<PAGE> 1
VANGUARD
BALANCED INDEX
FUND
Semiannual Report
June 30, 1997
[PHOTO]
[THE VANGUARD GROUP LOGO]
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[PHOTO]
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; 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.
CONTENTS
A Message To
Our Shareholders
1
The Markets
In Perspective
3
Performance
Summary
5
Financial
Statements
6
Directors And
Officers
INSIDE BACK COVER
All comparative mutual fund data
are from Lipper Analytical Services, Inc.
or Morningstar unless otherwise noted.
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[PHOTO]
FELLOW SHAREHOLDER,
During the first six months of Vanguard Balanced Index Fund's 1997 fiscal year,
the U.S. stock market continued its amazing climb while bonds ambled along at a
deliberate pace. In this environment, our Fund provided a solid total return of
+11.6%, reflecting the terrific performance of stocks and the modest returns
from bonds.
Our Fund's return during the half-year was comfortably ahead of that of
the average balanced mutual fund, but trailed by a tiny margin the return of
our target composite index, a benchmark comprising two unmanaged market indexes
in a 60%/40% ratio of stocks to bonds. Those indexes are the Wilshire 5000
Equity Index, which reflects the entire U.S. stock market, and the Lehman
Brothers Aggregate Bond Index, a good measure of the entire U.S. bond market.
The adjacent table summarizes our results.
<TABLE>
<CAPTION>
- -------------------------------------------------------
TOTAL RETURN
SIX MONTHS ENDED
JUNE 30, 1997
- -------------------------------------------------------
<S> <C>
Vanguard Balanced Index Fund +11.6%
- -------------------------------------------------------
Average Balanced Fund +10.2%
- -------------------------------------------------------
Balanced Composite Index* +11.7%
- -------------------------------------------------------
Wilshire 5000 Index +17.6%
Lehman Aggregate Bond Index + 3.1
- -------------------------------------------------------
</TABLE>
*Made up of two unmanaged benchmarks, weighted 60% Wilshire 5000 Index and 40%
Lehman Aggregate Bond Index.
Our Fund's return is based on an increase in net asset value from $13.92
per share on December 31, 1996, to $15.25 per share on June 30, 1997, with the
latter figure adjusted for dividends totaling $0.20 per share paid from net
investment income and a distribution of $0.075 per share paid from net realized
capital gains. The Fund's annualized dividend yield as of June 30 was 3.55%.
THE PERIOD IN REVIEW
A nearly perfect climate for common stocks--strong economic growth, rising
corporate profits, and decelerating inflation--prevailed during the six months
ended June 30. While the market's rising tide lifted all boats,
large-capitalization stocks rose the most.
The advance was not without incident: The Standard & Poor's 500 Composite
Stock Price Index endured a decline of nearly -10% during the seven weeks
following February 18, when the Index reached a record high. However, that drop
was quickly aborted and by early May the market had resumed its ascent into
record territory.
Jitters about interest rates and inflation were the apparent causes of the
brief slide. Although the Federal Reserve Board raised its target for
short-term interest rates by a quarter-point to 5.50% on March 25, short-term
interest rates ended the period where they began it (5.17% for three-month U.S.
Treasury bills). Longer-term rates were up only slightly (less than one-quarter
percentage point) on balance during the first half of 1997. The stock market's
strong rebound in the second quarter stemmed from a combination of factors,
including strong corporate earnings reports, a lessening of inflation fears,
and an easing in interest rates.
One indication of the bias toward large-cap stocks during the period is
that the +17.6% return on the Wilshire 5000 Index--the benchmark for the stock
portion of
1
<PAGE> 4
Vanguard Balanced Index Fund--was well below the +20.6% return of the S&P 500
Index, which comprises 500 of the market's biggest stocks. The "non-S&P 500"
stocks were up but +10.6%, roughly one-half the gain in the widely followed 500
Index.
The story was much different in bonds, however, as slightly higher
interest rates made for lackluster returns from fixed-income investments. The
small rise in rates during the period nicked the total returns for many bond
funds. The Lehman Aggregate Bond Index achieved a total return of +3.1% for the
half-year, consisting of an income return of +3.5%, reduced by a -0.4% capital
return.
Our Fund's performance advantage of +1.4 percentage points over the
average balanced mutual fund is largely explained by our lower expenses. Our
expense ratio (expenses as a percentage of average net assets) amounts to
0.20%, compared with about 1.30% for our average competitor.
During the six months, our Core Management Group and Fixed Income Group
continued to do a superb job of keeping the Fund in line with its performance
benchmark. Our return was just a hair behind the Composite Index, which, of
course, does not incur advisory fees, operating expenses, and portfolio
transaction costs that all mutual funds incur.
Over the past twelve months, our Fund enjoyed a +20.8% return, well above
what one should expect from any mutual fund, especially a relatively
conservative one. Simply put, the U.S. stock market has been providing
extraordinary returns. The +29.3% return posted by the Wilshire 5000 Index over
the past twelve months is more than double its +14.0% annualized return during
the ten years ended June 30, 1997.
On the other hand, the Lehman Aggregate Bond Index's return of +8.2% over
the past twelve months is close to the annual average return of +8.8% it
achieved over the past ten years.
IN SUMMARY
The extraordinary bull market for U.S. stocks that began almost 15 years ago
has amply demonstrated the rewards of long-term investing. Risk, the
inseparable companion of reward, may not be so apparent after such a period.
Yet investors disregard risk at their peril. So we hope that the sizable,
sudden fluctuations in the stock market during the first half of 1997
reinforced two key messages that we have repeatedly stressed in these Reports
to you.
The first message, of course, concerns the importance of holding a
balanced portfolio of stock funds, bond funds, and money market funds in
proportions appropriate to your financial situation, tolerance for risk, and
investment objectives. By making it easier to ride out episodes of market
volatility, a balanced portfolio helps investors to adhere to our second
message: Always "stay the course" toward your long-term investment goals.
/s/ JOHN C. BOGLE /s/ JOHN J. BRENNAN
John C. Bogle John J. Brennan
Chairman of the Board President
July 22, 1997
2
<PAGE> 5
[PHOTO]
THE MARKETS IN PERSPECTIVE
SIX MONTHS ENDED JUNE 30, 1997
U.S. EQUITY MARKETS
As the economy continued to grow while the rate of inflation did not, a robust
market provided solid gains to investors in U.S. common stocks during the
first half of 1997. The best performers were primarily larger-capitalization
issues, although the small-company indexes exhibited some strength in the final
two months of the period. Over the half-year, the Standard & Poor's 500
Composite Stock Price Index gained 20.6%, fueled by a 10.8% boost since the end
of April. Reflecting the gains among smaller companies, the Russell 2000 Index
posted a 10.2% increase for the six-month period, driven by an 11.1% jump in
May and a 4.3% rise in June. It was particularly noteworthy that the recent
small-cap gains were led by small growth stocks, the worst segment of the U.S.
market during the past 12 months. This group has surged 17.6% since the end of
March, although at the half-year's end it still lagged the S&P 500 Index by a
sizable margin (5.2% versus 20.6%).
Stocks benefited from the continued strength of corporate earnings, which
rose some 15% during the past year, and from a widespread confidence reflected
in increased price/earnings ratios. The strength in earnings, the expectation
that income will continue to increase at an attractive pace, and the further
conviction that inflation is not a problem helped stocks to continue to produce
solid gains in the fiscal period. What's more, earnings have shown not only
good strength but remarkable consistency in beating the consensus forecasts of
Wall Street analysts.
<TABLE>
<CAPTION>
- ----------------------------------------------------------------
TOTAL RETURNS
PERIODS ENDED JUNE 30, 1997
-----------------------------
6 MONTHS 1 YEAR 5 YEARS*
- ----------------------------------------------------------------
<S> <C> <C> <C>
EQUITY
S&P 500 Index 20.6% 34.7% 19.8%
Russell 2000 Index 10.2 16.3 17.9
MSCI EAFE Index 11.4 13.2 13.2
- ----------------------------------------------------------------
FIXED-INCOME
Lehman Aggregate Bond Index 3.1% 8.2% 7.1%
Lehman 10-Year Municipal
Bond Index 3.3 8.3 7.4
Salomon Brothers Three-Month
U.S. Treasury Bill Index 2.6 5.3 4.5
- ----------------------------------------------------------------
OTHER
Consumer Price Index 1.1% 2.3% 2.7%
- ----------------------------------------------------------------
</TABLE>
*Average annual.
The strongest gains in the S&P 500 Index during the past six months came
from the health-care sector (up 31.4%) and the consumer-staples sector (up
23.9%). By contrast, numerous uncertainties for utilities caused the issues in
that sector to lag the broad market, although, on an absolute basis, their 8.2%
return over six months is quite good.
U.S. FIXED-INCOME MARKETS
The modest rise in interest rates during the past six months reflects the
economy's underlying momentum. The 10-year U.S. Treasury's yield increased from
6.42% at the end of December to 6.97% by the middle of April. In the following
weeks, economic reports indicated a slowing in economic growth and further
reduced fears of an increase in inflation. This news helped interest rates fall
to 6.50% by the end of June.
3
<PAGE> 6
Fueled by robust consumer spending, the U.S. economy expanded at a
remarkable 5.8% rate in the first three months of 1997. Reflecting the vibrant
economy, the nation's unemployment rate stood at 5.0% in June. Strong economic
growth and tight labor markets have often led to rising inflation because of
increased demand for goods and services. With this in mind, the Federal Reserve
raised its federal funds interest rate target by 0.25% on March 25 in a
"preemptive" strike against mounting inflationary pressures. Observed price
increases have been subdued in recent months, however. Wholesale prices have
fallen in each of the first six months of 1997, and so far this year consumer
prices have risen at a slower pace than last year.
With interest rates very close to year-end levels, bond investors have
fared reasonably well during the past six months, as illustrated by the 3.1%
return of the Lehman Brothers Aggregate Bond Index. Investors who favored
shorter-maturity and lower-quality issues achieved somewhat better returns.
Mortgage-backed securities continued to perform well because refinancing
activity has been reduced to historically low levels as interest rates have
risen. Municipal issues also tended to perform better than their taxable
counterparts.
INTERNATIONAL EQUITY MARKETS
International investors received fairly good returns over the past six months.
As measured by the broad Morgan Stanley Capital International Europe,
Australasia, Far East Index, foreign markets gained 11.4%.
The period saw two major developments. First, the Japanese stock market
moved sharply higher in the spring, returning 11.1% in May and 7.5% in June to
U.S. investors. Better tone in the economy, plus strong earnings reported by
export-oriented companies benefiting from the weak yen, gave Japan a
long-awaited boost. For the six months, the Japanese market is up 9.2%. The
competitive benefits of a weak currency relative to the dollar extended to
Germany, where the export-driven capital goods and chemical manufacturers
gained; overall, the German market rose 17.0% during the six-month period.
Arguably the biggest news came from the French elections at the end of
May. The new government is considered to be less friendly toward the austerity
measures needed to meet the eligibility requirements for the European Monetary
Union (EMU) in 1999. The French elections also had a broad impact across the
continent. Although most investors appear to agree that the elections won't
jeopardize the continent's move toward the EMU, the timing and intensity of the
fiscal measures are now less certain. For the six months, Europe gained 24.8%
in local currencies, which a strong dollar trimmed to 14.4% for U.S. investors.
4
<PAGE> 7
PERFORMANCE SUMMARY
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>
BALANCED INDEX FUND
TOTAL INVESTMENT RETURNS: NOVEMBER 9, 1992-JUNE 30, 1997
- ------------------------------------------
COMPOSITE
BALANCED INDEX FUND INDEX*
FISCAL CAPITAL INCOME TOTAL TOTAL
YEAR RETURN RETURN RETURN RETURN
- ------------------------------------------
<S> <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
1997** 10.1 1.5 11.6 11.7
- ------------------------------------------
</TABLE>
*60% Wilshire 5000 Index, 40% Lehman Aggregate Bond Index.
**Six months ended June 30, 1997. See Financial Highlights table on page 34
for dividend and capital gains information since the Fund's inception.
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS: PERIODS ENDED JUNE 30, 1997
- ---------------------------------------------------------------------------------------
SINCE INCEPTION
INCEPTION -------------------------
DATE 1 YEAR CAPITAL INCOME TOTAL
- ---------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Balanced Index Fund* 11/9/92 20.72% 9.97% 3.99% 13.96%
- ---------------------------------------------------------------------------------------
</TABLE>
*Performance figures are adjusted for the $10 annual account maintenance fee.
5
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[PHOTO]
FINANCIAL STATEMENTS
JUNE 30, 1997 (unaudited)
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>
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MARKET
VALUE*
BALANCED INDEX FUND SHARES (000)
- --------------------------------------------------------------------------
COMMON STOCKS (57.5%)(1)
- --------------------------------------------------------------------------
<S> <C> <C> <C>
AAR Corp. 5,200 $ 168
- - ABC Rail Products Corp. 1,800 31
- - ABR Information Services, Inc. 1,600 46
- - ACC Corp. 1,800 56
- - ADC Telecommunications, Inc. 8,000 267
- - AER Energy Resources, Inc. 2,800 7
- - AES Corp. 4,707 333
AFLAC, Inc. 8,887 420
AGCO Corp. 3,400 122
AGL Resources Inc. 3,800 78
AK Steel Corp. 1,600 71
- - AMBI, Inc. 4,400 10
- - AML Communications, Inc. 4,050 12
- - AMR Corp. 5,800 536
- - APAC Teleservices, Inc. 2,500 49
APL Ltd. 2,800 87
ARCO Chemical Co. 6,200 295
AT&T Corp. 103,600 3,632
AVX Corp. 4,700 127
- - Aavid Thermal Technologies 800 16
Aames Financial Corp. 1,800 33
Abbott Laboratories 50,700 3,384
- - Access Health Marketing, Inc. 1,100 27
- - Acclaim Entertainment Inc. 5,800 24
- - AccuStaff, Inc. 19,954 473
The Ackerley Group, Inc. 4,600 52
- - Acme Metals, Inc. 2,300 39
- - ACNielson Corp. 3,366 66
- - Action Performance Cos., Inc. 2,532 61
- - Active Voice Corp. 2,500 29
- - Acuson Corp. 4,200 97
- - Acxiom Corp. 3,200 66
ADAC Laboratories 4,000 94
- - Adaptec, Inc. 6,800 236
Adobe Systems, Inc. 4,000 140
- - Adtran, Inc. 2,100 52
- - Advance Paradigm, Inc. 2,000 37
- - Advanced Fibre Communications 1,800 109
- - Advanced Polymer Systems 8,200 63
- - Advanced Technology
Laboratories, Inc. 2,400 103
- - Advanced Tissue Sciences Inc. 5,800 75
- - ADVO, Inc. 4,300 70
Aeroquip-Vickers Inc. 1,700 80
- - Advanced Micro Devices, Inc. 11,200 403
Aegon NV ARS 2,650 186
Advanta Corp. Class A 2,650 97
- - Aerovox, Inc. 900 4
Aetna Inc. 9,621 985
Aetna Inc. 6.25% Pfd. Series C 674 63
Affiliated Community Bancorp 2,125 50
- - Affiliated Computer Services, Inc. 2,200 62
- - Affymetrix, Inc. 2,800 97
- - Agouron Pharmaceuticals, Inc. 900 73
H.F. Ahmanson & Co. 6,300 271
- - Aid Auto Stores, Inc. 200 1
Air Express International Corp. 2,700 107
Air Products & Chemicals, Inc. 7,100 577
Airborne Freight Corp. 2,700 113
- - Airgas, Inc. 3,400 67
- - Airsensors Inc. 300 2
- - AirTouch Communications, Inc. 31,900 873
AirTouch Communications, Inc.
4.25% Pfd. Series C 581 28
</TABLE>
6
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<TABLE>
<CAPTION>
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MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------------------
<S> <C> <C> <C>
AirTouch Communications, Inc.
6.00% Cvt. Pfd. 905 $ 26
- - Air and Water Technologies Corp.
Class A 1,500 4
- - Alanco Environmental
Resources Corp. 13,900 11
Albemarle Corp. 3,150 66
Alberto-Culver Co. Class A 2,800 65
Alberto-Culver Co. Class B 3,400 95
Albertson's, Inc. 15,500 566
Alex Brown, Inc. 1,050 74
Alexander & Baldwin, Inc. 2,800 73
- - Alexander's, Inc. 277 19
Alfa Corp. 5,200 73
- - All American Semiconductor, Inc. 1,000 1
- - Alleghany Corp. 534 116
Allegheny Power System, Inc. 7,100 189
Allegheny Teledyne Inc. 10,675 288
Allegiance Corp. 3,200 87
- - Allen Telecom, Inc. 3,600 75
Allergan, Inc. 3,800 121
- - Alliance Entertainment 10,400 3
- - Alliance Pharmaceutical Corp. 4,798 48
- - Alliance Semiconductor Corp. 2,500 20
- - Alliant Techsystems, Inc. 1,400 77
Allied Capital Commercial Corp. 3,800 92
Allied Capital Lending Corp. 4,800 71
- - Allied Digital Technologies Corp. 1,500 3
- - Allied Holdings, Inc. 5,400 59
AlliedSignal Inc. 18,000 1,512
Allmerica Financial Corp. 3,100 124
Allmerica Property & Casualty Cos. 3,600 118
Allstate Corp. 28,226 2,061
ALLTEL Corp. 12,100 404
- - Allwaste, Inc. 5,900 56
- - Altera Corp. 6,400 323
- - Altris Software, Inc. 4,300 27
- - Alumax, Inc. 3,350 127
Aluminum Co. of America 11,100 837
- - Alyn Corp. 600 7
- - ALZA Corp. 5,200 151
- - Amax Gold, Inc. 10,006 61
AMBAC, Inc. 2,300 176
Amcast Industrial Corp. 1,904 48
- - Amdahl Corp. 6,100 53
Amerada Hess Corp. 5,800 322
- - Amerco Inc. 1,100 33
- - America Online, Inc. 6,000 334
- - America West Holdings Corp.
Class B 6,800 99
American Annuity Group Inc. 1,500 27
American Bancorp (West Virginia) 400 13
American Bankers
Insurance Group 1,700 107
- - American Business
Information, Inc. 3,784 81
- - American Coin Merchandising, Inc. 1,700 18
American Electric Power Co., Inc. 11,600 487
- - American Exploration Co. 2,600 38
American Express Co. 30,084 2,241
American Financial Group, Inc. 3,800 161
- - American Freightways 5,796 91
American General Corp. 15,324 732
American General Hospitality
Corp. REIT 2,100 52
American Greetings Corp. Class A 4,600 170
American Health Properties, Inc. 4,000 100
American Health Properties
Psychiatric Group 300 5
American Heritage Life
Investment Corp. 2,400 79
American Home Products Corp. 41,600 3,182
American International Group, Inc. 30,600 4,571
American List Corp. 632 19
- - American Management
Systems, Inc. 2,200 59
- - American Media Class A 9,700 68
American National Insurance Co. 1,400 123
- - American Oncology Resources, Inc. 2,600 44
- - American Power Conversion Corp. 5,800 110
- - American Standard Cos., Inc. 4,800 215
- - American States Financial Corp. 3,400 156
American Stores Co. 9,300 459
- - American Wagering, Inc. 2,300 24
American Water Works Co., Inc. 5,900 126
Ameron International Corp. 1,400 79
- - AmeriSource Health Corp. 1,100 55
- - Ames Department Stores, Inc. 7,000 68
AmeriGas Partners, LP 2,500 61
Ameritech Corp. 35,900 2,439
Ametek, Inc. 400 9
Amgen, Inc. 16,900 982
Amoco Corp. 33,400 2,904
AMP, Inc. 13,492 563
- - Ampal-American Israel Corp. 12,000 72
Ampco-Pittsburgh Corp. 2,200 32
- - Ampex Corp. Class A 5,300 31
AmSouth Bancorp 4,800 181
AmVestors Financial Corp. 3,100 58
Anadarko Petroleum Corp. 3,800 228
- - Analog Devices, Inc. 9,266 246
Analogic Corp. 2,600 89
Anchor Bancorp Wisconsin Inc. 1,000 49
- - Anchor Gaming 2,000 95
- - Andrea Radio Corp. 1,300 16
- - Andrew Corp. 5,588 157
Angelica Corp. 2,200 38
Anheuser-Busch Cos., Inc. 31,700 1,329
- - Anixter International Inc. 3,500 60
- - AnnTaylor Stores Corp. 3,400 66
Aon Corp. 10,350 536
Apache Corp. 7,700 250
- - Apogee, Inc. 1,600 7
Apogee Enterprises, Inc. 3,000 64
- - Apollo Group, Inc. Class A 2,700 95
- - Apple Computer, Inc. 7,700 109
Apple South, Inc. 4,500 69
Applebee's International, Inc. 1,900 51
- - Apria Healthcare 4,200 74
- - Applied Magnetics Corp. 1,600 36
- - Applied Materials, Inc. 12,100 856
- - Applied Microsystems Corp. 1,900 16
Applied Power, Inc. 2,600 134
- - Applix, Inc. 1,400 9
Aquarion Co. 1,800 49
- - Aquila Biopharmaceuticals, Inc. 701 3
</TABLE>
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<TABLE>
<CAPTION>
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MARKET
VALUE*
BALANCED INDEX FUND SHARES (000)
- --------------------------------------------------------------------------
<S> <C> <C> <C>
Arbor Drugs, Inc. 5,250 $ 105
- - Arbor Software Corp. 2,100 74
- - Arcadia Financial Ltd. 4,400 40
Archer-Daniels-Midland Co. 33,744 793
Argonaut Group, Inc. 2,800 83
- - Argosy Gaming Co. 1,100 4
- - Armco, Inc. 17,500 68
Armstrong World Industries Inc. 2,600 191
Arnold Industries, Inc. 3,600 62
- - Arrhythmia Research
Technology, Inc. 7,000 15
- - Arrow Electronics, Inc. 3,937 209
Arrow Financial Corp. 1,650 45
Arrow International, Inc. 1,500 44
- - Arterial Vascular Engineering, Inc. 1,800 58
- - Artra Group Inc. 16,500 73
- - Artisoft, Inc. 4,200 10
Arvin Industries, Inc. 2,800 76
ASA Holdings Inc. 3,400 97
ASARCO, Inc. 2,100 64
- - Ascend Communications, Inc. 8,500 334
- - Ascent Entertainment Group, Inc. 1,075 10
Ashland Inc. 4,200 195
Ashland Coal Inc. 1,000 28
- - Aspect Telecommunications Corp. 2,600 57
- - Aspen Technologies, Inc. 2,600 98
Associated Banc-Corp. 1,320 52
- - Associated Group, Inc. 1,204 48
Associates First Capital Corp. 5,400 300
Astoria Financial Corp. 1,300 62
- - Asyst Technologies, Inc. 1,278 56
- - Atlanta Sosnoff Capital 3,200 35
Atlantic Energy, Inc. 4,600 77
- - Atlantic Gulf Communities Corp. 1,500 10
Atlantic Richfield Co. 20,600 1,452
- - Atlantic Tele-Network, Inc. 2,200 27
- - Atlas Air, Inc. 2,600 90
- - Atmel Corp. 6,100 171
Atmos Energy Corp. 2,100 50
- - Atwood Oceanics, Inc. 1,133 76
- - Auspex Systems, Inc. 1,600 15
Autodesk, Inc. 3,820 146
- - AutoBond Acceptance Corp. 2,000 9
Automatic Data Processing, Inc. 18,600 874
- - AutoZone Inc. 9,600 226
Avalon Properties, Inc. REIT 1,900 54
- - Avant! Corp. 2,700 87
- - Avatar Holding, Inc. 2,000 68
- - Avatex Corp. 3,900 5
Avery Dennison Corp. 6,700 269
- - Aviall Inc. 7,775 109
Avnet, Inc. 2,800 161
Avon Products, Inc. 8,500 600
- - BA Merchant Services, Inc.
Class A 4,100 78
BB&T Corp. 6,700 301
- - BDM International, Inc. 1,800 41
BHC Communications, Inc. Class A 1,500 179
- - BISYS Group, Inc. 1,600 67
- - BJ Services Co. 2,313 124
- - BJ Services Co.
Warrants Exp. 4/13/00 787 23
BMC Industries, Inc. 2,237 77
- - BRC Holdings Inc. 1,000 38
BRE Properties Inc. Class A REIT 1,956 49
BSB Bancorp, Inc. 4,154 157
- - BMC Software, Inc. 6,200 344
BW/IP Inc. 3,000 61
Badger Paper Mills, Inc. 3,200 26
Baker Hughes, Inc. 10,100 391
J. Baker, Inc. 600 5
Baldor Electric Co. 1,500 44
Ball Corp. 1,800 54
Ballard Medical Products 3,500 70
Baltimore Gas & Electric Co. 8,900 237
Banc One Corp. 38,718 1,875
- - Banctec, Inc. 2,300 60
Bandag, Inc. 1,400 69
Bangor Hydro-Electric Co. 4,600 26
The Bank of New York Co., Inc. 24,900 1,083
Bank United Corp. Class A 1,800 69
BankAtlantic Bancorp, Inc. Class A 3,477 49
BankAtlantic Bancorp, Inc. Class B 5,792 82
BankAmerica Corp. 45,716 2,951
BankBoston Corp. 10,420 751
Bankers Trust New York Corp. 5,300 461
Bank North Group 1,100 51
- - Banner Aerospace 9,000 80
Banta Corp. 1,800 49
- - Banyan Systems, Inc. 4,100 9
C.R. Bard, Inc. 3,100 112
- - Barnes & Noble, Inc. 2,024 87
Barnett Banks, Inc. 13,252 696
- - Barr Labs Inc. 7,350 323
- - Barra, Inc. 1,800 59
- - Barrett Resources Corp. 1,800 54
- - Base Ten Systems Class A 8,000 79
Bassett Furniture Industries, Inc. 1,800 52
Battle Mountain Gold Co. Class A 12,200 69
Bausch & Lomb, Inc. 3,300 155
Baxter International, Inc. 19,199 1,003
Bay Apartment
Communities, Inc. REIT 2,100 78
- - Bay Networks, Inc. 12,645 336
- - BE Avionics Inc. 3,200 101
Beacon Properties Corp. REIT 2,900 97
Bear Stearns Co., Inc. 7,270 248
Beckman Instruments Inc. 1,732 83
Becton, Dickinson & Co. 7,700 390
- - Bed Bath & Beyond, Inc. 4,148 126
- - Bel Fuse, Inc. 6,900 92
- - Belco Oil & Gas Corp. 1,900 41
Belden Inc. 1,000 34
Bell Atlantic Corp. 27,800 2,109
- - Bell Sports Corp. 700 5
BellSouth Corp. 64,400 2,986
- - Belmont Homes, Inc. 4,800 33
A. H. Belo Corp. Class A 3,624 151
Bemis Co., Inc. 3,100 134
- - Benchmark Microelectronics, Inc. 3,200 56
Beneficial Corp. 3,500 249
- - Bentley Pharmaceuticals, Inc. 2,200 8
Bergen Brunswig Corp. Class A 3,050 85
W.R. Berkley Corp. 1,200 70
- - Berkshire Hathaway Class A 90 4,248
- - Berlitz International, Inc. 2,101 52
</TABLE>
8
<PAGE> 11
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------------------
<S> <C> <C> <C>
- - Bertucci's Holding Corp. 5,239 $ 36
- - Best Buy Co., Inc. 5,900 88
- - Bethlehem Steel Corp. 6,500 68
BetzDearborn Inc. 1,500 99
- - Beverly Enterprises, Inc. 8,600 140
- - Big Flower Press Holdings, Inc. 3,100 64
- - Biotechnology General 4,300 58
- - Biogen, Inc. 4,400 149
Biomet, Inc. 9,000 168
Birmingham Steel Corp. 2,350 36
- - Bitwise Designs, Inc. 2,900 9
Black & Decker Corp. 6,100 227
Blair Corp. 2,700 39
E.W. Blanch Holdings, Inc. 2,400 64
Block Drug Co. Class A 1,067 46
H & R Block, Inc. 6,400 206
Blount International, Inc. 5,800 247
Blyth Industries, Inc. 2,550 86
Bob Evans Farms, Inc. 4,500 76
The Boeing Co. 45,682 2,424
Boise Cascade Corp. 2,500 88
- - Boise Cascade Office
Products Corp. 4,400 75
Borders Group, Inc. 4,000 96
Borg-Warner Automotive, Inc. 1,400 76
- - Borland International, Inc. 3,000 21
- - Boston Beer Co., Inc. Class A 2,300 23
- - Boston Chicken, Inc. 4,000 56
Boston Edison Co. 2,200 58
- - Boston Scientific Corp. 14,401 885
Bowater Inc. 3,400 157
Bowne & Co., Inc. 3,100 108
- - Boyd Gaming Corp. 5,800 33
- - Boyds Wheels, Inc. 1,000 4
W.H. Brady Class A 2,400 69
Breed Technological Inc. 3,200 74
Briggs & Stratton Corp. 1,500 75
- - Brinker International, Inc. 3,600 51
- - Bristol Hotel Co. 2,700 104
Bristol-Myers Squibb Co. 64,200 5,200
- - Brite Voice Systems, Inc. 2,814 22
- - BroadVision, Inc. 1,600 11
- - Broderbund Software, Inc. 2,512 62
Brooklyn Union Gas Co. 2,450 70
- - Brooks Fiber Properties, Inc. 1,800 61
- - Brothers Gourmet Coffees, Inc. 500 1
Brown-Forman Corp. Class B 4,100 200
Browning-Ferris Industries, Inc. 13,500 449
Brunswick Corp. 5,800 181
- - Buffets Inc. 3,800 32
- - Burlington Coat Factory
Warehouse Corp. 4,200 82
- - Burlington Industries, Inc. 5,703 68
Burlington Northern Santa Fe Corp. 9,740 875
Burlington Resources, Inc. 7,500 331
- - Burr-Brown Corp. 3,000 103
CB Bancshares Inc./Hawaii 1,300 46
CBT Corp. 1,100 24
CCB Financial Corp. 2,100 153
- - C-Cube Microsystems, Inc. 2,300 40
- - CDI Corp. 2,200 92
- - CDW Computer Centers, Inc. 1,300 69
- - CFI ProServices, Inc. 1,831 34
CIGNA Corp. 4,700 834
CIPSCO, Inc. 1,600 58
CKE Restaurants Inc. 2,100 66
CMAC Investment Corp. 4,574 218
- - CMG Information Services, Inc. 1,900 25
CML Group, Inc. 2,700 5
CMS Energy Corp. 5,700 201
- - CNA Financial Corp. 4,000 422
CNB Bancshares, Inc. 2,000 81
CNF Transportation Inc. 2,600 84
CPB, Inc. 1,100 40
CPC International, Inc. 9,100 840
CPI Corp. 2,900 61
CSX Corp. 13,500 749
- - C-TEC Corp. 1,800 62
CTG Resources Inc. 3,400 75
- - CUC International, Inc. 26,123 674
CVS Corp. 10,336 530
CWM Mortgage Holdings Inc. 2,700 65
- - Cabletron Systems, Inc. 9,310 263
- - Cable Design Technologies 5,000 147
Cabot Corp. 3,800 108
Cabot Oil & Gas Corp. Class A 3,900 69
- - Cadence Design Systems, Inc. 7,030 235
- - Cadiz Land Co., Inc. 2,500 13
Cadmus Communications 2,700 42
- - Caldor Corp. 800 1
- - CalEnergy Co. 3,900 148
Calgon Carbon Corp. 7,300 101
Caliber System Inc. 2,000 74
- - California Amplifier, Inc. 2,000 9
- - California Culinary Academy Inc. 11,100 89
Cali Realty Corp. REIT 1,900 65
- - California Federal Bank Goodwill
Participation Certificates 200 3
- - California Federal Bank-Secondary
Contingent Litigation Recovery
Participation Interests 650 11
- - California Microwave, Inc. 2,700 38
Callaway Golf Co. 4,000 142
CAM Designs, Inc. 9,900 47
- - Cambridge Technology Partners 2,700 86
Camco International, Inc. 4,870 267
- - Cameron Ashley Building Products 3,392 48
Campbell Soup Co. 29,764 1,488
- - Canandaigua Wine Co., Inc.
Class A 3,392 115
Capital One Financial Corp. 3,933 148
- - Capital Pacific Holdings, Inc. 700 2
Capital Re Corp. 3,600 193
Capitol Bancorp Ltd. 5,280 91
CapMAC Holdings Inc. 2,200 74
Capsure Holdings 2,610 34
Capstead Mortgage Corp. 2,250 55
Caraustar Industries, Inc. 4,000 138
Cardinal Bancshares, Inc. 496 27
Cardinal Health, Inc. 6,966 399
Carlisle Co., Inc. 2,000 70
- - Carmike Cinemas, Inc. Class A 2,511 82
Carnival Corp. Class A 18,700 771
Carolina Power & Light Co. 9,300 334
CarrAmerica Realty Corp. REIT 3,200 92
Carter-Wallace, Inc. 2,100 37
</TABLE>
9
<PAGE> 12
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------
MARKET
VALUE*
TOTAL STOCK MARKET PORTFOLIO SHARES (000)
- --------------------------------------------------------------------------
<S> <C> <C> <C>
- - Cascade Communications Corp. 5,400 $ 149
Case Corp. 4,300 296
- - Casino Magic Corp. 3,900 5
- - Castle & Cooke Inc. 1,366 23
- - Catalina Marketing Corp. 1,140 55
- - Catellus Development Corp. 3,400 62
Caterpillar, Inc. 13,000 1,396
- - Catherines Stores 3,400 13
Cato Corp. Class A 1,200 6
- - CellPro, Inc. 3,400 21
- - Cellular Communications
International Inc. 1,400 46
- - Cellular Technical Services Co. 1,600 15
- - Cellularvision USA, Inc. 4,700 37
- - Centennial Technologies, Inc. 2,400 5
Centerior Energy Corp. 7,500 84
Centex Corp. 1,700 69
- - Centigram Communications 600 8
- - Centocor, Inc. 4,252 132
Central & South West Corp. 13,500 287
Central Fidelity Banks, Inc. 3,000 106
Central Louisiana Electric Co. 2,300 65
Central Maine Power Co. 4,200 52
Central Newspapers Inc. 1,400 100
Central Parking Corp. 1,800 63
Centura Banks, Inc. 3,400 156
- - Centura Software Corp. 600 1
- - Century Communications Corp.
Class A 11,897 65
Century Telephone Enterprises, Inc. 3,150 106
- - Ceridian Corp. 5,300 224
- - Chalone Wine Group Ltd. 1,960 22
- - Champion Enterprises, Inc. 3,000 45
Champion International Corp. 5,900 326
- - Chantal Pharmaceutical Corp. 4,500 5
Charter One Financial 3,615 195
- - Charming Shoppes, Inc. 9,100 48
- - Chartwell Leisure Corp 2,657 35
Chase Manhattan Corp. 28,772 2,793
- - Checkers Drive-In Restaurant 5,400 8
- - Checkfree Corp. 2,500 44
Checkpoint Systems, Inc. 2,000 32
Chelsea GCA Realty, Inc. REIT 500 19
Chemed Corp. 2,100 79
Chemical Finance 2,216 78
Chesapeake Corp. of Virginia 1,700 57
Chesapeake Energy Corp. 4,200 41
Chevron Corp. 42,600 3,150
- - Chic By H.I.S., Inc. 6,020 40
- - Chicago Miniature Lamp, Inc. 900 23
- - Children's Discovery Centers
Of America, Inc. 400 3
Chiquita Brands International, Inc. 3,300 45
- - Chiron Corp. 10,504 219
- - Choice Hotels Corp. Inc. 3,200 54
- - Chris-Craft Industries, Inc. 2,760 133
- - Christiana Cos., Inc. 2,300 92
- - Chromcraft Revington, Inc. 2,500 72
Chrysler Corp. 46,244 1,517
The Chubb Corp. 11,100 742
Church & Dwight, Inc. 2,500 67
Churchill Downs, Inc. 1,100 42
- - Ciber, Inc. 2,000 68
- - Cidco, Inc. 1,600 22
- - CIENA Corp. 5,400 254
Cilcorp, Inc. 2,100 86
Cincinnati Bell, Inc. 8,600 271
Cincinnati Financial Corp. 3,471 275
Cincinnati Milacron, Inc. 3,300 86
CINergy Corp. 9,762 340
Cintas Corp. 3,000 206
Circle International Group, Inc. 1,000 27
Circuit City Stores, Inc. 6,000 213
- - Cirrus Logic 2,900 31
- - Cisco Systems, Inc. 42,900 2,881
- - Circus Circus Enterprises Inc. 6,100 150
Citicorp 30,300 3,653
Citizens Corp. 1,900 52
- - Citizens Utilities Co. Class A 11,194 105
- - Citizens Utilities Co. Class B 2,670 21
- - Citrix Systems, Inc. 1,600 70
City Holding Co. 2,795 93
City National Corp. 2,600 63
- - Cityscape Financial Corp. 1,900 38
Claire's Stores, Inc. 2,850 50
Clarcor Inc. 2,000 50
- - Clarify, Inc. 1,200 14
Clayton Homes Inc. 5,882 84
- - Clear Channel Communications 4,600 283
- - Cliffs Drilling Co. 3,298 120
- - Clintrials Research, Inc. 3,900 48
The Clorox Co. 3,300 436
Coachmen Industries, Inc. 3,104 53
- - Coast Savings Financial, Inc. 3,300 150
Coastal Corp. 6,800 362
- - Coastal Physician Group, Inc. 1,800 3
Coca-Cola Bottling Co. 1,700 82
The Coca-Cola Co. 159,500 10,766
Coca-Cola Enterprises, Inc. 25,800 593
- - Coeur D'Alene Mines Corp. 3,500 45
- - Cognex Corp. 1,600 43
Cognizant Corp. 11,900 482
- - Coherent Communications
Systems Corp. 4,400 109
- - Coherent, Inc. 1,300 58
- - Coin Bill Validator Inc. 100 2
- - Coleman Inc. 4,268 74
Collective Bancorp, Inc. 2,750 124
Colgate-Palmolive Co. 19,200 1,253
- - Collins & Aikman Corp. 6,400 64
Colonial BancGroup, Inc. 2,021 49
Colonial Gas Co. 1,800 38
- - Colorado Casino Resorts, Inc. 5,600 9
- - Coltec Inc. 3,500 68
Columbia Gas Systems, Inc. 3,300 215
Columbia/HCA Healthcare Corp. 42,659 1,677
ComAir Holdings, Inc. 2,600 72
Comcast Corp. Class A 6,600 138
Comcast Corp. Class A Special 13,359 285
- - Comdial Corp. 1,800 15
Comdisco, Inc. 4,500 117
Comerica, Inc. 7,100 483
Commerce Bancshares, Inc. 1,890 86
Commerce Group, Inc. 2,300 57
Commercial Federal Corp. 3,306 123
Commercial Metals Co. 1,200 39
</TABLE>
10
<PAGE> 13
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------------------
<S> <C> <C> <C>
- - CommNet Cellular Inc. 1,600 $ 56
Commonwealth Energy Systems 2,600 62
Community First Bankshares 2,600 99
- - Compaq Computer Corp. 17,200 1,707
Compass Bancshares Inc. 3,900 131
CompuServe Corp. 4,900 53
Computer Associates
International, Inc. 23,275 1,296
- - CompUSA, Inc. 9,300 200
Computer Data Systems, Inc. 1,200 36
- - Computer Sciences Corp. 4,627 334
Computer Task Group, Inc. 4,600 171
- - Computervision Corp. 6,600 31
- - Compuware Corp. 5,000 239
COMSAT Corp. 2,200 52
- - Comverse Technology, Inc. 1,300 68
ConAgra, Inc. 15,000 962
- - Comshare 553 7
- - Concord EFS, Inc. 5,368 140
- - Conmed Corp. 4,406 75
Connecticut Energy Corp. 1,400 34
Connecticut Water Services, Inc. 1,500 43
Conseco Inc. 20,961 776
- - Consolidated Delivery &
Logistics, Inc. 2,800 7
Consolidated Edison Co. of
New York, Inc. 15,000 442
- - Consolidated Freightways Corp. 1,300 21
Consolidated Natural Gas Co. 6,700 361
Consolidated Papers 2,500 135
- - Consolidated Stores, Inc. 5,125 178
- - ContiFinancial Corp. 2,400 88
- - Continental Airlines, Inc. Class B 7,400 259
- - Continental Information
Systems Corp. 300 1
Continental Mortgage &
Equity Trust 150 2
- - Continucare Corp. 2,100 12
- - Control Data Corp. 1,926 28
- - Converse Inc. 1,866 41
- - Cooper Cameron Corp. 3,000 140
Cooper Industries, Inc. 7,000 348
Cooper Tire & Rubber Co. 5,200 114
Adolph Coors Co. Class B 2,800 74
- - Coram Healthcare Corp. 1,523 4
- - COREStaff, Inc. 3,150 85
CoreStates Financial Corp. 15,112 812
Corning, Inc. 15,300 851
- - Corporate Express, Inc. 7,050 102
- - Correctional Services Corp. 2,400 28
- - Corrections Corp. of America 4,200 167
- - Cort Business Services Corp. 2,700 80
- - CorVel Corp. 1,200 35
- - Costco Cos., Inc. 13,386 440
Countrywide Credit Industries, Inc. 7,747 242
- - Covance, Inc. 3,525 68
- - Coventry Corp. 3,345 51
- - Cox Communications Class A 17,414 418
Cracker Barrel Old Country
Stores, Inc. 3,800 100
Crane Co. 2,400 100
Crawford & Co. Class B 1,950 32
- - Credit Acceptance Corp. 2,700 35
- - Cree Research, Inc. 2,352 29
Crescent Real Estate, Inc. REIT 4,600 146
- - Crescent Operating Inc. 460 6
Crestar Financial Corp. 6,903 268
Crompton & Knowles Corp. 4,300 96
Cross Timbers Oil Co. 3,150 61
Crown American Realty Trust REIT 6,300 58
- - Crown Books Corp. 3,163 34
Crown Cork & Seal Co., Inc. 8,200 438
Crown Crafts, Inc. 5,500 58
- - Crown Vantage, Inc. 5,680 42
- - Cryomedical Sciences 17,500 7
Cullen/Frost Bankers, Inc. 1,400 59
- - Culligan Water Technologies 1,200 54
Cummins Engine Co., Inc. 2,500 176
- - Curative Health Services Inc. 1,800 52
Curtiss-Wright Corp. 1,000 58
- - Custom Chrome 2,000 32
- - Cyberguard Corp. 1,700 15
- - Cybex Corp. 1,900 34
- - Cygnus Inc. 2,588 45
- - Cypress Semiconductor Corp. 4,000 58
- - Cypros Pharmaceuticals Corp. 9,750 43
Cyprus Amax Minerals Co. 5,550 136
- - Cytec Industries, Inc. 3,342 125
- - DBT Online Inc. 500 27
- - DH Technology, Inc. 2,200 35
- - DII Group, Inc. 3,100 137
DPL, Inc. 5,900 145
DQE Inc. 4,250 120
- - DSC Communications Corp. 7,500 167
- - DSP Communications, Inc. 2,600 29
- - DSP Group Inc. 3,300 49
- - DST Systems, Inc. 2,600 87
DT Industries, Inc. 1,800 64
DTE Energy Co. 8,900 246
- - Daisytek International Corp. 1,000 39
- - Dal-Tile International Inc. 3,300 61
Dana Corp. 6,300 239
Danaher Corp. 3,700 188
Damen Financial Corp 3,200 45
Darden Restaurants Inc. 8,300 75
- - Darling International, Inc. 2,200 57
- - Data Broadcasting Corp. 8,214 40
- - Data General Corp. 5,700 148
- - Data Race, Inc. 6,778 86
- - Dataware Technologies, Inc. 200 1
Dauphin Deposit Bank & Trust 2,200 98
- - Davel Communications Group, Inc. 2,157 38
- - Dave & Busters 1,785 48
- - Davox Corp. 1,950 70
Dayton-Hudson Corp. 13,400 713
Dean Foods Corp. 3,200 129
Deere & Co. 16,400 900
DEKALB Genetics Corp. Class B 1,100 88
- - Dell Computer Corp. 11,900 1,397
Delmarva Power & Light Co. 3,000 57
Delta & Pine Land Co. 1,665 59
Delta Air Lines, Inc. 4,800 394
Deltic Timber Corp. 742 22
Deluxe Corp. 4,900 167
- - Dendrite International, Inc. 1,400 23
DENTSPLY International 1,400 69
</TABLE>
11
<PAGE> 14
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------
MARKET
VALUE*
BALANCED INDEX FUND SHARES (000)
- --------------------------------------------------------------------------
<S> <C> <C> <C>
- - Department 56 Inc. 3,405 $ 76
Deposit Guaranty Corp. 7,800 246
- - DePuy, Inc. 6,100 140
- - Designer Holdings Ltd. 2,800 29
- - Designs, Inc. 5,750 27
- - Detroit Diesel Corp. 3,100 74
Developers Diversified
Realty Corp. REIT 1,300 52
Devon Energy Corp. 3,567 131
- - Devon Group, Inc. 100 4
- - Devry, Inc. 2,200 59
Dexter Corp. 2,800 90
Diagnostic Products Corp. 2,800 88
Dial Corp. 5,000 78
- - Dialogic Corp. 1,000 27
- - Diamond Multimedia Systems, Inc. 5,000 36
- - Diamond Offshore Drilling, Inc. 4,900 383
- - Diamond Technology Partners Inc. 181 2
Diebold, Inc. 4,400 172
- - Digital Equipment Corp. 9,200 326
Dillard's Inc. 6,600 229
Dime Bancorp, Inc. 6,329 111
Dimon Inc. 2,500 66
- - Dionex Corp. 2,000 102
The Walt Disney Co. 43,100 3,459
Dole Food Co. 3,700 158
Dollar General Corp. 6,683 251
- - Dollar Tree Stores, Inc. 1,600 81
Dominion Resources, Inc. 11,500 421
Donaldson Co., Inc. 1,600 61
Donaldson, Lufkin & Jenrette, Inc. 3,800 227
R.R. Donnelley & Sons Co. 9,000 330
Donnelly Corp. 1,000 17
- - Doubletree Corp. 1,839 76
Dover Corp. 7,300 449
Dow Chemical Co. 15,400 1,342
Dow Jones & Co., Inc. 5,700 229
- - Dravo Corp. 3,000 33
Dresser Industries, Inc. 10,700 399
- - Drexler Technology Corp. 1,600 17
Dreyer's Grand Ice Cream, Inc. 1,700 66
- - Drug Emporium, Inc. 5,028 25
E.I. du Pont de Nemours & Co. 73,400 4,615
Duke Energy Corp. 22,613 1,084
Duke Realty Investments, Inc. REIT 2,000 81
The Dun & Bradstreet Corp. 10,100 265
- - DuPont Photomasks, Inc. 1,600 86
- - Dura Pharmaceuticals, Inc. 2,200 88
Durco International Inc. 3,350 99
Dynamics Corp. of America 1,200 75
- - Dynatech Corp. 2,900 104
EG & G, Inc. 2,800 63
- - EMC Corp. 15,300 597
- - ENSCO International, Inc. 4,112 217
- - ESC Medical Systems Ltd. 2,200 56
- - ESSEF Corp. 1,760 42
- - ESS Technology, Inc. 3,700 50
- - ETEC Systems, Inc. 1,400 60
- - EVI Inc. 2,600 109
- - Eagle Finance Corp. 3,600 7
- - Eagle USA Airfreight, Inc. 2,000 54
Earthgrains Co. 512 34
Eastern Enterprises 2,500 87
Eastern Utilities Associates 2,400 44
Eastman Chemical Co. 5,050 321
Eastman Kodak Co. 21,200 1,627
Eaton Corp. 5,500 480
Eaton Vance Corp. 1,000 28
- - Echelon International Corp., Inc. 2,180 50
Echlin, Inc. 3,400 122
Echo Bay Mines Ltd. 7,100 41
- - EchoStar Communications Corp. 1,800 28
- - Ecogen, Inc. 1,900 7
Ecolab, Inc. 3,700 177
- - Edison Brothers Stores, Inc. 15,223 19
Edison International 27,600 687
- - Edisto Resources Corp. 6,600 61
- - Education Alternatives, Inc. 3,600 16
- - Education Management Corp. 2,200 57
- - Educational Medical, Inc. 3,100 27
A.G. Edwards & Sons, Inc. 3,925 168
- - Einstein/Noah Bagel Corp. 1,800 21
El Paso Natural Gas 4,448 245
- - Elan Corp. PLC ADR 3,488 158
Elcor Corp. 3,800 106
- - Electric Fuel Corp. 1,800 12
- - Electromagnetic Sciences, Inc. 1,600 28
- - Electronic Arts Inc. 3,000 101
Electronic Data Systems Corp. 30,900 1,267
- - Electronic Retailing Systems
International, Inc. 6,200 36
- - Electronics for Imaging, Inc. 2,800 132
- - Eltron International Inc. 1,300 39
Emerson Electric Co. 28,500 1,569
- - Emmis Broadcasting Corp. Class A 1,300 57
- - Employee Solutions, Inc. 3,200 18
- - Emulex Corp. 1,700 26
- - Energy Conversion Devices, Inc. 2,000 26
Energen Corp. 700 24
Energy West Inc. 5,200 44
Engelhard Corp. 9,000 188
Enova Corp. 6,800 164
Enron Corp. 16,400 669
Enron Oil & Gas Co. 9,800 178
ENSERCH Corp. 6,300 140
Enron Global Power &
Pipelines L.L.C. 4,300 143
Entergy Corp. 14,754 404
- - Envirometrics, Inc. 3,800 1
- - Envirotest Systems Corp. Class A 10,800 28
- - Epitope Inc. 2,300 18
Equifax, Inc. 9,200 342
The Equitable Cos. 11,400 379
Equitable of Iowa Co. 1,900 106
Equitable Resources, Inc. 3,200 91
Equity Residential Properties
Trust REIT 4,981 237
Erie Indemnity Co. Class A 500 20
Essex Property Trust, Inc. REIT 2,366 76
Ethan Allen Interiors Inc. 920 52
Ethyl Corp. 6,300 58
Everest Reinsurance Holdings, Inc. 2,700 107
- - Evergreen Media Corp. 2,200 98
- - Exabyte Corp. 3,200 41
Excel Industries, Inc. 700 14
Excel Realty Trust, Inc. REIT 1,800 47
</TABLE>
12
<PAGE> 15
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------------------
<S> <C> <C> <C>
- - EXCEL Communications, Inc. 6,300 $ 181
Executive Risk, Inc. 1,467 76
- - Exide Corp. 2,600 57
Exide Electronics Group, Inc. 5,462 64
- - Express Scripts 2,700 112
- - Extended Stay America, Inc. 6,593 104
Exxon Corp. 158,200 9,729
- - EZCORP, Inc. 300 3
FAC Realty Inc. REIT 4,300 27
F & M Bancorp 1,433 39
FFY Financial Corp. 4,600 120
- - FLIR Systems, Inc. 1,100 17
- - FMC Corp. 2,400 191
FPL Group, Inc. 11,700 539
- - FTP Software, Inc. 4,600 23
Fair Issac & Co. 1,700 76
- - Fairfield Communities, Inc. 5,800 195
- - Falcon Drilling Co., Inc. 12,900 743
Family Dollar Stores, Inc. 5,100 139
Fannie Mae 70,000 3,054
Farmer Brothers, Inc. 1,000 128
- - Farm Family Holdings, Inc. 1,500 42
Farrel Corp. 10,800 37
- - Fastcomm Communications Corp. 2,500 18
Fastenal Co. 2,400 117
- - Faulding Inc. 7,200 89
- - Federal Express Corp. 7,400 427
Federal Home Loan
Mortgage Corp. 45,400 1,561
Federal-Mogul Corp. 2,500 88
Federal Realty Investment
Trust REIT 2,200 59
Federal Signal Corp. 2,733 69
- - Federated Department Stores 13,200 459
Felcor Suite Hotels, Inc. REIT 1,500 56
Ferro Corp. 1,400 52
- - Fibreboard Corp. 1,400 77
Fifth Third Bancorp 7,400 607
- - Figgie International Inc. Class A 2,700 37
- - Filene's Basement Corp. 8,895 59
FINA Inc. 1,600 102
- - Financial Industries Corp. 5,000 62
Financial Security Assurance
Holdings Ltd. 1,900 74
Fingerhut Co. 2,400 42
FINOVA Group, Inc. 1,500 115
- - First Alert, Inc. 8,000 24
First American Financial Corp. 1,400 55
1st Bancorp (Indiana) 3,197 98
First American Corp. (Tenn.) 4,400 169
First American Bank Corp. 5,850 268
First Bancorp of Ohio 2,100 101
- - First Bank of Philadelphia 1,000 4
First Bank System, Inc. 8,685 741
First Brands Corp. 3,800 87
First Chicago NBD Corp. 20,293 1,228
First Citizens BancShares Class A 700 62
First Commerce Bancshares Inc.
Class A 300 7
First Commerce Bancshares Inc.
Class B 4,000 92
First Commerce Corp. 2,312 102
First Commercial Corp. 1,900 78
First Data Corp. 28,466 1,251
First Empire State Corp. 400 135
- - First Federal Financial Corp. 2,166 67
First Financial Caribbean Corp. 1,600 51
First Financial Holdings, Inc. 1,400 45
First Financial Savings Assn. 1,500 44
First Hawaiian, Inc. 1,600 55
First Industrial Realty Trust REIT 1,900 56
First Michigan Bank Corp. 4,171 126
First Midwest Bancorp 3,250 103
First Palm Beach Bancorp 2,000 68
First Security Corp. 6,675 183
First Source Corp. 4,012 109
- - First USA Paymentech, Inc. 1,700 49
First Tennessee National Corp. 4,200 202
First Union Corp. 18,089 1,673
First Union Real Estate 5,700 81
First Virginia Banks, Inc. 1,700 103
First Western Bancorp 700 26
Firstar Corp. 9,600 293
FirstBank Puerto Rico 2,000 52
FIRSTPLUS Financial Group 1,800 61
- - FIserv, Inc. 2,800 125
Fisher Scientific International Inc. 2,000 95
Fleet Financial Group, Inc. 16,802 1,063
Fleetwood Enterprises, Inc. 4,100 122
Fleming Cos., Inc. 4,600 83
Florida East Coast Railway Co. 600 67
- - Florida Panthers Holdings, Inc. 3,500 84
Florida Progress Corp. 5,700 178
Florida Rock Industries, Inc. 2,900 118
- - Florsheim Group Inc. 933 12
Flowers Industries, Inc. 4,500 76
Fluor Corp. 5,200 287
Flushing Financial Corp. 2,400 53
- - Foamex International, Inc. 2,900 38
- - Fonar Corp. 8,000 24
Food Lion Inc. Class A 28,900 207
- - Foodmaker, Inc. 2,300 38
- - Foothill Independent Bancorp. 1,210 16
- - Footstar Inc. 2,984 78
- - Forcenergy Inc. 3,000 91
Ford Motor Co. 77,200 2,914
- - FORE Systems, Inc. 6,000 82
- - Foreland Corp. 566 2
Foremost Corp. of America 1,500 90
Forest City Enterprise Class A 1,400 67
- - Forest Laboratories, Inc. 2,500 104
- - Forest Oil Corp. 3,300 48
- - Fort Howard Corp. 4,600 233
Fort Thomas Financial Corp. 600 6
Fort Wayne National Corp. 1,300 61
- - Forte Software, Inc. 1,900 26
Fortune Brands, Inc. 11,000 410
Foster Wheeler Corp. 3,500 142
- - Foundation Health Systems
Class A 7,540 229
- - Fourth Shift Corp. 12,600 60
Franchise Finance Corp. of
America REIT 2,400 63
Franklin Electric, Inc. 1,000 49
Franklin Resources Corp. 7,850 570
Freeport-McMoRan, Inc. 1,366 39
</TABLE>
13
<PAGE> 16
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------
MARKET
VALUE*
TOTAL STOCK MARKET PORTFOLIO SHARES (000)
- --------------------------------------------------------------------------
<S> <C> <C> <C>
Freeport-McMoRan Copper
& Gold Inc. Class A 3,348 $ 98
Freeport-McMoRan Copper
& Gold Inc. Class B 8,654 269
Fremont General Corp. 1,500 60
- - Fresenius Medical Care AG ADR 5,874 171
- - Fresh Choice, Inc. 5,100 19
- - Fritz Cos., Inc. 4,100 40
Frontier Corp. 9,300 185
- - Fruit of the Loom, Inc. 4,800 149
- - Fuisz Technologies Ltd. 4,600 41
H.B. Fuller Co. 1,500 83
Fulton Financial Corp. 990 27
Fund American Enterprise
Holding Co. 400 42
- - Furniture Brands International Inc. 5,600 109
- - Fusion Systems 1,500 59
G & L Realty Corp. 304 5
GATX Corp. 1,000 58
- - GC Cos. 1,930 88
GPU Inc. 7,800 280
- - GRC International, Inc. 1,500 8
- - GSE Systems, Inc. 600 4
- - GT Interactive Software Corp. 7,500 89
GTE Corp. 62,800 2,755
- - Gadzooks, Inc. 1,800 35
Gainsco, Inc. 4,300 40
- - Arthur J. Gallagher & Co. 2,000 76
Gallaher Group PLC ADR 11,000 203
Gannett Co., Inc. 9,900 978
The Gap, Inc. 17,600 684
- - Garden Botanika, Inc. 4,500 26
- - Garden Fresh Restaurant Corp. 4,400 52
- - Gardner Denver Machinery, Inc. 3,864 113
- - Gargoyles, Inc. 3,200 27
- - Gartner Group, Inc. Class A 5,700 205
- - Gateway 2000 Inc. 10,800 350
- - Gaylord Container Corp. 6,300 48
Gaylord Entertainment Co. Class A 5,951 137
- - GelTex Pharmaceuticals, Inc. 1,900 38
- - Gemstar International Group Ltd. 1,516 28
GenCorp, Inc. 6,100 141
- - Genentech, Inc. 7,500 442
General Binding Corp. 1,828 53
General Dynamics Corp. 3,700 278
General Electric Co. 212,600 13,899
General Growth
Properties Inc. REIT 1,600 54
- - General Instrument Corp. 8,400 210
- - General Magic, Inc. 3,300 7
General Mills, Inc. 10,375 676
General Motors Corp. 49,201 2,740
General Motors Corp. Class H 6,400 370
- - General Nutrition Cos., Inc. 5,300 148
General Re Corp. 5,268 959
General Signal Corp. 3,100 135
- - Genesco, Inc. 9,750 138
- - Gentex Corp. 2,976 58
- - Genesis Health Ventures Inc. 1,500 51
- - Geneva Steel Class A 3,000 8
- - Genome Therapeutics Corp. 2,000 17
- - Gensia Sicor Inc. 6,600 29
Genuine Parts Co. 11,250 381
Geon Co. 3,200 65
- - Genzyme Corp. 4,300 119
Georgia Gulf Corp. 1,800 52
Georgia-Pacific Corp. 5,800 495
- - Geoworks 1,700 10
- - Getchell Gold Corp. 1,700 60
- - Giant Cement Holding, Inc. 1,400 26
Giant Food, Inc. Class A 3,100 101
Giant Industries, Inc. 6,800 108
Giddings & Lewis, Inc. 3,100 65
- - Gilead Sciences, Inc. 3,400 94
Gillette Co. 36,208 3,431
P.H. Glatfelter Co. 2,600 52
- - Glenayre Technologies, Inc. 3,300 54
- - Glendale Federal 2,700 71
- - Global DirectMail Corp. 2,100 55
- - Global Industrial Technologies, Inc. 2,800 57
- - Global Industries, Ltd. 2,300 54
- - Global Marine, Inc. 10,900 253
- - Global Village Communication 700 2
Golden West Financial Corp. 3,700 259
- - The Good Guys, Inc. 4,800 28
The BFGoodrich Co. 2,800 121
The Goodyear Tire & Rubber Co. 9,600 608
- - E. Gottschalk & Co., Inc. 4,700 39
W.R. Grace & Co. 5,600 309
Graco, Inc. 3,100 93
W.W. Grainger, Inc. 3,200 250
- - GranCare Inc. 3,100 34
- - Grand Casinos, Inc. 4,650 69
Graphic Industries, Inc. 4,400 58
Great Atlantic & Pacific Tea
Co., Inc. 2,300 63
Great Lakes Chemical Corp. 3,700 194
Great Western Financial Corp. 8,800 473
Green Mountain Power Corp. 1,900 45
Green Tree Financial Corp. 8,500 303
Greenfield Industries, Inc. 2,800 76
Green Point Financial Corp. 2,800 186
Grief Brothers Corp. Class A 2,700 74
- - GTech Holdings Corp. 2,600 84
Guidant Corp. 4,783 407
- - Gulf South Medical Supply, Inc. 1,900 37
- - Gulfstream Aerospace Corp. 4,500 133
- - Gymboree Corp. 1,500 36
HBO & Co. 5,987 412
HCC Insurance Holdings, Inc. 3,700 99
- - HCIA, Inc. 1,700 57
HF Financial Corp. 6,000 128
- - HFS Inc. 10,510 610
- - HMN Financial, Inc. 3,000 69
- - HMT Technology Corp. 2,700 35
- - HNC Software, Inc. 1,000 38
HRE Properties 2,000 36
- - HS Resources Inc. 4,500 64
HSB Group Inc. 900 48
- - HSN Inc. 6,910 216
- - Haemonetics Corp. 4,500 86
Halliburton Co. 8,000 634
- - Halter Marine Group, Inc. 713 17
- - Handleman Co. 2,900 18
M.A. Hanna Co. 3,100 89
Hannaford Brothers Co. 2,200 78
</TABLE>
14
<PAGE> 17
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------------------
<S> <C> <C> <C>
- - Harbinger Corp. 3,450 $ 97
Harcourt General, Inc. 4,600 219
John H. Harland Co. 1,600 37
Harley-Davidson, Inc. 4,700 225
Harleysville National Corp. 1,470 46
Harman International
Industries, Inc. 1,100 46
Harnischfeger Industries Inc. 3,100 129
- - Harrah's Entertainment, Inc. 5,500 99
Harris Corp. 2,500 210
- - Harry's Farmers Market, Inc. 200 1
Harsco Corp. 2,600 105
Harte-Hanks Communications Co. 2,200 65
Hartford Financial Services
Group Inc. 7,500 621
- - Hartmarx Corp. 12,600 104
Harveys Casino Resorts 1,800 32
Hasbro, Inc. 7,500 213
- - Hauser, Inc. 8,800 48
Haven Bancorp, Inc. 1,500 56
Hawaiian Electric Industries Inc. 2,300 89
- - Hayes Wheels International, Inc. 2,420 77
Health Care Properties Investors 2,300 81
- - HEALTHSOUTH Corp. 22,020 549
- - HealthCare COMPARE Corp. 1,800 94
- - Healthcare & Retirement Corp. 2,800 93
- - Heartstream, Inc. 2,600 22
Health and Retirement
Properties Trust 4,000 75
- - Health Management Associates
Class A 5,987 171
- - Health Management Systems, Inc. 1,953 9
- - Heartland Express, Inc. 4,058 95
- - Hechinger Co. Class A 2,000 4
HEICO Corp. 1,400 31
Heilig-Meyers Co. 4,600 90
H.J. Heinz Co. 23,500 1,084
Helmerich & Payne, Inc. 1,500 86
Herbalife International, Inc. 1,900 31
Hercules, Inc. 6,600 316
- - Heritage Media Corp. Class A 2,200 42
Hershey Foods Corp. 9,400 520
Hewlett-Packard Co. 66,000 3,696
Hibernia Corp. Class A 7,900 110
- - Highlands Insurance Group 2,630 53
Highwood Properties, Inc. REIT 1,900 61
Hilb, Rogal and Hamilton Co. 500 9
Hillenbrand Industries, Inc. 4,300 204
- - Hills Stores Co. 5,165 18
Hilton Hotels Corp. 15,000 398
Hollinger International, Inc. 5,100 57
Holly Corp. 400 10
- - Hollywood Entertainment Corp. 2,300 53
- - Hollywood Park, Inc. 1,000 15
- - Hologic, Inc. 700 19
Home Bancorp 1,400 29
- - Home Health Corp. of America 3,000 29
Home Depot, Inc. 30,533 2,105
Homestake Mining Co. 11,200 146
- - Homestead Village, Inc. REIT 2,639 47
- - Homestead Village, Inc. REIT
Warrants Exp. 10/29/97 295 3
HON Industries, Inc. 1,800 80
Honeywell, Inc. 7,800 592
Horace Mann Educators Corp. 1,400 69
- - Horizon/CMS Healthcare Corp. 5,377 108
Horizon Financial Corp. 1,035 17
Hormel Foods Corp. 4,500 121
- - Host Marriott Corp. 12,600 224
- - Host Marriott Services Corp. 6,120 72
Hospitality Properties Trust REIT 1,600 49
Houghton Mifflin Co. 600 40
- - House of Fabrics, Inc. 283 1
Household International, Inc. 6,000 705
Houston Industries, Inc. 14,900 319
- - Hovnanian Enterprises Class A 9,300 59
Hubbell Inc. Class B 3,750 165
Hudson Foods Inc. Class A 3,100 51
Hughes Supply, Inc. 1,800 72
- - Humana, Inc. 9,400 217
- - Human Genome Sciences, Inc. 1,200 40
Hunt Manufacturing Co. 3,500 66
J.B. Hunt Transport Services, Inc. 2,000 30
Huntington Bancshares Inc. 9,235 272
- - Hutchinson Technology, Inc. 4,200 102
- - Hyperion Software Corp. 3,452 77
IBP, Inc. 5,700 133
ICH Corp. 315 1
ICN Pharmaceuticals, Inc. 2,529 73
- - IDEC Pharmaceuticals Corp. 2,200 54
- - IDX Systems Corp. 2,100 73
- - IEC Electronics Corp. 1,082 15
IES Industries, Inc. 1,800 53
- - I-Flow Corp. 2,300 9
- - IGI, Inc. 6,710 29
- - IHOP Corp. 1,600 49
IMC Global Inc. 5,560 195
IRT Property Co. REIT 3,000 35
- - I-STAT Corp. 3,300 57
- - ITT Corp. 7,500 458
ITT Industries, Inc. 7,300 188
- - IXC Communications, Inc. 1,900 50
Idaho Power Co. 2,200 69
- - IDEX Corp. 1,650 54
- - IDEXX Laboratories 2,200 27
IKON Office Solutions 8,300 207
Illinois Central Corp. 3,300 115
- - Identix, Inc. 8,400 95
Illinois Tool Works, Inc. 15,200 759
Illinova Corp. 4,300 95
- - Imation Corp. 2,440 64
- - ImClone Systems, Inc. 7,800 48
- - Immucor Inc. 2,754 28
- - Immunex Corp. 2,600 94
- - ImmuLogic Pharmaceutical Corp. 3,900 12
- - Immune Response 4,500 35
- - Imo Industries, Inc. 1,200 7
- - Impath, Inc. 1,700 47
- - Imperial Credit 1,200 25
- - Immunomedics Inc. 7,900 36
- - Inacom Corp. 3,600 112
- - INCYTE Pharmaceuticals, Inc. 1,900 125
Indiana Energy, Inc. 2,400 59
Industrial Scientific Corp. 2,700 52
- - Informix Corp. 8,300 75
Ingersoll-Rand Co. 6,800 420
</TABLE>
15
<PAGE> 18
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------
MARKET
VALUE*
BALANCED INDEX FUND SHARES (000)
- --------------------------------------------------------------------------
<S> <C> <C> <C>
- - Information Resources, Inc. 3,706 $ 53
Ingles Markets, Inc. 3,000 49
Inland Steel Industries, Inc. 4,300 112
- - Input/Output, Inc. 2,300 42
- - Insilco Corp. 2,600 97
- - Insituform Technologies Class A 3,000 19
- - INSO Corp. 1,700 35
Innkeepers USA Trust REIT 3,300 50
- - Insurance Auto Auctions, Inc. 3,400 32
- - Insignia Financial Group 3,600 65
- - Integrated Device Technology Inc. 7,400 78
Integrated Health Services, Inc. 4,000 154
- - Integrated Process Equipment Corp. 1,976 50
- - Integrated Silicon Solution, Inc. 800 6
- - Integrated Systems, Inc. 1,300 15
Intel Corp. 53,800 7,618
- - Intelidata Technologies Corp. 4,400 21
- - Intelligent Electronics Inc. 1,100 3
- - Intelligent Medical Imaging, Inc. 4,800 32
- - Intensiva Healthcare Corp. 4,300 34
- - Inter-Tel, Inc. 2,600 56
Intercargo Corp. 5,400 64
- - Intercel, Inc. 3,900 54
Interface, Inc. 1,800 40
- - Interdigital Communications Corp. 7,200 40
- - Intergraph Corp. 7,300 62
- - Interim Services, Inc. 1,150 51
- - Interleaf, Inc. 7,800 11
- - Intermedia Communications Inc. 2,100 68
- - International Assets Holding Corp. 1,800 6
International Business
Machines Corp. 67,800 6,115
- - International Dairy Queen, Inc.
Class A 2,800 67
- - International Family
Entertainment, Inc. Class B 2,700 93
International Flavors &
Fragrances, Inc. 7,100 359
International Game Technology 7,400 131
- - International Lottery & Totalizator
Systems Inc. 8,800 18
- - International Murex
Technologies Corp. 1,000 9
- - International Network Services 1,900 49
International Paper Co. 19,132 929
- - International Rectifier Corp. 3,500 65
International Shipholding Corp. 3,375 58
- - International Specialty
Products, Inc. 4,600 65
- - International Technology 6,275 48
- - Interneuron Pharmaceutical, Inc. 1,900 38
Interpool, Inc. 4,500 66
Interpublic Group of Cos., Inc. 6,000 368
- - Intersolv 4,800 45
Interstate Bakeries 4,300 255
- - Interstate Hotels Co. 1,800 53
Intimate Brands, Inc. 16,100 338
- - Intuit, Inc. 2,500 57
Invacare Corp. 2,400 56
- - Invision Technologies, Inc. 2,400 29
Investors Financial Services Corp. 279 13
Investors Financial Services Corp.
Class A 53 3
- - Iomega Corp. 14,350 285
- - Ionics, Inc. 1,300 59
IPALCO Enterprises, Inc. 2,200 69
Irvine Apartment
Communities, Inc. REIT 800 24
Irwin Financial Corp. 2,800 82
- - ISIS Pharmaceuticals, Inc. 2,100 31
- - Itron, Inc. 600 15
- - i2 Technologies, Inc 1,600 49
- - IVAX Corp. 6,900 77
JLG Industries, Inc. 3,000 41
- - JP Foodservice, Inc. 900 26
JP Realty Inc. REIT 600 16
JSB Financial 1,300 57
- - Jabil Circuit, Inc. 1,800 151
Jackpot Enterprises, Inc. 5,500 63
- - Jacobs Engineering Group Inc. 3,800 102
- - Jacor Communications, Inc. 1,800 69
James River Corp. 5,600 207
- - Jan Bell Marketing Inc. 1,200 3
- - Jayhawk Acceptance Corp. 5,000 8
Jefferson-Pilot Corp. 4,050 283
Jefferson Savings Bancorp, Inc. 200 6
- - Jefferson Smurfit Corp. 5,800 94
John Nuveen Co. Class A 2,100 66
Johns Manville Corp. 8,800 104
Johnson & Johnson 85,206 5,485
Johnson Controls, Inc. 5,300 218
- - Johnstown America Industries 5,800 35
- - Jones Apparel Group, Inc. 3,100 148
Jones Medical Industries, Inc. 1,500 71
Jostens Inc. 4,900 131
- - JumboSports Inc. 5,600 21
- - Just for Feet, Inc. 1,650 29
- - Just Like Home, Inc. 2,400 5
Justin Industries, Inc. 1,600 21
- - KLA-Tencor Corp. 5,700 278
- - Kmart Corp. 29,800 365
KN Energy, Inc. 1,828 77
- - K-III Communications Corp. 6,200 74
K2 Inc. 3,964 126
K U Energy Corp. 3,700 126
- - K-V Pharmaceutical Co. Class A 6,900 114
- - Kaiser Aluminum & Chemical Corp. 6,600 81
Kaneb Pipeline Partners, LP 1,020 29
- - Kaneb Services, Inc. 12,384 46
Kansas City Life Insurance Co. 800 64
Kansas City Power & Light Co. 3,200 91
Kansas City Southern
Industries, Inc. 2,000 129
Katy Industries, Inc. 2,100 31
Kaufman & Broad Home Corp. 4,200 74
Kaydon Corp. 2,200 109
- - Keane, Inc. 1,600 83
Kellogg Co. 13,500 1,156
Kellwood Co. 3,100 86
Kelly Services, Inc. Class A 3,700 116
- - KEMET Corp. 2,400 60
Kennametal, Inc. 3,400 146
- - Kennedy-Wilson, Inc. 280 4
- - Kensey Nash Corp. 3,600 40
- - Kent Electronics Corp. 4,400 161
Kerr-McGee Corp. 2,800 177
</TABLE>
16
<PAGE> 19
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------------------
<S> <C> <C> <C>
KeyCorp 14,184 $ 793
- - Keystone Consolidated
Industries, Inc. 3,600 39
Keystone Financial, Inc. 6,561 205
Keystone International, Inc. 3,600 125
Kimball International, Inc. Class B 1,300 52
Kimberly-Clark Corp. 36,056 1,794
Kimco Realty Corp. REIT 2,200 70
Kinetic Concepts, Inc. 10,000 181
King World Productions, Inc. 2,100 74
- - Kleer-Vu Industries Inc. 6,960 1
Knight-Ridder, Inc. 5,900 289
Koger Equity, Inc. REIT 3,000 55
- - Kohls Corp. 4,600 244
- - Komag, Inc. 3,200 53
- - The Kroger Co. 15,600 452
Kuhlman Corp. 4,700 152
- - LCI International, Inc. 4,674 102
LG&E Energy Corp. 3,400 75
LSI Industries Inc. 2,264 30
- - LSI Logic Corp. 9,000 288
LTC Properties, Inc. 3,100 56
LTV Corp. 4,900 70
- - LTX Corp. 9,300 60
La Quinta Inns Inc. 4,500 98
La-Z-Boy Inc. 900 32
- - Laboratory Corp. of America 15,624 41
- - Ladd Furniture Inc. 1,266 18
Lafarge Corp. 3,000 74
- - Laidlaw Environmental
Services, Inc. 2,800 8
- - LAM Research Corp. 1,400 52
Lancaster Colony Corp. 1,788 86
Lance, Inc. 1,800 34
- - Lancer Corp. 2,535 63
Landauer, Inc. 1,600 37
Landmark Bancshare, Inc. 4,900 99
- - Lands' End, Inc. 4,000 119
- - Landry's Seafood Restaurants, Inc. 1,300 30
- - Landstar System 1,900 54
- - Lattice Semiconductor Corp. 1,300 73
Estee Lauder Cos. Class A 3,700 186
Lawter International Inc. 5,300 67
- - Layne Christensen Co. 9,500 208
- - Lazare Kaplan International, Inc. 3,100 52
- - Lear Corp. 4,100 182
- - Learning Co., Inc. 2,400 23
- - Lechters Corp. 4,000 17
Lee Enterprises, Inc. 2,800 74
Leggett & Platt, Inc. 5,200 224
Legg Mason Inc. 1,200 65
Lehman Brothers Holdings, Inc. 6,160 249
Lennar Corp. 1,800 57
Leucadia National Corp. 3,700 114
- - Level 8 Systems Inc. 6,900 113
Leviathan Gas Pipeline Co. 3,200 78
- - Lexmark International Group, Inc.
Class A 3,500 106
Liberty Corp. 2,800 114
Liberty Financial Cos., Inc. 1,700 85
Liberty Property Trust REIT 2,900 72
- - Life USA Holding, Inc. 1,400 20
Life Re Corp. 1,500 70
- - Lifecore Biomedical Inc. 1,400 19
Lillian Vernon Corp. 2,200 37
Eli Lilly & Co. 35,078 3,834
Lilly Industries Inc. Class A 4,200 85
The Limited, Inc. 16,581 336
- - Lin Television 1,300 57
- - Lincare Holdings Inc. 1,700 73
Lincoln Electric Co. Class A 1,100 42
Lincoln National Corp. 6,400 412
Lindsay Manufacturing Co. 500 16
Linear Technology Corp. 4,400 227
- - Liposome Co., Inc. 1,100 10
Litchfield Financial Corp. 3,831 64
- - Littelfuse, Inc. 2,600 73
- - Litton Industries, Inc. 2,600 126
Liz Claiborne, Inc. 4,300 200
Lockheed Martin Corp. 12,270 1,271
Loews Corp. 7,400 741
- - Logan's Roadhouse, Inc. 2,900 70
Logicon, Inc. 1,500 80
- - Lone Star Steakhouse & Saloon 2,400 63
Long Island Bancorp, Inc. 1,500 54
Long Island Lighting Co. 7,400 170
Longs Drug Stores, Inc. 2,600 68
Longview Fibre Co. 3,000 50
- - Loral Space & Communications 12,200 183
- - Louis Dreyfus Natural Gas Corp. 3,600 59
Louisiana Land & Exploration Co. 2,000 114
Louisiana-Pacific Corp. 5,900 125
Lowe's Cos., Inc. 11,100 412
Lubrizol Corp. 3,700 155
Luby's Cafeterias, Inc. 2,800 56
Lucent Technologies, Inc. 40,471 2,916
Lukens, Inc. 2,900 55
- - Lumisys, Inc. 2,900 18
Lycos, Inc. 4,519 58
- - Lydall, Inc. 3,200 68
Lyondell Petrochemical Co. 4,500 98
MAF Bancorp, Inc. 1,300 55
- - MAI Systems Corp. 4,100 17
MBIA, Inc. 2,700 305
MBNA Corp. 20,550 753
MCI Communications Corp. 44,500 1,704
MCN Corp. 4,200 129
- - MEMC Electronic Materials, Inc. 2,300 75
MFB Corp. 2,000 39
MGIC Investment Corp. 7,600 364
- - MGM Grand Inc. 3,500 130
ML Bancorp Inc. 1,200 23
- - MK Gold Co. 10,700 18
MMI Cos., Inc. 1,800 47
MTS Systems Corp. 2,010 60
- - MacFrugal's Bargains-
Close-outs, Inc. 1,700 46
MacDermid, Inc. 1,200 55
The Macerich Co. REIT 2,300 64
- - Macromedia 3,100 27
Madison Gas & Electric Co. 3,100 64
Mafco Consolidated Group Inc. 1,500 50
- - Magellan Health Services, Inc. 4,300 127
Magna Group 4,152 144
- - Mail-Well, Inc. 2,850 81
Mainstreet Bankgroup, Inc. 3,000 81
</TABLE>
17
<PAGE> 20
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------
MARKET
VALUE*
BALANCED INDEX FUND SHARES (000)
- --------------------------------------------------------------------------
<S> <C> <C> <C>
Mallinckrodt, Inc. 4,800 $ 182
Manitowac Co., Inc. 2,100 98
Manor Care Inc. 3,200 104
Manpower Inc. 4,600 205
Mapco Inc. 3,600 113
- - Marcam Corp. 3,400 50
- - Marine Drilling Co., Inc. 2,800 55
Mark IV Industries, Inc. 4,242 102
- - Markel Corp. 800 102
- - Marquette Medical Systems Inc. 1,996 44
Marsh & McLennan Cos., Inc. 10,400 742
Marshall & Ilsley Corp. 5,144 209
Marriott International 7,900 485
- - Marshall Industries 1,000 37
Martin Marietta Materials, Inc. 5,210 169
- - Marvel Entertainment Group 7,240 17
Masco Corp. 9,900 413
MascoTech Inc. 2,600 54
- - Mastec Inc. 1,650 78
- - Material Sciences Corp. 400 6
- - MathSoft, Inc. 2,000 6
- - Matria Healthcare, Inc. 12,400 49
Mattel, Inc. 20,560 696
- - Mattson Technology, Inc. 4,400 46
- - Maxim Integrated Products, Inc. 4,500 256
- - Maxim Pharmaceuticals, Inc. 1,000 10
May Department Stores Co. 15,400 728
- - Maxicare Health Plans Inc. 1,700 38
- - Maxxam Inc. 900 42
Maverick Tube Corp. 4,200 159
Maytag Corp. 6,000 157
- - McAfee Associates, Inc. 2,906 183
McClatchy Newspapers, Inc. 1,875 55
McCormick & Co., Inc. 4,100 104
McDermott International, Inc. 4,500 131
- - J Ray McDermott SA 2,200 59
McDonald's Corp. 44,300 2,140
McDonnell Douglas Corp. 13,600 932
The McGraw-Hill Cos. 6,100 359
McKesson Corp. 2,600 202
- - McLeod, Inc. 1,900 64
- - McMoRan Oil and Gas 1,700 6
The Mead Corp. 2,900 181
- - Medaphis Corp. 7,100 72
- - Medar, Inc. 3,642 18
- - MedCath Inc. 4,200 63
- - Medco Research, Inc. 5,100 49
Medford Savings Bank 1,200 35
Media General, Inc. Class A 10,600 424
- - Medic Computer Systems, Inc. 1,400 31
- - Medical Assurance, Inc. 1,484 60
- - Medicis Pharmaceutical Corp. 2,475 123
- - Medical Graphics Corp. 9,700 38
Meditrust 3,400 136
- - MedPartners Inc. 10,224 221
- - Medplus, Inc. 3,300 24
Medtronic, Inc. 15,253 1,235
Mellon Bank Corp. 16,672 752
- - Men's Wearhouse, Inc. 2,300 73
Mentor Corp. 3,604 107
- - Mentor Graphics Corp. 5,900 55
Mercantile Bancorp, Inc. 6,083 370
Mercantile Bankshares Corp. 3,100 124
Mercantile Stores Co., Inc. 2,100 132
Merck & Co., Inc. 76,909 7,960
Mercury Finance Co. 9,399 23
Mercury General Corp. 3,600 262
Meredith Corp. 3,300 96
- - Merisel, Inc. 4,200 8
Merrill Lynch & Co., Inc. 21,000 1,252
Merry Land &
Investment Co., Inc. REIT 2,200 48
- - Mesa Air Group Inc. 1,500 8
- - MetaCreations Corp. 1,797 20
Methode Electronics, Inc. Class A 6,849 135
- - Metra Biosystems, Inc. 3,400 16
Metris Cos., Inc. 2,400 79
- - Metrocall, Inc. 900 4
- - Metromail Corp. 3,300 82
- - Metromedia International
Group, Inc. 3,900 49
- - Metzler Group, Inc. 1,700 55
- - Fred Meyer, Inc. 1,400 72
Michael Foods Group, Inc. 7,900 148
- - Micrion Corp. 2,000 34
- - MICROS Systems, Inc. 1,100 46
- - Microsoft Corp. 78,500 9,928
Mid Am Inc. 5,954 109
- - Microchip Technology, Inc. 3,000 89
- - Micro Warehouse Inc. 1,800 31
- - Micrografx, Inc. 600 4
- - Micron Electronics, Inc. 5,000 89
- - Micron Technology, Inc. 12,800 511
- - Microwave Power Devices, Inc. 4,700 23
Mid-America Realty Investments 7,200 70
- - Mid Atlantic Realty Trust 3,650 41
Mid Atlantic Medical Services, Inc. 5,700 89
Mid-Iowa Financial Corp. 12,000 110
MidAmerican Energy Co. 6,500 113
- - Midway Games Inc. 4,900 105
Millenium Chemicals, Inc. 4,600 105
Herman Miller, Inc. 2,800 100
- - Miller Industries, Inc. 2,300 37
Millipore Corp. 2,600 114
- - Milwaukee Land Co. 5,500 54
Mine Safety Appliances Co. 1,200 74
Minerals Technologies, Inc. 1,200 45
Minnesota Mining &
Manufacturing Co. 26,600 2,713
Minnesota Power & Light Co. 2,500 76
- - Mirage Resorts, Inc. 11,300 285
Mississippi Chemical Corp. 1,000 21
Mitchell Energy & Development
Corp. Class A 2,200 45
- - Mizar Inc. 1,000 4
Mobil Corp. 50,000 3,494
- - Mobile Telecommunications
Technologies Corp. 2,700 39
- - MobileMedia Corp. 3,000 1
- - Mobley Environmental
Services, Inc, Class A 6,600 2
Modine Manufacturing Co. 2,538 76
- - Mohawk Industries, Inc. 3,700 84
- - Molecular Biosystems, Inc. 3,097 28
Molex, Inc. 7,570 277
- - Molten Metal Technology 1,000 5
</TABLE>
18
<PAGE> 21
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------------------
<S> <C> <C> <C>
The Money Store 3,000 $ 86
Monsanto Co. 37,400 1,611
Montana Power Co. 2,800 65
Monterey Resources, Inc. 3,300 49
J.P. Morgan & Co., Inc. 11,800 1,232
Morgan Stanley, Dean Witter,
Discover and Co. 36,020 1,551
Morrison Fresh Cooking Inc. 1,437 7
Morrison Health Care Inc. 3,316 53
Morton International, Inc. 9,100 275
- - Mortons Restaurant Group 2,456 49
Mosinee Paper Corp. 2,100 51
Motorola, Inc. 37,700 2,865
- - Mueller Industries Inc. 2,100 92
- - MTL, Inc. 1,452 34
- - Multicare Cos., Inc. 3,300 90
Multigraphics Inc. 1,600 3
Murphy Oil Corp. 2,600 127
- - Mycogen Corp. 1,900 37
Myers Industries, Inc. 2,600 44
Mylan Laboratories, Inc. 6,650 98
NAC Re Corp. 2,400 116
NCH Corp. 1,000 63
- - NCI Building Systems, Inc. 1,300 42
- - NCO Group, Inc. 2,700 79
- - NCR Corp. 12,281 365
- - NFO Research Inc. 2,797 71
NGC Corp. 9,300 144
- - NHP, Inc. 2,300 51
NIPSCO Industries, Inc. 4,200 174
N L Industries, Inc. 5,500 80
- - NTL Inc. 2,667 66
NUI Corp. 400 9
Nabisco Holdings Corp. Class A 2,800 112
- - Nabors Industries, Inc. 6,100 153
NACCO Industries, Inc. Class A 991 56
Nalco Chemical Co. 3,800 147
Nash-Finch Co. 1,900 42
- - Nashua Corp. 2,586 28
National Bankcorp of Alaska Inc. 1,200 102
- - National City Bancorporation 880 19
National City Corp. 14,100 740
National Community Bancorp 3,100 69
National Data Corp. 1,600 69
National Fuel Gas Co. 1,900 80
National Health Investors REIT 1,300 51
- - National Instruments Corp. 1,400 49
- - National Medical Financial
Services Corp. 9,400 26
- - National Patent
Development Corp. 11,040 86
National Presto Industries, Inc. 2,200 89
- - National Processing, Inc. 3,100 32
- - National Semiconductor Corp. 8,300 254
National Service Industries, Inc. 2,800 136
- - National Steel Corp. Class B 3,200 54
- - National Western Life
Insurance Co. Class A 200 18
NationsBank Corp. 50,868 3,281
Nationwide Health Properties, Inc. 2,300 51
- - Navigators Group, Inc. 2,000 35
Natural Wonders 4,300 17
- - Nautica Enterprises Inc. 2,500 66
- - Navistar International Corp. 4,000 69
Neiman Marcus Group Inc. 2,300 60
- - Nellcor Puritan Bennett, Inc. 3,508 64
Thomas Nelson, Inc. 4,750 66
- - Neoprobe Corp. 6,300 88
- - NETCOM On-Line Communication
Services, Inc. 1,600 24
- - Netframe Systems Inc. 14,800 14
- - NetManage, Inc. 3,800 11
- - Netscape Communications Corp. 2,600 83
- - Network General Corp. 2,600 39
- - Neurogen Corp. 680 15
Nevada Power Co. 2,300 49
New England Electric System 3,600 133
New Jersey Resources Corp. 2,000 63
- - New Mexico & Arizona Land Co. 2,521 36
New Plan Realty Trust REIT 3,500 77
New York Bancorp Inc. 2,200 76
New York State Electric
& Gas Corp. 3,700 77
New York Times Co. Class A 6,000 297
Newell Co. 9,900 392
- - Newfield Exploration Co. 2,200 44
Newmont Gold Co. 7,100 284
Newmont Mining Corp. 9,042 353
Newport News Shipbuilding Inc. 2,040 40
- - NEXTEL Communications 14,563 275
- - NeXstar Pharmaceuticals Inc. 6,812 96
- - Niagara Mohawk Power Corp. 8,700 74
NICOR, Inc. 3,100 111
NIKE, Inc. Class B 18,300 1,068
- - Nine West Group, Inc. 2,100 80
- - 99 Cents Only Stores 1,100 33
Noble Affiliates, Inc. 3,400 132
- - Noble Drilling Corp. 7,300 165
- - Noodle Kidoodle Inc. 5,000 18
NorAm Energy Corp. 9,300 142
- - Nord Resources Corp. 8,100 25
Nordson Corp. 1,700 110
Nordstrom, Inc. 4,800 236
Norfolk Southern Corp. 8,000 806
Norrell Corp. 2,400 79
- - Nortek, Inc. 2,500 60
North American Mortgage Co. 2,700 64
- - North American Vaccine, Inc. 2,739 53
North Fork Bancorporation, Inc. 10,204 218
Northeast Utilities 6,700 64
Northern States Power Co. 4,000 207
Northern Trust Corp. 6,900 334
Northrop Grumman Corp. 3,700 325
- - Northwest Airlines Corp. Class A 6,000 219
Northwest Natural Gas Co. 2,450 64
Northwest Savings Bank 5,800 91
Norwest Corp. 23,580 1,326
- - Nova Corp. (Georgia) 1,700 44
- - NovaCare, Inc. 7,100 99
- - Nu-Kote Holding, Inc. Class A 4,600 12
- - Novavax, Inc. 6,110 25
- - Novell, Inc. 20,000 138
- - Novellus Systems, Inc. 2,300 198
Nucor Corp. 5,500 311
- - Nuevo Energy Co. 1,700 70
Numerex Corp. 500 3
</TABLE>
19
<PAGE> 22
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------
MARKET
VALUE*
BALANCED INDEX FUND SHARES (000)
- --------------------------------------------------------------------------
<S> <C> <C> <C>
- - nVIEW Corp. 3,300 $ 7
NYNEX Corp. 28,000 1,614
OEA, Inc. 1,300 51
OGE Energy Corp. 2,600 118
- - OHM Corp. 5,700 48
- - OIS Optical Imaging Systems, Inc. 6,100 15
- - Oak Technology, Inc. 2,900 28
- - Oakley, Inc. 7,000 98
Oakwood Homes Corp. 4,100 98
- - Object Design, Inc. 5,400 46
- - Objective Systems Integrators, Inc. 1,700 15
Occidental Petroleum Corp. 21,000 526
- - OccuSystems, Inc. 2,400 70
- - Ocean Energy Inc. 1,200 56
- - Oceaneering International, Inc. 2,810 52
- - Octel Communications Corp. 3,000 70
Ocwen Financial Corp. 1,700 55
- - Office Depot, Inc. 8,925 173
- - OfficeMax Inc. 7,200 104
- - Offshore Logistics, Inc. 4,000 77
Ogden Corp. 3,200 70
Ohio Casualty Corp. 1,600 70
Ohio Edison Co. 8,700 190
- - Old Dominion Freight Line, Inc. 4,000 56
Old Kent Financial Corp. 2,431 131
Old National Bancorp 1,575 70
Old Republic International Corp. 5,050 153
- - Olicom AS 347 5
- - Olicom AS Warrants Exp. 6/12/00 140 1
Olin Corp. 2,800 109
Olsten Corp. 3,950 77
Omnicare, Inc. 4,600 144
Omnicom Group Inc. 5,000 308
- - Omega Health Systems, Inc. 5,700 41
Omega Healthcare Investors, Inc. 2,400 78
- - Omnipoint Corp. 3,200 53
- - On Assignment, Inc. 1,200 47
- - ONCOR Inc. 8,369 33
One Valley Bancorp of
West Virginia Inc. 1,500 63
ONEOK, Inc. 1,700 55
- - Ontrak Systems, Inc. 2,000 60
- - Optical Cable Corp. 2,600 31
- - Oracle Corp. 43,925 2,211
Orange & Rockland Utilities, Inc. 2,500 84
Orange-Co, Inc. 3,600 28
- - Oravax, Inc. 2,600 7
Oregon Metallurgical Corp. 2,100 59
- - Organogenesis, Inc. 5,938 116
Oregon Steel Mills, Inc. 1,600 32
Orion Capital Corp. 900 66
- - Orthodontic Centers of
America, Inc. 2,700 49
- - Oryx Energy Co. 6,000 127
Oshkosh Truck Corp. 2,900 42
- - Osicom Technologies, Inc. 4,042 26
Otter Tail Power Co. 2,098 68
- - Outback Steakhouse 2,200 53
- - Outdoor Systems, Inc. 2,400 92
Overseas Shipholding Group Inc. 1,900 37
Owens Corning 2,800 121
- - Owens-Illinois, Inc. 7,400 229
- - Oxford Health Plan 4,700 337
- - Oxigene, Inc. 1,000 35
- - PDT, Inc. 1,600 58
PECO Energy Corp. 13,000 273
PG&E Corp. 25,500 618
- - PHP Healthcare Corp. 2,800 37
- - PICO Holdings Inc. 7,014 32
- - PMC Sierra Inc. 3,466 91
The PMI Group Inc. 2,200 137
- - PMT Services Inc 1,900 29
PNC Bank Corp. 21,035 876
PP&L Resources Inc. 10,400 207
PPG Industries, Inc. 11,700 680
- - PRI Automation, Inc. 4,400 167
PXRE Corp. 2,000 62
PACCAR, Inc. 4,450 207
Pacific Century Financial Corp. 2,250 104
Pacific Chemical Inc. 70 1
Pacific Enterprises 4,700 158
PacifiCare Health Systems Inc.
Class A 712 43
- - PacifiCare Health Systems Inc.
Class B 1,868 119
PacifiCorp 18,900 416
- - Paging Network, Inc. 5,900 52
PaineWebber Group, Inc. 5,600 196
- - Pairgain Technologies, Inc. 3,600 56
Pall Corp. 7,066 164
- - PanAmSat Corp. 1,035 30
- - Papa John's International, Inc. 1,800 66
- - Parametric Technology Corp. 7,800 332
- - Park-Ohio Industries, Inc. 4,400 66
Parker & Parsley Petroleum Co. 3,800 134
Parker Hannifin Corp. 4,800 291
- - ParkerVision, Inc. 400 8
Parkway Properties Inc. 2,800 75
- - PathoGenesis Corp. 1,800 52
Patriot American
Hospitality, Inc. REIT 2,600 66
Paychex, Inc. 6,713 258
- - Payless ShoeSource, Inc. 2,080 114
- - PEC Israel Economic Corp. 4,000 96
- - Pediatrix Medical Group, Inc. 1,600 73
- - Pegasystems Inc. 1,700 53
- - The Penn Traffic Co. 4,000 32
Penn Virginia Corp. 1,000 50
Penncorp Financial Group Inc. 1,700 65
J.C. Penney Co., Inc. 16,105 840
Pennsylvania Enterprises Inc. 1,966 50
Pennzoil Co. 2,700 207
Pentair, Inc. 3,700 122
Peoples Bank of Bridgeport 3,600 94
- - People's Choice TV Corp. 2,200 3
Peoples Energy Corp. 2,100 79
Peoples First 3,935 113
Peoples Heritage Financial
Group Inc. 2,600 98
- - PeopleSoft Inc. 6,600 348
Pep Boys (Manny, Moe & Jack) 3,200 109
PepsiCo, Inc. 99,400 3,734
- - Perclose, Inc. 1,200 30
- - Performance Food Group Co. 450 10
Perkin-Elmer Corp. 2,800 223
- - Perrigo Co. 6,900 87
</TABLE>
20
<PAGE> 23
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------------------
<S> <C> <C> <C>
- - PerSeptive Biosystems, Inc. 650 $ 4
- - Personnel Group of America, Inc. 2,800 81
- - Pete's Brewing Co. 600 4
- - Petrocorp, Inc. 4,822 42
Petroleum Heat & Power Co. 9,600 26
Petrolite Corp. 1,900 118
- - PETsMART, Inc. 7,248 83
Pfizer, Inc. 40,900 4,888
- - Pharmaceutical Markets 6,100 66
- - Pharmacopeia, Inc. 2,100 27
Phelps Dodge Corp. 4,200 358
- - Philadelphia Consolidated
Holding Corp. 1,800 60
Philip Morris Cos., Inc. 156,600 6,949
Phillips Petroleum Co. 16,800 735
Phillips-Van Heusen Corp. 1,200 18
- - Phoenix Network, Inc. 4,400 16
- - Photronics Labs Inc. 1,500 71
- - PhyCor, Inc. 3,250 112
Physician Corp. of America 1,800 11
- - Physician Reliance Network, Inc. 4,500 42
- - Physician Sales & Service, Inc. 2,900 55
- - Physio-Control International Corp. 2,400 36
- - PictureTel Corp. 2,800 27
Piedmont Natural Gas, Inc. 1,800 46
Pier 1 Imports Inc. 6,205 164
Pinnacle Bancorp Group Inc. 1,800 38
- - Pinnacle Micro Inc. 4,450 5
Pinnacle West Capital Corp. 4,800 144
Pioneer Group Inc. 2,700 62
Pioneer Hi-Bred International, Inc. 5,300 424
Pioneer Standard Electronics Inc. 7,200 98
Piper Jaffray Cos., Inc. 3,000 62
Pitney Bowes, Inc. 9,500 660
- - Pittencrieff Communications, Inc. 6,331 34
Pittston Brink's Group 2,500 75
Pittston Burlington Group 2,450 69
Pittway Corp. Class A 1,300 65
- - Pixar, Inc. 3,200 50
- - Pizza Inn, Inc. 9,200 37
- - Plains Resources 1,917 28
- - Planet Hollywood International, Inc.
Class A 5,600 128
- - Planet Polymer Technology, Inc. 5,200 15
- - Plantronics, Inc. 1,300 65
- - Platinum Software Co. 2,274 24
- - PLATINUM technology, Inc. 3,600 48
- - Playtex Products, Inc. 6,900 65
Plenum Publishing Corp. 1,100 42
Ply-Gem Industries, Inc. 400 7
Poe & Brown, Inc. 2,900 105
Pogo Producing Co. 4,600 178
Polaris Industries, Inc. 1,700 55
Polaroid Corp. 2,300 128
- - Policy Management Systems Corp. 2,900 136
Popular Inc. 4,100 165
Portland General Electric Co. 3,200 127
Post Properties, Inc. REIT 1,300 53
Potash Corp. of Saskatchewan, Inc. 354 27
Potlatch Corp. 1,800 81
Potomac Electric Power Co. 6,700 155
Praxair, Inc. 9,600 538
Precision Castparts Corp. 1,300 78
- - Precision Response Corp. 2,000 33
Premark International, Inc. 3,300 88
Premier Farnell PLC ADR 1,645 26
Premier Farnell PLC $1.35
Cvt. Pfd. ADR 1,326 30
- - Premisys Communications, Inc. 1,500 24
Prentiss Properties Trust REIT 2,400 62
- - Presstek, Inc 700 61
T. Rowe Price 3,400 176
Price REIT, Inc. 700 25
- - Primadonna Resorts, Inc. 2,200 43
- - Primark Corp. 5,300 141
- - Prime Hospitality Corp. 2,300 45
- - Prime Service, Inc. 1,700 54
Primex Technologies, Inc. 280 6
Procter & Gamble Co. 43,300 6,116
- - Proffitt's, Inc. 1,200 53
- - Progress Software Corp. 2,800 45
Progressive Corp. of Ohio 4,600 400
- - Project Software &
Development, Inc. 1,400 20
- - Promus Hotel Corp. 2,700 105
Protective Life Corp. 1,800 90
- - Proteon Inc. 2,600 5
- - Provident American Corp. 2,800 14
Provident Cos., Inc. 4,840 259
- - Provident Financial Group 2,200 94
Providian Financial Corp. 6,100 196
- - Proxim, Inc. 1,800 44
- - Proxymed Pharmacy, Inc. 2,900 28
Public Service Co. of Colorado 4,200 174
Public Service Co. of New Mexico 2,300 41
Public Service Co. of
North Carolina, Inc. 1,600 31
Public Service Enterprise
Group Inc. 14,800 370
Public Storage Properties XI
Class A 100 2
Public Storage, Inc. REIT 5,819 170
- - Pudgie's Chicken, Inc. 7,100 9
Puerto Rican Cement Co., Inc. 2,900 94
Puget Sound Energy Inc. 6,180 164
Pulitzer Publishing Co. 1,333 71
Pulte Corp. 1,600 55
- - Pure Atria Software Corp. 2,481 35
- - QLogic Corp. 1,473 37
Quaker Chemical Corp. 2,300 40
The Quaker Oats Co. 8,700 390
- - QUALCOMM, Inc. 4,200 214
- - Quality Food Centers Inc. 1,600 61
- - Quality Systems, Inc. 2,400 17
- - Quantum Corp. 8,400 171
- - Quest Diagnostics Inc. 1,762 36
Questar Corp. 2,000 81
Quick & Reilly Group, Inc. 5,001 116
- - QuickResponse Services, Inc. 1,100 39
- - Quiksilver, Inc. 2,900 92
- - Quickturn Design Systems, Inc. 5,800 69
- - Quintel Entertainment, Inc. 800 13
- - Quintiles Transnational Corp. 2,000 139
- - Quorum Health Group, Inc. 2,600 93
RFS Hotel Investors, Inc. REIT 4,100 74
RJR Nabisco Holdings Corp. 17,499 577
</TABLE>
21
<PAGE> 24
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------
MARKET
VALUE*
BALANCED INDEX FUND SHARES (000)
- --------------------------------------------------------------------------
<S> <C> <C> <C>
R.L.I. Corp. 2,625 $ 96
RPM Inc. (Ohio) 3,625 67
- - Racotek, Inc. 7,000 15
- - RailTex, Inc. 994 18
- - Rainbow Technologies, Inc. 4,000 74
- - Rainforest Cafe, Inc. 2,350 59
- - Ralcorp Holdings, Inc. 3,533 52
Ralston-Ralston Purina Group 6,815 560
- - Ramtron International Corp. 6,100 37
- - Raptor Systems, Inc. 3,100 35
- - Rare Hospitality International Inc. 4,600 57
- - Raster Graphics, Inc. 600 4
- - Rational Software Corp. 2,430 41
Raychem Corp. 2,900 216
Rayonier Inc. 1,800 76
Raytheon Co. 15,200 775
- - Read-Rite Corp. 3,800 79
Reader's Digest Assn., Inc. Class A 6,100 175
- - Reading & Bates Corp. 5,100 136
- - Recovery Engineering, Inc. 4,600 76
- - Red Brick Systems, Inc. 2,700 20
Redwood Trust, Inc. 1,200 56
Reebok International Ltd. 3,413 160
- - Regal Cinemas, Inc. 1,800 59
Regions Financial Corp. 9,436 299
Regis Corp. 4,140 97
- - Regent Assisted Living, Inc. 1,500 8
Reinsurance Group of America, Inc. 1,000 58
Reliance Acceptance Group Inc. 1,000 5
Reliance Bancorp, Inc. 2,000 59
Reliance Group Holdings 7,000 83
Reliastar Financial Corp. 2,385 174
- - Remedy Corp. 2,400 96
Renal Treatment Centers, Inc. 1,000 27
- - Republic Industries, Inc. 16,530 407
Republic New York Corp. 3,600 387
- - ReSound Corp. 5,200 30
- - Retirement Care Associates, Inc. 8,268 102
- - Revlon, Inc. 1,300 67
- - Rexall Sundown, Inc. 1,800 70
Reynolds & Reynolds Class A 5,300 83
Reynolds Metals Co. 4,100 292
Rhone-Poulenc Rorer, Inc. 8,400 763
Richfood Holdings, Inc. 8,850 230
Riggs National Corp. 1,900 39
- - Right Management Consultants 2,000 23
- - Rio Hotel and Casino, Inc. 3,000 45
Rite Aid Corp. 7,575 378
Roadway Express Inc. 1,000 23
- - Robert Half International, Inc. 5,100 240
Rochester Gas and Electric Corp. 1,900 40
- - Rochester Medical Corp. 2,300 32
Rockwell International Corp. 14,000 826
- - Rockshox, Inc. 4,600 80
- - Rogers Corp. 2,100 74
Rohm & Haas Co. 3,800 342
- - Rohr, Inc. 4,000 88
Rollins, Inc. 3,600 72
Rollins Truck Leasing 6,750 100
- - Ronson Corp. 2,400 6
Roosevelt Financial Group 2,500 56
Roper Industries Inc. 3,236 168
Ross Stores, Inc. 3,000 98
- - Ross Technology, Inc. 2,800 6
Rouse Co. 4,300 127
- - Rowan Cos., Inc. 5,100 144
- - Royal Appliance
Manufacturing Co. 6,014 51
Royal Caribbean Cruises, Ltd. 7,900 276
Rubbermaid, Inc. 8,900 265
- - Ruby Tuesday, Inc. 2,875 65
Ruddick Corp. 4,300 71
Russell Corp. 2,200 65
- - Rutherford-Moran Oil Corp. 1,700 40
- - Ryan's Family Steak Houses, Inc. 8,000 68
Ryder System, Inc. 5,300 175
SBC Communications Inc. 65,195 4,034
- - SCI Systems, Inc. 1,600 102
- - SDL, Inc. 2,500 48
SEI Corp. 2,400 58
Semco Energy Inc. 3,068 53
- - SMC Corp. 1,200 10
- - SPS Technologies, Inc. 824 58
- - SPS Transaction Services 1,400 26
- - S3, Inc. 2,800 31
SAFECO Corp. 8,100 378
- - Safeguard Scientifics, Inc. 1,806 57
Safety-Kleen Corp. 3,500 59
- - Safeway, Inc. 17,205 794
- - Saga Communications, Inc. 3,468 64
St. Francis Capital Corp. 1,200 45
St. Joe Corp. 1,600 134
St. John Knits, Inc. 1,700 92
- - St. Jude Medical, Inc. 6,100 238
St. Mary Land & Exploration Co. 2,372 83
St. Paul Bancorp, Inc. 3,691 123
St. Paul Cos., Inc. 5,200 397
- - Saks Holdings, Inc. 3,700 93
Salient 3 Communications Class A 2,500 31
Salomon, Inc. 7,000 389
- - Samsonite Corp. 1,300 57
- - Sanchez Computer Associates, Inc. 181 2
- - SanDisk Corp. 3,400 50
- - John B. Sanfilippo & Son, Inc. 5,600 39
- - Sanmina Corp. 1,100 69
- - Santa Fe Energy Resources, Inc. 5,400 79
Santa Monica Bank 500 11
Sara Lee Corp. 30,800 1,282
- - Satcon Technology Corp. 3,007 29
Savannah Foods & Industries, Inc. 4,800 84
- - Sawtek Inc. 1,300 44
Sbarro, Inc. 2,300 64
SCANA Corp. 6,600 164
- - Henry Schein, Inc. 2,100 65
- - R. P. Scherer Corp. 1,400 72
- - Scherer Health 3,200 7
Schering-Plough Corp. 47,000 2,250
Schlumberger Ltd. 15,600 1,950
Schnitzer Steel Industries, Inc.
Class A 2,000 59
- - Scholastic Corp. 900 31
- - Schuler Homes Inc. 2,200 13
A. Schulman Inc. 1,900 47
Charles Schwab Corp. 10,800 439
Schweitzer-Mauduit
International, Inc. 1,850 69
</TABLE>
22
<PAGE> 25
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------------------
<S> <C> <C> <C>
- - Sciclone Pharmaceuticals 800 $ 4
Scientific-Atlanta, Inc. 4,000 88
- - Scientific Games Holdings Corp. 3,200 66
- - Scios, Inc. 2,300 14
- - Scopus Technology, Inc. 3,600 80
- - The Score Board, Inc. 16,500 16
- - Scotts Co. 3,800 110
E.W. Scripps Co. 4,800 200
Seacoast Banking Corp. of
Florida Class A 3,200 96
- - SEACOR SMIT Inc. 800 42
- - Seagate Technology 15,368 541
- - Seagull Energy Corp. 3,804 67
- - Sealed Air Corp. 2,700 128
Sears, Roebuck & Co. 24,900 1,338
- - Seattle FilmWorks, Inc. 3,375 40
Security Capital Corp. 1,300 123
Security Capital Atlantic Inc. 2,300 55
Security Capital Industrial
Trust REIT 5,823 125
Security Capital Pacific Inc. REIT 4,900 112
Security Connecticut Corp. 1,200 66
- - Security Dynamics
Technologies, Inc. 2,400 88
- - Security First Network Bank 1,547 11
Sensormatic Electronics Corp. 3,500 45
- - Sepracor Inc. 4,700 121
- - Sequa Corp. Class A 1,456 82
- - Sequent Computer Systems, Inc. 4,100 86
- - SEQUUS Pharmaceuticals, Inc. 4,600 29
Service Corp. International 15,100 496
- - Service Merchandise Co., Inc. 13,200 40
Shared Medical Systems Corp. 1,437 77
Shaw Industries, Inc. 7,000 74
Sherwin-Williams Co. 10,200 315
- - Shiva Corp. 1,600 17
- - Shoe Carnival, Inc. 650 6
- - Shoney's Inc. 8,295 49
- - Shorewood Packaging 2,500 57
- - ShowBiz Pizza Time, Inc. 3,700 98
Showboat, Inc. 3,600 63
- - Shuffle Master, Inc. 2,833 23
Shurgard Storage
Centers, Inc. Class A REIT 1,800 50
- - Siebel Systems, Inc. 2,200 71
Sierra Pacific Resources 1,800 58
Sigma-Aldrich Corp. 6,200 217
- - Signal Technology Corp. 4,147 26
Signet Banking Corp. 3,833 138
SIG Corp. 2,550 65
- - Silicon Gaming, Inc. 600 8
- - Silicon Graphics, Inc. 10,204 153
- - Silicon Valley Bancshares 2,000 91
- - Silicon Valley Research, Inc. 3,100 3
Simon DeBartolo Group, Inc. REIT 5,684 182
Simulation Sciences, Inc. 3,000 45
- - SITEL Corp. 4,400 91
Sizzlers Property Investors, Inc. 4,100 42
- - Sizzler International 13,700 40
- - SmarTalk Teleservices, Inc. 3,000 47
- - Smith Corona Corp.
Warrants Exp. 2/28/99 620 1
A.O. Smith Corp. 1,500 53
- - Smith International, Inc. 2,400 146
- - Smithfield Foods, Inc. 2,500 154
- - Smith's Food & Drug Centers, Inc.
Class B 1,966 105
- - Snyder Communications, Inc. 2,000 54
Snap-On Inc. 3,950 156
- - Software Spectrum, Inc. 2,400 31
- - Sofamor Danek Group, Inc. 1,100 50
- - Sola International, Inc. 1,500 50
- - Solectron Corp. 3,500 245
Somerset Group, Inc. 5,156 77
Sonat, Inc. 5,300 272
Sonoco Products 5,000 152
Sotheby's Holdings Class A 3,300 56
Southdown, Inc. 2,700 118
Southern Co. 42,800 936
Southern New England
Telecommunications Corp. 4,300 167
- - Southern Union Co. 5,630 129
- - Southland Corp. 22,300 75
SouthTrust Corp. 6,448 267
Southwest Airlines Co. 8,950 232
Southwest Bancshares, Inc. 1,776 38
Southwest Gas Corp. 3,600 72
Southwestern Energy Co. 1,600 21
Southwestern Public Service Co. 2,600 102
Sovereign Bancorp, Inc. 2,910 44
Sovran Self Storage, Inc. REIT 2,200 64
- - SpaceLabs Medical, Inc. 2,500 64
- - Spacetec IMC Corp. 4,200 14
Spartan Motors, Inc. 5,800 45
- - SpectraLink Corp. 8,600 49
- - SpecTran Corp. 4,200 81
- - Spectranetics Corp. 2,900 9
- - Spectrum Holobyte 2,000 10
- - Speedfam International, Inc. 700 25
- - Speedway Motorsports, Inc. 2,600 57
- - Spelling Entertainment 9,900 68
- - Spiegel, Inc. Class A 8,500 57
Spieker Properties, Inc. REIT 2,800 99
- - Splash Technology Holdings, Inc. 2,800 101
Springs Industries Inc. Class A 1,200 63
Sprint Corp. 27,340 1,439
- - Spyglass, Inc. 3,000 25
- - Stac, Inc. 2,670 10
- - Standard Commercial Tobacco Co. 4,363 76
Standard Financial, Inc. 1,500 37
- - Standard Microsystem 4,300 38
Standard Motor Products, Inc. 3,300 45
Standard Products Co. 3,700 93
The Standard Register Co. 1,100 34
Stanhome, Inc. 2,300 76
The Stanley Works 5,500 220
- - Staodynamics Inc. 8,300 12
- - Staples, Inc. 9,825 228
Star Banc Corp. 5,400 228
- - Starbucks Corp. 4,800 187
L. S. Starrett Co. Class A 1,400 45
- - Starter Corp. 8,200 37
Starwood Lodging Trust REIT 2,400 102
State Street Corp. 10,000 463
</TABLE>
23
<PAGE> 26
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------
MARKET
VALUE*
BALANCED INDEX FUND SHARES (000)
- --------------------------------------------------------------------------
<S> <C> <C> <C>
- - Station Casinos, Inc. 5,900 $ 49
- - Steel Dynamics, Inc. 3,100 78
- - Stein Mart, Inc. 1,500 45
- - STERIS Corp. 2,054 77
- - Sterling Commerce, Inc. 5,607 184
- - Sterling Software, Inc. 2,200 69
Stewart & Stevenson Services, Inc. 3,000 78
Stewart Enterprises, Inc. Class A 2,250 94
Stone Container Corp. 5,700 82
- - Stone Energy Corp. 2,300 63
- - Storage Technology Corp. 3,796 169
Storage USA, Inc. REIT 1,000 38
- - Strategic Distribution, Inc. 5,800 22
- - Stratosphere Corp. 6,100 2
- - Strattec Strategy Corp. 2,100 43
- - Stratus Computer, Inc. 2,300 115
Stride Rite Corp. 6,600 85
Stryker Corp. 6,300 221
Student Loan Marketing Assn. 3,500 445
Student Loan Corp. 1,200 51
Sullivan Dental Products, Inc. 1,000 18
Sumitomo Bank of California 2,700 79
- - Summit Care Corp. 4,100 56
Summit Bancorp 6,313 316
Sun Co., Inc. 4,337 134
- - Sun Microsystems, Inc. 22,800 849
SunAmerica Inc. 7,200 351
- - Sun Healthcare Group, Inc. 3,800 79
Sunbeam Corp. 4,900 185
Sundstrand Corp. 3,600 194
- - SunGard Data Systems, Inc. 2,700 126
- - Sunglass Hut International, Inc. 5,300 34
- - Sunrise Medical, Inc. 3,500 53
SunTrust Banks, Inc. 14,200 782
- - SuperGen, Inc. 600 9
Superior Industries
International, Inc. 1,400 37
Superior Surgical
Manufacturing Co., Inc. 5,900 69
SuperValu Inc. 3,500 121
- - Supreme International Corp. 2,100 33
Susquehanna Bancshares, Inc. 1,300 51
- - Swift Transportation Co., Inc. 1,800 54
- - Sybase, Inc. 3,840 57
- - Sybron International Corp. 6,004 239
- - Sykes Enterprises, Inc. 1,800 47
- - Sylvan Learning Systems, Inc. 850 29
- - Symantec Corp. 3,000 59
Symbol Technologies, Inc. 1,950 66
- - Syms Corp. 2,500 25
- - Synagro Technologies Inc. 4,100 10
Synalloy Corp. 2,000 35
- - Syncor International Corp. 2,300 24
- - Synopsys, Inc. 3,049 113
- - Synetic, Inc. 1,100 41
Synovus Financial Corp. 10,725 296
Sysco Corp. 10,600 387
- - TBC Corp. 7,800 66
TCA Cable Television, Inc. 2,500 94
TCF Financial Corp. 2,278 112
- - TCI Satellite Entertainment, Inc.
Class A 3,804 30
TECO Energy, Inc. 7,200 184
- - Tessco Technologies, Inc. 300 7
TIG Holdings, Inc. 3,500 109
TJX Cos., Inc. 10,000 264
TNP Enterprises, Inc. 1,700 39
- - TRO Learning, Inc. 3,600 32
TRW, Inc. 7,900 449
- - TST Impreso, Inc. 200 3
Tab Products 9,100 90
- - Talbert Medical
Management Holdings 179 8
Talbots Inc. 1,800 61
Tambrands, Inc. 2,200 110
- - Tandem Computers, Inc. 5,700 115
Tandy Corp. 3,400 190
Tanger Factory Outlet Centers, Inc. 1,289 35
Tappan Zee Financial, Inc. 700 12
- - Tatham Offshore, Inc. 6,300 3
Taubman Co. REIT 6,900 91
- - Tech Data Corp. 2,500 79
- - Tech-Sym Corp. 1,998 67
- - Techne 3,800 114
- - Technical Chemicals and
Products, Inc. 4,200 40
- - Technology Solutions Co. 6,000 237
- - Tecnol Medical Products Inc. 5,400 119
Tecumseh Products Co. Class A 2,200 132
Tecumseh Products Co. Class B 1,000 56
- - Telco Systems, Inc. 1,900 17
- - Tejas Gas Corp. 1,175 46
- - Tekelec 2,700 95
Tektronix, Inc. 1,600 96
- - Tel-Save Holdings, Inc. 3,600 55
- - Tele-Communications, Inc. Class A 42,542 631
- - Tele-Communications
International, Inc. Series A 6,500 100
- - Tele-Communications Liberty
Media Group Class A 6,448 153
Teleflex Inc. 2,074 65
Telephone & Data Systems, Inc. 3,500 133
- - TeleSpectrum Worldwide Inc. 2,900 20
- - Tellabs, Inc. 10,800 603
Telxon Corp. 1,800 32
- - Telular Corp. 6,400 22
Temple-Inland Inc. 3,100 167
- - Teletech Holdings Inc. 11,400 299
- - Tenet Healthcare Corp. 18,840 557
Tenneco, Inc. 11,000 497
- - Teradyne, Inc. 4,800 188
Terra Industries, Inc. 4,900 57
Texaco Inc. 16,800 1,827
Texas Industries, Inc. 2,800 74
Texas Instruments, Inc. 11,800 992
Texas Regional Bancshares, Inc. 1,400 58
Texas Utilities Co. 13,893 478
Textron, Inc. 11,200 743
- - Theragenics Corp. 3,558 81
- - Thermedics Detection Inc. 430 5
- - Thermo Cardiosystems Inc. 1,800 47
- - Thermo Electron Corp. 8,962 308
- - Thermo Fibertek, Inc. 5,550 57
- - Thermo Instrument Systems, Inc. 6,025 185
- - Thermo TerraTech, Inc. 4,100 47
- - Thermo VolTek 5,050 35
</TABLE>
24
<PAGE> 27
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------------------
<S> <C> <C> <C>
- - ThermoLase Corp. 2,200 $ 31
- - Thermotrex Corp. 2,000 50
- - Thermedics, Inc. 4,300 67
Thiokol Corp. 1,100 77
Thomas & Betts Corp. 3,300 173
- - Thompson PBE, Inc. 900 5
Thornburg Mortgage Asset Corp. 3,600 77
- - 3Com Corp. 20,425 918
- - 3DO Co. 4,800 17
- - 360 Communications Co. 7,346 126
Tidewater, Inc. 3,400 150
Tiffany & Co. 2,100 97
Timberline Software Corp. 3,717 34
Time Warner, Inc. 36,100 1,742
Times Mirror Co. 2,876 89
Times Mirror Co. Class A 6,400 354
The Timken Co. 3,200 114
Titan International, Inc. 3,000 53
- - Titanium Metals Corp. 2,000 63
- - Todd Shipyards Corp. 4,753 20
Todhunter International, Inc. 4,200 31
- - Toll Brothers, Inc. 6,100 112
Tootsie Roll Industries, Inc. 1,273 57
- - The Topps Co., Inc. 9,400 40
Torch Energy Royalty Trust 3,100 33
Torchmark Corp. 4,400 314
The Toro Co. 2,600 98
Tosco Corp. 9,300 278
- - Total Containment 2,100 5
Total Petroleum
(North America) Ltd. 2,800 28
- - Total Renal Care Holdings, Inc. 1,800 72
Total System Services, Inc. 7,600 185
Town & Country Trust REIT 4,300 66
- - Toy Biz 2,600 21
- - Toys R Us, Inc. 18,440 645
- - Tractor Supply Co. 2,700 48
- - Trak Auto Corp. 1,200 14
- - TransAct Technologies Inc. 2,900 40
- - Trans World Gaming Corp. 2,200 1
- - Transaction Systems
Architects, Inc. 1,400 48
Transamerica Corp. 4,000 374
Transatlantic Holdings 1,200 119
Transocean Offshore, Inc. 3,000 218
TransPro Inc. 900 8
- - TransTexas Gas Corp. 4,500 71
- - Transworld Healthcare Inc. 374 4
Travelers Group Inc. 40,702 2,567
Travelers Property Casualty Corp. 3,800 152
Tredegar Industries Inc. 3,900 216
- - Tremont Corp. 1,142 50
Trenwick Group Inc. 1,650 62
- - Triangle Pacific Corp. 2,500 79
- - Trident Microsystems, Inc. 1,800 20
Triad Guaranty, Inc. 1,800 82
- - Triarc Cos., Inc. Class A 2,000 41
Tribune Co. 7,600 365
TriMas Corp. 2,400 68
Trinity Industries, Inc. 2,050 65
- - TriQuint Semiconductor, Inc. 4,200 144
True North Communications 3,600 89
- - Trump Hotels & Casino
Resorts, Inc. 4,100 44
Trustco Bank 3,000 64
Trustmark Corp. 2,200 62
- - Tucson Electric Power Co. 2,100 30
Tupperware Corp. 3,300 120
20th Century Industries of CA 3,800 80
Tyco International Ltd. 10,650 741
- - Tyler Corp. 12,500 26
Tyson Foods, Inc. 13,500 257
- - UAL Corp. 3,700 265
- - UCAR International, Inc. 2,700 124
UGI Corp. Holding Co. 2,100 46
- - UICI 2,700 79
UMB Financial Corp. 1,260 55
UNR Industries, Inc. 9,000 61
UNUM Corp. 9,000 378
- - USA Waste Service 9,550 369
UST Inc. 11,800 327
USF&G Corp. 7,200 173
- - USG Corp. 2,700 99
USX Delhi Group 4,800 63
USX-Marathon Group 17,700 511
USX-U.S. Steel Group 4,900 172
- - Ultrafem, Inc. 1,800 25
Ultramar Diamond Shamrock Corp. 5,036 164
Unifi, Inc. 3,200 120
Uniforce Services Inc. 600 11
Unicom Corp. 12,900 287
Union Camp Corp. 4,300 215
Union Carbide Corp. 8,200 386
Union Electric Co. 6,500 245
Union Pacific Corp. 15,673 1,105
Union Pacific Resources
Group, Inc. 15,281 380
Union Planters Corp. 3,600 187
Union Texas Petroleum
Holdings, Inc. 5,200 109
UnionBanCal Corp. 2,500 180
- - Uniphase Corp. 1,000 58
- - Uniroyal Technology Corp. 6,900 27
Unisource Worldwide, Inc. 7,750 124
- - Unisys Corp. 8,700 66
- - Unit Corp. 16,900 176
United Asset Management Corp. 3,200 91
United Carolina Bancshare Corp. 1,200 62
United Cos. Finance Corp. 1,700 48
United Dominion Industries Ltd. 4,100 101
United Dominion Realty Trust REIT 5,500 78
United Healthcare Corp. 11,415 594
United Illuminating Co. 2,300 71
- - United International Holdings, Inc.
Class A 4,400 45
- - United Leisure Corp. 1,800 1
- - United Meridian Corp. 2,100 63
United National Bancorp 1,000 40
- - United Natural Foods, Inc. 2,800 58
- - United Payors & United
Providers, Inc. 2,900 39
- - United States Can Co. 4,291 61
- - US Airways Group Inc. 3,700 130
US Bancorp, Inc. 700 38
</TABLE>
25
<PAGE> 28
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------
MARKET
VALUE*
TOTAL STOCK MARKET PORTFOLIO SHARES (000)
- --------------------------------------------------------------------------
<S> <C> <C> <C>
U.S. Bancorp 10,115 $ 649
- - U.S. Bioscience 5,050 49
- - U.S. Cellular Corp. 4,900 145
- - U.S. Filter Corp. 4,300 117
- - U.S. Home Corp. 2,100 56
- - U.S. Industries, Inc. 3,100 110
- - U.S. Office Products Co. 3,800 116
- - U.S. Satellite Broadcasting Co., Inc.
Class A 5,200 43
U.S. Surgical Corp. 3,600 134
U S WEST Communications Group 30,400 1,146
- - U S WEST Media Group 39,700 804
U. S.Trust Corp. 2,098 98
United Technologies Corp. 15,000 1,245
United Television, Inc. 1,487 146
- - United Waste Systems, Inc. 2,100 86
United Wisconsin Services, Inc. 800 27
Unitrin, Inc. 2,400 147
- - Unitrode Corp. 3,589 181
Universal Corp. 1,800 57
- - Universal Electronics, Inc. 2,900 20
Universal Foods Corp. 1,500 57
- - Universal Health Services Class B 1,700 65
Unocal Corp. 16,100 625
- - Uranium Resources, Inc. 2,600 15
- - UroQuest Medical Corp. 6,800 43
- - USDATA Corp., Inc. 2,497 9
UtiliCorp United, Inc. 3,200 93
VF Corp. 4,100 347
- - VLSI Technology, Inc. 3,000 71
- - Valassis Communications, Inc. 2,600 62
Valhi, Inc. 6,900 56
- - Valence Technology 1,000 9
Valero Energy Corp. 2,600 94
Valley National Bancorp 2,325 63
- - ValuJet Inc. 3,000 21
Valspar Corp. 2,200 65
- - Value City Department Stores, Inc. 5,200 42
- - Value Health, Inc. 2,471 50
Value Line, Inc. 2,600 114
- - Vanguard Cellular Systems, Inc.
Class A 4,300 59
- - Vanstar Corp. 2,400 34
- - Vantive Corp. 1,500 43
Varian Associates, Inc. 2,000 109
- - Vasomedical, Inc. 8,900 15
Vastar Resources, Inc. 6,100 214
- - Vencor, Inc. 4,000 169
- - Venture Stores, Inc. 5,637 13
- - Verilink Corp. 1,700 18
- - Verity, Inc. 2,900 16
- - Versant Object Technology Corp. 2,800 17
- - Vertex Industries, Inc. 6,700 5
- - Vertex Pharmaceuticals, Inc. 1,400 53
Vesta Insurance Group, Inc. 800 35
- - Veterinary Centers of America, Inc. 1,740 21
- - Viacom Inc. Class A 1,040 31
- - Viacom Inc. Class B 21,522 646
Viad Corp. 7,000 135
- - VIASOFT, Inc. 1,000 51
- - Vicor Corp. 2,500 56
- - Vicorp Restaurants, Inc. 2,600 32
- - Video Lottery 500 3
- - Viewlogic Systems, Inc. 2,909 43
- - Viisage Technology, Inc. 4,500 80
- - Viking Office Products 4,900 93
- - VideoLan Technologies, Inc. 2,500 2
Vintage Petroleum, Inc. 1,100 34
- - Vishay Intertechnology, Inc. 3,020 87
- - VISIX Inc. 2,729 65
- - Vitalink Pharmacy Services, Inc. 1,366 26
- - Vitesse Semiconductor Corp. 3,300 108
- - Vivus, Inc. 2,200 53
- - VMARK Software, Inc. 3,602 28
- - Volt Information Sciences Inc. 600 30
Vornado Realty Trust REIT 1,500 108
Vulcan Materials Co. 2,100 165
WD-40 Co. 1,800 109
- - WFS Financial, Inc. 1,210 20
- - WHG Resorts & Casino Inc. 600 7
- - WHX Corp. 6,000 46
Wicor, Inc. 1,800 70
- - WMS Industries, Inc. 2,400 60
WPL Holdings, Inc. 1,500 42
WPS Resources Corp. 2,579 69
- - WSFS Financial Corp. 2,400 33
- - Waban, Inc. 3,900 126
Wabash National Corp. 2,550 71
Wachovia Corp. 10,500 612
- - Wackenhut Corp. 2,008 48
Wackenhut Corrections Corp. 2,400 70
- - Wainwright Bank & Trust Co. 200 2
Wal-Mart Stores, Inc. 147,000 4,970
Walbro Corp. 2,400 48
Walgreen Co. 15,800 847
- - Walker Interactive Systems, Inc. 4,300 60
- - Wall Data Inc. 3,404 90
Wallace Computer Services, Inc. 2,900 87
- - Wang Laboratories, Inc. 2,300 49
Warnaco Group 2,900 92
Warner-Lambert Co. 17,300 2,150
Washington Federal Inc. 5,097 131
Washington Gas Light Corp. 2,600 65
Washington Mutual, Inc. 7,900 472
Washington National Corp. 2,100 60
Washington Post Co. Class B 700 279
Washington REIT 4,500 80
Washington Water Power Co. 2,800 55
Waste Management Inc. 29,064 934
- - Waters Corp. 1,700 61
Watkins-Johnson Co. 1,600 49
- - Watson Pharmaceuticals, Inc. 2,300 97
Wausau Paper Mills Co. 2,186 42
Waverly, Inc. 3,382 72
- - Weatherford Enterra Inc. 3,025 116
- - Webco Industries, Inc. 1,400 9
Weingarten Realty Investors REIT 1,500 63
- - Weirton Steel 13,700 41
Weis Markets, Inc. 2,400 69
- - Wellcare Management Group, Inc. 4,000 19
Wellman, Inc. 1,700 30
- - Wellpoint Health Networks Inc.
Class A 4,168 191
Wells Fargo & Co. 5,918 1,595
- - Wellsford Real Properties Inc. 713 8
Wendy's International, Inc. 7,400 192
</TABLE>
26
<PAGE> 29
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------------------
<S> <C> <C>
Werner Enterprises, Inc. 5,550 $ 108
Wesco Financial Corp. 600 195
- - West TeleServices Corp. 4,000 59
- - Western Atlas, Inc. 3,500 256
- - Western Digital Corp. 5,200 164
Western Investment Real
Estate Trust REIT 7,000 97
Western National Corp. 3,700 99
- - Western Pacific Airlines, Inc. 700 4
Western Resources, Inc. 4,000 130
Westinghouse Air Brake Co. 2,200 44
Westinghouse Electric Corp. 48,123 1,113
- - Westpoint Stevens, Inc. 1,900 74
Westvaco Corp. 6,250 196
- - WetSeal, Inc. Class A 2,400 76
Weyerhaeuser Co. 12,600 655
Wheelabrator Technologies, Inc. 9,300 144
Whirlpool Corp. 4,400 240
- - White River 700 49
Whitman Corp. 5,800 139
Whitney Holdings 2,705 115
- - Whole Foods Market, Inc. 3,100 102
Willamette Industries, Inc. 3,400 238
Williams Cos., Inc. 10,007 438
- - Clayton Williams Energy, Inc. 5,700 66
- - Williams Sonoma, Inc. 2,692 115
Wilmington Trust Corp. 2,100 96
- - Wind River Systems 2,400 92
Windmere-Durable Holdings Inc. 2,700 44
Winn-Dixie Stores, Inc. 8,900 332
- - Winslow Furniture Co. 6,700 73
- - Winter Sports Inc. 3,625 43
- - Wireless One, Inc. 2,200 6
- - Wisconsin Central
Transportation Corp. 2,700 100
Wisconsin Energy Corp. 6,800 169
Wiser Oil Co. 400 7
Witco Chemical Corp. 3,000 114
Wolohan Lumber Co. 4,222 51
Wolverine World Wide, Inc. 5,250 159
- - Wonderware Corp. 1,100 16
- - Woolworth Corp. 7,800 187
- - World Acceptance Corp. 800 5
- - World Color Press, Inc. 2,000 48
- - WorldCom, Inc. 55,235 1,766
Worthington Foods 1,000 24
Worthington Industries, Inc. 5,050 93
Wrigley, (Wm.) Jr. Co. 7,400 496
Wyle Electronics 2,900 115
- - Wyman-Gordon Corp. 2,600 70
Xerox Corp. 20,700 1,633
- - Xiox Corp. 1,900 10
- - Xilinx, Inc. 4,500 221
XTRA Corp. 1,000 44
- - Xylan Corp. 4,100 70
- - Yahoo!, Inc. 1,700 60
York International Corp. 2,300 106
- - York Research Corp. 5,900 45
- - Young Broadcasting Inc. 1,600 52
- - Zebra Technologies Class A 2,700 76
- - Zenith Electronics Corp. 3,400 40
Zenith National Insurance Corp. 2,100 57
- - Zilog Inc. 3,500 67
Zions Bancorp 6,000 225
Zurich Reinsurance Centre
Holdings, Inc. 2,200 87
Zurn Industries, Inc. 1,900 55
- --------------------------------------------------------------------------
TOTAL COMMON STOCKS
(COST $371,646) 589,165
- --------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------
FACE
AMOUNT
(000)
- --------------------------------------------------------------------------
U.S. GOVERNMENT & AGENCY OBLIGATIONS (27.7%)
- --------------------------------------------------------------------------
<S> <C> <C>
U.S. GOVERNMENT SECURITIES (15.1%)
U.S. Treasury Bonds
7.25%, 8/15/22 325 $ 339
8.00%, 11/15/21 770 871
8.125%, 8/15/19 19,255 21,967
8.125%, 5/15/21 160 183
8.125%, 8/15/21 7,725 8,848
8.50%, 2/15/20 2,705 3,205
8.75%, 5/15/17 5,365 6,456
8.75%, 5/15/20 1,275 1,548
8.875%, 8/15/17 2,425 2,953
8.875%, 2/15/19 750 918
9.125%, 5/15/18 1,935 2,417
10.00%, 5/15/10 590 710
10.375%, 11/15/09 5,515 6,700
10.375%, 11/15/12 1,775 2,254
13.875%, 5/15/11 200 296
14.00%, 11/15/11 2,865 4,317
U.S. Treasury Notes
3.375%, 1/15/07 (Inflation Indexed
Note) 1,163 1,135
5.125%, 11/30/98 2,800 2,769
5.50%, 11/15/98 5,675 5,641
5.625%, 11/30/98 7,250 7,218
5.75%, 10/31/00 275 271
6.25%, 7/31/98 3,000 3,013
6.25%, 5/31/00 150 150
6.25%, 4/30/01 800 798
6.25%, 1/31/02 14,750 14,669
6.25%, 2/15/03 800 793
6.375%, 5/15/99 9,050 9,096
6.375%, 3/31/01 2,575 2,579
6.625%, 3/31/02 550 555
6.75%, 6/30/99 3,700 3,746
6.875%, 5/15/06 4,550 4,644
7.00%, 4/15/99 2,900 2,947
7.00%, 7/15/06 6,645 6,838
7.25%, 5/15/04 3,070 3,199
7.50%, 11/15/01 2,040 2,126
7.75%, 11/30/99 4,900 5,071
7.75%, 2/15/01 275 288
7.875%, 8/15/01 500 527
8.00%, 8/15/99 2,585 2,680
8.75%, 8/15/00 8,625 9,224
9.125%, 5/15/99 550 579
--------
154,538
--------
AGENCY BONDS AND NOTES (0.6%)
Federal Home Loan Mortgage Corp.
6.785%, 3/1/06 675 656
7.09%, 6/1/05 400 397
</TABLE>
27
<PAGE> 30
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------
FACE MARKET
AMOUNT VALUE*
BALANCED INDEX FUND (000) (000)
- --------------------------------------------------------------------------
<S> <C> <C>
Federal National Mortgage Assn.
4.95%, 9/30/98 $ 1,250 $ 1,234
5.35%, 8/12/98 1,250 1,242
5.80%, 12/10/03 1,200 1,150
6.25%, 8/12/03 850 824
7.55%, 6/10/04 850 857
MTN 8.625%, 10/18/21 100 105
--------
6,465
--------
MORTGAGE OBLIGATIONS (12.0%)
Federal Home Loan Mortgage Corp.
5.50%, 9/1/98-1/1/09 371 364
6.00%, 12/1/98-4/1/26 3,515 3,409
6.50%, 1/1/98-6/1/27 8,985 8,763
7.00%, 1/1/98-4/1/27 11,457 11,344
7.50%, 9/1/97-4/1/27 9,913 10,002
8.00%, 7/1/97-7/1/27 5,710 5,861
8.50%, 11/1/06-1/1/27 1,891 1,970
9.00%, 4/1/05-10/1/26 1,031 1,091
9.50%, 8/1/03-4/1/25 948 1,018
10.00%, 3/1/17-4/1/25 318 346
Federal National Mortgage Assn.
5.50%, 1/1/01-11/1/08 143 138
6.00%, 8/1/00-2/1/26 2,837 2,735
6.50%, 3/1/00-3/1/27 8,782 8,523
7.00%, 5/1/00-5/1/27 12,532 12,379
7.50%, 4/1/99-5/1/27 9,270 9,336
8.00%, 5/1/99-12/1/26 5,837 5,988
8.50%, 10/1/04-10/1/26 2,643 2,748
9.00%, 9/1/04-8/1/26 1,605 1,693
9.50%, 4/1/05-2/1/25 653 704
10.00%, 7/1/05-8/1/21 162 177
10.50%, 8/1/20 40 44
Government National Mortgage Assn.
6.00%, 3/15/09-5/15/26 737 700
6.50%, 9/15/08-5/15/26 3,199 3,089
7.00%, 5/15/08-3/15/27 7,164 7,073
7.50%, 5/15/08-6/15/27 8,040 8,095
8.00%, 4/15/02-3/15/27 7,582 7,787
8.50%, 7/15/01-1/15/27 2,703 2,824
9.00%, 2/15/04-6/15/27 2,641 2,810
9.50%, 9/15/18-12/15/25 1,065 1,153
10.00%, 10/15/17-2/15/26 566 622
10.50%, 9/15/15-9/15/19 107 119
11.00%, 7/15/13-12/15/15 71 79
12.00%, 2/15/14 63 72
--------
123,056
--------
- --------------------------------------------------------------------------
TOTAL U.S. GOVERNMENT & AGENCY OBLIGATIONS
(COST $282,829) 284,059
- --------------------------------------------------------------------------
CORPORATE BONDS (10.2%)
- --------------------------------------------------------------------------
ASSET-BACKED (1.6%)
Chase Manhattan Credit Card
Master Trust
7.40%, 5/15/00 138 138
Discover Card Master Trust
5.40%, 11/16/01 3,000 2,975
First Chicago Master Trust
6.25%, 8/15/99 567 567
First Deposit Master Trust
5.75%, 6/15/01 2,500 2,502
6.05%, 8/15/02 2,500 2,504
MBNA Master Credit Card Trust
6.20%, 8/15/99 567 567
Sears Credit Card Master Trust
7.25%, 7/16/01 333 335
8.10%, 6/15/04 2,500 2,610
Standard Credit Card Master Trust
5.90%, 2/7/01 1,000 995
6.80%, 4/7/01 500 504
7.875%, 1/7/00 2,500 2,557
--------
16,254
--------
FINANCE (3.3%)
American Express Credit Corp.
8.50%, 6/15/99 175 182
American General Finance Corp.
5.875%, 7/1/00 450 441
8.00%, 2/15/00 1,000 1,033
Associates Corp.
6.25%, 3/15/99 500 500
7.50%, 4/15/02 350 360
AVCO Financial Services
5.50%, 5/1/98 500 499
BankAmerica Corp.
7.50%, 10/15/02 200 206
10.00%, 2/1/03 200 228
Bear Stearns Co.
6.625%, 1/15/04 300 293
Camden Property Trust
7.00%, 11/15/06 750 727
Chrysler Finance Corp.
5.375%, 10/15/98 500 496
5.625%, 1/15/99 1,425 1,413
CIT Group Holdings
6.625%, 6/15/05 350 341
CoreStates Capital Corp.
6.625%, 3/15/05 700 680
Countrywide Funding
MTN 7.31%, 8/28/00 400 407
First Chicago Corp.
11.25%, 2/20/01 400 457
First Union Corp.
8.125%, 6/24/02 500 526
Fleet Financial Group, Inc.
6.875%, 3/1/03 400 398
7.125%, 4/15/06 500 497
Ford Motor Credit Corp.
8.20%, 2/15/02 600 631
General Motors Acceptance Corp.
7.125%, 6/1/99 500 507
9.625%, 12/15/01 600 663
Great Western Finance
6.125%, 6/15/98 1,400 1,401
6.375%, 7/1/00 1,000 992
Household Finance Corp.
7.65%, 5/15/07 350 361
Lehman Brothers Holdings
6.90%, 1/29/01 2,200 2,203
Mellon Financial Corp.
6.50%, 12/1/97 200 201
7.625%, 11/15/99 350 359
</TABLE>
28
<PAGE> 31
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------
FACE MARKET
AMOUNT VALUE*
(000) (000)
- --------------------------------------------------------------------------
<S> <C> <C>
Merrill Lynch & Co., Inc.
6.50%, 4/1/01 $ 2,000 $ 1,987
8.30%, 11/1/02 125 133
9.00%, 5/1/98 250 256
NCNB Corp.
9.50%, 6/1/04 275 311
NationsBank Corp.
6.50%, 3/15/06 300 288
7.00%, 9/15/01 1,500 1,513
NationsBank Texas
6.75%, 8/15/00 1,200 1,206
Orion Capital Corp.
7.25%, 7/15/05 1,000 992
PaineWebber Group, Inc.
7.00%, 3/1/00 750 755
Republic New York Corp.
7.75%, 5/15/02 500 519
7.75%, 5/15/09 300 314
Salomon, Inc.
6.70%, 12/1/98 1,500 1,508
Sears Roebuck Acceptance Corp.
6.125%, 1/15/06 350 329
6.75%, 9/15/05 400 392
Security Capital Pacific Trust
8.05%, 4/1/17 350 360
Smith Barney Holdings, Inc.
5.875%, 2/1/01 700 681
6.875%, 6/15/05 200 196
7.98%, 3/1/00 1,300 1,343
SunTrust Banks, Inc.
7.375%, 7/1/06 600 610
Travelers/Aetna Property Casualty Corp.
7.75%, 4/15/26 450 455
United Dominion Realty Trust, Inc.
7.25%, 1/15/07 700 700
USF&G Corp.
8.375%, 6/15/01 1,000 1,049
U S WEST Financial
MTN 8.85%, 9/20/99 500 524
Wells Fargo & Co.
6.875%, 4/1/06 600 590
--------
34,013
--------
INDUSTRIAL (4.2%)
Anheuser-Busch Cos., Inc.
7.10%, 6/15/07 1,100 1,103
7.375%, 7/1/23 125 121
8.625%, 12/1/16 86 90
Applied Materials, Inc.
8.00%, 9/1/04 125 131
Archer-Daniels-Midland Co.
8.875%, 4/15/11 295 342
Auburn Hills
12.00%, 5/1/20 175 261
Black & Decker Corp.
6.625%, 11/15/00 1,000 995
7.50%, 4/1/03 1,000 1,019
Bowater, Inc.
9.375%, 12/15/21 500 591
Burlington Northern Santa Fe Corp.
6.375%, 12/15/05 150 143
6.875%, 2/15/16 500 469
7.00%, 12/15/25 100 93
CSX Corp.
8.625%, 5/15/22 100 110
Chrysler Corp.
7.45%, 2/1/2097 300 292
Conrail Corp.
9.75%, 6/15/20 120 147
Cyprus Minerals
6.625%, 10/15/05 600 576
Deere & Co.
8.50%, 1/9/22 100 111
Delta Airlines, Inc.
(Equipment Trust Certificates)
8.54%, 1/2/07 398 422
Eastman Chemical Co.
6.375%, 1/15/04 300 291
7.25%, 1/15/24 450 431
Ford Capital BV
9.00%, 8/15/98 600 619
9.50%, 6/1/10 100 119
Fortune Brands
7.875%, 1/15/23 100 103
Gannett Co.
5.85%, 5/1/00 1,000 982
General Motors Corp.
9.625%, 12/1/00 2,950 3,215
W.R. Grace & Co.
7.40%, 2/1/00 1,350 1,376
8.00%, 8/15/04 550 576
International Business Machines Corp.
7.125%, 12/1/2096 425 402
International Paper Co.
7.875%, 8/1/06 100 105
Kroger Co.
8.15%, 7/15/06 500 530
Lockheed Martin Corp.
6.85%, 5/15/01 1,500 1,501
7.70%, 6/15/08 1,300 1,354
May Department Stores Co.
9.75%, 5/16/04 120 145
McDonald's Corp.
6.75%, 2/15/03 300 298
MedPartners Inc.
7.375%, 10/1/06 300 301
Mobil Corp.
7.625%, 2/23/33 175 171
ESOP 9.17%, 2/29/00 629 654
News America Holdings
7.50%, 3/1/00 1,000 1,019
8.50%, 2/15/05 700 746
9.125%, 10/15/99 3,500 3,682
Noranda, Inc.
7.50%, 7/15/03 500 511
Norfolk Southern Corp.
6.875%, 5/1/01 2,250 2,263
7.70%, 5/15/17 100 102
7.90%, 5/15/2097 100 103
Northrop Grumman Corp.
7.00%, 3/1/06 500 492
9.375%, 10/15/24 650 719
Occidental Petroleum Corp.
8.50%, 11/9/01 1,200 1,264
8.50%, 9/15/04 500 515
</TABLE>
29
<PAGE> 32
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------
FACE MARKET
AMOUNT VALUE*
TOTAL STOCK MARKET PORTFOLIO (000) (000)
- --------------------------------------------------------------------------
<S> <C> <C>
J.C. Penney & Co., Inc.
6.875%, 6/15/99 $ 750 $ 757
7.125%, 11/15/23 100 94
9.05%, 3/1/01 300 323
Philip Morris Cos., Inc.
8.25%, 10/15/03 200 211
Phillips Petroleum Co.
9.00%, 6/1/01 1,000 1,073
Praxair, Inc.
6.25%, 6/30/00 1,250 1,235
6.75%, 3/1/03 1,000 992
6.90%, 11/1/06 350 347
Quaker State Corp.
6.625%, 10/15/05 600 579
Seagate Technology, Inc.
7.45%, 3/1/37 675 676
Sears, Roebuck & Co.
6.50%, 6/15/00 1,400 1,396
Tenneco, Inc.
10.075%, 2/1/01 850 938
Texaco Capital Corp.
7.50%, 3/1/43 150 147
8.875%, 9/1/21 100 116
Texas Instruments Inc.
6.125%, 2/1/06 600 566
Union Carbide Corp.
6.75%, 4/1/03 500 495
7.75%, 10/1/2096 100 100
7.875%, 4/1/23 200 204
Union Oil of California
6.375%, 2/1/04 150 145
9.125%, 2/15/06 160 181
Union Pacific Corp.
8.625%, 5/15/22 225 241
Whirlpool Corp.
9.00%, 3/1/03 200 219
--------
42,640
--------
UTILITIES (1.1%)
Alabama Power Co.
8.75%, 12/1/21 168 174
Arizona Public Service Co.
7.25%, 8/1/23 400 377
AT&T Corp.
8.35%, 1/15/25 210 219
Baltimore Gas & Electric Co.
8.375%, 8/15/01 800 847
Carolina Power & Light Co.
6.875%, 8/15/23 275 252
Coastal Corp.
7.75%, 10/15/35 750 750
Consolidated Edison Co.
of New York, Inc.
6.625%, 2/1/02 1,000 994
Enron Corp.
7.125%, 5/15/07 300 299
9.65%, 5/15/01 400 437
GTE Corp.
7.83%, 5/1/23 500 496
Houston Lighting & Power Co.
8.75%, 3/1/22 150 159
Illinois Power Co.
7.50%, 7/15/25 500 474
MCI Communications Corp.
7.50%, 8/20/04 450 466
7.75%, 3/23/25 350 350
Michigan Bell Telephone Co.
7.50%, 2/15/23 175 172
New England Telephone
& Telegraph Co.
9.00%, 8/1/31 1,000 1,082
New York Telephone Co.
7.00%, 8/15/25 200 185
Northern Telecom Ltd.
6.875%, 9/1/23 500 463
Pacific Bell Telephone Co.
7.25%, 7/1/02 275 281
Southern Bell Telephone Co.
7.625%, 3/15/13 550 540
Southwestern Bell Telephone Co.
7.25%, 7/15/25 400 383
7.625%, 10/1/13 175 172
7.625%, 3/1/23 725 717
Texas Utilities Co.
7.875%, 3/1/23 225 223
8.125%, 2/1/02 400 421
Union Electric Power Co.
7.65%, 7/15/03 250 260
Virginia Electric & Power Co.
6.625%, 4/1/03 250 248
--------
11,441
- --------------------------------------------------------------------------
TOTAL CORPORATE BONDS
(COST $104,461) 104,348
- --------------------------------------------------------------------------
FOREIGN & INTERNATIONAL AGENCY BONDS
(U.S. DOLLAR-DENOMINATED)(1.5%)
- --------------------------------------------------------------------------
Asian Development Bank
9.125%, 6/1/00 500 535
Bank of Nova Scotia
6.875%, 5/1/03 250 249
Province of British Columbia
7.00%, 1/15/03 230 233
British Columbia Hydro
12.50%, 9/1/13 500 554
Finland Global Bond
7.875%, 7/28/04 850 905
Grand Metropolitan Investment Corp.
9.00%, 8/15/11 250 290
Hanson Overseas
7.375%, 1/15/03 600 611
Inter-American Development Bank
8.50%, 3/15/11 175 199
KFW International Finance, Inc.
7.20%, 3/15/14 300 301
7.625%, 2/15/04 400 418
8.85%, 6/15/99 550 576
Korean Development Bank
6.625%, 11/21/03 850 827
7.25%, 5/15/06 750 745
Province of Manitoba
7.75%, 2/1/02 825 859
8.75%, 5/15/01 300 321
9.50%, 10/1/00 160 173
9.625%, 12/1/18 400 497
</TABLE>
30
<PAGE> 33
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------
FACE MARKET
AMOUNT VALUE*
(000) (000)
- --------------------------------------------------------------------------
<S> <C> <C>
National Westminster Bancorp Inc.
9.375%, 11/15/03 $ 500 $ 562
Province of New Brunswick
8.75%, 5/1/22 400 463
New Zealand Government
8.75%, 12/15/06 200 227
Province of Newfoundland
7.32%, 10/13/23 600 581
Noranda, Inc.
8.625%, 7/15/02 550 588
Province of Ontario
7.375%, 1/27/03 175 180
7.75%, 6/4/02 275 288
Republic of Portugal
5.75%, 10/8/03 1,000 954
Province of Saskatchewan
8.00%, 7/15/04 1,600 1,697
Kingdom of Thailand
8.25%, 3/15/02 1,200 1,259
- --------------------------------------------------------------------------
TOTAL FOREIGN & INTERNATIONAL AGENCY BONDS
(COST $15,188) 15,092
- --------------------------------------------------------------------------
TEMPORARY CASH INVESTMENTS (2.8%)
- --------------------------------------------------------------------------
U.S. TREASURY BILLS
(2) 5.08%, 7/1/97 400 400
(2) 5.21%, 7/24/97 1,000 997
REPURCHASE AGREEMENT
Collateralized by U.S. Government
Obligations in a Pooled
Cash Account
5.93%, 7/1/97 26,779 26,779
- --------------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(COST $28,175) 28,176
- --------------------------------------------------------------------------
TOTAL INVESTMENTS (99.7%)
(COST $802,299) 1,020,840
- --------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (0.3%)
- --------------------------------------------------------------------------
Other Assets--Notes B and E 19,918
Liabilities--Note E (16,573)
--------
3,345
- --------------------------------------------------------------------------
NET ASSETS (100%)
- --------------------------------------------------------------------------
Applicable to 67,169,353 outstanding
$.001 par value shares
(authorized 1,000,000,000 shares) $1,024,185
==========================================================================
NET ASSET VALUE PER SHARE $15.25
==========================================================================
</TABLE>
* See Note A in Notes to Financial Statements.
- - Non-Income Producing Security.
(1) The combined market value of common stocks and S&P 500 Index futures
contracts, S&P Midcap 400 Index futures contracts, and Russell 2000 Index
futures contracts represents 60.0% of net assets.
(2) Securities with an aggregate value of $1,397,000 have been segregated as
initial margin for open futures contracts.
ADR--American Depository Receipt.
ARS--American Registered Share.
MTN--Medium-Term Note.
REIT--Real Estate Investment Trust.
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------
AT JUNE 30, 1997, NET ASSETS CONSISTED OF:
- --------------------------------------------------------------------------
AMOUNT PER
(000) SHARE
- --------------------------------------------------------------------------
<S> <C> <C>
Paid in Capital $794,366 $11.83
Undistributed Net
Investment Income 5,327 .08
Accumulated Net
Realized Gains 5,969 .09
Unrealized Appreciation
(Depreciation)--Note D
Investment Securities 218,541 3.25
Futures Contracts (18) --
- --------------------------------------------------------------------------
NET ASSETS $1,024,185 $15.25
==========================================================================
</TABLE>
31
<PAGE> 34
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
SIX MONTHS ENDED JUNE 30, 1997
(000)
- ------------------------------------------------------------------------------------
<S> <C>
INVESTMENT INCOME
INCOME
Dividends $ 4,408
Interest 13,019
----------
Total Income 17,427
----------
EXPENSES
The Vanguard Group--Note B
Investment Advisory Services 38
Management and Administrative 603
Marketing and Distribution 125
Taxes (other than income taxes) 33
Custodian Fees 54
Auditing Fees 4
Shareholders' Reports 47
Annual Meeting and Proxy Costs 1
Directors' Fees and Expenses 1
----------
Total Expenses 906
- -------------------------------------------------------------------------------------
NET INVESTMENT INCOME 16,521
- -------------------------------------------------------------------------------------
REALIZED NET GAIN
Investment Securities Sold 88
Futures Contracts 4,307
- -------------------------------------------------------------------------------------
REALIZED NET GAIN 4,395
- -------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Investment Securities 82,114
Futures Contracts (311)
- -------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) 81,803
- -------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $102,719
=====================================================================================
</TABLE>
32
<PAGE> 35
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
----------------------------
SIX MONTHS YEAR
ENDED ENDED
JUN. 30, 1997 DEC. 31, 1996
(000) (000)
- --------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE IN NET ASSETS
OPERATIONS
Net Investment Income $ 16,521 $ 24,683
Realized Net Gain 4,395 18,388
Change in Unrealized Appreciation (Depreciation) 81,803 46,006
----------------------------
Net Increase in Net Assets Resulting from Operations 102,719 89,077
----------------------------
DISTRIBUTIONS
Net Investment Income (12,905) (26,003)
Realized Capital Gain (4,696) (6,552)
----------------------------
Total Distributions (17,601) (32,555)
----------------------------
NET EQUALIZATION CREDITS--Note A 622 1,844
----------------------------
CAPITAL SHARE TRANSACTIONS(1)
Issued 173,085 335,694
Issued in Lieu of Cash Distributions 16,446 30,251
Redeemed (77,329) (188,183)
----------------------------
Net Increase from Capital Share Transactions 112,202 177,762
- --------------------------------------------------------------------------------------
Total Increase 197,942 236,128
- --------------------------------------------------------------------------------------
NET ASSETS
Beginning of Period 826,243 590,115
----------------------------
End of Period $1,024,185 $826,243
======================================================================================
(1)Shares Issued (Redeemed)
Issued 12,085 25,404
Issued in Lieu of Cash Distributions 1,135 2,219
Redeemed (5,417) (14,458)
----------------------------
Net Increase in Shares Outstanding 7,803 13,165
======================================================================================
</TABLE>
33
<PAGE> 36
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 SIX MONTHS ENDED ----------------------------------------------------
THROUGHOUT EACH PERIOD JUNE 30, 1997 1996 1995 1994 1993 DEC. 31, 1992
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $13.92 $12.77 $10.34 $10.91 $10.31 $10.00
- ---------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .260 .50 .45 .41 .39 .08
Net Realized and Unrealized Gain (Loss)
on Investments 1.345 1.26 2.48 (.58) .63 .31
------------------------------------------------------------------------
Total from Investment Operations 1.605 1.76 2.93 (.17) 1.02 .39
------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.200) (.49) (.45) (.40) (.39) (.08)
Distributions from Realized Capital Gains (.075) (.12) (.05) -- (.03) --
------------------------------------------------------------------------
Total Distributions (.275) (.61) (.50) (.40) (.42) (.08)
- ---------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $15.25 $13.92 $12.77 $10.34 $10.91 $10.31
=====================================================================================================================
TOTAL RETURN** 11.64% 13.95% 28.64% -1.56% 10.00% 3.69%
=====================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $1,024 $826 $590 $403 $367 $109
Ratio of Total Expenses to
Average Net Assets 0.20%+ 0.20% 0.20% 0.20% 0.20% 0.22%+
Ratio of Net Investment Income to
Average Net Assets 3.62%+ 3.69% 3.85% 3.86% 3.53% 3.76%+
Portfolio Turnover Rate 15%+ 37%++ 16% 16% 25% 17%
Average Commission Rate Paid $.0208 $.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%.
34
<PAGE> 37
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, S&P Midcap 400
Index futures contracts, and Russell 2000 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.
35
<PAGE> 38
B. The Vanguard Group furnishes at cost investment advisory, corporate
management, administrative, marketing, and distribution services. The costs of
such services are allocated to the Fund under methods approved by the board of
directors. At June 30, 1997, the Fund had contributed capital of $75,000 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 six months ended June 30, 1997, the Fund purchased $62,054,000
of investment securities and sold $20,380,000 of investment securities other
than U.S. government securities and temporary cash investments. Purchases and
sales of U.S. government securities were $127,783,000 and $47,831,000,
respectively.
D. At June 30, 1997, net unrealized appreciation of investment securities for
financial reporting and federal income tax purposes was $218,541,000,
consisting of unrealized gains of $237,824,000 on securities that had risen in
value since their purchase and $19,283,000 in unrealized losses on securities
that had fallen in value since their purchase.
At June 30, 1997, the aggregate settlement value of open futures contracts
expiring in September 1997, and the related unrealized appreciation
(depreciation) were:
<TABLE>
<CAPTION>
---------------------------------------------------------------------
(000)
-------------------------------
AGGREGATE UNREALIZED
NUMBER OF SETTLEMENT APPRECIATION
FUTURES CONTRACTS LONG CONTRACTS VALUE (DEPRECIATION)
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<S> <C> <C> <C>
S&P 500 Index 40 17,805 (54)
S&P Midcap 400 Index 39 5,647 27
Russell 2000 Index 9 1,795 9
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</TABLE>
E. The market value of securities on loan to broker/dealers at June 30, 1997,
was $6,494,000, for which the Fund held cash collateral of $6,816,000.
36
<PAGE> 39
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.; Managing Director of Global Health Care Partners/DLJ Merchant
Banking Partners; Director of Sun Company, Inc. and Westinghouse
Electric Corp.
BARBARA BARNES HAUPTFUHRER, Director of The Great Atlantic and Pacific Tea Co.,
Ikon Business Solutions, Inc., Raytheon Co., Knight-Ridder, Inc., and
Massachusetts Mutual Life Insurance Co.; Trustee Emerita of Wellesley
College.
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 Investor Group.
RALPH K. PACKARD, Senior Vice President and
Chief Financial Officer.
[THE 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
http://www.vanguard.com [email protected]
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
can be obtained directly from The Vanguard Group.
(C) 1997 Vanguard Marketing Corporation, Distributor
<PAGE> 40
[PHOTO]
THE VANGUARD FAMILY OF FUNDS
EQUITY AND BALANCED FUNDS
GROWTH AND INCOME FUNDS
Vanguard/Windsor Fund
Vanguard/Windsor II
Vanguard Equity Income Fund
Vanguard Growth and Income Portfolio
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
Vanguard Horizon Fund
INTERNATIONAL FUNDS
Vanguard International Growth Portfolio
Vanguard International Value Portfolio
INDEX FUNDS
Vanguard Index Trust
Vanguard Tax-Managed Fund
Vanguard Balanced Index Fund
Vanguard Bond Index Fund
Vanguard International Equity Index Fund
Vanguard Total International Portfolio
FIXED-INCOME FUNDS
MONEY MARKET FUNDS
Vanguard Money Market Reserves
Vanguard Treasury Money Market Portfolio
Vanguard Admiral Funds
INCOME FUNDS
Vanguard Fixed Income Securities Fund
Vanguard Admiral Funds
Vanguard Preferred Stock Fund
TAX-EXEMPT MONEY MARKET FUNDS
Vanguard Municipal Bond Fund
Vanguard State Tax-Free Funds
(CA, NJ, OH, PA)
TAX-EXEMPT INCOME FUNDS
Vanguard Municipal Bond Fund
Vanguard State Tax-Free Funds
(CA, FL, NJ, NY, OH, PA)
Q022-6/97
