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VANGUARD
BALANCED INDEX
FUND
Semiannual Report - June 30, 1998
[PHOTO]
[THE VANGUARD GROUP LOGO]
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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 7,000 highly
motivated men and women--who form the cornerstone of our operations. We could
not survive long--let alone prosper--without them. That's why we chose this
fiscal year's fund reports 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
Senior Chairman Chairman & CEO
<TABLE>
<CAPTION>
CONTENTS
<S> <C>
A MESSAGE TO OUR SHAREHOLDERS ...... 1
THE MARKETS IN PERSPECTIVE ......... 3
PERFORMANCE SUMMARY ................ 5
PORTFOLIO PROFILE .................. 6
FINANCIAL STATEMENTS ...............10
</TABLE>
All comparative mutual fund data are from Lipper Analytical Services, Inc., or
Morningstar unless otherwise noted.
<PAGE> 3
FELLOW SHAREHOLDER,
Vanguard Balanced Index Fund earned an excellent return of +10.8% during the
six months ended June 30, 1998, as the stock market continued its remarkable
advance and the bond market made a solid showing.
As shown in the adjacent table, the fund's total return (capital
change plus reinvested dividends) for the first half of the year exceeded that
of the average balanced fund and precisely matched our Balanced Composite Index
benchmark. This hypothetical portfolio is weighted 60% to the Wilshire 5000
Index, comprising essentially all actively traded U.S. stocks, and 40% to the
Lehman Brothers Aggregate Bond Index, a proxy for the U.S. taxable bond market.
The table also presents the six-month returns for those two "total market"
indexes. Balanced Index Fund's annualized yield as of June 30 was 3.23%.
<TABLE>
<CAPTION>
- ---------------------------------------------------------
TOTAL RETURNS
SIX MONTHS ENDED
JUNE 30, 1998
- ---------------------------------------------------------
<S> <C>
Vanguard Balanced Index Fund +10.8%
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Average Balanced Fund + 9.0%
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Balanced Composite Index* +10.8%
- ---------------------------------------------------------
Wilshire 5000 Index +15.4%
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Lehman Aggregate Bond Index + 3.9
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</TABLE>
*Made up of two unmanaged benchmarks, weighted 60% Wilshire 5000 Index and 40%
Lehman Aggregate Bond Index.
The fund's return is based on an increase in net asset value from
$16.29 per share on December 31, 1997, to $17.80 per share on June 30, 1998,
with the latter figure adjusted for dividends of $0.20 per share paid from net
investment income and a distribution of $0.04 per share paid from net realized
capital gains.
THE PERIOD IN REVIEW
The U.S. economy grew vigorously, inflation was subdued, and interest rates
declined during the first half of 1998. Strong consumer spending, triggered by
high employment and rising wages, was the economy's propellant and was more than
enough to offset the negative effects of Asia's severe economic slump.
Asia's troubles, which cut the prices of many products imported to
the United States, were partly responsible for the nation's benign
inflation--consumer prices rose only 1.1% for the six months and 1.7% for the
twelve months ended June 30. Low inflation soothed the bond market, where prices
rose and interest rates declined: The yield on the 30-year U.S. Treasury bond
was 5.63% on June 30, down 29 basis points (0.29 percentage point) from its
yield at the start of the year. The rise in bond prices engendered by the rate
decline added about 0.6% in capital return to the 3.3% income return of the
Lehman Aggregate Bond Index.
Stock prices wobbled at times--the S&P 500 Index dropped -1.9% on
April 27 alone--but rose in every month except May. The market's advance was led
by a relatively narrow segment of blue-chip growth stocks. Indeed, half of the
Standard & Poor's 500 Composite Stock Price Index's remarkable +17.7% return
during the period was accounted for by 18 very large-capitalization stocks. The
growth component of the S&P 500 Index returned +23.1%, nearly double the +12.1%
earned by its value stocks. The Wilshire 5000 Index, which includes not only the
S&P 500 stocks but also more than 6,500 mid-cap and small-cap issues, earned
+15.4%.
1
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Vanguard Balanced Index Fund did its job, tracking its Composite
Index with admirable precision during the half-year. It is remarkable that the
fund matched the index return of +10.8%, because the fund and other real-world
portfolios incur operating and transaction costs that do not burden the indexes,
which exist only on paper.
Because of these costs, even a very low-cost index fund can be
expected over time to trail its index bogey by a small margin. We tip our hats
to the skilled professionals in our Core Management Group and our Fixed Income
Group for tracking the index so closely. This task is not simple because the
vast number of securities in our target indexes make it impractical to replicate
them exactly. Instead, the fund holds samples of securities from both indexes.
These samples are selected carefully to provide as close a fit as possible to
key statistical attributes of the indexes.
Our +10.8% return represented a 20% margin over the average balanced
fund's +9.0% return. Two factors were primarily responsible for this
outperformance. First, our 60% allocation to stocks is slightly higher than the
average balanced fund's, creating a small edge during a bull market for stocks.
The second factor is our big cost advantage. Our indexing strategy helps to
minimize securities trading and the attendant transaction costs. And our 0.22%
annualized expense ratio is a fraction of the 1.34% expense ratio charged by the
average balanced fund. Overcoming an expense advantage of more than 1 percentage
point--a head start we enjoy year in, year out--is a tall order for actively
managed funds. In all, our strategy is based on the simple assumption that a
steady stock/bond ratio, broad diversification, low portfolio turnover in a
fairly fixed list of stocks and bonds, and low expenses will combine to provide
superior returns. So far, it is working according to plan.
IN SUMMARY
We confess to having been surprised--though gratified--by the strength of the
stock market's advance during the first half of 1998. Thanks to this bull
market, the fund's return during the half-year comfortably exceeded the annual
average return of +8.7% that a 60% stocks/40% bonds allocation has provided over
the past seven decades.
We claim no predictive powers, but we feel safe in saying that such
outsized returns can't continue indefinitely. However, whether the seas ahead
are rough or calm, we believe that a time-tested way to "stay the course" toward
long-term objectives is to hold a balanced portfolio--consisting of cash
reserves, bonds, and stocks--appropriate to each investor's unique financial
situation, goals, and temperament. Balance and diversification are, of course,
the foundations on which Vanguard Balanced Index Fund is based.
/s/ JOHN C. BOGLE /s/ JOHN J. BRENNAN
John C. Bogle John J. Brennan
Senior Chairman Chairman and
Chief Executive Officer
July 21, 1998
2
<PAGE> 5
THE MARKETS IN PERSPECTIVE
Six Months Ended June 30, 1998
Blue skies predominated for U.S. financial markets during the first six months
of 1998, and even the occasional clouds had silver linings. The bond market
provided solid returns during the half-year, while the stock market's
performance was extraordinarily strong.
After expanding at a 5.4% annual pace during the first quarter, the
U.S. economy kept steaming along through June, fueled by powerful increases in
household spending. Consumers had reason to be upbeat: plentiful jobs
(unemployment fell to 4.3% of the workforce in May); rising wages (personal
income in May was 5.9% higher than in May 1997); and tame inflation (consumer
prices in June were up only 1.7% from a year before).
The economic push provided by consumers more than compensated for the
drag caused by Asia's severe economic problems. Weakening currencies and
business slowdowns in Asia cut into U.S. exports and lowered the cost of Asian
imports, causing the U.S. trade deficit to hit record levels. Ominously, Asia's
problems appear to be more serious and enduring than many economists expected.
Yet for Americans this "Asian contagion" has a bright side: It serves as an
escape valve for the inflationary pressures that ordinarily would be expected to
build up with the U.S. economy humming along at high speed.
<TABLE>
<CAPTION>
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TOTAL RETURNS
PERIODS ENDED JUNE 30, 1998
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6 MONTHS 1 YEAR 5 YEARS*
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
EQUITY
S&P 500 Index 17.7% 30.2% 23.1%
Russell 2000 Index 4.9 16.5 16.0
MSCI EAFE Index 16.1 6.4 10.3
- --------------------------------------------------------------------------------
FIXED-INCOME
Lehman Aggregate Bond Index 3.9% 10.5% 6.9%
Lehman 10-Year Municipal Bond Index 2.6 8.5 6.6
Salomon Brothers Three-Month
U.S. Treasury Bill Index 2.6 5.3 4.9
- --------------------------------------------------------------------------------
OTHER
Consumer Price Index 1.1% 1.7% 2.5%
- --------------------------------------------------------------------------------
</TABLE>
*Annualized.
U.S. EQUITY MARKETS
The mixture of robust economic growth and anemic inflation was a tonic for the
U.S. stock market. Although prices generally rose, there were striking
disparities in returns between large-capitalization and small-cap stocks and
between growth and value stocks. The large-cap-dominated S&P 500 earned 17.7%
during the six months, nearly double the 9.4% return on the rest of the market
(as measured by the Wilshire 4500 Index) and more than triple the 4.9% return on
the small-cap Russell 2000 Index. Within the S&P 500 Index, growth stocks were
up 23.1%, while value stocks rose 12.1%.
A decline in interest rates contributed to the stock market's rise,
as falling rates on bonds tend to make equities more attractive and to boost the
price investors will pay for each dollar of a stock's earnings or dividends. Yet
growth in earnings and dividends--the long-term underpinning of stock
prices--was unimpressive during the first half of 1998.
Corporate earnings estimates were reduced in June, the tenth
consecutive month in which securities analysts have cut their earnings
estimates, according to I/B/E/S International, a financial research group.
Earnings by the S&P 500 companies were expected to
3
<PAGE> 6
rise by only about 2% for the first half of 1998, I/B/E/S reported. With gains
in prices outstripping increases in earnings and dividends, stock valuations are
at or near all-time highs, an indication that investors expect ideal conditions
to continue.
Technology stocks were the best-performing sector during the first half of
1998, generating a 32.7% return. Three other sectors of the stock market--health
care, consumer discretionary stocks such as retailers, and auto &
transportation--each provided returns of about 25% for the six months. Companies
involved in energy, chemicals, or other commodity-based businesses were
generally laggards. Prices of many commodities have declined as Asia's economic
funk cuts demand for energy and other industrial materials in the face of
plentiful supplies.
U.S. FIXED-INCOME MARKETS
Investors in fixed-income securities enjoyed a moderate rise in the market value
of their holdings because of declining interest rates. This price appreciation,
added to coupon interest income, resulted in solid total returns. The 3.9% total
return of the Lehman Aggregate Bond Index during the half-year brought its
return for the 12 months ended June 30 to 10.5%, or a very generous 8.8% after
adjustment for inflation.
Yields on 10-year and 30-year U.S. Treasury bonds declined by 29
basis points (0.29 percentage point) to 5.45% and 5.63%, respectively, during
the first half of 1998, with most of the drop occurring during the second
quarter. The yield on 3-month Treasury bills declined 36 basis points to 4.99%.
Mild inflation--consumer prices were up 1.1% for the half-year--enabled rates to
decline despite the economy's strong growth.
Yields on corporate and municipal bonds did not decline as far as
those on Treasury securities because of a large increase in the supply of new
bonds issued by companies and municipalities taking advantage of lower rates to
refinance old debt. Similarly, mortgage-backed securities did not match
Treasuries' performance because of expectations that large numbers of homeowners
would pay off old, higher-coupon mortgage loans and refinance with new,
lower-rate loans.
INTERNATIONAL EQUITY MARKETS
Stock markets in Europe soared while those in Asia and most emerging economies
suffered steep declines in U.S.-dollar terms. The 16.1% overall return from
international markets, as measured by the Morgan Stanley Capital International
Europe, Australasia, Far East Index, masked the divergence between Europe and
other regions.
Europe's markets were up 27.1% when measured in local currencies and
26.5% in U.S. dollars, after adjusting for a slight overall rise in the dollar's
value. Stocks benefited from an upswing in most European economies, from signs
that corporate managers are increasingly focused on shareholder value, and from
optimism concerning next year's planned adoption of the euro as a single
European currency.
In the Pacific, which is dominated by Japan's stock market, stocks
were buffeted by several problems: slowing growth in economic activity;
continued instability in currencies; political upheavals; and widespread worries
about corporate and banking insolvencies. On balance, the region's stocks fell
6.0% in U.S.-dollar terms. Japanese stocks were down 2.5%, but losses were more
severe in the region's smaller markets.
Emerging markets were, on balance, down sharply. Asian stock markets
were hurt by continued weakness in the currency values of several countries, by
Japan's recession, and by a growing conviction that the region's economic
troubles are far from transitory. Venezuela and Mexico, both key oil-producing
nations, were hard hit by falling oil prices.
4
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PERFORMANCE SUMMARY
All of the data on this page represent past performance, which cannot be used to
predict future returns that may be achieved by the fund. Note, too, that both
share price and return can fluctuate widely, so an investment in the fund could
lose money.
<TABLE>
<CAPTION>
BALANCED INDEX FUND
TOTAL INVESTMENT RETURNS: NOVEMBER 9, 1992-JUNE 30, 1998
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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
1998** 9.5 1.3 10.8 10.8
- -----------------------------------------------------------
</TABLE>
*60% Wilshire 5000 Index, 40% Lehman Aggregate Bond Index.
**Six months ended June 30, 1998.
See Financial Highlights table on page 42 for dividend and capital gains
information for the past five years.
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS: PERIODS ENDED JUNE 30, 1998
- -----------------------------------------------------------------------------------------------------
SINCE INCEPTION
INCEPTION -------------------------------
DATE 1 YEAR 5 YEARS CAPITAL INCOME TOTAL
- -----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Balanced Index Fund* 11/9/1992 21.26% 15.28% 11.27% 3.95% 15.22%
- -----------------------------------------------------------------------------------------------------
</TABLE>
*Performance figures are adjusted for the $10 annual account maintenance fee.
5
<PAGE> 8
PORTFOLIO PROFILE
Balanced Index Fund
This Profile provides a snapshot of the fund's characteristics as of June 30,
1998, compared where appropriate to an unmanaged index. Key elements of this
Profile are defined on pages 8 and 9.
<TABLE>
<CAPTION>
TOTAL FUND CHARACTERISTICS
- -----------------------------
<S> <C>
Yield 3.2%
Turnover Rate 22%*
Expense Ratio 0.22%*
Cash Reserves 0.5%
</TABLE>
*Annualized.
<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 0.96 1.00
Beta 0.62 1.00
</TABLE>
<TABLE>
<CAPTION>
TEN LARGEST STOCKS (% OF EQUITIES)
- ---------------------------------------------------------
<S> <C>
General Electric Co. 2.5%
Microsoft Corp. 2.1
The Coca-Cola Co. 1.8
Exxon Corp. 1.5
Merck & Co., Inc. 1.4
Pfizer, Inc. 1.2
Wal-Mart Stores, Inc. 1.2
Procter & Gamble Co. 1.0
Intel Corp. 1.0
Bristol-Myers Squibb Co. 1.0
- ---------------------------------------------------------
Top Ten 14.7%
- ---------------------------------------------------------
Top Ten as % of Total Net Assets 8.4%
</TABLE>
<TABLE>
<CAPTION>
SECTOR DIVERSIFICATION (% OF COMMON STOCKS)
- ---------------------------------------------------------------------------------------------------
JUNE 30, 1997 JUNE 30, 1998
------------------------------------------------------
BALANCED BALANCED WILSHIRE
INDEX FUND INDEX FUND 5000
------------------------------------------------------
<S> <C> <C> <C>
Auto & Transportation.................... 3.5% 3.4% 3.4%
Consumer Discretionary................... 11.8 13.1 13.0
Consumer Staples......................... 9.5 8.6 8.6
Financial Services....................... 19.4 20.2 20.1
Health Care.............................. 10.9 11.1 11.2
Integrated Oils.......................... 4.7 4.1 4.0
Other Energy............................. 2.2 1.9 1.9
Materials & Processing................... 6.9 5.6 5.6
Producer Durables........................ 5.2 3.9 4.0
Technology............................... 12.3 13.1 13.3
Utilities................................ 8.8 9.8 9.8
Other.................................... 4.8 5.2 5.1
- ---------------------------------------------------------------------------------------------------
</TABLE>
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<TABLE>
<CAPTION>
EQUITY CHARACTERISTICS
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BALANCED WILSHIRE
INDEX FUND 5000
- ----------------------------------------------------------
<S> <C> <C>
Number of Stocks 2,852 7,394
Median Market Cap $21.3B $21.3B
Price/Earnings Ratio 24.3x 24.4x
Price/Book Ratio 4.0x 4.0x
Dividend Yield 1.3% 1.3%
Return on Equity 20.3% 20.3%
Earnings Growth Rate 17.0% 17.0%
Foreign Holdings 0.6% 0.7%
</TABLE>
EQUITY INVESTMENT FOCUS
- ------------------------
[GRAPH]
<TABLE>
<CAPTION>
FIXED-INCOME CHARACTERISTICS
- ----------------------------------------------------------
<S> <C>
Number of Bonds 333
Yield to Maturity 6.2%
Average Coupon 7.4%
Average Maturity 8.8 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 3.6%
Finance 15.6
Foreign 4.4
Industrial 10.0
Mortgage 31.4
U.S. Government and Agency 1.1
U.S. Treasury 30.5
Utilities 3.4
- ---------------------------------------------------------
Total 100.0%
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION BY CREDIT QUALITY (% OF BONDS)
- ---------------------------------------------------------
<S> <C>
Treasury/Agency 63.0%
Aaa 5.3
Aa 6.6
A 15.8
Baa 9.2
Ba 0.1
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 1 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 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. An indicator of the size of companies in which a portfolio
invests; the midpoint of market capitalization (market price x shares
outstanding) of a portfolio's stocks, weighted by the proportion of the
portfolio's assets invested in each stock. Stocks representing half of the
portfolio's assets have market capitalizations above the median, and the rest
are below it.
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<PAGE> 11
NUMBER OF BONDS. An indicator of diversification. The more separate issues a
portfolio holds, the less susceptible it is to a price decline stemming from the
problems of a particular issue.
NUMBER OF STOCKS. An indicator of diversification. The more stocks a portfolio
holds, the more diversified it is and the more likely 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 assets.
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 period. 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. The index yield is based on the current annualized rate of
dividends paid on stocks in the index.
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
FINANCIAL STATEMENTS
June 30, 1998 (unaudited)
STATEMENT OF NET ASSETS
This Statement provides a detailed list of the fund's holdings, including each
security's market value on the last day of the reporting period. Securities are
grouped and subtotaled by asset type (common stocks, bonds, etc.). The fund's
Wilshire 5000 Index common stocks are listed in descending market value order;
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>
GENERAL ELECTRIC CO. 250,700 $ 22,814
- MICROSOFT CORP. 179,100 19,410
THE COCA-COLA CO. 188,100 16,083
EXXON CORP. 191,400 13,649
MERCK & CO., INC. 92,109 12,320
PFIZER, INC. 97,400 10,586
WAL-MART STORES, INC. 174,000 10,570
PROCTER & GAMBLE CO. 104,200 9,489
INTEL CORP. 124,800 9,251
BRISTOL-MYERS SQUIBB CO. 76,300 8,770
INTERNATIONAL BUSINESS
MACHINES CORP. 75,900 8,714
LUCENT TECHNOLOGIES, INC. 100,642 8,372
AMERICAN INTERNATIONAL
GROUP, INC. 55,200 8,059
- BERKSHIRE HATHAWAY CLASS A 100 7,830
JOHNSON & JOHNSON 101,506 7,486
PHILIP MORRIS COS., INC. 188,700 7,430
AT&T CORP. 126,200 7,209
- CISCO SYSTEMS, INC. 76,900 7,080
E.I. DU PONT DE NEMOURS & CO. 86,500 6,455
SBC COMMUNICATIONS INC. 141,890 5,676
BELL ATLANTIC CORP. 122,408 5,585
ELI LILLY & CO. 83,956 5,546
NATIONSBANK CORP. 72,173 5,521
FORD MOTOR CO. 92,800 5,475
THE WALT DISNEY CO. 51,600 5,421
TRAVELERS GROUP INC. 87,618 5,312
CITICORP 35,100 5,239
BELLSOUTH CORP. 77,600 5,209
SCHERING-PLOUGH CORP. 56,500 5,177
AMERICAN HOME PRODUCTS CORP. 99,700 5,159
FANNIE MAE 82,000 4,981
GILLETTE CO. 87,016 4,933
THE CHASE MANHATTAN CORP. 64,744 4,888
HEWLETT-PACKARD CO. 80,750 4,835
PEPSICO, INC. 116,600 4,802
ABBOTT LABORATORIES 117,400 4,799
HOME DEPOT, INC. 57,599 4,784
MOBIL CORP. 60,700 4,651
BANKAMERICA CORP. 53,416 4,617
- DELL COMPUTER CORP. 48,900 4,538
FIRST UNION CORP. 77,308 4,503
CHEVRON CORP. 50,500 4,195
WARNER-LAMBERT CO. 59,900 4,155
GTE CORP. 74,300 4,133
MORGAN STANLEY DEAN
WITTER & CO. 45,120 4,123
AMERICAN EXPRESS CO. 35,484 4,045
AMERITECH CORP. 84,900 3,810
TIME WARNER, INC. 44,200 3,776
- WORLDCOM, INC. 76,605 3,710
GENERAL MOTORS CORP. 55,401 3,701
MCDONALD'S CORP. 53,300 3,678
COMPAQ COMPUTER CORP. 128,291 3,640
THE BOEING CO. 77,262 3,443
AMOCO CORP. 75,200 3,130
ALLSTATE CORP. 33,826 3,097
BANC ONE CORP. 54,358 3,034
MCI COMMUNICATIONS CORP. 52,200 3,034
CHRYSLER CORP. 49,844 2,810
- AIRTOUCH COMMUNICATIONS, INC. 44,400 2,595
MINNESOTA MINING &
MANUFACTURING CO. 31,500 2,589
SCHLUMBERGER LTD. 37,500 2,562
FREDDIE MAC 54,400 2,560
MONSANTO CO. 45,700 2,553
</TABLE>
10
<PAGE> 13
<TABLE>
<CAPTION>
- -------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -------------------------------------------------------------------
<S> <C> <C>
XEROX CORP. 24,800 $ 2,520
TEXACO INC. 41,671 2,487
U.S. BANCORP 57,663 2,480
MOTOROLA, INC. 45,500 2,392
COMPUTER ASSOCIATES
INTERNATIONAL, INC. 43,012 2,390
SPRINT CORP. 33,840 2,386
MERRILL LYNCH & CO., INC. 25,300 2,334
WELLS FARGO & CO. 6,218 2,294
MEDTRONIC, INC. 35,506 2,263
ASSOCIATES FIRST CAPITAL CORP. 29,306 2,253
NORWEST CORP. 57,460 2,147
- MEDIAONE GROUP, INC. 46,500 2,043
EMERSON ELECTRIC CO. 33,600 2,029
COLGATE-PALMOLIVE CO. 22,700 1,998
FIRST CHICAGO NBD CORP. 22,293 1,976
SARA LEE CORP. 35,000 1,958
KIMBERLY-CLARK CORP. 42,624 1,955
THE GAP, INC. 31,150 1,920
ATLANTIC RICHFIELD CO. 24,500 1,914
ALLIEDSIGNAL INC. 43,100 1,912
SEARS, ROEBUCK & CO. 30,200 1,844
CAMPBELL SOUP CO. 34,564 1,836
- ORACLE CORP. 74,387 1,827
CARNIVAL CORP. 45,400 1,799
U S WEST, INC. 38,269 1,799
EASTMAN KODAK CO. 24,600 1,797
NATIONAL CITY CORP. 24,882 1,767
DUKE ENERGY CORP. 29,812 1,766
ANHEUSER-BUSCH COS., INC. 37,300 1,760
CBS CORP. 54,929 1,744
THE BANK OF NEW YORK CO., INC. 28,700 1,742
- AMERICA ONLINE, INC. 16,400 1,738
TEXAS INSTRUMENTS, INC. 29,800 1,738
FLEET FINANCIAL GROUP, INC. 20,692 1,728
AUTOMATIC DATA PROCESSING, INC. 23,600 1,720
- EMC CORP. 37,800 1,694
DOW CHEMICAL CO. 17,300 1,673
DAYTON HUDSON CORP. 34,400 1,668
ELECTRONIC DATA SYSTEMS CORP. 39,200 1,568
- SAFEWAY, INC. 38,410 1,563
WALGREEN CO. 37,800 1,562
H.J. HEINZ CO. 27,600 1,549
UNITED TECHNOLOGIES CORP. 16,700 1,545
GANNETT CO., INC. 21,500 1,528
GENERAL RE CORP. 5,968 1,513
SOUTHERN CO. 54,300 1,503
CATERPILLAR, INC. 28,400 1,502
J.P. MORGAN & CO., INC. 12,600 1,476
ENRON CORP. 26,995 1,459
LOCKHEED MARTIN CORP. 13,770 1,458
COLUMBIA/HCA HEALTHCARE CORP. 49,459 1,440
- TELE-COMMUNICATIONS, INC.
CLASS A 37,350 1,436
- VIACOM INC. CLASS B 24,522 1,428
AMERICAN GENERAL CORP. 19,683 1,401
J.C. PENNEY CO., INC. 18,705 1,353
MELLON BANK CORP. 19,272 1,342
- CENDANT CORP. 63,079 1,317
WACHOVIA CORP. 15,520 1,311
- AMGEN, INC. 19,900 1,301
WASHINGTON MUTUAL, INC. 29,880 1,298
BESTFOODS 21,800 1,266
MBNA CORP. 38,225 1,261
ILLINOIS TOOL WORKS, INC. 18,900 1,260
THE EQUITABLE COS. 16,800 1,259
RAYTHEON CO. CLASS B 21,300 1,259
WASTE MANAGEMENT INC. 35,864 1,255
PNC BANK CORP. 23,135 1,245
SUNTRUST BANKS, INC. 15,300 1,244
- SUN MICROSYSTEMS, INC. 28,600 1,242
BANKBOSTON CORP. 22,040 1,226
MARSH & MCLENNAN COS., INC. 20,100 1,215
FIFTH THIRD BANCORP 19,256 1,213
HOUSEHOLD INTERNATIONAL, INC. 24,300 1,209
BURLINGTON NORTHERN
SANTA FE CORP. 12,240 1,202
COCA-COLA ENTERPRISES, INC. 30,600 1,201
KEYCORP 33,468 1,192
HBO & CO. 32,944 1,161
CIGNA CORP. 16,800 1,159
KELLOGG CO. 30,700 1,153
- AMR CORP. 13,800 1,149
CVS CORP. 29,482 1,148
CONAGRA, INC. 36,100 1,144
BAXTER INTERNATIONAL, INC. 21,199 1,141
MAY DEPARTMENT STORES CO. 17,300 1,133
FIRST DATA CORP. 33,766 1,125
LOWE'S COS., INC. 27,600 1,119
NIKE, INC. CLASS B 21,900 1,066
PITNEY BOWES, INC. 22,100 1,063
WILLIAMS COS., INC. 31,508 1,063
- BOSTON SCIENTIFIC CORP. 14,801 1,060
THE CHUBB CORP. 12,900 1,037
PG&E CORP. 32,640 1,030
THE HARTFORD FINANCIAL SERVICES
GROUP INC. 9,000 1,029
FRANKLIN RESOURCES CORP. 19,000 1,026
- CLEAR CHANNEL
COMMUNICATIONS, INC. 9,373 1,023
- TELLABS, INC. 14,200 1,017
PHILLIPS PETROLEUM CO. 20,800 1,002
DEERE & CO. 18,900 999
- COSTCO COS., INC. 15,786 995
INTERNATIONAL PAPER CO. 22,832 982
MATTEL, INC. 22,960 972
ALBERTSON'S, INC. 18,600 964
- REPUBLIC INDUSTRIES, INC. 37,730 943
- COX COMMUNICATIONS CLASS A 19,314 935
RALSTON-RALSTON PURINA GROUP 7,815 913
AON CORP. 12,750 896
EDISON INTERNATIONAL 30,100 890
SUNAMERICA INC. 15,450 887
PPG INDUSTRIES, INC. 12,700 883
HALLIBURTON CO. 19,800 882
ALUMINUM CO. OF AMERICA 13,300 877
FPL GROUP, INC. 13,900 876
UNITED HEALTHCARE CORP. 13,715 871
BANKERS TRUST CORP. 7,471 867
- THE KROGER CO. 20,100 862
</TABLE>
11
<PAGE> 14
<TABLE>
<CAPTION>
- -------------------------------------------------------------------
MARKET
VALUE*
BALANCED INDEX FUND SHARES (000)
- -------------------------------------------------------------------
<S> <C> <C>
TEXTRON, INC. 12,000 $ 860
- FEDERATED DEPARTMENT
STORES, INC. 15,900 856
AETNA INC. 11,221 854
- USA WASTE SERVICE 17,107 845
- APPLIED MATERIALS, INC. 28,500 841
NORFOLK SOUTHERN CORP. 28,100 838
UNION PACIFIC CORP. 18,873 833
SERVICE CORP. INTERNATIONAL 19,200 823
WRIGLEY, (WM.) JR. CO. 8,400 823
ARCHER-DANIELS-MIDLAND CO. 42,431 822
GENERAL MILLS, INC. 11,975 819
GUIDANT CORP. 11,466 818
CONSOLIDATED EDISON INC. 17,700 815
HONEYWELL, INC. 9,700 810
TEXAS UTILITIES CO. 19,410 808
COGNIZANT CORP. 12,800 806
STATE STREET CORP. 11,600 806
- BMC SOFTWARE, INC. 15,400 800
- HEALTHSOUTH CORP. 29,954 799
- PEOPLESOFT, INC. 17,000 799
COMERICA, INC. 12,050 798
- QWEST COMMUNICATIONS
INTERNATIONAL INC. 22,860 797
PROGRESSIVE CORP. OF OHIO 5,600 790
- 3COM CORP. 25,725 789
CARDINAL HEALTH, INC. 8,366 784
AVON PRODUCTS, INC. 10,000 775
COMCAST CORP. CLASS A SPECIAL 19,059 774
PIONEER HI-BRED INTERNATIONAL, INC. 18,675 773
THE GOODYEAR TIRE & RUBBER CO. 11,900 767
RITE AID CORP. 20,350 764
CSX CORP. 16,700 760
COMPUTER SCIENCES CORP. 11,854 759
H.F. AHMANSON & CO. 10,667 757
USX-MARATHON GROUP 22,000 755
HERSHEY FOODS CORP. 10,800 745
- ASCEND COMMUNICATIONS, INC. 14,980 742
BB&T CORP. 10,962 741
DELTA AIR LINES, INC. 5,700 737
THE CLOROX CO. 7,700 734
CONSECO INC. 15,661 732
MASCO CORP. 12,000 726
ROCKWELL INTERNATIONAL CORP. 15,100 726
ST. PAUL COS., INC. 17,262 726
- KMART CORP. 37,300 718
SUMMIT BANCORP. 15,110 718
- TENET HEALTHCARE CORP. 22,840 714
AIR PRODUCTS & CHEMICALS, INC. 17,800 712
BECTON, DICKINSON & CO. 9,100 706
LOEWS CORP. 8,100 706
SLM HOLDING CORP. 14,350 703
- AES CORP. 13,314 700
FORT JAMES CORP. 15,725 700
STARWOOD HOTELS & RESORTS REIT 14,487 700
- FDX CORPORATION 11,140 699
WEYERHAEUSER CO. 15,100 697
UNOCAL CORP. 19,400 693
OCCIDENTAL PETROLEUM CORP. 25,500 688
- COMPUWARE CORP. 13,400 685
HOUSTON INDUSTRIES, INC. 21,871 675
NORTHERN TRUST CORP. 8,800 671
LINCOLN NATIONAL CORP. 7,300 667
- CNA FINANCIAL CORP. 14,100 656
LEHMAN BROTHERS HOLDINGS, INC. 8,460 656
CHARLES SCHWAB CORP. 20,200 656
AMERICAN ELECTRIC POWER CO., INC. 14,400 653
AFLAC, INC. 21,374 648
- KOHLS CORP. 12,500 648
- GENENTECH, INC. SPECIAL
COMMON STOCK 9,500 645
ALLTEL CORP. 13,700 637
- LEVEL 3 COMMUNICATIONS, INC. 8,600 636
SYSCO CORP. 24,800 635
BENEFICIAL CORP. 4,100 628
ROYAL CARIBBEAN CRUISES, LTD. 7,900 628
MARRIOTT INTERNATIONAL, INC.
CLASS A 19,300 625
- TELE-COMMUNICATIONS TCI
VENTURES GROUP SERIES A 30,953 621
CORNING, INC. 17,700 615
RJR NABISCO HOLDINGS CORP. 25,899 615
BURLINGTON RESOURCES, INC. 14,250 614
UNUM CORP. 11,000 610
NEWELL CO. 12,200 608
INTERPUBLIC GROUP OF COS., INC. 10,000 607
CAPITAL ONE FINANCIAL CORP. 4,833 600
PUBLIC SERVICE ENTERPRISE
GROUP, INC. 17,400 599
TRIBUNE CO. 8,700 599
UNICOM CORP. 17,100 599
OMNICOM GROUP INC. 12,000 598
DOMINION RESOURCES, INC. 14,600 595
- GATEWAY 2000, INC. 11,700 592
THE MCGRAW-HILL COS., INC. 7,100 579
TJX COS., INC. 24,000 579
- YAHOO!, INC. 3,650 575
AMP, INC. 16,692 574
DOVER CORP. 16,600 568
DRESSER INDUSTRIES, INC. 12,800 564
EQUITY OFFICE PROPERTIES TRUST REIT 19,884 564
- BAY NETWORKS, INC. 17,345 559
MBIA, INC. 7,428 556
SERVICEMASTER CO. 14,600 556
PROVIDIAN FINANCIAL CORP. 7,000 550
INTIMATE BRANDS, INC. 19,900 548
- PARAMETRIC TECHNOLOGY CORP. 20,042 544
- CIENA CORP. 7,800 543
PRAXAIR, INC. 11,600 543
- STAPLES, INC. 18,737 542
NEW YORK TIMES CO. CLASS A 6,800 539
- UNISYS CORP. 19,100 539
FIRST AMERICAN CORP. (TENN.) 11,186 538
COASTAL CORP. 7,700 537
WINN-DIXIE STORES, INC. 10,500 537
HILTON HOTELS CORP. 18,800 536
MCKESSON CORP. 6,600 536
THE QUAKER OATS CO. 9,700 533
FIRSTENERGY CORP. 17,137 527
SOUTHTRUST CORP. 12,072 525
FORTUNE BRANDS, INC. 13,600 523
ENTERGY CORP. 18,154 522
</TABLE>
12
<PAGE> 15
<TABLE>
<CAPTION>
- -------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -------------------------------------------------------------------
<S> <C> <C>
PAYCHEX, INC. 12,818 $ 521
BROWNING-FERRIS INDUSTRIES, INC. 14,900 518
TRANSAMERICA CORP. 4,500 518
WASHINGTON POST CO. CLASS B 900 518
CAROLINA POWER & LIGHT CO. 11,900 516
- CHANCELLOR MEDIA CORP. 10,400 516
INGERSOLL-RAND CO. 11,700 516
- US AIRWAYS GROUP, INC. 6,500 515
- CADENCE DESIGN SYSTEMS, INC. 16,460 514
PECO ENERGY CORP. 17,600 514
MERCANTILE BANCORP, INC. 10,192 513
- LORAL SPACE & COMMUNICATIONS 18,100 511
REPUBLIC NEW YORK CORP. 8,100 510
TORCHMARK CORP. 11,100 508
PACIFICORP 22,400 507
HUNTINGTON BANCSHARES INC. 14,975 502
NORTH FORK BANCORP, INC. 20,541 502
- OWENS-ILLINOIS, INC. 11,200 501
- TOYS R US, INC. 21,240 500
BEAR STEARNS CO., INC. 8,770 499
- NEXTEL COMMUNICATIONS, INC. 19,979 497
UNION CARBIDE CORP. 9,300 496
R.R. DONNELLEY & SONS CO. 10,800 494
AMERICAN STORES CO. 20,400 493
THE LIMITED, INC. 14,881 493
TRW, INC. 9,000 492
- GENERAL INSTRUMENT CORP. 18,000 489
THE CIT GROUP, INC. 13,000 488
JEFFERSON-PILOT CORP. 8,425 488
THE DUN & BRADSTREET CORP. 13,400 487
COOPER INDUSTRIES, INC. 8,800 483
- FRED MEYER INC. 11,368 483
CRESTAR FINANCIAL CORP. 8,797 480
MGIC INVESTMENT CORP. 8,400 479
NORTHROP GRUMMAN CORP. 4,624 477
- SEMPRA ENERGY 17,172 476
SAFECO CORP. 10,400 472
CINCINNATI FINANCIAL CORP. 12,213 469
SYNOVUS FINANCIAL CORP. 19,737 469
- PROFFITT'S, INC. 11,600 468
ROHM & HAAS CO. 4,500 468
STAR BANC CORP. 7,300 466
MERCURY GENERAL CORP. 7,200 464
SOUTHWEST AIRLINES CO. 15,625 463
GENUINE PARTS CO. 13,350 461
GOLDEN WEST FINANCIAL CORP. 4,300 457
TENNECO, INC. 12,000 457
BAKER HUGHES, INC. 13,165 455
- SEAGATE TECHNOLOGY 19,068 454
- CONTINENTAL AIRLINES, INC. CLASS B 7,400 450
CENTRAL & SOUTH WEST CORP. 16,700 449
DOLLAR GENERAL CORP. 11,340 449
CROWN CORK & SEAL CO., INC. 9,300 442
HARLEY-DAVIDSON, INC. 11,300 438
CINERGY CORP. 12,462 436
DTE ENERGY CO. 10,800 436
DEKALB GENETICS CORP. CLASS B 4,600 435
BLACK & DECKER CORP. 7,100 433
GREEN TREE FINANCIAL CORP. 10,100 432
- HEALTH MANAGEMENT ASSOCIATES
CLASS A 12,880 431
EATON CORP. 5,500 428
REGIONS FINANCIAL CORP. 10,436 428
DONALDSON, LUFKIN & JENRETTE, INC. 8,400 427
- ROBERT HALF INTERNATIONAL, INC. 7,650 427
- BEST BUY CO., INC. 11,800 426
NORDSTROM, INC. 5,500 425
DIAMOND OFFSHORE DRILLING, INC. 10,600 424
PAINEWEBBER GROUP, INC. 9,900 424
VF CORP. 8,200 422
CONSOLIDATED NATURAL GAS CO. 7,100 418
GENERAL DYNAMICS CORP. 9,000 418
DANA CORP. 7,800 417
SHERWIN-WILLIAMS CO. 12,500 414
GEORGIA PACIFIC GROUP 7,000 412
- CMG INFORMATION SERVICES, INC. 5,800 410
AVERY DENNISON CORP. 7,600 408
ARCO CHEMICAL CO. 7,100 407
UNIONBANCAL CORP. 4,200 405
AMEREN CORP. 10,148 403
FIRSTAR CORP. 10,600 403
- THERMO ELECTRON CORP. 11,762 402
THE TIMES MIRROR CO. CLASS A 6,400 402
- NETWORK ASSOCIATES, INC. 8,383 401
EQUIFAX, INC. 11,000 399
- NCR CORP. 12,281 399
HASBRO, INC. 10,100 397
RAYTHEON CO. CLASS A 6,845 394
COUNTRYWIDE CREDIT INDUSTRIES, INC. 7,747 393
MARSHALL & ILSLEY CORP. 7,678 392
RUBBERMAID, INC. 11,800 392
STRYKER CORP. 10,200 391
M & T BANK CORP. 700 388
- AUTOZONE INC. 12,000 383
- ADC TELECOMMUNICATIONS, INC. 10,400 380
DOW JONES & CO., INC. 6,800 379
TYSON FOODS, INC. 17,460 379
WHIRLPOOL CORP. 5,500 378
KANSAS CITY SOUTHERN
INDUSTRIES, INC. 7,600 377
- MICRON TECHNOLOGY, INC. 15,200 377
FRONTIER CORP. 11,900 375
- MARKETSPAN CORP. 12,454 373
- PROMUS HOTEL CORP. 9,636 371
EASTMAN CHEMICAL CO. 5,950 370
LEGGETT & PLATT, INC. 14,800 370
W.W. GRAINGER, INC. 7,400 369
PROVIDENT COS., INC. 10,680 368
CINTAS CORP. 7,200 367
NEW CENTURY ENERGIES, INC. 8,070 367
- OFFICE DEPOT, INC. 11,625 367
- OUTDOOR SYSTEMS, INC. 13,000 364
BALTIMORE GAS & ELECTRIC CO. 11,700 363
GENERAL MOTORS CORP. CLASS H 7,700 363
- HUMANA, INC. 11,600 362
TANDY CORP. 6,800 361
TOSCO CORP. 12,300 361
UST, INC. 13,300 359
AMERADA HESS CORP. 6,600 358
CAMCO INTERNATIONAL, INC. 4,570 356
JOHNSON CONTROLS, INC. 6,200 355
- TRICON GLOBAL RESTAURANTS, INC. 11,140 353
</TABLE>
13
<PAGE> 16
<TABLE>
<CAPTION>
- -------------------------------------------------------------------
MARKET
VALUE*
BALANCED INDEX FUND SHARES (000)
- -------------------------------------------------------------------
<S> <C> <C>
- ACCUSTAFF, INC. 11,254 $ 352
GPU, INC. 9,300 352
- U.S. FILTER CORP. 12,554 352
GALILEO INTERNATIONAL, INC. 7,700 347
SOUTHERN NEW ENGLAND
TELECOMMUNICATIONS CORP. 5,300 347
- USA NETWORKS, INC. 13,820 347
MAYTAG CORP. 7,000 346
EQUITY RESIDENTIAL PROPERTIES
TRUST REIT 7,281 345
LINEAR TECHNOLOGY CORP. 5,700 344
INTERNATIONAL FLAVORS &
FRAGRANCES, INC. 7,900 343
EL PASO NATURAL GAS 8,896 340
FOOD LION INC. CLASS A 32,000 340
- LYCOS, INC. 4,518 340
- R & B FALCON CORP. 15,018 340
- WESTERN ATLAS, INC. 4,000 340
- AMAZON.COM, INC. 3,400 339
CHAMPION INTERNATIONAL CORP. 6,900 339
NORTHERN STATES POWER CO. 11,800 338
- TELEPORT COMMUNICATIONS
GROUP INC. 6,236 338
CIRCUIT CITY STORES, INC. 7,200 337
- STARBUCKS CORP. 6,300 337
AMSOUTH BANCORP 8,550 336
- SOLECTRON CORP. 8,000 336
SONAT, INC. 8,700 336
- UAL CORP. 4,300 335
ALLEGHENY TELEDYNE INC. 14,596 334
COLUMBIA ENERGY GROUP 6,000 334
HARCOURT GENERAL, INC. 5,600 333
THE BFGOODRICH CO. 6,700 332
- AT HOME CORP. SERIES A 7,000 331
BLOUNT INTERNATIONAL, INC. 11,600 331
DANAHER CORP. 9,000 330
T. ROWE PRICE 8,800 330
- STORAGE TECHNOLOGY CORP. 7,592 329
UNION PLANTERS CORP. 5,600 329
BROWN-FORMAN CORP. CLASS B 5,100 328
DILLARD'S INC. 7,900 327
POPULAR, INC. 4,900 326
UNION PACIFIC RESOURCES
GROUP, INC. 18,581 326
KNIGHT RIDDER 5,900 325
- MAXIM INTEGRATED PRODUCTS, INC. 10,200 323
E.W. SCRIPPS CO. CLASS A 5,900 323
ITT INDUSTRIES, INC. 8,600 321
H & R BLOCK, INC. 7,600 320
- STERLING COMMERCE, INC. 6,607 320
TRANSOCEAN OFFSHORE, INC. 7,200 320
ZIONS BANCORP 6,000 319
CHARTER ONE FINANCIAL 9,390 316
FLUOR CORP. 6,200 316
VASTAR RESOURCES, INC. 7,200 315
ESTEE LAUDER COS. CLASS A 4,500 314
RELIASTAR FINANCIAL CORP. 6,538 314
HILLENBRAND INDUSTRIES, INC. 5,200 312
- CERIDIAN CORP. 5,300 311
AMBAC FINANCIAL GROUP INC. 5,300 310
PARKER HANNIFIN CORP. 8,100 309
REYNOLDS METALS CO. 5,500 308
- WELLPOINT HEALTH NETWORKS INC.
CLASS A 4,168 308
MOLEX, INC. 12,287 307
- NOVELL, INC. 24,000 306
FIRST TENNESSEE NATIONAL CORP. 9,600 303
- SYBRON INTERNATIONAL CORP. 12,008 303
DIME BANCORP, INC. 10,028 300
LG&E ENERGY CORP. 11,079 300
CMS ENERGY CORP. 6,800 299
NEWMONT GOLD CO. 12,100 299
ALLMERICA FINANCIAL CORP. 4,589 298
BIOMET, INC. 9,000 298
ANADARKO PETROLEUM CORP. 4,400 296
TOTAL SYSTEM SERVICES, INC. 14,100 296
A.G. EDWARDS & SONS, INC. 6,887 294
NUCOR CORP. 6,400 294
OLD REPUBLIC INTERNATIONAL CORP. 10,025 294
CRESCENT REAL ESTATE, INC. REIT 8,700 293
- LEXMARK INTERNATIONAL GROUP, INC.
CLASS A 4,800 293
- BARR LABS INC. 7,350 292
CENTURY TELEPHONE
ENTERPRISES, INC. 6,375 292
- J.D. EDWARDS & CO. 6,800 292
FLORIDA PROGRESS CORP. 7,100 292
HERCULES, INC. 7,100 292
- ANALOG DEVICES, INC. 11,866 291
FIRST SECURITY CORP. 13,562 290
- WATSON PHARMACEUTICALS, INC. 6,200 289
CINCINNATI BELL, INC. 10,000 286
- SCI SYSTEMS, INC. 7,600 286
ECOLAB, INC. 9,200 285
INTERSTATE BAKERIES CORP. 8,600 285
- JONES APPAREL GROUP, INC. 7,800 285
PACCAR, INC. 5,450 285
FAMILY DOLLAR STORES, INC. 15,300 283
CMAC INVESTMENT CORP. 4,574 281
MYLAN LABORATORIES, INC. 9,350 281
AMERICAN GREETINGS CORP. CLASS A 5,500 280
- CONSOLIDATED STORES, INC. 7,723 280
SIMON DEBARTOLO GROUP, INC. REIT 8,584 279
VALERO ENERGY CORP. 8,400 279
- NORTHWEST AIRLINES CORP. CLASS A 7,200 278
- MIRAGE RESORTS, INC. 13,000 277
NIPSCO INDUSTRIES, INC. 9,900 277
- 360 COMMUNICATIONS CO. 8,646 277
- QUALCOMM, INC. 4,900 275
ASHLAND, INC. 5,300 274
- HOST MARRIOTT CORP. 15,400 274
THE STANLEY WORKS 6,600 274
- APPLE COMPUTER, INC. 9,500 273
- ALZA CORP. 6,300 272
- LEAR CORP. 5,300 272
- SUNGARD DATA SYSTEMS, INC. 7,100 272
AMERICAN BANKERS
INSURANCE GROUP 4,500 271
PP&L RESOURCES INC. 11,900 270
PINNACLE WEST CAPITAL CORP. 6,000 270
- EVI WEATHERFORD, INC. 7,228 268
NEWMONT MINING CORP. 11,342 268
</TABLE>
14
<PAGE> 17
<TABLE>
<CAPTION>
- -------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -------------------------------------------------------------------
<S> <C> <C>
- BED BATH & BEYOND, INC. 5,148 $ 267
WISCONSIN ENERGY CORP. 8,800 267
- BIOGEN, INC. 5,400 265
SUN CO., INC. 6,837 265
HARRIS CORP. 5,900 264
- LHS GROUP, INC. 4,000 264
- KEANE, INC. 4,700 263
COMCAST CORP. CLASS A 6,600 262
TECO ENERGY, INC. 9,700 260
ALLEGHENY ENERGY, INC. 8,600 259
OLD KENT FINANCIAL CORP. 7,203 259
WILLAMETTE INDUSTRIES, INC. 8,100 259
ONE VALLEY BANCORP OF
WEST VIRGINIA INC. 7,100 258
TRAVELERS PROPERTY CASUALTY CORP. 6,000 257
CASE CORP. 5,300 256
- GULFSTREAM AEROSPACE CORP. 5,500 256
- QUINTILES TRANSNATIONAL CORP. 5,200 256
SIGMA-ALDRICH CORP. 7,300 256
MEDIA GENERAL, INC. CLASS A 5,200 254
SONOCO PRODUCTS CO. 8,370 253
UNION CAMP CORP. 5,100 253
SANTA FE INTERNATIONAL CORP. 8,300 251
ENERGY EAST CORP. 6,000 250
VORNADO REALTY TRUST REIT 6,300 250
- GLOBAL MARINE, INC. 13,300 249
- ABERCROMBIE & FITCH CO. 5,599 246
- FOUNDATION HEALTH SYSTEMS
CLASS A 9,340 246
PUBLIC STORAGE, INC. REIT 8,718 244
- TECHNOLOGY SOLUTIONS CO. 7,700 244
APACHE CORP. 7,700 243
ENRON OIL & GAS CO. 12,000 243
KEYSTONE FINANCIAL, INC. 6,561 243
- FISERV, INC. 5,700 242
ICN PHARMACEUTICALS, INC. 5,293 242
- TEKELEC 5,400 242
THE MEAD CORP. 7,600 241
- CAMBRIDGE TECHNOLOGY PARTNERS 4,400 240
PHELPS DODGE CORP. 4,200 240
- SECURITY CAPITAL GROUP INC. CLASS B 9,000 240
BHC COMMUNICATIONS, INC. CLASS A 1,700 239
FARMER BROTHERS, INC. 1,000 239
FINOVA GROUP, INC. 4,200 238
- GARTNER GROUP, INC. CLASS A 6,800 238
IMC GLOBAL INC. 7,889 238
- NOBLE DRILLING CORP. 9,900 238
WENDY'S INTERNATIONAL, INC. 10,100 237
SCANA CORP. 7,900 236
MAGNA GROUP 4,152 235
WESCO FINANCIAL CORP. 600 235
- K-V PHARMACEUTICAL CO. CLASS A 10,350 234
MARTIN MARIETTA MATERIALS, INC. 5,210 234
PATRIOT AMERICAN HOSPITALITY,
INC. REIT 9,747 233
ALLERGAN, INC. 5,000 232
- AMERICAN STANDARD COS., INC. 5,200 232
MICHAEL FOODS GROUP, INC. 7,900 232
- THERMO INSTRUMENT SYSTEMS, INC. 8,831 232
COMPASS BANCSHARES INC. 5,100 230
GREEN POINT FINANCIAL CORP. 6,100 230
DOLE FOOD CO. 4,600 229
CENTRAL PARKING CORP. 5,000 228
MORTON INTERNATIONAL, INC. 9,100 228
- POLICY MANAGEMENT SYSTEMS CORP. 5,800 228
ECHLIN, INC. 4,600 226
- LSI LOGIC CORP. 9,800 226
SECURITY CAPITAL INDUSTRIAL
TRUST REIT 9,052 226
- SIEBEL SYSTEMS, INC. 7,021 226
- SYNOPSYS, INC. 4,945 226
- DSC COMMUNICATIONS CORP. 7,500 225
LIZ CLAIBORNE, INC. 4,300 225
OMNICARE, INC. 5,900 225
PERKIN-ELMER CORP. 3,625 225
- ADVANCED FIBRE COMMUNICATIONS 5,600 224
VULCAN MATERIALS CO. 2,100 224
CCB FINANCIAL CORP. 2,100 223
- CENTURY COMMUNICATIONS CORP.
CLASS A 11,897 223
PIER 1 IMPORTS INC. 9,307 222
- VISIX INC. 3,729 222
A. H. BELO CORP. CLASS A 9,048 221
- ELECTRONIC ARTS INC. 4,100 221
SOLUTIA, INC. 7,700 221
TEMPLE-INLAND INC. 4,100 221
ALLEGIANCE CORP. 4,300 220
ASSOCIATED BANC-CORP. 5,834 219
ENGELHARD CORP. 10,800 219
- KLA-TENCOR CORP. 7,900 219
U.S. SURGICAL CORP. 4,800 219
ALLIED CAPITAL CORP. 8,880 218
- EXPRESS SCRIPTS 2,700 218
- FOREST LABORATORIES, INC. 6,100 218
- PACIFICARE HEALTH SYSTEMS INC.
CLASS B 2,468 218
- RELTEC CORP. 4,800 216
DELUXE CORP. 6,000 215
1ST BANCORP (INDIANA) 5,034 214
- INTUIT, INC. 3,500 214
THE ST. JOE COMPANY 7,800 214
- ST. JUDE MEDICAL, INC. 5,822 214
CENTURA BANKS, INC. 3,400 213
DPL INC. 11,750 213
- EXCEL COMMUNICATIONS, INC. 9,300 213
U.S. INDUSTRIES, INC. 8,590 213
ADOBE SYSTEMS, INC. 5,000 212
- CITRIX SYSTEMS, INC. 3,100 212
- JACOR COMMUNICATIONS, INC. 3,600 212
TREDEGAR INDUSTRIES INC. 2,500 212
BAUSCH & LOMB, INC. 4,200 211
INTERNATIONAL GAME TECHNOLOGY 8,700 211
- CONCORD EFS, INC. 8,052 210
- SEALED AIR CORP. 5,701 210
WESTVACO CORP. 7,450 210
ARMSTRONG WORLD INDUSTRIES INC. 3,100 209
COMDISCO, INC. 11,000 209
READER'S DIGEST ASSN., INC.
CLASS A 7,700 209
HIBERNIA CORP. CLASS A 10,300 208
POTOMAC ELECTRIC POWER CO. 8,300 208
- QUANTUM CORP. 10,000 208
</TABLE>
15
<PAGE> 18
<TABLE>
<CAPTION>
- -------------------------------------------------------------------
MARKET
VALUE*
BALANCED INDEX FUND SHARES (000)
- -------------------------------------------------------------------
<S> <C> <C>
SOVEREIGN BANCORP, INC. 12,729 $ 208
- AMERICAN POWER
CONVERSION CORP. 6,900 207
- DST SYSTEMS, INC. 3,700 207
- FORE SYSTEMS, INC. 7,800 207
- COHERENT COMMUNICATIONS
SYSTEMS CORP. 4,400 206
HF FINANCIAL CORP. 9,000 206
SUNDSTRAND CORP. 3,600 206
- PAYLESS SHOESOURCE, INC. 2,780 205
USX-U.S. STEEL GROUP 6,200 205
AMERICAN FINANCIAL GROUP, INC. 4,700 204
- VITESSE SEMICONDUCTOR CORP. 6,600 204
KERR-MCGEE CORP. 3,500 203
- RAMBUS INC. 3,300 202
THOMAS & BETTS CORP. 4,100 202
- LITTON INDUSTRIES, INC. 3,400 201
TRANSATLANTIC HOLDINGS, INC. 2,600 201
- BORDERS GROUP, INC. 5,400 200
- U.S. CELLULAR CORP. 6,500 200
COMMERCE BANCSHARES, INC. 4,078 199
- COOPER CAMERON CORP. 3,900 199
NEW ENGLAND ELECTRIC SYSTEM 4,600 199
TCF FINANCIAL CORP. 6,756 199
GIANT FOOD, INC. CLASS A 4,600 198
HUBBELL INC. CLASS B 4,750 198
- TOTAL RENAL CARE HOLDINGS, INC. 5,735 198
HORMEL FOODS CORP. 5,700 197
MERCANTILE BANKSHARES CORP. 5,650 197
DQE INC. 5,450 196
MCCORMICK & CO., INC. 5,500 196
MILLENNIUM CHEMICALS, INC. 5,800 196
MEDITRUST CORP. 6,985 195
- SEPRACOR INC. 4,700 195
SUPERVALU INC. 4,400 195
- AMERICA WEST HOLDINGS CORP.
CLASS B 6,800 194
FIRST COMMERCIAL CORP. 2,795 194
VIAD CORP. 7,000 194
- CHIRON CORP. 12,304 193
- PIXAR, INC. 3,200 193
SOUTHDOWN, INC. 2,700 193
THE WARNACO GROUP, INC. CLASS A 4,520 192
- ADVANCED MICRO DEVICES, INC. 11,200 191
- SOUTHERN UNION CO. 5,911 191
- GLOBAL TELESYSTEMS GROUP, INC. 3,900 190
- NATIONAL-OILWELL, INC. 7,100 190
- SNYDER COMMUNICATIONS, INC. 4,320 190
AIRBORNE FREIGHT CORP. 5,400 189
- ALTERA CORP. 6,400 189
FEDERAL-MOGUL CORP. 2,800 189
FIRST AMERICAN FINANCIAL CORP. 2,100 189
USG CORP. 3,500 189
- WHOLE FOODS MARKET, INC. 3,100 188
INTERSTATE ENERGY CORP. 5,752 187
ULTRAMAR DIAMOND SHAMROCK CORP. 5,937 187
- XILINX, INC. 5,500 187
DEPUY, INC. 6,600 186
KUHLMAN CORP. 4,700 186
- VENATOR GROUP, INC. 9,700 186
JOHNS MANVILLE CORP. 12,300 185
- THERAGENICS CORP. 7,116 185
- AMES DEPARTMENT STORES, INC. 7,000 184
AMERICAN WATER WORKS CO., INC. 5,900 183
- CALENERGY CO. 6,100 183
- CENTOCOR, INC. 5,052 183
CONECTIV, INC. 8,950 183
NORTHWEST BANCORP, INC. 11,600 183
- ORGANOGENESIS, INC. 9,276 183
RICHFOOD HOLDINGS, INC. 8,850 183
MURPHY OIL CORP. 3,600 182
FIRST VIRGINIA BANKS, INC. 3,550 181
GREAT LAKES CHEMICAL CORP. 4,600 181
- WINSLOW FURNITURE CO. 6,700 181
- ALLIED WASTE INDUSTRIES, INC. 7,500 180
CONSOLIDATED PAPERS 6,600 180
KN ENERGY, INC. 3,328 180
- PREMIER PARKS INC. 2,700 180
PROTECTIVE LIFE CORP. 4,900 180
APPLIED POWER, INC. 5,200 179
ENSCO INTERNATIONAL, INC. 10,324 179
- MCLEOD, INC. 4,600 179
DARDEN RESTAURANTS INC. 11,200 178
LYONDELL PETROCHEMICAL CO. 5,800 177
PENNZOIL CO. 3,500 177
TELEPHONE & DATA SYSTEMS, INC. 4,500 177
DEAN FOODS CORP. 3,200 176
- INTERMEDIA COMMUNICATIONS INC. 4,200 176
- MOHAWK INDUSTRIES, INC. 5,550 176
- REXALL SUNDOWN, INC. 5,000 176
- UNIPHASE CORP. 2,800 176
MANPOWER INC. 6,100 175
- TOLL BROTHERS, INC. 6,100 175
WESTERN RESOURCES, INC. 4,500 175
- APOLLO GROUP, INC. CLASS A 5,250 174
- BARNES & NOBLE, INC. 4,648 174
PIONEER NATURAL RESOURCES CO. 7,300 174
SHAW INDUSTRIES, INC. 9,900 174
BRUNSWICK CORP. 7,000 173
MANOR CARE INC. 4,500 173
- CITIZENS UTILITIES CO. CLASS B 17,854 172
- IMMUNEX CORP. 2,600 172
NALCO CHEMICAL CO. 4,900 172
- ARROW ELECTRONICS, INC. 7,874 171
RAYCHEM CORP. 5,800 171
- WILLIAMS SONOMA, INC. 5,384 171
AVALON BAY COMMUNITIES 4,481 170
- HARRAH'S ENTERTAINMENT, INC. 7,300 170
HERMAN MILLER, INC. 7,000 170
PEOPLES BANK OF BRIDGEPORT 4,900 170
ROUSE CO. REIT 5,400 170
UNITED TELEVISION, INC. 1,487 170
ASA HOLDINGS INC. 3,400 169
- BJ SERVICES CO. 5,826 169
DIAL CORP. 6,500 169
- ENVIROTEST SYSTEMS CORP. CLASS A 10,800 169
- FAIRFIELD COMMUNITIES, INC. 8,800 169
FINA INC. 2,600 169
FLORIDA ROCK INDUSTRIES, INC. 5,800 169
- IOMEGA CORP. 28,700 169
- I2 TECHNOLOGIES, INC. 4,800 169
ROPER INDUSTRIES INC. 6,472 169
</TABLE>
16
<PAGE> 19
<TABLE>
<CAPTION>
- ------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ------------------------------------------------------------------
<S> <C> <C>
BEMIS CO., INC. 4,100 $ 168
- - COMPUSA, INC. 9,300 168
CULLEN/FROST BANKERS, INC. 3,100 168
STEWART ENTERPRISES, INC. CLASS A 6,300 168
- - CABLEVISION SYSTEMS CORP. CLASS B 2,000 167
- - CANANDAIGUA BRANDS, INC. CLASS A 3,392 167
NOBLE AFFILIATES, INC. 4,400 167
RYDER SYSTEM, INC. 5,300 167
SYMBOL TECHNOLOGIES, INC. 4,425 167
UNITRIN, INC. 2,400 167
- - AFFILIATED COMPUTER SERVICES, INC. 4,310 166
- - COMVERSE TECHNOLOGY, INC. 3,200 166
FREEPORT-MCMORAN COPPER &
GOLD INC. CLASS B 10,954 166
MERCANTILE STORES CO., INC. 2,100 166
- - PRIMARK CORP. 5,300 166
PUGET SOUND ENERGY INC. 6,180 166
- - VIKING OFFICE PRODUCTS 5,300 166
BERGEN BRUNSWIG CORP. CLASS A 3,550 165
CAPITAL RE CORP. 2,300 165
- - GENERAL NUTRITION COS., INC. 5,300 165
MID AM INC. 6,549 165
PALL CORP. 8,066 165
- - ARTERIAL VASCULAR ENGINEERING, INC. 4,600 164
C.R. BARD, INC. 4,300 164
- - FMC CORP. 2,400 164
FLEETWOOD ENTERPRISES, INC. 4,100 164
HOMESTAKE MINING CO. 15,800 164
- - NOVELLUS SYSTEMS, INC. 4,600 164
- - ORYX ENERGY CO. 7,400 164
- - SOFAMOR DANEK GROUP, INC. 1,900 164
IRWIN FINANCIAL CORP. 5,600 163
PEOPLES HERITAGE FINANCIAL
GROUP INC. 6,900 163
WHITMAN CORP. 7,100 163
GRACO, INC. 4,650 162
- - PMC SIERRA INC. 3,466 162
POE & BROWN, INC. 4,350 162
UTILICORP UNITED, INC. 4,300 162
BOWATER INC. 3,400 161
CLAYTON HOMES INC. 8,482 161
- - GP STRATEGIES CORP. 11,040 161
- - NETSCAPE COMMUNICATIONS CORP. 5,940 161
THE PMI GROUP INC. 2,200 161
CRANE CO. 3,300 160
- - GARDNER DENVER INC. 5,796 160
HARSCO CORP. 3,500 160
- - NIAGARA MOHAWK POWER CORP. 10,700 160
U.S. TRUST CORP. 2,098 160
- - EXCITE, INC. 1,700 159
- - FRUIT OF THE LOOM, INC. 4,800 159
- - GENESCO, INC. 9,750 159
LEUCADIA NATIONAL CORP. 4,800 159
- - NAVISTAR INTERNATIONAL CORP. 5,500 159
- - NORTHEAST UTILITIES 9,400 159
OWENS CORNING 3,900 159
- - BJ'S WHOLESALE CLUB, INC. 3,900 158
FIRST SOURCE CORP. 4,413 158
HEALTH AND RETIREMENT
PROPERTIES TRUST 8,400 158
- - U.S. RENTALS, INC. 4,000 158
COMMERCIAL FEDERAL CORP. 4,959 157
- - FURNITURE BRANDS INTERNATIONAL INC. 5,600 157
- - KEEBLER FOODS CO. 5,700 157
PENTAIR, INC. 3,700 157
- - STERLING SOFTWARE, INC. 5,300 157
THE TIMBER CO. 6,800 157
- - MUELLER INDUSTRIES INC. 4,200 156
- - SAFESKIN CORP. 3,800 156
- - ANCHOR GAMING 2,000 155
- - CABLE DESIGN TECHNOLOGIES 7,500 155
- - CHRIS-CRAFT INDUSTRIES, INC. 2,842 155
KAYDON CORP. 4,400 155
MCDERMOTT INTERNATIONAL, INC. 4,500 155
MEREDITH CORP. 3,300 155
SPIEKER PROPERTIES, INC. REIT 4,000 155
- - SYNTEL, INC. 4,950 155
WASHINGTON FEDERAL INC. 5,606 155
- - BEL FUSE, INC. 6,900 154
CNB BANCSHARES, INC. 3,200 154
COMPUTER TASK GROUP, INC. 4,600 154
GENCORP, INC. 6,100 154
- - SILICON GRAPHICS, INC. 12,704 154
AVNET, INC. 2,800 153
METRIS COS., INC. 2,400 153
- - NATIONAL SEMICONDUCTOR CORP. 11,600 153
- - PLATINUM SOFTWARE CO. 6,274 153
- - SMITHFIELD FOODS, INC. 5,000 153
CABOT CORP. 4,700 152
- - CIBER, INC. 4,000 152
CENTEX CORP. 4,000 151
SECURITY CAPITAL PACIFIC, INC. REIT 6,700 151
UNIFI, INC. 4,400 151
- - AMERICREDIT CORP. 4,200 150
FFY FINANCIAL CORP. 4,600 150
ILLINOVA CORP. 5,000 150
INTEGRATED HEALTH SERVICES, INC. 4,000 150
OLIN CORP. 3,600 150
TCA CABLE TELEVISION, INC. 2,500 150
- - TECH DATA CORP. 3,500 150
- - CABLETRON SYSTEMS, INC. 11,110 149
NGC CORP. 11,900 149
PACIFIC CENTURY FINANCIAL CORP. 6,200 149
- - PLATINUM TECHNOLOGY, INC. 5,200 149
PULTE CORP. 5,000 149
SEI CORP. 2,400 149
- - SHOWBIZ PIZZA TIME, INC. 3,700 149
AUTODESK, INC. 3,820 148
BOSTON PROPERTIES, INC. REIT 4,300 148
- - CYTEC INDUSTRIES, INC. 3,342 148
NATIONAL BANKCORP OF ALASKA INC. 4,800 148
PREMARK INTERNATIONAL, INC. 4,600 148
TEXAS INDUSTRIES, INC. 2,800 148
AMERICAN NATIONAL INSURANCE CO. 1,400 147
HUBCO, INC. 4,110 147
IPALCO ENTERPRISES, INC. 3,300 147
- - PATTERSON DENTAL CO. 4,000 147
- - TERADYNE, INC. 5,500 147
- - YOUNG & RUBICAM INC. 4,600 147
- - DOLLAR TREE STORES, INC. 3,600 146
</TABLE>
17
<PAGE> 20
<TABLE>
<CAPTION>
- ------------------------------------------------------------------
MARKET
VALUE*
BALANCED INDEX FUND SHARES (000)
- ------------------------------------------------------------------
<S> <C> <C>
- - OCEAN ENERGY, INC. 7,438 $ 146
AMB PROPERTY CORP. 5,900 145
BEC ENERGY 3,500 145
CAPITOL BANCORP LTD. 5,808 145
LAFARGE CORP. 3,700 145
- - TECHNE 7,600 145
TIDEWATER, INC. 4,400 145
ELCOR CORP. 5,700 144
- - DENDRITE INTERNATIONAL, INC. 3,800 143
FIRST MIDWEST BANCORP 3,250 143
FLOWERS INDUSTRIES, INC. 7,000 143
- - FOOTSTAR INC. 2,984 143
- - GENZYME CORP. 5,600 143
- - LINCARE HOLDINGS, INC. 3,400 143
MALLINCKRODT, INC. 4,800 143
- - NTL INC. 2,667 143
- - NEIMAN MARCUS GROUP INC. 3,300 143
- - QUORUM HEALTH GROUP, INC. 5,400 143
SNAP-ON INC. 3,950 143
- - YOUNG BROADCASTING INC. 2,200 143
EVEREST REINSURANCE HOLDINGS, INC. 3,700 142
HARTE-HANKS, INC. 5,500 142
KENNAMETAL, INC. 3,400 142
- - MARKEL CORP. 800 142
NATIONAL SERVICE INDUSTRIES, INC. 2,800 142
- - PLAYTEX PRODUCTS, INC. 8,900 142
RELIANCE GROUP HOLDINGS 8,100 142
- - SCOTTS CO. 3,800 142
- - SILICON VALLEY BANCSHARES 4,000 142
CKE RESTAURANTS INC. 3,410 141
LIBERTY CORP. 2,800 141
MIDAMERICAN ENERGY CO. 6,500 141
- - NABORS INDUSTRIES, INC. 7,100 141
- - BETHLEHEM STEEL CORP. 11,240 140
BOWNE & CO., INC. 3,100 140
GATX CORP. 3,200 140
IKON OFFICE SOLUTIONS, INC. 9,600 140
OGE ENERGY CORP. 5,200 140
- - OFFICEMAX, INC. 8,500 140
- - TELETECH HOLDINGS INC. 11,400 140
MONTANA POWER CO. 4,000 139
- - SANMINA CORP. 3,200 139
THE TIMKEN CO. 4,500 139
- - BROADVISION, INC. 5,800 138
- - ORTHODONTIC CENTERS OF
AMERICA, INC. 6,600 138
PEOPLES FIRST 3,935 138
POGO PRODUCING CO. 5,500 138
- - TRIANGLE PACIFIC CORP. 2,500 138
BSB BANCORP, INC. 4,530 137
MCN ENERGY GROUP INC. 5,500 137
NABISCO HOLDINGS CORP. CLASS A 3,800 137
- - OUTBACK STEAKHOUSE 3,500 137
PROVIDENT FINANCIAL GROUP, INC. 3,000 137
PUERTO RICAN CEMENT CO., INC. 2,900 137
UNITED DOMINION INDUSTRIES LTD. 4,100 137
- - VERITAS SOFTWARE CORP. 3,300 137
WHITNEY HOLDINGS 2,705 137
CNF TRANSPORTATION, INC. 3,200 136
- - CERNER CORP. 4,800 136
COMMUNITY FIRST BANKSHARES 5,200 136
D. R. HORTON, INC. 6,500 136
- - EXTENDED STAY AMERICA, INC. 12,093 136
HANNAFORD BROTHERS CO. 3,100 136
- - NEXTLINK COMMUNICATIONS, INC. 3,600 136
RUSSELL CORP. 4,500 136
FREMONT GENERAL CORP. 2,500 135
FLOWSERVE CORP. 5,440 134
- - IDX SYSTEMS CORP. 2,900 134
LANDMARK BANCSHARE, INC. 4,900 134
N L INDUSTRIES, INC. 6,700 134
ORANGE & ROCKLAND UTILITIES, INC. 2,500 134
- - PLANTRONICS, INC. 2,600 134
R.L.I. CORP. 3,281 134
- - CATELLUS DEVELOPMENT CORP. 7,500 133
KAUFMAN & BROAD HOME CORP. 4,200 133
- - IMPERIAL CREDIT 5,600 132
MID-IOWA FINANCIAL CORP. 12,000 132
- - PAYMENTECH, INC. 6,400 132
TUPPERWARE CORP. 4,700 132
WERNER ENTERPRISES, INC. 6,938 132
- - ASPEN TECHNOLOGIES, INC. 2,600 131
- - E*TRADE GROUP, INC. 5,700 131
KELLY SERVICES, INC. CLASS A 3,700 131
- - METROMEDIA FIBER NETWORK, INC. 2,800 131
- - HENRY SCHEIN, INC. 2,835 131
- - STERIS CORP. 2,054 131
- - SUIZA FOODS CORP. 2,200 131
- - TELE-COMMUNICATIONS
INTERNATIONAL, INC. SERIES A 6,500 131
VALSPAR CORP. 3,300 131
CITY HOLDING CO. 2,795 130
DUKE REALTY INVESTMENTS, INC. REIT 5,500 130
- - INCYTE PHARMACEUTICALS, INC. 3,800 130
LOUISIANA-PACIFIC CORP. 7,100 130
- - MEDCO RESEARCH, INC. 5,100 130
NATIONAL COMMUNITY BANCORP 3,100 130
- - PRIMEDIA INC. 9,600 130
- - CORRECTIONS CORP. OF AMERICA 5,500 129
- - INTERNATIONAL SPECIALTY
PRODUCTS, INC. 6,900 129
- - J. RAY MCDERMOTT SA 3,100 129
ROSS STORES, INC. 3,000 129
TYLER CORP. 12,500 129
BANCORPSOUTH, INC. 6,100 128
CUMMINS ENGINE CO., INC. 2,500 128
NAC RE CORP. 2,400 128
NACCO INDUSTRIES, INC. CLASS A 991 128
UNITED ASSET MANAGEMENT CORP. 4,900 128
WILMINGTON TRUST CORP. 2,100 128
APARTMENT INVESTMENT &
MANAGEMENT CO. CLASS A REIT 3,219 127
DIEBOLD, INC. 4,400 127
- - LANDS' END, INC. 4,000 127
MANITOWAC CO., INC. 3,150 127
SCIENTIFIC-ATLANTA, INC. 5,000 127
TEKTRONIX, INC. 3,600 127
TRINITY INDUSTRIES, INC. 3,050 127
CROMPTON & KNOWLES CORP. 5,000 126
- - JEFFERSON SMURFIT CORP. 8,000 126
- - SPS TECHNOLOGIES, INC. 2,148 126
- - SHOPKO STORES, INC. 3,700 126
</TABLE>
18
<PAGE> 21
<TABLE>
<CAPTION>
- ------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ------------------------------------------------------------------
<S> <C> <C>
- - ALLEGHANY CORP. 534 $ 125
- - BLYTH INDUSTRIES, INC. 3,750 125
- - CHS ELECTRONICS, INC. 7,000 125
CARRAMERICA REALTY CORP. REIT 4,400 125
CORNERSTONE PROPERTIES, INC. REIT 7,100 125
DEVON ENERGY CORP. 3,567 125
- - HARBINGER CORP. 5,175 125
KANSAS CITY POWER & LIGHT CO. 4,300 125
ROLLINS TRUCK LEASING 10,125 125
ST. PAUL BANCORP, INC. 5,536 125
- - VLASIC FOODS INTERNATIONAL, INC. 6,226 125
- - WESTPOINT STEVENS, INC. 3,800 125
MACK-CALI REALTY CORP. REIT 3,600 124
- - MAIL-WELL, INC. 5,700 124
NICOR, INC. 3,100 124
- - R. P. SCHERER CORP. 1,400 124
- - BISYS GROUP, INC. 3,000 123
- - INTERNATIONAL HOME FOODS, INC. 5,400 123
LA QUINTA INNS INC. 5,800 123
LIFE RE CORP. 1,500 123
- - NINE WEST GROUP, INC. 4,600 123
OAKWOOD HOMES CORP. 4,100 123
- - POLO RALPH LAUREN CORP. 4,400 123
SEACOAST BANKING CORP. OF FLORIDA
CLASS A 3,200 123
- - VERISIGN, INC. 3,300 123
- - CATALINA MARKETING CORP. 2,340 122
FIRST BANCORP OF OHIO 4,200 122
HON INDUSTRIES, INC. 3,600 122
- - JACOBS ENGINEERING GROUP INC. 3,800 122
NATIONAL FUEL GAS CO. 2,800 122
QUESTAR CORP. 6,200 122
REGIS CORP. 4,140 122
- - TRIAD GUARANTY, INC. 3,600 122
- - WINDMERE-DURABLE HOLDINGS INC. 3,400 122
- - XYLAN CORP. 4,100 122
- - ADVO, INC. 4,300 121
- - AVIS RENT A CAR, INC. 4,900 121
BOISE CASCADE CORP. 3,700 121
CRACKER BARREL OLD COUNTRY
STORES, INC. 3,800 121
- - DEPARTMENT 56 INC. 3,405 121
INLAND STEEL INDUSTRIES, INC. 4,300 121
- - MCMORAN OIL AND GAS 28,584 121
- - METZLER GROUP, INC. 3,300 121
- - MIDWAY GAMES INC. 7,774 121
STATEN ISLAND BANCORP, INC. 5,300 121
COMAIR HOLDINGS, INC. 3,900 120
HERTZ CORP. CLASS A 2,700 120
- - BEVERLY ENTERPRISES, INC. 8,600 119
- - CSK AUTO CORP. 4,700 119
- - INTERIM SERVICES, INC. 3,700 119
- - JABIL CIRCUIT, INC. 3,600 119
KIMCO REALTY CORP. REIT 2,900 119
PULITZER PUBLISHING CO. 1,333 119
- - ROWAN COS., INC. 6,100 119
AAR CORP. 4,000 118
GIANT INDUSTRIES, INC. 6,800 118
- - INTERNATIONAL TECHNOLOGY 12,437 118
JOSTENS INC. 4,900 118
- - LAYNE CHRISTENSEN CO. 9,500 118
- - SMITH INTERNATIONAL, INC. 3,400 118
- - SYMANTEC CORP. 4,500 118
COUSINS PROPERTIES, INC. REIT 3,900 117
FIRST COMMERCE BANCSHARES INC.
CLASS B 4,000 117
POLAROID CORP. 3,300 117
RPM INC. (OHIO) 6,905 117
SOMERSET GROUP, INC. 5,156 117
WAUSAU-MOSINEE PAPER CORP. 5,126 117
WITCO CHEMICAL CORP. 4,000 117
ANALOGIC CORP. 2,600 116
ARDEN REALTY GROUP, INC. REIT 4,500 116
CARAUSTAR INDUSTRIES, INC. 4,000 116
FEDERAL REALTY INVESTMENT
TRUST REIT 4,800 116
- - ICG COMMUNICATIONS, INC. 3,180 116
- - QUIKSILVER, INC. 5,800 116
- - STAR TELECOMMUNICATIONS, INC. 5,200 116
STRIDE RITE CORP. 7,700 116
TECUMSEH PRODUCTS CO. CLASS A 2,200 116
- - THERMO CARDIOSYSTEMS INC. 5,100 116
- - U.S. FOODSERVICE 3,300 116
UNITED ILLUMINATING CO. 2,300 116
- - CHECKFREE HOLDINGS CORP. 3,900 115
- - GOODY'S FAMILY CLOTHING 2,100 115
- - INGRAM MICRO, INC. 2,600 115
- - INSILCO CORP. 2,600 115
- - KING WORLD PRODUCTIONS, INC. 4,500 115
- - PROGRESS SOFTWARE CORP. 2,800 115
- - ZEBRA TECHNOLOGIES CLASS A 2,700 115
- - ALLIED HOLDINGS, INC. 5,400 114
FULTON FINANCIAL CORP. 4,487 114
HOUGHTON MIFFLIN CO. 3,600 114
- - HUTCHINSON TECHNOLOGY, INC. 4,200 114
- - INACOM CORP. 3,600 114
- - MEN'S WEARHOUSE, INC. 3,450 114
MERRY LAND & INVESTMENT CO.,
INC. REIT 5,400 114
WOLVERINE WORLD WIDE, INC. 5,250 114
BURLINGTON COAT FACTORY
WAREHOUSE CORP. 5,040 113
- - ENTREMED, INC. 3,400 113
- - FIRST FEDERAL FINANCIAL CORP. 2,166 113
- - INSIGNIA FINANCIAL GROUP 4,600 113
- - LEGATO SYSTEMS, INC. 2,900 113
- - MICRO WAREHOUSE INC. 7,300 113
- - OCWEN FINANCIAL CORP. 4,200 113
STUDENT LOAN CORP. 2,400 113
TAB PRODUCTS 9,100 113
- - ADAPTEC, INC. 7,800 112
- - ARMCO, INC. 17,500 112
ASTORIA FINANCIAL CORP. 2,100 112
COCA-COLA BOTTLING CO. 1,700 112
DORAL FINANCIAL CORP. 6,400 112
FINANCIAL SECURITY ASSURANCE
HOLDINGS LTD. 1,900 112
GENERAL SIGNAL CORP. 3,100 112
- - HEFTEL BROADCASTING CORP. 2,500 112
LUBRIZOL CORP. 3,700 112
MERITOR AUTOMOTIVE, INC. 4,666 112
- - PERSONNEL GROUP OF AMERICA, INC. 5,600 112
</TABLE>
19
<PAGE> 22
<TABLE>
<CAPTION>
- ------------------------------------------------------------------
MARKET
VALUE*
BALANCED INDEX FUND SHARES (000)
- ------------------------------------------------------------------
<S> <C> <C>
SEALED AIR CORP. PFD. 2,660 $ 112
TRUSTCO BANK 4,250 112
- - WINSTAR COMMUNICATIONS, INC. 2,600 112
AMERICAN HERITAGE LIFE
INVESTMENT CORP. 4,800 111
W.H. BRADY CLASS A 4,000 111
FASTENAL CO. 2,400 111
KELLWOOD CO. 3,100 111
- - MASTEC INC. 4,650 111
- - METAMOR WORLDWIDE, INC. 3,150 111
- - ATL ULTRASOUND, INC. 2,400 110
- - BEA SYSTEMS, INC. 4,800 110
CAMDEN PROPERTY TRUST REIT 3,700 110
- - COMMSCOPE, INC. 6,800 110
- - FAIRCHILD CORP. 5,441 110
- - FRIEDE GOLDMAN INTERNATIONAL, INC. 3,800 110
- - GOLDEN STATE BANCORP INC. 3,700 110
- - HEALTHCARE & RETIREMENT CORP. 2,800 110
HIGHWOOD PROPERTIES, INC. REIT 3,400 110
- - MGM GRAND, INC. 3,500 110
THE MCCLATCHY CO. CLASS A 3,175 110
- - METRO-GOLDWYN-MAYER INC. 5,000 110
- - APPLIED INNOVATION INC. 11,000 109
FOREMOST CORP. OF AMERICA 4,500 109
- - GILEAD SCIENCES, INC. 3,400 109
LENNAR CORP. 3,700 109
- - MAGELLAN HEALTH SERVICES, INC. 4,300 109
- - MEDICAL ASSURANCE, INC. 3,916 109
- - PSS WORLD MEDICAL, INC. 7,450 109
- - ROMAC INTERNATIONAL, INC. 3,600 109
TIMBERLINE SOFTWARE CORP. 4,646 109
- - TRIGON HEALTHCARE, INC. 3,000 109
20TH CENTURY INDUSTRIES OF CA 3,800 109
- - VALUE CITY DEPARTMENT STORES, INC. 5,200 109
AIR EXPRESS INTERNATIONAL CORP. 4,050 108
ALFA CORP. 5,200 108
- - CLIFFS DRILLING CO. 3,298 108
EXECUTIVE RISK, INC. 1,467 108
- - GENTEX CORP. 5,952 108
- - GLOBAL INDUSTRIES LTD. 6,400 108
- - PETSMART, INC. 10,848 108
- - ACTION PERFORMANCE COS., INC. 3,332 107
ASARCO, INC. 4,800 107
- - ASPECT TELECOMMUNICATIONS CORP. 3,900 107
- - CHOICE HOTEL INTERNATIONAL, INC. 7,900 107
COOPER TIRE & RUBBER CO. 5,200 107
EASTERN ENTERPRISES 2,500 107
- - INFORMATION RESOURCES, INC. 5,806 107
KIMBALL INTERNATIONAL, INC. CLASS B 5,900 107
- - MEDPARTNERS, INC. 13,424 107
- - ATMEL CORP. 7,800 106
- - AVIALL INC. 7,775 106
- - DII GROUP, INC. 6,200 106
- - DIONEX CORP. 4,000 106
- - MEDIMMUNE INC. 1,700 106
METHODE ELECTRONICS, INC. CLASS A 6,849 106
OHIO CASUALTY CORP. 2,400 106
- - RATIONAL SOFTWARE CORP. 6,963 106
SHARED MEDICAL SYSTEMS CORP. 1,437 106
- - STONE CONTAINER CORP. 6,800 106
- - WETSEAL, INC. CLASS A 3,300 106
- - CELLULAR COMMUNICATIONS
INTERNATIONAL INC. 2,100 105
COMSAT CORP. 3,700 105
- - EDUCATION MANAGEMENT CORP. 3,200 105
TRUE NORTH COMMUNICATIONS 3,600 105
- - TWINLAB CORP. 2,400 105
UNITED DOMINION REALTY TRUST REIT 7,600 105
- - AMF BOWLING, INC. 3,600 104
BANK NORTH GROUP 2,800 104
BATTLE MOUNTAIN GOLD CO. CLASS A 17,500 104
CBL & ASSOCIATES PROPERTIES,
INC. REIT 4,300 104
CHURCH & DWIGHT, INC. 3,200 104
FIRST FINANCIAL BANCORP 4,000 104
FIRSTBANK PUERTO RICO 4,000 104
- - FLORIDA PANTHERS HOLDINGS, INC. 5,300 104
- - LOUIS DREYFUS NATURAL GAS CORP. 5,472 104
STANDARD PRODUCTS CO. 3,700 104
TAUBMAN CO. REIT 7,300 104
- - TRAMMELL CROW CO. 3,100 104
BANKATLANTIC BANCORP, INC. CLASS A 8,690 103
- - CIRCUS CIRCUS ENTERPRISES INC. 6,100 103
DENTSPLY INTERNATIONAL INC. 4,100 103
- - FIRST HEALTH GROUP CORP. 3,600 103
IBP, INC. 5,700 103
- - MICROGRAFX, INC. 7,200 103
- - UNITED NATURAL FOODS, INC. 3,600 103
WESTAMERICA BANCORPORATION 3,200 103
WORTHINGTON INDUSTRIES, INC. 6,850 103
ARVIN INDUSTRIES, INC. 2,800 102
CALLAWAY GOLF CO. 5,200 102
- - DVI, INC. 4,000 102
LANCASTER COLONY CORP. 2,682 102
- - LASALLE PARTNERS INC. 2,300 102
MACDERMID, INC. 3,600 102
- - MAPICS INC. 5,200 102
- - SAKS HOLDINGS, INC. 3,700 102
SUMITOMO BANK OF CALIFORNIA 2,700 102
- - UNIT CORP. 16,900 102
- - ANDREW CORP. 5,587 101
BECKMAN COULTER, INC. 1,732 101
CILCORP, INC. 2,100 101
COLONIAL BANCGROUP, INC. 3,121 101
- - CONMED CORP. 4,406 101
CORDANT TECHNOLOGIES, INC. 2,200 101
- - EAGLE USA AIRFREIGHT, INC. 2,900 101
GRIEF BROTHERS CORP. CLASS A 2,700 101
- - HOWMET INTERNATIONAL INC. 6,700 101
- - JOHNSTOWN AMERICA INDUSTRIES 5,800 101
- - MASTECH CORP. 3,600 101
ORION CAPITAL CORP. 1,800 101
TIFFANY & CO. 2,100 101
TOOTSIE ROLL INDUSTRIES, INC. 1,311 101
- - VITALINK PHARMACY SERVICES, INC. 4,566 101
WASHINGTON WATER POWER CO. 4,500 101
- - WESTWOOD ONE, INC. 4,000 101
AMERICAN HEALTH PROPERTIES, INC. 4,000 100
- - CHARMING SHOPPES, INC. 21,100 100
- - GC COS. 1,930 100
HOSPITALITY PROPERTIES TRUST REIT 3,100 100
INDYMAC MORTGAGE HOLDINGS, INC. 4,400 100
</TABLE>
20
<PAGE> 23
<TABLE>
<CAPTION>
- ------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ------------------------------------------------------------------
<S> <C> <C>
LIBERTY PROPERTY TRUST REIT 3,900 $ 100
- - MINIMED, INC. 1,900 100
- - VALASSIS COMMUNICATIONS, INC. 2,600 100
- - VISIO CORP. 2,100 100
- - WATERS CORP. 1,700 100
YORK INTERNATIONAL CORP. 2,300 100
AEROQUIP-VICKERS INC. 1,700 99
ALBERTO-CULVER CO. CLASS B 3,400 99
- - ASSOCIATED GROUP, INC. 2,408 99
BANTA CORP. 3,200 99
- - BRISTOL HOTEL CO. 4,050 99
CHEMICAL FINANCE 2,326 99
DELTA & PINE LAND CO. 2,220 99
FINGERHUT CO. 3,000 99
HSB GROUP INC. 1,850 99
HUGHES SUPPLY, INC. 2,700 99
MINNESOTA POWER, INC. 2,500 99
- - ONSALE, INC. 4,000 99
RAYMOND JAMES FINANCIAL, INC. 3,300 99
ROCHESTER GAS AND ELECTRIC CORP. 3,100 99
- - UNIVERSAL HEALTH SERVICES CLASS B 1,700 99
VALUE LINE, INC. 2,600 99
WASHINGTON REIT 5,700 99
- - ALPINE GROUP, INC. 4,700 98
CENTRAL NEWSPAPERS INC. 1,400 98
COMMONWEALTH ENERGY SYSTEMS 2,600 98
EQUITABLE RESOURCES, INC. 3,200 98
- - HYPERION SOFTWARE CORP. 3,452 98
- - LASON HOLDINGS, INC. 1,800 98
- - LEARNING CO., INC. 3,300 98
- - MAVERICK TUBE CORP. 8,400 98
OMNIQUIP INTERNATIONAL, INC. 5,300 98
- - SKYTEL COMMUNICATIONS, INC. 4,200 98
- - STILLWATER MINING CO. 3,600 98
- - UNITED PAYORS & UNITED
PROVIDERS, INC. 4,350 98
WD-40 CO. 3,600 98
AGCO CORP. 4,700 97
THE ACKERLEY GROUP, INC. 4,600 97
- - BRYLANE, INC. 2,100 97
- - CORPORATE EXPRESS, INC. 7,650 97
- - DEVRY, INC. 4,400 97
- - FINANCIAL INDUSTRIES CORP. 5,000 97
FIRST BRANDS CORP. 3,800 97
- - FIRSTPLUS FINANCIAL GROUP, INC. 2,700 97
GENERAL GROWTH PROPERTIES
INC. REIT 2,600 97
HORACE MANN EDUCATORS CORP. 2,800 97
MYERS INDUSTRIES, INC. 4,060 97
- - RECOVERY ENGINEERING, INC. 4,600 97
- - SEQUA CORP. CLASS A 1,456 97
TRUSTMARK CORP. 4,400 97
CITY NATIONAL CORP. 2,600 96
W.R. GRACE & CO. 5,600 96
- - HAYES LEMMERZ INTERNATIONAL, INC. 2,420 96
- - HOVNANIAN ENTERPRISES CLASS A 9,300 96
- - HUMAN GENOME SCIENCES, INC. 2,700 96
- - IMCLONE SYSTEMS, INC. 7,800 96
NORRELL CORP. 4,800 96
- - PEC ISRAEL ECONOMIC CORP. 4,000 96
PITTWAY CORP. CLASS A 1,300 96
REYNOLDS & REYNOLDS CLASS A 5,300 96
SUPERIOR UNIFORM GROUP, INC. 5,900 96
WESTERN INVESTMENT REAL ESTATE
TRUST REIT 7,000 96
BOB EVANS FARMS, INC. 4,500 95
- - BURR-BROWN CORP. 4,500 95
ADOLPH COORS CO. CLASS B 2,800 95
ENHANCE FINANCIAL SERVICES
GROUP, INC. 2,800 95
- - HARTMARX CORP. 12,600 95
- - IHOP CORP. 2,300 95
IMPERIAL CREDIT COMMERCIAL
MORTGAGE INVESTMENT CORP. REIT 7,300 95
- - JOURNAL REGISTER CO. 5,700 95
JUNO LIGHTING, INC. 4,000 95
NEVADA POWER CO. 3,700 95
- - REEBOK INTERNATIONAL LTD. 3,413 95
- - SAPIENT CORP. 1,800 95
- - AVANT! CORP. 3,800 94
- - BET HOLDINGS INC. CLASS A 1,500 94
- - BUFFETS INC. 6,000 94
- - ECHOSTAR COMMUNICATIONS CORP. 3,900 94
THE MACERICH CO. REIT 3,200 94
- - OAKLEY, INC. 7,000 94
- - SECURITY DYNAMICS
TECHNOLOGIES, INC. 5,100 94
- - STAFF LEASING,INC. 3,200 94
THOR INDUSTRIES, INC. 3,400 94
AVX CORP. 5,800 93
- - BE AVIONICS INC. 3,200 93
- - BIG FLOWER HOLDINGS, INC. 3,100 93
CTS CORP. 3,168 93
LTC PROPERTIES, INC. 5,000 93
MAF BANCORP, INC. 2,550 93
MCGRATH RENTCORP 4,400 93
- - NOVA CORP. (GEORGIA) 2,600 93
- - SPELLING ENTERTAINMENT 9,900 93
- - DBT ONLINE INC. 3,400 92
ETHAN ALLEN INTERIORS, INC. 1,840 92
- - THE GOOD GUYS, INC. 6,800 92
- - IXC COMMUNICATIONS, INC. 1,900 92
- - LAIDLAW ENVIRONMENTAL
SERVICES, INC. 25,400 92
LEGG MASON INC. 1,600 92
MARK IV INDUSTRIES, INC. 4,242 92
PITTSTON BRINK'S GROUP 2,500 92
- - UNITED RENTALS, INC. 2,200 92
- - VANSTAR CORP. 6,300 92
- - CHROMCRAFT REVINGTON, INC. 5,000 91
CHURCHILL DOWNS, INC. 2,200 91
- - COLLINS & AIKMAN CORP. 12,200 91
FIRST HAWAIIAN, INC. 2,500 91
- - HARKEN ENERGY CORP. 18,900 91
HAWAIIAN ELECTRIC INDUSTRIES INC. 2,300 91
LILLY INDUSTRIES INC. CLASS A 4,200 91
LONG ISLAND BANCORP, INC. 1,500 91
- - RUTHERFORD-MORAN OIL CORP. 4,500 91
- - STAGE STORES, INC. 2,000 91
- - SYLVAN LEARNING SYSTEMS, INC. 2,775 91
- - TRANSTEXAS GAS CORP. 10,300 91
- - ADAC LABORATORIES 4,000 90
</TABLE>
21
<PAGE> 24
<TABLE>
<CAPTION>
- ------------------------------------------------------------------
MARKET
VALUE*
BALANCED INDEX FUND SHARES (000)
- ------------------------------------------------------------------
<S> <C> <C>
- - AIRTRAN HOLDINGS, INC. 12,000 $ 90
- - ATWOOD OCEANICS, INC. 2,266 90
BRANDYWINE REALTY TRUST REIT 4,000 90
- - CHICO'S FAS, INC. 5,800 90
CROSS TIMBERS OIL CO. 4,725 90
- - FOREST OIL CORP. 6,300 90
ARTHUR J. GALLAGHER & CO. 2,000 90
- - HELLER FINANCIAL, INC. 3,000 90
- - ITT EDUCATIONAL SERVICES, INC. 2,800 90
- - MEDICIS PHARMACEUTICAL CORP. 2,475 90
MINE SAFETY APPLIANCES CO. 1,200 90
- - ORBITAL SCIENCES CORP. 2,400 90
- - ALLIANT TECHSYSTEMS, INC. 1,400 89
ALLIED GROUP, INC. 1,900 89
ARGONAUT GROUP, INC. 2,800 89
- - CSG SYSTEMS INTERNATIONAL, INC. 1,900 89
COMMERCE GROUP, INC. 2,300 89
DEXTER CORP. 2,800 89
- - EEX CORP. 9,446 89
- - HOST MARRIOTT SERVICES CORP. 6,120 89
INVESTORS FINANCIAL SERVICES CORP.
CLASS A 1,679 89
- - LINENS 'N THINGS, INC. 2,900 89
MDU RESOURCES GROUP, INC. 2,500 89
MAINSTREET FINANCIAL CORP. 3,000 89
- - NCO GROUP, INC. 4,050 89
OGDEN CORP. 3,200 89
POST PROPERTIES, INC. REIT 2,300 89
REINSURANCE GROUP OF
AMERICA, INC. 1,500 89
RUBY TUESDAY, INC. 5,750 89
THE TORO CO. 2,600 89
THE TRUST CO. OF NEW JERSEY 3,300 89
WESTCORP, INC. 6,500 89
- - ZALE CORP. 2,800 89
- - ABACUS DIRECT CORP. 1,700 88
ASSOCIATED ESTATES REALTY
CORP. REIT 4,700 88
- - ATLAS AIR, INC. 2,600 88
E.W. BLANCH HOLDINGS, INC. 2,400 88
- - CHAMPION ENTERPRISES, INC. 3,000 88
- - CONCENTRA MANAGED CARE 3,400 88
- - FABRI-CENTERS OF AMERICA, INC. 3,200 88
- - GTECH HOLDINGS CORP. 2,600 88
HARNISCHFEGER INDUSTRIES INC. 3,100 88
- - HOLLYWOOD PARK, INC. 7,000 88
HOME PROPERTIES OF NEW YORK,
INC. REIT 3,300 88
HUSSMAN INTERNATIONAL, INC. 4,750 88
LIBERTY FINANCIAL COS., INC. 2,550 88
MODINE MANUFACTURING CO. 2,538 88
- - SCM MICROSYSTEMS,INC. 1,400 88
SODEXHO MARRIOTT SERVICES, INC. 3,050 88
SOUTHWEST GAS CORP. 3,600 88
WEIS MARKETS, INC. 2,400 88
- - BANKUNITED FINANCIAL CORP. 5,300 87
DREYER'S GRAND ICE CREAM, INC. 4,300 87
- - FILENET CORP. 3,000 87
FIRST PALM BEACH BANCORP 2,000 87
HOLLINGER INTERNATIONAL, INC. 5,100 87
KOGER EQUITY, INC. REIT 4,300 87
MENTOR CORP. 3,604 87
- - NORTH AMERICAN VACCINE, INC. 5,639 87
- - THE PETERSEN COS., INC. 3,400 87
- - PHARMACEUTICAL MARKETS 6,100 87
- - PILGRIM AMERICA CAP CORP. 3,600 87
- - STATION CASINOS, INC. 5,900 87
- - U.S. HOME CORP. 2,100 87
BANK UNITED CORP. CLASS A 1,800 86
- - BIOMATRIX, INC. 2,100 86
BLAIR CORP. 2,700 86
- - CALIFORNIA CULINARY ACADEMY INC. 11,100 86
CARLISLE CO., INC. 2,000 86
- - CORN PRODUCTS INTERNATIONAL, INC. 2,550 86
- - IMPERIAL BANCORP 2,850 86
- - INTEGRATED SYSTEMS, INC. 5,600 86
- - KNOLL, INC. 2,900 86
LEE ENTERPRISES, INC. 2,800 86
- - LITTELFUSE, INC. 3,400 86
NATIONAL PRESTO INDUSTRIES, INC. 2,200 86
NEW PLAN REALTY TRUST REIT 3,500 86
PINNACLE BANCORP GROUP INC. 2,600 86
- - SINCLAIR BROADCAST GROUP, INC. 3,000 86
- - UNITED INTERNATIONAL HOLDINGS, INC.
CLASS A 5,400 86
WESTFIELD AMERICA, INC. REIT 4,700 86
- - WIND RIVER SYSTEMS 2,400 86
- - ACNIELSON CORP. 3,366 85
- - COLTEC INC. 4,300 85
- - CORT BUSINESS SERVICES CORP. 2,700 85
CROWN CRAFTS, INC. 5,500 85
- - DATA GENERAL CORP. 5,700 85
FOAMEX INTERNATIONAL, INC. 4,900 85
HARTFORD LIFE, INC. 1,500 85
- - INFORMIX CORP. 10,800 85
SOVRAN SELF STORAGE, INC. REIT 3,000 85
- - VERITAS DGC INC. 1,700 85
- - VISHAY INTERTECHNOLOGY, INC. 4,746 85
WPS RESOURCES CORP. 2,579 85
- - ZIFF-DAVIS INC. 6,100 85
CHELSEA GCA REALTY, INC. REIT 2,100 84
- - DELPHI FINANCIAL GROUP, INC. 1,500 84
EG&G, INC. 2,800 84
- - ECHELON INTERNATIONAL CORP., INC. 3,180 84
EXIDE CORP. 5,000 84
- - MACROMEDIA 4,500 84
- - MEMBERWORKS, INC. 2,600 84
- - MILLER INDUSTRIES, INC. 10,900 84
OMEGA HEALTHCARE INVESTORS,
INC. REIT 2,400 84
- - ON ASSIGNMENT, INC. 2,400 84
- - PAIRGAIN TECHNOLOGIES, INC. 4,800 84
UNISOURCE WORLDWIDE, INC. 7,750 84
VALLEY NATIONAL BANCORP 2,906 84
- - BA MERCHANT SERVICES, INC.
CLASS A 4,100 83
- - CONTIFINANCIAL CORP. 3,600 83
FOREST CITY ENTERPRISE CLASS A 1,400 83
H.B. FULLER CO. 1,500 83
HEALTH CARE PROPERTIES INVESTORS 2,300 83
HUNT CORP. 3,500 83
</TABLE>
22
<PAGE> 25
<TABLE>
<CAPTION>
- ------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ------------------------------------------------------------------
<S> <C> <C>
- - ISS GROUP, INC. 2,200 $ 83
INTER-TEL, INC. 5,200 83
JOHN NUVEEN CO. CLASS A 2,100 83
- - NOVACARE, INC. 7,100 83
- - PAGING NETWORK, INC. 5,900 83
PARKWAY PROPERTIES INC. REIT 2,800 83
- - RWD TECHNOLOGIES, INC. 3,500 83
RAYONIER INC. 1,800 83
- - UNIROYAL TECHNOLOGY CORP. 9,000 83
- - UNITRODE CORP. 7,178 83
- - VARCO INTERNATIONAL, INC. 4,200 83
WICOR, INC. 3,600 83
ALEXANDER & BALDWIN, INC. 2,800 82
CENTRAL MAINE POWER CO. 4,200 82
CLARCOR INC. 3,900 82
- - COMMONWEALTH TELEPHONE
ENTERPRISES, INC. 3,100 82
- - DATA BROADCASTING CORP. 12,814 82
FELCOR SUITE HOTELS, INC. REIT 2,600 82
- - HEARTLAND EXPRESS, INC. 4,058 82
IBS FINANCIAL CORP. 4,300 82
MEDUSA CORP. 1,300 82
- - RAINBOW TECHNOLOGIES, INC. 4,000 82
- - RYAN'S FAMILY STEAK HOUSES, INC. 8,000 82
- - SPS TRANSACTION SERVICES 2,600 82
SIG CORP. 2,550 82
- - STONE ENERGY CORP. 2,300 82
AMERICAN GENERAL HOSPITALITY
CORP. REIT 3,800 81
AMERON INTERNATIONAL CORP. 1,400 81
APTARGROUP INC. 1,300 81
COACHMEN INDUSTRIES, INC. 3,104 81
- - DAISYTEK INTERNATIONAL CORP. 3,200 81
DIAGNOSTIC PRODUCTS CORP. 2,800 81
FLEMING COS., INC. 4,600 81
- - GAYLORD CONTAINER CORP. 10,600 81
HCC INSURANCE HOLDINGS, INC. 3,700 81
- - KENT ELECTRONICS CORP. 4,400 81
- - PARK-OHIO HOLDINGS CORPORATIONS 4,400 81
PEOPLES ENERGY CORP. 2,100 81
- - PHARMACEUTICAL PRODUCT
DEVELOPMENT, INC. 3,700 81
PLENUM PUBLISHING CORP. 1,100 81
- - SDL, INC. 3,400 81
- - SECURITY FIRST NETWORK BANK 5,447 81
- - SHOREWOOD PACKAGING CORP. 5,100 81
TIG HOLDINGS, INC. 3,500 81
- - VANGUARD CELLULAR SYSTEMS, INC.
CLASS A 4,300 81
- - ACXIOM CORP. 3,200 80
- - BERTUCCI'S HOLDING CORP. 7,839 80
BETZDEARBORN INC. 1,900 80
- - BURLINGTON INDUSTRIES, INC. 5,703 80
CINCINNATI MILACRON, INC. 3,300 80
- - COLUMBIA SPORTSWEAR CO. 4,200 80
- - CURATIVE HEALTH SERVICES INC. 2,800 80
- - ESSEF CORP. 3,872 80
EARTHGRAINS CO. 1,424 80
- - ELECTRONICS FOR IMAGING, INC. 3,800 80
FRANCHISE FINANCE CORP. OF
AMERICA REIT 3,100 80
- - LADD FURNITURE INC. 2,666 80
LITCHFIELD FINANCIAL CORP. 3,831 80
NORDSON CORP. 1,700 80
- - TRIQUINT SEMICONDUCTOR, INC. 4,200 80
WEBSTER FINANCIAL CORP. 2,400 80
- - ACCESS HEALTH MARKETING, INC. 3,100 79
CFW COMMUNICATIONS CO. 3,400 79
CAREY DIVERSIFIED LLC 4,000 79
- - COVANCE, INC. 3,525 79
- - GARDEN FRESH RESTAURANT CORP. 4,400 79
HARVEYS CASINO RESORTS 2,900 79
HEILIG-MEYERS CO. 6,400 79
OLD NATIONAL BANCORP 1,654 79
- - PHYCOR, INC. 4,750 79
TELEFLEX INC. 2,074 79
- - UCAR INTERNATIONAL, INC. 2,700 79
WEEKS CORP. REIT 2,500 79
ALBANK FINANCIAL CORP. 1,100 78
ANCHOR BANCORP WISCONSIN INC. 2,000 78
CABOT OIL & GAS CORP. CLASS A 3,900 78
- - COACH USA, INC. 1,700 78
- - COMPUTER HORIZONS CORP. 2,100 78
- - CORPORATEFAMILY SOLUTIONS, INC. 3,100 78
CURTISS-WRIGHT CORP. 2,000 78
- - GRAND CASINOS, INC. 4,650 78
- - HYPERION TELECOMMUNICATIONS,
INC. CLASS A 5,000 78
- - INTERNATIONAL NETWORK SERVICES 1,900 78
LONGVIEW FIBRE CO. 5,500 78
- - MICHAELS STORES, INC. 2,200 78
- - MICROCHIP TECHNOLOGY, INC. 3,000 78
- - NETWORK APPLIANCE, INC. 2,000 78
OTTER TAIL POWER CO. 2,098 78
- - PSINET, INC. 6,000 78
RFS HOTEL INVESTORS, INC. REIT 4,100 78
RECKSON ASSOCIATES REALTY
CORP. REIT 3,300 78
RUDDICK CORP. 4,300 78
- - SENSORMATIC ELECTRONICS CORP. 5,600 78
A.O. SMITH CORP. 1,500 78
SOUTHWEST BANCSHARES, INC. 2,776 78
THE STANDARD REGISTER CO. 2,200 78
- - THERMOQUEST CORP. 5,200 78
- - UNITED STATIONERS, INC. 1,200 78
VARIAN ASSOCIATES, INC. 2,000 78
- - WALL DATA INC. 4,904 78
AFFILIATED COMMUNITY BANCORP 2,125 77
AMERICAN ANNUITY GROUP INC. 3,200 77
- - CAL DIVE INTERNATIONAL, INC. 2,800 77
CHITTENDEN CORP. 2,200 77
- - CORRECTIONAL SERVICES CORP. 5,100 77
- - GETCHELL GOLD CORP. 5,100 77
- - HANDLEMAN CO. 6,700 77
HAVEN BANCORP, INC. 3,000 77
- - INTERSOLV 4,800 77
- - ISIS PHARMACEUTICALS, INC. 5,600 77
JOHN ALDEN FINANCIAL CORP. 3,500 77
- - MEDCATH INC. 4,200 77
- - NORTEK, INC. 2,500 77
- - NUEVO ENERGY CO. 2,400 77
RELIANCE BANCORP, INC. 2,000 77
</TABLE>
23
<PAGE> 26
<TABLE>
<CAPTION>
- ------------------------------------------------------------------
MARKET
VALUE*
BALANCED INDEX FUND SHARES (000)
- ------------------------------------------------------------------
<S> <C> <C>
- - UNICAPITAL CORP. 4,000 $ 77
- - WHX CORP. 6,000 77
AGL RESOURCES INC. 3,800 76
- - ACUSON CORP. 4,200 76
- - ALASKA AIR GROUP, INC. 1,400 76
ALUMAX, INC. 1,631 76
- - AXENT TECHNOLOGIES, INC. 2,480 76
- - AZTAR CORP. 11,100 76
- - BOK FINANCIAL CORP. 1,600 76
- - DOLLAR THRIFTY AUTOMOTIVE
GROUP, INC. 5,700 76
DONALDSON CO., INC. 3,200 76
GREAT ATLANTIC & PACIFIC
TEA CO., INC. 2,300 76
IDAHO POWER CO. 2,200 76
JSB FINANCIAL 1,300 76
NEWPORT NEWS SHIPBUILDING INC. 2,840 76
- - PHILADELPHIA CONSOLIDATED
HOLDING CORP. 3,600 76
POTLATCH CORP. 1,800 76
- - TRIMBLE NAVIGATION LTD. 4,700 76
- - WALTER INDUSTRIES, INC. 4,000 76
C.H. ROBINSON WORLDWIDE, INC. 3,000 75
FOSTER WHEELER CORP. 3,500 75
JOHN H. HARLAND CO. 4,400 75
LONGS DRUG STORES, INC. 2,600 75
- - NCI BUILDING SYSTEMS, INC. 1,300 75
- - NFO WORLDWIDE, INC. 4,195 75
- - NATIONAL INSTRUMENTS CORP. 2,100 75
- - PRI AUTOMATION, INC. 4,400 75
- - SAFEGUARD SCIENTIFICS, INC. 1,806 75
STORAGE TRUST REALTY REIT 3,200 75
- - UNITED VIDEO SATELLITE GROUP, INC. 1,900 75
- - UNIVISION COMMUNICATIONS INC. 2,000 75
- - UNOVA, INC. 3,500 75
- - WEIRTON STEEL 20,600 75
- - ADVANCE PARADIGM, INC. 2,000 74
- - ADVANCED LIGHTING
TECHNOLOGIES, INC. 3,200 74
- - BANCTEC, INC. 3,200 74
- - CHICAGO TITLE CORP. 1,602 74
CROWN AMERICAN REALTY TRUST REIT 7,600 74
CYPRUS AMAX MINERALS CO. 5,550 74
- - FEDERATED INVESTORS, INC. 4,000 74
- - GADZOOKS, INC. 2,700 74
HEALTHCARE REALTY TRUST INC. 2,700 74
MITCHELL ENERGY & DEVELOPMENT
CORP. CLASS A 3,700 74
THE PEP BOYS
(MANNY, MOE & JACK) 3,900 74
PITT DES MOINES, INC. 2,800 74
PRIME RETAIL, INC. REIT 6,200 74
ROLLINS, INC. 3,600 74
ROSLYN BANCORP, INC. 3,300 74
SCHWEITZER-MAUDUIT
INTERNATIONAL, INC. 2,550 74
- - SCIENTIFIC GAMES HOLDINGS CORP. 3,200 74
SOTHEBY'S HOLDINGS CLASS A 3,300 74
- - TEL-SAVE HOLDINGS, INC. 5,000 74
- - UICI 2,700 74
UST CORP. 2,800 74
- - ESC MEDICAL SYSTEMS LTD. 2,200 74
- - AAVID THERMAL TECHNOLOGIES 2,500 73
- - AMRESCO, INC. 2,500 73
CALGON CARBON CORP. 7,300 73
ESSEX PROPERTY TRUST, INC. REIT 2,366 73
FLAGSTAR BANCORP, INC. 3,000 73
GEON CO. 3,200 73
INTERFACE, INC. 3,600 73
KANSAS CITY LIFE INSURANCE CO. 800 73
- - MICROS SYSTEMS, INC. 2,200 73
- - OMNIPOINT CORP. 3,200 73
OSHKOSH TRUCK CORP. 2,900 73
- - PHARMERICA, INC. 6,013 73
STANDARD MOTOR PRODUCTS, INC. 3,300 73
SUSQUEHANNA BANCSHARES, INC. 1,950 73
- - TOWER AUTOMOTIVE, INC. 1,700 73
- - AMERISOURCE HEALTH CORP. 1,100 72
- - ANNTAYLOR STORES CORP. 3,400 72
BALL CORP. 1,800 72
W.R. BERKLEY CORP. 1,800 72
CHEMED CORP. 2,100 72
- - HAEMONETICS CORP. 4,500 72
INDIANA ENERGY, INC. 2,400 72
MID-AMERICA REALTY INVESTMENTS 7,200 72
- - OXFORD HEALTH PLAN 4,700 72
- - POWERTEL INC. 3,900 72
- - SUNRISE MEDICAL, INC. 4,800 72
VALHI, INC. 6,900 72
ZEIGLER COAL HOLDING CO. 4,200 72
ALBERTO-CULVER CO. CLASS A 2,800 71
- - BRINKER INTERNATIONAL, INC. 3,700 71
CB BANCSHARES INC./HAWAII 1,800 71
- - CHRISTIANA COS., INC. 2,300 71
DEVELOPERS DIVERSIFIED REALTY
CORP. REIT 1,800 71
ENESCO GROUP, INC. 2,300 71
FIRST UNION REAL ESTATE REIT 7,700 71
HMN FINANCIAL, INC. 4,500 71
J.B. HUNT TRANSPORT SERVICES, INC. 2,000 71
MADISON GAS & ELECTRIC CO. 3,100 71
MILLIPORE CORP. 2,600 71
NATIONWIDE FINANCIAL SERVICES, INC. 1,400 71
NEW JERSEY RESOURCES CORP. 2,000 71
- - OFFSHORE LOGISTICS, INC. 4,000 71
- - PAPA JOHN'S INTERNATIONAL, INC. 1,800 71
PIONEER GROUP, INC. 2,700 71
- - PLAYBOY ENTERPRISES INC. CLASS B 4,000 71
TOWN & COUNTRY TRUST REIT 4,300 71
- - ACE CASH EXPRESS, INC. 4,050 70
ALBEMARLE CORP. 3,150 70
- - ARCADIA FINANCIAL LTD. 9,200 70
- - DAL-TILE INTERNATIONAL INC. 7,100 70
- - ESTERLINE TECHNOLOGIES CORP. 3,400 70
EXPEDITORS INTERNATIONAL OF
WASHINGTON, INC. 1,600 70
FIRST CITIZENS BANCSHARES CLASS A 700 70
FLORIDA EAST COAST RAILWAY CO. 2,400 70
- - FORCENERGY INC. 3,956 70
- - GENESIS DIRECT, INC. 6,300 70
- - HMT TECHNOLOGY CORP. 8,300 70
</TABLE>
24
<PAGE> 27
<TABLE>
<CAPTION>
- ------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ------------------------------------------------------------------
<S> <C> <C>
- - HEARTLAND TECHNOLOGY, INC 5,500 $ 70
K2 INC. 3,964 70
- - LAM RESEARCH CORP. 3,660 70
MIDAS INC. 3,483 70
NATIONAL DATA CORP. 1,600 70
OM GROUP, INC. 1,700 70
- - RCN CORP. 3,600 70
- - RENAISSANCE WORLDWIDE, INC. 3,200 70
STORAGE USA, INC. REIT 2,000 70
WASHINGTON GAS LIGHT CORP. 2,600 70
WESTERN BANCORP 1,662 70
- - WORLD COLOR PRESS, INC. 2,000 70
BRE PROPERTIES INC. CLASS A REIT 2,656 69
CPI CORP. 2,900 69
- - DURA PHARMACEUTICALS, INC. 3,100 69
FRONTIER INSURANCE GROUP, INC. 3,080 69
- - JACKPOT ENTERPRISES, INC. 5,500 69
NORTHWEST NATURAL GAS CO. 2,450 69
- - OCEANEERING INTERNATIONAL, INC. 3,910 69
- - PERRIGO CO. 6,900 69
PIONEER STANDARD ELECTRONICS INC. 7,200 69
PRECISION CASTPARTS CORP. 1,300 69
- - ROGERS CORP. 2,100 69
TEXAS REGIONAL BANCSHARES, INC. 2,100 69
WALLACE COMPUTER SERVICES, INC. 2,900 69
BANK OF THE OZARKS, INC. 2,200 68
- - BEN & JERRY'S HOMEMADE, INC.
CLASS A 3,500 68
- - BOISE CASCADE OFFICE
PRODUCTS CORP. 4,400 68
CLECO CORP. 2,300 68
- - CARMIKE CINEMAS, INC. CLASS A 2,511 68
- - CHIREX, INC. 3,900 68
FLUSHING FINANCIAL CORP. 2,400 68
FRANKLIN ELECTRIC, INC. 1,000 68
HANCOCK FABRICS, INC. 5,400 68
HOME BANCORP 2,300 68
- - HOMESTEAD VILLAGE, INC. 5,734 68
- - IMMUNE RESPONSE 4,500 68
- - INPUT/OUTPUT, INC. 3,800 68
- - MEMC ELECTRONIC MATERIALS, INC. 6,600 68
- - MARSHALL INDUSTRIES 2,500 68
- - NEXSTAR PHARMACEUTICALS INC. 6,812 68
ONEOK, INC. 1,700 68
PENNCORP FINANCIAL GROUP INC. 3,300 68
- - RARE HOSPITALITY INTERNATIONAL INC. 4,600 68
UNITED BANKSHARES, INC. 2,000 68
- - AFFYMETRIX, INC. 2,800 67
- - AMERICAN TOWER CORP. CLASS A 2,700 67
AMERUS LIFE HOLDINGS, INC. 2,084 67
ANGELICA CORP. 3,200 67
- - ANIXTER INTERNATIONAL INC. 3,500 67
- - BARRETT RESOURCES CORP. 1,800 67
BORG-WARNER AUTOMOTIVE, INC. 1,400 67
- - DAVE & BUSTERS 2,677 67
- - DETROIT DIESEL CORP. 3,100 67
- - EXCEL SWITCHING CORP. 2,700 67
F & M BANCORP 1,504 67
FIRST FINANCIAL HOLDINGS, INC. 2,800 67
GENERAL BINDING CORP. 1,828 67
HELMERICH & PAYNE, INC. 3,000 67
- - HIGHLANDS INSURANCE GROUP 3,630 67
- - INTEGRATED DEVICE TECHNOLOGY INC. 9,400 67
- - KANEB SERVICES, INC. 12,384 67
- - NAUTICA ENTERPRISES INC. 2,500 67
- - NEUROGEN CORP. 3,780 67
- - RALCORP HOLDINGS, INC. 3,533 67
- - REVLON, INC. CLASS A 1,300 67
- - THERMEDICS DETECTION INC. 6,930 67
- - TRACTOR SUPPLY CO. 2,700 67
UNIVERSAL CORP. 1,800 67
UNIVERSAL FOODS CORP. 3,000 67
- - AIRGAS, INC. 4,600 66
- - AMERICAN MANAGEMENT
SYSTEMS, INC. 2,200 66
- - ARBOR SOFTWARE CORP. 2,100 66
- - BARRA, INC. 2,700 66
CHESAPEAKE CORP. OF VIRGINIA 1,700 66
- - CONE MILLS CORP. 7,600 66
- - CYBEX COMPUTER PRODUCTS CORP. 2,850 66
- - DSP COMMUNICATIONS, INC. 4,800 66
- - ESSEX INTERNATIONAL, INC. 2,800 66
FEDERAL SIGNAL CORP. 2,733 66
FIRST SOURCE BANCORP, INC. 6,800 66
- - HS RESOURCES INC. 4,500 66
- - HALTER MARINE GROUP, INC. 4,369 66
INDUSTRIAL SCIENTIFIC CORP. 2,700 66
- - LANDSTAR SYSTEM 1,900 66
- - MID ATLANTIC MEDICAL SERVICES, INC. 5,700 66
- - PHOTRONICS LABS INC. 3,000 66
PITTSTON BAX GROUP 4,250 66
ST. JOHN KNITS, INC. 1,700 66
- - SPEEDWAY MOTORSPORTS, INC. 2,600 66
- - SUNGLASS HUT INTERNATIONAL, INC. 6,000 66
- - TRIARC COS., INC. CLASS A 3,000 66
- - VENTAS, INC. 4,800 66
- - VIASOFT, INC. 4,100 66
WABASH NATIONAL CORP. 2,550 66
- - AMPAL-AMERICAN ISRAEL CORP. 12,000 65
- - ARTRA GROUP INC. 16,500 65
- - BASIN EXPLORATION INC. 3,700 65
- - CDW COMPUTER CENTERS, INC. 1,300 65
CADMUS COMMUNICATIONS 2,700 65
CARPENTER TECHNOLOGY CORP. 1,300 65
- - DSP GROUP INC. 3,300 65
DANIEL INDUSTRIES, INC. 3,400 65
FAIR ISSAC & CO. 1,700 65
- - HEALTHDYNE INFORMATION
ENTERPRISES, INC. 18,600 65
INTERPOOL, INC. 4,500 65
MTS SYSTEMS CORP. 4,020 65
- - PFF BANCORP, INC. 3,500 65
- - PARKERVISION, INC. 3,400 65
SIERRA PACIFIC RESOURCES 1,800 65
UMB FINANCIAL CORP. 1,323 65
- - AMERICAN MEDIA CLASS A 9,700 64
ATMOS ENERGY CORP. 2,100 64
CTG RESOURCES INC. 2,720 64
GAYLORD ENTERTAINMENT CO. CLASS A 1,983 64
HARMON INDUSTRIES, INC. 2,700 64
- - INFORMATION MANAGEMENT
RESOURCES, INC. 1,900 64
</TABLE>
25
<PAGE> 28
<TABLE>
<CAPTION>
- ------------------------------------------------------------------
MARKET
VALUE*
BALANCED INDEX FUND SHARES (000)
- ------------------------------------------------------------------
<S> <C> <C>
- - IVAX CORP. 6,900 $ 64
JDN REALTY CORP. REIT 2,000 64
- - MEDAPHIS CORP. 10,700 64
NCH CORP. 1,000 64
THOMAS NELSON, INC. 4,750 64
POLARIS INDUSTRIES, INC. 1,700 64
- - SPX CORP. 1,000 64
- - SYMS CORP. 4,500 64
TREMONT CORP. 1,142 64
TRENWICK GROUP INC. 1,650 64
UNITED COS. FINANCE CORP. 4,100 64
WORTHINGTON FOODS 3,066 64
BALLARD MEDICAL PRODUCTS 3,500 63
EASTERN UTILITIES ASSOCIATES 2,400 63
- - ICOS CORP. 3,300 63
INTERCARGO CORP. 5,400 63
- - INTERGRAPH CORP. 7,300 63
- - KAISER ALUMINUM & CHEMICAL CORP. 6,600 63
- - LYDALL, INC. 4,300 63
MORRISON HEALTH CARE INC. 3,316 63
- - PHYSIO-CONTROL INTERNATIONAL CORP. 2,400 63
- - PRIME HOSPITALITY CORP. 3,600 63
- - SEAGULL ENERGY CORP. 3,804 63
- - STRATTEC STRATEGY CORP. 2,100 63
- - SYNETIC, INC. 1,100 63
TANGER FACTORY OUTLET CENTERS,
INC. REIT 1,989 63
- - UNITED STATES CAN CO. 4,291 63
- - WALKER INTERACTIVE SYSTEMS, INC. 4,300 63
WEINGARTEN REALTY INVESTORS REIT 1,500 63
- - WHITE RIVER 700 63
- - APPLIED GRAPHICS
TECHNOLOGIES, INC. 1,360 62
- - APPLIED MICRO CIRCUITS CORP. 2,400 62
AQUARION CO. 1,800 62
BRYN MAWR BANK CORP. 1,200 62
A.M. CASTLE & CO. 2,800 62
- - CLOSURE MEDICAL CORP. 2,500 62
DALLAS SEMICONDUCTOR CORP. 2,000 62
- - EMMIS BROADCASTING CORP. CLASS A 1,300 62
- - EZCORP, INC. 5,700 62
P.H. GLATFELTER CO. 3,900 62
- - HAMBRECHT & QUIST GROUP 1,700 62
HARLEYSVILLE NATIONAL CORP. 1,470 62
INVACARE CORP. 2,400 62
- - LEVEL 8 SYSTEMS INC. 6,900 62
MASCOTECH INC. 2,600 62
- - MENTOR GRAPHICS CORP. 5,900 62
- - OLD DOMINION FREIGHT LINE, INC. 4,000 62
SBARRO, INC. 2,300 62
SUNBEAM CORP. 6,000 62
UNITED NATIONAL BANCORP 2,120 62
WISER OIL CO. 5,600 62
- - AMERICAN BUSINESS INFORMATION,
INC. CLASS B 3,784 61
BELDEN, INC. 2,000 61
- - CONCORD COMMUNICATIONS, INC. 2,400 61
DT INDUSTRIES, INC. 2,500 61
- - IMPATH, INC. 2,500 61
JLG INDUSTRIES, INC. 3,000 61
LTV CORP. 6,400 61
- - LAMAR ADVERTISING CO. 1,700 61
- - LANCER CORP. 3,802 61
MINERALS TECHNOLOGIES, INC. 1,200 61
- - NBTY, INC. 3,300 61
OCEAN FINANCIAL CORP. 3,200 61
OMEGA FINANCIAL CORP. 1,700 61
PIEDMONT NATURAL GAS, INC. 1,800 61
- - SAGA COMMUNICATIONS, INC. 4,335 61
- - SOUTHLAND CORP. 22,300 61
- - SPIEGEL, INC. CLASS A 8,500 61
- - TUBOSCOPE INC. 3,100 61
- - U.S. SATELLITE BROADCASTING CO.,
INC. CLASS A 5,200 61
- - VIACOM INC. CLASS A 1,040 61
- - WESTERN DIGITAL CORP. 5,200 61
XTRA CORP. 1,000 61
- - ALYDAAR SOFTWARE CORP. 4,700 60
- - CFI PROSERVICES, INC. 3,531 60
CPB, INC. 3,200 60
- - CREDIT ACCEPTANCE CORP. 7,100 60
- - CROWN VANTAGE, INC. 5,680 60
FEDDERS CORP. 9,000 60
FIRST INDUSTRIAL REALTY TRUST REIT 1,900 60
- - LOGAN'S ROADHOUSE, INC. 2,900 60
- - MICRON ELECTRONICS, INC. 5,000 60
NATIONAL COMPUTER SYSTEMS, INC. 2,500 60
PXRE CORP. 2,000 60
- - PACIFIC GATEWAY EXCHANGE, INC. 1,500 60
- - PACIFICARE HEALTH SYSTEMS INC.
CLASS A 712 60
- - PEDIATRIX MEDICAL GROUP, INC. 1,600 60
- - READ RITE CORP. 6,600 60
- - RETIREMENT CARE ASSOCIATES, INC. 8,268 60
THORNBURG MORTGAGE ASSET CORP. 4,900 60
APPLE SOUTH, INC. 4,500 59
BINDLY WESTERN INDUSTRIES, INC. 1,800 59
- - CDI CORP. 2,200 59
CITIZENS CORP. 1,900 59
- - DELTEK SYSTEMS, INC. 2,400 59
FUND AMERICAN ENTERPRISE
HOLDING CO. 400 59
- - E. GOTTSCHALK & CO., INC. 6,700 59
- - MORTONS RESTAURANT GROUP 2,456 59
- - NASHUA CORP. 3,786 59
- - PANAMSAT CORP. 1,043 59
- - STANDARD COMMERCIAL TOBACCO CO. 5,363 59
- - WANG LABORATORIES, INC. 2,300 59
WELLMAN, INC. 2,600 59
- - WISCONSIN CENTRAL
TRANSPORTATION CORP. 2,700 59
ZENITH NATIONAL INSURANCE CORP. 2,100 59
- - AMERICAN FREIGHTWAYS 5,796 58
- - BALLY TOTAL FITNESS HOLDING CORP. 1,600 58
CLAIRE'S STORES, INC. 2,850 58
- - DIGENE CORP. 5,900 58
- - FARM FAMILY HOLDINGS, INC. 1,500 58
KATY INDUSTRIES, INC. 3,200 58
- - KITTY HAWK, INC. 3,400 58
LAWTER INTERNATIONAL INC. 5,300 58
- - MARCAM SOLUTIONS, INC. 3,200 58
</TABLE>
26
<PAGE> 29
<TABLE>
<CAPTION>
- ------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ------------------------------------------------------------------
<S> <C> <C>
PRENTISS PROPERTIES TRUST REIT 2,400 $ 58
REALTY INCOME CORP. REIT 2,200 58
- - SANTA FE ENERGY RESOURCES, INC. 5,400 58
SECURITY CAPITAL ATLANTIC, INC. REIT 2,587 58
- - SPECTRALINK CORP. 13,200 58
- - STRATUS COMPUTER, INC. 2,300 58
TELXON CORP. 1,800 58
WESTINGHOUSE AIR BRAKE CO. 2,200 58
- - CLAYTON WILLIAMS ENERGY, INC. 5,700 58
AK STEEL CORP. 3,200 57
- - ADVANCED POLYMER SYSTEMS 8,200 57
- - BERLITZ INTERNATIONAL, INC. 2,101 57
- - BRODERBUND SOFTWARE, INC. 2,512 57
- - CAMERON ASHLEY BUILDING PRODUCTS 3,392 57
- - CELLSTAR CORP. 4,400 57
- - CONSUMER PORTFOLIO SERVICES, INC. 5,400 57
M.A. HANNA CO. 3,100 57
- - HEXCEL CORP. 2,500 57
IDEX CORP. 1,650 57
- - 99 CENTS ONLY STORES 1,375 57
- - PROXYMED PHARMACY, INC. 5,400 57
- - RIO HOTEL AND CASINO, INC. 3,000 57
SEMCO ENERGY INC. 3,221 57
- - SABRATEK CORP. 2,500 57
ST. MARY LAND & EXPLORATION CO. 2,372 57
TECUMSEH PRODUCTS CO. CLASS B 1,000 57
- - THERMO FIBERTEK, INC. 5,550 57
ADVANTA CORP. CLASS A 2,563 56
- - AVATAR HOLDING, INC. 2,000 56
BRIGGS & STRATTON CORP. 1,500 56
- - CADIZ LAND CO., INC. 4,800 56
- - GT INTERACTIVE SOFTWARE CORP. 7,500 56
GENERAL CABLE CORP. 1,950 56
HEICO CORP. 2,100 56
PRESIDENTIAL LIFE CORP. 2,600 56
- - PRIDE INTERNATIONAL INC. 3,300 56
RIGGS NATIONAL CORP. 1,900 56
- - SUN HEALTHCARE GROUP, INC. 3,800 56
- - TECH-SYM CORP. 1,998 56
- - WACKENHUT CORRECTIONS CORP. 2,400 56
- - ADTRAN, INC. 2,100 55
- - AGOURON PHARMACEUTICALS, INC. 1,800 55
ALIANT COMMUNICATIONS, INC. 2,000 55
BANDAG, INC. 1,400 55
- - BERG ELECTRONICS CORP. 2,800 55
- - DUPONT PHOTOMASKS, INC. 1,600 55
- - EXABYTE CORP. 6,600 55
- - FRITZ COS., INC. 4,100 55
- - HF BANCORP, INC. 3,100 55
- - IDEXX LABORATORIES CORP. 2,200 55
NATIONWIDE HEALTH PROPERTIES, INC. 2,300 55
- - NEWFIELD EXPLORATION CO. 2,200 55
- - OXIGENE, INC. 4,500 55
SPRINGS INDUSTRIES INC. CLASS A 1,200 55
L. S. STARRETT CO. CLASS A 1,400 55
- - WEBCO INDUSTRIES, INC. 5,800 55
WOLOHAN LUMBER CO. 4,222 55
- - CKS GROUP, INC. 3,000 54
- - COMPLETE BUSINESS SOLUTIONS, INC. 1,500 54
- - IDENTIX, INC. 8,400 54
- - INFOSEEK CORP. 1,500 54
INTERNATIONAL SHIPHOLDING CORP. 3,375 54
- - MANUGISTICS GROUP, INC. 2,200 54
MUELLER (PAUL) CO. 1,400 54
- - PLAINS RESOURCES 3,017 54
- - QAD INC. 6,000 54
REDWOOD TRUST, INC. 3,100 54
STEWART & STEVENSON
SERVICES, INC. 3,000 54
- - TRANSACTION SYSTEMS
ARCHITECTS, INC. 1,400 54
US BANCORP, INC. 700 54
- - ZOLL MEDICAL CORP. 7,000 54
- - AFTERMARKET TECHNOLOGY CORP. 2,800 53
- - ALLEN TELECOM INC. 4,600 53
- - AMERCO, INC. 1,800 53
AMETEK AEROSPACE PRODUCTS INC. 1,800 53
- - AMPEX CORP. CLASS A 25,700 53
ARNOLD INDUSTRIES, INC. 3,600 53
ARROW FINANCIAL CORP. 1,732 53
- - DAVEL COMMUNICATIONS GROUP, INC. 2,157 53
FERRO CORP. 2,100 53
- - OPEN MARKET, INC. 2,800 53
PENNSYLVANIA ENTERPRISES INC. 1,966 53
- - QLOGIC CORP. 1,473 53
- - SEVEN SEAS PETROLEUM INC. 2,600 53
- - SWIFT TRANSPORTATION CO., INC. 2,700 53
- - THERMEDICS, INC. 4,300 53
CENTURY BANCORP, INC. CLASS A 2,500 52
COLONIAL GAS CO. 1,800 52
- - COMDIAL CORP. 4,300 52
CONNECTICUT WATER SERVICES, INC. 1,500 52
- - CYPRESS SEMICONDUCTOR CORP. 6,300 52
DAMEN FINANCIAL CORP 3,200 52
EXCEL REALTY TRUST, INC. REIT 1,800 52
FIRST WESTERN BANCORP 1,750 52
- - FISHER SCIENTIFIC INTERNATIONAL INC. 3,600 52
HOLLY CORP. 2,000 52
- - HOT TOPIC, INC. 2,200 52
- - IDEC PHARMACEUTICALS CORP. 2,200 52
- - LEVEL ONE COMMUNICATIONS 2,200 52
- - PATHOGENESIS CORP. 1,800 52
PENN VIRGINIA CORP. 2,000 52
PUBLIC SERVICE CO. OF NEW MEXICO 2,300 52
QUEENS COUNTY BANCORP, INC. 1,200 52
- - RACOTEK, INC. 19,000 52
- - RAILTEX, INC. 3,894 52
- - SEQUUS PHARMACEUTICALS, INC. 4,600 52
- - SUPREME INTERNATIONAL CORP. 3,150 52
- - TBC CORP. 7,800 52
TNP ENTERPRISES, INC. 1,700 52
UGI CORP. HOLDING CO. 2,100 52
- - WESTERN WIRELESS CORP. 2,600 52
- - WYMAN-GORDON CORP. 2,600 52
AETNA INC. 6.25% CVT. PFD. SERIES C 674 51
- - AMERICAN COIN MERCHANDISING, INC. 2,600 51
BASSETT FURNITURE INDUSTRIES, INC. 1,800 51
- - BOYD GAMING CORP. 8,900 51
- - ENERGY CONVERSION DEVICES, INC. 5,300 51
- - FUISZ TECHNOLOGIES LTD. 4,600 51
- - HAUSER, INC. 8,800 51
IMPERIAL HOLLY CORP. 5,664 51
</TABLE>
27
<PAGE> 30
<TABLE>
<CAPTION>
- ------------------------------------------------------------------
MARKET
VALUE*
BALANCED INDEX FUND SHARES (000)
- ------------------------------------------------------------------
<S> <C> <C>
LA-Z-BOY INC. 900 $ 51
- - MARQUETTE MEDICAL SYSTEMS INC. 1,996 51
- - MAXXAM INC. 900 51
PENFORD CORP. 1,700 51
- - PHYSICIAN RELIANCE NETWORK, INC. 4,500 51
PIZZA INN, INC. 9,200 51
PROTECTION ONE, INC. 4,700 51
TITAN INTERNATIONAL, INC. 3,000 51
- - UNILAB CORP. 21,500 51
- - ARDENT SOFTWARE, INC. 3,602 50
- - BELL INDUSTRIES, INC. 4,400 50
- - CAPSTAR HOTEL CO. 1,800 50
CAVALIER HOMES, INC. 3,840 50
- - COGNEX CORP. 2,700 50
- - COVENTRY HEALTH CARE INC. 3,345 50
- - DIAMOND MULTIMEDIA SYSTEMS, INC. 7,300 50
FIRST COASTAL BANKSHARES, INC. 2,700 50
- - GIBSON GREETINGS, INC. 2,000 50
- - GROUP MAINTENANCE AMERICA CORP. 2,800 50
JONES PHARMA, INC. 1,500 50
- - M&F WORLDWIDE CORP. 5,000 50
MFB CORP. 2,000 50
- - NEWPARK RESOURCES, INC. 4,500 50
SHURGARD STORAGE CENTERS, INC.
CLASS A REIT 1,800 50
- - VLSI TECHNOLOGY, INC. 3,000 50
BALDOR ELECTRIC CO. 2,000 49
BREED TECHNOLOGICAL INC. 3,200 49
- - COLEMAN INC. 4,268 49
- - DARLING INTERNATIONAL, INC. 6,600 49
- - ETEC SYSTEMS, INC. 1,400 49
- - EARTHSHELL CORP. 5,000 49
- - FILENE'S BASEMENT CORP. 8,895 49
GLIMCHER REALTY TRUST REIT 2,500 49
- - INFORMATION MANAGEMENT
ASSOCIATES, INC. 5,000 49
LINCOLN ELECTRIC HOLDINGS 2,200 49
LUBY'S CAFETERIAS, INC. 2,800 49
- - MAGNUM HUNTER RESOURCES INC. 7,700 49
MEDFORD BANCORP, INC. 1,200 49
- - RAINFOREST CAFE, INC. 3,525 49
- - SEACOR SMIT INC. 800 49
- - SEQUENT COMPUTER SYSTEMS, INC. 4,100 49
- - SOFTWARE SPECTRUM, INC. 2,400 49
- - SOLA INTERNATIONAL, INC. 1,500 49
SOUTHWESTERN ENERGY CO. 5,300 49
- - STRUCTURAL DYNAMICS
RESEARCH CORP. 2,100 49
WSFS FINANCIAL CORP. 2,400 49
- - WEST TELESERVICES CORP. 4,000 49
AIRTOUCH COMMUNICATIONS, INC.
PFD. 4.25% SERIES C 581 48
DONNELLY CORP. 2,800 48
FREEPORT-MCMORAN COPPER &
GOLD, INC. CLASS A 3,348 48
- - HOMEBASE, INC. 6,100 48
- - INSURANCE AUTO AUCTIONS, INC. 3,400 48
- - IONICS, INC. 1,300 48
- - ITRON, INC. 3,800 48
LANDAUER, INC. 1,600 48
- - LEARNING TREE INTERNATIONAL, INC. 2,400 48
- - PMT SERVICES INC 1,900 48
- - SPLASH TECHNOLOGY HOLDINGS, INC. 2,800 48
- - AMKOR TECHNOLOGY, INC. 5,000 47
ARCH COAL, INC. 1,900 47
BELCO OIL & GAS CORP. 5,500 47
- - CALIFORNIA MICROWAVE, INC. 2,700 47
- - CHIC BY H.I.S., INC. 6,020 47
- - CHOICEPOINT INC. 920 47
- - CORVEL CORP. 1,200 47
- - CREE RESEARCH, INC. 3,152 47
- - THE DRESS BARN, INC. 1,900 47
- - GENERAL SEMICONDUCTOR, INC. 4,800 47
- - HOLOGIC, INC. 2,600 47
- - JUST FOR FEET, INC. 1,650 47
- - METROMEDIA INTERNATIONAL
GROUP, INC. 3,900 47
- - PHARMACOPEIA, INC. 3,300 47
- - POWERHOUSE TECHNOLOGIES, INC. 4,800 47
ST. FRANCIS CAPITAL CORP. 1,200 47
- - SANDISK CORP. 3,400 47
SCHNITZER STEEL INDUSTRIES, INC.
CLASS A 2,000 47
- - SHUFFLE MASTER, INC. 5,133 47
TALBOTS INC. 1,800 47
- - TRUMP HOTELS & CASINO
RESORTS, INC. 6,700 47
- - ADVANCED COMMUNICATION
SYSTEMS, INC. 3,700 46
ALPHARMA, INC. CLASS A 2,100 46
APOGEE ENTERPRISES, INC. 3,000 46
AREA BANCSHARES CORP. 1,357 46
BANKATLANTIC BANCORP, INC. CLASS B 3,592 46
CHIQUITA BRANDS INTERNATIONAL, INC. 3,300 46
- - COEUR D'ALENE MINES CORP. 6,800 46
EATON VANCE CORP. 1,000 46
- - EGGHEAD.COM, INC. 5,400 46
ERIE INDEMNITY CO. CLASS A 1,600 46
LNR PROPERTY CORP. 1,800 46
- - LTX CORP. 9,300 46
- - MYCOGEN CORP. 1,900 46
NEWSOUTH BANCORP, INC. 1,400 46
- - PEGASYSTEMS INC. 1,700 46
- - SAWTEK INC. 3,100 46
AMERICAN BANCORP (WEST VIRGINIA) 2,000 45
- - COHERENT, INC. 2,600 45
- - CONSOLIDATED CAPITAL CORP. 2,000 45
ENERGY WEST INC. 5,200 45
ETHYL CORP. 7,300 45
FIRSTBANK CORP. 2,000 45
- - HOLLYWOOD ENTERTAINMENT CORP. 3,300 45
JEFFERIES GROUP, INC. 1,100 45
LSI INDUSTRIES INC. 2,264 45
- - MARINE DRILLING CO., INC. 2,800 45
MID ATLANTIC REALTY TRUST REIT 3,650 45
- - ORTEL CORP. 2,900 45
- - SPACELABS MEDICAL, INC. 2,700 45
- - STAC, INC. 10,470 45
TORCH ENERGY ROYALTY TRUST 6,800 45
UNIFIRST CORP. 1,800 45
WACKENHUT CORP. 2,008 45
- - ACCLAIM ENTERTAINMENT INC. 7,400 44
</TABLE>
28
<PAGE> 31
<TABLE>
<CAPTION>
- ------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ------------------------------------------------------------------
<S> <C> <C>
AIRTOUCH COMMUNICATIONS, INC.
6.00% CVT. PFD. 905 $ 44
- - CYPROS PHARMACEUTICALS CORP. 10,950 44
- - GRAHAM-FIELD HEALTH
PRODUCTS INC. 7,800 44
- - HECLA MINING CO. 8,300 44
INGLES MARKETS, INC. 3,000 44
- - LECHTERS CORP. 9,000 44
OLSTEN CORP. 3,950 44
QUAKER CHEMICAL CORP. 2,300 44
- - SANCHEZ COMPUTER
ASSOCIATES, INC. 2,181 44
- - SMART MODULAR
TECHNOLOGIES, INC. 3,000 44
- - SMARTALK TELESERVICES, INC. 3,000 44
TERRA INDUSTRIES, INC. 4,900 44
TITANIUM METALS CORP. 2,000 44
APPLEBEE'S INTERNATIONAL, INC. 1,900 43
- - C-CUBE MICROSYSTEMS, INC. 2,300 43
- - CYBERGUARD CORP. 4,500 43
- - DAVOX CORP. 1,950 43
GERBER SCIENTIFIC, INC. 1,900 43
HARBOR FLORIDA BANCSHARES, INC. 3,600 43
- - KEYSTONE CONSOLIDATED
INDUSTRIES, INC. 3,600 43
- - MATRIA HEALTHCARE, INC. 12,400 43
NATIONAL HEALTH INVESTORS REIT 1,300 43
- - OBJECT DESIGN, INC. 7,100 43
ONEIDA LTD. 1,400 43
- - SATCON TECHNOLOGY CORP. 4,807 43
- - STEEL DYNAMICS, INC. 3,100 43
- - SYSTEMS & COMPUTER
TECHNOLOGY CORP. 1,600 43
ALAMO GROUP, INC. 2,200 42
- - BANYAN SYSTEMS, INC. 5,100 42
- - BILLING CONCEPTS CORP. 2,700 42
BLOCK DRUG CO. CLASS A 1,099 42
- - BRIGHTPOINT, INC. 2,900 42
- - CORAM HEALTHCARE CORP. 21,523 42
FARREL CORP. 10,800 42
- - GLOBAL MOTORSPORT GROUP INC. 2,000 42
HARMAN INTERNATIONAL
INDUSTRIES, INC. 1,100 42
- - INDUSTRI-MATEMATIK
INTERNATIONAL CORP. 3,800 42
- - INSITUFORM TECHNOLOGIES CLASS A 3,000 42
INNKEEPERS USA TRUST REIT 3,300 42
- - LAZARE KAPLAN INTERNATIONAL, INC. 4,000 42
MMI COS., INC. 1,800 42
- - QUICKTURN DESIGN SYSTEMS, INC. 5,800 42
ROHN INDUSTRIES INC. 9,000 42
- - VIDEOSERVER, INC. 3,400 42
VINTAGE PETROLEUM, INC. 2,200 42
WATKINS-JOHNSON CO. 1,600 42
ARROW INTERNATIONAL, INC. 1,500 41
ATLANTA SOSNOFF CAPITAL 4,200 41
- - BANGOR HYDRO-ELECTRIC CO. 4,600 41
BIRMINGHAM STEEL CORP. 3,350 41
- - EVERGREEN RESOURCES, INC. 2,200 41
G & L REALTY CORP. 2,404 41
- - GENERAL MAGIC, INC. 3,300 41
GEORGIA GULF CORP. 1,800 41
- - HNC SOFTWARE, INC. 1,000 41
- - MEDICAL GRAPHICS CORP. 14,550 41
- - QRS CORP. 1,100 41
- - REMEDY CORP. 2,400 41
- - SAXTON INC. 6,000 41
SIZZLERS PROPERTY INVESTORS, INC. 4,100 41
SPARTAN MOTORS, INC. 5,800 41
- - STEIN MART, INC. 3,000 41
- - U.S. BIOSCIENCE 5,050 41
- - ALLERGAN SPECIALTY
THERAPEUTICS, INC. 3,890 40
- - GIANT CEMENT HOLDING, INC. 1,400 40
- - GLOBAL INDUSTRIAL TECHNOLOGIES, INC. 2,800 40
- - IMATION CORP. 2,440 40
LANCE, INC. 1,800 40
- - SCIOS, INC. 4,500 40
SOUTHERN PERU COPPER CORP. 3,100 40
- - STRATUS PROPERTIES, INC. 9,500 40
- - SYNCOR INTERNATIONAL CORP. 2,300 40
- - VICORP RESTAURANTS, INC. 2,600 40
- - ALLIANCE SEMICONDUCTOR CORP. 11,100 39
- - ANDREA RADIO CORP. 2,600 39
- - CNA SURETY CORP. 2,610 39
CONNECTICUT ENERGY CORP. 1,400 39
- - FOODMAKER, INC. 2,300 39
- - FORTE SOFTWARE, INC. 6,500 39
- - FRESH AMERICA CORP. 2,100 39
- - HOPFED BANCORP, INC. 2,000 39
- - INTERDIGITAL COMMUNICATIONS CORP. 7,200 39
OVERSEAS SHIPHOLDING GROUP INC. 1,900 39
- - PLANET HOLLYWOOD INTERNATIONAL,
INC. CLASS A 5,600 39
- - QUEST DIAGNOSTICS, INC. 1,762 39
- - SCOTT TECHNOLOGIES, INC. CLASS A 2,700 39
SUPERIOR INDUSTRIES
INTERNATIONAL, INC. 1,400 39
- - TODHUNTER INTERNATIONAL, INC. 4,200 39
- - THE TOPPS CO., INC. 12,500 39
- - ABR INFORMATION SERVICES, INC. 1,600 38
- - BRC HOLDINGS INC. 2,000 38
CARTER-WALLACE, INC. 2,100 38
EDO CORP. 4,000 38
- - GENESIS HEALTH VENTURES INC. 1,500 38
- - GREY WOLF, INC. 11,800 38
NATIONAL STEEL CORP. CLASS B 3,200 38
- - NAVIGATORS GROUP, INC. 2,000 38
- - NEW MEXICO & ARIZONA LAND CO. 2,821 38
- - NU HORIZONS ELECTRONICS CORP. 6,300 38
- - OMEGA HEALTH SYSTEMS, INC. 5,700 38
- - PARKER DRILLING CO. 5,400 38
- - ROYAL APPLIANCE
MANUFACTURING CO. 6,014 38
- - SIZZLER INTERNATIONAL 13,700 38
- - STANDARD MICROSYSTEM 4,300 38
- - UNITED CAPITAL CORP. 1,700 38
COMMERCIAL METALS CO. 1,200 37
CRAWFORD & CO. CLASS B 1,950 37
- - I-STAT CORP. 3,300 37
- - LATTICE SEMICONDUCTOR CORP. 1,300 37
LILLIAN VERNON CORP. 2,200 37
</TABLE>
29
<PAGE> 32
<TABLE>
<CAPTION>
- ------------------------------------------------------------------
MARKET
VALUE*
BALANCED INDEX FUND SHARES (000)
- ------------------------------------------------------------------
<S> <C> <C>
- - MESABA HOLDINGS, INC. 1,600 $ 37
- - PETROCORP, INC. 4,822 37
- - PREMISYS COMMUNICATIONS, INC. 1,500 37
A. SCHULMAN INC. 1,900 37
- - THERMO VOLTEK 5,250 37
URSTADT BIDDLE PROPERTIES REIT 2,100 37
ZIEGLER COS., INC. 1,800 37
- - ADVANCED TISSUE SCIENCES INC. 8,100 36
ALLIANCE BANCORP INC. 1,500 36
- - BENCHMARK MICROELECTRONICS, INC. 3,200 36
CBT CORP. 1,100 36
CABOT INDUSTRIAL TRUST 1,700 36
- - CARRINGTON LABS INC. 7,400 36
- - CYGNUS INC. 3,488 36
- - ELTRON INTERNATIONAL INC. 1,300 36
- - IMPCO TECHNOLOGIES INC. 2,200 36
- - LABORATORY CORP. OF AMERICA 15,624 36
- - MEADE INSTRUMENTS CORP. 3,300 36
MISSISSIPPI CHEMICAL CORP. 2,200 36
- - SCHOLASTIC CORP. 900 36
- - SYKES ENTERPRISES, INC. 1,800 36
- - TECHNICAL CHEMICALS AND
PRODUCTS, INC. 4,200 36
- - U.S. OFFICE PRODUCTS CO. 1,861 36
- - UNIVERSAL ELECTRONICS, INC. 2,900 36
- - USWEB CORP. 1,500 36
- - WFS FINANCIAL, INC. 5,110 36
- - YORK RESEARCH CORP. 5,900 36
AMCAST INDUSTRIAL CORP. 1,904 35
- - EDISON BROTHERS STORES, INC. 6,856 35
- - FOURTH SHIFT CORP. 12,600 35
- - GELTEX PHARMACEUTICALS, INC. 1,900 35
- - GLENAYRE TECHNOLOGIES, INC. 3,300 35
- - IMMUNOMEDICS INC. 7,900 35
- - MMC NETWORKS, INC. 1,100 35
- - MIRAVANT MEDICAL TECHNOLOGY 1,600 35
PCA INTERNATIONAL, INC. 1,400 35
- - PARAGON HEALTH NETWORK, INC. 2,181 35
PUBLIC SERVICE CO. OF NORTH
CAROLINA, INC. 1,600 35
- - SLI, INC. 1,350 35
- - SPECTRX, INC. 5,074 35
- - SUPERIOR CONSULTANT HOLDINGS CORP. 800 35
- - VICOR CORP. 2,500 35
- - APAC TELESERVICES, INC. 5,900 34
AMPCO-PITTSBURGH CORP. 2,200 34
- - ESS TECHNOLOGY, INC. 7,300 34
- - FAC REALTY INC. REIT 4,300 34
- - INTENSIVA HEALTHCARE CORP. 4,300 34
- - KENSEY NASH CORP. 3,600 34
- - LEUKOSITE, INC. 4,500 34
- - MEDPLUS, INC. 5,600 34
- - PERCLOSE, INC. 1,200 34
- - RESOUND CORP. 5,200 34
- - SPECTRAN CORP. 4,200 34
- - SPYGLASS, INC. 3,000 34
- - SUPERGEN, INC. 3,400 34
- - THERMOTREX CORP. 2,000 34
WALBRO CORP. 2,400 34
- - CATHERINES STORES 3,400 33
IRT PROPERTY CO. REIT 3,000 33
- - LONE STAR STEAKHOUSE &
SALOON, INC. 2,400 33
- - NATIONAL PROCESSING, INC. 3,100 33
- - ROCHESTER MEDICAL CORP. 2,300 33
- - TCSI CORP. 5,600 33
- - UNISOURCE ENERGY CORP. 2,100 33
- - VETERINARY CENTERS OF AMERICA, INC. 1,740 33
- - ALTERNATE LIVING SERVICES, INC. 1,200 32
- - AMERICAN ONCOLOGY
RESOURCES, INC. 2,600 32
- - ASYST TECHNOLOGIES, INC. 2,556 32
- - BRITE VOICE SYSTEMS, INC. 2,814 32
- - CIRRUS LOGIC 2,900 32
- - CLINTRIALS RESEARCH, INC. 6,500 32
GLENBOROUGH REALTY TRUST, INC. REIT 1,200 32
- - INKTOMI CORP. 800 32
- - INTELLIGENT MEDICAL IMAGING, INC. 9,000 32
- - INTERVU INC. 2,100 32
- - KEMET CORP. 2,400 32
- - MICROWAVE POWER DEVICES, INC. 4,700 32
- - NATIONAL CITY BANCORPORATION 968 32
- - PRIMADONNA RESORTS, INC. 2,200 32
- - SPAGHETTI WAREHOUSE, INC. 4,000 32
- - STRATEGIC DISTRIBUTION, INC. 5,800 32
- - TATHAM OFFSHORE, INC. 10,630 32
- - VERTEX PHARMACEUTICALS, INC. 1,400 32
- - ABC RAIL PRODUCTS CORP. 1,800 31
- - BIO-RAD LABORATORIES, INC. CLASS A 1,000 31
- - BIOTECHNOLOGY GENERAL 4,300 31
GREEN STREET FINANCIAL CORP. 2,100 31
OPTICAL COATING LABORATORY, INC. 1,600 31
- - PREMIERE TECHNOLOGIES, INC. 3,700 31
- - SILICON GAMING, INC. 3,100 31
- - TRO LEARNING, INC. 3,600 31
- - VANTIVE CORP. 1,500 31
- - VERITY, INC. 2,900 31
- - WORLD ACCEPTANCE CORP. 5,500 31
- - ADVANTAGE LEARNING SYSTEMS, INC. 1,100 30
- - ANSWERTHINK CONSULTING
GROUP, INC. 1,400 30
- - CARIBINER INTERNATIONAL, INC. 1,700 30
- - DIALOGIC CORP. 1,000 30
- - ELECTROMAGNETIC SCIENCES, INC. 1,600 30
- - HANOVER COMPRESSOR CO. 1,100 30
- - HILLS STORES CO. 5,165 30
- - HOMEUSA, INC. 3,000 30
- - INTERNATIONAL RECTIFIER CORP. 3,500 30
- - NORD RESOURCES CORP. 15,700 30
OREGON STEEL MILLS, INC. 1,600 30
- - PICO HOLDINGS INC. 7,013 30
- - PROXIM, INC. 1,800 30
RPC INC. 2,400 30
- - REALNETWORKS, INC. 800 30
- - SERVICE MERCHANDISE CO., INC. 19,200 30
SUN COMMUNITIES, INC. REIT 900 30
- - TCI MUSIC, INC. CLASS A 3,800 30
- - TELULAR CORP. 15,500 30
- - THERMOLASE CORP. 4,200 30
- - WINTER SPORTS INC. 2,425 30
- - FRESH DEL MONTE PRODUCE INC. 1,600 30
- - ARGOSY GAMING CO. 9,600 29
</TABLE>
30
<PAGE> 33
<TABLE>
<CAPTION>
- -------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -------------------------------------------------------------------
<S> <C> <C>
- - @ENTERTAINMENT, INC. 2,600 $ 29
- - BOOLE & BABBAGE INC. 1,200 29
- - BOSTON BEER CO., INC. CLASS A 2,300 29
- - DATASTREAM SYSTEMS, INC. 1,500 29
MERRILL CORP. 1,300 29
NASH-FINCH CO. 1,900 29
- - NOODLE KIDOODLE INC. 5,000 29
- - ORANGE-CO, INC. 4,900 29
- - SHONEY'S INC. 8,295 29
- - SITEL CORP. 4,400 29
- - UROCOR, INC. 4,000 29
- - VENCOR, INC. 4,000 29
- - APRIA HEALTHCARE 4,200 28
- - CELTRIX PHARMACEUTICALS 13,800 28
- - CHECKPOINT SYSTEMS, INC. 2,000 28
CIRCLE INTERNATIONAL GROUP, INC. 1,000 28
- - COLONIAL DOWNS HOLDINGS, INC. 10,800 28
DIMON INC. 2,500 28
- - DRAVO CORP. 3,000 28
- - EDUCATIONAL MEDICAL, INC. 3,100 28
ENERGEN CORP. 1,400 28
GAINSCO, INC. 4,300 28
- - LUMISYS, INC. 7,400 28
- - PICTURETEL CORP. 3,000 28
- - PROJECT SOFTWARE &
DEVELOPMENT, INC. 1,400 28
- - SIGNAL TECHNOLOGY CORP. 5,247 28
- - BADGER PAPER MILLS, INC. 3,200 27
CAPSTEAD MORTGAGE CORP. 3,250 27
- - GLOBAL DIRECTMAIL CORP. 2,100 27
GREEN MOUNTAIN POWER CORP. 1,900 27
- - HEICO CORP. CLASS A 1,050 27
HILB, ROGAL AND HAMILTON CO. 1,700 27
- - LABOR READY, INC. 900 27
- - RAMTRON INTERNATIONAL CORP. 7,800 27
- - RIGHT MANAGEMENT CONSULTANTS 2,000 27
- - JOHN B. SANFILIPPO & SON, INC. 5,600 27
- - SYBASE, INC. 3,840 27
SYNALLOY CORP. 2,000 27
- - TELCO SYSTEMS, INC. 1,900 27
- - ACTIVE VOICE CORP. 2,500 26
- - CASTLE & COOKE INC. 1,366 26
- - ELECTROGLAS, INC. 2,000 26
- - GENSIA SICOR INC. 6,600 26
HERBALIFE INTERNATIONAL CL B 1,266 26
HORIZON FINANCIAL CORP. 1,635 26
JUSTIN INDUSTRIES, INC. 1,600 26
- - KINROSS GOLD CORP. 8,009 26
- - METRA BIOSYSTEMS, INC. 13,000 26
- - OPTICAL CABLE CORP. 2,600 26
PS BUSINESS PARKS, INC. REIT 1,100 26
PAN PACIFIC RETAIL PROPERTIES,
INC. REIT 1,300 26
- - SEATTLE FILMWORKS, INC. 3,375 26
- - SYNAGRO TECHNOLOGIES INC. 4,100 26
- - TODD SHIPYARDS CORP. 4,753 26
- - TRANSACT TECHNOLOGIES INC. 2,900 26
- - WELLSFORD REAL PROPERTIES INC. REIT 1,812 26
AAMES FINANCIAL CORP. 1,800 25
- - ALEXANDER'S, INC. 277 25
- - APHTON CORP. 1,500 25
- - BJ SERVICES CO. WARRANTS
EXP. 4/13/2000 787 25
- - CAPSTAR BROADCASTING CORP. 1,000 25
- - CRESCENT OPERATING, INC. REIT 1,460 25
GETTY REALTY HOLDING CORP. 1,300 25
- - GRADALL INDUSTRIES, INC. 1,700 25
- - NPC INTERNATIONAL CLASS A 2,000 25
- - SCHULER HOMES INC. 2,800 25
- - TELESPECTRUM WORLDWIDE INC. 2,900 25
- - THE TESSERACT GROUP, INC. 5,000 25
- - VERIO INC. 1,000 25
- - AGRIBRANDS INTERNATIONAL, INC. 781 24
- - ATRIX LABORATORIES, INC. 1,800 24
CVB FINANCIAL CORP. 1,000 24
CITIZENS BANKING CORP. 700 24
CRIIMI MAE, INC. REIT 1,700 24
- - DRUG EMPORIUM, INC. 6,128 24
EXCEL INDUSTRIES, INC. 1,700 24
- - IMMUCOR INC. 2,754 24
- - LANDRY'S SEAFOOD RESTAURANTS, INC. 1,300 24
- - NATIONAL WESTERN LIFE INSURANCE
CO. CLASS A 200 24
- - NOVAVAX, INC. 6,110 24
- - OBJECTIVE SYSTEMS INTEGRATORS, INC. 3,200 24
- - TOY BIZ 2,600 24
WADDELL & REED FINANCIAL, INC. 1,000 24
- - AER ENERGY RESOURCES, INC. 20,300 23
BODDIE-NOELL PROPERTIES INC. 1,700 23
- - KENNETH COLE PRODUCTIONS, INC. 900 23
- - CONTINUCARE CORP. 4,600 23
- - DREXLER TECHNOLOGY CORP. 1,600 23
- - GENESYS TELECOMMUNICATIONS
LABORATORIES, INC. 700 23
- - GYMBOREE CORP. 1,500 23
- - INSO CORP. 1,700 23
IRVINE APARTMENT COMMUNITIES,
INC. REIT 800 23
- - L-3 COMMUNICATIONS HOLDINGS, INC. 700 23
- - LIFECORE BIOMEDICAL INC. 1,400 23
M/A/R/C, INC. 1,400 23
- - MATTSON TECHNOLOGY, INC. 4,400 23
- - QUAKER CITY BANCORP, INC. 1,000 23
SALIENT 3 COMMUNICATIONS CLASS A 2,500 23
- - SCHEID VINEYARDS, INC. CLASS A 3,300 23
- - STARTER CORP. 8,200 23
- - SUNBURST HOSPITALITY CORP 3,266 23
UNITED WISCONSIN SERVICES, INC. 800 23
- - UROQUEST MEDICAL CORP. 8,800 23
- - ARTESYN TECHNOLOGIES, INC. 1,400 22
- - BASE TEN SYSTEMS CLASS A 8,000 22
- - FAXSAV INC. 6,000 22
- - FOOTHILL INDEPENDENT BANCORP. 1,392 22
- - HCIA, INC. 1,700 22
- - HEALTH MANAGEMENT SYSTEMS, INC. 1,953 22
- - HOLLYWOOD CASINO CORP. 11,800 22
- - INPRISE CORP. 3,000 22
- - INTEGRATED PROCESS
EQUIPMENT CORP. 1,976 22
- - MERISEL, INC. 7,600 22
- - MOLECULAR BIOSYSTEMS, INC. 3,097 22
NYMAGIC, INC. 800 22
</TABLE>
31
<PAGE> 34
<TABLE>
<CAPTION>
- ------------------------------------------------------------------
MARKET
VALUE*
BALANCED INDEX FUND SHARES (000)
- ------------------------------------------------------------------
<S> <C> <C>
PRIME BANCORP INC. 900 $ 22
- - QUALITY SYSTEMS, INC. 2,400 22
- - TCI SATELLITE ENTERTAINMENT, INC.
CLASS A 3,804 22
TRANSPRO INC. 3,000 22
ALLIED PRODUCTS CORP. 1,000 21
- - AURORA FOODS INC. 1,000 21
CATO CORP. CLASS A 1,200 21
- - CHALONE WINE GROUP LTD. 1,960 21
CONECTIV, INC. CLASS A 575 21
- - FARO TECHNOLOGIES, INC. 2,000 21
- - FIBERMARK, INC. 1,300 21
- - IGI, INC. 6,710 21
- - INTEGRATED SYSTEMS CONSULTING
GROUP INC. 1,500 21
- - INTERNEURON PHARMACEUTICAL, INC. 5,700 21
- - INTERVOICE, INC. 1,200 21
- - MAXIM PHARMACEUTICALS, INC. 1,000 21
OEA, INC. 1,300 21
- - PHP HEALTHCARE CORP. 2,800 21
- - THE PENN TRAFFIC CO. 6,200 21
- - PEOPLE'S CHOICE TV CORP. 16,400 21
- - SWIFT ENERGY CO. 1,300 21
- - ACME METALS, INC. 4,000 20
- - ALLIANCE PHARMACEUTICAL CORP. 4,798 20
BMC INDUSTRIES, INC. 2,237 20
- - CAM DESIGNS, INC. 9,900 20
- - ECO SOIL SYSTEMS, INC. 1,900 20
- - GOLDEN STATE BANCORP, INC.
LITIGATION WARRANTS EXP. 1/1/2001 3,700 20
LINDSAY MANUFACTURING CO. 750 20
- - MEGO MORTGAGE CORP. 10,500 20
- - MICRION CORP. 2,000 20
- - NCS HEALTHCARE, INC. 700 20
PETROLEUM HEAT & POWER CO. 10,100 20
- - URS CORP. 1,200 20
- - DESIGNS, INC. 12,050 19
- - EMERGING COMMUNICATIONS 2,200 19
- - FLIR SYSTEMS, INC. 1,100 19
FONAR CORP. 8,300 19
- - INVISION TECHNOLOGIES, INC. 2,400 19
- - MEDICAL MANAGER CORP. 700 19
- - METACREATIONS CORP. 4,197 19
- - NASTECH PHARMACEUTICAL CO., INC. 2,300 19
- - NATURAL WONDERS 4,300 19
ROADWAY EXPRESS INC. 1,000 19
- - TOYMAX INTERNATIONAL, INC. 2,700 19
- - U.S. ENERGY CORP. 3,600 19
- - AMTECH CORP. 3,800 18
- - CONSOLIDATED FREIGHTWAYS CORP. 1,300 18
- - JENNY CRAIG INC. 3,000 18
- - DRIL-QUIP, INC. 700 18
- - ELECTRONIC RETAILING SYSTEMS
INTERNATIONAL, INC. 6,200 18
EQUITY INNS, INC. REIT 1,400 18
LIFE USA HOLDING, INC. 1,400 18
- - OCTEL CORP. 925 18
PHILLIPS-VAN HEUSEN CORP. 1,200 18
- - QUALIX GROUP, INC. 9,100 18
- - REHABILICARE, INC. 6,880 18
- - ROCKSHOX, INC. 4,600 18
- - STONERIDGE,INC. 1,000 18
- - TST IMPRESO, INC. 5,300 18
- - THERMO TERRATECH, INC. 4,100 18
- - VERTEL CORP. 5,000 18
- - WMF GROUP LTD. 766 18
ANDOVER BANCORP, INC. 500 17
BERRY PETROLEUM CLASS A 1,300 17
CHESAPEAKE ENERGY CORP. 4,200 17
- - EMPLOYEE SOLUTIONS, INC. 4,400 17
- - FRANKLIN ELECTRONIC PUBLISHERS, INC. 1,700 17
- - INTERLEAF, INC. 8,800 17
- - JUMBOSPORTS INC. 14,800 17
- - KOMAG, INC. 3,200 17
- - NEOPROBE CORP. 6,300 17
- - TELEGROUP, INC. 1,800 17
VESTA INSURANCE GROUP, INC. 800 17
- - VISTANA, INC. 900 17
- - AERIAL COMMUNICATIONS INC. 2,600 16
- - AMYLIN PHARMACEUTICALS, INC. 4,300 16
- - AUTOBOND ACCEPTANCE CORP. 2,000 16
- - CLARIFY, INC. 1,200 16
- - ECHO BAY MINES LTD. 7,100 16
- - FRESH CHOICE, INC. 5,100 16
HERBALIFE INTERNATIONAL CL A 633 16
- - MAI SYSTEMS CORP. 4,100 16
MORRISON RESTAURANTS INC. 3,200 16
- - PRECISION RESPONSE CORP. 2,000 16
- - PRESSTEK, INC 1,400 16
- - PROVIDENT AMERICAN CORP. 2,800 16
- - SONOSIGHT, INC. 2,200 16
- - VERSANT OBJECT TECHNOLOGY CORP. 4,000 16
VIRCO MANUFACTURING CORP. 700 16
- - VOLT INFORMATION SCIENCES INC. 600 16
- - AQUA CARE SYSTEMS, INC. 5,700 15
- - AURA SYSTEMS, INC. 7,500 15
- - CALIFORNIA AMPLIFIER, INC. 7,800 15
- - CARDIMA, INC. 5,000 15
- - EPITOPE INC. 2,300 15
- - GRC INTERNATIONAL, INC. 1,500 15
- - HOME HEALTH CORP. OF AMERICA 6,300 15
- - INTELIDATA TECHNOLOGIES CORP. 15,900 15
- - NS GROUP INC. 1,500 15
- - 3DO CO. 4,800 15
- - AML COMMUNICATIONS, INC. 4,050 14
- - AMERICAN WAGERING, INC. 2,300 14
- - GEOWORKS 4,000 14
JP REALTY INC. REIT 600 14
- - PETE'S BREWING CO. 2,300 14
PRIMEX TECHNOLOGIES, INC. 280 14
- - S3, INC. 2,800 14
- - SCHOOL SPECIALTY, INC. 827 14
STEPHAN CO. 1,000 14
TAPPAN ZEE FINANCIAL, INC. 700 14
- - UNIGENE 7,000 14
- - URANIUM RESOURCES, INC. 6,600 14
- - VERILINK CORP. 1,700 14
- - ARRHYTHMIA RESEARCH
TECHNOLOGY, INC. 7,000 13
- - FLUOR DANIEL/GTI, INC. 2,100 13
- - GENERAL CIGAR HOLDINGS, INC. 1,300 13
</TABLE>
32
<PAGE> 35
<TABLE>
<CAPTION>
- ------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ------------------------------------------------------------------
<S> <C> <C>
JEFFERSON SAVINGS BANCORP, INC. 400 $ 13
- - MICROWAVE SYSTEMS CORP. 2,800 13
- - OAK TECHNOLOGY, INC. 2,900 13
- - ROCKY MOUNTAIN CHOCOLATE
FACTORY, INC. 2,000 13
- - SCHUFF STEEL CO. 900 13
- - SECURE COMPUTING CORP. 1,300 13
- - SHIVA CORP. 1,600 13
- - SPEEDFAM INTERNATIONAL, INC. 700 13
- - VASOMEDICAL, INC. 8,900 13
- - VIVUS, INC. 2,200 13
- - APPLIED MAGNETICS CORP. 1,600 12
- - ARTISOFT, INC. 4,200 12
- - ASCENT ENTERTAINMENT GROUP, INC. 1,075 12
- - CDNOW, INC. 600 12
- - CONSOLIDATED DELIVERY &
LOGISTICS, INC. 2,800 12
CONTINENTAL MORTGAGE &
EQUITY TRUST 750 12
- - GLOBAL PAYMENT TECH INC. 1,200 12
- - IEC ELECTRONICS CORP. 1,682 12
LASER MORTGAGE MANAGEMENT, INC. 1,100 12
- - MEDAR, INC. 5,742 12
- - MESA AIR GROUP INC. 1,500 12
- - MULTIGRAPHICS INC. 1,600 12
- - PLAYCORE, INC. 2,600 12
- - SAMSONITE CORP. 1,116 12
- - SCHERER HEALTH 3,200 12
- - SPACETEC IMC CORP. 4,200 12
THERMO REMEDIATION, INC. 2,700 12
- - TRAK AUTO CORP. 1,200 12
- - USDATA CORP., INC. 2,497 12
- - XIOX CORP. 1,900 12
- - AMERIPATH, INC. 900 11
- - ATLANTIC TELE-NETWORK, INC. 880 11
- - AZTEC TECHNOLOGY PARTNERS, INC. 1,488 11
- - GENEVA STEEL CLASS A 4,400 11
- - I-FLOW CORP. 6,500 11
- - KENNEDY-WILSON, INC. 1,008 11
- - MAXICARE HEALTH PLANS INC. 1,700 11
- - NETMANAGE, INC. 3,800 11
- - OSICOM TECHNOLOGIES, INC. 4,042 11
- - P-COM, INC. 1,200 11
- - PHOENIX INTERNATIONAL LTD., INC. 700 11
- - RED BRICK SYSTEMS, INC. 2,700 11
- - TOTAL CONTAINMENT 2,100 11
- - VESTCOM INTERNATIONAL, INC. 1,200 11
- - ALYN CORP. 1,600 10
- - CELLPRO, INC. 3,400 10
- - CONVERSE INC. 1,866 10
- - ELECTRIC FUEL CORP. 1,800 10
- - EMULEX CORP. 1,700 10
- - MK GOLD CO. 10,700 10
- - MOSAIX INC. 1,000 10
NUI CORP. 400 10
- - PLUMA, INC. 1,500 10
- - ROYAL PRECISION INC. 2,000 10
- - TRIDENT MICROSYSTEMS, INC. 1,800 10
- - WMS INDUSTRIES, INC. 2,400 10
- - AUSPEX SYSTEMS, INC. 1,600 9
- - CHESAPEAKE BIOLOGICAL
LABORATORIES, INC. 1,300 9
FIRST COMMERCE BANCSHARES INC.
CLASS A 300 9
- - FLORSHEIM GROUP INC. 933 9
FORT THOMAS FINANCIAL CORP. 600 9
- - GSB FINANCIAL CORP. 500 9
- - GENOME THERAPEUTICS CORP. 2,000 9
- - PERFORMANCE FOOD GROUP CO. 450 9
- - REGENT ASSISTED LIVING, INC. 1,500 9
- - RONSON CORP. 2,400 9
- - SMC CORP. 1,200 9
- - SHOE CARNIVAL, INC. 650 9
- - SPECTRANETICS CORP. 2,900 9
- - TRANSWORLD HEALTHCARE INC. 1,574 9
- - VIISAGE TECHNOLOGY, INC. 4,500 9
- - WELLCARE MANAGEMENT GROUP, INC. 4,000 9
- - APPLIED MICROSYSTEMS CORP. 1,900 8
- - AVATEX CORP. 3,900 8
- - CASINO MAGIC CORP. 3,900 8
- - COLORADO CASINO RESORTS, INC. 5,600 8
- - DIACRIN, INC. 1,200 8
- - EINSTEIN/NOAH BAGEL CORP. 1,800 8
- - EXCEL LEGACY CORP. 1,800 8
- - FTP SOFTWARE, INC. 4,600 8
- - GARGOYLES, INC. 7,000 8
- - GOLD RESERVE CORP. 4,300 8
- - JAN BELL MARKETING INC. 1,200 8
- - MATHSOFT, INC. 2,000 8
- - PLANET POLYMER TECHNOLOGY, INC. 5,200 8
- - STRATEGIA CORP. 1,400 8
- - WORKFLOW MANAGEMENT, INC. 992 8
- - ALLIED DIGITAL TECHNOLOGIES CORP. 1,500 7
J. BAKER, INC. 600 7
- - BELL SPORTS CORP. 700 7
- - CENTIGRAM COMMUNICATIONS 600 7
- - CHECKERS DRIVE-IN RESTAURANT 5,400 7
- - CIDCO, INC. 1,600 7
KIMCO REALTY CORP. PFD. CLASS D 252 7
SAUER INC. 500 7
- - SEAMED CORP. 400 7
- - AMBI, INC. 4,400 6
- - ASI SOLUTIONS, INC. 800 6
- - BOSTON CHICKEN, INC. 4,000 6
- - CORNERSTONE IMAGING, INC. 800 6
- - HAYES CORP. 2,066 6
- - HEALTH SYSTEMS DESIGN CORP. 800 6
- - IMMULOGIC PHARMACEUTICAL CORP. 3,900 6
- - INTEGRATED SILICON SOLUTION, INC. 800 6
- - INTERNATIONAL ASSETS HOLDING CORP. 1,980 6
- - LIPOSOME CO., INC. 1,100 6
- - NAVIGANT INTERNATIONAL, INC. 744 6
- - OIS OPTICAL IMAGING SYSTEMS, INC. 6,100 6
- - OMEGA WORLDWIDE, INC. 794 6
- - ONCOR INC. 8,369 6
- - TESSCO TECHNOLOGIES, INC. 300 6
- - VALENCE TECHNOLOGY 1,000 6
- - AIR AND WATER TECHNOLOGIES CORP.
CLASS A 1,500 5
- - APPLIX, INC. 1,400 5
</TABLE>
33
<PAGE> 36
<TABLE>
<CAPTION>
- ------------------------------------------------------------------
MARKET
VALUE*
BALANCED INDEX FUND SHARES (000)
- ------------------------------------------------------------------
<S> <C> <C>
- - BENTLEY PHARMACEUTICALS, INC. 2,200 $ 5
- - BITWISE DESIGNS, INC. 2,900 5
- - CML GROUP, INC. 2,700 5
- - CELLULARVISION USA, INC. 4,700 5
- - CHROMAVISION MEDICAL
SYSTEMS, INC. 600 5
- - DIAMOND TECHNOLOGY PARTNERS INC. 181 5
- - DYNATECH CORP. 1,450 5
- - ECOGEN, INC. 1,900 5
- - FIRST BANK OF PHILADELPHIA 1,000 5
- - GARDEN BOTANIKA, INC. 4,500 5
- - MATERIAL SCIENCES CORP. 400 5
- - METROCALL, INC. 900 5
- - MIDLAND RESOURCES, INC. 2,300 5
- - RASTER GRAPHICS, INC. 5,600 5
- - VERTEX INDUSTRIES, INC. 6,700 5
- - APOGEE, INC. 1,600 4
BEAUTICONTROL COSMETICS 400 4
- - BLUE WAVE SYSTEMS, INC. 1,000 4
- - CALIFORNIA FEDERAL BANK GOODWILL
PARTICIPATION CERTIFICATES 200 4
- - COMSHARE 553 4
- - DAILY JOURNAL CORP. 100 4
- - DATA RACE, INC. 6,778 4
- - FASTCOMM COMMUNICATIONS CORP. 7,100 4
- - FREEPORT-MCMORAN SULPHUR, INC. 288 4
- - INTERNATIONAL LOTTERY & TOTALIZATOR
SYSTEMS, INC. 2,933 4
- - MICROPROSE, INC. 880 4
- - NVIEW CORP. 3,300 4
- - APS HOLDING CORP. 5,100 3
- - AEROVOX, INC. 900 3
- - ALANCO ENVIRONMENTAL
RESOURCES CORP. 1,986 3
- - ALTRIS SOFTWARE, INC. 5,300 3
- - AQUILA BIOPHARMACEUTICALS, INC. 701 3
- - ASCENT PEDIATRICS, INC. 2,200 3
- - ATLANTIC GULF COMMUNITIES CORP. 1,500 3
CANADIAN NATIONAL RAILWAY CO. 47 3
- - CAPITAL PACIFIC HOLDINGS, INC. 700 3
- - COMFORCE CORP. 313 3
- - CRESCENDO PHARMACEUTICALS CORP. 260 3
- - CROWN BOOKS CORP. 3,163 3
- - DATA SYSTEMS NETWORK CORP. 4,200 3
- - EDISON BROTHERS STORES WARRANTS
EXP. 9/26/2005 692 3
- - ENCORE WIRE CORP. 200 3
- - FORELAND CORP. 566 3
INVESTORS FINANCIAL SERVICES CORP.
CLASS A 54 3
- - JAYHAWK ACCEPTANCE CORP. 5,000 3
- - JUST LIKE HOME, INC. 2,400 3
- - MARKETING SERVICES GROUP, INC. 1,000 3
- - OPENROUTE NETWORKS, INC. 2,600 3
- - ORAVAX, INC. 2,600 3
- - QUINTEL ENTERTAINMENT, INC. 800 3
- - ROSS TECHNOLOGY, INC. 20,200 3
- - SCICLONE PHARMACEUTICALS 800 3
- - TRITEAL CORP. 8,000 3
- - WIRELESS ONE, INC. 2,200 3
- - AGRITOPE, INC. 460 2
- - ALL AMERICAN SEMICONDUCTOR, INC. 1,000 2
- - ASTEA INTERNATIONAL, INC. 1,000 2
- - BROTHERS GOURMET COFFEES, INC. 1,732 2
- - CRYOMEDICAL SCIENCES 17,500 2
- - DOCUCORP INTERNATIONAL 361 2
- - ENVIROMETRICS, INC. 3,800 2
- - FPA MEDICAL MANAGEMENT, INC. 1,800 2
- - GSE SYSTEMS, INC. 600 2
- - GRADCO SYSTEMS, INC. 275 2
- - HEALTH FITNESS CORP. 1,400 2
- - HORIZON GROUP PROPERTIES, INC. 310 2
- - MARVEL ENTERTAINMENT GROUP 7,240 2
- - MOBLEY ENVIRONMENTAL SERVICES,
INC. CLASS A 6,600 2
- - NU-KOTE HOLDING, INC. CLASS A 4,600 2
- - NUMEREX CORP. 500 2
- - OAO TECHNOLOGY 361 2
- - RELIANCE ACCEPTANCE GROUP INC. 13,500 2
- - SILICON VALLEY RESEARCH, INC. 3,100 2
WAINWRIGHT BANK & TRUST CO. 200 2
- - ZENITH ELECTRONICS CORP. 5,000 2
- - AID AUTO STORES, INC. 200 1
- - AXIOHM TRANSACTION SOLUTIONS, INC. 126 1
- - CELLULAR TECHNICAL SERVICES CO. 1,600 1
- - CENTURA SOFTWARE CORP. 600 1
- - COASTAL PHYSICIAN GROUP, INC. 1,800 1
- - CONTINENTAL INFORMATION
SYSTEMS CORP. 300 1
- - DATAWARE TECHNOLOGIES, INC. 200 1
- - EAGLE FINANCE CORP. 3,600 1
- - ICH CORP. 315 1
- - IMC GLOBAL WARRANTS
EXP. 12/22/2000 455 1
- - MERCURY FINANCE CO. 9,399 1
- - MICROFIELD GRAPHICS, INC. 100 1
NSC CORP. 808 1
- - NATIONAL AUTO CREDIT INC. 1,400 1
- - NATIONAL MEDICAL FINANCIAL
SERVICES CORP. 940 1
- - OBJECTSHARE, INC. 400 1
- - PINNACLE MICRO INC. 4,450 1
- - RECKSON SERVICE INDUSTRIES, INC. 264 1
- - SUBMICRON SYSTEMS CORP. 700 1
- - TRANS WORLD GAMING CORP. 2,200 1
- ------------------------------------------------------------------
TOTAL COMMON STOCKS
(COST $520,534) 908,735
- ------------------------------------------------------------------
</TABLE>
34
<PAGE> 37
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
FACE MARKET
AMOUNT VALUE*
(000) (000)
- -----------------------------------------------------------------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (24.6%)
- -----------------------------------------------------------------------
<S> <C> <C>
U.S. GOVERNMENT SECURITIES (11.9%)
U.S. TREASURY BONDS
7.25%, 8/15/2022 $ 325 $ 389
7.875%, 2/15/2021 210 267
8.00%, 11/15/2021 13,370 17,237
8.125%, 8/15/2019 21,305 27,499
8.125%, 5/15/2021 160 208
8.125%, 8/15/2021 9,450 12,317
8.50%, 2/15/2020 2,705 3,626
8.75%, 5/15/2017 5,140 6,920
8.75%, 5/15/2020 3,150 4,326
8.875%, 8/15/2017 2,425 3,305
8.875%, 2/15/2019 1,350 1,860
10.00%, 5/15/2010 590 735
10.375%, 11/15/2009 11,915 14,898
10.375%, 11/15/2012 3,025 4,052
13.875%, 5/15/2011 200 304
14.00%, 11/15/2011 2,865 4,448
U.S. TREASURY NOTES
5.875%, 7/31/1999 1,000 1,004
5.875%, 2/15/2000 350 352
5.875%, 11/15/2005 5,350 5,454
6.00%, 8/15/1999 19,100 19,196
6.25%, 5/31/2000 150 152
6.25%, 2/28/2002 4,250 4,342
6.50%, 5/31/2002 1,000 1,033
6.625%, 3/31/2002 1,400 1,450
6.625%, 4/30/2002 25,385 26,298
6.875%, 5/15/2006 3,640 3,942
7.00%, 7/15/2006 12,240 13,369
7.125%, 9/30/1999 500 509
7.25%, 5/15/2004 595 645
7.50%, 11/15/2001 220 233
7.50%, 5/15/2002 525 560
7.75%, 12/31/1999 2,000 2,063
7.75%, 1/31/2000 1,500 1,550
7.875%, 8/15/2001 1,100 1,172
8.00%, 8/15/1999 3,100 3,183
-------
188,898
-------
AGENCY BONDS AND NOTES (0.4%)
FEDERAL HOME LOAN MORTGAGE CORP.
6.785%, 3/1/2006 675 677
7.09%, 6/1/2005 400 407
FEDERAL NATIONAL MORTGAGE ASSN.
4.95%, 9/30/1998 1,250 1,249
5.35%, 8/12/1998 1,250 1,250
5.80%, 12/10/2003 1,200 1,202
6.25%, 8/12/2003 850 851
7.55%, 6/10/2004 850 862
-------
6,498
-------
MORTGAGE-BACKED SECURITIES (12.3%)
FEDERAL HOME LOAN MORTGAGE CORP.
(3) 5.50%, 9/1/1998-1/1/2009 293 291
(3) 6.00%, 12/1/1998-6/1/2028 8,349 8,255
(3) 6.50%, 4/1/2000-5/1/2028 23,791 23,805
(3) 7.00%, 9/1/1999-5/1/2028 22,990 23,352
(3) 7.50%, 3/1/2000-4/1/2028 18,435 18,905
(3) 8.00%, 11/1/2001-11/1/2027 8,980 9,291
(3) 8.50%, 11/1/2006-5/1/2027 3,239 3,378
(3) 9.00%, 1/1/2005-10/1/2026 746 788
(3) 9.50%, 8/1/2003-4/1/2025 707 762
(3) 10.00%, 3/1/2017-4/1/2025 233 254
FEDERAL NATIONAL MORTGAGE ASSN.
(3) 5.50%, 1/1/2001-11/1/2008 118 116
(3) 6.00%, 8/1/2000-4/1/2028 4,485 4,406
(3) 6.50%, 3/1/2000-6/1/2028 11,478 11,467
(3) 7.00%, 5/1/2000-3/1/2028 18,011 18,270
(3) 7.50%, 4/1/1999-8/1/2027 8,458 8,677
(3) 8.00%, 5/1/1999-9/1/2027 4,826 5,000
(3) 8.50%, 10/1/2004-7/1/2027 2,066 2,158
(3) 9.00%, 9/1/2004-8/1/2026 1,206 1,275
(3) 9.50%, 4/1/2005-2/1/2025 472 508
(3) 10.00%, 7/1/2005-8/1/2021 133 145
(3) 10.50%, 8/1/2020 31 35
GOVERNMENT NATIONAL MORTGAGE ASSN.
(3) 6.00%, 3/15/2009-5/15/2026 1,187 1,165
(3) 6.50%, 9/15/2008-6/15/2028 7,010 7,009
(3) 7.00%, 5/15/2008-5/15/2028 13,100 13,315
(3) 7.50%, 5/15/2008-2/15/2028 12,098 12,441
(3) 8.00%, 4/15/2002-7/15/2027 9,608 9,964
(3) 8.50%, 7/15/2001-9/15/2027 4,037 4,260
(3) 9.00%, 2/15/2004-6/15/2027 2,934 3,140
(3) 9.50%, 9/15/2018-12/15/2025 760 827
(3) 10.00%, 10/15/2017-2/15/2026 361 399
(3) 10.50%, 9/15/2015-9/15/2019 96 107
(3) 11.00%, 7/15/2013-12/15/2015 43 48
(3) 12.00%, 2/15/2014 31 36
-------
193,849
-------
</TABLE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS
(COST $376,048) 389,245
- -----------------------------------------------------------------------
CORPORATE BONDS (12.7%)
- -----------------------------------------------------------------------
<S> <C> <C>
ASSET-BACKED (1.4%)
AT&T UNIVERSAL CARD MASTER TRUST
(3) 5.95%, 10/17/2002 1,000 1,001
ADVANTA CREDIT CARD MASTER TRUST
(3) 6.05%, 8/1/2003 2,500 2,508
AMERICAN EXPRESS CREDIT ACCOUNT
MASTER TRUST
(3) 6.80%, 12/15/2003 2,500 2,559
CALIFORNIA INFRASTRUCTURE & ECON.
DEV. BANK SP TRUST PG&E
(3) 6.16%, 6/25/2003 625 628
(3) 6.42%, 9/25/2008 900 916
DISCOVER CARD MASTER TRUST
(3) 5.40%, 11/16/2001 2,750 2,747
FIRST BANK CORP. CARD MASTER TRUST
(3) 6.40%, 2/15/2002 1,000 1,013
FORD CREDIT AUTO LOAN MASTER TRUST
(3) 6.50%, 8/15/2002 1,000 1,013
SEARS CREDIT CARD MASTER TRUST
(3) 5.80%, 8/15/2005 3,000 2,990
(3) 8.10%, 6/15/2004 2,500 2,581
STANDARD CREDIT CARD MASTER TRUST
(3) 5.90%, 2/7/2001 1,000 1,000
(3) 6.80%, 4/7/2001 500 503
(3) 7.875%, 1/7/2000 2,500 2,516
-------
21,975
-------
</TABLE>
35
<PAGE> 38
<TABLE>
<CAPTION>
- ------------------------------------------------------------------
FACE MARKET
AMOUNT VALUE*
BALANCED INDEX FUND (000) (000)
- ------------------------------------------------------------------
<S> <C> <C>
FINANCE (6.1%)
AMERICAN EXPRESS CREDIT CORP.
8.50%, 6/15/1999 $ 175 $ 179
AMERICAN GENERAL FINANCE CORP.
5.875%, 7/1/2000 450 449
8.00%, 2/15/2000 1,000 1,032
AMERITECH CAPITAL FUNDING
6.15%, 1/15/2008 2,000 1,995
ASSOCIATES CORP.
6.25%, 3/15/1999 500 502
6.375%, 8/15/2000 3,000 3,024
6.50%, 10/15/2002 1,125 1,143
6.68%, 9/17/1999 1,500 1,513
7.50%, 4/15/2002 350 365
AVALON PROPERTIES INC.
6.875%, 12/15/2007 1,100 1,118
BANC ONE CORP.
6.25%, 10/1/2001 2,500 2,525
BANK OF NEW YORK CAPITAL I
7.97%, 12/31/2026 1,000 1,086
BANKAMERICA CAPITAL II
8.00%, 12/15/2026 1,000 1,087
BANKAMERICA CORP.
7.50%, 10/15/2002 200 211
10.00%, 2/1/2003 200 231
BEAR, STEARNS & CO., INC.
6.625%, 1/15/2004 300 305
BT CAPITAL TRUST B
7.90%, 1/15/2027 500 528
CIGNA CORP.
7.875%, 5/15/2027 500 561
CIT GROUP HOLDINGS
6.625%, 6/15/2005 350 357
CNA FINANCIAL CORP
6.50%, 4/15/2005 2,300 2,307
CAMDEN PROPERTY TRUST
7.00%, 11/15/2006 750 765
CHASE CAPITAL I
7.67%, 12/1/2026 1,100 1,156
THE CHASE MANHATTAN CORP.
10.00%, 6/15/1999 2,000 2,075
CHRYSLER FINANCE CORP.
5.375%, 10/15/1998 500 500
5.625%, 1/15/1999 1,425 1,426
6.28%, 6/21/1999 2,000 2,011
6.375%, 1/28/2000 1,000 1,007
CITICORP CAPITAL II
8.015%, 2/15/2027 1,050 1,151
CORESTATES CAPITAL CORP.
6.625%, 3/15/2005 700 714
COUNTRYWIDE FUNDING MTN
7.31%, 8/28/2000 400 409
DEAN WITTER DISCOVER & CO.
6.25%, 3/15/2000 2,000 2,007
EQUITABLE COMPANIES INC.
7.00%, 4/1/2028 350 360
EQUITY RESIDENTIAL PROPERTIES
6.55%, 11/15/2001 1,350 1,358
FIRST CHICAGO CORP.
11.25%, 2/20/2001 400 450
FIRST UNION CORP.
8.125%, 6/24/2002 500 536
FLEET CAPITAL TRUST II
7.92%, 12/11/2026 500 541
FLEET FINANCIAL GROUP, INC.
6.875%, 3/1/2003 400 412
7.125%, 4/15/2006 500 524
FORD MOTOR CREDIT CORP.
6.85%, 8/15/2000 4,000 4,071
8.20%, 2/15/2002 600 639
GENERAL ELECTRIC CAPITAL CORP.
5.59%, 4/10/2000 2,500 2,493
6.90%, 9/15/2015 1,000 1,071
GENERAL MOTORS ACCEPTANCE CORP.
5.85%, 4/6/2000 2,300 2,300
6.625%, 1/10/2002 2,500 2,542
7.00%, 3/1/2000 1,700 1,727
7.125%, 6/1/1999 500 506
9.625%, 12/15/2001 600 667
GREAT WESTERN FINANCE
6.375%, 7/1/2000 1,000 1,008
HEALTH & RETIREMENT PROPERTIES TRUST
6.75%, 12/18/2002 1,750 1,759
HOUSEHOLD FINANCE CORP.
7.65%, 5/15/2007 350 379
INTERNATIONAL LEASE FINANCE CORP.
6.375%, 8/1/2001 2,500 2,527
JDN REALTY CORP.
6.80%, 8/1/2004 840 842
LEHMAN BROTHERS HOLDINGS INC.
6.15%, 3/15/2000 1,500 1,502
6.90%, 1/29/2001 2,200 2,240
7.20%, 8/15/2009 875 921
MELLON CAPITAL II
7.995%, 1/15/2027 1,000 1,083
MELLON FINANCIAL CORP.
6.30%, 6/1/2000 750 755
7.625%, 11/15/1999 350 358
MERRILL LYNCH & CO., INC.
6.07%, 10/15/2001 3,000 3,011
6.38%, 7/18/2000 500 504
6.50%, 4/1/2001 2,000 2,025
8.30%, 11/1/2002 125 136
MORGAN STANLEY, DEAN WITTER,
DISCOVER & CO.
5.89%, 3/20/2000 3,600 3,599
NCNB CORP.
9.50%, 6/1/2004 275 321
NATIONSBANK CORP.
5.75%, 3/15/2001 1,200 1,196
6.50%, 3/15/2006 300 305
7.00%, 9/15/2001 1,500 1,542
ORION CAPITAL CORP.
7.25%, 7/15/2005 1,000 1,036
PAINEWEBBER GROUP, INC.
7.00%, 3/1/2000 750 761
REPUBLIC NEW YORK CORP.
7.75%, 5/15/2002 500 530
7.75%, 5/15/2009 300 333
SALOMON, INC.
6.50%, 3/1/2000 650 656
6.65%, 7/15/2001 1,200 1,216
6.70%, 12/1/1998 1,500 1,507
</TABLE>
36
<PAGE> 39
<TABLE>
<CAPTION>
- ------------------------------------------------------------------
FACE MARKET
AMOUNT VALUE*
(000) (000)
- ------------------------------------------------------------------
<S> <C> <C>
SALOMON SMITH BARNEY HOLDINGS INC.
5.875%, 2/1/2001 $ 700 $ 696
6.875%, 6/15/2005 200 206
7.98%, 3/1/2000 1,300 1,340
SEARS, ROEBUCK AND CO.
ACCEPTANCE CORP.
6.75%, 9/15/2005 400 411
SECURITY CAPITAL PACIFIC TRUST
8.05%, 4/1/2017 350 385
SIMON DEBARTOLO GROUP, INC.
6.75%, 7/15/2004 750 754
STORAGE USA, INC.
7.50%, 12/1/2027 400 413
SUMMIT PROPERTIES INC.
6.95%, 8/15/2004 1,800 1,823
SUNTRUST BANKS, INC.
7.375%, 7/1/2006 600 643
SWISS BANK
7.00%, 10/15/2015 500 526
TRAVELERS/AETNA PROPERTY
CASUALTY CORP.
7.75%, 4/15/2026 450 509
USF&G CORP.
8.375%, 6/15/2001 1,000 1,057
UNITED DOMINION REALTY TRUST, INC.
7.25%, 1/15/2007 700 723
WELLS FARGO & CO.
6.875%, 4/1/2006 600 624
WELLS FARGO CAPITAL I
7.96%, 12/15/2026 600 657
-------
96,755
-------
INDUSTRIAL (3.9%)
AMERICAN STORES CO.
8.00%, 6/1/2026 800 911
ANHEUSER-BUSCH COS., INC.
7.10%, 6/15/2007 1,100 1,156
7.125%, 7/1/2017 400 422
7.375%, 7/1/2023 125 131
8.625%, 12/1/2016 43 44
APPLIED MATERIALS, INC.
8.00%, 9/1/2004 125 134
ARCHER-DANIELS-MIDLAND CO.
8.875%, 4/15/2011 295 364
AUBURN HILLS
12.00%, 5/1/2020 175 288
C.R. BARD, INC.
6.70%, 12/1/2026 1,100 1,129
BAYER CORP.
6.65%, 2/15/2028 850 875
BLACK & DECKER CORP.
6.625%, 11/15/2000 1,000 1,011
7.50%, 4/1/2003 1,700 1,786
THE BOEING CO.
6.625%, 2/15/2038 900 905
BOWATER, INC.
9.375%, 12/15/2021 500 628
BURLINGTON NORTHERN SANTA FE CORP.
6.375%, 12/15/2005 150 151
6.875%, 2/15/2016 500 516
7.00%, 12/15/2025 100 104
7.25%, 8/1/2097 300 324
CSX CORP.
8.625%, 5/15/2022 100 122
CATERPILLAR CO.
7.375%, 3/1/2097 750 829
CHRYSLER CORP.
7.45%, 2/1/2097 300 332
COMCAST CABLEVISION
8.875%, 5/1/2017 850 1,027
CONRAIL CORP.
9.75%, 6/15/2020 120 163
CONTINENTAL AIRLINES
(3) 6.331%, 10/15/2004 1,400 1,400
(3) 6.41%, 10/15/2008 875 876
6.648%, 3/15/2019 830 848
CYPRUS MINERALS
6.625%, 10/15/2005 600 593
DAYTON HUDSON CORP.
6.75%, 1/1/2028 500 495
DEERE & CO.
8.50%, 1/9/2022 100 123
DELTA AIRLINES, INC.
(EQUIPMENT TRUST CERTIFICATES)
(3) 8.54%, 1/2/2007 379 417
THE WALT DISNEY CO.
7.55%, 7/15/2093 850 988
EASTMAN CHEMICAL CO.
6.375%, 1/15/2004 300 300
7.25%, 1/15/2024 450 465
FEDERATED DEPARTMENT STORES, INC.
7.45%, 7/15/2017 975 1,038
FORD CAPITAL BV
9.00%, 8/15/1998 600 602
9.50%, 6/1/2010 100 127
FORTUNE BRANDS
7.875%, 1/15/2023 100 115
GANNETT CO.
5.85%, 5/1/2000 1,000 1,001
INTERNATIONAL BUSINESS
MACHINES CORP.
7.125%, 12/1/2096 1,125 1,214
INTERNATIONAL PAPER CO.
7.875%, 8/1/2006 100 110
KROGER CO.
6.375%, 3/1/2008 505 505
7.65%, 4/15/2007 570 620
8.15%, 7/15/2006 500 556
LOCKHEED MARTIN CORP.
6.85%, 5/15/2001 1,500 1,524
7.70%, 6/15/2008 1,300 1,439
MAY DEPARTMENT STORES CO.
9.75%, 2/15/2021 120 157
MCDONALD'S CORP.
6.75%, 2/15/2003 300 303
MOBIL CORP.
7.625%, 2/23/2033 175 185
MOBIL CORP. ESOP
(3) 9.17%, 2/29/2000 440 455
NEWS AMERICA HOLDINGS
8.50%, 2/15/2005 700 775
NORANDA, INC.
7.50%, 7/15/2003 500 519
</TABLE>
37
<PAGE> 40
<TABLE>
<CAPTION>
- ------------------------------------------------------------------
FACE MARKET
AMOUNT VALUE*
BALANCED INDEX FUND (000) (000)
- ------------------------------------------------------------------
<S> <C> <C>
NORFOLK SOUTHERN CORP.
6.875%, 5/1/2001 $ 2,250 $ 2,298
7.35%, 5/15/2007 500 536
7.70%, 5/15/2017 100 113
7.80%, 5/15/2027 300 344
7.90%, 5/15/2097 100 118
NORTHROP GRUMMAN CORP.
7.00%, 3/1/2006 500 518
9.375%, 10/15/2024 650 787
OCCIDENTAL PETROLEUM CORP.
8.50%, 11/9/2001 1,200 1,285
8.50%, 9/15/2004 500 514
J.C. PENNEY & CO., INC.
6.875%, 6/15/1999 750 755
7.125%, 11/15/2023 100 105
9.05%, 3/1/2001 300 320
PHILIP MORRIS COS., INC.
7.00%, 7/15/2005 500 512
8.25%, 10/15/2003 200 216
PHILLIPS PETROLEUM CO.
9.00%, 6/1/2001 1,000 1,080
PRAXAIR, INC.
6.25%, 6/30/2000 1,250 1,255
6.70%, 4/15/2001 2,100 2,132
6.75%, 3/1/2003 1,000 1,022
6.90%, 11/1/2006 350 362
QUAKER STATE CORP.
6.625%, 10/15/2005 600 608
SAFEWAY INC.
6.85%, 9/15/2004 1,500 1,546
SEARS, ROEBUCK & CO.
6.50%, 6/15/2000 1,400 1,413
SEARS, ROEBUCK & CO.
ACCEPTANCE CORP.
6.125%, 1/15/2006 350 347
TCI COMMUNICATIONS, INC.
6.375%, 5/1/2003 2,675 2,702
6.875%, 2/15/2006 500 517
TELE-COMMUNICATIONS, INC.
8.25%, 1/15/2003 2,000 2,165
TENNECO, INC.
10.075%, 2/1/2001 850 925
TEXACO CAPITAL CORP.
7.50%, 3/1/2043 150 163
8.875%, 9/1/2021 100 129
TEXAS INSTRUMENTS INC.
6.125%, 2/1/2006 600 600
TIME WARNER INC.
8.18%, 8/15/2007 500 556
TOSCO CORP.
7.00%, 7/15/2000 3,000 3,049
UNION CARBIDE CORP.
6.75%, 4/1/2003 500 509
7.75%, 10/1/2096 375 411
7.875%, 4/1/2023 200 220
UNION OIL OF CALIFORNIA
6.375%, 2/1/2004 150 150
9.125%, 2/15/2006 160 186
UNION PACIFIC CORP.
8.625%, 5/15/2022 225 249
WHIRLPOOL CORP.
9.00%, 3/1/2003 200 222
-------
62,041
-------
UTILITIES (1.3%)
AT&T CORP.
8.35%, 1/15/2025 210 233
ARIZONA PUBLIC SERVICE CO.
7.25%, 8/1/2023 400 405
BALTIMORE GAS & ELECTRIC CO.
8.375%, 8/15/2001 800 852
CAROLINA POWER & LIGHT CO.
6.875%, 8/15/2023 275 273
COASTAL CORP.
7.75%, 10/15/2035 750 828
COMMONWEALTH EDISON
7.50%, 7/1/2013 250 275
CONSOLIDATED EDISON CO. OF
NEW YORK, INC.
6.625%, 2/1/2002 1,000 1,018
ENRON CORP.
7.125%, 5/15/2007 300 315
9.125%, 4/1/2003 700 782
9.65%, 5/15/2001 400 437
GTE SOUTH INC.
6.125%, 6/15/2007 1,500 1,485
HOUSTON LIGHTING & POWER CO.
8.75%, 3/1/2022 150 166
ILLINOIS POWER CO.
7.50%, 7/15/2025 500 510
MCI COMMUNICATIONS CORP.
6.50%, 4/15/2010 850 852
7.50%, 8/20/2004 450 478
7.75%, 3/23/2025 350 361
MICHIGAN BELL TELEPHONE CO.
7.50%, 2/15/2023 175 189
NATIONAL RURAL UTILITY CO.
6.20%, 2/1/2008 1,500 1,498
NEW ENGLAND TELEPHONE &
TELEGRAPH CORP.
7.875%, 11/15/2029 750 889
9.00%, 8/1/2031 1,000 1,099
NEW YORK TELEPHONE CO.
6.125%, 1/15/2010 1,500 1,480
7.00%, 8/15/2025 200 199
PACIFIC BELL TELEPHONE CO.
7.25%, 7/1/2002 275 288
SOUTHWESTERN BELL TELEPHONE CO.
6.625%, 7/15/2007 1,400 1,444
7.25%, 7/15/2025 400 411
7.625%, 3/1/2023 725 771
TEXAS UTILITIES CO.
7.875%, 3/1/2023 225 240
8.125%, 2/1/2002 400 425
UNION ELECTRIC POWER CO.
7.65%, 7/15/2003 250 268
U S WEST CAPITAL FUNDING, INC.
6.125%, 7/15/2002 1,000 1,003
U S WEST COMMUNICATIONS
7.25%, 9/15/2025 1,000 1,079
</TABLE>
38
<PAGE> 41
<TABLE>
<CAPTION>
- ------------------------------------------------------------------
FACE MARKET
AMOUNT VALUE*
(000) (000)
- ------------------------------------------------------------------
<S> <C> <C>
VIRGINIA ELECTRIC & POWER CO.
6.625%, 4/1/2003 $ 250 $ 256
6.75%, 10/1/2023 500 493
-------
21,302
-------
- ------------------------------------------------------------------
TOTAL CORPORATE BONDS
(COST $198,394) 202,073
- ------------------------------------------------------------------
FOREIGN AND INTERNATIONAL AGENCY BONDS
(U.S. DOLLAR-DENOMINATED)(1.7%)
- ------------------------------------------------------------------
ASIAN DEVELOPMENT BANK
9.125%, 6/1/2000 500 529
BANK OF NOVA SCOTIA
6.875%, 5/1/2003 250 256
BAYERISCHE LANDESBANK
5.875%, 4/7/2000 1,900 1,903
BRITISH COLUMBIA HYDRO
12.50%, 9/1/2013 500 525
PROVINCE OF BRITISH COLUMBIA
7.00%, 1/15/2003 230 240
CANADIAN IMPERIAL BANK OF COMMERCE
(NY BRANCH)
6.20%, 8/1/2000 4,400 4,429
FINLAND GLOBAL BOND
7.875%, 7/28/2004 850 939
GRAND METROPOLITAN CORP.
8.625%, 8/15/2001 1,000 1,074
GRAND METROPOLITAN INVESTMENT CORP.
9.00%, 8/15/2011 1,000 1,244
HANSON OVERSEAS
7.375%, 1/15/2003 600 630
INTER-AMERICAN DEVELOPMENT BANK
8.50%, 3/15/2011 175 215
KFW INTERNATIONAL FINANCE, INC.
7.20%, 3/15/2014 300 334
7.625%, 2/15/2004 400 433
8.85%, 6/15/1999 550 565
PROVINCE OF MANITOBA
7.75%, 2/1/2002 825 872
8.75%, 5/15/2001 300 322
9.125%, 1/15/2018 750 996
9.50%, 10/1/2000 160 172
9.625%, 12/1/2018 400 557
NATIONAL WESTMINSTER BANCORP INC.
9.375%, 11/15/2003 500 573
PROVINCE OF NEW BRUNSWICK
8.75%, 5/1/2022 400 525
9.75%, 5/15/2020 500 709
NEW ZEALAND GOVERNMENT
8.75%, 12/15/2006 200 237
PROVINCE OF NEWFOUNDLAND
7.32%, 10/13/2023 600 669
10.00%, 12/1/2020 250 356
NORANDA, INC.
8.625%, 7/15/2002 550 588
NORTHERN TELECOM LTD.
6.875%, 9/1/2023 500 515
PROVINCE OF ONTARIO
7.375%, 1/27/2003 175 185
7.75%, 6/4/2002 275 293
PETRO GEO-SERVICES
7.125%, 3/30/2028 1,075 1,116
REPUBLIC OF PORTUGAL
5.75%, 10/8/2003 1,000 1,000
PROVIDENCE OF SASKATCHEWAN
6.625%, 7/15/2003 2,250 2,318
8.00%, 7/15/2004 1,600 1,763
- ------------------------------------------------------------------
TOTAL FOREIGN AND INTERNATIONAL
AGENCY BONDS(COST $26,391) 27,082
- ------------------------------------------------------------------
TEMPORARY CASH INVESTMENTS (4.4%)
- ------------------------------------------------------------------
U.S. TREASURY BILL
(2) 4.97%, 7/23/1998 1,500 1,496
REPURCHASE AGREEMENT
Collateralized by U.S. Government
Obligations in a Pooled
Cash Account
5.67%, 7/1/1998 56,318 56,318
5.76%, 7/1/1998--NOTE E 11,990 11,990
- ------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(COST $69,803) 69,804
- ------------------------------------------------------------------
TOTAL INVESTMENTS (100.8%)
(COST $1,191,170) 1,596,939
- ------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-0.8%)
- ------------------------------------------------------------------
OTHER ASSETS--Note B 16,072
LIABILITIES--Note E (28,945)
---------
(12,873)
- ------------------------------------------------------------------
NET ASSETS (100%)
- ------------------------------------------------------------------
Applicable to 89,015,943 outstanding
$.001 par value shares
(authorized 1,000,000,000 shares) $1,584,066
==================================================================
NET ASSET VALUE PER SHARE $17.80
==================================================================
</TABLE>
*SEE NOTE A IN NOTES TO FINANCIAL STATEMENTS.
- -NON-INCOME-PRODUCING SECURITY.
(1)THE COMBINED MARKET VALUE OF COMMON STOCKS AND INDEX FUTURES CONTRACTS
REPRESENTS 60.5% OF NET ASSETS. SEE NOTE D IN NOTES TO FINANCIAL STATEMENTS.
(2)SECURITY 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.
MTN--MEDIUM-TERM NOTE.
REIT--REAL ESTATE INVESTMENT TRUST.
<TABLE>
<CAPTION>
- ------------------------------------------------------------------
AT JUNE 30, 1998, NET ASSETS CONSISTED OF:
- ------------------------------------------------------------------
AMOUNT PER
(000) SHARE
- ------------------------------------------------------------------
<S> <C> <C>
PAID IN CAPITAL $1,164,803 $13.09
UNDISTRIBUTED NET
INVESTMENT INCOME 5,651 .06
ACCUMULATED NET
REALIZED GAINS 6,624 .08
UNREALIZED APPRECIATION--
NOTE D
INVESTMENT SECURITIES 405,769 4.56
FUTURES CONTRACTS 1,219 .01
- ------------------------------------------------------------------
NET ASSETS $1,584,066 $17.80
==================================================================
</TABLE>
39
<PAGE> 42
STATEMENT OF OPERATIONS
This Statement shows dividend and interest income earned by the fund during the
reporting period, and details the operating expenses charged to the fund. These
expenses directly reduce the amount of investment income available to pay to
shareholders as dividends. This Statement also shows any Net Gain (Loss)
realized on the sale of investments, and the increase or decrease in the
Unrealized Appreciation (Depreciation) on investments during the period. If the
fund invested in futures contracts during the period, the results of these
investments are shown separately.
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------
BALANCED INDEX FUND
SIX ENDED JUNE 30, 1998
(000)
- -------------------------------------------------------------------------------
<S> <C>
INVESTMENT INCOME
INCOME
Dividends $ 5,558
Interest 19,547
----------
Total Income 25,105
----------
EXPENSES
The Vanguard Group--Note B
Investment Advisory Services 52
Management and Administrative 1,185
Marketing and Distribution 202
Taxes (other than income taxes) 53
Custodian Fees 54
Auditing Fees 4
Shareholders' Reports 39
Annual Meeting and Proxy Costs 4
Directors' Fees and Expenses 1
----------
Total Expenses 1,594
- -------------------------------------------------------------------------------
NET INVESTMENT INCOME 23,511
- -------------------------------------------------------------------------------
REALIZED NET GAIN
Investment Securities Sold 3,420
Futures Contracts 3,833
- -------------------------------------------------------------------------------
REALIZED NET GAIN 7,253
- -------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Investment Securities 111,468
Futures Contracts 1,076
- -------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) 112,544
- -------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $143,308
===============================================================================
</TABLE>
40
<PAGE> 43
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
----------------------------------
SIX MONTHS YEAR
ENDED ENDED
JUN. 30, 1998 DEC. 31, 1997
(000) (000)
- ---------------------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE IN NET ASSETS
OPERATIONS
Net Investment Income $ 23,511 $ 36,614
Realized Net Gain 7,253 9,950
Change in Unrealized Appreciation (Depreciation) 112,544 157,724
---------------------------------
Net Increase in Net Assets Resulting from Operations 143,308 204,288
---------------------------------
DISTRIBUTIONS
Net Investment Income (17,106) (37,368)
Realized Capital Gain (3,312) (10,005)
---------------------------------
Total Distributions (20,418) (47,373)
---------------------------------
CAPITAL SHARE TRANSACTIONS(1)
Issued 287,192 382,845
Issued in Lieu of Cash Distributions 19,120 44,288
Redeemed (105,522) (149,905)
---------------------------------
Net Increase from Capital Share Transactions 200,790 277,228
- ---------------------------------------------------------------------------------------------------
Total Increase 323,680 434,143
- ---------------------------------------------------------------------------------------------------
NET ASSETS
Beginning of Period 1,260,386 826,243
---------------------------------
End of Period $1,584,066 $1,260,386
===================================================================================================
(1)Shares Issued (Redeemed)
Issued 16,551 25,083
Issued in Lieu of Cash Distributions 1,087 2,876
Redeemed (5,979) (9,969)
---------------------------------
Net Increase in Shares Outstanding 11,659 17,990
===================================================================================================
</TABLE>
41
<PAGE> 44
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.
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------
BALANCED INDEX FUND
YEAR ENDED DECEMBER 31,
FOR A SHARE OUTSTANDING SIX MONTHS ENDED ----------------------------------------------------------
THROUGHOUT EACH PERIOD JUNE 30, 1998 1997 1996 1995 1994 1993
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $16.29 $13.92 $12.77 $10.34 $10.91 $10.31
- --------------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .27 .520 .50 .45 .41 .39
Net Realized and Unrealized Gain
(Loss) on Investments 1.48 2.525 1.26 2.48 (.58) .63
-----------------------------------------------------------------------
Total from Investment Operations 1.75 3.045 1.76 2.93 (.17) 1.02
-----------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.20) (.530) (.49) (.45) (.40) (.39)
Distributions from Realized Capital Gains (.04) (.145) (.12) (.05) -- (.03)
-----------------------------------------------------------------------
Total Distributions (.24) (.675) (.61) (.50) (.40) (.42)
- --------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $17.80 $16.29 $13.92 $12.77 $10.34 $10.91
==========================================================================================================================
TOTAL RETURN* 10.77% 22.24% 13.95% 28.64% -1.56% 10.00%
==========================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $1,584 $1,260 $826 $590 $403 $367
Ratio of Total Expenses to
Average Net Assets 0.22%** 0.20% 0.20% 0.20% 0.20% 0.20%
Ratio of Net Investment Income to
Average Net Assets 3.28%** 3.56% 3.69% 3.85% 3.86% 3.53%
Portfolio Turnover Rate 22%** 18% 37%+ 16% 16% 25%
- --------------------------------------------------------------------------------------------------------------------------
</TABLE>
*Total return figures do not reflect the annual account maintenance fee of $10.
**Annualized.
+Fund turnover rate excluding in-kind redemptions was 30%.
42
<PAGE> 45
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: Equity securities 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; such securities not
traded on the valuation date are valued at the mean of the latest quoted bid and
asked prices. Prices are taken from the primary market in which each security
trades. 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.
Securities for which market quotations are not readily available are valued by
methods deemed by the Board of Directors to represent fair 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. 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.
4. 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).
5. DISTRIBUTIONS: Distributions to shareholders are recorded on the
ex-dividend date.
6. 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.
B. The Vanguard Group furnishes at cost investment advisory, corporate
management, administrative, marketing, and distribution services. The costs of
such services are allocated to the fund under methods approved by the Board of
Directors. At June 30, 1998, the fund had contributed
43
<PAGE> 46
NOTES TO FINANCIAL STATEMENTS (continued)
capital of $301,000 to Vanguard (included in Other Assets), representing 0.4% of
Vanguard's capitalization. The fund's Directors and officers are also Directors
and officers of Vanguard.
C. During the six months ended June 30, 1998, the fund purchased $165,703,000 of
investment securities and sold $29,863,000 of investment securities other than
U.S. government securities and temporary cash investments. Purchases and sales
of U.S. government securities were $198,082,000 and $122,786,000, respectively.
D. At June 30, 1998, net unrealized appreciation of investment securities for
financial reporting and federal income tax purposes was $405,769,000, consisting
of unrealized gains of $429,276,000 on securities that had risen in value since
their purchase and $23,507,000 in unrealized losses on securities that had
fallen in value since their purchase.
At June 30, 1998, the aggregate settlement value of open futures contracts
expiring in September 1998 and the related unrealized appreciation were:
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------
(000)
---------------------------------
AGGREGATE
NUMBER OF SETTLEMENT UNREALIZED
FUTURES CONTRACTS LONG CONTRACTS VALUE APPRECIATION
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
S&P 500 Index 133 $38,005 $876
S&P MidCap 400 Index 46 8,386 192
Russell 2000 Index 13 3,005 151
- ----------------------------------------------------------------------------------------------
</TABLE>
E. The market value of securities on loan to brokers/dealers at June 30, 1998,
was $11,004,000, for which the fund held cash collateral of $11,990,000. Cash
collateral received is invested in repurchase agreements.
44
<PAGE> 47
DIRECTORS AND OFFICERS
JOHN C. BOGLE
Senior 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
Chairman, Chief Executive Officer, and Director of The Vanguard Group, Inc., and
of each of the investment companies in The Vanguard Group.
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(R)," "S&P(R)," "S&P 500(R)," "Standard & Poor's 500," 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
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Portfolio
Small Capitalization Growth
Stock Portfolio
Small Capitalization Stock
Portfolio
Small Capitalization Value
Stock Portfolio
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Value Portfolio
Institutional Index Fund
International Equity Index Fund
Emerging Markets Portfolio
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Morgan Growth Fund
PRIMECAP Fund
Selected Value Portfolio
Specialized Portfolios
Energy Portfolio
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Portfolio
Health Care Portfolio
REIT Index Portfolio
Utilities Income Portfolio
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Portfolio
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(CA, NJ, NY, OH, PA)
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Portfolio
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Short-Term Bond Portfolio
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Treasury Portfolio
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Portfolio
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(CA, FL, NJ, NY, OH, PA)
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
Wellington Fund
Q022-6/1998
(C) 1998 Vanguard Marketing
Corporation, Distributor.
All rights reserved.
[THE VANGUARD GROUP LOGO]
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Valley Forge, Pennsylvania 19482
FUND INFORMATION
1-800-662-7447
INDIVIDUAL ACCOUNT SERVICES
1-800-662-2739
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1-800-523-1036
www.vanguard.com
[email protected]
All Vanguard funds are offered by prospectus only. Prospectuses contain more
complete information on advisory fees, distribution charges, and other expenses
and should be read carefully before you invest or send money. Prospectuses can
be obtained directly from The Vanguard Group.
