SELECT ASSET FUND, SERIES 1, INC.
Statement of Assets and Liabilities
June 30, 1997
(Unaudited)
Assets
Investments, at value (@ cost $616,827,767) $ 1,096,031,339
Dividends receivable 1,226,633
Interest receivable 9,092
Prepaid expenses 53,187
Total Assets 1,097,320,251
Liabilities
AMPS Dividend Payable 1,435,578
Accrued expenses 283,324
Notes payable 94,900
Accrued interest expense 2,096
Total Liabilities 1,815,898
Net Assets $ 1,095,504,353
Net assets are represented by:
Series A Auction Market Preferred Stock, $.01 par value
at liquidation preference $100,000 per share, 1,000 shares
authorized, issued and outstanding 100,000,000
Series B Auction Market Preferred Stock, $.01 par value
at liquidation preference $100,000 per share, 1,000 shares
authorized, issued and outstanding 100,000,000
Series C Auction Market Preferred Stock, $.01 par value
at liquidation preference $100,000 per share, 1,000 shares
authorized, issued and outstanding 100,000,000
Series D Auction Market Preferred Stock, $.01 par value
at liquidation preference $100,000 per share, 1,000 shares
authorized, issued and outstanding 100,000,000
Common stock at par value, $.01 per share, 199,996,000 shares
authorized, 50,169,191.77 shares issued and outstanding 501,692
Additional paid-in capital 214,405,551
Undistributed Net Gains 1,393,537
Net unrealized appreciation of investments 479,203,573
Net Assets $ 1,095,504,353
Net asset value per common shares outstanding $ 13.86
See accompanying notes to the financial statements.
SELECT ASSET FUND, SERIES 1, INC.
Statement of Operations
For the period from January 1, 1997 to June 30, 1997
(Unaudited)
Investment income:
Dividend income $ 9,229,622
Interest income 36,388
Total investment income 9,266,010
Expenses:
Broker dealer fee 475,720
Legal fees 19,537
Rating agencies fees 38,557
Independent auditors 23,488
Auction agent fee 8,410
Administration fees 291,668
Directors fees and expenses 5,393
Interest expense 3,626
Insurance 8,163
Investment management fee 48,198
Other expenses 100
Total expenses 922,860
Net investment income 8,343,150
Net realized and unrealized gains on investments:
Net realized gain on investments:
Proceeds from sales $ 4,271,477
Cost of securities sold (3,247,783)
1,023,694
Unrealized appreciation of investments:
Beginning of period 315,295,609
End of period 479,203,573
Increase in net unrealized appreciation of investments 163,907,964
Net increase in net assets resulting
from operations $ 173,274,808
See accompanying notes to the financial statements.
SELECT ASSET FUND, SERIES 1, INC.
Statement of Changes in Net Assets
For the period from January 1, 1997 to June 30, 1997
and for the year ended December 31, 1996
(Unaudited)
For the six
months ended For the
June 30, 1997 year ended
(Unaudited) December 31, 1996
From operations:
Net investment income $ 8,343,150 15,211,322
Net realized gain on investments 1,023,694 3,603,734
Net change in unrealized appreciation
on investments 163,907,964 131,738,652
Increase in net assets resulting
from operations 173,274,808 150,553,708
Dividends to stockholders from net
investment income:
Auction market preferred stock (8,343,150) (10,153,880)
Common stock 0 (5,057,442)
(8,343,150) (15,211,322)
Dividends to stockholders from net realized gains:
Auction market preferred stock (1,435,180) 0
Common stock 0 (1,798,713)
(1,435,180) (1,798,713)
Decrease in net assets resulting from
dividends to stockholders (9,778,330) (17,010,035)
Increase (decrease) from capital share transactions:
Issuance of auction market preferred stock 100,000,000 300,000,000
Issuance of common stock 15,000,000 0
Additional paid in capital from
common stockholder 6,000,071 0
Return of additional paid in capital to
common stockholder 0 (265,875,952)
121,000,071 34,124,048
Total increase in net assets 284,496,549 167,667,721
Net assets:
Beginning of period 811,007,803 643,340,082
End of period $ 1,095,504,352 811,007,803
See accompanying notes to the financial statements.
SELECT ASSET FUND, SERIES 1, INC.
Financial Highlights
For the period from January 1, 1997 to June 30, 1997, the
years ended December 31, 1996, 1995, 1994 and for the period
March 4, 1993 (commencement of operations) through December 31, 1993
For the six
months ended
June 30, 1997
(Unaudited) 1996 1995 1994 1993 (1)
For a share of common stock outstanding
throughout the period:
Net asset value, beginning of
period 10.46 13.16 10.07 10.66 10.00
Net investment income 0.17 0.31 0.45 0.49 0.37
Net realized and unrealized gains
(losses) on investments 3.30 2.77 5.58 (0.36) 0.50
Total from investment operations 3.47 3.08 6.03 0.13 0.87
Additional paid in capital 0.12 0.00 0.00 0.00 0.00
Less distributions from net investment income
and net realized gains:
Common share equivalent of dividends
paid to AMPS holders (0.19) (0.21) (0.37) (0.30) (0.17)
Dividends paid to common
shareholders 0.00 (0.13) (0.51) (0.43) (0.04)
Less distributions from net paid-in capital:
Return of capital paid to common
shareholders 0.00 (5.44) (2.06) 0.00 0.00
Total distributions (0.19) (5.78) (2.94) (0.72) (0.21)
Net asset value, end of period $ 13.86 10.46 13.16 10.07 10.66
Total investment return 21.37% 23.40% 59.88% 1.22% 6.99%(2)
Net assets at end of
period (000s) 1,095,504 811,008 643,340 556,056 574,071
Ratio of expenses to average net assets
applicable to common stock 0.09% 0.21% 0.16% 0.15% 0.34%(3)
Ratio of net investment income to average net
assets applicable to common -0.14% 0.70% 0.41% 1.08% 2.67%(3)
Portfolio turnover 0.42% 3.34% 16.36% 9.83% 1.00%
Average commissions paid on equity
securities transactions (5)$0.0040 0.0050 0.00 0.00 0.00
(1)For the period March 4, 1993 (commencement of operations) to December 31,
1993.
(2)Total investment return for the period; not annualized.
(3)Annualized.
(4)Net investment income is adjusted for distributions paid to auction market
preferred stock (AMPS") holders.
(5)For fiscal years beginning on or after September 1, 1995, a fund is
required to disclose its average commission rate per share for trades on
which commissions are charged.
See accompanying notes to financial statments.
SELECT ASSET FUND, SERIES 1, INC.
Notes to the Financial Statements
June 30, 1997
(Unaudited)
(1) Organization and Significant Accounting Policies
The Select Asset Fund, Series 1, Inc. (the "Fund") is registered as a
diversified, closed-end management investment company under the
Investment Company Act of 1940, as amended. The Fund commenced
investment operations on March 4, 1993.
The Fund's objective is long-term capital appreciation with income as a
secondary objective. The Fund's investments consist primarily of
common stocks of large and medium capitalization U.S. companies.
The Fund's investment portfolio must conform to certain rating agency
asset coverage tests so long as the Fund has preferred stock
outstanding.
The following is a summary of significant accounting policies consistently
followed by the Fund in preparation of its financial statements.
(a) Security Valuation
Investments in securities traded on a national securities exchange
(or reported on the Nasdaq national market) are valued at the last
reported sales price on the primary exchange. Temporary
investments are valued at amortized cost which approximates fair
value.
(b) Security Transactions
Security transactions are accounted for on a trade date basis. The
cost of securities sold is determined using the identified cost
method. Dividend income is recorded on ex-dividend date and
interest income is recorded on the accrual basis.
(c) Federal Income Taxes
It is the Fund's policy to comply with the requirements of the Internal
Revenue Code applicable to regulated investment companies and
distribute its taxable income to shareholders. Therefore, no
provision for Federal income tax is required.
(d) Distribution of Income and Gains
The Fund distributes substantially all of its taxable income in excess
of the dividends paid to the preferred stockholders to the common
stockholder. Dividends to the common stockholder are declared and
paid at least annually. Net capital gains, if any, are generally
distributed annually.
The character of income and gains to be distributed are determined
in accordance with income tax regulations which may differ from
generally accepted accounting principles. At December 31, 1996
reclassifications were made to the Fund's capital accounts to reflect
permanent book/tax differences and income and gains available for
distributions under income tax regulations. Net investment income,
net realized gains and net assets were not affected by this change.
2
SELECT ASSET FUND, SERIES 1, INC.
Notes to Financial Statements, Continued
(Unaudited)
(1), Continued
(e) Reclassification Policy
It is the Fund's policy to reclassify certain amounts to conform to the
current year's presentation when necessary.
(f) Use of Estimates
Estimates and assumptions are required to be made regarding
assets, liabilities and changes in net assets resulting from operations
when financial statements are prepared. Changes in the economic
environment, financial markets and any other parameters used in
determining these estimates could cause actual results to differ from
these amounts.
(2) Related Party Transactions
A collective trust fund for employee benefit plans is the sole common
stockholder of the Fund. Certain officers and directors of the Fund are
affiliated with the common stockholder. No fees or expenses were paid
to the affiliated officers and directors.
During the six months ended June 30, 1997, the Fund issued
1,295,889.3 shares of common stock with a fair value of $15,000,000
and the common stockholder contributed approximately $6,000,000 as
additional paid in capital.
During the six months ended June 30, 1997 and the year ended
December 31, 1996, dividends to the common stockholder amounted to
$0 and $6,856,155, respectively.
During the six months ended June 30, 1997 and the year ended
December 31, 1996, return of capital distributions to the common
stockholder amounted to $0 and approximately $276,000,000 (of which
approximately $266,000,000 was considered taxable for IRS purposes),
respectively.
Comerica Bank serves as both custodian and administrator for the Fund.
The Custodian Contract and the Administration Agreement were
amended changing their respective fee schedules effective January 1,
1996. Separate custodian and administration fees were replaced with a
single administration fee of six basis points based upon average net
assets during the year. An affiliate of Comerica Bank serves as
investment advisor to the Fund. The annual investment management
fee is 0.01% of average equity investments. The administration and
management fees are calculated and accrued on a monthly basis.
(3) Investment Transactions
The aggregate cost of securities purchased and the aggregate proceeds
of securities sold excluding short-term securities, for the six months
ended June 30, 1997 were $3,247,783 and $4,271,477, respectively.
3
SELECT ASSET FUND, SERIES 1, INC.
Notes to Financial Statements, Continued
(Unaudited)
(3), Continued
As of June 30, 1997, the aggregate gross unrealized appreciation and
depreciation of investments for Federal income tax purposes, were
$488,882,417 and $9,678,844, respectively.
(4) Auction Market Preferred Stock
In January 1996, the Fund issued $300 million of Auction Market
Preferred Stock ("AMPS").
In February 1997, the Fund issued an additional $100 million of Auction
Market Preferred Stock ("AMPS") and issued 1,295,889.3 shares of
common stock.
The Fund has outstanding at June 30, 1997, 1000 shares each of Series
A, Series B, Series C and Series D AMPS at a liquidation value of
$100,000 per share. Dividends are cumulative from the date of original
issue and are paid every 49 days at a rate set through a Dutch Auction.
The AMPS rates in effect on June 30, 1997 were 4.25%, 4.3%, 4.38%
and 4.2% for Series A, Series B, Series C and Series D, respectively.
Each series of AMPS is redeemable at the option of the Fund in whole,
but not in part, at a price of $100,000 per share plus accumulated and
unpaid dividends. The Fund is subject to certain asset coverage tests,
and the AMPS are subject to mandatory redemption if the tests are not
met.
In addition, the AMPS are subject to mandatory redemption if the Fund
ceases to qualify as a regulated investment company or if Merrill Lynch,
Pierce, Fenner & Smith Incorporated ceases to be the broker dealer.
The liquidation value under mandatory redemption of the AMPS is
$100,000 per share plus accumulated and unpaid dividends.
(5) Notes Payable
As of June 30, 1997, the Fund had $94,900 of principal notes
outstanding to investors. The notes due on March 4, 2018, bear interest
at a floating rate. The interest rate, which resets annually, is set at
the one-year U.S. Treasury bill rate plus 2.50%. As of June 30, 1997, the
Fund was paying interest at 8.2% per annum.
SELECT ASSET FUND, SERIES 1, INC.
Portfolio of Investments
June 30, 1997
(Unaudited)
No. of
Shares Market Value
COMMON STOCK
BUILDING AND CONSTRUCTION 1.66%
BUILDING MATERIALS
24,500 CHAMPION INTL CORP 1,353,625.00
8,900 GEORGIA PACIFIC CORP 759,837.50
70,400 HOME DEPOT 4,853,200.00
37,300 LOUISIANA PAC CORP 787,962.50
53,900 MASCO CORP 2,250,325.00
4,400 OWENS CORNING 189,750.00
CONSTRUCTION EQUIPMENT
2,800 GIDDINGS & LEWIS 58,450.00
PAINT AND FLAT GLASS
53,400 PPG INDUS INC 3,103,875.00
16,200 SHERWIN WILLIAMS CO 500,175.00
INDUSTRIAL CHEMICALS
23,600 GREAT LAKES CHEM CRP 1,236,050.00
18,400 ROHM & HAAS CO 1,657,150.00
MISCELLANEOUS
21,200 FLUOR CORP 1,169,975.00
4,000 FOSTER WHEELER CORP 162,000.00
3,600 KAUFMAN & BROAD HOME CORP 63,225.00
TOTAL BUILDING AND CONSTRUCTION $18,145,600.00
CHEMICALS AND DRUGS 11.93%
CHEMICALS
31,100 AIR PRODS & CHEMS INC 2,526,875.00
66,700 AMGEN INC 3,876,937.50
24,700 BOSTON SCIENTIFIC CORP 1,517,506.25
14,400 DOW CHEMICAL CO 1,254,600.00
98,800 DUPONT DENEMOURS & CO 6,212,050.00
21,350 EASTMAN CHEMICAL CO 1,355,725.00
14,700 ENGLEHARD CORP 307,781.25
3,500 FMC CORP-NEW 278,031.25
11,000 GRACE W. R. & CO. (NEW) 606,375.00
5,000 HERCULES INC 239,375.00
151,000 MONSANTO CO 6,502,437.50
12,300 MORTON INTERNATIONAL INC 371,306.25
6,700 NALCO CHEM CO 258,787.50
17,100 PRAXIAIR INC 957,600.00
10,300 SIGMA-ALDRICH CORP 361,143.75
10,700 UNION CARBIDE CORP 503,568.75
DRUGS
197,200 ABBOT LABS 13,163,100.00
25,100 ALZA CORP CL A 726,331.25
55,900 AMERICAN HOME PRODUCTS 4,276,350.00
83,400 BRISTOL MYERS SQUIBB CO 6,755,400.00
319,000 JOHNSON & JOHNSON 20,535,625.00
48,200 LILLY ELI & CO 5,268,862.50
123,300 MERCK & CO., INC 12,761,550.00
56,500 PFIZER INC 6,751,750.00
74,370 PHARMACIA & UPJOHN INC 2,584,357.50
202,400 SCHERING PLOUGH 9,689,900.00
68,300 WALGREEN CO 3,662,587.50
COSMETICS
13,800 ALBERTO CULVER CO CL B 386,400.00
10,800 AVON PRODUCTS INC 762,075.00
30,400 INTL FLAVORS & FRAGRANCES 1,535,200.00
HEALTH PRODUCTS/CARE
19,500 ALLERGAN INC 620,343.75
6,000 BARD CR INC 217,875.00
14,500 BAUSCH & LOMB 683,312.50
24,700 BAXTER INTL INC. 1,290,575.00
10,800 BECTON DICKINSON & CO 546,750.00
22,900 BEVERLY ENTERPRISES INC 372,125.00
119,150 COLUMBIA/HCA HEALTHCARE 4,684,084.38
15,000 GUIDANT CORP 1,275,000.00
57,700 TENET HEALTHCARE CORP 1,705,756.25
6,000 U S SURGICAL 223,500.00
61,100 UTD HEALTHCARE CORP 3,177,200.00
TOTAL CHEMICALS AND DRUGS $130,786,110.63
CONSUMER PRODUCTS 18.52%
CONFECTIONS AND BEVERAGES
40,000 ANHEUSER-BUSCH COS 1,677,500.00
7,300 BROWN FORMAN INC CL B 356,331.25
673,500 COCA COLA CO 46,976,625.00
46,000 NEWELL CO. 1,822,750.00
403,600 PEPSICO INC 15,160,225.00
CONTAINERS
8,600 AVERY DENNISON CORP 345,075.00
3,300 BALL CORP 99,206.25
21,800 CROWN CORK & SEAL INC 1,164,937.50
14,700 STONE CONTAINER 210,393.75
5,300 TEMPLE INLAND INC 286,200.00
PACKAGED FOOD
150,585 ARCHER DANIELS MIDLAND CO 3,538,747.50
123,800 CAMPBELL SOUP CO 6,190,000.00
67,700 CONAGRA 4,341,262.50
3,500 COORS ADOLPH CO CL B 93,187.50
13,900 CPC INTL INC 1,283,143.75
42,600 GENERAL MILLS INC 2,774,325.00
93,000 HEINZ H J CO 4,289,625.00
14,600 HERSHEY FOODS CORP 807,562.50
53,800 KELLOGG CO 4,606,625.00
28,800 PIONEER HI BRED INTL INC 2,304,000.00
33,200 QUAKER OATS CO 1,489,850.00
10,800 RALSTON-PURINA GROUP 887,625.00
85,700 SARA LEE CORP 3,567,262.50
16,300 SYSCO CORP 594,950.00
600 UNILEVER NV NEW YORK 128,437.50
32,100 WRIGLEY WM JR CO 2,150,700.00
PAPER
7,700 AMERICAN GREETINGS CL A 285,862.50
4,900 BEMIS CO 212,537.50
8,000 BOISE CASCADE CORP 282,500.00
35,942 INTERNATIONAL PAPER CO 1,745,433.38
8,000 JAMES RIVER CORP 296,000.00
49,120 KIMBERLY CLARK CORP 2,443,720.00
16,000 MEAD CORP 996,000.00
2,500 POTLATCH CORP 113,125.00
6,400 UNION CAMP CORP 320,000.00
66,900 WEYERHAEUSER CO 3,478,800.00
1,700 WILLIAMETTE INDUSTRIAL 119,000.00
PRINTING AND PUBLISHING
3,400 JOSTENS INC 89,675.00
29,700 KNIGHT-RIDDER INC 1,457,156.25
26,100 MCGRAW-HILL COMPANIES INC 1,535,006.25
15,800 MEREDITH CORP 458,200.00
28,400 NEW YORK TIMES CO CL A 1,434,200.00
88,100 TIME WARNER INC 4,250,825.00
34,000 TIMES MIRROR CO CL A NEW 1,931,625.00
33,600 TRIBUNE CO 1,614,900.00
9,950 WESTVACO CORP 312,803.13
RECREATIONAL EQUIPMENT
10,100 BRUNSWICK CORP 315,625.00
9,550 HARRAH'S ENTERTAINMENT 174,287.50
9,750 HASBRO INC 276,656.25
43,656 MATTEL INC 1,478,847.00
SOAPS
4,400 CLOROX CO 580,800.00
OTHER CONSUMER PRODUCTS
74,000 COLGATE PALMOLIVE CO 4,828,500.00
10,000 FORTUNE BRANDS INC 373,125.00
84,000 GILLETTE CO 7,959,000.00
178,400 PROCTER & GAMBLE CO 25,199,000.00
10,900 RUBBERMAID INC 324,275.00
3,000 SPRINGS INDUS INC 158,250.00
15,600 TUPPERWARE CORPORATION 569,400.00
14,800 UST INC 410,700.00
9,500 WHITMAN CORP 240,468.75
PHOTOGRAPHY
85,100 EASTMAN KODAK CO 6,531,425.00
4,400 POLAROID CORP 244,200.00
HOUSEHOLD FURN/APPLIANCES
5,700 ARMSTRONG WORLD IND 418,237.50
8,600 MAYTAG CO 224,675.00
RETAIL
5,800 FEDERATED DEPT STORES NEW 201,550.00
56,200 TJX COS INC (NEW) 1,482,275.00
APPAREL
1,800 FRUIT OF THE LOOM CL A 55,800.00
90,743 LIMITED INC 1,837,545.75
26,600 LIZ CLAIBORNE INC 1,240,225.00
76,700 NIKE INC CL B 4,477,362.50
4,500 STRIDE RITE CORP 57,937.50
6,500 V F CORP 553,312.50
BROADCASTING
148,324 DISNEY WALT CO 11,903,001.00
3,200 KING WORLD INC 112,000.00
MISCELLANEOUS
9,900 PALL CORP 230,175.00
TOTAL CONSUMER PRODUCTS $202,982,572.76
DURABLE GOODS 21.36%
AEROSPACE-AIRCRAFT
182,618 BOEING CO 9,690,167.63
6,400 GENERAL DYNAMICS CORP 480,000.00
13,720 LOCKHEED MARTIN CORP 1,420,877.50
16,500 MCDONNELL DOUGLAS CORP 1,130,250.00
6,100 NORTHROP GRUMMAN CORP 535,656.25
64,900 RAYTHEON CO 3,309,900.00
46,600 TEXTRON INC 3,093,075.00
63,600 UNITED TECHNOLOGIES CORP 5,278,800.00
AGRICULTURAL MACHINERY
15,400 CATERPILLAR INC 1,653,575.00
66,900 DEERE & CO 3,671,137.50
AUTOMOBILE AND PARTS
24,000 AUTOZONE INC 565,500.00
179,400 CHRYSLER CORP 5,886,562.50
30,700 COOPER TIRE & RUBBER 675,400.00
5,500 CUMMINS ENGINE INC 388,093.75
11,700 DANA CORP 444,600.00
7,900 EATON CORP 689,768.75
16,900 ECHLIN INC 608,400.00
114,200 FORD MTR CO 4,311,050.00
66,000 GENERAL MTRS CORP 3,675,375.00
15,750 GENUINE PARTS CO 533,531.25
20,360 NAVISTAR INTL CORP (NEW) 351,210.00
20,200 TENNECO INC (NEW) 912,787.50
32,000 TRW INC 1,818,000.00
ELECTRICAL
49,120 AMP INC 2,050,760.00
119,200 EMERSON ELEC CO 6,563,450.00
21,500 GENERAL INST CORP 537,500.00
23,800 HONEYWELL INC 1,805,825.00
4,800 RAYCHEM CORP 357,000.00
91,700 WESTINGHOUSE ELEC CORP 2,120,562.50
ELECTRONICS
27,700 ADVANCED MICRO-DEVICES 997,200.00
19,500 APPLIED MATLS INC 1,380,843.75
173,500 CISCO SYS INC 11,646,187.50
16,600 E G & G INC 373,500.00
266,600 GENERAL ELECTRIC CO 17,428,975.00
7,000 GENERAL SIGNAL CORP 305,375.00
151,700 HEWLETT PACKARD CO 8,495,200.00
183,800 INTEL CORP 26,065,137.50
3,400 LSI LOGIC CORP 108,800.00
18,200 MICRON TECH 726,862.50
14,500 NATIONAL SEMICONDUCTOR 444,062.50
12,400 NATIONAL SVC INDS 603,725.00
57,475 ORACLE CORPORATION 2,895,303.13
4,000 PERKIN ELMER CORP 318,250.00
85,600 SEAGATE TECHNOLOGY INC 3,012,050.00
2,200 TEKTRONIX INC 132,000.00
21,000 TEXAS INSTRUMENTS 1,765,312.50
10,300 THOMAS & BETTS CORP 541,393.75
INDUSTRIAL MACHINERY
6,600 AEROQUIP-VICKERS INC 311,850.00
2,400 BRIGGS & STRATTON CORP 120,000.00
8,200 CASE CORPORATION 564,775.00
3,500 CINCINNATI MILACRON INC 90,781.25
31,700 COOPER INDUS INC 1,577,075.00
10,200 DOVER CORP 627,300.00
15,200 HARNISCHFEGER INDUS INC 630,800.00
26,400 INGERSOLL RAND CO 1,630,200.00
700 NACCO INDUS INC CL A 39,506.25
52,600 ROCKWELL INTL CORP W/I 3,103,400.00
OFFICE EQUIPMENT AND SUPPLIES
22,300 DELUXE CORP 760,987.50
3,400 HARLAND JOHN H CO 77,562.50
33,300 IKON OFFICE SOLUTIONS 830,418.75
40,900 PITNEY BOWES INC 2,914,125.00
37,000 XEROX CORP. 2,918,375.00
RUBBER
5,900 GOODRICH B F CO 255,543.75
40,300 GOODYEAR TIRE & RUBBER 2,551,493.75
OTHER DURABLE GOODS
22,100 CORNING INCORPORATED 1,229,312.50
4,500 CRANE CO 188,156.25
24,000 ILLINOIS TOOL WORKS 1,198,500.00
11,200 MILLIPORE CORP 492,800.00
53,100 MINNESOTA MNG & MFR 5,416,200.00
24,700 STANLEY WORKS 988,000.00
COMPUTERS AND SOFTWARE
33,400 APPLE COMPUTER INC 475,950.00
9,700 BAY NETWORKS INC 257,656.25
6,400 CABLETRON SYSTEMS INC 181,200.00
5,200 CERIDIAN CORP 219,700.00
63,300 COMPAQ COMPUTER CORP 6,282,525.00
31,775 COMPUTER ASSOC INTL INC 1,769,470.31
58,800 CUC INTERNATIONAL 1,517,775.00
9,400 DATA GENL CORP 244,400.00
40,400 DELL COMPUTER CORP 4,744,475.00
15,000 DIGITAL EQUIP CORP 531,562.50
55,800 IBM CORP 5,032,462.50
5,100 INTERGRAPH CORP 43,350.00
103,700 MICROSOFT CORP 13,105,087.50
91,500 NOVELL INC 634,781.25
19,900 SILICON GRAPHICS 298,500.00
36,100 SUN MICROSYSTEMS 1,343,596.88
11,200 TANDEM COMPUTERS INC 226,800.00
18,200 UNISYS CORP 138,775.00
HOUSEHOLD FURN/APPLIANCES
8,600 WHIRLPOOL CORP 469,237.50
TELECOMMUNICATIONS
66,900 AIRTOUCH COMMUNICATIONS 1,831,387.50
19,687 ANDREW CORP 553,696.88
14,900 DSC COMMUNICATIONS 331,525.00
79,374 LUCENT TECHNOLOGIES INC 5,719,888.88
182,700 WORLDCOM INC 5,846,400.00
MISCELLANEOUS
76,000 ALLIED-SIGNAL INC 6,384,000.00
22,200 BLACK & DECKER CORP 825,562.50
22,900 ITT INDUSTRIES INC 589,675.00
8,400 JOHNSON CTLS INC 344,925.00
7,850 PARKER HANNIFIN CORP 476,396.88
6,550 SNAP ON TOOLS CORP 257,906.25
25,000 THERMO ELECTRON CORP 850,000.00
32,800 TYCO LABS INC 2,281,650.00
TOTAL DURABLE GOODS $234,126,474.34
FINANCIAL 16.58%
BANKS
107,037 BANC ONE CORP 5,184,604.69
67,500 BANK NEW YORK INC 2,936,250.00
179,200 BANKAMERICA CORP 11,569,600.00
15,400 BANKBOSTON CORPORATION 1,109,762.50
20,900 BANKERS TR NY CORP 1,818,300.00
20,800 BARNETT BANKS INC 1,092,000.00
76,580 CHASE MANHATTAN CORP NEW 7,433,046.25
91,400 CITICORP 11,019,412.50
19,600 CORESTATES FINL CORP 1,053,500.00
5,600 FIFTH THIRD BANCORP COM 459,375.00
3,200 FIRST BANK SYS INC 273,200.00
54,731 FIRST CHICAGO NBD CORP 3,311,225.50
29,950 FIRST UNION CORP 2,770,375.00
49,366 FLEET FINANCIAL GROUP INC 3,122,399.50
75,942 KEYCORP NEW 4,243,259.25
62,175 MBNA CORP 2,277,159.38
58,400 MELLON BANK CORP 2,635,300.00
57,600 MORGAN J P & CO 6,012,000.00
16,000 NATIONAL CITY CORP 840,000.00
74,830 NATIONSBANK CORP 4,826,535.00
31,600 NORWEST CORP 1,777,500.00
81,000 PNC FINANCIAL 3,371,625.00
200 REPUBLIC NEW YORK CORP 21,500.00
17,400 SUNTRUST BANKS INC 958,087.50
5,400 U S BANCORP ORE 346,275.00
45,000 WACHOVIA CORP 2,624,062.50
16,400 WELLS FARGO & CO 4,419,800.00
FINANCE COMPANIES
130,700 AMERICAN EXPRESS CO 9,737,150.00
5,400 BENEFICIAL CORP 383,737.50
178,800 FED HOME LN MTG CORP 6,146,250.00
5,600 GREEN TREE FINANCIAL 199,500.00
9,500 HOUSEHOLD INTL CORP 1,115,656.25
HOLDING COMPANY
2,000 EASTERN ENTERPRISES 69,375.00
90,366 MS, DW, DISCOVER & CO 3,891,385.88
FIRE AND CASUALTY INSURANCE
46,400 CHUBB CORP 3,103,000.00
25,000 GENERAL RE CORP 4,550,000.00
33,500 SAFECO CORP 1,564,031.25
INSURANCE
14,075 AEGON N.V. -ARS 986,129.69
26,013 AETNA INC 2,663,080.88
103,464 ALLSTATE CORPORATION 7,552,872.00
39,000 AMERICAN INTL GROUP 5,825,625.00
18,600 AON CORP 962,550.00
20,400 CIGNA CORP 3,621,000.00
31,000 CONSECO INC 1,147,000.00
22,900 HARTFORD FINANCIAL SVCS 1,894,975.00
3,100 LOEWS CORP 310,387.50
48,600 MARSH & MCLENNAN CO. 3,468,825.00
8,200 MBIA INC 925,062.50
52,800 MGIC INVT CROP 2,531,100.00
24,000 ST PAUL COS INC 1,830,000.00
24,700 TORCHMARK CORP 1,759,875.00
19,200 TRANSAMERICA CORP 1,796,400.00
86,892 TRAVELERS GROUP INC 5,479,626.75
37,400 UNUM CORP. 1,570,800.00
28,300 USF & G CORP 679,200.00
LIFE INSURANCE
19,497 AMERICAN GENERAL CORP 931,002.04
6,050 JEFFERSON PILOT CORP 422,743.75
9,900 LINCOLN NATL CORP IND 637,312.50
32,400 PROVIDIAN FINL CORP W/I 1,040,850.00
REAL ESTATE
94,900 FEDERAL NATL MTGE ASSN 4,140,012.50
46,400 HFS 2,691,200.00
SAVINGS & LOANS
22,300 AHMANSON H F & CO 958,900.00
4,900 GOLDEN WEST FINL CORP 343,000.00
14,500 GREAT WESTERN FINL 779,375.00
BROKERAGE
82,200 MERRILL LYNCH & CO 4,901,175.00
29,500 SALOMON INC 1,640,937.50
TOTAL FINANCIAL $181,757,258.06
METALS AND MINING 0.93%
ALUMINUM
44,900 ALUMINUM CO AMER 3,384,337.50
6,000 REYNOLDS METALS CO 427,500.00
MINING
16,200 HOMESTAKE MNG CO 211,612.50
STEEL
31,982 ALLEGHENY TELEDYNE 863,514.00
10,300 ARMCO, INC. 39,912.50
33,300 BETHLEHEM STEEL CORP 347,568.75
6,500 INLAND STEEL INDUS INC 169,812.50
8,700 NUCOR CORP 498,075.00
6,200 TIMKEN CO 220,487.50
23,500 USX-US STEEL GROUP 823,968.75
26,100 WORTHINGTON INDS INC 477,956.25
OTHER METALS
4,100 ASARCO INC 125,562.50
98,900 BATTLE MOUNTAIN GOLD CL A 562,493.75
29,723 NEWMONT MNG CORP 1,159,197.00
5,500 PHELPS DODGE CORP 468,531.25
MINERALS
16,200 CYPRUS AMAX MINERALS CO 396,900.00
TOTAL METALS AND MINING $10,177,429.75
COLLECTIBLES & PRECIOUS MATERIALS 0.04%
GOLD-DIAMOND-GEMS
12,500 FREEPORT-MCMORAN COPPER-B 389,062.50
TOTAL COLLECTIBLES & PRECIOUS MATERIALS $389,062.50
OIL-ENERGY 6.01%
OIL & GAS PRODUCERS
24,600 AMERADA HESS CORP 1,366,837.50
43,600 AMOCO CORP 3,790,475.00
10,900 COASTAL CORP 579,743.75
7,700 ENSERCH CORP 171,325.00
2,300 HELMERICH & PAYNE INC. 132,537.50
30,900 OCCIDENTAL PETROLEUM 774,431.25
11,100 ROWAN COS INC 312,881.25
8,800 SANTA FE ENERGY RES INC 129,250.00
55,906 UNION PACIFIC RESOURCES 1,390,661.75
70,900 USX-MARTHON GROUP COM NEW 2,047,237.50
NATURAL RESOURCES
47,200 DRESSER INDUS INC 1,758,200.00
5,100 KERR MCGEE CORP 323,212.50
5,100 LOUISIANA LD & EXPL CO 291,337.50
35,250 WILLIAMS COS INC-DEL 1,542,187.50
OIL EQUIPMENT, WELLS & SVCS
6,400 ASHLAND, INC 296,800.00
45,700 BAKER HUGHES INC 1,768,018.75
17,400 HALLIBURTON CO 1,378,950.00
6,600 WESTERN ATLAS INC 483,450.00
OIL - DOMESTIC
39,400 BURLINGTON RESOURCES INC 1,738,525.00
12,900 PENNZOIL CO 990,075.00
22,700 PHILLIPS PETE CO 993,125.00
65,600 UNOCAL CORP 2,546,100.00
OIL - INTERNATIONAL
96,200 ATLANTIC RICHFIELD CO 6,782,100.00
176,500 CHEVRON CORP 13,049,968.75
215,600 EXXON CORP. 13,259,400.00
68,600 MOBIL CORP 4,793,425.00
10,800 ORYX ENERGY COMPANY 228,150.00
4,400 ROYAL DUTCH PETE CO NY 237,600.00
6,700 SUN CO INC 207,700.00
22,900 TEXACO INC 2,490,375.00
TOTAL OIL-ENERGY $65,854,080.50
RETAIL 3.37%
DEPARTMENT STORES
30,100 CVS CORP 1,542,625.00
21,200 DAYTON HUDSON CORP 1,127,575.00
6,500 DILLARDS INCORPORATED 225,062.50
6,600 HARCOURT GENERAL INC 314,325.00
39,600 K MART 485,100.00
84,900 MAY DEPT STORES CO 4,011,525.00
10,200 MERCANTILE STORES 641,962.50
24,400 PENNEY JC INC 1,273,375.00
102,600 SEARS ROEBUCK & CO 5,514,750.00
68,300 WAL MART STORES INC 2,309,393.75
40,700 WINN-DIXIE STORES INC 1,516,075.00
4,400 WOOLWORTH CORP 105,600.00
GROCERY
70,400 ALBERTSON'S INC 2,569,600.00
38,500 AMERICAN STORES CO 1,900,937.50
3,800 FLEMING COS 68,400.00
5,800 GIANT FOOD INC 187,775.00
3,400 GREAT ATLANTIC & PAC TEA 92,437.50
24,400 KROGER CO 707,600.00
23,700 SUPERVALUE INC 817,650.00
OTHER RETAIL
33,400 CIRCUIT CITY STORES 1,187,787.50
45,577 COSTCO COMPANIES INC 1,498,343.88
2,900 LONGS DRUG STORES CORP 75,943.75
21,600 LOWES COS INC 801,900.00
7,400 PEP BOYS-MAN, MO, JACK 252,062.50
24,300 RITE AID CORP 1,211,962.50
23,000 TANDY CORP 1,288,000.00
85,000 TOYS R US 2,975,000.00
SPORTING GOODS
17,700 REEBOK INTL LTD 827,475.00
3,800 RUSSELL CORP 112,575.00
APPAREL
12,000 CHARMING SHOPPES INC 62,625.00
22,300 GAP INC 866,912.50
7,100 NORDSTROM INC 348,343.75
TOTAL RETAIL $36,920,700.13
UTILITIES 9.33%
ELECTRIC
48,500 AMERICAN ELEC PWR INC 2,037,000.00
14,600 BALTIMORE GAS & ELEC 389,637.50
54,700 CAROLINA PWR & LT CO 1,962,362.50
67,300 CENTRAL & SOUTH WEST CORP 1,430,125.00
26,585 CINERGY CORP 925,490.31
80,700 CON. EDISON NY INC 2,375,606.25
46,400 DOMINION RES INC-VA 1,699,400.00
34,677 DUKE POWER CO 1,662,328.69
32,500 EDISON INTERNATIONAL 808,437.50
73,700 ENTERGY CORP NEW 2,017,537.50
18,600 FPL GROUP INC 856,762.50
12,800 GPU INC 459,200.00
56,100 HOUSTON INDS INC 1,202,643.75
38,300 NIAGARA MOHAWK PWR 327,943.75
17,900 NORTHERN STS PWR CO 926,325.00
41,400 OHIO EDISON CO 903,037.50
29,000 PACIFICORP 638,000.00
58,000 PECO ENERGY 1,218,000.00
34,900 PG&E CORP 846,325.00
4,700 PP&L RESOURCES INC 93,706.25
82,600 PUBLIC SVC ENTERPRISE GRP 2,065,000.00
184,487 SBC COMMUNICATIONS INC 11,415,133.13
174,400 SOUTHERN CO 3,815,000.00
63,200 UNICOM CORP 1,406,200.00
35,500 UNION ELECTRIC CO 1,337,906.25
GAS
13,500 COLUMBIA GAS SYS INC 880,875.00
32,100 CONSOLIDATED NATL GAS 1,727,381.25
22,900 ENRON CORP 934,606.25
14,100 NICOR INC 505,837.50
39,200 NORAM ENERGY CORP 597,800.00
7,200 ONEOK INC 231,750.00
11,300 PACIFIC ENTERPRISES 379,962.50
9,300 PEOPLES ENERGY CORP 348,168.75
8,400 SONAT INC 430,500.00
5,300 TEXAS UTILITIES CO 182,518.75
TELEPHONE
143,100 A T & T 5,017,443.75
24,000 ALLTEL CORP 802,500.00
116,400 BELL ATLANTIC CORP 8,831,850.00
262,600 BELLSOUTH CORP 12,178,075.00
29,200 FRONTIER CORP 582,175.00
80,700 GTE CORP 3,540,712.50
141,000 NYNEX CORP 8,125,125.00
44,600 SPRINT CORP 2,347,075.00
147,100 U S WEST INC 5,543,831.25
156,700 U S WEST MEDIA GROUP 3,173,175.00
WASTE DESPOSAL
55,500 BROWNING FERRIS IND 1,845,375.00
39,100 WASTE MANAGEMENT INC 1,256,087.50
TOTAL UTILITIES $102,281,933.38
MISCELLANEOUS 9.94%
BROADCAST/COMMUNICATIONS
85,100 COMCAST CORP CL A SPL 1,819,012.50
38,200 GANNETT CO., INC 3,772,250.00
204,200 MCI COMMUNICATIONS 7,817,031.25
170,500 MOTOROLA INC 12,958,000.00
69,200 TELE COMM. INC CL A 1,029,350.00
10,100 TELLABS INC 564,337.50
30,800 VIACOM INC CL B NON VTG 924,000.00
BUSINESS SERVICES
30,500 AMDAHL CORP 266,875.00
4,100 AUTODESK INC 157,081.25
76,400 AUTOMATIC DATA PROC 3,590,800.00
9,600 BLOCK H&R INC 309,600.00
15,100 COMPUTER SCIENCES CORP 1,089,087.50
13,100 DONNELLEY RR & SONS 479,787.50
8,800 DOW JONES & CO 353,650.00
62,100 DUN & BRADSTREET 1,630,125.00
21,500 E M C CORP 838,500.00
18,600 ECOLAB INC 888,150.00
27,400 FIRST DATA CORP 1,203,887.50
5,700 GRAINGER W W INC 445,668.75
7,200 INTERPUBLIC GROUP COS 441,450.00
6,000 SAFETY KLEEN CORP 101,250.00
7,600 SCIENTIFIC-ATLANTA 166,250.00
23,100 SERVICE CORP INTL 759,412.50
7,200 THREE COM CORP 324,000.00
FOOD SERVICE
42,000 DARDEN RESTAURANTS INC 380,625.00
188,500 MCDONALDS CORP 9,106,906.25
183,600 PHILLIP MORRIS CO INC 8,147,250.00
11,700 WENDYS INTL INC 303,468.75
HOTEL & MOTEL
29,000 HILTON HOTELS CORP 770,312.50
22,900 ITT CORP NEW 1,398,331.25
19,700 MARRIOTT INTL CORP 1,209,087.50
HOUSING
1,900 PULTE CORP 65,668.75
MED SERV & SUPPLIES
30,500 BIOMET INC 568,062.50
90,200 HEALTHSOUTH CORPORATION 2,249,362.50
4,500 HUMANA INC 104,062.50
7,800 MANOR CARE INC 254,475.00
56,400 MEDTRONIC INC 4,568,400.00
2,500 SHARED MEDICAL SYS CORP 135,000.00
7,750 ST. JUDE MED INC. 302,250.00
REAL ESTATE
3,300 CENTEX CORP 134,062.50
TRANSPORTATION
7,800 AMR CORP 721,500.00
16,603 BURLINGTON NRTHN SANTA FE 1,492,194.63
10,700 CALIBER SYSTEMS INC 398,575.00
57,600 CSX CORP 3,196,800.00
9,700 DELTA AIR LINES INC 795,400.00
11,800 FEDERAL EXPRESS CORP 681,450.00
4,200 FLEETWOOD ENTERPRISES 125,212.50
11,400 NORFOLK SOUTHERN CORP 1,148,550.00
19,500 PACCAR INC 905,531.25
8,500 RYDER SYSTEMS INC 280,500.00
38,100 SOUTHWEST AIRLINES CO 985,837.50
18,900 U S AIR GROUP 661,500.00
58,500 UNION PACIFIC CORP 4,124,250.00
MISCELLANEOUS
62,100 COGNIZANT CORP 2,515,050.00
19,300 MALLINCKRODT (NEW) 752,700.00
400 SCHLUMBERGER 50,000.00
71,400 WARNER-LAMBERT 8,871,450.00
TELECOMMUNICATIONS
137,600 AMERITECH CORP NEW 9,348,200.00
3,700 HARRIS CORP-DEL 310,800.00
TOTAL MISCELLANEOUS $108,992,382.13
UTILITIES 0.10%
ELECTRIC
38,600 DTE ENERGY COMPANY 1,066,325.00
TOTAL UTILITIES $1,066,325.00
TOTAL COMMON STOCK $1,093,479,929.18
OTHER
0.23%
CASH EQUIVALENTS
2,551,410 AIM SHORT TERM INV SER 2 2,551,410.18
TOTAL $2,551,410.18
TOTAL OTHER $2,551,410.18
TOTAL INVESTMENTS - 100.00% $1,096,031,339.36
(cost $616,827,767)
See accompanying notes to financial statements
