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Previous: BLACKROCK INSURED MUNICIPAL 2008 TERM TRUST INC, N-30D, 1999-03-03 |
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<PAGE> 1
VANGUARD
BALANCED INDEX
FUND
[PHOTO]
ANNUAL
REPORT
DECEMBER 31, 1998
[THE VANGUARD GROUP LOGO]
<PAGE> 2
AT VANGUARD, WE BELIEVE THAT TRADITION MATTERS
Our 8,000 crew members embrace the traditional values
on which our success is built, including integrity, hard
work, thrift, teamwork, and fair dealing on behalf of
our clients.
This year, our report cover pays homage to three
anniversaries, each of great significance to
The Vanguard Group:
- - The 200th anniversary of the Battle of the Nile, which commenced on August
1, 1798. HMS Vanguard, the victorious British flagship at the Nile, is our
namesake. And its motto-- "Leading the way"--serves as a guiding principle
for our company.
- - The 100th birthday, on July 23, of Walter L. Morgan, founder of Wellington
Fund, the oldest member of what became The Vanguard Group. Mr. Morgan was
friend and mentor to Vanguard founder John C. Bogle, and helped to shape
the standards and business principles that Mr. Bogle laid down for Vanguard
at its beginning nearly 25 years ago: a stress on balanced, diversified
investments; insistence on fair dealing and candor with clients; and a
focus on long-term investing. To our great regret, Mr. Morgan died on
September 2.
- - The 70th anniversary, on December 28, of the incorporation of Vanguard
Wellington Fund. It is the nation's oldest balanced mutual fund, and one of
only a handful of funds created in the 1920s that are still in operation.
Although Vanguard constantly tackles new challenges, adopts new technology, and
develops new services, we treasure the traditions and values that set us apart
in a crowded, competitive industry. And we salute our shareholders, whose
support and trust we strive to earn each and every day.
[PHOTO]
CONTENTS
A MESSAGE TO
OUR SHAREHOLDERS
1
THE MARKETS IN
PERSPECTIVE
5
PERFORMANCE SUMMARY
7
FUND PROFILE
8
FINANCIAL STATEMENTS
12
REPORT OF
INDEPENDENT ACCOUNTANTS
48
All comparative mutual fund data
are from Lipper or Morningstar,
unless otherwise noted.
<PAGE> 3
FELLOW SHAREHOLDER,
[PHOTO] [PHOTO]
John J. Brennan John C. Bogle
Chairman & CEO Senior Chairman
Financial markets during 1998 were volatile yet rewarding for the steadfast
investor. For the year, Vanguard Balanced Index Fund earned +17.9%, an
excellent return for a conservative fund, and one that easily surpassed that of
the average balanced fund and nearly matched that of our index benchmark.
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------
TOTAL RETURNS
YEAR ENDED
DECEMBER 31, 1998
- ------------------------------------------------------------------------------------------------------------------
<S> <C>
Vanguard Balanced Index Fund +17.9%
- ------------------------------------------------------------------------------------------------------------------
Average Balanced Fund +13.5%
- ------------------------------------------------------------------------------------------------------------------
Balanced Composite Index* +18.1%
- ------------------------------------------------------------------------------------------------------------------
Wilshire 5000 Index +23.4%
Lehman Aggregate Bond Index + 8.7%
- ------------------------------------------------------------------------------------------------------------------
</TABLE>
*Made up of two unmanaged benchmarks, weighted
60% Wilshire 5000 Index and 40% Lehman Aggregate Bond Index.
As the table below shows, the fund's total return (capital change
plus reinvested dividends) was a substantial 4.4 percentage points higher than
the average balanced fund's, and was just 0.2 point shy of that of our target
benchmark, the Balanced Composite Index. The index is weighted 60% in the
Wilshire 5000 Equity Index, which represents the entire U.S. stock market, and
40% in the Lehman Brothers Aggregate Bond Index, reflecting the U.S. taxable
bond market.
Our fund's return is based on an increase in net asset value from
$16.29 per share on December 31, 1997, to $18.48 per share on December 31,
1998, adjusted for dividends of $0.54 per share paid from net investment income
and distributions totaling $0.14 per share paid from net realized capital
gains. The fund's annualized yield at year-end 1998 was 2.9%.
FINANCIAL MARKETS IN REVIEW
The U.S. economy grew at a robust pace--more than 3%--during 1998 as it
shrugged off the effects of serious financial problems in Asia, Russia, and
Latin America. Troubles abroad slowed demand for American exports and boosted
demand for imported goods, widening the U.S. trade deficit. But the domestic
economy got a powerful push from higher consumer spending, which was encouraged
by low unemployment (4.3% at year-end) and higher wages (up about 4%, well
above the 1.6% inflation rate).
The optimism that kept shopping malls and automobile showrooms busy
was also a factor in the financial markets. Stock prices shot up during the
first half of the year, despite news that corporate earnings actually dipped
slightly, and by July 17 the S&P 500 Index had gained +23.3%. But fears that
Asia's financial troubles were spreading worldwide touched off a sharp decline:
Over the following six weeks, the S&P 500 Index fell -19.2%. Declines were much
steeper for smaller stocks: The Russell 2000 Index of small-cap stocks fell
nearly -40% from its mid-April peak to its low in October.
The stock market then revived with remarkable speed and vigor. By
year-end, the S&P 500 Index was again in record territory, having gained +28.6%
for the year. This result, however, masked weakness elsewhere in the market.
The Wilshire 4500 Index, which comprises stocks not included in the S&P 500,
increased just +8.6%, while the Russell 2000 Index declined -2.5%. In all, more
stocks declined in price than rose.
1
<PAGE> 4
Interest rates declined on balance during 1998. Bond prices, which
move in the opposite direction from interest rates, generally rose. Price
appreciation accounted for 2 percentage points of the +8.7% total return of the
Lehman Aggregate Bond Index. Rates fell furthest--roughly 1 percentage
point--for U.S. Treasury securities, whose prices benefited from a "flight to
quality" as many investors shunned riskier securities.
1998 PERFORMANCE OVERVIEW
Buoyed by a prosperous stock market, the Balanced Index Fund's equity portion
earned +23.2% during 1998, just a hair behind the +23.4% return of the Wilshire
5000 Index. The fund's fixed-income portion gained +8.5%, also 0.2 percentage
point short of the return of its benchmark, the Lehman Aggregate Bond Index.
As you know, the Balanced Index Fund holds representative samples of
the securities that make up each index so that it may replicate their returns
as closely as possible. Whereas the Wilshire 5000 Index comprises more than
7,000 stocks--essentially the entire U.S. stock market--our fund holds the 500
largest-capitalization stocks and about 2,400 issues from smaller companies,
all chosen to emulate the index in terms of industry weightings, market
capitalizations, and other criteria. Similarly, the fund's bond holdings are
chosen to reflect the characteristics of the Lehman benchmark, and so contain
four major classes of investment-grade fixed-income securities: U.S. Treasury
and agency securities; corporate bonds; international (dollar-denominated)
bonds; and mortgage-backed securities. Because of the nature of sampling
techniques and the operating and transaction costs a fund incurs, neither
portion of the fund's holdings--bonds or equities--is expected to exactly match
the returns of its benchmark.
The past year was the fifth in a row in which the return of the
six-year-old Balanced Index Fund exceeded that of the average actively managed
balanced fund. Our margin this time was a particularly wide 4.4 percentage
points. Given the similarities in sector diversification between our holdings
and our average peer's, our triumph can be chalked up to the merits of
indexing, including broad diversification and exceptionally low operating and
transaction costs.
LIFETIME PERFORMANCE OVERVIEW
The Balanced Index Fund has achieved fine returns throughout its relatively
brief lifetime, both in absolute terms and compared with similar funds and our
benchmark Balanced Composite Index.
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------
TOTAL RETURNS
NOV. 9, 1992, TO DEC. 31, 1998
---------------------------------
AVERAGE FINAL VALUE OF
ANNUAL A $10,000
RATE INITIAL INVESTMENT
- ----------------------------------------------------------------------------------------------
<S> <C> <C>
Vanguard Balanced Index Fund +15.1% $23,713
- ----------------------------------------------------------------------------------------------
Average Balanced Fund +13.3% $21,526
- ----------------------------------------------------------------------------------------------
Balanced Composite Index +15.5% $24,174
- ----------------------------------------------------------------------------------------------
</TABLE>
Although six-plus years of operation is by no means a lengthy period,
it is perhaps long enough to begin judging the merits of our passive approach
to operating a balanced stock/bond portfolio. As shown in the adjacent table,
the fund's aver-age annual return since inception in November 1992 is +15.1%,
1.8 percentage points ahead of the average balanced mutual fund's return. This
margin of superiority may seem modest, but its impact certainly is not: If
$10,000 had been invested in our fund at inception, it would have grown to
$23,713, or $2,187 more than the $21,526 that would have resulted from an
identical sum invested in our average peer, assuming the reinvestment of income
dividends and capital gains distributions in both cases.
2
<PAGE> 5
This advantage in aggregate return--nearly 22% of the original
investment--can largely be attributed to our low operating costs. Our expense
ratio in 1998 was just 0.21% ($2.10 per $1,000 in average net assets), or less
than one-sixth the 1.34% ($13.40 per $1,000 in assets) charged by the average
the buy-and-hold strategy means lower levels of trading, which means that fewer
transaction costs are incurred. These cost advantages exist year after year,
and their impact grows over time.
It is, however, very difficult for an index fund to outperform a
similarly structured theoretical index, like our Balanced Composite Index,
because the latter exists only on paper and thus incurs no costs whatsoever.
Despite this disadvantage, our average annual return was just 0.4 percentage
point below that of the index.
The returns achieved by the Balanced Index Fund so far have been
grand, but we urge investors to recognize that they are considerably higher
than what should be expec-ted from a mix of 60% stocks and 40% bonds over the
long term. The fund has benefited from an unusually favorable environment
during its first six years, a period in which the Wilshire 5000 Index earned an
average +20.5% a year and the Lehman Aggregate Bond Index's annual return
averaged +7.8%. Such gains may raise expectations to unreasonable levels, and
may make some investors forget that the stock and bond markets are capable of
substantial declines. Those who understand that downturns will occur, and are a
risk that must be endured in pursuit of investment rewards, may find it easier
to stay on an even keel when the seas get stormy.
IN SUMMARY
The tumultuous markets in 1998 amply demonstrated the advantages of a balanced
investment approach. Investors who held a mix of stock funds, bond funds, and
money market funds participated in the markets' bounty but were spared some
measure of the anxiety felt during the midyear downturn in stocks.
We have always believed that investors are well served by selecting a
mix of stocks, bonds, and cash reserves appropriate to their investment time
horizon, goals, and risk tolerance, and then sticking with their plan. Vanguard
Balanced Index Fund's well-diversified blend of equities and fixed-income
securities embodies the balanced investment approach--one that may help you to
"stay the course" toward your financial goals.
/s/JOHN C. BOGLE /s/JOHN J. BRENNAN
John C. Bogle John J. Brennan
Senior Chairman Chairman and
Chief Executive Officer
January 26, 1999
3
<PAGE> 6
NOTICE TO SHAREHOLDERS
At a special meeting on July 24, 1998, shareholders of Vanguard Balanced Index
Fund overwhelmingly approved three proposals. The proposals and voting results
were:
1. REORGANIZATION INTO A DELAWARE BUSINESS TRUST. Based on the fund's assets at
the time of the vote, this change will reduce the amount of state taxes the
fund pays annually by $78,000. Approved by 97.14% of the shares voted, as
follows:
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------
FOR AGAINST ABSTAIN
- ---------------------------------------------------------------------------------------
<S> <C> <C>
50,763,885 785,080 710,023
- ---------------------------------------------------------------------------------------
</TABLE>
2A. INVESTMENT LIMITATION CHANGES--INTERFUND LENDING PROGRAM. This change
permits the Balanced Index Fund to participate in Vanguard's interfund lending
program, which allows funds to loan money to each other if--and only if--it
makes good financial sense to do so on both sides of the transaction. The
interfund lending program won't be an integral part of the fund's investment
programs; it is a contingency arrangement for managing unusual cash flows.
Approved by 96.33% of the shares voted, as follows:
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------
FOR AGAINST ABSTAIN
- ---------------------------------------------------------------------------------------
<S> <C> <C>
50,341,431 985,028 932,529
- ---------------------------------------------------------------------------------------
</TABLE>
2B. INVESTMENT LIMITATION CHANGES--BORROWING MONEY AND PLEDGING ASSETS. This
change sets standard limits of 15% of net assets on the amount of money
Vanguard funds can borrow from all sources and on the amount of assets that can
be pledged to secure any loans. Approved by 95.48% of the shares voted, as
follows:
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------
FOR AGAINST ABSTAIN
- ---------------------------------------------------------------------------------------
<S> <C> <C>
49,898,120 1,351,953 1,008,915
- ---------------------------------------------------------------------------------------
</TABLE>
4
<PAGE> 7
THE MARKETS IN PERSPECTIVE
YEAR ENDED DECEMBER 31, 1998
[PHOTO]
Financial markets continued to produce solid overall gains during 1998. After
overcoming a sharp, six-week setback in July and August, the S&P 500 Index
gained 28.6% for the year, marking the first time the index had produced
returns of 20% or more in four consecutive years. Bond prices rose as interest
rates generally declined over the year. Returns from overseas stock markets
varied widely, with big gains in Europe, small gains in the Pacific, and losses
in most emerging markets.
U.S. STOCK MARKETS
Large-capitalization stocks--especially those of large growth companies--were
the best performers during 1998. The 50 largest stocks within the S&P 500 Index
earned more than 40%, while the return of the other 450 stocks was less than
17%. The stock market as a whole, as measured by the Wilshire 5000 Equity
Index, earned 23.4%. Small-cap stocks, represented by the Russell 2000 Index,
declined 2.5% for the year.
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUALIZED RETURNS
PERIODS ENDED DECEMBER 31, 1998
----------------------------------------------
1 YEAR 3 YEARS 5 YEARS
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
STOCKS
S&P 500 Index 28.6% 28.2% 24.1%
Russell 2000 Index -2.5 11.6 11.9
MSCI EAFE Index 20.3 9.3 9.5
- ------------------------------------------------------------------------------------------------------------------
BONDS
Lehman Aggregate Bond Index 8.7% 7.3% 7.3%
Lehman 10 Year Municipal Bond Index 6.8 6.8 6.4
Salomon Smith Barney 3-Month
U.S. Treasury Bill Index 5.1 5.2 5.1
- ------------------------------------------------------------------------------------------------------------------
OTHER
Consumer Price Index 1.6% 2.2% 2.4%
- ------------------------------------------------------------------------------------------------------------------
</TABLE>
The huge gap between returns of large and small stocks was not the
only oddity during the year. Among large stocks there also was a large
disparity in performance between growth and value stocks. Within the S&P 500
Index, growth stocks rose 42.2%, while value stocks were up 14.7%. The gap of
27.5 percentage points is the largest in the 23 years that the growth and value
components have been tracked.
Stocks rose strongly during the first half of the year. But after
hitting a then-record high on July 17, the S&P 500 Index fell by 19.2% during
the following six weeks. Declines were steeper for most smaller stocks. The
Russell 2000 Index fell nearly 40% from its peak in April before climbing back
during the fourth quarter.
The summer slump in stock prices reflected several factors that
raised anxiety among investors and prompted a reconsideration of risk that
extended past stocks to bonds. Among these factors were deteriorating corporate
earnings; Russia's default on its debts; sharp swings in currency exchange
rates; and lingering economic weakness in Asia.
Although these sources of uncertainty remained as the year went on,
many investors reacted not by abandoning stocks, but by selecting large,
well-known stocks they perceived as reliable vehicles for long-term growth. The
strong rebound in prices during the fourth quarter was due in large part to the
calming influence on jittery markets of the Federal Reserve Board's decision to
cut short-term interest rates by 0.75 percentage point.
5
<PAGE> 8
Technology stocks led the market's advance during 1998, rising 83%.
Investors were attracted by rapid revenue growth and a belief that consumers
and businesses will keep spending freely on computers, software, and computer
services. Speculation also played a role in the surge. Burgeoning activity on
the Internet sent many stocks, even those with no hint of profitability,
skyrocketing. The bulge in Internet stock prices prompted comparisons with such
historic asset "bubbles" as Japan's stock market in the late 1980s and the
tulip-bulb mania in Holland in the 1630s.
Health care and utilities, especially telecommunications providers,
also soared, achieving returns of more than 43%. Both sectors benefited from
rising demand for their products and a perception that they are somewhat
protected from foreign economic troubles and foreign competition.
Consumer-related stocks such as retailers also did well, reflecting strength in
consumer spending. Americans spent almost every after-tax dollar they earned
during 1998. Jobs were abundant; unemployment fell to 4.3% by year-end.
The worst-performing groups were two directly harmed by falling
commodity prices: oil drilling and services firms in the "other energy"
category (-36%) and materials & processing firms (-1%), such as paper, steel,
and chemical makers. Producer-durables companies, such as machinery and
aircraft makers, eked out a 2% return as companies saw falling sales abroad and
rising competition at home from foreign firms.
U.S. BOND MARKETS
The fall in interest rates during 1998 was steepest for U.S. Treasury
securities, which benefited from heightened aversion to risk among investors
and from a slight decrease in supply, thanks to a $70 billion federal budget
surplus. The low inflation rate--consumer prices were up just 1.6%--gave the
Federal Reserve the flexibility to cut short-term rates even though economic
growth was strong.
Yields on long-term Treasury issues fell by roughly 1 percentage
point, and the 30-year Treasury bond's yield was 5.09% on December 31. Lower
rates mean higher bond prices, and the Lehman Brothers Long U.S. Treasury Index
earned a total return of 13.5%, an astounding margin of nearly 12 percentage
points over the inflation rate.
Bonds lacking the unquestioned credit quality of Treasuries did not
fare as well, reflecting a repricing of risk and a "flight to quality" by
investors who began to feel they had been underestimating risk. One result was
price declines that nearly offset the interest earned on high-yield "junk"
bonds. However, high-quality corporate bonds and mortgage-backed securities
generally held up well. The Lehman Aggregate Bond Index, which encompasses
Treasury, mortgage, and high-quality corporate securities and has an
intermediate-term average maturity, earned a solid 8.7%.
Yields on long-term municipal bonds declined only slightly during the
year, and by December 31 were only a tad lower than yields on long-term
Treasuries. This was striking because the interest on municipals is exempt from
federal income tax.
INTERNATIONAL STOCK MARKETS
Europe's stock markets beat even the S&P 500 Index's gaudy return, gaining
28.7% in U.S.-dollar terms, with about 5% of the gain due to a fall in the
dollar versus most European currencies. Pacific-region stocks rose 2.6%,
although it took a fall in the dollar's value versus the Japanese yen to
overcome losses in local-currency terms. Overall, developed international
markets, as measured by the MSCI EAFE Index, earned 20.3%.
Investors' confidence in emerging markets continued to evaporate in
1998, and stocks in these markets fell about 25% as a group. The few bright
spots included South Korea (+141%) and the Philippines (+13%), which had
suffered big declines in 1997.
6
<PAGE> 9
PERFORMANCE SUMMARY
BALANCED INDEX FUND
All of the data on this page represent past performance, which cannot be used
to predict future returns that may be achieved by the fund. Note, too, that
both share price and return can fluctuate widely, so an investment in the fund
could lose money.
TOTAL INVESTMENT RETURNS: NOVEMBER 9, 1992-DECEMBER 31, 1998
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
BALANCED INDEX FUND COMPOSITE
INDEX*
FISCAL CAPITAL INCOME TOTAL TOTAL
YEAR RETURN RETURN RETURN RETURN
- ---------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
1992 2.9% 0.8% 3.7% 3.8%
1993 6.1 3.9 10.0 10.7
1994 -5.2 3.6 -1.6 -1.2
1995 24.0 4.6 28.6 29.0
- ---------------------------------------------------------------------------------
</TABLE>
TOTAL INVESTMENT RETURNS: NOVEMBER 9, 1992-DECEMBER 31, 1998
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
BALANCED INDEX FUND COMPOSITE
INDEX*
FISCAL CAPITAL INCOME TOTAL TOTAL
YEAR RETURN RETURN RETURN RETURN
- ---------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
1996 10.0% 3.9% 13.9% 14.0%
1997 18.2 4.0 22.2 22.5
1998 14.3 3.6 17.9 18.1
- ---------------------------------------------------------------------------------
</TABLE>
*60% Wilshire 5000 Index, 40% Lehman Aggregate Bond Index. See Financial
Highlights table on page 45 for dividend and capital gains information for the
past five years.
CUMULATIVE PERFORMANCE: NOVEMBER 9, 1992-DECEMBER 31, 1998
- -----------------------------------------------------------------------------
<TABLE>
<CAPTION>
Balanced Average Balanced Wilshire Lehman
Index Balanced Composite 5000 Aggregate Bond
Fund Fund Index Index Index
<S> <C> <C> <C> <C> <C>
11/10/96 10000 10000 10000 10000 10000
1992 12 10369 10373 10385 10391 10372
1993 03 10771 10784 10817 10833 10800
1993 06 10922 10949 10989 10915 11086
1993 09 11289 11325 11369 11357 11376
1993 12 11399 11482 11494 11563 11383
1994 03 10997 11108 11105 11132 11056
1994 06 10889 10973 11008 11045 10942
1994 09 11259 11294 11394 11645 11009
1994 12 11215 11193 11360 11555 11051
1995 03 12027 11867 12202 12599 11608
1995 06 12987 12728 13184 13775 12315
1995 09 13777 13438 14007 15034 12556
1995 12 14419 14012 14656 15767 13091
1996 03 14790 14368 15044 16653 12859
1996 06 15187 14703 15481 17386 12932
1996 09 15574 15113 15864 17878 13172
1996 12 16423 15940 16713 19111 13567
1997 03 16446 15911 16740 19235 13491
1997 06 18331 17557 18664 22484 13986
1997 09 19628 18744 20015 24692 14450
1997 12 20069 18969 20468 25122 14875
1998 03 21769 20387 22215 28463 15107
1998 06 22227 20642 22678 28997 15461
1998 09 20987 19355 21451 25520 16115
1998 12 23651 21526 24174 31379 15886
</TABLE>
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS
PERIODS ENDED DECEMBER 31, 1998
--------------------------------
SINCE FINAL VALUE OF A
1 YEAR 5 YEARS INCEPTION $10,000 INVESTMENT
- ---------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Balanced Index Fund* 17.85% 15.76% 15.09% $23,713
Average Balanced Fund 13.48 13.39 13.29 21,526
Balanced Composite Index** 18.11 16.03 15.46 24,174
Wilshire 5000 Index 23.39 21.78 20.46 31,379
Lehman Aggregate Bond Index 8.69 7.27 7.83 15,886
- ---------------------------------------------------------------------------------------------------
</TABLE>
*Total return figures do not reflect the $10 annual account maintenance fee
applied on balances under $10,000.
**60% Wilshire 5000 Index, 40% Lehman Aggregate Bond Index.
AVERAGE ANNUAL TOTAL RETURNS: PERIODS ENDED DECEMBER 31, 1998
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION
INCEPTION ----------------------------------------
DATE 1 YEAR 5 YEARS CAPITAL INCOME TOTAL
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Balanced Index Fund* 11/9/1992 17.85% 15.76% 11.07% 4.02% 15.09%
- -----------------------------------------------------------------------------------------------------------------------
</TABLE>
*Total return figures do not reflect the $10 annual account maintenance fee
applied on balances under $10,000.
7
<PAGE> 10
FUND PROFILE
BALANCED INDEX FUND
This Profile provides a snapshot of the fund's characteristics as of December
31, 1998, compared where appropriate to an unmanaged index. Key elements of
this Profile are defined on pages 10 and 11.
<TABLE>
<CAPTION>
TOTAL FUND CHARACTERISTICS
- -------------------------------------
<S> <C>
Yield 2.9%
Turnover Rate 25%
Expense Ratio 0.21%
Cash Reserves 0.6%
FUND ASSET
</TABLE>
<TABLE>
<CAPTION>
TOTAL FUND VOLATILITY MEASURES
- ---------------------------------------
BALANCED S&P
INDEX 500
- ----------------------------------------
<S> <C> <C>
R-Squared 0.98 1.00
Beta 0.61 1.00
</TABLE>
<TABLE>
<CAPTION>
SECTOR DIVERSIFICATION (% OF COMMON STOCKS)
- ---------------------------------------------------------------------------------------------------------------------------
DECEMBER 31, 1997 DECEMBER 31, 1998
----------------------------------------------------
BALANCED BALANCED WILSHIRE
INDEX INDEX 5000
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Auto & Transportation 3.5% 2.7% 2.8%
Consumer Discretionary 12.0 14.0 14.0
Consumer Staples 9.2 8.0 8.0
Financial Services 20.2 18.0 17.9
Health Care 10.6 11.8 11.8
Integrated Oils 4.4 3.5 3.5
Other Energy 2.5 1.3 1.3
Materials & Processing 6.2 4.1 4.2
Producer Durables 4.5 3.6 3.7
Technology 11.7 16.6 16.6
Utilities 10.1 11.2 11.2
Other 5.1 5.2 5.0
- ---------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
FUND ASSET ALLOCATION
- -----------------------------------------------
<S> <C>
EQUITIES 61%
BONDS 38%
CASH RESERVES 1%
</TABLE>
<TABLE>
<CAPTION>
TEN LARGEST STOCKS (% OF EQUITIES)
- -----------------------------------------------
<S> <C>
Microsoft Corp. 2.8%
General Electric Co. 2.7
Intel Corp. 1.6
Wal-Mart Stores, Inc. 1.5
Exxon Corp. 1.4
Merck & Co., Inc. 1.4
International Business Machines Corp. 1.4
The Coca-Cola Co. 1.3
Pfizer, Inc. 1.3
Lucent Technologies, Inc. 1.2
- -----------------------------------------------
Top Ten 16.6%
- -----------------------------------------------
Top Ten as % of Total Net Assets 9.8%
</TABLE>
8
<PAGE> 11
<TABLE>
<CAPTION>
EQUITY CHARACTERISTICS
- -----------------------------------------------------------------
BALANCED WILSHIRE
INDEX 5000
- -----------------------------------------------------------------
<S> <C> <C>
Number of Stocks 2,942 7,234
Median Market Cap $29.5B $29.2B
Price/Earnings Ratio 26.1x 26.1x
Price/Book Ratio 4.3x 4.3x
Dividend Yield 1.3% 1.3%
Return on Equity 21.3% 21.2%
Earnings Growth Rate 17.6% 17.5%
Foreign Holdings 0.0% 0.0%
</TABLE>
<TABLE>
<CAPTION>
FIXED-INCOME CHARACTERISTICS
- ---------------------------------------------------------------------------------
BALANCED
INDEX LEHMAN*
- ---------------------------------------------------------------------------------
<S> <C> <C>
Number of Bonds 379 7,257
Yield to Maturity 5.5% 5.7%
Average Coupon 7.4% 6.9%
Average Maturity 8.7 years 8.6 years
Average Quality Aa1 Aaa
Average Duration 4.4 years 4.4 years
</TABLE>
*Lehman Aggregate Bond Index.
<TABLE>
<CAPTION>
DISTRIBUTION BY ISSUER (% OF BONDS)
- ----------------------------------------------------
<S> <C>
Asset-Backed 3.2%
Finance 17.1
Foreign 4.2
Industrial 10.5
Mortgage 32.0
Treasury/Agency 28.4
Utilities 4.6
- ----------------------------------------------------
Total 100.0%
</TABLE>
EQUITY INVESTMENT FOCUS
- ----------------------------------------------------
[GRAPH]
FIXED-INCOME INVESTMENT FOCUS
- ----------------------------------------------------
[GRAPH]
<TABLE>
<CAPTION>
DISTRIBUTION BY CREDIT QUALITY (% OF BONDS)
- -------------------------------------------
<S> <C>
Treasury/Agency 28.4%
Aaa 36.4
Aa 8.9
A 15.3
Baa 11.0
Ba 0.0
B 0.0
Not Rated 0.0
Total 100.0%
</TABLE>
9
<PAGE> 12
AVERAGE COUPON. The average interest rate paid on the securities held by a
fund. It is expressed as a percentage of face value.
AVERAGE DURATION. An estimate of how much a bond fund's share price will
fluctuate in response to a change in interest rates. To see how the price could
shift, multiply the fund's duration by the change in rates. If interest rates
rise by one percentage point, the share price of a fund with an average
duration of five years would decline by about 5%. If rates decrease by a
percentage point, the fund's share price would rise by 5%.
AVERAGE MATURITY. The average length of time until bonds held by a fund reach
maturity (or are called) and are repaid. In general, the longer the average
maturity, the more a fund'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 fund'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 fund'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 fund 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 fund'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 fund'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 fund'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 fund.
EQUITY INVESTMENT FOCUS. This grid indicates the focus of a fund's equity
holdings 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 fund'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 fund's
fixed-income holdings in terms of two attributes: average maturity (short,
medium, or long) and average credit quality (Treasury/agency, investment-grade
corporate, or below investment-grade).
FOREIGN HOLDINGS. The percentage of a fund's equity assets represented by
stocks or American Depositary Receipts of companies based outside the United
States.
FUND ASSET ALLOCATION. This chart shows the proportions of a fund's holdings
allocated to different types of assets.
MEDIAN MARKET CAP. An indicator of the size of companies in which a fund
invests; the midpoint of market capitalization (market price x shares
outstanding) of a fund's stocks, weighted by the proportion of the fund's
assets invested in each stock. Stocks representing half of the fund's assets
have market capitalizations above the median, and the rest are below it.
10
<PAGE> 13
NUMBER OF BONDS. An indicator of diversification. The more separate issues a
fund holds, the less susceptible it is to a price decline stemming from the
problems of a particular bond issuer.
NUMBER OF STOCKS. An indicator of diversification. The more stocks a fund
holds, the more diversified it is and the more likely to perform in line with
the overall stock market.
PRICE/BOOK RATIO. The share price of a stock divided by its net worth, or book
value, per share. For a fund, 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 fund, 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 fund's past returns can be explained by
the returns from the overall market (or its benchmark index). If a fund's total
return were precisely synchronized with the overall market's return, its
R-squared would be 1.00. If a fund'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 fund, the weighted average return on
equity for the companies whose stocks it holds.
SECTOR DIVERSIFICATION. The percentages of a fund'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 fund has invested in
its ten largest stocks. As this percentage rises, a fund's returns are likely
to be more volatile because they are more dependent on the fortunes of a few
companies.
TURNOVER RATE. An indication of trading activity during the past year. Funds
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 fund's income from interest and dividends. The yield,
expressed as a percentage of the fund's net asset value, is based on income
earned over the past 30 days and is annualized, or projected forward for the
coming year.
YIELD TO MATURITY. The rate of return an investor would receive if the
securities held by a fund were held to their maturity dates.
11
<PAGE> 14
FINANCIAL STATEMENTS
DECEMBER 31, 1998
[PHOTO]
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 (59.0%)(1)
- -----------------------------------------------------------------------------------
<S> <C> <C> <C>
- - Microsoft Corp. 235,100 $ 32,605
General Electric Co. 310,313 31,671
Intel Corp. 161,300 19,124
Wal-Mart Stores, Inc. 211,300 17,208
Exxon Corp. 231,900 16,958
Merck & Co., Inc. 113,209 16,719
International Business
Machines Corp. 88,700 16,387
The Coca-Cola Co. 234,700 15,695
Pfizer, Inc. 123,600 15,504
Lucent Technologies, Inc. 125,042 13,755
- - Cisco Systems, Inc. 146,650 13,611
AT&T Corp. 171,780 12,926
Bristol-Myers Squibb Co. 94,600 12,659
Philip Morris Cos., Inc. 231,300 12,374
- - MCI WorldCom, Inc. 167,381 12,009
Procter & Gamble Co. 127,500 11,642
Citigroup, Inc. 218,418 10,812
Johnson & Johnson 127,906 10,728
SBC Communications Inc. 186,133 9,981
BankAmerica Corp. 164,750 9,905
American International
Group, Inc. 100,000 9,662
Eli Lilly & Co. 104,756 9,310
BellSouth Corp. 186,400 9,297
- - Dell Computer Corp. 120,000 8,782
- - Berkshire Hathaway Class A 125 8,727
Home Depot, Inc. 139,798 8,554
Bell Atlantic Corp. 147,808 7,834
Schering-Plough Corp. 138,400 7,647
Fannie Mae 99,000 7,326
Abbott Laboratories 145,100 7,110
Time Warner, Inc. 114,000 7,075
American Home Products Corp. 125,200 7,050
Ford Motor Co. 115,300 6,767
Hewlett-Packard Co. 98,350 6,718
Ameritech Corp. 104,500 6,623
Compaq Computer Corp. 157,690 6,613
- - America Online, Inc. 41,000 6,560
Mobil Corp. 73,500 6,404
Wells Fargo Co. 153,440 6,128
GTE Corp. 91,700 5,960
Warner-Lambert Co. 78,100 5,872
The Walt Disney Co. 194,800 5,844
PepsiCo, Inc. 140,100 5,735
Bank One Corp. 111,404 5,688
E.I. du Pont de Nemours & Co. 106,901 5,672
First Union Corp. 91,708 5,577
The Chase Manhattan Corp. 80,844 5,502
Chevron Corp. 61,400 5,092
Gillette Co. 105,316 5,088
McDonald's Corp. 65,100 4,988
General Motors Corp. 62,201 4,451
American Express Co. 43,384 4,436
Freddie Mac 64,600 4,163
- - EMC Corp. 46,990 3,994
Morgan Stanley Dean
Witter & Co. 56,020 3,977
- - Oracle Corp. 91,687 3,954
- - AirTouch Communications, Inc. 52,501 3,787
Xerox Corp. 30,842 3,639
Motorola, Inc. 56,900 3,474
</TABLE>
12
<PAGE> 15
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------------------
<S> <C> <C> <C>
Sprint Corp. 40,640 $ 3,419
Medtronic, Inc. 44,708 3,319
Texas Instruments, Inc. 36,854 3,153
The Boeing Co. 95,662 3,121
The Gap, Inc. 55,125 3,101
U S West, Inc. 47,769 3,087
Allstate Corp. 78,952 3,049
Anheuser-Busch Cos., Inc. 45,831 3,008
- - Sun Microsystems, Inc. 34,695 2,971
Kimberly-Clark Corp. 52,124 2,841
The Bank of New York Co., Inc. 70,562 2,840
Associates First Capital Corp. 66,212 2,806
- - Safeway, Inc. 45,910 2,798
Walgreen Co. 47,385 2,775
- - Tele-Communications-
TCI Group A 49,350 2,730
Carnival Corp. 56,700 2,722
- - MediaOne Group, Inc. 57,500 2,702
Minnesota Mining &
Manufacturing Co. 37,800 2,688
Monsanto Co. 56,500 2,684
Texaco Inc. 50,478 2,669
Colgate-Palmolive Co. 28,200 2,619
Waste Management, Inc. 54,428 2,538
Sara Lee Corp. 88,802 2,503
Emerson Electric Co. 41,301 2,499
U.S. Bancorp 70,063 2,487
- - Amgen, Inc. 23,771 2,485
- - Viacom Inc. Class B 32,822 2,429
Schlumberger Ltd. 51,792 2,389
Fleet Financial Group, Inc. 53,428 2,387
United Technologies Corp. 21,800 2,371
AlliedSignal Inc. 53,400 2,366
Electronic Data Systems Corp. 46,800 2,352
Campbell Soup Co. 42,236 2,323
Automatic Data Processing, Inc. 28,900 2,317
Dayton Hudson Corp. 41,800 2,268
Computer Associates
International, Inc. 53,112 2,264
National City Corp. 31,124 2,256
CBS Corp. 67,529 2,211
Duke Energy Corp. 34,412 2,204
Merrill Lynch & Co., Inc. 32,931 2,198
Eastman Kodak Co. 30,514 2,197
Charles Schwab Corp. 38,602 2,169
Washington Mutual, Inc. 56,401 2,154
- - Yahoo!, Inc. 8,900 2,109
CVS Corp. 37,082 2,039
H.J. Heinz Co. 34,500 1,953
Atlantic Richfield Co. 29,900 1,951
Dow Chemical Co. 21,326 1,939
Firstar Corp. 20,628 1,923
Southern Co. 65,600 1,906
Household International, Inc. 46,684 1,850
American General Corp. 23,483 1,832
Fifth Third Bancorp 25,155 1,794
Enron Corp. 30,995 1,769
MBNA Corp. 70,898 1,768
J.P. Morgan & Co., Inc. 16,700 1,754
Baxter International, Inc. 27,205 1,750
Gannett Co., Inc. 26,923 1,736
Lowe's Cos., Inc. 33,500 1,715
Wachovia Corp. 19,551 1,709
Pitney Bowes, Inc. 25,569 1,689
- - Cox Communications Class A 24,214 1,674
Mellon Bank Corp. 24,274 1,669
- - Amazon.com, Inc. 5,100 1,638
Comcast Corp. Class A Special 27,659 1,623
SunAmerica Inc. 19,750 1,602
Sears, Roebuck & Co. 37,400 1,589
Lockheed Martin Corp. 18,670 1,582
Caterpillar, Inc. 33,634 1,547
PNC Bank Corp. 28,440 1,539
CIGNA Corp. 19,777 1,529
ALLTEL Corp. 25,498 1,525
- - Cendant Corp. 79,879 1,523
Guidant Corp. 13,720 1,513
SunTrust Banks, Inc. 19,700 1,507
Columbia/HCA Healthcare Corp. 60,659 1,501
Burlington Northern
Santa Fe Corp. 43,923 1,482
Albertson's, Inc. 23,230 1,479
- - The Kroger Co. 24,400 1,476
- - 3Com Corp. 32,725 1,466
ConAgra, Inc. 46,403 1,462
- - Applied Materials, Inc. 34,200 1,460
Marsh & McLennan Cos., Inc. 24,400 1,426
Bestfoods 26,745 1,424
Cardinal Health, Inc. 18,728 1,421
Illinois Tool Works, Inc. 23,850 1,383
Coca-Cola Enterprises, Inc. 38,600 1,380
- - Costco Cos., Inc. 19,065 1,376
Aluminum Co. of America 18,190 1,356
- - Qwest Communications
International Inc. 27,060 1,353
Raytheon Co. Class B 25,200 1,342
First Data Corp. 42,066 1,333
May Department Stores Co. 22,055 1,331
KeyCorp 41,370 1,324
HBO & Co. 45,539 1,306
- - Compuware Corp. 16,700 1,305
Kellogg Co. 38,200 1,303
- - Ascend Communications, Inc. 19,805 1,302
International Paper Co. 28,970 1,298
- - Tellabs, Inc. 18,668 1,280
- - Clear Channel
Communications, Inc. 23,086 1,258
- - FDX Corp. 13,976 1,244
Halliburton Co. 41,794 1,238
Williams Cos., Inc. 39,608 1,235
The Equitable Cos. 21,300 1,233
Texas Utilities Co. 26,310 1,228
The Hartford Financial
Services Group Inc. 22,280 1,223
IMS Health, Inc. 16,200 1,222
- - Level 3 Communications, Inc. 28,000 1,207
Rite Aid Corp. 24,150 1,197
Textron, Inc. 15,319 1,163
Progressive Corp. of Ohio 6,800 1,152
The Clorox Co. 9,820 1,147
Consolidated Edison Inc. 21,578 1,141
PG&E Corp. 35,940 1,132
J.C. Penney Co., Inc. 24,161 1,132
General Mills, Inc. 14,467 1,125
</TABLE>
13
<PAGE> 16
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------
MARKET
VALUE*
BALANCED INDEX FUND SHARES (000)
- -----------------------------------------------------------------------------------
<S> <C> <C> <C>
Norfolk Southern Corp. 35,400 $ 1,122
AFLAC, Inc. 25,474 1,121
NIKE, Inc. Class B 27,439 1,113
Avon Products, Inc. 25,118 1,111
AMP, Inc. 20,685 1,077
BankBoston Corp. 27,409 1,067
Aetna Inc. 13,449 1,057
- - Staples, Inc. 24,137 1,054
BB&T Corp. 26,124 1,053
State Street Corp. 15,101 1,050
Union Pacific Corp. 23,310 1,050
- - Solectron Corp. 11,200 1,041
FPL Group, Inc. 16,800 1,035
The Chubb Corp. 15,841 1,028
- - Micron Technology, Inc. 20,264 1,024
Loews Corp. 10,400 1,022
- - AMR Corp. 17,012 1,010
Comerica, Inc. 14,733 1,005
Providian Financial Corp. 13,314 998
Phillips Petroleum Co. 23,400 997
Becton, Dickinson & Co. 23,332 996
- - Boston Scientific Corp. 36,948 991
Interpublic Group of Cos., Inc. 12,400 989
Wrigley, (Wm.) Jr. Co. 11,000 985
Archer-Daniels-Midland Co. 57,042 980
Corning, Inc. 21,600 972
Computer Sciences Corp. 15,034 969
Weyerhaeuser Co. 18,995 965
PPG Industries, Inc. 16,500 961
Ralston-Ralston Purina Group 29,629 959
The McGraw-Hill Cos., Inc. 9,298 947
American Stores Co. 25,567 944
Edison International 33,700 939
- - Kohl's Corp. 15,100 928
Northern Trust Corp. 10,600 925
- - Sprint PCS 39,720 918
RJR Nabisco Holdings Corp. 30,899 917
Service Corp. International 23,881 909
Houston Industries, Inc. 28,171 905
Omnicom Group Inc. 15,452 896
Conseco Inc. 29,231 893
Masco Corp. 30,800 885
- - Genentech, Inc. Special
Common Stock 11,100 884
Air Products & Chemicals, Inc. 22,072 883
Rockwell International Corp. 18,083 878
USX-Marathon Group 29,047 875
Sysco Corp. 31,589 867
Public Service Enterprise
Group, Inc. 21,660 866
Honeywell, Inc. 11,431 861
- - Federated Department
Stores, Inc. 19,754 860
Aon Corp. 15,394 852
TJX Cos., Inc. 29,300 850
- - Fred Meyer Inc. 14,068 847
PECO Energy Corp. 20,300 845
- - Office Depot, Inc. 22,825 843
Hershey Foods Corp. 13,516 840
Dominion Resources, Inc. 17,879 836
American Electric Power Co., Inc. 17,753 835
Fort James Corp. 20,828 833
CSX Corp. 19,896 826
Regions Financial Corp. 20,417 823
- - BMC Software, Inc. 18,200 811
- - At Home Corp. Series A 10,800 802
United Healthcare Corp. 18,579 800
Unicom Corp. 20,700 798
- - AES Corp. 16,814 796
- - Unisys Corp. 22,900 789
Capital One Financial Corp. 6,833 786
St. Paul Cos., Inc. 22,536 783
- - Network Associates, Inc. 11,783 781
Lincoln National Corp. 9,400 769
Paychex, Inc. 14,918 767
SLM Holding Corp. 15,950 766
Tribune Co. 11,611 766
Franklin Resources Corp. 23,866 764
- - Tenet Healthcare Corp. 28,982 761
Bankers Trust Corp. 8,861 757
Deere & Co. 22,841 757
Crestar Financial Corp. 10,497 756
The Goodyear Tire & Rubber Co. 14,987 756
The Quaker Oats Co. 12,700 756
Jefferson-Pilot Corp. 10,025 752
UNUM Corp. 12,800 747
Dover Corp. 20,316 744
- - Gateway 2000, Inc. 14,378 736
Entergy Corp. 23,487 731
- - Tele-Communications-TCI
Ventures Group Series A 30,953 729
- - Best Buy Co., Inc. 11,800 724
Ingersoll-Rand Co. 15,400 723
FirstEnergy Corp. 22,091 719
Delta Air Lines, Inc. 13,758 715
Coastal Corp. 20,262 708
Summit Bancorp. 16,210 708
Intimate Brands, Inc. 23,500 702
- - Tricon Global Restaurants, Inc. 14,002 702
- - Kmart Corp. 45,800 701
Southwest Airlines Co. 31,261 701
General Dynamics Corp. 11,932 699
Transamerica Corp. 6,000 693
- - Seagate Technology 22,568 683
Harley-Davidson, Inc. 14,200 673
Marriott International, Inc.
Class A 23,178 672
- - CNA Financial Corp. 16,500 664
McKesson Corp. 8,400 664
Unocal Corp. 22,600 660
Mercantile Bancorp, Inc. 14,208 655
TRW, Inc. 11,614 652
- - eBay Inc. 2,700 651
Danaher Corp. 11,800 641
Carolina Power & Light Co. 13,600 640
- - Republic Industries, Inc. 43,330 639
Mattel, Inc. 27,860 635
First American Corp. (Tenn.) 14,286 634
MBIA, Inc. 9,616 630
Dana Corp. 15,403 629
- - Chancellor Media Corp. 13,100 627
Winn-Dixie Stores, Inc. 13,843 621
- - CMGI Inc 5,800 618
Pioneer Hi-Bred International, Inc. 22,875 618
</TABLE>
14
<PAGE> 17
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------------------
<S> <C> <C> <C>
The Limited, Inc. 21,182 $ 617
Newell Co. 14,897 614
- - General Instrument Corp. 18,000 611
Burlington Resources, Inc. 16,950 607
ServiceMaster Co. 27,450 606
Synovus Financial Corp. 24,853 606
New York Times Co. Class A 17,400 603
UST, Inc. 17,229 601
- - HEALTHSOUTH Corp. 38,858 600
- - Cadence Design Systems, Inc. 20,060 597
Century Telephone
Enterprises, Inc. 8,775 592
Huntington Bancshares Inc. 19,672 591
Royal Caribbean Cruises, Ltd. 15,800 585
R.R. Donnelley & Sons Co. 13,310 583
- - Lexmark International Group, Inc.
Class A 5,800 583
Sempra Energy 22,972 583
PacifiCorp 27,587 581
DTE Energy Co. 13,426 576
Equity Office Properties Trust REIT 23,884 573
- - Novell, Inc. 31,600 573
- - Altera Corp. 9,300 566
Cintas Corp. 8,000 563
Stryker Corp. 10,200 562
Genuine Parts Co. 16,645 556
Linear Technology Corp. 6,200 555
Ameren Corp. 12,934 552
Occidental Petroleum Corp. 32,738 552
Union Carbide Corp. 12,981 552
Frontier Corp. 16,057 546
- - Wellpoint Health Networks
Inc. Class A 6,268 545
Union Planters Corp. 11,982 543
- - Maxim Integrated Products, Inc. 12,400 542
Tenneco, Inc. 15,900 541
SAFECO Corp. 12,506 537
Maytag Corp. 8,571 533
- - NEXTEL Communications, Inc. 22,546 533
Central & South West Corp. 19,300 529
Praxair, Inc. 14,989 528
Provident Cos., Inc. 12,680 526
Baker Hughes, Inc. 29,634 524
- - Outdoor Systems, Inc. 17,400 522
- - Watson Pharmaceuticals, Inc. 8,300 522
Countrywide Credit Industries, Inc. 10,390 521
Cooper Industries, Inc. 10,904 520
New Century Energies, Inc. 10,670 520
VF Corp. 11,100 520
Washington Post Co. Class B 900 520
Marshall & Ilsley Corp. 8,878 519
AmSouth Bancorp 11,350 518
Cincinnati Financial Corp. 14,147 518
- - Health Management Associates
Class A 23,970 518
- - Cablevision Systems Corp. Class B 10,300 517
SouthTrust Corp. 13,972 516
GPU, Inc. 11,640 514
- - NCR Corp. 12,281 513
Dun & Bradstreet Corp. 16,200 511
- - Apple Computer, Inc. 12,466 510
Fortune Brands, Inc. 16,100 509
Rohm & Haas Co. 16,909 509
Kansas City Southern
Industries, Inc. 10,300 507
- - Biogen, Inc. 6,100 506
PaineWebber Group, Inc. 13,100 506
Estee Lauder Cos. Class A 5,900 504
Golden West Financial Corp. 5,487 503
- - Lycos, Inc. 9,036 502
Allegiance Corp. 10,700 499
Avery Dennison Corp. 10,987 495
Cincinnati Bell, Inc. 13,100 495
Georgia Pacific Group 8,459 495
Cinergy Corp. 14,362 494
- - Complete Business Solutions, Inc. 14,600 494
- - Netscape Communications Corp. 8,140 494
North Fork Bancorp, Inc. 20,541 492
- - Saks Inc. 15,536 490
- - Ceridian Corp. 7,000 489
Black & Decker Corp. 8,675 486
- - Starbucks Corp. 8,600 483
- - AutoZone Inc. 14,600 481
- - Bed Bath & Beyond, Inc. 14,096 481
Eaton Corp. 6,800 481
Equifax, Inc. 14,040 480
Circuit City Stores, Inc. 9,594 479
Sherwin-Williams Co. 16,268 478
Equity Residential Properties
Trust REIT 11,743 475
Hilton Hotels Corp. 24,835 475
Lehman Brothers Holdings, Inc. 10,760 474
- - Analog Devices, Inc. 15,066 473
Northrop Grumman Corp. 6,463 473
Tyson Foods, Inc. 22,060 469
The CIT Group, Inc. 14,700 468
Molex, Inc. 12,287 468
Donaldson, Lufkin & Jenrette, Inc. 11,400 467
The Times Mirror Co. Class A 8,344 467
First Tennessee National Corp. 12,200 464
Browning-Ferris Industries, Inc. 16,300 463
- - US Airways Group, Inc. 8,905 463
Brown-Forman Corp. Class B 6,100 462
Torchmark Corp. 13,100 462
UnionBanCal Corp. 13,500 460
Consolidated Natural Gas Co. 8,479 458
- - USA Networks, Inc. 13,820 458
Columbia Energy Group 7,917 457
CMS Energy Corp. 9,400 455
International Flavors &
Fragrances, Inc. 10,239 452
Union Camp Corp. 6,700 452
KeySpan Energy Corp. 14,454 448
Johnson Controls, Inc. 7,523 444
ITT Industries, Inc. 11,093 441
Perkin-Elmer Corp. 4,525 441
Food Lion Inc. Class A 41,300 439
Nordstrom, Inc. 12,664 439
- - SCI Systems, Inc. 7,600 439
- - ADC Telecommunications, Inc. 12,600 438
Hasbro, Inc. 12,100 437
Republic New York Corp. 9,540 435
Rubbermaid, Inc. 13,800 434
H & R Block, Inc. 9,624 433
</TABLE>
15
<PAGE> 18
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------
MARKET
VALUE*
BALANCED INDEX FUND SHARES (000)
- -----------------------------------------------------------------------------------
<S> <C> <C> <C>
Amerada Hess Corp. 8,657 $ 431
- - Toys R Us, Inc. 25,536 431
- - ALZA Corp. 8,200 428
Biomet, Inc. 10,600 427
Galileo International, Inc. 9,800 426
MGIC Investment Corp. 10,671 425
Simon Property Group, Inc. 14,884 424
- - Owens-Illinois, Inc. 13,772 422
Baltimore Gas & Electric Co. 13,500 417
- - Conoco Inc. 20,000 417
Dollar General Corp. 17,600 416
Total System Services, Inc. 17,700 416
- - Immunex Corp. 3,300 415
Ecolab, Inc. 11,444 414
- - Inktomi Corp. 3,200 414
Leggett & Platt, Inc. 18,800 414
- - Intuit, Inc. 5,700 413
- - Infinity Broadcasting Corp. 15,000 411
- - Sepracor Inc. 4,700 411
- - Loral Space & Communications 23,100 411
AMBAC Financial Group Inc. 6,800 409
Florida Progress Corp. 9,100 408
Vulcan Materials Co. 3,100 408
Dow Jones & Co., Inc. 8,466 407
- - Sealed Air Corp. 7,919 404
PP&L Resources Inc. 14,452 403
Whirlpool Corp. 7,278 403
- - Fiserv, Inc. 7,800 401
- - Forest Laboratories, Inc. 7,500 399
- - Abercrombie & Fitch Co. 5,599 396
Reliastar Financial Corp. 8,538 394
Vastar Resources, Inc. 9,100 393
- - PeopleSoft, Inc. 20,700 392
- - Allied Waste Industries, Inc. 16,575 391
W.W. Grainger, Inc. 9,389 391
Tandy Corp. 9,500 391
Allergan, Inc. 6,000 389
- - American Power Conversion Corp. 8,000 388
Bear Stearns Co., Inc. 10,370 388
- - Concord EFS, Inc. 9,152 388
- - General Motors Corp. Class H 9,800 388
Starwood Hotels & Resorts REIT 17,087 388
Federal-Mogul Corp. 6,500 387
First Security Corp. 16,562 387
T. Rowe Price 11,300 387
- - Sterling Commerce, Inc. 8,607 387
Allegheny Energy, Inc. 11,200 386
- - Quintiles Transnational Corp. 7,200 384
El Paso Energy Corp. 10,996 383
Northern States Power Co. 13,800 383
- - Advanced Micro Devices, Inc. 13,200 382
Popular, Inc. 11,200 381
Comcast Corp. Class A 6,600 379
- - Genzyme Corp. 7,600 378
Knight Ridder 7,393 378
- - Century Communications
Corp. Class A 11,897 377
- - Chiron Corp. 14,404 377
Old Kent Financial Corp. 8,103 377
Charter One Financial 13,508 375
- - Metromedia Fiber Network, Inc. 11,200 375
Zions Bancorp 6,000 374
- - Parametric Technology Corp. 22,942 373
- - Robert Half International, Inc. 8,350 373
- - SunGard Data Systems, Inc. 9,400 373
Tosco Corp. 14,300 370
Allegheny Teledyne Inc. 17,980 367
Mylan Laboratories, Inc. 11,550 364
Reynolds Metals Co. 6,900 364
M & T Bank Corp. 700 363
E.W. Scripps Co. Class A 7,300 363
- - Express Scripts 5,400 362
Crown Cork & Seal Co., Inc. 11,722 361
Hillenbrand Industries, Inc. 6,300 358
- - Xilinx, Inc. 5,500 358
Raytheon Co. Class A 6,845 354
Symbol Technologies, Inc. 5,525 353
Ashland, Inc. 7,280 352
Harcourt General, Inc. 6,600 351
NIPSCO Industries, Inc. 11,500 350
- - Citrix Systems, Inc. 3,600 349
Champion International Corp. 8,581 348
- - QUALCOMM, Inc. 6,700 347
- - Gulfstream Aerospace Corp. 6,500 346
LG&E Energy Corp. 12,179 345
- - Quantum Corp. 16,200 344
- - KLA-Tencor Corp. 7,900 343
Willamette Industries, Inc. 10,157 340
Energy East Corp. 6,000 339
Pinnacle West Capital Corp. 8,000 339
TECO Energy, Inc. 12,000 338
Family Dollar Stores, Inc. 15,300 337
Allmerica Financial Corp. 5,789 335
- - Storage Technology Corp. 9,392 334
Eastman Chemical Co. 7,450 333
- - U.S. Filter Corp. 14,553 333
A.G. Edwards & Sons, Inc. 8,887 331
Nucor Corp. 7,641 330
- - Sybron International Corp. 12,008 326
- - VISIX Inc. 3,729 326
Martin Marietta Materials, Inc. 5,210 324
Parker Hannifin Corp. 9,853 323
SCANA Corp. 10,000 323
Anadarko Petroleum Corp. 10,400 321
Sunoco, Inc. 8,906 321
Wisconsin Energy Corp. 10,200 321
Temple-Inland Inc. 5,400 320
- - Convergys Corp. 14,200 318
- - Rambus Inc. 3,300 318
- - Teradyne, Inc. 7,500 318
- - Sofamor Danek Group, Inc. 2,600 317
Green Point Financial Corp. 9,000 316
- - UAL Corp. 5,300 316
Mercury General Corp. 7,200 315
- - Promus Hotel Corp. 9,636 312
- - SPX Corp. 4,655 312
- - U.S. Cellular Corp. 8,200 312
DPL Inc. 14,250 308
Bausch & Lomb, Inc. 5,100 306
Starwood Financial Trust REIT 5,100 306
- - Synopsys, Inc. 5,645 306
DQE Inc. 6,950 305
HON Industries, Inc. 12,700 304
- - Vitesse Semiconductor Corp. 6,600 301
</TABLE>
16
<PAGE> 19
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------------------
<S> <C> <C> <C>
- - HCR Manor Care, Inc. 10,200 $ 300
- - Comverse Technology, Inc. 4,200 298
SuperValu Inc. 10,600 297
Bergen Brunswig Corp. Class A 8,500 296
Newmont Mining Corp. 16,415 296
Adobe Systems, Inc. 6,300 295
Fluor Corp. 6,900 294
- - Policy Management
Systems Corp. 5,800 293
Dime Bancorp, Inc. 11,028 292
Amoco Corp. 4,900 289
- - Arterial Vascular Engineering, Inc. 5,500 289
Blount International, Inc. 11,600 289
Diamond Offshore Drilling, Inc. 12,200 289
- - Litton Industries, Inc. 4,400 287
- - Smurfit-Stone Container Corp. 18,119 287
Old Republic International Corp. 12,625 284
Potomac Electric Power Co. 10,800 284
Morton International, Inc. 11,552 283
Deluxe Corp. 7,700 282
Public Storage, Inc. REIT 10,418 282
- - Barr Labs Inc. 5,850 281
Phelps Dodge Corp. 5,494 280
- - Barnes & Noble, Inc. 6,548 278
- - J.D. Edwards & Co. 9,800 278
The Mead Corp. 9,500 278
Pall Corp. 10,966 278
Media General, Inc. Class A 5,200 276
- - Niagara Mohawk Power Corp. 17,100 276
- - Electronic Arts Inc. 4,900 275
Dillard's Inc. 9,639 274
- - Centocor, Inc. 6,052 273
Unitrin, Inc. 3,800 273
American Greetings Corp. Class A 6,600 271
Dial Corp. 9,400 271
- - Humana, Inc. 15,133 270
- - Jacor Communications, Inc. 4,200 270
- - Jabil Circuit, Inc. 3,600 269
- - E*TRADE Group, Inc. 5,700 267
Vornado Realty Trust REIT 7,900 267
PACCAR, Inc. 6,441 265
Telephone & Data Systems, Inc. 5,900 265
Omnicare, Inc. 7,600 264
Sonoco Products Co. 8,870 263
Wendy's International, Inc. 12,000 262
- - Keane, Inc. 6,500 260
- - Keebler Foods Co. 6,900 260
ProLogis Trust REIT 12,552 260
Solutia, Inc. 11,600 260
- - CDW Computer Centers, Inc. 2,700 259
FINOVA Group, Inc. 4,800 259
Raychem Corp. 8,019 259
International Game Technology 10,600 258
C.R. Bard, Inc. 5,200 257
Centex Corp. 5,700 257
- - DST Systems, Inc. 4,500 257
Sonat, Inc. 9,500 257
- - Global TeleSystems Group, Inc. 4,600 256
IBP, Inc. 8,800 256
Westvaco Corp. 9,550 256
Archstone Communities
Trust REIT 12,587 255
Montana Power Co. 4,500 255
New England Electric System 5,300 255
Shaw Industries, Inc. 10,500 255
Viad Corp. 8,400 255
- - American Tower Corp. Class A 8,600 254
Host Marriott Corp. 18,400 254
Centura Banks, Inc. 3,400 253
Crescent Real Estate, Inc. REIT 11,000 253
Transocean Offshore, Inc. 9,400 252
- - Mirage Resorts, Inc. 16,798 251
- - Network Appliance, Inc. 5,600 251
American Financial Group, Inc. 5,700 250
American Water Works Co., Inc. 7,400 250
- - Thermo Electron Corp. 14,759 250
Conectiv, Inc. 10,150 249
- - Dollar Tree Stores, Inc. 5,700 249
- - Continental Airlines, Inc. Class B 7,400 248
Engelhard Corp. 12,700 248
Hercules, Inc. 9,075 248
Astoria Financial Corp. 5,400 247
- - Micro Warehouse Inc. 7,300 247
Sundstrand Corp. 4,700 244
- - Ziff-Davis Inc. 15,400 244
Keystone Financial, Inc. 6,561 243
- - Lear Corp. 6,300 243
Harris Corp. 6,600 242
- - VeriSign, Inc. 4,100 242
Darden Restaurants Inc. 13,400 241
Enron Oil & Gas Co. 13,900 240
The BFGoodrich Co. 6,700 240
Hibernia Corp. Class A 13,800 240
- - Veritas Software Corp. 4,000 240
CCB Financial Corp. 4,200 239
MidAmerican Energy Co. 8,900 239
Reader's Digest Assn., Inc. Class A 9,500 239
SEI Corp. 2,400 239
Apache Corp. 9,400 238
IPALCO Enterprises, Inc. 4,300 238
- - Siebel Systems, Inc. 7,021 238
Interstate Energy Corp. 7,352 237
Michael Foods Group, Inc. 7,900 237
- - Waters Corp. 2,700 236
Armstrong World Industries Inc. 3,900 235
Comdisco, Inc. 13,900 235
Protective Life Corp. 5,900 235
First Virginia Banks, Inc. 4,950 233
- - Mohawk Industries, Inc. 5,550 233
One Valley Bancorp of
West Virginia Inc. 7,100 233
Consolidated Papers 8,400 231
Lafarge Corp. 5,700 231
- - United Rentals, Inc. 6,950 230
- - Data Broadcasting Corp. 12,814 229
Hormel Foods Corp. 7,000 229
- - MedImmune Inc. 2,300 229
Sigma-Aldrich Corp. 7,803 229
- - Total Renal Care Holdings, Inc. 7,735 229
Compass Bancshares Inc. 6,000 228
- - Novellus Systems, Inc. 4,600 228
Southdown, Inc. 3,844 228
Interstate Bakeries Corp. 8,600 227
- - Lincare Holdings, Inc. 5,600 227
</TABLE>
17
<PAGE> 20
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------
MARKET
VALUE*
BALANCED INDEX FUND SHARES (000)
- -----------------------------------------------------------------------------------
<S> <C> <C> <C>
Meditrust Corp. 15,033 $ 227
- - Southern Union Co. 9,309 227
Kimco Realty Corp. REIT 5,700 226
Diebold, Inc. 6,300 225
Thomas & Betts Corp. 5,200 225
Great Lakes Chemical Corp. 5,600 224
- - Plantronics, Inc. 2,600 224
OGE Energy Corp. 7,700 223
Whitman Corp. 8,700 221
Johns Manville Corp. 13,300 219
- - Waddell & Reed Financial, Inc.
Class B 9,408 219
American Bankers
Insurance Group Inc. 4,500 218
A. H. Belo Corp. Class A 10,948 218
Commerce Bancshares, Inc. 5,122 218
- - Cree Research, Inc. 4,552 218
Mercantile Bankshares Corp. 5,650 218
- - Williams Sonoma, Inc. 5,384 217
- - American Standard Cos., Inc. 6,000 216
IMC Global Inc. 10,089 216
Hubbell Inc. Class B 5,650 215
The Stanley Works 7,744 215
Farmer Brothers, Inc. 1,000 214
- - Jones Apparel Group, Inc. 9,700 214
- - K-V Pharmaceutical Co. Class A 10,350 214
- - Nova Corp. (Georgia) 6,173 214
- - St. Jude Medical, Inc. 7,742 214
USG Corp. 4,200 214
- - LSI Logic Corp. 13,204 213
Wesco Financial Corp. 600 213
- - Apollo Group, Inc. Class A 6,250 212
Avalonbay Communities, Inc. REIT 6,181 212
- - CalEnergy Co. 6,100 212
Transatlantic Holdings, Inc. 2,800 212
1st Bancorp (Indiana) 5,034 211
- - U.S. Foodservice 4,300 211
- - Arrow Electronics, Inc. 7,874 210
Brunswick Corp. 8,497 210
CMAC Investment Corp. 4,574 210
- - Iomega Corp. 28,700 210
- - Silicon Graphics, Inc. 16,204 209
Western Resources, Inc. 6,300 209
BHC Communications, Inc. Class A 1,700 207
- - LHS Group, Inc. 4,000 207
- - Northwest Airlines Corp. Class A 8,100 207
Union Pacific Resources
Group, Inc. 22,837 207
Flowers Industries, Inc. 8,600 206
Puget Sound Energy Inc. 7,380 206
The St. Joe Co. 8,800 206
- - Tele-Communications Liberty
Media Group Class A 4,466 206
- - King World Productions, Inc. 6,966 205
Mallinckrodt, Inc. 6,666 205
- - National Semiconductor Corp. 15,200 205
First American Financial Corp. 6,300 202
Hannaford Brothers Co. 3,800 201
Spieker Properties, Inc. REIT 5,800 201
- - FMC Corp. 3,573 200
The Timber Co. 8,400 200
- - Sanmina Corp. 3,200 200
- - Snyder Communications, Inc. 5,920 200
- - Sterling Software, Inc. 7,400 200
Associated Banc-Corp. 5,833 199
- - Broadcast.com, Inc. 2,600 199
- - Consolidated Stores, Inc. 9,862 199
HUBCO, Inc. 6,597 199
Liz Claiborne, Inc. 6,300 199
- - MiniMed, Inc. 1,900 199
Nabisco Holdings Corp. Class A 4,800 199
FelCor Lodging Trust, Inc. 8,574 198
Nalco Chemical Co. 6,400 198
Premark International, Inc. 5,700 197
Applied Power, Inc. 5,200 196
- - Canandaigua Brands, Inc. Class A 3,392 196
Federated Investors, Inc. 10,800 196
- - PacifiCare Health Systems, Inc.
Class B 2,468 196
Airborne Freight Corp. 5,400 195
- - Affiliated Computer Services, Inc.
Class A 4,310 194
- - i2 Technologies, Inc. 6,400 194
- - Premier Parks Inc. 6,400 194
- - Uniphase Corp. 2,800 194
- - QLogic Corp. 1,473 193
- - Learning Co., Inc. 7,409 192
Ultramar Diamond Shamrock Corp. 7,937 192
Harte-Hanks, Inc. 6,700 191
- - Legato Systems, Inc. 2,900 191
USX-U.S. Steel Group 8,300 191
American National Insurance Co. 2,300 190
Bemis Co., Inc. 5,000 190
- - Dendrite International, Inc. 7,600 190
Louisiana-Pacific Corp. 10,349 190
20th Century Industries 8,200 190
- - Ames Department Stores, Inc. 7,000 189
- - EchoStar Communications Corp. 3,900 189
- - Gartner Group, Inc. Class A 8,900 189
Avnet, Inc. 3,100 188
- - Citizens Utilities Co. Class B 23,181 188
Herman Miller, Inc. 7,000 188
NICOR, Inc. 4,440 188
TCF Financial Corp. 7,756 188
Everest Reinsurance Holdings, Inc. 4,800 187
- - USWeb Corp. 7,100 187
Bowater Inc. 4,500 186
- - BroadVision, Inc. 5,800 186
Comair Holdings, Inc. 5,500 186
Commercial Federal Corp. 8,011 186
- - Excel Switching Corp. 4,900 186
- - International Network Services 2,800 186
Manpower Inc. 7,400 186
McCormick & Co., Inc. 5,500 186
Snap-On Inc. 5,346 186
Travelers Property Casualty Corp. 6,000 186
U.S. Industries, Inc. 9,990 186
- - Valassis Communications, Inc. 3,600 186
BEC Energy 4,500 185
- - Borders Group, Inc. 7,400 185
Pacific Century Financial Corp. 7,600 185
- - Rational Software Corp. 6,963 185
- - Young & Rubicam Inc. 5,700 185
Cabot Corp. 6,600 184
</TABLE>
18
<PAGE> 21
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------------------
<S> <C> <C> <C>
- - Devry, Inc. 6,000 $ 184
Elcor Corp. 5,700 184
Owens Corning 5,200 184
Richfood Holdings, Inc. 8,850 184
Boston Properties, Inc. REIT 6,000 183
Metris Cos., Inc. 3,609 182
- - NCO Group, Inc. 4,050 182
- - Unitrode Corp. 10,378 182
- - BJ's Wholesale Club, Inc. 3,900 181
Nielsen Media Research 10,067 181
- - Northeast Utilities 11,300 181
Sovereign Bancorp, Inc. 12,729 181
- - Acxiom Corp. 5,800 180
Florida Rock Industries, Inc. 5,800 180
- - MedPartners, Inc. 34,224 180
- - Dionex Corp. 4,900 179
- - Tekelec 10,800 179
Valero Energy Corp. 8,400 179
Wilmington Trust Corp. 2,900 179
Stewart Enterprises, Inc. Class A 8,000 178
TCA Cable TV, Inc. 5,000 178
- - Winslow Furniture Co. 6,700 178
- - Atlas Air, Inc. 3,600 176
Clayton Homes Inc. 12,727 176
- - Fox Entertainment Group, Inc.
Class A 7,000 176
Kaydon Corp. 4,400 176
Mack-Cali Realty Corp. REIT 5,700 176
Rouse Co. REIT 6,400 176
Ryder System, Inc. 6,772 176
Homestake Mining Co. 19,000 175
- - Lamar Advertising Co. Class A 4,700 175
Reinsurance Grof
America, Inc. 2,500 175
Crane Co. 5,750 174
- - FORE Systems, Inc. 9,500 174
HRPT Properties Trust REIT 12,400 174
- - Patterson Dental Co. 4,000 174
- - Quiksilver, Inc. 5,800 174
- - Leucadia National Corp. 5,500 173
- - Aurora Foods Inc. 8,700 172
Duke Realty Investments, Inc. REIT 7,400 172
- - SEQUUS Pharmaceuticals, Inc. 8,500 172
Dole Food Co. 5,700 171
First Citizens BancShares Class A 1,900 171
- - PSS World Medical, Inc. 7,450 171
United Television, Inc. 1,487 171
Cullen/Frost Bankers, Inc. 3,100 170
Houghton Mifflin Co. 3,600 170
National Computer Systems, Inc. 4,600 170
- - Payless ShoeSource, Inc. 3,580 170
UST Corp. 7,196 170
AMB Property Corp. 7,700 169
- - Adaptec, Inc. 9,600 169
- - McLeodUSA, Inc. Class A 5,400 169
- - Smithfield Foods, Inc. 5,000 169
Tredegar Industries Inc. 7,500 169
- - Weatherford International, Inc. 8,728 169
- - Excite, Inc. 4,000 168
Kerr-McGee Corp. 4,400 168
- - STERIS Corp. 5,908 168
USEC Inc. 12,100 168
FirstMerit Corp. 6,200 167
Pulitzer Publishing Co. 1,933 167
Reynolds & Reynolds Class A 7,300 167
- - AnnTaylor Stores Corp. 4,200 166
- - GP Strategies Corp. 11,040 166
- - Mastech Corp. 5,800 166
Peoples Heritage Financial
Group Inc. 8,300 166
Regis Corp. 4,140 166
- - Security First Technologies Corp. 5,447 166
- - Acclaim Entertainment Inc. 13,500 165
Meredith Corp. 4,364 165
- - Sodexho Marriott Services, Inc. 5,950 165
HF Financial Corp. 9,000 164
Autodesk, Inc. 3,820 163
Fremont General Corp. 6,600 163
- - Microchip Technology, Inc. 4,400 163
Mid-Iowa Financial Corp. 12,000 163
- - Modis Professional Services Inc. 11,254 163
National Fuel Gas Co. 3,600 163
- - Suiza Foods Corp. 3,200 163
Central Parking Corp. 5,000 162
National Bankcorp of Alaska Inc. 4,800 162
- - Metzler Group, Inc. 3,300 161
- - Techne 7,600 161
- - Catalina Marketing Corp. 2,340 160
FFY Financial Corp. 4,600 160
- - ONSALE, Inc. 4,000 160
U.S. Trust Corp. 2,098 159
CarrAmerica Realty Corp. REIT 6,600 158
City National Corp. 3,800 158
Adolph Coors Co. Class B 2,800 158
- - Informix Corp. 16,000 158
- - Infoseek Corp. 3,200 158
National Community Bancorp 8,400 158
The PMI Group Inc. 3,200 158
UtiliCorp United, Inc. 4,300 158
CNB Bancshares, Inc. 3,360 157
Healthcare Realty Trust Inc. 7,044 157
- - Navistar International Corp. 5,500 157
- - R & B Falcon Corp. 20,624 157
- - Banyan Systems, Inc. 17,600 156
- - Brinker International, Inc. 5,400 156
Case Corp. 7,173 156
- - Level One Communications 4,400 156
- - Sunterra Corp. 10,400 156
Trinity Industries, Inc. 4,050 156
- - BISYS Group, Inc. 3,000 155
GATX Corp. 4,100 155
Hertz Corp. Class A 3,400 155
- - Jacobs Engineering Group Inc. 3,800 155
- - ACNielson Corp. 5,466 154
Allied Capital Corp. 8,880 154
First Midwest Bancorp 4,050 154
- - ISS Group, Inc. 2,800 154
New Plan Excel Realty Trust 6,960 154
Ross Stores, Inc. 3,900 154
- - SLI, Inc. 5,550 154
- - DuPont Photomasks, Inc. 3,600 153
- - Furniture Brands International Inc. 5,600 153
- - Metro-Goldwyn-Mayer Inc. 11,576 153
- - MindSpring Enterprises, Inc. 2,500 153
</TABLE>
19
<PAGE> 22
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------
MARKET
VALUE*
BALANCED INDEX FUND SHARES (000)
- -----------------------------------------------------------------------------------
<S> <C> <C> <C>
- - Electronics for Imaging, Inc. 3,800 $ 152
GenCorp, Inc. 6,100 152
- - Harrah's Entertainment, Inc. 9,700 152
Irwin Financial Corp. 5,600 152
- - Macromedia 4,500 152
Poe & Brown, Inc. 4,350 152
- - United International Holdings, Inc.
Class A 7,900 152
- - Westpoint Stevens, Inc. 4,800 152
- - Associated Group, Inc. 3,508 151
COMSAT Corp. 4,200 151
- - Education Management Corp. 6,400 151
- - Linens 'n Things, Inc. 3,800 151
- - NTL Inc. 2,667 151
St. Paul Bancorp, Inc. 5,536 151
- - Thermo Instrument Systems, Inc. 10,031 151
CNF Transportation, Inc. 4,000 150
- - CSG Systems International, Inc. 1,900 150
Cornerstone Properties, Inc. REIT 9,600 150
D. R. Horton, Inc. 6,500 150
- - DSP Communications, Inc. 9,800 150
First Brands Corp. 3,800 150
- - Hutchinson Technology, Inc. 4,200 150
- - Pediatrix Medical Group, Inc. 2,500 150
Sotheby's Holdings Class A 4,700 150
Tiffany & Co. 2,900 150
Washington Federal Inc. 5,606 150
- - Whole Foods Market, Inc. 3,100 150
Apartment Investment &
Management Co. Class A REIT 4,019 149
BSB Bancorp, Inc. 4,530 149
- - Micron Electronics, Inc. 8,600 149
Murphy Oil Corp. 3,600 149
Rollins Truck Leasing 10,125 149
Beckman Coulter, Inc. 2,732 148
First Source Corp. 4,413 148
Illinova Corp. 5,900 148
Kansas City Power & Light Co. 5,000 148
- - Medicis Pharmaceutical Corp. 2,475 148
- - Stillwater Mining Co. 3,600 148
- - Univision Communications Inc. 4,100 148
- - Vlasic Foods International, Inc. 6,226 148
- - Global Marine, Inc. 16,000 147
Pentair, Inc. 3,700 147
- - RealNetworks, Inc. 4,100 147
Sky Financial Group, Inc. 5,546 147
Trustco Bank 4,887 147
- - Alaska Air Group, Inc. 3,300 146
Boise Cascade Corp. 4,700 146
Capitol Bancorp Ltd. 6,969 146
Scientific-Atlanta, Inc. 6,394 146
- - Scotts Co. 3,800 146
- - Trigon Healthcare, Inc. 3,900 146
- - Conmed Corp. 4,406 145
Legg Mason Inc. 4,600 145
- - Markel Corp. 800 145
Minnesota Power, Inc. 3,300 145
Jefferies Group, Inc. 2,900 144
Kuhlman Corp. 3,800 144
The McClatchy Co. Class A 4,075 144
- - Noble Drilling Corp. 11,100 144
- - Primark Corp. 5,300 144
CKE Restaurants Inc. 4,851 143
- - Cellular Communications
International Inc. 2,100 143
- - DII Group, Inc. 6,200 143
KN Energy, Inc. 3,928 143
Orange & Rockland Utilities, Inc. 2,500 143
- - Playtex Products, Inc. 8,900 143
- - Sylvan Learning Systems, Inc. 4,675 143
- - Ciber, Inc. 5,100 142
Doral Financial Corp. 6,400 142
Fleetwood Enterprises, Inc. 4,100 142
- - Howmet International Inc. 8,800 142
ICN Pharmaceuticals, Inc. 6,293 142
- - INCYTE Pharmaceuticals, Inc. 3,800 142
- - Medical Assurance, Inc. 4,308 142
- - Progress Software Corp. 4,200 142
- - Covance, Inc. 4,825 141
MacDermid, Inc. 3,600 141
- - Pharmaceutical Product
Development, Inc. 4,700 141
- - Tech Data Corp. 3,500 141
- - Gilead Sciences, Inc. 3,400 140
Manitowac Co., Inc. 3,150 140
- - Outback Steakhouse 3,500 140
- - PRIMEDIA Inc. 11,900 140
Provident Financial Group, Inc. 3,700 140
Teleflex Inc. 3,074 140
United Asset Management Corp. 5,400 140
- - Universal Health Services Class B 2,700 140
- - Cable Design Technologies 7,500 139
Dynegy,Inc. 12,700 139
- - Getchell Gold Corp. 5,100 139
Highwood Properties, Inc. REIT 5,400 139
Longs Drug Stores, Inc. 3,700 139
Lubrizol Corp. 5,400 139
Mainstreet Financial Corp. 3,000 139
Pulte Corp. 5,000 139
RPM Inc. (Ohio) 8,705 139
York International Corp. 3,400 139
- - Bel Fuse, Inc.-Class A 3,450 138
CTS Corp. 3,168 138
- - IT Group, Inc. 12,436 138
Liberty Corp. 2,800 138
Rayonier Inc. 3,000 138
Sealed Air Corp. $2.00
Cvt. Pfd. Series A 2,660 138
- - Toll Brothers, Inc. 6,100 138
Trustmark Corp. 6,100 138
- - Chris-Craft Industries, Inc. 2,841 137
Graco, Inc. 4,650 137
- - Imperial Bancorp 8,250 137
National Service Industries, Inc. 3,612 137
Old National Bancorp 2,454 137
- - United Video Satellite Group, Inc. 5,800 137
Santa Fe International Corp. 9,400 137
- - American Management
Systems, Inc. 3,400 136
Central Newspapers Inc. 1,900 136
- - Chico's Fas, Inc. 5,800 136
- - Concord Communications, Inc. 2,400 136
Fastenal Co. 3,100 136
</TABLE>
20
<PAGE> 23
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------------------
<S> <C> <C> <C>
Financial Security Assurance
Holdings Ltd. 2,500 $ 136
- - Fisher Scientific International Inc. 6,800 136
McDermott International, Inc. 5,500 136
National Data Corp. 2,800 136
- - The Petersen Cos., Inc. 4,000 136
Questar Corp. 7,000 136
Weis Markets, Inc. 3,500 136
Peoples Bank Bridgeport 4,900 135
Pier 1 Imports Inc. 13,960 135
- - Protection One, Inc. 15,800 135
- - SDL, Inc. 3,400 135
- - 99 Cents Only Stores 2,718 134
Universal Foods Corp. 4,900 134
The Warnaco Group, Inc. Class A 5,320 134
- - CommScope, Inc. 7,900 133
Cooper Tire & Rubber Co. 6,500 133
- - ITT Educational Services, Inc. 3,900 133
Liberty Property Trust REIT 5,400 133
- - Medco Research, Inc. 5,100 133
Noble Affiliates, Inc. 5,400 133
- - Orbital Sciences Corp. 3,000 133
- - Pixar, Inc. 3,800 133
Polaris Industries, Inc. 3,400 133
- - Wang Laboratories, Inc. 4,800 133
AK Steel Corp. 5,600 132
Arden Realty Group, Inc. REIT 5,700 132
Fulton Financial Corp. 5,887 132
- - Jones Intercable Inc. 3,700 132
Ohio Casualty Corp. 3,200 132
Roper Industries Inc. 6,472 132
Cummins Engine Co., Inc. 3,692 131
Dean Foods Corp. 3,200 131
ENSCO International, Inc. 12,224 131
- - EarthLink Network, Inc. 2,300 131
Millennium Chemicals, Inc. 6,600 131
- - Republic Services, Inc. Class A 7,100 131
- - Investment Technology Group, Inc. 2,100 130
Staten Island Bancorp, Inc. 6,500 130
Carlisle Co., Inc. 2,500 129
Meritor Automotive, Inc. 6,066 129
- - NCI Building Systems, Inc. 4,600 129
Ball Corp. 2,800 128
Borg-Warner Automotive, Inc. 2,300 128
- - Cerner Corp. 4,800 128
Cilcorp, Inc. 2,100 128
Crompton & Knowles Corp. 6,200 128
- - Department 56 Inc. 3,405 128
Arthur J. Gallagher & Co. 2,900 128
Hartford Life, Inc. 2,200 128
- - IDX Systems Corp. 2,900 128
- - InterVoice, Inc. 3,700 128
Jostens Inc. 4,900 128
MCN Energy Group Inc. 6,700 128
- - The MONY Group Inc. 4,100 128
- - Orthodontic Centers of
America, Inc. 6,600 128
- - SMART Modular
Technologies, Inc. 4,600 128
- - CIENA Corp. 8,700 127
- - Extended Stay America, Inc. 12,093 127
First Financial Bancorp 4,400 127
Freeport-McMoRan Copper &
Gold IClass B 12,154 127
Post Properties, Inc. REIT 3,300 127
- - Henry Schein, Inc. 2,835 127
- - Security Dynamics
Technologies, Inc. 5,500 127
Alfa Corp. 5,200 126
- - AnswerThink Consulting
Group, Inc. 4,700 126
Cousins Properties, Inc. REIT 3,900 126
- - Cybex Computer Products Corp. 4,275 126
Tootsie Roll Industries, Inc. 3,222 126
- - CSK Auto Corp. 4,700 125
- - Catellus Development Corp. 8,700 125
Computer Task Group, Inc. 4,600 125
Earthgrains Co. 4,048 125
Hawaiian Electric Industries Inc. 3,100 125
Nevada Power Co. 4,800 125
- - PSINet, Inc. 6,000 125
Reliance Group Holdings 9,700 125
- - Ardent Software, Inc. 5,402 124
- - Aspect Development, Inc. 2,800 124
- - Bright Horizons Family
Solutions, Inc. 4,600 124
Commerce Group, Inc. 3,500 124
- - IVAX Corp. 10,000 124
- - OfficeMax, Inc. 10,200 124
- - Technology Solutions Co. 11,550 124
- - United Payors & United
Providers, Inc. 4,350 124
Valhi, Inc. 10,900 124
- - Alternate Living Services, Inc. 3,600 123
- - Cabletron Systems, Inc. 14,710 123
- - Choice Hotel International, Inc. 9,000 123
- - Heftel Broadcasting Corp. 2,500 123
- - Shopko Stores, Inc. 3,700 123
Valspar Corp. 3,300 123
Werner Enterprises, Inc. 6,938 123
AVX Corp. 7,200 122
- - Biomatrix, Inc. 2,100 122
- - Brightpoint, Inc. 8,900 122
Chittenden Corp. 3,800 122
- - Dal-Tile International Inc. 11,800 122
Inter-Tel, Inc. 5,200 122
Ruby Tuesday, Inc. 5,750 122
- - SPS Technologies, Inc. 2,148 122
- - Security Capital Group Inc. Class B 9,000 122
- - Westwood One, Inc. 4,000 122
- - CompUSA, Inc. 9,300 121
First Bancorp/Puerto Rico 4,000 121
Kaufman & Broad Home Corp. 4,200 121
Lennar Corp. 4,800 121
Valley National Bancorp 4,306 121
BancWest Corp. 2,500 120
- - Cooper Cameron Corp. 4,900 120
- - Emulex Corp. 3,000 120
Florida East Coast Railway Co. 3,400 120
- - PLATINUM technology, Inc. 6,300 120
- - Theragenics Corp. 7,116 120
- - Andrew Corp. 7,230 119
- - Atmel Corp. 7,800 119
- - Avis Rent A Car, Inc. 4,900 119
- - Bel Fuse, Inc.- Class B 3,450 119
</TABLE>
21
<PAGE> 24
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------
MARKET
VALUE*
BALANCED INDEX FUND SHARES (000)
- -----------------------------------------------------------------------------------
<S> <C> <C> <C>
- - CHS Electronics, Inc. 7,000 $ 119
Cracker Barrel Old Country
Stores, Inc. 5,100 119
Delta & Pine Land Co. 3,220 119
- - Gentex Corp. 5,952 119
Lyondell Chemical Co. 6,600 119
Nationwide Financial
Services, Inc. 2,300 119
- - PETsMART, Inc. 10,848 119
- - Action Performance Cos., Inc. 3,332 118
- - Corrections Corp. of America 6,700 118
- - International Home Foods, Inc. 7,000 118
- - Paymentech, Inc. 6,400 118
- - Safety-Kleen Corp. 8,350 118
- - ThermoQuest Corp. 9,100 118
United Illuminating Co. 2,300 118
- - Wall Data Inc. 4,904 118
WestAmerica Bancorporation 3,200 118
AAR Corp. 4,900 117
American Heritage Life
Investment Corp. 4,800 117
- - AmeriSource Health Corp. 1,800 117
Arvin Industries, Inc. 2,800 117
- - Bally Total Fitness Holding Corp. 4,700 117
- - Blyth Industries, Inc. 3,750 117
Bob Evans Farms, Inc. 4,500 117
- - Hollywood Entertainment Corp. 4,300 117
Kelly Services, Inc. Class A 3,700 117
Lee Enterprises, Inc. 3,700 117
MDU Resources Group, Inc. 4,450 117
- - Oryx Energy Co. 8,700 117
PS Business Parks, Inc. REIT 4,900 117
- - Teletech Holdings Inc. 11,400 117
- - America West Holdings
Corp. Class B 6,800 116
- - AmeriCredit Corp. 8,400 116
Cordant Technologies, Inc. 3,100 116
Landmark Bancshare, Inc. 4,900 116
Myers Industries, Inc. 4,060 116
- - Oakley, Inc. 12,200 116
Olin Corp. 4,100 116
Peoples Energy Corp. 2,900 116
Shurgard Storage Centers, Inc.
Class A REIT 4,500 116
- - World Access, Inc. 5,420 116
Worthington Industries, Inc. 9,250 116
- - Alliant Techsystems, Inc. 1,400 115
Briggs & Stratton Corp. 2,300 115
Church & Dwight, Inc. 3,200 115
- - W.R. Grace & Co. 7,300 115
Lancaster Colony Corp. 3,582 115
- - PEC Israel Economic Corp. 4,000 115
- - Transaction Systems
Architects, Inc. 2,300 115
- - Adelphia Communications
Corp. Class A 2,500 114
E.W. Blanch Holdings, Inc. 2,400 114
Caraustar Industries, Inc. 4,000 114
Hancock Holding Co. 2,500 114
- - PRI Automation, Inc. 4,400 114
Washington Gas Light Corp. 4,200 114
- - ADVO, Inc. 4,300 113
- - Anchor Gaming 2,000 113
Federal Realty Investment
Trust REIT 4,800 113
Franchise Finance Corp.
of America REIT 4,700 113
NAC Re Corp. 2,400 113
- - Nabors Industries, Inc. 8,300 113
Northwest Bancorp, Inc. 11,600 113
- - Rainbow Technologies, Inc. 6,000 113
- - Smith International, Inc. 4,500 113
Unifi, Inc. 5,800 113
- - Wind River Systems 2,400 113
Banta Corp. 4,100 112
- - Capstar Broadcasting Corp. 4,900 112
- - Detroit Diesel Corp. 5,400 112
- - Egghead.com, Inc. 5,400 112
Ethan Allen Interiors, Inc. 2,740 112
First Commerce Bancshares Inc.
Class B 4,000 112
- - Foundation Health Systems
Class A 9,340 112
IDACORP, Inc. 3,100 112
- - IMRglobal Corp. 3,800 112
- - Ingram Micro, Inc. 3,200 112
Kimball International, Inc. Class B 5,900 112
- - Primus Telecommunications
Group, Inc. 6,800 112
- - Wackenhut Corrections Corp. 3,900 112
Bowne & Co., Inc. 6,200 111
CBL & Associates Properties, Inc.
REIT 4,300 111
- - Diamond Technology Partners Inc. 5,781 111
- - Safeskin Corp. 4,600 111
- - Speedway Motorsports, Inc. 3,900 111
Taubman Co. REIT 8,100 111
- - Vanguard Cellular Systems, Inc.
Class A 4,300 111
Arnold Industries, Inc. 6,800 110
BancorpSouth, Inc. 6,100 110
- - Champion Enterprises, Inc. 4,000 110
Community First Bankshares 5,200 110
- - Men's Wearhouse, Inc. 3,450 110
Sierra Pacific Resources 2,900 110
- - Western Digital Corp. 7,300 110
Westfield America, Inc. REIT 6,400 110
Devon Energy Corp. 3,567 109
Eastern Enterprises 2,500 109
- - General Nutrition Cos., Inc. 6,700 109
R.L.I. Corp. 3,281 109
- - United Stationers, Inc. 4,200 109
Brady Corp. Class A 4,000 108
Independence Community
Bank Corp. 6,800 108
John Nuveen Co. Class A 2,900 108
- - Lands' End, Inc. 4,000 108
The Macerich Co. REIT 4,200 108
Midas Inc. 3,483 108
Pittston Brink's Group 3,400 108
Student Loan Corp. 2,400 108
Tektronix, Inc. 3,600 108
- - DBT Online Inc. 4,300 107
Harsco Corp. 3,500 107
</TABLE>
22
<PAGE> 25
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------------------
<S> <C> <C> <C>
Interpool, Inc. 6,400 $ 107
- - Kent Electronics Corp. 8,400 107
Methode Electronics, Inc. Class A 6,849 107
- - RELTEC Corp. 4,800 107
Shared Medical Systems Corp. 2,137 107
AGL Resources Inc. 4,600 106
- - Agouron Pharmaceuticals, Inc. 1,800 106
Barnes Group, Inc. 3,600 106
- - Bethlehem Steel Corp. 12,639 106
DENTSPLY International Inc. 4,100 106
EG&G, Inc. 3,800 106
- - HMT Technology Corp. 8,300 106
- - International Specialty
Products, Inc. 7,800 106
Washington REIT 5,700 106
Bank North Group 2,800 105
- - Burr-Brown Corp. 4,500 105
Commerce Bancorp, Inc. 2,000 105
Commonwealth Energy Systems 2,600 105
Eastern Utilities Associates 3,700 105
Horace Mann Educators Corp. 3,700 105
- - Integrated Electrical Services, Inc. 4,700 105
- - Lason Holdings, Inc. 1,800 105
Millipore Corp. 3,700 105
- - Neiman Marcus Group Inc. 4,200 105
Ogden Corp. 4,200 105
Piedmont Natural Gas, Inc. 2,900 105
- - Shorewood Packaging Corp. 5,100 105
Universal Corp. 3,000 105
ASA Holdings Inc. 3,400 104
- - Commonwealth Telephone
Enterprises, Inc. 3,100 104
- - Consolidated Cigar Holdings Inc. 5,900 104
- - Journal Register Co. 6,900 104
- - Organogenesis, Inc. 9,276 104
- - PathoGenesis Corp. 1,800 104
- - Safeguard Scientifics, Inc. 3,806 104
The Timken Co. 5,500 104
- - CDnow, Inc. 5,700 103
- - CEC Entertainment Inc. 3,700 103
Energen Corp. 5,300 103
- - IDEC Pharmaceuticals Corp. 2,200 103
Investors Financial Services Corp. 1,733 103
JSB Financial 1,900 103
- - ParkerVision, Inc. 4,400 103
Potlatch Corp. 2,800 103
Tecumseh Products Co. Class A 2,200 103
- - Verio Inc. 4,600 103
WD-40 Co. 3,600 103
Weingarten Realty Investors REIT 2,300 103
- - HA-LO Industries, Inc. 2,700 102
- - Haemonetics Corp. 4,500 102
La-Z-Boy Inc. 5,700 102
- - NEXTLINK Communications, Inc. 3,600 102
Precision Castparts Corp. 2,300 102
Republic Security Financial Corp. 8,388 102
TNP Enterprises, Inc. 2,700 102
Tidewater Inc. 4,400 102
Value Line, Inc. 2,600 102
Chemed Corp. 3,000 101
- - Closure Medical Corp. 3,400 101
- - Coltec Inc. 5,200 101
- - HNC Software, Inc. 2,500 101
HSB Group Inc. 2,450 101
Health Care Properties Investors 3,300 101
Liberty Financial Cos., Inc. 3,750 101
MAF Bancorp, Inc. 3,825 101
Puerto Rican Cement Co., Inc. 2,900 101
- - Sapient Corp. 1,800 101
Whitney Holdings 2,705 101
- - Winstar Communications, Inc. 2,600 101
- - Alleghany Corp. 534 100
Carey Diversified LLC 5,100 100
- - Cygnus Inc. 20,488 100
- - Esterline Technologies Corp. 4,600 100
- - IDEXX Laboratories Corp. 3,700 100
- - Sbarro, Inc. 3,800 100
- - WetSeal, Inc. Class A 3,300 100
- - Amkor Technology, Inc. 9,200 99
Chemical Finance 2,907 99
- - Dollar Thrifty Automotive
Group, Inc. 7,700 99
Hospitality Properties Trust REIT 4,100 99
OM Group, Inc. 2,700 99
Ruddick Corp. 4,300 99
- - Ryan's Family Steak Houses, Inc. 8,000 99
- - SCM Microsystems,Inc. 1,400 99
- - Sunrise Assisted Living, Inc. 1,900 99
Analogic Corp. 2,600 98
Coca-Cola Bottling Co. 1,700 98
General Growth Properties
Inc. REIT 2,600 98
Hollinger International, Inc. 7,000 98
- - ICOS Corp. 3,300 98
- - Mastec Inc. 4,650 98
- - Pairgain Technologies, Inc. 12,800 98
- - Personnel Group of America, Inc. 5,600 98
- - Read Rite Corp. 6,600 98
- - Symantec Corp. 4,500 98
- - Artesyn Technologies, Inc. 6,900 97
Burlington Coat Factory
Warehouse Corp. 5,940 97
- - Cambridge Technology Partners 4,400 97
- - Fairfield Communities, Inc. 8,800 97
Federal Signal Corp. 3,533 97
- - Hyperion Solutions Corp. 5,379 97
McGrath RentCorp 4,400 97
- - Oxford Health Plan 6,500 97
Rochester Gas and Electric Corp. 3,100 97
Southwest Gas Corp. 3,600 97
- - Spiegel, Inc. Class A 16,800 97
Susquehanna Bancshares, Inc. 4,725 97
True North Communications 3,600 97
- - Whittman-Hart, Inc. 3,500 97
John Wiley & Sons Class A 2,000 97
- - Affiliated Managers Group, Inc. 3,200 96
Anchor Bancorp Wisconsin Inc. 4,000 96
Camden Property Trust REIT 3,700 96
Colonial BancGroup, Inc. 8,041 96
- - Human Genome Sciences, Inc. 2,700 96
ONEOK, Inc. 2,658 96
Oshkosh Truck Corp. 2,900 96
- - UICI 3,900 96
- - American Freightways 8,196 95
</TABLE>
23
<PAGE> 26
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------
MARKET
VALUE*
BALANCED INDEX FUND SHARES (000)
- -----------------------------------------------------------------------------------
<S> <C> <C> <C>
- - Andrea Radio Corp. 9,600 $ 95
Foremost Corp. of America 4,500 95
Great Atlantic & Pacific
Tea Co., Inc. 3,200 95
- - Healthdyne Information
Enterprises, Inc. 18,600 95
Jack Henry & Associates 1,900 95
N L Industries, Inc. 6,700 95
Newport News Shipbuilding Inc. 2,840 95
OEA, Inc. 8,000 95
- - Renters Choice, Inc. 3,000 95
- - Scios, Inc. 9,200 95
Wallace Computer Services, Inc. 3,600 95
Alliance Bancorp Inc. 4,825 94
Bank United Corp. Class A 2,400 94
CCA Prison Realty Trust REIT 4,600 94
- - California Culinary Academy Inc. 11,100 94
- - Coach USA, Inc. 2,700 94
- - Curative Health Services Inc. 2,800 94
- - Data General Corp. 5,700 94
- - Handleman Co. 6,700 94
- - Hyperion Telecommunications,
Inc. Class A 6,200 94
IKON Office Solutions, Inc. 11,000 94
Juno Lighting, Inc. 4,000 94
- - Louis Dreyfus Natural Gas Corp. 6,572 94
National Presto Industries, Inc. 2,200 94
- - Spelling Entertainment 12,500 94
- - UniCapital Corp. 12,800 94
- - Armco, Inc. 21,200 93
- - Bristol Hotels & Resorts, Inc. 15,225 93
- - Earthshell Corp. 7,800 93
- - Envoy Corp. 1,600 93
Equitable Resources, Inc. 3,200 93
Gaylord Entertainment Co. Class A 3,083 93
- - INSO Corp. 3,700 93
- - Ionics, Inc. 3,100 93
Koger Equity, Inc. REIT 5,400 93
MeriStar Hospitality Corp. 5,020 93
Penton Media, Inc. Class A 4,600 93
- - The SABRE Group Holdings, Inc. 2,100 93
- - SkyTel Communications, Inc. 4,200 93
Capital Re Corp. 4,600 92
Hussman International, Inc. 4,750 92
- - IHOP Corp. 2,300 92
- - Identix, Inc. 11,100 92
Modine Manufacturing Co. 2,538 92
Orion Capital Corp. 2,300 92
Philadelphia Suburban Corp. 3,100 92
- - Young Broadcasting Inc. 2,200 92
Alberto-Culver Co. Class B 3,400 91
- - Aphton Corp. 7,100 91
- - Aviall Inc. 7,775 91
- - BJ Services Co. 5,826 91
- - Charming Shoppes, Inc. 21,100 91
- - CheckFree Holdings Corp. 3,900 91
City Holding Co. 2,795 91
- - FLIR Systems, Inc. 3,900 91
NACCO Industries, Inc. Class A 991 91
- - Quorum Health Group, Inc. 7,000 91
Russell Corp. 4,500 91
Seacoast Banking Corp. of
Florida Class A 3,200 91
SIG Corp. 2,550 91
- - Uniroyal Technology Corp. 9,000 91
WPS Resources Corp. 2,579 91
Wausau-Mosinee Paper Corp. 5,126 91
Webster Financial Corp. 3,300 91
- - World Color Press, Inc. 3,000 91
BRE Properties Inc. Class A REIT 3,656 90
Flowserve Corp. 5,440 90
- - GTech Holdings Corp. 3,500 90
Minerals Technologies, Inc. 2,200 90
- - Pilgrim America Capital Corp. 3,600 90
- - Sanchez Computer Associates, Inc. 3,081 90
- - SpaceLabs Medical, Inc. 3,900 90
United Dominion Realty Trust REIT 8,700 90
- - Zale Corp. 2,800 90
- - ArthroCare Corp. 4,100 89
- - Beringer Wine Estates
Holdings, Inc. 2,000 89
Bindly Western Industries, Inc. 1,800 89
- - Circus Circus Enterprises Inc. 7,800 89
- - Eastern Environmental
Services, Inc. 3,000 89
- - Newpark Resources, Inc. 13,000 89
- - Saga Communications, Inc. 4,335 89
- - Silicon Valley Bancshares 5,200 89
- - Value City Department Stores, Inc. 6,400 89
- - Xylan Corp. 4,900 89
Air Express International Corp. 4,050 88
Alexander & Baldwin, Inc. 3,800 88
Brandywine Realty Trust REIT 4,900 88
Dexter Corp. 2,800 88
Heller Financial, Inc. 3,000 88
- - L-3 Communications Holdings, Inc. 1,900 88
Parkway Properties Inc. REIT 2,800 88
- - Pharmaceutical Markets 6,100 88
- - Spyglass, Inc. 4,000 88
Albemarle Corp. 3,670 87
Diagnostic Products Corp. 2,800 87
Donaldson Co., Inc. 4,200 87
- - Emmis Communications, Inc. 2,000 87
- - Hanover Compressor Co. 3,400 87
- - hi/fn, inc. 3,667 87
- - IXC Communications, Inc. 2,600 87
Nordson Corp. 1,700 87
- - Sequa Corp. Class A 1,456 87
- - Structural Dynamics
Research Corp. 4,400 87
Thor Industries, Inc. 3,400 87
- - Trammell Crow Co. 3,100 87
United Bankshares, Inc. 3,300 87
- - United Natural Foods, Inc. 3,600 87
Washington Water Power Co. 4,500 87
- - Aztar Corp. 16,900 86
- - Big Flower Holdings, Inc. 3,900 86
- - Fairchild Corp. 5,441 86
First Industrial Realty Trust REIT 3,200 86
- - First Health Group Corp. 5,200 86
- - Interim Services, Inc. 3,700 86
- - Knoll, Inc. 2,900 86
- - Mapics Inc. 5,200 86
- - Mid Atlantic Medical Services, Inc. 8,800 86
- - Midway Games Inc. 7,774 86
Morrison Health Care Inc. 4,516 86
</TABLE>
24
<PAGE> 27
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------------------
<S> <C> <C> <C>
Pittway Corp. Class A 2,600 $ 86
Prime Retail, Inc. REIT 8,800 86
Resource Bancshares
Mortgage Group, Inc. 5,200 86
Riggs National Corp. 4,200 86
Superior Uniform Group, Inc. 5,900 86
Ballard Medical Products 3,500 85
- - Barra, Inc. 3,600 85
- - Cort Business Services Corp. 3,500 85
Developers Diversified Realty
Corp. REIT 4,800 85
- - Gardner Denver Inc. 5,796 85
Home Properties of New York,
Inc. REIT 3,300 85
Mine Safety Appliances Co. 1,200 85
- - Mueller Industries Inc. 4,200 85
- - Pacific Sunwear of California 5,200 85
- - Paging Network, Inc. 18,100 85
Raymond James Financial, Inc. 4,000 85
Timberline Software Corp. 6,194 85
- - Tower Automotive, Inc. 3,400 85
- - UNOVA, Inc. 4,700 85
The Ackerley Group, Inc. 4,600 84
Bandag, Inc. 2,100 84
Cabot Industrial Trust 4,100 84
Enhance Financial Services
Group, Inc. 2,800 84
- - GeoCities 2,500 84
- - Hambrecht & Quist Group 3,700 84
- - Integrated Systems, Inc. 5,600 84
Lilly Industries Inc. Class A 4,200 84
Mentor Corp. 3,604 84
Otter Tail Power Co. 2,098 84
Peoples Holding Co. 2,600 84
- - Playboy Enterprises Inc. Class B 4,000 84
- - Polo Ralph Lauren Corp. 4,400 84
- - Project Software &
Development, Inc. 2,500 84
Somerset Group, Inc. 5,156 84
- - Sunglass Hut International, Inc. 12,000 84
- - Tel-Save.com, Inc. 5,000 84
United Dominion Industries Ltd. 4,100 84
American Health Properties, Inc. 4,000 83
- - BA Merchant Services, Inc.
Class A 4,100 83
- - Chirex, Inc. 3,900 83
- - Chromcraft Revington, Inc. 5,000 83
- - Concentric Network Corp. 2,500 83
Harmon Industries, Inc. 3,600 83
LTC Properties, Inc. 5,000 83
- - Littelfuse, Inc. 4,300 83
- - MMC Networks, Inc. 6,300 83
- - On Assignment, Inc. 2,400 83
Prentiss Properties Trust REIT 3,700 83
- - Qualix Group, Inc. 9,100 83
- - Quickturn Design Systems, Inc. 5,800 83
- - Rexall Sundown, Inc. 5,900 83
Standard Pacific Corp. 5,900 83
- - Triarc Cos., Inc. Class A 5,200 83
Western Investment Real
Estate Trust REIT 7,000 83
Aliant Communications, Inc. 2,000 82
- - Applied Micro Circuits Corp. 2,400 82
Cleco Corp. 2,400 82
Dallas Semiconductor Corp. 2,000 82
Dreyer's Grand Ice Cream, Inc. 5,400 82
- - Fruit of the Loom, Inc. 5,960 82
- - NFO Worldwide, Inc. 7,095 82
The Pep Boys (Manny,
Moe & Jack) 5,200 82
Centex Construction Products,Inc. 2,000 81
Citizens Banking Corp. 2,400 81
Coachmen Industries, Inc. 3,104 81
- - Engineering Animation, Inc. 1,500 81
Executive Risk, Inc. 1,467 81
Exide Corp. 5,000 81
- - Financial Industries Corp. 5,000 81
Hilb, Rogal and Hamilton Co. 4,100 81
- - Mail-Well, Inc. 7,100 81
- - Philadelphia Consolidated
Holding Corp. 3,600 81
Reliance Bancorp, Inc. 2,900 81
- - TriQuint Semiconductor, Inc. 4,200 81
The Trust Co. of New Jersey 3,300 81
- - ADAC Laboratories 4,000 80
- - Aqua Alliance Inc. 38,800 80
- - Delphi Financial Group, Inc. 1,530 80
- - GC Cos. 1,930 80
- - Golden State Bancorp Inc. 4,800 80
Harveys Casino Resorts 2,900 80
- - Hovnanian Enterprises Class A 9,300 80
- - McMoRan Exploration Co. 5,897 80
Nationwide Health Properties, Inc. 3,700 80
- - Ocular Sciences, Inc. 3,000 80
OmniQuip International, Inc. 5,300 80
Patriot American Hospitality,
Inc. REIT 13,348 80
- - Platinum Software Co. 6,274 80
- - Romac International, Inc. 3,600 80
- - Sinclair Broadcast Group, Inc. 4,100 80
Standard Motor Products, Inc. 3,300 80
CFW Communications Co. 3,400 79
CMP Group Inc. 4,200 79
Chateau Communities, Inc. REIT 2,700 79
Claire's Stores, Inc. 3,850 79
- - Credit Acceptance Corp. 10,800 79
Eaton Vance Corp. 3,800 79
Fair Issac & Co. 1,700 79
Greif Brothers Corp. Class A 2,700 79
Hughes Supply, Inc. 2,700 79
Indiana Energy, Inc. 3,200 79
Justin Industries, Inc. 6,000 79
- - Metamor Worldwide, Inc. 3,150 79
- - Micrografx, Inc. 7,200 79
- - National-Oilwell, Inc. 7,100 79
New Jersey Resources Corp. 2,000 79
- - Papa John's International, Inc. 1,800 79
Pioneer Group, Inc. 4,000 79
- - Triad Guaranty, Inc. 3,600 79
- - Tuboscope Inc. 9,700 79
Wicor, Inc. 3,600 79
- - Allied Holdings, Inc. 5,400 78
- - Amerco, Inc. 2,800 78
- - BOK Financial Corp. 1,648 78
</TABLE>
25
<PAGE> 28
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------
MARKET
VALUE*
BALANCED INDEX FUND SHARES (000)
- -----------------------------------------------------------------------------------
<S> <C> <C> <C>
Battle Mountain Gold Co. Class A 19,000 $ 78
- - Ben & Jerry's Homemade, Inc.
Class A 3,500 78
C.H. Robinson Worldwide, Inc. 3,000 78
Clarcor Inc. 3,900 78
Flagstar Bancorp, Inc. 3,000 78
Foamex International, Inc. 6,300 78
- - Global Vacation Group, Inc. 9,000 78
Helmerich & Payne, Inc. 4,000 78
Kellwood Co. 3,100 78
- - Palm Harbor Homes, Inc. 3,100 78
Public Service Co. of New Mexico 3,800 78
Westinghouse Air Brake Co. 3,200 78
- - Zebra Technologies Class A 2,700 78
- - Abacus Direct Corp. 1,700 77
CPI Corp. 2,900 77
- - Clarus Corp. 12,900 77
Corn Products International, Inc. 2,550 77
Cyprus Amax Minerals Co. 7,719 77
- - First Federal Financial Corp. 4,332 77
- - GelTex Pharmaceuticals, Inc. 3,400 77
- - IDT Corp. 5,000 77
- - Landstar System 1,900 77
- - MemberWorks, Inc. 2,600 77
- - Sequent Computer Systems, Inc. 6,400 77
Tupperware Corp. 4,700 77
Tyler Corp. 12,500 77
- - U.S. Can Corp. 4,291 77
- - Verity, Inc. 2,900 77
- - Viacom Inc. Class A 1,040 77
- - Visio Corp. 2,100 77
- - AXENT Technologies, Inc. 2,480 76
- - BEA Systems, Inc. 6,200 76
Curtiss-Wright Corp. 2,000 76
- - General Semiconductor, Inc. 9,300 76
- - Johnstown America Industries 5,800 76
- - RWD Technologies, Inc. 3,500 76
- - Swift Transportation Co., Inc. 2,700 76
- - 3Dfx Interactive, Inc. 6,000 76
- - The Topps Co., Inc. 15,200 76
Varian Associates, Inc. 2,000 76
- - J. Ray McDermott SA 3,100 76
CPB, Inc. 4,300 75
Chelsea GCA Realty, Inc. REIT 2,100 75
Chicago Title Corp. 1,602 75
- - ESSEF Corp. 3,872 75
- - Footstar Inc. 2,984 75
- - New Mexico & Arizona Land Co. 5,185 75
Sovran Self Storage, Inc. REIT 3,000 75
Standard Products Co. 3,700 75
Storage Trust Realty REIT 3,200 75
Texas Industries, Inc. 2,800 75
Witco Chemical Corp. 4,700 75
- - Agribrands International, Inc. 2,481 74
Alpharma, Inc. Class A 2,100 74
American Annuity Group Inc. 3,200 74
- - American Bank Note
Holographics, Inc. 4,200 74
Aquarion Co. 1,800 74
Forest City Enterprise Class A 2,800 74
Geon Co. 3,200 74
Pinnacle Bancorp Group Inc. 2,600 74
The Toro Co. 2,600 74
Aptargroup Inc. 2,600 73
- - Coleman Inc. 7,968 73
- - DVI, Inc. 4,000 73
FBL Financial Group, Inc. Class A 3,000 73
First Sentinel Bancorp, Inc. 9,000 73
- - Hayes Lemmerz International, Inc. 2,420 73
IRT Property Co. REIT 7,300 73
- - Interdigital Communications Corp. 16,100 73
Litchfield Financial Corp. 3,831 73
PennzEnergy Co. 4,500 73
Reckson Associates Realty
Corp. REIT 3,300 73
Watkins-Johnson Co. 3,600 73
- - Advantage Learning Systems, Inc. 1,100 72
ASARCO, Inc. 4,800 72
- - Brylane, Inc. 3,100 72
- - Buffets Inc. 6,000 72
- - Cellstar Corp. 10,500 72
Churchill Downs, Inc. 2,200 72
Correctional Properties Trust REIT 4,000 72
- - Cypress Semiconductor Corp. 8,700 72
H.B. Fuller Co. 1,500 72
- - HF Bancorp, Inc. 4,300 72
Harman International
Industries, Inc. 1,900 72
- - Intermedia Communications Inc. 4,200 72
- - ISIS Pharmaceuticals, Inc. 5,600 72
Kennametal, Inc. 3,400 72
LNR Property Corp. 3,600 72
- - MICROS Systems, Inc. 2,200 72
- - National Instruments Corp. 2,100 72
- - Nine West Group, Inc. 4,600 72
Omega Healthcare Investors,
Inc. REIT 2,400 72
- - Pacific Gateway Exchange, Inc. 1,500 72
- - Photronics Labs Inc. 3,000 72
Pioneer Natural Resources Co. 8,200 72
Pogo Producing Co. 5,500 72
- - U.S. Satellite Broadcasting Co., Inc.
Class A 5,200 72
- - Wisconsin Central
Transportation Corp. 4,200 72
Alberto-Culver Co. Class A 2,800 71
- - Alpine Group, Inc. 4,700 71
- - Anixter International Inc. 3,500 71
Bradley Real Estate, Inc.
8.40% Cvt. Pfd. 3,024 71
CTG Resources Inc. 2,720 71
- - Columbia Sportswear Co. 4,200 71
- - Cytec Industries, Inc. 3,342 71
- - Eagle USA Airfreight, Inc. 2,900 71
- - Echelon International Corp., Inc. 3,180 71
- - EntreMed, Inc. 3,400 71
- - Hartmarx Corp. 12,600 71
- - Heartland Express, Inc. 4,058 71
- - ImClone Systems, Inc. 7,800 71
JP Realty Inc. REIT 3,600 71
Madison Gas & Electric Co. 3,100 71
Norrell Corp. 4,800 71
Roslyn Bancorp, Inc. 3,300 71
- - Stoneridge,Inc. 3,100 71
</TABLE>
26
<PAGE> 29
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------------------
<S> <C> <C> <C>
Unisource Worldwide, Inc. 9,750 $ 71
- - Unit Corp. 16,900 71
- - Venator Group, Inc. 11,100 71
- - Advance Paradigm, Inc. 2,000 70
Aeroquip-Vickers Inc. 2,341 70
Essex Property Trust, Inc. REIT 2,366 70
First Financial Holdings, Inc. 3,700 70
- - Gaylord Container Corp. 11,500 70
John H. Harland Co. 4,400 70
IDEX Corp. 2,850 70
- - Layne Christensen Co. 9,500 70
- - MSC Industrial Direct Co., Inc.
Class A 3,100 70
Omega Financial Corp. 2,300 70
- - Powerhouse Technologies, Inc. 4,800 70
- - Reebok International Ltd. 4,695 70
Texas Regional Bancshares, Inc. 2,800 70
- - U.S. Home Corp. 2,100 70
Weeks Corp. REIT 2,500 70
Wolverine World Wide, Inc. 5,250 70
Aames Financial Corp. 21,600 69
Argonaut Group, Inc. 2,800 69
- - Artra Group Inc. 16,500 69
- - Coldwater Creek Inc. 5,000 69
- - DSP Group Inc. 3,300 69
J.B. Hunt Transport Services, Inc. 3,000 69
- - Nortek, Inc. 2,500 69
- - PJ America Inc. 3,800 69
- - Quest Diagnostics, Inc. 3,862 69
Town & Country Trust REIT 4,300 69
- - Ventana Medical Systems, Inc. 3,200 69
- - Vishay Intertechnology, Inc. 4,746 69
- - Adtran, Inc. 3,700 68
- - Affymetrix, Inc. 2,800 68
Atmos Energy Corp. 2,100 68
Carpenter Technology Corp. 2,000 68
Franklin Electric, Inc. 1,000 68
- - Friede Goldman International, Inc. 6,000 68
General Binding Corp. 1,828 68
- - ICG Communications, Inc. 3,180 68
Imperial Credit Commercial
Mortgage Investment Corp. REIT 7,300 68
- - LaSalle Partners Inc. 2,300 68
- - Logan's Roadhouse, Inc. 2,900 68
Pioneer Standard Electronics Inc. 7,200 68
Quaker Chemical Corp. 3,800 68
Republic Banking Corp. of Florida 6,400 68
- - Rowan Cos., Inc. 6,800 68
The Standard Register Co. 2,200 68
- - Veritas DGC Inc. 5,200 68
- - Advanced Polymer Systems 12,500 67
AREA Bancshares Corp. 2,557 67
- - Aspect Telecommunications Corp. 3,900 67
- - Barrett Resources Corp. 2,800 67
- - BE Avionics Inc. 3,200 67
- - The Dress Barn, Inc. 4,400 67
Expeditors International
of Washington, Inc. 1,600 67
- - Level 8 Systems Inc. 6,900 67
MascoTech Inc. 3,900 67
- - Object Design, Inc. 10,100 67
- - Park-Ohio Holdings Corp. 4,400 67
- - Pennzoil-Quaker State Co. 4,500 67
Pitt Des Moines, Inc. 2,800 67
The Stride Rite Corp. 7,700 67
Trinet Corporate Realty Trust,
Inc. REIT 2,500 67
Bryn Mawr Bank Corp. 2,400 66
Downey Financial Corp. 2,600 66
- - Forest Oil Corp. 7,800 66
HEICO Corp. 2,100 66
HEICO Corp. Class A 2,850 66
Home Bancorp 2,300 66
- - Impath, Inc. 2,500 66
National Steel Corp. Class B 9,200 66
- - Neurogen Corp. 3,780 66
- - PFF Bancorp, Inc. 4,100 66
- - Stone Energy Corp. 2,300 66
- - Syntel, Inc. 5,850 66
- - Century Business Services, Inc. 4,500 65
HCC Insurance Holdings, Inc. 3,700 65
- - InterVU Inc. 5,100 65
JDN Realty Corp. REIT 3,000 65
Kansas City Life Insurance Co. 800 65
- - LAM Research Corp. 3,660 65
- - Mortons Restaurant Group 3,456 65
- - SteriGenics International, Inc. 2,500 65
Storage USA, Inc. REIT 2,000 65
- - Tractor Supply Co. 2,700 65
- - Vencor, Inc. 14,500 65
- - Fresh Del Monte Produce Inc. 3,000 65
- - American Media Class A 11,500 64
Giant Industries, Inc. 6,800 64
- - Host Marriott Services Corp. 6,120 64
- - Imation Corp. 3,640 64
- - International Rectifier Corp. 6,600 64
Irvine Apartment Communities,
Inc. REIT 2,000 64
Kilroy Realty Corp. REIT 2,800 64
Longview Fibre Co. 5,500 64
Milacron Inc. 3,300 64
Thomas Nelson, Inc. 4,750 64
- - PanAmSat Corp. 1,643 64
- - RCN Corp. 3,600 64
- - Ralcorp Holdings, Inc. 3,533 64
- - Rare Hospitality International Inc. 4,600 64
- - Rio Hotel and Casino, Inc. 4,000 64
- - Summit Technology, Inc. 14,600 64
- - Thermo Cardiosystems Inc. 6,100 64
UGI Corp. Holding Co. 2,700 64
- - Burlington Industries, Inc. 5,703 63
Calgon Carbon Corp. 8,400 63
Chesapeake Corp. of Virginia 1,700 63
- - Collins & Aikman Corp. 12,200 63
Colonial Gas Co. 1,800 63
- - Correctional Services Corp. 5,100 63
First Coastal Bankshares, Inc. 2,700 63
- - Garden Fresh Restaurant Corp. 4,400 63
- - Genesis Direct, Inc. 8,100 63
- - Global Industrial Technologies, Inc. 5,900 63
Industrial Scientific Corp. 2,700 63
- - NeXstar Pharmaceuticals Inc. 6,812 63
Northwest Natural Gas Co. 2,450 63
- - Rogers Corp. 2,100 63
</TABLE>
27
<PAGE> 30
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------
MARKET
VALUE*
BALANCED INDEX FUND SHARES (000)
- -----------------------------------------------------------------------------------
<S> <C> <C> <C>
Rollins, Inc. 3,600 $ 63
Simmons First National 1,700 63
- - STAR Telecommunications, Inc. 5,200 63
- - Strattec Security Corp. 2,100 63
- - Syncor International Corp. 2,300 63
- - Acuson Corp. 4,200 62
- - Andrx Corp. 1,200 62
- - C-Cube Microsystems, Inc. 2,300 62
- - Dave & Busters, Inc. 2,677 62
- - Deltek Systems, Inc. 3,700 62
- - Highlands Insurance Group 4,730 62
Lawter International Inc. 5,300 62
Oakwood Homes Corp. 4,100 62
Park National Corp. 600 62
Polaroid Corp. 3,300 62
- - Thermo Fibertek, Inc. 8,750 62
- - VideoServer, Inc. 3,400 62
- - Zoll Medical Corp. 7,000 62
- - Ace Cash Express, Inc. 4,050 61
- - Advanced Fibre
Communications, Inc. 5,600 61
- - American Oncology
Resources, Inc. 4,200 61
- - Avant! Corp. 3,800 61
W.R. Berkley Corp. 1,800 61
- - Berlitz International, Inc. 2,101 61
Connecticut Water Services, Inc. 2,250 61
Crawford & Co. Class B 3,950 61
- - Daisytek International Corp. 3,200 61
- - FileNet Corp. 5,300 61
- - Fritz Cos., Inc. 5,600 61
IndyMac Mortgage Holdings, Inc. 5,800 61
Intercargo Corp. 5,400 61
- - Marshall Industries 2,500 61
- - Newfield Exploration Co. 2,900 61
- - Perrigo Co. 6,900 61
- - Proxymed Pharmacy, Inc. 5,400 61
- - UCAR International, Inc. 3,400 61
UMB Financial Corp. 1,323 61
- - Walter Industries, Inc. 4,000 61
- - Administaff, Inc. 2,400 60
Angelica Corp. 3,200 60
- - Baldwin Technology, Inc. Class A 10,700 60
Blair Corp. 2,700 60
EZCORP, Inc. 7,200 60
- - Florida Panthers Holdings, Inc. 6,400 60
- - Lattice Semiconductor Corp. 1,300 60
NCH Corp. 1,000 60
- - Ocean Energy, Inc. 9,438 60
- - SFX Entertainment, Inc. 1,100 60
- - Scientific Games Holdings Corp. 3,200 60
- - Station Casinos, Inc. 7,300 60
- - Sunrise Medical, Inc. 4,800 60
- - Vicorp Restaurants, Inc. 3,900 60
- - WHX Corp. 6,000 60
Baldor Electric Co. 2,900 59
- - Bangor Hydro-Electric Co. 4,600 59
Belden, Inc. 2,800 59
- - Boise Cascade Office
Products Corp. 4,400 59
Cabot Oil & Gas Corp. Class A 3,900 59
- - ChoicePoint Inc. 920 59
Crown American Realty Trust REIT 7,600 59
- - Davox Corp. 7,750 59
- - Evergreen Resources, Inc. 3,300 59
Fingerhut Co. 3,800 59
- - Fuisz Technologies Ltd. 4,600 59
- - Information Resources, Inc. 5,806 59
- - MeriStar Hotels & Resorts, Inc. 22,600 59
National Health Investors REIT 2,400 59
- - Oceaneering International, Inc. 3,910 59
- - Omnipoint Corp. 6,300 59
- - Physician Reliance Network, Inc. 4,500 59
- - Ventas, Inc. 4,800 59
- - Beverly Enterprises, Inc. 8,600 58
- - Cal Dive International, Inc. 2,800 58
Harbor Florida Bancshares, Inc. 5,200 58
- - Hollywood Park, Inc. 7,000 58
- - Integrated Device Technology Inc. 9,400 58
Invacare Corp. 2,400 58
- - MGM Grand, Inc. 2,144 58
Sterling Bancshares, Inc. 3,900 58
- - Unilab Corp. 24,500 58
- - Vanstar Corp. 6,300 58
Worthington Foods 3,066 58
- - Diamond Multimedia Systems, Inc. 8,900 57
Enterprise Products Partners L.P. 3,800 57
Fidelity National Financial, Inc. 1,870 57
Flushing Financial Corp. 3,600 57
- - Fourth Shift Corp. 12,600 57
Harleysville National Corp. 1,470 57
- - Integrated Health Services, Inc. 4,000 57
Paul Mueller Co. 1,400 57
- - Santa Fe Energy Resources, Inc. 7,700 57
- - Vicor Corp. 6,300 57
Wellman, Inc. 5,600 57
- - Western Wireless Corp. Class A 2,600 57
- - Clayton Williams Energy, Inc. 5,700 57
Associated Estates Realty
Corp. REIT 4,700 56
BankAtlantic Bancorp, Inc. Class A 8,690 56
CB Bancshares Inc./Hawaii 1,800 56
Cascade Bancorp 3,200 56
- - Computer Horizons Corp. 2,100 56
- - Davel Communications, Inc. 3,057 56
- - ETEC Systems, Inc. 1,400 56
First Western Bancorp 1,750 56
Fund American Enterprise
Holding Co. 400 56
- - GT Interactive Software Corp. 11,100 56
General Cable Corp. 2,750 56
- - Hecla Mining Co. 15,500 56
- - Hexcel Corp. 6,700 56
- - Kaiser Aluminum &
Chemical Corp. 11,400 56
Katy Industries, Inc. 3,200 56
- - MEMC Electronic Materials, Inc. 6,600 56
Redwood Trust, Inc. 4,000 56
- - Right Management Consultants 3,800 56
- - TBC Corp. 7,800 56
Talbots Inc. 1,800 56
- - Allergan Specialty
Therapeutics, Inc. 5,890 55
- - CDI Corp. 2,700 55
</TABLE>
28
<PAGE> 31
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------------------
<S> <C> <C> <C>
Ferro Corp. 2,100 $ 55
- - Genesco, Inc. 9,750 55
Glimcher Realty Trust REIT 3,500 55
Jones Pharma, Inc. 1,500 55
Mark IV Industries, Inc. 4,242 55
- - Prime Hospitality Corp. 5,200 55
Realty Income Corp. REIT 2,200 55
A.O. Smith Corp. 2,250 55
- - Sykes Enterprises, Inc. 1,800 55
Wolohan Lumber Co. 4,222 55
- - Cognex Corp. 2,700 54
- - Consolidated Graphics, Inc. 800 54
Granite Construction Co. 1,600 54
Heilig-Meyers Co. 8,000 54
- - Inacom Corp. 3,600 54
MTS Systems Corp. 4,020 54
Queens County Bancorp, Inc. 1,800 54
- - Sawtek Inc. 3,100 54
TIG Holdings, Inc. 3,500 54
- - ThermoLase Corp. 11,800 54
Trenwick Group Inc. 1,650 54
United National Bancorp 2,332 54
Apartment Investment
Management Co. 1,441 53
- - Argosy Gaming Co. 19,900 53
CV REIT, Inc. 4,200 53
Callaway Golf Co. 5,200 53
Damen Financial Corp 3,200 53
Enesco Group, Inc. 2,300 53
Gables Residential Trust REIT 2,300 53
- - Genesis Health Ventures Inc. 6,100 53
HMN Financial, Inc. 4,500 53
- - HomeBase, Inc. 8,300 53
International Shipholding Corp. 3,375 53
- - Nuevo Energy Co. 4,600 53
Ocean Financial Corp. 3,200 53
- - Powertel Inc. 3,900 53
- - QRS Corp. 1,100 53
Semco Energy Inc. 3,221 53
Tab Products 9,100 53
- - Technisource, Inc. 5,400 53
- - Thermedics Detection Inc. 6,930 53
- - Valence Technology, Inc. 7,300 53
Vintage Petroleum, Inc. 6,200 53
Ameron International Corp. 1,400 52
- - Ampal-American Israel Corp. 12,000 52
- - Asyst Technologies, Inc. 2,556 52
- - COMFORCE Corp. 9,713 52
- - Data Transmission Network Corp. 1,800 52
F & M Bancorp 1,579 52
Fedders Corp. 9,000 52
- - Group Maintenance America Corp. 4,300 52
- - Jackpot Enterprises, Inc. 5,500 52
- - Jo-Ann Stores, Inc. Class A 3,200 52
Landauer, Inc. 1,600 52
- - Maxxam Inc. 900 52
- - Ocwen Financial Corp. 4,200 52
- - Ortel Corp. 5,900 52
- - Pacificare Health Systems Inc.
Class A 712 52
- - Plains Resources, Inc. 3,717 52
Presidential Life Corp. 2,600 52
- - Standard Microsystem Corp. 6,700 52
- - Strategic Distribution, Inc. 21,200 52
- - Sun Healthcare Group, Inc. 7,975 52
- - WFS Financial, Inc. 8,310 52
Wabash National Corp. 2,550 52
- - Airgas, Inc. 5,700 51
- - Barnett, Inc. 3,700 51
- - Cadiz Inc. 6,700 51
Cadmus Communications Corp. 2,700 51
- - Carmike Cinemas, Inc. Class A 2,511 51
- - Farm Family Holdings, Inc. 1,500 51
Fidelity Bancorp, Inc. 2,100 51
- - Foodmaker, Inc. 2,300 51
- - E. Gottschalk & Co., Inc. 6,700 51
LSI Industries Inc. 2,264 51
Luby's Cafeterias, Inc. 3,300 51
- - Lydall, Inc. 4,300 51
Prime Group Realty Trust REIT 3,400 51
- - SVI Holdings, Inc. 7,000 51
St. Francis Capital Corp. 1,200 51
- - URS Corp. 2,200 51
Wackenhut Corp. 2,008 51
Westcorp, Inc. 7,300 51
- - Acmat Corp. Class A 3,200 50
- - Advanced Lighting
Technologies, Inc. 5,100 50
Arrow Financial Corp. 1,905 50
Bank of the Ozarks, Inc. 2,200 50
- - Bell Industries, Inc. 4,400 50
Chiquita Brands International, Inc. 5,200 50
Commercial Metals Co. 1,800 50
- - Jenny Craig Inc. 8,300 50
- - Drexler Technology Corp. 4,200 50
Energy West Inc. 5,200 50
Erie Indemnity Co. Class A 1,600 50
- - Kaneb Services, Inc. 12,384 50
- - Kitty Hawk, Inc. 4,500 50
LandAmerica Financial Group, Inc. 900 50
- - M&F Worldwide Corp. 5,000 50
- - Mentor Graphics Corp. 5,900 50
- - Nashua Corp. 3,786 50
- - North American Vaccine, Inc. 5,639 50
PXRE Corp. 2,000 50
Pennsylvania Enterprises Inc. 1,966 50
RFS Hotel Investors, Inc. REIT 4,100 50
Springs Industries Inc. Class A 1,200 50
Block Drug Co. Class A 1,132 49
- - Breed Technological Inc. 6,000 49
- - Forte Software, Inc. 8,400 49
- - Genesys Telecommunications
Laboratories, Inc. 2,200 49
- - Global DirectMail Corp. 2,100 49
- - ITC DeltaCom, Inc. 3,200 49
- - Immune Response Corp. 4,500 49
Lincoln Electric Holdings 2,200 49
- - Microwave Power Devices, Inc. 4,700 49
- - Miller Industries, Inc. 10,900 49
Olsten Corp. 6,650 49
- - Open Market, Inc. 4,200 49
Ottawa Financial Corp. 2,310 49
Prime Bancorp Inc. 3,100 49
Sun Communities, Inc. REIT 1,400 49
</TABLE>
29
<PAGE> 32
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------
MARKET
VALUE*
BALANCED INDEX FUND SHARES (000)
- -----------------------------------------------------------------------------------
<S> <C> <C> <C>
Universal Health Realty
Income Trust 2,500 $ 49
- - West TeleServices Corp. 5,000 49
Western Bancorp 1,662 49
Zenith National Insurance Corp. 2,100 49
- - AirTran Holdings, Inc. 18,200 48
- - Carriage Services, Inc. 1,700 48
Fleming Cos., Inc. 4,600 48
G & K Services, Inc. 900 48
P.H. Glatfelter Co. 3,900 48
Guilford Mills, Inc. 2,900 48
- - Harken Energy Corp. 24,900 48
- - KEMET Corp. 4,300 48
- - Noodle Kidoodle Inc. 5,000 48
- - Offshore Logistics, Inc. 4,000 48
Overseas Shipholding Group Inc. 3,000 48
- - Oxigene, Inc. 4,500 48
- - Proxim, Inc. 1,800 48
- - SanDisk Corp. 3,400 48
- - Scholastic Corp. 900 48
- - Seven Seas Petroleum Inc. 7,200 48
- - SpectraLink Corp. 13,200 48
L. S. Starrett Co. Class A 1,400 48
- - Synetic, Inc. 1,100 48
- - Alydaar Software Corp. 5,700 47
- - American Eagle Outfitters, Inc. 700 47
AmerUs Life Holdings, Inc. 2,084 47
Arrow International, Inc. 1,500 47
- - Crown Castle International Corp. 2,000 47
- - Dura Pharmaceuticals, Inc. 3,100 47
- - Go Video, Inc. 15,500 47
- - Il Fornaio (America) Corp. 6,400 47
- - Imperial Credit Industries Inc. 5,600 47
- - International Telecommunication
Data Systems, Inc. 3,200 47
JLG Industries, Inc. 3,000 47
- - Kensey Nash Corp. 5,800 47
- - Maverick Tube Corp. 8,400 47
- - Medical Manager Corp. 1,500 47
Pittston BAX Group 4,250 47
- - Southland Corp. 24,800 47
- - Staff Leasing,Inc. 4,000 47
- - Advanced Communication
Systems, Inc. 3,700 46
- - Basin Exploration Inc. 3,700 46
Century Bancorp, Inc. Class A 2,500 46
- - Corporate Express, Inc. 8,950 46
Foster Wheeler Corp. 3,500 46
Imperial Holly Corp. 5,664 46
- - NBTY, Inc. 6,500 46
- - Old Dominion Freight Line, Inc. 4,000 46
Standard Commercial Tobacco Co. 5,363 46
- - Thermedics, Inc. 4,300 46
United Mobile Homes, Inc. 4,300 46
- - Acceptance Insurance Cos. Inc. 2,200 45
- - Alliance Semiconductor Corp. 11,100 45
Boddie-Noell Properties Inc. 4,300 45
- - Datastream Systems, Inc. 3,900 45
First Union Real Estate REIT 7,700 45
Gerber Scientific, Inc. 1,900 45
Hancock Fabrics, Inc. 5,400 45
Haven Bancorp, Inc. 3,000 45
- - LeukoSite, Inc. 4,500 45
MFB Corp. 2,000 45
Manufactured Home
Communities, Inc. REIT 1,800 45
Mid Atlantic Realty Trust REIT 3,650 45
- - NCS HealthCare, Inc. 1,900 45
- - Pride International Inc. 6,400 45
- - Scott Technologies, Inc. 2,700 45
Sizzlers Property Investors, Inc. 5,100 45
Tecumseh Products Co. Class B 1,000 45
- - Telegroup, Inc. 34,600 45
American Bancorp (West Virginia) 2,000 44
- - Avid Technology, Inc. 1,900 44
- - Bio-Rad Laboratories, Inc. Class A 2,100 44
- - Cameron Ashley Building Products 3,392 44
Cavalier Homes, Inc. 3,840 44
- - Christiana Cos., Inc. 2,300 44
- - The Good Guys, Inc. 6,800 44
- - Insituform Technologies Class A 3,000 44
- - Insignia Financial Group, Inc. 3,666 44
- - Precision Response Corp. 5,800 44
- - RailTex, Inc. 3,894 44
- - SEEC, Inc. 6,800 44
St. John Knits, Inc. 1,700 44
St. Mary Land & Exploration Co. 2,372 44
- - Stage Stores, Inc. 4,700 44
- - Tech-Sym Corp. 1,998 44
Bassett Furniture Industries, Inc. 1,800 43
- - Cone Mills Corp. 7,600 43
Connecticut Energy Corp. 1,400 43
- - Credit Management Solutions, Inc. 7,900 43
- - ESS Technology, Inc. 8,600 43
- - Ladd Furniture Inc. 2,666 43
A. Schulman Inc. 1,900 43
- - Aavid Thermal Technologies 2,500 42
- - Applied Innovation Inc. 12,200 42
- - BankUnited Financial Corp. 5,300 42
- - Building One Services Corp. 2,000 42
California Independent Bancorp 2,100 42
A.M. Castle & Co. 2,800 42
- - Checkpoint Systems, Inc. 3,400 42
- - CorVel Corp. 1,200 42
Ethyl Corp. 7,300 42
- - Goody's Family Clothing, Inc. 4,200 42
- - HS Resources Inc. 5,500 42
- - Immucor Inc. 4,854 42
- - Intergraph Corp. 7,300 42
- - Itron, Inc. 5,900 42
- - Lancer Corp. 3,802 42
- - Matria Healthcare, Inc. 14,600 42
Mitchell Energy & Development
Corp. Class A 3,700 42
NYMAGIC, Inc. 2,000 42
- - OmniAmerica Inc. 1,300 42
Optical Coating Laboratory, Inc. 1,600 42
Public Service Co. of
North Carolina, Inc. 1,600 42
Sunbeam Corp. 6,000 42
Tanger Factory Outlet
Centers, Inc. REIT 1,989 42
US Bancorp, Inc. 2,100 42
- - Vertex Pharmaceuticals, Inc. 1,400 42
- - Vincam Group, Inc. 2,400 42
</TABLE>
30
<PAGE> 33
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------------------
<S> <C> <C> <C>
- - WMS Industries, Inc. 5,700 $ 42
Arch Coal, Inc. 2,400 41
- - CFI ProServices, Inc. 3,531 41
CNA Surety Corp. 2,610 41
- - Caliber Learning Network, Inc. 9,600 41
Carter-Wallace, Inc. 2,100 41
Commercial Intertech Corp. 3,200 41
- - CustomTracks Corp. 3,800 41
Daniel Industries, Inc. 3,400 41
First International Bancorp, Inc. 4,700 41
- - Harbinger Corp. 5,175 41
K2 Inc. 3,964 41
- - Lazare Kaplan International, Inc. 5,900 41
Pizza Inn, Inc. 9,200 41
- - Sabratek Corp. 2,500 41
- - Sonic Automotive, Inc. 1,200 41
- - Syms Corp. 4,500 41
UniFirst Corp. 1,800 41
WSFS Financial Corp. 2,400 41
XTRA Corp. 1,000 41
Ametek Aerospace Products Inc. 1,800 40
- - Banctec, Inc. 3,200 40
- - Capital Trust Class A 6,600 40
- - Coram Healthcare Corp. 21,523 40
Crown Crafts, Inc. 6,400 40
Frontier Insurance Group, Inc. 3,080 40
- - Gibson Greetings, Inc. 3,400 40
- - Insurance Auto Auctions, Inc. 3,400 40
- - Meade Instruments Corp. 3,300 40
Medford Bancorp, Inc. 2,400 40
- - Michaels Stores, Inc. 2,200 40
- - Perclose, Inc. 1,200 40
- - Rohn Industries Inc. 11,500 40
- - SEACOR SMIT Inc. 800 40
- - Sizzler International 17,600 40
Southwestern Energy Co. 5,300 40
- - Spectranetics Corp. 14,100 40
Vermont Financial Services Corp. 1,200 40
Applebee's International, Inc. 1,900 39
- - Atwood Oceanics, Inc. 2,266 39
- - Clintrials Research, Inc. 9,800 39
DT Industries, Inc. 2,500 39
- - Glenayre Technologies, Inc. 8,900 39
- - Global Industries Ltd. 6,400 39
- - Hauser, Inc. 8,800 39
Innkeepers USA Trust REIT 3,300 39
R.H. Donnelley Corp. 2,680 39
- - Saxton Inc. 6,000 39
Schweitzer-Mauduit
International, Inc. 2,550 39
- - Sensormatic Electronics Corp. 5,600 39
Superior Industries
International, Inc. 1,400 39
- - Apria Healthcare 4,200 38
- - Aspen Technologies, Inc. 2,600 38
Belco Oil & Gas Corp. 6,900 38
- - Comdial Corp. 4,300 38
- - Energy Conversion Devices, Inc. 5,300 38
M.A. Hanna Co. 3,100 38
NUI Corp. 1,400 38
- - Nautica Enterprises, Inc. 2,500 38
NewSouth Bancorp, Inc. 2,100 38
Oil-Dri Corp. of America 2,500 38
- - O'Reilly Automotive, Inc. 800 38
- - Software Spectrum, Inc. 2,400 38
- - Supreme International Corp. 3,150 38
Tremont Corp. 1,142 38
- - Webco Industries, Inc. 5,800 38
AGCO Corp. 4,700 37
Avado Brands, Inc. 4,500 37
- - Catherines Stores 3,400 37
- - Dril-Quip, Inc. 2,100 37
Equity Inns, Inc. REIT 3,800 37
F.N.B. Corp. 1,300 37
- - FaxSav Inc. 6,000 37
- - Grand Casinos, Inc. 4,650 37
Green Street Financial Corp. 2,600 37
Hunt Corp. 3,500 37
- - Keystone Consolidated
Industries, Inc. 4,600 37
LTV Corp. 6,400 37
Oneida Ltd. 2,500 37
Penn Virginia Corp. 2,000 37
- - Renaissance Worldwide, Inc. 6,000 37
- - Renal Care Group, Inc. 1,300 37
- - ReSound Corp. 9,800 37
- - Shuffle Master, Inc. 5,133 37
Thornburg Mortgage Asset Corp. 4,900 37
- - Zamba Corp. 19,000 37
Amcast Industrial Corp. 1,904 36
- - Concentra Managed Care 3,400 36
Corporate Office Properties
Trust, Inc. 5,000 36
- - Cypros Pharmaceuticals Corp. 10,950 36
Donnelly Corp. 2,800 36
EVEREN Capital Corp. 1,600 36
- - Exabyte Corp. 6,600 36
- - Greyhound Lines, Inc. 6,100 36
Lance, Inc. 1,800 36
Lillian Vernon Corp. 2,200 36
- - Magellan Health Services, Inc. 4,300 36
- - Mattson Technology, Inc. 6,200 36
- - PharMerica, Inc. 6,013 36
- - Protocol Systems, Inc. 5,000 36
- - Steel Dynamics, Inc. 3,100 36
- - Stratus Properties, Inc. 9,500 36
- - U.S. Bioscience 5,050 36
- - Walker Interactive Systems, Inc. 5,300 36
- - World Acceptance Corp. 5,500 36
Atlanta Sosnoff Capital 4,200 35
- - Boole & Babbage Inc. 1,200 35
Cross Timbers Oil Co. 4,725 35
- - Eco Soil Systems, Inc. 4,000 35
- - Fresh America Corp. 2,100 35
- - Giant Cement Holding, Inc. 1,400 35
Green Mountain Power Corp. 3,300 35
- - Health Management Systems, Inc. 4,453 35
Hopfed Bancorp, Inc. 2,000 35
- - Lumisys, Inc. 7,400 35
- - MLC Holdings, Inc. 3,900 35
- - Medaphis Corp. 10,700 35
- - MIPS Technologies, Inc. 1,100 35
- - Rochester Medical Corp. 2,300 35
- - Superior Consultant Holdings Corp. 800 35
</TABLE>
31
<PAGE> 34
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------
MARKET
VALUE*
BALANCED INDEX FUND SHARES (000)
- -----------------------------------------------------------------------------------
<S> <C> <C> <C>
- - Thermo VolTek Corp. 5,250 $ 35
- - Veterinary Centers of America, Inc. 1,740 35
Advanta Corp. Class A 2,563 34
Apogee Enterprises, Inc. 3,000 34
Dimon Inc. 4,600 34
EDO Corp. 4,000 34
Holly Corp. 2,000 34
- - Swift Energy Co. 4,600 34
- - Todhunter International, Inc. 4,200 34
- - Trimble Navigation Ltd. 4,700 34
Waddell & Reed Financial, Inc. 1,445 34
- - Zebra Technologies Corp. Class B 1,170 34
Ziegler Cos., Inc. 1,800 34
- - American Classic Voyager Co. 1,900 33
- - Arcadia Financial Ltd. 9,200 33
- - Digene Corp. 5,900 33
- - Immunomedics Inc. 7,900 33
Ingles Markets, Inc. 3,000 33
Interface, Inc. 3,600 33
- - Komag, Inc. 3,200 33
Merchants Bancshares, Inc. 1,300 33
- - Mesaba Holdings, Inc. 1,600 33
- - Planet Hollywood International,
Inc. Class A 14,200 33
- - Remedy Corp. 2,400 33
- - Shoney's Inc. 24,795 33
Spartan Motors, Inc. 5,800 33
Titan International, Inc. 3,500 33
- - VLSI Technology, Inc. 3,000 33
- - Varco International, Inc. 4,200 33
- - Windmere-Durable Holdings Inc. 4,200 33
- - Amresco, Inc. 3,600 32
- - Avatar Holding, Inc. 2,000 32
- - Big Dog Holdings, Inc. 6,700 32
- - Coherent, Inc. 2,600 32
Freeport-McMoRan Copper &
Gold, Inc. Class A 3,348 32
Harnischfeger Industries Inc. 3,100 32
- - Hologic, Inc. 2,600 32
- - Information Management
Associates, Inc. 5,500 32
NBT Bancorp, Inc. 1,365 32
- - Nu Horizons Electronics Corp. 6,300 32
- - Optical Cable Corp. 2,600 32
- - Orange-Co, Inc. 4,900 32
- - Pericom Semiconductor Corp. 3,000 32
- - PhyCor, Inc. 4,750 32
- - Twinlab Corp. 2,400 32
- - Weirton Steel 20,600 32
- - ABR Information Services, Inc. 1,600 31
- - Allen Telecom Inc. 4,600 31
- - Coeur D'Alene Mines Corp. 6,800 31
Covest Bankshares, Inc. 2,500 31
- - Crescent Operating, Inc. REIT 6,560 31
- - DoubleClick Inc. 700 31
- - Drug Emporium, Inc. 6,128 31
G & L Realty Corp. 2,404 31
Merit Holding Corp. 1,700 31
Mississippi Chemical Corp. 2,200 31
- - Navigators Group, Inc. 2,000 31
Oxford Industries, Inc. 1,100 31
- - Pharmacopeia, Inc. 3,300 31
- - Quest Education Corp. 3,100 31
- - Satcon Technology Corp. 5,407 31
- - Seagull Energy Corp. 4,904 31
- - Spaghetti Warehouse, Inc. 4,000 31
- - SpectRx, Inc. 5,074 31
- - SuperGen, Inc. 3,400 31
- - Universal Electronics, Inc. 2,900 31
- - Able Telcom Holding Corp. 5,200 30
- - Aerial Communications Inc. 5,100 30
Anthracite Capital Inc. 3,800 30
- - Billing Concepts Corp. 2,700 30
- - Biotechnology General 4,300 30
- - Black Box Corp. 800 30
Excel Industries, Inc. 1,700 30
FirstBank Corp. 2,000 30
- - Gensia Sicor Inc. 6,600 30
- - Hain Food Group, Inc. 1,200 30
- - Heartland Technology, Inc 5,500 30
- - Konover Property Trust, Inc. REIT 4,300 30
MMI Cos., Inc. 1,800 30
- - Manhattan Associates, Inc. 1,100 30
- - Recovery Engineering, Inc. 4,600 30
- - Revlon, Inc. Class A 1,800 30
- - Sunburst Hospitality Corp. 6,966 30
Terra Industries, Inc. 4,900 30
Torch Energy Royalty Trust 6,800 30
Westbanco Inc. 1,000 30
- - Winter Sports Inc. 2,425 30
- - Xoma Corp. 9,500 30
- - Aftermarket Technology Corp. 3,700 29
- - Ampex Corp. Class A 25,700 29
- - Boyd Gaming Corp. 8,900 29
- - Clarify, Inc. 1,200 29
- - Coventry Health Care Inc. 3,345 29
Georgia Gulf Corp. 1,800 29
- - Impco Technologies Inc. 2,200 29
- - Just for Feet, Inc. 1,650 29
Schnitzer Steel Industries,
Inc. Class A 2,000 29
Southern Peru Copper Corp. 3,100 29
- - Stein Mart, Inc. 4,100 29
Stewart & Stevenson Services, Inc. 3,000 29
- - TRO Learning, Inc. 3,600 29
- - United Capital Corp. 1,700 29
- - Viasoft, Inc. 4,100 29
Ambanc Holding Co., Inc. 1,600 28
- - Boston Beer Co., Inc. Class A 3,300 28
- - Cirrus Logic, Inc. 2,900 28
- - Electronic Retailing Systems
International, Inc. 9,900 28
- - Healthcare Financial Partners, Inc. 700 28
- - Hot Topic, Inc. 2,200 28
- - Input/Output, Inc. 3,800 28
- - Manugistics Group, Inc. 2,200 28
- - Petrocorp, Inc. 4,822 28
- - Sybase, Inc. 3,840 28
- - TeleSpectrum Worldwide Inc. 2,900 28
- - UniSource Energy Corp. 2,100 28
- - Vantive Corp. 3,500 28
- - Walbro Corp. 4,400 28
- - Advanced Tissue Sciences Inc. 10,400 27
- - Applied Graphics Technologies, Inc. 1,660 27
</TABLE>
32
<PAGE> 35
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------------------
<S> <C> <C> <C>
- - Crestline Capital Corp. 1,840 $ 27
- - infoUSA, Inc. Class B 5,084 27
Inland Steel Industries, Inc. 1,591 27
Nash-Finch Co. 1,900 27
Penford Corp. 1,700 27
- - Premiere Technologies, Inc. 3,700 27
- - TCSI Corp. 12,800 27
- - TransTexas Gas Corp. 10,300 27
- - Wyman-Gordon Corp. 2,600 27
- - Badger Paper Mills, Inc. 3,200 26
BankAtlantic Bancorp, Inc. Class B 3,592 26
- - Base Ten Systems Class A 8,000 26
- - ContiFinancial Corp. 3,600 26
Gainsco, Inc. 4,300 26
- - Graham-Field Health Products Inc. 7,800 26
- - Griffin Land & Nurseries, Inc. 2,000 26
- - Homestead Village, Inc. 5,734 26
- - Lexington Global Asset
Managers, Inc. 6,600 26
- - Molecular Biosystems, Inc. 8,697 26
Pan Pacific Retail Properties,
Inc. REIT 1,300 26
- - Sola International Inc. 1,500 26
- - Starter Corp. 9,600 26
TF Financial Corp. 1,500 26
Tech/Ops Sevcon, Inc. 1,900 26
- - Urocor, Inc. 4,000 26
- - Youth Services International, Inc. 6,900 26
- - Aetrium, Inc. 2,300 25
Alamo Group, Inc. 2,200 25
Apex Mortgage Capital, Inc. REIT 2,600 25
CVB Financial Corp. 1,100 25
- - California Microwave, Inc. 2,700 25
- - I-STAT Corp. 3,300 25
- - Lynx Therapeutics Inc. 2,200 25
Merrill Corp. 1,300 25
- - Mosaix Inc. 3,200 25
- - National City Bancorporation 968 25
- - National Processing, Inc. 4,600 25
- - Omega Health Systems, Inc. 5,700 25
- - Seattle FilmWorks, Inc. 5,375 25
- - Secure Computing Corp. 1,300 25
Telxon Corp. 1,800 25
- - Trump Hotels & Casino Resorts, Inc. 6,700 25
Ampco-Pittsburgh Corp. 2,200 24
Cato Corp. Class A 2,400 24
- - Electroglas, Inc. 2,000 24
- - First Consulting Group, Inc. 1,155 24
- - GST Telecommunications Inc. 3,700 24
Glenborough Realty Trust, Inc. REIT 1,200 24
- - Gradall Industries, Inc. 1,700 24
Granite State Bankshares, Inc. 1,000 24
Great Southern Bancorp, Inc. 1,000 24
Heritage Financial Corp. 2,500 24
- - LTX Corp. 9,300 24
Maine Public Service Co. 1,600 24
- - Micrion Corp. 2,000 24
- - Midwest Express Holdings, Inc. 900 24
- - NPC International Class A 2,000 24
- - National Western Life
Insurance Co. Class A 200 24
Patriot Bank Corp. 2,000 24
- - John B. Sanfilippo & Son, Inc. 5,600 24
- - AMF Bowling, Inc. 4,400 23
- - Celtrix Pharmaceuticals 13,800 23
Conectiv, Inc. Class A 575 23
- - Data Race, Inc. 6,778 23
- - Designs, Inc. 12,050 23
Health Care REIT, Inc. 900 23
- - I-Link, Inc. 10,800 23
- - InfoSpace.com, Inc. 600 23
- - Magnum Hunter Resources Inc. 7,700 23
- - MetaCreations Corp. 4,197 23
- - Osicom Technologies, Inc. 1,347 23
Salient 3 Communications, Inc.
Class A 2,500 23
- - SonoSight, Inc. 2,200 23
- - 3DO Co. 4,800 23
- - Todd Shipyards Corp. 4,753 23
- - ABC Rail Products Corp. 1,800 22
- - APAC Teleservices, Inc. 5,900 22
- - Alexander's, Inc. 277 22
- - Brite Voice Systems, Inc. 2,814 22
- - Catalytica, Inc. 1,200 22
- - EEX Corp. 3,148 22
- - Electromagnetic Sciences, Inc. 1,600 22
Farrel Corp. 10,800 22
- - Learning Tree International, Inc. 2,400 22
- - Lechters Corp. 9,000 22
- - Lone Star Steakhouse &
Saloon, Inc. 2,400 22
- - Marine Drilling Co., Inc. 2,800 22
- - Martek Biosciences Corp. 2,700 22
- - Rehabilicare, Inc. 6,880 22
- - Rocky Mountain Chocolate
Factory, Inc. 4,100 22
- - Royal Appliance
Manufacturing Co. 6,014 22
J.M. Smucker Co. Class A 900 22
- - Systems & Computer
Technology Corp. 1,600 22
- - Applix, Inc. 5,400 21
Capstead Mortgage Corp. 5,050 21
Circle International Group, Inc. 1,000 21
- - Comfort Systems USA, Inc. 1,200 21
- - Consolidated Freightways Corp. 1,300 21
- - Consumer Portfolio Services, Inc. 5,400 21
- - Filene's Basement Corp. 8,895 21
First Mutual Bancorp, Inc. 1,200 21
- - Foothill Independent Bancorp. 1,391 21
- - GRC International, Inc. 3,400 21
- - Gadzooks, Inc. 2,700 21
- - Halter Marine Group, Inc. 4,369 21
Horizon Financial Corp. 1,635 21
- - Integrated Process
Equipment Corp. 1,976 21
- - Intelidata Technologies Corp. 15,900 21
- - Kendle International Inc. 900 21
- - Laboratory Corp. of America 15,624 21
- - Merisel, Inc. 8,800 21
- - Metromedia International
Group, Inc. 3,900 21
- - Miravant Medical Technology 1,600 21
- - Nastech Pharmaceutical Co., Inc. 5,300 21
- - PRT Group Inc. 7,000 21
</TABLE>
33
<PAGE> 36
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------
MARKET
VALUE*
BALANCED INDEX FUND SHARES (000)
- -----------------------------------------------------------------------------------
<S> <C> <C> <C>
- - QAD Inc. 6,000 $ 21
- - Rainforest Cafe, Inc. 3,525 21
- - S3, Inc. 2,800 21
- - Signal Technology Corp. 7,847 21
- - Splash Technology Holdings, Inc. 2,800 21
- - Ascent Entertainment Group, Inc. 2,775 20
Berkshire Realty Co., Inc. REIT 2,100 20
- - Castle & Cooke Inc. 1,366 20
- - Chalone Wine Group Ltd. 1,960 20
- - Darling International, Inc. 6,600 20
- - Dialogic Corp. 1,000 20
- - Franklin Electronic Publishers, Inc. 1,700 20
- - Invision Technologies, Inc. 3,200 20
- - Marcam Solutions, Inc. 3,200 20
- - Natural Wonders 4,300 20
- - NovaCare, Inc. 8,100 20
- - Objective Systems Integrators, Inc. 4,400 20
- - PictureTel Corp. 3,000 20
- - Quaker City Bancorp, Inc. 1,250 20
- - Schuler Homes Inc. 2,800 20
- - Stac, Inc. 14,470 20
Tower Realty Trust, Inc. REIT 1,000 20
- - Trans World Entertainment Corp. 1,050 20
- - Vestcom International, Inc. 2,200 20
- - York Research Corp. 5,900 20
- - Active Voice Corp. 2,500 19
- - American Wagering, Inc. 2,300 19
- - Chic By H.I.S., Inc. 6,020 19
Getty Realty Holding Corp. 1,300 19
- - Interneuron Pharmaceutical, Inc. 5,700 19
M/A/R/C, Inc. 1,800 19
Oregon Steel Mills, Inc. 1,600 19
- - PICO Holdings, Inc. 1,402 19
- - Primadonna Resorts, Inc. 2,200 19
- - SpecTran Corp. 4,600 19
Synalloy Corp. 2,200 19
- - Total-Tel USA Communications, Inc. 1,100 19
- - VWR Scientific Products Corp. 1,100 19
- - Wellsford Real Properties Inc. REIT 1,812 19
- - Algos Pharmaceutical Corp. 700 18
- - @Entertainment, Inc. 2,600 18
Berry Petroleum Class A 1,300 18
- - FiberMark, Inc. 1,300 18
Greater Delaware Valley
Savings Bank 1,500 18
- - Labor Ready, Inc. 900 18
Life USA Holding, Inc. 1,400 18
Oak Hill Financial, Inc. 1,000 18
Oregon Trail Financial Corp. 1,500 18
RPC Inc. 2,400 18
- - School Specialty, Inc. 827 18
Tejon Ranch Co. 900 18
- - Thermo TerraTech, Inc. 4,100 18
Andover Bancorp, Inc. 500 17
- - Kenneth Cole Productions, Inc. 900 17
Cubic Corp. 900 17
- - Employee Solutions, Inc. 6,700 17
- - General Magic, Inc. 3,300 17
- - Inprise Corp. 3,000 17
- - Liposome Co., Inc. 1,100 17
- - Medialink Worldwide, Inc. 1,000 17
- - Medical Graphics Corp. 14,550 17
- - National Dentex Corp. 1,000 17
- - Parker Drilling Co. 5,400 17
- - Styling Technology Corp. 1,800 17
- - Thermotrex Corp. 2,000 17
Titanium Metals Corp. 2,000 17
Urstadt Biddle Properties REIT 2,100 17
Urstadt Biddle Properties REIT
Class A 2,100 17
- - Xiox Corp. 1,900 17
- - Alliance Pharmaceutical Corp. 4,798 16
- - Atrix Laboratories, Inc. 1,800 16
- - Caribiner International, Inc. 1,700 16
- - Carrington Labs Inc. 7,400 16
- - Danielson Holdings Corp. 4,500 16
- - Echo Bay Mines Ltd. 9,400 16
- - Encore Wire Corp. 1,700 16
- - Marvel Enterprises Inc. 2,600 16
- - Nord Resources Corp. 15,700 16
- - Penwest Pharmaceuticals Co. 2,550 16
- - Red Brick Systems, Inc. 2,700 16
- - Scheid Vineyards, Inc. Class A 3,300 16
- - SITEL Corp. 6,500 16
- - Trans World Airlines 3,300 16
- - AER Energy Resources, Inc. 20,300 15
- - American Coin Merchandising, Inc. 2,600 15
- - California Amplifier, Inc. 7,800 15
- - Cellnet Data Systems, Inc. 3,000 15
- - Geoworks Corp. 4,000 15
ISCO, Inc. 2,700 15
- - Material Sciences Corp. 1,800 15
- - Maxim Pharmaceuticals, Inc. 1,000 15
- - Schein Pharmaceutical, Inc. 1,000 15
- - Synagro Technologies Inc. 4,100 15
- - Total Containment, Inc. 2,100 15
TransPro Inc. 3,000 15
U.S.B. Holding Co., Inc. 862 15
- - WMF Group Ltd. 2,466 15
- - Adams Golf, Inc. 3,300 14
- - Aztec Technology Partners, Inc. 3,788 14
BMC Industries, Inc. 2,237 14
Birmingham Steel Corp. 3,350 14
- - Epitope Inc. 2,300 14
Greater Community Bancorp 1,200 14
Herbalife International, Inc. Class B 1,266 14
- - INSpire Insurance Solutions, Inc. 750 14
- - Lifecore Biomedical Inc. 1,400 14
- - PlayCore, Inc. 3,100 14
- - Premisys Communications, Inc. 1,500 14
- - Redhook Ale Brewery, Inc. 3,000 14
Roadway Express Inc. 1,000 14
- - Scherer Health 3,200 14
- - Toymax International, Inc. 2,700 14
United Cos. Finance Corp. 4,100 14
Virco Manufacturing Corp. 770 14
- - Volt Information Sciences Inc. 600 14
- - American Banknote Corp. 9,100 13
- - Cardima, Inc. 5,000 13
- - Central Financial Acceptance Corp. 3,000 13
- - Conrad Industries, Inc. 3,300 13
- - Crown Vantage, Inc. 5,680 13
- - e.spire Communications, Inc. 2,000 13
- - Geneva Steel Co. Class A 26,500 13
</TABLE>
34
<PAGE> 37
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------------------
<S> <C> <C> <C>
- - Grey Wolf, Inc. 15,800 $ 13
- - IGI, Inc. 6,710 13
- - Meridian Gold Co. 2,300 13
- - Metra Biosystems, Inc. 13,000 13
- - NetManage, Inc. 7,147 13
- - Performance Food Group Co. 450 13
- - Phoenix Technologies LTD. 1,470 13
- - Rutherford-Moran Oil Corp. 4,500 13
- - Sciclone Pharmaceuticals Inc. 11,800 13
- - TST Impreso, Inc. 5,300 13
- - The TesseracT Group, Inc. 5,000 13
- - Vertex Industries, Inc. 6,700 13
Vesta Insurance Group, Inc. 2,200 13
- - Vistana, Inc. 900 13
- - Hollywood Casino Corp. 11,800 12
- - Medplus, Inc. 5,600 12
- - Mesa Air Group Inc. 1,500 12
- - Musicland Stores Corp. 800 12
- - Novavax, Inc. 6,110 12
Primex Technologies, Inc. 280 12
- - Rockshox, Inc. 4,600 12
- - Speedfam International, Inc. 700 12
- - Workflow Management, Inc. 1,809 12
American Medical
Security Group, Inc. 800 11
- - Artisoft, Inc. 4,200 11
- - CNET, Inc. 200 11
Continental Mortgage &
Equity Trust 750 11
CRIIMI MAE, Inc. REIT 3,200 11
- - General Cigar Holdings, Inc. 1,300 11
- - Kennedy-Wilson, Inc. 1,512 11
Lindsay Manufacturing Co. 750 11
- - MAI Systems Corp. 4,100 11
Met-Pro Corp. 900 11
- - Planet Polymer Technology, Inc. 5,200 11
Wiser Oil Co. 5,600 11
- - Applied Magnetics Corp. 1,600 10
Fonar Corp. 8,300 10
- - Forcenergy Inc. 3,956 10
- - Global Payment Tech Inc. 1,200 10
- - Gulf West Banks, Inc. 1,100 10
- - Gymboree Corp. 1,500 10
- - Innovative Gaming Corp. 10,000 10
- - Landry's Seafood Restaurants, Inc. 1,300 10
- - Leap Wireless International, Inc. 1,425 10
- - Mariner Post-Acute Network, Inc. 2,181 10
- - Mobius Management Systems, Inc. 700 10
- - Oak Technology, Inc. 2,900 10
- - Phoenix International Ltd., Inc. 700 10
- - Presstek, Inc 1,400 10
- - Quality Systems, Inc. 2,400 10
Stephan Co. 1,000 10
- - Telular Corp. 15,500 10
- - TransAct Technologies Inc. 2,900 10
- - Arrhythmia Research
Technology, Inc. 7,000 9
- - Ascent Pediatrics, Inc. 2,200 9
- - Consolidated Delivery &
Logistics, Inc. 2,800 9
- - Converse Inc. 3,966 9
- - Cyberguard Corp. 4,500 9
- - Edison Brothers Stores, Inc. 6,856 9
Fort Thomas Financial Corp. 600 9
Herbalife International, Inc. Class A 633 9
- - Maxicare Health Plans Inc. 1,700 9
Phillips-Van Heusen Corp. 1,200 9
- - Shiva Corp. 1,600 9
- - Trak Auto Corp. 1,200 9
- - U.S. Energy Corp. 4,400 9
- - UroQuest Medical Corp. 8,800 9
- - Versant Corporation 4,000 9
- - AmeriPath, Inc. 900 8
- - Applied Digital Access, Inc. 3,000 8
- - Aqua Care Systems, Inc. 6,700 8
Atlantic Tele-Network, Inc. 880 8
- - Aura Systems, Inc. 7,500 8
Clarion Commercial Holdings, Inc. 1,800 8
- - Computer Learning Centers, Inc. 1,200 8
- - Continucare Corp. 4,600 8
- - E-Tek Dynamics, Inc. 300 8
- - FARO Technologies, Inc. 2,000 8
First Commerce Bancshares
Inc. Class A 300 8
- - Fresh Choice, Inc. 5,100 8
- - I-Flow Corp. 6,500 8
- - Jan Bell Marketing Inc. 1,200 8
- - Larscom, Inc. Class A 5,300 8
- - Petroleum Heat & Power Co. 10,100 8
- - Regent Assisted Living, Inc. 1,500 8
Skaneateles Bancorp, Inc. 523 8
- - SmarTalk Teleservices, Inc. 3,000 8
- - Thermo Ecotek Corp. 800 8
- - Unigene Laboratories Inc. 7,000 8
- - Vertel Corp. 5,000 8
- - Alyn Corp. 1,600 7
- - Applied Microsystems Corp. 1,900 7
- - Auspex Systems, Inc. 1,600 7
- - BJ Services Co. Warrants
Exp. 4/13/2000 787 7
- - Colonial Downs Holdings, Inc. 13,300 7
- - Diacrin, Inc. 1,200 7
- - Excel Legacy Corp. 1,800 7
- - FIRSTPLUS Financial Group, Inc. 2,700 7
GSB Financial Corp. 500 7
- - HCIA, Inc. 1,700 7
- - IEC Electronics Corp. 1,682 7
- - Iron Mountain, Inc. 200 7
- - Microtouch Systems, Inc. 500 7
- - Microwave Systems Corp. 2,800 7
- - NS Group Inc. 1,500 7
- - Pegasystems Inc. 1,700 7
Penncorp Financial Group Inc. 6,800 7
- - Ronson Corp. 2,400 7
- - Shoe Carnival, Inc. 650 7
- - Spacetec IMC Corp. 4,200 7
- - TCI Satellite Entertainment,
Inc. Class A 5,004 7
- - Tessco Technologies, Inc. 300 7
- - Transworld Healthcare Inc. 1,574 7
- - Trident Microsystems, Inc. 1,800 7
- - U.S. Office Products Co. 1,861 7
United Wisconsin Services, Inc. 800 7
- - ASI Solutions, Inc. 800 6
</TABLE>
35
<PAGE> 38
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------
MARKET
VALUE*
BALANCED INDEX FUND SHARES (000)
- -----------------------------------------------------------------------------------
<S> <C> <C> <C>
Allied Products Corp. 1,000 $ 6
- - AutoBond Acceptance Corp. 2,000 6
- - Centigram Communications 600 6
- - Chesapeake Biological
Laboratories, Inc. 1,300 6
- - Colorado Casino Resorts, Inc. 5,600 6
- - Data Systems Network Corp. 4,200 6
- - Genome Therapeutics Corp. 2,000 6
- - Interleaf, Inc. 2,933 6
- - Kevco, Inc. 800 6
Laser Mortgage Management, Inc. 1,100 6
- - Loronix Information Systems 2,400 6
- - MK Gold Co. 10,700 6
- - Medar, Inc. 5,742 6
- - Navigant International, Inc. 744 6
- - OAO Technology Solutions, Inc. 2,061 6
- - Pluma, Inc. 3,000 6
- - SMC Corp. 1,200 6
- - Samsonite Corp. 1,116 6
- - TCI Music, Inc. Class A 1,200 6
- - Technical Chemicals and
Products, Inc. 4,200 6
- - Vasomedical, Inc. 8,900 6
- - Verilink Corp. 1,700 6
- - Viisage Technology, Inc. 4,500 6
- - Vivus, Inc. 2,200 6
- - AMBI, Inc. 4,400 5
- - AML Communications, Inc. 4,050 5
- - Cidco, Inc. 1,600 5
- - Cytrx Corp. 5,000 5
- - Electric Fuel Corp. 1,800 5
- - First Bank of Philadelphia 1,000 5
- - Gold Reserve Corp. 4,300 5
- - Health Systems Design Corp. 800 5
- - ImmuLogic Pharmaceutical Corp. 3,900 5
- - Input Software Inc. 800 5
- - Intelligent Medical Imaging, Inc. 9,000 5
Jefferson Savings Bancorp, Inc. 400 5
- - Knight/Trimark Group, Inc. 200 5
- - MathSoft, Inc. 2,000 5
- - Mego Mortgage Corp. 10,500 5
- - Multigraphics Inc. 1,600 5
- - Neoprobe Corp. 6,300 5
- - P-Com, Inc. 1,200 5
- - Schuff Steel Co. 900 5
- - SeaMED Corp. 400 5
- - Service Merchandise Co., Inc. 19,200 5
Thermoretec Corp. 2,700 5
- - USDATA Corp., Inc. 2,497 5
- - Vista Energy Resources, Inc. 2,300 5
- - Avatex Corp. 3,900 4
- - BRC Holdings Inc. 200 4
- - Bitwise Designs, Inc. 2,900 4
- - Blue Wave Systems, Inc. 1,000 4
- - Cellularvision USA, Inc. 4,700 4
Chesapeake Energy Corp. 4,200 4
- - Crescendo Pharmaceuticals Corp. 260 4
- - Daily Journal Corp. 100 4
- - Florsheim Group Inc. 933 4
- - IA Corp. 6,700 4
- - Marketing Services Group, Inc. 1,000 4
- - Metrocall, Inc. 900 4
- - Omtool, Ltd. 1,400 4
- - OpenROUTE Networks, Inc. 2,600 4
- - Ramtron International Corp. 7,800 4
- - Royal Precision Inc. 2,000 4
Sauer Inc. 500 4
- - Silicon Gaming, Inc. 3,100 4
- - Tatham Offshore, Inc. 10,630 4
- - Uranium Resources, Inc. 8,300 4
- - Aquila Biopharmaceuticals, Inc. 701 3
J. Baker, Inc. 600 3
- - Bentley Pharmaceuticals, Inc. 2,200 3
- - ChromaVision Medical
Systems, Inc. 600 3
- - Ecogen, Inc. 1,900 3
- - Foreland Corp. 2,666 3
- - Garden Botanika, Inc. 4,500 3
- - Genzyme Molecular Oncology 821 3
- - Integrated Silicon Solution, Inc. 800 3
- - International Assets Holding Corp. 1,980 3
- - Omega Worldwide, Inc. 794 3
- - The Penn Traffic Co. 6,200 3
- - Raster Graphics, Inc. 5,600 3
- - Vornado Operating Inc. 395 3
- - Wellcare Management Group, Inc. 4,000 3
- - Aerovox, Inc. 900 2
- - Altris Software, Inc. 5,300 2
- - Amylin Pharmaceuticals, Inc. 4,300 2
- - Astea International, Inc. 1,000 2
BeautiControl Cosmetics, Inc. 400 2
- - Biofield Corp. 7,900 2
- - Capital Pacific Holdings, Inc. 700 2
- - Checkers Drive-In Restaurants Inc. 5,400 2
- - Cole National Corp. Class A 100 2
- - Comshare, Inc. 553 2
- - DocuCorp International, Inc. 361 2
- - Einstein/Noah Bagel Corp. 1,800 2
- - GSE Systems, Inc. 600 2
- - Home Health Corp. of America 6,300 2
- - Insilco Holding Corp. 88 2
- - Integra, Inc. 1,600 2
- - JumboSports Inc. 14,800 2
- - Microfield Graphics, Inc. 1,100 2
Pittsburgh & West Virginia Railroad 300 2
- - Quintel Communications, Inc. 800 2
Summit Bancshares, Inc. 100 2
- - Agritope, Inc. 460 1
- - Alanco Environmental
Resources Corp. 1,986 1
- - All American Semiconductor, Inc. 1,000 1
- - Alteon, Inc. 1,200 1
- - Atlantic Gulf Communities Corp. 1,500 1
- - Axiohm Transaction Solutions, Inc. 126 1
- - Boston Chicken, Inc. 4,000 1
- - Cellular Technical Services Co. 1,600 1
- - Centura Software Corp. 600 1
- - Coastal Physician Group, Inc. 1,800 1
- - Cryomedical Sciences, Inc. 17,500 1
- - Dataware Technologies, Inc. 200 1
- - Gradco Systems, Inc. 275 1
- - Health Fitness Corp. 1,400 1
- - Horizon Group Properties, Inc. REIT 310 1
- - ICH Corp. 315 1
</TABLE>
36
<PAGE> 39
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------------------
<S> <C> <C>
- - IMC Mortgage Co. 4,600 $ 1
- - International Lottery &
Totalizator Systems, Inc. 2,933 1
- - LTC Healthcare, Inc. 500 1
- - Marvel Entertainment Group 7,240 1
- - Merry Land Properties, Inc. 270 1
- - Mobley Environmental
Services, Inc, Class A 6,600 1
- - NSC Corp. 808 1
- - Numerex Corp. 500 1
- - nVIEW Corp. 3,300 1
- - Silicon Valley Research, Inc. 3,100 1
- - Strategia Corp. 1,400 1
- - Trans World Gaming Corp. 2,200 1
- - TriTeal Corp. 8,000 1
Wainwright Bank & Trust Co. 200 1
- -----------------------------------------------------------------------------------
TOTAL COMMON STOCKS
(COST $714,704) 1,181,387
- -----------------------------------------------------------------------------------
<CAPTION>
FACE
AMOUNT
(000)
- -----------------------------------------------------------------------------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (23.3%)
- -----------------------------------------------------------------------------------
<S> <C> <C>
U.S. GOVERNMENT SECURITIES (8.6%)
U.S. Treasury Bonds
7.25%, 8/15/2022 $ 325 405
7.875%, 2/15/2021 210 276
8.00%, 11/15/2021 8,820 11,800
8.125%, 8/15/2019 27,705 36,984
8.125%, 5/15/2021 2,735 3,691
8.125%, 8/15/2021 19,300 26,085
8.50%, 2/15/2020 2,705 3,751
8.75%, 5/15/2017 5,140 7,147
8.75%, 5/15/2020 3,150 4,476
8.875%, 8/15/2017 1,075 1,513
8.875%, 2/15/2019 1,350 1,922
10.00%, 5/15/2010 590 752
10.375%, 11/15/2009 19,815 25,295
10.375%, 11/15/2012 6,500 8,973
11.625%, 11/15/2002 6,750 8,371
12.75%, 11/15/2010 3,600 5,227
13.25%, 5/15/2014 1,200 1,987
13.875%, 5/15/2011 200 309
14.00%, 11/15/2011 2,865 4,538
U.S. Treasury Notes
5.875%, 6/30/2000 2,200 2,239
6.25%, 5/31/2000 4,150 4,239
6.25%, 1/31/2002 1,500 1,568
6.375%, 5/15/2000 1,000 1,022
6.50%, 10/15/2006 1,000 1,109
6.75%, 4/30/2000 5,200 5,337
7.50%, 5/15/2002 1,700 1,848
7.875%, 11/15/2004 200 232
------------
171,096
------------
AGENCY BONDS & NOTES (2.4%)
Federal Farm Credit Bank
4.80%, 11/6/2003 3,500 3,453
Federal Home Loan Bank
5.575%, 9/2/2003 4,800 4,888
5.675%, 8/18/2003 5,000 5,111
5.80%, 9/2/2008 6,200 6,393
5.865%, 9/2/2008 2,000 2,072
5.88%, 11/25/2008 1,200 1,201
Federal Home Loan Mortgage Corp.
6.785%, 3/1/2006 675 677
7.09%, 6/1/2005 400 409
Federal National Mortgage Assn.
5.64%, 12/10/2008 3,500 3,465
5.80%, 12/10/2003 1,200 1,233
5.89%, 11/6/2002 1,650 1,700
5.90%, 7/9/2003 3,000 3,033
5.91%, 8/25/2003 1,300 1,311
5.96%, 4/23/2003 600 608
5.97%, 7/3/2003 2,000 2,020
6.56%, 4/23/2008 2,750 2,807
6.57%, 8/22/2007 2,750 2,981
6.58%, 8/20/2007 3,500 3,796
7.55%, 6/10/2004 850 858
--------------
48,016
--------------
MORTGAGE-BACKED SECURITIES (12.3%)
Federal Home Loan Mortgage Corp.
(3) 5.50%, 1/1/1999-11/1/2013 1,391 1,375
(3) 6.00%, 4/1/1999-12/1/2028 17,593 17,536
(3) 6.50%, 4/1/2000-12/1/2028 44,283 44,691
(3) 7.00%, 9/1/1999-12/1/2028 32,158 32,816
(3) 7.50%, 3/1/2000-4/1/2028 20,297 20,862
(3) 8.00%, 11/1/2001-11/1/2027 10,554 10,919
(3) 8.50%, 11/1/2006-8/1/2027 2,461 2,577
(3) 9.00%, 1/1/2005-10/1/2026 599 633
(3) 9.50%, 8/1/2003-4/1/2025 573 613
(3) 10.00%, 3/1/2017-4/1/2025 191 207
Federal National Mortgage Assn.
(3) 5.50%, 1/1/2001-11/1/2008 104 103
(3) 6.00%, 8/1/2000-6/1/2028 6,189 6,164
(3) 6.50%, 3/1/2000-10/1/2028 14,336 14,450
(3) 7.00%, 5/1/2000-3/1/2028 15,606 15,924
(3) 7.50%, 4/1/1999-8/1/2027 6,837 7,023
(3) 8.00%, 5/1/1999-9/1/2027 3,703 3,834
(3) 8.50%, 10/1/2004-7/1/2027 1,540 1,615
(3) 9.00%, 9/1/2004-8/1/2026 902 956
(3) 9.50%, 4/1/2005-2/1/2025 366 391
(3) 10.00%, 7/1/2005-8/1/2021 120 130
(3) 10.50%, 8/1/2020 25 28
Government National Mortgage Assn.
(3) 6.00%, 3/15/2009-12/15/2028 2,150 2,138
(3) 6.50%, 9/15/2008-12/15/2028 12,190 12,317
(3) 7.00%, 5/15/2008-7/15/2028 18,252 18,669
(3) 7.50%, 5/15/2008-7/15/2028 12,890 13,296
(3) 8.00%, 4/15/2002-1/15/2028 10,571 10,990
(3) 8.50%, 7/15/2001-9/15/2027 3,223 3,422
(3) 9.00%, 2/15/2004-6/15/2027 2,355 2,516
(3) 9.50%, 9/15/2018-12/15/2025 553 597
(3) 10.00%, 10/15/2017-2/15/2026 276 302
(3) 10.50%, 9/15/2015-9/15/2019 83 92
(3) 11.00%, 7/15/2013-12/15/2015 39 44
(3) 12.00%, 2/15/2014 9 10
--------------
247,240
--------------
- -----------------------------------------------------------------------------------
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS
(COST $449,743) 466,352
- -----------------------------------------------------------------------------------
</TABLE>
37
<PAGE> 40
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------
FACE MARKET
AMOUNT VALUE*
BALANCED INDEX FUND (000) (000)
- -----------------------------------------------------------------------------------
CORPORATE BONDS (13.6%)
- -----------------------------------------------------------------------------------
<S> <C> <C>
ASSET-BACKED (1.2%)
AT&T Universal Card
Master Trust Series
(3) 5.95%, 10/17/2002 $ 1,000 $ 1,012
Advanta Credit Card Master Trust
(3) 6.05%, 8/1/2003 2,500 2,535
American Express Credit
Card Master Trust
(3) 6.40%, 4/15/2005 3,000 3,131
(3) 6.80%, 12/15/2003 2,500 2,586
California Infrastructure & Econ.
Dev. Bank SP Trust PG&E
(3) 6.16%, 6/25/2003 625 636
(3) 6.42%, 9/25/2008 900 950
Discover Card Master Trust
(3) 5.40%, 11/16/2001 1,250 1,251
First Bank Corp. Card Master Trust
(3) 6.40%, 2/15/2003 1,000 1,034
Ford Credit Auto Loan Master Trust
(3) 6.50%, 8/15/2002 1,000 1,016
Premier Auto Trust
(3) 5.69%, 6/8/2002 3,000 3,026
Sears Credit Account Master Trust
(3) 5.80%, 8/15/2005 3,000 3,036
(3) 6.05%, 1/16/2008 500 513
(3) 8.10%, 6/15/2004 2,500 2,575
Standard Credit Card Master Trust
(3) 5.90%, 2/7/2001 1,000 1,001
(3) 6.80%, 4/7/2001 500 502
--------------
24,804
--------------
FINANCE (6.6%)
American Express Credit Corp.
8.50%, 6/15/1999 175 178
American General Finance Corp.
5.875%, 7/1/2000 450 452
8.00%, 2/15/2000 1,000 1,025
Associates Corp.
6.25%, 3/15/1999 500 501
6.375%, 8/15/2000 3,000 3,044
6.50%, 10/15/2002 1,125 1,163
6.68%, 9/17/1999 1,500 1,513
7.50%, 4/15/2002 350 371
Banc One Corp.
6.25%, 10/1/2001 2,500 2,552
Bank of New York Capital I
7.97%, 12/31/2026 1,000 1,113
BankAmerica Capital II
8.00%, 12/15/2026 1,000 1,117
BankAmerica Corp.
7.50%, 10/15/2002 600 637
10.00%, 2/1/2003 200 231
Bear Stearns Co., Inc.
6.625%, 1/15/2004 300 306
6.70%, 8/1/2003 1,300 1,332
BT Capital Trust B
7.90%, 1/15/2027 500 524
CIGNA Corp.
7.875%, 5/15/2027 500 541
CIT Group Holdings
6.625%, 6/15/2005 350 364
CNA Financial Corp.
6.50%, 4/15/2005 2,300 2,290
Camden Property Trust
7.00%, 11/15/2006 750 708
Chase Capital I
7.67%, 12/1/2026 1,100 1,177
The Chase Manhattan Corp.
10.00%, 6/15/1999 2,000 2,040
Chrysler Financial Co. LLC
5.625%, 1/15/1999 1,425 1,425
5.69%, 11/15/2001 3,000 3,027
6.28%, 6/21/1999 2,000 2,010
6.375%, 1/28/2000 1,000 1,010
Citicorp
8.625%, 12/1/2002 1,500 1,647
Citicorp Capital II
8.015%, 2/15/2027 1,050 1,168
Comdisco Inc.
6.32%, 11/27/2000 1,900 1,905
CoreStates Capital Corp.
6.625%, 3/15/2005 700 729
Countrywide Funding
7.31%, 8/28/2000 400 408
Dean Witter Discover & Co.
6.25%, 3/15/2000 2,000 2,016
Donaldson Lufkin & Jenrette
6.00%, 12/1/2001 6,750 6,763
Equity Residential Properties
6.55%, 11/15/2001 1,350 1,331
Equitable Cos. Inc.
7.00%, 4/1/2028 350 362
First Chicago Corp.
11.25%, 2/20/2001 400 447
First Union Corp.
8.125%, 6/24/2002 500 540
Fleet Capital Trust II
7.92%, 12/11/2026 500 550
Fleet Financial Group, Inc.
6.875%, 3/1/2003 400 415
7.125%, 4/15/2006 500 539
Ford Motor Credit Corp.
6.85%, 8/15/2000 4,000 4,090
8.20%, 2/15/2002 600 646
General Electric Capital Corp.
5.59%, 4/10/2000 2,500 2,512
5.89%, 5/15/2000 2,500 2,523
6.90%, 9/15/2015 1,000 1,101
General Motors Acceptance Corp.
5.85%, 4/6/2000 2,300 2,311
6.625%, 1/10/2002 2,500 2,575
6.625%, 10/1/2002 2,850 2,950
7.00%, 3/1/2000 1,700 1,729
7.125%, 6/1/1999 500 504
7.125%, 5/1/2001 2,000 2,072
9.00%, 10/15/2002 350 390
9.625%, 12/15/2001 600 667
Great Western Finance
6.375%, 7/1/2000 1,000 1,011
HRPT Properties Trust
6.75%, 12/18/2002 1,750 1,715
Household Finance Corp.
7.625%, 1/15/2003 1,500 1,598
7.65%, 5/15/2007 350 388
</TABLE>
38
<PAGE> 41
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------
FACE MARKET
AMOUNT VALUE*
(000) (000)
- -----------------------------------------------------------------------------------
<S> <C> <C>
International Lease Finance
6.375%, 8/1/2001 $ 1,480 $ 1,507
6.875%, 5/1/2001 1,145 1,177
JDN Realty Corp.
6.80%, 8/1/2004 840 804
Lehman Brothers Holdings Inc.
6.15%, 3/15/2000 1,500 1,496
6.90%, 1/29/2001 2,200 2,220
7.20%, 8/15/2009 875 907
Liberty Financial
6.75%, 11/15/2008 2,000 2,063
Mellon Capital II
7.995%, 1/15/2027 1,000 1,116
Mellon Financial Corp.
5.75%, 11/15/2003 600 603
6.30%, 6/1/2000 750 759
7.625%, 11/15/1999 350 357
Merrill Lynch & Co., Inc.
5.87%, 11/15/2001 1,650 1,666
6.00%, 1/15/2001 2,000 2,022
6.07%, 10/15/2001 3,000 3,046
6.38%, 7/18/2000 500 507
6.50%, 4/1/2001 2,000 2,042
8.30%, 11/1/2002 375 409
Morgan Stanley, Dean Witter,
Discover & Co.
5.89%, 3/20/2000 3,600 3,614
6.375%, 8/1/2002 1,000 1,020
NCNB Corp.
9.50%, 6/1/2004 275 323
NationsBank Corp.
5.75%, 3/15/2001 1,200 1,208
6.50%, 3/15/2006 300 313
7.00%, 9/15/2001 1,500 1,559
Orion Capital Corp.
7.25%, 7/15/2005 1,000 1,003
PaineWebber Group, Inc.
7.00%, 3/1/2000 750 757
Republic New York Corp.
7.75%, 5/15/2002 500 530
7.75%, 5/15/2009 300 340
Salomon, Inc.
5.875%, 2/1/2001 700 704
6.50%, 3/1/2000 650 657
6.65%, 7/15/2001 1,200 1,229
6.875%, 6/15/2005 200 209
7.98%, 3/1/2000 1,300 1,332
Sears, Roebuck & Co.
Acceptance Corp.
6.125%, 1/15/2006 350 352
6.50%, 6/15/2000 1,400 1,418
6.75%, 9/15/2005 400 417
Security Capital Pacific Trust
8.05%, 4/1/2017 350 344
Simon DeBartolo Group, Inc.
6.75%, 7/15/2004 750 736
Summit Properties Inc.
6.95%, 8/15/2004 1,800 1,739
SunTrust Banks, Inc.
7.375%, 7/1/2006 2,100 2,313
SUSA Partnership LP
7.50%, 12/1/2027 400 360
Toyota Motor Credit
5.625%, 11/13/2003 3,750 3,724
Travelers/Aetna Property
Casualty Corp.
6.75%, 4/15/2001 2,000 2,045
7.75%, 4/15/2026 450 503
USF&G Corp.
8.375%, 6/15/2001 1,000 1,064
United Dominion Realty Trust, Inc.
7.25%, 1/15/2007 700 661
Wells Fargo & Co.
6.875%, 4/1/2006 600 639
Wells Fargo Capital I
7.96%, 12/15/2026 600 667
--------------
132,734
--------------
INDUSTRIAL (4.0%)
American Stores Co.
8.00%, 6/1/2026 800 942
Anheuser-Busch Cos., Inc.
7.10%, 6/15/2007 1,100 1,205
7.125%, 7/1/2017 400 427
7.375%, 7/1/2023 125 137
Applied Materials, Inc.
8.00%, 9/1/2004 125 136
Archer-Daniels-Midland Co.
8.875%, 4/15/2011 295 374
Auburn Hills
12.00%, 5/1/2020 175 296
C.R. Bard, Inc.
6.70%, 12/1/2026 1,100 1,175
Bayer Corp.
6.65%, 2/15/2028 850 879
Black & Decker Corp.
6.625%, 11/15/2000 1,000 1,013
7.50%, 4/1/2003 1,700 1,782
The Boeing Co.
6.625%, 2/15/2038 900 904
Burlington Northern Santa Fe Corp.
6.375%, 12/15/2005 150 155
6.875%, 2/15/2016 500 525
7.00%, 12/15/2025 100 106
7.25%, 8/1/2097 300 320
CSX Corp.
6.80%, 12/1/2028 1,000 1,008
8.625%, 5/15/2022 100 122
Caterpillar Co.
7.375%, 3/1/2097 750 814
Chrysler Corp.
7.45%, 2/1/2097 300 342
Comcast Cablevision
8.375%, 5/1/2007 700 809
8.875%, 5/1/2017 850 1,060
Conrail Corp.
9.75%, 6/15/2020 120 159
Continental Airlines, Inc.
(3) 6.331%, 10/15/2004 1,400 1,399
(3) 6.41%, 10/15/2008 875 892
6.648%, 3/15/2019 830 859
Cyprus Minerals
6.625%, 10/15/2005 600 585
Dayton Hudson Corp.
6.65%, 8/1/2028 500 512
6.75%, 1/1/2028 1,000 1,038
</TABLE>
39
<PAGE> 42
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------
FACE MARKET
AMOUNT VALUE*
BALANCED INDEX FUND (000) (000)
- -----------------------------------------------------------------------------------
<S> <C> <C>
Deere & Co.
8.50%, 1/9/2022 $ 100 $ 124
Delta Airlines, Inc.
(Equipment Trust Certificates)
(3) 8.54%, 1/2/2007 379 414
Dillards Inc.
5.79%, 11/15/2001 2,000 2,000
The Walt Disney Co.
7.55%, 7/15/2093 850 996
Eastman Chemical Co.
6.375%, 1/15/2004 300 299
7.25%, 1/15/2024 450 443
Federated Department Stores, Inc.
7.45%, 7/15/2017 975 1,059
Ford Capital BV
9.50%, 6/1/2010 100 128
Fortune Brands
7.875%, 1/15/2023 100 120
Gannett Co.
5.85%, 5/1/2000 1,000 1,006
International Business
Machines Corp.
7.125%, 12/1/2096 1,125 1,254
International Paper Co.
7.875%, 8/1/2006 100 109
Kroger Co.
6.375%, 3/1/2008 505 512
7.65%, 4/15/2007 570 624
8.15%, 7/15/2006 500 557
Lafarge Corp.
6.375%, 7/15/2005 1,750 1,791
Lockheed Martin Corp.
6.85%, 5/15/2001 1,500 1,546
7.70%, 6/15/2008 1,300 1,466
Lucent Technologies, Inc.
6.50%, 1/15/2028 500 529
May Department Stores Co.
9.75%, 2/15/2021 120 166
9.875%, 12/1/2002 225 258
McDonald's Corp.
6.75%, 2/15/2003 300 305
Mobil Corp.
7.625%, 2/23/2033 175 187
Mobil Corp. ESOP
(3) 9.17%, 2/29/2000 337 347
Monsanto Co.
5.375%, 12/1/2001 2,500 2,497
5.75%, 12/1/2005 1,000 997
News America Holdings Inc.
8.50%, 2/15/2005 700 781
Norfolk Southern Corp.
6.875%, 5/1/2001 2,250 2,324
7.40%, 9/15/2006 535 587
7.70%, 5/15/2017 100 113
7.80%, 5/15/2027 300 348
7.90%, 5/15/2097 100 118
Northrop Grumman Corp.
7.00%, 3/1/2006 500 521
9.375%, 10/15/2024 650 752
Occidental Petroleum Corp.
8.50%, 11/9/2001 1,200 1,263
8.50%, 9/15/2004 500 509
J.C. Penney & Co., Inc.
6.875%, 6/15/1999 750 755
7.125%, 11/15/2023 100 103
9.05%, 3/1/2001 300 319
Philip Morris Cos., Inc.
7.00%, 7/15/2005 500 533
8.25%, 10/15/2003 200 221
Phillips Petroleum Co.
9.00%, 6/1/2001 1,000 1,078
Praxair, Inc.
6.25%, 6/30/2000 1,250 1,257
6.70%, 4/15/2001 2,100 2,129
6.75%, 3/1/2003 2,250 2,296
6.90%, 11/1/2006 350 358
Raytheon Co.
5.70%, 11/1/2003 1,100 1,103
6.45%, 8/15/2002 1,500 1,540
7.00%, 11/1/2028 300 317
Safeway Inc.
5.75%, 11/15/2000 1,850 1,850
5.875%, 11/15/2001 800 800
6.85%, 9/15/2004 1,500 1,554
Telecommunications Inc.
6.375%, 5/1/2003 2,675 2,754
7.25%, 8/1/2005 475 515
7.875%, 8/1/2013 500 584
8.25%, 1/15/2003 2,000 2,190
Tenneco, Inc.
10.075%, 2/1/2001 850 916
Texaco Capital Corp.
7.50%, 3/1/2043 150 160
8.875%, 9/1/2021 100 130
Texas Instruments Inc.
6.125%, 2/1/2006 600 618
Time Warner Entertainment
8.375%, 3/15/2023 1,500 1,832
Time Warner Inc.
8.18%, 8/15/2007 500 578
Tosco Corp.
7.00%, 7/15/2000 3,000 3,040
Union Carbide Corp.
6.75%, 4/1/2003 500 505
7.75%, 10/1/2096 375 368
7.875%, 4/1/2023 200 210
Union Oil of California
6.375%, 2/1/2004 150 150
Union Pacific Corp.
8.625%, 5/15/2022 225 245
United Technologies Corp.
8.875%, 11/15/2019 575 757
WMX Technologies Inc.
7.65%, 3/15/2011 1,850 2,066
Whirlpool Corp.
9.00%, 3/1/2003 200 223
--------------
81,079
--------------
UTILITIES (1.8%)
AT&T Corp.
8.35%, 1/15/2025 210 241
Ameritech Capital Funding
6.15%, 1/15/2008 1,525 1,607
7.50%, 4/1/2005 600 672
</TABLE>
40
<PAGE> 43
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------
FACE MARKET
AMOUNT VALUE*
(000) (000)
- -----------------------------------------------------------------------------------
<S> <C> <C>
Arizona Public Service Co.
7.25%, 8/1/2023 $ 400 $ 417
Baltimore Gas & Electric Co.
8.375%, 8/15/2001 800 859
Carolina Power & Light Co.
6.875%, 8/15/2023 275 279
Coastal Corp.
7.75%, 10/15/2035 750 804
Commonwealth Edison
7.375%, 9/15/2002 1,000 1,060
7.50%, 7/1/2013 250 282
Consolidated Edison Co.
of New York, Inc.
6.625%, 2/1/2002 1,000 1,032
Enron Corp.
6.40%, 7/15/2006 1,500 1,512
6.875%, 10/15/2007 1,000 1,041
7.125%, 5/15/2007 300 317
9.125%, 4/1/2003 700 775
9.65%, 5/15/2001 400 432
GTE South Inc.
6.125%, 6/15/2007 1,500 1,561
Houston Lighting & Power Co.
8.75%, 3/1/2022 150 162
Illinois Power Co.
7.50%, 7/15/2025 500 505
MCI Communications Corp.
6.50%, 4/15/2010 850 891
7.50%, 8/20/2004 450 490
7.75%, 3/23/2025 350 369
Michigan Bell Telephone Co.
7.50%, 2/15/2023 175 187
National Rural Utility Co.
6.20%, 2/1/2008 1,500 1,571
6.42%, 5/1/2008 700 738
New England Telephone
& Telegraph Co.
7.875%, 11/15/2029 750 923
9.00%, 8/1/2031 1,000 1,132
New York Telephone Co.
6.125%, 1/15/2010 1,500 1,569
7.00%, 8/15/2025 200 209
Pacific Bell Telephone Co.
7.25%, 7/1/2002 275 292
Southern California Edison
5.625%, 10/1/2002 1,500 1,522
Southwestern Bell Telephone Co.
6.625%, 7/15/2007 1,400 1,515
7.25%, 7/15/2025 400 420
7.625%, 3/1/2023 725 792
Sprint Capital Corp.
6.875%, 11/15/2028 1,700 1,767
Texas Utilities Co.
7.875%, 3/1/2023 225 239
8.125%, 2/1/2002 400 429
Union Electric Power Co.
7.65%, 7/15/2003 250 272
US West Capital Funding, Inc.
6.125%, 7/15/2002 1,000 1,024
US West Communications Inc.
7.25%, 9/15/2025 1,000 1,116
Virginia Electric & Power Co.
6.625%, 4/1/2003 250 262
6.75%, 10/1/2023 500 495
Worldcom Inc.
6.125%, 8/15/2001 3,500 3,560
--------------
35,342
--------------
- -----------------------------------------------------------------------------------
TOTAL CORPORATE BONDS
(COST $268,173) 273,959
- -----------------------------------------------------------------------------------
FOREIGN AND INTERNATIONAL AGENCY BONDS
(U.S. DOLLAR-DENOMINATED)(1.6%)
- -----------------------------------------------------------------------------------
Asian Development Bank
9.125%, 6/1/2000 500 525
Bank of Nova Scotia
6.875%, 5/1/2003 250 259
Bayerische Landesbank
5.875%, 4/7/2000 1,900 1,918
Province of British Columbia
7.00%, 1/15/2003 630 668
Canadian Imperial Bank of Commerce
(NY Branch)
6.20%, 8/1/2000 4,400 4,446
Canadian National Railway
6.80%, 7/15/2018 1,075 1,094
6.90%, 7/15/2028 400 411
Embotelladora Andina SA
7.875%, 10/1/2097 650 479
Finland Global Bond
7.875%, 7/28/2004 850 951
Grand Metropolitan Investment Corp.
8.625%, 8/15/2001 1,000 1,074
9.00%, 8/15/2011 1,000 1,251
Hanson Overseas
7.375%, 1/15/2003 1,850 1,955
Inter-American Development Bank
8.50%, 3/15/2011 175 221
KFW International Finance, Inc.
7.20%, 3/15/2014 300 343
7.625%, 2/15/2004 400 441
8.85%, 6/15/1999 550 559
Province of Manitoba
7.75%, 2/1/2002 825 879
8.75%, 5/15/2001 300 323
9.125%, 1/15/2018 750 1,002
9.50%, 10/1/2000 160 171
9.625%, 12/1/2018 400 561
National Westminster Bancorp Inc.
9.375%, 11/15/2003 500 574
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 200 242
Province of Newfoundland
7.32%, 10/13/2023 600 663
10.00%, 12/1/2020 250 353
Noranda Forest
7.50%, 7/15/2003 500 511
Noranda, Inc.
8.625%, 7/15/2002 550 575
</TABLE>
41
<PAGE> 44
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------
FACE MARKET
AMOUNT VALUE*
(000) (000)
- -----------------------------------------------------------------------------------
<S> <C> <C>
Northern Telecom Ltd.
6.875%, 9/1/2023 $ 500 $ 505
Province of Ontario
7.375%, 1/27/2003 175 187
7.75%, 6/4/2002 275 295
Petro Geo-Services
6.25%, 11/19/2003 500 495
7.125%, 3/30/2028 1,075 1,011
7.50%, 3/31/2007 250 260
Republic of Portugal
5.75%, 10/8/2003 1,000 1,025
Providence of Saskatchewan
6.625%, 7/15/2003 2,250 2,364
8.00%, 7/15/2004 1,600 1,795
Swiss Bank Corp.
7.00%, 10/15/2015 500 515
- -----------------------------------------------------------------------------------
TOTAL FOREIGN AND INTERNATIONAL AGENCY BONDS
(COST $31,207) 32,135
- -----------------------------------------------------------------------------------
TEMPORARY CASH INVESTMENTS (3.0%)(1)
- -----------------------------------------------------------------------------------
U.S. TREASURY BILLS
(2) 4.046%, 1/14/1999 2,000 1,998
(2) 4.429%, 1/7/1999 500 500
REPURCHASE AGREEMENTS
Collateralized by U.S. Government
Obligations in a Pooled
Cash Account
4.76%, 1/4/1999 39,844 39,844
4.77%, 1/4/1999--Note F 17,509 17,509
- -----------------------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(COST $59,849) 59,851
- -----------------------------------------------------------------------------------
TOTAL INVESTMENTS (100.5%)
(COST $1,523,676) 2,013,684
- -----------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-0.5%)
- -----------------------------------------------------------------------------------
Other Assets--Note B 29,240
Liabilities--Note F (39,339)
--------------
(10,099)
- -----------------------------------------------------------------------------------
NET ASSETS (100%)
- -----------------------------------------------------------------------------------
Applicable to 108,396,530 outstanding
$.001 par value shares of beneficial interest
(UNLIMITED AUTHORIZATION) $2,003,585
===================================================================================
NET ASSET VALUE PER SHARE $18.48
===================================================================================
</TABLE>
*See Note A in Notes to Financial Statements.
- -Non-Income-Producing Security.
(1)The fund invests a portion of its cash reserves in equity markets through
the use of index futures contracts. After giving effect to futures
investments, the fund's effective common stock and temporary cash investment
positions represent 60.9% and 1.1%, respectively, of net assets. See Note E
in Notes to Financial Statements.
(2)Securities with an aggregate value of $2,498,000 have been segregated as
initial margin for open futures contracts.
(3)The average maturity is shorter than the final maturity shown due to
scheduled interim principal payments.
REIT--Real Estate Investment Trust.
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------
AT DECEMBER 31, 1998, NET ASSETS CONSISTED OF:
- -----------------------------------------------------------------------------------
AMOUNT PER
(000) SHARE
- -----------------------------------------------------------------------------------
<S> <C> <C>
Paid in Capital $1,506,406 $13.90
Overdistributed Net
Investment Income (947) (.01)
Accumulated Net
Realized Gains 5,446 .05
Unrealized Appreciation--
Note E
Investment Securities 490,008 4.52
Futures Contracts 2,672 .02
- -----------------------------------------------------------------------------------
NET ASSETS $2,003,585 $18.48
===================================================================================
</TABLE>
42
<PAGE> 45
STATEMENT OF OPERATIONS
This Statement shows dividend and interest income earned by the fund during the
reporting period, and details the operating expenses charged to the fund. These
expenses directly reduce the amount of investment income available to pay to
shareholders as dividends. This Statement also shows any Net Gain (Loss)
realized on the sale of investments, and the increase or decrease in the
Unrealized Appreciation (Depreciation) on investments during the period. If the
fund invested in futures contracts during the period, the results of these
investments are shown separately.
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------
BALANCED INDEX FUND
YEAR ENDED DECEMBER 31, 1998
(000)
- ------------------------------------------------------------------------------------------------------------------------
<S> <C>
INVESTMENT INCOME
INCOME
Dividends $ 12,743
Interest 42,478
Security Lending 308
-----------
Total Income 55,529
-----------
EXPENSES
The Vanguard Group--Note B
Investment Advisory Services 123
Management and Administrative 2,565
Marketing and Distribution 388
Taxes (other than income taxes) 65
Custodian Fees 109
Auditing Fees 9
Shareholders' Reports 117
Annual Meeting and Proxy Costs 5
Trustees' Fees and Expenses 3
-----------
Total Expenses 3,384
Expenses Paid Indirectly--Note C (6)
-----------
Net Expenses 3,378
- ------------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 52,151
- ------------------------------------------------------------------------------------------------------------------------
REALIZED NET GAIN
Investment Securities Sold 10,245
Futures Contracts 6,420
- ------------------------------------------------------------------------------------------------------------------------
REALIZED NET GAIN 16,665
- ------------------------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Investment Securities 195,707
Futures Contracts 2,529
- ------------------------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) 198,236
- ------------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $267,052
========================================================================================================================
</TABLE>
43
<PAGE> 46
STATEMENT OF CHANGES IN NET ASSETS
This Statement shows how the fund's total net assets changed during the two
most recent reporting periods. The Operations section summarizes information
detailed in the Statement of Operations. The amounts shown as Distributions to
shareholders from the fund's net income and capital gains may not match the
amounts shown in the Operations section, because distributions are determined
on a tax basis and may be made in a period different from the one in which the
income was earned or the gains were realized on the financial statements. The
Capital Share Transactions section shows the amount shareholders invested in
the fund, either by purchasing shares or by reinvesting distributions, as well
as the amounts redeemed. The corresponding numbers of Shares Issued and
Redeemed are shown at the end of the Statement.
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------
BALANCED INDEX FUND
YEAR ENDED DECEMBER 31,
------------------------------
1998 1997
(000) (000)
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE IN NET ASSETS
OPERATIONS
Net Investment Income $ 52,151 $ 36,614
Realized Net Gain 16,665 9,950
Change in Unrealized Appreciation (Depreciation) 198,236 157,724
------------------------------
Net Increase in Net Assets Resulting from Operations 267,052 204,288
------------------------------
DISTRIBUTIONS
Net Investment Income (52,344) (37,368)
Realized Capital Gain (13,902) (10,005)
------------------------------
Total Distributions (66,246) (47,373)
------------------------------
CAPITAL SHARE TRANSACTIONS(1)
Issued 744,346 382,845
Issued in Lieu of Cash Distributions 62,334 44,288
Redeemed (264,287) (149,905)
------------------------------
Net Increase from Capital Share Transactions 542,393 277,228
- ------------------------------------------------------------------------------------------------------------------------
Total Increase 743,199 434,143
- ------------------------------------------------------------------------------------------------------------------------
NET ASSETS
Beginning of Year 1,260,386 826,243
------------------------------
End of Year $2,003,585 $1,260,386
========================================================================================================================
(1)Shares Issued (Redeemed)
Issued 42,682 25,083
Issued in Lieu of Cash Distributions 3,511 2,876
Redeemed (15,153) (9,969)
------------------------------
Net Increase in Shares Outstanding 31,040 17,990
========================================================================================================================
</TABLE>
44
<PAGE> 47
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 THROUGHOUT EACH YEAR 1998 1997 1996 1995 1994
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF YEAR $16.29 $13.92 $12.77 $10.34 $10.91
- ---------------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .54 .520 .50 .45 .41
Net Realized and Unrealized Gain (Loss) on Investments 2.33 2.525 1.26 2.48 (.58)
-------------------------------------------------------------
Total from Investment Operations 2.87 3.045 1.76 2.93 (.17)
-------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.54) (.530) (.49) (.45) (.40)
Distributions from Realized Capital Gains (.14) (.145) (.12) (.05) --
-------------------------------------------------------------
Total Distributions (.68) (.675) (.61) (.50) (.40)
- ---------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF YEAR $18.48 $16.29 $13.92 $12.77 $10.34
===========================================================================================================================
TOTAL RETURN* 17.85% 22.24% 13.95% 28.64% -1.56%
===========================================================================================================================
Ratios/Supplemental Data
Net Assets, End of Year (Millions) $2,004 $1,260 $826 $590 $403
Ratio of Total Expenses to Average Net Assets 0.21% 0.20% 0.20% 0.20% 0.20%
Ratio of Net Investment Income to Average Net Assets 3.29% 3.56% 3.69% 3.85% 3.86%
Portfolio Turnover Rate 25% 18% 37%+ 16% 16%
===========================================================================================================================
</TABLE>
* Total return figures do not reflect the annual account maintenance fee of $10.
+ Portfolio turnover rate excluding in-kind redemptions was 30%.
45
<PAGE> 48
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 Trustees 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 the 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
Trustees. The fund has committed to provide up to
46
<PAGE> 49
0.40% of its net assets in capital contributions to Vanguard. At December 31,
1998, the fund had contributed capital of $336,000 to Vanguard (included in
Other Assets), representing 0.02% of the fund's net assets and 0.5% of
Vanguard's capitalization. The fund's Trustees and officers are also Directors
and officers of Vanguard.
C. The fund's custodian bank has agreed to reduce its fees when the fund
maintains cash on deposit in the non-interest-bearing custody account. For the
year ended December 31, 1998, custodian fee offset arrangements reduced
expenses by $6,000.
D. During the year ended December 31, 1998, the fund purchased $460,090,000 of
investment securities and sold $56,646,000 of investment securities other than
U.S. government securities and temporary cash investments. Purchases and sales
of U.S. government securities were $510,366,000 and $335,527,000, respectively.
E. At December 31, 1998, net unrealized appreciation of investment securities
for financial reporting and federal income tax purposes was $490,008,000,
consisting of unrealized gains of $531,098,000 on securities that had risen in
value since their purchase and $41,090,000 in unrealized losses on securities
that had fallen in value since their purchase.
At December 31, 1998, the aggregate settlement value of open futures
contracts expiring in March 1999 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 86 $26,778 $1,604
S&P MidCap 400 Index 43 8,423 853
Russell 2000 Index 13 2,764 215
----------------------------------------------------------------------------------------------
</TABLE>
Unrealized appreciation on open futures contacts is required to be treated
as realized gain for tax purposes.
F. The market value of securities on loan to broker/dealers at December 31,
1998, was $15,141,000, for which the fund held cash collateral of $17,509,000.
Cash collateral received is invested in repurchase agreements.
47
<PAGE> 50
REPORT OF INDEPENDENT ACCOUNTANTS
[PHOTO]
To the Shareholders and Trustees of
Vanguard Balanced Index Fund
In our opinion, the accompanying statement of net assets and the related
statements of operations and of changes in net assets and the financial
highlights present fairly, in all material respects, the financial position of
Vanguard Balanced Index Fund (the "Fund") at December 31, 1998, the results of
its operations for the year then ended, the changes in its net assets for each
of the two years in the period then ended and the financial highlights for each
of the five years in the period then ended, in conformity with generally
accepted accounting principles. These financial statements and financial
highlights (hereafter referred to as "financial statements") are the
responsibility of the Fund's management; our responsibility is to express an
opinion on these financial statements based on our audits. We conducted our
audits of these financial statements in accordance with generally accepted
auditing standards which require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of
material misstatement. An audit includes examining, on a test basis, evidence
supporting the amounts and disclosures in the financial statements, assessing
the accounting principles used and significant estimates made by management,
and evaluating the overall financial statement presentation. We believe that
our audits, which included confirmation of securities at December 31, 1998 by
correspondence with the custodian and brokers, provide a reasonable basis for
the opinion expressed above.
PricewaterhouseCoopers LLP
Thirty South Seventeenth Street
Philadelphia, Pennsylvania 19103
February 2, 1999
SPECIAL 1998 TAX INFORMATION (UNAUDITED) FOR VANGUARD BALANCED INDEX FUND
This information for the fiscal year ended December 31, 1998, is included
pursuant to provisions of the Internal Revenue Code.
The fund distributed $8,010,000 as capital gain dividends (from net
long-term capital gains) to shareholders during the fiscal year ended December
31, 1998, all of which is designated as a 20% rate gain distribution.
For corporate shareholders, 21.8% of investment income (dividend
income plus short-term gains, if any) qualifies for the dividends-received
deduction.
48
<PAGE> 51
TRUSTEES AND OFFICERS
JOHN C. BOGLE
Founder, Senior Chairman of the Board, and Director/Trustee of The Vanguard
Group, Inc., and each of the investment companies in The Vanguard Group.
JOHN J. BRENNAN
Chairman of the Board, Chief Executive Officer, and Director/Trustee of The
Vanguard Group, Inc., and 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.
JOANN HEFFERNAN HEISEN
Vice President, Chief Information Officer, and a member of the Executive
Committee of Johnson & Johnson; Director of Johnson & Johnson-Merck Consumer
Pharmaceuticals Co., Women First HealthCare, Inc., Recording for the Blind and
Dyslexic, The Medical Center at Princeton, and Women's Research and Education
Institute.
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, Banco Bilbao Gestinova, 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.,
NACCO Industries, and Newfield Exploration Co.
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.
THOMAS J. HIGGINS
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> 52
VANGUARD
MILESTONES
[GRAPHIC]
The Vanguard Group is
named for HMS Vanguard,
Admiral Horatio Nelson's flagship
at the Battle of the Nile on
August 1, 1798. Our founder,
John C. Bogle, chose the name
after reading Nelson's inspiring
tribute to his fleet: "Nothing could
withstand the squadron . . .
with the judgment of the captains,
together with their valour, and that
of the officers and men of every
description, it was absolutely irresistible."
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Walter L. Morgan, founder of
Wellington Fund, the nation's
oldest balanced mutual fund
and forerunner of today's family
of some 100 Vanguard funds,
celebrated his 100th birthday on
July 23, 1998. Mr. Morgan,
a true investment pioneer, died
six weeks later on September 2.
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Wellington Fund,
The Vanguard Group's oldest fund,
was incorporated by Mr. Morgan
70 years ago, on December 28, 1928.
The fund was named after
the Duke of Wellington,
whose forces defeated
Napoleon Bonaparte at the
Battle of Waterloo in 1815.
[THE VANGUARD GROUP LOGO]
Post Office Box 2600
Valley Forge, Pennsylvania 19482
FUND INFORMATION
1-800-662-7447
INDIVIDUAL ACCOUNT SERVICES
1-800-662-2739
INSTITUTIONAL INVESTOR SERVICES
1-800-523-1036
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.
Q020-02/23/1999
(C) 1999 Vanguard Marketing Corporation, Distributor. All rights reserved.
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