Looking at the S&P 500 Index's performance by sector, technology stocks
were strongest, closing the year with a 42.5% gain. Financial stocks were a
close second, gaining 35.5%. Utilities, plagued early in the year by higher
interest rates and a rapidly changing competitive landscape, eked out a meager
1.8% return, the lowest within the Index.
With the largest companies performing so well, most smaller issues could
not keep pace. This was evidenced in the considerable difference between the
23.0% return of the S&P 500 Index and the 16.5% return of the Russell 2000 Index
of small stocks. Even for the smaller companies, there was a significant range
of performance among sectors. Energy stocks led the Russell 2000 Index with a
62.0% gain for the year. Here, rising prices, limited exposure to the cyclical
refining business, and a reduced number of competitors created a favorable
environment for the stocks. At the other end of the spectrum were health-care
stocks, which showed a loss of -3.3%.
<TABLE>
<CAPTION>
- --------------------------------------------------------------------
AVERAGE ANNUALIZED RETURNS
PERIODS ENDED DECEMBER 31, 1996
-------------------------------
1 YEAR 3 YEARS 5 YEARS
- --------------------------------------------------------------------
<S> <C> <C> <C>
Equity
S&P 500 Index 23.0% 19.7% 15.2%
Russell 2000 Index 16.5 13.7 15.6
MSCI-EAFE Index 6.4 8.6 8.5
- --------------------------------------------------------------------
Fixed-Income
Lehman Aggregate Bond Index 3.6% 6.0% 7.0%
Lehman 10-Year Municipal
Bond Index 4.5 5.3 7.5
Salomon 90-Day U.S. Treasury Bills 5.3 5.1 4.4
- --------------------------------------------------------------------
Other
Consumer Price Index 3.3% 2.8% 2.8%
- --------------------------------------------------------------------
</TABLE>
U.S. FIXED-INCOME MARKETS
At year-end, the yield on the 30-year U.S. Treasury bond was 6.64%, noticeably
higher than its 5.95% level on December 31, 1995. The change in rates during
1996 reflects increased concern about the prospects for rising inflation, due to
indications of greater than expected strength in the economy.
When the year began, the general expectation was that modest economic
growth and benign inflation would continue, giving the Federal Reserve no reason
to boost interest
4
<PAGE> 7
rates. That complacency was shattered by an exceptionally strong February jobs
report, the first of what turned out to be a succession of signs that in fact
the economy was growing at a much faster--and potentially
inflation-inducing--pace. The bond market reacted swiftly to meet the perceived
risk: The 30-year Treasury bond's yield jumped from just below 6.0% at the end
of 1995 to 6.7% in late March. The next several months saw a consistent pattern
in which bond yields rose on the Friday of the jobs-report release only to fall
back by the middle of the month. Hindsight shows that most of the worry was
wasted: Inflation, as measured by the Consumer Price Index, remained near an
annualized rate of 3.3%. But increasing signs of growth in late November and
December reignited inflation concerns and caused bonds to finish the year on a
sour note.
Despite the numerous setbacks suffered by the bond market in 1996, indexes
were able to finish the year with positive total returns. Although the specter
of the Federal Reserve Board loomed large during the year, in fact the Board
acted only once, lowering the federal funds rate by a total of 0.25% in January.
Corporate bonds, mortgage-backed issues, and municipals were three
relatively bright spots in 1996. The strength in earnings that benefited stock
prices extended to the corporate bond sector as well. These bonds, especially
those of lower credit quality, performed well relative to Treasuries, supported
by general confidence in companies' ability to meet payments. The
stable-to-rising interest-rate environment throughout most of the year benefited
another large segment of the bond market--mortgage-backed securities--as the
threat of refinancings receded. Finally, municipal bonds outpaced their U.S.
Treasury counterparts. The sector was shielded to a certain extent from the
inflation wars of the Treasury market, as demand outstripped supply for much of
the year.
INTERNATIONAL EQUITY MARKETS
Investors who assess international markets by the often-cited EAFE
benchmark--the Morgan Stanley Capital International-Europe, Australasia, Far
East Index, with its 1996 return of 6.4%--could have overlooked a striking
regional disparity between the Euro-pean and Pacific markets. Europe's markets
gained 21.4% during the year, while their Pacific counterparts posted a decline
of -8.2%. Clearly, the outlook and environments that characterized the European
and Far East markets were quite different.
The poor returns in the Pacific region largely reflected ongoing concern
about the health of the Japanese economy. Growth in Japan has remained modest at
best for several years despite government efforts to stimulate the economy
through public works programs and tax incentives. In Europe, the picture was
dramatically different, with the region benefiting from a variety of factors.
Among the most important were (1) ongoing efforts to lower government deficits
consistent with the Maastricht Treaty guidelines, (2) improving economic growth,
and (3) a greater commitment by corporate executives to increasing "shareholder
value."
5
<PAGE> 8
PORTFOLIO PROFILE: BALANCED INDEX FUND
DECEMBER 31, 1996
This Profile provides a snapshot of the Fund's equity and fixed-income
characteristics, compared where appropriate to an unmanaged index. Key elements
of this Profile are defined on pages 8 and 9.
<TABLE>
<CAPTION>
TOTAL FUND CHARACTERISTICS
- ---------------------------------------------
<S> <C>
Turnover Rate 37%
Expense Ratio 0.20%
Cash Reserves 0.8%
- ---------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
TOTAL FUND VOLATILITY MEASURES
- ---------------------------------------------
BALANCED
INDEX FUND S&P 500
- ---------------------------------------------
<S> <C> <C>
R-Squared 0.96 1.00
Beta 0.69 1.00
</TABLE>
<TABLE>
<CAPTION>
EQUITY CHARACTERISTICS
- ---------------------------------------------
BALANCED WILSHIRE
INDEX FUND 5000
- ---------------------------------------------
<S> <C> <C>
Number of Stocks 2,433 7,352
Median Market Cap $11.2B $10.8B
Price/Earnings Ratio 19.8x 19.8x
Price/Book Ratio 3.2x 3.2x
Yield 3.6% 1.8%
Return on Equity 18.7% 18.6%
Earnings Growth Rate 14.1% 14.1%
Foreign Holdings 0.4% 0.6%
</TABLE>
<TABLE>
<CAPTION>
SECTOR DIVERSIFICATION (% OF COMMON STOCK)
- --------------------------------------------------------------------------------------------
DECEMBER 31, 1995 DECEMBER 31, 1996
-------------------------------------------
BALANCED BALANCED WILSHIRE
INDEX FUND INDEX FUND 5000
- --------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Basic Materials ............................. 6.0% 5.4% 5.4%
Capital Goods & Construction ................ 8.2 8.3 8.3
Consumer Cyclical ........................... 13.6 13.5 13.5
Consumer Staples ............................ 9.4 9.7 9.6
Energy ...................................... 7.0 7.6 7.4
Financial ................................... 16.3 17.3 17.8
Health Care.................................. 10.5 10.1 9.9
Technology .................................. 13.4 15.1 14.9
Transport & Services ........................ 1.8 1.6 1.6
Utilities ................................... 11.2 8.9 8.9
Miscellaneous ............................... 2.6 2.5 2.7
- --------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
PORTFOLIO ALLOCATION
- ---------------------------------------------
<S> <C>
Stocks 60%
Bonds 39.4%
Cash Reserves 1%
</TABLE>
<TABLE>
<CAPTION>
TEN LARGEST HOLDINGS (% OF COMMON STOCK)
- ---------------------------------------------
<S> <C>
General Electric Co. 2.1%
The Coca-Cola Co. 1.7
Exxon Corp. 1.6
Intel Corp. 1.4
Microsoft Corp. 1.3
Merck & Co., Inc. 1.3
Philip Morris Cos., Inc. 1.2
International Business Machines Corp. 1.0
Procter & Gamble Co. 1.0
AT&T Corp. 0.9
- ---------------------------------------------
Top Ten 13.5%
Top Ten as % of Total Net Assets 7.7
</TABLE>
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<PAGE> 9
EQUITY INVESTMENT FOCUS
- ---------------------------------------------
[CHART]
<TABLE>
<CAPTION>
FIXED-INCOME CHARACTERISTICS
- ---------------------------------------------
<S> <C>
Number of Bonds 266
Average Coupon 7.6%
Average Maturity 8.8 years
Average Quality Aaa
Average Duration 4.7 years
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION BY ISSUER (% OF BONDS)
- ---------------------------------------------
<S> <C>
Treasury/Agency 34.1%
Mortgage 30.3
Finance 12.0
Industrial 9.8
Asset-Backed 5.5
Foreign 4.6
Utilities 3.7
- ---------------------------------------------
Total 100.0%
</TABLE>
FIXED-INCOME INVESTMENT FOCUS
- ---------------------------------------------
[CHART]
<TABLE>
<CAPTION>
DISTRIBUTION BY CREDIT QUALITY (% OF BONDS)
- ---------------------------------------------
<S> <C>
Aaa 71.0%
Aa 3.5
A 16.5
Baa 9.0
Ba --
B --
Not Rated --
- ---------------------------------------------
Total 100.0%
</TABLE>
7
<PAGE> 10
[PHOTO]
AVERAGE COUPON. The average interest rate, expressed as a percentage of face
value, paid on the securities held by a portfolio.
AVERAGE DURATION. An estimate of how much a bond portfolio's share price will
fluctuate in response to a change in interest rates. To estimate the price
sensitivity of a portfolio, multiply its duration by the change in rates. If
interest rates rise by one percentage point, the share price of a portfolio with
an average duration of five years would decline by about 5%. If rates decrease
by a percentage point, the portfolio's share price would rise by 5%.
AVERAGE MATURITY. The average length of time until bonds held by a portfolio
reach maturity and are repaid. In general, the longer the average maturity, the
more a portfolio's share price will fluctuate in response to changes in market
interest rates.
AVERAGE QUALITY. An indicator of credit risk, this figure is the average of the
ratings assigned to a portfolio's securities holdings by credit-rating agencies.
The agencies assign ratings after appraising an issuer's ability to meet its
obligations. Quality is graded on a scale, with Aaa indicating the most
creditworthy corporate bond issuers.
BETA. A measure of the magnitude of a portfolio's past share-price fluctuations
in relation to the fluctuations in the overall market (or appropriate market
index). The market, or index, has a beta of 1.00, so a portfolio with a beta of
1.20 would have seen its share price rise or fall by 12% when the overall market
rose or fell by 10%.
CASH RESERVES. The percentage of a portfolio's net assets invested in "cash
equivalents"--highly liquid, short-term, interest-bearing investments.
DISTRIBUTION BY CREDIT QUALITY. An indicator of the risk of default or other
credit problems on securities held by a portfolio.
DISTRIBUTION BY ISSUER. A breakdown of a portfolio's holdings by type of issuer
or type of instrument.
EARNINGS GROWTH RATE. The annual average rate of growth in earnings over the
past five years for the stocks now in a portfolio.
EQUITY INVESTMENT FOCUS. This grid indicates the focus of a balanced portfolio's
equity segment in terms of two attributes--market capitalization (large, medium,
or small) and relative valuation (growth, value, or a blend). For instance, if
the upper right box of the grid is shaded, it indicates that this segment
emphasizes large-capitalization growth stocks.
EXPENSE RATIO. The percentage of a portfolio's average net assets used to pay
its annual administrative and advisory expenses. These expenses directly reduce
returns to investors.
FIXED-INCOME INVESTMENT FOCUS. This grid indicates the focus of a balanced
portfolio's fixed-income segment in terms of two attributes--average maturity
(short, medium, or long) and average credit quality (high, medium, or low).
FOREIGN HOLDINGS. The percentage of a portfolio's investments represented by
stocks or American Depository Receipts of companies based outside the United
States.
MEDIAN MARKET CAP. The midpoint of market capitalization (market price x shares
outstanding) of the stocks in a portfolio. Half the stocks in the portfolio have
higher market capitalizations and half lower.
NUMBER OF BONDS. An indicator of diversification. The more separate issues a
portfolio holds, the less susceptible it is to a price decline stemming from the
problems of a particular issue.
NUMBER OF STOCKS. An indicator of diversification. The more stocks a portfolio
holds, the more diversified it is and the more likely it is to perform in line
with the overall stock market.
8
<PAGE> 11
PORTFOLIO ALLOCATION. This graph shows the distribution, by type of asset, of
the Fund's holdings.
PRICE/BOOK RATIO. The share price of a stock divided by its net worth, or book
value, per share. For a portfolio, the weighted average price/book ratio of the
stocks it holds.
PRICE/EARNINGS RATIO. The ratio of a stock's current price to its per-share
earnings over the past year. For a portfolio, the weighted average P/E of the
stocks it holds. P/E is an indicator of market expectations about corporate
prospects; the higher the P/E, the greater the expectations for a company's
future growth.
R-SQUARED. A measure of how much of a portfolio's past returns can be explained
by the returns from the overall market (or its benchmark index). If a
portfolio's total return were precisely synchronized with the overall market's
return, its R-squared would be 1.00. If a portfolio's returns bore no
relationship to the market's returns, its R-squared would be 0.
RETURN ON EQUITY. The annual average rate of return generated by a company
during the past five years for each dollar of shareholder's equity (net income
divided by shareholder's equity). For a portfolio, the weighted average return
on equity for the companies represented in the portfolio.
SECTOR DIVERSIFICATION. The percentage of a portfolio's common stocks invested
in each of the major industry classifications that compose the stock market.
TEN LARGEST HOLDINGS. The percentage of a portfolio's total net assets in its
ten largest investments (the average for stock mutual funds is about 25%). As
this percentage rises, a portfolio's returns are likely to be more volatile
since they are more dependent on the fortunes of a few companies.
TURNOVER RATE. An indication of trading activity during the past year.
Portfolios with high turnover rates incur higher transaction costs and are more
likely to realize and distribute capital gains (which are taxable to investors).
YIELD. A snapshot of a portfolio's income from interest and dividends. The
yield, expressed as a percentage of the portfolio's net asset value, is based on
income earned over the past 30 days and is annualized, or projected forward for
the coming year.
9
<PAGE> 12
PERFORMANCE SUMMARY: BALANCED INDEX FUND
All of the data on this page represent past performance, which cannot be used to
predict future returns that may be achieved by the Fund. Note, too, that both
share price and return can fluctuate widely so that an investment in the Fund
could lose money.
<TABLE>
<CAPTION>
TOTAL INVESTMENT RETURNS: 11/9/92-12/31/96
- ---------------------------------------------------------
BALANCED INDEX FUND COMPOSITE
INDEX*
FISCAL CAPITAL INCOME TOTAL TOTAL
YEAR RETURN RETURN RETURN RETURN
- ---------------------------------------------------------
<C> <C> <C> <C> <C>
1992 2.9% 0.8% 3.7% 3.8%
1993 6.1 3.9 10.0 10.7
1994 -5.2 3.6 -1.6 -1.2
1995 24.0 4.6 28.6 29.0
1996 10.0 3.9 13.9 14.0
</TABLE>
*60% Wilshire 5000 Index, 40% Lehman Aggregate Bond Index.
See Financial Highlights table on page 39 for dividend and capital gains
information since the Fund's inception.
<TABLE>
<CAPTION>
CUMULATIVE PERFORMANCE: 11/9/92-12/31/96
- --------------------------------------------------------------------------------------------------------------------
Cumulative Performance 10 yr Graph - Portfolio/ Benchmark - Vanguard Balanced
Index Fund
VANGUARD BALANCED INDEX LIPPER BALANCED FUNDS AVERAGE 60% WILSHIRE 5000;40% AGGREGATE BD WILSHIRE 5000 LEHMAN
<C> <C> <C> <C> <C> <C>
199211 10,000 10000 10000 10000 10000
199212 10,369 10373 10383 10524 10188
199303 10,769 10784 10821 10972 10609
199306 10,920 10949 10988 11055 10890
199309 11,286 11325 11369 11502 11174
199312 11,397 11482 11496 11711 11181
199403 10,995 11108 11108 11275 10860
199406 10,887 10973 11011 11187 10748
199409 11,257 11294 11397 11794 10814
199412 11,212 11193 11363 11704 10855
199503 12,025 11867 12207 12761 11402
199506 12,984 12728 13188 13952 12096
199509 13,774 13438 14012 15227 12334
199512 14,417 14012 14663 15970 12859
199603 14,787 14368 15046 16866 12631
199606 15,184 14703 15480 17610 12703
199609 15,571 15113 15867 18108 12938
199612 16,426 15944 16716 19357 13329
</TABLE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS
PERIODS ENDED DECEMBER 31, 1996
---------------------------------- FINAL VALUE OF A
1 YEAR SINCE INCEPTION $10,000 INVESTMENT
- --------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Balanced Index Fund* 13.91% 12.73% $16,426
Average Balanced Fund 13.76 11.92 15,944
Composite Balanced Index** 14.01 13.21 16,716
Wilshire 5000 Index 21.21 17.29 19,357
Lehman Aggregate Bond Index 3.63 7.18 13,329
- --------------------------------------------------------------------------------------------
</TABLE>
*Performance figures are adjusted for the $10 annual account maintenance fee.
**60% Wilshire 5000 Index, 40% Lehman Aggregate Bond Index.
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS: PERIODS ENDED 12/31/96
- --------------------------------------------------------------------------------------------
SINCE INCEPTION
INCEPTION ---------------------------
DATE 1 YEAR CAPITAL INCOME TOTAL
- --------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Balanced Index Fund* 11/9/92 13.91% 8.66% 4.07% 12.73%
- --------------------------------------------------------------------------------------------
</TABLE>
* Performance figures are adjusted for the $10 annual account maintenance fee.
10
<PAGE> 13
[PHOTO]
FINANCIAL STATEMENTS
DECEMBER 31, 1996
STATEMENT OF NET ASSETS
This Statement provides a detailed list of the Fund's holdings, including each
security's market value on the last day of the reporting period. Securities are
grouped and subtotaled by asset type (common stocks, bonds, etc.). The Fund's
Wilshire 5000 Index common stocks are listed alphabetically; corporate bonds are
subtotaled by industry sector and reported separately from U.S. and foreign
government bonds. Other assets are added to, and liabilities are subtracted
from, the value of Total Investments to calculate the Fund's Net Assets.
Finally, Net Assets are divided by the outstanding shares of the Fund to arrive
at its share price, or Net Asset Value (NAV) Per Share.
At the end of the Statement of Net Assets, you will find a table displaying
the composition of the Fund's net assets on both a dollar and per-share basis.
Because all income and any realized gains must be distributed to shareholders
each year, the bulk of net assets consists of Paid in Capital (money invested by
shareholders). The amounts shown for Undistributed Net Investment Income and
Accumulated Net Realized Gains usually approximate the sums the Fund had
available to distribute to shareholders as income dividends or capital gains as
of the statement date. Any Accumulated Net Realized Losses, and any cumulative
excess of distributions over net income or net realized gains, will appear as
negative balances. Unrealized Appreciation (Depreciation) is the difference
between the market value of the Fund's investments and their cost, and reflects
the gains (losses) that would be realized if the Fund were to sell all of its
investments at their statement- date values.
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------
MARKET
VALUE*
BALANCED INDEX FUND SHARES (000)
- ---------------------------------------------------------------------
COMMON STOCKS (56.9 %)(1)
- ---------------------------------------------------------------------
<S> <C> <C>
AAR Corp. 5,200 $ 157
# ABR Information Services, Inc. 800 32
# ACC Corp. 1,800 54
# ADC Telecommunications, Inc. 8,000 249
# AER Energy Resources, Inc. 2,800 6
# AES Corp. 3,607 168
AFLAC, Inc. 8,187 350
AGCO Corp. 3,400 97
AGL Resources Inc. 3,800 80
AK Steel Holding Corp. 1,600 63
# AM International, Inc. 4,000 18
# AML Communications, Inc. 4,050 55
# AMR Corp. 5,300 467
# APAC Teleservices, Inc. 2,500 96
APL Ltd. 2,800 66
ARCO Chemical Co. 5,500 270
AT&T Corp. 98,900 4,302
AVX Corp. 4,700 101
Abbott Laboratories 47,900 2,431
# Acclaim Entertainment Inc. 5,800 19
# AccuStaff, Inc. 11,054 234
Ackerley Communications, Inc. 4,600 54
# Acme Metals, Inc. 200 4
# ACNielson Corp. 3,366 51
# Action Performance Cos., Inc. 2,532 46
# Active Voice Corp. 2,500 34
# Acuson Corp. 4,200 102
# Acxiom Corp. 3,200 76
ADAC Laboratories 4,000 96
# Adaptec, Inc. 6,800 272
Adobe Systems, Inc. 4,000 150
# Adtran, Inc. 2,100 87
# Advance Paradigm, Inc. 500 10
# Advanced Fibre Communications 1,800 100
# Advanced Polymer Systems 8,200 62
# Advanced Tissue Sciences Inc. 1,300 13
# Advanced Technology
Laboratories, Inc. 2,400 74
ADVO, Inc. 4,300 60
# Advanced Micro Devices, Inc. 11,200 288
Advanta Corp. Class A 2,650 113
# Aerovox, Inc. 900 4
Aetna Inc. 9,021 722
Aetna Inc. 6.25% Series C 674 53
Affiliated Community Bancorp 1,700 36
# Affiliated Computer Services, Inc. 2,200 65
# Affymetrix, Inc. 2,800 57
H.F. Ahmanson & Co. 6,300 205
# Air and Water Technologies Corp.
Class A 1,500 9
Air Express International Corp. 2,700 87
Air Products & Chemicals, Inc. 6,600 456
# Airsensors Inc. 300 3
Airborne Freight Corp. 2,700 63
# Airgas, Inc. 3,400 75
# AirTouch Communications, Inc. 30,600 773
AirTouch Communications, Inc.
Cvt. Pfd. 6.00% 905 25
AirTouch Communications, Inc.
Pfd. 4.25% Series C 581 26
# Alanco Environmental
Resources Corp. 13,900 28
</TABLE>
11
<PAGE> 14
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------
MARKET
VALUE*
BALANCED INDEX FUND SHARES (000)
- ---------------------------------------------------------------------
<S> <C> <C>
Albemarle Corp. 3,150 $ 57
Alberto-Culver Co. Class B 1,700 82
Alberto-Culver Co. Class A 1,400 58
Albertson's, Inc. 15,500 552
Alco Standard Corp. 7,500 387
Alex Brown, Inc. 700 51
Alexander & Alexander
Services, Inc. 4,800 83
Alexander & Baldwin, Inc. 2,800 69
# Alexander's, Inc. 277 22
Alfa Corp. 5,200 66
# All American Semiconductor, Inc. 1,000 1
# Alleghany Corp. 328 70
Allegheny Power System, Inc. 7,100 216
Allegheny Teledyne Inc. 10,675 246
Allegiance Corp. 3,200 88
# The Allen Group, Inc. 3,600 80
Allergan, Inc. 3,800 135
# Alliance Entertainment 9,600 18
# Alliance Pharmaceutical Corp. 4,798 65
# Alliance Semiconductor Corp. 2,500 18
Allied Capital Commercial Corp. 3,800 88
Allied Capital Lending Corp. 4,800 73
# Allied Digital Technologies Corp. 1,500 4
# Allied Holdings, Inc. 5,400 42
AlliedSignal Inc. 17,400 1,166
Allmerica Financial Corp. 3,100 104
Allmerica Property & Casualty Cos. 3,600 109
Allstate Corp. 27,326 1,581
ALLTEL Corp. 11,100 348
# Allwaste, Inc. 5,900 30
# Altera Corp. 2,500 182
# Altris Software, Inc. 4,300 28
# Alumax, Inc. 2,250 75
Aluminum Co. of America 10,400 663
# Alyn Corp. 600 6
# ALZA Corp. 5,200 135
# Amax Gold, Inc. 10,006 64
AMBAC, Inc. 1,800 119
Amcast Industrial Corp. 1,904 47
Amerada Hess Corp. 5,800 336
# Amerco Inc. 1,100 38
# America Online, Inc. 5,500 183
# America West Airlines, Inc. 6,800 108
American Annuity Group Inc. 1,500 21
# Amdahl Corp. 6,100 74
American Bancorp 400 10
American Bankers
Insurance Group 1,700 87
American Brands, Inc. 10,400 516
# American Business
Information, Inc. 3,784 83
# American Coin
Merchandising, Inc. 1,700 9
American Electric Power Co., Inc. 10,900 448
# American Exploration Co. 2,600 42
American Express Co. 29,084 1,643
American Financial Group, Inc. 3,800 143
# American Freightways 1,396 15
American General Corp. 12,100 495
American Greetings Corp. Class A 4,600 131
American Health Properties, Inc. 4,000 96
American Health Properties
Psychiatric Group 300 5
American Heritage Life
Investment Corp. 2,400 63
American Home Products Corp. 39,000 2,286
American International Group, Inc. 28,800 3,118
American List Corp. 632 19
# American Management
Systems, Inc. 2,200 54
# American Medical Response, Inc. 1,300 42
# American Media Class A 9,700 57
American National Insurance Co. 1,400 104
# American Oncology
Resources, Inc. 2,600 26
# American Power Conversion Corp. 5,800 158
# American Standard Cos., Inc. 4,800 184
American States Financial Corp. 3,400 90
American Stores Co. 8,600 352
# American Wagering, Inc. 2,300 29
American Water Works Co., Inc. 5,900 122
Ameron International Corp. 1,400 72
# AmeriSource Health Corp. 1,100 53
# Ames Department Stores, Inc. 7,000 30
Ameritech Corp. 33,700 2,043
AmeriGas Partners, LP 2,500 56
# Amgen, Inc. 16,300 887
AMP, Inc. 13,492 518
Amoco Corp. 30,000 2,415
# Ampal-American Israel Corp. 12,000 58
Ampco-Pittsburgh Corp. 2,200 26
# Ampex Corp. Class A 2,200 21
# Amphenol Corp. 2,200 49
AmSouth Bancorp 3,200 155
Amvestors Financial Corp. 3,100 46
Anadarko Petroleum Corp. 3,100 201
# Analog Devices, Inc. 6,950 235
Analogic Corp. 2,600 86
# Anchor Gaming 2,000 80
# Andrea Radio Corp. 100 1
# Andrew Corp. 3,725 198
Angelica Corp. 2,200 42
Anheuser-Busch Cos., Inc. 29,800 1,192
# Anixter International Inc. 2,500 40
# AnnTaylor Stores Corp. 3,400 60
Aon Corp. 6,400 398
Apache Corp. 7,700 272
# Apogee, Inc. 1,600 6
# Apollo Group, Inc. Class A 2,700 90
# Apple Computer, Inc. 7,700 160
Apple South, Inc. 1,600 21
Applebee's International, Inc. 1,900 52
# Apria Healthcare 4,200 79
# Applied Microsystems Corp. 1,900 26
# Applied Magnetics Corp. 1,600 48
# Applied Materials, Inc. 10,500 377
Applied Power, Inc. 2,600 103
AMBI, Inc. 4,400 12
# Applix, Inc. 1,400 30
Aquarion Co. 1,800 50
# Aquila Biopharmaceuticals, Inc. 173 1
</TABLE>
12
<PAGE> 15
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ---------------------------------------------------------------------
<S> <C> <C>
Arbor Drugs, Inc. 5,250 $ 91
# Arbor Software Corp. 1,300 31
Arcadian Corp. 2,000 53
Archer-Daniels-Midland Co. 32,344 712
Argonaut Group, Inc. 2,800 87
# Argosy Gaming Co. 1,100 5
# Armco, Inc. 17,500 72
Armstrong World Industries Inc. 2,600 181
Arnold Industries, Inc. 3,600 57
# Arrhythmia Research
Technology, Inc. 7,000 18
# Arrow Electronics, Inc. 2,737 146
Arrow Financial Corp. 1,650 39
# Arterial Vascular Engineering, Inc. 1,800 23
# Artra Group Inc. 16,500 105
# Artisoft, Inc. 4,200 22
Arvin Industries, Inc. 2,800 69
Atlantic Southeast Airlines Inc. 3,400 75
ASARCO, Inc. 2,100 52
# Ascend Communications, Inc. 7,100 441
Ashland Coal Inc. 1,000 28
Ashland Inc. 3,500 154
# Aspect Telecommunications Corp. 1,300 82
# Aspen Technologies, Inc. 1,300 104
Associated Banc-Corp. 1,100 47
# Associated Group, Inc. 1,204 36
Associates First Capital Corp. 5,400 238
Astoria Financial Corp. 1,300 48
# Asyst Technologies, Inc. 1,278 22
Atlanta Sosnoff Capital 2,100 19
# Atlantic Gulf Communities Corp. 1,500 6
Atlantic Richfield Co. 9,400 1,246
Atlantic Energy, Inc. 4,600 79
# Atlantic Tele-Network, Inc. 2,200 34
# Atlas Air, Inc. 800 38
# Atmel Corp. 6,100 203
# Atwood Oceanics, Inc. 1,133 72
# Auspex Systems, Inc. 1,600 19
Autodesk, Inc. 2,200 62
# Autobond Acceptance Corp. 2,000 20
Automatic Data Processing, Inc. 17,800 763
# AutoZone, Inc. 9,600 264
Avalon Properties, Inc. REIT 1,900 55
# Avant! Corp. 2,700 85
# Avatar Holding, Inc. 2,000 65
Avemco Corp. 1,900 30
Avery Dennison Corp. 5,800 205
# Aviall Inc. 7,775 72
Avnet, Inc. 2,100 122
Avon Products, Inc. 7,900 451
# BBN Corp. 2,900 65
# BHC Communications, Inc.
Class A 1,200 122
# BISYS Group, Inc. 1,600 59
# BJ Services Co. 2,313 118
# BJ Services Co. Warrants
Exp. 4/13/00 787 21
BMC Industries, Inc. 2,237 70
# BMC Software, Inc. 5,600 233
BRE Properties Inc. Class A REIT 1,956 48
BSB Bancorp, Inc. 4,154 112
BW/IP Inc. 3,000 50
Badger Paper Mills, Inc. 3,200 26
Baker Hughes, Inc. 8,700 300
J. Baker, Inc. 600 3
Ball Corp. 1,800 47
Ballard Medical Products 3,500 65
Baltimore Gas & Electric Co. 8,900 238
Banc One Corp. 26,154 1,125
Bancorp Hawaii, Inc. 2,250 95
# Banctec, Inc. 2,300 47
Bandag, Inc. 1,400 66
Bangor Hydro-Electric Co. 1,200 11
Bank of Boston Corp. 9,420 605
The Bank of New York Co., Inc. 23,700 800
BankAtlantic Bancorp, Inc.
Class A 1,623 21
BankAtlantic Bancorp, Inc.
Class B 5,792 77
BankAmerica Corp. 21,558 2,150
Bankers Life Holding Corp. 5,000 125
Bankers Trust New York Corp. 4,800 414
# Banner Aerospace 9,000 78
BanPonce Corp. 4,100 138
Banta Corp. 1,800 41
# Banyan Systems, Inc. 4,100 18
C.R. Bard, Inc. 3,100 87
# Barnes & Noble Inc. 2,024 55
Barnett Banks, Inc. 11,552 475
# Barr Labs Inc. 5,400 137
# Barra, Inc. 1,800 49
# Barrett Resources Corp. 1,800 77
# Base Ten Systems Class A 8,000 97
Battle Mountain Gold Co. Class A 12,200 84
Bausch & Lomb, Inc. 3,300 116
Baxter International, Inc. 16,700 685
# Bay Networks Inc. 10,945 228
# BE Avionics Inc. 3,200 87
Beacon Properties Corp. REIT 2,900 106
Bear Stearns Co., Inc. 6,924 193
Beckman Instruments Inc. 1,732 66
Becton, Dickinson & Co. 7,700 334
# Bed Bath & Beyond, Inc. 4,148 101
# Bel Fuse, Inc. 6,900 96
# Belco Oil & Gas Corp. 1,900 52
Belden Inc. 1,000 37
Bell Atlantic Corp. 26,400 1,709
# Bell Sports Corp. 700 4
BellSouth Corp. 61,000 2,463
# Belmont Homes, Inc. 4,800 47
A. H. Belo Corp. Class A 2,600 91
Bemis Co., Inc. 3,100 114
# Benchmarq Microelectronics, Inc. 3,200 68
Beneficial Corp. 2,900 184
# Bentley Pharmaceuticals, Inc. 2,200 6
Bergen Brunswig Corp. Class A 2,440 70
W.R. Berkley Corp. 1,200 61
# Berkshire Hathaway Class A 50 1,705
# Berlitz International, Inc. 2,101 44
# Bertucci's Holding Corp. 5,239 28
# Best Buy Co., Inc. 4,400 47
# Bethlehem Steel Corp. 6,500 59
</TABLE>
13
<PAGE> 16
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------
MARKET
VALUE*
BALANCED INDEX FUND SHARES (000)
- ---------------------------------------------------------------------
<S> <C> <C>
BetzDearborn Inc. 1,500 $ 88
# Beverly Enterprises Inc. 8,600 110
# Big Flower Press Holdings, Inc. 3,100 58
# Biotechnology General 3,200 42
# Biogen, Inc. 3,400 131
Biomet, Inc. 5,800 88
Birmingham Steel Corp. 2,350 45
# Bitwise Designs, Inc. 2,900 14
Black & Decker Corp. 5,200 157
Blair Corp. 2,700 52
E.W. Blanch Holdings, Inc. 2,400 48
Block Drug Co. Class A 1,067 50
H & R Block, Inc. 6,400 186
# Blyth Industries, Inc. 1,700 78
Boatmen's Bancshares, Inc. 9,000 580
Bob Evans Farms, Inc. 2,200 30
The Boeing Co. 21,441 2,281
Boise Cascade Corp. 2,500 79
# Boise Cascade Office
Products Corp. 4,400 92
# Borders Group, Inc. 2,000 72
Borg-Warner Automotive, Inc. 1,400 54
# Borland International, Inc. 3,000 16
# Boston Beer Co., Inc. Class A 2,300 24
# Boston Chicken, Inc. 4,000 144
Boston Edison Co. 2,200 59
# Boston Scientific Corp. 10,400 624
Bowater Inc. 1,900 71
Bowne & Co., Inc. 3,100 76
# Boyd Gaming Corp. 5,800 48
# Boyds Wheels, Inc. 1,000 14
Breed Technological Inc. 3,200 83
Briggs & Stratton Corp. 1,500 66
# Brinker International, Inc. 3,600 58
# Bristol Hotel Co. 2,700 86
Bristol-Myers Squibb Co. 30,800 3,350
# Bright Voice Systems, Inc. 114 2
# BroadVision, Inc. 900 7
# Broderbund Software, Inc. 2,512 75
Brooklyn Union Gas Co. 2,450 74
# Brooks Fiber Properties, Inc. 1,800 46
# Brothers Gourmet Coffees, Inc. 500 1
Brown-Forman Corp. Class B 4,100 188
Browning-Ferris Industries, Inc. 12,400 326
Brunswick Corp. 5,800 139
# Buffets Inc. 3,800 34
# Burlington Coat Factory
Warehouse Corp. 1,900 25
# Burlington Industries, Inc. 5,703 63
Burlington Northern Santa Fe Corp. 8,940 772
Burlington Resources, Inc. 7,500 378
# Burr-Brown Corp. 2,000 52
CB Bancshares Inc./Hawaii 1,300 38
CCB Financial Corp. 2,100 143
# C-Cube Microsystems, Inc. 1,500 55
# CDI Corp. 2,200 62
# CDW Computer Centers, Inc. 1,300 77
# CFI ProServices, Inc. 1,631 23
CIGNA Corp. 4,100 560
CIPSCO, Inc. 1,600 58
CMAC Investment Corp. 4,574 168
CML Group, Inc. 2,700 9
CMS Energy Corp. 4,800 161
CPI Corp. 2,900 49
# CNA Financial Corp. 3,400 364
CNB Bankshares, Inc. 200 8
CPC International, Inc. 8,500 659
CSX Corp. 12,400 524
# CUC International, Inc. 26,123 620
CVS Corp. 6,200 257
CWM Mortgage Holdings Inc. 2,700 58
# Cabletron Systems, Inc. 9,310 310
# Cable Design Technologies 1,800 56
Cabot Corp. 3,800 95
Cabot Oil & Gas Corp. Class A 3,900 67
# Cadence Design Systems, Inc. 4,500 179
# Cadiz Land Co., Inc. 2,500 13
Cadmus Communications 2,700 41
# Cal Fed Bancorp Inc. 6,500 159
# Caldor Corp. 800 1
# CalEnergy Inc. 2,700 91
Calgon Carbon Corp. 7,300 89
Caliber System Inc. 2,000 39
# California Amplifier, Inc. 2,000 13
# California Culinary Academy Inc. 11,100 95
Cali Realty Corp. REIT 1,900 59
# California Federal Bank Goodwill
Participation Certificates 200 3
# California Microwave, Inc. 2,700 40
Callaway Golf Co. 4,000 115
CAM Designs, Inc. 9,900 50
# Cambridge Biotech Corp. 4,000 2
# Cambridge Technology Partners 2,700 91
Camco International, Inc. 1,100 51
# Cameron Ashley Building
Products 3,392 47
Campbell Soup Co. 14,432 1,158
# Canandaigua Wine Co., Inc.
Class A 3,392 96
Capital One Financial Corp. 3,933 142
# Capital Pacific Holdings, Inc. 700 2
Capital Re Corp. 3,600 168
Capitol American Financial Corp. 800 29
Capitol Bancorp Ltd. 5,280 82
Capmac Holdings Inc. 2,200 73
Capsure Holdings 2,610 30
Capstead Mortgage Corp. 2,250 54
Caraustar Industries, Inc. 4,000 133
Cardinal Bancshares, Inc. 496 22
Cardinal Health, Inc. 5,766 336
Carlisle Co., Inc. 1,000 61
# Carmike Cinemas, Inc. Class A 2,511 64
Carnival Corp. Class A 17,600 581
Carolina Power & Light Co. 8,400 307
CarrAmerica Realty Corp. REIT 2,200 64
Carter-Wallace, Inc. 2,100 33
# Cascade Communications Corp. 5,400 298
Case Corp. 4,300 234
# Casino Magic Corp. 3,900 10
# Castle & Cooke, Inc. 1,366 22
# Catalina Marketing Corp. 1,140 63
# Catellus Development Corp. 3,400 39
</TABLE>
14
<PAGE> 17
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ---------------------------------------------------------------------
<S> <C> <C>
Caterpillar, Inc. 11,300 $ 850
# Catherines Stores 3,400 18
Cato Corp. Class A 1,200 6
# Cellular Communications
International Inc. 1,400 40
# Cellpro, Inc. 3,400 42
# Cellular Technical Services Co. 1,600 32
# Cellularvision USA, Inc. 4,700 33
# Centennial Technologies, Inc. 2,400 125
Centerior Energy Corp. 7,500 81
Centex Corp. 1,700 64
# Centigram Communications 600 8
# Centocor, Inc. 4,252 152
Central & South West Corp. 12,200 313
Central Fidelity Banks, Inc. 3,000 78
Central Louisiana Electric Co. 2,300 64
Central Maine Power Co. 4,200 49
Central Newspapers Inc. 1,400 62
Central Parking Corp. 1,800 60
# Centura Software Corp. 600 2
# Century Communications Corp.
Class A 11,897 68
Century Telephone
Enterprises, Inc. 3,150 97
# Ceridian Corp. 3,700 150
# Chalone Wine Group Ltd. 1,960 23
# Champion Enterprises, Inc. 3,000 59
Champion International Corp. 5,900 255
# Chantal Pharmaceutical Corp. 4,500 8
Charter One Financial 2,415 102
# Charming Shoppes, Inc. 9,100 46
# Chartwell Leisure Corp. 2,160 29
Chase Manhattan Corp. 26,772 2,389
# Checkers Drive-In Restaurant 5,400 10
# Checkfree Corp. 2,500 43
# Checkpoint Systems, Inc. 2,000 50
Chelsea GCA Realty, Inc. REIT 500 17
Chemed Corp. 2,100 77
Chemical Finance 2,216 88
Chesapeake Corp. of Virginia 1,700 53
# Chesapeake Energy Corp. 1,650 92
Chevron Corp. 39,400 2,561
# Chic by H.I.S., Inc. 6,020 29
# Chicago Miniature Lamp, Inc. 900 37
# Children's Discovery Centers of
America, Inc. 400 3
Chiquita Brands International, Inc. 3,300 42
# Chiron Corp. 9,304 173
# Choice Hotels Corp. Inc. 3,200 56
# Chris-Craft Industries, Inc. 2,680 112
# Christiana Cos., Inc. 2,300 59
# Chromcraft Revington, Inc. 2,500 69
Chrysler Corp. 44,744 1,477
The Chubb Corp. 10,300 554
Church and Dwight, Inc. 2,500 57
# Ciber, Inc. 900 27
Cilcorp, Inc. 2,100 77
Cincinnati Bell, Inc. 3,600 222
Cincinnati Financial Corp. 3,471 225
Cincinnati Milacron, Inc. 3,300 72
CINergy Corp. 9,762 326
Circuit City Stores, Inc. 6,000 181
# Cirrus Logic 2,900 45
# Cisco Systems, Inc. 39,800 2,535
Cintas Corp. 2,400 142
# Circus Circus Enterprises Inc. 6,100 210
Citicorp 29,500 3,039
Citizens Bancorp MD 900 56
# Citizens Utilities Co. Class A 10,845 118
# Citizens Utilities Co. Class B 2,588 29
# Citrix Systems, Inc. 1,600 63
City Holding Co. 2,795 72
City National Corp. 2,600 56
Claire's Stores, Inc. 2,850 37
# Clarify, Inc. 1,200 57
Clayton Homes Inc. 5,883 79
# Clear Channel Communications 4,600 166
# Cliffs Drilling Co. 1,649 104
# Clintrials Research, Inc. 3,900 87
The Clorox Co. 3,000 301
Coachmen Industries, Inc. 3,104 88
# Coast Savings Financial, Inc. 3,300 121
Coastal Corp. 6,200 303
# Coastal Physician Group, Inc. 1,800 6
Coca-Cola Bottling Co. 1,700 82
The Coca-Cola Co. 153,200 8,062
Coca-Cola Enterprises, Inc. 6,700 325
Coeur d'Alene Mines Corp. 3,500 53
# Cognex Corp. 1,600 30
Cognizant Corp. 10,100 333
# Coherent Communications
Systems Corp. 4,400 85
# Coin Bill Validator Inc. 100 1
Cole Taylor Financial Group, Inc. 1,000 27
# Coleman Inc. 4,268 59
Collective Bancorp, Inc. 2,750 97
Colgate-Palmolive Co. 8,600 793
# Collins & Aikman Corp. 6,400 40
# Colorado Casino Resorts, Inc. 5,600 10
# Coltec Inc. 3,500 66
Columbia Gas Systems, Inc. 3,300 210
Columbia/HCA Healthcare Corp. 41,159 1,677
Comair Holdings, Inc. 2,600 63
Comcast Corp. Class A 6,600 117
Comcast Corp. Class A Special 13,359 238
# Comdial Corp. 1,800 11
Comdisco, Inc. 3,000 95
Comerica, Inc. 7,100 372
Commerce Bancshares, Inc. 1,890 88
Commerce Group, Inc. 2,300 58
Commercial Federal Corp. 2,204 106
Commercial Metals Co. 200 6
# Commnet Cellular Inc. 1,600 44
Commonwealth Energy Systems 2,600 61
Community First Bankshares 2,600 72
# Compaq Computer Corp. 16,600 1,233
Compass Bancshares Inc. 1,900 76
# CompuServe Corp. 4,900 48
Computer Associates
International, Inc. 21,875 1,088
# CompUSA, Inc. 9,300 192
# Computer Sciences Corp. 4,627 380
</TABLE>
15
<PAGE> 18
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------
MARKET
VALUE*
BALANCED INDEX FUND SHARES (000)
- ---------------------------------------------------------------------
<S> <C> <C>
Computer Task Group, Inc. 2,300 $ 99
# Computervision Corp. 6,600 61
# Compuware Corp. 2,500 125
Comsat Corp. 2,200 54
# Comverse Technology, Inc. 1,300 49
ConAgra, Inc. 15,000 746
# Comshare 553 10
# Concord EFS, Inc. 5,368 150
# Conmed Corp. 4,406 89
Connecticut Energy Corp. 1,400 30
Connecticut Natural Gas Corp. 3,400 87
Connecticut Water Services, Inc. 1,500 44
Conrail, Inc. 4,992 497
Conseco Co., Inc. 8,424 537
# Consolidated Delivery &
Logistics, Inc. 2,800 13
Consolidated Edison Co. of
New York, Inc. 13,800 404
Consolidated Freightways Corp. 1,300 12
# Consolidated Freightways, Inc. 2,600 58
Consolidated Natural Gas Co. 5,600 309
Consolidated Papers 2,500 123
# Consolidated Stores, Inc. 4,100 132
# ContiFinancial Corp. 2,400 87
# Continental Airlines, Inc. Class B 7,400 209
# Continental Information
Systems Corp. 300 1
Continental Mortgage &
Equity Trust 150 2
# Continucare Corp. 100 1
# Control Data Corp. 1,926 42
# Converse Inc. 1,866 32
# Cooper & Chyan Technology, Inc. 1,800 59
# Cooper Cameron Corp. 1,500 115
Cooper Industries, Inc. 6,300 265
Cooper Tire & Rubber Co. 5,200 103
Adolph Coors Co. Class B 1,500 29
# Coram Healthcare Corp. 1,523 8
# COREStaff, Inc. 1,650 39
CoreStates Financial Corp. 13,712 711
Corning, Inc. 14,100 652
# Corporate Express, Inc. 4,700 138
# Correctional Services Corp. 2,400 35
# Corrections Corp. of America 4,200 129
# Cort Business Services Corp. 1,700 35
Countrywide Credit Industries, Inc. 5,747 165
# Coventry Corp. 3,345 31
# Cox Communications Class A 16,114 373
Cracker Barrel Old Country
Stores, Inc. 3,800 97
Crane Co. 2,400 70
# Credit Acceptance Corp. 2,700 63
# Cree Research, Inc. 2,352 22
Crescent Real Estate Equities,
Inc. REIT 2,300 121
Crestar Financial Corp. 2,200 164
Crompton & Knowles Corp. 4,300 83
Cross Timbers Oil Co. 2,100 53
# Crosscom Corp. 1,300 7
Crown American Realty Trust REIT 6,300 47
# Crown Books Corp. 3,163 35
Crown Cork & Seal Co., Inc. 7,500 408
Crown Crafts, Inc. 5,500 55
# Crown Vantage, Inc. 5,680 48
# Cryomedical Sciences 17,500 5
# Culligan Water Technologies 1,200 49
Cummins Engine Co., Inc. 1,900 87
# Custom Chrome 2,000 40
# Cyberguard Corp. 1,700 20
# Cybex Corp. 1,900 28
# Cygnus Inc. 2,588 37
# Cypress Semiconductor Corp. 4,000 57
# Cypros Pharmaceuticals Corp. 9,750 39
Cyprus Amax Minerals Co. 5,550 130
# Cytec Industries, Inc. 3,342 136
# DII Group, Inc. 3,100 71
DPL, Inc. 5,900 145
DQE Inc. 4,250 123
# DSC Communications Corp. 6,100 109
# DSP Communications, Inc. 2,600 50
# DSP Group Inc. 3,300 28
# DST Systems, Inc. 2,600 82
DT Industries, Inc. 1,800 63
DTE Energy Co. 8,900 288
# Daisytek International Corp. 1,000 41
# Dal-Tile International Inc. 3,300 67
Dana Corp. 5,500 179
Danaher Corp. 3,000 140
Damen Financial Corp. 3,200 41
Darden Restaurants Inc. 8,300 73
# Darling International, Inc. 2,200 63
# Data Broadcasting Corp. 8,214 57
# Data General Corp. 5,700 83
# Data Race, Inc. 6,778 149
# Dataware Technologies, Inc. 200 1
Dauphin Deposit Bank & Trust 1,000 33
# Davel Communications Group, Inc. 2,157 39
# Dave & Busters 1,785 36
# Davox Corp. 1,300 54
Dayton-Hudson Corp. 12,700 498
Dean Foods Corp. 3,200 103
Dean Witter Discover & Co. 9,805 650
Deere & Co. 15,300 622
# Dell Computer 11,000 585
Delmarva Power & Light Co. 3,000 61
Delta & Pine Land Co. 1,249 40
Delta Air Lines, Inc. 4,800 340
Deluxe Corp. 4,900 160
# Dendrite International, Inc. 1,400 12
Dentsply International 1,400 67
# Department 56 Inc. 3,405 84
Deposit Guaranty Corp. 400 12
# Designer Holdings Ltd. 2,800 45
# Designs, Inc. 5,750 33
# Destec Energy Inc. 3,500 55
# Detroit Diesel Corp. 500 12
Developers Diversified Realty
Corp. REIT 1,300 48
Devon Energy Corp. 3,567 124
# Devry, Inc. 2,200 52
Dexter Corp. 2,800 89
Diagnostic Products Corp. 2,800 72
</TABLE>
16
<PAGE> 19
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ---------------------------------------------------------------------
<S> <C> <C>
Dial Corp. 5,000 $ 74
# Dialogic Corp. 1,000 31
# Diamond Multimedia Systems, Inc. 5,000 58
# Diamond Offshore Drilling, Inc. 4,000 228
Diebold, Inc. 2,400 151
# Digital Equipment Corp. 9,200 335
Dillard Department Stores Class A 6,600 204
# Dime Bancorp, Inc. 6,329 93
Dimon Inc. 2,500 58
# Dionex Corp. 2,000 71
The Walt Disney Co. 41,600 2,896
Dole Food Co. 3,700 125
Dollar General Corp. 4,066 130
# Dollar Tree Stores, Inc. 1,600 61
Dominion Resources, Inc. 10,400 400
Donaldson Co., Inc. 1,600 54
Donaldson, Lufkin & Jenrette, Inc. 3,000 108
R.R. Donnelley & Sons Co. 9,000 282
Donnelly Corp. 800 20
# Doubletree Corp. 1,839 82
Dover Corp. 6,700 337
Dow Chemical Co. 14,700 1,152
Dow Jones & Co., Inc. 5,700 193
# Dravo Corp. 3,000 42
Dresser Industries, Inc. 10,700 332
# Drexler Technology Corp. 1,600 17
# Drug Emporium, Inc. 4,128 18
E.I. du Pont de Nemours & Co. 33,800 3,190
Duke Power Co. 12,000 555
Duke Realty Investments Inc. REIT 1,200 46
The Dun & Bradstreet Corp. 10,100 240
# Dura Pharmaceuticals, Inc. 2,200 105
Duracell International, Inc. 7,200 503
Duriron Co., Inc. 3,350 90
Dynamics Corp. of America 1,200 34
# Dynatech Corp. 1,000 44
EG & G, Inc. 2,800 56
# EMC Corp. 13,500 447
# ENSCO International, Inc. 4,112 199
# ESC Medical Systems Ltd. 2,200 57
# ESSEF Corp. 1,600 28
# ESS Technology, Inc. 3,700 104
# Eagle Finance Corp. 3,600 19
Earthgrains Co. 512 27
Eastern Enterprises 2,500 88
Eastern Utilities Associates 200 3
Eastman Chemical 4,450 246
Eastman Kodak Co. 20,200 1,621
Eaton Corp. 4,600 321
Eaton Vance Corp. 400 19
# Echelon International Corp. 380 6
Echlin, Inc. 3,400 108
Echo Bay Mines Ltd. 7,100 47
# EchoStar Communications Corp. 1,800 40
# Eckerd Corp. 1,649 53
# Ecogen, Inc. 1,900 5
Ecolab, Inc. 3,700 139
# Edison Brothers Stores, Inc. 15,223 17
Edison International 26,000 517
# Edisto Resources Corp. 6,600 55
# Education Alternatives, Inc. 3,600 18
# Education Management Corp. 2,200 46
# Educational Medical, Inc. 3,100 35
A.G. Edwards & Sons, Inc. 3,925 132
# Einstein/Noah Bagel Corp. 1,800 53
El Paso Natural Gas 3,248 164
# Elan Corp. PLC ADR 3,488 116
Elcor Corp. 3,800 81
# Electric Fuel Corp. 1,800 12
# Electromagnetic Sciences, Inc. 200 4
# Electronic Arts Inc. 3,000 90
Electronic Data Systems Corp. 29,300 1,267
# Electronic Retailing Systems
International, Inc. 6,200 24
# Electronics for Imaging, Inc. 1,400 115
# Eltron International Inc. 1,300 26
Emerson Electric Co. 13,800 1,335
# Emmis Broadcasting Corp. Class A 1,300 42
# Employee Solutions, Inc. 1,400 29
# Emulex Corp. 300 5
# Energy Conversion Devices, Inc. 2,000 27
Energen Corp. 700 21
# Energy Ventures Inc. 1,300 66
Energy West Inc. 5,200 44
Engelhard Corp. 7,600 145
Enova Corp. 6,800 155
Enron Corp. 15,600 673
Enron Oil & Gas Co. 8,700 220
ENSERCH Corp. 6,300 145
# Enserch Exploration, Inc. 4,900 58
Entergy Corp. 13,354 371
# Enterprise Systems, Inc. 1,500 35
# Envirometrics, Inc. 3,800 1
# Envirotest Systems Corp. Class A 10,800 25
# Epic Design Technology, Inc. 200 5
# Epitope Inc. 2,300 26
Equifax, Inc. 9,200 282
The Equitable Cos. 11,400 281
Equitable of Iowa Co. 1,900 87
Equitable Resources, Inc. 3,200 95
Equity Residential Properties
Trust REIT 2,300 95
Essex Property Trust, Inc. 2,366 70
Ethan Allen Interiors Inc. 220 8
Ethyl Corp. 6,300 61
Everest Re Holdings, Inc. 2,700 78
# Evergreen Media Corp. 2,200 55
# Exabyte Corp. 3,200 43
Excel Industries, Inc. 700 12
Excel Realty Trust, Inc. REIT 1,800 46
# Excel Communications, Inc. 6,300 132
Executive Risk, Inc. 1,467 54
Exide Corp. 2,600 60
# Exide Electronics Group, Inc. 5,462 80
# Express Scripts 2,700 97
# Extended Stay America, Inc. 4,200 85
Exxon Corp. 76,100 7,458
# EZCORP, Inc. 300 2
FAC Realty Inc. REIT 4,300 28
F & M Bancorp 1,433 34
FFY Financial Corp. 4,600 116
# FHP International Corp. 3,800 141
</TABLE>
17
<PAGE> 20
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------
MARKET
VALUE*
BALANCED INDEX FUND SHARES (000)
- ---------------------------------------------------------------------
<S> <C> <C>
# FLIR Systems, Inc. 1,100 $ 15
# FMC Corp. 1,800 126
FPL Group, Inc. 10,800 497
# FTP Software, Inc. 4,600 28
Fair Issac & Co. 1,700 67
# Fairfield Communities, Inc. 5,800 144
# Falcon Drilling Co., Inc. 6,300 247
# Falcon Building Products, Inc.
Class A 2,300 34
Family Dollar Stores, Inc. 5,100 104
# Farm Family Holdings, Inc. 1,500 29
Farrel Corp. 10,800 28
# Fastcomm Communications Corp. 2,500 15
Fastenal Co. 1,800 82
# Faulding Inc. 7,200 43
# Federal Express Corp. 6,800 303
Federal Home Loan
Mortgage Corp. 10,600 1,167
Federal-Mogul Corp. 2,500 55
Federal National Mortgage Assn. 67,000 2,496
Federal Realty Investment
Trust REIT 2,200 60
Federal Signal Corp. 2,733 71
# Federated Department Stores 12,300 420
Felcor Suite Hotels, Inc. REIT 1,500 53
Ferro Corp. 1,400 40
Fifth Third Bancorp 6,500 408
# Figgie International Inc. Class A 2,700 32
# Filene's Basement Corp. 8,895 37
Fina Inc. 1,600 77
# Financial Industries Corp. 5,000 59
Financial Security Assurance
Holdings Ltd. 1,900 62
Fingerhut Co. 2,400 29
Financial Trust Corp. 2,580 103
Finova Group, Inc. 1,500 96
# First Alert, Inc. 8,000 28
First American Financial Corp. 1,400 58
1st Bancorp (Indiana) 3,197 94
First American Corp. (Tenn.) 2,200 127
First American Bank Corp. 3,300 198
First Bancorp of Ohio 2,100 75
# First Bank of Philadelphia 1,000 3
First Bank System, Inc. 8,685 593
First Brands Corp. 3,800 108
First Chicago NBD Corp. 19,493 1,048
First Citizens BancShares Class A 700 54
First Commerce Bancshares Inc.
Class A 300 8
First Commerce Bancshares Inc.
Class B 4,000 78
First Commerce Corp. 2,312 90
First Data Corp. 27,466 1,003
First Empire State Corp. 400 115
# First Federal Financial Corp. 2,166 48
First Financial Savings Assn. 1,500 37
First Hawaiian, Inc. 1,600 56
First Industrial Realty Trust REIT 1,900 58
First Michigan Bank Corp. 3,973 117
First Midwest Bancorp 3,250 105
First Palm Beach Bancorp 2,000 47
# First Pacific Networks, Inc. 7,200 2
First Security Corp. 4,450 151
First Source Corp. 3,210 79
# First USA Paymentech, Inc. 1,700 58
First Tennessee National Corp. 3,200 120
First Union Corp. 16,889 1,250
First Union Real Estate 5,700 70
First USA Inc. 7,500 260
First Virginia Banks, Inc. 1,700 81
Firstar Corp. 4,000 210
Firstbank Puerto Rico 2,000 52
# FIserv, Inc. 2,000 74
Fisher Scientific International Inc. 2,000 94
Fleet Financial Group, Inc. 16,102 803
Fleetwood Enterprises, Inc. 4,100 113
Fleming Cos., Inc. 4,600 79
# Flores & Rucks, Inc. 1,200 64
Florida East Coast Railway Co. 600 52
# Florida Panthers Holdings, Inc. 3,500 61
Florida Progress Corp. 5,700 184
Florida Rock Industries, Inc. 2,900 95
# Florsheim Group Inc. 933 5
Flowers Industries, Inc. 3,000 65
Fluor Corp. 4,600 289
Flushing Financial Corp. 2,400 44
# Foamex International, Inc. 2,900 48
# Fonar Corp. 8,000 18
Food Lion Inc. Class A 28,900 283
# FoodBrands America, Inc. 5,000 69
# Foodmaker, Inc. 2,300 20
# Foothill Independent Bancorp 1,100 13
# Footstar Inc. 1,784 44
# Forcenergy, Inc. 3,000 108
Ford Motor Co. 72,500 2,311
# Fore Systems, Inc. 6,000 198
# Foreland Corp. 566 3
Foremost Corp. of America 1,500 90
# Forest Laboratories, Inc. 2,500 82
# Forest Oil Corp. 3,300 58
# Fort Howard Corp. 4,600 127
Fort Thomas Financial Corp. 600 9
# Forte Software, Inc. 1,900 62
Foster Wheeler Corp. 1,900 71
# Foundation Health Co. 2,900 92
# Fourth Shift Corp. 12,600 70
# Fractal Design Corp. 2,400 26
Franchise Finance Corp. of
America REIT 2,400 66
# FoxMeyer Health Corp. 3,900 6
Franklin Resources Corp. 4,700 321
Freeport-McMoRan, Inc. 1,366 44
Freeport-McMoRan Copper &
Gold Inc. Class A 3,348 94
Freeport-McMoRan Copper &
Gold Inc. Class B 8,654 259
Fremont General Corp. 1,500 47
# Fresenius Medical Care AG ADR 5,874 165
# Fresenius Medical Care AG Pfd.
Class D 5,600 1
# Fresh Choice, Inc. 5,100 21
# Fritz Cos., Inc. 1,600 20
</TABLE>
18
<PAGE> 21
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ---------------------------------------------------------------------
<S> <C> <C>
Frontier Corp. 9,300 $ 210
# Fruit of the Loom, Inc. 4,000 152
# Fuisz Technologies Ltd. 4,600 35
H.B. Fuller Co. 1,500 70
Fund American Enterprise
Holding Co. 400 38
# Furniture Brands International Inc. 5,600 78
# Fusion Systems 1,500 32
G & L Realty Corp. 304 5
GATX Corp. 1,000 49
# GC Cos. 1,930 67
GPU Inc. 6,900 232
# GRC International, Inc. 1,500 12
# GSE Systems, Inc. 600 6
GTE Corp. 59,400 2,703
# GT Interactive Software Corp. 3,200 23
# Gadzooks, Inc. 1,800 33
Arthur J. Gallagher & Co. 2,000 62
Gannett Co., Inc. 8,700 651
The Gap, Inc. 17,600 530
# Garden Botanika, Inc. 4,500 54
# Garden Fresh Restaurant Corp. 4,400 44
# Gardner Denver Machinery, Inc. 1,932 67
# Gargoyles, Inc. 3,200 27
# Gartner Group, Inc. Class A 5,700 222
# Gateway 2000 Inc. 4,500 241
Gaylord Entertainment Class A 4,851 111
# Gaylord Container Corp. 6,300 39
# GelTex Pharmaceuticals, Inc. 1,900 46
GenCorp, Inc. 6,100 111
# Genentech, Inc.-Special Common
Stock 6,800 365
General Binding Corp. 728 22
General Dynamics Corp. 3,700 261
General Electric Co. 101,500 10,036
General Growth Properties
Inc. REIT 1,600 52
# General Instrument Corp. 7,400 160
# General Magic, Inc. 3,300 7
General Mills, Inc. 9,800 621
General Motors Corp. 46,401 2,587
General Motors Corp. Class H 5,800 326
# General Nutrition Cos., Inc. 5,300 90
General Physics Corp. 18,400 74
General Re Corp. 4,968 784
General Signal Corp. 2,500 107
# Genesco, Inc. 18,250 169
# Genetics Institute Inc.
Depository Shares 1,400 119
# Gentex Corp. 2,976 60
# Genesis Health Ventures Inc. 1,500 47
# Geneva Steel Class A 3,000 9
# Genome Therapeutics Corp. 2,000 21
Gensia Inc. 6,600 31
Genuine Parts Co. 7,500 334
Geon Co. 3,200 63
# Genzyme Corp. 4,300 94
Georgia Gulf Corp. 1,800 48
Georgia-Pacific Corp. 5,200 374
# Geoworks 1,700 41
# Getchell Gold Corp. 1,000 38
# Giant Cement Holding, Inc. 1,400 22
Giant Food, Inc. Class A 3,100 107
Giant Industries, Inc. 6,800 95
Giddings & Lewis, Inc. 800 10
Gilbert Associates, Inc. Class A 2,500 35
# Gilead Sciences, Inc. 3,400 85
Gillette Co. 26,000 2,022
P.H. Glatfelter Co. 2,600 47
# Glenayre Technologies, Inc. 3,300 71
# Glendale Federal 2,700 63
# Global DirectMail Corp. 2,100 92
# Global Industrial Technologies, Inc. 2,800 62
# Global Marine, Inc. 9,500 196
# Global Village Communication 700 2
Golden West Financial Corp. 3,100 196
# The Good Guys, Inc. 4,800 32
The BF Goodrich Co. 2,800 113
The Goodyear Tire & Rubber Co. 9,600 493
# E. Gottschalk & Co., Inc. 4,700 25
Goulds Pumps, Inc. 3,100 71
W.R. Grace & Co. 5,600 290
Graco, Inc. 3,100 76
W.W. Grainger, Inc. 3,200 257
# Grancare Inc. 3,100 55
# Grand Casinos, Inc. 4,650 63
Graphic Industries, Inc. 4,400 43
Great Atlantic & Pacific Tea
Co., Inc. 2,300 73
Great Lakes Chemical Corp. 3,700 173
Great Western Financial Corp. 8,100 235
Green Mountain Power Corp. 1,900 45
Green Tree Financial Corp. 7,800 301
Greenfield Industries, Inc. 2,800 86
Green Point Financial Corp. 2,800 132
# GTech Holdings Corp. 2,600 83
Guidant Corp. 4,283 244
# Gulf South Medical Supply, Inc. 1,900 48
# Gulfstream Aerospace Corp. 300 7
# The Gymboree Corp. 1,500 34
HBO & Co. 5,300 315
HCC Insurance Holdings, Inc. 1,800 43
# HCIA, Inc. 1,700 59
HF Financial Corp. 6,000 104
# HFS Inc. 7,600 454
# HMN Financial, Inc. 3,000 54
# HNC Software, Inc. 1,000 31
HRE Properties 2,000 36
# HS Resources Inc. 4,500 74
# HSN, Inc. 6,910 163
# Haemonetics Corp. 4,500 85
Halliburton Co. 7,300 440
# Handleman Co. 2,100 18
M.A. Hanna Co. 3,100 68
Hannaford Brothers Co. 2,200 75
# Harbinger Corp. 2,300 60
Harcourt General, Inc. 3,900 180
John H. Harland Co. 1,600 53
Harley-Davidson, Inc. 4,100 193
Harman International
Industries, Inc. 1,100 61
Harnischfeger Industries Inc. 2,400 116
</TABLE>
19
<PAGE> 22
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------
MARKET
VALUE*
BALANCED INDEX FUND SHARES (000)
- ---------------------------------------------------------------------
<S> <C> <C>
# Harrah's Entertainment, Inc. 5,500 $ 109
Harris Corp. 2,000 137
# Harry's Farmers Market, Inc. 200 1
Harsco Corp. 1,300 89
Harte-Hanks Communications Co. 2,200 61
Hartford Steam Boiler Inspection
& Insurance Co. 900 42
# Hartmarx Corp. 12,600 71
Harveys Casino Resorts 1,800 30
Hasbro, Inc. 5,000 194
# Hauser, Inc. 8,800 51
Haven Bancorp, Inc. 1,500 43
Hawaiian Electric Industries Inc. 2,300 83
# Hayes Wheels International Inc. 360 14
Health and Retirement
Properties Trust 4,000 78
Health Care Properties Investors 2,300 81
# Health Management Associates
Class A 5,987 135
# Health Management, Inc. 1,000 1
# Health Management Systems, Inc. 1,953 27
# Health Systems 2,600 64
# Healthcare & Retirement Corp. 2,800 80
# HealthCare Compare Corp. 1,800 77
# Healthsource, Inc. 3,500 46
# HEALTHSOUTH Corp. 11,010 425
# Heartland Express, Inc. 4,058 98
# Heartstream, Inc. 2,600 32
Hechinger Co. Class A 2,000 4
Heilig-Meyers Co. 4,500 73
H.J. Heinz Co. 22,700 812
Helmerich & Payne, Inc. 1,500 78
Herbalife International, Inc. 1,900 62
Hercules, Inc. 6,600 285
# Heritage Media Corp. Class A 2,200 25
Hershey Foods Corp. 9,400 411
Hewlett-Packard Co. 62,700 3,151
Hibernia Corp. Class A 5,600 74
# Highlands Insurance Group 2,630 53
Highwood Properties, Inc. REIT 1,900 64
Hilb, Rogal and Hamilton Co. 500 7
Hillenbrand Industries, Inc. 3,600 131
# Hills Stores Co. 5,165 31
Hilton Hotels Corp. 15,000 392
Hollinger International, Inc. 2,500 29
Holly Corp. 400 11
# Hollywood Park, Inc. 1,000 15
# Hologic, Inc. 700 17
Home Bancorp 1,400 27
Home Depot, Inc. 29,433 1,475
# Home Health Corp. of America 3,000 33
Homestake Mining Co. 7,800 111
# Homestead Village Inc. 439 8
# Homestead Village Inc. Warrants
Exp. 10/29/97 295 2
Hon Industries, Inc. 1,800 60
Honeywell, Inc. 7,800 513
Horace Mann Educators Corp. 1,400 57
# Horizon/CMS Healthcare Corp. 5,377 68
Horizon Financial Corp. 900 12
Hormel Foods Corp. 4,500 122
# Host Marriott Services 6,120 56
Hospitality Properties Trust 1,600 46
# Host Marriott 11,000 176
Houghton Mifflin Co. 600 34
Household International, Inc. 6,000 554
Houston Industries, Inc. 14,900 337
# Hovnanian Enterprises Class A 9,300 70
Hubbell Inc. Class B 3,750 162
Hudson Foods Inc. Class A 100 2
Hughes Supply, Inc. 1,800 78
# Humana, Inc. 9,400 180
Hunt Manufacturing Co. 3,500 63
J.B. Hunt Transport Services, Inc. 2,000 28
Huntington Bancshares Inc. 8,235 218
# Hutchinson Technology, Inc. 1,400 106
# Hyperion Software Corp. 3,452 73
IBP, Inc. 5,200 126
# ICH Corp. 11,700 1
ICN Pharmaceuticals, Inc. 2,529 50
# IDEC Pharmaceuticals Corp. 2,200 52
IDEX Corp. 400 16
# IDEXX Laboratories 2,200 79
# IEC Electronics Corp. 1,082 9
IES Industries, Inc. 1,800 54
# I-Flow Corp. 2,300 12
# IGI, Inc. 6,710 45
IMC Global Inc. 5,560 218
IRT Property Co. REIT 3,000 35
# I-STAT Corp. 3,300 78
# ITT Corp. 6,900 299
ITT Hartford Group, Inc. 6,900 466
ITT Industries, Inc. 7,300 179
# IXC Communications, Inc. 1,900 58
Idaho Power Co. 2,200 68
Illinois Central Corp. 3,300 106
# Identix, Inc. 8,400 69
Illinois Tool Works, Inc. 7,600 607
Illinova Corp. 4,300 118
# Imation Corp. 2,440 69
# Imclone Systems, Inc. 7,800 76
# Immucor Inc. 2,754 26
# Immulogic Pharmaceutical Corp. 3,900 26
# Immune Response 1,500 13
# Imo Industries, Inc. 1,200 4
# Immunomedics Inc. 7,900 44
# Inacom Corp. 3,600 144
# Incyte Pharmaceuticals, Inc. 1,900 97
# Industrial Scientific Corp. 2,700 43
# Infinity Broadcasting Corp. 4,575 154
# Informix Corp. 8,300 170
Ingersoll-Rand Co. 6,200 276
# Information Resources, Inc. 3,706 52
Ingles Markets, Inc. 3,000 38
Inland Steel Industries, Inc. 4,300 86
# Input/Output, Inc. 2,300 43
# Insilco Corp. 2,600 101
# Insituform Technologies Class A 3,000 23
# Inso Corp. 1,700 67
Innkeepers USA Trust REIT 400 6
# Insurance Auto Auctions, Inc. 3,400 32
# Insignia Financial Group 3,600 81
</TABLE>
20
<PAGE> 23
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ---------------------------------------------------------------------
<S> <C> <C>
# Integrated Device Technology Inc. 7,400 $ 101
Integrated Health Services, Inc. 4,000 98
# Integrated Process
Equipment Corp. 1,976 35
# Integrated Systems, Inc. 1,300 33
Intel Corp. 50,600 6,625
# Intelidata Technologies Corp. 3,800 28
# Intelligent Electronics Inc. 1,100 9
# Intelligent Medical Imaging, Inc. 4,800 29
# Intensiva Healthcare Corp. 4,300 47
Intercargo Corp. 5,400 47
# Intercel, Inc. 3,900 47
Interface, Inc. 1,800 36
# Interdigital Communications Corp. 7,200 41
# Intergraph Corp. 7,300 76
# Interim Services, Inc. 1,150 41
# Interleaf, Inc. 7,800 15
# Intermedia Communications Inc. 2,100 54
# International Assets Holding Corp. 1,800 6
International Business
Machines Corp. 32,400 4,892
# International Cabletel, Inc. 2,667 67
# International Dairy Queen, Inc.
Class A 2,800 57
International Flavors &
Fragrances, Inc. 6,300 284
# International Family Entertainment,
Inc. Class B 2,700 42
# International Lottery & Totalizator
Systems Inc. 8,800 7
International Game Technology 7,400 135
# International Network Services 1,900 57
# International Murex
Technologies Corp. 1,000 7
International Paper Co. 18,032 728
# International Rectifier Corp. 3,500 53
International Shipholding Corp. 3,375 62
# International Specialty
Products, Inc. 3,200 39
# International Technology 6,275 53
# Interneuron Pharmaceutical, Inc. 1,900 50
Interpool, Inc. 3,000 70
Interpublic Group of Cos., Inc. 4,700 223
# Intersolv 4,800 44
Interstate Bakeries 4,300 211
Intimate Brands, Inc. 14,200 241
# Intuit, Inc. 2,500 79
Invacare Corp. 2,400 65
# Invitro International 2,800 1
Investors Financial Services Corp. 280 8
Investors Financial Services Corp.
Class A 54 1
# Iomega Corp. 24,150 420
# Ionics, Inc. 1,300 62
Ipalco Enterprises, Inc. 2,700 74
Irvine Apartment Communities,
Inc. REIT 800 20
Irwin Financial Corp. 2,800 69
# ISIS Pharmaceuticals, Inc. 500 9
# Itron, Inc. 600 11
# i2 Technologies, Inc 1,600 62
IVAX Corp. 6,900 71
JLG Industries, Inc. 3,000 48
# JP Foodservice, Inc. 900 25
JP Realty Inc. REIT 600 16
Jackpot Enterprises, Inc. 5,500 54
# Jacobs Engineering Group Inc. 3,800 90
# Jacor Communications Inc. 1,800 49
James River Corp. 4,600 152
# Jan Bell Marketing Inc. 1,200 2
# Jayhawk Acceptance Corp. 5,000 57
Jefferson Bancorp, Inc. 2,060 40
Jefferson Savings Bancorp, Inc. 200 5
Jefferson-Pilot Corp. 4,050 229
# Jefferson Smurfit Corp. 5,800 93
John Nuveen Co. Class A 200 5
Johnson & Johnson 81,706 4,065
Johnson Controls, Inc. 2,200 182
# Johnstown America Industries 5,800 26
# Jones Apparel Group, Inc. 3,100 116
Jones Medical Industries, Inc. 1,500 55
Jostens Inc. 4,900 104
# Just for Feet, Inc. 1,650 43
# Just Like Home, Inc. 2,400 4
Justin Industries, Inc. 1,600 19
# KLA Instruments Corp. 3,200 113
# Kmart Corp. 29,800 309
KN Energy, Inc. 1,828 72
# K-III Communications Corp. 6,200 67
K2 Inc. 3,964 109
K U Energy Corp. 3,700 111
# K-V Pharmaceutical Co. Class A 6,900 83
# Kaiser Aluminum &
Chemical Corp. 6,600 77
Kaneb Pipeline Partners, LP 1,020 28
# Kaneb Services, Inc. 12,384 40
Kansas City Power & Light Co. 3,200 91
Kansas City Southern
Industries, Inc. 2,000 90
Katy Industries, Inc. 2,100 30
Kaufman & Broad Home Corp. 4,200 54
Kaydon Corp. 2,200 104
# Keane, Inc. 1,600 51
Kellogg Co. 13,000 853
Kellwood Co. 3,100 62
Kelly Services, Inc. Class A 3,700 102
# KEMET Corp. 2,400 55
# Kennedy-Wilson, Inc. 280 3
# Kensey Nash Corp. 3,600 53
# Kent Electronics Corp. 4,400 113
Kerr-McGee Corp. 2,800 202
KeyCorp 14,184 716
# Keystone Consolidated
Industries, Inc. 3,600 30
Keystone Financial, Inc. 2,304 58
Keystone International, Inc. 1,800 36
Kimball International, Inc. Class B 1,300 54
Kimberly-Clark Corp. 17,328 1,650
Kimco Realty Corp. REIT 2,200 77
# Kinder Care Learning Centers Inc. 4,000 75
Kinetic Concepts, Inc. 10,000 124
# King World Productions, Inc. 2,100 77
</TABLE>
21
<PAGE> 24
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------
MARKET
VALUE*
BALANCED INDEX FUND SHARES (000)
- ---------------------------------------------------------------------
<S> <C> <C>
# Kleer-Vu Industries Inc. 6,960 $ 5
Knight-Ridder, Inc. 5,900 226
# Koger Equity Inc. REIT 3,000 56
# Kohls Corp. 4,600 181
# Komag, Inc. 3,200 87
# The Kroger Co. 7,800 363
Kuhlman Corp. 4,700 91
# LCI International, Inc. 4,674 100
LG&E Energy Corp. 3,400 83
# LSI Logic Corp. 7,300 195
LSI Industries Inc. 2,264 30
LTC Properties, Inc. 3,100 57
LTV Corp. 4,900 58
# LTX Corp. 9,300 54
La Quinta Inns Inc. 4,500 86
La-Z-Boy Inc. 900 27
# Laboratory Corp. of America 15,624 45
# Ladd Furniture Inc. 1,266 18
Lafarge Corp. 3,000 60
# LAM Research Corp. 1,400 39
Lancaster Colony Corp. 1,788 82
# Lancer Corp. 2,535 52
Landauer, Inc. 1,600 39
Landmark Bancshare, Inc. 4,900 90
# Lands' End, Inc. 4,000 106
# Landry's Seafood Restaurants, Inc. 1,300 28
# Lattice Semiconductor Corp. 1,300 60
Estee Lauder Cos. Class A 3,000 153
Lawter International Inc. 5,300 67
# Layne Christensen Co. 9,500 141
# Lazare Kaplan International, Inc. 3,100 53
# Lear Corp. 3,200 109
# Learning Co., Inc. 2,400 34
# Lechters Corp. 4,000 21
Lee Enterprises, Inc. 2,800 65
Leggett & Platt, Inc. 5,200 180
Lehman Brothers Holdings, Inc. 5,360 168
Lennar Corp. 1,800 49
Leucadia National Corp. 2,800 75
# Level 8 Systems Inc. 6,900 106
Leviathan Gas Pipeline Co. 1,600 70
# Lexmark International Group, Inc.
Class A 3,500 97
Liberty Bancorp, Inc. (Oklahoma) 2,400 120
Liberty Corp. 2,800 110
Liberty Financial Cos., Inc. 1,700 66
# Liberty Media Group Class A 3,666 105
Liberty Property Trust REIT 2,900 75
# Life USA Holding, Inc. 1,400 17
# Lifecore Biomedical Inc. 1,400 25
Lillian Vernon Corp. 2,200 27
Eli Lilly & Co. 33,178 2,422
Lilly Industries Inc. Class A 4,200 77
The Limited, Inc. 14,881 273
# Lin Television 1,300 55
# Lincare Holdings Inc. 1,700 70
Lincoln Electric Co. Class A 1,100 33
Lincoln National Corp. 6,400 336
Linear Technology Corp. 4,400 193
# Liposome Co., Inc. 600 12
Litchfield Financial Corp. 3,831 55
# Litton Industries, Inc. 2,600 124
Liz Claiborne, Inc. 4,300 166
Lockheed Martin Corp. 12,270 1,123
Loctite Corp. 1,600 97
Loews Corp. 7,000 660
# Logan's Roadhouse, Inc. 2,900 67
Logicon, Inc. 1,500 55
# Lone Star Steakhouse & Saloon 2,400 64
Long Island Bancorp, Inc. 1,500 53
Long Island Lighting Co. 7,400 164
Longhorn Steaks Inc. 4,600 87
Longs Drug Stores, Inc. 1,300 64
Longview Fibre Co. 3,000 55
# Loral Space &
Communications Ltd. 12,200 224
# Louis Dreyfus Natural Gas Corp. 3,600 62
Louisiana Land & Exploration Co. 2,000 107
Louisiana-Pacific Corp. 5,900 125
Lowe's Cos., Inc. 10,400 369
Lubrizol Corp. 2,900 90
Lucent Technologies, Inc. 39,071 1,807
Lukens, Inc. 2,900 58
# Lumisys, Inc. 2,900 27
# Lycos, Inc. 4,400 47
# Lydall, Inc. 3,200 72
Lyondell Petrochemical Co. 4,500 99
# MAI Systems Corp. 4,100 27
# MAIC Holdings Inc. 1,400 47
MBIA, Inc. 2,700 273
MBNA Corp. 13,700 569
MCI Communications Corp. 42,300 1,383
MCN Corp. 3,300 95
# MEMC Electronic Materials, Inc. 2,300 52
MFB Corp. 2,000 34
# MFS Communications Co., Inc. 13,577 738
MGIC Investment Corp. 3,100 236
# MGM Grand Inc. 3,500 122
# MK Gold Co. 10,700 16
MMI Cos., Inc. 400 13
MTS Systems Corp. 2,010 41
The Macerich Co. REIT 2,300 60
# Macromedia 1,600 29
Madison Gas & Electric Co. 3,100 64
# Magellan Health Services Corp. 4,300 96
Magna Group 4,152 122
# Mail-Well, Inc. 1,900 31
Mainstreet Bankgroup, Inc. 3,000 56
Mallinckrodt Inc. 4,100 181
Manitowoc Co., Inc. 2,100 85
Manor Care Inc. 3,200 86
Manpower Inc. 4,600 150
Mapco Inc. 3,600 122
# Marcam Corp. 3,400 43
# Marine Drilling Co., Inc. 2,800 55
Mark IV Industries, Inc. 2,940 67
Mark Twain Bancshares, Inc. 500 24
# Marquette Medical Systems
Class A 1,996 44
Marsh & McLennan Cos., Inc. 4,500 468
Marshall & Ilsley Corp. 5,144 179
Marriott International 7,300 403
</TABLE>
22
<PAGE> 25
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ---------------------------------------------------------------------
<S> <C> <C>
# Marshall Industries 1,000 $ 31
Martin Marietta Materials, Inc. 5,210 121
# Marvel Entertainment Group 7,240 14
Masco Corp. 9,900 356
MascoTech Inc. 2,600 43
# Mastec Inc. 1,100 58
# Material Sciences Corp. 400 7
# Mathsoft, Inc. 2,000 7
# Matria Healthcare Inc. 12,400 57
Mattel, Inc. 16,210 450
# Mattson Technology, Inc. 4,400 41
# Maxim Integrated Products, Inc. 3,600 156
# Maxim Pharmaceuticals, Inc. 1,000 7
May Department Stores Co. 15,400 720
# Maxicare Health Plans Inc. 1,700 38
# Maxxam Inc. 900 43
# Maverick Tube Corp. 4,200 53
Maytag Corp. 6,000 119
# McAfee Associates, Inc. 2,906 127
McClatchy Newspapers, Inc. 1,500 53
McCormick & Co., Inc. 4,100 97
McDermott International, Inc. 4,500 75
McDonald's Corp. 42,900 1,941
McDonnell Douglas Corp. 13,000 832
The McGraw-Hill Cos. 6,100 281
McKesson Corp. 2,600 146
# McLeod, Inc. 1,900 49
# McMoRan Oil and Gas 1,700 4
The Mead Corp. 2,900 169
# Medaphis Corp. 3,200 36
# Medar, Inc. 3,642 20
# MedCath Inc. 4,200 66
# Medco Research, Inc. 5,100 54
Media General, Inc. Class A 3,800 115
# Medic Computer Systems, Inc. 1,400 56
# Medicis Pharmaceutical Corp. 1,650 72
# Medical Graphics Corp. 9,700 53
Meditrust 3,400 136
# Medpartners Inc. 9,024 190
# Medplus, Inc. 3,300 20
Medtronic, Inc. 14,353 976
Mellon Bank Corp. 7,836 556
# Men's Wearhouse, Inc. 1,000 24
Mentor Corp. 3,604 106
# Mentor Graphics Corp. 5,900 58
Mercantile Bancorp, Inc. 5,036 259
Mercantile Bankshares Corp. 2,200 70
Mercantile Stores Co., Inc. 2,100 104
Merck & Co., Inc. 74,609 5,913
Mercury Finance Co. 9,399 115
Mercury General Corp. 3,200 168
Meredith Corp. 1,650 87
# Merisel, Inc. 4,200 7
Merrill Lynch & Co., Inc. 9,900 807
Merry Land & Investment Co.,
Inc. REIT 2,200 47
# Mesa Air Group Inc. 1,500 10
Methode Electronics, Inc. Class A 6,849 137
# Metra Biosystems, Inc. 3,400 17
# Metris Cos., Inc. 2,400 57
# Metrocall, Inc. 900 5
# Metromail Corp. 3,300 60
# Metromedia International
Group, Inc. 3,900 39
# Metzler Group, Inc. 1,700 53
# Fred Meyer, Inc. 1,400 50
Michael Foods, Inc. 7,900 101
# Micrion Corp. 2,000 44
# Micros Systems, Inc. 1,100 33
# Microsoft Corp. 73,600 6,086
# Microchip Technology, Inc. 2,000 102
# Micro Warehouse Inc. 1,800 21
# Micrografx, Inc. 600 3
# Micron Electronics, Inc. 5,000 97
Micron Technology Inc. 12,800 373
# Microwave Power Devices, Inc. 4,700 12
Mid Am Inc. 5,954 103
Mid-America Realty Investments 7,200 68
Mid Atlantic Realty Trust 3,650 41
# Mid Atlantic Medical
Services, Inc. 5,700 76
Mid-Iowa Financial Corp. 12,000 83
MidAmerican Energy Holdings Co. 4,800 76
# Millenium Chemicals, Inc. 4,600 82
Herman Miller, Inc. 1,400 79
Millipore Corp. 2,600 108
# Milwaukee Land Co. 5,500 34
Minerals Technologies, Inc. 1,200 49
Minnesota Mining &
Manufacturing Co. 25,200 2,088
Minnesota Power & Light Co. 2,500 69
# Mirage Resorts, Inc. 11,300 244
Mississippi Chemical Corp. 1,000 24
Mitchell Energy & Development
Corp. Class A 2,200 49
# Mizar Inc. 1,000 5
Mobil Corp. 23,800 2,910
# Mobile Telecommunications
Technologies Corp. 2,700 23
# MobileMedia Corp. 3,000 1
# Mobley Environmental Services,
Inc. Class A 6,600 2
Modine Manufacturing Co. 2,538 67
# Mohawk Industries, Inc. 3,700 82
# Molecular Biosystems, Inc. 597 4
Molex, Inc. 6,056 237
# Molten Metal Technology 1,000 12
The Money Store 3,000 83
Monsanto Co. 35,500 1,380
Montana Power Co. 2,800 60
J.P. Morgan & Co., Inc. 11,400 1,113
Morgan Stanley Group, Inc. 8,700 497
Morrison Fresh Cooking Inc. 1,437 7
Morrison Health Care Inc. 3,316 49
# Morrison Knudsen Co. Warrants
Exp. 3/11/03 278 1
Morton International, Inc. 8,400 342
# Mortons Restaurant Group 2,456 41
Mosinee Paper Corp. 300 11
Motorola, Inc. 36,400 2,234
# Mueller Industries Inc. 2,100 81
# MTL, Inc. 1,152 24
</TABLE>
23
<PAGE> 26
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------
MARKET
VALUE*
BALANCED INDEX FUND SHARES (000)
- ---------------------------------------------------------------------
<S> <C> <C>
# Multicare Cos., Inc. 1,200 $ 24
Murphy Oil Corp. 2,600 145
Mylan Laboratories, Inc. 6,650 111
NAC Re Corp. 2,400 81
# NCI Building Systems, Inc. 1,300 45
# NCO Group, Inc. 2,700 45
# NFO Research Inc. 2,797 63
NGC Corp. 9,300 216
# NHP, Inc. 2,300 36
NIPSCO Industries, Inc. 3,500 139
N L Industries, Inc. 5,500 60
NUI Corp. 400 9
Nabisco Holdings Corp. Class A 2,800 109
# Nabors Industries, Inc. 4,500 87
NACCO Industries, Inc. Class A 891 48
Nalco Chemical Co. 3,800 137
# Nashua Corp. 2,586 31
# National City Bancorporation 800 16
National City Corp. 13,300 597
National Community Bancorp 1,550 59
National Data Corp. 1,600 70
# National Education Corp. 5,300 81
National Fuel & Gas Co. 1,900 78
National Health Investors REIT 1,300 49
# National Medical Financial
Services Corp. 4,700 34
National Presto Industries, Inc. 2,200 82
# National Processing, Inc. 3,100 50
# National Semiconductor Corp. 8,300 202
National Service Industries, Inc. 2,800 105
# National Steel Corp. Class B 3,200 30
# National Western Life Insurance
Co. Class A 200 18
NationsBank Corp. 17,812 1,741
Nationwide Health Properties, Inc. 2,300 56
# Natural Wonders 4,300 19
# Nautica Enterprises Inc. 2,500 63
# Navigators Group, Inc. 2,000 36
# Navistar International Corp. 4,000 37
# Neiman Marcus Group Inc. 2,300 59
# Nellcor Puritan Bennett, Inc. 3,508 76
Thomas Nelson, Inc. 4,750 71
# Neoprobe Corp. 6,300 96
# Netcom On-Line Communication
Services, Inc. 1,600 21
# Netframe Systems Inc. 14,800 40
# Netmanage, Inc. 3,000 18
# Netscape Communications Corp. 2,600 148
# Network General Corp. 2,600 78
# Neurogen Corp. 680 13
Nevada Power Co. 2,300 47
New England Electric System 3,600 126
# New Mexico & Arizona Land Co. 2,292 27
New Plan Realty Trust REIT 3,500 89
New York State Electric &
Gas Corp. 3,700 80
New York Times Co. Class A 6,000 228
Newell Co. 9,000 284
# Newfield Exploration Co. 2,200 57
Newmont Gold Co. 6,400 280
Newmont Mining Corp. 5,843 261
# Newport News Shipbuilding Inc. 2,040 31
# Nextel Communications 13,863 181
# Nexstar Pharmaceuticals Inc. 6,812 101
# Niagara Mohawk Power Corp. 8,700 86
NICOR, Inc. 3,100 111
Nike, Inc. Class B 17,600 1,052
# Nine West Group, Inc. 2,100 97
# 99 Cents Only Stores 1,100 18
Noble Affiliates, Inc. 3,400 163
# Noble Drilling Corp. 7,300 145
# Noodle Kidoodle, Inc. 5,000 26
NorAm Energy Corp. 9,300 143
# Nord Resources Corp. 7,900 35
Nordson Corp. 1,700 109
Nordstrom, Inc. 4,800 170
Norfolk Southern Corp. 7,300 639
Norrell Corp. 600 16
# Nortek, Inc. 2,500 50
North American Mortgage Co. 2,700 53
# North American Vaccine, Inc. 2,739 66
North Fork Bancorporation, Inc. 1,500 53
North Side Savings Bank 2,315 127
Northeast Utilities 6,700 89
Northern States Power Co. 4,000 184
Northern Trust Corp. 6,900 251
Northrop Grumman Corp. 3,300 273
# Northwest Airlines Corp. Class A 6,000 235
Northwest Natural Gas Co. 1,050 25
Northwest Savings Bank 5,800 79
Norwest Corp. 22,780 991
# Nova Corp. (Georgia) 1,700 38
# NovaCare, Inc. 7,100 78
# Nu-Kote Holding, Inc. Class A 4,600 47
# Novavax, Inc. 6,110 21
# Novell, Inc. 20,000 189
# Novellus Systems, Inc. 2,300 125
Nucor Corp. 4,800 245
# Nuevo Energy Co. 1,700 88
Numerex Corp. 500 2
# nVIEW Corp. 3,300 11
NYNEX Corp. 26,400 1,271
OEA, Inc. 1,300 59
# OHM Corp. 5,700 48
# OIS Optical Imaging Systems, Inc. 6,100 10
# Oak Technology, Inc. 2,100 24
# Oakley, Inc. 3,800 41
Oakwood Homes Corp. 4,100 94
# Objective Systems Integrators, Inc. 1,700 40
Occidental Petroleum Corp. 19,800 463
# Oceaneering International, Inc. 2,810 45
# Octel Communications Corp. 3,000 52
# Office Depot, Inc. 8,925 158
# Officemax Inc. 7,200 77
# Offshore Logistics, Inc. 4,000 78
Ogden Corp. 3,200 60
Ohio Casualty Corp. 1,600 57
Ohio Edison Co. 8,700 198
Oklahoma Gas & Electric Co. 1,900 79
# Old Dominion Freight Line, Inc. 4,000 42
Old Kent Financial Corp. 2,315 110
Old National Bancorp 1,500 59
</TABLE>
24
<PAGE> 27
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ---------------------------------------------------------------------
<S> <C> <C>
Old Republic International Corp. 5,050 $ 135
Olin Corp. 2,800 105
Olsten Corp. 3,950 60
# Olympic Financial Ltd. 2,000 29
Omnicare, Inc. 4,600 148
Omnicom Group Inc. 4,400 201
# Omega Health Systems, Inc. 5,700 38
Omega Healthcare Investors, Inc. 2,400 80
# Omnipoint Corp. 2,000 38
# Oncor Inc. 8,369 33
One Valley Bancorp of West
Virginia Inc. 1,500 56
ONEOK, Inc. 1,700 51
# Ontrak Systems, Inc. 2,000 30
# Optical Cable Corp. 400 4
# Oracle Corp. 40,225 1,677
Orange & Rockland Utilities, Inc. 2,500 90
Orange-Co, Inc. 3,600 28
# Oravax, Inc. 2,600 14
# Oregon Metallurgical Corp. 2,100 67
# Organogenesis, Inc. 4,750 110
Oregon Steel Mills, Inc. 1,600 27
Orion Capital Corp. 900 55
# OrNda Healthcorp 2,769 81
# Orthodontic Centers of
America, Inc. 1,300 20
# Oryx Energy Co. 6,000 149
Oshkosh Truck Corp. 2,900 30
# Osicom Technologies 4,042 31
Otter Tail Power Co. 2,098 68
# Outback Steakhouse 2,200 59
# Outdoor Systems, Inc. 2,400 68
Overseas Shipholding Group Inc. 1,900 32
Owens Corning 2,800 119
# Owens-Illinois, Inc. 7,400 168
# Oxford Health Plan 4,700 275
# PDT, Inc. 1,600 46
PECO Energy Corp. 13,000 328
PHH Corp. 2,800 120
# PHP Healthcare Corp. 2,800 72
# PICO Holdings Inc. 7,014 28
The PMI Group Inc. 2,200 122
# PMT Services Inc 1,900 33
PNC Bank Corp. 20,335 765
PP&L Resources Inc. 9,100 209
PPG Industries, Inc. 11,100 623
# PRI Automation, Inc. 2,200 99
Paccar, Inc. 2,225 151
Pacific Enterprises 4,700 143
Pacific Gas & Electric Co. 25,500 536
Pacific Telesis Group 26,300 967
# Pacificare Health Systems Inc.
Class A 500 41
# Pacificare Health Systems Inc.
Class B 1,200 102
PacifiCorp 17,600 361
# Paging Network, Inc. 5,900 90
PaineWebber Group, Inc. 5,600 158
# Pairgain Technologies, Inc. 3,600 110
Pall Corp. 6,066 155
PanEnergy Corp. 9,300 419
# PanAmSat Corp. 2,300 65
# Papa John's International, Inc. 1,800 61
# Parametric Technology Corp. 7,800 401
# Parcplace-Digitalk Inc. 400 1
# Park-Ohio Industries, Inc. 4,400 57
Parker & Parsley Petroleum Co. 3,800 140
Parker Hannifin Corp. 4,100 159
# Parkervision, Inc. 400 5
Parkway Properties Inc. 2,800 73
Patriot American Hospitality,
Inc. REIT 1,300 56
Paul Revere Corp. 2,400 89
Paychex, Inc. 4,475 230
# Payless ShoeSource, Inc. 2,080 78
# PEC Israel Economic Corp. 4,000 67
# Pegasystems Inc. 1,700 51
# The Penn Traffic Co. 4,000 15
Penncorp Financial Group Inc. 1,700 61
J.C. Penney Co., Inc. 15,017 732
Pennsylvania Enterprises Inc. 983 43
Pentair, Inc. 3,700 119
Pennzoil Co. 2,700 153
Peoples Bank of Bridgeport 2,400 69
# People's Choice TV Corp. 2,200 13
Peoples Energy Corp. 2,100 71
Peoples First 3,748 94
Peoples Heritage Financial
Group Inc. 2,600 72
# Peoplesoft Inc. 6,600 316
Pep Boys (Manny, Moe & Jack) 3,200 98
PepsiCo, Inc. 96,000 2,808
# Perclose, Inc. 1,200 24
# Performance Food Group Co. 450 7
Perkin-Elmer Corp. 2,200 130
# Perrigo Co. 6,900 62
# Perseptive Biosystems, Inc. 650 4
# Personnel Group of America, Inc. 2,800 68
# Pete's Brewing Co. 600 5
# Petrocorp, Inc. 4,822 46
Petroleum Heat & Power Co. 9,600 60
Petrolite Corp. 1,900 89
# PETsMART, Inc. 5,548 121
Pfizer, Inc. 39,400 3,265
# Pharmaceutical Markets 6,100 63
Phelps Dodge Corp. 3,600 243
# Philadelphia Consolidated
Holding Corp. 1,800 41
Philip Morris Cos., Inc. 50,200 5,654
Phillips Petroleum Co. 15,800 699
Phillips-Van Heusen Corp. 1,200 17
# Phoenix Network, Inc. 600 2
# Phycor, Inc. 3,250 92
# Physician Reliance Network, Inc. 4,500 35
# Physician Sales & Service, Inc. 1,600 23
# Physician Corp. of America 1,800 18
# Physio-Control International Corp. 2,400 53
# PictureTel Corp. 2,800 72
Piedmont Natural Gas, Inc. 1,800 42
Pier 1 Imports Inc. 6,205 109
# Pinnacle Micro Inc. 4,450 13
Pinnacle West Capital Corp. 4,800 152
</TABLE>
25
<PAGE> 28
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------
MARKET
VALUE*
BALANCED INDEX FUND SHARES (000)
- ---------------------------------------------------------------------
<S> <C> <C>
Pioneer Group Inc. 2,700 $ 64
Pioneer Hi Bred International 4,800 336
Pioneer Standard Electronics Inc. 7,200 93
Piper Jaffray Cos., Inc. 3,000 47
Pitney Bowes, Inc. 8,800 480
# Pittencrieff Communication, Inc. 6,331 23
Pittston Brink's Group 2,500 68
Pittston Burlington Group 1,050 21
Pittway Corp. Class A 1,300 70
# Pixar, Inc. 1,000 13
# Pizza Inn, Inc. 9,200 43
# Plains Resources 1,917 30
# Planet Hollywood International,
Inc. Class A 5,600 111
# Planet Polymer Technology, Inc. 5,200 22
# Plantronics, Inc. 1,300 59
# Platinum Software Co. 2,274 27
# Playtex Products, Inc. 6,900 55
Plenum Publishing Corp. 1,100 39
Ply-Gem Industries, Inc. 400 5
Poe & Brown, Inc. 2,900 78
Pogo Producing Co. 4,600 217
Polaris Industries, Inc. 1,700 40
Polaroid Corp. 2,300 100
# Policy Management Systems Corp. 2,900 134
Portland General Electric Co. 3,200 134
Post Properties, Inc. REIT 1,300 52
Potlatch Corp. 1,800 77
Potomac Electric Power Co. 6,700 173
Praxair, Inc. 9,600 443
Precision Castparts Corp. 1,300 65
Premark International, Inc. 3,300 73
Premier Farnell PLC ADR 1,645 42
Premier Farnell PLC Cvt. Pfd. ADR 1,326 38
# Premisys Communications, Inc. 1,500 51
# Presstek, Inc. 700 50
# Price/Costco Inc. 11,086 279
T. Rowe Price 3,400 148
Price REIT, Inc. 700 27
# Primadonna Resorts, Inc. 600 10
# Prime Service, Inc. 1,700 47
# Prime Hospitality Corp. 2,300 37
Procter & Gamble Co. 42,100 4,526
# Proffitt's, Inc. 1,200 44
Production Operators Corp. 2,900 136
# Progress Software Corp. 2,800 56
Progressive Corp. of Ohio 4,000 270
# Project Software &
Development, Inc. 400 17
# Promus Hotel Corp. 2,700 80
Protective Life Corp. 1,800 72
# Proteon Inc. 2,600 7
# Providence Journal Co. 800 25
# Provident American Corp. 2,800 40
Provident Cos., Inc. 2,400 116
Providian Corp. 5,500 283
# Proxim, Inc. 1,800 42
# Proxymed Pharmacy, Inc. 2,900 20
Public Service Co. of Colorado 3,500 136
Public Service Co. of
New Mexico 2,300 45
Public Service Enterprise
Group Inc. 13,900 379
Public Storage, Inc. REIT 3,986 124
Public Storage Properties XI
Class A 100 2
Public Storage Properties XV
Class A 800 17
# Pudgie's Chicken, Inc. 7,100 11
Puerto Rican Cement Co., Inc. 2,900 91
Puget Sound Power & Light Co. 3,600 86
Pulitzer Publishing Co. 1,333 62
Pulte Corp. 1,600 49
# Pure Atria Software Corp. 2,481 61
# QLogic Corp. 1,473 38
The Quaker Oats Co. 7,700 294
# Qualcomm, Inc. 3,500 140
# Quality Systems, Inc. 2,400 17
# Quantum Corp. 2,900 83
Questar Corp. 2,000 74
Quick & Reilly Group, Inc. 3,334 100
# Quickresponse Services, Inc. 100 3
# Quiksilver, Inc. 2,900 62
# Quickturn Design Systems, Inc. 5,800 119
# Quintiles Transnational Corp. 1,100 72
# Quorum Health Group, Inc. 2,600 77
RFS Hotel Investors, Inc. REIT 4,100 81
RJR Nabisco Holdings Corp. 16,699 568
R.L.I. Corp. 2,625 88
RPM Inc. (Ohio) 3,625 62
# Racotek, Inc. 7,000 30
# RailTex, Inc. 994 25
# Rainbow Technologies, Inc. 4,000 75
# Rainforest Cafe, Inc. 750 18
# Ralcorp Holdings Inc. 3,533 75
Ralston-Ralston Purina Group 6,015 441
# Ramtron International Corp. 6,100 37
# Raptor Systems, Inc. 2,100 42
# Raster Graphics, Inc. 600 7
# Rational Software Corp. 2,000 79
Raychem Corp. 2,300 184
Rayonier Inc. 1,800 69
Raytheon Co. 14,500 698
# Read-Rite Corp. 3,800 95
Reader's Digest Assn., Inc. Class A 6,100 246
# Reading & Bates Corp. 5,100 135
# Recovery Engineering, Inc. 4,600 31
# Red Brick Systems, Inc. 2,700 61
Reebok International Ltd. 3,413 143
# Regal Cinemas, Inc. 1,800 55
Regis Corp. 4,140 67
Regions Financial Corp. 3,718 192
# Regent Assisted Living, Inc. 1,500 7
Reinsurance Group of
America, Inc. 1,000 47
Reliance Bancorp, Inc. 2,000 39
Reliance Group Holdings 4,000 37
Reliastar Financial Corp. 1,685 97
# Remedy Corp. 2,400 128
# Renaissance Communications 3,200 114
# Renal Treatment Centers, Inc. 1,000 26
# Republic Industries, Inc. 12,430 388
</TABLE>
26
<PAGE> 29
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ---------------------------------------------------------------------
<S> <C> <C>
Republic New York Corp. 3,100 $ 253
# Research Medical, Inc. 3,610 83
# Resound Corp. 5,200 37
# Retirement Care Associates, Inc. 8,268 68
# Revco Drug Stores, Inc. 4,000 148
# Rexall Sundown, Inc. 1,800 49
Reynolds & Reynolds Class A 4,200 109
Reynolds Metals Co. 3,500 197
# Rhodes Inc. 200 2
Rhone-Poulenc Rorer, Inc. 8,400 656
Richfood Holdings, Inc. 2,850 69
Riggs National Corp. 1,900 33
# Rio Hotel and Casino, Inc. 3,000 44
Rite Aid Corp. 6,875 273
Roadway Express Inc. 1,000 19
# Robert Half International, Inc. 5,100 175
Rochester Gas and Electric Corp. 1,900 36
# Rochester Medical Corp. 2,300 43
Rockwell International Corp. 13,400 816
# Rockshox, Inc. 4,600 66
# Rogers Corp. 2,100 57
Rohm & Haas Co. 3,800 310
# Rohr, Inc. 4,000 91
# Rollins Environmental
Services, Inc. 2,800 5
Rollins, Inc. 3,600 72
Rollins Truck Leasing 6,750 85
# Ronson Corp. 2,400 6
Roosevelt Financial Group 2,500 52
Roper Industries Inc. 3,236 127
Ross Stores, Inc. 1,500 75
# Ross Technology, Inc. 2,800 9
Rouse Co. 3,400 108
# Rowan Cos., Inc. 5,100 115
# Royal Appliance
Manufacturing Co. 6,014 41
Royal Caribbean Cruises, Ltd. 2,000 47
Rubbermaid, Inc. 8,900 202
Ruby Tuesday, Inc. 2,875 53
Ruddick Corp. 4,300 60
Russell Corp. 2,200 65
# Ryan's Family Steak Houses, Inc. 8,000 55
Ryder System, Inc. 4,300 121
SBC Communications Inc. 37,400 1,935
# SCI Systems, Inc. 1,600 72
# SDL, Inc. 2,500 65
SEI Corp. 400 9
# SGII International 650 3
# SMC Corp. 1,200 9
# SPS Technologies, Inc. 824 53
# SPS Transaction Services 1,400 21
# S3, Inc. 2,800 46
SAFECO Corp. 7,200 284
# Safeguard Scientifics, Inc. 1,806 57
Safety-Kleen Corp. 3,500 57
# Safeway, Inc. 13,500 577
# Saga Communications, Inc. 2,775 54
St. Joe Corp. 1,600 104
St. John Knits, Inc. 700 30
# St. Jude Medical, Inc. 4,700 200
St. Mary Land & Exploration Co. 2,372 59
St. Paul Bancorp, Inc. 2,953 87
St. Paul Cos., Inc. 5,200 305
# Saks Holdings, Inc. 3,700 100
Salomon, Inc. 6,200 292
# Sanchez Computer Associates Inc. 181 1
# SanDisk Corp. 3,400 32
# John B. Sanfilippo & Son, Inc. 5,600 27
# Sanmina Corp. 1,100 62
# Santa Fe Energy Resources, Inc. 5,400 75
Santa Fe Pacific Gold Corp. 7,440 114
Santa Monica Bank 500 8
Sara Lee Corp. 29,800 1,110
# Satcon Technology Corp. 3,007 19
Savannah Foods & Industries, Inc. 4,800 65
SCANA Corp. 5,600 150
# R. P. Scherer Corp. 1,400 70
# Scherer Health 3,200 7
Schering-Plough Corp. 22,700 1,470
Schlumberger Ltd. 15,100 1,508
Schnitzer Steel Industries, Inc.
Class A 2,000 51
# Scholastic Corp. 900 60
# Schuler Homes Inc. 2,200 14
Schuller Corp. 8,800 93
A. Schulman Inc. 1,900 47
Charles Schwab Corp. 10,800 346
Schweitzer-Mauduit
International, Inc. 1,850 58
# Sciclone Pharmaceuticals 800 6
Scientific-Atlanta, Inc. 4,000 60
# Scientific Games Holdings Corp. 3,200 86
# Scios, Inc. 2,300 14
# Scopus Technology, Inc. 2,400 111
# The Score Board, Inc. 16,500 33
# Scotts Co. 3,800 75
E.W. Scripps Co. 4,800 168
Seacoast Banking Corp. of
Florida Class A 3,200 83
# Seagate Technology 14,368 567
# Seacor Holdings, Inc. 800 50
# Seagull Energy Corp. 3,804 84
# Sealed Air Corp. 2,700 112
Sears, Roebuck & Co. 24,000 1,107
# Seattle FilmWorks, Inc. 2,250 45
Security Capital Corp. 1,300 95
Security Capital Industrial
Trust REIT 5,823 124
Security Capital Pacific Inc. REIT 3,500 80
# Security Dynamics
Technologies, Inc. 2,400 75
# Security First Network Bank 1,547 16
Sensormatic Electronics Corp. 3,500 59
# Sepracor Inc. 4,700 77
# Sequa Corp. Class A 1,456 57
# Sequent Computer Systems, Inc. 4,100 73
# Sequus Pharmaceuticals, Inc. 4,600 73
Service Corp. International 14,100 395
# Service Merchandise Co., Inc. 7,700 33
Shared Medical Systems Corp. 1,437 71
Shaw Industries, Inc. 7,000 82
Sherwin-Williams Co. 5,100 286
</TABLE>
27
<PAGE> 30
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------
MARKET
VALUE*
BALANCED INDEX FUND SHARES (000)
- ---------------------------------------------------------------------
<S> <C> <C>
# Shiva Corp. 1,600 $ 56
# Shoe Carnival, Inc. 650 3
# Shoney's Inc. 8,295 58
# Show Biz Pizza Time, Inc. 3,700 68
Showboat, Inc. 3,600 62
# Shuffle Master, Inc. 2,833 26
# Siebel Systems, Inc. 2,200 60
Sierra Pacific Resources 1,800 52
# Sierra Semiconductor 3,466 52
Sigma Aldrich Corp. 3,100 193
# Signal Technology Corp. 4,147 32
Signet Banking Corp. 2,933 90
# Silicon Graphics, Inc. 10,204 260
# Silicon Valley Bancshares 2,000 65
# Silicon Valley Research, Inc. 3,100 6
Simon DeBartolo Group Inc. 5,684 176
# Simulation Sciences, Inc. 3,000 44
# Sitel Corp. 4,400 62
Sizzlers Property Investors, Inc. 4,100 39
# Sizzler International 13,700 39
# Smartalk Teleservices Inc. 3,000 52
# Smith Corona 12,400 1
A.O. Smith Corp. 1,500 45
# Smith International, Inc. 2,400 108
# Smithfield Foods, Inc. 2,500 95
Smiths Food & Drug Centers, Inc.
Class B 1,966 61
# Snyder Communications, Inc. 2,000 54
Snap-On Inc. 3,150 112
# Software Spectrum, Inc. 2,400 70
# Sofamor Danek Group Inc. 1,100 34
# Softdesk, Inc. 1,300 20
# Sola International, Inc. 1,500 57
# Solectron Corp. 2,700 144
Somerset Group, Inc. 4,125 68
Sonat, Inc. 5,300 273
Sonoco Products 5,000 129
Sotheby's Holdings Class A 3,300 61
Southdown, Inc. 2,700 84
Southeastern Michigan Gas &
Electric 2,922 55
Southern Co. 41,300 934
Southern National Corp. 6,700 243
Southern New England
Telecommunications Corp. 3,500 136
# Southern Union Co. 5,630 124
# Southland Corp. 18,400 55
SouthTrust Corp. 5,648 197
Southwest Airlines Co. 8,950 198
Southwest Bancshares, Inc. 1,776 32
Southwest Gas Corp. 3,600 69
Southwestern Energy Co. 1,600 24
Southwestern Public Service Co. 1,700 60
Sovereign Bancorp, Inc. 2,425 32
Sovran Self Storage, Inc. 2,200 69
# Spacelabs Medical 2,500 52
# Spacetec IMC Corp. 4,200 22
Spartan Motors, Inc. 5,800 38
# Spectralink Corp. 8,600 24
# Spectran Corp. 4,200 92
# Spectranetics Corp. 2,900 12
# Spectrum Holobyte 2,000 15
# Speedfam International, Inc. 700 20
# Speedway Motorsports, Inc. 2,600 55
# Spelling Entertainment 9,900 73
# Spiegel, Inc. Class A 8,500 60
Spieker Properties, Inc. REIT 2,100 76
# Splash Technology Holdings, Inc. 2,800 61
# Sportmart Inc. Class A 3,650 10
# Sportmart Inc. 3,650 12
# Sports & Recreation 5,600 43
Springs Industries Inc. Class A 1,200 52
Sprint Corp. 26,440 1,054
# Spyglass, Inc. 3,000 37
# Standard Commercial Tobacco Co. 4,278 87
Standard Federal Bank 3,400 193
Standard Financial, Inc. 1,500 30
# Standard Microsystem 4,300 40
Standard Motor Products, Inc. 3,300 46
Standard Products Co. 3,700 94
The Standard Register Co. 1,100 36
Stanhome, Inc. 2,300 61
The Stanley Works 4,800 130
# Staodynamics Inc. 8,300 11
# Staples, Inc. 9,825 177
Star Banc Corp. 1,400 129
# Starbucks Corp. 4,800 137
L. S. Starrett Co. Class A 1,400 40
# Starter Corp. 8,200 47
# Starsight Telecast, Inc. 2,500 23
Starwood Lodging Trust REIT 1,600 88
State Street Boston Corp. 5,000 323
# Station Casinos, Inc. 5,900 60
# Stein Mart, Inc. 1,500 30
# Steris Corp. 2,054 89
# Sterling Commerce, Inc. 4,507 159
# Sterling Software, Inc. 2,200 70
Stewart & Stevenson Services, Inc. 3,000 87
Stewart Enterprises, Inc. Class A 2,250 76
Stone Container Corp. 5,700 85
# Stone Energy Corp. 2,300 69
Storage USA, Inc. REIT 1,000 38
# Storage Technology Corp. 3,196 152
# Strategic Distribution, Inc. 5,800 46
# Stratosphere Corp. 6,100 5
# Strattec Strategy Corp. 2,100 39
# Stratus Computer, Inc. 2,300 63
Stride Rite Corp. 6,600 66
Stryker Corp. 5,400 162
Student Loan Marketing Assn. 3,500 326
Student Loan Corp. 1,200 45
# Studio Plus Hotels, Inc. 1,950 31
Sullivan Dental Products, Inc. 1,000 13
Sumitomo Bank of California 2,700 69
# Summit Care Corp. 4,100 66
Summit Bancorp 5,613 245
Sun Co., Inc. 4,337 106
# Sun Microsystems, Inc. 21,800 560
# Sunbelt Nursery Group, Inc. 400 1
SunAmerica Inc. 7,200 319
# Sun Healthcare Group, Inc. 3,800 51
Sunbeam Corp. 4,900 126
</TABLE>
28
<PAGE> 31
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ---------------------------------------------------------------------
<S> <C> <C>
Sundstrand Corp. 3,600 $ 153
# SunGard Data Systems, Inc. 2,000 80
# Sunglass Hut International, Inc. 4,800 35
# Sunrise Medical, Inc. 2,100 33
SunTrust Banks, Inc. 13,400 660
Superior Industries
International, Inc. 1,400 32
Superior Surgical Manufacturing
Co., Inc. 5,900 80
SuperValu Inc. 3,500 99
# Supreme International Corp. 2,100 31
Susquehanna Bancshares, Inc. 1,300 45
# Swift Transportation Co., Inc. 1,800 42
# Sybase, Inc. 3,840 64
# Sybron International Corp. 6,004 198
# Sykes Enterprises, Inc. 1,200 44
# Sylvan Learning Systems, Inc. 850 24
# Symantec Corp. 3,000 44
# Symbol Technologies, Inc. 1,300 58
# Syms Corp. 2,500 21
# Synagro Technologies Inc. 4,100 10
Synalloy Corp. 2,000 32
# Syncor International Corp. 2,300 31
# Synopsys, Inc. 2,900 133
# Synetic, Inc. 1,100 53
Synovus Financial Corp. 7,150 230
Sysco Corp. 10,600 346
# TBC Corp. 7,800 59
TCA Cable Television, Inc. 2,500 75
TCF Financial Corp. 2,278 99
# TCI Satellite Entertainment, Inc.
Class A 3,804 38
TECO Energy, Inc. 6,300 152
# TESSCO Technologies, Inc. 300 11
TIG Holdings, Inc. 3,500 118
TJX Cos., Inc. 4,300 204
# TRO Learning, Inc. 1,800 20
TRW, Inc. 7,900 391
# TST Impreso, Inc. 200 2
Tab Products 9,100 81
Talbots Inc. 1,800 51
Tambrands, Inc. 2,200 90
# Tandem Computers, Inc. 5,700 78
Tandy Corp. 3,400 150
Tanger Factory Outlet Centers, Inc. 1,289 35
# Target Therapeutics, Inc. 2,244 94
Tappan Zee Financial, Inc. 700 9
# Tatham Offshore, Inc. 6,300 4
Taubman Co. REIT 6,900 89
# Tech Data Corp. 2,500 68
# Tech-Sym Corp. 1,998 59
# Techne 3,800 97
# Technical Chemicals and
Products, Inc. 4,200 37
# Technology Solutions Co. 6,000 247
# Tecnol Medical Products Inc. 5,400 81
Tecumseh Products Co. Class B 1,000 56
Tecumseh Products Co. Class A 2,200 126
# Telco Systems, Inc. 1,900 36
# Tejas Gas Corp. 1,175 56
# Tekelec 2,700 43
Tektronix, Inc. 1,600 82
# Tel-Save Holdings, Inc. 1,800 52
# Tele-Communications
International, Inc. Series A 6,500 87
# Tele-Communications, Inc. Class A 40,142 524
Teleflex Inc. 1,037 54
Telephone & Data Systems, Inc. 3,500 127
# Telespectrum Worldwide Inc. 2,900 46
# Tellabs, Inc. 10,800 407
# Telular Corp. 6,400 35
Temple-Inland Inc. 3,100 168
# Teletech Holdings Inc. 3,400 87
# Tencor Instruments 2,500 66
# Tenet Healthcare Corp. 12,622 276
Tenneco, Inc. 10,200 460
# Teradyne, Inc. 4,800 117
Terra Industries, Inc. 4,900 72
Terra Nitrogen Co. LP 3,089 140
Texaco Inc. 16,200 1,590
Texas Industries, Inc. 1,400 71
Texas Instruments, Inc. 11,100 708
Texas Utilities Co. 13,193 538
Textron, Inc. 4,600 433
# Theragenics Corp. 3,558 80
Thermo Electron Corp. 8,962 370
# Thermo Instrument Systems, Inc. 4,925 163
# Thermo Cardiosystems Inc. 1,800 54
# Thermo Fibertek, Inc. 5,550 52
# Thermo VolTek 5,050 50
# ThermoLase Corp. 2,200 35
# ThermoTrex Corp. 2,000 55
# Thermedics, Inc. 4,300 78
Thiokol Corp. 1,100 49
Thomas & Betts Corp. 2,000 89
# Thompson PBE, Inc. 900 5
Thornburg Mortgage Asset Corp. 3,600 77
# 3 Com Corp. 10,400 762
# 3DO Co. 4,800 23
# 360 Communications Co. 7,346 170
Tidewater, Inc. 3,400 154
Tiffany & Co. 2,100 77
Timberline Software Corp. 3,517 31
Time Warner, Inc. 34,900 1,309
Times Mirror Co. Class A 6,400 318
Times Mirror Co. 2,876 148
The Timken Co. 1,600 73
Titan Wheel International, Inc. 2,800 36
# Titanium Metals Corp. 2,000 65
# Todd Shipyards Corp. 4,753 31
# Todhunter International, Inc. 4,200 36
# Toll Brothers, Inc. 6,100 119
Tootsie Roll Industries, Inc. 1,236 49
# The Topps Co., Inc. 9,400 38
Torch Energy Royalty Trust 3,100 33
Torchmark Corp. 3,800 192
The Toro Co. 2,600 95
Tosco Corp. 2,600 206
# Total Containment 2,100 7
Total Petroleum
(North America) Ltd. 2,800 29
# Total Renal Care Holdings, Inc. 1,800 65
</TABLE>
29
<PAGE> 32
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------
MARKET
VALUE*
BALANCED INDEX FUND SHARES (000)
- ---------------------------------------------------------------------
<S> <C> <C>
Total System Services, Inc. 7,600 $ 204
Town & Country Trust REIT 4,300 63
# Toys R Us, Inc. 16,840 505
# Tractor Supply Co. 2,700 56
# Trak Auto Corp. 1,200 17
# Transact Technologies Inc. 2,900 29
# Trans World Gaming Corp. 2,200 2
# Transaction Systems
Architects, Inc. 1,400 46
Transamerica Corp. 4,000 316
Transatlantic Holdings 1,200 97
# Transitional Hospital Corp. 2,800 27
Transocean Offshore Inc. 3,000 188
TransPro Inc. 900 8
# TransTexas Gas Corp. 4,500 64
# Transworld Home Healthcare, Inc. 374 4
Travelers/Aetna Property Casualty
Corp. Class A 3,800 134
Travelers Group Inc. 38,202 1,733
Tredegar Industries Inc. 3,900 156
# Tremont Corp. 1,142 41
# Triangle Pacific Corp. 2,500 60
# Trident Microsystems, Inc. 1,800 30
# Triad Guaranty, Inc. 1,800 50
# Triarc Cos., Inc. Class A 2,000 23
Tribune Co. 3,300 260
Trimas Corp. 2,400 57
Trinity Industries, Inc. 2,050 77
Trinova Corp. 500 18
# Triquint Semiconductor, Inc. 4,200 110
# Triton Energy Ltd. Class A 1,700 82
True North Communications 3,600 79
Trustco Bank 3,000 64
Trustmark Corp. 2,200 57
# Tucson Electric Power Co. 2,100 35
Tupperware Corp. 3,300 177
20th Century Industries of CA 3,800 64
Tyco International Ltd. 9,350 494
# Tyco Toys, Inc. 4,200 49
# Tyler Corp. 12,500 23
Tyson Foods, Inc. 9,000 308
# UAL Corp. 3,000 186
# UCAR International, Inc. 2,700 101
UGI Corp. Holding Co. 2,100 47
# UICI 2,700 87
UMB Financial Corp. 1,260 52
UNR Industries, Inc. 9,000 53
UNUM Corp. 4,500 325
# USA Waste Service 7,750 247
USF&G Corp. 7,200 150
# USG Corp. 2,700 91
UST Inc. 11,800 382
USX Delhi Group 4,800 76
USX-Marathon Group 17,700 423
USX-U.S. Steel Group 4,900 154
# U.S. Robotics Corp. 5,100 368
# Ultrafem, Inc. 1,800 31
Ultramar Diamond Shamrock Corp. 5,036 159
Unifi, Inc. 3,200 103
Uniforce Services Inc. 600 12
Unicom Corp. 12,900 350
Union Camp Corp. 4,300 205
Union Carbide Corp. 7,500 306
Union Electric Co. 5,700 219
Union Pacific Corp. 14,973 900
Union Pacific Resources
Group, Inc. 15,281 447
Union Planters Corp. 3,600 140
Union Texas Petroleum
Holdings, Inc. 5,200 116
UnionBanCal Corp. 1,800 96
# Uniphase Corp. 1,000 53
# Uniroyal Technology Corp. 6,900 21
# Unisys Corp. 8,700 59
# Unit Corp. 16,900 167
United Asset Management Corp. 3,200 85
United Cos. Finance Corp. 1,700 45
United Dominion Industries Ltd. 4,100 96
United Dominion Realty Trust REIT 3,700 57
United Healthcare Corp. 10,715 482
United Illuminating Co. 2,300 72
# United International Holdings, Inc.
Class A 4,400 53
# United Leisure Corp. 1,800 1
# United Meridian Corp. 2,100 109
# United Natural Foods, Inc. 2,800 48
U.S. Bancorp 9,215 414
# U.S. Bioscience 5,050 64
# U.S. Filter Corp. 3,300 105
# USAir Group, Inc. 3,700 86
# U.S. Home Corp. 2,100 55
# U.S. Industries, Inc. 3,100 106
# US Office Products Co. 2,500 85
# United States Can Co. 4,291 72
# United States Cellular 4,900 136
U S WEST Communications Group 29,300 945
# U S WEST Media Group 33,700 623
# United States Satellite
Broadcasting Co., Inc. Class A 5,200 51
United States Surgical Corp. 3,600 142
United States Trust Corp. 1,049 83
United Technologies Corp. 15,000 990
United Television, Inc. 1,487 130
# United Waste Systems, Inc. 2,100 72
United Wisconsin Services Inc. 800 21
Unitrin Inc. 2,400 134
# Unitrode Corp. 3,589 105
Universal Corp. 1,800 58
# Universal Electronics, Inc. 2,900 16
Universal Foods Corp. 1,500 53
# Universal Health Services Class B 1,700 49
Unocal Corp. 15,300 621
# Uranium Resources, Inc. 2,600 20
# Uroquest Medical Corp. 6,800 48
# USDATA Corp., Inc. 2,497 15
USLIFE Corp. 2,100 70
Utilicorp United, Inc. 3,200 86
VF Corp. 3,400 229
# VLSI Technology, Inc. 3,000 71
# Valassis Communication 2,600 55
Valhi, Inc. 6,900 44
# Valence Technology 1,000 4
</TABLE>
30
<PAGE> 33
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ---------------------------------------------------------------------
<S> <C> <C>
Valero Energy Corp. 2,600 $ 74
Valley National Bancorp 2,215 57
# ValuJet Inc. 2,000 13
Valspar Corp. 1,100 62
# Value City Department Stores, Inc. 5,200 55
# Value Health, Inc. 2,471 48
Value Line, Inc. 2,600 118
# Vanguard Cellular Systems, Inc.
Class A 4,300 67
# Vanstar Corp. 2,400 59
# Vantive Corp. 1,500 47
Varian Associates, Inc. 1,400 71
# Vasomedical Inc. 8,900 18
Vastar Resources, Inc. 5,200 198
# Vencor, Inc. 4,000 126
# Ventritex Inc. 2,800 68
# Venture Stores, Inc. 5,637 17
# VeriFone, Inc. 1,500 44
# Verilink Corp. 1,700 55
# Verity, Inc. 2,900 44
# Versant Object Technology Corp. 1,700 32
# Vertex Industries, Inc. 6,700 7
Vesta Insurance Group, Inc. 800 25
# Veterinary Centers of America, Inc. 1,740 19
# Viacom International Inc. Class A 1,040 36
# Viacom International Inc. Class B 20,422 712
Viad Corp. 7,000 115
# Viasoft, Inc. 1,000 47
# Vicor Corp. 2,500 42
# Vicorp Restaurants, Inc. 2,600 33
# Video Lottery 500 2
# Viewlogic Systems, Inc. 2,909 32
# Viisage Technology, Inc. 2,300 33
# Viking Office Products 4,900 131
# VideoLan Technologies, Inc. 2,500 4
Vintage Petroleum, Inc. 1,100 38
# Vishay Intertechnology, Inc. 2,877 67
# Visix Space Inc. 2,729 61
# Vitesse Semiconductor Corp. 2,200 100
# Vivra, Inc. 2,300 63
# Vmark Software, Inc. 3,602 27
# Volt Information Sciences Inc. 400 17
# Vons Cos., Inc. 2,600 156
Vornado Realty Trust REIT 1,500 79
Vulcan Materials Co. 2,100 128
WD-40 Co. 1,800 92
# WFS Financial, Inc. 1,210 23
# WHX Corp. 6,000 53
WICOR, Inc. 1,800 64
# WMS Industries, Inc. 2,400 48
WMX Technologies Inc. 30,100 982
WPL Holdings, Inc. 1,500 42
WPS Resources Corp. 2,579 73
# WSFS Financial Corp. 2,400 25
# Waban, Inc. 3,900 101
Wabash National Corp. 2,550 47
Wachovia Corp. 9,900 559
Wackenhut Corp. 2,008 35
# Wackenhut Corrections Corp. 2,400 48
Wainwright Bank & Trust Co. 200 1
Wal-Mart Stores, Inc. 141,000 3,225
Walbro Corp. 2,400 44
Walgreen Co. 15,100 604
# Walker Interactive Systems, Inc. 4,300 58
# Wall Data Inc. 3,404 51
Wallace Computer Services, Inc. 2,900 100
# Wang Laboratories, Inc. 2,300 47
Warnaco Group 2,900 86
Warner-Lambert Co. 16,400 1,230
Washington Energy Co. 3,000 62
Washington Federal Inc. 4,634 122
Washington Gas Light Corp. 2,600 59
Washington Mutual Inc. 4,500 195
Washington National Corp. 2,100 58
Washington Post Co. Class B 600 201
Washington Real Estate
Investment Trust REIT 4,500 79
Washington Water Power Co. 2,800 52
# Waters Corp. 1,700 52
Watkins-Johnson Co. 700 17
# Watson Pharmaceuticals, Inc. 1,700 76
Wausau Paper Mills Co. 2,186 40
Waverly, Inc. 3,382 81
# Weatherford Enterra Inc. 3,025 91
# Webco Industries, Inc. 1,400 7
Weingarten Realty Investors REIT 1,500 61
# Weirton Steel 13,700 48
Weis Markets, Inc. 2,400 76
# Wellcare Management Group, Inc. 4,000 32
Wellman, Inc. 1,700 29
Wellpoint Health Networks Inc.
Class A 3,468 119
Wells Fargo & Co. 5,718 1,542
Wellsford Residential Property
Trust REIT 2,850 69
Wendy's International, Inc. 7,400 152
Werner Enterprises, Inc. 5,550 101
Wesco Financial Corp. 600 112
# Western Atlas Inc. 2,900 205
# Western Digital Corp. 2,600 148
Western Investment Real Estate
Trust REIT 7,000 91
Western National Corp. 3,700 71
# Western Pacific Airlines, Inc. 700 5
Western Resources, Inc. 4,000 123
Westinghouse Air Brake Co. 2,200 28
Westinghouse Electric Corp. 24,700 491
# Westpoint Stevens, Inc. 1,900 56
Westvaco Corp. 6,250 180
# WetSeal, Inc. Class A 2,400 51
Weyerhaeuser Co. 11,900 564
Wheelabrator Technologies, Inc. 9,300 151
Whirlpool Corp. 4,400 205
# White River 300 17
Whitman Corp. 5,800 133
Whitney Holdings 2,705 95
# Whole Foods Market, Inc. 3,100 69
Willamette Industries, Inc. 3,400 237
Williams Cos., Inc. 9,308 349
# Clayton Williams Energy, Inc. 5,700 100
# Williams Sonoma, Inc. 2,692 97
Wilmington Trust Corp. 2,100 83
</TABLE>
31
<PAGE> 34
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------
MARKET
VALUE*
BALANCED INDEX FUND SHARES (000)
- ---------------------------------------------------------------------
<S> <C> <C>
# Wind River Systems 1,600 $ 76
Windmere-Durable Holdings Inc. 2,700 35
Winn Dixie Stores, Inc. 8,900 281
# Winslow Furniture Co. 6,700 66
# Winter Sports Inc. 3,625 52
# Wireless One, Inc. 2,200 15
# Wisconsin Central
Transportation Corp. 2,700 107
Wisconsin Energy Corp. 6,800 183
Wiser Oil Co. 400 8
Witco Chemical Corp. 3,000 91
Wolohan Lumber Co. 4,222 53
# Wonderware Corp. 1,100 10
# Woolworth Corp. 7,800 171
# World Acceptance Corp. 800 5
# World Color Press, Inc. 2,000 38
# WorldCom, Inc. 23,924 624
Worthington Foods 1,000 19
Worthington Industries, Inc. 5,050 92
Wrigley, (Wm.) Jr. Co. 6,800 383
Wyle Electronics 2,900 114
# Wyman Gordon Corp. 2,600 58
# Xiox Corp. 1,900 7
# Xilinx, Inc. 4,500 166
Xerox Corp. 18,900 995
Xtra Corp. 1,000 43
# Xylan Corp. 2,200 62
York International Corp. 2,300 128
# York Research Corp. 5,900 55
# Young Broadcasting Corp. 1,600 47
# Zebra Technologies Class A 1,100 25
# Zenith Electronics Corp. 3,400 37
Zenith National Insurance Corp. 800 22
# Zilog Inc. 3,500 91
Zions Bancorp. 1,500 156
Zurich Reinsurance Centre
Holdings, Inc. 2,200 69
Zurn Industries, Inc. 1,900 50
- ---------------------------------------------------------------------
TOTAL COMMON STOCKS
(COST $334,911) 470,131
- ---------------------------------------------------------------------
<CAPTION>
FACE
AMOUNT
(000)
- ---------------------------------------------------------------------
<S> <C> <C>
U.S. GOVERNMENT & AGENCY OBLIGATIONS (25.4%)
- ---------------------------------------------------------------------
U.S. GOVERNMENT SECURITIES (12.5%)
U.S. Treasury Bonds
7.25%, 8/15/22 $ 325 344
7.625%, 11/15/22 1,975 2,180
8.00%, 11/15/21 950 1,089
8.125%, 8/15/19 8,105 9,375
8.125%, 5/15/21 160 186
8.125%, 8/15/21 7,725 8,968
8.50%, 2/15/20 2,705 3,249
8.75%, 5/15/17 5,655 6,900
8.75%, 5/15/20 1,275 1,570
8.875%, 8/15/17 2,845 3,514
8.875%, 2/15/19 750 931
9.125%, 5/15/18 1,935 2,451
10.375%, 11/15/09 4,865 6,010
10.375%, 11/15/12 1,775 2,286
13.875%, 5/15/11 200 302
14.00%, 11/15/11 2,865 4,405
U.S. Treasury Notes
5.50%, 11/15/98 5,675 5,637
5.625%, 11/30/00 2,560 2,514
5.75%, 10/31/00 875 863
5.75%, 8/15/03 1,500 1,455
6.25%, 5/31/00 150 151
6.25%, 4/30/01 5,000 5,011
6.25%, 2/15/03 800 799
6.375%, 3/31/01 2,575 2,592
7.00%, 4/15/99 2,900 2,965
7.00%, 7/15/06 3,050 3,169
7.50%, 11/15/01 4,340 4,568
7.50%, 2/15/05 655 700
7.75%, 11/30/99 4,900 5,120
7.75%, 2/15/01 275 291
7.875%, 11/15/04 450 491
8.00%, 8/15/99 1,085 1,136
8.25%, 7/15/98 8,250 8,544
8.50%, 2/15/00 1,000 1,068
8.75%, 8/15/00 2,025 2,195
9.125%, 5/15/99 550 588
-------
103,617
-------
AGENCY BONDS AND NOTES (0.9%)
Federal Home Loan Mortgage Corp.
6.785%, 3/1/06 675 658
7.09%, 6/1/05 400 399
Federal National Mortgage Assn.
4.95%, 9/30/98 1,250 1,230
5.30%, 3/11/98 1,000 995
5.35%, 8/12/98 1,250 1,239
5.80%, 12/10/03 1,200 1,151
6.25%, 8/12/03 850 824
7.55%, 6/10/04 850 864
MTN 8.625%, 10/18/21 100 104
-------
7,464
-------
MORTGAGE OBLIGATIONS (12.0%)
Federal Home Loan Mortgage Corp.
5.50%, 9/1/98-1/1/09 389 381
6.00%, 12/1/98-4/1/26 2,646 2,560
6.50%, 1/1/98-5/1/26 6,354 6,178
7.00%, 2/1/97-6/1/26 7,260 7,195
7.50%, 9/1/97-9/1/26 5,323 5,364
8.00%, 7/1/97-8/1/26 3,470 3,551
8.50%, 11/1/06-9/1/25 1,564 1,628
9.00%, 1/1/05-5/1/25 904 955
9.50%, 8/1/03-2/1/25 554 597
10.00%, 3/1/17-4/1/25 361 393
Federal National Mortgage Assn.
5.50%, 1/1/01-11/1/08 153 147
6.00%, 8/1/00-2/1/26 2,931 2,817
6.50%, 3/1/00-7/1/26 7,715 7,493
7.00%, 5/1/00-12/1/26 11,215 11,073
7.50%, 4/1/99-12/1/26 8,496 8,536
8.00%, 5/1/99-12/1/26 6,105 6,242
8.50%, 10/1/04-10/1/26 2,484 2,581
9.00%, 9/1/04-6/1/26 1,318 1,392
9.50%, 4/1/05-2/1/25 756 818
10.00%, 7/1/05-8/1/21 176 190
</TABLE>
32
<PAGE> 35
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------
FACE MARKET
AMOUNT VALUE*
(000) (000)
- ---------------------------------------------------------------------
<S> <C> <C>
10.50%, 8/1/20 $ 44 $ 48
Government National Mortgage Assn.
6.00%, 3/15/09-5/15/26 755 715
6.50%, 9/15/08-4/15/26 2,772 2,671
7.00%, 5/15/08-6/15/26 5,952 5,859
7.50%, 5/15/08-12/15/26 6,141 6,174
8.00%, 4/15/02-10/15/26 5,710 5,847
8.50%, 7/15/01-10/15/26 2,332 2,427
9.00%, 2/15/04-7/15/26 2,440 2,586
9.50%, 9/15/18-12/15/25 1,226 1,327
10.00%, 10/15/17-2/15/26 651 716
10.50%, 9/15/15-9/15/19 116 129
11.00%, 7/15/13-12/15/15 89 100
12.00%, 2/15/14 73 84
-------
98,774
-------
- ---------------------------------------------------------------------
TOTAL U.S. GOVERNMENT & AGENCY OBLIGATIONS
(COST $208,681) 209,855
- ---------------------------------------------------------------------
CORPORATE BONDS (12.2%)
- ---------------------------------------------------------------------
ASSET-BACKED (2.2%)
Banc One Credit Card Master Trust
7.55%, 12/15/99 500 507
Chase Manhattan Credit Card Trust
7.40%, 5/15/00 413 414
Discover Card Master Trust
5.40%, 11/16/01 3,000 2,966
First Chicago Master Trust
6.25%, 8/15/99 850 850
First Deposit Master Trust
5.75%, 6/15/01 2,500 2,493
6.05%, 8/15/02 2,500 2,503
MBNA Master Credit Card Trust
6.20%, 8/15/99 850 850
7.75%, 10/15/98 183 184
Sears Credit Account Master Trust
7.25%, 7/16/01 500 504
8.10%, 6/15/04 2,500 2,623
Standard Credit Card Master Trust
5.90%, 2/8/99 1,000 996
6.80%, 4/7/01 500 507
7.875%, 1/7/00 2,500 2,575
-------
17,972
-------
FINANCE (4.7%)
American Express Credit Corp.
8.50%, 6/15/99 175 184
American General Finance Corp.
5.875%, 7/1/00 450 441
8.00%, 2/15/00 1,000 1,042
Associates Corp.
5.875%, 8/15/97 500 500
6.25%, 3/15/99 500 500
7.50%, 4/15/02 350 363
AVCO Financial Services
5.50%, 5/1/98 500 497
BankAmerica Corp.
7.50%, 10/15/02 200 207
10.00%, 2/1/03 200 231
Bear Stearns Co., Inc.
6.625%, 1/15/04 300 293
9.125%, 4/15/98 1,000 1,037
Beneficial Corp.
9.125%, 2/15/98 400 413
Chase Manhattan Corp.
6.625%, 1/15/98 350 352
Chrysler Finance Corp.
5.375%, 10/15/98 500 493
5.625%, 1/15/99 1,425 1,411
CIT Group Holdings
6.625%, 6/15/05 350 344
Citicorp
10.15%, 2/15/98 1,600 1,673
CoreStates Capital
6.625%, 3/15/05 700 681
Countrywide Funding
MTN 7.31%, 8/28/00 400 409
Dean Witter Discover & Co.
6.00%, 3/1/98 2,250 2,251
First Chicago Corp.
11.25%, 2/20/01 400 466
First Union Corp.
8.125%, 6/24/02 500 530
Fleet Financial Group
6.875%, 3/1/03 400 401
7.125%, 4/15/06 500 499
Ford Motor Credit Corp.
6.25%, 2/26/98 500 501
8.20%, 2/15/02 600 637
General Motors Acceptance Corp.
7.125%, 6/1/99 500 508
9.625%, 12/15/01 600 672
Great Western Financial Corp.
6.125%, 6/15/98 1,400 1,400
6.375%, 7/1/00 1,000 995
Household Finance Corp.
7.65%, 5/15/07 350 365
Lehman Brothers Holdings, Inc.
5.75%, 2/15/98 750 746
Mellon Financial Corp.
6.50%, 12/1/97 200 201
7.625%, 11/15/99 350 361
Merrill Lynch & Co., Inc.
6.50%, 4/1/01 2,000 1,995
8.30%, 11/1/02 125 134
9.00%, 5/1/98 250 259
Morgan Stanley Group, Inc.
9.25%, 3/1/98 225 233
NCNB Corp.
9.50%, 6/1/04 275 316
NationsBank Corp.
6.50%, 3/15/06 300 288
6.75%, 8/15/00 1,200 1,211
7.00%, 9/15/01 1,500 1,520
Orion Capital
7.25%, 7/15/05 1,000 999
PaineWebber Group Inc.
7.00%, 3/1/00 750 755
Republic New York Corp.
7.75%, 5/15/02 500 524
7.75%, 5/15/09 300 315
Salomon Inc.
6.70%, 12/1/98 1,500 1,506
</TABLE>
33
<PAGE> 36
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------
FACE MARKET
AMOUNT VALUE*
BALANCED INDEX FUND (000) (000)
- ---------------------------------------------------------------------
<S> <C> <C>
Sears Roebuck Acceptance Corp.
6.125%, 1/15/06 $ 350 $ 330
6.50%, 6/15/00 1,400 1,401
6.75%, 9/15/05 400 394
Smith Barney Holdings, Inc.
6.875%, 6/15/05 200 197
7.98%, 3/1/00 1,300 1,353
SunTrust Banks, Inc.
7.375%, 7/1/06 600 617
Transamerica Financial Corp.
8.375%, 2/15/98 425 435
Travelers/Aetna Property
Casualty Corp.
7.75%, 4/15/26 450 463
USF&G Corp.
8.375%, 6/15/01 1,000 1,062
U S WEST Financial
MTN 8.85%, 9/20/99 500 530
Wells Fargo & Co.
6.875%, 4/1/06 600 590
-------
39,031
-------
INDUSTRIAL (3.8%)
American Airlines Equipment
Trust Certificates
9.71%, 1/2/07 388 436
American Brands, Inc.
7.875%, 1/15/23 100 105
Anheuser-Busch Cos., Inc.
7.375%, 7/1/23 125 123
8.625%, 12/1/16 200 209
Applied Materials, Inc.
8.00%, 9/1/04 125 132
Archer-Daniels-Midland Co.
8.875%, 4/15/11 295 341
Auburn Hills Trust
12.00%, 5/1/20 175 265
BP America, Inc.
8.875%, 12/1/97 1,000 1,026
Black & Decker Corp.
6.625%, 11/15/00 1,000 1,000
7.50%, 4/1/03 1,000 1,031
Bowater Inc.
9.375%, 12/15/21 500 598
Burlington Northern Santa Fe Corp.
6.375%, 12/15/05 150 144
6.875%, 2/15/16 500 472
7.00%, 12/15/25 100 93
CSX Corp.
8.625%, 5/15/22 100 111
Conrail Corp.
9.75%, 6/15/20 120 148
Cyprus Minerals
6.625%, 10/15/05 600 579
Deere & Co.
8.50%, 1/9/22 100 113
Delta Airlines Equipment
Trust Certificates
8.54%, 1/2/07 416 442
Eastman Chemical
6.375%, 1/15/04 300 292
7.25%, 1/15/24 450 437
Ford Capital BV
9.00%, 8/15/98 600 626
9.375%, 1/1/98 750 775
9.50%, 6/1/10 100 119
Gannett Co.
5.85%, 5/1/00 1,000 982
General Motors Corp.
9.625%, 12/1/00 950 1,049
W.R. Grace & Co.
7.40%, 2/1/00 1,350 1,381
8.00%, 8/15/04 150 159
International Business Machines Corp.
7.125%, 12/1/20/96 425 404
International Paper Co.
7.625%, 1/15/07 100 104
May Department Stores Co.
9.75%, 2/15/21 120 145
McDonald's Corp.
6.75%, 2/15/03 300 301
MedPartners Inc.
7.375%, 10/1/06 300 301
Mobil Corp.
7.625%, 2/23/33 175 176
ESOP 9.17%, 2/29/00 714 750
News America Holdings
8.50%, 2/15/05 700 750
9.125%, 10/15/99 2,500 2,668
Noranda, Inc.
7.50%, 7/15/03 500 513
Occidental Petroleum
MTN 8.50%, 11/9/01 1,200 1,285
8.50%, 9/15/04 500 520
J.C. Penney Co., Inc.
6.875%, 6/15/99 750 759
7.125%, 11/15/23 100 94
9.05%, 3/1/01 300 326
PepsiCo, Inc.
6.125%, 1/15/98 250 251
Philip Morris Cos., Inc.
8.25%, 10/15/03 200 213
Phillips Petroleum Co.
9.00%, 6/1/01 1,000 1,089
Praxair Inc.
6.25%, 6/30/00 1,250 1,243
6.75%, 3/1/03 1,000 999
Quaker State Corp.
6.625%, 10/15/05 600 579
Sears, Roebuck & Co.
9.25%, 4/15/98 1,250 1,298
Tenneco Inc.
10.075%, 2/1/01 850 950
Texaco Capital Corp.
7.50%, 3/1/43 150 149
8.875%, 9/1/21 100 118
Texas Instruments, Inc.
6.125%, 2/1/06 600 566
Union Carbide Corp.
6.75%, 4/1/03 500 497
7.75%, 10/1/2096 100 101
7.875%, 4/1/23 200 208
</TABLE>
34
<PAGE> 37
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------
FACE MARKET
AMOUNT VALUE*
(000) (000)
- ---------------------------------------------------------------------
<S> <C> <C>
Union Oil of California
6.375%, 2/1/04 $ 150 $ 145
9.125%, 2/15/06 160 180
9.25%, 2/1/03 325 363
Union Pacific Corp.
8.625%, 5/15/22 225 241
Whirlpool Corp.
9.00%, 3/1/03 200 221
-------
31,695
-------
UTILITIES (1.5%)
Alabama Power Co.
8.75%, 12/1/21 168 178
Arizona Public Service Co.
7.25%, 8/1/23 400 377
8.00%, 2/1/25 225 227
Baltimore Gas & Electric Co.
8.375%, 8/15/01 800 857
Carolina Power & Light Co.
6.875%, 8/15/23 275 254
Coastal Corp.
7.75%, 10/15/35 750 764
Connecticut Power and Light Co.
7.625%, 4/1/97 483 483
Consolidated Edison Co. of
New York, Inc.
6.625%, 2/1/02 1,000 997
Enron Corp.
7.125%, 5/15/07 300 302
9.65%, 5/15/01 400 442
GTE Corp.
7.83%, 5/1/23 500 503
Houston Lighting and Power Co.
8.75%, 3/1/22 150 160
Illinois Power Co.
7.50%, 7/15/25 500 480
MCI Communications Corp.
7.50%, 8/20/04 450 466
7.75%, 3/23/25 350 354
Michigan Bell Telephone Co.
7.50%, 2/15/23 175 174
New England Telephone & Telegraph
9.00%, 8/1/31 1,000 1,089
New York Telephone Co.
7.00%, 8/15/25 200 188
Northern Telecom Ltd.
6.875%, 9/1/23 500 467
Pacific Bell Corp.
7.25%, 7/1/02 275 282
Southern Bell Corp.
7.625%, 3/15/13 550 548
Southwestern Bell Corp.
7.25%, 7/15/25 400 389
7.625%, 10/1/13 175 178
7.625%, 3/1/23 725 732
Texas Utilities Co.
7.875%, 3/1/23 225 226
8.125%, 2/1/02 400 423
Union Electric Corp.
7.65%, 7/15/03 250 261
Virginia Electric & Power Co.
6.625%, 4/1/03 250 249
-------
12,050
-------
- ---------------------------------------------------------------------
TOTAL CORPORATE BONDS
(COST $100,733) 100,748
- ---------------------------------------------------------------------
FOREIGN & INTERNATIONAL AGENCY BONDS
(DOLLAR DENOMINATED) (1.8%)
- ---------------------------------------------------------------------
Asian Development Bank
9.125%, 6/1/00 500 542
Province of British Columbia
7.00%, 1/15/03 230 235
British Columbia Hydro
12.50%, 9/1/13 500 566
Export Import Bank of Japan
9.00%, 4/15/98 500 518
Grand Metropolitan Investment Corp.
9.00%, 8/15/11 250 297
Hanson Overseas
7.375%, 1/15/03 600 616
Republic of Indonesia
7.75%, 8/1/06 1,000 1,014
Inter-American Development Bank
8.50%, 3/15/11 175 200
KFW International Finance, Inc.
7.20%, 3/15/14 300 304
7.625%, 2/15/04 400 422
8.85%, 6/15/99 550 582
Korean Development Bank
6.625%, 11/21/03 850 842
7.25%, 5/15/06 750 763
Province of Manitoba
7.75%, 2/1/02 825 866
8.75%, 5/15/01 300 325
9.50%, 10/1/00 160 176
9.625%, 12/1/18 400 504
National Westminster Bancorp Inc.
9.375%, 11/15/03 500 570
Province of New Brunswick
8.75%, 5/1/22 400 469
New Zealand Government
8.75%, 12/15/06 200 229
Province of Newfoundland
7.32%, 10/13/23 600 591
Noranda Inc.
8.625%, 7/15/02 550 593
Bank of Nova Scotia
6.875%, 5/1/03 250 251
Province of Ontario
7.375%, 1/27/03 175 182
7.75%, 6/4/02 275 291
Province of Saskatchewan
8.00%, 7/15/04 1,600 1,716
Kingdom of Thailand
8.25%, 3/15/02 1,200 1,276
- ---------------------------------------------------------------------
TOTAL FOREIGN & INTERNATIONAL AGENCY BONDS
(COST $14,922) 14,940
- ---------------------------------------------------------------------
</TABLE>
35
<PAGE> 38
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------
FACE MARKET
AMOUNT VALUE*
BALANCED INDEX FUND (000) (000)
- ---------------------------------------------------------------------
<S> <C> <C>
TEMPORARY CASH INVESTMENTS (2.4%)
- ---------------------------------------------------------------------
U.S. TREASURY BILLS--Note D
5.022%, 4/3/97 $ 300 $ 296
5.17%, 1/9/97 700 699
REPURCHASE AGREEMENT
Collateralized by U.S. Government
Obligations in a Pooled
Cash Account
6.39%, 1/2/97 19,080 19,080
- ---------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(COST $20,075) 20,075
- ---------------------------------------------------------------------
TOTAL INVESTMENTS (98.7%)
(COST $679,322) 815,749
- ---------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (1.3%)
- ---------------------------------------------------------------------
Other Assets--Notes B and E 32,989
Liabilities--Note E (22,495)
-------
10,494
- ---------------------------------------------------------------------
NET ASSETS (100%)
- ---------------------------------------------------------------------
Applicable to 59,366,558 outstanding
$.001 par value shares
(authorized 1,000,000,000 shares) $826,243
=====================================================================
NET ASSET VALUE PER SHARE $13.92
=====================================================================
</TABLE>
*See Note A in Notes to Financial Statements.
#Non-Income Producing Security.
(1)The combined market value of common stocks, S&P 500 Index futures contracts,
and S&P Midcap 400 Index futures contracts represents 59.8% of net assets.
ADR--American Depository Receipt.
MTN--Medium-Term Note.
REIT--Real Estate Investment Trust.
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------
AMOUNT PER
(000) SHARE
- ---------------------------------------------------------------------
AT DECEMBER 31, 1996, NET ASSETS CONSISTED OF:
- ---------------------------------------------------------------------
<S> <C> <C>
Paid in Capital--Note C $682,164 $11.49
Undistributed Net
Investment Income 1,089 .02
Accumulated Net
Realized Gains--Note C 6,270 .11
Unrealized Appreciation--Note D
Investment Securities 136,427 2.30
Futures Contracts 293 --
- ---------------------------------------------------------------------
NET ASSETS $826,243 $13.92
=====================================================================
</TABLE>
36
<PAGE> 39
STATEMENT OF OPERATIONS
This Statement shows dividend and interest income earned by the Fund during the
reporting period, and details the operating expenses charged to the Fund. These
expenses directly reduce the amount of investment income available to pay to
shareholders as dividends. This Statement also shows any Net Gain (Loss)
realized on the sale of investments, and the increase or decrease in the
Unrealized Appreciation (Depreciation) on investments during the period. If the
Fund invested in futures contracts during the period, the results of these
investments are shown separately.
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------
BALANCED INDEX FUND
YEAR ENDED DECEMBER 31, 1996
(000)
- ---------------------------------------------------------------------------------------------
<S> <C>
INVESTMENT INCOME
INCOME
Dividends $ 7,693
Interest 18,316
--------
Total Income 26,009
--------
EXPENSES
The Vanguard Group--Note B
Investment Advisory Services 53
Management and Administrative 812
Marketing and Distribution 162
Taxes (other than income taxes) 103
Custodian Fees 72
Auditing Fees 9
Shareholders' Reports 104
Annual Meeting and Proxy Costs 9
Directors' Fees and Expenses 2
--------
Total Expenses 1,326
- ---------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 24,683
- ---------------------------------------------------------------------------------------------
REALIZED NET GAIN
Investment Securities Sold 16,405
Futures Contracts 1,983
- ---------------------------------------------------------------------------------------------
REALIZED NET GAIN 18,388
- ---------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Investment Securities 45,673
Futures Contracts 333
- ---------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) 46,006
- ---------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 89,077
=============================================================================================
</TABLE>
37
<PAGE> 40
STATEMENT OF CHANGES IN NET ASSETS
This Statement shows how the Fund's total net assets changed during the two most
recent reporting periods. The Operations section summarizes information that is
detailed in the Statement of Operations. The amounts shown as Distributions to
shareholders from the Fund's net income and capital gains may not match the
amounts shown in the Operations section, because distributions are determined on
a tax basis and may be made in a period different from the one in which the
income was earned or the gains were realized on the financial statements. The
Capital Share Transactions section shows the amount shareholders invested in the
Fund, either by purchasing shares or by reinvesting distributions, as well as
the amounts redeemed. The corresponding numbers of Shares Issued and Redeemed
are shown at the end of the Statement.
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------
BALANCED INDEX FUND
YEAR ENDED DECEMBER 31,
--------------------------
1996 1995
(000) (000)
- -----------------------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE IN NET ASSETS
OPERATIONS
Net Investment Income $ 24,683 $ 18,643
Realized Net Gain 18,388 2,980
Change in Unrealized Appreciation (Depreciation) 46,006 98,148
--------------------------
Net Increase in Net Assets Resulting from Operations 89,077 119,771
--------------------------
DISTRIBUTIONS
Net Investment Income (26,003) (19,091)
Realized Capital Gain (6,552) (2,247)
--------------------------
Total Distributions (32,555) (21,338)
--------------------------
NET EQUALIZATION CREDITS--Note A 1,844 694
--------------------------
CAPITAL SHARE TRANSACTIONS(1)
Issued 335,694 172,905
Issued in Lieu of Cash Distributions 30,251 20,070
Redeemed (188,183) (104,838)
--------------------------
Net Increase from Capital Share Transactions 177,762 88,137
- -----------------------------------------------------------------------------------------------------
Total Increase 236,128 187,264
- -----------------------------------------------------------------------------------------------------
NET ASSETS
Beginning of Year 590,115 402,851
--------------------------
End of Year $826,243 $590,115
=====================================================================================================
(1)Shares Issued (Redeemed)
Issued 25,404 14,759
Issued in Lieu of Cash Distributions 2,219 1,647
Redeemed (14,458) (9,160)
--------------------------
Net Increase in Shares Outstanding 13,165 7,246
=====================================================================================================
</TABLE>
38
<PAGE> 41
FINANCIAL HIGHLIGHTS
This table summarizes the Fund's investment results and distributions to
shareholders on a per-share basis. It also presents the Fund's Total Return and
shows net investment income and expenses as percentages of average net assets.
These data will help you assess: the variability of the Fund's net income and
total returns from year to year; the relative contributions of net income and
capital gains to the Fund's total return; how much it costs to operate the Fund;
and the extent to which the Fund tends to distribute capital gains.
The table also shows the Portfolio Turnover Rate, a measure of trading
activity. A turnover rate of 100% means that the average security is held in the
Fund for one year. Finally, the table lists the Fund's Average Commission Rate
Paid, a disclosure required by the SEC beginning in 1996. This rate is
calculated by dividing total commissions paid on portfolio securities by the
total number of shares purchased and sold on which commissions were charged.
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------------------
BALANCED INDEX FUND
YEAR ENDED DECEMBER 31,
-------------------------------------------- SEP. 28* TO
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 1996 1995 1994 1993 DEC. 31, 1992
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $12.77 $10.34 $10.91 $10.31 $10.00
- ---------------------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .50 .45 .41 .39 .08
Net Realized and Unrealized Gain (Loss) on Investments 1.26 2.48 (.58) .63 .31
-----------------------------------------------------------
Total from Investment Operations 1.76 2.93 (.17) 1.02 .39
-----------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.49) (.45) (.40) (.39) (.08)
Distributions from Realized Capital Gains (.12) (.05) -- (.03) --
-----------------------------------------------------------
Total Distributions (.61) (.50) (.40) (.42) (.08)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $13.92 $12.77 $10.34 $10.91 $10.31
=================================================================================================================================
TOTAL RETURN** 13.95% 28.64% -1.56% 10.00% 3.69%
=================================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $826 $590 $403 $367 $109
Ratio of Total Expenses to Average Net Assets 0.20% 0.20% 0.20% 0.20% 0.22%+
Ratio of Net Investment Income to Average Net Assets 3.69% 3.85% 3.86% 3.53% 3.76%+
Portfolio Turnover Rate 37%++ 16% 16% 25% 17%
Average Commission Rate Paid $.0226 N/A N/A N/A N/A
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
*Commencement of Operations.
**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.
+Annualized.
++Fund turnover rate excluding in-kind redemptions was 30%.
39
<PAGE> 42
NOTES TO FINANCIAL STATEMENTS
Vanguard Balanced Index Fund is registered under the Investment Company Act of
1940 as a diversified open-end investment company, or mutual fund. Certain of
the Fund's investments are in corporate debt instruments; the issuers' abilities
to meet their obligations may be affected by economic developments in their
respective industries.
A. The following significant accounting policies conform to generally accepted
accounting principles for mutual funds. The Fund consistently follows such
policies in preparing its financial statements.
1. SECURITY VALUATION: Securities listed on an exchange are valued at the
latest quoted sales prices as of the close of trading on the New York Stock
Exchange (generally 4:00 p.m. Eastern time) on the valuation date; securities
not traded on the valuation date and securities not listed on an exchange are
valued at the mean of the latest quoted bid and asked prices. Bonds, and
temporary cash investments acquired over 60 days to maturity, are valued using
the latest bid prices or using valuations based on 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 capital share
transactions.
4. REPURCHASE AGREEMENTS: The Fund, along with other members of The
Vanguard Group, transfers uninvested cash balances into a Pooled Cash Account,
which is invested in repurchase agreements secured by U.S. government
securities. Securities pledged as collateral for repurchase agreements are held
by a custodian bank until the agreements mature. Each agreement requires that
the market value of the collateral be sufficient to cover payments of interest
and principal; however, in the event of default or bankruptcy by the other party
to the agreement, retention of the collateral may be subject to legal
proceedings.
5. FUTURES: The Fund uses S&P 500 Index futures contracts and S&P Midcap
400 Index futures contracts to a limited extent, with the objectives of
maintaining full exposure to the stock market, maintaining liquidity, and
minimizing transaction costs. The Fund may purchase futures contracts to
immediately invest incoming cash in the market, or sell futures in response to
cash outflows, thereby simulating a fully invested position in the underlying
index while maintaining a cash balance for liquidity. The primary risks
associated with the use of futures contracts are imperfect correlation between
the changes in market values of stocks held by the Fund and the prices of
futures contracts, and the possibility of an illiquid market.
Futures contracts are valued at their quoted daily settlement prices. The
aggregate principal amounts of the contracts are not recorded in the financial
statements. Fluctuations in the value of the contracts are recorded in the
Statement of Net Assets as an asset (liability) and in the Statement of
Operations as unrealized appreciation (depreciation) until the contracts are
closed, when they are recorded as realized futures gains (losses).
6. DISTRIBUTIONS. Distributions to shareholders are recorded on the
ex-dividend date.
7. OTHER: Dividend income is recorded on the ex-dividend date. Security
transactions are accounted for on the date the securities are bought or sold.
Costs used to determine realized gains (losses) on the sale of investment
securities are those of specific securities sold. Premiums and discounts on debt
securities purchased are amortized and accreted, respectively, to interest
income over the lives of the respective securities.
40
<PAGE> 43
B. The Vanguard Group furnishes at cost investment advisory, corporate
management, administrative, marketing, and distribution services. The costs of
such services are allocated to the Fund under methods approved by the Board of
Directors. At December 31, 1996, the Fund had contributed capital of $71,000 to
Vanguard (included in Other Assets), representing 0.4% of Vanguard's
capitalization. The Fund's directors and officers are also directors and
officers of Vanguard.
C. During the year ended December 31, 1996, the Fund purchased $180,073,000 of
investment securities and sold $97,498,000 of investment securities other than
U.S. government securities and temporary cash investments. Purchases and sales
of U.S. government securities were $222,001,000 and $142,436,000, respectively.
During the year ended December 31, 1996, the Fund realized $6,445,000 of
net capital gains resulting from in-kind redemptions in which shareholders
exchanged Fund shares for securities held by the Fund rather than for cash.
Because such gains are not taxable to the Fund and are not distributed to
shareholders, they have been reclassified from accumulated net realized gains to
paid in capital.
D. At December 31, 1996, net unrealized appreciation of investment securities
for financial reporting and federal income tax purposes was $136,427,000,
consisting of unrealized gains of $154,843,000 on securities that had risen in
value since their purchase and $18,416,000 in unrealized losses on securities
that had fallen in value since their purchase.
At December 31, 1996, the aggregate settlement value of open S&P 500 Index
and S&P Midcap 400 Index futures contracts expiring in March 1997, the
unrealized appreciation on those contracts, and the market value of U.S.
Treasury bills deposited as initial margin for those contracts were $23,656,000,
$293,000, and $995,000, respectively. Unrealized appreciation on open futures
contracts is required to be treated as realized gain for federal income tax
purposes.
E. The market value of securities on loan to broker/dealers at
December 31, 1996, was $2,348,000, for which the Fund held cash collateral of
$2,477,250.
41
<PAGE> 44
REPORT OF INDEPENDENT ACCOUNTANTS
To the Shareholders and
Board of Directors of
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, 1996, and the results
of its operations, the changes in its net assets and the financial highlights
for each of the periods indicated, 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 at December 31, 1996 by correspondence with the
custodian and, with respect to unsettled securities transactions, the
application of alternative auditing procedures, provide a reasonable basis for
the opinion expressed above.
PRICE WATERHOUSE LLP
Thirty South Seventeenth Street
Philadelphia, Pennsylvania 19103
January 31, 1997
42
<PAGE> 45
SPECIAL 1996 TAX INFORMATION (UNAUDITED)
VANGUARD BALANCED INDEX FUND
This information for the fiscal year ended December 31, 1996, is included
pursuant to provisions of the Internal Revenue Code.
The Fund designates $10,241,000 as capital gain dividends (from net
long-term capital gains), of which $5,721,000 was distributed to shareholders in
December 1996 and $4,520,000 will be distributed in March 1997.
For corporate shareholders, 28.6% of investment income (dividend income
plus short-term gains, if any) qualifies for the dividends-received deduction.
All comparative mutual fund data are from Lipper Analytical Services, Inc. or
Morningstar unless otherwise noted.
43
<PAGE> 46
DIRECTORS AND OFFICERS
JOHN C. BOGLE, Chairman of the Board and Director
of The Vanguard Group, Inc. and of
each of the investment companies in
The Vanguard Group.
JOHN J. BRENNAN, President, Chief Executive Officer,
and Director of The Vanguard Group,
Inc. and of each of the investment
companies in The Vanguard Group.
ROBERT E. CAWTHORN, Chairman Emeritus and
Director of Rhone-Poulenc Rorer
Inc.; Director of Sun Company, Inc.
and Westinghouse Electric Corp.
BARBARA BARNES HAUPTFUHRER, Director of The Great
Atlantic and Pacific Tea Co., Alco
Standard Corp., Raytheon Co.,
Knight-Ridder, Inc., and Massa-
chusetts Mutual Life Insurance Co.
BRUCE K. MACLAURY, President Emeritus of The
Brookings Institution; Director of
American Express Bank Ltd., The St.
Paul Companies, Inc., and National
Steel Corp.
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., Procter & Gamble
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; Principal of The
Vanguard Group, Inc.; Treasurer of
each of the investment companies in
The Vanguard Group.
KAREN E. WEST, Controller; Principal of The
Vanguard Group, Inc.; Controller of
each of the investment companies in
The Vanguard Group.
OTHER VANGUARD OFFICERS
ROBERT A. DISTEFANO, Senior Vice President,
Information Technology.
JAMES H. GATELY, Senior Vice President,
Individual Investor Group.
IAN A. MACKINNON, Senior Vice President,
Fixed Income Group.
F. WILLIAM MCNABB III, Senior Vice President,
Institutional.
RALPH K. PACKARD, Senior Vice President and
Chief Financial Officer.
[VANGUARD GROUP LOGO]
Please send your comments to us at:
Post Office Box 2600, Valley Forge, Pennsylvania 19482
Fund Information: 1-800-662-7447
Individual Account Services: 1-800-662-2739
Institutional Investor Services: 1-800-523-1036
[email protected] http://www.vanguard.com
All Vanguard funds are offered by prospectus only. Prospectuses contain more
complete information on advisory fees, distribution charges, and other expenses
and should be read carefully before investing or sending money. Prospectuses may
be obtained directly from The Vanguard Group.
(C) 1996 Vanguard Marketing Corporation, Distributor
<PAGE> 47
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 Selected Value Portfolio
Vanguard/Trustees' Equity-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 Portfolios
GROWTH FUNDS
Vanguard/Morgan Growth Fund
Vanguard/PRIMECAP Fund
Vanguard U.S. Growth Portfolio
AGGRESSIVE GROWTH FUNDS
Vanguard Explorer Fund
Vanguard Specialized Portfolios
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INTERNATIONAL FUNDS
Vanguard International Growth Portfolio
Vanguard/Trustees' Equity-International
Portfolio
INDEX FUNDS
Vanguard Index Trust
Vanguard Tax-Managed Fund
Vanguard Balanced Index Fund
Vanguard Bond Index Fund
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FIXED-INCOME FUNDS
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INCOME FUNDS
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TAX-EXEMPT MONEY MARKET FUNDS
Vanguard Municipal Bond Fund
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(CA, NJ, OH, PA)
TAX-EXEMPT INCOME FUNDS
Vanguard Municipal Bond Fund
Vanguard State Tax-Free Funds
(CA, FL, NJ, NY, OH, PA)
Q020-12/96
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