Report of Independent Auditors
Board of Directors and Stockholder
Select Asset Fund, Series 1, Inc.
We have audited the accompanying statement of assets and
liabilities, including the portfolio of investments, of
Select Asset Fund, Series 1, Inc. as of December 31, 1997,
and the related statement of operations, the statement of
changes in net assets, and the financial highlights for the
year then ended. 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
audit. The statement of changes in net assets of Select
Asset Fund, Series 1, Inc. for the year ended December 31,
1996, and the financial highlights for each of the three
years in the period then ended and for the period from
March 4, 1993 (commencement of operations) to December 31,
1993 were audited by other auditors whose report dated
February 14, 1997, expressed an unqualified opinion on those
statements.
We conducted our audit 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,
1997, by correspondence with the custodian. 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 audit provides a reasonable basis for our
opinion.
In our opinion, the 1997 financial statements and financial
highlights referred to above present fairly, in all material
respects, the financial position of Select Asset Fund,
Series 1, Inc. at December 31, 1997, the results of its
operations, the changes in its net assets, and its financial
highlights for the year then ended, in conformity with
generally accepted accounting principles.
Ernst & Young LLP
Detroit, Michigan
January 23, 1998
Select Asset Fund, Series 1, Inc.
Statement of Assets and Liabilities
December 31, 1997
Assets
Investments, at fair value (cost $477,797,673) $898,242,346
Cash 899,425
Dividends receivable 1,131,996
Prepaid expenses 6,833
Total assets 900,280,600
Liabilities
Common stock dividend payable 144,682,320
Accrued expenses 160,151
Notes payable (Note 5) 94,900
Accrued interest expense 2,096
Total liabilities 144,939,467
Net assets $755,341,133
Net assets are represented by:
Common stock at par value, $.01 per share, 199,991,500 shares
authorized, 50,169,191.77 shares issued and outstanding $501,692
Additional paid-in capital 334,394,768
Net unrealized appreciation of investments 420,444,673
Net assets $755,341,133
Net asset value per common shares outstanding $15.06
See accompanying notes.
Select Asset Fund, Series 1, Inc.
Statement of Operations
For the year ended December 31, 1997
Investment income:
Dividend income $18,226,776
Interest income 195,648
Total investment income 18,422,424
Expenses:
Administration fee (Note 2) 600,843
Investment management fee (Note 2) 100,006
Broker dealer fee on AMPS 838,944
Rating agencies fees 72,577
Legal fees 35,277
Independent accountants 31,159
Auction agent fee 21,726
Insurance 15,014
Directors fees and expenses 10,875
Interest expense 7,603
Other expenses 1,848
Total expenses 1,735,872
Net investment income 16,686,552
Net realized and unrealized gains on investments:
Net realized gain on investments 142,877,298
Change in net unrealized appreciation of investments 105,149,064
Net increase in net assets resulting from operations $264,712,914
See accompanying notes.
Select Asset Fund, Series 1, Inc.
Statement of Changes in Net Assets
For the years ended December 31, 1997 and 1996
1997 1996
From operations:
Net investment income $16,686,552 $15,211,322
Net realized gain on investments 142,877,298 3,603,734
Net change in unrealized appreciation
of investments 105,149,064 131,738,652
Increase in net assets resulting from operations 264,712,914 150,553,708
Dividends from net investment income:
Auction market preferred stock (15,743,802) (10,153,880)
Common stock (942,750) (5,057,442)
(16,686,552) (15,211,322)
Distributions from net realized gains:
Common stock (144,682,320) (1,798,713)
Decrease in net assets resulting from
distributions to stockholders (161,368,872) (17,010,035)
Increase (decrease) from capital transactions:
Issuance of auction market preferred stock 100,000,000 300,000,000
Issuance of common stock 421,000,071 -
Redemption of auction market preferred
stock (400,000,000) -
Distribution of capital to common
stockholder (280,010,783) (265,875,952)
(159,010,712) 34,124,048
Total increase (decease) in net assets (55,666,670) 167,667,721
Net assets:
Beginning of year 811,007,803 643,340,082
End of year $755,341,133 $811,007,803
See accompanying notes.
Select Asset Fund, Series 1, Inc.
Notes to Financial Statements
December 31, 1997
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.
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.
Security Transactions
Security transactions are accounted for on a trade date plus
one business day basis which does not differ materially from
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.
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
stockholders. Therefore, no provision for Federal income
tax is required.
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 realized capital gains, if any, are generally
distributed annually.
The character of income and gains distributed is determined
in accordance with income tax regulations which may differ
from generally accepted accounting principles. Amounts
distributed in excess of taxable income and net realized
capital gains, if any, are considered a return of capital.
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.
In February 1997, the Fund issued 1,295,889.3 shares of
common stock for $421,000,071.
For the years ended December 31, 1997 and 1996, dividend and
capital gain distributions to the common stockholder were
$145,625,070 and $6,856,155, respectively.
During the years ended December 31, 1997 and 1996, return of
capital distributions to the common stockholder amounted to
approximately $280,000,000 and approximately $265,900,000,
respectively.
Comerica Bank serves as both custodian and administrator for
the Fund and receives a fee based on 0.06% of net assets
outstanding at the end of the fiscal 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, accrued and paid 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, 1997 were $121,436,716 and
$290,536,986, respectively.
As of December 31, 1997, the net unrealized appreciation of
$420,444,673 is comprised of aggregate gross unrealized
appreciation and depreciation of investments of $429,309,674
and $8,865,001, respectively.
4. Auction Market Preferred Stock ("AMPS")
In February 1997 and January 1996, the Fund issued $100
million and $300 million of AMPS, respectively.
During 1997, the Fund redeemed 1000 shares of Series A, 1000
shares of Series B, 1000 shares of Series C and 1000 shares
of Series D AMPS.
Each series of AMPS was 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. Dividends were
cumulative from the date of original issue and were paid
every 49 days at a rate set through Dutch Auction. The Fund
was subject to certain asset coverage tests, and the AMPS
were subject to mandatory redemption if the tests were not
met.
In addition, the AMPS were subject to mandatory redemption
if the Fund ceased to qualify as a regulated investment
company or if Merrill Lynch, Pierce, Fenner & Smith
Incorporated ceased to be the broker dealer. The
liquidation value under mandatory redemption of the AMPS was
$100,000 per share plus accumulated and unpaid dividends.
5. Notes Payable
As of December 31, 1997, the Fund had $94,900 of principal
notes outstanding to investors. The notes are due on March
4, 2018 and 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, 1997, the
Fund was paying interest at 8.20% per annum.
6. Year 2000 (Unaudited)
Like other mutual funds, financial and business
organizations and individuals around the world, the Fund
could be adversely affected if the computer systems used by
the advisor/administrator and other service providers do not
properly process and calculate date-related information and
data from and after January 1, 2000. This is commonly known
as the "Year 2000 Problem". The advisor/administrator is
taking steps that it believes are reasonably designed to
address the Year 2000 Problem with respect to computer
systems that it uses and to obtain reasonable assurances
that comparable steps are being taken by the Fund's other
major service providers. At this time, however, there can
be no assurance that these steps will be sufficient to avoid
any adverse impact to the Fund.
Select Asset Fund, Series 2, Inc.
Financial Hightlights
Year ended December 31,
1997 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 0.33 0.31 0.45 0.49 0.37
Net realized and unrealized gains
(losses) on investments 4.67 2.77 5.58 (0.36) 0.50
Total from investment operations 5.00 3.08 6.03 0.13 0.87
Capital contribution 8.39 - - - -
Less distributions from net investment income:
Common stock equivalent of dividends
paid to AMPS holders (0.31) (0.21) (0.37) (0.25) (0.17)
Dividends paid to common stock
holder (0.02) (0.10) (0.08) (0.37) (0.04)
Less distributions from net realized gains:
Common stock equivalent of
distributions to AMPS holders - - - (0.05) -
Distribution to common stock-
holders (2.88) (0.03) (0.43) (0.05) -
Less distributions from paid-in capital:
Distribution of capital to
common stockholder (5.58) (5.44) (2.06) - -
Total distributions (8.79) (5.78) (2.94) (0.72) (0.21)
Net asset value, end of period $15.06 $10.46 $13.16 $10.07 $10.66
Total investment return 32.64% 23.40% 59.88% 1.22% 6.99%(2)
Ratios/supplemental data:
Net assets at end of period $755,341 $811,008 $643,340 $556,056 $574,071
Average net assets (000s) $1,010,072 $722,492 $603,102 $692,062 $195,888
Ratio of expenese to average net
assets applicable to common
stock (4) 0.17% 0.21% 0.16% 0.15% 0.34%(3)
Ratio of net investment income to
average net assets applicable
to common stock(4) 1.65% 2.11% 2.39% 2.17% 5.12%(3)
Portfolio turnover 12.02% 3.34% 16.36% 9.83% 1.00%
Average commissions paid on equity
securities transactions (5) $0.04 $0.01 - - -
Asset coverage per AMPS share,
end of period - $270,336 - $222,422 $229,629
AMPS shares outstanding - 3,000 - 2,500 2,500
Asset coverage for notes
payable, end of period 796034% 837053% 657,40% 568084% 586485%
Notes payable, end of
period $94,900 $96,900 $97,900 $97,900 $97,900
(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) Ratios are calculated on the basis of income and expenses applicable to
both the common and preferred stock relative to the average net asssets
of the common stockholder. Ratios do not reflect the effect of dividend
payments to AMPS holders. Ratios from 1996 and years prior have been
restated to exclude the effect of dividend payments to 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.
SELECT ASSET FUND, SERIES 1, INC.
Portfolio of Investments
December 31, 1997
No. of
Shares Market Value
COMMON STOCK
BUILDING AND CONSTRUCTION 1.67%
BUILDING MATERIALS
23,400 CHAMPION INTL CORP 1,060,312.50
7,700 GEORGIA PACIFIC CORP 467,775.00
84,800 HOME DEPOT 4,992,600.00
37,300 LOUISIANA PAC CORP 708,700.00
40,100 MASCO CORP 2,040,087.50
4,400 OWENS CORNING 150,150.00
PAINT AND FLAT GLASS
35,900 PPG INDUS INC 2,050,787.50
13,700 SHERWIN WILLIAMS CO 380,175.00
INDUSTRIAL CHEMICALS
23,600 GREAT LAKES CHEM CRP 1,059,050.00
11,800 ROHM & HAAS CO 1,129,850.00
MISCELLANEOUS
21,200 FLUOR CORP 792,350.00
4,000 FOSTER WHEELER CORP 108,250.00
3,100 KAUFMAN & BROAD HOME CORP 69,556.25
TOTAL BUILDING AND CONSTRUCTION $15,009,643.75
CHEMICALS AND DRUGS 11.69%
CHEMICALS
20,700 AIR PRODS & CHEMS INC 1,702,575.00
44,900 AMGEN INC 2,430,212.50
20,500 BOSTON SCIENTIFIC CORP 940,437.50
14,200 DOW CHEMICAL CO 1,441,300.00
84,900 DUPONT DENEMOURS & CO 5,099,306.25
14,950 EASTMAN CHEMICAL CO 890,459.38
13,700 ENGLEHARD CORP 238,037.50
3,000 FMC CORP-NEW 201,937.50
7,900 GRACE W. R. & CO. (NEW) 635,456.25
5,000 HERCULES INC 250,312.50
102,800 MONSANTO CO 4,317,600.00
10,500 MORTON INTERNATIONAL INC 360,937.50
5,600 NALCO CHEM CO 221,550.00
14,400 PRAXIAIR INC 648,000.00
8,300 SIGMA-ALDRICH CORP 329,925.00
9,100 UNION CARBIDE CORP 390,731.25
DRUGS
127,300 ABBOT LABS 8,346,106.25
20,400 ALZA CORP CL A 648,975.00
49,200 AMERICAN HOME PRODUCTS 3,763,800.00
73,900 BRISTOL MYERS SQUIBB CO 6,992,787.50
213,000 JOHNSON & JOHNSON 14,031,375.00
84,700 LILLY ELI & CO 5,897,237.50
103,800 MERCK & CO., INC 11,028,750.00
99,400 PFIZER INC 7,411,512.50
64,170 PHARMACIA & UPJOHN INC 2,350,226.25
136,200 SCHERING PLOUGH 8,461,425.00
93,700 WALGREEN CO 2,939,837.50
COSMETICS
9,500 ALBERTO CULVER CO CL B 304,593.75
9,600 AVON PRODUCTS INC 589,200.00
30,400 INTL FLAVORS & FRAGRANCES 1,565,600.00
HEALTH PRODUCTS/CARE
16,500 ALLERGAN INC 553,781.25
6,000 BARD CR INC 187,875.00
13,200 BAUSCH & LOMB 523,050.00
21,500 BAXTER INTL INC. 1,084,406.25
9,300 BECTON DICKINSON & CO 465,000.00
69,450 COLUMBIA/HCA HEALTHCARE 2,057,456.25
21,900 GUIDANT CORP 1,363,275.00
43,400 TENET HEALTHCARE CORP 1,437,625.00
5,400 U S SURGICAL 158,287.50
54,900 UTD HEALTHCARE CORP 2,727,843.75
TOTAL CHEMICALS AND DRUGS $104,988,804.38
CONSUMER PRODUCTS 17.19%
CONFECTIONS AND BEVERAGES
36,000 ANHEUSER-BUSCH COS 1,584,000.00
6,100 BROWN FORMAN INC CL B 337,025.00
526,200 COCA COLA CO 35,058,075.00
32,500 NEWELL CO. 1,381,250.00
260,200 PEPSICO INC 9,481,037.50
CONTAINERS
7,700 AVERY DENNISON CORP 344,575.00
3,200 BALL CORP 113,000.00
20,300 CROWN CORK & SEAL INC 1,017,537.50
14,700 STONE CONTAINER 153,431.25
4,700 TEMPLE INLAND INC 245,868.75
PACKAGED FOOD
104,214 ARCHER DANIELS MIDLAND CO 2,260,141.13
80,300 CAMPBELL SOUP CO 4,667,437.50
90,200 CONAGRA 2,959,687.50
3,000 COORS ADOLPH CO CL B 99,750.00
11,600 CPC INTL INC 1,249,900.00
34,100 GENERAL MILLS INC 2,442,412.50
62,200 HEINZ H J CO 3,160,537.50
11,100 HERSHEY FOODS CORP 687,506.25
67,600 KELLOGG CO 3,354,650.00
14,500 PIONEER HI BRED INTL INC 1,555,125.00
22,900 QUAKER OATS CO 1,207,975.00
9,300 RALSTON-PURINA GROUP 864,318.75
61,000 SARA LEE CORP 3,435,062.50
13,500 SYSCO CORP 615,093.75
22,200 WRIGLEY WM JR CO 1,766,287.50
PAPER
6,700 AMERICAN GREETINGS CL A 262,137.50
4,400 BEMIS CO 193,875.00
8,000 BOISE CASCADE CORP 242,000.00
8,000 FORT JAMES CORPORATION 306,000.00
28,742 INTERNATIONAL PAPER CO 1,239,498.75
43,480 KIMBERLY CLARK CORP 2,144,107.50
23,000 MEAD CORP 644,000.00
2,200 POTLATCH CORP 94,600.00
6,300 UNION CAMP CORP 338,231.25
50,400 WEYERHAEUSER CO 2,472,750.00
3,400 WILLIAMETTE INDUSTRIAL 109,437.50
PRINTING AND PUBLISHING
3,100 JOSTENS INC 71,493.75
18,800 KNIGHT-RIDDER INC 977,600.00
17,600 MCGRAW-HILL COMPANIES INC 1,302,400.00
11,000 MEREDITH CORP 392,562.50
19,800 NEW YORK TIMES CO CL A 1,309,275.00
68,400 TIME WARNER INC 4,240,800.00
24,100 TIMES MIRROR CO CL A NEW 1,482,150.00
22,900 TRIBUNE CO 1,425,525.00
8,450 WESTVACO CORP 265,646.88
RECREATIONAL EQUIPMENT
8,300 BRUNSWICK CORP 251,593.75
9,550 HARRAH'S ENTERTAINMENT 180,256.25
8,950 HASBRO INC 281,925.00
33,356 MATTEL INC 1,242,511.00
SOAPS
7,900 CLOROX CO 624,593.75
OTHER CONSUMER PRODUCTS
50,100 COLGATE PALMOLIVE CO 3,682,350.00
10,000 FORTUNE BRANDS INC 370,625.00
66,200 GILLETTE CO 6,648,962.50
235,900 PROCTER & GAMBLE CO 18,827,768.75
10,900 RUBBERMAID INC 272,500.00
2,300 SPRINGS INDUS INC 119,600.00
15,600 TUPPERWARE CORPORATION 434,850.00
13,800 UST INC 509,737.50
8,200 WHITMAN CORP 213,712.50
PHOTOGRAPHY
53,900 EASTMAN KODAK CO 3,277,793.75
3,800 POLAROID CORP 185,012.50
HOUSEHOLD FURN/APPLIANCES
4,500 ARMSTRONG WORLD IND 336,375.00
7,400 MAYTAG CO 276,112.50
RETAIL
5,800 FEDERATED DEPT STORES NEW 249,762.50
41,900 TJX COS INC (NEW) 1,440,312.50
APPAREL
1,800 FRUIT OF THE LOOM CL A 46,125.00
67,743 LIMITED INC 1,727,446.50
19,700 LIZ CLAIBORNE INC 823,706.25
53,000 NIKE INC CL B 2,080,250.00
11,000 V F CORP 505,312.50
BROADCASTING
99,324 DISNEY WALT CO 9,839,283.75
2,700 KING WORLD INC 155,925.00
MISCELLANEOUS
9,900 PALL CORP 204,806.25
TOTAL CONSUMER PRODUCTS $154,364,985.51
DURABLE GOODS 20.07%
AEROSPACE-AIRCRAFT
142,368 BOEING CO 6,967,134.00
5,400 GENERAL DYNAMICS CORP 466,762.50
13,020 LOCKHEED MARTIN CORP 1,282,470.00
5,900 NORTHROP GRUMMAN CORP 678,500.00
32,300 TEXTRON INC 2,018,750.00
40,700 UNITED TECHNOLOGIES CORP 2,963,468.75
AGRICULTURAL MACHINERY
27,100 CATERPILLAR INC 1,316,043.75
43,800 DEERE & CO 2,554,087.50
AUTOMOBILE AND PARTS
16,700 AUTOZONE INC 484,300.00
101,400 CHRYSLER CORP 3,568,012.50
30,700 COOPER TIRE & RUBBER 748,312.50
4,100 CUMMINS ENGINE INC 242,156.25
9,800 DANA CORP 465,500.00
6,600 EATON CORP 589,050.00
16,900 ECHLIN INC 611,568.75
99,800 FORD MTR CO 4,859,012.50
56,400 GENERAL MTRS CORP 3,419,250.00
13,950 GENUINE PARTS CO 473,428.13
13,660 NAVISTAR INTL CORP (NEW) 338,938.75
16,500 TENNECO INC (NEW) 651,750.00
19,400 TRW INC 1,035,475.00
ELECTRICAL
30,320 AMP INC 1,273,440.00
78,500 EMERSON ELEC CO 4,430,343.75
20,300 HONEYWELL INC 1,390,550.00
8,000 RAYCHEM CORP 344,500.00
ELECTRONICS
27,700 ADVANCED MICRO-DEVICES 496,868.75
31,400 APPLIED MATLS INC 945,925.00
183,450 CISCO SYS INC 10,227,337.50
13,000 E G & G INC 270,562.50
239,100 GENERAL ELECTRIC CO 17,543,962.50
5,500 GENERAL SIGNAL CORP 232,031.25
114,300 HEWLETT PACKARD CO 7,143,750.00
223,300 INTEL CORP 15,686,825.00
3,400 LSI LOGIC CORP 67,150.00
18,200 MICRON TECH 473,200.00
10,800 NATIONAL SEMICONDUCTOR 280,125.00
7,400 NATIONAL SVC INDS 366,762.50
75,412 ORACLE CORPORATION 1,682,630.25
3,500 PERKIN ELMER CORP 248,718.75
3,597 RAYTHEON CO CL A 177,358.72
44,700 RAYTHEON CO CL B 2,257,350.00
82,200 SEAGATE TECHNOLOGY INC 1,582,350.00
3,150 TEKTRONIX INC 125,015.63
32,600 TEXAS INSTRUMENTS 1,467,000.00
8,400 THOMAS & BETTS CORP 396,900.00
INDUSTRIAL MACHINERY
4,200 AEROQUIP-VICKERS INC 206,062.50
1,900 BRIGGS & STRATTON CORP 92,268.75
7,500 CASE CORPORATION 453,281.25
3,400 CINCINNATI MILACRON INC 88,187.50
23,300 COOPER INDUS INC 1,141,700.00
17,600 DOVER CORP 635,800.00
13,200 HARNISCHFEGER INDUS INC 466,125.00
27,200 INGERSOLL RAND CO 1,101,600.00
600 NACCO INDUS INC CL A 64,312.50
30,700 ROCKWELL INTL CORP W/I 1,604,075.00
OFFICE EQUIPMENT AND SUPPLIES
15,300 DELUXE CORP 527,850.00
3,400 HARLAND JOHN H CO 71,400.00
30,100 IKON OFFICE SOLUTIONS 846,562.50
26,300 PITNEY BOWES INC 2,365,356.25
29,600 XEROX CORP. 2,184,850.00
RUBBER
5,303 GOODRICH B F CO 219,726.49
28,100 GOODYEAR TIRE & RUBBER 1,787,862.50
OTHER DURABLE GOODS
19,300 CORNING INCORPORATED 716,512.50
3,600 CRANE CO 156,150.00
20,500 ILLINOIS TOOL WORKS 1,232,562.50
7,800 MILLIPORE CORP 264,712.50
41,600 MINNESOTA MNG & MFR 3,413,800.00
17,200 STANLEY WORKS 811,625.00
COMPUTERS AND SOFTWARE
33,400 APPLE COMPUTER INC 438,375.00
9,700 BAY NETWORKS INC 247,956.25
6,400 CABLETRON SYSTEMS INC 96,000.00
5,200 CERIDIAN CORP 238,225.00
115,030 COMPAQ COMPUTER CORP 6,492,005.63
41,362 COMPUTER ASSOC INTL INC 2,187,015.75
5,300 DATA GENL CORP 92,418.75
55,100 DELL COMPUTER CORP 4,628,400.00
11,500 DIGITAL EQUIP CORP 425,500.00
55,800 IBM CORP 5,834,587.50
88,600 MICROSOFT CORP 11,451,550.00
21,500 NEXTLEVEL SYSTEMS INC 384,312.50
91,500 NOVELL INC 686,250.00
19,900 SILICON GRAPHICS 247,506.25
29,000 SUN MICROSYSTEMS 1,156,375.00
14,900 UNISYS CORP 206,737.50
HOUSEHOLD FURN/APPLIANCES
7,100 WHIRLPOOL CORP 390,500.00
TELECOMMUNICATIONS
53,300 AIRTOUCH COMMUNICATIONS 2,215,281.25
11,687 ANDREW CORP 280,488.00
14,900 DSC COMMUNICATIONS 357,600.00
64,774 LUCENT TECHNOLOGIES INC 5,173,823.25
149,200 WORLDCOM INC 4,513,300.00
MISCELLANEOUS
102,800 ALLIED-SIGNAL INC 4,002,775.00
15,000 BLACK & DECKER CORP 585,937.50
15,800 ITT INDUSTRIES INC 495,725.00
7,000 JOHNSON CTLS INC 334,250.00
9,175 PARKER HANNIFIN CORP 420,903.13
5,550 SNAP ON TOOLS CORP 242,118.75
25,000 THERMO ELECTRON CORP 1,112,500.00
TOTAL DURABLE GOODS $180,235,427.73
FINANCIAL 16.84%
BANKS
59,337 BANC ONE CORP 3,222,740.81
48,200 BANK NEW YORK INC 2,786,562.50
115,800 BANKAMERICA CORP 8,453,400.00
11,700 BANKBOSTON CORPORATION 1,099,068.75
12,200 BANKERS TR NY CORP 1,371,737.50
16,300 BARNETT BANKS INC 1,171,562.50
49,780 CHASE MANHATTAN CORP NEW 5,450,910.00
63,100 CITICORP 7,978,206.25
15,700 CORESTATES FINL CORP 1,256,981.25
8,400 FIFTH THIRD BANCORP COM 686,700.00
35,831 FIRST CHICAGO NBD CORP 2,991,888.50
49,400 FIRST UNION CORP 2,531,750.00
32,766 FLEET FINANCIAL GROUP INC 2,455,402.13
53,042 KEYCORP NEW 3,756,036.63
66,662 MBNA CORP 1,820,705.88
40,700 MELLON BANK CORP 2,467,437.50
38,300 MORGAN J P & CO 4,323,112.50
14,800 NATIONAL CITY CORP 973,100.00
61,930 NATIONSBANK CORP 3,766,118.13
56,000 NORWEST CORP 2,163,000.00
50,500 PNC FINANCIAL 2,881,656.25
200 REPUBLIC NEW YORK CORP 22,837.50
15,400 SUNTRUST BANKS INC 1,099,175.00
7,277 U.S. BANCORP 814,569.19
38,701 WACHOVIA CORP 3,139,618.63
12,100 WELLS FARGO & CO 4,107,193.75
FINANCE COMPANIES
87,800 AMERICAN EXPRESS CO 7,836,150.00
4,500 BENEFICIAL CORP 374,062.50
108,700 FED HOME LN MTG CORP 4,558,606.25
5,600 GREEN TREE FINANCIAL 146,650.00
8,500 HOUSEHOLD INTL CORP 1,084,281.25
HOLDING COMPANY
1,700 EASTERN ENTERPRISES 76,500.00
75,466 MS, DW, DISCOVER & CO 4,461,927.25
FIRE AND CASUALTY INSURANCE
30,800 CHUBB CORP 2,329,250.00
16,700 GENERAL RE CORP 3,540,400.00
27,100 SAFECO CORP 1,321,125.00
INSURANCE
20,213 AETNA INC 1,426,279.81
62,064 ALLSTATE CORPORATION 5,640,066.00
52,100 AMERICAN INTL GROUP 5,665,875.00
17,100 AON CORP 1,002,487.50
13,400 CIGNA CORP 2,319,037.50
6,500 CINCINNATI FINANCIAL CORP 914,875.00
23,700 CONSECO INC 1,076,868.75
15,700 HARTFORD FINANCIAL SVCS 1,468,931.25
3,100 LOEWS CORP 328,987.50
36,700 MARSH & MCLENNAN CO. 2,736,443.75
13,200 MBIA INC 881,925.00
41,000 MGIC INVT CROP 2,726,500.00
17,200 ST PAUL COS INC 1,411,475.00
36,200 TORCHMARK CORP 1,522,662.50
12,200 TRANSAMERICA CORP 1,299,300.00
131,740 TRAVELERS GROUP INC 7,097,492.50
22,900 UNUM CORP. 1,245,187.50
16,300 USF & G CORP 359,618.75
LIFE INSURANCE
17,797 AMERICAN GENERAL CORP 962,150.31
5,350 JEFFERSON PILOT CORP 416,631.25
8,500 LINCOLN NATL CORP IND 664,062.50
24,400 PROVIDIAN FINL CORP W/I 1,102,575.00
REAL ESTATE
80,000 FEDERAL NATL MTGE ASSN 4,565,000.00
SAVINGS & LOANS
9,700 AHMANSON H F & CO 649,293.75
4,100 GOLDEN WEST FINL CORP 401,031.25
BROKERAGE
54,800 MERRILL LYNCH & CO 3,996,975.00
MISCELLANEOUS
13,050 WASHINGTON MUTUAL 832,753.13
TOTAL FINANCIAL $151,234,908.90
METALS AND MINING 0.83%
ALUMINUM
30,400 ALUMINUM CO AMER 2,139,400.00
5,300 REYNOLDS METALS CO 318,000.00
MINING
16,200 HOMESTAKE MNG CO 143,775.00
STEEL
23,982 ALLEGHENY TELEDYNE 620,534.25
10,300 ARMCO, INC. 50,856.25
33,300 BETHLEHEM STEEL CORP 287,212.50
6,500 INLAND STEEL INDUS INC 111,312.50
8,500 NUCOR CORP 410,656.25
5,100 TIMKEN CO 175,312.50
22,800 USX-US STEEL GROUP 712,500.00
24,600 WORTHINGTON INDS INC 405,900.00
OTHER METALS
4,000 ASARCO INC 89,750.00
97,700 BATTLE MOUNTAIN GOLD CL A 573,987.50
29,723 NEWMONT MNG CORP 873,113.13
4,600 PHELPS DODGE CORP 286,350.00
MINERALS
16,200 CYPRUS AMAX MINERALS CO 249,075.00
TOTAL METALS AND MINING $7,447,734.88
COLLECTIBLES & PRECIOUS MATERIALS 0.02%
GOLD-DIAMOND-GEMS
12,500 FREEPORT-MCMORAN COPPER-B 196,875.00
TOTAL COLLECTIBLES & PRECIOUS MATERIALS $196,875.00
OIL-ENERGY 6.05%
OIL & GAS PRODUCERS
16,300 AMERADA HESS CORP 894,462.50
37,600 AMOCO CORP 3,200,700.00
9,100 COASTAL CORP 563,631.25
1,900 HELMERICH & PAYNE INC. 128,962.50
26,000 OCCIDENTAL PETROLEUM 762,125.00
8,600 ROWAN COS INC 262,300.00
47,806 UNION PACIFIC RESOURCES 1,159,295.50
45,800 USX-MARTHON GROUP COM NEW 1,545,750.00
NATURAL RESOURCES
31,800 DRESSER INDUS INC 1,333,612.50
4,100 KERR MCGEE CORP 259,581.25
5,200 ONEOK INC 209,950.00
45,500 WILLIAMS COS INC-DEL 1,291,062.50
OIL EQUIPMENT, WELLS & SVCS
5,400 ASHLAND, INC 289,912.50
31,000 BAKER HUGHES INC 1,352,375.00
27,600 HALLIBURTON CO 1,433,475.00
5,200 WESTERN ATLAS INC 384,800.00
OIL - DOMESTIC
36,177 BURLINGTON RESOURCES INC 1,621,181.81
9,200 PENNZOIL CO 614,675.00
20,200 PHILLIPS PETE CO 982,225.00
51,000 UNOCAL CORP 1,979,437.50
OIL - INTERNATIONAL
68,200 ATLANTIC RICHFIELD CO 5,464,525.00
121,600 CHEVRON CORP 9,363,200.00
187,900 EXXON CORP. 11,497,131.25
59,800 MOBIL CORP 4,316,812.50
8,400 ORYX ENERGY COMPANY 214,200.00
5,800 SUN CO INC 243,962.50
40,100 TEXACO INC 2,180,437.50
MISCELLANEOUS
28,300 FIRSTENERGY CORP 820,700.00
TOTAL OIL-ENERGY $54,370,483.56
RETAIL 3.43%
DEPARTMENT STORES
18,300 CVS CORP 1,172,343.75
18,600 DAYTON HUDSON CORP 1,255,500.00
6,500 DILLARDS INCORPORATED 229,125.00
5,700 HARCOURT GENERAL INC 312,075.00
39,600 K MART 457,875.00
54,900 MAY DEPT STORES CO 2,892,543.75
7,000 MERCANTILE STORES 426,125.00
20,900 PENNEY JC INC 1,260,531.25
72,000 SEARS ROEBUCK & CO 3,258,000.00
68,300 WAL MART STORES INC 2,693,581.25
26,700 WINN-DIXIE STORES INC 1,166,456.25
4,400 WOOLWORTH CORP 89,650.00
GROCERY
46,100 ALBERTSON'S INC 2,183,987.50
43,700 AMERICAN STORES CO 898,581.25
5,600 GIANT FOOD INC 188,650.00
2,900 GREAT ATLANTIC & PAC TEA 86,093.75
21,400 KROGER CO 790,462.50
15,000 SUPERVALUE INC 628,125.00
OTHER RETAIL
25,200 CIRCUIT CITY STORES 896,175.00
31,777 COSTCO COMPANIES INC 1,418,048.63
2,700 LONGS DRUG STORES CORP 86,737.50
18,500 LOWES COS INC 882,218.75
7,400 PEP BOYS-MAN, MO, JACK 176,675.00
14,100 RITE AID CORP 827,493.75
31,200 TANDY CORP 1,203,150.00
60,100 TOYS R US 1,889,393.75
SPORTING GOODS
14,400 REEBOK INTL LTD 414,900.00
3,100 RUSSELL CORP 82,343.75
APPAREL
10,100 CHARMING SHOPPES INC 47,343.75
29,850 GAP INC 1,057,809.38
6,000 NORDSTROM INC 362,250.00
MISCELLANEOUS
33,500 TYCO INTERNATIONAL LTD 1,509,593.75
TOTAL RETAIL $30,843,839.26
UTILITIES 10.59%
ELECTRIC
33,700 AMERICAN ELEC PWR INC 1,739,762.50
12,500 BALTIMORE GAS & ELEC 425,781.25
44,800 CAROLINA PWR & LT CO 1,901,200.00
67,300 CENTRAL & SOUTH WEST CORP 1,821,306.25
21,485 CINERGY CORP 823,144.06
60,600 CON. EDISON NY INC 2,484,600.00
41,700 DOMINION RES INC-VA 1,774,856.25
29,277 DUKE POWER CO 1,621,213.88
27,400 EDISON INTERNATIONAL 744,937.50
62,500 ENTERGY CORP NEW 1,871,093.75
15,500 FPL GROUP INC 917,406.25
10,800 GPU INC 454,950.00
36,090 HOUSTON INDS INC 963,151.88
38,300 NIAGARA MOHAWK PWR 402,150.00
12,400 NORTHERN STS PWR CO 722,300.00
25,000 PACIFICORP 682,812.50
58,000 PECO ENERGY 1,406,500.00
34,900 PG&E CORP 1,062,268.75
4,700 PP&L RESOURCES INC 112,506.25
82,600 PUBLIC SVC ENTERPRISE GRP 2,617,387.50
129,787 SBC COMMUNICATIONS INC 9,506,897.75
122,700 SOUTHERN CO 3,174,862.50
44,400 UNICOM CORP 1,365,300.00
29,300 UNION ELECTRIC CO 1,267,225.00
GAS
9,000 COLUMBIA GAS SYS INC 707,062.50
27,400 CONSOLIDATED NATL GAS 1,657,700.00
20,700 ENRON CORP 860,343.75
9,300 NICOR INC 392,343.75
8,800 PACIFIC ENTERPRISES 331,100.00
6,400 PEOPLES ENERGY CORP 252,000.00
7,100 SONAT INC 324,825.00
7,032 TEXAS UTILITIES CO 292,267.50
TELEPHONE
127,000 A T & T 7,778,750.00
19,900 ALLTEL CORP 817,143.75
157,388 BELL ATLANTIC CORP 14,322,308.00
180,200 BELLSOUTH CORP 10,147,512.50
29,200 FRONTIER CORP 702,625.00
72,000 GTE CORP 3,762,000.00
37,800 SPRINT CORP 2,216,025.00
106,600 U S WEST INC 4,810,325.00
98,300 U S WEST MEDIA GROUP 2,838,412.50
WASTE DESPOSAL
54,800 BROWNING FERRIS IND 2,027,600.00
37,500 WASTE MANAGEMENT INC 1,031,250.00
TOTAL UTILITIES $95,135,208.07
MISCELLANEOUS 10.93%
BROADCAST/COMMUNICATIONS
70,500 CBS CORP 2,075,343.75
59,900 COMCAST CORP CL A SPL 1,890,593.75
53,000 GANNETT CO., INC 3,276,062.50
148,400 MCI COMMUNICATIONS 6,353,375.00
170,200 MOTOROLA INC 9,712,037.50
50,600 TELE COMM. INC CL A 1,413,637.50
7,500 TELLABS INC 396,562.50
30,800 VIACOM INC CL B NON VTG 1,276,275.00
BUSINESS SERVICES
4,000 AUTODESK INC 148,000.00
52,300 AUTOMATIC DATA PROC 3,209,912.50
9,600 BLOCK H&R INC 430,200.00
137,664 CENDANT CORP 4,732,183.84
9,100 COMPUTER SCIENCES CORP 759,850.00
12,500 DONNELLEY RR & SONS 465,625.00
7,800 DOW JONES & CO 418,762.50
47,600 DUN & BRADSTREET 1,472,625.00
39,800 E M C CORP 1,092,012.50
13,100 ECOLAB INC 726,231.25
27,300 FIRST DATA CORP 798,525.00
4,500 GRAINGER W W INC 437,343.75
9,600 INTERPUBLIC GROUP COS 478,200.00
19,200 OMNICOM GROUP INC 813,600.00
5,100 SAFETY KLEEN CORP 139,931.25
7,600 SCIENTIFIC-ATLANTA 127,300.00
19,800 SERVICE CORP INTL 731,362.50
7,200 THREE COM CORP 251,550.00
FOOD SERVICE
26,400 DARDEN RESTAURANTS INC 330,000.00
126,800 MCDONALDS CORP 6,054,700.00
168,500 PHILLIP MORRIS CO INC 7,635,156.25
26,260 TRICON GLOBAL RESTAURANTS 763,181.25
10,600 WENDYS INTL INC 255,062.50
HOTEL & MOTEL
23,100 HILTON HOTELS CORP 687,225.00
15,500 ITT CORP NEW 1,284,562.50
14,900 MARRIOTT INTL CORP 1,031,825.00
HOUSING
1,600 PULTE CORP 66,900.00
MED SERV & SUPPLIES
18,800 BIOMET INC 481,750.00
90,200 HEALTHSOUTH CORPORATION 2,503,050.00
4,500 HUMANA INC 93,375.00
6,500 MANOR CARE INC 227,500.00
67,500 MEDTRONIC INC 3,531,093.75
2,200 SHARED MEDICAL SYS CORP 145,200.00
7,050 ST. JUDE MED INC. 215,025.00
REAL ESTATE
2,800 CENTEX CORP 176,225.00
TRANSPORTATION
6,700 AMR CORP 860,950.00
13,803 BURLINGTON NRTHN SANTA FE 1,282,816.31
7,300 CALIBER SYSTEMS INC 355,418.75
39,300 CSX CORP 2,122,200.00
7,900 DELTA AIR LINES INC 940,100.00
10,100 FEDERAL EXPRESS CORP 616,731.25
3,200 FLEETWOOD ENTERPRISES 135,800.00
30,000 NORFOLK SOUTHERN CORP 924,375.00
13,000 PACCAR INC 682,500.00
6,800 RYDER SYSTEMS INC 222,700.00
38,100 SOUTHWEST AIRLINES CO 938,212.50
17,500 U S AIR GROUP 1,093,750.00
42,300 UNION PACIFIC CORP 2,641,106.25
MISCELLANEOUS
44,400 COGNIZANT CORP 1,978,575.00
12,700 MALLINCKRODT (NEW) 482,600.00
49,200 WARNER-LAMBERT 6,100,800.00
TELECOMMUNICATIONS
91,600 AMERITECH CORP NEW 7,373,800.00
6,600 HARRIS CORP-DEL 302,775.00
TOTAL MISCELLANEOUS $98,164,143.90
UTILITIES 0.10%
ELECTRIC
26,700 DTE ENERGY COMPANY 926,156.25
TOTAL UTILITIES $926,156.25
TOTAL COMMON STOCK $892,918,211.19
OTHER
0.59%
CASH EQUIVALENTS
5,324,135 AIM SHORT TERM INV SER 2 5,324,134.56
TOTAL $5,324,134.56
TOTAL OTHER $5,324,134.56
TOTAL INVESTMENTS - 100.00% $898,242,345.75
(cost $477,797,673)
See accompanying notes
