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VANGUARD
BALANCED INDEX
FUND
Annual Report - December 31, 1997
[PHOTO]
[THE VANGUARD GROUP LOGO]
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[PHOTO]
OUR CREW MAKES THE DIFFERENCE
Throughout our history, The Vanguard Group has received considerable attention
as the low-cost provider of mutual funds. While such accolades are gratifying,
we are most proud, not of our low operating expenses or the billions of dollars
we manage, but of our sterling reputation created by the Vanguard crew.
We recognize that it is our crew members--more than 6,000 highly
motivated men and women--who form the cornerstone of our operations. As with
any cornerstone, we could not survive long--let alone prosper--without it.
That's why we chose this fiscal year's annual report to celebrate the spirit,
enthusiasm, and achievements of our crew. (We call those who work at Vanguard
crew members, not employees, because they operate as a team to accomplish our
mission of serving you, our clients.)
But while we prize the collective contributions of our crew, we also
take time to recognize the importance of the individual. Each calendar quarter,
we present our Award For Excellence to a handful of crew members who have
demonstrated particular excellence in the performance of their jobs and who
embody "The Vanguard Spirit." Our report cover shows only a few of the more
than 300 crew members who have received this distinction since 1984.
They, along with the rest of our valiant crew, look forward to serving
you in the years ahead.
[PHOTO] [PHOTO]
John C. Bogle John J. Brennan
Chairman President
<TABLE>
<CAPTION>
CONTENTS
<S> <C>
A MESSAGE TO OUR SHAREHOLDERS........ 1
THE MARKETS IN PERSPECTIVE........... 4
PORTFOLIO PROFILE.................... 6
PERFORMANCE SUMMARY.................. 10
FINANCIAL STATEMENTS................. 11
REPORT OF INDEPENDENT ACCOUNTANTS.... 44
</TABLE>
All comparative mutual fund data are from Lipper Analytical Services, Inc., or
Morningstar unless otherwise noted.
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FELLOW SHAREHOLDER,
Vanguard Balanced Index Fund provided an exceptional total return of 22.2%
during 1997, as returns from both the stock and bond markets exceeded
historical averages.
Our Fund's total return (capital change plus reinvested dividends) for the
twelve months ended December 31 surpassed that of the average balanced fund by
a comfortable 3.2 percentage points. We also did a solid job of tracking our
target index, a benchmark composed of two unmanaged market indexes in a 60%/40%
ratio of stocks to bonds. The indexes represented in the composite 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 U.S. taxable
bond market. The adjacent table summarizes our results.
<TABLE>
<CAPTION>
- ----------------------------------------------------------
TOTAL RETURNS
YEAR ENDED
DECEMBER 31, 1997
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<S> <C>
Vanguard Balanced Index Fund +22.2%
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Average Balanced Fund +19.0%
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Balanced Composite Index* +22.5%
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Wilshire 5000 Index +31.3%
Lehman Aggregate Bond Index + 9.7
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</TABLE>
*Made up of two unmanaged benchmarks, weighted 60% Wilshire 5000 Index and 40%
Lehman Aggregate Bond Index.
Our return is based on an increase in net asset value from $13.92 per
share on December 31, 1996, to $16.29 per share on December 31, 1997, with the
latter figure adjusted for dividends of $0.53 per share paid from net
investment income and distributions totaling $0.145 per share paid from net
realized capital gains. Based on the Fund's net asset value at year-end, its
annualized yield was 3.4%.
THE FINANCIAL MARKETS IN BRIEF
The historic bull market in U.S. stocks that began in August 1982
continued in impressive fashion during 1997. The economy, employment, and
corporate earnings all grew solidly, and consumer confidence strengthened. Yet
interest rates declined and inflation decelerated. In short, the domestic
economic news couldn't have been better. The sole dark cloud--severe turmoil in
Asian economies and currencies--only briefly darkened the stock market's mood.
After a sharp decline in October--the Wilshire 5000 Index tumbled -6.6% on
October 27 alone--stocks resumed their climb, and the Index produced a +31.3%
return for the year.
Long-term interest rates rose through the first quarter of 1997 on
expectations that the economy's robust growth would cause inflation to
accelerate. The yield on the benchmark 30-year U.S. Treasury bond peaked at
7.17% in mid-April, but drifted lower throughout the year as inflation news got
better, not worse. The 30-year Treasury's yield ended the year at 5.92%, 72
basis points below its level of 6.64% at the end of 1996. Lower rates boosted
prices of long-term bonds, and the Lehman Aggregate Bond Index earned +9.7% for
the year.
Short-term interest rates bottomed out in June and began an irregular
climb that was apparently due to sales of short-term Treasuries by foreign
central banks and investors. At year-end, the yield on three-month U.S.
Treasury bills was 5.35%, up just a bit from 5.17% when 1997 began. The spread
between yields on three-month T-bills and 30-year Treasury bonds was a slim
0.57 percentage point on December 31. Such a "flattening" of the yield curve
has more often than not been a precursor of a slowdown in the economy.
1
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1997 PERFORMANCE OVERVIEW
The equity portion of Balanced Index Fund during 1997 provided a +31.3% total
return, riding the U.S. stock market's rising tide in precise conformity with
the Wilshire 5000 Index. The fixed-income portion of the Fund achieved a total
return of +9.5%, a shade less than the +9.7% gain of its benchmark, the Lehman
Aggregate Bond Index.
The Wilshire 5000 Index comprises more than 7,000 stocks, which represent
virtually the entire U.S. stock market. The Lehman Aggregate Bond Index
represents most of the U.S. investment-grade taxable bond market (more than
6,300 individual bond issues). We attempt to replicate the performance of each
index by purchasing representative samples of their underlying securities. The
Fund holds approximately 500 of the largest-capitalization stocks in the
Wilshire 5000, along with issues of some 2,000 smaller companies selected on
the basis of industry weightings, market capitalizations, and such fundamental
characteristics as price/earnings ratios. Our fixed-income holdings are
selected to reflect the Lehman Index weightings of such major asset categories
as U.S. Treasury and agency securities, corporate bonds, and mortgage-backed
securities. Because we use sampling techniques, neither the stock nor bond
holdings of Balanced Index Fund are expected to match their benchmark returns
precisely--though the stock portion did so during 1997.
Once again, for the fourth consecutive year, we outpaced the return of the
average balanced fund. The margin in our favor was a solid 3.2 percentage
points. Our slightly lower risk profile failed to hold us back in the rousing
bull market, and our sector diversification reflected a pattern quite typical
of our average peer. Thus, it would appear that our actively managed
competitors selected individual stocks that failed to match the return on our
passively managed index-based selections.
LIFETIME PERFORMANCE OVERVIEW
During its lifetime of just over five years, Balanced Index Fund has performed
extremely well, both in terms of its absolute return--averaging +14.6% per
year--and in relation to competing mutual funds and our benchmark Composite
Index.
The following table presents the returns earned by the Fund and our key
comparative standards since its inception on November 9, 1992, and shows how an
initial investment of $10,000 in each would have grown over the period,
assuming reinvestment of income dividends and capital gains distributions. We
stayed ahead of the average balanced fund by 1.3 percentage points a year, an
edge that amounted over the five years to $1,147, or 11.5% of the initial
$10,000 investment.
<TABLE>
<CAPTION>
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TOTAL RETURNS
NOV. 9, 1992, TO DEC. 31, 1997
--------------------------------------
AVERAGE FINAL VALUE OF
ANNUAL A $10,000
RATE INITIAL INVESTMENT
- ------------------------------------------------------------------------
<S> <C> <C>
Vanguard Balanced
Index Fund +14.6% $20,121
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Average Balanced Fund +13.3% $18,974
- ------------------------------------------------------------------------
Balanced Composite Index +14.9% $20,468
- ------------------------------------------------------------------------
</TABLE>
Our margin of superiority over competitors is largely due to the extremely
low cost of Balanced Index Fund. Our annual operating expenses in 1997 amounted
to 0.20% of average net assets, less than one-sixth the 1.32% expense ratio
charged by the average balanced fund. The buy-and-hold nature of the indexing
approach also means that we incur lower transaction costs than actively managed
funds (to say nothing of exposing our shareholders to lower taxes). We expect
these cost advantages to endure, giving us a substantial head start each year
in our attempt to provide superior returns. It is certainly no coincidence that
our 1.1-percentage-point expense ratio advantage accounts for some 80%
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of our 1.3-percentage-point average annual performance advantage. As investors
are gradually learning, cost matters.
Of course, even our small expense ratio puts us at a disadvantage versus
our Balanced Composite Index, which exists only on paper and therefore is
subject to none of the operating or transaction costs that actual mutual funds
incur. The burden of real-world expenses explains why our return came up a bit
short--0.3 percentage point annually--of the Index return.
As pleased as we are with the Fund's performance, we caution that its
returns so far have been much higher than can be expected over the long haul.
The U.S. financial markets have produced remarkable returns since the Fund's
inception on November 9, 1992: The Wilshire 5000 Index has earned an average of
+19.6% annually, while the Lehman Aggregate Bond Index has returned a solid
+8.0% per year. These returns are well above long-term historical norms of
+11.0% for stocks and +5.2% for bonds.
In this unbelievably favorable environment, the heavier the exposure most
funds have to stocks, the more they have earned. This is what one expects over
the long term, because higher returns have historically been the trade-off for
the greater risks associated with stocks. However, we note that those investors
relatively new to mutual funds have yet to experience a serious or prolonged
slump in stock prices. Although we are not predicting such a downturn, we
emphasize that stock prices can decline suddenly and steeply, just as they can
make impressive gains.
IN SUMMARY
While investors have every reason to be grateful for the recent bounty of the
financial markets, they also have reason to regard the future with some
caution. Lengthy bull markets can breed complacency and cause investors to
discount the risks inherent in investing. Make no mistake--the markets will
from time to time demonstrate these risks.
The greatest risk, however, is failure to invest in the first place. We
believe that market risks can be partially offset by holding a balanced
portfolio that includes not only stock funds, but also bond funds and money
market funds. Indeed, such an approach is the foundation of Balanced Index
Fund. Investors who maintain balanced portfolios allocated in accordance with
their time horizon, financial situation, and tolerance for market volatility
should be well prepared to "stay the course" toward their investment
objectives, no matter what the future has in store.
/s/ JOHN C. BOGLE /s/ JOHN J. BRENNAN
John C. Bogle John J. Brennan
Chairman of the Board President
January 23, 1998
3
<PAGE> 6
THE MARKETS IN PERSPECTIVE
Year Ended December 31, 1997
U.S. EQUITY MARKETS
Despite some year-end rockiness, 1997 again provided U.S. equity investors with
exceptional returns, as illustrated by the 33.4% advance of the S&P 500 Index.
Investors' mettle was tested several times, however, and most severely by the
upheavals that devastated a number of Asian markets in the fourth quarter.
Beginning in late October, the U.S. market grew increasingly volatile, a direct
result of investors' struggle to understand the nature and implications of
Asia's economic turmoil. By the end of the year, it appeared that a new
consensus was emerging, grounded in two basic beliefs: (1) that the collapse of
currencies in the Far East would help keep inflation tame in the United States
and (2) that slower growth in Asia would most likely lead to weaker corporate
profits over the next several years.
As the dust continued to settle, many investors sought havens traditional
in periods of high uncertainty: large-capitalization issues and particularly
the "defensive" sectors of the stock market, such as utilities, consumer
staples, and health care. The closing weeks of 1997 saw a broad advance in
these "safe" sectors, with utilities gaining 20.1% and consumer staples 10.4%
in the last quarter. By contrast, more economically sensitive sectors were
thrashed in the wake of the Asian crisis, with technology issues falling 12.3%
and producer durables down 9.0% over the three months. After posting strong
results in the third quarter, small-company stocks also suffered in the fourth,
falling 3.3%.
<TABLE>
<CAPTION>
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AVERAGE ANNUALIZED RETURNS
PERIODS ENDED DECEMBER 31, 1997
-----------------------------------
1 YEAR 3 YEARS 5 YEARS
- -------------------------------------------------------------------------
<S> <C> <C> <C>
EQUITY
S&P 500 Index 33.4% 31.2% 20.3%
Russell 2000 Index 22.4 22.3 16.4
MSCI EAFE Index 2.1 6.6 11.7
- -------------------------------------------------------------------------
FIXED INCOME
Lehman Aggregate Bond Index 9.7% 10.4% 7.5%
Lehman 10-Year Municipal Bond Index 9.2 10.2 7.6
Salomon Brothers Three-Month
U.S. Treasury Bill Index 5.3 5.4 4.7
- -------------------------------------------------------------------------
OTHER
Consumer Price Index 1.7% 2.5% 2.6%
- -------------------------------------------------------------------------
</TABLE>
The year-end excitement did not detract from 1997's overall record as a
stellar year for U.S. stock investors. The best-performing sector was financial
services, which rose 46.9%. This sector benefited from a number of factors,
including the strength of the economy, the vibrant financial markets, and
merger activity. By contrast, the commodity-oriented materials & processing
sector posted a gain of "only" 12.3%--in itself more than a percentage point
above the long-term average return from common stocks. Small-cap stocks also
fared well overall, as illustrated by the 22.4% increase of the Russell 2000
Index. Small-company technology issues were the most glaring exception,
mustering a gain in 1997 of just 1.1%.
U.S. FIXED-INCOME MARKETS
In a year characterized by exceptionally low inflation, interest rates fell,
providing investors with very attractive total returns. The Lehman Aggregate
Bond Index, for example,
4
<PAGE> 7
posted a total return of 9.7% for 1997, comprising 7.2% in income return and
2.5% in capital appreciation. The decline in rates can be attributed largely to
better-than-expected reports about the inflation rate. Early in the year,
economists were projecting a 2.9% increase in the Consumer Price Index (CPI)
during 1997. In March, the Federal Reserve grew sufficiently concerned to boost
interest rates by 0.25% in an effort to temper economic growth and thereby ward
off inflation. By year-end, however, the worries seemed to have been
unnecessary, as the actual CPI increase was a mere 1.7%--its smallest increase
since 1986.
The bond market gradually gathered strength during the year as investors
grew more confident that four seemingly strange bedfellows--strong economic
growth, reasonable inflation, low unemployment, and stable wage growth--would
continue to coexist peacefully. In the fourth quarter, the market also was
bolstered by the "flight to quality" among investors concerned about Asia's
problems. Overall, the longest-maturity issues benefited most from the decline
in interest rates. The yield on the 30-year U.S. Treasury bond closed the year
at 5.92%, compared with 6.64% on December 31, 1996. Falling rates flattened the
yield curve considerably: Only 0.57% separated the yield on Treasury bills from
that on the 30-year issue, down from a spread of 1.47% at the end of 1996.
The best-performing sector in 1997 was long-term Treasuries, as
illustrated by the 15.1% return of the Lehman Long U.S. Treasury Index.
Investors in lower-quality securities also fared well, with the Lehman High
Yield Bond Index generating a 12.8% gain. The strength of the economy, together
with the lack of inflationary pressure, created an ideal environment for junk
bonds.
INTERNATIONAL EQUITY MARKETS
Arguably, investors' greatest disappointments were in international
markets--and, of course, Asian markets in particular. During the year, the
Morgan Stanley Capital International (MSCI) Pacific Index declined by 25.7% in
U.S. dollar terms; the Index fell 20.7% in the fourth quarter alone. Among
individual markets, the fiscal year saw sharp declines (in U.S. dollar terms)
in Japan, down 23.6% (including a 19.7% drop in the fourth quarter); Thailand,
down 76.8%; and Malaysia, down 68.1%. The general slump in Asian markets began
in midsummer with currency devaluations by a number of countries.
By contrast, the European markets continued to provide U.S. investors with
solid returns, although they, too, stumbled in late October and subsequently
recovered. The MSCI Europe Index posted a gain of 23.7% for the 12 months. The
robust character of the European markets reflected strong corporate earnings
and optimism that the European Monetary Union would provide a solid framework
for future fiscal responsibility and economic growth.
5
<PAGE> 8
PORTFOLIO PROFILE
Balanced Index Fund
This Profile provides a snapshot of the Fund's characteristics as of December
31, 1997, compared where appropriate to an unmanaged index. Key elements of
this Profile are defined on pages 8 and 9.
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<CAPTION>
TOTAL FUND CHARACTERISTICS
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<S> <C>
Yield 3.4%
Turnover Rate 18%
Expense Ratio 0.20%
Cash Reserves 0.4%
</TABLE>
<TABLE>
<CAPTION>
PORTFOLIO ASSET ALLOCATION
- ---------------------------------------------
<S> <C>
STOCKS 60%
BONDS 40%
</TABLE>
<TABLE>
<CAPTION>
TOTAL FUND VOLATILITY MEASURES
- ------------------------------------------------------
BALANCED
INDEX FUND S&P 500
- ------------------------------------------------------
<S> <C> <C>
R-Squared 0.95 1.00
Beta 0.63 1.00
- ------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
TEN LARGEST STOCKS (% OF EQUITIES)
- ---------------------------------------------------------
<S> <C>
General Electric Co. 2.4%
The Coca-Cola Co. 1.6
Microsoft Corp. 1.5
Exxon Corp. 1.5
Merck & Co., Inc. 1.3
Intel Corp. 1.1
Philip Morris Cos., Inc. 1.1
Procter & Gamble Co. 1.1
International Business Machines Corp. 1.0
AT&T Corp. 1.0
- ---------------------------------------------------------
Top Ten 13.6%
- ---------------------------------------------------------
Top Ten as % of Total Net Assets 7.8%
</TABLE>
<TABLE>
<CAPTION>
SECTOR DIVERSIFICATION (% OF COMMON STOCK)
- ---------------------------------------------------------------------------------------
DECEMBER 31, 1996 DECEMBER 31, 1997
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BALANCED BALANCED WILSHIRE
INDEX FUND INDEX FUND 5000
------------------------------------------------
<S> <C> <C> <C>
Auto & Transportation................ 3.8% 3.5% 3.5%
Consumer Discretionary............... 11.8 12.0 12.1
Consumer Staples..................... 9.2 9.2 9.1
Financial Services................... 17.9 20.2 20.2
Health Care.......................... 10.3 10.6 10.6
Integrated Oils...................... 4.9 4.4 4.3
Other Energy......................... 2.4 2.5 2.5
Materials & Processing............... 7.3 6.1 6.1
Producer Durables.................... 5.0 4.5 4.5
Technology........................... 12.7 11.7 11.9
Utilities............................ 9.9 10.1 10.2
Other................................ 4.8 5.2 5.0
- ---------------------------------------------------------------------------------------
</TABLE>
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<TABLE>
<CAPTION>
EQUITY CHARACTERISTICS
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BALANCED WILSHIRE
INDEX FUND 5000
- ---------------------------------------------------------------
<S> <C> <C>
Number of Stocks 2,670 7,459
Median Market Cap $15.9B $15.5B
Price/Earnings Ratio 22.2x 22.1x
Price/Book Ratio 3.8x 3.8x
Dividend Yield 1.5% 1.5%
Return on Equity 19.2% 19.1%
Earnings Growth Rate 17.7% 17.6%
Foreign Holdings 0.7% 0.7%
</TABLE>
EQUITY INVESTMENT FOCUS
- -----------------------------------------------------------------
[GRAPH]
<TABLE>
<CAPTION>
FIXED-INCOME CHARACTERISTICS
- --------------------------------------------
<S> <C>
Number of Issues 301
Yield to Maturity 6.3%
Average Coupon 7.4%
Average Maturity 9.0 years
Average Quality Aa1
Average Duration 4.4 years
</TABLE>
FIXED-INCOME INVESTMENT FOCUS
- -------------------------------------------
[GRAPH]
<TABLE>
<CAPTION>
DISTRIBUTION BY ISSUER (% OF BONDS)
- ------------------------------------------------
<S> <C>
Asset-Backed 3.3%
Finance 13.4
Foreign 3.4
Industrial 11.2
Mortgage 32.3
U.S. Government and Agency 1.3
U.S. Treasury 32.9
Utilities 2.2
- ------------------------------------------------
Total 100.0%
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION BY CREDIT QUALITY (% OF BONDS)
- ------------------------------------------------
<S> <C>
Aaa 70.3%
Aa 4.8
A 14.1
Baa 10.8
Ba 0.0
B 0.0
Not Rated 0.0
- -------------------------------------------------
Total 100.0%
</TABLE>
7
<PAGE> 10
AVERAGE COUPON. The average interest rate paid on the securities held by a
portfolio. It is expressed as a percentage of face value.
AVERAGE DURATION. An estimate of how much a bond portfolio's share price will
fluctuate in response to a change in interest rates. To see how the price could
shift, multiply the portfolio's duration by the change in rates. If interest
rates rise by one percentage point, the share price of a portfolio with an
average duration of five years would decline by about 5%. If rates decrease by
a percentage point, the portfolio's share price would rise by 5%.
AVERAGE MATURITY. The average length of time until bonds held by a portfolio
reach maturity (or are called) and are repaid. In general, the longer the
average maturity, the more a portfolio's share price will fluctuate in response
to changes in market interest rates.
AVERAGE QUALITY. An indicator of credit risk, this figure is the average of the
ratings assigned to a portfolio's securities holdings by credit-rating
agencies. The agencies make their judgment after appraising an issuer's
ability to meet its obligations. Quality is graded on a scale, with Aaa or AAA
indicating the most creditworthy bond issuers and A-1 or MIG-1 indicating the
most creditworthy issuers of money market securities.
BETA. A measure of the magnitude of a portfolio's past share-price fluctuations
in relation to the ups and downs of the overall market (or appropriate market
index). The market (or index) is assigned a beta of 1.00, so a portfolio with a
beta of 1.20 would have seen its share price rise or fall by 12% when the
overall market rose or fell by 10%.
CASH RESERVES. The percentage of a portfolio's net assets invested in "cash
equivalents"--highly liquid, short-term, interest-bearing securities. This
figure does not include cash invested in futures contracts to simulate stock or
bond investment.
DISTRIBUTION BY CREDIT QUALITY. This breakdown of a portfolio's securities by
credit rating can help in gauging the risk that returns could be affected by
defaults or other credit problems.
DISTRIBUTION BY ISSUER. A breakdown of a portfolio's holdings by type of issuer
or type of instrument.
DIVIDEND YIELD. The current, annualized rate of dividends paid on a share of
stock, divided by its current share price. For a portfolio, the weighted
average yield for stocks it holds.
EARNINGS GROWTH RATE. The average annual rate of growth in earnings over the
past five years for the stocks now in a portfolio.
EQUITY INVESTMENT FOCUS. This grid indicates the focus of a portfolio in terms
of two attributes: market capitalization (large, medium, or small) and relative
valuation (growth, value, or a blend).
EXPENSE RATIO. The percentage of a portfolio's average net assets used to pay
its annual administrative and advisory expenses. These expenses directly reduce
returns to investors.
FIXED-INCOME INVESTMENT FOCUS. This grid indicates the focus of a portfolio's
fixed-income holdings in terms of two attributes: average maturity (short,
medium, or long) and average credit quality (high, medium, or low).
FOREIGN HOLDINGS. The percentage of a portfolio's net assets represented by
stocks or American Depositary Receipts of companies based outside the United
States.
MEDIAN MARKET CAP. The midpoint of market capitalization (market price x shares
outstanding) of the stocks in a portfolio. Half the stocks in the portfolio
have higher market capitalizations and half lower.
NUMBER OF ISSUES. An indicator of diversification. The more bonds a portfolio
holds, the more diversified it is and the less susceptible it is to problems of
a particular issue.
8
<PAGE> 11
NUMBER OF STOCKS. An indicator of diversification. The more stocks a portfolio
holds, the more diversified it is and the more likely to perform in line with
the overall stock market.
PORTFOLIO ASSET ALLOCATION. This chart shows the proportions of a portfolio's
holdings allocated to different types of asset.
PRICE/BOOK RATIO. The share price of a stock divided by its net worth, or book
value, per share. For a portfolio, the weighted average price/book ratio of the
stocks it holds.
PRICE/EARNINGS RATIO. The ratio of a stock's current price to its per-share
earnings over the past year. For a portfolio, the weighted average P/E of the
stocks it holds. P/E is an indicator of market expectations about corporate
prospects; the higher the P/E, the greater the expectations for a company's
future growth.
R-SQUARED. A measure of how much of a portfolio's past returns can be explained
by the returns from the overall market (or its benchmark index). If a
portfolio's total return were precisely synchronized with the overall market's
return, its R-squared would be 1.00. If a portfolio's returns bore no
relationship to the market's returns, its R-squared would be 0.
RETURN ON EQUITY. The annual average rate of return generated by a company
during the past five years for each dollar of shareholder's equity (net income
divided by shareholder's equity). For a portfolio, the weighted average return
on equity for the companies whose stocks it holds.
SECTOR DIVERSIFICATION. The percentages of a portfolio's common stocks that
come from each of the major industry groups that compose the stock market.
TEN LARGEST STOCKS. The percentage of equity assets that a portfolio has
invested in its ten largest stocks. As this percentage rises, a portfolio's
returns are likely to be more volatile because they are more dependent on the
fortunes of a few companies.
TURNOVER RATE. An indication of trading activity during the past year.
Portfolios with high turnover rates incur higher transaction costs and are more
likely to distribute capital gains (which are taxable to investors).
YIELD. A snapshot of a portfolio's income from interest and dividends. The
yield, expressed as a percentage of the portfolio's net asset value, is based
on income earned over the past 30 days and is annualized, or projected forward
for the coming year.
YIELD TO MATURITY. The rate of return an investor would receive if the
securities held by a portfolio were held to their maturity dates.
9
<PAGE> 12
PERFORMANCE SUMMARY
Balanced Index Fund
All of the data on this page represent past performance, which cannot be used
to predict future returns that may be achieved by the Fund. Note, too, that
both share price and return can fluctuate widely, so an investment in the Fund
could lose money.
TOTAL INVESTMENT RETURNS: NOVEMBER 9, 1992-DECEMBER 31, 1997
<TABLE>
<CAPTION>
- -------------------------------------------------
BALANCED INDEX FUND COMPOSITE
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 18.2 4.0 22.2 22.5
- -------------------------------------------------
</TABLE>
*60% Wilshire 5000 Index, 40% Lehman Aggregate Bond Index.
See Financial Highlights table on page 41 for dividend and capital gains
information for the past five years.
<TABLE>
<CAPTION>
CUMULATIVE PERFORMANCE: NOVEMBER 9, 1992-DECEMBER 31, 1997
- ----------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Nov 9, 92 10000 10000 10000 10000 10000
1992 12 10369 10373 10385 10393 10372
1993 03 10771 10784 10817 10827 10800
1993 06 10922 10949 10989 10918 11086
1993 09 11289 11325 11369 11355 11376
1993 12 11399 11482 11494 11560 11383
1994 03 10997 11108 11105 11128 11056
1994 06 10889 10973 11008 11039 10942
1994 09 11259 11294 11394 11640 11009
1994 12 11215 11193 11360 11549 11051
1995 03 12027 11867 12202 12590 11608
1995 06 12987 12728 13184 13768 12315
1995 09 13777 13438 14007 15026 12556
1995 12 14419 14012 14656 15756 13091
1996 03 14790 14368 15044 16650 12859
1996 06 15187 14703 15481 17389 12932
1996 09 15574 15113 15864 17873 13172
1996 12 16423 15940 16713 19106 13567
1997 03 16446 15911 16740 19215 13491
1997 06 18331 17557 18664 22460 13986
1997 09 19628 18744 20015 24667 14450
1997 12 20074 18974 20468 25096 14879
- ----------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS
PERIODS ENDED DECEMBER 31, 1997
-------------------------------
SINCE FINAL VALUE OF A
1 YEAR 5 YEARS INCEPTION $10,000 INVESTMENT
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Balanced Index Fund* 22.21% 14.12% 14.51% $20,074
Average Balanced Fund 19.00 12.84 13.26 18,974
Balanced Composite Index** 22.46 14.53 14.95 20,468
Wilshire 5000 Index 31.35 19.28 19.60 25,096
Lehman Aggregate Bond Index 9.65 7.48 8.03 14,879
- --------------------------------------------------------------------------------
</TABLE>
*Performance figures are adjusted for the $10 annual account maintenance fee.
**60% Wilshire 5000 Index, 40% Lehman Aggregate Bond Index.
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS: PERIODS ENDED DECEMBER 31, 1997
- -------------------------------------------------------------------------------------------
SINCE INCEPTION
INCEPTION --------------------------
DATE 1 YEAR 5 YEARS CAPITAL INCOME TOTAL
- -------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Balanced Index Fund* 11/9/1992 22.21% 14.12% 10.45% 4.06% 14.51%
- -------------------------------------------------------------------------------------------
</TABLE>
*Performance figures are adjusted for the $10 annual account maintenance fee.
10
<PAGE> 13
FINANCIAL STATEMENTS
December 31, 1997
STATEMENT OF NET ASSETS
This Statement provides a detailed list of the Fund's holdings, including each
security's market value on the last day of the reporting period. Securities are
grouped and subtotaled by asset type (common stocks, bonds, etc.). The Fund's
Wilshire 5000 Index common stocks are listed alphabetically; corporate bonds
are subtotaled by industry sector and reported separately from U.S. and foreign
government bonds. Other assets are added to, and liabilities are subtracted
from, the value of Total Investments to calculate the Fund's Net Assets.
Finally, Net Assets are divided by the outstanding shares of the Fund to arrive
at its share price, or Net Asset Value (NAV) Per Share.
At the end of the Statement of Net Assets, you will find a table
displaying the composition of the Fund's net assets on both a dollar and
per-share basis. Because all income and any realized gains must be distributed
to shareholders each year, the bulk of net assets consists of Paid in Capital
(money invested by shareholders). The amounts shown for Undistributed Net
Investment Income and Accumulated Net Realized Gains usually approximate the
sums the Fund had available to distribute to shareholders as income dividends
or capital gains as of the statement date. Any Accumulated Net Realized Losses,
and any cumulative excess of distributions over net income or net realized
gains, will appear as negative balances. Unrealized Appreciation (Depreciation)
is the difference between the market value of the Fund's investments and their
cost, and reflects the gains (losses) that would be realized if the Fund were
to sell all of its investments at their statement-date values.
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------
MARKET
VALUE*
BALANCED INDEX FUND SHARES (000)
- ----------------------------------------------------------------------
COMMON STOCKS (57.4%)(1)
- ----------------------------------------------------------------------
<S> <C> <C>
AAR Corp. 5,200 $ 201
- - ABC Rail Products Corp. 1,800 36
- - ABR Information Services, Inc. 1,600 39
- - ACC Corp. 1,800 91
- - ADC Telecommunications, Inc. 9,300 389
- - AER Energy Resources, Inc. 20,300 23
- - AES Corp. 12,314 574
AFLAC, Inc. 9,887 505
AGCO Corp. 3,400 99
AGL Resources Inc. 3,800 78
AK Steel Corp. 3,200 57
- - AMBI, Inc. 4,400 8
- - AML Communications, Inc. 4,050 17
- - AMR Corp. 6,500 835
- - APAC Teleservices, Inc. 2,500 34
ARCO Chemical Co. 6,200 289
- - APS Holding Corp. 5,100 12
AT&T Corp. 117,000 7,166
- - ASI Solutions, Inc. 800 7
- - ATL Ultrasound, Inc. 2,400 111
AVX Corp. 5,800 107
- - Aavid Thermal Technologies 2,500 59
Aames Financial Corp. 1,800 23
Abbott Laboratories 55,200 3,619
- - Access Health Marketing, Inc. 3,100 91
- - Acclaim Entertainment Inc. 7,400 27
- - AccuStaff, Inc. 11,254 259
- - Ace Cash Express, Inc. 4,050 47
The Ackerley Group, Inc. 4,600 78
- - Acme Metals, Inc. 4,000 39
- - ACNielson Corp. 3,366 82
- - Action Performance Cos., Inc. 3,332 127
- - Active Voice Corp. 2,500 31
- - Acuson Corp. 4,200 69
- - Acxiom Corp. 3,200 61
- - ADAC Laboratories 4,000 78
- - Adaptec, Inc. 7,800 290
Adobe Systems, Inc. 5,000 206
- - Adtran, Inc. 2,100 58
- - Advance Paradigm, Inc. 2,000 64
- - Advanced Communication
Systems, Inc. 3,700 34
- - Advanced Fibre Communications 4,200 123
- - Advanced Micro Devices, Inc. 11,200 201
- - Advanced Polymer Systems 8,200 54
- - Advanced Tissue Sciences Inc. 5,800 71
- - ADVO, Inc. 4,300 84
Aeroquip-Vickers Inc. 1,700 83
Advanta Corp. Class A 2,650 69
- - Aerovox, Inc. 900 4
Aetna Inc. 10,621 749
Aetna Inc. 6.25% Cvt. Pfd. Series C 674 48
Affiliated Community Bancorp 2,125 81
- - Affiliated Computer Services, Inc. 4,310 113
- - Affymetrix, Inc. 2,800 87
- - Agouron Pharmaceuticals, Inc. 1,800 53
H.F. Ahmanson & Co. 6,300 422
- - Air and Water Technologies Corp.
Class A 1,500 2
Air Express International Corp. 4,050 123
Air Products & Chemicals, Inc. 7,800 641
Airborne Freight Corp. 2,700 168
- - Airgas, Inc. 3,400 48
- - AirTran Holdings, Inc. 3,000 12
- - AirTouch Communications, Inc. 35,800 1,488
</TABLE>
11
<PAGE> 14
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------
MARKET
VALUE*
BALANCED INDEX FUND SHARES (000)
- ----------------------------------------------------------------------
<S> <C> <C>
AirTouch Communications, Inc.
4.25% Pfd. Series C 581 $ 36
AirTouch Communications, Inc.
6.00% Cvt. Pfd. 905 32
Alamo Group, Inc. 1,000 22
- - Alanco Environmental
Resources Corp. 13,900 9
Albemarle Corp. 3,150 75
Alberto-Culver Co. Class A 2,800 76
Alberto-Culver Co. Class B 3,400 109
Albertson's, Inc. 17,500 829
Alexander & Baldwin, Inc. 2,800 77
- - Alexander's, Inc. 277 25
Alfa Corp. 5,200 90
Aliant Communications, Inc. 2,000 63
- - All American Semiconductor, Inc. 1,000 1
- - Alleghany Corp. 534 152
Allegheny Energy, Inc. 8,600 279
Allegheny Teledyne Inc. 11,575 300
Allegiance Corp. 3,200 113
- - Allen Telecom Inc. 4,600 85
Allergan, Inc. 3,800 127
Alliance Bancorp Inc. 1,500 40
- - Alliance Pharmaceutical Corp. 4,798 34
- - Alliance Semiconductor Corp. 2,500 12
- - Alliant Techsystems, Inc. 1,400 78
Allied Capital Corp. 10,880 243
- - Allied Digital Technologies Corp. 1,500 4
- - Allied Holdings, Inc. 5,400 101
AlliedSignal Inc. 40,800 1,589
- - Allied Waste Industries, Inc. 5,000 117
Allmerica Financial Corp. 4,589 229
Allstate Corp. 31,326 2,847
ALLTEL Corp. 13,100 538
- - Altera Corp. 6,400 212
- - Altris Software, Inc. 5,300 16
- - Alumax, Inc. 3,350 114
Aluminum Co. of America 12,300 866
- - Alyn Corp. 1,600 17
- - ALZA Corp. 5,200 165
- - Amax Gold, Inc. 10,006 23
- - Amazon.com, Inc. 1,700 102
AMBAC Financial Group Inc. 4,600 212
Amcast Industrial Corp. 1,904 44
Amerada Hess Corp. 6,600 362
- - Amerco, Inc. 1,100 28
- - America Online, Inc. 6,900 615
- - America West Holdings Corp.
Class B 6,800 127
American Annuity Group Inc. 3,200 70
American Bancorp (West Virginia) 2,000 58
American Bankers
Insurance Group 11,100 510
- - American Business
Information, Inc. Class A 3,784 38
- - American Business
Information, Inc. Class B 3,784 39
- - American Coin Merchandising, Inc. 2,600 46
American Electric Power Co., Inc. 13,500 697
American Express Co. 33,284 2,970
American General Hospitality
Corp. REIT 2,900 77
American Financial Group, Inc. 3,800 153
- - American Freightways 5,796 58
American General Corp. 18,024 974
American Greetings Corp. Class A 4,600 180
American Health Properties, Inc. 4,000 110
American Health Properties
Psychiatric Group 300 4
American Heritage Life
Investment Corp. 2,400 86
American Home Products Corp. 46,600 3,565
American International
Group, Inc. 49,800 5,416
- - American Management
Systems, Inc. 2,200 43
- - American Media Class A 9,700 75
American National Insurance Co. 1,400 132
- - American Oncology
Resources, Inc. 2,600 42
- - American Power Conversion Corp. 6,900 163
- - American Radio Systems Corp.
Class A 1,800 96
- - American Standard Cos., Inc. 4,800 184
American Stores Co. 18,600 382
- - American Wagering, Inc. 2,300 17
American Water Works Co., Inc. 5,900 161
- - AmeriCredit Corp. 3,400 94
Ameron International Corp. 1,400 88
- - AmeriSource Health Corp. 1,100 65
AmerUs Life Holdings, Inc. 2,084 77
- - Ames Department Stores, Inc. 7,000 121
Ameritech Corp. 39,000 3,139
AmeriGas Partners, LP 200 5
Ametek Aerospace Products Inc. 1,800 49
- - Amgen, Inc. 18,200 985
AMP, Inc. 15,492 651
Amoco Corp. 34,600 2,945
- - Amresco, Inc. 2,500 75
- - Ampal-American Israel Corp. 12,000 62
Ampco-Pittsburgh Corp. 2,200 43
- - Ampex Corp. Class A 5,300 13
AmSouth Bancorp 5,700 309
- - Amtech Corp. 3,800 15
Anadarko Petroleum Corp. 3,800 231
- - Analog Devices, Inc. 10,466 290
Analogic Corp. 2,600 98
Anchor Bancorp Wisconsin Inc. 2,000 73
- - Anchor Gaming 2,000 111
- - Andrea Radio Corp. 2,600 47
- - Andrew Corp. 5,588 134
Angelica Corp. 3,200 72
Anheuser-Busch Cos., Inc. 34,500 1,518
- - Anixter International Inc. 3,500 58
- - AnnTaylor Stores Corp. 3,400 45
Aon Corp. 11,750 689
Apache Corp. 7,700 270
Apogee Enterprises, Inc. 3,000 36
- - Apogee, Inc. 1,600 4
- - Apollo Group, Inc. Class A 3,500 166
- - Apple Computer, Inc. 7,700 101
Apple South, Inc. 4,500 59
Applebee's International, Inc. 1,900 34
- - Applied Innovation Inc. 11,000 59
</TABLE>
12
<PAGE> 15
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ----------------------------------------------------------------------
<S> <C> <C>
- - Apria Healthcare 4,200 $ 56
- - Applied Graphics
Technologies, Inc. 1,300 69
- - Applied Magnetics Corp. 1,600 18
- - Applied Materials, Inc. 25,700 773
- - Applied Microsystems Corp. 1,900 10
Applied Power, Inc. 2,600 179
- - Applix, Inc. 1,400 8
Aptargroup Inc. 1,300 72
Aquarion Co. 1,800 62
- - Aquila Biopharmaceuticals, Inc. 701 3
Arbor Drugs, Inc. 7,875 146
- - Arbor Software Corp. 2,100 85
- - Arcadia Financial Ltd. 9,200 68
Arch Coal, Inc. 1,900 52
Archer-Daniels-Midland Co. 39,331 853
Arden Realty Group, Inc. REIT 2,500 77
AREA Bancshares Corp. 1,357 32
Argonaut Group, Inc. 2,800 96
- - Argosy Gaming Co. 9,600 33
- - Armco, Inc. 17,500 86
Armstrong World Industries Inc. 2,600 194
Arnold Industries, Inc. 3,600 61
- - Arrhythmia Research
Technology, Inc. 7,000 11
- - Arrow Electronics, Inc. 7,874 255
Arrow Financial Corp. 1,732 58
Arrow International, Inc. 1,500 56
- - Arterial Vascular Engineering, Inc. 1,800 117
- - Artra Group Inc. 16,500 64
- - Artisoft, Inc. 4,200 8
Arvin Industries, Inc. 2,800 93
ASA Holdings Inc. 3,400 97
ASARCO, Inc. 2,100 47
- - Ascend Communications, Inc. 13,680 336
- - Ascent Entertainment Group, Inc. 1,075 11
- - Ascent Pediatrics, Inc. 2,200 13
Ashland, Inc. 5,300 284
- - Aspect Telecommunications Corp. 2,600 55
- - Aspen Technologies, Inc. 2,600 88
Associated Banc-Corp. 4,667 257
- - Associated Group, Inc. 2,408 73
- - At Home Corp. 5,800 145
Associates First Capital Corp. 6,400 455
Astoria Financial Corp. 1,300 73
- - Asyst Technologies, Inc. 2,556 56
Atlanta Sosnoff Capital 4,200 50
Atlantic Energy, Inc. 4,600 97
- - Atlantic Gulf Communities Corp. 1,500 7
Atlantic Richfield Co. 22,800 1,827
- - Atlantic Tele-Network, Inc. 880 10
- - Atlas Air, Inc. 2,600 62
- - Atmel Corp. 6,100 113
Atmos Energy Corp. 2,100 64
- - Atrix Laboratories, Inc. 1,800 26
- - Atwood Oceanics, Inc. 2,266 107
- - Auspex Systems, Inc. 1,600 16
Autodesk, Inc. 3,820 141
- - AutoBond Acceptance Corp. 2,000 6
Automatic Data Processing, Inc. 21,000 1,289
- - AutoZone Inc. 10,900 316
Avalon Properties, Inc. REIT 1,900 59
- - Avant! Corp. 2,700 45
- - Avatar Holding, Inc. 2,000 57
- - Avatex Corp. 3,900 7
Avery Dennison Corp. 6,700 300
- - Aviall Inc. 7,775 116
Avnet, Inc. 2,800 185
Avon Products, Inc. 9,400 577
- - Axiohm Transaction
Solutions, Inc. 126 2
- - Aztar Corp. 11,100 69
- - BA Merchant Services, Inc.
Class A 4,100 73
BB&T Corp. 9,562 613
BHC Communications, Inc.
Class A 1,500 195
- - BISYS Group, Inc. 1,600 53
- - BJ Services Co. 2,313 166
- - BJ Services Co.
Warrants Exp. 4/13/2000 787 36
- - BJ's Wholesale Club, Inc. 3,900 122
BMC Industries, Inc. 2,237 36
- - BMC Software, Inc. 7,200 472
- - BOK Financial Corp. 100 4
- - BRC Holdings Inc. 1,000 39
BRE Properties Inc. Class A REIT 1,956 55
BSB Bancorp, Inc. 6,230 219
- - Badger Paper Mills, Inc. 3,200 25
Baker Hughes, Inc. 13,165 574
J. Baker, Inc. 600 3
Baldor Electric Co. 2,000 43
Ball Corp. 1,800 64
Ballard Medical Products 3,500 85
Baltimore Gas & Electric Co. 10,400 354
Banc One Corp. 45,818 2,488
- - Banctec, Inc. 2,300 62
Bandag, Inc. 1,400 75
- - Bangor Hydro-Electric Co. 4,600 28
Bank of the Ozarks, Inc. 2,200 55
The Bank of New York Co., Inc. 27,000 1,561
Bank United Corp. Class A 1,800 89
BankAtlantic Bancorp, Inc.
Class A 5,794 95
BankAtlantic Bancorp, Inc.
Class B 5,792 97
BankAmerica Corp. 49,616 3,622
BankBoston Corp. 10,420 979
Bankers Trust New York Corp. 7,071 795
Bank North Group 1,100 71
- - Banner Aerospace 9,000 100
- - BankUnited Financial Corp. 5,300 82
Banta Corp. 1,800 49
- - Banyan Systems, Inc. 4,100 12
C.R. Bard, Inc. 3,100 97
- - Barnes & Noble, Inc. 4,048 135
Barnett Banks, Inc. 14,152 1,017
- - Barr Labs Inc. 7,350 251
- - Barra, Inc. 2,700 65
- - Barrett Resources Corp. 1,800 54
- - Base Ten Systems Class A 8,000 82
- - Basin Exploration Inc. 3,700 66
</TABLE>
13
<PAGE> 16
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------
MARKET
VALUE*
BALANCED INDEX FUND SHARES (000)
- ----------------------------------------------------------------------
<S> <C> <C>
Bassett Furniture Industries, Inc. 1,800 $ 55
Battle Mountain Gold Co. Class A 12,200 72
Bausch & Lomb, Inc. 3,300 131
Baxter International, Inc. 20,099 1,014
Bay Apartment Communities, Inc.
REIT 2,100 82
- - Bay Networks, Inc. 15,245 390
- - BE Avionics Inc. 3,200 86
- - BEA Systems, Inc. 2,300 40
Bear Stearns Co., Inc. 8,370 398
BeautiControl Cosmetics 400 3
Beckman Instruments, Inc. 1,732 69
Becton, Dickinson & Co. 8,700 435
- - Bed Bath & Beyond, Inc. 4,148 159
- - Bel Fuse, Inc. 6,900 135
- - Belco Oil & Gas Corp. 1,900 36
Belden, Inc. 1,000 35
Bell Atlantic Corp. 55,704 5,069
- - Bell Sports Corp. 700 6
- - Bell Industries, Inc. 2,900 40
BellSouth Corp. 71,100 4,004
- - Belmont Homes, Inc. 4,800 37
A. H. Belo Corp. Class A 4,524 254
Bemis Co., Inc. 3,100 137
- - Ben & Jerry's Homemade, Inc.
Class A 3,500 54
- - Benchmark Microelectronics, Inc. 3,200 43
Beneficial Corp. 3,500 291
- - Bentley Pharmaceuticals, Inc. 2,200 5
- - Berg Electronics Corp. 2,800 64
Bergen Brunswig Corp. Class A 3,050 128
W.R. Berkley Corp. 1,800 80
- - Berkshire Hathaway Class A 100 4,600
- - Berlitz International, Inc. 2,101 56
- - Bertucci's Holding Corp. 7,839 51
- - Best Buy Co., Inc. 5,900 218
- - BET Holdings Inc. Class A 1,500 82
- - Bethlehem Steel Corp. 6,500 56
BetzDearborn Inc. 1,500 92
- - Beverly Enterprises, Inc. 8,600 112
- - Big Flower Holdings, Inc. 3,100 75
- - Biotechnology General 4,300 46
- - Biogen, Inc. 5,400 197
- - Biomatrix, Inc. 700 21
Biomet, Inc. 9,000 230
Birmingham Steel Corp. 3,350 53
- - Bitwise Designs, Inc. 2,900 8
Black & Decker Corp. 6,100 238
Blair Corp. 2,700 47
E.W. Blanch Holdings, Inc. 2,400 83
Block Drug Co. Class A 1,099 48
H & R Block, Inc. 6,400 287
Blount International, Inc. 11,600 310
- - Blyth Industries, Inc. 2,550 76
Bob Evans Farms, Inc. 4,500 100
Boddie-Noell Properties Inc. 1,700 24
The Boeing Co. 71,862 3,517
Boise Cascade Corp. 3,700 112
- - Boise Cascade Office
Products Corp. 4,400 66
- - Borders Group, Inc. 5,400 169
Borg-Warner Automotive, Inc. 1,400 73
- - Borland International, Inc. 3,000 22
- - Boston Beer Co., Inc. Class A 2,300 18
- - Boston Chicken, Inc. 4,000 26
Boston Edison Co. 3,500 133
Boston Properties, Inc. 2,600 86
- - Boston Scientific Corp. 14,401 661
Bowater Inc. 3,400 151
Bowne & Co., Inc. 3,100 124
- - Boyd Gaming Corp. 5,800 38
- - Boyds Wheels, Inc. 1,000 1
W.H. Brady Class A 2,400 75
Breed Technological Inc. 3,200 58
Briggs & Stratton Corp. 1,500 73
- - Brinker International, Inc. 3,600 58
- - Bristol Hotel Co. 4,050 118
Bristol-Myers Squibb Co. 71,500 6,766
- - Brite Voice Systems, Inc. 2,814 28
- - BroadVision, Inc. 5,800 38
- - Broderbund Software, Inc. 2,512 64
- - Brooks Fiber Properties, Inc. 2,800 154
- - Brothers Gourmet Coffees, Inc. 500 1
Brown-Forman Corp. Class B 4,100 227
Browning-Ferris Industries, Inc. 13,500 500
Brunswick Corp. 7,000 212
- - Brylane, Inc. 1,200 59
Bryn Mawr Bank Corp. 1,200 61
- - Buffets Inc. 6,000 57
Burlington Coat Factory
Warehouse Corp. 5,040 83
- - Burlington Industries, Inc. 5,703 79
Burlington Northern
Santa Fe Corp. 11,240 1,045
Burlington Resources, Inc. 14,250 639
- - Burr-Brown Corp. 3,000 97
CB Bancshares Inc./Hawaii 1,300 56
CBS Corp. 51,729 1,523
CBT Corp. 1,100 35
CCB Financial Corp. 2,100 226
- - C-Cube Microsystems, Inc. 2,300 37
- - CDI Corp. 2,200 101
- - CDW Computer Centers, Inc. 1,300 68
- - CFI ProServices, Inc. 3,531 43
CIGNA Corp. 5,300 917
CIPSCO, Inc. 1,600 71
- - The CIT Group, Inc. 11,300 364
CKE Restaurants Inc. 2,100 88
- - CKS Group, Inc. 3,000 42
CMAC Investment Corp. 4,574 276
- - CMG Information Services, Inc. 2,900 87
- - CML Group, Inc. 2,700 9
CMS Energy Corp. 6,800 300
- - CNA Financial Corp. 4,400 562
- - CNA Surety Corp. 2,610 40
CNB Bancshares, Inc. 2,100 101
CNF Transportation, Inc. 2,600 100
CPB, Inc. 3,200 66
CPC International, Inc. 10,200 1,099
CPI Corp. 2,900 66
- - CSG Systems International, Inc. 1,900 76
CSX Corp. 15,700 848
</TABLE>
14
<PAGE> 17
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ----------------------------------------------------------------------
<S> <C> <C>
CTG Resources Inc. 2,720 $ 71
CTS Corp. 3,168 101
CVS Corp. 12,236 784
- - Cablevision Systems Corp. Class B 1,000 96
- - Cabletron Systems, Inc. 11,110 167
- - Cable Design Technologies 5,000 194
Cabot Corp. 3,800 105
Cabot Oil & Gas Corp. Class A 3,900 76
- - Cadence Design Systems, Inc. 14,060 344
- - Cadiz Land Co., Inc. 4,800 41
Cadmus Communications 2,700 56
- - CalEnergy Co. 4,800 138
Calgon Carbon Corp. 7,300 78
Caliber System Inc. 2,800 136
- - California Amplifier, Inc. 7,800 17
- - California Culinary Academy Inc. 11,100 87
- - California Federal Bank Goodwill
Participation Certificates 200 5
- - California Federal Bank-
Secondary Contingent Litigation
Recovery Participation Interests 650 19
- - California Microwave, Inc. 2,700 53
Callaway Golf Co. 5,200 149
CAM Designs, Inc. 9,900 35
- - Cambridge Technology Partners 2,700 113
Camco International, Inc. 6,270 399
Camden Property Trust REIT 2,300 71
- - Cameron Ashley Building Products 3,392 57
Campbell Soup Co. 32,264 1,875
- - Canandaigua Brands, Inc. 3,392 188
Capital One Financial Corp. 4,833 262
- - Capital Pacific Holdings, Inc. 700 2
Capital Re Corp. 3,600 223
Capitol Bancorp Ltd. 5,808 174
CapMAC Holdings Inc. 2,200 76
- - CapStar Hotel Co. 1,800 62
Capstead Mortgage Corp. 3,250 65
Caraustar Industries, Inc. 4,000 138
- - Cardima, Inc. 5,000 22
Cardinal Health, Inc. 7,766 583
- - Caribiner International, Inc. 1,700 76
Carlisle Co., Inc. 2,000 85
- - Carmike Cinemas, Inc. Class A 2,511 72
Carnival Corp. Class A 21,100 1,168
Carolina Power & Light Co. 10,800 458
Carpenter Technology Corp. 1,300 62
CarrAmerica Realty Corp. REIT 3,200 101
- - Carrington Labs Inc. 7,400 31
Carter-Wallace, Inc. 2,100 35
Case Corp. 5,300 320
- - Casino Magic Corp. 3,900 5
A.M. Castle & Co. 1,000 23
- - Castle & Cooke Inc. 1,366 23
- - Catalina Marketing Corp. 1,140 53
- - Catellus Development Corp. 7,500 150
Caterpillar, Inc. 27,000 1,311
- - Catherines Stores 3,400 24
Cato Corp. Class A 1,200 11
- - Cellular Communications
International Inc. 1,400 65
- - CellPro, Inc. 3,400 8
- - Cellular Technical Services Co. 1,600 5
- - Cellularvision USA, Inc. 4,700 28
- - Celtrix Pharmaceuticals 13,800 25
- - Cendant Corp. 53,979 1,856
- - Centennial Technologies, Inc. 2,400 3
Centex Corp. 1,700 107
- - Centigram Communications 600 10
- - Centocor, Inc. 5,052 169
Central & South West Corp. 15,300 414
Central Louisiana Electric Co. 2,300 74
Central Maine Power Co. 4,200 64
Central Newspapers Inc. 1,400 104
Central Parking Corp. 2,700 122
Centura Banks, Inc. 3,400 235
- - Centura Software Corp. 600 1
Century Bancorp, Inc. Class A 2,500 45
- - Century Communications Corp.
Class A 11,897 116
Century Telephone Enterprises, Inc. 4,250 212
- - Ceridian Corp. 5,300 243
- - Cerner Corp. 2,200 47
- - Chalone Wine Group Ltd. 1,960 23
- - Champion Enterprises, Inc. 3,000 62
Champion International Corp. 6,900 313
- - Chancellor Media Corp. 4,200 314
Charter One Financial 4,695 295
- - Charming Shoppes, Inc. 12,600 59
- - Chartwell Leisure Corp 3,957 66
Chase Manhattan Corp. 29,872 3,271
- - Checkers Drive-In Restaurant 5,400 5
- - Checkfree Holdings Corp. 3,900 106
Checkpoint Systems, Inc. 2,000 35
Chelsea GCA Realty, Inc. REIT 2,100 80
Chemed Corp. 2,100 87
Chemical Finance 2,327 105
- - Chesapeake Biological
Laboratories, Inc. 1,300 7
Chesapeake Corp. of Virginia 1,700 58
Chesapeake Energy Corp. 4,200 32
Chevron Corp. 47,200 3,634
- - Chic By H.I.S., Inc. 6,020 44
- - Chicago Miniature Lamp, Inc. 900 31
- - Chico's Fas, Inc. 5,800 39
- - Children's Discovery Centers of
America, Inc. 3,300 32
- - Choice Hotel International, Inc. 3,200 51
Chiquita Brands International, Inc. 3,300 54
- - Chiron Corp. 12,304 210
- - ChoicePoint Inc. 920 44
- - Chris-Craft Industries, Inc. 2,760 144
- - Christiana Cos., Inc. 2,300 91
- - Chromcraft Revington, Inc. 2,500 80
- - ChromaVision Medical
Systems, Inc. 600 5
Chrysler Corp. 47,844 1,684
The Chubb Corp. 12,200 923
Church & Dwight, Inc. 2,500 70
Churchill Downs, Inc. 1,100 48
- - Ciber, Inc. 2,000 116
- - Cidco, Inc. 1,600 31
- - CIENA Corp. 7,100 435
</TABLE>
15
<PAGE> 18
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------
MARKET
VALUE*
BALANCED INDEX FUND SHARES (000)
- ----------------------------------------------------------------------
<S> <C> <C>
Cilcorp, Inc. 2,100 $ 103
Cincinnati Bell, Inc. 8,600 267
Cincinnati Financial Corp. 3,671 516
Cincinnati Milacron, Inc. 3,300 86
CINergy Corp. 11,162 428
Circle International Group, Inc. 1,000 23
Circuit City Stores, Inc. 6,000 213
- - Cirrus Logic 2,900 31
- - Cisco Systems, Inc. 72,300 4,035
Cintas Corp. 6,000 234
- - Circus Circus Enterprises Inc. 6,100 125
Citicorp 32,300 4,084
Citizens Corp. 1,900 55
- - Citizens Utilities Co. Class B 15,817 152
- - Citrix Systems, Inc. 1,600 122
City Holding Co. 2,795 116
City National Corp. 2,600 96
- - Cityscape Financial Corp. 1,900 1
Claire's Stores, Inc. 2,850 55
Clarcor Inc. 2,000 59
- - Clarify, Inc. 1,200 14
Clayton Homes Inc. 7,182 129
- - Clear Channel Communications 7,000 556
- - Cliffs Drilling Co. 3,298 164
- - Clintrials Research, Inc. 3,900 30
The Clorox Co. 7,400 585
Coachmen Industries, Inc. 3,104 67
- - Coast Savings Financial, Inc. 3,300 226
Coastal Corp. 7,700 477
- - Coastal Physician Group, Inc. 1,800 1
Coca-Cola Bottling Co. 1,700 116
The Coca-Cola Co. 178,600 11,899
Coca-Cola Enterprises, Inc. 27,200 967
- - Coeur D'Alene Mines Corp. 3,500 31
- - Cognex Corp. 2,700 74
Cognizant Corp. 11,900 530
- - Coherent Communications
Systems Corp. 4,400 124
- - Coherent, Inc. 1,300 46
- - Coleman Inc. 4,268 69
Colgate-Palmolive Co. 21,000 1,544
- - Collins & Aikman Corp. 6,400 55
Colonial BancGroup, Inc. 2,021 70
- - Colonial Downs Holdings, Inc. 9,500 34
Colonial Gas Co. 1,800 52
- - Colorado Casino Resorts, Inc. 5,600 6
- - Coltec Inc. 3,500 81
Columbia Gas Systems, Inc. 4,000 314
Columbia/HCA Healthcare Corp. 45,959 1,362
ComAir Holdings, Inc. 3,900 95
Comcast Corp. Class A 6,600 210
Comcast Corp. Class A Special 17,959 566
- - Comdial Corp. 4,300 40
Comdisco, Inc. 4,500 150
Comerica, Inc. 7,100 641
- - COMFORCE Corp. 313 2
Commerce Bancshares, Inc. 2,719 185
Commerce Group, Inc. 2,300 75
Commercial Federal Corp. 4,959 176
Commercial Metals Co. 1,200 38
- - CommNet Cellular Inc. 1,600 57
Commonwealth Energy Systems 2,600 86
- - Commonwealth Telephone
Enterprises, Inc. 2,200 58
- - CommScope, Inc. 6,800 91
Community First Bankshares 2,600 139
Compaq Computer Corp. 53,693 3,030
Compass Bancshares Inc. 3,900 171
- - CompuServe Corp. 4,900 60
Computer Associates
International, Inc. 39,212 2,073
- - CompUSA, Inc. 9,300 288
- - Computer Sciences Corp. 5,527 462
Computer Task Group, Inc. 4,600 164
- - Computervision Corp. 6,600 25
- - Compuware Corp. 12,500 400
COMSAT Corp. 2,200 53
- - Comverse Technology, Inc. 1,300 51
ConAgra, Inc. 34,100 1,119
- - Concentra Managed Care 2,400 81
- - Computer Horizons Corp. 1,300 59
- - Comshare 553 3
- - Concord EFS, Inc. 5,368 134
- - Cone Mills Corp. 6,200 48
- - Conmed Corp. 4,406 116
Connecticut Energy Corp. 1,400 42
Connecticut Water Services, Inc. 1,500 49
Conseco Inc. 15,661 712
- - Consolidated Delivery &
Logistics, Inc. 2,800 7
Consolidated Edison Co. of
New York, Inc. 16,600 681
- - Consolidated Freightways Corp. 1,300 18
Consolidated Natural Gas Co. 6,700 405
Consolidated Papers 3,300 176
- - Consolidated Stores, Inc. 6,125 269
- - Consumer Portfolio Services, Inc. 5,400 52
- - ContiFinancial Corp. 2,400 60
- - Continental Airlines, Inc. Class B 7,400 356
- - Continental Information
Systems Corp. 300 1
Continental Mortgage &
Equity Trust 750 12
- - Continucare Corp. 4,600 26
- - Converse Inc. 1,866 11
- - Cooper Cameron Corp. 3,000 183
Cooper Industries, Inc. 8,800 431
Cooper Tire & Rubber Co. 5,200 127
Adolph Coors Co. Class B 2,800 93
- - Coram Healthcare Corp. 1,523 5
- - COREStaff, Inc. 3,150 84
CoreStates Financial Corp. 15,112 1,210
Cornerstone Properties, Inc. REIT 4,200 81
Corning, Inc. 16,300 605
- - Corporate Express, Inc. 7,650 99
- - Correctional Services Corp. 2,400 25
- - CorporateFamily Solutions, Inc. 3,100 66
- - Corrections Corp. of America 5,500 204
- - Cort Business Services Corp. 2,700 107
- - CorVel Corp. 1,200 46
- - Costco Cos., Inc. 14,986 668
Countrywide Credit Industries, Inc. 7,747 332
Cousins Properties, Inc. REIT 1,100 32
- - Covance, Inc. 3,525 70
</TABLE>
16
<PAGE> 19
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C>
- - Coventry Corp. 3,345 $ 51
- - Cox Communications Class A 17,414 698
Cracker Barrel Old Country
Stores, Inc. 3,800 127
- - Jenny Craig Inc. 3,000 23
Crane Co. 3,300 143
Crawford & Co. Class B 1,950 40
- - Credit Acceptance Corp. 2,700 21
- - Cree Research, Inc. 3,152 59
- - Crescendo Pharmaceuticals Corp. 260 3
Crescent Real Estate, Inc. REIT 7,200 284
- - Crescent Operating, Inc. REIT 460 11
Crestar Financial Corp. 8,797 501
Crompton & Knowles Corp. 4,300 114
Cross Timbers Oil Co. 3,150 79
Crown American Realty Trust REIT 6,300 59
- - Crown Books Corp. 3,163 20
Crown Cork & Seal Co., Inc. 9,300 466
Crown Crafts, Inc. 5,500 86
- - Crown Vantage, Inc. 5,680 42
- - Cryomedical Sciences 17,500 4
Cullen/Frost Bankers, Inc. 4,500 273
- - Culligan Water Technologies 1,242 62
Cummins Engine Co., Inc. 2,500 148
- - Curative Health Services Inc. 2,800 85
Curtiss-Wright Corp. 2,000 73
- - Cyberguard Corp. 4,500 26
- - Cybex Computer Products Corp. 1,900 46
- - Cygnus Inc. 3,488 70
- - Cypress Semiconductor Corp. 4,000 34
- - Cypros Pharmaceuticals Corp. 10,950 47
Cyprus Amax Minerals Co. 5,550 85
- - Cytec Industries, Inc. 3,342 157
- - DII Group, Inc. 6,200 168
- - DBT Online Inc. 2,600 65
DPL, Inc. 6,500 187
DQE Inc. 5,450 191
- - DSC Communications Corp. 7,500 180
- - DSP Communications, Inc. 2,600 31
- - DSP Group Inc. 3,300 67
- - DST Systems, Inc. 2,600 111
DTE Energy Co. 10,300 357
DT Industries, Inc. 1,800 61
- - DVI, Inc. 2,900 54
- - Daily Journal Corp. 100 4
- - Daisytek International Corp. 1,000 35
- - Dal-Tile International Inc. 3,300 40
Dallas Semiconductor Corp. 2,000 81
Dana Corp. 7,400 352
Danaher Corp. 3,700 234
Damen Financial Corp 3,200 55
Darden Restaurants Inc. 8,300 104
- - Darling International, Inc. 6,600 56
- - Data Broadcasting Corp. 8,214 46
- - Data General Corp. 5,700 99
- - Data Race, Inc. 6,778 23
- - Dataware Technologies, Inc. 200 1
- - Davel Communications Group, Inc. 2,157 54
- - Dave & Busters 2,677 61
- - Davox Corp. 1,950 63
Dayton-Hudson Corp. 15,400 1,040
Dean Foods Corp. 3,200 190
Deere & Co. 17,800 1,038
DEKALB Genetics Corp. Class B 4,600 181
- - Dell Computer Corp. 23,800 2,000
Delmarva Power & Light Co. 3,000 69
Delta & Pine Land Co. 2,220 68
Delta Air Lines, Inc. 5,300 631
Deltic Timber Corp. 742 20
Deluxe Corp. 4,900 169
- - Dendrite International, Inc. 2,700 52
DENTSPLY International Inc. 2,800 87
- - Department 56 Inc. 3,405 98
Deposit Guaranty Corp. 7,800 444
DePuy, Inc. 6,100 175
- - Designs, Inc. 12,050 36
- - Detroit Diesel Corp. 3,100 74
Developers Diversified
Realty Corp. REIT 1,300 50
Devon Energy Corp. 3,567 137
- - Devon Group, Inc. 100 5
- - Devry, Inc. 2,200 70
Dexter Corp. 2,800 121
Diagnostic Products Corp. 2,800 78
Dial Corp. 6,500 135
- - Dialogic Corp. 1,000 44
- - Diamond Multimedia Systems, Inc. 5,000 45
Diamond Offshore Drilling, Inc. 9,800 472
- - Diamond Technology Partners Inc. 181 3
Diebold, Inc. 4,400 223
- - Digital Equipment Corp. 10,800 400
Dillard's Inc. 7,900 278
Dime Bancorp, Inc. 10,028 303
Dimon Inc. 2,500 66
- - Dionex Corp. 2,000 100
The Walt Disney Co. 48,500 4,805
Dole Food Co. 3,700 169
Dollar General Corp. 8,352 303
- - Dollar Tree Stores, Inc. 2,400 100
Dominion Resources, Inc. 13,200 562
Donaldson Co., Inc. 1,600 72
Donaldson, Lufkin & Jenrette, Inc. 3,800 302
R.R. Donnelley & Sons Co. 10,300 384
Donnelly Corp. 1,000 17
Doral Financial Corp. 3,200 80
Dover Corp. 16,000 578
Dow Chemical Co. 15,800 1,604
Dow Jones & Co., Inc. 6,800 365
- - Dravo Corp. 3,000 33
Dresser Industries, Inc. 11,600 486
- - Drexler Technology Corp. 1,600 16
Dreyer's Grand Ice Cream, Inc. 3,400 82
- - Drug Emporium, Inc. 6,128 25
Duke Energy Corp. 29,812 1,651
Duke Realty Investments,
Inc. REIT 4,000 97
The Dun & Bradstreet Corp. 11,000 340
E.I. du Pont de Nemours & Co. 81,100 4,871
- - DuPont Photomasks, Inc. 1,600 57
- - Dura Pharmaceuticals, Inc. 3,100 143
- - Dynatech Corp. 2,900 136
- - EEX Corp. 9,446 86
</TABLE>
17
<PAGE> 20
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------
MARKET
VALUE*
BALANCED INDEX FUND SHARES (000)
- ----------------------------------------------------------------------
<S> <C> <C>
EG&G, Inc. 2,800 $ 58
- - EMC Corp. 34,800 955
ENSCO International, Inc. 9,124 306
- - ESC Medical Systems Ltd. 2,200 85
- - ESSEF Corp. 3,520 55
- - ESS Technology, Inc. 7,300 56
- - ETEC Systems, Inc. 1,400 65
- - EVI Inc. 2,600 135
- - Eagle Finance Corp. 3,600 3
- - Eagle USA Airfreight, Inc. 2,000 57
Earthgrains Co. 1,024 48
Eastern Enterprises 2,500 113
Eastern Utilities Associates 2,400 63
Eastman Chemical Co. 5,050 301
Eastman Kodak Co. 23,000 1,399
Eaton Corp. 5,500 491
Eaton Vance Corp. 1,000 38
- - Echelon International Corp., Inc. 3,180 71
Echlin, Inc. 3,400 123
- - Echo Bay Mines Ltd. 7,100 17
- - EchoStar Communications Corp. 1,800 30
- - Ecogen, Inc. 1,900 4
Ecolab, Inc. 4,600 255
- - Edison Brothers Stores, Inc. 6,856 39
- - Edison Brothers Stores, Inc.
Warrants Exp. 9/26/2005 692 1
Edison International 27,600 750
EDO Corp. 4,000 35
- - Education Alternatives, Inc. 3,600 16
- - Education Management Corp. 3,200 100
- - Educational Medical, Inc. 3,100 26
- - J.D. Edwards & Co. 3,600 107
A.G. Edwards & Sons, Inc. 5,887 234
- - Egghead, Inc. 5,400 34
- - Einstein/Noah Bagel Corp. 1,800 10
El Paso Natural Gas 4,448 296
- - Elan Corp. PLC ADR 3,488 179
Elcor Corp. 5,700 137
- - Electric Fuel Corp. 1,800 7
- - Electromagnetic Sciences, Inc. 1,600 32
- - Electronic Arts Inc. 4,100 155
Electronic Data Systems Corp. 34,400 1,511
- - Electronic Retailing Systems
International, Inc. 6,200 29
- - Electronics for Imaging, Inc. 3,800 63
- - Eltron International Inc. 1,300 40
Emerging Communications 2,200 18
Emerson Electric Co. 31,800 1,795
- - Emmis Broadcasting Corp. Class A 1,300 59
- - Employee Solutions, Inc. 4,400 19
- - Emulex Corp. 1,700 23
- - Energy Conversion Devices, Inc. 3,500 43
Energen Corp. 700 28
Energy West Inc. 5,200 47
Engelhard Corp. 9,000 156
Enhance Financial Services
Group, Inc. 1,400 83
Enova Corp. 6,800 184
Enron Corp. 26,995 1,122
Enron Oil & Gas Co. 9,800 208
Entergy Corp. 17,454 523
- - Envirotest Systems Corp. Class A 10,800 73
- - Epitope Inc. 2,300 11
Equifax, Inc. 9,900 351
The Equitable Cos. 14,600 726
Equitable Resources, Inc. 3,200 113
Equity Office Properties
Trust REIT 16,885 533
Equity Residential Properties
Trust REIT 6,081 307
Erie Indemnity Co. Class A 1,600 48
- - Essex International, Inc. 1,900 57
Essex Property Trust, Inc. REIT 2,366 83
- - Esterline Technologies Corp. 1,700 61
Ethan Allen Interiors, Inc. 1,840 71
Ethyl Corp. 6,300 48
Everest Reinsurance Holdings, Inc. 2,700 111
- - Evergreen Resources, Inc. 2,200 35
- - Exabyte Corp. 3,200 21
Excel Industries, Inc. 700 13
- - EXCEL Communications, Inc. 9,300 135
Excel Realty Trust, Inc. REIT 1,800 57
Executive Risk, Inc. 1,467 102
Exide Corp. 2,600 67
Expeditors International of
Washington, Inc. 1,600 62
- - Express Scripts 2,700 164
- - Extended Stay America, Inc. 12,093 150
Exxon Corp. 178,200 10,904
- - EZCORP, Inc. 5,700 65
F & M Bancorp 1,504 56
- - FAC Realty Inc. REIT 4,300 33
FFY Financial Corp. 4,600 150
- - FLIR Systems, Inc. 1,100 23
- - FMC Corp. 2,400 162
- - FM Properties Inc. 9,500 50
FPL Group, Inc. 12,900 764
- - FTP Software, Inc. 4,600 10
Fair Issac & Co. 1,700 57
- - Fairfield Communities, Inc. 4,400 194
- - Falcon Drilling Co., Inc. 9,000 316
Family Dollar Stores, Inc. 7,650 224
Fannie Mae 75,100 4,285
Farmer Brothers, Inc. 1,000 187
- - Farm Family Holdings, Inc. 1,500 49
Farrel Corp. 10,800 53
- - Fastcomm Communications Corp. 7,100 17
Fastenal Co. 2,400 92
- - Faulding Inc. 7,200 97
- - Federal Express Corp. 8,200 501
Freddie Mac 50,100 2,101
Federal-Mogul Corp. 2,500 101
Federal Realty Investment
Trust REIT 2,200 57
Federal Signal Corp. 2,733 59
- - Federated Department Stores 14,800 637
Felcor Suite Hotels, Inc. REIT 2,600 92
Ferro Corp. 2,100 51
- - FiberMark, Inc. 200 4
Fifth Third Bancorp 11,100 907
- - Figgie International Inc. Class A 2,700 36
- - Filene's Basement Corp. 8,895 36
</TABLE>
18
<PAGE> 21
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C>
- - FileNet Corp. 500 $ 15
FINA Inc. 1,600 102
- - Financial Industries Corp. 5,000 97
Financial Security Assurance
Holdings Ltd. 1,900 92
Fingerhut Co. 2,400 51
FINOVA Group, Inc. 3,000 149
- - First Alert, Inc. 8,000 17
First American Financial Corp. 1,400 103
First American Corp. (Tenn.) 4,400 219
First American Bank Corp. 5,850 451
1st Bancorp (Indiana) 4,796 142
- - First Bank of Philadelphia 1,000 6
First Brands Corp. 3,800 102
First Chicago NBD Corp. 20,993 1,753
First Citizens BancShares Class A 700 72
First Commerce Bancshares Inc.
Class A 300 9
First Commerce Bancshares Inc.
Class B 4,000 124
First Commerce Corp. 2,812 190
First Commercial Corp. 1,995 117
First Data Corp. 29,866 874
First Empire State Corp. 400 186
First Financial Bancorp 2,000 98
First Financial Holdings, Inc. 1,400 75
First Hawaiian, Inc. 1,600 64
First Industrial Realty Trust REIT 1,900 69
First Midwest Bancorp 3,250 145
First Palm Beach Bancorp 2,000 86
First Security Corp. 7,975 334
First Source Corp. 4,012 130
First Tennessee National Corp. 4,200 281
First Union Corp. 43,994 2,255
First Union Real Estate 5,700 93
First Virginia Banks, Inc. 3,550 183
First Western Bancorp 1,050 30
Firstar Corp. 9,600 407
FirstBank Puerto Rico 2,000 68
FirstBank Corp. 2,000 37
- - FIRSTPLUS Financial Group, Inc. 2,700 103
- - FIserv, Inc. 3,800 187
- - First Federal Financial Corp. 2,166 84
First Bancorp of Ohio 4,200 120
- - FirstEnergy Corp. 16,337 474
Fisher Scientific International Inc. 2,000 96
Fleet Financial Group, Inc. 17,802 1,334
Fleetwood Enterprises, Inc. 4,100 174
Fleming Cos., Inc. 4,600 62
Florida East Coast Railway Co. 600 58
- - Florida Panthers Holdings, Inc. 4,300 74
Florida Progress Corp. 5,700 224
Florida Rock Industries, Inc. 5,800 132
- - Florsheim Group Inc. 933 6
Flowers Industries, Inc. 4,500 93
Flowserve Corp. 5,440 152
Fluor Corp. 5,200 194
Flushing Financial Corp. 2,400 57
- - Foamex International, Inc. 2,900 32
- - Fonar Corp. 8,000 23
Food Lion Inc. Class A 30,100 255
- - Foodmaker, Inc. 2,300 35
- - Foothill Independent Bancorp 1,210 20
- - Footstar Inc. 2,984 80
- - Forcenergy Inc. 3,956 104
Ford Motor Co. 86,000 4,187
- - FORE Systems, Inc. 6,000 92
- - Foreland Corp. 566 2
Foremost Corp. of America 1,500 105
Forest City Enterprise Class A 1,400 81
- - Forest Laboratories, Inc. 2,500 123
- - Forest Oil Corp. 3,300 54
Fort James Corp. 13,325 510
Fort Thomas Financial Corp. 600 9
Fort Wayne National Corp. 1,950 91
- - Forte Software, Inc. 1,900 15
Fortune Brands, Inc. 12,400 460
Foster Wheeler Corp. 3,500 95
- - Foundation Health Systems
Class A 7,540 169
- - Fourth Shift Corp. 12,600 38
Franchise Finance Corp. of
America REIT 2,400 65
Franklin Electric, Inc. 1,000 63
- - Franklin Electronic Publishers, Inc. 1,700 21
Franklin Resources Corp. 8,850 769
Freeport-McMoRan Copper &
Gold, Inc. Class A 3,348 51
Freeport-McMoRan Copper &
Gold, Inc. Class B 8,654 136
- - Freeport-McMoRan Sulphur Inc. 289 3
Fremont General Corp. 1,500 82
- - Fresh Choice, Inc. 5,100 17
- - Fresh America Corp. 2,100 40
- - Friede Goldman International, Inc. 1,800 53
- - Fritz Cos., Inc. 4,100 57
Frontier Corp. 10,400 250
- - Fruit of the Loom, Inc. 4,800 123
- - Fuisz Technologies Ltd. 4,600 39
H.B. Fuller Co. 1,500 75
Fulton Financial Corp. 1,590 52
Fund American Enterprise
Holding Co. 400 48
- - Furniture Brands International Inc. 5,600 115
- - Fusion Systems Corp.-Contigent
Value Rights Exp. 3/31/1999 1,500 1
G & L Realty Corp. 2,404 51
GATX Corp. 1,600 116
- - GC Cos. 1,930 91
- - GRC International, Inc. 1,500 9
GPU, Inc. 7,800 329
- - GSB Financial Corp. 500 9
- - GSE Systems, Inc. 600 2
GTE Corp. 67,000 3,501
- - GT Interactive Software Corp. 7,500 48
- - Gadzooks, Inc. 2,700 57
Gainsco, Inc. 4,300 37
Galileo International, Inc. 6,600 182
Arthur J. Gallagher & Co. 2,000 69
Gannett Co., Inc. 19,800 1,224
The Gap, Inc. 28,350 1,005
- - Garden Botanika, Inc. 4,500 10
</TABLE>
19
<PAGE> 22
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------
MARKET
VALUE*
BALANCED INDEX FUND SHARES (000)
- ----------------------------------------------------------------------
<S> <C> <C>
- - Garden Fresh Restaurant Corp. 4,400 $ 64
- - Gardner Denver Machinery, Inc. 5,796 147
- - Gargoyles, Inc. 7,000 28
- - Gartner Group, Inc. Class A 6,800 254
- - Gateway 2000, Inc. 10,800 352
Gaylord Entertainment Co. Class A 1,983 63
- - Gaylord Container Corp. 6,300 36
- - GelTex Pharmaceuticals, Inc. 1,900 51
GenCorp, Inc. 6,100 153
- - Genentech, Inc.-Special
Common Stock 8,700 527
General Binding Corp. 1,828 56
General Dynamics Corp. 4,500 389
General Electric Co. 235,800 17,302
General Growth Properties
Inc. REIT 1,600 58
- - General Magic, Inc. 3,300 5
General Mills, Inc. 11,275 808
General Motors Corp. 51,701 3,134
General Motors Corp. Class H 7,200 266
- - General Nutrition Cos., Inc. 5,300 180
General Re Corp. 5,668 1,202
- - General Semiconductor, Inc. 2,100 24
General Signal Corp. 3,100 131
- - Genesco, Inc. 9,750 124
- - Gentex Corp. 2,976 80
- - Genesis Health Ventures Inc. 1,500 40
- - Geneva Steel Class A 4,400 9
- - Genome Therapeutics Corp. 2,000 13
- - Gensia Sicor Inc. 6,600 38
Genuine Parts Co. 12,750 433
Geon Co. 3,200 75
- - Genzyme Corp. 5,600 155
- - Genzyme Corp. (Tissue Repair) 129 1
Georgia Gulf Corp. 1,800 55
Georgia-Pacific Corp. 6,500 395
- - Georgia-Pacific (Timber Group) 5,800 132
- - Geoworks 4,000 38
- - Getchell Gold Corp. 1,700 41
- - Giant Cement Holding, Inc. 1,400 33
Giant Food, Inc. Class A 3,100 104
Giant Industries, Inc. 6,800 129
- - Gilead Sciences, Inc. 3,400 130
Gillette Co. 39,708 3,988
P.H. Glatfelter Co. 2,600 48
- - Glenayre Technologies, Inc. 3,300 33
- - Global Motorsport Group Inc. 2,000 23
- - Global DirectMail Corp. 2,100 36
- - Global Industrial Technologies, Inc. 2,800 47
- - Global Industries Ltd. 6,400 109
- - Global Marine, Inc. 12,000 294
- - Global Payment Tech Inc. 1,200 11
- - Global Village Communication 700 1
- Gold Reserve Corp. 4,300 16
- - Golden State Bancorp Inc. 2,700 101
Golden West Financial Corp. 3,700 362
- - The Good Guys, Inc. 6,800 53
The BFGoodrich Co. 6,700 278
The Goodyear Tire & Rubber Co. 11,100 706
- - Goody's Family Clothing 2,100 57
- - E. Gottschalk & Co., Inc. 6,700 56
W.R. Grace & Co. 5,600 450
Graco, Inc. 3,100 116
- - Gradall Industries, Inc. 1,700 27
- - Graham-Field Health Products Inc. 3,000 50
W.W. Grainger, Inc. 3,200 311
- - Grand Casinos, Inc. 4,650 63
Great Atlantic & Pacific Tea
Co., Inc. 2,300 68
Great Lakes Chemical Corp. 3,700 166
Green Mountain Power Corp. 1,900 35
Green Street Financial Corp. 2,100 38
Green Tree Financial Corp. 9,500 249
Green Point Financial Corp. 2,800 203
Grief Brothers Corp. Class A 2,700 91
- - Grey Wolf, Inc. 8,200 44
- - GTech Holdings Corp. 2,600 83
Guidant Corp. 10,466 652
- - Gulf South Medical Supply, Inc. 2,600 97
- - Gulfstream Aerospace Corp. 4,500 132
- - Gymboree Corp. 1,500 41
HBO & Co. 14,273 685
- - HCIA, Inc. 1,700 21
HCC Insurance Holdings, Inc. 3,700 79
- - HF Bancorp, Inc. 2,700 48
HF Financial Corp. 6,000 161
- - HMN Financial, Inc. 3,000 96
- - HMT Technology Corp. 2,700 35
- - HNC Software, Inc. 1,000 43
HRE Properties 2,100 41
HSB Group Inc. 900 50
- - HS Resources Inc. 4,500 62
- - HSN, Inc. 6,910 356
HUBCO, Inc. 1,200 47
- - Haemonetics Corp. 4,500 63
Halliburton Co. 18,300 950
- - Halter Marine Group, Inc. 1,069 31
- - Hambrecht & Quist Group 1,700 62
Hancock Fabrics, Inc. 1,200 17
- - Handleman Co. 2,900 20
M.A. Hanna Co. 3,100 78
Hannaford Brothers Co. 2,200 96
- - Harbinger Corp. 3,450 97
Harcourt General, Inc. 4,600 252
- - Harken Energy Corp. 9,700 68
John H. Harland Co. 1,600 34
Harley-Davidson, Inc. 10,700 293
Harleysville National Corp. 1,470 61
Harman International
Industries, Inc. 1,100 47
Harnischfeger Industries Inc. 3,100 109
- - Harrah's Entertainment, Inc. 7,300 138
Harris Corp. 5,000 229
Harsco Corp. 2,600 112
Harte-Hanks Communications Co. 2,200 82
The Hartford Financial Services
Group Inc. 8,400 786
Hartford Life, Inc. 1,500 68
- - Hartmarx Corp. 12,600 96
Harveys Casino Resorts 2,900 60
Hasbro, Inc. 9,000 284
- - Hauser, Inc. 8,800 51
</TABLE>
20
<PAGE> 23
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C>
Haven Bancorp, Inc. 3,000 $ 68
Hawaiian Electric Industries Inc. 2,300 94
- - Hayes Corp. 6,200 26
- - Hayes Lemmerz International, Inc. 2,420 68
Health Care Properties Investors 2,300 87
- - HEALTHSOUTH Corp. 29,954 831
- - Health Management Associates
Class A 10,280 260
- - Healthcare & Retirement Corp. 2,800 113
- - Heartstream, Inc. 2,600 28
- - Heartland Technology, Inc 5,500 91
Health and Retirement
Properties Trust 6,500 130
- - Health Fitness Corp. 1,400 2
- - Health Management Systems, Inc. 1,953 12
- - HealthCare COMPARE Corp. 1,800 92
- - Healthdyne Information
Enterprises, Inc. 18,600 34
- - Heartland Express, Inc. 4,058 111
- - Hecla Mining Co. 4,300 21
HEICO Corp. 2,100 59
Heilig-Meyers Co. 4,600 55
H.J. Heinz Co. 26,200 1,331
Helmerich & Payne, Inc. 1,500 102
Herbalife International Class A 633 14
- - Herbalife International Class B 1,266 28
Hercules, Inc. 6,600 330
Hershey Foods Corp. 9,400 582
Hertz Corp. Class A 2,700 109
Hewlett-Packard Co. 73,300 4,581
- - Hexcel Corp. 2,500 62
Hibernia Corp. Class A 7,900 149
- - Highlands Insurance Group 2,630 75
Highwood Properties, Inc. REIT 1,900 71
Hilb, Rogal and Hamilton Co. 500 10
Hillenbrand Industries, Inc. 4,300 220
- - Hills Stores Co. 5,165 16
Hilton Hotels Corp. 18,100 538
Hollinger International, Inc. 5,100 71
Holly Corp. 2,000 55
- - Hollywood Casino Corp. 11,800 22
- - Hollywood Entertainment Corp. 2,300 25
- - Hollywood Park, Inc. 1,000 22
- - Hologic, Inc. 700 15
- - Home Bancorp 2,300 67
- - Home Health Corp. of America 3,000 31
Home Depot, Inc. 52,399 3,085
- - Homebase Inc. 3,900 31
- - Homeside, Inc. 3,100 85
Homestake Mining Co. 11,200 99
- - Homestead Village, Inc. 2,934 44
HON Industries, Inc. 1,800 106
Honeywell, Inc. 9,100 623
Horace Mann Educators Corp. 2,800 80
Horizon Financial Corp. 1,035 19
Hormel Foods Corp. 4,500 147
- - Host Marriott Services Corp. 6,120 91
Hospitality Properties Trust REIT 1,600 53
- - Host Marriott Corp. 14,300 281
- - Hot Topic, Inc. 2,200 49
Houghton Mifflin Co. 1,200 46
- - House of Fabrics, Inc. 283 1
Household International, Inc. 7,600 969
Houston Industries, Inc. 21,871 584
- - Hovnanian Enterprises Class A 9,300 68
Hubbell Inc. Class B 4,750 234
Hudson Foods Inc. Class A 3,100 64
Hughes Supply, Inc. 2,700 94
- - Humana, Inc. 10,500 218
- - Human Genome Sciences, Inc. 1,200 48
Hunt Corp. 3,500 83
J.B. Hunt Transport Services, Inc. 2,000 38
Huntington Bancshares Inc. 14,975 538
- - Hutchinson Technology, Inc. 4,200 92
- - Hyperion Software Corp. 3,452 124
IBP, Inc. 5,700 119
ICN Pharmaceuticals, Inc. 2,529 123
- - ICH Corp. 315 1
- - IDEC Pharmaceuticals Corp. 2,200 76
- - IDX Systems Corp. 2,900 107
- - IEC Electronics Corp. 1,682 23
IES Industries, Inc. 1,800 66
- - I-Flow Corp. 6,500 22
- - IGI, Inc. 6,710 25
- - IHOP Corp. 1,600 52
IMC Global Inc. 7,889 258
- - IMC Global Warrants
Exp. 12/22/2000 455 2
INMC Mortgage Holdings Inc. 2,700 63
- - IPC Information Systems, Inc. 2,100 42
IRT Property Co. REIT 3,000 35
- - I-STAT Corp. 3,300 52
- - ITT Educational Services, Inc. 600 13
ITT Industries, Inc. 8,600 270
- - ITT Corp. 8,300 688
- - IXC Communications, Inc. 1,900 60
Idaho Power Co. 2,200 83
IDEX Corp. 1,650 58
- - IDEXX Laboratories Corp. 2,200 35
IKON Office Solutions 9,600 270
Illinois Central Corp. 4,300 146
- - Identix, Inc. 8,400 81
Illinois Tool Works, Inc. 17,600 1,058
Illinova Corp. 4,300 116
- - Imation Corp. 2,440 39
- - ImClone Systems, Inc. 7,800 62
- - Immucor Inc. 2,754 24
- - Immunex Corp. 2,600 141
- - ImmuLogic Pharmaceutical Corp. 3,900 7
- - Immune Response 4,500 50
- - Imperial Bancorp 1,900 94
- - Impath, Inc. 2,500 81
- - Impco Technologies Inc. 2,200 24
- - Imperial Credit 2,800 58
- - Imperial Holly Corp. 1,681 18
- - Immunomedics Inc. 7,900 29
- - Inacom Corp. 3,600 101
- - INCYTE Pharmaceuticals, Inc. 3,800 170
Indiana Energy, Inc. 2,400 79
- - Industri-Matematik
International Corp. 3,800 112
Industrial Scientific Corp. 2,700 57
</TABLE>
21
<PAGE> 24
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
MARKET
VALUE*
BALANCED INDEX FUND SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C>
- - Informix Corp. 10,800 $ 52
Ingersoll-Rand Co. 11,700 474
- - Information Resources, Inc. 4,306 58
Ingles Markets, Inc. 3,000 43
- - Ingram Micro, Inc. 2,100 61
Inland Steel Industries, Inc. 4,300 74
- - Input/Output, Inc. 2,300 68
- - Insilco Corp. 2,600 88
- - Insituform Technologies Class A 3,000 23
- - INSO Corp. 1,700 20
Innkeepers USA Trust REIT 3,300 51
- - Insurance Auto Auctions, Inc. 3,400 40
- - Insignia Financial Group 4,600 106
- - Integrated Device Technology Inc. 7,400 70
Integrated Health Services, Inc. 4,000 125
- - Integrated Process
Equipment Corp. 1,976 31
- - Integrated Silicon Solution, Inc. 800 6
- - Integrated Systems Consulting
Group Inc. 800 9
- - Integrated Systems, Inc. 4,100 57
Intel Corp. 115,300 8,096
- - Intelidata Technologies Corp. 15,900 30
- - Intelligent Electronics Inc. 1,100 6
- - Intelligent Medical Imaging, Inc. 9,000 32
- - Intensiva Healthcare Corp. 4,300 32
Inter-Tel, Inc. 5,200 102
Intercargo Corp. 5,400 71
Interface, Inc. 1,800 52
- - Interdigital Communications Corp. 7,200 22
- - Intergraph Corp. 7,300 73
- - Interim Services, Inc. 2,300 60
- - Interleaf, Inc. 8,800 31
- - Intermedia Communications Inc. 2,100 127
- - International Assets Holding Corp. 1,980 8
International Business
Machines Corp. 70,300 7,351
- - International Dairy Queen, Inc.
Class A 2,800 75
International Flavors &
Fragrances, Inc. 7,100 366
- - International Lottery &
Totalizator Systems Inc. 8,800 7
International Game Technology 7,400 187
- - International Network Services 1,900 44
- - International Murex
Technologies Corp. 2,100 21
International Paper Co. 21,832 942
- - International Rectifier Corp. 3,500 41
International Shipholding Corp. 3,375 58
- - International Specialty
Products, Inc. 5,600 84
- - International Technology 6,275 47
- - Interneuron Pharmaceutical, Inc. 5,700 54
Interpool, Inc. 4,500 67
Interpublic Group of Cos., Inc. 9,000 448
- - Intersolv 4,800 98
Interstate Bakeries Corp. 8,600 321
- - Interstate Hotels Co. 1,800 63
Intimate Brands, Inc. 17,700 426
- - Intuit, Inc. 2,500 103
Invacare Corp. 2,400 52
- - Invision Technologies, Inc. 2,400 18
Investors Financial Services Corp. 279 13
Investors Financial Services Corp.
Class A 54 3
- - Iomega Corp. 28,700 357
- - Ionics, Inc. 1,300 51
IPALCO Enterprises, Inc. 2,200 92
Irvine Apartment Communities,
Inc. REIT 800 25
Irwin Financial Corp. 2,800 119
- - ISIS Pharmaceuticals, Inc. 4,100 51
- - Itron, Inc. 3,800 69
- - i2 Technologies, Inc. 1,600 84
- - IVAX Corp. 6,900 47
JLG Industries, Inc. 3,000 42
- - JP Foodservice, Inc. 900 33
JP Realty Inc. REIT 600 16
JSB Financial 1,300 65
- - Jabil Circuit, Inc. 3,600 143
- - Jackpot Enterprises, Inc. 5,500 62
- - Jacobs Engineering Group Inc. 3,800 96
- - Jacor Communications, Inc. 3,000 160
- - Jan Bell Marketing Inc. 1,200 3
- - Jayhawk Acceptance Corp. 5,000 7
Jefferson Savings Bancorp, Inc. 400 8
Jefferson-Pilot Corp. 4,750 370
- - Jefferson Smurfit Corp. 8,000 114
John Nuveen Co. Class A 2,100 73
Johns Manville Corp. 8,800 89
Johnson & Johnson 93,906 6,186
Johnson Controls, Inc. 5,300 253
- - Johnstown America Industries 5,800 56
- - Jones Apparel Group, Inc. 3,100 133
Jones Medical Industries, Inc. 1,500 58
Jostens Inc. 4,900 113
- - JumboSports Inc. 14,800 22
- - Just for Feet, Inc. 1,650 22
- - Just Like Home, Inc. 2,400 2
Justin Industries, Inc. 1,600 22
- - KLA-Tencor Corp. 7,900 305
- - Kmart Corp. 33,600 389
KN Energy, Inc. 1,828 99
K2 Inc. 3,964 90
K U Energy Corp. 3,700 145
- - K-V Pharmaceutical Co. Class A 6,900 143
- - Kaiser Aluminum &
Chemical Corp. 6,600 58
- - Kaneb Services, Inc. 12,384 64
Kansas City Life Insurance Co. 800 78
Kansas City Power & Light Co. 3,200 95
Kansas City Southern
Industries, Inc. 7,600 241
Katy Industries, Inc. 2,100 43
Kaufman & Broad Home Corp. 4,200 94
Kaydon Corp. 4,400 144
- - Keane, Inc. 4,700 191
Kellogg Co. 29,600 1,469
Kellwood Co. 3,100 93
Kelly Services, Inc. Class A 3,700 111
- - KEMET Corp. 2,400 46
</TABLE>
22
<PAGE> 25
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C>
Kennametal, Inc. 3,400 $ 176
- - Kennedy-Wilson, Inc. 336 6
- - Kensey Nash Corp. 3,600 60
- - Kent Electronics Corp. 4,400 111
Kerr-McGee Corp. 2,800 177
KeyCorp 15,284 1,082
Keyspan Energy Corp. 3,550 131
- - Keystone Consolidated
Industries, Inc. 3,600 43
Keystone Financial, Inc. 6,561 263
Kimball International, Inc. Class B 2,600 48
Kimberly-Clark Corp. 41,424 2,043
Kimco Realty Corp. REIT 2,200 78
King World Productions, Inc. 2,100 121
- - Knoll, Inc. 2,900 93
Knight-Ridder, Inc. 5,900 307
Koger Equity, Inc. REIT 3,000 66
- - Kohls Corp. 5,500 375
- - Komag, Inc. 3,200 47
- - The Kroger Co. 18,400 680
Kuhlman Corp. 4,700 184
- - LCI International, Inc. 4,674 144
LG&E Energy Corp. 3,400 84
- - LHS Group, Inc. 1,600 96
LNR Property Corp. 1,800 43
- - LSI Logic Corp. 9,000 178
LSI Industries Inc. 2,264 40
LTC Properties, Inc. 3,100 64
LTV Corp. 4,900 48
- - LTX Corp. 9,300 41
La Quinta Inns Inc. 4,500 87
La-Z-Boy Inc. 900 39
- - Laboratory Corp. of America 15,624 26
- - Ladd Furniture Inc. 1,266 19
Lafarge Corp. 3,700 109
- - Laidlaw Environmental
Services, Inc. 7,500 37
- - LAM Research Corp. 3,660 107
Lancaster Colony Corp. 1,788 102
Lance, Inc. 1,800 48
- - Lancer Corp. 3,802 44
Landauer, Inc. 1,600 45
Landmark Bancshare, Inc. 4,900 117
- - Lands' End, Inc. 4,000 140
- - Landry's Seafood Restaurants, Inc. 1,300 31
- - Landstar System 1,900 50
- - LaSalle Partners Inc. 2,300 82
- - Lattice Semiconductor Corp. 1,300 62
Estee Lauder Cos. Class A 4,500 231
Lawter International Inc. 5,300 58
- - Layne Christensen Co. 9,500 124
- - Lazare Kaplan International, Inc. 3,100 42
- - Lear Corp. 5,300 252
- - Learning Co., Inc. 2,400 39
- - Learning Tree International, Inc. 2,400 70
- - Lechters Corp. 4,000 20
Lee Enterprises, Inc. 2,800 83
Leggett & Platt, Inc. 6,400 268
Legg Mason Inc. 1,600 90
Lehman Brothers Holdings, Inc. 8,460 431
Lennar Corp. 1,800 39
Leucadia National Corp. 3,700 128
- - LeukoSite, Inc. 4,500 49
- - Level 8 Systems Inc. 6,900 94
Leviathan Gas Pipeline Co. 3,200 98
- - Lexmark International Group, Inc.
Class A 4,800 182
Liberty Corp. 2,800 131
Liberty Financial Cos., Inc. 2,550 96
Liberty Property Trust REIT 2,900 83
- - Life USA Holding, Inc. 1,400 24
Life Re Corp. 1,500 98
- - Lifecore Biomedical Inc. 1,400 30
Lillian Vernon Corp. 2,200 37
Eli Lilly & Co. 78,356 5,456
Lilly Industries Inc. Class A 4,200 87
The Limited, Inc. 19,581 499
- - Lin Television 2,300 125
- - Lincare Holdings, Inc. 1,700 97
Lincoln Electric Co. Class A 1,100 40
Lincoln National Corp. 7,300 570
Lindsay Manufacturing Co. 500 22
Linear Technology Corp. 5,000 288
- - Liposome Co., Inc. 1,100 5
Litchfield Financial Corp. 3,831 72
- - Littelfuse, Inc. 3,400 84
- - Litton Industries, Inc. 2,600 150
Liz Claiborne, Inc. 4,300 180
Lockheed Martin Corp. 13,770 1,356
Loews Corp. 8,100 860
- - Logan's Roadhouse, Inc. 2,900 44
- - Lone Star Steakhouse &
Saloon, Inc. 2,400 42
Long Island Bancorp, Inc. 1,500 75
Long Island Lighting Co. 7,400 223
Longs Drug Stores, Inc. 2,600 84
Longview Fibre Co. 3,000 46
- - Loral Space & Communications 13,100 281
- - Louis Dreyfus Natural Gas Corp. 5,472 102
Louisiana-Pacific Corp. 7,100 135
Lowe's Cos., Inc. 12,300 587
Lubrizol Corp. 3,700 136
Luby's Cafeterias, Inc. 2,800 49
Lucent Technologies, Inc. 45,371 3,624
Lukens, Inc. 2,900 83
- - Lumisys, Inc. 7,400 35
- - Lycos, Inc. 4,518 186
- - Lydall, Inc. 3,200 62
Lyondell Petrochemical Co. 4,500 119
- - M&F Worldwide Corp. 5,000 49
MAF Bancorp, Inc. 1,950 69
- - MAI Systems Corp. 4,100 10
MBIA, Inc. 6,400 428
MBNA Corp. 35,025 957
MCI Communications Corp. 49,900 2,138
MCN Corp. 5,500 222
- - MEMC Electronic Materials, Inc. 2,300 35
MFB Corp. 2,000 59
MGIC Investment Corp. 7,600 505
- - MGM Grand, Inc. 3,500 126
ML Bancorp Inc. 2,900 88
- - MK Gold Co. 10,700 16
</TABLE>
23
<PAGE> 26
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
MARKET
VALUE*
BALANCED INDEX FUND SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C>
MMI Cos., Inc. 1,800 $ 45
MTS Systems Corp. 2,010 76
- - MacFrugal's Bargains
Close-Outs, Inc. 1,700 70
MacDermid, Inc. 1,200 100
The Macerich Co. REIT 2,300 66
Mack-Cali Realty Corp. 2,700 111
- - Macromedia 3,100 26
Madison Gas & Electric Co. 3,100 72
- - Magellan Health Services, Inc. 4,300 92
Magna Group 4,152 190
- - Magnum Hunter Resources Inc. 7,700 40
- - Mail-Well, Inc. 2,850 115
Mainstreet Bankgroup, Inc. 3,000 83
Mallinckrodt, Inc. 4,800 182
Manitowac Co., Inc. 3,150 102
Manor Care Inc. 4,500 158
Manpower Inc. 5,000 176
- - Mapics Inc. 5,200 57
Mapco Inc. 3,600 167
- - Marcam Solutions, Inc. 3,200 23
- - Marine Drilling Co., Inc. 2,800 58
Mark IV Industries, Inc. 4,242 93
- - Markel Corp. 800 125
- - Marketing Services Group, Inc. 1,000 5
- - Marquette Medical Systems Inc. 1,996 54
Marsh & McLennan Cos., Inc. 12,000 895
Marshall & Ilsley Corp. 7,678 477
Marriott International 9,000 623
- - Marshall Industries 1,000 30
Martin Marietta Materials, Inc. 5,210 191
- - Marvel Entertainment Group 7,240 4
Masco Corp. 10,800 549
MascoTech Inc. 2,600 48
- - Mastec Inc. 1,650 38
- - Material Sciences Corp. 400 5
- - MathSoft, Inc. 2,000 5
- - Matria Healthcare, Inc. 12,400 71
Mattel, Inc. 20,560 766
- - Mattson Technology, Inc. 4,400 31
- - Maxim Integrated Products, Inc. 9,000 311
- - Maxim Pharmaceuticals, Inc. 1,000 16
May Department Stores Co. 16,400 864
- - Maxicare Health Plans Inc. 1,700 19
- - Maxxam Inc. 900 39
- - Maverick Tube Corp. 8,400 211
Maytag Corp. 6,000 224
McClatchy Newspapers, Inc. 1,875 51
McCormick & Co., Inc. 4,100 115
McDermott International, Inc. 4,500 165
- - J. Ray McDermott SA 2,200 95
McDonald's Corp. 48,000 2,292
The McGraw-Hill Cos., Inc. 7,100 525
McKesson Corp. 3,300 357
- - McLeod, Inc. 1,900 61
- - McMoRan Oil and Gas 28,584 91
The Mead Corp. 7,600 213
- - Meade Instruments Corp. 3,300 31
- - Medaphis Corp. 7,100 46
- - Medar, Inc. 5,742 30
- - MedCath Inc. 4,200 64
- - Medco Research, Inc. 5,100 71
Medford Bancorp, Inc. 1,200 47
Media General, Inc. Class A 10,500 439
- - Medical Assurance, Inc. 2,968 83
- - Medicis Pharmaceutical Corp. 2,475 127
- - MedImmune Inc. 1,700 73
- - Medical Graphics Corp. 9,700 46
Meditrust Corp. 6,985 256
- - MedPartners, Inc. 13,424 300
- - Medplus, Inc. 5,600 42
Medtronic, Inc. 33,206 1,737
- - Mego Mortgage Corp. 4,000 16
Mellon Bank Corp. 17,772 1,077
- - Men's Wearhouse, Inc. 2,300 80
Mentor Corp. 3,604 132
- - Mentor Graphics Corp. 5,900 57
Mercantile Bancorp, Inc. 10,193 627
Mercantile Bankshares Corp. 4,650 180
Mercantile Stores Co., Inc. 2,100 128
Merck & Co., Inc. 86,209 9,160
- - Mercury Finance Co. 9,399 6
Mercury General Corp. 7,200 398
Meredith Corp. 3,300 118
- - Merisel, Inc. 7,600 33
Meritor Automotive, Inc. 4,666 98
Merrill Lynch & Co., Inc. 23,400 1,707
Merry Land & Investment Co.,
Inc. REIT 3,300 75
- - Mesa Air Group Inc. 1,500 7
- - MetaCreations Corp. 4,197 46
Methode Electronics, Inc. Class A 6,849 112
- - Metra Biosystems, Inc. 13,000 49
Metris Cos., Inc. 2,400 83
- - Metro-Goldwyn-Mayer Inc. 5,000 100
- - Metrocall, Inc. 900 4
- - Metromail Corp. 3,300 59
- - Metromedia International
Group, Inc. 3,900 37
- - Metzler Group, Inc. 1,700 68
- - Fred Meyer Inc. 6,928 252
Michael Foods Group, Inc. 7,900 193
- - Micrion Corp. 2,000 30
- - MICROS Systems, Inc. 1,100 50
- - Microsoft Corp. 86,300 11,152
Mid Am Inc. 6,549 170
- - Microchip Technology, Inc. 3,000 90
- - Micro Warehouse Inc. 1,800 25
- - Micrografx, Inc. 7,200 63
- - Micron Electronics, Inc. 5,000 45
- - Micron Technology, Inc. 15,200 395
- - MicroProse, Inc. 4,400 10
- - Microwave Power Devices, Inc. 4,700 32
- - Microwave Systems Corp. 2,800 15
Mid-America Realty Investments 7,200 73
Mid Atlantic Realty Trust 3,650 54
- - Mid Atlantic Medical
Services, Inc. 5,700 73
Mid-Iowa Financial Corp. 12,000 136
MidAmerican Energy Co. 6,500 143
- - Midland Resources, Inc. 2,300 5
- - Midway Games Inc. 4,900 89
</TABLE>
24
<PAGE> 27
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C>
Millenium Chemicals, Inc. 4,600 $ 108
Herman Miller, Inc. 2,800 152
- - Miller Industries, Inc. 2,300 25
Millipore Corp. 2,600 88
Mine Safety Appliances Co. 1,200 80
Minerals Technologies, Inc. 1,200 55
- - MiniMed, Inc. 1,900 75
Minnesota Mining &
Manufacturing Co. 29,400 2,413
Minnesota Power & Light Co. 2,500 109
- - Mirage Resorts, Inc. 11,300 257
- - Miravant Medical Technology 1,600 64
Mississippi Chemical Corp. 1,000 18
Mitchell Energy & Development
Corp. Class A 2,200 65
- - Mizar Inc. 1,000 6
Mobil Corp. 55,200 3,985
- - Mobile Telecommunications
Technologies Corp. 2,700 60
- - MobileMedia Corp. 3,000 1
- - Mobley Environmental Services,
Inc., Class A 6,600 2
Modine Manufacturing Co. 2,538 87
- - Mohawk Industries, Inc. 5,550 122
- - Molecular Biosystems, Inc. 3,097 26
Molex, Inc. 11,087 355
The Money Store 3,000 63
Monsanto Co. 42,500 1,785
Montana Power Co. 2,800 89
J.P. Morgan & Co., Inc. 12,600 1,422
Morgan Stanley, Dean Witter,
Discover and Co. 40,920 2,419
Morrison Health Care Inc. 3,316 66
Morrison Restaurants Inc. 1,437 4
Morton International, Inc. 9,100 313
- - Mortons Restaurant Group 2,456 50
Motorola, Inc. 41,500 2,368
Mueller (Paul) Co. 1,400 54
- - Mueller Industries Inc. 2,100 124
- - MTL, Inc. 1,452 37
- - Multigraphics Inc. 1,600 5
Murphy Oil Corp. 2,600 141
- - Mycogen Corp. 1,900 36
Myers Industries, Inc. 4,060 69
Mylan Laboratories, Inc. 7,650 160
NAC Re Corp. 2,400 117
NCH Corp. 1,000 65
- - NCI Building Systems, Inc. 1,300 46
- - NCO Group, Inc. 4,050 103
- - NCR Corp. 12,281 342
- - NFO Worldwide, Inc. 4,195 88
NGC Corp. 9,300 163
- - NHP, INC. 2,300 63
NIPSCO Industries, Inc. 4,200 208
- - N L Industries, Inc. 5,500 75
- - NTL Inc. 2,667 74
NUI Corp. 400 11
Nabisco Holdings Corp. Class A 3,800 184
- - Nabors Industries, Inc. 7,100 223
NACCO Industries, Inc. Class A 991 106
Nalco Chemical Co. 3,800 150
Nash-Finch Co. 1,900 36
- - Nashua Corp. 2,586 30
National Bankcorp of Alaska Inc. 1,200 151
- - National Auto Credit Inc. 1,400 7
- - National City Bancorporation 880 26
National City Corp. 15,200 999
National Community Bancorp 3,100 109
National Data Corp. 1,600 58
National Fuel Gas Co. 1,900 93
National Health Investors REIT 1,300 54
- - National Instruments Corp. 2,100 63
- - National Medical Financial
Services Corp. 9,400 2
- - National-Oilwell, Inc. 7,100 243
- - National Patent
Development Corp. 11,040 153
National Presto Industries, Inc. 2,200 87
- - National Processing, Inc. 3,100 31
- - National Semiconductor Corp. 11,600 301
National Service Industries, Inc. 2,800 139
- - National Steel Corp. Class B 3,200 37
- - National Western Life Insurance
Co. Class A 200 20
NationsBank Corp. 50,868 3,093
Nationwide Health Properties, Inc. 2,300 59
- - Navigators Group, Inc. 2,000 38
- - Natural Wonders 4,300 26
- - Nautica Enterprises Inc. 2,500 59
- - Navistar International Corp. 4,000 99
- - Neiman Marcus Group Inc. 3,300 100
Thomas Nelson, Inc. 4,750 55
- - Neoprobe Corp. 6,300 38
- - Network Associates, Inc. 4,689 247
- - NETCOM On-Line Communication
Services, Inc. 1,600 39
- - NetManage, Inc. 3,800 11
- - Netscape Communications Corp. 3,740 91
- - Neurogen Corp. 680 9
Nevada Power Co. 2,300 61
New Century Energies, Inc. 6,670 320
New England Electric System 4,600 197
New Jersey Resources Corp. 2,000 80
- - New Mexico & Arizona Land Co. 2,521 37
New Plan Realty Trust REIT 3,500 89
New York Bancorp Inc. 2,933 116
New York State Electric &
Gas Corp. 3,700 131
New York Times Co. Class A 6,800 450
Newell Co. 11,100 472
- - Newfield Exploration Co. 2,200 51
Newhall Land & Farming Co. 800 24
Newmont Gold Co. 10,900 325
Newmont Mining Corp. 10,142 298
- - Newpark Resources, Inc. 4,500 79
Newport News Shipbuilding Inc. 2,040 52
NewSouth Bancorp, Inc. 1,400 41
- - NextLevel Systems, Inc. 18,000 322
- - NEXTEL Communications, Inc. 19,979 517
- - NeXstar Pharmaceuticals Inc. 6,812 78
- - Niagara Mohawk Power Corp. 8,700 91
NICOR, Inc. 3,100 131
</TABLE>
25
<PAGE> 28
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
MARKET
VALUE*
BALANCED INDEX FUND SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C>
NIKE, Inc. Class B 20,400 $ 801
- - Nine West Group, Inc. 2,100 54
- - 99 Cents Only Stores 1,375 41
Noble Affiliates, Inc. 3,400 120
- - Noble Drilling Corp. 8,700 266
- - Noodle Kidoodle Inc. 5,000 18
- - Nord Resources Corp. 15,700 28
Nordson Corp. 1,700 78
Nordstrom, Inc. 5,500 331
Norfolk Southern Corp. 26,500 817
Norrell Corp. 2,400 48
- - Nortek, Inc. 2,500 66
- - North American Vaccine, Inc. 2,739 68
North Fork Bancorp, Inc. 10,204 342
Northeast Utilities 9,400 111
Northern States Power Co. 5,200 303
Northern Trust Corp. 7,900 553
Northrop Grumman Corp. 4,624 532
- - Northwest Airlines Corp. Class A 7,200 345
Northwest Natural Gas Co. 2,450 76
Northwest Savings Bank 11,600 167
Norwest Corp. 52,660 2,034
- - Nova Corp. (Georgia) 1,700 43
- - Nu Horizons Electronics Corp. 6,300 40
- - NovaCare, Inc. 7,100 93
- - Nu-Kote Holding, Inc. Class A 4,600 3
- - Novavax, Inc. 6,110 31
- - Novell, Inc. 22,000 164
- - Novellus Systems, Inc. 4,600 149
Nucor Corp. 5,500 266
- - Nuevo Energy Co. 1,700 69
- - Numerex Corp. 500 3
- - nVIEW Corp. 3,300 3
- - OAO Technology 361 3
OEA, Inc. 1,300 38
OGE Energy Corp. 2,600 142
- - OHM Corp. 5,700 43
- - OIS Optical Imaging Systems, Inc. 6,100 8
- - Oak Technology, Inc. 2,900 19
- - Oakley, Inc. 7,000 63
Oakwood Homes Corp. 4,100 136
- - Object Design, Inc. 5,400 46
- - Objective Systems Integrators, Inc. 1,700 14
Occidental Petroleum Corp. 23,900 701
- - Ocean Energy, Inc. 1,200 59
Ocean Financial Corp. 1,600 60
- - Oceaneering International, Inc. 2,810 56
- - Ocwen Financial Corp. 3,400 86
- - Office Depot, Inc. 10,625 254
- - OfficeMax, Inc. 7,200 103
- - Offshore Logistics, Inc. 4,000 86
Ogden Corp. 3,200 90
Ohio Casualty Corp. 2,400 108
- - Old Dominion Freight Line, Inc. 4,000 58
Old Kent Financial Corp. 6,860 273
Old National Bancorp 1,575 77
Old Republic International Corp. 6,150 229
Olin Corp. 2,800 131
Olsten Corp. 3,950 59
Omnicare, Inc. 4,600 143
Omnicom Group Inc. 12,000 509
- - Omega Health Systems, Inc. 5,700 43
Omega Healthcare Investors,
Inc. REIT 2,400 93
Omega Financial Corp. 1,700 58
- - Omnipoint Corp. 3,200 75
- - On Assignment, Inc. 2,400 63
- - ONCOR Inc. 8,369 39
One Valley Bancorp of
West Virginia Inc. 7,100 275
ONEOK, Inc. 1,700 69
- - ONSALE, Inc. 4,000 72
- - Optical Cable Corp. 2,600 21
Optical Coating Laboratory, Inc. 1,600 22
- - Oracle Corp. 70,587 1,573
Orange & Rockland Utilities, Inc. 2,500 116
Orange-Co, Inc. 4,900 40
- - OraVax, Inc. 2,600 5
- - Oregon Metallurgical Corp. 2,100 70
- - Organogenesis, Inc. 7,421 196
Oregon Steel Mills, Inc. 1,600 34
Orion Capital Corp. 1,800 84
- - Ortel Corp. 2,900 46
- - Orthodontic Centers of
America, Inc. 2,700 45
- - Oryx Energy Co. 7,400 189
Oshkosh Truck Corp. 2,900 52
- - Osicom Technologies, Inc. 4,042 9
Otter Tail Power Co. 2,098 80
- - Outback Steakhouse 2,200 64
- - Outdoor Systems, Inc. 5,200 200
Overseas Shipholding Group Inc. 1,900 41
Owens Corning 2,800 96
- - Owens-Illinois, Inc. 10,100 383
- - Oxford Health Plan 4,700 73
- - Oxigene, Inc. 1,000 18
PCA International, Inc. 1,400 29
PECO Energy Corp. 16,000 388
PG&E Corp. 29,540 899
- - PHP Healthcare Corp. 2,800 42
- - PICO Holdings Inc. 7,014 45
- - PMC Sierra Inc. 3,466 108
The PMI Group Inc. 2,200 159
- - PMT Services Inc 1,900 27
PNC Bank Corp. 21,035 1,200
PP&L Resources Inc. 11,900 285
PPG Industries, Inc. 12,700 725
- - PRI Automation, Inc. 4,400 127
PXRE Corp. 2,000 66
PACCAR, Inc. 5,450 286
Pacific Century Financial Corp. 4,500 111
- - Pacific Chemical Inc. 70 1
Pacific Enterprises 5,900 222
- - Pacificare Health Systems Inc.
Class A 712 36
- - Pacificare Health Systems Inc.
Class B 1,868 98
PacifiCorp 21,400 584
- - Paging Network, Inc. 5,900 64
PaineWebber Group, Inc. 9,900 342
- - Pairgain Technologies, Inc. 4,800 93
Pall Corp. 8,066 167
</TABLE>
26
<PAGE> 29
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ------------------------------------------------------------------------
<S> <C> <C>
- - PanAmSat Corp. 1,043 $ 45
- - Papa John's International, Inc. 1,800 63
- - Paragon Health Network, Inc. 2,181 43
- - Parametric Technology Corp. 8,800 416
- - Park-Ohio Industries, Inc. 4,400 80
- - Parker Drilling Co. 5,400 66
Parker Hannifin Corp. 8,100 372
- - ParkerVision, Inc. 2,300 41
Parkway Properties Inc. 2,800 96
- - PathoGenesis Corp. 1,800 67
Patriot American Hospitality,
Inc. REIT 4,400 127
Paychex, Inc. 7,612 387
- - Payless ShoeSource, Inc. 2,080 140
- - Paymentech, Inc. 3,000 44
- - PEC Israel Economic Corp. 4,000 86
- - Pediatrix Medical Group, Inc. 1,600 68
- - Pegasystems Inc. 1,700 34
- - The Penn Traffic Co. 6,200 51
Penn Virginia Corp. 2,000 59
Penncorp Financial Group Inc. 1,700 61
J.C. Penney Co., Inc. 17,605 1,062
Pennsylvania Enterprises Inc. 1,966 50
Pentair, Inc. 3,700 133
Pennzoil Co. 2,700 180
People's Bank of Bridgeport 3,600 137
- - People's Choice TV Corp. 16,400 30
Peoples Energy Corp. 2,100 83
Peoples First 3,935 155
Peoples Heritage Financial
Group Inc. 2,600 120
- - PeopleSoft, Inc. 16,000 622
Pep Boys (Manny, Moe & Jack) 3,900 93
PepsiCo, Inc. 110,200 4,015
- - Perclose, Inc. 1,200 23
- - Performance Food Group Co. 450 11
Perkin-Elmer Corp. 2,800 199
- - Perrigo Co. 6,900 93
- - PerSeptive Biosystems, Inc. 650 8
- - Personnel Group of America, Inc. 2,800 92
- - Pete's Brewing Co. 2,300 9
- - Petrocorp, Inc. 4,822 39
Petroleum Heat & Power Co. 10,100 23
- - PETsMART, Inc. 10,848 78
Pfizer, Inc. 92,000 6,860
- - Pharmaceutical Markets 6,100 62
- - Pharmaceutical Product
Development, Inc. 3,700 57
- - PharMerica, Inc. 3,914 41
- - Pharmacopeia, Inc. 3,300 53
Phelps Dodge Corp. 4,200 261
- - Philadelphia Consolidated
Holding Corp. 3,600 64
Philip Morris Cos., Inc. 174,500 7,907
- - Philip Services Corp. 3,604 52
Phillips Petroleum Co. 18,600 904
Phillips-Van Heusen Corp. 1,200 17
- - Phoenix Network, Inc. 4,400 2
- - Photronics Labs Inc. 3,000 73
- - PhyCor, Inc. 3,250 88
- - Physician Reliance Network, Inc. 4,500 47
- - Physician Sales & Service, Inc. 2,900 63
- - Physio-Control International Corp. 2,400 38
- - PictureTel Corp. 2,800 18
Piedmont Natural Gas, Inc. 1,800 65
Pier 1 Imports Inc. 9,307 211
- - Pilgrim America Cap Corp. 2,400 48
Pinnacle Bancorp Group Inc. 2,600 75
- - Pinnacle Micro Inc. 4,450 1
Pinnacle West Capital Corp. 6,000 254
Pioneer Group, Inc. 2,700 75
Pioneer Hi-Bred International, Inc. 4,625 496
Pioneer Natural Resources Co. 4,800 139
Pioneer Standard Electronics Inc. 7,200 111
Piper Jaffray Cos., Inc. 3,000 109
Pitney Bowes, Inc. 10,500 944
Pittston Brink's Group 2,500 101
Pittston Burlington Group 2,450 64
Pittway Corp. Class A 1,300 91
- - Pixar, Inc. 3,200 70
Pizza Inn, Inc. 9,200 53
- - Plains Resources 3,017 52
- - Planet Hollywood International,
Inc. Class A 5,600 74
- - Planet Polymer Technology, Inc. 5,200 8
- - Plantronics, Inc. 2,600 104
- - Platinum Software Co. 6,274 73
- - Platinum Technology, Inc. 3,600 102
- - Playtex Products, Inc. 6,900 71
Plenum Publishing Corp. 1,100 51
- - Pluma, Inc. 400 3
Poe & Brown, Inc. 2,900 129
Pogo Producing Co. 4,600 136
Polaris Industries, Inc. 1,700 52
Polaroid Corp. 3,300 161
- - Policy Management Systems Corp. 2,900 202
- - Polo Ralph Lauren Corp. 1,200 29
Popular, Inc. 4,900 242
Post Properties, Inc. REIT 1,300 53
Potash Corp. of
Saskatchewan, Inc. 354 29
Potlatch Corp. 1,800 77
Potomac Electric Power Co. 8,300 214
Poughkeepsie Financial Corp. 6,700 78
- - Powertel Inc. 3,900 66
Praxair, Inc. 10,600 477
Precision Castparts Corp. 1,300 78
- - Precision Response Corp. 2,000 21
Premark International, Inc. 3,300 96
Premier Farnell PLC ADR 1,645 22
Premier Farnell PLC
$1.35 Cvt. Pfd. ADR 1,326 26
- - Premisys Communications, Inc. 1,500 39
Prentiss Properties Trust REIT 2,400 67
- - Presstek, Inc 1,400 36
T. Rowe Price 4,400 277
Price REIT, Inc. 700 29
- - Primadonna Resorts, Inc. 2,200 37
Prime Retail, Inc. REIT 2,200 31
- - PRIMEDIA Inc. 7,700 97
Primex Technologies, Inc. 280 10
- - Primark Corp. 5,300 216
</TABLE>
27
<PAGE> 30
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
MARKET
VALUE*
BALANCED INDEX FUND SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C>
- - Prime Hospitality Corp. 2,300 $ 47
- - Pride International Inc. 3,300 83
Procter & Gamble Co. 96,900 7,734
- - Proffitt's, Inc. 11,600 330
- - Progress Software Corp. 2,800 61
Progressive Corp. of Ohio 5,600 671
- - Project Software &
Development, Inc. 1,400 33
- - Promus Hotel Corp. 4,636 195
Protective Life Corp. 1,800 108
- - Proteon Inc. 2,600 3
- - Provident American Corp. 2,800 7
Provident Cos., Inc. 9,680 374
Provident Financial Group, Inc. 3,000 146
Providian Financial Corp. 6,100 276
- - Proxim, Inc. 1,800 20
- - Proxymed Pharmacy, Inc. 2,900 20
- - PSINet, Inc. 2,000 10
Public Service Co. of New Mexico 2,300 54
Public Service Co. of
North Carolina, Inc. 1,600 37
Public Service Enterprise
Group, Inc. 16,400 520
Public Storage Properties XI
Class A 100 2
Public Storage, Inc. REIT 7,219 212
- - Pudgie's Chicken, Inc. 7,100 1
Puerto Rican Cement Co., Inc. 2,900 146
Puget Sound Energy Inc. 6,180 187
Pulitzer Publishing Co. 1,333 84
Pulte Corp. 1,600 67
- - QLogic Corp. 1,473 44
Quaker Chemical Corp. 2,300 44
- - Quaker City Bancorp, Inc. 1,000 22
The Quaker Oats Co. 9,700 512
- - QUALCOMM, Inc. 4,900 248
- - Quality Food Centers Inc. 1,600 107
- - Quality Systems, Inc. 2,400 18
- - Qualix Group, Inc. 9,100 27
- - Quantum Corp. 8,400 169
- - Quest Diagnostics, Inc. 1,762 30
Questar Corp. 2,000 89
Quick & Reilly Group, Inc. 5,001 215
- - QuickResponse Services, Inc. 1,100 40
- - Quiksilver, Inc. 2,900 84
- - Quickturn Design Systems, Inc. 5,800 67
- - Quintel Entertainment, Inc. 800 4
- - Quintiles Transnational Corp. 5,200 200
- - Quorum Health Group, Inc. 5,400 142
- - Qwest Communications
International Inc. 6,900 410
- - RCN Corp. 1,800 62
RFS Hotel Investors, Inc. REIT 4,100 82
R.L.I. Corp. 2,625 131
RJR Nabisco Holdings Corp. 23,299 874
RPM Inc. (Ohio) 6,905 107
- - RWD Technologies, Inc. 2,400 43
- - Racotek, Inc. 7,000 10
- - RailTex, Inc. 3,894 56
- - Rainbow Technologies, Inc. 4,000 116
- - Rainforest Cafe, Inc. 2,350 78
- - Rambus Inc. 1,400 64
- - Ralcorp Holdings, Inc. 3,533 60
Ralston-Ralston Purina Group 7,815 726
- - Ramtron International Corp. 6,100 35
- - Raptor Systems, Inc. 3,100 41
- - Rare Hospitality International Inc. 4,600 42
- - Raster Graphics, Inc. 5,600 25
- - Rational Software Corp. 4,663 54
Raychem Corp. 5,800 250
Raymond James Financial, Inc. 1,400 56
Rayonier Inc. 1,800 77
Raytheon Co. Class A 6,845 338
Raytheon Co. Class B 16,700 843
- - Read Rite Corp. 3,800 60
Reader's Digest Assn., Inc. Class A 7,700 182
- - Reading & Bates Corp. 5,100 214
Realty Income Corp. REIT 1,300 33
Reckson Associates Realty
Corp. REIT 2,500 63
- - Recovery Engineering, Inc. 4,600 111
- - Red Brick Systems, Inc. 2,700 19
Redwood Trust, Inc. 1,200 25
- - Reebok International Ltd. 3,413 98
- - Regal Cinemas, Inc. 1,800 50
Regis Corp. 4,140 105
Regions Financial Corp. 9,436 398
- - Regent Assisted Living, Inc. 1,500 9
- - The Registry, Inc. 1,600 74
Reinsurance Group of America, Inc. 1,500 64
Reliance Acceptance Group Inc. 13,500 4
Reliance Bancorp, Inc. 2,000 74
Reliance Group Holdings 7,000 99
Reliastar Financial Corp. 6,538 269
- - Remedy Corp. 2,400 51
- - Renal Treatment Centers, Inc. 1,000 36
- - Republic Industries, Inc. 52,730 1,229
Republic New York Corp. 3,600 411
- - ReSound Corp. 5,200 28
- - Retirement Care Associates, Inc. 8,268 70
- - Revlon, Inc. Class A 1,300 46
- - Rexall Sundown, Inc. 3,600 109
Reynolds & Reynolds Class A 5,300 98
Reynolds Metals Co. 4,800 288
Richfood Holdings, Inc. 8,850 250
Riggs National Corp. 1,900 51
- - Right Management Consultants 2,000 26
- - Rio Hotel and Casino, Inc. 3,000 63
Rite Aid Corp. 8,675 509
Roadway Express Inc. 1,000 22
- - Robert Half International, Inc. 7,650 306
Rochester Gas and Electric Corp. 1,900 65
- - Rochester Medical Corp. 2,300 31
Rockwell International Corp. 14,000 732
- - Rockshox, Inc. 4,600 41
- - Rogers Corp. 2,100 86
Rohm & Haas Co. 3,800 364
Rohn Industries Inc. 9,000 46
Rollins, Inc. 3,600 73
Rollins Truck Leasing 6,750 121
- - Ronson Corp. 2,400 6
Roper Industries Inc. 6,472 183
</TABLE>
28
<PAGE> 31
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C>
Ross Stores, Inc. 3,000 $ 109
- - Ross Technology, Inc. 20,200 21
Rouse Co. 4,300 141
- - Rowan Cos., Inc. 6,100 186
- - Royal Appliance Manufacturing Co. 6,014 40
Royal Caribbean Cruises, Ltd. 7,900 421
- - Royal Precision Inc. 2,000 14
Rubbermaid, Inc. 10,500 263
- - Ruby Tuesday, Inc. 2,875 74
Ruddick Corp. 4,300 75
Russell Corp. 2,200 58
- - Rutherford-Moran Oil Corp. 1,700 31
- - Ryan's Family Steak Houses, Inc. 8,000 69
Ryder System, Inc. 5,300 174
SBC Communications Inc. 65,195 4,776
- - SCI Systems, Inc. 13,100 571
- - SDL, Inc. 2,500 36
SEI Corp. 2,400 101
Semco Energy Inc. 3,068 55
SLM Holding Corp. 4,100 570
- - SMC Corp. 1,200 10
- - SPS Technologies, Inc. 1,648 72
- - SPS Transaction Services 2,600 59
SPX Corp. 1,000 69
- - S3, Inc. 2,800 14
SAFECO Corp. 9,600 467
- - Safeguard Scientifics, Inc. 1,806 57
- - Safeskin Corp. 1,900 108
Safety-Kleen Corp. 3,500 96
- - Safeway, Inc. 17,205 1,088
- - Saga Communications, Inc. 3,468 74
St. Francis Capital Corp. 1,200 61
St. Joe Corp. 2,600 235
St. John Knits, Inc. 1,700 68
- - St. Jude Medical, Inc. 6,600 201
St. Mary Land & Exploration Co. 2,372 82
St. Paul Bancorp, Inc. 5,536 145
St. Paul Cos., Inc. 5,200 427
- - Saks Holdings, Inc. 3,700 77
Salient 3 Communications Class A 2,500 30
- - Samsonite Corp. 1,300 41
- - Sanchez Computer Associates, Inc. 2,181 64
- - SanDisk Corp. 3,400 68
- - John B. Sanfilippo & Son, Inc. 5,600 42
- - Sanmina Corp. 1,100 75
- - Santa Fe Energy Resources, Inc. 5,400 61
Santa Monica Bank 1,900 53
Sara Lee Corp. 33,500 1,886
- - Satcon Technology Corp. 3,007 39
- - Sawtek Inc. 1,300 34
- - Saxton Inc. 6,000 42
Sbarro, Inc. 2,300 61
SCANA Corp. 6,600 198
- - Scheid Vineyards, Inc. Class A 3,300 28
- - Henry Schein, Inc. 2,835 100
- - R. P. Scherer Corp. 1,400 85
- - Scherer Health 3,200 11
Schering-Plough Corp. 53,100 3,299
Schlumberger Ltd. 34,900 2,809
Schnitzer Steel Industries, Inc.
Class A 2,000 56
- - Scholastic Corp. 900 34
- - Schuff Steel Co. 900 10
- - Schuler Homes Inc. 2,200 14
A. Schulman Inc. 1,900 48
Charles Schwab Corp. 19,100 801
Schweitzer-Mauduit
International, Inc. 1,850 69
- - Sciclone Pharmaceuticals 800 3
Scientific-Atlanta, Inc. 4,000 67
- - Scientific Games Holdings Corp. 3,200 65
- - Scios, Inc. 2,300 23
- - Scopus Technology, Inc. 3,600 43
- - The Score Board, Inc. 16,500 13
- - Scotts Co. 3,800 115
E.W. Scripps Co. Class A 4,800 233
Seacoast Banking Corp. of Florida
Class A 3,200 124
- - Seagate Technology 15,368 296
- - SEACOR SMIT Inc. 800 48
- - Seagull Energy Corp. 3,804 78
- - Sealed Air Corp. 2,700 167
Sears, Roebuck & Co. 27,700 1,253
- - Seattle FilmWorks, Inc. 3,375 38
Security Capital Atlantic, Inc. REIT 2,588 55
Security Capital Industrial
Trust REIT 7,252 180
- - Security Capital Group Inc.
Warrants Exp. 9/18/1998 774 4
Security Capital Pacific, Inc. REIT 5,600 136
- - Security Dynamics
Technologies, Inc. 2,400 86
- - Security First Network Bank 5,447 40
Sensormatic Electronics Corp. 3,500 58
- - Sepracor Inc. 4,700 188
- - Sequa Corp. Class A 1,456 95
- - Sequent Computer Systems, Inc. 4,100 82
- - SEQUUS Pharmaceuticals, Inc. 4,600 34
Service Corp. International 18,200 672
- - Service Merchandise Co., Inc. 19,200 41
Shared Medical Systems Corp. 1,437 95
Shaw Industries, Inc. 7,000 81
Sherwin-Williams Co. 12,500 347
- - Shiva Corp. 1,600 14
- - Shoe Carnival, Inc. 650 5
- - Shopko Stores, Inc. 3,700 80
- - Shoney's Inc. 8,295 26
- - Shorewood Packaging Corp. 3,400 91
- - ShowBiz Pizza Time, Inc. 3,700 86
Showboat, Inc. 3,600 106
- - Shuffle Master, Inc. 5,133 36
Shurgard Storage Centers, Inc.
Class A REIT 1,800 52
- - Siebel Systems, Inc. 2,200 92
Sierra Pacific Resources 1,800 68
Sigma-Aldrich Corp. 7,300 289
- - Signal Technology Corp. 4,147 21
SIG Corp. 2,550 75
- - Silicon Gaming, Inc. 600 6
- - Silicon Graphics, Inc. 11,604 144
- - Silicon Valley Bancshares 2,000 112
- - Silicon Valley Research, Inc. 3,100 2
</TABLE>
29
<PAGE> 32
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
MARKET
VALUE*
BALANCED INDEX FUND SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C>
Simon DeBartolo Group, Inc. REIT 7,284 $ 238
- - Simulation Sciences, Inc. 3,000 49
- - SITEL Corp. 4,400 40
Sizzlers Property Investors, Inc. 4,100 43
- - Sizzler International 13,700 37
- - SMART Modular Technologies, Inc. 3,000 69
- - SmarTalk Teleservices, Inc. 3,000 69
- - Smith Corona Corp.
Warrants Exp. 2/28/1999 620 1
A.O. Smith Corp. 1,500 63
- - Smith International, Inc. 2,400 147
- - Smithfield Foods, Inc. 5,000 164
- - Snyder Communications, Inc. 2,720 99
Snap-On Inc. 3,950 172
- - Software Spectrum, Inc. 2,400 28
- - Sofamor Danek Group, Inc. 1,100 72
- - Sola International, Inc. 1,500 49
- - Solectron Corp. 8,000 333
Solutia, Inc. 7,700 205
Somerset Group, Inc. 5,156 108
Sonat, Inc. 5,300 242
Sonoco Products 6,700 232
Sotheby's Holdings Class A 3,300 61
Southdown, Inc. 2,700 159
Southern Co. 49,400 1,278
Southern New England
Telecommunications Corp. 4,300 216
- - Southern Union Co. 5,912 141
- - Southland Corp. 22,300 47
SouthTrust Corp. 7,248 459
Southwest Airlines Co. 15,625 385
Southwest Bancshares, Inc. 2,776 83
Southwest Gas Corp. 3,600 67
Southwestern Energy Co. 3,000 39
Sovereign Bancorp, Inc. 5,910 123
Sovran Self Storage, Inc. REIT 2,200 71
- - SpaceLabs Medical, Inc. 2,500 47
- - Spacetec IMC Corp. 4,200 13
Spartan Motors, Inc. 5,800 36
- - SpectraLink Corp. 13,200 38
- - SpecTran Corp. 4,200 41
- - Spectranetics Corp. 2,900 9
- - SpectRx, Inc. 5,074 34
- - Speedfam International, Inc. 700 19
- - Speedway Motorsports, Inc. 2,600 65
- - Spelling Entertainment 9,900 69
- - Spiegel, Inc. Class A 8,500 42
Spieker Properties, Inc. REIT 2,800 120
- - Splash Technology Holdings, Inc. 2,800 64
Springs Industries Inc. Class A 1,200 62
Sprint Corp. 30,540 1,790
- - Spyglass, Inc. 3,000 15
- - Stac, Inc. 2,670 12
- - Standard Commercial Tobacco Co. 4,363 72
- - Standard Microsystem 4,300 37
Standard Motor Products, Inc. 3,300 74
Standard Products Co. 3,700 95
The Standard Register Co. 1,100 38
Stanhome, Inc. 2,300 59
The Stanley Works 5,500 260
- - Staodynamics Inc. 8,300 18
- - Staples, Inc. 11,425 318
Star Banc Corp. 5,400 310
- - Starbucks Corp. 4,800 184
L. S. Starrett Co. Class A 1,400 51
- - Starter Corp. 8,200 25
Starwood Lodging Trust REIT 3,700 214
State Street Corp. 11,600 675
- - Station Casinos, Inc. 5,900 60
- - Steel Dynamics, Inc. 3,100 50
- - Stein Mart, Inc. 1,500 40
Stephan Co. 1,000 13
- - STERIS Corp. 2,054 100
- - Sterling Commerce, Inc. 5,607 216
- - Sterling Software, Inc. 2,200 90
Stewart & Stevenson Services, Inc. 3,000 77
Stewart Enterprises, Inc. Class A 3,150 147
- - Stone Container Corp. 5,700 59
- - Stone Energy Corp. 2,300 77
Storage USA, Inc. REIT 2,000 80
Storage Trust Realty REIT 2,600 68
- - Storage Technology Corp. 3,796 235
- - Strategia Corp. 1,400 11
- - Strategic Distribution, Inc. 5,800 26
- - Strattec Strategy Corp. 2,100 55
- - Stratus Computer, Inc. 2,300 87
Stride Rite Corp. 6,600 79
- - Structural Dynamics
Research Corp. 2,100 48
Stryker Corp. 13,700 510
Student Loan Corp. 1,200 59
- - Submicron Systems Corp. 700 2
- - Suiza Foods Corp. 1,200 71
Sumitomo Bank of California 2,700 142
- - Summit Care Corp. 4,100 68
Summit Bancorp. 15,111 805
Sun Co., Inc. 4,337 182
- - Sun Microsystems, Inc. 26,600 1,062
SunAmerica Inc. 12,750 545
- - Sun Healthcare Group, Inc. 3,800 74
- - Sunburst Hospitality Corp 1,066 11
Sunbeam Corp. 6,000 253
Sundstrand Corp. 3,600 181
- - SunGard Data Systems, Inc. 5,400 167
- - Sunglass Hut International, Inc. 6,000 38
- - Sunrise Medical, Inc. 4,800 74
SunTrust Banks, Inc. 14,200 1,014
- - SuperGen, Inc. 3,400 52
Superior Industries
International, Inc. 1,400 38
Superior Surgical Manufacturing
Co., Inc. 5,900 94
SuperValu Inc. 3,500 147
- - Supreme International Corp. 3,150 40
Susquehanna Bancshares, Inc. 1,950 75
- - Swift Energy Co. 100 2
- - Swift Transportation Co., Inc. 1,800 59
- - Sybase, Inc. 3,840 51
- - Sybron International Corp. 6,004 282
- - Sykes Enterprises, Inc. 1,800 35
- - Sylvan Learning Systems, Inc. 1,850 73
- - Symantec Corp. 3,000 66
Symbol Technologies, Inc. 1,950 74
- - Syms Corp. 4,500 53
</TABLE>
30
<PAGE> 33
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C>
- - Synagro Technologies Inc. 4,100 $ 11
Synalloy Corp. 2,000 30
- - Syncor International Corp. 2,300 38
- - Synopsys, Inc. 4,946 177
- - Synetic, Inc. 1,100 41
Synovus Financial Corp. 12,425 407
Sysco Corp. 11,500 524
- - TBC Corp. 7,800 75
TCA Cable Television, Inc. 2,500 116
TCF Financial Corp. 6,756 229
- - TCI Satellite Entertainment, Inc.
Class A 3,804 26
- - TCI Music, Inc. Class A 3,800 29
- - TCSI Corp. 4,800 38
TECO Energy, Inc. 8,800 248
- - Tessco Technologies, Inc. 300 6
TIG Holdings, Inc. 3,500 116
TJX Cos., Inc. 12,000 413
TNP Enterprises, Inc. 1,700 57
- - TRO Learning, Inc. 3,600 19
TRW, Inc. 7,900 422
- - TST Impreso, Inc. 5,300 44
Tab Products 9,100 113
Talbots Inc. 1,800 33
Tandy Corp. 6,800 262
Tanger Factory Outlet Centers, Inc. 1,289 39
Tappan Zee Financial, Inc. 700 13
- - Tatham Offshore, Inc. 630 2
Taubman Co. REIT 6,900 90
- - Tech Data Corp. 2,500 98
- - Tech-Sym Corp. 1,998 51
- - Techne 7,600 138
- - Technical Chemicals and
Products, Inc. 4,200 48
- - Technology Solutions Co. 9,000 238
Tecumseh Products Co. Class A 2,200 108
Tecumseh Products Co. Class B 1,000 49
- - Telco Systems, Inc. 1,900 19
- - Tejas Gas Corp. 1,175 72
- - Tekelec 5,400 165
Tektronix, Inc. 3,600 143
- - Tel-Save Holdings, Inc. 3,600 71
- - Tele-Communications
International, Inc. Series A 6,500 117
- - Tele-Communications, Inc.
Class A 35,265 984
- - Tele-Communications TCI
Ventures Group Series A 15,477 439
Teleflex Inc. 2,074 78
Telephone & Data Systems, Inc. 3,500 163
- - Teleport Communications
Group Inc. 1,000 55
- - TeleSpectrum Worldwide Inc. 2,900 11
- - Tellabs, Inc. 12,800 676
- - Telxon Corp. 1,800 43
- - Telular Corp. 15,500 38
- - Teletech Holdings Inc. 11,400 130
Temple-Inland Inc. 4,100 214
- - Tenet Healthcare Corp. 21,240 704
Tenneco, Inc. 12,000 474
- - Teradyne, Inc. 5,500 176
Terra Industries, Inc. 4,900 64
Texaco Inc. 39,171 2,130
Texas Industries, Inc. 2,800 126
Texas Instruments, Inc. 27,000 1,215
Texas Regional Bancshares, Inc. 2,100 65
Texas Utilities Co. 17,010 707
Textron, Inc. 11,200 700
- - Theragenics Corp. 3,558 129
- - Thermo Electron Corp. 9,862 439
- - Thermo Instrument Systems, Inc. 7,531 259
- - Thermedics Detection Inc. 2,630 27
- - Thermo Cardiosystems Inc. 3,200 86
- - Thermo Fibertek, Inc. 5,550 68
Thermo Remediation, Inc. 2,700 17
- - Thermo TerraTech, Inc. 4,100 33
- - Thermo VolTek 5,250 28
- - ThermoLase Corp. 2,200 23
- - Thermotrex Corp. 2,000 44
- - Thermedics, Inc. 4,300 70
Thiokol Corp. 1,100 89
Thomas & Betts Corp. 3,300 156
Thornburg Mortgage Asset Corp. 3,600 59
- - 3Com Corp. 25,725 898
- - 3DO Co. 4,800 10
- - 360 Communications Co. 7,346 148
Tidewater, Inc. 3,400 187
Tiffany & Co. 2,100 76
Timberline Software Corp. 4,646 58
Time Warner, Inc. 39,900 2,474
The Times Mirror Co. Class A 6,400 394
The Times Mirror Co. 2,876 73
The Timken Co. 4,500 155
Titan International, Inc. 3,000 60
- - Titanium Metals Corp. 2,000 58
- - Todd Shipyards Corp. 4,753 20
- - Todhunter International, Inc. 4,200 44
- - Toll Brothers, Inc. 6,100 163
Tootsie Roll Industries, Inc. 1,273 80
- - The Topps Co., Inc. 9,400 21
Torch Energy Royalty Trust 6,800 43
Torchmark Corp. 8,800 370
The Toro Co. 2,600 111
Tosco Corp. 11,100 420
- - Total Containment 2,100 5
- - Total Renal Care Holdings, Inc. 3,000 83
Total System Services, Inc. 9,400 233
- - Tower Automotive, Inc. 1,700 72
Town & Country Trust REIT 4,300 76
- - Toy Biz 2,600 20
- - Toys R Us, Inc. 19,340 608
- - Tractor Supply Co. 2,700 39
- - Trak Auto Corp. 1,200 14
- - TransAct Technologies Inc. 2,900 32
- - Trans World Gaming Corp. 2,200 1
- - Transaction Systems
Architects, Inc. 1,400 53
Transamerica Corp. 4,500 479
Transatlantic Holdings, Inc. 1,800 129
Transocean Offshore, Inc. 7,200 347
TransPro Inc. 3,000 27
- - TransTexas Gas Corp. 4,500 67
Travelers Property Casualty Corp. 6,000 264
- - Transworld Healthcare Inc. 1,574 11
</TABLE>
31
<PAGE> 34
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
MARKET
VALUE*
BALANCED INDEX FUND SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C>
Travelers Group Inc. 82,418 $ 4,440
Tredegar Industries Inc. 3,900 257
- - Tremont Corp. 1,142 60
Trenwick Group Inc. 1,650 61
- - Triangle Pacific Corp. 2,500 85
- - Trident Microsystems, Inc. 1,800 16
- - Triad Guaranty, Inc. 3,600 106
- - Triarc Cos., Inc. Class A 2,000 55
- - Tricon Global Restaurants, Inc. 9,940 289
Tribune Co. 8,700 542
- - Trigon Healthcare, Inc. 3,000 78
TriMas Corp. 2,400 83
Trinity Industries, Inc. 3,050 136
- - TriQuint Semiconductor, Inc. 4,200 86
TriTeal Corp. 8,000 15
True North Communications 3,600 89
- - Trump Hotels & Casino
Resorts, Inc. 6,700 45
Trustco Bank 3,450 95
Trustmark Corp. 2,200 102
- - Tuboscope Inc. 3,100 75
- - Tucson Electric Power Co. 2,100 38
Tupperware Corp. 3,300 92
20th Century Industries of CA 3,800 99
Tyco International Ltd. 24,808 1,118
- - Tyler Corp. 12,500 69
Tyson Foods, Inc. 15,600 320
- - UAL Corp. 3,700 342
- - UCAR International, Inc. 2,700 108
UGI Corp. Holding Co. 2,100 62
- - UICI 2,700 95
UMB Financial Corp. 1,323 72
USX-Marathon Group 20,100 678
UST, Inc. 11,800 436
- - USA Waste Service 15,307 601
- - U.S. Rentals, Inc. 1,000 24
U.S. Bancorp 17,321 1,939
UNUM Corp. 9,000 489
- - United States Can Co. 4,291 72
USF&G Corp. 7,200 159
- - USG Corp. 2,700 132
USX Delhi Group 4,800 98
USX-U.S. Steel Group, Inc. 6,200 194
- - Ultrafem, Inc. 6,300 6
Ultramar Diamond Shamrock Corp. 5,937 189
Unifi, Inc. 4,400 179
UniFirst Corp. 1,800 51
- - Unigene 7,000 18
Unicom Corp. 15,600 480
Union Camp Corp. 4,300 231
Union Carbide Corp. 8,200 352
Union Electric Co. 6,500 281
Union Pacific Corp. 17,873 1,116
Union Pacific Resources
Group, Inc. 16,581 402
Union Planters Corp. 5,600 380
Union Texas Petroleum
Holdings, Inc. 5,200 108
UnionBanCal Corp. 3,700 394
- - Uniphase Corp. 2,000 82
- - Uniroyal Technology Corp. 9,000 57
Unisource Worldwide, Inc. 7,750 110
- - Unisys Corp. 11,500 160
- - Unit Corp. 16,900 163
United Asset Management Corp. 4,900 120
United Cos. Finance Corp. 3,300 51
- - United Capital Corp. 1,700 45
United Dominion Industries Ltd. 4,100 104
United Dominion Realty Trust REIT 5,500 77
United Healthcare Corp. 12,415 617
United Illuminating Co. 2,300 106
- - United International Holdings, Inc.
Class A 5,400 61
- - United Leisure Corp. 1,800 1
- - United Meridian Corp. 2,100 59
United National Bancorp 2,120 57
- - United Natural Foods, Inc. 2,800 73
- - United Payors & United
Providers, Inc. 2,900 55
- - U.S. Bioscience 5,050 46
- - U.S. Cellular Corp. 4,900 152
- - U.S. Energy Corp. 3,600 31
- - U.S. Filter Corp. 5,700 171
- - US Airways Group, Inc. 6,500 406
- - U.S. Home Corp. 2,100 82
U.S. Industries, Inc. 4,650 140
- - U.S. Office Products Co. 7,500 146
- - U.S. Satellite Broadcasting Co.,
Inc. Class A 5,200 41
U.S. Surgical Corp. 4,800 141
U S WEST Communications
Group 33,200 1,498
- - U S WEST Media Group 43,700 1,262
U.S. Trust Corp. 2,098 133
United Technologies Corp. 16,700 1,216
United Television, Inc. 1,487 154
United Wisconsin Services, Inc. 800 21
Unitrin, Inc. 2,400 156
- - Unitrode Corp. 7,178 154
Universal Corp. 1,800 74
- - Universal Electronics, Inc. 2,900 29
Universal Foods Corp. 1,500 63
- - Universal Health Services Class B 1,700 86
Unocal Corp. 17,400 675
- - UNOVA, Inc. 3,500 58
- - Uranium Resources, Inc. 6,600 26
- - Urocor, Inc. 4,000 25
- - UroQuest Medical Corp. 8,800 23
US Bancorp, Inc. 700 52
- - USDATA Corp., Inc. 2,497 12
UtiliCorp United, Inc. 3,200 124
VF Corp. 8,200 377
- - VLSI Technology, Inc. 3,000 71
- - Valassis Communications, Inc. 2,600 96
Valhi, Inc. 6,900 65
- - Valence Technology 1,000 5
Valero Energy Corp. 13,500 424
Valley National Bancorp 2,325 91
Valspar Corp. 2,200 70
- - Value City Department Stores, Inc. 5,200 46
Value Line, Inc. 2,600 105
- - Vanguard Cellular Systems, Inc.
Class A 4,300 55
</TABLE>
32
<PAGE> 35
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C>
- - Vanstar Corp. 2,400 $ 27
- - Vantive Corp. 1,500 38
- - Varco International, Inc. 4,200 90
Varian Associates, Inc. 2,000 101
- - Vasomedical, Inc. 8,900 16
Vastar Resources, Inc. 6,100 218
- - Vencor, Inc. 4,000 98
- - Venture Stores, Inc. 5,637 5
- - Verilink Corp. 1,700 10
- - Veritas Software Corp. 2,200 112
- - Verity, Inc. 2,900 14
- - Versant Object Technology Corp. 4,000 55
- - Vertex Industries, Inc. 6,700 4
- - Vertex Pharmaceuticals, Inc. 1,400 46
Vesta Insurance Group, Inc. 800 48
- - Veterinary Centers of America, Inc. 1,740 23
- - Viacom Inc. Class A 1,040 43
- - Viacom Inc. Class B 22,722 942
Viad Corp. 7,000 135
- - VIASOFT, Inc. 1,000 42
- - Vicor Corp. 2,500 68
- - Vicorp Restaurants, Inc. 2,600 45
- - Video Lottery Technologies Inc. 4,800 56
- - Viisage Technology, Inc. 4,500 26
- - Viking Office Products 4,900 108
- - VideoServer, Inc. 1,700 27
Vintage Petroleum, Inc. 2,200 42
Virginia Beach Federal
Financial Corp. 2,700 50
- - Vishay Intertechnology, Inc. 4,520 107
- - VISIX Inc. 2,729 60
- - Vitalink Pharmacy Services, Inc. 1,366 33
- - Vitesse Semiconductor Corp. 3,300 126
- - Vivus, Inc. 2,200 23
- - VMARK Software, Inc. 3,602 28
- - Volt Information Sciences Inc. 600 32
Vornado Realty Trust REIT 3,000 141
Vulcan Materials Co. 2,100 214
WD-40 Co. 3,600 105
- - WFS Financial, Inc. 2,110 24
- - WHX Corp. 6,000 71
- - WHG Resorts & Casino Inc. 600 13
Wicor, Inc. 1,800 84
- - WMF Group Limited 767 10
- - WMS Industries, Inc. 2,400 51
WPL Holdings, Inc. 1,500 50
WPS Resources Corp. 2,579 87
- - WSFS Financial Corp. 2,400 49
Wabash National Corp. 2,550 73
Wachovia Corp. 14,420 1,170
Wackenhut Corp. 2,008 47
- - Wackenhut Corrections Corp. 2,400 65
Wainwright Bank & Trust Co. 200 2
Wal-Mart Stores, Inc. 163,100 6,432
Walbro Corp. 2,400 32
Walgreen Co. 35,500 1,114
- - Walker Interactive Systems, Inc. 4,300 59
- - Wall Data Inc. 3,404 47
Wallace Computer Services, Inc. 2,900 113
- - Wang Laboratories, Inc. 2,300 51
The Warnaco Group, Inc. Class A 4,520 142
Warner-Lambert Co. 19,100 2,368
Washington Federal Inc. 5,097 160
Washington Gas Light Corp. 2,600 80
Washington Mutual, Inc. 19,920 1,271
Washington Post Co. Class B 700 341
Washington REIT 4,500 75
Washington Water Power Co. 2,800 68
Waste Management Inc. 31,864 876
- - Waters Corp. 1,700 64
Watkins-Johnson Co. 1,600 42
- - Watson Pharmaceuticals, Inc. 6,200 201
Wausau-Mosinee Paper Corp. 5,126 104
Waverly, Inc. 3,382 160
- - Weatherford Enterra, Inc. 3,025 132
- - Webco Industries, Inc. 5,800 41
Weingarten Realty Investors REIT 1,500 67
- - Weirton Steel 20,600 55
Weis Markets, Inc. 2,400 84
- - Wellcare Management Group, Inc. 4,000 8
Wellman, Inc. 1,700 33
- - Wellpoint Health Networks Inc.
Class A 4,168 176
Wells Fargo & Co. 6,218 2,111
- - Wellsford Real Properties Inc. REIT 712 11
Wendy's International, Inc. 8,400 202
Werner Enterprises, Inc. 5,550 115
Wesco Financial Corp. 600 180
- - West TeleServices Corp. 4,000 48
- - Western Atlas, Inc. 3,500 259
- - Western Digital Corp. 5,200 84
Western Investment Real Estate
Trust REIT 7,000 96
Western National Corp. 3,900 116
Western Resources, Inc. 4,000 172
Westfield America, Inc. REIT 4,700 80
Westinghouse Air Brake Co. 2,200 56
- - Westpoint Stevens, Inc. 1,900 90
Westvaco Corp. 6,250 196
- - Westwood One, Inc. 2,100 77
- - WetSeal, Inc. Class A 3,300 98
Weyerhaeuser Co. 14,000 687
Wheelabrator Technologies, Inc. 9,300 149
Whirlpool Corp. 4,400 242
- - White River 700 56
Whitman Corp. 7,100 185
Whitney Holdings 2,705 154
- - Whole Foods Market, Inc. 3,100 159
Willamette Industries, Inc. 6,800 219
Williams Cos., Inc. 20,014 568
- - Clayton Williams Energy, Inc. 5,700 83
- - Williams Sonoma, Inc. 2,692 113
Wilmington Trust Corp. 2,100 130
- - Wind River Systems 2,400 95
Windmere-Durable Holdings Inc. 2,700 61
Winn-Dixie Stores, Inc. 10,500 459
- - Winslow Furniture Co. 6,700 98
- - Winter Sports Inc. 3,625 57
- - Wireless One, Inc. 2,200 5
- - Wisconsin Central
Transportation Corp. 2,700 63
Wisconsin Energy Corp. 7,500 216
</TABLE>
33
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<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
MARKET
VALUE*
BALANCED INDEX FUND SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C>
Wiser Oil Co. 3,100 $ 44
Witco Chemical Corp. 4,000 163
Wolohan Lumber Co. 4,222 57
Wolverine World Wide, Inc. 5,250 119
- - Wonderware Corp. 1,100 16
- - Woolworth Corp. 9,700 198
- - World Acceptance Corp. 5,500 30
- - World Color Press, Inc. 2,000 53
- - WorldCom, Inc. 65,035 1,969
Worthington Foods 3,066 43
Worthington Industries, Inc. 6,850 113
Wrigley, (Wm.) Jr. Co. 8,400 668
- - Wyman-Gordon Corp. 2,600 51
- - Wyndham Hotel Corp. 1,600 65
- - Xiox Corp. 1,900 9
- - Xilinx, Inc. 4,500 158
Xerox Corp. 22,900 1,690
XTRA Corp. 1,000 59
- - Xylan Corp. 4,100 62
- - Yahoo!, Inc. 2,550 177
York International Corp. 2,300 91
- - York Research Corp. 5,900 50
- - Young Broadcasting Inc. 1,600 63
- - Zale Corp. 2,800 64
- - Zebra Technologies Class A 2,700 81
- - Zenith Electronics Corp. 5,000 27
Zenith National Insurance Corp. 2,100 54
Ziegler Cos., Inc. 1,800 38
- - Zilog Inc. 3,500 67
Zions Bancorp 6,000 271
Zurn Industries, Inc. 1,900 60
- - Zoll Medical Corp. 7,000 37
- -----------------------------------------------------------------------
TOTAL COMMON STOCKS
(COST $443,146) 723,868
- -----------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT
(000)
- -----------------------------------------------------------------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (26.2%)
- -----------------------------------------------------------------------
<S> <C> <C>
U.S. GOVERNMENT SECURITIES (12.9%)
U.S. Treasury Bonds
7.25%, 8/15/2022 $ 325 375
8.00%, 11/15/2021 7,845 9,785
8.125%, 8/15/2019 21,305 26,668
8.125%, 5/15/2021 160 202
8.125%, 8/15/2021 7,725 9,747
8.50%, 2/15/2020 2,705 3,517
8.75%, 5/15/2017 3,665 4,805
8.75%, 5/15/2020 1,275 1,698
8.875%, 8/15/2017 2,425 3,219
8.875%, 2/15/2019 750 1,004
10.00%, 5/15/2010 590 733
10.375%, 11/15/2009 5,515 6,896
10.375%, 11/15/2012 1,775 2,359
13.875%, 5/15/2011 200 304
14.00%, 11/15/2011 2,865 4,450
U.S. Treasury Notes
5.75%, 10/31/2000 275 275
5.75%, 10/31/2002 730 731
5.875%, 11/15/2005 5,350 5,378
6.00%, 8/15/1999 4,950 4,974
6.25%, 5/31/2000 150 152
6.25%, 4/30/2001 800 813
6.25%, 1/31/2002 5,350 5,448
6.25%, 2/28/2002 700 713
6.25%, 2/15/2003 800 818
6.375%, 5/15/1999 9,050 9,133
6.50%, 4/30/1999 4,400 4,448
6.50%, 5/31/2002 1,000 1,030
6.625%, 3/31/2002 2,150 2,220
6.625%, 4/30/2002 18,735 19,359
6.75%, 6/30/1999 3,700 3,758
6.875%, 5/15/2006 8,535 9,134
7.00%, 4/15/1999 2,900 2,948
7.00%, 7/15/2006 6,245 6,742
7.25%, 5/15/2004 595 642
7.50%, 11/15/2001 220 233
7.75%, 1/31/2000 4,300 4,473
7.75%, 2/15/2001 275 291
7.875%, 11/15/1999 1,000 1,039
7.875%, 8/15/2001 500 535
8.00%, 8/15/1999 1,000 1,035
8.50%, 11/15/2000 575 617
9.125%, 5/15/1999 550 575
-----------
163,276
-----------
AGENCY BONDS AND NOTES (0.5%)
Federal Home Loan Mortgage Corp.
6.785%, 3/1/2006 675 679
7.09%, 6/1/2005 400 406
Federal National Mortgage Assn.
4.95%, 9/30/1998 1,250 1,244
5.35%, 8/12/1998 1,250 1,248
5.80%, 12/10/2003 1,200 1,192
6.25%, 8/12/2003 850 845
7.55%, 6/10/2004 850 866
-----------
6,480
-----------
MORTGAGE-BACKED SECURITIES (12.8%)
Federal Home Loan Mortgage Corp.
(3)5.50%, 9/1/1998-1/1/2009 342 339
(3)6.00%, 12/1/1998-4/1/2026 5,710 5,623
(3)6.50%, 1/1/1998-11/1/2027 12,983 12,957
(3)7.00%, 1/1/1998-12/1/2027 16,874 17,096
(3)7.50%, 3/1/2000-12/1/2027 16,289 16,717
(3)8.00%, 11/1/2001-11/1/2027 8,401 8,709
(3)8.50%, 11/1/2007-8/1/2027 3,215 3,359
(3)9.00%, 1/1/2005-10/1/2026 914 976
(3)9.50%, 8/1/2003-4/1/2025 822 888
(3)10.00%, 3/1/2017-4/1/2025 279 307
Federal National Mortgage Assn.
(3)5.50%, 1/1/2001-11/1/2008 131 127
(3)6.00%, 8/1/2000-2/1/2026 2,679 2,641
(3)6.50%, 3/1/2000-11/1/2027 8,843 8,810
(3)7.00%, 5/1/2000-12/1/2027 15,962 16,142
(3)7.50%, 8/1/1999-8/1/2027 10,078 10,342
(3)8.00%, 5/1/1999-9/1/2027 6,119 6,352
(3)8.50%, 6/1/2006-7/1/2027 2,634 2,759
(3)9.00%, 9/1/2004-8/1/2026 1,459 1,556
(3)9.50%, 4/1/2005-2/1/2025 595 641
(3)10.00%, 7/1/2005-8/1/2021 146 160
(3)10.50%, 8/1/2020 35 39
Government National Mortgage Assn.
(3)6.00%, 3/15/2009-5/15/2026 711 695
(3)6.50%, 9/15/2008-5/15/2026 3,809 3,787
</TABLE>
34
<PAGE> 37
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
FACE MARKET
AMOUNT VALUE*
(000) (000)
- -----------------------------------------------------------------------
<S> <C> <C>
(3)7.00%, 5/15/2008-12/15/2027 $ 9,720 $ 9,834
(3)7.50%, 5/15/2008-11/15/2027 11,000 11,297
(3)8.00%, 4/15/2002-7/15/2027 9,300 9,673
(3)8.50%, 7/15/2001-9/15/2027 3,291 3,471
(3)9.00%, 2/15/2004-6/15/2027 3,672 3,952
(3)9.50%, 9/15/2018-12/15/2025 902 980
(3)10.00%, 10/15/2017-2/15/2026 508 562
(3)10.50%, 9/15/2015-9/15/2019 102 115
(3)11.00%, 7/15/2013-12/15/2015 61 69
(3)12.00%, 2/15/2014 38 44
-----------
161,019
-----------
- -----------------------------------------------------------------------
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS
(COST $320,233) 330,775
- -----------------------------------------------------------------------
CORPORATE BONDS (11.9%)
- -----------------------------------------------------------------------
ASSET-BACKED (1.3%)
California Infrastructure & Econ. Dev.
Bank SP Trust PG&E
(3)6.16%, 6/25/2003 625 626
(3)6.42%, 9/25/2008 900 908
Discover Card Master Trust
(3)5.40%, 11/16/2001 3,000 2,987
First Chicago Master Trust
(3)6.25%, 8/15/1999 142 141
First Deposit Master Trust
(3)5.75%, 6/15/2001 2,500 2,501
(3)6.05%, 8/15/2002 2,500 2,504
MBNA Master Credit Card Trust
(3)6.20%, 8/15/1999 142 141
Sears Credit Card Master Trust
(3)7.25%, 7/16/2001 83 83
(3)8.10%, 6/15/2004 2,500 2,605
Standard Credit Card Master Trust
(3)5.90%, 2/7/2001 1,000 1,001
(3)6.80%, 4/7/2001 500 506
(3)7.875%, 1/7/2000 2,500 2,538
-----------
16,541
-----------
FINANCE (5.3%)
American Express Credit Corp.
8.50%, 6/15/1999 175 181
American General Finance Corp.
5.875%, 7/1/2000 450 447
8.00%, 2/15/2000 1,000 1,035
Associates Corp.
6.25%, 3/15/1999 500 502
6.375%, 8/15/2000 3,000 3,018
6.50%, 10/15/2002 1,125 1,136
7.50%, 4/15/2002 350 366
Avalon Properties Inc.
6.875%, 12/15/2007 1,100 1,102
Bank of New York Capital I
7.97%, 12/31/2026 1,000 1,064
BankAmerica Capital II
8.00%, 12/15/2026 1,000 1,074
BankAmerica Corp.
7.50%, 10/15/2002 200 210
10.00%, 2/1/2003 200 232
Bear Stearns Co., Inc.
6.625%, 1/15/2004 300 301
BT Capital Trust B
7.90%, 1/15/2027 500 522
CIT Group Holdings
6.625%, 6/15/2005 350 353
Camden Property Trust
7.00%, 11/15/2006 750 760
Chase Capital I
7.67%, 12/1/2026 1,100 1,138
Chrysler Finance Corp.
5.375%, 10/15/1998 500 498
5.625%, 1/15/1999 1,425 1,421
6.375%, 1/28/2000 1,000 1,004
CitiCorp Capital II
8.015%, 2/15/2027 1,050 1,127
CoreStates Capital Corp.
6.625%, 3/15/2005 700 706
Countrywide Funding MTN
7.31%, 8/28/2000 400 411
Dean Witter Discover & Co.
6.25%, 3/15/2000 2,000 2,004
Equity Residental Properties
6.55%, 11/15/2001 1,350 1,353
First Chicago Corp.
11.25%, 2/20/2001 400 457
First Union Corp.
8.125%, 6/24/2002 500 535
Fleet Capital Trust II
7.92%, 12/11/2026 500 526
Fleet Financial Group, Inc.
6.875%, 3/1/2003 400 408
7.125%, 4/15/2006 500 518
Ford Capital BV
9.00%, 8/15/1998 600 611
9.50%, 6/1/2010 100 124
Ford Motor Credit Co.
6.85%, 8/15/2000 4,000 4,069
8.20%, 2/15/2002 600 642
General Motors Acceptance Corp.
7.00%, 3/1/2000 1,700 1,730
7.125%, 6/1/1999 500 508
9.625%, 12/15/2001 600 670
Great Western Finance
6.375%, 7/1/2000 1,000 1,004
Health & Retirement Property Trust
6.75%, 12/18/2002 1,750 1,746
Household Finance Corp.
7.65%, 5/15/2007 350 377
JDN Realty Corp.
6.80%, 8/1/2004 840 842
Lehman Brothers Holdings
6.90%, 1/29/2001 2,200 2,234
7.20%, 8/15/2009 875 896
Mellon Capital II
7.995%, 1/15/2027 1,000 1,070
Mellon Financial Corp.
6.30%, 6/1/2000 750 754
7.625%, 11/15/1999 350 360
Merrill Lynch & Co., Inc.
6.38%, 7/18/2000 500 504
6.50%, 4/1/2001 2,000 2,018
8.30%, 11/1/2002 125 135
NCNB Corp.
9.50%, 6/1/2004 275 320
</TABLE>
35
<PAGE> 38
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
FACE MARKET
AMOUNT VALUE*
BALANCED INDEX FUND (000) (000)
- -----------------------------------------------------------------------
<S> <C> <C>
NationsBank Corp.
6.50%, 3/15/2006 $ 300 $ 300
7.00%, 9/15/2001 1,500 1,542
NationsBank Texas
6.75%, 8/15/2000 1,200 1,219
Orion Capital Corp.
7.25%, 7/15/2005 1,000 1,031
PaineWebber Group, Inc.
7.00%, 3/1/2000 750 761
Republic New York Corp.
7.75%, 5/15/2002 500 529
7.75%, 5/15/2009 300 329
Salomon, Inc.
6.50%, 3/1/2000 650 654
6.65%, 7/15/2001 1,200 1,214
6.70%, 12/1/1998 1,500 1,510
Salomon Smith Barney Holdings Inc.
5.875%, 2/1/2001 700 692
6.875%, 6/15/2005 200 204
7.98%, 3/1/2000 1,300 1,347
Sears Roebuck & Co. Acceptance Corp.
6.125%, 1/15/2006 350 343
6.50%, 6/15/2000 1,400 1,411
6.75%, 9/15/2005 400 408
Security Capital Pacific Trust
8.05%, 4/1/2017 350 389
Simon DeBartolo Group, Inc.
6.75%, 7/15/2004 750 750
Summit Properties Inc.
6.95%, 8/15/2004 1,800 1,818
SunTrust Banks, Inc.
7.375%, 7/1/2006 600 635
Storage USA
7.50%, 12/1/2027 400 406
Texaco Capital Corp.
7.50%, 3/1/2043 150 160
8.875%, 9/1/2021 100 127
Travelers/Aetna Property Casualty Corp.
7.75%, 4/15/2026 450 493
USF&G Corp.
8.375%, 6/15/2001 1,000 1,062
United Dominion Realty Trust, Inc.
7.25%, 1/15/2007 700 726
U S WEST Financial MTN
8.85%, 9/20/1999 500 523
Wells Fargo & Co.
6.875%, 4/1/2006 600 614
Wells Fargo Capital I
7.96%, 12/15/2026 600 636
-----------
66,856
-----------
INDUSTRIAL (4.4%)
American Stores Co.
8.00%, 6/1/2026 800 906
Anheuser-Busch Cos., Inc.
7.10%, 6/15/2007 1,100 1,136
7.125%, 7/1/2017 400 412
7.375%, 7/1/2023 125 128
8.625%, 12/1/2016 43 44
Applied Materials, Inc.
8.00%, 9/1/2004 125 135
Archer-Daniels-Midland Co.
8.875%, 4/15/2011 295 361
Auburn Hills
12.00%, 5/1/2020 175 280
C.R. Bard, Inc.
6.70%, 12/1/2026 1,100 1,104
Black & Decker Corp.
6.625%, 11/15/2000 1,000 1,009
7.50%, 4/1/2003 1,700 1,781
Bowater, Inc.
9.375%, 12/15/2021 500 628
Burlington Northern Santa Fe Corp.
6.375%, 12/15/2005 150 149
6.875%, 2/15/2016 500 504
7.00%, 12/15/2025 100 102
7.25%, 8/1/2097 300 309
CSX Corp.
8.625%, 5/15/2022 100 119
Caterpillar Co.
7.375%, 3/1/2097 750 788
Chrysler Corp.
7.45%, 2/1/2097 300 319
Comcast Cablevision
8.875%, 5/1/2017 850 1,010
Conrail Corp.
9.75%, 6/15/2020 120 158
Cyprus Minerals
6.625%, 10/15/2005 600 597
Deere & Co.
8.50%, 1/9/2022 100 121
Delta Airlines, Inc.
(Equipment Trust Certificates)
(3)8.54%, 1/2/2007 398 436
The Walt Disney Co.
7.55%, 7/15/2093 850 937
Eastman Chemical Co.
6.375%, 1/15/2004 300 300
7.25%, 1/15/2024 450 467
Federated Department Stores, Inc.
7.45%, 7/15/2017 975 1,016
Fortune Brands
7.875%, 1/15/2023 100 112
Gannett Co.
5.85%, 5/1/2000 1,000 995
General Motors Corp.
9.625%, 12/1/2000 2,950 3,218
W.R. Grace & Co.
7.40%, 2/1/2000 1,350 1,385
8.00%, 8/15/2004 550 595
International Business Machines Corp.
7.125%, 12/1/2096 1,125 1,157
International Paper Co.
7.875%, 8/1/2006 100 108
Kroger Co.
8.15%, 7/15/2006 500 548
Lockheed Martin Corp.
6.85%, 5/15/2001 1,500 1,530
7.70%, 6/15/2008 1,300 1,420
May Department Stores Co.
9.75%, 2/15/2021 120 152
McDonald's Corp.
6.75%, 2/15/2003 300 304
</TABLE>
36
<PAGE> 39
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
FACE MARKET
AMOUNT VALUE*
(000) (000)
- -----------------------------------------------------------------------
<S> <C> <C>
MedPartners Inc.
7.375%, 10/1/2006 $ 300 $ 296
Mobil Corp.
7.625%, 2/23/2033 175 183
Mobil Corp. ESOP
(3)9.17%, 2/29/2000 536 556
News America Holdings Inc.
7.50%, 3/1/2000 1,000 1,023
8.50%, 2/15/2005 700 767
9.125%, 10/15/1999 3,500 3,665
Noranda, Inc.
7.50%, 7/15/2003 500 522
Norfolk Southern Corp.
6.875%, 5/1/2001 2,250 2,292
7.70%, 5/15/2017 100 110
7.80%, 5/15/2027 300 337
7.90%, 5/15/2097 100 114
Northrop Grumman Corp.
7.00%, 3/1/2006 500 514
9.375%, 10/15/2024 650 768
Occidental Petroleum Corp.
8.50%, 11/9/2001 1,200 1,289
8.50%, 9/15/2004 500 517
J.C. Penney & Co., Inc.
6.875%, 6/15/1999 750 759
7.125%, 11/15/2023 100 103
9.05%, 3/1/2001 300 324
Philip Morris Cos., Inc.
7.00%, 7/15/2005 500 511
8.25%, 10/15/2003 200 216
Phillips Petroleum Co.
9.00%, 6/1/2001 1,000 1,087
Praxair, Inc.
6.25%, 6/30/2000 1,250 1,250
6.70%, 4/15/2001 1,100 1,114
6.75%, 3/1/2003 1,000 1,017
6.90%, 11/1/2006 350 360
Quaker State Corp.
6.625%, 10/15/2005 600 603
Safeway Inc.
6.85%, 9/15/2004 1,500 1,528
Seagate Technology, Inc.
7.45%, 3/1/2037 675 675
Tenneco, Inc.
10.075%, 2/1/2001 850 940
Texas Instruments Inc.
6.125%, 2/1/2006 600 589
Tosco Corp.
7.00%, 7/15/2000 3,000 3,051
Union Carbide Corp.
6.75%, 4/1/2003 500 506
7.75%, 10/1/2096 375 408
7.875%, 4/1/2023 200 219
Union Oil of California
6.375%, 2/1/2004 150 150
9.125%, 2/15/2006 160 187
Union Pacific Corp.
8.625%, 5/15/2022 225 255
Whirlpool Corp.
9.00%, 3/1/2003 200 223
-----------
55,808
-----------
UTILITIES (0.9%)
AT&T Corp.
8.35%, 1/15/2025 210 230
Alabama Power Co.
8.75%, 12/1/2021 168 170
Arizona Public Service Co.
7.25%, 8/1/2023 400 401
Baltimore Gas & Electric Co.
8.375%, 8/15/2001 800 854
Carolina Power & Light Co.
6.875%, 8/15/2023 275 270
Coastal Corp.
7.75%, 10/15/2035 750 816
Consolidated Edison Co. of
New York, Inc.
6.625%, 2/1/2002 1,000 1,017
Enron Corp.
7.125%, 5/15/2007 300 310
9.65%, 5/15/2001 400 440
Houston Lighting & Power Co.
8.75%, 3/1/2022 150 167
Illinois Power Co.
7.50%, 7/15/2025 500 496
MCI Communications Corp.
7.50%, 8/20/2004 450 473
7.75%, 3/23/2025 350 359
Michigan Bell Telephone Co.
7.50%, 2/15/2023 175 182
New England Telephone &
Telegraph Co.
9.00%, 8/1/2031 1,000 1,111
New York Telephone Co.
7.00%, 8/15/2025 200 199
Northern Telecom Ltd.
6.875%, 9/1/2023 500 504
Pacific Bell Telephone Co.
7.25%, 7/1/2002 275 286
Southwestern Bell Telephone Co.
7.25%, 7/15/2025 400 408
7.625%, 10/1/2013 175 178
7.625%, 3/1/2023 725 767
Texas Utilities Co.
7.875%, 3/1/2023 225 236
8.125%, 2/1/2002 400 426
Union Electric Power Co.
7.65%, 7/15/2003 250 267
Virginia Electric & Power Co.
6.625%, 4/1/2003 250 253
-----------
10,820
-----------
- -----------------------------------------------------------------------
TOTAL CORPORATE BONDS
(COST $147,376) 150,025
- -----------------------------------------------------------------------
FOREIGN AND INTERNATIONAL AGENCY BONDS
(U.S. DOLLAR DENOMINATED)(1.4%)
- -----------------------------------------------------------------------
Asian Development Bank
9.125%, 6/1/2000 500 535
Bank of Nova Scotia
6.875%, 5/1/2003 250 255
British Columbia Hydro
12.50%, 9/1/2013 500 539
</TABLE>
37
<PAGE> 40
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
FACE MARKET
AMOUNT VALUE*
BALANCED INDEX FUND (000) (000)
- -----------------------------------------------------------------------
<S> <C> <C>
Province of British Columbia
7.00%, 1/15/2003 $ 230 $ 239
Canadian Imperial Bank of Commerce
(NY Branch)
6.20%, 8/1/2000 4,400 4,411
Finland Global Bond
7.875%, 7/28/2004 850 930
Grand Metropolitan Investment Corp.
9.00%, 8/15/2011 250 306
Hanson Overseas
7.375%, 1/15/2003 600 625
Inter-American Development Bank
8.50%, 3/15/2011 175 210
KFW International Finance, Inc.
7.20%, 3/15/2014 300 325
7.625%, 2/15/2004 400 430
8.85%, 6/15/1999 550 573
Province of Manitoba
7.75%, 2/1/2002 825 870
8.75%, 5/15/2001 300 324
9.50%, 10/1/2000 160 174
9.625%, 12/1/2018 400 544
National Westminster Bancorp Inc.
9.375%, 11/15/2003 500 573
Province of New Brunswick
8.75%, 5/1/2022 400 509
New Zealand Government
8.75%, 12/15/2006 200 235
Province of Newfoundland
7.32%, 10/13/2023 600 641
Noranda, Inc.
8.625%, 7/15/2002 550 596
Province of Ontario
7.375%, 1/27/2003 175 185
7.75%, 6/4/2002 275 293
Republic of Portugal
5.75%, 10/8/2003 1,000 986
Province of Saskatchewan
8.00%, 7/15/2004 1,600 1,750
- -----------------------------------------------------------------------
TOTAL FOREIGN AND INTERNATIONAL AGENCY BONDS
(COST $16,670) 17,058
- -----------------------------------------------------------------------
TEMPORARY CASH INVESTMENTS (3.6%)
- -----------------------------------------------------------------------
U.S. TREASURY BILLS
(2)4.90%, 1/8/1998 200 200
(2)5.02%, 1/22/1998 1,500 1,496
REPURCHASE AGREEMENTS
Collateralized by U.S. Government
Obligations in a Pooled
Cash Account
6.54%, 1/2/1998 40,658 40,658
6.50%, 1/2/1998--Note E 3,204 3,204
- -----------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(COST $45,558) 45,558
- -----------------------------------------------------------------------
TOTAL INVESTMENTS (100.5%)
(COST $972,983) 1,267,284
- -----------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-0.5%)
- -----------------------------------------------------------------------
Other Assets--Note B $ 23,397
Liabilities--Note E (30,295)
-----------
(6,898)
- -----------------------------------------------------------------------
NET ASSETS (100%)
- -----------------------------------------------------------------------
Applicable to 77,356,898 outstanding
$.001 par value shares
(authorized 1,000,000,000 shares) $1,260,386
=======================================================================
NET ASSET VALUE PER SHARE $16.29
=======================================================================
</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 60.1% of net assets.
(2)Securities with an aggregate value of $1,696,000 have been segregated as
initial margin for open futures contracts.
(3)The average maturity is shorter than the final maturity shown due to
scheduled interim principal payments.
ADR--American Depositary Receipt.
ARS--American Registered Share.
MTN--Medium-Term Note.
REIT--Real Estate Investment Trust.
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
AT DECEMBER 31, 1997, NET ASSETS CONSISTED OF:
- --------------------------------------------------------------------------------
AMOUNT PER
(000) SHARE
- --------------------------------------------------------------------------------
<S> <C> <C>
Paid in Capital--Note A $ 964,013 $12.46
Overdistributed Net Investment
Income--Notes A & C (754) (.01)
Accumulated Net Realized Gains--
Note C 2,683 .04
Unrealized Appreciation--Note D
Investment Securities 294,301 3.80
Futures Contracts 143 --
- --------------------------------------------------------------------------------
NET ASSETS $1,260,386 $16.29
================================================================================
</TABLE>
38
<PAGE> 41
STATEMENT OF OPERATIONS
This Statement shows dividend and interest income earned by the Fund during the
reporting period, and details the operating expenses charged to the Fund. These
expenses directly reduce the amount of investment income available to pay to
shareholders as dividends. This Statement also shows any Net Gain (Loss)
realized on the sale of investments, and the increase or decrease in the
Unrealized Appreciation (Depreciation) on investments during the period. If the
Fund invested in futures contracts during the period, the results of these
investments are shown separately.
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------
BALANCED INDEX FUND
YEAR ENDED DECEMBER 31, 1997
(000)
- ----------------------------------------------------------------------------------------
<S> <C>
INVESTMENT INCOME
INCOME
Dividends $ 9,415
Interest 29,258
---------
Total Income 38,673
---------
EXPENSES
The Vanguard Group--Note B
Investment Advisory Services 80
Management and Administrative 1,451
Marketing and Distribution 264
Taxes (other than income taxes) 76
Custodian Fees 105
Auditing Fees 8
Shareholders' Reports 64
Annual Meeting and Proxy Costs 9
Directors' Fees and Expenses 2
---------
Total Expenses 2,059
- ----------------------------------------------------------------------------------------
NET INVESTMENT INCOME 36,614
- ----------------------------------------------------------------------------------------
REALIZED NET GAIN
Investment Securities Sold 3,241
Futures Contracts 6,709
- ----------------------------------------------------------------------------------------
REALIZED NET GAIN 9,950
- ----------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Investment Securities 157,874
Futures Contracts (150)
- ----------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) 157,724
========================================================================================
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $204,288
========================================================================================
</TABLE>
39
<PAGE> 42
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
detailed in the Statement of Operations. The amounts shown as Distributions to
shareholders from the Fund's net income and capital gains may not match the
amounts shown in the Operations section, because distributions are determined
on a tax basis and may be made in a period different from the one in which the
income was earned or the gains were realized on the financial statements. The
Capital Share Transactions section shows the amount shareholders invested in
the Fund, either by purchasing shares or by reinvesting distributions, as well
as the amounts redeemed. The corresponding numbers of Shares Issued and
Redeemed are shown at the end of the Statement.
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------
BALANCED INDEX FUND
YEAR ENDED DECEMBER 31,
----------------------------
1997 1996
(000) (000)
- ----------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE IN NET ASSETS
OPERATIONS
Net Investment Income $ 36,614 $ 24,683
Realized Net Gain 9,950 18,388
Change in Unrealized Appreciation (Depreciation) 157,724 46,006
----------------------------
Net Increase in Net Assets Resulting from Operations 204,288 89,077
----------------------------
DISTRIBUTIONS
Net Investment Income (37,368) (26,003)
Realized Capital Gain (10,005) (6,552)
----------------------------
Total Distributions (47,373) (32,555)
----------------------------
NET EQUALIZATION CREDITS--Note A -- 1,844
CAPITAL SHARE TRANSACTIONS(1)
Issued 382,845 335,694
Issued in Lieu of Cash Distributions 44,288 30,251
Redeemed (149,905) (188,183)
----------------------------
Net Increase from Capital Share Transactions 277,228 177,762
- ----------------------------------------------------------------------------------------
Total Increase 434,143 236,128
- ----------------------------------------------------------------------------------------
NET ASSETS
Beginning of Year 826,243 590,115
----------------------------
End of Year $1,260,386 $826,243
========================================================================================
(1)Shares Issued (Redeemed)
Issued 25,083 25,404
Issued in Lieu of Cash Distributions 2,876 2,219
Redeemed (9,969) (14,458)
----------------------------
Net Increase in Shares Outstanding 17,990 13,165
========================================================================================
</TABLE>
40
<PAGE> 43
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 Securities and Exchange Commission
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,
----------------------------------------------
FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR 1997 1996 1995 1994 1993
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF YEAR $13.92 $12.77 $10.34 $10.91 $10.31
- ----------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .520 .50 .45 .41 .39
Net Realized and Unrealized Gain (Loss) on Investments 2.525 1.26 2.48 (.58) .63
----------------------------------------------
Total from Investment Operations 3.045 1.76 2.93 (.17) 1.02
----------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.530) (.49) (.45) (.40) (.39)
Distributions from Realized Capital Gains (.145) (.12) (.05) -- (.03)
----------------------------------------------
Total Distributions (.675) (.61) (.50) (.40) (.42)
- ----------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF YEAR $16.29 $13.92 $12.77 $10.34 $10.91
==========================================================================================================
TOTAL RETURN* 22.24% 13.95% 28.64% -1.56% 10.00%
==========================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Year (Millions) $1,260 $826 $590 $403 $367
Ratio of Total Expenses to Average Net Assets 0.20% 0.20% 0.20% 0.20% 0.20%
Ratio of Net Investment Income to Average Net Assets 3.56% 3.69% 3.85% 3.86% 3.53%
Portfolio Turnover Rate 18% 37%** 16% 16% 25%
Average Commission Rate Paid $.0210 $.0226 N/A N/A N/A
- ----------------------------------------------------------------------------------------------------------
</TABLE>
* Total return figures do not reflect the annual account maintenance fee of
$10.
**Fund turnover rate excluding in-kind redemptions was 30%.
41
<PAGE> 44
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: Prior to January 1997, the Fund followed 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, was credited or charged to
undistributed net investment income. As a result, undistributed income per
share was unaffected by capital share transactions. As of January 1, 1997, the
Fund has discontinued equalization accounting and has reclassified accumulated
net equalization credits of $4,621,000 from undistributed net investment income
to paid in capital. This reclassification has no effect on the Fund's net
assets, results of operations, or net asset value per share.
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.
42
<PAGE> 45
B. The Vanguard Group furnishes at cost investment advisory, corporate
management, administrative, marketing, and distribution services. The costs of
such services are allocated to the Fund under methods approved by the Board of
Directors. At December 31, 1997, the Fund had contributed capital of $80,000 to
Vanguard (included in Other Assets), representing 0.4% of Vanguard's
capitalization. The Fund's Directors and officers are also Directors and
officers of Vanguard.
C. During the year ended December 31, 1997, the Fund purchased $191,238,000 of
investment securities and sold $34,396,000 of investment securities other than
U.S. government securities and temporary cash investments. Purchases and sales
of U.S. government securities were $271,105,000 and $146,155,000, respectively.
Gains of $3,532,000 on securities held for less than one year are treated
as ordinary income for tax purposes and have been included in income dividends
to shareholders; accordingly, such gains have been reclassified from
accumulated net realized gains to undistributed net investment income.
D. At December 31, 1997, net unrealized appreciation of investment securities
for financial reporting and federal income tax purposes was $294,301,000,
consisting of unrealized gains of $315,170,000 on securities that had risen in
value since their purchase and $20,869,000 in unrealized losses on securities
that had fallen in value since their purchase.
At December 31, 1997, the aggregate settlement value of open futures
contracts expiring in March 1998, and the related unrealized appreciation
(depreciation) were:
<TABLE>
<CAPTION>
-----------------------------------------------------------------------
(000)
----------------------------
AGGREGATE UNREALIZED
NUMBER OF SETTLEMENT APPRECIATION
FUTURES CONTRACTS LONG CONTRACTS VALUE (DEPRECIATION)
-----------------------------------------------------------------------
<S> <C> <C> <C>
S&P 500 Index 97 $23,743 $ (69)
S&P Midcap 400 Index 44 7,373 123
Russell 2000 Index 13 2,869 89
-----------------------------------------------------------------------
</TABLE>
E. The market value of securities on loan to brokers/dealers at December 31,
1997, was $7,922,000, for which the Fund had received as collateral cash of
$3,204,000 and U.S. Treasury securities with a market value of $5,818,000. Cash
collateral received is invested in repurchase agreements. Security loans are
required to be secured at all times by collateral at least equal to the market
value of securities loaned; 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.
43
<PAGE> 46
REPORT OF INDEPENDENT ACCOUNTANTS
To the Shareholders and
Board of Directors of
Vanguard Balanced Index Fund
In our opinion, the accompanying statement of net assets and the related
statements of operations and of changes in net assets and the financial
highlights present fairly, in all material respects, the financial position of
Vanguard Balanced Index Fund (the "Fund") at December 31, 1997, the results of
its operations for the year then ended, the changes in its net assets for each
of the two years in the period then ended and the financial highlights for each
of the five years in the period then ended, in conformity with generally
accepted accounting principles. These financial statements and financial
highlights (hereafter referred to as "financial statements") are the
responsibility of the Fund's management; our responsibility is to express an
opinion on these financial statements based on our audits. We conducted our
audits of these financial statements in accordance with generally accepted
auditing standards which require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of
material misstatement. An audit includes examining, on a test basis, evidence
supporting the amounts and disclosures in the financial statements, assessing
the accounting principles used and significant estimates made by management,
and evaluating the overall financial statement presentation. We believe that
our audits, which included confirmation of securities at December 31, 1997 by
correspondence with the custodian and the application of alternative auditing
procedures where securities purchased had not been settled, provide a
reasonable basis for the opinion expressed above.
PRICE WATERHOUSE LLP
Thirty South Seventeenth Street
Philadelphia, Pennsylvania 19103
February 6, 1998
SPECIAL 1997 TAX INFORMATION (UNAUDITED) FOR VANGUARD BALANCED INDEX FUND
This information for the fiscal year ended December 31, 1997, is included
pursuant to provisions of the Internal Revenue Code.
The Fund designates $5,757,000 as capital gain dividends (from net
long-term capital gains), of which $4,726,000 was distributed to
shareholders in December 1997 and $1,031,000 will be distributed in March
1998. Of the $5,757,000 capital gain dividends, the Fund designates
$4,432,000 as a 20% rate gain distribution.
For corporate shareholders, 23.0% of investment income (dividend income
plus short-term gains, if any) qualifies for the dividends-received
deduction.
44
<PAGE> 47
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 Office Solutions,
Inc., Raytheon Co., Knight-Ridder, Inc., Massachusetts Mutual Life Insurance
Co., and Ladies Professional Golf Association; 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 Telecommunications 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. and The Mead Corp.; Trustee of Vanderbilt University.
OTHER FUND OFFICERS
RAYMOND J. KLAPINSKY
Secretary; Managing Director 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
R. GREGORY BARTON
Managing Director, Legal Department.
ROBERT A. DISTEFANO
Managing Director, Information Technology.
JAMES H. GATELY
Managing Director, Individual Investor Group.
KATHLEEN C. GUBANICH
Managing Director, Human Resources.
IAN A. MACKINNON
Managing Director, Fixed Income Group.
F. WILLIAM MCNABB, III
Managing Director, Institutional Investor Group.
MICHAEL S. MILLER
Managing Director, Planning and Development.
RALPH K. PACKARD
Managing Director and Chief Financial Officer.
GEORGE U. SAUTER
Managing Director, Core Management Group.
"Standard & Poor's 500," "S&P 500(R)," "Standard & Poor's(R)," "S&P(R)," and
"500" are trademarks of The McGraw-Hill Companies, Inc. Frank Russell
Company is the owner of trademarks and copyrights relating to the
Russell Indexes. "Wilshire 4500" and "Wilshire 5000" are
trademarks of Wilshire Associates.
<PAGE> 48
VANGUARD FAMILY OF FUNDS
STOCK FUNDS
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Equity Income Fund
Explorer Fund
Growth and Income Portfolio
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Index Trust
500 Portfolio
Extended Market Portfolio
Growth Portfolio
Small Capitalization Stock Portfolio
Total Stock Market Portfolio
Value Portfolio
Institutional Index Fund
International Equity Index Fund
Emerging Markets Portfolio
European Portfolio
Pacific Portfolio
International Growth Portfolio
International Value Portfolio
Morgan Growth Fund
PRIMECAP Fund
Selected Value Portfolio
Specialized Portfolios
Energy Portfolio
Gold & Precious Metals
Portfolio
Health Care Portfolio
REIT Index Portfolio
Utilities Income Portfolio
Tax-Managed Fund
Capital Appreciation
Portfolio
Growth and Income Portfolio
Total International Portfolio
Trustees' Equity Fund
U.S. Portfolio
U.S. Growth Portfolio
Windsor Fund
Windsor II
BALANCED FUNDS
Asset Allocation Fund
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Global Asset Allocation
Portfolio
LifeStrategy Portfolios
Conservative Growth
Portfolio
Growth Portfolio
Income Portfolio
Moderate Growth Portfolio
STAR Portfolio
Tax-Managed Fund
Balanced Portfolio
Wellesley Income Fund
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BOND FUNDS
Admiral Funds
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Treasury Portfolio
Long-Term U.S. Treasury
Portfolio
Short-Term U.S. Treasury
Portfolio
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Intermediate-Term Bond
Portfolio
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Short-Term Bond Portfolio
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Fixed Income Securities Fund
GNMA Portfolio
High Yield Corporate Portfolio
Intermediate-Term Corporate
Portfolio
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Treasury Portfolio
Long-Term Corporate
Portfolio
Long-Term U.S. Treasury
Portfolio
Short-Term Corporate
Portfolio
Short-Term Federal Portfolio
Short-Term U.S. Treasury
Portfolio
Municipal Bond Fund
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(CA, FL, NJ, NY, OH, PA)
MONEY MARKET FUNDS
Admiral Funds
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Portfolio
Money Market Reserves
Federal Portfolio
Prime Portfolio
Municipal Bond Fund
Money Market Portfolio
Treasury Money Market Portfolio
State Tax-Free Funds
(CA, NJ, NY, OH, PA)
Q020-12/1997
(C) 1998 Vanguard Marketing
Corporation, Distributor
[THE VANGUARD GROUP LOGO]
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Valley Forge, Pennsylvania 19482
FUND INFORMATION
1-800-662-7447
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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 you invest or send money. Prospectuses can
be obtained directly from The Vanguard Group.
