<PAGE> 1
VANGUARD
BALANCED INDEX
FUND
[PHOTO]
SEMIANNUAL
REPORT
JUNE 30, 1999
[THE VANGUARD GROUP LOGO]
<PAGE> 2
AT VANGUARD, WE BELIEVE THAT TRADITION MATTERS
Our 9,000 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.
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, 1998, 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, 1998.
- - The 70th anniversary, on December 28, 1998, 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
4
FUND PROFILE
6
PERFORMANCE SUMMARY
10
FINANCIAL STATEMENTS
11
FOR AN UPDATE ON OUR YEAR 2000
PREPAREDNESS, SEE PAGE 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
Spurred on by a strong stock market that helped compensate for a modest slump in
bond prices, Vanguard Balanced Index Fund's return for the first half of its
fiscal year was a positive +6.4%. Its performance equaled that of its index
benchmark and once again surpassed that of the average balanced fund.
The adjacent table presents the fund's total return (capital change plus
reinvested dividends) for 1999's first half, along with the returns of the
average balanced fund and the Balanced Composite Index, which is weighted 60% in
the Wilshire 5000 Equity Index--representing the entire U.S. stock market--and
40% in the Lehman Brothers Aggregate Bond Index, which reflects the U.S. taxable
bond market. For reference, the table also presents the returns of those two
proxies during the period.
The Balanced Index Fund's return is based on an increase in net asset
value from $18.48 per share on December 31, 1998, to $19.33 per share on June
30, 1999, and is adjusted for dividends totaling $0.25 per share paid from net
investment income and a distribution of $0.075 per share paid from net realized
capital gains. The fund's annualized yield as of June 30 was 3.19%.
<TABLE>
<CAPTION>
- -----------------------------------------------------
TOTAL RETURNS
SIX MONTHS ENDED
JUNE 30, 1999
- -----------------------------------------------------
<S> <C>
Vanguard Balanced Index Fund + 6.4%
- -----------------------------------------------------
Average Balanced Fund + 5.6%
- -----------------------------------------------------
Balanced Composite Index* + 6.4%
- -----------------------------------------------------
Wilshire 5000 Index + 11.8%
Lehman Aggregate Bond Index - 1.4
- -----------------------------------------------------
</TABLE>
*Made up of two unmanaged benchmarks, weighted 60% Wilshire 5000 Index and 40%
Lehman Aggregate Bond Index.
FINANCIAL MARKETS IN REVIEW
The key influences on financial markets during the first half of 1999 were the
surprising strength of the U.S. economy's long-running expansion, promising
corporate earnings, and the increasing signs that a number of shaky foreign
economies were on firmer footing. These factors were responsible for both
broad-based gains in U.S. stocks and increases in interest rates, which sent
bond prices lower.
The overall U.S. stock market, as measured by the Wilshire 5000 Index,
gained +11.8%--equivalent to more than a full year's return based on historical
norms. But the half-year saw a sharp rotation in market leadership. As the
outlook for global economic growth kept improving, there was a notable revival
in cyclical stocks--commodity-related companies, machinery makers, and other
firms whose profit prospects are most closely tied to the economy's ups and
downs. This was a welcome change for the cyclicals and other "value" stocks that
had lagged the market not just in the first quarter but for much of the last
five years. During the first quarter, the growth stocks in the Standard & Poor's
500 Index outpaced the value stocks--those characterized by above-average
dividend yields and below-average price/earnings ratios. However, the situation
reversed during the second quarter, and for the half-year, value stocks carried
the day with a gain of +14.0% while growth stocks were up +11.0%.
1
<PAGE> 4
Also rebounding vigorously were small-capitalization stocks, which had
trailed far behind large-caps in recent years. The small-cap Russell 2000 Index
handily outpaced the S&P 500 during the second quarter, although it trailed the
large-cap index for the half-year, +9.3% to +12.4%.
For bondholders, a surging economy has a dark side: the possibility that
accelerating growth will push up inflation, which diminishes the buying power of
future bond interest and principal payments. Interest rates held steady in
January, but rose throughout the rest of the half-year. By June 30, yields on
U.S. Treasury notes and bonds were higher by roughly 1 percentage point from
their year-end 1998 levels. The benchmark 30-year Treasury bond's yield
increased 86 basis points (0.86 percentage point), from 5.10% to 5.96%. The rate
rise was less pronounced for short-term securities, with the 3-month Treasury
bill's yield rising 33 basis points, from 4.45% on December 31, 1998, to 4.78%
on June 30.
The Lehman Aggregate Bond Index, which has an intermediate-term average
maturity, returned -1.4%, as a -4.4% price decline more than offset +3.0% in
interest income. Declines were larger for longer-term bonds, whose prices are
more sensitive to interest rate fluctuations.
PERFORMANCE OVERVIEW
Vanguard Balanced Index Fund's +6.4% return during the period was right in line
with the performance of its composite index. This achievement is important to
note because, unlike the unmanaged index, the fund must contend with operating
and transaction costs that erode its return.
Matching the index return is a noteworthy feat by the members of our Core
Management and Fixed Income Groups, who astutely choose representative samples
of the securities held in the indexes in order to closely approximate the risk
and return characteristics of those indexes.
The fact that about 60% of the Balanced Index Fund's assets are allocated
to stocks has, of course, been a boon during the sustained bull market we have
experienced. Your fund also benefits from a distinct cost advantage. Indexing is
an inherently cost-efficient method of investing that minimizes securities
trading and the associated transaction costs. What's more, at 0.20%, your fund's
annual expense ratio is less than one-sixth of the 1.31% expense ratio charged
by the average balanced fund. These cost savings do matter. It is quite an
uphill battle for an actively managed fund to overcome our cost advantage.
We're also pleased that our index-matching strategy continues to provide
returns that are superior to our peers. The fund outpaced the average balanced
fund (+6.4% versus +5.6%) during the half-year, a feat it has accomplished in
each full year of its history except 1993, its first year, when it lagged its
competitors by 0.7 percentage point.
IN SUMMARY
The divergence between stock and bond returns and the sudden shift in leadership
among stocks during the first half of 1999 reinforced the benefits of a balanced
investment approach--the hallmark of your fund. Diversifying your investment
program through holdings that represent both stocks and bonds, together with
short-term reserves, gives you exposure to the rewards of the financial markets
while enabling you to spread out the risks that go along with investing.
2
<PAGE> 5
Sticking with a balanced investment program can be trying at times,
particularly when one market segment runs ahead of the others and seems to be
"the only game in town." But in the long run, such a program can help you to
ride out the inevitable fluctuations that are encountered en route to your
financial goals. So once you've decided on an investment plan suited to your
time horizon, goals, and tolerance for risk, we urge you to "stay the course."
/s/ JOHN C. BOGLE /s/ JOHN J. BRENNAN
John C. Bogle John J. Brennan
Senior Chairman Chairman and
Chief Executive Officer
July 21, 1999
NOTICE TO SHAREHOLDERS
In the past, the quarterly income dividends that Vanguard Balanced Index Fund
distributed to shareholders were paid at a "set rate" of $0.10 per share.
Income the fund earned during the first three quarters that was in excess of
the set rate was distributed in the December income dividend. Beginning with
the dividend paid in June 1999, Balanced Index Fund will distribute income on
a "pay as you go" basis, rather than according to a set rate. This policy
change provides for a more even distribution of income by distributing
substantially all of the income earned during each quarter to the fund's
shareholders at the end of the quarter. As a result of the transition to the
new policy, the income dividends distributed by the fund in June included
income earned during the second quarter as well as residual income earned, but
not distributed, during the first quarter. As a result, Vanguard Balanced
Index Fund's June dividend of $0.15 per share included about $0.02 of residual
income that remained in the fund after payment of the March dividend.
3
<PAGE> 6
THE MARKETS IN PERSPECTIVE
SIX MONTHS ENDED JUNE 30, 1999
[PHOTO]
A markedly improved global economic outlook during the first half of 1999 led to
mostly positive stock market returns and lower bond prices.
As the year began, many observers expected that severe economic crises in
Asia, Russia, and some Latin American nations would restrain business activity
worldwide, even in the United States, which has been the world's economic
locomotive. By spring, however, a consensus emerged that global economic
activity was likely to be solid, if not robust. This change in sentiment stemmed
from several factors, including further vigorous growth in the U.S. economy, a
belief that Asia's slump had bottomed out, and moves in Europe to ease monetary
policy to encourage growth.
Interest rates rose as investors stopped wondering whether the Federal
Reserve Board would lower interest rates--as it had three times in autumn
1998--and began to wonder when the Fed would increase rates to slow growth and
thereby forestall inflation. Indeed, on the final day of the period, the Fed
boosted short-term rates by 0.25 percentage point. In the stock market, the
brighter economic outlook led to a change in leadership from glamorous
large-capitalization growth stocks to value stocks and small-cap stocks, both of
which had been among Wall Street's wallflowers in recent years.
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------
TOTAL RETURNS
PERIODS ENDED JUNE 30, 1999
----------------------------------
6 MONTHS 1 YEAR 5 YEARS*
- -----------------------------------------------------------------------------
<S> <C> <C> <C>
STOCKS
S&P 500 Index 12.4% 22.8% 27.9%
Russell 2000 Index 9.3 1.5 15.4
Wilshire 5000 Index 11.8 19.5 25.7
MSCI EAFE Index 4.1 7.9 8.5
- -----------------------------------------------------------------------------
BONDS
Lehman Aggregate Bond Index -1.4% 3.2% 7.8%
Lehman 10 Year Municipal Bond Index -1.7 2.3 6.8
Salomon Smith Barney 3-Month
U.S. Treasury Bill Index 2.2 4.7 5.2
- -----------------------------------------------------------------------------
OTHER
Consumer Price Index 1.4% 2.0% 2.3%
- -----------------------------------------------------------------------------
</TABLE>
*Annualized.
U.S. STOCK MARKETS
The rise in stock prices reflected the healthy domestic economy and improving
prospects for corporate earnings. The overall market, as measured by the
Wilshire 5000 Index, rose 11.8% during the period, while the S&P 500 Index, a
yardstick for large-cap stocks, gained 12.4%.
Large-cap growth stocks, which are generally perceived as less vulnerable
than other stocks to economic slowdowns, continued to lead the market's climb
during the first quarter of the year. During the second quarter, however, value
stocks--especially producers of commodity products such as oil, aluminum, and
chemicals--moved to the front of the pack. Providing support were generally
upbeat corporate profit reports. Indeed, earnings gains were sufficient to send
prices higher despite rising interest rates, which often depress stock prices as
well as bond prices. For the six months, the S&P 500 Index's value stocks posted
a 14.0% return while its growth stocks gained 11.0% as a group.
4
<PAGE> 7
Small-cap stocks, as measured by the Russell 2000 Index, gained 9.3%,
although that fact masks a remarkable turnaround: Small-caps declined 5.4%
during the first quarter of 1999, then advanced 15.6% during the second quarter.
Even so, the cumulative return of the Russell 2000 over the past three years
lags the S&P 500 Index by nearly 80 percentage points (+37.6% for the Russell
2000 versus +115.2% for the S&P 500).
Four of the top-performing sectors within the S&P 500 Index during the
half-year were solidly in the value camp--the "other energy" group (+40%);
producer durables (+26%); materials & processing (+25%); and integrated-oils
(+17%). The strongest growth-oriented sector was the irrepressible technology
group (+24%). The poor performance of the consumer staples sector (-8%) was due
in part to the gains of the U.S. dollar against most foreign currencies, which
reduced the value of earnings from overseas operations.
U.S. BOND MARKETS
The powerful economic expansion that buoyed corporate profits and stock prices
was too much of a good thing for the bond market. Inflation was well
behaved--consumer prices rose 1.4% for the six months and 2.0% for the twelve
months ended June 30--but investors and Fed policymakers clearly were concerned
that an overheated economy might yet trigger significant increases in wages and
overall prices. Certainly, there was no evidence of the "natural slowing" that
many analysts expected for the economy, which is in the longest peacetime
expansion ever.
Yields on U.S. Treasury bonds rose by approximately 1 percentage point--a
significant rise for a six-month period. The yield of the 30-year Treasury bond
rose 86 basis points, to 5.96% on June 30 from 5.10% on December 31, 1998. The
yield of the 10-year Treasury rose 113 basis points, to 5.78% from 4.65%. Money
market rates didn't rise as far: Yields on 3-month T-bills increased on balance
by only 33 basis points, to 4.78% on June 30. Bond prices, which move in the
opposite direction from interest rates, fell. The Lehman Aggregate Bond Index, a
benchmark for investment-grade taxable bonds, declined 1.4% on a total-return
basis, as bond prices declined an average of 4.4%, outweighing the 3.0% in
interest income for the period.
INTERNATIONAL STOCK MARKETS
Led by sharp recoveries in stock prices in Japan and many emerging markets,
international stock prices generated positive returns in local currencies during
the six months. However, a pervasive rise in the value of the U.S. dollar
against other currencies reduced returns for U.S. investors (returns from abroad
are augmented when the dollar falls in value against other currencies).
Overall, the developed markets outside the United States gained 4.1% in
U.S.-dollar terms, as measured by the Morgan Stanley Capital International
Europe, Australasia, Far East (EAFE) Index. The biggest increases were in the
Pacific region--up 27.3% in local-currency terms and 21.1% when measured in U.S.
dollars. Europe, which accounts for the lion's share of EAFE's market
capitalization, was up 8.2% in local currencies. But in U.S. dollars, the return
from European stocks was a negative 2.3%, as weakness in European
currencies--notably in the euro, the new 11-nation common currency--lopped more
than 10 percentage points from the local-currency returns. The MSCI Select
Emerging Markets Free Index shot up 31.5% in dollar terms, led by Asian markets
that rebounded from severe losses suffered in 1997 and 1998.
5
<PAGE> 8
FUND PROFILE
BALANCED INDEX FUND
This Profile provides a snapshot of the fund's characteristics as of June 30,
1999, compared where appropriate to an unmanaged index. Key elements of this
Profile are defined on pages 8 and 9.
<TABLE>
<CAPTION>
TOTAL FUND CHARACTERISTICS
- ----------------------------------------------------------
<S> <C>
Yield 3.2%
Turnover Rate 32%*
Expense Ratio 0.20%*
Cash Reserves 0.4%
</TABLE>
*Annualized.
<TABLE>
<CAPTION>
FUND ASSET ALLOCATION
- ----------------------------------------------------------
<S> <C>
STOCKS 61%
BONDS 39%
</TABLE>
<TABLE>
<CAPTION>
TOTAL FUND VOLATILITY MEASURES
- ----------------------------------------------------------
BALANCED S&P
INDEX 500
- ----------------------------------------------------------
<S> <C> <C>
R-Squared 0.97 1.00
Beta 0.61 1.00
</TABLE>
<TABLE>
<CAPTION>
TEN LARGEST STOCKS (% OF EQUITIES)
- -------------------------------------------------------
<S> <C>
Microsoft Corp. 3.3%
General Electric Co. 2.6
International Business Machines Corp. 1.7
Wal-Mart Stores, Inc. 1.5
Cisco Systems, Inc. 1.5
Lucent Technologies, Inc. 1.5
Intel Corp. 1.4
Exxon Corp. 1.3
AT&T Corp. 1.3
Merck & Co., Inc. 1.3
- -------------------------------------------------------
Top Ten 17.4%
- -------------------------------------------------------
Top Ten as % of Total Net Assets 10.2%
</TABLE>
<TABLE>
<CAPTION>
SECTOR DIVERSIFICATION (% OF COMMON STOCKS)
- -----------------------------------------------------------------------------------------
JUNE 30, 1998 JUNE 30, 1999
-------------------------------------------------------
BALANCED BALANCED WILSHIRE
INDEX INDEX 5000
-------------------------------------------------------
<S> <C> <C> <C>
Auto & Transportation 3.4% 2.6% 2.6%
Consumer Discretionary 13.1 14.9 14.9
Consumer Staples 8.6 6.5 6.6
Financial Services 20.2 17.8 17.7
Health Care 11.1 10.3 10.4
Integrated Oils 4.1 3.3 3.3
Other Energy 1.9 1.8 1.8
Materials & Processing 5.6 3.8 3.8
Producer Durables 3.9 3.8 3.8
Technology 13.1 19.4 19.2
Utilities 9.8 10.9 11.0
Other 5.2 4.9 4.9
- -----------------------------------------------------------------------------------------
</TABLE>
6
<PAGE> 9
<TABLE>
<CAPTION>
EQUITY CHARACTERISTICS
- -----------------------------------------------------------
BALANCED WILSHIRE
INDEX 5000
- -----------------------------------------------------------
<S> <C> <C>
Number of Stocks 3,017 7,167
Median Market Cap $35.0B $35.1B
Price/Earnings Ratio 27.8x 27.8x
Price/Book Ratio 4.5x 4.5x
Dividend Yield 1.2% 1.2%
Return on Equity 21.4% 21.4%
Earnings Growth Rate 16.0% 16.0%
Foreign Holdings 0.1% 0.1%
</TABLE>
<TABLE>
<CAPTION>
EQUITY INVESTMENT FOCUS
- -----------------------------
<S> <C>
STYLE
MARKET CAP
</TABLE>
VALUE BLEND GROWTH
LARGE
MEDIUM
SMALL
<TABLE>
<CAPTION>
FIXED-INCOME CHARACTERISTICS
- -----------------------------------------------------------
BALANCED
INDEX LEHMAN*
- -----------------------------------------------------------
<S> <C> <C>
Number of Bonds 419 7,520
Yield to Maturity 6.5% 6.6%
Average Coupon 7.3% 6.8%
Average Maturity 9.1 years 9.0 years
Average Quality Aa1 Aaa
Average Duration 5.0 years 4.9 years
</TABLE>
*Lehman Aggregate Bond Index.
<TABLE>
<CAPTION>
FIXED-INCOME INVESTMENT FOCUS
- ------------------------------------
<S> <C>
AVERAGE MATURITY
CREDIT QUALITY
</TABLE>
SHORT MEDIUM LONG
TREASURY/
AGENCY
INVESTMENT-GRADE
CORPORATE
BELOW
INVESTMENT-GRADE
<TABLE>
<CAPTION>
DISTRIBUTION BY ISSUER (% OF BONDS)
- -------------------------------------------------------
<S> <C>
Asset-Backed 4.3%
Finance 13.9
Foreign 4.9
Industrial 10.6
Mortgage 35.0
Treasury/Agency 26.8
Utilities 4.5
- -------------------------------------------------------
Total 100.0%
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION BY CREDIT QUALITY (% OF BONDS)
- -------------------------------------------------------
<S> <C>
Treasury/Agency 26.8%
Aaa 41.1
Aa 6.1
A 12.9
Baa 13.1
Ba 0.0
B 0.0
Not Rated 0.0
- -------------------------------------------------------
Total 100.0%
</TABLE>
7
<PAGE> 10
AVERAGE COUPON. The average interest rate paid on the securities held by a 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. U.S. Treasury securities are considered to
have the highest credit quality.
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 instruments. 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 fund, 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.
8
<PAGE> 11
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.
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 period. 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. The index yield is based on the current annualized rate of
dividends paid on stocks in the index.
YIELD TO MATURITY. The rate of return an investor would receive if the
securities held by a fund were held to their maturity dates.
9
<PAGE> 12
PERFORMANCE SUMMARY
BALANCED INDEX FUND
All of the data on this page represent past performance, which cannot be used to
predict future returns that may be achieved by the fund. Note, too, that both
share price and return can fluctuate widely, so an investment in the fund could
lose money.
<TABLE>
<CAPTION>
TOTAL INVESTMENT RETURNS: NOVEMBER 9, 1992-JUNE 30, 1999
- ------------------------------------------------------------
BALANCED INDEX FUND COMPOSITE
INDEX*
FISCAL CAPITAL INCOME TOTAL TOTAL
YEAR RETURN RETURN RETURN RETURN
- ------------------------------------------------------------
<S> <C> <C> <C> <C>
1992 2.9% 0.8% 3.7% 3.8%
1993 6.1 3.9 10.0 10.7
1994 -5.2 3.6 -1.6 -1.2
1995 24.0 4.6 28.6 29.0
1996 10.0 3.9 13.9 14.0
1997 18.2 4.0 22.2 22.5
1998 14.3 3.6 17.9 18.1
1999** 5.0 1.4 6.4 6.4
- ------------------------------------------------------------
</TABLE>
*60% Wilshire 5000 Index, 40% Lehman Aggregate Bond Index.
**Six months ended June 30, 1999.
See Financial Highlights table on page 45 for dividend and capital gains
information for the past five years.
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS: PERIODS ENDED JUNE 30, 1999
- --------------------------------------------------------------------------------------------------
SINCE INCEPTION
INCEPTION -------------------------------
DATE 1 YEAR 5 YEARS CAPITAL INCOME TOTAL
- --------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Balanced Index Fund* 11/9/1992 13.23% 18.28% 11.02% 3.95% 14.97%
- --------------------------------------------------------------------------------------------------
</TABLE>
*Total return figures do not reflect the $10 annual account maintenance fee
applied on balances under $10,000.
10
<PAGE> 13
FINANCIAL STATEMENTS
JUNE 30, 1999 (UNAUDITED)
[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.
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MARKET
VALUE*
BALANCED INDEX FUND SHARES (000)
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COMMON STOCKS (59.0%)(1)
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- - Microsoft Corp. 542,100 $ 48,891
General Electric Co. 349,513 39,495
International Business
Machines Corp. 196,100 25,346
Wal-Mart Stores, Inc. 477,300 23,030
- - Cisco Systems, Inc. 344,775 22,173
Lucent Technologies, Inc. 324,902 21,910
Intel Corp. 356,000 21,182
Exxon Corp. 260,300 20,076
AT&T Corp. 336,417 18,776
Merck & Co., Inc. 253,118 18,731
Citigroup, Inc. 362,627 17,225
- - MCI WorldCom, Inc. 199,781 17,194
The Coca-Cola Co. 263,900 16,494
American International
Group, Inc. 132,386 15,497
Pfizer, Inc. 138,700 15,222
Bristol-Myers Squibb Co. 213,100 15,010
Johnson & Johnson 142,906 14,005
Bank of America Corp. 185,550 13,603
- - America Online, Inc. 115,616 12,775
Procter & Gamble Co. 141,400 12,620
SBC Communications Inc. 209,433 12,147
- - Berkshire Hathaway Class A 158 10,886
Hewlett-Packard Co. 108,250 10,879
Bell Atlantic Corp. 165,008 10,787
Philip Morris Cos., Inc. 258,200 10,376
Home Depot, Inc. 158,798 10,232
- - Dell Computer Corp. 272,200 10,071
BellSouth Corp. 206,800 9,694
Time Warner, Inc. 130,100 9,562
Ameritech Corp. 117,200 8,614
Eli Lilly & Co. 117,256 8,398
Schering-Plough Corp. 157,900 8,369
Mobil Corp. 83,400 8,257
E.I. du Pont de Nemours & Co. 120,701 8,245
American Home Products Corp. 139,800 8,038
GTE Corp. 103,600 7,848
The Chase Manhattan Corp. 90,144 7,809
Fannie Mae 110,000 7,521
Wells Fargo Co. 175,740 7,513
Bank One Corp. 125,804 7,493
Abbott Laboratories 161,900 7,366
Ford Motor Co. 129,900 7,331
The Walt Disney Co. 220,800 6,803
Chevron Corp. 69,897 6,653
Morgan Stanley Dean
Witter & Co. 61,320 6,285
American Express Co. 47,984 6,244
Motorola, Inc. 64,400 6,102
PepsiCo, Inc. 157,400 6,089
Warner-Lambert Co. 87,380 6,062
Texas Instruments, Inc. 41,754 6,054
McDonald's Corp. 145,300 6,003
- - EMC Corp. 107,880 5,933
- - Sun Microsystems, Inc. 82,890 5,709
- - Oracle Corp. 152,930 5,677
Sprint Corp. 94,980 5,016
First Union Corp. 105,108 4,940
Gillette Co. 118,816 4,871
Medtronic, Inc. 62,121 4,838
- - MediaOne Group, Inc. 64,500 4,797
Charles Schwab Corp. 43,502 4,780
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MARKET
VALUE*
BALANCED INDEX FUND SHARES (000)
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General Motors Corp. 69,401 $ 4,580
The Gap, Inc. 90,788 4,573
The Boeing Co. 102,862 4,545
Freddie Mac 74,100 4,298
Compaq Computer Corp. 180,690 4,280
Xerox Corp. 70,484 4,163
- - Yahoo!, Inc. 24,101 4,151
AlliedSignal Inc. 58,900 3,711
Minnesota Mining &
Manufacturing Co. 42,500 3,695
Schlumberger Ltd. 57,892 3,687
Anheuser-Busch Cos., Inc. 50,531 3,584
Texaco Inc. 57,278 3,580
United Technologies Corp. 52,936 3,795
Waste Management, Inc. 64,949 3,491
Associates First Capital Corp. 77,012 3,412
- - CBS Corp. 75,829 3,294
- - Amgen, Inc. 53,742 3,271
Kimberly-Clark Corp. 57,324 3,267
- - Viacom Inc. Class B 71,444 3,143
Carnival Corp. 64,700 3,138
Computer Associates
International, Inc. 56,912 3,130
U S WEST, Inc. 53,169 3,124
Allstate Corp. 86,752 3,112
Walgreen Co. 105,570 3,101
Merrill Lynch & Co., Inc. 38,531 3,080
Colgate-Palmolive Co. 31,100 3,071
Enron Corp. 37,095 3,032
Dayton Hudson Corp. 46,600 3,029
Dow Chemical Co. 23,426 2,972
The Bank of New York Co., Inc. 80,462 2,952
Electronic Data Systems Corp. 52,100 2,947
Emerson Electric Co. 46,201 2,905
- - Applied Materials, Inc. 39,200 2,896
Atlantic Richfield Co. 34,500 2,883
Automatic Data Processing, Inc. 65,099 2,864
- - Tellabs, Inc. 41,036 2,772
Comcast Corp. Class A Special 71,518 2,749
- - Sprint PCS 46,720 2,669
Fleet Financial Group, Inc. 60,028 2,664
U.S. Bancorp 77,063 2,620
J.P. Morgan & Co., Inc. 18,600 2,613
Monsanto Co. 66,200 2,611
- - Safeway, Inc. 52,410 2,594
MBNA Corp. 84,698 2,594
- - Clear Channel
Communications, Inc. 35,472 2,445
- - Qwest Communications
International Inc. 73,920 2,444
- - The Kroger Co. 87,336 2,440
Household International, Inc. 50,984 2,415
Alcoa Inc. 38,780 2,399
SunTrust Banks, Inc. 33,877 2,352
Eastman Kodak Co. 34,314 2,325
- - QUALCOMM, Inc. 16,100 2,310
First Data Corp. 46,966 2,298
Caterpillar, Inc. 37,934 2,276
National City Corp. 34,524 2,261
Albertson's, Inc. 43,790 2,258
Washington Mutual, Inc. 62,701 2,218
Lowe's Cos., Inc. 39,092 2,216
International Paper Co. 43,515 2,197
Campbell Soup Co. 47,236 2,190
Sara Lee Corp. 96,302 2,185
Illinois Tool Works, Inc. 26,550 2,177
- - Level 3 Communications, Inc. 36,100 2,168
- - Amazon.com, Inc. 17,100 2,140
Gannett Co., Inc. 29,923 2,136
Marsh & McLennan Cos., Inc. 28,100 2,121
Halliburton Co. 46,794 2,117
ALLTEL Corp. 29,498 2,109
CVS Corp. 41,282 2,095
Duke Energy Corp. 38,412 2,089
- - Cox Communications Class A 56,028 2,062
Firstar Corp. 73,184 2,049
- - At Home Corp. Series A 37,660 2,031
Raytheon Co. Class B 28,800 2,027
Mellon Bank Corp. 55,548 2,020
American General Corp. 26,683 2,011
- - eBay Inc. 13,200 1,998
Southern Co. 74,000 1,961
CIGNA Corp. 21,877 1,947
Williams Cos., Inc. 45,208 1,924
H.J. Heinz Co. 38,200 1,915
NIKE, Inc. Class B 29,839 1,889
Baxter International, Inc. 31,105 1,886
Fifth Third Bancorp 28,255 1,881
- - Costco Cos., Inc. 23,165 1,855
Cardinal Health, Inc. 28,788 1,846
Pitney Bowes, Inc. 28,669 1,842
Wachovia Corp. 21,451 1,835
PNC Bank Corp. 31,840 1,835
- - Boston Scientific Corp. 41,548 1,825
Corning, Inc. 26,000 1,823
Sears, Roebuck & Co. 40,700 1,814
- - Solectron Corp. 26,400 1,760
- - Cendant Corp. 85,679 1,756
- - Priceline.com Inc. 15,100 1,745
- - FDX Corp. 31,052 1,684
Guidant Corp. 31,640 1,627
BankBoston Corp. 31,409 1,606
The Equitable Cos. 23,800 1,595
- - Best Buy Co., Inc. 23,600 1,593
Columbia/HCA Healthcare Corp. 68,659 1,566
Honeywell, Inc. 13,431 1,556
Avon Products, Inc. 27,918 1,549
Lockheed Martin Corp. 41,540 1,547
KeyCorp 48,070 1,544
Burlington Northern
Santa Fe Corp. 49,623 1,538
Omnicom Group Inc. 19,152 1,532
- - NEXTEL Communications, Inc. 30,346 1,523
May Department Stores Co. 37,182 1,520
Union Pacific Corp. 26,010 1,517
- - Staples, Inc. 49,005 1,516
Bestfoods 30,345 1,502
State Street Corp. 17,001 1,451
Weyerhaeuser Co. 21,095 1,450
The Hartford Financial
Services Group Inc. 24,480 1,427
Kellogg Co. 43,000 1,419
Providian Financial Corp. 14,914 1,394
Newell Rubbermaid, Inc. 29,742 1,383
ConAgra, Inc. 51,403 1,369
Textron, Inc. 16,619 1,368
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MARKET
VALUE*
SHARES (000)
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Phillips Petroleum Co. 26,800 $ 1,348
Aetna Inc. 15,049 1,346
AFLAC, Inc. 28,074 1,344
J.C. Penney Co., Inc. 27,661 1,343
Coca-Cola Enterprises, Inc. 45,100 1,342
- - BMC Software, Inc. 24,730 1,335
- - AMR Corp. 19,212 1,311
Intimate Brands, Inc. 27,615 1,308
The Clorox Co. 12,246 1,308
General Mills, Inc. 16,267 1,307
- - Kohl's Corp. 16,900 1,304
PG&E Corp. 40,040 1,301
Interpublic Group of Cos., Inc. 14,600 1,265
BB&T Corp. 34,064 1,250
United Healthcare Corp. 19,879 1,245
U.S. Trust Corp. 13,298 1,230
- - Compuware Corp. 38,400 1,222
Texas Utilities Co. 29,610 1,221
Rockwell International Corp. 19,883 1,208
The Chubb Corp. 17,241 1,198
Norfolk Southern Corp. 39,700 1,196
Capital One Financial Corp. 20,999 1,169
- - AES Corp. 20,114 1,169
Baker Hughes, Inc. 34,734 1,163
Mattel, Inc. 43,990 1,163
- - Federated Department
Stores, Inc. 21,954 1,162
- - Computer Sciences Corp. 16,634 1,151
Northern Trust Corp. 11,800 1,145
Lincoln National Corp. 21,600 1,130
TJX Cos., Inc. 33,700 1,123
- - CMGI Inc 9,800 1,118
Wrigley, (Wm.) Jr. Co. 12,400 1,116
Delphi Automotive Systems Corp. 60,047 1,115
Aon Corp. 26,991 1,113
Southwest Airlines Co. 35,761 1,113
Ingersoll-Rand Co. 17,200 1,111
The McGraw-Hill Cos., Inc. 20,596 1,111
Consolidated Edison Inc. 24,378 1,103
Progressive Corp. of Ohio 7,600 1,102
- - Unisys Corp. 28,200 1,098
- - Immunex Corp. 8,600 1,096
Vodafone AirTouch PLC ADR 5,550 1,093
Franklin Resources Corp. 26,766 1,087
PPG Industries, Inc. 18,400 1,087
Tribune Co. 12,411 1,081
Linear Technology Corp. 15,800 1,062
Frontier Corp. 17,957 1,059
- - Micron Technology, Inc. 26,264 1,059
Sysco Corp. 35,389 1,055
USX-Marathon Group 32,047 1,043
FPL Group, Inc. 19,100 1,043
CSX Corp. 22,996 1,042
Ralston-Ralston Purina Group 34,229 1,042
IMS Health, Inc. 33,300 1,041
Masco Corp. 35,900 1,037
Conseco Inc. 33,831 1,030
Tandy Corp. 20,800 1,017
- - 3Com Corp. 37,925 1,012
- - Biogen, Inc. 15,600 1,003
Unocal Corp. 25,300 1,002
The Limited, Inc. 22,088 1,002
Edison International 37,300 998
PECO Energy Corp. 23,700 992
Deere & Co. 24,941 988
Pioneer Hi-Bred International, Inc. 25,375 988
- - Gateway, Inc. 16,578 978
Circuit City Stores, Inc. 10,494 976
Transamerica Corp. 13,000 975
Comerica, Inc. 16,333 971
The Goodyear Tire & Rubber Co. 16,487 970
Air Products & Chemicals, Inc. 24,072 969
Public Service Enterprise
Group, Inc. 23,560 963
- - E*TRADE Group, Inc. 24,000 958
Loews Corp. 12,100 957
The Quaker Oats Co. 14,400 956
Archer-Daniels-Midland Co. 61,842 955
Rohm & Haas Co. 22,248 954
Marriott International, Inc.
Class A 25,478 952
Mercantile Bancorp, Inc. 16,508 943
McKesson HBOC, Inc. 29,249 940
- - Novell, Inc. 35,300 935
- - Maxim Integrated Products, Inc. 14,000 931
General Dynamics Corp. 13,332 913
- - Lexmark International Group, Inc.
Class A 13,800 912
Coastal Corp. 22,462 898
Hershey Foods Corp. 15,116 897
Regions Financial Corp. 23,117 888
Dominion Resources, Inc. 20,479 887
Unicom Corp. 22,800 879
Georgia Pacific Group 18,518 877
Harley-Davidson, Inc. 16,100 875
- - Autonation Inc. 48,830 870
Fort James Corp. 22,928 868
Delta Air Lines, Inc. 15,058 868
- - Xilinx, Inc. 15,100 864
- - Tricon Global Restaurants, Inc. 15,902 861
- - Office Depot, Inc. 38,687 853
- - Kmart Corp. 51,700 850
- - Analog Devices, Inc. 16,766 841
- - Veritas Software Corp. 8,800 835
Dover Corp. 23,716 830
Reliant Energy, Inc. 29,871 825
- - Chancellor Media Corp. 14,900 821
Paychex, Inc. 25,677 818
Entergy Corp. 26,087 815
Danaher Corp. 14,000 814
- - Cablevision Systems Corp.
Class B 11,500 805
- - Metromedia Fiber Network, Inc. 22,400 805
UNUM Corp. 14,700 805
Burlington Resources, Inc. 18,550 802
Praxair, Inc. 16,389 802
Dana Corp. 17,403 802
Donaldson, Lufkin & Jenrette, Inc. 13,300 801
SLM Holding Corp. 17,350 795
St. Paul Cos., Inc. 24,936 793
Cintas Corp. 11,800 793
Allergan, Inc. 7,100 788
Royal Caribbean Cruises, Ltd. 18,000 787
Huntington Bancshares Inc. 22,472 786
- - CNA Financial Corp. 19,500 786
- - Apple Computer, Inc. 16,966 786
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MARKET
VALUE*
BALANCED INDEX FUND SHARES (000)
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Becton, Dickinson & Co. 26,032 $ 781
FirstEnergy Corp. 25,091 778
Republic New York Corp. 11,340 773
Summit Bancorp 18,410 770
Occidental Petroleum Corp. 36,038 761
American Electric Power Co., Inc. 20,253 761
- - Altera Corp. 20,400 751
Lehman Brothers Holdings, Inc. 11,960 744
Browning-Ferris Industries, Inc. 17,300 744
- - General Instrument Corp. 17,500 744
Fortune Brands, Inc. 17,900 741
Jefferson-Pilot Corp. 11,125 736
Avery Dennison Corp. 12,187 736
Kansas City Southern
Industries, Inc. 11,500 734
- - Uniphase Corp. 4,300 714
Marshall & Ilsley Corp. 11,078 713
PaineWebber Group, Inc. 15,200 711
- - Starbucks Corp. 18,900 710
- - Outdoor Systems, Inc. 19,400 708
- - VeriSign, Inc. 8,200 707
New York Times Co. Class A 19,100 703
Equity Office Properties Trust REIT 27,284 699
TRW, Inc. 12,714 698
- - Broadcast.com, Inc. 5,200 694
Eaton Corp. 7,500 690
- - Global TeleSystems Group, Inc. 8,500 688
Union Carbide Corp. 14,081 686
Carolina Power & Light Co. 16,000 685
- - LSI Logic Corp. 14,804 683
MBIA, Inc. 10,516 681
- - NTL Inc. 7,867 678
Rite Aid Corp. 27,350 673
UnionBanCal Corp. 18,600 672
- - ALZA Corp. 13,200 671
Nabisco Group Holdings Corp. 34,299 671
- - Inktomi Corp. 5,100 671
- - Knight/Trimark Group, Inc. 11,000 663
Dollar General Corp. 22,875 663
Cincinnati Financial Corp. 17,647 663
SouthTrust Corp. 17,272 663
- - HEALTHSOUTH Corp. 44,358 663
Maytag Corp. 9,471 660
- - AmeriTrade Holding Corp. 6,200 657
- - Seagate Technology Inc. 25,468 653
Genuine Parts Co. 18,645 653
Estee Lauder Cos. Class A 13,000 652
- - Teradyne, Inc. 9,000 646
- - VISIX Inc. 8,116 643
- - ADC Telecommunications, Inc. 14,100 642
Union Planters Corp. 14,259 637
- - Univision Communications Inc. 9,500 627
Dun & Bradstreet Corp. 17,600 624
SAFECO Corp. 14,106 622
- - General Motors Corp. Class H 13,038 733
- - Siebel Systems, Inc. 9,321 619
Stryker Corp. 10,200 613
Johnson Controls, Inc. 8,823 611
- - KLA-Tencor Corp. 9,400 610
DTE Energy Co. 15,226 609
Consolidated Natural Gas Co. 9,979 606
ServiceMaster Co. 32,250 605
- - Tenet Healthcare Corp. 32,382 601
- - Conexant Systems, Inc. 10,341 600
- - Wellpoint Health Networks Inc.
Class A 7,068 600
PE Corp.-PE Biosystems Group 5,225 599
- - NCR Corp. 12,281 599
Golden West Financial Corp. 6,087 596
Molex, Inc. 16,087 595
Galileo International, Inc. 11,100 593
Washington Post Co. Class B 1,100 591
Food Lion Inc. Class A 49,600 589
- - Healtheon Corp. 7,600 585
Ecolab, Inc. 13,344 582
Leggett & Platt, Inc. 20,800 578
Winn-Dixie Stores, Inc. 15,643 578
- - Concord EFS, Inc. 13,652 578
- - Intuit, Inc. 6,400 577
Whirlpool Corp. 7,778 575
- - Quintiles Transnational Corp. 13,691 575
CenturyTel, Inc. 14,462 575
Black & Decker Corp. 9,075 573
Sempra Energy 25,272 572
Provident Cos., Inc. 14,280 571
Amerada Hess Corp. 9,557 569
Starwood Hotels & Resorts
Worldwide, Inc. 18,587 568
Cooper Industries, Inc. 10,904 567
- - Bed Bath & Beyond, Inc. 14,696 566
PacifiCorp 30,787 566
- - RealNetworks, Inc. 8,200 565
Hasbro, Inc. 20,150 563
GPU, Inc. 13,340 563
UST, Inc. 19,229 562
Columbia Energy Group 8,917 559
Conoco Inc. 20,000 557
Equity Residential Properties
Trust REIT 12,343 556
- - USA Networks, Inc. 13,820 554
Service Corp. International 28,781 554
Ameren Corp. 14,434 554
- - Toys R Us, Inc. 26,536 549
MGIC Investment Corp. 11,271 548
Tyson Foods, Inc. 24,260 546
Synovus Financial Corp. 27,453 546
Vastar Resources, Inc. 10,400 545
First American Corp. (Tenn.) 13,086 544
Equifax, Inc. 15,240 544
- - Comverse Technology, Inc. 7,150 540
- - Convergys Corp. 28,000 539
W.W. Grainger, Inc. 9,989 537
- - Abercrombie & Fitch Co. 11,198 537
Bear Stearns Co., Inc. 11,488 537
Willamette Industries, Inc. 11,657 537
- - Broadcom Corp. 3,700 535
- - The Goldman Sachs Group, Inc. 7,400 535
- - United International Holdings, Inc.
Class A 7,900 534
- - Owens-Illinois, Inc. 16,272 532
First Security Corp. 19,462 530
VF Corp. 12,400 530
Cinergy Corp. 16,462 527
- - Vitesse Semiconductor Corp. 7,800 526
Central & South West Corp. 22,500 526
CMS Energy Corp. 12,500 523
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MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------------------
<S> <C> <C>
First Tennessee National Corp. 13,600 $ 521
- - Gulfstream Aerospace Corp. 7,700 520
Parker Hannifin Corp. 11,353 519
R.R. Donnelley & Sons Co. 14,010 519
Dow Jones & Co., Inc. 9,766 518
Adobe Systems, Inc. 6,300 517
- - Exodus Communications, Inc. 4,300 516
- - Sealed Air Corp. 7,919 514
Vulcan Materials Co. 10,600 511
H & R Block, Inc. 10,224 511
- - Citrix Systems, Inc. 9,000 508
Countrywide Credit Industries, Inc. 11,890 508
Zions Bancorp 8,000 508
Sherwin-Williams Co. 18,268 507
Torchmark Corp. 14,800 505
- - U.S. Cellular Corp. 9,300 497
Charter One Financial 17,808 495
Nordstrom, Inc. 14,764 495
The Times Mirror Co. Class A 8,344 494
The CIT Group, Inc. 17,100 494
T. Rowe Price 12,800 491
- - Infinity Broadcasting Corp. 16,500 491
Northrop Grumman Corp. 7,363 488
International Flavors &
Fragrances, Inc. 10,939 485
- - Ceridian Corp. 14,700 480
Old Kent Financial Corp. 11,448 479
Anadarko Petroleum Corp. 13,000 479
Champion International Corp. 9,981 478
Biomet, Inc. 12,000 477
PP&L Resources Inc. 15,452 475
Raytheon Co. Class A 6,845 471
Constellation Energy Group 15,900 471
Brown-Forman Corp. Class B 7,200 469
- - Weatherford International, Inc. 12,793 469
New Century Energies, Inc. 12,070 468
Telephone & Data Systems, Inc. 6,400 468
- - NorthPoint Communications
Group, Inc. 12,800 467
- - Smurfit-Stone Container Corp. 22,719 467
- - AutoZone Inc. 15,500 467
Allegheny Teledyne Inc. 20,580 466
- - Loral Space & Communications 25,800 464
Kerr-McGee Corp. 9,210 462
Simon Property Group, Inc. REIT 18,084 459
The Mead Corp. 10,900 455
Reader's Digest Assn., Inc.
Class A 11,300 449
- - Saks Inc. 15,536 449
Apache Corp. 11,500 449
- - eToys Inc. 10,900 444
El Paso Energy Corp. 12,596 443
- - Sanmina Corp. 5,800 440
M & T Bank Corp. 800 440
Knight Ridder 7,993 439
AmSouth Bancorp 18,875 438
Union Pacific Resources
Group, Inc. 26,737 436
Bausch & Lomb, Inc. 5,700 436
- - National Semiconductor Corp. 17,200 435
Family Dollar Stores, Inc. 18,100 434
Nucor Corp. 9,141 434
- - Jones Apparel Group, Inc. 15,857 544
Tenneco, Inc. 18,100 432
PACCAR, Inc. 8,041 429
- - McLeodUSA, Inc. Class A 7,800 429
The Pepsi Bottling Group, Inc. 18,500 427
ITT Industries, Inc. 11,093 423
Public Storage, Inc. REIT 15,044 421
- - Rhythms NetConnections Inc. 7,200 420
- - Quantum Corp. 17,400 420
Allegheny Energy, Inc. 13,000 417
Eastman Chemical Co. 8,050 417
KeySpan Corp. 15,754 416
Popular, Inc. 13,700 415
- - Network Appliance, Inc. 7,400 413
AMBAC Financial Group Inc. 7,200 411
- - PeopleSoft, Inc. 23,800 411
Florida Progress Corp. 9,900 409
Montana Power Co. 5,800 409
- - DST Systems, Inc. 6,500 409
- - Fiserv, Inc. 13,050 409
- - Lycos, Inc. 4,436 408
Reynolds Metals Co. 6,900 407
- - SunGard Data Systems, Inc. 11,800 407
Reliastar Financial Corp. 9,238 404
- - CNET, Inc. 7,000 403
Diamond Offshore Drilling, Inc. 14,200 403
- - Forest Laboratories, Inc. 8,700 402
- - Hispanic Broadcasting Corp. 5,300 402
Tosco Corp. 15,500 402
Hercules, Inc. 10,175 400
- - Covad Communications Group, Inc. 7,500 400
- - Genzyme Corp. 8,200 398
Temple-Inland Inc. 5,800 396
Comdisco, Inc. 15,400 395
- - Synopsys, Inc. 7,145 394
- - Jabil Circuit, Inc. 8,700 393
Northern States Power Co. 16,200 392
- - American Power Conversion Corp. 19,400 390
- - QLogic Corp. 2,946 389
- - SPX Corp. 4,655 389
- - Chiron Corp. 18,704 388
- - US Airways Group, Inc. 8,905 388
Dial Corp. 10,400 387
- - Republic Services, Inc. Class A 15,600 386
- - Parametric Technology Corp. 27,742 385
- - Adaptec, Inc. 10,900 385
Sonat, Inc. 11,600 384
- - Allied Waste Industries, Inc. 19,375 383
Dillard's Inc. 10,839 381
E.W. Scripps Co. Class A 8,000 381
- - Cadence Design Systems, Inc. 29,733 379
Total System Services, Inc. 19,900 378
Hilton Hotels Corp. 26,535 376
Case Corp. 7,773 374
Harcourt General, Inc. 7,200 371
- - Andrx Corp. 4,800 370
Federal-Mogul Corp. 7,100 369
- - Century Communications Corp.
Class A 7,997 368
- - Allegiance Telecom, Inc. 6,700 368
- - Express Scripts 6,100 367
- - DoubleClick Inc. 4,000 367
- - MedImmune Inc. 5,400 366
- - Sterling Commerce, Inc. 10,007 365
</TABLE>
15
<PAGE> 18
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------
MARKET
VALUE*
BALANCED INDEX FUND SHARES (000)
- ----------------------------------------------------------------------------------
<S> <C> <C>
Wendy's International, Inc. 12,900 $ 365
Phelps Dodge Corp. 5,894 365
Potomac Electric Power Co. 12,400 365
Mylan Laboratories, Inc. 13,650 362
- - SCI Systems, Inc. 7,600 361
- - American Tower Corp. Class A 15,030 361
- - R.J. Reynolds Tobacco
Holdings, Inc. 11,433 360
Green Point Financial Corp. 10,800 354
Cincinnati Bell, Inc. 14,200 354
Crown Cork & Seal Co., Inc. 12,422 354
NiSource, Inc. 13,700 354
- - Electronic Arts Inc. 6,500 353
Allmerica Financial Corp. 5,789 352
Sigma-Aldrich Corp. 10,203 351
- - Pacificare Health Systems, Inc. 4,880 351
- - Watson Pharmaceuticals, Inc. 10,000 351
Pinnacle West Capital Corp. 8,700 350
Newmont Mining Corp. 17,614 350
- - Navistar International Corp. 7,000 350
- - SDL, Inc. 6,800 347
- - UAL Corp. 5,300 345
- - Litton Industries, Inc. 4,800 344
- - Lear Corp. 6,900 343
- - Portal Software, Inc. 7,400 343
- - Ariba, Inc. 3,500 340
- - Fox Entertainment Group, Inc.
Class A 12,600 339
Energy East Corp. 13,000 338
Tiffany & Co. 3,500 338
- - MGM Grand, Inc. 6,871 337
- - American Standard Cos., Inc. 7,000 336
- - Emulex Corp. 3,000 334
- - Centocor, Inc. 7,152 333
- - Mirage Resorts, Inc. 19,898 333
Symbol Technologies, Inc. 9,038 333
Nalco Chemical Co. 6,400 332
FINOVA Group, Inc. 6,300 332
- - Sybron International Corp. 12,008 331
- - Waters Corp. 6,200 329
Harris Corp. 8,400 329
- - Thermo Electron Corp. 16,359 328
Engelhard Corp. 14,500 328
ProLogis Trust REIT 16,152 327
Deluxe Corp. 8,400 327
- - Iron Mountain, Inc. 11,400 326
Starwood Financial Trust REIT 5,200 322
Viad Corp. 10,400 322
- - Summit Technology, Inc. 14,600 321
Crescent Real Estate, Inc. REIT 13,500 321
- - Verio Inc. 4,600 320
- - Ames Department Stores, Inc. 7,000 319
- - Extreme Networks, Inc. 5,500 319
Compass Bancshares Inc. 11,700 319
The BFGoodrich Co. 7,500 319
- - i2 Technologies, Inc. 7,400 318
- - CIENA Corp. 10,500 317
- - RCN Corp. 7,600 316
Ashland, Inc. 7,880 316
DPL Inc. 17,150 315
DQE Inc. 7,850 315
Darden Restaurants Inc. 14,400 314
- - Novellus Systems, Inc. 4,600 314
Enron Oil & Gas Co. 15,500 314
- - Silicon Graphics, Inc. 19,104 313
A.G. Edwards & Sons, Inc. 9,687 312
Fluor Corp. 7,700 312
- - Protection One, Inc. 58,000 312
Unitrin, Inc. 7,600 312
Archstone Communities Trust REIT 14,187 311
SuperValu Inc. 12,100 311
Sonoco Products Co. 10,370 310
BHC Communications, Inc. Class A 2,400 309
- - Outback Steakhouse 7,850 309
- - St. Jude Medical, Inc. 8,642 308
North Fork Bancorp, Inc. 14,441 308
Dynegy,Inc. 15,100 308
Martin Marietta Materials, Inc. 5,210 307
TECO Energy, Inc. 13,500 307
Hormel Foods Corp. 7,600 306
- - Niagara Mohawk Holdings Inc. 19,000 305
- - NEXTLINK Communications, Inc. 4,100 305
- - Rambus Inc. 3,300 304
The Stanley Works 9,444 304
Vornado Realty Trust REIT 8,600 304
- - Golden State Bancorp Inc. 13,800 304
Westvaco Corp. 10,450 303
Hubbell Inc. Class B 6,650 302
- - Harrah's Entertainment, Inc. 13,700 301
- - SFX Entertainment, Inc. 4,520 301
New England Electric System 6,000 301
Young & Rubicam Inc. 6,600 300
- - Promus Hotel Corp. 9,636 299
- - Consolidated Stores, Inc. 11,062 299
- - RF Micro Devices, Inc. 4,000 299
Hillenbrand Industries, Inc. 6,900 298
- - Electronics for Imaging, Inc. 5,800 298
- - Unitrode Corp. 10,378 298
- - Premier Parks Inc. 8,100 298
- - Infoseek Corp. 6,200 297
Raychem Corp. 8,019 297
- - Nielsen Media Research 10,066 294
Metris Cos., Inc. 7,218 294
- - Citizens Utilities Co. Class B 26,281 292
- - MiniMed, Inc. 3,800 292
Wisconsin Energy Corp. 11,600 291
- - E-Tek Dynamics, Inc. 6,100 290
- - VoiceStream Wireless Corp. 10,200 290
Sunoco, Inc. 9,606 290
- - TV Guide, Inc. 7,900 289
- - Redback Networks Inc. 2,300 289
- - Health Management Associates
Class A 25,670 289
- - Crown Castle International Corp. 13,800 287
- - Park Place Entertainment 29,485 286
Great Lakes Chemical Corp. 6,200 286
- - Rational Software Corp. 8,663 285
- - MindSpring Enterprises, Inc. 6,400 284
- - DSP Communications, Inc. 9,800 283
- - MMC Networks, Inc. 6,300 282
LG&E Energy Corp. 13,379 281
USG Corp. 5,000 280
- - hi/fn, inc. 3,667 279
Pall Corp. 12,566 279
- - Continental Airlines, Inc. Class B 7,400 278
ENSCO International, Inc. 13,924 278
</TABLE>
16
<PAGE> 19
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------------------
<S> <C> <C>
TCA Cable TV, Inc. 5,000 $ 278
- - Dollar Tree Stores, Inc. 6,300 277
Scientific-Atlanta, Inc. 7,694 277
- - Metro-Goldwyn-Mayer Inc. 15,176 277
Host Marriott Corp. REIT 23,300 277
- - Nabors Industries, Inc. 11,300 276
Thomas & Betts Corp. 5,800 274
- - Keebler Foods Co. 9,000 273
- - Global Marine, Inc. 17,700 273
C.R. Bard, Inc. 5,700 273
Louisiana-Pacific Corp. 11,449 272
Associated Banc-Corp. 6,533 271
- - HCR Manor Care, Inc. 11,200 271
Transocean Offshore, Inc. 10,300 270
- - Perot Systems Corp. 9,100 268
Mallinckrodt, Inc. 7,366 268
Apartment Investment &
Management Co. Class A REIT 6,260 268
Brunswick Corp. 9,597 268
- - Adelphia Communications Corp.
Class A 4,200 267
- - King World Productions, Inc. 7,666 267
- - Cygnus Inc. 20,488 266
One Valley Bancorp of
West Virginia Inc. 7,100 266
- - Advanced Micro Devices, Inc. 14,700 266
Media General, Inc. Class A 5,200 265
- - Atmel Corp. 10,100 264
Florida Rock Industries, Inc. 5,800 264
FirstMerit Corp. 9,395 264
- - Northwest Airlines Corp. Class A 8,100 263
- - PSINet, Inc. 6,000 263
Transatlantic Holdings, Inc. 3,500 262
Lafarge Corp. 7,400 262
Santa Fe International Corp. 11,400 262
Travelers Property Casualty Corp. 6,700 262
Mercantile Bankshares Corp. 7,350 260
- - Noble Drilling Corp. 13,200 260
- - Legato Systems, Inc. 4,495 260
- - MedPartners, Inc. 34,224 259
- - BroadVision, Inc. 3,500 258
American Water Works Co., Inc. 8,300 255
Bowater Inc. 5,400 255
Snap-On Inc. 7,046 255
SCANA Corp. 10,900 255
- - Associated Group, Inc. 3,908 255
Hertz Corp. Class A 4,100 254
Waddell & Reed Financial, Inc.
Class B 9,408 254
- - AmeriSource Health Corp. 9,900 252
Liz Claiborne, Inc. 6,900 252
- - Complete Business Solutions, Inc. 14,000 251
Hudson United Bancorp 8,199 251
- - PRIMEDIA Inc. 14,700 249
Spieker Properties, Inc. REIT 6,400 249
Consolidated Papers 9,300 249
Armstrong World Industries Inc. 4,300 249
- - Affiliated Computer Services, Inc.
Class A 4,910 249
USX-U.S. Steel Group 9,200 248
Wesco Financial Corp. 800 248
ICN Pharmaceuticals, Inc. 7,693 248
Solutia, Inc. 11,600 247
Southdown, Inc. 3,844 247
Freeport-McMoRan Copper &
Gold Inc. Class B 13,754 247
Kimco Realty Corp. REIT 6,300 246
- - Microchip Technology, Inc. 5,200 246
- - EchoStar Communications Corp. 1,600 246
Cummins Engine Co., Inc. 4,292 245
American Bankers
Insurance Group 4,500 245
Mercury General Corp. 7,200 245
- - FMC Corp. 3,573 244
TCF Financial Corp. 8,756 244
Centura Banks, Inc. 4,318 243
First Virginia Banks, Inc. 4,950 243
Hibernia Corp. Class A 15,500 243
- - CommScope, Inc. 7,900 243
Dime Bancorp, Inc. 12,028 242
A. H. Belo Corp. Class A 12,248 241
Boise Cascade Corp. 5,600 241
- - Robert Half International, Inc. 9,250 241
Boston Properties, Inc. REIT 6,700 240
Premark International, Inc. 6,400 240
- - Go2Net, Inc. 2,600 239
- - Storage Technology Corp. 10,492 239
- - TriQuint Semiconductor, Inc. 4,200 239
Commerce Bancshares, Inc. 5,921 238
- - Ziff-Davis Inc. 15,400 238
Old Republic International Corp. 13,725 238
- - CDW Computer Centers, Inc. 5,400 238
The St. Joe Co. 8,800 238
Astoria Financial Corp. 5,400 237
Bergen Brunswig Corp. Class A 13,754 237
Ross Stores, Inc. 4,700 237
Centex Corp. 6,300 237
Comcast Corp. Class A 6,600 236
- - Safeguard Scientifics, Inc. 3,806 236
- - Shaw Industries, Inc. 14,300 236
- - Sepracor Inc. 2,900 236
Hannaford Brothers Co. 4,400 235
- - BJ's Wholesale Club, Inc. 7,800 234
- - Station Casinos, Inc. 11,500 234
- - BEA Systems, Inc. 8,200 234
- - Winstar Communications, Inc. 4,800 234
Nabisco Holdings Corp. Class A 5,400 234
- - Northeast Utilities 13,200 233
Lyondell Chemical Co. 11,300 233
IBP, Inc. 9,800 233
The Timber Co. 9,200 232
Conectiv, Inc. 9,478 232
- - DII Group, Inc. 6,200 231
Alliant Energy Corp. 8,152 231
McCormick & Co., Inc. 7,300 230
- - Security First Technologies Corp. 5,094 230
National Community Bancorp 10,500 230
- - Sterling Software, Inc. 8,600 230
IKON Office Solutions, Inc. 15,300 230
- - Cabletron Systems, Inc. 17,610 229
Avalonbay Communities, Inc. REIT 6,181 229
- - Lands' End, Inc. 4,700 228
- - International Network Services 5,550 224
- - Snyder Communications, Inc. 6,820 223
Radian Group, Inc. 4,574 223
American Greetings Corp. Class A 7,400 223
</TABLE>
17
<PAGE> 20
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------
MARKET
VALUE*
BALANCED INDEX FUND SHARES (000)
- -----------------------------------------------------------------------------------
<S> <C> <C>
Bemis Co., Inc. 5,600 $ 223
- - TMP Worldwide, Inc. 3,500 222
CCB Financial Corp. 4,200 222
- - Smith International, Inc. 5,100 222
Sotheby's Holdings Class A 5,800 221
- - InfoSpace.com, Inc. 4,700 221
- - Valassis Communications, Inc. 6,000 220
Murphy Oil Corp. 4,500 220
Legg Mason Inc. 5,700 219
Flowers Industries, Inc. 10,100 219
- - American Eagle Outfitters, Inc. 4,800 218
American Financial Group, Inc. 6,400 218
Protective Life Corp. 6,600 218
Homestake Mining Co. 26,600 218
UST Corp. 7,196 218
UtiliCorp United, Inc. 8,950 218
- - Vignette Corp. 2,900 218
- - Network Associates, Inc. 14,683 216
Crane Co. 6,850 215
- - Level One Communications 4,400 215
- - Catalina Marketing Corp. 2,340 215
- - Humana, Inc. 16,633 215
AVX Corp. 8,800 215
- - Sanchez Computer
Associates, Inc. 6,162 213
Allied Capital Corp. 8,880 213
- - CustomTracks Corp. 3,800 213
SEI Corp. 2,400 212
BancWest Corp. 5,700 212
- - ISS Group, Inc. 5,600 211
HRPT Properties Trust REIT 13,800 211
- - MidAmerican Energy Holdings Co. 6,100 211
- - Apollo Group, Inc. Class A 7,950 211
- - Gartner Group, Inc. Class A 10,300 211
- - Jones Intercable Inc. 4,300 211
Johns Manville Corp. 16,200 211
- - BJ Services Co. 7,126 210
Cornerstone Properties, Inc. REIT 13,200 210
- - Acxiom Corp. 8,400 209
AMB Property Corp. REIT 8,900 209
- - U.S. Foodservice 4,900 209
Peoples Heritage Financial
Group Inc. 11,100 209
- - Cooper Cameron Corp. 5,600 208
- - Affymetrix, Inc. 4,200 207
Roper Industries Inc. 6,472 207
Illinova Corp. 7,600 207
Diebold, Inc. 7,200 207
- - Sunglass Hut International, Inc. 12,000 206
Puget Sound Energy Inc. 8,580 206
- - J.D. Edwards & Co. 11,100 205
Sovereign Bancorp, Inc. 16,929 205
- - United Rentals, Inc. 6,950 205
- - Thermo Instrument Systems, Inc. 12,131 205
Fastenal Co. 3,900 205
IMC Global Inc. 11,589 204
OGE Energy Corp. 8,600 204
- - Gentex Corp. 7,252 203
Comair Holdings, Inc. 9,750 203
- - Mandalay Resort Group 9,600 203
Investment Technology Group, Inc. 6,250 202
- - Sawtek Inc. 4,400 202
- - Alliance Semiconductor Corp. 20,300 202
- - Abacus Direct Corp. 2,200 201
Pentair, Inc. 4,400 201
IPALCO Enterprises, Inc. 9,500 201
- - Barnes & Noble, Inc. 7,348 201
The PMI Group Inc. 3,200 201
Peoples Bank Bridgeport 6,600 201
- - The IT Group, Inc. 12,436 200
Ryder System, Inc. 7,672 199
Owens Corning 5,800 199
- - Tech Data Corp. 5,200 199
- - Concentric Network Corp. 5,000 199
- - Dionex Corp. 4,900 198
- - ImClone Systems, Inc. 7,800 198
- - Applied Micro Circuits Corp. 2,400 197
Ultramar Diamond Shamrock Corp. 9,037 197
- - EarthLink Network, Inc. 3,200 197
Meditrust Corp. 15,033 196
International Game Technology 10,600 196
NICOR, Inc. 5,140 196
- - InterVU Inc. 5,100 195
Wilmington Trust Corp. 3,400 195
- - Pixar, Inc. 4,500 194
Duke Realty Investments, Inc. REIT 8,600 194
Keystone Financial, Inc. 6,561 194
Erie Indemnity Co. Class A 6,800 194
Federated Investors, Inc. 10,800 194
- - Critical Path, Inc. 3,500 194
- - SanDisk Corp. 4,300 194
Reynolds & Reynolds Class A 8,300 193
- - R & B Falcon Corp. 20,624 193
Interstate Bakeries Corp. 8,600 193
HON Industries, Inc. 6,600 193
Provident Financial Group, Inc. 4,400 193
- - Lamar Advertising Co. Class A 4,700 192
American National Insurance Co. 2,700 192
- - Payless ShoeSource, Inc. 3,580 192
CNB Bancshares, Inc. 3,360 192
- - Apria Healthcare 11,200 190
- - Pacific Sunwear of California 7,800 190
- - Mohawk Industries, Inc. 6,250 190
Western Resources, Inc. 7,100 189
- - AnnTaylor Stores Corp. 4,200 189
CNF Transportation, Inc. 4,900 188
- - Ingram Micro, Inc. 7,300 188
Manpower Inc. 8,300 188
Rouse Co. REIT 7,400 188
CarrAmerica Realty Corp. REIT 7,500 188
- - Williams Sonoma, Inc. 5,384 187
Millipore Corp. 4,600 187
GATX Corp. 4,900 187
Millennium Chemicals, Inc. 7,900 186
Commercial Federal Corp. 8,011 186
BEC Energy 4,500 186
Whitman Corp. 10,300 185
- - Foundation Health Systems
Class A 12,340 185
- - Howmet International Inc. 10,700 184
- - Arrow Electronics, Inc. 9,674 184
Meritor Automotive, Inc. 7,166 183
- - Omnipoint Corp. 6,300 182
Meredith Corp. 5,264 182
- - MIPS Technologies, Inc. 3,800 182
- - Brinker International, Inc. 6,700 182
</TABLE>
18
<PAGE> 21
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------------------
<S> <C> <C>
Cooper Tire & Rubber Co. 7,700 $ 182
- - Nova Corp. (Georgia) 7,273 182
Harte-Hanks, Inc. 6,700 182
- - Scotts Co. 3,800 181
Herman Miller, Inc. 8,600 181
Valero Energy Corp. 8,400 180
USEC Inc. 12,100 180
- - Vishay Intertechnology, Inc. 8,558 180
- - SLI, Inc. 6,650 180
- - Dollar Thrifty Automotive
Group, Inc. 7,700 179
Shared Medical Systems Corp. 2,737 179
- - VerticalNet, Inc. 1,700 178
Adolph Coors Co. Class B 3,600 178
McDermott International, Inc. 6,300 178
FelCor Lodging Trust, Inc. REIT 8,574 178
- - Canandaigua Brands, Inc. Class A 3,392 178
- - Choice Hotel International, Inc. 9,000 178
- - Gilead Sciences, Inc. 3,400 178
- - USWeb Corp. 8,000 178
- - Imperial Bancorp 8,910 177
- - Stillwater Mining Co. 5,400 177
Mack-Cali Realty Corp. REIT 5,700 176
- - Azurix Corp. 8,800 176
- - Scient Corp. 3,700 176
City National Corp. 4,700 176
Highwood Properties, Inc. REIT 6,400 176
York International Corp. 4,100 176
- - BISYS Group, Inc. 3,000 176
- - Windmere-Durable Holdings Inc. 10,400 176
- - Argosy Gaming Co. 19,900 175
Pitt Des Moines, Inc. 2,800 175
National Fuel Gas Co. 3,600 175
- - LTX Corp. 13,100 174
- - Atlas Air, Inc. 5,400 174
- - Policy Management
Systems Corp. 5,800 174
- - Blyth Industries, Inc. 5,050 174
- - Cree Research, Inc. 2,252 173
- - DuPont Photomasks, Inc. 3,600 172
COMSAT Corp. 5,300 172
Autodesk, Inc. 5,820 172
Avnet, Inc. 3,700 172
Central Parking Corp. 5,000 171
Valley National Bancorp 5,946 171
Cullen/Frost Bankers, Inc. 6,200 171
- - LAM Research Corp. 3,660 171
- - ITC DeltaCom, Inc. 6,100 171
Tidewater Inc. 5,600 171
Dean Foods Corp. 4,100 170
- - Copper Mountain Networks, Inc. 2,200 170
Westpoint Stevens, Inc. 5,700 170
U.S. Industries, Inc. 9,990 170
- - IDEC Pharmaceuticals Corp. 2,200 170
Houghton Mifflin Co. 3,600 169
- - Plantronics, Inc. 2,600 169
IDEX Corp. 5,150 169
Trustmark Corp. 7,400 169
- - Labor Ready, Inc. 5,200 169
- - LHS Group, Inc. 5,100 169
Clayton Homes Inc. 14,727 168
Weis Markets, Inc. 4,300 168
- - IVAX Corp. 11,900 168
MCN Energy Group Inc. 8,100 168
Dole Food Co. 5,700 167
- - Catellus Development Corp. 10,800 167
MacDermid, Inc. 3,600 167
- - ICOS Corp. 4,100 167
Valspar Corp. 4,400 167
Cordant Technologies, Inc. 3,700 167
- - Smithfield Foods, Inc. 5,000 167
Liberty Property Trust REIT 6,700 167
- - Kent Electronics Corp. 8,400 166
Financial Security Assurance
Holdings Ltd. 3,200 166
The Warnaco Group, Inc. Class A 6,220 166
- - Linens 'n Things, Inc. 3,800 166
Sealed Air Corp.
$ 2.00 Cvt. Pfd. Series A 2,660 166
- - Chris-Craft Industries, Inc. 3,526 166
- - ACNielson Corp. 5,466 165
- - Andrew Corp. 8,730 165
Brown & Brown, Inc. 4,350 165
- - Keane, Inc. 7,300 165
- - Burr-Brown Corp. 4,500 165
RPM Inc. (Ohio) 11,605 165
Post Properties, Inc. REIT 4,000 164
Teleflex Inc. 3,774 164
EG&G, Inc. 4,600 164
Pacific Century Financial Corp. 7,600 164
- - Trigon Healthcare, Inc. 4,500 164
E.W. Blanch Holdings, Inc. 2,400 164
The MONY Group Inc. 5,000 163
Tredegar Corp. 7,500 163
German American Bancorp 9,154 163
Hospitality Properties Trust REIT 6,000 163
Questar Corp. 8,500 163
- - Paymentech, Inc. 6,400 162
- - Proxim, Inc. 2,800 162
- - Whittman-Hart, Inc. 5,100 162
Stewart Enterprises, Inc. Class A 11,100 162
- - Global Industries Ltd. 12,600 161
First Midwest Bancorp 4,050 161
Westinghouse Air Brake Co. 6,200 161
Kansas City Power & Light Co. 6,300 161
- - American Freightways 8,196 160
Park National Corp. 1,600 160
Cabot Corp. 6,600 160
- - NextCard, Inc. 4,700 160
- - PRI Automation, Inc. 4,400 160
Chittenden Corp. 5,084 159
- - The Liposome Co., Inc. 8,300 159
- - Macromedia 4,500 159
- - Rowan Cos., Inc. 8,600 159
New Plan Excel Realty Trust REIT 8,760 158
- - Universal Health Services Class B 3,300 158
Leucadia National Corp. 6,300 158
- - Verity, Inc. 2,900 157
Pier 1 Imports Inc. 13,960 157
Aliant Communications, Inc. 3,400 157
Methode Electronics, Inc. Class A 6,849 157
- - Devry, Inc. 7,000 157
Everest Reinsurance Holdings, Inc. 4,800 157
- - Semtech Corp. 3,000 156
- - CEC Entertainment Inc. 3,700 156
- - General Nutrition Cos., Inc. 6,700 156
</TABLE>
19
<PAGE> 22
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------
MARKET
VALUE*
BALANCED INDEX FUND SHARES (000)
- -----------------------------------------------------------------------------------
<S> <C> <C>
- - Furniture Brands International Inc. 5,600 $ 156
Richfood Holdings, Inc. 8,850 156
United Television, Inc. 1,487 156
- - Razorfish Inc. 4,200 156
- - Ocean Energy, Inc. 16,142 155
First Source Corp. 4,854 155
- - Aztar Corp. 16,900 155
- - Journal Register Co. 6,900 155
National Computer Systems, Inc. 4,600 155
- - Prodigy Communications Corp. 6,000 155
National Service Industries, Inc. 4,312 155
Ethan Allen Interiors, Inc. 4,110 155
The McClatchy Co. Class A 4,675 155
20th Century Industries of CA 8,200 155
- - Modis Professional Services Inc. 11,254 155
- - Sequent Computer Systems, Inc. 8,700 154
C.H. Robinson Worldwide, Inc. 4,200 154
GenCorp, Inc. 6,100 154
- - ParkerVision, Inc. 4,400 154
- - NCO Group, Inc. 4,050 154
- - Commonwealth Telephone
Enterprises, Inc. 3,800 154
- - OfficeMax, Inc. 12,800 154
Chicago Title Corp. 4,302 154
First Citizens BancShares Class A 1,900 153
- - Speedway Motorsports, Inc. 3,900 153
- - Artesyn Technologies, Inc. 6,900 153
DENTSPLY International Inc. 5,300 153
Arden Realty Group, Inc. REIT 6,200 153
General Growth Properties
Inc. REIT 4,300 153
Liberty Corp. 2,800 153
- - Primus Telecommunications
Group, Inc. 6,800 153
- - Aurora Foods Inc. 8,700 152
Noble Affiliates, Inc. 5,400 152
Worthington Industries, Inc. 9,250 152
- - Fisher Scientific International Inc. 6,800 152
- - Tut Systems, Inc. 3,100 152
- - Sylvan Learning Systems, Inc. 5,575 152
- - Safety-Kleen Corp. 8,350 151
Borg-Warner Automotive, Inc. 2,750 151
- - USinternetworking, Inc. 3,600 151
Lancaster Colony Corp. 4,382 151
Sky Financial Group, Inc. 5,546 151
Minnesota Power, Inc. 7,600 151
Central Newspapers, Inc. 4,000 151
Florida East Coast Railway Co. 3,400 150
Tupperware Corp. 5,900 150
- - Informix Corp. 17,620 150
- - Advanced Fibre
Communications, Inc. 9,600 150
- - Intermedia Communications Inc. 5,000 150
- - L-3 Communications Holdings, Inc. 3,100 150
WestAmerica Bancorporation 4,100 150
- - Markel Corp. 800 150
Airborne Freight Corp. 5,400 150
Rayonier Inc. 3,000 149
Carlisle Co., Inc. 3,100 149
- - Spiegel, Inc. Class A 16,800 149
- - Whole Foods Market, Inc. 3,100 149
- - CheckFree Holdings Corp. 5,400 149
- - MedQuist, Inc. 3,400 149
- - Primark Corp. 5,300 149
Colonial BancGroup, Inc. 10,641 148
- - Micrel, Inc. 2,000 148
- - Zale Corp. 3,700 148
Kaydon Corp. 4,400 148
Healthcare Realty Trust Inc. REIT 7,044 148
Polaris Industries, Inc. 3,400 148
- - Symantec Corp. 5,800 148
- - Hanover Compressor Co. 4,600 148
P.H. Glatfelter Co. 10,100 148
- - Sapient Corp. 2,600 147
- - PairGain Technologies, Inc. 12,800 147
Lubrizol Corp. 5,400 147
- - Unilab Corp. 24,500 147
- - Excel Switching Corp. 4,900 147
- - Aviall Inc. 7,775 146
Orange & Rockland Utilities, Inc. 2,500 146
- - High Speed Access Corp. 5,700 146
- - Calpine Corp. 2,700 146
- - Asyst Technologies, Inc. 4,856 145
National Data Corp. 3,400 145
- - Extended Stay America, Inc. 12,093 145
- - Sunterra Corp. 10,400 145
Crompton & Knowles Corp. 7,400 145
- - KEMET Corp. 6,300 145
- - Jacobs Engineering Group Inc. 3,800 144
- - The SABRE Group Holdings, Inc. 2,100 144
- - Synetic, Inc. 2,100 144
Harsco Corp. 4,500 144
Werner Enterprises, Inc. 6,938 144
- - Cypress Semiconductor Corp. 8,700 144
Arthur J. Gallagher & Co. 2,900 144
- - Lattice Semiconductor Corp. 2,300 143
Cyprus Amax Minerals Co. 9,419 143
- - Westwood One, Inc. 4,000 143
- - Avis Rent A Car, Inc. 4,900 143
- - Mueller Industries Inc. 4,200 143
- - 24/7 Media, Inc. 3,700 142
Hartford Life, Inc. 2,700 142
Applied Power, Inc. 5,200 142
- - Fairfield Communities, Inc. 8,800 142
- - Swift Transportation Co., Inc. 6,450 142
- - Covance, Inc. 5,925 142
- - CapRock Communications Corp. 3,500 142
- - Louis Dreyfus Natural Gas Corp. 6,572 142
- - Iomega Corp. 28,700 142
Lennar Corp. 5,900 142
- - IXC Communications, Inc. 3,600 142
Liberty Financial Cos., Inc. 4,850 141
St. Paul Bancorp, Inc. 5,536 141
- - Coltec Inc. 6,500 141
- - Venator Group, Inc. 13,500 141
- - Hearst-Argyle Television Inc. 5,868 141
- - DBT Online Inc. 4,300 141
- - Armco, Inc. 21,200 140
- - QRS Corp. 1,800 140
Lee Enterprises, Inc. 4,600 140
Ogden Corp. 5,200 140
- - Lincare Holdings, Inc. 5,600 140
- - Forest Oil Corp. 11,100 139
Ball Corp. 3,300 139
Church & Dwight, Inc. 3,200 139
- - Patterson Dental Co. 4,000 139
</TABLE>
20
<PAGE> 23
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------------------
<S> <C> <C>
Investors Financial Services Corp. 3,464 $ 139
- - Playtex Products, Inc. 8,900 139
Washington Federal Inc. 6,166 138
- - UICI 5,000 138
- - Santa Fe Snyder Corp. 18,100 138
- - First Health Group Corp. 6,400 138
True North Communications 4,600 138
- - American Management
Systems, Inc. 4,300 138
- - Alaska Air Group, Inc. 3,300 138
- - Alleghany Corp. 744 138
- - Hambrecht & Quist Group 3,700 137
- - Unit Corp. 16,900 137
Graco, Inc. 4,650 137
Dallas Semiconductor Corp. 2,700 136
- - Chico's Fas, Inc. 5,800 136
Expeditors International
of Washington, Inc. 5,000 136
- - O'Reilly Automotive, Inc. 2,700 136
- - World Access, Inc. 9,620 136
- - NeXstar Pharmaceuticals Inc. 6,812 136
- - 99 Cents Only Stores 2,718 136
- - Del Monte Foods Co. 8,100 136
Peoples Energy Corp. 3,600 136
Trinity Industries, Inc. 4,050 136
- - Data Broadcasting Corp. 12,814 135
Great Atlantic & Pacific
Tea Co., Inc. 4,000 135
Ballard Medical Products 5,800 135
- - US Oncology, Inc. 11,250 135
- - Conmed Corp. 4,406 135
- - Viatel, Inc. 2,400 135
- - Adtran, Inc. 3,700 135
- - AmeriCredit Corp. 8,400 134
- - Dal-Tile International Inc. 11,800 134
- - Capstar Broadcasting Corp. 4,900 134
- - W.R. Grace & Co. 7,300 134
- - Shopko Stores, Inc. 3,700 134
- - Papa John's International, Inc. 3,000 134
- - Suiza Foods Corp. 3,200 134
Fulton Financial Corp. 6,475 134
- - Medco Research, Inc. 5,100 134
- - STERIS Corp. 6,908 134
Optical Coating Laboratory, Inc. 1,600 134
- - CSG Systems International, Inc. 5,100 134
- - Vicor Corp. 6,300 133
- - Bally Total Fitness Holding Corp. 4,700 133
Tecumseh Products Co. Class A 2,200 133
Detroit Diesel Corp. 5,400 133
Beckman Coulter, Inc. 2,732 133
Briggs & Stratton Corp. 2,300 133
Tektronix, Inc. 4,400 133
- - Tuboscope Inc. 9,700 133
- - Midwest Express Holdings, Inc. 3,900 133
- - The Profit Recovery Group
International, Inc. 2,800 132
BancorpSouth, Inc. 7,300 132
Reinsurance Group of America, Inc. 3,750 132
- - Cytec Industries, Inc. 4,142 132
Claire's Stores, Inc. 5,150 132
Cousins Properties, Inc. REIT 3,900 132
- - TeleBanc Financial Corp. 3,400 132
- - Dialogic Corp. 3,000 132
- - Tekelec 10,800 132
- - Ionics, Inc. 3,600 131
- - Mastec Inc. 4,650 131
- - Stone Energy Corp. 3,100 131
Trustco Bank 4,887 131
- - HS Resources Inc. 8,900 131
Cilcorp, Inc. 2,100 131
The Macerich Co. REIT 5,000 131
La-Z-Boy Inc. 5,700 131
- - Security Capital Group Inc.
REIT Class B 9,000 131
- - Henry Schein, Inc. 4,135 131
- - Neiman Marcus Group Inc. 5,100 131
Eaton Vance Corp. 3,800 131
- - McMoRan Exploration Co. 5,897 131
- - Toll Brothers, Inc. 6,100 131
Roslyn Bancorp, Inc. 7,600 131
- - TSI International Software Ltd. 4,600 131
- - Micro Warehouse Inc. 7,300 130
- - Barrett Resources Corp. 3,400 130
- - Sykes Enterprises, Inc. 3,900 130
- - Ampex Corp. Class A 25,700 130
- - Dendrite International, Inc. 3,600 130
Brady Corp. Class A 4,000 130
- - Nautica Enterprises, Inc. 7,700 130
Old National Bancorp 4,313 130
Hollinger International, Inc. 10,900 129
- - Cognex Corp. 4,100 129
- - Diamond Technology Partners Inc. 5,781 129
- - National Instruments Corp. 3,200 129
- - International Home Foods, Inc. 7,000 129
Ametek Aerospace Products Inc. 5,600 129
- - Dycom Industries, Inc. 2,300 129
- - Silicon Valley Bancshares 5,200 129
- - Pharmaceutical Product
Development, Inc. 4,700 129
- - Charming Shoppes, Inc. 21,100 129
- - America West Holdings Corp.
Class B 6,800 128
Tootsie Roll Industries, Inc. 3,318 128
United Dominion Realty Trust REIT 10,900 128
Longs Drug Stores, Inc. 3,700 128
- - SkyTel Communications, Inc. 6,100 128
Franchise Finance Corp. of
America REIT 5,800 128
Devon Energy Corp. 3,567 128
- - Triarc Cos., Inc. Class A 6,000 128
- - New Era of Networks, Inc. 2,900 127
National Bankcorp of Alaska Inc. 4,800 127
R.L.I. Corp. 3,281 127
- - Revlon, Inc. Class A 4,200 127
- - CSK Auto Corp. 4,700 127
- - C-Cube Microsystems, Inc. 4,000 127
The Timken Co. 6,500 127
Delta & Pine Land Co. 4,020 127
MDU Resources Group, Inc. 5,550 127
- - Oxford Health Plan 8,100 126
AK Steel Corp. 5,600 126
- - Millennium Pharmaceuticals, Inc. 3,500 126
- - PEC Israel Economic Corp. 4,000 126
Talbots Inc. 3,300 126
HSB Group Inc. 3,050 126
Life USA Holding, Inc. 6,200 126
</TABLE>
21
<PAGE> 24
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------
MARKET
VALUE*
BALANCED INDEX FUND SHARES (000)
- -----------------------------------------------------------------------------------
<S> <C> <C>
- - Chirex, Inc. 3,900 $ 125
- - Quiksilver, Inc. 4,800 125
- - Technology Solutions Co. 11,550 125
Camden Property Trust REIT 4,500 125
- - Transaction Systems
Architects, Inc. 3,200 125
Executive Risk, Inc. 1,467 125
- - Manugistics Group, Inc. 8,600 125
Fremont General Corp. 6,600 125
- - Veritas DGC Inc. 6,800 125
Kaufman & Broad Home Corp. 5,000 124
- - Big Flower Holdings, Inc. 3,900 124
Polaroid Corp. 4,500 124
Community First Bankshares 5,200 124
- - Gulf Island Fabrication, Inc. 10,400 124
- - Thermo Cardiosystems Inc. 11,400 124
John Nuveen Co. Class A 2,900 124
- - Mapics Inc. 11,700 124
- - Kulicke & Soffa Industries, Inc. 4,600 123
- - Unifi, Inc. 5,800 123
Foremost Corp. of America 5,600 123
- - GoTo.com, Inc. 4,400 123
- - National-Oilwell, Inc. 8,800 123
Republic Banking Corp. of Florida 6,400 123
Pittway Corp. Class A 3,600 123
- - Eagle USA Airfreight, Inc. 2,900 123
Potlatch Corp. 2,800 123
- - WorldGate Communications, Inc. 2,400 123
IDACORP, Inc. 3,900 123
United Asset Management Corp. 5,400 123
Minerals Technologies, Inc. 2,200 123
- - CDI Corp. 3,600 123
Horace Mann Educators Corp. 4,500 122
BSB Bancorp, Inc. 4,530 122
Shurgard Storage Centers, Inc.
Class A REIT 4,500 122
- - Advance Paradigm, Inc. 2,000 122
Witco Chemical Corp. 6,100 122
- - Amkor Technology, Inc. 11,900 122
- - Techne 4,800 122
Jack Henry & Associates 3,100 122
John H. Harland Co. 6,100 122
- - Renal Care Group, Inc. 4,700 122
IndyMac Mortgage Holdings, Inc. 7,600 122
Helmerich & Payne, Inc. 5,100 121
Valhi, Inc. 10,900 121
- - ThermoQuest Corp. 9,100 121
- - Alliant Techsystems, Inc. 1,400 121
Equitable Resources, Inc. 3,200 121
BRE Properties Inc. Class A REIT 4,656 121
- - iVillage Inc. 2,400 121
- - Ciber, Inc. 6,300 120
USFreightways Corp. 2,600 120
- - Total Renal Care Holdings, Inc. 7,735 120
- - Mercury Interactive Corp. 3,400 120
Nevada Power Co. 4,800 120
Commerce Bancorp, Inc. 2,800 120
Raymond James Financial, Inc. 5,000 120
- - Tower Automotive, Inc. 4,700 120
PS Business Parks, Inc. REIT 4,900 119
- - Cybex Computer Products Corp. 4,275 119
Regis Corp. 6,210 119
- - Hollywood Park, Inc. 7,000 119
Kelly Services, Inc. Class A 3,700 119
- - DSP Group Inc. 3,300 119
- - AnswerThink Consulting
Group, Inc. 4,700 119
- - Progress Software Corp. 4,200 119
- - Antec Corp. 3,700 119
Pennzoil-Quaker State Co. 7,900 119
Apogee Enterprises, Inc. 8,800 118
- - Peregrine Systems, Inc. 4,600 118
- - Visio Corp. 3,100 118
- - Barr Labs Inc. 2,950 118
- - Rare Hospitality International Inc. 4,600 117
- - Maverick Tube Corp. 8,400 117
- - Borders Group, Inc. 7,400 117
Staten Island Bancorp, Inc. 6,500 117
Weingarten Realty Investors REIT 2,800 117
- - Security Dynamics
Technologies, Inc. 5,500 117
- - Hyperion Telecommunications,
Inc. Class A 6,200 117
United Bankshares, Inc. 4,400 117
- - Newfield Exploration Co. 4,100 117
- - Hutchinson Technology, Inc. 4,200 117
- - Powertel Inc. 3,900 117
- - Data General Corp. 8,000 117
- - UCAR International, Inc. 4,600 116
- - Metzler Group, Inc. 4,200 116
Northwest Bancorp, Inc. 11,600 116
- - Cable Design Technologies 7,500 116
- - SpeedUs.com, Inc. 19,700 116
- - Rayovac Corp. 5,100 116
- - MICROS Systems, Inc. 3,400 116
Ohio Casualty Corp. 3,200 116
- - ESS Technology, Inc. 8,600 116
- - Teletech Holdings Inc. 11,400 115
- - Newpark Resources, Inc. 13,000 115
Pulte Corp. 5,000 115
WFS Financial, Inc. 8,310 115
Pittston Brink's Group 4,300 115
- - Mail-Well, Inc. 7,100 115
Omnicare, Inc. 9,100 115
- - Ardent Software, Inc. 5,402 115
Burlington Coat Factory
Warehouse Corp. 5,940 115
- - Knoll, Inc. 4,300 114
Dexter Corp. 2,800 114
- - Bristol Hotels & Resorts, Inc. 15,225 114
Jones Pharma, Inc. 2,900 114
- - Sodexho Marriott Services, Inc. 5,950 114
- - Centennial Cellular Corp. Class A 3,200 114
CPB, Inc. 4,300 114
Elcor Corp. 2,600 114
- - Foodmaker, Inc. 4,000 114
N L Industries, Inc. 10,200 113
CBL & Associates Properties,
Inc. REIT 4,300 113
Pioneer Natural Resources Co. 10,300 113
- - Coach USA, Inc. 2,700 113
- - AboveNet Communications Inc. 2,800 113
Morrison Health Care Inc. 4,516 113
John Wiley & Sons Class A 6,400 113
Rollins Truck Leasing 10,125 113
MeriStar Hospitality Corp. REIT 5,020 113
</TABLE>
22
<PAGE> 25
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------------------
<S> <C> <C>
Callaway Golf Co. 7,700 $ 113
First American Financial Corp. 6,300 113
Prison Realty Trust, Inc. 11,462 112
- - United Payors & United
Providers, Inc. 4,850 112
Manitowac Co., Inc. 2,700 112
Hancock Holding Co. 2,500 112
Alliance Bancorp Inc. 4,825 112
- - ADVO, Inc. 5,400 112
- - Century Business Services, Inc. 7,700 112
Penton Media, Inc. Class A 4,600 112
Heller Financial, Inc. 4,000 111
- - IDT Corp. 5,000 111
- - PETsMART, Inc. 10,848 111
AAR Corp. 4,900 111
HCC Insurance Holdings, Inc. 4,900 111
Corn Products International, Inc. 3,650 111
Aptargroup Inc. 3,700 111
- - Footstar Inc. 2,984 111
CBRL Group, Inc. 6,400 111
- - Western Wireless Corp. Class A 4,100 111
- - IHOP Corp. 4,600 111
- - The Topps Co., Inc. 15,200 111
- - Cambridge Technology Partners 6,300 111
- - Marimba, Inc. 2,100 111
AGL Resources Inc. 6,000 111
Doral Financial Corp. 6,400 110
Albemarle Corp. 4,770 110
EVEREN Capital Corp. 3,700 110
Federal Realty Investment
Trust REIT 4,800 110
Hawaiian Electric Industries Inc. 3,100 110
- - World Color Press, Inc. 4,000 110
CMP Group Inc. 4,200 110
G & K Services, Inc. 2,100 110
- - Action Performance Cos., Inc. 3,332 110
- - Reebok International Ltd. 5,895 110
First Industrial Realty Trust REIT 4,000 110
- - The Children's Place Retail
Stores, Inc. 2,700 109
Ruby Tuesday, Inc. 5,750 109
Commonwealth Energy Systems 2,600 109
Irwin Financial Corp. 5,600 109
Washington Gas Light Corp. 4,200 109
- - Coinstar, Inc. 3,800 109
- - Identix, Inc. 11,100 109
- - Sensormatic Electronics Corp. 7,800 109
Mark IV Industries, Inc. 5,142 109
Bank United Corp. Class A 2,700 109
Texas Industries, Inc. 2,800 109
United National Bancorp 4,565 108
Fleetwood Enterprises, Inc. 4,100 108
- - Medaphis Corp. 18,800 108
Michael Foods Group, Inc. 4,600 108
D. R. Horton, Inc. 6,500 108
- - Mastech Corp. 5,800 108
- - Concord Communications, Inc. 2,400 108
- - Syncor International Corp. 3,000 108
Donaldson Co., Inc. 4,400 108
Eastern Utilities Associates 3,700 108
- - Alpine Group, Inc. 6,700 108
Whitney Holdings 2,705 108
Newport News Shipbuilding Inc. 3,640 107
Urban Shopping Centers, Inc. REIT 3,400 107
Western Bancorp 2,462 107
- - SEACOR SMIT Inc. 2,000 107
- - Entercom Communications Corp. 2,500 107
- - InterVoice, Inc. 7,400 107
Taubman Co. REIT 8,100 107
Student Loan Corp. 2,400 107
American Annuity Group Inc. 4,400 107
Capitol Bancorp Ltd. 5,969 107
- - Human Genome Sciences, Inc. 2,700 107
- - Dave & Busters 3,677 107
ONEOK, Inc. 3,358 107
Developers Diversified Realty
Corp. REIT 6,400 106
- - Playboy Enterprises, Inc. Class B 4,000 106
Rochester Gas & Electric Corp. 4,000 106
- - Medical Manager Corp. 2,400 106
Watkins-Johnson Co. 3,600 106
- - Beyond.com Corp. 3,700 106
Amcore Financial 4,600 106
Arvin Industries, Inc. 2,800 106
- - Matria Healthcare, Inc. 14,600 106
- - Uniroyal Technology Corp. 9,000 106
- - Anchor Gaming 2,200 106
- - Quest Diagnostics, Inc. 3,862 106
- - Sbarro, Inc. 3,900 106
Sierra Pacific Resources 2,900 105
Kennametal, Inc. 3,400 105
- - Proxicom, Inc. 4,100 105
- - Carrier Access Corp. 2,400 105
Arnold Industries, Inc. 6,800 105
The Pep Boys
(Manny, Moe & Jack) 4,840 105
- - AirTran Holdings, Inc. 18,200 105
- - Spyglass, Inc. 5,200 105
- - Microwave Power Devices, Inc. 6,800 105
Earthgrains Co. 4,048 104
Capitol Federal Financial 10,000 104
Nordson Corp. 1,700 104
Nationwide Financial Services, Inc. 2,300 104
Alfa Corp. 5,200 104
- - Electroglas, Inc. 5,200 104
- - Zebra Technologies Class A 2,700 104
Universal Foods Corp. 4,900 104
Norrell Corp. 5,500 103
Jostens Inc. 4,900 103
- - CONSOL Energy, Inc. 8,600 103
- - Insurance Auto Auctions, Inc. 6,400 103
- - Duramed Pharmaceuticals, Inc. 6,600 103
Somerset Group, Inc. 5,156 103
Southwest Gas Corp. 3,600 103
Flowserve Corp. 5,440 103
Dreyer's Grand Ice Cream, Inc. 6,800 103
Air Express International Corp. 4,050 103
- - Net.B@nk, Inc. 2,700 103
H.B. Fuller Co. 1,500 103
- - e.spire Communications, Inc. 9,700 102
Pogo Producing Co. 5,500 102
- - Southern Union Co. 4,709 102
- - uBid, Inc. 3,200 102
The Toro Co. 2,600 102
- - Integrated Device Technology Inc. 9,400 102
Diagnostic Products Corp. 3,700 102
</TABLE>
23
<PAGE> 26
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------
MARKET
VALUE*
BALANCED INDEX FUND SHARES (000)
- ----------------------------------------------------------------------------------
<S> <C> <C>
- - ChoicePoint Inc. 1,520 $ 102
- - Closure Medical Corp. 3,400 102
- - Sequa Corp. Class A 1,456 102
- - ITT Educational Services, Inc. 3,900 102
- - Aware, Inc. 2,200 101
Value Line, Inc. 2,600 101
Chemical Finance 2,907 101
- - Kaiser Aluminum & Chemical Corp. 11,400 101
- - SuperGen, Inc. 6,600 101
- - Cerner Corp. 4,800 101
- - Midway Games Inc. 7,774 101
Wicor, Inc. 3,600 101
- - CDnow Inc. 5,700 100
- - INCYTE Pharmaceuticals, Inc. 3,800 100
- - Premiere Technologies, Inc. 8,700 100
- - Wisconsin Central
Transportation Corp. 5,300 100
- - ICG Communications, Inc. 4,680 100
Wyndham International, Inc. 21,626 100
Chemed Corp. 3,000 100
CNA Surety Corp. 6,510 100
Georgia Gulf Corp. 5,900 100
Kimball International, Inc. Class B 5,900 100
Koger Equity, Inc. REIT 5,400 100
First Financial Bancorp 4,400 100
United Dominion Industries Ltd. 4,100 99
- - Aphton Corp. 7,100 99
Eastern Enterprises 2,500 99
- - NFO Worldwide, Inc. 7,095 99
- - SPS Technologies, Inc. 2,648 99
Gerber Scientific, Inc. 4,500 99
- - Lason Holdings, Inc. 2,000 99
Independent Bank Corp. 6,300 99
Ferro Corp. 3,600 99
CTG Resources Inc. 2,720 99
Midas Inc. 3,483 99
Caraustar Industries, Inc. 4,000 99
- - Emmis Communications, Inc. 2,000 99
Energen Corp. 5,300 99
Reckson Associates Realty
Corp. REIT 4,200 99
- - The Boyds Collection, Ltd. 5,700 99
Lincoln Electric Holdings 4,800 98
- - Sipex Corp. 4,800 98
- - BOK Financial Corp. 3,896 98
- - Group Maintenance America Corp. 7,600 98
- - NCI Building Systems, Inc. 4,600 98
- - Digene Corp. 8,900 98
- - Littelfuse, Inc. 5,100 98
Federal Signal Corp. 4,633 98
- - Agribrands International, Inc. 2,481 98
Omega Healthcare Investors,
Inc. REIT 3,800 98
Fidelity National Financial, Inc. 4,670 98
- - Tom Brown, Inc. 6,300 98
TNP Enterprises, Inc. 2,700 98
Precision Castparts Corp. 2,300 98
United Illuminating Co. 2,300 98
Seacoast Banking Corp. of Florida
Class A 3,200 98
Timberline Software Corp. 6,194 98
- - Coldwater Creek Inc. 5,000 98
Giant Industries, Inc. 9,800 97
Landauer, Inc. 3,300 97
- - Proxymed Pharmacy, Inc. 6,100 97
Bethlehem Steel Corp. 12,639 97
- - Ben & Jerry's Homemade, Inc.
Class A 3,500 97
Brandywine Realty Trust REIT 4,900 97
- - WMS Industries, Inc. 5,700 97
Philadelphia Suburban Corp. 4,200 97
- - Auspex Systems, Inc. 8,900 97
JSB Financial 1,900 97
- - Affiliated Managers Group, Inc. 3,200 97
Washington REIT 5,700 97
St. John Knits, Inc. 3,300 97
Thor Industries, Inc. 3,400 96
Connecticut Energy Corp. 2,500 96
Westfield America, Inc. REIT 6,400 96
- - Inacom Corp. 7,632 96
Puerto Rican Cement Co., Inc. 2,900 96
- - Media Metrix, Inc. 1,800 96
- - U.S. Home Corp. 2,700 96
- - Hyperion Solutions Corp. 5,379 96
National Health Investors REIT 4,200 96
JLG Industries, Inc. 4,700 96
Standard Pacific Corp. 7,400 96
CPI Corp. 2,900 96
- - Il Fornaio (America) Corp. 6,400 96
City Holding Co. 3,295 96
- - U.S. Can Corp. 4,291 95
Health Care Properties
Investors REIT 3,300 95
First Commerce Bancshares Inc.
Class B 4,000 95
Coca-Cola Bottling Co. 1,700 95
- - Phone.com, Inc. 1,700 95
Blount International, Inc. 3,500 95
- - Champion Enterprises, Inc. 5,100 95
Network Solutions, Inc. Class A 1,200 95
Inter-Tel, Inc. 5,200 95
NACCO Industries, Inc. Class A 1,291 95
- - Algos Pharmaceutical Corp. 4,300 95
KN Energy, Inc. 7,092 95
Standard Products Co. 3,700 95
Regal-Beloit Corp. 4,000 95
- - WetSeal, Inc. Class A 3,300 94
- - Medicis Pharmaceutical Corp. 3,713 94
- - Shorewood Packaging Corp. 5,100 94
Pultizer, Inc. 1,933 94
Aquarion Co. 2,700 94
- - 3Dfx Interactive, Inc. 6,000 94
- - Young Broadcasting Inc. 2,200 94
Sterling Bancshares, Inc. 7,000 94
- - Gardner Denver Inc. 5,796 93
Analysts International Corp. 6,500 93
- - Orthodontic Centers of
America, Inc. 6,600 93
OM Group, Inc. 2,700 93
- - Collins & Aikman Corp. 12,200 93
- - Ryan's Family Steak Houses, Inc. 8,000 93
- - Gadzooks, Inc. 5,800 93
MAF Bancorp, Inc. 3,825 93
Parkway Properties Inc. REIT 2,800 93
- - Metamor Worldwide, Inc. 3,850 93
</TABLE>
24
<PAGE> 27
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ---------------------------------------------------------------------
<S> <C> <C>
American Health Properties,
Inc. REIT 4,600 $ 93
- - Davox Corp. 7,750 93
Gaylord Entertainment Co. Class A 3,083 92
Storage USA, Inc. REIT 2,900 92
Bank North Group 2,800 92
- - United Stationers, Inc. 4,200 92
Wausau-Mosinee Paper Corp. 5,126 92
- - Open Market, Inc. 6,500 92
Independence Community
Bank Corp. 6,800 92
- - Viacom Inc. Class A 2,080 92
Hilb, Rogal and Hamilton Co. 4,100 92
- - Department 56 Inc. 3,405 92
- - Gaylord Container Corp. 11,500 91
- - The Dress Barn, Inc. 5,700 91
Home Properties of New York,
Inc. REIT 3,300 91
Manufactured Home Communities,
Inc. REIT 3,500 91
- - Royal Appliance
Manufacturing Co. 13,114 91
- - Barra, Inc. 3,600 91
- - Biomatrix, Inc. 4,200 91
- - Insituform Technologies Class A 4,200 91
Coachmen Industries, Inc. 3,904 91
- - Clarify, Inc. 2,200 91
- - Metro Networks, Inc. 1,700 91
Alberto-Culver Co. Class B 3,400 91
- - Imation Corp. 3,640 90
ASARCO, Inc. 4,800 90
- - Haemonetics Corp. 4,500 90
Piedmont Natural Gas, Inc. 2,900 90
First Bancorp/Puerto Rico 4,000 90
Wallace Computer Services, Inc. 3,600 90
- - Marshall Industries 2,500 90
- - Pre-Paid Legal Services, Inc. 3,300 90
- - Bel Fuse, Inc.- Class B 3,450 90
First International Bancorp, Inc. 6,900 90
Nationwide Health Properties,
Inc. REIT 4,700 90
Webster Financial Corp. 3,300 90
Bob Evans Farms, Inc. 4,500 89
Greif Brothers Corp. Class A 3,500 89
Reliance Group Holdings 12,000 89
Wellman, Inc. 5,600 89
- - Melita International Corp. 6,600 89
- - Varian, Inc. 6,600 89
- - Advanced Communications
Group, Inc. 8,900 88
Carey Diversified LLC 5,100 88
Philadelphia Consolidated
Holding Corp. 3,600 88
McGrath Rent Corp. 4,400 88
- - Men's Wearhouse, Inc. 3,450 88
- - Quorum Health Group, Inc. 7,000 88
F.N.B. Corp. 3,255 88
- - International Rectifier Corp. 6,600 88
Regency Realty Corp. REIT 4,000 88
Russell Corp. 4,500 88
- - Advanced Polymer Systems 12,500 88
- - Value America, Inc. 4,600 87
Cabot Industrial Trust REIT 4,100 87
- - Paging Network, Inc. 18,100 87
Jefferies Group, Inc. 2,900 87
- - Organogenesis, Inc. 9,276 87
Prentiss Properties Trust REIT 3,700 87
- - Oakley, Inc. 12,200 87
- - Mid Atlantic Medical
Services, Inc. 8,800 87
- - Bright Horizons Family
Solutions, Inc. 4,600 87
- - Twinlab Corp. 10,100 87
- - Acclaim Entertainment Inc. 13,591 87
- - Micron Electronics, Inc. 8,600 87
- - Perclose, Inc. 1,800 87
Pioneer Standard Electronics Inc. 7,200 86
Riggs National Corp. 4,200 86
Fedders Corp. 12,900 86
- - IDEXX Laboratories Corp. 3,700 86
- - ESSEF Corp. 4,259 86
Banta Corp. 4,100 86
- - Trans World Entertainment Corp. 7,650 86
Ruddick Corp. 4,300 86
Longview Fibre Co. 5,500 86
- - Tyler Technologies, Inc. 12,500 86
- - Province Heathcare Co. 4,400 86
Prime Bancorp Inc. 3,100 86
- - CompuCredit Corp. 4,500 86
- - 7-Eleven, Inc. 38,500 85
- - King Pharmaceuticals, Inc. 3,300 85
- - CD Radio Inc. 2,800 85
Commerce Group, Inc. 3,500 85
Universal Corp. 3,000 85
- - bebe stores, inc. 2,500 85
- - Cadiz Inc. 9,000 85
- - General Semiconductor, Inc. 9,300 85
Block Drug Co. Class A 2,031 85
- - TheStreet.com, Inc. 2,350 85
Alexander & Baldwin, Inc. 3,800 85
Peoples Holding Co. 2,600 85
- - Vertex Pharmaceuticals, Inc. 3,500 84
- - Thermo Fibertek, Inc. 11,850 84
Applebee's International, Inc. 2,800 84
National Presto Industries, Inc. 2,200 84
- - Hollywood Entertainment Corp. 4,300 84
- - ABC-NACO Inc. 4,100 84
- - ArthroCare Corp. 4,100 84
- - Zoll Medical Corp. 7,000 84
- - Cort Business Services Corp. 3,500 84
Essex Property Trust, Inc. REIT 2,366 84
The Ackerley Group, Inc. 4,600 84
Carter-Wallace, Inc. 4,600 84
- - Cal Dive International, Inc. 2,800 84
Justin Industries, Inc. 6,000 84
Harman International
Industries, Inc. 1,900 84
- - Polo Ralph Lauren Corp. 4,400 84
Susquehanna Bancshares, Inc. 4,725 84
- - Beringer Wine Estates
Holdings, Inc. 2,000 84
- - First Federal Financial Corp. 4,332 83
- - PSS World Medical, Inc. 7,450 83
- - Friede Goldman International, Inc. 6,000 83
Interpool, Inc. 6,400 83
- - Evergreen Resources, Inc. 3,300 83
</TABLE>
25
<PAGE> 28
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------
MARKET
VALUE*
BALANCED INDEX FUND SHARES (000)
- ---------------------------------------------------------------------
<S> <C> <C>
- - Wesco International, Inc. 4,050 $ 83
Lance, Inc. 5,300 83
- - GelTex Pharmaceuticals, Inc. 4,600 83
Interface, Inc. 9,600 83
Pinnacle Bancorp Group Inc. 2,600 83
- - Cellstar Corp. 10,500 83
Modine Manufacturing Co. 2,538 83
Orion Capital Corp. 2,300 83
- - SportsLine USA, Inc. 2,300 83
- - Triad Guaranty, Inc. 4,600 83
- - Garden Fresh Restaurant Corp. 4,400 83
- - GTech Holdings Corp. 3,500 82
CFW Communications Co. 3,400 82
Westcorp, Inc. 7,300 82
Granite Construction Co. 2,800 82
Public Service Co. of
North Carolina, Inc. 2,800 82
- - Structural Dynamics
Research Corp. 4,400 82
- - Sonosite, Inc. 4,800 82
- - Cunningham Graphics
International, Inc. 4,900 81
- - Universal Electronics, Inc. 2,900 81
- - Forte Software, Inc. 8,400 81
- - Hovnanian Enterprises Class A 9,300 81
Western Investment Real Estate
Trust REIT 7,000 81
Commercial Intertech Corp. 5,100 81
Myers Industries, Inc. 4,060 81
- - Level 8 Systems Inc. 6,900 81
Farmer Brothers, Inc. 400 81
Berkshire Realty Co., Inc. REIT 7,000 81
Otter Tail Power Co. 2,098 81
Standard Motor Products, Inc. 3,300 81
Chateau Communities, Inc. REIT 2,700 81
Sovran Self Storage, Inc. REIT 3,000 81
- - UniCapital Corp. 12,800 81
Bowne & Co., Inc. 6,200 81
- - NBTY, Inc. 12,400 81
- - PJ America Inc. 3,800 81
- - MEMC Electronic Materials, Inc. 6,600 80
Hughes Supply, Inc. 2,700 80
Reliance Bancorp, Inc. 2,900 80
- - Administaff, Inc. 5,000 80
Omega Financial Corp. 2,300 80
- - SMART Modular Technologies, Inc. 4,600 80
First Sentinel Bancorp Inc. 9,000 80
- - Novoste Corp. 3,800 80
- - Priority Healthcare Corp. Class A 2,309 80
- - International Specialty
Products, Inc. 7,800 79
The Stride Rite Corp. 7,700 79
- - Handleman Co. 6,700 79
- - Shoe Carnival, Inc. 4,650 79
Imperial Credit Commercial
Mortgage Investment Corp. REIT 7,300 79
- - ProBusiness Services, Inc. 2,200 79
CKE Restaurants Inc. 4,851 79
Peoples Bancorp, Inc. 7,900 79
Hussman International, Inc. 4,750 79
- - Ventana Medical Systems, Inc. 4,100 78
Forest City Enterprise Class A 2,800 78
- - Value City Department Stores, Inc. 6,400 78
Barnes Group, Inc. 3,600 78
- - Nortek, Inc. 2,500 78
Computer Task Group, Inc. 4,600 78
- - Recovery Engineering, Inc. 4,600 78
- - Project Software &
Development, Inc. 2,500 78
Franklin Electric, Inc. 1,200 78
Chelsea GCA Realty, Inc. REIT 2,100 78
Lilly Industries Inc. Class A 4,200 78
WSFS Financial Corp. 5,300 78
Curtiss-Wright Corp. 2,000 78
Tanger Factory Outlet Centers,
Inc. REIT 2,989 78
- - Palm Harbor Homes, Inc. 3,100 78
- - MeriStar Hotels & Resorts,
Inc. REIT 22,600 78
The Trust Co. of New Jersey 3,300 78
- - CorVel Corp. 3,600 77
WPS Resources Corp. 2,579 77
- - Wackenhut Corrections Corp. 3,900 77
National Steel Corp. Class B 9,200 77
- - HNC Software, Inc. 2,500 77
LNR Property Corp. 3,600 77
- - PFF Bancorp, Inc. 4,100 77
Town & Country Trust REIT 4,300 77
- - Trans. Technologies Industries, Inc. 5,800 77
Mine Safety Appliances Co. 1,200 77
Wabash National Corp. 3,950 77
- - EntreMed, Inc. 3,400 77
- - Source Media, Inc. 4,500 77
Prime Retail, Inc. REIT 8,800 76
Mentor Corp. 4,104 76
- - Interim Services, Inc. 3,700 76
Weeks Corp. REIT 2,500 76
Ethyl Corp. 12,700 76
Texas Regional Bancshares, Inc. 2,800 76
- - Centennial Bancorp 5,500 76
- - Valence Technology 10,300 76
Churchill Downs, Inc. 2,200 76
- - Integrated Electrical Services,Inc. 4,700 76
Flagstar Bancorp, Inc. 3,000 76
- - ONSALE, Inc. 4,000 76
- - Mentor Graphics Corp. 5,900 76
Public Service Co. of New Mexico 3,800 76
- - MemberWorks, Inc. 2,600 75
TF Financial Corp. 3,900 75
Vintage Petroleum, Inc. 7,000 75
- - Advantage Learning Systems, Inc. 3,400 75
PennzEnergy Co. 4,500 75
- - Allaire Corp. 1,100 75
- - Com21, Inc. 4,400 75
- - NetGravity, Inc. 3,300 75
- - Consolidated Graphics, Inc. 1,500 75
- - California Culinary Academy Inc. 11,100 75
New Jersey Resources Corp. 2,000 75
Clarcor Inc. 3,900 75
Quaker Chemical Corp. 4,600 75
- - Coleman Inc. 7,968 75
Alpharma, Inc. Class A 2,100 75
- - UNOVA, Inc. 4,700 75
- - Park-Ohio Holdings Corp. 4,400 75
- - Interdigital Communications Corp. 16,100 74
- - LeukoSite, Inc. 6,200 74
</TABLE>
26
<PAGE> 29
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ---------------------------------------------------------------------
<S> <C> <C>
- - Banyan Systems, Inc. 6,800 $ 74
- - ISIS Pharmaceuticals, Inc. 7,300 74
- - Basin Exploration Inc. 3,700 74
J. Baker, Inc. 8,600 74
- - Bangor Hydro-Electric Co. 4,600 74
JP Realty Inc. REIT 3,600 74
- - Provident Financial Holdings, Inc. 3,700 74
- - Marine Drilling Co., Inc. 5,400 74
Capital Re Corp. 4,600 74
- - Acceptance Insurance Cos. Inc. 4,900 74
- - WebTrends Corp. 1,600 74
Exide Corp. 5,000 74
Superior Uniform Group, Inc. 5,900 74
- - Tractor Supply Co. 2,700 74
- - SpaceLabs Medical, Inc. 3,900 74
- - Photronics Labs Inc. 3,000 74
Wolverine World Wide, Inc. 5,250 74
- - Xoom, Inc. 1,400 74
Varian Medical Systems, Inc. 2,900 73
- - Diametrics Medical, Inc. 12,200 73
- - IMRglobal Corp. 3,800 73
Avista Corp. 4,500 73
- - TenFold Corp. 2,300 73
Cleco Corp. 2,400 73
Bandag, Inc. 2,100 73
SIG Corp. 2,550 73
Blair Corp. 2,700 73
Cabot Oil & Gas Corp. Class A 3,900 73
- - Crescent Operating, Inc. REIT 10,660 73
- - Acuson Corp. 4,200 72
Citizens Banking Corp. 2,400 72
- - Earthshell Corp. 10,300 72
IRT Property Co. REIT 7,300 72
- - Performance Food Group Co. 2,650 72
- - Rent-A-Center, Inc. 3,000 72
- - StanCorp Financial Group, Inc. 2,400 72
- - Rexall Sundown, Inc. 5,900 72
- - Artisoft, Inc. 14,200 72
- - Catherines Stores 5,800 72
Mitchell Energy & Development
Corp. Class A 3,700 71
G & L Realty Corp. 6,204 71
Arrow Financial Corp. 2,705 71
Harmon Industries, Inc. 3,600 71
- - Arcadia Financial Ltd. 9,200 71
Anchor Bancorp Wisconsin Inc. 4,000 71
- - Thermo Ecotek Corp. 8,900 71
- - Global Industrial Technologies, Inc. 5,900 71
- - Echelon International Corp., Inc. 3,180 71
- - Hayes Lemmerz International, Inc. 2,420 71
OEA, Inc. 8,000 71
Century Bancorp, Inc. Class A 3,700 71
- - CareInsite, Inc. 1,500 71
- - Orbital Sciences Corp. 3,000 71
- - Rainbow Technologies, Inc. 6,000 71
- - Strattec Security Corp. 2,100 71
- - Atwood Oceanics, Inc. 2,266 71
- - Plains Resources 3,717 71
- - On Assignment, Inc. 2,700 71
- - Jo-Ann Stores, Inc. Class A 4,700 71
Oneida Ltd. 2,500 70
Enterprise Products Partners L.P. 3,800 70
Cross Timbers Oil Co. 4,725 70
Republic Security Financial Corp. 8,388 70
Bradley Real Estate, Inc.
8.40% Cvt. Pfd. 3,024 70
CB Bancshares Inc./Hawaii 2,200 70
- - Airgas, Inc. 5,700 70
- - Caliber Learning Network, Inc. 14,700 70
- - Pilgrim Capital Corp. 3,600 70
- - Thermedics Detection Inc. 6,930 70
FFY Financial Corp. 3,700 69
First Financial Holdings, Inc. 3,700 69
- - Fairchild Corp. 5,441 69
AREA Bancshares Corp. 2,557 69
- - Ampal-American Israel Corp. 12,900 69
- - Beverly Enterprises, Inc. 8,600 69
Trinet Corporate Realty Trust,
Inc. REIT 2,500 69
- - CompUSA, Inc. 9,300 69
- - Xircom, Inc. 2,300 69
HEICO Corp. Class A 2,850 69
- - Pioneer Group, Inc. 4,000 69
- - GC Cos. 1,930 69
- - Clayton Williams Energy, Inc. 11,600 69
- - Ascent Entertainment Group, Inc. 4,875 69
- - Aerial Communications Inc. 5,100 69
- - Input/Output, Inc. 9,100 69
- - International Telecommunication
Data Systems, Inc. 4,300 69
Kansas City Life Insurance Co. 1,600 69
- - Landstar System 1,900 69
- - Jones Lang Lasalle Inc. 2,300 69
- - DVI, Inc. 4,000 69
- - Florida Panthers Holdings, Inc. 6,400 68
Centex Construction Products,Inc. 2,000 68
Indiana Energy, Inc. 3,200 68
- - Benihana Inc. Class A 4,700 68
Kilroy Realty Corp. REIT 2,800 68
- - Hain Food Group, Inc. 3,300 68
- - Personnel Group of America, Inc. 6,800 68
- - Insignia Financial Group, Inc. 6,466 68
- - Hexcel Corp. 6,700 68
- - Fresh Del Monte Produce Inc. 4,800 68
- - Vicorp Restaurants, Inc. 3,900 68
The Standard Register Co. 2,200 68
- - Host Marriott Services Corp. 8,320 68
- - Pride International Inc. 6,400 68
- - VTEL Corp. 15,900 68
- - Impath, Inc. 2,500 68
- - Michaels Stores, Inc. 2,200 67
- - Leap Wireless International, Inc. 3,325 67
- - Software.com, Inc. 2,900 67
Argonaut Group, Inc. 2,800 67
- - Sinclair Broadcast Group, Inc. 4,100 67
JDN Realty Corp. REIT 3,000 67
Belden, Inc. 2,800 67
- - Eclipsys Corp. 2,800 67
Colonial Gas Co. 1,800 67
- - Heartland Express, Inc. 4,058 66
- - Sunrise Assisted Living, Inc. 1,900 66
Redwood Trust, Inc. REIT 4,000 66
- - Immucor Inc. 4,854 66
- - Esterline Technologies Corp. 4,600 66
MascoTech Inc. 3,900 66
- - SteriGenics International, Inc. 2,500 66
</TABLE>
27
<PAGE> 30
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------
MARKET
VALUE*
BALANCED INDEX FUND SHARES (000)
- ---------------------------------------------------------------------
<S> <C> <C>
- - Mortons Restaurant Group 3,456 $ 66
- - Integrated Systems, Inc. 5,600 66
- - Standard Microsystem 8,700 66
NYMAGIC, Inc. 4,200 66
Riviana Foods Inc. 3,500 66
Sizzlers Property Investors, Inc. 7,500 66
- - IDX Systems Corp. 2,900 65
- - Healthcare Financial Partners, Inc. 1,900 65
LTC Properties, Inc. REIT 5,000 65
- - SCM Microsystems,Inc. 1,400 65
Litchfield Financial Corp. 3,831 65
- - Credit Acceptance Corp. 10,800 65
- - MarketWatch.com, Inc. 1,100 65
- - Harbinger Corp. 5,175 65
- - Columbia Sportswear Co. 4,200 65
- - Imperial Credit 9,100 65
- - INSpire Insurance Solutions, Inc. 4,450 65
- - Clarus Corp. 12,900 65
- - Maxxam Inc. 1,000 65
- - Remedy Corp. 2,400 65
- - URS Corp. 2,200 64
- - CFI ProServices, Inc. 5,731 64
First Commonwealth
Financial Corp. 2,700 64
- - Catalytica, Inc. 4,600 64
- - Mossimo, Inc. 7,200 64
Invacare Corp. 2,400 64
Crawford & Co. Class B 3,950 64
General Binding Corp. 2,728 64
- - Allergan Specialty
Therapeutics, Inc. 5,890 64
- - PanAmSat Corp. 1,643 64
Alberto-Culver Co. Class A 2,800 64
- - Anixter International Inc. 3,500 64
Harbor Florida Bancshares, Inc. 5,200 64
Chesapeake Corp. of Virginia 1,700 64
- - Wellsford Real Properties Inc. REIT 5,912 64
Madison Gas & Electric Co. 3,100 64
Spartech Corp. 2,000 63
- - Oceaneering International, Inc. 3,910 63
BankAtlantic Bancorp, Inc. Class A 8,690 63
- - Amerco, Inc. 2,800 63
Correctional Properties Trust REIT 4,000 63
A.O. Smith Corp. 2,250 63
Mississippi Chemical Corp. 6,400 63
- - Ortel Corp. 5,900 63
- - Corporate Express, Inc. 8,950 63
- - Energy Conversion Devices, Inc. 6,300 63
State Financial Services
Corp. Class A 4,100 63
- - Andrea Radio Corp. 9,600 62
- - Datastream Systems, Inc. 3,900 62
- - Prime Hospitality Corp. 5,200 62
- - Scientific Games Holdings Corp. 3,200 62
- - Boyd Gaming Corp. 8,900 62
- - About.Com, Inc. 1,200 62
- - Enzo Biochem, Inc. 6,300 62
- - Hot Topic, Inc. 2,300 62
- - Lifecore Biomedical Inc. 5,400 62
- - Rogers Corp. 2,100 62
Connecticut Water Services, Inc. 2,250 62
L. S. Starrett Co. Class A 2,300 62
Ameron International Corp. 1,400 62
Bassett Furniture Industries, Inc. 2,700 62
Bryn Mawr Bank Corp. 2,400 62
- - Oxigene, Inc. 6,500 61
- - Marcam Solutions, Inc. 8,200 61
- - Wit Capital Group, Inc. 1,800 61
- - Pacific Gateway Exchange, Inc. 2,100 61
Milacron Inc. 3,300 61
- - TCSI Corp. 23,800 61
- - Nuevo Energy Co. 4,600 61
- - FileNet Corp. 5,300 61
Atlanta Sosnoff Capital 6,400 61
- - Layne Christensen Co. 9,500 61
- - Trimble Navigation Ltd. 4,700 61
- - Egghead.com, Inc. 5,400 60
AMCOL International Corp. 4,200 60
Pennsylvania Enterprises Inc. 1,966 60
- - Visual Data Corp. 3,300 60
- - Fritz Cos., Inc. 5,600 60
- - Todd Shipyards Corp. 8,753 60
- - Florida Banks, Inc. 7,700 60
Granite State Bankshares, Inc. 2,600 60
- - Financial Industries Corp. 5,000 60
- - Digital River, Inc. 1,800 60
Skywest, Inc. 2,400 60
- - BE Avionics Inc. 3,200 60
- - Lazare Kaplan International, Inc. 5,900 60
Wackenhut Corp. 2,008 60
First Liberty Financial Corp. 1,900 60
Fair Issac & Co. 1,700 60
Ventas, Inc. 11,000 59
Northwest Natural Gas Co. 2,450 59
- - Rochester Medical Corp. 5,900 59
- - FLIR Systems, Inc. 3,900 59
- - Kevco, Inc. 7,200 59
- - Petrocorp, Inc. 9,622 59
- - Right Management Consultants 3,800 59
- - Sagent Technology, Inc. 6,800 59
First Western Bancorp 1,750 59
Apex Mortgage Capital, Inc. REIT 4,400 59
- - General DataComm
Industries, Inc. 22,300 59
FBL Financial Group, Inc. Class A 3,000 59
Prime Group Realty Trust REIT 3,400 58
- - SpectraLink Corp. 11,000 58
Queens County Bancorp, Inc. 1,800 58
Gainsco, Inc. 9,900 58
- - S&K Famous Brands Inc. 6,100 58
Lawrence Savings Bank 6,200 58
- - Education Management Corp. 2,800 58
Ocean Financial Corp. 3,200 58
- - Wind River Systems Inc. 3,600 58
Baldor Electric Co. 2,900 58
- - Renex Corp. 10,600 58
- - Intraware, Inc. 2,400 58
- - Medialink Worldwide, Inc. 3,600 58
- - XOMA Ltd. 9,500 58
- - MetaCreations Corp. 9,997 57
- - Multex.com Inc. 2,200 57
SJNB Financial Corp. 1,900 57
- - Banctec, Inc. 3,200 57
Rollins, Inc. 3,600 57
- - Ace Cash Express, Inc. 4,050 57
- - Applied Innovation Inc. 12,200 57
</TABLE>
28
<PAGE> 31
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ---------------------------------------------------------------------
<S> <C> <C>
Carpenter Technology Corp. 2,000 $ 57
Downey Financial Corp. 2,600 57
- - AgriBioTech, Inc. 9,400 57
- - Arch Communications Group, Inc 6,700 57
Glimcher Realty Trust REIT 3,500 57
- - Hawthorne Financial Corp. 3,500 57
- - Avatar Holding, Inc. 3,000 57
- - Ralcorp Holdings, Inc. 3,533 57
UMB Financial Corp. 1,323 57
Imperial Sugar Co. 8,164 57
- - Intergraph Corp. 7,300 57
- - Aavid Thermal Technologies 2,500 57
Angelica Corp. 3,200 56
White Mountains Insurance
Group, Inc. 400 56
- - New Mexico & Arizona Land Co. 7,777 56
AmerUs Life Holdings, Inc. 2,084 56
- - TALK.com, Inc. 5,000 56
Freeport-McMoRan Copper &
Gold, Inc. Class A 3,348 56
- - Drexler Technology Corp. 5,900 56
- - American Axle & Manufacturing
Holdings, Inc. 4,000 56
- - Delphi Financial Group, Inc. 1,561 56
- - Ladd Furniture Inc. 2,666 56
Southwestern Energy Co. 5,300 56
- - Miller Industries, Inc. 14,200 56
OmniQuip International, Inc. 7,100 56
- - barnesandnoble.com inc. 3,100 56
- - Silgan Holdings, Inc. 2,800 56
Crown American Realty Trust REIT 7,600 56
Associated Estates Realty
Corp. REIT 4,700 56
Gables Residential Trust REIT 2,300 55
Bindly Western Industries, Inc. 2,400 55
Flushing Financial Corp. 3,600 55
Enhance Financial Services
Group, Inc. 2,800 55
- - Neurogen Corp. 3,780 55
- - Sensory Science Corp. 15,500 55
- - Safeskin Corp. 4,600 55
- - TBC Corp. 7,800 55
- - Lone Star Technologies, Inc. 3,100 55
- - Genesys Telecommunications
Laboratories, Inc. 2,200 55
- - Giant Cement Holding, Inc. 2,400 55
- - Bio-Rad Laboratories, Inc. Class A 2,100 55
- - Sabratek Corp. 2,500 55
Ottawa Financial Corp. 2,541 55
LSI Industries Inc. 2,264 55
Simmons First National 1,700 55
UGI Corp. Holding Co. 2,700 55
Heilig-Meyers Co. 8,000 55
Tecumseh Products Co. Class B 1,000 55
Authentic Fitness Corp. 3,100 54
- - Shoney's Inc. 24,795 54
- - Nashua Corp. 5,486 54
- - LINC Capital, Inc. 6,100 54
CV REIT, Inc. 4,200 54
- - Walker Interactive Systems, Inc. 20,600 54
Olin Corp. 4,100 54
- - ONYX Software Corp. 2,500 54
- - RailTex, Inc. 3,894 54
- - Frontline Communications Corp. 6,400 54
- - Brightpoint, Inc. 8,900 54
Oakwood Homes Corp. 4,100 54
Merrill Corp. 3,700 54
- - AppliedTheory Corp. 4,200 54
Fleming Cos., Inc. 4,600 53
- - Correctional Services Corp. 6,997 53
Resource Bancshares Mortgage
Group, Inc. 5,200 53
Enesco Group, Inc. 2,300 53
AGCO Corp. 4,700 53
- - Pediatrix Medical Group, Inc. 2,500 53
F & M Bancorp 1,579 53
Thomas Nelson, Inc. 4,750 53
- - Hartmarx Corp. 12,600 53
Ziegler Cos., Inc. 3,000 53
- - Syntel, Inc. 5,850 53
- - Kaneb Services, Inc. 12,384 53
- - Perrigo Co. 6,900 53
Harleysville National Corp. 1,470 53
Atmos Energy Corp. 2,100 53
R.H. Donnelley Corp. 2,680 52
- - HomeBase, Inc. 8,300 52
Telxon Corp. 6,600 52
Springs Industries Inc. Class A 1,200 52
HMN Financial, Inc. 4,500 52
- - American Bank Note
Holographics, Inc. 19,000 52
Realty Income Corp. REIT 2,200 52
HEICO Corp. 2,100 52
- - Daisytek International Corp. 3,200 52
- - Ocular Sciences, Inc. 3,000 52
- - Microtouch Systems, Inc. 3,500 52
- - Scott Technologies, Inc. 2,700 52
- - Aspect Development, Inc. 2,800 52
- - Coeur D'Alene Mines Corp. 11,200 52
- - SpecTran Corp. 4,600 52
- - Walter Industries, Inc. 4,000 52
Wolohan Lumber Co. 4,222 52
Zenith National Insurance Corp. 2,100 52
- - Boise Cascade Office
Products Corp. 4,400 52
- - Burlington Industries, Inc. 5,703 52
- - APAC Teleservices, Inc. 15,900 52
Cascade Bancorp 3,200 52
St. Francis Capital Corp. 2,400 52
A. Schulman Inc. 3,000 52
RFS Hotel Investors, Inc. REIT 4,100 52
- - Staff Leasing,Inc. 4,000 52
- - Jan Bell Marketing Inc. 14,700 51
Commercial Metals Co. 1,800 51
Allen Organ Co. 1,400 51
- - Diacrin, Inc. 9,000 51
Presidential Life Corp. 2,600 51
- - BankUnited Financial Corp. 5,300 51
- - BCSB Bankcorp, Inc. 6,000 51
- - The Good Guys, Inc. 6,800 51
M.A. Hanna Co. 3,100 51
- - Trammell Crow Co. 3,100 51
- - Information Resources, Inc. 5,806 51
- - California Amplifier, Inc. 7,800 51
- - Data Transmission Network Corp. 1,800 51
- - I-Link, Inc. 10,800 51
</TABLE>
29
<PAGE> 32
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------
MARKET
VALUE*
BALANCED INDEX FUND SHARES (000)
- ---------------------------------------------------------------------
<S> <C> <C>
- - Micrion Corp. 4,500 $ 51
- - Netmoves, Corp. 9,200 51
Worthington Foods 3,066 51
- - Itron, Inc. 5,900 51
- - Friendly Ice Cream Corp. 6,300 50
- - K-V Pharmaceutical Co. Class A 3,250 50
- - Concentra Managed Care 3,400 50
- - Wyman-Gordon Corp. 2,600 50
Andover Bancorp, Inc. 1,600 50
- - COMFORCE Corp. 16,713 50
Ambanc Holding Co., Inc. 3,000 50
Calgon Carbon Corp. 8,400 50
Arch Chemicals, Inc. 2,050 50
- - Sicor, Inc. 11,700 50
Sun Communities, Inc. REIT 1,400 50
- - Highlands Insurance Group 4,730 50
- - Alterra Healthcare Corp. 3,600 50
EZCORP, Inc. 7,200 50
Luby's, Inc. 3,300 50
NCH Corp. 1,000 50
- - Allen Telecom Inc. 4,600 49
Boddie-Noell Properties Inc. 4,300 49
- - Lydall, Inc. 4,300 49
Foster Wheeler Corp. 3,500 49
- - Theragenics Corp. 7,116 49
- - LCA-Vision, Inc. 5,300 49
- - Chalone Wine Group Ltd. 5,060 49
- - Varian Semiconductor Equipment
Associates, Inc. 2,900 49
- - I-STAT Corp. 5,400 49
- - U.S. Bioscience 5,050 49
Universal Health Realty Income 2,500 49
- - Penwest Pharmaceuticals Co. 6,150 49
- - Swift Energy Co. 4,600 49
First Financial Corp.-Indiana 1,300 49
Strayer Education, Inc. 1,600 49
- - Strategic Distribution, Inc. 21,200 49
- - Read Rite Corp. 7,900 49
- - Clintrials Research, Inc. 9,800 49
Thornburg Mortgage Asset
Corp. REIT 4,900 49
MTS Systems Corp. 4,020 49
- - Musicland Stores Corp. 5,500 49
- - GST Telecommunications Inc. 3,700 49
St. Mary Land & Exploration Co. 2,372 49
- - @Entertainment, Inc. 2,600 49
J.B. Hunt Transport Services, Inc. 3,000 49
International Shipholding Corp. 3,375 49
- - First Union Real Estate REIT 10,780 49
- - Coherent, Inc. 2,600 48
Newmil Bancorp, Inc. 4,400 48
- - iXL Enterprises, Inc. 1,800 48
Corporate Office Properties
Trust, Inc. REIT 5,900 48
- - World Acceptance Corp. 9,600 48
- - Dril-Quip, Inc. 2,100 48
- - Goody's Family Clothing 4,200 48
Haven Bancorp, Inc. 3,000 48
- - Avant! Corp. 3,800 48
- - Steel Dynamics, Inc. 3,100 48
North Carolina Natural Gas Corp. 1,400 48
- - Salient 3 Communications Class A 5,900 48
- - Belco Oil & Gas Corp. 6,900 48
- - Renaissance Worldwide, Inc. 6,000 48
- - Weirton Steel 20,600 48
- - Sunbeam Corp. 6,000 48
- - Acmat Corp. Class A 3,200 48
A.M. Castle & Co. 2,800 48
Codorus Valley Bancorp, Inc. 2,625 48
- - Old Dominion Freight Line, Inc. 4,000 48
- - Halter Marine Group, Inc. 7,169 47
- - Tech-Sym Corp. 1,998 47
- - Western Digital Corp. 7,300 47
- - Kenneth Cole Productions, Inc. 1,700 47
Frontier Insurance Group, Inc. 3,080 47
- - Applix, Inc. 5,400 47
- - OneMain.com, Inc. 2,000 47
Heritage Financial Corp. 5,500 47
- - Romac International, Inc. 5,300 47
- - Wall Data Inc. 4,904 47
- - West TeleServices Corp. 5,000 47
- - Advanced Tissue Sciences Inc. 14,400 47
Chiquita Brands International, Inc. 5,200 47
- - Triad Hospitals, Inc. 3,466 47
Standard Commercial Tobacco Co. 7,963 47
- - Jackpot Enterprises, Inc. 5,500 47
- - Epicor Software Corp. 6,274 47
- - National Processing, Inc. 4,600 47
- - LifePoint Hospitals, Inc. 3,466 47
Cubic Corp. 1,900 47
- - ETEC Systems, Inc. 1,400 47
- - Fourth Shift Corp. 12,600 46
- - Kensey Nash Corp. 5,800 46
Battle Mountain Gold Co. Class A 19,000 46
Advanta Corp. Class A 2,563 46
BeautiControl Cosmetics 10,000 46
- - Juno Online Services, Inc. 2,000 46
- - Electro Scientific Industries, Inc. 1,100 46
- - Varco International, Inc. 4,200 46
- - XTRA Corp. 1,000 46
- - Advanced Lighting
Technologies, Inc. 5,100 46
- - GRC International, Inc. 5,400 46
Watsco, Inc. 2,800 46
Stewart & Stevenson Services, Inc. 3,000 46
- - Foamex International, Inc. 8,200 46
- - American Classic Voyager Co. 1,900 46
- - Cone Mills Corp. 7,600 46
- - Scholastic Corp. 900 46
- - Baldwin Technology Class A 15,500 46
- - Vlasic Foods International, Inc. 6,226 46
HF Financial Corp. 3,400 45
- - Bell & Howell Co. 1,200 45
Middlesex Water Co. 1,800 45
- - Hecla Mining Co. 21,900 45
Fidelity Bancorp, Inc. 2,100 45
W.R. Berkley Corp. 1,800 45
- - Berkshire Hathaway Inc. Class B 20 45
- - Zebra Technologies Corp. Class B 1,170 45
- - SITEL Corp. 15,300 45
- - Laboratory Corp. of America 15,624 45
- - The TesseracT Group, Inc. 17,100 45
Schnitzer Steel Industries, Inc.
Class A 2,000 45
Southern Peru Copper Corp. 3,100 45
- - Offshore Logistics, Inc. 4,000 45
</TABLE>
30
<PAGE> 33
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ---------------------------------------------------------------------
<S> <C> <C>
- - Nu Horizons Electronics Corp. 6,300 $ 44
- - Drug Emporium, Inc. 6,128 44
Donnelly Corp. 2,800 44
- - Hie Inc. 18,600 44
Medford Bancorp, Inc. 2,400 44
- - Delphi Information Systems, Inc. 4,400 44
General Cable Corp. 2,750 44
Hopfed Bancorp, Inc. 2,000 44
- - Stratus Properties, Inc. 9,500 44
- - Reckson Associates Realty Corp.
Class B 1,840 44
- - Allied Holdings, Inc. 5,400 44
Penford Corp. 2,700 44
- - Micrografx, Inc. 7,200 44
Mueller (Paul) Co. 1,400 44
Libbey, Inc. 1,500 44
- - Immunomedics Inc. 29,600 43
- - P-Com, Inc. 8,300 43
- - Protocol Systems, Inc. 5,000 43
California Independent Bancorp 2,100 43
- - infoUSA, Inc. Class B 5,084 43
- - Signal Technology Corp. 7,847 43
- - Stein Mart, Inc. 4,600 43
- - Magellan Health Services, Inc. 4,300 43
- - Shuffle Master, Inc. 5,133 43
- - Manhattan Associates, Inc. 5,200 43
LTV Corp. 6,400 43
DT Industries, Inc. 4,600 42
- - Sybase, Inc. 3,840 42
- - United Capital Corp. 2,700 42
EastGroup Properties, Inc. REIT 2,100 42
- - Perry Ellis International Corp. 3,150 42
- - Aftermarket Technology Corp. 3,700 42
EDO Corp. 5,800 42
- - First Consulting Group, Inc. 3,955 42
- - Careerbuilder, Inc. 3,200 42
Olsten Corp. 6,650 42
- - Satcon Technology Corp. 5,407 42
- - Lynx Therapeutics Inc. 3,700 42
- - Stoneridge,Inc. 3,100 42
Getty Realty Holding Corp. 2,900 42
Katy Industries, Inc. 3,200 42
Titan International, Inc. 3,500 42
National City Bancorporation 1,968 41
- - HMT Technology Corp. 16,400 41
- - Mosaix Inc. 3,200 41
- - Sunburst Hospitality Corp. 6,966 41
Trenwick Group Inc. 1,650 41
- - STAR Telecommunications, Inc. 5,200 41
Mid Atlantic Realty Trust REIT 3,650 41
United Mobile Homes, Inc. 4,300 41
- - Artra Group Inc. 3,000 41
- - Global Vacation Group, Inc. 9,000 41
- - Harken Energy Corp. 24,900 40
Pittston BAX Group 4,250 40
- - VWR Scientific Products Corp. 1,100 40
- - StaffMark, Inc. 4,000 40
- - Black Box Corp. 800 40
- - Thermedics, Inc. 4,300 40
- - Vantive Corp. 3,500 40
- - Carmike Cinemas, Inc. Class A 2,511 40
Oil-Dri Corp. of America 2,500 40
Steelcase Inc. 2,000 40
- - HA-LO Industries, Inc. 4,050 40
Bank of the Ozarks, Inc. 2,200 40
- - Celera Genomics 2,463 40
World Fuel Services Corp. 2,700 40
- - Norstan, Inc. 3,200 40
- - Intelidata Technologies Corp. 15,900 40
- - M&F Worldwide Corp. 5,000 40
- - Spectranetics Corp. 14,100 40
Waddell & Reed Financial, Inc. 1,445 40
- - Capital Trust Class A 8,800 40
- - Sizzler International 17,600 40
Konover Property Trust, Inc. REIT 4,300 40
- - Grey Wolf, Inc. 15,800 40
Penn Virginia Corp. 2,000 40
- - Superior Consultant Holdings Corp. 1,600 40
- - WHX Corp. 6,000 39
- - SpectRx, Inc. 5,074 39
- - Aetrium, Inc. 4,300 39
- - Informatica Corp. 1,100 39
- - Ultratech Stepper, Inc. 2,600 39
- - Object Design, Inc. 10,100 39
- - Software Spectrum, Inc. 2,400 39
- - GT Interactive Software Corp. 11,100 39
Arrow International, Inc. 1,500 39
- - Aqua Alliance Inc. 38,800 39
- - Cyberian Outpost, Inc. 3,900 39
- - Franklin Electronic Publishers, Inc. 10,500 39
Overseas Shipholding Group Inc. 3,000 39
- - Berlitz International, Inc. 2,101 39
- - Cytoclonal Pharmaceutics Inc. 6,100 39
Merit Holding Corp. 1,700 38
- - Biotechnology General 5,900 38
Schweitzer-Mauduit
International, Inc. 2,550 38
Superior Industries
International, Inc. 1,400 38
- - Aspect Telecommunications Corp. 3,900 38
- - Consumer Portfolio Services, Inc. 22,700 38
- - Mattson Technology, Inc. 3,000 38
- - Protein Design Labs 1,700 38
- - Able Telcom Holding Corp. 5,200 38
Avado Brands, Inc. 4,500 38
- - Coram Healthcare Corp. 21,523 38
- - Inprise Corp. 7,700 38
- - Credit Management Solutions, Inc. 7,900 38
- - FSI International, Inc. 4,500 37
- - The Buckle, Inc. 1,300 37
NewSouth Bancorp, Inc. 2,100 37
- - Ocwen Financial Corp. 4,200 37
Covest Bankshares, Inc. 2,500 37
- - AMF Bowling, Inc. 4,400 37
Cadmus Communications 2,700 37
Green Mountain Power Corp. 3,300 37
- - Pharmacopeia, Inc. 3,300 37
- - Dura Pharmaceuticals, Inc. 3,100 37
- - Zamba Corp. 19,000 37
- - Diamond Multimedia Systems, Inc. 8,900 37
- - Coventry Health Care Inc. 3,345 37
- - International Microcomputer
Software, Inc. 7,500 37
- - Syms Corp. 4,500 37
- - Deltek Systems, Inc. 3,700 37
- - RWD Technologies, Inc. 3,500 37
</TABLE>
31
<PAGE> 34
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------
MARKET
VALUE*
BALANCED INDEX FUND SHARES (000)
- ---------------------------------------------------------------------
<S> <C> <C>
- - York Research Corp. 5,900 $ 37
- - Active Voice Corp. 2,500 36
PXRE Corp. 2,000 36
Ryerson Tull, Inc. 1,591 36
Alico, Inc. 2,300 36
- - Xiox Corp. 1,900 36
- - PICO Holdings, Inc. 1,402 35
- - Kitty Hawk, Inc. 4,500 35
K2 Inc. 3,964 35
- - Cameron Ashley Building Products 3,392 35
- - PhyCor, Inc. 4,750 35
- - Big Dog Holdings, Inc. 6,700 35
- - Todhunter International, Inc. 4,200 35
Equity Inns, Inc. REIT 3,800 35
- - Factory 2-U Stores Inc. 1,900 35
- - Converse Inc. 9,666 35
NUI Corp. 1,400 35
- - Ceres Group, Inc. 3,800 35
Energy West Inc. 4,000 35
- - Priority Healthcare Corp. Class B 1,000 35
- - Sunrise Medical, Inc. 4,800 34
Wainwright Bank & Trust Co. 4,200 34
- - Momentum Business
Applications, Inc. 4,814 34
- - NeoPharm, Inc. 2,300 34
- - SpeedFam-IPEC, Inc. 2,102 34
- - Pericom Semiconductor Corp. 3,000 34
- - autobytel.com inc. 1,600 33
Spartan Motors, Inc. 5,800 33
Arch Coal, Inc. 2,400 33
UniFirst Corp. 1,800 33
US Bancorp, Inc. 2,100 33
- - Heartland Technology, Inc 5,500 33
Innkeepers USA Trust REIT 3,300 33
- - Sonic Automotive, Inc. 2,400 33
- - Synagro Technologies Inc. 5,100 33
- - Precision Response Corp. 5,800 32
Hancock Fabrics, Inc. 7,400 32
- - Martek Biosciences Corp. 3,800 32
- - VideoServer, Inc. 3,400 32
- - Acacia Research Corp. 4,000 32
- - Integrated Health Services, Inc. 4,000 32
- - Glenayre Technologies, Inc. 8,900 32
- - Buckeye Technology, Inc. 2,100 32
- - Carriage Services, Inc. 1,700 32
- - Lancer Corp. 3,802 32
- - Engineering Animation, Inc. 1,500 32
- - MSC Industrial Direct Co., Inc.
Class A 3,100 32
Cavalier Homes, Inc. 3,840 31
Superior Telecom Inc. 1,250 31
Oxford Industries, Inc. 1,100 31
Amcast Industrial Corp. 1,904 31
- - Danielson Holdings Corp. 5,400 31
- - Headway Corporate
Resources, Inc. 6,700 31
- - Crestline Capital Corp. 1,840 31
- - NPC International Class A 2,000 31
- - Centigram Communications 3,300 31
- - Avid Technology, Inc. 1,900 31
- - CHS Electronics, Inc. 7,000 31
- - GP Strategies Corp. 3,500 31
- - Trump Hotels & Casino
Resorts, Inc. 6,700 31
- - Aspen Technologies, Inc. 2,600 31
- - Stage Stores, Inc. 4,700 31
FNB Financial Services Corp. 2,000 31
- - Keystone Consolidated
Industries, Inc. 4,600 30
- - Checkpoint Systems, Inc. 3,400 30
MMI Cos., Inc. 1,800 30
- - Comdial Corp. 4,300 30
Green Street Financial Corp. 2,600 30
- - MLC Holdings, Inc. 3,900 30
- - Billing Concepts Corp. 2,700 30
- - MRV Communications Inc. 2,300 30
Guilford Mills, Inc. 2,900 30
- - Navigators Group, Inc. 2,000 30
- - Omega Health Systems, Inc. 4,000 30
Westbanco Inc. 1,000 30
- - Scios, Inc. 9,200 30
- - Autoweb.com, Inc. 2,000 30
- - Juniper Networks INC 200 30
- - Webco Industries, Inc. 5,800 30
Merchants Bancshares, Inc. 1,300 30
- - Fresh America Corp. 2,100 29
- - Digital Microwave Corp. 2,300 29
- - Metromedia International
Group, Inc. 3,900 29
BankAtlantic Bancorp, Inc.
Class B 3,592 29
- - Sola International Inc. 1,500 29
- - Jenny Craig Inc. 8,300 29
- - Computer Horizons Corp. 2,100 29
- - ADAC Laboratories 4,000 29
- - Brocade Communications
Systems, Inc. 300 29
- - SEEC, Inc. 6,800 29
Hunt Corp. 3,500 29
- - Davel Communications, Inc. 5,357 29
- - Digital Island Inc. 1,600 29
CVB Financial Corp. 1,100 29
Lillian Vernon Corp. 2,200 29
- - Optical Cable Corp. 2,600 29
- - V-One Corp. 10,500 29
Maine Public Service Co. 1,600 28
Aames Financial Corp. 21,600 28
Ampco-Pittsburgh Corp. 2,200 28
- - MTR Gaming Group Inc. 10,000 28
- - Impco Technologies Inc. 2,200 28
- - Technisource, Inc. 5,400 28
Crown Crafts, Inc. 6,400 28
- - PriceSmart, Inc. 800 28
NBT Bancorp, Inc. 1,365 28
Cato Corp. Class A 2,400 28
- - Barnett, Inc. 3,700 28
- - Building One Services Corp. 2,000 28
Guarantee Life Cos., Inc. 1,100 28
Home Bancorp 1,000 28
- - Waste Systems International, Inc. 4,000 28
- - North American Vaccine, Inc. 5,639 27
Capstead Mortgage Corp. REIT 5,050 27
- - Novavax, Inc. 7,810 27
- - Filene's Basement Corp. 18,895 27
Banco Santander Puerto Rico 1,500 27
</TABLE>
32
<PAGE> 35
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ---------------------------------------------------------------------
<S> <C> <C>
- - Cellnet Data Systems 3,000 $ 27
- - Material Sciences Corp. 1,800 27
- - Eco Soil Systems, Inc. 5,000 27
- - Molecular Biosystems, Inc. 10,997 27
Holly Corp. 2,000 27
Phoenix Investment Partners Ltd. 3,100 27
- - Orange-Co, Inc. 4,900 27
Great Southern Bancorp, Inc. 1,000 27
- - Boston Beer Co., Inc. Class A 3,300 27
- - Noodle Kidoodle Inc. 5,000 27
- - Vivus, Inc. 10,100 27
- - Phoenix Technologies LTD. 1,470 26
- - Learning Tree International, Inc. 2,400 26
- - School Specialty, Inc. 1,627 26
M/A/R/C, Inc. 1,800 26
- - Time Warner Telecom Inc. 900 26
- - Systemax Inc. 2,100 26
LandAmerica Financial Group, Inc. 900 26
- - Workflow Management, Inc. 1,809 26
- - Colonial Downs Holdings, Inc. 13,300 26
- - Cirrus Logic 2,900 26
- - Lumisys, Inc. 7,800 26
- - Exabyte Corp. 6,600 26
- - PathoGenesis Corp. 1,800 26
- - S3, Inc. 2,800 25
General Chemical Group, Inc. 8,100 25
Pan Pacific Retail Properties,
Inc. REIT 1,300 25
- - UniSource Energy Corp. 2,100 25
Anthracite Capital Inc. 3,800 25
- - Premier Research Worldwide, Ltd. 3,900 25
- - Invitrogen Corp. 1,000 25
- - Rocky Mountain Chocolate
Factory, Inc. 4,100 25
Tremont Corp. 1,142 25
- - Health Management Systems, Inc. 4,453 24
Landmark Bancshare, Inc. 1,300 24
State Auto Financial Corp. 1,800 24
- - BJ Services Co. Warrants
Exp. 4/13/2000 787 24
- - Immune Response 4,500 24
- - Castle & Cooke Inc. 1,366 24
- - Stac Software, Inc. 4,317 24
- - DA Consulting Group, Inc. 4,000 24
- - PictureTel Corp. 3,000 24
- - US SEARCH.com Inc. 3,000 24
Dimon Inc. 4,600 24
- - Information Management
Associates, Inc. 6,800 24
- - OpenROUTE Networks, Inc. 5,600 24
- - Griffin Land & Nurseries, Inc. 2,000 24
- - SM&A Corp. 3,100 24
Tejon Ranch Co. 900 24
- - DLJdirect 800 24
- - Veterinary Centers of America, Inc. 1,740 24
- - Lexington Global Asset
Managers, Inc. 6,600 24
Tech/Ops Sevcon, Inc. 1,900 24
- - Bush Boake Allen, Inc. 800 23
- - Styling Technology Corp. 1,800 23
- - Lone Star Steakhouse &
Saloon, Inc. 2,400 23
- - Systems & Computer
Technology Corp. 1,600 23
- - Badger Paper Mills, Inc. 3,200 23
- - EMS Technologies, Inc. 1,600 23
- - Amresco, Inc. 3,600 23
BMC Industries, Inc. 2,237 23
- - Thermo TerraTech, Inc. 4,100 23
- - Winter Sports Inc. 2,425 23
- - Rehabilicare, Inc. 6,880 23
- - Lechters Corp. 9,000 23
- - Data Race, Inc. 6,778 22
Horizon Financial Corp. 1,635 22
- - Metra Biosystems, Inc. 13,000 22
- - Genesis Direct, Inc. 11,900 22
Bridge View Bancorp 1,260 22
Titanium Metals Corp. 2,000 22
- - Meridian Gold Co. 4,800 22
- - 3DO Co. 4,800 22
- - TRO Learning, Inc. 3,600 22
- - Cheap Tickets, Inc. 600 22
Circle International Group, Inc. 1,000 22
- - EEX Corp. 3,148 22
- - Comfort Systems USA, Inc. 1,200 22
- - Brite Voice Systems, Inc. 1,555 22
- - Gibson Greetings, Inc. 3,400 22
- - TST Impreso, Inc. 5,300 22
Oregon Steel Mills, Inc. 1,600 21
- - Carrington Labs Inc. 7,400 21
Glenborough Realty Trust,
Inc. REIT 1,200 21
RPC Inc. 2,400 21
- - Applied Graphics
Technologies, Inc. 1,660 21
Health Care REIT, Inc. 900 21
- - Life Financial Corp. 4,900 21
Grove Property Trust REIT 1,600 21
- - Quaker City Bancorp, Inc. 1,250 21
- - Alexander's, Inc. 277 20
- - Mesaba Holdings, Inc. 1,600 20
- - American Skiing Co. 5,000 20
- - PRT Group Inc. 7,000 20
- - Merisel, Inc. 8,800 20
J.M. Smucker Co. Class A 900 20
- - Bell Industries, Inc. 4,500 20
- - Network Access Solutions Corp. 1,500 20
Winston Hotels, Inc. REIT 1,900 20
- - INSO Corp. 3,700 20
- - Loronix Information Systems 2,400 20
- - Seven Seas Petroleum Inc. 7,200 20
- - Dura Automotive Systems, Inc. 593 20
- - Urocor, Inc. 4,000 20
Terra Industries, Inc. 4,900 20
Gentek, Inc. 1,400 19
- - Total-Tel USA Communications, Inc. 1,100 19
Roadway Express Inc. 1,000 19
Alamo Group, Inc. 2,200 19
- - National Western Life Insurance
Co. Class A 200 19
Foothill Independent Bancorp. 1,391 19
Nash-Finch Co. 1,900 19
- - Marvel Enterprises Inc. 2,600 19
- - NVIDIA Corp. 1,000 19
Oregon Trail Financial Corp. 1,500 19
</TABLE>
33
<PAGE> 36
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------
MARKET
VALUE*
BALANCED INDEX FUND SHARES (000)
- ---------------------------------------------------------------------
<S> <C> <C>
Patriot Bank Corp. 2,000 $ 19
York Financial Corp. 1,280 19
- - Korn/Ferry International 1,100 19
Wiser Oil Co. 5,600 19
American Access
Technologies Inc. 1,000 19
- - QAD Inc. 6,000 18
- - Genesis Health Ventures Inc. 6,100 18
Oak Hill Financial, Inc. 1,000 18
- - Schuler Homes Inc. 2,800 18
- - Innovative Gaming Corp. 10,000 18
Berry Petroleum Class A 1,300 18
- - Designs, Inc. 12,050 18
- - Parker Drilling Co. 5,400 18
Synalloy Corp. 2,200 18
- - Rainforest Cafe, Inc. 3,525 18
- - PlayCore, Inc. 3,100 18
- - Applied Magnetics Corp. 5,800 18
- - Hollywood Casino Corp. 11,800 18
- - Vertex Industries, Inc. 6,700 18
- - Nastech Pharmaceutical Co., Inc. 5,300 18
Greater Community Bancorp 1,700 17
- - Pegasystems Inc. 1,700 17
- - Atrix Laboratories, Inc. 1,800 17
- - Celtrix Pharmaceuticals 13,800 17
- - National Dentex Corp. 1,000 17
- - Interleaf, Inc. 2,933 17
- - Osicom Technologies, Inc. 1,347 17
Investors Title Co. 1,000 17
ISCO, Inc. 2,700 17
Herbalife International Class A 1,533 17
- - Consolidated Freightways Corp. 1,300 17
Urstadt Biddle Properties REIT
Class A 2,100 17
- - Conrad Industries, Inc. 3,300 17
- - Scheid Vineyards, Inc. Class A 3,300 17
- - U.S. Energy Corp. 4,400 17
- - Seattle FilmWorks, Inc. 5,375 16
- - Invision Technologies, Inc. 3,200 16
- - Trans World Airlines 3,300 16
- - Innovasive Devices, Inc. 5,000 16
- - Thermotrex Corp. 2,100 16
- - Chic By H.I.S., Inc. 6,020 16
- - Rohn Industries Inc. 11,500 16
- - The Gymboree Corp. 1,500 16
TransPro Inc. 3,000 16
Urstadt Biddle Properties REIT 2,100 16
- - Interneuron Pharmaceutical, Inc. 5,700 16
- - UroQuest Medical Corp. 8,800 16
Stephan Co. 3,700 15
- - ThermoLase Corp. 11,800 15
- - NetManage, Inc. 7,147 15
- - Encore Wire Corp. 1,700 15
- - Curative Health Services Inc. 2,800 15
- - Quality Systems, Inc. 2,400 15
- - HCIA, Inc. 1,700 15
- - V.I. Technologies, Inc. 3,000 15
- - Electronic Retailing Systems
International, Inc. 9,900 15
- - Sciclone Pharmaceuticals 11,800 15
- - TCI Satellite Entertainment, Inc.
Class A 5,004 15
- - Epitope Inc. 2,500 15
- - Hologic, Inc. 2,600 15
- - Kendle International Inc. 900 14
United Wisconsin Services, Inc. 1,800 14
- - C2, Inc. 2,300 14
- - Viasoft, Inc. 4,100 14
- - Vistana, Inc. 900 14
Greater Delaware Valley
Savings Bank 1,500 14
- - Homestead Village, Inc. 5,734 14
- - International Assets Holding Corp. 2,178 14
- - NS Group Inc. 1,500 14
Birmingham Steel Corp. 3,350 14
- - Volt Information Sciences Inc. 600 14
Skaneateles Bancorp, Inc. 523 14
- - Information Architects Corp. 5,700 14
- - Echo Bay Mines Ltd. 9,400 14
- - Applied Digital Access, Inc. 3,000 14
- - Breed Technological Inc. 6,000 14
- - Toymax International, Inc. 2,700 13
- - IA Corp. 6,700 13
U.S.B. Holding Co., Inc. 862 13
Lindsay Manufacturing Co. 750 13
- - Ziff-Davis Inc.-ZDNet 500 13
- - ContiFinancial Corp. 3,600 13
- - StarMedia Network, Inc. 200 13
- - Darling International, Inc. 6,600 13
- - Lakes Gaming, Inc. 1,162 13
- - Alliance Pharmaceutical Corp. 4,798 13
- - Medar, Inc. 5,742 13
- - Crown Vantage, Inc. 5,680 12
Virco Manufacturing Corp. 770 12
- - Destia Communications, Inc. 1,000 12
- - Chesapeake Energy Corp. 4,200 12
Clarion Commercial Holdings, Inc. 1,800 12
- - NovaCare, Inc. 8,100 12
- - Silknet Software, Inc. 300 12
- - Hauser, Inc. 2,200 12
- - Objective Systems Integrators, Inc. 4,400 12
- - Larscom, Inc. Class A 5,300 12
Primex Technologies, Inc. 560 12
- - Schein Pharmaceutical, Inc. 1,000 12
- - Avigen, Inc. 2,000 12
- - Geoworks 4,000 12
- - Starter Corp. 9,600 12
- - Cidco, Inc. 1,600 12
Phillips-Van Heusen Corp. 1,200 12
- - IGI, Inc. 6,710 12
- - Graham-Field Health Products Inc. 7,800 12
- - General Magic, Inc. 3,300 12
Continental Mortgage &
Equity Trust 750 12
- - Redhook Ale Brewery, Inc. 3,000 12
Thermoretec Corp. 2,700 11
- - Miravant Medical Technology 1,600 11
- - Telular Corp. 3,875 11
- - Omega Worldwide, Inc. 2,794 11
- - Advanced Magnetics, Inc. 2,700 11
- - Mesa Air Group Inc. 1,500 11
Met-Pro Corp. 900 11
- - Premisys Communications, Inc. 1,500 11
Herbalife International Class B 1,266 11
- - Central Financial Acceptance Corp. 3,000 11
- - AMBI, Inc. 4,400 11
</TABLE>
34
<PAGE> 37
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ---------------------------------------------------------------------
<S> <C> <C>
- - Just for Feet, Inc. 1,650 $ 11
- - Komag, Inc. 3,200 11
- - SkyePharma PLC ADR 1,371 11
- - Caribiner International, Inc. 1,700 11
- - Fresh Choice, Inc. 5,100 11
- - Oak Technology, Inc. 2,900 11
Huntco Inc. Class A 3,500 11
- - Landry's Seafood Restaurants, Inc. 1,300 10
- - NCS HealthCare, Inc. 1,900 10
Farrel Corp. 5,000 10
- - Scherer Health 3,200 10
Vesta Insurance Group, Inc. 2,200 10
- - Cardima, Inc. 5,000 10
- - General Cigar Holdings, Inc. 1,300 10
- - Presstek, Inc 1,400 10
- - TD Waterhouse Group, Inc. 400 10
- - U.S. Office Products Co. 1,861 10
- - Cytrx Corp. 5,000 10
- - FARO Technologies, Inc. 2,000 10
- - Versant Corporation 4,000 10
- - Aqua Care Systems, Inc. 6,700 10
- - Consolidated Delivery &
Logistics, Inc. 2,800 10
- - Planet Hollywood International,
Inc. Class A 14,200 10
- - USDATA Corp., Inc. 2,497 10
- - Global Payment Tech Inc. 1,200 10
- - Gulf West Banks, Inc. 1,100 9
- - Vertel Corp. 5,000 9
Meridian Diagnostics, Inc. 1,300 9
Atlantic Tele-Network, Inc. 880 9
- - Gilman & Ciocia, Inc. 1,000 9
- - Respironics, Inc. 600 9
- - Nord Resources Corp. 15,700 9
- - Medplus, Inc. 5,600 9
- - MAXIMUS, Inc. 300 9
- - Excel Legacy Corp. 1,800 9
- - Adams Golf, Inc. 3,300 8
- - Planet Polymer Technology, Inc. 5,200 8
- - Digital Origin, Inc. 2,500 8
- - Maxicare Health Plans Inc. 1,700 8
- - The A Consulting Team, Inc. 1,000 8
- - Natural Wonders 2,000 8
- - Employee Solutions, Inc. 6,700 8
- - AmeriPath, Inc. 900 8
- - OAO Technology Solutions, Inc. 2,061 8
- - Vestcom International, Inc. 2,200 8
- - Base Ten Systems Class A 8,000 8
First Commerce Bancshares Inc.
Class A 300 7
- - CAIS Internet, Inc. 400 7
- - ImmuLogic Pharmaceutical Corp. 3,900 7
CRIIMI MAE, Inc. REIT 3,200 7
- - Service Merchandise Co., Inc. 19,200 7
- - Aztec Technology Partners, Inc. 3,788 7
- - Viant Corp. 200 7
American Medical Security
Group, Inc. 800 7
- - Intelligent Medical Imaging, Inc. 9,000 7
- - Geneva Steel Class A 26,500 7
- - Unigene 7,000 7
- - Genzyme Surgical Products 1,468 6
- - Total Containment 2,100 6
- - Capital Corp. of the West 500 6
Harnischfeger Industries Inc. 3,100 6
- - Maker Communications, Inc. 200 6
- - SMC Corp. 1,200 6
- - TransTexas Gas Corp. 10,300 6
Carolina Southern Bank 400 6
- - Regent Assisted Living, Inc. 1,500 6
- - IEC Electronics Corp. 1,682 6
- - Labtec, Inc. 1,400 6
- - Applied Microsystems Corp. 1,900 6
- - Computer Learning Centers, Inc. 1,200 6
- - Navigant International, Inc. 744 6
- - Mobius Management Systems, Inc. 700 6
- - Samsonite Corp. 1,116 6
Jefferson Savings Bancorp, Inc. 400 6
Sauer Inc. 500 5
- - Transworld Healthcare Inc. 1,574 5
- - Axiohm Transaction Solutions, Inc. 1,326 5
- - Latitude Communications, Inc. 400 5
- - Alyn Corp. 1,600 5
- - Royal Precision Inc. 2,000 5
- - Gold Reserve Inc. Class A 4,300 5
- - United Leisure Corp. 1,800 5
- - Ramtron International Corp. 7,800 5
- - Amylin Pharmaceuticals, Inc. 4,300 5
- - Input Software Inc. 800 5
- - Altiva Financial Corp. 1,050 5
- - Technical Chemicals and
Products, Inc. 4,200 5
- - SeaMED Corp. 400 5
- - Integrated Silicon Solution, Inc. 800 5
- - Radio One, Inc. 100 5
- - Altris Software, Inc. 5,300 5
- - Omtool, Ltd. 1,400 5
- - Chesapeake Biological
Laboratories, Inc. 1,300 5
- - Cyberguard Corp. 4,500 5
- - Crescendo Pharmaceuticals Corp. 260 4
- - AER Energy Resources, Inc. 20,300 4
- - Phoenix International Ltd., Inc. 700 4
- - Ascent Pediatrics, Inc. 2,200 4
- - Microwave Systems Corp. 2,800 4
- - Network Plus Corp. 200 4
- - Neoprobe Corp. 6,300 4
- - Vista Energy Resources, Inc. 2,000 4
- - Data Systems Network Corp. 4,200 4
Laser Mortgage Management, Inc. 1,100 4
- - Daily Journal Corp. 100 4
- - Forcenergy Inc. 3,956 4
- - Blue Wave Systems, Inc. 1,000 4
- - GSE Systems, Inc. 600 4
- - CD Warehouse, Inc. 400 3
- - Health Systems Design Corp. 800 3
- - Multigraphics Inc. 1,600 3
- - Penncorp Financial Group Inc. 6,800 3
- - Genome Therapeutics Corp. 1,100 3
- - Secure Computing Corp. 1,300 3
- - Vornado Operating Inc. REIT 395 3
- - Wellcare Management Group, Inc. 4,000 3
- - Sun Healthcare Group, Inc. 7,975 3
- - Electric Fuel Corp. 1,800 3
- - Interstate Hotels Corp. 720 3
- - Viisage Technology, Inc. 2,500 3
</TABLE>
35
<PAGE> 38
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------
MARKET
VALUE*
BALANCED INDEX FUND SHARES (000)
- ---------------------------------------------------------------------
<S> <C> <C>
- - Astea International, Inc. 1,000 $ 3
- - Response Oncology, Inc. 1,000 3
Allied Products Corp. 1,000 3
- - Continucare Corp. 4,600 3
- - American Banknote Corp. 9,100 3
- - PowerCerv Corp. 1,000 3
- - Capital Pacific Holdings, Inc. 700 3
- - Metrocall, Inc. 900 2
Pittsburgh & West Virginia Railroad 300 2
- - MAI Systems Corp. 700 2
- - Genzyme Molecular Oncology 821 2
- - Avatex Corp. 2,000 2
- - Alanco Environmental
Resources Corp. 1,986 2
- - Dispatch Management
Services Corp. 800 2
- - Vencor, Inc. 14,500 2
- - Numerex Corp. 500 2
- - Integra, Inc. 1,600 2
- - Insilco Holding Corp. 87 2
- - Checkers Drive-In Restaurant 5,400 2
- - International Lottery & Totalizator
Systems, Inc. 2,933 2
- - Uranium Resources, Inc. 8,300 2
- - Just Like Home, Inc. 2,400 2
- - Einstein/Noah Bagel Corp. 1,800 2
Summit Bancshares, Inc. 100 2
- - Comshare 553 2
- - Aura Systems, Inc. 7,500 2
- - Agritope, Inc. 460 2
- - Docucorp International 361 1
- - JumboSports Inc. 14,800 1
- - Foreland Corp. 2,666 1
- - Merry Land Properties, Inc. REIT 270 1
- - Mariner Post-Acute Network, Inc. 2,181 1
- - Quintel Communications, Inc. 800 1
- - Mobley Environmental
Services, Inc, Class A 6,600 1
- - ProcureNet, Inc. 6,800 1
- - Horizon Group Properties, Inc. REIT 310 1
- - Microfield Graphics, Inc. 1,100 1
- - The Penn Traffic Co. 6,200 1
- - Atlantic Gulf Communities Corp. 1,500 1
- - LTC Healthcare, Inc. 500 1
- - Colorado Casino Resorts, Inc. 5,600 1
- - Alteon, Inc. 1,200 1
- - FIRSTPLUS Financial Group, Inc. 2,700 1
- - Cole National Corp. Class A 100 1
- - Gradco Systems, Inc. 275 1
- - Health Fitness Corp. 1,400 1
- - Centura Software Corp. 600 1
- - All American Semiconductor, Inc. 200 1
- - OneWorld Systems, Inc. 700 1
- - Cellular Technical Services 160 1
- - HumaScan, Inc. 5,000 1
- - nVIEW Corp. 3,300 1
- ---------------------------------------------------------------------
TOTAL COMMON STOCKS
(Cost $894,203) 1,496,744
- ---------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------
FACE MARKET
AMOUNT VALUE*
(000) (000)
- ---------------------------------------------------------------------
<S> <C> <C>
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (24.1%)
- ---------------------------------------------------------------------
U.S. GOVERNMENT SECURITIES (8.2%)
U.S. Treasury Bonds
7.125%, 2/15/2023 $ 7,700 $ 8,519
7.50%, 11/15/2016 200 226
7.625%, 11/15/2022 4,125 4,805
7.875%, 2/15/2021 625 740
8.00%, 11/15/2021 8,820 10,618
8.125%, 8/15/2019 24,805 29,944
8.125%, 5/15/2021 5,085 6,184
8.125%, 8/15/2021 18,575 22,602
8.50%, 2/15/2020 9,505 11,896
8.75%, 5/15/2017 4,015 5,063
8.75%, 5/15/2020 3,450 4,423
8.75%, 8/15/2020 5,175 6,649
8.875%, 8/15/2017 4,225 5,391
8.875%, 2/15/2019 1,350 1,737
10.375%, 11/15/2009 27,470 32,884
10.375%, 11/15/2012 19,055 24,294
12.75%, 11/15/2010 10,375 14,007
14.00%, 11/15/2011 2,465 3,611
U.S. Treasury Notes
4.625%, 12/31/2000 1,000 988
5.625%, 11/30/2000 1,000 1,002
5.75%, 11/15/2000 2,950 2,962
7.00%, 7/15/2006 1,000 1,061
8.50%, 11/15/2000 7,700 8,008
---------
207,614
---------
AGENCY BONDS & NOTES (2.3%)
Federal Farm Credit Bank
4.80%, 11/6/2003 3,500 3,319
Federal Home Loan Bank
5.575%, 9/2/2003 4,800 4,695
5.675%, 8/18/2003 5,000 4,910
5.80%, 9/2/2008 6,200 5,890
5.865%, 9/2/2008 2,000 1,905
5.88%, 11/25/2008 1,200 1,136
Federal Home Loan Mortgage Corp.
6.45%, 4/29/2009 2,000 1,928
7.09%, 6/1/2005 400 403
Federal National Mortgage Assn.
5.64%, 12/10/2008 3,500 3,263
5.75%, 4/15/2003 3,845 3,800
5.90%, 7/9/2003 3,000 2,954
5.91%, 8/25/2003 1,300 1,283
5.96%, 4/23/2003 600 592
5.97%, 7/3/2003 2,000 1,974
6.09%, 2/20/2009 4,000 3,784
6.18%, 2/19/2009 1,000 951
6.40%, 5/14/2009 5,700 5,517
6.56%, 4/23/2008 2,750 2,691
6.57%, 8/22/2007 2,750 2,768
6.58%, 8/20/2007 3,500 3,525
---------
57,288
---------
</TABLE>
36
<PAGE> 39
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------
FACE MARKET
AMOUNT VALUE*
(000) (000)
- ---------------------------------------------------------------------
<S> <C> <C>
MORTGAGE-BACKED SECURITIES (13.6%)
Federal Home Loan Mortgage Corp.
(3) 5.50%, 11/1/2000-12/1/2028 $ 4,484 $ 4,225
(3) 6.00%, 7/1/2000-5/1/2029 47,795 45,584
(3) 6.50%, 4/1/2000-6/1/2029 73,970 71,858
(3) 7.00%, 4/1/2000-6/1/2029 41,836 41,589
(3) 7.50%, 3/1/2000-5/1/2028 23,309 23,616
(3) 8.00%, 11/1/2001-3/1/2028 13,131 13,490
(3) 8.50%, 11/1/2006-8/1/2027 1,865 1,947
(3) 9.00%, 1/1/2005-10/1/2026 481 510
(3) 9.50%, 8/1/2003-4/1/2025 467 497
(3) 10.00%, 3/1/2017-4/1/2025 155 168
Federal National Mortgage Assn.
(3) 5.50%, 1/1/2001-11/1/2008 90 87
(3) 6.00%, 8/1/2000-1/1/2029 14,291 13,554
(3) 6.50%, 3/1/2000-10/1/2028 14,298 13,883
(3) 7.00%, 5/1/2000-8/1/2028 15,278 15,160
(3) 7.50%, 8/1/1999-8/1/2027 5,406 5,472
(3) 8.00%, 7/1/2007-9/1/2027 2,766 2,843
(3) 8.50%, 10/1/2004-7/1/2027 1,174 1,227
(3) 9.00%, 9/1/2004-8/1/2026 642 681
(3) 9.50%, 4/1/2005-2/1/2025 295 315
(3) 10.00%, 7/1/2005-8/1/2021 102 110
(3) 10.50%, 8/1/2020 22 24
Government National Mortgage Assn.
(3) 6.00%, 3/15/2009-6/15/2029 8,010 7,528
(3) 6.50%, 9/15/2008-6/15/2029 24,957 24,082
(3) 7.00%, 5/15/2008-6/15/2029 23,766 23,533
(3) 7.50%, 5/15/2008-7/15/2028 14,439 14,617
(3) 8.00%, 4/15/2002-1/15/2029 13,006 13,384
(3) 8.50%, 7/15/2001-9/15/2027 2,445 2,561
(3) 9.00%, 2/15/2004-6/15/2027 1,818 1,932
(3) 9.50%, 9/15/2018-12/15/2025 413 448
(3) 10.00%, 10/15/2017-2/15/2026 199 218
(3) 10.50%, 9/15/2015-9/15/2019 74 82
(3) 11.00%, 7/15/2013-12/15/2015 36 41
(3) 12.00%, 2/15/2014 8 10
---------
345,276
---------
- ---------------------------------------------------------------------
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS
(Cost $619,760) 610,178
- ---------------------------------------------------------------------
CORPORATE BONDS (13.0%)
- ---------------------------------------------------------------------
ASSET-BACKED (1.7%)
ARG Funding Corp.
(3) 5.88%, 3/6/2002 2,800 2,761
AT&T Universal Card
Master Trust Series
(3) 5.95%, 10/17/2000 1,000 1,004
Advanta Mortgage Loan Trust
(3) 6.21%, 11/25/2016 2,600 2,558
Advanta Credit Card Master Trust
(3) 6.05%, 8/1/2003 2,500 2,510
American Express Credit
Card Master Trust
(3) 6.40%, 9/15/2002 3,000 3,020
(3) 6.80%, 12/15/2003 2,500 2,535
California Infrastructure & Econ.
Dev. Bank SP Trust PG&E
(3) 6.16%, 12/14/2000 625 627
(3) 6.42%, 3/25/2005 900 899
CIT RV Trust
(3) 5.78%, 7/15/2008 1,500 1,496
(3) 5.96%, 4/15/2011 1,325 1,318
Citibank Credit Card Master Trust
(3) 5.875%, 3/10/2011 900 849
Discover Card Trust
(3) 5.65%, 11/15/2004 3,600 3,553
First Bank Corp. Card Master Trust
(3) 6.40%, 2/15/2002 1,000 1,005
Ford Credit Auto Loan Master Trust
(3) 6.50%, 8/15/2000 1,000 1,008
MMCA
(3) 5.50%, 7/15/2005 3,400 3,382
PECO Energy Transition Trust
(3) 5.63%, 3/1/2005 4,800 4,701
(3) 6.05%, 6/26/2006 1,100 1,053
Premier Auto Trust
(3) 5.69%, 6/8/2002 3,000 2,998
Sears Credit Account Master Trust
(3) 5.80%, 8/15/2001 3,000 3,000
(3) 6.05%, 2/15/2004 500 498
(3) 8.10%, 6/15/2004 1,979 2,018
---------
42,793
---------
FINANCE (5.4%)
American General Finance Corp.
5.875%, 7/1/2000 450 449
Associates Corp.
6.375%, 8/15/2000 3,000 3,012
6.50%, 10/15/2002 1,125 1,129
7.50%, 4/15/2002 350 360
Bank of New York Capital I
7.97%, 12/31/2026 1,000 1,006
Banc One Corp.
6.25%, 10/1/2001 2,500 2,500
BankAmerica Corp.
7.50%, 10/15/2002 1,600 1,649
8.125%, 2/1/2002 1,125 1,170
10.00%, 2/1/2003 200 222
Bear Stearns Co., Inc.
6.625%, 1/15/2004 300 296
6.70%, 8/1/2003 1,300 1,293
BT Capital Trust B
7.90%, 1/15/2027 500 487
CIGNA Corp.
7.875%, 5/15/2027 500 509
CNA Financial Corp
6.50%, 4/15/2005 2,300 2,226
Camden Property Trust
7.00%, 11/15/2006 750 720
Case Credit Corp.
6.15%, 3/1/2002 4,250 4,252
Chase Capital I
7.67%, 12/1/2026 1,100 1,067
Chase Manhattan Corp.
8.50%, 2/15/2002 1,856 1,947
Chrysler Financial Corp.
5.69%, 11/15/2001 3,000 2,970
Citicorp
8.625%, 12/1/2002 2,500 2,661
9.50%, 2/1/2002 1,000 1,072
Citicorp Capital II
8.015%, 2/15/2027 1,050 1,047
Comdisco Inc.
6.00%, 1/30/2002 2,650 2,608
6.32%, 11/27/2000 1,900 1,899
</TABLE>
37
<PAGE> 40
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------
FACE MARKET
AMOUNT VALUE*
BALANCED INDEX FUND (000) (000)
- ---------------------------------------------------------------------
<S> <C> <C>
Commercial Credit Corp.
5.90%, 9/1/2003 $ 450 $ 437
CoreStates Capital Corp.
6.625%, 3/15/2005 700 690
Countrywide Funding
7.31%, 8/28/2000 400 405
Dean Witter Discover & Co.
6.25%, 3/15/2000 2,000 2,006
Donaldson Lufkin & Jenrette, Inc.
6.00%, 12/1/2001 6,750 6,688
Equity Residential Properties
6.55%, 11/15/2001 1,350 1,341
Equitable Companies Inc.
7.00%, 4/1/2028 350 332
Finova Capital Corp.
6.25%, 11/1/2002 3,000 2,965
First Chicago Corp.
11.25%, 2/20/2001 400 431
First Union Corp.
8.125%, 6/24/2002 500 522
Fleet Capital Trust II
7.92%, 12/11/2026 500 493
Fleet Financial Group, Inc.
6.875%, 3/1/2003 400 403
7.125%, 4/15/2006 500 499
Ford Motor Credit Co.
6.375%, 2/1/2029 1,250 1,087
6.85%, 8/15/2000 4,000 4,038
8.20%, 2/15/2002 600 625
General Electric Capital Corp.
6.90%, 9/15/2015 1,000 1,003
General Motors Acceptance Corp.
6.625%, 1/10/2002 2,500 2,514
6.625%, 10/1/2002 2,850 2,867
7.00%, 3/1/2000 1,700 1,713
7.125%, 5/1/2001 2,000 2,030
9.00%, 10/15/2002 350 376
9.625%, 12/15/2001 600 644
Great Western Finance
6.375%, 7/1/2000 1,000 1,003
HRPT Properties Trust
6.75%, 12/18/2002 1,750 1,684
Household Finance Corp.
6.40%, 6/17/2008 375 355
7.625%, 1/15/2003 1,500 1,545
7.65%, 5/15/2007 350 360
International Lease Finance
6.375%, 8/1/2001 1,480 1,483
6.875%, 5/1/2001 1,145 1,158
JDN Realty Corp.
6.80%, 8/1/2004 840 800
Lehman Brothers Holdings Inc.
6.25%, 4/1/2003 2,000 1,941
6.375%, 10/23/2000 1,500 1,497
6.625%, 2/5/2006 625 596
6.90%, 1/29/2001 2,200 2,207
7.625%, 6/1/2006 550 558
Liberty Financial Co.
6.75%, 11/15/2008 2,000 1,925
Mack-Cali Realty
7.00%, 3/15/2004 2,000 1,954
Mellon Capital II
7.995%, 1/15/2027 1,250 1,258
Mellon Financial Corp.
5.75%, 11/15/2003 600 580
7.625%, 11/15/1999 350 353
Merrill Lynch & Co., Inc.
5.71%, 1/15/2002 1,600 1,577
5.87%, 11/15/2001 1,650 1,638
5.88%, 1/15/2004 1,400 1,360
6.00%, 1/15/2001 2,000 1,998
6.00%, 2/17/2009 700 645
6.07%, 10/15/2001 3,000 2,992
6.38%, 7/18/2000 500 503
6.50%, 4/1/2001 2,000 2,012
8.30%, 11/1/2002 375 396
Morgan Stanley
6.375%, 8/1/2002 1,000 999
NB Capital Trust IV
8.25%, 4/15/2027 1,000 1,023
NCNB Corp.
9.50%, 6/1/2004 275 308
National Rural Utilities
6.42%, 5/1/2008 700 683
NationsBank Corp.
5.75%, 3/15/2001 1,200 1,192
6.50%, 3/15/2006 300 291
7.00%, 9/15/2001 1,500 1,523
Orion Capital Corp.
7.25%, 7/15/2005 1,000 972
PaineWebber Group, Inc.
6.375%, 5/15/2004 1,250 1,215
7.00%, 3/1/2000 750 754
Popular Inc.
6.20%, 4/30/2001 3,000 2,972
Reckson Operating Partnership LP
7.75%, 3/15/2009 1,300 1,252
Republic New York Corp.
7.75%, 5/15/2002 500 516
7.75%, 5/15/2009 300 312
Salomon, Inc.
5.875%, 2/1/2001 700 696
6.65%, 7/15/2001 1,200 1,208
6.875%, 6/15/2005 200 199
Security Capital Pacific Trust
8.05%, 4/1/2017 350 325
Simon DeBartolo Group, Inc.
6.75%, 7/15/2004 750 725
Summit Properties Inc.
6.95%, 8/15/2004 1,800 1,722
SunTrust Banks, Inc.
7.375%, 7/1/2006 2,100 2,147
Susa Partnership
7.50%, 12/1/2027 400 350
Toyota Motor Credit
5.625%, 11/13/2003 3,750 3,650
Travelers/Aetna Property
Casualty Corp.
6.75%, 4/15/2001 2,000 2,019
7.75%, 4/15/2026 450 463
USF&G Corp.
8.375%, 6/15/2001 1,000 1,041
</TABLE>
38
<PAGE> 41
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------
FACE MARKET
AMOUNT VALUE*
(000) (000)
- ---------------------------------------------------------------------
<S> <C> <C>
US Bancorp
7.00%, 3/15/2003 $ 2,450 $ 2,481
Wells Fargo & Co.
6.875%, 4/1/2006 600 595
Wells Fargo Capital I
7.96%, 12/15/2026 600 601
---------
137,272
---------
INDUSTRIAL (4.1%)
Anadarko Petroleum Corp.
7.20%, 3/15/2029 1,500 1,405
Anheuser-Busch Cos., Inc.
7.10%, 6/15/2007 1,100 1,112
7.125%, 7/1/2017 400 392
7.375%, 7/1/2023 125 123
Applied Materials, Inc.
8.00%, 9/1/2004 125 130
Archer-Daniels-Midland Co.
8.875%, 4/15/2011 295 340
Auburn Hills
12.00%, 5/1/2020 175 268
Baker Hughes Inc.
6.875%, 1/15/2029 1,350 1,252
C.R. Bard, Inc.
6.70%, 12/1/2026 1,100 1,075
Bayer Corp.
6.65%, 2/15/2028 850 790
Black & Decker Corp.
6.625%, 11/15/2000 1,000 1,005
7.50%, 4/1/2003 1,700 1,746
The Boeing Co.
6.625%, 2/15/2038 900 805
Burlington Northern Santa Fe Corp.
6.375%, 12/15/2005 150 146
6.75%, 3/15/2029 750 685
6.875%, 2/15/2016 500 476
7.00%, 12/15/2025 100 95
7.25%, 8/1/2097 300 286
CSX Corp.
7.05%, 5/1/2002 1,000 1,007
8.10%, 9/15/2022 300 315
8.625%, 5/15/2022 1,100 1,215
CVS Corp.
5.50%, 2/15/2004 1,250 1,204
Caterpillar Co.
7.375%, 3/1/2097 750 719
Champion Enterprises Inc.
7.625%, 5/15/2009 1,000 949
Chrysler Corp.
7.45%, 2/1/2097 300 296
Comcast Cablevision
8.875%, 5/1/2017 850 955
Conoco Inc.
5.90%, 4/15/2004 3,500 3,410
Conrail Corp.
9.75%, 6/15/2020 120 146
Continental Airlines, Inc.
(Equipment Trust Certificates)
(3) 6.331%, 4/15/2003 1,395 1,387
(3) 6.41%, 4/15/2007 836 808
6.648%, 3/15/2019 821 778
Cyprus Minerals
6.625%, 10/15/2005 600 550
Dayton Hudson Corp.
6.65%, 8/1/2028 500 458
6.75%, 1/1/2028 1,000 928
Deere & Co.
8.50%, 1/9/2022 100 112
Delta Airlines, Inc.
(Equipment Trust Certificates)
(3) 8.54%, 1/2/2007 359 374
Dillard's Inc.
5.79%, 11/15/2001 2,000 1,967
The Walt Disney Co.
7.55%, 7/15/2093 850 857
Eastman Chemical Co.
6.375%, 1/15/2004 300 293
7.25%, 1/15/2024 450 423
Federated Department Stores, Inc.
7.45%, 7/15/2017 975 971
8.50%, 6/15/2003 2,000 2,130
Ford Capital BV
9.50%, 6/1/2010 100 117
Fortune Brands
7.875%, 1/15/2023 100 106
Gannett Co.
5.85%, 5/1/2000 1,000 1,001
Harrahs Operating Co., Inc.
7.50%, 1/15/2009 1,500 1,457
International Business
Machines Corp.
7.125%, 12/1/2096 1,125 1,083
International Paper Co.
6.875%, 4/15/2029 750 689
7.875%, 8/1/2006 100 104
Kroger Co.
7.65%, 4/15/2007 570 586
8.15%, 7/15/2006 500 526
Lafarge Corp
6.375%, 7/15/2005 1,750 1,705
Lockheed Martin Corp.
6.50%, 4/15/2003 1,000 985
6.85%, 5/15/2001 1,500 1,506
7.70%, 6/15/2008 1,300 1,333
Lucent Technologies, Inc.
6.50%, 1/15/2028 500 463
May Department Stores Co.
9.75%, 2/15/2021 120 147
9.875%, 12/1/2002 225 248
McDonald's Corp.
6.75%, 2/15/2003 300 301
Mobil Corp.
7.625%, 2/23/2033 175 174
Mobil Corp. ESOP
(3) 9.17%, 2/29/2000 228 233
Monsanto Co.
5.375%, 12/1/2001 2,500 2,450
5.75%, 12/1/2005 1,000 945
News America Holdings
8.50%, 2/15/2005 700 739
9.25%, 2/1/2013 1,000 1,123
</TABLE>
39
<PAGE> 42
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------
FACE MARKET
AMOUNT VALUE*
BALANCED INDEX FUND (000) (000)
- ---------------------------------------------------------------------
<S> <C> <C>
Norfolk Southern Corp.
6.875%, 5/1/2001 $ 2,250 $ 2,270
7.40%, 9/15/2006 535 544
7.70%, 5/15/2017 100 103
7.80%, 5/15/2027 300 310
7.90%, 5/15/2097 100 101
Northrop Grumman Corp.
7.00%, 3/1/2006 500 484
9.375%, 10/15/2024 650 709
Occidental Petroleum Corp.
8.50%, 11/9/2001 1,200 1,238
8.50%, 9/15/2004 500 502
J.C. Penney & Co., Inc.
6.125%, 11/15/2003 130 127
9.05%, 3/1/2001 300 312
Philip Morris Cos., Inc.
7.00%, 7/15/2005 500 499
8.25%, 10/15/2003 450 474
Phillips Petroleum Co.
9.00%, 6/1/2001 1,000 1,047
Praxair, Inc.
6.25%, 6/30/2000 1,250 1,253
6.70%, 4/15/2001 2,100 2,108
6.75%, 3/1/2003 2,250 2,242
6.90%, 11/1/2006 350 345
Raytheon Co.
5.70%, 11/1/2003 1,100 1,064
5.95%, 3/15/2001 1,500 1,493
6.45%, 8/15/2002 3,500 3,499
7.00%, 11/1/2028 300 285
Rohm & Hass
6.95%, 7/15/2004 600 599
7.40%, 7/15/2009 200 200
7.85%, 7/15/2029 1,025 1,024
Safeway Inc.
5.75%, 11/15/2000 1,850 1,839
5.875%, 11/15/2001 800 789
6.85%, 9/15/2004 1,500 1,505
Sears, Roebuck & Co.
Acceptance Corp.
6.125%, 1/15/2006 350 333
6.25%, 1/15/2004 650 631
6.50%, 6/15/2000 1,400 1,407
6.75%, 9/15/2005 400 395
Telecommunications Inc.
6.375%, 5/1/2003 2,675 2,662
7.25%, 8/1/2005 475 484
7.875%, 8/1/2013 500 529
8.25%, 1/15/2003 2,000 2,109
Tenneco, Inc.
10.075%, 2/1/2001 850 891
Texaco Capital Corp.
7.50%, 3/1/2043 150 148
8.875%, 9/1/2021 100 118
Texas Instruments Inc.
6.125%, 2/1/2006 600 580
Time Warner Inc.
8.18%, 8/15/2007 500 529
8.375%, 3/15/2023 1,500 1,632
Tosco Corp.
7.00%, 7/15/2000 3,000 3,019
Tyco International Group SA
6.875%, 1/15/2029 1,000 911
Union Carbide Corp.
6.70%, 4/1/2009 1,000 959
6.75%, 4/1/2003 1,550 1,539
7.75%, 10/1/2096 375 362
7.875%, 4/1/2023 200 203
Union Oil of California
6.375%, 2/1/2004 150 147
Union Pacific Corp.
6.625%, 2/1/2029 1,000 878
8.625%, 5/15/2022 225 238
United Technologies Corp.
8.875%, 11/15/2019 575 674
WMX Technologies Inc.
7.65%, 3/15/2011 1,850 1,888
Waste Management Inc.
6.625%, 7/15/2002 2,000 2,003
Whirlpool Corp.
9.00%, 3/1/2003 200 213
---------
104,851
---------
UTILITIES (1.8%)
AT&T Corp.
8.35%, 1/15/2025 210 219
Ameritech Capital Funding
7.50%, 4/1/2005 600 627
Arizona Public Service Co.
7.25%, 8/1/2023 400 381
Baltimore Gas & Electric Co.
8.375%, 8/15/2001 800 834
CMS Panhandle Holding Co.
6.125%, 3/15/2004 300 292
6.50%, 7/15/2009 800 755
7.00%, 7/15/2029 475 434
Carolina Power & Light Co.
6.875%, 8/15/2023 275 259
Cinergy Corp.
6.125%, 4/15/2004 6,000 5,821
Coastal Corp.
7.42%, 2/15/2037 325 316
7.75%, 10/15/2035 750 751
Commonwealth Edison
7.375%, 9/15/2002 1,000 1,026
7.50%, 7/1/2013 250 262
Consolidated Edison Co.
of New York, Inc.
6.625%, 2/1/2002 1,000 1,007
El Paso Energy Corp.
6.75%, 5/15/2009 3,000 2,872
Enron Corp.
6.40%, 7/15/2006 1,500 1,438
6.875%, 10/15/2007 1,000 985
7.125%, 5/15/2007 300 298
9.125%, 4/1/2003 700 751
9.65%, 5/15/2001 400 422
GTE South Inc.
6.125%, 6/15/2007 1,500 1,433
Houston Lighting & Power Co.
8.75%, 3/1/2022 150 159
Illinois Power Co.
7.50%, 7/15/2025 500 473
</TABLE>
40
<PAGE> 43
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------
FACE MARKET
AMOUNT VALUE*
(000) (000)
- ---------------------------------------------------------------------
<S> <C> <C>
KN Energy, Inc.
6.45%, 3/1/2003 $ 750 $ 733
MCI Communications Corp.
6.50%, 4/15/2010 850 815
7.50%, 8/20/2004 450 463
7.75%, 3/23/2025 350 343
Michigan Bell Telephone Co.
7.50%, 2/15/2023 175 170
Midamerican Funding LLC
5.85%, 3/1/2001 2,700 2,680
National Rural Utility Co.
6.20%, 2/1/2008 1,500 1,442
New England Telephone &
Telegraph Co.
6.875%, 10/1/2023 200 185
7.875%, 11/15/2029 750 801
9.00%, 8/1/2031 1,000 1,099
New York Telephone Co.
6.125%, 1/15/2010 1,500 1,417
Pacific Bell Telephone Co.
7.25%, 7/1/2002 275 282
Southern California Edison
5.625%, 10/1/2002 1,500 1,473
Southwestern Bell Telephone Co.
7.25%, 7/15/2025 400 385
7.625%, 3/1/2023 725 720
Sprint Capital Corp.
6.875%, 11/15/2028 1,700 1,551
Texas Utilities Co.
7.875%, 3/1/2023 225 226
8.125%, 2/1/2002 400 416
Union Electric Power Co.
7.65%, 7/15/2003 250 260
US West Capital Funding, Inc.
6.125%, 7/15/2002 1,000 986
US West Communications Inc.
7.25%, 9/15/2025 1,000 967
Virginia Electric & Power Co.
6.625%, 4/1/2003 1,250 1,254
6.75%, 10/1/2023 500 460
Worldcom Inc.
6.125%, 8/15/2001 3,500 3,482
--------
44,425
--------
- ---------------------------------------------------------------------
TOTAL CORPORATE BONDS
(Cost $335,248) 329,341
- ---------------------------------------------------------------------
FOREIGN AND INTERNATIONAL AGENCY BONDS
(U.S. DOLLAR-DENOMINATED)(1.9%)
- ---------------------------------------------------------------------
Ahold Finance USA Inc.
6.875%, 5/1/2029 1,200 1,119
Asian Development Bank
9.125%, 6/1/2000 500 515
Bank of Nova Scotia
6.875%, 5/1/2003 250 252
Bayerische Landesbank
5.875%, 4/7/2000 1,900 1,903
Province of British Columbia
7.00%, 1/15/2003 630 643
Canadian Imperial Bank
of Commerce (NY Branch)
6.20%, 8/1/2000 4,400 4,420
Canadian National Railway Co.
6.80%, 7/15/2018 1,075 1,011
6.90%, 7/15/2028 400 372
Republic of Chile
6.875%, 4/28/2009 1,300 1,222
Embotelladora Andina SA
7.875%, 10/1/2097 650 488
Republic of Finland
7.875%, 7/28/2004 850 909
Grand Metropolitan Investment Corp.
8.625%, 8/15/2001 1,000 1,045
9.00%, 8/15/2011 1,000 1,165
Hanson Overseas
7.375%, 1/15/2003 1,850 1,894
Inter-American Development Bank
8.50%, 3/15/2011 175 204
Israel Electric Corp.
7.75%, 3/1/2009 1,300 1,290
KFW International Finance, Inc.
7.20%, 3/15/2014 300 314
7.625%, 2/15/2004 400 420
Korean Development Bank
7.125%, 4/22/2004 3,700 3,620
Korea Electric Power
7.00%, 2/1/2007 650 598
7.75%, 4/1/2013 1,400 1,304
Province of Manitoba
6.875%, 9/15/2002 2,500 2,542
7.75%, 2/1/2002 825 853
8.75%, 5/15/2001 300 314
9.50%, 10/1/2000 160 167
9.625%, 12/1/2018 400 512
National Westminster Bancorp Inc.
9.375%, 11/15/2003 500 553
Province of New Brunswick
8.75%, 5/1/2022 400 482
9.75%, 5/15/2020 500 650
New Zealand Government
8.75%, 12/15/2006 200 224
Province of Newfoundland
7.32%, 10/13/2023 600 599
10.00%, 12/1/2020 250 321
Noranda, Inc.
7.50%, 7/15/2003 500 502
8.625%, 7/15/2002 550 566
Northern Telecom Ltd.
6.875%, 9/1/2023 500 485
Province of Ontario
7.375%, 1/27/2003 175 181
7.75%, 6/4/2002 275 287
Pemex Finance Ltd.
(3) 6.125%, 11/15/2003 1,300 1,292
Petro Geo-Services
6.25%, 11/19/2003 500 485
7.125%, 3/30/2028 1,075 971
7.50%, 3/31/2007 250 250
Pohang Iron & Steel Co. Ltd.
7.125%, 7/15/2004 1,300 1,238
Republic of Portugal
5.75%, 10/8/2003 1,000 982
The State of Qatar
9.50%, 5/21/2009 1,500 1,518
</TABLE>
41
<PAGE> 44
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------
FACE MARKET
AMOUNT VALUE*
(000) (000)
- ---------------------------------------------------------------------
<S> <C> <C>
Province of Quebec
7.125%, 2/9/2024 $ 400 $ 392
Province of Saskatchewan
6.625%, 7/15/2003 2,250 2,264
8.00%, 7/15/2004 1,600 1,704
Swiss Bank Corp.
7.00%, 10/15/2015 500 474
7.375%, 7/15/2015 250 245
TPSA Finance BV
7.75%, 12/10/2008 360 349
Telecomunicaciones de Puerto Rico
6.15%, 5/15/2002 500 493
6.65%, 5/15/2006 1,000 959
6.80%, 5/15/2009 400 384
- ---------------------------------------------------------------------
TOTAL FOREIGN AND INTERNATIONAL AGENCY BONDS
(Cost $48,558) 47,946
- ---------------------------------------------------------------------
TEMPORARY CASH INVESTMENTS (2.6%)(1)
- ---------------------------------------------------------------------
U.S. TREASURY BILL
(2) 4.64%, 7/1/1999 296 296
FEDERAL HOME LOAN
MORTGAGE CORP. 1,993 1,992
(2) 4.71%, 7/28/1999
REPURCHASE AGREEMENTS
Collateralized by U.S. Government
Obligations in a Pooled
Cash Account
4.87%, 7/1/1999 50,198 50,198
4.96%, 7/1/1999--Note F 14,117 14,117
- ---------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(COST $66,604) 66,603
- ---------------------------------------------------------------------
TOTAL INVESTMENTS (100.6%)
(COST $1,964,373) 2,550,812
- ---------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-0.6%)
- ---------------------------------------------------------------------
Other Assets--Note B 82,626
Liabilities--Note F (97,770)
- ---------------------------------------------------------------------
(15,144)
- ---------------------------------------------------------------------
NET ASSETS (100%)
- ---------------------------------------------------------------------
Applicable to 131,156,013 outstanding
$.001 par value shares of beneficial
interest (unlimited authorization) $2,535,668
=====================================================================
NET ASSET VALUE PER SHARE $19.33
=====================================================================
</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 60.6% and 1.0%, respectively, of net assets. See Note E in Notes to
Financial Statements.
(2)Securities with an aggregate value of $2,288,000 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.
ADR--American Depositary Receipt.
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------
AMOUNT PER
(000) SHARE
- ---------------------------------------------------------------------
<S> <C> <C>
AT JUNE 30, 1999, NET ASSETS CONSISTED OF:
Paid in Capital $1,937,441 $14.77
Undistributed Net
Investment Income 2,879 .02
Accumulated Net
Realized Gains 7,359 .06
Unrealized Appreciation--
Note E
Investment Securities 586,439 4.47
Futures Contracts 1,550 .01
- ---------------------------------------------------------------------
NET ASSETS $2,535,668 $19.33
- ---------------------------------------------------------------------
</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
SIX MONTHS ENDED JUNE 30, 1999
(000)
- ---------------------------------------------------------------------
<S> <C>
INVESTMENT INCOME
INCOME
Dividends $ 8,029
Interest 28,855
Security Lending 217
-----------
Total Income 37,101
-----------
EXPENSES
The Vanguard Group--Note B
Investment Advisory Services 102
Management and Administrative 1,785
Marketing and Distribution 204
Custodian Fees 62
Auditing Fees 4
Shareholders' Reports 58
Trustees' Fees and Expenses 2
-----------
Total Expenses 2,217
Expenses Paid Indirectly--Note C (4)
-----------
Net Expenses 2,213
- ---------------------------------------------------------------------
NET INVESTMENT INCOME 34,888
- ---------------------------------------------------------------------
REALIZED NET GAIN
Investment Securities Sold 6,908
Futures Contracts 3,681
- ---------------------------------------------------------------------
REALIZED NET GAIN 10,589
- ---------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Investment Securities 96,431
Futures Contracts (1,122)
- ---------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) 95,309
- ---------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $140,786
=====================================================================
</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
-------------------------------
SIX MONTHS YEAR
ENDED ENDED
JUN. 30, 1999 DEC. 31, 1998
(000) (000)
- ---------------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net Investment Income $ 34,888 $ 52,151
Realized Net Gain 10,589 16,665
Change in Unrealized Appreciation (Depreciation) 95,309 198,236
-------------------------------
Net Increase in Net Assets Resulting from Operations 140,786 267,052
-------------------------------
DISTRIBUTIONS
Net Investment Income (31,062) (52,344)
Realized Capital Gain (8,676) (13,902)
-------------------------------
Total Distributions (39,738) (66,246)
-------------------------------
CAPITAL SHARE TRANSACTIONS(1)
Issued 631,171 744,346
Issued in Lieu of Cash Distributions 37,414 62,334
Redeemed (237,550) (264,287)
-------------------------------
Net Increase from Capital Share Transactions 431,035 542,393
- ---------------------------------------------------------------------------------------------
Total Increase 532,083 743,199
- ---------------------------------------------------------------------------------------------
NET ASSETS
Beginning of Period 2,003,585 1,260,386
-------------------------------
End of Period $2,535,668 $2,003,585
=============================================================================================
(1)Shares Issued (Redeemed)
Issued 33,372 42,682
Issued in Lieu of Cash Distributions 2,001 3,511
Redeemed (12,614) (15,153)
-------------------------------
Net Increase in Shares Outstanding 22,759 31,040
=============================================================================================
</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 SIX MONTHS ENDED ---------------------------------------------------------
THROUGHOUT EACH PERIOD JUNE 30, 1999 1998 1997 1996 1995 1994
- --------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $18.48 $16.29 $13.92 $12.77 $10.34 $10.91
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT OPERATIONS
Net Investment Income .280 .54 .520 .50 .45 .41
Net Realized and Unrealized Gain
(Loss) on Investments .895 2.33 2.525 1.26 2.48 (.58)
---------------------------------------------------------------------
Total from Investment Operations 1.175 2.87 3.045 1.76 2.93 (.17)
---------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.250) (.54) (.530) (.49) (.45) (.40)
Distributions from Realized Capital Gains (.075) (.14) (.145) (.12) (.05) --
---------------------------------------------------------------------
Total Distributions (.325) (.68) (.675) (.61) (.50) (.40)
- --------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $19.33 $18.48 $16.29 $13.92 $12.77 $10.34
====================================================================================================================
TOTAL RETURN* 6.43% 17.85% 22.24% 13.95% 28.64% -1.56%
====================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $2,536 $2,004 $1,260 $826 $590 $403
Ratio of Total Expenses to
Average Net Assets 0.20%** 0.21% 0.20% 0.20% 0.20% 0.20%
Ratio of Net Investment Income to
Average Net Assets 3.12%** 3.29% 3.56% 3.69% 3.85% 3.86%
Portfolio Turnover Rate 32%** 25% 18% 37%+ 16% 16%
====================================================================================================================
</TABLE>
*Total return figures do not reflect the annual account maintenance fee of
$10.
**Annualized.
+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 June 30, 1999,
the fund had contributed capital of $371,000 to Vanguard (included in Other
Assets), representing 0.01% 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
six months ended June 30, 1999, custodian fee offset arrangements reduced
expenses by $4,000.
D. During the six months ended June 30, 1999, the fund purchased $344,056,000
of investment securities and sold $85,631,000 of investment securities other
than U.S. government securities and temporary cash investments. Purchases and
sales of U.S. government securities were $471,716,000 and $266,294,000,
respectively.
E. At June 30, 1999, net unrealized appreciation of investment securities for
financial reporting and federal income tax purposes was $586,439,000,
consisting of unrealized gains of $644,930,000 on securities that had risen in
value since their purchase and $58,491,000 in unrealized losses on securities
that had fallen in value since their purchase.
At June 30, 1999, the aggregate settlement value of open futures contracts
expiring in September 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 108 $37,306 $1,389
Russell 2000 Index 13 3,003 161
----------------------------------------------------------------------
</TABLE>
F. The market value of securities on loan to broker/dealers at June 30, 1999,
was $14,922,000, for which the fund held cash collateral of $14,117,000 and
U.S. Treasury securities with a market value of $2,000,000. Cash collateral
received is invested in repurchase agreements. Security loans are required to
be secured at all times by collateral at least equal to the market value of
securities loaned; however, in the event of default or bankruptcy by the other
party to the agreement, retention of the collateral may be subject to legal
proceedings.
47
<PAGE> 50
NOTICE TO SHAREHOLDERS ABOUT Y2K
As is well known by now, the approaching calendar change to 2000 has posed a
challenge to many computer systems worldwide. Computers that are not modified
could interpret "00" as 1900 rather than 2000 and produce errors in
date-dependent calculations, including bond interest payments, stock trade
settlements, retirement benefits, and other financial transactions.
OUR APPROACH
Vanguard has taken this challenge seriously. We have had a Year 2000 Project
under way since 1996 to fulfill our responsibility to safeguard our business
relationships and the security of our investors' accounts.
Our internal systems are Year 2000-compliant. They have been renovated and
thoroughly tested and are ready for the date change. As for the external
systems that connect with ours, we have been working for many months with
clients, business partners, and providers of products and services to assess
their compliance. We have analyzed the external services we require and have
developed contingency plans--including provision for alternative providers
where appropriate.
On New Year's Day, our telephone centers will be staffed and ready for
shareholder calls. However, we expect the volume of inquiries over the New
Year's weekend to be high, and we encourage shareholders to check their
accounts via our website or automated telephone systems, which offer much
greater service capacity and efficiency. This will also help our live
representatives to provide a higher level of service to those with specific
transaction or other service-related needs.
WHAT YOU CAN DO
We assure you we will protect our shareholders' records, so account records
will not be lost. Nevertheless, keeping copies of current records is always
advisable. You should keep at least your third-quarter statement and any
confirmations you receive from us between October 1, 1999, and year-end.
If you are a registered user of Access Vanguard(TM) (www.vanguard.com), you
can retrieve this information through the secure "Your Accounts" section and
print copies for your files. If you are not registered for Access Vanguard and
wish to have this flexibility, you should register as soon as possible so that
you can receive your password and become familiar with this service before the
New Year's weekend. Likewise, you may need personal identification numbers to
use our automated telephone services: Vanguard Tele-Account(R) for individual
investors (1-800-662-6273) and The VOICE(TM) Network for participants in
employer-sponsored retirement plans (1-800-523-1188).
Our Year 2000 Project's primary goal from the start has been to prepare our
systems for business as usual on behalf of our shareholders into 2000 and
beyond. We remain confident we will meet that goal, and we look forward to
serving you in the years to come.
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.
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.
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."
[GRAPHIC]
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.
[GRAPHIC]
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 19482-2600
WORLD WIDE WEB
www.vanguard.com
FUND INFORMATION
1-800-662-7447
INDIVIDUAL ACCOUNT SERVICES
1-800-662-2739
INSTITUTIONAL INVESTOR SERVICES
1-800-523-1036
This report is intended for the fund's shareholders. It may not be distributed
to prospective investors unless it is preceded or accompanied by the current
fund prospectus.
Q022-08/20/1999
(C) 1999 The Vanguard Group, Inc.
All rights reserved.
Vanguard Marketing Corporation,
Distributor.
