SELECT ASSET FUND, SERIES 2, INC.
Statement of Assets and Liabilities
June 30, 1997
(Unaudited)
Assets
Investments, at value (@ cost $554,130,578) $ 1,010,930,947
Dividends receivable 1,365,236
Interest receivable 30,271
Prepaid expenses 51,000
Total Assets 1,012,377,454
Liabilities
AMPS Dividend Payable 1,078,144
Accrued expenses 622,196
Notes payable 113,400
Accrued interest expense 2,685
Total Liabilities 1,816,425
Net Assets $ 1,010,561,029
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, 600 shares
authorized, issued and outstanding 60,000,000
Series D Auction Market Preferred Stock, $.01 par value
at liquidation preference $100,000 per share, 500 shares
authorized, issued and outstanding 50,000,000
Series E Auction Market Preferred Stock, $.01 par value
at liquidation preference $100,000 per share, 500 shares
authorized, issued and outstanding 50,000,000
Common stock at par value, $.01 per share, 199,996,400 shares
authorized, 71,071,001.64 shares issued and outstanding 710,710
Additional paid-in capital 190,301,095
Undistributed Net Gains 2,748,855
Net unrealized appreciation of investments 456,800,369
Net Assets $ 1,010,561,029
Net asset value per common shares outstanding $ 9.15
See accompanying notes to the financial statements.
SELECT ASSET FUND, SERIES 2, INC.
Statement of Operations
For the period from January 1, 1997 to June 30, 1997
(Unaudited)
Investment income:
Dividend income $ 8,360,272
Interest income 68,461
Total investment income 8,428,733
Expenses:
Broker dealer fee 437,872
Legal fees 0
Rating agencies fees 18,500
Independent auditors 18,552
Auction agent fee 10,835
Administration fees 272,468
Directors fees and expenses 5,393
Interest expense 4,648
Insurance 9,514
Investment management fee 44,214
Other expenses 1,481
Total expenses 823,477
Net investment income 7,605,256
Net realized and unrealized gains on investments:
Net realized gain on investments:
Proceeds from sales $ 9,555,237
Cost of securities sold (6,561,527)
2,993,710
Unrealized appreciation of investments:
Beginning of period 290,453,869
End of period 456,800,369
Increase in net unrealized appreciation of investments 166,346,500
Net increase in net assets resulting
from operations $ 176,945,466
See accompanying notes to the financial statements.
SELECT ASSET FUND, SERIES 2, 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 $ 7,605,256 14,087,883
Net realized gain on investments 2,993,710 122,507,248
Net change in unrealized appreciation
on investments 166,346,500 3,364,522
Increase in net assets resulting
from operations 176,945,466 139,959,653
Dividends to stockholders from net
investment income:
Auction market preferred stock (7,605,256) (10,388,299)
Common stock 0 (3,699,584)
(7,605,256) (14,087,883)
Dividends to stockholders from net realized gains:
Auction market preferred stock (370,472) 0
Common stock 0 (122,381,631)
(370,472) (122,381,631)
Decrease in net assets resulting from
dividends to stockholders (7,975,728) (136,469,514)
Increase (decrease) from capital share transactions:
Issuance of auction market preferred stock 50,000,000 310,000,000
Issuance of common stock 0 36,154,530
Additional paid in capital from
common stockholder 4,000,000 0
Return of additional paid in capital to
common stockholder (7,593,935) (490,818,932)
46,406,065 (144,664,402)
Total increase in net assets 215,375,803 (141,174,263)
Net assets:
Beginning of period 795,185,226 936,359,489
End of period $ 1,010,561,029 795,185,226
See accompanying notes to the financial statements.
SELECT ASSET FUND, SERIES 2, 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
April 28, 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 6.83 14.41 10.97 11.42 10.00
Net investment income 0.10 0.20 0.52 0.46 0.35
Net realized and unrealized gains
(losses) on investments 2.38 1.77 6.00 (0.24) 1.25
Total from investment
operations 2.48 1.97 6.52 0.22 1.60
Additional paid in capital 0.06 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 (0.11) (0.14) (0.45) (0.26) (0.12)
Dividneds paid to common
shareholders 0.00 (1.86) (0.59) (0.41) (0.06)
Less distributions from net paid-in capital:
Return of capital paid to common
shareholders (0.11) (7.55) (2.04) 0.00 0.00
Total distributions (0.22) (9.55) (3.08) (0.67) (0.18)
Net asset value, end of period $ 9.15 6.83 14.41 10.97 11.42
Total investment return 22.25% 13.67% 59.43% 1.93% 14.85%(2)
Net assets at end of
period (000s) 1,010,561 795,185 936,359 886,412 712,983
Ratio of expenses to average net assets
applicable to common stock 0.09% 0.23% 0.13% 0.15% 0.24%(3)
Ratio of net investment income to average net
assets applicable to common
stock -0.04% 0.43% 0.35% 1.25% 5.32%(3)
Portfolio turnover 1.04% 17.51% 16.27% 3.52% 1.00%
Average commissions paid on equity
securities transactions(5) $0.0085 0.0200 0.00 0.00 0.00
(1)For the period April 28, 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 2, INC.
Notes to the Financial Statements
June 30, 1997
(Unaudited)
(1) Organization and Significant Accounting Policies
The Select Asset Fund, Series 2, 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 April 28, 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 2, 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 common stockholder
contributed approximately $4,000,000 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 $126,081,215, 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 approximately $7,600,000 and approximately
$524,000,000, respectively. Approximately $490,800,000 of the 1996
return of capital is a result of capital share transactions with the
common shareholder.
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 $6,561,527 and $9,555,237, respectively.
As of June 30, 1997, the aggregate gross unrealized appreciation and
depreciation of investments for Federal income tax purposes, were
$461,292,778 and $4,492,409, respectively.
3
SELECT ASSET FUND, SERIES 2, INC.
Notes to Financial Statements, Continued
(Unaudited)
(4) Auction Market Preferred Stock
In January 1996, the Fund issued $260 million of Auction Market
Preferred Stock ("AMPS"). In June 1996, the Fund sold an additional
$50 million of AMPS and issued 6,098,042.8 shares of common stock.
In February 1997, the Fund issued an additional $50 million of AMPS.
The Fund has outstanding at June 30, 1997, 1000 shares each of Series
A and Series B, 600 shares of Series C, 500 shares each of Series D
and Series E 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 4.43%, 4.35%, 4.27%, 4.25% and
4.35% for Series A, Series B, Series C, Series D and Series E,
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 $113,400 of principal notes
outstanding to investors. The notes due on April 28, 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 8.54% per annum.
SELECT ASSET FUND, SERIES 2, INC.
Portfolio of Investments
June 30, 1997
(Unaudited)
No. of
Shares Market Value
COMMON STOCK
BUILDING AND CONSTRUCTION 1.22%
BUILDING MATERIALS
3,300 CHAMPION INTL CORP 182,325.00
22,100 GEORGIA PACIFIC CORP 1,886,787.50
105,300 HOME DEPOT 7,259,118.75
9,200 OWENS CORNING 396,750.00
CONSTRUCTION EQUIPMENT
7,200 GIDDINGS & LEWIS 150,300.00
17 MORRISON KNUDSEN CORP-WTS 106.25
PAINT AND FLAT GLASS
6,200 PPG INDUS INC 360,375.00
38,000 SHERWIN WILLIAMS CO 1,173,250.00
INDUSTRIAL CHEMICALS
800 ROHM & HAAS CO 72,050.00
MISCELLANEOUS
5,000 FLUOR CORP 275,937.50
9,500 FOSTER WHEELER CORP 384,750.00
9,400 KAUFMAN & BROAD HOME CORP 165,087.50
TOTAL BUILDING AND CONSTRUCTION $12,306,837.50
CHEMICALS AND DRUGS 15.41%
CHEMICALS
4,200 AIR PRODS & CHEMS INC 341,250.00
15,800 AMGEN INC 918,375.00
43,800 BOSTON SCIENTIFIC CORP 2,690,962.50
70,300 DOW CHEMICAL CO 6,124,887.50
235,600 DUPONT DENEMOURS & CO 14,813,350.00
3,500 EASTMAN CHEMICAL CO 222,250.00
20,725 ENGLEHARD CORP 433,929.69
8,500 FMC CORP-NEW 675,218.75
12,800 GRACE W. R. & CO. (NEW) 705,600.00
24,900 HERCULES INC 1,192,087.50
40,400 MONSANTO CO 1,739,725.00
31,300 MORTON INTERNATIONAL INC 944,868.75
14,900 NALCO CHEM CO 575,512.50
36,100 PRAXIAIR INC 2,021,600.00
18,600 SIGMA-ALDRICH CORP 652,162.50
28,000 UNION CARBIDE CORP 1,317,750.00
DRUGS
38,900 ABBOT LABS 2,596,575.00
4,800 ALZA CORP CL A 138,900.00
142,500 AMERICAN HOME PRODUCTS 10,901,250.00
239,400 BRISTOL MYERS SQUIBB CO 19,391,400.00
96,400 JOHNSON & JOHNSON 6,205,750.00
127,500 LILLY ELI & CO 13,937,343.75
278,000 MERCK & CO., INC 28,773,000.00
157,300 PFIZER INC 18,797,350.00
125,090 PHARMACIA & UPJOHN INC 4,346,877.50
22,400 SCHERING PLOUGH 1,072,400.00
9,800 WALGREEN CO 525,525.00
COSMETICS
3,800 ALBERTO CULVER CO CL B 106,400.00
31,600 AVON PRODUCTS INC 2,229,775.00
2,600 INTL FLAVORS & FRAGRANCES 131,300.00
HEALTH PRODUCTS/CARE
2,200 ALLERGAN INC 69,987.50
13,300 BARD CR INC 482,956.25
2,200 BAUSCH & LOMB 103,675.00
61,000 BAXTER INTL INC. 3,187,250.00
28,800 BECTON DICKINSON & CO 1,458,000.00
5,100 BEVERLY ENTERPRISES INC 82,875.00
61,005 COLUMBIA/HCA HEALTHCARE 2,398,259.06
10,000 GUIDANT CORP 850,000.00
49,800 TENET HEALTHCARE CORP 1,472,212.50
15,300 U S SURGICAL 569,925.00
10,700 UTD HEALTHCARE CORP 556,400.00
TOTAL CHEMICALS AND DRUGS $155,754,916.25
CONSUMER PRODUCTS 10.03%
CONFECTIONS AND BEVERAGES
131,400 ANHEUSER-BUSCH COS 5,510,587.50
16,100 BROWN FORMAN INC CL B 785,881.25
80,000 COCA COLA CO 5,580,000.00
5,400 NEWELL CO. 213,975.00
79,900 PEPSICO INC 3,001,243.75
CONTAINERS
26,400 AVERY DENNISON CORP 1,059,300.00
7,000 BALL CORP 210,437.50
28,700 CROWN CORK & SEAL INC 1,533,656.25
23,900 STONE CONTAINER 342,068.75
14,100 TEMPLE INLAND INC 761,400.00
PACKAGED FOOD
19,230 ARCHER DANIELS MIDLAND CO 451,905.00
23,200 CAMPBELL SOUP CO 1,160,000.00
6,700 CONAGRA 429,637.50
9,100 COORS ADOLPH CO CL B 242,287.50
30,800 CPC INTL INC 2,843,225.00
3,700 GENERAL MILLS INC 240,962.50
20,750 HEINZ H J CO 957,093.75
32,200 HERSHEY FOODS CORP 1,781,062.50
10,800 KELLOGG CO 924,750.00
9,200 QUAKER OATS CO 412,850.00
26,200 RALSTON-PURINA GROUP 2,153,312.50
68,600 SARA LEE CORP 2,855,475.00
39,300 SYSCO CORP 1,434,450.00
2,300 WRIGLEY WM JR CO 154,100.00
PAPER
20,000 AMERICAN GREETINGS CL A 742,500.00
14,300 BEMIS CO 620,262.50
12,500 BOISE CASCADE CORP 441,406.25
59,436 INTERNATIONAL PAPER CO 2,886,360.75
19,100 JAMES RIVER CORP 706,700.00
128,160 KIMBERLY CLARK CORP 6,375,960.00
1,400 MEAD CORP 87,150.00
7,000 POTLATCH CORP 316,750.00
17,900 UNION CAMP CORP 895,000.00
27,100 WILLIAMETTE INDUSTRIAL 1,897,000.00
PRINTING AND PUBLISHING
11,100 JOSTENS INC 292,762.50
3,600 KNIGHT-RIDDER INC 176,625.00
6,200 MCGRAW-HILL COMPANIES INC 364,637.50
1,400 MEREDITH CORP 40,600.00
3,200 NEW YORK TIMES CO CL A 161,600.00
120,500 TIME WARNER INC 5,814,125.00
4,100 TRIBUNE CO 197,056.25
23,750 WESTVACO CORP 746,640.63
RECREATIONAL EQUIPMENT
21,100 BRUNSWICK CORP 659,375.00
31,100 HARRAH'S ENTERTAINMENT 567,575.00
36,600 HASBRO INC 1,038,525.00
48,281 MATTEL INC 1,635,518.88
SOAPS
13,700 CLOROX CO 1,808,400.00
OTHER CONSUMER PRODUCTS
16,800 COLGATE PALMOLIVE CO 1,096,200.00
47,900 FORTUNE BRANDS INC 1,787,268.75
110,000 GILLETTE CO 10,422,500.00
39,200 PROCTER & GAMBLE CO 5,537,000.00
45,000 RUBBERMAID INC 1,338,750.00
3,800 SPRINGS INDUS INC 200,450.00
4,400 TUPPERWARE CORPORATION 160,600.00
57,200 UST INC 1,587,300.00
27,000 WHITMAN CORP 683,437.50
PHOTOGRAPHY
15,600 EASTMAN KODAK CO 1,197,300.00
11,600 POLAROID CORP 643,800.00
HOUSEHOLD FURN/APPLIANCES
9,200 ARMSTRONG WORLD IND 675,050.00
22,600 MAYTAG CO 590,425.00
RETAIL
100,800 FEDERATED DEPT STORES NEW 3,502,800.00
APPAREL
4,000 LIMITED INC 81,000.00
17,800 NIKE INC CL B 1,039,075.00
13,100 STRIDE RITE CORP 168,662.50
16,600 V F CORP 1,413,075.00
BROADCASTING
60,653 DISNEY WALT CO 4,867,403.25
8,700 KING WORLD INC 304,500.00
MISCELLANEOUS
25,200 PALL CORP 585,900.00
TOTAL CONSUMER PRODUCTS $101,394,688.51
DURABLE GOODS 26.84%
AEROSPACE-AIRCRAFT
48,794 BOEING CO 2,589,131.63
15,200 GENERAL DYNAMICS CORP 1,140,000.00
52,861 LOCKHEED MARTIN CORP 5,474,417.31
46,500 MCDONNELL DOUGLAS CORP 3,185,250.00
12,800 NORTHROP GRUMMAN CORP 1,124,000.00
5,700 RAYTHEON CO 290,700.00
3,000 TEXTRON INC 199,125.00
10,800 UNITED TECHNOLOGIES CORP 896,400.00
AGRICULTURAL MACHINERY
44,400 CATERPILLAR INC 4,767,450.00
17,900 DEERE & CO 982,262.50
AUTOMOBILE AND PARTS
18,600 AUTOZONE INC 438,262.50
46,500 CHRYSLER CORP 1,525,781.25
8,000 CUMMINS ENGINE INC 564,500.00
21,500 DANA CORP 817,000.00
16,900 EATON CORP 1,475,581.25
1,600 ECHLIN INC 57,600.00
303,300 FORD MTR CO 11,449,575.00
189,400 GENERAL MTRS CORP 10,547,212.50
46,350 GENUINE PARTS CO 1,570,106.25
1,900 NAVISTAR INTL CORP (NEW) 32,775.00
39,000 TENNECO INC (NEW) 1,762,312.50
6,600 TRW INC 374,962.50
ELECTRICAL
12,128 AMP INC 506,344.00
19,800 EMERSON ELEC CO 1,090,237.50
29,500 GENERAL INST CORP 737,500.00
12,600 HONEYWELL INC 956,025.00
12,200 RAYCHEM CORP 907,375.00
129,500 WESTINGHOUSE ELEC CORP 2,994,687.50
ELECTRONICS
15,200 ADVANCED MICRO-DEVICES 547,200.00
34,800 APPLIED MATLS INC 2,464,275.00
3,500 CISCO SYS INC 234,937.50
812,200 GENERAL ELECTRIC CO 53,097,575.00
9,600 GENERAL SIGNAL CORP 418,800.00
150,800 HEWLETT PACKARD CO 8,444,800.00
35,200 INTEL CORP 4,991,800.00
62,800 LSI LOGIC CORP 2,009,600.00
43,600 MICRON TECH 1,741,275.00
21,700 NATIONAL SEMICONDUCTOR 664,562.50
2,700 NATIONAL SVC INDS 131,456.25
172,050 ORACLE CORPORATION 8,667,018.75
9,400 PERKIN ELMER CORP 747,887.50
15,000 SEAGATE TECHNOLOGY INC 527,812.50
5,800 TEKTRONIX INC 348,000.00
31,600 TEXAS INSTRUMENTS 2,656,375.00
9,800 THOMAS & BETTS CORP 515,112.50
INDUSTRIAL MACHINERY
1,100 AEROQUIP-VICKERS INC 51,975.00
7,400 BRIGGS & STRATTON CORP 370,000.00
29,600 CASE CORPORATION 2,038,700.00
8,100 CINCINNATI MILACRON INC 210,093.75
3,200 COOPER INDUS INC 159,200.00
27,100 DOVER CORP 1,666,650.00
3,700 HARNISCHFEGER INDUS INC 153,550.00
7,500 INGERSOLL RAND CO 463,125.00
2,100 NACCO INDUS INC CL A 118,518.75
11,200 ROCKWELL INTL CORP W/I 660,800.00
OFFICE EQUIPMENT AND SUPPLIES
3,100 DELUXE CORP 105,787.50
7,300 HARLAND JOHN H CO 166,531.25
6,800 IKON OFFICE SOLUTIONS 169,575.00
3,500 PITNEY BOWES INC 249,375.00
64,500 XEROX CORP. 5,087,437.50
RUBBER
11,400 GOODRICH B F CO 493,762.50
10,900 GOODYEAR TIRE & RUBBER 690,106.25
OTHER DURABLE GOODS
62,500 CORNING INCORPORATED 3,476,562.50
8,700 CRANE CO 363,768.75
55,600 ILLINOIS TOOL WORKS 2,776,525.00
2,900 MILLIPORE CORP 127,600.00
84,500 MINNESOTA MNG & MFR 8,619,000.00
1,600 STANLEY WORKS 64,000.00
COMPUTERS AND SOFTWARE
4,900 APPLE COMPUTER INC 69,825.00
90,800 BAY NETWORKS INC 2,411,875.00
2,000 CABLETRON SYSTEMS INC 56,625.00
21,700 CERIDIAN CORP 916,825.00
20,400 COMPAQ COMPUTER CORP 2,024,700.00
81,525 COMPUTER ASSOC INTL INC 4,539,923.44
3,000 CUC INTERNATIONAL 77,437.50
2,600 DATA GENL CORP 67,600.00
30,600 DELL COMPUTER CORP 3,593,587.50
23,800 DIGITAL EQUIP CORP 843,412.50
212,200 IBM CORP 19,137,787.50
12,700 INTERGRAPH CORP 107,950.00
246,200 MICROSOFT CORP 31,113,525.00
3,900 NOVELL INC 27,056.25
28,500 SILICON GRAPHICS 427,500.00
68,800 SUN MICROSYSTEMS 2,560,650.00
38,300 TANDEM COMPUTERS INC 775,575.00
35,700 UNISYS CORP 272,212.50
HOUSEHOLD FURN/APPLIANCES
17,200 WHIRLPOOL CORP 938,475.00
TELECOMMUNICATIONS
108,900 AIRTOUCH COMMUNICATIONS 2,981,137.50
4,162 ANDREW CORP 117,056.25
18,700 DSC COMMUNICATIONS 416,075.00
143,744 LUCENT TECHNOLOGIES INC 10,358,552.00
199,800 WORLDCOM INC 6,393,600.00
MISCELLANEOUS
15,800 ALLIED-SIGNAL INC 1,327,200.00
6,500 BLACK & DECKER CORP 241,718.75
12,600 ITT INDUSTRIES INC 324,450.00
17,200 JOHNSON CTLS INC 706,275.00
12,850 PARKER HANNIFIN CORP 779,834.38
14,850 SNAP ON TOOLS CORP 584,718.75
27,200 THERMO ELECTRON CORP 924,800.00
18,800 TYCO LABS INC 1,307,775.00
TOTAL DURABLE GOODS $271,373,440.26
FINANCIAL 15.29%
BANKS
30,569 BANC ONE CORP 1,480,685.94
66,600 BANK NEW YORK INC 2,897,100.00
53,000 BANKAMERICA CORP 3,421,812.50
30,400 BANKBOSTON CORPORATION 2,190,700.00
2,100 BANKERS TR NY CORP 182,700.00
43,600 BARNETT BANKS INC 2,289,000.00
56,612 CHASE MANHATTAN CORP NEW 5,494,902.25
55,000 CITICORP 6,630,937.50
56,514 CORESTATES FINL CORP 3,037,627.50
46,900 FIFTH THIRD BANCORP COM 3,847,265.63
66,800 FIRST BANK SYS INC 5,703,050.00
43,232 FIRST CHICAGO NBD CORP 2,615,536.00
65,005 FIRST UNION CORP 6,012,962.50
36,714 FLEET FINANCIAL GROUP INC 2,322,160.50
44,287 MBNA CORP 1,622,011.38
32,600 MELLON BANK CORP 1,471,075.00
63,200 NATIONAL CITY CORP 3,318,000.00
179,516 NATIONSBANK CORP 11,578,782.00
84,700 NORWEST CORP 4,764,375.00
44,600 PNC FINANCIAL 1,856,475.00
58,000 SUNTRUST BANKS INC 3,193,625.00
53,900 U S BANCORP ORE 3,456,337.50
3,900 WACHOVIA CORP 227,418.75
11,433 WELLS FARGO & CO 3,081,193.50
FINANCE COMPANIES
12,500 AMERICAN EXPRESS CO 931,250.00
12,000 BENEFICIAL CORP 852,750.00
38,200 FED HOME LN MTG CORP 1,313,125.00
65,700 GREEN TREE FINANCIAL 2,340,562.50
20,800 HOUSEHOLD INTL CORP 2,442,700.00
HOLDING COMPANY
4,600 EASTERN ENTERPRISES 159,562.50
138,970 MS, DW, DISCOVER & CO 5,984,395.63
FIRE AND CASUALTY INSURANCE
7,600 CHUBB CORP 508,250.00
600 GENERAL RE CORP 109,200.00
2,600 SAFECO CORP 121,387.50
INSURANCE
27,500 AETNA INC 2,815,312.50
25,754 ALLSTATE CORPORATION 1,880,042.00
114,950 AMERICAN INTL GROUP 17,170,656.25
65,100 AON CORP 3,368,925.00
3,800 CIGNA CORP 674,500.00
24,000 CONSECO INC 888,000.00
12,300 HARTFORD FINANCIAL SVCS 1,017,825.00
7,500 MBIA INC 846,093.75
2,300 ST PAUL COS INC 175,375.00
600 TRANSAMERICA CORP 56,137.50
113,161 TRAVELERS GROUP INC 7,136,215.56
9,800 UNUM CORP. 411,600.00
6,200 USF & G CORP 148,800.00
LIFE INSURANCE
60,887 AMERICAN GENERAL CORP 2,907,367.14
18,700 JEFFERSON PILOT CORP 1,306,662.50
27,500 LINCOLN NATL CORP IND 1,770,312.50
REAL ESTATE
244,400 FEDERAL NATL MTGE ASSN 10,661,950.00
6,000 HFS 348,000.00
SAVINGS & LOANS
4,400 AHMANSON H F & CO 189,200.00
11,100 GOLDEN WEST FINL CORP 777,000.00
25,300 GREAT WESTERN FINL 1,359,875.00
BROKERAGE
14,000 MERRILL LYNCH & CO 834,750.00
5,900 SALOMON INC 328,187.50
TOTAL FINANCIAL $154,531,703.78
METALS AND MINING 0.85%
ALUMINUM
10,000 ALUMINUM CO AMER 753,750.00
14,900 REYNOLDS METALS CO 1,061,625.00
MINING
39,000 HOMESTAKE MNG CO 509,437.50
STEEL
29,067 ALLEGHENY TELEDYNE 784,809.00
25,300 ARMCO, INC. 98,037.50
6,300 BETHLEHEM STEEL CORP 65,756.25
10,400 INLAND STEEL INDUS INC 271,700.00
25,600 NUCOR CORP 1,465,600.00
11,800 TIMKEN CO 419,637.50
5,700 USX-US STEEL GROUP 199,856.25
2,500 WORTHINGTON INDS INC 45,781.25
OTHER METALS
10,200 ASARCO INC 312,375.00
22,587 NEWMONT MNG CORP 880,893.00
16,500 PHELPS DODGE CORP 1,405,593.75
MINERALS
13,450 CYPRUS AMAX MINERALS CO 329,525.00
TOTAL METALS AND MINING $8,604,377.00
COLLECTIBLES & PRECIOUS MATERIALS 0.23%
GOLD-DIAMOND-GEMS
73,200 FREEPORT-MCMORAN COPPER-B 2,278,350.00
TOTAL COLLECTIBLES & PRECIOUS MATERIALS $2,278,350.00
OIL-ENERGY 8.11%
OIL & GAS PRODUCERS
5,700 AMERADA HESS CORP 316,706.25
115,400 AMOCO CORP 10,032,587.50
22,400 COASTAL CORP 1,191,400.00
12,400 ENSERCH CORP 275,900.00
5,200 HELMERICH & PAYNE INC. 299,650.00
70,100 OCCIDENTAL PETROLEUM 1,756,881.25
14,900 ROWAN COS INC 419,993.75
22,000 SANTA FE ENERGY RES INC 323,125.00
34,987 UNION PACIFIC RESOURCES 870,301.63
9,700 USX-MARTHON GROUP COM NEW 280,087.50
NATURAL RESOURCES
8,400 DRESSER INDUS INC 312,900.00
9,900 KERR MCGEE CORP 627,412.50
6,500 LOUISIANA LD & EXPL CO 371,312.50
9,050 WILLIAMS COS INC-DEL 395,937.50
OIL EQUIPMENT, WELLS & SVCS
14,200 ASHLAND, INC 658,525.00
24,400 HALLIBURTON CO 1,933,700.00
10,500 WESTERN ATLAS INC 769,125.00
OIL - DOMESTIC
2,000 PENNZOIL CO 153,500.00
67,400 PHILLIPS PETE CO 2,948,750.00
10,600 UNOCAL CORP 411,412.50
OIL - INTERNATIONAL
24,100 CHEVRON CORP 1,781,893.75
574,400 EXXON CORP. 35,325,600.00
183,000 MOBIL CORP 12,787,125.00
18,100 ORYX ENERGY COMPANY 382,362.50
18,100 SUN CO INC 561,100.00
62,200 TEXACO INC 6,764,250.00
TOTAL OIL-ENERGY $81,951,539.13
RETAIL 4.97%
DEPARTMENT STORES
3,200 CVS CORP 164,000.00
60,000 DAYTON HUDSON CORP 3,191,250.00
34,300 DILLARDS INCORPORATED 1,187,637.50
18,000 HARCOURT GENERAL INC 857,250.00
111,200 K MART 1,362,200.00
800 MERCANTILE STORES 50,350.00
59,800 PENNEY JC INC 3,120,812.50
25,400 SEARS ROEBUCK & CO 1,365,250.00
774,500 WAL MART STORES INC 26,187,781.25
3,600 WINN-DIXIE STORES INC 134,100.00
46,300 WOOLWORTH CORP 1,111,200.00
GROCERY
9,500 ALBERTSON'S INC 346,750.00
4,400 AMERICAN STORES CO 217,250.00
8,200 FLEMING COS 147,600.00
11,800 GIANT FOOD INC 382,025.00
7,800 GREAT ATLANTIC & PAC TEA 212,062.50
70,600 KROGER CO 2,047,400.00
OTHER RETAIL
18,667 COSTCO COMPANIES INC 613,677.63
9,800 LONGS DRUG STORES CORP 256,637.50
48,700 LOWES COS INC 1,807,987.50
18,800 PEP BOYS-MAN, MO, JACK 640,375.00
1,600 RITE AID CORP 79,800.00
500 TANDY CORP 28,000.00
SPORTING GOODS
400 REEBOK INTL LTD 18,700.00
9,600 RUSSELL CORP 284,400.00
APPAREL
25,100 CHARMING SHOPPES INC 130,990.63
84,000 GAP INC 3,265,500.00
21,600 NORDSTROM INC 1,059,750.00
TOTAL RETAIL $50,270,737.01
UTILITIES 7.46%
ELECTRIC
11,800 AMERICAN ELEC PWR INC 495,600.00
35,200 BALTIMORE GAS & ELEC 939,400.00
1,000 CENTRAL & SOUTH WEST CORP 21,250.00
32,021 CINERGY CORP 1,114,731.06
5,300 DOMINION RES INC-VA 194,112.50
79,209 DUKE POWER CO 3,797,081.44
99,100 EDISON INTERNATIONAL 2,465,112.50
41,700 FPL GROUP INC 1,920,806.25
29,600 GPU INC 1,061,900.00
15,300 HOUSTON INDS INC 327,993.75
3,100 NIAGARA MOHAWK PWR 26,543.75
4,700 NORTHERN STS PWR CO 243,225.00
3,300 OHIO EDISON CO 71,981.25
71,800 PACIFICORP 1,579,600.00
13,800 PECO ENERGY 289,800.00
91,800 PG&E CORP 2,226,150.00
78,100 PP&L RESOURCES INC 1,557,118.75
109,767 SBC COMMUNICATIONS INC 6,791,833.13
40,900 SOUTHERN CO 894,687.50
5,700 UNICOM CORP 126,825.00
GAS
3,600 COLUMBIA GAS SYS INC 234,900.00
59,600 ENRON CORP 2,432,425.00
1,400 NICOR INC 50,225.00
6,100 NORAM ENERGY CORP 93,025.00
500 ONEOK INC 16,093.75
18,200 PACIFIC ENTERPRISES 611,975.00
700 PEOPLES ENERGY CORP 26,206.25
20,100 SONAT INC 1,030,125.00
68,500 TEXAS UTILITIES CO 2,358,968.75
TELEPHONE
420,400 A T & T 14,740,275.00
51,500 ALLTEL CORP 1,722,031.25
15,500 BELL ATLANTIC CORP 1,176,062.50
64,100 BELLSOUTH CORP 2,972,637.50
29,200 FRONTIER CORP 582,175.00
243,400 GTE CORP 10,679,175.00
104,100 SPRINT CORP 5,478,262.50
40,000 U S WEST MEDIA GROUP 810,000.00
WASTE DESPOSAL
11,100 BROWNING FERRIS IND 369,075.00
121,800 WASTE MANAGEMENT INC 3,912,825.00
TOTAL UTILITIES $75,442,214.38
MISCELLANEOUS 8.88%
BROADCAST/COMMUNICATIONS
32,600 COMCAST CORP CL A SPL 696,825.00
3,300 GANNETT CO., INC 325,875.00
18,600 MCI COMMUNICATIONS 712,031.25
24,100 MOTOROLA INC 1,831,600.00
166,400 TELE COMM. INC CL A 2,475,200.00
12,000 TELLABS INC 670,500.00
82,400 VIACOM INC CL B NON VTG 2,472,000.00
BUSINESS SERVICES
7,800 AMDAHL CORP 68,250.00
15,800 AUTODESK INC 605,337.50
18,200 AUTOMATIC DATA PROC 855,400.00
26,600 BLOCK H&R INC 857,850.00
2,700 COMPUTER SCIENCES CORP 194,737.50
39,800 DONNELLEY RR & SONS 1,457,675.00
27,200 DOW JONES & CO 1,093,100.00
87,700 E M C CORP 3,420,300.00
2,600 ECOLAB INC 124,150.00
123,000 FIRST DATA CORP 5,404,312.50
13,300 GRAINGER W W INC 1,039,893.75
18,300 INTERPUBLIC GROUP COS 1,122,018.75
14,800 SAFETY KLEEN CORP 249,750.00
18,900 SCIENTIFIC-ATLANTA 413,437.50
56,800 SERVICE CORP INTL 1,867,300.00
80,900 THREE COM CORP 3,640,500.00
FOOD SERVICE
3,600 DARDEN RESTAURANTS INC 32,625.00
25,600 MCDONALDS CORP 1,236,800.00
609,900 PHILLIP MORRIS CO INC 27,064,312.50
35,900 WENDYS INTL INC 931,156.25
HOTEL & MOTEL
50,800 HILTON HOTELS CORP 1,349,375.00
11,700 ITT CORP NEW 714,431.25
23,100 MARRIOTT INTL CORP 1,417,762.50
HOUSING
6,400 PULTE CORP 221,200.00
MED SERV & SUPPLIES
6,500 BIOMET INC 121,062.50
32,000 HEALTHSOUTH CORPORATION 798,000.00
79,400 HUMANA INC 1,836,125.00
14,200 MANOR CARE INC 463,275.00
13,700 MEDTRONIC INC 1,109,700.00
4,900 SHARED MEDICAL SYS CORP 264,600.00
21,550 ST. JUDE MED INC. 840,450.00
REAL ESTATE
7,100 CENTEX CORP 288,437.50
TRANSPORTATION
17,800 AMR CORP 1,646,500.00
31,954 BURLINGTON NRTHN SANTA FE 2,871,865.75
800 CALIBER SYSTEMS INC 29,800.00
7,300 CSX CORP 405,150.00
19,000 DELTA AIR LINES INC 1,558,000.00
27,400 FEDERAL EXPRESS CORP 1,582,350.00
5,800 FLEETWOOD ENTERPRISES 172,912.50
30,600 NORFOLK SOUTHERN CORP 3,082,950.00
4,590 PACCAR INC 213,148.13
19,400 RYDER SYSTEMS INC 640,200.00
5,800 SOUTHWEST AIRLINES CO 150,075.00
2,000 U S AIR GROUP 70,000.00
23,600 UNION PACIFIC CORP 1,663,800.00
MISCELLANEOUS
4,300 MALLINCKRODT (NEW) 167,700.00
17,600 WARNER-LAMBERT 2,186,800.00
TELECOMMUNICATIONS
32,600 AMERITECH CORP NEW 2,214,762.50
9,900 HARRIS CORP-DEL 831,600.00
TOTAL MISCELLANEOUS $89,774,970.13
UTILITIES 0.03%
ELECTRIC
9,200 DTE ENERGY COMPANY 254,150.00
TOTAL UTILITIES $254,150.00
TOTAL COMMON STOCK $1,003,937,923.95
OTHER
0.69%
CASH EQUIVALENTS
6,993,023 AIM SHORT TERM INV SER 2 6,993,023.38
TOTAL $6,993,023.38
TOTAL OTHER $6,993,023.38
TOTAL INVESTMENTS - 100.00% $1,010,930,947.33
(cost $554,130,578)
See accompanying notes to financial statements
