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Previous: DREYFUS PREMIER GROWTH FUND INC, 485BPOS, 1997-02-28 |
Next: SELECT ASSET FUND SERIES 1 INC, NSAR-B, 1997-02-28 |
SELECT ASSET FUND, SERIES 1, INC.
Financial Statements
December 31, 1996
(With Independent Auditors' Report Thereon)
Independent Auditors' Report
To the Board of Directors and Stockholder of
Select Asset Fund, Series 1, Inc.:
We have audited the accompanying statement of assets and liabilities of Select
Asset Fund, Series 1, Inc. including the portfolio of investments, as of
December 31, 1996, and the related statement of operations for the year then
ended, the statements of changes in net assets for each of the years in the
two-year period then ended and the financial highlights for each of the years
in the three-year period then ended and for the period from March 4, 1993
(commencement of operations) through December 31, 1993. These financial
statements and financial highlights are the responsibility of the Fund's
management. Our responsibility is to express an opinion on these financial
statements and financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to
obtain reasonable assurance about whether the financial statements and
financial highlights are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures
in the financial statements. Our procedures included confirmation of
securities owned as of December 31, 1996, by correspondence with the custodian
and brokers and other appropriate audit procedures. An audit also includes
assessing the accounting principles used and significant estimates made by
management, as well as evaluating the overall financial statement
presentation. We believe that our audits provide a reasonable basis for our
opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of
Select Asset Fund, Series 1, Inc. as of DecemberE31, 1996, the results of its
operations for the year then ended, its changes in net assets for each of the
years in the two-year period then ended and its financial highlights for each
of the years in the three-year period then ended and for the period from March
4, 1993 (commencement of operations) through December 31, 1993, in conformity
with generally accepted accounting principles.
KPMG Peat Marwick LLP
February 14, 1997
SELECT ASSET FUND, SERIES 1, INC.
Statement of Assets and Liabilities
December 31, 1996
Assets
Investments, at value (cost $503,285,078) $ 818,580,687
Cash 15
Dividends receivable 1,222,939
Interest receivable 10,947
Prepaid expenses 22,282
Total assets 819,836,870
Liabilities
Common stock dividend payable 6,856,156
Payable for securities purchases 1,382,066
Accrued expenses 491,805
Notes payable (note 5) 96,900
Accrued interest expense 2,140
Total liabilities 8,829,067
Net assets $ 811,007,803
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
Common stock at par value, $.01 per share, 199,997,000
shares authorized, 48,873,302.47 shares
issued and outstanding 488,733
Additional paid-in capital 202,069,216
Accumulated overdistribution of net investment income (5,047,042)
Accumulated overdistribution of net realized gains (1,798,713)
Net unrealized appreciation of investments 315,295,609
Net assets $ 811,007,803
Net asset value per common
shares outstanding $ 10.46
See accompanying notes to the financial statements.
SELECT ASSET FUND, SERIES 1, INC.
Statement of Operations
For the year ended December 31, 1996
Investment income:
Dividend income $ 16,326,482
Interest income 444,024
Total investment income 16,770,506
Expenses:
Broker dealer fee 702,787
Legal fees 103,849
Rating agencies fees 139,756
Independent accountants 33,417
Auction agent fee 22,000
Administration fee (note 2) 446,022
Directors fees and expenses 11,286
Interest expense 7,662
Insurance 16,713
Investment management fee (note 2) 74,402
Other expenses 1,290
Total expenses 1,559,184
Net investment income 15,211,322
Net realized and unrealized gains on investments:
Net realized gain on investments:
Proceeds from sales $ 23,844,722
Cost of securities sold (20,240,988)
3,603,734
Unrealized appreciation of investments:
Beginning of year 183,556,957
End of year 315,295,609
Increase in net unrealized appreciation
of investments 131,738,652
Net increase in net assets resulting
from operations $ 150,553,708
See accompanying notes to the financial statements.
SELECT ASSET FUND, SERIES 1, INC.
Statements of Changes in Net Assets
For the years ended December 31, 1996 and 1995
1996 1995
From operations:
Net investment income $ 15,211,322 14,442,618
Net realized gain (loss) on investments 3,603,734 (5,433,385)
Net change in unrealized appreciation
on investments 131,738,652 183,681,892
Increase in net assets resulting
from operations 150,553,708 192,691,125
Dividends to stockholders from net
investment income:
Auction market preferred stock (10,153,880) (11,969,899)
Common stock (5,057,442) (2,472,719)
(15,211,322) (14,442,618)
Dividends to stockholders from net realized gains:
Auction market preferred stock 0 0
Common stock (1,798,713) (15,952,016)
(1,798,713) (15,952,016)
Decrease in net assets resulting from
dividends to stockholders (17,010,035) (30,394,634)
Increase (decrease) from capital share transactions:
Issuance of auction market preferred stock 300,000,000 0
Issuance of common stock 0 250,400,000
Redemption of auction market preferred stock 0 (250,000,000)
Return of additional paid in capital to
common stockholder (265,875,952) (75,412,488)
34,124,048 (75,012,488)
Total increase in net assets 167,667,721 87,284,003
Net assets:
Beginning of year 643,340,082 556,056,079
End of year $ 811,007,803 643,340,082
See accompanying notes to the financial statements.
SELECT ASSET FUND, SERIES 1, INC.
Financial Highlights
For the years ended December 31, 1996, 1995, 1994 and
for the period March 4, 1993 (commencement of Operations)
through December 31, 1993
1996 1995 1994 1993***
For a share of common stock outstanding
throughout the period:
Net asset value, beginning
of period $ 13.16 10.07 10.66 10.00
Net investment income 0.31 0.45 0.49 0.37
Net realized and unrealized
gains (losses) on investments 2.77 5.58 (0.36) 0.50
Total income from
investment operations 3.08 6.03 0.13 0.87
Less distributions from net investment
income and net realized gains:
Common stock equivalent ofdividends
paid to AMPS holders (0.21) (0.37) (0.30) (0.17)
Dividends paid to common stockholder (0.13) (0.51) (0.43) (0.04)
Less distributions from paid-in capital:
Return of capital paid to
common stockholder (5.44) (2.06) 0.00 0.00
Total distributions (5.78) (2.94) (0.72) (0.21)
Net asset value, end of period $ 10.46 13.16 10.07 10.66
Total investment return 23.40% 59.88% 1.22% 6.99%*
Net assets at end of period (000s) $ 811,008 643,340 556,056 574,071
Ratio of expenses to average net assets
applicable to common stock 0.21% 0.16% 0.15% 0.34%**
Ratio of net investment income to average
net assets applicable to common stock + 0.70% 0.41% 1.08% 2.67%**
Portfolio turnover 3.34% 16.36% 9.83% 1.00%
Average commissions paid on equity
securities transactions++ $ .005 - - -
+ Net investment income is adjusted for distributions paid to auction market
preferred stock ("AMPS") holders.
++ 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.
* Total investment return for the period; not annualized.
** Annualized.
*** For the period March 4, 1993 (commencement of operations) to
December 31, 1993.
See accompanying notes to financial statements.
SELECT ASSET FUND, SERIES 1, INC.
Notes to the Financial Statements
December 31, 1996
(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
(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 years ended December 31, 1996 and 1995, dividends to the common
stockholder amounted to $6,856,155 and $18,424,735, respectively.
During the years ended December 31, 1996 and 1995, return of capital
distributions to the common stockholder amounted to approximately $276,000,000
(of which approximately $266,000,000 was a result of capital share
transactions) and approximately $75,000,000 (of which approximately $19,000,000
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 management fee is
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 year ended December
31, 1996 were $45,947,670 and $23,844,722, respectively.
At December 31, 1996, the aggregate gross unrealized appreciation and
depreciation of investments for Federal income tax purposes, were $323,053,167
and $7,757,558, respectively.
3
SELECT ASSET FUND, SERIES 1, INC.
Notes to Financial Statements, Continued
(4) Auction Market Preferred Stock
In January 1996, the Fund issued $300 million of Auction Market Preferred Stock
("AMPS").
The Fund has outstanding at December 31, 1996, 1000 shares each of Series A,
Series B and Series C 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
December 31, 1996 were 3.987%, 4.1% and 4.15% for Series A, Series B and
Series C, 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 December 31, 1996, the Fund had $96,900 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 December 31, 1996, the Fund was paying interest at
7.50% per annum.
(6) Subsequent Event
The Fund issued $100 million in a new series of AMPS on February 5, 1997.
SELECT ASSET FUND, SERIES 1, INC.
Portfolio of Investments
December 31, 1996
No. of Market
Shares Value
COMMON STOCK
BUILDING AND CONSTRUCTION 1.77%
BUILDING MATERIALS
24,500 CHAMPION INTL CORP 1,059,625
5,100 GEORGIA PACIFIC CORP 367,200
57,200 HOME DEPOT 2,867,150
37,300 LOUISIANA PAC CORP 787,962
53,900 MASCO CORP 1,940,400
2,400 OWENS CORNING 102,300
CONSTRUCTION EQUIPMENT
1,800 GIDDINGS & LEWIS 23,175
PAINT AND FLAT GLASS
53,400 PPG INDUS INC 2,997,075
4,400 SHERWIN WILLIAMS CO 246,400
INDUSTRIAL CHEMICALS
23,600 GREAT LAKES CHEM CRP 1,103,300
18,400 ROHM & HAAS CO 1,501,900
MISCELLANEOUS
21,200 FLUOR CORP 1,330,300
2,100 FOSTER WHEELER CORP 77,963
1,800 KAUFMAN & BROAD HOME CORP 23,175
TOTAL BUILDING AND CONSTRUCTION $14,427,925
CHEMICALS AND DRUGS 10.96%
CHEMICALS
31,100 AIR PRODS & CHEMS INC 2,149,787
66,700 AMGEN INC 3,626,812
20,400 BOSTON SCIENTIFIC CORP 1,224,000
10,400 DOW CHEMICAL CO 815,100
32,000 DUPONT DENEMOURS & CO 3,020,000
21,350 EASTMAN CHEMICAL CO 1,179,588
8,400 ENGLEHARD CORP 160,650
1,800 FMC CORP-NEW 126,225
8,500 GRACE W. R. & CO. (NEW) 439,875
4,600 HERCULES INC 198,950
151,000 MONSANTO CO 5,870,125
6,800 MORTON INTERNATIONAL 277,100
4,000 NALCO CHEM CO 144,500
10,400 PRAXIAIR INC 479,700
2,900 SIGMA-ALDRICH CORP 181,069
5,900 UNION CARBIDE CORP 241,162
DRUGS
197,200 ABBOT LABS 10,007,900
25,100 ALZA CORP CL A 649,462
35,900 AMERICAN HOME PRODUCTS 2,104,638
27,400 BRISTOL MYERS SQUIBB CO 2,979,750
319,000 JOHNSON & JOHNSON 15,870,250
29,600 LILLY ELI & CO 2,160,800
94,900 MERCK & CO., INC 7,520,825
36,500 PFIZER INC 3,024,937
68,470 PHARMACIA & UPJOHN INC 2,713,124
101,200 SCHERING PLOUGH 6,552,700
68,300 WALGREEN CO 2,732,000
COSMETICS
6,900 ALBERTO CULVER CO CL B 331,200
5,500 AVON PRODUCTS INC 314,188
30,400 INTL FLAVORS & FRAGRANCES 1,368,000
HEALTH PRODUCTS/CARE
19,500 ALLERGAN INC 694,687
3,500 BARD CR INC 98,000
14,500 BAUSCH & LOMB 507,500
15,900 BAXTER INTL INC. 651,900
6,200 BECTON DICKINSON & CO 268,925
22,900 BEVERLY ENTERPRISES INC 291,975
119,150 COLUMBIA/HCA HEALTHCARE 4,855,363
20,000 GUIDANT CORP 855,000
13,500 TENET HEALTHCARE CORP 295,313
3,300 U S SURGICAL 129,938
61,100 UTD HEALTHCARE CORP 2,749,500
TOTAL CHEMICALS AND DRUGS $89,862,518
CONSUMER PRODUCTS 19.01%
CONFECTIONS AND BEVERAGES
25,800 ANHEUSER-BUSCH COS 1,032,000
4,100 BROWN FORMAN INC CL B 187,575
674,500 COCA COLA CO 35,495,562
46,000 NEWELL CO. 1,449,000
403,600 PEPSICO INC 11,805,300
1,100 SEAGRAM LTD 42,625
CONTAINERS
6,200 AVERY DENNISON CORP 219,325
1,800 BALL CORP 46,800
21,800 CROWN CORK & SEAL INC 1,185,375
11,200 STONE CONTAINER 166,600
2,900 TEMPLE INLAND INC 156,963
PACKAGED FOOD
150,585 ARCHER DANIELS MIDLAND CO 3,312,870
61,900 CAMPBELL SOUP CO 4,967,475
67,700 CONAGRA 3,368,075
2,200 COORS ADOLPH CO CL B 41,800
8,100 CPC INTL INC 627,750
42,600 GENERAL MILLS INC 2,699,775
93,000 HEINZ H J CO 3,324,750
8,600 HERSHEY FOODS CORP 376,250
53,800 KELLOGG CO 3,530,625
28,800 PIONEER HI BRED INTL INC 2,016,000
33,200 QUAKER OATS CO 1,265,750
6,300 RALSTON-PURINA GROUP 462,262
85,700 SARA LEE CORP 3,192,325
10,200 SYSCO CORP 332,775
600 UNILEVER NV NEW YORK 105,150
32,100 WRIGLEY WM JR CO 1,805,625
PAPER
4,800 AMERICAN GREETINGS CL A 136,200
2,800 BEMIS CO 103,250
6,800 BOISE CASCADE CORP 215,900
25,842 INTERNATIONAL PAPER CO 1,043,371
3,900 JAMES RIVER CORP 129,187
15,960 KIMBERLY CLARK CORP 1,520,190
16,000 MEAD CORP 930,000
1,300 POTLATCH CORP 55,900
2,900 UNION CAMP CORP 138,475
66,900 WEYERHAEUSER CO 3,169,388
200 WILLIAMETTE INDUSTRIAL 13,925
PRINTING AND PUBLISHING
2,300 JOSTENS INC 48,587
29,700 KNIGHT-RIDDER INC 1,136,025
26,100 MCGRAW-HILL COMPANIES INC 1,203,863
7,900 MEREDITH CORP 416,725
28,400 NEW YORK TIMES CO CL A 1,079,200
74,600 TIME WARNER INC 2,797,500
34,000 TIMES MIRROR CO CL A NEW 1,691,500
16,800 TRIBUNE CO 1,325,100
5,450 WESTVACO CORP 156,687
RECREATIONAL EQUIPMENT
5,900 BRUNSWICK CORP 141,600
5,450 HARRAH'S ENTERTAINMENT 108,319
4,700 HASBRO INC 182,713
37,156 MATTEL INC 1,031,079
SOAPS
2,600 CLOROX CO 260,975
OTHER CONSUMER PRODUCTS
5,800 AMERICAN BRANDS INC 287,825
37,000 COLGATE PALMOLIVE CO 3,413,250
25,600 GILLETTE CO 1,990,400
178,500 PROCTER & GAMBLE CO 19,188,750
6,100 RUBBERMAID INC 138,775
2,100 SPRINGS INDUS INC 90,300
15,600 TUPPERWARE CORPORATION 836,550
9,400 UST INC 304,325
5,900 WHITMAN CORP 134,963
PHOTOGRAPHY
85,100 EASTMAN KODAK CO 6,829,275
2,400 POLAROID CORP 104,400
HOUSEHOLD FURN/APPLIANCES
3,200 ARMSTRONG WORLD IND 222,400
4,900 MAYTAG CO 96,775
RETAIL
400 FEDERATED DEPT STORES NEW 13,650
28,100 TJX COS INC (NEW) 1,331,237
APPAREL
90,743 LIMITED INC 1,667,403
26,600 LIZ CLAIBORNE INC 1,027,425
76,700 NIKE INC CL B 4,582,825
2,600 STRIDE RITE CORP 26,000
3,700 V F CORP 249,750
BROADCASTING
148,324 DISNEY WALT CO 10,327,058
1,600 KING WORLD INC 59,000
MISCELLANEOUS
7,200 PALL CORP 183,600
TOTAL CONSUMER PRODUCTS $155,357,977
DURABLE GOODS 19.96%
AEROSPACE-AIRCRAFT
91,309 BOEING CO 9,713,016
3,500 GENERAL DYNAMICS CORP 246,750
11,620 LOCKHEED MARTIN CORP 1,063,230
11,600 MCDONNELL DOUGLAS CORP 742,400
3,500 NORTHROP GRUMMAN CORP 289,625
64,900 RAYTHEON CO 3,123,313
23,300 TEXTRON INC 2,196,025
63,600 UNITED TECHNOLOGIES CORP 4,197,600
AGRICULTURAL MACHINERY
9,400 CATERPILLAR INC 707,350
66,900 DEERE & CO 2,717,812
AUTOMOBILE AND PARTS
10,000 AUTOZONE INC 275,000
183,000 CHRYSLER CORP 6,039,000
30,700 COOPER TIRE & RUBBER 606,325
4,200 CUMMINS ENGINE INC 193,200
7,200 DANA CORP 234,900
5,000 EATON CORP 348,750
16,900 ECHLIN INC 534,462
79,300 FORD MTR CO 2,527,688
44,100 GENERAL MTRS CORP 2,458,575
6,000 GENUINE PARTS CO 267,000
20,360 NAVISTAR INTL CORP (NEW) 185,785
16,400 TENNECO INC (NEW) 740,050
32,000 TRW INC 1,584,000
ELECTRICAL
49,120 AMP INC 1,884,980
12 EMCOR GROUP INC SER Z WTS 0
59,600 EMERSON ELEC CO 5,766,300
18,800 GENERAL INST CORP 406,550
23,800 HONEYWELL INC 1,564,850
2,800 RAYCHEM CORP 224,350
24,400 WESTINGHOUSE ELEC CORP 484,950
ELECTRONICS
27,700 ADVANCED MICRO-DEVICES 713,275
11,400 APPLIED MATLS INC 409,687
173,500 CISCO SYS INC 11,038,938
16,600 E G & G INC 334,075
89,200 GENERAL ELECTRIC CO 8,819,650
4,800 GENERAL SIGNAL CORP 205,200
124,500 HEWLETT PACKARD CO 6,256,125
183,800 INTEL CORP 24,066,313
400 LSI LOGIC CORP 10,700
12,000 MICRON TECH 349,500
7,700 NATIONAL SEMICONDUCTOR 187,687
12,400 NATIONAL SVC INDS 463,450
37,075 ORACLE CORPORATION 1,547,881
2,400 PERKIN ELMER CORP 141,300
24,600 SEAGATE TECHNOLOGY INC 971,700
1,000 TEKTRONIX INC 51,250
12,500 TEXAS INSTRUMENTS 796,875
5,100 THOMAS & BETTS CORP 226,313
INDUSTRIAL MACHINERY
1,600 BRIGGS & STRATTON CORP 70,400
6,200 CASE CORPORATION 337,900
1,900 CINCINNATI MILACRON INC 41,563
31,700 COOPER INDUS INC 1,335,362
5,900 DOVER CORP 296,475
15,200 HARNISCHFEGER INDUS INC 731,500
26,400 INGERSOLL RAND CO 1,174,800
500 NACCO INDUS INC CL A 26,750
52,600 ROCKWELL INTL CORP W/I 3,202,025
10,000 THERMO ELECTRON CORP 412,500
6,600 TRINOVA CORP 240,075
OFFICE EQUIPMENT AND SUPPLIES
33,300 ALCO STANDARD CORP 1,719,113
22,300 DELUXE CORP 730,325
2,000 HARLAND JOHN H CO 66,000
40,900 PITNEY BOWES INC 2,229,050
23,100 XEROX CORP. 1,215,637
RUBBER
3,000 GOODRICH B F CO 121,500
40,300 GOODYEAR TIRE & RUBBER 2,070,412
OTHER DURABLE GOODS
16,400 CORNING INCORPORATED 758,500
2,200 CRANE CO 63,800
6,800 ILLINOIS TOOL WORKS 543,150
11,200 MILLIPORE CORP 463,400
41,400 MINNESOTA MNG & MFR 3,431,025
3,280 NEWPORT NEWS SHIPBUILDING 49,200
24,700 STANLEY WORKS 666,900
COMPUTERS AND SOFTWARE
33,400 APPLE COMPUTER INC 697,225
4,200 BAY NETWORKS INC 87,675
1,500 CABLETRON SYSTEMS INC 49,875
3,000 CERIDIAN CORP 121,500
63,300 COMPAQ COMPUTER CORP 4,700,025
20,775 COMPUTER ASSOC INTL INC 1,033,556
12,200 CUC INTERNATIONAL 289,750
9,400 DATA GENL CORP 136,300
40,400 DELL COMPUTER CORP 2,146,250
8,700 DIGITAL EQUIP CORP 316,463
20,400 IBM CORP 3,080,400
2,800 INTERGRAPH CORP 28,700
69,000 MICROSOFT CORP 5,701,125
91,500 NOVELL INC 866,391
11,300 SILICON GRAPHICS 288,150
22,800 SUN MICROSYSTEMS 585,675
7,900 TANDEM COMPUTERS INC 108,625
10,300 UNISYS CORP 69,525
HOUSEHOLD FURN/APPLIANCES
5,600 WHIRLPOOL CORP 261,100
TELECOMMUNICATIONS
51,700 AIRTOUCH COMMUNICATIONS 1,305,425
13,125 ANDREW CORP 696,445
9,600 DSC COMMUNICATIONS 171,600
10,000 FRONTIER CORP 226,250
62,275 LUCENT TECHNOLOGIES INC 2,880,219
400 NORTHERN TELECOM LTD 24,750
24,100 WORLDCOM INC 367,481
MISCELLANEOUS
76,000 ALLIED-SIGNAL INC 5,092,000
22,200 BLACK & DECKER CORP 668,775
22,900 ITT INDUSTRIES INC 561,050
2,200 JOHNSON CTLS INC 182,325
4,450 PARKER HANNIFIN CORP 172,438
3,650 SNAP ON TOOLS CORP 130,031
25,200 TYCO LABS INC 1,332,450
TOTAL DURABLE GOODS $164,290,666
FINANCIAL 16.41%
BANKS
107,037 BANC ONE CORP 4,602,591
53,900 BANK NEW YORK INC 1,819,125
9,100 BANK OF BOSTON CORP 584,675
89,600 BANKAMERICA CORP 8,937,600
20,900 BANKERS TR NY CORP 1,802,625
10,800 BARNETT BANKS INC 444,150
8,300 BOATMEN'S BANCSHARES 535,350
76,580 CHASE MANHATTAN CORP NEW 6,834,765
95,700 CITICORP 9,857,100
13,100 CORESTATES FINL CORP 679,563
42,543 DEAN WITTER DISCOVER & CO 2,818,474
2,900 FIFTH THIRD BANCORP COM 182,156
54,731 FIRST CHICAGO NBD CORP 2,941,791
20,250 FIRST UNION CORP 1,498,500
42,366 FLEET FINANCIAL GROUP INC 2,113,004
75,942 KEYCORP NEW 3,835,071
41,450 MBNA CORP 1,720,175
29,200 MELLON BANK CORP 2,073,200
57,600 MORGAN J P & CO 5,623,200
9,600 NATIONAL CITY CORP 430,800
21,700 NATIONSBANK CORP 2,121,175
20,800 NORWEST CORP 904,800
81,000 PNC FINANCIAL 3,047,625
10,900 SUNTRUST BANKS INC 536,825
3,600 U S BANCORP ORE 161,775
45,000 WACHOVIA CORP 2,542,500
16,400 WELLS FARGO & CO 4,423,900
FINANCE COMPANIES
130,700 AMERICAN EXPRESS CO 7,384,550
2,900 BENEFICIAL CORP 183,788
44,700 FED HOME LN MTG CORP 4,922,588
2,100 GREEN TREE FINANCIAL 81,112
5,400 HOUSEHOLD INTL CORP 498,150
HOLDING COMPANY
1,000 EASTERN ENTERPRISES 35,375
FIRE AND CASUALTY INSURANCE
46,400 CHUBB CORP 2,494,000
25,000 GENERAL RE CORP 3,943,750
33,500 SAFECO CORP 1,321,156
INSURANCE
21,213 AETNA INC 1,697,040
4,973 AETNA INC 6.25% CV PFD 394,732
12,300 ALEXANDER & ALEXANDER SVC 213,713
103,464 ALLSTATE CORPORATION 5,987,979
25,200 AMERICAN INTL GROUP 2,727,900
10,000 AON CORP 621,250
20,400 CIGNA CORP 2,787,150
22,900 ITT HARTFORD 1,545,750
24,300 MARSH & MCLENNAN CO. 2,527,200
8,200 MBIA INC 830,250
300 MGIC INVT CROP 22,800
24,000 ST PAUL COS INC 1,407,000
24,700 TORCHMARK CORP 1,247,350
19,200 TRANSAMERICA CORP 1,516,800
67,392 TRAVELERS GROUP INC 3,057,912
18,700 UNUM CORP. 1,351,075
28,300 USF & G CORP 590,762
LIFE INSURANCE
11,400 AMERICAN GENERAL CORP 465,975
3,750 JEFFERSON PILOT CORP 212,344
5,600 LINCOLN NATL CORP IND 294,000
32,400 PROVIDIAN CORP 1,664,550
1,750 USLIFE CORP 58,187
REAL ESTATE
22,300 AHMANSON H F & CO 724,750
62,900 FEDERAL NATL MTGE ASSN 2,343,025
2,300 GOLDEN WEST FINL CORP 145,188
8,300 GREAT WESTERN FINL 240,700
12,400 HFS 740,900
BROKERAGE
41,100 MERRILL LYNCH & CO 3,349,650
29,500 SALOMON INC 1,390,187
TOTAL FINANCIAL $134,093,103
METALS AND MINING 0.88%
ALUMINUM
500 ALCAN ALUM LTD-NEW 16,813
44,900 ALUMINUM CO AMER 2,862,375
3,100 REYNOLDS METALS CO 174,762
MINING
10,300 HOMESTAKE MNG CO 146,775
STEEL
5,682 ALLEGHENY TELEDYNE 130,686
5,700 ARMCO, INC. 23,513
33,300 BETHLEHEM STEEL CORP 299,700
4,000 INLAND STEEL INDUS INC 80,000
5,200 NUCOR CORP 265,200
1,700 TIMKEN CO 77,987
23,500 USX-US STEEL GROUP 737,313
26,100 WORTHINGTON INDS INC 473,062
OTHER METALS
2,200 ASARCO INC 54,725
400 BATTLE MOUNTAIN GOLD CL A 2,750
6,500 INCO LTD 207,188
23,910 NEWMONT MNG CORP 1,069,972
2,800 PHELPS DODGE CORP 189,000
MINERALS
600 BARRICK GOLD CORP 17,250
15,100 CYPRUS AMAX MINERALS CO 352,963
TOTAL METALS AND MINING $7,182,034
COLLECTIBLES & PRECIOUS MATERIALS 0.03%
GOLD-DIAMONDS-GEMS
8,400 FREEPORT-MCMORAN COPPER-B 250,950
TOTAL COLLECTIBLES & PRECIOUS MATERIALS $250,950
OIL-ENERGY 6.08%
OIL & GAS PRODUCERS
24,600 AMERADA HESS CORP 1,423,725
28,900 AMOCO CORP 2,326,450
6,600 COASTAL CORP 322,575
4,300 ENSERCH CORP 98,900
1,200 HELMERICH & PAYNE INC. 62,550
18,400 OCCIDENTAL PETROLEUM 430,100
7,200 ROWAN COS INC 162,900
4,800 SANTA FE ENERGY RES INC 66,600
55,906 UNION PACIFIC RESOURCES 1,635,250
70,900 USX-MARTHON GROUP COM NEW 1,692,737
NATURAL RESOURCES
47,200 DRESSER INDUS INC 1,463,200
1,525 EL PASO NATURAL GAS 77,023
3,300 KERR MCGEE CORP 237,600
3,400 LOUISIANA LD & EXPL CO 182,325
35,250 WILLIAMS COS INC-DEL 1,321,875
OIL EQUIPMENT, WELLS & SVCS
3,400 ASHLAND, INC 149,175
45,700 BAKER HUGHES INC 1,576,650
12,000 HALLIBURTON CO 723,000
4,000 WESTERN ATLAS INC 283,500
OIL - DOMESTIC
39,400 BURLINGTON RESOURCES INC 1,984,775
12,900 PENNZOIL CO 728,850
15,100 PHILLIPS PETE CO 668,175
65,600 UNOCAL CORP 2,665,000
OIL - INTERNATIONAL
48,100 ATLANTIC RICHFIELD CO 6,373,250
176,500 CHEVRON CORP 11,472,500
71,400 EXXON CORP. 6,997,200
22,700 MOBIL CORP 2,775,075
6,300 ORYX ENERGY COMPANY 155,925
4,500 SUN CO INC 109,688
15,100 TEXACO INC 1,481,688
TOTAL OIL-ENERGY $49,648,261
RETAIL 3.32%
DEPARTMENT STORES
30,100 CVS CORP 1,245,387
12,100 DAYTON HUDSON CORP 474,925
600 DILLARD DEPT STORES 18,525
4,400 HARCOURT GENERAL INC 202,950
26,600 K MART 275,975
84,900 MAY DEPT STORES CO 3,969,075
10,200 MERCANTILE STORES 503,625
14,000 PENNEY JC INC 682,500
102,600 SEARS ROEBUCK & CO 4,732,425
2,500 WAL MART STORES INC 57,187
40,700 WINN-DIXIE STORES INC 1,287,138
600 WOOLWORTH CORP 13,125
GROCERY
70,400 ALBERTSON'S INC 2,508,000
38,500 AMERICAN STORES CO 1,573,687
2,000 FLEMING COS 34,500
2,900 GIANT FOOD INC 100,050
1,700 GREAT ATLANTIC & PAC TEA 54,187
6,800 KROGER CO 316,200
23,700 SUPERVALUE INC 672,488
OTHER RETAIL
33,400 CIRCUIT CITY STORES 1,006,175
1,000 LONGS DRUG STORES CORP 49,125
10,300 LOWES COS INC 365,650
4,200 PEP BOYS-MAN, MO, JACK 129,150
32,677 PRICE/COSTCO INC 821,010
24,300 RITE AID CORP 965,925
23,000 TANDY CORP 1,012,000
85,000 TOYS R US 2,550,000
SPORTING GOODS
17,700 REEBOK INTL LTD 743,400
2,200 RUSSELL CORP 65,450
APPAREL
6,200 CHARMING SHOPPES INC 31,387
16,100 GAP INC 485,013
4,100 NORDSTROM INC 145,294
TOTAL RETAIL $27,091,528
UTILITIES 10.84%
ELECTRIC
48,500 AMERICAN ELEC PWR INC 1,994,563
8,200 BALTIMORE GAS & ELEC 219,350
54,700 CAROLINA PWR & LT CO 1,996,550
67,300 CENTRAL & SOUTH WEST CORP 1,724,562
21,185 CINERGY CORP 707,049
80,700 CON. EDISON NY INC 2,360,475
46,400 DOMINION RES INC-VA 1,786,400
11,400 DUKE POWER CO 527,250
22,300 EDISON INTERNATIONAL 443,213
73,700 ENTERGY CORP NEW 2,045,175
10,700 FPL GROUP INC 492,200
9,400 GPU INC 316,075
62,900 HOUSTON INDS INC 1,423,113
38,300 NIAGARA MOHAWK PWR 378,212
17,900 NORTHERN STS PWR CO 821,163
41,400 OHIO EDISON CO 941,850
23,700 PACIFIC GAS & ELEC 497,700
20,400 PACIFICORP 418,200
58,000 PECO ENERGY 1,464,500
300 PP&L RESOURCES INC 6,900
82,600 PUBLIC SVC ENTERPRISE GRP 2,250,850
156,400 SBC COMMUNICATIONS INC 8,093,700
174,400 SOUTHERN CO 3,945,800
63,200 UNICOM CORP 1,714,300
35,500 UNION ELECTRIC CO 1,366,750
GAS
13,500 COLUMBIA GAS SYS INC 858,938
32,100 CONSOLIDATED NATL GAS 1,773,525
14,900 ENRON CORP 642,562
14,100 NICOR INC 504,075
39,200 NORAM ENERGY CORP 602,700
7,200 ONEOK INC 216,000
7,500 PACIFIC ENTERPRISES 227,813
11,000 PANENERGY CORPORATION 495,000
9,300 PEOPLES ENERGY CORP 315,037
4,700 SONAT INC 242,050
400 TEXAS UTILITIES CO 16,300
TELEPHONE
92,800 A T & T 4,036,800
16,600 ALLTEL CORP 520,825
116,400 BELL ATLANTIC CORP 7,536,900
262,600 BELLSOUTH CORP 10,602,475
55,600 GTE CORP 2,529,800
141,000 NYNEX CORP 6,785,625
26,000 PACIFIC TELESIS GROUP 955,500
30,700 SPRINT CORP 1,224,162
147,100 U S WEST INC 4,743,975
156,700 U S WEST MEDIA GROUP 2,898,950
WASTE DISPOSAL
55,500 BROWNING FERRIS IND 1,456,875
45,500 LAIDLAW TRANS CL B NVTG 523,250
28,000 WMX TECHNOLOGIES INC 913,500
TOTAL UTILITIES $88,558,537
MISCELLANEOUS 10.03%
BROADCAST/COMMUNICATIONS
85,100 COMCAST CORP CL A SPL 1,515,844
38,200 GANNETT CO., INC 2,860,225
204,200 MCI COMMUNICATIONS 6,674,788
170,500 MOTOROLA INC 10,464,437
4,500 TCI SATELLITE ENT CL-A 44,437
45,000 TELE COMM. INC CL A 587,813
5,000 TELLABS INC 188,125
23,400 VIACOM INC CL B NON VTG 816,075
BUSINESS SERVICES
30,500 AMDAHL CORP 369,812
2,400 AUTODESK INC 67,200
76,400 AUTOMATIC DATA PROC 3,275,650
4,900 BLOCK H&R INC 142,100
15,100 COMPUTER SCIENCES CORP 1,240,088
8,100 DONNELLEY RR & SONS 254,137
5,000 DOW JONES & CO 169,375
62,100 DUN & BRADSTREET 1,474,875
15,400 E M C CORP 510,125
18,600 ECOLAB INC 699,825
14,400 FIRST DATA CORP 525,600
2,900 GRAINGER W W INC 232,725
3,800 INTERPUBLIC GROUP COS 180,500
3,300 SAFETY KLEEN CORP 54,038
3,900 SCIENTIFIC-ATLANTA 58,500
13,100 SERVICE CORP INTL 366,800
1,900 THREE COM CORP 139,412
FOOD SERVICE
42,000 DARDEN RESTAURANTS INC 367,500
1,200 LUBYS CAFETERIAS INC 23,850
188,500 MCDONALDS CORP 8,529,625
40,900 PHILLIP MORRIS CO INC 4,606,362
1,500 RYANS FAMILY STEAK HOUSE 10,313
11,500 SHONEY'S INC 80,500
6,500 WENDYS INTL INC 133,250
FOREIGN
1,100 ROYAL DUTCH PETE CO NEW 187,825
HOTEL & MOTEL
21,600 HILTON HOTELS CORP 564,300
22,900 ITT CORP NEW 993,287
14,200 MARRIOTT INTL CORP 784,550
HOUSING
1,000 PULTE CORP 30,750
MED SERV & SUPPLIES
30,500 BIOMET INC 461,312
300 HUMANA INC 5,738
5,000 MANOR CARE INC 135,000
56,400 MEDTRONIC INC 3,835,200
1,300 SHARED MEDICAL SYS CORP 64,025
4,550 ST. JUDE MED INC. 193,944
REAL ESTATE
2,000 CENTEX CORP 75,250
TRANSPORTATION
4,100 AMR CORP 361,312
10,303 BURLINGTON NRTHN SANTA FE 889,922
10,700 CALIBER SYSTEMS INC 205,975
4,000 CONRAIL INC 398,500
57,600 CSX CORP 2,433,600
2,500 DELTA AIR LINES INC 177,187
7,100 FEDERAL EXPRESS CORP 315,950
2,200 FLEETWOOD ENTERPRISES 60,500
7,400 NORFOLK SOUTHERN CORP 647,500
9,750 PACCAR INC 663,000
4,800 RYDER SYSTEMS INC 135,000
7,820 SANTA FE PACIFIC GOLD 120,232
38,100 SOUTHWEST AIRLINES CO 842,962
18,900 U S AIR GROUP 441,788
58,500 UNION PACIFIC CORP 3,517,312
MISCELLANEOUS
0 ACNIELSEN CORP 5
62,100 COGNIZANT CORP 2,049,300
19,300 MALLINCKRODT (NEW) 851,613
400 SCHLUMBERGER 39,950
71,400 WARNER-LAMBERT 5,355,000
TELECOMMUNICATIONS
137,600 AMERITECH CORP NEW 8,342,000
2,000 HARRIS CORP-DEL 137,250
TOTAL MISCELLANEOUS $81,980,945
UTILITIES 0.15%
ELECTRIC
38,600 DTE ENERGY COMPANY 1,249,675
TOTAL UTILITIES $1,249,675
TOTAL COMMON STOCK $813,994,119
OTHER
CASH EQUIVALENTS 0.56%
STIFS/MONEY MARKETS
4,586,568 AIM SHORT TERM INV SER 2 4,586,568
$4,586,568
TOTAL OTHER $4,586,568
TOTAL INVESTMENTS - (cost $503,285,078) 100.00% $818,580,687
See accompanying notes to financial statements
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