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Previous: SECURITY CAPITAL INDUSTRIAL TRUST, 10-K, 1997-03-03 |
Next: SELECT ASSET FUND SERIES 2 INC, NSAR-B, 1997-03-03 |
SELECT ASSET FUND, SERIES 2, 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 2, Inc.:
We have audited the accompanying statement of assets and liabilities of Select
Asset Fund, Series 2, 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 April 28, 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 2, Inc. as of December 31, 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 April
28, 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 2, INC.
Statement of Assets and Liabilities
December 31, 1996
Assets
Investments, at value (cost $508,990,761) $ 799,444,630
Cash 25
Dividends receivable 1,673,370
Interest receivable 8,560
Prepaid expenses 3,799
Total assets 801,130,384
Liabilities
Common stock dividend payable 4,990,335
Accrued expenses 834,132
Notes payable (note 5) 117,900
Accrued interest expense 2,791
Total liabilities 5,945,158
Net assets $ 795,185,226
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
Common stock at par value, $.01 per share, 199,996,900 shares
authorized, 71,071,001.64 shares issued
and outstanding 710,710
Additional paid-in capital 198,993,081
Accumulated overdistribution of net investment income (3,681,684)
Accumulated overdistribution of net realized gains (1,290,750)
Net unrealized appreciation of investments 290,453,869
Net assets $ 795,185,226
Net asset value per
common shares outstanding $ 6.83
See accompanying notes to the financial statements.
SELECT ASSET FUND, SERIES 2, INC.
Statement of Operations
For the year ended December 31, 1996
Investment income:
Dividend income $ 15,601,902
Interest income 444,289
Total investment income 16,046,191
Expenses:
Broker dealer fee 679,685
Legal fees 514,867
Rating agencies fees 160,644
Independent accountants 44,667
Auction agent fee 31,000
Administration fee (note 2) 418,303
Directors fees and expenses 11,286
Interest expense 9,918
Insurance 16,067
Investment management fee (note 2) 69,756
Other expenses 2,115
Total expenses 1,958,308
Net investment income 14,087,883
Net realized and unrealized gains on investments:
Net realized gain on investments:
Proceeds from sales $ 403,716,214
Cost of securities sold (281,208,966)
122,507,248
Unrealized appreciation of investments:
Beginning of year 287,089,347
End of year 290,453,869
Increase in net unrealized appreciation of investments 3,364,522
Net increase in net assets
resulting from operations $ 139,959,653
See accompanying notes to the financial statements.
SELECT ASSET FUND, SERIES 2, INC.
Statements of Changes in Net Assets
For the years ended December 31, 1996 and 1995
1996 1995
From operations:
Net investment income $ 14,087,883 23,803,440
Net realized gain on investments 122,507,248 17,708,880
Net change in unrealized appreciation on
investments 3,364,522 255,614,594
Increase in net assets
resulting from operations 139,959,653 41,512,320
Dividends to stockholders from net investment
income:
Auction market preferred stock (10,388,299) (20,646,886)
Common stock (3,699,584) (3,156,554)
(14,087,883) (23,803,440)
Dividends to stockholders from net realized gains:
Auction market preferred stock 0 0
Common stock (122,381,631) (35,488,273)
(122,381,631) (35,488,273)
Decrease in net assets resulting from
dividends to stockholder (136,469,514) (59,291,713)
Increase (decrease) from capital share transactions:
Issuance of auction market preferred stock 310,000,000 0
Issuance of common stock 36,154,530 212,112,129
Return of additional paid-in capital to common
stockholder (490,818,932) (400,000,000)
(144,664,402) (187,887,871)
Total increase in net assets (141,174,263) (205,667,264)
Net assets:
Beginning of year 936,359,489 866,412,160
End of year $ 795,185,226 936,359,489
See accompanying notes to the financial statements.
SELECT ASSET FUND, SERIES 2, INC.
Financial Highlights
For the years ended December 31, 1996, 1995, 1994 and
for the period April 28, 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 $14.41 10.97 11.42 10.00
Net investment income 0.20 0.52 0.46 0.35
Net realized and unrealized gains (losses)
of investments 1.77 6.00 (0.24) 1.25
Total income from investment
operations 1.97 6.52 0.22 1.60
Less distributions from net investment income and
net realized gains:
Common stock equivalent of dividends paid
to AMPS holders (0.14) (0.45) (0.26) (0.12)
Dividends paid to common stockholder (1.86) (0.59) (0.41) (0.06)
Less distributions from paid-in capital:
Return of capital paid to common stockholder (7.55) (2.04) 0.00 0.00
Total distributions (9.55) (3.08) (0.67) (0.18)
Net asset value, end of period $ 6.83 14.41 10.97 11.42
Total investment return 13.67% 59.43% 1.93% 14.85%*
Net assets at end of period (000s) $795,185 936,359 886,412 712,983
Ratio of expenses to average net assets
applicable to common stock 0.23% 0.13% 0.15% 0.24%**
Ratio of net investment income to average
net assets applicable to common stock + 0.43% 0.35% 1.25% 5.32%**
Portfolio turnover 17.51% 16.27% 3.52% 1.00%
Average commission paid on equity securities
transactions ++ $ 0.02 - - -
+ 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 April 28, 1993 (commencement of operations) to December 31,
1993.
See accompanying notes to financial statements.
SELECT ASSET FUND, SERIES 2, INC.
Notes to Financial Statements
December 31, 1996
(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 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
(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 year, the Fund issued 6,098,042.8
in shares of common stock with a fair value of $36,154,530. During the years
ended December 31, 1996 and 1995, dividends to the common stockholder amounted
to $126,081,215 and $38,644,827, respectively. During the years ended December
31, 1996 and 1995, the Fund made a return of capital distribution to the common
stockholder of approximately $524,500,000 and $90,300,000, respectively.
Approximately $39,500,000 of the 1995 return of capital distribution was
considered taxable for IRS purposes. 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 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 $122,094,218 and $403,716,214, respectively.
3
SELECT ASSET FUND, SERIES 2, INC.
Notes to Financial Statements, Continued
(3), Continued
At December 31, 1996, the aggregate gross unrealized appreciation and
depreciation of investments for Federal income tax purposes, were
$296,883,897 and $6,430,028, respectively.
(4) Auction Market Preferred Stock
In January 1996, the Fund sold $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.
The Fund has outstanding at December 31, 1996, 1000 shares each of Series A
and Series B, 600 shares of Series C, and 500 shares of Series D AMPS at a
liquidation value of $100,000 per share. Dividends are cumulative from the
date of original issue and are paid every 49 days at a rate set through a Dutch
Auction. The AMPS rates in effect on December 31, 1996 were 4.125%, 4.142%,
4.135% and 4.15% for Series A, Series B, Series C and Series D, respectively.
Each series of AMPS is redeemable at the option of the Fund in whole, but not
in part, at a price of $100,000 per share plus accumulated and unpaid
dividends. The Fund is subject to certain asset coverage tests, and the AMPS
are subject to mandatory redemption if the tests are not met.
In addition, the AMPS are subject to mandatory redemption if the Fund ceases
to qualify as a regulated investment company or if Merrill Lynch, Pierce,
Fenner & Smith Incorporated ceases to be the broker dealer. The liquidation
value under mandatory redemption of the AMPS is $100,000 per share plus
accumulated and unpaid dividends.
(5) Notes Payable
As of December 31, 1996, the Fund had $117,900 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 December 31, 1996, the Fund was paying
interest at 8.04% per annum.
(6) Subsequent Event
The Fund issued $50 million in a new series of AMPS on February 5, 1997.
SELECT ASSET FUND, SERIES 2, INC.
Portfolio of Investments
December 31, 1996
No. of Market
Shares Value
COMMON STOCK
BUILDING AND CONSTRUCTION 1.17%
BUILDING MATERIALS
3,300 CHAMPION INTL CORP 142,725
22,100 GEORGIA PACIFIC CORP 1,591,200
105,300 HOME DEPOT 5,278,163
9,200 OWENS CORNING 392,150
CONSTRUCTION EQUIPMENT
7,200 GIDDINGS & LEWIS 92,700
PAINT AND FLAT GLASS
3,600 PPG INDUS INC 202,050
19,000 SHERWIN WILLIAMS CO 1,064,000
INDUSTRIAL CHEMICALS
800 ROHM & HAAS CO 65,300
MISCELLANEOUS
1,200 FLUOR CORP 75,300
9,500 FOSTER WHEELER CORP 352,687
9,400 KAUFMAN & BROAD HOME CORP 121,025
TOTAL BUILDING AND CONSTRUCTION $9,377,300
CHEMICALS AND DRUGS 14.35%
CHEMICALS
4,200 AIR PRODS & CHEMS INC 290,325
8,200 AMGEN INC 445,875
43,800 BOSTON SCIENTIFIC CORP 2,628,000
70,300 DOW CHEMICAL CO 5,509,763
117,800 DUPONT DENEMOURS & CO 11,117,375
1,800 EASTMAN CHEMICAL CO 99,450
20,725 ENGLEHARD CORP 396,366
8,500 FMC CORP-NEW 596,062
20,300 GRACE W. R. & CO. (NEW) 1,050,525
24,900 HERCULES INC 1,076,925
14,000 MONSANTO CO 544,250
31,300 MORTON INTERNATIONAL 1,275,475
14,900 NALCO CHEM CO 538,262
36,100 PRAXIAIR INC 1,665,112
9,300 SIGMA-ALDRICH CORP 580,669
28,000 UNION CARBIDE CORP 1,144,500
DRUGS
17,900 ABBOT LABS 908,425
4,800 ALZA CORP CL A 124,200
142,500 AMERICAN HOME PRODUCTS 8,354,062
119,700 BRISTOL MYERS SQUIBB CO 13,017,375
57,600 JOHNSON & JOHNSON 2,865,600
127,500 LILLY ELI & CO 9,307,500
278,000 MERCK & CO., INC 22,031,500
157,300 PFIZER INC 13,036,238
125,090 PHARMACIA & UPJOHN INC 4,956,691
11,200 SCHERING PLOUGH 725,200
9,800 WALGREEN CO 392,000
COSMETICS
600 ALBERTO CULVER CO CL B 28,800
31,600 AVON PRODUCTS INC 1,805,150
2,600 INTL FLAVORS & FRAGRANCES 117,000
HEALTH PRODUCTS/CARE
2,200 ALLERGAN INC 78,375
13,300 BARD CR INC 372,400
800 BAUSCH & LOMB 28,000
61,000 BAXTER INTL INC. 2,501,000
28,800 BECTON DICKINSON & CO 1,249,200
800 BEVERLY ENTERPRISES INC 10,200
40,905 COLUMBIA/HCA HEALTHCARE 1,666,879
49,800 TENET HEALTHCARE CORP 1,089,375
15,300 U S SURGICAL 602,438
10,700 UTD HEALTHCARE CORP 481,500
TOTAL CHEMICALS AND DRUGS $114,708,042
CONSUMER PRODUCTS 10.16%
CONFECTIONS AND BEVERAGES
131,400 ANHEUSER-BUSCH COS 5,256,000
16,100 BROWN FORMAN INC CL B 736,575
80,000 COCA COLA CO 4,210,000
5,400 NEWELL CO. 170,100
41,800 PEPSICO INC 1,222,650
CONTAINERS
26,400 AVERY DENNISON CORP 933,900
7,000 BALL CORP 182,000
28,700 CROWN CORK & SEAL INC 1,560,562
23,900 STONE CONTAINER 355,513
14,100 TEMPLE INLAND INC 763,162
PACKAGED FOOD
19,230 ARCHER DANIELS MIDLAND CO 423,060
8,100 CAMPBELL SOUP CO 650,025
6,700 CONAGRA 333,325
9,100 COORS ADOLPH CO CL B 172,900
30,800 CPC INTL INC 2,387,000
3,700 GENERAL MILLS INC 234,488
10,850 HEINZ H J CO 387,887
32,200 HERSHEY FOODS CORP 1,408,750
3,000 KELLOGG CO 196,875
3,100 QUAKER OATS CO 118,188
26,200 RALSTON-PURINA GROUP 1,922,425
55,200 SARA LEE CORP 2,056,200
39,300 SYSCO CORP 1,282,162
2,300 WRIGLEY WM JR CO 129,375
PAPER
20,000 AMERICAN GREETINGS CL A 567,500
14,300 BEMIS CO 527,313
12,500 BOISE CASCADE CORP 396,875
59,436 INTERNATIONAL PAPER CO 2,399,728
19,100 JAMES RIVER CORP 632,688
64,080 KIMBERLY CLARK CORP 6,103,620
1,400 MEAD CORP 81,375
7,000 POTLATCH CORP 301,000
17,900 UNION CAMP CORP 854,725
27,100 WILLIAMETTE INDUSTRIAL 1,886,837
PRINTING AND PUBLISHING
11,100 JOSTENS INC 234,488
3,600 KNIGHT-RIDDER INC 137,700
1,400 MCGRAW-HILL COMPANIES INC 64,575
700 MEREDITH CORP 36,925
3,200 NEW YORK TIMES CO CL A 121,600
120,500 TIME WARNER INC 4,518,750
300 TRIBUNE CO 23,662
23,750 WESTVACO CORP 682,813
RECREATIONAL EQUIPMENT
21,100 BRUNSWICK CORP 506,400
31,100 HARRAH'S ENTERTAINMENT 618,112
24,400 HASBRO INC 948,550
48,281 MATTEL INC 1,339,798
SOAPS
13,700 CLOROX CO 1,375,137
OTHER CONSUMER PRODUCTS
47,900 AMERICAN BRANDS INC 2,377,038
2,000 COLGATE PALMOLIVE CO 184,500
110,000 GILLETTE CO 8,552,500
21,000 PROCTER & GAMBLE CO 2,257,500
45,000 RUBBERMAID INC 1,023,750
3,800 SPRINGS INDUS INC 163,400
2,800 TUPPERWARE CORPORATION 150,150
57,200 UST INC 1,851,850
27,000 WHITMAN CORP 617,625
PHOTOGRAPHY
8,500 EASTMAN KODAK CO 682,125
11,600 POLAROID CORP 504,600
HOUSEHOLD FURN/APPLIANCES
9,200 ARMSTRONG WORLD IND 639,400
22,600 MAYTAG CO 446,350
RETAIL
100,800 FEDERATED DEPT STORES NEW 3,439,800
APPAREL
4,000 LIMITED INC 73,500
5,800 NIKE INC CL B 346,550
13,100 STRIDE RITE CORP 131,000
16,600 V F CORP 1,120,500
BROADCASTING
60,653 DISNEY WALT CO 4,222,965
8,700 KING WORLD INC 320,813
MISCELLANEOUS
25,200 PALL CORP 642,600
TOTAL CONSUMER PRODUCTS $81,201,809
DURABLE GOODS 25.50%
AEROSPACE-AIRCRAFT
13,497 BOEING CO 1,435,786
15,200 GENERAL DYNAMICS CORP 1,071,600
52,861 LOCKHEED MARTIN CORP 4,836,781
46,500 MCDONNELL DOUGLAS CORP 2,976,000
12,800 NORTHROP GRUMMAN CORP 1,059,200
5,700 RAYTHEON CO 274,313
1,500 TEXTRON INC 141,375
3,000 UNITED TECHNOLOGIES CORP 198,000
AGRICULTURAL MACHINERY
44,400 CATERPILLAR INC 3,341,100
10,400 DEERE & CO 422,500
AUTOMOBILE AND PARTS
27,200 CHRYSLER CORP 897,600
8,000 CUMMINS ENGINE INC 368,000
21,500 DANA CORP 701,437
16,900 EATON CORP 1,178,775
1,600 ECHLIN INC 50,600
303,300 FORD MTR CO 9,667,688
189,400 GENERAL MTRS CORP 10,559,050
30,900 GENUINE PARTS CO 1,375,050
39,000 TENNECO INC (NEW) 1,759,875
2,600 TRW INC 128,700
ELECTRICAL
5,628 AMP INC 215,974
67 EMCOR GROUP INC SER Z WTS 0
4,200 EMERSON ELEC CO 406,350
29,500 GENERAL INST CORP 637,938
12,600 HONEYWELL INC 828,450
12,200 RAYCHEM CORP 977,525
105,100 WESTINGHOUSE ELEC CORP 2,088,862
ELECTRONICS
15,200 ADVANCED MICRO-DEVICES 391,400
34,800 APPLIED MATLS INC 1,250,625
3,500 CISCO SYS INC 222,687
406,200 GENERAL ELECTRIC CO 40,163,025
9,600 GENERAL SIGNAL CORP 410,400
150,800 HEWLETT PACKARD CO 7,577,700
11,700 INTEL CORP 1,531,969
62,800 LSI LOGIC CORP 1,679,900
43,600 MICRON TECH 1,269,850
21,700 NATIONAL SEMICONDUCTOR 528,938
800 NATIONAL SVC INDS 29,900
172,050 ORACLE CORPORATION 7,183,087
9,400 PERKIN ELMER CORP 553,425
8,000 SEAGATE TECHNOLOGY INC 316,000
5,800 TEKTRONIX INC 297,250
31,600 TEXAS INSTRUMENTS 2,014,500
9,800 THOMAS & BETTS CORP 434,875
INDUSTRIAL MACHINERY
7,400 BRIGGS & STRATTON CORP 325,600
29,600 CASE CORPORATION 1,613,200
8,100 CINCINNATI MILACRON INC 177,188
3,200 COOPER INDUS INC 134,800
27,100 DOVER CORP 1,361,775
3,700 HARNISCHFEGER INDUS INC 178,062
2,600 INGERSOLL RAND CO 115,700
2,100 NACCO INDUS INC CL A 112,350
4,700 ROCKWELL INTL CORP W/I 286,113
OFFICE EQUIPMENT AND SUPPLIE
6,800 ALCO STANDARD CORP 351,050
7,300 HARLAND JOHN H CO 240,900
3,500 PITNEY BOWES INC 190,750
64,500 XEROX CORP. 3,394,312
RUBBER
11,400 GOODRICH B F CO 461,700
4,000 GOODYEAR TIRE & RUBBER 205,500
OTHER DURABLE GOODS
62,500 CORNING INCORPORATED 2,890,625
8,700 CRANE CO 252,300
27,800 ILLINOIS TOOL WORKS 2,220,525
1,200 MILLIPORE CORP 49,650
84,500 MINNESOTA MNG & MFR 7,002,938
7,800 NEWPORT NEWS SHIPBUILDING 117,000
1,600 STANLEY WORKS 43,200
COMPUTERS AND SOFTWARE
90,800 BAY NETWORKS INC 1,895,450
2,000 CABLETRON SYSTEMS INC 66,500
21,700 CERIDIAN CORP 878,850
11,800 COMPAQ COMPUTER CORP 876,150
81,525 COMPUTER ASSOC INTL INC 4,055,869
3,000 CUC INTERNATIONAL 71,250
1,500 DATA GENL CORP 21,750
30,600 DELL COMPUTER CORP 1,625,625
23,800 DIGITAL EQUIP CORP 865,725
106,100 IBM CORP 16,021,100
12,700 INTERGRAPH CORP 130,175
246,200 MICROSOFT CORP 20,342,275
28,500 SILICON GRAPHICS 726,750
68,800 SUN MICROSYSTEMS 1,767,300
38,300 TANDEM COMPUTERS INC 526,625
35,700 UNISYS CORP 240,975
HOUSEHOLD FURN/APPLIANCES
17,200 WHIRLPOOL CORP 801,950
TELECOMMUNICATIONS
108,900 AIRTOUCH COMMUNICATIONS 2,749,725
75 ANDREW CORP 3,980
18,700 DSC COMMUNICATIONS 334,263
143,745 LUCENT TECHNOLOGIES INC 6,648,202
1,500 NORTHERN TELECOM LTD 92,812
169,800 WORLDCOM INC 4,425,413
MISCELLANEOUS
7,300 ALLIED-SIGNAL INC 489,100
2,700 BLACK & DECKER CORP 81,337
7,500 ITT INDUSTRIES INC 183,750
8,600 JOHNSON CTLS INC 712,725
12,850 PARKER HANNIFIN CORP 497,938
14,850 SNAP ON TOOLS CORP 529,031
18,800 TYCO LABS INC 994,050
TOTAL DURABLE GOODS $203,835,943
FINANCIAL 15.00%
BANKS
21,969 BANC ONE CORP 944,667
66,600 BANK NEW YORK INC 2,247,750
30,400 BANK OF BOSTON CORP 1,953,200
16,500 BANKAMERICA CORP 1,645,875
2,100 BANKERS TR NY CORP 181,125
43,600 BARNETT BANKS INC 1,793,050
39,400 BOATMEN'S BANCSHARES 2,541,300
42,412 CHASE MANHATTAN CORP NEW 3,785,271
55,000 CITICORP 5,665,000
56,514 CORESTATES FINL CORP 2,931,664
1,920 DEAN WITTER DISCOVER & CO 127,200
46,900 FIFTH THIRD BANCORP COM 2,945,906
70,600 FIRST BANK SYS INC 4,818,450
43,232 FIRST CHICAGO NBD CORP 2,323,720
65,005 FIRST UNION CORP 4,810,370
36,714 FLEET FINANCIAL GROUP INC 1,831,111
22,925 MBNA CORP 951,387
16,300 MELLON BANK CORP 1,157,300
63,200 NATIONAL CITY CORP 2,836,100
76,400 NATIONSBANK CORP 7,468,100
84,700 NORWEST CORP 3,684,450
44,600 PNC FINANCIAL 1,678,075
58,000 SUNTRUST BANKS INC 2,856,500
53,900 U S BANCORP ORE 2,422,131
3,900 WACHOVIA CORP 220,350
11,433 WELLS FARGO & CO 3,084,052
FINANCE COMPANIES
12,500 AMERICAN EXPRESS CO 706,250
12,000 BENEFICIAL CORP 760,500
2,100 FED HOME LN MTG CORP 231,263
65,700 GREEN TREE FINANCIAL 2,537,662
20,800 HOUSEHOLD INTL CORP 1,918,800
HOLDING COMPANY
4,600 EASTERN ENTERPRISES 162,725
FIRE AND CASUALTY INSURANCE
7,600 CHUBB CORP 408,500
600 GENERAL RE CORP 94,650
2,600 SAFECO CORP 102,538
INSURANCE
27,500 AETNA INC 2,200,000
600 ALEXANDER & ALEXANDER SVC 10,425
12,954 ALLSTATE CORPORATION 749,713
114,950 AMERICAN INTL GROUP 12,443,337
43,400 AON CORP 2,696,225
3,800 CIGNA CORP 519,175
7,500 ITT HARTFORD 506,250
7,500 MBIA INC 759,375
2,300 ST PAUL COS INC 134,837
600 TRANSAMERICA CORP 47,400
113,161 TRAVELERS GROUP INC 5,134,680
4,900 UNUM CORP. 354,025
2,500 USF & G CORP 52,188
LIFE INSURANCE
51,700 AMERICAN GENERAL CORP 2,113,238
18,700 JEFFERSON PILOT CORP 1,058,887
27,500 LINCOLN NATL CORP IND 1,443,750
8,300 USLIFE CORP 275,975
REAL ESTATE
244,400 FEDERAL NATL MTGE ASSN 9,103,900
6,000 HFS 358,500
SAVINGS & LOANS
600 AHMANSON H F & CO 19,500
11,100 GOLDEN WEST FINL CORP 700,688
25,300 GREAT WESTERN FINL 733,700
BROKERAGE
4,100 MERRILL LYNCH & CO 334,150
76,200 MORGAN STANLEY GRP INC 4,352,925
500 SALOMON INC 23,562
TOTAL FINANCIAL $119,953,397
METALS AND MINING 0.85%
ALUMINUM
2,800 ALUMINUM CO AMER 178,500
14,900 REYNOLDS METALS CO 839,987
MINING
39,000 HOMESTAKE MNG CO 555,750
STEEL
29,067 ALLEGHENY TELEDYNE 668,541
25,300 ARMCO, INC. 104,362
6,300 BETHLEHEM STEEL CORP 56,700
10,400 INLAND STEEL INDUS INC 208,000
25,600 NUCOR CORP 1,305,600
5,900 TIMKEN CO 270,663
5,700 USX-US STEEL GROUP 178,837
2,500 WORTHINGTON INDS INC 45,313
OTHER METALS
10,200 ASARCO INC 253,725
6,500 INCO LTD 207,187
9,937 NEWMONT MNG CORP 444,681
16,500 PHELPS DODGE CORP 1,113,750
MINERALS
2,000 BARRICK GOLD CORP 57,500
13,450 CYPRUS AMAX MINERALS CO 314,394
TOTAL METALS AND MINING $6,803,490
COLLECTIBLES & PRECIOUS MATERIALS 0.27%
GOLD-DIAMONDS-GEMS
73,200 FREEPORT-MCMORAN COPPER-B 2,186,850
TOTAL COLLECTIBLES & PRECIOUS MATERIALS $2,186,850
OIL-ENERGY 8.75%
OIL & GAS PRODUCERS
1,400 AMERADA HESS CORP 81,025
115,400 AMOCO CORP 9,289,700
22,400 COASTAL CORP 1,094,800
12,400 ENSERCH CORP 285,200
5,200 HELMERICH & PAYNE INC. 271,050
70,100 OCCIDENTAL PETROLEUM 1,638,588
14,900 ROWAN COS INC 337,112
22,000 SANTA FE ENERGY RES INC 305,250
34,987 UNION PACIFIC RESOURCES 1,023,370
2,300 USX-MARTHON GROUP COM NEW 54,912
NATURAL RESOURCES
2,200 DRESSER INDUS INC 68,200
3,627 EL PASO NATURAL GAS 183,164
9,900 KERR MCGEE CORP 712,800
6,500 LOUISIANA LD & EXPL CO 348,562
2,550 WILLIAMS COS INC-DEL 95,625
OIL EQUIPMENT, WELLS & SVCS
14,200 ASHLAND, INC 623,025
24,400 HALLIBURTON CO 1,470,100
10,500 WESTERN ATLAS INC 744,188
OIL - DOMESTIC
67,400 PHILLIPS PETE CO 2,982,450
10,600 UNOCAL CORP 430,625
OIL - INTERNATIONAL
24,100 CHEVRON CORP 1,566,500
287,200 EXXON CORP. 28,145,600
91,500 MOBIL CORP 11,185,875
18,100 ORYX ENERGY COMPANY 447,975
18,100 SUN CO INC 441,187
62,200 TEXACO INC 6,103,375
TOTAL OIL-ENERGY $69,930,258
RETAIL 4.72%
DEPARTMENT STORES
3,200 CVS CORP 132,400
60,000 DAYTON HUDSON CORP 2,355,000
34,300 DILLARD DEPT STORES 1,059,013
18,000 HARCOURT GENERAL INC 830,250
111,200 K MART 1,153,700
800 MERCANTILE STORES 39,500
59,800 PENNEY JC INC 2,915,250
13,900 SEARS ROEBUCK & CO 641,137
774,500 WAL MART STORES INC 17,716,688
3,600 WINN-DIXIE STORES INC 113,850
46,300 WOOLWORTH CORP 1,012,812
GROCERY
9,500 ALBERTSON'S INC 338,438
4,400 AMERICAN STORES CO 179,850
8,200 FLEMING COS 141,450
11,800 GIANT FOOD INC 407,100
7,800 GREAT ATLANTIC & PAC TEA 248,625
35,300 KROGER CO 1,641,450
OTHER RETAIL
4,900 LONGS DRUG STORES CORP 240,712
48,700 LOWES COS INC 1,728,850
18,800 PEP BOYS-MAN, MO, JACK 578,100
18,667 PRICE/COSTCO INC 469,008
1,600 RITE AID CORP 63,600
500 TANDY CORP 22,000
SPORTING GOODS
400 REEBOK INTL LTD 16,800
9,600 RUSSELL CORP 285,600
APPAREL
25,100 CHARMING SHOPPES INC 127,069
84,000 GAP INC 2,530,500
21,600 NORDSTROM INC 765,450
TOTAL RETAIL $37,754,202
UTILITIES 9.06%
ELECTRIC
3,600 AMERICAN ELEC PWR INC 148,050
35,200 BALTIMORE GAS & ELEC 941,600
1,000 CENTRAL & SOUTH WEST CORP 25,625
32,021 CINERGY CORP 1,068,701
5,300 DOMINION RES INC-VA 204,050
48,400 DUKE POWER CO 2,238,500
99,100 EDISON INTERNATIONAL 1,969,612
41,700 FPL GROUP INC 1,918,200
29,600 GPU INC 995,300
8,800 HOUSTON INDS INC 199,100
3,100 NIAGARA MOHAWK PWR 30,613
1,500 NORTHERN STS PWR CO 68,812
3,300 OHIO EDISON CO 75,075
91,800 PACIFIC GAS & ELEC 1,927,800
71,800 PACIFICORP 1,471,900
7,300 PECO ENERGY 184,325
78,100 PP&L RESOURCES INC 1,796,300
17,700 SBC COMMUNICATIONS INC 915,975
21,100 SOUTHERN CO 477,387
GAS
3,600 COLUMBIA GAS SYS INC 229,050
59,600 ENRON CORP 2,570,250
1,400 NICOR INC 50,050
2,500 NORAM ENERGY CORP 38,437
500 ONEOK INC 15,000
18,200 PACIFIC ENTERPRISES 552,825
29,500 PANENERGY CORPORATION 1,327,500
700 PEOPLES ENERGY CORP 23,713
20,100 SONAT INC 1,035,150
68,500 TEXAS UTILITIES CO 2,791,375
TELEPHONE
420,400 A T & T 18,287,400
51,500 ALLTEL CORP 1,615,813
15,500 BELL ATLANTIC CORP 1,003,625
35,200 BELLSOUTH CORP 1,421,200
243,400 GTE CORP 11,074,700
105,500 PACIFIC TELESIS GROUP 3,877,125
104,100 SPRINT CORP 4,150,988
40,000 U S WEST MEDIA GROUP 740,000
WASTE DISPOSAL
4,800 BROWNING FERRIS IND 126,000
59,300 LAIDLAW TRANS CL B NVTG 681,950
126,800 WMX TECHNOLOGIES INC 4,136,850
TOTAL UTILITIES $72,405,926
MISCELLANEOUS 9.72%
BROADCAST/COMMUNICATIONS
32,600 COMCAST CORP CL A SPL 580,688
3,300 GANNETT CO., INC 247,087
2,200 MCI COMMUNICATIONS 71,913
6,600 MOTOROLA INC 405,075
16,640 TCI SATELLITE ENT CL-A 164,320
166,400 TELE COMM. INC CL A 2,173,600
12,000 TELLABS INC 451,500
82,400 VIACOM INC CL B NON VTG 2,873,700
BUSINESS SERVICES
2,200 AMDAHL CORP 26,675
15,800 AUTODESK INC 442,400
9,400 AUTOMATIC DATA PROC 403,025
26,600 BLOCK H&R INC 771,400
2,700 COMPUTER SCIENCES CORP 221,737
39,800 DONNELLEY RR & SONS 1,248,725
27,200 DOW JONES & CO 921,400
87,700 E M C CORP 2,905,063
2,600 ECOLAB INC 97,825
123,000 FIRST DATA CORP 4,489,500
13,300 GRAINGER W W INC 1,067,325
18,300 INTERPUBLIC GROUP COS 869,250
14,800 SAFETY KLEEN CORP 242,350
18,900 SCIENTIFIC-ATLANTA 283,500
56,800 SERVICE CORP INTL 1,590,400
80,900 THREE COM CORP 5,936,037
FOOD SERVICE
3,600 DARDEN RESTAURANTS INC 31,500
7,100 LUBYS CAFETERIAS INC 141,113
25,600 MCDONALDS CORP 1,158,400
203,300 PHILLIP MORRIS CO INC 22,896,662
13,700 RYANS FAMILY STEAK HOUSE 94,188
2,700 SHONEY'S INC 18,900
35,900 WENDYS INTL INC 735,950
HOTEL & MOTEL
50,800 HILTON HOTELS CORP 1,327,150
7,500 ITT CORP NEW 325,312
23,100 MARRIOTT INTL CORP 1,276,275
HOUSING
6,400 PULTE CORP 196,800
MED SERV & SUPPLIES
1,700 BIOMET INC 25,713
79,400 HUMANA INC 1,518,525
14,200 MANOR CARE INC 383,400
6,700 MEDTRONIC INC 455,600
4,900 SHARED MEDICAL SYS CORP 241,325
21,550 ST. JUDE MED INC. 918,569
REAL ESTATE
7,100 CENTEX CORP 267,137
TRANSPORTATION
17,800 AMR CORP 1,568,625
31,954 BURLINGTON NRTHN SANTA FE 2,760,027
800 CALIBER SYSTEMS INC 15,400
22,500 CONRAIL INC 2,241,562
7,300 CSX CORP 308,425
19,000 DELTA AIR LINES INC 1,346,625
27,400 FEDERAL EXPRESS CORP 1,219,300
5,800 FLEETWOOD ENTERPRISES 159,500
30,600 NORFOLK SOUTHERN CORP 2,677,500
495 PACCAR INC 33,660
19,400 RYDER SYSTEMS INC 545,625
29,420 SANTA FE PACIFIC GOLD 452,332
23,600 UNION PACIFIC CORP 1,418,950
MISCELLANEOUS
800 MALLINCKRODT (NEW) 35,300
9,600 WARNER-LAMBERT 720,000
TELECOMMUNICATIONS
16,500 AMERITECH CORP NEW 1,000,313
9,900 HARRIS CORP-DEL 679,388
TOTAL MISCELLANEOUS $77,679,546
UTILITIES 0.01%
ELECTRIC
2,800 DTE ENERGY COMPANY 90,650
TOTAL UTILITIES $90,650
TOTAL COMMON STOCK $795,927,413
OTHER
CASH EQUIVALENTS 0.44%
STIFS/MONEY MARKETS
3,517,217 AIM SHORT TERM INV SER 2 3,517,217
TOTAL CASH EQUIVALENTS $3,517,217
TOTAL OTHER $3,517,217
TOTAL INVESTMENTS - (cost $508,990,761) 100.00% $799,444,630
See accompanying notes to financial statements
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